UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-10263
GuideStone Funds
(Exact name of registrant as specified in charter)
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, 2020
Item 1. Reports to Stockholders.
(a) | The following is a copy of the report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1) |
• | 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 |
• | Information you and others provide to us in correspondence sent to us, whether written, electronic or by telephone |
David S. Spika, CFA |
Index | 3 rd Quarter 2020 Return | 4 th Quarter 2020 Return | 2020 Calendar Year Return |
U.S. Equities | |||
S&P 500® | 8.93% | 12.15% | 18.34% |
Russell 2000 | 4.93% | 31.37% | 19.90% |
International Equities | |||
MSCI EAFE | 4.80% | 16.05% | 7.79% |
MSCI Emerging Markets | 9.56% | 19.70% | 18.25% |
U.S. Fixed Income | |||
Bloomberg Barclays US Aggregate | 0.62% | 0.67% | 7.49% |
Bloomberg Barclays US High Yield Corporate | 4.60% | 6.45% | 7.09% |
Global Fixed Income | |||
Bloomberg Barclays Global Aggregate Bond | 2.66% | 3.28% | 9.17% |
President - Chief Investment Officer
GuideStone Capital Management, LLC
Actual | ||||||||||
Fund | Class | Beginning Account Value 07/01/20 | Ending Account Value 12/31/20 | Annualized Expense Ratio (1) | Expenses Paid During Period (2) | |||||
MyDestination 2015 | Institutional | $1,000.00 | $1,104.70 | 0.06% | $0.33 | |||||
Investor | 1,000.00 | 1,103.30 | 0.31 | 1.65 | ||||||
MyDestination 2025 | Institutional | 1,000.00 | 1,131.20 | 0.08 | 0.43 | |||||
Investor | 1,000.00 | 1,130.80 | 0.33 | 1.77 | ||||||
MyDestination 2035 | Institutional | 1,000.00 | 1,174.00 | 0.15 | 0.79 | |||||
Investor | 1,000.00 | 1,172.60 | 0.40 | 2.19 | ||||||
MyDestination 2045 | Institutional | 1,000.00 | 1,201.50 | 0.14 | 0.78 | |||||
Investor | 1,000.00 | 1,200.10 | 0.43 | 2.35 | ||||||
MyDestination 2055 | Institutional | 1,000.00 | 1,209.00 | 0.18 | 1.00 | |||||
Investor | 1,000.00 | 1,207.80 | 0.45 | 2.50 | ||||||
Conservation Allocation | Institutional | 1,000.00 | 1,076.40 | 0.15 | 0.77 | |||||
Investor | 1,000.00 | 1,074.80 | 0.40 | 2.07 | ||||||
Balanced Allocation | Institutional | 1,000.00 | 1,130.40 | 0.12 | 0.65 | |||||
Investor | 1,000.00 | 1,128.90 | 0.37 | 1.98 | ||||||
Growth Allocation | Institutional | 1,000.00 | 1,189.00 | 0.13 | 0.69 | |||||
Investor | 1,000.00 | 1,187.50 | 0.38 | 2.07 | ||||||
Actual | ||||||||||
Fund | Class | Beginning Account Value 07/01/20 | Ending Account Value 12/31/20 | Annualized Expense Ratio (1) | Expenses Paid During Period (2) | |||||
Aggressive Allocation | Institutional | $1,000.00 | $1,243.50 | 0.13% | $0.73 | |||||
Investor | 1,000.00 | 1,242.20 | 0.38 | 2.14 | ||||||
Money Market | Institutional | 1,000.00 | 1,000.20 | 0.14 | 0.73 | |||||
Investor | 1,000.00 | 1,000.00 | 0.19 | 0.94 | ||||||
Low-Duration Bond | Institutional | 1,000.00 | 1,012.90 | 0.35 | 1.77 | |||||
Investor | 1,000.00 | 1,010.90 | 0.62 | 3.14 | ||||||
Medium-Duration Bond | Institutional | 1,000.00 | 1,028.60 | 0.39 | 1.96 | |||||
Investor | 1,000.00 | 1,027.10 | 0.66 | 3.35 | ||||||
Extended-Duration Bond | Institutional | 1,000.00 | 1,039.70 | 0.57 | 2.93 | |||||
Investor | 1,000.00 | 1,037.60 | 0.84 | 4.30 | ||||||
Global Bond | Institutional | 1,000.00 | 1,071.20 | 0.58 | 3.01 | |||||
Investor | 1,000.00 | 1,070.00 | 0.88 | 4.57 | ||||||
Defensive Market Strategies® | Institutional | 1,000.00 | 1,149.60 | 0.68 | 3.65 | |||||
Investor | 1,000.00 | 1,148.80 | 0.94 | 5.09 | ||||||
Equity Index | Institutional | 1,000.00 | 1,218.30 | 0.13 | 0.75 | |||||
Investor | 1,000.00 | 1,216.60 | 0.40 | 2.24 | ||||||
Value Equity | Institutional | 1,000.00 | 1,228.60 | 0.64 | 3.61 | |||||
Investor | 1,000.00 | 1,227.20 | 0.91 | 5.09 | ||||||
Growth Equity | Institutional | 1,000.00 | 1,234.00 | 0.69 | 3.89 | |||||
Investor | 1,000.00 | 1,232.00 | 0.95 | 5.35 | ||||||
Small Cap Equity | Institutional | 1,000.00 | 1,340.60 | 0.98 | 5.77 | |||||
Investor | 1,000.00 | 1,339.50 | 1.25 | 7.34 | ||||||
International Equity Index | Institutional | 1,000.00 | 1,209.70 | 0.22 | 1.22 | |||||
International Equity (3) | Institutional | 1,000.00 | 1,232.90 | 0.90 | 5.06 | |||||
Investor | 1,000.00 | 1,231.20 | 1.17 | 6.57 | ||||||
Emerging Markets Equity | Institutional | 1,000.00 | 1,320.00 | 1.07 | 6.26 | |||||
Investor | 1,000.00 | 1,318.10 | 1.46 | 8.49 | ||||||
Global Real Estate Securities | Institutional | 1,000.00 | 1,153.10 | 0.88 | 4.78 | |||||
Investor | 1,000.00 | 1,150.60 | 1.16 | 6.27 | ||||||
Strategic Alternatives (3) | Institutional | 1,000.00 | 1,033.60 | 1.11 | 5.67 | |||||
Investor | 1,000.00 | 1,032.60 | 1.35 | 6.88 |
Hypothetical (assuming a 5% return before expenses) | ||||||||||
Fund | Class | Beginning Account Value 07/01/20 | Ending Account Value 12/31/20 | Annualized Expense Ratio (1) | Expenses Paid During Period (2) | |||||
MyDestination 2015 | Institutional | $1,000.00 | $1,024.82 | 0.06% | $0.32 | |||||
Investor | 1,000.00 | 1,023.57 | 0.31 | 1.59 | ||||||
MyDestination 2025 | Institutional | 1,000.00 | 1,024.73 | 0.08 | 0.41 | |||||
Investor | 1,000.00 | 1,023.47 | 0.33 | 1.68 | ||||||
MyDestination 2035 | Institutional | 1,000.00 | 1,024.41 | 0.15 | 0.74 | |||||
Investor | 1,000.00 | 1,023.12 | 0.40 | 2.04 | ||||||
MyDestination 2045 | Institutional | 1,000.00 | 1,024.43 | 0.14 | 0.71 | |||||
Investor | 1,000.00 | 1,023.00 | 0.43 | 2.16 |
Hypothetical (assuming a 5% return before expenses) | ||||||||||
Fund | Class | Beginning Account Value 07/01/20 | Ending Account Value 12/31/20 | Annualized Expense Ratio (1) | Expenses Paid During Period (2) | |||||
MyDestination 2055 | Institutional | $1,000.00 | $1,024.23 | 0.18% | $0.92 | |||||
Investor | 1,000.00 | 1,022.87 | 0.45 | 2.29 | ||||||
Conservation Allocation | Institutional | 1,000.00 | 1,024.39 | 0.15 | 0.75 | |||||
Investor | 1,000.00 | 1,023.14 | 0.40 | 2.02 | ||||||
Balanced Allocation | Institutional | 1,000.00 | 1,024.52 | 0.12 | 0.62 | |||||
Investor | 1,000.00 | 1,023.27 | 0.37 | 1.89 | ||||||
Growth Allocation | Institutional | 1,000.00 | 1,024.51 | 0.13 | 0.64 | |||||
Investor | 1,000.00 | 1,023.25 | 0.38 | 1.91 | ||||||
Aggressive Allocation | Institutional | 1,000.00 | 1,024.49 | 0.13 | 0.65 | |||||
Investor | 1,000.00 | 1,023.22 | 0.38 | 1.93 | ||||||
Money Market | Institutional | 1,000.00 | 1,024.41 | 0.14 | 0.73 | |||||
Investor | 1,000.00 | 1,024.20 | 0.19 | 0.95 | ||||||
Low-Duration Bond | Institutional | 1,000.00 | 1,023.38 | 0.35 | 1.78 | |||||
Investor | 1,000.00 | 1,022.01 | 0.62 | 3.16 | ||||||
Medium-Duration Bond | Institutional | 1,000.00 | 1,023.20 | 0.39 | 1.96 | |||||
Investor | 1,000.00 | 1,021.83 | 0.66 | 3.34 | ||||||
Extended-Duration Bond | Institutional | 1,000.00 | 1,022.27 | 0.57 | 2.9 | |||||
Investor | 1,000.00 | 1,020.92 | 0.84 | 4.26 | ||||||
Global Bond | Institutional | 1,000.00 | 1,022.23 | 0.58 | 2.94 | |||||
Investor | 1,000.00 | 1,020.72 | 0.88 | 4.46 | ||||||
Defensive Market Strategies® | Institutional | 1,000.00 | 1,021.74 | 0.68 | 3.44 | |||||
Investor | 1,000.00 | 1,020.40 | 0.94 | 4.79 | ||||||
Equity Index | Institutional | 1,000.00 | 1,024.46 | 0.13 | 0.68 | |||||
Investor | 1,000.00 | 1,023.12 | 0.40 | 2.04 | ||||||
Value Equity | Institutional | 1,000.00 | 1,021.90 | 0.64 | 3.28 | |||||
Investor | 1,000.00 | 1,020.57 | 0.91 | 4.62 | ||||||
Growth Equity | Institutional | 1,000.00 | 1,021.66 | 0.69 | 3.52 | |||||
Investor | 1,000.00 | 1,020.35 | 0.95 | 4.84 | ||||||
Small Cap Equity | Institutional | 1,000.00 | 1,020.20 | 0.98 | 4.98 | |||||
Investor | 1,000.00 | 1,018.86 | 1.25 | 6.33 | ||||||
International Equity Index | Institutional | 1,000.00 | 1,024.03 | 0.22 | 1.12 | |||||
International Equity (3) | Institutional | 1,000.00 | 1,020.61 | 0.90 | 4.58 | |||||
Investor | 1,000.00 | 1,019.24 | 1.17 | 5.95 | ||||||
Emerging Markets Equity | Institutional | 1,000.00 | 1,019.74 | 1.07 | 5.45 | |||||
Investor | 1,000.00 | 1,017.81 | 1.46 | 7.39 | ||||||
Global Real Estate Securities | Institutional | 1,000.00 | 1,020.70 | 0.88 | 4.48 | |||||
Investor | 1,000.00 | 1,019.31 | 1.16 | 5.88 | ||||||
Strategic Alternatives (3) | Institutional | 1,000.00 | 1,019.56 | 1.11 | 5.63 | |||||
Investor | 1,000.00 | 1,018.37 | 1.35 | 6.83 |
INVESTMENT ABBREVIATIONS: | ||
10Y | — | 10 Year |
1M | — | 1 Month |
1Y | — | 1 Year |
3M | — | 3 Month |
5Y | — | 5 Year |
6M | — | 6 Month |
ACES | — | Alternative Credit Enhancement Securities |
ADR | — | American Depositary Receipt |
ARM | — | Adjustable Rate Mortgage |
ASX | — | Australian Securities Exchange |
BBSW | — | Bank Bill Swap Rate |
CDI | — | Crest Depository Interest |
CDO | — | Collateralized Debt Obligation |
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 |
CMT | — | Constant Maturity |
COF | — | Cost of Funds |
CONV | — | Convertible |
CVA | — | Dutch Certificate |
ETF | — | Exchange Traded Fund |
EURIBOR | — | Euro Interbank Offered Rate |
Fannie Mae | — | Federal National Mortgage Association |
FHLMC | — | Federal Home Loan Mortgage Corporation |
GDR | — | Global Depositary Receipt |
HIBOR | — | Hong Kong Interbank Offered Rate |
HY | — | High Yield |
ICE LIBOR | — | Intercontinental Exchange London Interbank Offered Rate |
IG | — | Investment Grade |
IO | — | Interest Only (Principal amount shown is notional) |
JIBAR | — | Johannesburg Interbank Average Rate |
LIBOR | — | London Interbank Offered Rate |
LLC | — | Limited Liability Company |
LP | — | Limited Partnership |
MMY | — | Money Market Yield |
NIBOR | — | Norwegian Interbank Offered Rate |
NVDR | — | Non-Voting Depository Receipt |
PCL | — | Public Company Limited |
PIK | — | Payment-in-Kind Bonds |
PLC | — | Public Limited Company |
REIT | — | Real Estate Investment Trust |
REMIC | — | Real Estate Mortgage Investment Conduit |
SONIA | — | Sterling Overnight Index Average Rate |
SOFR | — | Secured Overnight Financing Rate |
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 |
TIIE | — | The Equilibrium Interbank Interest 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, 2020, 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 | $354,385,545 | 33.35% | ||
Medium-Duration Bond | 339,366,523 | 16.04 | ||
Extended-Duration Bond | 19,364,114 | 8.01 | ||
Global Bond | 82,358,424 | 14.23 | ||
Defensive Market Strategies® | 178,556,441 | 13.35 | ||
International Equity Index | 14,023,985 | 1.80 | ||
International Equity | 24,058,022 | 1.82 | ||
Emerging Markets Equity | 19,065,936 | 2.44 | ||
Global Real Estate Securities | 398,161 | 0.16 | ||
Strategic Alternatives | 46,282,327 | 13.91 |
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 year-end. |
† | — | Variable rate security. Rate shown reflects the rate in effect as of December 31, 2020. |
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, 2020. |
∞ | — | 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, 2020 is disclosed. |
ρ | — | Perpetual bond. Maturity date represents the next call date. |
~ | — | Century bond maturing in 2121. |
« | — | Century bond maturing in 2110. |
◊ | — | Current yield is disclosed. Dividends are calculated based on a percentage of the issuer’s net income. |
õ | — | Current yield is less than 0.01% |
Ψ | — | Security is valued at fair value by the Valuation Committee (see Note 2 in Notes to Financial Statements). As of December 31, 2020, 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 | $ — | 0.00% | ||
Global Bond | 30,580 | 0.01 | ||
Small Cap Equity | 1,956,000 | 0.28 | ||
International Equity | — | 0.00 |
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). |
(P) | — | Par is denominated in Polish Zloty (PLN). |
(Q) | — | Par is denominated in Russian Rubles (RUB). |
(S) | — | Par is denominated in South African Rand (ZAR). |
(U) | — | Par is denominated in British Pounds (GBP). |
(X) | — | Par is denominated in Colombian Pesos (COP). |
(Y) | — | Par is denominated in Chinese Yuan (CNY). |
(ZA) | — | Par is denominated in Argentine Pesos (ARS). |
(ZB) | — | Par is denominated in Peruvian Sol (PEN) |
COUNTERPARTY ABBREVIATIONS: | ||
BAR | — | Counterparty to contract is Barclays Capital. |
BNP | — | Counterparty to contract is BNP Paribas. |
BNY | — | Counterparty to contract is BNY Mellon. |
BOA | — | Counterparty to contract is Bank of America. |
CIBC | — | Counterparty to contract is Canadian Imperial Bank of Commerce. |
CITI | — | Counterparty to contract is Citibank NA London. |
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. |
JPM | — | Counterparty to contract is JPMorgan Chase Bank. |
MSCS | — | Counterparty to contract is Morgan Stanley Capital Services. |
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. |
UBS | — | Counterparty to contract is UBS AG. |
WEST | — | Counterparty to contract is Westpac Bank. |
% | |
Fixed Income Select Funds | 48.5 |
U.S. Equity Select Funds | 28.6 |
Non-U.S. Equity Select Funds | 12.4 |
U.S. Treasury Obligations | 5.4 |
Alternative Select Funds | 3.0 |
Money Market Funds | 1.3 |
Real Assets Select Funds | 0.8 |
100.0 |
Average Annual Total Returns as of 12/31/20 | |||||
Institutional Class* | Investor Class* | ||||
One Year | 9.41% | 9.16% | |||
Five Year | N/A | 7.65% | |||
Ten year | N/A | 6.31% | |||
Since Inception | 7.51% | 5.01% | |||
Inception Date | 05/01/17 | 12/29/06 | |||
Total Fund Operating Expenses (May 1, 2020 Prospectus)(1) | 0.57% | 0.82% |
Shares | Value | |||
MUTUAL FUNDS — 93.3% | ||||
GuideStone Low-Duration Bond Fund (Institutional Class)∞ | 8,226,681 | $112,047,399 | ||
GuideStone Medium-Duration Bond Fund (Institutional Class)∞ | 12,039,274 | 188,414,644 | ||
GuideStone Global Bond Fund (Institutional Class)∞ | 3,639,169 | 37,774,569 | ||
GuideStone Defensive Market Strategies® Fund (Institutional Class)∞ | 5,121,330 | 72,415,599 | ||
GuideStone Equity Index Fund (Institutional Class)∞ | 2,775,715 | 113,332,453 | ||
GuideStone Small Cap Equity Fund (Institutional Class)∞ | 740,466 | 13,824,508 | ||
GuideStone International Equity Index Fund (Institutional Class)∞ | 5,230,877 | 60,312,006 | ||
GuideStone Emerging Markets Equity Fund (Institutional Class)∞ | 2,151,121 | 26,523,325 | ||
GuideStone Global Real Estate Securities Fund (Institutional Class)∞ | 581,732 | 5,508,999 | ||
GuideStone Strategic Alternatives Fund (Institutional Class)∞ | 2,069,409 | 20,611,312 | ||
Total Mutual Funds (Cost $588,752,375) | 650,764,814 | |||
MONEY MARKET FUNDS — 1.3% | ||||
GuideStone Money Market Fund, 0.00% (Institutional Class)Ø∞ | 9,283,538 | 9,283,538 |
Shares | Value | |||
Northern Institutional U.S. Government Portfolio (Shares), 0.00%Ø | 28,683 | $ 28,683 | ||
Total Money Market Funds (Cost $9,312,222) | 9,312,221 |
Par | |||
U.S. TREASURY OBLIGATIONS — 5.4% | |||
U.S. Treasury Inflationary Index Bonds | |||
0.13%, 04/15/22 | $5,674,657 | 5,793,367 | |
0.13%, 07/15/24 | 8,992,284 | 9,627,306 | |
0.13%, 07/15/26 | 4,019,310 | 4,419,688 | |
0.38%, 07/15/27 | 2,075,717 | 2,335,000 | |
3.88%, 04/15/29 | 5,781,344 | 8,328,954 | |
3.38%, 04/15/32 | 880,182 | 1,340,611 | |
0.63%, 02/15/43 | 2,321,748 | 2,892,907 | |
1.00%, 02/15/48 | 2,006,267 | 2,791,530 | |
Total U.S. Treasury Obligations (Cost $37,381,160) | 37,529,363 | ||
TOTAL INVESTMENTS — 100.0% (Cost $635,445,757) | 697,606,398 | ||
Other Assets in Excess of Liabilities — 0.0% | 293,920 | ||
NET ASSETS — 100.0% | $697,900,318 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index E-Mini | 03/2021 | 10 | $1,065,400 | $ 8,874 | ||||
MSCI Emerging Markets E-Mini | 03/2021 | 4 | 257,640 | 6,535 | ||||
S&P 500® E-Mini | 03/2021 | 11 | 2,061,840 | 29,888 | ||||
10-Year U.S. Treasury Note | 03/2021 | 32 | 4,418,500 | 6,358 | ||||
Total Futures Contracts outstanding at December 31, 2020 | $7,803,380 | $51,655 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Money Market Funds | $ 9,312,221 | $ 9,312,221 | $ — | $ — | |||
Mutual Funds | 650,764,814 | 650,764,814 | — | — | |||
U.S. Treasury Obligations | 37,529,363 | — | 37,529,363 | — | |||
Total Assets - Investments in Securities | $697,606,398 | $660,077,035 | $37,529,363 | $ — | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $ 51,655 | $ 51,655 | $ — | $ — | |||
Total Assets - Other Financial Instruments | $ 51,655 | $ 51,655 | $ — | $ — |
*** | 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. |
% | |
Fixed Income Select Funds | 38.2 |
U.S. Equity Select Funds | 37.0 |
Non-U.S. Equity Select Funds | 17.5 |
U.S. Treasury Obligations | 2.6 |
Alternative Select Funds | 1.8 |
Money Market Funds | 1.7 |
Real Assets Select Funds | 1.1 |
99.9 |
Average Annual Total Returns as of 12/31/20 | |||||
Institutional Class* | Investor Class* | ||||
One Year | 10.95% | 10.69% | |||
Five Year | N/A | 9.08% | |||
Ten year | N/A | 7.41% | |||
Since Inception | 8.88% | 5.44% | |||
Inception Date | 05/01/17 | 12/29/06 | |||
Total Fund Operating Expenses (May 1, 2020 Prospectus)(1) | 0.53% | 0.78% |
Shares | Value | |||
MUTUAL FUNDS — 95.6% | ||||
GuideStone Low-Duration Bond Fund (Institutional Class)∞ | 8,096,516 | $ 110,274,552 | ||
GuideStone Medium-Duration Bond Fund (Institutional Class)∞ | 25,568,053 | 400,140,032 | ||
GuideStone Global Bond Fund (Institutional Class)∞ | 8,574,749 | 89,005,890 | ||
GuideStone Defensive Market Strategies® Fund (Institutional Class)∞ | 12,726,118 | 179,947,302 | ||
GuideStone Equity Index Fund (Institutional Class)∞ | 8,722,571 | 356,142,577 | ||
GuideStone Small Cap Equity Fund (Institutional Class)∞ | 2,371,832 | 44,282,106 | ||
GuideStone International Equity Index Fund (Institutional Class)∞ | 16,634,064 | 191,790,763 | ||
GuideStone Emerging Markets Equity Fund (Institutional Class)∞ | 6,671,095 | 82,254,596 | ||
GuideStone Global Real Estate Securities Fund (Institutional Class)∞ | 1,869,932 | 17,708,256 | ||
GuideStone Strategic Alternatives Fund (Institutional Class)∞ | 2,833,509 | 28,221,754 | ||
Total Mutual Funds (Cost $1,331,406,675) | 1,499,767,828 | |||
MONEY MARKET FUNDS — 1.7% | ||||
GuideStone Money Market Fund, 0.00% (Institutional Class)Ø∞ | 26,445,850 | 26,445,850 |
Shares | Value | |||
Northern Institutional U.S. Government Portfolio (Shares), 0.00%Ø | 28,571 | $ 28,571 | ||
Total Money Market Funds (Cost $26,474,421) | 26,474,421 |
Par | |||
U.S. TREASURY OBLIGATIONS — 2.6% | |||
U.S. Treasury Inflationary Index Bonds | |||
0.13%, 04/15/22 | $6,210,002 | 6,339,911 | |
0.13%, 07/15/24 | 9,759,918 | 10,449,149 | |
0.13%, 07/15/26 | 4,345,200 | 4,778,042 | |
0.38%, 07/15/27 | 2,235,387 | 2,514,616 | |
3.88%, 04/15/29 | 6,335,720 | 9,127,620 | |
3.38%, 04/15/32 | 1,026,879 | 1,564,047 | |
0.63%, 02/15/43 | 2,548,260 | 3,175,141 | |
1.00%, 02/15/48 | 2,217,453 | 3,085,376 | |
Total U.S. Treasury Obligations (Cost $40,872,349) | 41,033,902 | ||
TOTAL INVESTMENTS — 99.9% (Cost $1,398,753,445) | 1,567,276,151 | ||
Other Assets in Excess of Liabilities — 0.1% | 918,992 | ||
NET ASSETS — 100.0% | $1,568,195,143 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
10-Year U.S. Treasury Note | 03/2021 | 78 | $10,770,094 | $ 17,155 | ||||
MSCI EAFE Index E-Mini | 03/2021 | 35 | 3,728,900 | 31,057 | ||||
MSCI Emerging Markets E-Mini | 03/2021 | 15 | 966,150 | 24,507 | ||||
S&P 500® E-Mini | 03/2021 | 46 | 8,622,240 | 149,924 | ||||
Total Futures Contracts outstanding at December 31, 2020 | $24,087,384 | $222,643 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Money Market Funds | $ 26,474,421 | $ 26,474,421 | $ — | $ — | |||
Mutual Funds | 1,499,767,828 | 1,499,767,828 | — | — | |||
U.S. Treasury Obligations | 41,033,902 | — | 41,033,902 | — | |||
Total Assets - Investments in Securities | $1,567,276,151 | $1,526,242,249 | $41,033,902 | $ — | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $ 222,643 | $ 222,643 | $ — | $ — | |||
Total Assets - Other Financial Instruments | $ 222,643 | $ 222,643 | $ — | $ — |
*** | 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. |
% | |
U.S. Equity Select Funds | 45.8 |
Non-U.S. Equity Select Funds | 26.9 |
Fixed Income Select Funds | 23.2 |
Money Market Funds | 2.3 |
Real Assets Select Funds | 1.5 |
Alternative Select Funds | 0.2 |
99.9 |
Average Annual Total Returns as of 12/31/20 | |||||
Institutional Class* | Investor Class* | ||||
One Year | 13.15% | 12.90% | |||
Five Year | N/A | 10.56% | |||
Ten year | N/A | 8.32% | |||
Since Inception | 10.50% | 5.70% | |||
Inception Date | 05/01/17 | 12/29/06 | |||
Total Fund Operating Expenses (May 1, 2020 Prospectus)(1) | 0.48% | 0.74% |
Shares | Value | |||
MUTUAL FUNDS — 97.6% | ||||
GuideStone Medium-Duration Bond Fund (Institutional Class)∞ | 13,711,638 | $214,587,138 | ||
GuideStone Global Bond Fund (Institutional Class)∞ | 4,912,877 | 50,995,667 | ||
GuideStone Defensive Market Strategies® Fund (Institutional Class)∞ | 5,297,920 | 74,912,596 | ||
GuideStone Equity Index Fund (Institutional Class)∞ | 9,797,330 | 400,024,965 | ||
GuideStone Small Cap Equity Fund (Institutional Class)∞ | 2,670,030 | 49,849,463 | ||
GuideStone International Equity Index Fund (Institutional Class)∞ | 18,819,801 | 216,992,302 | ||
GuideStone Emerging Markets Equity Fund (Institutional Class)∞ | 7,458,429 | 91,962,436 | ||
GuideStone Global Real Estate Securities Fund (Institutional Class)∞ | 1,770,627 | 16,767,834 |
Shares | Value | |||
GuideStone Strategic Alternatives Fund (Institutional Class)∞ | 255,791 | $ 2,547,674 | ||
Total Mutual Funds (Cost $959,503,510) | 1,118,640,075 | |||
MONEY MARKET FUNDS — 2.3% | ||||
GuideStone Money Market Fund, 0.00% (Institutional Class)Ø∞ (Cost $26,106,766) | 26,106,766 | 26,106,766 | ||
TOTAL INVESTMENTS — 99.9% (Cost $985,610,276) | 1,144,746,841 | |||
Other Assets in Excess of Liabilities — 0.1% | 1,113,133 | |||
NET ASSETS — 100.0% | $1,145,859,974 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index | 03/2021 | 54 | $ 5,753,160 | $ 57,574 | ||||
MSCI Emerging Markets E-Mini | 03/2021 | 24 | 1,545,840 | 38,362 | ||||
S&P 500® E-Mini | 03/2021 | 60 | 11,246,400 | 216,349 | ||||
10-Year U.S. Treasury Note | 03/2021 | 44 | 6,075,438 | 5,848 | ||||
Total Futures Contracts outstanding at December 31, 2020 | $24,620,838 | $318,133 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Money Market Funds | $ 26,106,766 | $ 26,106,766 | $ — | $ — | |||
Mutual Funds | 1,118,640,075 | 1,118,640,075 | — | — | |||
Total Assets - Investments in Securities | $1,144,746,841 | $1,144,746,841 | $ — | $ — | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $ 318,133 | $ 318,133 | $ — | $ — | |||
Total Assets - Other Financial Instruments | $ 318,133 | $ 318,133 | $ — | $ — |
*** | 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. |
% | |
U.S. Equity Select Funds | 52.3 |
Non-U.S. Equity Select Funds | 32.9 |
Fixed Income Select Funds | 10.8 |
Money Market Funds | 2.2 |
Real Assets Select Funds | 1.7 |
99.9 |
Average Annual Total Returns as of 12/31/20 | |||||
Institutional Class* | Investor Class* | ||||
One Year | 14.06% | 13.80% | |||
Five Year | N/A | 11.33% | |||
Ten year | N/A | 8.77% | |||
Since Inception | 11.32% | 5.81% | |||
Inception Date | 05/01/17 | 12/29/06 | |||
Total Fund Operating Expenses (May 1, 2020 Prospectus)(1) | 0.47% | 0.75% |
Shares | Value | |||
MUTUAL FUNDS — 97.7% | ||||
GuideStone Medium-Duration Bond Fund (Institutional Class)∞ | 4,870,950 | $ 76,230,367 | ||
GuideStone Global Bond Fund (Institutional Class)∞ | 1,757,859 | 18,246,574 | ||
GuideStone Defensive Market Strategies® Fund (Institutional Class)∞ | 2,904,649 | 41,071,732 | ||
GuideStone Equity Index Fund (Institutional Class)∞ | 9,093,674 | 371,294,725 | ||
GuideStone Small Cap Equity Fund (Institutional Class)∞ | 2,509,497 | 46,852,311 | ||
GuideStone International Equity Index Fund (Institutional Class)∞ | 17,563,916 | 202,511,948 | ||
GuideStone Emerging Markets Equity Fund (Institutional Class)∞ | 6,960,955 | 85,828,581 |
Shares | Value | |||
GuideStone Global Real Estate Securities Fund (Institutional Class)∞ | 1,550,158 | $ 14,680,000 | ||
Total Mutual Funds (Cost $713,568,885) | 856,716,238 | |||
MONEY MARKET FUNDS — 2.2% | ||||
GuideStone Money Market Fund, 0.00% (Institutional Class)Ø∞ (Cost $19,105,128) | 19,105,128 | 19,105,128 | ||
TOTAL INVESTMENTS — 99.9% (Cost $732,674,013) | 875,821,366 | |||
Other Assets in Excess of Liabilities — 0.1% | 1,057,092 | |||
NET ASSETS — 100.0% | $876,878,458 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index E-mini | 03/2021 | 46 | $ 4,900,840 | $ 47,249 | ||||
MSCI Emerging Markets E-Mini | 03/2021 | 23 | 1,481,430 | 39,079 | ||||
S&P 500® E-Mini | 03/2021 | 52 | 9,746,880 | 189,573 | ||||
10-Year U.S. Treasury Note | 03/2021 | 16 | 2,209,250 | 2,254 | ||||
Total Futures Contracts outstanding at December 31, 2020 | $18,338,400 | $278,155 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Money Market Funds | $ 19,105,128 | $ 19,105,128 | $ — | $ — | |||
Mutual Funds | 856,716,238 | 856,716,238 | — | — | |||
Total Assets - Investments in Securities | $875,821,366 | $875,821,366 | $ — | $ — | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $ 278,155 | $ 278,155 | $ — | $ — | |||
Total Assets - Other Financial Instruments | $ 278,155 | $ 278,155 | $ — | $ — |
*** | 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. |
% | |
U.S. Equity Select Funds | 54.9 |
Non-U.S. Equity Select Funds | 33.7 |
Fixed Income Select Funds | 6.9 |
Money Market Funds | 2.4 |
Real Assets Select Funds | 1.8 |
99.7 |
Average Annual Total Returns as of 12/31/20 | |||||
Institutional Class* | Investor Class* | ||||
One Year | 14.23% | 13.85% | |||
Five Year | N/A | 11.63% | |||
Ten year | N/A | N/A | |||
Since Inception | 11.55% | 10.15% | |||
Inception Date | 05/01/17 | 01/01/12 | |||
Total Fund Operating Expenses (May 1, 2020 Prospectus)(1) | 0.53% | 0.77% |
Shares | Value | |||
MUTUAL FUNDS — 97.3% | ||||
GuideStone Medium-Duration Bond Fund (Institutional Class)∞ | 1,126,325 | $ 17,626,988 | ||
GuideStone Global Bond Fund (Institutional Class)∞ | 424,297 | 4,404,199 | ||
GuideStone Defensive Market Strategies® Fund (Institutional Class)∞ | 1,090,813 | 15,424,100 | ||
GuideStone Equity Index Fund (Institutional Class)∞ | 3,491,876 | 142,573,286 | ||
GuideStone Small Cap Equity Fund (Institutional Class)∞ | 935,135 | 17,458,967 | ||
GuideStone International Equity Index Fund (Institutional Class)∞ | 6,525,406 | 75,237,929 | ||
GuideStone Emerging Markets Equity Fund (Institutional Class)∞ | 2,626,306 | 32,382,357 |
Shares | Value | |||
GuideStone Global Real Estate Securities Fund (Institutional Class)∞ | 617,296 | $ 5,845,794 | ||
Total Mutual Funds (Cost $261,646,144) | 310,953,620 | |||
MONEY MARKET FUNDS — 2.4% | ||||
GuideStone Money Market Fund, 0.00% (Institutional Class)Ø∞ (Cost $7,666,831) | 7,666,831 | 7,666,831 | ||
TOTAL INVESTMENTS — 99.7% (Cost $269,312,975) | 318,620,451 | |||
Other Assets in Excess of Liabilities — 0.3% | 806,458 | |||
NET ASSETS — 100.0% | $319,426,909 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index | 03/2021 | 20 | $2,130,800 | $ 17,148 | ||||
MSCI Emerging Markets E-Mini | 03/2021 | 9 | 579,690 | 15,022 | ||||
S&P 500® E-Mini | 03/2021 | 23 | 4,311,120 | 81,218 | ||||
10-Year U.S. Treasury Note | 03/2021 | 4 | 552,313 | 832 | ||||
Total Futures Contracts outstanding at December 31, 2020 | $7,573,923 | $114,220 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Money Market Funds | $ 7,666,831 | $ 7,666,831 | $ — | $ — | |||
Mutual Funds | 310,953,620 | 310,953,620 | — | — | |||
Total Assets - Investments in Securities | $318,620,451 | $318,620,451 | $ — | $ — | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $ 114,220 | $ 114,220 | $ — | $ — | |||
Total Assets - Other Financial Instruments | $ 114,220 | $ 114,220 | $ — | $ — |
*** | 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. |
STATEMENTS OF ASSETS AND LIABILITIES | December 31, 2020 |
MyDestination 2015 Fund | MyDestination 2025 Fund | ||
Assets | |||
Investments in securities of unaffiliated issuers, at value | $ 37,558,046 | $ 41,062,473 | |
Investments in securities of affiliated issuers, at value | 660,048,352 | 1,526,213,678 | |
Total investments, at value(1) | 697,606,398 | 1,567,276,151 | |
Deposits with broker for futures contracts | 222,997 | 880,000 | |
Receivables: | |||
Dividends | 24 | 71 | |
Interest | 80,060 | 88,108 | |
Fund shares sold | 179,867 | 306,125 | |
Variation margin on futures contracts | 8,010 | 33,436 | |
Prepaid expenses and other assets | 7,389 | 9,687 | |
Total Assets | 698,104,745 | 1,568,593,578 | |
Liabilities | |||
Payables: | |||
Fund shares redeemed | 33,546 | 23,735 | |
Accrued expenses: | |||
Investment advisory fees | 9,870 | 59,419 | |
Shareholder servicing fees | 110,714 | 232,653 | |
Trustee fees | 183 | 309 | |
Other expenses | 50,114 | 82,319 | |
Total Liabilities | 204,427 | 398,435 | |
Net Assets | $697,900,318 | $1,568,195,143 | |
Net Assets Consist of: | |||
Paid-in-capital | $630,771,354 | $1,388,343,566 | |
Distributable earnings (loss) | 67,128,964 | 179,851,577 | |
Net Assets | $697,900,318 | $1,568,195,143 | |
Net Asset Value: | |||
$0.001 par value, unlimited shares authorized | |||
Net assets applicable to the Institutional Class | $169,812,017 | $ 449,798,269 | |
Institutional shares outstanding | 15,509,113 | 40,527,974 | |
Net asset value, offering and redemption price per Institutional share | $ 10.95 | $ 11.10 | |
Net assets applicable to the Investor Class | $528,088,301 | $1,118,396,874 | |
Investor shares outstanding | 48,244,135 | 100,647,197 | |
Net asset value, offering and redemption price per Investor share | $ 10.95 | $ 11.11 | |
(1)Investments in securities of unaffiliated issuers, at cost | $ 37,409,843 | $ 40,900,920 | |
Investments in securities of affiliated issuers, at cost | 598,035,914 | 1,357,852,525 | |
Total investments, at cost | $635,445,757 | $1,398,753,445 |
MyDestination 2035 Fund | MyDestination 2045 Fund | MyDestination 2055 Fund | ||
$ — | $ — | $ — | ||
1,144,746,841 | 875,821,366 | 318,620,451 | ||
1,144,746,841 | 875,821,366 | 318,620,451 | ||
1,253,000 | 1,095,000 | 477,006 | ||
69 | 51 | 19 | ||
— | — | — | ||
243,460 | 352,833 | 420,397 | ||
29,652 | 23,735 | 10,582 | ||
8,350 | 7,963 | 13,168 | ||
1,146,281,372 | 877,300,948 | 319,541,623 | ||
106,255 | 173,845 | 16,325 | ||
87,880 | 72,564 | 15,913 | ||
158,407 | 114,342 | 38,905 | ||
219 | 180 | 112 | ||
68,637 | 61,559 | 43,459 | ||
421,398 | 422,490 | 114,714 | ||
$1,145,859,974 | $876,878,458 | $319,426,909 | ||
$ 977,750,511 | $727,381,521 | $268,832,626 | ||
168,109,463 | 149,496,937 | 50,594,283 | ||
$1,145,859,974 | $876,878,458 | $319,426,909 | ||
$ 379,986,188 | $323,697,667 | $130,214,028 | ||
33,968,713 | 29,497,942 | 8,471,722 | ||
$ 11.19 | $ 10.97 | $ 15.37 | ||
$ 765,873,786 | $553,180,791 | $189,212,881 | ||
68,466,382 | 50,442,045 | 12,330,647 | ||
$ 11.19 | $ 10.97 | $ 15.34 | ||
$ — | $ — | $ — | ||
985,610,276 | 732,674,013 | 269,312,975 | ||
$ 985,610,276 | $732,674,013 | $269,312,975 |
STATEMENTS OF OPERATIONS | For the Year Ended December 31, 2020 |
MyDestination 2015 Fund | |
Investment Income | |
Dividends | $ 462 |
Income distributions received from affiliated funds | 10,524,047 |
Interest | — |
Total Investment Income | 10,524,509 |
Expenses | |
Investment advisory fees | 651,585 |
Transfer agent fees: | |
Institutional shares | 3,360 |
Investor shares | 21,563 |
Custodian fees | 21,577 |
Shareholder servicing fees: | |
Investor shares | 1,253,834 |
Accounting and administration fees | 29,081 |
Professional fees | 89,094 |
Shareholder reporting fees: | |
Institutional shares | 673 |
Investor shares | 8,785 |
Trustees expenses | 1,904 |
Line of credit facility fees | 502 |
Other expenses | 83,390 |
Recoupment of prior expenses reduced by the Advisor | — |
Total Expenses | 2,165,348 |
Expenses waived/reimbursed(1) | (482,328) |
Net Expenses | 1,683,020 |
Net Investment Income | 8,841,489 |
Realized and Unrealized Gain (Loss) | |
Capital gain distributions received from affiliated funds | 7,787,922 |
Net realized gain on investment securities of affiliated issuers | 7,983,608 |
Net realized gain (loss) on futures transactions | 137,383 |
Net realized gain | 15,908,913 |
Change in unrealized appreciation (depreciation) on investment securities of affiliated issuers | 32,626,699 |
Change in unrealized appreciation (depreciation) on investment securities of unaffiliated issuers | 148,189 |
Change in unrealized appreciation (depreciation) on futures | 34,189 |
Net change in unrealized appreciation (depreciation) | 32,809,077 |
Net Realized and Unrealized Gain | 48,717,990 |
Net Increase in Net Assets Resulting from Operations | $57,559,479 |
(1) | See Note 3c in Notes to Financial Statements. |
MyDestination 2025 Fund | MyDestination 2035 Fund | MyDestination 2045 Fund | MyDestination 2055 Fund | |||
$ 162 | $ 150 | $ 171 | $ — | |||
23,367,038 | 16,412,307 | 12,221,672 | 4,278,119 | |||
— | 1,224 | 1,442 | 356 | |||
23,367,200 | 16,413,681 | 12,223,285 | 4,278,475 | |||
1,413,730 | 965,127 | 726,596 | 250,403 | |||
4,012 | 4,091 | 4,096 | 3,982 | |||
32,291 | 22,544 | 20,275 | 17,434 | |||
28,006 | 23,507 | 21,630 | 22,999 | |||
2,557,165 | 1,653,683 | 1,171,389 | 380,146 | |||
63,163 | 43,171 | 32,502 | 11,205 | |||
82,219 | 86,494 | 88,725 | 88,496 | |||
1,843 | 1,719 | 2,040 | 1,850 | |||
16,560 | 11,194 | 10,298 | 7,103 | |||
3,812 | 2,603 | 1,970 | 1,239 | |||
1,544 | 1,828 | 1,616 | 1,562 | |||
125,399 | 103,630 | 87,177 | 54,764 | |||
— | 72,341 | 106,541 | 8,398 | |||
4,329,744 | 2,991,932 | 2,274,855 | 849,581 | |||
(569,189) | (24,457) | (15,907) | (57,582) | |||
3,760,555 | 2,967,475 | 2,258,948 | 791,999 | |||
19,606,645 | 13,446,206 | 9,964,337 | 3,486,476 | |||
18,026,265 | 11,345,046 | 6,832,409 | 2,299,397 | |||
23,960,883 | 14,720,325 | 7,701,088 | 1,363,057 | |||
(91,352) | (136,785) | (216,856) | (32,138) | |||
41,895,796 | 25,928,586 | 14,316,641 | 3,630,316 | |||
87,665,521 | 90,116,521 | 83,964,455 | 33,428,866 | |||
161,512 | (51) | (44) | (60) | |||
117,497 | 164,306 | 149,069 | 72,310 | |||
87,944,530 | 90,280,776 | 84,113,480 | 33,501,116 | |||
129,840,326 | 116,209,362 | 98,430,121 | 37,131,432 | |||
$149,446,971 | $129,655,568 | $108,394,458 | $40,617,908 |
STATEMENTS OF CHANGES IN NET ASSETS |
MyDestination 2015 Fund | MyDestination 2025 Fund | ||||||
For the Year Ended | For the Year Ended | ||||||
12/31/20 | 12/31/19 | 12/31/20 | 12/31/19 | ||||
Operations: | |||||||
Net investment income | $ 8,841,489 | $ 13,925,733 | $ 19,606,645 | $ 27,594,933 | |||
Net realized gain on investment securities and futures transactions | 15,908,913 | 14,296,310 | 41,895,796 | 27,355,301 | |||
Net change in unrealized appreciation (depreciation) on investment securities and futures | 32,809,077 | 61,031,096 | 87,944,530 | 156,024,078 | |||
Net increase in net assets resulting from operations | 57,559,479 | 89,253,139 | 149,446,971 | 210,974,312 | |||
Distributions to Shareholders: | |||||||
Institutional shares | (6,408,437) | (5,862,578) | (17,903,630) | (13,988,165) | |||
Investor shares | (18,764,203) | (20,450,729) | (42,018,908) | (38,484,767) | |||
Total distributions | (25,172,640) | (26,313,307) | (59,922,538) | (52,472,932) | |||
Capital Share Transactions: | |||||||
Proceeds from shares sold | |||||||
Institutional shares | 41,045,766 | 53,645,758 | 97,587,137 | 112,767,546 | |||
Investor shares | 60,915,701 | 49,464,244 | 106,704,232 | 111,058,235 | |||
Reinvestment of dividends and distributions | |||||||
Institutional shares | 6,408,437 | 5,862,578 | 17,903,630 | 13,988,165 | |||
Investor shares | 18,759,541 | 20,446,948 | 42,015,796 | 38,483,178 | |||
Total proceeds from shares sold and reinvested | 127,129,445 | 129,419,528 | 264,210,795 | 276,297,124 | |||
Value of shares redeemed | |||||||
Institutional shares | (28,757,117) | (31,768,802) | (53,695,788) | (50,659,250) | |||
Investor shares | (100,454,578) | (93,504,464) | (141,392,507) | (112,946,892) | |||
Total value of shares redeemed | (129,211,695) | (125,273,266) | (195,088,295) | (163,606,142) | |||
Net increase (decrease) from capital share transactions(1) | (2,082,250) | 4,146,262 | 69,122,500 | 112,690,982 | |||
Total increase in net assets | 30,304,589 | 67,086,094 | 158,646,933 | 271,192,362 | |||
Net Assets: | |||||||
Beginning of Year | 667,595,729 | 600,509,635 | 1,409,548,210 | 1,138,355,848 | |||
End of Year | $ 697,900,318 | $ 667,595,729 | $1,568,195,143 | $1,409,548,210 |
(1) | See Note 6 in Notes to Financial Statements. |
MyDestination 2035 Fund | MyDestination 2045 Fund | MyDestination 2055 Fund | ||||||||
For the Year Ended | For the Year Ended | For the Year Ended | ||||||||
12/31/20 | 12/31/19 | 12/31/20 | 12/31/19 | 12/31/20 | 12/31/19 | |||||
$ 13,446,206 | $ 17,182,712 | $ 9,964,337 | $ 12,586,247 | $ 3,486,476 | $ 3,872,295 | |||||
25,928,586 | 14,025,688 | 14,316,641 | 9,995,707 | 3,630,316 | 5,037,224 | |||||
90,280,776 | 128,412,019 | 84,113,480 | 108,037,603 | 33,501,116 | 30,906,869 | |||||
129,655,568 | 159,620,419 | 108,394,458 | 130,619,557 | 40,617,908 | 39,816,388 | |||||
(12,154,818) | (9,403,983) | (8,196,290) | (8,040,317) | (2,929,834) | (3,200,893) | |||||
(22,913,162) | (21,796,700) | (12,765,470) | (15,261,033) | (3,887,403) | (5,664,596) | |||||
(35,067,980) | (31,200,683) | (20,961,760) | (23,301,350) | (6,817,237) | (8,865,489) | |||||
93,832,021 | 85,294,170 | 69,124,988 | 60,147,102 | 43,068,497 | 29,732,533 | |||||
78,771,395 | 88,866,340 | 52,552,692 | 65,328,746 | 39,537,765 | 39,108,697 | |||||
12,154,818 | 9,403,983 | 8,196,290 | 8,040,317 | 2,929,834 | 3,200,894 | |||||
22,911,118 | 21,796,029 | 12,765,324 | 15,260,906 | 3,887,416 | 5,664,445 | |||||
207,669,352 | 205,360,522 | 142,639,294 | 148,777,071 | 89,423,512 | 77,706,569 | |||||
(23,785,558) | (35,182,892) | (17,569,090) | (31,741,269) | (7,189,755) | (20,917,032) | |||||
(61,433,706) | (58,018,044) | (36,714,974) | (40,840,087) | (17,236,823) | (15,829,240) | |||||
(85,219,264) | (93,200,936) | (54,284,064) | (72,581,356) | (24,426,578) | (36,746,272) | |||||
122,450,088 | 112,159,586 | 88,355,230 | 76,195,715 | 64,996,934 | 40,960,297 | |||||
217,037,676 | 240,579,322 | 175,787,928 | 183,513,922 | 98,797,605 | 71,911,196 | |||||
928,822,298 | 688,242,976 | 701,090,530 | 517,576,608 | 220,629,304 | 148,718,108 | |||||
$1,145,859,974 | $928,822,298 | $876,878,458 | $701,090,530 | $319,426,909 | $220,629,304 |
FINANCIAL HIGHLIGHTS |
For a Share Outstanding For the Years Ending December 31, unless otherwise indicated | Ratios to Average Net Assets | |||||||||||||
Net Asset Value, Beginning of Year | Net Investment Income#(1) | Realized and Unrealized Gain (Loss) on Investments | Total Income From Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Capital Gains | Total Distributions Paid | Net Asset Value, End of Year | Total Return | Net Assets, End of Year (000) | Expenses, Net(2) | Expenses, Gross(2) | Investment Income, Net (1) | Portfolio Turnover Rate | |
MyDestination 2015 Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2020 | $10.40 | $0.16 | $ 0.82 | $ 0.98 | $(0.22) | $(0.21) | $(0.43) | $10.95 | 9.41% | $ 169,812 | 0.06% | 0.14% | 1.58% | 23% |
2019 | 9.40 | 0.25 | 1.19 | 1.44 | (0.28) | (0.16) | (0.44) | 10.40 | 15.32 | 142,900 | 0.06 | 0.13 | 2.48 | 7 |
2018 | 10.37 | 0.20 | (0.54) | (0.34) | (0.38) | (0.25) | (0.63) | 9.40 | (3.33) | 104,300 | 0.13 | 0.15 | 1.91 | 32 |
2017(3) | 9.97 | 0.12 | 0.58 | 0.70 | (0.06) | (0.24) | (0.30) | 10.37 | 6.99 | 108,975 | 0.16 | 0.16 | 1.78 | 17 |
Investor Class | ||||||||||||||
2020 | $10.40 | $0.13 | $ 0.82 | $ 0.95 | $(0.19) | $(0.21) | $(0.40) | $10.95 | 9.16% | $ 528,088 | 0.31% | 0.39% | 1.29% | 23% |
2019 | 9.40 | 0.21 | 1.21 | 1.42 | (0.26) | (0.16) | (0.42) | 10.40 | 15.09 | 524,696 | 0.31 | 0.38 | 2.09 | 7 |
2018 | 10.38 | 0.17 | (0.55) | (0.38) | (0.35) | (0.25) | (0.60) | 9.40 | (3.66) | 496,209 | 0.37 | 0.39 | 1.67 | 32 |
2017 | 9.54 | 0.12 | 1.00 | 1.12 | (0.04) | (0.24) | (0.28) | 10.38 | 11.67 | 521,339 | 0.38 | 0.39 | 1.21 | 17 |
2016 | 9.19 | 0.16 | 0.48 | 0.64 | (0.11) | (0.18) | (0.29) | 9.54 | 6.99 | 535,401 | 0.35 | 0.40 | 1.65 | 16 |
MyDestination 2025 Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2020 | $10.42 | $0.17 | $ 0.97 | $ 1.14 | $(0.22) | $(0.24) | $(0.46) | $11.10 | 10.95% | $ 449,798 | 0.08% | 0.12% | 1.60% | 19% |
2019 | 9.15 | 0.25 | 1.44 | 1.69 | (0.27) | (0.15) | (0.42) | 10.42 | 18.45 | 361,408 | 0.09 | 0.12 | 2.43 | 5 |
2018 | 10.25 | 0.18 | (0.66) | (0.48) | (0.28) | (0.34) | (0.62) | 9.15 | (4.64) | 250,202 | 0.12 | 0.13 | 1.80 | 37 |
2017(3) | 9.79 | 0.13 | 0.75 | 0.88 | (0.12) | (0.30) | (0.42) | 10.25 | 9.08 | 222,031 | 0.14 | 0.14 | 1.82 | 15 |
Investor Class | ||||||||||||||
2020 | $10.43 | $0.14 | $ 0.97 | $ 1.11 | $(0.19) | $(0.24) | $(0.43) | $11.11 | 10.69% | $1,118,397 | 0.34% | 0.38% | 1.31% | 19% |
2019 | 9.16 | 0.21 | 1.45 | 1.66 | (0.24) | (0.15) | (0.39) | 10.43 | 18.18 | 1,048,140 | 0.34 | 0.37 | 2.06 | 5 |
2018 | 10.26 | 0.15 | (0.65) | (0.50) | (0.26) | (0.34) | (0.60) | 9.16 | (4.87) | 888,153 | 0.36 | 0.38 | 1.51 | 37 |
2017 | 9.28 | 0.11 | 1.27 | 1.38 | (0.10) | (0.30) | (0.40) | 10.26 | 14.92 | 878,579 | 0.38 | 0.38 | 1.12 | 15 |
2016 | 8.88 | 0.16 | 0.55 | 0.71 | (0.09) | (0.22) | (0.31) | 9.28 | 8.01 | 855,171 | 0.35 | 0.39 | 1.70 | 17 |
MyDestination 2035 Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2020 | $10.22 | $0.16 | $ 1.18 | $ 1.34 | $(0.19) | $(0.18) | $(0.37) | $11.19 | 13.15% | $ 379,986 | 0.14% | 0.14% | 1.61% | 11% |
2019 | 8.65 | 0.24 | 1.70 | 1.94 | (0.24) | (0.13) | (0.37) | 10.22 | 22.47 | 266,012 | 0.13 | 0.13 | 2.41 | 4 |
2018 | 9.95 | 0.15 | (0.80) | (0.65) | (0.29) | (0.36) | (0.65) | 8.65 | (6.56) | 173,573 | 0.13 | 0.14 | 1.54 | 50 |
2017(3) | 9.29 | 0.13 | 0.93 | 1.06 | (0.07) | (0.33) | (0.40) | 9.95 | 11.51 | 152,421 | 0.15 | 0.15 | 1.99 | 35 |
Investor Class | ||||||||||||||
2020 | $10.22 | $0.13 | $ 1.19 | $ 1.32 | $(0.17) | $(0.18) | $(0.35) | $11.19 | 12.90% | $ 765,874 | 0.39% | 0.39% | 1.29% | 11% |
2019 | 8.65 | 0.20 | 1.72 | 1.92 | (0.22) | (0.13) | (0.35) | 10.22 | 22.16 | 662,810 | 0.39 | 0.39 | 2.01 | 4 |
2018 | 9.96 | 0.12 | (0.80) | (0.68) | (0.27) | (0.36) | (0.63) | 8.65 | (6.89) | 514,670 | 0.38 | 0.39 | 1.25 | 50 |
2017 | 8.72 | 0.11 | 1.51 | 1.62 | (0.05) | (0.33) | (0.38) | 9.96 | 18.66 | 498,807 | 0.38 | 0.39 | 1.16 | 35 |
2016 | 8.36 | 0.14 | 0.57 | 0.71 | (0.07) | (0.28) | (0.35) | 8.72 | 8.38 | 479,051 | 0.35 | 0.40 | 1.65 | 16 |
# | 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 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 0.44%, 0.41%, 0.35%, 0.34% and 0.33%, respectively for 2020, and are deducted from the value of the funds in which each Fund invests and is included in each Fund’s total return. |
(3) | 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. |
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 | Total Income From Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Capital Gains | Total Distributions Paid | Net Asset Value, End of Year | Total Return | Net Assets, End of Year (000) | Expenses, Net(2) | Expenses, Gross(2) | Investment Income, Net (1) | Portfolio Turnover Rate | |
MyDestination 2045 Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2020 | $ 9.87 | $0.15 | $ 1.24 | $ 1.39 | $(0.17) | $(0.12) | $(0.29) | $10.97 | 14.06% | $323,697 | 0.14% | 0.14% | 1.58% | 7% |
2019 | 8.21 | 0.22 | 1.79 | 2.01 | (0.22) | (0.13) | (0.35) | 9.87 | 24.56 | 230,295 | 0.13 | 0.13 | 2.31 | 4 |
2018 | 9.60 | 0.13 | (0.84) | (0.71) | (0.26) | (0.42) | (0.68) | 8.21 | (7.50) | 160,533 | 0.14 | 0.15 | 1.36 | 58 |
2017(3) | 8.90 | 0.13 | 1.01 | 1.14 | (0.07) | (0.37) | (0.44) | 9.60 | 12.85 | 145,343 | 0.16 | 0.16 | 1.99 | 10 |
Investor Class | ||||||||||||||
2020 | $ 9.87 | $0.12 | $ 1.24 | $ 1.36 | $(0.14) | $(0.12) | $(0.26) | $10.97 | 13.80% | $553,181 | 0.41% | 0.41% | 1.26% | 7% |
2019 | 8.21 | 0.18 | 1.80 | 1.98 | (0.19) | (0.13) | (0.32) | 9.87 | 24.24 | 470,796 | 0.41 | 0.41 | 1.94 | 4 |
2018 | 9.60 | 0.10 | (0.83) | (0.73) | (0.24) | (0.42) | (0.66) | 8.21 | (7.73) | 357,044 | 0.39 | 0.40 | 1.08 | 58 |
2017 | 8.29 | 0.10 | 1.63 | 1.73 | (0.05) | (0.37) | (0.42) | 9.60 | 20.90 | 344,147 | 0.38 | 0.40 | 1.06 | 10 |
2016 | 7.95 | 0.12 | 0.56 | 0.68 | (0.04) | (0.30) | (0.34) | 8.29 | 8.45 | 354,271 | 0.35 | 0.41 | 1.50 | 16 |
MyDestination 2055 Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2020 | $13.77 | $0.21 | $ 1.74 | $ 1.95 | $(0.22) | $(0.13) | $(0.35) | $15.37 | 14.23% | $130,214 | 0.16% | 0.18% | 1.58% | 12% |
2019 | 11.48 | 0.30 | 2.58 | 2.88 | (0.30) | (0.29) | (0.59) | 13.77 | 25.15 | 77,156 | 0.16 | 0.20 | 2.26 | 10 |
2018 | 13.45 | 0.19 | (1.23) | (1.04) | (0.31) | (0.62) | (0.93) | 11.48 | (7.77) | 54,326 | 0.18 | 0.24 | 1.40 | 62 |
2017(3) | 12.43 | 0.18 | 1.47 | 1.65 | (0.02) | (0.61) | (0.63) | 13.45 | 13.33 | 38,161 | 0.20 | 0.33 | 2.04 | 9 |
Investor Class | ||||||||||||||
2020 | $13.76 | $0.17 | $ 1.73 | $ 1.90 | $(0.19) | $(0.13) | $(0.32) | $15.34 | 13.85% | $189,213 | 0.42% | 0.44% | 1.27% | 12% |
2019 | 11.47 | 0.27 | 2.58 | 2.85 | (0.27) | (0.29) | (0.56) | 13.76 | 24.92 | 143,473 | 0.41 | 0.44 | 2.03 | 10 |
2018 | 13.45 | 0.15 | (1.22) | (1.07) | (0.29) | (0.62) | (0.91) | 11.47 | (8.02) | 94,392 | 0.39 | 0.49 | 1.08 | 62 |
2017 | 11.56 | 0.14 | 2.37 | 2.51 | (0.01) | (0.61) | (0.62) | 13.45 | 21.73 | 78,024 | 0.38 | 0.55 | 1.12 | 9 |
2016 | 11.05 | 0.18 | 0.80 | 0.98 | (0.13) | (0.34) | (0.47) | 11.56 | 8.81 | 62,973 | 0.35 | 0.65 | 1.62 | 27 |
# | 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 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 0.44%, 0.41%, 0.35%, 0.34% and 0.33%, respectively for 2020, and are deducted from the value of the funds in which each Fund invests and is included in each Fund’s total return. |
(3) | 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. |
% | |
Fixed Income Select Funds | 63.1 |
U.S. Equity Select Funds | 20.3 |
Non-U.S. Equity Select Funds | 8.9 |
Alternative Select Funds | 4.8 |
Money Market Funds | 1.6 |
Real Assets Select Funds | 1.2 |
99.9 |
Average Annual Total Returns as of 12/31/20 | |||||||
Institutional Class* | Investor Class* | Benchmark** | |||||
One Year | 7.17% | 6.92% | 8.50% | ||||
Five Year | 5.65% | 5.40% | 6.10% | ||||
Ten year | N/A | 3.88% | 4.48% | ||||
Since Inception(1) | 5.32% | 3.95% | 4.38% | ||||
Inception Date | 11/23/15 | 08/27/01 | |||||
Total Fund Operating Expenses (May 1, 2020 Prospectus)(2) | 0.66% | 0.92% |
(1) | The Since Inception benchmark performance is based on the start date of August 27, 2001, which corresponds with the inception date of the Investor Class, the longest operating class of the Fund. |
(2) | The Fund’s shareholders indirectly bear the expenses of the Institutional Class shares of the Select Funds in which the Fund invests. Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights. |
Shares | Value | |||
MUTUAL FUNDS — 98.3% | ||||
GuideStone Low-Duration Bond Fund (Institutional Class)∞ | 19,242,303 | $262,080,174 | ||
GuideStone Medium-Duration Bond Fund (Institutional Class)∞ | 4,365,441 | 68,319,158 | ||
GuideStone Global Bond Fund (Institutional Class)∞ | 1,670,511 | 17,339,906 | ||
GuideStone Defensive Market Strategies® Fund (Institutional Class)∞ | 2,882,057 | 40,752,281 | ||
GuideStone Value Equity Fund (Institutional Class)∞ | 1,691,808 | 32,736,482 | ||
GuideStone Growth Equity Fund (Institutional Class)∞ | 1,040,721 | 31,877,274 | ||
GuideStone Small Cap Equity Fund (Institutional Class)∞ | 343,925 | 6,421,083 | ||
GuideStone International Equity Fund (Institutional Class)∞ | 2,353,589 | 34,597,760 | ||
GuideStone Emerging Markets Equity Fund (Institutional Class)∞ | 1,146,546 | 14,136,907 |
Shares | Value | |||
GuideStone Global Real Estate Securities Fund (Institutional Class)∞ | 705,773 | $ 6,683,668 | ||
GuideStone Strategic Alternatives Fund (Institutional Class)∞ | 2,683,564 | 26,728,302 | ||
Total Mutual Funds (Cost $513,104,170) | 541,672,995 | |||
MONEY MARKET FUNDS — 1.6% | ||||
GuideStone Money Market Fund, 0.00% (Institutional Class)Ø∞ (Cost $8,807,011) | 8,807,011 | 8,807,011 | ||
TOTAL INVESTMENTS — 99.9% (Cost $521,911,181) | 550,480,006 | |||
Other Assets in Excess of Liabilities — 0.1% | 374,513 | |||
NET ASSETS — 100.0% | $550,854,519 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index E-Mini | 03/2021 | 6 | $ 639,240 | $ 7,507 | ||||
MSCI Emerging Markets E-Mini | 03/2021 | 3 | 193,230 | 4,925 | ||||
S&P 500® E-Mini | 03/2021 | 9 | 1,686,960 | 26,759 | ||||
2-Year U.S. Treasury Note | 03/2021 | 41 | 9,060,039 | 1,278 | ||||
Total Futures Contracts outstanding at December 31, 2020 | $11,579,469 | $40,469 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Money Market Funds | $ 8,807,011 | $ 8,807,011 | $ — | $ — | |||
Mutual Funds | 541,672,995 | 541,672,995 | — | — | |||
Total Assets - Investments in Securities | $550,480,006 | $550,480,006 | $ — | $ — | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $ 40,469 | $ 40,469 | $ — | $ — | |||
Total Assets - Other Financial Instruments | $ 40,469 | $ 40,469 | $ — | $ — |
*** | 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. |
% | |
Fixed Income Select Funds | 41.7 |
U.S. Equity Select Funds | 33.9 |
Non-U.S. Equity Select Funds | 16.3 |
Alternative Select Funds | 3.9 |
Money Market Funds | 2.1 |
Real Assets Select Funds | 2.0 |
99.9 |
Average Annual Total Returns as of 12/31/20 | |||||||
Institutional Class* | Investor Class* | Benchmark** | |||||
One Year | 11.00% | 10.66% | 12.72% | ||||
Five Year | 8.48% | 8.20% | 9.02% | ||||
Ten year | N/A | 6.31% | 7.25% | ||||
Since Inception(1) | 7.94% | 5.74% | 6.38% | ||||
Inception Date | 11/23/15 | 08/27/01 | |||||
Total Fund Operating Expenses (May 1, 2020 Prospectus)(2) | 0.79% | 1.05% |
(1) | The Since Inception benchmark performance is based on the start date of August 27, 2001, which corresponds with the inception date of the Investor Class, the longest operating class of the Fund. |
(2) | The Fund’s shareholders indirectly bear the expenses of the Institutional Class shares of the Select Funds in which the Fund invests. Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights. |
Shares | Value | |||
MUTUAL FUNDS — 97.8% | ||||
GuideStone Low-Duration Bond Fund (Institutional Class)∞ | 7,605,836 | $103,591,480 | ||
GuideStone Medium-Duration Bond Fund (Institutional Class)∞ | 24,631,128 | 385,477,146 | ||
GuideStone Extended-Duration Bond Fund (Institutional Class)∞ | 3,621,606 | 69,462,409 | ||
GuideStone Global Bond Fund (Institutional Class)∞ | 13,215,528 | 137,177,177 | ||
GuideStone Defensive Market Strategies® Fund (Institutional Class)∞ | 12,144,518 | 171,723,491 | ||
GuideStone Value Equity Fund (Institutional Class)∞ | 9,390,259 | 181,701,504 | ||
GuideStone Growth Equity Fund (Institutional Class)∞ | 5,790,630 | 177,367,004 | ||
GuideStone Small Cap Equity Fund (Institutional Class)∞ | 1,923,045 | 35,903,259 | ||
GuideStone International Equity Fund (Institutional Class)∞ | 13,154,784 | 193,375,321 | ||
GuideStone Emerging Markets Equity Fund (Institutional Class)∞ | 6,414,920 | 79,095,968 |
Shares | Value | |||
GuideStone Global Real Estate Securities Fund (Institutional Class)∞ | 3,539,973 | $ 33,523,549 | ||
GuideStone Strategic Alternatives Fund (Institutional Class)∞ | 6,463,988 | 64,381,318 | ||
Total Mutual Funds (Cost $1,511,983,180) | 1,632,779,626 | |||
MONEY MARKET FUNDS — 2.1% | ||||
GuideStone Money Market Fund, 0.00% (Institutional Class)Ø∞ (Cost $35,198,043) | 35,198,043 | 35,198,043 | ||
TOTAL INVESTMENTS — 99.9% (Cost $1,547,181,223) | 1,667,977,669 | |||
Other Assets in Excess of Liabilities — 0.1% | 1,765,275 | |||
NET ASSETS — 100.0% | $1,669,742,944 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index | 03/2021 | 54 | $ 5,753,160 | $ 73,686 | ||||
MSCI Emerging Markets E-Mini | 03/2021 | 29 | 1,867,890 | 50,654 | ||||
S&P 500® E-Mini | 03/2021 | 61 | 11,433,840 | 243,458 | ||||
10-Year U.S. Treasury Note | 03/2021 | 20 | 2,761,563 | 2,095 | ||||
5-Year U.S. Treasury Note | 03/2021 | 51 | 6,434,367 | 10,030 | ||||
U.S. Treasury Long Bond | 03/2021 | 27 | 4,676,062 | (24,087) | ||||
Total Futures Contracts outstanding at December 31, 2020 | $32,926,882 | $355,836 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Money Market Funds | $ 35,198,043 | $ 35,198,043 | $ — | $ — | |||
Mutual Funds | 1,632,779,626 | 1,632,779,626 | — | — | |||
Total Assets - Investments in Securities | $1,667,977,669 | $1,667,977,669 | $ — | $ — | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $ 379,923 | $ 379,923 | $ — | $ — | |||
Total Assets - Other Financial Instruments | $ 379,923 | $ 379,923 | $ — | $ — | |||
Liabilities: | |||||||
Other Financial Instruments*** | |||||||
Futures Contracts | $ (24,087) | $ (24,087) | $ — | $ — | |||
Total Liabilities - Other Financial Instruments | $ (24,087) | $ (24,087) | $ — | $ — |
*** | 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. |
% | |
U.S. Equity Select Funds | 45.9 |
Non-U.S. Equity Select Funds | 28.3 |
Fixed Income Select Funds | 18.3 |
Real Assets Select Funds | 3.0 |
Alternative Select Funds | 2.4 |
Money Market Funds | 2.0 |
99.9 |
Average Annual Total Returns as of 12/31/20 | |||||||
Institutional Class* | Investor Class* | Benchmark** | |||||
One Year | 13.30% | 12.96% | 14.44% | ||||
Five Year | 10.45% | 10.17% | 10.82% | ||||
Ten year | N/A | 7.87% | 8.60% | ||||
Since Inception(1) | 9.71% | 6.23% | 6.89% | ||||
Inception Date | 11/23/15 | 08/27/01 | |||||
Total Fund Operating Expenses (May 1, 2020 Prospectus)(2) | 0.90% | 1.16% |
(1) | The Since Inception benchmark performance is based on the start date of August 27, 2001, which corresponds with the inception date of the Investor Class, the longest operating class of the Fund. |
(2) | The Fund’s shareholders indirectly bear the expenses of the Institutional Class shares of the Select Funds in which the Fund invests. Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights. |
Shares | Value | |||
MUTUAL FUNDS — 97.9% | ||||
GuideStone Low-Duration Bond Fund (Institutional Class)∞ | 2,607,539 | $ 35,514,683 | ||
GuideStone Medium-Duration Bond Fund (Institutional Class)∞ | 8,753,601 | 136,993,848 | ||
GuideStone Extended-Duration Bond Fund (Institutional Class)∞ | 1,259,310 | 24,153,568 | ||
GuideStone Global Bond Fund (Institutional Class)∞ | 4,524,087 | 46,960,020 | ||
GuideStone Defensive Market Strategies® Fund (Institutional Class)∞ | 4,223,550 | 59,720,991 | ||
GuideStone Value Equity Fund (Institutional Class)∞ | 13,055,039 | 252,615,009 | ||
GuideStone Growth Equity Fund (Institutional Class)∞ | 8,063,104 | 246,972,890 | ||
GuideStone Small Cap Equity Fund (Institutional Class)∞ | 2,588,061 | 48,319,093 | ||
GuideStone International Equity Fund (Institutional Class)∞ | 18,084,172 | 265,837,327 | ||
GuideStone Emerging Markets Equity Fund (Institutional Class)∞ | 8,806,117 | 108,579,417 |
Shares | Value | |||
GuideStone Global Real Estate Securities Fund (Institutional Class)∞ | 4,180,396 | $ 39,588,352 | ||
GuideStone Strategic Alternatives Fund (Institutional Class)∞ | 3,164,442 | 31,517,838 | ||
Total Mutual Funds (Cost $1,209,625,495) | 1,296,773,036 | |||
MONEY MARKET FUNDS — 2.0% | ||||
GuideStone Money Market Fund, 0.00% (Institutional Class)Ø∞ (Cost $26,309,027) | 26,309,027 | 26,309,027 | ||
TOTAL INVESTMENTS — 99.9% (Cost $1,235,934,522) | 1,323,082,063 | |||
Other Assets in Excess of Liabilities — 0.1% | 1,222,979 | |||
NET ASSETS — 100.0% | $1,324,305,042 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index E-Mini | 03/2021 | 60 | $ 6,392,400 | $ 75,486 | ||||
MSCI Emerging Markets E-Mini | 03/2021 | 29 | 1,867,890 | 49,497 | ||||
S&P 500® E-Mini | 03/2021 | 66 | 12,371,040 | 251,401 | ||||
10-Year U.S. Treasury Note | 03/2021 | 7 | 966,547 | 1,025 | ||||
5-Year U.S. Treasury Note | 03/2021 | 18 | 2,270,953 | 3,500 | ||||
U.S. Treasury Long Bond | 03/2021 | 9 | 1,558,688 | (5,139) | ||||
Total Futures Contracts outstanding at December 31, 2020 | $25,427,518 | $375,770 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Money Market Funds | $ 26,309,027 | $ 26,309,027 | $ — | $ — | |||
Mutual Funds | 1,296,773,036 | 1,296,773,036 | — | — | |||
Total Assets - Investments in Securities | $1,323,082,063 | $1,323,082,063 | $ — | $ — | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $ 380,909 | $ 380,909 | $ — | $ — | |||
Total Assets - Other Financial Instruments | $ 380,909 | $ 380,909 | $ — | $ — | |||
Liabilities: | |||||||
Other Financial Instruments*** | |||||||
Futures Contracts | $ (5,139) | $ (5,139) | $ — | $ — | |||
Total Liabilities - Other Financial Instruments | $ (5,139) | $ (5,139) | $ — | $ — |
*** | 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. |
% | |
U.S. Equity Select Funds | 58.6 |
Non-U.S. Equity Select Funds | 39.6 |
Money Market Funds | 1.7 |
99.9 |
Average Annual Total Returns as of 12/31/20 | |||||||
Institutional Class* | Investor Class* | Benchmark** | |||||
One Year | 15.75% | 15.49% | 16.71% | ||||
Five Year | 12.21% | 11.93% | 12.84% | ||||
Ten year | N/A | 9.64% | 10.35% | ||||
Since Inception(1) | 11.31% | 6.71% | 7.49% | ||||
Inception Date | 11/23/15 | 08/27/01 | |||||
Total Fund Operating Expenses (May 1, 2020 Prospectus)(2) | 0.96% | 1.22% |
(1) | The Since Inception benchmark performance is based on the start date of August 27, 2001, which corresponds with the inception date of the Investor Class, the longest operating class of the Fund. |
(2) | The Fund’s shareholders indirectly bear the expenses of the Institutional Class shares of the Select Funds in which the Fund invests. Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights. |
Shares | Value | |||
MUTUAL FUNDS — 98.2% | ||||
GuideStone Value Equity Fund (Institutional Class)∞ | 15,709,575 | $ 303,980,277 | ||
GuideStone Growth Equity Fund (Institutional Class)∞ | 9,924,940 | 304,000,920 | ||
GuideStone Small Cap Equity Fund (Institutional Class)∞ | 3,280,633 | 61,249,416 | ||
GuideStone International Equity Fund (Institutional Class)∞ | 21,794,592 | 320,380,496 | ||
GuideStone Emerging Markets Equity Fund (Institutional Class)∞ | 10,640,663 | 131,199,370 | ||
Total Mutual Funds (Cost $1,039,191,586) | 1,120,810,479 |
Shares | Value | |||
MONEY MARKET FUNDS — 1.7% | ||||
GuideStone Money Market Fund, 0.00% (Institutional Class)Ø∞ (Cost $19,019,662) | 19,019,662 | $ 19,019,662 | ||
TOTAL INVESTMENTS — 99.9% (Cost $1,058,211,248) | 1,139,830,141 | |||
Other Assets in Excess of Liabilities — 0.1% | 1,061,220 | |||
NET ASSETS — 100.0% | $1,140,891,361 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index | 03/2021 | 59 | $ 6,285,860 | $ 60,661 | ||||
MSCI Emerging Markets E-Mini | 03/2021 | 27 | 1,739,070 | 44,784 | ||||
S&P 500® E-Mini | 03/2021 | 63 | 11,808,720 | 226,799 | ||||
Total Futures Contracts outstanding at December 31, 2020 | $19,833,650 | $332,244 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Money Market Funds | $ 19,019,662 | $ 19,019,662 | $ — | $ — | |||
Mutual Funds | 1,120,810,479 | 1,120,810,479 | — | — | |||
Total Assets - Investments in Securities | $1,139,830,141 | $1,139,830,141 | $ — | $ — | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $ 332,244 | $ 332,244 | $ — | $ — | |||
Total Assets - Other Financial Instruments | $ 332,244 | $ 332,244 | $ — | $ — |
*** | 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. |
STATEMENTS OF ASSETS AND LIABILITIES | December 31, 2020 |
Conservative Allocation Fund | Balanced Allocation Fund | Growth Allocation Fund | Aggressive Allocation Fund | ||||
Assets | |||||||
Investments in securities of affiliated issuers, at value | $550,480,006 | $1,667,977,669 | $1,323,082,063 | $1,139,830,141 | |||
Total investments, at value(1) | 550,480,006 | 1,667,977,669 | 1,323,082,063 | 1,139,830,141 | |||
Deposits with broker for futures contracts | 167,000 | 1,299,000 | 1,399,001 | 1,402,595 | |||
Receivables: | |||||||
Dividends from affiliated funds | 21 | 97 | 70 | 55 | |||
Fund shares sold | 381,249 | 902,784 | 193,929 | 224,963 | |||
Variation margin on futures contracts | 6,556 | 39,405 | 31,238 | 23,915 | |||
Prepaid expenses and other assets | 11,520 | 9,922 | 9,827 | 8,831 | |||
Total Assets | 551,046,352 | 1,670,228,877 | 1,324,716,128 | 1,141,490,500 | |||
Liabilities | |||||||
Payables: | |||||||
Fund shares redeemed | 6,603 | 4,710 | 37,448 | 264,324 | |||
Accrued expenses: | |||||||
Investment advisory fees | 46,183 | 139,461 | 110,057 | 94,582 | |||
Shareholder servicing fees | 86,828 | 254,614 | 191,178 | 176,146 | |||
Trustee fees | 279 | 459 | 344 | 289 | |||
Other expenses | 51,940 | 86,689 | 72,059 | 63,798 | |||
Total Liabilities | 191,833 | 485,933 | 411,086 | 599,139 | |||
Net Assets | $550,854,519 | $1,669,742,944 | $1,324,305,042 | $1,140,891,361 | |||
Net Assets Consist of: | |||||||
Paid-in-capital | $521,628,932 | $1,553,287,555 | $1,222,861,464 | $1,044,346,039 | |||
Distributable earnings (loss) | 29,225,587 | 116,455,389 | 101,443,578 | 96,545,322 | |||
Net Assets | $550,854,519 | $1,669,742,944 | $1,324,305,042 | $1,140,891,361 | |||
Net Asset Value: | |||||||
$0.001 par value, unlimited shares authorized | |||||||
Net assets applicable to the Institutional Class | $135,681,017 | $ 450,121,926 | $ 404,478,772 | $ 290,968,896 | |||
Institutional shares outstanding | 11,334,611 | 34,957,023 | 30,524,348 | 22,284,415 | |||
Net asset value, offering and redemption price per Institutional share | $ 11.97 | $ 12.88 | $ 13.25 | $ 13.06 | |||
Net assets applicable to the Investor Class | $415,173,502 | $1,219,621,018 | $ 919,826,270 | $ 849,922,465 | |||
Investor shares outstanding | 34,692,768 | 94,757,930 | 69,479,974 | 65,386,845 | |||
Net asset value, offering and redemption price per Investor share | $ 11.97 | $ 12.87 | $ 13.24 | $ 13.00 | |||
(1)Investments in securities of affiliated issuers, at cost | 521,911,181 | 1,547,181,223 | 1,235,934,522 | 1,058,211,248 | |||
Total investments, at cost | $521,911,181 | $1,547,181,223 | $1,235,934,522 | $1,058,211,248 |
STATEMENTS OF OPERATIONS | For the Year Ended December 31, 2020 |
Conservative Allocation Fund | Balanced Allocation Fund | Growth Allocation Fund | Aggressive Allocation Fund | ||||
Investment Income | |||||||
Dividends | $ 676 | $ 358 | $ 236 | $ 369 | |||
Income distributions received from affiliated funds | 7,686,821 | 20,357,899 | 11,868,149 | 6,895,265 | |||
Interest | 293 | — | 2,752 | 3,217 | |||
Total Investment Income | 7,687,790 | 20,358,257 | 11,871,137 | 6,898,851 | |||
Expenses | |||||||
Investment advisory fees | 515,274 | 1,549,116 | 1,192,212 | 997,789 | |||
Transfer agent fees: | |||||||
Institutional shares | 3,188 | 3,375 | 3,157 | 3,066 | |||
Investor shares | 24,945 | 51,740 | 38,869 | 33,431 | |||
Custodian fees | 15,171 | 32,832 | 29,984 | 23,011 | |||
Shareholder servicing fees: | |||||||
Investor shares | 984,679 | 2,880,042 | 2,119,762 | 1,889,142 | |||
Accounting and administration fees | 23,040 | 69,265 | 53,309 | 44,615 | |||
Professional fees | 86,706 | 81,258 | 83,558 | 85,022 | |||
Shareholder reporting fees: | |||||||
Institutional shares | 232 | — | — | 171 | |||
Investor shares | 13,120 | — | — | 14,186 | |||
Trustees expenses | 1,509 | 4,441 | 3,433 | 2,982 | |||
Line of credit facility fees | 439 | 657 | 781 | 854 | |||
Other expenses | 84,961 | 121,916 | 112,987 | 102,087 | |||
Total Expenses | 1,753,264 | 4,794,642 | 3,638,052 | 3,196,356 | |||
Net Investment Income | 5,934,526 | 15,563,615 | 8,233,085 | 3,702,495 | |||
Realized and Unrealized Gain (Loss) | |||||||
Capital gain distributions received from affiliated funds | 7,611,172 | 44,344,129 | 43,706,084 | 45,035,789 | |||
Net realized loss on investment securities of affiliated issuers | (1,081,737) | (11,083,267) | (11,018,379) | (16,307,029) | |||
Net realized gain (loss) on futures transactions | 81,248 | 642,722 | (66,329) | (544,956) | |||
Net realized gain | 6,610,683 | 33,903,584 | 32,621,376 | 28,183,804 | |||
Change in unrealized appreciation (depreciation) on investment securities of affiliated issuers | 21,963,521 | 108,549,618 | 107,514,500 | 118,255,989 | |||
Change in unrealized appreciation (depreciation) on investment securities of unaffiliated issuers | (6) | (69) | (61) | (75) | |||
Change in unrealized appreciation (depreciation) on futures | 17,656 | 217,063 | 139,460 | 55,831 | |||
Net change in unrealized appreciation (depreciation) | 21,981,171 | 108,766,612 | 107,653,899 | 118,311,745 | |||
Net Realized and Unrealized Gain | 28,591,854 | 142,670,196 | 140,275,275 | 146,495,549 | |||
Net Increase in Net Assets Resulting from Operations | $34,526,380 | $158,233,811 | $148,508,360 | $150,198,044 |
STATEMENTS OF CHANGES IN NET ASSETS |
Conservative Allocation Fund | Balanced Allocation Fund | ||||||
For the Year Ended | For the Year Ended | ||||||
12/31/20 | 12/31/19 | 12/31/20 | 12/31/19 | ||||
Operations: | |||||||
Net investment income | $ 5,934,526 | $ 9,886,471 | $ 15,563,615 | $ 29,080,642 | |||
Net realized gain on investment securities and futures transactions | 6,610,683 | 8,087,315 | 33,903,584 | 45,298,776 | |||
Net change in unrealized appreciation (depreciation) on investment securities and futures | 21,981,171 | 34,283,232 | 108,766,612 | 172,746,142 | |||
Net increase in net assets resulting from operations | 34,526,380 | 52,257,018 | 158,233,811 | 247,125,560 | |||
Distributions to Shareholders: | |||||||
Institutional shares | (4,154,503) | (5,095,548) | (21,700,422) | (24,389,522) | |||
Investor shares | (11,680,125) | (18,041,539) | (56,015,985) | (76,908,025) | |||
Total distributions | (15,834,628) | (23,137,087) | (77,716,407) | (101,297,547) | |||
Capital Share Transactions: | |||||||
Proceeds from shares sold | |||||||
Institutional shares | 35,450,549 | 26,042,462 | 70,877,243 | 73,921,673 | |||
Investor shares | 69,843,790 | 47,469,039 | 45,976,253 | 57,180,119 | |||
Reinvestment of dividends and distributions | |||||||
Institutional shares | 4,141,914 | 5,077,191 | 21,623,071 | 24,290,995 | |||
Investor shares | 11,659,641 | 18,032,064 | 55,973,918 | 76,871,367 | |||
Total proceeds from shares sold and reinvested | 121,095,894 | 96,620,756 | 194,450,485 | 232,264,154 | |||
Value of shares redeemed | |||||||
Institutional shares | (20,798,028) | (11,877,607) | (45,174,857) | (46,362,952) | |||
Investor shares | (95,489,389) | (79,429,062) | (175,636,915) | (177,611,078) | |||
Total value of shares redeemed | (116,287,417) | (91,306,669) | (220,811,772) | (223,974,030) | |||
Net increase (decrease) from capital share transactions(1) | 4,808,477 | 5,314,087 | (26,361,287) | 8,290,124 | |||
Total increase in net assets | 23,500,229 | 34,434,018 | 54,156,117 | 154,118,137 | |||
Net Assets: | |||||||
Beginning of Year | 527,354,290 | 492,920,272 | 1,615,586,827 | 1,461,468,690 | |||
End of Year | $ 550,854,519 | $527,354,290 | $1,669,742,944 | $1,615,586,827 |
(1) | See Note 6 in Notes to Financial Statements. |
Growth Allocation Fund | Aggressive Allocation Fund | |||||
For the Year Ended | For the Year Ended | |||||
12/31/20 | 12/31/19 | 12/31/20 | 12/31/19 | |||
$ 8,233,085 | $ 19,015,078 | $ 3,702,495 | $ 12,104,780 | |||
32,621,376 | 48,072,704 | 28,183,804 | 57,225,647 | |||
107,653,899 | 170,887,923 | 118,311,745 | 168,923,373 | |||
148,508,360 | 237,975,705 | 150,198,044 | 238,253,800 | |||
(20,043,664) | (28,008,711) | (17,131,829) | (26,653,779) | |||
(43,626,556) | (81,549,805) | (48,458,271) | (91,797,764) | |||
(63,670,220) | (109,558,516) | (65,590,100) | (118,451,543) | |||
80,608,445 | 41,999,339 | 39,151,104 | 45,256,536 | |||
30,062,722 | 39,313,198 | 22,528,095 | 30,691,082 | |||
20,021,280 | 27,969,231 | 17,124,877 | 26,641,062 | |||
43,613,649 | 81,515,470 | 48,453,699 | 91,783,316 | |||
174,306,096 | 190,797,238 | 127,257,775 | 194,371,996 | |||
(39,461,439) | (30,570,472) | (31,600,752) | (21,076,702) | |||
(142,809,402) | (138,835,487) | (119,347,827) | (122,548,098) | |||
(182,270,841) | (169,405,959) | (150,948,579) | (143,624,800) | |||
(7,964,745) | 21,391,279 | (23,690,804) | 50,747,196 | |||
76,873,395 | 149,808,468 | 60,917,140 | 170,549,453 | |||
1,247,431,647 | 1,097,623,179 | 1,079,974,221 | 909,424,768 | |||
$1,324,305,042 | $1,247,431,647 | $1,140,891,361 | $1,079,974,221 |
FINANCIAL HIGHLIGHTS |
For a Share Outstanding For the Years Ending December 31, unless otherwise indicated | Ratios to Average Net Assets | |||||||||||||
Net Asset Value, Beginning of Year | Net Investment Income#(1) | Realized and Unrealized Gain (Loss) on Investments | Total Income From Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Capital Gains | Total Distributions Paid | Net Asset Value, End of Year | Total Return | Net Assets, End of Year (000) | Expenses, Net(2) | Expenses, Gross(2) | Investment Income, Net (1) | Portfolio Turnover Rate | |
Conservative Allocation Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2020 | $11.52 | $0.16 | $ 0.67 | $ 0.83 | $(0.20) | $(0.18) | $(0.38) | $11.97 | 7.17% | $ 135,681 | 0.15% | 0.15% | 1.35% | 15% |
2019 | 10.87 | 0.25 | 0.95 | 1.20 | (0.27) | (0.28) | (0.55) | 11.52 | 11.01 | 111,611 | 0.13 | 0.13 | 2.19 | 7 |
2018 | 11.47 | 0.23 | (0.45) | (0.22) | (0.37) | (0.01) | (0.38) | 10.87 | (1.90) | 87,409 | 0.17 | 0.17 | 2.01 | 12 |
2017 | 10.88 | 0.16 | 0.64 | 0.80 | (0.05) | (0.16) | (0.21) | 11.47 | 7.33 | 85,482 | 0.19 | 0.19 | 1.40 | 19 |
2016 | 10.62 | 0.18 | 0.35 | 0.53 | (0.13) | (0.14) | (0.27) | 10.88 | 5.07 | 75,333 | 0.14 | 0.15 | 1.61 | 5 |
Investor Class | ||||||||||||||
2020 | $11.52 | $0.13 | $ 0.67 | $ 0.80 | $(0.17) | $(0.18) | $(0.35) | $11.97 | 6.92% | $ 415,174 | 0.40% | 0.40% | 1.09% | 15% |
2019 | 10.87 | 0.21 | 0.96 | 1.17 | (0.24) | (0.28) | (0.52) | 11.52 | 10.73 | 415,743 | 0.39 | 0.39 | 1.86 | 7 |
2018 | 11.47 | 0.20 | (0.44) | (0.24) | (0.35) | (0.01) | (0.36) | 10.87 | (2.13) | 405,512 | 0.40 | 0.40 | 1.76 | 12 |
2017 | 10.88 | 0.13 | 0.64 | 0.77 | (0.02) | (0.16) | (0.18) | 11.47 | 7.11 | 427,485 | 0.42 | 0.42 | 1.19 | 19 |
2016 | 10.62 | 0.15 | 0.36 | 0.51 | (0.11) | (0.14) | (0.25) | 10.88 | 4.82 | 306,300 | 0.39 | 0.42 | 1.36 | 5 |
Balanced Allocation Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2020 | $12.19 | $0.15 | $ 1.18 | $ 1.33 | $(0.23) | $(0.41) | $(0.64) | $12.88 | 11.00% | $ 450,122 | 0.12% | 0.12% | 1.21% | 15% |
2019 | 11.07 | 0.26 | 1.69 | 1.95 | (0.29) | (0.54) | (0.83) | 12.19 | 17.62 | 377,832 | 0.12 | 0.12 | 2.12 | 9 |
2018 | 12.16 | 0.23 | (0.80) | (0.57) | (0.49) | (0.03) | (0.52) | 11.07 | (4.63) | 296,530 | 0.13 | 0.13 | 1.93 | 13 |
2017 | 11.09 | 0.19 | 1.20 | 1.39 | (0.16) | (0.16) | (0.32) | 12.16 | 12.57 | 334,114 | 0.12 | 0.13 | 1.57 | 19 |
2016 | 10.70 | 0.22 | 0.56 | 0.78 | (0.08) | (0.31) | (0.39) | 11.09 | 7.27 | 326,164 | 0.11 | 0.13 | 1.97 | 4 |
Investor Class | ||||||||||||||
2020 | $12.19 | $0.11 | $ 1.18 | $ 1.29 | $(0.20) | $(0.41) | $(0.61) | $12.87 | 10.66% | $1,219,621 | 0.37% | 0.37% | 0.93% | 15% |
2019 | 11.07 | 0.22 | 1.70 | 1.92 | (0.26) | (0.54) | (0.80) | 12.19 | 17.33 | 1,237,755 | 0.38 | 0.38 | 1.79 | 9 |
2018 | 12.16 | 0.20 | (0.80) | (0.60) | (0.46) | (0.03) | (0.49) | 11.07 | (4.89) | 1,164,939 | 0.38 | 0.38 | 1.68 | 13 |
2017 | 11.09 | 0.16 | 1.20 | 1.36 | (0.13) | (0.16) | (0.29) | 12.16 | 12.30 | 1,280,286 | 0.37 | 0.38 | 1.34 | 19 |
2016 | 10.70 | 0.19 | 0.56 | 0.75 | (0.05) | (0.31) | (0.36) | 11.09 | 7.00 | 1,156,865 | 0.37 | 0.38 | 1.71 | 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%, 0.65%, 0.76% and 0.84%, respectively for 2020, and are deducted from the value of the funds in which each Fund invests and is included in each Fund’s total return. |
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 | Total Income From Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Capital Gains | Total Distributions Paid | Net Asset Value, End of Year | Total Return | Net Assets, End of Year (000) | Expenses, Net(2) | Expenses, Gross(2) | Investment Income, Net (1) | Portfolio Turnover Rate | |
Growth Allocation Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2020 | $12.31 | $0.11 | $ 1.51 | $ 1.62 | $(0.18) | $(0.50) | $(0.68) | $13.25 | 13.30% | $404,479 | 0.13% | 0.13% | 0.90% | 15% |
2019 | 11.02 | 0.23 | 2.25 | 2.48 | (0.22) | (0.97) | (1.19) | 12.31 | 22.62 | 312,347 | 0.12 | 0.12 | 1.86 | 10 |
2018 | 12.43 | 0.20 | (1.11) | (0.91) | (0.46) | (0.04) | (0.50) | 11.02 | (7.32) | 244,900 | 0.13 | 0.13 | 1.60 | 9 |
2017 | 10.97 | 0.17 | 1.90 | 2.07 | (0.11) | (0.50) | (0.61) | 12.43 | 18.94 | 279,148 | 0.13 | 0.13 | 1.38 | 17 |
2016 | 10.83 | 0.19 | 0.61 | 0.80 | (0.10) | (0.56) | (0.66) | 10.97 | 7.34 | 244,873 | 0.12 | 0.13 | 1.72 | 4 |
Investor Class | ||||||||||||||
2020 | $12.31 | $0.07 | $ 1.51 | $ 1.58 | $(0.15) | $(0.50) | $(0.65) | $13.24 | 12.96% | $919,826 | 0.38% | 0.38% | 0.61% | 15% |
2019 | 11.02 | 0.19 | 2.26 | 2.45 | (0.19) | (0.97) | (1.16) | 12.31 | 22.33 | 935,085 | 0.38 | 0.38 | 1.51 | 10 |
2018 | 12.42 | 0.17 | (1.10) | (0.93) | (0.43) | (0.04) | (0.47) | 11.02 | (7.50) | 852,723 | 0.38 | 0.38 | 1.35 | 9 |
2017 | 10.97 | 0.14 | 1.89 | 2.03 | (0.08) | (0.50) | (0.58) | 12.42 | 18.59 | 973,237 | 0.37 | 0.37 | 1.14 | 17 |
2016 | 10.83 | 0.16 | 0.61 | 0.77 | (0.07) | (0.56) | (0.63) | 10.97 | 7.08 | 842,779 | 0.38 | 0.39 | 1.46 | 4 |
Aggressive Allocation Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2020 | $12.00 | $0.07 | $ 1.80 | $ 1.87 | $(0.11) | $(0.70) | $(0.81) | $13.06 | 15.75% | $290,969 | 0.13% | 0.13% | 0.59% | 13% |
2019 | 10.61 | 0.18 | 2.69 | 2.87 | (0.15) | (1.33) | (1.48) | 12.00 | 27.25 | 239,577 | 0.12 | 0.12 | 1.48 | 9 |
2018 | 12.28 | 0.15 | (1.37) | (1.22) | (0.40) | (0.05) | (0.45) | 10.61 | (9.95) | 167,013 | 0.14 | 0.14 | 1.18 | 9 |
2017 | 10.48 | 0.12 | 2.58 | 2.70 | (0.13) | (0.77) | (0.90) | 12.28 | 25.88 | 195,991 | 0.14 | 0.14 | 0.98 | 7 |
2016 | 10.77 | 0.14 | 0.57 | 0.71 | — | (1.00) | (1.00) | 10.48 | 6.55 | 166,293 | 0.13 | 0.13 | 1.28 | 2 |
Investor Class | ||||||||||||||
2020 | $11.95 | $0.03 | $ 1.80 | $ 1.83 | $(0.08) | $(0.70) | $(0.78) | $13.00 | 15.49% | $849,922 | 0.38% | 0.38% | 0.30% | 13% |
2019 | 10.58 | 0.14 | 2.68 | 2.82 | (0.12) | (1.33) | (1.45) | 11.95 | 26.86 | 840,397 | 0.38 | 0.38 | 1.12 | 9 |
2018 | 12.24 | 0.12 | (1.36) | (1.24) | (0.37) | (0.05) | (0.42) | 10.58 | (10.15) | 742,412 | 0.38 | 0.38 | 0.94 | 9 |
2017 | 10.46 | 0.09 | 2.57 | 2.66 | (0.11) | (0.77) | (0.88) | 12.24 | 25.49 | 864,508 | 0.38 | 0.38 | 0.75 | 7 |
2016 | 10.77 | 0.10 | 0.59 | 0.69 | — | (1.00) | (1.00) | 10.46 | 6.38 | 708,104 | 0.39 | 0.39 | 0.96 | 2 |
# | 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%, 0.65%, 0.76% and 0.84%, respectively for 2020, and are deducted from the value of the funds in which each Fund invests and is included in each Fund’s total return. |
% | |
U.S. Treasury Obligations | 45.3 |
Agency Obligations | 28.6 |
Repurchase Agreements | 25.8 |
Money Market Funds | —** |
99.7 | |
**Rounds to less than 0.05% |
Average Annual Total Returns as of 12/31/20 | |||||||
Institutional Class* | Investor Class* | Benchmark** | |||||
One Year | 0.43% | 0.28% | 0.54% | ||||
Five Year | 1.06% | 0.83% | 1.13% | ||||
Ten year | 0.56% | 0.42% | 0.59% | ||||
Since Inception | 1.39% | 1.26% | 1.31% | ||||
Inception Date | 08/27/01 | 08/27/01 | |||||
Total Fund Operating Expenses (May 1, 2020 Prospectus)(1) | 0.14% | 0.42% |
Yield as of 12/31/20(2) | |||||
Institutional Class* | Investor Class* | ||||
7-Day Annualized Yield (Net) | 0.00% | 0.00% | |||
7-Day Annualized Yield (Gross) | 0.00% | 0.00% |
(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. |
Par | Value | |||
AGENCY OBLIGATIONS — 28.6% | ||||
Federal Farm Credit Bank Discount Notes | ||||
0.34%, 01/19/21 | $ 8,160,000 | $ 8,158,613 | ||
0.88%, 01/20/21 | 1,785,000 | 1,784,171 | ||
0.43%, 02/12/21 | 7,400,000 | 7,396,281 | ||
0.17%, 03/11/21 | 7,500,000 | 7,497,556 | ||
0.27%, 03/17/21 | 6,290,000 | 6,286,451 | ||
0.11%, 06/30/21 | 6,700,000 | 6,696,315 | ||
0.15%, 07/01/21 | 15,865,000 | 15,853,035 | ||
0.14%, 07/21/21 | 3,855,000 | 3,851,987 | ||
0.10%, 10/28/21 | 1,870,000 | 1,868,442 | ||
0.10%, 12/02/21 | 4,475,000 | 4,470,836 | ||
Federal Farm Credit Banks Funding Corporation | ||||
(Floating, U.S. SOFR + 0.08%), 0.19%, 01/14/21† | 2,715,000 | 2,715,000 | ||
(Floating, U.S. SOFR + 0.11%), 0.22%, 01/15/21† | 4,515,000 | 4,515,000 | ||
(Floating, ICE LIBOR USD 1M + 0.00%), 0.15%, 03/17/21† | 3,865,000 | 3,864,950 | ||
(Floating, ICE LIBOR USD 1M + 0.05%), 0.20%, 04/16/21† | 7,620,000 | 7,620,000 | ||
(Floating, U.S. Treasury 3M Bill MMY + 0.26%), 0.35%, 06/17/21† | 5,795,000 | 5,794,738 | ||
(Floating, ICE LIBOR USD 1M + 0.16%), 0.30%, 07/01/21† | 4,705,000 | 4,705,000 | ||
(Floating, U.S. Treasury 3M Bill MMY + 0.23%), 0.32%, 07/08/21† | 3,240,000 | 3,240,000 | ||
(Floating, ICE LIBOR USD 1M + 0.10%), 0.25%, 07/16/21† | 5,000,000 | 5,000,000 | ||
(Floating, ICE LIBOR USD 1M + 0.09%), 0.23%, 08/30/21† | 8,000,000 | 8,000,000 | ||
(Floating, ICE LIBOR USD 1M + 0.11%), 0.26%, 11/12/21† | 1,600,000 | 1,600,000 | ||
(Floating, U.S. SOFR + 0.19%), 0.30%, 11/18/21† | 2,680,000 | 2,680,000 | ||
(Floating, U.S. Treasury 3M Bill MMY + 0.15%), 0.24%, 12/13/21† | 3,470,000 | 3,466,728 | ||
(Floating, ICE LIBOR USD 1M + 0.01%), 0.15%, 12/28/21† | 3,425,000 | 3,424,724 | ||
(Floating, U.S. SOFR + 0.18%), 0.29%, 01/14/22† | 6,170,000 | 6,170,000 | ||
(Floating, U.S. Treasury 3M Bill MMY + 0.12%), 0.21%, 05/02/22† | 2,100,000 | 2,099,830 | ||
(Floating, U.S. SOFR + 0.19%), 0.30%, 07/14/22† | 4,580,000 | 4,580,000 | ||
(Floating, U.S. Federal Funds + 0.18%), 0.27%, 07/20/22† | 16,000,000 | 15,997,547 | ||
(Floating, U.S. SOFR + 0.06%), 0.17%, 10/21/22† | 13,335,000 | 13,335,000 | ||
(Floating, U.S. SOFR + 0.08%), 0.19%, 11/03/22† | 7,810,000 | 7,810,000 | ||
Federal Home Loan Bank | ||||
(Floating, ICE LIBOR USD 3M - 0.17%), 0.06%, 01/08/21† | 4,565,000 | 4,565,000 |
Par | Value | |||
(Floating, U.S. SOFR + 0.05%), 0.16%, 01/22/21† | $ 2,225,000 | $ 2,225,000 | ||
(Floating, U.S. SOFR + 0.04%), 0.15%, 02/09/21† | 12,595,000 | 12,594,773 | ||
(Floating, U.S. SOFR + 0.08%), 0.19%, 03/04/21† | 3,695,000 | 3,695,000 | ||
(Floating, U.S. SOFR + 0.12%), 0.23%, 03/12/21† | 5,725,000 | 5,725,000 | ||
(Floating, U.S. SOFR + 0.11%), 0.22%, 03/25/21† | 6,550,000 | 6,550,000 | ||
(Floating, ICE LIBOR USD 1M - 0.01%), 0.13%, 04/05/21† | 10,550,000 | 10,550,000 | ||
(Floating, ICE LIBOR USD 1M - 0.02%), 0.13%, 04/27/21† | 5,770,000 | 5,769,468 | ||
(Floating, U.S. SOFR + 0.01%), 0.12%, 05/03/21† | 3,860,000 | 3,860,000 | ||
(Floating, U.S. SOFR + 0.16%), 0.27%, 05/07/21† | 4,000,000 | 4,000,000 | ||
0.17%, 05/13/21 | 12,235,000 | 12,234,894 | ||
(Floating, U.S. SOFR + 0.05%), 0.16%, 06/15/21† | 5,435,000 | 5,435,000 | ||
0.20%, 06/17/21 | 9,545,000 | 9,544,659 | ||
(Floating, U.S. SOFR + 0.08%), 0.19%, 07/08/21† | 4,720,000 | 4,720,000 | ||
(Floating, U.S. SOFR + 0.08%), 0.19%, 07/23/21† | 3,035,000 | 3,035,000 | ||
(Floating, U.S. SOFR + 0.02%), 0.13%, 08/23/21† | 30,000,000 | 30,000,000 | ||
(Floating, U.S. SOFR + 0.09%), 0.20%, 09/10/21† | 5,880,000 | 5,880,000 | ||
(Floating, U.S. SOFR + 0.12%), 0.23%, 02/28/22† | 8,240,000 | 8,240,000 | ||
(Floating, U.S. SOFR + 0.07%), 0.18%, 04/28/22† | 2,565,000 | 2,565,000 | ||
Federal Home Loan Bank Discount Notes | ||||
0.16%, 01/04/21 | 645,000 | 644,991 | ||
0.10%, 01/15/21 | 13,290,000 | 13,289,463 | ||
0.10%, 01/20/21 | 10,080,000 | 10,079,468 | ||
0.08%, 02/17/21 | 6,565,000 | 6,564,314 | ||
0.08%, 02/26/21 | 4,245,000 | 4,244,432 | ||
0.08%, 03/17/21 | 14,705,000 | 14,702,580 | ||
0.09%, 03/19/21 | 10,175,000 | 10,173,128 | ||
0.09%, 03/24/21 | 6,565,000 | 6,563,669 | ||
0.20%, 04/29/21 | 8,605,000 | 8,599,359 | ||
0.10%, 05/19/21 | 2,315,000 | 2,314,122 | ||
0.20%, 06/11/21 | 6,770,000 | 6,763,945 | ||
Federal Home Loan Mortgage Corporation | ||||
(Floating, U.S. SOFR + 0.12%), 0.23%, 06/04/21† | 12,835,000 | 12,823,978 | ||
1.13%, 08/12/21 | 2,535,000 | 2,550,278 | ||
(Floating, U.S. SOFR + 0.32%), 0.43%, 09/23/21† | 9,540,000 | 9,540,000 | ||
(Floating, U.S. SOFR + 0.18%), 0.29%, 12/13/21† | 9,870,000 | 9,870,000 | ||
(Floating, U.S. SOFR + 0.20%), 0.31%, 03/11/22† | 5,330,000 | 5,330,000 | ||
(Floating, U.S. SOFR + 0.19%), 0.30%, 06/02/22† | 8,900,000 | 8,900,000 |
Par | Value | |||
(Floating, U.S. SOFR + 0.07%), 0.18%, 11/10/22† | $ 5,065,000 | $ 5,065,000 | ||
Federal National Mortgage Association | ||||
1.38%, 10/07/21 | 3,675,000 | 3,709,629 | ||
(Floating, U.S. SOFR + 0.35%), 0.46%, 04/07/22† | 7,655,000 | 7,655,000 | ||
(Floating, U.S. SOFR + 0.39%), 0.50%, 04/15/22† | 8,775,000 | 8,775,000 | ||
Total Agency Obligations (Cost $469,829,354) | 469,829,354 | |||
U.S. TREASURY OBLIGATIONS — 45.3% | ||||
U.S. Cash Management Bills | ||||
0.09%, 03/09/21 | 40,000,000 | 39,993,300 | ||
0.09%, 05/11/21 | 3,028,800 | 3,027,816 | ||
0.09%, 06/01/21 | 25,000,000 | 24,990,038 | ||
68,011,154 | ||||
U.S. Treasury Bills | ||||
0.08%, 01/05/21Ω | 1,060,000 | 1,059,990 | ||
0.12%, 01/07/21Ω | 10,000,000 | 9,999,800 | ||
0.07%, 01/21/21Ω | 37,149,000 | 37,147,555 | ||
0.12%, 01/28/21Ω | 13,835,000 | 13,833,962 | ||
0.10%, 02/02/21Ω | 114,580,000 | 114,571,130 | ||
0.09%, 02/09/21Ω | 15,266,800 | 15,265,146 | ||
0.12%, 02/16/21Ω | 10,000,000 | 9,998,467 | ||
0.09%, 02/23/21Ω | 80,230,000 | 80,218,188 | ||
0.19%, 02/25/21Ω | 43,000,000 | 42,992,094 | ||
0.09%, 03/04/21Ω | 60,000,000 | 59,989,667 | ||
0.18%, 03/25/21Ω | 16,540,000 | 16,533,180 | ||
0.09%, 04/01/21Ω | 50,000,000 | 49,988,125 | ||
0.11%, 04/29/21Ω | 35,000,000 | 34,987,381 | ||
0.17%, 05/20/21Ω | 10,265,000 | 10,258,658 | ||
0.09%, 06/24/21Ω | 28,768,000 | 28,755,486 | ||
0.12%, 08/12/21Ω | 6,195,000 | 6,189,627 | ||
0.10%, 11/04/21Ω | 10,102,100 | 10,090,470 | ||
0.10%, 12/02/21Ω | 39,463,400 | 39,421,609 | ||
0.11%, 12/30/21Ω | 25,000,000 | 24,972,271 | ||
606,272,806 | ||||
U.S. Treasury Floating Rate Notes | ||||
(Floating, U.S. Treasury 3M Bill MMY + 0.14%), 0.23%, 04/30/21† | 1,240,000 | 1,239,671 | ||
(Floating, U.S. Treasury 3M Bill MMY + 0.22%), 0.31%, 07/31/21† | 12,000,000 | 12,000,000 | ||
(Floating, U.S. Treasury 3M Bill MMY + 0.30%), 0.39%, 10/31/21† | 4,215,000 | 4,217,079 | ||
(Floating, U.S. Treasury 3M Bill MMY + 0.06%), 0.15%, 07/31/22† | 19,672,100 | 19,672,100 | ||
37,128,850 | ||||
U.S. Treasury Notes | ||||
2.00%, 01/15/21 | 2,490,000 | 2,491,552 |
Par | Value | |||
2.50%, 01/31/21 | $16,000,000 | $ 16,030,107 | ||
2.25%, 04/30/21 | 15,000,000 | 15,103,930 | ||
33,625,589 | ||||
Total U.S. Treasury Obligations (Cost $745,038,399) | 745,038,399 |
Shares | |||
MONEY MARKET FUNDS — 0.0% | |||
Northern Institutional Funds - U.S. Government Select Portfolio (Shares), 0.02%Ø (Cost $491,771) | 491,771 | 491,771 |
Par | |||
REPURCHASE AGREEMENTS — 25.8% | |||
Bank of Nova Scotia | |||
0.06% (dated 12/31/20, due 01/04/21, repurchase price $75,000,500, collateralized by U.S. Treasury Bills, U.S. Treasury Bonds and U.S. Treasury Notes, 0.000% to 3.000%, due 04/27/21 to 02/15/48, total market value $76,500,513) | $75,000,000 | 75,000,000 | |
BNP Paribas | |||
0.10% (dated 09/22/20, due 01/07/21, repurchase price $35,010,403, collateralized by U.S. Treasury Bills, U.S. Treasury Bonds and U.S. Treasury Notes, 0.000% to 8.125%, due 01/14/21 to 05/15/48, total market value $35,700,050) | 35,000,000 | 35,000,000 | |
0.06% (dated 12/31/20, due 01/04/21, repurchase price $35,000,233, collateralized by U.S. Treasury Bonds and U.S. Treasury Notes, 0.000% to 1.750%, due 06/30/22 to 05/15/45, total market value $35,700,055) | 35,000,000 | 35,000,000 | |
0.08% (dated 12/31/20, due 01/04/21, repurchase price $25,000,222, collateralized by Government National Mortgage Association, U.S. Treasury Bills and U.S. Treasury Notes, 0.000% to 6.500%, due 03/25/21 to 11/20/50, total market value $25,500,096) | 25,000,000 | 25,000,000 |
Par | Value | |||
Citigroup Global Markets, Inc. | ||||
0.08% (dated 12/31/20, due 01/04/21, repurchase price $50,000,444, collateralized by Government National Mortgage Association, 3.000% to 4.500%, due 05/15/48 to 05/20/48, total market value $51,000,837) | $50,000,000 | $50,000,000 | ||
Goldman Sachs & Co. | ||||
0.13% (dated 12/29/20, due 01/05/21, repurchase price $23,000,581, collateralized by U.S. Treasury Bills, U.S. Treasury Bonds, U.S. Treasury Notes and Federal Farm Credit Banks, 0.000% to 3.000%, due 03/25/21 to 11/15/50, total market value $23,460,000) | 23,000,000 | 23,000,000 | ||
0.07% (dated 12/31/20, due 01/04/21, repurchase price $25,000,194, collateralized by U.S. Treasury Bonds, 0.000%, due 02/15/49, total market value $25,500,053) | 25,000,000 | 25,000,000 | ||
Mitsubishi UFJ Securities USA, Inc. | ||||
0.07% (dated 12/31/20, due 01/04/21, repurchase price $30,000,233, collateralized by Government National Mortgage Association, 2.000% to 7.500%, due 12/20/26 to 12/20/50, total market value $30,600,000) | 30,000,000 | 30,000,000 | ||
Mizuho Securities USA, Inc. | ||||
0.07% (dated 12/31/20, due 01/04/21, repurchase price $25,000,194, collateralized by U.S. Treasury Notes, 1.750%, due 07/31/24, total market value $25,500,015) | 25,000,000 | 25,000,000 |
Par | Value | |||
Natixis S.A. | ||||
0.06% (dated 12/31/20, due 01/04/21, repurchase price $30,000,200, collateralized by U.S. Treasury Bills, U.S. Treasury Bonds and U.S. Treasury Notes, 0.000% to 7.625%, due 02/15/21 to 05/15/30, total market value $30,600,001) | $30,000,000 | $ 30,000,000 | ||
0.08% (dated 12/31/20, due 01/04/21, repurchase price $35,000,311, collateralized by Federal National Mortgage Association, Government National Mortgage Association, U.S. Treasury Bonds and U.S. Treasury Notes, 0.150% to 6.375%, due 10/31/22 to 06/20/50, total market value $35,799,209) | 35,000,000 | 35,000,000 | ||
TD Securities USA LLC | ||||
0.07% (dated 12/31/20, due 01/04/21, repurchase price $35,000,272, collateralized by Government National Mortgage Association, 3.000% to 4.500%, due 03/20/41 to 07/20/50, total market value $35,700,000) | 35,000,000 | 35,000,000 | ||
Total Repurchase Agreements (Cost $423,000,000) | 423,000,000 | |||
TOTAL INVESTMENTS —99.7% (Cost $1,638,359,524) | 1,638,359,524 | |||
Other Assets in Excess of Liabilities — 0.3% | 4,865,346 | |||
NET ASSETS — 100.0% | $1,643,224,870 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Agency Obligations | $ 469,829,354 | $ — | $ 469,829,354 | $ — | |||
Money Market Funds | 491,771 | 491,771 | — | — | |||
Repurchase Agreements | 423,000,000 | — | 423,000,000 | — | |||
U.S. Treasury Obligations | 745,038,399 | — | 745,038,399 | — | |||
Total Assets - Investments in Securities | $1,638,359,524 | $491,771 | $1,637,867,753 | $ — |
% | |
Corporate Bonds | 20.1 |
Mortgage-Backed Securities | 19.9 |
U.S. Treasury Obligations | 18.7 |
Foreign Bonds | 15.6 |
Asset-Backed Securities | 15.1 |
Agency Obligations | 4.3 |
Money Market Funds | 3.8 |
Certificates Of Deposit | 2.0 |
Municipal Bonds | 0.5 |
Purchased Option | —** |
Written Options | —** |
100.0 | |
**Rounds to less than 0.05% |
Average Annual Total Returns as of 12/31/20 | |||||||
Institutional Class* | Investor Class* | Benchmark** | |||||
One Year | 3.42% | 3.16% | 3.10% | ||||
Five Year | 2.44% | 2.17% | 1.90% | ||||
Ten year | 2.02% | 1.78% | 1.30% | ||||
Since Inception | 2.93% | 2.75% | 2.41% | ||||
Inception Date | 08/27/01 | 08/27/01 | |||||
Total Fund Operating Expenses (May 1, 2020 Prospectus)(1) | 0.35% | 0.62% |
(1) | Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights. |
Par | Value | |||
AGENCY OBLIGATIONS — 4.3% | ||||
Federal Home Loan Mortgage Corporation | ||||
0.38%, 04/20/23 | $1,670,000 | $ 1,678,825 | ||
0.25%, 06/26/23 | 3,260,000 | 3,267,894 | ||
0.77%, 07/15/25 | 3,000,000 | 3,000,674 | ||
0.69%, 08/05/25 | 6,000,000 | 6,002,843 | ||
0.38%, 09/23/25 | 700,000 | 699,162 | ||
0.80%, 10/27/26 | 3,000,000 | 2,995,920 | ||
0.80%, 10/28/26 | 4,000,000 | 4,000,098 | ||
Federal National Mortgage Association | ||||
2.75%, 06/22/21 | 2,980,000 | 3,017,091 | ||
0.25%, 07/10/23 | 1,875,000 | 1,879,949 | ||
0.70%, 07/30/25 | 6,000,000 | 6,006,155 | ||
0.88%, 12/18/26 | 8,700,000 | 8,711,088 | ||
0.75%, 10/08/27 | 4,700,000 | 4,721,386 | ||
Total Agency Obligations (Cost $45,860,390) | 45,981,085 | |||
ASSET-BACKED SECURITIES — 15.1% | ||||
Adams Mill CLO, Ltd., Series 2014-1A, Class A2R | ||||
(Floating, ICE LIBOR USD 3M + 1.10%), 1.34%, 07/15/26 144A † | 400,817 | 401,102 | ||
Ally Auto Receivables Trust, Series 2019-1, Class A3 | ||||
2.91%, 09/15/23 | 1,406,691 | 1,429,964 | ||
Ally Auto Receivables Trust, Series 2019-3, Class A3 | ||||
1.93%, 05/15/24 | 1,000,000 | 1,016,187 | ||
AmeriCredit Automobile Receivables Trust, Series 2018-1, Class A3 | ||||
3.07%, 12/19/22 | 144,959 | 145,627 | ||
AmeriCredit Automobile Receivables Trust, Series 2019-2, Class A3 | ||||
2.28%, 01/18/24 | 5,000,000 | 5,069,396 | ||
AmeriCredit Automobile Receivables Trust, Series 2020-2, Class B | ||||
0.97%, 02/18/26 | 180,000 | 182,183 | ||
AMMC CLO XIII, Ltd., Series 2013-13A, Class A1LR | ||||
(Floating, ICE LIBOR USD 3M + 1.26%), 1.47%, 07/24/29 144A † | 1,978,376 | 1,979,255 | ||
AMSR Trust, Series 2020-SFR5, Class A | ||||
1.38%, 11/17/37 144A | 1,350,000 | 1,363,757 | ||
Anchorage Capital CLO 7, Ltd., Series 2015-7A, Class CR2 | ||||
(Floating, ICE LIBOR USD 3M + 2.20%, 2.20% Floor), 2.42%, 01/28/31 144A † | 450,000 | 441,336 | ||
Apidos CLO XXI, Series 2015-21A, Class A1R | ||||
(Floating, ICE LIBOR USD 3M + 0.93%, 0.93% Floor), 1.15%, 07/18/27 144A † | 3,056,955 | 3,040,834 |
Par | Value | |||
Ballyrock CLO, Ltd., Series 2020-1A, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 1.70%), 1.99%, 07/20/30 144A † | $2,540,000 | $2,544,951 | ||
Barings CLO, Ltd., Series 2013-IA, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 0.80%, 0.80% Floor), 1.02%, 01/20/28 144A † | 1,109,813 | 1,105,662 | ||
BDS, Ltd., Series 2020-FL5, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.15%, 1.15% Floor), 1.31%, 02/16/37 144A † | 750,000 | 739,434 | ||
Bear Stearns Asset Backed Securities I Trust, Series 2007-HE7, Class 1A1 | ||||
(Floating, ICE LIBOR USD 1M + 1.00%, 1.00% Floor), 1.15%, 10/25/37† | 158,370 | 158,344 | ||
Bear Stearns Asset Backed Securities Trust, Series 2004-SD1, Class A2 | ||||
(Floating, ICE LIBOR USD 1M + 0.90%, 0.90% Floor, 11.00% Cap), 1.05%, 12/25/42† | 23,746 | 23,481 | ||
Benefit Street Partners CLO II, Ltd., Series 2013-IIA, Class A2R | ||||
(Floating, ICE LIBOR USD 3M + 1.75%), 1.99%, 07/15/29 144A † | 300,000 | 301,465 | ||
BSPRT Issuer, Ltd., Series 2018-FL3, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.05%, 1.05% Floor), 1.21%, 03/15/28 144A † | 535,954 | 533,206 | ||
BSPRT Issuer, Ltd., Series 2018-FL4 , Class AS | ||||
(Floating, ICE LIBOR USD 1M + 1.30%, 1.30% Floor), 1.46%, 09/15/35 144A † | 1,520,000 | 1,505,306 | ||
CarMax Auto Owner Trust, Series 2018-4, Class A3 | ||||
3.36%, 09/15/23 | 1,335,130 | 1,363,379 | ||
CARS-DB4 LP, Series 2020-1A, Class A1 | ||||
2.69%, 02/15/50 144A | 324,936 | 335,595 | ||
Chesapeake Funding II LLC, Series 2017-4A, Class A1 | ||||
2.12%, 11/15/29 144A | 313,815 | 315,644 | ||
Chesapeake Funding II LLC, Series 2018-1A, Class A1 | ||||
3.04%, 04/15/30 144A | 321,193 | 324,546 | ||
Chesapeake Funding II LLC, Series 2019-1A, Class B | ||||
3.11%, 04/15/31 144A | 240,000 | 247,973 | ||
Chesapeake Funding II LLC, Series 2019-1A, Class C | ||||
3.36%, 04/15/31 144A | 230,000 | 237,482 | ||
Chesapeake Funding II LLC, Series 2019-1A, Class D | ||||
3.80%, 04/15/31 144A | 370,000 | 380,306 |
Par | Value | |||
Chesapeake Funding II LLC, Series 2020-1A, Class A1 | ||||
0.87%, 08/16/32 144A | $ 393,086 | $ 395,255 | ||
Chesapeake Funding II LLC, Series 2020-1A, Class B | ||||
1.24%, 08/16/32 144A | 100,000 | 100,724 | ||
CIFC Funding 2015-II, Ltd., Series 2015-2A, Class AR2 | ||||
(Floating, ICE LIBOR USD 3M + 1.01%, 1.01% Floor), 1.25%, 04/15/30 144A † | 1,000,000 | 1,000,289 | ||
CIFC Funding, Ltd., Series 2014-4RA, Class A1A | ||||
(Floating, ICE LIBOR USD 3M + 1.13%, 1.13% Floor), 1.35%, 10/17/30 144A † | 345,000 | 345,264 | ||
CIFC Funding, Ltd., Series 2020-1A, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 1.70%, 1.70% Floor), 1.94%, 07/15/32 144A † | 2,660,000 | 2,680,077 | ||
CLNC, Ltd., Series 2019-FL1, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.25%, 1.25% Floor), 1.40%, 08/20/35 144A † | 1,290,000 | 1,282,920 | ||
CNH Equipment Trust, Series 2018-B, Class A3 | ||||
3.19%, 11/15/23 | 728,224 | 742,341 | ||
CNH Equipment Trust, Series 2019-A, Class A3 | ||||
3.01%, 04/15/24 | 1,211,076 | 1,238,554 | ||
Credit Acceptance Auto Loan Trust, Series 2018-1A, Class A | ||||
3.01%, 02/16/27 144A | 82,988 | 83,059 | ||
Credit Acceptance Auto Loan Trust, Series 2018-2A, Class A | ||||
3.47%, 05/17/27 144A | 547,132 | 550,331 | ||
Credit Acceptance Auto Loan Trust, Series 2018-3A, Class A | ||||
3.55%, 08/15/27 144A | 452,815 | 457,665 | ||
Credit Acceptance Auto Loan Trust, Series 2019-1A, Class A | ||||
3.33%, 02/15/28 144A | 1,160,000 | 1,181,797 | ||
Credit Acceptance Auto Loan Trust, Series 2019-3A, Class A | ||||
2.38%, 11/15/28 144A | 580,000 | 595,719 | ||
Credit Acceptance Auto Loan Trust, Series 2020-1A, Class A | ||||
2.01%, 02/15/29 144A | 1,290,000 | 1,319,630 | ||
Credit Acceptance Auto Loan Trust, Series 2020-2A, Class A | ||||
1.37%, 07/16/29 144A | 300,000 | 304,258 | ||
CSAB Mortgage-Backed Trust, Series 2006-2, Class A6A | ||||
(Step to 6.22% on 10/25/35), 6.22%, 09/25/36 STEP | 281,557 | 131,158 | ||
CWABS, Inc. Asset-Backed Certificates Trust, Series 2004-6, Class 1A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.54%, 0.54% Floor), 0.69%, 12/25/34† | 783,540 | 756,292 |
Par | Value | |||
DLL LLC, Series 2018-ST2, Class A3 | ||||
3.46%, 01/20/22 144A | $ 416,109 | $ 418,383 | ||
Drive Auto Receivables Trust, Series 2019-4, Class A3 | ||||
2.16%, 05/15/23 | 255,373 | 256,194 | ||
Drive Auto Receivables Trust, Series 2020-1, Class A3 | ||||
2.02%, 11/15/23 | 380,000 | 383,417 | ||
Drive Auto Receivables Trust, Series 2020-1, Class B | ||||
2.08%, 07/15/24 | 1,150,000 | 1,167,195 | ||
Drive Auto Receivables Trust, Series 2020-1, Class C | ||||
2.36%, 03/16/26 | 850,000 | 870,345 | ||
Drive Auto Receivables Trust, Series 2020-2, Class B | ||||
1.42%, 03/17/25 | 400,000 | 405,502 | ||
Dryden XXV Senior Loan Fund, Series 2012-25A, Class ARR | ||||
(Floating, ICE LIBOR USD 3M + 0.90%), 1.14%, 10/15/27 144A † | 1,413,577 | 1,407,273 | ||
Dryden XXVI Senior Loan Fund, Series 2013-26A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 0.90%), 1.14%, 04/15/29 144A † | 1,000,000 | 997,414 | ||
Eaton Vance CLO, Ltd., Series 2013-1A, Class A1RR | ||||
(Floating, ICE LIBOR USD 3M + 1.16%), 1.40%, 01/15/28 144A † | 305,000 | 305,461 | ||
EDvestinU Private Education Loan Issue No. 1 LLC, Series 2019-A, Class A | ||||
3.58%, 11/25/38 144A | 349,018 | 371,727 | ||
Enterprise Fleet Financing LLC, Series 2018-2, Class A2 | ||||
3.14%, 02/20/24 144A | 798,671 | 804,270 | ||
Enterprise Fleet Financing LLC, Series 2019-2, Class A3 | ||||
2.38%, 02/20/25 144A | 630,000 | 650,497 | ||
Fairstone Financial Issuance Trust I, Series 2020-1A, Class A | ||||
2.51%, 10/20/39(C) 144A | 460,000 | 359,850 | ||
FHLMC Structured Pass-Through Certificates, Series T-32 | ||||
(Floating, ICE LIBOR USD 1M + 0.13%, 0.13% Floor), 0.28%, 08/25/31† | 228,527 | 217,583 | ||
FirstKey Homes Trust, Series 2020-SFR2, Class A | ||||
1.27%, 10/19/37 144A | 4,700,000 | 4,734,104 | ||
Flatiron CLO, Ltd., Series 2015-1A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 0.89%), 1.13%, 04/15/27 144A † | 983,230 | 983,862 | ||
Ford Auto Securitization Trust, Series 2020-AA, Class A2 | ||||
0.89%, 08/15/24(C) 144A | 3,200,000 | 2,515,905 |
Par | Value | |||
Ford Credit Auto Lease Trust, Series 2020-A, Class B | ||||
2.05%, 06/15/23 | $1,010,000 | $1,032,374 | ||
Ford Credit Floorplan Master Owner Trust, Series 2020-1, Class A1 | ||||
0.70%, 09/15/25 | 2,080,000 | 2,097,420 | ||
GM Financial Automobile Leasing Trust, Series 2020-1, Class A3 | ||||
1.67%, 12/20/22 | 3,800,000 | 3,851,089 | ||
GM Financial Automobile Leasing Trust, Series 2020-2, Class A3 | ||||
0.80%, 07/20/23 | 730,000 | 735,705 | ||
GM Financial Consumer Automobile Receivables Trust, Series 2020-1, Class B | ||||
2.03%, 04/16/25 | 390,000 | 403,317 | ||
GM Financial Consumer Automobile Receivables Trust, Series 2020-1, Class C | ||||
2.18%, 05/16/25 | 300,000 | 309,738 | ||
GMF Canada Leasing Trust, Series 2020-1A, Class A2 | ||||
0.91%, 07/20/23(C) 144A | 3,120,000 | 2,457,077 | ||
GMF Canada Leasing Trust, Series 2020-1A, Class A3 | ||||
1.05%, 11/20/25(C) 144A | 1,690,000 | 1,330,810 | ||
GMF Floorplan Owner Revolving Trust, Series 2020-1, Class A | ||||
0.68%, 08/15/25 144A | 1,460,000 | 1,470,507 | ||
GreatAmerica Leasing Receivables Funding LLC, Series 2019-1, Class A3 | ||||
3.05%, 09/15/22 144A | 1,094,568 | 1,111,107 | ||
Greystone CRE Notes, Ltd., Series 2019-FL2, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.18%, 1.18% Floor), 1.34%, 09/15/37 144A † | 1,770,000 | 1,748,529 | ||
Harley-Davidson Motorcycle Trust, Series 2020-A, Class A3 | ||||
1.87%, 10/15/24 | 700,000 | 711,368 | ||
Hyundai Auto Lease Securitization Trust, Series 2020-A, Class A4 | ||||
2.00%, 12/15/23 144A | 630,000 | 646,080 | ||
Hyundai Auto Receivables Trust, Series 2016-B, Class D | ||||
2.68%, 09/15/23 | 680,000 | 682,517 | ||
KKR CLO, Ltd., Series 16, Class A2R | ||||
(Floating, ICE LIBOR USD 3M + 1.80%, 1.80% Floor), 2.02%, 01/20/29 144A † | 480,000 | 478,316 | ||
KREF, Ltd., Series 2018-FL1, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.10%, 1.10% Floor), 1.25%, 06/15/36 144A † | 1,360,000 | 1,354,969 | ||
Kubota Credit Owner Trust, Series 2020-2A, Class A3 | ||||
0.59%, 10/15/24 144A | 1,520,000 | 1,529,246 |
Par | Value | |||
LA Arena Funding LLC, Series 1, Class A | ||||
7.66%, 12/15/26 144A | $ 37,977 | $ 37,943 | ||
LCM XX LP, Series 20A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 1.04%), 1.26%, 10/20/27 144A † | 1,220,000 | 1,219,550 | ||
Lendmark Funding Trust, Series 2018-1A, Class A | ||||
3.81%, 12/21/26 144A | 960,000 | 973,896 | ||
Lendmark Funding Trust, Series 2019-2A, Class A | ||||
2.78%, 04/20/28 144A | 350,000 | 359,998 | ||
LoanCore Issuer, Ltd., Series 2018-CRE1, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.13%, 1.13% Floor), 1.29%, 05/15/28 144A † | 344,814 | 344,904 | ||
Madison Park Funding XIII, Ltd., Series 2014-13A, Class CR2 | ||||
(Floating, ICE LIBOR USD 3M + 1.90%), 2.12%, 04/19/30 144A † | 400,000 | 396,467 | ||
Madison Park Funding XIX, Ltd., Series 2015-19A, Class A2R2 | ||||
(Floating, ICE LIBOR USD 3M + 1.50%, 1.50% Floor), 1.72%, 01/22/28 144A † | 600,000 | 599,319 | ||
Magnetite VII, Ltd., Series 2012-7A, Class A1R2 | ||||
(Floating, ICE LIBOR USD 3M + 0.80%), 1.04%, 01/15/28 144A † | 2,890,000 | 2,881,187 | ||
Magnetite VIII, Ltd., Series 2014-8A, Class AR2 | ||||
(Floating, ICE LIBOR USD 3M + 0.98%, 0.98% Floor), 1.22%, 04/15/31 144A † | 530,000 | 530,185 | ||
Marathon CRE, Ltd., Series 2018-FL1, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.15%, 1.15% Floor), 1.30%, 06/15/28 144A † | 199,349 | 198,917 | ||
Mariner Finance Issuance Trust, Series 2019-AA, Class A | ||||
2.96%, 07/20/32 144A | 308,000 | 315,086 | ||
Mariner Finance Issuance Trust, Series 2020-AA, Class A | ||||
2.19%, 08/21/34 144A | 140,000 | 142,294 | ||
Mill City Mortgage Loan Trust, Series 2016-1, Class A1 | ||||
2.50%, 04/25/57 144A | 342,578 | 346,243 | ||
MMAF Equipment Finance LLC, Series 2020-A, Class A3 | ||||
0.97%, 04/09/27 144A | 1,500,000 | 1,517,915 | ||
MMAF Equipment Finance LLC, Series 2020-BA, Class A3 | ||||
0.49%, 08/14/25 144A | 1,360,000 | 1,363,198 |
Par | Value | |||
Navient Private Education Loan Trust, Series 2020-IA, Class A1B | ||||
(Floating, 1.00% - ICE LIBOR USD 1M, 1.00% Floor), 0.00%, 04/15/69 144A † | $2,490,000 | $2,493,535 | ||
Navient Private Education Refi Loan Trust, Series 2019-CA, Class A2 | ||||
3.13%, 02/15/68 144A | 410,000 | 422,800 | ||
Navient Private Education Refi Loan Trust, Series 2019-EA, Class A2B | ||||
(Floating, ICE LIBOR USD 1M + 0.92%), 1.08%, 05/15/68 144A † | 700,000 | 702,099 | ||
Navient Private Education Refi Loan Trust, Series 2019-FA, Class A1 | ||||
2.18%, 08/15/68 144A | 52,170 | 52,221 | ||
Navient Private Education Refi Loan Trust, Series 2020-A, Class A2A | ||||
2.46%, 11/15/68 144A | 600,000 | 628,961 | ||
Navient Private Education Refi Loan Trust, Series 2020-A, Class A2B | ||||
(Floating, ICE LIBOR USD 1M + 0.90%), 1.06%, 11/15/68 144A † | 100,000 | 100,253 | ||
Navient Private Education Refi Loan Trust, Series 2020-BA, Class A1 | ||||
1.80%, 01/15/69 144A | 526,136 | 528,090 | ||
Navient Private Education Refi Loan Trust, Series 2020-FA, Class A | ||||
1.22%, 07/15/69 144A | 736,463 | 744,371 | ||
Navient Private Education Refi Loan Trust, Series 2020-HA, Class A | ||||
1.31%, 01/15/69 144A | 2,550,000 | 2,578,099 | ||
Navient Private Education Refinancing Loan Trust, Series 2020-DA, Class A | ||||
1.69%, 05/15/69 144A | 1,592,082 | 1,623,716 | ||
Navient Student Loan Trust, Series 2016-6A, Class A2 | ||||
(Floating, ICE LIBOR USD 1M + 0.75%), 0.90%, 03/25/66 144A † | 784,635 | 786,498 | ||
Navient Student Loan Trust, Series 2017-2A, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.05%), 1.20%, 12/27/66 144A † | 873,618 | 885,648 | ||
Navient Student Loan Trust, Series 2017-5A, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.80%), 0.95%, 07/26/66 144A † | 931,763 | 931,209 | ||
Navient Student Loan Trust, Series 2018-EA, Class A2 | ||||
4.00%, 12/15/59 144A | 133,278 | 138,071 | ||
Navient Student Loan Trust, Series 2019-BA, Class A2A | ||||
3.39%, 12/15/59 144A | 390,000 | 409,107 | ||
Nelnet Student Loan Trust, Series 2016-1A, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.80%), 0.95%, 09/25/65 144A † | 925,497 | 920,925 |
Par | Value | |||
Neuberger Berman CLO, Ltd., Series 2017-16SA, Class A | ||||
(Floating, ICE LIBOR USD 3M + 0.85%), 1.09%, 01/15/28 144A † | $ 990,681 | $ 989,996 | ||
Nissan Auto Lease Trust, Series 2020-A, Class A4 | ||||
1.88%, 04/15/25 | 730,000 | 746,285 | ||
NLY Commercial Mortgage Trust, Series 2019-FL2, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.30%, 1.30% Floor), 1.46%, 02/15/36 144A † | 256,000 | 255,116 | ||
Oaktree CLO, Ltd., Series 2020-1A, Class A | ||||
(Floating, ICE LIBOR USD 3M + 2.00%, 2.00% Floor), 2.34%, 07/15/29 144A † | 1,970,000 | 1,974,838 | ||
OFSI Fund VI, Ltd., Series 2014-6A, Class BR | ||||
(Floating, ICE LIBOR USD 3M + 1.50%), 1.74%, 03/20/25 144A † | 105,233 | 105,185 | ||
OneMain Direct Auto Receivables Trust, Series 2018-1A, Class A | ||||
3.43%, 12/16/24 144A | 684,281 | 691,063 | ||
Onemain Financial Issuance Trust, Series 2018-1A, Class A | ||||
3.30%, 03/14/29 144A | 220,000 | 222,280 | ||
Palmer Square CLO, Ltd., Series 2020-1A, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 2.00%, 2.00% Floor), 2.22%, 04/20/29 144A † | 2,460,000 | 2,472,783 | ||
Palmer Square Loan Funding, Ltd., Series 2020-1A, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 0.80%, 0.80% Floor), 1.02%, 02/20/28 144A † | 1,020,666 | 1,019,943 | ||
PFS Financing Corp, Series 2019-B, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.55%), 0.71%, 09/15/23 144A † | 1,400,000 | 1,402,122 | ||
PFS Financing Corp, Series 2020-B, Class A | ||||
1.21%, 06/15/24 144A | 1,500,000 | 1,516,324 | ||
PFS Financing Corporation, Series 2018-B, Class A | ||||
2.89%, 02/15/23 144A | 2,330,000 | 2,334,931 | ||
PFS Financing Corporation, Series 2019-A, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.55%), 0.71%, 04/15/24 144A † | 390,000 | 390,769 | ||
PFS Financing Corporation, Series 2019-A, Class A2 | ||||
2.86%, 04/15/24 144A | 1,500,000 | 1,543,872 | ||
PFS Financing Corporation, Series 2020-F, Class A | ||||
0.93%, 08/15/24 144A | 684,000 | 688,710 |
Par | Value | |||
PFS Financing Corporation, Series 2020-G, Class A | ||||
0.97%, 02/15/26 144A | $1,030,000 | $1,037,522 | ||
Regional Management Issuance Trust, Series 2020-1, Class A | ||||
2.34%, 10/15/30 144A | 110,000 | 111,084 | ||
RR 10 LTD, Series 2020-10A, A1FL | ||||
(Floating, ICE LIBOR USD 3M + 1.80%, 1.80% Floor), 2.04%, 07/15/33 144A † | 2,830,000 | 2,842,295 | ||
Santander Drive Auto Receivables Trust, Series 2020-2, Class B | ||||
0.96%, 11/15/24 | 130,000 | 130,864 | ||
Santander Drive Auto Receivables Trust, Series 2020-2, Class C | ||||
1.46%, 09/15/25 | 440,000 | 446,153 | ||
Santander Retail Auto Lease Trust, Series 2019-B, Class A3 | ||||
2.30%, 01/20/23 144A | 1,150,000 | 1,171,511 | ||
Securitized Term Auto Receivables Trust, Series 2019-1A, Class A3 | ||||
2.99%, 02/27/23 144A | 471,137 | 476,985 | ||
SLC Student Loan Trust, Series 2006-2, Class A5 | ||||
(Floating, ICE LIBOR USD 3M + 0.10%), 0.32%, 09/15/26† | 80,312 | 80,302 | ||
SLM Private Credit Student Loan Trust, Series 2004-A, Class A3 | ||||
(Floating, ICE LIBOR USD 3M + 0.40%), 0.62%, 06/15/33† | 360,304 | 356,057 | ||
SLM Private Credit Student Loan Trust, Series 2007-A, Class A4A | ||||
(Floating, ICE LIBOR USD 3M + 0.24%), 0.46%, 12/16/41† | 259,692 | 252,267 | ||
SLM Student Loan Trust, Series 2003-5, Class A5 | ||||
(Floating, 0.27% - Euribor 3M), 0.00%, 06/17/24(E) † | 54,509 | 66,639 | ||
SLM Student Loan Trust, Series 2004-2, Class A5 | ||||
(Floating, 0.18% - Euribor 3M), 0.00%, 01/25/24(E) † | 131,732 | 161,079 | ||
SLM Student Loan Trust, Series 2005-8, Class A4 | ||||
(Floating, ICE LIBOR USD 3M + 0.55%), 0.76%, 01/25/28† | 466,763 | 466,911 | ||
SMB Private Education Loan Trust, Series 2015-C, Class A2A | ||||
2.75%, 07/15/27 144A | 173,127 | 175,676 | ||
SMB Private Education Loan Trust, Series 2016-A, Class A2A | ||||
2.70%, 05/15/31 144A | 218,096 | 225,614 | ||
SMB Private Education Loan Trust, Series 2016-A, Class A2B | ||||
(Floating, ICE LIBOR USD 1M + 1.50%), 1.66%, 05/15/31 144A † | 593,963 | 603,770 | ||
SMB Private Education Loan Trust, Series 2016-B, Class A2A | ||||
2.43%, 02/17/32 144A | 143,587 | 147,726 |
Par | Value | |||
SMB Private Education Loan Trust, Series 2018-A, Class A2A | ||||
3.50%, 02/15/36 144A | $ 994,509 | $1,053,938 | ||
SMB Private Education Loan Trust, Series 2018-B, Class A2B | ||||
(Floating, ICE LIBOR USD 1M + 0.72%), 0.88%, 01/15/37 144A † | 531,141 | 531,202 | ||
SMB Private Education Loan Trust, Series 2019-A, Class A2A | ||||
3.44%, 07/15/36 144A | 271,015 | 287,169 | ||
SMB Private Education Loan Trust, Series 2020-A, Class A2A | ||||
2.23%, 09/15/37 144A | 1,000,000 | 1,039,453 | ||
SMB Private Education Loan Trust, Series 2020-A, Class A2B | ||||
(Floating, ICE LIBOR USD 1M + 0.83%), 0.99%, 09/15/37 144A † | 100,000 | 99,701 | ||
SMB Private Education Loan Trust, Series 2020-PTA, Class A2B | ||||
(Floating, ICE LIBOR USD 1M + 0.85%), 1.00%, 09/15/54 144A † | 3,000,000 | 2,997,719 | ||
SoFi Professional Loan Program LLC, Series 2015-D, Class A2 | ||||
2.72%, 10/27/36 144A | 420,164 | 426,266 | ||
SoFi Professional Loan Program LLC, Series 2016-A, Class A2 | ||||
2.76%, 12/26/36 144A | 140,758 | 143,055 | ||
SoFi Professional Loan Program LLC, Series 2016-C, Class A2B | ||||
2.36%, 12/27/32 144A | 60,826 | 61,624 | ||
SoFi Professional Loan Program LLC, Series 2016-D, Class A2B | ||||
2.34%, 04/25/33 144A | 69,118 | 70,481 | ||
SoFi Professional Loan Program LLC, Series 2016-F, Class A2 | ||||
3.02%, 02/25/40 144A | 533,079 | 551,470 | ||
SoFi Professional Loan Program LLC, Series 2019-B, Class A2FX | ||||
3.09%, 08/17/48 144A | 210,000 | 217,164 | ||
SoFi Professional Loan Program Trust, Series 2018-C, Class A2FX | ||||
3.59%, 01/25/48 144A | 245,000 | 254,466 | ||
SoFi Professional Loan Program Trust, Series 2020-A, Class A2FX | ||||
2.54%, 05/15/46 144A | 490,000 | 506,751 | ||
SoFi Professional Loan Program, Series 2018-B, Class A2FX | ||||
3.34%, 08/25/47 144A | 706,091 | 727,038 | ||
Sound Point CLO XIV, Ltd., Series 2016-3A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 1.15%), 1.36%, 01/23/29 144A † | 345,000 | 345,285 | ||
Springleaf Funding Trust, Series 2015-BA, Class A | ||||
3.48%, 05/15/28 144A | 332,030 | 332,512 |
Par | Value | |||
Springleaf Funding Trust, Series 2017-AA, Class A | ||||
2.68%, 07/15/30 144A | $ 243,808 | $ 244,356 | ||
Structured Asset Securities Corporation Mortgage Loan Trust, Series 2005-7XS, Class 2A1A | ||||
(Floating, ICE LIBOR USD 1M + 1.50%, 1.50% Floor), 1.65%, 04/25/35† | 159,260 | 157,779 | ||
STWD, Ltd., Series 2019-FL1, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.08%, 1.08% Floor), 1.24%, 07/15/38 144A † | 1,330,000 | 1,319,273 | ||
Taco Bell Funding LLC, Series 2018-1A, Class A2I | ||||
4.32%, 11/25/48 144A | 813,400 | 829,080 | ||
TICP CLO VI, Ltd., Series 2016-6A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 1.20%, 1.20% Floor), 1.44%, 01/15/29 144A † | 285,000 | 285,479 | ||
Towd Point Mortgage Trust, Series 2016-3, Class A1 | ||||
2.25%, 04/25/56 144A | 221,721 | 224,157 | ||
Towd Point Mortgage Trust, Series 2019-MH1, Class A1 | ||||
3.00%, 11/25/58 144A | 584,849 | 600,103 | ||
Towd Point Mortgage Trust, Series 2019-SJ3, Class A1 | ||||
3.00%, 11/25/59 144A | 1,159,866 | 1,173,251 | ||
Towd Point Mortgage Trust, Series 2020-1, Class A1 | ||||
2.71%, 01/25/60 144A γ | 1,030,661 | 1,067,945 | ||
Towd Point Mortgage Trust, Series 2020-2, Class A1A | ||||
1.64%, 04/25/60 144A | 2,874,664 | 2,928,921 | ||
Transportation Finance Equipment Trust, Series 2019-1, Class A3 | ||||
1.85%, 04/24/23 144A | 610,000 | 619,003 | ||
TRESTLES CLO, Ltd. Series 2017-1A, Class A1A | ||||
(Floating, ICE LIBOR USD 3M + 1.29%), 1.50%, 07/25/29 144A † | 550,000 | 549,932 | ||
Trillium Credit Card Trust II, Series 2020-1A, Class B | ||||
2.33%, 12/26/24 144A | 215,000 | 218,506 | ||
TRTX Issuer, Ltd., Series 2019-FL3, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.15%, 1.15% Floor), 1.30%, 10/15/34 144A † | 1,870,000 | 1,855,817 | ||
Tryon Park CLO, Ltd., Series 2013-1A, Class A1SR | ||||
(Floating, ICE LIBOR USD 3M + 0.89%), 1.13%, 04/15/29 144A † | 3,070,000 | 3,055,598 | ||
VB-S1 Issuer LLC, Series 2020-1A, Class C2 | ||||
3.03%, 06/15/50 144A | 670,000 | 704,002 |
Par | Value | |||
Venture XVII CLO, Ltd., Series 2014-17A, Class ARR | ||||
(Floating, ICE LIBOR USD 3M + 0.88%), 1.12%, 04/15/27 144A † | $ 332,001 | $ 330,931 | ||
Verizon Owner Trust, Series 2020-A, Class A1A | ||||
1.85%, 07/22/24 | 420,000 | 430,279 | ||
Verizon Owner Trust, Series 2020-B, Class A | ||||
0.47%, 02/20/25 | 1,730,000 | 1,737,256 | ||
Volvo Financial Equipment LLC, Series 2019-1A, Class A3 | ||||
3.00%, 03/15/23 144A | 1,500,000 | 1,522,596 | ||
Westlake Automobile Receivables Trust, Series 2018-3A, Class D | ||||
4.00%, 10/16/23 144A | 300,000 | 309,154 | ||
Westlake Automobile Receivables Trust, Series 2019-3A, Class A2 | ||||
2.15%, 02/15/23 144A | 202,916 | 204,391 | ||
Westlake Automobile Receivables Trust, Series 2020-1A, Class C | ||||
2.52%, 04/15/25 144A | 620,000 | 637,296 | ||
Westlake Automobile Receivables Trust, Series 2020-2A, Class B | ||||
1.32%, 07/15/25 144A | 910,000 | 921,520 | ||
Wingstop Funding LLC, Series 2020-1A, Class A2 | ||||
2.84%, 12/05/50 144A | 1,050,000 | 1,078,211 | ||
World Omni Select Auto Trust, Series 2020-A, Class A3 | ||||
0.55%, 07/15/25 | 810,000 | 813,039 | ||
Total Asset-Backed Securities (Cost $159,433,174) | 160,893,445 | |||
CERTIFICATES OF DEPOSIT — 2.0% | ||||
Bank of Nova Scotia (The) | ||||
0.22%, 01/08/21Ω | 5,000,000 | 3,927,871 | ||
MUFG Bank, Ltd. | ||||
0.24%, 01/12/21Ω | 3,000,000 | 2,356,635 | ||
Royal Bank of Canada | ||||
0.22%, 01/08/21Ω | 3,000,000 | 2,356,717 | ||
0.22%, 01/15/21Ω | 8,000,000 | 6,284,315 | ||
Sumitomo Mitsui Banking Corporation | ||||
0.26%, 01/19/21Ω | 5,000,000 | 3,927,803 | ||
0.25%, 02/16/21Ω | 3,000,000 | 2,356,062 | ||
Total Certificates Of Deposit (Cost $21,193,098) | 21,209,403 | |||
CORPORATE BONDS — 20.1% | ||||
3M Co. | ||||
2.65%, 04/15/25 | 80,000 | 86,941 | ||
ADT Security Corporation (The) | ||||
4.13%, 06/15/23 | 180,000 | 192,245 | ||
AES Corporation (The) | ||||
1.38%, 01/15/26 144A | 1,700,000 | 1,716,228 | ||
AIG Global Funding | ||||
2.30%, 07/01/22 144A | 330,000 | 339,123 |
Par | Value | |||
0.80%, 07/07/23 144A Δ | $ 610,000 | $ 616,241 | ||
0.45%, 12/08/23 144A | 1,045,000 | 1,045,330 | ||
Air Lease Corporation | ||||
2.63%, 07/01/22 | 150,000 | 153,902 | ||
2.25%, 01/15/23 | 1,355,000 | 1,392,172 | ||
2.75%, 01/15/23 | 175,000 | 180,944 | ||
Alexander Funding Trust | ||||
1.84%, 11/15/23 144A | 2,455,000 | 2,484,672 | ||
Ally Financial, Inc. | ||||
1.45%, 10/02/23 | 2,135,000 | 2,180,587 | ||
3.88%, 05/21/24 | 400,000 | 438,640 | ||
Ameren Corporation | ||||
2.50%, 09/15/24 | 610,000 | 650,839 | ||
American Electric Power Co., Inc. | ||||
0.75%, 11/01/23 | 180,000 | 180,443 | ||
American Honda Finance Corporation | ||||
2.05%, 01/10/23 | 915,000 | 946,472 | ||
0.88%, 07/07/23 | 865,000 | 875,856 | ||
American Tower Corporation REIT | ||||
2.25%, 01/15/22 | 2,700,000 | 2,752,260 | ||
0.60%, 01/15/24 | 1,300,000 | 1,301,755 | ||
2.40%, 03/15/25 | 215,000 | 228,672 | ||
1.30%, 09/15/25 | 190,000 | 194,222 | ||
1.95%, 05/22/26(E) | 120,000 | 160,073 | ||
Aon Corporation | ||||
2.20%, 11/15/22 | 855,000 | 884,271 | ||
Ardagh Packaging Finance PLC | ||||
5.25%, 04/30/25 144A | 250,000 | 264,086 | ||
Ares Capital Corporation | ||||
3.63%, 01/19/22 | 1,240,000 | 1,275,643 | ||
Assurant, Inc. | ||||
(Floating, ICE LIBOR USD 3M + 1.25%), 1.50%, 03/26/21† | 226,000 | 226,004 | ||
AT&T, Inc. | ||||
1.05%, 09/05/23(E) | 290,000 | 364,932 | ||
Athene Global Funding | ||||
2.80%, 05/26/23 144A | 820,000 | 856,389 | ||
1.20%, 10/13/23 144A | 725,000 | 730,886 | ||
Aviation Capital Group LLC | ||||
2.88%, 01/20/22 144A | 1,000,000 | 1,012,714 | ||
4.38%, 01/30/24 144A | 1,000,000 | 1,056,260 | ||
Bank of America Corporation | ||||
(Floating, ICE LIBOR USD 3M + 0.38%), 0.59%, 01/23/22† Δ | 900,000 | 900,173 | ||
(Floating, ICE LIBOR USD 3M + 0.65%), 0.90%, 06/25/22† | 750,000 | 751,936 | ||
(Variable, ICE LIBOR USD 3M + 0.94%), 3.86%, 07/23/24^ | 1,000,000 | 1,084,600 | ||
(Variable, U.S. SOFR + 0.74%), 0.81%, 10/24/24^ | 1,850,000 | 1,868,063 | ||
(Variable, U.S. SOFR + 1.15%), 1.32%, 06/19/26^ | 600,000 | 613,329 | ||
(Variable, U.S. SOFR + 1.01%), 1.20%, 10/24/26^ | 445,000 | 451,135 | ||
BBVA USA | ||||
3.50%, 06/11/21 | 1,600,000 | 1,618,190 | ||
Becton Dickinson Euro Finance S.a.r.l. | ||||
0.63%, 06/04/23(E) | 900,000 | 1,115,738 |
Par | Value | |||
1.21%, 06/04/26(E) | $ 120,000 | $ 153,434 | ||
Berry Global, Inc. | ||||
1.57%, 01/15/26 144A | 1,200,000 | 1,212,360 | ||
BGC Partners, Inc. | ||||
5.13%, 05/27/21 | 1,400,000 | 1,416,051 | ||
BMW US Capital LLC | ||||
3.80%, 04/06/23 144A | 476,000 | 511,390 | ||
Boeing Co. (The) | ||||
2.13%, 03/01/22Δ | 400,000 | 406,786 | ||
4.51%, 05/01/23 | 2,000,000 | 2,162,594 | ||
Broadcom Corporation | ||||
3.63%, 01/15/24 | 250,000 | 270,364 | ||
Broadcom, Inc. | ||||
3.13%, 04/15/21 | 1,000,000 | 1,005,754 | ||
4.70%, 04/15/25 | 690,000 | 791,023 | ||
Calpine Corporation | ||||
5.25%, 06/01/26 144A | 135,000 | 139,860 | ||
Cantor Fitzgerald LP | ||||
6.50%, 06/17/22 144A | 750,000 | 810,647 | ||
Capital One Financial Corporation | ||||
0.80%, 06/12/24(E) | 900,000 | 1,125,526 | ||
Carrier Global Corporation | ||||
2.24%, 02/15/25 | 50,000 | 52,949 | ||
Caterpillar Financial Services Corporation | ||||
0.65%, 07/07/23 | 1,270,000 | 1,281,117 | ||
CCO Holdings LLC | ||||
5.13%, 05/01/27 144A | 400,000 | 425,010 | ||
CDK Global, Inc. | ||||
4.88%, 06/01/27 | 125,000 | 132,109 | ||
CDW LLC | ||||
5.50%, 12/01/24 | 275,000 | 307,963 | ||
Centene Corporation | ||||
4.75%, 01/15/25 | 395,000 | 405,855 | ||
5.38%, 08/15/26 144A | 500,000 | 529,375 | ||
CenturyLink, Inc. | ||||
5.13%, 12/15/26 144A | 450,000 | 475,837 | ||
4.00%, 02/15/27 144A | 300,000 | 310,161 | ||
Charter Communications Operating LLC | ||||
4.50%, 02/01/24 | 2,700,000 | 2,996,498 | ||
Cheniere Corpus Christi Holdings LLC | ||||
5.88%, 03/31/25Δ | 630,000 | 733,807 | ||
Chevron Corporation | ||||
1.14%, 05/11/23 | 365,000 | 372,815 | ||
Chevron USA, Inc. | ||||
0.43%, 08/11/23 | 725,000 | 728,941 | ||
CIT Bank NA | ||||
(Variable, U.S. SOFR + 1.72%), 2.97%, 09/27/25^ | 440,000 | 461,725 | ||
CIT Group, Inc. | ||||
4.13%, 03/09/21 | 330,000 | 331,155 | ||
5.00%, 08/15/22 | 750,000 | 796,080 | ||
Citigroup, Inc. | ||||
2.75%, 04/25/22 | 1,100,000 | 1,133,082 | ||
(Variable, ICE LIBOR USD 3M + 0.72%), 3.14%, 01/24/23^ | 1,850,000 | 1,902,630 |
Par | Value | |||
(Floating, ICE LIBOR USD 3M + 1.02%), 1.25%, 06/01/24† | $1,000,000 | $1,011,633 | ||
(Variable, U.S. SOFR + 0.69%), 0.78%, 10/30/24^ | 1,775,000 | 1,787,511 | ||
(Variable, U.S. SOFR + 2.75%), 3.11%, 04/08/26^ | 525,000 | 574,403 | ||
Citizens Bank NA | ||||
3.25%, 02/14/22 | 430,000 | 442,837 | ||
Clearway Energy Operating LLC | ||||
5.75%, 10/15/25 | 125,000 | 131,797 | ||
CNH Industrial Capital LLC | ||||
3.88%, 10/15/21 | 145,000 | 148,462 | ||
1.95%, 07/02/23 | 590,000 | 607,595 | ||
CommonSpirit Health | ||||
1.55%, 10/01/25 | 800,000 | 822,635 | ||
Crown Americas LLC | ||||
4.75%, 02/01/26 | 150,000 | 156,159 | ||
Crown Castle International Corporation REIT | ||||
1.35%, 07/15/25 | 570,000 | 582,472 | ||
Crown Castle Towers LLC | ||||
3.22%, 05/15/22 144A | 1,500,000 | 1,516,423 | ||
CSC Holdings LLC | ||||
5.50%, 05/15/26 144A | 245,000 | 255,106 | ||
CVS Health Corporation | ||||
3.35%, 03/09/21 | 903,000 | 907,968 | ||
1.30%, 08/21/27 | 265,000 | 266,395 | ||
Daimler Finance North America LLC | ||||
2.30%, 02/12/21 144A | 1,455,000 | 1,457,957 | ||
3.35%, 05/04/21 144A | 230,000 | 232,214 | ||
(Floating, ICE LIBOR USD 3M + 0.90%), 1.12%, 02/15/22 144A † | 1,000,000 | 1,007,692 | ||
2.55%, 08/15/22 144A Δ | 1,000,000 | 1,034,631 | ||
Danaher Corporation | ||||
1.70%, 03/30/24(E) | 100,000 | 129,370 | ||
DCP Midstream Operating LP | ||||
5.38%, 07/15/25 | 150,000 | 165,104 | ||
Dell International LLC | ||||
5.88%, 06/15/21 144A | 92,000 | 92,281 | ||
5.45%, 06/15/23 144A | 1,680,000 | 1,858,720 | ||
Diamondback Energy, Inc. | ||||
4.75%, 05/31/25 | 700,000 | 788,831 | ||
Discover Bank | ||||
3.35%, 02/06/23 | 1,590,000 | 1,678,730 | ||
DISH DBS Corporation | ||||
6.75%, 06/01/21 | 700,000 | 714,847 | ||
Dollar Tree, Inc. | ||||
3.70%, 05/15/23 | 1,100,000 | 1,177,890 | ||
DTE Energy Co. | ||||
0.55%, 11/01/22 | 2,465,000 | 2,474,464 | ||
Elanco Animal Health, Inc. | ||||
4.91%, 08/27/21 | 245,000 | 250,972 | ||
Endeavor Energy Resources LP | ||||
6.63%, 07/15/25 144A | 150,000 | 160,734 | ||
Energy Transfer Operating LP | ||||
3.60%, 02/01/23 | 105,000 | 110,031 | ||
4.25%, 03/15/23Δ | 1,000,000 | 1,063,656 |
Par | Value | |||
2.90%, 05/15/25 | $ 260,000 | $ 275,348 | ||
Enstar Group, Ltd. | ||||
4.50%, 03/10/22 | 275,000 | 285,550 | ||
Entergy Louisiana LLC | ||||
0.62%, 11/17/23 | 655,000 | 657,262 | ||
Equinix, Inc. REIT | ||||
2.63%, 11/18/24 | 985,000 | 1,053,938 | ||
1.25%, 07/15/25Δ | 380,000 | 388,070 | ||
Evergy, Inc. | ||||
2.45%, 09/15/24 | 1,020,000 | 1,082,668 | ||
Exelon Corporation | ||||
2.45%, 04/15/21 | 175,000 | 175,694 | ||
Exxon Mobil Corporation | ||||
0.14%, 06/26/24(E) | 390,000 | 481,308 | ||
Fidelity National Information Services, Inc. | ||||
0.13%, 12/03/22(E) | 300,000 | 368,481 | ||
0.75%, 05/21/23(E) | 380,000 | 473,774 | ||
FirstEnergy Corporation | ||||
2.85%, 07/15/22 | 2,357,000 | 2,396,732 | ||
4.25%, 03/15/23 | 570,000 | 602,190 | ||
Ford Motor Credit Co. LLC | ||||
(Floating, ICE LIBOR USD 3M + 2.55%), 2.77%, 01/07/21† | 1,000,000 | 999,912 | ||
3.34%, 03/18/21 | 300,000 | 301,125 | ||
(Floating, ICE LIBOR USD 3M + 0.81%), 1.05%, 04/05/21† | 500,000 | 497,871 | ||
4.14%, 02/15/23 | 345,000 | 356,213 | ||
3.37%, 11/17/23 | 750,000 | 765,780 | ||
5.58%, 03/18/24 | 300,000 | 324,000 | ||
5.13%, 06/16/25 | 640,000 | 696,672 | ||
FS KKR Capital Corporation | ||||
4.75%, 05/15/22 | 1,000,000 | 1,040,687 | ||
FS KKR Capital Corporation II | ||||
4.25%, 02/14/25 144A | 880,000 | 888,809 | ||
GATX Corporation | ||||
(Floating, ICE LIBOR USD 3M + 0.72%), 0.94%, 11/05/21† | 500,000 | 501,213 | ||
GE Capital Funding LLC | ||||
3.45%, 05/15/25 144A | 760,000 | 839,030 | ||
General Mills, Inc. | ||||
0.45%, 01/15/26(E) | 100,000 | 125,011 | ||
General Motors Co. | ||||
5.40%, 10/02/23 | 230,000 | 257,707 | ||
General Motors Financial Co., Inc. | ||||
(Floating, ICE LIBOR USD 3M + 0.85%), 1.08%, 04/09/21† | 3,200,000 | 3,202,039 | ||
3.20%, 07/06/21 | 46,000 | 46,499 | ||
4.20%, 11/06/21 | 395,000 | 407,184 | ||
(Floating, ICE LIBOR USD 3M + 1.55%), 1.78%, 01/14/22† | 590,000 | 594,911 | ||
(Floating, ICE LIBOR USD 3M + 1.31%), 1.55%, 06/30/22† | 344,000 | 346,403 | ||
5.20%, 03/20/23 | 1,095,000 | 1,201,163 | ||
Gilead Sciences, Inc. | ||||
0.75%, 09/29/23 | 1,690,000 | 1,695,385 |
Par | Value | |||
Goldman Sachs Group, Inc. (The) | ||||
(Floating, 0.55% - Euribor 3M), 0.04%, 04/21/23(E) † | $ 210,000 | $ 257,244 | ||
(Variable, U.S. SOFR + 0.54%), 0.63%, 11/17/23^ | 1,250,000 | 1,255,524 | ||
3.50%, 04/01/25 | 380,000 | 422,506 | ||
Gray Oak Pipeline LLC | ||||
2.00%, 09/15/23 144A | 445,000 | 452,221 | ||
HCA, Inc. | ||||
5.38%, 02/01/25 | 525,000 | 591,158 | ||
Hilton Domestic Operating Co., Inc. | ||||
5.38%, 05/01/25 144A | 500,000 | 531,750 | ||
Honeywell International, Inc. | ||||
1.30%, 02/22/23(E) | 260,000 | 328,000 | ||
Howard Hughes Corporation (The) | ||||
5.38%, 03/15/25 144A | 125,000 | 129,219 | ||
Humana, Inc. | ||||
2.90%, 12/15/22 | 1,700,000 | 1,777,852 | ||
Hyundai Capital America | ||||
1.15%, 11/10/22 144A | 3,840,000 | 3,844,477 | ||
1.25%, 09/18/23 144A | 900,000 | 911,272 | ||
Infor, Inc. | ||||
1.45%, 07/15/23 144A | 365,000 | 371,128 | ||
Intercontinental Exchange, Inc. | ||||
0.70%, 06/15/23Δ | 325,000 | 327,441 | ||
International Lease Finance Corporation | ||||
8.63%, 01/15/22 | 1,200,000 | 1,291,913 | ||
Interpublic Group of Cos., Inc. (The) | ||||
3.75%, 10/01/21 | 80,000 | 82,017 | ||
Intuit, Inc. | ||||
0.65%, 07/15/23 | 465,000 | 469,185 | ||
IQVIA, Inc. | ||||
5.00%, 05/15/27 144A | 200,000 | 212,998 | ||
iStar, Inc. REIT | ||||
4.75%, 10/01/24 | 150,000 | 152,141 | ||
Jackson National Life Global Funding | ||||
3.30%, 02/01/22 144A | 1,125,000 | 1,161,079 | ||
Jagged Peak Energy LLC | ||||
5.88%, 05/01/26 | 445,000 | 461,894 | ||
JBS USA LUX SA | ||||
5.75%, 06/15/25 144A | 300,000 | 310,500 | ||
JPMorgan Chase & Co. | ||||
(Variable, U.S. SOFR + 0.60%), 0.65%, 09/16/24Δ ^ | 975,000 | 980,425 | ||
(Variable, U.S. SOFR + 1.16%), 2.30%, 10/15/25^ | 290,000 | 308,010 | ||
(Variable, U.S. SOFR + 1.85%), 2.08%, 04/22/26^ | 620,000 | 655,339 | ||
Kinder Morgan Energy Partners LP | ||||
5.00%, 10/01/21 | 300,000 | 306,534 | ||
4.25%, 09/01/24 | 355,000 | 396,854 | ||
Kinder Morgan, Inc. | ||||
(Floating, ICE LIBOR USD 3M + 1.28%), 1.52%, 01/15/23† | 660,000 | 666,766 | ||
Kraft Heinz Foods Co. | ||||
(Floating, ICE LIBOR USD 3M + 0.82%), 1.03%, 08/10/22† | 400,000 | 399,175 |
Par | Value | |||
3.95%, 07/15/25 | $ 575,000 | $ 633,607 | ||
Lehman Escrow Bonds | ||||
6.63%, 01/18/12# | 600,000 | 6,720 | ||
Lennar Corporation | ||||
4.13%, 01/15/22 | 1,250,000 | 1,282,031 | ||
Level 3 Financing, Inc. | ||||
5.25%, 03/15/26 | 250,000 | 258,638 | ||
Live Nation Entertainment, Inc. | ||||
6.50%, 05/15/27 144A Δ | 125,000 | 139,975 | ||
Marathon Petroleum Corporation | ||||
4.70%, 05/01/25 | 130,000 | 149,067 | ||
Marriott International, Inc. | ||||
2.88%, 03/01/21 | 600,000 | 600,927 | ||
Marsh & McLennan Cos., Inc. | ||||
1.35%, 09/21/26(E) | 145,000 | 189,514 | ||
Masco Corporation | ||||
5.95%, 03/15/22 | 683,000 | 727,445 | ||
MassMutual Global Funding II | ||||
0.85%, 06/09/23 144A | 950,000 | 961,957 | ||
McCormick & Co., Inc. | ||||
2.70%, 08/15/22 | 200,000 | 207,114 | ||
McDonald’s Corporation | ||||
3.30%, 07/01/25Δ | 155,000 | 172,782 | ||
Medtronic Global Holdings SCA | ||||
0.00%, 12/02/22(E) | 805,000 | 988,134 | ||
0.38%, 03/07/23(E) | 180,000 | 222,692 | ||
0.00%, 10/15/25(E) | 100,000 | 122,760 | ||
Metropolitan Life Global Funding I | ||||
0.90%, 06/08/23 144A | 830,000 | 840,724 | ||
0.45%, 09/01/23 144A | 1,760,000 | 1,763,428 | ||
Microchip Technology, Inc. | ||||
2.67%, 09/01/23 144A | 745,000 | 779,670 | ||
0.97%, 02/15/24 144A | 1,380,000 | 1,384,437 | ||
4.25%, 09/01/25 144A | 250,000 | 264,571 | ||
MMS USA Investments, Inc. | ||||
0.63%, 06/13/25(E) | 100,000 | 124,694 | ||
Mondelez International, Inc. | ||||
2.13%, 04/13/23 | 240,000 | 249,409 | ||
Morgan Stanley | ||||
3.13%, 01/23/23 | 1,000,000 | 1,055,687 | ||
(Floating, CAD Offered Rate 3M + 0.30%), 0.79%, 02/03/23(C) † | 1,500,000 | 1,180,556 | ||
(Variable, U.S. SOFR + 0.47%), 0.56%, 11/10/23^ | 1,000,000 | 1,002,591 | ||
(Variable, ICE LIBOR USD 3M + 0.85%), 3.74%, 04/24/24^ | 750,000 | 807,238 | ||
(Variable, 0.75% - Euribor 3M), 0.64%, 07/26/24(E) ^ | 200,000 | 248,811 | ||
(Variable, U.S. SOFR + 1.15%), 2.72%, 07/22/25^ | 790,000 | 845,397 | ||
(Variable, U.S. SOFR + 0.75%), 0.86%, 10/21/25^ | 525,000 | 529,611 | ||
MPLX LP | ||||
3.50%, 12/01/22 | 265,000 | 278,442 | ||
1.75%, 03/01/26 | 215,000 | 222,667 |
Par | Value | |||
Mueller Water Products, Inc. | ||||
5.50%, 06/15/26 144A | $ 150,000 | $ 155,972 | ||
MUFG Union Bank NA | ||||
2.10%, 12/09/22 | 1,000,000 | 1,032,367 | ||
Mylan, Inc. | ||||
3.13%, 01/15/23 144A | 1,700,000 | 1,785,644 | ||
National Securities Clearing Corporation | ||||
1.20%, 04/23/23 144A | 825,000 | 841,750 | ||
Navient Corporation | ||||
6.63%, 07/26/21 | 575,000 | 588,297 | ||
Netflix, Inc. | ||||
5.88%, 02/15/25 | 200,000 | 230,469 | ||
New York Life Global Funding | ||||
1.10%, 05/05/23 144A | 560,000 | 569,961 | ||
NextEra Energy Operating Partners LP | ||||
4.25%, 07/15/24 144A | 405,000 | 433,856 | ||
NIKE, Inc. | ||||
2.40%, 03/27/25 | 105,000 | 113,225 | ||
Nissan Motor Acceptance Corporation | ||||
(Floating, ICE LIBOR USD 3M + 0.69%), 0.94%, 09/28/22 144A † | 300,000 | 297,480 | ||
3.45%, 03/15/23 144A | 1,350,000 | 1,410,035 | ||
Northwest Airlines Pass-Through Trust, Series 2002-1, Class G2 | ||||
6.26%, 11/20/21 | 18,080 | 18,172 | ||
NRG Energy, Inc. | ||||
6.63%, 01/15/27 | 150,000 | 158,625 | ||
Nuance Communications, Inc. | ||||
5.63%, 12/15/26Δ | 125,000 | 132,499 | ||
Nucor Corporation | ||||
2.00%, 06/01/25Δ | 60,000 | 63,607 | ||
Nutrition & Biosciences, Inc. | ||||
0.70%, 09/15/22 144A | 315,000 | 316,052 | ||
1.23%, 10/01/25 144A | 1,870,000 | 1,891,130 | ||
Occidental Petroleum Corporation | ||||
(Floating, ICE LIBOR USD 3M + 1.45%), 1.67%, 08/15/22† | 1,000,000 | 980,390 | ||
2.90%, 08/15/24 | 105,000 | 101,220 | ||
OneMain Finance Corporation | ||||
5.63%, 03/15/23 | 435,000 | 467,897 | ||
Oracle Corporation | ||||
2.50%, 04/01/25 | 360,000 | 387,220 | ||
Otis Worldwide Corporation | ||||
2.06%, 04/05/25 | 180,000 | 190,963 | ||
Owl Rock Capital Corporation | ||||
4.25%, 01/15/26 | 510,000 | 537,557 | ||
Owl Rock Technology Finance Corporation | ||||
3.75%, 06/17/26 144A | 345,000 | 347,292 | ||
PACCAR Financial Corporation | ||||
0.35%, 08/11/23 | 1,050,000 | 1,049,737 | ||
Pacific Gas and Electric Co. | ||||
(Floating, ICE LIBOR USD 3M + 1.38%), 1.60%, 11/15/21† | 910,000 | 910,616 | ||
(Floating, ICE LIBOR USD 3M + 1.48%), 1.70%, 06/16/22† | 200,000 | 200,103 |
Par | Value | |||
1.75%, 06/16/22 | $3,000,000 | $3,008,734 | ||
3.25%, 06/15/23 | 100,000 | 104,428 | ||
4.25%, 08/01/23 | 200,000 | 214,911 | ||
3.85%, 11/15/23 | 100,000 | 106,392 | ||
3.75%, 02/15/24 | 200,000 | 213,504 | ||
2.10%, 08/01/27 | 600,000 | 611,486 | ||
Pacific Life Global Funding II | ||||
0.50%, 09/23/23 144A | 1,810,000 | 1,815,545 | ||
Parsley Energy LLC | ||||
5.38%, 01/15/25 144A | 150,000 | 154,541 | ||
5.25%, 08/15/25 144A | 545,000 | 568,980 | ||
PayPal Holdings, Inc. | ||||
2.20%, 09/26/22 | 700,000 | 723,454 | ||
1.35%, 06/01/23 | 715,000 | 732,533 | ||
PBF Holding Co. LLC | ||||
9.25%, 05/15/25 144A Δ | 125,000 | 123,416 | ||
PeaceHealth Obligated Group | ||||
1.38%, 11/15/25 | 104,000 | 106,221 | ||
Penske Truck Leasing Co. LP | ||||
3.38%, 02/01/22 144A | 325,000 | 333,660 | ||
4.25%, 01/17/23 144A | 165,000 | 177,326 | ||
3.45%, 07/01/24 144A | 1,500,000 | 1,635,345 | ||
2.70%, 11/01/24 144A | 1,105,000 | 1,184,449 | ||
1.20%, 11/15/25 144A | 295,000 | 297,800 | ||
Phillips 66 | ||||
(Floating, ICE LIBOR USD 3M + 0.60%), 0.83%, 02/26/21† | 595,000 | 595,071 | ||
0.90%, 02/15/24 | 585,000 | 586,544 | ||
Prime Security Services Borrower LLC | ||||
5.25%, 04/15/24 144A | 250,000 | 267,188 | ||
Protective Life Global Funding | ||||
2.62%, 08/22/22 144A | 575,000 | 596,175 | ||
1.08%, 06/09/23 144A | 395,000 | 401,983 | ||
0.63%, 10/13/23 144A | 1,040,000 | 1,046,529 | ||
PulteGroup, Inc. | ||||
5.00%, 01/15/27 | 125,000 | 147,734 | ||
Reliance Standard Life Global Funding II | ||||
2.63%, 07/22/22 144A | 995,000 | 1,023,350 | ||
2.15%, 01/21/23 144A | 465,000 | 476,984 | ||
2.75%, 01/21/27 144A | 1,700,000 | 1,789,277 | ||
Ryder System, Inc. | ||||
2.88%, 06/01/22 | 3,050,000 | 3,151,695 | ||
2.50%, 09/01/22 | 1,200,000 | 1,239,038 | ||
Sabine Pass Liquefaction LLC | ||||
6.25%, 03/15/22 | 1,100,000 | 1,158,011 | ||
5.75%, 05/15/24 | 285,000 | 325,980 | ||
Santander Holdings USA, Inc. | ||||
4.45%, 12/03/21 | 475,000 | 490,552 | ||
3.70%, 03/28/22 | 510,000 | 526,750 | ||
SBA Tower Trust REIT | ||||
1.88%, 01/15/26 144A | 680,000 | 702,001 | ||
Signature Aviation US Holdings, Inc. | ||||
5.38%, 05/01/26 144A | 125,000 | 128,438 | ||
Simon International Finance SCA REIT | ||||
1.38%, 11/18/22(E) | 105,000 | 131,262 |
Par | Value | |||
Sirius XM Radio, Inc. | ||||
3.88%, 08/01/22 144A | $ 900,000 | $ 914,625 | ||
SLM Corporation | ||||
5.13%, 04/05/22 | 404,000 | 414,353 | ||
Smithfield Foods, Inc. | ||||
2.65%, 10/03/21 144A | 495,000 | 499,511 | ||
Southern California Edison Co. | ||||
2.90%, 03/01/21 | 1,000,000 | 1,004,097 | ||
1.85%, 02/01/22 | 321,429 | 322,149 | ||
Southern Co. Gas Capital Corporation | ||||
2.45%, 10/01/23 | 1,715,000 | 1,802,987 | ||
Southwest Airlines Co. | ||||
4.75%, 05/04/23 | 675,000 | 733,892 | ||
Spectra Energy Partners LP | ||||
4.75%, 03/15/24 | 90,000 | 100,573 | ||
Sprint Corporation | ||||
7.88%, 09/15/23 | 425,000 | 492,596 | ||
Sprint Spectrum Co. LLC | ||||
3.36%, 09/20/21 144A | 350,625 | 354,470 | ||
4.74%, 03/20/25 144A | 445,000 | 483,366 | ||
Starbucks Corporation | ||||
1.30%, 05/07/22Δ | 170,000 | 172,436 | ||
State Street Corporation | ||||
(Variable, U.S. SOFR + 2.69%), 2.83%, 03/30/23^ | 265,000 | 273,547 | ||
Steel Dynamics, Inc. | ||||
2.40%, 06/15/25Δ | 35,000 | 37,239 | ||
Stryker Corporation | ||||
0.60%, 12/01/23 | 265,000 | 265,467 | ||
Synchrony Financial | ||||
2.85%, 07/25/22 | 382,000 | 394,586 | ||
Targa Resources Partners LP | ||||
4.25%, 11/15/23 | 250,000 | 251,901 | ||
Target Corporation | ||||
2.25%, 04/15/25 | 135,000 | 144,628 | ||
TerraForm Power Operating LLC | ||||
4.25%, 01/31/23 144A | 150,000 | 155,344 | ||
T-Mobile USA, Inc. | ||||
1.50%, 02/15/26 144A | 2,100,000 | 2,154,064 | ||
Toll Brothers Finance Corporation | ||||
4.38%, 04/15/23 | 200,000 | 212,750 | ||
Truist Financial Corporation | ||||
2.20%, 03/16/23Δ | 1,185,000 | 1,230,350 | ||
United Airlines Pass-Through Trust, Series 2020-1, Class A | ||||
5.88%, 10/15/27 | 235,000 | 253,947 | ||
Utah Acquisition Sub, Inc. | ||||
3.15%, 06/15/21 | 2,000,000 | 2,019,406 | ||
Valero Energy Corporation | ||||
2.70%, 04/15/23 | 1,000,000 | 1,044,192 | ||
(Floating, ICE LIBOR USD 3M + 1.15%), 1.37%, 09/15/23† | 1,900,000 | 1,905,037 | ||
Ventas Realty LP REIT | ||||
2.65%, 01/15/25 | 695,000 | 744,658 | ||
Verizon Communications, Inc. | ||||
(Floating, ICE LIBOR USD 3M + 1.10%), 1.32%, 05/15/25† | 1,000,000 | 1,027,479 |
Par | Value | |||
1.75%, 01/20/31 | $ 220,000 | $ 219,303 | ||
ViaSat, Inc. | ||||
5.63%, 04/15/27 144A | 250,000 | 262,969 | ||
Vistra Operations Co. LLC | ||||
5.63%, 02/15/27 144A | 250,000 | 266,275 | ||
Volkswagen Group of America Finance LLC | ||||
2.50%, 09/24/21 144A | 410,000 | 416,169 | ||
2.90%, 05/13/22 144A | 1,330,000 | 1,372,485 | ||
2.70%, 09/26/22 144A | 2,000,000 | 2,074,543 | ||
0.88%, 11/22/23 144A | 1,305,000 | 1,313,098 | ||
W.R. Grace & Co-Conn | ||||
4.88%, 06/15/27 144A | 125,000 | 132,721 | ||
Wells Fargo & Co. | ||||
(Variable, U.S. SOFR + 1.60%), 1.65%, 06/02/24^ | 1,700,000 | 1,747,815 | ||
Wells Fargo Bank NA | ||||
(Variable, ICE LIBOR USD 3M + 0.65%), 2.08%, 09/09/22^ | 1,730,000 | 1,750,013 | ||
WESCO Distribution, Inc. | ||||
7.13%, 06/15/25 144A | 300,000 | 330,347 | ||
Westinghouse Air Brake Technologies Corporation | ||||
4.40%, 03/15/24 | 800,000 | 876,399 | ||
3.20%, 06/15/25 | 325,000 | 350,988 | ||
Williams Cos., Inc. (The) | ||||
4.00%, 11/15/21 | 175,000 | 178,804 | ||
3.70%, 01/15/23 | 80,000 | 84,797 | ||
WRKCo, Inc. | ||||
3.75%, 03/15/25 | 115,000 | 128,269 | ||
Total Corporate Bonds (Cost $208,607,866) | 213,832,999 | |||
FOREIGN BONDS — 15.6% | ||||
Australia — 0.6% | ||||
Macquarie Group, Ltd. | ||||
(Floating, ICE LIBOR USD 3M + 1.02%), 1.24%, 11/28/23 144A † | 1,435,000 | 1,446,860 | ||
National Australia Bank, Ltd. | ||||
2.25%, 03/16/21 144A | 1,500,000 | 1,506,152 | ||
Telstra Corporation, Ltd. | ||||
3.50%, 09/21/22(E) | 200,000 | 260,156 | ||
Westpac Banking Corporation | ||||
3.15%, 01/16/24 144A | 1,275,000 | 1,378,411 | ||
Woodside Finance, Ltd. | ||||
4.60%, 05/10/21 144A | 1,300,000 | 1,305,164 | ||
3.70%, 09/15/26 144A | 400,000 | 435,647 | ||
6,332,390 | ||||
Belgium — 0.0% | ||||
KBC Group NV | ||||
1.13%, 01/25/24(E) | 200,000 | 253,576 | ||
Brazil — 0.2% | ||||
Banco Bradesco SA | ||||
2.85%, 01/27/23 144A | 1,495,000 | 1,531,269 |
Par | Value | |||
Itau Unibanco Holding SA | ||||
2.90%, 01/24/23 144A | $ 920,000 | $ 943,009 | ||
2,474,278 | ||||
Canada — 3.4% | ||||
1011778 BC ULC | ||||
5.75%, 04/15/25 144A | 200,000 | 214,314 | ||
Canada Housing Trust No. 1 | ||||
2.40%, 12/15/22(C) 144A | 19,000,000 | 15,551,222 | ||
Canadian Treasury Bills | ||||
0.11%, 01/07/21(C) Ω | 3,500,000 | 2,749,599 | ||
0.06%, 01/14/21(C) Ω | 13,500,000 | 10,605,491 | ||
GFL Environmental, Inc. | ||||
5.13%, 12/15/26 144A | 400,000 | 426,040 | ||
National Bank of Canada | ||||
2.15%, 10/07/22 144A | 630,000 | 649,673 | ||
OMERS Finance Trust | ||||
1.13%, 04/14/23 144A | 1,770,000 | 1,802,796 | ||
Royal Bank of Canada | ||||
0.50%, 10/26/23Δ | 1,020,000 | 1,026,063 | ||
SIG Combibloc PurchaseCo S.a.r.l. | ||||
1.88%, 06/18/23(E) | 300,000 | 379,505 | ||
2.13%, 06/18/25(E) | 100,000 | 128,762 | ||
Sumitomo Mitsui | ||||
0.18%, 02/10/21(C) | 3,000,000 | 2,356,352 | ||
Toronto-Dominion Bank (The) | ||||
0.38%, 04/25/24(E) | 305,000 | 378,662 | ||
TransCanada PipeLines, Ltd. | ||||
3.75%, 10/16/23 | 45,000 | 48,670 | ||
36,317,149 | ||||
China — 0.2% | ||||
Avolon Holdings Funding, Ltd. | ||||
5.50%, 01/15/23 144A | 900,000 | 957,456 | ||
Baidu, Inc. | ||||
2.88%, 07/06/22 | 235,000 | 242,221 | ||
Park Aerospace Holdings, Ltd. | ||||
3.63%, 03/15/21 144A | 700,000 | 701,928 | ||
5.25%, 08/15/22 144A | 220,000 | 230,977 | ||
2,132,582 | ||||
Denmark — 0.3% | ||||
Danske Bank A/S | ||||
(Variable, ICE LIBOR USD 3M + 1.25%), 3.00%, 09/20/22 144A ^ | 745,000 | 756,997 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 1.03%), 1.17%, 12/08/23 144A ^ | 2,100,000 | 2,110,460 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 1.35%), 1.62%, 09/11/26 144A ^ | 200,000 | 201,129 | ||
3,068,586 |
Par | Value | |||
Finland — 0.0% | ||||
CRH Finland Services OYJ | ||||
0.88%, 11/05/23(E) | $ 180,000 | $ 226,214 | ||
France — 0.7% | ||||
Air Liquide Finance SA | ||||
0.38%, 04/18/22(E) | 100,000 | 123,046 | ||
APRR SA | ||||
0.00%, 01/20/23(E) | 100,000 | 122,825 | ||
Autoroutes du Sud de la France SA | ||||
2.95%, 01/17/24(E) | 100,000 | 133,011 | ||
Banque Federative du Credit Mutuel | ||||
0.13%, 02/05/24(E) | 200,000 | 247,227 | ||
0.65%, 02/27/24 144A Δ | 1,140,000 | 1,143,743 | ||
Banque Federative du Credit Mutuel SA | ||||
0.75%, 06/15/23(E) | 100,000 | 125,329 | ||
BNP Paribas SA | ||||
1.13%, 01/15/23(E) | 230,000 | 289,088 | ||
Capgemini SE | ||||
0.63%, 06/23/25(E) | 200,000 | 251,496 | ||
Credit Agricole SA | ||||
3.38%, 01/10/22 144A | 1,600,000 | 1,649,174 | ||
Credit Mutuel Arkea SA | ||||
0.01%, 01/28/26(E) | 100,000 | 122,453 | ||
Dassault Systemes SE | ||||
0.00%, 09/16/22(E) | 300,000 | 368,291 | ||
Engie SA | ||||
0.38%, 02/28/23(E) | 200,000 | 247,265 | ||
JCDecaux SA | ||||
2.00%, 10/24/24(E) | 100,000 | 129,555 | ||
Orange SA | ||||
0.75%, 09/11/23(E) | 500,000 | 626,135 | ||
RTE Reseau de Transport d'Electricite SADIR | ||||
4.13%, 02/03/21(E) | 100,000 | 122,599 | ||
Schneider Electric SE | ||||
0.00%, 06/12/23(E) | 100,000 | 122,985 | ||
0.25%, 09/09/24(E) | 200,000 | 248,848 | ||
Societe Generale SA | ||||
0.00%, 05/27/22(E) | 300,000 | 368,218 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 1.10%), 1.49%, 12/14/26 144A ^ | 200,000 | 202,007 | ||
Thales SA | ||||
0.00%, 05/31/22(E) | 100,000 | 122,577 | ||
0.75%, 06/07/23(E) | 100,000 | 124,661 | ||
Total Capital International SA | ||||
2.13%, 03/15/23(E) | 100,000 | 128,760 | ||
0.25%, 07/12/23(E) | 100,000 | 124,028 | ||
Veolia Environnement SA | ||||
0.67%, 03/30/22(E) | 200,000 | 246,694 | ||
7,390,015 |
Par | Value | |||
Germany — 0.3% | ||||
Amphenol Technologies Holding GmbH | ||||
0.75%, 05/04/26(E) | $ 120,000 | $ 151,965 | ||
BASF SE | ||||
2.00%, 12/05/22(E) | 195,000 | 248,723 | ||
0.10%, 06/05/23(E) | 200,000 | 246,130 | ||
Commerzbank AG | ||||
(Variable, 1.30% - Euribor 3M), 0.75%, 03/24/26(E) ^ | 100,000 | 124,074 | ||
Covestro AG | ||||
0.88%, 02/03/26(E) | 70,000 | 89,143 | ||
Deutsche Bank AG | ||||
4.25%, 02/04/21 | 410,000 | 411,112 | ||
(Variable, 1.60% - Euribor 3M), 1.00%, 11/19/25(E) ^ | 100,000 | 124,184 | ||
E.ON SE | ||||
0.00%, 10/24/22(E) | 240,000 | 294,495 | ||
KION Group AG | ||||
1.63%, 09/24/25(E) | 100,000 | 126,622 | ||
Volkswagen Bank GmbH | ||||
1.88%, 01/31/24(E) | 300,000 | 386,193 | ||
Volkswagen Leasing GmbH | ||||
(Floating, 0.45% - Euribor 3M), 0.00%, 08/02/21(E) † | 300,000 | 367,131 | ||
1.00%, 02/16/23(E) | 460,000 | 574,004 | ||
3,143,776 | ||||
India — 0.0% | ||||
Shriram Transport Finance Co., Ltd. | ||||
5.10%, 07/16/23 144A | 275,000 | 283,250 | ||
Indonesia — 0.1% | ||||
Pelabuhan Indonesia III Persero PT | ||||
4.50%, 05/02/23 144A | 1,175,000 | 1,253,214 | ||
Ireland — 0.5% | ||||
Abbott Ireland Financing DAC | ||||
0.88%, 09/27/23(E) | 200,000 | 251,846 | ||
0.10%, 11/19/24(E) | 170,000 | 209,893 | ||
AerCap Ireland Capital DAC | ||||
5.00%, 10/01/21 | 900,000 | 926,669 | ||
3.50%, 05/26/22 | 400,000 | 413,864 | ||
3.30%, 01/23/23 | 155,000 | 161,782 | ||
2.88%, 08/14/24 | 150,000 | 156,155 | ||
3.50%, 01/15/25 | 350,000 | 371,840 | ||
Aon PLC | ||||
2.80%, 03/15/21 | 225,000 | 225,740 | ||
Eaton Capital Unlimited Co. | ||||
0.02%, 05/14/21(E) | 175,000 | 213,940 | ||
ESB Finance DAC | ||||
3.49%, 01/12/24(E) | 100,000 | 135,548 | ||
SMBC Aviation Capital Finance DAC | ||||
2.65%, 07/15/21 144A | 390,000 | 394,143 | ||
3.00%, 07/15/22 144A | 540,000 | 554,531 | ||
3.55%, 04/15/24 144A | 800,000 | 850,677 | ||
Willis Towers Watson PLC | ||||
5.75%, 03/15/21 | 131,000 | 132,324 | ||
4,998,952 |
Par | Value | |||
Italy — 0.1% | ||||
FCA Bank SpA | ||||
0.50%, 09/18/23(E) | $1,010,000 | $ 1,246,273 | ||
Telecom Italia SpA | ||||
5.30%, 05/30/24 144A | 200,000 | 217,805 | ||
1,464,078 | ||||
Japan — 2.3% | ||||
Aircastle, Ltd. | ||||
5.13%, 03/15/21 | 2,000,000 | 2,016,018 | ||
Central Nippon Expressway Co., Ltd. | ||||
(Floating, ICE LIBOR USD 3M + 0.85%), 1.07%, 09/14/21† | 1,000,000 | 1,003,820 | ||
(Floating, ICE LIBOR USD 3M + 0.56%), 0.77%, 11/02/21† | 1,000,000 | 1,002,260 | ||
2.85%, 03/03/22 | 2,000,000 | 2,052,098 | ||
Mitsubishi UFJ Financial Group, Inc. | ||||
3.54%, 07/26/21 | 65,000 | 66,193 | ||
2.62%, 07/18/22 | 885,000 | 915,412 | ||
2.67%, 07/25/22 | 2,000,000 | 2,070,495 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 0.68%), 0.85%, 09/15/24^ | 1,745,000 | 1,756,106 | ||
1.41%, 07/17/25 | 265,000 | 272,537 | ||
Mitsubishi UFJ Lease & Finance Co., Ltd. | ||||
2.25%, 09/07/21 | 500,000 | 505,782 | ||
Mizuho Financial Group, Inc. | ||||
(Variable, ICE LIBOR USD 3M + 0.84%), 2.72%, 07/16/23^ | 1,190,000 | 1,229,970 | ||
0.52%, 06/10/24(E) | 100,000 | 124,756 | ||
(Floating, ICE LIBOR USD 3M + 0.99%), 1.21%, 07/10/24† | 1,000,000 | 1,011,005 | ||
(Variable, ICE LIBOR USD 3M + 0.99%), 1.24%, 07/10/24Δ ^ | 520,000 | 528,755 | ||
Nissan Motor Co., Ltd. | ||||
1.94%, 09/15/23(E) | 100,000 | 127,424 | ||
3.04%, 09/15/23 144A | 3,485,000 | 3,646,262 | ||
3.52%, 09/17/25 144A | 200,000 | 214,328 | ||
Nomura Holdings, Inc. | ||||
2.65%, 01/16/25 | 600,000 | 641,151 | ||
1.85%, 07/16/25 | 800,000 | 832,145 | ||
ORIX Corporation | ||||
3.20%, 01/19/22 | 700,000 | 719,427 | ||
Sumitomo Mitsui Financial Group, Inc. | ||||
2.85%, 01/11/22 | 1,600,000 | 1,640,610 | ||
1.47%, 07/08/25 | 1,100,000 | 1,127,783 | ||
Sumitomo Mitsui Trust Bank, Ltd. | ||||
0.80%, 09/12/23 144A | 750,000 | 757,292 | ||
24,261,629 | ||||
Jersey — 0.0% | ||||
Heathrow Funding, Ltd. | ||||
1.50%, 10/12/25(E) | 150,000 | 191,903 | ||
Netherlands — 1.0% | ||||
BMW Finance NV | ||||
2.25%, 08/12/22 144A | 1,270,000 | 1,310,490 |
Par | Value | |||
0.00%, 04/14/23(E) | $ 290,000 | $ 355,594 | ||
Conti-Gummi Finance BV | ||||
1.13%, 09/25/24(E) | 110,000 | 139,222 | ||
Daimler International Finance BV | ||||
0.25%, 08/09/21(E) | 25,000 | 30,655 | ||
0.25%, 11/06/23(E) | 90,000 | 110,790 | ||
Digital Dutch Finco BV REIT | ||||
0.63%, 07/15/25(E) | 300,000 | 375,709 | ||
E.ON International Finance BV | ||||
0.75%, 11/30/22(E) | 50,000 | 62,084 | ||
Enel Finance International NV | ||||
2.88%, 05/25/22 144A | 1,715,000 | 1,770,094 | ||
4.25%, 09/14/23 144A | 400,000 | 437,744 | ||
0.00%, 06/17/24(E) | 300,000 | 368,546 | ||
Fiat Chrysler Automobiles NV | ||||
3.38%, 07/07/23(E) | 145,000 | 189,058 | ||
ING Bank NV | ||||
(Floating, 0.40% - Euribor 3M), (0.15)%, 04/08/22(E) † | 200,000 | 245,896 | ||
(Variable, EUR Swap Rate 5Y + 2.25%), 3.63%, 02/25/26(E) ^ | 200,000 | 245,608 | ||
ING Groep NV | ||||
1.00%, 09/20/23(E) | 200,000 | 252,386 | ||
LeasePlan Corporation NV | ||||
2.88%, 10/24/24 144A | 1,900,000 | 2,009,829 | ||
NXP BV | ||||
2.70%, 05/01/25 144A | 50,000 | 53,858 | ||
3.88%, 06/18/26 144A | 300,000 | 344,037 | ||
Redexis Gas Finance BV | ||||
1.88%, 05/28/25(E) Δ | 100,000 | 130,229 | ||
RELX Finance BV | ||||
0.00%, 03/18/24(E) | 100,000 | 122,608 | ||
Sensata Technologies BV | ||||
5.00%, 10/01/25 144A | 200,000 | 222,875 | ||
Siemens Financieringsmaatschappij NV | ||||
0.00%, 09/05/21(E) | 376,000 | 460,656 | ||
0.00%, 02/20/23(E) | 300,000 | 368,605 | ||
0.38%, 09/06/23(E) | 235,000 | 292,553 | ||
Upjohn Finance BV | ||||
0.82%, 06/23/22(E) | 220,000 | 272,479 | ||
Vonovia Finance BV | ||||
0.13%, 04/06/23(E) | 200,000 | 246,053 | ||
1.63%, 04/07/24(E) | 100,000 | 128,811 | ||
10,546,469 | ||||
Norway — 0.1% | ||||
Aker BP ASA | ||||
2.88%, 01/15/26 144A | 895,000 | 914,420 | ||
Telenor ASA | ||||
0.00%, 09/25/23(E) | 100,000 | 123,001 | ||
1,037,421 | ||||
Peru — 0.1% | ||||
Fondo MIVIVIENDA SA | ||||
3.50%, 01/31/23 144A | 690,000 | 724,435 |
Par | Value | |||
Qatar — 0.3% | ||||
QNB Finance, Ltd. | ||||
(Floating, ICE LIBOR USD 3M + 1.00%), 1.21%, 05/02/22† | $3,000,000 | $3,011,334 | ||
Saudi Arabia — 0.0% | ||||
Saudi Arabian Oil Co. | ||||
1.25%, 11/24/23 144A Δ | 490,000 | 496,510 | ||
Singapore — 0.1% | ||||
BOC Aviation, Ltd. | ||||
3.00%, 05/23/22 | 700,000 | 715,147 | ||
South Korea — 0.5% | ||||
Industrial Bank of Korea | ||||
2.13%, 10/23/24 144A | 3,100,000 | 3,267,561 | ||
Kookmin Bank | ||||
3.63%, 10/23/21 | 1,000,000 | 1,025,385 | ||
SK Telecom Co., Ltd. | ||||
3.75%, 04/16/23 | 900,000 | 961,908 | ||
5,254,854 | ||||
Spain — 0.2% | ||||
Amadeus Capital Markets SA | ||||
1.63%, 11/17/21(E) | 100,000 | 123,517 | ||
Amadeus IT Group SA | ||||
2.50%, 05/20/24(E) Δ | 500,000 | 656,506 | ||
Banco de Sabadell SA | ||||
(Variable, 0.97% - EUR Swap Rate 1Y), 0.63%, 11/07/25(E) ^ | 100,000 | 123,360 | ||
(Variable, 1.55% - EUR Swap Rate 1Y), 1.13%, 03/11/27(E) ^ | 100,000 | 126,501 | ||
Banco Santander SA | ||||
2.71%, 06/27/24 | 400,000 | 427,324 | ||
2.75%, 05/28/25 | 400,000 | 427,454 | ||
1,884,662 | ||||
Sweden — 0.3% | ||||
Akelius Residential Property AB | ||||
1.13%, 03/14/24(E) | 1,100,000 | 1,384,323 | ||
Atlas Copco AB | ||||
2.50%, 02/28/23(E) | 255,000 | 330,106 | ||
Stadshypotek AB | ||||
2.50%, 04/05/22 144A Δ | 1,000,000 | 1,027,282 | ||
Volvo Treasury AB | ||||
(Floating, 0.65% - Euribor 3M), 0.10%, 09/13/21(E) † | 200,000 | 244,830 | ||
2,986,541 | ||||
Switzerland — 0.7% | ||||
Credit Suisse AG | ||||
1.00%, 05/05/23 | 1,075,000 | 1,091,639 | ||
Credit Suisse Group AG | ||||
3.57%, 01/09/23 144A | 750,000 | 773,001 | ||
Credit Suisse Group Funding Guernsey, Ltd. | ||||
3.80%, 09/15/22 | 1,650,000 | 1,743,291 |
Par | Value | |||
UBS AG | ||||
0.75%, 04/21/23(E) | $ 200,000 | $ 249,872 | ||
UBS Group AG | ||||
3.49%, 05/23/23 144A | 1,800,000 | 1,873,887 | ||
(Variable, ICE LIBOR USD 3M + 0.95%), 2.86%, 08/15/23 144A ^ | 365,000 | 378,535 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 0.83%), 1.01%, 07/30/24 144A ^ | 690,000 | 697,114 | ||
(Variable, 0.55% - EUR Swap Rate 1Y ), 0.25%, 01/29/26(E) ^ | 200,000 | 246,338 | ||
7,053,677 | ||||
United Arab Emirates — 0.1% | ||||
Abu Dhabi Government International Bond | ||||
2.50%, 10/11/22 144A | 655,000 | 678,957 | ||
United Kingdom — 3.5% | ||||
Barclays PLC | ||||
(Variable, ICE LIBOR USD 3M + 1.40%), 4.61%, 02/15/23^ | 600,000 | 626,463 | ||
(Variable, ICE LIBOR USD 3M + 1.36%), 4.34%, 05/16/24^ | 900,000 | 974,411 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 0.80%), 1.01%, 12/10/24^ | 1,970,000 | 1,985,113 | ||
(Variable, ICE LIBOR USD 3M + 2.45%), 2.85%, 05/07/26^ | 1,000,000 | 1,075,043 | ||
BG Energy Capital PLC | ||||
4.00%, 10/15/21 144A | 1,000,000 | 1,026,942 | ||
HSBC Holdings PLC | ||||
(Floating, ICE LIBOR USD 3M + 1.23%), 1.45%, 03/11/25† | 3,000,000 | 3,039,695 | ||
Informa PLC | ||||
1.50%, 07/05/23(E) Δ | 200,000 | 250,703 | ||
2.13%, 10/06/25(E) | 185,000 | 238,441 | ||
Lloyds Banking Group PLC | ||||
(Variable, ICE LIBOR USD 3M + 1.25%), 2.86%, 03/17/23^ | 2,500,000 | 2,570,117 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 1.10%), 1.33%, 06/15/23^ | 200,000 | 202,262 | ||
Motability Operations Group PLC | ||||
1.63%, 06/09/23(E) | 240,000 | 307,186 | ||
National Grid Electricity Transmission PLC | ||||
0.19%, 01/20/25(E) | 100,000 | 123,674 | ||
Nationwide Building Society | ||||
2.00%, 01/27/23 144A | 900,000 | 929,247 | ||
1.70%, 02/13/23 144A | 2,900,000 | 2,980,602 | ||
(Variable, ICE LIBOR USD 3M + 1.18%), 3.62%, 04/26/23 144A ^ | 1,500,000 | 1,558,678 | ||
Natwest Group PLC | ||||
(Floating, ICE LIBOR USD 3M + 1.47%), 1.69%, 05/15/23† | 1,810,000 | 1,830,462 |
Par | Value | |||
3.88%, 09/12/23 | $ 240,000 | $ 260,543 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 2.15%), 2.36%, 05/22/24^ | 375,000 | 390,429 | ||
NatWest Markets PLC | ||||
3.63%, 09/29/22 144A | 1,635,000 | 1,724,593 | ||
2.38%, 05/21/23 144A | 1,800,000 | 1,872,925 | ||
Royalty Pharma PLC | ||||
0.75%, 09/02/23 144A | 920,000 | 925,006 | ||
Santander UK Group Holdings PLC | ||||
3.57%, 01/10/23 | 350,000 | 360,698 | ||
(Variable, ICE LIBOR USD 3M + 1.08%), 3.37%, 01/05/24^ | 215,000 | 226,433 | ||
Santander UK PLC | ||||
1.63%, 02/12/23 144A Δ | 2,100,000 | 2,154,631 | ||
Sky, Ltd. | ||||
1.50%, 09/15/21(E) | 100,000 | 123,754 | ||
Standard Chartered PLC | ||||
(Variable, ICE LIBOR USD 3M + 1.20%), 2.74%, 09/10/22 144A ^ | 2,300,000 | 2,333,062 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 1.17%), 1.32%, 10/14/23 144A ^ | 200,000 | 202,250 | ||
United Kingdom Treasury Bills | ||||
(0.09)%, 01/29/21(U) Ω | 5,000,000 | 6,837,638 | ||
Virgin Media Secured Finance PLC | ||||
5.50%, 08/15/26 144A | 220,000 | 228,938 | ||
37,359,939 | ||||
Total Foreign Bonds (Cost $160,520,107) | 165,541,538 | |||
MORTGAGE-BACKED SECURITIES — 19.9% | ||||
1211 Avenue of the Americas Trust, Series 2015-1211, Class A1A2 | ||||
3.90%, 08/10/35 144A | 447,000 | 501,197 | ||
280 Park Avenue Mortgage Trust, Series 2017-280P, Class D | ||||
(Floating, ICE LIBOR USD 1M + 1.54%, 1.54% Floor), 1.70%, 09/15/34 144A † | 315,000 | 308,854 | ||
American Home Mortgage Assets Trust, Series 2006-5, Class A1 | ||||
(Floating, Federal Reserve U.S. 12 1Y CMT + 0.92%, 0.92% Floor), 1.53%, 11/25/46† | 613,429 | 264,318 | ||
AOA Mortgage Trust, Series 2015-1177, Class A | ||||
2.96%, 12/13/29 144A | 1,330,000 | 1,342,879 | ||
Avon Finance No. 2 PLC, Class A | ||||
(Floating, SONIA Deposit Rates Swap 3M + 0.90%), 0.95%, 09/20/48(U) 144A † | 1,459,127 | 1,999,670 | ||
Banc of America Funding Trust, Series 2006-J, Class 4A1 | ||||
3.50%, 01/20/47γ | 142,326 | 135,104 |
Par | Value | |||
Banc of America Mortgage Trust, Series 2003-L, Class 3A1 | ||||
3.99%, 01/25/34γ | $ 24,381 | $ 23,386 | ||
Banc of America Mortgage Trust, Series 2004-2, Class 5A1 | ||||
6.50%, 10/25/31 | 24,642 | 25,917 | ||
Bancorp Commercial Mortgage Trust, Series 2019-CRE6, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.05%, 1.05% Floor), 1.21%, 09/15/36 144A † | 289,617 | 289,455 | ||
BANK, Series 2019-BNK18, Class A2 | ||||
3.47%, 05/15/62 | 610,000 | 659,825 | ||
BBCMS Trust, Series 2013-TYSN, Class E | ||||
3.71%, 09/05/32 144A | 200,000 | 196,005 | ||
Bear Stearns ARM Trust, Series 2003-8, Class 4A1 | ||||
2.80%, 01/25/34γ | 78,184 | 80,072 | ||
Bear Stearns ARM Trust, Series 2004-5, Class 2A | ||||
3.40%, 07/25/34γ | 77,651 | 78,900 | ||
Bear Stearns Commercial Mortgage Securities Trust, Series 2007-T26, Class AM | ||||
5.43%, 01/12/45† γ | 119,915 | 120,125 | ||
Brass No. 8 PLC, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 0.70%), 0.92%, 11/16/66 144A † | 198,247 | 199,264 | ||
BX Commercial Mortgage Trust, Series 2019-XL, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.92%, 0.92% Floor), 1.08%, 10/15/36 144A † | 1,699,243 | 1,706,237 | ||
BX Commercial Mortgage Trust, Series 2019-XL, Class B | ||||
(Floating, ICE LIBOR USD 1M + 1.08%, 1.08% Floor), 1.24%, 10/15/36 144A † | 636,030 | 637,492 | ||
BX Commercial Mortgage Trust, Series 2019-XL, Class D | ||||
(Floating, ICE LIBOR USD 1M + 1.45%, 1.45% Floor), 1.61%, 10/15/36 144A † | 745,199 | 746,873 | ||
BX Commercial Mortgage Trust, Series 2020-BXLP, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.80%, 0.80% Floor), 0.96%, 12/15/36 144A † | 864,209 | 866,509 | ||
BX Commercial Mortgage Trust, Series 2020-BXLP, Class E | ||||
(Floating, ICE LIBOR USD 1M + 1.60%, 1.60% Floor), 1.76%, 12/15/36 144A † | 349,680 | 343,768 | ||
BX Commercial Mortgage Trust, Series 2020-VKNG, Class B | ||||
(Floating, ICE LIBOR USD 1M + 1.13%, 1.13% Floor), 1.29%, 10/15/37 144A † | 1,420,000 | 1,422,646 |
Par | Value | |||
Canterbury Finance PLC, No. 1, Class A2 | ||||
(Floating, SONIA Deposit Rates Swap 3M + 1.35%), 1.40%, 05/16/56(U) † | $1,000,000 | $1,368,523 | ||
CFCRE Commercial Mortgage Trust, Series 2017-C8, Class ASB | ||||
3.37%, 06/15/50 | 1,500,000 | 1,638,511 | ||
Chase Home Lending Mortgage Trust, Series 2019-ATR2, Class A11 | ||||
(Floating, ICE LIBOR USD 1M + 0.90%, 6.50% Cap), 1.05%, 07/25/49 144A † | 118,221 | 118,377 | ||
Chase Home Lending Mortgage Trust, Series 2019-ATR2, Class A3 | ||||
3.50%, 07/25/49 144A † γ | 241,512 | 248,390 | ||
CHC Commercial Mortgage Trust, Series 2019-CHC, Class D | ||||
(Floating, ICE LIBOR USD 1M + 2.05%, 2.05% Floor), 2.21%, 06/15/34 144A † | 2,130,805 | 1,959,744 | ||
CHL Mortgage Pass-Through Trust, Series 2004-29, Class 1A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.54%, 0.54% Floor, 11.50% Cap), 0.69%, 02/25/35† | 53,154 | 50,850 | ||
Citigroup Commercial Mortgage Trust, Series 2016-P4, Class A4 | ||||
2.90%, 07/10/49 | 641,000 | 703,270 | ||
Citigroup Commercial Mortgage Trust, Series 2016-P5, Class AAB | ||||
2.84%, 10/10/49 | 1,010,000 | 1,076,604 | ||
Cold Storage Trust, Series 2020-ICE5, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.90%, 0.90% Floor), 1.06%, 11/15/37 144A † | 4,950,000 | 4,981,592 | ||
COMM Mortgage Trust, Series 2012-CR4, Class ASB | ||||
2.44%, 10/15/45 | 265,282 | 269,219 | ||
COMM Mortgage Trust, Series 2013-300P, Class A1 | ||||
4.35%, 08/10/30 144A | 515,000 | 551,958 | ||
COMM Mortgage Trust, Series 2013-CR8, Class A5 | ||||
3.61%, 06/10/46 | 750,000 | 800,579 | ||
COMM Mortgage Trust, Series 2013-SFS, Class A1 | ||||
1.87%, 04/12/35 144A | 203,472 | 202,027 | ||
COMM Mortgage Trust, Series 2014-CR17, Class ASB | ||||
3.60%, 05/10/47 | 1,041,188 | 1,087,937 | ||
COMM Mortgage Trust, Series 2014-CR21, Class A3 | ||||
3.53%, 12/10/47 | 566,783 | 614,091 | ||
COMM Mortgage Trust, Series 2014-UBS3, Class ASB | ||||
3.37%, 06/10/47 | 720,947 | 750,479 |
Par | Value | |||
COMM Mortgage Trust, Series 2014-UBS5, Class ASB | ||||
3.55%, 09/10/47 | $ 285,330 | $ 298,631 | ||
COMM Mortgage Trust, Series 2015-CR24, Class ASB | ||||
3.45%, 08/10/48 | 435,114 | 460,211 | ||
COMM Mortgage Trust, Series 2015-CR25, Class ASB | ||||
3.54%, 08/10/48 | 1,088,491 | 1,161,987 | ||
COMM Trust, Series 2013-GAM, Class A1 | ||||
1.71%, 02/10/28 144A | 32,745 | 32,703 | ||
COMM, Series 2015-PC1, Class A4 | ||||
3.62%, 07/10/50 | 450,342 | 476,710 | ||
Connecticut Avenue Securities Trust, Series 2020-R01, Class 1M1 | ||||
(Floating, ICE LIBOR USD 1M + 0.80%, 0.80% Floor), 0.95%, 01/25/40 144A † | 1,780,694 | 1,784,348 | ||
Connecticut Avenue Securities Trust, Series 2020-R02, Class 2M1 | ||||
(Floating, ICE LIBOR USD 1M + 0.75%), 0.90%, 01/25/40 144A † | 496,879 | 497,613 | ||
CSAIL Commercial Mortgage Trust, Series 2015-C1, Class A4 | ||||
3.51%, 04/15/50 | 1,000,000 | 1,095,955 | ||
CSAIL Commercial Mortgage Trust, Series 2016-C6, Class XA | ||||
1.92%, 01/15/49 IO γ | 698,736 | 52,394 | ||
CSAIL Commercial Mortgage Trust, Series 2019-C15, Class A1 | ||||
2.99%, 03/15/52 | 781,042 | 804,524 | ||
CSMC, Series 2020-NET, Class A | ||||
2.26%, 08/15/37 144A | 315,000 | 327,179 | ||
Deutsche Alt-B Securities Mortgage Loan Trust Series, Series 2006-AB4, Class A6A1 | ||||
(Step to 5.45% on 02/25/21), 6.37%, 10/25/36 STEP | 142,960 | 137,840 | ||
Deutsche Alt-B Securities Mortgage Loan Trust Series, Series 2006-AB4, Class A6A2 | ||||
(Step to 5.45% on 02/25/21), 6.39%, 10/25/36 STEP | 142,960 | 137,839 | ||
Federal Home Loan Mortgage Corporation | ||||
5.50%, 05/01/22 | 352 | 353 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.36%, 2.36% Floor, 13.18% Cap), 2.77%, 07/01/27† | 1,599 | 1,602 | ||
2.50%, 01/01/29 | 1,221,392 | 1,277,057 | ||
2.50%, 08/01/31 | 3,690,226 | 3,855,528 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.25%, 2.25% Floor, 11.15% Cap), 2.40%, 11/01/31† | 11,121 | 11,194 | ||
3.00%, 12/01/31 | 3,294,276 | 3,556,224 |
Par | Value | |||
3.00%, 01/01/32 | $3,289,826 | $3,557,318 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.25%, 2.25% Floor, 10.94% Cap), 3.75%, 04/01/32† | 4,597 | 4,623 | ||
3.50%, 02/01/33 | 3,527,389 | 3,862,233 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.04%, 2.04% Floor, 9.68% Cap), 3.11%, 06/01/33† | 259,910 | 272,235 | ||
(Floating, ICE LIBOR USD 1Y + 1.75%, 1.75% Floor, 10.76% Cap), 2.70%, 08/01/35† | 86,455 | 90,144 | ||
(Floating, ICE LIBOR USD 1Y + 1.35%, 1.35% Floor, 10.35% Cap), 2.01%, 09/01/35† | 85,820 | 88,811 | ||
(Floating, ICE LIBOR USD 1Y + 1.63%, 1.63% Floor, 10.80% Cap), 2.20%, 10/01/35† | 109,207 | 114,177 | ||
4.50%, 07/01/47 | 70,091 | 77,942 | ||
4.50%, 03/01/49 | 3,092,169 | 3,463,560 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 3228 | ||||
(Floating, ICE LIBOR USD 1M + 0.50%, 0.50% Floor, 6.50% Cap), 0.66%, 10/15/36† | 1,134,623 | 1,144,460 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 3710 | ||||
4.00%, 08/15/25 STEP | 64,189 | 69,221 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 3959 | ||||
4.50%, 11/15/41 | 191,336 | 211,527 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 3986 | ||||
4.50%, 09/15/41 | 201,895 | 213,909 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4459 | ||||
3.00%, 08/15/43 | 395,074 | 424,192 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4493 | ||||
3.00%, 02/15/44 | 337,813 | 357,124 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4494 | ||||
3.75%, 10/15/42 | 330,633 | 343,678 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4777 | ||||
3.50%, 10/15/45 | 1,421,995 | 1,497,958 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4904 | ||||
(Floating, ICE LIBOR USD 1M + 0.45%, 0.45% Floor, 6.50% Cap), 0.61%, 06/15/49† | 1,123,199 | 1,129,432 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4948 | ||||
2.50%, 10/25/48 | 295,420 | 305,885 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4950 | ||||
2.50%, 06/25/34 | 224,963 | 225,055 |
Par | Value | |||
Federal Home Loan Mortgage Corporation REMIC, Series 5047 | ||||
0.75%, 10/15/28 | $3,935,950 | $3,963,643 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 5057 | ||||
1.00%, 04/15/54 | 2,949,831 | 2,990,638 | ||
Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2020-DNA1, Class M2 | ||||
(Floating, ICE LIBOR USD 1M + 1.70%), 1.85%, 01/25/50 144A † | 490,000 | 488,596 | ||
Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2020-DNA2, Class M1 | ||||
(Floating, ICE LIBOR USD 1M + 0.75%, 0.75% Floor), 0.90%, 02/25/50 144A † | 3,584,382 | 3,593,339 | ||
Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2020-DNA2, Class M2 | ||||
(Floating, ICE LIBOR USD 1M + 1.85%, 1.85% Floor), 2.00%, 02/25/50 144A † | 230,000 | 229,841 | ||
Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2020-DNA3, Class M1 | ||||
(Floating, ICE LIBOR USD 1M + 1.50%), 1.65%, 06/25/50 144A † | 105,694 | 105,855 | ||
Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2020-DNA5, Class M1 | ||||
1.38%, 10/25/50 144A γ | 1,050,000 | 1,054,127 | ||
Federal Home Loan Mortgage Corporation STACR Trust, Series 2019-DNA4, Class M2 | ||||
(Floating, ICE LIBOR USD 1M + 1.95%), 2.10%, 10/25/49 144A † | 671,833 | 673,658 | ||
Federal National Mortgage Association | ||||
5.00%, 05/01/21 | 5 | 6 | ||
5.00%, 11/01/21 | 17 | 17 | ||
(Floating, Federal Reserve U.S. 12 1Y CMT + 2.02%, 2.02% Floor, 10.90% Cap), 3.08%, 12/01/24 CONV † | 2,807 | 2,796 | ||
2.50%, 12/01/27 | 504,038 | 527,010 | ||
3.00%, 09/01/30 | 242,275 | 259,367 | ||
3.00%, 02/01/31 | 1,460,434 | 1,538,070 | ||
3.00%, 04/01/31 | 21,318 | 22,803 | ||
2.50%, 07/01/31 | 1,849,211 | 1,931,204 | ||
2.50%, 08/01/31 | 926,824 | 968,045 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.22%, 2.22% Floor, 11.67% Cap), 2.44%, 09/01/31† | 30,537 | 30,581 | ||
2.50%, 10/01/31 | 543,540 | 568,213 |
Par | Value | |||
2.50%, 11/01/31 | $1,094,480 | $1,161,758 | ||
2.50%, 01/01/32 | 9,715 | 10,149 | ||
2.00%, 02/01/32 | 2,966,215 | 3,116,019 | ||
3.00%, 03/01/32 | 812,951 | 873,271 | ||
(Floating, ICE LIBOR USD 1M + 1.31%, 1.31% Floor, 11.27% Cap), 1.44%, 08/01/32† | 238,876 | 240,483 | ||
3.00%, 11/01/32 | 70,651 | 74,368 | ||
3.00%, 12/01/32 | 1,015,463 | 1,077,733 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.24%, 2.24% Floor, 9.73% Cap), 3.72%, 12/01/32† | 253,481 | 253,323 | ||
3.00%, 02/01/33 | 2,331,802 | 2,446,666 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.41%, 2.41% Floor, 9.36% Cap), 2.85%, 06/01/33† | 8,942 | 8,995 | ||
2.50%, 08/01/33 | 1,365,430 | 1,427,065 | ||
4.00%, 09/01/33 | 2,152,440 | 2,289,221 | ||
3.00%, 02/01/34 | 2,758,606 | 2,899,560 | ||
4.00%, 03/01/34 | 67,629 | 72,454 | ||
4.00%, 05/01/34 | 744,586 | 826,953 | ||
(Floating, ICE LIBOR USD 1Y + 1.66%, 1.66% Floor, 10.09% Cap), 3.48%, 02/01/35† | 120,712 | 126,376 | ||
2.50%, 08/01/35 | 3,814,623 | 4,025,983 | ||
(Floating, ICE LIBOR USD 1Y + 1.61%, 1.61% Floor, 11.11% Cap), 2.23%, 09/01/35† | 23,966 | 24,182 | ||
(Floating, ICE LIBOR USD 1Y + 1.74%, 1.74% Floor, 11.11% Cap), 3.74%, 12/01/35† | 4,585 | 4,583 | ||
(Floating, ICE LIBOR USD 1Y + 1.73%, 1.73% Floor, 9.51% Cap), 2.84%, 05/01/38† | 782,229 | 823,975 | ||
1.94%, 08/01/42† | 199,071 | 200,982 | ||
(Floating, ICE LIBOR USD 1Y + 1.74%, 1.74% Floor, 8.44% Cap), 3.19%, 09/01/42† | 384,631 | 404,187 | ||
(Floating, ICE LIBOR USD 1Y + 1.69%, 1.69% Floor, 7.72% Cap), 2.72%, 07/01/43† | 558,991 | 584,066 | ||
(Floating, Federal Reserve U.S. 12 1Y CMT + 1.20%, 1.20% Floor, 8.51% Cap), 1.94%, 07/01/44† | 93,642 | 94,592 | ||
(Floating, Federal Reserve U.S. 12 1Y CMT + 1.20%, 1.20% Floor, 9.56% Cap), 1.94%, 10/01/44† | 60,417 | 61,656 | ||
(Floating, ICE LIBOR USD 1Y + 1.59%, 1.59% Floor, 7.77% Cap), 2.71%, 06/01/45† | 491,246 | 511,085 | ||
4.50%, 03/01/47 | 220,382 | 243,341 | ||
4.50%, 05/01/47 | 708,511 | 784,066 | ||
4.50%, 07/01/47 | 83,863 | 93,151 | ||
4.50%, 11/01/47 | 806,262 | 896,694 | ||
4.50%, 06/01/48 | 100,716 | 114,002 | ||
4.50%, 11/01/48 | 310,180 | 347,353 | ||
4.50%, 02/01/49 | 889,903 | 1,020,233 | ||
4.50%, 04/01/49 | 241,826 | 278,205 |
Par | Value | |||
Federal National Mortgage Association REMIC, Series 2006-98 | ||||
(Floating, ICE LIBOR USD 1M + 0.43%, 0.43% Floor, 7.00% Cap), 0.58%, 10/25/36† | $ 164,242 | $ 166,146 | ||
Federal National Mortgage Association REMIC, Series 2007-100 | ||||
(Floating, ICE LIBOR USD 1M + 0.55%, 0.55% Floor, 7.00% Cap), 0.70%, 10/25/37† | 241,843 | 245,981 | ||
Federal National Mortgage Association REMIC, Series 2011-48 | ||||
4.00%, 06/25/26 STEP | 117,422 | 126,401 | ||
Federal National Mortgage Association REMIC, Series 2012-79 | ||||
(Floating, ICE LIBOR USD 1M + 0.45%, 0.45% Floor, 6.50% Cap), 0.60%, 07/25/42† | 195,547 | 196,667 | ||
Federal National Mortgage Association REMIC, Series 2015-38 | ||||
(Floating, ICE LIBOR USD 1M + 0.31%, 0.31% Floor), 0.46%, 06/25/55† | 220,144 | 219,544 | ||
Federal National Mortgage Association REMIC, Series 2016-11 | ||||
(Floating, ICE LIBOR USD 1M + 0.50%, 0.50% Floor), 0.65%, 03/25/46† | 1,090,607 | 1,090,950 | ||
Federal National Mortgage Association REMIC, Series 2016-40 | ||||
(Floating, ICE LIBOR USD 1M + 0.45%, 0.45% Floor), 0.60%, 07/25/46† | 1,372,527 | 1,371,379 | ||
Federal National Mortgage Association REMIC, Series 2018-21 | ||||
3.50%, 04/25/45 | 653,685 | 676,144 | ||
Federal National Mortgage Association REMIC, Series 2019-30 | ||||
(Floating, ICE LIBOR USD 1M + 0.50%, 0.50% Floor, 6.50% Cap), 0.65%, 07/25/49† | 1,042,827 | 1,047,389 | ||
Federal National Mortgage Association REMIC, Series 2019-53 | ||||
(Floating, ICE LIBOR USD 1M + 0.40%, 0.40% Floor), 0.55%, 09/25/49† | 1,651,441 | 1,651,886 | ||
Federal National Mortgage Association REMIC, Series 2019-60 | ||||
(Floating, ICE LIBOR USD 1M + 0.40%, 0.40% Floor), 0.55%, 10/25/59† | 1,720,639 | 1,715,840 |
Par | Value | |||
Federal National Mortgage Association REMIC, Series 2019-9 | ||||
3.50%, 06/25/48 | $1,927,405 | $2,026,097 | ||
FHLMC Multifamily Structured Pass-Through Certificates, Series K121 | ||||
1.03%, 10/25/30 IO γ | 600,000 | 50,963 | ||
FHLMC Multifamily Structured Pass-Through Certificates, Series KIR2 | ||||
2.75%, 03/25/27 | 347,248 | 369,277 | ||
FHLMC Multifamily Structured Pass-Through Certificates, Series KJ18 | ||||
3.07%, 08/25/22 | 225,637 | 232,104 | ||
FHLMC Structured Agency Credit Risk Debt Notes, Series 2020-HQA5 | ||||
1.18%, 11/25/50 144A γ | 2,900,000 | 2,913,761 | ||
FHLMC Structured Pass-Through Certificates, Series T-56 | ||||
(Floating, ICE LIBOR USD 1M + 1.00%, 1.00% Floor, 8.50% Cap), 1.15%, 05/25/43† | 395,537 | 406,869 | ||
FHLMC Structured Pass-Through Certificates, Series T-61, Class 1A1 | ||||
(Floating, Federal Reserve U.S. 12 1Y CMT + 1.40%, 1.40% Floor), 2.01%, 07/25/44† | 395,107 | 399,015 | ||
Finsbury Square PLC, Series 2020-2A, Class A | ||||
(Floating, SONIA Deposit Rates Swap 3M + 1.30%), 1.35%, 06/16/70(U) 144A † | 1,137,283 | 1,566,506 | ||
First Horizon Alternative Mortgage Securities Trust, Series 2004-AA1, Class A1 | ||||
2.23%, 06/25/34† γ | 115,934 | 115,744 | ||
FNBA Mortgage Loan Trust, Series 2004-AR1, Class A2 | ||||
(Floating, ICE LIBOR USD 1M + 0.80%, 0.80% Floor, 10.50% Cap), 0.95%, 08/19/34† | 92,999 | 92,927 | ||
FREMF Mortgage Trust, Series 2012-K18, Class B | ||||
4.22%, 01/25/45 144A γ | 240,000 | 247,884 | ||
FREMF Mortgage Trust, Series 2012-K19, Class B | ||||
4.02%, 05/25/45 144A γ | 145,000 | 150,354 | ||
FREMF Mortgage Trust, Series 2012-K20, Class B | ||||
3.87%, 05/25/45 144A γ | 135,000 | 140,315 | ||
FREMF Mortgage Trust, Series 2013-K27, Class B | ||||
3.50%, 01/25/46 144A γ | 130,000 | 136,604 | ||
FREMF Mortgage Trust, Series 2013-K31, Class B | ||||
3.63%, 07/25/46 144A γ | 105,000 | 111,670 |
Par | Value | |||
FREMF Mortgage Trust, Series 2015-K720, Class B | ||||
3.39%, 07/25/22 144A γ | $285,000 | $294,778 | ||
Gosforth Funding PLC, Series 2018-1A, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 0.45%), 0.66%, 08/25/60 144A † | 313,307 | 313,748 | ||
Government National Mortgage Association | ||||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 2.00% Floor, 12.00% Cap), 2.88%, 06/20/21† | 99 | 99 | ||
3.00%, 03/20/22† | 11,312 | 11,408 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 1.50% Floor, 11.50% Cap), 3.00%, 01/20/23† | 2,615 | 2,633 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 1.50% Floor, 10.00% Cap), 2.88%, 05/20/24† | 10,308 | 10,560 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 1.50% Floor, 11.50% Cap), 2.25%, 07/20/25† | 15,937 | 16,472 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 1.50% Floor, 11.00% Cap), 2.25%, 08/20/25† | 4,845 | 5,009 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 1.50% Floor, 11.00% Cap), 3.13%, 11/20/25† | 16,770 | 17,249 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 1.50% Floor, 11.50% Cap), 3.13%, 12/20/26† | 26,710 | 27,624 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 1.50% Floor, 11.00% Cap), 2.25%, 07/20/27† | 630 | 651 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 1.50% Floor, 10.00% Cap), 3.13%, 10/20/27† | 10,330 | 10,693 | ||
8.50%, 10/15/29 | 17,884 | 18,212 | ||
8.50%, 04/15/30 | 2,370 | 2,380 | ||
8.50%, 05/15/30 | 49,430 | 51,501 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 1.50% Floor, 11.50% Cap), 2.88%, 05/20/30† | 14,679 | 15,307 | ||
8.50%, 07/15/30 | 21,585 | 22,325 | ||
8.50%, 08/15/30 | 3,278 | 3,332 | ||
8.50%, 11/15/30 | 5,485 | 5,747 | ||
8.50%, 12/15/30 | 15,832 | 17,206 | ||
8.50%, 02/15/31 | 13,331 | 13,903 | ||
Government National Mortgage Association, Series 2007-30 | ||||
(Floating, ICE LIBOR USD 1M + 0.30%, 0.30% Floor, 6.50% Cap), 0.45%, 05/20/37† | 79,515 | 79,585 |
Par | Value | |||
Government National Mortgage Association, Series 2011-H08 | ||||
(Floating, ICE LIBOR USD 1M + 0.60%, 0.60% Floor, 10.50% Cap), 0.74%, 02/20/61† | $ 652,755 | $ 655,509 | ||
Government National Mortgage Association, Series 2012-102 | ||||
3.50%, 08/20/39 | 338,092 | 343,483 | ||
Government National Mortgage Association, Series 2013-H13 | ||||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 0.45%, 0.45% Floor, 15.00% Cap), 0.57%, 05/20/63† | 1,207,388 | 1,198,021 | ||
Government National Mortgage Association, Series 2016-H07 | ||||
(Floating, ICE LIBOR USD 1M + 0.77%, 0.77% Floor), 0.91%, 02/20/66† | 51,478 | 51,619 | ||
Government National Mortgage Association, Series 2016-H22 | ||||
(Floating, ICE LIBOR USD 1M + 0.77%, 0.77% Floor, 7.50% Cap), 0.91%, 10/20/66† | 1,920,424 | 1,941,063 | ||
Government National Mortgage Association, Series 2017-H09 | ||||
(Floating, ICE LIBOR USD 1Y + 0.75%, 0.75% Floor, 7.50% Cap), 1.90%, 04/20/67† | 2,501,948 | 2,551,912 | ||
Government National Mortgage Association, Series 2017-H10 | ||||
(Floating, ICE LIBOR USD 1Y + 0.75%, 0.75% Floor, 7.50% Cap), 1.90%, 04/20/67† | 2,774,465 | 2,830,072 | ||
Government National Mortgage Association, Series 2020-17 | ||||
2.50%, 10/20/49 | 1,033,937 | 1,052,502 | ||
GPMT, Ltd., Series 2018-FL1, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.90%, 0.90% Floor), 1.05%, 11/21/35 144A † | 157,690 | 156,956 | ||
GRACE Mortgage Trust, Series 2014-GRCE, Class A | ||||
3.37%, 06/10/28 144A | 1,350,000 | 1,349,916 | ||
GreenPoint Mortgage Funding Trust, Series 2005-AR5, Class 1A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.54%, 0.54% Floor, 10.50% Cap), 0.69%, 11/25/45† | 113,361 | 99,657 | ||
GreenPoint Mortgage Funding Trust, Series 2006-OH1, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.18%, 0.18% Floor), 0.33%, 01/25/37† | 302,992 | 284,484 | ||
GS Mortgage Securities Corporation Trust, Series 2012-ALOH, Class A | ||||
3.55%, 04/10/34 144A | 680,000 | 687,365 | ||
GS Mortgage Securities Corporation Trust, Series 2017-500K, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.70%, 0.70% Floor), 0.86%, 07/15/32 144A † | 1,500,000 | 1,500,936 |
Par | Value | |||
GS Mortgage Securities Corporation Trust, Series 2019-SOHO, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.90%, 0.90% Floor), 1.06%, 06/15/36 144A † | $ 536,000 | $ 536,467 | ||
GS Mortgage Securities Corporation Trust, Series 2019-SOHO, Class C | ||||
(Floating, ICE LIBOR USD 1M + 1.30%, 1.30% Floor), 1.46%, 06/15/36 144A † | 320,000 | 314,528 | ||
GS Mortgage Securities Corporation Trust, Series 2020-TWN3, Class A | ||||
(Floating, ICE LIBOR USD 1M + 2.00%, 2.00% Floor), 2.16%, 11/15/37 144A † | 560,000 | 563,408 | ||
GS Mortgage Securities Trust, Series 2011-GC5, Class AS | ||||
5.21%, 08/10/44 144A | 410,000 | 415,249 | ||
GS Mortgage Securities Trust, Series 2013-GC12, Class A3 | ||||
2.86%, 06/10/46 | 1,342,000 | 1,377,612 | ||
GS Mortgage Securities Trust, Series 2013-GC13, Class AAB | ||||
3.72%, 07/10/46 | 1,276,494 | 1,320,781 | ||
GS Mortgage Securities Trust, Series 2013-GC14, Class A3 | ||||
3.53%, 08/10/46 | 23,018 | 23,011 | ||
GS Mortgage Securities Trust, Series 2019-GC38, Class A2 | ||||
3.87%, 02/10/52 | 373,644 | 403,370 | ||
GS Mortgage-Backed Securities Corporation Trust, Series 2020-PJ4, Class A2 | ||||
3.00%, 01/25/51 144A γ | 459,464 | 474,357 | ||
GSR Mortgage Loan Trust, Series 2004-11, Class 5A1 | ||||
2.96%, 09/25/34γ | 141,955 | 142,184 | ||
GSR Mortgage Loan Trust, Series 2005-AR6, Class 2A1 | ||||
3.20%, 09/25/35† γ | 54,856 | 56,642 | ||
Hawaii Hotel Trust, Series 2019-MAUI, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.15%, 1.15% Floor), 1.31%, 05/15/38 144A † | 429,000 | 426,827 | ||
Hawksmoor Mortgage Funding 2019-1 PLC | ||||
(Floating, SONIA Deposit Rates Swap 3M + 1.05%), 1.10%, 05/25/53(U) † | 930,114 | 1,276,211 | ||
Hawksmoor Mortgages, Series 2019-1A, Class A | ||||
(Floating, SONIA Deposit Rates Swap 3M + 1.05%), 1.10%, 05/25/53(U) 144A † | 1,183,782 | 1,624,268 | ||
Holmes Master Issuer PLC, Series 2018-2A, Class A2 | ||||
(Floating, ICE LIBOR USD 3M + 0.42%), 0.66%, 10/15/54 144A † | 1,078,481 | 1,078,881 |
Par | Value | |||
IndyMac INDX Mortgage Loan Trust, Series 2006-AR12, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.19%, 0.19% Floor), 0.34%, 09/25/46† | $ 382,337 | $ 350,980 | ||
IndyMac INDX Mortgage Loan Trust, Series 2007-FLX3, Class A2 | ||||
(Floating, ICE LIBOR USD 1M + 0.27%, 0.27% Floor), 0.42%, 06/25/37† | 156,090 | 183,122 | ||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2012-CBX, Class A4 | ||||
3.48%, 06/15/45 | 1,207,019 | 1,226,556 | ||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2012-CBX, Class A4FX | ||||
3.48%, 06/15/45 144A | 737,111 | 749,094 | ||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2012-HSBC, Class D | ||||
4.52%, 07/05/32 144A γ | 610,000 | 627,716 | ||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class ASB | ||||
2.55%, 04/15/46 | 655,560 | 670,701 | ||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-WPT, Class AFX | ||||
4.25%, 07/05/33 144A | 190,000 | 200,661 | ||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-MFP, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.96%, 0.96% Floor), 1.12%, 07/15/36 144A † | 1,710,000 | 1,698,798 | ||
JP Morgan Mortgage Trust, Series 2005-A1, Class 6T1 | ||||
3.34%, 02/25/35† γ | 15,931 | 15,230 | ||
JP Morgan Mortgage Trust, Series 2016-2, Class A1 | ||||
2.59%, 06/25/46 144A γ | 465,585 | 472,173 | ||
JP Morgan Mortgage Trust, Series 2017-1, Class A4 | ||||
3.50%, 01/25/47 144A | 87,879 | 88,058 | ||
JP Morgan Mortgage Trust, Series 2017-1, Class A5 | ||||
3.50%, 01/25/47 144A | 76,078 | 76,234 | ||
JP Morgan Mortgage Trust, Series 2017-3, Class 1A6 | ||||
3.00%, 08/25/47 144A | 243,973 | 244,967 | ||
JP Morgan Mortgage Trust, Series 2017-5, Class A1A | ||||
3.00%, 10/26/48 144A | 662,305 | 667,858 | ||
JP Morgan Mortgage Trust, Series 2017-6, Class A6 | ||||
3.00%, 12/25/48 144A | 63,317 | 63,782 |
Par | Value | |||
JP Morgan Mortgage Trust, Series 2020-7, Class A3 | ||||
3.00%, 01/25/51 144A γ | $ 388,014 | $ 400,704 | ||
JP Morgan Mortgage Trust, Series 2020-LTV1, Class A11 | ||||
(Floating, ICE LIBOR USD 1M + 1.00%, 6.00% Cap), 1.15%, 06/25/50 144A † | 337,589 | 338,875 | ||
JPMBB Commercial Mortgage Securities Trust, Series 2014-C23, Class ASB | ||||
3.66%, 09/15/47 | 273,562 | 288,428 | ||
JPMBB Commercial Mortgage Securities Trust, Series 2015-C33, Class A3 | ||||
3.50%, 12/15/48 | 325,618 | 361,611 | ||
JPMCC Commercial Mortgage Securities Trust, Series 2017-JP7, Class A3 | ||||
3.38%, 09/15/50 | 1,500,000 | 1,601,362 | ||
KNDL Mortgage Trust, Series 2019-KNSQ, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.80%, 0.80% Floor), 0.96%, 05/15/36 144A † | 409,000 | 409,824 | ||
KNDL Mortgage Trust, Series 2019-KNSQ, Class D | ||||
(Floating, ICE LIBOR USD 1M + 1.35%, 1.35% Floor), 1.51%, 05/15/36 144A † | 136,000 | 135,974 | ||
Lanark Master Issuer PLC, Series 2018-2A, Class 1A | ||||
(Floating, ICE LIBOR USD 3M + 0.42%), 0.68%, 12/22/69† | 575,400 | 575,605 | ||
Lanark Master Issuer PLC, Series 2019-1A, Class 1A1 | ||||
(Floating, ICE LIBOR USD 3M + 0.77%), 1.03%, 12/22/69 144A † | 1,228,667 | 1,231,195 | ||
Luminent Mortgage Trust, Series 2006-7, Class 2A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.17%, 0.17% Floor, 10.50% Cap), 0.32%, 12/25/36† | 373,888 | 353,091 | ||
MASTR Adjustable Rate Mortgages Trust, Series 2003-6, Class 3A1 | ||||
2.42%, 12/25/33γ | 71,114 | 74,849 | ||
MF1 Multifamily Housing Mortgage Loan Trust, Series 2020-FL3, Class AS | ||||
(Floating, ICE LIBOR USD 1M + 2.85%), 3.01%, 07/15/35 144A † | 260,000 | 263,664 | ||
MF1, Ltd., Series 2019-FL2, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.13%, 1.13% Floor), 1.28%, 12/25/34 144A † | 1,900,000 | 1,886,973 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C12, Class ASB | ||||
3.82%, 10/15/46 | 766,941 | 797,997 |
Par | Value | |||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C13, Class A3 | ||||
3.77%, 11/15/46 | $ 484,630 | $ 519,898 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C9, Class AAB | ||||
2.66%, 05/15/46 | 138,809 | 141,768 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C18, Class ASB | ||||
3.62%, 10/15/47 | 401,332 | 424,767 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C22, Class ASB | ||||
3.04%, 04/15/48 | 1,758,789 | 1,840,491 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C24, Class A4 | ||||
3.73%, 05/15/48 | 955,000 | 1,072,012 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C25, Class A5 | ||||
3.64%, 10/15/48 | 535,000 | 600,783 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C25, Class ASB | ||||
3.38%, 10/15/48 | 790,301 | 840,185 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C32, Class XA | ||||
0.70%, 12/15/49 IO γ | 1,912,248 | 63,840 | ||
Morgan Stanley Capital I Trust, Series 2014-CPT, Class A | ||||
3.35%, 07/13/29 144A | 815,000 | 820,964 | ||
Morgan Stanley Capital I Trust, Series 2018-H4, Class A4 | ||||
4.31%, 12/15/51 | 249,000 | 299,209 | ||
National Rmbs Trust, Series 2012-2, Class A1 | ||||
(Floating, Australian BBSW 1M + 1.10%), 1.11%, 06/20/44(A) † | 83,759 | 64,725 | ||
NCUA Guaranteed Notes Trust, Series 2011-C1, Class 2A | ||||
(Floating, ICE LIBOR USD 1M + 0.53%, 0.53% Floor, 8.00% Cap), 0.68%, 03/09/21† | 353,459 | 354,342 | ||
New Residential Mortgage Loan Trust, Series 2017-3A, Class A1 | ||||
4.00%, 04/25/57 144A | 1,177,504 | 1,257,501 | ||
New Residential Mortgage Loan Trust, Series 2017-4A, Class A1 | ||||
4.00%, 05/25/57 144A | 1,117,337 | 1,218,183 | ||
New Residential Mortgage Loan Trust, Series 2018-1A, Class A1A | ||||
4.00%, 12/25/57 144A γ | 1,467,578 | 1,594,130 | ||
New Residential Mortgage Loan Trust, Series 2019-RPL3, Class A1 | ||||
2.75%, 07/25/59 144A | 1,620,374 | 1,705,958 |
Par | Value | |||
New Residential Mortgage Loan Trust, Series 2020-1A, Class A1B | ||||
3.50%, 10/25/59 144A γ | $ 726,147 | $ 778,404 | ||
New Residential Mortgage Loan Trust, Series 2020-RPL1, Class A1 | ||||
2.75%, 11/25/59 144A | 2,034,087 | 2,141,040 | ||
One New York Plaza Trust, Series 2020-1NYP, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.95%, 0.95% Floor), 1.11%, 01/15/26 144A † | 240,000 | 240,896 | ||
PFP, Ltd., Series 2019-5, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.97%, 0.97% Floor), 1.12%, 04/14/36 144A † | 195,851 | 193,128 | ||
PFP, Ltd., Series 2019-6, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.05%, 1.05% Floor), 1.20%, 04/14/37 144A † | 2,000,000 | 1,973,140 | ||
Residential Mortgage Securities 32 PLC, Class A | ||||
(Floating, SONIA Deposit Rates Swap 3M + 1.25%), 1.30%, 06/20/70(U) 144A † | 945,538 | 1,305,901 | ||
RFMSI Trust, Series 2003-S9, Class A1 | ||||
6.50%, 03/25/32 | 4,771 | 5,024 | ||
Ripon Mortgages PLC, Series 1X, Class A2 | ||||
(Floating, ICE LIBOR GBP 3M + 0.80%), 0.85%, 08/20/56(U) † | 781,428 | 1,067,927 | ||
Seasoned Credit Risk Transfer Trust Series, Series 2019-4, Class MA | ||||
3.00%, 02/25/59 | 944,360 | 1,007,719 | ||
Seasoned Credit Risk Transfer Trust, Series 2018-2, Class MA | ||||
3.50%, 11/25/57 | 427,159 | 461,943 | ||
Sequoia Mortgage Trust, Series 2017-CH1, Class A2 | ||||
3.50%, 08/25/47 144A | 270,144 | 275,363 | ||
Sequoia Mortgage Trust, Series 2017-CH2, Class A10 | ||||
4.00%, 12/25/47 144A | 63,548 | 63,990 | ||
Silverstone Master Issuer PLC, Series 2019-1A, Class 1A | ||||
(Floating, ICE LIBOR USD 3M + 0.57%), 0.78%, 01/21/70 144A † | 144,000 | 144,339 | ||
STACR Trust, Series 2018-DNA2, Class M1 | ||||
(Floating, ICE LIBOR USD 1M + 0.80%), 0.95%, 12/25/30 144A † | 179,966 | 180,095 | ||
STACR Trust, Series 2018-HRP1, Class M2 | ||||
(Floating, ICE LIBOR USD 1M + 1.65%), 1.80%, 04/25/43 144A † | 1,074,196 | 1,058,487 |
Par | Value | |||
STACR Trust, Series 2018-HRP2, Class M2 | ||||
(Floating, ICE LIBOR USD 1M + 1.25%), 1.40%, 02/25/47 144A † | $1,465,014 | $1,464,725 | ||
Starwood Mortgage Residential Trust, Series 2020-INV1, Class A1 | ||||
1.03%, 11/25/55 144A | 424,097 | 424,700 | ||
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-13, Class A2 | ||||
(Floating, ICE LIBOR USD 1M + 0.30%, 0.30% Floor), 0.45%, 09/25/34† | 57,295 | 53,304 | ||
Structured Asset Mortgage Investments II Trust, Series 2005-AR5, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.50%, 0.50% Floor, 11.00% Cap), 0.65%, 07/19/35† | 32,721 | 31,522 | ||
Structured Asset Mortgage Investments II Trust, Series 2005-AR8, Class A1A | ||||
(Floating, ICE LIBOR USD 1M + 0.56%, 0.56% Floor, 10.50% Cap), 0.71%, 02/25/36† | 291,194 | 275,324 | ||
TBW Mortgage-Backed Trust, Series 2007-2, Class A6A | ||||
(Step to 4.56% on 02/25/21), 6.01%, 07/25/37 STEP | 214,601 | 127,211 | ||
TORRENS Trust, Series 2013-1, Class A | ||||
(Floating, Australian BBSW 1M + 0.95%), 0.97%, 04/12/44(A) † | 442,346 | 341,559 | ||
Towd Point Mortgage Funding PLC, Series 2019-GR4A, Class A1 | ||||
(Floating, ICE LIBOR GBP 3M + 1.03%), 1.06%, 10/20/51 144A † | 1,453,991 | 1,999,010 | ||
Towd Point Mortgage Funding, Series 2019-A13A, Class A1 | ||||
(Floating, SONIA Deposit Rates Swap 3M + 0.90%), 0.96%, 07/20/45 144A † | 2,360,514 | 3,230,305 | ||
UBS Commercial Mortgage Trust, Series 2017-C1, Class A4 | ||||
3.46%, 06/15/50 | 500,000 | 559,570 | ||
UBS Commercial Mortgage Trust, Series 2019-C16, Class ASB | ||||
3.46%, 04/15/52 | 540,000 | 611,309 | ||
UBS Commercial Mortgage Trust, Series 2019-C18, Class A4 | ||||
3.04%, 12/15/52 | 330,000 | 368,486 | ||
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2002-AR6, Class A | ||||
(Floating, Federal Reserve U.S. 12 1Y CMT + 1.40%, 1.40% Floor), 2.01%, 06/25/42† | 5,000 | 4,839 |
Par | Value | |||
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2003-AR8, Class A | ||||
2.90%, 08/25/33γ | $ 107,333 | $ 108,107 | ||
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2005-AR2, Class 2A1A | ||||
(Floating, ICE LIBOR USD 1M + 0.62%, 0.62% Floor, 10.50% Cap), 0.77%, 01/25/45† | 218,411 | 213,743 | ||
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2006-AR19, Class 1A | ||||
(Floating, Federal Reserve U.S. 12 1Y CMT + 0.74%, 0.74% Floor), 1.35%, 01/25/47† | 229,059 | 216,082 | ||
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2006-AR5, Class A12A | ||||
(Floating, Federal Reserve U.S. 12 1Y CMT + 0.98%, 0.98% Floor), 1.59%, 06/25/46† | 493,448 | 483,171 | ||
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2007-HY1, Class 1A1 | ||||
3.51%, 02/25/37† γ | 175,765 | 159,827 | ||
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2007-HY5, Class 2A1 | ||||
3.35%, 05/25/37γ | 202,759 | 177,097 | ||
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2007-OA5, Class A1B | ||||
(Floating, Federal Reserve U.S. 12 1Y CMT + 0.84%, 0.84% Floor), 1.45%, 05/25/47† | 36,526 | 3,420 | ||
Wells Fargo Commercial Mortgage Trust, Series 2014-LC16, Class ASB | ||||
3.48%, 08/15/50 | 722,915 | 757,121 | ||
Wells Fargo Commercial Mortgage Trust, Series 2015-C26, Class A4 | ||||
3.17%, 02/15/48 | 500,000 | 546,402 | ||
Wells Fargo Commercial Mortgage Trust, Series 2016-NXS5, Class A6FL | ||||
(Floating, ICE LIBOR USD 1M + 1.55%, 1.55% Floor), 1.70%, 01/15/59 144A † | 2,000,000 | 2,028,382 | ||
Wells Fargo Commercial Mortgage Trust, Series 2017-C39, Class A5 | ||||
3.42%, 09/15/50 | 1,096,000 | 1,246,322 |
Par | Value | |||
Wells Fargo Commercial Mortgage Trust, Series 2020-SOP, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.14%, 1.14% Floor), 1.30%, 01/15/35 144A † | $1,500,000 | $ 1,475,003 | ||
Wells Fargo Mortgage Backed Securities Trust, Series 2020-RR1, Class A1 | ||||
3.00%, 05/25/50 144A γ | 280,994 | 291,196 | ||
WFRBS Commercial Mortgage Trust, Series 2011-C4, Class AFL | ||||
(Floating, ICE LIBOR USD 1M + 1.45%, 1.45% Floor), 1.60%, 06/15/44 144A † | 689,818 | 689,967 | ||
WFRBS Commercial Mortgage Trust, Series 2011-C5, Class A4 | ||||
3.67%, 11/15/44 | 961,965 | 973,853 | ||
WFRBS Commercial Mortgage Trust, Series 2012-C8, Class AFL | ||||
(Floating, ICE LIBOR USD 1M + 1.00%, 1.00% Floor), 1.15%, 08/15/45 144A † | 515,266 | 516,198 | ||
WFRBS Commercial Mortgage Trust, Series 2014-C21, Class ASB | ||||
3.39%, 08/15/47 | 539,835 | 561,600 | ||
WFRBS Commercial Mortgage Trust, Series 2014-LC14, Class ASB | ||||
3.52%, 03/15/47 | 441,436 | 458,399 | ||
Total Mortgage-Backed Securities (Cost $207,813,823) | 211,474,680 | |||
MUNICIPAL BONDS — 0.5% | ||||
California State Earthquake Authority Taxable Revenue Bonds, Series B | ||||
1.48%, 07/01/23 | 315,000 | 317,263 | ||
Hawaii State G.O. Unlimited Bonds, Series GB | ||||
0.80%, 10/01/24 | 1,000,000 | 1,013,690 | ||
North Texas Higher Education Authority, Inc. | ||||
(Floating, ICE LIBOR USD 3M + 1.10%, 15.00% Cap), 1.34%, 04/01/40† | 1,301,091 | 1,313,667 | ||
South Carolina Public Service Authority, Series D | ||||
2.39%, 12/01/23 | 385,000 | 401,472 | ||
South Carolina State Public Service Authority Taxable Obligation Revenue Bonds, Series E, Unrefunded Balance | ||||
3.72%, 12/01/23 | 326,000 | 351,418 |
Par | Value | |||
State of California, General Obligation, Series C | ||||
(Floating, ICE LIBOR USD 1M + 0.78%), 0.92%, 04/01/47† | $1,500,000 | $1,499,775 | ||
Total Municipal Bonds (Cost $4,799,969) | 4,897,285 |
Number of Contracts | Notional Amount | |||
PURCHASED OPTION — 0.0% | ||||
Put Option — 0.0% | ||||
2-Year U.S. Treasury Note Future expiration date 3/2021, Strike Price $109.10, Expires 02/19/21 (CITI) (Premiums paid $1,658) | 200 | $44,195,312 | 200 |
Par | |||
U.S. TREASURY OBLIGATIONS — 18.7% | |||
U.S. Treasury Bills | |||
0.10%, 02/02/21Ω | $ 4,800,000 | 4,799,741 | |
0.09%, 02/23/21Ω | 1,700,000 | 1,699,876 | |
0.09%, 03/04/21Ω ‡‡ | 100,000 | 99,990 | |
0.11%, 11/04/21Ω | 3,500,000 | 3,497,599 | |
0.09%, 12/02/21Ω | 1,075,000 | 1,074,118 | |
11,171,324 | |||
U.S. Treasury Notes | |||
0.10%, 01/26/21Ω | 2,000,000 | 1,999,954 | |
0.08%, 02/04/21Ω | 4,800,000 | 4,799,814 | |
0.09%, 02/11/21Ω ‡‡ | 200,000 | 199,989 | |
2.50%, 01/31/21‡‡ | 1,000,000 | 1,001,738 | |
2.13%, 09/30/21 | 15,000,000 | 15,224,947 | |
2.00%, 10/31/21 | 10,000,000 | 10,155,909 | |
1.50%, 11/30/21‡‡ | 20,000,000 | 20,251,825 | |
0.38%, 03/31/22 | 39,400,000 | 39,531,590 | |
0.13%, 05/31/22 | 4,190,000 | 4,191,146 | |
0.13%, 08/31/22 | 28,666,000 | 28,670,479 | |
0.13%, 09/30/22 | 2,880,000 | 2,880,337 | |
0.13%, 10/31/22 | 1,500,000 | 1,500,293 | |
0.13%, 11/30/22 | 1,735,000 | 1,735,339 | |
1.50%, 01/15/23 | 1,300,000 | 1,336,435 | |
0.25%, 06/15/23 | 4,608,000 | 4,620,420 | |
0.13%, 07/15/23 | 14,500,000 | 14,494,336 | |
0.13%, 09/15/23 | 4,339,000 | 4,336,288 | |
0.13%, 10/15/23 | 5,300,000 | 5,296,687 | |
0.25%, 11/15/23 | 6,000,000 | 6,017,344 | |
0.13%, 12/15/23 | 14,965,000 | 14,948,047 | |
1.50%, 10/31/24 | 650,000 | 681,383 |
Par | Value | |||
0.38%, 07/31/27‡‡ | $3,100,000 | $ 3,059,676 | ||
186,933,976 | ||||
Total U.S. Treasury Obligations (Cost $197,967,905) | 198,105,300 |
Shares | |||
MONEY MARKET FUNDS — 3.8% | |||
GuideStone Money Market Fund, 0.00% (Institutional Class)Ø ∞ | 34,878,597 | 34,878,597 | |
Northern Institutional Liquid Assets Portfolio (Shares), 0.08%Ø § | 4,997,935 | 4,997,935 | |
Northern Institutional U.S. Government Portfolio (Shares), 0.00%Ø | 737,897 | 737,897 | |
Total Money Market Funds (Cost $40,614,429) | 40,614,429 | ||
TOTAL INVESTMENTS —100.0% (Cost $1,046,812,419) | 1,062,550,364 |
Number of Contracts | Notional Amount | |||
WRITTEN OPTIONS — (0.0)% | ||||
Call Option — (0.0)% | ||||
FNCL 2.00% expiration date 3/2021, Strike Price $104.14, Expires 03/04/21 (JPM) | 2 | $ (624,844) | (1,136) | |
Call Swaptions — (0.0)% | ||||
Sell Protection on Markit CDX.NA.IG.33 Index; Receive 1.00% (Quarterly): Credit Default Swap Maturing 12/20/2024 USD, Strike Price $2.50, Expires 01/20/21 (GSC) | 1 | (1,200,000) | (12) | |
Sell Protection on Markit CDX.NA.IG.33 Index; Receive 1.00% (Quarterly): Credit Default Swap Maturing 12/20/2024 USD, Strike Price $2.50, Expires 03/17/21 (GSC) | 1 | (5,200,000) | (596) | |
(608) |
Number of Contracts | Notional Amount | Value | |||
Put Options — (0.0)% | |||||
FNCL 2.00% expiration date 2/2021, Strike Price $102.19, Expires 02/04/21 (JPM) | 1 | $(1,226,250) | $ (241) | ||
FNCL 2.00% expiration date 2/2021, Strike Price $102.27, Expires 02/04/21 (JPM) | 1 | (1,124,922) | (258) | ||
FNCL 2.00% expiration date 3/2021, Strike Price $102.13, Expires 03/04/21 (JPM) | 1 | (2,961,625) | (2,623) | ||
FNCL 2.00% expiration date 3/2021, Strike Price $102.14, Expires 03/04/21 (JPM) | 2 | (612,844) | (553) | ||
G2SF 2.00% expiration date 3/2021, Strike Price $102.91, Expires 03/11/21 (JPM) | 1 | (720,343) | (5,456) |
Number of Contracts | Notional Amount | Value | |||
G2SF 2.50% expiration date 2/2021, Strike Price $103.77, Expires 02/11/21 (JPM) | 1 | $(3,113,203) | $ (124) | ||
G2SF 2.50% expiration date 3/2021, Strike Price $104.00, Expires 03/11/21 (JPM) | 1 | (520,000) | (245) | ||
G2SF 2.50% expiration date 4/2021, Strike Price $104.13, Expires 04/14/21 (JPM) | 1 | (520,625) | (1,289) | ||
(10,789) | |||||
Total Written Options (Premiums received $ (31,226)) | (12,533) | ||||
Other Assets in Excess of Liabilities — 0.0% | 223,041 | ||||
NET ASSETS — 100.0% | $1,062,760,872 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
Euro-Bobl | 03/2021 | (47) | $ (7,761,705) | $ 380 | ||||
Euro-Schatz | 03/2021 | (66) | (9,052,610) | 5,864 | ||||
10-Year U.S. Treasury Note | 03/2021 | (41) | (5,661,203) | (7,244) | ||||
Ultra 10-Year U.S. Treasury Note | 03/2021 | 14 | 2,189,031 | 11,784 | ||||
Ultra Long U.S. Treasury Bond | 03/2021 | (13) | (2,776,313) | 46,758 | ||||
2-Year U.S. Treasury Note | 03/2021 | 1,619 | 357,761,054 | 342,132 | ||||
5-Year U.S. Treasury Note | 03/2021 | (693) | (87,431,695) | (217,076) | ||||
90-Day Bank Acceptance | 09/2022 | 13 | 2,538,033 | 1,106 | ||||
90-Day Bank Acceptance | 12/2022 | 305 | 59,510,223 | 4,635 | ||||
90-Day Eurodollar | 12/2022 | 320 | 79,796,000 | 60,152 | ||||
90-Day Bank Acceptance | 03/2023 | 233 | 45,432,163 | (22,995) | ||||
Total Futures Contracts outstanding at December 31, 2020 | $434,542,978 | $ 225,496 |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
01/08/21 | Australian Dollars | 9,224,000 | U.S. Dollars | 6,985,272 | MSCS | $ 126,636 | ||||||
01/08/21 | Japanese Yen | 797,067,260 | U.S. Dollars | 7,662,281 | GSC | 57,904 | ||||||
03/22/21 | Euro | 873,000 | U.S. Dollars | 1,029,998 | HSBC | 38,483 | ||||||
02/02/21 | Japanese Yen | 866,332,161 | U.S. Dollars | 8,372,640 | GSC | 20,998 | ||||||
01/08/21 | Japanese Yen | 203,364,901 | U.S. Dollars | 1,951,407 | HSBC | 18,333 | ||||||
02/03/21 | U.S. Dollars | 11,308,809 | Euro | 9,234,500 | UBS | 18,154 | ||||||
01/19/21 | U.S. Dollars | 3,935,630 | Canadian Dollars | 5,000,000 | BNY | 7,279 |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
03/17/21 | Euro | 690,000 | U.S. Dollars | 837,762 | RBS | $ 6,642 | ||||||
01/15/21 | U.S. Dollars | 4,719,467 | Canadian Dollars | 6,000,000 | BOA | 5,525 | ||||||
02/10/21 | U.S. Dollars | 2,361,049 | Canadian Dollars | 3,000,000 | MSCS | 3,889 | ||||||
01/08/21 | U.S. Dollars | 2,360,143 | Canadian Dollars | 3,000,000 | MSCS | 3,241 | ||||||
02/16/21 | U.S. Dollars | 2,359,199 | Canadian Dollars | 3,000,000 | JPM | 2,017 | ||||||
Subtotal Appreciation | $ 309,101 | |||||||||||
01/29/21 | U.S. Dollars | 86 | British Pounds | 64 | BAR | $ (2) | ||||||
01/06/21 | U.S. Dollars | 181,345 | Canadian Dollars | 231,374 | CIBC | (428) | ||||||
01/08/21 | U.S. Dollars | 1,297,979 | Japanese Yen | 134,100,000 | BAR | (878) | ||||||
03/22/21 | U.S. Dollars | 249,206 | Euro | 205,000 | CITI | (1,697) | ||||||
03/17/21 | Euro | 680,000 | U.S. Dollars | 835,067 | JPM | (2,901) | ||||||
01/15/21 | U.S. Dollars | 1,568,209 | Canadian Dollars | 2,000,000 | MSCS | (3,105) | ||||||
03/17/21 | U.S. Dollars | 840,890 | Euro | 690,000 | BOA | (3,514) | ||||||
01/08/21 | U.S. Dollars | 257,582 | Euro | 215,000 | BNP | (5,125) | ||||||
01/07/21 | U.S. Dollars | 2,744,330 | Canadian Dollars | 3,500,000 | MSCS | (5,378) | ||||||
01/08/21 | U.S. Dollars | 3,922,551 | Canadian Dollars | 5,000,000 | MSCS | (5,619) | ||||||
01/12/21 | U.S. Dollars | 2,350,712 | Canadian Dollars | 3,000,000 | MSCS | (6,230) | ||||||
01/08/21 | U.S. Dollars | 405,146 | British Pounds | 301,000 | BNP | (6,498) | ||||||
01/06/21 | U.S. Dollars | 391,260 | Australian Dollars | 530,000 | BOA | (17,372) | ||||||
01/08/21 | U.S. Dollars | 8,370,298 | Japanese Yen | 866,332,161 | GSC | (20,769) | ||||||
01/08/21 | U.S. Dollars | 971,331 | Canadian Dollars | 1,264,402 | JPM | (22,026) | ||||||
01/14/21 | U.S. Dollars | 5,061,981 | Canadian Dollars | 6,500,000 | JPM | (44,768) | ||||||
03/22/21 | U.S. Dollars | 1,910,256 | Canadian Dollars | 2,510,000 | HSBC | (62,058) | ||||||
01/14/21 | U.S. Dollars | 5,421,287 | Canadian Dollars | 7,000,000 | MSCS | (78,289) | ||||||
01/08/21 | U.S. Dollars | 4,749,189 | Canadian Dollars | 6,168,750 | UBS | (97,191) | ||||||
01/08/21 | U.S. Dollars | 3,077,884 | Australian Dollars | 4,185,635 | UBS | (149,332) | ||||||
01/29/21 | U.S. Dollars | 6,679,193 | British Pounds | 4,999,936 | HSBC | (159,814) | ||||||
01/08/21 | U.S. Dollars | 3,692,463 | Australian Dollars | 5,019,611 | JPM | (177,768) | ||||||
03/22/21 | U.S. Dollars | 5,377,082 | Euro | 4,544,000 | HSBC | (184,406) | ||||||
02/03/21 | U.S. Dollars | 7,251,071 | Canadian Dollars | 9,464,000 | CIBC | (184,902) | ||||||
01/06/21 | U.S. Dollars | 11,264,588 | Euro | 9,406,000 | UBS | (227,965) | ||||||
01/06/21 | U.S. Dollars | 11,340,532 | Euro | 9,512,000 | BNP | (281,535) | ||||||
02/03/21 | U.S. Dollars | 7,983,346 | Canadian Dollars | 10,520,000 | HSBC | (282,338) | ||||||
01/08/21 | U.S. Dollars | 14,870,734 | British Pounds | 11,119,000 | HSBC | (335,477) | ||||||
Subtotal Depreciation | $(2,367,385) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at December 31, 2020 | $(2,058,284) |
Reference Obligation | Fixed Deal (Pay) Rate | Maturity Date | Counterparty | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||||
Credit Default Swaps on Sovereign Issuers—Buy Protection | ||||||||||||||||
Peoples Republic of China, 7.5% due 10/28/2027 (Pay Quarterly) | (1.00)% | 6/20/2024 | MS | USD | 1,600,000 | $(47,097) | $(35,993) | $(11,104) | ||||||||
$(47,097) | $(35,993) | $(11,104) |
Reference Obligation | Fixed Deal (Pay) 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 CDX.NA.IG.32 Index (Pay Quarterly) | (1.00)% | 6/20/2024 | USD | 10,100,000 | $(167,239) | $ (198,363) | $ 31,124 | |||||||
Markit CDX.NA.IG.33 Index (Pay Quarterly) | (1.00)% | 12/20/2024 | USD | 27,050,000 | (455,288) | (698,526) | 243,238 | |||||||
Subtotal Appreciation | $(622,527) | $ (896,889) | $274,362 | |||||||||||
Markit CDX.NA.IG.34 Index (Pay Quarterly) | (1.00)% | 6/20/2025 | USD | 4,300,000 | $ (71,633) | $ (62,373) | $ (9,260) | |||||||
Markit CDX.NA.IG.35 Index (Pay Quarterly) | (1.00)% | 12/20/2025 | USD | 6,400,000 | (158,763) | (152,006) | (6,757) | |||||||
Subtotal Depreciation | $(230,396) | $ (214,379) | $ (16,017) | |||||||||||
Net Centrally Cleared Credit Default Swaps on Credit Indexes—Buy Protection outstanding at December 31, 2020 | $(852,923) | $(1,111,268) | $258,345 |
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 + .098% (Quarterly) | 3-Month LIBOR (Quarterly) | 1/13/2023 | USD | 25,000,000 | $ (13,219) | $ — | $ (13,219) | |||||||
2.75% (Semiannually) | 3-Month LIBOR (Quarterly) | 12/18/2029 | USD | 12,500,000 | (2,102,878) | (878,595) | (1,224,283) | |||||||
1.63% (Semiannually) | 3-Month LIBOR (Quarterly) | 1/6/2030 | USD | 800,000 | (60,398) | (4,195) | (56,203) | |||||||
$(2,176,495) | $(882,790) | $(1,293,705) |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Agency Obligations | $ 45,981,085 | $ — | $ 45,981,085 | $ — | |||
Asset-Backed Securities | 160,893,445 | — | 160,893,445 | — | |||
Certificates Of Deposit | 21,209,403 | — | 21,209,403 | — | |||
Corporate Bonds | 213,832,999 | — | 213,832,999 | — | |||
Foreign Bonds | 165,541,538 | — | 165,541,538 | — | |||
Money Market Funds | 40,614,429 | 40,614,429 | — | — | |||
Mortgage-Backed Securities | 211,474,680 | — | 211,474,680 | — | |||
Municipal Bonds | 4,897,285 | — | 4,897,285 | — | |||
Purchased Option: | |||||||
Put Option | 200 | 200 | — | — | |||
U.S. Treasury Obligations | 198,105,300 | — | 198,105,300 | — | |||
Total Assets - Investments in Securities | $1,062,550,364 | $40,614,629 | $1,021,935,735 | $ — | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $ 309,101 | $ — | $ 309,101 | $ — | |||
Futures Contracts | 472,811 | 472,811 | — | — | |||
Swap Agreements | 274,362 | — | 274,362 | — | |||
Total Assets - Other Financial Instruments | $ 1,056,274 | $ 472,811 | $ 583,463 | $ — |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Liabilities: | |||||||
Investments in Securities: | |||||||
Written Options: | |||||||
Call Option | $ (1,136) | $ (1,136) | $ — | $ — | |||
Call Swaptions | (608) | (608) | — | — | |||
Put Options | (10,789) | (10,789) | — | — | |||
Total Written Options | (12,533) | (12,533) | — | — | |||
Total Liabilities - Investments in Securities | $ (12,533) | $ (12,533) | $ — | $ — | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $ (2,367,385) | $ — | $ (2,367,385) | $ — | |||
Futures Contracts | (247,315) | (247,315) | — | — | |||
Swap Agreements | (1,320,826) | — | (1,320,826) | — | |||
Total Liabilities - Other Financial Instruments | $ (3,935,526) | $ (247,315) | $ (3,688,211) | $ — |
*** | Other financial instruments are derivative instruments, such as futures contracts, forward 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", "Forward Foreign Currency Contracts outstanding" and "Swap Agreements outstanding" disclosures. |
% | |
Mortgage-Backed Securities | 34.0 |
Corporate Bonds | 30.9 |
U.S. Treasury Obligations | 18.9 |
Foreign Bonds | 13.6 |
Money Market Funds | 5.9 |
Asset-Backed Securities | 4.6 |
Repurchase Agreements | 4.5 |
Agency Obligations | 1.1 |
Municipal Bonds | 0.5 |
Loan Agreements | 0.4 |
Purchased Options | —** |
Written Options | —** |
TBA Sale Commitments | (4.3) |
110.1 | |
**Rounds to less than 0.05% |
Average Annual Total Returns as of 12/31/20 | |||||||
Institutional Class* | Investor Class* | Benchmark** | |||||
One Year | 9.13% | 8.84% | 7.49% | ||||
Five Year | 5.09% | 4.81% | 4.43% | ||||
Ten year | 4.39% | 4.15% | 3.84% | ||||
Since Inception | 5.20% | 5.06% | 4.65% | ||||
Inception Date | 08/27/01 | 08/27/01 | |||||
Total Fund Operating Expenses (May 1, 2020 Prospectus)(1) | 0.40% | 0.66% |
(1) | Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights. |
Par | Value | |||
AGENCY OBLIGATIONS — 1.1% | ||||
Federal Home Loan Mortgage Corporation | ||||
0.65%, 10/22/25 | $7,100,000 | $ 7,101,788 | ||
0.65%, 10/27/25 | 7,200,000 | 7,200,311 | ||
0.80%, 10/28/26 | 7,200,000 | 7,200,176 | ||
Federal National Mortgage Association | ||||
6.63%, 11/15/30 | 670,000 | 1,015,262 | ||
Total Agency Obligations (Cost $22,308,779) | 22,517,537 | |||
ASSET-BACKED SECURITIES — 4.6% | ||||
A10 Bridge Asset Financing LLC, Series 2020-C, Class A | ||||
2.02%, 08/15/40 144A | 1,769,267 | 1,772,616 | ||
AGL Core CLO 8, Ltd., Series 2020-8A, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 1.50%, 1.50% Floor), 1.72%, 10/20/31 144A † | 390,000 | 392,126 | ||
Allegro CLO XI, Ltd., Series 2019-2A, Class A1A | ||||
(Floating, ICE LIBOR USD 3M + 1.39%, 1.39% Floor), 1.61%, 01/19/33 144A † | 500,000 | 502,205 | ||
Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2005-R10, Class M3 | ||||
(Floating, ICE LIBOR USD 1M + 0.68%, 0.68% Floor), 0.82%, 01/25/36† | 2,900,000 | 2,872,353 | ||
AMMC CLO XI, Ltd., Series 2012-11A, Class A1R2 | ||||
(Floating, ICE LIBOR USD 3M + 1.01%), 1.22%, 04/30/31 144A † | 710,000 | 704,616 | ||
Apex Credit CLO, Ltd., Series 2017-1A, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 1.47%, 1.47% Floor), 1.68%, 04/24/29 144A † | 293,824 | 293,770 | ||
Apidos CLO XXIII, Series 2015-23A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 1.22%, 1.22% Floor), 1.46%, 04/15/33 144A † | 1,500,000 | 1,504,956 | ||
Ares XLIII CLO, Ltd., Series 2017-43A, Class A | ||||
(Floating, ICE LIBOR USD 3M + 1.22%), 1.46%, 10/15/29 144A † | 250,000 | 250,157 |
Par | Value | |||
Ballyrock CLO, Ltd., Series 2018-1A, Class C | ||||
(Floating, ICE LIBOR USD 3M + 3.15%), 3.37%, 04/20/31 144A † | $ 750,000 | $ 729,303 | ||
Ballyrock CLO, Ltd., Series 2019-2A, Class A1B | ||||
(Floating, ICE LIBOR USD 3M + 1.75%, 1.75% Floor), 1.97%, 11/20/30 144A † | 500,000 | 501,071 | ||
Bear Stearns Asset Backed Securities Trust, Series 2007-SD1, Class 1A2A | ||||
6.00%, 10/25/36 | 959,618 | 672,085 | ||
Bear Stearns Asset Backed Securities Trust, Series 2007-SD1, Class 1A3A | ||||
6.50%, 10/25/36 | 2,079,265 | 1,510,758 | ||
Benefit Street Partners CLO II, Ltd., Series 2013-IIA, Class A1R | ||||
(Floating, ICE LIBOR USD 3M + 1.25%), 1.49%, 07/15/29 144A † | 1,399,255 | 1,402,291 | ||
BlueMountain CLO, Ltd., Series 2015-1A, Class A1R | ||||
(Floating, ICE LIBOR USD 3M + 1.33%), 1.55%, 04/13/27 144A † | 123,426 | 123,465 | ||
BlueMountain CLO, Ltd., Series 2016-1A, Class CR | ||||
(Floating, ICE LIBOR USD 3M + 1.85%), 2.07%, 04/20/27 144A † | 800,000 | 782,103 | ||
BSPRT Issuer, Ltd., Series 2018-FL4, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.05%, 1.05% Floor), 1.21%, 09/15/35 144A † | 2,598,953 | 2,571,811 | ||
Canyon CLO, Ltd., Series 2020-1A, Class B | ||||
(Floating, ICE LIBOR USD 3M + 2.75%, 2.75% Floor), 2.99%, 07/15/28 144A † | 750,000 | 754,804 | ||
Carlyle Global Market Strategies CLO, Ltd., Series 2014-3RA, Class A1A | ||||
(Floating, ICE LIBOR USD 3M + 1.05%), 1.27%, 07/27/31 144A † | 317,386 | 317,044 | ||
Carrington Mortgage Loan Trust, Series 2005-OPT2, Class M4 | ||||
(Floating, ICE LIBOR USD 1M + 0.98%, 0.98% Floor), 1.12%, 05/25/35† | 2,097,095 | 2,097,679 |
Par | Value | |||
Catamaran CLO, Ltd., Series 2013-1A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 0.85%), 1.07%, 01/27/28 144A † | $1,271,051 | $1,264,377 | ||
Cedar Funding V CLO, Ltd., Series 2016-5A, Class AFRR | ||||
1.94%, 07/17/31 144A | 560,000 | 562,800 | ||
Countrywide Asset-Backed Certificates, Series 2006-1, Class AV3 | ||||
(Floating, ICE LIBOR USD 1M + 0.30%, 0.30% Floor), 0.45%, 07/25/36† | 346,244 | 344,885 | ||
Credit Suisse European Mortgage Capital, Ltd., Series 2019-1OTF, Class A | ||||
(Floating, ICE LIBOR USD 3M + 2.90%), 3.11%, 08/09/24 144A † | 980,000 | 973,936 | ||
CWABS, Inc. Asset-Backed Certificates, Series 2004-1, Class M1 | ||||
(Floating, ICE LIBOR USD 1M + 0.75%, 0.75% Floor), 0.90%, 03/25/34† | 182,681 | 182,295 | ||
CWHEQ Revolving Home Equity Loan Trust, Series 2005-F, Class 2A | ||||
(Floating, ICE LIBOR USD 1M + 0.24%, 0.24% Floor, 16.00% Cap), 0.40%, 12/15/35† | 36,091 | 34,534 | ||
CWHEQ Revolving Home Equity Loan Trust, Series 2006-E, Class 2A | ||||
(Floating, ICE LIBOR USD 1M + 0.14%, 0.14% Floor, 16.00% Cap), 0.30%, 07/15/36† | 117,081 | 109,423 | ||
Dryden 75 CLO, Ltd., Series 2019-75A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 1.20%, 1.20% Floor), 1.44%, 07/15/30 144A † | 250,000 | 250,224 | ||
ECMC Group Student Loan Trust, Series 2017-1A, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.20%), 1.35%, 12/27/66 144A † | 827,290 | 838,356 | ||
Elmwood CLO IV, Ltd., Series 2020-1A, Class A | ||||
(Floating, ICE LIBOR USD 3M + 1.24%, 1.24% Floor), 1.48%, 04/15/33 144A † | 3,800,000 | 3,823,833 | ||
Federal National Mortgage Association Grantor Trust, Series 2017-T1 | ||||
2.90%, 06/25/27 | 99,690 | 110,580 | ||
Financial Asset Securities Corporation AAA Trust, Series 2005-1A, Class 1A3B | ||||
(Floating, ICE LIBOR USD 1M + 0.41%, 0.41% Floor), 0.56%, 02/27/35 144A † | 459,910 | 419,946 |
Par | Value | |||
Flagship Credit Auto Trust, Series 2019-3, Class A | ||||
2.33%, 02/15/24 144A | $1,001,482 | $1,014,011 | ||
GMACM Home Equity Loan Trust, Series 2007-HE3, Class 2A1 | ||||
7.00%, 09/25/37 | 46,702 | 46,882 | ||
GoldenTree Loan Opportunities IX, Ltd., Series 2014-9A, Class AR2 | ||||
(Floating, ICE LIBOR USD 3M + 1.11%, 1.11% Floor), 1.32%, 10/29/29 144A † | 1,000,000 | 1,001,437 | ||
Golub Capital Partners CLO 45M, Ltd., Series 2019-45A, Class A | ||||
(Floating, ICE LIBOR USD 3M + 1.72%, 1.72% Floor), 1.94%, 10/20/31 144A † | 250,000 | 250,781 | ||
Greywolf CLO V, Ltd., Series 2015-1A, Class A1R | ||||
(Floating, ICE LIBOR USD 3M + 1.16%, 1.16% Floor), 1.37%, 01/27/31 144A † | 500,000 | 500,225 | ||
Halcyon Loan Advisors Funding, Ltd., Series 2015-2A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 1.08%, 1.08% Floor), 1.29%, 07/25/27 144A † | 317,807 | 317,062 | ||
HalseyPoint CLO, Ltd., Series 2020-3A, Class A1A | ||||
(Floating, ICE LIBOR USD 3M + 1.45%, 1.45% Floor), 1.63%, 11/30/32 144A † | 780,000 | 789,816 | ||
Higher Education Funding I, Series 2014-1, Class A | ||||
(Floating, ICE LIBOR USD 3M + 1.05%), 1.26%, 05/25/34 144A † | 707,976 | 710,565 | ||
Hildene Community Funding CDO, Ltd., Series 2015-1A, Class AR | ||||
3.25%, 11/01/35 144A | 750,000 | 750,000 | ||
Jackson Mill CLO, Ltd., Series 2015-1A, Class DR | ||||
(Floating, ICE LIBOR USD 3M + 2.80%, 2.80% Floor), 3.04%, 04/15/27 144A † | 750,000 | 680,760 | ||
KKR CLO, Ltd., Series 32A, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 1.32%, 1.32% Floor), 1.56%, 01/15/32 144A † | 340,000 | 341,541 | ||
KREF, Ltd., Series 2018-FL1, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.10%, 1.10% Floor), 1.25%, 06/15/36 144A † | 1,450,000 | 1,444,636 | ||
LCM XVIII LP, Series 19A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 1.24%, 1.24% Floor), 1.48%, 07/15/27 144A † | 236,226 | 236,352 | ||
Loanpal Solar Loan, Ltd., Series 2021-1GS, Class A | ||||
2.29%, 01/20/48 144A | 910,000 | 919,425 |
Par | Value | |||
LP Credit Card ABS Master Trust, Series 2018-1, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.55%), 1.74%, 08/20/24 144A † | $1,168,162 | $1,208,448 | ||
Madison Park Funding XXX, Ltd., Series 2018-30A, Class A | ||||
(Floating, ICE LIBOR USD 3M + 0.75%, 0.75% Floor), 0.99%, 04/15/29 144A † | 2,750,000 | 2,748,986 | ||
Magnetite VIII, Ltd., Series 2014-8A, Class CR2 | ||||
(Floating, ICE LIBOR USD 3M + 1.85%, 1.85% Floor), 2.09%, 04/15/31 144A † | 500,000 | 493,154 | ||
Mill City Mortgage Loan Trust, Series 2017-2, Class A3 | ||||
2.93%, 07/25/59 144A † γ | 284,754 | 297,538 | ||
Mississippi Higher Education Assistance Corporation, Series 2014-1, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.68%, 0.68% Floor), 0.83%, 10/25/35† | 402,163 | 400,200 | ||
NADG NNN Operating LP, Series 2019-1, Class A | ||||
3.37%, 12/28/49 144A | 885,550 | 911,522 | ||
Navient Student Loan Trust, Series 2016-6A, Class A3 | ||||
(Floating, ICE LIBOR USD 1M + 1.30%), 1.45%, 03/25/66 144A † | 6,000,000 | 6,136,322 | ||
Navient Student Loan Trust, Series 2017-2A, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.05%), 1.20%, 12/27/66 144A † | 1,310,426 | 1,328,473 | ||
Navient Student Loan Trust, Series 2020-1A, Class A1B | ||||
(Floating, ICE LIBOR USD 1M + 1.05%), 1.20%, 06/25/69 144A † | 2,238,308 | 2,271,065 | ||
Neuberger Berman Loan Advisers CLO, Ltd., Series 2018-29A, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 1.13%, 1.13% Floor), 1.35%, 10/19/31 144A † | 750,000 | 747,906 | ||
Oak Street Investment Grade Net Lease Fund, Series 2020-1A, Class A1 | ||||
1.85%, 11/20/50 144A | 679,012 | 686,489 | ||
Ocean Trails CLO IX, Series 2020-9A, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 1.87%, 1.87% Floor), 2.15%, 10/15/29 144A † | 1,080,000 | 1,079,340 | ||
Octagon Investment Partners 36, Ltd., Series 2018-1A, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 0.97%), 1.21%, 04/15/31 144A † | 700,000 | 696,088 |
Par | Value | |||
Octagon Investment Partners 45, Ltd., Series 2019-1A, Class A | ||||
(Floating, ICE LIBOR USD 3M + 1.33%, 1.33% Floor), 1.57%, 10/15/32 144A † | $ 750,000 | $ 756,185 | ||
OHA Credit Funding 7, Ltd., Series 2020-7A, Class A | ||||
(Floating, ICE LIBOR USD 3M + 1.25%, 1.25% Floor), 1.47%, 10/19/32 144A † | 270,000 | 271,385 | ||
OHA Loan Funding, Ltd., Series 2015-1A, Class A1R2 | ||||
(Floating, ICE LIBOR USD 3M + 1.34%, 1.34% Floor), 1.56%, 11/15/32 144A † | 1,170,000 | 1,177,147 | ||
Orec, Ltd., Series 2018-CRE1, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.18%, 1.18% Floor), 1.34%, 06/15/36 144A † | 750,000 | 742,324 | ||
Owl Rock CLO III, Ltd., Series 2020-3A, Class A1L | ||||
(Floating, ICE LIBOR USD 3M + 1.80%), 2.02%, 04/20/32 144A † | 600,000 | 598,029 | ||
PHEAA Student Loan Trust, Series 2012-1A, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.55%), 0.70%, 05/25/57 144A † | 500,340 | 500,158 | ||
PHEAA Student Loan Trust, Series 2016-1A, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.15%, 1.15% Floor), 1.30%, 09/25/65 144A † | 457,089 | 464,987 | ||
PHEAA Student Loan Trust, Series 2016-2A, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.95%), 1.10%, 11/25/65 144A † | 413,168 | 414,201 | ||
RAMP Trust, Series 2005-EFC6, Class M2 | ||||
(Floating, ICE LIBOR USD 1M + 0.65%, 0.65% Floor, 14.00% Cap), 0.79%, 11/25/35† | 704,971 | 704,375 | ||
Recette CLO, Ltd., Series 2015-1A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 0.92%), 1.14%, 10/20/27 144A † | 151,049 | 150,884 | ||
Santander Drive Auto Receivables Trust, Series 2020-2, Class A2A | ||||
0.62%, 05/15/23 | 1,268,135 | 1,269,258 | ||
Saxon Asset Securities Trust, Series 2004-1, Class M1 | ||||
(Floating, ICE LIBOR USD 1M + 0.80%, 0.80% Floor, 10.28% Cap), 0.94%, 03/25/35† | 179,152 | 175,748 | ||
SBA Small Business Investment Cos., Series 2018-10B, Class 1 | ||||
3.55%, 09/10/28 | 167,914 | 183,314 |
Par | Value | |||
Shackleton CLO, Ltd., Series 2014-6RA, Class A | ||||
(Floating, ICE LIBOR USD 3M + 1.02%, 1.02% Floor), 1.24%, 07/17/28 144A † | $ 489,202 | $ 488,541 | ||
SLC Student Loan Trust, Series 2005-3, Class A3 | ||||
(Floating, ICE LIBOR USD 3M + 0.12%), 0.34%, 06/15/29† | 387,541 | 385,390 | ||
SLM Student Loan Trust, Series 2003-10A, Class A3 | ||||
(Floating, ICE LIBOR USD 3M + 0.47%), 0.69%, 12/15/27 144A † | 1,094,046 | 1,094,079 | ||
SLM Student Loan Trust, Series 2005-4, Class A3 | ||||
(Floating, ICE LIBOR USD 3M + 0.12%), 0.33%, 01/25/27† | 69,141 | 68,762 | ||
SLM Student Loan Trust, Series 2005-5, Class A4 | ||||
(Floating, ICE LIBOR USD 3M + 0.14%, 0.14% Floor), 0.35%, 10/25/28† | 483,661 | 481,008 | ||
SLM Student Loan Trust, Series 2007-1, Class A5 | ||||
(Floating, ICE LIBOR USD 3M + 0.09%), 0.30%, 01/26/26† | 788,314 | 787,998 | ||
SMB Private Education Loan Trust, Series 2020-B, Class A1A | ||||
1.29%, 07/15/53 144A | 592,682 | 595,512 | ||
Sonic Capital LLC, Series 2020-1A, Class A2I | ||||
3.85%, 01/20/50 144A | 664,417 | 712,597 | ||
Sound Point CLO XX, Ltd., Series 2018-2A, Class A | ||||
(Floating, ICE LIBOR USD 3M + 1.10%), 1.31%, 07/26/31 144A † | 500,000 | 497,167 | ||
Specialty Underwriting & Residential Finance Trust, Series 2004-BC3, Class M1 | ||||
(Floating, ICE LIBOR USD 1M + 0.93%, 0.93% Floor), 1.08%, 07/25/35† | 1,141,694 | 1,139,215 | ||
Structured Asset Investment Loan Trust, Series 2005-1, Class M3 | ||||
(Floating, ICE LIBOR USD 1M + 0.78%, 0.78% Floor), 0.93%, 02/25/35 144A † | 2,700,000 | 2,711,301 | ||
TIAA CLO II, Ltd., Series 2017-1A, Class A | ||||
(Floating, ICE LIBOR USD 3M + 1.28%), 1.50%, 04/20/29 144A † | 3,950,000 | 3,955,726 | ||
Towd Point Mortgage Trust, Series 2019-4, Class M1B | ||||
3.00%, 10/25/59 144A | 690,000 | 725,519 | ||
Tralee CLO III, Ltd., Series 2014-3A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 1.03%), 1.25%, 10/20/27 144A † | 461,323 | 461,178 |
Par | Value | |||
Tralee CLO VI, Ltd., Series 2019-6A, Class AS | ||||
(Floating, ICE LIBOR USD 3M + 1.30%), 1.51%, 10/25/32 144A † | $ 620,000 | $ 619,537 | ||
Tryon Park CLO, Ltd., Series 2013-1A, Class A1SR | ||||
(Floating, ICE LIBOR USD 3M + 0.89%), 1.13%, 04/15/29 144A † | 2,440,000 | 2,428,554 | ||
United States Small Business Administration, Series 2019-20D, Class 1 | ||||
2.98%, 04/01/39 | 213,068 | 233,126 | ||
United States Small Business Administration, Series 2019-25G, Class 1 | ||||
2.69%, 07/01/44 | 212,316 | 229,848 | ||
Utah State Board of Regents, Series 2015-1, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.60%, 0.60% Floor), 0.75%, 02/25/43† | 316,526 | 316,027 | ||
Venture 39 CLO, Ltd., Series 2020-39A, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 1.28%, 1.28% Floor), 1.52%, 04/15/33 144A † | 2,525,000 | 2,532,459 | ||
Vibrant CLO VI, Ltd., Series 2017-6A, Class A | ||||
(Floating, ICE LIBOR USD 3M + 1.24%), 1.48%, 06/20/29 144A † | 2,750,000 | 2,756,554 | ||
Voya CLO, Ltd., Series 2016-3A, Class A1R | ||||
(Floating, ICE LIBOR USD 3M + 1.19%), 1.41%, 10/18/31 144A † | 500,000 | 500,500 | ||
Voya CLO, Ltd., Series 2017-3A, Class A1A | ||||
(Floating, ICE LIBOR USD 3M + 1.23%), 1.45%, 07/20/30 144A † | 4,150,000 | 4,162,341 | ||
Voya CLO, Ltd., Series 2018-3A, Class A1A | ||||
(Floating, ICE LIBOR USD 3M + 1.15%, 1.15% Floor), 1.39%, 10/15/31 144A † | 1,500,000 | 1,503,406 | ||
Voya CLO, Ltd., Series 2019-1A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 1.06%, 1.06% Floor), 1.30%, 04/15/31 144A † | 1,700,000 | 1,699,542 | ||
Wellfleet CLO, Ltd., Series 2020-2A, Class A | ||||
(Floating, ICE LIBOR USD 3M + 1.85%, 1.85% Floor), 2.05%, 07/15/31 144A † | 510,000 | 512,773 |
Par | Value | |||
Whitebox CLO II, Ltd., Series 2020-2A, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 1.75%, 1.75% Floor), 1.99%, 10/24/31 144A † | $ 620,000 | $ 623,173 | ||
Whitehorse XII, Ltd., Series 2018-12A, Class D | ||||
(Floating, ICE LIBOR USD 3M + 3.65%, 3.65% Floor), 3.89%, 10/15/31 144A † | 750,000 | 702,007 | ||
Total Asset-Backed Securities (Cost $97,348,457) | 97,011,261 | |||
CORPORATE BONDS — 30.9% | ||||
3M Co. | ||||
2.38%, 08/26/29 | 210,000 | 227,398 | ||
3.05%, 04/15/30 | 50,000 | 56,911 | ||
3.70%, 04/15/50 | 790,000 | 983,409 | ||
Abbott Laboratories | ||||
3.75%, 11/30/26 | 148,000 | 173,508 | ||
4.75%, 11/30/36 | 200,000 | 275,426 | ||
4.90%, 11/30/46 | 210,000 | 311,843 | ||
Activision Blizzard, Inc. | ||||
3.40%, 09/15/26 | 1,300,000 | 1,480,483 | ||
Adobe, Inc. | ||||
2.30%, 02/01/30 | 650,000 | 704,395 | ||
AEP Transmission Co. LLC | ||||
3.65%, 04/01/50 | 75,000 | 91,361 | ||
Aetna, Inc. | ||||
2.80%, 06/15/23 | 50,000 | 52,643 | ||
Agree LP REIT | ||||
2.90%, 10/01/30 | 175,000 | 186,288 | ||
Air Lease Corporation | ||||
3.38%, 07/01/25 | 1,430,000 | 1,539,401 | ||
2.88%, 01/15/26 | 475,000 | 503,078 | ||
3.75%, 06/01/26 | 875,000 | 963,172 | ||
3.25%, 10/01/29 | 45,000 | 47,736 | ||
Air Products and Chemicals, Inc. | ||||
2.80%, 05/15/50 | 300,000 | 330,405 | ||
Alaska Airlines Pass-Through Trust, Series 2020-1, Class A | ||||
4.80%, 08/15/27 144A | 1,700,000 | 1,874,250 | ||
Alexandria Real Estate Equities, Inc. REIT | ||||
3.80%, 04/15/26Δ | 900,000 | 1,036,321 | ||
2.75%, 12/15/29 | 1,400,000 | 1,524,288 | ||
3.38%, 08/15/31 | 360,000 | 412,835 | ||
Allegion US Holding Co., Inc. | ||||
3.20%, 10/01/24 | 400,000 | 427,659 | ||
Alliant Energy Finance LLC | ||||
3.75%, 06/15/23 144A | 275,000 | 294,843 | ||
4.25%, 06/15/28 144A | 75,000 | 87,126 | ||
Ally Financial, Inc. | ||||
1.45%, 10/02/23 | 250,000 | 255,338 | ||
Alphabet, Inc. | ||||
0.45%, 08/15/25Δ | 60,000 | 60,175 | ||
0.80%, 08/15/27 | 130,000 | 130,051 | ||
1.10%, 08/15/30 | 150,000 | 148,084 |
Par | Value | |||
2.05%, 08/15/50 | $ 230,000 | $ 220,243 | ||
Amazon.com, Inc. | ||||
0.80%, 06/03/25Δ | 310,000 | 314,882 | ||
1.20%, 06/03/27 | 390,000 | 398,334 | ||
3.15%, 08/22/27 | 270,000 | 307,592 | ||
1.50%, 06/03/30 | 360,000 | 366,593 | ||
4.80%, 12/05/34 | 1,750,000 | 2,403,730 | ||
3.88%, 08/22/37 | 200,000 | 249,806 | ||
4.95%, 12/05/44 | 220,000 | 323,501 | ||
4.05%, 08/22/47 | 290,000 | 383,603 | ||
2.50%, 06/03/50 | 310,000 | 322,314 | ||
4.25%, 08/22/57 | 160,000 | 228,477 | ||
Ambac LSNI LLC | ||||
(Floating, ICE LIBOR USD 3M + 5.00%), 6.00%, 02/12/23 144A † | 1,447,515 | 1,440,278 | ||
Amdocs, Ltd. | ||||
2.54%, 06/15/30 | 1,975,000 | 2,077,194 | ||
Ameren Corporation | ||||
3.50%, 01/15/31 | 125,000 | 144,462 | ||
American Airlines Pass-Through Trust, Series 2013-1, Class A | ||||
4.00%, 07/15/25 | 817,112 | 694,958 | ||
American Campus Communities Operating Partnership LP REIT | ||||
3.75%, 04/15/23 | 525,000 | 555,163 | ||
3.88%, 01/30/31 | 175,000 | 198,548 | ||
American Electric Power Co., Inc. | ||||
2.30%, 03/01/30 | 750,000 | 784,452 | ||
American Express Co. | ||||
3.40%, 02/22/24 | 50,000 | 54,288 | ||
2.50%, 07/30/24 | 645,000 | 688,782 | ||
3.00%, 10/30/24 | 35,000 | 38,247 | ||
American Homes 4 Rent LP REIT | ||||
4.90%, 02/15/29 | 309,000 | 373,642 | ||
American Honda Finance Corporation | ||||
2.90%, 02/16/24Δ | 55,000 | 58,870 | ||
American International Group, Inc. | ||||
4.13%, 02/15/24 | 75,000 | 83,079 | ||
2.50%, 06/30/25 | 150,000 | 161,351 | ||
3.90%, 04/01/26 | 825,000 | 941,171 | ||
4.20%, 04/01/28 | 1,850,000 | 2,198,900 | ||
3.40%, 06/30/30 | 625,000 | 716,733 | ||
6.25%, 03/15/37 | 278,000 | 313,643 | ||
American Tower Corporation REIT | ||||
3.38%, 05/15/24 | 825,000 | 897,637 | ||
3.38%, 10/15/26 | 1,500,000 | 1,686,316 | ||
2.10%, 06/15/30 | 525,000 | 539,765 | ||
American Tower Trust #1 REIT | ||||
3.07%, 03/15/23 144A | 940,000 | 960,053 | ||
Amgen, Inc. | ||||
3.63%, 05/22/24 | 115,000 | 126,288 | ||
4.66%, 06/15/51 | 34,000 | 46,462 | ||
Anthem, Inc. | ||||
2.95%, 12/01/22 | 390,000 | 408,824 | ||
3.35%, 12/01/24 | 130,000 | 143,314 |
Par | Value | |||
3.65%, 12/01/27 | $ 250,000 | $ 288,466 | ||
Apache Corporation | ||||
3.25%, 04/15/22 | 24,000 | 24,240 | ||
4.38%, 10/15/28 | 20,000 | 20,850 | ||
4.25%, 01/15/30Δ | 60,000 | 63,113 | ||
5.10%, 09/01/40 | 180,000 | 192,263 | ||
4.75%, 04/15/43 | 40,000 | 41,550 | ||
4.25%, 01/15/44Δ | 300,000 | 296,739 | ||
Apple, Inc. | ||||
1.55%, 08/04/21 | 20,000 | 20,145 | ||
3.00%, 02/09/24 | 15,000 | 16,146 | ||
2.85%, 05/11/24 | 35,000 | 37,756 | ||
1.13%, 05/11/25 | 630,000 | 648,411 | ||
2.45%, 08/04/26 | 595,000 | 649,777 | ||
2.90%, 09/12/27 | 3,050,000 | 3,413,197 | ||
4.50%, 02/23/36 | 10,000 | 13,493 | ||
Applied Materials, Inc. | ||||
1.75%, 06/01/30 | 300,000 | 311,723 | ||
Arch Capital Finance LLC | ||||
4.01%, 12/15/26 | 600,000 | 698,576 | ||
Arch Capital Group, Ltd. | ||||
7.35%, 05/01/34 | 175,000 | 264,829 | ||
Archer-Daniels-Midland Co. | ||||
3.25%, 03/27/30 | 150,000 | 173,611 | ||
Arrow Electronics, Inc. | ||||
4.50%, 03/01/23 | 1,200,000 | 1,286,235 | ||
AT&T, Inc. | ||||
4.45%, 04/01/24 | 790,000 | 882,632 | ||
2.30%, 06/01/27 | 2,380,000 | 2,541,323 | ||
1.65%, 02/01/28 | 540,000 | 551,678 | ||
2.75%, 06/01/31 | 1,700,000 | 1,818,276 | ||
2.25%, 02/01/32 | 1,700,000 | 1,727,821 | ||
2.55%, 12/01/33 144A | 2,839,000 | 2,916,667 | ||
5.25%, 03/01/37 | 275,000 | 358,308 | ||
4.90%, 08/15/37 | 200,000 | 251,390 | ||
3.50%, 06/01/41 | 400,000 | 432,496 | ||
3.10%, 02/01/43 | 870,000 | 885,806 | ||
4.35%, 06/15/45 | 94,000 | 108,775 | ||
5.45%, 03/01/47 | 575,000 | 779,637 | ||
4.50%, 03/09/48 | 197,000 | 236,031 | ||
3.50%, 09/15/53 144A | 1,848,000 | 1,857,869 | ||
3.55%, 09/15/55 144A | 301,000 | 300,575 | ||
3.65%, 09/15/59 144A | 37,000 | 37,438 | ||
AutoNation, Inc. | ||||
4.75%, 06/01/30 | 225,000 | 271,060 | ||
Avangrid, Inc. | ||||
3.20%, 04/15/25 | 275,000 | 301,351 | ||
Baker Hughes a GE Co. LLC | ||||
4.08%, 12/15/47 | 40,000 | 45,273 | ||
Bank of America Corporation | ||||
3.30%, 01/11/23 | 120,000 | 127,263 | ||
(Variable, ICE LIBOR USD 3M + 0.79%), 3.00%, 12/20/23^ | 329,000 | 346,408 | ||
(Floating, ICE LIBOR USD 3M + 0.79%), 1.02%, 03/05/24† | 1,500,000 | 1,511,687 | ||
(Variable, ICE LIBOR USD 3M + 0.78%), 3.55%, 03/05/24^ | 560,000 | 598,431 |
Par | Value | |||
4.00%, 04/01/24 | $ 420,000 | $ 466,441 | ||
(Floating, ICE LIBOR USD 3M + 0.96%), 1.17%, 07/23/24† | 900,000 | 912,198 | ||
(Variable, ICE LIBOR USD 3M + 0.94%), 3.86%, 07/23/24^ | 225,000 | 244,035 | ||
4.20%, 08/26/24 | 1,295,000 | 1,450,471 | ||
(Variable, ICE LIBOR USD 3M + 3.71%), 6.25%, 09/05/24ρ ^ | 300,000 | 332,979 | ||
(Variable, ICE LIBOR USD 3M + 4.17%), 6.50%, 10/23/24ρ ^ | 150,000 | 171,750 | ||
4.00%, 01/22/25 | 440,000 | 494,700 | ||
(Variable, ICE LIBOR USD 3M + 0.97%), 3.46%, 03/15/25^ | 30,000 | 32,679 | ||
(Variable, ICE LIBOR USD 3M + 1.09%), 3.09%, 10/01/25^ | 2,200,000 | 2,382,806 | ||
(Variable, ICE LIBOR USD 3M + 0.87%), 2.46%, 10/22/25^ | 35,000 | 37,331 | ||
(Variable, ICE LIBOR USD 3M + 0.81%), 3.37%, 01/23/26^ | 65,000 | 71,600 | ||
4.45%, 03/03/26 | 420,000 | 489,760 | ||
3.50%, 04/19/26 | 1,260,000 | 1,429,041 | ||
(Variable, U.S. SOFR + 1.15%), 1.32%, 06/19/26^ | 60,000 | 61,333 | ||
4.25%, 10/22/26 | 480,000 | 563,466 | ||
(Variable, U.S. SOFR + 1.01%), 1.20%, 10/24/26^ | 2,200,000 | 2,230,332 | ||
3.25%, 10/21/27 | 875,000 | 979,728 | ||
4.18%, 11/25/27 | 825,000 | 957,832 | ||
(Variable, ICE LIBOR USD 3M + 1.37%), 3.59%, 07/21/28^ | 860,000 | 977,554 | ||
(Variable, ICE LIBOR USD 3M + 1.04%), 3.42%, 12/20/28^ | 694,000 | 784,394 | ||
(Variable, ICE LIBOR USD 3M + 1.07%), 3.97%, 03/05/29^ | 300,000 | 350,721 | ||
(Variable, ICE LIBOR USD 3M + 1.31%), 4.27%, 07/23/29^ | 525,000 | 625,553 | ||
(Variable, ICE LIBOR USD 3M + 1.19%), 2.88%, 10/22/30^ | 500,000 | 549,485 | ||
(Variable, ICE LIBOR USD 3M + 0.99%), 2.50%, 02/13/31^ | 75,000 | 79,720 | ||
(Variable, U.S. SOFR + 2.15%), 2.59%, 04/29/31^ | 4,635,000 | 4,971,730 | ||
(Variable, U.S. SOFR + 1.53%), 1.90%, 07/23/31^ | 400,000 | 404,489 | ||
6.11%, 01/29/37 | 500,000 | 729,924 | ||
(Variable, ICE LIBOR USD 3M + 1.81%), 4.24%, 04/24/38^ | 30,000 | 37,003 | ||
5.00%, 01/21/44 | 790,000 | 1,110,614 | ||
(Variable, ICE LIBOR USD 3M + 1.19%), 3.95%, 01/23/49^ | 270,000 | 338,083 | ||
(Variable, ICE LIBOR USD 3M + 1.52%), 4.33%, 03/15/50^ | 170,000 | 223,435 | ||
(Variable, ICE LIBOR USD 3M + 3.15%), 4.08%, 03/20/51^ | 990,000 | 1,253,713 | ||
Banner Health | ||||
2.34%, 01/01/30 | 490,000 | 523,326 | ||
Barrick North America Finance LLC | ||||
5.70%, 05/30/41 | 150,000 | 217,621 | ||
Bausch Health Americas, Inc. | ||||
9.25%, 04/01/26 144A | 200,000 | 223,260 |
Par | Value | |||
Becton, Dickinson and Co. | ||||
3.36%, 06/06/24 | $ 855,000 | $ 929,882 | ||
3.73%, 12/15/24 | 171,000 | 189,684 | ||
3.70%, 06/06/27 | 685,000 | 786,553 | ||
2.82%, 05/20/30 | 650,000 | 715,281 | ||
4.69%, 12/15/44 | 270,000 | 349,327 | ||
4.67%, 06/06/47 | 625,000 | 822,016 | ||
3.79%, 05/20/50 | 25,000 | 29,779 | ||
Berkshire Hathaway Energy Co. | ||||
3.25%, 04/15/28 | 400,000 | 457,842 | ||
3.70%, 07/15/30 144A | 400,000 | 474,472 | ||
4.25%, 10/15/50 144A | 50,000 | 65,007 | ||
Berkshire Hathaway Finance Corporation | ||||
1.85%, 03/12/30 | 725,000 | 764,985 | ||
4.25%, 01/15/49 | 460,000 | 612,154 | ||
Berry Global, Inc. | ||||
1.57%, 01/15/26 144A | 375,000 | 378,863 | ||
Block Financial LLC | ||||
3.88%, 08/15/30 | 1,600,000 | 1,729,813 | ||
BMW US Capital LLC | ||||
1.85%, 09/15/21 144A | 60,000 | 60,564 | ||
Boeing Co. (The) | ||||
4.88%, 05/01/25 | 850,000 | 969,674 | ||
2.70%, 02/01/27 | 70,000 | 72,850 | ||
2.80%, 03/01/27 | 110,000 | 114,475 | ||
5.15%, 05/01/30 | 880,000 | 1,066,611 | ||
3.60%, 05/01/34 | 35,000 | 36,950 | ||
3.25%, 02/01/35 | 675,000 | 692,986 | ||
6.63%, 02/15/38 | 210,000 | 282,168 | ||
3.55%, 03/01/38 | 70,000 | 71,593 | ||
5.71%, 05/01/40 | 340,000 | 442,053 | ||
3.85%, 11/01/48 | 25,000 | 25,875 | ||
3.75%, 02/01/50 | 200,000 | 210,692 | ||
5.81%, 05/01/50 | 1,850,000 | 2,553,690 | ||
5.93%, 05/01/60 | 10,000 | 14,212 | ||
Booking Holdings, Inc. | ||||
4.10%, 04/13/25 | 175,000 | 198,659 | ||
BorgWarner, Inc. | ||||
5.00%, 10/01/25 144A | 30,000 | 35,298 | ||
Boston Properties LP REIT | ||||
4.50%, 12/01/28 | 930,000 | 1,113,794 | ||
Boston Scientific Corporation | ||||
3.45%, 03/01/24 | 40,000 | 43,374 | ||
2.65%, 06/01/30 | 1,900,000 | 2,037,588 | ||
BP Capital Markets America, Inc. | ||||
2.94%, 04/06/23Δ | 30,000 | 31,674 | ||
3.22%, 11/28/23 | 370,000 | 397,171 | ||
3.79%, 02/06/24 | 50,000 | 54,665 | ||
3.12%, 05/04/26 | 570,000 | 631,529 | ||
3.54%, 04/06/27 | 50,000 | 56,983 | ||
4.23%, 11/06/28 | 1,550,000 | 1,853,598 | ||
3.63%, 04/06/30 | 490,000 | 571,277 | ||
3.00%, 02/24/50 | 470,000 | 483,496 | ||
Brighthouse Financial, Inc. | ||||
3.70%, 06/22/27 | 449,000 | 488,707 | ||
Bristol-Myers Squibb Co. | ||||
2.25%, 08/15/21 | 270,000 | 273,005 |
Par | Value | |||
2.60%, 05/16/22Δ | $ 300,000 | $ 309,612 | ||
3.55%, 08/15/22Δ | 170,000 | 179,217 | ||
3.63%, 05/15/24 | 65,000 | 71,292 | ||
2.90%, 07/26/24 | 750,000 | 814,756 | ||
3.88%, 08/15/25 | 1,735,000 | 1,980,480 | ||
3.20%, 06/15/26 | 120,000 | 135,115 | ||
3.40%, 07/26/29 | 500,000 | 582,509 | ||
5.00%, 08/15/45 | 110,000 | 159,354 | ||
4.25%, 10/26/49 | 600,000 | 812,865 | ||
Broadcom Corporation | ||||
3.13%, 01/15/25 | 625,000 | 675,235 | ||
3.88%, 01/15/27 | 3,950,000 | 4,435,431 | ||
3.50%, 01/15/28 | 28,000 | 30,890 | ||
Broadcom, Inc. | ||||
2.25%, 11/15/23 | 410,000 | 428,495 | ||
4.70%, 04/15/25 | 1,985,000 | 2,275,625 | ||
3.15%, 11/15/25 | 470,000 | 513,791 | ||
4.25%, 04/15/26 | 1,975,000 | 2,263,423 | ||
3.46%, 09/15/26 | 3,431,000 | 3,811,726 | ||
4.30%, 11/15/32Δ | 800,000 | 950,619 | ||
Calpine Corporation | ||||
4.50%, 02/15/28 144A | 495,000 | 515,543 | ||
Camden Property Trust REIT | ||||
3.15%, 07/01/29 | 65,000 | 73,285 | ||
Cameron LNG LLC | ||||
2.90%, 07/15/31 144A | 70,000 | 76,763 | ||
3.30%, 01/15/35 144A | 460,000 | 520,546 | ||
Capital One Financial Corporation | ||||
3.50%, 06/15/23 | 325,000 | 349,005 | ||
3.30%, 10/30/24 | 345,000 | 379,197 | ||
Carrier Global Corporation | ||||
2.49%, 02/15/27 | 1,225,000 | 1,323,291 | ||
2.72%, 02/15/30 | 1,775,000 | 1,901,212 | ||
2.70%, 02/15/31 | 40,000 | 43,052 | ||
3.38%, 04/05/40 | 110,000 | 120,929 | ||
3.58%, 04/05/50 | 50,000 | 56,107 | ||
CenterPoint Energy, Inc. | ||||
4.25%, 11/01/28 | 700,000 | 829,956 | ||
CH Robinson Worldwide, Inc. | ||||
4.20%, 04/15/28 | 1,500,000 | 1,776,735 | ||
Charles Schwab Corporation (The) | ||||
3.25%, 05/22/29 | 10,000 | 11,490 | ||
Charter Communications Operating LLC | ||||
4.46%, 07/23/22 | 1,700,000 | 1,792,699 | ||
4.91%, 07/23/25 | 8,890,000 | 10,331,377 | ||
4.20%, 03/15/28 | 510,000 | 588,761 | ||
5.05%, 03/30/29 | 460,000 | 559,675 | ||
6.38%, 10/23/35 | 15,000 | 20,593 | ||
5.38%, 04/01/38 | 300,000 | 375,121 | ||
6.48%, 10/23/45 | 140,000 | 198,445 | ||
4.80%, 03/01/50 | 130,000 | 155,531 | ||
Chevron Corporation | ||||
2.90%, 03/03/24 | 65,000 | 69,723 | ||
1.55%, 05/11/25 | 2,210,000 | 2,299,782 | ||
2.95%, 05/16/26 | 350,000 | 388,501 | ||
2.00%, 05/11/27 | 100,000 | 106,142 |
Par | Value | |||
Choice Hotels International, Inc. | ||||
3.70%, 12/01/29 | $1,500,000 | $1,640,677 | ||
Chubb INA Holdings, Inc. | ||||
3.35%, 05/03/26 | 120,000 | 135,329 | ||
Cigna Corporation | ||||
3.40%, 09/17/21 | 240,000 | 245,194 | ||
3.75%, 07/15/23 | 539,000 | 582,834 | ||
4.13%, 11/15/25 | 180,000 | 207,454 | ||
3.40%, 03/01/27 | 65,000 | 73,493 | ||
4.38%, 10/15/28 | 460,000 | 556,361 | ||
2.40%, 03/15/30 | 1,250,000 | 1,333,853 | ||
4.80%, 08/15/38 | 400,000 | 522,109 | ||
3.20%, 03/15/40 | 1,250,000 | 1,374,607 | ||
4.90%, 12/15/48 | 500,000 | 688,737 | ||
Cimarex Energy Co. | ||||
3.90%, 05/15/27 | 650,000 | 716,978 | ||
4.38%, 03/15/29Δ | 300,000 | 340,567 | ||
Cintas Corporation No. 2 | ||||
2.90%, 04/01/22 | 180,000 | 185,323 | ||
3.70%, 04/01/27 | 190,000 | 219,094 | ||
Cisco Systems, Inc. | ||||
5.50%, 01/15/40 | 75,000 | 112,401 | ||
CIT Bank NA | ||||
(Variable, U.S. SOFR + 1.72%), 2.97%, 09/27/25^ | 550,000 | 577,156 | ||
Citigroup, Inc. | ||||
(Variable, ICE LIBOR USD 3M + 4.07%), 5.95%, 01/30/23ρ ^ | 170,000 | 178,501 | ||
3.50%, 05/15/23 | 220,000 | 235,792 | ||
(Variable, U.S. SOFR + 1.67%), 1.68%, 05/15/24^ | 2,230,000 | 2,298,481 | ||
(Variable, ICE LIBOR USD 3M + 1.02%), 4.04%, 06/01/24^ | 60,000 | 65,275 | ||
(Variable, ICE LIBOR USD 3M + 3.91%), 5.95%, 05/15/25ρ Δ ^ | 580,000 | 635,100 | ||
4.40%, 06/10/25 | 450,000 | 514,698 | ||
5.50%, 09/13/25 | 490,000 | 589,423 | ||
(Variable, U.S. SOFR + 2.75%), 3.11%, 04/08/26^ | 190,000 | 207,879 | ||
3.40%, 05/01/26 | 2,075,000 | 2,337,299 | ||
(Variable, ICE LIBOR USD 3M + 4.52%), 6.25%, 08/15/26ρ ^ | 150,000 | 172,419 | ||
3.20%, 10/21/26 | 500,000 | 559,264 | ||
4.30%, 11/20/26 | 1,675,000 | 1,952,617 | ||
4.45%, 09/29/27 | 2,305,000 | 2,726,445 | ||
(Variable, ICE LIBOR USD 3M + 1.39%), 3.67%, 07/24/28^ | 150,000 | 170,156 | ||
4.13%, 07/25/28 | 2,425,000 | 2,838,349 | ||
(Variable, U.S. SOFR + 3.91%), 4.41%, 03/31/31^ | 790,000 | 958,745 | ||
(Variable, U.S. SOFR + 2.11%), 2.57%, 06/03/31^ | 590,000 | 629,385 | ||
6.63%, 06/15/32 | 50,000 | 70,941 | ||
8.13%, 07/15/39 | 60,000 | 107,380 | ||
6.68%, 09/13/43 | 10,000 | 16,304 | ||
5.30%, 05/06/44 | 24,000 | 33,913 | ||
4.65%, 07/30/45 | 894,000 | 1,200,455 | ||
4.75%, 05/18/46 | 40,000 | 53,528 |
Par | Value | |||
4.65%, 07/23/48 | $ 160,000 | $ 221,254 | ||
Citizens Financial Group, Inc. | ||||
2.85%, 07/27/26 | 65,000 | 72,430 | ||
CNOOC Finance 2015 USA LLC | ||||
3.50%, 05/05/25 | 1,820,000 | 1,964,129 | ||
Coca-Cola Co. (The) | ||||
2.95%, 03/25/25 | 105,000 | 115,807 | ||
2.88%, 10/27/25Δ | 65,000 | 72,156 | ||
3.38%, 03/25/27 | 120,000 | 137,751 | ||
1.45%, 06/01/27 | 265,000 | 273,888 | ||
2.50%, 06/01/40 | 20,000 | 21,336 | ||
2.60%, 06/01/50 | 130,000 | 137,463 | ||
2.50%, 03/15/51 | 150,000 | 155,071 | ||
Comcast Corporation | ||||
3.70%, 04/15/24 | 55,000 | 60,539 | ||
3.10%, 04/01/25 | 245,000 | 269,788 | ||
3.38%, 08/15/25 | 275,000 | 307,143 | ||
3.95%, 10/15/25 | 477,000 | 548,367 | ||
3.15%, 03/01/26 | 130,000 | 145,240 | ||
3.30%, 02/01/27 | 344,000 | 388,511 | ||
3.30%, 04/01/27 | 1,710,000 | 1,946,599 | ||
4.15%, 10/15/28 | 970,000 | 1,168,433 | ||
3.40%, 04/01/30 | 150,000 | 173,589 | ||
4.25%, 10/15/30 | 810,000 | 998,196 | ||
5.65%, 06/15/35 | 420,000 | 603,616 | ||
6.50%, 11/15/35 | 30,000 | 46,474 | ||
3.90%, 03/01/38 | 30,000 | 36,762 | ||
3.25%, 11/01/39 | 400,000 | 454,796 | ||
3.75%, 04/01/40 | 165,000 | 199,884 | ||
3.40%, 07/15/46 | 50,000 | 57,714 | ||
4.00%, 03/01/48 | 40,000 | 50,481 | ||
4.70%, 10/15/48 | 200,000 | 279,911 | ||
3.45%, 02/01/50 | 1,220,000 | 1,442,428 | ||
CommonSpirit Health | ||||
4.35%, 11/01/42 | 40,000 | 47,003 | ||
Commonwealth Edison Co. | ||||
3.80%, 10/01/42 | 300,000 | 362,102 | ||
Conagra Brands, Inc. | ||||
4.30%, 05/01/24 | 65,000 | 72,778 | ||
Concho Resources, Inc. | ||||
3.75%, 10/01/27Δ | 170,000 | 194,408 | ||
4.30%, 08/15/28 | 480,000 | 567,838 | ||
ConocoPhillips | ||||
6.50%, 02/01/39 | 25,000 | 38,712 | ||
ConocoPhillips Co. | ||||
6.95%, 04/15/29 | 220,000 | 308,506 | ||
Consolidated Edison Co. of New York, Inc. | ||||
3.35%, 04/01/30 | 130,000 | 149,205 | ||
3.95%, 04/01/50 | 140,000 | 171,043 | ||
Continental Resources, Inc. | ||||
4.50%, 04/15/23Δ | 506,000 | 522,663 | ||
4.38%, 01/15/28Δ | 320,000 | 328,637 | ||
4.90%, 06/01/44 | 10,000 | 9,909 | ||
CoStar Group, Inc. | ||||
2.80%, 07/15/30 144A | 625,000 | 650,460 |
Par | Value | |||
Costco Wholesale Corporation | ||||
1.60%, 04/20/30 | $ 550,000 | $ 564,295 | ||
Cox Communications, Inc. | ||||
3.35%, 09/15/26 144A | 45,000 | 50,627 | ||
3.50%, 08/15/27 144A | 35,000 | 39,625 | ||
CRH America Finance, Inc. | ||||
3.95%, 04/04/28 144A | 500,000 | 582,592 | ||
Crown Castle International Corporation REIT | ||||
3.15%, 07/15/23 | 2,325,000 | 2,474,791 | ||
3.10%, 11/15/29 | 70,000 | 77,282 | ||
3.30%, 07/01/30 | 525,000 | 588,568 | ||
4.15%, 07/01/50 | 50,000 | 60,994 | ||
CSC Holdings LLC | ||||
3.38%, 02/15/31 144A | 780,000 | 766,350 | ||
CSX Corporation | ||||
3.25%, 06/01/27 | 65,000 | 73,572 | ||
3.80%, 04/15/50 | 25,000 | 31,096 | ||
CVS Health Corporation | ||||
3.35%, 03/09/21 | 112,000 | 112,616 | ||
2.75%, 12/01/22 | 210,000 | 218,380 | ||
3.70%, 03/09/23 | 99,000 | 105,944 | ||
2.63%, 08/15/24 | 205,000 | 219,784 | ||
3.88%, 07/20/25 | 788,000 | 892,954 | ||
3.63%, 04/01/27 | 200,000 | 227,909 | ||
4.30%, 03/25/28 | 1,931,000 | 2,299,226 | ||
3.75%, 04/01/30 | 890,000 | 1,036,964 | ||
4.13%, 04/01/40 | 80,000 | 96,232 | ||
2.70%, 08/21/40 | 100,000 | 101,468 | ||
5.13%, 07/20/45 | 775,000 | 1,045,029 | ||
5.05%, 03/25/48 | 730,000 | 990,980 | ||
4.25%, 04/01/50Δ | 230,000 | 288,221 | ||
CVS Pass-Through Trust | ||||
6.94%, 01/10/30 | 531,156 | 635,405 | ||
CyrusOne LP REIT | ||||
2.90%, 11/15/24 | 1,500,000 | 1,604,227 | ||
D.R. Horton, Inc. | ||||
4.38%, 09/15/22 | 800,000 | 844,158 | ||
DAE Funding LLC | ||||
5.00%, 08/01/24 144A | 700,000 | 718,812 | ||
Daimler Finance North America LLC | ||||
3.75%, 11/05/21 144A | 1,600,000 | 1,644,817 | ||
3.40%, 02/22/22 144A | 1,700,000 | 1,756,324 | ||
2.55%, 08/15/22 144A | 1,700,000 | 1,758,873 | ||
2.70%, 06/14/24 144A | 1,900,000 | 2,035,249 | ||
Deere & Co. | ||||
3.10%, 04/15/30 | 50,000 | 57,289 | ||
3.75%, 04/15/50 | 760,000 | 988,530 | ||
Dell International LLC | ||||
5.45%, 06/15/23 144A | 2,775,000 | 3,070,207 | ||
5.85%, 07/15/25 144A | 25,000 | 30,044 | ||
6.02%, 06/15/26 144A | 1,025,000 | 1,251,302 | ||
8.10%, 07/15/36 144A | 175,000 | 259,060 | ||
8.35%, 07/15/46 144A | 75,000 | 113,609 | ||
Delta Air Lines, Inc. | ||||
7.00%, 05/01/25 144A Δ | 2,250,000 | 2,599,713 | ||
4.50%, 10/20/25 144A | 700,000 | 748,558 |
Par | Value | |||
4.75%, 10/20/28 144A | $ 350,000 | $ 382,455 | ||
Depository Trust & Clearing Corporation (The) | ||||
(Variable, ICE LIBOR USD 3M + 3.17%), 3.38%, 03/15/21 144A † ρ | 750,000 | 721,875 | ||
Devon Energy Corporation | ||||
5.85%, 12/15/25 | 792,000 | 931,452 | ||
5.60%, 07/15/41 | 332,000 | 406,550 | ||
4.75%, 05/15/42 | 490,000 | 554,662 | ||
5.00%, 06/15/45 | 910,000 | 1,073,449 | ||
DH Europe Finance II S.a.r.l. | ||||
2.20%, 11/15/24 | 2,275,000 | 2,412,425 | ||
2.60%, 11/15/29 | 225,000 | 246,263 | ||
Diamond Sports Group LLC | ||||
5.38%, 08/15/26 144A | 405,000 | 329,822 | ||
Diamondback Energy, Inc. | ||||
5.38%, 05/31/25 | 70,000 | 72,877 | ||
3.25%, 12/01/26 | 90,000 | 96,218 | ||
3.50%, 12/01/29 | 160,000 | 171,187 | ||
Discover Financial Services | ||||
3.75%, 03/04/25 | 450,000 | 495,815 | ||
Discovery Communications LLC | ||||
3.63%, 05/15/30 | 1,800,000 | 2,064,349 | ||
5.20%, 09/20/47 | 45,000 | 58,540 | ||
DISH DBS Corporation | ||||
5.88%, 11/15/24Δ | 210,000 | 220,500 | ||
Dollar Tree, Inc. | ||||
4.00%, 05/15/25 | 325,000 | 367,137 | ||
4.20%, 05/15/28 | 400,000 | 476,367 | ||
Dominion Energy, Inc. | ||||
3.07%, 08/15/24 STEP | 675,000 | 729,059 | ||
3.38%, 04/01/30 | 225,000 | 256,599 | ||
Duke Energy Corporation | ||||
3.75%, 04/15/24 | 200,000 | 220,289 | ||
3.15%, 08/15/27Δ | 550,000 | 614,669 | ||
2.45%, 06/01/30 | 1,800,000 | 1,919,216 | ||
Duke Energy Ohio, Inc. | ||||
3.65%, 02/01/29 | 350,000 | 406,051 | ||
Duke Realty LP REIT | ||||
1.75%, 07/01/30 | 300,000 | 303,987 | ||
DuPont de Nemours, Inc. | ||||
4.21%, 11/15/23 | 175,000 | 193,118 | ||
4.49%, 11/15/25 | 350,000 | 408,836 | ||
4.73%, 11/15/28 | 350,000 | 431,460 | ||
5.32%, 11/15/38 | 55,000 | 74,584 | ||
5.42%, 11/15/48 | 25,000 | 36,389 | ||
East Ohio Gas Co. (The) | ||||
2.00%, 06/15/30 144A | 125,000 | 129,827 | ||
3.00%, 06/15/50 144A | 35,000 | 38,341 | ||
Eaton Corporation | ||||
2.75%, 11/02/22 | 410,000 | 427,968 | ||
4.15%, 11/02/42 | 200,000 | 253,792 | ||
Ecolab, Inc. | ||||
3.95%, 12/01/47 | 68,000 | 87,258 | ||
Emory University | ||||
1.57%, 09/01/25 | 1,600,000 | 1,663,534 |
Par | Value | |||
Enable Midstream Partners LP | ||||
4.95%, 05/15/28 | $ 900,000 | $ 931,253 | ||
Energizer Holdings, Inc. | ||||
7.75%, 01/15/27 144A | 425,000 | 472,653 | ||
Energy Transfer Operating LP | ||||
4.65%, 06/01/21 | 150,000 | 151,137 | ||
4.20%, 09/15/23 | 625,000 | 674,314 | ||
4.50%, 04/15/24 | 230,000 | 251,811 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 5.13%), 6.75%, 05/15/25ρ ^ | 200,000 | 183,250 | ||
5.50%, 06/01/27 | 1,225,000 | 1,443,744 | ||
4.95%, 06/15/28Δ | 110,000 | 126,866 | ||
5.25%, 04/15/29 | 1,410,000 | 1,647,357 | ||
3.75%, 05/15/30 | 660,000 | 712,740 | ||
5.30%, 04/15/47 | 125,000 | 138,615 | ||
6.00%, 06/15/48 | 50,000 | 59,001 | ||
6.25%, 04/15/49 | 70,000 | 84,791 | ||
Energy Transfer Partners LP | ||||
4.50%, 11/01/23 | 310,000 | 335,932 | ||
Entercom Media Corporation | ||||
6.50%, 05/01/27 144A | 175,000 | 178,467 | ||
Entergy Louisiana LLC | ||||
5.40%, 11/01/24 | 1,200,000 | 1,414,027 | ||
Enterprise Products Operating LLC | ||||
3.75%, 02/15/25 | 50,000 | 56,044 | ||
4.15%, 10/16/28 | 600,000 | 714,752 | ||
3.13%, 07/31/29 | 100,000 | 111,055 | ||
2.80%, 01/31/30Δ | 890,000 | 966,116 | ||
7.55%, 04/15/38 | 50,000 | 76,440 | ||
5.70%, 02/15/42 | 60,000 | 82,600 | ||
4.85%, 03/15/44 | 50,000 | 62,211 | ||
4.80%, 02/01/49 | 30,000 | 37,992 | ||
4.20%, 01/31/50 | 380,000 | 448,000 | ||
3.70%, 01/31/51 | 300,000 | 331,462 | ||
3.95%, 01/31/60 | 120,000 | 133,527 | ||
(Variable, ICE LIBOR USD 3M + 2.78%), 3.00%, 06/01/67† | 455,000 | 391,184 | ||
EOG Resources, Inc. | ||||
4.15%, 01/15/26Δ | 160,000 | 185,778 | ||
4.38%, 04/15/30 | 40,000 | 48,689 | ||
3.90%, 04/01/35 | 260,000 | 305,746 | ||
4.95%, 04/15/50 | 260,000 | 353,331 | ||
EPR Properties REIT | ||||
4.75%, 12/15/26 | 1,200,000 | 1,213,980 | ||
EQM Midstream Partners LP | ||||
4.00%, 08/01/24 | 335,000 | 345,648 | ||
4.13%, 12/01/26 | 1,800,000 | 1,816,317 | ||
5.50%, 07/15/28 | 300,000 | 328,494 | ||
EQT Corporation | ||||
3.00%, 10/01/22Δ | 20,000 | 20,188 | ||
7.88%, 02/01/25Δ | 20,000 | 22,803 | ||
3.90%, 10/01/27 | 60,000 | 59,720 | ||
Equinix, Inc. REIT | ||||
2.63%, 11/18/24 | 1,700,000 | 1,818,980 | ||
Equitable Holdings, Inc. | ||||
4.35%, 04/20/28 | 600,000 | 709,805 |
Par | Value | |||
ERAC USA Finance LLC | ||||
4.50%, 08/16/21 144A | $ 709,000 | $ 727,121 | ||
Estee Lauder Cos., Inc. (The) | ||||
3.13%, 12/01/49Δ | 30,000 | 34,897 | ||
Exelon Corporation | ||||
4.05%, 04/15/30 | 325,000 | 385,162 | ||
5.63%, 06/15/35 | 415,000 | 561,901 | ||
4.70%, 04/15/50 | 25,000 | 33,360 | ||
Exelon Generation Co. LLC | ||||
3.25%, 06/01/25 | 1,665,000 | 1,817,011 | ||
Expedia Group, Inc. | ||||
3.60%, 12/15/23 144A | 300,000 | 319,930 | ||
6.25%, 05/01/25 144A | 1,365,000 | 1,583,040 | ||
4.63%, 08/01/27 144A | 150,000 | 167,783 | ||
3.80%, 02/15/28 | 300,000 | 322,435 | ||
Exxon Mobil Corporation | ||||
1.57%, 04/15/23 | 50,000 | 51,443 | ||
3.18%, 03/15/24 | 60,000 | 64,781 | ||
2.99%, 03/19/25 | 660,000 | 722,938 | ||
3.04%, 03/01/26 | 280,000 | 310,448 | ||
3.48%, 03/19/30 | 540,000 | 628,995 | ||
4.11%, 03/01/46 | 260,000 | 321,214 | ||
4.33%, 03/19/50 | 190,000 | 249,661 | ||
3.45%, 04/15/51 | 250,000 | 286,276 | ||
Federal Realty Investment Trust REIT | ||||
3.50%, 06/01/30 | 1,900,000 | 2,107,947 | ||
Fidelity National Information Services, Inc. | ||||
4.25%, 05/15/28 | 60,000 | 71,506 | ||
Fifth Third Bancorp | ||||
3.65%, 01/25/24 | 35,000 | 38,194 | ||
2.38%, 01/28/25 | 375,000 | 399,548 | ||
FirstEnergy Corporation | ||||
4.25%, 03/15/23 | 290,000 | 306,377 | ||
1.60%, 01/15/26 | 100,000 | 97,854 | ||
3.90%, 07/15/27 | 725,000 | 800,062 | ||
2.65%, 03/01/30 | 750,000 | 753,568 | ||
2.25%, 09/01/30 | 325,000 | 314,780 | ||
7.38%, 11/15/31 | 1,825,000 | 2,605,561 | ||
Fiserv, Inc. | ||||
2.75%, 07/01/24 | 1,075,000 | 1,154,894 | ||
3.85%, 06/01/25 | 65,000 | 73,340 | ||
3.20%, 07/01/26 | 725,000 | 812,733 | ||
4.20%, 10/01/28 | 375,000 | 447,405 | ||
Florida Power & Light Co. | ||||
3.80%, 12/15/42 | 425,000 | 528,130 | ||
Ford Motor Credit Co. LLC | ||||
5.75%, 02/01/21 | 200,000 | 200,875 | ||
3.34%, 03/18/21 | 1,850,000 | 1,856,937 | ||
5.88%, 08/02/21 | 320,000 | 327,920 | ||
2.98%, 08/03/22 | 1,800,000 | 1,832,310 | ||
Fox Corporation | ||||
4.03%, 01/25/24 | 480,000 | 528,944 | ||
4.71%, 01/25/29 | 505,000 | 613,332 | ||
3.50%, 04/08/30 | 125,000 | 142,210 | ||
5.48%, 01/25/39 | 325,000 | 446,228 |
Par | Value | |||
5.58%, 01/25/49 | $ 80,000 | $ 117,131 | ||
Freeport-McMoRan, Inc. | ||||
3.88%, 03/15/23 | 10,000 | 10,453 | ||
4.55%, 11/14/24Δ | 10,000 | 10,944 | ||
5.45%, 03/15/43 | 192,000 | 239,397 | ||
GE Capital Funding LLC | ||||
4.05%, 05/15/27 144A Δ | 1,900,000 | 2,175,399 | ||
General Dynamics Corporation | ||||
3.50%, 05/15/25 | 40,000 | 44,756 | ||
4.25%, 04/01/40 | 60,000 | 78,264 | ||
4.25%, 04/01/50 | 180,000 | 245,979 | ||
General Electric Co. | ||||
2.70%, 10/09/22 | 75,000 | 78,210 | ||
3.45%, 05/01/27 | 195,000 | 220,678 | ||
3.63%, 05/01/30 | 525,000 | 600,722 | ||
6.75%, 03/15/32 | 80,000 | 112,308 | ||
5.88%, 01/14/38 | 30,000 | 40,732 | ||
6.88%, 01/10/39 | 555,000 | 818,450 | ||
4.25%, 05/01/40 | 325,000 | 384,735 | ||
4.35%, 05/01/50 | 1,105,000 | 1,346,214 | ||
General Mills, Inc. | ||||
4.20%, 04/17/28 | 600,000 | 719,834 | ||
General Motors Co. | ||||
5.40%, 10/02/23 | 535,000 | 599,448 | ||
4.00%, 04/01/25 | 200,000 | 221,708 | ||
6.13%, 10/01/25 | 220,000 | 267,075 | ||
5.15%, 04/01/38 | 110,000 | 132,414 | ||
5.95%, 04/01/49 | 300,000 | 406,673 | ||
General Motors Financial Co., Inc. | ||||
4.38%, 09/25/21 | 400,000 | 410,860 | ||
3.45%, 04/10/22 | 230,000 | 236,554 | ||
5.20%, 03/20/23 | 1,900,000 | 2,084,210 | ||
4.30%, 07/13/25 | 300,000 | 336,538 | ||
4.35%, 01/17/27 | 560,000 | 638,323 | ||
5.65%, 01/17/29 | 100,000 | 123,989 | ||
Genesis Energy LP | ||||
6.50%, 10/01/25 | 400,000 | 389,750 | ||
Gilead Sciences, Inc. | ||||
3.70%, 04/01/24 | 230,000 | 250,792 | ||
4.50%, 02/01/45 | 275,000 | 351,028 | ||
4.75%, 03/01/46 | 20,000 | 26,550 | ||
GlaxoSmithKline Capital, Inc. | ||||
6.38%, 05/15/38 | 45,000 | 71,136 | ||
Glencore Funding LLC | ||||
3.00%, 10/27/22 144A Δ | 10,000 | 10,391 | ||
4.13%, 05/30/23 144A | 20,000 | 21,644 | ||
4.13%, 03/12/24 144A | 1,155,000 | 1,272,264 | ||
4.63%, 04/29/24 144A | 658,000 | 735,414 | ||
4.00%, 03/27/27 144A | 525,000 | 594,670 | ||
3.88%, 10/27/27 144A | 300,000 | 338,772 | ||
Global Payments, Inc. | ||||
2.65%, 02/15/25 | 400,000 | 428,600 | ||
3.20%, 08/15/29 | 225,000 | 249,248 | ||
2.90%, 05/15/30 | 1,600,000 | 1,743,601 | ||
Goldman Sachs Capital II | ||||
(Variable, ICE LIBOR USD 3M + 0.77%), 4.00%, 02/08/21† ρ | 3,000 | 2,955 |
Par | Value | |||
Goldman Sachs Group, Inc. (The) | ||||
5.25%, 07/27/21 | $ 160,000 | $ 164,511 | ||
3.20%, 02/23/23 | 250,000 | 264,234 | ||
3.85%, 07/08/24 | 150,000 | 165,928 | ||
3.50%, 01/23/25 | 1,700,000 | 1,877,906 | ||
3.50%, 04/01/25 | 320,000 | 355,795 | ||
4.25%, 10/21/25 | 1,170,000 | 1,342,643 | ||
3.50%, 11/16/26 | 700,000 | 786,383 | ||
(Floating, ICE LIBOR USD 3M + 1.75%), 1.97%, 10/28/27† | 1,800,000 | 1,893,163 | ||
(Variable, ICE LIBOR USD 3M + 1.16%), 3.81%, 04/23/29^ | 1,140,000 | 1,320,313 | ||
(Variable, ICE LIBOR USD 3M + 1.30%), 4.22%, 05/01/29^ | 480,000 | 569,820 | ||
6.75%, 10/01/37 | 110,000 | 168,510 | ||
6.25%, 02/01/41 | 750,000 | 1,176,189 | ||
5.15%, 05/22/45 | 250,000 | 349,484 | ||
4.75%, 10/21/45 | 420,000 | 585,864 | ||
Goodman US Finance Three LLC REIT | ||||
3.70%, 03/15/28 144A | 1,000,000 | 1,091,630 | ||
Great-West Lifeco Finance 2018 LP | ||||
4.05%, 05/17/28 144A | 225,000 | 263,944 | ||
Guardian Life Global Funding | ||||
1.10%, 06/23/25 144A | 100,000 | 101,494 | ||
1.25%, 11/19/27 144A | 1,800,000 | 1,802,032 | ||
H&E Equipment Services, Inc. | ||||
3.88%, 12/15/28 144A | 325,000 | 328,884 | ||
Halliburton Co. | ||||
3.80%, 11/15/25Δ | 40,000 | 44,890 | ||
5.00%, 11/15/45 | 230,000 | 273,827 | ||
Hasbro, Inc. | ||||
3.55%, 11/19/26 | 20,000 | 22,351 | ||
HCA, Inc. | ||||
5.25%, 04/15/25 | 120,000 | 140,204 | ||
5.25%, 06/15/26 | 10,000 | 11,848 | ||
5.38%, 09/01/26 | 1,600,000 | 1,842,040 | ||
5.50%, 06/15/47 | 50,000 | 66,889 | ||
Healthcare Realty Trust, Inc. REIT | ||||
2.05%, 03/15/31 | 175,000 | 176,183 | ||
Healthcare Trust of America Holdings LP REIT | ||||
3.10%, 02/15/30 | 1,500,000 | 1,641,060 | ||
Healthpeak Properties, Inc. REIT | ||||
3.50%, 07/15/29 | 65,000 | 73,839 | ||
Hewlett Packard Enterprise Co. | ||||
2.25%, 04/01/23 | 1,000,000 | 1,036,765 | ||
4.45%, 10/02/23 | 1,350,000 | 1,486,056 | ||
4.65%, 10/01/24 | 585,000 | 664,600 | ||
4.90%, 10/15/25 | 915,000 | 1,071,180 | ||
6.35%, 10/15/45 | 155,000 | 204,586 | ||
Hilton Domestic Operating Co., Inc. | ||||
4.00%, 05/01/31 144A | 986,000 | 1,042,187 | ||
Home Depot, Inc. (The) | ||||
3.75%, 02/15/24 | 65,000 | 71,324 | ||
2.50%, 04/15/27 | 150,000 | 164,842 | ||
3.90%, 12/06/28Δ | 270,000 | 325,084 |
Par | Value | |||
2.70%, 04/15/30 | $ 170,000 | $ 189,892 | ||
3.30%, 04/15/40 | 450,000 | 531,521 | ||
3.35%, 04/15/50 | 830,000 | 989,681 | ||
Honeywell International, Inc. | ||||
1.35%, 06/01/25 | 180,000 | 186,574 | ||
Humana, Inc. | ||||
3.15%, 12/01/22 | 70,000 | 73,152 | ||
4.50%, 04/01/25 | 40,000 | 45,982 | ||
3.95%, 03/15/27 | 150,000 | 172,770 | ||
4.63%, 12/01/42 | 60,000 | 77,129 | ||
4.95%, 10/01/44 | 70,000 | 94,559 | ||
4.80%, 03/15/47 | 10,000 | 13,402 | ||
Huntington Bancshares, Inc. | ||||
4.00%, 05/15/25 | 550,000 | 623,346 | ||
Huntsman International LLC | ||||
4.50%, 05/01/29 | 325,000 | 375,099 | ||
Hyundai Capital America | ||||
2.75%, 09/27/26 | 70,000 | 74,403 | ||
IHS Markit, Ltd. | ||||
4.00%, 03/01/26 144A | 1,125,000 | 1,291,404 | ||
Intel Corporation | ||||
3.70%, 07/29/25 | 80,000 | 90,577 | ||
4.60%, 03/25/40 | 135,000 | 178,829 | ||
3.73%, 12/08/47 | 76,000 | 90,985 | ||
4.75%, 03/25/50 | 520,000 | 726,983 | ||
Intercontinental Exchange, Inc. | ||||
3.00%, 06/15/50 | 1,825,000 | 1,940,299 | ||
International Business Machines Corporation | ||||
3.00%, 05/15/24 | 720,000 | 780,339 | ||
Intuit, Inc. | ||||
1.35%, 07/15/27 | 175,000 | 179,325 | ||
1.65%, 07/15/30 | 125,000 | 128,571 | ||
ITC Holdings Corporation | ||||
2.95%, 05/14/30 144A | 1,900,000 | 2,080,938 | ||
JetBlue Pass-Through Trust, Series 2019-1, Class AA | ||||
2.75%, 05/15/32 | 2,023,185 | 2,031,599 | ||
JM Smucker Co. (The) | ||||
2.38%, 03/15/30 | 225,000 | 238,646 | ||
Johnson & Johnson | ||||
0.55%, 09/01/25 | 180,000 | 180,902 | ||
2.45%, 03/01/26 | 110,000 | 119,749 | ||
0.95%, 09/01/27 | 2,250,000 | 2,262,583 | ||
3.55%, 03/01/36 | 30,000 | 37,137 | ||
3.63%, 03/03/37 | 390,000 | 478,014 | ||
JPMorgan Chase & Co. | ||||
(Variable, ICE LIBOR USD 3M + 3.80%), 4.01%, 05/01/21† ρ | 1,260,000 | 1,256,125 | ||
(Variable, ICE LIBOR USD 3M + 0.73%), 3.56%, 04/23/24^ | 800,000 | 857,739 | ||
(Variable, U.S. SOFR + 1.46%), 1.51%, 06/01/24^ | 840,000 | 862,730 | ||
(Variable, ICE LIBOR USD 3M + 0.89%), 3.80%, 07/23/24^ | 1,775,000 | 1,926,150 | ||
3.88%, 09/10/24 | 860,000 | 963,542 |
Par | Value | |||
(Variable, ICE LIBOR USD 3M + 1.00%), 4.02%, 12/05/24^ | $1,425,000 | $1,570,476 | ||
(Variable, U.S. SOFR + 3.13%), 4.60%, 02/01/25ρ ^ | 875,000 | 904,531 | ||
(Variable, U.S. SOFR + 1.16%), 2.30%, 10/15/25^ | 650,000 | 690,368 | ||
(Variable, U.S. SOFR + 1.85%), 2.08%, 04/22/26^ | 460,000 | 486,219 | ||
2.95%, 10/01/26 | 700,000 | 777,007 | ||
(Variable, ICE LIBOR USD 3M + 1.25%), 3.96%, 01/29/27^ | 875,000 | 1,006,154 | ||
4.25%, 10/01/27 | 780,000 | 925,525 | ||
3.63%, 12/01/27 | 900,000 | 1,023,434 | ||
(Variable, ICE LIBOR USD 3M + 0.95%), 3.51%, 01/23/29^ | 1,720,000 | 1,957,987 | ||
(Variable, ICE LIBOR USD 3M + 1.26%), 4.20%, 07/23/29^ | 380,000 | 454,774 | ||
(Variable, ICE LIBOR USD 3M + 1.33%), 4.45%, 12/05/29^ | 170,000 | 207,560 | ||
(Variable, U.S. SOFR + 3.79%), 4.49%, 03/24/31^ | 75,000 | 92,403 | ||
(Variable, U.S. SOFR + 2.04%), 2.52%, 04/22/31^ | 3,210,000 | 3,454,619 | ||
(Variable, U.S. SOFR + 2.52%), 2.96%, 05/13/31^ | 300,000 | 329,384 | ||
(Variable, ICE LIBOR USD 3M + 1.36%), 3.88%, 07/24/38^ | 15,000 | 18,290 | ||
4.95%, 06/01/45 | 400,000 | 567,592 | ||
(Variable, U.S. SOFR + 2.44%), 3.11%, 04/22/51^ | 320,000 | 356,999 | ||
Keurig Dr. Pepper, Inc. | ||||
5.09%, 05/25/48 | 475,000 | 673,060 | ||
3.80%, 05/01/50 | 100,000 | 120,217 | ||
Keysight Technologies, Inc. | ||||
3.00%, 10/30/29 | 475,000 | 525,038 | ||
Kilroy Realty LP REIT | ||||
3.80%, 01/15/23 | 400,000 | 419,111 | ||
4.75%, 12/15/28 | 1,750,000 | 2,064,341 | ||
Kimberly-Clark Corporation | ||||
2.88%, 02/07/50 | 5,000 | 5,645 | ||
Kinder Morgan Energy Partners LP | ||||
3.95%, 09/01/22 | 520,000 | 545,933 | ||
3.50%, 09/01/23Δ | 2,250,000 | 2,412,309 | ||
4.25%, 09/01/24 | 980,000 | 1,095,542 | ||
Kinder Morgan, Inc. | ||||
4.30%, 03/01/28 | 60,000 | 70,451 | ||
5.20%, 03/01/48 | 10,000 | 12,739 | ||
KKR Group Finance Co. II LLC | ||||
5.50%, 02/01/43 144A | 30,000 | 39,704 | ||
Kraft Heinz Foods Co. | ||||
3.95%, 07/15/25 | 57,000 | 62,810 | ||
3.00%, 06/01/26 | 170,000 | 177,653 | ||
4.25%, 03/01/31 144A | 60,000 | 66,958 | ||
L3Harris Technologies, Inc. | ||||
5.05%, 04/27/45 | 110,000 | 152,562 | ||
Lam Research Corporation | ||||
1.90%, 06/15/30 | 350,000 | 364,173 |
Par | Value | |||
Lear Corporation | ||||
5.25%, 05/15/49 | $ 35,000 | $ 43,310 | ||
Lehman Escrow Bonds | ||||
0.00%, 01/18/12# | 200,000 | 2,240 | ||
0.00%, 01/24/13# | 2,300,000 | 25,760 | ||
0.00%, 07/19/17Ψ ††† # | 150,000 | — | ||
0.00%, 12/28/17Ψ ††† # | 3,340,000 | — | ||
0.00%, 02/11/21Ψ ††† # | 2,330,000 | — | ||
Level 3 Financing, Inc. | ||||
3.40%, 03/01/27 144A | 1,600,000 | 1,745,496 | ||
Life Storage LP REIT | ||||
3.88%, 12/15/27 | 900,000 | 1,029,512 | ||
Lincoln National Corporation | ||||
3.05%, 01/15/30 | 20,000 | 22,350 | ||
Lockheed Martin Corporation | ||||
3.10%, 01/15/23 | 40,000 | 42,048 | ||
3.55%, 01/15/26 | 310,000 | 352,365 | ||
4.50%, 05/15/36 | 50,000 | 66,031 | ||
Louisville Gas and Electric Co. | ||||
4.25%, 04/01/49 | 50,000 | 64,711 | ||
Lowe's Cos., Inc. | ||||
4.50%, 04/15/30 | 110,000 | 137,029 | ||
1.70%, 10/15/30 | 675,000 | 685,097 | ||
3.00%, 10/15/50 | 675,000 | 724,861 | ||
Marathon Petroleum Corporation | ||||
3.80%, 04/01/28 | 125,000 | 139,436 | ||
Marriott International, Inc. | ||||
2.13%, 10/03/22 | 1,500,000 | 1,523,320 | ||
Mars, Inc. | ||||
2.70%, 04/01/25 144A | 400,000 | 433,404 | ||
3.20%, 04/01/30 144A | 475,000 | 546,606 | ||
2.38%, 07/16/40 144A | 150,000 | 153,979 | ||
Marsh & McLennan Cos., Inc. | ||||
3.75%, 03/14/26 | 1,100,000 | 1,249,798 | ||
4.38%, 03/15/29 | 500,000 | 609,182 | ||
Mastercard, Inc. | ||||
3.30%, 03/26/27 | 250,000 | 285,459 | ||
3.85%, 03/26/50 | 310,000 | 401,256 | ||
McDonald’s Corporation | ||||
3.30%, 07/01/25Δ | 170,000 | 189,503 | ||
1.45%, 09/01/25 | 40,000 | 41,517 | ||
3.70%, 01/30/26 | 250,000 | 284,963 | ||
3.50%, 03/01/27 | 360,000 | 412,548 | ||
3.50%, 07/01/27 | 160,000 | 183,752 | ||
3.80%, 04/01/28 | 90,000 | 105,336 | ||
3.60%, 07/01/30 | 160,000 | 187,828 | ||
4.45%, 09/01/48 | 50,000 | 65,567 | ||
3.63%, 09/01/49 | 130,000 | 153,124 | ||
4.20%, 04/01/50 | 1,655,000 | 2,133,468 | ||
McKesson Corporation | ||||
3.80%, 03/15/24 | 65,000 | 71,373 | ||
Medtronic, Inc. | ||||
3.50%, 03/15/25 | 10,000 | 11,227 | ||
4.63%, 03/15/45 | 36,000 | 51,159 | ||
MetLife Capital Trust IV | ||||
7.88%, 12/15/37 144A | 300,000 | 423,750 | ||
MetLife, Inc. | ||||
6.40%, 12/15/36 | 50,000 | 64,812 |
Par | Value | |||
Metropolitan Life Global Funding I | ||||
3.45%, 12/18/26 144A | $1,700,000 | $1,942,168 | ||
Microchip Technology, Inc. | ||||
3.92%, 06/01/21 | 350,000 | 355,006 | ||
2.67%, 09/01/23 144A | 675,000 | 706,413 | ||
Micron Technology, Inc. | ||||
2.50%, 04/24/23 | 250,000 | 260,723 | ||
Microsoft Corporation | ||||
2.88%, 02/06/24 | 520,000 | 558,792 | ||
2.70%, 02/12/25 | 120,000 | 130,433 | ||
2.40%, 08/08/26 | 1,540,000 | 1,680,968 | ||
3.30%, 02/06/27 | 800,000 | 913,335 | ||
3.45%, 08/08/36 | 10,000 | 12,346 | ||
4.10%, 02/06/37 | 32,000 | 42,100 | ||
2.53%, 06/01/50 | 18,000 | 19,021 | ||
3.95%, 08/08/56 | 108,000 | 148,792 | ||
2.68%, 06/01/60 | 22,000 | 23,960 | ||
Mid-America Apartments LP REIT | ||||
1.70%, 02/15/31 | 325,000 | 324,553 | ||
MidAmerican Energy Co. | ||||
3.65%, 04/15/29 | 350,000 | 416,004 | ||
Mileage Plus Holdings LLC | ||||
6.50%, 06/20/27 144A | 290,000 | 312,294 | ||
Mondelez International, Inc. | ||||
1.50%, 05/04/25 | 670,000 | 693,661 | ||
Morgan Stanley | ||||
(Variable, ICE LIBOR USD 3M + 0.85%), 3.74%, 04/24/24^ | 35,000 | 37,671 | ||
3.70%, 10/23/24 | 1,150,000 | 1,280,406 | ||
(Variable, U.S. SOFR + 1.15%), 2.72%, 07/22/25^ | 795,000 | 850,747 | ||
(Variable, U.S. SOFR + 1.99%), 2.19%, 04/28/26^ | 750,000 | 792,836 | ||
3.63%, 01/20/27 | 1,475,000 | 1,690,587 | ||
3.95%, 04/23/27 | 1,375,000 | 1,591,055 | ||
(Variable, ICE LIBOR USD 3M + 1.14%), 3.77%, 01/24/29^ | 220,000 | 255,203 | ||
(Variable, ICE LIBOR USD 3M + 1.63%), 4.43%, 01/23/30^ | 570,000 | 693,833 | ||
(Variable, U.S. SOFR + 1.14%), 2.70%, 01/22/31^ | 2,520,000 | 2,746,984 | ||
(Variable, U.S. SOFR + 3.12%), 3.62%, 04/01/31^ | 1,400,000 | 1,629,645 | ||
(Variable, U.S. SOFR + 1.03%), 1.79%, 02/13/32^ | 725,000 | 730,857 | ||
(Variable, ICE LIBOR USD 3M + 1.43%), 4.46%, 04/22/39^ | 30,000 | 39,058 | ||
MPLX LP | ||||
4.88%, 12/01/24 | 230,000 | 264,035 | ||
4.88%, 06/01/25 | 100,000 | 115,617 | ||
4.25%, 12/01/27 | 35,000 | 41,157 | ||
4.00%, 03/15/28Δ | 50,000 | 57,564 | ||
4.80%, 02/15/29 | 250,000 | 302,344 | ||
2.65%, 08/15/30 | 650,000 | 682,340 | ||
4.50%, 04/15/38 | 470,000 | 538,245 | ||
4.70%, 04/15/48 | 880,000 | 1,046,965 | ||
5.50%, 02/15/49 | 595,000 | 784,752 | ||
MPT Operating Partnership LP REIT | ||||
4.63%, 08/01/29 | 435,000 | 465,654 |
Par | Value | |||
Mylan, Inc. | ||||
5.40%, 11/29/43 | $ 60,000 | $ 80,091 | ||
Nasdaq, Inc. | ||||
3.25%, 04/28/50 | 125,000 | 137,748 | ||
National Fuel Gas Co. | ||||
4.90%, 12/01/21 | 1,500,000 | 1,541,505 | ||
National Retail Properties, Inc. REIT | ||||
3.90%, 06/15/24Δ | 255,000 | 277,639 | ||
3.60%, 12/15/26 | 250,000 | 275,379 | ||
2.50%, 04/15/30 | 1,800,000 | 1,857,455 | ||
National Securities Clearing Corporation | ||||
1.50%, 04/23/25 144A | 400,000 | 414,317 | ||
Navient Corporation | ||||
7.25%, 01/25/22 | 490,000 | 512,969 | ||
NBCUniversal Media LLC | ||||
5.95%, 04/01/41 | 25,000 | 38,286 | ||
NetApp, Inc. | ||||
1.88%, 06/22/25 | 1,700,000 | 1,777,187 | ||
2.38%, 06/22/27 | 45,000 | 48,170 | ||
New York Life Global Funding | ||||
0.95%, 06/24/25 144A | 200,000 | 202,878 | ||
New York Life Insurance Co. | ||||
3.75%, 05/15/50 144A | 300,000 | 359,877 | ||
Newell Brands, Inc. | ||||
4.35%, 04/01/23 | 132,000 | 138,618 | ||
4.70%, 04/01/26 | 150,000 | 165,440 | ||
NextEra Energy Capital Holdings, Inc. | ||||
3.55%, 05/01/27 | 15,000 | 17,103 | ||
2.25%, 06/01/30 | 1,900,000 | 1,994,467 | ||
Niagara Mohawk Power Corporation | ||||
4.28%, 12/15/28 144A | 2,000,000 | 2,386,175 | ||
Nielsen Finance LLC | ||||
5.88%, 10/01/30 144A | 83,000 | 94,049 | ||
NIKE, Inc. | ||||
2.40%, 03/27/25 | 140,000 | 150,967 | ||
2.75%, 03/27/27 | 230,000 | 254,716 | ||
2.85%, 03/27/30 | 230,000 | 260,769 | ||
3.25%, 03/27/40 | 110,000 | 128,228 | ||
3.38%, 03/27/50 | 960,000 | 1,191,146 | ||
NiSource, Inc. | ||||
3.49%, 05/15/27 | 925,000 | 1,050,345 | ||
3.60%, 05/01/30 | 100,000 | 115,900 | ||
3.95%, 03/30/48 | 450,000 | 554,730 | ||
Nissan Motor Acceptance Corporation | ||||
(Floating, ICE LIBOR USD 3M + 0.89%), 1.11%, 01/13/22 144A † | 1,900,000 | 1,896,257 | ||
Noble Energy, Inc. | ||||
3.85%, 01/15/28 | 550,000 | 640,671 | ||
6.00%, 03/01/41 | 10,000 | 15,242 | ||
4.95%, 08/15/47 | 110,000 | 157,058 | ||
Northrop Grumman Corporation | ||||
2.93%, 01/15/25 | 870,000 | 946,783 | ||
3.25%, 01/15/28 | 670,000 | 758,126 | ||
4.75%, 06/01/43 | 200,000 | 267,528 | ||
5.25%, 05/01/50 | 355,000 | 529,566 |
Par | Value | |||
Northwell Healthcare, Inc. | ||||
6.15%, 11/01/43 | $ 375,000 | $ 536,529 | ||
Northwestern Mutual Life Insurance Co. (The) | ||||
6.06%, 03/30/40 144A | 300,000 | 437,504 | ||
3.85%, 09/30/47 144A | 250,000 | 295,451 | ||
NRG Energy, Inc. | ||||
3.75%, 06/15/24 144A | 625,000 | 684,888 | ||
3.38%, 02/15/29 144A | 318,000 | 326,165 | ||
3.63%, 02/15/31 144A | 850,000 | 876,074 | ||
Nutrition & Biosciences, Inc. | ||||
1.83%, 10/15/27 144A | 650,000 | 670,349 | ||
2.30%, 11/01/30 144A | 1,125,000 | 1,159,770 | ||
3.27%, 11/15/40 144A | 1,075,000 | 1,156,872 | ||
Nuveen LLC | ||||
4.00%, 11/01/28 144A | 225,000 | 269,157 | ||
NVIDIA Corporation | ||||
2.85%, 04/01/30 | 120,000 | 135,101 | ||
3.50%, 04/01/40 | 540,000 | 649,884 | ||
3.50%, 04/01/50 | 1,120,000 | 1,363,891 | ||
3.70%, 04/01/60 | 460,000 | 593,752 | ||
Occidental Petroleum Corporation | ||||
2.70%, 02/15/23 | 10,000 | 10,009 | ||
6.95%, 07/01/24 | 290,000 | 313,925 | ||
2.90%, 08/15/24 | 1,090,000 | 1,050,760 | ||
5.55%, 03/15/26 | 435,000 | 454,732 | ||
3.40%, 04/15/26 | 500,000 | 477,640 | ||
3.20%, 08/15/26 | 260,000 | 243,588 | ||
3.00%, 02/15/27 | 150,000 | 133,781 | ||
7.88%, 09/15/31 | 280,000 | 313,425 | ||
6.45%, 09/15/36 | 205,000 | 214,943 | ||
4.63%, 06/15/45 | 130,000 | 113,637 | ||
6.60%, 03/15/46 | 220,000 | 223,641 | ||
4.40%, 04/15/46Δ | 60,000 | 52,390 | ||
4.10%, 02/15/47 | 260,000 | 213,025 | ||
4.20%, 03/15/48 | 80,000 | 65,300 | ||
Omega Healthcare Investors, Inc. REIT | ||||
3.63%, 10/01/29 | 1,600,000 | 1,700,374 | ||
OneMain Finance Corporation | ||||
7.75%, 10/01/21 | 1,600,000 | 1,686,000 | ||
ONEOK, Inc. | ||||
6.35%, 01/15/31 | 1,600,000 | 2,055,310 | ||
Oracle Corporation | ||||
3.85%, 07/15/36 | 60,000 | 72,539 | ||
3.60%, 04/01/40 | 400,000 | 469,465 | ||
4.00%, 07/15/46 | 375,000 | 461,071 | ||
3.85%, 04/01/60 | 425,000 | 523,778 | ||
Otis Worldwide Corporation | ||||
2.06%, 04/05/25Δ | 130,000 | 137,918 | ||
2.29%, 04/05/27 | 200,000 | 213,973 | ||
2.57%, 02/15/30 | 1,425,000 | 1,532,645 | ||
Pacific Gas and Electric Co. | ||||
1.75%, 06/16/22Δ | 1,400,000 | 1,404,076 | ||
3.40%, 08/15/24 | 600,000 | 639,510 | ||
3.15%, 01/01/26 | 1,300,000 | 1,386,628 | ||
2.95%, 03/01/26 | 800,000 | 847,474 |
Par | Value | |||
2.10%, 08/01/27Δ | $ 370,000 | $ 377,083 | ||
2.50%, 02/01/31 | 610,000 | 612,758 | ||
4.50%, 07/01/40Δ | 40,000 | 44,857 | ||
3.30%, 08/01/40 | 165,000 | 165,273 | ||
4.75%, 02/15/44 | 55,000 | 62,016 | ||
3.50%, 08/01/50 | 345,000 | 344,160 | ||
Pacific Life Global Funding II | ||||
1.20%, 06/24/25 144A | 1,700,000 | 1,724,372 | ||
Parsley Energy LLC | ||||
5.38%, 01/15/25 144A | 20,000 | 20,606 | ||
4.13%, 02/15/28 144A | 30,000 | 31,556 | ||
PayPal Holdings, Inc. | ||||
1.35%, 06/01/23 | 220,000 | 225,395 | ||
1.65%, 06/01/25 | 1,380,000 | 1,443,307 | ||
2.65%, 10/01/26 | 2,775,000 | 3,051,873 | ||
2.30%, 06/01/30 | 300,000 | 321,779 | ||
PepsiCo, Inc. | ||||
0.75%, 05/01/23 | 300,000 | 304,383 | ||
2.25%, 03/19/25 | 55,000 | 58,785 | ||
2.63%, 03/19/27 | 30,000 | 33,035 | ||
1.63%, 05/01/30 | 250,000 | 256,910 | ||
2.88%, 10/15/49 | 100,000 | 112,178 | ||
3.63%, 03/19/50 | 40,000 | 50,904 | ||
3.88%, 03/19/60 | 170,000 | 228,537 | ||
Phillips 66 | ||||
3.70%, 04/06/23 | 400,000 | 428,626 | ||
3.85%, 04/09/25 | 100,000 | 112,290 | ||
1.30%, 02/15/26 | 175,000 | 177,517 | ||
4.65%, 11/15/34 | 60,000 | 72,767 | ||
Physicians Realty LP REIT | ||||
3.95%, 01/15/28 | 2,400,000 | 2,615,752 | ||
Plains All American Pipeline LP | ||||
3.65%, 06/01/22 | 200,000 | 205,994 | ||
3.85%, 10/15/23 | 725,000 | 775,937 | ||
PNC Financial Services Group, Inc. (The) | ||||
3.50%, 01/23/24 | 35,000 | 38,167 | ||
Post Holdings, Inc. | ||||
5.50%, 12/15/29 144A | 350,000 | 382,384 | ||
Prime Security Services Borrower LLC | ||||
3.38%, 08/31/27 144A | 770,000 | 765,187 | ||
Principal Life Global Funding II | ||||
1.25%, 06/23/25 144A | 90,000 | 91,941 | ||
Procter & Gamble Co. (The) | ||||
2.80%, 03/25/27 | 75,000 | 83,609 | ||
3.00%, 03/25/30 | 130,000 | 150,033 | ||
Progress Energy, Inc. | ||||
7.75%, 03/01/31 | 350,000 | 522,169 | ||
QUALCOMM, Inc. | ||||
4.80%, 05/20/45 | 10,000 | 14,250 | ||
Range Resources Corporation | ||||
5.00%, 03/15/23 | 322,000 | 314,554 | ||
4.88%, 05/15/25Δ | 10,000 | 9,465 | ||
Raymond James Financial, Inc. | ||||
4.65%, 04/01/30 | 75,000 | 92,138 | ||
Raytheon Technologies Corporation | ||||
3.15%, 12/15/24 | 120,000 | 130,472 |
Par | Value | |||
3.95%, 08/16/25 | $ 530,000 | $ 608,115 | ||
3.50%, 03/15/27 | 550,000 | 628,600 | ||
4.13%, 11/16/28 | 665,000 | 793,318 | ||
2.25%, 07/01/30 | 540,000 | 574,305 | ||
5.70%, 04/15/40 | 15,000 | 22,014 | ||
4.50%, 06/01/42 | 90,000 | 117,535 | ||
4.05%, 05/04/47 | 175,000 | 218,377 | ||
4.63%, 11/16/48 | 75,000 | 101,996 | ||
Realty Income Corporation REIT | ||||
3.25%, 01/15/31 | 1,800,000 | 2,043,987 | ||
Regency Centers LP REIT | ||||
2.95%, 09/15/29 | 775,000 | 828,840 | ||
Regeneron Pharmaceuticals, Inc. | ||||
1.75%, 09/15/30 | 1,500,000 | 1,479,731 | ||
Reinsurance Group of America, Inc. | ||||
3.90%, 05/15/29 | 65,000 | 74,587 | ||
RELX Capital, Inc. | ||||
3.50%, 03/16/23 | 300,000 | 319,170 | ||
Republic Services, Inc. | ||||
2.50%, 08/15/24 | 190,000 | 203,000 | ||
1.75%, 02/15/32 | 650,000 | 652,201 | ||
Roper Technologies, Inc. | ||||
4.20%, 09/15/28 | 500,000 | 596,947 | ||
Ross Stores, Inc. | ||||
4.70%, 04/15/27 | 11,000 | 12,999 | ||
Rush Obligated Group | ||||
3.92%, 11/15/29 | 240,000 | 283,066 | ||
Sabine Pass Liquefaction LLC | ||||
6.25%, 03/15/22 | 475,000 | 500,050 | ||
5.63%, 04/15/23 | 400,000 | 439,708 | ||
5.63%, 03/01/25 | 450,000 | 525,126 | ||
5.00%, 03/15/27 | 425,000 | 501,482 | ||
4.20%, 03/15/28 | 300,000 | 344,195 | ||
4.50%, 05/15/30 144A | 1,600,000 | 1,898,570 | ||
Sabra Health Care LP REIT | ||||
3.90%, 10/15/29 | 1,500,000 | 1,581,272 | ||
salesforce.com, Inc. | ||||
3.25%, 04/11/23 | 300,000 | 319,694 | ||
Santander Holdings USA, Inc. | ||||
4.50%, 07/17/25 | 60,000 | 68,141 | ||
3.24%, 10/05/26 | 1,100,000 | 1,196,156 | ||
Schlumberger Holdings Corporation | ||||
3.75%, 05/01/24 144A | 35,000 | 38,190 | ||
4.00%, 12/21/25 144A | 190,000 | 216,181 | ||
3.90%, 05/17/28 144A | 252,000 | 284,975 | ||
4.30%, 05/01/29 144A | 30,000 | 35,097 | ||
Sempra Energy | ||||
3.40%, 02/01/28 | 275,000 | 313,590 | ||
3.80%, 02/01/38 | 30,000 | 34,837 | ||
ServiceNow, Inc. | ||||
1.40%, 09/01/30 | 1,000,000 | 976,853 | ||
Sherwin-Williams Co. (The) | ||||
3.13%, 06/01/24 | 75,000 | 81,416 | ||
3.45%, 06/01/27 | 350,000 | 395,741 | ||
2.95%, 08/15/29 | 475,000 | 523,636 | ||
3.30%, 05/15/50 | 300,000 | 332,941 |
Par | Value | |||
Simon Property Group LP REIT | ||||
2.45%, 09/13/29 | $1,600,000 | $1,683,248 | ||
Southern California Edison Co. | ||||
3.70%, 08/01/25 | 1,800,000 | 2,020,586 | ||
4.20%, 03/01/29 | 400,000 | 473,809 | ||
Southern Co. (The) | ||||
3.25%, 07/01/26 | 1,400,000 | 1,571,645 | ||
Southern Co. Gas Capital Corporation | ||||
3.25%, 06/15/26 | 300,000 | 337,129 | ||
Southern Copper Corporation | ||||
5.25%, 11/08/42 | 2,310,000 | 3,101,034 | ||
Southern Natural Gas Co. LLC | ||||
8.00%, 03/01/32 | 400,000 | 572,280 | ||
Southern Power Co. | ||||
4.95%, 12/15/46 | 50,000 | 60,278 | ||
Southwestern Electric Power Co. | ||||
2.75%, 10/01/26 | 65,000 | 70,584 | ||
Spirit AeroSystems, Inc. | ||||
3.95%, 06/15/23 | 1,500,000 | 1,472,812 | ||
Spirit Airlines Pass-Through Trust, Series 2015-1, Class A | ||||
4.10%, 04/01/28 | 1,062,136 | 1,013,962 | ||
Spirit Realty LP REIT | ||||
4.45%, 09/15/26 | 1,200,000 | 1,355,534 | ||
4.00%, 07/15/29 | 750,000 | 845,026 | ||
Sprint Spectrum Co. LLC | ||||
3.36%, 09/20/21 144A | 37,500 | 37,911 | ||
5.15%, 03/20/28 144A | 1,100,000 | 1,276,000 | ||
Stanford Health Care | ||||
3.31%, 08/15/30 | 280,000 | 319,535 | ||
Starbucks Corporation | ||||
3.80%, 08/15/25 | 625,000 | 711,710 | ||
2.55%, 11/15/30 | 1,900,000 | 2,056,602 | ||
State Street Corporation | ||||
(Variable, ICE LIBOR USD 3M + 1.03%), 4.14%, 12/03/29^ | 60,000 | 72,477 | ||
(Variable, U.S. SOFR + 2.65%), 3.15%, 03/30/31^ | 240,000 | 273,854 | ||
Steel Dynamics, Inc. | ||||
2.40%, 06/15/25 | 140,000 | 148,956 | ||
1.65%, 10/15/27 | 275,000 | 283,868 | ||
Stifel Financial Corporation | ||||
4.00%, 05/15/30 | 1,900,000 | 2,175,415 | ||
Stryker Corporation | ||||
1.95%, 06/15/30 | 850,000 | 875,719 | ||
Sunoco Logistics Partners Operations LP | ||||
4.25%, 04/01/24 | 100,000 | 108,324 | ||
5.95%, 12/01/25 | 300,000 | 354,270 | ||
4.00%, 10/01/27 | 35,000 | 38,456 | ||
5.30%, 04/01/44 | 20,000 | 21,657 | ||
5.40%, 10/01/47 | 50,000 | 55,949 | ||
Sysco Corporation | ||||
6.60%, 04/01/40 | 675,000 | 989,781 | ||
6.60%, 04/01/50 | 250,000 | 385,651 | ||
Targa Resources Partners LP | ||||
5.88%, 04/15/26 | 350,000 | 371,733 | ||
6.50%, 07/15/27 | 355,000 | 386,063 |
Par | Value | |||
5.50%, 03/01/30 | $ 120,000 | $ 130,397 | ||
TD Ameritrade Holding Corporation | ||||
3.30%, 04/01/27 | 65,000 | 72,932 | ||
Teachers Insurance & Annuity Association of America | ||||
6.85%, 12/16/39 144A | 46,000 | 72,538 | ||
4.90%, 09/15/44 144A | 980,000 | 1,330,846 | ||
Tennessee Gas Pipeline Co. LLC | ||||
2.90%, 03/01/30 144A | 1,190,000 | 1,275,025 | ||
Texas Instruments, Inc. | ||||
1.75%, 05/04/30 | 370,000 | 384,364 | ||
Textron, Inc. | ||||
2.45%, 03/15/31 | 1,700,000 | 1,754,090 | ||
Time Warner Cable LLC | ||||
7.30%, 07/01/38 | 620,000 | 920,886 | ||
5.88%, 11/15/40 | 130,000 | 174,071 | ||
Time Warner Entertainment Co. LP | ||||
8.38%, 03/15/23 | 975,000 | 1,140,356 | ||
8.38%, 07/15/33 | 390,000 | 604,089 | ||
TJX Cos, Inc. (The) | ||||
2.25%, 09/15/26Δ | 40,000 | 43,183 | ||
TJX Cos., Inc. (The) | ||||
3.50%, 04/15/25 | 180,000 | 201,167 | ||
3.75%, 04/15/27 | 50,000 | 57,903 | ||
T-Mobile USA, Inc. | ||||
3.50%, 04/15/25 144A | 1,495,000 | 1,653,440 | ||
1.50%, 02/15/26 144A | 400,000 | 410,298 | ||
3.75%, 04/15/27 144A | 2,325,000 | 2,650,035 | ||
2.05%, 02/15/28 144A | 1,260,000 | 1,312,177 | ||
3.88%, 04/15/30 144A | 2,210,000 | 2,562,384 | ||
2.55%, 02/15/31 144A | 1,570,000 | 1,650,572 | ||
4.38%, 04/15/40 144A | 60,000 | 73,282 | ||
3.00%, 02/15/41 144A | 365,000 | 379,087 | ||
Tractor Supply Co. | ||||
1.75%, 11/01/30 | 400,000 | 402,916 | ||
Transcontinental Gas Pipe Line Co. LLC | ||||
7.85%, 02/01/26 | 880,000 | 1,154,718 | ||
3.25%, 05/15/30 | 200,000 | 224,566 | ||
TransDigm, Inc. | ||||
6.50%, 05/15/25 | 50,000 | 51,469 | ||
6.38%, 06/15/26 | 350,000 | 362,906 | ||
7.50%, 03/15/27 | 300,000 | 320,757 | ||
Truist Bank | ||||
3.20%, 04/01/24 | 35,000 | 38,008 | ||
2.25%, 03/11/30 | 475,000 | 498,959 | ||
Truist Financial Corporation | ||||
2.50%, 08/01/24 | 40,000 | 42,625 | ||
UDR, Inc. REIT | ||||
3.20%, 01/15/30 | 1,200,000 | 1,336,430 | ||
2.10%, 08/01/32 | 150,000 | 153,123 | ||
1.90%, 03/15/33 | 725,000 | 726,342 | ||
Union Pacific Corporation | ||||
3.75%, 07/15/25 | 210,000 | 238,532 | ||
3.95%, 09/10/28 | 530,000 | 630,041 | ||
3.80%, 10/01/51 | 5,000 | 6,130 | ||
3.84%, 03/20/60 | 480,000 | 596,793 |
Par | Value | |||
3.75%, 02/05/70 | $ 80,000 | $ 97,246 | ||
United Airlines Pass-Through Trust, Series 2016-2, Class A | ||||
3.10%, 10/07/28 | 673,131 | 636,468 | ||
United Airlines Pass-Through Trust, Series 2016-2, Class AA | ||||
2.88%, 10/07/28 | 673,131 | 678,884 | ||
United Airlines Pass-Through Trust, Series 2020-1, Class A | ||||
5.88%, 10/15/27 | 2,200,000 | 2,377,375 | ||
United Parcel Service, Inc. | ||||
3.90%, 04/01/25 | 35,000 | 39,566 | ||
5.30%, 04/01/50 | 100,000 | 151,221 | ||
UnitedHealth Group, Inc. | ||||
2.88%, 12/15/21 | 180,000 | 184,373 | ||
2.38%, 10/15/22Δ | 40,000 | 41,582 | ||
3.50%, 06/15/23 | 90,000 | 97,194 | ||
3.75%, 07/15/25 | 230,000 | 262,213 | ||
1.25%, 01/15/26 | 90,000 | 92,847 | ||
2.00%, 05/15/30 | 280,000 | 297,247 | ||
4.25%, 06/15/48 | 160,000 | 214,031 | ||
4.45%, 12/15/48 | 50,000 | 69,137 | ||
3.70%, 08/15/49 | 170,000 | 213,527 | ||
2.90%, 05/15/50 | 250,000 | 277,343 | ||
3.88%, 08/15/59 | 190,000 | 246,536 | ||
3.13%, 05/15/60 | 30,000 | 34,908 | ||
US Bancorp | ||||
1.45%, 05/12/25 | 2,380,000 | 2,472,532 | ||
3.15%, 04/27/27 | 60,000 | 67,682 | ||
US Bank NA | ||||
3.15%, 04/26/21 | 300,000 | 302,000 | ||
USAA Capital Corporation | ||||
1.50%, 05/01/23 144A | 150,000 | 153,916 | ||
Utah Acquisition Sub, Inc. | ||||
2.25%, 11/22/24(E) | 1,500,000 | 1,975,243 | ||
3.95%, 06/15/26 | 1,700,000 | 1,946,411 | ||
Valero Energy Corporation | ||||
2.70%, 04/15/23 | 700,000 | 730,934 | ||
2.85%, 04/15/25Δ | 600,000 | 639,405 | ||
Vanguard Group, Inc. (The) | ||||
3.05%, 08/22/50 | 390,000 | 390,000 | ||
Ventas Realty LP REIT | ||||
3.00%, 01/15/30 | 1,700,000 | 1,830,596 | ||
VEREIT Operating Partnership LP REIT | ||||
4.63%, 11/01/25 | 600,000 | 691,045 | ||
3.95%, 08/15/27 | 150,000 | 170,270 | ||
3.40%, 01/15/28 | 200,000 | 221,061 | ||
2.85%, 12/15/32 | 800,000 | 837,353 | ||
Verizon Communications, Inc. | ||||
3.50%, 11/01/24 | 150,000 | 165,762 | ||
3.38%, 02/15/25 | 3,005,000 | 3,339,400 | ||
0.85%, 11/20/25 | 70,000 | 70,583 | ||
2.63%, 08/15/26 | 1,905,000 | 2,089,086 | ||
3.00%, 03/22/27 | 70,000 | 77,769 | ||
4.33%, 09/21/28 | 2,018,000 | 2,431,766 | ||
3.88%, 02/08/29 | 360,000 | 424,339 | ||
3.15%, 03/22/30 | 1,465,000 | 1,644,813 |
Par | Value | |||
1.75%, 01/20/31 | $ 250,000 | $ 249,208 | ||
4.50%, 08/10/33 | 430,000 | 543,122 | ||
5.25%, 03/16/37 | 530,000 | 719,096 | ||
2.65%, 11/20/40 | 570,000 | 576,438 | ||
3.85%, 11/01/42 | 40,000 | 47,513 | ||
4.13%, 08/15/46 | 380,000 | 467,816 | ||
4.86%, 08/21/46 | 290,000 | 392,555 | ||
5.50%, 03/16/47 | 40,000 | 58,410 | ||
5.01%, 04/15/49 | 70,000 | 97,202 | ||
4.00%, 03/22/50 | 160,000 | 193,962 | ||
2.88%, 11/20/50 | 850,000 | 858,162 | ||
2.99%, 10/30/56 144A | 746,000 | 752,587 | ||
ViacomCBS, Inc. | ||||
6.88%, 04/30/36 | 30,000 | 43,485 | ||
Virginia Electric and Power Co. | ||||
2.45%, 12/15/50 | 525,000 | 530,529 | ||
Visa, Inc. | ||||
3.15%, 12/14/25 | 450,000 | 505,164 | ||
2.05%, 04/15/30 | 270,000 | 289,249 | ||
4.15%, 12/14/35 | 55,000 | 71,652 | ||
2.70%, 04/15/40 | 270,000 | 295,401 | ||
4.30%, 12/14/45 | 460,000 | 632,180 | ||
Vistra Operations Co. LLC | ||||
3.55%, 07/15/24 144A | 1,150,000 | 1,246,127 | ||
VMware, Inc. | ||||
2.95%, 08/21/22 | 1,800,000 | 1,867,803 | ||
4.65%, 05/15/27 | 700,000 | 820,232 | ||
3.90%, 08/21/27 | 535,000 | 603,898 | ||
Volkswagen Group of America Finance LLC | ||||
(Floating, ICE LIBOR USD 3M + 0.86%), 1.10%, 09/24/21 144A † | 1,600,000 | 1,608,210 | ||
3.13%, 05/12/23 144A | 1,600,000 | 1,690,868 | ||
Voya Financial, Inc. | ||||
5.70%, 07/15/43 | 170,000 | 236,446 | ||
W.R. Grace & Co-Conn | ||||
4.88%, 06/15/27 144A | 730,000 | 775,092 | ||
Wachovia Capital Trust III | ||||
(Variable, ICE LIBOR USD 3M + 0.93%), 5.57%, 02/08/21† ρ | 560,000 | 568,473 | ||
Walgreens Boots Alliance, Inc. | ||||
4.80%, 11/18/44 | 35,000 | 39,813 | ||
4.10%, 04/15/50 | 975,000 | 1,033,796 | ||
Walmart, Inc. | ||||
3.40%, 06/26/23 | 100,000 | 107,432 | ||
3.30%, 04/22/24 | 60,000 | 65,441 | ||
2.85%, 07/08/24 | 45,000 | 48,707 | ||
3.55%, 06/26/25Δ | 70,000 | 79,297 | ||
3.70%, 06/26/28 | 620,000 | 730,740 | ||
4.05%, 06/29/48 | 250,000 | 339,874 | ||
Walt Disney Co. (The) | ||||
3.70%, 09/15/24 | 625,000 | 694,434 | ||
2.20%, 01/13/28 | 1,300,000 | 1,393,751 | ||
2.65%, 01/13/31Δ | 400,000 | 438,914 | ||
6.65%, 11/15/37 | 150,000 | 237,464 | ||
Washington Prime Group LP REIT | ||||
6.45%, 08/15/24 | 1,700,000 | 1,024,853 |
Par | Value | |||
Waste Management, Inc. | ||||
3.50%, 05/15/24 | $ 140,000 | $ 153,037 | ||
1.15%, 03/15/28 | 250,000 | 250,884 | ||
4.15%, 07/15/49Δ | 150,000 | 200,271 | ||
WEA Finance LLC REIT | ||||
3.75%, 09/17/24 144A | 770,000 | 812,963 | ||
Wells Fargo & Co. | ||||
4.60%, 04/01/21 | 70,000 | 70,741 | ||
3.45%, 02/13/23 | 200,000 | 212,080 | ||
(Floating, ICE LIBOR USD 3M + 1.23%), 1.44%, 10/31/23† | 600,000 | 609,590 | ||
4.48%, 01/16/24 | 396,000 | 440,874 | ||
3.75%, 01/24/24 | 1,325,000 | 1,447,308 | ||
(Variable, U.S. SOFR + 1.60%), 1.65%, 06/02/24^ | 60,000 | 61,688 | ||
3.55%, 09/29/25 | 1,500,000 | 1,685,753 | ||
(Variable, ICE LIBOR USD 3M + 0.75%), 2.16%, 02/11/26^ | 35,000 | 36,826 | ||
3.00%, 04/22/26 | 900,000 | 991,271 | ||
(Variable, U.S. SOFR + 2.00%), 2.19%, 04/30/26^ | 1,540,000 | 1,623,123 | ||
4.10%, 06/03/26 | 440,000 | 504,800 | ||
3.00%, 10/23/26 | 2,210,000 | 2,450,584 | ||
4.30%, 07/22/27 | 1,780,000 | 2,086,972 | ||
4.15%, 01/24/29 | 645,000 | 766,136 | ||
(Variable, ICE LIBOR USD 3M + 1.17%), 2.88%, 10/30/30^ | 410,000 | 447,657 | ||
(Variable, ICE LIBOR USD 3M + 3.77%), 4.48%, 04/04/31^ | 460,000 | 562,812 | ||
5.95%, 12/15/36 | 140,000 | 187,904 | ||
5.38%, 11/02/43 | 190,000 | 264,785 | ||
4.65%, 11/04/44 | 70,000 | 90,071 | ||
4.90%, 11/17/45 | 370,000 | 494,372 | ||
4.40%, 06/14/46 | 70,000 | 87,773 | ||
4.75%, 12/07/46 | 260,000 | 340,830 | ||
(Variable, ICE LIBOR USD 3M + 4.24%), 5.01%, 04/04/51^ | 2,960,000 | 4,214,231 | ||
Welltower, Inc. REIT | ||||
3.63%, 03/15/24 | 65,000 | 70,875 | ||
4.25%, 04/01/26 | 898,000 | 1,047,017 | ||
Western Midstream Operating LP | ||||
(Floating, ICE LIBOR USD 3M + 1.85%), 2.07%, 01/13/23† | 80,000 | 78,444 | ||
4.10%, 02/01/25 | 620,000 | 639,939 | ||
3.95%, 06/01/25 | 100,000 | 102,375 | ||
4.50%, 03/01/28 | 60,000 | 62,490 | ||
5.05%, 02/01/30 | 780,000 | 874,493 | ||
5.45%, 04/01/44 | 75,000 | 75,986 | ||
5.30%, 03/01/48 | 45,000 | 44,818 | ||
5.50%, 08/15/48 | 20,000 | 19,732 | ||
6.25%, 02/01/50Δ | 130,000 | 143,233 | ||
WestRock RKT LLC | ||||
4.00%, 03/01/23 | 30,000 | 31,885 | ||
Weyerhaeuser Co. REIT | ||||
7.38%, 03/15/32 | 50,000 | 75,074 | ||
Williams Cos., Inc. (The) | ||||
3.90%, 01/15/25 | 300,000 | 332,975 | ||
7.50%, 01/15/31 | 100,000 | 136,094 |
Par | Value | |||
7.75%, 06/15/31 | $ 585,000 | $ 789,629 | ||
8.75%, 03/15/32 | 181,000 | 265,090 | ||
Willis North America, Inc. | ||||
2.95%, 09/15/29 | 175,000 | 191,831 | ||
WP Carey, Inc. REIT | ||||
4.60%, 04/01/24 | 160,000 | 177,758 | ||
4.00%, 02/01/25 | 105,000 | 116,135 | ||
3.85%, 07/15/29 | 900,000 | 1,035,354 | ||
WPX Energy, Inc. | ||||
5.25%, 10/15/27 | 60,000 | 63,679 | ||
4.50%, 01/15/30 | 50,000 | 53,075 | ||
WRKCo, Inc. | ||||
3.75%, 03/15/25 | 500,000 | 557,690 | ||
4.00%, 03/15/28Δ | 1,100,000 | 1,277,009 | ||
Xerox Holdings Corporation | ||||
5.00%, 08/15/25 144A | 1,240,000 | 1,321,245 | ||
Zimmer Biomet Holdings, Inc. | ||||
3.55%, 04/01/25 | 65,000 | 71,866 | ||
3.05%, 01/15/26 | 1,900,000 | 2,097,431 | ||
3.55%, 03/20/30 | 825,000 | 935,305 | ||
Zoetis, Inc. | ||||
2.00%, 05/15/30 | 3,075,000 | 3,187,932 | ||
4.45%, 08/20/48 | 25,000 | 33,651 | ||
Total Corporate Bonds (Cost $600,148,953) | 652,873,740 | |||
FOREIGN BONDS — 13.6% | ||||
Argentina — 0.1% | ||||
Argentine Republic Government International Bond | ||||
1.00%, 07/09/29 | 93,932 | 40,932 | ||
(Step to 0.50% on 07/09/21), 0.13%, 07/09/30 STEP | 1,614,303 | 657,021 | ||
(Step to 1.13% on 07/09/21), 0.13%, 07/09/35 STEP | 451,796 | 165,809 | ||
(Step to 2.50% on 07/09/21), 0.13%, 07/09/41 STEP | 810,000 | 307,395 | ||
Provincia de Buenos Aires | ||||
6.50%, 02/15/23 144A | 230,000 | 94,875 | ||
7.88%, 06/15/27 144A | 180,000 | 74,252 | ||
1,340,284 | ||||
Australia — 0.1% | ||||
BHP Billiton Finance (USA), Ltd. | ||||
2.88%, 02/24/22Δ | 20,000 | 20,577 | ||
5.00%, 09/30/43 | 170,000 | 250,442 | ||
Commonwealth Bank of Australia | ||||
3.90%, 07/12/47 144A | 110,000 | 138,949 | ||
Newcrest Finance Pty, Ltd. | ||||
3.25%, 05/13/30 144A | 175,000 | 193,683 | ||
Westpac Banking Corporation | ||||
3.30%, 02/26/24 | 45,000 | 48,963 | ||
(Variable, USD ICE Swap Rate 5Y + 2.24%), 4.32%, 11/23/31^ | 175,000 | 199,653 |
Par | Value | |||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 2.00%), 4.11%, 07/24/34^ | $ 275,000 | $ 314,385 | ||
1,166,652 | ||||
Austria — 0.0% | ||||
Suzano Austria GmbH | ||||
3.75%, 01/15/31 | 660,000 | 701,085 | ||
Brazil — 0.3% | ||||
Brazil Notas do Tesouro Nacional Serie F | ||||
10.00%, 01/01/21(B) | 2,892,000 | 556,012 | ||
10.00%, 01/01/23(B) | 8,338,000 | 1,769,580 | ||
10.00%, 01/01/27(B) | 1,013,000 | 229,965 | ||
Brazilian Government International Bond | ||||
4.63%, 01/13/28 | 480,000 | 538,654 | ||
5.63%, 01/07/41 | 340,000 | 402,815 | ||
5.00%, 01/27/45 | 1,150,000 | 1,281,439 | ||
Vale Overseas, Ltd. | ||||
6.25%, 08/10/26 | 105,000 | 130,357 | ||
6.88%, 11/21/36 | 284,000 | 416,949 | ||
5,325,771 | ||||
Canada — 0.5% | ||||
1011778 BC ULC | ||||
4.00%, 10/15/30 144A | 446,000 | 452,547 | ||
Alimentation Couche-Tard, Inc. | ||||
2.70%, 07/26/22 144A | 275,000 | 284,401 | ||
3.55%, 07/26/27 144A | 75,000 | 84,570 | ||
Bank of Montreal | ||||
1.85%, 05/01/25 | 500,000 | 525,241 | ||
(Variable, USD Swap 5Y + 1.43%), 3.80%, 12/15/32^ | 100,000 | 113,431 | ||
Bank of Nova Scotia (The) | ||||
3.40%, 02/11/24Δ | 65,000 | 70,773 | ||
1.30%, 06/11/25Δ | 270,000 | 277,213 | ||
Barrick Gold Corporation | ||||
5.25%, 04/01/42 | 560,000 | 773,516 | ||
Bausch Health Cos., Inc. | ||||
9.00%, 12/15/25 144A | 600,000 | 663,495 | ||
Bell Canada | ||||
4.46%, 04/01/48 | 40,000 | 53,591 | ||
Canadian Imperial Bank of Commerce | ||||
0.95%, 06/23/23 | 270,000 | 273,670 | ||
Ford Credit Canada Co. | ||||
(Floating, CAD Offered Rate 3M + 3.03%), 3.53%, 01/10/22(C) † | 2,400,000 | 1,898,732 | ||
GFL Environmental, Inc. | ||||
3.75%, 08/01/25 144A | 1,025,000 | 1,052,547 | ||
Royal Bank of Canada | ||||
3.20%, 04/30/21Δ | 300,000 | 302,884 | ||
1.60%, 04/17/23 | 430,000 | 442,340 | ||
1.15%, 06/10/25Δ | 260,000 | 265,859 | ||
Suncor Energy, Inc. | ||||
2.80%, 05/15/23 | 225,000 | 236,876 |
Par | Value | |||
3.10%, 05/15/25 | $ 475,000 | $ 520,201 | ||
Teck Resources, Ltd. | ||||
3.90%, 07/15/30Δ | 275,000 | 306,748 | ||
6.00%, 08/15/40 | 10,000 | 12,552 | ||
Toronto-Dominion Bank (The) | ||||
3.25%, 06/11/21 | 370,000 | 374,905 | ||
0.75%, 06/12/23 | 500,000 | 505,477 | ||
3.25%, 03/11/24 | 45,000 | 48,923 | ||
1.15%, 06/12/25Δ | 260,000 | 265,661 | ||
9,806,153 | ||||
Chile — 0.1% | ||||
Chile Government International Bond | ||||
2.45%, 01/31/31 | 1,800,000 | 1,930,500 | ||
Latam Airlines Pass-Through Trust, Series 2015-1, Class A | ||||
4.20%, 11/15/27 | 688,654 | 642,169 | ||
2,572,669 | ||||
China — 0.1% | ||||
Avolon Holdings Funding, Ltd. | ||||
3.95%, 07/01/24 144A | 400,000 | 422,803 | ||
2.88%, 02/15/25 144A | 800,000 | 817,283 | ||
4.25%, 04/15/26 144A | 125,000 | 134,797 | ||
China Government Bond | ||||
3.31%, 11/30/25(Y) | 1,000,000 | 157,700 | ||
Global Aircraft Leasing Co., Ltd. | ||||
Cash coupon 6.50% or PIK 7.25%, 09/15/24 144A | 362,687 | 324,605 | ||
Huarong Finance 2019 Co., Ltd. | ||||
3.75%, 05/29/24 | 200,000 | 210,572 | ||
Huarong Finance II Co., Ltd. | ||||
5.50%, 01/16/25 | 200,000 | 226,350 | ||
4.88%, 11/22/26 | 200,000 | 227,063 | ||
Park Aerospace Holdings, Ltd. | ||||
5.25%, 08/15/22 144A | 15,000 | 15,748 | ||
4.50%, 03/15/23 144A | 20,000 | 20,969 | ||
5.50%, 02/15/24 144A | 60,000 | 65,484 | ||
Sinopec Group Overseas Development 2014, Ltd. | ||||
4.38%, 04/10/24 144A | 390,000 | 428,212 | ||
3,051,586 | ||||
Colombia — 0.2% | ||||
Colombia Government International Bond | ||||
3.00%, 01/30/30 | 200,000 | 209,977 | ||
5.63%, 02/26/44 | 880,000 | 1,142,680 | ||
4.13%, 05/15/51 | 440,000 | 489,280 | ||
Ecopetrol SA | ||||
5.88%, 05/28/45 | 1,250,000 | 1,515,312 | ||
3,357,249 | ||||
Denmark — 0.2% | ||||
Danske Bank A/S | ||||
5.00%, 01/12/22 144A | 540,000 | 563,907 |
Par | Value | |||
(Variable, ICE LIBOR USD 3M + 1.25%), 3.00%, 09/20/22 144A ^ | $ 290,000 | $ 294,670 | ||
5.38%, 01/12/24 144A | 340,000 | 383,954 | ||
1.23%, 06/22/24 144A | 280,000 | 283,447 | ||
(Variable, ICE LIBOR USD 3M + 1.59%), 3.24%, 12/20/25 144A ^ | 220,000 | 235,684 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 1.35%), 1.62%, 09/11/26 144A ^ | 1,800,000 | 1,810,162 | ||
3,571,824 | ||||
Dominican Republic — 0.0% | ||||
Dominican Republic International Bond | ||||
6.40%, 06/05/49 144A | 540,000 | 635,855 | ||
Finland — 0.0% | ||||
Nokia OYJ | ||||
4.38%, 06/12/27 | 9,000 | 9,833 | ||
Nordea Bank Abp | ||||
4.88%, 05/13/21 144A | 640,000 | 649,892 | ||
659,725 | ||||
France — 0.7% | ||||
BNP Paribas SA | ||||
3.50%, 03/01/23 144A | 925,000 | 984,935 | ||
(Variable, USD Swap 5Y + 4.15%), 6.63%, 03/25/24 144A ρ Δ ^ | 200,000 | 219,000 | ||
3.38%, 01/09/25 144A | 450,000 | 493,016 | ||
(Variable, ICE LIBOR USD 3M + 2.24%), 4.71%, 01/10/25 144A ^ | 450,000 | 500,570 | ||
(Variable, U.S. SOFR + 2.07%), 2.22%, 06/09/26 144A ^ | 1,390,000 | 1,455,740 | ||
4.40%, 08/14/28 144A | 1,340,000 | 1,590,090 | ||
(Variable, U.S. SOFR + 1.61%), 1.90%, 09/30/28 144A ^ | 1,800,000 | 1,832,890 | ||
(Variable, USD Swap 5Y + 1.48%), 4.38%, 03/01/33 144A ^ | 440,000 | 504,458 | ||
BPCE SA | ||||
4.00%, 09/12/23 144A | 750,000 | 816,378 | ||
4.63%, 09/12/28 144A | 375,000 | 449,498 | ||
Credit Agricole SA | ||||
(Variable, USD Swap 5Y + 4.32%), 6.88%, 09/23/24 144A ρ ^ | 300,000 | 333,019 | ||
4.38%, 03/17/25Δ | 275,000 | 309,058 | ||
(Variable, U.S. SOFR + 1.68%), 1.91%, 06/16/26 144A ^ | 2,025,000 | 2,102,587 | ||
4.13%, 01/10/27 144A | 450,000 | 518,908 | ||
(Variable, USD Swap 5Y + 1.64%), 4.00%, 01/10/33 144A ^ | 250,000 | 279,879 | ||
Danone SA | ||||
2.59%, 11/02/23 144A | 650,000 | 684,672 |
Par | Value | |||
2.95%, 11/02/26 144A | $ 310,000 | $ 341,007 | ||
Societe Generale SA | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 1.10%), 1.49%, 12/14/26 144A ^ | 1,700,000 | 1,717,058 | ||
XLIT, Ltd. | ||||
4.45%, 03/31/25 | 349,000 | 398,666 | ||
15,531,429 | ||||
Germany — 0.5% | ||||
Deutsche Bank AG | ||||
3.15%, 01/22/21 | 1,600,000 | 1,601,794 | ||
4.25%, 10/14/21 | 1,500,000 | 1,538,495 | ||
5.00%, 02/14/22 | 1,400,000 | 1,464,218 | ||
3.95%, 02/27/23 | 1,900,000 | 2,019,966 | ||
(Variable, U.S. SOFR + 2.16%), 2.22%, 09/18/24^ | 2,100,000 | 2,161,770 | ||
4.10%, 01/13/26 | 65,000 | 72,095 | ||
(Variable, U.S. SOFR + 1.87%), 2.13%, 11/24/26^ | 450,000 | 460,761 | ||
Volkswagen Bank GmbH | ||||
1.88%, 01/31/24(E) | 1,500,000 | 1,930,965 | ||
11,250,064 | ||||
Hong Kong — 0.0% | ||||
AIA Group, Ltd. | ||||
3.90%, 04/06/28 144A | 200,000 | 227,695 | ||
CNAC HK Finbridge Co., Ltd. | ||||
3.88%, 06/19/29 | 200,000 | 202,873 | ||
430,568 | ||||
Indonesia — 0.2% | ||||
Indonesia Government International Bond | ||||
4.88%, 05/05/21 | 570,000 | 578,527 | ||
3.85%, 07/18/27 144A | 500,000 | 572,229 | ||
3.50%, 01/11/28 | 450,000 | 505,211 | ||
5.25%, 01/08/47 144A | 200,000 | 266,704 | ||
4.35%, 01/11/48 | 500,000 | 598,475 | ||
3.70%, 10/30/49 | 980,000 | 1,076,506 | ||
3,597,652 | ||||
Ireland — 0.4% | ||||
AerCap Ireland Capital DAC | ||||
4.63%, 07/01/22Δ | 550,000 | 578,918 | ||
3.30%, 01/23/23 | 525,000 | 547,970 | ||
4.88%, 01/16/24 | 350,000 | 382,309 | ||
3.15%, 02/15/24 | 330,000 | 346,177 | ||
6.50%, 07/15/25 | 290,000 | 346,954 | ||
AIB Group PLC | ||||
4.75%, 10/12/23 144A | 950,000 | 1,045,911 | ||
GE Capital International Funding Co. Unlimited Co. | ||||
3.37%, 11/15/25 | 2,772,000 | 3,078,646 | ||
4.42%, 11/15/35 | 250,000 | 298,723 |
Par | Value | |||
SMBC Aviation Capital Finance DAC | ||||
4.13%, 07/15/23 144A | $ 900,000 | $ 961,772 | ||
7,587,380 | ||||
Isle of Man — 0.0% | ||||
Sasol Financing International, Ltd. | ||||
4.50%, 11/14/22 | 370,000 | 378,344 | ||
Israel — 0.2% | ||||
Israel Government International Bond | ||||
3.25%, 01/17/28 | 1,500,000 | 1,714,251 | ||
2.75%, 07/03/30 | 2,060,000 | 2,275,054 | ||
3.88%, 07/03/50 | 400,000 | 481,823 | ||
4,471,128 | ||||
Italy — 0.4% | ||||
Intesa Sanpaolo SpA | ||||
3.13%, 07/14/22 144A | 580,000 | 600,844 | ||
3.38%, 01/12/23 144A | 220,000 | 230,510 | ||
5.02%, 06/26/24 144A | 1,310,000 | 1,433,933 | ||
3.25%, 09/23/24 144A | 1,400,000 | 1,496,741 | ||
5.71%, 01/15/26 144A | 200,000 | 229,071 | ||
UniCredit SpA | ||||
6.57%, 01/14/22 144A | 530,000 | 558,607 | ||
7.83%, 12/04/23 144A | 3,100,000 | 3,680,605 | ||
8,230,311 | ||||
Japan — 2.7% | ||||
Aircastle, Ltd. | ||||
5.13%, 03/15/21 | 764,000 | 770,119 | ||
5.50%, 02/15/22 | 1,300,000 | 1,354,386 | ||
Japan Finance Organization for Municipalities | ||||
2.13%, 10/25/23 144A | 2,200,000 | 2,300,097 | ||
Japan Treasury Discount Bill | ||||
(0.08)%, 03/22/21(J) Ω | 3,530,000,000 | 34,194,636 | ||
Mitsubishi UFJ Financial Group, Inc. | ||||
3.00%, 02/22/22 | 180,000 | 185,425 | ||
1.41%, 07/17/25 | 2,100,000 | 2,159,731 | ||
3.74%, 03/07/29 | 65,000 | 76,251 | ||
4.29%, 07/26/38 | 30,000 | 38,434 | ||
3.75%, 07/18/39 | 700,000 | 853,820 | ||
Mitsubishi UFJ Lease & Finance Co., Ltd. | ||||
3.41%, 02/28/22 144A | 1,500,000 | 1,543,185 | ||
Mizuho Financial Group, Inc. | ||||
(Floating, ICE LIBOR USD 3M + 0.99%), 1.21%, 07/10/24† | 1,700,000 | 1,718,708 | ||
(Variable, ICE LIBOR USD 3M + 0.83%), 2.23%, 05/25/26^ | 1,600,000 | 1,685,390 | ||
Nissan Motor Co., Ltd. | ||||
3.04%, 09/15/23 144A | 330,000 | 345,270 | ||
3.52%, 09/17/25 144A | 2,490,000 | 2,668,380 | ||
4.35%, 09/17/27 144A | 770,000 | 851,462 | ||
Panasonic Corporation | ||||
2.54%, 07/19/22 144A | 1,302,000 | 1,338,790 | ||
Sumitomo Mitsui Financial Group, Inc. | ||||
2.06%, 07/14/21 | 260,000 | 262,386 |
Par | Value | |||
4.44%, 04/02/24 144A | $ 1,450,000 | $ 1,599,968 | ||
2.45%, 09/27/24 | 1,600,000 | 1,705,846 | ||
Takeda Pharmaceutical Co., Ltd. | ||||
4.40%, 11/26/23 | 1,300,000 | 1,440,937 | ||
2.05%, 03/31/30 | 700,000 | 717,396 | ||
57,810,617 | ||||
Jersey — 0.0% | ||||
Galaxy Pipeline Assets Bidco, Ltd. | ||||
2.63%, 03/31/36 144A | 200,000 | 207,991 | ||
Kazakhstan — 0.0% | ||||
KazMunayGas National Co. JSC | ||||
5.38%, 04/24/30 144A | 200,000 | 247,066 | ||
Kuwait — 0.1% | ||||
Kuwait International Government Bond | ||||
3.50%, 03/20/27 144A | 790,000 | 899,612 | ||
3.50%, 03/20/27 | 900,000 | 1,024,875 | ||
1,924,487 | ||||
Luxembourg — 0.0% | ||||
ArcelorMittal SA | ||||
4.55%, 03/11/26 | 200,000 | 224,814 | ||
7.25%, 10/15/39 | 70,000 | 98,333 | ||
323,147 | ||||
Mexico — 0.8% | ||||
Banco Actinver SA | ||||
4.80%, 12/18/32 144A | 1,530,000 | 1,158,497 | ||
Mexican Bonos | ||||
10.00%, 12/05/24(M) | 25,130,000 | 1,511,727 | ||
7.75%, 11/13/42(M) | 47,285,200 | 2,739,117 | ||
8.00%, 11/07/47(M) | 78,860,000 | 4,680,875 | ||
Mexico City Airport Trust | ||||
3.88%, 04/30/28 144A | 360,000 | 372,735 | ||
5.50%, 07/31/47 | 200,000 | 211,150 | ||
5.50%, 07/31/47 144A | 270,000 | 285,053 | ||
Mexico Government International Bond | ||||
4.50%, 04/22/29 | 200,000 | 235,175 | ||
2.66%, 05/24/31 | 760,000 | 780,140 | ||
4.75%, 04/27/32 | 2,300,000 | 2,773,800 | ||
3.77%, 05/24/61 | 702,000 | 732,888 | ||
Petroleos Mexicanos | ||||
6.88%, 10/16/25 144A | 180,000 | 197,532 | ||
6.88%, 08/04/26 | 200,000 | 218,800 | ||
6.63%, 06/15/35 | 19,000 | 18,840 | ||
5.50%, 06/27/44 | 170,000 | 146,540 | ||
6.38%, 01/23/45 | 370,000 | 339,752 | ||
16,402,621 | ||||
Netherlands — 1.1% | ||||
ABN AMRO Bank NV | ||||
4.75%, 07/28/25 144A | 200,000 | 230,625 | ||
(Variable, 4.67% - EUR Swap Rate 5Y), 4.38%, 09/22/25(E) ρ ^ | 400,000 | 520,520 |
Par | Value | |||
Cooperatieve Rabobank UA | ||||
4.63%, 12/01/23 | $ 400,000 | $ 446,066 | ||
4.38%, 08/04/25 | 670,000 | 765,137 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 1.00%), 1.34%, 06/24/26 144A ^ | 310,000 | 316,897 | ||
Enel Finance International NV | ||||
4.25%, 09/14/23 144A | 1,500,000 | 1,641,541 | ||
Equate Petrochemical BV | ||||
4.25%, 11/03/26 144A Δ | 520,000 | 581,118 | ||
ING Groep NV | ||||
4.63%, 01/06/26 144A | 1,600,000 | 1,884,387 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 1.10%), 1.40%, 07/01/26 144A ^ | 1,000,000 | 1,017,912 | ||
JAB Holdings BV | ||||
2.20%, 11/23/30 144A | 550,000 | 553,672 | ||
Lukoil Securities BV | ||||
3.88%, 05/06/30 144A | 210,000 | 227,457 | ||
NXP BV | ||||
3.88%, 09/01/22 144A | 950,000 | 1,001,480 | ||
2.70%, 05/01/25 144A | 1,870,000 | 2,014,303 | ||
3.88%, 06/18/26 144A | 1,500,000 | 1,720,186 | ||
3.40%, 05/01/30 144A | 250,000 | 284,065 | ||
Petrobras Global Finance BV | ||||
5.30%, 01/27/25 | 356,000 | 402,729 | ||
7.38%, 01/17/27Δ | 120,000 | 148,751 | ||
6.00%, 01/27/28Δ | 610,000 | 714,783 | ||
6.85%, 06/05/15π | 550,000 | 686,895 | ||
Prosus NV | ||||
4.85%, 07/06/27 144A | 420,000 | 484,718 | ||
3.68%, 01/21/30 144A | 200,000 | 218,125 | ||
4.03%, 08/03/50 144A | 220,000 | 231,524 | ||
3.83%, 02/08/51 144A | 420,000 | 413,254 | ||
Shell International Finance BV | ||||
2.88%, 05/10/26 | 660,000 | 731,030 | ||
2.75%, 04/06/30 | 1,600,000 | 1,772,271 | ||
6.38%, 12/15/38 | 25,000 | 38,958 | ||
4.55%, 08/12/43 | 120,000 | 159,677 | ||
4.38%, 05/11/45 | 230,000 | 303,549 | ||
4.00%, 05/10/46 | 190,000 | 239,697 | ||
3.25%, 04/06/50 | 310,000 | 352,197 | ||
Syngenta Finance NV | ||||
3.93%, 04/23/21 144A | 2,350,000 | 2,365,915 | ||
4.44%, 04/24/23 144A | 700,000 | 735,070 | ||
5.18%, 04/24/28 144A | 200,000 | 214,688 | ||
23,419,197 | ||||
Nigeria — 0.0% | ||||
Nigeria Government International Bond | ||||
8.75%, 01/21/31 | 210,000 | 244,084 | ||
Norway — 0.1% | ||||
Yara International ASA | ||||
4.75%, 06/01/28 144A | 1,100,000 | 1,306,004 |
Par | Value | |||
Panama — 0.0% | ||||
Panama Government International Bond | ||||
2.25%, 09/29/32 | $ 290,000 | $ 299,788 | ||
4.50%, 04/01/56 | 280,000 | 361,900 | ||
661,688 | ||||
Peru — 0.3% | ||||
Peruvian Government International Bond | ||||
8.20%, 08/12/26(ZB) | 7,000,000 | 2,626,761 | ||
6.35%, 08/12/28(ZB) | 6,100,000 | 2,143,069 | ||
2.78%, 01/23/31 | 930,000 | 1,022,777 | ||
5.63%, 11/18/50 | 330,000 | 520,342 | ||
2.78%, 12/01/60 | 270,000 | 272,970 | ||
3.23%, 07/28/21~ | 100,000 | 100,000 | ||
6,685,919 | ||||
Poland — 0.1% | ||||
Republic of Poland Government International Bond | ||||
4.00%, 01/22/24 | 1,180,000 | 1,308,049 | ||
Qatar — 0.3% | ||||
Qatar Government International Bond | ||||
3.38%, 03/14/24 144A | 560,000 | 607,320 | ||
3.38%, 03/14/24 | 1,700,000 | 1,843,650 | ||
4.00%, 03/14/29 144A | 460,000 | 546,250 | ||
5.10%, 04/23/48 | 1,000,000 | 1,408,810 | ||
4.82%, 03/14/49 144A | 1,220,000 | 1,667,972 | ||
6,074,002 | ||||
Romania — 0.1% | ||||
Romanian Government International Bond | ||||
3.62%, 05/26/30(E) 144A | 510,000 | 744,899 | ||
3.00%, 02/14/31 144A | 130,000 | 139,796 | ||
2.00%, 01/28/32(E) 144A | 70,000 | 89,926 | ||
3.38%, 01/28/50(E) 144A | 60,000 | 84,532 | ||
3.38%, 01/28/50(E) | 70,000 | 98,620 | ||
4.00%, 02/14/51 144A | 280,000 | 305,426 | ||
1,463,199 | ||||
Russia — 0.4% | ||||
Gazprom PJSC Via Gaz Capital SA | ||||
5.15%, 02/11/26 144A | 340,000 | 388,325 | ||
7.29%, 08/16/37 | 100,000 | 147,409 | ||
Russian Federal Bond - OFZ | ||||
7.00%, 01/25/23(Q) | 34,070,000 | 484,058 | ||
7.00%, 08/16/23(Q) | 52,440,000 | 747,856 | ||
7.75%, 09/16/26(Q) | 9,710,000 | 146,156 | ||
8.15%, 02/03/27(Q) | 87,410,000 | 1,344,524 | ||
7.05%, 01/19/28(Q) | 110,471,000 | 1,614,333 | ||
6.90%, 05/23/29(Q) | 171,670,000 | 2,496,248 | ||
7.25%, 05/10/34(Q) | 48,570,000 | 714,958 | ||
7.70%, 03/16/39(Q) | 94,210,000 | 1,455,736 | ||
9,539,603 |
Par | Value | |||
Saudi Arabia — 0.1% | ||||
Saudi Arabian Oil Co. | ||||
2.75%, 04/16/22 144A | $1,800,000 | $1,849,952 | ||
South Korea — 0.0% | ||||
Export-Import Bank of Korea | ||||
5.00%, 04/11/22 | 900,000 | 952,689 | ||
Spain — 0.3% | ||||
Banco Santander SA | ||||
(Floating, ICE LIBOR USD 3M + 1.12%), 1.34%, 04/12/23† | 200,000 | 202,078 | ||
3.85%, 04/12/23 | 400,000 | 429,930 | ||
2.75%, 05/28/25 | 4,500,000 | 4,808,860 | ||
3.31%, 06/27/29 | 400,000 | 450,822 | ||
2.75%, 12/03/30 | 200,000 | 206,324 | ||
Telefonica Emisiones SA | ||||
4.57%, 04/27/23 | 500,000 | 547,004 | ||
5.21%, 03/08/47 | 400,000 | 513,530 | ||
7,158,548 | ||||
Sweden — 0.0% | ||||
Svenska Handelsbanken AB | ||||
3.35%, 05/24/21 | 250,000 | 253,088 | ||
Swedbank AB | ||||
1.30%, 06/02/23 144A | 330,000 | 336,620 | ||
589,708 | ||||
Switzerland — 0.8% | ||||
Credit Suisse AG | ||||
6.50%, 08/08/23 144A | 225,000 | 253,944 | ||
2.95%, 04/09/25 | 665,000 | 729,942 | ||
Credit Suisse Group AG | ||||
(Variable, U.S. SOFR + 1.56%), 2.59%, 09/11/25 144A ^ | 250,000 | 263,207 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 4.33%), 7.25%, 09/12/25 144A ρ ^ | 400,000 | 450,371 | ||
4.55%, 04/17/26 | 1,140,000 | 1,342,172 | ||
(Variable, U.S. SOFR + 2.04%), 2.19%, 06/05/26 144A ^ | 610,000 | 638,155 | ||
4.28%, 01/09/28 144A | 1,800,000 | 2,082,346 | ||
(Variable, ICE LIBOR USD 3M + 1.41%), 3.87%, 01/12/29 144A ^ | 425,000 | 481,955 | ||
(Variable, U.S. SOFR + 3.73%), 4.19%, 04/01/31 144A ^ | 955,000 | 1,125,329 | ||
Credit Suisse Group Funding Guernsey, Ltd. | ||||
3.45%, 04/16/21 | 800,000 | 807,354 | ||
3.80%, 09/15/22 | 1,300,000 | 1,373,502 | ||
UBS AG | ||||
1.75%, 04/21/22 144A | 470,000 | 478,449 | ||
UBS Group AG | ||||
3.49%, 05/23/23 144A | 2,480,000 | 2,581,799 | ||
(Variable, ICE LIBOR USD 3M + 0.95%), 2.86%, 08/15/23 144A ^ | 1,200,000 | 1,244,499 | ||
(Variable, USD Swap 5Y + 4.34%), 7.00%, 01/31/24 144A ρ ^ | 840,000 | 921,434 |
Par | Value | |||
4.13%, 09/24/25 144A | $ 440,000 | $ 504,374 | ||
4.25%, 03/23/28 144A | 760,000 | 890,277 | ||
16,169,109 | ||||
Taiwan — 0.0% | ||||
TSMC Global, Ltd. | ||||
0.75%, 09/28/25 144A | 400,000 | 398,666 | ||
Turkey — 0.1% | ||||
Turkish Airlines Pass-Through Trust, Series 2015-1, Class A | ||||
4.20%, 03/15/27 144A | 1,062,000 | 883,572 | ||
Turkiye Vakiflar Bankasi TAO | ||||
8.13%, 03/28/24 | 200,000 | 214,251 | ||
6.50%, 01/08/26 144A | 200,000 | 205,530 | ||
1,303,353 | ||||
United Arab Emirates — 0.3% | ||||
Abu Dhabi Government International Bond | ||||
2.50%, 10/11/22 144A | 810,000 | 839,626 | ||
3.13%, 10/11/27 144A | 500,000 | 561,515 | ||
3.13%, 04/16/30 144A | 1,500,000 | 1,696,875 | ||
3.88%, 04/16/50 144A | 1,900,000 | 2,321,800 | ||
DP World PLC | ||||
5.63%, 09/25/48 144A | 620,000 | 792,484 | ||
6,212,300 | ||||
United Kingdom — 2.0% | ||||
Anglo American Capital PLC | ||||
3.63%, 09/11/24 144A | 700,000 | 762,299 | ||
4.00%, 09/11/27 144A | 220,000 | 252,776 | ||
AstraZeneca PLC | ||||
6.45%, 09/15/37 | 45,000 | 69,532 | ||
Barclays Bank PLC | ||||
10.18%, 06/12/21 144A | 1,700,000 | 1,768,237 | ||
1.70%, 05/12/22 | 200,000 | 203,576 | ||
7.63%, 11/21/22 | 415,000 | 461,817 | ||
Barclays PLC | ||||
(Variable, ICE LIBOR USD 3M + 1.40%), 4.61%, 02/15/23^ | 950,000 | 991,900 | ||
(Variable, ICE LIBOR USD 3M + 2.45%), 2.85%, 05/07/26^ | 800,000 | 860,034 | ||
(Variable, ICE LIBOR USD 3M + 1.90%), 4.97%, 05/16/29^ | 1,760,000 | 2,112,650 | ||
(Variable, ICE LIBOR USD 3M + 3.05%), 5.09%, 06/20/30^ | 1,250,000 | 1,500,537 | ||
BP Capital Markets PLC | ||||
3.56%, 11/01/21 | 30,000 | 30,808 | ||
3.81%, 02/10/24 | 375,000 | 412,028 | ||
3.54%, 11/04/24 | 60,000 | 66,471 | ||
3.51%, 03/17/25 | 330,000 | 368,372 | ||
British Telecommunications PLC | ||||
9.63%, 12/15/30 | 25,000 | 41,510 | ||
Gazprom PJSC via Gaz Finance PLC | ||||
3.25%, 02/25/30 144A | 470,000 | 486,910 | ||
GlaxoSmithKline Capital PLC | ||||
2.85%, 05/08/22 | 20,000 | 20,692 | ||
5.25%, 12/19/33(U) | 100,000 | 207,207 |
Par | Value | |||
Hammerson PLC REIT | ||||
3.50%, 10/27/25(U) | $ 100,000 | $ 134,937 | ||
HSBC Holdings PLC | ||||
(Variable, ICE LIBOR USD 3M + 1.06%), 3.26%, 03/13/23^ | 300,000 | 309,938 | ||
(Floating, ICE LIBOR USD 3M + 1.00%), 1.22%, 05/18/24† | 300,000 | 302,109 | ||
(Variable, ICE LIBOR USD 3M + 1.21%), 3.80%, 03/11/25^ | 625,000 | 682,701 | ||
4.25%, 08/18/25 | 220,000 | 250,224 | ||
(Variable, U.S. SOFR + 1.54%), 1.65%, 04/18/26^ | 1,050,000 | 1,074,566 | ||
(Variable, U.S. SOFR + 1.93%), 2.10%, 06/04/26^ | 370,000 | 384,889 | ||
(Variable, ICE LIBOR USD 3M + 1.55%), 4.04%, 03/13/28^ | 300,000 | 342,780 | ||
(Variable, ICE LIBOR USD 3M + 1.53%), 4.58%, 06/19/29^ | 510,000 | 603,745 | ||
4.95%, 03/31/30 | 400,000 | 501,824 | ||
6.50%, 09/15/37 | 120,000 | 175,802 | ||
Lloyds Bank PLC | ||||
(Step to 0.00% on 04/02/22), 7.50%, 04/02/32 STEP | 2,000,000 | 1,688,259 | ||
Lloyds Banking Group PLC | ||||
(Variable, ICE LIBOR USD 3M + 1.25%), 2.86%, 03/17/23^ | 1,900,000 | 1,953,289 | ||
3.90%, 03/12/24 | 210,000 | 231,075 | ||
4.38%, 03/22/28 | 800,000 | 952,718 | ||
4.55%, 08/16/28 | 230,000 | 277,723 | ||
Nationwide Building Society | ||||
(Variable, ICE LIBOR USD 3M + 1.06%), 3.77%, 03/08/24 144A ^ | 2,000,000 | 2,129,092 | ||
(Variable, ICE LIBOR USD 3M + 1.39%), 4.36%, 08/01/24 144A ^ | 1,300,000 | 1,413,690 | ||
(Variable, ICE LIBOR USD 3M + 1.86%), 3.96%, 07/18/30 144A ^ | 375,000 | 437,378 | ||
Natwest Group PLC | ||||
2.50%, 03/22/23(E) | 1,400,000 | 1,807,009 | ||
(Floating, ICE LIBOR USD 3M + 1.47%), 1.69%, 05/15/23† | 1,300,000 | 1,314,697 | ||
(Variable, ICE LIBOR USD 3M + 1.48%), 3.50%, 05/15/23^ | 429,000 | 445,498 | ||
3.88%, 09/12/23 | 579,000 | 628,560 | ||
6.00%, 12/19/23 | 110,000 | 125,767 | ||
5.13%, 05/28/24 | 280,000 | 316,642 | ||
(Variable, ICE LIBOR USD 3M + 1.55%), 4.52%, 06/25/24^ | 2,205,000 | 2,409,151 | ||
(Variable, ICE LIBOR USD 3M + 1.76%), 4.27%, 03/22/25^ | 1,215,000 | 1,344,756 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 2.10%), 3.75%, 11/01/29^ | 200,000 | 212,949 | ||
Reckitt Benckiser Treasury Services PLC | ||||
2.75%, 06/26/24 144A | 600,000 | 641,985 | ||
Royalty Pharma PLC | ||||
1.20%, 09/02/25 144A | 1,150,000 | 1,170,538 | ||
Santander UK PLC | ||||
2.88%, 06/18/24 | 925,000 | 991,095 |
Par | Value | |||
Severn Trent Utilities Finance PLC | ||||
6.25%, 06/07/29(U) | $ 100,000 | $ 196,561 | ||
Society of Lloyd's | ||||
4.75%, 10/30/24(U) Δ | 100,000 | 154,575 | ||
Standard Chartered PLC | ||||
(Variable, ICE LIBOR USD 3M + 1.15%), 4.25%, 01/20/23 144A ^ | 1,000,000 | 1,037,264 | ||
Vedanta Resources, Ltd. | ||||
7.13%, 05/31/23 | 200,000 | 164,600 | ||
Vodafone Group PLC | ||||
3.75%, 01/16/24 | 4,475,000 | 4,892,918 | ||
4.38%, 05/30/28 | 340,000 | 407,467 | ||
6.15%, 02/27/37 | 10,000 | 14,450 | ||
5.00%, 05/30/38 | 55,000 | 72,054 | ||
42,812,631 | ||||
Total Foreign Bonds (Cost $274,128,078) | 288,730,359 | |||
LOAN AGREEMENTS — 0.4% | ||||
1011778 B.C. Unlimited Liability Co. Term B-4 Loan | ||||
(Floating, ICE LIBOR USD 1M + 1.75%), 1.90%, 11/19/26† | 118,800 | 117,352 | ||
Allied Universal Holdco LLC Initial Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 4.25%), 4.40%, 07/10/26† | 197,972 | 197,427 | ||
APi Group DE, Inc. Initial Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.50%), 2.65%, 10/01/26† | 227,700 | 227,593 | ||
Asurion LLC New B-7 Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 3.00%), 3.15%, 11/03/24† | 265,192 | 263,468 | ||
athenahealth, Inc. Term B Loan | ||||
(Floating, ICE LIBOR USD 1M + 4.50%), 4.65%, 02/11/26† | 81,812 | 81,915 | ||
Atlantic Aviation FBO, Inc. Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 3.75%), 3.90%, 12/06/25† | 88,200 | 88,200 | ||
Avolon TLB Borrower 1 LLC Term B-5 Loan | ||||
0.00%, 12/01/27† Σ | 60,000 | 60,122 | ||
(Floating, ICE LIBOR USD 1M + 2.50%, 0.75% Floor), 3.25%, 12/01/27† | 120,000 | 120,244 | ||
Charter Communications Operating LLC Term B-1 Loan | ||||
(Floating, ICE LIBOR USD 1M + 1.75%), 1.90%, 04/30/25† | 153,887 | 153,545 | ||
Charter Communications Operating LLC Term B-2 Loan | ||||
(Floating, ICE LIBOR USD 1M + 1.75%), 1.90%, 02/01/27† | 129,672 | 129,145 | ||
Clarios Global LP Initial Dollar Term Loan | ||||
0.00%, 04/30/26† Σ | 339,126 | 338,631 | ||
(Floating, ICE LIBOR USD 1M + 3.50%), 3.65%, 04/30/26† | 358,768 | 358,244 |
Par | Value | |||
DCert Buyer, Inc. Initial Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 4.00%), 4.15%, 10/16/26† | $ 436,700 | $ 436,973 | ||
Dell International LLC Refinancing Term B-1 Loan | ||||
0.00%, 09/19/25† Σ | 6,701 | 6,713 | ||
Delta Air Lines, Inc. Term Loan | ||||
(Floating, ICE LIBOR USD 3M + 4.75%, 1.00% Floor), 5.75%, 04/29/23† | 108,203 | 110,097 | ||
Delta Topco, Inc. Initial Term Loan | ||||
(Floating, ICE LIBOR USD 3M + 3.75%, 0.75% Floor), 4.50%, 12/01/27† | 500,000 | 500,730 | ||
Energizer Holdings, Inc. 2020 Term Loan | ||||
0.00%, 12/22/27† Σ | 140,000 | 140,263 | ||
EyeCare Partners LLC Initial Delayed Draw Term Loan | ||||
0.00%, 02/18/27† Σ | 77,568 | 75,803 | ||
(Floating, ICE LIBOR USD 1M + 3.75%), 3.90%, 02/18/27† | 77,568 | 75,803 | ||
EyeCare Partners LLC Initial Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 3.75%), 3.90%, 02/18/27† | 329,939 | 322,435 | ||
Focus Financial Partners LLC Tranche B-3 Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.00%), 2.15%, 07/03/24† | 86,511 | 86,123 | ||
Four Seasons Holdings, Inc. Term Loan 2013 | ||||
(Floating, ICE LIBOR USD 1M + 2.00%), 2.15%, 11/30/23† | 49,357 | 49,150 | ||
Froneri International, Ltd. Facility B2 | ||||
(Floating, ICE LIBOR USD 1M + 2.25%), 2.40%, 01/29/27† | 268,650 | 266,501 | ||
Genesee & Wyoming, Inc. Initial Term Loan | ||||
(Floating, ICE LIBOR USD 3M + 2.00%), 2.25%, 12/30/26† | 59,550 | 59,513 | ||
Global Medical Response, Inc. 2020 Refinancing Term Loan | ||||
(Floating, ICE LIBOR USD 3M + 4.75%, 1.00% Floor), 5.75%, 10/02/25† | 605,940 | 603,289 | ||
HCA, Inc. Tranche B-12 Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 1.75%), 1.90%, 03/13/25† | 1,047,699 | 1,048,915 | ||
Hilton Worldwide Finance LLC Refinanced Series B-2 Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 1.75%), 1.90%, 06/22/26† | 68,355 | 67,700 | ||
iHeartCommunications, Inc. New Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 3.00%), 3.15%, 05/01/26† | 186,951 | 184,303 |
Par | Value | |||
Jane Street Group LLC New Dollar Term Loan | ||||
(Floating, ICE LIBOR USD 3M + 3.00%), 3.23%, 01/31/25† | $ 44,500 | $ 44,511 | ||
Level 3 Financing, Inc. Tranche B 2027 Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 1.75%), 1.90%, 03/01/27† | 107,945 | 106,393 | ||
LifePoint Health, Inc. Term B Loan | ||||
(Floating, ICE LIBOR USD 1M + 3.75%), 3.90%, 11/16/25† | 137,463 | 137,369 | ||
McAfee LLC Term B USD Loan | ||||
(Floating, ICE LIBOR USD 1M + 3.75%), 3.90%, 09/30/24† | 118,679 | 118,850 | ||
Michaels Stores, Inc. 2020 Refinancing Term B Loan | ||||
(Floating, ICE LIBOR USD 1M + 3.50%, 0.75% Floor), 4.25%, 10/01/27† | 809,763 | 806,476 | ||
MPH Acquisition Holdings LLC Initial Term Loan | ||||
(Floating, ICE LIBOR USD 3M + 2.75%, 1.00% Floor), 3.75%, 06/07/23† | 23,829 | 23,764 | ||
Nexstar Broadcasting, Inc. Term B-4 Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.75%), 2.90%, 09/18/26† | 47,600 | 47,386 | ||
Option Care Health, Inc. Term B Loan | ||||
(Floating, ICE LIBOR USD 1M + 4.25%), 4.40%, 08/06/26† | 267,300 | 267,245 | ||
Realogy Group LLC Extended 2025 Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.25%, 0.75% Floor), 3.00%, 02/08/25† | 89,769 | 88,486 | ||
Reynolds Consumer Products LLC Initial Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 1.75%), 1.90%, 02/04/27† | 21,032 | 20,934 | ||
Univision Communications, Inc. 2020 Replacement First-Lien Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 3.75%, 1.00% Floor), 4.75%, 03/15/26† | 111,439 | 111,896 | ||
Verscend Holding Corporation Term B Loan | ||||
(Floating, ICE LIBOR USD 1M + 4.50%), 4.65%, 08/27/25† | 209,464 | 209,778 | ||
VFH Parent LLC Initial Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 3.00%), 3.15%, 03/01/26† | 268,130 | 268,214 |
Par | Value | |||
Western Digital Corporation U.S. Term B-4 Loan | ||||
(Floating, ICE LIBOR USD 1M + 1.75%), 1.90%, 04/29/23† | $ 189,590 | $ 189,661 | ||
Total Loan Agreements (Cost $8,622,925) | 8,611,160 | |||
MORTGAGE-BACKED SECURITIES — 34.0% | ||||
280 Park Avenue Mortgage Trust, Series 2017-280P, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.88%, 0.88% Floor), 1.04%, 09/15/34 144A † | 1,200,000 | 1,202,634 | ||
Alba PLC, Series 2007-1, Class A3 | ||||
(Floating, ICE LIBOR GBP 3M + 0.17%), 0.21%, 03/17/39(U) † | 623,150 | 815,146 | ||
Alternative Loan Trust, Series 2006-OA11, Class A1B | ||||
(Floating, ICE LIBOR USD 1M + 0.38%, 0.38% Floor), 0.53%, 09/25/46† | 275,319 | 261,918 | ||
American Home Mortgage Investment Trust, Series 2005-2, Class 4A1 | ||||
(Floating, ICE LIBOR USD 6M + 1.50%, 1.50% Floor, 11.00% Cap), 1.76%, 09/25/45† | 162,163 | 162,330 | ||
Arbor Multifamily Mortgage Securities Trust, Series 2020-MF1, Class A5 | ||||
2.76%, 05/15/53 144A | 1,300,000 | 1,431,187 | ||
AREIT Trust, Series 2020-CRE4, Class A | ||||
(Floating, ICE LIBOR USD 1M + 2.62%, 2.62% Floor), 2.78%, 04/15/37 144A † | 1,300,000 | 1,315,297 | ||
Banc of America Funding Trust, Series 2005-D, Class A1 | ||||
3.51%, 05/25/35† γ | 319,744 | 328,596 | ||
Banc of America Mortgage Trust, Series 2004-F, Class 1A1 | ||||
2.88%, 07/25/34† γ | 29,985 | 29,896 | ||
Bancorp Commercial Mortgage Trust, Series 2018-CRE4, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.90%, 0.95% Floor), 1.06%, 09/15/35 144A † | 26,982 | 26,898 | ||
BANK, Series 2017-BNK9, Class XA | ||||
0.80%, 11/15/54† IO γ | 9,833,296 | 435,315 | ||
BANK, Series 2018-BNK10, Class D | ||||
2.60%, 02/15/61 144A | 200,000 | 157,436 | ||
BANK, Series 2018-BNK14, Class D | ||||
3.00%, 09/15/60 144A | 250,000 | 214,509 | ||
BANK, Series 2019-BNK19, Class D | ||||
3.00%, 08/15/61 144A | 100,000 | 92,179 | ||
BBCCRE Trust, Series 2015-GTP, Class A | ||||
3.97%, 08/10/33 144A | 1,600,000 | 1,746,565 | ||
BBCCRE Trust, Series 2015-GTP, Class D | ||||
4.56%, 08/10/33 144A † γ | 390,000 | 372,432 |
Par | Value | |||
BBCMS Mortgage Trust, Series 2017-C1, Class D | ||||
3.51%, 02/15/50 144A † γ | $ 200,000 | $ 166,221 | ||
BBCMS Mortgage Trust, Series 2018-C2, Class A5 | ||||
4.31%, 12/15/51 | 1,700,000 | 2,045,967 | ||
BBCMS Mortgage Trust, Series 2020-C6, Class ASB | ||||
2.60%, 02/15/53 | 1,800,000 | 1,969,249 | ||
BCAP LLC, Series 2014-RR2, Class 7A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.20%, 0.20% Floor), 0.35%, 01/26/38 144A † | 419,198 | 412,687 | ||
Bear Stearns ALT-A Trust, Series 2005-4, Class 23A2 | ||||
3.37%, 05/25/35† γ | 108,768 | 109,747 | ||
Bear Stearns ARM Trust, Series 2002-11, Class 1A1 | ||||
3.01%, 02/25/33† γ | 6,360 | 6,364 | ||
Bear Stearns Structured Products, Inc. Trust, Series 2007-R6, Class 1A1 | ||||
2.98%, 01/26/36† γ | 325,017 | 274,644 | ||
Benchmark Mortgage Trust, Series 2019-B9, Class A5 | ||||
4.02%, 03/15/52 | 1,800,000 | 2,148,261 | ||
BX Commercial Mortgage Trust, Series 2019-XL, Class F | ||||
(Floating, ICE LIBOR USD 1M + 2.00%, 2.00% Floor), 2.16%, 10/15/36 144A † | 1,395,468 | 1,379,107 | ||
Cantor Commercial Real Estate Lending, Series 2019-CF2, Class E | ||||
2.50%, 11/15/52 144A | 550,000 | 427,121 | ||
CHL Mortgage Pass-Through Trust, Series 2003-58, Class 2A2 | ||||
2.81%, 02/19/34† γ | 184,460 | 187,919 | ||
CHL Mortgage Pass-Through Trust, Series 2004-HYB5, Class 2A1 | ||||
2.92%, 04/20/35† γ | 130,714 | 132,412 | ||
CHT Mortgage Trust, Series 2017-CSMO, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.93%, 0.93% Floor), 1.09%, 11/15/36 144A † | 310,000 | 307,288 | ||
CIM Trust, Series 2017-6, Class A1 | ||||
3.02%, 06/25/57 144A | 1,705,525 | 1,710,230 | ||
Citigroup Commercial Mortgage Trust, Series 2017-P7, Class D | ||||
3.25%, 04/14/50 144A | 150,000 | 127,284 | ||
Citigroup Commercial Mortgage Trust, Series 2019-GC41, Class A5 | ||||
2.87%, 08/10/56 | 1,450,000 | 1,614,595 | ||
Citigroup Commercial Mortgage Trust, Series 2020-GC46, Class D | ||||
2.60%, 02/15/53 144A | 650,000 | 565,905 |
Par | Value | |||
Cold Storage Trust, Series 2020-ICE5, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.90%, 0.90% Floor), 1.06%, 11/15/37 144A † | $ 660,000 | $ 664,212 | ||
COMM Mortgage Trust, Series 2013-CR12, Class AM | ||||
4.30%, 10/10/46 | 50,000 | 52,464 | ||
COMM Mortgage Trust, Series 2013-CR12, Class B | ||||
4.76%, 10/10/46 | 40,000 | 40,995 | ||
COMM Mortgage Trust, Series 2013-CR12, Class C | ||||
5.07%, 10/10/46† γ | 20,000 | 19,854 | ||
COMM Mortgage Trust, Series 2013-CR6, Class B | ||||
3.40%, 03/10/46 144A | 390,000 | 399,348 | ||
COMM Mortgage Trust, Series 2014-277P, Class A | ||||
3.61%, 08/10/49 144A † γ | 160,000 | 172,912 | ||
COMM Mortgage Trust, Series 2014-UBS6, Class A5 | ||||
3.64%, 12/10/47 | 2,400,000 | 2,650,692 | ||
COMM Mortgage Trust, Series 2015-DC1, Class C | ||||
4.31%, 02/10/48† γ | 80,000 | 77,974 | ||
COMM Mortgage Trust, Series 2017-COR2, Class C | ||||
4.56%, 09/10/50† γ | 500,000 | 515,635 | ||
COMM Mortgage Trust, Series 2019-GC44, Class D | ||||
2.50%, 08/15/57 144A | 450,000 | 400,635 | ||
COMM Mortgage Trust, Series 2020-CX, Class B | ||||
2.45%, 11/10/46 144A | 1,060,000 | 1,109,038 | ||
Connecticut Avenue Securities Trust, Series 2018-R07, Class 1M2 | ||||
(Floating, ICE LIBOR USD 1M + 2.40%), 2.55%, 04/25/31 144A † | 312,622 | 313,618 | ||
Connecticut Avenue Securities Trust, Series 2019-R02, Class 1M2 | ||||
(Floating, ICE LIBOR USD 1M + 2.30%, 2.30% Floor), 2.45%, 08/25/31 144A † | 382,724 | 383,732 | ||
CSAIL Commercial Mortgage Trust, Series 2018-C14, Class D | ||||
4.89%, 11/15/51 144A † γ | 300,000 | 284,247 | ||
CSMC Trust, Series 2010-16, Class B9 | ||||
3.42%, 06/25/50 144A † γ | 2,123,618 | 1,757,720 | ||
CSMC Trust, Series 2018-J1, Class A2 | ||||
3.50%, 02/25/48 144A † γ | 2,395,303 | 2,452,401 | ||
CSMC, Series 2017-TIME, Class A | ||||
3.65%, 11/13/39 144A | 530,000 | 558,127 | ||
CSMC, Series 2020-FACT, Class D | ||||
(Floating, ICE LIBOR USD 1M + 3.71%, 3.71% Floor), 3.87%, 10/15/37 144A † | 670,000 | 676,105 | ||
CSMC, Series 2020-NET, Class A | ||||
2.26%, 08/15/37 144A | 2,000,000 | 2,077,326 |
Par | Value | |||
DBJPM Mortgage Trust, Series 2016-C1, Class D | ||||
3.35%, 05/10/49 144A † γ | $ 500,000 | $ 370,949 | ||
Deutsche Alt-A Securities, Inc. Mortgage Loan Trust Series, Series 2006-AR1, Class 3A1 | ||||
3.12%, 02/25/36† γ | 630,893 | 545,275 | ||
Eurohome UK Mortgages PLC, Series 2007-1, Class A | ||||
(Floating, ICE LIBOR GBP 3M + 0.15%), 0.19%, 06/15/44(U) † | 1,544,330 | 2,052,989 | ||
Fannie Mae Connecticut Avenue Securities, Series 2018-C01, Class 1M2 | ||||
(Floating, ICE LIBOR USD 1M + 2.25%, 2.25% Floor), 2.40%, 07/25/30† | 145,796 | 145,677 | ||
Fannie Mae Connecticut Avenue Securities, Series 2018-C03, Class 1M2 | ||||
(Floating, ICE LIBOR USD 1M + 2.15%, 2.15% Floor), 2.30%, 10/25/30† | 140,496 | 140,811 | ||
Federal Home Loan Mortgage Corporation | ||||
8.00%, 08/01/24 | 302 | 327 | ||
5.50%, 02/01/27 | 15,420 | 17,243 | ||
4.50%, 10/01/29 | 1,316 | 1,439 | ||
7.50%, 11/01/29 | 2,453 | 2,891 | ||
7.50%, 12/01/29 | 2,442 | 2,869 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.23%, 2.23% Floor, 11.36% Cap), 2.61%, 07/01/31† | 2,532 | 2,535 | ||
7.50%, 11/01/31 | 7,130 | 7,159 | ||
(Floating, ICE LIBOR USD 1Y + 1.98%, 1.98% Floor, 10.50% Cap), 3.73%, 04/01/32† | 946 | 949 | ||
2.00%, 10/01/32 | 200,542 | 209,724 | ||
3.00%, 10/01/32 | 97,116 | 101,995 | ||
3.50%, 08/01/33 | 424,565 | 451,304 | ||
5.00%, 08/01/33 | 2,914 | 3,365 | ||
5.00%, 09/01/33 | 541 | 627 | ||
5.00%, 10/01/33 | 1,658 | 1,924 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.37%, 2.37% Floor, 9.23% Cap), 3.87%, 03/01/34† | 640 | 642 | ||
5.00%, 12/01/34 | 47,972 | 55,747 | ||
5.50%, 05/01/35 | 168,340 | 191,584 | ||
5.00%, 07/01/35 | 2,444 | 2,843 | ||
5.00%, 11/01/35 | 75,443 | 87,796 | ||
5.50%, 11/01/35 | 18,539 | 21,792 | ||
5.00%, 12/01/35 | 7,134 | 8,301 | ||
6.00%, 02/01/36 | 181,450 | 204,072 | ||
5.00%, 02/01/37 | 6,597 | 7,676 | ||
5.50%, 07/01/37 | 18,234 | 21,447 | ||
3.00%, 02/01/38 | 151,130 | 158,067 | ||
3.00%, 04/01/38 | 101,143 | 105,960 | ||
5.50%, 04/01/38 | 4,541 | 5,337 | ||
7.00%, 03/01/39 | 11,368 | 13,319 |
Par | Value | |||
4.50%, 06/01/39 | $ 49,968 | $ 56,064 | ||
6.50%, 09/01/39 | 23,281 | 27,090 | ||
4.00%, 02/01/41 | 34,867 | 38,180 | ||
5.00%, 06/01/41 | 1,619 | 1,849 | ||
3.50%, 10/01/42 | 87,242 | 95,461 | ||
4.00%, 10/01/42 | 31,880 | 34,885 | ||
3.50%, 11/01/42 | 177,983 | 194,644 | ||
3.50%, 12/01/42 | 32,293 | 34,938 | ||
3.50%, 01/01/43 | 37,376 | 40,503 | ||
3.50%, 02/01/43 | 167,429 | 182,950 | ||
3.50%, 03/01/43 | 423,450 | 463,316 | ||
4.00%, 04/01/43 | 88,514 | 97,273 | ||
3.50%, 05/01/43 | 286,920 | 313,890 | ||
4.00%, 05/01/43 | 39,668 | 44,872 | ||
4.00%, 06/01/43 | 47,253 | 53,452 | ||
4.00%, 07/01/43 | 152,968 | 172,469 | ||
4.00%, 08/01/43 | 76,953 | 84,603 | ||
4.50%, 12/01/43 | 580,806 | 650,576 | ||
3.50%, 02/01/44 | 43,543 | 47,618 | ||
4.50%, 02/01/44 | 482,193 | 540,152 | ||
4.50%, 03/01/44 | 134,309 | 150,399 | ||
3.50%, 03/01/45 | 452,954 | 495,131 | ||
4.50%, 07/01/45 | 88,535 | 99,319 | ||
4.00%, 12/01/45 | 264,415 | 287,183 | ||
3.50%, 06/01/46 | 49,382 | 53,648 | ||
4.00%, 09/01/46 | 876,057 | 936,208 | ||
3.00%, 01/01/47 | 105,217 | 111,054 | ||
4.50%, 01/01/47 | 334,723 | 366,106 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 5Y + 1.29%, 1.29% Floor, 7.20% Cap), 2.28%, 03/01/47† | 757,629 | 786,681 | ||
3.50%, 04/01/47 | 7,341,983 | 7,960,751 | ||
3.50%, 06/01/47 | 49,580 | 53,640 | ||
4.00%, 07/01/47 | 409,299 | 440,891 | ||
5.00%, 07/01/47 | 238,595 | 266,467 | ||
4.00%, 08/01/47 | 95,040 | 103,524 | ||
3.00%, 09/01/47 | 899,352 | 976,750 | ||
3.50%, 09/01/47 | 661,104 | 701,542 | ||
3.50%, 03/01/48 | 107,497 | 115,031 | ||
4.00%, 03/01/48 | 1,012,076 | 1,086,783 | ||
4.00%, 04/01/48 | 1,069,485 | 1,146,695 | ||
4.50%, 04/01/48 | 242,878 | 267,188 | ||
3.50%, 06/01/48 | 329,298 | 351,771 | ||
4.00%, 06/01/48 | 2,375,214 | 2,592,859 | ||
4.50%, 06/01/48 | 74,294 | 80,794 | ||
4.50%, 07/01/48 | 1,000,000 | 1,085,403 | ||
4.50%, 08/01/48 | 1,214,258 | 1,346,057 | ||
5.00%, 08/01/48 | 220,511 | 244,977 | ||
3.00%, 09/01/48 | 144,706 | 157,050 | ||
4.50%, 10/01/48 | 1,000,000 | 1,083,736 | ||
5.00%, 11/01/48 | 128,188 | 141,630 | ||
4.50%, 03/01/49 | 1,323,644 | 1,433,888 | ||
4.00%, 04/01/49 | 359,623 | 392,653 | ||
4.50%, 04/01/49 | 156,091 | 171,563 | ||
2.50%, 06/01/49 | 869,215 | 917,351 | ||
3.00%, 07/01/49 | 283,554 | 300,652 |
Par | Value | |||
3.00%, 09/01/49 | $3,663,184 | $3,973,616 | ||
5.00%, 09/01/49 | 199,980 | 220,889 | ||
5.00%, 10/01/49 | 6,197,600 | 6,857,549 | ||
3.00%, 01/01/50 | 78,599 | 85,052 | ||
3.50%, 02/01/50 | 167,980 | 182,970 | ||
4.00%, 02/01/50 | 148,684 | 158,868 | ||
3.00%, 03/01/50 | 1,426,635 | 1,527,380 | ||
3.50%, 03/01/50 | 259,895 | 275,159 | ||
4.00%, 03/01/50 | 143,232 | 153,145 | ||
4.50%, 03/01/50 | 85,116 | 92,141 | ||
4.50%, 04/01/50 | 329,926 | 357,867 | ||
4.50%, 05/01/50 | 222,915 | 241,198 | ||
3.00%, 07/01/50 | 1,561,633 | 1,648,942 | ||
2.50%, 09/01/50 | 30,785 | 32,490 | ||
2.50%, 10/01/50 | 200,001 | 211,077 | ||
3.00%, 12/01/50 | 3,958,542 | 4,282,679 | ||
Federal Home Loan Mortgage Corporation Reference REMIC, Series R007 | ||||
6.00%, 05/15/36 | 113,730 | 135,150 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 3325 | ||||
(Floating, ICE LIBOR USD 1M + 0.50%, 0.50% Floor, 6.75% Cap), 0.66%, 06/15/37† | 77,691 | 78,842 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 3621 | ||||
(Floating, 6.23% - ICE LIBOR USD 1M, 6.23% Cap), 6.07%, 01/15/40† IO | 157,025 | 34,033 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 3947 | ||||
(Floating, 5.95% - ICE LIBOR USD 1M, 5.95% Cap), 5.79%, 10/15/41† IO | 85,677 | 15,452 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 3973 | ||||
(Floating, 6.49% - ICE LIBOR USD 1M, 6.49% Cap), 6.33%, 12/15/41† IO | 197,629 | 45,242 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4099 | ||||
(Floating, 6.00% - ICE LIBOR USD 1M, 6.00% Cap), 5.84%, 08/15/42† IO | 152,855 | 28,127 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4194 | ||||
3.50%, 04/15/43 IO | 224,718 | 23,200 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4210 | ||||
3.00%, 05/15/43 | 321,134 | 324,662 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4239 | ||||
3.50%, 06/15/27 IO | 168,780 | 10,335 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4298 | ||||
4.00%, 04/15/43 IO | 124,668 | 6,163 |
Par | Value | |||
Federal Home Loan Mortgage Corporation REMIC, Series 4310 | ||||
(Floating, 5.95% - ICE LIBOR USD 1M, 5.95% Cap), 5.79%, 02/15/44† IO | $ 74,086 | $ 14,355 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4335 | ||||
(Floating, 6.00% - ICE LIBOR USD 1M, 6.00% Cap), 5.84%, 05/15/44† IO | 75,524 | 15,857 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4415 | ||||
2.37%, 04/15/41† IO γ | 91,558 | 5,537 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4638 | ||||
(Floating, ICE LIBOR USD 1M + 0.44%), 0.59%, 07/15/40† | 258,458 | 260,767 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4793 | ||||
3.00%, 05/15/48 | 602,899 | 634,127 | ||
3.00%, 06/15/48 | 417,240 | 437,884 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4813 | ||||
3.00%, 08/15/48 | 324,092 | 334,970 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4989 | ||||
(Floating, ICE LIBOR USD 1M + 0.35%), 0.50%, 08/15/40† | 951,533 | 953,022 | ||
(Floating, ICE LIBOR USD 1M + 0.35%), 0.50%, 10/15/40† | 858,939 | 860,247 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 5010 | ||||
2.50%, 09/25/50 IO | 688,497 | 95,359 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 5013 | ||||
2.50%, 09/25/50 IO | 198,374 | 29,878 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 5018 | ||||
2.00%, 10/25/50 IO | 396,814 | 51,821 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 5040 | ||||
2.50%, 11/25/50 IO | 99,397 | 12,500 | ||
Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2020-DNA3, Class B1 | ||||
(Floating, ICE LIBOR USD 1M + 5.10%), 5.25%, 06/25/50 144A † | 170,000 | 178,109 | ||
Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2020-DNA4, Class B1 | ||||
(Floating, ICE LIBOR USD 1M + 6.00%), 6.15%, 08/25/50 144A † | 176,000 | 187,424 | ||
Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2020-DNA5, Class B1 | ||||
4.88%, 10/25/50 144A † γ | 720,000 | 755,312 |
Par | Value | |||
Federal Home Loan Mortgage Corporation STRIP, Series 353 | ||||
(Floating, 6.00% - ICE LIBOR USD 1M, 6.00% Cap), 5.84%, 12/15/46† IO | $298,033 | $ 68,597 | ||
Federal National Mortgage Association | ||||
9.50%, 05/01/22 | 9 | 9 | ||
(Floating, COF 11th District San Francisco + 1.25%, 1.25% Floor, 12.75% Cap), 1.90%, 07/01/22† | 411 | 410 | ||
5.50%, 09/01/23 | 5,976 | 6,170 | ||
5.50%, 10/01/23 | 1,451 | 1,496 | ||
5.00%, 06/01/24 | 48,310 | 53,361 | ||
9.50%, 07/01/24 | 5 | 5 | ||
2.81%, 04/01/25 | 50,000 | 54,295 | ||
5.50%, 05/01/25 | 614 | 623 | ||
(Floating, COF 11th District San Francisco + 1.25%, 1.25% Floor, 12.05% Cap), 1.77%, 07/01/27† | 6,150 | 6,114 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.13%, 2.13% Floor, 11.84% Cap), 3.01%, 08/01/27† | 8,017 | 8,055 | ||
(Floating, COF 11th District San Francisco + 1.25%, 1.25% Floor, 10.62% Cap), 1.77%, 11/01/27 CONV † | 7,168 | 7,108 | ||
3.08%, 01/01/28 | 140,000 | 157,004 | ||
2.50%, 06/01/28 | 32,221 | 33,896 | ||
3.16%, 05/01/29 | 146,984 | 166,809 | ||
2.79%, 08/01/29 | 500,000 | 564,529 | ||
2.14%, 04/01/30 | 100,000 | 108,002 | ||
2.26%, 04/01/30 | 394,778 | 429,702 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.38%, 2.38% Floor, 10.65% Cap), 2.64%, 06/01/30 CONV † | 9,876 | 9,897 | ||
8.00%, 10/01/30 | 7,075 | 8,505 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.51%, 2.51% Floor, 12.62% Cap), 2.63%, 12/01/30 CONV † | 2,997 | 2,999 | ||
(Floating, COF 11th District San Francisco + 1.25%, 1.25% Floor, 10.55% Cap), 1.77%, 01/01/31† | 4,209 | 4,155 | ||
4.50%, 04/01/31 | 29,443 | 32,551 | ||
4.50%, 05/01/31 | 108,143 | 119,562 | ||
4.50%, 06/01/31 | 32,793 | 36,256 | ||
4.50%, 11/01/31 | 45,828 | 50,486 | ||
6.00%, 11/01/31 | 1,580 | 1,859 | ||
4.50%, 12/01/31 | 72,402 | 80,051 | ||
6.00%, 01/01/32 | 48,302 | 54,336 | ||
6.00%, 03/01/32 | 1,863 | 2,095 | ||
1.95%, 04/01/32 | 100,000 | 105,201 | ||
6.00%, 04/01/32 | 90,867 | 102,406 |
Par | Value | |||
(Floating, COF 11th District San Francisco + 1.25%, 1.25% Floor, 10.95% Cap), 1.77%, 06/01/32† | $ 5,888 | $ 5,805 | ||
(Floating, COF 11th District San Francisco + 1.25%, 1.25% Floor, 12.22% Cap), 1.90%, 08/01/32† | 5,985 | 5,903 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.13%, 2.13% Floor, 9.75% Cap), 3.63%, 02/01/33† | 815 | 815 | ||
(Floating, COF 11th District San Francisco + 1.25%, 1.25% Floor, 11.95% Cap), 1.90%, 05/01/33† | 8,377 | 8,294 | ||
5.00%, 07/01/33 | 14,599 | 16,850 | ||
5.00%, 09/01/33 | 18,041 | 20,800 | ||
3.50%, 05/01/34 | 94,699 | 104,442 | ||
6.00%, 10/01/34 | 24,224 | 27,223 | ||
(Floating, ICE LIBOR USD 1Y + 1.55%, 1.55% Floor, 9.67% Cap), 3.55%, 12/01/34† | 12,036 | 12,117 | ||
6.00%, 05/01/35 | 245,362 | 289,231 | ||
6.00%, 07/01/35 | 59,579 | 69,663 | ||
5.50%, 09/01/35 | 25,932 | 28,955 | ||
5.00%, 10/01/35 | 49,414 | 57,089 | ||
6.00%, 10/01/35 | 13,159 | 15,676 | ||
(Floating, COF 11th District San Francisco + 1.25%, 1.25% Floor, 10.54% Cap), 1.77%, 11/01/35† | 2,645 | 2,650 | ||
(Floating, Federal Reserve U.S. 12 1Y CMT + 1.94%, 1.94% Floor, 8.97% Cap), 2.71%, 11/01/35† | 23,046 | 23,939 | ||
6.00%, 11/01/35 | 182,564 | 207,678 | ||
1.50%, 12/01/35 | 100,000 | 103,365 | ||
5.50%, 04/01/36 | 2,229 | 2,388 | ||
(Floating, COF 11th District San Francisco + 1.25%, 3.93% Floor, 12.90% Cap), 4.03%, 05/01/36† | 20,555 | 21,765 | ||
5.50%, 11/01/36 | 41,427 | 48,689 | ||
3.00%, 12/01/36 | 99,555 | 105,286 | ||
5.50%, 03/01/37 | 2,456 | 2,840 | ||
6.00%, 07/01/37 | 432,259 | 512,415 | ||
6.50%, 10/01/37 | 39,572 | 45,479 | ||
7.00%, 10/01/37 | 918 | 979 | ||
7.00%, 11/01/37 | 4,763 | 5,402 | ||
(Floating, COF 11th District San Francisco + 1.25%, 1.25% Floor, 10.69% Cap), 1.77%, 12/01/37† | 13,651 | 13,569 | ||
3.00%, 12/01/37 | 106,619 | 112,252 | ||
7.00%, 12/01/37 | 3,082 | 3,749 | ||
(Floating, COF 11th District San Francisco + 1.25%, 1.25% Floor, 10.53% Cap), 1.77%, 01/01/38† | 7,303 | 7,275 | ||
7.00%, 02/01/38 | 1,648 | 1,896 | ||
4.50%, 03/01/38 | 3,314 | 3,635 | ||
4.50%, 04/01/38 | 30,619 | 33,909 |
Par | Value | |||
5.00%, 04/01/38 | $ 48,354 | $ 56,247 | ||
5.00%, 06/01/38 | 50,200 | 58,309 | ||
5.50%, 08/01/38 | 30,265 | 35,595 | ||
7.00%, 11/01/38 | 11,949 | 13,899 | ||
7.00%, 02/01/39 | 4,759 | 5,512 | ||
6.00%, 12/01/39 | 185,323 | 219,528 | ||
(Floating, Federal Reserve U.S. 12 1Y CMT + 1.40%, 1.40% Floor, 9.70% Cap), 2.14%, 06/01/40† | 20,668 | 21,264 | ||
2.14%, 10/01/40† | 57,364 | 57,845 | ||
(Floating, COF 11th District San Francisco + 1.25%, 1.25% Floor, 10.25% Cap), 1.77%, 11/01/40† | 6,641 | 6,567 | ||
4.50%, 04/01/41 | 69,038 | 77,272 | ||
6.00%, 07/01/41 | 155,532 | 189,000 | ||
4.50%, 08/01/41 | 34,441 | 38,309 | ||
4.50%, 11/01/41 | 160,163 | 178,149 | ||
4.00%, 06/01/42 | 21,081 | 22,702 | ||
3.50%, 09/01/42 | 33,541 | 36,654 | ||
4.00%, 10/01/42 | 117,792 | 129,418 | ||
2.50%, 11/01/42 | 15,898 | 17,025 | ||
4.00%, 11/01/42 | 1,165,757 | 1,302,000 | ||
2.50%, 12/01/42 | 11,173 | 11,946 | ||
3.00%, 12/01/42 | 12,368 | 13,530 | ||
3.50%, 12/01/42 | 53,544 | 58,256 | ||
4.00%, 12/01/42 | 79,769 | 87,958 | ||
2.50%, 01/01/43 | 11,860 | 12,700 | ||
3.00%, 01/01/43 | 230,036 | 250,256 | ||
3.50%, 01/01/43 | 1,035,863 | 1,132,074 | ||
2.50%, 02/01/43 | 18,241 | 19,530 | ||
2.50%, 03/01/43 | 1,064,839 | 1,137,953 | ||
3.00%, 03/01/43 | 149,056 | 162,901 | ||
3.50%, 03/01/43 | 459,802 | 499,682 | ||
2.50%, 04/01/43 | 1,058,338 | 1,131,547 | ||
3.00%, 04/01/43 | 224,394 | 245,477 | ||
4.00%, 04/01/43 | 40,893 | 45,926 | ||
2.50%, 05/01/43 | 18,867 | 20,197 | ||
3.00%, 05/01/43 | 138,804 | 151,845 | ||
2.50%, 06/01/43 | 20,631 | 22,089 | ||
3.00%, 06/01/43 | 46,252 | 50,598 | ||
4.00%, 06/01/43 | 355,447 | 395,572 | ||
3.00%, 07/01/43 | 369,062 | 403,739 | ||
4.00%, 07/01/43 | 377,117 | 418,738 | ||
2.50%, 08/01/43 | 464,765 | 491,193 | ||
4.00%, 08/01/43 | 115,404 | 126,849 | ||
4.50%, 09/01/43 | 358,574 | 401,787 | ||
2.50%, 10/01/43 | 25,002 | 26,752 | ||
4.50%, 10/01/43 | 120,448 | 134,797 | ||
4.50%, 11/01/43 | 80,249 | 89,849 | ||
4.50%, 12/01/43 | 119,979 | 134,313 | ||
4.50%, 01/01/44 | 72,207 | 80,833 | ||
4.50%, 02/01/44 | 437,180 | 486,887 | ||
4.50%, 10/01/44 | 265,741 | 297,178 | ||
4.00%, 01/01/45 | 105,185 | 116,262 | ||
4.50%, 02/01/45 | 794,795 | 912,786 | ||
4.50%, 04/01/45 | 421,865 | 478,071 |
Par | Value | |||
4.50%, 05/01/45 | $ 48,338 | $ 54,779 | ||
4.50%, 06/01/45 | 465,185 | 516,152 | ||
3.00%, 11/01/45 | 947,325 | 998,775 | ||
3.50%, 12/01/45 | 145,674 | 157,609 | ||
3.50%, 01/01/46 | 294,021 | 320,497 | ||
3.00%, 05/01/46 | 396,300 | 430,444 | ||
3.00%, 07/01/46 | 442,955 | 478,494 | ||
3.00%, 08/01/46 | 954,198 | 1,030,756 | ||
3.00%, 09/01/46 | 336,399 | 355,524 | ||
3.00%, 10/01/46 | 57,838 | 61,912 | ||
3.00%, 11/01/46 | 1,940,859 | 2,076,520 | ||
3.50%, 11/01/46 | 43,019 | 46,041 | ||
4.50%, 11/01/46 | 469,755 | 518,211 | ||
5.00%, 11/01/46 | 668,879 | 770,018 | ||
3.50%, 12/01/46 | 598,836 | 645,552 | ||
4.00%, 01/01/47 | 990,378 | 1,077,514 | ||
3.50%, 02/01/47 | 3,090,884 | 3,285,124 | ||
4.50%, 03/01/47 | 602,767 | 663,185 | ||
4.00%, 04/01/47 | 89,146 | 96,605 | ||
3.50%, 05/01/47 | 431,972 | 460,623 | ||
4.00%, 05/01/47 | 92,199 | 100,249 | ||
4.50%, 06/01/47 | 593,802 | 661,604 | ||
4.50%, 07/01/47 | 904,513 | 1,001,562 | ||
4.00%, 08/01/47 | 753,476 | 811,764 | ||
3.00%, 09/01/47 | 1,028,189 | 1,109,335 | ||
3.50%, 09/01/47 | 14,593,510 | 16,010,130 | ||
3.50%, 10/01/47 | 14,847,598 | 16,301,355 | ||
4.00%, 10/01/47 | 330,937 | 355,132 | ||
3.50%, 11/01/47 | 19,906,662 | 21,855,768 | ||
4.50%, 11/01/47 | 215,821 | 239,094 | ||
3.50%, 12/01/47 | 19,115,907 | 20,987,626 | ||
4.00%, 12/01/47 | 398,509 | 436,067 | ||
3.50%, 01/01/48 | 298,446 | 316,633 | ||
4.00%, 01/01/48 | 453,992 | 495,464 | ||
3.50%, 02/01/48 | 1,298,707 | 1,375,343 | ||
4.00%, 02/01/48 | 1,433,316 | 1,574,710 | ||
4.00%, 03/01/48 | 1,054,961 | 1,155,552 | ||
4.00%, 04/01/48 | 188,944 | 202,503 | ||
4.50%, 04/01/48 | 133,957 | 145,979 | ||
4.50%, 05/01/48 | 826,003 | 904,105 | ||
5.00%, 05/01/48 | 199,738 | 222,747 | ||
4.00%, 06/01/48 | 837,627 | 912,091 | ||
4.50%, 06/01/48 | 4,134 | 4,494 | ||
3.50%, 07/01/48 | 853,484 | 905,846 | ||
4.00%, 07/01/48 | 1,158,278 | 1,263,561 | ||
4.50%, 07/01/48 | 1,080,922 | 1,180,971 | ||
3.50%, 08/01/48 | 7,797,506 | 8,536,738 | ||
4.00%, 08/01/48 | 3,329,720 | 3,603,643 | ||
4.50%, 08/01/48 | 583,636 | 641,535 | ||
5.00%, 08/01/48 | 108,486 | 120,129 | ||
4.00%, 09/01/48 | 91,554 | 100,311 | ||
4.50%, 09/01/48 | 772,941 | 846,669 | ||
4.00%, 10/01/48 | 282,934 | 303,846 | ||
4.50%, 10/01/48 | 1,043,933 | 1,153,024 | ||
5.00%, 10/01/48 | 495,358 | 548,674 | ||
3.50%, 11/01/48 | 2,463,233 | 2,612,376 |
Par | Value | |||
4.00%, 11/01/48 | $1,195,385 | $1,284,846 | ||
4.50%, 11/01/48 | 299,798 | 332,142 | ||
5.00%, 11/01/48 | 4,203,776 | 4,741,159 | ||
3.00%, 12/01/48 | 200,000 | 211,250 | ||
4.50%, 12/01/48 | 459,128 | 505,374 | ||
4.50%, 01/01/49 | 5,804,408 | 6,294,407 | ||
3.50%, 02/01/49 | 67,355 | 73,136 | ||
4.50%, 02/01/49 | 91,597 | 100,497 | ||
4.50%, 04/01/49 | 57,093 | 61,944 | ||
4.00%, 05/01/49 | 77,854 | 84,538 | ||
3.50%, 06/01/49 | 300,000 | 318,667 | ||
3.00%, 07/01/49 | 70,594 | 75,326 | ||
4.50%, 07/01/49 | 561,297 | 614,957 | ||
4.50%, 08/01/49 | 120,196 | 130,922 | ||
3.00%, 09/01/49 | 2,325,704 | 2,490,306 | ||
4.50%, 09/01/49 | 952,888 | 1,046,400 | ||
5.00%, 09/01/49 | 1,029,751 | 1,163,603 | ||
3.50%, 10/01/49 | 753,294 | 820,374 | ||
4.00%, 10/01/49 | 76,067 | 83,159 | ||
4.50%, 10/01/49 | 272,068 | 294,070 | ||
3.00%, 11/01/49 | 414,977 | 442,640 | ||
3.00%, 12/01/49 | 684,829 | 734,043 | ||
3.50%, 12/01/49 | 247,853 | 269,643 | ||
4.00%, 12/01/49 | 607,979 | 656,549 | ||
3.00%, 01/01/50 | 165,358 | 176,319 | ||
3.00%, 02/01/50 | 1,866,851 | 2,021,266 | ||
3.50%, 02/01/50 | 1,010,099 | 1,075,548 | ||
4.50%, 02/01/50 | 676,359 | 734,460 | ||
3.00%, 03/01/50 | 371,392 | 405,482 | ||
4.50%, 03/01/50 | 222,637 | 242,638 | ||
5.00%, 03/01/50 | 351,017 | 388,447 | ||
3.50%, 04/01/50 | 495,505 | 523,480 | ||
4.50%, 05/01/50 | 286,595 | 311,405 | ||
3.00%, 06/01/50 | 1,138,157 | 1,216,604 | ||
3.00%, 07/01/50 | 2,410,894 | 2,545,334 | ||
3.00%, 08/01/50 | 1,187,990 | 1,250,629 | ||
3.00%, 09/01/50 | 493,094 | 525,456 | ||
3.00%, 11/01/50 | 195,513 | 208,990 | ||
4.00%, 02/01/56 | 411,188 | 460,903 | ||
4.50%, 04/01/56 | 636,966 | 729,567 | ||
5.50%, 09/01/56 | 599,454 | 711,237 | ||
4.00%, 01/01/57 | 261,988 | 293,664 | ||
3.50%, 03/01/57 | 1,906,859 | 2,109,333 | ||
4.00%, 06/01/57 | 444,240 | 495,515 | ||
4.50%, 09/01/57 | 694,602 | 795,386 | ||
4.50%, 08/01/58 | 207,092 | 237,034 | ||
Federal National Mortgage Association ACES, Series 2015-M1 | ||||
0.49%, 09/25/24† IO γ | 2,980,080 | 68,837 | ||
Federal National Mortgage Association ACES, Series 2016-M11 | ||||
2.94%, 07/25/39 | 90,246 | 94,383 |
Par | Value | |||
Federal National Mortgage Association ACES, Series 2017-M8 | ||||
3.06%, 05/25/27 | $ 100,000 | $112,667 | ||
Federal National Mortgage Association ACES, Series 2019-M23 | ||||
2.72%, 10/25/31 | 299,899 | 325,907 | ||
Federal National Mortgage Association ACES, Series 2019-M27 | ||||
2.70%, 11/25/40 | 200,000 | 225,729 | ||
Federal National Mortgage Association ACES, Series 2020-M33 | ||||
2.36%, 01/25/31† IO γ | 7,100,000 | 943,055 | ||
Federal National Mortgage Association ACES, Series 2020-M6 | ||||
2.50%, 10/25/37 | 96,191 | 102,900 | ||
Federal National Mortgage Association Interest STRIP, Series 409 | ||||
3.00%, 04/25/27 IO | 143,713 | 7,919 | ||
4.50%, 11/25/39 IO | 27,380 | 4,277 | ||
3.50%, 11/25/41 IO | 102,155 | 9,188 | ||
4.00%, 11/25/41 IO | 129,587 | 17,703 | ||
4.00%, 04/25/42 IO | 241,789 | 35,580 | ||
Federal National Mortgage Association REMIC, Series 1991-137 | ||||
868.32%, 10/25/21 IO | 4 | 12 | ||
Federal National Mortgage Association REMIC, Series 1991-97 | ||||
1,009.30%, 08/25/21 IO | 2 | 6 | ||
Federal National Mortgage Association REMIC, Series 2000-32 | ||||
(Floating, ICE LIBOR USD 1M + 0.45%, 0.45% Floor, 9.00% Cap), 0.61%, 10/18/30† | 5,057 | 5,071 | ||
Federal National Mortgage Association REMIC, Series 2005-29 | ||||
5.50%, 04/25/35 | 303,115 | 354,804 | ||
Federal National Mortgage Association REMIC, Series 2007-24 | ||||
(Floating, 6.75% - ICE LIBOR USD 1M, 6.75% Cap), 6.60%, 03/25/37† IO | 352,118 | 84,219 | ||
Federal National Mortgage Association REMIC, Series 2011-52 | ||||
5.00%, 06/25/41 | 205,865 | 237,045 | ||
Federal National Mortgage Association REMIC, Series 2011-59 | ||||
5.50%, 07/25/41 | 657,463 | 741,104 |
Par | Value | |||
Federal National Mortgage Association REMIC, Series 2011-96 | ||||
(Floating, 6.55% - ICE LIBOR USD 1M, 6.55% Cap), 6.40%, 10/25/41† IO | $268,439 | $ 56,507 | ||
Federal National Mortgage Association REMIC, Series 2012-101 | ||||
4.00%, 09/25/27 IO | 69,977 | 3,682 | ||
Federal National Mortgage Association REMIC, Series 2012-111 | ||||
7.00%, 10/25/42 | 17,141 | 20,721 | ||
Federal National Mortgage Association REMIC, Series 2012-118 | ||||
3.50%, 12/25/39 IO | 85,699 | 2,185 | ||
Federal National Mortgage Association REMIC, Series 2012-133 | ||||
(Floating, 6.15% - ICE LIBOR USD 1M, 6.15% Cap), 6.00%, 12/25/42† IO | 88,633 | 17,695 | ||
Federal National Mortgage Association REMIC, Series 2012-153 | ||||
7.00%, 07/25/42 | 57,609 | 70,498 | ||
Federal National Mortgage Association REMIC, Series 2012-28 | ||||
6.50%, 06/25/39 | 4,584 | 5,019 | ||
Federal National Mortgage Association REMIC, Series 2012-35 | ||||
(Floating, 6.50% - ICE LIBOR USD 1M, 6.50% Cap), 6.35%, 04/25/42† IO | 82,809 | 18,114 | ||
Federal National Mortgage Association REMIC, Series 2012-46 | ||||
6.00%, 05/25/42 | 86,729 | 101,575 | ||
Federal National Mortgage Association REMIC, Series 2012-70 | ||||
(Floating, 6.65% - ICE LIBOR USD 1M, 6.65% Cap), 6.50%, 02/25/41† IO | 8,799 | 487 | ||
Federal National Mortgage Association REMIC, Series 2012-74 | ||||
(Floating, 6.65% - ICE LIBOR USD 1M, 6.65% Cap), 6.50%, 03/25/42† IO | 108,438 | 21,490 | ||
Federal National Mortgage Association REMIC, Series 2012-75 | ||||
(Floating, 6.60% - ICE LIBOR USD 1M, 6.60% Cap), 6.45%, 07/25/42† IO | 26,878 | 5,449 |
Par | Value | |||
Federal National Mortgage Association REMIC, Series 2013-124 | ||||
(Floating, 5.95% - ICE LIBOR USD 1M, 5.95% Cap), 5.80%, 12/25/43† IO | $349,743 | $ 69,995 | ||
Federal National Mortgage Association REMIC, Series 2013-14 | ||||
4.00%, 03/25/43 IO | 100,414 | 12,098 | ||
Federal National Mortgage Association REMIC, Series 2013-17 | ||||
3.00%, 03/25/28 IO | 574,010 | 38,648 | ||
Federal National Mortgage Association REMIC, Series 2013-29 | ||||
4.00%, 04/25/43 IO | 243,242 | 31,419 | ||
Federal National Mortgage Association REMIC, Series 2013-54 | ||||
(Floating, 6.15% - ICE LIBOR USD 1M, 6.15% Cap), 6.00%, 06/25/43† IO | 150,245 | 33,384 | ||
Federal National Mortgage Association REMIC, Series 2013-9 | ||||
5.50%, 04/25/42 | 382,165 | 441,506 | ||
6.50%, 07/25/42 | 158,228 | 190,739 | ||
Federal National Mortgage Association REMIC, Series 2014-47 | ||||
2.36%, 08/25/44† IO γ | 267,125 | 16,888 | ||
Federal National Mortgage Association REMIC, Series 2015-55 | ||||
2.23%, 08/25/55† IO γ | 97,278 | 4,382 | ||
Federal National Mortgage Association REMIC, Series 2015-56 | ||||
(Floating, 6.15% - ICE LIBOR USD 1M, 6.15% Cap), 6.00%, 08/25/45† IO | 48,742 | 11,453 | ||
Federal National Mortgage Association REMIC, Series 2017-76 | ||||
(Floating, 6.10% - ICE LIBOR USD 1M, 6.10% Cap), 5.95%, 10/25/57† IO | 647,072 | 132,105 | ||
Federal National Mortgage Association REMIC, Series 2017-85 | ||||
(Floating, 6.20% - ICE LIBOR USD 1M, 6.20% Cap), 6.05%, 11/25/47† IO | 216,456 | 43,767 | ||
Federal National Mortgage Association REMIC, Series 2020-47 | ||||
2.00%, 07/25/50 | 303,013 | 307,261 |
Par | Value | |||
Federal National Mortgage Association REMIC, Series 2020-56 | ||||
2.50%, 08/25/50 IO | $ 391,893 | $ 57,409 | ||
Federal National Mortgage Association REMIC, Series 2020-74 | ||||
2.50%, 10/25/50 IO | 196,458 | 28,084 | ||
Federal National Mortgage Association REMIC, Series 2020-89 | ||||
2.50%, 12/25/50 IO | 993,543 | 126,669 | ||
FHLMC Multifamily Structured Pass-Through Certificates, Series K016 | ||||
1.48%, 10/25/21† IO γ | 168,153 | 866 | ||
FHLMC Multifamily Structured Pass-Through Certificates, Series K068 | ||||
0.43%, 08/25/27† IO γ | 2,406,574 | 64,015 | ||
FHLMC Multifamily Structured Pass-Through Certificates, Series K091 | ||||
0.56%, 03/25/29† IO γ | 1,415,218 | 60,088 | ||
FHLMC Multifamily Structured Pass-Through Certificates, Series K093 | ||||
0.95%, 05/25/29† IO γ | 1,994,593 | 139,592 | ||
FHLMC Multifamily Structured Pass-Through Certificates, Series K094 | ||||
0.88%, 06/25/29† IO γ | 998,716 | 66,386 | ||
FHLMC Multifamily Structured Pass-Through Certificates, Series K095 | ||||
0.95%, 06/25/29† IO γ | 1,197,228 | 84,737 | ||
FHLMC Multifamily Structured Pass-Through Certificates, Series K099 | ||||
0.89%, 09/25/29† IO γ | 1,087,786 | 73,869 | ||
FHLMC Multifamily Structured Pass-Through Certificates, Series K723 | ||||
0.95%, 08/25/23† IO γ | 3,202,609 | 62,079 | ||
FHLMC Multifamily Structured Pass-Through Certificates, Series K735 | ||||
0.96%, 05/25/26† IO γ | 853,190 | 39,097 | ||
FHLMC Multifamily Structured Pass-Through Certificates, Series K736 | ||||
1.31%, 07/25/26† IO γ | 1,999,197 | 120,748 | ||
FHLMC Structured Agency Credit Risk Debt Notes, Series 2016-DNA1, Class M3 | ||||
(Floating, ICE LIBOR USD 1M + 5.55%), 5.70%, 07/25/28† | 238,587 | 249,978 |
Par | Value | |||
FHLMC Structured Agency Credit Risk Debt Notes, Series 2016-DNA4, Class M3 | ||||
(Floating, ICE LIBOR USD 1M + 3.80%, 3.80% Floor), 3.95%, 03/25/29† | $ 238,520 | $ 248,007 | ||
FHLMC Structured Pass-Through Certificates, Series T-61, Class 1A1 | ||||
(Floating, Federal Reserve U.S. 12 1Y CMT + 1.40%, 1.40% Floor), 2.01%, 07/25/44† | 398,635 | 402,577 | ||
Finsbury Square PLC, Series 2020-2A, Class A | ||||
(Floating, SONIA Deposit Rates Swap 3M + 1.30%), 1.35%, 06/16/70(U) 144A † | 1,326,831 | 1,827,590 | ||
First Horizon Alternative Mortgage Securities Trust, Series 2004-AA1, Class A1 | ||||
2.23%, 06/25/34† γ | 154,578 | 154,325 | ||
FREMF Mortgage Trust, Series 2012-K20, Class X2A | ||||
0.20%, 05/25/45 144A IO | 4,915,993 | 10,478 | ||
Government National Mortgage Association | ||||
7.00%, 01/15/26 | 2,001 | 2,171 | ||
7.00%, 07/15/27 | 15,997 | 17,977 | ||
7.00%, 01/15/28 | 9,884 | 10,027 | ||
7.00%, 03/15/28 | 21,045 | 24,193 | ||
7.00%, 07/15/28 | 3,039 | 3,343 | ||
7.50%, 07/15/28 | 8,719 | 8,871 | ||
6.50%, 08/15/28 | 1,708 | 1,899 | ||
7.00%, 08/15/28 | 3,127 | 3,408 | ||
7.50%, 08/15/28 | 5,583 | 6,309 | ||
6.50%, 09/15/28 | 2,975 | 3,361 | ||
7.00%, 10/15/28 | 10,026 | 10,098 | ||
7.50%, 03/15/29 | 7,918 | 9,295 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 1.50% Floor, 11.00% Cap), 3.13%, 11/20/29† | 14,373 | 14,946 | ||
8.50%, 08/15/30 | 394 | 406 | ||
8.50%, 11/20/30 | 4,658 | 5,533 | ||
6.50%, 08/15/31 | 26,768 | 31,028 | ||
7.50%, 08/15/31 | 6,106 | 6,723 | ||
6.50%, 10/15/31 | 22,509 | 25,459 | ||
6.00%, 11/15/31 | 73,472 | 86,114 | ||
6.50%, 11/15/31 | 44,408 | 49,342 | ||
6.00%, 12/15/31 | 14,148 | 16,794 | ||
6.00%, 01/15/32 | 54,786 | 62,689 | ||
6.00%, 02/15/32 | 61,796 | 69,469 | ||
6.50%, 02/15/32 | 24,334 | 27,507 | ||
6.00%, 04/15/32 | 34,741 | 39,041 | ||
6.50%, 06/15/32 | 39,428 | 44,651 | ||
6.50%, 08/15/32 | 51,295 | 57,884 | ||
6.50%, 09/15/32 | 55,465 | 64,702 | ||
6.00%, 10/15/32 | 53,396 | 64,049 | ||
5.50%, 11/15/32 | 8,287 | 9,360 | ||
6.00%, 11/15/32 | 48,582 | 55,373 | ||
6.00%, 12/15/32 | 23,917 | 27,620 |
Par | Value | |||
6.50%, 12/15/32 | $ 4,676 | $ 5,197 | ||
5.50%, 01/15/33 | 5,304 | 5,964 | ||
6.00%, 01/15/33 | 14,969 | 17,020 | ||
5.50%, 02/15/33 | 9,547 | 10,854 | ||
6.00%, 02/15/33 | 18,611 | 22,501 | ||
5.50%, 03/15/33 | 10,165 | 11,618 | ||
6.50%, 04/15/33 | 113,810 | 134,281 | ||
6.00%, 06/15/33 | 16,937 | 19,024 | ||
5.50%, 07/15/33 | 11,978 | 13,676 | ||
5.50%, 08/15/33 | 4,565 | 5,145 | ||
5.50%, 09/15/33 | 2,649 | 2,976 | ||
6.00%, 10/15/33 | 32,016 | 36,028 | ||
6.50%, 10/15/33 | 61,953 | 71,842 | ||
5.50%, 04/15/34 | 5,902 | 6,636 | ||
5.50%, 05/15/34 | 2,414 | 2,681 | ||
6.50%, 08/15/34 | 74,653 | 86,767 | ||
5.50%, 09/15/34 | 45,731 | 52,884 | ||
5.50%, 12/15/34 | 48,512 | 56,568 | ||
5.50%, 01/15/35 | 32,089 | 37,491 | ||
6.00%, 09/20/38 | 100,991 | 117,221 | ||
5.00%, 07/20/40 | 7,868 | 9,001 | ||
5.00%, 09/20/40 | 35,642 | 40,774 | ||
4.00%, 10/20/40 | 4,430 | 4,901 | ||
6.00%, 10/20/40 | 14,399 | 16,791 | ||
6.00%, 01/20/41 | 13,035 | 15,126 | ||
4.50%, 04/20/41 | 150,518 | 167,736 | ||
3.00%, 09/15/42 | 356,523 | 377,520 | ||
3.00%, 10/15/42 | 151,772 | 159,797 | ||
3.00%, 11/15/42 | 68,417 | 72,034 | ||
4.00%, 08/20/43 | 266,308 | 294,503 | ||
3.50%, 06/20/44 | 99,766 | 108,600 | ||
3.00%, 01/15/45 | 2,333,059 | 2,450,593 | ||
3.00%, 03/20/45 | 268,420 | 285,846 | ||
3.50%, 03/20/45 | 45,328 | 48,948 | ||
3.50%, 04/15/45 | 407,956 | 438,514 | ||
4.00%, 05/20/45 | 23,470 | 25,808 | ||
4.00%, 10/20/45 | 188,364 | 207,198 | ||
3.00%, 08/20/46 | 349,861 | 372,940 | ||
3.50%, 09/20/46 | 1,618,863 | 1,737,121 | ||
3.00%, 11/20/46 | 87,585 | 93,368 | ||
3.50%, 04/20/47 | 800,572 | 859,079 | ||
4.00%, 06/20/47 | 459,586 | 496,147 | ||
3.00%, 09/20/47 | 24,831 | 26,322 | ||
4.00%, 09/20/47 | 866,023 | 933,791 | ||
3.50%, 10/20/47 | 730,805 | 791,846 | ||
4.00%, 11/20/47 | 535,766 | 578,733 | ||
4.00%, 12/20/47 | 243,649 | 262,888 | ||
3.00%, 02/20/48 | 123,467 | 129,238 | ||
4.00%, 02/20/48 | 164,124 | 176,417 | ||
4.00%, 03/20/48 | 268,130 | 288,956 | ||
4.00%, 04/20/48 | 176,287 | 189,252 | ||
4.50%, 05/20/48 | 2,188,538 | 2,369,178 | ||
3.50%, 06/15/48 | 184,535 | 197,734 | ||
4.50%, 06/20/48 | 479,198 | 518,693 | ||
4.50%, 07/20/48 | 32,411 | 35,083 | ||
4.50%, 08/20/48 | 3,913,696 | 4,242,533 | ||
5.00%, 08/20/48 | 443,689 | 485,436 |
Par | Value | |||
4.50%, 09/20/48 | $ 2,844,426 | $ 3,078,958 | ||
5.00%, 09/20/48 | 364,893 | 400,021 | ||
4.50%, 10/20/48 | 449,171 | 486,255 | ||
5.00%, 10/20/48 | 2,696,830 | 2,950,402 | ||
5.00%, 11/20/48 | 3,567,362 | 3,902,586 | ||
4.50%, 12/20/48 | 182,038 | 197,052 | ||
5.00%, 12/20/48 | 1,952,500 | 2,136,072 | ||
4.50%, 01/20/49 | 6,806,994 | 7,368,325 | ||
5.00%, 01/20/49 | 6,365,448 | 6,964,016 | ||
4.00%, 02/20/49 | 3,208,180 | 3,441,334 | ||
4.50%, 02/20/49 | 676,344 | 732,076 | ||
5.00%, 02/20/49 | 148,870 | 163,011 | ||
4.00%, 03/20/49 | 2,561,432 | 2,746,645 | ||
4.50%, 03/20/49 | 489,716 | 530,051 | ||
5.00%, 03/20/49 | 632,838 | 692,295 | ||
4.00%, 05/20/49 | 2,046,023 | 2,187,968 | ||
5.00%, 08/20/49 | 9,097,344 | 9,946,829 | ||
3.50%, 10/20/49 | 296,957 | 308,067 | ||
4.00%, 10/20/49 | 96,487 | 104,378 | ||
4.50%, 10/20/49 | 3,133,039 | 3,390,462 | ||
4.00%, 11/20/49 | 93,548 | 101,703 | ||
5.00%, 11/20/49 | 790,088 | 863,058 | ||
4.50%, 12/20/49 | 1,510,993 | 1,632,006 | ||
3.00%, 01/20/50 | 281,938 | 295,235 | ||
4.00%, 01/20/50 | 97,620 | 106,814 | ||
3.50%, 02/20/50 | 189,746 | 202,572 | ||
4.00%, 02/20/50 | 95,634 | 104,201 | ||
3.00%, 03/20/50 | 797,293 | 835,286 | ||
4.00%, 03/20/50 | 95,806 | 105,265 | ||
4.00%, 04/20/50 | 388,703 | 423,316 | ||
3.50%, 05/15/50 | 196,426 | 209,259 | ||
3.00%, 05/20/50 | 278,506 | 291,412 | ||
4.00%, 07/20/50 | 761,680 | 812,793 | ||
2.50%, 12/20/50 | 100,000 | 107,848 | ||
3.00%, 12/20/50 | 894,714 | 950,924 | ||
2.00%, 01/01/51 TBA | 34,500,000 | 36,080,801 | ||
2.50%, 01/01/51 TBA | 11,500,000 | 12,174,727 | ||
3.00%, 01/01/51 TBA | 10,000,000 | 10,457,812 | ||
3.50%, 01/01/51 TBA | 1,000,000 | 1,059,922 | ||
4.00%, 01/01/51 TBA | 800,000 | 853,000 | ||
4.50%, 01/01/51 TBA | 17,500,000 | 18,741,406 | ||
2.00%, 02/01/51 TBA | 10,000,000 | 10,441,406 | ||
2.50%, 02/01/51 TBA | 5,700,000 | 6,022,852 | ||
3.50%, 02/01/51 TBA | 3,600,000 | 3,814,594 | ||
Government National Mortgage Association, Series 2007-30 | ||||
(Floating, ICE LIBOR USD 1M + 0.30%, 0.30% Floor, 6.50% Cap), 0.45%, 05/20/37† | 82,080 | 82,153 | ||
Government National Mortgage Association, Series 2007-51 | ||||
(Floating, 6.58% - ICE LIBOR USD 1M, 6.58% Cap), 6.43%, 08/20/37† IO | 732,700 | 121,117 | ||
Government National Mortgage Association, Series 2010-85 | ||||
(Floating, 6.65% - ICE LIBOR USD 1M, 6.65% Cap), 6.50%, 01/20/40† IO | 17,428 | 1,449 |
Par | Value | |||
Government National Mortgage Association, Series 2010-H28 | ||||
(Floating, ICE LIBOR USD 1M + 0.40%, 0.40% Floor, 10.50% Cap), 0.54%, 12/20/60† | $ 172,110 | $172,165 | ||
Government National Mortgage Association, Series 2011-H08 | ||||
(Floating, ICE LIBOR USD 1M + 0.48%, 0.48% Floor, 10.50% Cap), 0.62%, 03/20/61† | 213,303 | 213,755 | ||
Government National Mortgage Association, Series 2011-H09 | ||||
(Floating, ICE LIBOR USD 1M + 0.50%, 0.50% Floor, 10.50% Cap), 0.64%, 03/20/61† | 149,672 | 150,042 | ||
Government National Mortgage Association, Series 2012-144 | ||||
0.39%, 01/16/53† IO γ | 5,076,338 | 87,243 | ||
Government National Mortgage Association, Series 2012-34 | ||||
(Floating, 6.05% - ICE LIBOR USD 1M, 6.05% Cap), 5.90%, 03/20/42† IO | 27,207 | 6,933 | ||
Government National Mortgage Association, Series 2012-66 | ||||
3.50%, 02/20/38 IO | 46,575 | 971 | ||
Government National Mortgage Association, Series 2012-H27 | ||||
1.75%, 10/20/62† IO γ | 508,621 | 25,140 | ||
Government National Mortgage Association, Series 2012-H30 | ||||
(Floating, ICE LIBOR USD 1M + 0.35%, 0.35% Floor, 10.50% Cap), 0.49%, 12/20/62† | 740,742 | 740,193 | ||
Government National Mortgage Association, Series 2013-107 | ||||
2.69%, 11/16/47† γ | 259,337 | 274,903 | ||
Government National Mortgage Association, Series 2013-53 | ||||
3.50%, 04/20/43 IO | 77,766 | 7,660 | ||
Government National Mortgage Association, Series 2014-117 | ||||
(Floating, 5.60% - ICE LIBOR USD 1M, 5.60% Cap), 5.45%, 08/20/44† IO | 103,902 | 18,206 | ||
Government National Mortgage Association, Series 2014-118 | ||||
(Floating, 6.20% - ICE LIBOR USD 1M, 6.20% Cap), 6.05%, 08/20/44† IO | 149,773 | 33,891 | ||
Government National Mortgage Association, Series 2014-17 | ||||
2.68%, 06/16/48† γ | 24,299 | 25,521 | ||
Government National Mortgage Association, Series 2014-93 | ||||
0.49%, 11/16/55† IO γ | 2,168,671 | 67,883 | ||
Government National Mortgage Association, Series 2015-167 | ||||
4.00%, 04/16/45 IO | 77,569 | 11,311 |
Par | Value | |||
Government National Mortgage Association, Series 2015-H11 | ||||
(Floating, ICE LIBOR USD 1M + 0.55%, 0.55% Floor, 7.50% Cap), 0.69%, 05/20/65† | $1,994,822 | $2,008,627 | ||
Government National Mortgage Association, Series 2015-H14 | ||||
(Floating, ICE LIBOR USD 1M + 0.43%, 0.43% Floor, 11.00% Cap), 0.57%, 05/20/65† | 2,028,836 | 2,030,839 | ||
(Floating, ICE LIBOR USD 1M + 0.57%, 0.57% Floor, 7.50% Cap), 0.71%, 06/20/65† | 3,509,345 | 3,527,853 | ||
Government National Mortgage Association, Series 2015-H15 | ||||
(Floating, ICE LIBOR USD 1M + 0.58%, 0.58% Floor, 7.50% Cap), 0.72%, 06/20/65† | 1,333,271 | 1,341,543 | ||
(Floating, ICE LIBOR USD 1M + 0.60%, 0.60% Floor, 7.50% Cap), 0.74%, 06/20/65† | 3,306,624 | 3,328,121 | ||
Government National Mortgage Association, Series 2015-H16 | ||||
(Floating, ICE LIBOR USD 1M + 0.60%, 0.60% Floor), 0.74%, 07/20/65† | 3,054,407 | 3,066,887 | ||
Government National Mortgage Association, Series 2015-H17 | ||||
(Floating, ICE LIBOR USD 1M + 0.46%, 0.46% Floor), 0.60%, 06/20/65† | 486,231 | 487,081 | ||
Government National Mortgage Association, Series 2015-H18 | ||||
(Floating, ICE LIBOR USD 1M + 0.60%, 0.60% Floor, 7.50% Cap), 0.74%, 07/20/65† | 467,418 | 470,431 | ||
Government National Mortgage Association, Series 2015-H19 | ||||
(Floating, ICE LIBOR USD 1M + 0.60%, 0.60% Floor), 0.74%, 08/20/65† | 526,434 | 529,793 | ||
Government National Mortgage Association, Series 2015-H22 | ||||
(Floating, ICE LIBOR USD 1M + 0.60%, 0.60% Floor, 7.50% Cap), 0.74%, 09/20/65† | 527,236 | 530,842 | ||
Government National Mortgage Association, Series 2015-H23 | ||||
(Floating, ICE LIBOR USD 1M + 0.62%, 0.62% Floor, 7.50% Cap), 0.76%, 09/20/65† | 569,709 | 574,044 | ||
Government National Mortgage Association, Series 2015-H26 | ||||
(Floating, ICE LIBOR USD 1M + 0.52%, 0.52% Floor, 11.00% Cap), 0.66%, 10/20/65† | 1,158,718 | 1,164,415 | ||
Government National Mortgage Association, Series 2015-H30 | ||||
(Floating, ICE LIBOR USD 1M + 0.68%, 0.68% Floor), 0.82%, 08/20/61† | 4,203 | 4,242 |
Par | Value | |||
Government National Mortgage Association, Series 2016-152 | ||||
0.83%, 08/15/58† IO γ | $4,098,380 | $ 233,074 | ||
Government National Mortgage Association, Series 2017-190 | ||||
0.62%, 03/16/60† IO γ | 5,594,899 | 270,513 | ||
Government National Mortgage Association, Series 2017-H15 | ||||
(Floating, ICE LIBOR USD 1Y + 0.80%, 0.80% Floor, 7.50% Cap), 1.44%, 07/20/67† | 1,636,034 | 1,672,639 | ||
2.31%, 07/20/67† IO γ | 507,424 | 58,210 | ||
Government National Mortgage Association, Series 2017-H18 | ||||
1.69%, 09/20/67† IO γ | 3,959,994 | 311,553 | ||
Government National Mortgage Association, Series 2017-H20 | ||||
2.06%, 10/20/67† IO γ | 175,453 | 16,820 | ||
Government National Mortgage Association, Series 2017-H22 | ||||
2.88%, 11/20/67† IO γ | 1,394,513 | 134,283 | ||
Government National Mortgage Association, Series 2018-H07 | ||||
(Floating, ICE LIBOR USD 1M + 0.30%, 0.30% Floor, 11.00% Cap), 0.44%, 05/20/68† | 855,562 | 853,716 | ||
Government National Mortgage Association, Series 2019-123 | ||||
3.00%, 10/20/49 | 170,217 | 175,087 | ||
Government National Mortgage Association, Series 2019-28 | ||||
3.15%, 06/16/60 | 185,232 | 195,004 | ||
Government National Mortgage Association, Series 2020-123 | ||||
2.50%, 08/20/50 IO | 694,745 | 98,888 | ||
Government National Mortgage Association, Series 2020-127 | ||||
2.50%, 08/20/50 IO | 198,515 | 27,019 | ||
Government National Mortgage Association, Series 2020-129 | ||||
2.50%, 09/20/50 IO | 197,677 | 27,350 | ||
Government National Mortgage Association, Series 2020-160 | ||||
2.50%, 10/20/50 IO | 895,998 | 128,906 | ||
Government National Mortgage Association, Series 2020-179 | ||||
1.00%, 09/16/62† IO γ | 7,745,866 | 695,974 | ||
Government National Mortgage Association, Series 2020-47 | ||||
3.50%, 04/20/50 IO | 480,891 | 72,084 | ||
Government National Mortgage Association, Series 2020-H09 | ||||
(Floating, ICE LIBOR USD 1M + 1.25%, 1.25% Floor, 11.00% Cap), 1.40%, 04/20/70† | 182,296 | 187,950 | ||
(Floating, ICE LIBOR USD 1M + 1.15%, 1.15% Floor), 1.30%, 05/20/70† | 500,380 | 524,829 |
Par | Value | |||
Government National Mortgage Association, Series 2020-H13 | ||||
(Floating, ICE LIBOR USD 1M + 0.45%, 0.45% Floor, 7.50% Cap), 0.60%, 07/20/70† | $ 198,364 | $ 199,064 | ||
GPMT, Ltd., Series 2018-FL1, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.90%, 0.90% Floor), 1.05%, 11/21/35 144A † | 289,099 | 287,752 | ||
GreenPoint Mortgage Funding Trust, Series 2006-OH1, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.18%, 0.18% Floor), 0.33%, 01/25/37† | 383,790 | 360,347 | ||
GS Mortgage Securities Corporation II, Series 2018-SRP5, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.30%, 1.30% Floor), 1.46%, 09/15/31 144A † | 1,530,000 | 1,294,774 | ||
GS Mortgage Securities Trust, Series 2013-GC16, Class B | ||||
5.16%, 11/10/46 | 130,000 | 138,025 | ||
GS Mortgage Securities Trust, Series 2015-GC30, Class AS | ||||
3.78%, 05/10/50 | 370,000 | 403,368 | ||
GS Mortgage Securities Trust, Series 2019-GC42, Class D | ||||
2.80%, 09/01/52 144A | 450,000 | 419,474 | ||
GSR Mortgage Loan Trust, Series 2005-AR6, Class 2A1 | ||||
3.20%, 09/25/35† γ | 264,598 | 273,212 | ||
Harben Finance PLC, Series 2017-1X, Class A | ||||
(Floating, ICE LIBOR GBP 3M + 0.80%), 0.85%, 08/20/56(U) † | 474,562 | 649,769 | ||
Hawksmoor Mortgages, Series 2019-1A, Class A | ||||
(Floating, SONIA Deposit Rates Swap 3M + 1.05%), 1.10%, 05/25/53(U) 144A † | 6,172,577 | 8,469,400 | ||
Impac CMB Trust, Series 2004-8, Class 1A | ||||
(Floating, ICE LIBOR USD 1M + 0.72%, 0.72% Floor, 11.00% Cap), 0.87%, 10/25/34† | 25,535 | 24,600 | ||
IndyMac ARM Trust, Series 2001-H2, Class A1 | ||||
1.81%, 01/25/32† γ | 5,075 | 4,844 | ||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2012-C6, Class D | ||||
5.15%, 05/15/45† γ | 280,000 | 247,694 | ||
JP Morgan Mortgage Trust, Series 2005-A1, Class 6T1 | ||||
3.34%, 02/25/35† γ | 20,910 | 19,990 | ||
JP Morgan Mortgage Trust, Series 2018-3, Class A1 | ||||
3.50%, 09/25/48 144A † γ | 1,340,640 | 1,383,430 | ||
JP Morgan Mortgage Trust, Series 2018-4, Class A1 | ||||
3.50%, 10/25/48 144A † γ | 464,148 | 475,771 |
Par | Value | |||
JPMBB Commercial Mortgage Securities Trust, Series 2013-C17, Class B | ||||
4.89%, 01/15/47† γ | $ 50,000 | $ 53,788 | ||
JPMBB Commercial Mortgage Securities Trust, Series 2014-C25, Class ASB | ||||
3.41%, 11/15/47 | 654,673 | 690,913 | ||
JPMBB Commercial Mortgage Securities Trust, Series 2015-C32, Class ASB | ||||
3.36%, 11/15/48 | 696,123 | 739,310 | ||
JPMDB Commercial Mortgage Securities Trust, Series 2017-C5, Class B | ||||
4.01%, 03/15/50 | 630,000 | 684,432 | ||
London Wall Mortgage Capital PLC, Series 2017-FL1, Class A | ||||
(Floating, ICE LIBOR GBP 3M + 0.85%), 0.90%, 11/15/49(U) † | 414,030 | 566,510 | ||
Ludgate Funding PLC, Series 2007-1, Class A2A | ||||
(Floating, ICE LIBOR GBP 3M + 0.16%), 0.19%, 01/01/61(U) † | 652,728 | 849,216 | ||
Ludgate Funding PLC, Series 2008-W1X, Class A1 | ||||
(Floating, ICE LIBOR GBP 3M + 0.60%), 0.63%, 01/01/61(U) † | 518,772 | 692,332 | ||
Manhattan West Mortgage Trust, Series 2020-1MW, Class A | ||||
2.13%, 09/10/39 144A | 1,700,000 | 1,792,098 | ||
Mansard Mortgages PLC, Series 2007-1X, Class A2 | ||||
(Floating, ICE LIBOR GBP 3M + 0.18%), 0.23%, 04/15/47(U) † | 639,030 | 836,409 | ||
MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 3A7 | ||||
3.18%, 11/21/34† γ | 137,899 | 141,245 | ||
MASTR Adjustable Rate Mortgages Trust, Series 2004-4, Class 4A1 | ||||
3.09%, 05/25/34† γ | 62,129 | 65,156 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C9, Class AS | ||||
3.46%, 05/15/46 | 140,000 | 146,572 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C19, Class B | ||||
4.00%, 12/15/47 | 370,000 | 397,862 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C22, Class AS | ||||
3.56%, 04/15/48 | 480,000 | 518,865 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C25, Class A4 | ||||
3.37%, 10/15/48 | 1,400,000 | 1,544,269 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C27, Class ASB | ||||
3.56%, 12/15/47 | 785,081 | 834,802 |
Par | Value | |||
Morgan Stanley Capital I Trust, Series 2014-CPT, Class B | ||||
3.45%, 07/13/29 144A † γ | $ 800,000 | $ 806,122 | ||
Morgan Stanley Capital I Trust, Series 2019-BPR, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.40%, 1.40% Floor), 1.56%, 05/15/36 144A † | 1,050,000 | 1,013,477 | ||
Morgan Stanley Capital I Trust, Series 2020-CNP, Class A | ||||
2.43%, 04/05/42 144A † γ | 1,600,000 | 1,698,041 | ||
MortgageIT Trust, Series 2005-4, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.56%, 0.56% Floor, 11.50% Cap), 0.71%, 10/25/35† | 168,298 | 171,161 | ||
MSCG Trust, Series 2015-ALDR, Class A2 | ||||
3.46%, 06/07/35 144A † γ | 580,000 | 574,345 | ||
Nomura Resecuritization Trust, Series 2014-7R, Class 2A3 | ||||
(Floating, ICE LIBOR USD 1M + 0.20%, 0.20% Floor), 0.35%, 12/26/35 144A † | 15,124 | 15,127 | ||
OBX Trust, Series 2018-1, Class A2 | ||||
(Floating, ICE LIBOR USD 1M + 0.65%), 0.80%, 06/25/57 144A † | 1,748,102 | 1,746,248 | ||
ResLoc UK PLC, Series 2007-1X, Class A3A | ||||
(Floating, 0.16% - Euribor 3M), 0.00%, 12/15/43(E) † | 903,739 | 1,072,473 | ||
(Floating, ICE LIBOR GBP 3M + 0.16%), 0.20%, 12/15/43(U) † | 225,935 | 296,178 | ||
Ripon Mortgages PLC, Series 1A, Class A1 | ||||
(Floating, ICE LIBOR GBP 3M + 0.80%), 0.85%, 08/20/56(U) 144A † | 1,888,452 | 2,582,708 | ||
Ripon Mortgages PLC, Series 1X, Class A1 | ||||
(Floating, ICE LIBOR GBP 3M + 0.80%), 0.85%, 08/20/56(U) † | 136,750 | 187,024 | ||
Ripon Mortgages PLC, Series 1X, Class A2 | ||||
(Floating, ICE LIBOR GBP 3M + 0.80%), 0.85%, 08/20/56(U) † | 2,461,499 | 3,363,969 | ||
Rosslyn Portfolio Trust, Series 2017-ROSS, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.95%, 1.94% Floor), 1.94%, 06/15/33 144A † | 383,924 | 385,450 | ||
Sequoia Mortgage Trust, Series 6, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.64%, 0.64% Floor, 11.00% Cap), 0.79%, 04/19/27† | 156,941 | 153,790 | ||
Shops at Crystals Trust, Series 2016-CSTL, Class A | ||||
3.13%, 07/05/36 144A | 340,000 | 342,124 |
Par | Value | |||
Stratton Mortgage Funding PLC, Series 2019-1, Class A | ||||
(Floating, SONIA Deposit Rates Swap 3M + 1.20%), 1.25%, 05/25/51(U) † | $ 1,474,502 | $ 2,023,887 | ||
Structured Adjustable Rate Mortgage Loan Trust, Series 2005-19XS, Class 2A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.30%, 0.30% Floor), 0.45%, 10/25/35† | 315,412 | 316,097 | ||
Structured Asset Mortgage Investments II Trust, Series 2005-AR5, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.50%, 0.50% Floor, 11.00% Cap), 0.65%, 07/19/35† | 42,946 | 41,373 | ||
Thornburg Mortgage Securities Trust, Series 2003-4, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.64%, 0.64% Floor, 11.50% Cap), 0.79%, 09/25/43† | 4,518 | 4,520 | ||
Thornburg Mortgage Securities Trust, Series 2005-1, Class A3 | ||||
3.33%, 04/25/45† γ | 28,014 | 28,142 | ||
Towd Point Mortgage Funding PLC, Series 2019-GR4A, Class A1 | ||||
(Floating, ICE LIBOR GBP 3M + 1.03%), 1.06%, 10/20/51(U) 144A † | 1,453,991 | 1,999,010 | ||
Towd Point Mortgage Funding PLC, Series 2020-A14X, Class A | ||||
(Floating, SONIA Deposit Rates Swap 3M + 0.90%), 0.95%, 05/20/45(U) † | 3,666,050 | 5,012,777 | ||
Tower Bridge Funding No. 2 PLC, Class A | ||||
(Floating, ICE LIBOR GBP 3M + 0.90%), 0.93%, 03/20/56(U) † | 649,396 | 889,058 | ||
Trinity Square PLC, Series 2015-1A, Class A | ||||
(Floating, ICE LIBOR GBP 3M + 1.15%), 1.20%, 07/15/51(U) 144A † | 161,377 | 221,083 | ||
UBS-Barclays Commercial Mortgage Trust, Series 2012-C4, Class D | ||||
4.47%, 12/10/45 144A † γ | 320,000 | 186,714 | ||
Uniform Mortgage Backed Securities | ||||
1.50%, 01/01/36 TBA | 4,400,000 | 4,527,531 | ||
2.00%, 01/01/51 TBA | 10,400,000 | 10,804,219 | ||
2.50%, 01/01/51 TBA | 1,100,000 | 1,159,641 | ||
3.00%, 01/01/51 TBA | 45,100,000 | 47,256,344 | ||
3.50%, 01/01/51 TBA | 11,000,000 | 11,628,203 | ||
4.50%, 01/01/51 TBA | 1,000,000 | 1,083,906 | ||
5.00%, 01/01/51 TBA | 700,000 | 774,785 | ||
2.00%, 02/01/51 TBA | 8,300,000 | 8,608,044 | ||
2.50%, 02/01/51 TBA | 5,400,000 | 5,683,313 | ||
2.00%, 03/01/51 TBA | 44,500,000 | 46,078,401 | ||
2.50%, 03/01/51 TBA | 28,000,000 | 29,427,370 |
Par | Value | |||
VLS Commercial Mortgage Trust, Series 2020-LAB, Class A | ||||
2.13%, 10/10/42 144A | $1,610,000 | $1,680,263 | ||
VLS Commercial Mortgage Trust, Series 2020-LAB, Class B | ||||
2.45%, 10/10/42 144A | 1,610,000 | 1,685,812 | ||
VNDO Mortgage Trust, Series 2012-6AVE, Class A | ||||
3.00%, 11/15/30 144A | 100,000 | 103,521 | ||
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2002-AR19, Class A7 | ||||
3.33%, 02/25/33† γ | 2,687 | 2,763 | ||
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2002-AR6, Class A | ||||
(Floating, Federal Reserve U.S. 12 1Y CMT + 1.40%, 1.40% Floor), 2.01%, 06/25/42† | 5,938 | 5,746 | ||
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2005-AR1, Class A1B | ||||
(Floating, ICE LIBOR USD 1M + 0.78%, 0.78% Floor, 10.50% Cap), 0.93%, 01/25/45† | 782,903 | 776,966 | ||
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2005-AR13, Class A1A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.58%, 0.58% Floor, 10.50% Cap), 0.73%, 10/25/45† | 573,400 | 563,373 | ||
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2007-HY1, Class 1A1 | ||||
3.51%, 02/25/37† γ | 175,969 | 160,012 | ||
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2007-HY1, Class 2A3 | ||||
3.57%, 02/25/37† γ | 111,739 | 109,101 | ||
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2007-OA3, Class 2A1A | ||||
(Floating, Federal Reserve U.S. 12 1Y CMT + 0.76%, 0.76% Floor), 1.37%, 04/25/47† | 404,530 | 378,357 | ||
Washington Mutual Mortgage Pass-Through Certificates, Series 2005-AR8, Class 1A1A | ||||
(Floating, ICE LIBOR USD 1M + 0.54%, 0.54% Floor, 10.50% Cap), 0.69%, 07/25/45† | 424,070 | 400,278 | ||
Washington Mutual Mortgage Pass-Through Certificates, Series 2005-AR8, Class 2A1A | ||||
(Floating, ICE LIBOR USD 1M + 0.58%, 0.58% Floor, 10.50% Cap), 0.73%, 07/25/45† | 88,314 | 85,797 | ||
Waterfall Commercial Mortgage Trust, Series 2015-SBC5, Class A | ||||
4.10%, 09/14/22 144A | 101,539 | 102,953 | ||
Wells Fargo Alternative Loan Trust, Series 2007-PA6, Class A1 | ||||
3.15%, 12/28/37† γ | 297,275 | 289,210 |
Par | Value | |||
Wells Fargo Commercial Mortgage Trust, Series 2013-LC12, Class B | ||||
4.27%, 07/15/46† γ | $ 20,000 | $ 19,209 | ||
Wells Fargo Commercial Mortgage Trust, Series 2017-RC1, Class D | ||||
3.25%, 01/15/60 144A | 150,000 | 123,876 | ||
Wells Fargo Mortgage Backed Securities Trust, Series 2019-3, Class A1 | ||||
3.50%, 07/25/49 144A † γ | 183,756 | 189,638 | ||
WFRBS Commercial Mortgage Trust, Series 2012-C7, Class XA | ||||
1.31%, 06/15/45 144A † IO γ | 253,759 | 2,912 | ||
WFRBS Commercial Mortgage Trust, Series 2013-C13, Class XA | ||||
1.19%, 05/15/45 144A † IO γ | 2,220,327 | 49,733 | ||
WFRBS Commercial Mortgage Trust, Series 2014-C19, Class XA | ||||
1.02%, 03/15/47† IO γ | 861,490 | 19,989 | ||
WFRBS Commercial Mortgage Trust, Series 2014-C21, Class XA | ||||
1.03%, 08/15/47† IO γ | 2,830,871 | 82,077 | ||
WFRBS Commercial Mortgage Trust, Series 2014-C24, Class AS | ||||
3.93%, 11/15/47 | 290,000 | 299,265 | ||
WFRBS Commercial Mortgage Trust, Series 2014-C24, Class C | ||||
4.29%, 11/15/47 | 300,000 | 242,235 | ||
Worldwide Plaza Trust, Series 2017-WWP, Class A | ||||
3.53%, 11/10/36 144A | 1,900,000 | 2,121,560 | ||
Total Mortgage-Backed Securities (Cost $699,259,185) | 719,477,403 | |||
MUNICIPAL BONDS — 0.5% | ||||
American Municipal Power, Inc., Hydroelectric Projects, Revenue Bond, Series B | ||||
8.08%, 02/15/50 | 600,000 | 1,128,060 | ||
American Municipal Power, Inc., Revenue Bond, Series E | ||||
6.27%, 02/15/50 | 250,000 | 355,393 | ||
Chicago Transit Authority Sales & Transfer Tax Receipts Revenue, Revenue Bond, Series A | ||||
6.90%, 12/01/40 | 700,000 | 1,013,121 | ||
Chicago Transit Authority Sales & Transfer Tax Receipts Revenue, Revenue Bond, Series B | ||||
6.90%, 12/01/40 | 300,000 | 434,195 | ||
City of New York, General Obligation, Series D | ||||
0.98%, 08/01/25 | 530,000 | 532,936 | ||
1.40%, 08/01/27 | 625,000 | 631,569 | ||
Fresno Unified School District, General Obligation | ||||
1.16%, 08/01/26 | 145,000 | 145,936 | ||
Health & Educational Facilities Authority of the State of Missouri, Revenue Bond, Series A | ||||
3.23%, 05/15/50 | 460,000 | 538,140 |
Par | Value | |||
Metropolitan Transportation Authority, Revenue Bond, Series C-2 | ||||
5.18%, 11/15/49 | $ 825,000 | $ 971,297 | ||
Municipal Improvement Corporation of Los Angeles, Revenue Bond, Series C | ||||
1.83%, 11/01/29 | 70,000 | 70,366 | ||
New York City Transitional Finance Authority Future Tax Secured Revenue, Revenue Bond, Subseries D-2 | ||||
1.92%, 11/01/29 | 145,000 | 149,086 | ||
New York State Urban Development Corporation, Revenue Bond, Series F-1 | ||||
1.00%, 03/15/26 | 145,000 | 145,525 | ||
Port Authority of New York & New Jersey, Revenue Bond, Series 192 | ||||
4.81%, 10/15/65 | 300,000 | 416,757 | ||
Port of Oakland, Revenue Bond, Series R | ||||
2.10%, 05/01/30 | 25,000 | 25,537 | ||
San Jose Financing Authority, Revenue Bond | ||||
1.81%, 06/01/29 | 100,000 | 100,485 | ||
1.86%, 06/01/30 | 55,000 | 54,993 | ||
State Board of Administration Finance Corporation, Revenue Bond, Series A | ||||
2.15%, 07/01/30 | 465,000 | 489,703 | ||
State of California, General Obligation | ||||
7.55%, 04/01/39 | 410,000 | 720,749 | ||
State of Illinois, General Obligation | ||||
5.10%, 06/01/33 | 405,000 | 436,175 | ||
6.63%, 02/01/35 | 495,000 | 567,458 | ||
7.35%, 07/01/35 | 465,000 | 554,747 | ||
University of California, Revenue Bond, Series BG | ||||
1.61%, 05/15/30 | 1,600,000 | 1,618,200 | ||
Total Municipal Bonds (Cost $9,911,885) | 11,100,428 |
Number of Contracts | Notional Amount | |||
PURCHASED OPTIONS — 0.0% | ||||
Call Options — 0.0% | ||||
10-Year U.S. Treasury Note Future expiration date 02/2021, Strike Price $137.70, Expires 01/22/21 (GSC) | 35 | $4,832,734 | 24,062 | |
10-Year U.S. Treasury Note Future expiration date 02/2021, Strike Price $138.00, Expires 01/22/21 (GSC) | 33 | 4,556,578 | 17,531 |
Number of Contracts | Notional Amount | Value | |||
Long U.S. Treasury Bond Future expiration date 02/2021, Strike Price $172.50, Expires 01/22/21 (GSC) | 19 | $ 3,290,563 | $ 36,219 | ||
Long U.S. Treasury Bond Future expiration date 02/2021, Strike Price $173.00, Expires 01/22/21 (GSC) | 32 | 5,542,000 | 52,000 | ||
129,812 | |||||
Put Options — 0.0% | |||||
10-Year U.S. Treasury Note Future expiration date 01/2021, Strike Price $137.70, Expires 01/08/21 (GSC) | 78 | 10,770,094 | 15,844 | ||
10-Year U.S. Treasury Note Future expiration date 02/2021, Strike Price $137.50, Expires 01/22/21 (GSC) | 55 | 7,594,297 | 15,469 | ||
10-Year U.S. Treasury Note Future expiration date 02/2021, Strike Price $138.00, Expires 01/22/21 (GSC) | 86 | 11,874,719 | 38,969 | ||
30-Year U.S. Treasury Note Future expiration date 01/2021, Strike Price $172.00, Expires 01/08/21 (GSC) | 19 | 3,290,563 | 10,984 | ||
Long U.S. Treasury Bond Future expiration date 02/2021, Strike Price $172.00, Expires 01/22/21 (GSC) | 18 | 3,117,375 | 18,563 | ||
99,829 | |||||
Total Purchased Options (Premiums paid $227,681) | 229,641 |
Par | |||
U.S. TREASURY OBLIGATIONS — 18.9% | |||
U.S. Cash Management Bills | |||
0.08%, 03/23/21Ω | $9,030,000 | 9,028,729 | |
0.08%, 04/06/21Ω | 8,540,000 | 8,538,516 |
Par | Value | |||
0.09%, 05/11/21Ω | $ 8,810,000 | $ 8,807,731 | ||
26,374,976 | ||||
U.S. Treasury Bonds | ||||
4.38%, 02/15/38 | 10,000 | 14,869 | ||
4.25%, 05/15/39 | 4,300,000 | 6,382,477 | ||
4.38%, 11/15/39 | 200,000 | 302,516 | ||
1.13%, 08/15/40 | 6,750,000 | 6,392,461 | ||
1.38%, 11/15/40 | 32,610,000 | 32,253,328 | ||
2.75%, 08/15/42 | 600,000 | 744,047 | ||
2.75%, 11/15/42 | 700,000 | 867,562 | ||
2.88%, 05/15/43 | 3,200,000 | 4,046,500 | ||
3.63%, 02/15/44 | 6,460,000 | 9,149,732 | ||
3.38%, 05/15/44‡‡ | 3,200,000 | 4,377,125 | ||
3.13%, 08/15/44 | 4,800,000 | 6,332,062 | ||
3.00%, 11/15/44 | 3,100,000 | 4,013,047 | ||
2.50%, 02/15/45 | 950,000 | 1,133,209 | ||
2.88%, 08/15/45 | 4,340,000 | 5,523,159 | ||
2.75%, 08/15/47 | 7,940,000 | 9,956,946 | ||
3.00%, 02/15/48 | 6,170,000 | 8,101,499 | ||
3.13%, 05/15/48 | 5,380,000 | 7,223,491 | ||
3.00%, 02/15/49 | 80,000 | 105,550 | ||
2.88%, 05/15/49 | 6,200,000 | 8,006,719 | ||
2.25%, 08/15/49 | 3,400,000 | 3,892,070 | ||
2.00%, 02/15/50 | 19,840,000 | 21,554,300 | ||
1.25%, 05/15/50 | 22,340,000 | 20,271,805 | ||
1.38%, 08/15/50 | 34,180,000 | 32,019,717 | ||
1.63%, 11/15/50‡‡ | 14,380,000 | 14,328,322 | ||
206,992,513 | ||||
U.S. Treasury Inflationary Index Bonds | ||||
2.13%, 02/15/40 | 2,770,856 | 4,297,214 | ||
2.13%, 02/15/41 | 570,739 | 896,303 | ||
0.75%, 02/15/42 | 241,996 | 308,507 | ||
1.38%, 02/15/44‡‡ | 2,659,079 | 3,835,411 | ||
0.75%, 02/15/45 | 674,520 | 871,408 | ||
1.00%, 02/15/46 | 1,219,823 | 1,666,595 | ||
1.00%, 02/15/48 | 1,668,369 | 2,327,075 | ||
1.00%, 02/15/49 | 1,676,344 | 2,365,215 | ||
16,567,728 | ||||
U.S. Treasury Notes | ||||
2.00%, 12/31/21‡‡ | 1,500,000 | 1,528,158 | ||
1.88%, 03/31/22‡‡ | 1,900,000 | 1,941,711 | ||
1.88%, 09/30/22‡‡ | 3,000,000 | 3,091,289 | ||
2.00%, 10/31/22‡‡ | 2,700,000 | 2,792,496 | ||
0.25%, 11/15/23 | 60,000 | 60,173 | ||
2.25%, 11/15/24 | 260,000 | 280,170 | ||
0.38%, 04/30/25 | 500,000 | 501,875 | ||
0.25%, 05/31/25 | 11,240,000 | 11,219,364 | ||
0.25%, 06/30/25 | 100,000 | 99,754 | ||
2.88%, 07/31/25 | 2,330,000 | 2,601,318 |
Par | Value | |||
0.25%, 08/31/25 | $ 170,000 | $ 169,462 | ||
0.25%, 09/30/25 | 2,800,000 | 2,789,609 | ||
0.25%, 10/31/25 | 500,000 | 497,891 | ||
2.25%, 11/15/25 | 1,480,000 | 1,616,553 | ||
0.38%, 11/30/25 | 20,000 | 20,030 | ||
0.38%, 12/31/25 | 17,510,000 | 17,524,364 | ||
2.63%, 01/31/26 | 3,120,000 | 3,475,631 | ||
2.25%, 03/31/26 | 1,500,000 | 1,645,488 | ||
2.13%, 05/31/26 | 6,320,000 | 6,900,897 | ||
2.25%, 02/15/27 | 3,518,000 | 3,889,451 | ||
0.50%, 04/30/27 | 8,610,000 | 8,590,493 | ||
0.50%, 06/30/27 | 12,510,000 | 12,460,644 | ||
0.50%, 08/31/27 | 4,860,000 | 4,830,954 | ||
0.38%, 09/30/27 | 7,120,000 | 7,012,088 | ||
0.50%, 10/31/27 | 150,000 | 148,852 | ||
0.63%, 12/31/27 | 26,400,000 | 26,373,188 | ||
2.75%, 02/15/28‡‡ | 1,400,000 | 1,605,734 | ||
2.88%, 05/15/28‡‡ | 800,000 | 927,031 | ||
3.13%, 11/15/28 | 8,180,000 | 9,686,590 | ||
2.63%, 02/15/29 | 1,000,000 | 1,148,125 | ||
0.63%, 05/15/30 | 510,000 | 498,684 | ||
0.63%, 08/15/30 | 7,950,000 | 7,752,492 | ||
0.88%, 11/15/30 | 3,030,000 | 3,020,295 | ||
146,700,854 | ||||
U.S. Treasury Strips | ||||
2.22%, 02/15/40Ω ‡‡ | 2,790,000 | 2,078,954 | ||
2.18%, 08/15/41Ω ‡‡ | 1,080,000 | 779,983 | ||
2,858,937 | ||||
Total U.S. Treasury Obligations (Cost $388,256,457) | 399,495,008 |
Shares | |||
MONEY MARKET FUNDS — 5.9% | |||
GuideStone Money Market Fund, 0.00% (Institutional Class)Ø ∞ | 118,802,640 | 118,802,640 | |
Northern Institutional Liquid Assets Portfolio (Shares), 0.08%Ø § | 5,683,990 | 5,683,990 | |
Northern Institutional U.S. Government Portfolio (Shares), 0.00%Ø | 1,143,016 | 1,143,016 | |
Total Money Market Funds (Cost $125,629,646) | 125,629,646 |
Par | Value | |||
REPURCHASE AGREEMENTS — 4.5% | ||||
Deutsche Bank AG | ||||
0.11% (dated 12/31/20, due 01/04/21, repurchase price $47,829,211, collateralized by U.S. Treasury Note, 0.13%, due 07/15/30, total market value $49,161,276) | $47,800,000 | $ 47,800,000 | ||
JP Morgan Securities LLC | ||||
0.11% (dated 12/31/20, due 01/05/21, repurchase price $48,029,333, collateralized by U.S. Treasury Inflationary Index Note, 0.50%, due 01/15/28, total market value $49,090,900) | 48,000,000 | 48,000,000 | ||
Total Repurchase Agreements (Cost $95,800,000) | 95,800,000 | |||
TOTAL INVESTMENTS —114.4% (Cost $2,321,642,046) | 2,421,476,183 |
Number of Contracts | Notional Amount | |||
WRITTEN OPTIONS — (0.0)% | ||||
Call Options — (0.0)% | ||||
10-Year U.S. Treasury Note Future expiration date 02/2021, Strike Price $138.20, Expires 01/22/21 (GSC) | (33) | $ (4,556,578) | (12,891) | |
10-Year U.S. Treasury Note Future expiration date 02/2021, Strike Price $139.00, Expires 01/22/21 (GSC) | (80) | (11,046,250) | (10,000) | |
10-Year U.S. Treasury Note Future expiration date 03/2021, Strike Price $138.50, Expires 01/22/21 (GSC) | (33) | (4,556,578) | (9,281) | |
Long U.S. Treasury Bond Future expiration date 01/2021, Strike Price $176.00, Expires 01/22/21 (GSC) | (102) | (17,665,125) | (47,812) |
Number of Contracts | Notional Amount | Value | |||
Long U.S. Treasury Bond Future expiration date 02/2021, Strike Price $174.00, Expires 01/22/21 (GSC) | (24) | $(4,156,500) | $ (27,000) | ||
Long U.S. Treasury Bond Future expiration date 02/2021, Strike Price $177.00, Expires 01/22/21 (GSC) | (33) | (5,715,188) | (9,797) | ||
Long U.S. Treasury Bond Future expiration date 02/2021, Strike Price $178.00, Expires 01/22/21 (GSC) | (33) | (5,715,188) | (6,188) | ||
Long U.S. Treasury Bond Future expiration date 02/2021, Strike Price $179.00, Expires 01/22/21 (GSC) | (40) | (6,927,500) | (5,000) | ||
Long U.S. Treasury Bond Future expiration date 03/2021, Strike Price $179.00, Expires 02/19/21 (GSC) | (34) | (5,888,375) | (14,344) | ||
(142,313) | |||||
Call Swaptions — (0.0)% | |||||
Pay (0.02)% (Annually); Receive 6-Month EURIBOR (Semiannually): Interest Rate Swap Maturing 3/12/2051 EUR, Strike Price $(0.02), Expires 03/10/21 (JPM) | 2 | (1,480,000) | (45,112) |
Number of Contracts | Notional Amount | Value | |||
Pay (0.25)% (Annually); Receive 6-Month EURIBOR (Semiannually): Interest Rate Swap Maturing 1/18/2031 EUR, Strike Price $(0.25), Expires 01/14/21 (BOA) | 1 | $ (4,980,000) | $ (18,979) | ||
Pay 0.00% (Annually); Receive 6-Month EURIBOR (Semiannually): Interest Rate Swap Maturing 3/10/2051 EUR, Strike Price $0.00, Expires 03/08/21 (CITI) | 2 | (1,490,000) | (50,873) | ||
Pay 0.02% (Annually); Receive 6-Month EURIBOR (Semiannually): Interest Rate Swap Maturing 3/04/2051 EUR, Strike Price $0.02, Expires 03/02/21 (JPM) | 1 | (1,490,000) | (55,685) | ||
(170,649) | |||||
Put Options — (0.0)% | |||||
10-Year U.S. Treasury Note Future expiration date 02/2021, Strike Price $136.00, Expires 01/22/21 (GSC) | (132) | (18,226,313) | (4,125) | ||
10-Year U.S. Treasury Note Future expiration date 02/2021, Strike Price $137.00, Expires 01/22/21 (GSC) | (74) | (10,217,781) | (11,563) | ||
10-Year U.S. Treasury Note Future expiration date 02/2021, Strike Price $137.20, Expires 01/22/21 (GSC) | (19) | (2,623,484) | (3,859) |
Number of Contracts | Notional Amount | Value | |||
10-Year U.S. Treasury Note Future expiration date 03/2021, Strike Price $135.50, Expires 02/19/21 (GSC) | (110) | $(15,188,594) | $(12,032) | ||
30-Year U.S. Treasury Note Future expiration date 01/2021, Strike Price $170.50, Expires 01/08/21 (GSC) | (38) | (6,581,125) | (8,906) | ||
5-Year U.S. Treasury Note Future expiration date 02/2021, Strike Price $125.50, Expires 01/22/21 (GSC) | (19) | (2,397,118) | (445) | ||
FNCL 2.00% expiration date 02/2021, Strike Price $102.19, Expires 02/04/21 (JPM) | 1 | (3,372,188) | (661) | ||
FNCL 2.00% expiration date 02/2021, Strike Price $102.27, Expires 02/04/21 (JPM) | 1 | (1,329,453) | (305) | ||
FNCL 2.00% expiration date 03/2021, Strike Price $102.13, Expires 03/04/21 (JPM) | 1 | (1,429,750) | (1,266) | ||
G2SF 2.50% expiration date 02/2021, Strike Price $103.77, Expires 02/11/21 (JPM) | 1 | (3,424,523) | (137) | ||
Long U.S. Treasury Bond Future expiration date 02/2021, Strike Price $169.00, Expires 01/22/21 (GSC) | (48) | (8,313,000) | (15,000) |
Number of Contracts | Notional Amount | Value | |||
Long U.S. Treasury Bond Future expiration date 02/2021, Strike Price $170.00, Expires 01/22/21 (GSC) | (36) | $(6,234,750) | $ (17,438) | ||
(75,737) | |||||
Put Swaption — 0.0% | |||||
Pay 6-Month EURIBOR (Semiannually); Receive 0.00% (Annually): Interest Rate Swap Maturing 1/14/2021 EUR, Strike Price $0.00, Expires 01/14/21 (BOA) | 1 | (4,980,000) | — | ||
Total Written Options (Premiums received $ (591,209)) | (388,699) |
Par | Value | |||
TBA SALE COMMITMENTS — (4.3)% | ||||
Uniform Mortgage Backed Securities 3.50%, 02/01/51 TBA | $(21,000,000) | $ (22,229,649) | ||
Uniform Mortgage Backed Securities 2.50%, 02/01/51 TBA | (4,600,000) | (4,841,340) | ||
Uniform Mortgage Backed Securities 3.50%, 01/01/51 TBA | (54,000,000) | (57,083,906) | ||
Uniform Mortgage Backed Securities 4.00%, 01/01/51 TBA | (2,000,000) | (2,136,094) | ||
Government National Mortgage Association 3.00%, 01/01/51 TBA | (1,000,000) | (1,041,328) | ||
Government National Mortgage Association 4.00%, 01/01/51 TBA | (4,000,000) | (4,265,000) | ||
Total TBA Sale Commitments (Proceeds $(91,521,574)) | (91,597,317) | |||
Liabilities in Excess of Other Assets — (10.1)% | (213,525,689) | |||
NET ASSETS — 100.0% | $2,115,964,478 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
30-Year Euro Buxl | 03/2021 | (10) | $ (2,751,645) | $ (39,278) | ||||
Euro-BTP | 03/2021 | 145 | 26,926,939 | 182,524 | ||||
Euro-Bund | 03/2021 | (228) | (49,479,174) | (55,195) | ||||
Euro-OAT | 03/2021 | 40 | 8,202,647 | 6,804 | ||||
10-Year Commonwealth Treasury Bond | 03/2021 | (13) | (1,475,592) | 276 | ||||
10-Year Japanese Treasury Bond | 03/2021 | (9) | (13,241,780) | 7,805 | ||||
90-Day Eurodollar | 03/2021 | (500) | (124,787,500) | (125,450) | ||||
10-Year U.S. Treasury Note | 03/2021 | 494 | 68,210,594 | 64,359 | ||||
Ultra 10-Year U.S. Treasury Note | 03/2021 | (18) | (2,814,469) | 1,516 | ||||
Ultra Long U.S. Treasury Bond | 03/2021 | 192 | 41,004,000 | (264,521) | ||||
Long GILT | 03/2021 | (65) | (12,047,812) | (131,648) | ||||
2-Year U.S. Treasury Note | 03/2021 | 235 | 51,929,492 | 38,886 | ||||
5-Year U.S. Treasury Note | 03/2021 | 744 | 93,866,063 | 245,610 | ||||
U.S. Treasury Long Bond | 03/2021 | (256) | (44,336,000) | 163,154 | ||||
90-Day Eurodollar | 06/2021 | (423) | (105,575,512) | (271,663) | ||||
90-Day Eurodollar | 12/2021 | (407) | (101,536,325) | (651,675) | ||||
Total Futures Contracts outstanding at December 31, 2020 | $(167,906,074) | $(828,496) |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
01/19/21 | Mexican Pesos | 90,934,538 | U.S. Dollars | 4,009,406 | CITI | $ 550,196 | ||||||
01/19/21 | Indonesian Rupiahs | 53,935,795,049 | U.S. Dollars | 3,621,067 | CITI | 236,852 | ||||||
01/19/21 | Brazilian Reals | 9,650,000 | U.S. Dollars | 1,701,850 | CITI | 155,527 | ||||||
01/19/21 | Russian Rubles | 259,375,111 | U.S. Dollars | 3,374,864 | CITI | 123,217 | ||||||
01/19/21 | Canadian Dollars | 3,789,664 | U.S. Dollars | 2,858,581 | CITI | 118,845 |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
01/19/21 | Brazilian Reals | 4,942,110 | U.S. Dollars | 868,783 | GSC | $ 82,446 | ||||||
01/19/21 | Australian Dollars | 2,804,699 | U.S. Dollars | 2,087,185 | CITI | 75,577 | ||||||
03/17/21 | Euro | 7,091,906 | U.S. Dollars | 8,610,678 | CITI | 68,213 | ||||||
01/08/21 | Australian Dollars | 2,190,000 | U.S. Dollars | 1,625,556 | JPM | 62,983 | ||||||
01/19/21 | Japanese Yen | 695,744,412 | U.S. Dollars | 6,680,923 | CITI | 58,812 | ||||||
03/17/21 | Japanese Yen | 499,631,641 | U.S. Dollars | 4,807,271 | JPM | 35,833 | ||||||
01/19/21 | Japanese Yen | 170,558,656 | U.S. Dollars | 1,618,841 | GSC | 33,375 | ||||||
03/17/21 | Australian Dollars | 1,342,000 | U.S. Dollars | 1,003,486 | UBS | 31,780 | ||||||
01/19/21 | Euro | 700,000 | U.S. Dollars | 823,989 | GSC | 31,570 | ||||||
03/17/21 | Norwegian Kroner | 6,610,596 | U.S. Dollars | 749,284 | JPM | 21,487 | ||||||
01/08/21 | British Pounds | 599,000 | U.S. Dollars | 799,882 | JPM | 19,303 | ||||||
01/08/21 | Canadian Dollars | 1,944,000 | U.S. Dollars | 1,512,084 | BAR | 15,188 | ||||||
03/15/21 | U.S. Dollars | 1,468,310 | Peruvian Nuevo Soles | 5,260,955 | DEUT | 14,796 | ||||||
03/17/21 | British Pounds | 297,328 | U.S. Dollars | 395,871 | DEUT | 10,919 | ||||||
02/02/21 | U.S. Dollars | 7,484,594 | Euro | 6,113,000 | BNP | 10,626 | ||||||
02/24/21 | U.S. Dollars | 726,706 | Peruvian Nuevo Soles | 2,604,516 | HSBC | 7,041 | ||||||
01/08/21 | Canadian Dollars | 1,253,000 | U.S. Dollars | 978,316 | UBS | 6,083 | ||||||
03/17/21 | Japanese Yen | 51,285,907 | U.S. Dollars | 491,577 | SS | 5,556 | ||||||
03/17/21 | Canadian Dollars | 1,781,047 | U.S. Dollars | 1,394,105 | CITI | 5,394 | ||||||
01/13/21 | British Pounds | 283,574 | U.S. Dollars | 382,599 | JPM | 5,229 | ||||||
03/17/21 | New Zealand Dollars | 146,735 | U.S. Dollars | 103,252 | UBS | 2,358 | ||||||
03/17/21 | U.S. Dollars | 370,000 | Canadian Dollars | 470,074 | SS | 629 | ||||||
Subtotal Appreciation | $ 1,789,835 | |||||||||||
03/17/21 | U.S. Dollars | 184,522 | Japanese Yen | 19,055,771 | SS | $ (192) | ||||||
03/17/21 | U.S. Dollars | 184,493 | Euro | 151,000 | CITI | (297) | ||||||
03/17/21 | Swiss Francs | 326,045 | U.S. Dollars | 370,000 | UBS | (879) | ||||||
01/19/21 | Russian Rubles | 146,762,542 | U.S. Dollars | 1,980,463 | CITI | (1,139) | ||||||
03/17/21 | U.S. Dollars | 117,877 | New Zealand Dollars | 166,000 | JPM | (1,599) | ||||||
01/19/21 | Russian Rubles | 152,180,000 | U.S. Dollars | 2,054,449 | GSC | (2,062) | ||||||
03/17/21 | U.S. Dollars | 339,902 | British Pounds | 251,000 | DEUT | (3,504) | ||||||
02/19/21 | U.S. Dollars | 308,702 | Japanese Yen | 32,400,000 | HSBC | (5,263) | ||||||
03/17/21 | Euro | 298,000 | Norwegian Kroner | 3,197,838 | JPM | (8,172) | ||||||
03/17/21 | U.S. Dollars | 367,046 | Swedish Kronor | 3,102,708 | BOA | (10,378) | ||||||
01/19/21 | U.S. Dollars | 243,769 | British Pounds | 188,429 | GSC | (13,947) | ||||||
01/08/21 | U.S. Dollars | 809,927 | Canadian Dollars | 1,054,299 | JPM | (18,366) | ||||||
01/19/21 | U.S. Dollars | 435,949 | Chinese Offshore Yuan | 2,958,374 | CITI | (18,409) | ||||||
03/17/21 | U.S. Dollars | 542,047 | Australian Dollars | 728,000 | CITI | (19,558) | ||||||
03/17/21 | U.S. Dollars | 4,746,822 | Canadian Dollars | 6,067,992 | SS | (21,242) | ||||||
01/21/21 | U.S. Dollars | 1,326,870 | Euro | 1,109,620 | JPM | (29,404) | ||||||
03/22/21 | U.S. Dollars | 7,336,940 | Japanese Yen | 761,625,761 | BAR | (46,276) | ||||||
03/17/21 | U.S. Dollars | 3,479,473 | New Zealand Dollars | 4,914,731 | WEST | (57,814) | ||||||
03/17/21 | U.S. Dollars | 4,054,927 | Norwegian Kroner | 35,353,339 | CITI | (67,144) | ||||||
01/08/21 | U.S. Dollars | 3,960,026 | Canadian Dollars | 5,143,701 | UBS | (81,041) | ||||||
01/08/21 | U.S. Dollars | 2,165,308 | Australian Dollars | 2,944,000 | JPM | (104,581) | ||||||
03/17/21 | U.S. Dollars | 3,463,148 | Australian Dollars | 4,630,137 | WEST | (108,703) | ||||||
03/17/21 | U.S. Dollars | 4,480,666 | Swedish Kronor | 37,851,323 | CITI | (123,705) | ||||||
01/05/21 | U.S. Dollars | 7,320,891 | Euro | 6,113,000 | BNP | (147,983) | ||||||
03/22/21 | U.S. Dollars | 26,663,208 | Japanese Yen | 2,768,374,239 | HSBC | (173,470) | ||||||
01/19/21 | U.S. Dollars | 8,665,958 | Euro | 7,335,684 | GSC | (299,907) | ||||||
01/19/21 | U.S. Dollars | 4,328,130 | Russian Rubles | 346,272,014 | GSC | (341,894) | ||||||
01/13/21 | U.S. Dollars | 6,501,178 | British Pounds | 5,046,170 | DEUT | (400,182) | ||||||
01/19/21 | U.S. Dollars | 11,598,267 | Euro | 9,848,387 | CITI | (438,692) |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
01/08/21 | U.S. Dollars | 28,956,405 | British Pounds | 21,651,000 | HSBC | $ (653,244) | ||||||
Subtotal Depreciation | $(3,199,047) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at December 31, 2020 | $(1,409,212) |
Reference Obligation | Fixed Deal (Pay) Rate | Maturity Date | Counterparty | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||||
Credit Default Swaps on Sovereign Issuers—Buy Protection | ||||||||||||||||
Peoples Republic of China, 7.50% due 10/28/27 (Pay Quarterly) | (1.00)% | 6/20/2021 | JPM | USD | 30,000 | $ (143) | $ (252) | $ 109 | ||||||||
Peoples Republic of China, 7.50% due 10/28/27 (Pay Quarterly) | (1.00)% | 6/20/2022 | CITI | USD | 70,000 | (981) | (1,226) | 245 | ||||||||
Subtotal Appreciation | $ (1,124) | $ (1,478) | $ 354 | |||||||||||||
Peoples Republic of China, 7.50% due 10/28/27 (Pay Quarterly) | (1.00)% | 6/20/2021 | CITI | USD | 920,000 | $ (4,389) | $ 6,695 | $(11,084) | ||||||||
Peoples Republic of China, 7.50% due 10/28/27 (Pay Quarterly) | (1.00)% | 6/20/2021 | BOA | USD | 460,000 | (2,195) | 5,499 | (7,694) | ||||||||
Peoples Republic of China, 7.50% due 10/28/27 (Pay Quarterly) | (1.00)% | 6/20/2021 | DEUT | USD | 360,000 | (1,716) | 2,602 | (4,318) | ||||||||
Peoples Republic of China, 7.50% due 10/28/27 (Pay Quarterly) | (1.00)% | 6/20/2021 | JPM | USD | 290,000 | (1,384) | 1,476 | (2,860) | ||||||||
Peoples Republic of China, 7.50% due 10/28/27 (Pay Quarterly) | (1.00)% | 12/20/2021 | DEUT | USD | 430,000 | (4,095) | 1,639 | (5,734) | ||||||||
Peoples Republic of China, 7.50% due 10/28/27 (Pay Quarterly) | (1.00)% | 6/20/2022 | JPM | USD | 630,000 | (8,834) | (6,835) | (1,999) | ||||||||
Subtotal Depreciation | $(22,613) | $11,076 | $(33,689) | |||||||||||||
Net Credit Default Swaps on Sovereign Issuers—Buy Protection outstanding at December 31, 2020 | $(23,737) | $ 9,598 | $(33,335) |
Reference Obligation | Implied Credit Spread | Fixed Deal (Pay) Rate | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||||
Centrally Cleared Credit Default Swaps on Corporate and Sovereign Issuers—Sell Protection | ||||||||||||||||
General Electric Company, 2.70% due 10/9/22 (Receive Quarterly) | 0.57% | 1.00% | 12/20/2023 | USD | 600,000 | $ 7,795 | $ (25,420) | $ 33,215 | ||||||||
General Electric Co., 2.70% due 10/9/22 (Receive Quarterly) | 0.68% | 1.00% | 6/20/2024 | USD | 2,150,000 | 24,243 | (34,866) | 59,109 | ||||||||
Prudential Financial Inc., 3.50% due 5/15/24 (Receive Quarterly) | 0.36% | 1.00% | 6/20/2024 | USD | 1,075,000 | 24,325 | 18,590 | 5,735 | ||||||||
Republic of Colombia, 10.38% due 1/28/33 (Receive Quarterly) | 0.55% | 1.00% | 6/20/2024 | USD | 1,000,000 | 15,936 | 5,985 | 9,951 | ||||||||
Republic of Indonesia, 5.88% due 3/13/20 (Receive Quarterly) | 0.43% | 1.00% | 6/20/2024 | USD | 3,470,000 | 69,221 | 4,023 | 65,198 | ||||||||
General Electric Company, 2.70% due 10/9/22 (Receive Quarterly) | 0.76% | 1.00% | 12/20/2024 | USD | 600,000 | 5,751 | (9,660) | 15,411 | ||||||||
Republic of Peru 8.75% 11/21/33 (Receive Quarterly) | 0.41% | 1.00% | 12/20/2024 | USD | 1,000,000 | 23,790 | 21,212 | 2,578 | ||||||||
Rolls-Royce Holdings PLC, 2.125% due 6/18/21 (Receive Quarterly) | 2.91% | 1.00% | 6/20/2025 | EUR | 1,700,000 | (165,570) | (263,901) | 98,331 | ||||||||
Subtotal Appreciation | $ 5,491 | $(284,037) | $289,528 |
Reference Obligation | Implied Credit Spread | Fixed Deal (Pay) Rate | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||||
The Boeing Company, 8.75% due 8/15/21 (Receive Quarterly) | 1.12% | 1.00% | 6/20/2024 | USD | 475,000 | $ (1,755) | $ 11,979 | $ (13,734) | ||||||||
Russian Federation, 7.50% due 3/31/30 (Receive Quarterly) | 0.67% | 1.00% | 12/20/2024 | USD | 1,950,000 | 26,118 | 33,333 | (7,215) | ||||||||
Subtotal Depreciation | $24,363 | $ 45,312 | $ (20,949) | |||||||||||||
Net Centrally Cleared Credit Default Swaps on Corporate and Sovereign Issuers—Sell Protection outstanding at December 31, 2020 | $29,854 | $(238,725) | $268,579 |
Reference Obligation | Implied Credit Spread | Fixed Deal (Pay) 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.IG.34 Index (Receive Quarterly) | 0.43% | 1.00% | 6/20/2023 | USD | 7,550,000 | $ 109,087 | $ 98,309 | $ 10,778 | ||||||||
Markit CDX.NA.IG.34 Index (Receive Quarterly) | 0.63% | 1.00% | 6/20/2025 | USD | 55,867,000 | 930,680 | 403,113 | 527,567 | ||||||||
Markit CDX.NA.HY.35 Index (Receive Quarterly) | 2.93% | 5.00% | 12/20/2025 | USD | 910,000 | 86,256 | 53,945 | 32,311 | ||||||||
Markit CDX.NA.IG.35 Index (Receive Quarterly) | 0.50% | 1.00% | 12/20/2025 | USD | 28,511,000 | 707,265 | 612,203 | 95,062 | ||||||||
Subtotal Appreciation | $1,833,288 | $1,167,570 | $665,718 | |||||||||||||
Markit CDX.NA.IG.33 Index (Receive Quarterly) | 0.58% | 1.00% | 12/20/2024 | USD | 10,025,000 | $ 168,735 | $ 190,390 | $ (21,655) | ||||||||
Subtotal Depreciation | $ 168,735 | $ 190,390 | $ (21,655) | |||||||||||||
Net Centrally Cleared Credit Default Swaps on Credit Indexes—Sell Protection outstanding at December 31, 2020 | $2,002,023 | $1,357,960 | $644,063 |
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) | 7.02% (Upon termination) | 1/4/2027 | CITI | BRL | 15,744,748 | $491,434 | $10,600 | $480,834 | ||||||||
$491,434 | $10,600 | $480,834 |
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 (Upon termination) | 3.36% (Upon termination) | 1/3/2022 | BRL | 308,307,757 | $ 501,642 | $ 112,050 | $ 389,592 | |||||||
3-Month LIBOR (Quarterly) | 0.19% (Semiannually) | 6/15/2022 | USD | 21,256,000 | 1,031 | (96) | 1,127 | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 4.23% (Upon termination) | 1/2/2023 | BRL | 5,463,279 | 8,031 | (3,613) | 11,644 | |||||||
28-Day Mexico Interbank TIIE (Lunar) | 4.40% (Lunar) | 3/15/2023 | MXN | 114,200,000 | 11,407 | 1,363 | 10,044 | |||||||
3-Month JIBAR (Quarterly) | 4.00% (Quarterly) | 6/16/2023 | ZAR | 16,239,412 | 5,237 | 3,265 | 1,972 | |||||||
6-Month WIBOR (Semiannually) | 0.35% (Annually) | 6/16/2023 | PLN | 3,940,000 | 2,035 | 523 | 1,512 | |||||||
3-Month CDOR (Semiannually) | 0.70% (Semiannually) | 11/18/2023 | CAD | 31,350,000 | 28,362 | 504 | 27,858 | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 4.93% (Upon termination) | 1/2/2024 | BRL | 2,302,420 | 6,494 | 598 | 5,896 | |||||||
3-Month CDOR (Semiannually) | 0.75% (Semiannually) | 3/17/2024 | CAD | 16,170,000 | 45,030 | 19,958 | 25,072 |
Pay Rate Index/Pay Rate | Receive Rate/Receive Rate Index | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||
3-Month CDOR (Semiannually) | 0.81% (Semiannually) | 11/17/2024 | CAD | 19,080,000 | $ 23,517 | $ (6,406) | $ 29,923 | |||||||
3-Month LIBOR (Quarterly) | 0.38% (Semiannually) | 2/28/2025 | USD | 22,581,000 | 36,323 | 4,648 | 31,675 | |||||||
6-Month ASX BBSW (Semiannually) | 0.55% (Semiannually) | 5/16/2025 | AUD | 2,690,000 | 8,230 | (6,960) | 15,190 | |||||||
3-Month LIBOR (Quarterly) | 0.84% (Semiannually) | 11/27/2025 | USD | 35,086,000 | 3,996 | (15,327) | 19,323 | |||||||
6-Month WIBOR (Semiannually) | 0.75% (Annually) | 12/16/2025 | PLN | 3,720,000 | 7,425 | (794) | 8,219 | |||||||
28-Day Mexico Interbank TIIE (Lunar) | 4.90% (Lunar) | 3/11/2026 | MXN | 34,850,000 | 10,896 | 808 | 10,088 | |||||||
(0.25)% (Annually) | 6-Month EURIBOR (Semiannually) | 3/17/2026 | EUR | 1,530,000 | (19,568) | (20,681) | 1,113 | |||||||
(0.50)% (Annually) | 1-Day ESTR (Annually) | 3/17/2026 | EUR | 12,010,000 | (56,989) | (82,533) | 25,544 | |||||||
3-Month JIBAR (Quarterly) | 5.25% (Quarterly) | 3/17/2026 | ZAR | 46,530,000 | 51,981 | 4,723 | 47,258 | |||||||
0.26% (Annually) | 1-Day US Federal Fund Effective Rate (Annually) | 5/15/2027 | USD | 13,194,000 | 122,584 | (42,548) | 165,132 | |||||||
(0.50)% (Annually) | 1-Day ESTR (Annually) | 3/17/2028 | EUR | 4,380,000 | (6,641) | (18,078) | 11,437 | |||||||
28-Day Mexico Interbank TIIE (Lunar) | 7.45% (Lunar) | 7/18/2029 | MXN | 165,770,000 | 1,321,374 | 68,836 | 1,252,538 | |||||||
6-Month ASX BBSW (Semiannually) | 1.75% (Semiannually) | 3/19/2030 | AUD | 2,180,000 | 24,510 | 23,399 | 1,111 | |||||||
6-Month EURIBOR (Semiannually) | 0.05% (Annually) | 5/21/2030 | EUR | 13,440,000 | 160,975 | 81,454 | 79,521 | |||||||
0.75% (Annually) | 3-Month STIBOR (Quarterly) | 6/18/2030 | SEK | 6,500,000 | (6,023) | (7,116) | 1,093 | |||||||
(0.10)% (Semiannually) | 6-Month LIBOR (Annually) | 9/17/2030 | CHF | 1,270,000 | 4,573 | 2,802 | 1,771 | |||||||
1.24% (Annually) | 6-Month NIBOR (Semiannually) | 10/29/2030 | NOK | 52,520,000 | 114,470 | 54,355 | 60,115 | |||||||
1.19% (Semiannually) | 3-Month LIBOR (Quarterly) | 11/10/2030 | USD | 5,620,000 | 61,891 | 49,889 | 12,002 | |||||||
0.14% (Semiannually) | 6-Month LIBOR (Semiannually) | 11/13/2030 | JPY | 1,203,030,000 | (8,663) | (14,798) | 6,135 | |||||||
0.25% (Annually) | 1-Day SONIA (Annually) | 3/17/2031 | GBP | 6,200,000 | (73,700) | (86,475) | 12,775 | |||||||
3-Month CDOR (Semiannually) | 1.50% (Semiannually) | 3/19/2031 | CAD | 3,160,000 | (17,359) | (18,898) | 1,539 | |||||||
1.54% (Semiannually) | 3-Month LIBOR (Quarterly) | 11/25/2035 | USD | 15,100,000 | 148,019 | 15,230 | 132,789 | |||||||
0.26% (Annually) | 6-Month EURIBOR (Semiannually) | 5/21/2040 | EUR | 6,530,000 | 1,629 | (640) | 2,269 | |||||||
0.25% (Annually) | 6-Month EURIBOR (Semiannually) | 3/17/2041 | EUR | 140,000 | (8,698) | (10,025) | 1,327 | |||||||
0.50% (Semiannually) | 6-Month LIBOR (Semiannually) | 3/19/2041 | JPY | 42,440,000 | 1,984 | (149) | 2,133 | |||||||
0.56% (Annually) | 1-Day SOFR (Annually) | 7/20/2045 | USD | 5,310,000 | 652,599 | 70,079 | 582,520 | |||||||
0.74% (Annually) | 1-Day SOFR (Annually) | 8/19/2045 | USD | 3,610,000 | 300,241 | — | 300,241 | |||||||
0.80% (Semiannually) | 3-Month LIBOR (Quarterly) | 11/15/2045 | USD | 1,668,000 | 212,134 | 76,382 | 135,752 | |||||||
1.00% (Semiannually) | 3-Month LIBOR (Quarterly) | 2/15/2047 | USD | 8,077,000 | 722,294 | 97,887 | 624,407 | |||||||
1.20% (Semiannually) | 3-Month LIBOR (Quarterly) | 2/15/2047 | USD | 1,621,000 | 70,211 | 8,929 | 61,282 | |||||||
1.23% (Semiannually) | 3-Month LIBOR (Quarterly) | 2/15/2047 | USD | 905,000 | 33,981 | 1,039 | 32,942 | |||||||
0.90% (Semiannually) | 3-Month LIBOR (Quarterly) | 3/17/2050 | USD | 2,110,000 | 265,986 | (64) | 266,050 | |||||||
0.50% (Semiannually) | 6-Month LIBOR (Semiannually) | 6/20/2050 | JPY | 50,000,000 | 9,820 | 2,641 | 7,179 | |||||||
1.20% (Semiannually) | 3-Month LIBOR (Quarterly) | 10/7/2050 | USD | 1,114,000 | 57,827 | (487) | 58,314 | |||||||
0.50% (Annually) | 1-Day SONIA (Annually) | 6/16/2051 | GBP | 3,200,000 | (244,708) | (252,703) | 7,995 | |||||||
Subtotal Appreciation | $ 4,596,390 | $ 112,971 | $ 4,483,419 | |||||||||||
0.25% (Annually) | 3-Month WIBOR (Quarterly) | 12/16/2021 | PLN | 18,510,000 | $ (4,661) | $ (950) | $ (3,711) | |||||||
2.85% (Upon termination) | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 1/3/2022 | BRL | 12,735,575 | (364) | (83) | (281) | |||||||
2.50% (Quarterly) | 7-Day CFETS Repo Rate (Quarterly) | 3/17/2023 | CNY | 11,700,000 | (168) | 7,456 | (7,624) | |||||||
6-Month EURIBOR (Semiannually) | (0.25)% (Annually) | 3/17/2023 | EUR | 3,730,000 | 24,927 | 26,694 | (1,767) | |||||||
0.25% (Semiannually) | 3-Month LIBOR (Quarterly) | 3/17/2024 | USD | 13,280,000 | 2,529 | 14,749 | (12,220) | |||||||
6-Month LIBOR (Semiannually) | 0.10% (Semiannually) | 3/20/2024 | JPY | 800,000,000 | 40,294 | 42,931 | (2,637) | |||||||
1-Month LIBOR + .09% (Quarterly) | 3-Month LIBOR (Quarterly) | 7/25/2024 | USD | 41,780,000 | (6,221) | 14,038 | (20,259) | |||||||
3-Month CDOR (Semiannually) | 0.81% (Semiannually) | 9/30/2024 | CAD | 28,840,000 | (18,706) | 2,396 | (21,102) | |||||||
1-Day SOFR + .24% (Quarterly) | 3-Month LIBOR (Quarterly) | 11/10/2024 | USD | 24,810,000 | (17,294) | 24 | (17,318) | |||||||
0.40% (Semiannually) | 3-Month LIBOR (Quarterly) | 11/17/2024 | USD | 15,080,000 | (23,185) | 5,321 | (28,506) | |||||||
1-Day US Federal Fund Effective Rate (Annually) | 0.10% (Annually) | 11/30/2024 | USD | 18,156,000 | (47,663) | 11,402 | (59,065) | |||||||
(0.50)% (Annually) | 1-Day ESTR (Annually) | 5/18/2025 | EUR | 2,020,000 | (6,709) | (5,608) | (1,101) | |||||||
6-Month ASX BBSW (Semiannually) | 0.50% (Semiannually) | 11/25/2025 | AUD | 30,150,000 | (39,619) | (25,122) | (14,497) |
Pay Rate Index/Pay Rate | Receive Rate/Receive Rate Index | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||
0.50% (Semiannually) | 3-Month LIBOR (Quarterly) | 3/17/2026 | USD | 80,000 | $ (166) | $ (70) | $ (96) | |||||||
3-Month STIBOR (Quarterly) | 0.00% (Annually) | 3/17/2026 | SEK | 79,080,000 | (73,586) | (46,945) | (26,641) | |||||||
6-Month NIBOR (Semiannually) | 0.75% (Annually) | 3/17/2026 | NOK | 15,690,000 | (22,613) | (12,168) | (10,445) | |||||||
6-Month LIBOR (Semiannually) | (0.50)% (Annually) | 3/17/2028 | CHF | 5,490,000 | (35,875) | (23,464) | (12,411) | |||||||
6-Month ASX BBSW (Semiannually) | 0.92% (Semiannually) | 9/4/2028 | AUD | 19,270,000 | (97,034) | (16,886) | (80,148) | |||||||
0.25% (Semiannually) | 6-Month LIBOR (Semiannually) | 3/19/2030 | JPY | 78,110,000 | (5,967) | (5,314) | (653) | |||||||
3-Month New Zealand BBR FRA (Quarterly) | 1.75% (Semiannually) | 3/19/2030 | NZD | 1,200,000 | 17,866 | 21,174 | (3,308) | |||||||
0.25% (Annually) | 6-Month EURIBOR (Semiannually) | 6/18/2030 | EUR | 9,090,000 | (219,964) | (158,942) | (61,022) | |||||||
1.00% (Semiannually) | 6-Month LIBOR (Semiannually) | 6/18/2030 | GBP | 1,160,000 | (34,564) | (33,078) | (1,486) | |||||||
3-Month LIBOR (Quarterly) | 1.75% (Semiannually) | 6/18/2030 | USD | 3,190,000 | 60,580 | 87,348 | (26,768) | |||||||
6-Month ASX BBSW (Semiannually) | 1.24% (Semiannually) | 10/28/2030 | AUD | 6,220,000 | (76,516) | (46,698) | (29,818) | |||||||
6-Month ASX BBSW (Semiannually) | 1.25% (Semiannually) | 11/9/2030 | AUD | 7,930,000 | (96,807) | (78,356) | (18,451) | |||||||
3-Month LIBOR (Quarterly) | 1.25% (Semiannually) | 11/24/2030 | USD | 13,730,000 | (118,465) | (23,681) | (94,784) | |||||||
6-Month NIBOR (Annually) | 1.00% (Semiannually) | 3/18/2031 | NOK | 15,980,000 | (57,249) | (46,553) | (10,696) | |||||||
6-Month LIBOR (Semiannually) | 0.04% (Semiannually) | 3/10/2038 | JPY | 344,000,000 | (110,857) | — | (110,857) | |||||||
0.75% (Semiannually) | 6-Month LIBOR (Semiannually) | 3/20/2038 | JPY | 1,469,200,000 | (1,287,725) | 13,013 | (1,300,738) | |||||||
0.75% (Annually) | 6-Month EURIBOR (Semiannually) | 6/19/2040 | EUR | 1,890,000 | (116,392) | (104,098) | (12,294) | |||||||
3-Month LIBOR (Quarterly) | 1.75% (Semiannually) | 6/19/2040 | USD | 1,880,000 | (622) | 12,766 | (13,388) | |||||||
0.50% (Annually) | 6-Month EURIBOR (Semiannually) | 6/20/2050 | EUR | 1,750,000 | (126,325) | (117,990) | (8,335) | |||||||
3-Month LIBOR (Quarterly) | 1.75% (Semiannually) | 6/20/2050 | USD | 3,280,000 | 28,604 | 43,706 | (15,102) | |||||||
0.00% (Annually) | 6-Month EURIBOR (Semiannually) | 3/17/2051 | EUR | 1,500,000 | (17,133) | (12,314) | (4,819) | |||||||
Subtotal Depreciation | $(2,487,650) | $(455,302) | $(2,032,348) | |||||||||||
Net Centrally Cleared Interest Rate Swaps outstanding at December 31, 2020 | $ 2,108,740 | $(342,331) | $ 2,451,071 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Agency Obligations | $ 22,517,537 | $ — | $ 22,517,537 | $ — | |||
Asset-Backed Securities | 97,011,261 | — | 97,011,261 | — | |||
Corporate Bonds | 652,873,740 | — | 652,873,740 | —** | |||
Foreign Bonds | 288,730,359 | — | 288,730,359 | — | |||
Loan Agreements | 8,611,160 | — | 8,611,160 | — | |||
Money Market Funds | 125,629,646 | 125,629,646 | — | — | |||
Mortgage-Backed Securities | 719,477,403 | — | 719,477,403 | — | |||
Municipal Bonds | 11,100,428 | — | 11,100,428 | — | |||
Purchased Options: | |||||||
Call Options | 129,812 | 129,812 | — | — | |||
Put Options | 99,829 | 99,829 | — | — | |||
Total Purchased Options | 229,641 | 229,641 | — | — | |||
Repurchase Agreements | 95,800,000 | — | 95,800,000 | — | |||
U.S. Treasury Obligations | 399,495,008 | — | 399,495,008 | — | |||
Total Assets - Investments in Securities | $2,421,476,183 | $125,859,287 | $2,295,616,896 | $ — | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $ 1,789,835 | $ — | $ 1,789,835 | $ — | |||
Futures Contracts | 710,934 | 710,934 | — | — | |||
Swap Agreements | 5,919,853 | — | 5,919,853 | — | |||
Total Assets - Other Financial Instruments | $ 8,420,622 | $ 710,934 | $ 7,709,688 | $ — | |||
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Liabilities: | |||||||
Investments in Securities: | |||||||
TBA Sale Commitments | $(91,597,317) | $ — | $(91,597,317) | $ — | |||
Written Options: | |||||||
Call Options | (142,313) | (142,313) | — | — | |||
Call Swaptions | (170,649) | — | (170,649) | — | |||
Put Options | (75,737) | (73,368) | (2,369) | — | |||
Put Swaption | — | — | —* | — | |||
Total Written Options | (388,699) | (215,681) | (173,018) | — | |||
Total Liabilities - Investments in Securities | $(91,986,016) | $ (215,681) | $(91,770,335) | $ — | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $ (3,199,047) | $ — | $ (3,199,047) | $ — | |||
Futures Contracts | (1,539,430) | (1,539,430) | — | — | |||
Swap Agreements | (2,108,641) | — | (2,108,641) | — | |||
Total Liabilities - Other Financial Instruments | $ (6,847,118) | $(1,539,430) | $ (5,307,688) | $ — |
** | Level 3 security has zero value. |
*** | Other financial instruments are derivative instruments, such as futures contracts, forward 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", "Forward Foreign Currency Contracts outstanding" and "Swap Agreements outstanding" disclosures. |
* | Amount rounds to less than one dollar. |
% | |
Corporate Bonds | 47.3 |
U.S. Treasury Obligations | 27.6 |
Foreign Bonds | 12.2 |
Money Market Funds | 10.1 |
Municipal Bonds | 3.9 |
Mortgage-Backed Security | 2.6 |
Energy | 0.1 |
Asset-Backed Security | 0.1 |
103.9 |
Average Annual Total Returns as of 12/31/20 | |||||||
Institutional Class* | Investor Class* | Benchmark** | |||||
One Year | 12.80% | 12.49% | 11.25% | ||||
Five Year | 8.08% | 7.76% | 7.59% | ||||
Ten year | 7.40% | 7.13% | 7.36% | ||||
Since Inception | 7.84% | 7.63% | 7.15% | ||||
Inception Date | 08/27/01 | 08/27/01 | |||||
Total Fund Operating Expenses (May 1, 2020 Prospectus)(1) | 0.57% | 0.83% |
(1) | Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights. |
Par | Value | |||
ASSET-BACKED SECURITY — 0.1% | ||||
Towd Point Mortgage Trust, Series 2016-4, Class A1 | ||||
2.25%, 07/25/56 144A (Cost $266,347) | $ 267,831 | $ 272,105 | ||
CORPORATE BONDS — 47.3% | ||||
Abbott Laboratories | ||||
3.75%, 11/30/26 | 1,206,000 | 1,413,859 | ||
1.40%, 06/30/30 | 618,000 | 627,783 | ||
4.90%, 11/30/46 | 338,000 | 501,920 | ||
Aflac, Inc. | ||||
6.45%, 08/15/40 | 273,000 | 400,139 | ||
Alta Wind Holdings LLC | ||||
7.00%, 06/30/35 144A | 280,844 | 330,745 | ||
American Airlines Group, Inc. | ||||
5.00%, 06/01/22 144A | 305,000 | 274,770 | ||
American Airlines Pass-Through Trust, Series 2016-1, Class B | ||||
5.25%, 01/15/24 | 448,559 | 382,263 | ||
American Airlines Pass-Through Trust, Series 2016-3, Class B | ||||
3.75%, 10/15/25 | 205,758 | 155,308 | ||
American Airlines Pass-Through Trust, Series 2017-1, Class B | ||||
4.95%, 02/15/25 | 94,028 | 79,807 | ||
American Airlines Pass-Through Trust, Series 2017-2, Class B | ||||
3.70%, 10/15/25 | 74,723 | 63,411 | ||
American International Group, Inc. | ||||
3.90%, 04/01/26 | 1,396,000 | 1,592,576 | ||
American Tower Corporation REIT | ||||
2.40%, 03/15/25 | 427,000 | 454,152 | ||
3.38%, 10/15/26 | 809,000 | 909,486 | ||
Andrew W. Mellon Foundation (The) | ||||
0.95%, 08/01/27 | 598,000 | 598,164 | ||
Antares Holdings LP | ||||
6.00%, 08/15/23 144A | 255,000 | 260,374 | ||
Apple, Inc. | ||||
3.00%, 06/20/27Δ | 416,000 | 466,267 | ||
AT&T, Inc. | ||||
4.30%, 02/15/30 | 1,549,000 | 1,851,733 | ||
2.75%, 06/01/31 | 1,169,000 | 1,250,332 | ||
2.25%, 02/01/32 | 624,000 | 634,212 | ||
4.50%, 05/15/35 | 528,000 | 641,379 | ||
3.80%, 12/01/57 144A | 1,537,000 | 1,612,533 | ||
3.65%, 09/15/59 144A | 150,000 | 151,774 | ||
Bank of America Corporation | ||||
3.50%, 04/19/26 | 748,000 | 848,351 | ||
Bank of America NA | ||||
6.00%, 10/15/36 | 1,065,000 | 1,595,640 | ||
Berkshire Hathaway Energy Co. | ||||
3.70%, 07/15/30 144A | 363,000 | 430,583 | ||
Boeing Co. (The) | ||||
4.88%, 05/01/25 | 1,228,000 | 1,400,894 | ||
3.25%, 02/01/35 | 5,000 | 5,133 | ||
3.55%, 03/01/38 | 25,000 | 25,569 | ||
3.63%, 03/01/48 | 5,000 | 5,059 |
Par | Value | |||
3.85%, 11/01/48 | $ 85,000 | $ 87,973 | ||
3.75%, 02/01/50 | 15,000 | 15,802 | ||
3.95%, 08/01/59 | 90,000 | 96,519 | ||
Booking Holdings, Inc. | ||||
0.90%, 09/15/21 CONV | 110,000 | 127,768 | ||
Boston Properties LP REIT | ||||
3.40%, 06/21/29 | 944,000 | 1,055,277 | ||
Boston Scientific Corporation | ||||
4.70%, 03/01/49Δ | 299,000 | 410,928 | ||
Brighthouse Financial, Inc. | ||||
4.70%, 06/22/47 | 40,000 | 41,865 | ||
Bristol-Myers Squibb Co. | ||||
4.25%, 10/26/49 | 681,000 | 922,602 | ||
Broadcom, Inc. | ||||
4.70%, 04/15/25 | 1,780,000 | 2,040,611 | ||
Burlington Northern Santa Fe LLC | ||||
4.15%, 04/01/45 | 769,000 | 1,007,664 | ||
Campbell Soup Co. | ||||
4.80%, 03/15/48 | 333,000 | 446,136 | ||
Chesapeake Energy Corporation | ||||
4.88%, 04/15/22# | 70,000 | 3,500 | ||
5.75%, 03/15/23# | 20,000 | 1,000 | ||
5.50%, 09/15/26 CONV # | 5,000 | 250 | ||
8.00%, 06/15/27# | 665,000 | 33,250 | ||
Cigna Corporation | ||||
4.90%, 12/15/48 | 339,000 | 466,964 | ||
Cincinnati Bell, Inc. | ||||
8.00%, 10/15/25 144A | 20,000 | 21,362 | ||
Citigroup, Inc. | ||||
8.13%, 07/15/39 | 664,000 | 1,188,341 | ||
(Variable, ICE LIBOR USD 3M + 1.84%), 4.28%, 04/24/48^ | 413,000 | 541,737 | ||
Comcast Corporation | ||||
3.70%, 04/15/24 | 771,000 | 848,648 | ||
2.65%, 02/01/30 | 1,016,000 | 1,112,367 | ||
3.97%, 11/01/47 | 303,000 | 380,603 | ||
Continental Resources, Inc. | ||||
4.50%, 04/15/23 | 9,000 | 9,296 | ||
3.80%, 06/01/24Δ | 125,000 | 129,311 | ||
Cox Communications, Inc. | ||||
4.60%, 08/15/47 144A | 197,000 | 255,190 | ||
Crown Castle International Corporation REIT | ||||
3.20%, 09/01/24 | 400,000 | 435,006 | ||
CSX Corporation | ||||
3.80%, 04/15/50 | 182,000 | 226,379 | ||
Cummins, Inc. | ||||
5.65%, 03/01/98 | 840,000 | 1,245,403 | ||
CVS Health Corporation | ||||
5.13%, 07/20/45 | 83,000 | 111,919 | ||
5.05%, 03/25/48 | 325,000 | 441,190 | ||
4.25%, 04/01/50Δ | 402,000 | 503,760 | ||
DCP Midstream Operating LP | ||||
6.45%, 11/03/36 144A | 490,000 | 531,305 | ||
Dell International LLC | ||||
8.10%, 07/15/36 144A | 180,000 | 266,462 |
Par | Value | |||
Dillard's, Inc. | ||||
7.00%, 12/01/28 | $ 500,000 | $ 539,664 | ||
Discovery Communications LLC | ||||
3.63%, 05/15/30 | 690,000 | 791,334 | ||
DISH Network Corporation | ||||
2.38%, 03/15/24 CONV | 1,080,000 | 1,010,534 | ||
Dow Chemical Co. (The) | ||||
9.40%, 05/15/39 | 290,000 | 521,751 | ||
Eli Lilly and Co. | ||||
2.25%, 05/15/50Δ | 4,371,000 | 4,309,912 | ||
Enable Midstream Partners LP | ||||
5.00%, 05/15/44 | 445,000 | 430,497 | ||
Enbridge Energy Partners LP | ||||
7.38%, 10/15/45 | 305,000 | 466,383 | ||
Energy Transfer Operating LP | ||||
5.25%, 04/15/29 | 562,000 | 656,606 | ||
5.15%, 03/15/45 | 346,000 | 376,279 | ||
Enterprise Products Operating LLC | ||||
5.10%, 02/15/45 | 461,000 | 599,910 | ||
4.20%, 01/31/50 | 508,000 | 598,906 | ||
Equitable Financial Life Global Funding | ||||
1.40%, 08/27/27 144A | 585,000 | 589,169 | ||
Equitable Holdings, Inc. | ||||
5.00%, 04/20/48 | 478,000 | 630,630 | ||
ERP Operating LP REIT | ||||
3.00%, 07/01/29 | 805,000 | 896,954 | ||
Ford Motor Co. | ||||
6.38%, 02/01/29 | 580,000 | 653,399 | ||
4.75%, 01/15/43 | 400,000 | 408,500 | ||
General Electric Co. | ||||
5.88%, 01/14/38 | 150,000 | 203,659 | ||
General Motors Co. | ||||
6.25%, 10/02/43 | 55,000 | 74,295 | ||
5.20%, 04/01/45 | 1,175,000 | 1,429,060 | ||
Gilead Sciences, Inc. | ||||
4.15%, 03/01/47 | 743,000 | 909,141 | ||
Goldman Sachs Group, Inc. (The) | ||||
3.50%, 11/16/26 | 1,413,000 | 1,587,371 | ||
4.75%, 10/21/45 | 350,000 | 488,220 | ||
Goodyear Tire & Rubber Co. (The) | ||||
4.88%, 03/15/27Δ | 370,000 | 379,019 | ||
Hackensack Meridian Health, Inc. | ||||
2.68%, 09/01/41 | 2,224,000 | 2,254,405 | ||
HCA, Inc. | ||||
3.50%, 09/01/30 | 560,000 | 595,510 | ||
Healthpeak Properties, Inc. REIT | ||||
3.25%, 07/15/26 | 232,000 | 262,217 | ||
Hewlett Packard Enterprise Co. | ||||
6.35%, 10/15/45 | 135,000 | 178,188 | ||
Home Depot, Inc. (The) | ||||
5.88%, 12/16/36 | 148,000 | 224,779 | ||
Intel Corporation | ||||
3.90%, 03/25/30Δ | 1,665,000 | 1,999,589 | ||
Iron Mountain, Inc. REIT | ||||
4.88%, 09/15/29 144A | 265,000 | 279,840 | ||
iStar, Inc. REIT | ||||
3.13%, 09/15/22 CONV | 175,000 | 207,661 |
Par | Value | |||
Jefferies Group LLC | ||||
6.25%, 01/15/36 | $ 185,000 | $ 247,379 | ||
JELD-WEN, Inc. | ||||
4.88%, 12/15/27 144A | 255,000 | 270,300 | ||
JPMorgan Chase & Co. | ||||
5.60%, 07/15/41 | 1,405,000 | 2,128,445 | ||
(Variable, U.S. SOFR + 2.44%), 3.11%, 04/22/51^ | 1,436,000 | 1,602,035 | ||
Kraft Heinz Foods Co. | ||||
4.38%, 06/01/46 | 355,000 | 384,687 | ||
Lehigh University | ||||
2.55%, 11/15/43 | 655,000 | 624,004 | ||
Liberty Mutual Group, Inc. | ||||
3.95%, 10/15/50 144A | 495,000 | 594,957 | ||
Lincoln National Corporation | ||||
4.38%, 06/15/50 | 1,099,000 | 1,422,777 | ||
Lockheed Martin Corporation | ||||
4.70%, 05/15/46 | 700,000 | 988,293 | ||
Marathon Petroleum Corporation | ||||
3.63%, 09/15/24 | 1,698,000 | 1,854,825 | ||
Masco Corporation | ||||
6.50%, 08/15/32 | 15,000 | 20,071 | ||
Mastercard, Inc. | ||||
3.85%, 03/26/50 | 254,000 | 328,771 | ||
McDonald’s Corporation | ||||
4.88%, 12/09/45 | 570,000 | 776,879 | ||
MetLife, Inc. | ||||
6.40%, 12/15/36 | 310,000 | 401,831 | ||
5.88%, 02/06/41 | 300,000 | 458,211 | ||
Metropolitan Life Global Funding I | ||||
2.95%, 04/09/30 144A | 1,813,000 | 2,043,927 | ||
MGIC Investment Corporation | ||||
5.25%, 08/15/28 | 90,000 | 96,469 | ||
Michaels Stores, Inc. | ||||
8.00%, 07/15/27 144A | 45,000 | 48,451 | ||
Microchip Technology, Inc. | ||||
1.63%, 02/15/25 CONV | 85,000 | 257,775 | ||
Microsoft Corporation | ||||
3.70%, 08/08/46 | 425,000 | 539,834 | ||
2.53%, 06/01/50 | 498,000 | 526,253 | ||
Mileage Plus Holdings LLC | ||||
6.50%, 06/20/27 144A | 265,000 | 285,372 | ||
Mondelez International, Inc. | ||||
2.75%, 04/13/30 | 151,000 | 166,054 | ||
Morgan Stanley | ||||
3.13%, 08/05/21(C) | 235,000 | 187,642 | ||
3.63%, 01/20/27 | 1,161,000 | 1,330,692 | ||
4.30%, 01/27/45 | 310,000 | 414,872 | ||
MPLX LP | ||||
4.00%, 03/15/28 | 150,000 | 172,691 | ||
4.50%, 04/15/38 | 944,000 | 1,081,070 | ||
Mutual of Omaha Insurance Co. | ||||
6.80%, 06/15/36 144A | 100,000 | 134,571 | ||
Nationstar Mortgage Holdings, Inc. | ||||
5.50%, 08/15/28 144A | 130,000 | 136,744 | ||
Nationwide Mutual Insurance Co. | ||||
4.35%, 04/30/50 144A | 495,000 | 583,009 |
Par | Value | |||
Navient Corporation | ||||
5.63%, 08/01/33 | $1,475,000 | $1,418,766 | ||
New Fortress Energy, Inc. | ||||
6.75%, 09/15/25 144A | 140,000 | 148,968 | ||
New York and Presbyterian Hospital (The) | ||||
2.26%, 08/01/40 | 393,000 | 385,622 | ||
NGL Energy Partners LP | ||||
7.50%, 11/01/23 | 100,000 | 71,000 | ||
6.13%, 03/01/25 | 220,000 | 139,975 | ||
Northern Trust Corporation | ||||
1.95%, 05/01/30 | 2,939,000 | 3,067,252 | ||
Northrop Grumman Corporation | ||||
3.25%, 01/15/28 | 775,000 | 876,937 | ||
Old Republic International Corporation | ||||
4.88%, 10/01/24 | 230,000 | 262,496 | ||
OneMain Finance Corporation | ||||
6.88%, 03/15/25 | 170,000 | 197,731 | ||
ONEOK Partners LP | ||||
6.20%, 09/15/43 | 5,000 | 6,100 | ||
Oracle Corporation | ||||
3.60%, 04/01/40 | 1,065,000 | 1,249,950 | ||
Owens Corning | ||||
4.40%, 01/30/48 | 210,000 | 253,744 | ||
Owens-Brockway Glass Container, Inc. | ||||
6.63%, 05/13/27 144A | 85,000 | 92,172 | ||
Owl Rock Capital Corporation | ||||
4.25%, 01/15/26 | 520,000 | 548,097 | ||
Owl Rock Technology Finance Corporation | ||||
4.75%, 12/15/25 144A | 605,000 | 633,139 | ||
Pacific Gas and Electric Co. | ||||
2.50%, 02/01/31 | 1,747,000 | 1,754,900 | ||
Penn Mutual Life Insurance Co. (The) | ||||
7.63%, 06/15/40 144A | 440,000 | 636,751 | ||
Procter & Gamble Co. (The) | ||||
3.00%, 03/25/30 | 1,007,000 | 1,162,177 | ||
Prudential Financial, Inc. | ||||
6.63%, 06/21/40 | 454,000 | 704,391 | ||
3.70%, 03/13/51 | 150,000 | 182,350 | ||
Public Service Enterprise Group, Inc. | ||||
1.60%, 08/15/30 | 970,000 | 958,521 | ||
PulteGroup, Inc. | ||||
6.38%, 05/15/33 | 470,000 | 645,839 | ||
Quicken Loans LLC | ||||
5.25%, 01/15/28 144A | 70,000 | 74,856 | ||
Qwest Corporation | ||||
7.25%, 09/15/25 | 410,000 | 485,850 | ||
Radian Group, Inc. | ||||
4.50%, 10/01/24 | 55,000 | 58,162 | ||
6.63%, 03/15/25 | 485,000 | 550,172 | ||
4.88%, 03/15/27 | 35,000 | 38,524 | ||
Raytheon Technologies Corporation | ||||
3.95%, 08/16/25 | 311,000 | 356,838 | ||
Realty Income Corporation REIT | ||||
1.80%, 03/15/33 | 234,000 | 235,075 |
Par | Value | |||
Seagate HDD Cayman | ||||
4.88%, 06/01/27 | $ 51,000 | $ 57,481 | ||
4.09%, 06/01/29 144A Δ | 53,000 | 56,876 | ||
Service Properties Trust REIT | ||||
4.50%, 06/15/23Δ | 15,000 | 15,103 | ||
4.65%, 03/15/24Δ | 10,000 | 9,919 | ||
4.35%, 10/01/24 | 55,000 | 54,381 | ||
4.75%, 10/01/26 | 5,000 | 4,950 | ||
4.95%, 02/15/27Δ | 25,000 | 25,187 | ||
3.95%, 01/15/28Δ | 10,000 | 9,681 | ||
SM Energy Co. | ||||
10.00%, 01/15/25 144A | 123,000 | 132,456 | ||
Southern Co. (The) | ||||
4.40%, 07/01/46 | 1,051,000 | 1,325,290 | ||
State Street Corporation | ||||
(Variable, U.S. SOFR + 2.65%), 3.15%, 03/30/31^ | 320,000 | 365,139 | ||
Tenet Healthcare Corporation | ||||
5.13%, 05/01/25 | 615,000 | 627,755 | ||
Time Warner Cable LLC | ||||
5.50%, 09/01/41 | 25,000 | 32,228 | ||
4.50%, 09/15/42 | 45,000 | 52,806 | ||
T-Mobile USA, Inc. | ||||
3.88%, 04/15/30 144A | 2,573,000 | 2,983,265 | ||
3.00%, 02/15/41 144A | 551,000 | 572,266 | ||
Toro Co. (The) | ||||
6.63%, 05/01/37 | 300,000 | 398,399 | ||
TransDigm, Inc. | ||||
8.00%, 12/15/25 144A | 350,000 | 387,205 | ||
7.50%, 03/15/27 | 5,000 | 5,346 | ||
5.50%, 11/15/27 | 85,000 | 89,488 | ||
Transocean, Inc. | ||||
11.50%, 01/30/27 144A | 149,000 | 106,814 | ||
6.80%, 03/15/38 | 20,000 | 6,750 | ||
United Airlines Pass-Through Trust, Series 2014-1, Class A | ||||
4.00%, 04/11/26 | 80,113 | 81,250 | ||
United Airlines Pass-Through Trust, Series 2016-2, Class B | ||||
3.65%, 10/07/25 | 63,160 | 61,690 | ||
United Airlines Pass-Through Trust, Series 2020-1, Class A | ||||
5.88%, 10/15/27 | 225,000 | 243,141 | ||
United States Steel Corporation | ||||
6.65%, 06/01/37 | 75,000 | 63,322 | ||
Verizon Communications, Inc. | ||||
4.27%, 01/15/36 | 1,398,000 | 1,735,918 | ||
5.25%, 03/16/37 | 690,000 | 936,182 | ||
5.50%, 03/16/47 | 775,000 | 1,131,698 | ||
Visa, Inc. | ||||
4.30%, 12/14/45 | 543,000 | 746,248 | ||
Walmart, Inc. | ||||
3.63%, 12/15/47 | 296,000 | 376,038 | ||
Walt Disney Co. (The) | ||||
4.75%, 09/15/44 | 483,000 | 664,410 | ||
Wells Fargo & Co. | ||||
(Variable, U.S. SOFR + 2.53%), 3.07%, 04/30/41^ | 2,861,000 | 3,116,794 |
Par | Value | |||
Western Digital Corporation | ||||
1.50%, 02/01/24 CONV | $ 140,000 | $ 139,852 | ||
WestRock MWV LLC | ||||
7.55%, 03/01/47 | 335,000 | 476,119 | ||
Weyerhaeuser Co. REIT | ||||
6.88%, 12/15/33 | 580,000 | 833,042 | ||
Whirlpool Corporation | ||||
4.60%, 05/15/50 | 200,000 | 259,930 | ||
Xylem, Inc. | ||||
1.95%, 01/30/28 | 336,000 | 354,516 | ||
Total Corporate Bonds (Cost $98,691,855) | 114,368,167 | |||
FOREIGN BONDS — 12.2% | ||||
Australia — 0.3% | ||||
Barrick PD Australia Finance Proprietary, Ltd. | ||||
5.95%, 10/15/39 | 442,000 | 637,978 | ||
Brazil — 0.2% | ||||
Brazilian Government International Bond | ||||
10.25%, 01/10/28(B) | 2,525,000 | 576,241 | ||
Canada — 2.9% | ||||
Air Canada Pass-Through Trust, Series 2020-2, Class A | ||||
5.25%, 04/01/29 144A | 410,000 | 437,607 | ||
Bombardier, Inc. | ||||
6.00%, 10/15/22 144A | 515,000 | 506,837 | ||
7.88%, 04/15/27 144A | 50,000 | 46,048 | ||
Canadian Government Bond Residual STRIP | ||||
3.42%, 06/01/25(C) Ω | 2,330,000 | 1,800,135 | ||
Enbridge, Inc. | ||||
5.50%, 12/01/46 | 425,000 | 573,683 | ||
MEG Energy Corporation | ||||
7.00%, 03/31/24 144A | 204,000 | 206,550 | ||
Province of Ontario Generic Residual STRIP | ||||
2.90%, 03/08/29(C) Ω | 1,720,000 | 1,229,349 | ||
Province of Saskatchewan Residual STRIP | ||||
3.44%, 02/04/22(C) Ω | 3,000,000 | 2,349,729 | ||
7,149,938 | ||||
Denmark — 0.8% | ||||
Danske Bank A/S | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 1.35%), 1.62%, 09/11/26 144A ^ | 1,871,000 | 1,881,562 | ||
Ireland — 0.4% | ||||
GE Capital International Funding Co. Unlimited Co. | ||||
3.37%, 11/15/25 | 750,000 | 832,967 | ||
Johnson Controls International PLC | ||||
4.50%, 02/15/47 | 114,000 | 150,338 | ||
983,305 |
Par | Value | |||
Italy — 0.4% | ||||
Telecom Italia Capital SA | ||||
6.00%, 09/30/34 | $ 785,000 | $ 958,163 | ||
Luxembourg — 0.4% | ||||
ArcelorMittal SA | ||||
7.00%, 03/01/41 | 665,000 | 917,543 | ||
Mexico — 1.0% | ||||
America Movil SAB de CV | ||||
6.45%, 12/05/22(M) | 2,600,000 | 133,263 | ||
8.46%, 12/18/36(M) | 12,000,000 | 647,843 | ||
Mexican Bonos | ||||
8.00%, 12/07/23(M) | 21,300,000 | 1,175,575 | ||
10.00%, 12/05/24(M) | 3,500,000 | 210,547 | ||
7.50%, 06/03/27(M) | 3,500,000 | 200,304 | ||
8.50%, 05/31/29(M) | 500,000 | 30,652 | ||
7.75%, 05/29/31(M) | 1,000,000 | 59,092 | ||
2,457,276 | ||||
Netherlands — 1.0% | ||||
Cooperatieve Rabobank UA | ||||
3.75%, 07/21/26 | 493,000 | 557,733 | ||
5.25%, 05/24/41 | 489,000 | 723,051 | ||
Embraer Netherlands Finance BV | ||||
5.40%, 02/01/27 | 80,000 | 85,101 | ||
Shell International Finance BV | ||||
4.00%, 05/10/46 | 880,000 | 1,110,177 | ||
2,476,062 | ||||
Norway — 0.4% | ||||
Equinor ASA | ||||
2.38%, 05/22/30 | 838,000 | 898,063 | ||
Norway Government Bond | ||||
3.75%, 05/25/21(K) 144A | 196,000 | 23,176 | ||
921,239 | ||||
Spain — 0.3% | ||||
Telefonica Emisiones SA | ||||
7.05%, 06/20/36 | 434,000 | 648,731 | ||
Switzerland — 0.4% | ||||
Credit Suisse Group AG | ||||
(Variable, ICE LIBOR USD 3M + 1.41%), 3.87%, 01/12/29 144A ^ | 938,000 | 1,063,703 | ||
United Kingdom — 3.7% | ||||
Barclays PLC | ||||
4.38%, 01/12/26 | 865,000 | 998,136 | ||
HSBC Holdings PLC | ||||
(Variable, ICE LIBOR USD 3M + 1.14%), 2.63%, 11/07/25^ | 808,000 | 860,770 | ||
(Variable, U.S. SOFR + 1.93%), 2.10%, 06/04/26^ | 1,598,000 | 1,662,303 | ||
(Variable, ICE LIBOR USD 3M + 1.53%), 4.58%, 06/19/29^ | 645,000 | 763,560 | ||
4.95%, 03/31/30 | 270,000 | 338,731 |
Par | Value | |||
Lloyds Banking Group PLC | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 1.00%), 2.44%, 02/05/26^ | $ 745,000 | $ 787,523 | ||
4.34%, 01/09/48 | 466,000 | 572,959 | ||
Natwest Group PLC | ||||
3.88%, 09/12/23 | 1,148,000 | 1,246,264 | ||
Prudential PLC | ||||
3.13%, 04/14/30Δ | 747,000 | 847,937 | ||
Vodafone Group PLC | ||||
(Floating, ICE LIBOR USD 3M + 0.99%), 1.22%, 01/16/24† | 798,000 | 808,976 | ||
8,887,159 | ||||
Total Foreign Bonds (Cost $28,242,902) | 29,558,900 | |||
MORTGAGE-BACKED SECURITY — 2.6% | ||||
Federal National Mortgage Association | ||||
1.50%, 11/01/50 (Cost $6,132,626) | 6,077,689 | 6,144,531 | ||
MUNICIPAL BONDS — 3.9% | ||||
Commonwealth of Massachusetts, General Obligation, Series C | ||||
2.51%, 07/01/41 | 1,160,000 | 1,215,013 | ||
Dallas Fort Worth International Airport, Revenue Bond, Series C | ||||
3.09%, 11/01/40 | 950,000 | 997,367 | ||
Pierce County School District No. 10 Tacoma, General Obligation | ||||
2.36%, 12/01/39 | 1,395,000 | 1,448,170 | ||
Rockwall Independent School District, General Obligation | ||||
2.38%, 02/15/46 | 330,000 | 334,147 | ||
State Board of Administration Finance Corporation, Revenue Bond, Series A | ||||
2.15%, 07/01/30 | 2,024,000 | 2,131,525 | ||
State of California Department of Water Resources, Revenue Bond | ||||
1.32%, 12/01/28 | 310,000 | 312,277 | ||
1.41%, 12/01/29 | 290,000 | 290,861 | ||
State of Connecticut, General Obligation, Series A | ||||
2.63%, 07/01/29 | 130,000 | 141,777 | ||
2.68%, 07/01/30 | 90,000 | 98,587 | ||
State of Illinois, General Obligation | ||||
5.10%, 06/01/33 | 235,000 | 253,089 | ||
Texas Transportation Commission, General Obligation | ||||
2.56%, 04/01/42 | 1,285,000 | 1,310,064 | ||
University of California, Revenue Bond, Series BG | ||||
1.61%, 05/15/30 | 800,000 | 809,100 | ||
Total Municipal Bonds (Cost $8,960,768) | 9,341,977 |
Par | Value | |||
U.S. TREASURY OBLIGATIONS — 27.6% | ||||
U.S. Treasury Bills | ||||
0.09%, 03/04/21Ω | $ 250,000 | $ 249,976 | ||
0.17%, 05/20/21Ω | 761,000 | 760,795 | ||
0.14%, 06/17/21Ω | 2,217,000 | 2,216,268 | ||
3,227,039 | ||||
U.S. Treasury Bonds | ||||
1.38%, 11/15/40 | 2,031,000 | 2,008,786 | ||
2.50%, 05/15/46 | 4,500,000 | 5,377,324 | ||
1.25%, 05/15/50 | 5,675,000 | 5,149,619 | ||
1.38%, 08/15/50 | 1,454,000 | 1,362,103 | ||
1.63%, 11/15/50 | 13,273,000 | 13,225,300 | ||
27,123,132 | ||||
U.S. Treasury Notes | ||||
1.63%, 12/31/21 | 9,440,000 | 9,582,543 | ||
0.13%, 11/30/22 | 5,168,000 | 5,169,009 | ||
0.13%, 12/15/23 | 5,710,000 | 5,703,532 | ||
0.38%, 11/30/25 | 1,096,000 | 1,097,627 | ||
0.63%, 11/30/27 | 263,000 | 263,000 | ||
0.88%, 11/15/30 | 14,525,900 | 14,479,372 | ||
36,295,083 | ||||
Total U.S. Treasury Obligations (Cost $66,089,388) | 66,645,254 |
Shares | |||
PREFERRED STOCKS — 0.1% | |||
Chesapeake Energy Corporation | |||
5.00%, CONV | 620 | 620 | |
5.75%, 144A CONV | 80 | 320 | |
El Paso Energy Capital Trust I | |||
4.75%, 03/31/28 CONV Δ | 5,350 | 276,916 | |
Total Preferred Stocks (Cost $354,717) | 277,856 | ||
MONEY MARKET FUNDS — 10.1% | |||
GuideStone Money Market Fund, 0.00% (Institutional Class)Ø ∞ | 16,338,017 | 16,338,017 | |
Northern Institutional Liquid Assets Portfolio (Shares), 0.08%Ø § | 8,097,240 | 8,097,240 | |
Total Money Market Funds (Cost $24,435,257) | 24,435,257 | ||
TOTAL INVESTMENTS —103.9% (Cost $233,173,860) | 251,044,047 | ||
Liabilities in Excess of Other Assets — (3.9)% | (9,396,965) | ||
NET ASSETS — 100.0% | $241,647,082 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Asset-Backed Security | $ 272,105 | $ — | $ 272,105 | $ — | |||
Corporate Bonds | 114,368,167 | — | 114,368,167 | — | |||
Foreign Bonds | 29,558,900 | — | 29,558,900 | — | |||
Money Market Funds | 24,435,257 | 24,435,257 | — | — | |||
Mortgage-Backed Security | 6,144,531 | — | 6,144,531 | — | |||
Municipal Bonds | 9,341,977 | — | 9,341,977 | — | |||
Preferred Stocks | 277,856 | 277,536 | 320 | — | |||
U.S. Treasury Obligations | 66,645,254 | — | 66,645,254 | — | |||
Total Assets - Investments in Securities | $251,044,047 | $24,712,793 | $226,331,254 | $ — |
% | |
Foreign Bonds | 38.8 |
U.S. Treasury Obligations | 22.0 |
Corporate Bonds | 22.0 |
Money Market Funds | 10.4 |
Mortgage-Backed Securities | 5.0 |
Loan Agreements | 2.0 |
Mutual Funds | 1.9 |
Asset-Backed Securities | 0.5 |
Communication Services | 0.2 |
Information Technology | 0.2 |
Financials | 0.1 |
Health Care | 0.1 |
Energy | —** |
Municipal Bond | —** |
103.2 | |
**Rounds to less than 0.05% |
Average Annual Total Returns as of 12/31/20 | |||||||
Institutional Class* | Investor Class* | Benchmark** | |||||
One Year | 5.28% | 4.93% | 6.48% | ||||
Five Year | N/A | 5.80% | 5.81% | ||||
Ten year | N/A | 4.21% | 4.39% | ||||
Since Inception(1) | 3.92% | 4.96% | 5.30% | ||||
Inception Date | 05/01/15 | 12/29/06 | |||||
Total Fund Operating Expenses (May 1, 2020 Prospectus)(2) | 0.55% | 0.83% |
(1) | The Since Inception benchmark performance is based on the start date of December 29, 2006, which corresponds with the inception date of the Investor Class, the longest operating class of the Fund. |
(2) | Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights. |
Par | Value | |||
ASSET-BACKED SECURITIES — 0.5% | ||||
Bravo Mortgage Asset Trust, Series 2006-1A, Class M1 | ||||
(Floating, ICE LIBOR USD 1M + 0.40%, 0.40% Floor), 0.55%, 07/25/36 144A † | $630,000 | $ 585,144 | ||
Navient Student Loan Trust, Series 2018-EA, Class B | ||||
4.44%, 12/15/59 144A | 560,000 | 584,234 | ||
New Century Home Equity Loan Trust, Series 2003-6, Class M1 | ||||
(Floating, ICE LIBOR USD 1M + 1.08%, 1.08% Floor, 12.50% Cap), 1.23%, 01/25/34† | 310,191 | 302,308 | ||
PFCA Home Equity Investment Trust, Series 2003-IFC5, Class A | ||||
4.16%, 01/22/35 144A † γ | 473,420 | 487,455 | ||
SLM Student Loan Trust, Series 2003-4, Class A5E | ||||
(Floating, ICE LIBOR USD 3M + 0.75%), 0.97%, 03/15/33 144A † | 197,492 | 189,870 | ||
SLM Student Loan Trust, Series 2006-10, Class A6 | ||||
(Floating, ICE LIBOR USD 3M + 0.15%), 0.36%, 03/25/44† | 463,302 | 452,429 | ||
Total Asset-Backed Securities (Cost $2,587,500) | 2,601,440 | |||
CORPORATE BONDS — 22.0% | ||||
3M Co. | ||||
3.70%, 04/15/50 | 430,000 | 535,273 | ||
Air Lease Corporation | ||||
2.30%, 02/01/25 | 255,000 | 264,239 | ||
Allison Transmission, Inc. | ||||
4.75%, 10/01/27 144A | 110,000 | 116,050 | ||
Ally Financial, Inc. | ||||
5.13%, 09/30/24 | 465,000 | 536,532 | ||
8.00%, 11/01/31 | 175,000 | 257,391 | ||
Amazon.com, Inc. | ||||
3.88%, 08/22/37 | 620,000 | 774,399 | ||
4.25%, 08/22/57 | 190,000 | 271,317 | ||
American Airlines Group, Inc. | ||||
5.00%, 06/01/22 144A | 440,000 | 396,389 | ||
3.75%, 03/01/25 144A | 5,000 | 3,875 | ||
American Airlines Pass-Through Trust, Series 2016-1, Class B | ||||
5.25%, 01/15/24 | 569,206 | 485,078 | ||
American Airlines Pass-Through Trust, Series 2016-3, Class B | ||||
3.75%, 10/15/25 | 253,523 | 191,362 | ||
American Airlines Pass-Through Trust, Series 2017-2, Class B | ||||
3.70%, 10/15/25 | 89,668 | 76,093 | ||
Apple, Inc. | ||||
4.65%, 02/23/46 | 145,000 | 206,450 | ||
Aramark International Finance S.a.r.l. | ||||
3.13%, 04/01/25 | 284,000 | 349,842 | ||
Ardagh Packaging Finance PLC | ||||
6.00%, 02/15/25 144A | 500,000 | 518,625 | ||
4.75%, 07/15/27 | 460,000 | 654,804 |
Par | Value | |||
5.25%, 08/15/27 144A | $ 300,000 | $ 315,243 | ||
Ashtead Capital, Inc. | ||||
4.13%, 08/15/25 144A | 274,000 | 282,083 | ||
AT&T, Inc. | ||||
0.25%, 03/04/26 | 650,000 | 801,424 | ||
3.65%, 06/01/51 | 885,000 | 928,388 | ||
3.80%, 12/01/57 144A | 116,000 | 121,701 | ||
3.65%, 09/15/59 144A | 180,000 | 182,129 | ||
Avon Products, Inc. | ||||
8.95%, 03/15/43 | 60,000 | 78,750 | ||
Bank of America Corporation | ||||
1.38%, 03/26/25 | 595,000 | 771,008 | ||
4.25%, 10/22/26 | 55,000 | 64,564 | ||
(Variable, ICE LIBOR USD 3M + 1.51%), 3.71%, 04/24/28^ | 250,000 | 284,777 | ||
(Variable, ICE LIBOR USD 3M + 1.04%), 3.42%, 12/20/28^ | 435,000 | 491,659 | ||
(Variable, ICE LIBOR USD 3M + 0.99%), 2.50%, 02/13/31^ | 155,000 | 164,755 | ||
(Variable, U.S. SOFR + 1.37%), 1.92%, 10/24/31^ | 360,000 | 365,085 | ||
6.11%, 01/29/37 | 655,000 | 956,200 | ||
(Variable, ICE LIBOR USD 3M + 3.15%), 4.08%, 03/20/51^ | 170,000 | 215,284 | ||
Barrick North America Finance LLC | ||||
5.75%, 05/01/43 | 505,000 | 738,682 | ||
Bausch Health Americas, Inc. | ||||
9.25%, 04/01/26 144A | 460,000 | 513,498 | ||
8.50%, 01/31/27 144A | 50,000 | 55,679 | ||
BioMarin Pharmaceutical, Inc. | ||||
0.60%, 08/01/24 CONV | 40,000 | 43,023 | ||
1.25%, 05/15/27 144A CONV | 30,000 | 31,500 | ||
Boeing Co. (The) | ||||
4.88%, 05/01/25 | 690,000 | 787,147 | ||
3.10%, 05/01/26 | 30,000 | 32,147 | ||
3.25%, 02/01/35 | 5,000 | 5,133 | ||
3.55%, 03/01/38 | 35,000 | 35,797 | ||
3.63%, 03/01/48 | 5,000 | 5,059 | ||
3.85%, 11/01/48 | 130,000 | 134,548 | ||
3.75%, 02/01/50 | 370,000 | 389,781 | ||
5.81%, 05/01/50 | 475,000 | 655,677 | ||
3.95%, 08/01/59 | 130,000 | 139,416 | ||
BP Capital Markets America, Inc. | ||||
3.63%, 04/06/30 | 510,000 | 594,595 | ||
Braskem America Finance Co. | ||||
7.13%, 07/22/41Δ | 2,440,000 | 2,815,150 | ||
Brighthouse Financial, Inc. | ||||
5.63%, 05/15/30 | 375,000 | 463,785 | ||
4.70%, 06/22/47 | 65,000 | 68,031 | ||
Bristol-Myers Squibb Co. | ||||
5.00%, 08/15/45 | 360,000 | 521,523 | ||
4.25%, 10/26/49 | 180,000 | 243,859 | ||
Broadcom, Inc. | ||||
4.15%, 11/15/30 | 380,000 | 440,839 | ||
Carnival Corporation | ||||
1.88%, 11/07/22 | 150,000 | 173,406 | ||
CCO Holdings LLC | ||||
4.50%, 08/15/30 144A | 650,000 | 690,628 |
Par | Value | |||
Centene Corporation | ||||
4.75%, 01/15/25 | $ 30,000 | $ 30,824 | ||
4.63%, 12/15/29 | 700,000 | 778,053 | ||
CenturyLink, Inc. | ||||
5.63%, 04/01/25 | 50,000 | 54,031 | ||
Charter Communications Operating LLC | ||||
6.48%, 10/23/45 | 210,000 | 297,668 | ||
5.75%, 04/01/48 | 890,000 | 1,167,190 | ||
4.80%, 03/01/50 | 475,000 | 568,288 | ||
Chesapeake Energy Corporation | ||||
5.50%, 09/15/26 CONV # | 25,000 | 1,250 | ||
Cigna Corporation | ||||
4.80%, 08/15/38 | 280,000 | 365,477 | ||
3.20%, 03/15/40 | 150,000 | 164,953 | ||
3.40%, 03/15/50 | 260,000 | 293,120 | ||
CIT Group, Inc. | ||||
5.25%, 03/07/25 | 540,000 | 613,912 | ||
Citigroup, Inc. | ||||
3.50%, 05/15/23 | 655,000 | 702,018 | ||
(Variable, ICE LIBOR USD 3M + 3.42%), 6.30%, 05/15/24ρ ^ | 690,000 | 749,685 | ||
(Variable, ICE LIBOR USD 3M + 0.90%), 3.35%, 04/24/25^ | 225,000 | 244,730 | ||
(Variable, ICE LIBOR USD 3M + 3.91%), 5.95%, 05/15/25ρ ^ | 180,000 | 197,100 | ||
(Variable, ICE LIBOR USD 3M + 1.56%), 3.89%, 01/10/28^ | 135,000 | 154,805 | ||
(Variable, ICE LIBOR USD 3M + 1.15%), 3.52%, 10/27/28^ | 200,000 | 226,249 | ||
(Variable, U.S. SOFR + 1.42%), 2.98%, 11/05/30^ | 210,000 | 231,457 | ||
Clarios Global LP | ||||
4.38%, 05/15/26 | 291,000 | 369,880 | ||
CME Group, Inc. | ||||
5.30%, 09/15/43 | 620,000 | 927,753 | ||
Coca-Cola Co. (The) | ||||
2.50%, 03/15/51 | 90,000 | 93,043 | ||
Comcast Corporation | ||||
4.70%, 10/15/48 | 890,000 | 1,245,605 | ||
4.95%, 10/15/58 | 210,000 | 319,496 | ||
Comstock Resources, Inc. | ||||
7.50%, 05/15/25 144A Δ | 270,000 | 277,314 | ||
ConocoPhillips | ||||
6.50%, 02/01/39 | 10,000 | 15,485 | ||
Consolidated Edison Co. of New York, Inc. | ||||
3.95%, 04/01/50 | 105,000 | 128,282 | ||
Continental Airlines Pass-Through Trust, Series 2007-1, Class A | ||||
5.98%, 04/19/22 | 140,070 | 141,820 | ||
Continental Resources, Inc. | ||||
4.50%, 04/15/23Δ | 54,000 | 55,778 | ||
3.80%, 06/01/24Δ | 160,000 | 165,518 | ||
4.90%, 06/01/44 | 270,000 | 267,539 | ||
CTR Partnership LP REIT | ||||
5.25%, 06/01/25 | 551,000 | 571,993 |
Par | Value | |||
Cummins, Inc. | ||||
5.65%, 03/01/98 | $ 435,000 | $ 644,941 | ||
CVS Health Corporation | ||||
4.13%, 04/01/40 | 105,000 | 126,305 | ||
5.05%, 03/25/48 | 405,000 | 549,790 | ||
4.25%, 04/01/50 | 210,000 | 263,158 | ||
D.R. Horton, Inc. | ||||
4.38%, 09/15/22 | 705,000 | 743,914 | ||
DAE Funding LLC | ||||
4.50%, 08/01/22 144A | 8,000 | 8,114 | ||
DCP Midstream Operating LP | ||||
6.75%, 09/15/37 144A | 500,000 | 542,147 | ||
Deere & Co. | ||||
3.75%, 04/15/50 | 580,000 | 754,405 | ||
Dell International LLC | ||||
5.45%, 06/15/23 144A | 525,000 | 580,850 | ||
7.13%, 06/15/24 144A | 270,000 | 280,294 | ||
8.10%, 07/15/36 144A | 225,000 | 333,078 | ||
8.35%, 07/15/46 144A | 125,000 | 189,348 | ||
Delta Air Lines Pass-Through Trust, Series 2007-1, Class B | ||||
8.02%, 08/10/22 | 23,769 | 23,257 | ||
Delta Air Lines, Inc. | ||||
2.90%, 10/28/24 | 30,000 | 29,620 | ||
7.00%, 05/01/25 144A | 50,000 | 57,771 | ||
4.50%, 10/20/25 144A | 350,000 | 374,279 | ||
7.38%, 01/15/26 | 330,000 | 377,277 | ||
4.75%, 10/20/28 144A | 1,300,000 | 1,420,547 | ||
Diamondback Energy, Inc. | ||||
5.38%, 05/31/25 | 320,000 | 333,152 | ||
Dillard's, Inc. | ||||
7.75%, 07/15/26 | 450,000 | 511,307 | ||
Discovery Communications LLC | ||||
3.63%, 05/15/30 | 190,000 | 217,903 | ||
DISH DBS Corporation | ||||
5.88%, 11/15/24Δ | 1,065,000 | 1,118,250 | ||
7.75%, 07/01/26 | 1,545,000 | 1,732,370 | ||
DISH Network Corporation | ||||
2.38%, 03/15/24 CONV | 900,000 | 842,112 | ||
3.38%, 08/15/26 CONV | 565,000 | 539,988 | ||
DTE Energy Co. | ||||
3.40%, 06/15/29 | 345,000 | 392,525 | ||
Edison International | ||||
4.95%, 04/15/25 | 35,000 | 39,901 | ||
El Paso Natural Gas Co. LLC | ||||
8.63%, 01/15/22 | 60,000 | 64,917 | ||
8.38%, 06/15/32 | 50,000 | 70,497 | ||
Enable Midstream Partners LP | ||||
5.00%, 05/15/44 | 130,000 | 125,763 | ||
Enbridge Energy Partners LP | ||||
7.38%, 10/15/45 | 90,000 | 137,621 | ||
Encore Capital Group, Inc. | ||||
4.88%, 10/15/25Δ | 500,000 | 634,846 | ||
Endeavor Energy Resources LP | ||||
5.75%, 01/30/28 144A | 230,000 | 248,446 |
Par | Value | |||
Energy Transfer Operating LP | ||||
4.95%, 06/15/28Δ | $ 200,000 | $ 230,665 | ||
6.25%, 04/15/49 | 100,000 | 121,130 | ||
Energy Transfer Partners LP | ||||
5.88%, 03/01/22 | 240,000 | 250,993 | ||
5.00%, 10/01/22 | 60,000 | 63,702 | ||
4.50%, 11/01/23 | 500,000 | 541,825 | ||
Enterprise Products Operating LLC | ||||
4.80%, 02/01/49 | 290,000 | 367,254 | ||
EOG Resources, Inc. | ||||
4.38%, 04/15/30 | 100,000 | 121,722 | ||
EPR Properties REIT | ||||
3.75%, 08/15/29Δ | 230,000 | 220,813 | ||
EQT Corporation | ||||
5.00%, 01/15/29 | 850,000 | 898,297 | ||
ERAC USA Finance LLC | ||||
7.00%, 10/15/37 144A | 535,000 | 831,174 | ||
Essential Utilities, Inc. | ||||
3.35%, 04/15/50 | 150,000 | 167,970 | ||
Exxon Mobil Corporation | ||||
4.33%, 03/19/50 | 300,000 | 394,201 | ||
3.45%, 04/15/51 | 440,000 | 503,846 | ||
Fidelity & Guaranty Life Holdings, Inc. | ||||
5.50%, 05/01/25 144A | 430,000 | 502,885 | ||
Fidelity National Information Services, Inc. | ||||
1.00%, 12/03/28 | 300,000 | 385,236 | ||
FirstEnergy Corporation | ||||
7.38%, 11/15/31 | 630,000 | 899,454 | ||
Ford Motor Co. | ||||
6.63%, 10/01/28 | 235,000 | 276,994 | ||
4.75%, 01/15/43 | 190,000 | 194,037 | ||
Ford Motor Credit Co. LLC | ||||
2.75%, 06/14/24 | 460,000 | 629,836 | ||
2.39%, 02/17/26 | 366,000 | 455,881 | ||
3.82%, 11/02/27 | 400,000 | 411,750 | ||
4.00%, 11/13/30 | 850,000 | 893,562 | ||
Fox Corporation | ||||
5.58%, 01/25/49 | 635,000 | 929,730 | ||
Fresenius Medical Care US Finance II, Inc. | ||||
5.88%, 01/31/22 144A | 540,000 | 568,800 | ||
GE Capital Funding LLC | ||||
4.55%, 05/15/32 144A | 1,390,000 | 1,669,661 | ||
General Dynamics Corporation | ||||
4.25%, 04/01/40 | 190,000 | 247,835 | ||
4.25%, 04/01/50 | 460,000 | 628,613 | ||
General Electric Co. | ||||
6.75%, 03/15/32 | 20,000 | 28,077 | ||
5.88%, 01/14/38 | 470,000 | 638,132 | ||
6.88%, 01/10/39 | 120,000 | 176,962 | ||
4.25%, 05/01/40 | 640,000 | 757,632 | ||
4.50%, 03/11/44 | 70,000 | 85,756 | ||
4.35%, 05/01/50 | 380,000 | 462,952 | ||
General Motors Co. | ||||
5.40%, 10/02/23 | 360,000 | 403,367 |
Par | Value | |||
6.13%, 10/01/25 | $380,000 | $461,311 | ||
6.25%, 10/02/43 | 85,000 | 114,819 | ||
5.20%, 04/01/45 | 265,000 | 322,299 | ||
General Motors Financial Co., Inc. | ||||
3.45%, 04/10/22 | 155,000 | 159,417 | ||
0.96%, 09/07/23 | 415,000 | 517,230 | ||
5.10%, 01/17/24 | 150,000 | 167,950 | ||
5.25%, 03/01/26 | 315,000 | 370,721 | ||
3.60%, 06/21/30 | 810,000 | 904,211 | ||
GEO Group, Inc. (The) REIT | ||||
5.88%, 10/15/24 | 290,000 | 241,606 | ||
Georgia-Pacific LLC | ||||
8.88%, 05/15/31 | 305,000 | 493,568 | ||
Gilead Sciences, Inc. | ||||
4.00%, 09/01/36 | 670,000 | 811,074 | ||
Goldman Sachs Capital II | ||||
(Variable, ICE LIBOR USD 3M + 0.77%), 4.00%, 02/08/21† ρ | 40,000 | 39,400 | ||
Goldman Sachs Group, Inc. (The) | ||||
(Variable, ICE LIBOR USD 3M + 1.20%), 3.27%, 09/29/25^ | 275,000 | 301,402 | ||
(Variable, U.S. SOFR + 0.79%), 1.09%, 12/09/26^ | 360,000 | 364,394 | ||
(Variable, ICE LIBOR USD 3M + 1.51%), 3.69%, 06/05/28^ | 225,000 | 259,355 | ||
(Variable, ICE LIBOR USD 3M + 1.16%), 3.81%, 04/23/29^ | 140,000 | 162,144 | ||
6.75%, 10/01/37 | 180,000 | 275,744 | ||
5.15%, 05/22/45 | 580,000 | 810,802 | ||
Goodyear Tire & Rubber Co. (The) | ||||
5.00%, 05/31/26 | 25,000 | 25,480 | ||
7.00%, 03/15/28 | 350,000 | 382,529 | ||
Hanesbrands, Inc. | ||||
4.63%, 05/15/24 144A | 110,000 | 115,431 | ||
4.88%, 05/15/26 144A | 560,000 | 609,000 | ||
HCA, Inc. | ||||
5.38%, 02/01/25 | 20,000 | 22,520 | ||
5.38%, 09/01/26 | 28,000 | 32,236 | ||
7.05%, 12/01/27 | 15,000 | 18,192 | ||
7.50%, 11/06/33 | 105,000 | 146,324 | ||
7.75%, 07/15/36 | 65,000 | 84,337 | ||
5.25%, 06/15/49 | 170,000 | 224,904 | ||
Healthcare Trust of America Holdings LP REIT | ||||
3.10%, 02/15/30 | 275,000 | 300,861 | ||
Hercules LLC | ||||
6.50%, 06/30/29 | 130,000 | 140,335 | ||
Hilton Worldwide Finance LLC | ||||
4.88%, 04/01/27 | 520,000 | 551,356 | ||
Home Depot, Inc. (The) | ||||
3.30%, 04/15/40 | 150,000 | 177,174 | ||
3.35%, 04/15/50 | 480,000 | 572,345 | ||
Jefferies Group LLC | ||||
6.25%, 01/15/36 | 570,000 | 762,196 | ||
6.50%, 01/20/43 | 260,000 | 358,082 | ||
JELD-WEN, Inc. | ||||
4.88%, 12/15/27 144A | 380,000 | 402,800 |
Par | Value | |||
JPMorgan Chase & Co. | ||||
(Variable, ICE LIBOR USD 3M + 3.33%), 6.13%, 04/30/24ρ ^ | $ 190,000 | $ 207,163 | ||
(Variable, Euribor 3M + 0.84%), 1.64%, 05/18/28^ | 250,000 | 335,141 | ||
(Variable, U.S. SOFR + 3.79%), 4.49%, 03/24/31^ | 105,000 | 129,364 | ||
(Variable, U.S. SOFR + 2.04%), 2.52%, 04/22/31^ | 510,000 | 548,865 | ||
(Variable, U.S. SOFR + 2.52%), 2.96%, 05/13/31^ | 285,000 | 312,915 | ||
(Variable, U.S. SOFR + 2.46%), 3.11%, 04/22/41^ | 250,000 | 280,270 | ||
(Variable, U.S. SOFR + 2.44%), 3.11%, 04/22/51^ | 460,000 | 513,187 | ||
Kinder Morgan Energy Partners LP | ||||
6.50%, 02/01/37 | 40,000 | 52,025 | ||
6.95%, 01/15/38 | 50,000 | 68,567 | ||
Kinder Morgan, Inc. | ||||
4.30%, 03/01/28 | 95,000 | 111,548 | ||
7.75%, 01/15/32 | 560,000 | 810,245 | ||
5.55%, 06/01/45 | 440,000 | 566,279 | ||
Kraft Heinz Foods Co. | ||||
4.38%, 06/01/46 | 515,000 | 558,067 | ||
L3Harris Technologies, Inc. | ||||
5.05%, 04/27/45 | 620,000 | 859,893 | ||
Lamb Weston Holdings, Inc. | ||||
4.88%, 11/01/26 144A | 1,020,000 | 1,068,118 | ||
Legacy LifePoint Health LLC | ||||
4.38%, 02/15/27 144A | 230,000 | 230,862 | ||
Lennar Corporation | ||||
4.75%, 11/29/27 | 720,000 | 851,796 | ||
Lions Gate Capital Holdings LLC | ||||
5.88%, 11/01/24 144A | 360,000 | 366,712 | ||
Lockheed Martin Corporation | ||||
3.80%, 03/01/45 | 780,000 | 979,023 | ||
LYB International Finance III LLC | ||||
2.25%, 10/01/30Δ | 190,000 | 195,889 | ||
Marathon Petroleum Corporation | ||||
4.70%, 05/01/25 | 380,000 | 435,736 | ||
Masco Corporation | ||||
7.75%, 08/01/29 | 62,000 | 86,270 | ||
6.50%, 08/15/32 | 27,000 | 36,128 | ||
Match Group Holdings II LLC | ||||
5.00%, 12/15/27 144A | 560,000 | 597,184 | ||
Mauser Packaging Solutions Holding Co. | ||||
4.75%, 04/15/24 | 720,000 | 883,713 | ||
MBIA Insurance Corporation | ||||
11.50%, 01/15/33 144A | 215,000 | 76,056 | ||
McDonald’s Corporation | ||||
3.60%, 07/01/30 | 155,000 | 181,958 | ||
3.63%, 09/01/49 | 50,000 | 58,894 | ||
4.20%, 04/01/50 | 500,000 | 644,552 | ||
Michaels Stores, Inc. | ||||
8.00%, 07/15/27 144A | 70,000 | 75,368 | ||
Mileage Plus Holdings LLC | ||||
6.50%, 06/20/27 144A | 375,000 | 403,828 |
Par | Value | |||
MMS USA Investments, Inc. | ||||
1.75%, 06/13/31 | $ 500,000 | $ 666,423 | ||
Morgan Stanley | ||||
5.75%, 01/25/21 | 105,000 | 105,314 | ||
3.13%, 08/05/21 | 265,000 | 211,596 | ||
4.10%, 05/22/23 | 190,000 | 206,265 | ||
6.25%, 08/09/26 | 205,000 | 261,752 | ||
4.35%, 09/08/26 | 475,000 | 560,450 | ||
3.63%, 01/20/27 | 250,000 | 286,540 | ||
3.95%, 04/23/27 | 65,000 | 75,214 | ||
(Variable, U.S. SOFR + 1.14%), 2.70%, 01/22/31^ | 115,000 | 125,358 | ||
(Variable, U.S. SOFR + 4.84%), 5.60%, 03/24/51^ | 230,000 | 370,938 | ||
MPLX LP | ||||
4.50%, 07/15/23 | 15,000 | 16,345 | ||
4.88%, 06/01/25 | 40,000 | 46,247 | ||
4.70%, 04/15/48 | 395,000 | 469,944 | ||
MPT Operating Partnership LP REIT | ||||
2.55%, 12/05/23 | 350,000 | 487,542 | ||
5.00%, 10/15/27 | 1,000,000 | 1,065,525 | ||
4.63%, 08/01/29 | 240,000 | 256,913 | ||
Mutual of Omaha Insurance Co. | ||||
6.80%, 06/15/36 144A | 605,000 | 814,157 | ||
Mylan, Inc. | ||||
4.55%, 04/15/28Δ | 225,000 | 267,645 | ||
Navient Corporation | ||||
6.13%, 03/25/24 | 750,000 | 802,961 | ||
5.88%, 10/25/24 | 70,000 | 74,550 | ||
6.75%, 06/15/26Δ | 190,000 | 206,744 | ||
5.00%, 03/15/27 | 5,000 | 5,051 | ||
5.63%, 08/01/33 | 20,000 | 19,238 | ||
Netflix, Inc. | ||||
3.63%, 05/15/27 | 277,000 | 378,385 | ||
New Fortress Energy, Inc. | ||||
6.75%, 09/15/25 144A | 105,000 | 111,726 | ||
Newell Brands, Inc. | ||||
4.35%, 04/01/23 | 320,000 | 336,045 | ||
Newmont Corporation | ||||
4.88%, 03/15/42 | 290,000 | 395,709 | ||
NGPL PipeCo LLC | ||||
4.38%, 08/15/22 144A | 430,000 | 448,232 | ||
7.77%, 12/15/37 144A | 200,000 | 271,108 | ||
NIKE, Inc. | ||||
3.38%, 03/27/50 | 120,000 | 148,893 | ||
NRG Energy, Inc. | ||||
7.25%, 05/15/26 | 160,000 | 169,040 | ||
Nuance Communications, Inc. | ||||
1.25%, 04/01/25 CONV | 70,000 | 159,627 | ||
NVIDIA Corporation | ||||
3.50%, 04/01/50 | 870,000 | 1,059,451 | ||
3.70%, 04/01/60 | 280,000 | 361,415 | ||
Occidental Petroleum Corporation | ||||
3.20%, 08/15/26 | 275,000 | 257,641 | ||
3.50%, 08/15/29 | 280,000 | 256,696 | ||
4.50%, 07/15/44 | 110,000 | 93,706 |
Par | Value | |||
Old Republic International Corporation | ||||
4.88%, 10/01/24 | $265,000 | $302,441 | ||
OneMain Finance Corporation | ||||
8.25%, 10/01/23 | 30,000 | 34,534 | ||
6.88%, 03/15/25 | 265,000 | 308,228 | ||
ONEOK Partners LP | ||||
4.90%, 03/15/25 | 35,000 | 39,830 | ||
6.20%, 09/15/43 | 15,000 | 18,300 | ||
Open Text Holdings, Inc. | ||||
4.13%, 02/15/30 144A | 300,000 | 319,692 | ||
Oracle Corporation | ||||
4.00%, 07/15/46 | 85,000 | 104,509 | ||
3.60%, 04/01/50 | 120,000 | 140,073 | ||
3.85%, 04/01/60 | 115,000 | 141,728 | ||
Owens Corning | ||||
7.00%, 12/01/36 | 523,000 | 747,270 | ||
Owens-Brockway Glass Container, Inc. | ||||
5.38%, 01/15/25 144A Δ | 755,000 | 816,264 | ||
Owl Rock Capital Corporation | ||||
4.25%, 01/15/26 | 265,000 | 279,319 | ||
Owl Rock Technology Finance Corporation | ||||
4.75%, 12/15/25 144A | 265,000 | 277,325 | ||
Pacific Gas and Electric Co. | ||||
3.30%, 08/01/40 | 120,000 | 120,198 | ||
4.30%, 03/15/45 | 250,000 | 267,348 | ||
Penn Mutual Life Insurance Co. (The) | ||||
7.63%, 06/15/40 144A | 345,000 | 499,271 | ||
Penske Truck Leasing Co. LP | ||||
4.00%, 07/15/25 144A | 290,000 | 329,068 | ||
PepsiCo, Inc. | ||||
3.63%, 03/19/50 | 190,000 | 241,793 | ||
Plains All American Pipeline LP | ||||
4.65%, 10/15/25 | 230,000 | 257,294 | ||
3.55%, 12/15/29 | 730,000 | 765,379 | ||
PLT VII Finance S.a.r.l. | ||||
4.63%, 01/05/26 | 265,000 | 337,140 | ||
Prime Security Services Borrower LLC | ||||
5.25%, 04/15/24 144A | 610,000 | 651,937 | ||
Prudential Financial, Inc. | ||||
3.70%, 03/13/51 | 225,000 | 273,526 | ||
PulteGroup, Inc. | ||||
6.00%, 02/15/35 | 95,000 | 129,409 | ||
PVH Corporation | ||||
3.13%, 12/15/27 | 225,000 | 305,252 | ||
Quicken Loans LLC | ||||
5.25%, 01/15/28 144A | 90,000 | 96,244 | ||
Radian Group, Inc. | ||||
4.50%, 10/01/24 | 75,000 | 79,313 | ||
4.88%, 03/15/27 | 45,000 | 49,532 | ||
Radiology Partners, Inc. | ||||
9.25%, 02/01/28 144A | 440,000 | 495,000 | ||
Range Resources Corporation | ||||
5.00%, 03/15/23 | 53,000 | 51,774 | ||
4.88%, 05/15/25Δ | 120,000 | 113,576 |
Par | Value | |||
Seagate HDD Cayman | ||||
4.88%, 06/01/27 | $ 63,000 | $ 71,006 | ||
4.09%, 06/01/29 144A | 68,000 | 72,973 | ||
Sensata Technologies, Inc. | ||||
4.38%, 02/15/30 144A | 720,000 | 776,250 | ||
Service Properties Trust REIT | ||||
4.50%, 06/15/23Δ | 20,000 | 20,138 | ||
4.65%, 03/15/24Δ | 15,000 | 14,878 | ||
4.35%, 10/01/24 | 80,000 | 79,100 | ||
4.75%, 10/01/26 | 10,000 | 9,900 | ||
4.95%, 02/15/27 | 40,000 | 40,300 | ||
3.95%, 01/15/28Δ | 10,000 | 9,681 | ||
ServiceMaster Co. LLC (The) | ||||
7.45%, 08/15/27 | 120,000 | 140,077 | ||
SM Energy Co. | ||||
1.50%, 07/01/21 CONV | 120,000 | 114,783 | ||
Southern Copper Corporation | ||||
5.25%, 11/08/42 | 870,000 | 1,167,922 | ||
Southwest Airlines Co. | ||||
1.25%, 05/01/25 CONV | 30,000 | 43,725 | ||
Southwestern Energy Co. | ||||
6.45%, 01/23/25Δ | 145,000 | 151,072 | ||
Spectrum Brands, Inc. | ||||
5.75%, 07/15/25 | 570,000 | 589,294 | ||
5.00%, 10/01/29 144A | 90,000 | 96,876 | ||
Sprint Capital Corporation | ||||
8.75%, 03/15/32 | 550,000 | 871,406 | ||
Sprint Corporation | ||||
7.88%, 09/15/23 | 490,000 | 567,934 | ||
Synchrony Financial | ||||
2.85%, 07/25/22 | 490,000 | 506,145 | ||
Targa Resources Partners LP | ||||
5.13%, 02/01/25 | 40,000 | 41,125 | ||
5.88%, 04/15/26 | 620,000 | 658,499 | ||
5.38%, 02/01/27 | 40,000 | 42,107 | ||
5.50%, 03/01/30 | 280,000 | 304,259 | ||
Tenet Healthcare Corporation | ||||
6.75%, 06/15/23 | 145,000 | 155,657 | ||
5.13%, 05/01/25 | 410,000 | 418,503 | ||
6.88%, 11/15/31 | 160,000 | 169,370 | ||
Tennessee Gas Pipeline Co. LLC | ||||
2.90%, 03/01/30 144A | 340,000 | 364,293 | ||
Time Warner Cable LLC | ||||
5.50%, 09/01/41 | 35,000 | 45,119 | ||
4.50%, 09/15/42 | 55,000 | 64,541 | ||
T-Mobile USA, Inc. | ||||
3.88%, 04/15/30 144A | 420,000 | 486,969 | ||
4.38%, 04/15/40 144A | 100,000 | 122,137 | ||
4.50%, 04/15/50 144A | 360,000 | 444,694 | ||
Transcontinental Gas Pipe Line Co. LLC | ||||
3.25%, 05/15/30 | 320,000 | 359,305 | ||
TransDigm, Inc. | ||||
6.50%, 05/15/25 | 100,000 | 102,937 | ||
Transocean, Inc. | ||||
11.50%, 01/30/27 144A | 169,000 | 121,152 | ||
6.80%, 03/15/38 | 215,000 | 72,563 |
Par | Value | |||
UAL Pass-Through Trust, Series 2007-1 | ||||
6.64%, 07/02/22 | $ 49,915 | $ 50,431 | ||
United Airlines Pass-Through Trust, Series 2014-1, Class A | ||||
4.00%, 04/11/26 | 87,080 | 88,315 | ||
United Airlines Pass-Through Trust, Series 2016-2, Class B | ||||
3.65%, 10/07/25 | 74,306 | 72,577 | ||
United Airlines Pass-Through Trust, Series 2020-1, Class A | ||||
5.88%, 10/15/27 | 375,000 | 405,234 | ||
United Rentals North America, Inc. | ||||
4.88%, 01/15/28 | 50,000 | 53,313 | ||
5.25%, 01/15/30 | 410,000 | 455,869 | ||
United States Steel Corporation | ||||
6.65%, 06/01/37 | 280,000 | 236,403 | ||
US Airways Pass-Through Trust, Series 2012-1, Class A | ||||
5.90%, 10/01/24 | 85,553 | 85,738 | ||
US Airways Pass-Through Trust, Series 2012-2, Class A | ||||
4.63%, 06/03/25 | 71,042 | 63,563 | ||
Verizon Communications, Inc. | ||||
4.00%, 03/22/50Δ | 720,000 | 872,827 | ||
Viking Cruises, Ltd. | ||||
5.88%, 09/15/27 144A | 90,000 | 88,187 | ||
Vine Oil & Gas LP | ||||
9.75%, 04/15/23 144A | 30,000 | 24,113 | ||
Visa, Inc. | ||||
2.70%, 04/15/40 | 720,000 | 787,736 | ||
VOC Escrow, Ltd. | ||||
5.00%, 02/15/28 144A | 280,000 | 278,548 | ||
Wells Fargo & Co. | ||||
(Variable, ICE LIBOR USD 3M + 3.99%), 5.88%, 06/15/25ρ ^ | 170,000 | 193,162 | ||
1.00%, 02/02/27 | 400,000 | 511,273 | ||
(Variable, ICE LIBOR USD 3M + 1.00%), 2.57%, 02/11/31^ | 330,000 | 350,579 | ||
(Variable, U.S. SOFR + 2.53%), 3.07%, 04/30/41^ | 220,000 | 239,670 | ||
(Variable, ICE LIBOR USD 3M + 4.24%), 5.01%, 04/04/51^ | 925,000 | 1,316,947 | ||
Western Digital Corporation | ||||
1.50%, 02/01/24 CONV | 170,000 | 169,821 | ||
Western Midstream Operating LP | ||||
4.10%, 02/01/25 | 850,000 | 877,336 | ||
WestRock MWV LLC | ||||
8.20%, 01/15/30 | 75,000 | 106,992 | ||
7.95%, 02/15/31 | 25,000 | 35,762 | ||
Weyerhaeuser Co. REIT | ||||
8.50%, 01/15/25 | 205,000 | 264,596 | ||
6.95%, 10/01/27 | 30,000 | 39,109 | ||
7.38%, 03/15/32 | 190,000 | 285,283 | ||
6.88%, 12/15/33 | 250,000 | 359,070 | ||
Whirlpool Corporation | ||||
4.60%, 05/15/50 | 280,000 | 363,902 | ||
Williams Cos., Inc. (The) | ||||
7.50%, 01/15/31 | 40,000 | 54,438 |
Par | Value | |||
5.75%, 06/24/44 | $ 320,000 | $ 415,902 | ||
WPX Energy, Inc. | ||||
5.88%, 06/15/28 | 590,000 | 643,867 | ||
XPO Logistics, Inc. | ||||
6.50%, 06/15/22 144A | 10,000 | 10,051 | ||
6.13%, 09/01/23 144A | 350,000 | 356,781 | ||
Total Corporate Bonds (Cost $112,351,586) | 127,075,628 | |||
FOREIGN BONDS — 38.8% | ||||
Angola — 0.1% | ||||
Angolan Government International Bond | ||||
9.50%, 11/12/25Δ | 200,000 | 208,321 | ||
9.38%, 05/08/48 | 200,000 | 189,125 | ||
397,446 | ||||
Argentina — 0.3% | ||||
Argentine Republic Government International Bond | ||||
1.00%, 07/09/29 | 136,957 | 59,681 | ||
(Step to 0.50% on 07/09/21), 0.13%, 07/09/30 STEP | 828,157 | 337,060 | ||
(Step to 1.13% on 07/09/21), 0.13%, 07/09/35 STEP | 1,625,941 | 596,720 | ||
Pampa Energia SA | ||||
7.50%, 01/24/27 144A | 750,000 | 658,781 | ||
Provincia de Buenos Aires | ||||
7.88%, 06/15/27 144A | 560,000 | 231,006 | ||
YPF SA | ||||
16.50%, 05/09/22(ZA) | 450,000 | 3,853 | ||
1,887,101 | ||||
Armenia — 0.0% | ||||
Republic of Armenia International Bond | ||||
3.95%, 09/26/29 | 200,000 | 202,710 | ||
Australia — 0.6% | ||||
Australia Government Bond | ||||
1.75%, 06/21/51(A) | 4,300,000 | 3,158,149 | ||
Austria — 0.5% | ||||
Sappi Papier Holding GmbH | ||||
4.00%, 04/01/23(E) Δ | 140,000 | 171,248 | ||
Suzano Austria GmbH | ||||
5.75%, 07/14/26 144A | 370,000 | 434,754 | ||
5.00%, 01/15/30 | 730,000 | 830,105 | ||
3.75%, 01/15/31 | 1,450,000 | 1,540,262 | ||
2,976,369 | ||||
Azerbaijan — 0.1% | ||||
Southern Gas Corridor CJSC | ||||
6.88%, 03/24/26 | 510,000 | 618,696 | ||
Belgium — 0.1% | ||||
Elia Transmission Belgium SA | ||||
0.88%, 04/28/30(E) | 500,000 | 644,378 | ||
House of Finance NV (The) | ||||
4.38%, 07/15/26(E) | 150,000 | 183,514 | ||
827,892 |
Par | Value | |||
Bermuda — 0.1% | ||||
Bermuda Government International Bond | ||||
3.72%, 01/25/27 | $ 200,000 | $ 225,502 | ||
4.75%, 02/15/29 | 200,000 | 244,212 | ||
469,714 | ||||
Brazil — 1.4% | ||||
Brazil Minas SPE via State of Minas Gerais | ||||
5.33%, 02/15/28 | 160,000 | 174,202 | ||
Brazil Notas do Tesouro Nacional Serie F | ||||
10.00%, 01/01/23(B) | 12,283,000 | 2,606,830 | ||
10.00%, 01/01/27(B) | 8,227,000 | 1,867,639 | ||
Brazilian Government International Bond | ||||
10.25%, 01/10/28(B) | 2,630,000 | 600,203 | ||
5.63%, 01/07/41 | 100,000 | 118,475 | ||
CSN Resources SA | ||||
7.63%, 04/17/26 | 200,000 | 215,250 | ||
Itau Unibanco Holding SA | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 3.98%), 6.13%, 12/12/22 144A ρ ^ | 760,000 | 777,583 | ||
Ultrapar International SA | ||||
5.25%, 10/06/26 144A | 420,000 | 468,750 | ||
Vale Overseas, Ltd. | ||||
6.88%, 11/21/36 | 200,000 | 293,626 | ||
Vale SA | ||||
3.75%, 01/10/23(E) | 750,000 | 978,275 | ||
8,100,833 | ||||
Canada — 1.5% | ||||
1011778 BC ULC | ||||
3.88%, 01/15/28 144A | 720,000 | 732,434 | ||
Air Canada Pass-Through Trust, Series 2020-2, Class A | ||||
5.25%, 04/01/29 144A | 525,000 | 560,350 | ||
Bausch Health Cos., Inc. | ||||
9.00%, 12/15/25 144A | 40,000 | 44,233 | ||
Baytex Energy Corporation | ||||
5.63%, 06/01/24 144A | 60,000 | 41,494 | ||
Bombardier, Inc. | ||||
6.00%, 10/15/22 144A | 145,000 | 142,702 | ||
Canadian Government Bond | ||||
1.00%, 06/01/27(C) | 3,265,000 | 2,651,681 | ||
Canadian Natural Resources, Ltd. | ||||
4.95%, 06/01/47 | 115,000 | 146,290 | ||
First Quantum Minerals, Ltd. | ||||
6.50%, 03/01/24 144A Δ | 300,000 | 308,812 | ||
7.50%, 04/01/25 144A | 350,000 | 364,875 | ||
Glencore Finance Canada, Ltd. | ||||
6.00%, 11/15/41 | 340,000 | 432,245 | ||
MEG Energy Corporation | ||||
7.00%, 03/31/24 144A | 172,000 | 174,150 | ||
7.13%, 02/01/27 144A | 1,310,000 | 1,355,850 |
Par | Value | |||
Open Text Corporation | ||||
3.88%, 02/15/28 144A | $ 190,000 | $ 197,927 | ||
Province of Ontario Generic Residual STRIP | ||||
2.96%, 07/13/22(C) Ω | 575,000 | 449,543 | ||
2.90%, 03/08/29(C) Ω | 1,200,000 | 857,686 | ||
8,460,272 | ||||
Chile — 0.0% | ||||
Corporation Nacional del Cobre de Chile | ||||
3.63%, 08/01/27 144A | 220,000 | 246,035 | ||
China — 2.4% | ||||
Avolon Holdings Funding, Ltd. | ||||
4.25%, 04/15/26 144A | 680,000 | 733,296 | ||
China Government Bond | ||||
2.20%, 07/27/25(Y) | 20,500,000 | 3,087,744 | ||
3.85%, 12/12/26(Y) | 24,000,000 | 3,911,928 | ||
4.29%, 05/22/29(Y) | 24,000,000 | 4,071,273 | ||
China Minmetals Corporation | ||||
(Variable, 4.72% - U.S. Treasury Yield Curve Rate CMT 5Y), 3.75%, 11/13/22ρ ^ | 250,000 | 254,383 | ||
Dianjian International Finance, Ltd. | ||||
(Variable, 6.93% - U.S. Treasury Yield Curve Rate CMT 5Y), 4.60%, 03/13/23ρ ^ | 200,000 | 206,500 | ||
Huarong Finance 2017 Co., Ltd. | ||||
(Variable, 7.77% - U.S. Treasury Yield Curve Rate CMT 5Y), 4.50%, 01/24/22ρ ^ | 200,000 | 203,800 | ||
Park Aerospace Holdings, Ltd. | ||||
5.25%, 08/15/22 144A | 15,000 | 15,749 | ||
4.50%, 03/15/23 144A | 190,000 | 199,206 | ||
5.50%, 02/15/24 144A | 830,000 | 905,863 | ||
Sinopec Group Overseas Development 2015, Ltd. | ||||
3.25%, 04/28/25 | 250,000 | 268,494 | ||
13,858,236 | ||||
Colombia — 0.9% | ||||
Colombia Government International Bond | ||||
3.00%, 01/30/30 | 315,000 | 330,714 | ||
5.63%, 02/26/44 | 3,170,000 | 4,116,245 | ||
Colombian TES | ||||
10.00%, 07/24/24(X) | 23,100,000 | 8,216 | ||
Ecopetrol SA | ||||
5.88%, 09/18/23 | 140,000 | 156,486 | ||
Millicom International Cellular SA | ||||
5.13%, 01/15/28 144A | 600,000 | 638,640 | ||
5,250,301 | ||||
Costa Rica — 0.1% | ||||
Costa Rica Government International Bond | ||||
7.16%, 03/12/45Δ | 340,000 | 316,628 |
Par | Value | |||
Croatia — 0.1% | ||||
Croatia Government International Bond | ||||
1.50%, 06/17/31(E) | $ 200,000 | $ 267,969 | ||
Czech Republic — 0.1% | ||||
Czech Republic Government Bond | ||||
0.95%, 05/15/30 | 14,810,000 | 672,079 | ||
Denmark — 0.1% | ||||
DKT Finance ApS | ||||
7.00%, 06/17/23(E) Δ | 350,000 | 441,830 | ||
Dominican Republic — 0.1% | ||||
Dominican Republic International Bond | ||||
6.00%, 07/19/28Δ | 150,000 | 179,814 | ||
6.85%, 01/27/45 | 220,000 | 269,227 | ||
449,041 | ||||
Ecuador — 0.0% | ||||
Ecuador Government International Bond | ||||
(Step to 5.00% on 07/31/21), 0.50%, 07/31/30 STEP | 49,140 | 31,634 | ||
4.72%, 07/31/30Ω | 16,866 | 8,075 | ||
(Step to 1.00% on 07/31/21), 0.50%, 07/31/35 STEP | 128,778 | 70,346 | ||
(Step to 0.50% on 07/31/21), 0.50%, 07/31/40 STEP | 59,020 | 30,248 | ||
140,303 | ||||
Egypt — 0.4% | ||||
Egypt Government International Bond | ||||
7.60%, 03/01/29 | 400,000 | 461,008 | ||
6.38%, 04/11/31(E) | 1,100,000 | 1,449,022 | ||
7.90%, 02/21/48 | 200,000 | 218,075 | ||
2,128,105 | ||||
El Salvador — 0.0% | ||||
El Salvador Government International Bond | ||||
7.12%, 01/20/50 | 150,000 | 134,625 | ||
France — 2.2% | ||||
3AB Optique Developpement SAS | ||||
4.00%, 10/01/23(E) 144A | 540,000 | 669,626 | ||
4.00%, 10/01/23(E) | 295,000 | 365,814 | ||
Accor SA | ||||
(Variable, 3.25% - EUR Swap Rate 5Y), 2.63%, 01/30/25(E) ρ ^ | 400,000 | 455,675 | ||
Altice France SA | ||||
7.38%, 05/01/26 144A | 790,000 | 832,463 | ||
3.38%, 01/15/28(E) | 500,000 | 605,563 | ||
Banijay Group SAS | ||||
6.50%, 03/01/26(E) | 322,000 | 396,469 | ||
BNP Paribas SA | ||||
(Variable, USD Swap 5Y + 5.15%), 7.38%, 08/19/25 144A ρ Δ ^ | 740,000 | 856,598 |
Par | Value | |||
(Variable, Euribor 3M + 1.80%), 2.13%, 01/23/27(E) ^ | $ 300,000 | $ 402,124 | ||
(Variable, USD Swap 5Y + 3.98%), 7.00%, 08/16/28 144A ρ ^ | 300,000 | 355,745 | ||
(Variable, U.S. SOFR + 1.51%), 3.05%, 01/13/31 144A ^ | 625,000 | 682,830 | ||
Constellium SE | ||||
4.25%, 02/15/26(E) | 285,000 | 356,126 | ||
Credit Agricole SA | ||||
(Variable, EUR Swap Rate 5Y + 5.12%), 6.50%, 06/23/21(E) ρ ^ | 300,000 | 375,520 | ||
Electricite de France SA | ||||
(Variable, GBP Swap Rate 13Y + 3.96%), 6.00%, 01/29/26(U) ρ ^ | 300,000 | 468,659 | ||
Faurecia SE | ||||
2.38%, 06/15/27(E) | 365,000 | 451,197 | ||
French Republic Government Bond OAT | ||||
2.10%, 07/25/23(E) 144A | 245,953 | 325,791 | ||
0.10%, 03/01/25(E) | 155,823 | 200,624 | ||
0.10%, 03/01/28(E) ††† | 124,451 | 166,453 | ||
1.80%, 07/25/40(E) 144A ††† | 23,943 | 48,580 | ||
Kapla Holding SAS | ||||
3.38%, 12/15/26(E) | 200,000 | 242,070 | ||
La Financiere Atalian SASU | ||||
4.00%, 05/15/24(E) | 380,000 | 430,942 | ||
Loxam SAS | ||||
3.75%, 07/15/26(E) | 650,000 | 809,954 | ||
5.75%, 07/15/27(E) | 530,000 | 655,617 | ||
Novafives SAS | ||||
5.00%, 06/15/25(E) | 640,000 | 688,033 | ||
Orange SA | ||||
0.50%, 09/04/32(E) | 400,000 | 501,368 | ||
Paprec Holding SA | ||||
4.00%, 03/31/25(E) | 255,000 | 311,910 | ||
Rubis Terminal Infra SAS | ||||
5.63%, 05/15/25(E) | 400,000 | 522,988 | ||
Tereos Finance Groupe I SA | ||||
4.13%, 06/16/23(E) | 200,000 | 240,665 | ||
12,419,404 | ||||
Germany — 1.8% | ||||
Aroundtown SA | ||||
(Variable, 3.46% - EUR Swap Rate 5Y), 2.88%, 01/12/25(E) ρ ^ | 585,000 | 736,105 | ||
Bundesrepublik Deutschland Bundesanleihe | ||||
1.00%, 08/15/24(E) | 780,000 | 1,014,758 | ||
Bundesschatzanweisungen | ||||
0.00%, 12/15/22(E) | 1,350,000 | 1,672,280 | ||
CeramTec BondCo GmbH | ||||
5.25%, 12/15/25(E) | 570,000 | 712,008 |
Par | Value | |||
Cheplapharm Arzneimittel GmbH | ||||
4.38%, 01/15/28(E) 144A | $ 680,000 | $ 854,040 | ||
EnBW Energie Baden-Wuerttemberg AG | ||||
(Variable, 3.63% - EUR Swap Rate 5Y), 3.38%, 04/05/77(E) Δ ^ | 135,000 | 170,592 | ||
HT Troplast GmbH | ||||
9.25%, 07/15/25(E) | 265,000 | 360,888 | ||
IHO Verwaltungs GmbH | ||||
PIK 4.63%, 3.88%, 05/15/27(E) | 215,000 | 273,539 | ||
KME SE | ||||
6.75%, 02/01/23(E) 144A | 480,000 | 474,978 | ||
Platin 1426 GmbH | ||||
5.38%, 06/15/23(E) 144A | 340,000 | 415,032 | ||
5.38%, 06/15/23(E) | 530,000 | 646,961 | ||
SGL Carbon SE | ||||
4.63%, 09/30/24(E) | 480,000 | 554,053 | ||
Techem Verwaltungsgesellschaft 674 mbH | ||||
6.00%, 07/30/26(E) | 400,000 | 513,765 | ||
Vertical Holdco GmbH | ||||
6.63%, 07/15/28(E) | 265,000 | 348,657 | ||
6.63%, 07/15/28(E) 144A | 270,000 | 355,235 | ||
Vertical Midco GmbH | ||||
4.38%, 07/15/27(E) 144A | 350,000 | 451,849 | ||
Volkswagen Bank GmbH | ||||
1.25%, 12/15/25(E) | 782,000 | 1,002,906 | ||
10,557,646 | ||||
Ghana — 0.3% | ||||
Ghana Government International Bond | ||||
7.63%, 05/16/29 144A | 640,000 | 682,249 | ||
10.75%, 10/14/30Δ | 200,000 | 268,278 | ||
10.75%, 10/14/30 144A | 340,000 | 456,073 | ||
7.88%, 02/11/35Δ | 200,000 | 206,342 | ||
1,612,942 | ||||
Hungary — 0.0% | ||||
Hungary Government International Bond | ||||
1.75%, 06/05/35(E) | 19,000 | 25,753 | ||
Indonesia — 2.7% | ||||
Indonesia Government International Bond | ||||
0.90%, 02/14/27(E) | 120,000 | 149,346 | ||
5.25%, 01/17/42 144A | 1,940,000 | 2,520,302 | ||
5.25%, 01/17/42 | 630,000 | 818,449 | ||
4.20%, 10/15/50 | 3,480,000 | 4,168,292 | ||
Indonesia Treasury Bond | ||||
7.00%, 05/15/27(I) | 21,835,000,000 | 1,677,357 | ||
8.25%, 05/15/29(I) | 76,029,000,000 | 6,245,169 | ||
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara | ||||
5.45%, 05/21/28 | 200,000 | 239,719 | ||
15,818,634 |
Par | Value | |||
Ireland — 0.4% | ||||
AerCap Ireland Capital DAC | ||||
4.50%, 09/15/23 | $ 220,000 | $ 238,677 | ||
4.45%, 10/01/25 | 400,000 | 445,830 | ||
GE Capital International Funding Co. Unlimited Co. | ||||
3.37%, 11/15/25 | 246,000 | 273,213 | ||
4.42%, 11/15/35 | 829,000 | 990,566 | ||
Ireland Government Bond | ||||
0.20%, 10/18/30(E) | 20,000 | 25,670 | ||
Motion Bondco DAC | ||||
4.50%, 11/15/27(E) Δ | 330,000 | 391,877 | ||
2,365,833 | ||||
Israel — 0.2% | ||||
Israel Government International Bond | ||||
3.38%, 01/15/50 | 200,000 | 221,880 | ||
3.88%, 07/03/50 | 510,000 | 614,324 | ||
Summit Properties, Ltd. | ||||
2.00%, 01/31/25(E) | 265,000 | 319,338 | ||
1,155,542 | ||||
Italy — 2.2% | ||||
Autostrade per l'Italia SpA | ||||
1.88%, 09/26/29(E) | 334,000 | 406,193 | ||
Centurion Bidco SpA | ||||
5.88%, 09/30/26(E) | 230,000 | 290,446 | ||
doValue SpA | ||||
5.00%, 08/04/25(E) | 320,000 | 409,266 | ||
Italy Buoni Poliennali Del Tesoro | ||||
1.40%, 05/26/25(E) 144A | 253,557 | 329,828 | ||
0.55%, 05/21/26(E) 144A | 158,577 | 197,353 | ||
2.05%, 08/01/27(E) | 4,190,000 | 5,751,013 | ||
1.35%, 04/01/30(E) | 780,000 | 1,031,636 | ||
0.40%, 05/15/30(E) 144A ††† | 102,175 | 132,480 | ||
1.80%, 03/01/41(E) 144A | 28,000 | 37,857 | ||
Rossini S.a.r.l. | ||||
6.75%, 10/30/25(E) | 265,000 | 346,197 | ||
Sisal Pay SpA | ||||
(Floating, 3.88% - Euribor 3M), 3.88%, 12/17/26(E) † | 300,000 | 367,045 | ||
Telecom Italia Capital SA | ||||
6.38%, 11/15/33 | 360,000 | 443,633 | ||
6.00%, 09/30/34 | 105,000 | 128,162 | ||
Telecom Italia SpA | ||||
5.30%, 05/30/24 144A | 340,000 | 370,269 | ||
3.63%, 05/25/26(E) Δ | 255,000 | 343,938 | ||
UniCredit SpA | ||||
(Variable, EUR Swap Rate 5Y + 6.39%), 6.63%, 06/03/23(E) ρ ^ | 1,120,000 | 1,442,647 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 4.75%), 5.46%, 06/30/35 144A ^ | 740,000 | 815,462 | ||
12,843,425 |
Par | Value | |||
Ivory Coast — 0.3% | ||||
Ivory Coast Government International Bond | ||||
5.25%, 03/22/30(E) | $ 460,000 | $ 604,366 | ||
4.88%, 01/30/32(E) 144A | 340,000 | 428,187 | ||
4.88%, 01/30/32(E) | 410,000 | 516,344 | ||
5.75%, 12/31/32 144A STEP | 346,403 | 350,530 | ||
1,899,427 | ||||
Japan — 0.4% | ||||
Japan Government Ten Year Bond | ||||
0.10%, 12/20/28(J) | 140,000,000 | 1,373,834 | ||
Japan Government Thirty Year Bond | ||||
0.70%, 12/20/48(J) | 30,000,000 | 297,868 | ||
SoftBank Group Corporation | ||||
5.00%, 04/15/28(E) | 535,000 | 731,523 | ||
2,403,225 | ||||
Jersey — 0.3% | ||||
Adient Global Holdings, Ltd. | ||||
3.50%, 08/15/24(E) | 135,000 | 165,026 | ||
Avis Budget Finance Plc | ||||
4.75%, 01/30/26(E) | 100,000 | 119,844 | ||
CPUK Finance, Ltd. | ||||
6.50%, 08/28/26(U) | 100,000 | 143,199 | ||
Glencore Finance Europe, Ltd. | ||||
2.75%, 04/01/21(E) | 505,000 | 616,933 | ||
LHC3 PLC | ||||
Cash Coupon 4.13% or PIK 4.88%, 4.13%, 08/15/24(E) | 540,000 | 672,885 | ||
1,717,887 | ||||
Kazakhstan — 0.3% | ||||
KazMunayGas National Co. JSC | ||||
5.38%, 04/24/30 144A | 500,000 | 617,665 | ||
5.38%, 04/24/30 | 300,000 | 370,599 | ||
KazTransGas JSC | ||||
4.38%, 09/26/27 144A | 630,000 | 726,043 | ||
1,714,307 | ||||
Luxembourg — 0.5% | ||||
Altice Finco SA | ||||
4.75%, 01/15/28(E) | 679,000 | 806,063 | ||
Altice France Holding SA | ||||
8.00%, 05/15/27(E) | 600,000 | 798,116 | ||
ArcelorMittal SA | ||||
7.25%, 10/15/39 | 260,000 | 365,236 | ||
Vivion Investments S.a.r.l. | ||||
3.00%, 08/08/24(E) | 500,000 | 566,082 | ||
3.50%, 11/01/25(E) | 300,000 | 344,175 | ||
2,879,672 | ||||
Mexico — 3.3% | ||||
Banco Mercantil del Norte SA | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 5.04%), 6.88%, 07/06/22 144A ρ ^ | 260,000 | 275,275 |
Par | Value | |||
(Variable, U.S. Treasury Yield Curve Rate CMT 10Y + 5.47%), 7.50%, 06/27/29 144A ρ ^ | $ 1,125,000 | $ 1,275,480 | ||
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand | ||||
5.38%, 04/17/25 144A | 580,000 | 667,066 | ||
BBVA Bancomer SA | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 2.65%), 5.13%, 01/18/33 144A ^ | 630,000 | 679,770 | ||
Mexican Bonos | ||||
8.00%, 12/07/23(M) | 20,808,900 | 1,148,471 | ||
7.50%, 06/03/27(M) | 135,600,000 | 7,760,331 | ||
8.50%, 05/31/29(M) | 1,002,900 | 61,481 | ||
7.75%, 05/29/31(M) | 1,504,300 | 88,893 | ||
7.75%, 11/13/42(M) | 76,750,000 | 4,445,942 | ||
Mexico Government International Bond | ||||
5.75%, 10/12/10« | 220,000 | 293,272 | ||
Orbia Advance Corp SAB de CV | ||||
5.88%, 09/17/44 144A | 1,100,000 | 1,370,886 | ||
Petroleos Mexicanos | ||||
4.75%, 02/26/29(E) Δ | 665,000 | 821,598 | ||
5.95%, 01/28/31 | 40,000 | 39,970 | ||
7.69%, 01/23/50 | 390,000 | 393,900 | ||
19,322,335 | ||||
Mongolia — 0.0% | ||||
Mongolia Government International Bond | ||||
8.75%, 03/09/24 | 200,000 | 233,201 | ||
Morocco & Antilles — 0.1% | ||||
OCP SA | ||||
5.63%, 04/25/24 144A Δ | 350,000 | 388,051 | ||
4.50%, 10/22/25 144A | 320,000 | 349,360 | ||
737,411 | ||||
Netherlands — 3.1% | ||||
ABN AMRO Bank NV | ||||
7.13%, 07/06/22(E) | 540,000 | 730,230 | ||
Cooperatieve Rabobank UA | ||||
(Variable, 6.70% - EUR Swap Rate 5Y), 6.63%, 06/29/21(E) ρ Δ ^ | 600,000 | 754,467 | ||
5.75%, 12/01/43 | 630,000 | 941,762 | ||
Dufry One BV | ||||
2.00%, 02/15/27(E) | 242,000 | 278,270 | ||
E.ON International Finance BV | ||||
6.38%, 06/07/32(U) | 155,000 | 324,511 | ||
Embraer Netherlands Finance BV | ||||
5.40%, 02/01/27 | 130,000 | 138,289 | ||
Equate Petrochemical BV | ||||
4.25%, 11/03/26 144A Δ | 380,000 | 424,663 |
Par | Value | |||
Fiat Chrysler Automobiles NV | ||||
4.50%, 07/07/28(E) | $ 185,000 | $ 276,743 | ||
IPD 3 BV | ||||
5.50%, 12/01/25(E) 144A | 560,000 | 708,068 | ||
Lincoln Financing S.a.r.l. | ||||
3.63%, 04/01/24(E) | 215,000 | 266,201 | ||
(Floating, 3.88% - Euribor 3M), 3.88%, 04/01/24(E) † | 118,000 | 144,328 | ||
Maxeda DIY Holding BV | ||||
5.88%, 10/01/26(E) 144A | 230,000 | 293,694 | ||
5.88%, 10/01/26(E) | 200,000 | 255,386 | ||
Nouryon Holding BV | ||||
6.50%, 10/01/26(E) | 280,000 | 362,047 | ||
Petrobras Global Finance BV | ||||
6.25%, 03/17/24 | 2,110,000 | 2,401,834 | ||
6.88%, 01/20/40Δ | 80,000 | 100,421 | ||
6.90%, 03/19/49 | 1,080,000 | 1,371,600 | ||
Prosus NV | ||||
4.85%, 07/06/27 144A | 1,200,000 | 1,384,908 | ||
Repsol International Finance BV | ||||
(Variable, EUR Swap Rate 10Y + 4.20%), 4.50%, 03/25/75(E) ^ | 530,000 | 712,112 | ||
Shell International Finance BV | ||||
3.25%, 04/06/50 | 310,000 | 352,197 | ||
Summer BidCo BV | ||||
Cash Coupon 9.00% or PIK 9.75%, 9.00%, 11/15/25(E) | 446,768 | 567,221 | ||
Syngenta Finance NV | ||||
4.44%, 04/24/23 144A | 660,000 | 693,066 | ||
Telefonica Europe BV | ||||
(Variable, EUR Swap Rate 8Y + 2.97%), 3.88%, 06/22/26(E) ρ ^ | 400,000 | 528,364 | ||
Teva Pharmaceutical Finance Netherlands II BV | ||||
4.50%, 03/01/25(E) | 635,000 | 805,808 | ||
1.88%, 03/31/27(E) | 300,000 | 333,969 | ||
United Group BV | ||||
3.13%, 02/15/26(E) | 200,000 | 240,054 | ||
UPC Holding BV | ||||
5.50%, 01/15/28 144A | 310,000 | 327,631 | ||
3.88%, 06/15/29(E) | 400,000 | 503,320 | ||
Volkswagen International Finance NV | ||||
(Variable, 3.96% - EUR Swap Rate 9Y), 3.88%, 06/17/29(E) ρ ^ | 500,000 | 661,814 | ||
ZF Europe Finance BV | ||||
3.00%, 10/23/29(E) Δ | 700,000 | 877,004 | ||
Ziggo BV | ||||
4.25%, 01/15/27(E) | 212,000 | 271,472 | ||
18,031,454 | ||||
Nigeria — 0.3% | ||||
Nigeria Government International Bond | ||||
7.14%, 02/23/30 144A | 440,000 | 475,782 | ||
7.63%, 11/28/47 144A | 1,310,000 | 1,382,840 | ||
1,858,622 |
Par | Value | |||
Norway — 0.2% | ||||
Adevinta ASA | ||||
3.00%, 11/15/27(E) 144A | $ 540,000 | $ 684,251 | ||
Aker BP ASA | ||||
3.75%, 01/15/30 144A | 150,000 | 158,138 | ||
842,389 | ||||
Oman — 0.0% | ||||
Oman Government International Bond | ||||
6.75%, 01/17/48 | 200,000 | 198,631 | ||
Panama — 0.5% | ||||
Panama Government International Bond | ||||
3.75%, 03/16/25 | 860,000 | 954,518 | ||
6.70%, 01/26/36 | 202,000 | 300,840 | ||
4.50%, 04/01/56 | 1,140,000 | 1,473,450 | ||
2,728,808 | ||||
Paraguay — 0.1% | ||||
Paraguay Government International Bond | ||||
6.10%, 08/11/44 | 200,000 | 268,752 | ||
Peru — 0.8% | ||||
Peruvian Government International Bond | ||||
2.39%, 01/23/26 | 1,370,000 | 1,463,859 | ||
6.55%, 03/14/37 | 640,000 | 973,955 | ||
Transportadora de Gas del Peru SA | ||||
4.25%, 04/30/28 144A | 1,670,000 | 1,876,362 | ||
4,314,176 | ||||
Philippines — 0.0% | ||||
Philippine Government International Bond | ||||
4.00%, 01/15/21 | 100,000 | 100,108 | ||
Poland — 0.4% | ||||
Republic of Poland Government Bond | ||||
2.75%, 04/25/28(P) | 5,370,000 | 1,631,223 | ||
1.25%, 10/25/30(P) | 2,500,000 | 672,745 | ||
2,303,968 | ||||
Qatar — 0.6% | ||||
Ooredoo International Finance, Ltd. | ||||
4.75%, 02/16/21 144A | 200,000 | 201,157 | ||
Qatar Government International Bond | ||||
3.40%, 04/16/25 144A | 1,320,000 | 1,457,554 | ||
4.82%, 03/14/49 | 200,000 | 273,438 | ||
4.40%, 04/16/50 144A | 1,330,000 | 1,736,847 | ||
3,668,996 | ||||
Romania — 0.1% | ||||
RCS & RDS SA | ||||
3.25%, 02/05/28(E) | 200,000 | 244,941 | ||
Romanian Government International Bond | ||||
3.88%, 10/29/35(E) | 133,000 | 199,405 | ||
4.63%, 04/03/49(E) | 100,000 | 165,413 |
Par | Value | |||
3.38%, 01/28/50(E) | $ 84,000 | $ 118,344 | ||
728,103 | ||||
Russia — 1.6% | ||||
Russian Federal Bond - OFZ | ||||
7.05%, 01/19/28(Q) | 360,928,000 | 5,274,306 | ||
7.25%, 05/10/34(Q) | 262,547,000 | 3,864,732 | ||
Russian Foreign Bond - Eurobond | ||||
5.10%, 03/28/35 | 200,000 | 253,372 | ||
9,392,410 | ||||
Serbia — 0.0% | ||||
Serbia International Bond | ||||
1.50%, 06/26/29(E) | 200,000 | 253,287 | ||
South Africa — 1.4% | ||||
Republic of South Africa Government Bond | ||||
6.25%, 03/31/36(S) | 2,140,000 | 100,425 | ||
8.50%, 01/31/37(S) | 9,571,000 | 539,964 | ||
6.50%, 02/28/41(S) | 44,256,000 | 1,974,168 | ||
Republic of South Africa Government International Bond | ||||
4.88%, 04/14/26 | 200,000 | 219,243 | ||
5.88%, 06/22/30Δ | 2,270,000 | 2,577,512 | ||
5.75%, 09/30/49 | 2,420,000 | 2,432,882 | ||
7,844,194 | ||||
South Korea — 0.0% | ||||
Hanwha Life Insurance Co., Ltd. | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 2.00%), 4.70%, 04/23/23ρ ^ | 200,000 | 207,828 | ||
Spain — 0.3% | ||||
Grupo Antolin-Irausa SA | ||||
3.25%, 04/30/24(E) | 250,000 | 303,198 | ||
Iberdrola Finanzas SA | ||||
7.38%, 01/29/24(U) | 100,000 | 165,513 | ||
Spain Government Inflation Linked Bond | ||||
0.65%, 11/30/27(E) 144A | 95,846 | 132,104 | ||
1.00%, 11/30/30(E) 144A | 89,769 | 131,683 | ||
Tendam Brands SAU | ||||
5.00%, 09/15/24(E) 144A | 510,000 | 578,650 | ||
(Floating, 5.25% - Euribor 3M), 5.25%, 09/15/24(E) 144A † | 160,000 | 182,270 | ||
(Floating, 5.25% - Euribor 3M), 5.25%, 09/15/24(E) † | 160,000 | 182,270 | ||
1,675,688 | ||||
Sri Lanka — 0.1% | ||||
Sri Lanka Government International Bond | ||||
6.85%, 11/03/25 | 200,000 | 121,610 | ||
6.75%, 04/18/28 | 500,000 | 288,440 | ||
410,050 | ||||
Supranational — 0.0% | ||||
Banque Ouest Africaine de Developpement | ||||
5.00%, 07/27/27 | 200,000 | 224,372 |
Par | Value | |||
Supranational — 0.0% | ||||
European Union | ||||
0.10%, 10/04/40(E) | $ 75,000 | $ 94,714 | ||
Sweden — 0.2% | ||||
Intrum AB | ||||
3.50%, 07/15/26(E) | 325,000 | 395,051 | ||
Samhallsbyggnadsbolaget i Norden AB | ||||
(Variable, 2.81% - EUR Swap Rate 5Y), 2.62%, 01/30/25(E) ρ ^ | 321,000 | 392,542 | ||
Unilabs Subholding AB | ||||
5.75%, 05/15/25(E) | 299,000 | 375,222 | ||
1,162,815 | ||||
Switzerland — 0.6% | ||||
Credit Suisse Group AG | ||||
(Variable, USD Swap 5Y + 4.60%), 7.50%, 07/17/23 144A ρ ^ | 330,000 | 360,525 | ||
(Variable, EUR Swap Rate 1Y + 0.75%), 1.25%, 07/17/25(E) ^ | 500,000 | 636,136 | ||
(Variable, U.S. SOFR + 3.73%), 4.19%, 04/01/31 144A ^ | 250,000 | 294,589 | ||
UBS Group AG | ||||
(Variable, USD Swap 5Y + 4.34%), 7.00%, 01/31/24 144A ρ ^ | 1,420,000 | 1,557,662 | ||
(Variable, EUR Swap Rate 1Y + 0.75%), 1.25%, 04/17/25(E) ^ | 400,000 | 509,301 | ||
3,358,213 | ||||
Turkey — 0.5% | ||||
Turkey Government International Bond | ||||
4.88%, 10/09/26 | 300,000 | 304,089 | ||
6.00%, 03/25/27 | 1,570,000 | 1,670,231 | ||
4.88%, 04/16/43 | 500,000 | 439,125 | ||
Turkiye Ihracat Kredi Bankasi AS | ||||
5.38%, 10/24/23 | 200,000 | 202,230 | ||
2,615,675 | ||||
Ukraine — 0.1% | ||||
Ukraine Government International Bond | ||||
6.75%, 06/20/26(E) | 200,000 | 269,869 | ||
9.75%, 11/01/28Δ | 250,000 | 308,287 | ||
578,156 | ||||
United Arab Emirates — 0.8% | ||||
Abu Dhabi Crude Oil Pipeline LLC | ||||
4.60%, 11/02/47 | 200,000 | 249,208 | ||
Abu Dhabi Government International Bond | ||||
2.50%, 04/16/25 144A | 1,340,000 | 1,433,921 | ||
3.88%, 04/16/50 144A | 1,420,000 | 1,735,240 | ||
DP World Crescent, Ltd. | ||||
3.88%, 07/18/29 | 200,000 | 219,678 |
Par | Value | |||
DP World PLC | ||||
5.63%, 09/25/48 144A | $ 970,000 | $1,239,854 | ||
4,877,901 | ||||
United Kingdom — 3.2% | ||||
Algeco Global Finance PLC | ||||
6.50%, 02/15/23(E) | 265,000 | 330,665 | ||
Anglo American Capital PLC | ||||
4.75%, 04/10/27 144A | 200,000 | 236,255 | ||
3.38%, 03/11/29(U) | 250,000 | 386,736 | ||
Antofagasta PLC | ||||
2.38%, 10/14/30 144A | 300,000 | 301,500 | ||
Aviva PLC | ||||
(Variable, UK Gilts 5Y + 2.40%), 6.13%, 09/29/22(U) ρ ^ | 1,040,000 | 1,537,720 | ||
Barclays Bank PLC | ||||
7.63%, 11/21/22 | 291,000 | 323,829 | ||
Barclays PLC | ||||
(Variable, EUR Swap Rate 1Y + 0.78%), 1.38%, 01/24/26(E) ^ | 300,000 | 384,303 | ||
(Variable, ICE LIBOR USD 3M + 2.45%), 2.85%, 05/07/26^ | 380,000 | 408,516 | ||
British Telecommunications PLC | ||||
3.25%, 11/08/29 144A | 475,000 | 524,947 | ||
eG Global Finance PLC | ||||
4.38%, 02/07/25(E) | 440,000 | 530,673 | ||
HSBC Holdings PLC | ||||
(Variable, USD ICE Swap Rate 5Y + 4.37%), 6.38%, 03/30/25ρ ^ | 400,000 | 437,710 | ||
(Variable, USD ICE Swap Rate 5Y + 3.75%), 6.00%, 05/22/27ρ ^ | 400,000 | 436,500 | ||
Iceland Bondco PLC | ||||
4.63%, 03/15/25(U) | 230,000 | 313,887 | ||
Informa PLC | ||||
1.50%, 07/05/23(E) Δ | 704,000 | 882,473 | ||
Jaguar Land Rover Automotive PLC | ||||
5.88%, 11/15/24(E) | 215,000 | 268,882 | ||
Jerrold Finco PLC | ||||
6.13%, 01/15/24(U) 144A | 270,000 | 372,917 | ||
Lloyds Banking Group PLC | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 1.10%), 1.33%, 06/15/23^ | 310,000 | 313,506 | ||
4.34%, 01/09/48 | 796,000 | 978,702 | ||
Marks & Spencer PLC | ||||
4.50%, 07/10/27(U) | 200,000 | 285,016 | ||
Miller Homes Group Holdings PLC | ||||
5.50%, 10/15/24(U) Δ | 1,330,000 | 1,873,791 | ||
National Grid Electricity Transmission PLC | ||||
0.19%, 01/20/25(E) | 154,000 | 190,458 | ||
Natwest Group PLC | ||||
6.00%, 12/19/23 | 140,000 | 160,067 |
Par | Value | |||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 2.55%), 3.07%, 05/22/28^ | $545,000 | $ 592,390 | ||
NGG Finance PLC | ||||
(Variable, GBP Swap Rate 12Y + 3.48%), 5.63%, 06/18/73(U) ^ | 196,000 | 307,564 | ||
Pinnacle Bidco PLC | ||||
6.38%, 02/15/25(U) 144A | 580,000 | 786,607 | ||
RAC Bond Co. PLC | ||||
5.00%, 11/06/22(U) | 272,000 | 374,243 | ||
Rio Tinto Finance USA PLC | ||||
4.13%, 08/21/42 | 75,000 | 98,208 | ||
Santander UK Group Holdings PLC | ||||
(Variable, GBP Swap Rate 5Y + 5.54%), 7.38%, 06/24/22(U) ρ ^ | 820,000 | 1,174,716 | ||
SSE PLC | ||||
1.75%, 04/16/30(E) Δ | 350,000 | 479,594 | ||
Tesco Property Finance 6 PLC | ||||
5.41%, 07/13/44(U) | 386,126 | 715,443 | ||
United Kingdom Gilt | ||||
4.50%, 09/07/34(U) | 220,000 | 465,204 | ||
Virgin Media Secured Finance PLC | ||||
5.50%, 08/15/26 144A | 200,000 | 208,125 | ||
4.25%, 01/15/30(U) Δ | 890,000 | 1,255,109 | ||
Vodafone Group PLC | ||||
5.25%, 05/30/48 | 190,000 | 265,099 | ||
18,201,355 | ||||
Total Foreign Bonds (Cost $212,532,513) | 224,651,643 | |||
LOAN AGREEMENTS — 2.0% | ||||
1011778 B.C. Unlimited Liability Company Term B-4 Loan | ||||
(Floating, ICE LIBOR USD 1M + 1.75%), 1.90%, 11/19/26† | 457,688 | 452,112 | ||
Allied Universal Holdco LLC Initial Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 4.25%), 4.40%, 07/10/26† | 495,000 | 493,636 | ||
Asurion LLC New B-7 Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 3.00%), 3.15%, 11/03/24† | 523,291 | 519,890 | ||
Asurion LLC New B-8 Term Loan | ||||
0.00%, 12/23/26† Σ | 160,000 | 158,600 | ||
Asurion LLC Replacement B-6 Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 3.00%), 3.15%, 11/03/23† | 308,676 | 306,038 | ||
Avaya, Inc. Tranche B Term Loan | ||||
0.00%, 12/15/24† Σ | 149,967 | 151,050 | ||
Bausch Health Companies, Inc. Initial Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 3.00%), 3.15%, 06/02/25† | 258,914 | 258,308 |
Par | Value | |||
Berry Global, Inc. Term W Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.00%), 2.15%, 10/01/22† | $ 63,309 | $ 63,334 | ||
Brookfield WEC Holdings, Inc. Initial Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 3.00%, 0.75% Floor), 3.75%, 08/01/25† | 276,299 | 276,003 | ||
Cloudera, Inc. Term Loan | ||||
0.00%, 12/22/27† Σ | 900,000 | 900,563 | ||
CWGS Group LLC Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.75%, 0.75% Floor), 3.50%, 11/08/23† | 139,275 | 138,215 | ||
Energizer Holdings, Inc. 2020 Term Loan | ||||
0.00%, 12/22/27† Σ | 412,500 | 413,276 | ||
Energizer Holdings, Inc. 2021 Incremental Term Loan | ||||
0.00%, 12/22/27† Σ | 487,500 | 488,417 | ||
Entercom Media Corporation Term B-2 Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.50%), 2.65%, 11/18/24† | 180,358 | 176,751 | ||
Focus Financial Partners LLC Tranche B-3 Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.00%), 2.15%, 07/03/24† | 276,456 | 275,217 | ||
Four Seasons Holdings, Inc. Term Loan 2013 | ||||
(Floating, ICE LIBOR USD 1M + 2.00%), 2.15%, 11/30/23† | 227,044 | 226,090 | ||
Froneri International Limited Facility B1 | ||||
(Floating, ICE EURIBOR USD 1M + 2.63%), 2.63%, 01/29/27† | 380,000 | 459,058 | ||
Garda World Security Corporation Initial Term Loan | ||||
(Floating, ICE LIBOR USD 3M + 4.75%), 4.99%, 10/30/26† | 405,369 | 406,483 | ||
Genesee & Wyoming, Inc. Initial Term Loan | ||||
(Floating, ICE LIBOR USD 3M + 2.00%), 2.25%, 12/30/26† | 178,650 | 178,538 | ||
Global Medical Response, Inc. 2020 Refinancing Term Loan | ||||
(Floating, ICE LIBOR USD 3M + 4.75%, 1.00% Floor), 5.75%, 10/02/25† | 358,068 | 356,502 | ||
Jaguar Holding Co. I LLC 2018 Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.50%, 1.00% Floor), 3.50%, 08/18/22† | 242,428 | 242,626 | ||
Level 3 Financing, Inc. Tranche B 2027 Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 1.75%), 1.90%, 03/01/27† | 74,212 | 73,145 |
Par | Value | |||
McAfee LLC Term B USD Loan | ||||
(Floating, ICE LIBOR USD 1M + 3.75%), 3.90%, 09/30/24† | $293,602 | $294,024 | ||
Nexstar Broadcasting, Inc. Term B-4 Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.75%), 2.90%, 09/18/26† | 103,530 | 103,064 | ||
Option Care Health, Inc. Term B Loan | ||||
(Floating, ICE LIBOR USD 1M + 4.25%), 4.40%, 08/06/26† | 584,100 | 583,980 | ||
Pactiv Evergreen, Inc. Tranche B-1 U.S. Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.75%), 2.90%, 02/05/23† | 38,947 | 38,850 | ||
Party City Holdings, Inc. 2018 Replacement Term Loan | ||||
(Floating, ICE LIBOR USD 3M + 2.50%, 0.75% Floor), 3.25%, 08/19/22† | 87,779 | 81,599 | ||
Petco Animal Supplies, Inc. Term Loan | ||||
(Floating, ICE LIBOR USD 3M + 3.25%, 1.00% Floor), 4.25%, 01/26/23† | 851,283 | 817,470 | ||
Prime Security Services Borrower LLC 2019 Refinancing Term B-1 Loan | ||||
(Floating, ICE LIBOR USD 3M + 3.25%, 1.00% Floor), 4.25%, 09/23/26† | 406,893 | 410,008 | ||
Radnet Management, Inc. Term B-1 Loan | ||||
(Floating, ICE LIBOR USD 3M + 3.75%, 1.00% Floor), 4.75%, 06/30/23† | 555,882 | 555,813 | ||
Reynolds Consumer Products LLC Initial Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 1.75%), 1.90%, 02/04/27† | 75,436 | 75,085 | ||
Sedgwick Claims Management Services, Inc. Initial Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 3.25%), 3.40%, 12/31/25† | 256,725 | 253,143 | ||
Trans Union LLC 2019 Replacement Term B-5 Loan | ||||
(Floating, ICE LIBOR USD 1M + 1.75%), 1.90%, 11/16/26† | 79,423 | 79,241 | ||
UFC Holdings LLC Term B-1 Loan | ||||
(Floating, ICE LIBOR USD 3M + 3.25%, 1.00% Floor), 4.25%, 04/29/26† | 118,454 | 118,278 | ||
Univision Communications, Inc. 2020 Replacement Repriced First-Lien Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 3.75%, 1.00% Floor), 4.75%, 03/15/26† | 539,644 | 541,854 |
Par | Value | |||
Virgin Media Bristol LLC N Facility | ||||
(Floating, ICE LIBOR USD 1M + 2.50%), 2.66%, 01/31/28† | $ 370,000 | $ 367,158 | ||
Whatabrands LLC 2020 Refinancing Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.75%), 2.90%, 07/31/26† | 441,421 | 438,247 | ||
Total Loan Agreements (Cost $11,720,416) | 11,771,666 | |||
MORTGAGE-BACKED SECURITIES — 5.0% | ||||
BANK, Series 2018-BNK15, Class B | ||||
4.65%, 11/15/61† γ | 260,000 | 306,222 | ||
Connecticut Avenue Securities Trust, Series 2019-R07, Class 1M2 | ||||
(Floating, ICE LIBOR USD 1M + 2.10%), 2.25%, 10/25/39 144A † | 579,925 | 579,831 | ||
Credit Suisse Commercial Mortgage Trust Series, Series 2006-C5, Class AJ | ||||
5.37%, 12/15/39 | 91,033 | 17,568 | ||
Credit Suisse Commercial Mortgage Trust Series, Series 2007-C5, Class AM | ||||
5.86%, 09/15/40 | 507 | 507 | ||
Credit Suisse Commercial Mortgage Trust Series, Series 2019-RIO | ||||
8.40%, 12/15/21 | 1,120,000 | 1,050,766 | ||
CSMC, Series 2014-USA, Class F | ||||
4.37%, 09/15/37 144A | 1,610,000 | 1,071,529 | ||
Fannie Mae Connecticut Avenue Securities, Series 2018-C01, Class 1M2 | ||||
(Floating, ICE LIBOR USD 1M + 2.25%, 2.25% Floor), 2.40%, 07/25/30† | 539,444 | 539,004 | ||
Federal Home Loan Mortgage Corporation | ||||
3.00%, 07/01/50 | 155,458 | 163,232 | ||
Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2020-DNA2, Class M2 | ||||
(Floating, ICE LIBOR USD 1M + 1.85%, 1.85% Floor), 2.00%, 02/25/50 144A † | 310,000 | 309,786 | ||
Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2020-DNA6, Class M2 | ||||
2.08%, 12/25/50 144A † γ | 310,000 | 311,529 | ||
Federal National Mortgage Association | ||||
3.00%, 08/01/46 | 176,018 | 185,250 | ||
3.00%, 12/01/47 | 485,925 | 509,150 | ||
3.50%, 08/01/49 | 339,061 | 358,287 | ||
4.00%, 08/01/49 | 317,727 | 339,444 | ||
3.50%, 09/01/49 | 570,424 | 602,761 | ||
4.00%, 10/01/49 | 415,937 | 444,350 |
Par | Value | |||
3.00%, 03/01/50 | $ 291,786 | $ 307,757 | ||
3.00%, 05/01/50 | 328,792 | 345,171 | ||
FHLMC Structured Agency Credit Risk Debt Notes, Series 2017-DNA1 | ||||
(Floating, ICE LIBOR USD 1M + 4.95%, 4.95% Floor), 5.10%, 07/25/29† | 760,000 | 805,554 | ||
Government National Mortgage Association | ||||
4.50%, 08/20/48 | 203,084 | 220,148 | ||
5.00%, 01/20/49 | 151,629 | 165,888 | ||
2.00%, 01/01/51 TBA | 830,000 | 868,031 | ||
2.50%, 01/01/51 TBA | 2,530,000 | 2,678,440 | ||
GS Mortgage Securities Corporation II, Series 2018-SRP5, Class C | ||||
(Floating, ICE LIBOR USD 1M + 3.75%, 3.75% Floor), 3.91%, 09/15/31 144A † | 1,590,000 | 1,301,075 | ||
Impac Secured Assets Trust, Series 2006-2, Class 2M3 | ||||
(Floating, ICE LIBOR USD 1M + 1.10%, 1.10% Floor, 11.50% Cap), 1.25%, 08/25/36† | 373,301 | 365,883 | ||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2007-LD12, Class AJ | ||||
6.50%, 02/15/51† γ | 2,578 | 2,413 | ||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-PHMZ, Class M | ||||
(Floating, ICE LIBOR USD 1M + 8.21%, 8.21% Floor), 8.37%, 06/15/35 144A † | 1,500,000 | 1,201,388 | ||
Seasoned Credit Risk Transfer Trust, Series 2017-2, Class M1 | ||||
4.00%, 08/25/56 144A | 440,000 | 446,877 | ||
Seasoned Credit Risk Transfer Trust, Series 2017-2, Class M2 | ||||
4.00%, 08/25/56 144A | 570,000 | 576,362 | ||
Seasoned Credit Risk Transfer Trust, Series 2020-2, Class M | ||||
4.25%, 11/25/59 144A | 1,170,000 | 1,175,468 | ||
UBS Commercial Mortgage Trust, Series 2017-C3, Class C | ||||
4.31%, 08/15/50† γ | 410,000 | 417,372 | ||
UBS Commercial Mortgage Trust, Series 2018-C13, Class B | ||||
4.79%, 10/15/51 | 270,000 | 304,459 | ||
Uniform Mortgage Backed Securities | ||||
2.00%, 01/01/36 TBA | 1,950,000 | 2,038,816 | ||
2.00%, 01/01/51 TBA | 2,945,000 | 3,059,464 | ||
2.50%, 01/01/51 TBA | 5,715,000 | 6,024,860 | ||
3.00%, 01/01/51 TBA | 100,000 | 104,781 | ||
Total Mortgage-Backed Securities (Cost $29,979,595) | 29,199,423 |
Par | Value | |||
MUNICIPAL BOND — 0.0% | ||||
State of Illinois, General Obligation | ||||
5.10%, 06/01/33 (Cost $69,769) | $ 85,000 | $ 91,543 | ||
U.S. TREASURY OBLIGATIONS — 22.0% | ||||
U.S. Treasury Bill | ||||
0.12%, 01/28/21Ω | 445,000 | 444,986 | ||
U.S. Treasury Bonds | ||||
3.50%, 02/15/39 | 3,540,000 | 4,808,178 | ||
4.25%, 05/15/39 | 30,000 | 44,529 | ||
3.88%, 08/15/40 | 20,000 | 28,670 | ||
2.75%, 08/15/42 | 90,000 | 111,607 | ||
2.88%, 05/15/43 | 2,045,000 | 2,585,967 | ||
3.00%, 05/15/45 | 250,000 | 324,443 | ||
3.00%, 11/15/45 | 920,000 | 1,197,545 | ||
2.50%, 05/15/46 | 820,000 | 979,868 | ||
2.25%, 08/15/46 | 960,000 | 1,096,125 | ||
2.88%, 11/15/46 | 1,520,000 | 1,942,453 | ||
3.00%, 05/15/47 | 60,000 | 78,593 | ||
2.75%, 08/15/47 | 90,000 | 112,862 | ||
3.13%, 05/15/48 | 40,000 | 53,706 | ||
3.00%, 08/15/48 | 630,000 | 828,967 | ||
3.38%, 11/15/48 | 770,000 | 1,081,760 | ||
1.25%, 05/15/50 | 50,000 | 45,371 | ||
1.38%, 08/15/50 | 1,620,000 | 1,517,611 | ||
16,838,255 | ||||
U.S. Treasury Inflationary Index Bonds | ||||
0.13%, 04/15/22 | 10,369,633 | 10,587,921 | ||
2.13%, 02/15/40 | 1,415,546 | 2,195,315 | ||
1.38%, 02/15/44 | 1,832,306 | 2,642,888 | ||
0.25%, 02/15/50 | 636,045 | 759,799 | ||
16,185,923 | ||||
U.S. Treasury Notes | ||||
1.50%, 09/30/21 | 2,500,000 | 2,525,967 | ||
1.50%, 10/31/21 | 1,000,000 | 1,011,489 | ||
1.50%, 11/30/21 | 3,630,000 | 3,675,706 | ||
1.88%, 01/31/22 | 710,000 | 723,507 | ||
2.00%, 02/15/22 | 90,000 | 91,902 | ||
1.75%, 03/31/22 | 16,000,000 | 16,326,250 | ||
1.63%, 08/15/22 | 12,590,000 | 12,898,111 | ||
0.13%, 12/31/22 | 1,120,000 | 1,120,153 | ||
2.88%, 10/31/23 | 2,975,000 | 3,203,296 | ||
2.75%, 02/15/24 | 5,655,000 | 6,110,272 | ||
2.38%, 02/29/24 | 10,000 | 10,692 | ||
1.50%, 10/31/24 | 570,000 | 597,520 | ||
2.25%, 11/15/24 | 20,520,000 | 22,111,903 | ||
2.00%, 02/15/25 | 70,000 | 74,968 | ||
2.88%, 05/31/25 | 315,000 | 350,548 | ||
0.38%, 11/30/25 | 6,212,000 | 6,221,221 | ||
1.63%, 02/15/26 | 6,460,000 | 6,872,330 | ||
1.63%, 05/15/26 | 470,000 | 500,550 | ||
2.00%, 11/15/26 | 870,000 | 947,111 |
Par | Value | |||
0.88%, 11/15/30‡‡ | $8,550,000 | $ 8,522,613 | ||
93,896,109 | ||||
Total U.S. Treasury Obligations (Cost $119,822,022) | 127,365,273 |
Shares | |||
COMMON STOCKS — 0.5% | |||
Communication Services — 0.2% | |||
AT&T, Inc. | 39,385 | 1,132,713 | |
Energy — 0.0% | |||
Berry Corporation | 2,492 | 9,171 | |
Hercules Offshore, Inc.Ψ ††† Δ * | 46,644 | 30,580 | |
Southwestern Energy Co.* | 13,299 | 39,631 | |
Whiting Petroleum Corporation* | 5,926 | 148,150 | |
227,532 | |||
Health Care — 0.1% | |||
Bristol-Myers Squibb Co. | 6,999 | 434,148 | |
Information Technology — 0.2% | |||
Corning, Inc. | 25,591 | 921,276 | |
Total Common Stocks (Cost $5,348,066) | 2,715,669 | ||
PREFERRED STOCKS — 0.1% | |||
Bank of America Corporation | |||
7.25%, CONV | 302 | 458,611 | |
Chesapeake Energy Corporation | |||
4.50%, CONV | 617 | 278 | |
5.00%, CONV | 2,119 | 2,119 | |
5.75%, CONV | 16 | 30 | |
5.75%, CONV Δ | 392 | 1,054 | |
5.75%, 144A CONV | 27 | 108 | |
El Paso Energy Capital Trust I | |||
4.75%, 03/31/28 CONV | 3,422 | 177,123 | |
Total Preferred Stocks (Cost $810,887) | 639,323 | ||
MUTUAL FUNDS — 1.9% | |||
VanEck Vectors J.P. Morgan EM Local Currency Bond ETF (Cost $10,770,775) | 332,000 | 11,045,640 | |
MONEY MARKET FUNDS — 10.4% | |||
GuideStone Money Market Fund, 0.00% (Institutional Class)Ø ∞ | 46,166,770 | 46,166,770 | |
Northern Institutional Liquid Assets Portfolio (Shares), 0.08%Ø § | 12,031,101 | 12,031,101 |
Shares | Value | |||
Northern Institutional U.S. Government Portfolio (Shares), 0.00%Ø | 1,968,062 | $ 1,968,062 | ||
Total Money Market Funds (Cost $60,165,933) | 60,165,933 | |||
TOTAL INVESTMENTS —103.2% (Cost $566,159,062) | 597,323,181 | |||
Liabilities in Excess of Other Assets — (3.2)% | (18,524,083) | |||
NET ASSETS — 100.0% | $578,799,098 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
30-Year Euro Buxl | 03/2021 | 11 | $ 3,026,809 | $ 38,525 | ||||
Euro-Bobl | 03/2021 | (23) | (3,798,281) | (3,860) | ||||
Euro-Bund | 03/2021 | (74) | (16,059,030) | (79,816) | ||||
Euro-Schatz | 03/2021 | 128 | 17,556,578 | (12,503) | ||||
10-Year Japanese E-Mini | 03/2021 | 153 | 22,499,172 | (36,965) | ||||
10-Year Commonwealth Treasury Bond | 03/2021 | 39 | 4,426,775 | 11,431 | ||||
10-Year Bond | 03/2021 | 16 | 1,874,146 | 5,166 | ||||
10-Year U.S. Treasury Note | 03/2021 | (118) | (16,293,219) | (11,476) | ||||
Ultra 10-Year U.S. Treasury Note | 03/2021 | (158) | (24,704,781) | 22,613 | ||||
Ultra Long U.S. Treasury Bond | 03/2021 | (63) | (13,454,438) | 78,448 | ||||
Long GILT | 03/2021 | 72 | 13,345,269 | 141,011 | ||||
2-Year U.S. Treasury Note | 03/2021 | 360 | 79,551,562 | 81,601 | ||||
5-Year U.S. Treasury Note | 03/2021 | (205) | (25,863,633) | (64,237) | ||||
U.S. Treasury Long Bond | 03/2021 | (28) | (4,849,250) | 34,305 | ||||
Total Futures Contracts outstanding at December 31, 2020 | $ 37,257,679 | $204,243 |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
01/19/21 | Euro | 29,325,940 | U.S. Dollars | 34,663,028 | GSC | $ 1,179,911 | ||||||
01/19/21 | Japanese Yen | 4,550,736,000 | U.S. Dollars | 43,192,870 | GSC | 890,496 | ||||||
01/20/21 | Euro | 30,681,249 | U.S. Dollars | 37,021,137 | SS | 479,228 | ||||||
01/20/21 | Canadian Dollars | 20,314,764 | U.S. Dollars | 15,537,273 | SC | 423,498 | ||||||
01/20/21 | Euro | 22,913,742 | U.S. Dollars | 27,589,018 | SC | 417,456 | ||||||
01/20/21 | British Pounds | 7,363,474 | U.S. Dollars | 9,684,622 | SC | 386,548 | ||||||
01/20/21 | Norwegian Kroner | 50,448,383 | U.S. Dollars | 5,547,024 | RBC | 336,588 | ||||||
01/20/21 | Australian Dollars | 9,214,350 | U.S. Dollars | 6,796,548 | SS | 308,915 | ||||||
01/20/21 | Swedish Kronor | 27,936,786 | U.S. Dollars | 3,179,087 | CITI | 217,265 | ||||||
01/20/21 | British Pounds | 5,673,167 | U.S. Dollars | 7,543,049 | SS | 216,255 | ||||||
01/20/21 | Brazilian Reals | 22,659,228 | U.S. Dollars | 4,150,154 | SS | 211,108 | ||||||
01/20/21 | Turkish Lira | 22,260,042 | U.S. Dollars | 2,775,793 | SS | 198,041 | ||||||
01/20/21 | Brazilian Reals | 12,823,221 | U.S. Dollars | 2,285,698 | CITI | 182,411 | ||||||
01/20/21 | Norwegian Kroner | 21,019,092 | U.S. Dollars | 2,283,278 | CITI | 168,103 | ||||||
01/20/21 | Australian Dollars | 3,659,954 | U.S. Dollars | 2,662,380 | SC | 159,920 | ||||||
01/20/21 | Norwegian Kroner | 30,687,266 | U.S. Dollars | 3,426,421 | SS | 152,523 |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
01/20/21 | Japanese Yen | 742,299,892 | U.S. Dollars | 7,043,823 | RBC | $ 146,990 | ||||||
01/20/21 | Japanese Yen | 1,040,660,098 | U.S. Dollars | 9,934,911 | SC | 146,178 | ||||||
01/20/21 | Australian Dollars | 2,517,923 | U.S. Dollars | 1,797,827 | CITI | 143,819 | ||||||
01/20/21 | Swiss Francs | 9,221,160 | U.S. Dollars | 10,282,967 | SS | 139,488 | ||||||
01/20/21 | New Zealand Dollars | 9,026,811 | U.S. Dollars | 6,359,041 | SS | 136,652 | ||||||
01/20/21 | Swedish Kronor | 32,263,660 | U.S. Dollars | 3,787,158 | SS | 135,225 | ||||||
01/20/21 | Mexican Pesos | 46,725,418 | U.S. Dollars | 2,207,450 | SC | 135,164 | ||||||
01/20/21 | Canadian Dollars | 5,601,711 | U.S. Dollars | 4,283,882 | SS | 117,232 | ||||||
01/19/21 | Brazilian Reals | 11,252,000 | U.S. Dollars | 2,062,939 | GSC | 102,783 | ||||||
01/19/21 | Russian Rubles | 105,720,000 | U.S. Dollars | 1,327,204 | GSC | 98,597 | ||||||
01/19/21 | Brazilian Reals | 5,740,000 | U.S. Dollars | 1,012,292 | CITI | 92,511 | ||||||
01/20/21 | Russian Rubles | 141,081,467 | U.S. Dollars | 1,811,463 | SS | 90,970 | ||||||
01/20/21 | South African Rand | 22,682,739 | U.S. Dollars | 1,450,140 | SS | 89,005 | ||||||
01/20/21 | Chilean Pesos | 580,284,121 | U.S. Dollars | 729,969 | RBC | 86,681 | ||||||
01/20/21 | Chinese Offshore Yuan | 14,748,521 | U.S. Dollars | 2,173,836 | SS | 83,857 | ||||||
01/20/21 | Norwegian Kroner | 20,253,547 | U.S. Dollars | 2,281,357 | SC | 80,741 | ||||||
01/20/21 | Mexican Pesos | 17,585,373 | U.S. Dollars | 814,449 | CITI | 67,207 | ||||||
01/20/21 | Czech Republic Koruna | 16,304,593 | U.S. Dollars | 701,250 | CITI | 57,890 | ||||||
01/20/21 | Polish Zloty | 8,009,569 | U.S. Dollars | 2,094,343 | SS | 49,978 | ||||||
01/20/21 | Japanese Yen | 511,401,739 | U.S. Dollars | 4,904,096 | SS | 49,957 | ||||||
01/19/21 | Mexican Pesos | 30,743,000 | U.S. Dollars | 1,493,274 | CITI | 48,229 | ||||||
01/20/21 | South Korean Won | 1,847,745,733 | U.S. Dollars | 1,651,491 | SC | 47,784 | ||||||
01/19/21 | British Pounds | 1,353,000 | U.S. Dollars | 1,807,645 | CITI | 42,865 | ||||||
01/19/21 | Indian Rupees | 112,222,000 | U.S. Dollars | 1,492,612 | GSC | 40,726 | ||||||
01/20/21 | Swiss Francs | 1,573,086 | U.S. Dollars | 1,740,984 | CITI | 37,038 | ||||||
01/20/21 | Brazilian Reals | 6,340,049 | U.S. Dollars | 1,184,613 | SC | 35,668 | ||||||
01/19/21 | British Pounds | 1,750,000 | Euro | 1,930,385 | CITI | 34,124 | ||||||
01/20/21 | Canadian Dollars | 1,904,742 | U.S. Dollars | 1,462,854 | CITI | 33,652 | ||||||
01/20/21 | Mexican Pesos | 9,379,338 | U.S. Dollars | 437,361 | RBC | 32,879 | ||||||
01/19/21 | Indian Rupees | 189,201,535 | U.S. Dollars | 2,553,758 | CITI | 31,385 | ||||||
01/20/21 | Japanese Yen | 134,976,749 | U.S. Dollars | 1,280,252 | CITI | 27,295 | ||||||
01/20/21 | Swiss Francs | 1,330,986 | U.S. Dollars | 1,478,767 | SC | 25,615 | ||||||
01/20/21 | Mexican Pesos | 28,537,582 | U.S. Dollars | 1,410,511 | SS | 20,243 | ||||||
01/19/21 | Euro | 450,000 | U.S. Dollars | 531,075 | CITI | 18,927 | ||||||
01/20/21 | Hungarian Forint | 221,279,297 | U.S. Dollars | 729,202 | SS | 16,216 | ||||||
01/20/21 | U.S. Dollars | 1,205,673 | Brazilian Reals | 6,187,575 | SS | 14,740 | ||||||
01/20/21 | Polish Zloty | 2,767,551 | U.S. Dollars | 727,763 | RBC | 13,166 | ||||||
01/20/21 | U.S. Dollars | 850,112 | Hungarian Forint | 248,519,179 | SS | 12,932 | ||||||
01/19/21 | Euro | 803,498 | Polish Zloty | 3,620,000 | CITI | 12,916 | ||||||
01/20/21 | U.S. Dollars | 1,444,077 | Polish Zloty | 5,351,384 | SS | 11,404 | ||||||
01/19/21 | Australian Dollars | 187,959 | U.S. Dollars | 134,528 | CITI | 10,411 | ||||||
01/19/21 | Chinese Offshore Yuan | 11,891,000 | U.S. Dollars | 1,815,947 | CITI | 10,317 | ||||||
01/20/21 | U.S. Dollars | 634,133 | Brazilian Reals | 3,248,661 | SC | 8,857 | ||||||
01/19/21 | Japanese Yen | 754,491,000 | U.S. Dollars | 7,300,061 | CITI | 8,758 | ||||||
01/20/21 | Euro | 278,615 | U.S. Dollars | 331,872 | RBC | 8,667 | ||||||
01/19/21 | British Pounds | 116,249 | U.S. Dollars | 150,391 | GSC | 8,604 | ||||||
01/20/21 | Brazilian Reals | 613,414 | U.S. Dollars | 110,379 | RBC | 7,686 | ||||||
01/20/21 | Hungarian Forint | 112,297,907 | U.S. Dollars | 371,007 | CITI | 7,289 | ||||||
01/20/21 | Canadian Dollars | 485,168 | U.S. Dollars | 374,975 | RBC | 6,208 | ||||||
01/20/21 | U.S. Dollars | 727,714 | Russian Rubles | 53,609,711 | CITI | 4,807 | ||||||
01/20/21 | U.S. Dollars | 366,782 | Brazilian Reals | 1,885,516 | CITI | 3,873 | ||||||
01/19/21 | Canadian Dollars | 118,964 | U.S. Dollars | 89,956 | GSC | 3,511 | ||||||
01/19/21 | U.S. Dollars | 3,425,492 | Euro | 2,800,000 | CITI | 3,258 | ||||||
01/20/21 | Polish Zloty | 388,709 | U.S. Dollars | 101,739 | CITI | 2,326 | ||||||
01/20/21 | U.S. Dollars | 941,430 | Euro | 768,376 | SS | 2,277 | ||||||
01/20/21 | U.S. Dollars | 1,113,656 | Mexican Pesos | 22,195,715 | SS | 857 |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
01/20/21 | South African Rand | 1,403 | U.S. Dollars | 84 | RBC | $ 11 | ||||||
01/20/21 | Chilean Pesos | 1,696 | U.S. Dollars | 2 | SC | — | ||||||
Subtotal Appreciation | $ 8,634,712 | |||||||||||
01/20/21 | U.S. Dollars | 9 | Czech Republic Koruna | 207 | RBC | $ (1) | ||||||
01/20/21 | U.S. Dollars | 1,754 | Polish Zloty | 6,694 | SC | (38) | ||||||
01/20/21 | U.S. Dollars | 314,367 | Chinese Offshore Yuan | 2,055,552 | SC | (295) | ||||||
01/20/21 | Japanese Yen | 90,000,000 | U.S. Dollars | 873,971 | SC | (2,122) | ||||||
01/20/21 | Canadian Dollars | 1,800,000 | U.S. Dollars | 1,417,262 | SS | (3,050) | ||||||
01/19/21 | U.S. Dollars | 2,196,666 | Euro | 1,800,000 | CITI | (3,342) | ||||||
01/20/21 | U.S. Dollars | 348,473 | South Korean Won | 386,247,149 | SS | (6,739) | ||||||
01/20/21 | Brazilian Reals | 2,185,646 | U.S. Dollars | 430,245 | SS | (9,570) | ||||||
01/20/21 | U.S. Dollars | 155,901 | Swedish Kronor | 1,365,893 | RBC | (10,155) | ||||||
01/20/21 | Russian Rubles | 79,503,387 | U.S. Dollars | 1,082,268 | SC | (10,193) | ||||||
01/20/21 | Euro | 4,510,693 | U.S. Dollars | 5,525,494 | SS | (12,271) | ||||||
01/19/21 | Euro | 7,456,000 | U.S. Dollars | 9,125,237 | CITI | (12,316) | ||||||
01/20/21 | Hungarian Forint | 377,977,241 | U.S. Dollars | 1,286,311 | SS | (13,029) | ||||||
01/20/21 | U.S. Dollars | 2,897,037 | Japanese Yen | 301,183,096 | SC | (20,585) | ||||||
01/20/21 | U.S. Dollars | 667,129 | British Pounds | 505,735 | CITI | (24,575) | ||||||
01/19/21 | U.S. Dollars | 863,506 | British Pounds | 650,000 | GSC | (25,505) | ||||||
01/20/21 | Polish Zloty | 3,995,163 | U.S. Dollars | 1,095,581 | SS | (25,996) | ||||||
01/20/21 | U.S. Dollars | 343,628 | New Zealand Dollars | 516,418 | RBC | (27,986) | ||||||
01/20/21 | U.S. Dollars | 1,444,280 | South Korean Won | 1,603,007,383 | SC | (29,922) | ||||||
01/20/21 | U.S. Dollars | 1,086,973 | Canadian Dollars | 1,424,048 | RBC | (31,864) | ||||||
01/20/21 | U.S. Dollars | 1,881,515 | Polish Zloty | 7,151,372 | SS | (33,049) | ||||||
01/20/21 | U.S. Dollars | 788,932 | Russian Rubles | 61,444,124 | SS | (39,620) | ||||||
01/20/21 | U.S. Dollars | 724,185 | South Korean Won | 830,799,569 | CITI | (39,858) | ||||||
01/20/21 | U.S. Dollars | 775,340 | South Korean Won | 888,704,795 | RBC | (41,955) | ||||||
01/20/21 | U.S. Dollars | 1,199,210 | Chinese Offshore Yuan | 8,136,110 | SS | (46,260) | ||||||
01/20/21 | U.S. Dollars | 622,467 | Australian Dollars | 868,495 | CITI | (47,256) | ||||||
01/20/21 | U.S. Dollars | 1,367,324 | New Zealand Dollars | 1,974,974 | SS | (53,868) | ||||||
01/20/21 | U.S. Dollars | 2,176,078 | Canadian Dollars | 2,839,339 | SC | (54,715) | ||||||
01/20/21 | U.S. Dollars | 669,521 | Czech Republic Koruna | 15,554,972 | SC | (54,718) | ||||||
01/20/21 | U.S. Dollars | 1,312,313 | British Pounds | 999,746 | SC | (55,059) | ||||||
01/20/21 | U.S. Dollars | 678,861 | Mexican Pesos | 14,658,945 | SS | (56,076) | ||||||
01/20/21 | U.S. Dollars | 811,294 | Brazilian Reals | 4,530,913 | SS | (60,779) | ||||||
01/20/21 | U.S. Dollars | 925,734 | Turkish Lira | 7,434,135 | SS | (67,430) | ||||||
01/20/21 | U.S. Dollars | 1,470,493 | South African Rand | 22,688,108 | SS | (69,016) | ||||||
01/20/21 | U.S. Dollars | 2,242,139 | Canadian Dollars | 2,947,663 | CITI | (73,761) | ||||||
01/20/21 | U.S. Dollars | 3,379,028 | Mexican Pesos | 68,969,600 | SC | (78,814) | ||||||
01/20/21 | U.S. Dollars | 1,087,889 | Swedish Kronor | 9,606,600 | CITI | (80,012) | ||||||
01/20/21 | U.S. Dollars | 4,019,812 | Euro | 3,354,356 | SC | (80,073) | ||||||
01/20/21 | U.S. Dollars | 1,685,984 | Australian Dollars | 2,296,994 | SS | (85,297) | ||||||
01/20/21 | U.S. Dollars | 728,619 | Chilean Pesos | 580,293,801 | CITI | (88,044) | ||||||
01/20/21 | U.S. Dollars | 2,261,538 | British Pounds | 1,736,922 | RBC | (114,085) | ||||||
01/20/21 | U.S. Dollars | 4,489,075 | Swiss Francs | 4,073,308 | SS | (114,886) | ||||||
01/20/21 | U.S. Dollars | 1,825,431 | Brazilian Reals | 10,146,881 | SC | (127,557) | ||||||
01/20/21 | U.S. Dollars | 3,650,303 | Swedish Kronor | 31,124,810 | SS | (133,626) | ||||||
01/20/21 | U.S. Dollars | 1,457,908 | Turkish Lira | 11,970,755 | RBC | (141,327) | ||||||
01/20/21 | U.S. Dollars | 4,439,002 | Euro | 3,755,647 | RBC | (151,363) | ||||||
01/20/21 | U.S. Dollars | 8,303,924 | Euro | 6,920,800 | CITI | (155,071) | ||||||
01/20/21 | U.S. Dollars | 6,181,714 | Swiss Francs | 5,612,131 | RBC | (161,542) | ||||||
01/20/21 | U.S. Dollars | 15,021,115 | Japanese Yen | 1,568,527,725 | SS | (173,538) | ||||||
01/19/21 | U.S. Dollars | 1,429,011 | Mexican Pesos | 32,410,393 | CITI | (196,098) | ||||||
01/20/21 | U.S. Dollars | 2,881,538 | Australian Dollars | 4,006,989 | RBC | (208,372) | ||||||
01/20/21 | U.S. Dollars | 9,521,966 | Swiss Francs | 8,625,771 | SC | (227,534) |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
01/20/21 | U.S. Dollars | 13,033,622 | Canadian Dollars | 16,889,233 | SS | $ (235,800) | ||||||
01/20/21 | U.S. Dollars | 2,965,446 | New Zealand Dollars | 4,467,459 | CITI | (249,338) | ||||||
01/19/21 | U.S. Dollars | 4,020,021 | Indonesian Rupiahs | 59,878,206,000 | CITI | (262,948) | ||||||
01/19/21 | U.S. Dollars | 3,026,683 | Australian Dollars | 4,294,324 | GSC | (284,761) | ||||||
01/19/21 | U.S. Dollars | 2,169,667 | South African Rand | 36,380,000 | GSC | (299,265) | ||||||
01/20/21 | U.S. Dollars | 5,403,097 | Swedish Kronor | 46,963,607 | SC | (306,398) | ||||||
01/20/21 | U.S. Dollars | 9,596,358 | New Zealand Dollars | 13,873,720 | SC | (387,171) | ||||||
01/20/21 | U.S. Dollars | 9,945,694 | Norwegian Kroner | 88,672,756 | SS | (395,889) | ||||||
01/20/21 | U.S. Dollars | 16,034,194 | British Pounds | 12,302,834 | SS | (792,639) | ||||||
01/20/21 | U.S. Dollars | 12,067,899 | Australian Dollars | 16,695,632 | SC | (806,605) | ||||||
01/20/21 | U.S. Dollars | 99,704,484 | Euro | 84,583,667 | SS | (3,678,475) | ||||||
Subtotal Depreciation | $(11,079,502) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at December 31, 2020 | $ (2,444,790) |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Asset-Backed Securities | $ 2,601,440 | $ — | $ 2,601,440 | $ — | |||
Common Stocks: | |||||||
Energy | 227,532 | 196,952 | — | 30,580 | |||
Other ^^ | 2,488,137 | 2,488,137 | — | — | |||
Total Common Stocks | 2,715,669 | 2,685,089 | — | 30,580 | |||
Corporate Bonds | 127,075,628 | — | 127,075,628 | — | |||
Foreign Bonds: | |||||||
France | 12,419,404 | — | 12,204,371 | 215,033 | |||
Italy | 12,843,425 | — | 12,710,945 | 132,480 | |||
Other ^^ | 199,388,814 | — | 199,388,814 | — | |||
Total Foreign Bonds | 224,651,643 | — | 224,304,130 | 347,513 | |||
Loan Agreements | 11,771,666 | — | 11,771,666 | — | |||
Money Market Funds | 60,165,933 | 60,165,933 | — | — | |||
Mortgage-Backed Securities | 29,199,423 | — | 29,199,423 | — | |||
Municipal Bond | 91,543 | — | 91,543 | — | |||
Mutual Funds | 11,045,640 | 11,045,640 | — | — | |||
Preferred Stocks: | |||||||
Energy | 180,712 | 180,604 | 108 | — | |||
Financials | 458,611 | 458,611 | — | — | |||
Total Preferred Stocks | 639,323 | 639,215 | 108 | — | |||
U.S. Treasury Obligations | 127,365,273 | — | 127,365,273 | — | |||
Total Assets - Investments in Securities | $597,323,181 | $74,535,877 | $522,409,211 | $378,093 | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $ 8,634,712 | $ — | $ 8,634,712 | $ — | |||
Futures Contracts | 413,100 | 413,100 | — | — | |||
Total Assets - Other Financial Instruments | $ 9,047,812 | $ 413,100 | $ 8,634,712 | $ — | |||
Liabilities: | |||||||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $ (11,079,502) | $ — | $ (11,079,502) | $ — | |||
Futures Contracts | (208,857) | (208,857) | — | — | |||
Total Liabilities - Other Financial Instruments | $ (11,288,359) | $ (208,857) | $ (11,079,502) | $ — |
^^ | Classifications as defined in the Schedule of Investments. |
*** | Other financial instruments are derivative instruments, such as futures contracts, forward 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", "Forward Foreign Currency Contracts outstanding" and "Swap Agreements outstanding" disclosures. |
STATEMENTS OF ASSETS AND LIABILITIES | December 31, 2020 |
Money Market Fund | Low-Duration Bond Fund | ||
Assets | |||
Investments in securities of unaffiliated issuers, at value | $1,215,359,524 | $1,027,671,767 | |
Investments in repurchase agreements, at value | 423,000,000 | — | |
Investments in securities of affiliated issuers, at value | — | 34,878,597 | |
Total investments, at value(1), (2) | 1,638,359,524 | 1,062,550,364 | |
Cash collateral for derivatives | — | 4,870,599 | |
Deposits with broker for futures contracts | — | 720,000 | |
Foreign currency(3) | — | 1,143,404 | |
Upfront premiums paid from swap agreements | — | — | |
Receivables: | |||
Dividends and reclaims | — | 10,986 | |
Interest | 375,251 | 3,182,424 | |
Securities lending | — | 1,016 | |
Investment securities sold | — | 7,381,910 | |
Fund shares sold | 12,263,166 | 1,525,273 | |
Variation margin on futures contracts | — | 7,700 | |
Unrealized appreciation on foreign currency exchange contracts | — | 309,101 | |
Unrealized appreciation on swap agreements | — | — | |
Prepaid expenses and other assets | 33,943 | 11,980 | |
Total Assets | 1,651,031,884 | 1,081,714,757 | |
Liabilities | |||
TBA sale commitments, at value(4) | — | — | |
Options written, at value(5) | — | 12,533 | |
Upfront premiums received from swap agreements | — | 2,030,051 | |
Unrealized depreciation on foreign currency exchange contracts | — | 2,367,385 | |
Unrealized depreciation on swap agreements | — | 11,104 | |
Collateral held for securities on loan, at value | — | 4,997,935 | |
Collateral from counterparty | — | 1,309,723 | |
Payables: | |||
Investment securities purchased | — | 7,110,567 | |
Fund shares redeemed | 7,463,518 | 500,141 | |
Variation margin on centrally cleared swaps | — | 40,080 | |
Variation margin on futures contracts | — | — | |
Distributions | 408 | — | |
Accrued expenses: | |||
Investment advisory fees | 7,698 | 257,793 | |
Shareholder servicing fees | 103,248 | 50,404 | |
Trustee fees | 418 | 139 | |
Other expenses | 231,724 | 266,030 | |
Total Liabilities | 7,807,014 | 18,953,885 | |
Net Assets | $1,643,224,870 | $1,062,760,872 | |
Net Assets Consist of: | |||
Paid-in-capital | $1,643,182,941 | $1,053,170,784 | |
Distributable earnings (loss) | 41,929 | 9,590,088 | |
Net Assets | $1,643,224,870 | $1,062,760,872 | |
Net Asset Value: | |||
$0.001 par value, unlimited shares authorized | |||
Net assets applicable to the Institutional Class | $1,168,143,845 | $ 822,078,958 | |
Institutional shares outstanding | 1,168,120,794 | 60,357,183 | |
Net asset value, offering and redemption price per Institutional share | $ 1.00 | $ 13.62 | |
Net assets applicable to the Investor Class | $ 475,081,025 | $ 240,681,914 | |
Investor shares outstanding | 475,027,710 | 17,666,965 | |
Net asset value, offering and redemption price per Investor share | $ 1.00 | $ 13.62 | |
(1)Investments in securities of unaffiliated issuers, at cost | $1,215,359,524 | $1,011,933,822 | |
Investments in repurchase agreements, at cost | 423,000,000 | — | |
Investments in securities of affiliated issuers, at cost | — | 34,878,597 | |
Total investments, at cost | $1,638,359,524 | $1,046,812,419 | |
(2)Includes securities loaned of: | $ — | $ 6,373,654 | |
(3)Foreign currency, at cost | $ — | $ 1,134,087 | |
(4)TBA sale commitments, at cost | $ — | $ — | |
(5)Premiums received on options written | $ — | $ 31,226 |
Medium-Duration Bond Fund | Extended-Duration Bond Fund | Global Bond Fund | ||
$2,206,873,543 | $234,706,030 | $551,156,411 | ||
95,800,000 | — | — | ||
118,802,640 | 16,338,017 | 46,166,770 | ||
2,421,476,183 | 251,044,047 | 597,323,181 | ||
18,124,872 | — | 1,049,151 | ||
2,840,321 | — | 2,379,271 | ||
7,061,391 | — | 7,138,367 | ||
2,485,973 | — | — | ||
106,760 | 60 | 84,614 | ||
10,854,946 | 1,360,342 | 4,650,205 | ||
2,363 | 1,285 | 2,257 | ||
422,445,030 | — | 8,101,196 | ||
1,098,369 | 61,418 | 410,717 | ||
128,565 | — | — | ||
1,789,835 | — | 8,634,712 | ||
481,188 | — | — | ||
25,091 | 10,680 | 8,195 | ||
2,888,920,887 | 252,477,832 | 629,781,866 | ||
91,597,317 | — | — | ||
388,699 | — | — | ||
1,688,871 | — | — | ||
3,199,047 | — | 11,079,502 | ||
33,689 | — | — | ||
5,683,990 | 8,097,240 | 12,031,101 | ||
9,110,985 | — | 273,464 | ||
659,374,290 | 1,169,379 | 26,988,985 | ||
604,268 | 1,347,922 | 58,701 | ||
32,173 | — | — | ||
— | — | 74,057 | ||
— | — | — | ||
553,256 | 99,254 | 245,754 | ||
86,815 | 25,868 | 24,634 | ||
154 | 135 | 84 | ||
602,855 | 90,952 | 206,486 | ||
772,956,409 | 10,830,750 | 50,982,768 | ||
$2,115,964,478 | $241,647,082 | $578,799,098 | ||
$2,013,411,303 | $210,895,800 | $552,868,357 | ||
102,553,175 | 30,751,282 | 25,930,741 | ||
$2,115,964,478 | $241,647,082 | $578,799,098 | ||
$1,694,858,156 | $132,816,669 | $460,851,860 | ||
108,263,141 | 6,926,008 | 44,413,749 | ||
$ 15.65 | $ 19.18 | $ 10.38 | ||
$ 421,106,322 | $108,830,413 | $117,947,238 | ||
26,891,261 | 5,673,114 | 11,405,891 | ||
$ 15.66 | $ 19.18 | $ 10.34 | ||
$2,107,039,406 | $216,835,843 | $519,992,292 | ||
95,800,000 | — | — | ||
118,802,640 | 16,338,017 | 46,166,770 | ||
$2,321,642,046 | $233,173,860 | $566,159,062 | ||
$ 10,554,540 | $ 8,874,676 | $ 16,950,205 | ||
$ 6,931,794 | $ — | $ 7,132,646 | ||
$ 91,521,574 | $ — | $ — | ||
$ 591,209 | $ — | $ — |
STATEMENTS OF OPERATIONS | For the Year Ended December 31, 2020 |
Money Market Fund | Low-Duration Bond Fund | ||
Investment Income | |||
Dividends | $ — | $ 5,225 | |
Income distributions received from affiliated funds | — | 113,098 | |
Interest | 8,376,603 | 17,714,503 | |
Securities lending, net | — | 65,660 | |
Less foreign taxes withheld | — | (3,603) | |
Total Investment Income | 8,376,603 | 17,894,883 | |
Expenses | |||
Investment advisory fees | 1,716,855 | 2,930,484 | |
Transfer agent fees: | |||
Institutional shares | 4,892 | 5,079 | |
Investor shares | 40,686 | 15,751 | |
Custodian fees | 17,445 | 146,803 | |
Shareholder servicing fees: | |||
Investor shares | 1,143,672 | 592,918 | |
Accounting and administration fees | 300,315 | 219,416 | |
Professional fees | 115,659 | 132,369 | |
Shareholder reporting fees: | |||
Institutional shares | 1,840 | 2,275 | |
Investor shares | 18,271 | 16,088 | |
Trustees expenses | 5,049 | 934 | |
Line of credit facility fees | 3,053 | 615 | |
Other expenses | 151,913 | 83,712 | |
Total Expenses | 3,519,650 | 4,146,444 | |
Expenses waived/reimbursed(1) | (613,913) | — | |
Net Expenses | 2,905,737 | 4,146,444 | |
Net Investment Income | 5,470,866 | 13,748,439 | |
Realized and Unrealized Gain (Loss) | |||
Net realized gain (loss) from: | |||
Investment securities | 14,329 | 11,688,237 | |
Investment securities sold short | — | (40,957) | |
Futures transactions | — | 1,748,787 | |
Swap agreements | — | (958,805) | |
Option contracts written | — | 146,228 | |
Option contracts purchased | — | — | |
Forward foreign currency contracts | — | (2,658,703) | |
Foreign currency | — | 1,271,450 | |
Net realized gain (loss) | 14,329 | 11,196,237 | |
Net change in unrealized appreciation (depreciation) on: | |||
Investment securities | — | 9,028,092 | |
Investment securities sold short | — | 9,140 | |
Futures | — | 206,952 | |
Swap agreements | — | (530,986) | |
Option contracts written | — | 37,377 | |
Option contracts purchased | — | (1,458) | |
Forward foreign currency contracts | — | (1,028,126) | |
Foreign currency | — | (9,332) | |
Net change in unrealized appreciation (depreciation) | — | 7,711,659 | |
Net Realized and Unrealized Gain | 14,329 | 18,907,896 | |
Net Increase in Net Assets Resulting from Operations | $5,485,195 | $32,656,335 |
(1) | See Note 3c in Notes to Financial Statements. |
Medium-Duration Bond Fund | Extended-Duration Bond Fund | Global Bond Fund | ||
$ 17,860 | $ 17,773 | $ 192,384 | ||
313,802 | 49,617 | 128,889 | ||
46,194,242 | 7,927,473 | 20,510,877 | ||
107,377 | 44,581 | 112,412 | ||
(19,474) | — | (116,581) | ||
46,613,807 | 8,039,444 | 20,827,981 | ||
5,913,841 | 1,274,093 | 2,848,231 | ||
5,237 | 4,505 | 4,895 | ||
36,010 | 18,416 | 23,864 | ||
583,455 | 28,469 | 182,434 | ||
889,710 | 369,251 | 279,730 | ||
408,317 | 61,693 | 131,154 | ||
128,331 | 128,593 | 140,035 | ||
1,874 | 2,263 | 2,453 | ||
13,449 | 11,693 | 9,492 | ||
— | 1,147 | 542 | ||
1,015 | 972 | 417 | ||
131,790 | 67,787 | 76,859 | ||
8,113,029 | 1,968,882 | 3,700,106 | ||
— | — | — | ||
8,113,029 | 1,968,882 | 3,700,106 | ||
38,500,778 | 6,070,562 | 17,127,875 | ||
50,875,724 | 23,531,253 | 1,622,570 | ||
(1,846,214) | — | — | ||
37,205,818 | (71,493) | (5,691,648) | ||
(12,443,842) | — | 1,242,562 | ||
4,875,230 | — | — | ||
(4,022,359) | — | (76,259) | ||
(5,000,760) | — | (5,709,967) | ||
(801,154) | (1,737) | 1,804,992 | ||
68,842,443 | 23,458,023 | (6,807,750) | ||
50,507,549 | 2,385,240 | 21,660,940 | ||
70,470 | — | — | ||
2,591,365 | — | (521,484) | ||
(75,830) | — | (5,222) | ||
(82,750) | — | — | ||
11,730 | — | — | ||
(100,072) | — | (741,405) | ||
(22,664) | 258 | (93,989) | ||
52,899,798 | 2,385,498 | 20,298,840 | ||
121,742,241 | 25,843,521 | 13,491,090 | ||
$160,243,019 | $31,914,083 | $30,618,965 |
STATEMENTS OF CHANGES IN NET ASSETS |
Money Market Fund | |||
For the Year Ended | |||
12/31/20 | 12/31/19 | ||
Operations: | |||
Net investment income | $ 5,470,866 | $ 27,768,702 | |
Net realized gain on investment securities, foreign currency and derivatives | 14,329 | 22,056 | |
Net change in unrealized appreciation (depreciation) on investment securities, foreign currency and derivatives | — | — | |
Net increase in net assets resulting from operations | 5,485,195 | 27,790,758 | |
Distributions to Shareholders: | |||
Institutional shares | (4,317,024) | (20,503,404) | |
Investor shares | (1,153,842) | (7,265,298) | |
Total distributions | (5,470,866) | (27,768,702) | |
Capital Share Transactions: | |||
Proceeds from shares sold | |||
Institutional shares | 6,163,830,444 | 4,301,371,522 | |
Investor shares | 592,641,013 | 372,222,654 | |
Reinvestment of dividends and distributions | |||
Institutional shares | 956,522 | 4,362,064 | |
Investor shares | 1,146,594 | 7,235,378 | |
Total proceeds from shares sold and reinvested | 6,758,574,573 | 4,685,191,618 | |
Value of shares redeemed | |||
Institutional shares | (5,900,852,959) | (4,243,079,203) | |
Investor shares | (510,679,541) | (395,729,388) | |
Total value of shares redeemed | (6,411,532,500) | (4,638,808,591) | |
Net increase from capital share transactions(1) | 347,042,073 | 46,383,027 | |
Total increase in net assets | 347,056,402 | 46,405,083 | |
Net Assets: | |||
Beginning of Year | 1,296,168,468 | 1,249,763,385 | |
End of Year | $ 1,643,224,870 | $ 1,296,168,468 |
(1) | See Note 6 in Notes to Financial Statements. |
Low-Duration Bond Fund | Medium-Duration Bond Fund | |||||
For the Year Ended | For the Year Ended | |||||
12/31/20 | 12/31/19 | 12/31/20 | 12/31/19 | |||
$ 13,748,439 | $ 22,321,038 | $ 38,500,778 | $ 46,984,801 | |||
11,196,237 | 3,952,380 | 68,842,443 | 40,474,870 | |||
7,711,659 | 10,370,747 | 52,899,798 | 65,182,378 | |||
32,656,335 | 36,644,165 | 160,243,019 | 152,642,049 | |||
(13,268,366) | (17,790,895) | (75,595,690) | (56,907,805) | |||
(3,506,890) | (5,457,648) | (17,458,099) | (11,258,355) | |||
(16,775,256) | (23,248,543) | (93,053,789) | (68,166,160) | |||
176,339,136 | 167,454,014 | 364,783,068 | 201,720,715 | |||
89,879,934 | 33,889,114 | 178,590,044 | 70,098,535 | |||
13,190,460 | 17,570,330 | 75,272,959 | 56,765,981 | |||
3,502,365 | 5,450,732 | 17,182,553 | 11,047,637 | |||
282,911,895 | 224,364,190 | 635,828,624 | 339,632,868 | |||
(141,363,518) | (35,643,763) | (277,633,544) | (93,164,235) | |||
(89,372,346) | (115,855,201) | (93,617,926) | (57,821,223) | |||
(230,735,864) | (151,498,964) | (371,251,470) | (150,985,458) | |||
52,176,031 | 72,865,226 | 264,577,154 | 188,647,410 | |||
68,057,110 | 86,260,848 | 331,766,384 | 273,123,299 | |||
994,703,762 | 908,442,914 | 1,784,198,094 | 1,511,074,795 | |||
$1,062,760,872 | $ 994,703,762 | $2,115,964,478 | $1,784,198,094 |
STATEMENTS OF CHANGES IN NET ASSETS |
Extended-Duration Bond Fund | Global Bond Fund | ||||||
For the Year Ended | For the Year Ended | ||||||
12/31/20 | 12/31/19 | 12/31/20 | 12/31/19 | ||||
Operations: | |||||||
Net investment income | $ 6,070,562 | $ 6,785,891 | $ 17,127,875 | $ 23,941,182 | |||
Net realized gain (loss) on investment securities, foreign currency and derivatives | 23,458,023 | 4,754,284 | (6,807,750) | (3,994,830) | |||
Net change in unrealized appreciation (depreciation) on investment securities, foreign currency and derivatives | 2,385,498 | 18,229,682 | 20,298,840 | 39,095,675 | |||
Net increase in net assets resulting from operations | 31,914,083 | 29,769,857 | 30,618,965 | 59,042,027 | |||
Distributions to Shareholders: | |||||||
Institutional shares | (9,254,477) | (4,926,054) | (7,088,527) | (16,524,236) | |||
Investor shares | (8,680,435) | (4,865,967) | (1,604,868) | (3,697,240) | |||
Total distributions | (17,934,912) | (9,792,021) | (8,693,395) | (20,221,476) | |||
Capital Share Transactions: | |||||||
Proceeds from shares sold | |||||||
Institutional shares | 43,918,461 | 20,612,237 | 46,411,542 | 70,146,932 | |||
Investor shares | 82,539,247 | 38,819,908 | 36,929,960 | 39,444,364 | |||
Reinvestment of dividends and distributions | |||||||
Institutional shares | 9,234,603 | 4,921,573 | 7,083,831 | 16,514,524 | |||
Investor shares | 8,664,838 | 4,851,622 | 1,575,516 | 3,666,832 | |||
Total proceeds from shares sold and reinvested | 144,357,149 | 69,205,340 | 92,000,849 | 129,772,652 | |||
Value of shares redeemed | |||||||
Institutional shares | (55,113,702) | (15,737,574) | (98,572,205) | (40,079,129) | |||
Investor shares | (118,260,391) | (37,177,678) | (46,644,841) | (42,099,782) | |||
Total value of shares redeemed | (173,374,093) | (52,915,252) | (145,217,046) | (82,178,911) | |||
Net increase (decrease) from capital share transactions(1) | (29,016,944) | 16,290,088 | (53,216,197) | 47,593,741 | |||
Total increase (decrease) in net assets | (15,037,773) | 36,267,924 | (31,290,627) | 86,414,292 | |||
Net Assets: | |||||||
Beginning of Year | 256,684,855 | 220,416,931 | 610,089,725 | 523,675,433 | |||
End of Year | $ 241,647,082 | $256,684,855 | $ 578,799,098 | $610,089,725 |
(1) | See Note 6 in Notes to Financial Statements. |
FINANCIAL HIGHLIGHTS |
For a Share Outstanding For the Years Ending December 31, unless otherwise indicated | Ratios to Average Net Assets | |||||||||||||
Net Asset Value, Beginning of Year | Net Investment Income# | Realized and Unrealized Gain (Loss) on Investments | Total Income From Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Capital Gains | Total Distributions Paid | Net Asset Value, End of Year | Total Return | Net Assets, End of Year (000) | Expenses, Net | Expenses, Gross | Investment Income, Net | Portfolio Turnover Rate | |
Money Market Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2020 | $ 1.00 | $ —† | $ —† | $ —† | $ —† | $ — | $ —† | $ 1.00 | 0.43% | $1,168,144 | 0.14% | 0.15% | 0.39% | N/A |
2019 | 1.00 | 0.02 | —† | 0.02 | (0.02) | — | (0.02) | 1.00 | 2.13 | 904,202 | 0.14 | 0.14 | 2.10 | N/A |
2018 | 1.00 | 0.02 | —† | 0.02 | (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 | (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 |
Investor Class | ||||||||||||||
2020 | $ 1.00 | $ —† | $ —† | $ —† | $ —† | $ — | $ —† | $ 1.00 | 0.28% | $ 475,081 | 0.29% | 0.42% | 0.25% | N/A |
2019 | 1.00 | 0.02 | —† | 0.02 | (0.02) | — | (0.02) | 1.00 | 1.85 | 391,966 | 0.42 | 0.42 | 1.83 | N/A |
2018 | 1.00 | 0.01 | —† | 0.01 | (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 | (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 |
Low-Duration Bond Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2020 | $13.40 | $0.19 | $ 0.26 | $ 0.45 | $(0.23) | $ — | $(0.23) | $13.62 | 3.42% | $ 822,079 | 0.35% | 0.35% | 1.44% | 220% |
2019 | 13.21 | 0.32 | 0.20 | 0.52 | (0.33) | — | (0.33) | 13.40 | 3.99 | 761,737 | 0.35 | 0.35 | 2.39 | 525 |
2018 | 13.35 | 0.30 | (0.12) | 0.18 | (0.32) | — | (0.32) | 13.21 | 1.36 | 602,968 | 0.35 | 0.35 | 2.30 | 513 |
2017 | 13.34 | 0.21 | 0.01 | 0.22 | (0.21) | — | (0.21) | 13.35 | 1.69 | 592,325 | 0.35 | 0.36 | 1.60 | 102 |
2016 | 13.30 | 0.19 | 0.05(1) | 0.24 | (0.20) | — | (0.20) | 13.34 | 1.74 | 585,590 | 0.37 | 0.38 | 1.46 | 398 |
Investor Class | ||||||||||||||
2020 | $13.40 | $0.16 | $ 0.26 | $ 0.42 | $(0.20) | $ — | $(0.20) | $13.62 | 3.16% | $ 240,682 | 0.62% | 0.62% | 1.17% | 220% |
2019 | 13.21 | 0.29 | 0.20 | 0.49 | (0.30) | — | (0.30) | 13.40 | 3.71 | 232,967 | 0.62 | 0.62 | 2.16 | 525 |
2018 | 13.35 | 0.27 | (0.13) | 0.14 | (0.28) | — | (0.28) | 13.21 | 1.10 | 305,475 | 0.61 | 0.61 | 2.03 | 513 |
2017 | 13.34 | 0.18 | 0.01 | 0.19 | (0.18) | — | (0.18) | 13.35 | 1.42 | 310,208 | 0.62 | 0.63 | 1.33 | 102 |
2016 | 13.27 | 0.16 | 0.03(1) | 0.19 | (0.12) | — | (0.12) | 13.34 | 1.47 | 280,701 | 0.64 | 0.65 | 1.18 | 398 |
Medium-Duration Bond Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2020 | $15.05 | $0.33 | $ 1.03 | $ 1.36 | $(0.37) | $(0.39) | $(0.76) | $15.65 | 9.13% | $1,694,858 | 0.38% | 0.38% | 2.12% | 444% |
2019 | 14.28 | 0.43 | 0.96 | 1.39 | (0.42) | (0.20) | (0.62) | 15.05 | 9.81 | 1,476,286 | 0.39 | 0.39 | 2.90 | 433 |
2018 | 14.75 | 0.40 | (0.47) | (0.07) | (0.40) | — | (0.40) | 14.28 | (0.46) | 1,240,967 | 0.37 | 0.38 | 2.76 | 431 |
2017 | 14.46 | 0.34 | 0.26 | 0.60 | (0.31) | — | (0.31) | 14.75 | 4.13 | 1,138,597 | 0.39 | 0.40 | 2.32 | 387 |
2016 | 14.44 | 0.37 | 0.08(1) | 0.45 | (0.39) | (0.04) | (0.43) | 14.46 | 3.21 | 815,430 | 0.45 | 0.46 | 2.50 | 337 |
Investor Class | ||||||||||||||
2020 | $15.06 | $0.29 | $ 1.02 | $ 1.31 | $(0.32) | $(0.39) | $(0.71) | $15.66 | 8.84% | $ 421,106 | 0.65% | 0.65% | 1.84% | 444% |
2019 | 14.28 | 0.39 | 0.97 | 1.36 | (0.38) | (0.20) | (0.58) | 15.06 | 9.58 | 307,912 | 0.65 | 0.65 | 2.63 | 433 |
2018 | 14.75 | 0.36 | (0.47) | (0.11) | (0.36) | — | (0.36) | 14.28 | (0.72) | 270,107 | 0.64 | 0.65 | 2.49 | 431 |
2017 | 14.46 | 0.30 | 0.26 | 0.56 | (0.27) | — | (0.27) | 14.75 | 3.93 | 269,362 | 0.66 | 0.67 | 2.05 | 387 |
2016 | 14.31 | 0.33 | 0.08(1) | 0.41 | (0.22) | (0.04) | (0.26) | 14.46 | 2.88 | 215,783 | 0.72 | 0.73 | 2.24 | 337 |
# | Calculated using the average shares outstanding method. |
† | Amount represents less than $0.005 per share. |
(1) | 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. |
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 | Total Income From Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Capital Gains | Total Distributions Paid | Net Asset Value, End of Year | Total Return | Net Assets, End of Year (000) | Expenses, Net | Expenses, Gross | Investment Income, Net | Portfolio Turnover Rate | |
Extended-Duration Bond Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2020 | $18.23 | $0.45 | $ 1.84 | $ 2.29 | $(0.46) | $(0.88) | $(1.34) | $19.18 | 12.80% | $132,817 | 0.56% | 0.56% | 2.32% | 91% |
2019 | 16.73 | 0.52 | 1.72 | 2.24 | (0.51) | (0.23) | (0.74) | 18.23 | 13.51 | 127,884 | 0.57 | 0.57 | 2.93 | 39 |
2018 | 17.94 | 0.54 | (1.09) | (0.55) | (0.53) | (0.13) | (0.66) | 16.73 | (3.07) | 108,206 | 0.55 | 0.56 | 3.16 | 45 |
2017 | 16.90 | 0.59 | 1.13 | 1.72 | (0.56) | (0.12) | (0.68) | 17.94 | 10.38 | 122,526 | 0.57 | 0.58 | 3.37 | 93 |
2016 | 17.37 | 0.70 | 0.63(1) | 1.33 | (0.98) | (0.82) | (1.80) | 16.90 | 7.65 | 115,558 | 0.56 | 0.57 | 3.81 | 50 |
Investor Class | ||||||||||||||
2020 | $18.23 | $0.39 | $ 1.85 | $ 2.24 | $(0.41) | $(0.88) | $(1.29) | $19.18 | 12.49% | $108,830 | 0.83% | 0.83% | 2.02% | 91% |
2019 | 16.74 | 0.48 | 1.70 | 2.18 | (0.46) | (0.23) | (0.69) | 18.23 | 13.14 | 128,801 | 0.83 | 0.83 | 2.66 | 39 |
2018 | 17.95 | 0.49 | (1.09) | (0.60) | (0.48) | (0.13) | (0.61) | 16.74 | (3.34) | 112,211 | 0.82 | 0.83 | 2.89 | 45 |
2017 | 16.90 | 0.54 | 1.15 | 1.69 | (0.52) | (0.12) | (0.64) | 17.95 | 10.13 | 125,072 | 0.85 | 0.85 | 3.09 | 93 |
2016 | 16.76 | 0.64 | 0.56(1) | 1.20 | (0.34) | (0.72) | (1.06) | 16.90 | 7.23 | 119,443 | 0.84 | 0.85 | 3.51 | 50 |
Global Bond Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2020 | $10.01 | $0.29 | $ 0.23 | $ 0.52 | $(0.07) | $(0.08) | $(0.15) | $10.38 | 5.28% | $460,852 | 0.56% | 0.56% | 2.91% | 95% |
2019 | 9.32 | 0.42 | 0.62 | 1.04 | (0.35) | — | (0.35) | 10.01 | 11.31 | 486,865 | 0.54 | 0.54 | 4.30 | 59 |
2018 | 10.08 | 0.43 | (0.88) | (0.45) | (0.31) | — | (0.31) | 9.32 | (4.51) | 409,257 | 0.53 | 0.55 | 4.50 | 23 |
2017 | 9.68 | 0.42 | 0.35 | 0.77 | (0.37) | — | (0.37) | 10.08 | 8.09 | 405,411 | 0.56 | 0.58 | 4.18 | 31 |
2016 | 9.08 | 0.45 | 0.56(1) | 1.01 | (0.41) | — | (0.41) | 9.68 | 11.24 | 338,475 | 0.59 | 0.60 | 4.73 | 28 |
Investor Class | ||||||||||||||
2020 | $10.00 | $0.26 | $ 0.22 | $ 0.48 | $(0.06) | $(0.08) | $(0.14) | $10.34 | 4.93% | $117,947 | 0.85% | 0.85% | 2.64% | 95% |
2019 | 9.31 | 0.40 | 0.62 | 1.02 | (0.33) | — | (0.33) | 10.00 | 11.03 | 123,225 | 0.82 | 0.82 | 4.02 | 59 |
2018 | 10.07 | 0.41 | (0.88) | (0.47) | (0.29) | — | (0.29) | 9.31 | (4.73) | 114,418 | 0.80 | 0.82 | 4.22 | 23 |
2017 | 9.68 | 0.39 | 0.35 | 0.74 | (0.35) | — | (0.35) | 10.07 | 7.69 | 123,120 | 0.83 | 0.85 | 3.89 | 31 |
2016 | 9.08 | 0.42 | 0.56(1) | 0.98 | (0.38) | — | (0.38) | 9.68 | 10.91 | 89,412 | 0.88 | 0.89 | 4.42 | 28 |
# | Calculated using the average shares outstanding method. |
(1) | 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. |
% | |
Corporate Bonds | 26.8 |
U.S. Treasury Obligations | 16.7 |
Health Care | 8.7 |
Consumer Staples | 7.9 |
Money Market Funds | 7.1 |
Information Technology | 6.8 |
Financials | 6.1 |
Industrials | 5.6 |
Utilities | 4.3 |
Communication Services | 2.5 |
Foreign Bonds | 2.1 |
Consumer Discretionary | 1.8 |
Materials | 1.9 |
Equity-Linked Securities | 1.0 |
Energy | 0.6 |
Mutual Funds | 0.4 |
Real Estate | 0.1 |
Written Options | (0.1) |
100.3 |
Average Annual Total Returns as of 12/31/20 | |||||||
Institutional Class* | Investor Class* | Benchmark** | |||||
One Year | 10.08% | 9.86% | 9.98% | ||||
Five Year | 10.36% | 10.07% | 8.28% | ||||
Ten year | N/A | N/A | N/A | ||||
Since Inception | 10.08% | 9.80% | 7.92% | ||||
Inception Date | 09/01/11 | 09/01/11 | |||||
Total Fund Operating Expenses (May 1, 2020 Prospectus)(1) | 0.68% | 0.94% |
(1) | Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights. |
Shares | Value | |||
COMMON STOCKS — 39.2% | ||||
Communication Services — 2.5% | ||||
Activision Blizzard, Inc. | 3,154 | $ 292,849 | ||
Alphabet, Inc. Class A* | 2,500 | 4,381,600 | ||
Alphabet, Inc. Class C* | 474 | 830,391 | ||
AT&T, Inc. | 28,564 | 821,501 | ||
Cable One, Inc. | 53 | 118,069 | ||
CenturyLink, Inc. | 1,651 | 16,097 | ||
Charter Communications, Inc. Class A* | 858 | 567,610 | ||
Comcast Corporation Class A | 7,578 | 397,087 | ||
Electronic Arts, Inc. | 520 | 74,672 | ||
Facebook, Inc. Class A* | 16,616 | 4,538,827 | ||
Fox Corporation Class A | 620 | 18,054 | ||
Interpublic Group of Cos., Inc. (The) | 1,178 | 27,707 | ||
Netflix, Inc.* | 2,302 | 1,244,760 | ||
New York Times Co. (The) Class A | 22,640 | 1,172,073 | ||
Omnicom Group, Inc. | 595 | 37,110 | ||
Take-Two Interactive Software, Inc.* | 254 | 52,779 | ||
T-Mobile US, Inc.* | 28,027 | 3,779,441 | ||
Twitter, Inc.* | 1,198 | 64,872 | ||
Verizon Communications, Inc. | 248,315 | 14,588,506 | ||
ViacomCBS, Inc. Class B | 1,128 | 42,029 | ||
Walt Disney Co. (The)* | 3,221 | 583,581 | ||
33,649,615 | ||||
Consumer Discretionary — 1.7% | ||||
Advance Auto Parts, Inc. | 122 | 19,216 | ||
Amazon.com, Inc.* | 1,779 | 5,794,078 | ||
AutoZone, Inc.* | 38 | 45,047 | ||
Best Buy Co., Inc. | 3,971 | 396,266 | ||
Booking Holdings, Inc.* | 618 | 1,376,453 | ||
BorgWarner, Inc. | 232 | 8,964 | ||
CarMax, Inc.* | 194 | 18,325 | ||
Carnival Corporation | 785 | 17,003 | ||
Chipotle Mexican Grill, Inc.* | 41 | 56,855 | ||
D.R. Horton, Inc. | 708 | 48,795 | ||
Darden Restaurants, Inc. | 223 | 26,564 | ||
Dick's Sporting Goods, Inc.Δ | 3,636 | 204,380 | ||
Dollar General Corporation | 446 | 93,794 | ||
Dollar Tree, Inc.* | 447 | 48,294 | ||
eBay, Inc. | 1,311 | 65,878 | ||
Expedia Group, Inc. | 208 | 27,539 | ||
Ford Motor Co. | 5,961 | 52,397 | ||
General Motors Co. | 1,694 | 70,538 | ||
Genuine Parts Co. | 247 | 24,806 | ||
Hanesbrands, Inc. | 827 | 12,058 | ||
Hasbro, Inc. | 196 | 18,334 | ||
Hilton Worldwide Holdings, Inc. | 512 | 56,965 | ||
Home Depot, Inc. (The) | 14,418 | 3,829,709 | ||
Leggett & Platt, Inc. | 362 | 16,037 | ||
Lennar Corporation Class A | 374 | 28,510 | ||
LKQ Corporation* | 377 | 13,285 | ||
Lowe’s Cos., Inc. | 4,380 | 703,034 | ||
Lululemon Athletica, Inc.* | 5,326 | 1,853,608 | ||
Marriott International, Inc. Class A | 579 | 76,382 |
Shares | Value | |||
McDonald’s Corporation | 1,444 | $ 309,854 | ||
Newell Brands, Inc. | 1,034 | 21,952 | ||
NIKE, Inc. Class B | 13,792 | 1,951,154 | ||
Norwegian Cruise Line Holdings, Ltd.* | 381 | 9,689 | ||
NVR, Inc.* | 4 | 16,319 | ||
O’Reilly Automotive, Inc.* | 106 | 47,972 | ||
Ollie's Bargain Outlet Holdings, Inc.* | 915 | 74,820 | ||
PulteGroup, Inc. | 555 | 23,932 | ||
Ralph Lauren Corporation | 137 | 14,212 | ||
Ross Stores, Inc. | 601 | 73,809 | ||
Royal Caribbean Cruises, Ltd. | 441 | 32,938 | ||
Starbucks Corporation | 2,041 | 218,346 | ||
Target Corporation | 21,600 | 3,813,048 | ||
Tesla, Inc.* | 1,170 | 825,634 | ||
Tiffany & Co. | 215 | 28,262 | ||
TJX Cos., Inc. (The) | 2,117 | 144,570 | ||
Tractor Supply Co. | 240 | 33,739 | ||
Ulta Beauty, Inc.* | 77 | 22,111 | ||
VF Corporation | 646 | 55,175 | ||
Whirlpool Corporation | 122 | 22,020 | ||
Williams-Sonoma, Inc. | 2,252 | 229,344 | ||
Yum! Brands, Inc. | 520 | 56,451 | ||
23,028,465 | ||||
Consumer Staples — 6.6% | ||||
Archer-Daniels-Midland Co. | 503 | 25,356 | ||
Campbell Soup Co. | 310 | 14,989 | ||
Casey’s General Stores, Inc. | 8,888 | 1,587,575 | ||
Church & Dwight Co., Inc. | 5,382 | 469,472 | ||
Clorox Co. (The) | 12,451 | 2,514,106 | ||
Coca-Cola Co. (The) | 75,667 | 4,149,578 | ||
Colgate-Palmolive Co. | 135,482 | 11,585,066 | ||
Conagra Brands, Inc. | 599 | 21,720 | ||
Costco Wholesale Corporation | 9,909 | 3,733,513 | ||
Estee Lauder Cos., Inc. (The) Class A | 12,619 | 3,359,052 | ||
Flowers Foods, Inc. | 21,035 | 476,022 | ||
General Mills, Inc. | 14,914 | 876,943 | ||
Hershey Co. (The) | 34,371 | 5,235,734 | ||
Hormel Foods Corporation | 70,212 | 3,272,581 | ||
Ingredion, Inc. | 9,811 | 771,831 | ||
J.M. Smucker Co. (The) | 250 | 28,900 | ||
Kellogg Co. | 44,581 | 2,774,276 | ||
Kimberly-Clark Corporation | 22,853 | 3,081,270 | ||
Kraft Heinz Co. (The) | 1,212 | 42,008 | ||
Kroger Co. (The) | 58,749 | 1,865,868 | ||
Lamb Weston Holdings, Inc. | 177 | 13,937 | ||
McCormick & Co., Inc. (Non-Voting Shares) | 18,824 | 1,799,574 | ||
Mondelez International, Inc. Class A | 99,149 | 5,797,242 | ||
Monster Beverage Corporation* | 23,352 | 2,159,593 | ||
PepsiCo, Inc. | 74,284 | 11,016,317 | ||
Procter & Gamble Co. (The) | 58,127 | 8,087,791 | ||
Sprouts Farmers Market, Inc.* | 4,827 | 97,023 | ||
Sysco Corporation | 786 | 58,368 | ||
Tyson Foods, Inc. Class A | 450 | 28,998 |
Shares | Value | |||
Walgreens Boots Alliance, Inc. | 1,543 | $ 61,535 | ||
Walmart, Inc. | 92,829 | 13,381,300 | ||
88,387,538 | ||||
Energy — 0.4% | ||||
Apache Corporation | 581 | 8,244 | ||
Baker Hughes Co. | 1,062 | 22,143 | ||
Cabot Oil & Gas Corporation | 765 | 12,454 | ||
Chevron Corporation | 49,538 | 4,183,484 | ||
Concho Resources, Inc. | 317 | 18,497 | ||
ConocoPhillips | 11,069 | 442,649 | ||
Devon Energy Corporation | 701 | 11,083 | ||
Diamondback Energy, Inc. | 209 | 10,116 | ||
EOG Resources, Inc. | 850 | 42,390 | ||
Exxon Mobil Corporation | 7,775 | 320,485 | ||
Halliburton Co. | 1,147 | 21,678 | ||
Hess Corporation | 364 | 19,216 | ||
Kinder Morgan, Inc. | 3,804 | 52,001 | ||
Marathon Petroleum Corporation | 1,299 | 53,727 | ||
Occidental Petroleum Corporation | 1,165 | 20,166 | ||
ONEOK, Inc. | 621 | 23,834 | ||
Phillips 66 | 752 | 52,595 | ||
Pioneer Natural Resources Co. | 180 | 20,500 | ||
Valero Energy Corporation | 667 | 37,732 | ||
Williams Cos., Inc. (The) | 2,719 | 54,516 | ||
5,427,510 | ||||
Financials — 5.1% | ||||
Aflac, Inc. | 42,401 | 1,885,572 | ||
Allstate Corporation (The) | 25,257 | 2,776,502 | ||
American Express Co. | 1,103 | 133,364 | ||
American International Group, Inc. | 1,388 | 52,550 | ||
Ameriprise Financial, Inc. | 12,644 | 2,457,109 | ||
Arthur J. Gallagher & Co. | 390 | 48,247 | ||
Bank of America Corporation | 12,976 | 393,303 | ||
Bank of New York Mellon Corporation (The) | 131,702 | 5,589,433 | ||
Berkshire Hathaway, Inc. Class B* | 2,868 | 665,003 | ||
BlackRock, Inc. | 6,197 | 4,471,383 | ||
Capital One Financial Corporation | 592 | 58,519 | ||
Capitol Federal Financial, Inc. | 210,700 | 2,633,750 | ||
Cboe Global Markets, Inc. | 177 | 16,482 | ||
Charles Schwab Corporation (The) | 81,545 | 4,325,147 | ||
Cincinnati Financial Corporation | 358 | 31,278 | ||
Citigroup, Inc. | 3,771 | 232,520 | ||
Citizens Financial Group, Inc. | 836 | 29,895 | ||
CME Group, Inc. | 15,853 | 2,886,039 | ||
Comerica, Inc. | 302 | 16,870 | ||
Commerce Bancshares, Inc. | 14,089 | 925,641 | ||
Discover Financial Services | 702 | 63,552 | ||
Erie Indemnity Co. Class A | 861 | 211,462 | ||
Everest Re Group, Ltd. | 3,554 | 831,956 | ||
Fifth Third Bancorp | 1,381 | 38,074 | ||
First Republic Bank | 1,752 | 257,421 | ||
Franklin Resources, Inc. | 699 | 17,468 | ||
Goldman Sachs Group, Inc. (The) | 545 | 143,722 | ||
Hartford Financial Services Group, Inc. (The) | 633 | 31,004 | ||
Huntington Bancshares, Inc. | 1,877 | 23,707 |
Shares | Value | |||
Intercontinental Exchange, Inc. | 14,483 | $ 1,669,745 | ||
Invesco, Ltd. | 1,559 | 27,173 | ||
JPMorgan Chase & Co. | 62,798 | 7,979,742 | ||
KeyCorp | 1,880 | 30,851 | ||
Lincoln National Corporation | 388 | 19,520 | ||
M&T Bank Corporation | 1,587 | 202,025 | ||
Markel Corporation* | 89 | 91,964 | ||
MarketAxess Holdings, Inc. | 74 | 42,221 | ||
Marsh & McLennan Cos., Inc. | 82,705 | 9,676,485 | ||
MetLife, Inc. | 1,466 | 68,829 | ||
Moody’s Corporation | 198 | 57,468 | ||
Morgan Stanley | 2,315 | 158,647 | ||
MSCI, Inc. | 128 | 57,156 | ||
Northern Trust Corporation | 42,270 | 3,937,028 | ||
People’s United Financial, Inc. | 674 | 8,715 | ||
PNC Financial Services Group, Inc. (The) | 10,829 | 1,613,521 | ||
Principal Financial Group, Inc. | 556 | 27,583 | ||
Progressive Corporation (The) | 38,094 | 3,766,735 | ||
Prudential Financial, Inc. | 758 | 59,177 | ||
Raymond James Financial, Inc. | 162 | 15,499 | ||
Regions Financial Corporation | 1,185 | 19,102 | ||
RenaissanceRe Holdings, Ltd. | 2,135 | 354,026 | ||
S&P Global, Inc. | 943 | 309,992 | ||
SEI Investments Co. | 4,799 | 275,799 | ||
State Street Corporation | 604 | 43,959 | ||
SVB Financial Group* | 73 | 28,312 | ||
Synchrony Financial | 757 | 26,275 | ||
T. Rowe Price Group, Inc. | 20,139 | 3,048,843 | ||
TFS Financial Corporation | 6,505 | 114,683 | ||
Travelers Cos., Inc. (The) | 15,209 | 2,134,887 | ||
Truist Financial Corporation | 2,408 | 115,415 | ||
U.S. Bancorp | 2,787 | 129,846 | ||
Unum Group | 295 | 6,767 | ||
Wells Fargo & Co. | 6,147 | 185,516 | ||
Zions Bancorp NA | 159 | 6,907 | ||
67,557,386 | ||||
Health Care — 5.9% | ||||
Abbott Laboratories | 34,641 | 3,792,843 | ||
ABIOMED, Inc.* | 2,308 | 748,254 | ||
Agilent Technologies, Inc. | 6,618 | 784,167 | ||
Alexion Pharmaceuticals, Inc.* | 526 | 82,182 | ||
Align Technology, Inc.* | 133 | 71,072 | ||
Amgen, Inc. | 14,918 | 3,429,947 | ||
Anthem, Inc. | 1,677 | 538,468 | ||
Baxter International, Inc. | 1,831 | 146,919 | ||
Becton, Dickinson and Co. | 15,062 | 3,768,814 | ||
Biogen, Inc.* | 8,470 | 2,073,964 | ||
Bio-Rad Laboratories, Inc. Class A* | 99 | 57,711 | ||
Boston Scientific Corporation* | 2,122 | 76,286 | ||
Bristol-Myers Squibb Co. | 20,140 | 1,249,284 | ||
Cardinal Health, Inc. | 670 | 35,885 | ||
Catalent, Inc.* | 772 | 80,342 | ||
Centene Corporation* | 1,047 | 62,851 | ||
Cerner Corporation | 14,635 | 1,148,555 | ||
Chemed Corporation | 3,666 | 1,952,548 | ||
Cigna Corporation | 613 | 127,614 |
Shares | Value | |||
CVS Health Corporation | 2,417 | $ 165,081 | ||
Danaher Corporation | 11,230 | 2,494,632 | ||
DaVita, Inc.* | 199 | 23,363 | ||
DENTSPLY SIRONA, Inc. | 352 | 18,431 | ||
DexCom, Inc.* | 33 | 12,201 | ||
Edwards Lifesciences Corporation* | 15,510 | 1,414,977 | ||
Eli Lilly and Co. | 26,817 | 4,527,782 | ||
Gilead Sciences, Inc. | 2,481 | 144,543 | ||
HCA Healthcare, Inc. | 518 | 85,190 | ||
Henry Schein, Inc.* | 12,361 | 826,456 | ||
Hologic, Inc.* | 508 | 36,998 | ||
Humana, Inc. | 232 | 95,183 | ||
IDEXX Laboratories, Inc.* | 111 | 55,486 | ||
Illumina, Inc.* | 2,578 | 953,860 | ||
Incyte Corporation* | 414 | 36,010 | ||
Intuitive Surgical, Inc.* | 5,006 | 4,095,409 | ||
IQVIA Holdings, Inc.* | 898 | 160,895 | ||
Johnson & Johnson | 151,735 | 23,880,054 | ||
Laboratory Corporation of America Holdings* | 160 | 32,568 | ||
McKesson Corporation | 251 | 43,654 | ||
Mettler-Toledo International, Inc.* | 2,059 | 2,346,601 | ||
PerkinElmer, Inc. | 318 | 45,633 | ||
Quest Diagnostics, Inc. | 21,521 | 2,564,658 | ||
Regeneron Pharmaceuticals, Inc.* | 3,105 | 1,500,057 | ||
ResMed, Inc. | 252 | 53,565 | ||
Seagen, Inc.Δ* | 5,949 | 1,041,908 | ||
Stryker Corporation | 8,775 | 2,150,226 | ||
Teladoc Health, Inc.Δ* | 2,067 | 413,317 | ||
Teleflex, Inc. | 72 | 29,633 | ||
UnitedHealth Group, Inc. | 11,744 | 4,118,386 | ||
Universal Health Services, Inc. Class B | 110 | 15,125 | ||
Vertex Pharmaceuticals, Inc.* | 687 | 162,366 | ||
Viatris, Inc.* | 3,491 | 65,421 | ||
Waters Corporation* | 639 | 158,101 | ||
West Pharmaceutical Services, Inc. | 3,639 | 1,030,965 | ||
Zimmer Biomet Holdings, Inc. | 334 | 51,466 | ||
Zoetis, Inc. | 20,714 | 3,428,167 | ||
78,506,074 | ||||
Industrials — 5.0% | ||||
3M Co. | 15,811 | 2,763,605 | ||
A.O. Smith Corporation | 278 | 15,240 | ||
Alaska Air Group, Inc. | 219 | 11,388 | ||
American Airlines Group, Inc. | 534 | 8,421 | ||
AMETEK, Inc. | 185 | 22,374 | ||
Boeing Co. (The) | 924 | 197,791 | ||
C.H. Robinson Worldwide, Inc. | 11,401 | 1,070,212 | ||
Carrier Global Corporation | 1,485 | 56,014 | ||
Caterpillar, Inc. | 1,447 | 263,383 | ||
Cintas Corporation | 3,496 | 1,235,696 | ||
Copart, Inc.* | 6,132 | 780,297 | ||
CoStar Group, Inc.* | 830 | 767,152 | ||
CSX Corporation | 1,343 | 121,877 | ||
Cummins, Inc. | 1,096 | 248,902 | ||
Deere & Co. | 531 | 142,866 | ||
Delta Air Lines, Inc. | 1,297 | 52,152 |
Shares | Value | |||
Dover Corporation | 192 | $ 24,240 | ||
Emerson Electric Co. | 145,044 | 11,657,186 | ||
Equifax, Inc. | 203 | 39,147 | ||
Expeditors International of Washington, Inc. | 24,038 | 2,286,254 | ||
Fastenal Co. | 891 | 43,508 | ||
FedEx Corporation | 4,105 | 1,065,740 | ||
Flowserve Corporation | 291 | 10,723 | ||
Fortive Corporation | 3,752 | 265,717 | ||
Fortune Brands Home & Security, Inc. | 191 | 16,373 | ||
General Dynamics Corporation | 433 | 64,439 | ||
General Electric Co. | 15,358 | 165,866 | ||
Honeywell International, Inc. | 4,298 | 914,185 | ||
Hubbell, Inc. | 39,389 | 6,175,801 | ||
Huntington Ingalls Industries, Inc. | 90 | 15,343 | ||
IDEX Corporation | 1,433 | 285,454 | ||
IHS Markit, Ltd. | 500 | 44,915 | ||
Illinois ToolWorks, Inc. | 17,470 | 3,561,784 | ||
Ingersoll-Rand, Inc.* | 380 | 17,313 | ||
J.B. Hunt Transport Services, Inc. | 166 | 22,684 | ||
Jacobs Engineering Group, Inc. | 178 | 19,395 | ||
Kansas City Southern | 154 | 31,436 | ||
L3Harris Technologies, Inc. | 371 | 70,126 | ||
Landstar System, Inc. | 11,312 | 1,523,274 | ||
Lockheed Martin Corporation | 484 | 171,810 | ||
Masco Corporation | 401 | 22,027 | ||
Norfolk Southern Corporation | 29,807 | 7,082,441 | ||
Northrop Grumman Corporation | 281 | 85,626 | ||
Old Dominion Freight Line, Inc. | 12,375 | 2,415,352 | ||
Otis Worldwide Corporation | 742 | 50,122 | ||
PACCAR, Inc. | 29,513 | 2,546,382 | ||
Parker-Hannifin Corporation | 215 | 58,568 | ||
Raytheon Technologies Corporation | 27,430 | 1,961,519 | ||
Republic Services, Inc. | 51,966 | 5,004,326 | ||
Robert Half International, Inc. | 5,324 | 332,644 | ||
Rockwell Automation, Inc. | 3,263 | 818,393 | ||
Rollins, Inc. | 55,857 | 2,182,333 | ||
Roper Technologies, Inc. | 116 | 50,006 | ||
Snap-on, Inc. | 112 | 19,168 | ||
Southwest Airlines Co. | 955 | 44,513 | ||
Stanley Black & Decker, Inc. | 256 | 45,711 | ||
Textron, Inc. | 272 | 13,146 | ||
TransDigm Group, Inc.* | 70 | 43,319 | ||
Union Pacific Corporation | 6,995 | 1,456,499 | ||
United Airlines Holdings, Inc.* | 286 | 12,369 | ||
United Parcel Service, Inc. Class B | 16,423 | 2,765,633 | ||
United Rentals, Inc.* | 123 | 28,525 | ||
Verisk Analytics, Inc. | 1,169 | 242,673 | ||
W.W. Grainger, Inc. | 55 | 22,459 | ||
Waste Management, Inc. | 29,459 | 3,474,100 | ||
Westinghouse Air Brake Technologies Corporation | 214 | 15,665 | ||
Xylem, Inc. | 293 | 29,824 | ||
67,073,426 | ||||
Information Technology — 6.5% | ||||
Adobe, Inc.* | 7,858 | 3,929,943 | ||
Advanced Micro Devices, Inc.* | 8,975 | 823,097 |
Shares | Value | |||
Akamai Technologies, Inc.* | 10,273 | $ 1,078,562 | ||
Amphenol Corporation Class A | 6,519 | 852,490 | ||
Analog Devices, Inc. | 587 | 86,718 | ||
ANSYS, Inc.* | 1,329 | 483,490 | ||
Apple, Inc. | 50,276 | 6,671,122 | ||
Applied Materials, Inc. | 5,668 | 489,148 | ||
Arista Networks, Inc.* | 84 | 24,408 | ||
Autodesk, Inc.* | 1,085 | 331,294 | ||
Automatic Data Processing, Inc. | 44,553 | 7,850,239 | ||
Broadcom, Inc. | 1,644 | 719,825 | ||
Broadridge Financial Solutions, Inc. | 168 | 25,738 | ||
Cadence Design Systems, Inc.* | 408 | 55,663 | ||
CDW Corporation | 222 | 29,257 | ||
Cisco Systems, Inc. | 142,994 | 6,398,981 | ||
Citrix Systems, Inc. | 233 | 30,313 | ||
Cognex Corporation | 12,291 | 986,783 | ||
Cognizant Technology Solutions Corporation Class A | 8,638 | 707,884 | ||
Corning, Inc. | 1,225 | 44,100 | ||
Crowdstrike Holdings, Inc. Class A* | 3,500 | 741,370 | ||
DocuSign, Inc.* | 1,994 | 443,266 | ||
DXC Technology Co. | 631 | 16,248 | ||
F5 Networks, Inc.* | 4,816 | 847,327 | ||
Fidelity National Information Services, Inc. | 926 | 130,992 | ||
Fiserv, Inc.* | 822 | 93,593 | ||
FleetCor Technologies, Inc.* | 120 | 32,740 | ||
FLIR Systems, Inc. | 145 | 6,355 | ||
Fortinet, Inc.* | 228 | 33,865 | ||
Gartner, Inc.* | 84 | 13,456 | ||
Global Payments, Inc. | 464 | 99,955 | ||
Hewlett Packard Enterprise Co. | 2,988 | 35,408 | ||
HP, Inc. | 2,404 | 59,114 | ||
Intel Corporation | 46,005 | 2,291,969 | ||
International Business Machines Corporation | 1,670 | 210,220 | ||
Intuit, Inc. | 10,315 | 3,918,153 | ||
Jack Henry & Associates, Inc. | 7,048 | 1,141,706 | ||
Keysight Technologies, Inc.* | 264 | 34,872 | ||
KLA Corporation | 325 | 84,146 | ||
Lam Research Corporation | 260 | 122,790 | ||
Leidos Holdings, Inc. | 268 | 28,172 | ||
Mastercard, Inc. Class A | 11,097 | 3,960,963 | ||
Maxim Integrated Products, Inc. | 543 | 48,137 | ||
Microchip Technology, Inc. | 397 | 54,830 | ||
Micron Technology, Inc.* | 1,913 | 143,819 | ||
Microsoft Corporation | 62,521 | 13,905,921 | ||
Motorola Solutions, Inc. | 293 | 49,828 | ||
NetApp, Inc. | 596 | 39,479 | ||
NortonLifeLock, Inc. | 1,116 | 23,190 | ||
NVIDIA Corporation | 5,725 | 2,989,595 | ||
Oracle Corporation | 19,013 | 1,229,951 | ||
Paychex, Inc. | 15,966 | 1,487,712 | ||
Paycom Software, Inc.* | 80 | 36,180 | ||
PayPal Holdings, Inc.* | 2,028 | 474,958 | ||
Qorvo, Inc.* | 113 | 18,789 | ||
QUALCOMM, Inc. | 1,972 | 300,414 | ||
salesforce.com, Inc.* | 3,260 | 725,448 |
Shares | Value | |||
ServiceNow, Inc.* | 324 | $ 178,339 | ||
Skyworks Solutions, Inc. | 3,766 | 575,746 | ||
Synopsys, Inc.* | 220 | 57,033 | ||
Texas Instruments, Inc. | 77,491 | 12,718,598 | ||
VeriSign, Inc.* | 180 | 38,952 | ||
Visa, Inc. Class AΔ | 19,624 | 4,292,358 | ||
Vontier Corporation* | 121 | 4,041 | ||
Western Digital Corporation | 357 | 19,774 | ||
Western Union Co. (The) | 1,340 | 29,400 | ||
Workday, Inc. Class A* | 1,129 | 270,520 | ||
Xilinx, Inc. | 433 | 61,386 | ||
Zebra Technologies Corporation Class A* | 42 | 16,142 | ||
Zoom Video Communications, Inc. Class A* | 2,913 | 982,613 | ||
86,738,888 | ||||
Materials — 1.1% | ||||
Air Products and Chemicals, Inc. | 4,747 | 1,296,975 | ||
Albemarle Corporation | 215 | 31,717 | ||
Ball Corporation | 503 | 46,870 | ||
Celanese Corporation | 213 | 27,677 | ||
CF Industries Holdings, Inc. | 450 | 17,420 | ||
Corteva, Inc. | 1,360 | 52,659 | ||
Dow, Inc. | 1,415 | 78,532 | ||
DuPont de Nemours, Inc. | 1,360 | 96,710 | ||
Eastman Chemical Co. | 225 | 22,563 | ||
Ecolab, Inc. | 16,442 | 3,557,391 | ||
FMC Corporation | 110 | 12,642 | ||
Freeport-McMoRan, Inc. | 1,705 | 44,364 | ||
International Flavors & Fragrances, Inc. | 140 | 15,238 | ||
International Paper Co. | 998 | 49,621 | ||
Martin Marietta Materials, Inc. | 3,299 | 936,817 | ||
Newmont Corporation | 30,207 | 1,809,097 | ||
Nucor Corporation | 652 | 34,680 | ||
Packaging Corporation of America | 24,567 | 3,388,035 | ||
PPG Industries, Inc. | 6,306 | 909,451 | ||
Royal Gold, Inc. | 1,162 | 123,590 | ||
Sealed Air Corporation | 385 | 17,629 | ||
Sherwin-Williams Co. (The) | 1,986 | 1,459,531 | ||
Vulcan Materials Co. | 148 | 21,950 | ||
14,051,159 | ||||
Real Estate — 0.1% | ||||
Alexandria Real Estate Equities, Inc. REIT | 172 | 30,654 | ||
American Tower Corporation REIT | 742 | 166,549 | ||
AvalonBay Communities, Inc. REIT | 239 | 38,343 | ||
Boston Properties, Inc. REIT | 257 | 24,294 | ||
CBRE Group, Inc. Class A* | 366 | 22,956 | ||
Crown Castle International Corporation REIT | 714 | 113,662 | ||
Digital Realty Trust, Inc. REIT | 362 | 50,503 | ||
Equinix, Inc. REIT | 151 | 107,841 | ||
Equity Residential REIT | 647 | 38,354 | ||
Essex Property Trust, Inc. REIT | 71 | 16,857 | ||
Extra Space Storage, Inc. REIT | 205 | 23,751 | ||
Federal Realty Investment Trust REIT | 105 | 8,938 |
Shares | Value | |||
Healthpeak Properties, Inc. REIT | 1,300 | $ 39,299 | ||
Host Hotels & Resorts, Inc. REIT | 1,318 | 19,282 | ||
Iron Mountain, Inc. REIT | 1,187 | 34,993 | ||
Kimco Realty Corporation REIT | 1,153 | 17,307 | ||
Mid-America Apartment Communities, Inc. REIT | 202 | 25,591 | ||
Prologis, Inc. REIT | 1,241 | 123,678 | ||
Public Storage REIT | 316 | 72,974 | ||
Realty Income Corporation REIT | 702 | 43,643 | ||
Regency Centers Corporation REIT | 353 | 16,093 | ||
SBA Communications Corporation REIT | 150 | 42,320 | ||
Simon Property Group, Inc. REIT | 626 | 53,385 | ||
SL Green Realty Corporation REIT | 174 | 10,367 | ||
UDR, Inc. REIT | 300 | 11,529 | ||
Ventas, Inc. REIT | 882 | 43,253 | ||
Vornado Realty Trust REIT | 299 | 11,165 | ||
Welltower, Inc. REIT | 697 | 45,040 | ||
Weyerhaeuser Co. REIT | 1,010 | 33,865 | ||
1,286,486 | ||||
Utilities — 4.3% | ||||
AES Corporation (The) | 1,420 | 33,370 | ||
Ameren Corporation | 30,573 | 2,386,528 | ||
American Electric Power Co., Inc. | 12,026 | 1,001,405 | ||
American Water Works Co., Inc. | 12,926 | 1,983,753 | ||
Atmos Energy Corporation | 86,866 | 8,289,622 | ||
CenterPoint Energy, Inc. | 792 | 17,139 | ||
CMS Energy Corporation | 355 | 21,659 | ||
Consolidated Edison, Inc. | 18,667 | 1,349,064 | ||
Dominion Energy, Inc. | 26,559 | 1,997,237 | ||
DTE Energy Co. | 13,361 | 1,622,159 | ||
Duke Energy Corporation | 40,623 | 3,719,442 | ||
Edison International | 661 | 41,524 | ||
Entergy Corporation | 334 | 33,347 | ||
Evergy, Inc. | 108,933 | 6,046,871 | ||
Eversource Energy | 45,321 | 3,920,720 | ||
Exelon Corporation | 1,489 | 62,866 | ||
FirstEnergy Corporation | 986 | 30,181 | ||
IDACORP, Inc. | 4,963 | 476,597 | ||
NextEra Energy, Inc. | 49,703 | 3,834,586 | ||
NRG Energy, Inc. | 488 | 18,324 | ||
ONE Gas, Inc. | 99,002 | 7,600,384 | ||
Pinnacle West Capital Corporation | 19,630 | 1,569,418 | ||
PPL Corporation | 5,186 | 146,245 | ||
Public Service Enterprise Group, Inc. | 25,685 | 1,497,436 | ||
Sempra Energy | 10,162 | 1,294,740 | ||
Southern Co. (The) | 2,193 | 134,716 | ||
Spire, Inc. | 105,340 | 6,745,974 | ||
WEC Energy Group, Inc. | 14,843 | 1,366,001 | ||
Xcel Energy, Inc. | 10,724 | 714,969 | ||
57,956,277 | ||||
Total Common Stocks (Cost $375,242,371) | 523,662,824 | |||
FOREIGN COMMON STOCKS — 5.9% | ||||
Curacao — 0.0% | ||||
Schlumberger NV | 2,511 | 54,815 |
Shares | Value | |||
France — 0.2% | ||||
TOTAL SEΔ | 66,923 | $ 2,886,004 | ||
Ireland — 2.5% | ||||
Accenture PLC Class A | 15,654 | 4,088,981 | ||
Allegion PLC | 106 | 12,336 | ||
Aon PLC Class A | 5,570 | 1,176,774 | ||
Eaton Corporation PLC | 837 | 100,557 | ||
Jazz Pharmaceuticals PLC* | 4,769 | 787,124 | ||
Johnson Controls International PLC | 1,673 | 77,945 | ||
Linde PLC | 27,113 | 7,144,547 | ||
Medtronic PLC | 163,352 | 19,135,053 | ||
Pentair PLC | 294 | 15,609 | ||
Seagate Technology PLC | 595 | 36,985 | ||
Trane Technologies PLC | 431 | 62,564 | ||
Willis Towers Watson PLC | 205 | 43,189 | ||
32,681,664 | ||||
Japan — 0.1% | ||||
Toyota Motor Corporation | 24,100 | 1,859,800 | ||
Jersey — 0.1% | ||||
Amcor PLC | 3,739 | 44,008 | ||
Aptiv PLC | 486 | 63,321 | ||
Janus Henderson Group PLC | 28,300 | 920,033 | ||
1,027,362 | ||||
Netherlands — 0.6% | ||||
Akzo Nobel NV | 30,900 | 3,316,626 | ||
Koninklijke Ahold Delhaize NV | 130,653 | 3,688,639 | ||
LyondellBasell Industries NV Class A | 522 | 47,846 | ||
QIAGEN NV* | 15,582 | 823,509 | ||
7,876,620 | ||||
Switzerland — 1.9% | ||||
ABB, Ltd. | 50,000 | 1,402,461 | ||
Chubb, Ltd. | 47,388 | 7,293,961 | ||
Garmin, Ltd. | 2,465 | 294,962 | ||
Nestle SA | 50,900 | 6,016,956 | ||
Roche Holding AG | 30,700 | 10,692,766 | ||
TE Connectivity, Ltd. | 416 | 50,365 | ||
25,751,471 | ||||
United Kingdom — 0.5% | ||||
Nielsen Holdings PLC | 758 | 15,819 | ||
TechnipFMC PLC | 1,083 | 10,180 | ||
Unilever PLC (Amsterdam Exchange) | 110,100 | 6,666,675 | ||
6,692,674 | ||||
Total Foreign Common Stocks (Cost $65,932,991) | 78,830,410 | |||
PREFERRED STOCKS — 1.2% | ||||
Becton Dickinson and Co. | ||||
6.00% 06/01/23 CONV | 98,871 | 5,450,758 | ||
Stanley Black & Decker, Inc. | ||||
(Step to 10.00% on 05/15/23), 5.00% CONV STEP | 5,435 | 6,522,000 |
Shares | Value | |||
Wells Fargo & Co. | ||||
7.50% 02/27/20 CONV | 2,655 | $ 4,030,025 | ||
Total Preferred Stocks (Cost $14,586,332) | 16,002,783 | |||
FOREIGN PREFERRED STOCK — 0.0% | ||||
Jersey — 0.0% | ||||
Aptiv PLC | ||||
5.50% 06/15/23 CONV (Cost $488,187) | 4,840 | 746,812 | ||
MUTUAL FUNDS — 0.4% | ||||
iShares Russell 1000 Value ETFΔ (Cost $4,390,585) | 36,861 | 5,040,005 |
Par | |||
CORPORATE BONDS — 26.8% | |||
Akamai Technologies, Inc. | |||
0.13%, 05/01/25 CONV | $2,869,000 | 3,565,153 | |
0.38%, 09/01/27 CONV | 2,330,000 | 2,607,917 | |
Allscripts Healthcare Solutions, Inc. | |||
0.88%, 01/01/27 144A CONV | 2,547,000 | 3,261,495 | |
Altair Engineering, Inc. | |||
0.25%, 06/01/24 CONV | 625,000 | 859,466 | |
Alteryx, Inc. | |||
0.50%, 08/01/24 CONVΔ | 2,446,000 | 2,542,569 | |
1.00%, 08/01/26 CONV | 706,000 | 748,666 | |
American Eagle Outfitters, Inc. | |||
3.75%, 04/15/25 144A CONV | 1,041,000 | 2,540,282 | |
Ares Capital Corporation | |||
3.75%, 02/01/22 CONV | 2,830,000 | 2,907,825 | |
4.63%, 03/01/24 CONV | 505,000 | 534,038 | |
Bank of America Corporation | |||
(Variable, ICE LIBOR USD 3M + 2.66%), 4.30%, 01/28/25ρΔ^ | 1,830,000 | 1,889,127 | |
(Variable, ICE LIBOR USD 3M + 2.93%), 5.88%, 03/15/28ρ^ | 3,011,000 | 3,409,718 | |
Bank of New York Mellon Corporation (The) | |||
(Variable, ICE LIBOR USD 3M + 3.42%), 3.66%, 03/20/21†ρ | 798,000 | 798,895 | |
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 4.36%), 4.70%, 09/20/25ρ^ | 268,000 | 296,220 | |
BioMarin Pharmaceutical, Inc. | |||
0.60%, 08/01/24 CONVΔ | 5,471,000 | 5,884,538 | |
Blackline, Inc. | |||
0.13%, 08/01/24 CONV | 1,806,000 | 3,400,095 | |
Blackstone Mortgage Trust, Inc. REIT | |||
4.75%, 03/15/23 CONV | 5,218,000 | 5,246,693 | |
BofA Finance LLC | |||
0.25%, 05/01/23 CONV | 1,496,000 | 1,568,943 |
Par | Value | |||
Booking Holdings, Inc. | ||||
0.75%, 05/01/25 144A CONVΔ | $3,658,000 | $5,332,660 | ||
Burlington Stores, Inc. | ||||
2.25%, 04/15/25 144A CONV | 2,510,000 | 3,489,558 | ||
Charles Schwab Corporation (The) | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 4.97%), 5.38%, 06/01/25ρ^ | 974,000 | 1,087,227 | ||
(Variable, ICE LIBOR USD 3M + 2.58%), 5.00%, 12/01/27ρ^ | 1,119,000 | 1,195,931 | ||
Chegg, Inc. | ||||
(0.23)%, 09/01/26 144AΩ CONV | 3,693,000 | 4,148,042 | ||
Citigroup, Inc. | ||||
(Variable, ICE LIBOR USD 3M + 4.07%), 5.95%, 01/30/23ρ^ | 1,792,000 | 1,881,615 | ||
Coherus Biosciences, Inc. | ||||
1.50%, 04/15/26 144A CONV | 1,260,000 | 1,463,753 | ||
CONMED Corporation | ||||
2.63%, 02/01/24 CONV | 2,136,000 | 2,996,529 | ||
Coupa Software, Inc. | ||||
0.38%, 06/15/26 144A CONV | 2,032,000 | 2,742,726 | ||
Datadog, Inc. | ||||
0.13%, 06/15/25 144A CONV | 1,596,000 | 2,097,904 | ||
DexCom, Inc. | ||||
0.75%, 12/01/23 CONV | 2,000 | 4,552 | ||
0.25%, 11/15/25 144A CONV | 3,231,000 | 3,265,249 | ||
DISH Network Corporation | ||||
3.38%, 08/15/26 CONV | 4,978,000 | 4,757,632 | ||
Dominion Energy, Inc. | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 2.99%), 4.65%, 12/15/24ρ^ | 2,125,000 | 2,246,204 | ||
Duke Energy Corporation | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 3.39%), 4.88%, 09/16/24ρ^ | 2,800,000 | 3,038,924 | ||
Enphase Energy, Inc. | ||||
0.25%, 03/01/25 144A CONV | 588,000 | 1,335,566 | ||
Envestnet, Inc. | ||||
1.75%, 06/01/23 CONV | 1,357,000 | 1,799,191 | ||
0.75%, 08/15/25 144A CONV | 1,075,000 | 1,123,525 | ||
Envista Holdings Corporation | ||||
2.38%, 06/01/25 144A CONV | 300,000 | 522,078 | ||
EQT Corporation | ||||
1.75%, 05/01/26 144A CONVΔ | 1,689,000 | 1,995,979 | ||
Etsy, Inc. | ||||
0.13%, 10/01/26 CONV | 1,033,000 | 2,196,933 | ||
0.13%, 09/01/27 144A CONVΔ | 2,739,000 | 3,401,996 | ||
Euronet Worldwide, Inc. | ||||
0.75%, 03/15/49 CONV | 3,380,000 | 3,837,686 | ||
Exact Sciences Corporation | ||||
1.00%, 01/15/25 CONV | 800,000 | 1,519,049 |
Par | Value | |||
0.38%, 03/15/27 CONV | $1,840,000 | $2,555,475 | ||
FireEye, Inc. | ||||
0.88%, 06/01/24 CONV | 2,643,000 | 3,223,988 | ||
Five9, Inc. | ||||
0.50%, 06/01/25 144A CONV | 2,107,000 | 3,071,275 | ||
Fortive Corporation | ||||
0.88%, 02/15/22 CONV | 2,705,000 | 2,796,115 | ||
FTI Consulting, Inc. | ||||
2.00%, 08/15/23 CONV | 1,617,000 | 2,028,526 | ||
Greenbrier Cos., Inc. (The) | ||||
2.88%, 02/01/24 CONV | 1,416,000 | 1,437,907 | ||
Guardant Health, Inc. | ||||
(0.03)%, 11/15/27 144AΩ CONV | 1,569,000 | 1,843,615 | ||
Herbalife Nutrition, Ltd. | ||||
2.63%, 03/15/24 CONV | 2,089,000 | 2,230,461 | ||
HubSpot, Inc. | ||||
0.38%, 06/01/25 144A CONV | 1,211,000 | 1,874,876 | ||
IH Merger Sub LLC REIT | ||||
3.50%, 01/15/22 CONV | 1,587,000 | 2,126,986 | ||
II-VI, Inc. | ||||
0.25%, 09/01/22 CONV | 1,002,000 | 1,675,570 | ||
Illumina, Inc. | ||||
0.50%, 06/15/21 CONV | 620,000 | 909,151 | ||
(0.52)%, 08/15/23Ω CONV | 2,981,000 | 3,389,712 | ||
Inphi Corporation | ||||
0.75%, 04/15/25 144A CONV | 2,261,000 | 3,183,549 | ||
Insight Enterprises, Inc. | ||||
0.75%, 02/15/25 CONV | 2,749,000 | 3,505,997 | ||
Insulet Corporation | ||||
0.38%, 09/01/26 CONV | 3,103,000 | 4,106,043 | ||
Integra LifeSciences Holdings Corporation | ||||
0.50%, 08/15/25 144A CONV | 1,738,000 | 1,921,214 | ||
InterDigital, Inc. | ||||
2.00%, 06/01/24 CONV | 1,042,000 | 1,101,499 | ||
Ionis Pharmaceuticals, Inc. | ||||
0.13%, 12/15/24 CONV | 1,179,000 | 1,209,149 | ||
Ironwood Pharmaceuticals, Inc. | ||||
0.75%, 06/15/24 CONV | 1,001,000 | 1,121,607 | ||
1.50%, 06/15/26 CONV | 746,000 | 839,941 | ||
J2 Global, Inc. | ||||
1.75%, 11/01/26 144A CONV | 887,000 | 923,668 | ||
3.25%, 06/15/29 CONV | 983,000 | 1,443,924 | ||
Jazz Investments I, Ltd. | ||||
1.50%, 08/15/24 CONV | 282,000 | 300,809 | ||
2.00%, 06/15/26 144A CONV | 3,996,000 | 5,220,193 | ||
JPMorgan Chase & Co. | ||||
(Variable, ICE LIBOR USD 3M + 3.47%), 3.68%, 04/30/21†ρ | 2,686,000 | 2,686,610 |
Par | Value | |||
(Variable, U.S. SOFR + 3.38%), 5.00%, 08/01/24ρ^ | $5,266,000 | $5,544,523 | ||
(Variable, U.S. SOFR + 3.13%), 4.60%, 02/01/25ρ^ | 2,505,000 | 2,589,544 | ||
KBR, Inc. | ||||
2.50%, 11/01/23 CONV | 2,298,000 | 3,155,506 | ||
LendingTree, Inc. | ||||
0.50%, 07/15/25 144A CONV | 920,000 | 897,118 | ||
Liberty Broadband Corporation | ||||
1.25%, 09/30/50 144A CONV | 1,080,000 | 1,095,672 | ||
2.75%, 09/30/50 144A CONV | 2,431,000 | 2,606,669 | ||
Liberty Media Corp-Liberty Formula One | ||||
1.00%, 01/30/23 CONV | 1,231,000 | 1,573,982 | ||
Liberty Media Corporation | ||||
1.38%, 10/15/23 CONV | 636,000 | 807,083 | ||
2.13%, 03/31/48 144A CONV | 4,651,000 | 4,862,768 | ||
Live Nation Entertainment, Inc. | ||||
2.50%, 03/15/23 CONVΔ | 3,017,000 | 3,909,429 | ||
2.00%, 02/15/25 144A CONV | 3,329,000 | 3,556,160 | ||
Lumentum Holdings, Inc. | ||||
0.50%, 12/15/26 CONV | 3,347,000 | 4,098,067 | ||
Marriott Vacations Worldwide Corporation | ||||
1.50%, 09/15/22 CONV | 4,331,000 | 4,924,240 | ||
Match Group Financeco 3, Inc. | ||||
2.00%, 01/15/30 144A CONV | 1,475,000 | 2,860,270 | ||
Medallia, Inc. | ||||
0.13%, 09/15/25 144A CONV | 2,519,000 | 2,807,330 | ||
Meritor, Inc. | ||||
3.25%, 10/15/37 CONV | 2,514,000 | 2,891,770 | ||
Microchip Technology, Inc. | ||||
0.13%, 11/15/24 CONV | 1,472,000 | 1,629,639 | ||
1.63%, 02/15/27 CONV | 1,880,000 | 3,807,193 | ||
National Vision Holdings, Inc. | ||||
2.50%, 05/15/25 144A CONV | 1,331,000 | 2,149,565 | ||
NCL Corporation, Ltd. | ||||
5.38%, 08/01/25 144A CONV | 1,469,000 | 2,493,140 | ||
Neurocrine Biosciences, Inc. | ||||
2.25%, 05/15/24 CONV | 838,000 | 1,164,630 | ||
New Relic, Inc. | ||||
0.50%, 05/01/23 CONV | 1,051,000 | 1,032,330 | ||
NextEra Energy Partners LP | ||||
0.41%, 11/15/25 144AΩ CONV | 1,762,000 | 1,766,960 | ||
NortonLifeLock, Inc. | ||||
2.00%, 08/15/22 144A CONV | 1,854,000 | 2,183,547 |
Par | Value | |||
Nuance Communications, Inc. | ||||
1.00%, 12/15/35 CONV | $1,647,000 | $3,073,590 | ||
NuVasive, Inc. | ||||
1.00%, 06/01/23 144A CONV | 4,071,000 | 4,192,900 | ||
Okta, Inc. | ||||
0.38%, 06/15/26 144A CONV | 4,105,000 | 5,282,210 | ||
ON Semiconductor Corporation | ||||
1.63%, 10/15/23 CONV | 2,674,000 | 4,486,930 | ||
Palo Alto Networks, Inc. | ||||
0.75%, 07/01/23 CONV | 4,007,000 | 5,661,510 | ||
Pandora Media LLC | ||||
1.75%, 12/01/23 CONV | 1,378,000 | 1,612,228 | ||
Parsons Corporation | ||||
0.25%, 08/15/25 144A CONV | 1,822,000 | 1,910,897 | ||
Pegasystems, Inc. | ||||
0.75%, 03/01/25 144A CONV | 3,041,000 | 3,600,058 | ||
Pioneer Natural Resources Co. | ||||
0.25%, 05/15/25 144A CONV | 1,865,000 | 2,487,329 | ||
Progressive Corporation (The) | ||||
(Variable, ICE LIBOR USD 3M + 2.54%), 5.38%, 03/15/23ρ^ | 1,025,000 | 1,071,125 | ||
Proofpoint, Inc. | ||||
0.25%, 08/15/24 CONV | 2,448,000 | 2,753,121 | ||
Pure Storage, Inc. | ||||
0.13%, 04/15/23 CONV | 3,012,000 | 3,327,110 | ||
Q2 Holdings, Inc. | ||||
0.75%, 06/01/26 CONV | 1,073,000 | 1,648,818 | ||
Rapid7, Inc. | ||||
2.25%, 05/01/25 144A CONV | 2,507,000 | 4,081,195 | ||
RealPage, Inc. | ||||
1.50%, 05/15/25 CONV | 1,720,000 | 2,220,611 | ||
Redfin Corporation | ||||
0.00%, 10/15/25 144AΩ CONV | 913,000 | 1,095,735 | ||
Repligen Corporation | ||||
0.38%, 07/15/24 CONVΔ | 473,000 | 830,115 | ||
RH | ||||
1.14%, 06/15/23Ω CONV | 1,277,000 | 2,995,867 | ||
RingCentral, Inc. | ||||
0.00%, 03/01/25 144AΩ CONV | 4,154,000 | 5,319,559 | ||
0.00%, 03/15/26 144AΩ CONV | 1,298,000 | 1,508,745 | ||
Sabre GLBL, Inc. | ||||
4.00%, 04/15/25 144A CONV | 499,000 | 897,950 | ||
Sailpoint Technologies Holdings, Inc. | ||||
0.13%, 09/15/24 CONV | 1,210,000 | 2,362,356 | ||
Shift4 Payments, Inc. | ||||
0.00%, 12/15/25 144AΩ CONV | 1,055,000 | 1,292,675 | ||
Silicon Laboratories, Inc. | ||||
0.63%, 06/15/25 144A CONV | 4,183,000 | 5,274,625 | ||
Slack Technologies, Inc. | ||||
0.50%, 04/15/25 144A CONV | 1,233,000 | 1,814,694 |
Par | Value | |||
Snap, Inc. | ||||
0.75%, 08/01/26 CONV | $ 837,000 | $1,898,295 | ||
SolarEdge Technologies, Inc. | ||||
(0.95)%, 09/15/25 144AΩ CONV | 2,285,000 | 3,146,614 | ||
Southwest Airlines Co. | ||||
1.25%, 05/01/25 CONV | 2,258,000 | 3,291,035 | ||
Splunk, Inc. | ||||
0.50%, 09/15/23 CONV | 440,000 | 576,240 | ||
1.13%, 06/15/27 144A CONV | 3,990,000 | 4,166,969 | ||
Square, Inc. | ||||
0.13%, 03/01/25 144A CONV | 2,160,000 | 4,075,790 | ||
Starwood Property Trust, Inc. REIT | ||||
4.38%, 04/01/23 CONV | 1,735,000 | 1,727,669 | ||
Stride, Inc. | ||||
1.13%, 09/01/27 144A CONV | 2,208,000 | 1,802,709 | ||
Supernus Pharmaceuticals, Inc. | ||||
0.63%, 04/01/23 CONV | 1,007,000 | 960,014 | ||
Tabula Rasa HealthCare, Inc. | ||||
1.75%, 02/15/26 144A CONV | 891,000 | 851,083 | ||
Tandem Diabetes Care, Inc. | ||||
1.50%, 05/01/25 144A CONV | 1,209,000 | 1,429,876 | ||
Teladoc Health, Inc. | ||||
1.25%, 06/01/27 144A CONV | 2,627,000 | 3,159,506 | ||
Twitter, Inc. | ||||
0.25%, 06/15/24 CONVΔ | 3,088,000 | 3,739,549 | ||
U.S. Bancorp | ||||
(Variable, ICE LIBOR USD 3M + 2.91%), 5.30%, 04/15/27ρ^ | 3,536,000 | 3,985,956 | ||
Vail Resorts, Inc. | ||||
0.00%, 01/01/26 144AΩ CONV | 1,956,000 | 2,001,431 | ||
Varonis Systems, Inc. | ||||
1.25%, 08/15/25 144A CONV | 1,450,000 | 2,692,142 | ||
Vonage Holdings Corporation | ||||
1.75%, 06/01/24 CONV | 755,000 | 822,972 | ||
Wayfair, Inc. | ||||
0.63%, 10/01/25 144A CONV | 3,136,000 | 2,974,912 | ||
Western Digital Corporation | ||||
1.50%, 02/01/24 CONV | 1,236,000 | 1,234,697 | ||
Winnebago Industries, Inc. | ||||
1.50%, 04/01/25 CONV | 2,252,000 | 2,678,278 | ||
Workday, Inc. | ||||
0.25%, 10/01/22 CONV | 1,280,000 | 2,145,220 | ||
Workiva, Inc. | ||||
1.13%, 08/15/26 CONV | 1,373,000 | 1,849,107 | ||
Zendesk, Inc. | ||||
0.63%, 06/15/25 144A CONV | 2,266,000 | 3,344,397 | ||
Zillow Group, Inc. | ||||
2.75%, 05/15/25 CONV | 1,306,000 | 2,721,405 | ||
Zscaler, Inc. | ||||
0.13%, 07/01/25 144A CONV | 2,273,000 | 3,390,220 |
Par | Value | |||
Zynga, Inc. | ||||
0.25%, 06/01/24 CONV | $3,546,000 | $ 4,747,004 | ||
0.00%, 12/15/26 144AΩ CONV | 1,347,000 | 1,420,765 | ||
Total Corporate Bonds (Cost $293,335,379) | 358,312,952 | |||
FOREIGN BONDS — 2.1% | ||||
Canada — 0.1% | ||||
Shopify, Inc. | ||||
0.13%, 11/01/25 CONV | 1,522,000 | 1,799,765 | ||
France — 0.6% | ||||
Cie Generale des Etablissements Michelin SCA | ||||
0.62%, 01/10/22Ω CONV | 1,400,000 | 1,395,364 | ||
TOTAL SE | ||||
0.50%, 12/02/22 CONV | 3,000,000 | 3,077,282 | ||
Vinci SA | ||||
0.38%, 02/16/22 CONVΔ | 3,200,000 | 3,629,832 | ||
8,102,478 | ||||
Israel — 0.9% | ||||
CyberArk Software, Ltd. | ||||
0.02%, 11/15/24Ω CONV | 3,464,000 | 4,219,616 | ||
Fiverr International, Ltd. | ||||
(0.87)%, 11/01/25 144AΩ CONV | 1,698,000 | 2,057,806 | ||
Nice, Ltd. | ||||
0.00%, 09/15/25 144AΩ CONV | 3,184,000 | 3,636,498 | ||
Wix.com, Ltd. | ||||
(0.15)%, 08/15/25 144AΩ CONV | 2,603,000 | 2,607,305 | ||
12,521,225 | ||||
Jersey — 0.2% | ||||
Novocure, Ltd. | ||||
(0.08)%, 11/01/25 144AΩ CONV | 1,576,000 | 2,025,686 | ||
Netherlands — 0.3% | ||||
STMicroelectronics NV | ||||
(5.18)%, 08/04/25Ω CONVΔ | 3,200,000 | 3,917,103 | ||
Total Foreign Bonds (Cost $25,967,004) | 28,366,257 |
Shares | |||
EQUITY-LINKED SECURITIES — 1.0% | |||
Berkshire Hathaway, Inc., Issued by Citigroup Global Markets Holdings, Inc., Maturity Date 02/16/21 144A††† | 7,000 | 1,488,900 | |
Berkshire Hathaway, Inc., Issued by Royal Bank of Canada, Maturity Date 04/13/21 144A CONV††† | 5,200 | 1,137,760 | |
Berkshire Hathaway, Inc., Issued by UBS AG, Maturity Date 01/11/21 144A††† | 5,900 | 1,103,329 | |
Berkshire Hathaway, Inc., Issued by UBS AG, Maturity Date 05/05/21 144A | 5,800 | 1,164,292 |
Shares | Value | |||
Charles Schwab Corporation (The), Issued by Credit Suisse AG, Maturity Date 02/22/21 144A | 34,500 | $ 1,214,572 | ||
Charles Schwab Corporation (The), Issued by Credit Suisse AG, Maturity Date 04/22/21 144A††† | 15,200 | 629,113 | ||
Charles Schwab Corporation (The), Issued by Credit Suisse AG, Maturity Date 05/25/21 144A | 18,000 | 885,960 | ||
Emerson Electric Co., Issued by Merrill Lynch International & Co. CV, Maturity Date 06/18/21 144A††† | 9,100 | 738,738 | ||
Martin Marietta Minerals, Inc., Issued by Citigroup Global Markets, Inc., Maturity Date 04/09/21 144A | 2,500 | 647,138 | ||
Martin Marietta Minerals, Inc., Issued by Goldman Sachs International, Maturity Date 03/02/21 144A††† | 3,000 | 645,465 | ||
Martin Marietta Minerals, Inc., Issued by Goldman Sachs International, Maturity Date 03/04/21 144A | 2,300 | 485,767 | ||
Norfolk Southern Corporation, Issued by Royal Bank of Canada, Maturity Date 05/21/21 144A††† | 5,000 | 1,223,650 | ||
W&C Instruments, Issued by Merrill Lynch International & Co. CV, Maturity Date 02/22/21 144A††† (Cost $1,568,437) | 7,400 | 1,611,074 | ||
Total Equity-Linked Securities (Cost $12,828,888) | 12,975,758 | |||
MONEY MARKET FUNDS — 7.1% | ||||
GuideStone Money Market Fund, 0.00% (Institutional Class)Ø∞ | 85,865,832 | 85,865,832 | ||
Northern Institutional Liquid Assets Portfolio (Shares), 0.08%ا | 7,790,329 | 7,790,329 | ||
Northern Institutional U.S. Government Portfolio (Shares), 0.00%Ø | 1,292,201 | 1,292,201 | ||
Total Money Market Funds (Cost $94,948,362) | 94,948,362 |
Par | |||
U.S. TREASURY OBLIGATIONS — 16.7% | |||
U.S. Treasury Bills | |||
0.19%, 02/25/21Ω | $ 825,000 | 824,932 | |
0.18%, 03/25/21Ω | 15,000,000 | 14,997,833 | |
0.16%, 04/22/21Ω | 28,225,000 | 28,219,073 | |
0.17%, 05/20/21Ω | 9,065,000 | 9,062,560 | |
0.14%, 06/17/21Ω | 45,100,000 | 45,085,105 | |
0.12%, 08/12/21Ω | 44,900,000 | 44,879,009 | |
0.12%, 09/09/21Ω | 34,470,000 | 34,451,834 | |
0.12%, 10/07/21Ω | 16,000,000 | 15,990,187 | |
0.10%, 11/04/21Ω | 7,660,000 | 7,654,744 | |
0.10%, 12/02/21Ω | 2,950,000 | 2,947,579 | |
U.S. Treasury Notes | |||
2.75%, 08/15/21 | 8,000,000 | 8,131,124 |
Par | Value | |||
2.88%, 11/15/21 | $10,960,000 | $ 11,221,262 | ||
Total U.S. Treasury Obligations (Cost $223,407,654) | 223,465,242 | |||
TOTAL INVESTMENTS — 100.4% (Cost $1,111,127,753) | 1,342,351,405 |
Number of Contracts | Notional Amount | ||||
WRITTEN OPTIONS — (0.1)% | |||||
Call Options — (0.0)% | |||||
S&P 500®, Strike Price $3,790.00, Expires 01/06/21 (MSCS) | (11) | $ (4,131,677) | (13,893) | ||
S&P 500®, Strike Price $3,795.00, Expires 01/08/21 (MSCS) | (12) | (4,507,284) | (19,680) | ||
S&P 500®, Strike Price $3,805.00, Expires 01/06/21 (MSCS) | (11) | (4,131,677) | (9,108) | ||
S&P 500®, Strike Price $3,805.00, Expires 01/08/21 (MSCS) | (11) | (4,131,677) | (14,190) | ||
S&P 500®, Strike Price $3,820.00, Expires 01/11/21 (MSCS) | (11) | (4,131,677) | (12,760) | ||
S&P 500®, Strike Price $3,825.00, Expires 01/13/21 (MSCS) | (11) | (4,131,677) | (15,730) | ||
S&P 500®, Strike Price $3,825.00, Expires 01/15/21 (MSCS) | (11) | (4,131,677) | (19,954) | ||
S&P 500®, Strike Price $3,825.00, Expires 01/22/21 (MSCS) | (11) | (4,131,677) | (29,370) | ||
S&P 500®, Strike Price $3,850.00, Expires 01/19/21 (MSCS) | (11) | (4,131,677) | (15,521) | ||
S&P 500®, Strike Price $3,875.00, Expires 01/27/21 (MSCS)††† | (11) | (4,131,677) | (19,030) | ||
(169,236) | |||||
Put Options — (0.1)% | |||||
S&P 500®, Strike Price $3,460.00, Expires 01/08/21 (MSCS) | (54) | (20,282,778) | (15,930) | ||
S&P 500®, Strike Price $3,490.00, Expires 01/19/21 (MSCS) | (53) | (19,907,171) | (60,950) |
Number of Contracts | Notional Amount | Value | |||
S&P 500®, Strike Price $3,500.00, Expires 01/13/21 (MSCS) | (53) | $(19,907,171) | $ (40,545) | ||
S&P 500®, Strike Price $3,510.00, Expires 01/22/21 (MSCS) | (53) | (19,907,171) | (90,100) | ||
S&P 500®, Strike Price $3,540.00, Expires 01/27/21 (MSCS) | (53) | (19,907,171) | (131,440) | ||
S&P 500®, Strike Price $3,580.00, Expires 01/06/21 (MSCS) | (52) | (19,531,564) | (20,800) | ||
S&P 500®, Strike Price $3,590.00, Expires 01/15/21 (MSCS) | (51) | (19,155,957) | (86,802) | ||
S&P 500®, Strike Price $3,610.00, Expires 01/11/21 (MSCS) | (51) | (19,155,957) | (57,834) | ||
S&P 500®, Strike Price $3,625.00, Expires 01/08/21 (MSCS) | (51) | (19,155,957) | (51,255) | ||
S&P 500®, Strike Price $3,650.00, Expires 01/06/21 (MSCS) | (51) | (19,155,957) | (40,545) | ||
S&P 500®, Strike Price $3,670.00, Expires 01/04/21 (MSCS) | (51) | (19,155,957) | (14,994) | ||
Verizon Communications, Inc., Strike Price $56.00, Expires 01/15/21 (MSCS) | (25) | (146,875) | (5) | ||
Wal-Mart Stores, Inc., Strike Price $134.00, Expires 01/15/21 (MSCS) | (50) | (720,750) | (11) | ||
(611,211) | |||||
Total Written Options (Premiums received $(1,371,271)) | (780,447) | ||||
Liabilities in Excess of Other Assets — (0.3)% | (4,531,743) | ||||
NET ASSETS — 100.0% | $1,337,039,215 |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
03/31/21 | U.S. Dollars | 13,287,025 | Euro | 10,820,934 | CS | $ 40,253 | ||||||
03/31/21 | Euro | 327,579 | U.S. Dollars | 399,619 | CS | 1,397 | ||||||
Subtotal Appreciation | $ 41,650 | |||||||||||
03/31/21 | U.S. Dollars | 358,038 | Euro | 292,740 | CS | $ (328) | ||||||
03/31/21 | U.S. Dollars | 14,244,953 | Swiss Francs | 12,583,635 | MSCS | (7,341) |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
03/31/21 | U.S. Dollars | 1,453,761 | Japanese Yen | 150,769,600 | BOA | $ (7,984) | ||||||
Subtotal Depreciation | $(15,653) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at December 31, 2020 | $ 25,997 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Common Stocks | $ 523,662,824 | $523,662,824 | $ — | $ — | |||
Corporate Bonds | 358,312,952 | — | 358,312,952 | — | |||
Equity-Linked Securities | 12,975,758 | — | 4,397,729 | 8,578,029 | |||
Foreign Bonds | 28,366,257 | — | 28,366,257 | — | |||
Foreign Common Stocks: | |||||||
Japan | 1,859,800 | — | 1,859,800 | — | |||
Switzerland | 25,751,471 | 7,639,288 | 18,112,183 | — | |||
Other ^^ | 51,219,139 | 51,219,139 | — | — | |||
Total Foreign Common Stocks | 78,830,410 | 58,858,427 | 19,971,983 | — | |||
Foreign Preferred Stock | 746,812 | 746,812 | — | — | |||
Money Market Funds | 94,948,362 | 94,948,362 | — | — | |||
Mutual Funds | 5,040,005 | 5,040,005 | — | — | |||
Preferred Stocks | 16,002,783 | 16,002,783 | — | — | |||
U.S. Treasury Obligations | 223,465,242 | — | 223,465,242 | — | |||
Total Assets - Investments in Securities | $1,342,351,405 | $699,259,213 | $634,514,163 | $8,578,029 | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $ 41,650 | $ — | $ 41,650 | $ — | |||
Total Assets - Other Financial Instruments | $ 41,650 | $ — | $ 41,650 | $ — | |||
Liabilities: | |||||||
Investments in Securities: | |||||||
Written Options: | |||||||
Call Options | $ (169,236) | $ (150,206) | $ — | $ (19,030) | |||
Put Options | (611,211) | (611,211) | — | — | |||
Total Written Options | (780,447) | (761,417) | — | (19,030) | |||
Total Liabilities - Investments in Securities | $ (780,447) | $ (761,417) | $ — | $ (19,030) | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $ (15,653) | $ — | $ (15,653) | $ — | |||
Total Liabilities - Other Financial Instruments | $ (15,653) | $ — | $ (15,653) | $ — |
^^ | Classifications as defined in the Schedule of Investments. |
*** | Other financial instruments are derivative instruments, such as futures contracts and forward 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 "Forward Foreign Currency Contracts outstanding" disclosures. |
% | |
Information Technology | 27.1 |
Health Care | 12.7 |
Consumer Discretionary | 12.5 |
Communication Services | 10.8 |
Financials | 10.3 |
Industrials | 8.3 |
Consumer Staples | 6.5 |
Utilities | 2.8 |
Materials | 2.6 |
Real Estate | 2.3 |
Energy | 2.2 |
Money Market Funds | 1.7 |
99.8 |
Average Annual Total Returns as of 12/31/20 | |||||||
Institutional Class* | Investor Class* | Benchmark** | |||||
One Year | 18.19% | 17.89% | 18.34% | ||||
Five Year | 15.30% | 14.99% | 15.20% | ||||
Ten year | 13.92% | 13.67% | 13.87% | ||||
Since Inception | 8.11% | 7.96% | 8.28% | ||||
Inception Date | 08/27/01 | 08/27/01 | |||||
Total Fund Operating Expenses (May 1, 2020 Prospectus)(1) | 0.13% | 0.39% |
(1) | Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights. |
Shares | Value | |||
COMMON STOCKS — 95.0% | ||||
Communication Services — 10.8% | ||||
Activision Blizzard, Inc. | 58,450 | $ 5,427,082 | ||
Alphabet, Inc. Class A* | 22,635 | 39,671,006 | ||
Alphabet, Inc. Class C* | 23,016 | 40,321,270 | ||
AT&T, Inc. | 580,816 | 16,704,268 | ||
CenturyLink, Inc.Δ | 121,774 | 1,187,297 | ||
Charter Communications, Inc. Class A* | 12,503 | 8,271,360 | ||
Comcast Corporation Class A | 365,905 | 19,173,422 | ||
Discovery, Inc. Class AΔ* | 27,796 | 836,382 | ||
Discovery, Inc. Class C* | 15,921 | 416,971 | ||
DISH Network Corporation Class A* | 18,408 | 595,315 | ||
Electronic Arts, Inc. | 25,211 | 3,620,300 | ||
Facebook, Inc. Class A* | 186,055 | 50,822,784 | ||
Fox Corporation Class A | 31,129 | 906,476 | ||
Fox Corporation Class B | 9,099 | 262,779 | ||
Interpublic Group of Cos., Inc. (The) | 47,139 | 1,108,709 | ||
Live Nation Entertainment, Inc.Δ* | 10,940 | 803,871 | ||
Netflix, Inc.* | 34,494 | 18,651,941 | ||
News Corporation Class A | 13,865 | 249,154 | ||
News Corporation Class BΔ | 13,984 | 248,496 | ||
Omnicom Group, Inc. | 24,095 | 1,502,805 | ||
Take-Two Interactive Software, Inc.* | 10,102 | 2,099,095 | ||
T-Mobile US, Inc.* | 50,200 | 6,769,470 | ||
Twitter, Inc.* | 52,713 | 2,854,409 | ||
Verizon Communications, Inc. | 331,314 | 19,464,697 | ||
ViacomCBS, Inc. Class BΔ | 34,540 | 1,286,960 | ||
Walt Disney Co. (The)* | 142,641 | 25,843,696 | ||
269,100,015 | ||||
Consumer Discretionary — 12.3% | ||||
Advance Auto Parts, Inc. | 6,948 | 1,094,379 | ||
Amazon.com, Inc.* | 32,591 | 106,146,606 | ||
AutoZone, Inc.* | 2,011 | 2,383,920 | ||
Best Buy Co., Inc. | 15,833 | 1,579,975 | ||
Booking Holdings, Inc.* | 3,419 | 7,615,036 | ||
BorgWarner, Inc. | 6,279 | 242,621 | ||
CarMax, Inc.* | 16,274 | 1,537,242 | ||
Carnival Corporation | 37,542 | 813,160 | ||
Chipotle Mexican Grill, Inc.* | 1,816 | 2,518,265 | ||
D.R. Horton, Inc. | 20,166 | 1,389,841 | ||
Darden Restaurants, Inc. | 9,727 | 1,158,680 | ||
Dollar General Corporation | 21,152 | 4,448,266 | ||
Dollar Tree, Inc.* | 18,243 | 1,970,974 | ||
Domino’s Pizza, Inc. | 3,030 | 1,161,884 | ||
eBay, Inc. | 59,500 | 2,989,875 | ||
Etsy, Inc.Δ* | 9,267 | 1,648,692 | ||
Expedia Group, Inc. | 10,462 | 1,385,169 | ||
Ford Motor Co. | 322,040 | 2,830,732 | ||
Gap, Inc. (The) | 36,887 | 744,748 | ||
General Motors Co. | 106,950 | 4,453,398 | ||
Genuine Parts Co. | 12,313 | 1,236,595 | ||
Hanesbrands, Inc. | 14,216 | 207,269 | ||
Hasbro, Inc. | 10,784 | 1,008,735 | ||
Hilton Worldwide Holdings, Inc. | 25,822 | 2,872,956 | ||
Home Depot, Inc. (The) | 82,780 | 21,988,024 | ||
L Brands, Inc. | 18,529 | 689,093 |
Shares | Value | |||
Leggett & Platt, Inc. | 4,991 | $ 221,101 | ||
Lennar Corporation Class A | 21,185 | 1,614,933 | ||
LKQ Corporation* | 18,658 | 657,508 | ||
Lowe’s Cos., Inc. | 58,190 | 9,340,077 | ||
Marriott International, Inc. Class A | 24,143 | 3,184,945 | ||
McDonald’s Corporation | 61,562 | 13,209,974 | ||
Mohawk Industries, Inc.* | 2,387 | 336,448 | ||
Newell Brands, Inc. | 39,118 | 830,475 | ||
NIKE, Inc. Class B | 94,490 | 13,367,500 | ||
Norwegian Cruise Line Holdings, Ltd.Δ* | 15,478 | 393,606 | ||
NVR, Inc.* | 266 | 1,085,243 | ||
O’Reilly Automotive, Inc.* | 5,716 | 2,586,890 | ||
Pool Corporation | 3,147 | 1,172,257 | ||
PulteGroup, Inc. | 11,415 | 492,215 | ||
PVH Corporation | 2,959 | 277,820 | ||
Ralph Lauren Corporation | 2,058 | 213,497 | ||
Ross Stores, Inc. | 25,592 | 3,142,953 | ||
Royal Caribbean Cruises, Ltd. | 15,182 | 1,133,944 | ||
Starbucks Corporation | 94,517 | 10,111,429 | ||
Tapestry, Inc. | 24,199 | 752,105 | ||
Target Corporation | 41,380 | 7,304,811 | ||
Tesla, Inc.Δ* | 59,171 | 41,755,200 | ||
Tiffany & Co. | 9,641 | 1,267,309 | ||
TJX Cos., Inc. (The) | 90,590 | 6,186,391 | ||
Tractor Supply Co. | 7,490 | 1,052,944 | ||
Ulta Beauty, Inc.* | 3,840 | 1,102,694 | ||
Under Armour, Inc. Class A* | 20,379 | 349,907 | ||
Under Armour, Inc. Class C* | 9,410 | 140,021 | ||
VF Corporation | 27,573 | 2,355,010 | ||
Whirlpool Corporation | 2,806 | 506,455 | ||
Yum! Brands, Inc. | 25,974 | 2,819,737 | ||
305,081,534 | ||||
Consumer Staples — 6.5% | ||||
Archer-Daniels-Midland Co. | 58,262 | 2,936,987 | ||
Campbell Soup Co. | 28,952 | 1,399,829 | ||
Church & Dwight Co., Inc. | 27,416 | 2,391,498 | ||
Clorox Co. (The) | 12,213 | 2,466,049 | ||
Coca-Cola Co. (The) | 351,559 | 19,279,496 | ||
Colgate-Palmolive Co. | 85,113 | 7,278,013 | ||
Conagra Brands, Inc. | 41,499 | 1,504,754 | ||
Costco Wholesale Corporation | 33,471 | 12,611,203 | ||
Estee Lauder Cos., Inc. (The) Class A | 18,085 | 4,814,046 | ||
General Mills, Inc. | 62,909 | 3,699,049 | ||
Hershey Co. (The) | 15,496 | 2,360,506 | ||
Hormel Foods Corporation | 43,964 | 2,049,162 | ||
J.M. Smucker Co. (The) | 15,075 | 1,742,670 | ||
Kellogg Co. | 29,100 | 1,810,893 | ||
Kimberly-Clark Corporation | 31,736 | 4,278,965 | ||
Kraft Heinz Co. (The) | 75,933 | 2,631,838 | ||
Kroger Co. (The) | 64,489 | 2,048,171 | ||
Lamb Weston Holdings, Inc. | 17,029 | 1,340,863 | ||
McCormick & Co., Inc. (Non-Voting Shares) | 25,400 | 2,428,240 | ||
Mondelez International, Inc. Class A | 133,352 | 7,797,091 | ||
Monster Beverage Corporation* | 41,035 | 3,794,917 | ||
PepsiCo, Inc. | 130,365 | 19,333,130 |
Shares | Value | |||
Procter & Gamble Co. (The) | 206,021 | $ 28,665,762 | ||
Sysco Corporation | 37,870 | 2,812,226 | ||
Tyson Foods, Inc. Class A | 27,409 | 1,766,236 | ||
Walgreens Boots Alliance, Inc. | 61,239 | 2,442,211 | ||
Walmart, Inc. | 111,926 | 16,134,133 | ||
161,817,938 | ||||
Energy — 2.1% | ||||
Apache Corporation | 23,559 | 334,302 | ||
Archrock, Inc. | 13 | 113 | ||
Baker Hughes Co.Δ | 33,215 | 692,533 | ||
Cabot Oil & Gas CorporationΔ | 29,892 | 486,642 | ||
Chevron Corporation | 153,137 | 12,932,419 | ||
Concho Resources, Inc. | 15,869 | 925,956 | ||
ConocoPhillips | 89,387 | 3,574,586 | ||
Devon Energy Corporation | 38,557 | 609,586 | ||
Diamondback Energy, Inc. | 10,890 | 527,076 | ||
EOG Resources, Inc. | 40,407 | 2,015,097 | ||
Exterran Corporation* | 6 | 27 | ||
Exxon Mobil Corporation | 332,330 | 13,698,643 | ||
Halliburton Co. | 74,621 | 1,410,337 | ||
Hess Corporation | 18,891 | 997,256 | ||
HollyFrontier Corporation | 10,771 | 278,430 | ||
Kinder Morgan, Inc. | 146,006 | 1,995,902 | ||
Marathon Oil Corporation | 69,854 | 465,926 | ||
Marathon Petroleum Corporation | 50,234 | 2,077,678 | ||
National Oilwell Varco, Inc. | 32,684 | 448,751 | ||
Occidental Petroleum Corporation | 79,090 | 1,369,048 | ||
ONEOK, Inc. | 35,809 | 1,374,349 | ||
Phillips 66 | 31,961 | 2,235,352 | ||
Pioneer Natural Resources Co. | 11,479 | 1,307,343 | ||
Valero Energy Corporation | 31,110 | 1,759,893 | ||
Williams Cos., Inc. (The) | 96,309 | 1,930,996 | ||
53,448,241 | ||||
Financials — 9.8% | ||||
Aflac, Inc. | 55,516 | 2,468,796 | ||
Allstate Corporation (The) | 28,840 | 3,170,381 | ||
American Express Co. | 47,721 | 5,769,946 | ||
American International Group, Inc. | 67,569 | 2,558,162 | ||
Ameriprise Financial, Inc. | 10,894 | 2,117,031 | ||
Arthur J. Gallagher & Co. | 15,093 | 1,867,155 | ||
Assurant, Inc. | 2,341 | 318,891 | ||
Bank of America Corporation | 562,781 | 17,057,892 | ||
Bank of New York Mellon Corporation (The) | 72,967 | 3,096,719 | ||
Berkshire Hathaway, Inc. Class B* | 154,510 | 35,826,234 | ||
BlackRock, Inc. | 12,151 | 8,767,433 | ||
Capital One Financial Corporation | 34,907 | 3,450,557 | ||
Cboe Global Markets, Inc. | 8,664 | 806,792 | ||
Charles Schwab Corporation (The) | 115,219 | 6,111,216 | ||
Cincinnati Financial Corporation | 10,988 | 960,022 | ||
Citigroup, Inc. | 158,895 | 9,797,466 | ||
Citizens Financial Group, Inc. | 18,464 | 660,273 | ||
CME Group, Inc. | 28,081 | 5,112,146 | ||
Comerica, Inc. | 10,547 | 589,155 | ||
Discover Financial Services | 17,665 | 1,599,212 | ||
Everest Re Group, Ltd. | 3,173 | 742,768 | ||
Fifth Third Bancorp | 52,084 | 1,435,956 |
Shares | Value | |||
First Republic Bank | 11,885 | $ 1,746,263 | ||
Franklin Resources, Inc. | 23,495 | 587,140 | ||
Globe Life, Inc. | 4,186 | 397,503 | ||
Goldman Sachs Group, Inc. (The) | 27,330 | 7,207,194 | ||
Hartford Financial Services Group, Inc. (The) | 28,747 | 1,408,028 | ||
Huntington Bancshares, Inc. | 83,830 | 1,058,773 | ||
Intercontinental Exchange, Inc. | 43,068 | 4,965,310 | ||
Invesco, Ltd. | 43,478 | 757,822 | ||
JPMorgan Chase & Co. | 235,021 | 29,864,118 | ||
KeyCorp | 64,549 | 1,059,249 | ||
Lincoln National Corporation | 19,455 | 978,781 | ||
Loews Corporation | 12,502 | 562,840 | ||
M&T Bank Corporation | 10,059 | 1,280,511 | ||
MarketAxess Holdings, Inc. | 2,840 | 1,620,390 | ||
Marsh & McLennan Cos., Inc. | 39,915 | 4,670,055 | ||
MetLife, Inc. | 64,005 | 3,005,035 | ||
Moody’s Corporation | 11,483 | 3,332,826 | ||
Morgan Stanley | 115,671 | 7,926,934 | ||
MSCI, Inc. | 5,076 | 2,266,586 | ||
Nasdaq, Inc. | 9,140 | 1,213,244 | ||
Northern Trust Corporation | 16,617 | 1,547,707 | ||
People’s United Financial, Inc. | 11,480 | 148,436 | ||
PNC Financial Services Group, Inc. (The) | 34,137 | 5,086,413 | ||
Principal Financial Group, Inc. | 22,421 | 1,112,306 | ||
Progressive Corporation (The) | 45,104 | 4,459,883 | ||
Prudential Financial, Inc. | 36,128 | 2,820,513 | ||
Raymond James Financial, Inc. | 9,228 | 882,843 | ||
Regions Financial Corporation | 40,587 | 654,262 | ||
S&P Global, Inc. | 17,423 | 5,727,463 | ||
State Street Corporation | 30,870 | 2,246,719 | ||
SVB Financial Group* | 2,215 | 859,043 | ||
Synchrony Financial | 55,655 | 1,931,785 | ||
T. Rowe Price Group, Inc. | 15,490 | 2,345,031 | ||
Travelers Cos., Inc. (The) | 21,004 | 2,948,331 | ||
Truist Financial Corporation | 104,234 | 4,995,936 | ||
U.S. Bancorp | 117,801 | 5,488,349 | ||
Unum Group | 8,642 | 198,247 | ||
W.R. Berkley Corporation | 11,267 | 748,354 | ||
Wells Fargo & Co. | 304,959 | 9,203,663 | ||
Zions Bancorp NA | 7,446 | 323,454 | ||
243,921,543 | ||||
Health Care — 12.2% | ||||
Abbott Laboratories | 143,145 | 15,672,946 | ||
ABIOMED, Inc.* | 4,950 | 1,604,790 | ||
Agilent Technologies, Inc. | 32,843 | 3,891,567 | ||
Alexion Pharmaceuticals, Inc.* | 24,651 | 3,851,472 | ||
Align Technology, Inc.* | 6,636 | 3,546,146 | ||
Amgen, Inc. | 55,832 | 12,836,893 | ||
Anthem, Inc. | 21,194 | 6,805,181 | ||
Baxter International, Inc. | 41,154 | 3,302,197 | ||
Becton, Dickinson and Co. | 21,279 | 5,324,431 | ||
Biogen, Inc.* | 18,945 | 4,638,873 | ||
Bio-Rad Laboratories, Inc. Class A* | 1,690 | 985,169 | ||
Boston Scientific Corporation* | 120,221 | 4,321,945 | ||
Bristol-Myers Squibb Co. | 237,755 | 14,747,943 |
Shares | Value | |||
Cardinal Health, Inc. | 27,527 | $ 1,474,346 | ||
Catalent, Inc.* | 23,719 | 2,468,436 | ||
Centene Corporation* | 58,326 | 3,501,310 | ||
Cerner Corporation | 28,126 | 2,207,328 | ||
Cigna Corporation | 29,323 | 6,104,462 | ||
CVS Health Corporation | 104,298 | 7,123,553 | ||
Danaher Corporation | 49,319 | 10,955,723 | ||
DaVita, Inc.* | 13,768 | 1,616,363 | ||
DENTSPLY SIRONA, Inc. | 26,241 | 1,373,979 | ||
DexCom, Inc.Δ* | 7,150 | 2,643,498 | ||
Edwards Lifesciences Corporation* | 57,327 | 5,229,942 | ||
Eli Lilly and Co. | 79,543 | 13,430,040 | ||
Gilead Sciences, Inc. | 142,431 | 8,298,030 | ||
HCA Healthcare, Inc. | 23,088 | 3,797,052 | ||
Henry Schein, Inc.* | 11,738 | 784,803 | ||
Hologic, Inc.* | 29,305 | 2,134,283 | ||
Humana, Inc. | 11,904 | 4,883,854 | ||
IDEXX Laboratories, Inc.* | 7,551 | 3,774,518 | ||
Illumina, Inc.* | 12,688 | 4,694,560 | ||
Incyte Corporation* | 27,837 | 2,421,262 | ||
Intuitive Surgical, Inc.* | 9,533 | 7,798,947 | ||
IQVIA Holdings, Inc.* | 33,184 | 5,945,577 | ||
Johnson & Johnson | 236,810 | 37,269,158 | ||
Laboratory Corporation of America Holdings* | 7,436 | 1,513,598 | ||
McKesson Corporation | 16,930 | 2,944,466 | ||
Mettler-Toledo International, Inc.* | 2,501 | 2,850,340 | ||
PerkinElmer, Inc. | 11,320 | 1,624,420 | ||
Quest Diagnostics, Inc. | 16,017 | 1,908,746 | ||
Regeneron Pharmaceuticals, Inc.* | 9,873 | 4,769,745 | ||
ResMed, Inc. | 11,820 | 2,512,459 | ||
Stryker Corporation | 26,037 | 6,380,107 | ||
Teleflex, Inc. | 4,060 | 1,670,974 | ||
UnitedHealth Group, Inc. | 74,142 | 26,000,117 | ||
Universal Health Services, Inc. Class B | 9,989 | 1,373,488 | ||
Varian Medical Systems, Inc.* | 9,565 | 1,673,971 | ||
Vertex Pharmaceuticals, Inc.* | 29,389 | 6,945,796 | ||
Viatris, Inc.* | 188,114 | 3,525,256 | ||
Waters Corporation* | 6,921 | 1,712,394 | ||
West Pharmaceutical Services, Inc. | 5,815 | 1,647,448 | ||
Zimmer Biomet Holdings, Inc. | 21,341 | 3,288,435 | ||
Zoetis, Inc. | 64,463 | 10,668,627 | ||
304,470,964 | ||||
Industrials — 7.7% | ||||
3M Co. | 48,160 | 8,417,886 | ||
A.O. Smith Corporation | 16,217 | 889,016 | ||
Alaska Air Group, Inc. | 10,021 | 521,092 | ||
American Airlines Group, Inc.Δ | 38,478 | 606,798 | ||
AMETEK, Inc. | 16,745 | 2,025,140 | ||
Boeing Co. (The) | 41,191 | 8,817,346 | ||
C.H. Robinson Worldwide, Inc. | 12,459 | 1,169,526 | ||
Carrier Global Corporation | 63,362 | 2,390,015 | ||
Caterpillar, Inc. | 44,540 | 8,107,171 | ||
Cintas Corporation | 6,438 | 2,275,576 | ||
Copart, Inc.* | 11,178 | 1,422,401 |
Shares | Value | |||
CSX Corporation | 65,253 | $ 5,921,710 | ||
Cummins, Inc. | 10,680 | 2,425,428 | ||
Deere & Co. | 24,563 | 6,608,675 | ||
Delta Air Lines, Inc. | 40,084 | 1,611,778 | ||
Dover Corporation | 13,712 | 1,731,140 | ||
Emerson Electric Co. | 55,944 | 4,496,219 | ||
Equifax, Inc. | 8,312 | 1,602,886 | ||
Expeditors International of Washington, Inc. | 6,818 | 648,460 | ||
Fastenal Co. | 36,004 | 1,758,075 | ||
FedEx Corporation | 19,831 | 5,148,524 | ||
Flowserve Corporation | 4,858 | 179,017 | ||
Fortive Corporation | 28,093 | 1,989,546 | ||
Fortune Brands Home & Security, Inc. | 13,017 | 1,115,817 | ||
General Dynamics Corporation | 20,407 | 3,036,970 | ||
General Electric Co. | 659,185 | 7,119,198 | ||
Honeywell International, Inc. | 55,553 | 11,816,123 | ||
Howmet Aerospace, Inc. | 16,474 | 470,168 | ||
Huntington Ingalls Industries, Inc. | 2,805 | 478,196 | ||
IDEX Corporation | 5,716 | 1,138,627 | ||
IHS Markit, Ltd. | 29,494 | 2,649,446 | ||
Illinois ToolWorks, Inc. | 22,337 | 4,554,068 | ||
Ingersoll-Rand, Inc.* | 14,300 | 651,508 | ||
J.B. Hunt Transport Services, Inc. | 3,269 | 446,709 | ||
Jacobs Engineering Group, Inc. | 4,647 | 506,337 | ||
Kansas City Southern | 10,006 | 2,042,525 | ||
L3Harris Technologies, Inc. | 16,801 | 3,175,725 | ||
Lockheed Martin Corporation | 19,185 | 6,810,291 | ||
Masco Corporation | 31,887 | 1,751,553 | ||
Norfolk Southern Corporation | 19,839 | 4,713,945 | ||
Northrop Grumman Corporation | 12,728 | 3,878,476 | ||
Old Dominion Freight Line, Inc. | 7,428 | 1,449,797 | ||
Otis Worldwide Corporation | 31,681 | 2,140,052 | ||
PACCAR, Inc. | 22,794 | 1,966,666 | ||
Parker-Hannifin Corporation | 8,815 | 2,401,294 | ||
Quanta Services, Inc. | 5,431 | 391,141 | ||
Raytheon Technologies Corporation | 117,008 | 8,367,242 | ||
Republic Services, Inc. | 19,655 | 1,892,777 | ||
Robert Half International, Inc. | 4,920 | 307,402 | ||
Rockwell Automation, Inc. | 8,494 | 2,130,380 | ||
Rollins, Inc. | 21,375 | 835,121 | ||
Roper Technologies, Inc. | 6,043 | 2,605,077 | ||
Snap-on, Inc. | 5,899 | 1,009,555 | ||
Southwest Airlines Co. | 36,781 | 1,714,362 | ||
Stanley Black & Decker, Inc. | 10,352 | 1,848,453 | ||
Teledyne Technologies, Inc.* | 2,897 | 1,135,566 | ||
Textron, Inc. | 19,700 | 952,101 | ||
TransDigm Group, Inc.Δ* | 3,870 | 2,394,950 | ||
Union Pacific Corporation | 55,813 | 11,621,383 | ||
United Airlines Holdings, Inc.* | 19,397 | 838,920 | ||
United Parcel Service, Inc. Class B | 50,421 | 8,490,896 | ||
United Rentals, Inc.* | 5,421 | 1,257,184 | ||
Verisk Analytics, Inc. | 12,729 | 2,642,413 | ||
W.W. Grainger, Inc. | 3,321 | 1,356,097 | ||
Waste Management, Inc. | 33,085 | 3,901,714 |
Shares | Value | |||
Westinghouse Air Brake Technologies Corporation | 11,295 | $ 826,794 | ||
Xylem, Inc.Δ | 9,669 | 984,208 | ||
192,580,652 | ||||
Information Technology — 26.4% | ||||
Adobe, Inc.* | 36,755 | 18,381,911 | ||
Advanced Micro Devices, Inc.* | 82,934 | 7,605,877 | ||
Akamai Technologies, Inc.Δ* | 6,606 | 693,564 | ||
Amphenol Corporation Class A | 18,535 | 2,423,822 | ||
Analog Devices, Inc.Δ | 29,267 | 4,323,614 | ||
ANSYS, Inc.* | 7,710 | 2,804,898 | ||
Apple, Inc. | 1,235,939 | 163,996,746 | ||
Applied Materials, Inc. | 71,724 | 6,189,781 | ||
Arista Networks, Inc.* | 4,638 | 1,347,664 | ||
Autodesk, Inc.* | 15,847 | 4,838,723 | ||
Automatic Data Processing, Inc. | 33,997 | 5,990,271 | ||
Broadcom, Inc. | 31,170 | 13,647,785 | ||
Broadridge Financial Solutions, Inc. | 6,807 | 1,042,832 | ||
Cadence Design Systems, Inc.Δ* | 14,000 | 1,910,020 | ||
CDW Corporation | 11,000 | 1,449,690 | ||
Cisco Systems, Inc. | 338,843 | 15,163,224 | ||
Citrix Systems, Inc.Δ | 9,508 | 1,236,991 | ||
Cognizant Technology Solutions Corporation Class A | 43,559 | 3,569,660 | ||
Corning, Inc. | 59,799 | 2,152,764 | ||
DXC Technology Co. | 18,725 | 482,169 | ||
F5 Networks, Inc.* | 2,480 | 436,331 | ||
Fidelity National Information Services, Inc. | 47,995 | 6,789,373 | ||
Fiserv, Inc.* | 43,328 | 4,933,326 | ||
FleetCor Technologies, Inc.* | 6,254 | 1,706,279 | ||
FLIR Systems, Inc. | 5,180 | 227,039 | ||
Fortinet, Inc.* | 9,885 | 1,468,219 | ||
Gartner, Inc.* | 5,295 | 848,206 | ||
Global Payments, Inc. | 22,769 | 4,904,898 | ||
Hewlett Packard Enterprise Co. | 113,804 | 1,348,577 | ||
HP, Inc. | 132,336 | 3,254,142 | ||
Intel Corporation | 323,543 | 16,118,912 | ||
International Business Machines Corporation | 72,240 | 9,093,571 | ||
Intuit, Inc. | 19,008 | 7,220,189 | ||
IPG Photonics Corporation* | 2,807 | 628,179 | ||
Jack Henry & Associates, Inc. | 5,530 | 895,805 | ||
Juniper Networks, Inc. | 15,019 | 338,078 | ||
Keysight Technologies, Inc.* | 13,420 | 1,772,648 | ||
KLA CorporationΔ | 11,211 | 2,902,640 | ||
Lam Research Corporation | 10,705 | 5,055,650 | ||
Leidos Holdings, Inc. | 10,893 | 1,145,072 | ||
Mastercard, Inc. Class A | 68,771 | 24,547,121 | ||
Maxim Integrated Products, Inc. | 19,970 | 1,770,341 | ||
Microchip Technology, Inc. | 16,977 | 2,344,693 | ||
Micron Technology, Inc.* | 84,017 | 6,316,398 | ||
Microsoft Corporation | 588,868 | 130,976,021 | ||
Motorola Solutions, Inc. | 13,048 | 2,218,943 | ||
NetApp, Inc. | 21,788 | 1,443,237 | ||
NortonLifeLock, Inc. | 47,298 | 982,852 | ||
NVIDIA Corporation | 46,907 | 24,494,835 | ||
Oracle Corporation | 161,763 | 10,464,449 |
Shares | Value | |||
Paychex, Inc. | 27,668 | $ 2,578,104 | ||
Paycom Software, Inc.* | 3,850 | 1,741,163 | ||
PayPal Holdings, Inc.* | 89,390 | 20,935,138 | ||
Qorvo, Inc.* | 4,807 | 799,260 | ||
QUALCOMM, Inc. | 91,816 | 13,987,249 | ||
salesforce.com, Inc.* | 68,199 | 15,176,324 | ||
ServiceNow, Inc.* | 14,510 | 7,986,739 | ||
Skyworks Solutions, Inc. | 15,074 | 2,304,513 | ||
Synopsys, Inc.* | 13,432 | 3,482,112 | ||
Teradyne, Inc.Δ | 12,953 | 1,552,935 | ||
Texas Instruments, Inc. | 69,952 | 11,481,222 | ||
Tyler Technologies, Inc.* | 3,141 | 1,371,109 | ||
VeriSign, Inc.* | 7,867 | 1,702,419 | ||
Visa, Inc. Class AΔ | 132,519 | 28,985,881 | ||
Vontier Corporation* | 11,237 | 375,316 | ||
Western Digital Corporation | 24,973 | 1,383,254 | ||
Western Union Co. (The) | 39,393 | 864,282 | ||
Xerox Holdings Corporation | 11,464 | 265,850 | ||
Xilinx, Inc. | 18,364 | 2,603,464 | ||
Zebra Technologies Corporation Class A* | 4,187 | 1,609,190 | ||
657,083,554 | ||||
Materials — 2.1% | ||||
Air Products and Chemicals, Inc. | 16,602 | 4,535,998 | ||
Albemarle CorporationΔ | 5,038 | 743,206 | ||
Avery Dennison Corporation | 3,272 | 507,520 | ||
Ball Corporation | 26,240 | 2,445,043 | ||
Celanese Corporation | 9,582 | 1,245,085 | ||
CF Industries Holdings, Inc. | 17,082 | 661,244 | ||
Corteva, Inc. | 55,219 | 2,138,080 | ||
Dow, Inc. | 55,219 | 3,064,654 | ||
DuPont de Nemours, Inc.Δ | 62,802 | 4,465,850 | ||
Eastman Chemical Co. | 14,389 | 1,442,929 | ||
Ecolab, Inc. | 18,944 | 4,098,724 | ||
FMC Corporation | 5,397 | 620,277 | ||
Freeport-McMoRan, Inc. | 112,863 | 2,936,695 | ||
International Flavors & Fragrances, Inc.Δ | 8,221 | 894,774 | ||
International Paper Co. | 43,581 | 2,166,847 | ||
Martin Marietta Materials, Inc. | 5,969 | 1,695,017 | ||
Mosaic Co. (The) | 26,057 | 599,572 | ||
Newmont Corporation | 67,991 | 4,071,981 | ||
Nucor Corporation | 32,443 | 1,725,643 | ||
Packaging Corporation of America | 6,567 | 905,655 | ||
PPG Industries, Inc. | 18,443 | 2,659,849 | ||
Sealed Air Corporation | 10,710 | 490,411 | ||
Sherwin-Williams Co. (The) | 6,348 | 4,665,209 | ||
Vulcan Materials Co. | 11,222 | 1,664,335 | ||
Westrock Co. | 21,818 | 949,738 | ||
51,394,336 | ||||
Real Estate — 2.3% | ||||
Alexandria Real Estate Equities, Inc. REIT | 4,819 | 858,842 | ||
American Tower Corporation REIT | 34,001 | 7,631,864 | ||
Apartment Investment and Management Co. Class A REIT | 6,080 | 32,104 | ||
Apartment, Income REIT Corporation | 6,080 | 233,523 |
Shares | Value | |||
AvalonBay Communities, Inc. REIT | 11,730 | $ 1,881,844 | ||
Boston Properties, Inc. REIT | 11,272 | 1,065,542 | ||
CBRE Group, Inc. Class A* | 26,915 | 1,688,109 | ||
Crown Castle International Corporation REIT | 32,487 | 5,171,606 | ||
Digital Realty Trust, Inc. REIT | 16,030 | 2,236,345 | ||
Duke Realty Corporation REIT | 32,547 | 1,300,904 | ||
Equinix, Inc. REIT | 6,095 | 4,352,927 | ||
Equity Residential REIT | 36,341 | 2,154,295 | ||
Essex Property Trust, Inc. REIT | 5,627 | 1,335,962 | ||
Extra Space Storage, Inc. REIT | 8,534 | 988,749 | ||
Federal Realty Investment Trust REITΔ | 2,600 | 221,312 | ||
Healthpeak Properties, Inc. REIT | 46,597 | 1,408,627 | ||
Host Hotels & Resorts, Inc. REIT | 47,435 | 693,974 | ||
Iron Mountain, Inc. REITΔ | 32,755 | 965,617 | ||
Kimco Realty Corporation REIT | 56,971 | 855,135 | ||
Mid-America Apartment Communities, Inc. REIT | 7,607 | 963,731 | ||
Prologis, Inc. REIT | 48,593 | 4,842,778 | ||
Public Storage REIT | 13,141 | 3,034,651 | ||
Realty Income Corporation REIT | 28,647 | 1,780,984 | ||
Regency Centers Corporation REIT | 15,104 | 688,591 | ||
SBA Communications Corporation REIT | 9,082 | 2,562,305 | ||
Simon Property Group, Inc. REIT | 21,053 | 1,795,400 | ||
SL Green Realty Corporation REIT | 7,249 | 431,895 | ||
UDR, Inc. REIT | 16,995 | 653,118 | ||
Ventas, Inc. REIT | 33,547 | 1,645,145 | ||
Vornado Realty Trust REIT | 15,993 | 597,179 | ||
Welltower, Inc. REIT | 31,626 | 2,043,672 | ||
Weyerhaeuser Co. REIT | 66,786 | 2,239,335 | ||
58,356,065 | ||||
Utilities — 2.8% | ||||
AES Corporation (The) | 56,201 | 1,320,724 | ||
Alliant Energy Corporation | 6,500 | 334,945 | ||
Ameren Corporation | 19,884 | 1,552,145 | ||
American Electric Power Co., Inc. | 43,060 | 3,585,606 | ||
American Water Works Co., Inc. | 13,583 | 2,084,583 | ||
Atmos Energy Corporation | 8,640 | 824,515 | ||
CenterPoint Energy, Inc. | 50,231 | 1,086,999 | ||
CMS Energy Corporation | 24,417 | 1,489,681 | ||
Consolidated Edison, Inc. | 33,879 | 2,448,435 | ||
Dominion Energy, Inc. | 72,926 | 5,484,035 | ||
DTE Energy Co. | 16,224 | 1,969,756 | ||
Duke Energy Corporation | 63,450 | 5,809,482 | ||
Edison International | 25,039 | 1,572,950 | ||
Entergy Corporation | 11,610 | 1,159,142 | ||
Evergy, Inc. | 17,247 | 957,381 | ||
Eversource Energy | 22,827 | 1,974,764 | ||
Exelon Corporation | 65,931 | 2,783,607 | ||
FirstEnergy Corporation | 37,260 | 1,140,529 | ||
NextEra Energy, Inc. | 157,748 | 12,170,258 |
Shares | Value | |||
NiSource, Inc. | 23,079 | $ 529,432 | ||
NRG Energy, Inc. | 19,377 | 727,606 | ||
Pinnacle West Capital Corporation | 4,108 | 328,435 | ||
PPL Corporation | 73,784 | 2,080,709 | ||
Public Service Enterprise Group, Inc. | 46,751 | 2,725,583 | ||
Sempra Energy | 20,984 | 2,673,571 | ||
Southern Co. (The) | 81,308 | 4,994,751 | ||
WEC Energy Group, Inc. | 26,694 | 2,456,649 | ||
Xcel Energy, Inc. | 35,982 | 2,398,920 | ||
68,665,193 | ||||
Total Common Stocks (Cost $1,432,445,490) | 2,365,920,035 | |||
FOREIGN COMMON STOCKS — 3.1% | ||||
Curacao — 0.1% | ||||
Schlumberger NV | 121,737 | 2,657,519 | ||
Ireland — 2.3% | ||||
Accenture PLC Class A | 48,630 | 12,702,642 | ||
Allegion PLC | 11,277 | 1,312,417 | ||
Aon PLC Class A | 19,060 | 4,026,806 | ||
Eaton Corporation PLC | 34,612 | 4,158,286 | ||
Johnson Controls International PLC | 75,803 | 3,531,662 | ||
Linde PLC | 42,397 | 11,172,033 | ||
Medtronic PLC | 104,997 | 12,299,349 | ||
Pentair PLC | 6,692 | 355,278 | ||
Seagate Technology PLC | 24,342 | 1,513,099 | ||
STERIS PLC | 6,583 | 1,247,742 | ||
Trane Technologies PLC | 16,206 | 2,352,463 | ||
Willis Towers Watson PLCΔ | 8,889 | 1,872,734 | ||
56,544,511 | ||||
Jersey — 0.1% | ||||
Amcor PLC | 120,129 | 1,413,918 | ||
Aptiv PLC | 15,022 | 1,957,217 | ||
3,371,135 | ||||
Netherlands — 0.1% | ||||
LyondellBasell Industries NV Class A | 27,312 | 2,503,418 | ||
Switzerland — 0.4% | ||||
Chubb, Ltd. | 35,583 | 5,476,935 | ||
Garmin, Ltd. | 8,253 | 987,554 | ||
TE Connectivity, Ltd. | 28,610 | 3,463,813 | ||
9,928,302 | ||||
United Kingdom — 0.1% | ||||
Nielsen Holdings PLC | 40,749 | 850,431 | ||
TechnipFMC PLC | 23,072 | 216,877 | ||
1,067,308 | ||||
Total Foreign Common Stocks (Cost $55,184,278) | 76,072,193 |
Shares | Value | |||
MONEY MARKET FUNDS — 1.7% | ||||
GuideStone Money Market Fund, 0.00% (Institutional Class)Ø∞ | 40,898,364 | $ 40,898,364 | ||
Northern Institutional Liquid Assets Portfolio (Shares), 0.08%ا | 1,860,417 | 1,860,417 | ||
Total Money Market Funds (Cost $42,758,781) | 42,758,781 | |||
TOTAL INVESTMENTS — 99.8% (Cost $1,530,388,549) | 2,484,751,009 | |||
Other Assets in Excess of Liabilities — 0.2% | 4,272,765 | |||
NET ASSETS — 100.0% | $2,489,023,774 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
S&P 500® E-Mini | 03/2021 | 223 | $41,799,120 | $979,710 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Common Stocks | $2,365,920,035 | $2,365,920,035 | $ — | $ — | |||
Foreign Common Stocks | 76,072,193 | 76,072,193 | — | — | |||
Money Market Funds | 42,758,781 | 42,758,781 | — | — | |||
Total Assets - Investments in Securities | $2,484,751,009 | $2,484,751,009 | $ — | $ — | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $ 979,710 | $ 979,710 | $ — | $ — | |||
Total Assets - Other Financial Instruments | $ 979,710 | $ 979,710 | $ — | $ — |
*** | 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. |
% | |
Financials | 20.8 |
Industrials | 14.1 |
Information Technology | 13.4 |
Health Care | 12.8 |
Consumer Discretionary | 7.8 |
Consumer Staples | 7.7 |
Communication Services | 6.7 |
Energy | 4.3 |
Materials | 4.2 |
Utilities | 3.9 |
Money Market Funds | 3.6 |
Real Estate | 1.1 |
100.4 |
Average Annual Total Returns as of 12/31/20 | |||||||
Institutional Class* | Investor Class* | Benchmark** | |||||
One Year | 4.19% | 3.89% | 2.79% | ||||
Five Year | 9.23% | 8.95% | 9.73% | ||||
Ten year | 10.30% | 10.02% | 10.49% | ||||
Since Inception | 6.92% | 6.64% | 7.19% | ||||
Inception Date | 08/27/01 | 08/27/01 | |||||
Total Fund Operating Expenses (May 1, 2020 Prospectus)(1) | 0.63% | 0.90% |
(1) | Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights. |
Shares | Value | |||
COMMON STOCKS — 83.7% | ||||
Communication Services — 6.1% | ||||
Altice USA, Inc. Class A* | 133,693 | $ 5,062,954 | ||
AT&T, Inc. | 199,939 | 5,750,246 | ||
Comcast Corporation Class A | 490,012 | 25,676,629 | ||
Discovery, Inc. Class AΔ* | 194,922 | 5,865,203 | ||
Fox Corporation Class A | 107,154 | 3,120,324 | ||
Verizon Communications, Inc. | 312,901 | 18,382,934 | ||
ViacomCBS, Inc. Class BΔ | 169,464 | 6,314,228 | ||
Walt Disney Co. (The)* | 31,500 | 5,707,170 | ||
75,879,688 | ||||
Consumer Discretionary — 7.8% | ||||
Advance Auto Parts, Inc. | 86,842 | 13,678,483 | ||
Aramark | 378,255 | 14,555,252 | ||
Darden Restaurants, Inc. | 38,913 | 4,635,317 | ||
Dick's Sporting Goods, Inc.Δ | 48,850 | 2,745,859 | ||
Dollar General Corporation | 16,622 | 3,495,607 | ||
Lennar Corporation Class A | 236,187 | 18,004,535 | ||
Lowe’s Cos., Inc. | 132,206 | 21,220,385 | ||
Ralph Lauren Corporation | 49,269 | 5,111,166 | ||
Target Corporation | 76,061 | 13,427,048 | ||
96,873,652 | ||||
Consumer Staples — 5.0% | ||||
Coca-Cola Co. (The) | 110,852 | 6,079,124 | ||
Colgate-Palmolive Co. | 48,619 | 4,157,411 | ||
Conagra Brands, Inc. | 139,200 | 5,047,392 | ||
Lamb Weston Holdings, Inc. | 117,432 | 9,246,595 | ||
Mondelez International, Inc. Class A | 144,981 | 8,477,039 | ||
PepsiCo, Inc. | 113,971 | 16,901,899 | ||
Post Holdings, Inc.* | 52,280 | 5,280,803 | ||
Walmart, Inc. | 43,300 | 6,241,695 | ||
61,431,958 | ||||
Energy — 3.7% | ||||
Baker Hughes Co.Δ | 261,925 | 5,461,136 | ||
Chevron Corporation | 254,359 | 21,480,618 | ||
Hess Corporation | 78,374 | 4,137,364 | ||
Phillips 66 | 147,833 | 10,339,440 | ||
Valero Energy Corporation | 65,402 | 3,699,791 | ||
45,118,349 | ||||
Financials — 18.4% | ||||
Aflac, Inc. | 122,700 | 5,456,469 | ||
American Express Co. | 40,435 | 4,888,996 | ||
American International Group, Inc. | 449,166 | 17,005,425 | ||
Ameriprise Financial, Inc. | 26,893 | 5,226,117 | ||
Bank of New York Mellon Corporation (The) | 268,830 | 11,409,145 | ||
Berkshire Hathaway, Inc. Class B* | 116,344 | 26,976,683 | ||
BlackRock, Inc. | 13,635 | 9,838,198 | ||
Blackstone Group, Inc. (The) Class A | 47,300 | 3,065,513 | ||
Cincinnati Financial Corporation | 48,600 | 4,246,182 | ||
Citigroup, Inc. | 268,352 | 16,546,584 | ||
Fidelity National Financial, Inc. | 160,341 | 6,267,730 | ||
Franklin Resources, Inc. | 108,780 | 2,718,412 | ||
Goldman Sachs Group, Inc. (The) | 41,133 | 10,847,183 |
Shares | Value | |||
Intercontinental Exchange, Inc. | 81,749 | $ 9,424,842 | ||
JPMorgan Chase & Co. | 212,361 | 26,984,712 | ||
Marsh & McLennan Cos., Inc. | 71,400 | 8,353,800 | ||
MetLife, Inc. | 119,351 | 5,603,530 | ||
Morgan Stanley | 34,200 | 2,343,726 | ||
New York Community Bancorp, Inc. | 564,729 | 5,957,891 | ||
Northern Trust Corporation | 44,573 | 4,151,529 | ||
Reinsurance Group of America, Inc. | 53,690 | 6,222,671 | ||
Truist Financial Corporation | 125,608 | 6,020,392 | ||
U.S. Bancorp | 262,589 | 12,234,022 | ||
Wells Fargo & Co. | 433,165 | 13,072,920 | ||
Zions Bancorp NA | 74,976 | 3,256,957 | ||
228,119,629 | ||||
Health Care — 8.9% | ||||
Anthem, Inc. | 27,360 | 8,785,023 | ||
Becton, Dickinson and Co. | 36,256 | 9,071,976 | ||
Bristol-Myers Squibb Co. | 84,947 | 5,269,263 | ||
Centene Corporation* | 104,543 | 6,275,716 | ||
Cerner Corporation | 87,115 | 6,836,785 | ||
CVS Health Corporation | 134,862 | 9,211,075 | ||
Gilead Sciences, Inc. | 78,239 | 4,558,204 | ||
Hologic, Inc.* | 22,014 | 1,603,280 | ||
Johnson & Johnson | 197,681 | 31,111,036 | ||
McKesson Corporation | 34,145 | 5,938,498 | ||
Molina Healthcare, Inc.* | 33,665 | 7,159,872 | ||
UnitedHealth Group, Inc. | 23,502 | 8,241,681 | ||
Zimmer Biomet Holdings, Inc. | 38,725 | 5,967,135 | ||
110,029,544 | ||||
Industrials — 12.2% | ||||
AECOM* | 136,954 | 6,817,570 | ||
Deere & Co. | 46,318 | 12,461,858 | ||
Emerson Electric Co. | 170,701 | 13,719,239 | ||
Fastenal Co. | 120,196 | 5,869,171 | ||
General Dynamics Corporation | 32,835 | 4,886,505 | ||
General Electric Co. | 648,268 | 7,001,294 | ||
Hubbell, Inc. | 26,837 | 4,207,773 | ||
J.B. Hunt Transport Services, Inc. | 85,112 | 11,630,555 | ||
Jacobs Engineering Group, Inc. | 26,994 | 2,941,266 | ||
L3Harris Technologies, Inc. | 13,978 | 2,642,121 | ||
Norfolk Southern Corporation | 34,775 | 8,262,888 | ||
Quanta Services, Inc. | 92,238 | 6,642,981 | ||
Raytheon Technologies Corporation | 236,452 | 16,908,682 | ||
Republic Services, Inc. | 61,500 | 5,922,450 | ||
Southwest Airlines Co. | 84,200 | 3,924,562 | ||
Stanley Black & Decker, Inc. | 45,754 | 8,169,834 | ||
Textron, Inc. | 125,857 | 6,082,669 | ||
United Parcel Service, Inc. Class B | 90,274 | 15,202,142 | ||
Westinghouse Air Brake Technologies Corporation | 113,663 | 8,320,132 | ||
151,613,692 | ||||
Information Technology — 12.4% | ||||
Apple, Inc. | 86,287 | 11,449,422 | ||
Broadcom, Inc. | 39,643 | 17,357,688 | ||
Cisco Systems, Inc. | 374,311 | 16,750,417 |
Shares | Value | |||
Cognizant Technology Solutions Corporation Class A | 168,945 | $ 13,845,043 | ||
Corning, Inc. | 127,960 | 4,606,560 | ||
F5 Networks, Inc.* | 29,000 | 5,102,260 | ||
Fiserv, Inc.* | 51,962 | 5,916,393 | ||
FLIR Systems, Inc. | 100,972 | 4,425,603 | ||
HP, Inc. | 142,750 | 3,510,222 | ||
Intel Corporation | 118,785 | 5,917,869 | ||
International Business Machines Corporation | 46,974 | 5,913,087 | ||
Micron Technology, Inc.* | 42,600 | 3,202,668 | ||
Microsoft Corporation | 38,945 | 8,662,147 | ||
ON Semiconductor Corporation* | 179,367 | 5,870,682 | ||
Oracle Corporation | 66,344 | 4,291,793 | ||
Paychex, Inc. | 60,832 | 5,668,326 | ||
QUALCOMM, Inc. | 36,397 | 5,544,719 | ||
Texas Instruments, Inc. | 154,285 | 25,322,797 | ||
153,357,696 | ||||
Materials — 4.2% | ||||
Air Products and Chemicals, Inc. | 26,264 | 7,175,850 | ||
Corteva, Inc. | 309,614 | 11,988,254 | ||
DuPont de Nemours, Inc.Δ | 229,551 | 16,323,372 | ||
Freeport-McMoRan, Inc. | 318,655 | 8,291,403 | ||
International Flavors & Fragrances, Inc.Δ | 40,844 | 4,445,461 | ||
Sonoco Products Co. | 63,842 | 3,782,638 | ||
52,006,978 | ||||
Real Estate — 1.1% | ||||
Cousins Properties, Inc. REIT | 70,806 | 2,372,001 | ||
Crown Castle International Corporation REIT | 43,451 | 6,916,965 | ||
Jones Lang LaSalle, Inc.* | 19,425 | 2,882,087 | ||
Weyerhaeuser Co. REIT | 54,348 | 1,822,288 | ||
13,993,341 | ||||
Utilities — 3.9% | ||||
AES Corporation (The) | 305,510 | 7,179,485 | ||
Atmos Energy Corporation | 110,100 | 10,506,843 | ||
Dominion Energy, Inc. | 78,279 | 5,886,581 | ||
Duke Energy Corporation | 72,100 | 6,601,476 | ||
Edison International | 51,287 | 3,221,849 | ||
Exelon Corporation | 152,035 | 6,418,918 | ||
Pinnacle West Capital Corporation | 66,749 | 5,336,582 | ||
Sempra Energy | 25,265 | 3,219,014 | ||
48,370,748 | ||||
Total Common Stocks (Cost $859,213,158) | 1,036,795,275 | |||
FOREIGN COMMON STOCKS — 13.1% | ||||
Canada — 0.1% | ||||
Open Text Corporation | 37,300 | 1,695,658 |
Shares | Value | |||
France — 0.6% | ||||
TOTAL SE ADR | 170,398 | $ 7,141,380 | ||
Germany — 0.7% | ||||
Siemens AG | 60,710 | 8,745,062 | ||
Ireland — 4.8% | ||||
Johnson Controls International PLC | 304,158 | 14,170,721 | ||
Medtronic PLC | 297,148 | 34,807,917 | ||
Willis Towers Watson PLC | 48,724 | 10,265,172 | ||
59,243,810 | ||||
Japan — 0.6% | ||||
Nintendo Co., Ltd. ADR | 86,420 | 6,958,539 | ||
Netherlands — 0.2% | ||||
Koninklijke Philips NVΔ* | 38,955 | 2,110,193 | ||
Singapore — 0.4% | ||||
Flex, Ltd.* | 284,494 | 5,115,202 | ||
Switzerland — 4.3% | ||||
Chubb, Ltd. | 129,803 | 19,979,278 | ||
Nestle SA | 62,142 | 7,345,888 | ||
Nestle SA ADR | 69,439 | 8,179,914 | ||
Roche Holding AG | 32,700 | 11,389,363 | ||
TE Connectivity, Ltd. | 53,491 | 6,476,155 | ||
53,370,598 | ||||
United Kingdom — 1.4% | ||||
Unilever PLC ADR | 297,861 | 17,978,890 | ||
Total Foreign Common Stocks (Cost $136,013,804) | 162,359,332 | |||
MONEY MARKET FUNDS — 3.6% | ||||
GuideStone Money Market Fund, 0.00% (Institutional Class)Ø∞ | 36,795,466 | 36,795,466 | ||
Northern Institutional Liquid Assets Portfolio (Shares), 0.08%ا | 7,018,157 | 7,018,157 | ||
Northern Institutional U.S. Government Portfolio (Shares), 0.00%Ø | 788,475 | 788,475 | ||
Total Money Market Funds (Cost $44,602,098) | 44,602,098 | |||
TOTAL INVESTMENTS — 100.4% (Cost $1,039,829,060) | 1,243,756,705 | |||
Liabilities in Excess of Other Assets — (0.4)% | (5,219,532) | |||
NET ASSETS — 100.0% | $1,238,537,173 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
S&P 500® E-Mini | 03/2021 | 140 | $26,241,600 | $432,835 |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
03/31/21 | U.S. Dollars | 14,336,836 | Euro | 11,675,903 | CS | $ 43,428 | ||||||
03/31/21 | Swiss Francs | 333,513 | U.S. Dollars | 376,295 | MSCS | 1,443 | ||||||
03/31/21 | U.S. Dollars | 1,076,352 | Swiss Francs | 949,517 | MSCS | 923 | ||||||
Subtotal Appreciation | $ 45,794 | |||||||||||
03/31/21 | U.S. Dollars | 1,465,200 | Euro | 1,199,466 | CS | $ (3,162) | ||||||
03/31/21 | U.S. Dollars | 17,318,451 | Swiss Francs | 15,298,687 | MSCS | (8,925) | ||||||
03/31/21 | U.S. Dollars | 17,109,649 | British Pounds | 12,701,401 | JPM | (269,298) | ||||||
Subtotal Depreciation | $(281,385) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at December 31, 2020 | $(235,591) |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Common Stocks | $1,036,795,275 | $1,036,795,275 | $ — | $ — | |||
Foreign Common Stocks: | |||||||
Germany | 8,745,062 | — | 8,745,062 | — | |||
Switzerland | 53,370,598 | 34,635,347 | 18,735,251 | — | |||
Other ^^ | 100,243,672 | 100,243,672 | — | — | |||
Total Foreign Common Stocks | 162,359,332 | 134,879,019 | 27,480,313 | — | |||
Money Market Funds | 44,602,098 | 44,602,098 | — | — | |||
Total Assets - Investments in Securities | $1,243,756,705 | $1,216,276,392 | $27,480,313 | $ — | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $ 45,794 | $ — | $ 45,794 | $ — | |||
Futures Contracts | 432,835 | 432,835 | — | — | |||
Total Assets - Other Financial Instruments | $ 478,629 | $ 432,835 | $ 45,794 | $ — | |||
Liabilities: | |||||||
Other Financial Instruments | |||||||
Forward Foreign Currency Contracts | $ (281,385) | $ — | $ (281,385) | $ — | |||
Total Liabilities - Other Financial Instruments | $ (281,385) | $ — | $ (281,385) | $ — |
^^ | Classifications as defined in the Schedule of Investments. |
*** | Other financial instruments are derivative instruments, such as futures contracts and forward 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 "Forward Foreign Currency Contracts outstanding" disclosures. |
% | |
Information Technology | 38.5 |
Consumer Discretionary | 14.0 |
Communication Services | 13.6 |
Health Care | 13.1 |
Industrials | 9.6 |
Consumer Staples | 4.3 |
Money Market Funds | 3.4 |
Real Estate | 1.2 |
Materials | 1.2 |
Financials | 0.9 |
Energy | 0.4 |
100.2 |
Average Annual Total Returns as of 12/31/20 | |||||||
Institutional Class* | Investor Class* | Benchmark** | |||||
One Year | 35.75% | 35.39% | 38.37% | ||||
Five Year | 19.42% | 19.09% | 20.98% | ||||
Ten year | 16.02% | 15.75% | 17.19% | ||||
Since Inception | 9.02% | 8.85% | 9.75% | ||||
Inception Date | 08/27/01 | 08/27/01 | |||||
Total Fund Operating Expenses (May 1, 2020 Prospectus)(1) | 0.71% | 0.96% |
(1) | Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights. |
Shares | Value | |||
COMMON STOCKS — 89.1% | ||||
Communication Services — 13.6% | ||||
Alphabet, Inc. Class A* | 8,598 | $ 15,069,199 | ||
Alphabet, Inc. Class C* | 17,767 | 31,125,652 | ||
Charter Communications, Inc. Class A* | 10,488 | 6,938,336 | ||
Comcast Corporation Class A | 219,948 | 11,525,275 | ||
Electronic Arts, Inc. | 111,255 | 15,976,218 | ||
Facebook, Inc. Class A* | 305,945 | 83,571,936 | ||
Match Group, Inc.* | 159,570 | 24,125,388 | ||
Netflix, Inc.* | 32,704 | 17,684,034 | ||
Sea, Ltd. ADRΔ* | 108,700 | 21,636,735 | ||
Walt Disney Co. (The)* | 195,815 | 35,477,762 | ||
Warner Music Group Corporation Class A | 158,696 | 6,028,861 | ||
Zillow Group, Inc. Class CΔ* | 49,400 | 6,412,120 | ||
275,571,516 | ||||
Consumer Discretionary — 11.2% | ||||
Advance Auto Parts, Inc. | 58,607 | 9,231,189 | ||
Airbnb, Inc. Class AΔ* | 21,069 | 3,092,929 | ||
Amazon.com, Inc.* | 41,588 | 135,449,205 | ||
Booking Holdings, Inc.* | 4,291 | 9,557,216 | ||
DoorDash, Inc. Class AΔ* | 18,538 | 2,646,299 | ||
Floor & Decor Holdings, Inc. Class A* | 62,130 | 5,768,770 | ||
Home Depot, Inc. (The) | 44,652 | 11,860,464 | ||
Lululemon Athletica, Inc.* | 25,331 | 8,815,948 | ||
Starbucks Corporation | 146,291 | 15,650,211 | ||
Ulta Beauty, Inc.* | 40,705 | 11,688,848 | ||
Yum China Holdings, Inc. | 96,610 | 5,515,465 | ||
Yum! Brands, Inc. | 76,800 | 8,337,408 | ||
227,613,952 | ||||
Consumer Staples — 4.3% | ||||
Colgate-Palmolive Co. | 213,030 | 18,216,196 | ||
Costco Wholesale Corporation | 54,236 | 20,435,040 | ||
Estee Lauder Cos., Inc. (The) Class A | 45,375 | 12,078,371 | ||
Grocery Outlet Holding Corporation* | 90,400 | 3,548,200 | ||
Monster Beverage Corporation* | 343,723 | 31,787,503 | ||
86,065,310 | ||||
Financials — 0.9% | ||||
FactSet Research Systems, Inc. | 28,577 | 9,501,852 | ||
SEI Investments Co. | 158,580 | 9,113,593 | ||
18,615,445 | ||||
Health Care — 10.9% | ||||
Alexion Pharmaceuticals, Inc.* | 73,182 | 11,433,956 | ||
Align Technology, Inc.* | 16,050 | 8,576,799 | ||
Amgen, Inc. | 62,030 | 14,261,938 | ||
BioMarin Pharmaceutical, Inc.* | 70,063 | 6,143,825 | ||
Cerner Corporation | 125,416 | 9,842,648 | ||
Danaher Corporation | 57,223 | 12,711,517 | ||
DexCom, Inc.* | 38,373 | 14,187,266 | ||
Edwards Lifesciences Corporation* | 181,135 | 16,524,946 | ||
Illumina, Inc.* | 53,184 | 19,678,080 | ||
Intuitive Surgical, Inc.* | 32,118 | 26,275,736 | ||
Mirati Therapeutics, Inc.* | 4,299 | 944,232 |
Shares | Value | |||
Regeneron Pharmaceuticals, Inc.* | 32,914 | $ 15,901,083 | ||
Sarepta Therapeutics, Inc.* | 9,750 | 1,662,277 | ||
UnitedHealth Group, Inc. | 66,897 | 23,459,440 | ||
Zoetis, Inc. | 238,707 | 39,506,008 | ||
221,109,751 | ||||
Industrials — 9.6% | ||||
Boeing Co. (The) | 124,263 | 26,599,738 | ||
Cintas Corporation | 36,330 | 12,841,202 | ||
CoStar Group, Inc.* | 7,916 | 7,316,600 | ||
Deere & Co. | 89,301 | 24,026,434 | ||
Expeditors International of Washington, Inc. | 157,927 | 15,020,437 | ||
Fortive Corporation | 159,026 | 11,262,221 | ||
IHS Markit, Ltd. | 126,213 | 11,337,714 | ||
L3Harris Technologies, Inc. | 50,645 | 9,572,918 | ||
Raytheon Technologies Corporation | 138,104 | 9,875,817 | ||
Roper Technologies, Inc. | 29,191 | 12,583,948 | ||
Uber Technologies, Inc.* | 505,828 | 25,797,228 | ||
United Parcel Service, Inc. Class B | 95,097 | 16,014,335 | ||
W.W. Grainger, Inc. | 28,877 | 11,791,634 | ||
194,040,226 | ||||
Information Technology — 36.2% | ||||
Adobe, Inc.* | 89,145 | 44,583,197 | ||
Akamai Technologies, Inc.* | 94,140 | 9,883,759 | ||
Apple, Inc. | 855,986 | 113,580,782 | ||
Autodesk, Inc.* | 157,012 | 47,942,044 | ||
Automatic Data Processing, Inc. | 27,449 | 4,836,514 | ||
Cisco Systems, Inc. | 220,299 | 9,858,380 | ||
Coupa Software, Inc.* | 9,225 | 3,126,445 | ||
Fidelity National Information Services, Inc. | 76,169 | 10,774,867 | ||
Genpact, Ltd. | 177,826 | 7,354,883 | ||
Intuit, Inc. | 61,775 | 23,465,234 | ||
Mastercard, Inc. Class A | 44,393 | 15,845,637 | ||
Microsoft Corporation | 342,598 | 76,200,647 | ||
Nutanix, Inc. Class A* | 140,916 | 4,490,993 | ||
NVIDIA Corporation | 89,959 | 46,976,590 | ||
Oracle Corporation | 357,711 | 23,140,325 | ||
Palo Alto Networks, Inc.* | 40,573 | 14,419,238 | ||
PayPal Holdings, Inc.* | 71,848 | 16,826,802 | ||
QUALCOMM, Inc. | 249,860 | 38,063,672 | ||
salesforce.com, Inc.* | 183,599 | 40,856,285 | ||
ServiceNow, Inc.* | 42,695 | 23,500,609 | ||
Snowflake, Inc. Class AΔ* | 8,793 | 2,474,350 | ||
Splunk, Inc.Δ* | 72,658 | 12,343,868 | ||
Square, Inc. Class A* | 79,000 | 17,193,560 | ||
Texas Instruments, Inc. | 56,404 | 9,257,589 | ||
Twilio, Inc. Class A* | 29,688 | 10,049,388 | ||
Visa, Inc. Class AΔ | 381,548 | 83,455,994 | ||
VMware, Inc. Class AΔ* | 59,394 | 8,330,602 | ||
Workday, Inc. Class A* | 53,188 | 12,744,377 | ||
Xperi Holding Corporation | 3 | 63 | ||
731,576,694 | ||||
Materials — 1.2% | ||||
Ecolab, Inc. | 45,032 | 9,743,123 |
Shares | Value | |||
Sherwin-Williams Co. (The) | 18,726 | $ 13,761,925 | ||
23,505,048 | ||||
Real Estate — 1.2% | ||||
Equinix, Inc. REIT | 15,843 | 11,314,754 | ||
SBA Communications Corporation REIT | 43,768 | 12,348,266 | ||
23,663,020 | ||||
Total Common Stocks (Cost $1,019,686,148) | 1,801,760,962 | |||
FOREIGN COMMON STOCKS — 7.7% | ||||
Canada — 0.6% | ||||
Shopify, Inc. Class A* | 10,988 | 12,437,867 | ||
China — 2.1% | ||||
Alibaba Group Holding, Ltd. ADR* | 187,246 | 43,577,761 | ||
Curacao — 0.4% | ||||
Schlumberger NV | 337,888 | 7,376,095 | ||
Israel — 0.2% | ||||
Fiverr International, Ltd.* | 18,616 | 3,631,982 | ||
Jersey — 0.5% | ||||
Aptiv PLC | 75,937 | 9,893,832 | ||
Netherlands — 1.3% | ||||
ASML Holding NV (NASDAQ Exchange) | 14,390 | 7,018,291 | ||
NXP Semiconductor NV | 118,890 | 18,904,699 | ||
25,922,990 |
Shares | Value | |||
Switzerland — 2.2% | ||||
Alcon, Inc.Δ* | 121,410 | $ 8,010,632 | ||
Novartis AG ADR | 219,338 | 20,712,087 | ||
Roche Holding AG ADRΔ | 373,687 | 16,382,438 | ||
45,105,157 | ||||
United Kingdom — 0.4% | ||||
Atlassian Corporation PLC Class A* | 36,360 | 8,503,513 | ||
Total Foreign Common Stocks (Cost $119,837,069) | 156,449,197 | |||
MONEY MARKET FUNDS — 3.4% | ||||
GuideStone Money Market Fund, 0.00% (Institutional Class)Ø∞ | 62,159,382 | 62,159,382 | ||
Northern Institutional Liquid Assets Portfolio (Shares), 0.08%ا | 5,775,025 | 5,775,025 | ||
Total Money Market Funds (Cost $67,934,407) | 67,934,407 | |||
TOTAL INVESTMENTS — 100.2% (Cost $1,207,457,624) | 2,026,144,566 | |||
Liabilities in Excess of Other Assets — (0.2)% | (3,732,491) | |||
NET ASSETS — 100.0% | $2,022,412,075 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
S&P 500® E-Mini | 03/2021 | 341 | $63,917,040 | $1,375,072 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Common Stocks | $1,801,760,962 | $1,801,760,962 | $ — | $ — | |||
Foreign Common Stocks | 156,449,197 | 156,449,197 | — | — | |||
Money Market Funds | 67,934,407 | 67,934,407 | — | — | |||
Total Assets - Investments in Securities | $2,026,144,566 | $2,026,144,566 | $ — | $ — | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $ 1,375,072 | $ 1,375,072 | $ — | $ — | |||
Total Assets - Other Financial Instruments | $ 1,375,072 | $ 1,375,072 | $ — | $ — |
*** | 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. |
% | |
Information Technology | 18.3 |
Industrials | 16.6 |
Financials | 16.4 |
Health Care | 15.9 |
Consumer Discretionary | 10.9 |
Money Market Funds | 6.8 |
Real Estate | 4.4 |
Materials | 4.3 |
Communication Services | 2.9 |
Consumer Staples | 2.3 |
Utilities | 1.8 |
Energy | 1.7 |
Master Limited Partnership | 0.5 |
Rights | —** |
102.8 | |
**Rounds to less than 0.05% |
Average Annual Total Returns as of 12/31/20 | |||||||
Institutional Class* | Investor Class* | Benchmark** | |||||
One Year | 20.07% | 19.75% | 19.90% | ||||
Five Year | 11.93% | 11.64% | 13.24% | ||||
Ten year | 10.80% | 10.54% | 11.19% | ||||
Since Inception | 8.16% | 7.95% | 9.02% | ||||
Inception Date | 08/27/01 | 08/27/01 | |||||
Total Fund Operating Expenses (May 1, 2020 Prospectus)(1) | 0.99% | 1.25% |
(1) | Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights. |
Shares | Value | |||
COMMON STOCKS — 92.9% | ||||
Communication Services — 2.6% | ||||
ATN International, Inc. | 17,125 | $ 715,140 | ||
Bandwidth, Inc. Class AΔ* | 26,852 | 4,126,347 | ||
Cardlytics, Inc.Δ* | 4,100 | 585,357 | ||
Cinemark Holdings, Inc.Δ | 46,790 | 814,614 | ||
Cogent Communications Holdings, Inc. | 9,400 | 562,778 | ||
comScore, Inc.Δ* | 36,660 | 91,283 | ||
Cumulus Media, Inc. Class AΔ* | 3,620 | 31,566 | ||
Entercom Communications Corporation Class A | 82,994 | 204,995 | ||
Entravision Communications Corporation Class A | 331,615 | 911,941 | ||
Glu Mobile, Inc.* | 96,238 | 867,104 | ||
Gogo, Inc.Δ* | 5,601 | 53,938 | ||
Madison Square Garden Sports Corporation* | 794 | 146,176 | ||
Marchex, Inc. Class BΔ* | 4,671 | 9,155 | ||
Nexstar Media Group, Inc. Class A | 7,838 | 855,831 | ||
Scholastic Corporation | 13,241 | 331,025 | ||
Shenandoah Telecommunications Co. | 31,600 | 1,366,700 | ||
Townsquare Media, Inc. Class A | 29,167 | 194,252 | ||
Tribune Publishing Co. | 9,696 | 132,835 | ||
TrueCar, Inc.* | 55,102 | 231,429 | ||
Vonage Holdings Corporation* | 252,600 | 3,252,225 | ||
Yelp, Inc.* | 81,070 | 2,648,557 | ||
18,133,248 | ||||
Consumer Discretionary — 10.9% | ||||
1-800-Flowers.com, Inc. Class AΔ* | 52,300 | 1,359,800 | ||
Adtalem Global Education, Inc.* | 32,468 | 1,102,289 | ||
American Axle & Manufacturing Holdings, Inc.* | 110,898 | 924,889 | ||
American Eagle Outfitters, Inc.Δ | 135,620 | 2,721,893 | ||
American Public Education, Inc.* | 9,544 | 290,901 | ||
At Home Group, Inc.Δ* | 88,700 | 1,371,302 | ||
Bassett Furniture Industries, Inc.Δ | 5,214 | 104,697 | ||
Beazer Homes USA, Inc.* | 40,798 | 618,090 | ||
Brinker International, Inc. | 20,450 | 1,156,857 | ||
Brunswick Corporation | 15,549 | 1,185,456 | ||
Callaway Golf Co.Δ | 68,200 | 1,637,482 | ||
Children's Place, Inc. (The)Δ* | 15,040 | 753,504 | ||
Chuy's Holdings, Inc.* | 25,840 | 684,502 | ||
Cooper-Standard Holdings, Inc.* | 24,829 | 860,821 | ||
Cracker Barrel Old Country Store, Inc. | 8,544 | 1,127,125 | ||
Dana, Inc.Δ | 77,491 | 1,512,624 | ||
Del Taco Restaurants, Inc.* | 49,022 | 444,139 | ||
Dick's Sporting Goods, Inc.Δ | 20,287 | 1,140,332 | ||
Goodyear Tire & Rubber Co. (The) | 136,801 | 1,492,499 | ||
GoPro, Inc. Class AΔ* | 96,136 | 796,006 | ||
H&R Block, Inc.Δ | 1,000 | 15,860 | ||
Haverty Furniture Cos., Inc. | 5,343 | 147,841 | ||
Helen of Troy, Ltd.* | 7,301 | 1,622,209 | ||
Hibbett Sports, Inc.* | 28,208 | 1,302,646 | ||
Hilton Grand Vacations, Inc.* | 50,800 | 1,592,580 | ||
Houghton Mifflin Harcourt Co.Δ* | 127,600 | 424,908 | ||
Jack in the Box, Inc. | 21,775 | 2,020,720 |
Shares | Value | |||
KB Home | 54,225 | $ 1,817,622 | ||
Lakeland Industries, Inc.Δ* | 9,320 | 253,970 | ||
La-Z-Boy, Inc. | 22,979 | 915,483 | ||
Leslie's, Inc.Δ* | 75,000 | 2,081,250 | ||
Malibu Boats, Inc. Class AΔ* | 74,313 | 4,640,104 | ||
MarineMax, Inc.* | 37,212 | 1,303,536 | ||
Modine Manufacturing Co.* | 37,519 | 471,239 | ||
Mohawk Industries, Inc.* | 6,785 | 956,346 | ||
National Vision Holdings, Inc.* | 76,500 | 3,464,685 | ||
ODP Corporation (The) | 20,964 | 614,245 | ||
Ollie's Bargain Outlet Holdings, Inc.* | 11,000 | 899,470 | ||
OneSpaWorld Holdings, Ltd.Δ | 96,000 | 973,440 | ||
OneWater Marine, Inc. Class A* | 42,251 | 1,229,082 | ||
Penske Automotive Group, Inc. | 40,137 | 2,383,737 | ||
Planet Fitness, Inc. Class A* | 24,000 | 1,863,120 | ||
Red Robin Gourmet Burgers, Inc.* | 59,947 | 1,152,781 | ||
Rent-A-Center, Inc. | 4,060 | 155,457 | ||
Rocky Brands, Inc. | 2,826 | 79,326 | ||
Signet Jewelers, Ltd. | 27,637 | 753,661 | ||
Skyline Champion Corporation* | 37,334 | 1,155,114 | ||
Smith & Wesson Brands, Inc.Δ | 34,607 | 614,274 | ||
Sonic Automotive, Inc. Class A | 20,531 | 791,881 | ||
Steven Madden, Ltd.Δ | 89,545 | 3,162,729 | ||
Tapestry, Inc. | 54,574 | 1,696,160 | ||
Taylor Morrison Home Corporation Class A* | 82,002 | 2,103,351 | ||
Tenneco, Inc. Class A* | 83,447 | 884,538 | ||
Texas Roadhouse, Inc. | 35,495 | 2,774,289 | ||
Tilly's, Inc. Class AΔ | 17,476 | 142,604 | ||
Unifi, Inc.* | 12,448 | 220,828 | ||
Universal Technical Institute, Inc.Δ* | 11,477 | 74,141 | ||
Vera Bradley, Inc.* | 36,999 | 294,512 | ||
Vista Outdoor, Inc.* | 45,420 | 1,079,179 | ||
Wendy's Co. (The) | 88,710 | 1,944,523 | ||
Wingstop, Inc. | 13,700 | 1,815,935 | ||
YETI Holdings, Inc.* | 40,202 | 2,752,631 | ||
75,927,215 | ||||
Consumer Staples — 2.3% | ||||
Albertsons Cos., Inc. Class AΔ | 17,510 | 307,826 | ||
Andersons, Inc. (The) | 16,900 | 414,219 | ||
BJ's Wholesale Club Holdings, Inc.* | 102,219 | 3,810,724 | ||
Central Garden & Pet Co. Class A* | 9,592 | 348,477 | ||
Edgewell Personal Care Co. | 52,575 | 1,818,044 | ||
Farmer Bros. Co.* | 8,833 | 41,250 | ||
J&J Snack Foods Corporation | 13,114 | 2,037,522 | ||
Landec Corporation* | 11,777 | 127,780 | ||
Pilgrim’s Pride Corporation* | 4,868 | 95,462 | ||
Post Holdings, Inc.Δ* | 691 | 69,798 | ||
Simply Good Foods Co. (The)* | 66,200 | 2,076,032 | ||
SpartanNash Co. | 29,607 | 515,458 | ||
Spectrum Brands Holdings, Inc. | 44,542 | 3,517,927 | ||
Vital Farms, Inc.Δ* | 35,800 | 906,098 | ||
16,086,617 | ||||
Energy — 1.7% | ||||
Arch Resources, Inc. | 20,377 | 891,901 | ||
Bonanza Creek Energy, Inc.* | 21,550 | 416,561 |
Shares | Value | |||
ChampionX Corporation* | 96,897 | $ 1,482,524 | ||
CONSOL Energy, Inc.Δ* | 5,381 | 38,797 | ||
Devon Energy Corporation | 10,121 | 160,013 | ||
Dorian LPG, Ltd.* | 51,540 | 628,273 | ||
Earthstone Energy, Inc. Class A* | 26,334 | 140,360 | ||
Exterran Corporation* | 23,348 | 103,198 | ||
Green Plains, Inc.Δ* | 56,867 | 748,938 | ||
International Seaways, Inc. | 28,974 | 473,145 | ||
Kosmos Energy, Ltd.Δ | 153,847 | 361,540 | ||
Nabors Industries, Ltd.Δ | 2,265 | 131,891 | ||
NCS Multistage Holdings, Inc.* | 2,220 | 49,963 | ||
Newpark Resources, Inc.* | 54,716 | 105,055 | ||
Oil States International, Inc.* | 91,634 | 460,003 | ||
Par Pacific Holdings, Inc.* | 34,751 | 485,819 | ||
Patterson-UTI Energy, Inc. | 272,068 | 1,431,078 | ||
PDC Energy, Inc.Δ* | 73,275 | 1,504,336 | ||
Plains GP Holdings LP Class A* | 13,106 | 110,746 | ||
ProPetro Holding Corporation* | 30,868 | 228,115 | ||
REX American Resources Corporation* | 4,040 | 296,819 | ||
SFL Corporation, Ltd. | 45,853 | 287,957 | ||
Targa Resources Corporation | 10,302 | 271,767 | ||
World Fuel Services Corporation | 36,851 | 1,148,277 | ||
11,957,076 | ||||
Financials — 16.4% | ||||
1st Source Corporation | 2,623 | 105,707 | ||
Altabancorp | 2,869 | 80,102 | ||
Amalgamated Bank Class A | 7,501 | 103,064 | ||
A-Mark Precious Metals, Inc. | 5,740 | 147,231 | ||
American Equity Investment Life Holding Co. | 58,813 | 1,626,768 | ||
American National Bankshares, Inc. | 1,023 | 26,813 | ||
Ameris Bancorp | 34,832 | 1,326,054 | ||
Argo Group International Holdings, Ltd. | 17,567 | 767,678 | ||
Assurant, Inc. | 1,745 | 237,704 | ||
Atlantic Capital Bancshares, Inc.* | 4,420 | 70,366 | ||
Axis Capital Holdings, Ltd. | 55,418 | 2,792,513 | ||
BancFirst CorporationΔ | 6,181 | 362,825 | ||
Bancorp, Inc. (The)* | 33,626 | 458,995 | ||
Bank First CorporationΔ | 959 | 62,162 | ||
Bank of Commerce Holdings | 2,638 | 26,116 | ||
Bank of Marin Bancorp | 2,893 | 99,346 | ||
BankFinancial Corporation | 650 | 5,707 | ||
BankUnited, Inc. | 63,086 | 2,194,131 | ||
Bankwell Financial Group, Inc. | 529 | 10,342 | ||
Banner Corporation | 6,296 | 293,331 | ||
BayCom CorporationΔ* | 1,470 | 22,300 | ||
BCB Bancorp, Inc. | 800 | 8,856 | ||
BGC Partners, Inc. Class A | 161,227 | 644,908 | ||
Bridgewater Bancshares, Inc.* | 8,616 | 107,614 | ||
Brighthouse Financial, Inc.* | 11,020 | 398,979 | ||
Bryn Mawr Bank CorporationΔ | 25,686 | 785,863 | ||
Cadence BanCorp | 92,229 | 1,514,400 | ||
Capital City Bank Group, Inc. | 3,338 | 82,048 | ||
Capstar Financial Holdings, Inc. | 4,404 | 64,959 | ||
Carter Bankshares, Inc. | 4,771 | 51,145 | ||
CBTX, Inc. | 6,243 | 159,259 |
Shares | Value | |||
Central Pacific Financial Corporation | 21,086 | $ 400,845 | ||
Central Valley Community Bancorp | 4,452 | 66,290 | ||
Chemung Financial Corporation | 864 | 29,333 | ||
CIIG Merger Corporation Class AΔ* | 25,300 | 711,436 | ||
City Holding Co.Δ | 17,917 | 1,246,127 | ||
CNB Financial Corporation | 2,519 | 53,630 | ||
Community Trust Bancorp, Inc. | 5,101 | 188,992 | ||
Cowen, Inc. Class AΔ | 30,164 | 783,962 | ||
CrossFirst Bankshares, Inc.* | 5,335 | 57,351 | ||
Donegal Group, Inc. Class A | 2,717 | 38,228 | ||
Donnelley Financial Solutions, Inc.* | 110,290 | 1,871,621 | ||
Eagle Bancorp, Inc. | 23,364 | 964,933 | ||
Employers Holdings, Inc. | 9,127 | 293,798 | ||
Enova International, Inc.* | 21,308 | 527,799 | ||
Enstar Group, Ltd.* | 1,500 | 307,335 | ||
Enterprise Financial Services Corporation | 28,944 | 1,011,593 | ||
Esquire Financial Holdings, Inc.* | 1,766 | 33,890 | ||
Essent Group, Ltd. | 45,206 | 1,952,899 | ||
Evans Bancorp, Inc. | 529 | 14,569 | ||
Evercore, Inc. Class A | 16,000 | 1,754,240 | ||
EZCORP, Inc. Class A* | 34,682 | 166,127 | ||
FB Financial CorporationΔ | 6,539 | 227,099 | ||
FedNat Holding Co. | 2,543 | 15,055 | ||
Financial Institutions, Inc. | 5,045 | 113,513 | ||
First BanCorp | 141,577 | 2,346,023 | ||
First Commonwealth Financial Corporation | 20,001 | 218,811 | ||
First Financial Bancorp | 75,697 | 1,326,968 | ||
First Financial Corporation | 3,279 | 127,389 | ||
First Foundation, Inc. | 18,075 | 361,500 | ||
First Hawaiian, Inc. | 17,158 | 404,586 | ||
First Internet Bancorp | 1,807 | 51,933 | ||
First Interstate BancSystem, Inc. Class A | 39,146 | 1,595,982 | ||
Flagstar Bancorp, Inc.Δ | 32,737 | 1,334,360 | ||
Focus Financial Partners, Inc. Class A* | 50,300 | 2,188,050 | ||
Global Indemnity Group LLC Class AΔ | 1,077 | 30,791 | ||
Great Southern Bancorp, Inc. | 3,182 | 155,600 | ||
Great Western Bancorp, Inc. | 38,595 | 806,636 | ||
Green Dot Corporation Class A* | 54,346 | 3,032,507 | ||
Guaranty Bancshares, Inc. | 1,658 | 49,657 | ||
Hallmark Financial Services, Inc.Δ* | 13,722 | 48,850 | ||
Hamilton Lane, Inc. Class AΔ | 50,602 | 3,949,486 | ||
Hanmi Financial Corporation | 24,187 | 274,281 | ||
HBT Financial, Inc. | 5,397 | 81,765 | ||
HCI Group, Inc. | 4,370 | 228,551 | ||
Heartland Financial USA, Inc. | 4,324 | 174,560 | ||
Heritage Financial CorporationΔ | 4,488 | 104,974 | ||
Heritage Insurance Holdings, Inc. | 8,956 | 90,724 | ||
Hilltop Holdings, Inc. | 46,104 | 1,268,321 | ||
Home Bancorp, Inc. | 821 | 22,980 | ||
Home BancShares, Inc. | 130,302 | 2,538,283 | ||
HomeStreet, Inc. | 17,416 | 587,790 | ||
HomeTrust Bancshares, Inc. | 6,095 | 117,694 | ||
Houlihan Lokey, Inc. | 21,500 | 1,445,445 | ||
Independent Bank Corporation | 32,193 | 1,912,688 |
Shares | Value | |||
Independent Bank Group, Inc. | 55,065 | $3,442,664 | ||
James River Group Holdings, Ltd. | 26,169 | 1,286,206 | ||
Kearny Financial Corporation | 5,549 | 58,597 | ||
Kemper Corporation | 10,034 | 770,912 | ||
Lakeland Bancorp, Inc. | 10,447 | 132,677 | ||
Lakeland Financial Corporation | 5,018 | 268,864 | ||
LendingClub Corporation* | 64,000 | 675,840 | ||
LendingTree, Inc.Δ* | 11,600 | 3,175,964 | ||
Live Oak Bancshares, Inc.Δ | 15,674 | 743,888 | ||
Macatawa Bank Corporation | 6,114 | 51,174 | ||
Marlin Business Services Corporation | 2,208 | 27,026 | ||
Merchants Bancorp | 3,358 | 92,782 | ||
Meridian Bancorp, Inc. | 9,486 | 141,436 | ||
Metropolitan Bank Holding Corporation* | 1,856 | 67,317 | ||
MidWestOne Financial Group, Inc. | 153 | 3,749 | ||
Nicolet Bankshares, Inc.* | 2,957 | 196,197 | ||
NMI Holdings, Inc. Class A* | 58,079 | 1,315,489 | ||
Northeast Bank | 1,500 | 33,780 | ||
Northrim BanCorp, Inc. | 2,712 | 92,072 | ||
OFG Bancorp | 31,297 | 580,246 | ||
Old National Bancorp | 173,821 | 2,878,476 | ||
Old Second Bancorp, Inc. | 2,387 | 24,109 | ||
OP Bancorp | 3,439 | 26,480 | ||
Origin Bancorp, Inc. | 36,585 | 1,015,965 | ||
Pacific Premier Bancorp, Inc.Δ | 104,244 | 3,265,965 | ||
PCSB Financial Corporation | 5,706 | 90,954 | ||
Peapack-Gladstone Financial Corporation | 9,150 | 208,254 | ||
Preferred Bank | 7,584 | 382,764 | ||
Premier Financial Corporation | 5,534 | 127,282 | ||
Primerica, Inc. | 4,659 | 623,980 | ||
ProAssurance Corporation | 19,819 | 352,580 | ||
Professional Holding Corporation Class A* | 1,267 | 19,550 | ||
ProSight Global, Inc.* | 53,752 | 689,638 | ||
QCR Holdings, Inc. | 11,484 | 454,652 | ||
RBB Bancorp | 6,169 | 94,879 | ||
Regional Management Corporation | 4,361 | 130,219 | ||
Reinsurance Group of America, Inc. | 3,453 | 400,203 | ||
Renasant Corporation | 19,453 | 655,177 | ||
Riverview Bancorp, Inc. | 4,225 | 22,224 | ||
RLI Corporation | 10,791 | 1,123,883 | ||
Select Bancorp, Inc.* | 1,734 | 16,421 | ||
Selective Insurance Group, Inc. | 58,660 | 3,929,047 | ||
Shore Bancshares, Inc. | 2,647 | 38,646 | ||
Sierra Bancorp | 3,346 | 80,036 | ||
Signature Bank | 19,598 | 2,651,413 | ||
SmartFinancial, Inc. | 2,650 | 48,071 | ||
South Mountain Merger Corporation Class AΔ* | 154,300 | 2,488,859 | ||
South Plains Financial, Inc. | 520 | 9,854 | ||
South State Corporation | 40,462 | 2,925,403 | ||
Southern First Bancshares, Inc.* | 2,327 | 82,259 | ||
Spirit of Texas Bancshares, Inc. | 2,142 | 35,986 | ||
State Auto Financial Corporation | 8,773 | 155,633 | ||
Stewart Information Services Corporation | 19,074 | 922,419 | ||
Stifel Financial Corporation | 49,176 | 2,481,421 |
Shares | Value | |||
StoneX Group, Inc.* | 400 | $ 23,160 | ||
Third Point Reinsurance, Ltd.* | 42,407 | 403,715 | ||
Towne Bank/Portsmouth VA | 37,588 | 882,566 | ||
TPG Pace Beneficial Finance Corporation Class AΔ* | 52,200 | 1,350,414 | ||
TriCo Bancshares | 7,032 | 248,089 | ||
TriState Capital Holdings, Inc.* | 9,072 | 157,853 | ||
TrustCo Bank Corporation | 47,464 | 316,585 | ||
UMB Financial Corporation | 46,733 | 3,224,110 | ||
Umpqua Holdings CorporationΔ | 93,450 | 1,414,833 | ||
United Community Banks, Inc. | 66,635 | 1,895,099 | ||
United Fire Group, Inc. | 9,478 | 237,898 | ||
United Insurance Holdings Corporation | 7,955 | 45,503 | ||
Universal Insurance Holdings, Inc. | 13,181 | 199,165 | ||
Valley National Bancorp | 385,506 | 3,758,684 | ||
Voya Financial, Inc. | 4,166 | 245,002 | ||
Washington Federal, Inc. | 18,177 | 467,876 | ||
Waterstone Financial, Inc. | 6,569 | 123,629 | ||
WesBanco, Inc. | 49,510 | 1,483,320 | ||
WSFS Financial CorporationΔ | 46,359 | 2,080,592 | ||
114,512,811 | ||||
Health Care — 15.3% | ||||
Acceleron Pharma, Inc.* | 29,500 | 3,774,230 | ||
Acorda Therapeutics, Inc.Δ* | 17,066 | 11,777 | ||
Adaptive Biotechnologies Corporation* | 51,800 | 3,062,934 | ||
Addus HomeCare CorporationΔ* | 23,900 | 2,798,451 | ||
Agios Pharmaceuticals, Inc.* | 29,630 | 1,283,868 | ||
Allscripts Healthcare Solutions, Inc.* | 95,748 | 1,382,601 | ||
Amicus Therapeutics, Inc.* | 88,660 | 2,047,159 | ||
AnaptysBio, Inc.* | 2,541 | 54,631 | ||
AngioDynamics, Inc.* | 23,450 | 359,488 | ||
Arcus Biosciences, Inc.* | 44,750 | 1,161,710 | ||
Assembly Biosciences, Inc.* | 2,491 | 15,071 | ||
Assertio Holdings, Inc.Δ* | 4,019 | 1,437 | ||
AtriCure, Inc.* | 56,820 | 3,163,169 | ||
BioLife Solutions, Inc.* | 27,900 | 1,112,931 | ||
Blueprint Medicines Corporation* | 50,340 | 5,645,631 | ||
Bridgebio Pharma, Inc.Δ* | 30,500 | 2,168,855 | ||
Castlight Health, Inc. Class BΔ* | 9,400 | 12,220 | ||
Certara, Inc.* | 14,700 | 495,684 | ||
ChemoCentryx, Inc.Δ* | 52,381 | 3,243,432 | ||
Chimerix, Inc.* | 41,281 | 199,387 | ||
Cidara Therapeutics, Inc.Δ* | 5,576 | 11,152 | ||
Computer Programs and Systems, Inc. | 6,636 | 178,110 | ||
Concert Pharmaceuticals, Inc.* | 16,230 | 205,147 | ||
CONMED Corporation | 21,414 | 2,398,368 | ||
Cross Country Healthcare, Inc.* | 20,355 | 180,549 | ||
CryoLife, Inc.Δ* | 60,676 | 1,432,560 | ||
Cyclerion Therapeutics, Inc.Δ* | 2,436 | 7,454 | ||
Cymabay Therapeutics, Inc.* | 7,396 | 42,453 | ||
Enanta Pharmaceuticals, Inc.* | 4,154 | 174,883 | ||
G1 Therapeutics, Inc.Δ* | 4,663 | 83,887 | ||
GenMark Diagnostics, Inc.* | 95,363 | 1,392,300 | ||
GlycoMimetics, Inc.Δ* | 9,310 | 35,006 | ||
Gossamer Bio, Inc.Δ* | 17,267 | 166,972 | ||
Halozyme Therapeutics, Inc.Δ* | 58,450 | 2,496,399 |
Shares | Value | |||
Hanger, Inc.* | 7,091 | $ 155,931 | ||
Harvard Bioscience, Inc.* | 8,404 | 36,053 | ||
HealthEquity, Inc.* | 12,400 | 864,404 | ||
HealthStream, Inc.* | 11,400 | 248,976 | ||
Inspire Medical Systems, Inc.* | 16,000 | 3,009,440 | ||
Intercept Pharmaceuticals, Inc.Δ* | 20,508 | 506,548 | ||
Intra-Cellular Therapies, Inc.* | 42,500 | 1,351,500 | ||
Invacare Corporation | 26,801 | 239,869 | ||
Jounce Therapeutics, Inc.Δ* | 5,194 | 36,358 | ||
KalVista Pharmaceuticals, Inc.* | 1,100 | 20,889 | ||
Kindred Biosciences, Inc.* | 10,455 | 45,061 | ||
Lannett Co., Inc.Δ* | 21,153 | 137,918 | ||
LHC Group, Inc.* | 8,600 | 1,834,552 | ||
Ligand Pharmaceuticals, Inc.Δ* | 22,358 | 2,223,503 | ||
Magellan Health, Inc.* | 15,008 | 1,243,263 | ||
Magenta Therapeutics, Inc.* | 1,200 | 9,408 | ||
MEDNAX, Inc.* | 27,482 | 674,408 | ||
Merit Medical Systems, Inc.* | 44,052 | 2,445,327 | ||
Mersana Therapeutics, Inc.* | 17,900 | 476,319 | ||
Molina Healthcare, Inc.* | 1,474 | 313,490 | ||
NanoString Technologies, Inc.Δ* | 34,100 | 2,280,608 | ||
Natera, Inc.Δ* | 47,795 | 4,756,558 | ||
National HealthCare Corporation | 6,640 | 440,962 | ||
NextCure, Inc.Δ* | 4,793 | 52,244 | ||
NuVasive, Inc.* | 36,165 | 2,037,174 | ||
Omnicell, Inc.Δ* | 13,490 | 1,619,070 | ||
Orthofix Medical, Inc.* | 6,773 | 291,104 | ||
Outset Medical, Inc.Δ* | 21,500 | 1,222,060 | ||
Owens & Minor, Inc. | 980 | 26,509 | ||
Palatin Technologies, Inc.* | 23,920 | 16,165 | ||
Phreesia, Inc.Δ* | 61,600 | 3,342,416 | ||
Poseida Therapeutics, Inc.Δ* | 1,850 | 20,295 | ||
Premier, Inc. Class A | 27,050 | 949,455 | ||
Prestige Consumer Healthcare, Inc.* | 54,900 | 1,914,363 | ||
PTC Therapeutics, Inc.* | 63,907 | 3,900,244 | ||
Pulmonx CorporationΔ* | 16,400 | 1,131,928 | ||
Rubius Therapeutics, Inc.Δ* | 15,712 | 119,254 | ||
Selecta Biosciences, Inc.Δ* | 30,917 | 93,679 | ||
Shockwave Medical, Inc.* | 34,784 | 3,607,796 | ||
Silk Road Medical, Inc.* | 30,300 | 1,908,294 | ||
Solid Biosciences, Inc.Δ* | 13,920 | 105,514 | ||
Spectrum Pharmaceuticals, Inc.* | 103,045 | 351,383 | ||
STAAR Surgical Co.* | 24,000 | 1,901,280 | ||
Supernus Pharmaceuticals, Inc.* | 94,735 | 2,383,533 | ||
Sutro Biopharma, Inc.Δ* | 3,091 | 67,106 | ||
Tabula Rasa HealthCare, Inc.Δ* | 39,636 | 1,698,006 | ||
Tandem Diabetes Care, Inc.* | 20,700 | 1,980,576 | ||
Tarsus Pharmaceuticals, Inc.Δ* | 25,500 | 1,053,915 | ||
Taysha Gene Therapies, Inc.Δ* | 21,500 | 570,610 | ||
Theravance Biopharma, Inc.Δ* | 6,628 | 117,780 | ||
TransMedics Group, Inc.Δ* | 28,504 | 567,230 | ||
Travere Therapeutics, Inc.* | 81,619 | 2,224,526 | ||
Ultragenyx Pharmaceutical, Inc.* | 28,425 | 3,934,873 | ||
United Therapeutics Corporation* | 3,083 | 467,969 | ||
Vanda Pharmaceuticals, Inc.* | 160,137 | 2,104,200 | ||
Varex Imaging Corporation* | 40,045 | 667,951 | ||
Verastem, Inc.Δ* | 25,200 | 53,676 |
Shares | Value | |||
VYNE Therapeutics, Inc.Δ* | 31,855 | $ 50,331 | ||
106,703,760 | ||||
Industrials — 16.5% | ||||
ABM Industries, Inc. | 49,806 | 1,884,659 | ||
ACCO Brands Corporation | 65,605 | 554,362 | ||
AGCO Corporation | 7,469 | 769,979 | ||
Albany International Corporation Class A | 32,233 | 2,366,547 | ||
Allegiant Travel Co. | 4,812 | 910,623 | ||
Ameresco, Inc. Class A* | 30,747 | 1,606,223 | ||
Apogee Enterprises, Inc.Δ | 18,256 | 578,350 | ||
Applied Industrial Technologies, Inc. | 25,516 | 1,989,993 | ||
ArcBest Corporation | 21,377 | 912,157 | ||
Arcosa, Inc. | 26,258 | 1,442,352 | ||
ASGN, Inc.* | 65,089 | 5,436,884 | ||
Astec Industries, Inc. | 9,650 | 558,542 | ||
Astronics Corporation* | 30,237 | 400,036 | ||
Axon Enterprise, Inc.* | 16,600 | 2,033,998 | ||
AZEK Co., Inc. (The)* | 76,600 | 2,945,270 | ||
Barnes Group, Inc. | 25,608 | 1,298,070 | ||
Barrett Business Services, Inc. | 12,548 | 855,899 | ||
Boise Cascade Co. | 89,358 | 4,271,312 | ||
BrightView Holdings, Inc.* | 88,366 | 1,336,094 | ||
Brink's Co. (The) | 32,819 | 2,362,968 | ||
Builders FirstSource, Inc.Δ* | 47,100 | 1,922,151 | ||
CAI International, Inc. | 2,521 | 78,756 | ||
Casella Waste Systems, Inc. Class A* | 65,223 | 4,040,565 | ||
CECO Environmental Corporation* | 63,930 | 444,953 | ||
Charah Solutions, Inc.Δ* | 95,500 | 274,085 | ||
Clean Harbors, Inc.* | 31,500 | 2,397,150 | ||
Colfax Corporation* | 24,820 | 949,117 | ||
Columbus McKinnon Corporation | 42,349 | 1,627,896 | ||
Covenant Logistics Group, Inc.* | 8,860 | 131,217 | ||
Deluxe Corporation | 58,233 | 1,700,404 | ||
DXP Enterprises, Inc.* | 50,841 | 1,130,195 | ||
Dycom Industries, Inc.* | 13,178 | 995,203 | ||
Echo Global Logistics, Inc.* | 15,515 | 416,112 | ||
EMCOR Group, Inc. | 28,663 | 2,621,518 | ||
EnPro Industries, Inc. | 10,299 | 777,780 | ||
ESCO Technologies, Inc. | 15,988 | 1,650,281 | ||
Exponent, Inc. | 18,800 | 1,692,564 | ||
Federal Signal Corporation | 60,062 | 1,992,257 | ||
Foundation Building Materials, Inc.* | 11,877 | 228,157 | ||
GMS, Inc.* | 51,239 | 1,561,765 | ||
GP Strategies Corporation* | 400 | 4,744 | ||
Graham Corporation | 30,239 | 459,028 | ||
Healthcare Services Group, Inc. | 39,530 | 1,110,793 | ||
Heidrick & Struggles International, Inc. | 13,068 | 383,938 | ||
Herc Holdings, Inc.* | 15,194 | 1,009,034 | ||
Hub Group, Inc. Class A* | 34,905 | 1,989,585 | ||
Hurco Cos., Inc. | 10,836 | 325,080 | ||
Hyster-Yale Materials Handling, Inc. | 2,500 | 148,875 | ||
IBEX Holdings, Ltd.Δ* | 23,165 | 433,186 | ||
Insperity, Inc. | 9,170 | 746,621 | ||
Interface, Inc. | 66,241 | 695,531 |
Shares | Value | |||
Kadant, Inc. | 14,494 | $ 2,043,364 | ||
KAR Auction Services, Inc. | 90,823 | 1,690,216 | ||
Kelly Services, Inc. Class AΔ | 14,515 | 298,574 | ||
Kimball International, Inc. Class B | 24,362 | 291,126 | ||
Korn Ferry | 34,743 | 1,511,320 | ||
L.B. Foster Co. Class A* | 3,644 | 54,842 | ||
LSI Industries, Inc. | 8,430 | 72,161 | ||
Lydall, Inc.Δ* | 4,447 | 133,543 | ||
Manitowoc Co., Inc. (The)* | 25,213 | 335,585 | ||
ManpowerGroup, Inc. | 4,083 | 368,205 | ||
MasTec, Inc.* | 35,016 | 2,387,391 | ||
Matrix Service Co.* | 14,829 | 163,416 | ||
MRC Global, Inc.* | 77,476 | 513,666 | ||
MYR Group, Inc.* | 45,117 | 2,711,532 | ||
NOW, Inc.* | 96,580 | 693,444 | ||
NV5 Global, Inc.* | 6,431 | 506,634 | ||
Orion Group Holdings, Inc.* | 21,975 | 108,996 | ||
Park-Ohio Holdings Corporation | 4,619 | 142,727 | ||
Pitney Bowes, Inc.Δ | 126,217 | 777,497 | ||
Powell Industries, Inc. | 5,376 | 158,538 | ||
Primoris Services Corporation | 24,488 | 676,114 | ||
Proto Labs, Inc.* | 6,600 | 1,012,440 | ||
Quanex Building Products Corporation | 12,633 | 280,074 | ||
Radiant Logistics, Inc.* | 13,631 | 79,060 | ||
Resideo Technologies, Inc.* | 13,216 | 280,972 | ||
REV Group, Inc. | 26,424 | 232,795 | ||
Rexnord CorporationΔ | 134,623 | 5,316,262 | ||
Rush Enterprises, Inc. Class A | 2,320 | 96,094 | ||
SkyWest, Inc. | 10,768 | 434,058 | ||
Steelcase, Inc. Class A | 67,319 | 912,172 | ||
Team, Inc.* | 7,527 | 82,044 | ||
Terex Corporation | 29,975 | 1,045,828 | ||
Tetra Tech, Inc. | 24,621 | 2,850,619 | ||
Textainer Group Holdings, Ltd.* | 4,445 | 85,255 | ||
Timken Co. (The) | 14,532 | 1,124,196 | ||
TPI Composites, Inc.* | 24,500 | 1,293,110 | ||
TriNet Group, Inc.* | 33,500 | 2,700,100 | ||
Triumph Group, Inc. | 46,374 | 582,457 | ||
TrueBlue, Inc.* | 22,142 | 413,834 | ||
Tutor Perini Corporation* | 39,778 | 515,125 | ||
UniFirst Corporation | 2,548 | 539,386 | ||
US Ecology, Inc. | 39,676 | 1,441,429 | ||
US Xpress Enterprises, Inc. Class AΔ* | 11,305 | 77,326 | ||
USA Truck, Inc.* | 2,599 | 23,209 | ||
Vectrus, Inc.* | 7,803 | 387,965 | ||
Veritiv Corporation* | 10,639 | 221,185 | ||
Wabash National Corporation | 28,230 | 486,403 | ||
Werner Enterprises, Inc. | 37,110 | 1,455,454 | ||
WESCO International, Inc.* | 34,729 | 2,726,226 | ||
WillScot Mobile Mini Holdings Corporation* | 181,748 | 4,211,101 | ||
114,997,929 | ||||
Information Technology — 16.7% | ||||
2U, Inc.Δ* | 53,800 | 2,152,538 | ||
ADTRAN, Inc. | 15,821 | 233,676 | ||
Advanced Energy Industries, Inc.* | 7,065 | 685,093 |
Shares | Value | |||
Allegro MicroSystems, Inc.* | 52,900 | $1,410,314 | ||
Alpha & Omega Semiconductor, Ltd.* | 12,529 | 296,186 | ||
Arlo Technologies, Inc.* | 40,505 | 315,534 | ||
Asure Software, Inc.Δ* | 3,700 | 26,270 | ||
Aviat Networks, Inc.* | 2,112 | 72,125 | ||
Avnet, Inc. | 78,186 | 2,745,110 | ||
Bel Fuse, Inc. Class B | 4,316 | 64,870 | ||
Belden, Inc. | 37,736 | 1,581,138 | ||
Benchmark Electronics, Inc. | 25,654 | 692,915 | ||
Blackbaud, Inc. | 6,867 | 395,265 | ||
Blackline, Inc.* | 8,670 | 1,156,405 | ||
Bottomline Technologies de, Inc.* | 38,100 | 2,009,394 | ||
Box, Inc. Class A* | 28,698 | 517,999 | ||
Brooks Automation, Inc. | 58,787 | 3,988,698 | ||
Cass Information Systems, Inc. | 10,167 | 395,598 | ||
CDK Global, Inc. | 18,604 | 964,245 | ||
Cirrus Logic, Inc.* | 4,534 | 372,695 | ||
CMC Materials, Inc. | 9,200 | 1,391,960 | ||
Coherent, Inc.* | 14,772 | 2,216,095 | ||
CommScope Holding Co., Inc.* | 28,375 | 380,225 | ||
Comtech Telecommunications Corporation | 25,615 | 529,974 | ||
Daktronics, Inc. | 18,731 | 87,661 | ||
Diebold Nixdorf, Inc.* | 11,240 | 119,818 | ||
DZS, Inc.Δ* | 3,711 | 57,409 | ||
EMCORE Corporation* | 8,382 | 45,682 | ||
Envestnet, Inc.* | 26,100 | 2,147,769 | ||
EVERTEC, Inc. | 42,372 | 1,666,067 | ||
Evo Payments, Inc. Class A* | 67,200 | 1,815,072 | ||
ExlService Holdings, Inc.* | 68,164 | 5,802,801 | ||
I3 Verticals, Inc. Class AΔ* | 70,200 | 2,330,640 | ||
II-VI, Inc.Δ* | 65,874 | 5,003,789 | ||
Infinera CorporationΔ* | 69,938 | 732,950 | ||
J2 Global, Inc.Δ* | 29,436 | 2,875,603 | ||
KBR, Inc. | 59,756 | 1,848,253 | ||
Kimball Electronics, Inc.* | 4,378 | 70,004 | ||
Kulicke & Soffa Industries, Inc. | 96,758 | 3,077,872 | ||
KVH Industries, Inc.* | 476 | 5,403 | ||
Littelfuse, Inc. | 10,400 | 2,648,464 | ||
MACOM Technology Solutions Holdings, Inc.* | 11,338 | 624,044 | ||
MaxLinear, Inc.* | 58,196 | 2,222,505 | ||
Medallia, Inc.Δ* | 90,900 | 3,019,698 | ||
MKS Instruments, Inc. | 16,770 | 2,523,047 | ||
NeoPhotonics Corporation* | 52,746 | 479,461 | ||
NETGEAR, Inc.* | 59,773 | 2,428,577 | ||
NetScout Systems, Inc.* | 30,779 | 843,960 | ||
New Relic, Inc.Δ* | 37,000 | 2,419,800 | ||
NIC, Inc. | 132,300 | 3,417,309 | ||
nLight, Inc.Δ* | 45,900 | 1,498,635 | ||
Onto Innovation, Inc.* | 60,776 | 2,889,899 | ||
PCTEL, Inc.* | 5,188 | 34,085 | ||
Pixelworks, Inc.* | 14,011 | 39,511 | ||
Plantronics, Inc.Δ | 39,625 | 1,071,064 | ||
Priority Technology Holdings, Inc.Δ* | 122,900 | 865,216 | ||
Q2 Holdings, Inc.Δ* | 61,117 | 7,733,134 | ||
Quantum Corporation* | 13,827 | 84,621 | ||
Rapid7, Inc.* | 38,327 | 3,455,562 |
Shares | Value | |||
Repay Holdings CorporationΔ* | 124,200 | $ 3,384,450 | ||
Ribbon Communications, Inc.* | 41,395 | 271,551 | ||
Sailpoint Technologies Holdings, Inc.Δ* | 82,800 | 4,408,272 | ||
Sapiens International Corporation NV | 15,196 | 465,150 | ||
ScanSource, Inc.* | 8,488 | 223,913 | ||
Semtech Corporation* | 30,385 | 2,190,455 | ||
Silicon Laboratories, Inc.* | 14,035 | 1,787,217 | ||
SMART Global Holdings, Inc.Δ* | 3,132 | 117,857 | ||
Smartsheet, Inc. Class A* | 43,300 | 3,000,257 | ||
Sumo Logic, Inc.Δ* | 21,000 | 600,180 | ||
Super Micro Computer, Inc.* | 9,435 | 298,712 | ||
Synaptics, Inc.* | 9,948 | 958,987 | ||
Synchronoss Technologies, Inc.Δ* | 39,211 | 184,292 | ||
Teradata Corporation* | 110,928 | 2,492,552 | ||
Unisys Corporation* | 23,277 | 458,091 | ||
Varonis Systems, Inc.* | 10,191 | 1,667,350 | ||
Veeco Instruments, Inc.* | 41,709 | 724,068 | ||
Vertex, Inc. Class AΔ* | 61,600 | 2,146,760 | ||
115,959,821 | ||||
Materials — 4.3% | ||||
AdvanSix, Inc.* | 21,259 | 424,967 | ||
Ashland Global Holdings, Inc. | 5,170 | 409,464 | ||
Avient Corporation | 44,900 | 1,808,572 | ||
Balchem Corporation | 13,144 | 1,514,452 | ||
Coeur Mining, Inc.* | 83,817 | 867,506 | ||
Element Solutions, Inc. | 17,414 | 308,750 | ||
Ferro Corporation* | 85,017 | 1,243,799 | ||
Graphic Packaging Holding Co. | 166,653 | 2,823,102 | ||
Kaiser Aluminum Corporation | 23,915 | 2,365,193 | ||
Kraton Corporation* | 16,482 | 458,035 | ||
Minerals Technologies, Inc. | 66,024 | 4,101,411 | ||
Neenah, Inc. | 35,574 | 1,967,954 | ||
O-I Glass, Inc. | 20,889 | 248,579 | ||
Olympic Steel, Inc. | 7,364 | 98,162 | ||
Pactiv Evergreen, Inc.Δ* | 86,350 | 1,566,389 | ||
Quaker Chemical CorporationΔ | 10,175 | 2,578,243 | ||
Ryerson Holding Corporation* | 12,472 | 170,118 | ||
Schnitzer Steel Industries, Inc. Class A | 25,656 | 818,683 | ||
Stepan Co. | 7,606 | 907,548 | ||
Summit Materials, Inc. Class A* | 41,719 | 837,718 | ||
SunCoke Energy, Inc. | 62,001 | 269,704 | ||
Tecnoglass, Inc. | 101,408 | 700,729 | ||
TimkenSteel Corporation* | 31,396 | 146,619 | ||
Trecora Resources* | 1,700 | 11,883 | ||
Trinseo SA | 20,642 | 1,057,077 | ||
Verso Corporation Class A | 7,734 | 92,963 | ||
Worthington Industries, Inc. | 45,255 | 2,323,392 | ||
30,121,012 | ||||
Real Estate — 4.4% | ||||
Altisource Portfolio Solutions SAΔ* | 3,725 | 47,978 | ||
American Assets Trust, Inc. REIT | 38,255 | 1,104,804 | ||
Armada Hoffler Properties, Inc. REIT | 103,829 | 1,164,961 | ||
Brandywine Realty Trust REIT | 136,361 | 1,624,060 | ||
Centerspace REIT | 9,133 | 645,155 |
Shares | Value | |||
Clipper Realty, Inc. REITΔ | 1,717 | $ 12,105 | ||
CoreCivic, Inc. REIT | 133,560 | 874,818 | ||
CorePoint Lodging, Inc. REIT | 21,820 | 150,122 | ||
Cousins Properties, Inc. REIT | 62,626 | 2,097,971 | ||
CTO Realty Growth, Inc. | 2,609 | 109,995 | ||
EastGroup Properties, Inc. REITΔ | 15,767 | 2,176,792 | ||
Fathom Holdings, Inc.Δ* | 960 | 34,598 | ||
Forestar Group, Inc.* | 5,552 | 112,039 | ||
Four Corners Property Trust, Inc. REIT | 31,495 | 937,606 | ||
Franklin Street Properties Corporation REIT | 34,957 | 152,762 | ||
Highwoods Properties, Inc. REIT | 16,889 | 669,311 | ||
iStar, Inc. REITΔ | 42,637 | 633,160 | ||
Kennedy-Wilson Holdings, Inc. | 143,925 | 2,574,818 | ||
Kite Realty Group Trust REIT | 176,314 | 2,637,658 | ||
Lexington Realty Trust REITΔ | 182,548 | 1,938,660 | ||
National Health Investors, Inc. REIT | 11,741 | 812,125 | ||
National Storage Affiliates Trust REIT | 35,106 | 1,264,869 | ||
NETSTREIT Corporation | 1,915 | 37,323 | ||
New Senior Investment Group, Inc. REIT | 63,363 | 328,220 | ||
Pebblebrook Hotel Trust REIT | 52,852 | 993,618 | ||
Physicians Realty Trust REIT | 155,325 | 2,764,785 | ||
Piedmont Office Realty Trust, Inc. Class A REIT | 50,807 | 824,598 | ||
Realogy Holdings Corporation* | 73,742 | 967,495 | ||
Retail Opportunity Investments Corporation REIT | 8,572 | 114,779 | ||
Retail Value, Inc. REIT | 10,893 | 161,979 | ||
RPT Realty REIT | 106,737 | 923,275 | ||
Sabra Health Care REIT, Inc. | 16,508 | 286,744 | ||
Spirit Realty Capital, Inc. REIT | 7,738 | 310,836 | ||
Summit Hotel Properties, Inc. REIT | 43,537 | 392,268 | ||
Weingarten Realty Investors REIT | 41,933 | 908,688 | ||
30,790,975 | ||||
Utilities — 1.8% | ||||
Black Hills Corporation | 23,348 | 1,434,735 | ||
Hawaiian Electric Industries, Inc. | 4,889 | 173,022 | ||
NorthWestern Corporation | 36,517 | 2,129,306 | ||
Portland General Electric Co. | 23,564 | 1,007,832 | ||
South Jersey Industries, Inc.Δ | 89,981 | 1,939,090 | ||
Southwest Gas Holdings, Inc. | 10,172 | 617,949 | ||
Spire, Inc. | 35,875 | 2,297,435 | ||
Sunnova Energy International, Inc.* | 58,200 | 2,626,566 | ||
12,225,935 | ||||
Total Common Stocks (Cost $498,954,134) | 647,416,399 | |||
FOREIGN COMMON STOCKS — 2.3% | ||||
Canada — 0.0% | ||||
DIRTT Environmental SolutionsΔ* | 15,484 | 38,245 | ||
France — 0.2% | ||||
Talend SA ADRΔ* | 29,600 | 1,134,864 |
Shares | Value | |||
Germany — 0.2% | ||||
Greenlight Capital Re, Ltd. Class AΔ* | 15,328 | $ 112,048 | ||
MorphoSys AG ADR* | 42,200 | 1,195,948 | ||
1,307,996 | ||||
Ireland — 0.0% | ||||
Prothena Corporation PLC* | 20,251 | 243,214 | ||
Strongbridge Biopharma PLC* | 27,823 | 67,610 | ||
310,824 | ||||
Israel — 0.3% | ||||
JFrog, Ltd.Δ* | 25,000 | 1,570,750 | ||
Tufin Software Technologies, Ltd.Δ* | 66,100 | 824,928 | ||
2,395,678 | ||||
Jersey — 1.2% | ||||
Mimecast, Ltd.* | 25,537 | 1,451,523 | ||
Quotient, Ltd.Δ* | 185,400 | 965,934 | ||
WNS Holdings, Ltd. ADR* | 79,950 | 5,760,398 | ||
8,177,855 | ||||
Switzerland — 0.1% | ||||
CRISPR Therapeutics AG* | 3,500 | 535,885 | ||
United Kingdom — 0.3% | ||||
Cardtronics PLC Class A* | 20,569 | 726,086 | ||
LivaNova PLC* | 16,156 | 1,069,689 | ||
Luxfer Holdings PLC | 36,860 | 605,241 | ||
2,401,016 | ||||
Total Foreign Common Stocks (Cost $14,082,380) | 16,302,363 | |||
PREFERRED STOCK — 0.3% | ||||
CuriosityStream LLC | ||||
0.00 CONVΨ†††* (Cost $1,956,000) | 195,600 | 1,956,000 | ||
Total Preferred Stocks (Cost $1,956,000) | 1,956,000 | |||
MASTER LIMITED PARTNERSHIP — 0.5% | ||||
Compass Diversified Holdings | 140,262 | 2,728,096 | ||
Enviva Partners LP | 22,374 | 1,016,227 | ||
Total Master Limited Partnership (Cost $3,495,913) | 3,744,323 | |||
RIGHTS — 0.0% | ||||
Aduro Biotech, Inc.†††Δ* (Cost $—) | 2,713 | — | ||
MONEY MARKET FUNDS — 6.8% | ||||
GuideStone Money Market Fund, 0.00% (Institutional Class)Ø∞ | 25,630,941 | 25,630,941 | ||
Northern Institutional Liquid Assets Portfolio (Shares), 0.08%ا | 21,315,854 | 21,315,854 |
Shares | Value | |||
Northern Institutional U.S. Government Portfolio (Shares), 0.00%Ø | 107,807 | $ 107,807 | ||
Total Money Market Funds (Cost $47,054,601) | 47,054,602 | |||
TOTAL INVESTMENTS — 102.8% (Cost $565,543,028) | 716,473,687 | |||
Liabilities in Excess of Other Assets — (2.8)% | (19,658,474) | |||
NET ASSETS — 100.0% | $696,815,213 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
CME Russell 2000 Index E-Mini | 03/2021 | 271 | $26,758,540 | $594,459 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Common Stocks | $647,416,399 | $647,416,399 | $ — | $ — | |||
Foreign Common Stocks | 16,302,363 | 16,302,363 | — | — | |||
Master Limited Partnership | 3,744,323 | 3,744,323 | — | — | |||
Money Market Funds | 47,054,602 | 47,054,602 | — | — | |||
Preferred Stock | 1,956,000 | — | — | 1,956,000 | |||
Rights | — | — | — | — | |||
Total Assets - Investments in Securities | $716,473,687 | $714,517,687 | $ — | $1,956,000 | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $ 594,459 | $ 594,459 | $ — | $ — | |||
Total Assets - Other Financial Instruments | $ 594,459 | $ 594,459 | $ — | $ — |
*** | 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. |
% | |
Financials | 16.2 |
Industrials | 15.2 |
Health Care | 12.2 |
Consumer Discretionary | 11.4 |
Consumer Staples | 9.1 |
Information Technology | 8.9 |
Materials | 7.8 |
Communication Services | 5.3 |
Utilities | 4.1 |
Money Market Funds | 4.1 |
Energy | 3.1 |
Real Estate | 3.1 |
Rights | —** |
100.5 | |
**Rounds to less than 0.05% |
Average Annual Total Returns as of 12/31/20 | |||||
Institutional Class* | Benchmark** | ||||
One Year | 8.17% | 7.79% | |||
Five Year | 7.68% | 7.45% | |||
Ten year | N/A | N/A | |||
Since Inception | 4.88% | 4.92% | |||
Inception Date | 06/01/15 | ||||
Total Fund Operating Expenses (May 1, 2020 Prospectus)(1) | 0.24% |
(1) | Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights. |
Shares | Value | |||
FOREIGN COMMON STOCKS — 95.8% | ||||
Australia — 6.7% | ||||
Afterpay, Ltd.* | 10,107 | $ 919,455 | ||
AGL Energy, Ltd. | 36,482 | 336,103 | ||
AMP, Ltd. | 113,756 | 136,812 | ||
Ampol, Ltd. | 11,404 | 249,866 | ||
APA Group | 53,822 | 400,418 | ||
ASX, Ltd. | 12,087 | 670,930 | ||
Aurizon Holdings, Ltd. | 137,275 | 412,745 | ||
AusNet Services | 185,504 | 250,990 | ||
Australia & New Zealand Banking Group, Ltd. | 146,614 | 2,565,828 | ||
BHP Group, Ltd. | 140,858 | 4,607,664 | ||
BlueScope Steel, Ltd. | 20,263 | 273,068 | ||
Brambles, Ltd. | 90,382 | 738,608 | ||
CIMIC Group, Ltd.* | 2,882 | 54,147 | ||
Coca-Cola Amatil, Ltd. | 71,598 | 713,716 | ||
Cochlear, Ltd. | 3,288 | 479,093 | ||
Coles Group, Ltd. | 75,057 | 1,049,675 | ||
Commonwealth Bank of Australia | 86,026 | 5,445,679 | ||
Computershare, Ltd. | 44,623 | 501,927 | ||
CSL, Ltd. | 22,218 | 4,850,581 | ||
Dexus REIT | 62,896 | 455,803 | ||
Evolution Mining, Ltd. | 54,804 | 210,833 | ||
Fortescue Metals Group, Ltd. | 82,232 | 1,485,386 | ||
Goodman Group REIT | 95,455 | 1,391,607 | ||
GPT Group (The) REIT (Athens Exchange) | 130,876 | 454,045 | ||
Insurance Australia Group, Ltd. | 151,186 | 547,817 | ||
Lendlease Corporation, Ltd. | 34,784 | 351,299 | ||
Macquarie Group, Ltd. | 16,279 | 1,737,965 | ||
Magellan Financial Group, Ltd. | 5,400 | 223,394 | ||
Medibank Pvt., Ltd. | 222,639 | 516,647 | ||
Mirvac Group REIT | 247,355 | 503,444 | ||
National Australia Bank, Ltd. | 162,373 | 2,829,101 | ||
Newcrest Mining, Ltd. | 36,206 | 719,598 | ||
Northern Star Resources, Ltd. | 45,766 | 447,745 | ||
Orica, Ltd. | 36,339 | 424,436 | ||
Origin Energy, Ltd. | 62,971 | 231,086 | ||
Qantas Airways, Ltd.* | 66,392 | 248,247 | ||
QBE Insurance Group, Ltd. | 71,406 | 469,580 | ||
REA Group, Ltd. | 5,388 | 618,346 | ||
Rio Tinto, Ltd. | 15,887 | 1,394,199 | ||
Santos, Ltd. | 107,596 | 520,104 | ||
Scentre Group REIT | 252,947 | 542,126 | ||
SEEK, Ltd. | 15,462 | 340,090 | ||
Sonic Healthcare, Ltd. | 25,549 | 633,259 | ||
South32, Ltd. | 201,814 | 384,304 | ||
Stockland REIT | 85,681 | 276,113 | ||
Suncorp Group, Ltd. | 85,021 | 638,427 | ||
Sydney Airport* | 102,461 | 506,341 | ||
Telstra Corporation, Ltd. | 295,063 | 677,887 | ||
TPG Telecom, Ltd.* | 15,539 | 86,494 | ||
Transurban Group | 151,919 | 1,599,886 | ||
Unibail-Rodamco-Westfield | 10,140 | 39,869 | ||
Vicinity Centres REIT | 137,781 | 170,487 | ||
Washington H Soul Pattinson & Co., Ltd.Δ | 1,395 | 32,361 |
Shares | Value | |||
Wesfarmers, Ltd. | 67,612 | $ 2,627,124 | ||
Westpac Banking Corporation | 172,525 | 2,576,368 | ||
Woodside Petroleum, Ltd. | 43,699 | 766,105 | ||
52,335,228 | ||||
Austria — 0.2% | ||||
Erste Group Bank AG* | 12,654 | 385,476 | ||
OMV AG | 10,806 | 431,625 | ||
Raiffeisen Bank International AG* | 17,854 | 362,823 | ||
Verbund AG | 1,978 | 168,045 | ||
voestalpine AG | 4,506 | 160,822 | ||
1,508,791 | ||||
Belgium — 0.7% | ||||
Ageas SA/NV | 8,844 | 470,850 | ||
Elia Group SA/NVΔ | 3,556 | 423,558 | ||
Etablissements Franz Colruyt NV | 5,111 | 302,640 | ||
Galapagos NV* | 1,973 | 193,982 | ||
Groupe Bruxelles Lambert SA | 5,551 | 559,599 | ||
KBC Group NV* | 13,105 | 917,037 | ||
Proximus SADP | 7,723 | 152,938 | ||
Sofina SA | 1,614 | 546,173 | ||
Solvay SA | 4,910 | 581,116 | ||
UCB SA | 7,331 | 756,596 | ||
Umicore SAΔ | 9,507 | 456,323 | ||
5,360,812 | ||||
Denmark — 2.2% | ||||
Ambu A/S Class BΔ | 12,493 | 536,692 | ||
AP Moeller - Maersk A/S Class A | 549 | 1,134,115 | ||
AP Moeller - Maersk A/S Class B | 60 | 133,515 | ||
Chr. Hansen Holding A/S* | 9,414 | 972,671 | ||
Coloplast A/S Class B | 7,502 | 1,147,272 | ||
Danske Bank A/S* | 52,273 | 863,938 | ||
Demant A/S* | 13,113 | 518,300 | ||
DSV Panalpina A/S | 11,994 | 2,015,733 | ||
Genmab A/S* | 4,030 | 1,634,140 | ||
GN Store Nord A/S | 11,286 | 899,654 | ||
H Lundbeck A/S | 15,592 | 533,777 | ||
Novozymes A/S, B Shares | 12,803 | 729,258 | ||
Orsted A/S 144A | 10,730 | 2,195,415 | ||
Pandora A/S | 6,048 | 676,879 | ||
Tryg A/S | 14,443 | 454,249 | ||
Vestas Wind Systems A/S | 12,338 | 2,914,599 | ||
17,360,207 | ||||
Finland — 1.2% | ||||
Elisa OYJ | 7,229 | 396,289 | ||
Fortum OYJ | 22,487 | 543,289 | ||
Kesko OYJ, B Shares | 12,949 | 332,357 | ||
Kone OYJ Class B | 14,300 | 1,165,166 | ||
Neste OYJ | 18,827 | 1,366,911 | ||
Nokia OYJ* | 282,487 | 1,091,056 | ||
Nordea Bank Abp* | 1,819 | 14,857 | ||
Nordea Bank Abp (Stockholm Exchange)* | 163,500 | 1,339,946 | ||
Orion OYJ Class B | 7,634 | 350,668 | ||
Sampo OYJ, A Shares | 22,968 | 981,964 | ||
Stora Enso OYJ, R Shares | 39,220 | 750,974 |
Shares | Value | |||
UPM-Kymmene OYJ | 27,891 | $1,040,101 | ||
Wartsila OYJ Abp | 14,669 | 146,813 | ||
9,520,391 | ||||
France — 9.8% | ||||
Accor SA* | 16,778 | 606,707 | ||
Aeroports de Paris* | 2,564 | 332,338 | ||
Air Liquide SA | 24,987 | 4,098,031 | ||
Alstom SA* | 16,152 | 919,713 | ||
Amundi SA 144A* | 3,229 | 263,507 | ||
Arkema SA | 2,715 | 310,119 | ||
Atos SE* | 4,922 | 449,649 | ||
AXA SA | 94,288 | 2,247,528 | ||
BioMerieux | 2,764 | 389,664 | ||
BNP Paribas SA* | 56,855 | 2,993,940 | ||
Bollore SA | 53,876 | 222,595 | ||
Bouygues SA | 11,283 | 463,827 | ||
Bureau Veritas SA* | 15,449 | 410,682 | ||
Capgemini SE | 7,893 | 1,222,667 | ||
Carrefour SA | 29,587 | 507,114 | ||
Cie de St-Gobain* | 30,007 | 1,374,677 | ||
Cie Generale des Etablissements Michelin SCA | 9,675 | 1,240,453 | ||
CNP Assurances* | 6,718 | 108,169 | ||
Covivio REIT | 3,117 | 286,924 | ||
Credit Agricole SA* | 64,703 | 815,738 | ||
Danone SA | 35,410 | 2,325,584 | ||
Dassault Aviation SA* | 92 | 100,815 | ||
Dassault Systemes SA | 7,719 | 1,566,781 | ||
Edenred | 13,509 | 765,917 | ||
Eiffage SA* | 4,139 | 399,659 | ||
Electricite de France SA* | 30,955 | 487,640 | ||
Engie SA* | 92,715 | 1,418,081 | ||
EssilorLuxottica SA | 16,549 | 2,578,689 | ||
Eurazeo SE* | 3,083 | 209,032 | ||
Eurofins Scientific SE* | 6,020 | 504,728 | ||
Faurecia SE* | 4,150 | 212,477 | ||
Gecina SA REIT | 2,894 | 446,528 | ||
Getlink SE* | 33,090 | 573,218 | ||
Hermes International | 2,203 | 2,367,263 | ||
Iliad SA | 1,222 | 250,949 | ||
Ipsen SA | 3,144 | 260,795 | ||
Kering SA | 4,371 | 3,173,996 | ||
Klepierre REITΔ | 14,221 | 319,491 | ||
L’Oreal SA | 13,107 | 4,976,582 | ||
Legrand SA | 12,012 | 1,071,236 | ||
Natixis SA* | 54,091 | 184,298 | ||
Orange SA | 111,352 | 1,324,147 | ||
Orpea SA* | 3,616 | 475,101 | ||
Peugeot SA* | 38,149 | 1,042,548 | ||
Publicis Groupe SA | 10,601 | 527,871 | ||
Renault SA* | 7,966 | 348,004 | ||
Safran SA* | 17,283 | 2,448,143 | ||
Sanofi | 59,791 | 5,748,538 | ||
Sartorius Stedim Biotech | 1,344 | 478,121 | ||
Schneider Electric SE | 26,102 | 3,772,292 | ||
SCOR SE* | 5,564 | 179,584 | ||
SEB SA | 1,701 | 309,626 |
Shares | Value | |||
SES SA | 12,769 | $ 120,364 | ||
Societe Generale SA* | 43,102 | 896,303 | ||
Sodexo SA | 8,013 | 677,600 | ||
Suez SA | 19,394 | 384,295 | ||
Teleperformance | 2,675 | 886,585 | ||
Thales SA | 5,883 | 538,304 | ||
TOTAL SEΔ | 128,135 | 5,525,726 | ||
Ubisoft Entertainment SA* | 5,285 | 509,024 | ||
Valeo SAΔ | 12,169 | 479,883 | ||
Veolia Environnement SA | 34,427 | 841,576 | ||
Vinci SA | 26,988 | 2,682,430 | ||
Vivendi SA | 43,305 | 1,395,596 | ||
Wendel SE | 1,720 | 205,816 | ||
Worldline SA 144A* | 13,200 | 1,275,549 | ||
76,530,827 | ||||
Germany — 8.5% | ||||
adidas AG* | 10,242 | 3,726,091 | ||
Allianz SE | 20,639 | 5,070,445 | ||
Aroundtown SA | 49,132 | 366,325 | ||
BASF SE | 45,206 | 3,573,203 | ||
Bayerische Motoren Werke AG | 20,141 | 1,777,576 | ||
Bechtle AG | 1,294 | 282,017 | ||
Beiersdorf AG | 7,547 | 867,600 | ||
Brenntag AG | 7,869 | 611,905 | ||
Carl Zeiss Meditec AG | 3,097 | 410,718 | ||
Commerzbank AG* | 39,511 | 255,339 | ||
Continental AG | 4,960 | 738,223 | ||
Covestro AG 144A | 8,920 | 549,592 | ||
Daimler AG | 40,518 | 2,871,888 | ||
Delivery Hero SE 144A* | 7,307 | 1,142,735 | ||
Deutsche Bank AG* | 82,402 | 906,338 | ||
Deutsche Boerse AG | 8,824 | 1,502,483 | ||
Deutsche Lufthansa AG* | 24,903 | 329,512 | ||
Deutsche Post AG | 46,205 | 2,288,800 | ||
Deutsche Telekom AG | 179,835 | 3,282,457 | ||
Deutsche Wohnen SE | 14,763 | 787,677 | ||
E.ON SE | 119,749 | 1,326,010 | ||
Evonik Industries AG | 13,302 | 434,770 | ||
Fresenius Medical Care AG & Co. KGaA | 12,487 | 1,041,258 | ||
Fresenius SE & Co. KGaA | 22,478 | 1,039,424 | ||
GEA Group AG | 7,555 | 270,221 | ||
Hannover Rueck SE | 3,483 | 555,038 | ||
HeidelbergCement AG | 7,836 | 583,434 | ||
HelloFresh SE* | 7,006 | 541,929 | ||
Henkel AG & Co. KGaA | 8,135 | 783,893 | ||
HOCHTIEF AG | 586 | 57,025 | ||
Infineon Technologies AG | 58,867 | 2,248,050 | ||
KION Group AG | 3,513 | 304,655 | ||
Knorr-Bremse AG | 3,578 | 488,160 | ||
LANXESS AG | 3,845 | 292,415 | ||
LEG Immobilien AG | 2,998 | 465,124 | ||
MTU Aero Engines AG | 2,932 | 764,282 | ||
Muenchener Rueckversicherungs-Gesellschaft AG | 6,780 | 2,014,516 | ||
Nemetschek SE | 2,312 | 171,824 |
Shares | Value | |||
Puma SE* | 6,431 | $ 723,661 | ||
Rational AG | 243 | 226,060 | ||
RWE AG | 34,335 | 1,452,620 | ||
SAP SE | 49,211 | 6,373,749 | ||
Scout24 AG 144A | 6,998 | 571,834 | ||
Siemens AG | 37,926 | 5,463,107 | ||
Siemens Energy AG* | 18,963 | 694,984 | ||
Siemens Healthineers AG 144A | 9,703 | 499,329 | ||
Symrise AG | 6,729 | 894,576 | ||
TeamViewer AG 144A* | 8,356 | 448,863 | ||
Telefonica Deutschland Holding AG | 56,298 | 155,060 | ||
Uniper SE | 8,857 | 306,894 | ||
United Internet AG | 5,566 | 234,301 | ||
Volkswagen AG | 1,539 | 320,887 | ||
Vonovia SE | 27,008 | 1,972,505 | ||
Zalando SE 144A* | 8,326 | 926,113 | ||
65,987,495 | ||||
Hong Kong — 2.9% | ||||
AIA Group, Ltd. | 581,400 | 7,124,586 | ||
Bank of East Asia, Ltd. (The) | 70,050 | 149,634 | ||
BOC Hong Kong Holdings, Ltd. | 203,500 | 616,869 | ||
CK Asset Holdings, Ltd. | 142,500 | 731,575 | ||
CK Hutchison Holdings, Ltd. | 149,000 | 1,039,787 | ||
CK Infrastructure Holdings, Ltd. | 35,000 | 188,037 | ||
CLP Holdings, Ltd. | 91,000 | 841,631 | ||
Hang Lung Properties, Ltd.Δ | 117,000 | 308,631 | ||
Hang Seng Bank, Ltd. | 44,300 | 764,005 | ||
Henderson Land Development Co., Ltd. | 142,275 | 555,156 | ||
HK Electric Investments & HK Electric Investments, Ltd. | 233,000 | 229,320 | ||
HKT Trust & HKT, Ltd. | 253,000 | 328,307 | ||
Hong Kong & China Gas Co., Ltd. | 637,275 | 951,911 | ||
Hong Kong Exchanges and Clearing, Ltd. | 56,297 | 3,086,279 | ||
Link REIT | 125,610 | 1,143,905 | ||
MTR Corporation, Ltd.Δ | 146,963 | 821,785 | ||
New World Development Co., Ltd. | 79,466 | 370,041 | ||
PCCW, Ltd. | 20,744 | 12,496 | ||
Power Assets Holdings, Ltd. | 77,000 | 417,158 | ||
Sino Land Co., Ltd. | 292,958 | 381,670 | ||
Sun Hung Kai Properties, Ltd. | 65,000 | 838,445 | ||
Swire Pacific, Ltd. Class A | 22,500 | 124,799 | ||
Swire Properties, Ltd. | 63,800 | 185,579 | ||
Techtronic Industries Co., Ltd. | 56,000 | 798,922 | ||
WH Group, Ltd. 144A | 557,000 | 467,014 | ||
Wharf Real Estate Investment Co., Ltd. | 57,000 | 296,674 | ||
22,774,216 | ||||
Ireland — 0.7% | ||||
CRH PLC | 39,610 | 1,646,213 | ||
DCC PLC | 5,616 | 397,664 | ||
James Hardie Industries PLC CDI* | 16,895 | 497,823 | ||
Kerry Group PLC Class A | 8,753 | 1,267,133 | ||
Kingspan Group PLC* | 7,807 | 547,448 | ||
Smurfit Kappa Group PLC | 17,166 | 797,731 | ||
5,154,012 |
Shares | Value | |||
Israel — 0.5% | ||||
Azrieli Group, Ltd. | 1,239 | $ 78,694 | ||
Bank Hapoalim BM | 48,532 | 332,110 | ||
Bank Leumi Le-Israel BM | 65,831 | 387,187 | ||
Check Point Software Technologies, Ltd.* | 5,794 | 770,081 | ||
Elbit Systems, Ltd. | 1,618 | 213,034 | ||
ICL Group, Ltd. | 44,785 | 228,005 | ||
Israel Discount Bank, Ltd. Class A | 52,953 | 203,675 | ||
Nice, Ltd.* | 2,756 | 771,881 | ||
Teva Pharmaceutical Industries, Ltd. ADR* | 65,101 | 628,225 | ||
Wix.com, Ltd.* | 2,346 | 586,406 | ||
4,199,298 | ||||
Italy — 1.9% | ||||
Amplifon SpA* | 5,903 | 245,365 | ||
Assicurazioni Generali SpA | 54,200 | 948,955 | ||
Atlantia SpA* | 29,878 | 539,536 | ||
DiaSorin SpA | 692 | 144,483 | ||
Enel SpA | 393,766 | 4,006,465 | ||
Eni SpA | 112,690 | 1,176,451 | ||
FinecoBank Banca Fineco SpA* | 27,715 | 457,076 | ||
Intesa Sanpaolo SpA* | 790,538 | 1,868,611 | ||
Mediobanca Banca di Credito Finanziario SpA* | 21,353 | 197,661 | ||
Moncler SpA* | 14,899 | 916,000 | ||
Nexi SpA 144A* | 24,702 | 491,548 | ||
Poste Italiane SpA 144A | 25,999 | 265,938 | ||
Prysmian SpA | 8,844 | 314,781 | ||
Recordati Industria Chimica e Farmaceutica SpAΔ | 7,624 | 423,962 | ||
Snam SpA | 106,584 | 601,943 | ||
Telecom Italia SpA | 623,814 | 289,543 | ||
Tenaris SA | 20,917 | 169,506 | ||
Terna Rete Elettrica Nazionale SpA | 90,920 | 698,646 | ||
UniCredit SpA* | 99,177 | 929,229 | ||
14,685,699 | ||||
Japan — 24.6% | ||||
ABC-Mart, Inc. | 100 | 5,560 | ||
Acom Co., Ltd. | 3,200 | 13,663 | ||
Advantest Corporation | 10,700 | 801,450 | ||
Aeon Co., Ltd. | 41,800 | 1,371,306 | ||
Aeon Mall Co., Ltd. | 900 | 14,864 | ||
AGC, Inc.Δ | 7,200 | 251,777 | ||
Aisin Seiki Co., Ltd. | 5,800 | 173,937 | ||
Ajinomoto Co., Inc. | 31,600 | 716,048 | ||
Alfresa Holdings Corporation | 12,100 | 221,784 | ||
ANA Holdings, Inc.* | 7,400 | 163,508 | ||
Asahi Intecc Co., Ltd. | 7,400 | 270,287 | ||
Asahi Kasei Corporation | 73,700 | 755,435 | ||
Astellas Pharma, Inc. | 106,900 | 1,655,214 | ||
Azbil Corporation | 5,900 | 322,743 | ||
Bandai Namco Holdings, Inc. | 9,100 | 788,067 | ||
Bank of Kyoto, Ltd. (The)Δ | 600 | 31,283 | ||
Bridgestone CorporationΔ | 31,300 | 1,026,510 | ||
Brother Industries, Ltd. | 11,600 | 239,464 | ||
Calbee, Inc. | 7,900 | 238,142 |
Shares | Value | |||
Canon, Inc.Δ | 47,800 | $ 926,007 | ||
Capcom Co., Ltd.Δ | 4,200 | 272,381 | ||
Casio Computer Co., Ltd. | 2,100 | 38,431 | ||
Central Japan Railway Co. | 7,300 | 1,032,245 | ||
Chubu Electric Power Co., Inc. | 38,800 | 468,238 | ||
Chugai Pharmaceutical Co., Ltd. | 34,200 | 1,824,746 | ||
Chugoku Electric Power Co., Inc. (The)Δ | 14,200 | 166,645 | ||
Coca-Cola Bottlers Japan Holdings, Inc.Δ | 26,600 | 415,500 | ||
Concordia Financial Group, Ltd. | 55,000 | 194,017 | ||
CyberAgent, Inc. | 5,700 | 393,212 | ||
Dai Nippon Printing Co., Ltd. | 10,500 | 188,870 | ||
Daifuku Co., Ltd. | 3,200 | 395,986 | ||
Dai-ichi Life Holdings, Inc. | 59,800 | 900,911 | ||
Daiichi Sankyo Co., Ltd. | 84,300 | 2,888,978 | ||
Daikin Industries, Ltd. | 11,900 | 2,647,359 | ||
Daito Trust Construction Co., Ltd. | 3,500 | 327,091 | ||
Daiwa House Industry Co., Ltd. | 24,600 | 731,425 | ||
Daiwa House REIT Investment Corporation | 101 | 249,861 | ||
Daiwa Securities Group, Inc. | 49,000 | 223,187 | ||
Denso Corporation | 23,900 | 1,422,547 | ||
Dentsu Group, Inc. | 10,700 | 318,452 | ||
Disco Corporation | 1,500 | 505,549 | ||
East Japan Railway Co. | 17,000 | 1,134,162 | ||
Eisai Co., Ltd. | 13,800 | 986,882 | ||
ENEOS Holdings, Inc. | 137,150 | 492,602 | ||
FANUC Corporation | 9,700 | 2,394,436 | ||
Fast Retailing Co., Ltd. | 2,900 | 2,600,372 | ||
Fuji Electric Co., Ltd.Δ | 2,700 | 97,459 | ||
FUJIFILM Holdings Corporation | 21,200 | 1,118,343 | ||
Fujitsu, Ltd. | 10,600 | 1,532,076 | ||
Fukuoka Financial Group, Inc. | 5,700 | 101,602 | ||
GLP J-REIT | 117 | 184,627 | ||
GMO Payment Gateway, Inc. | 1,900 | 255,328 | ||
Hakuhodo DY Holdings, Inc. | 25,700 | 353,139 | ||
Hamamatsu Photonics KK | 6,400 | 366,169 | ||
Hankyu Hanshin Holdings, Inc. | 13,100 | 435,734 | ||
Hikari Tsushin, Inc. | 1,200 | 281,561 | ||
Hino Motors, Ltd. | 2,100 | 17,927 | ||
Hirose Electric Co., Ltd. | 605 | 91,822 | ||
Hisamitsu Pharmaceutical Co., Inc. | 3,300 | 196,155 | ||
Hitachi Metals, Ltd. | 2,000 | 30,408 | ||
Hitachi, Ltd. | 45,600 | 1,799,801 | ||
Honda Motor Co., Ltd. | 77,400 | 2,183,942 | ||
Hoshizaki Corporation | 2,100 | 192,831 | ||
Hoya Corporation | 18,800 | 2,603,703 | ||
Hulic Co., Ltd. | 26,200 | 288,204 | ||
Ibiden Co., Ltd. | 5,000 | 233,736 | ||
Idemitsu Kosan Co., Ltd. | 8,736 | 192,340 | ||
Iida Group Holdings Co., Ltd. | 2,500 | 50,545 | ||
Inpex Corporation | 43,600 | 235,105 | ||
Isuzu Motors, Ltd. | 18,100 | 172,305 | ||
Ito En, Ltd.Δ | 10,900 | 690,211 | ||
ITOCHU Corporation | 58,900 | 1,693,971 | ||
Japan Airlines Co., Ltd.* | 6,100 | 117,634 |
Shares | Value | |||
Japan Airport Terminal Co., Ltd.Δ | 400 | $ 24,275 | ||
Japan Exchange Group, Inc. | 24,800 | 633,685 | ||
Japan Post Holdings Co., Ltd. | 91,500 | 712,706 | ||
Japan Post Insurance Co., Ltd. | 12,400 | 254,251 | ||
Japan Real Estate Investment Corporation REITΔ | 46 | 265,804 | ||
Japan Retail Fund Investment Corporation REIT | 40 | 72,798 | ||
JFE Holdings, Inc.* | 23,900 | 229,471 | ||
JSR Corporation | 2,200 | 61,342 | ||
Kajima Corporation | 17,500 | 234,763 | ||
Kakaku.com, Inc. | 3,900 | 106,756 | ||
Kansai Electric Power Co., Inc. (The) | 34,300 | 324,412 | ||
Kansai Paint Co., Ltd. | 12,800 | 394,565 | ||
Kao Corporation | 24,200 | 1,869,600 | ||
KDDI Corporation | 80,200 | 2,377,951 | ||
Keihan Holdings Co., Ltd. | 4,100 | 196,567 | ||
Keikyu Corporation | 14,200 | 243,609 | ||
Keio Corporation | 7,300 | 566,371 | ||
Keisei Electric Railway Co., Ltd. | 1,500 | 50,775 | ||
Keyence Corporation | 8,800 | 4,950,150 | ||
Kikkoman Corporation | 9,000 | 626,373 | ||
Kintetsu Group Holdings Co., Ltd. | 11,300 | 495,226 | ||
Kobayashi Pharmaceutical Co., Ltd. | 2,300 | 281,121 | ||
Koito Manufacturing Co., Ltd. | 4,300 | 292,640 | ||
Komatsu, Ltd. | 38,400 | 1,059,774 | ||
Konami Holdings Corporation | 5,500 | 309,464 | ||
Kose Corporation | 1,400 | 239,232 | ||
Kubota Corporation | 43,300 | 946,002 | ||
Kuraray Co., Ltd. | 7,300 | 77,724 | ||
KuritaWater Industries, Ltd. | 900 | 34,402 | ||
Kyocera Corporation | 16,300 | 1,000,468 | ||
Kyowa Kirin Co., Ltd. | 13,300 | 363,197 | ||
Kyushu Electric Power Co., Inc. | 24,000 | 207,044 | ||
Kyushu Railway Co.Δ | 11,000 | 237,302 | ||
Lasertec Corporation | 2,400 | 281,695 | ||
Lawson, Inc. | 3,900 | 181,491 | ||
Lion Corporation | 11,600 | 281,007 | ||
LIXIL Corporation | 11,900 | 258,071 | ||
M3, Inc. | 21,500 | 2,031,048 | ||
Makita Corporation | 7,900 | 396,241 | ||
Marubeni Corporation | 64,200 | 427,727 | ||
Marui Group Co., Ltd. | 6,200 | 109,182 | ||
Mazda Motor Corporation | 20,700 | 138,564 | ||
McDonald’s Holdings Co. Japan, Ltd.Δ | 8,800 | 426,459 | ||
Medipal Holdings Corporation | 4,500 | 84,624 | ||
MEIJI Holdings Co., Ltd. | 8,000 | 563,038 | ||
MINEBEA MITSUMI, Inc. | 13,700 | 272,559 | ||
MISUMI Group, Inc. | 9,900 | 324,991 | ||
Mitsubishi Chemical Holdings Corporation | 60,200 | 364,712 | ||
Mitsubishi CorporationΔ | 66,600 | 1,641,813 | ||
Mitsubishi Electric Corporation | 91,900 | 1,388,945 | ||
Mitsubishi Estate Co., Ltd. | 63,800 | 1,025,447 | ||
Mitsubishi Gas Chemical Co., Inc. | 5,500 | 126,475 | ||
Mitsubishi Heavy Industries, Ltd. | 13,700 | 419,577 |
Shares | Value | |||
Mitsubishi UFJ Financial Group, Inc.Δ | 563,700 | $2,495,849 | ||
Mitsubishi UFJ Lease & Finance Co., Ltd. | 38,900 | 186,793 | ||
Mitsui & Co., Ltd. | 81,900 | 1,501,579 | ||
Mitsui Chemicals, Inc. | 9,400 | 276,128 | ||
Mitsui Fudosan Co., Ltd. | 49,800 | 1,042,791 | ||
Miura Co., Ltd. | 4,200 | 234,478 | ||
Mizuho Financial Group, Inc. | 118,790 | 1,507,705 | ||
MonotaRO Co., Ltd. | 4,000 | 203,155 | ||
MS&AD Insurance Group Holdings, Inc. | 24,300 | 739,329 | ||
Murata Manufacturing Co., Ltd. | 27,700 | 2,507,668 | ||
Nabtesco Corporation | 3,800 | 166,792 | ||
Nagoya Railroad Co., Ltd. | 9,600 | 253,304 | ||
NEC Corporation | 15,600 | 837,871 | ||
Nexon Co., Ltd. | 18,700 | 576,987 | ||
NGK Spark Plug Co., Ltd. | 4,500 | 76,846 | ||
NH Foods, Ltd. | 6,500 | 286,289 | ||
Nidec Corporation | 20,800 | 2,631,366 | ||
Nihon M&A Center, Inc. | 5,400 | 361,115 | ||
Nintendo Co., Ltd. | 5,300 | 3,402,289 | ||
Nippon Building Fund, Inc. REITΔ | 69 | 400,179 | ||
Nippon Express Co., Ltd. | 4,000 | 269,067 | ||
Nippon Paint Holdings Co., Ltd. | 7,300 | 802,142 | ||
Nippon Prologis REIT, Inc. | 121 | 378,011 | ||
Nippon Sanso Holdings Corporation | 1,200 | 22,322 | ||
Nippon Shinyaku Co., Ltd. | 3,000 | 196,920 | ||
Nippon Steel CorporationΔ* | 49,400 | 637,121 | ||
Nippon Telegraph & Telephone Corporation | 61,300 | 1,572,897 | ||
Nissan Chemical Corporation | 5,900 | 369,957 | ||
Nissan Motor Co., Ltd.* | 82,800 | 448,810 | ||
Nisshin Seifun Group, Inc. | 15,300 | 243,725 | ||
Nissin Foods Holdings Co., Ltd. | 4,300 | 368,577 | ||
Nitori Holdings Co., Ltd. | 4,000 | 836,406 | ||
Nitto Denko Corporation | 7,100 | 636,018 | ||
Nomura Holdings, Inc. | 160,800 | 850,161 | ||
Nomura Real Estate Master Fund, Inc. REIT | 184 | 263,312 | ||
Nomura Research Institute, Ltd. | 17,157 | 613,767 | ||
NTT Data Corporation | 29,300 | 401,067 | ||
Obayashi Corporation | 26,400 | 227,953 | ||
Obic Co., Ltd. | 3,600 | 723,520 | ||
Odakyu Electric Railway Co., Ltd. | 15,900 | 499,390 | ||
Oji Holdings Corporation | 31,000 | 176,486 | ||
Olympus Corporation | 54,000 | 1,182,270 | ||
Omron Corporation | 8,300 | 740,952 | ||
Ono Pharmaceutical Co., Ltd. | 33,900 | 1,021,570 | ||
Oracle Corporation | 700 | 91,248 | ||
Oriental Land Co., Ltd. | 11,700 | 1,933,207 | ||
ORIX Corporation | 60,200 | 926,124 | ||
Orix JREIT, Inc. | 119 | 196,865 | ||
Osaka Gas Co., Ltd. | 14,000 | 286,966 | ||
Otsuka Corporation | 6,900 | 363,955 | ||
Otsuka Holdings Co., Ltd.Δ | 26,100 | 1,118,292 | ||
Pan Pacific International Holdings Corporation | 26,100 | 603,007 | ||
Panasonic Corporation | 112,600 | 1,312,604 |
Shares | Value | |||
PeptiDream, Inc.* | 5,900 | $ 300,115 | ||
Persol Holdings Co., Ltd. | 9,400 | 169,827 | ||
Pigeon CorporationΔ | 6,500 | 268,273 | ||
Pola Orbis Holdings, Inc. | 7,300 | 148,238 | ||
Rakuten, Inc. | 35,400 | 340,648 | ||
Recruit Holdings Co., Ltd. | 64,500 | 2,709,191 | ||
Renesas Electronics Corporation* | 45,200 | 473,108 | ||
Resona Holdings, Inc. | 92,600 | 324,171 | ||
Ricoh Co., Ltd. | 52,300 | 343,919 | ||
Rinnai Corporation | 2,600 | 302,230 | ||
Rohm Co., Ltd. | 3,100 | 300,516 | ||
Ryohin Keikaku Co., Ltd.Δ | 11,000 | 225,110 | ||
Santen Pharmaceutical Co., Ltd. | 18,600 | 302,087 | ||
SBI Holdings, Inc. | 9,400 | 223,618 | ||
Secom Co., Ltd. | 11,500 | 1,060,895 | ||
Seibu Holdings, Inc. | 13,200 | 129,485 | ||
Seiko Epson Corporation | 17,200 | 255,594 | ||
Sekisui Chemical Co., Ltd. | 16,800 | 318,550 | ||
Sekisui House, Ltd. | 31,600 | 643,749 | ||
Seven & i Holdings Co., Ltd. | 40,100 | 1,419,965 | ||
SG Holdings Co., Ltd. | 14,200 | 387,181 | ||
Sharp CorporationΔ | 9,500 | 144,348 | ||
Shimadzu Corporation | 15,100 | 586,936 | ||
Shimamura Co., Ltd. | 200 | 21,015 | ||
Shimano, Inc. | 3,200 | 749,052 | ||
Shimizu Corporation | 26,800 | 195,085 | ||
Shin-Etsu Chemical Co., Ltd.Δ | 17,900 | 3,141,734 | ||
Shinsei Bank, Ltd. | 400 | 4,942 | ||
Shionogi & Co., Ltd. | 15,100 | 825,540 | ||
Shiseido Co., Ltd. | 23,000 | 1,592,158 | ||
SMC Corporation | 3,000 | 1,832,213 | ||
SoftBank Corporation | 130,600 | 1,639,291 | ||
SoftBank Group Corporation | 72,600 | 5,636,307 | ||
Sohgo Security Services Co., Ltd. | 600 | 31,125 | ||
Sompo Holdings, Inc. | 18,400 | 745,988 | ||
Sony Corporation | 61,300 | 6,177,084 | ||
Square Enix Holdings Co., Ltd. | 4,200 | 254,649 | ||
Subaru Corporation | 30,200 | 604,270 | ||
SUMCO Corporation | 14,200 | 311,808 | ||
Sumitomo Chemical Co., Ltd. | 51,000 | 205,570 | ||
Sumitomo Corporation | 51,900 | 687,828 | ||
Sumitomo Dainippon Pharma Co., Ltd. | 12,500 | 184,744 | ||
Sumitomo Electric Industries, Ltd. | 34,000 | 450,527 | ||
Sumitomo Metal Mining Co., Ltd. | 9,900 | 440,362 | ||
Sumitomo Mitsui Financial Group, Inc. | 56,200 | 1,742,096 | ||
Sumitomo Mitsui Trust Holdings, Inc. | 13,800 | 425,795 | ||
Sumitomo Realty & Development Co., Ltd. | 18,000 | 555,710 | ||
Sundrug Co., Ltd. | 6,600 | 263,782 | ||
Suntory Beverage & Food, Ltd. | 6,800 | 240,852 | ||
Suzuken Co., Ltd. | 1,900 | 68,731 | ||
Suzuki Motor Corporation | 19,400 | 899,297 | ||
Sysmex Corporation | 7,300 | 878,384 | ||
T&D Holdings, Inc. | 22,500 | 266,149 | ||
Taiheiyo Cement Corporation | 7,100 | 177,849 | ||
Taisei Corporation | 11,000 | 379,484 |
Shares | Value | |||
Taisho Pharmaceutical Holdings Co., Ltd. | 5,400 | $ 364,129 | ||
Takeda Pharmaceutical Co., Ltd. | 84,536 | 3,059,305 | ||
TDK Corporation | 7,200 | 1,086,361 | ||
Teijin, Ltd. | 2,600 | 48,927 | ||
Terumo Corporation | 35,700 | 1,493,912 | ||
TIS, Inc. | 19,500 | 399,741 | ||
Tobu Railway Co., Ltd. | 10,900 | 324,997 | ||
Toho Co., Ltd. | 2,900 | 122,318 | ||
Toho Gas Co., Ltd. | 3,400 | 225,252 | ||
Tohoku Electric Power Co., Inc. | 19,200 | 158,461 | ||
Tokio Marine Holdings, Inc. | 32,100 | 1,653,842 | ||
Tokyo Electric Power Co. Holdings, Inc.* | 56,100 | 148,182 | ||
Tokyo Electron, Ltd. | 7,700 | 2,876,434 | ||
Tokyo Gas Co., Ltd. | 20,300 | 469,847 | ||
Tokyu Corporation | 36,400 | 452,267 | ||
Tokyu Fudosan Holdings Corporation | 34,600 | 184,820 | ||
Toppan Printing Co., Ltd. | 14,000 | 197,702 | ||
Toray Industries, Inc. | 85,700 | 508,321 | ||
Toshiba Corporation | 16,900 | 473,342 | ||
Tosoh Corporation | 16,800 | 262,486 | ||
TOTO, Ltd. | 6,700 | 403,263 | ||
Toyo Suisan Kaisha, Ltd. | 4,200 | 204,401 | ||
Toyoda Gosei Co., Ltd. | 500 | 14,507 | ||
Toyota Industries Corporation | 5,300 | 421,091 | ||
Toyota Motor Corporation | 100,516 | 7,756,832 | ||
Toyota Tsusho CorporationΔ | 7,800 | 315,639 | ||
Trend Micro, Inc.Δ | 4,300 | 247,565 | ||
Tsuruha Holdings, Inc. | 1,900 | 270,187 | ||
Unicharm Corporation | 24,000 | 1,138,224 | ||
United Urban Investment Corporation REIT | 156 | 193,131 | ||
USS Co., Ltd. | 15,500 | 313,424 | ||
Welcia Holdings Co., Ltd. | 4,600 | 173,523 | ||
West Japan Railway Co. | 7,800 | 408,409 | ||
Yakult Honsha Co., Ltd. | 4,900 | 247,116 | ||
Yamada Holdings Co., Ltd. | 39,400 | 209,333 | ||
Yamaha Corporation | 5,400 | 318,191 | ||
Yamaha Motor Co., Ltd. | 13,300 | 271,467 | ||
Yamato Holdings Co., Ltd. | 10,600 | 270,647 | ||
Yamazaki Baking Co., Ltd.Δ | 7,200 | 120,250 | ||
Yaskawa Electric Corporation | 9,000 | 448,698 | ||
Yokogawa Electric Corporation | 2,500 | 49,863 | ||
Z Holdings Corporation | 146,400 | 885,901 | ||
ZOZO, Inc. | 5,700 | 140,415 | ||
191,544,398 | ||||
Jersey — 0.7% | ||||
Experian PLC | 47,391 | 1,799,696 | ||
Ferguson PLC | 10,029 | 1,218,410 | ||
Glencore PLC* | 516,891 | 1,646,957 | ||
WPP PLC | 75,700 | 828,158 | ||
5,493,221 | ||||
Netherlands — 4.9% | ||||
ABN AMRO Bank NV CVA 144A* | 19,173 | 187,850 | ||
Adyen NV 144A* | 879 | 2,045,647 |
Shares | Value | |||
Aegon NV | 94,036 | $ 371,634 | ||
Airbus SE* | 30,567 | 3,352,581 | ||
Akzo Nobel NV | 8,797 | 944,219 | ||
Altice Europe NV* | 41,822 | 272,217 | ||
ArcelorMittal SA* | 27,312 | 629,945 | ||
Argenx SE* | 2,200 | 650,407 | ||
ASML Holding NV | 20,949 | 10,174,238 | ||
CNH Industrial NV* | 43,467 | 546,398 | ||
EXOR NV | 7,115 | 577,931 | ||
Ferrari NV | 5,605 | 1,300,032 | ||
Fiat Chrysler Automobiles NV* | 57,382 | 1,036,667 | ||
ING Groep NV* | 182,403 | 1,702,664 | ||
Just Eat Takeaway.com NV 144AΔ* | 6,944 | 783,842 | ||
Koninklijke Ahold Delhaize NV | 58,297 | 1,645,860 | ||
Koninklijke DSM NV | 9,032 | 1,553,579 | ||
Koninklijke KPN NV | 232,251 | 705,635 | ||
Koninklijke Philips NV* | 45,034 | 2,408,591 | ||
Koninklijke Vopak NV | 4,650 | 244,212 | ||
NN Group NV | 13,113 | 569,173 | ||
Prosus NV* | 23,929 | 2,583,016 | ||
QIAGEN NVΔ* | 14,497 | 751,801 | ||
Randstad NV* | 7,963 | 517,919 | ||
STMicroelectronics NV | 30,860 | 1,141,560 | ||
Unibail-Rodamco-Westfield REIT | 6,095 | 480,860 | ||
Wolters Kluwer NV | 14,668 | 1,237,497 | ||
38,415,975 | ||||
New Zealand — 0.4% | ||||
a2 Milk Co., Ltd. (The)* | 45,565 | 395,703 | ||
Auckland International Airport, Ltd.* | 67,484 | 368,045 | ||
Fisher & Paykel Healthcare Corporation, Ltd. | 33,637 | 797,934 | ||
Meridian Energy, Ltd. | 83,938 | 448,119 | ||
Ryman Healthcare, Ltd. | 22,949 | 250,814 | ||
Spark New Zealand, Ltd. | 89,775 | 303,588 | ||
Xero, Ltd.* | 5,756 | 651,527 | ||
3,215,730 | ||||
Norway — 0.6% | ||||
DNB ASA* | 42,506 | 832,931 | ||
Equinor ASA | 57,972 | 978,364 | ||
Gjensidige Forsikring ASA | 8,027 | 179,158 | ||
Mowi ASA | 26,051 | 580,312 | ||
Norsk Hydro ASA | 56,215 | 261,629 | ||
Orkla ASA | 60,619 | 615,430 | ||
Schibsted ASA, B Shares* | 6,775 | 251,492 | ||
Telenor ASA | 45,524 | 772,759 | ||
Yara International ASA | 10,434 | 432,860 | ||
4,904,935 | ||||
Papua New Guinea — 0.0% | ||||
Oil Search, Ltd. | 96,983 | 277,393 | ||
Portugal — 0.2% | ||||
EDP - Energias de Portugal SA | 93,609 | 589,627 | ||
Galp Energia SGPS SA | 27,004 | 288,790 | ||
Jeronimo Martins SGPS SAΔ | 14,871 | 251,070 | ||
1,129,487 |
Shares | Value | |||
Singapore — 1.2% | ||||
Ascendas REIT | 149,957 | $ 338,129 | ||
CapitaLand Integrated Commercial Trust REIT | 147,652 | 241,320 | ||
CapitaLand, Ltd. | 208,360 | 517,116 | ||
DBS Group Holdings, Ltd.Δ | 88,271 | 1,672,447 | ||
Hongkong Land Holdings, Ltd. | 79,400 | 327,922 | ||
Jardine Matheson Holdings, Ltd. | 12,200 | 683,200 | ||
Jardine Strategic Holdings, Ltd. | 7,400 | 184,112 | ||
Keppel Corporation, Ltd. | 93,500 | 380,622 | ||
Oversea-Chinese Banking Corporation, Ltd. | 135,139 | 1,028,676 | ||
Singapore Airlines, Ltd.* | 234,750 | 760,237 | ||
Singapore Exchange, Ltd. | 32,300 | 226,804 | ||
Singapore Technologies Engineering, Ltd. | 16,100 | 46,536 | ||
Singapore Telecommunications, Ltd. | 431,500 | 754,211 | ||
Suntec REIT | 26,900 | 30,328 | ||
United Overseas Bank, Ltd. | 53,959 | 922,317 | ||
UOL Group, Ltd. | 7,561 | 44,110 | ||
Venture Corporation, Ltd. | 10,300 | 151,351 | ||
Wilmar International, Ltd. | 188,000 | 661,471 | ||
8,970,909 | ||||
Spain — 2.5% | ||||
ACS Actividades de Construccion y Servicios SA | 17,172 | 569,557 | ||
Aena SME SA 144A* | 3,930 | 682,714 | ||
Amadeus IT Group SAΔ | 22,411 | 1,630,658 | ||
Banco Bilbao Vizcaya Argentaria SA | 291,811 | 1,438,441 | ||
Banco Santander SA* | 847,074 | 2,626,394 | ||
CaixaBank SA | 130,072 | 333,854 | ||
Cellnex Telecom SA 144AΔ* | 15,120 | 907,313 | ||
Enagas SA | 17,674 | 387,890 | ||
Endesa SAΔ | 13,556 | 370,131 | ||
Ferrovial SAΔ | 28,054 | 774,551 | ||
Grifols SAΔ | 15,393 | 449,060 | ||
Iberdrola SA | 300,264 | 4,291,765 | ||
Industria de Diseno Textil SA | 56,903 | 1,810,185 | ||
Naturgy Energy Group SAΔ | 20,649 | 478,282 | ||
Red Electrica Corporation SA | 23,715 | 485,996 | ||
Repsol SAΔ | 84,268 | 849,305 | ||
Siemens Gamesa Renewable Energy SAΔ | 6,866 | 277,554 | ||
Telefonica SAΔ | 250,943 | 994,802 | ||
19,358,452 | ||||
Sweden — 3.0% | ||||
Alfa Laval AB* | 9,705 | 268,018 | ||
Assa Abloy AB, B Shares | 45,608 | 1,127,066 | ||
Atlas Copco AB, A SharesΔ | 30,714 | 1,578,589 | ||
Atlas Copco AB, B Shares | 19,228 | 863,097 | ||
Boliden AB | 9,794 | 347,465 | ||
Electrolux AB, Series B | 13,970 | 325,039 | ||
Epiroc AB, A Shares | 31,243 | 567,833 | ||
Epiroc AB, B Shares | 46,082 | 777,943 | ||
EQT AB | 11,295 | 286,709 | ||
Essity AB, B Shares | 44,371 | 1,429,597 |
Shares | Value | |||
Fastighets AB Balder, B Shares* | 4,801 | $ 250,681 | ||
Hennes & Mauritz AB, B Shares* | 49,643 | 1,042,109 | ||
Hexagon AB, B Shares | 13,938 | 1,277,864 | ||
Husqvarna AB, B Shares | 23,565 | 305,825 | ||
ICA Gruppen AB | 5,526 | 276,414 | ||
Industrivarden AB, C Shares* | 8,930 | 288,638 | ||
Investor AB, B Shares | 26,115 | 1,900,737 | ||
Kinnevik AB, B Shares* | 10,870 | 546,072 | ||
L E Lundbergforetagen AB, B Shares* | 5,888 | 315,884 | ||
Lundin Energy ABΔ | 8,084 | 219,098 | ||
Nibe Industrier AB, B Shares | 13,025 | 427,139 | ||
Sandvik AB* | 58,653 | 1,446,592 | ||
Securitas AB, B Shares | 14,981 | 241,698 | ||
Skandinaviska Enskilda Banken AB, A Shares* | 83,522 | 860,067 | ||
Skanska AB, B SharesΔ | 13,311 | 339,218 | ||
SKF AB, B Shares | 13,321 | 346,603 | ||
Svenska Cellulosa AB SCA, B Shares* | 26,301 | 459,850 | ||
Svenska Handelsbanken AB, A Shares* | 65,615 | 661,401 | ||
Swedbank AB, A Shares* | 33,340 | 584,797 | ||
Tele2 AB, B Shares | 19,177 | 253,673 | ||
Telefonaktiebolaget LM Ericsson, B Shares | 131,958 | 1,569,701 | ||
Telia Co. AB | 126,527 | 522,538 | ||
Volvo AB, B Shares* | 76,978 | 1,822,308 | ||
23,530,263 | ||||
Switzerland — 9.6% | ||||
ABB, Ltd. | 82,382 | 2,310,750 | ||
Adecco Group AG | 8,557 | 569,925 | ||
Alcon, Inc.* | 23,311 | 1,547,761 | ||
Baloise Holding AG | 2,117 | 376,132 | ||
Banque Cantonale Vaudoise | 1,540 | 167,627 | ||
Barry Callebaut AG | 352 | 838,862 | ||
Chocoladefabriken Lindt & Spruengli AG | 7 | 703,086 | ||
Chocoladefabriken Lindt & Spruengli AG (Swiss Exchange) | 49 | 477,615 | ||
Cie Financiere Richemont SA Class A | 30,211 | 2,729,323 | ||
Coca-Cola HBC AG* | 19,942 | 648,224 | ||
Credit Suisse Group AG | 124,795 | 1,611,213 | ||
EMS-Chemie Holding AG | 485 | 466,552 | ||
Geberit AG | 1,584 | 991,538 | ||
Givaudan SA | 437 | 1,848,869 | ||
Julius Baer Group, Ltd. | 11,052 | 636,723 | ||
Kuehne + Nagel International AG | 1,638 | 371,693 | ||
LafargeHolcim, Ltd.* | 1,494 | 81,493 | ||
LafargeHolcim, Ltd. (Swiss Exchange)* | 23,326 | 1,280,313 | ||
Logitech International SA | 6,453 | 626,554 | ||
Lonza Group AG | 3,423 | 2,204,983 | ||
Nestle SA | 142,984 | 16,902,327 | ||
Novartis AG | 103,647 | 9,759,189 | ||
Partners Group Holding AG | 915 | 1,075,163 | ||
Roche Holding AG | 33,301 | 11,598,691 |
Shares | Value | |||
Schindler Holding AG | 838 | $ 226,506 | ||
Schindler Holding AG (Swiss Exchange) | 2,186 | 591,177 | ||
SGS SA | 333 | 1,003,786 | ||
Sika AG | 6,515 | 1,775,945 | ||
Sonova Holding AG* | 2,443 | 635,409 | ||
Straumann Holding AGΔ | 601 | 704,024 | ||
Swatch Group AG (The) | 1,426 | 387,648 | ||
Swatch Group AG (The) (Swiss Exchange) | 2,593 | 136,838 | ||
Swiss Life Holding AG | 1,166 | 543,904 | ||
Swiss Prime Site AG | 4,727 | 463,396 | ||
Swiss Re AG | 14,300 | 1,347,248 | ||
Swisscom AG | 1,391 | 749,106 | ||
Temenos AG | 3,832 | 533,911 | ||
UBS Group AG | 171,182 | 2,410,215 | ||
Vifor Pharma AG | 2,839 | 446,213 | ||
Zurich Insurance Group AG | 7,246 | 3,053,619 | ||
74,833,551 | ||||
United Kingdom — 12.8% | ||||
3i Group PLC | 54,344 | 860,573 | ||
Admiral Group PLCΔ | 7,823 | 310,882 | ||
Anglo American PLC | 60,164 | 1,994,740 | ||
Antofagasta PLC | 23,560 | 464,105 | ||
Ashtead Group PLC | 21,261 | 999,578 | ||
Associated British Foods PLC* | 28,326 | 876,979 | ||
AstraZeneca PLC | 65,280 | 6,538,164 | ||
Auto Trader Group PLC 144AΔ | 39,162 | 319,182 | ||
AVEVA Group PLC | 8,238 | 360,720 | ||
Aviva PLC | 173,234 | 770,391 | ||
BAE Systems PLC | 180,364 | 1,205,614 | ||
Barclays PLC* | 927,489 | 1,860,403 | ||
Barratt Developments PLC* | 50,118 | 459,194 | ||
Berkeley Group Holdings PLC | 6,733 | 436,614 | ||
BHP Group PLC | 98,860 | 2,602,428 | ||
BP PLC | 990,374 | 3,450,849 | ||
British Land Co. PLC (The) REIT | 31,612 | 211,392 | ||
BT Group PLC* | 453,308 | 819,816 | ||
Bunzl PLC | 13,047 | 435,875 | ||
Burberry Group PLC* | 40,520 | 991,582 | ||
Coca-Cola European Partners PLC | 15,904 | 792,496 | ||
Compass Group PLC | 98,923 | 1,843,828 | ||
Croda International PLC | 5,732 | 517,028 | ||
Direct Line Insurance Group PLC | 64,437 | 281,095 | ||
GlaxoSmithKline PLC | 278,527 | 5,111,486 | ||
Halma PLC | 23,059 | 772,248 | ||
Hargreaves Lansdown PLCΔ | 13,678 | 285,246 | ||
Hikma Pharmaceuticals PLC | 10,953 | 377,152 | ||
HSBC Holdings PLC* | 1,018,435 | 5,276,281 | ||
Informa PLCΔ* | 87,112 | 654,000 | ||
InterContinental Hotels Group PLC* | 14,742 | 945,489 | ||
Intertek Group PLC | 8,134 | 628,241 | ||
J Sainsbury PLC | 118,172 | 364,408 | ||
JD Sports Fashion PLC* | 19,923 | 234,304 | ||
Johnson Matthey PLC | 13,222 | 438,466 | ||
Kingfisher PLC* | 108,273 | 400,363 |
Shares | Value | |||
Land Securities Group PLC REIT | 42,490 | $ 391,512 | ||
Legal & General Group PLC | 311,903 | 1,135,416 | ||
Lloyds Banking Group PLC* | 3,505,062 | 1,746,632 | ||
London Stock Exchange Group PLC | 14,997 | 1,847,396 | ||
M&G PLC | 116,852 | 316,314 | ||
Melrose Industries PLC* | 264,795 | 644,732 | ||
Mondi PLC | 29,098 | 684,215 | ||
National Grid PLC | 171,408 | 2,027,564 | ||
Natwest Group PLC* | 286,152 | 656,036 | ||
Next PLC* | 7,706 | 746,719 | ||
Ocado Group PLC* | 22,804 | 713,189 | ||
Pearson PLCΔ | 41,042 | 381,874 | ||
Persimmon PLC | 15,563 | 588,884 | ||
Phoenix Group Holdings PLC | 26,052 | 249,597 | ||
Prudential PLC | 126,748 | 2,334,727 | ||
Reckitt Benckiser Group PLC | 37,981 | 3,397,851 | ||
RELX PLC | 105,410 | 2,583,856 | ||
Rentokil Initial PLC* | 101,023 | 704,007 | ||
Rio Tinto PLC | 53,934 | 4,034,385 | ||
Rolls-Royce Holdings PLC* | 419,124 | 637,632 | ||
Royal Dutch Shell PLC, A SharesΔ | 196,480 | 3,487,012 | ||
Royal Dutch Shell PLC, B Shares | 190,228 | 3,276,163 | ||
RSA Insurance Group PLC | 43,200 | 400,181 | ||
Sage Group PLC (The) | 68,811 | 547,656 | ||
Schroders PLC | 6,913 | 315,464 | ||
Segro PLC REIT | 72,312 | 937,050 | ||
Severn Trent PLC | 9,681 | 303,035 | ||
Smith & Nephew PLC | 46,538 | 960,975 | ||
Smiths Group PLCΔ | 26,226 | 539,575 | ||
Spirax-Sarco Engineering PLC | 3,343 | 516,357 | ||
SSE PLC | 57,080 | 1,170,854 | ||
St. James’s Place PLC | 34,873 | 540,553 | ||
Standard Chartered PLC* | 155,394 | 990,044 | ||
Standard Life Aberdeen PLC | 114,480 | 440,379 | ||
Taylor Wimpey PLC* | 203,676 | 461,798 | ||
Tesco PLC | 572,351 | 1,811,145 | ||
Unilever PLC | 62,851 | 3,774,869 | ||
Unilever PLC (Amsterdam Exchange) | 75,394 | 4,565,189 | ||
United Utilities Group PLC | 27,605 | 337,861 | ||
Vodafone Group PLC | 1,401,802 | 2,318,377 | ||
Whitbread PLCΔ* | 15,331 | 649,919 | ||
Wm Morrison Supermarkets PLC | 146,161 | 354,479 | ||
99,412,685 | ||||
Total Foreign Common Stocks (Cost $652,613,714) | 746,503,975 | |||
FOREIGN PREFERRED STOCKS — 0.6% | ||||
Germany — 0.6% | ||||
FUCHS PETROLUB SE | ||||
2.11%◊ | 3,828 | 215,985 | ||
Henkel AG & Co. KGaA | ||||
2.05%◊ | 11,912 | 1,343,132 | ||
Porsche Automobil Holding SE | ||||
3.97%◊ | 9,371 | 647,319 |
Shares | Value | |||
Sartorius AG | ||||
0.10%◊ | 1,809 | $ 761,914 | ||
Volkswagen AG | ||||
3.30%◊ | 10,650 | 1,990,314 | ||
4,958,664 | ||||
Total Foreign Preferred Stocks (Cost $4,063,448) | 4,958,664 | |||
RIGHTS — 0.0% | ||||
Repsol SAΔ* (Cost $29,759) | 84,268 | 28,897 | ||
MONEY MARKET FUNDS — 4.1% | ||||
GuideStone Money Market Fund, 0.00% (Institutional Class)Ø∞ | 21,415,461 | 21,415,461 |
Shares | Value | |||
Northern Institutional Liquid Assets Portfolio (Shares), 0.08%ا | 10,375,503 | $ 10,375,503 | ||
Total Money Market Funds (Cost $31,790,964) | 31,790,964 | |||
TOTAL INVESTMENTS — 100.5% (Cost $688,497,885) | 783,282,500 | |||
Liabilities in Excess of Other Assets — (0.5)% | (3,953,197) | |||
NET ASSETS — 100.0% | $779,329,303 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index E-Mini | 03/2021 | 254 | $27,061,160 | $463,642 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Foreign Common Stocks: | |||||||
Austria | $ 1,508,791 | $ — | $ 1,508,791 | $ — | |||
Denmark | 17,360,207 | — | 17,360,207 | — | |||
Finland | 9,520,391 | — | 9,520,391 | — | |||
Germany | 65,987,495 | 1,691,221 | 64,296,274 | — | |||
Italy | 14,685,699 | — | 14,685,699 | — | |||
Japan | 191,544,398 | — | 191,544,398 | — | |||
Netherlands | 38,415,975 | 34,954,947 | 3,461,028 | — | |||
Norway | 4,904,935 | 580,312 | 4,324,623 | — | |||
Sweden | 23,530,263 | — | 23,530,263 | — | |||
Switzerland | 74,833,551 | 729,717 | 74,103,834 | — | |||
Other ^^ | 304,212,270 | 304,212,270 | — | — | |||
Total Foreign Common Stocks | 746,503,975 | 342,168,467 | 404,335,508 | — | |||
Foreign Preferred Stocks | 4,958,664 | — | 4,958,664 | — | |||
Money Market Funds | 31,790,964 | 31,790,964 | — | — | |||
Rights | 28,897 | 28,897 | — | — | |||
Total Assets - Investments in Securities | $783,282,500 | $373,988,328 | $409,294,172 | $ — | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $ 463,642 | $ 463,642 | $ — | $ — | |||
Total Assets - Other Financial Instruments | $ 463,642 | $ 463,642 | $ — | $ — |
^^ | 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. |
% | |
Financials | 18.3 |
Health Care | 14.6 |
Industrials | 13.7 |
Information Technology | 13.0 |
Consumer Discretionary | 10.6 |
Money Market Funds | 6.6 |
Materials | 6.2 |
Consumer Staples | 6.0 |
Communication Services | 5.8 |
Energy | 1.4 |
Real Estate | 1.1 |
Utilities | 0.5 |
Warrants | —** |
Foreign Common Stocks Sold Short | (0.5) |
97.3 | |
**Rounds to less than 0.05% |
Average Annual Total Returns as of 12/31/20 | |||||||
Institutional Class* | Investor Class* | Benchmark** | |||||
One Year | 7.81% | 7.52% | 7.79% | ||||
Five Year | 8.68% | 8.38% | 7.44% | ||||
Ten year | 5.31% | 5.04% | 4.74% | ||||
Since Inception | 6.04% | 5.83% | 6.20% | ||||
Inception Date | 08/27/01 | 08/27/01 | |||||
Total Fund Operating Expenses (May 1, 2020 Prospectus)(1) | 1.10% | 1.38% |
(1) | Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights. |
Shares | Value | |||
COMMON STOCKS — 3.8% | ||||
Communication Services — 0.2% | ||||
Tencent Music Entertainment Group ADR* | 147,100 | $ 2,830,204 | ||
Consumer Discretionary — 2.0% | ||||
Booking Holdings, Inc.* | 1,600 | 3,563,632 | ||
Lululemon Athletica, Inc.* | 16,173 | 5,628,689 | ||
MercadoLibre, Inc.* | 6,906 | 11,569,069 | ||
Trip.com Group, Ltd. ADR* | 164,500 | 5,548,585 | ||
26,309,975 | ||||
Health Care — 0.9% | ||||
Mettler-Toledo International, Inc.* | 4,092 | 4,663,571 | ||
ResMed, Inc. | 30,770 | 6,540,471 | ||
11,204,042 | ||||
Information Technology — 0.7% | ||||
Cognizant Technology Solutions Corporation Class A | 110,760 | 9,076,782 | ||
Total Common Stocks (Cost $33,978,489) | 49,421,003 | |||
FOREIGN COMMON STOCKS — 87.0% | ||||
Australia — 2.7% | ||||
Afterpay, Ltd.* | 2,136 | 194,316 | ||
AMP, Ltd. | 1,332,980 | 1,603,151 | ||
Ansell, Ltd. | 3,945 | 105,780 | ||
ASX, Ltd.‡‡ | 2,303 | 127,836 | ||
Aurizon Holdings, Ltd. | 148,481 | 446,439 | ||
Australia & New Zealand Banking Group, Ltd. | 25,471 | 445,757 | ||
BHP Group, Ltd.‡‡ | 44,042 | 1,440,676 | ||
BlueScope Steel, Ltd.‡‡ | 178,875 | 2,410,556 | ||
Brambles, Ltd. | 164,215 | 1,341,977 | ||
CIMIC Group, Ltd.‡‡* | 52,909 | 994,057 | ||
Coles Group, Ltd. | 50,127 | 701,028 | ||
CSL, Ltd. | 33,565 | 7,327,831 | ||
Dexus REIT‡‡ | 55,775 | 404,198 | ||
Fortescue Metals Group, Ltd.‡‡ | 225,870 | 4,079,971 | ||
Goodman Group REIT‡‡ | 50,048 | 729,633 | ||
GPT Group (The) REITΨ†††* | 63,198 | — | ||
GPT Group (The) REIT (Athens Exchange) | 104,984 | 364,218 | ||
Harvey Norman Holdings, Ltd. | 379,945 | 1,373,788 | ||
Iluka Resources, Ltd. | 34,293 | 171,584 | ||
JB Hi-Fi, Ltd. | 41,866 | 1,569,288 | ||
Mirvac Group REIT‡‡ | 355,598 | 723,751 | ||
Newcrest Mining, Ltd. | 22,204 | 441,306 | ||
Orica, Ltd. | 195,517 | 2,283,618 | ||
Origin Energy, Ltd. | 62,906 | 230,848 | ||
Rio Tinto, Ltd.‡‡ | 4,796 | 420,884 | ||
Scentre Group REIT‡‡ | 186,809 | 400,377 | ||
South32, Ltd. | 1,371,905 | 2,612,445 | ||
Stockland REIT‡‡ | 206,720 | 666,170 | ||
Suncorp Group, Ltd. | 8,878 | 66,665 | ||
Vicinity Centres REIT‡‡ | 336,787 | 416,732 | ||
Westpac Banking Corporation | 7,159 | 106,907 | ||
WiseTech Global, Ltd. | 16,047 | 380,422 |
Shares | Value | |||
Worley, Ltd. | 60,045 | $ 531,892 | ||
35,114,101 | ||||
Austria — 0.0% | ||||
ams AG‡‡* | 21,008 | 457,752 | ||
Belgium — 0.7% | ||||
Ageas SA/NV‡‡ | 9,048 | 481,711 | ||
Etablissements Franz Colruyt NV | 11,566 | 684,862 | ||
Groupe Bruxelles Lambert SA‡‡ | 415 | 41,836 | ||
KBC Group NV* | 99,718 | 6,977,878 | ||
Proximus SADP | 23,609 | 467,528 | ||
Solvay SA | 1,099 | 130,071 | ||
Telenet Group Holding NV | 1,575 | 67,497 | ||
UCB SA | 2,434 | 251,201 | ||
9,102,584 | ||||
Canada — 2.5% | ||||
Agnico Eagle Mines, Ltd. | 45,500 | 3,208,205 | ||
Canadian National Railway Co. | 80,535 | 8,846,770 | ||
Canadian Pacific Railway, Ltd. | 21,587 | 7,483,997 | ||
Cenovus Energy, Inc.Δ | 403,399 | 2,456,078 | ||
Kinross Gold Corporation | 484,100 | 3,552,120 | ||
Open Text Corporation | 33,900 | 1,540,401 | ||
Restaurant Brands International, Inc. | 11,500 | 702,765 | ||
Shopify, Inc. Class A* | 5,147 | 5,826,147 | ||
33,616,483 | ||||
China — 2.0% | ||||
Alibaba Group Holding, Ltd. ADR* | 2,990 | 695,863 | ||
Baidu, Inc. ADR* | 34,500 | 7,460,280 | ||
Tencent Holdings, Ltd. | 248,500 | 18,078,672 | ||
26,234,815 | ||||
Denmark — 0.9% | ||||
AP Moeller - Maersk A/S Class B | 372 | 827,794 | ||
Danske Bank A/S* | 12,095 | 199,899 | ||
DSV Panalpina A/S | 35,042 | 5,889,221 | ||
Genmab A/S* | 1,257 | 509,706 | ||
Pandora A/S‡‡ | 33,789 | 3,781,592 | ||
ROCKWOOL International A/S, B Shares‡‡ | 976 | 365,274 | ||
11,573,486 | ||||
Finland — 0.5% | ||||
Huhtamaki OYJ | 4,453 | 230,931 | ||
Kone OYJ Class B | 9,493 | 773,491 | ||
Nokia OYJ* | 273,713 | 1,057,168 | ||
Orion OYJ Class B‡‡ | 13,954 | 640,977 | ||
UPM-Kymmene OYJ‡‡ | 75,547 | 2,817,272 | ||
Valmet OYJ | 20,995 | 603,617 | ||
6,123,456 | ||||
France — 8.5% | ||||
Accor SA* | 193,837 | 7,009,309 | ||
Air Liquide SA | 56,751 | 9,307,534 | ||
AXA SA | 376,199 | 8,967,394 | ||
BNP Paribas SA* | 111,610 | 5,877,296 | ||
Bureau Veritas SA* | 270,942 | 7,202,480 |
Shares | Value | |||
Danone SA | 117,865 | $ 7,740,891 | ||
Engie SA* | 206,998 | 3,166,047 | ||
EssilorLuxottica SA | 7,090 | 1,104,774 | ||
Hermes International | 10,161 | 10,918,639 | ||
L’Oreal SA | 34,988 | 13,284,553 | ||
Publicis Groupe SA | 55,312 | 2,754,231 | ||
Sanofi | 94,926 | 9,126,552 | ||
Schneider Electric SE | 117,903 | 17,039,484 | ||
SCOR SE* | 56,155 | 1,812,459 | ||
TOTAL SEΔ | 132,986 | 5,734,921 | ||
Valeo SA | 36,061 | 1,422,061 | ||
112,468,625 | ||||
Germany — 8.5% | ||||
adidas AG* | 5,123 | 1,863,773 | ||
Allianz SE | 22,326 | 5,484,895 | ||
Aurubis AG | 24,898 | 1,943,005 | ||
Bayerische Motoren Werke AG | 79,758 | 7,039,170 | ||
Beiersdorf AG | 77,200 | 8,874,883 | ||
Brenntag AG | 7,550 | 587,100 | ||
Continental AG | 70,917 | 10,554,952 | ||
Daimler AG | 93,959 | 6,659,748 | ||
Deutsche Boerse AG | 70,622 | 12,024,973 | ||
Deutsche Post AG | 11,534 | 571,346 | ||
Deutsche Wohnen SE | 6,238 | 332,827 | ||
Fresenius Medical Care AG & Co. KGaA‡‡ | 161,788 | 13,491,080 | ||
Fresenius SE & Co. KGaA‡‡ | 5,433 | 251,232 | ||
GEA Group AG | 2,857 | 102,187 | ||
HeidelbergCement AG‡‡ | 11,129 | 828,616 | ||
HelloFresh SE* | 26,131 | 2,021,290 | ||
Henkel AG & Co. KGaA | 9,800 | 944,334 | ||
HOCHTIEF AG | 8,038 | 782,191 | ||
HUGO BOSS AG | 28,655 | 952,174 | ||
KION Group AG | 1,966 | 170,496 | ||
Knorr-Bremse AG | 3,859 | 526,498 | ||
LANXESS AG | 9,675 | 735,790 | ||
Rheinmetall AG | 8,336 | 882,595 | ||
SAP SE | 149,062 | 19,306,331 | ||
Siemens AG | 50,941 | 7,337,872 | ||
Siemens Energy AG* | 46,519 | 1,704,898 | ||
Siemens Healthineers AG 144A | 7,354 | 378,446 | ||
Software AG‡‡ | 47,056 | 1,916,582 | ||
thyssenkrupp AG* | 273,384 | 2,708,987 | ||
Uniper SE | 24,177 | 837,729 | ||
Vonovia SE | 8,154 | 595,520 | ||
112,411,520 | ||||
Hong Kong — 2.0% | ||||
AIA Group, Ltd. | 1,677,326 | 20,554,273 | ||
Alibaba Group Holding, Ltd.* | 20,240 | 607,269 | ||
Wuxi Biologics Cayman, Inc. 144A* | 350,775 | 4,651,390 | ||
25,812,932 | ||||
India — 2.2% | ||||
Axis Bank, Ltd.* | 289,118 | 2,455,035 | ||
HDFC Bank, Ltd.* | 275,464 | 5,414,842 | ||
HDFC Bank, Ltd. ADR* | 137,487 | 9,934,811 |
Shares | Value | |||
Tata Consultancy Services, Ltd. | 281,996 | $11,048,469 | ||
28,853,157 | ||||
Indonesia — 0.1% | ||||
PT Bank Mandiri Persero Tbk | 1,772,200 | 799,704 | ||
Ireland — 3.0% | ||||
Accenture PLC Class A | 27,034 | 7,061,551 | ||
Aon PLC Class A | 69,259 | 14,632,349 | ||
ICON PLC* | 13,422 | 2,617,021 | ||
Linde PLC | 5,823 | 1,535,389 | ||
Medtronic PLC | 61,800 | 7,239,252 | ||
Ryanair Holdings PLC* | 7,800 | 154,892 | ||
Ryanair Holdings PLC ADR* | 16,610 | 1,826,768 | ||
STERIS PLC | 22,674 | 4,297,630 | ||
39,364,852 | ||||
Israel — 0.8% | ||||
Check Point Software Technologies, Ltd.* | 76,000 | 10,101,160 | ||
Italy — 1.2% | ||||
A2A SpA‡‡ | 791,055 | 1,267,958 | ||
Assicurazioni Generali SpA | 26,996 | 472,657 | ||
Azimut Holding SpA | 3,677 | 79,916 | ||
Banca Generali SpA‡‡* | 17,355 | 580,452 | ||
Banco BPM SpA* | 526,587 | 1,168,363 | ||
Buzzi Unicem SpA | 24,828 | 592,712 | ||
Intesa Sanpaolo SpA* | 2,733,337 | 6,460,843 | ||
Prysmian SpA | 9,572 | 340,693 | ||
Telecom Italia SpA | 2,004,967 | 930,605 | ||
Tenaris SA | 289,916 | 2,349,405 | ||
UniCredit SpA* | 54,797 | 513,415 | ||
Unipol Gruppo SpA‡‡* | 142,571 | 685,111 | ||
15,442,130 | ||||
Japan — 18.1% | ||||
ABC-Mart, Inc. | 6,100 | 339,174 | ||
Advantest Corporation | 7,300 | 546,783 | ||
Aeon Co., Ltd. | 17,800 | 583,953 | ||
Aisin Seiki Co., Ltd. | 5,500 | 164,941 | ||
Ajinomoto Co., Inc. | 19,700 | 446,397 | ||
Alfresa Holdings Corporation | 16,600 | 304,266 | ||
Alps Alpine Co., Ltd. | 13,500 | 178,131 | ||
Amada Co., Ltd. | 39,000 | 429,163 | ||
Astellas Pharma, Inc. | 683,390 | 10,581,447 | ||
Bandai Namco Holdings, Inc. | 5,600 | 484,964 | ||
Bridgestone Corporation | 17,300 | 567,368 | ||
Brother Industries, Ltd.‡‡ | 99,200 | 2,047,833 | ||
Calbee, Inc. | 23,000 | 693,324 | ||
Canon, Inc.Δ | 20,800 | 402,949 | ||
Central Japan Railway Co. | 2,800 | 395,930 | ||
Chugai Pharmaceutical Co., Ltd. | 11,600 | 618,920 | ||
Chugoku Electric Power Co., Inc. (The)Δ | 29,300 | 343,851 | ||
Concordia Financial Group, Ltd. | 98,300 | 346,761 | ||
Dai Nippon Printing Co., Ltd. | 4,600 | 82,743 | ||
Daicel Corporation | 31,300 | 228,781 | ||
Dai-ichi Life Holdings, Inc. | 32,100 | 483,599 |
Shares | Value | |||
Daiichi Sankyo Co., Ltd. | 29,000 | $ 993,836 | ||
Daikin Industries, Ltd. | 76,000 | 16,907,504 | ||
Daito Trust Construction Co., Ltd.‡‡ | 59,300 | 5,541,860 | ||
Daiwa House Industry Co., Ltd.‡‡ | 24,100 | 716,558 | ||
Denso Corporation | 9,000 | 535,687 | ||
Disco Corporation | 3,400 | 1,145,912 | ||
East Japan Railway Co. | 6,400 | 426,978 | ||
Eisai Co., Ltd. | 5,500 | 393,323 | ||
ENEOS Holdings, Inc. | 70,300 | 252,497 | ||
FANUC Corporation | 3,300 | 814,602 | ||
Fast Retailing Co., Ltd. | 1,000 | 896,680 | ||
Fuji Electric Co., Ltd. | 10,400 | 375,399 | ||
FUJIFILM Holdings Corporation | 6,300 | 332,338 | ||
Fujitsu, Ltd.‡‡ | 14,800 | 2,139,125 | ||
Fukuoka Financial Group, Inc. | 18,900 | 336,891 | ||
GMO Payment Gateway, Inc. | 500 | 67,192 | ||
GungHo Online Entertainment, Inc. | 75,550 | 1,691,502 | ||
Hakuhodo DY Holdings, Inc. | 25,300 | 347,642 | ||
Hankyu Hanshin Holdings, Inc. | 12,500 | 415,776 | ||
Haseko Corporation‡‡ | 29,300 | 336,297 | ||
Hitachi Transport System, Ltd. | 3,000 | 89,390 | ||
Hitachi, Ltd.‡‡ | 149,500 | 5,900,662 | ||
Honda Motor Co., Ltd. | 50,300 | 1,419,280 | ||
Hoya Corporation‡‡ | 132,500 | 18,350,563 | ||
Iida Group Holdings Co., Ltd. | 3,400 | 68,742 | ||
Inpex Corporation | 26,900 | 145,053 | ||
Ito En, Ltd. | 5,400 | 341,939 | ||
ITOCHU Corporation | 22,000 | 632,723 | ||
Izumi Co., Ltd. | 1,900 | 68,848 | ||
Japan Airlines Co., Ltd.* | 8,800 | 169,702 | ||
Japan Exchange Group, Inc. | 106,900 | 2,731,488 | ||
Japan Post Insurance Co., Ltd. | 86,900 | 1,781,808 | ||
Japan Real Estate Investment Corporation REIT | 93 | 537,386 | ||
Japan Retail Fund Investment Corporation REIT | 83 | 151,056 | ||
Kajima Corporation | 43,000 | 576,845 | ||
Kaken Pharmaceutical Co., Ltd. | 12,900 | 498,498 | ||
Kamigumi Co., Ltd. | 35,300 | 644,874 | ||
Kaneka Corporation | 2,500 | 87,585 | ||
Kao Corporation | 9,300 | 718,483 | ||
KDDI Corporation | 52,800 | 1,565,534 | ||
Keihan Holdings Co., Ltd. | 7,600 | 364,369 | ||
Kewpie Corporation | 3,200 | 70,454 | ||
Keyence Corporation | 14,600 | 8,212,749 | ||
Kinden Corporation | 46,300 | 753,969 | ||
Kintetsu Group Holdings Co., Ltd. | 8,900 | 390,045 | ||
Komatsu, Ltd. | 79,800 | 2,202,343 | ||
K's Holdings Corporation | 77,200 | 1,075,688 | ||
Kubota Corporation | 24,500 | 535,267 | ||
KuritaWater Industries, Ltd. | 9,200 | 351,667 | ||
Kyocera Corporation | 14,800 | 908,401 | ||
Kyushu Railway Co.Δ | 15,700 | 338,695 | ||
Lion Corporation | 8,000 | 193,798 | ||
LIXIL Corporation | 17,800 | 386,023 | ||
M3, Inc. | 11,500 | 1,086,374 | ||
Mabuchi Motor Co., Ltd. | 30,500 | 1,330,393 | ||
Makita Corporation | 98,700 | 4,950,509 |
Shares | Value | |||
Marubeni Corporation | 51,200 | $ 341,115 | ||
Maruichi Steel Tube, Ltd. | 3,100 | 68,672 | ||
McDonald’s Holdings Co. Japan, Ltd. | 1,300 | 63,000 | ||
Mebuki Financial Group, Inc. | 263,300 | 518,791 | ||
Medipal Holdings Corporation | 24,300 | 456,969 | ||
MINEBEA MITSUMI, Inc. | 16,300 | 324,285 | ||
MISUMI Group, Inc. | 13,500 | 443,169 | ||
Mitsubishi Corporation | 26,100 | 643,413 | ||
Mitsubishi Electric Corporation | 45,000 | 680,114 | ||
Mitsubishi Estate Co., Ltd.‡‡ | 53,500 | 859,897 | ||
Mitsubishi Gas Chemical Co., Inc. | 20,300 | 466,807 | ||
Mitsubishi Heavy Industries, Ltd. | 19,100 | 584,958 | ||
Mitsubishi UFJ Financial Group, Inc. | 174,900 | 774,391 | ||
Mitsubishi UFJ Lease & Finance Co., Ltd. | 30,300 | 145,497 | ||
Mitsui & Co., Ltd. | 31,200 | 572,030 | ||
Mitsui Chemicals, Inc. | 13,600 | 399,505 | ||
Mitsui Fudosan Co., Ltd.‡‡ | 39,200 | 820,831 | ||
Mizuho Financial Group, Inc. | 44,300 | 562,264 | ||
Murata Manufacturing Co., Ltd. | 17,300 | 1,566,161 | ||
Nabtesco Corporation | 1,500 | 65,839 | ||
NEC Corporation | 8,600 | 461,903 | ||
Nexon Co., Ltd. | 17,400 | 536,875 | ||
NGK Spark Plug Co., Ltd. | 31,100 | 531,093 | ||
Nidec Corporation | 7,800 | 986,762 | ||
Nifco, Inc. | 11,200 | 439,235 | ||
Nihon M&A Center, Inc. | 4,800 | 320,992 | ||
Nintendo Co., Ltd.‡‡ | 11,100 | 7,125,550 | ||
Nippo Corporation | 13,100 | 358,931 | ||
Nippon Building Fund, Inc. REIT | 16 | 92,795 | ||
Nippon Express Co., Ltd. | 1,200 | 80,720 | ||
Nippon Paint Holdings Co., Ltd. | 2,900 | 318,659 | ||
Nippon Steel Corporation* | 24,600 | 317,271 | ||
Nippon Telegraph & Telephone Corporation | 33,400 | 857,011 | ||
Nisshin Seifun Group, Inc. | 21,500 | 342,489 | ||
Nitori Holdings Co., Ltd. | 3,200 | 669,125 | ||
Nitto Denko Corporation‡‡ | 13,300 | 1,191,415 | ||
NOK Corporation | 34,400 | 369,953 | ||
Nomura Holdings, Inc. | 182,100 | 962,776 | ||
NS Solutions Corporation | 3,100 | 91,313 | ||
Obayashi Corporation | 175,700 | 1,517,094 | ||
Obic Co., Ltd. | 2,200 | 442,151 | ||
Olympus Corporation | 579,000 | 12,676,566 | ||
Omron Corporation | 5,500 | 490,992 | ||
Ono Pharmaceutical Co., Ltd. | 2,600 | 78,350 | ||
Oriental Land Co., Ltd. | 3,300 | 545,263 | ||
ORIX Corporation | 41,000 | 630,749 | ||
Osaka Gas Co., Ltd. | 21,100 | 432,499 | ||
Otsuka Corporation | 3,400 | 179,340 | ||
Otsuka Holdings Co., Ltd.Δ | 9,400 | 402,756 | ||
Panasonic Corporation | 128,400 | 1,496,788 | ||
PeptiDream, Inc.* | 2,700 | 137,341 | ||
Pola Orbis Holdings, Inc. | 29,800 | 605,135 | ||
Recruit Holdings Co., Ltd. | 22,600 | 949,267 | ||
Renesas Electronics Corporation* | 38,400 | 401,932 | ||
Resona Holdings, Inc.‡‡ | 129,900 | 454,750 | ||
Ricoh Co., Ltd. | 101,900 | 670,082 |
Shares | Value | |||
Rohm Co., Ltd. | 7,400 | $ 717,362 | ||
Rohto Pharmaceutical Co., Ltd. | 6,800 | 201,551 | ||
Ryohin Keikaku Co., Ltd. | 10,300 | 210,785 | ||
Sankyu, Inc. | 18,700 | 707,125 | ||
Santen Pharmaceutical Co., Ltd. | 23,600 | 383,293 | ||
Sawai Pharmaceutical Co., Ltd. | 2,000 | 90,767 | ||
SCREEN Holdings Co., Ltd. | 3,800 | 280,229 | ||
SCSK Corporation | 2,200 | 125,808 | ||
Secom Co., Ltd. | 4,500 | 415,133 | ||
Seino Holdings Co., Ltd. | 15,000 | 211,673 | ||
Sekisui Chemical Co., Ltd. | 26,000 | 492,994 | ||
Sekisui House, Ltd. | 12,700 | 258,722 | ||
Seria Co., Ltd. | 3,800 | 139,499 | ||
Seven & i Holdings Co., Ltd. | 14,900 | 527,618 | ||
Shimamura Co., Ltd. | 7,000 | 735,525 | ||
Shimano, Inc. | 1,600 | 374,526 | ||
Shimizu Corporation | 109,200 | 794,899 | ||
Shin-Etsu Chemical Co., Ltd. | 5,900 | 1,035,544 | ||
Shinsei Bank, Ltd. | 118,400 | 1,462,696 | ||
Shiseido Co., Ltd. | 7,800 | 539,949 | ||
SMC Corporation | 1,100 | 671,811 | ||
SoftBank Corporation | 46,900 | 588,689 | ||
SoftBank Group Corporation | 44,800 | 3,478,052 | ||
Sojitz Corporation‡‡ | 352,000 | 786,053 | ||
Sony Corporation | 43,400 | 4,373,335 | ||
Stanley Electric Co., Ltd. | 10,900 | 351,628 | ||
Subaru Corporation | 44,000 | 880,393 | ||
SUMCO Corporation | 10,200 | 223,975 | ||
Sumitomo Chemical Co., Ltd. | 98,200 | 395,823 | ||
Sumitomo Electric Industries, Ltd. | 41,300 | 547,258 | ||
Sumitomo Forestry Co., Ltd. | 3,400 | 71,129 | ||
Sumitomo Metal Mining Co., Ltd. | 5,300 | 235,749 | ||
Sumitomo Mitsui Financial Group, Inc. | 22,400 | 694,359 | ||
Sumitomo Mitsui Trust Holdings, Inc. | 218,200 | 6,732,501 | ||
Sumitomo Realty & Development Co., Ltd.‡‡ | 6,000 | 185,237 | ||
Sumitomo Rubber Industries, Ltd. | 37,200 | 320,079 | ||
Sundrug Co., Ltd. | 4,600 | 183,848 | ||
Suzuken Co., Ltd. | 20,600 | 745,184 | ||
Suzuki Motor Corporation | 7,900 | 366,209 | ||
Sysmex Corporation | 5,700 | 685,862 | ||
T&D Holdings, Inc. | 34,500 | 408,095 | ||
Taiheiyo Cement Corporation | 37,200 | 931,827 | ||
Taisei Corporation | 116,310 | 4,012,525 | ||
Takeda Pharmaceutical Co., Ltd. | 25,800 | 933,686 | ||
TDK Corporation | 4,400 | 663,888 | ||
Teijin, Ltd. | 33,300 | 626,643 | ||
Terumo Corporation | 174,200 | 7,289,621 | ||
THK Co., Ltd. | 64,188 | 2,075,894 | ||
TIS, Inc. | 4,100 | 84,048 | ||
Tokio Marine Holdings, Inc. | 209,700 | 10,804,070 | ||
Tokyo Electron, Ltd.‡‡ | 6,400 | 2,390,802 | ||
Tokyu Corporation | 31,700 | 393,870 | ||
Tokyu Fudosan Holdings Corporation | 67,700 | 361,627 | ||
Toshiba Corporation | 20,100 | 562,969 | ||
Tosoh Corporation | 40,100 | 626,529 |
Shares | Value | |||
Toyo Seikan Group Holdings, Ltd. | 42,300 | $ 463,244 | ||
Toyo Suisan Kaisha, Ltd. | 7,400 | 360,136 | ||
Toyoda Gosei Co., Ltd. | 3,300 | 95,747 | ||
Toyota Boshoku Corporation | 30,900 | 501,836 | ||
Toyota Motor Corporation | 65,600 | 5,062,360 | ||
Toyota Tsusho Corporation | 7,100 | 287,312 | ||
Trend Micro, Inc. | 7,300 | 420,284 | ||
Unicharm Corporation | 10,400 | 493,230 | ||
USS Co., Ltd. | 18,000 | 363,977 | ||
Yamada Holdings Co., Ltd. | 21,900 | 116,355 | ||
Yamaguchi Financial Group, Inc. | 101,800 | 574,675 | ||
Yamazaki Baking Co., Ltd.Δ | 19,500 | 325,678 | ||
Yokohama Rubber Co., Ltd. (The) | 7,000 | 104,279 | ||
Z Holdings Corporation | 360,800 | 2,183,286 | ||
238,835,076 | ||||
Jersey — 2.0% | ||||
Experian PLC | 450,947 | 17,124,927 | ||
Glencore PLC* | 2,402,886 | 7,656,256 | ||
WPP PLC | 203,998 | 2,231,738 | ||
27,012,921 | ||||
Mexico — 0.3% | ||||
Grupo Financiero Banorte SAB de CV Series O* | 368,350 | 2,029,678 | ||
Grupo Televisa SAB SA ADR* | 198,100 | 1,632,344 | ||
3,662,022 | ||||
Netherlands — 3.9% | ||||
Aalberts NV | 1,763 | 78,526 | ||
ABN AMRO Bank NV CVA 144A* | 352,083 | 3,449,580 | ||
Adyen NV 144A* | 1,921 | 4,470,635 | ||
Akzo Nobel NV | 31,764 | 3,409,363 | ||
APERAM SA | 10,511 | 438,384 | ||
ASM International NV‡‡ | 14,035 | 3,085,397 | ||
ASML Holding NV‡‡ | 6,886 | 3,344,303 | ||
ASML Holding NV (NASDAQ Exchange) | 14,099 | 6,876,364 | ||
ASR Nederland NV‡‡ | 20,261 | 813,098 | ||
CNH Industrial NV* | 489,663 | 6,155,269 | ||
Euronext NV 144A | 48,455 | 5,336,434 | ||
EXOR NV | 40,833 | 3,316,748 | ||
Ferrari NV | 16,957 | 3,933,033 | ||
Fiat Chrysler Automobiles NV* | 17,836 | 322,226 | ||
ING Groep NV‡‡* | 66,977 | 625,205 | ||
Koninklijke Ahold Delhaize NV‡‡ | 91,540 | 2,584,388 | ||
Randstad NV‡‡* | 22,432 | 1,458,992 | ||
Signify NV 144A‡‡* | 43,918 | 1,852,618 | ||
Wolters Kluwer NV‡‡ | 2,341 | 197,504 | ||
51,748,067 | ||||
Nigeria — 0.0% | ||||
Afriland Properties PLCΨ†††* | 364,373 | — | ||
Norway — 0.2% | ||||
DNB ASA* | 15,435 | 302,458 | ||
Leroy Seafood Group ASA | 104,535 | 737,543 | ||
Orkla ASA | 24,162 | 245,303 | ||
Salmar ASA | 4,991 | 292,426 |
Shares | Value | |||
Yara International ASA | 37,311 | $ 1,547,868 | ||
3,125,598 | ||||
Portugal — 0.3% | ||||
Galp Energia SGPS SA | 390,439 | 4,175,481 | ||
Singapore — 0.9% | ||||
Ascendas REIT‡‡ | 158,700 | 357,843 | ||
CapitaLand Integrated Commercial Trust REIT‡‡ | 233,640 | 381,857 | ||
DBS Group Holdings, Ltd. | 181,800 | 3,444,516 | ||
Jardine Cycle & Carriage, Ltd. | 18,100 | 267,747 | ||
Mapletree Commercial Trust REIT | 136,500 | 219,995 | ||
Singapore Exchange, Ltd.‡‡ | 739,893 | 5,195,375 | ||
Suntec REIT | 260,300 | 293,468 | ||
Venture Corporation, Ltd.‡‡ | 22,100 | 324,744 | ||
Yangzijiang Shipbuilding Holdings, Ltd.‡‡ | 2,196,700 | 1,587,355 | ||
12,072,900 | ||||
South Africa — 0.3% | ||||
Naspers, Ltd. N SharesΔ | 20,287 | 4,168,326 | ||
South Korea — 0.9% | ||||
KB Financial Group, Inc. | 114,515 | 4,548,197 | ||
NAVER Corporation | 6,095 | 1,643,025 | ||
Samsung Electronics Co., Ltd. | 9,500 | 709,417 | ||
Samsung Electronics Co., Ltd. GDR Class S | 2,559 | 4,670,175 | ||
11,570,814 | ||||
Spain — 1.5% | ||||
Aena SME SA 144A* | 22,559 | 3,918,919 | ||
Amadeus IT Group SA | 211,978 | 15,423,833 | ||
19,342,752 | ||||
Sweden — 2.4% | ||||
Assa Abloy AB, B Shares | 181,965 | 4,496,722 | ||
Atlas Copco AB, A Shares | 89,092 | 4,579,009 | ||
Atlas Copco AB, B Shares | 6,930 | 311,070 | ||
Electrolux AB, Series B | 8,117 | 188,858 | ||
Essity AB, B Shares‡‡ | 24,243 | 781,089 | ||
Getinge AB, B Shares‡‡ | 138,412 | 3,239,074 | ||
Hennes & Mauritz AB, B Shares* | 111,933 | 2,349,705 | ||
Hexpol AB | 15,080 | 161,457 | ||
Husqvarna AB, B Shares | 54,797 | 711,152 | ||
Investor AB, B Shares‡‡ | 8,150 | 593,184 | ||
Sandvik AB* | 110,144 | 2,716,544 | ||
SKF AB, B Shares | 85,216 | 2,217,258 | ||
Svenska Handelsbanken AB, A Shares* | 216,289 | 2,180,200 | ||
Swedish Orphan Biovitrum AB‡‡* | 34,236 | 688,978 | ||
Telefonaktiebolaget LM Ericsson, B Shares‡‡ | 270,618 | 3,219,125 | ||
Trelleborg AB, B Shares* | 36,909 | 819,823 | ||
Volvo AB, B Shares* | 86,770 | 2,054,115 | ||
31,307,363 | ||||
Switzerland — 12.2% | ||||
Adecco Group AG‡‡ | 26,383 | 1,757,196 |
Shares | Value | |||
Alcon, Inc.* | 74,835 | $ 4,968,755 | ||
Belimo Holding AG | 9 | 78,188 | ||
BKW AG | 2,911 | 328,013 | ||
Chubb, Ltd. | 85,400 | 13,144,768 | ||
Cie Financiere Richemont SA Class A | 22,504 | 2,033,057 | ||
Credit Suisse Group AG‡‡ | 684,064 | 8,831,868 | ||
DKSH Holding AG | 3,238 | 242,597 | ||
dormakaba Holding AG | 161 | 91,418 | ||
Helvetia Holding AG | 717 | 75,733 | ||
Julius Baer Group, Ltd. | 125,084 | 7,206,281 | ||
LafargeHolcim, Ltd. (Swiss Exchange)‡‡* | 69,571 | 3,818,599 | ||
Logitech International SA‡‡ | 13,021 | 1,264,274 | ||
Lonza Group AG | 8,054 | 5,188,119 | ||
Nestle SA‡‡ | 273,158 | 32,290,366 | ||
Novartis AG‡‡ | 238,410 | 22,448,198 | ||
OC Oerlikon Corporation AG | 44,953 | 466,423 | ||
Roche Holding AG‡‡ | 65,216 | 22,714,639 | ||
Sika AG | 45,627 | 12,437,612 | ||
Sulzer AG | 1,303 | 137,801 | ||
Swatch Group AG (The) | 8,678 | 2,359,055 | ||
Swiss Life Holding AG | 393 | 183,323 | ||
Swiss Re AG | 17,553 | 1,653,724 | ||
UBS Group AG | 549,681 | 7,739,420 | ||
Zurich Insurance Group AG | 23,095 | 9,732,724 | ||
161,192,151 | ||||
Taiwan — 2.0% | ||||
Taiwan Semiconductor Manufacturing Co., Ltd. ADR | 244,514 | 26,661,807 | ||
Thailand — 0.1% | ||||
Bangkok Bank PCL NVDR | 467,040 | 1,846,728 | ||
Turkey — 0.0% | ||||
Yapi ve Kredi Bankasi AS* | 1 | — | ||
United Kingdom — 6.3% | ||||
Antofagasta PLC | 142,798 | 2,812,955 | ||
Ashtead Group PLC | 32,926 | 1,548,004 | ||
BP PLC ADR | 109,440 | 2,245,709 | ||
BT Group PLC* | 2,133,120 | 3,857,788 | ||
Bunzl PLC | 13,400 | 447,668 | ||
Compass Group PLC | 557,444 | 10,390,213 | ||
Dialog Semiconductor PLC‡‡* | 38,334 | 2,088,936 | ||
G4S PLC* | 408,861 | 1,419,040 | ||
GlaxoSmithKline PLC | 559,040 | 10,259,419 | ||
Liberty Global PLC Class A* | 366,215 | 8,869,727 | ||
Lloyds Banking Group PLC‡‡* | 18,778,240 | 9,357,516 | ||
Natwest Group PLC* | 1,097,250 | 2,515,570 | ||
Prudential PLC | 168,300 | 3,100,124 | ||
Rolls-Royce Holdings PLC* | 3,613,001 | 5,496,617 | ||
RSA Insurance Group PLC | 427,577 | 3,960,836 | ||
Schroders PLC | 48,718 | 2,223,172 | ||
Smith & Nephew PLC | 216,547 | 4,471,533 | ||
Smiths Group PLC | 42,192 | 868,060 |
Shares | Value | |||
Vodafone Group PLC ADR | 427,800 | $ 7,050,144 | ||
82,983,031 | ||||
Total Foreign Common Stocks (Cost $955,500,849) | 1,147,181,794 | |||
FOREIGN PREFERRED STOCKS — 0.4% | ||||
Germany — 0.4% | ||||
Henkel AG & Co. KGaA | ||||
2.05%◊ | 24,167 | 2,724,938 | ||
Porsche Automobil Holding SE | ||||
3.97%‡‡◊ | 2,638 | 182,225 | ||
Volkswagen AG | ||||
3.30%◊ | 13,329 | 2,490,976 | ||
5,398,139 | ||||
Total Foreign Preferred Stocks (Cost $5,069,012) | 5,398,139 |
Number of Warrants | |||
WARRANTS — 0.0% | |||
Cie Financiere Richemont SA, Exp. 11/22/23, Strike $67.00* (Cost $—) | 55,834 | 14,506 |
Shares | |||
MONEY MARKET FUNDS — 6.6% | |||
GuideStone Money Market Fund, 0.00% (Institutional Class)Ø∞ | 86,427,714 | 86,427,714 |
Shares | Value | |||
Northern Institutional Liquid Assets Portfolio (Shares), 0.08%ا | 433,814 | $ 433,814 | ||
Northern Institutional U.S. Government Portfolio (Shares), 0.00%Ø | 331,128 | 331,128 | ||
Total Money Market Funds (Cost $87,192,656) | 87,192,656 | |||
TOTAL INVESTMENTS — 97.8% (Cost $1,081,741,006) | 1,289,208,098 | |||
FOREIGN COMMON STOCKS SOLD SHORT — (0.5)% | ||||
United Kingdom — (0.5)% | ||||
Burberry Group PLC* | (55,587) | (1,360,292) | ||
Hiscox, Ltd.* | (15,953) | (216,848) | ||
InterContinental Hotels Group PLC* | (11,380) | (729,865) | ||
Intermediate Capital Group PLC | (33,629) | (793,747) | ||
Ocado Group PLC* | (50,856) | (1,590,508) | ||
Prudential PLC | (13,373) | (246,334) | ||
Rolls-Royce Holdings PLC* | (120,669) | (183,579) | ||
St. James's Place PLC | (85,168) | (1,320,156) | ||
Tesco PLC | (25,722) | (81,395) | ||
Whitbread PLC* | (1,903) | (80,673) | ||
Total Foreign Common Stocks Sold Short (Proceeds $(4,505,312)) | (6,603,397) | |||
TOTAL SECURITIES SOLD SHORT — (0.5)% (Proceeds $(4,505,312)) | (6,603,397) | |||
Other Assets in Excess of Liabilities — 2.7% | 35,867,310 | |||
NET ASSETS — 100.0% | $1,318,472,011 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
AEX Index | 01/2021 | 8 | $ 1,220,732 | $ 7,829 | ||||
CAC40 10 Euro | 01/2021 | (55) | (3,723,712) | 2,186 | ||||
IBEX 35 Index | 01/2021 | (173) | (17,057,058) | 81,917 | ||||
OMXS30 Index | 01/2021 | (7) | (159,801) | 857 | ||||
Hang Seng Index | 01/2021 | 38 | 6,670,936 | 177,044 | ||||
MSCI Singapore Index | 01/2021 | (40) | (978,511) | 4,447 | ||||
Topix Index® | 03/2021 | 254 | 44,389,424 | 981,845 | ||||
ASX SPI 200 Index | 03/2021 | 53 | 6,677,603 | (36,001) | ||||
DAX Index | 03/2021 | 11 | 4,618,021 | 155,017 | ||||
FTSE 100 Index® | 03/2021 | (219) | (19,226,777) | 185,018 | ||||
FTSE/MIB Index | 03/2021 | 167 | 22,573,302 | 268,283 | ||||
MSCI EAFE Index E-Mini | 03/2021 | 386 | 41,124,440 | 591,708 | ||||
S&P/TSX 60 Index | 03/2021 | (12) | (1,939,948) | 18,744 | ||||
Total Futures Contracts outstanding at December 31, 2020 | $ 84,188,651 | $2,438,894 |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
03/17/21 | New Zealand Dollars | 76,954,000 | U.S. Dollars | 53,843,230 | CITI | $ 1,542,976 | ||||||
03/17/21 | Australian Dollars | 38,868,000 | U.S. Dollars | 28,855,535 | CITI | 1,128,616 | ||||||
03/17/21 | Euro | 44,924,000 | U.S. Dollars | 53,971,971 | CITI | 1,004,855 | ||||||
03/17/21 | British Pounds | 26,491,000 | U.S. Dollars | 35,320,839 | CITI | 922,914 | ||||||
03/17/21 | Japanese Yen | 6,496,861,000 | U.S. Dollars | 62,606,856 | CITI | 369,485 | ||||||
03/17/21 | Swedish Kronor | 86,061,000 | U.S. Dollars | 10,161,069 | CITI | 307,700 | ||||||
03/17/21 | Norwegian Kroner | 39,805,000 | U.S. Dollars | 4,560,839 | CITI | 80,280 | ||||||
03/17/21 | Israeli Shekels | 5,320,000 | U.S. Dollars | 1,602,271 | CITI | 55,505 | ||||||
03/17/21 | Swiss Francs | 6,157,000 | U.S. Dollars | 6,943,942 | CITI | 26,490 | ||||||
03/17/21 | Canadian Dollars | 7,335,000 | U.S. Dollars | 5,738,792 | CITI | 24,854 | ||||||
03/17/21 | Danish Kroner | 10,314,000 | U.S. Dollars | 1,673,755 | CITI | 22,041 | ||||||
03/17/21 | U.S. Dollars | 2,658,821 | New Zealand Dollars | 3,678,000 | CITI | 11,649 | ||||||
03/17/21 | Singapore Dollars | 1,083,000 | U.S. Dollars | 810,320 | CITI | 9,209 | ||||||
03/17/21 | U.S. Dollars | 5,176,082 | Swiss Francs | 4,567,000 | CITI | 5,713 | ||||||
03/17/21 | U.S. Dollars | 480,352 | Euro | 391,000 | CITI | 1,857 | ||||||
03/17/21 | U.S. Dollars | 209,737 | Danish Kroner | 1,273,000 | CITI | 433 | ||||||
03/17/21 | Hong Kong Dollars | 70,404,987 | U.S. Dollars | 9,082,806 | CITI | 344 | ||||||
03/17/21 | U.S. Dollars | 195,209 | Hong Kong Dollars | 1,513,000 | CITI | 13 | ||||||
03/17/21 | U.S. Dollars | 5,924 | Israeli Shekels | 19,000 | CITI | 4 | ||||||
Subtotal Appreciation | $ 5,514,938 | |||||||||||
03/17/21 | Israeli Shekels | 68,000 | U.S. Dollars | 21,207 | CITI | $ (18) | ||||||
03/17/21 | Hong Kong Dollars | 1,579,000 | U.S. Dollars | 203,738 | CITI | (27) | ||||||
03/17/21 | U.S. Dollars | 1,364,483 | Hong Kong Dollars | 10,577,000 | CITI | (87) | ||||||
03/17/21 | Danish Kroner | 1,287,000 | U.S. Dollars | 212,476 | CITI | (871) | ||||||
06/16/21 | U.S. Dollars | 1,938,810 | Swiss Francs | 1,711,000 | NT | (3,446) | ||||||
03/17/21 | U.S. Dollars | 234,140 | Israeli Shekels | 766,000 | CITI | (4,557) | ||||||
03/17/21 | U.S. Dollars | 1,148,612 | Danish Kroner | 7,055,000 | CITI | (11,351) | ||||||
03/17/21 | U.S. Dollars | 1,788,347 | Singapore Dollars | 2,392,000 | CITI | (21,724) | ||||||
03/17/21 | U.S. Dollars | 5,373,673 | Euro | 4,424,000 | CITI | (40,304) | ||||||
03/17/21 | U.S. Dollars | 2,528,910 | Swedish Kronor | 21,495,000 | CITI | (85,818) | ||||||
03/17/21 | U.S. Dollars | 10,516,424 | New Zealand Dollars | 14,744,000 | CITI | (95,294) | ||||||
03/17/21 | U.S. Dollars | 28,361,271 | Japanese Yen | 2,943,251,000 | CITI | (168,688) | ||||||
03/17/21 | U.S. Dollars | 6,523,078 | Australian Dollars | 8,838,000 | CITI | (294,867) | ||||||
03/17/21 | U.S. Dollars | 16,739,837 | British Pounds | 12,500,000 | CITI | (362,081) | ||||||
03/17/21 | U.S. Dollars | 18,838,869 | Swiss Francs | 17,050,000 | CITI | (463,691) | ||||||
03/17/21 | U.S. Dollars | 36,146,290 | Canadian Dollars | 47,162,000 | CITI | (912,343) | ||||||
03/17/21 | U.S. Dollars | 27,800,898 | Norwegian Kroner | 250,388,000 | CITI | (1,393,434) | ||||||
Subtotal Depreciation | $(3,858,601) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at December 31, 2020 | $ 1,656,337 |
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) | ||||||||
Total Return Swaps | ||||||||||||||||
Increase in total return of Hang Seng Index (At Termination) | Decrease in total return of Hang Seng Index (At Termination) | 1/28/2021 | GSC | HKD | 61,242,750 | $ 210,655 | $ — | $ 210,655 | ||||||||
Increase in total return of Hang Seng Index (At Termination) | Decrease in total return of Hang Seng Index (At Termination) | 1/28/2021 | JPM | HKD | 39,467,550 | 148,548 | — | 148,548 | ||||||||
Increase in total return of Tel Aviv 35 Index (At Termination) | Decrease in total return of Tel Aviv 35 Index (At Termination) | 1/29/2021 | GSC | ILS | 4,647,055 | 67,645 | — | 67,645 |
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) | ||||||||
Financing Index: 1-Month EURIBOR + 0.07% | MSCI Spain Net Return EUR Index (Monthly) | 3/17/2021 | GSC | EUR | 3,689,460 | $ 108,434 | $ — | $ 108,434 | ||||||||
MSCI Daily TR Net Israel Index (Monthly) | Financing Index: 1-Month LIBOR + 0.25% | 3/17/2021 | JPM | USD | 44,937 | 2,998 | — | 2,998 | ||||||||
MSCI Germany Net Return EUR Index (Monthly) | Financing Index: 1-Month EURIBOR + 0.04% | 3/17/2021 | GSC | EUR | 302,846 | 13,557 | — | 13,557 | ||||||||
MSCI Hong Kong Net Return HKD Index (Monthly) | Financing Index: 1-Month HIBOR - 0.10% | 3/17/2021 | GSC | HKD | 1,943,063 | 8,450 | — | 8,450 | ||||||||
MSCI Italy Net Return EUR Index (Monthly) | Financing Index: 1-Month EURIBOR - 0.02% | 3/17/2021 | GSC | EUR | 2,442,867 | 48,221 | — | 48,221 | ||||||||
MSCI Japan Net Return JPY Index (Monthly) | Financing Index: 1-Month LIBOR - 0.20% | 3/17/2021 | GSC | JPY | 49,040,256 | 12,980 | — | 12,980 | ||||||||
Subtotal Appreciation | $ 621,488 | $ — | $ 621,488 | |||||||||||||
Decrease in total return of Swiss Market Index (At Termination) | Increase in total return of Swiss Market Index (At Termination) | 3/19/2021 | CITI | CHF | 18,520,560 | $(753,840) | $ — | $(753,840) | ||||||||
Subtotal Depreciation | $(753,840) | $ — | $(753,840) | |||||||||||||
Net Total Return Swaps outstanding at December 31, 2020 | $(132,352) | $ — | $(132,352) |
Description | Maturity Date | Counterparty | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | ||||||
The Fund receives the total return on a portfolio of short equity positions and receives the RBA plus or minus a specified spread (-0.40%), which is denominated in AUD based on the local currencies of the positions within the swap (Monthly). | 56-60 months maturity ranging from 08/08/2025 - 12/15/2025 | GSC | 9,110,293 | $ 22,118 | $ — | $ 22,118 | ||||||
The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the LIBOR or SONIA plus or minus a specified spread (-0.25% to 0.25%), which is denominated in GBP based on the local currencies of the positions within the swap (Monthly).* | 56-60 months maturity ranging from 08/08/2025 - 12/15/2025 | GSC | 31,738,288 | 278,886 | — | 278,886 | ||||||
Subtotal Appreciation | $301,004 | $ — | $301,004 |
Common Stocks | Shares | Notional | Unrealized Appreciation (Depreciation) | Percentage Of Swap Value | ||||
3i Group PLC | 15,222 | 176,271 | $ 7,771 | 2.79% | ||||
Aggreko PLC | 120,582 | 754,843 | 35,304 | 12.66 | ||||
Anglo American PLC | 26,798 | 649,718 | (26,339) | (9.44) | ||||
Associated British Foods PLC | 30,390 | 688,030 | 691 | 0.25 | ||||
Avast PLC | 13,904 | 74,734 | 8,485 | 3.04 | ||||
Aviva PLC | 827,399 | 2,690,702 | (2,810) | (1.01) | ||||
B&M European Value Retail SA | 9,189 | 47,434 | 4,653 | 1.67 | ||||
Babcock International Group PLC | (37,106) | 103,860 | 12,288 | 4.41 |
Common Stocks | Shares | Notional | Unrealized Appreciation (Depreciation) | Percentage Of Swap Value | ||||
BAE Systems PLC | 68,341 | 334,051 | $ (24,931) | (8.94)% | ||||
Barclays PLC | 803,086 | 1,177,967 | 8,327 | 2.99 | ||||
Bellway PLC | 1,926 | 56,913 | 7,141 | 2.56 | ||||
BHP Group PLC | 31,393 | 604,315 | 3,397 | 1.22 | ||||
boohoo Group PLC | 310,112 | 1,063,684 | 138,901 | 49.81 | ||||
BT Group PLC | 1,156,832 | 1,529,910 | (96,036) | (34.44) | ||||
ConvaTec Group PLC | 44,048 | 87,744 | (3,633) | (1.30) | ||||
Direct Line Insurance Group PLC | 159,207 | 507,870 | 46,059 | 16.52 | ||||
Dunelm Group PLC | 15,776 | 191,363 | 8,592 | 3.08 | ||||
easyJet PLC | (34,952) | 290,102 | 7,890 | 2.83 | ||||
Evraz PLC | 141,477 | 667,206 | 64,492 | 23.12 | ||||
GlaxoSmithKline PLC | 75,979 | 1,019,638 | (44,517) | (15.96) | ||||
Hays PLC | 147,803 | 211,358 | 9,256 | 3.32 | ||||
Hikma Pharmaceuticals PLC | 13,986 | 352,167 | 7,388 | 2.65 | ||||
Hiscox, Ltd. | (42,049) | 417,967 | 9,136 | 3.28 | ||||
Inchcape PLC | 201,804 | 1,298,609 | 34,236 | 12.28 | ||||
InterContinental Hotels Group PLC | (2,338) | 109,652 | 2,573 | 0.92 | ||||
Intermediate Capital Group PLC | (9,913) | 171,098 | (11,281) | (4.05) | ||||
Investec PLC | 246,067 | 460,883 | (18,443) | (6.61) | ||||
JD Sports Fashion PLC | 6,306 | 54,232 | 4,457 | 1.6 | ||||
Kingfisher PLC | 429,529 | 1,161,446 | (20,799) | (7.46) | ||||
Lloyds Banking Group PLC | (582,962) | 212,431 | 6,425 | 2.3 | ||||
London Stock Exchange Group PLC | 3,641 | 327,981 | 17,362 | 6.23 | ||||
M&G PLC | 482,629 | 955,364 | 19,278 | 6.91 | ||||
Man Group PLC | 709,250 | 978,765 | 101,655 | 36.45 | ||||
Marks & Spencer Group PLC | 1,268,140 | 1,728,475 | (116,560) | (41.80) | ||||
Meggitt PLC | (24,585) | 114,689 | (10,793) | (3.87) | ||||
Micro Focus International PLC | 130,222 | 552,272 | (97,536) | (34.98) | ||||
Mondi PLC | 8,545 | 146,931 | (3,010) | (1.08) | ||||
Moneysupermarket.com Group PLC | 411,305 | 1,071,861 | 69,537 | 24.93 | ||||
Prudential PLC | (17,122) | 230,633 | (13,379) | (4.80) | ||||
Rio Tinto PLC | 26,426 | 1,445,502 | 36,209 | 12.98 | ||||
Rolls-Royce Holdings PLC | (430,997) | 479,484 | 107,735 | 38.63 | ||||
Royal Dutch Shell PLC, A Shares | 24,863 | 322,672 | (22,507) | (8.07) | ||||
Royal Dutch Shell PLC, B Shares | 46,826 | 589,727 | (40,418) | (14.49) | ||||
Royal Mail PLC | 349,751 | 1,181,109 | 9,804 | 3.52 | ||||
RSA Insurance Group PLC | 31,029 | 210,190 | 721 | 0.26 | ||||
Sage Group PLC (The) | 95,728 | 557,137 | 15,598 | 5.59 | ||||
Standard Chartered PLC | 51,103 | 238,089 | (6,689) | (2.40) | ||||
Tate & Lyle PLC | 164,840 | 1,111,681 | 61,472 | 22.04 | ||||
Taylor Wimpey PLC | (93,111) | 154,378 | (7,344) | (2.63) | ||||
WH Smith PLC | (3,665) | 55,341 | 3,462 | 1.24 | ||||
Whitbread PLC | (1,565) | 48,515 | 1,084 | 0.39 | ||||
Natwest Group PLC | (195,213) | 327,275 | (23,896) | (8.57) | ||||
Centrica PLC | (109,779) | 51,157 | (4,391) | (1.57) | ||||
Informa PLC | (43,389) | 238,206 | 7,558 | 2.71 | ||||
St. James’s Place PLC | (2,963) | 33,586 | (1,666) | (0.60) | ||||
AstraZeneca PLC | 3,675 | 269,157 | (40,464) | (14.51) | ||||
ASOS PLC | 14,234 | 680,812 | 74,423 | 26.68 | ||||
Glencore PLC | 57,533 | 134,052 | (3,726) | (1.34) | ||||
BP PLC | 132,280 | 337,049 | (33,306) | (11.94) | ||||
31,738,288 | $ 278,886 | 100.00% |
Description | Maturity Date | Counterparty | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | ||||||
The Fund receives the total return on a portfolio of short equity positions and receives the LIBOR minus a specified spread (-0.35%), which is denominated in CHF based on the local currencies of the positions within the swap (Monthly). | 56-60 months maturity ranging from 08/08/2025 - 12/15/2025 | GSC | 4,120,488 | $ (23,752) | $ — | $ (23,752) | ||||||
The Fund receives the total return on a portfolio of short equity positions and receives the DETNT/N minus a specified spread (-0.35%), which is denominated in DKK based on the local currencies of the positions within the swap (Monthly). | 56 months maturity 08/08/2025 | GSC | 12,261,166 | (179,487) | — | (179,487) | ||||||
The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the EONIA or EURIBOR plus or minus a specified spread (-.35% to 0.25%), which is denominated in EUR based on the local currencies of the positions within the swap (Monthly).* | 56-60 months maturity ranging from 08/08/2025 - 12/15/2025 | GSC | 46,606,136 | (2,131,100) | — | (2,131,100) |
Common Stock | Shares | Notional | Unrealized Appreciation (Depreciation) | Percentage of Swap Value | ||||
Aeroports de Paris | (3,842) | 407,636 | $ (683) | 0.03% | ||||
Alstom SA | (1,745) | 81,334 | (1,731) | 0.08 | ||||
Altice Europe NV | (347,264) | 1,850,223 | (362,315) | 17.00 | ||||
Amadeus IT Group SA | (11,118) | 662,188 | 18,117 | (0.85) | ||||
Amundi SA | 1,133 | 75,684 | 362 | (0.02) | ||||
Arkema SA | 1,680 | 157,080 | (4,486) | 0.21 | ||||
Atos SE | 28,360 | 2,120,761 | 2,531 | (0.12) | ||||
Banco Bilbao Vizcaya Argentaria SA | 70,099 | 282,849 | (10,213) | 0.48 | ||||
Bankia SA | 340,260 | 493,037 | (41,261) | 1.94 | ||||
BNP Paribas SA | 17,938 | 773,218 | (31,382) | 1.47 | ||||
Boskalis Westminster | (3,006) | 67,755 | (9,875) | 0.46 | ||||
Bouygues SA | 7,974 | 268,325 | (9,779) | 0.46 | ||||
Capgemini SE | 464 | 58,835 | 4,915 | (0.23) | ||||
Carrefour SA | 126,358 | 1,772,803 | 19,678 | (0.92) | ||||
Cellnex Telecom SA | (18,368) | 902,236 | 45,733 | (2.15) | ||||
Cie de St-Gobain | 38,329 | 1,437,338 | (83,488) | 3.92 | ||||
Credit Agricole SA | 18,152 | 187,329 | (3,063) | 0.14 | ||||
CTS Eventim AG & Co. KGaA | (42,218) | 2,309,914 | (177,211) | 8.32 | ||||
Dassault Aviation SA | 93 | 83,421 | (379) | 0.02 | ||||
Delivery Hero SE | (930) | 119,054 | (26,085) | 1.22 | ||||
Electricite de France SA | 78,412 | 1,011,123 | 10,261 | (0.48) | ||||
EDP - Energias de Portugal SA | 19,980 | 103,017 | 11,468 | (0.54) | ||||
Enagas SA | 36,164 | 649,686 | (74,079) | 3.48 | ||||
Endesa SA | 62,060 | 1,387,041 | 26,765 | (1.26) | ||||
Eutelsat Communications SA | 92,566 | 857,161 | (30,797) | 1.45 | ||||
Evotec SE | (84,817) | 2,565,504 | (413,160) | 19.40 | ||||
Gecina SA REIT | 674 | 85,126 | (1,134) | 0.05 | ||||
Grifols SA | 3,894 | 92,989 | (218) | 0.01 | ||||
Iberdrola SA | 14,314 | 167,474 | 8,079 | (0.38) | ||||
Ipsen SA | 4,396 | 298,488 | (3,157) | 0.15 | ||||
Legrand SA | 2,276 | 166,148 | 7,097 | (0.33) |
Common Stock | Shares | Notional | Unrealized Appreciation (Depreciation) | Percentage of Swap Value | ||||
Mapfre SA | 73,886 | 117,700 | $ (7,290) | 0.34% | ||||
Mediobanca Banca di Credito Finanziario SpA | (169,151) | 1,281,710 | (8,835) | 0.41 | ||||
Cie Generale des Etablissements Michelin SCA | 13,615 | 1,428,894 | (19,645) | 0.92 | ||||
MTU Aero Engines AG | (959) | 204,626 | (6,050) | 0.28 | ||||
Neste OYJ | (6,307) | 374,831 | (11,999) | 0.56 | ||||
OCI NV | (112,109) | 1,762,353 | 9,969 | (0.47) | ||||
Orange SA | 85,335 | 830,651 | (50,996) | 2.39 | ||||
Peugeot SA | 65,096 | 1,456,198 | 103,681 | (4.87) | ||||
Publicis Groupe SA | 29,056 | 1,184,323 | 21,552 | (1.01) | ||||
Red Electrica Corporation SA | 6,329 | 106,169 | 1,143 | (0.05) | ||||
Repsol SA | 84,293 | 695,417 | (62,447) | 2.93 | ||||
Rexel SA | 116,300 | 1,499,689 | 109,692 | (5.15) | ||||
Rubis | 13,580 | 515,768 | 112 | (0.01) | ||||
Saipem SpA | (206,527) | 458,902 | (23,199) | 1.09 | ||||
Sampo OYJ, A Shares | (2,089) | 73,108 | 504 | (0.02) | ||||
Sanofi | 33,652 | 2,648,412 | (115,351) | 5.41 | ||||
SBM Offshore NV | (36,078) | 561,554 | 15,547 | (0.73) | ||||
Schneider Electric SE | 5,520 | 653,016 | 25,763 | (1.21) | ||||
SEB SA | 2,944 | 438,656 | 14,120 | (0.66) | ||||
Societe BIC SA | 18,051 | 835,039 | (98,819) | 4.64 | ||||
Societe Generale SA | 12,207 | 207,788 | (9,646) | 0.45 | ||||
Sodexo SA | 6,575 | 455,122 | (33,631) | 1.58 | ||||
STMicroelectronics NV | 18,206 | 551,278 | 7,904 | (0.37) | ||||
Stroeer SE & Co. KGaA | (3,767) | 304,727 | (12,144) | 0.57 | ||||
Suez SA | (29,047) | 471,142 | (11,420) | 0.54 | ||||
Thales SA | 3,962 | 296,754 | (15,243) | 0.72 | ||||
thyssenkrupp AG | (282,368) | 2,290,353 | (605,038) | 28.39 | ||||
Unibail-Rodamco-Westfield REIT | (33,054) | 2,134,627 | (157,853) | 7.41 | ||||
Leonardo SpA | (8,202) | 48,529 | 253 | (0.01) | ||||
Casino Guichard Perrachon SA | 2,271 | 57,206 | (348) | 0.02 | ||||
SES SA | 18,660 | 143,981 | (3,014) | 0.14 | ||||
Industria de Diseno Textil SA | 32,988 | 859,008 | (44,135) | 2.07 | ||||
Banco Santander SA | 64,550 | 163,828 | (14,747) | 0.69 | ||||
46,606,136 | $(2,131,100) | 100.00% |
Description | Maturity Date | Counterparty | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | ||||||
The Fund receives the total return on a portfolio of long equity positions and pays HIBOR plus a specified spread (0.20%), which is denominated in HKD based on the local currencies of the positions within the swap (Monthly). | 56-60 months maturity ranging from 08/08/2025 - 12/08/2025 | GSC | 64,670,690 | $ (94,747) | $ — | $ (94,747) | ||||||
The Fund receives the total return on a portfolio of short equity positions and receives the MUTSCALM minus a specified spread (-0.33%), which is denominated in JPY based on the local currencies of the positions within the swap (Monthly). | 56-60 months maturity ranging from 08/08/2025 - 12/15/2025 | GSC | 725,050,136 | (18,242) | — | (18,242) |
Description | Maturity Date | Counterparty | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | ||||||
The Fund receives the total return on a portfolio of short equity positions and receives the NOWA minus a specified spread (-0.35%), which is denominated in NOK based on the local currencies of the positions within the swap (Monthly). | 56 months maturity 08/08/2025 | GSC | 4,840,334 | $ (56,986) | $ — | $ (56,986) | ||||||
The Fund receives the total return on a portfolio of short equity positions and receives the STIBOR minus a specified spread (-0.35%), which is denominated in SEK based on the local currencies of the positions within the swap (Monthly). | 56-59 months maturity ranging from 08/08/2025 - 11/17/2025 | GSC | 41,114,789 | (44,755) | — | (44,755) | ||||||
Subtotal Depreciation | $(2,549,069) | $ — | $(2,549,069) | |||||||||
Net Total Return Basket Swaps | $(2,248,065) | $ — | $(2,248,065) |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Common Stocks | $ 49,421,003 | $ 49,421,003 | $ — | $ — | |||
Foreign Common Stocks: | |||||||
Austria | 457,752 | — | 457,752 | — | |||
Denmark | 11,573,486 | — | 11,573,486 | — | |||
Finland | 6,123,456 | — | 6,123,456 | — | |||
Germany | 112,411,520 | 4,147,978 | 108,263,542 | — | |||
Indonesia | 799,704 | — | 799,704 | — | |||
Ireland | 39,364,852 | 37,829,463 | 1,535,389 | — | |||
Italy | 15,442,130 | — | 15,442,130 | — | |||
Japan | 238,835,076 | — | 238,835,076 | — | |||
Netherlands | 51,748,067 | 38,020,791 | 13,727,276 | — | |||
Norway | 3,125,598 | — | 3,125,598 | — | |||
South Korea | 11,570,814 | 4,670,175 | 6,900,639 | — | |||
Sweden | 31,307,363 | — | 31,307,363 | — | |||
Switzerland | 161,192,151 | 13,144,768 | 148,047,383 | — | |||
Thailand | 1,846,728 | — | 1,846,728 | — | |||
United Kingdom | 82,983,031 | 80,894,095 | 2,088,936 | — | |||
Other ^^ | 378,400,066 | 378,400,066 | — | —** | |||
Total Foreign Common Stocks | 1,147,181,794 | 557,107,336 | 590,074,458 | — | |||
Foreign Preferred Stocks | 5,398,139 | — | 5,398,139 | — | |||
Money Market Funds | 87,192,656 | 87,192,656 | — | — | |||
Warrants | 14,506 | 14,506 | — | — | |||
Total Assets - Investments in Securities | $1,289,208,098 | $693,735,501 | $595,472,597 | $ — | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $ 5,514,938 | $ — | $ 5,514,938 | $ — | |||
Futures Contracts | 2,474,895 | 2,474,895 | — | — | |||
Swap Agreements | 922,492 | — | 922,492 | — | |||
Total Assets - Other Financial Instruments | $ 8,912,325 | $ 2,474,895 | $ 6,437,430 | $ — | |||
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 | $(6,603,397) | $(6,603,397) | $ — | $ — | |||
Total Liabilities - Investments in Securities | $(6,603,397) | $(6,603,397) | $ — | $ — | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $(3,858,601) | $ — | $(3,858,601) | $ — | |||
Futures Contracts | (36,001) | (36,001) | — | — | |||
Swap Agreements | (3,302,909) | — | (3,302,909) | — | |||
Total Liabilities - Other Financial Instruments | $(7,197,511) | $ (36,001) | $(7,161,510) | $ — |
** | Level 3 security has zero value. |
^^ | Classifications as defined in the Schedule of Investments. |
*** | Other financial instruments are derivative instruments, such as futures contracts, forward 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", "Forward Foreign Currency Contracts outstanding" and "Swap Agreements outstanding" disclosures. |
% | |
Information Technology | 24.2 |
Consumer Discretionary | 18.9 |
Financials | 16.1 |
Communication Services | 8.8 |
Consumer Staples | 7.2 |
Materials | 6.3 |
Money Market Funds | 6.6 |
Industrials | 3.8 |
Health Care | 3.0 |
Energy | 2.0 |
Real Estate | 1.3 |
Utilities | 0.9 |
99.1 |
Average Annual Total Returns as of 12/31/20 | |||||||
Institutional Class* | Investor Class* | Benchmark** | |||||
One Year | 22.15% | 21.60% | 18.25% | ||||
Five Year | 12.50% | 12.16% | 12.79% | ||||
Ten year | N/A | N/A | N/A | ||||
Since Inception | 4.44% | 4.13% | 5.58% | ||||
Inception Date | 10/31/13 | 10/31/13 | |||||
Total Fund Operating Expenses (May 1, 2020 Prospectus)(1) | 1.20% | 1.58% |
(1) | Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights. |
Shares | Value | |||
COMMON STOCKS — 4.6% | ||||
Communication Services — 0.3% | ||||
Autohome, Inc. ADR | 1,273 | $ 126,816 | ||
Bilibili, Inc. ADR* | 3,322 | 284,762 | ||
JOYY, Inc. ADRΔ | 1,059 | 84,699 | ||
Sea, Ltd. ADRΔ* | 3,912 | 778,683 | ||
Tencent Music Entertainment Group ADR* | 45,166 | 868,994 | ||
2,143,954 | ||||
Consumer Discretionary — 3.0% | ||||
Arco Platform, Ltd. Class AΔ* | 27,598 | 979,453 | ||
GSX Techedu, Inc. ADRΔ* | 2,221 | 114,848 | ||
Huazhu Group, Ltd. ADR | 3,029 | 136,396 | ||
MercadoLibre, Inc.* | 5,364 | 8,985,880 | ||
NIO, Inc. ADRΔ* | 30,627 | 1,492,760 | ||
Ozon Holdings PLC ADRΔ* | 23,247 | 962,658 | ||
Pinduoduo, Inc. ADR* | 10,227 | 1,817,031 | ||
Trip.com Group, Ltd. ADR* | 114,327 | 3,856,250 | ||
XPeng, Inc. ADRΔ* | 18,198 | 779,420 | ||
Yum China Holdings, Inc. | 79,894 | 4,561,149 | ||
23,685,845 | ||||
Financials — 0.2% | ||||
Intercorp Financial Services, Inc.Δ | 15,419 | 498,805 | ||
XP, Inc. Class A* | 31,173 | 1,236,633 | ||
1,735,438 | ||||
Health Care — 0.5% | ||||
BeiGene, Ltd. ADRΔ* | 1,264 | 326,605 | ||
Hutchison China MediTech, Ltd. ADR* | 39,966 | 1,279,711 | ||
Zai Lab, Ltd. ADR* | 18,314 | 2,478,617 | ||
4,084,933 | ||||
Industrials — 0.3% | ||||
Copa Holdings SA Class AΔ | 9,637 | 744,265 | ||
ZTO Express Cayman, Inc. ADR | 55,498 | 1,618,322 | ||
2,362,587 | ||||
Information Technology — 0.3% | ||||
GDS Holdings, Ltd. ADRΔ* | 2,167 | 202,918 | ||
Globant SA* | 5,044 | 1,097,625 | ||
Huami Corporation ADRΔ* | 26,082 | 309,072 | ||
Pagseguro Digital, Ltd. Class A* | 9,570 | 544,341 | ||
2,153,956 | ||||
Materials — 0.0% | ||||
Southern Copper Corporation | 2,441 | 158,958 | ||
Real Estate — 0.0% | ||||
KE Holdings, Inc. ADR* | 3,004 | 184,866 | ||
Total Common Stocks (Cost $24,794,802) | 36,510,537 | |||
FOREIGN COMMON STOCKS — 87.3% | ||||
Brazil — 4.3% | ||||
Aeris Industria E Comercio De Equipamentos Para Geracao De Energia SA* | 288,041 | 554,544 | ||
Atacadao SA* | 164,600 | 613,748 | ||
B3 SA - Brasil Bolsa Balcao | 613,600 | 7,346,500 |
Shares | Value | |||
Banco BTG Pactual SA* | 67,500 | $ 1,219,983 | ||
Banco do Brasil SA* | 413,500 | 3,108,562 | ||
BB Seguridade Participacoes SA | 41,200 | 235,791 | ||
Boa Vista Servicos SA | 516,693 | 1,259,175 | ||
BRF SA* | 123,300 | 524,685 | ||
Cia Siderurgica Nacional SA | 224,700 | 1,383,772 | ||
CPFL Energia SA | 47,300 | 297,477 | ||
Fleury SA | 105,800 | 552,098 | ||
Grupo SBF SA* | 153,100 | 874,997 | ||
Iochpe Maxion SA | 92,887 | 278,156 | ||
JBS SA | 184,700 | 841,802 | ||
Locaweb Servicos de Internet SA 144A* | 34,100 | 530,484 | ||
Magazine Luiza SA | 140,300 | 672,762 | ||
Petrobras Distribuidora SA | 323,200 | 1,379,257 | ||
Petroleo Brasileiro SA ADR | 241,638 | 2,713,595 | ||
Qualicorp Consultoria e Corretora de Seguros SA | 75,200 | 509,140 | ||
Raia Drogasil SA | 849,600 | 4,084,093 | ||
Rede D'Or Sao Luiz SA* | 82,671 | 1,087,064 | ||
Vale SA ADRΔ | 199,882 | 3,350,022 | ||
Wiz Solucoes e Corretagem de Seguros SA | 52,174 | 80,919 | ||
33,498,626 | ||||
Canada — 0.2% | ||||
Parex Resources, Inc.* | 83,755 | 1,152,791 | ||
Chile — 0.5% | ||||
Banco de Chile ADRΔ | 7,668 | 156,274 | ||
Banco de Credito e Inversiones SA | 1,916 | 75,211 | ||
Banco Santander Chile ADRΔ | 3,609 | 68,535 | ||
Enel Chile SA ADRΔ | 20,663 | 80,379 | ||
Falabella SA | 957,703 | 3,545,458 | ||
3,925,857 | ||||
China — 19.4% | ||||
Agricultural Bank of China, Ltd. Class A | 252,800 | 122,068 | ||
Alibaba Group Holding, Ltd. ADR* | 157,089 | 36,559,323 | ||
Aluminum Corporation of China, Ltd. Class H* | 296,000 | 104,617 | ||
Anhui Conch Cement Co., Ltd. Class A | 23,400 | 185,751 | ||
Anhui Conch Cement Co., Ltd. Class H | 154,000 | 964,431 | ||
BAIC Motor Corporation, Ltd. Class H 144A | 1,010,500 | 374,093 | ||
Baidu, Inc. ADR* | 7,509 | 1,623,746 | ||
Bank of Beijing Co., Ltd. Class A | 149,800 | 111,494 | ||
Bank of China, Ltd. Class A | 203,500 | 99,515 | ||
Bank of China, Ltd. Class H | 3,550,000 | 1,213,487 | ||
Bank of Communications Co., Ltd. Class A | 110,200 | 75,920 | ||
Bank of Ningbo Co., Ltd. Class A | 27,000 | 146,733 | ||
Bank of Shanghai Co., Ltd. Class A | 85,980 | 103,660 | ||
Baoshan Iron & Steel Co., Ltd. Class A | 107,400 | 98,269 | ||
BOE Technology Group Co., Ltd. Class A | 571,700 | 527,492 | ||
BYD Co., Ltd. Class A | 12,100 | 361,538 |
Shares | Value | |||
BYD Co., Ltd. Class H | 57,000 | $1,494,031 | ||
China CITIC Bank Corporation, Ltd. Class H | 4,802,000 | 2,037,882 | ||
China Everbright Bank Co., Ltd. Class A | 131,700 | 80,808 | ||
China Everbright Bank Co., Ltd. Class H | 546,000 | 207,767 | ||
China Evergrande GroupΔ | 224,785 | 432,031 | ||
China Fortune Land Development Co., Ltd. Class A | 42,078 | 83,666 | ||
China Life Insurance Co., Ltd. Class H | 1,462,000 | 3,224,813 | ||
China Medical System Holdings, Ltd. | 1,092,000 | 1,219,836 | ||
China Mengniu Dairy Co., Ltd.* | 156,000 | 941,741 | ||
China Merchants Bank Co., Ltd. Class A | 37,756 | 255,177 | ||
China Merchants Bank Co., Ltd. Class H | 451,000 | 2,850,583 | ||
China Merchants Securities Co., Ltd. Class A | 30,100 | 108,035 | ||
China Minsheng Banking Corporation, Ltd. Class A | 139,200 | 111,311 | ||
China National Building Material Co., Ltd. Class H | 1,146,000 | 1,377,722 | ||
China Pacific Insurance Group Co., Ltd. Class A | 21,100 | 124,598 | ||
China Petroleum & Chemical Corporation Class A | 172,300 | 106,779 | ||
China Shenhua Energy Co., Ltd. Class H | 369,500 | 695,870 | ||
China State Construction Engineering Corporation, Ltd. Class A | 80,200 | 61,295 | ||
China Tourism Group Duty Free Corporation, Ltd. Class A | 15,212 | 660,730 | ||
China Vanke Co., Ltd. Class H | 78,650 | 271,383 | ||
China Yangtze Power Co., Ltd. Class A | 42,050 | 123,896 | ||
CITIC Securities Co., Ltd. Class A | 48,700 | 220,177 | ||
Contemporary Amperex Technology Co., Ltd. Class A | 41,599 | 2,246,065 | ||
COSCO SHIPPING Holdings Co., Ltd. Class H* | 336,000 | 403,073 | ||
Country Garden Holdings Co., Ltd. | 207,632 | 287,111 | ||
Foshan Haitian Flavouring & Food Co., Ltd. Class A | 16,440 | 506,990 | ||
Gree Electric Appliances, Inc. of Zhuhai Class A | 179,400 | 1,708,795 | ||
Guotai Junan Securities Co., Ltd. Class A | 45,900 | 123,734 | ||
Haier Smart Home Co., Ltd. Class A | 90,400 | 406,066 | ||
Haier Smart Home Co., Ltd. Class HΔ* | 56,000 | 202,981 | ||
Haitong Securities Co., Ltd. Class A | 60,600 | 119,842 | ||
Hangzhou Robam Appliances Co., Ltd. Class A | 123,699 | 775,728 | ||
Huatai Securities Co., Ltd. Class A | 39,636 | 109,774 | ||
Huaxia Bank Co., Ltd. Class A | 113,607 | 109,190 | ||
Industrial & Commercial Bank of China, Ltd. Class A | 169,700 | 130,220 | ||
Industrial Bank Co., Ltd. Class A | 40,800 | 130,942 |
Shares | Value | |||
Inner Mongolia Yili Industrial Group Co., Ltd. Class A | 61,362 | $ 418,683 | ||
JD.com, Inc. ADR* | 23,453 | 2,061,519 | ||
Jiangsu Hengrui Medicine Co., Ltd. Class A | 38,413 | 658,406 | ||
Luxshare Precision Industry Co., Ltd. Class A | 72,613 | 626,655 | ||
Midea Group Co., Ltd. Class A | 136,400 | 2,064,820 | ||
NARI Technology Co., Ltd. Class A | 70,896 | 289,674 | ||
NetEase, Inc. ADR | 44,639 | 4,275,077 | ||
New China Life Insurance Co., Ltd. Class A | 10,500 | 93,603 | ||
New Oriental Education & Technology Group, Inc. ADR* | 9,830 | 1,826,512 | ||
PetroChina Co., Ltd. Class A | 148,700 | 94,898 | ||
PICC Property & Casualty Co., Ltd. Class H | 2,669,803 | 2,021,521 | ||
Ping An Bank Co., Ltd. Class A | 50,900 | 151,381 | ||
Ping An Insurance Group Co. of China, Ltd. Class A | 20,100 | 268,851 | ||
Ping An Insurance Group Co. of China, Ltd. Class H | 911,496 | 11,169,646 | ||
SAIC Motor Corporation, Ltd. Class A | 24,600 | 92,455 | ||
Sany Heavy Industry Co., Ltd. Class A | 597,400 | 3,213,522 | ||
SF Holding Co., Ltd. Class A | 65,799 | 892,754 | ||
Shandong Sinocera Functional Material Co., Ltd. Class A | 242,600 | 1,682,906 | ||
Shanghai International Airport Co., Ltd. Class A | 213,700 | 2,486,378 | ||
Shanghai Pudong Development Bank Co., Ltd. Class A | 60,200 | 89,612 | ||
Shenwan Hongyuan Group Co., Ltd. Class A | 160,100 | 129,993 | ||
Shenzhen Mindray Bio-Medical Electronics Co., Ltd. Class A | 13,100 | 858,178 | ||
Sinopharm Group Co., Ltd. Class H | 125,600 | 305,557 | ||
Sunac China Holdings, Ltd. | 75,859 | 280,345 | ||
Suning.com Co., Ltd. Class A | 70,175 | 83,202 | ||
Sunny Optical Technology Group Co., Ltd. | 98,500 | 2,156,151 | ||
TAL Education Group ADR* | 43,923 | 3,140,934 | ||
Tencent Holdings, Ltd. | 505,230 | 36,756,086 | ||
Vipshop Holdings, Ltd. ADR* | 8,678 | 243,939 | ||
Will Semiconductor, Ltd. Class A | 55,558 | 1,974,435 | ||
WuXi AppTec Co., Ltd. Class H 144A | 74,568 | 1,460,109 | ||
Yifeng Pharmacy Chain Co., Ltd. Class A | 163,153 | 2,262,818 | ||
Yonghui Superstores Co., Ltd. Class A | 127,700 | 140,998 | ||
Zhejiang Sanhua Intelligent Controls Co., Ltd. Class A | 207,830 | 787,810 | ||
Zhuzhou CRRC Times Electric Co., Ltd. Class H | 17,400 | 75,862 | ||
ZTE Corporation Class H | 27,200 | 68,417 | ||
151,826,486 | ||||
Czech Republic — 0.1% | ||||
Moneta Money Bank AS 144A* | 306,251 | 970,282 |
Shares | Value | |||
Greece — 0.2% | ||||
Hellenic Exchanges - Athens Stock Exchange SA | 52,813 | $ 251,302 | ||
JUMBO SA | 32,716 | 567,938 | ||
Sarantis SA | 59,904 | 684,249 | ||
1,503,489 | ||||
Hong Kong — 8.1% | ||||
3SBio, Inc. 144A* | 1,356,500 | 1,237,087 | ||
AIA Group, Ltd. | 909,425 | 11,144,267 | ||
Alibaba Group Holding, Ltd.* | 29,700 | 891,101 | ||
Alibaba Health Information Technology, Ltd.* | 474,000 | 1,400,151 | ||
ANTA Sports Products, Ltd. | 73,000 | 1,157,273 | ||
Blue Moon Group Holdings, Ltd. 144A* | 65,000 | 127,947 | ||
Brilliance China Automotive Holdings, Ltd. | 1,688,000 | 1,537,228 | ||
BYD Electronic International Co., Ltd. | 24,500 | 128,308 | ||
China Education Group Holdings, Ltd. | 37,000 | 71,304 | ||
China Hongqiao Group, Ltd. | 1,506,500 | 1,379,712 | ||
China Mobile, Ltd. | 195,496 | 1,114,605 | ||
China Overseas Land & Investment, Ltd. | 122,112 | 265,569 | ||
China Resources Cement Holdings, Ltd. | 514,398 | 574,617 | ||
China Resources Land, Ltd. | 1,119,987 | 4,623,001 | ||
China Taiping Insurance Holdings Co., Ltd. | 98,200 | 177,084 | ||
CITIC, Ltd. | 3,376,000 | 2,390,759 | ||
CSPC Pharmaceutical Group, Ltd. | 2,160,000 | 2,209,469 | ||
Dali Foods Group Co., Ltd. 144A | 132,500 | 75,715 | ||
ENN Energy Holdings, Ltd. | 155,400 | 2,281,152 | ||
Far East Horizon, Ltd. | 70,000 | 72,145 | ||
FIT Hon Teng, Ltd. 144A* | 761,385 | 264,191 | ||
Hengan International Group Co., Ltd. | 130,000 | 920,612 | ||
Hong Kong Exchanges and Clearing, Ltd. | 111,662 | 6,121,465 | ||
Kingboard Holdings, Ltd. | 55,500 | 234,100 | ||
Kingboard Laminates Holdings, Ltd. | 90,074 | 147,094 | ||
Kunlun Energy Co., Ltd. | 544,000 | 470,148 | ||
Lenovo Group, Ltd. | 82,000 | 77,426 | ||
Longfor Group Holdings, Ltd. 144A | 195,884 | 1,147,138 | ||
Meituan Class B* | 225,821 | 8,581,399 | ||
Minth Group, Ltd. | 190,000 | 1,002,393 | ||
Nexteer Automotive Group, Ltd. | 298,000 | 320,201 | ||
Nine Dragons Paper Holdings, Ltd. | 197,000 | 279,525 | ||
Samsonite International SA 144A* | 309,300 | 548,186 | ||
Shenzhen International Holdings, Ltd. | 63,000 | 101,743 | ||
Shimao Group Holdings, Ltd. | 33,000 | 105,141 | ||
Sino Biopharmaceutical, Ltd. | 1,091,000 | 1,055,473 | ||
Sinotruk Hong Kong, Ltd. | 686,000 | 1,752,065 | ||
Techtronic Industries Co., Ltd. | 65,500 | 934,453 | ||
Topsports International Holdings, Ltd. 144A | 377,000 | 564,106 | ||
Uni-President China Holdings, Ltd. | 449,000 | 456,966 |
Shares | Value | |||
Wuxi Biologics Cayman, Inc. 144A* | 81,721 | $ 1,083,647 | ||
Xiaomi Corporation Class B 144A* | 487,800 | 2,089,012 | ||
Xinyi Solar Holdings, Ltd. | 856,000 | 2,235,938 | ||
ZTO Express Cayman, Inc.* | 4,900 | 142,845 | ||
63,493,761 | ||||
Hungary — 0.3% | ||||
OTP Bank Nyrt PLC* | 54,287 | 2,446,421 | ||
India — 9.4% | ||||
Abbott India, Ltd. | 1,136 | 245,167 | ||
AIA Engineering, Ltd. | 21,323 | 576,167 | ||
Amber Enterprises India, Ltd. | 22,645 | 729,177 | ||
Atul, Ltd. | 5,025 | 442,211 | ||
Avenue Supermarts, Ltd. 144A* | 23,172 | 876,424 | ||
Axis Bank, Ltd.* | 69,571 | 590,760 | ||
Bharti Airtel, Ltd. | 350,698 | 2,446,379 | ||
Coal India, Ltd. | 203,495 | 377,232 | ||
Colgate-Palmolive India, Ltd. | 3,883 | 83,182 | ||
Computer Age Management Services, Ltd. | 20,863 | 515,583 | ||
Crompton Greaves Consumer Electricals, Ltd. | 102,917 | 536,012 | ||
Divi's Laboratories, Ltd. | 18,806 | 988,822 | ||
Dr. Reddy's Laboratories, Ltd. | 21,889 | 1,559,304 | ||
GAIL India, Ltd. | 1,006,238 | 1,697,319 | ||
HCL Technologies, Ltd. | 407,757 | 5,280,040 | ||
Hero MotoCorp, Ltd. | 14,055 | 598,228 | ||
Hindustan Petroleum Corporation, Ltd. | 28,273 | 84,315 | ||
Housing Development Finance Corporation, Ltd. | 279,901 | 9,801,467 | ||
ICICI Bank, Ltd.* | 444,773 | 3,256,931 | ||
ICICI Lombard General Insurance Co., Ltd. 144A* | 39,021 | 812,195 | ||
Info Edge India, Ltd. | 22,781 | 1,483,419 | ||
Infosys, Ltd. | 82,358 | 1,415,474 | ||
Infosys, Ltd. ADR | 215,512 | 3,652,928 | ||
Kotak Mahindra Bank, Ltd.* | 81,076 | 2,214,326 | ||
Larsen & Toubro Infotech, Ltd. 144A | 15,735 | 788,069 | ||
LIC Housing Finance, Ltd. | 194,607 | 962,148 | ||
Mahindra & Mahindra, Ltd. | 607,777 | 5,993,966 | ||
Marico, Ltd. | 1,080,192 | 5,952,569 | ||
Maruti Suzuki India, Ltd. | 10,478 | 1,096,965 | ||
Motherson Sumi Systems, Ltd. | 280,879 | 635,046 | ||
Navin Fluorine International, Ltd. | 32,942 | 1,177,693 | ||
NTPC, Ltd. | 1,039,373 | 1,413,237 | ||
Oil & Natural Gas Corporation, Ltd. | 47,454 | 60,432 | ||
Prestige Estates Projects, Ltd. | 76,462 | 278,462 | ||
REC, Ltd. | 108,893 | 199,552 | ||
Route Mobile, Ltd.* | 38,613 | 580,562 | ||
SBI Life Insurance Co., Ltd. 144A* | 44,673 | 552,853 | ||
Tata Consultancy Services, Ltd. | 181,981 | 7,129,929 | ||
Tata Consumer Products, Ltd. | 92,963 | 750,524 | ||
TeamLease Services, Ltd.* | 15,659 | 562,839 | ||
Tech Mahindra, Ltd. | 96,952 | 1,291,322 | ||
UPL, Ltd. | 259,341 | 1,655,232 |
Shares | Value | |||
Wipro, Ltd. | 437,498 | $ 2,312,705 | ||
73,657,167 | ||||
Indonesia — 1.4% | ||||
PT Adaro Energy Tbk | 6,941,000 | 707,361 | ||
PT Astra International Tbk | 708,200 | 304,399 | ||
PT Bank Central Asia Tbk | 2,304,216 | 5,554,381 | ||
PT Bank Mandiri Persero Tbk | 3,317,900 | 1,497,200 | ||
PT Bank Negara Indonesia Persero Tbk | 757,431 | 333,525 | ||
PT BFI Finance Indonesia Tbk | 11,535,500 | 459,443 | ||
PT Indofood Sukses Makmur Tbk | 965,636 | 470,984 | ||
PT Map Aktif Adiperkasa* | 686,300 | 118,773 | ||
PT Pakuwon Jati Tbk* | 9,942,700 | 360,956 | ||
PT Perusahaan Gas Negara Tbk | 247,900 | 29,241 | ||
PT Semen Indonesia Persero Tbk | 624,000 | 552,343 | ||
PT United Tractors Tbk | 471,360 | 893,367 | ||
11,281,973 | ||||
Kazakhstan — 0.1% | ||||
Kaspi.kz JSC GDR 144A* | 9,852 | 532,501 | ||
Malaysia — 0.7% | ||||
DiGi.Com Bhd | 133,500 | 137,400 | ||
Hartalega Holdings Bhd | 126,700 | 382,383 | ||
Kossan Rubber Industries | 215,800 | 241,417 | ||
Malayan Banking Bhd | 642,216 | 1,350,689 | ||
Malaysia Airports Holdings | 63,100 | 92,866 | ||
MISC Bhd | 257,800 | 440,295 | ||
Petronas Chemicals Group Bhd | 39,100 | 72,222 | ||
Petronas Gas Bhd | 61,100 | 260,957 | ||
RHB Bank Bhd | 388,000 | 525,693 | ||
Sime Darby Bhd | 916,400 | 526,261 | ||
Supermax Corporation Bhd* | 45,488 | 67,963 | ||
Telekom Malaysia Bhd | 69,900 | 94,011 | ||
Top Glove Corporation Bhd | 869,300 | 1,322,589 | ||
5,514,746 | ||||
Mexico — 2.1% | ||||
Alfa SAB de CV Series A | 539,100 | 387,945 | ||
Alpek SAB de CV | 1,166,800 | 1,010,275 | ||
America Movil SAB de CV, Series L | 2,464,100 | 1,794,257 | ||
Arca Continental SAB de CV | 130,721 | 625,112 | ||
Bolsa Mexicana de Valores SAB de CV | 197,600 | 470,975 | ||
Cemex SAB de CV ADR* | 464,668 | 2,402,333 | ||
Controladora Nemak SAB de CV* | 539,100 | 71,521 | ||
Fomento Economico Mexicano SAB de CV ADR | 69,000 | 5,228,130 | ||
Gruma SAB de CV Series B | 26,580 | 316,791 | ||
Grupo Bimbo SAB de CV Series A | 48,500 | 105,167 | ||
Grupo Financiero Banorte SAB de CV Series O* | 69,310 | 381,911 | ||
Grupo Televisa SAB SA ADR* | 65,044 | 535,962 | ||
Kimberly-Clark de Mexico SAB de CV Series A | 338,301 | 577,506 | ||
Orbia Advance Corporation SAB de CV | 34,300 | 80,650 | ||
Wal-Mart de Mexico SAB de CV | 979,400 | 2,751,248 | ||
16,739,783 |
Shares | Value | |||
Netherlands — 0.2% | ||||
Yandex NV Class AΔ* | 25,344 | $ 1,763,436 | ||
Peru — 1.0% | ||||
Alicorp SAA Class C | 142,838 | 282,125 | ||
Credicorp, Ltd. | 41,939 | 6,878,835 | ||
Intercorp Financial Services, Inc. | 7,767 | 240,311 | ||
7,401,271 | ||||
Philippines — 0.5% | ||||
Ayala Land, Inc. | 2,759,100 | 2,351,039 | ||
BDO Unibank, Inc. | 34,770 | 77,414 | ||
International Container Terminal Services, Inc. | 95,860 | 246,552 | ||
JG Summit Holdings, Inc. | 36,256 | 54,134 | ||
Jollibee Foods Corporation | 141,630 | 576,207 | ||
PLDT, Inc. | 4,180 | 116,715 | ||
SM Prime Holdings, Inc. | 381,000 | 305,499 | ||
3,727,560 | ||||
Poland — 1.1% | ||||
Bank Polska Kasa Opieki SA* | 169,853 | 2,789,914 | ||
Cyfrowy Polsat SA | 20,896 | 170,372 | ||
Dino Polska SA 144A* | 15,948 | 1,236,824 | ||
Grupa Lotos SA | 173,541 | 1,926,597 | ||
PGE Polska Grupa Energetyczna SA* | 110,726 | 193,507 | ||
Polski Koncern Naftowy ORLEN SA | 52,935 | 819,507 | ||
Polskie Gornictwo Naftowe i Gazownictwo SA | 390,409 | 582,958 | ||
Powszechna Kasa Oszczednosci Bank Polski SA* | 135,070 | 1,042,659 | ||
8,762,338 | ||||
Qatar — 0.1% | ||||
Industries Qatar QSC | 17,530 | 52,335 | ||
Qatar Islamic Bank SAQ | 6,620 | 31,109 | ||
Qatar National Bank QPSC | 108,220 | 529,954 | ||
613,398 | ||||
Russia — 1.3% | ||||
Gazprom PJSC ADR | 170,565 | 954,141 | ||
LUKOIL PJSC ADR | 36,247 | 2,472,045 | ||
LUKOIL PJSC ADR (OTC Exchange) | 17,815 | 1,217,833 | ||
MMC Norilsk Nickel PJSC ADR | 33,263 | 1,037,806 | ||
Novatek PJSC GDR | 1,991 | 325,329 | ||
PhosAgro PJSC GDR | 6,839 | 93,284 | ||
Polyus PJSC GDR | 10,135 | 1,021,608 | ||
Rosneft Oil Co. PJSC GDR | 16,843 | 94,995 | ||
Sberbank of Russia PJSC ADR | 155,010 | 2,250,745 | ||
Sberbank of Russia PJSC ADR (OTC Exchange) | 38,853 | 563,368 | ||
Severstal PAO GDRΔ | 20,309 | 356,829 | ||
Surgutneftegas PJSC ADR | 19,506 | 90,079 | ||
10,478,062 | ||||
Saudi Arabia — 0.8% | ||||
Advanced Petrochemical Co. | 10,033 | 179,180 | ||
Alinma Bank* | 190,495 | 821,572 | ||
Arab National Bank | 58,548 | 313,683 | ||
Bank Al | 222,747 | 811,047 |
Shares | Value | |||
Bank AlBilad | 17,350 | $ 131,110 | ||
Banque Saudi Fransi | 37,291 | 314,105 | ||
Jarir Marketing Co. | 8,762 | 404,982 | ||
National Commercial Bank | 62,733 | 724,884 | ||
National Industrialization Co.* | 17,906 | 65,293 | ||
Riyad Bank | 92,415 | 497,597 | ||
Samba Financial Group | 39,247 | 319,596 | ||
Saudi Arabian Oil Co. 144A | 61,418 | 572,990 | ||
Saudi Basic Industries Corporation | 25,575 | 691,253 | ||
Saudi Kayan Petrochemical Co.* | 51,214 | 195,213 | ||
6,042,505 | ||||
Singapore — 0.1% | ||||
Nanofilm Technologies International, Ltd.* | 203,706 | 678,198 | ||
Slovenia — 0.1% | ||||
Nova Ljubljanska Banka dd GDR* | 73,533 | 808,484 | ||
South Africa — 5.2% | ||||
Anglo American Platinum, Ltd. | 11,739 | 1,152,851 | ||
AngloGold Ashanti, Ltd. ADR | 77,021 | 1,742,215 | ||
Aspen Pharmacare Holdings, Ltd.* | 114,664 | 978,253 | ||
Bid Corporation, Ltd. | 17,065 | 305,451 | ||
Clicks Group, Ltd. | 111,988 | 1,925,553 | ||
Discovery, Ltd. | 295,834 | 3,091,007 | ||
Gold Fields, Ltd. ADR | 324,026 | 3,003,721 | ||
Harmony Gold Mining Co., Ltd. ADRΔ* | 236,165 | 1,105,252 | ||
JSE, Ltd. | 67,019 | 513,075 | ||
Kumba Iron Ore, Ltd. | 7,633 | 323,505 | ||
MTN GroupΔ | 345,000 | 1,413,103 | ||
MultiChoice Group, Ltd. | 87,815 | 800,763 | ||
Naspers, Ltd. N Shares | 86,414 | 17,755,298 | ||
Northam Platinum, Ltd.* | 11,851 | 168,979 | ||
Old Mutual, Ltd. | 1,755,143 | 1,420,119 | ||
Pick n Pay Stores, Ltd.Δ | 166,426 | 569,212 | ||
Santam, Ltd. | 18,988 | 329,212 | ||
Sasol, Ltd.* | 39,103 | 356,384 | ||
Shoprite Holdings, Ltd. | 51,151 | 487,318 | ||
Sibanye Stillwater, Ltd. | 424,971 | 1,735,166 | ||
SPAR Group, Ltd. (The) | 6,879 | 88,727 | ||
Standard Bank Group, Ltd. | 87,897 | 760,119 | ||
Transaction Capital, Ltd.* | 314,541 | 532,761 | ||
Woolworths Holdings, Ltd. | 44,565 | 119,912 | ||
40,677,956 | ||||
South Korea — 12.5% | ||||
BGF retail Co., Ltd. | 7,158 | 894,178 | ||
Cheil Worldwide, Inc. | 5,434 | 103,241 | ||
CJ Corporation | 1,468 | 124,623 | ||
CJ Logistics Corporation* | 2,335 | 356,168 | ||
DB Insurance Co., Ltd. | 2,539 | 102,324 | ||
E-MART, Inc. | 3,363 | 469,616 | ||
Fila Holdings Corporation | 16,283 | 656,659 | ||
GS Retail Co., Ltd. | 3,363 | 106,783 | ||
Hana Financial Group, Inc. | 4,224 | 134,540 | ||
Hankook Tire & Technology Co., Ltd. | 23,335 | 847,767 | ||
Hanwha Corporation | 14,904 | 389,223 |
Shares | Value | |||
Hyundai Engineering & Construction Co., Ltd. | 6,929 | $ 239,263 | ||
Hyundai Glovis Co., Ltd. | 12,347 | 2,095,063 | ||
Hyundai Marine & Fire Insurance Co., Ltd. | 5,675 | 118,988 | ||
Hyundai Mobis Co., Ltd.* | 4,490 | 1,056,794 | ||
KB Financial Group, Inc. | 2,893 | 114,901 | ||
Kia Motors Corporation | 120,664 | 6,952,271 | ||
KMW Co., Ltd.* | 1,225 | 91,074 | ||
Korea Investment Holdings Co., Ltd. | 8,325 | 606,629 | ||
Korea Zinc Co., Ltd. | 3,832 | 1,419,063 | ||
Kumho Petrochemical Co., Ltd. | 3,217 | 430,407 | ||
LG Electronic, Inc. | 35,521 | 4,423,135 | ||
LG Household & Health Care, Ltd. | 1,127 | 1,682,076 | ||
LG Innotek Co., Ltd. | 9,133 | 1,538,367 | ||
LG Uplus Corporation | 13,101 | 141,862 | ||
Meritz Securities Co., Ltd. | 84,414 | 285,402 | ||
NAVER Corporation | 5,833 | 1,572,398 | ||
NCSoft Corporation | 7,692 | 6,603,976 | ||
NH Investment & Securities Co., Ltd. | 50,488 | 526,138 | ||
Orion Corporation | 8,355 | 954,163 | ||
Pearl Abyss Corporation* | 5,656 | 1,356,231 | ||
POSCO | 13,219 | 3,303,157 | ||
Posco International Corporation | 35,136 | 471,365 | ||
Samsung Card Co., Ltd. | 7,906 | 236,604 | ||
Samsung Electro-Mechanics Co., Ltd. | 19,578 | 3,215,164 | ||
Samsung Electronics Co., Ltd. | 387,994 | 28,973,654 | ||
Samsung Fire & Marine Insurance Co., Ltd. | 22,215 | 3,837,589 | ||
Samsung SDS Co., Ltd. | 9,096 | 1,497,144 | ||
Samsung Securities Co., Ltd. | 2,582 | 96,333 | ||
SK Hynix, Inc. | 178,931 | 19,544,366 | ||
Woori Financial Group, Inc. | 40,484 | 363,229 | ||
97,931,928 | ||||
Taiwan — 13.2% | ||||
Accton Technology Corporation | 206,000 | 2,316,749 | ||
Acer, Inc. | 549,000 | 462,092 | ||
Advantech Co., Ltd. | 99,087 | 1,234,268 | ||
Airtac International Group | 33,483 | 1,072,486 | ||
ASE Technology Holding Co., Ltd. | 93,000 | 269,090 | ||
Asustek Computer, Inc. | 18,000 | 160,474 | ||
Catcher Technology Co., Ltd. | 91,000 | 667,165 | ||
Cathay Financial Holding Co., Ltd. | 45,000 | 67,665 | ||
Chailease Holding Co., Ltd. | 163,360 | 976,741 | ||
China Life Insurance Co., Ltd. | 686,083 | 542,069 | ||
Chroma ATE, Inc. | 200,000 | 1,195,815 | ||
Foxconn Technology Co., Ltd. | 92,000 | 174,845 | ||
Globalwafers Co., Ltd. | 124,000 | 3,124,493 | ||
Hon Hai Precision Industry Co., Ltd. | 1,222,000 | 4,001,139 | ||
Largan Precision Co., Ltd. | 53,500 | 6,083,440 | ||
Lite-On Technology Corporation | 316,000 | 560,068 | ||
MediaTek, Inc. | 386,396 | 10,272,539 | ||
momo.com, Inc. | 17,000 | 385,401 | ||
Nanya Technology Corporation | 301,000 | 929,846 | ||
Nien Made Enterprise Co., Ltd. | 37,000 | 429,283 | ||
Pegatron Corporation | 310,000 | 742,508 |
Shares | Value | |||
Phison Electronics Corporation | 33,000 | $ 390,508 | ||
Powertech Technology, Inc. | 378,763 | 1,279,259 | ||
President Chain Store Corporation | 558,000 | 5,292,441 | ||
Quanta Computer, Inc. | 126,000 | 362,780 | ||
Realtek Semiconductor Corporation | 87,000 | 1,209,107 | ||
Silergy Corporation | 40,000 | 3,430,849 | ||
Taiwan Semiconductor Manufacturing Co., Ltd. | 1,563,978 | 29,500,617 | ||
Taiwan Semiconductor Manufacturing Co., Ltd. ADR | 174,371 | 19,013,414 | ||
Taiwan Union Technology Corporation | 66,000 | 284,220 | ||
Tong Hsing Electronic Industries, Ltd. | 76,720 | 483,288 | ||
United Microelectronics Corporation | 2,062,000 | 3,460,150 | ||
Win Semiconductors Corporation | 80,000 | 985,123 | ||
Wistron Corporation | 1,439,000 | 1,587,622 | ||
102,947,554 | ||||
Thailand — 1.3% | ||||
Advanced Info Service PCL NVDR | 28,700 | 168,692 | ||
Airports of Thailand PCL | 1,138,400 | 2,365,334 | ||
Bangkok Bank PCL NVDRΔ | 227,470 | 899,441 | ||
Bangkok Dusit Medical Services PCL NVDR | 144,200 | 99,874 | ||
Central Pattana PCL NVDR | 61,100 | 97,283 | ||
Central Retail Corporation PCL* | 1,039,900 | 1,067,321 | ||
Charoen Pokphand Foods PCL NVDR | 294,100 | 262,578 | ||
Indorama Ventures PCL NVDR | 1,282,000 | 1,582,862 | ||
Kasikornbank PCL NVDR | 25,900 | 97,658 | ||
PTT Exploration & Production PCL | 268,400 | 880,184 | ||
Thai Union Group PCL NVDR | 3,148,500 | 1,430,328 | ||
Total Access Communication PCL NVDR | 803,700 | 891,253 | ||
9,842,808 | ||||
Turkey — 0.5% | ||||
Enerjisa Enerji AS 144A | 599,473 | 1,008,934 | ||
Haci Omer Sabanci Holding AS | 406,178 | 626,234 | ||
Mavi Giyim Sanayi Ve Ticaret AS Class B 144A* | 51,535 | 361,917 | ||
Sok Marketler Ticaret AS* | 186,727 | 317,032 | ||
Turk Telekomunikasyon AS | 1,189,803 | 1,367,001 | ||
3,681,118 | ||||
United Kingdom — 2.6% | ||||
Anglo American PLC | 139,051 | 4,610,241 | ||
Antofagasta PLC | 342,097 | 6,738,913 |
Shares | Value | |||
Network International Holdings PLC 144A* | 414,493 | $ 1,851,232 | ||
TCS Group Holding PLC GDR | 16,314 | 536,731 | ||
Unilever PLC | 108,618 | 6,523,662 | ||
20,260,779 | ||||
Total Foreign Common Stocks (Cost $530,014,638) | 682,161,278 | |||
FOREIGN PREFERRED STOCKS — 0.6% | ||||
Brazil — 0.6% | ||||
Banco Bradesco SA | ||||
2.57%◊ | 250,192 | 1,315,914 | ||
Banco Pan SA | ||||
0.03%◊ | 312,439 | 572,788 | ||
Cia Energetica de Minas Gerais | ||||
1.66%◊ | 50,400 | 142,108 | ||
Gerdau SA | ||||
1.71%◊ | 135,000 | 636,989 | ||
Lojas Americanas SA | ||||
0.00%* | 323,200 | 1,635,969 | ||
Petroleo Brasileiro SA | ||||
0.00%õ◊ | 74,500 | 404,450 | ||
4,708,218 | ||||
Total Foreign Preferred Stocks (Cost $4,753,882) | 4,708,218 | |||
MONEY MARKET FUNDS — 6.6% | ||||
GuideStone Money Market Fund, 0.00% (Institutional Class)Ø∞ | 21,824,448 | 21,824,448 | ||
Northern Institutional Liquid Assets Portfolio (Shares), 0.08%ا | 3,334,269 | 3,334,269 | ||
Northern Institutional U.S. Government Portfolio (Shares), 0.00%Ø | 26,353,464 | 26,353,464 | ||
Total Money Market Funds (Cost $51,512,181) | 51,512,181 | |||
TOTAL INVESTMENTS — 99.1% (Cost $611,075,503) | 774,892,214 | |||
Other Assets in Excess of Liabilities — 0.9% | 6,716,426 | |||
NET ASSETS — 100.0% | $781,608,640 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
FTSE Taiwan Index | 01/2021 | 164 | $ 8,368,920 | $118,649 | ||||
HSCEI Index | 01/2021 | (38) | (2,622,642) | (65,444) | ||||
MSCI Singapore Index | 01/2021 | (273) | (6,678,337) | 29,005 | ||||
SGX Nifty 50 Index | 01/2021 | 74 | 2,074,368 | 7,694 | ||||
FTSE KLCI Index | 01/2021 | 2 | 40,522 | (412) | ||||
KOSPI2 Index | 03/2021 | 165 | 14,777,168 | 944,377 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
FTSE/JSE Top 40 Index | 03/2021 | (83) | $ (3,085,205) | $ 33,514 | ||||
Mexican Bolsa Index | 03/2021 | 27 | 601,885 | 3,130 | ||||
MSCI Emerging Markets E-Mini | 03/2021 | 840 | 54,104,400 | 1,333,096 | ||||
SET50 Index | 03/2021 | (699) | (4,225,264) | (1,066) | ||||
Total Futures Contracts outstanding at December 31, 2020 | $63,355,815 | $2,402,543 |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
03/17/21 | Chilean Pesos | 12,758,965,000 | U.S. Dollars | 17,118,365 | CITI | $ 841,013 | ||||||
03/17/21 | South Korean Won | 33,267,582,000 | U.S. Dollars | 30,015,268 | CITI | 557,773 | ||||||
03/17/21 | Indian Rupees | 2,168,909,000 | U.S. Dollars | 29,116,451 | CITI | 344,905 | ||||||
03/17/21 | South African Rand | 96,937,000 | U.S. Dollars | 6,241,657 | CITI | 290,969 | ||||||
03/17/21 | Brazilian Reals | 48,000,000 | U.S. Dollars | 8,937,579 | CITI | 287,398 | ||||||
03/17/21 | Chinese Offshore Yuan | 196,433,000 | U.S. Dollars | 29,852,304 | CITI | 201,677 | ||||||
03/17/21 | U.S. Dollars | 10,327,025 | Brazilian Reals | 52,922,000 | CITI | 156,103 | ||||||
03/17/21 | Taiwan Dollars | 363,771,000 | U.S. Dollars | 12,978,395 | CITI | 139,372 | ||||||
03/17/21 | Israeli Shekels | 23,889,000 | U.S. Dollars | 7,306,502 | CITI | 137,603 | ||||||
03/17/21 | Russian Rubles | 325,267,000 | U.S. Dollars | 4,227,969 | CITI | 130,299 | ||||||
03/17/21 | Colombian Pesos | 29,300,000,000 | U.S. Dollars | 8,437,802 | CITI | 124,010 | ||||||
03/17/21 | Mexican Pesos | 145,964,000 | U.S. Dollars | 7,171,217 | CITI | 100,676 | ||||||
03/17/21 | U.S. Dollars | 5,445,333 | Polish Zloty | 20,073,251 | CITI | 70,127 | ||||||
03/17/21 | Thai Baht | 152,942,000 | U.S. Dollars | 5,064,320 | CITI | 41,192 | ||||||
03/17/21 | Indonesian Rupiahs | 6,200,000,000 | U.S. Dollars | 434,972 | CITI | 8,099 | ||||||
03/17/21 | U.S. Dollars | 479,002 | Hungarian Forint | 140,000,000 | CITI | 7,437 | ||||||
03/17/21 | Euro | 253,000 | U.S. Dollars | 302,630 | CITI | 6,984 | ||||||
03/17/21 | U.S. Dollars | 1,596,777 | South Korean Won | 1,732,001,000 | CITI | 5,061 | ||||||
03/17/21 | U.S. Dollars | 1,209,416 | Taiwan Dollars | 33,403,000 | CITI | 4,887 | ||||||
03/17/21 | U.S. Dollars | 2,240,688 | Czech Republic Koruna | 48,000,000 | CITI | 4,886 | ||||||
03/17/21 | U.S. Dollars | 1,135,181 | Mexican Pesos | 22,719,000 | CITI | 3,325 | ||||||
03/17/21 | U.S. Dollars | 98,806 | Russian Rubles | 7,277,000 | CITI | 1,301 | ||||||
03/17/21 | Hong Kong Dollars | 193,766,000 | U.S. Dollars | 24,997,270 | CITI | 1,043 | ||||||
03/17/21 | Philippine Pesos | 32,184,000 | U.S. Dollars | 666,745 | CITI | 867 | ||||||
03/17/21 | U.S. Dollars | 4,868,033 | Hong Kong Dollars | 37,727,000 | CITI | 764 | ||||||
03/17/21 | U.S. Dollars | 1,070,262 | South African Rand | 15,873,000 | CITI | 574 | ||||||
03/17/21 | U.S. Dollars | 55,672 | Peruvian Nuevo Soles | 200,000 | CITI | 416 | ||||||
03/17/21 | Saudi Riyals | 5,437,000 | U.S. Dollars | 1,449,350 | CITI | 285 | ||||||
03/17/21 | U.S. Dollars | 63,048 | Thai Baht | 1,884,000 | CITI | 157 | ||||||
03/17/21 | U.S. Dollars | 6,236 | Israeli Shekels | 20,000 | CITI | 4 | ||||||
Subtotal Appreciation | $ 3,469,207 | |||||||||||
03/17/21 | Chinese Offshore Yuan | 92,000 | U.S. Dollars | 14,096 | CITI | $ (20) | ||||||
03/17/21 | Euro | 10,000 | U.S. Dollars | 12,275 | CITI | (37) | ||||||
03/17/21 | U.S. Dollars | 634,422 | Saudi Riyal | 2,380,000 | CITI | (143) | ||||||
03/17/21 | Indian Rupees | 25,000,000 | U.S. Dollars | 339,745 | CITI | (157) | ||||||
03/17/21 | Brazilian Reals | 46,000 | U.S. Dollars | 9,002 | CITI | (162) | ||||||
03/17/21 | Hong Kong Dollars | 29,446,000 | U.S. Dollars | 3,799,106 | CITI | (192) | ||||||
03/17/21 | U.S. Dollars | 48,593 | Euro | 40,000 | CITI | (358) | ||||||
03/17/21 | Israeli Shekels | 2,400,000 | U.S. Dollars | 748,496 | CITI | (627) | ||||||
03/17/21 | U.S. Dollars | 8,929,223 | Hong Kong Dollars | 69,217,000 | CITI | (662) | ||||||
03/17/21 | U.S. Dollars | 154,486 | Polish Zloty | 580,749 | CITI | (1,027) |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
03/17/21 | Thai Baht | 4,925,000 | U.S. Dollars | 165,441 | CITI | $ (1,035) | ||||||
03/17/21 | Peruvian Nuevo Soles | 929,874 | U.S. Dollars | 259,463 | CITI | (2,558) | ||||||
03/17/21 | Polish Zloty | 890,000 | U.S. Dollars | 245,838 | CITI | (7,514) | ||||||
03/17/21 | U.S. Dollars | 479,213 | Russian Rubles | 36,489,000 | CITI | (9,705) | ||||||
03/17/21 | South African Rand | 56,300,000 | U.S. Dollars | 3,806,130 | CITI | (12,049) | ||||||
03/17/21 | U.S. Dollars | 2,431,809 | Philippine Pesos | 117,836,000 | CITI | (12,534) | ||||||
03/17/21 | South Korean Won | 5,107,626,000 | U.S. Dollars | 4,710,434 | CITI | (16,505) | ||||||
03/17/21 | Russian Rubles | 213,000,000 | U.S. Dollars | 2,875,915 | CITI | (21,918) | ||||||
03/17/21 | U.S. Dollars | 2,363,231 | Taiwan Dollars | 66,224,000 | CITI | (24,840) | ||||||
03/17/21 | U.S. Dollars | 2,479,063 | Thai Baht | 75,115,000 | CITI | (28,427) | ||||||
03/17/21 | U.S. Dollars | 4,463,060 | Mexican Pesos | 90,218,000 | CITI | (31,581) | ||||||
03/17/21 | Taiwan Dollars | 149,394,000 | U.S. Dollars | 5,419,437 | CITI | (32,214) | ||||||
03/17/21 | U.S. Dollars | 3,564,284 | Indian Rupees | 265,488,000 | CITI | (41,970) | ||||||
03/17/21 | U.S. Dollars | 6,360,075 | South Korean Won | 6,982,584,000 | CITI | (56,948) | ||||||
10/10/23 | U.S. Dollars | 1,196,266 | Chinese Offshore Yuan | 8,649,000 | SC | (57,983) | ||||||
03/17/21 | U.S. Dollars | 4,917,772 | Brazilian Reals | 26,022,000 | CITI | (83,319) | ||||||
03/17/21 | U.S. Dollars | 12,123,299 | Chinese Offshore Yuan | 80,020,415 | CITI | (119,715) | ||||||
03/17/21 | U.S. Dollars | 5,770,823 | Hungarian Forint | 1,750,344,000 | CITI | (124,889) | ||||||
03/17/21 | U.S. Dollars | 3,971,814 | South African Rand | 61,430,000 | CITI | (167,980) | ||||||
03/17/21 | U.S. Dollars | 8,155,715 | Indonesian Rupiahs | 116,581,222,212 | CITI | (175,528) | ||||||
07/16/25 | U.S. Dollars | 3,253,457 | Chinese Offshore Yuan | 24,819,000 | MSCS | (225,722) | ||||||
03/17/21 | U.S. Dollars | 7,421,874 | Israeli Shekels | 24,648,000 | CITI | (258,745) | ||||||
03/17/21 | U.S. Dollars | 25,235,438 | Singapore Dollars | 33,770,000 | CITI | (319,011) | ||||||
03/17/21 | U.S. Dollars | 15,731,611 | Czech Republic Koruna | 346,500,000 | CITI | (408,087) | ||||||
03/17/21 | U.S. Dollars | 8,060,792 | Chilean Pesos | 6,080,000,000 | CITI | (497,349) | ||||||
03/17/21 | U.S. Dollars | 12,317,243 | Colombian Pesos | 44,600,000,000 | CITI | (715,412) | ||||||
Subtotal Depreciation | $(3,456,923) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at December 31, 2020 | $ 12,284 |
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) | ||||||||
Total Return Swaps | ||||||||||||||||
Decrease in total return of TAIEX (At Termination) | Increase in total return of TAIEX (At Termination) | 1/20/2021 | GSC | TWD | 314,109,200 | $ 475,621 | $ — | $ 475,621 | ||||||||
Decrease in total return of TAIEX (At Termination) | Increase in total return of TAIEX (At Termination) | 1/20/2021 | CITI | TWD | 158,522,400 | 231,108 | — | 231,108 | ||||||||
Decrease in total return of Bovespa Index (At Termination) | Increase in total return of Bovespa Index (At Termination) | 2/17/2021 | GSC | BRL | 5,365,350 | 29,033 | — | 29,033 | ||||||||
Decrease in total return of BIST 30 Index (At Termination) | Increase in total return of BIST 30 Index (At Termination) | 2/26/2021 | GSC | TRY | 13,426,462 | 62,817 | — | 62,817 | ||||||||
Decrease in total return of KOSPI 200 Index (At Termination) | Increase in total return of KOSPI 200 Index (At Termination) | 3/11/2021 | GSC | KRW | 5,642,675,000 | 357,404 | — | 357,404 | ||||||||
Decrease in total return of KOSPI 200 Index (At Termination) | Increase in total return of KOSPI 200 Index (At Termination) | 3/11/2021 | CITI | KRW | 4,280,650,000 | 271,643 | — | 271,643 | ||||||||
Financing Index: 1-Month LIBOR - 0.05% | MSCI Daily Total Return Net Emerging Markets USD Index (Monthly) | 3/17/2021 | GSC | USD | 377,333 | 20,059 | — | 20,059 | ||||||||
Financing Index: 1-Month WIBOR + 0.27% | MSCI Poland Net Return PLN Index (Monthly) | 3/17/2021 | GSC | PLN | 1,544,849 | 3,011 | — | 3,011 |
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) | ||||||||
Financing Index: 28-Day Mexico Interbank TIIE + 0.20% | MSCI Mexico Net MXN Index (Monthly) | 3/17/2021 | GSC | MXN | 16,863,726 | $ 15,022 | $ — | $ 15,022 | ||||||||
Financing Index: Brazil Cetip Di Interbank Deposit Rate - 0.45% | MSCI Brazil Net Return BRL Index (Monthly) | 3/17/2021 | GSC | BRL | 9,029,933 | 84,974 | — | 84,974 | ||||||||
MSCI Emerging Markets Thailand Net Total Return USD Index (Monthly) | Financing Index: 1-Month ICE LIBOR USD + 0.05% | 3/17/2021 | GSC | USD | 3,689,719 | 62,788 | — | 62,788 | ||||||||
Decrease in total return of WIG20 Index (At Termination) | Increase in total return of WIG20 Index (At Termination) | 3/19/2021 | GSC | PLN | 4,103,520 | 7,505 | — | 7,505 | ||||||||
Subtotal Appreciation | $1,620,985 | $ — | $1,620,985 | |||||||||||||
Increase in total return of Tel Aviv 35 Index (At Termination) | Decrease in total return of Tel Aviv 35 Index (At Termination) | 1/29/2021 | GSC | ILS | 6,895,630 | $ (85,395) | $ — | $ (85,395) | ||||||||
Financing Index: 1-Month WIBOR + 0.27% | MSCI Poland Net Return PLN Index (Monthly) | 3/17/2021 | GSC | PLN | 469,738 | (227) | — | (227) | ||||||||
MSCI Daily TR Net Israel Index (Monthly) | Financing Index: 1-Month ICE LIBOR USD + 0.14% | 3/17/2021 | GSC | USD | 1,310,310 | (87,505) | — | (87,505) | ||||||||
MSCI Singapore Net Return SGD Index (Monthly) | Financing Index: 1-Month SORF + 0.15% | 3/17/2021 | GSC | SGD | 5,171,165 | (35,830) | — | (35,830) | ||||||||
MSCI South Africa Net Return ZAR Index (Monthly) | 1-Month SAFE South Africa JIBAR + 0.38% | 3/17/2021 | GSC | ZAR | 50,412,350 | (2,734) | — | (2,734) | ||||||||
Subtotal Depreciation | $ (211,691) | $ — | $ (211,691) | |||||||||||||
Net Total Return Swaps outstanding at December 31, 2020 | $1,409,294 | $ — | $1,409,294 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Common Stocks | $ 36,510,537 | $ 36,510,537 | $ — | $ — | |||
Foreign Common Stocks: | |||||||
Brazil | 33,498,626 | 7,705,225 | 25,793,401 | — | |||
Chile | 3,925,857 | 380,399 | 3,545,458 | — | |||
Czech Republic | 970,282 | — | 970,282 | — | |||
Hungary | 2,446,421 | — | 2,446,421 | — | |||
Indonesia | 11,281,973 | — | 11,281,973 | — | |||
Philippines | 3,727,560 | — | 3,727,560 | — | |||
Poland | 8,762,338 | — | 8,762,338 | — | |||
South Korea | 97,931,928 | — | 97,931,928 | — | |||
Thailand | 9,842,808 | — | 9,842,808 | — | |||
Other ^^ | 509,773,485 | 509,773,485 | — | — | |||
Total Foreign Common Stocks | 682,161,278 | 517,859,109 | 164,302,169 | — | |||
Foreign Preferred Stocks | 4,708,218 | — | 4,708,218 | — | |||
Money Market Funds | 51,512,181 | 51,512,181 | — | — | |||
Total Assets - Investments in Securities | $774,892,214 | $605,881,827 | $169,010,387 | $ — | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $ 3,469,207 | $ — | $ 3,469,207 | $ — | |||
Futures Contracts | 2,469,465 | 2,469,465 | — | — | |||
Swap Agreements | 1,620,985 | — | 1,620,985 | — | |||
Total Assets - Other Financial Instruments | $ 7,559,657 | $ 2,469,465 | $ 5,090,192 | $ — | |||
Liabilities: | |||||||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $ (3,456,923) | $ — | $ (3,456,923) | $ — | |||
Futures Contracts | (66,922) | (66,922) | — | — | |||
Swap Agreements | (211,691) | — | (211,691) | — | |||
Total Liabilities - Other Financial Instruments | $ (3,735,536) | $ (66,922) | $ (3,668,614) | $ — |
^^ | Classifications as defined in the Schedule of Investments. |
*** | Other financial instruments are derivative instruments, such as futures contracts, forward 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", "Forward Foreign Currency Contracts outstanding" and "Swap Agreements outstanding" disclosures. |
STATEMENTS OF ASSETS AND LIABILITIES | December 31, 2020 |
Defensive Market Strategies® Fund | Equity Index Fund | ||
Assets | |||
Investments in securities of unaffiliated issuers, at value | $1,256,485,573 | $2,443,852,645 | |
Investments in securities of affiliated issuers, at value | 85,865,832 | 40,898,364 | |
Total investments, at value(1), (2) | 1,342,351,405 | 2,484,751,009 | |
Cash collateral for derivatives | 243,000 | — | |
Deposits with broker for futures contracts | — | 2,544,000 | |
Foreign currency(3) | — | — | |
Receivables: | |||
Dividends and reclaims | 947,318 | 1,466,292 | |
Interest | 1,327,195 | — | |
Securities lending | 2,780 | 21,988 | |
Investment securities sold | 1,515,169 | — | |
Fund shares sold | 571,158 | 2,724,385 | |
Variation margin on futures contracts | — | 274,290 | |
Unrealized appreciation on foreign currency exchange contracts | 41,650 | — | |
Unrealized appreciation on swap agreements | — | — | |
Prepaid expenses and other assets | 9,233 | 14,395 | |
Total Assets | 1,347,008,908 | 2,491,796,359 | |
Liabilities | |||
Cash Overdraft | — | — | |
Securities sold short, at value(4) | — | — | |
Options written, at value(5) | 780,447 | — | |
Unrealized depreciation on foreign currency exchange contracts | 15,653 | — | |
Unrealized depreciation on swap agreements | — | — | |
Collateral held for securities on loan, at value | 7,790,329 | 1,860,417 | |
Collateral from counterparty | — | — | |
Payables: | |||
Investment securities purchased | 6,898 | — | |
Dividends on short sales | — | — | |
Fund shares redeemed | 256,144 | 125,616 | |
Variation margin on futures contracts | — | — | |
Foreign capital gains taxes | — | — | |
Accrued expenses: | |||
Investment advisory fees | 686,827 | 180,208 | |
Shareholder servicing fees | 85,350 | 147,638 | |
Trustee fees | 195 | 339 | |
Other expenses | 347,850 | 458,367 | |
Total Liabilities | 9,969,693 | 2,772,585 | |
Net Assets | $1,337,039,215 | $2,489,023,774 | |
Net Assets Consist of: | |||
Paid-in-capital | $1,083,660,039 | $1,510,371,684 | |
Distributable earnings (loss) | 253,379,176 | 978,652,090 | |
Net Assets | $1,337,039,215 | $2,489,023,774 | |
Net Asset Value: | |||
$0.001 par value, unlimited shares authorized | |||
Net assets applicable to the Institutional Class | $ 927,539,067 | $1,772,396,949 | |
Institutional shares outstanding | 65,580,165 | 43,409,580 | |
Net asset value, offering and redemption price per Institutional share | $ 14.14 | $ 40.83 | |
Net assets applicable to the Investor Class | $ 409,500,148 | $ 716,626,825 | |
Investor shares outstanding | 28,944,749 | 17,542,789 | |
Net asset value, offering and redemption price per Investor share | $ 14.15 | $ 40.85 | |
(1)Investments in securities of unaffiliated issuers, at cost | $1,025,261,921 | $1,489,490,185 | |
Investments in securities of affiliated issuers, at cost | 85,865,832 | 40,898,364 | |
Total investments, at cost | $1,111,127,753 | $1,530,388,549 | |
(2)Includes securities loaned of: | $ 31,416,444 | $ 98,074,886 | |
(3)Foreign currency, at cost | $ — | $ — | |
(4)Proceeds from securities sold short | $ — | $ — | |
(5)Premiums received on options written | $ 1,371,271 | $ — | |
(6)Net of $(1,008,728) and $(2,017,571) accrued foreign capital gains taxed on appreciated securities for International Equity Fund and Emerging Markets Equity Fund, respectively. |
Value Equity Fund | Growth Equity Fund | Small Cap Equity Fund | International Equity Index Fund | International Equity Fund | Emerging Markets Equity Fund | |||||
$1,206,961,239 | $1,963,985,184 | $690,842,746 | $761,867,039 | $1,202,780,384 | $753,067,766 | |||||
36,795,466 | 62,159,382 | 25,630,941 | 21,415,461 | 86,427,714 | 21,824,448 | |||||
1,243,756,705 | 2,026,144,566 | 716,473,687 | 783,282,500 | 1,289,208,098 | 774,892,214 | |||||
— | — | — | — | 16,783,524 | 350,000 | |||||
1,617,008 | 4,078,000 | 1,764,000 | 2,110,565 | 15,378,640 | 7,543,479 | |||||
— | — | — | 2,377,161 | 7,493,128 | 1,172,283 | |||||
1,297,340 | 544,963 | 484,809 | 2,098,656 | 5,954,402 | 1,408,127 | |||||
— | — | — | — | — | 261,836 | |||||
7,674 | 17,790 | 28,620 | 5,676 | 5,458 | 1,959 | |||||
1,045,478 | 63,453 | 662,775 | 343,034 | 632,731 | 1,667,519 | |||||
38,742 | 429,073 | 454,015 | 21,529 | 758,976 | 762,237 | |||||
172,200 | 419,430 | — | — | 23,415 | 2,519 | |||||
45,794 | — | — | — | 5,514,938 | 3,469,207 | |||||
— | — | — | — | 922,492 | 1,620,985 | |||||
8,116 | 15,995 | 9,234 | 8,647 | 8,502 | 25,803 | |||||
1,247,989,057 | 2,031,713,270 | 719,877,140 | 790,247,768 | 1,342,684,304 | 793,178,168 | |||||
— | — | — | — | 6,056,763 | — | |||||
— | — | — | — | 6,603,397 | — | |||||
— | — | — | — | — | — | |||||
281,385 | — | — | — | 3,858,601 | 3,456,923 | |||||
— | — | — | — | 3,302,909 | 211,691 | |||||
7,018,157 | 5,775,025 | 21,315,854 | 10,375,503 | 433,814 | 3,334,269 | |||||
— | — | — | — | 1,130,000 | 939,871 | |||||
1,140,153 | — | 911,510 | — | 91,071 | 458,710 | |||||
— | — | — | — | 121,535 | — | |||||
71,019 | 1,887,047 | 45,571 | 6,318 | 51,129 | 45,085 | |||||
— | — | 23,035 | 217,580 | — | — | |||||
— | — | — | — | 1,008,727 | 2,017,571 | |||||
612,229 | 1,084,645 | 506,159 | 66,204 | 830,960 | 533,048 | |||||
71,636 | 197,524 | 55,262 | — | 71,644 | 19,086 | |||||
194 | 302 | 199 | 9 | 187 | 101 | |||||
257,111 | 356,652 | 204,337 | 252,851 | 651,556 | 553,173 | |||||
9,451,884 | 9,301,195 | 23,061,927 | 10,918,465 | 24,212,293 | 11,569,528 | |||||
$1,238,537,173 | $2,022,412,075 | $696,815,213 | $779,329,303 | $1,318,472,011 | $781,608,640 | |||||
$1,052,605,327 | $1,168,989,325 | $551,004,788 | $693,031,758 | $1,151,297,558 | $612,220,713 | |||||
185,931,846 | 853,422,750 | 145,810,425 | 86,297,545 | 167,174,453 (6) | 169,387,927 (6) | |||||
$1,238,537,173 | $2,022,412,075 | $696,815,213 | $779,329,303 | $1,318,472,011 | $781,608,640 | |||||
$ 896,522,882 | $1,064,559,060 | $428,450,965 | $779,329,303 | $ 973,351,540 | $685,246,165 | |||||
46,333,279 | 34,755,161 | 22,952,637 | 67,612,489 | 66,222,627 | 55,582,268 | |||||
$ 19.35 | $ 30.63 | $ 18.67 | $ 11.53 | $ 14.70 | $ 12.33 | |||||
$ 342,014,291 | $ 957,853,015 | $268,364,248 | N/A | $ 345,120,471 | $ 96,362,475 | |||||
17,684,771 | 31,619,130 | 14,478,591 | N/A | 23,497,122 | 7,839,114 | |||||
$ 19.34 | $ 30.29 | $ 18.54 | N/A | $ 14.69 | $ 12.29 | |||||
$1,003,033,594 | $1,145,298,242 | $539,912,087 | $667,082,424 | $ 995,313,292 | $589,251,055 | |||||
36,795,466 | 62,159,382 | 25,630,941 | 21,415,461 | 86,427,714 | 21,824,448 | |||||
$1,039,829,060 | $1,207,457,624 | $565,543,028 | $688,497,885 | $1,081,741,006 | $611,075,503 | |||||
$ 40,320,832 | $ 156,571,654 | $ 74,998,616 | $ 25,598,542 | $ 7,748,164 | $ 13,109,002 | |||||
$ — | $ — | $ — | $ 2,664,020 | $ 7,421,349 | $ 1,164,679 | |||||
$ — | $ — | $ — | $ — | $ 4,505,312 | $ — | |||||
$ — | $ — | $ — | $ — | $ — | $ — | |||||
STATEMENTS OF OPERATIONS | For the Year Ended December 31, 2020 |
Defensive Market Strategies® Fund | Equity Index Fund | ||
Investment Income | |||
Dividends | $ 14,145,539 | $ 36,899,255 | |
Income distributions received from affiliated funds | 296,588 | 243,110 | |
Interest | 4,913,461 | 3,112 | |
Securities lending, net | 122,390 | 214,782 | |
Less foreign taxes withheld | (115,871) | (137,017) | |
Total Investment Income | 19,362,107 | 37,223,242 | |
Expenses | |||
Investment advisory fees | 7,562,145 | 1,888,345 | |
Transfer agent fees: | |||
Institutional shares | 5,195 | 5,680 | |
Investor shares | 39,118 | 57,609 | |
Custodian fees | 94,741 | 42,401 | |
Shareholder servicing fees: | |||
Investor shares | 1,011,856 | 1,561,135 | |
Accounting and administration fees | 269,197 | 473,484 | |
Professional fees | 192,168 | 100,475 | |
Shareholder reporting fees: | |||
Institutional shares | 1,975 | 2,791 | |
Investor shares | 9,178 | 22,623 | |
Trustees expenses | 1,340 | 2,714 | |
Line of credit facility fees | 1,173 | 2,729 | |
S&P license fees | — | 222,589 | |
Dividends on securities sold short | — | — | |
Other expenses | 161,899 | 166,530 | |
Recoupment of prior expenses reduced by the Advisor | — | — | |
Total Expenses | 9,349,985 | 4,549,105 | |
Expenses waived/reimbursed(1) | — | — | |
Fees paid indirectly | — | — | |
Net Expenses | 9,349,985 | 4,549,105 | |
Net Investment Income (Loss) | 10,012,122 | 32,674,137 | |
Realized and Unrealized Gain (Loss) | |||
Net realized gain (loss) from: | |||
Investment securities (net of capital gains taxes of $(202,086) and $286,934 for International Equity Fund and Emerging Markets Equity Fund, respectively) | 70,728,249 | 33,160,041 | |
Investment securities sold short | — | — | |
Futures transactions | (3,636,476) | 14,162,708 | |
Swap agreements | — | — | |
Option contracts written | (16,513,680) | — | |
Forward foreign currency contracts | (2,267,061) | — | |
Foreign currency | 9,210 | — | |
Net increase in payment from affiliate(2) | — | — | |
Net realized gain (loss) | 48,320,242 | 47,322,749 | |
Net change in unrealized appreciation (depreciation) on: | |||
Investment securities (net of estimated capital gains taxes of $(1,008,728) and $(2,017,571) for International Equity Fund and Emerging Markets Fund, respectively) | 57,256,671 | 308,645,013 | |
Investment securities sold short | — | — | |
Futures | 466,502 | 243,237 | |
Swap agreements | — | — | |
Option contracts written | 366,566 | — | |
Forward foreign currency contracts | 215,493 | — | |
Foreign currency | 19,611 | — | |
Net change in unrealized appreciation (depreciation) | 58,324,843 | 308,888,250 | |
Net Realized and Unrealized Gain | 106,645,085 | 356,210,999 | |
Net Increase in Net Assets Resulting from Operations | $116,657,207 | $388,885,136 |
(1) | See Note 3c in Notes to Financial Statements. | |
(2) | See Note 3 in Notes to Financial Statements. |
Value Equity Fund | Growth Equity Fund | Small Cap Equity Fund | International Equity Index Fund | International Equity Fund | Emerging Markets Equity Fund | |||||
$ 27,172,861 | $ 12,671,529 | $ 5,692,872 | $17,460,540 | $ 25,959,940 | $ 11,375,822 | |||||
178,167 | 221,447 | 88,328 | 156,526 | 262,078 | 68,411 | |||||
2,047 | 7,496 | 20,370 | 6,460 | 814 | 19,330 | |||||
55,924 | 538,594 | 242,190 | 130,231 | 87,559 | 42,498 | |||||
(486,072) | (150,739) | (7,735) | (1,042,090) | (1,943,592) | (1,333,300) | |||||
26,922,927 | 13,288,327 | 6,036,025 | 16,711,667 | 24,366,799 | 10,172,761 | |||||
6,445,376 | 11,340,618 | 4,935,339 | 789,270 | 9,259,332 | 4,861,577 | |||||
4,813 | 5,224 | 5,120 | 4,156 | 5,788 | 4,870 | |||||
19,882 | 41,165 | 19,291 | — | 30,078 | 12,907 | |||||
78,121 | 57,467 | 138,748 | 178,373 | 609,504 | 989,882 | |||||
794,984 | 2,055,380 | 551,007 | — | 771,210 | 177,178 | |||||
241,803 | 384,798 | 120,958 | 153,704 | 262,067 | 123,760 | |||||
123,924 | 111,351 | 122,612 | 131,822 | 131,174 | 119,340 | |||||
1,348 | 2,259 | 1,755 | — | 2,657 | 736 | |||||
14,532 | 26,054 | 14,419 | — | 13,101 | 2,872 | |||||
1,480 | 3,630 | 1,705 | — | 1,586 | 957 | |||||
687 | 2,772 | 1,230 | 123 | 529 | 467 | |||||
— | — | — | — | — | — | |||||
— | — | — | — | 743,326 | — | |||||
140,649 | 174,484 | 110,159 | 298,228 | 160,321 | 148,516 | |||||
— | — | — | 24,000 | — | 77,711 | |||||
7,867,599 | 14,205,202 | 6,022,343 | 1,579,676 | 11,990,673 | 6,520,773 | |||||
— | — | — | (25,539) | — | — | |||||
(9,930) | (24,368) | (52,395) | — | — | (854) | |||||
7,857,669 | 14,180,834 | 5,969,948 | 1,554,137 | 11,990,673 | 6,519,919 | |||||
19,065,258 | (892,507) | 66,077 | 15,157,530 | 12,376,126 | 3,652,842 | |||||
(15,465,589) | 278,893,015 | (8,969,181) | (2,611,006) | (24,601,919) | 5,526,601 | |||||
— | — | — | — | (550,558) | — | |||||
13,467,576 | 9,919,867 | 7,829,100 | (2,022,596) | 4,127,191 | 17,540,396 | |||||
— | — | — | — | 1,927,819 | 1,380,001 | |||||
— | — | — | — | — | — | |||||
(3,846,119) | — | — | — | 1,438,535 | (1,186,367) | |||||
8,658 | — | — | 203,006 | 315,433 | (268,910) | |||||
— | — | — | — | 513,170 | — | |||||
(5,835,474) | 288,812,882 | (1,140,081) | (4,430,596) | (16,830,329) | 22,991,721 | |||||
38,901,288 | 254,996,501 | 114,401,319 | 51,462,601 | 97,855,694 | 111,615,190 | |||||
— | — | — | — | 4,753,255 | — | |||||
104,994 | 765,151 | 508,498 | 340,065 | 2,250,889 | 1,906,349 | |||||
— | — | — | — | (2,172,685) | 549,018 | |||||
— | — | — | — | — | — | |||||
253,541 | — | — | — | 1,664,721 | 416,209 | |||||
— | — | — | 145,430 | 436,290 | (7,554) | |||||
39,259,823 | 255,761,652 | 114,909,817 | 51,948,096 | 104,788,164 | 114,479,212 | |||||
33,424,349 | 544,574,534 | 113,769,736 | 47,517,500 | 87,957,835 | 137,470,933 | |||||
$ 52,489,607 | $543,682,027 | $113,835,813 | $62,675,030 | $100,333,961 | $141,123,775 |
STATEMENTS OF CHANGES IN NET ASSETS |
Defensive Market Strategies® Fund | |||
For the Year Ended | |||
12/31/20 | 12/31/19 | ||
Operations: | |||
Net investment income (loss) | $ 10,012,122 | $ 13,769,126 | |
Net realized gain (loss) on investment securities, foreign currency and derivatives | 48,320,242 | 54,096,958 | |
Net change in unrealized appreciation (depreciation) on investment securities, foreign currency and derivatives | 58,324,843 | 133,603,773 | |
Net increase in net assets resulting from operations | 116,657,207 | 201,469,857 | |
Distributions to Shareholders: | |||
Institutional shares | (28,360,215) | (44,168,777) | |
Investor shares | (11,880,888) | (24,120,475) | |
Total distributions | (40,241,103) | (68,289,252) | |
Capital Share Transactions: | |||
Proceeds from shares sold | |||
Institutional shares | 113,480,463 | 76,644,154 | |
Investor shares | 109,047,446 | 133,164,309 | |
Reinvestment of dividends and distributions | |||
Institutional shares | 28,332,976 | 44,116,263 | |
Investor shares | 11,614,320 | 23,830,888 | |
Total proceeds from shares sold and reinvested | 262,475,205 | 277,755,614 | |
Value of shares redeemed | |||
Institutional shares | (77,994,633) | (56,912,886) | |
Investor shares | (186,378,333) | (103,760,712) | |
Total value of shares redeemed | (264,372,966) | (160,673,598) | |
Net increase (decrease) from capital share transactions(1) | (1,897,761) | 117,082,016 | |
Total increase in net assets | 74,518,343 | 250,262,621 | |
Net Assets: | |||
Beginning of Year | 1,262,520,872 | 1,012,258,251 | |
End of Year | $1,337,039,215 | $1,262,520,872 |
(1) | See Note 6 in Notes to Financial Statements. |
Equity Index Fund | Value Equity Fund | Growth Equity Fund | ||||||||
For the Year Ended | For the Year Ended | For the Year Ended | ||||||||
12/31/20 | 12/31/19 | 12/31/20 | 12/31/19 | 12/31/20 | 12/31/19 | |||||
$ 32,674,137 | $ 32,898,674 | $ 19,065,258 | $ 19,896,239 | $ (892,507) | $ 141,021 | |||||
47,322,749 | 16,892,045 | (5,835,474) | 128,696,083 | 288,812,882 | 163,335,695 | |||||
308,888,250 | 458,673,507 | 39,259,823 | 123,681,091 | 255,761,652 | 298,497,744 | |||||
388,885,136 | 508,464,226 | 52,489,607 | 272,273,413 | 543,682,027 | 461,974,460 | |||||
(41,880,879) | (32,906,901) | (17,764,971) | (91,183,177) | (144,758,996) | (86,626,597) | |||||
(15,314,572) | (12,882,091) | (6,799,021) | (40,942,447) | (130,715,878) | (70,501,782) | |||||
(57,195,451) | (45,788,992) | (24,563,992) | (132,125,624) | (275,474,874) | (157,128,379) | |||||
245,735,231 | 171,099,288 | 125,871,724 | 34,148,825 | 119,129,235 | 68,743,901 | |||||
141,664,866 | 90,260,475 | 29,220,026 | 29,718,622 | 157,705,761 | 70,435,756 | |||||
40,937,745 | 32,447,882 | 17,755,900 | 91,139,115 | 144,705,800 | 86,582,221 | |||||
15,249,001 | 12,851,729 | 6,781,640 | 40,832,597 | 130,472,321 | 70,461,720 | |||||
443,586,843 | 306,659,374 | 179,629,290 | 195,839,159 | 552,013,117 | 296,223,598 | |||||
(256,623,744) | (132,040,161) | (107,218,689) | (91,784,085) | (278,950,981) | (155,258,516) | |||||
(165,282,938) | (100,097,652) | (76,694,657) | (68,010,299) | (217,006,766) | (135,778,291) | |||||
(421,906,682) | (232,137,813) | (183,913,346) | (159,794,384) | (495,957,747) | (291,036,807) | |||||
21,680,161 | 74,521,561 | (4,284,056) | 36,044,775 | 56,055,370 | 5,186,791 | |||||
353,369,846 | 537,196,795 | 23,641,559 | 176,192,564 | 324,262,523 | 310,032,872 | |||||
2,135,653,928 | 1,598,457,133 | 1,214,895,614 | 1,038,703,050 | 1,698,149,552 | 1,388,116,680 | |||||
$2,489,023,774 | $2,135,653,928 | $1,238,537,173 | $1,214,895,614 | $2,022,412,075 | $1,698,149,552 |
STATEMENTS OF CHANGES IN NET ASSETS |
Small Cap Equity Fund | |||
For the Year Ended | |||
12/31/20 | 12/31/19 | ||
Operations: | |||
Net investment income | $ 66,077 | $ 447,076 | |
Net realized gain (loss) on investment securities, foreign currency and derivatives | (1,140,081) | 26,632,218 | |
Net change in unrealized appreciation (depreciation) on investment securities, foreign currency and derivatives | 114,909,817 | 95,496,405 | |
Net increase in net assets resulting from operations | 113,835,813 | 122,575,699 | |
Distributions to Shareholders: | |||
Institutional shares | (4,586,466) | (12,633,420) | |
Investor shares | (2,914,331) | (9,433,184) | |
Total distributions | (7,500,797) | (22,066,604) | |
Capital Share Transactions: | |||
Proceeds from shares sold | |||
Institutional shares | 82,357,232 | 42,279,164 | |
Investor shares | 28,232,380 | 27,788,978 | |
Reinvestment of dividends and distributions | |||
Institutional shares | 4,574,145 | 12,609,876 | |
Investor shares | 2,908,010 | 9,422,258 | |
Total proceeds from shares sold and reinvested | 118,071,767 | 92,100,276 | |
Value of shares redeemed | |||
Institutional shares | (66,161,278) | (26,618,910) | |
Investor shares | (57,888,097) | (57,230,474) | |
Total value of shares redeemed | (124,049,375) | (83,849,384) | |
Net increase (decrease) from capital share transactions(1) | (5,977,608) | 8,250,892 | |
Total increase in net assets | 100,357,408 | 108,759,987 | |
Net Assets: | |||
Beginning of Year | 596,457,805 | 487,697,818 | |
End of Year | $ 696,815,213 | $596,457,805 |
(1) | See Note 6 in Notes to Financial Statements. |
International Equity Index Fund | International Equity Fund | Emerging Markets Equity Fund | ||||||||
For the Year Ended | For the Year Ended | For the Year Ended | ||||||||
12/31/20 | 12/31/19 | 12/31/20 | 12/31/19 | 12/31/20 | 12/31/19 | |||||
$ 15,157,530 | $ 19,347,299 | $ 12,376,126 | $ 27,314,506 | $ 3,652,842 | $ 8,850,162 | |||||
(4,430,596) | 1,316,780 | (16,830,329) | 40,301,646 | 22,991,721 | 1,991,770 | |||||
51,948,096 | 100,183,811 | 104,788,164 | 185,919,521 | 114,479,212 | 77,153,785 | |||||
62,675,030 | 120,847,890 | 100,333,961 | 253,535,673 | 141,123,775 | 87,995,717 | |||||
(14,997,073) | (20,799,847) | (10,269,203) | (47,643,999) | (6,348,367) | (11,628,885) | |||||
— | — | (3,636,168) | (16,556,051) | (847,376) | (1,621,711) | |||||
(14,997,073) | (20,799,847) | (13,905,371) | (64,200,050) | (7,195,743) | (13,250,596) | |||||
122,470,218 | 76,342,779 | 87,698,895 | 60,770,646 | 154,100,342 | 42,650,660 | |||||
— | — | 54,503,766 | 49,956,440 | 34,698,746 | 20,347,806 | |||||
14,797,848 | 20,640,274 | 10,156,580 | 47,413,821 | 6,345,885 | 11,623,106 | |||||
— | — | 3,607,389 | 16,496,111 | 843,033 | 1,620,358 | |||||
137,268,066 | 96,983,053 | 155,966,630 | 174,637,018 | 195,988,006 | 76,241,930 | |||||
(119,480,679) | (28,593,664) | (153,711,495) | (80,087,916) | (51,696,785) | (21,076,236) | |||||
— | — | (84,381,452) | (50,451,367) | (29,550,228) | (22,140,113) | |||||
(119,480,679) | (28,593,664) | (238,092,947) | (130,539,283) | (81,247,013) | (43,216,349) | |||||
17,787,387 | 68,389,389 | (82,126,317) | 44,097,735 | 114,740,993 | 33,025,581 | |||||
65,465,344 | 168,437,432 | 4,302,273 | 233,433,358 | 248,669,025 | 107,770,702 | |||||
713,863,959 | 545,426,527 | 1,314,169,738 | 1,080,736,380 | 532,939,615 | 425,168,913 | |||||
$ 779,329,303 | $713,863,959 | $1,318,472,011 | $1,314,169,738 | $781,608,640 | $532,939,615 |
FINANCIAL HIGHLIGHTS |
For a Share Outstanding For the Years Ending December 31, unless otherwise indicated | Ratios to Average Net Assets | |||||||||||||
Net Asset Value, Beginning of Year | Net Investment Income# | Realized and Unrealized Gain (Loss) on Investments | Total Income From Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Capital Gains | Total Distributions Paid | Net Asset Value, End of Year | Total Return | Net Assets, End of Year (000) | Expenses, Net | Expenses, Gross | Investment Income, Net | Portfolio Turnover Rate | |
Defensive Market Strategies® Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2020 | $13.27 | $0.12 | $ 1.19 | $ 1.31 | $(0.16) | $(0.28) | $(0.44) | $14.14 | 10.08% | $ 927,539 | 0.67% | 0.67% | 0.90% | 67% |
2019 | 11.73 | 0.17 | 2.13 | 2.30 | (0.17) | (0.59) | (0.76) | 13.27 | 19.78 | 803,696 | 0.67 | 0.67 | 1.29 | 55 |
2018 | 12.68 | 0.15 | (0.32) | (0.17) | (0.17) | (0.61) | (0.78) | 11.73 | (1.51) | 653,481 | 0.67 | 0.67 | 1.17 | 65 |
2017 | 11.90 | 0.09 | 1.42 | 1.51 | (0.08) | (0.65) | (0.73) | 12.68 | 12.74 | 602,011 | 0.67(1) | 0.68 | 0.70 | 60 |
2016 | 11.21 | 0.17 | 1.15(2) | 1.32 | (0.16) | (0.47) | (0.63) | 11.90 | 11.80 | 547,132 | 0.69 | 0.70 | 1.42 | 78 |
Investor Class | ||||||||||||||
2020 | $13.27 | $0.08 | $ 1.20 | $ 1.28 | $(0.12) | $(0.28) | $(0.40) | $14.15 | 9.86% | $ 409,500 | 0.94% | 0.94% | 0.64% | 67% |
2019 | 11.74 | 0.13 | 2.13 | 2.26 | (0.14) | (0.59) | (0.73) | 13.27 | 19.38 | 458,825 | 0.93 | 0.93 | 1.02 | 55 |
2018 | 12.68 | 0.12 | (0.32) | (0.20) | (0.13) | (0.61) | (0.74) | 11.74 | (1.69) | 358,777 | 0.93 | 0.93 | 0.90 | 65 |
2017 | 11.91 | 0.05 | 1.41 | 1.46 | (0.04) | (0.65) | (0.69) | 12.68 | 12.35 | 360,533 | 0.95(1) | 0.96 | 0.43 | 60 |
2016 | 11.22 | 0.14 | 1.15(2) | 1.29 | (0.13) | (0.47) | (0.60) | 11.91 | 11.53 | 276,104 | 0.97 | 0.98 | 1.15 | 78 |
Equity Index Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2020 | $35.45 | $0.57 | $ 5.78 | $ 6.35 | $(0.57) | $(0.40) | $(0.97) | $40.83 | 18.19% | $1,772,397 | 0.13% | 0.13% | 1.60% | 3% |
2019 | 27.56 | 0.59 | 8.11 | 8.70 | (0.58) | (0.23) | (0.81) | 35.45 | 31.68 | 1,501,076 | 0.13 | 0.13 | 1.82 | 2 |
2018 | 29.43 | 0.55 | (1.79) | (1.24) | (0.48) | (0.15) | (0.63) | 27.56 | (4.29) | 1,107,944 | 0.12 | 0.13 | 1.81 | 3 |
2017 | 24.68 | 0.47 | 4.92 | 5.39 | (0.46) | (0.18) | (0.64) | 29.43 | 21.97 | 483,275 | 0.19 | 0.20 | 1.72 | 2 |
2016 | 22.81 | 0.46 | 2.27(2) | 2.73 | (0.56) | (0.30) | (0.86) | 24.68 | 12.16 | 355,404 | 0.15 | 0.16 | 1.97 | 3 |
Investor Class | ||||||||||||||
2020 | $35.47 | $0.47 | $ 5.79 | $ 6.26 | $(0.48) | $(0.40) | $(0.88) | $40.85 | 17.89% | $ 716,627 | 0.40% | 0.40% | 1.34% | 3% |
2019 | 27.58 | 0.50 | 8.11 | 8.61 | (0.49) | (0.23) | (0.72) | 35.47 | 31.33 | 634,578 | 0.39 | 0.39 | 1.56 | 2 |
2018 | 29.44 | 0.47 | (1.78) | (1.31) | (0.40) | (0.15) | (0.55) | 27.58 | (4.55) | 490,513 | 0.37 | 0.38 | 1.56 | 3 |
2017 | 24.70 | 0.40 | 4.91 | 5.31 | (0.39) | (0.18) | (0.57) | 29.44 | 21.65 | 494,771 | 0.45 | 0.46 | 1.46 | 2 |
2016 | 22.58 | 0.39 | 2.27(2) | 2.66 | (0.29) | (0.25) | (0.54) | 24.70 | 11.84 | 386,796 | 0.42 | 0.42 | 1.70 | 3 |
# | Calculated using the average shares outstanding method. |
(1) | The ratio for the Defensive Market Strategies® Fund includes the effect of fees paid indirectly which decreased the ratio by 0.00% for the year 2017. |
(2) | 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. |
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 | Total Income From Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Capital Gains | Total Distributions Paid | Net Asset Value, End of Year | Total Return | Net Assets, End of Year (000) | Expenses, Net | Expenses, Gross | Investment Income/ (Loss), Net | Portfolio Turnover Rate | |
Value Equity Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2020 | $19.02 | $ 0.30 | $ 0.42 | $ 0.72 | $(0.15) | $(0.24) | $(0.39) | $19.35 | 4.19% | $ 896,523 | 0.64%(1) | 0.64% | 1.80% | 97% |
2019 | 16.79 | 0.35 | 4.16 | 4.51 | (0.34) | (1.94) | (2.28) | 19.02 | 27.14 | 831,854 | 0.62(1) | 0.62 | 1.81 | 92 |
2018 | 22.76 | 0.39 | (2.75) | (2.36) | (0.40) | (3.21) | (3.61) | 16.79 | (10.97) | 703,135 | 0.56(1) | 0.57 | 1.75 | 38 |
2017 | 21.18 | 0.39 | 2.85 | 3.24 | (0.37) | (1.29) | (1.66) | 22.76 | 15.54 | 1,128,445 | 0.57(1) | 0.58 | 1.78 | 38 |
2016 | 19.75 | 0.41 | 2.30(2) | 2.71 | (0.46) | (0.82) | (1.28) | 21.18 | 14.11 | 920,433 | 0.59(1) | 0.60 | 2.05 | 36 |
Investor Class | ||||||||||||||
2020 | $19.04 | $ 0.26 | $ 0.40 | $ 0.66 | $(0.12) | $(0.24) | $(0.36) | $19.34 | 3.89% | $ 342,014 | 0.90%(1) | 0.90% | 1.54% | 97% |
2019 | 16.81 | 0.30 | 4.16 | 4.46 | (0.29) | (1.94) | (2.23) | 19.04 | 26.80 | 383,041 | 0.89(1) | 0.89 | 1.55 | 92 |
2018 | 22.78 | 0.34 | (2.75) | (2.41) | (0.35) | (3.21) | (3.56) | 16.81 | (11.19) | 335,568 | 0.83(1) | 0.84 | 1.50 | 38 |
2017 | 21.20 | 0.34 | 2.85 | 3.19 | (0.32) | (1.29) | (1.61) | 22.78 | 15.25 | 397,231 | 0.83(1) | 0.84 | 1.52 | 38 |
2016 | 19.46 | 0.35 | 2.33(2) | 2.68 | (0.26) | (0.68) | (0.94) | 21.20 | 13.84 | 370,589 | 0.86(1) | 0.87 | 1.78 | 36 |
Growth Equity Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2020 | $26.23 | $ 0.02 | $ 9.11 | $ 9.13 | $(0.05) | $(4.68) | $(4.73) | $30.63 | 35.75% | $1,064,559 | 0.69%(3) | 0.69% | 0.08% | 40% |
2019 | 21.47 | 0.03 | 7.36 | 7.39 | (0.03) | (2.60) | (2.63) | 26.23 | 34.79 | 934,297 | 0.71(3) | 0.71 | 0.13 | 21 |
2018 | 25.18 | 0.05 | 0.41 | 0.46 | (0.01) | (4.16) | (4.17) | 21.47 | 1.22 | 765,738 | 0.70(3) | 0.71 | 0.18 | 19 |
2017 | 21.08 | 0.03 | 6.80 | 6.83 | (0.02) | (2.71) | (2.73) | 25.18 | 32.43 | 1,150,773 | 0.72(3) | 0.73 | 0.12 | 41 |
2016 | 22.25 | —† | (0.22)(2) | (0.22) | — | (0.95) | (0.95) | 21.08 | (0.98) | 890,530 | 0.75(3) | 0.76 | 0.01 | 24 |
Investor Class | ||||||||||||||
2020 | $26.02 | $(0.05) | $ 9.02 | $ 8.97 | $(0.02) | $(4.68) | $(4.70) | $30.29 | 35.39% | $ 957,853 | 0.95%(3) | 0.95% | (0.19)% | 40% |
2019 | 21.35 | (0.03) | 7.30 | 7.27 | — | (2.60) | (2.60) | 26.02 | 34.42 | 763,853 | 0.96(3) | 0.96 | (0.13) | 21 |
2018 | 25.11 | (0.02) | 0.42 | 0.40 | — | (4.16) | (4.16) | 21.35 | 0.99 | 622,379 | 0.96(3) | 0.97 | (0.06) | 19 |
2017 | 21.07 | (0.04) | 6.79 | 6.75 | — | (2.71) | (2.71) | 25.11 | 32.06 | 584,764 | 0.98(3) | 0.99 | (0.14) | 41 |
2016 | 22.02 | (0.05) | (0.24)(2) | (0.29) | — | (0.66) | (0.66) | 21.07 | (1.30) | 424,210 | 1.01(3) | 1.02 | (0.26) | 24 |
# | Calculated using the average shares outstanding method. |
† | Amount represents less than $0.005 per share. |
(1) | The ratio for the Value Equity Fund includes the effect of fees paid indirectly which decreased the ratio by 0.00% for the years 2016, 2017, 2018, 2019, and 2020. |
(2) | 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. |
(3) | The ratio for the Growth Equity Fund includes the effect of fees paid indirectly which decreased the ratio by 0.00% for the years 2016, 2017, 2018, 2019 and 2020. |
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 | Total Income From Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Capital Gains | Total Distributions Paid | Net Asset Value, End of Year | Total Return | Net Assets, End of Year (000) | Expenses, Net | Expenses, Gross | Investment Income/ (Loss), Net | Portfolio Turnover Rate | |
Small Cap Equity Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2020 | $15.72 | $ 0.02 | $ 3.13 | $ 3.15 | $ (—)† | $(0.20) | $(0.20) | $18.67 | 20.07% | $428,451 | 0.98%(1) | 0.99% | 0.12% | 90% |
2019 | 13.04 | 0.03 | 3.26 | 3.29 | (0.02) | (0.59) | (0.61) | 15.72 | 25.29 | 338,440 | 1.00(1) | 1.01 | 0.20 | 84 |
2018 | 18.36 | 0.04 | (2.13)(2) | (2.09) | — | (3.23)(3) | (3.23) | 13.04 | (12.01) | 256,242 | 0.98(1) | 0.99 | 0.20 | 172 |
2017 | 17.53 | 0.02 | 2.24 | 2.26 | (0.03) | (1.40) | (1.43) | 18.36 | 12.98 | 293,953 | 0.98(1) | 1.00 | 0.09 | 80 |
2016 | 15.14 | 0.06 | 2.59(4) | 2.65 | (0.07) | (0.19) | (0.26) | 17.53 | 17.48 | 265,627 | 1.01(1) | 1.03 | 0.36 | 77 |
Investor Class | ||||||||||||||
2020 | $15.66 | $(0.02) | $ 3.11 | $ 3.09 | $(0.01) | $(0.20) | $(0.21) | $18.54 | 19.75% | $268,364 | 1.24%(1) | 1.25% | (0.15)% | 90% |
2019 | 13.01 | (0.01) | 3.25 | 3.24 | — | (0.59) | (0.59) | 15.66 | 24.97 | 258,018 | 1.26(1) | 1.27 | (0.06) | 84 |
2018 | 18.37 | (0.01) | (2.12)(2) | (2.13) | — | (3.23)(3) | (3.23) | 13.01 | (12.22) | 231,456 | 1.24(1) | 1.25 | (0.06) | 172 |
2017 | 17.56 | (0.03) | 2.24 | 2.21 | — | (1.40) | (1.40) | 18.37 | 12.67 | 261,943 | 1.25(1) | 1.27 | (0.17) | 80 |
2016 | 15.17 | 0.02 | 2.59(4) | 2.61 | (0.03) | (0.19) | (0.22) | 17.56 | 17.17 | 266,994 | 1.27(1) | 1.30 | 0.11 | 77 |
International Equity Index Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2020 | $10.87 | $ 0.22 | $ 0.67 | $ 0.89 | $(0.23) | $ — | $(0.23) | $11.53 | 8.17% | $779,329 | 0.22% | 0.22% | 2.16% | 12% |
2019 | 9.24 | 0.31 | 1.65 | 1.96 | (0.33) | — | (0.33) | 10.87 | 21.21 | 713,864 | 0.22 | 0.23 | 3.05 | 5 |
2018 | 10.76 | 0.27 | (1.66) | (1.39) | (0.13) | — | (0.13) | 9.24 | (12.86) | 545,427 | 0.27 | 0.27 | 2.64 | 4 |
2017 | 8.86 | 0.25 | 1.93 | 2.18 | (0.25) | (0.03) | (0.28) | 10.76 | 24.69 | 188,122 | 0.41 | 0.35 | 2.45 | 4 |
2016 | 8.94 | 0.23 | (0.09)(4) | 0.14 | (0.22) | — | (0.22) | 8.86 | 1.63 | 133,021 | 0.57 | 0.65 | 2.61 | 6 |
# | Calculated using the average shares outstanding method. |
† | Amount represents less than $0.005 per share. |
(1) | The ratio for the Small Cap Equity Fund includes the effect of fees paid indirectly which decreased the ratio by 0.01% and 0.01% for the years 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 the Institutional and Investor Class, respectively. For the years ended December 31, 2019 and 2020, the effect of fees paid indirectly decreased the ratio by 0.01% and 0.01%, respectively. |
(2) | The amount previously reported in the Funds’ 2018 Annual Report has been revised due to a misstatement. The misstatement was not considered material to the prior period Annual Report. In the Funds’ 2018 Annual Report, the Small Cap Equity Fund reported amounts of $(8.59) and $(8.58) for the Institutional and Investor Class, respectively. |
(3) | The amount previously reported in the Funds’ 2018 Annual Report has been revised due to a misstatement. The misstatement was not considered material to the prior period Annual Report. In the Funds’ 2018 Annual Report, the Small Cap Equity Fund reported amounts of $3.23 for both the Institutional and Investor Class. |
(4) | Amount includes Capital Gains distributions received by the Fund from the GuideStone Money Market Fund. The amount of these distributions represents less than $0.005 per share. |
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 | Total Income From Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Capital Gains | Total Distributions Paid | Net Asset Value, End of Year | Total Return | Net Assets, End of Year (000) | Expenses, Net | Expenses, Gross | Investment Income, Net | Portfolio Turnover Rate | |
International Equity Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2020 | $13.78 | $0.14 | $ 0.93 | $ 1.07 | $(0.13) | $(0.02) | $(0.15) | $14.70 | 7.81%(1) | $ 973,352 | 0.93%(2) | 0.93%(2) | 1.10% | 90% |
2019 | 11.74 | 0.31(3) | 2.44 | 2.75 | (0.31) | (0.40) | (0.71) | 13.78 | 23.45 | 963,046 | 1.07(2) | 1.07(2) | 2.31(3) | 54 |
2018 | 15.72 | 0.32 | (2.65) | (2.33) | (0.32) | (1.33) | (1.65) | 11.74 | (14.90) | 795,484 | 1.07(2) | 1.08(2) | 2.08 | 73 |
2017 | 13.16 | 0.25 | 3.65 | 3.90 | (0.25) | (1.09) | (1.34) | 15.72 | 29.85 | 1,279,089 | 0.92(2)(4) | 0.93(2) | 1.63 | 42 |
2016 | 13.14 | 0.27 | 0.13(5) | 0.40 | (0.27) | (0.11) | (0.38) | 13.16 | 2.96 | 1,017,929 | 1.00(2)(4) | 1.01(2) | 2.09 | 33 |
Investor Class | ||||||||||||||
2020 | $13.81 | $0.11 | $ 0.93 | $ 1.04 | $(0.14) | $(0.02) | $(0.16) | $14.69 | 7.52%(1) | $ 345,120 | 1.20%(2) | 1.20%(2) | 0.84% | 90% |
2019 | 11.77 | 0.27(3) | 2.45 | 2.72 | (0.28) | (0.40) | (0.68) | 13.81 | 23.10 | 351,124 | 1.35(2) | 1.34(2) | 2.05(3) | 54 |
2018 | 15.74 | 0.27 | (2.63) | (2.36) | (0.28) | (1.33) | (1.61) | 11.77 | (15.06) | 285,252 | 1.33(2) | 1.35(2) | 1.76 | 73 |
2017 | 13.18 | 0.21 | 3.66 | 3.87 | (0.22) | (1.09) | (1.31) | 15.74 | 29.50 | 345,545 | 1.18(2)(4) | 1.19(2) | 1.37 | 42 |
2016 | 13.18 | 0.24 | 0.11(5) | 0.35 | (0.24) | (0.11) | (0.35) | 13.18 | 2.62 | 264,295 | 1.27(2)(4) | 1.28(2) | 1.81 | 33 |
Emerging Markets Equity Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2020 | $10.19 | $0.07 | $ 2.19 | $ 2.26 | $(0.12) | $ — | $(0.12) | $12.33 | 22.15% | $ 685,246 | 1.11%(6) | 1.11% | 0.70% | 67% |
2019 | 8.71 | 0.18(7) | 1.57 | 1.75 | (0.27) | — | (0.27) | 10.19 | 20.06 | 457,074 | 1.19(6) | 1.19 | 1.92(7) | 92 |
2018 | 11.00 | 0.13 | (2.36) | (2.23) | (0.06) | — | (0.06) | 8.71 | (20.26) | 359,815 | 1.30(6) | 1.21 | 1.26 | 155 |
2017 | 8.18 | 0.08 | 2.85 | 2.93 | (0.11) | — | (0.11) | 11.00 | 35.80 | 404,641 | 1.30(6) | 1.31 | 0.83 | 56 |
2016 | 7.34 | 0.08 | 0.90(5) | 0.98 | (0.14) | — | (0.14) | 8.18 | 13.46 | 290,082 | 1.30(6) | 1.48 | 0.98 | 54 |
Investor Class | ||||||||||||||
2020 | $10.20 | $0.03 | $ 2.17 | $ 2.20 | $(0.11) | $ — | $(0.11) | $12.29 | 21.60% | $ 96,362 | 1.51%(6) | 1.51% | 0.30% | 67% |
2019 | 8.72 | 0.14(7) | 1.57 | 1.71 | (0.23) | — | (0.23) | 10.20 | 19.64 | 75,866 | 1.57(6) | 1.57 | 1.48(7) | 92 |
2018 | 11.00 | 0.10 | (2.35) | (2.25) | (0.03) | — | (0.03) | 8.72 | (20.49) | 65,354 | 1.56(6) | 1.52 | 0.96 | 155 |
2017 | 8.19 | 0.06 | 2.84 | 2.90 | (0.09) | — | (0.09) | 11.00 | 35.37 | 94,346 | 1.57(6) | 1.66 | 0.57 | 56 |
2016 | 7.35 | 0.06 | 0.91(5) | 0.97 | (0.13) | — | (0.13) | 8.19 | 13.20 | 45,106 | 1.56(6) | 1.87 | 0.73 | 54 |
# | Calculated using the average shares outstanding method. |
(1) | Amount includes the effect of the Adviser pay-in for an economic loss. Had the pay-in not been made, the net asset value total return would have been 7.77% and 7.46% for the Institutional Class and Investor Class, respectively. In addition, the portfolio turnover calculation includes the value of securities purchased and sold related to this transaction. |
(2) | The ratio for the International Equity Fund includes the effect of dividend expense on securities sold short which increased the ratio by 0.14% and 0.08% for the years 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. For the years ended December 31, 2019 and 2020, the effect of dividend expense on securities sold short increased the ratio by 0.19% and 0.06%, respectively. |
(3) | Net investment income per share and the ratio of net investment income to average net assets include $0.01 and 0.09% for the Institutional Class and $0.01 and 0.09% for the Investor Class, respectively, resulting from a special dividend from Naspers Ltd. in September 2019. |
(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 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 2016, 2017, 2018, 2019 and 2020. |
(7) | Net investment income per share and the ratio of net investment income to average net assets include $0.06 and 0.68% for the Institutional Class and $0.06 and 0.62% for the Investor Class, respectively, resulting from a special dividend from Naspers Ltd. in September 2019. |
% | |
Real Estate | 96.4 |
Money Market Funds | 3.0 |
Information Technology | 0.1 |
99.5 |
Average Annual Total Returns as of 12/31/20 | |||||||
Institutional Class* | Investor Class* | Benchmark** | |||||
One Year | (4.54%) | (4.79%) | (9.02%) | ||||
Five Year | 5.59% | 5.31% | 3.74% | ||||
Ten year | N/A | 6.88% | 5.92% | ||||
Since Inception | 4.56% | 3.64% | 2.74% | ||||
Inception Date | 05/01/15 | 12/29/06 | |||||
Total Fund Operating Expenses (May 1, 2020 Prospectus)(1) | 0.83% | 1.10% |
(1) | Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights. |
Shares | Value | |||
COMMON STOCKS — 51.9% | ||||
Real Estate — 51.9% | ||||
Agree Realty Corporation REIT | 62,963 | $ 4,192,077 | ||
Alexander & Baldwin, Inc. REIT | 57,618 | 989,877 | ||
Alexandria Real Estate Equities, Inc. REIT | 24,127 | 4,299,914 | ||
American Assets Trust, Inc. REIT | 28,683 | 828,365 | ||
American Campus Communities, Inc. REIT | 30,226 | 1,292,766 | ||
American Homes 4 Rent Class A REIT | 65,423 | 1,962,690 | ||
Apple Hospitality REIT, Inc. | 127,278 | 1,643,159 | ||
AvalonBay Communities, Inc. REIT | 36,199 | 5,807,406 | ||
Boston Properties, Inc. REIT | 10,759 | 1,017,048 | ||
CoreSite Realty Corporation REIT | 10,842 | 1,358,286 | ||
CyrusOne, Inc. REITΔ | 33,736 | 2,467,788 | ||
Duke Realty Corporation REIT | 53,877 | 2,153,464 | ||
EastGroup Properties, Inc. REIT | 22,253 | 3,072,249 | ||
Empire State Realty Trust, Inc. Class A REIT | 93,212 | 868,736 | ||
Equinix, Inc. REIT | 2,119 | 1,513,347 | ||
Equity LifeStyle Properties, Inc. REIT | 9,466 | 599,766 | ||
Essential Properties Realty Trust, Inc. REIT | 150,858 | 3,198,190 | ||
Essex Property Trust, Inc. REIT | 12,960 | 3,076,963 | ||
Extra Space Storage, Inc. REIT | 49,447 | 5,728,929 | ||
First Industrial Realty Trust, Inc. REIT | 31,130 | 1,311,507 | ||
Healthpeak Properties, Inc. REIT | 80,159 | 2,423,207 | ||
Highwoods Properties, Inc. REIT | 35,866 | 1,421,370 | ||
Howard Hughes Corporation (The)* | 27,928 | 2,204,357 | ||
Invitation Homes, Inc. REIT | 120,294 | 3,572,732 | ||
Kimco Realty Corporation REIT | 125,817 | 1,888,513 | ||
Life Storage, Inc. REIT | 44,850 | 5,354,641 | ||
Medical Properties Trust, Inc. REIT | 86,795 | 1,891,263 | ||
Mid-America Apartment Communities, Inc. REIT | 34,274 | 4,342,173 | ||
NETSTREIT CorporationΔ | 32,947 | 642,137 | ||
New Senior Investment Group, Inc. REIT | 46,606 | 241,419 | ||
Omega Healthcare Investors, Inc. REIT | 48,725 | 1,769,692 | ||
Park Hotels & Resorts, Inc. REIT | 168,799 | 2,894,903 | ||
Pebblebrook Hotel Trust REIT | 68,304 | 1,284,115 | ||
Physicians Realty Trust REIT | 72,801 | 1,295,858 | ||
Piedmont Office Realty Trust, Inc. Class A REIT | 76,375 | 1,239,566 | ||
Prologis, Inc. REIT | 100,956 | 10,061,275 | ||
QTS Realty Trust, Inc. Class A REITΔ | 25,360 | 1,569,277 | ||
Realty Income Corporation REIT | 42,602 | 2,648,566 | ||
Retail Properties of America, Inc. Class A REIT | 87,742 | 751,072 | ||
Rexford Industrial Realty, Inc. REIT | 73,072 | 3,588,566 | ||
Ryman Hospitality Properties, Inc. REIT | 1,053 | 71,351 | ||
Sabra Health Care REIT, Inc. | 92,121 | 1,600,142 | ||
Simon Property Group, Inc. REIT | 55,350 | 4,720,248 | ||
SITE Centers Corporation REIT | 163,066 | 1,650,228 | ||
SL Green Realty Corporation REIT | 45,340 | 2,701,357 |
Shares | Value | |||
STORE Capital Corporation REIT | 76,041 | $ 2,583,873 | ||
Sun Communities, Inc. REIT | 34,888 | 5,301,232 | ||
Sunstone Hotel Investors, Inc. REIT | 74,427 | 843,258 | ||
UDR, Inc. REIT | 59,606 | 2,290,659 | ||
Ventas, Inc. REIT | 46,113 | 2,261,381 | ||
Weingarten Realty Investors REIT | 51,382 | 1,113,448 | ||
Welltower, Inc. REIT | 110,654 | 7,150,461 | ||
Weyerhaeuser Co. REIT | 64,776 | 2,171,939 | ||
132,926,806 | ||||
Total Common Stocks (Cost $121,443,104) | 132,926,806 | |||
FOREIGN COMMON STOCKS — 44.6% | ||||
Australia — 4.1% | ||||
Dexus REIT | 110,858 | 803,380 | ||
Goodman Group REIT | 69,795 | 1,017,518 | ||
GPT Group (The) REIT (Athens Exchange) | 438,060 | 1,519,751 | ||
Growthpoint Properties Australia, Ltd. REIT | 155,877 | 419,405 | ||
Ingenia Communities Group REIT | 115,114 | 436,636 | ||
Mirvac Group REIT | 899,989 | 1,831,755 | ||
Scentre Group REIT | 848,197 | 1,817,891 | ||
Stockland REIT | 317,338 | 1,022,644 | ||
Vicinity Centres REIT | 670,453 | 829,602 | ||
Waypoint REIT | 381,935 | 803,856 | ||
10,502,438 | ||||
Austria — 0.2% | ||||
CA Immobilien Anlagen AG | 10,820 | 412,345 | ||
Belgium — 1.1% | ||||
Aedifica SA REIT | 11,838 | 1,421,604 | ||
VGP NV | 2,113 | 316,473 | ||
Warehouses De Pauw CVA REIT | 33,496 | 1,156,411 | ||
2,894,488 | ||||
Canada — 2.7% | ||||
Canadian Apartment Properties REIT | 54,343 | 2,134,187 | ||
Dream Office REIT | 32,963 | 512,740 | ||
Granite REIT | 23,776 | 1,455,064 | ||
Minto Apartment REIT | 63,160 | 1,010,739 | ||
RioCan REIT | 66,855 | 879,740 | ||
Summit Industrial Income REIT | 94,575 | 1,014,179 | ||
7,006,649 | ||||
France — 1.2% | ||||
Gecina SA REIT | 17,964 | 2,771,745 | ||
Klepierre REITΔ | 17,480 | 392,708 | ||
3,164,453 | ||||
Germany — 6.1% | ||||
alstria office REIT-AG | 47,239 | 859,455 | ||
Aroundtown SAΔ | 132,107 | 984,981 | ||
Deutsche Wohnen SE | 88,612 | 4,727,874 | ||
LEG Immobilien AG | 4,776 | 740,972 | ||
Vonovia SE | 115,597 | 8,442,522 | ||
15,755,804 |
Shares | Value | |||
Hong Kong — 5.5% | ||||
CK Asset Holdings, Ltd. | 384,283 | $ 1,972,855 | ||
GDS Holdings, Ltd. Class A* | 31,390 | 365,831 | ||
Hysan Development Co., Ltd. | 200,368 | 735,312 | ||
Link REIT | 376,061 | 3,424,712 | ||
New World Development Co., Ltd. | 117,328 | 546,349 | ||
Sun Hung Kai Properties, Ltd. | 303,057 | 3,909,177 | ||
SUNeVision Holdings, Ltd. | 40,000 | 36,376 | ||
Swire Properties, Ltd. | 435,052 | 1,265,461 | ||
Wharf Holdings, Ltd. (The) | 172,314 | 463,434 | ||
Wharf Real Estate Investment Co., Ltd. | 255,000 | 1,327,225 | ||
14,046,732 | ||||
Japan — 10.8% | ||||
Activia Properties, Inc. REIT | 470 | 1,986,291 | ||
Daibiru Corporation | 76,700 | 971,895 | ||
Daiwa House REIT Investment Corporation | 286 | 707,526 | ||
Daiwa Securities Living Investments Corporation REIT | 1,067 | 990,521 | ||
Global One Real Estate Investment Corporation REIT | 1,266 | 1,286,473 | ||
GLP J-REIT | 596 | 940,495 | ||
Hulic Reit, Inc. | 1,238 | 1,848,397 | ||
Invincible Investment Corporation REIT | 1,505 | 484,508 | ||
Japan Prime Realty Investment Corporation REIT | 264 | 875,672 | ||
Japan Real Estate Investment Corporation REITΔ | 202 | 1,167,226 | ||
Japan Retail Fund Investment Corporation REIT | 345 | 627,882 | ||
Kenedix Retail REIT Corporation | 652 | 1,591,067 | ||
LaSalle Logiport REIT | 345 | 556,721 | ||
Mitsubishi Estate Co., Ltd. | 233,310 | 3,749,955 | ||
Mitsui Fudosan Co., Ltd. | 190,074 | 3,980,068 | ||
Mori Hills Investment Corporation REIT | 407 | 561,286 | ||
Mori Trust Hotel Reit, Inc. | 1,094 | 1,221,827 | ||
Mori Trust Sogo REIT, Inc. | 798 | 1,029,215 | ||
Nomura Real Estate Master Fund, Inc. REIT | 835 | 1,194,921 | ||
Sumitomo Realty & Development Co., Ltd. | 27,901 | 861,382 | ||
Tokyu Fudosan Holdings Corporation | 185,500 | 990,869 | ||
27,624,197 | ||||
Netherlands — 1.1% | ||||
Unibail-Rodamco-Westfield REITΔ | 36,116 | 2,849,342 | ||
Singapore — 2.9% | ||||
Ascendas India TrustΔ | 446,900 | 466,648 | ||
CapitaLand Integrated Commercial Trust REIT | 1,024,800 | 1,674,915 | ||
CapitaLand, Ltd. | 505,404 | 1,254,332 | ||
Frasers Centrepoint Trust REIT | 358,183 | 666,715 | ||
Frasers Logistics & Commercial Trust REIT | 1,259,511 | 1,343,758 |
Shares | Value | |||
Mapletree Industrial Trust REIT | 623,557 | $ 1,363,559 | ||
UOL Group, Ltd. | 108,927 | 635,462 | ||
7,405,389 | ||||
Spain — 0.7% | ||||
Arima Real Estate SOCIMI SA REIT* | 45,187 | 458,182 | ||
Inmobiliaria Colonial Socimi SA REIT | 85,054 | 833,848 | ||
Merlin Properties Socimi SA REIT | 61,947 | 588,771 | ||
1,880,801 | ||||
Sweden — 2.4% | ||||
Castellum AB | 53,426 | 1,361,869 | ||
Fabege AB | 157,089 | 2,481,847 | ||
Fastighets AB Balder, B Shares* | 28,813 | 1,504,452 | ||
Nyfosa AB* | 66,553 | 664,887 | ||
6,013,055 | ||||
Switzerland — 0.3% | ||||
PSP Swiss Property AG | 6,517 | 868,185 | ||
United Kingdom — 5.5% | ||||
Big Yellow Group PLC REIT | 53,208 | 798,198 | ||
British Land Co. PLC (The) REIT | 341,817 | 2,285,756 | ||
Derwent London PLC REIT | 21,559 | 912,761 | ||
Grainger PLC | 325,995 | 1,264,284 | ||
Great Portland Estates PLC REIT | 76,230 | 696,353 | ||
Land Securities Group PLC REIT | 33,740 | 310,888 | ||
Primary Health Properties PLC REIT | 157,815 | 329,761 | ||
PRS REIT PLC (The) | 342,411 | 359,614 | ||
Safestore Holdings PLC REIT | 23,471 | 250,353 | ||
Segro PLC REIT | 226,774 | 2,938,635 | ||
Shaftesbury PLC REIT | 20,951 | 163,021 | ||
Tritax Big Box REIT PLC | 244,252 | 560,811 | ||
Tritax EuroBox PLC 144A | 300,388 | 398,161 | ||
UNITE Group PLC (The) REIT* | 150,112 | 2,145,157 | ||
Workspace Group PLC REIT | 55,566 | 584,336 | ||
13,998,089 | ||||
Total Foreign Common Stocks (Cost $102,443,958) | 114,421,967 | |||
MONEY MARKET FUNDS — 3.0% | ||||
GuideStone Money Market Fund, 0.00% (Institutional Class)Ø∞ | 7,708,692 | 7,708,692 | ||
Northern Institutional Liquid Assets Portfolio (Shares), 0.08%ا | 12,000 | 12,000 | ||
Total Money Market Funds (Cost $7,720,692) | 7,720,692 | |||
TOTAL INVESTMENTS — 99.5% (Cost $231,607,754) | 255,069,465 | |||
Other Assets in Excess of Liabilities — 0.5% | 1,367,760 | |||
NET ASSETS — 100.0% | $256,437,225 |
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 | 03/2021 | 41 | $9,444,350 | $100,918 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Common Stocks | $132,926,806 | $132,926,806 | $ — | $ — | |||
Foreign Common Stocks: | |||||||
Austria | 412,345 | — | 412,345 | — | |||
Germany | 15,755,804 | — | 15,755,804 | — | |||
Japan | 27,624,197 | — | 27,624,197 | — | |||
Sweden | 6,013,055 | — | 6,013,055 | — | |||
Switzerland | 868,185 | — | 868,185 | — | |||
Other ^^ | 63,748,381 | 63,748,381 | — | — | |||
Total Foreign Common Stocks | 114,421,967 | 63,748,381 | 50,673,586 | — | |||
Money Market Funds | 7,720,692 | 7,720,692 | — | — | |||
Total Assets - Investments in Securities | $255,069,465 | $204,395,879 | $50,673,586 | $ — | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $ 100,918 | $ 100,918 | $ — | $ — | |||
Total Assets - Other Financial Instruments | $ 100,918 | $ 100,918 | $ — | $ — |
^^ | 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. |
STATEMENTS OF ASSETS AND LIABILITIES | December 31, 2020 |
Global Real Estate Securities Fund | |
Assets | |
Investments in securities of unaffiliated issuers, at value | $247,360,773 |
Investments in securities of affiliated issuers, at value | 7,708,692 |
Total investments, at value(1), (2) | 255,069,465 |
Deposits with broker for futures contracts | 622,717 |
Foreign currency(3) | 195,827 |
Receivables: | |
Dividends and reclaims | 979,671 |
Securities lending | 6,108 |
Investment securities sold | 869,667 |
Fund shares sold | 66,994 |
Variation margin on futures contracts | 16,810 |
Prepaid expenses and other assets | 7,403 |
Total Assets | 257,834,662 |
Liabilities | |
Collateral held for securities on loan, at value | 12,000 |
Payables: | |
Investment securities purchased | 954,129 |
Fund shares redeemed | 122,603 |
Accrued expenses: | |
Investment advisory fees | 144,391 |
Shareholder servicing fees | 17,022 |
Trustee fees | 113 |
Other expenses | 147,179 |
Total Liabilities | 1,397,437 |
Net Assets | $256,437,225 |
Net Assets Consist of: | |
Paid-in-capital | $262,473,939 |
Distributable earnings (loss) | (6,036,714) |
Net Assets | $256,437,225 |
Net Asset Value: | |
$0.001 par value, unlimited shares authorized | |
Net assets applicable to the Institutional Class | $175,384,608 |
Institutional shares outstanding | 18,526,451 |
Net asset value, offering and redemption price per Institutional share | $ 9.47 |
Net assets applicable to the Investor Class | $ 81,052,617 |
Investor shares outstanding | 8,526,381 |
Net asset value, offering and redemption price per Investor share | $ 9.51 |
(1)Investments in securities of unaffiliated issuers, at cost | $223,899,062 |
Investments in securities of affiliated issuers, at cost | 7,708,692 |
Total investments, at cost | $231,607,754 |
(2)Includes securities loaned of: | $ 7,173,339 |
(3)Foreign currency, at cost | $ 194,477 |
STATEMENTS OF OPERATIONS | For the Year Ended December 31, 2020 |
Global Real Estate Securities Fund | |
Investment Income | |
Dividends | $ 6,740,906 |
Income distributions received from affiliated funds | 30,876 |
Interest | 731 |
Securities lending, net | 71,374 |
Less foreign taxes withheld | (238,398) |
Total Investment Income | 6,605,489 |
Expenses | |
Investment advisory fees | 1,584,840 |
Transfer agent fees: | |
Institutional shares | 4,728 |
Investor shares | 15,926 |
Custodian fees | 171,931 |
Shareholder servicing fees: | |
Investor shares | 212,207 |
Accounting and administration fees | 51,083 |
Professional fees | 102,387 |
Shareholder reporting fees: | |
Institutional shares | 1,572 |
Investor shares | 3,177 |
Trustees expenses | 654 |
Line of credit facility fees | 613 |
Other expenses | 105,461 |
Total Expenses | 2,254,579 |
Fees paid indirectly | (17,720) |
Net Expenses | 2,236,859 |
Net Investment Income | 4,368,630 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss) from: | |
Investment securities | (19,436,846) |
Futures transactions | 1,605,171 |
Forward foreign currency contracts | (736) |
Foreign currency | 67,306 |
Net realized loss | (17,765,105) |
Net change in unrealized appreciation (depreciation) on: | |
Investment securities | 1,249,370 |
Futures | 4,338 |
Foreign currency | 3,385 |
Net change in unrealized appreciation (depreciation) | 1,257,093 |
Net Realized and Unrealized Loss | (16,508,012) |
Net Decrease in Net Assets Resulting from Operations | $(12,139,382) |
STATEMENTS OF CHANGES IN NET ASSETS |
Global Real Estate Securities Fund | |||
For the Year Ended | |||
12/31/20 | 12/31/19 | ||
Operations: | |||
Net investment income | $ 4,368,630 | $ 4,994,544 | |
Net realized gain (loss) on investment securities, foreign currency and derivatives | (17,765,105) | 16,506,863 | |
Net change in unrealized appreciation (depreciation) on investment securities, foreign currency and derivatives | 1,257,093 | 31,091,570 | |
Net increase (decrease) in net assets resulting from operations | (12,139,382) | 52,592,977 | |
Distributions to Shareholders: | |||
Institutional shares | (4,221,953) | (11,663,016) | |
Investor shares | (2,121,821) | (7,460,096) | |
Total distributions | (6,343,774) | (19,123,112) | |
Capital Share Transactions: | |||
Proceeds from shares sold | |||
Institutional shares | 30,682,021 | 21,320,503 | |
Investor shares | 17,283,750 | 30,357,678 | |
Reinvestment of dividends and distributions | |||
Institutional shares | 4,189,261 | 11,610,021 | |
Investor shares | 2,106,503 | 7,408,256 | |
Total proceeds from shares sold and reinvested | 54,261,535 | 70,696,458 | |
Value of shares redeemed | |||
Institutional shares | (9,850,171) | (26,971,710) | |
Investor shares | (33,326,479) | (28,833,472) | |
Total value of shares redeemed | (43,176,650) | (55,805,182) | |
Net increase from capital share transactions(1) | 11,084,885 | 14,891,276 | |
Total increase (decrease) in net assets | (7,398,271) | 48,361,141 | |
Net Assets: | |||
Beginning of Year | 263,835,496 | 215,474,355 | |
End of Year | $256,437,225 | $263,835,496 |
(1) | See Note 6 in Notes to Financial Statements. |
FINANCIAL HIGHLIGHTS |
For a Share Outstanding For the Years Ending December 31, unless otherwise indicated | Ratios to Average Net Assets | |||||||||||||
Net Asset Value, Beginning of Year | Net Investment Income# | Realized and Unrealized Gain (Loss) on Investments | Total Income From Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Capital Gains | Total Distributions Paid | Net Asset Value, End of Year | Total Return | Net Assets, End of Year (000) | Expenses, Net | Expenses, Gross | Investment Income, Net | Portfolio Turnover Rate | |
Global Real Estate Securities Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2020 | $10.21 | $0.18 | $(0.67) | $(0.49) | $(0.18) | $(0.07) | $(0.25) | $ 9.47 | (4.54)% | $175,384 | 0.86%(1) | 0.87% | 1.98% | 141% |
2019 | 8.83 | 0.22 | 1.95 | 2.17 | (0.61) | (0.18) | (0.79) | 10.21 | 24.87 | 159,523 | 0.82(1) | 0.83 | 2.13 | 118 |
2018 | 9.69 | 0.21 | (0.65) | (0.44) | (0.42) | — | (0.42) | 8.83 | (4.70) | 133,341 | 0.86(1) | 0.87 | 2.26 | 128 |
2017 | 9.10 | 0.27 | 0.73 | 1.00 | (0.41) | — | (0.41) | 9.69 | 11.05 | 133,656 | 0.87(1) | 0.88 | 2.86 | 138 |
2016 | 9.46 | 0.20 | 0.18(2) | 0.38 | (0.50) | (0.24) | (0.74) | 9.10 | 4.07 | 123,574 | 0.88(1) | 0.90 | 2.07 | 130 |
Investor Class | ||||||||||||||
2020 | $10.25 | $0.15 | $(0.67) | $(0.52) | $(0.15) | $(0.07) | $(0.22) | $ 9.51 | (4.79)% | $ 81,053 | 1.13%(1) | 1.14% | 1.68% | 141% |
2019 | 8.87 | 0.19 | 1.95 | 2.14 | (0.58) | (0.18) | (0.76) | 10.25 | 24.42 | 104,312 | 1.09(1) | 1.10 | 1.87 | 118 |
2018 | 9.72 | 0.19 | (0.65) | (0.46) | (0.39) | — | (0.39) | 8.87 | (4.86) | 82,133 | 1.14(1) | 1.15 | 1.97 | 128 |
2017 | 9.13 | 0.24 | 0.73 | 0.97 | (0.38) | — | (0.38) | 9.72 | 10.72 | 97,741 | 1.12(1) | 1.13 | 2.56 | 138 |
2016 | 9.49 | 0.16 | 0.19(2) | 0.35 | (0.47) | (0.24) | (0.71) | 9.13 | 3.78 | 100,810 | 1.14(1) | 1.19 | 1.68 | 130 |
# | Calculated using the average shares outstanding method. |
(1) | 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 2016, 2017, 2018, 2019 and 2020. |
(2) | 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. |
% | |
Money Market Funds | 47.0 |
Corporate Bonds | 23.9 |
U.S. Treasury Obligations | 14.0 |
Mortgage-Backed Securities | 9.5 |
Foreign Bonds | 4.5 |
Asset-Backed Securities | 4.1 |
Loan Agreements | 1.6 |
Certificates Of Deposit | 0.3 |
Communication Services | 0.1 |
Rights | —** |
Written Options | (0.1) |
104.9 | |
**Rounds to less than 0.05% |
Average Annual Total Returns as of 12/31/20 | |||||||
Institutional Class* | Investor Class* | Benchmark** | |||||
One Year | (0.20%) | (0.51%) | 0.54% | ||||
Five Year | N/A | N/A | N/A | ||||
Ten year | N/A | N/A | N/A | ||||
Since Inception | 1.77% | 1.48% | 1.45% | ||||
Inception Date | 06/30/17 | 06/30/17 | |||||
Total Fund Operating Expenses (May 1, 2020 Prospectus)(1) | 1.17% | 1.51% |
(1) | Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights. |
Par | Value | |||
ASSET-BACKED SECURITIES — 4.1% | ||||
American Express Credit Account Master Trust, Series 2017-2, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.45%), 0.61%, 09/16/24† | $1,165,000 | $1,170,271 | ||
American Express Credit Account Master Trust, Series 2019-4, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.24%), 0.40%, 04/15/24† | 500,000 | 501,237 | ||
Capital One Multi-Asset Execution Trust, Series 2016-A7, Class A7 | ||||
(Floating, ICE LIBOR USD 1M + 0.51%), 0.67%, 09/16/24† | 791,000 | 795,278 | ||
Capital One Prime Auto Receivables Trust, Series 2019-1, Class A2 | ||||
2.58%, 04/15/22 | 47,009 | 47,108 | ||
CARDS II Trust, Series 2019-1A, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.39%), 0.55%, 05/15/24 144A † | 370,000 | 370,798 | ||
Chase Issuance Trust, Series 2016-A3, Class A3 | ||||
(Floating, ICE LIBOR USD 1M + 0.55%), 0.71%, 06/15/23† | 500,000 | 501,270 | ||
Chase Issuance Trust, Series 2017-A2, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.40%), 0.56%, 03/15/24† | 1,125,000 | 1,130,904 | ||
Citibank Credit Card Issuance Trust, Series 2016-A3, Class A3 | ||||
(Floating, ICE LIBOR USD 1M + 0.49%), 0.64%, 12/07/23† | 1,125,000 | 1,129,770 | ||
Evergreen Credit Card Trust, Series 2019-1, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.48%), 0.64%, 01/15/23 144A † | 1,080,000 | 1,080,184 | ||
Ford Credit Auto Lease Trust, Series 2019-B, Class A2B | ||||
(Floating, ICE LIBOR USD 1M + 0.26%), 0.42%, 02/15/22† | 90,634 | 90,650 | ||
Ford Credit Auto Owner Trust, Series 2019-A, Class A2A | ||||
2.78%, 02/15/22 | 1,107 | 1,108 | ||
Ford Credit Auto Owner Trust, Series 2019-B, Class A2B | ||||
(Floating, ICE LIBOR USD 1M + 0.24%), 0.40%, 02/15/22† | 21,105 | 21,105 | ||
Ford Credit Auto Owner Trust, Series 2020-A, Class A2 | ||||
1.03%, 10/15/22 | 68,859 | 69,052 | ||
Golden Credit Card Trust, Series 2017-4A, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.52%, 0.52% Floor), 0.68%, 07/15/24 144A † | 500,000 | 502,649 | ||
Golden Credit Card Trust, Series 2019-2A, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.35%, 0.35% Floor), 0.51%, 10/15/23 144A † | 380,000 | 380,685 |
Par | Value | |||
Hyundai Auto Lease Securitization Trust, Series 2020-A, Class A2 | ||||
1.90%, 05/16/22 144A | $ 531,207 | $ 533,760 | ||
Hyundai Auto Lease Securitization Trust, Series 2020-B, Class A2 | ||||
0.36%, 01/17/23 144A | 650,000 | 650,734 | ||
Mercedes-Benz Auto Lease Trust, Series 2020-B, Class A2 | ||||
0.31%, 02/15/23 | 610,000 | 610,437 | ||
Navient Student Loan Trust, Series 2019-1A, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.33%), 0.48%, 12/27/67 144A † | 39,212 | 39,218 | ||
Navient Student Loan Trust, Series 2019-4A, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.28%), 0.43%, 07/25/68 144A † | 340,019 | 338,742 | ||
Navient Student Loan Trust, Series 2019-7A, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.50%, 0.50% Floor), 0.65%, 01/25/68 144A † | 499,724 | 500,410 | ||
Nissan Auto Receivables Owners Trust, Series 2019-C, Class A2B | ||||
(Floating, ICE LIBOR USD 1M + 0.24%), 0.40%, 09/15/22† | 237,372 | 237,523 | ||
Tesla Auto Lease Trust, Series 2020-A, Class A2 | ||||
0.55%, 05/22/23 144A | 483,705 | 484,651 | ||
Verizon Owner Trust, Series 2019-A, Class A1B | ||||
(Floating, ICE LIBOR USD 1M + 0.33%), 0.48%, 09/20/23† | 605,000 | 606,184 | ||
Verizon Owner Trust, Series 2019-B, Class A1B | ||||
(Floating, ICE LIBOR USD 1M + 0.45%), 0.60%, 12/20/23† | 525,000 | 526,944 | ||
Volkswagen Auto Lease Trust, Series 2020-A, Class A2 | ||||
0.27%, 04/20/23 | 500,000 | 500,262 | ||
Volkswagen Auto Loan Enhanced Trust, Series 2020-1, Class A2A | ||||
0.93%, 12/20/22 | 770,591 | 772,603 | ||
Total Asset-Backed Securities (Cost $13,565,558) | 13,593,537 | |||
CERTIFICATES OF DEPOSIT — 0.3% | ||||
US Bank NA | ||||
(Floating, ICE LIBOR USD 3M + 0.40%), 0.63%, 12/09/22† (Cost $1,100,000) | 1,100,000 | 1,105,951 | ||
CORPORATE BONDS — 23.9% | ||||
Alliance Data Systems Corporation | ||||
7.00%, 01/15/26 144A | 1,250,000 | 1,324,594 | ||
AMC Networks, Inc. | ||||
5.00%, 04/01/24 | 1,500,000 | 1,526,250 | ||
American Express Co. | ||||
(Floating, ICE LIBOR USD 3M + 0.62%), 0.84%, 05/20/22† | 140,000 | 140,913 |
Par | Value | |||
(Floating, ICE LIBOR USD 3M + 0.65%), 0.88%, 02/27/23† | $ 820,000 | $ 827,290 | ||
American Honda Finance Corporation | ||||
(Floating, ICE LIBOR USD 3M + 0.35%), 0.57%, 11/05/21† | 1,379,000 | 1,382,514 | ||
AmeriGas Partners LP | ||||
5.63%, 05/20/24 | 350,000 | 378,000 | ||
5.50%, 05/20/25 | 1,250,000 | 1,387,500 | ||
APX Group, Inc. | ||||
7.88%, 12/01/22 | 552,000 | 554,415 | ||
8.50%, 11/01/24 | 1,500,000 | 1,580,467 | ||
Aramark Services, Inc. | ||||
6.38%, 05/01/25 144A | 250,000 | 267,500 | ||
AT&T, Inc. | ||||
(Floating, ICE LIBOR USD 3M + 0.95%), 1.19%, 07/15/21† | 1,145,000 | 1,150,216 | ||
(Floating, ICE LIBOR USD 3M + 0.89%), 1.11%, 02/15/23† | 40,000 | 40,486 | ||
Bank of America Corporation | ||||
(Floating, ICE LIBOR USD 3M + 1.00%), 1.21%, 04/24/23† | 1,470,000 | 1,485,444 | ||
BMW US Capital LLC | ||||
(Floating, ICE LIBOR USD 3M + 0.41%), 0.63%, 04/12/21 144A † | 245,000 | 245,174 | ||
(Floating, ICE LIBOR USD 3M + 0.50%), 0.71%, 08/13/21 144A † | 500,000 | 501,216 | ||
Brink's Co. (The) | ||||
5.50%, 07/15/25 144A | 400,000 | 427,750 | ||
Bristol-Myers Squibb Co. | ||||
(Floating, ICE LIBOR USD 3M + 0.38%), 0.60%, 05/16/22† | 1,000,000 | 1,003,650 | ||
Capital One Financial Corporation | ||||
(Floating, ICE LIBOR USD 3M + 0.95%), 1.18%, 03/09/22† | 560,000 | 564,461 | ||
Caterpillar Financial Services Corporation | ||||
(Floating, ICE LIBOR USD 3M + 0.74%), 0.96%, 05/13/22† | 1,155,000 | 1,165,382 | ||
CCO Holdings LLC | ||||
5.75%, 02/15/26 144A | 1,000,000 | 1,033,100 | ||
CenturyLink, Inc. | ||||
5.80%, 03/15/22 | 1,000,000 | 1,044,375 | ||
Cheniere Energy Partners LP | ||||
5.25%, 10/01/25 | 1,000,000 | 1,027,250 | ||
Chevron USA, Inc. | ||||
(Floating, ICE LIBOR USD 3M + 0.11%), 0.32%, 08/12/22† | 550,000 | 550,448 | ||
Cigna Corporation | ||||
(Floating, ICE LIBOR USD 3M + 0.65%), 0.88%, 09/17/21† | 295,000 | 295,047 | ||
CIT Group, Inc. | ||||
5.00%, 08/15/22 | 500,000 | 530,720 | ||
Citigroup, Inc. | ||||
(Floating, ICE LIBOR USD 3M + 0.96%), 1.17%, 04/25/22† | 117,000 | 118,064 | ||
(Floating, ICE LIBOR USD 3M + 0.69%), 0.91%, 10/27/22† | 885,000 | 891,735 | ||
(Floating, ICE LIBOR USD 3M + 0.95%), 1.16%, 07/24/23† | 185,000 | 186,727 |
Par | Value | |||
CNH Industrial Capital LLC | ||||
4.38%, 04/05/22 | $ 750,000 | $ 784,575 | ||
Colfax Corporation | ||||
6.00%, 02/15/24 144A | 500,000 | 519,385 | ||
Crown Americas LLC | ||||
4.50%, 01/15/23 | 450,000 | 475,934 | ||
CVR Energy, Inc. | ||||
5.25%, 02/15/25 144A | 700,000 | 676,812 | ||
CVS Health Corporation | ||||
(Floating, ICE LIBOR USD 3M + 0.72%), 0.95%, 03/09/21† | 1,320,000 | 1,321,564 | ||
Daimler Finance North America LLC | ||||
(Floating, ICE LIBOR USD 3M + 0.90%), 1.12%, 02/15/22 144A † | 1,240,000 | 1,249,538 | ||
Dell International LLC | ||||
5.88%, 06/15/21 144A | 330,000 | 331,007 | ||
7.13%, 06/15/24 144A | 1,250,000 | 1,297,656 | ||
Duke Energy Florida LLC | ||||
(Floating, ICE LIBOR USD 3M + 0.25%), 0.48%, 11/26/21† | 205,000 | 205,356 | ||
Duke Energy Progress LLC | ||||
(Floating, ICE LIBOR USD 3M + 0.18%), 0.40%, 02/18/22† | 250,000 | 250,048 | ||
Eastern Energy Gas Holdings LLC | ||||
(Floating, ICE LIBOR USD 3M + 0.60%), 0.82%, 06/15/21† | 985,000 | 987,297 | ||
EQM Midstream Partners LP | ||||
6.00%, 07/01/25 144A | 500,000 | 548,125 | ||
ESH Hospitality, Inc. REIT | ||||
5.25%, 05/01/25 144A | 850,000 | 872,504 | ||
Florida Power & Light Co. | ||||
(Floating, ICE LIBOR USD 3M + 0.38%), 0.60%, 07/28/23† | 730,000 | 730,155 | ||
Ford Motor Co. | ||||
8.50%, 04/21/23 | 1,500,000 | 1,690,657 | ||
9.00%, 04/22/25 | 700,000 | 859,106 | ||
Ford Motor Credit Co. LLC | ||||
5.13%, 06/16/25 | 250,000 | 272,138 | ||
Fortress Transportation and Infrastructure Investors LLC | ||||
6.50%, 10/01/25 144A | 250,000 | 262,189 | ||
GameStop Corporation | ||||
10.00%, 03/15/23 144A | 300,000 | 305,139 | ||
Gilead Sciences, Inc. | ||||
(Floating, ICE LIBOR USD 3M + 0.52%), 0.77%, 09/29/23† | 430,000 | 431,236 | ||
Goldman Sachs Group, Inc. (The) | ||||
(Floating, ICE LIBOR USD 3M + 0.75%), 0.96%, 02/23/23† | 1,410,000 | 1,423,583 | ||
Goodyear Tire & Rubber Co. (The) | ||||
9.50%, 05/31/25 | 1,250,000 | 1,414,437 | ||
Hillenbrand, Inc. | ||||
5.75%, 06/15/25 | 500,000 | 540,938 | ||
Honeywell International, Inc. | ||||
(Floating, ICE LIBOR USD 3M + 0.23%), 0.46%, 08/19/22† | 275,000 | 275,301 | ||
Hughes Satellite Systems Corporation | ||||
7.63%, 06/15/21 | 1,000,000 | 1,026,250 |
Par | Value | |||
Intercontinental Exchange, Inc. | ||||
(Floating, ICE LIBOR USD 3M + 0.65%), 0.87%, 06/15/23† | $ 890,000 | $ 892,666 | ||
JBS USA LUX SA | ||||
5.75%, 06/15/25 144A | 1,000,000 | 1,035,000 | ||
John Deere Capital Corporation | ||||
(Floating, ICE LIBOR USD 3M + 0.48%), 0.71%, 09/08/22† | 250,000 | 251,396 | ||
JPMorgan Chase & Co. | ||||
(Floating, ICE LIBOR USD 3M + 1.00%), 1.24%, 01/15/23† | 965,000 | 973,259 | ||
(Floating, ICE LIBOR USD 3M + 0.90%), 1.11%, 04/25/23† | 425,000 | 429,144 | ||
KFC Holding Co. | ||||
5.25%, 06/01/26 144A | 1,000,000 | 1,039,375 | ||
Kraton Polymers LLC | ||||
4.25%, 12/15/25 144A | 150,000 | 153,203 | ||
LD Holdings Group LLC | ||||
6.50%, 11/01/25 144A | 850,000 | 896,750 | ||
Level 3 Financing, Inc. | ||||
5.38%, 01/15/24 | 750,000 | 758,584 | ||
LogMeIn, Inc. | ||||
5.50%, 09/01/27 144A | 500,000 | 524,375 | ||
LPL Holdings, Inc. | ||||
5.75%, 09/15/25 144A | 600,000 | 622,152 | ||
Mattel, Inc. | ||||
6.75%, 12/31/25 144A | 1,000,000 | 1,056,470 | ||
Meritor, Inc. | ||||
6.25%, 02/15/24 | 193,000 | 197,443 | ||
6.25%, 06/01/25 144A | 200,000 | 216,500 | ||
Morgan Stanley | ||||
(Floating, U.S. SOFR + 0.70%), 0.79%, 01/20/23† | 1,515,000 | 1,520,699 | ||
New Fortress Energy, Inc. | ||||
6.75%, 09/15/25 144A | 1,500,000 | 1,596,082 | ||
New York Life Global Funding | ||||
(Floating, ICE LIBOR USD 3M + 0.44%), 0.66%, 07/12/22 144A † | 815,000 | 820,172 | ||
Newmark Group, Inc. | ||||
6.13%, 11/15/23 | 500,000 | 544,167 | ||
Nielsen Co Luxembourg S.a.r.l. (The) | ||||
5.50%, 10/01/21 144A | 149,000 | 149,792 | ||
NuStar Logistics LP | ||||
5.75%, 10/01/25 | 1,000,000 | 1,066,500 | ||
Otis Worldwide Corporation | ||||
(Floating, ICE LIBOR USD 3M + 0.45%), 0.69%, 04/05/23† | 880,000 | 880,241 | ||
Outfront Media Capital LLC | ||||
6.25%, 06/15/25 144A | 250,000 | 264,219 | ||
PBF Holding Co. LLC | ||||
9.25%, 05/15/25 144A | 750,000 | 740,494 | ||
7.25%, 06/15/25 | 2,100,000 | 1,365,231 | ||
PBF Logistics LP | ||||
6.88%, 05/15/23 | 550,000 | 528,000 | ||
PennyMac Financial Services, Inc. | ||||
5.38%, 10/15/25 144A | 500,000 | 529,375 | ||
Picasso Finance Sub, Inc. | ||||
6.13%, 06/15/25 144A | 250,000 | 267,863 |
Par | Value | |||
PowerTeam Services LLC | ||||
9.03%, 12/04/25 144A | $1,350,000 | $1,505,398 | ||
Prime Security Services Borrower LLC | ||||
5.25%, 04/15/24 144A | 500,000 | 534,375 | ||
PulteGroup, Inc. | ||||
4.25%, 03/01/21 | 1,000,000 | 1,005,000 | ||
Rattler Midstream LP | ||||
5.63%, 07/15/25 144A | 400,000 | 423,250 | ||
Realogy Group LLC | ||||
4.88%, 06/01/23 144A | 250,000 | 255,469 | ||
7.63%, 06/15/25 144A | 500,000 | 543,617 | ||
RP Escrow Issuer LLC | ||||
5.25%, 12/15/25 144A | 250,000 | 261,578 | ||
Sally Holdings LLC | ||||
5.63%, 12/01/25 | 200,000 | 205,800 | ||
Shift4 Payments LLC | ||||
4.63%, 11/01/26 144A | 250,000 | 260,625 | ||
Southern California Edison Co. | ||||
(Floating, ICE LIBOR USD 3M + 0.27%), 0.50%, 12/03/21† | 400,000 | 400,224 | ||
Southern California Gas Co. | ||||
(Floating, ICE LIBOR USD 3M + 0.35%), 0.57%, 09/14/23† | 275,000 | 275,062 | ||
Spectrum Brands, Inc. | ||||
5.75%, 07/15/25 | 250,000 | 258,463 | ||
Spirit AeroSystems, Inc. | ||||
7.50%, 04/15/25 144A | 1,200,000 | 1,289,256 | ||
Spirit Loyalty Cayman, Ltd. | ||||
8.00%, 09/20/25 144A | 400,000 | 450,000 | ||
Suburban Propane Partners LP | ||||
5.50%, 06/01/24 | 546,000 | 559,303 | ||
Sunoco LP | ||||
4.88%, 01/15/23 | 1,000,000 | 1,016,245 | ||
Townsquare Media, Inc. | ||||
6.88%, 02/01/26 144A | 250,000 | 262,301 | ||
Toyota Motor Credit Corporation | ||||
(Floating, ICE LIBOR USD 3M + 0.54%), 0.77%, 01/08/21† | 1,350,000 | 1,350,073 | ||
Truist Financial Corporation | ||||
(Floating, ICE LIBOR USD 3M + 0.65%), 0.89%, 04/01/22† | 795,000 | 799,822 | ||
TWDC Enterprises 18 Corporation | ||||
(Floating, ICE LIBOR USD 3M + 0.39%), 0.62%, 03/04/22† | 655,000 | 657,198 | ||
United Shore Financial Services LLC | ||||
5.50%, 11/15/25 144A | 500,000 | 528,125 | ||
Veritas US, Inc. | ||||
7.50%, 02/01/23 144A | 500,000 | 502,138 | ||
7.50%, 09/01/25 144A | 1,600,000 | 1,644,000 | ||
Verizon Communications, Inc. | ||||
(Floating, ICE LIBOR USD 3M + 1.00%), 1.22%, 03/16/22† | 1,400,000 | 1,415,439 | ||
Wells Fargo & Co. | ||||
(Floating, ICE LIBOR USD 3M + 1.11%), 1.32%, 01/24/23† | 1,510,000 | 1,523,263 | ||
Wolverine Escrow LLC | ||||
8.50%, 11/15/24 144A | 500,000 | 477,953 | ||
9.00%, 11/15/26 144A | 500,000 | 474,213 |
Par | Value | |||
XPO Logistics, Inc. | ||||
6.75%, 08/15/24 144A | $ 500,000 | $ 531,875 | ||
6.25%, 05/01/25 144A | 500,000 | 539,008 | ||
Total Corporate Bonds (Cost $77,736,827) | 79,649,843 | |||
FOREIGN BONDS — 4.5% | ||||
Australia — 0.1% | ||||
Westpac Banking Corporation | ||||
(Floating, ICE LIBOR USD 3M + 0.39%), 0.61%, 01/13/23† | 210,000 | 210,756 | ||
Austria — 0.2% | ||||
ams AG | ||||
7.00%, 07/31/25 144A | 500,000 | 544,062 | ||
Canada — 1.6% | ||||
1011778 BC ULC | ||||
4.25%, 05/15/24 144A | 386,000 | 394,106 | ||
Akumin, Inc. | ||||
7.00%, 11/01/25 144A | 600,000 | 632,250 | ||
Bausch Health Cos., Inc. | ||||
7.00%, 03/15/24 144A | 1,750,000 | 1,802,062 | ||
Clarios Global LP | ||||
6.75%, 05/15/25 144A | 250,000 | 269,768 | ||
Quebecor Media, Inc. | ||||
5.75%, 01/15/23 | 250,000 | 270,625 | ||
Royal Bank of Canada | ||||
(Floating, ICE LIBOR USD 3M + 0.47%), 0.68%, 04/29/22† | 1,095,000 | 1,100,549 | ||
Toronto-Dominion Bank (The) | ||||
(Floating, U.S. SOFR + 0.48%), 0.57%, 01/27/23† | 720,000 | 722,922 | ||
5,192,282 | ||||
China — 0.3% | ||||
Global Aircraft Leasing Co., Ltd. | ||||
Cash coupon 6.50% or PIK 7.25%, 09/15/24 144A | 1,054,375 | 943,666 | ||
France — 0.4% | ||||
Banijay Entertainment SASU | ||||
5.38%, 03/01/25 144A | 1,250,000 | 1,299,525 | ||
Ireland — 0.1% | ||||
Fly Leasing, Ltd. | ||||
5.25%, 10/15/24 | 500,000 | 477,187 | ||
Japan — 0.2% | ||||
Aircastle, Ltd. | ||||
5.00%, 04/01/23 | 500,000 | 533,293 | ||
4.40%, 09/25/23 | 250,000 | 265,047 | ||
798,340 | ||||
Netherlands — 0.2% | ||||
OCI NV | ||||
5.25%, 11/01/24 144A | 750,000 | 780,469 | ||
United Kingdom — 1.4% | ||||
AstraZeneca PLC | ||||
(Floating, ICE LIBOR USD 3M + 0.62%), 0.85%, 06/10/22† | 995,000 | 1,002,365 |
Par | Value | |||
Connect Finco S.a.r.l. | ||||
6.75%, 10/01/26 144A | $2,000,000 | $ 2,157,500 | ||
eG Global Finance PLC | ||||
8.50%, 10/30/25 144A | 1,500,000 | 1,599,750 | ||
4,759,615 | ||||
Total Foreign Bonds (Cost $14,540,354) | 15,005,902 | |||
LOAN AGREEMENTS — 1.6% | ||||
APX Group, Inc. Initial Loan | ||||
(Floating, ICE LIBOR USD 1M + 5.00%), 5.15%, 12/31/25† | 979,184 | 975,772 | ||
(Floating, ICE PRIME USD 3M + 4.00%), 7.25%, 12/31/25† | 909 | 906 | ||
Asurion LLC Replacement B-2 Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 6.50%), 6.65%, 08/04/25† | 2,818,182 | 2,845,659 | ||
PetSmart, Inc. Amended Loan | ||||
(Floating, ICE LIBOR USD 3M + 3.50%, 1.00% Floor), 4.50%, 03/11/22† | 621,556 | 623,060 | ||
PG&E Corporation Loan | ||||
(Floating, ICE LIBOR USD 1M + 4.50%, 1.00% Floor), 5.50%, 06/23/25† | 995,000 | 1,008,433 | ||
Total Loan Agreements (Cost $5,393,341) | 5,453,830 | |||
MORTGAGE-BACKED SECURITIES — 9.5% | ||||
BANK, Series 2018-BNK13, Class A1 | ||||
3.22%, 08/15/61 | 910,677 | 934,745 | ||
DBUBS, Series 2011-LC1A, Class A3 | ||||
5.00%, 11/10/46 144A | 57,178 | 57,174 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4248 | ||||
(Floating, 6.00% - ICE LIBOR USD 1M, 6.00% Cap), 5.84%, 09/15/43† IO | 432,738 | 73,579 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4286 | ||||
(Floating, 6.00% - ICE LIBOR USD 1M, 6.00% Cap), 5.84%, 12/15/43† IO | 256,629 | 41,118 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4320 | ||||
(Floating, 6.10% - ICE LIBOR USD 1M, 6.10% Cap), 5.94%, 07/15/39† IO | 1,353,738 | 264,698 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4468 | ||||
(Floating, 6.10% - ICE LIBOR USD 1M, 6.10% Cap), 5.94%, 05/15/45† IO | 449,118 | 93,043 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4583 | ||||
(Floating, 6.00% - ICE LIBOR USD 1M, 6.00% Cap), 5.84%, 05/15/46† IO | 1,061,029 | 175,439 |
Par | Value | |||
Federal Home Loan Mortgage Corporation REMIC, Series 4792 | ||||
(Floating, 6.20% - ICE LIBOR USD 1M, 6.20% Cap), 6.04%, 05/15/48† IO | $ 751,702 | $ 95,624 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4905 | ||||
(Floating, 6.10% - ICE LIBOR USD 1M, 6.10% Cap), 5.95%, 08/25/49† IO | 678,263 | 126,226 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4936 | ||||
5.85%, 12/25/49† IO | 992,264 | 140,985 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4980 | ||||
4.50%, 06/25/50 IO | 1,227,332 | 170,741 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4991 | ||||
5.00%, 07/25/50 IO | 2,382,373 | 280,293 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4998 | ||||
4.00%, 08/25/50 IO | 1,044,423 | 160,225 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 5002 | ||||
(Floating, 6.10% - ICE LIBOR USD 1M, 6.10% Cap), 5.95%, 07/25/50† IO | 909,002 | 180,223 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 5009 | ||||
2.00%, 09/25/50 IO | 1,177,513 | 107,652 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 5012 | ||||
4.00%, 09/25/50 IO | 307,282 | 45,054 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 5020 | ||||
3.00%, 08/25/50 IO | 462,230 | 59,794 | ||
Federal National Mortgage Association REMIC, Series 2012-115 | ||||
(Floating, 6.10% - ICE LIBOR USD 1M, 6.10% Cap), 5.95%, 10/25/42† IO | 467,497 | 85,036 | ||
Federal National Mortgage Association REMIC, Series 2015-34 | ||||
(Floating, 6.10% - ICE LIBOR USD 1M, 6.10% Cap), 5.95%, 06/25/45† IO | 1,089,740 | 200,197 | ||
Federal National Mortgage Association REMIC, Series 2016-69 | ||||
(Floating, 6.10% - ICE LIBOR USD 1M, 6.10% Cap), 5.95%, 10/25/46† IO | 595,852 | 110,545 | ||
Federal National Mortgage Association REMIC, Series 2017-31 | ||||
(Floating, 6.10% - ICE LIBOR USD 1M, 6.10% Cap), 5.95%, 05/25/47† IO | 589,892 | 102,835 |
Par | Value | |||
Federal National Mortgage Association REMIC, Series 2017-86 | ||||
(Floating, 6.15% - ICE LIBOR USD 1M, 6.15% Cap), 6.00%, 11/25/47† IO | $ 839,790 | $149,198 | ||
Federal National Mortgage Association REMIC, Series 2018-17 | ||||
(Floating, 3.45% - ICE LIBOR USD 1M, 2.50% Cap), 2.50%, 03/25/48† IO | 4,063,198 | 251,531 | ||
Federal National Mortgage Association REMIC, Series 2018-38 | ||||
(Floating, 6.20% - ICE LIBOR USD 1M, 6.20% Cap), 6.05%, 06/25/48† IO | 439,033 | 54,062 | ||
Federal National Mortgage Association REMIC, Series 2018-8 | ||||
(Floating, 6.15% - ICE LIBOR USD 1M, 6.15% Cap), 6.00%, 02/25/48† IO | 447,117 | 61,441 | ||
Federal National Mortgage Association REMIC, Series 2020-45 | ||||
4.00%, 07/25/50 IO | 513,431 | 61,867 | ||
5.00%, 07/25/50 IO | 945,669 | 140,588 | ||
Federal National Mortgage Association REMIC, Series 2020-49 | ||||
4.00%, 07/25/50 IO | 737,428 | 96,183 | ||
(Floating, 6.10% - ICE LIBOR USD 1M, 6.10% Cap), 5.95%, 07/25/50† IO | 859,531 | 174,270 | ||
Federal National Mortgage Association REMIC, Series 2020-60 | ||||
2.00%, 09/25/50 IO | 1,915,421 | 163,719 | ||
4.00%, 09/25/50 IO | 285,375 | 39,912 | ||
Federal National Mortgage Association REMIC, Series 2020-62 | ||||
4.00%, 06/25/48 IO | 860,967 | 174,802 | ||
Federal National Mortgage Association STRIP, Series 405 | ||||
(Floating, 5.05% - ICE LIBOR USD 1M, 5.05% Cap), 4.90%, 10/25/40† IO | 1,078,639 | 194,473 | ||
Government National Mortgage Association, Series 2010-101 | ||||
(Floating, 6.00% - ICE LIBOR USD 1M, 6.00% Cap), 5.85%, 08/20/40† IO | 204,141 | 39,526 | ||
Government National Mortgage Association, Series 2010-85 | ||||
(Floating, 5.94% - ICE LIBOR USD 1M, 5.94% Cap), 5.79%, 07/20/40† IO | 194,394 | 39,522 |
Par | Value | |||
Government National Mortgage Association, Series 2015-110 | ||||
(Floating, 5.70% - ICE LIBOR USD 1M, 5.70% Cap), 5.55%, 08/20/45† IO | $ 239,034 | $ 39,646 | ||
(Floating, 5.71% - ICE LIBOR USD 1M, 5.71% Cap), 5.56%, 08/20/45† IO | 1,742,546 | 287,633 | ||
Government National Mortgage Association, Series 2015-57 | ||||
(Floating, 5.60% - ICE LIBOR USD 1M, 5.60% Cap), 5.45%, 04/20/45† IO | 1,054,078 | 173,154 | ||
Government National Mortgage Association, Series 2016-109 | ||||
4.00%, 10/20/45 IO | 201,154 | 18,366 | ||
Government National Mortgage Association, Series 2018-105 | ||||
(Floating, 6.20% - ICE LIBOR USD 1M, 6.20% Cap), 6.05%, 08/20/48† IO | 281,792 | 37,806 | ||
Government National Mortgage Association, Series 2018-124 | ||||
(Floating, 6.20% - ICE LIBOR USD 1M, 6.20% Cap), 6.05%, 09/20/48† IO | 702,741 | 127,507 | ||
Government National Mortgage Association, Series 2018-139 | ||||
(Floating, 6.15% - ICE LIBOR USD 1M, 6.15% Cap), 6.00%, 10/20/48† IO | 377,541 | 52,621 | ||
Government National Mortgage Association, Series 2018-7 | ||||
(Floating, 5.70% - ICE LIBOR USD 1M, 5.70% Cap), 5.55%, 01/20/48† IO | 646,833 | 108,243 | ||
Government National Mortgage Association, Series 2018-72 | ||||
4.00%, 04/20/46 IO | 956,463 | 121,199 | ||
Government National Mortgage Association, Series 2019-1 | ||||
(Floating, 6.05% - ICE LIBOR USD 1M, 6.05% Cap), 5.90%, 01/20/49† IO | 392,505 | 50,930 | ||
Government National Mortgage Association, Series 2019-110 | ||||
5.95%, 09/20/49† IO | 1,253,616 | 178,528 | ||
Government National Mortgage Association, Series 2019-128 | ||||
4.00%, 10/20/49 IO | 1,026,653 | 130,374 | ||
Government National Mortgage Association, Series 2019-129 | ||||
3.50%, 10/20/49 IO | 1,627,348 | 179,152 | ||
Government National Mortgage Association, Series 2019-151 | ||||
3.50%, 10/20/49 IO | 2,041,482 | 175,524 | ||
3.50%, 12/20/49 IO | 907,797 | 101,083 | ||
Government National Mortgage Association, Series 2019-20 | ||||
(Floating, 3.79% - ICE LIBOR USD 1M, 3.79% Cap), 3.64%, 02/20/49† IO | 1,016,902 | 82,078 |
Par | Value | |||
Government National Mortgage Association, Series 2019-4 | ||||
(Floating, 6.05% - ICE LIBOR USD 1M, 6.05% Cap), 5.90%, 01/20/49† IO | $ 577,775 | $ 75,627 | ||
Government National Mortgage Association, Series 2019-52 | ||||
(Floating, 6.05% - ICE LIBOR USD 1M, 6.05% Cap), 5.90%, 04/20/49† IO | 337,893 | 41,428 | ||
Government National Mortgage Association, Series 2019-6 | ||||
(Floating, 6.05% - ICE LIBOR USD 1M, 6.05% Cap), 5.90%, 01/20/49† IO | 301,344 | 42,932 | ||
Government National Mortgage Association, Series 2019-69 | ||||
(Floating, 3.27% - ICE LIBOR USD 1M, 3.27% Cap), 3.12%, 06/20/49† IO | 369,231 | 28,479 | ||
Government National Mortgage Association, Series 2019-97 | ||||
(Floating, 6.10% - ICE LIBOR USD 1M, 6.10% Cap), 5.95%, 08/20/49† IO | 554,334 | 85,401 | ||
Government National Mortgage Association, Series 2019-98 | ||||
(Floating, 6.05% - ICE LIBOR USD 1M, 6.05% Cap), 5.90%, 08/20/49† IO | 881,153 | 130,768 | ||
Government National Mortgage Association, Series 2020-11 | ||||
(Floating, 6.05% - ICE LIBOR USD 1M, 6.05% Cap), 5.90%, 01/20/50† IO | 1,059,005 | 172,040 | ||
Government National Mortgage Association, Series 2020-146 | ||||
2.50%, 10/20/50 IO | 438,331 | 47,105 | ||
Government National Mortgage Association, Series 2020-151 | ||||
2.50%, 10/20/50 IO | 1,491,259 | 147,125 | ||
Government National Mortgage Association, Series 2020-21 | ||||
(Floating, 6.05% - ICE LIBOR USD 1M, 6.05% Cap), 5.90%, 02/20/50† IO | 630,589 | 97,629 | ||
Government National Mortgage Association, Series 2020-51 | ||||
3.50%, 04/20/50 IO | 601,389 | 46,607 | ||
Government National Mortgage Association, Series 2020-55 | ||||
3.50%, 04/20/50 IO | 902,653 | 104,841 | ||
(Floating, 6.05% - ICE LIBOR USD 1M, 6.05% Cap), 5.90%, 04/20/50† IO | 1,029,024 | 210,167 | ||
Government National Mortgage Association, Series 2020-61 | ||||
(Floating, 6.44% - ICE LIBOR USD 1M, 6.44% Cap), 6.29%, 07/20/43† IO | 885,244 | 166,441 |
Par | Value | |||
Government National Mortgage Association, Series 2020-78 | ||||
4.00%, 06/20/50 IO | $ 1,934,445 | $ 264,485 | ||
(Floating, 6.15% - ICE LIBOR USD 1M, 6.15% Cap), 6.00%, 06/20/50† IO | 923,477 | 144,387 | ||
Government National Mortgage Association, Series 2020-79 | ||||
4.00%, 06/20/50 IO | 748,548 | 76,105 | ||
UBS Commercial Mortgage Trust, Series 2012-C1, Class AAB | ||||
3.00%, 05/10/45 | 312,610 | 314,951 | ||
Uniform Mortgage Backed Securities | ||||
2.00%, 01/01/51 TBA | 21,000,000 | 21,816,211 | ||
WFRBS Commercial Mortgage Trust, Series 2012-C7, Class AFL | ||||
(Floating, ICE LIBOR USD 1M + 1.20%, 1.20% Floor), 1.35%, 06/15/45 144A † | 665,506 | 663,472 | ||
Total Mortgage-Backed Securities (Cost $31,368,425) | 31,686,365 | |||
U.S. TREASURY OBLIGATIONS — 14.0% | ||||
U.S. Treasury Bills | ||||
0.19%, 02/25/21Ω | 33,000 | 32,997 | ||
0.16%, 04/22/21Ω | 14,708,000 | 14,704,912 | ||
0.12%, 08/12/21Ω | 680,000 | 679,682 | ||
0.12%, 09/09/21Ω | 5,000,000 | 4,997,365 | ||
0.10%, 11/04/21Ω | 5,107,000 | 5,103,496 | ||
25,518,452 | ||||
U.S. Treasury Notes | ||||
1.38%, 04/30/21 | 2,080,000 | 2,088,517 | ||
2.88%, 11/15/21 | 7,720,000 | 7,904,028 | ||
1.75%, 11/30/21 | 10,718,000 | 10,877,237 | ||
20,869,782 | ||||
Total U.S. Treasury Obligations (Cost $46,382,842) | 46,388,234 |
Shares | |||
COMMON STOCK — 0.1% | |||
Communication Services — 0.1% | |||
Escrow NII Holdings, Inc.††† * (Cost $148,467) | 76,167 | 165,282 | |
RIGHTS — 0.0% | |||
Alder Biopharmaceuticals, Inc. ††† * (Cost $3,154) | 3,505 | 7,010 | |
MONEY MARKET FUNDS — 47.0% | |||
GuideStone Money Market Fund, 0.00% (Institutional Class)Ø ∞ | 67,070,375 | 67,070,375 | |
Northern Institutional U.S. Government Portfolio (Shares), 0.00%Ø | 89,202,384 | 89,202,384 | |
Total Money Market Funds (Cost $156,272,759) | 156,272,759 | ||
TOTAL INVESTMENTS —105.0% (Cost $346,511,727) | 349,328,713 |
Number of Contracts | Notional Amount | Value | |||
WRITTEN OPTIONS — (0.1)% | |||||
Call Swaptions — (0.0)% | |||||
Pay 0.00% (Annually); Receive 6-Month EURIBOR (Semiannually): Interest Rate Swap Maturing 3/10/2051 EUR, Strike Price $0.00, Expires 03/08/21 (MSCS) | (1) | $(250,000) | $ (8,536) | ||
Pay 0.00% (Annually); Receive 6-Month EURIBOR (Semiannually): Interest Rate Swap Maturing 3/10/2051 EUR, Strike Price $0.00, Expires 03/08/21 (CITI) | (1) | (540,000) | (18,437) | ||
Pay 0.02% (Annually); Receive 6-Month EURIBOR (Semiannually): Interest Rate Swap Maturing 3/04/2051 EUR, Strike Price $0.02, Expires 03/02/21 (MSCS) | (1) | (230,000) | (8,596) | ||
Pay 0.02% (Annually); Receive 6-Month EURIBOR (Semiannually): Interest Rate Swap Maturing 3/04/2051 EUR, Strike Price $0.02, Expires 03/02/21 (MSCS) | (1) | (400,000) | (14,949) | ||
Pay 0.02% (Annually); Receive 6-Month EURIBOR (Semiannually): Interest Rate Swap Maturing 3/04/2051 EUR, Strike Price $0.02, Expires 03/02/21 (CITI) | (1) | (160,000) | (5,980) | ||
Pay -0.02% (Annually); Receive 6-Month EURIBOR (Semiannually): Interest Rate Swap Maturing 3/12/2051 EUR, Strike Price $(0.02), Expires 03/10/21 (DEUT) | (1) | (620,000) | (18,898) |
Number of Contracts | Notional Amount | Value | |||
Pay -0.02% (Annually); Receive 6-Month EURIBOR (Semiannually): Interest Rate Swap Maturing 3/12/2051 EUR, Strike Price $(0.02), Expires 03/10/21 (CITI) | (1) | $ (160,000) | $ (4,877) | ||
Pay -0.25% (Annually); Receive 6-Month EURIBOR (Semiannually): Interest Rate Swap Maturing 1/18/2031 EUR, Strike Price $(0.25), Expires 01/14/21 (MSCS) | (1) | (2,230,000) | (8,498) | ||
Pay 0.28% (Semiannually); Receive 3-Month LIBOR (Quarterly): Interest Rate Swap Maturing 1/08/2026 USD, Strike Price $0.28, Expires 01/06/21 (MSCS) | (1) | (9,410,000) | (1) | ||
Pay 0.31% (Semiannually); Receive 3-Month LIBOR (Quarterly): Interest Rate Swap Maturing 1/22/2026 USD, Strike Price $0.31, Expires 01/20/21 (DEUT) | (1) | (9,410,000) | (874) | ||
(89,646) | |||||
Put Options — (0.1)% | |||||
S&P 500®, Strike Price $3,460.00, Expires 01/08/21 (MSCS) | (11) | (4,131,677) | (3,245) | ||
S&P 500®, Strike Price $3,490.00, Expires 01/19/21 (MSCS) | (11) | (4,131,677) | (12,650) | ||
S&P 500®, Strike Price $3,500.00, Expires 01/13/21 (MSCS) | (11) | (4,131,677) | (8,415) | ||
S&P 500®, Strike Price $3,510.00, Expires 01/22/21 (MSCS) | (11) | (4,131,677) | (18,700) | ||
S&P 500®, Strike Price $3,540.00, Expires 01/27/21 (MSCS) | (11) | (4,131,677) | (27,280) |
Number of Contracts | Notional Amount | Value | |||
S&P 500®, Strike Price $3,580.00, Expires 01/06/21 (MSCS) | (11) | $(4,131,677) | $ (4,400) | ||
S&P 500®, Strike Price $3,590.00, Expires 01/15/21 (MSCS) | (10) | (3,756,070) | (17,020) | ||
S&P 500®, Strike Price $3,610.00, Expires 01/11/21 (MSCS) | (11) | (4,131,677) | (12,474) | ||
S&P 500®, Strike Price $3,625.00, Expires 01/08/21 (MSCS) | (11) | (4,131,677) | (11,055) | ||
S&P 500®, Strike Price $3,650.00, Expires 01/06/21 (MSCS) | (11) | (4,131,677) | (8,745) | ||
S&P 500®, Strike Price $3,670.00, Expires 01/04/21 (MSCS) | (11) | (4,131,677) | (3,234) | ||
(127,218) | |||||
Put Swaptions — (0.0)% | |||||
Pay 3-Month LIBOR (Quarterly); Receive 0.48% (Semiannually): Interest Rate Swap Maturing 1/08/2026 USD, Strike Price $0.48, Expires 01/06/21 (MSCS) | (1) | (9,410,000) | (1,369) | ||
Pay 3-Month LIBOR (Quarterly); Receive 0.51% (Semiannually): Interest Rate Swap Maturing 1/22/2026 USD, Strike Price $0.51, Expires 01/20/21 (DEUT) | (1) | (9,410,000) | (4,105) | ||
Pay 6-Month EURIBOR (Semiannually); Receive 0.00% (Annually): Interest Rate Swap Maturing 1/18/2031 EUR, Strike Price $0.00, Expires 01/14/21 (MSCS) | (1) | (2,230,000) | (0) | ||
(5,474) | |||||
Total Written Options (Premiums received $ (414,778)) | (222,338) | ||||
Liabilities in Excess of Other Assets — (4.9)% | (16,329,410) | ||||
NET ASSETS — 100.0% | $332,776,965 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
Euro-Bund | 03/2021 | 7 | $ 1,519,097 | $ 3,600 | ||||
Euro-OAT | 03/2021 | 7 | 1,435,463 | 4,373 | ||||
10-Year Commonwealth Treasury Bond | 03/2021 | (6) | (681,042) | — | ||||
Australian Dollar | 03/2021 | (257) | (19,789,000) | (251,799) | ||||
British Pound | 03/2021 | (23) | (1,963,481) | (13,694) | ||||
CHF/USD | 03/2021 | 4 | 566,100 | 1,787 | ||||
Euro Fx | 03/2021 | (96) | (14,695,200) | (10,725) | ||||
Japanese Yen | 03/2021 | 7 | 847,787 | 1,612 | ||||
Mexican Peso | 03/2021 | (5) | (124,350) | (186) | ||||
New Zealand | 03/2021 | (2) | (143,760) | (1,610) | ||||
USD/CZK | 03/2021 | 1 | 99,942 | (166) | ||||
USD/NOK | 03/2021 | 1 | 100,145 | (345) | ||||
USD/SEK | 03/2021 | 2 | 199,593 | (960) | ||||
ZAR/USD | 03/2021 | (9) | (303,863) | 938 | ||||
Canadian Dollar | 03/2021 | (44) | (3,446,960) | (18,976) | ||||
10-Year Bond | 03/2021 | 2 | 234,268 | 995 | ||||
10-Year U.S. Treasury Note | 03/2021 | (46) | (6,351,594) | (9,328) | ||||
Ultra 10-Year U.S. Treasury Note | 03/2021 | 59 | 9,225,203 | 17,108 | ||||
Ultra Long U.S. Treasury Bond | 03/2021 | (24) | (5,125,500) | (19,628) | ||||
Long GILT | 03/2021 | 6 | 1,112,106 | 6,951 | ||||
2-Year U.S. Treasury Note | 03/2021 | (127) | (28,064,023) | (23,307) | ||||
5-Year U.S. Treasury Note | 03/2021 | (131) | (16,527,492) | (8,224) | ||||
U.S. Treasury Long Bond | 03/2021 | 20 | 3,463,750 | (27,087) | ||||
Total Futures Contracts outstanding at December 31, 2020 | $(78,412,811) | $(348,671) |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
01/20/21 | Australian Dollars | 34,139,943 | U.S. Dollars | 24,494,214 | JPM | $ 1,832,122 | ||||||
01/20/21 | Norwegian Kroner | 169,491,579 | U.S. Dollars | 18,392,417 | GSC | 1,374,770 | ||||||
01/20/21 | Euro | 29,291,208 | U.S. Dollars | 34,549,566 | JPM | 1,251,811 | ||||||
01/20/21 | British Pounds | 16,018,571 | U.S. Dollars | 20,818,055 | JPM | 1,090,865 | ||||||
01/20/21 | New Zealand Dollars | 18,858,911 | U.S. Dollars | 12,518,319 | CITI | 1,052,554 | ||||||
01/20/21 | Norwegian Kroner | 88,866,918 | U.S. Dollars | 9,653,503 | CITI | 710,723 | ||||||
01/20/21 | Swedish Kronor | 83,235,435 | U.S. Dollars | 9,500,338 | RBC | 618,824 | ||||||
01/20/21 | Euro | 14,494,291 | U.S. Dollars | 17,106,190 | SC | 609,555 | ||||||
01/20/21 | Swiss Francs | 15,366,960 | U.S. Dollars | 16,875,831 | CITI | 493,073 | ||||||
01/20/21 | Canadian Dollars | 17,737,499 | U.S. Dollars | 13,529,107 | SC | 406,776 | ||||||
01/20/21 | British Pounds | 5,514,718 | U.S. Dollars | 7,173,655 | SC | 368,935 | ||||||
01/20/21 | Japanese Yen | 1,991,373,350 | U.S. Dollars | 18,934,774 | SC | 356,074 | ||||||
01/20/21 | Canadian Dollars | 15,503,067 | U.S. Dollars | 11,835,892 | GSC | 344,457 | ||||||
01/20/21 | Mexican Pesos | 84,558,658 | U.S. Dollars | 3,916,936 | GSC | 322,476 | ||||||
01/20/21 | Japanese Yen | 1,548,045,832 | U.S. Dollars | 14,683,190 | CITI | 313,050 | ||||||
01/20/21 | Swedish Kronor | 45,718,578 | U.S. Dollars | 5,292,565 | SS | 265,569 | ||||||
01/20/21 | New Zealand Dollars | 4,672,768 | U.S. Dollars | 3,103,134 | GSC | 259,390 | ||||||
01/20/21 | British Pounds | 5,462,340 | U.S. Dollars | 7,215,151 | SS | 255,801 | ||||||
01/20/21 | Australian Dollars | 5,530,029 | U.S. Dollars | 4,008,805 | SC | 255,567 | ||||||
01/20/21 | Australian Dollars | 4,342,957 | U.S. Dollars | 3,099,974 | CITI | 249,010 | ||||||
01/20/21 | Swiss Francs | 9,945,202 | U.S. Dollars | 11,012,899 | SS | 227,924 |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
01/20/21 | Australian Dollars | 3,772,984 | U.S. Dollars | 2,683,603 | GSC | $ 225,859 | ||||||
01/20/21 | Turkish Lira | 26,233,846 | U.S. Dollars | 3,279,382 | SS | 225,333 | ||||||
01/20/21 | Brazilian Reals | 15,263,545 | U.S. Dollars | 2,722,570 | GSC | 215,232 | ||||||
01/20/21 | Czech Republic Koruna | 57,553,811 | U.S. Dollars | 2,475,353 | CITI | 204,348 | ||||||
01/20/21 | Mexican Pesos | 52,643,491 | U.S. Dollars | 2,456,684 | SC | 182,637 | ||||||
01/20/21 | New Zealand Dollars | 3,238,664 | U.S. Dollars | 2,151,101 | JPM | 179,441 | ||||||
01/20/21 | Euro | 5,609,011 | U.S. Dollars | 6,686,467 | SS | 169,184 | ||||||
01/20/21 | South African Rand | 40,770,407 | U.S. Dollars | 2,606,433 | SS | 160,057 | ||||||
01/20/21 | Turkish Lira | 13,452,924 | U.S. Dollars | 1,640,100 | GSC | 157,145 | ||||||
01/20/21 | Japanese Yen | 1,043,396,325 | U.S. Dollars | 9,955,352 | SS | 152,243 | ||||||
01/20/21 | South African Rand | 16,953,523 | U.S. Dollars | 1,017,793 | RBC | 132,594 | ||||||
01/20/21 | Chilean Pesos | 883,735,613 | U.S. Dollars | 1,111,695 | RBC | 132,010 | ||||||
01/20/21 | Canadian Dollars | 5,608,944 | U.S. Dollars | 4,283,722 | CITI | 123,076 | ||||||
01/20/21 | Australian Dollars | 4,401,114 | U.S. Dollars | 3,278,699 | SS | 115,132 | ||||||
01/20/21 | Norwegian Kroner | 32,137,131 | U.S. Dollars | 3,635,928 | SS | 112,109 | ||||||
01/21/21 | Euro | 3,064,232 | U.S. Dollars | 3,644,740 | MSCS | 100,631 | ||||||
01/20/21 | Brazilian Reals | 19,550,502 | U.S. Dollars | 3,663,781 | SS | 99,139 | ||||||
01/08/21 | South Korean Won | 3,388,481,423 | U.S. Dollars | 3,022,838 | MSCS | 95,220 | ||||||
01/15/21 | South Korean Won | 2,080,301,470 | U.S. Dollars | 1,831,348 | MSCS | 82,269 | ||||||
01/20/21 | New Zealand Dollars | 6,225,926 | U.S. Dollars | 4,402,042 | SS | 78,135 | ||||||
01/29/21 | Colombian Pesos | 4,577,348,841 | U.S. Dollars | 1,263,602 | MSCS | 76,658 | ||||||
01/20/21 | Hungarian Forint | 683,679,523 | U.S. Dollars | 2,226,758 | GSC | 76,335 | ||||||
01/20/21 | Canadian Dollars | 3,702,164 | U.S. Dollars | 2,835,894 | SS | 72,797 | ||||||
01/20/21 | Mexican Pesos | 17,128,101 | U.S. Dollars | 793,271 | CITI | 65,460 | ||||||
03/17/21 | Norwegian Kroner | 23,724,551 | U.S. Dollars | 2,700,753 | MSCS | 65,445 | ||||||
01/20/21 | South Korean Won | 1,351,645,495 | U.S. Dollars | 1,178,213 | SC | 64,825 | ||||||
01/20/21 | South Korean Won | 1,192,007,736 | U.S. Dollars | 1,039,040 | CITI | 57,187 | ||||||
01/20/21 | Swedish Kronor | 6,703,620 | U.S. Dollars | 762,735 | GSC | 52,242 | ||||||
01/20/21 | Czech Republic Koruna | 14,165,640 | U.S. Dollars | 609,205 | SS | 50,346 | ||||||
01/20/21 | Swiss Francs | 2,589,873 | U.S. Dollars | 2,877,429 | SC | 49,842 | ||||||
03/17/21 | Turkish Lira | 6,594,431 | U.S. Dollars | 812,079 | MSCS | 48,989 | ||||||
01/27/21 | Indian Rupees | 235,780,763 | U.S. Dollars | 3,172,376 | MSCS | 46,963 | ||||||
02/19/21 | South Korean Won | 2,080,301,470 | U.S. Dollars | 1,865,976 | MSCS | 46,048 | ||||||
01/20/21 | South African Rand | 5,630,821 | U.S. Dollars | 337,122 | CITI | 44,960 | ||||||
01/13/21 | British Pounds | 538,808 | U.S. Dollars | 693,984 | MSCS | 42,912 | ||||||
03/17/21 | New Zealand Dollars | 2,628,724 | U.S. Dollars | 1,849,176 | MSCS | 42,799 | ||||||
01/20/21 | Norwegian Kroner | 10,415,443 | U.S. Dollars | 1,174,047 | RBC | 40,669 | ||||||
02/26/21 | Swedish Kronor | 14,285,000 | U.S. Dollars | 1,696,693 | MSCS | 40,610 | ||||||
01/20/21 | Polish Zloty | 6,573,235 | U.S. Dollars | 1,720,446 | CITI | 39,340 | ||||||
01/19/21 | Turkish Lira | 3,727,708 | U.S. Dollars | 459,175 | MSCS | 39,005 | ||||||
01/20/21 | Brazilian Reals | 2,495,153 | U.S. Dollars | 444,753 | CITI | 35,494 | ||||||
01/11/21 | Turkish Lira | 1,920,543 | U.S. Dollars | 228,248 | MSCS | 29,140 | ||||||
01/20/21 | Hungarian Forint | 395,882,091 | U.S. Dollars | 1,304,587 | SS | 29,011 | ||||||
03/17/21 | Euro | 2,566,000 | U.S. Dollars | 3,114,835 | MSCS | 25,370 | ||||||
03/17/21 | British Pounds | 753,178 | U.S. Dollars | 1,005,982 | MSCS | 24,480 | ||||||
01/20/21 | Mexican Pesos | 31,655,108 | U.S. Dollars | 1,563,299 | SS | 23,753 | ||||||
01/20/21 | Polish Zloty | 4,814,224 | U.S. Dollars | 1,265,962 | RBC | 22,902 | ||||||
03/17/21 | Australian Dollars | 1,843,000 | New Zealand Dollars | 1,945,495 | MSCS | 21,522 | ||||||
02/08/21 | Russian Rubles | 40,051,376 | U.S. Dollars | 517,241 | MSCS | 21,519 | ||||||
03/10/21 | U.S. Dollars | 675,339 | Polish Zloty | 2,449,142 | MSCS | 19,526 | ||||||
03/03/21 | South African Rand | 6,374,024 | U.S. Dollars | 411,318 | MSCS | 19,025 | ||||||
03/01/21 | Norwegian Kroner | 7,293,901 | U.S. Dollars | 832,250 | MSCS | 18,267 | ||||||
01/20/21 | U.S. Dollars | 1,425,321 | Brazilian Reals | 7,314,819 | SS | 17,425 | ||||||
03/17/21 | Japanese Yen | 169,494,398 | U.S. Dollars | 1,626,306 | MSCS | 16,662 | ||||||
01/20/21 | Euro | 507,204 | U.S. Dollars | 603,800 | GSC | 16,133 | ||||||
03/17/21 | Australian Dollars | 1,154,892 | U.S. Dollars | 874,871 | MSCS | 16,053 |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
01/06/21 | Indonesian Rupiahs | 18,150,988,308 | U.S. Dollars | 1,278,022 | MSCS | $ 15,890 | ||||||
03/11/21 | Australian Dollars | 1,571,533 | U.S. Dollars | 1,200,443 | MSCS | 11,844 | ||||||
01/25/21 | Turkish Lira | 1,488,943 | U.S. Dollars | 187,067 | MSCS | 11,499 | ||||||
03/17/21 | Thai Baht | 53,536,083 | U.S. Dollars | 1,776,843 | MSCS | 10,299 | ||||||
01/20/21 | U.S. Dollars | 651,901 | Brazilian Reals | 3,335,062 | GSC | 9,996 | ||||||
01/20/21 | U.S. Dollars | 1,292,174 | Polish Zloty | 4,791,846 | SS | 9,301 | ||||||
03/17/21 | Euro | 653,661 | Polish Zloty | 2,953,131 | MSCS | 9,146 | ||||||
03/17/21 | Mexican Pesos | 11,095,318 | U.S. Dollars | 544,630 | MSCS | 8,136 | ||||||
03/17/21 | Singapore Dollars | 905,104 | U.S. Dollars | 677,801 | MSCS | 7,109 | ||||||
02/05/21 | Taiwan Dollars | 32,017,557 | U.S. Dollars | 1,139,026 | MSCS | 7,108 | ||||||
03/17/21 | Canadian Dollars | 2,237,524 | U.S. Dollars | 1,751,237 | MSCS | 6,949 | ||||||
01/20/21 | U.S. Dollars | 485,137 | Hungarian Forint | 141,966,560 | CITI | 6,898 | ||||||
03/05/21 | Indonesian Rupiahs | 5,975,807,874 | U.S. Dollars | 420,683 | MSCS | 6,832 | ||||||
01/05/21 | Brazilian Reals | 981,525 | U.S. Dollars | 182,309 | MSCS | 6,644 | ||||||
03/09/21 | Czech Republic Koruna | 7,091,000 | U.S. Dollars | 323,655 | MSCS | 6,626 | ||||||
03/18/21 | New Zealand Dollars | 528,340 | U.S. Dollars | 374,020 | MSCS | 6,243 | ||||||
03/17/21 | South African Rand | 6,577,878 | U.S. Dollars | 437,566 | MSCS | 5,720 | ||||||
03/17/21 | Swedish Kronor | 9,105,821 | Euro | 900,454 | MSCS | 5,714 | ||||||
01/20/21 | British Pounds | 77,236 | U.S. Dollars | 100,306 | GSC | 5,330 | ||||||
03/17/21 | Israeli Shekels | 1,184,782 | U.S. Dollars | 364,251 | MSCS | 4,942 | ||||||
03/17/21 | Australian Dollars | 300,889 | Euro | 186,121 | MSCS | 4,346 | ||||||
03/17/21 | Chinese Offshore Yuan | 7,882,531 | U.S. Dollars | 1,201,717 | MSCS | 4,298 | ||||||
01/20/21 | Swiss Francs | 717,693 | U.S. Dollars | 807,715 | GSC | 3,476 | ||||||
03/11/21 | U.S. Dollars | 1,447,704 | Canadian Dollars | 1,838,053 | MSCS | 3,432 | ||||||
01/04/21 | Taiwan Dollars | 6,459,282 | U.S. Dollars | 226,732 | MSCS | 3,298 | ||||||
01/25/21 | Russian Rubles | 6,984,164 | U.S. Dollars | 90,840 | MSCS | 3,272 | ||||||
02/17/21 | Taiwan Dollars | 6,407,904 | U.S. Dollars | 226,732 | MSCS | 3,139 | ||||||
01/20/21 | U.S. Dollars | 1,098,709 | Euro | 896,375 | SS | 3,109 | ||||||
03/17/21 | British Pounds | 167,886 | Euro | 185,448 | MSCS | 2,746 | ||||||
02/05/21 | U.S. Dollars | 1,024,045 | Taiwan Dollars | 28,542,577 | MSCS | 2,306 | ||||||
03/17/21 | U.S. Dollars | 363,263 | Thai Baht | 10,826,235 | MSCS | 1,860 | ||||||
03/17/21 | Swedish Kronor | 1,877,682 | U.S. Dollars | 227,072 | MSCS | 1,336 | ||||||
03/17/21 | Indian Rupees | 20,845,302 | U.S. Dollars | 281,838 | MSCS | 1,314 | ||||||
03/17/21 | South Korean Won | 284,399,401 | U.S. Dollars | 260,077 | MSCS | 1,287 | ||||||
01/08/21 | U.S. Dollars | 693,468 | South Korean Won | 752,437,151 | MSCS | 1,080 | ||||||
01/20/21 | U.S. Dollars | 1,311,315 | Mexican Pesos | 26,135,157 | SS | 1,009 | ||||||
03/03/21 | Swiss Francs | 195,028 | U.S. Dollars | 219,724 | MSCS | 975 | ||||||
03/02/21 | Singapore Dollars | 103,302 | U.S. Dollars | 77,228 | MSCS | 940 | ||||||
03/17/21 | U.S. Dollars | 182,016 | Mexican Pesos | 3,634,845 | MSCS | 928 | ||||||
01/15/21 | Philippine Pesos | 10,948,353 | U.S. Dollars | 226,994 | MSCS | 804 | ||||||
03/17/21 | Norwegian Kroner | 991,198 | Euro | 93,977 | MSCS | 564 | ||||||
03/09/21 | Hungarian Forint | 37,174,406 | U.S. Dollars | 124,714 | MSCS | 503 | ||||||
03/17/21 | U.S. Dollars | 204,635 | Euro | 166,814 | MSCS | 493 | ||||||
03/17/21 | Euro | 173,716 | Japanese Yen | 21,882,891 | MSCS | 471 | ||||||
03/17/21 | U.S. Dollars | 90,212 | South African Rand | 1,332,109 | MSCS | 441 | ||||||
03/18/21 | Japanese Yen | 11,440,110 | U.S. Dollars | 110,492 | MSCS | 403 | ||||||
02/02/21 | Brazilian Reals | 1,499,291 | U.S. Dollars | 288,167 | MSCS | 345 | ||||||
03/04/21 | U.S. Dollars | 420,636 | Mexican Pesos | 8,425,044 | MSCS | 260 | ||||||
03/17/21 | U.S. Dollars | 274,025 | Japanese Yen | 28,248,936 | MSCS | 198 | ||||||
03/05/21 | Taiwan Dollars | 8,010,266 | U.S. Dollars | 288,035 | MSCS | 150 | ||||||
03/17/21 | Swiss Francs | 394,473 | U.S. Dollars | 446,444 | MSCS | 144 | ||||||
02/08/21 | Philippine Pesos | 21,410,615 | U.S. Dollars | 444,848 | MSCS | 99 | ||||||
02/19/21 | U.S. Dollars | 50,910 | South Korean Won | 55,343,147 | MSCS | 44 | ||||||
01/20/21 | Chilean Pesos | 254 | U.S. Dollars | 1 | SC | — | ||||||
Subtotal Appreciation | $ 17,232,130 |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
03/10/21 | U.S. Dollars | 88,660 | Hong Kong Dollars | 687,253 | MSCS | $ (6) | ||||||
03/17/21 | South African Rand | 1,350,402 | U.S. Dollars | 91,103 | MSCS | (98) | ||||||
02/17/21 | Taiwan Dollars | 8,026,854 | U.S. Dollars | 288,114 | MSCS | (165) | ||||||
03/09/21 | U.S. Dollars | 73,290 | Hungarian Forint | 21,846,000 | MSCS | (296) | ||||||
03/04/21 | Mexican Pesos | 10,193,104 | U.S. Dollars | 508,910 | MSCS | (314) | ||||||
01/20/21 | U.S. Dollars | 1,120,954 | Euro | 917,480 | SC | (442) | ||||||
03/18/21 | U.S. Dollars | 223,432 | Japanese Yen | 23,133,737 | MSCS | (814) | ||||||
03/17/21 | Euro | 186,721 | British Pounds | 167,702 | MSCS | (937) | ||||||
03/03/21 | U.S. Dollars | 239,971 | Swiss Francs | 213,000 | MSCS | (1,065) | ||||||
03/17/21 | U.S. Dollars | 1,019,346 | Chinese Offshore Yuan | 6,670,202 | MSCS | (1,185) | ||||||
01/04/21 | U.S. Dollars | 227,027 | Taiwan Dollars | 6,413,128 | MSCS | (1,359) | ||||||
03/17/21 | U.S. Dollars | 317,921 | South African Rand | 4,741,554 | MSCS | (1,615) | ||||||
03/17/21 | Mexican Pesos | 13,309,473 | U.S. Dollars | 664,904 | MSCS | (1,830) | ||||||
02/05/21 | Taiwan Dollars | 25,637,764 | U.S. Dollars | 919,676 | MSCS | (1,920) | ||||||
03/09/21 | U.S. Dollars | 100,437 | Israeli Shekels | 328,625 | MSCS | (1,952) | ||||||
01/20/21 | U.S. Dollars | 28,869 | Czech Republic Koruna | 670,709 | SC | (2,359) | ||||||
02/05/21 | U.S. Dollars | 228,084 | Taiwan Dollars | 6,440,878 | MSCS | (2,480) | ||||||
03/17/21 | U.S. Dollars | 227,777 | New Zealand Dollars | 320,068 | MSCS | (2,585) | ||||||
03/17/21 | U.S. Dollars | 676,020 | Japanese Yen | 70,029,681 | MSCS | (2,803) | ||||||
03/17/21 | Euro | 186,788 | New Zealand Dollars | 321,635 | MSCS | (2,905) | ||||||
03/18/21 | U.S. Dollars | 185,667 | New Zealand Dollars | 262,273 | MSCS | (3,100) | ||||||
03/11/21 | Canadian Dollars | 1,923,122 | U.S. Dollars | 1,514,707 | MSCS | (3,591) | ||||||
01/05/21 | U.S. Dollars | 182,309 | Brazilian Reals | 965,900 | MSCS | (3,636) | ||||||
03/17/21 | U.S. Dollars | 319,807 | Mexican Pesos | 6,501,942 | MSCS | (4,119) | ||||||
03/17/21 | Polish Zloty | 849,804 | Euro | 189,635 | MSCS | (4,510) | ||||||
03/17/21 | U.S. Dollars | 727,083 | Singapore Dollars | 966,813 | MSCS | (4,522) | ||||||
03/17/21 | U.S. Dollars | 699,485 | Thai Baht | 21,090,889 | MSCS | (4,572) | ||||||
01/25/21 | U.S. Dollars | 227,349 | Russian Rubles | 17,245,226 | MSCS | (5,030) | ||||||
03/17/21 | Hungarian Forint | 85,031,827 | Euro | 238,614 | MSCS | (5,595) | ||||||
03/17/21 | Polish Zloty | 1,523,180 | U.S. Dollars | 413,853 | MSCS | (5,976) | ||||||
03/09/21 | U.S. Dollars | 298,125 | Czech Republic Koruna | 6,533,898 | MSCS | (6,208) | ||||||
01/20/21 | U.S. Dollars | 51,890 | Chilean Pesos | 41,320,643 | GSC | (6,262) | ||||||
03/17/21 | U.S. Dollars | 911,672 | Canadian Dollars | 1,168,979 | MSCS | (6,880) | ||||||
01/20/21 | U.S. Dollars | 2,068,815 | Canadian Dollars | 2,642,951 | SS | (7,681) | ||||||
03/17/21 | U.S. Dollars | 542,577 | Norwegian Kroner | 4,721,294 | MSCS | (7,910) | ||||||
03/11/21 | U.S. Dollars | 867,038 | Australian Dollars | 1,135,063 | MSCS | (8,554) | ||||||
01/20/21 | U.S. Dollars | 393,755 | Polish Zloty | 1,503,708 | GSC | (8,817) | ||||||
02/08/21 | U.S. Dollars | 454,724 | Russian Rubles | 34,485,506 | MSCS | (9,166) | ||||||
01/06/21 | U.S. Dollars | 1,283,253 | Indonesian Rupiahs | 18,150,988,309 | MSCS | (10,658) | ||||||
01/20/21 | U.S. Dollars | 1,345,766 | Polish Zloty | 5,069,131 | SS | (11,341) | ||||||
01/20/21 | Brazilian Reals | 2,693,260 | U.S. Dollars | 530,169 | SS | (11,793) | ||||||
01/20/21 | Brazilian Reals | 4,379,114 | U.S. Dollars | 854,795 | SC | (11,939) | ||||||
03/17/21 | U.S. Dollars | 954,833 | Israeli Shekels | 3,103,350 | MSCS | (12,209) | ||||||
01/20/21 | Russian Rubles | 95,651,185 | U.S. Dollars | 1,302,085 | SC | (12,263) | ||||||
01/20/21 | Hungarian Forint | 442,296,633 | U.S. Dollars | 1,505,199 | SS | (15,246) | ||||||
03/10/21 | Polish Zloty | 2,039,000 | U.S. Dollars | 562,244 | MSCS | (16,256) | ||||||
03/17/21 | U.S. Dollars | 719,959 | Australian Dollars | 954,711 | MSCS | (16,538) | ||||||
03/17/21 | U.S. Dollars | 1,247,929 | British Pounds | 924,320 | MSCS | (16,680) | ||||||
03/03/21 | U.S. Dollars | 387,763 | South African Rand | 6,009,000 | MSCS | (17,936) | ||||||
01/20/21 | U.S. Dollars | 564,709 | Hungarian Forint | 173,640,910 | SS | (20,230) | ||||||
01/29/21 | U.S. Dollars | 1,245,576 | Colombian Pesos | 4,323,100,920 | MSCS | (20,239) | ||||||
03/01/21 | U.S. Dollars | 923,150 | Norwegian Kroner | 8,090,563 | MSCS | (20,262) | ||||||
03/17/21 | Euro | 931,178 | Norwegian Kroner | 9,957,125 | MSCS | (21,414) | ||||||
01/20/21 | U.S. Dollars | 648,699 | British Pounds | 490,243 | GSC | (21,816) | ||||||
01/25/21 | U.S. Dollars | 295,099 | Turkish Lira | 2,383,670 | MSCS | (22,787) | ||||||
01/20/21 | U.S. Dollars | 1,261,328 | Polish Zloty | 4,814,553 | SC | (27,624) |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
01/20/21 | U.S. Dollars | 3,867,764 | Japanese Yen | 402,221,274 | GSC | $ (28,637) | ||||||
01/20/21 | U.S. Dollars | 1,265,670 | South Korean Won | 1,407,804,589 | SC | (29,015) | ||||||
01/20/21 | Polish Zloty | 4,791,714 | U.S. Dollars | 1,314,017 | SS | (31,180) | ||||||
01/19/21 | U.S. Dollars | 455,493 | Turkish Lira | 3,649,866 | MSCS | (32,284) | ||||||
01/11/21 | U.S. Dollars | 275,940 | Turkish Lira | 2,301,460 | MSCS | (32,498) | ||||||
01/20/21 | U.S. Dollars | 594,357 | South Korean Won | 682,482,511 | SS | (33,286) | ||||||
01/27/21 | U.S. Dollars | 2,897,712 | Indian Rupees | 214,818,289 | MSCS | (35,405) | ||||||
01/20/21 | U.S. Dollars | 5,205,286 | Japanese Yen | 541,148,105 | SC | (36,927) | ||||||
01/20/21 | U.S. Dollars | 1,318,079 | Canadian Dollars | 1,726,820 | RBC | (38,638) | ||||||
03/17/21 | U.S. Dollars | 4,382,678 | Euro | 3,614,784 | MSCS | (41,002) | ||||||
03/17/21 | U.S. Dollars | 1,383,696 | Swedish Kronor | 11,716,859 | MSCS | (41,585) | ||||||
01/20/21 | U.S. Dollars | 1,718,275 | Swiss Francs | 1,557,437 | GSC | (42,058) | ||||||
02/26/21 | U.S. Dollars | 1,777,287 | Swedish Kronor | 14,963,550 | MSCS | (42,539) | ||||||
01/20/21 | U.S. Dollars | 2,796,909 | Mexican Pesos | 56,668,165 | SC | (44,192) | ||||||
01/20/21 | U.S. Dollars | 1,292,505 | Canadian Dollars | 1,705,014 | CITI | (47,080) | ||||||
01/15/21 | U.S. Dollars | 1,866,093 | South Korean Won | 2,080,301,470 | MSCS | (47,525) | ||||||
01/20/21 | U.S. Dollars | 3,376,078 | Canadian Dollars | 4,364,807 | GSC | (53,235) | ||||||
01/20/21 | U.S. Dollars | 1,660,244 | Hungarian Forint | 510,055,302 | CITI | (57,966) | ||||||
01/20/21 | U.S. Dollars | 2,517,643 | British Pounds | 1,883,860 | SS | (58,949) | ||||||
01/20/21 | U.S. Dollars | 1,295,554 | Swedish Kronor | 11,141,832 | RBC | (58,989) | ||||||
01/13/21 | U.S. Dollars | 1,038,808 | British Pounds | 806,460 | MSCS | (64,142) | ||||||
01/20/21 | U.S. Dollars | 946,876 | Mexican Pesos | 20,306,049 | RBC | (71,183) | ||||||
01/20/21 | U.S. Dollars | 8,023,688 | Japanese Yen | 836,712,241 | SS | (81,715) | ||||||
01/20/21 | U.S. Dollars | 1,515,951 | South African Rand | 23,555,520 | GSC | (82,417) | ||||||
01/20/21 | U.S. Dollars | 1,927,204 | British Pounds | 1,470,392 | SC | (83,880) | ||||||
01/20/21 | U.S. Dollars | 1,247,585 | Swedish Kronor | 10,954,941 | JPM | (84,237) | ||||||
01/20/21 | U.S. Dollars | 2,240,737 | Mexican Pesos | 46,488,033 | GSC | (89,975) | ||||||
01/20/21 | U.S. Dollars | 3,793,254 | Canadian Dollars | 4,953,349 | SC | (98,461) | ||||||
01/20/21 | U.S. Dollars | 1,157,518 | Turkish Lira | 9,439,803 | SS | (103,595) | ||||||
01/20/21 | U.S. Dollars | 4,997,702 | Japanese Yen | 526,901,776 | JPM | (106,504) | ||||||
01/20/21 | U.S. Dollars | 2,491,087 | New Zealand Dollars | 3,614,614 | GSC | (109,989) | ||||||
01/21/21 | U.S. Dollars | 3,405,343 | Euro | 2,876,690 | MSCS | (110,798) | ||||||
01/08/21 | U.S. Dollars | 3,332,716 | South Korean Won | 3,744,917,210 | MSCS | (113,331) | ||||||
01/20/21 | U.S. Dollars | 4,748,716 | Swiss Francs | 4,311,169 | RBC | (124,094) | ||||||
01/20/21 | U.S. Dollars | 1,057,757 | Chilean Pesos | 842,429,712 | CITI | (127,817) | ||||||
01/20/21 | U.S. Dollars | 1,999,234 | Brazilian Reals | 11,062,762 | SC | (130,036) | ||||||
01/20/21 | U.S. Dollars | 4,790,582 | Swiss Francs | 4,354,462 | JPM | (131,161) | ||||||
01/20/21 | U.S. Dollars | 4,139,346 | Euro | 3,502,924 | RBC | (142,127) | ||||||
01/20/21 | U.S. Dollars | 4,460,460 | Swedish Kronor | 37,977,264 | SS | (156,541) | ||||||
01/20/21 | U.S. Dollars | 1,977,832 | Mexican Pesos | 42,708,195 | SS | (163,376) | ||||||
01/20/21 | U.S. Dollars | 2,933,631 | South Korean Won | 3,368,571,519 | GSC | (164,269) | ||||||
01/20/21 | U.S. Dollars | 10,036,481 | Japanese Yen | 1,057,675,428 | RBC | (209,440) | ||||||
01/20/21 | U.S. Dollars | 3,111,805 | Swedish Kronor | 27,430,418 | CITI | (222,987) | ||||||
01/20/21 | U.S. Dollars | 2,477,438 | South African Rand | 39,806,320 | SS | (223,634) | ||||||
01/20/21 | U.S. Dollars | 3,055,410 | Czech Republic Koruna | 71,049,761 | GSC | (252,662) | ||||||
01/20/21 | U.S. Dollars | 7,669,207 | Euro | 6,516,176 | CITI | (295,234) | ||||||
01/20/21 | U.S. Dollars | 9,380,876 | Canadian Dollars | 12,315,693 | JPM | (295,237) | ||||||
01/20/21 | U.S. Dollars | 3,062,237 | Turkish Lira | 25,143,767 | RBC | (296,848) | ||||||
01/20/21 | U.S. Dollars | 14,433,077 | Swiss Francs | 13,090,910 | SC | (363,262) | ||||||
01/20/21 | U.S. Dollars | 5,657,425 | Norwegian Kroner | 51,989,472 | SC | (405,919) | ||||||
01/20/21 | U.S. Dollars | 6,146,405 | Australian Dollars | 8,517,240 | SS | (421,494) | ||||||
01/20/21 | U.S. Dollars | 7,967,433 | British Pounds | 6,136,229 | CITI | (425,210) | ||||||
01/20/21 | U.S. Dollars | 6,195,546 | Norwegian Kroner | 56,895,728 | JPM | (439,996) | ||||||
01/20/21 | U.S. Dollars | 17,263,325 | Swiss Francs | 15,705,393 | SS | (488,100) | ||||||
01/20/21 | U.S. Dollars | 6,839,726 | Australian Dollars | 9,541,443 | GSC | (517,967) | ||||||
01/20/21 | U.S. Dollars | 10,449,375 | Swedish Kronor | 91,582,831 | SC | (684,604) |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
01/20/21 | U.S. Dollars | 18,929,067 | Euro | 16,048,686 | GSC | $ (686,547) | ||||||
01/20/21 | U.S. Dollars | 8,848,520 | New Zealand Dollars | 13,266,031 | SS | (697,716) | ||||||
01/20/21 | U.S. Dollars | 9,825,618 | Australian Dollars | 13,663,239 | RBC | (710,516) | ||||||
01/20/21 | U.S. Dollars | 9,972,748 | Australian Dollars | 13,919,768 | CITI | (761,203) | ||||||
01/20/21 | U.S. Dollars | 14,981,674 | Norwegian Kroner | 135,305,820 | SS | (798,553) | ||||||
01/20/21 | U.S. Dollars | 26,557,603 | Euro | 22,394,526 | SS | (814,259) | ||||||
01/20/21 | U.S. Dollars | 16,997,907 | British Pounds | 13,054,847 | RBC | (857,469) | ||||||
01/20/21 | U.S. Dollars | 13,866,740 | Australian Dollars | 19,299,874 | SC | (1,015,973) | ||||||
01/20/21 | U.S. Dollars | 22,673,707 | New Zealand Dollars | 33,838,989 | SC | (1,676,830) | ||||||
Subtotal Depreciation | $(17,174,788) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at December 31, 2020 | $ 57,342 |
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 | ||||||||||||||||
3-Month TELBOR (Quarterly) | 1.41% (Annually) | 12/18/2029 | DEUT | ILS | 3,165,000 | $ 66,927 | $ — | $ 66,927 | ||||||||
3-Month TELBOR (Quarterly) | 1.02% (Annually) | 3/18/2030 | BOA | ILS | 1,575,000 | 19,958 | 219 | 19,739 | ||||||||
3-Month TELBOR (Quarterly) | 0.86% (Annually) | 6/16/2031 | MSCS | ILS | 3,210,000 | 8,114 | — | 8,114 | ||||||||
3-Month TELBOR (Quarterly) | 0.86% (Annually) | 6/16/2031 | BOA | ILS | 2,430,000 | 6,657 | — | 6,657 | ||||||||
$101,656 | $219 | $101,437 |
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 (Upon termination) | 4.12% (Upon termination) | 1/3/2022 | BRL | 1,328,643 | $ 6,727 | $ 4,239 | $ 2,488 | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 4.23% (Upon termination) | 1/2/2023 | BRL | 15,197,022 | 22,341 | (2,082) | 24,423 | |||||||
28-Day Mexico Interbank TIIE (Lunar) | 4.40% (Lunar) | 3/15/2023 | MXN | 289,470,000 | 28,914 | 9,807 | 19,107 | |||||||
1-Day COP-IBR-OIS (Quarterly) | 2.50% (Quarterly) | 3/17/2023 | COP | 7,582,340,000 | 10,514 | 1,519 | 8,995 | |||||||
0.35% (Annually) | 6-Month EURIBOR (Semiannually) | 6/16/2023 | PLN | 4,388,535 | 2,266 | 582 | 1,684 | |||||||
3-Month JIBAR (Quarterly) | 4.00% (Quarterly) | 6/16/2023 | ZAR | 40,080,000 | 12,926 | 7,588 | 5,338 | |||||||
3-Month CDOR (Semiannually) | 0.70% (Semiannually) | 11/18/2023 | CAD | 17,200,000 | 15,561 | 2,015 | 13,546 | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 4.93% (Upon termination) | 1/2/2024 | BRL | 4,579,538 | 12,916 | 2,088 | 10,828 | |||||||
3-Month CDOR (Semiannually) | 0.75% (Semiannually) | 3/17/2024 | CAD | 19,290,000 | 53,719 | 28,989 | 24,730 | |||||||
3-Month CDOR (Semiannually) | 0.96% (Semiannually) | 11/9/2024 | CAD | 101,660,000 | 127,536 | 32,932 | 94,604 | |||||||
3-Month CDOR (Semiannually) | 0.81% (Semiannually) | 11/17/2024 | CAD | 24,910,000 | 30,702 | (4,426) | 35,128 | |||||||
6-Month ASX BBSW (Semiannually) | 0.55% (Semiannually) | 5/16/2025 | AUD | 3,340,000 | 10,220 | (1,102) | 11,322 | |||||||
6-Month THBFIX (Semiannually) | 0.75% (Semiannually) | 12/16/2025 | THB | 128,470,000 | 25,034 | 1,642 | 23,392 | |||||||
6-Month WIBOR (Semiannually) | 0.75% (Annually) | 12/16/2025 | PLN | 8,550,000 | 17,066 | (1,832) | 18,898 | |||||||
28-Day Mexico Interbank TIIE (Lunar) | 4.90% (Lunar) | 3/11/2026 | MXN | 79,920,000 | 24,988 | 6,846 | 18,142 | |||||||
(0.25)% (Annually) | 6-Month EURIBOR (Semiannually) | 3/17/2026 | EUR | 8,840,000 | (113,061) | (119,208) | 6,147 | |||||||
(0.50)% (Annually) | 1-Day ESTR (Annually) | 3/17/2026 | EUR | 15,390,000 | (73,028) | (96,688) | 23,660 | |||||||
1-Day CLP-TNA (Semiannually) | 1.70% (Semiannually) | 3/17/2026 | CLP | 3,787,780,000 | 25,641 | 11,104 | 14,537 | |||||||
3-Month JIBAR (Quarterly) | 5.25% (Quarterly) | 3/17/2026 | ZAR | 83,460,000 | 93,237 | 17,716 | 75,521 |
Pay Rate Index/Pay Rate | Receive Rate/Receive Rate Index | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||
(0.50)% (Annually) | 1-Day ESTR (Annually) | 3/17/2028 | EUR | 6,400,000 | $ (9,704) | $ (20,941) | $ 11,237 | |||||||
6-Month ASX BBSW (Semiannually) | 1.75% (Semiannually) | 3/19/2030 | AUD | 2,300,000 | 25,858 | 24,891 | 967 | |||||||
6-Month EURIBOR (Semiannually) | 0.05% (Annually) | 5/21/2030 | EUR | 26,240,000 | 314,284 | 184,336 | 129,948 | |||||||
0.75% (Annually) | 3-Month STIBOR (Quarterly) | 6/18/2030 | SEK | 10,340,000 | (9,581) | (10,800) | 1,219 | |||||||
6-Month LIBOR (Semiannually) | (0.10)% (Annually) | 9/17/2030 | CHF | 1,020,000 | 3,674 | 1,350 | 2,324 | |||||||
6-Month NIBOR (Semiannually) | 1.24% (Annually) | 10/29/2030 | NOK | 54,310,000 | 118,371 | 54,865 | 63,506 | |||||||
1.19% (Semiannually) | 3-Month LIBOR (Quarterly) | 11/10/2030 | USD | 6,490,000 | 71,472 | 57,651 | 13,821 | |||||||
0.14% (Semiannually) | 6-Month LIBOR (Semiannually) | 11/13/2030 | JPY | 1,303,260,000 | (9,386) | (15,768) | 6,382 | |||||||
1.54% (Semiannually) | 3-Month LIBOR (Quarterly) | 11/25/2035 | USD | 29,360,000 | 287,804 | 82,417 | 205,387 | |||||||
0.26% (Annually) | 6-Month EURIBOR (Semiannually) | 5/21/2040 | EUR | 12,730,000 | 3,175 | (961) | 4,136 | |||||||
6-Month LIBOR (Semiannually) | 0.50% (Semiannually) | 3/19/2041 | JPY | 51,020,000 | 2,384 | (45) | 2,429 | |||||||
0.50% (Semiannually) | 6-Month LIBOR (Semiannually) | 6/20/2050 | JPY | 61,260,000 | 12,032 | 4,441 | 7,591 | |||||||
Subtotal Appreciation | $ 1,144,602 | $ 263,165 | $ 881,437 | |||||||||||
0.25% (Annually) | 3-Month WIBOR (Quarterly) | 12/16/2021 | PLN | 42,620,000 | $ (10,732) | $ (2,188) | $ (8,544) | |||||||
6-Month BUBOR (Semiannually) | 0.80% (Annually) | 3/17/2023 | HUF | 183,800,000 | 198 | 221 | (23) | |||||||
6-Month EURIBOR (Semiannually) | (0.25)% (Annually) | 3/17/2023 | EUR | 8,570,000 | 57,272 | 61,331 | (4,059) | |||||||
7-Day CFETS Repo Rate (Quarterly) | 2.50% (Quarterly) | 3/17/2023 | CNY | 23,840,000 | (342) | 12,029 | (12,371) | |||||||
0.25% (Semiannually) | 3-Month LIBOR (Quarterly) | 3/17/2024 | USD | 14,950,000 | 2,846 | 17,173 | (14,327) | |||||||
1-Month LIBOR + 0.09% (Quarterly) | 3-Month LIBOR (Quarterly) | 7/25/2024 | USD | 68,000,000 | (10,125) | 22,829 | (32,954) | |||||||
3-Month CDOR (Semiannually) | 0.81% (Semiannually) | 9/30/2024 | CAD | 17,580,000 | (11,402) | (3,797) | (7,605) | |||||||
1- Day SOFR + 0.24% (Quarterly) | 3-Month LIBOR (Quarterly) | 11/10/2024 | USD | 40,350,000 | (28,128) | 38 | (28,166) | |||||||
0.40% (Semiannually) | 3-Month LIBOR (Quarterly) | 11/17/2024 | USD | 19,220,000 | (29,551) | 2,022 | (31,573) | |||||||
(0.50)% (Annually) | 1-Day ESTR (Annually) | 5/18/2025 | EUR | 2,530,000 | (8,403) | (7,101) | (1,302) | |||||||
0.27% (Annually) | 1-Day SONIA (Annually) | 6/17/2025 | GBP | 10,000 | (194) | (174) | (20) | |||||||
1.25% (Semiannually) | 6-Month THBFIX (Semiannually) | 6/17/2025 | THB | 20,000 | (20) | — | (20) | |||||||
6-Month ASX BBSW (Semiannually) | 0.50% (Semiannually) | 11/25/2025 | AUD | 16,050,000 | (21,091) | (14,738) | (6,353) | |||||||
3-Month STIBOR (Quarterly) | 0.00% (Annually) | 3/17/2026 | SEK | 110,740,000 | (103,047) | (71,038) | (32,009) | |||||||
6-Month NIBOR (Semiannually) | 0.75% (Annually) | 3/17/2026 | NOK | 77,660,000 | (111,927) | (68,977) | (42,950) | |||||||
6-Month LIBOR (Semiannually) | (0.50)% (Annually) | 3/17/2028 | CHF | 7,060,000 | (46,135) | (35,429) | (10,706) | |||||||
6-Month ASX BBSW (Semiannually) | 0.92% (Semiannually) | 9/4/2028 | AUD | 23,770,000 | (119,694) | (34,389) | (85,305) | |||||||
0.25% (Semiannually) | 6-Month LIBOR (Semiannually) | 3/19/2030 | JPY | 124,980,000 | (9,548) | (8,738) | (810) | |||||||
1.75% (Semiannually) | 3-Month New Zealand BBR FRA (Quarterly) | 3/19/2030 | NZD | 880,000 | 13,101 | 16,338 | (3,237) | |||||||
1-Day SONIA (Annually) | 0.31% (Annually) | 6/17/2030 | GBP | 10,000 | 239 | 307 | (68) | |||||||
0.25% (Annually) | 6-Month EURIBOR (Semiannually) | 6/18/2030 | EUR | 8,680,000 | (210,043) | (154,071) | (55,972) | |||||||
1.00% (Semiannually) | 6-Month LIBOR (Semiannually) | 6/18/2030 | GBP | 1,740,000 | (51,844) | (49,291) | (2,553) | |||||||
3-Month LIBOR (Quarterly) | 1.75% (Semiannually) | 6/18/2030 | USD | 2,640,000 | 50,136 | 58,102 | (7,966) | |||||||
3-Month KWCDC (Quarterly) | 1.18% (Quarterly) | 9/11/2030 | KRW | 1,142,780,000 | (12,567) | (10,228) | (2,339) | |||||||
6-Month ASX BBSW (Semiannually) | 1.24% (Semiannually) | 10/28/2030 | AUD | 6,410,000 | (78,854) | (47,323) | (31,531) | |||||||
1.43% (Semiannually) | 3-Month CDOR (Semiannually) | 11/9/2030 | CAD | 20,460,000 | (81,518) | (19,018) | (62,500) | |||||||
6-Month ASX BBSW (Semiannually) | 1.25% (Semiannually) | 11/9/2030 | AUD | 9,120,000 | (111,334) | (87,031) | (24,303) | |||||||
3-Month LIBOR (Quarterly) | 1.25% (Semiannually) | 11/24/2030 | USD | 26,710,000 | (230,458) | (85,806) | (144,652) | |||||||
0.00% (Annually) | 6-Month EURIBOR (Semiannually) | 3/17/2031 | EUR | 1,150,000 | (37,005) | (36,946) | (59) | |||||||
0.75% (Semiannually) | 3-Month LIBOR (Quarterly) | 3/17/2031 | USD | 350,000 | 6,961 | 7,294 | (333) | |||||||
6-Month LIBOR (Semiannually) | (0.25)% (Annually) | 3/17/2031 | CHF | 1,150,000 | 2,100 | 4,569 | (2,469) | |||||||
6-Month NIBOR (Semiannually) | 1.00% (Annually) | 3/18/2031 | NOK | 17,480,000 | (62,622) | (55,811) | (6,811) | |||||||
3-Month CDOR (Semiannually) | 1.50% (Semiannually) | 3/19/2031 | CAD | 2,160,000 | (11,866) | (9,486) | (2,380) | |||||||
1-Day SONIA (Annually) | 0.40% (Annually) | 6/17/2040 | GBP | 10,000 | 275 | 512 | (237) | |||||||
0.75% (Annually) | 6-Month EURIBOR (Semiannually) | 6/19/2040 | EUR | 2,500,000 | (153,958) | (139,060) | (14,898) | |||||||
3-Month LIBOR (Quarterly) | 1.75% (Semiannually) | 6/19/2040 | USD | 2,290,000 | (756) | 9,577 | (10,333) | |||||||
0.50% (Annually) | 6-Month EURIBOR (Semiannually) | 6/20/2050 | EUR | 2,320,000 | (167,471) | (156,939) | (10,532) | |||||||
3-Month LIBOR (Quarterly) | 1.75% (Semiannually) | 6/20/2050 | USD | 4,100,000 | 35,755 | 49,462 | (13,707) |
Pay Rate Index/Pay Rate | Receive Rate/Receive Rate Index | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||
6-Month EURIBOR (Semiannually) | 0.00% (Annually) | 3/17/2051 | EUR | 1,960,000 | $ (22,388) | $ (15,467) | $ (6,921) | |||||||
Subtotal Depreciation | $(1,574,140) | $(851,242) | $(722,898) | |||||||||||
Net Centrally Cleared Interest Rate Swaps outstanding at December 31, 2020 | $ (429,538) | $(588,077) | $ 158,539 |
Reference Obligation | Counterparty | Currency | Notional Amount | Settlement Date | Unrealized Appreciation (Depreciation) | |||||
Colombian Domestic Bond, 6.25%, 11/25/2026 | DEUT | COP | 5,852,200,000 | 1/6/2021 | $19,340 | |||||
Colombian Domestic Bond, 7.50%, 08/26/2026 | DEUT | COP | 1,680,200,000 | 1/6/2021 | 10,180 | |||||
Subtotal Appreciation | $29,520 | |||||||||
Colombian Domestic Bond, 6.25%, 11/26/2025 | BOA | COP | 1,627,800,000 | 1/6/2021 | $ (262) | |||||
Subtotal Depreciation | $ (262) | |||||||||
Total Non-Deliverable Bond Forward Contracts outstanding at December 31, 2020 | $29,258 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Asset-Backed Securities | $ 13,593,537 | $ — | $ 13,593,537 | $ — | |||
Certificates Of Deposit | 1,105,951 | — | 1,105,951 | — | |||
Common Stock | 165,282 | — | — | 165,282 | |||
Corporate Bonds | 79,649,843 | — | 79,649,843 | — | |||
Foreign Bonds | 15,005,902 | — | 15,005,902 | — | |||
Loan Agreements | 5,453,830 | — | 5,453,830 | — | |||
Money Market Funds | 156,272,759 | 156,272,759 | — | — | |||
Mortgage-Backed Securities | 31,686,365 | — | 31,686,365 | — | |||
Rights | 7,010 | — | — | 7,010 | |||
U.S. Treasury Obligations | 46,388,234 | — | 46,388,234 | — | |||
Total Assets - Investments in Securities | $349,328,713 | $156,272,759 | $192,883,662 | $172,292 | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $ 17,232,130 | $ — | $ 17,232,130 | $ — | |||
Futures Contracts | 37,364 | 37,364 | — | — | |||
Non-Deliverable Bond Forward Contracts | 29,520 | — | 29,520 | — | |||
Swaps Agreement | 982,874 | — | 982,874 | — | |||
Total Assets - Other Financial Instruments | $ 18,281,888 | $ 37,364 | $ 18,244,524 | $ — |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Liabilities: | |||||||
Investments in Securities: | |||||||
Written Options: | |||||||
Call Swaptions | $ (89,646) | $ (89,646) | $ — | $ — | |||
Put Options | (127,218) | (127,218) | — | — | |||
Put Swaptions | (5,474) | (5,474) | — | — | |||
Total Written Options | (222,338) | (222,338) | — | — | |||
Total Liabilities - Investments in Securities | $ (222,338) | $ (222,338) | $ — | $ — | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $ (17,174,788) | $ — | $ (17,174,788) | $ — | |||
Futures Contracts | (386,035) | (386,035) | — | — | |||
Non-Deliverable Bond Forward Contracts | (262) | — | (262) | — | |||
Swaps Agreements | (722,898) | — | (722,898) | — | |||
Total Liabilities - Other Financial Instruments | $ (18,283,983) | $ (386,035) | $ (17,897,948) | $ — |
*** | Other financial instruments are derivative instruments, such as futures contracts, forward contracts, swap agreements and non-deliverable bond forward 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", "Forward Foreign Currency Contracts outsanding", "Swaps Agreements outstanding" and "Non-Deliverable Bond Forward Contracts outstanding" disclosures. |
STATEMENTS OF ASSETS AND LIABILITIES | December 31, 2020 |
Strategic Alternatives Fund | |
Assets | |
Investments in securities of unaffiliated issuers, at value | $282,258,338 |
Investments in securities of affiliated issuers, at value | 67,070,375 |
Total investments, at value(1) | 349,328,713 |
Cash collateral for derivatives | 10,203,094 |
Deposits with broker for futures contracts | 1,383,460 |
Foreign currency(2) | 58,780 |
Upfront premiums paid from swap agreements | 799,041 |
Receivables: | |
Dividends and reclaims | 4,124 |
Interest | 1,102,067 |
Investment securities sold | 2,129,359 |
Fund shares sold | 81,006 |
Variation margin on futures contracts | 69,149 |
Unrealized appreciation on foreign currency exchange contracts | 17,232,130 |
Unrealized appreciation on non-deliverable bond forward contracts | 29,520 |
Unrealized appreciation on swap agreements | 101,438 |
Total Assets | 382,521,881 |
Liabilities | |
Cash Overdraft | 81,101 |
Options written, at value(3) | 222,338 |
Upfront premiums received from swap agreements | 1,386,899 |
Unrealized depreciation on foreign currency exchange contracts | 17,174,788 |
Unrealized depreciation on non-deliverable bond forwards contracts | 262 |
Collateral from counterparty | 6,502,643 |
Payables: | |
Investment securities purchased | 22,380,795 |
Dividends on short sales | 7,207 |
Fund shares redeemed | 1,500,361 |
Variation margin on centrally cleared swaps | 33,621 |
Accrued expenses: | |
Investment advisory fees | 248,250 |
Shareholder servicing fees | 9,575 |
Trustee fees | 63 |
Other expenses | 197,013 |
Total Liabilities | 49,744,916 |
Net Assets | $332,776,965 |
Net Assets Consist of: | |
Paid-in-capital | $336,204,785 |
Distributable earnings (loss) | (3,427,820) |
Net Assets | $332,776,965 |
Net Asset Value: | |
$0.001 par value, unlimited shares authorized | |
Net assets applicable to the Institutional Class | $287,088,458 |
Institutional shares outstanding | 28,831,691 |
Net asset value, offering and redemption price per Institutional share | $ 9.96 |
Net assets applicable to the Investor Class | $ 45,688,507 |
Investor shares outstanding | 4,606,904 |
Net asset value, offering and redemption price per Investor share | $ 9.92 |
(1)Investments in securities of unaffiliated issuers, at cost | $279,441,352 |
Investments in securities of affiliated issuers, at cost | 67,070,375 |
Total investments, at cost | $346,511,727 |
(2)Foreign currency, at cost | $ 59,495 |
(3)Premiums received on options written | $ 414,778 |
STATEMENTS OF OPERATIONS | For the Year Ended December 31, 2020 |
Strategic Alternatives Fund | |
Investment Income | |
Dividends | $ 900,718 |
Income distributions received from affiliated funds | 220,137 |
Interest | 5,971,085 |
Less foreign taxes withheld | (9,018) |
Total Investment Income | 7,082,922 |
Expenses | |
Investment advisory fees | 3,128,340 |
Transfer agent fees: | |
Institutional shares | 921 |
Investor shares | 15,056 |
Custodian fees | 292,584 |
Shareholder servicing fees: | |
Investor shares | 123,725 |
Accounting and administration fees | 72,885 |
Professional fees | 115,485 |
Shareholder reporting fees: | |
Trustees expenses | 505 |
Line of credit facility fees | 330 |
Dividends on securities sold short | 396,276 |
Other expenses | 31,383 |
Total Expenses | 4,177,490 |
Net Investment Income | 2,905,432 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss) from: | |
Investment securities | 2,765,546 |
Investment securities sold short | (3,278,282) |
Futures transactions | 1,973,367 |
Swap agreements | 96,980 |
Option contracts written | (4,572,631) |
Option contracts purchased | (638,265) |
Forward foreign currency contracts | 1,512,201 |
Foreign currency | (1,692,061) |
Net realized loss | (3,833,145) |
Net change in unrealized appreciation (depreciation) on: | |
Investment securities | (443,368) |
Investment securities sold short | 482,690 |
Futures | (146,640) |
Swap agreements | (963,322) |
Option contracts written | 54,998 |
Option contracts purchased | 8,085 |
Forward foreign currency contracts | 504,572 |
Non-deliverable bond forward contracts | 29,258 |
Foreign currency | (59,320) |
Net change in unrealized appreciation (depreciation) | (533,047) |
Net Realized and Unrealized Loss | (4,366,192) |
Net Decrease in Net Assets Resulting from Operations | $(1,460,760) |
STATEMENTS OF CHANGES IN NET ASSETS |
Strategic Alternatives Fund | |||
For the Year Ended | |||
12/31/20 | 12/31/19 | ||
Operations: | |||
Net investment income | $ 2,905,432 | $ 5,017,446 | |
Net realized gain (loss) on investment securities, foreign currency and derivatives | (3,833,145) | 6,709,143 | |
Net change in unrealized appreciation (depreciation) on investment securities, foreign currency and derivatives | (533,047) | 7,255,961 | |
Net increase (decrease) in net assets resulting from operations | (1,460,760) | 18,982,550 | |
Distributions to Shareholders: | |||
Institutional shares | (4,362,601) | (7,274,105) | |
Investor shares | (710,735) | (1,068,756) | |
Total distributions | (5,073,336) | (8,342,861) | |
Capital Share Transactions: | |||
Proceeds from shares sold | |||
Institutional shares | 34,762,066 | 34,914,160 | |
Investor shares | 13,672,247 | 12,428,155 | |
Reinvestment of dividends and distributions | |||
Institutional shares | 4,362,239 | 7,273,111 | |
Investor shares | 710,466 | 1,068,187 | |
Total proceeds from shares sold and reinvested | 53,507,018 | 55,683,613 | |
Value of shares redeemed | |||
Institutional shares | (76,935,331) | (41,587,776) | |
Investor shares | (23,353,274) | (25,699,257) | |
Total value of shares redeemed | (100,288,605) | (67,287,033) | |
Net decrease from capital share transactions(1) | (46,781,587) | (11,603,420) | |
Total decrease in net assets | (53,315,683) | (963,731) | |
Net Assets: | �� | ||
Beginning of Year | 386,092,648 | 387,056,379 | |
End of Year | $ 332,776,965 | $386,092,648 |
(1) | See Note 6 in Notes to Financial Statements. |
FINANCIAL HIGHLIGHTS |
For a Share Outstanding For the Years Ending December 31, unless otherwise indicated | Ratios to Average Net Assets | |||||||||||||
Net Asset Value, Beginning of Year | Net Investment Income# | Realized and Unrealized Gain (Loss) on Investments | Total Income From Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Capital Gains | Total Distributions Paid | Net Asset Value, End of Year | Total Return | Net Assets, End of Year (000) | Expenses, Net | Expenses, Gross | Investment Income, Net | Portfolio Turnover Rate | |
Strategic Alternatives Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2020 | $10.13 | $0.08 | $(0.10) | $(0.02) | $(0.14) | $(0.01) | $(0.15) | $ 9.96 | (0.20)% | $287,088 | 1.10%(1) | 1.10%(1) | 0.82% | 483% |
2019 | 9.87 | 0.13 | 0.36 | 0.49 | (0.19) | (0.04) | (0.23) | 10.13 | 4.93 | 330,017 | 1.12(1) | 1.12(1) | 1.32 | 364 |
2018 | 10.07 | 0.20 | (0.19) | 0.01 | (0.18) | (0.03) | (0.21) | 9.87 | 0.15 | 320,404 | 1.01(1) | 1.02(1) | 1.96 | 172 |
2017(2) | 10.00 | 0.04 | 0.10 | 0.14 | (0.05) | (0.02) | (0.07) | 10.07 | 1.40 | 302,592 | 1.26(1) | 1.28(1) | 0.69 | 88 |
Investor Class | ||||||||||||||
2020 | $10.13 | $0.06 | $(0.11) | $(0.05) | $(0.15) | $(0.01) | $(0.16) | $ 9.92 | (0.51)% | $ 45,689 | 1.36%(1) | 1.36%(1) | 0.59% | 483% |
2019 | 9.87 | 0.10 | 0.36 | 0.46 | (0.16) | (0.04) | (0.20) | 10.13 | 4.62 | 56,076 | 1.46(1) | 1.46(1) | 0.99 | 364 |
2018 | 10.07 | 0.17 | (0.19) | (0.02) | (0.15) | (0.03) | (0.18) | 9.87 | (0.17) | 66,652 | 1.36(1) | 1.37(1) | 1.65 | 172 |
2017(2) | 10.00 | 0.01 | 0.12 | 0.13 | (0.04) | (0.02) | (0.06) | 10.07 | 1.31 | 58,599 | 1.63(1) | 1.65(1) | 0.25 | 88 |
# | Calculated using the average shares outstanding method. |
(1) | The ratio for the Strategic Alternatives Fund includes the effect of dividend expense on securities sold short which increased the ratio by 0.11%, 0.14%, 0.10% and 0.11% for the period ended December 31, 2017 and for the years 2018, 2019 and 2020. |
(2) | 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. |
Fund/Counterparty | Repurchase Agreements | Fair Value of Non-cash Collateral Received(1) | Cash Collateral Received | Net Amount(2) | ||||
Money Market | ||||||||
Bank of Nova Scotia | $ 75,000,000 | $ (75,000,000) | $ — | $ — | ||||
BNP Paribas | 95,000,000 | (95,000,000) | — | — | ||||
Citigroup Global Markets, Inc. | 50,000,000 | (50,000,000) | — | — | ||||
Goldman Sachs & Co. | 48,000,000 | (48,000,000) | — | — | ||||
Mitsubishi UFJ Securities USA, Inc. | 30,000,000 | (30,000,000) | — | — | ||||
Mizuho Securities USA, Inc. | 25,000,000 | (25,000,000) | — | — | ||||
Natixis S.A. | 65,000,000 | (65,000,000) | — | — | ||||
TD Securities USA LLC | 35,000,000 | (35,000,000) | — | — | ||||
Total Repurchase Agreements | $ 423,000,000 | $ (423,000,000) | $ — | $ — | ||||
Medium-Duration Bond | ||||||||
Deutsche Bank AG | $ 47,800,000 | $ (47,800,000) | $ — | $ — | ||||
JP Morgan Securities LLC | 48,000,000 | (48,000,000) | — | — | ||||
Total Repurchase Agreements | $ 95,800,000 | $ (95,800,000) | $ — | $ — |
Fund | Assets | Liabilities | ||
MyDestination 2015 | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ 8,010 | $ — | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 8,010 | — | ||
Derivatives not subject to an ISDA MA or similar agreement | 8,010 | — | ||
Total assets and liabilities subject to an ISDA MA | $ — | $ — |
Fund | Assets | Liabilities | ||
MyDestination 2025 | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ 33,436 | $ — | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 33,436 | — | ||
Derivatives not subject to an ISDA MA or similar agreement | 33,436 | — | ||
Total assets and liabilities subject to an ISDA MA | $ — | $ — | ||
MyDestination 2035 | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ 29,652 | $ — | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 29,652 | — | ||
Derivatives not subject to an ISDA MA or similar agreement | 29,652 | — | ||
Total assets and liabilities subject to an ISDA MA | $ — | $ — | ||
MyDestination 2045 | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ 23,735 | $ — | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 23,735 | — | ||
Derivatives not subject to an ISDA MA or similar agreement | 23,735 | — | ||
Total assets and liabilities subject to an ISDA MA | $ — | $ — | ||
MyDestination 2055 | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ 10,582 | $ — | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 10,582 | — | ||
Derivatives not subject to an ISDA MA or similar agreement | 10,582 | — | ||
Total assets and liabilities subject to an ISDA MA | $ — | $ — | ||
Conservative Allocation | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ 6,556 | $ — | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 6,556 | — | ||
Derivatives not subject to an ISDA MA or similar agreement | 6,556 | — | ||
Total assets and liabilities subject to an ISDA MA | $ — | $ — | ||
Balanced Allocation | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ 39,405 | $ — | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 39,405 | — | ||
Derivatives not subject to an ISDA MA or similar agreement | 39,405 | — | ||
Total assets and liabilities subject to an ISDA MA | $ — | $ — |
Fund | Assets | Liabilities | ||
Growth Allocation | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ 31,238 | $ — | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 31,238 | — | ||
Derivatives not subject to an ISDA MA or similar agreement | 31,238 | — | ||
Total assets and liabilities subject to an ISDA MA | $ — | $ — | ||
Aggressive Allocation | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ 23,915 | $ — | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 23,915 | — | ||
Derivatives not subject to an ISDA MA or similar agreement | 23,915 | — | ||
Total assets and liabilities subject to an ISDA MA | $ — | $ — | ||
Low-Duration Bond | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ 7,700 | $ — | ||
Forward foreign currency contracts | 309,101 | 2,367,385 | ||
Options | 200 | 12,533 | ||
Centrally cleared swaps | — | 40,080 | ||
Swap agreements | — | 11,104 | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 317,001 | 2,431,102 | ||
Derivatives not subject to an ISDA MA or similar agreement | 92,930 | 1,463,966 | ||
Total assets and liabilities subject to an ISDA MA | $ 224,071 | $ 967,136 | ||
Medium-Duration Bond | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ 128,565 | $ — | ||
Forward foreign currency contracts | 1,789,835 | 3,199,047 | ||
Options | 229,641 | 388,699 | ||
Centrally cleared swaps | — | 32,173 | ||
Swap agreements | 481,188 | 33,689 | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 2,629,229 | 3,653,608 | ||
Derivatives not subject to an ISDA MA or similar agreement | 358,208 | 247,853 | ||
Total assets and liabilities subject to an ISDA MA | $ 2,271,021 | $ 3,405,755 | ||
Global Bond | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ — | $ 74,057 | ||
Forward foreign currency contracts | 8,634,712 | 11,079,502 | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 8,634,712 | 11,153,559 | ||
Derivatives not subject to an ISDA MA or similar agreement | — | 74,056 | ||
Total assets and liabilities subject to an ISDA MA | $ 8,634,712 | $11,079,503 |
Fund | Assets | Liabilities | ||
Defensive Market Strategies® | ||||
Derivative Financial Instruments: | ||||
Forward foreign currency contracts | $ 41,650 | $ 15,653 | ||
Options | — | 780,447 | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 41,650 | 796,100 | ||
Derivatives not subject to an ISDA MA or similar agreement | 41,650 | 796,100 | ||
Total assets and liabilities subject to an ISDA MA | $ — | $ — | ||
Equity Index | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ 274,290 | $ — | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 274,290 | — | ||
Derivatives not subject to an ISDA MA or similar agreement | 274,290 | — | ||
Total assets and liabilities subject to an ISDA MA | $ — | $ — | ||
Value Equity | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ 172,200 | $ — | ||
Forward foreign currency contracts | 45,794 | 281,385 | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 217,994 | 281,385 | ||
Derivatives not subject to an ISDA MA or similar agreement | 217,994 | 281,385 | ||
Total assets and liabilities subject to an ISDA MA | $ — | $ — | ||
Growth Equity | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ 419,430 | $ — | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 419,430 | — | ||
Derivatives not subject to an ISDA MA or similar agreement | 419,430 | — | ||
Total assets and liabilities subject to an ISDA MA | $ — | $ — | ||
Small Cap Equity | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ — | $ 23,035 | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | — | 23,035 | ||
Derivatives not subject to an ISDA MA or similar agreement | — | 23,035 | ||
Total assets and liabilities subject to an ISDA MA | $ — | $ — | ||
International Equity Index | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ — | $ 217,580 | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | — | 217,580 | ||
Derivatives not subject to an ISDA MA or similar agreement | — | 217,580 | ||
Total assets and liabilities subject to an ISDA MA | $ — | $ — |
Fund | Assets | Liabilities | ||
International Equity | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ 23,415 | $ — | ||
Forward foreign currency contracts | 5,514,938 | 3,858,601 | ||
Swap agreements | 922,492 | 3,302,909 | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 6,460,845 | 7,161,510 | ||
Derivatives not subject to an ISDA MA or similar agreement | 23,420 | — | ||
Total assets and liabilities subject to an ISDA MA | $ 6,437,425 | $ 7,161,510 | ||
Emerging Markets Equity | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ 2,519 | $ — | ||
Forward foreign currency contracts | 3,469,207 | 3,456,923 | ||
Swap agreements | 1,620,985 | 211,691 | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 5,092,711 | 3,668,614 | ||
Derivatives not subject to an ISDA MA or similar agreement | 2,521 | — | ||
Total assets and liabilities subject to an ISDA MA | $ 5,090,190 | $ 3,668,614 | ||
Global Real Estate Securities | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ 16,810 | $ — | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 16,810 | — | ||
Derivatives not subject to an ISDA MA or similar agreement | 16,810 | — | ||
Total assets and liabilities subject to an ISDA MA | $ — | $ — | ||
Strategic Alternatives | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ 69,149 | $ — | ||
Forward foreign currency contracts | 17,232,130 | 17,174,788 | ||
Options | — | 222,338 | ||
Centrally cleared swaps | 481,598 | — | ||
Swap agreements | 101,438 | — | ||
Non-deliverable bond forward contracts | 29,520 | 262 | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 17,913,835 | 17,397,388 | ||
Derivatives not subject to an ISDA MA or similar agreement | 550,748 | 127,218 | ||
Total assets and liabilities subject to an ISDA MA | $17,363,087 | $17,270,170 |
Fund/Sub-adviser/Counterparty | Derivative Assets Subject to an ISDA MA | Derivative Liabilities Subject to an ISDA MA | Value of Derivatives Subject to an ISDA MA | Collateral (Received)/ Pledged | Net Exposure | |||||
Low-Duration Bond | ||||||||||
Sub-adviser A | ||||||||||
Other Counterparties* | $ — | $ (11,104) | $ (11,104) | $ 11,104 | $ — | |||||
Sub-adviser B | ||||||||||
Other Counterparties* | 224,071 | (956,032) | (731,961) | 254,592 | (477,369) | |||||
Total Derivatives | $ 224,071 | $ (967,136) | $ (743,065) | $ 265,696 | $ (477,369) | |||||
Medium-Duration Bond | ||||||||||
Sub-adviser A | ||||||||||
Other Counterparties* | $ 187,749 | $ (1,057,112) | $ (869,363) | $ 28,072 | $ (841,291) | |||||
Sub-adviser B | ||||||||||
Other Counterparties* | 136,020 | (1,232,593) | (1,096,573) | 697,911 | (398,662) | |||||
Sub-adviser C | ||||||||||
Other Counterparties* | 1,947,252 | (1,116,050) | 831,202 | (530,000) | 301,202 | |||||
Total Derivatives | $2,271,021 | $ (3,405,755) | $(1,134,734) | $ 195,983 | $ (938,751) | |||||
Global Bond | ||||||||||
Sub-adviser A | ||||||||||
GSC | $2,324,627 | $ (609,531) | $ 1,715,096 | $ (152,000) | $ 1,563,096 | |||||
Other Counterparties* | 313,700 | (474,704) | (161,004) | — | (161,004) | |||||
2,638,327 | (1,084,235) | 1,554,092 | (152,000) | 1,402,092 | ||||||
Sub-adviser B | ||||||||||
SS | 2,537,101 | (6,106,904) | (3,569,803) | 285,000 | (3,284,803) | |||||
NT | 552,224 | (1,000,343) | (448,119) | — | (448,119) | |||||
Other Counterparties* | 2,907,060 | (2,888,021) | 19,039 | 54,715 | 73,754 | |||||
5,996,385 | (9,995,268) | (3,998,883) | 339,715 | (3,659,168) | ||||||
Total Derivatives | $8,634,712 | $(11,079,503) | $(2,444,791) | $ 187,715 | $(2,257,076) | |||||
International Equity | ||||||||||
Sub-adviser A | ||||||||||
Other Counterparties* | $6,437,425 | $ (7,158,064) | $ (720,639) | $ 720,639 | $ — | |||||
Sub-adviser B | ||||||||||
Other Counterparties* | — | (3,446) | (3,446) | — | (3,446) | |||||
Total Derivatives | $6,437,425 | $ (7,161,510) | $ (724,085) | $ 720,639 | $ (3,446) | |||||
Emerging Markets Equity | ||||||||||
Sub-adviser A | ||||||||||
CITI | $3,971,956 | $ (3,173,217) | $ 798,739 | $ (350,000) | $ 448,739 | |||||
Other Counterparties* | 1,118,234 | (211,692) | 906,542 | (906,542) | — | |||||
5,090,190 | (3,384,909) | 1,705,281 | (1,256,542) | 448,739 | ||||||
Sub-adviser B | ||||||||||
Other Counterparties* | — | (283,705) | (283,705) | — | (283,705) | |||||
Total Derivatives | $5,090,190 | $ (3,668,614) | $ 1,421,576 | $(1,256,542) | $ 165,034 |
Fund/Sub-adviser/Counterparty | Derivative Assets Subject to an ISDA MA | Derivative Liabilities Subject to an ISDA MA | Value of Derivatives Subject to an ISDA MA | Collateral (Received)/ Pledged | Net Exposure | |||||
Strategic Alternatives | ||||||||||
Sub-adviser A | ||||||||||
Other Counterparties* | $16,120,840 | $(16,331,002) | $(210,162) | $ 22,896 | $(187,266) | |||||
Sub-adviser B | ||||||||||
MSCS | 1,119,404 | (885,735) | 233,669 | (40,000) | 193,669 | |||||
Other Counterparties* | 122,843 | (53,433) | 69,410 | 20,000 | 89,410 | |||||
1,242,247 | (939,168) | 303,079 | (20,000) | 283,079 | ||||||
Total Derivatives | $17,363,087 | $(17,270,170) | $ 92,917 | $ 2,896 | $ 95,813 |
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 | |||
Unrealized gain on non deliverable bond forward contracts | Unrealized loss on non-deliverable bond forwards contracts | |||
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* |
Asset Derivative Value | ||||||||||
Fund | Total Value at 12/31/20 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||
MyDestination 2015 | ||||||||||
Futures | $ 51,655 | $ 6,358 | $ — | $ — | $ 45,297 |
Asset Derivative Value | ||||||||||
Fund | Total Value at 12/31/20 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||
MyDestination 2025 | ||||||||||
Futures | $ 222,643 | $ 17,155 | $ — | $ — | $ 205,488 | |||||
MyDestination 2035 | ||||||||||
Futures | $ 318,133 | $ 5,848 | $ — | $ — | $ 312,285 | |||||
MyDestination 2045 | ||||||||||
Futures | $ 278,155 | $ 2,254 | $ — | $ — | $ 275,901 | |||||
MyDestination 2055 | ||||||||||
Futures | $ 114,220 | $ 832 | $ — | $ — | $ 113,388 | |||||
Conservative Allocation | ||||||||||
Futures | $ 40,469 | $ 1,278 | $ — | $ — | $ 39,191 | |||||
Balanced Allocation | ||||||||||
Futures | $ 379,923 | $ 12,125 | $ — | $ — | $ 367,798 | |||||
Growth Allocation | ||||||||||
Futures | $ 380,909 | $ 4,525 | $ — | $ — | $ 376,384 | |||||
Aggressive Allocation | ||||||||||
Futures | $ 332,244 | $ — | $ — | $ — | $ 332,244 | |||||
Low-Duration Bond | ||||||||||
Forwards | $ 309,101 | $ — | $ 309,101 | $ — | $ — | |||||
Futures | 472,811 | 472,811 | — | — | — | |||||
Purchased Options | 200 | 200 | — | — | — | |||||
Swaps | 274,362 | — | — | 274,362 | — | |||||
Totals | $ 1,056,474 | $ 473,011 | $ 309,101 | $ 274,362 | $ — | |||||
Medium-Duration Bond | ||||||||||
Forwards | $ 1,789,835 | $ — | $ 1,789,835 | $ — | $ — | |||||
Futures | 710,934 | 710,934 | — | — | — | |||||
Purchased Options | 229,641 | 229,641 | — | — | — | |||||
Swaps | 5,919,853 | 4,964,253 | — | 955,600 | — | |||||
Totals | $ 8,650,263 | $ 5,904,828 | $ 1,789,835 | $ 955,600 | $ — | |||||
Global Bond | ||||||||||
Forwards | $ 8,634,712 | $ — | $ 8,634,712 | $ — | $ — | |||||
Futures | 413,100 | 413,100 | — | — | — | |||||
Totals | $ 9,047,812 | $ 413,100 | $ 8,634,712 | $ — | $ — | |||||
Defensive Market Strategies® | ||||||||||
Forwards | $ 41,650 | $ — | $ 41,650 | $ — | $ — | |||||
Equity Index | ||||||||||
Futures | $ 979,710 | $ — | $ — | $ — | $ 979,710 | |||||
Value Equity | ||||||||||
Forwards | $ 45,794 | $ — | $ 45,794 | $ — | $ — | |||||
Futures | 432,835 | — | — | — | 432,835 | |||||
Totals | $ 478,629 | $ — | $ 45,794 | $ — | $ 432,835 |
Asset Derivative Value | ||||||||||
Fund | Total Value at 12/31/20 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||
Growth Equity | ||||||||||
Futures | $ 1,375,072 | $ — | $ — | $ — | $ 1,375,072 | |||||
Small Cap Equity | ||||||||||
Futures | $ 594,459 | $ — | $ — | $ — | $ 594,459 | |||||
International Equity Index | ||||||||||
Futures | $ 463,642 | $ — | $ — | $ — | $ 463,642 | |||||
International Equity | ||||||||||
Forwards | $ 5,514,938 | $ — | $ 5,514,938 | $ — | $ — | |||||
Futures | 2,474,895 | — | — | — | 2,474,895 | |||||
Swaps | 922,492 | — | — | — | 922,492 | |||||
Totals | $ 8,912,325 | $ — | $ 5,514,938 | $ — | $ 3,397,387 | |||||
Emerging Markets Equity | ||||||||||
Forwards | $ 3,469,207 | $ — | $ 3,469,207 | $ — | $ — | |||||
Futures | 2,469,465 | — | — | — | 2,469,465 | |||||
Swaps | 1,620,985 | — | — | — | 1,620,985 | |||||
Totals | $ 7,559,657 | $ — | $ 3,469,207 | $ — | $ 4,090,450 | |||||
Global Real Estate Securities | ||||||||||
Futures | $ 100,918 | $ — | $ — | $ — | $ 100,918 | |||||
Strategic Alternatives | ||||||||||
Forwards | $ 17,232,130 | $ — | $ 17,232,130 | $ — | $ — | |||||
Futures | 37,364 | 37,364 | — | — | — | |||||
Swaps | 982,874 | 982,874 | — | — | — | |||||
Bond Forwards | 29,520 | 29,520 | — | — | — | |||||
Totals | $ 18,281,888 | $ 1,049,758 | $ 17,232,130 | $ — | $ — |
Liabilities Derivative Value | ||||||||||
Fund | Total Value at 12/31/20 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||
Balanced Allocation | ||||||||||
Futures | $ 24,087 | $ 24,087 | $ — | $ — | $ — | |||||
Growth Allocation | ||||||||||
Futures | $ 5,139 | $ 5,139 | $ — | $ — | $ — | |||||
Low-Duration Bond | ||||||||||
Forwards | $ 2,367,385 | $ — | $ 2,367,385 | $ — | $ — | |||||
Futures | 247,315 | 247,315 | — | — | — | |||||
Written Options | 12,533 | 11,925 | — | 608 | — | |||||
Swaps | 1,320,826 | 1,293,705 | — | 27,121 | — | |||||
Totals | $ 3,948,059 | $ 1,552,945 | $ 2,367,385 | $ 27,729 | $ — |
Liabilities Derivative Value | ||||||||||
Fund | Total Value at 12/31/20 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||
Medium-Duration Bond | ||||||||||
Forwards | $ 3,199,047 | $ — | $ 3,199,047 | $ — | $ — | |||||
Futures | 1,539,430 | 1,539,430 | — | — | — | |||||
Written Options | 388,699 | 388,699 | — | — | — | |||||
Swaps | 2,108,641 | 2,032,348 | — | 76,293 | — | |||||
Totals | $ 7,235,817 | $ 3,960,477 | $ 3,199,047 | $ 76,293 | $ — | |||||
Global Bond | ||||||||||
Forwards | $ 11,079,502 | $ — | $ 11,079,502 | $ — | $ — | |||||
Futures | 208,857 | 208,857 | — | — | — | |||||
Totals | $ 11,288,359 | $ 208,857 | $ 11,079,502 | $ — | $ — | |||||
Defensive Market Strategies® | ||||||||||
Forwards | $ 15,653 | $ — | $ 15,653 | $ — | $ — | |||||
Written Options | 780,447 | — | — | — | 780,447 | |||||
Totals | $ 796,100 | $ — | $ 15,653 | $ — | $ 780,447 | |||||
Value Equity | ||||||||||
Forwards | $ 281,385 | $ — | $ 281,385 | $ — | $ — | |||||
International Equity | ||||||||||
Forwards | $ 3,858,601 | $ — | $ 3,858,601 | $ — | $ — | |||||
Futures | 36,001 | — | — | — | 36,001 | |||||
Swaps | 3,302,909 | — | — | — | 3,302,909 | |||||
Totals | $ 7,197,511 | $ — | $ 3,858,601 | $ — | $ 3,338,910 | |||||
Emerging Markets Equity | ||||||||||
Forwards | $ 3,456,923 | $ — | $ 3,456,923 | $ — | $ — | |||||
Futures | 66,922 | — | — | — | 66,922 | |||||
Swaps | 211,691 | — | — | — | 211,691 | |||||
Totals | $ 3,735,536 | $ — | $ 3,456,923 | $ — | $ 278,613 | |||||
Strategic Alternatives | ||||||||||
Forwards | $ 17,174,788 | $ — | $ 17,174,788 | $ — | $ — | |||||
Futures | 386,035 | 386,035 | — | — | — | |||||
Written Options | 222,338 | 95,120 | — | — | 127,218 | |||||
Swaps | 722,898 | 722,898 | — | — | — | |||||
Bond Forwards | 262 | 262 | — | — | — | |||||
Totals | $ 18,506,321 | $ 1,204,315 | $ 17,174,788 | $ — | $ 127,218 |
Derivative Type | Location on the Statements of Operations | |
Interest rate contracts | Net realized gain (loss) from: Futures transactions | |
Net realized gain (loss) from: Swap agreements | ||
Net realized gain (loss) from: Option contracts written | ||
Net realized gain (loss) from: Option contracts purchased | ||
Net change in unrealized appreciation (depreciation) on: Futures | ||
Net change in unrealized appreciation (depreciation) on: Swap agreements | ||
Net change in unrealized appreciation (depreciation) on: Option contracts written | ||
Net change in unrealized appreciation (depreciation) on: Option contracts purchased | ||
Net change in unrealized appreciation (depreciation) on: Non-deliverable bond forward contracts | ||
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 | ||||||||||
Fund | Total Value at 12/31/20 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||
MyDestination 2015 | ||||||||||
Futures | $ 137,383 | $ 216,777 | $ — | $ — | $ (79,394) | |||||
MyDestination 2025 | ||||||||||
Futures | $ (91,352) | $ 498,797 | $ — | $ — | $ (590,149) | |||||
MyDestination 2035 | ||||||||||
Futures | $ (136,785) | $ 281,676 | $ — | $ — | $ (418,461) | |||||
MyDestination 2045 | ||||||||||
Futures | $ (216,856) | $ 98,158 | $ — | $ — | $ (315,014) | |||||
MyDestination 2055 | ||||||||||
Futures | $ (32,138) | $ 27,774 | $ — | $ — | $ (59,912) | |||||
Conservative Allocation | ||||||||||
Futures | $ 81,248 | $ 117,096 | $ — | $ — | $ (35,848) | |||||
Balanced Allocation | ||||||||||
Futures | $ 642,722 | $ 742,418 | $ — | $ — | $ (99,696) | |||||
Growth Allocation | ||||||||||
Futures | $ (66,329) | $ 309,821 | $ — | $ — | $ (376,150) | |||||
Aggressive Allocation | ||||||||||
Futures | $ (544,956) | $ — | $ — | $ — | $ (544,956) |
Realized Gain (Loss) on Derivatives Recognized in Income | ||||||||||
Fund | Total Value at 12/31/20 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||
Low-Duration Bond | ||||||||||
Forwards | $ (2,658,703) | $ — | $ (2,658,703) | $ — | $ — | |||||
Futures | 1,748,787 | 1,748,787 | — | — | — | |||||
Swaps | (958,805) | (514,277) | — | (444,528) | — | |||||
Written Options | 146,228 | 146,228 | — | — | — | |||||
Totals | $ (1,722,493) | $ 1,380,738 | $ (2,658,703) | $ (444,528) | $ — | |||||
Medium-Duration Bond | ||||||||||
Forwards | $ (5,000,760) | $ — | $ (5,000,760) | $ — | $ — | |||||
Futures | 37,205,818 | 37,205,818 | — | — | — | |||||
Purchased Options | (4,022,359) | (4,107,791) | 85,432 | — | — | |||||
Swaps | (12,443,842) | (13,188,310) | — | 744,468 | — | |||||
Written Options | 4,875,230 | 4,723,192 | 152,038 | — | — | |||||
Totals | $ 20,614,087 | $ 24,632,909 | $ (4,763,290) | $ 744,468 | $ — | |||||
Extended-Duration Bond | ||||||||||
Futures | $ (71,493) | $ (71,493) | $ — | $ — | $ — | |||||
Global Bond | ||||||||||
Forwards | $ (5,709,967) | $ — | $ (5,709,967) | $ — | $ — | |||||
Futures | (5,691,648) | (5,691,648) | — | — | — | |||||
Purchased Options | (76,259) | — | (76,259) | — | — | |||||
Swaps | 1,242,562 | (7,841) | — | 1,250,403 | — | |||||
Totals | $ (10,235,312) | $ (5,699,489) | $ (5,786,226) | $ 1,250,403 | $ — | |||||
Defensive Market Strategies® | ||||||||||
Forwards | $ (2,267,061) | $ — | $ (2,267,061) | $ — | $ — | |||||
Futures | (3,636,476) | — | — | — | (3,636,476) | |||||
Written Options | (16,513,680) | — | — | — | (16,513,680) | |||||
Totals | $ (22,417,217) | $ — | $ (2,267,061) | $ — | $ (20,150,156) | |||||
Equity Index | ||||||||||
Futures | $ 14,162,708 | $ — | $ — | $ — | $ 14,162,708 | |||||
Value Equity | ||||||||||
Forwards | $ (3,846,119) | $ — | $ (3,846,119) | $ — | $ — | |||||
Futures | 13,467,576 | — | — | — | 13,467,576 | |||||
Totals | $ 9,621,457 | $ — | $ (3,846,119) | $ — | $ 13,467,576 | |||||
Growth Equity | ||||||||||
Futures | $ 9,919,867 | $ — | $ — | $ — | $ 9,919,867 | |||||
Small Cap Equity | ||||||||||
Futures | $ 7,829,100 | $ — | $ — | $ — | $ 7,829,100 | |||||
International Equity Index | ||||||||||
Futures | $ (2,022,596) | $ — | $ — | $ — | $ (2,022,596) |
Realized Gain (Loss) on Derivatives Recognized in Income | ||||||||||
Fund | Total Value at 12/31/20 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||
International Equity | ||||||||||
Forwards | $ 1,438,535 | $ — | $ 1,438,535 | $ — | $ — | |||||
Futures | 4,127,191 | — | — | — | 4,127,191 | |||||
Swaps | 1,927,819 | — | — | — | 1,927,819 | |||||
Totals | $ 7,493,545 | $ — | $ 1,438,535 | $ — | $ 6,055,010 | |||||
Emerging Markets Equity | ||||||||||
Forwards | $ (1,186,367) | $ — | $ (1,186,367) | $ — | $ — | |||||
Futures | 17,540,396 | — | — | — | 17,540,396 | |||||
Swaps | 1,380,001 | — | — | — | 1,380,001 | |||||
Totals | $ 17,734,030 | $ — | $ (1,186,367) | $ — | $ 18,920,397 | |||||
Global Real Estate Securities | ||||||||||
Forwards | $ (736) | $ — | $ (736) | $ — | $ — | |||||
Futures | 1,605,171 | — | — | — | 1,605,171 | |||||
Totals | $ 1,604,435 | $ — | $ (736) | $ — | $ 1,605,171 | |||||
Strategic Alternatives | ||||||||||
Forwards | $ 1,512,201 | $ — | $ 1,512,201 | $ — | $ — | |||||
Futures | 1,973,367 | 1,973,367 | — | — | — | |||||
Purchased Options | (638,265) | — | — | — | (638,265) | |||||
Swaps | 96,980 | 95,808 | — | 1,172 | — | |||||
Written Options | (4,572,631) | — | — | — | (4,572,631) | |||||
Totals | $ (1,628,348) | $ 2,069,175 | $ 1,512,201 | $ 1,172 | $ (5,210,896) |
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||||
Fund | Total Value at 12/31/20 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||
MyDestination 2015 | ||||||||||
Futures | $ 34,189 | $ 34,288 | $ — | $ — | $ (99) | |||||
MyDestination 2025 | ||||||||||
Futures | $ 117,497 | $ 85,074 | $ — | $ — | $ 32,423 | |||||
MyDestination 2035 | ||||||||||
Futures | $ 164,306 | $ 29,063 | $ — | $ — | $ 135,243 | |||||
MyDestination 2045 | ||||||||||
Futures | $ 149,069 | $ 13,103 | $ — | $ — | $ 135,966 | |||||
MyDestination 2055 | ||||||||||
Futures | $ 72,310 | $ 1,947 | $ — | $ — | $ 70,363 | |||||
Conservative Allocation | ||||||||||
Futures | $ 17,656 | $ 804 | $ — | $ — | $ 16,852 | |||||
Balanced Allocation | ||||||||||
Futures | $ 217,063 | $ 96,419 | $ — | $ — | $ 120,644 | |||||
Growth Allocation | ||||||||||
Futures | $ 139,460 | $ 35,345 | $ — | $ — | $ 104,115 |
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||||
Fund | Total Value at 12/31/20 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||
Aggressive Allocation | ||||||||||
Futures | $ 55,831 | $ — | $ — | $ — | $ 55,831 | |||||
Low-Duration Bond | ||||||||||
Forwards | $ (1,028,126) | $ — | $ (1,028,126) | $ — | $ — | |||||
Futures | 206,952 | 206,952 | — | — | — | |||||
Purchased Options | (1,458) | (1,458) | — | — | — | |||||
Swaps | (530,986) | (909,482) | — | 378,496 | — | |||||
Written Options | 37,377 | 37,377 | — | — | — | |||||
Totals | $ (1,316,241) | $ (666,611) | $ (1,028,126) | $ 378,496 | $ — | |||||
Medium-Duration Bond | ||||||||||
Forwards | $ (100,072) | $ — | $ (100,072) | $ — | $ — | |||||
Futures | 2,591,365 | 2,457,232 | 134,133 | — | — | |||||
Purchased Options | 11,730 | 11,730 | — | — | — | |||||
Swaps | (75,830) | (20,788) | — | (55,042) | — | |||||
Written Options | (82,750) | (82,750) | — | — | — | |||||
Totals | $ 2,344,443 | $ 2,365,424 | $ 34,061 | $ (55,042) | $ — | |||||
Global Bond | ||||||||||
Forwards | $ (741,405) | $ — | $ (741,405) | $ — | $ — | |||||
Futures | (521,484) | (521,484) | — | — | — | |||||
Swaps | (5,222) | — | — | (5,222) | — | |||||
Totals | $ (1,268,111) | $ (521,484) | $ (741,405) | $ (5,222) | $ — | |||||
Defensive Market Strategies® | ||||||||||
Forwards | $ 215,493 | $ — | $ 215,493 | $ — | $ — | |||||
Futures | 466,502 | — | — | — | 466,502 | |||||
Written Options | 366,566 | — | — | — | 366,566 | |||||
Totals | $ 1,048,561 | $ — | $ 215,493 | $ — | $ 833,068 | |||||
Equity Index | ||||||||||
Futures | $ 243,237 | $ — | $ — | $ — | $ 243,237 | |||||
Value Equity | ||||||||||
Forwards | $ 253,541 | $ — | $ 253,541 | $ — | $ — | |||||
Futures | 104,994 | — | — | — | 104,994 | |||||
Totals | $ 358,535 | $ — | $ 253,541 | $ — | $ 104,994 | |||||
Growth Equity | ||||||||||
Futures | $ 765,151 | $ — | $ — | $ — | $ 765,151 | |||||
Small Cap Equity | ||||||||||
Futures | $ 508,498 | $ — | $ — | $ — | $ 508,498 | |||||
International Equity Index | ||||||||||
Futures | $ 340,065 | $ — | $ — | $ — | $ 340,065 |
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||||
Fund | Total Value at 12/31/20 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||
International Equity | ||||||||||
Forwards | $ 1,664,721 | $ — | $ 1,664,721 | $ — | $ — | |||||
Futures | 2,250,889 | — | — | — | 2,250,889 | |||||
Swaps | (2,172,685) | — | — | — | (2,172,685) | |||||
Totals | $ 1,742,925 | $ — | $ 1,664,721 | $ — | $ 78,204 | |||||
Emerging Markets Equity | ||||||||||
Forwards | $ 416,209 | $ — | $ 416,209 | $ — | $ — | |||||
Futures | 1,906,349 | — | — | — | 1,906,349 | |||||
Swaps | 549,018 | — | — | — | 549,018 | |||||
Totals | $ 2,871,576 | $ — | $ 416,209 | $ — | $ 2,455,367 | |||||
Global Real Estate Securities | ||||||||||
Futures | $ 4,338 | $ — | $ — | $ — | $ 4,338 | |||||
Strategic Alternatives | ||||||||||
Forwards | $ 504,572 | $ — | $ 504,572 | $ — | $ — | |||||
Futures | (146,640) | (146,640) | — | — | — | |||||
Purchased Options | 8,085 | — | — | — | 8,085 | |||||
Swaps | (963,322) | (958,334) | (4,988) | — | — | |||||
Written Options | 54,998 | — | — | — | 54,998 | |||||
Bond Forwards | 29,258 | 29,258 | — | — | — | |||||
Totals | $ (513,049) | $ (1,075,716) | $ 499,584 | $ — | $ 63,083 |
Fund | Number of transactions | Average notional market value of contracts | |
Low-Duration Bond | 294 | $ 2,908,479 | |
Medium-Duration Bond | 775 | 1,891,952 | |
Global Bond | 1,714 | 1,672,735 | |
Defensive Market Strategies® | 236 | 1,180,981 | |
Value Equity | 219 | 2,133,295 | |
International Equity | 2,182 | 1,631,932 | |
Emerging Markets Equity | 4,007 | 540,078 | |
Global Real Estate Securities | 3 | 122,909 | |
Strategic Alternatives | 5,392 | 1,044,601 |
Fund | Long average notional market value of contracts | Short average notional market value of contracts | |
MyDestination 2015 | $ 856,939 | $ — | |
MyDestination 2025 | 1,551,426 | — | |
MyDestination 2035 | 897,385 | — | |
MyDestination 2045 | 629,153 | — | |
MyDestination 2055 | 174,933 | — | |
Conservative Allocation | 872,396 | — | |
Balanced Allocation | 1,067,069 | — | |
Growth Allocation | 892,812 | — | |
Aggressive Allocation | 1,017,533 | — | |
Low-Duration Bond | 12,262,045 | 3,095,251 | |
Medium-Duration Bond | 4,464,074 | 2,782,769 | |
Extended-Duration Bond | 2,911,544 | — | |
Global Bond | 7,023,151 | 4,372,075 | |
Defensive Market Strategies® | 27,948,175 | 22,697,215 | |
Equity Index | 8,932,484 | — | |
Value Equity | 3,593,543 | — | |
Growth Equity | 16,150,701 | — | |
Small Cap Equity | 3,604,820 | — | |
International Equity Index | 2,191,541 | — | |
International Equity | 2,718,550 | 1,302,525 | |
Emerging Markets Equity | 1,834,887 | 602,087 | |
Global Real Estate Securities | 1,346,233 | — | |
Strategic Alternatives | 1,197,869 | 1,894,483 |
Fund | Number of transactions | Average premiums paid and received | |
Low-Duration Bond | 44 | $ 6,093 | |
Medium-Duration Bond | 879 | 17,308 | |
Global Bond | 2 | 38,130 | |
Strategic Alternatives | 500 | 35,112 | |
Defensive Market Strategies® | 550 | 68,577 |
Fund | Buy protection average notional market value | Sell protection average notional market value | |
Low-Duration Bond | $ 9,400,000 | $ 3,700,000 | |
Medium-Duration Bond | 850,000 | 1,521,257 | |
Global Bond | 8,007,385 | 4,513,852 |
Fund | Paid fixed rate average notional market value | Received fixed rate average notional market value | |
Low-Duration Bond | $ 5,473,433 | $ 933,433 | |
Medium-Duration Bond | 2,198,459 | 1,599,750 | |
Strategic Alternatives | 1,664,747 | 1,511,008 |
Fund | Average notional market value of transactions |
International Equity | $ 608,885 |
Emerging Markets Equity | 530,401 |
Strategic Alternatives | 487,715 |
Fund | Average notional market value of contracts |
Strategic Alternatives | $ 577,182 |
Fund | Advisory Fees | Sub-Adviser Fees | ||
MyDestination 2015 | 0.10% | 0.00% | ||
MyDestination 2025 | 0.10% | 0.00% | ||
MyDestination 2035 | 0.10% | N/A | ||
MyDestination 2045 | 0.10% | N/A | ||
MyDestination 2055 | 0.10% | N/A | ||
Conservative Allocation | 0.10% | N/A | ||
Balanced Allocation | 0.10% | N/A | ||
Growth Allocation | 0.10% | N/A | ||
Aggressive Allocation | 0.10% | N/A | ||
Money Market | 0.07% | 0.04% | ||
Low-Duration Bond | 0.11% | 0.18% | ||
Medium-Duration Bond | 0.13% | 0.19% | ||
Extended-Duration Bond | 0.25% | 0.20% | ||
Global Bond | 0.25% | 0.23% | ||
Defensive Market Strategies® | 0.33% | 0.29% | ||
Equity Index | 0.08% | 0.01% | ||
Value Equity | 0.33% | 0.25% | ||
Growth Equity | 0.33% | 0.32% | ||
Small Cap Equity | 0.33% | 0.56% | ||
International Equity Index | 0.10% | 0.01% | ||
International Equity | 0.33% | 0.44% | ||
Emerging Markets Equity | 0.33% | 0.53% | ||
Global Real Estate Securities | 0.30% | 0.38% | ||
Strategic Alternatives | 0.40% | 0.45% |
For the Period January 1, 2020 to April 30, 2020 | For the Period May 1, 2020 to December 31, 2020 | |||||||
Fund | Institutional Class | Investor Class | Institutional Class | Investor Class | ||||
MyDestination 2015 | 0.50% | 0.75% | 0.50% | 0.75% | ||||
MyDestination 2025 | 0.50% | 0.75% | 0.50% | 0.75% | ||||
MyDestination 2035 | 0.50% | 0.75% | 0.50% | 0.75% | ||||
MyDestination 2045 | 0.50% | 0.75% | 0.50% | 0.75% | ||||
MyDestination 2055 | 0.50% | 0.75% | 0.50% | 0.75% | ||||
Equity Index | 0.15% | N/A | N/A | N/A | ||||
International Equity Index | 0.22% | N/A | 0.22% | N/A | ||||
Emerging Markets Equity | 1.32% | 1.57% | N/A | 1.57% |
Institutional Class | Investor Class | |||||||||||
Fund | 2021 | 2022 | 2023 | 2021 | 2022 | 2023 | ||||||
MyDestination 2015 | $23,338 | $ 85,750 | $114,196 | $106,157 | $356,438 | $368,132 | ||||||
MyDestination 2025 | 34,998 | 107,568 | 153,908 | 139,632 | 352,125 | 415,281 | ||||||
MyDestination 2035 | — | 904 | — | 33,115 | — | — | ||||||
MyDestination 2045 | — | — | — | 3,044 | — | — | ||||||
MyDestination 2055 | 27,146 | 22,333 | 19,316 | 90,006 | 40,211 | 29,868 | ||||||
International Equity Index | — | 55,832 | 25,539 | N/A | N/A | N/A | ||||||
Emerging Markets Equity | N/A | N/A | N/A | — | — | — |
Fund | Expenses Paid Through Brokerage Service Agreements | |
Value Equity | $ 9,930 | |
Growth Equity | 24,368 | |
Small Cap Equity | 52,395 | |
Emerging Markets Equity | 854 | |
Global Real Estate Securities | 17,720 |
Fund | MyDestination 2015 Fund | MyDestination 2025 Fund | MyDestination 2035 Fund | MyDestination 2045 Fund | MyDestination 2055 Fund | |||||||
Money Market | 0.56% | 1.61% | 1.59% | 1.16% | 0.47% | |||||||
Low-Duration Bond | 10.54 | 10.38 | — | — | — | |||||||
Medium-Duration Bond | 8.91 | 18.92 | 10.15 | 3.60 | 0.83 | |||||||
Global Bond | 6.52 | 15.36 | 8.80 | 3.15 | 0.76 | |||||||
Equity Index | 4.55 | 14.31 | 16.07 | 14.92 | 5.73 | |||||||
Small Cap Equity | 1.98 | 6.34 | 7.13 | 6.70 | 2.50 | |||||||
International Equity Index | 7.74 | 24.60 | 27.83 | 25.98 | 9.65 | |||||||
Emerging Markets Equity | 3.39 | 10.52 | 11.76 | 10.98 | 4.14 | |||||||
Global Real Estate Securities | 2.15 | 6.91 | 6.55 | 5.73 | 2.28 | |||||||
Strategic Alternatives | 6.19 | 8.47 | 0.76 | — | — |
Fund | Conservative Allocation Fund | Balanced Allocation Fund | Growth Allocation Fund | Aggressive Allocation Fund | ||||||
Money Market | 0.54% | 2.14% | 1.60% | 1.16% | ||||||
Low-Duration Bond | 24.66 | 9.75 | 3.34 | — | ||||||
Medium-Duration Bond | 3.23 | 18.22 | 6.48 | — | ||||||
Extended-Duration Bond | — | 28.74 | 10.00 | — | ||||||
Global Bond | 2.99 | 23.68 | 8.10 | — | ||||||
Value Equity | 2.64 | 14.67 | 20.39 | 24.54 | ||||||
Growth Equity | 1.57 | 8.72 | 12.15 | 14.95 | ||||||
Small Cap Equity | 0.92 | 5.14 | 6.91 | 8.76 | ||||||
International Equity | 2.62 | 14.66 | 20.16 | 24.29 | ||||||
Emerging Markets Equity | 1.81 | 10.11 | 13.89 | 16.78 |
Fund | Conservative Allocation Fund | Balanced Allocation Fund | Growth Allocation Fund | Aggressive Allocation Fund | ||||||
Global Real Estate Securities | 2.61% | 13.09% | 15.45% | —% | ||||||
Strategic Alternatives | 8.03 | 19.33 | 9.46 | — |
Total Value at 12/31/19 | Purchases | Sales Proceeds | Net Realized Gains/(Losses) | Change in Unrealized Appreciation/ (Depreciation) | Total Value at 12/31/20 | Dividend Income | Distributions of Realized Gains | ||||||||
MyDestination 2015 | |||||||||||||||
Money Market | $ 7,928 | $ 82,607 | $ 81,251 | $ — | $ — | $ 9,284 | $ 39 | $ — | |||||||
Low-Duration Bond | 101,492 | 27,825 | 18,900 | (32) | 1,662 | 112,047 | 1,745 | — | |||||||
Medium-Duration | 168,838 | 35,968 | 22,750 | 626 | 5,733 | 188,415 | 3,957 | 4,412 | |||||||
Global Bond | 67,577 | 2,272 | 34,600 | 1,220 | 1,306 | 37,775 | 467 | 505 | |||||||
Defensive Market Strategies® | 73,293 | 3,351 | 9,150 | 1,231 | 3,691 | 72,416 | 845 | 1,505 | |||||||
Equity Index | 113,490 | 25,313 | 41,780 | 5,505 | 10,804 | 113,332 | 1,683 | 1,130 | |||||||
Small Cap Equity | 11,423 | 2,956 | 2,500 | (854) | 2,799 | 13,824 | 1 | 155 | |||||||
International Equity Index | 64,455 | 9,160 | 16,200 | 89 | 2,808 | 60,312 | 1,160 | — | |||||||
Emerging Markets Equity | 20,054 | 3,745 | 2,100 | 103 | 4,721 | 26,523 | 245 | — | |||||||
Global Real Estate Securities | 5,771 | 142 | — | — | (404) | 5,509 | 103 | 40 | |||||||
Strategic Alternatives | 31,789 | 2,220 | 13,000 | 96 | (494) | 20,611 | 279 | 41 | |||||||
$ 666,110 | $ 195,559 | $ 242,231 | $ 7,984 | $ 32,626 | $ 660,048 | $10,524 | $ 7,788 | ||||||||
MyDestination 2025 | |||||||||||||||
Money Market | $ 23,192 | $ 142,300 | $ 139,046 | $ — | $ — | $ 26,446 | $ 98 | $ — | |||||||
Low-Duration Bond | 80,258 | 38,284 | 9,650 | — | 1,382 | 110,274 | 1,613 | — | |||||||
Medium-Duration | 358,573 | 93,997 | 66,000 | 2,529 | 11,041 | 400,140 | 8,512 | 9,485 | |||||||
Global Bond | 109,204 | 10,431 | 35,000 | 833 | 3,538 | 89,006 | 789 | 841 | |||||||
Defensive Market Strategies® | 156,262 | 14,111 | 2,000 | 325 | 11,249 | 179,947 | 1,975 | 3,535 | |||||||
Equity Index | 343,997 | 51,607 | 89,400 | 19,445 | 30,494 | 356,143 | 5,240 | 3,517 | |||||||
Small Cap Equity | 34,241 | 6,938 | 4,000 | (390) | 7,493 | 44,282 | 3 | 485 | |||||||
International Equity Index | 193,149 | 30,590 | 42,300 | 441 | 9,911 | 191,791 | 3,690 | — | |||||||
Emerging Markets Equity | 57,681 | 14,862 | 5,000 | 681 | 14,031 | 82,255 | 761 | — | |||||||
Global Real Estate Securities | 15,837 | 2,815 | — | — | (944) | 17,708 | 304 | 112 | |||||||
Strategic Alternatives | 36,524 | 5,133 | 13,000 | 96 | (531) | 28,222 | 382 | 51 | |||||||
$1,408,918 | $ 411,068 | $ 405,396 | $ 23,960 | $ 87,664 | $1,526,214 | $23,367 | $18,026 |
Total Value at 12/31/19 | Purchases | Sales Proceeds | Net Realized Gains/(Losses) | Change in Unrealized Appreciation/ (Depreciation) | Total Value at 12/31/20 | Dividend Income | Distributions of Realized Gains | ||||||||
MyDestination 2035 | |||||||||||||||
Money Market | $ 23,191 | $ 103,707 | $ 100,791 | $ — | $ — | $ 26,107 | $ 89 | $ — | |||||||
Medium-Duration | 165,821 | 71,874 | 29,179 | 1,266 | 4,805 | 214,587 | 4,241 | 5,133 | |||||||
Global Bond | 41,450 | 9,338 | 1,705 | (4) | 1,917 | 50,996 | 320 | 317 | |||||||
Defensive Market Strategies® | 55,874 | 14,014 | — | — | 5,025 | 74,913 | 763 | 1,415 | |||||||
Equity Index | 344,040 | 42,091 | 40,417 | 12,963 | 41,348 | 400,025 | 5,644 | 3,847 | |||||||
Small Cap Equity | 33,726 | 11,136 | 3,300 | (652) | 8,939 | 49,849 | 3 | 522 | |||||||
International Equity Index | 195,856 | 31,928 | 24,400 | 868 | 12,740 | 216,992 | 4,175 | — | |||||||
Emerging Markets Equity | 57,631 | 20,108 | 2,000 | 278 | 15,945 | 91,962 | 851 | — | |||||||
Global Real Estate Securities | 13,993 | 3,387 | — | — | (612) | 16,768 | 292 | 108 | |||||||
Strategic Alternatives | — | 2,538 | — | — | 10 | 2,548 | 34 | 3 | |||||||
$ 931,582 | $ 310,121 | $ 201,792 | $ 14,719 | $ 90,117 | $1,144,747 | $16,412 | $11,345 | ||||||||
MyDestination 2045 | |||||||||||||||
Money Market | $ 17,536 | $ 71,160 | $ 69,591 | $ — | $ — | $ 19,105 | $ 66 | $ — | |||||||
Medium-Duration | 57,282 | 26,744 | 9,911 | 455 | 1,660 | 76,230 | 1,473 | 1,785 | |||||||
Global Bond | 14,340 | 3,453 | 198 | 1 | 650 | 18,246 | 116 | 112 | |||||||
Defensive Market Strategies® | 34,431 | 4,303 | 279 | 8 | 2,609 | 41,072 | 436 | 797 | |||||||
Equity Index | 310,665 | 31,106 | 20,539 | 6,419 | 43,644 | 371,295 | 5,172 | 3,547 | |||||||
Small Cap Equity | 30,688 | 9,634 | 1,323 | (296) | 8,149 | 46,852 | 3 | 491 | |||||||
International Equity Index | 176,653 | 31,443 | 19,078 | 1,110 | 12,384 | 202,512 | 3,896 | — | |||||||
Emerging Markets Equity | 49,817 | 20,802 | 131 | 9 | 15,332 | 85,829 | 795 | — | |||||||
Global Real Estate Securities | 12,338 | 3,086 | 276 | (5) | (463) | 14,680 | 265 | 100 | |||||||
$ 703,750 | $ 201,731 | $ 121,326 | $ 7,701 | $ 83,965 | $ 875,821 | $12,222 | $ 6,832 | ||||||||
MyDestination 2055 | |||||||||||||||
Money Market | $ 5,503 | $ 57,649 | $ 55,485 | $ — | $ — | $ 7,667 | $ 22 | $ — | |||||||
Medium-Duration | 12,056 | 9,166 | 4,029 | 221 | 213 | 17,627 | 330 | 428 | |||||||
Global Bond | 3,018 | 2,015 | 812 | (17) | 200 | 4,404 | 28 | 22 | |||||||
Defensive Market Strategies® | 10,851 | 4,356 | 760 | (36) | 1,013 | 15,424 | 158 | 295 | |||||||
Equity Index | 101,682 | 28,291 | 6,197 | 1,576 | 17,221 | 142,573 | 1,909 | 1,331 | |||||||
Small Cap Equity | 10,044 | 7,207 | 2,794 | (571) | 3,573 | 17,459 | 1 | 188 | |||||||
International Equity Index | 57,819 | 23,769 | 11,946 | (323) | 5,919 | 75,238 | 1,435 | — | |||||||
Emerging Markets Equity | 16,306 | 12,510 | 2,279 | 535 | 5,310 | 32,382 | 298 | — | |||||||
Global Real Estate Securities | 4,030 | 2,559 | 701 | (22) | (20) | 5,846 | 97 | 35 | |||||||
$ 221,309 | $ 147,522 | $ 85,003 | $ 1,363 | $ 33,429 | $ 318,620 | $ 4,278 | $ 2,299 |
Total Value at 12/31/19 | Purchases | Sales Proceeds | Net Realized Gains/(Losses) | Change in Unrealized Appreciation/ (Depreciation) | Total Value at 12/31/20 | Dividend Income | Distributions of Realized Gains | ||||||||
Conservative Allocation | |||||||||||||||
Money Market | $ 7,508 | $ 75,277 | $ 73,978 | $ — | $ — | $ 8,807 | $ 28 | $ — | |||||||
Low-Duration Bond | 253,148 | 29,969 | 24,995 | 39 | 3,919 | 262,080 | 4,305 | — | |||||||
Medium-Duration | 67,538 | 5,263 | 7,065 | 156 | 2,427 | 68,319 | 1,547 | 1,665 | |||||||
Global Bond | 16,919 | 589 | 840 | (5) | 677 | 17,340 | 114 | 128 | |||||||
Defensive Market Strategies® | 39,041 | 4,617 | 5,610 | 591 | 2,113 | 40,752 | 464 | 852 | |||||||
Value Equity | 30,317 | 6,780 | 5,532 | (1,468) | 2,640 | 32,737 | 262 | 429 | |||||||
Growth Equity | 30,387 | 11,209 | 15,137 | 3,715 | 1,703 | 31,877 | 49 | 4,340 | |||||||
Small Cap Equity | 5,968 | 4,462 | 3,776 | (1,859) | 1,626 | 6,421 | — | 67 | |||||||
International Equity | 34,607 | 8,617 | 11,411 | (2,385) | 5,170 | 34,598 | 314 | 52 | |||||||
Emerging Markets Equity | 9,811 | 3,032 | 1,373 | 157 | 2,510 | 14,137 | 131 | — | |||||||
Global Real Estate Securities | 6,342 | 1,117 | 388 | 1 | (388) | 6,684 | 121 | 46 | |||||||
Strategic Alternatives | 25,945 | 1,796 | 556 | (24) | (433) | 26,728 | 352 | 32 | |||||||
$ 527,531 | $ 152,728 | $ 150,661 | $ (1,082) | $ 21,964 | $ 550,480 | $ 7,687 | $ 7,611 | ||||||||
Balanced Allocation | |||||||||||||||
Money Market | $ 32,553 | $ 116,257 | $ 113,612 | $ — | $ — | $ 35,198 | $ 134 | $ — | |||||||
Low-Duration Bond | 100,938 | 17,193 | 16,100 | 39 | 1,522 | 103,592 | 1,693 | — | |||||||
Medium-Duration | 373,501 | 65,404 | 67,890 | 2,086 | 12,376 | 385,477 | 8,476 | 9,127 | |||||||
Extended-Duration Bond | 67,709 | 13,698 | 15,520 | (803) | 4,378 | 69,462 | 1,564 | 3,035 | |||||||
Global Bond | 137,204 | 3,916 | 8,800 | (183) | 5,040 | 137,177 | 901 | 1,014 | |||||||
Defensive Market Strategies® | 166,321 | 7,983 | 13,800 | 1,626 | 9,594 | 171,724 | 1,950 | 3,434 | |||||||
Value Equity | 173,338 | 36,546 | 33,710 | (14,732) | 20,260 | 181,702 | 1,434 | 2,352 | |||||||
Growth Equity | 178,384 | 35,273 | 64,750 | 9,538 | 18,922 | 177,367 | 275 | 24,403 | |||||||
Small Cap Equity | 34,666 | 5,419 | 8,700 | (3,152) | 7,670 | 35,903 | 3 | 376 | |||||||
International Equity | 198,435 | 18,052 | 36,000 | (6,302) | 19,190 | 193,375 | 1,754 | 294 | |||||||
Emerging Markets Equity | 57,342 | 17,232 | 9,250 | 891 | 12,881 | 79,096 | 732 | — | |||||||
Global Real Estate Securities | 32,989 | 2,796 | — | — | (2,261) | 33,524 | 612 | 233 | |||||||
Strategic Alternatives | 61,490 | 5,905 | 1,900 | (92) | (1,022) | 64,381 | 830 | 76 | |||||||
$1,614,870 | $ 345,674 | $ 390,032 | $(11,084) | $108,550 | $1,667,978 | $20,358 | $44,344 |
Total Value at 12/31/19 | Purchases | Sales Proceeds | Net Realized Gains/(Losses) | Change in Unrealized Appreciation/ (Depreciation) | Total Value at 12/31/20 | Dividend Income | Distributions of Realized Gains | ||||||||
Growth Allocation | |||||||||||||||
Money Market | $ 24,106 | $ 116,748 | $ 114,545 | $ — | $ — | $ 26,309 | $ 116 | $ — | |||||||
Low-Duration Bond | 34,812 | 6,209 | 6,000 | (40) | 534 | 35,515 | 574 | — | |||||||
Medium-Duration | 127,032 | 36,726 | 31,850 | 1,006 | 4,080 | 136,994 | 2,902 | 3,070 | |||||||
Extended-Duration Bond | 23,027 | 8,461 | 8,615 | (123) | 1,404 | 24,154 | 538 | 1,051 | |||||||
Global Bond | 46,303 | 4,486 | 5,400 | (215) | 1,786 | 46,960 | 311 | 341 | |||||||
Defensive Market Strategies® | 57,242 | 2,448 | 3,600 | 30 | 3,601 | 59,721 | 672 | 1,184 | |||||||
Value Equity | 235,802 | 31,492 | 22,249 | (8,217) | 15,787 | 252,615 | 1,882 | 3,087 | |||||||
Growth Equity | 237,349 | 38,704 | 64,098 | 3,271 | 31,747 | 246,973 | 358 | 33,758 | |||||||
Small Cap Equity | 46,542 | 4,378 | 11,200 | (1,451) | 10,050 | 48,319 | 3 | 524 | |||||||
International Equity | 270,756 | 15,904 | 38,000 | (6,411) | 23,588 | 265,837 | 2,412 | 393 | |||||||
Emerging Markets Equity | 76,979 | 23,054 | 10,342 | 1,147 | 17,741 | 108,579 | 1,005 | — | |||||||
Global Real Estate Securities | 37,573 | 5,074 | 750 | (6) | (2,303) | 39,588 | 692 | 261 | |||||||
Strategic Alternatives | 28,937 | 4,092 | 1,000 | (11) | (500) | 31,518 | 403 | 37 | |||||||
$1,246,460 | $ 297,776 | $ 317,649 | $(11,020) | $107,515 | $1,323,082 | $11,868 | $43,706 | ||||||||
Aggressive Allocation | |||||||||||||||
Money Market | $ 18,929 | $ 89,228 | $ 89,137 | $ — | $ — | $ 19,020 | $ 80 | $ — | |||||||
Value Equity | 287,664 | 33,004 | 25,025 | (9,802) | 18,139 | 303,980 | 2,274 | 3,730 | |||||||
Growth Equity | 292,984 | 50,898 | 81,326 | 2,905 | 38,540 | 304,001 | 416 | 40,182 | |||||||
Small Cap Equity | 57,440 | 2,657 | 9,297 | (1,562) | 12,011 | 61,249 | 4 | 653 | |||||||
International Equity | 328,298 | 17,728 | 45,999 | (7,873) | 28,227 | 320,381 | 2,907 | 471 | |||||||
Emerging Markets Equity | 94,172 | 28,214 | 12,548 | 23 | 21,338 | 131,199 | 1,214 | — | |||||||
$1,079,487 | $ 221,729 | $ 263,332 | $(16,309) | $118,255 | $1,139,830 | $ 6,895 | $45,036 | ||||||||
Low-Duration Bond | |||||||||||||||
Money Market | $ 21,272 | $ 664,001 | $ 650,394 | $ — | $ — | $ 34,879 | $ 113 | $ — | |||||||
Medium-Duration Bond | |||||||||||||||
Money Market | $ 56,397 | $1,346,737 | $1,284,331 | $ — | $ — | $ 118,803 | $ 314 | $ — | |||||||
Extended-Duration Bond | |||||||||||||||
Money Market | $ 7,809 | $ 314,402 | $ 305,873 | $ — | $ — | $ 16,338 | $ 50 | $ — | |||||||
Global Bond | |||||||||||||||
Money Market | $ 28,765 | $ 422,330 | $ 404,928 | $ — | $ — | $ 46,167 | $ 129 | $ — | |||||||
Defensive Market Strategies® | |||||||||||||||
Money Market | $ 68,295 | $ 452,054 | $ 434,483 | $ — | $ — | $ 85,866 | $ 297 | $ — | |||||||
Equity Index | |||||||||||||||
Money Market | $ 53,884 | $ 373,561 | $ 386,547 | $ — | $ — | $ 40,898 | $ 243 | $ — | |||||||
Value Equity | |||||||||||||||
Money Market | $ 28,845 | $ 635,596 | $ 627,646 | $ — | $ — | $ 36,795 | $ 178 | $ — | |||||||
Growth Equity | |||||||||||||||
Money Market | $ 52,530 | $ 864,577 | $ 854,948 | $ — | $ — | $ 62,159 | $ 221 | $ — |
Total Value at 12/31/19 | Purchases | Sales Proceeds | Net Realized Gains/(Losses) | Change in Unrealized Appreciation/ (Depreciation) | Total Value at 12/31/20 | Dividend Income | Distributions of Realized Gains | ||||||||
Small Cap Equity | |||||||||||||||
Money Market | $ 14,895 | $ 242,919 | $ 232,183 | $ — | $ — | $ 25,631 | $ 88 | $ — | |||||||
International Equity Index | |||||||||||||||
Money Market | $ 30,770 | $ 342,852 | $ 352,207 | $ — | $ — | $ 21,415 | $ 157 | $ — | |||||||
International Equity | |||||||||||||||
Money Market | $ 56,058 | $ 853,513 | $ 823,143 | $ — | $ — | $ 86,428 | $ 262 | $ — | |||||||
Emerging Markets Equity | |||||||||||||||
Money Market | $ 14,969 | $ 277,495 | $ 270,640 | $ — | $ — | $ 21,824 | $ 68 | $ — | |||||||
Global Real Estate Securities | |||||||||||||||
Money Market | $ 7,061 | $ 73,706 | $ 73,058 | $ — | $ — | $ 7,709 | $ 31 | $ — | |||||||
Strategic Alternatives | |||||||||||||||
Money Market | $ 48,154 | $ 351,429 | $ 332,513 | $ — | $ — | $ 67,070 | $ 220 | $ — |
Fund | Value of Securities Loaned | Value of Non-cash Collateral | Value of Cash Collateral | Total Value of Collateral * | ||||
Low-Duration Bond | $ 6,373,654 | $ 1,582,754 | $ 4,997,935 | $ 6,580,689 | ||||
Medium-Duration Bond | 10,554,540 | 5,254,514 | 5,683,990 | 10,938,504 | ||||
Extended-Duration Bond | 8,874,676 | 1,002,543 | 8,097,240 | 9,099,783 | ||||
Global Bond | 16,950,205 | 5,636,066 | 12,031,101 | 17,667,167 | ||||
Defensive Market Strategies® | 31,416,444 | 24,293,156 | 7,790,329 | 32,083,485 | ||||
Equity Index | 98,074,886 | 97,460,680 | 1,860,417 | 99,321,097 | ||||
Value Equity | 40,320,832 | 34,197,627 | 7,018,157 | 41,215,784 | ||||
Growth Equity | 156,571,654 | 154,135,091 | 5,775,025 | 159,910,116 | ||||
Small Cap Equity | 74,998,616 | 55,781,252 | 21,315,854 | 77,097,106 | ||||
International Equity Index | 25,598,542 | 16,810,941 | 10,375,503 | 27,186,444 | ||||
International Equity | 7,748,164 | 7,840,761 | 433,814 | 8,274,575 | ||||
Emerging Markets Equity | 13,109,002 | 10,355,068 | 3,334,269 | 13,689,337 | ||||
Global Real Estate Securities | 7,173,339 | 7,474,226 | 12,000 | 7,486,226 |
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 | |||||||
Fund | Purchases | Sale and Maturity Proceeds | Purchases | Sale and Maturity Proceeds | ||||
MyDestination 2015 | $ 112,954,282 | $ 160,980,000 | $ 37,401,367 | $ — | ||||
MyDestination 2025 | 268,766,560 | 266,350,000 | 40,894,405 | — | ||||
MyDestination 2035 | 206,413,870 | 101,000,762 | — | — | ||||
MyDestination 2045 | 130,570,789 | 53,049,280 | — | — | ||||
MyDestination 2055 | 89,874,057 | 29,518,260 | — | — | ||||
Conservative Allocation | 77,451,290 | 76,683,076 | — | — | ||||
Balanced Allocation | 229,417,656 | 276,420,000 | — | — | ||||
Growth Allocation | 181,029,804 | 203,104,906 | — | — | ||||
Aggressive Allocation | 132,501,200 | 174,195,351 | — | — |
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 | |||||||
Fund | Purchases | Sale and Maturity Proceeds | Purchases | Sale and Maturity Proceeds | ||||
Money Market | $ — | $ — | $ — | $ — | ||||
Low-Duration Bond | 442,546,381 | 439,409,829 | 1,648,139,414 | 1,694,785,293 | ||||
Medium-Duration Bond | 624,325,864 | 430,645,145 | 8,545,750,216 | 8,602,955,382 | ||||
Extended-Duration Bond | 99,095,080 | 86,313,834 | 142,619,634 | 205,429,996 | ||||
Global Bond | 229,762,554 | 246,450,715 | 286,172,631 | 297,398,539 | ||||
Defensive Market Strategies® | 623,927,395 | 688,323,655 | — | — | ||||
Equity Index | 87,260,054 | 68,174,009 | — | — | ||||
Value Equity | 1,023,208,440 | 1,031,672,169 | — | — | ||||
Growth Equity | 686,840,858 | 905,632,751 | — | — | ||||
Small Cap Equity | 480,462,364 | 496,567,643 | — | — | ||||
International Equity Index | 108,124,619 | 80,623,738 | — | — | ||||
International Equity | 1,056,927,709 | 1,178,736,957 | — | — | ||||
Emerging Markets Equity | 457,188,959 | 352,162,448 | — | — | ||||
Global Real Estate Securities | 329,535,084 | 318,294,075 | — | — | ||||
Strategic Alternatives | 659,169,898 | 704,356,044 | 293,551,860 | 270,552,070 |
Year Ended 12/31/20 | Year Ended 12/31/19 | |||||||
Fund | Institutional Class | Investor Class | Institutional Class | Investor Class | ||||
MyDestination 2015 | ||||||||
Shares sold | 3,954,586 | 5,841,286 | 5,158,213 | 4,844,500 | ||||
Shares reinvested | 584,325 | 1,712,284 | 559,684 | 1,952,980 | ||||
Shares redeemed | (2,774,775) | (9,781,383) | (3,068,691) | (9,086,967) | ||||
Net increase (decrease) | 1,764,136 | (2,227,813) | 2,649,206 | (2,289,487) | ||||
MyDestination 2025 | ||||||||
Shares sold | 9,502,995 | 10,223,052 | 10,994,862 | 10,950,754 | ||||
Shares reinvested | 1,613,446 | 3,787,610 | 1,334,327 | 3,668,881 | ||||
Shares redeemed | (5,285,427) | (13,900,994) | (4,977,012) | (11,030,457) | ||||
Net increase (decrease) | 5,831,014 | 109,668 | 7,352,177 | 3,589,178 | ||||
MyDestination 2035 | ||||||||
Shares sold | 9,316,171 | 7,801,251 | 8,627,301 | 9,078,117 | ||||
Shares reinvested | 1,092,132 | 2,060,346 | 915,016 | 2,121,864 | ||||
Shares redeemed | (2,464,219) | (6,219,666) | (3,590,511) | (5,865,794) | ||||
Net increase (decrease) | 7,944,084 | 3,641,931 | 5,951,806 | 5,334,187 |
Year Ended 12/31/20 | Year Ended 12/31/19 | |||||||
Fund | Institutional Class | Investor Class | Institutional Class | Investor Class | ||||
MyDestination 2045 | ||||||||
Shares sold | 7,274,383 | 5,459,257 | 6,343,932 | 6,961,249 | ||||
Shares reinvested | 752,810 | 1,174,641 | 810,936 | 1,540,878 | ||||
Shares redeemed | (1,856,485) | (3,891,331) | (3,384,656) | (4,302,572) | ||||
Net increase (decrease) | 6,170,708 | 2,742,567 | 3,770,212 | 4,199,555 | ||||
MyDestination 2055 | ||||||||
Shares sold | 3,221,084 | 2,974,790 | 2,254,239 | 2,980,112 | ||||
Shares reinvested | 192,281 | 255,699 | 231,456 | 410,459 | ||||
Shares redeemed | (544,192) | (1,329,427) | (1,614,674) | (1,187,683) | ||||
Net increase (decrease) | 2,869,173 | 1,901,062 | 871,021 | 2,202,888 | ||||
Conservative Allocation | ||||||||
Shares sold | 3,115,181 | 6,025,256 | 2,236,774 | 4,113,153 | ||||
Shares reinvested | 345,262 | 972,786 | 436,752 | 1,552,451 | ||||
Shares redeemed | (1,814,211) | (8,399,243) | (1,024,764) | (6,872,227) | ||||
Net increase (decrease) | 1,646,232 | (1,401,201) | 1,648,762 | (1,206,623) | ||||
Balanced Allocation | ||||||||
Shares sold | 6,048,706 | 3,807,383 | 6,029,393 | 4,653,123 | ||||
Shares reinvested | 1,679,755 | 4,353,835 | 1,971,376 | 6,248,266 | ||||
Shares redeemed | (3,762,664) | (14,949,314) | (3,789,186) | (14,563,358) | ||||
Net increase (decrease) | 3,965,797 | (6,788,096) | 4,211,583 | (3,661,969) | ||||
Growth Allocation | ||||||||
Shares sold | 6,985,174 | 2,555,985 | 3,334,747 | 3,143,548 | ||||
Shares reinvested | 1,523,051 | 3,326,240 | 2,260,314 | 6,601,445 | ||||
Shares redeemed | (3,351,456) | (12,391,878) | (2,451,859) | (11,164,910) | ||||
Net increase (decrease) | 5,156,769 | (6,509,653) | 3,143,202 | (1,419,917) | ||||
Aggressive Allocation | ||||||||
Shares sold | 3,705,297 | 2,019,950 | 3,720,629 | 2,481,588 | ||||
Shares reinvested | 1,334,823 | 3,803,971 | 2,225,911 | 7,719,037 | ||||
Shares redeemed | (2,725,590) | (10,759,488) | (1,717,716) | (10,063,469) | ||||
Net increase (decrease) | 2,314,530 | (4,935,567) | 4,228,824 | 137,156 | ||||
Money Market | ||||||||
Shares sold | 6,163,830,443 | 592,641,014 | 4,301,371,523 | 372,222,653 | ||||
Shares reinvested | 956,522 | 1,146,593 | 4,362,064 | 7,235,378 | ||||
Shares redeemed | (5,900,852,960) | (510,679,540) | (4,243,079,202) | (395,729,389) | ||||
Net increase (decrease) | 263,934,005 | 83,108,067 | 62,654,385 | (16,271,358) | ||||
Low-Duration Bond | ||||||||
Shares sold | 13,014,811 | 6,641,741 | 12,551,013 | 2,530,141 | ||||
Shares reinvested | 977,656 | 259,595 | 1,315,187 | 408,076 | ||||
Shares redeemed | (10,491,843) | (6,615,258) | (2,665,469) | (8,680,164) | ||||
Net increase (decrease) | 3,500,624 | 286,078 | 11,200,731 | (5,741,947) |
Year Ended 12/31/20 | Year Ended 12/31/19 | |||||||
Fund | Institutional Class | Investor Class | Institutional Class | Investor Class | ||||
Medium-Duration Bond | ||||||||
Shares sold | 23,174,330 | 11,372,906 | 13,540,278 | 4,682,843 | ||||
Shares reinvested | 4,833,083 | 1,102,570 | 3,796,051 | 738,258 | ||||
Shares redeemed | (17,808,905) | (6,032,291) | (6,207,432) | (3,889,971) | ||||
Net increase (decrease) | 10,198,508 | 6,443,185 | 11,128,897 | 1,531,130 | ||||
Extended-Duration Bond | ||||||||
Shares sold | 2,287,712 | 4,298,608 | 1,144,874 | 2,164,773 | ||||
Shares reinvested | 485,853 | 456,259 | 273,186 | 268,885 | ||||
Shares redeemed | (2,863,836) | (6,146,128) | (869,183) | (2,073,902) | ||||
Net increase (decrease) | (90,271) | (1,391,261) | 548,877 | 359,756 | ||||
Global Bond | ||||||||
Shares sold | 4,679,608 | 3,717,306 | 7,165,911 | 3,993,143 | ||||
Shares reinvested | 748,219 | 167,753 | 1,668,672 | 370,923 | ||||
Shares redeemed | (9,666,069) | (4,803,998) | (4,101,504) | (4,325,191) | ||||
Net increase (decrease) | (4,238,242) | (918,939) | 4,733,079 | 38,875 | ||||
Defensive Market Strategies® | ||||||||
Shares sold | 8,837,431 | 8,553,413 | 5,887,780 | 10,224,002 | ||||
Shares reinvested | 2,102,310 | 863,559 | 3,346,366 | 1,808,567 | ||||
Shares redeemed | (5,938,430) | (15,047,761) | (4,354,794) | (8,025,323) | ||||
Net increase (decrease) | 5,001,311 | (5,630,789) | 4,879,352 | 4,007,246 | ||||
Equity Index | ||||||||
Shares sold | 7,172,193 | 4,028,675 | 5,273,559 | 2,798,001 | ||||
Shares reinvested | 1,094,506 | 407,965 | 950,842 | 376,640 | ||||
Shares redeemed | (7,203,880) | (4,783,978) | (4,085,318) | (3,070,984) | ||||
Net increase (decrease) | 1,062,819 | (347,338) | 2,139,083 | 103,657 | ||||
Value Equity | ||||||||
Shares sold | 7,795,853 | 1,777,945 | 1,776,842 | 1,533,095 | ||||
Shares reinvested | 1,118,804 | 427,101 | 4,805,181 | 2,153,966 | ||||
Shares redeemed | (6,309,723) | (4,638,934) | (4,726,326) | (3,533,365) | ||||
Net increase (decrease) | 2,604,934 | (2,433,888) | 1,855,697 | 153,696 | ||||
Growth Equity | ||||||||
Shares sold | 4,120,060 | 5,586,233 | 2,648,920 | 2,755,516 | ||||
Shares reinvested | 4,898,291 | 4,462,768 | 3,361,800 | 2,756,872 | ||||
Shares redeemed | (9,884,270) | (7,786,124) | (6,050,380) | (5,306,239) | ||||
Net increase (decrease) | (865,919) | 2,262,877 | (39,660) | 206,149 | ||||
Small Cap Equity | ||||||||
Shares sold | 5,631,789 | 1,898,770 | 2,806,216 | 1,842,795 | ||||
Shares reinvested | 253,228 | 161,944 | 813,704 | 611,340 | ||||
Shares redeemed | (4,462,268) | (4,061,625) | (1,738,011) | (3,764,720) | ||||
Net increase (decrease) | 1,422,749 | (2,000,911) | 1,881,909 | (1,310,585) |
Year Ended 12/31/20 | Year Ended 12/31/19 | |||||||
Fund | Institutional Class | Investor Class | Institutional Class | Investor Class | ||||
International Equity Index | ||||||||
Shares sold | 12,672,824 | 7,423,012 | ||||||
Shares reinvested | 1,293,518 | 1,904,082 | ||||||
Shares redeemed | (12,004,967) | (2,703,988) | ||||||
Net increase (decrease) | 1,961,375 | 6,623,106 | ||||||
International Equity | ||||||||
Shares sold | 7,361,947 | 4,542,828 | 4,636,440 | 3,794,260 | ||||
Shares reinvested | 698,441 | 248,191 | 3,415,346 | 1,187,097 | ||||
Shares redeemed | (11,713,326) | (6,717,160) | (5,939,356) | (3,802,408) | ||||
Net increase (decrease) | (3,652,938) | (1,926,141) | 2,112,430 | 1,178,949 | ||||
Emerging Markets Equity | ||||||||
Shares sold | 15,079,591 | 3,378,715 | 4,547,780 | 2,102,847 | ||||
Shares reinvested | 524,454 | 69,903 | 1,150,802 | 160,273 | ||||
Shares redeemed | (4,887,986) | (3,050,235) | (2,152,678) | (2,318,633) | ||||
Net increase (decrease) | 10,716,059 | 398,383 | 3,545,904 | (55,513) | ||||
Global Real Estate Securities | ||||||||
Shares sold | 3,516,750 | 1,923,142 | 2,054,553 | 2,974,207 | ||||
Shares reinvested | 485,813 | 244,982 | 1,142,558 | 726,106 | ||||
Shares redeemed | (1,093,397) | (3,814,177) | (2,674,346) | (2,791,652) | ||||
Net increase (decrease) | 2,909,166 | (1,646,053) | 522,765 | 908,661 | ||||
Strategic Alternatives | ||||||||
Shares sold | 3,501,927 | 1,381,827 | 3,452,292 | 1,225,099 | ||||
Shares reinvested | 437,942 | 71,618 | 716,595 | 105,265 | ||||
Shares redeemed | (7,675,637) | (2,384,115) | (4,070,510) | (2,549,140) | ||||
Net increase (decrease) | (3,735,768) | (930,670) | 98,377 | (1,218,776) |
Fund | Year | Ordinary Income | Long-Term Capital Gain | Return of Capital | Total Distribution | |||||
MyDestination 2015 | 2020 | $12,565,070 | $ 12,607,570 | $— | $ 25,172,640 | |||||
2019 | 16,670,062 | 9,643,245 | — | 26,313,307 | ||||||
MyDestination 2025 | 2020 | 27,713,188 | 32,209,350 | — | 59,922,538 | |||||
2019 | 33,763,974 | 18,708,958 | — | 52,472,932 | ||||||
MyDestination 2035 | 2020 | 17,996,374 | 17,071,606 | — | 35,067,980 | |||||
2019 | 20,667,946 | 10,532,737 | — | 31,200,683 | ||||||
MyDestination 2045 | 2020 | 12,069,806 | 8,891,954 | — | 20,961,760 | |||||
2019 | 14,714,829 | 8,586,521 | — | 23,301,350 | ||||||
MyDestination 2055 | 2020 | 4,190,065 | 2,627,172 | — | 6,817,237 | |||||
2019 | 4,672,156 | 4,193,333 | — | 8,865,489 | ||||||
Conservative Allocation | 2020 | 8,066,854 | 7,767,774 | — | 15,834,628 | |||||
2019 | 10,900,966 | 12,236,121 | — | 23,137,087 | ||||||
Balanced Allocation | 2020 | 28,506,102 | 49,210,305 | — | 77,716,407 | |||||
2019 | 34,502,761 | 66,794,786 | — | 101,297,547 | ||||||
Growth Allocation | 2020 | 17,369,914 | 46,300,306 | — | 63,670,220 | |||||
2019 | 19,999,040 | 89,559,476 | — | 109,558,516 | ||||||
Aggressive Allocation | 2020 | 8,916,496 | 56,673,604 | — | 65,590,100 | |||||
2019 | 11,003,181 | 107,448,362 | — | 118,451,543 | ||||||
Money Market | 2020 | 5,470,866 | — | — | 5,470,866 | |||||
2019 | 27,768,702 | — | — | 27,768,702 | ||||||
Low-Duration Bond | 2020 | 16,775,256 | — | — | 16,775,256 | |||||
2019 | 23,248,543 | — | — | 23,248,543 | ||||||
Medium-Duration Bond | 2020 | 75,884,836 | 17,168,953 | — | 93,053,789 | |||||
2019 | 59,270,742 | 8,895,418 | — | 68,166,160 |
Fund | Year | Ordinary Income | Long-Term Capital Gain | Return of Capital | Total Distribution | |||||
Extended-Duration Bond | 2020 | $10,523,043 | $ 7,411,869 | $— | $ 17,934,912 | |||||
2019 | 7,545,607 | 2,246,414 | — | 9,792,021 | ||||||
Global Bond | 2020 | 5,241,240 | 3,452,155 | — | 8,693,395 | |||||
2019 | 20,221,476 | — | — | 20,221,476 | ||||||
Defensive Market Strategies® | 2020 | 23,036,188 | 17,204,915 | — | 40,241,103 | |||||
2019 | 29,152,022 | 39,137,230 | — | 68,289,252 | ||||||
Equity Index | 2020 | 35,622,071 | 21,573,380 | — | 57,195,451 | |||||
2019 | 36,174,047 | 9,614,945 | — | 45,788,992 | ||||||
Value Equity | 2020 | 19,235,843 | 5,328,149 | — | 24,563,992 | |||||
2019 | 20,124,546 | 112,001,078 | — | 132,125,624 | ||||||
Growth Equity | 2020 | 7,209,774 | 268,265,100 | — | 275,474,874 | |||||
2019 | 5,232,310 | 151,896,069 | — | 157,128,379 | ||||||
Small Cap Equity | 2020 | 141,264 | 7,359,533 | — | 7,500,797 | |||||
2019 | 746,585 | 21,320,019 | — | 22,066,604 | ||||||
International Equity Index | 2020 | 14,997,073 | — | — | 14,997,073 | |||||
2019 | 20,799,847 | — | — | 20,799,847 | ||||||
International Equity | 2020 | 12,000,055 | 1,905,316 | — | 13,905,371 | |||||
2019 | 28,005,024 | 36,195,026 | — | 64,200,050 | ||||||
Emerging Markets Equity | 2020 | 7,195,743 | — | — | 7,195,743 | |||||
2019 | 13,250,595 | — | — | 13,250,595 | ||||||
Global Real Estate Securities | 2020 | 6,343,774 | — | — | 6,343,774 | |||||
2019 | 19,123,112 | — | — | 19,123,112 | ||||||
Strategic Alternatives | 2020 | 5,034,145 | 39,191 | — | 5,073,336 | |||||
2019 | 6,848,636 | 1,494,225 | — | 8,342,861 |
Fund | Undistributed Ordinary Income | Undistributed Long-Term Capital Gain | Qualified Late Year Losses | Net Unrealized Appreciation Depreciation | ||||
MyDestination 2015 | $ 289,225 | $ 7,404,399 | $ — | $ 59,435,340 | ||||
MyDestination 2025 | 610,840 | 15,122,635 | — | 164,118,102 | ||||
MyDestination 2035 | 337,246 | 10,546,473 | — | 157,225,744 | ||||
MyDestination 2045 | 190,094 | 7,787,040 | — | 141,519,803 | ||||
MyDestination 2055 | 46,869 | 3,056,662 | — | 47,490,752 | ||||
Conservative Allocation | 164,599 | 6,117,955 | — | 22,943,033 | ||||
Balanced Allocation | 883,548 | 29,198,968 | — | 86,372,873 | ||||
Growth Allocation | 451,958 | 32,309,490 | — | 68,682,130 | ||||
Aggressive Allocation | 1,422,852 | 33,221,124 | — | 61,901,346 | ||||
Money Market | 41,929 | — | — | — | ||||
Low-Duration Bond | — | — | (810,617) | 10,400,706 | ||||
Medium-Duration Bond | 4,130,135 | 1,509,507 | — | 97,010,883 | ||||
Extended-Duration Bond | 2,492,426 | 10,422,782 | — | 17,836,074 | ||||
Global Bond | 10,572,536 | — | — | 15,358,205 | ||||
Defensive Market Strategies® | 14,061,683 | 13,576,480 | — | 225,747,620 | ||||
Equity Index | 3,709,783 | 25,700,577 | — | 949,241,730 | ||||
Value Equity | 6,605,157 | 10,644,658 | — | 168,682,031 |
Fund | Undistributed Ordinary Income | Undistributed Long-Term Capital Gain | Qualified Late Year Losses | Net Unrealized Appreciation Depreciation | ||||
Growth Equity | $ 3,103,028 | $39,139,276 | $ — | $811,180,446 | ||||
Small Cap Equity | 4,621,065 | — | — | 141,189,361 | ||||
International Equity Index | 1,228,989 | — | — | 91,979,952 | ||||
International Equity | 1,179,709 | — | — | 176,550,519 | ||||
Emerging Markets Equity | 8,657,260 | 6,995,801 | — | 153,734,938 | ||||
Global Real Estate Securities | 4,153,739 | — | — | 8,637,783 | ||||
Strategic Alternatives | 778,124 | — | — | 3,128,584 |
Fund | Unlimited | |
International Equity Index | $ 6,911,396 | |
International Equity | 10,555,774 | |
Global Real Estate Securities | 18,828,236 | |
Strategic Alternatives | 7,269,350 |
Fund | Carryforward Utilized | |
Low-Duration Bond | $11,833,765 | |
Emerging Markets Equity | 9,190,780 | |
Fund | Capital | Ordinary Income | Total | |||
Low-Duration Bond | $ — | $810,617 | $810,617 |
Fund | Federal Tax Cost | Net Unrealized Appreciation (Depreciation) | Appreciated Investments | Depreciated Investments | ||||
MyDestination 2015 | $ 638,171,058 | $ 59,435,340 | $ 60,044,679 | $ (609,339) | ||||
MyDestination 2025 | 1,403,158,049 | 164,118,102 | 165,113,721 | (995,619) | ||||
MyDestination 2035 | 987,521,096 | 157,225,745 | 157,546,973 | (321,228) | ||||
MyDestination 2045 | 734,301,563 | 141,519,803 | 141,634,745 | (114,942) | ||||
MyDestination 2055 | 271,129,699 | 47,490,752 | 47,490,752 | — |
Fund | Federal Tax Cost | Net Unrealized Appreciation (Depreciation) | Appreciated Investments | Depreciated Investments | ||||
Conservative Allocation | $ 527,536,973 | $ 22,943,033 | $ 23,284,953 | $ (341,920) | ||||
Balanced Allocation | 1,581,604,796 | 86,372,873 | 88,297,352 | (1,924,479) | ||||
Growth Allocation | 1,254,399,933 | 68,682,130 | 83,702,830 | (15,020,700) | ||||
Aggressive Allocation | 1,077,928,795 | 61,901,346 | 81,602,868 | (19,701,522) | ||||
Money Market | 1,638,359,524 | — | — | — | ||||
Low-Duration Bond | 1,050,991,069 | 10,238,720 | 15,491,048 | (5,252,328) | ||||
Medium-Duration Bond | 2,236,819,459 | 96,603,595 | 111,651,628 | (15,048,033) | ||||
Extended-Duration Bond | 233,209,053 | 17,834,994 | 21,286,676 | (3,451,682) | ||||
Global Bond | 581,788,197 | 15,255,171 | 37,402,503 | (22,147,332) | ||||
Defensive Market Strategies® | 1,115,257,636 | 225,724,347 | 232,770,377 | (7,046,030) | ||||
Equity Index | 1,535,509,280 | 949,241,729 | 1,131,776,416 | (182,534,687) | ||||
Value Equity | 1,075,068,410 | 168,682,031 | 185,908,511 | (17,226,480) | ||||
Growth Equity | 1,214,964,120 | 811,180,446 | 819,599,416 | (8,418,970) | ||||
Small Cap Equity | 575,284,325 | 141,189,363 | 163,382,337 | (22,192,974) | ||||
International Equity Index | 691,500,908 | 91,781,592 | 156,446,578 | (64,664,986) | ||||
International Equity | 1,106,921,499 | 177,068,535 | 203,139,304 | (26,070,769) | ||||
Emerging Markets Equity | 621,255,653 | 155,656,914 | 197,994,892 | (42,337,978) | ||||
Global Real Estate Securities | 246,442,981 | 8,627,193 | 13,982,214 | (5,355,021) | ||||
Strategic Alternatives | 346,060,787 | 3,129,028 | 22,489,537 | (19,360,509) |
Fund | Ordinary Income | Long-Term Capital Gain (20% rate) | Return of Capital | |||
MyDestination 2015 | $ 12,565,070 | $ 12,607,570 | $ — | |||
MyDestination 2025 | 27,713,188 | 32,209,350 | — | |||
MyDestination 2035 | 17,996,374 | 17,071,606 | — | |||
MyDestination 2045 | 12,069,806 | 8,891,954 | — | |||
MyDestination 2055 | 4,190,065 | 2,627,172 | — | |||
Conservative Allocation | 8,066,854 | 7,767,774 | — | |||
Balanced Allocation | 28,506,102 | 49,210,305 | — | |||
Growth Allocation | 17,369,914 | 46,300,306 | — | |||
Aggressive Allocation | 8,916,496 | 56,673,604 | — | |||
Money Market | 5,470,866 | — | — | |||
Low-Duration Bond | 16,775,256 | — | — | |||
Medium-Duration Bond | 75,884,836 | 17,168,953 | — | |||
Extended-Duration Bond | 10,523,043 | 7,411,869 | — | |||
Global Bond | 5,241,240 | 3,452,155 | — | |||
Defensive Market Strategies® | 23,036,188 | 17,204,915 | — | |||
Equity Index | 35,622,071 | 21,573,380 | — | |||
Value Equity | 19,235,843 | 5,328,149 | — | |||
Growth Equity | 7,209,774 | 268,265,100 | — | |||
Small Cap Equity | 141,264 | 7,359,533 | — | |||
International Equity Index | 14,997,073 | — | — | |||
International Equity | 12,000,055 | 1,905,316 | — | |||
Emerging Markets Equity | 7,195,743 | — | — | |||
Global Real Estate Securities | 6,343,774 | — | — | |||
Strategic Alternatives | 5,034,145 | 39,191 | — | |||
Fund | Qualified Dividend Income | Qualified Short Term | ||
MyDestination 2015 | 31.68 % | — % | ||
MyDestination 2025 | 42.51 % | — % | ||
MyDestination 2035 | 64.43 % | — % | ||
MyDestination 2045 | 87.37 % | — % | ||
MyDestination 2055 | 91.35 % | — % | ||
Conservative Allocation | 20.96 % | — % | ||
Balanced Allocation | 30.14 % | — % | ||
Growth Allocation | 55.82 % | — % | ||
Aggressive Allocation | 100.00 % | 100.00 % | ||
Extended-Duration Bond | 0.23 % | — % | ||
Global Bond | 4.00 % | 2.68 % | ||
Defensive Market Strategies® | 94.99 % | — % | ||
Equity Index | 100.00 % | 59.08 % | ||
Value Equity | 100.00 % | 100.00 % | ||
Growth Equity | 100.00 % | 100.00 % | ||
Small Cap Equity | 100.00 % | — % | ||
International Equity Index | 100.00 % | — % | ||
International Equity | 100.00 % | — % | ||
Emerging Markets Equity | 77.07 % | — % | ||
Global Real Estate Securities | 30.05 % | — % | ||
Strategic Alternatives | 7.77 % | — % | ||
Fund | Long Term Capital Gain Rate |
MyDestination 2015 | $0.2047 |
MyDestination 2025 | 0.2380 |
MyDestination 2035 | 0.1731 |
MyDestination 2045 | 0.1145 |
MyDestination 2055 | 0.1304 |
Conservative Allocation | 0.1740 |
Balanced Allocation | 0.3973 |
Growth Allocation | 0.4860 |
Aggressive Allocation | 0.6846 |
Medium-Duration Bond | 0.1344 |
Extended-Duration Bond | 0.4715 |
Defensive Market Strategies® | 0.1527 |
Equity Index | 0.2748 |
Growth Equity | 4.1547 |
Small Cap Equity | 0.1978 |
International Equity | 0.0204 |
Strategic Alternatives | 0.0011 |
Name, (Year 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 Trustee2 |
INDEPENDENT TRUSTEES | ||||
Thomas G. Evans (1961) 5005 Lyndon B. Johnson Freeway Suite 2200 Dallas, TX 75244-6152 Trustee | Since 2020 | Owner, Encompass Financial Services, Inc., 1985-present. | 24 | None |
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. | 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 | None |
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. | 24 | None |
David B. McMillan (1957) 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 | None |
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 |
Ronald D. Murff (1953) 5005 Lyndon B. Johnson Freeway Suite 2200 Dallas, TX 75244-6152 Trustee | Since 2019 | President, JKL Group, LLC, 2010 – present; Principal, Dalcor Companies, 2012 – present. | 24 | None |
INTERESTED TRUSTEES3 | ||||
David Cox, Sr. (1972) 5005 Lyndon B. Johnson Freeway Suite 2200 Dallas, TX 75244-6152 Trustee | Since 2020 | LLP Manager, Penske Logistics, Inc., 2004 – present. | 24 | None |
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 | None |
Name, (Year 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 Trustee2 |
OFFICERS WHO ARE NOT TRUSTEES4 | ||||
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. | 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 |
David S. Spika (1964) 5005 Lyndon B. Johnson Freeway Suite 2200 Dallas, TX 75244-6152 Executive Vice President | Since 2019 | Vice President and Chief Strategic Investment Officer, GuideStone Financial Resources, 2016 – present; Global Investment Strategist, GuideStone Financial Resources, 2015 – 2016. | N/A | N/A |
Brandon Waldeck (1977) 5005 Lyndon B. Johnson Freeway Suite 2200 Dallas, TX 75244-6152 AML Officer | Since 2020 | Senior Manager – Fraud Risk, GuideStone Financial Resources, 2019 – present; Director of Ethics Office Trade Monitoring, Fidelity Investments, 2001 – 2019. | N/A | N/A |
Matthew A. Wolfe (1982) 5005 Lyndon B. Johnson Freeway Suite 2200 Dallas, TX 75244-6152 Chief Compliance Officer, Chief Legal Officer and Secretary | Since 20175 | Managing Director, Compliance and Legal, GuideStone Financial Resources, 2020 – present; Associate Counsel – Investment and Corporate Services, GuideStone Financial Resources, 2015 – 2020; 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 Assistant Treasurer | Since 2016 | Director, Financial Reporting & Analysis, GuideStone Financial Resources, 2015 – present. | N/A | N/A |
• | the process for categorizing each Fund’s portfolio holdings into one of four liquidity categories, as defined in the Rule and the role of the Funds’ third-party liquidity classification data provider in the classification process, noting that no operational or compliance issues were detected; |
• | a review of the Funds’ liquidity factors, as enumerated in the Rule; |
• | the Funds remained primarily highly liquid, as the term is defined in the Rule; |
• | due to the highly liquid nature of the Funds, a highly liquid investment minimum had not been established; |
• | there were no liquidity events that materially affected the ability of the Funds to sell portfolio securities without significantly affecting their market value in order to timely meet redemptions without dilution to ongoing shareholders; |
• | at no time during the Review Period did any Fund approach the 15% Limit or 15% Threshold on illiquid investments, as those terms are defined in the Program; |
• | there were no material changes to the Program during the Review Period; |
• | the Program is reasonably designed and is operating effectively to assess and manage the liquidity risk for each Fund; |
• | the Program has been and continues to be adequately and effectively implemented to monitor and (as applicable) respond to developments with the potential to impact the Funds’ liquidity. |
Fund | Sub-Adviser | Firm Established | Total Assets Managed | |||
Money Market | BlackRock Advisors, LLC | 1994 | $8.7Tr | |||
Low-Duration Bond | BlackRock Financial Management, Inc. | 1994 | $8.7Tr | |||
Pacific Investment Management Company LLC | 1971 | $2.2Tr | ||||
Parametric Portfolio Associates LLC | 1987 | $358.5B | ||||
Payden & Rygel | 1983 | $135.0B |
Fund | Sub-Adviser | Firm Established | Total Assets Managed | |||
Medium-Duration Bond | Goldman Sachs Asset Management, L.P. | 1984 | $2.0Tr | |||
Pacific Investment Management Company LLC | 1971 | $2.2Tr | ||||
Parametric Portfolio Associates LLC | 1987 | $358.5B | ||||
Western Asset Management Company, LLC | 1971 | $484.5B | ||||
Extended-Duration Bond | Loomis, Sayles & Company, L.P. | 1926 | $347.8B | |||
Parametric Portfolio Associates LLC | 1987 | $358.5B | ||||
Schroder Investment Management North America Inc.¹ | 1977 | $693.3B | ||||
Global Bond | Loomis, Sayles & Company, L.P. | 1926 | $347.8B | |||
Neuberger Berman Investment Advisers LLC | 2002 | $405.0B | ||||
Parametric Portfolio Associates LLC | 1987 | $358.5B | ||||
Western Asset Management Company, LLC | 1971 | $484.5B | ||||
Defensive Market Strategies | American Century Investment Management, Inc. | 1958 | $212.5B | |||
AQR Capital Management, LLC | 1998 | $140.0B | ||||
Parametric Portfolio Associates LLC | 1987 | $358.5B | ||||
Shenkman Capital Management, Inc. | 1985 | $27.3B | ||||
Equity Index | Legal & General Investment Management America, Inc. | 2006 | $241.3B | |||
Value Equity | American Century Investment Management, Inc. | 1958 | $212.5B | |||
Barrow, Hanley, Mewhinney & Strauss, LLC | 1979 | $48.4B | ||||
The London Company of Virginia, LLC | 1994 | $14.0B | ||||
Parametric Portfolio Associates LLC | 1987 | $358.5B | ||||
TCW Investment Management Company LLC | 1971 | $247.6B | ||||
Growth Equity | Brown Advisory, LLC | 1993 | $59.4B | |||
ClearBridge Investments, LLC | 2005 | $177.0B | ||||
Loomis, Sayles & Company, L.P. | 1926 | $347.8B | ||||
Parametric Portfolio Associates LLC | 1987 | $358.5B | ||||
Sands Capital Management, LLC | 1992 | $68.6B | ||||
Small Cap Equity | American Century Investment Management, Inc. | 1958 | $212.5B | |||
Delaware Investments Fund Advisers | 1929 | $258.7B | ||||
Jacobs Levy Equity Management, Inc. | 1986 | $13.9B | ||||
Parametric Portfolio Associates LLC | 1987 | $358.5B | ||||
TimesSquare Capital Management, LLC | 2000 | $16.2B | ||||
International Equity Index | Legal & General Investment Management America, Inc. | 2006 | $241.3B | |||
International Equity | Altrinsic Global Advisors, LLC | 2000 | $7.4B | |||
AQR Capital Management, LLC | 1998 | $140.0B | ||||
Harris Associates L.P. | 1976 | $104.0B | ||||
MFS Institutional Advisors, Inc. | 1924 | $608.4B | ||||
Parametric Portfolio Associates LLC | 1987 | $358.5B | ||||
WCM Investment Management, LLC | 1976 | $82.3B | ||||
Emerging Markets Equity | AQR Capital Management, LLC | 1998 | $140.0B | |||
Goldman Sachs Asset Management, L.P. | 1984 | $2.0Tr | ||||
Parametric Portfolio Associates LLC | 1987 | $358.5B | ||||
RBC Global Asset Management (UK) Limited | 2013 | $53.7B | ||||
Wellington Management Company LLP | 1928 | $1.3Tr | ||||
Global Real Estate Securities | Heitman Real Estate Securities, LLC | 1989 | $43.5B | |||
RREEF America L.L.C.¹ | 1975 | $76.6B | ||||
Strategic Alternatives | Allianz Global Investors U.S. LLC | 1895 | $127.3B | |||
Goldman Sachs Asset Management, L.P. | 1984 | $2.0Tr | ||||
Neuberger Berman Investment Advisers LLC | 2002 | $405.0B | ||||
P/E Global LLC | 2000 | $14.4B | ||||
Parametric Portfolio Associates LLC | 1987 | $358.5B | ||||
Custodian for GuideStone Funds Assets | The Northern Trust Company | 1889 | $11.3Tr | |||
Cash Overlay for Target Date, Target Risk, Fixed Income, Equity and Real Assets Select Funds | Parametric Portfolio Associates LLC | 1987 | $358.5B |
Item 1. Reports to Stockholders (cont.).
(b) | The following is a copy of the notice transmitted to shareholders pursuant to Rule 30e-3 under the Investment Company Act of 1940 (17 CFR 270.30e-3) |
5005 LBJ Freeway, Ste. 2200 Dallas, TX 75244-6152
This notification is to inform you that copies of GuideStone Funds’ Annual and Semi-Annual Reports to Shareholders (“shareholder reports”) are now available online and in print by request. Shareholder reports contain important information about your investments, including Fund portfolio holdings and financial statements. See the reverse side for additional instructions on how to access your shareholder report(s). | ||||
|
We encourage you to view your shareholder reports free of charge online at:
www.guidestonefunds.com/fund-literature
You may sign up to receive all future communications via e-mail. To sign up, log in to your MyGuideStone® account at www.myguidestone.org/login and update your eDelivery preferences.
You will not receive a paper copy of a shareholder report unless you request one. Paper copies of shareholder reports and certain other Fund materials can be mailed to you free of charge at any time, or you may elect to receive all future reports in paper free of charge, by contacting GuideStone Funds at the toll-free number below.
If you have additional questions, please contact us at 1-844-GS-FUNDS (1-844-473-8637).
BroadridgeTM 51 MERCEDES WAY EDGEWOOD NY 11717 Notice of Internet Availability of Shareholder Report(s) BROADRIDGE FINANCIAL SOLUTIONS, INC. ATTENTION: TEST PRINT 51 MERCEDES WAY EDGEWOOD, NY 11717 0000001 K14148-01S Learn how to read a mutual fund shareholder report here: www.sec.gov/investor/alerts/ib_readmfreport.pdf
GuideStone® Funds ID: 12345 12345 12345 12345 Important Shareholder Report(s) Available Online and in Print by Request. Reports contain important information about your fund, including its portfolio holdings and financial statements. We encourage you to review your shareholder report(s) at the website(s) below: www.guidestonefunds.com/fund-literature GuideStone MyDestination 2015 You can request a mailed or email copy, or elect to receive paper reports in the future by calling or visiting (otherwise you will not receive a paper or e-mail copy): 1-866-345-5954 www. FundReports.com Aim your mobile device camera here for more information
ONE AMERICA® A ONEAMERICA COMPANY ONE AMERICAN SQUARE P.O. BOX 368 INDIANAPOLIS, IN 46206-0368 Notice of Internet Availability of Shareholder Report(s) BROADRIDGE FINANCIAL SOLUTIONS, INC. ATTENTION: TEST PRINT 51 MERCEDES WAY EDGEWOOD, NY 11717 0000002 K14148-01S Learn how to read a mutual fund shareholder report here: www.sec.gov/investor/alerts/ib_readmfreport.pdf
GuideStone® Funds ID: 12345 12345 12345 12345 Important Shareholder Report(s) Available Online and in Print by Request. Reports contain important information about your fund, including its portfolio holdings and financial statements. We encourage you to review your shareholder report(s) at the website(s) below: www.guidestonefunds.com/fund-literature GuideStone Emerging Markets Equity You can request a mailed or email copy, or elect to receive paper reports in the future by calling or visiting (otherwise you will not receive a paper or e-mail copy): 1-866-345-5954 www.FundReports.com Aim your mobile device camera here for more information
EdwardJones® MAKING SENSE OF INVESTING ATTN: PROXY DEP’T P.O. BOX 66563 ST.LOUIS,MO 63166-6563 Notice of Internet Availability of Shareholder Report(s) BROADRIDGE FINANCIAL SOLUTIONS, INC. ATTENTION: TEST PRINT 51 MERCEDES WAY EDGEWOOD, NY 11717 0000003 K14148-01S Learn how to read a mutual fund shareholder report here: www.sec.gov/investor/alerts/ib_readmfreport.pdf
GuideStone® Funds ID: 12345 12345 12345 12345 Important Shareholder Report(s) Available Online and in Print by Request. Reports contain important information about your fund, including its portfolio holdings and financial statements. We encourage you to review your shareholder report(s) at the website(s) below: www.guidestonefunds.com/fund-literature GuideStone Conservative Allocation You can request a mailed or email copy, or elect to receive paper reports in the future by calling or visiting (otherwise you will not receive a paper or e-mail copy): 1-866-345-5954 www.FundReports.com Go paperless! Receive communications electronically at www.FundReports.com Aim your mobile device camera here for more information
EQUITY TRUST COMPANY 1 EQUITY WAY WESTLAKE, OH 44145 Notice of Internet Availability of Shareholder Report(s) BROADRIDGE FINANCIAL SOLUTIONS, INC. ATTENTION: TEST PRINT 51 MERCEDES WAY EDGEWOOD, NY 11717 0000004 K14148-01S Learn how to read a mutual fund Shareholder report here: www.sec.gov/investor/alerts/ib_readmfreport.pdf
GuideStone® Funds ID: 12345 12345 12345 12345 Important Shareholder Report(s) Available Online and in Print by Request. Reports contain important information about your fund, including its portfolio holdings and financial statements. We encourage you to review your shareholder report(s) at the website(s) below: www.guidestonefunds.com/fund-literature GuideStone Growth Equity You can request a mailed or email copy, or elect to receive paper reports in the future by calling or visiting (otherwise you will not receive a paper or e-mail copy): 1-866-345-5954 www. FundReports.com Aim your mobile device camera here for more information
TRANSAMERICA RETIREMENT SOLUTIONS 440 MAMARONECK AVE. HARRISON, NY 10528 Notice of Internet Availability of Shareholder Report(s) BROADRIDGE FINANCIAL SOLUTIONS, INC. ATTENTION: TEST PRINT 51 MERCEDES WAY EDGEWOOD, NY 11717 0000005 K14148-01S Learn how to read a mutual fund Shareholder report here: www.sec.gov/investor/alerts/ib_readmfreport.pdf
GuideStone® Funds ID: 12345 12345 12345 12345 Important Shareholder Report(s) Available Online and in Print by Request. Reports contain important information about your fund, including its portfolio holdings and financial statements. We encourage you to review your shareholder report(s) at the website(s) below: www.guidestonefunds.com/fund-literature GuideStone Growth Equity You can request a mailed or email copy, or elect to receive paper reports in the future by calling or visiting (otherwise you will not receive a paper or e-mail copy): 1-866-345-5954 www. FundReports.com Aim your mobile device camera here for more information
First Clearing A trade name of Wells Fargo Clearing Services N9777-010 PO BOX 5268 SIOUX FALLS, SD 57117-5268 Notice of Internet Availability of Shareholder Report(s) BROADRIDGE FINANCIAL SOLUTIONS, INC. ATTENTION: TEST PRINT 51 MERCEDES WAY EDGEWOOD, NY 11717 0000006 K14148-01S Learn how to read a mutual fund Shareholder report here: www.sec.gov/investor/alerts/ib_readmfreport.pdf
GuideStone® ID: 12345 12345 12345 12345 Funds Important Shareholder Report(s) Available Online and in Print by Request. Reports contain important information about your fund, including its portfolio holdings and financial statements. We encourage you to review your shareholder report(s) at the website(s) below: www.guidestonefunds.com/fund-literature GuideStone Defensive Market Strategies You can request a mailed or email copy, or elect to receive paper reports in the future by calling or visiting (otherwise you will not receive a paper or e-mail copy): 1-866-345-5954 www.FundReports.com Aim your mobile device camera here for more information
Charles SCHWAB PO BOX 64930 PHOENIX, AZ 85082-4930 Notice of Internet Availability of Shareholder Report(s) BROADRIDGE FINANCIAL SOLUTIONS, INC. ATTENTION: TEST PRINT 51 MERCEDES WAY EDGEWOOD, NY 11717 0000007 K14148-01S Learn how to read a mutual fund shareholder report here: www.sec.gov/investor/alerts/ib_readmfreport.pdf
Guidestone® funds Id: 12345 12345 12345 12345 Important Shareholder Report(s) Available Online and in Print by Request. Reports contain important information about your fund, including its portfolio holdings and financial statements. We encourage you to review your shareholder report(s) at the website(s) below: www.guidestonefunds.com/fund-literature GuideStone Conservative Allocation You can request a mailed or email copy, or elect to receive paper reports in the future by calling or visiting (otherwise you will not receive a paper or e-mail copy): 1-866-345-5954 www.FundReports.com Go paperless! Receive communications electronically at www.FundReports.com Aim your mobile device camera here for more information
TD Ameritrade PO BOX 2553 OMAHA, NE 68103-2553 Notice of Internet Availability of Shareholder Report(s) BROADRIDGE FINANCIAL SOLUTIONS, INC. ATTENTION: TEST PRINT 51 MERCEDES WAY EDGEWOOD, NY 11717 0000008 K14148-01S Learn how to read a mutual fund shareholder report here: www.sec.gov/investor/alerts/ib_readmfreport.pdf
GuideStone Funds ID: 12345 12345 12345 12345 Important Shareholder Report(s) Available Online and in Print by Request. Reports contain important information about your fund, including its portfolio holdings and financial statements. We encourage you to review your shareholder report(s) at the website(s) below: www.guidestonefunds.com/fund-literature GuideStone Conservative Allocation You can request a mailed or email copy, or elect to receive paper reports in the future by calling or visiting (otherwise you will not receive a paper or e-mail copy): 1-866-345-5954 www.FundReports.com Go paperless! Receive communications electronically at www.FundReports.com Aim your mobile device camera here for more information
FIRST HORIZONSM ADVISORS 165 MADISON AVENUE, 14TH FLOOR MEMPHIS, TN 38103 Notice of Internet Availability of Shareholder Report(s) BROADRIDGE FINANCIAL SOLUTIONS, INC. ATTENTION: TEST PRINT 51 MERCEDES WAY EDGEWOOD, NY 11717 0000009 K14148-01S Learn how to read a mutual fund Shareholder report here: www.sec.gov/investor/alerts/ib_readmfreport.pdf
GuideStone® Funds ID: 12345 12345 12345 12345 Important Shareholder Report(s) Available Online and in Print by Request. Reports contain important information about your fund, including its portfolio holdings and financial statements. We encourage you to review your shareholder report(s) at the website(s) below: www.guidestonefunds.com/fund-literature GuideStone International Equity You can request a mailed or email copy, or elect to receive paper reports in the future by calling or visiting (otherwise you will not receive a paper or e-mail copy): 1-866-345-5954 www.FundReports.com Aim your mobile device camera here for more information
Ameriprise® Financial 2178 AMERIPRISE FINANCIAL CENTER MINNEAPOLIS, MN 55474 Notice of Internet Availability of Shareholder Report(s) BROADRIDGE FINANCIAL SOLUTIONS, INC. ATTENTION: TEST PRINT 51 MERCEDES WAY EDGEWOOD, NY 11717 0000010 K14148-01S Learn how to read a mutual fund Shareholder report here: www.sec.gov/investor/alerts/ib_readmfreport.pdf
GuideStone® Funds ID: 12345 12345 12345 12345 Important Shareholder Report(s) Available Online and in Print by Request. Reports contain important information about your fund, including its portfolio holdings and financial statements. We encourage you to review your shareholder report(s) at the website(s) below: www.guidestonefunds.com/fund-literature GuideStone Defensive Market Strategies You can request a mailed or email copy, or elect to receive paper reports in the future by calling or visiting (otherwise you will not receive a paper or e-mail copy): 1-866-345-5954 www.FundReports.com Go paperless! Receive communications electronically at www.FundReports.com Aim your mobile device camera here for more information
LPL Financial PO BOX 629022 EL DORADO HILLS, CA 95762-9022 Notice of Internet Availability of Shareholder Report(s) BROADRIDGE FINANCIAL SOLUTIONS, INC. ATTENTION: TEST PRINT 51 MERCEDES WAY EDGEWOOD, NY 11717 0000011 K14148-01S Learn how to read a mutual fund Shareholder report here: www.sec.gov/investor/alerts/ib_readmfreport.pdf
GuideStone® Funds ID: 12345 12345 12345 12345 Important Shareholder Report(s) Available Online and in Print by Request. Reports contain important information about your fund, including its portfolio holdings and financial statements. We encourage you to review your shareholder report(s) at the website(s) below: www.guidestonefunds.com/fund-literature GuideStone Conservative Allocation You can request a mailed or email copy, or elect to receive paper reports in the future by calling or visiting (otherwise you will not receive a paper or e-mail copy): 1-866-345-5954 www.FundReports.com Aim your mobile device camera here for more information
Principalsm ATTN: RIS FINANCE INVOPS T-005-W40 711 HIGH STREET DES MOINES, IA 50392-0240 Notice of Internet Availability of Shareholder Report(s) BROADRIDGE FINANCIAL SOLUTIONS, INC. ATTENTION: TEST PRINT 51 MERCEDES WAY EDGEWOOD, NY 11717 0000012 K14148-01S Learn how to read a mutual fund Shareholder report here: www.sec.gov/investor/alerts/ib_readmfreport.pdf
GuideStone® Funds ID: 12345 12345 12345 12345 Important Shareholder Report(s) Available Online and in Print by Request. Reports contain important information about your fund, including its portfolio holdings and financial statements. We encourage you to review your shareholder report(s) at the website(s) below: www.guidestonefunds.com/fund-literature GuideStone International Equity You can request a mailed or email copy, or elect to receive paper reports in the future by calling or visiting (otherwise you will not receive a paper or e-mail copy): 1-866-345-5954 www.FundReports.com Aim your mobile device camera here for more information
MATRIX TRUST COMPANY 2800 N CENTRAL AVENUE SUITE 900 PHOENIX, AZ 85004 Notice of Internet Availability of Shareholder Report(s) BROADRIDGE FINANCIAL SOLUTIONS, INC. ATTENTION: TEST PRINT 51 MERCEDES WAY EDGEWOOD, NY 11717 0000013 K14148-01S Learn how to read a mutual fund Shareholder report here: www.sec.gov/investor/alerts/ib_readmfreport.pdf
GuideStone® Funds ID: 12345 12345 12345 12345 Important Shareholder Report(s) Available Online and in Print by Request. Reports contain important information about your fund, including its portfolio holdings and financial statements. We encourage you to review your shareholder report(s) at the website(s) below: www.guidestonefunds.com/fund-literature GuideStone Emerging Markets Equity You can request a mailed or email copy, or elect to receive paper reports in the future by calling or visiting (otherwise you will not receive a paper or e-mail copy): 1-866-345-5954 www.FundReports.com Aim your mobile device camera here for more information
U.S. BANK 1555 NORTH RIVERCENTER DRIVE SUITE 302 MILWAUKEE, WI 53212-3958 Notice of Internet Availability of Shareholder Report(s) BROADRIDGE FINANCIAL SOLUTIONS, INC. ATTENTION: TEST PRINT 51 MERCEDES WAY EDGEWOOD, NY 11717 0000014 K14148-01S Learn how to read a mutual fund Shareholder report here: www.sec.gov/investor/alerts/ib_readmfreport.pdf
GuideStone® Funds ID: 12345 12345 12345 12345 Important Shareholder Report(s) Available Online and in Print by Request. Reports contain important information about your fund, including its portfolio holdings and financial statements. We encourage you to review your shareholder report(s) at the website(s) below: www.guidestonefunds.com/fund-literature GuideStone International Equity You can request a mailed or email copy, or elect to receive paper reports in the future by calling or visiting (otherwise you will not receive a paper or e-mail copy): 1-866-345-5954 www.FundReports.com Aim your mobile device camera here for more information
STIFEL 501 North Broadway St. Louis, Missouri 63102 Notice of Internet Availability of Shareholder Report(s) BROADRIDGE
FINANCIAL SOLUTIONS, INC. ATTENTION: TEST PRINT 51 MERCEDES WAY EDGEWOOD, NY 11717 0000015 K14148-01S Learn how to read a mutual fund Shareholder report here: www.sec.gov/investor/alerts/ib_readmfreport.pdf
GuideStone® Funds ID: 12345 12345 12345 12345 Important Shareholder Report(s) Available Online and in Print by Request. Reports contain important information about your fund, including its portfolio holdings and financial statements. We encourage you to review your shareholder report(s) at the website(s) below: www.guidestonefunds.com/fund-literature GuideStone Emerging Markets Equity You can request a mailed or email copy, or elect to receive paper reports in the future by calling or visiting (otherwise you will not receive a paper or e-mail copy): 1-866-345-5954 www.FundReports.com Go paperless! Receive communications electronically at www.FundReports.com Aim your mobile device camera here for more information
BANK OF STOCKTON TRUST AND INVESTMENT GROUP PO BOX 201014 STOCKTON, CA 95201-9014 Notice of Internet Availability of Shareholder Report(s) BROADRIDGE FINANCIAL SOLUTIONS, INC. ATTENTION: TEST PRINT 51 MERCEDES WAY EDGEWOOD, NY 11717 0000016 K14148-01S Learn how to read a mutual fund Shareholder report here: www.sec.gov/investor/alerts/ib_readmfreport.pdf
GuideStone® Funds ID: 12345 12345 12345 12345 Important Shareholder Report(s) Available Online and in Print by Request. Reports contain important information about your fund, including its portfolio holdings and financial statements. we encourage you to review your shareholder report(s) at the website(s) below: www.guidestonefunds.com/fund-literature GuideStone International Equity You can request a mailed or email copy, or elect to receive paper reports in the future by calling or visiting (otherwise you will not receive a paper or e-mail copy): 1-866-345-5954 www.FundReports.com Aim your mobile device camera here for more information
Pershing® AN AFFILIATE OF THE BANK OF NEW YORK MELLON P,O, BOX 2058 JERSEY CITY, NJ 07303-2058 Notice of Internet Availability of Shareholder Report(s) BROADRIDGE FINANCIAL SOLUTIONS, INC. ATTENTION: TEST PRINT 51 MERCEDES WAY EDGEWOOD, NY 11717 0000017 K14148-01S Learn how to read a mutual fund Shareholder report here: www.sec.gov/investor/alerts/ib_readmfreport.pdf
GuideStone® Funds ID: 12345 12345 12345 12345 Important Shareholder Report(s) Available Online and in Print by Request. Reports contain important information about your fund, including its portfolio holdings and financial statements. we encourage you to review your shareholder report(s) at the website(s) below: www.guidestonefunds.com/fund-literature GuideStone Conservative Allocation You can request a mailed or email copy, or elect to receive paper reports in the future by calling or visiting (otherwise you will not receive a paper or e-mail copy): 1-866-345-5954 www.FundReports.com Go paperless! Receive communications electronically at www.FundReports.com Aim your mobile device camera here for more information
RELIANCE TRUST An FIS Company 201 17TH STREET NW SUITE 1000 ATLANTA, GA 30363 Notice of Internet Availability of Shareholder Report(s) BROADRIDGE FINANCIAL SOLUTIONS, INC. ATTENTION: TEST PRINT 51 MERCEDES WAY EDGEWOOD, NY 11717 0000018 K14148-01S Learn how to read a mutual fund Shareholder report here: www.sec.gov/investor/alerts/ib_readmfreport.pdf
GuideStone® Funds ID: 12345 12345 12345 12345 Important Shareholder Report(s) Available Online and in Print by Request. Reports contain important information about your fund, including its portfolio holdings and financial statements. we encourage you to review your shareholder report(s) at the website(s) below: www.guidestonefunds.com/fund-literature GuideStone Defensive Market Strategies You can request a mailed or email copy, or elect to receive paper reports in the future by calling or visiting (otherwise you will not receive a paper or e-mail copy): 1-866-345-5954 www.FundReports.com Aim your mobile device camera here for more information
RELIANCE OMNI RELIANCE TRUST COMPANY 1100 ABERNATHY ROAD SUITE 400 ATLANTA, GA 30328-5634 Notice of Internet Availability of Shareholder Report(s) BROADRIDGE FINANCIAL SOLUTIONS, INC. ATTENTION: TEST PRINT 51 MERCEDES WAY EDGEWOOD, NY 11717 0000019 K14148-01S Learn how to read a mutual fund Shareholder report here: www.sec.gov/investor/alerts/ib_readmfreport.pdf
GuideStone® Funds ID: 12345 12345 12345 12345 Important Shareholder Report(s) Available Online and in Print by Request. Reports contain important information about your fund, including its portfolio holdings and financial statements. we encourage you to review your shareholder report(s) at the website(s) below: www.guidestonefunds.com/fund-literature GuideStone Defensive Market Strategies You can request a mailed or email copy, or elect to receive paper reports in the future by calling or visiting (otherwise you will not receive a paper or e-mail copy): 1-866-345-5954 www.FundReports.com Aim your mobile device camera here for more information
CHARLES SCHWAB TRUST BANK 2309 GRACY FARMS LANE AUSTIN, TX 78754 Notice of Internet Availability of Shareholder Report(s) BROADRIDGE FINANCIAL SOLUTIONS, INC. ATTENTION: TEST PRINT 51 MERCEDES WAY EDGEWOOD, NY 11717 0000020 K14148-01S Learn how to read a mutual fund Shareholder report here: www.sec.gov/investor/alerts/ib_readmfreport.pdf
GuideStone® Funds ID: 12345 12345 12345 12345 Important Shareholder Report(s) Available Online and in Print by Request. Reports contain important information about your fund, including its portfolio holdings and financial statements. We encourage you to review your shareholder report(s) at the website(s) below: www.guidestonefunds.com/fund-literature GuideStone Emerging Markets Equity You can request a mailed or email copy, or elect to receive paper reports in the future by calling or visiting (otherwise you will not receive a paper or e-mail copy): 1-866-345-5954 www.FundReports.com Aim your mobile device camera here for more information
NORTHERN TRUST COMPANY 2160 EAST RLIOT ROAD TEMPE, AZ 85284 Notice of Internet Availability of Shareholder Report(s) BROADRIDGE FINANCIAL SOLUTIONS, INC. ATTENTION: TEST PRINT 51 MERCEDES WAY EDGEWOOD, NY 11717 0000021 K14148-01S Learn how to read a mutual fund shareholder report here: www.sec.gov/investor/alerts/ib_readmfreport.pdf
GuideStone® Funds ID: 12345 12345 12345 12345 Important Shareholder Report(s) Available Online and in Print by Request. Reports contain important information about your fund, including its portfolio holdings and financial statements. We encourage you to review your shareholder report(s) at the website(s) below: www.guidestonefunds.com/fund-literature GuideStone International Equity You can request a mailed or email copy, or elect to receive paper reports in the future by calling or visiting (otherwise you will not receive a paper or e-mail copy): 1-866-345-5954 www.FundReports.com Aim your mobile device camera here for more information
EXTRADE® 501 PLAZA TWO 34 EXCHANGE PLACE JERSEY CITY, NJ07311 Notice of Internet Availability of Shareholder Report(s) BROADRIDGE FINANCIAL SOLUTIONS, INC. ATTENTION: TEST PRINT 51 MERCEDES WAY EDGEWOOD, NY 11717 0000022 K14148-01S Learn how to read a mutual fund shareholder report here: www.sec.gov/investor/alerts/ib_readmfreport.pdf
GuideStone® Funds ID: 12345 12345 12345 12345 Important Shareholder Report(s) Available Online and in Print by Request. Reports contain important information about your fund, including its portfolio holdings and financial statements. We encourage you to review your shareholder report(s) at the website(s) below: www.guidestonefunds.com/fund-literature GuideStone Defensive Market Strategies You can request a mailed or email copy, or elect to receive paper reports in the future by calling or visiting (otherwise you will not receive a paper or e-mail copy): 1-866-345-5954 www.FundReports.com Go paperless! Receive communications electronically at www.FundReports.com Aim your mobile device camera here for more information
MATRIX TRUST COMPANY 717 17TH STREET, SUITE 1300 DENVER, CO 80202 Notice of Internet Availability of Shareholder Report(s) BROADRIDGE FINANCIAL SOLUTIONS, INC.ATTENTION TEST PRINT 51 MERCEDES WAY EDGEWOOD, NY 11717 0000023 K14148 – 01S Learn how to read a mutual fund Shareholder report here: www.sec.gov/investor/alerts/ib_readmfreport.pdf
GuideStone® Funds ID: 12345 12345 12345 12345 Important Shareholder Report(s) Available Online and in Print by Request. Reports contain important information about your fund, including its portfolio holdings and financial statements. We encourage you to review your shareholder report(s) at the website(s) below: www.guidestonefunds.com/fund-literature GuideStone Conservative Allocation You can request a mailed or email copy, or elect to receive paper reports in the future by calling or visiting (otherwise you will not receive a paper or e-mail copy): 1-866-345-5954 www.FundReports.com Aim your mobile device camera here for more information
ORION PORTFOLIO SOLUTIONS 2300 LITTON LANE SUITE# 102 HEBRON, KY 41048 Notice of Internet Availability of Shareholder Report(s) BROADRIDGE FINANCIAL SOLUTIONS, INC. ATTENTION TEST PRINT 51 MERCEDES WAY EDGEWOOD, NY 11717 0000024 K14148-01S Learn how to read a mutual fund Shareholder report here: www.sec.gov/investor/alerts/ib_readmfreport.pdf
GuideStone® Funds ID: 12345 12345 12345 12345 Important Shareholder Report(s) Available Online and in Print by Request Reports contain important information about your fund, including its portfolio holdings and financial statements. We encourage you to review your shareholder report(s) at the website(s) below: www.guidestonefunds.com/fund-literature GuideStone Emerging Markets Equity You can request a mailed or email copy, or elect to receive paper reports in the future by calling or visiting (otherwise you will not receive a paper or e-mail copy): 1-866-345-5954 www.FundReports.com Aim your mobile device camera here for more information
PNCBANK AMG OPERATIONS P.O. BOX 91309 CLEVELAND, OH 44101 Notice of Internet Availability of Shareholder Report(s) BROADRIDGE FINANCIAL SOLUTIONS, INC. ATTENTION: TEST PRINT 51 MERCEDES WAY EDGEWOOD, NY 11717 0000025 K14148-01S Learn how to read a mutual fund Shareholder report here: www.sec.gov/investor/alerts/ib_readmfreport.pdf
GuideStone® Funds ID: 12345 12345 12345 12345 Important Shareholder Report(s) Available Online and in Print by Request. Reports contain important information about your fund, including its portfolio holdings and financial statements. we encourage you to review your shareholder report(s) at the website(s) below: www.guidestonefunds.com/fund-literature GuideStone Emerging Markets Equity You can request a mailed or email copy, or elect to receive paper reports in the future by calling or visiting (otherwise you will not receive a paper or e-mail copy): 1-866-345-5954 www.FundReports.com Go paperless! Receive communications electronically at www.FundReports.com Aim your mobile device camera here for more information
BB&T Securities 8006 DISCOVERY DRIVE, SUITE 200 RICHMOND, VA 23229-8606 Notice of Internet Availability of Shareholder Report(s) BROADRIDGE FINANCIAL SOLUTIONS, INC. ATTENTION: TEST PRINT 51 MERCEDES WAY EDGEWOOD, NY 11717 0000026 K14148-01S Learn how to read a mutual fund Shareholder report here: www.sec.gov/investor/alerts/ib_readmfreport.pdf
GuideStone® Funds ID: 12345 12345 12345 12345 Important Shareholder Report(s) Available Online and in Print by Request. Reports contain important information about your fund, including its portfolio holdings and financial statements. we encourage you to review your shareholder report(s) at the website(s) below: www.guidestonefunds.com/fund-literature GuideStone Defensive Market Strategies You can request a mailed or email copy, or elect to receive paper reports in the future by calling or visiting (otherwise you will not receive a paper or e-mail copy): 1-866-345-5954 www.FundReports.com Go paperless! Receive communications electronically at www.FundReports.com Aim your mobile device camera here for more information
BRETHREN IN CHRIST FOUNDATION 431 GRANTHAM ROAD MECHANICSBURG, PA 17055 Notice of Internet Availability of Shareholder Report(s) BROADRIDGE FINANCIAL SOLUTIONS, INC. ATTENTION: TEST PRINT 51 MERCEDES WAY EDGEWOOD, NY 11717 0000027 K14148-01S Learn how to read a mutual fund Shareholder report here: www.sec.gov/investor/alerts/ib_readmfreport.pdf
GuideStone® Funds ID: 12345 12345 12345 12345 Important Shareholder Report(s) Available Online and in Print by Request. Reports contain important information about your fund, including its portfolio holdings and financial statements. We encourage you to review your shareholder report(s) at the website(s) below: www.guidestonefunds.com/fund-literature GuideStone Low-Duration Bond You can request a mailed or email copy, or elect to receive paper reports in the future by calling or visiting (otherwise you will not receive a paper or e-mail copy): 1-866-345-5954 www.FundReports.com Aim your mobile device camera here for more information
EXTRADE® ADVISOR SERVICES 7103 S. REVERE PARKWAY CENTENNIAL, CO 80112 Notice of Internet Availability of Shareholder Report(s) BROADRIDGE FINANCIAL SOLUTIONS, INC. ATTENTION: TEST PRINT 51 MERCEDES WAY EDGEWOOD, NY 11717 0000028 K14148-01S Learn how to read a mutual fund Shareholder report here: www.sec.gov/investor/alerts/ib_readmfreport.pdf
GuideStone® Funds ID: 12345 12345 12345 12345 Important Shareholder Report(s) Available Online and in Print by Request. Reports contain important information about your fund, including its portfolio holdings and financial statements. We encourage you to review your shareholder report(s) at the website(s) below: www.guidestonefunds.com/fund-literature GuideStone Emerging Markets Equity You can request a mailed or email copy, or elect to receive paper reports in the future by calling or visiting (otherwise you will not receive a paper or e-mail copy): 1-866-345-5954 www.FundReports.com Go paperless! Receive communications electronically at www.FundReports.com Aim your mobile device camera here for more information
NATIONAL FINANCIAL SERVICES LLC PO BOX 28016 ALBUQUERQUE, NM 87125-8016 Notice of Internet Availability of Shareholder Report(s) BROADRIDGE FINANCIAL SOLUTIONS, INC. ATTENTION: TEST PRINT 51 MERCEDES WAY EDGEWOOD, NY 11717 0000029 K14148-01S Learn how to read a mutual fund Shareholder report here: www.sec.gov/investor/alerts/ib_readmfreport.pdf
GuideStone® Funds ID: 12345 12345 12345 12345 Important Shareholder Report(s) Available Online and in Print by Request. Reports contain important information about your fund, including its portfolio holdings and financial statements. we encourage you to review your shareholder report(s) at the website(s) below: www.guidestonefunds.com/fund-literature GuideStone Conservative Allocation You can request a mailed or email copy, or elect to receive paper reports in the future by calling or visiting (otherwise you will not receive a paper or e-mail copy): 1-866-345-5954 www.FundReports.com Go paperless! Receive communications electronically at www.FundReports.com Aim your mobile device camera here for more information
FIDELITY INVESTMENTS PO BOX 28016 ALBUQUERQUE, NM 87125-8016 Notice of Internet Availability of Shareholder Report(s) BROADRIDGE FINANCIAL SOLUTIONS, INC. ATTENTION: TEST PRINT 51 MERCEDES WAY EDGEWOOD, NY 11717 0000030 K14148-01S Learn how to read a mutual fund Shareholder report here: www.sec.gov/investor/alerts/ib_readmfreport.pdf
GuideStone® Funds ID: 12345 12345 12345 12345 Important Shareholder Report(s) Available Online and in Print by Request. Reports contain important information about your fund, including its portfolio holdings and financial statements. We encourage you to review your shareholder report(s) at the website(s) below: www.guidestonefunds.com/fund-literature GuideStone Equity Index You can request a mailed or email copy, or elect to receive paper reports in the future by calling or visiting (otherwise you will not receive a paper or e-mail copy): 1-866-345-5954 www.FundReports.com Go paperless! Receive communications electronically at www.FundReports.com Aim your mobile device camera here for more information
JPMorgan JP MORGAN CUSTODY ASSET SERVICING 500 STANTON CHRISTIANA ROAD NEWARK DE 19713-2107 NCC 5/FL2 Notice of Internet Availability of Shareholder Report(s) BROADRIDGE FINANCIAL SOLUTIONS, INC. ATTENTION: TEST PRINT 51 MERCEDES WAY EDGEWOOD, NY 11717 0000031 K14148-01S Learn how to read a mutual fund Shareholder report here: www.sec.gov/investor/alerts/ib_readmfreport.pdf
GuideStone® Funds ID: 12345 12345 12345 12345 Important Shareholder Report(s) Available Online and in Print by Request. Reports contain important information about your fund, including its portfolio holdings and financial statements. we encourage you to review your shareholder report(s) at the website(s) below: www.guidestonefunds.com/fund-literature GuideStone Emerging Markets Equity You can request a mailed or email copy, or elect to receive paper reports in the future by calling or visiting (otherwise you will not receive a paper or e-mail copy): 1-866-345-5954 www.FundReports.com Aim your mobile device camera here for more information
TIAA TIAA-CREF INDIVIDUAL & INSTITUTIONAL SERVICES, LLC P.O BOX 1273 CHARLOTTE, NC 28201-1273 Notice of Internet Availability of Shareholder Report(s) BROADRIDGE FINANCIAL SOLUTIONS, INC. ATTENTION: TEST PRINT 51 MERCEDES WAY EDGEWOOD, NY 11717 0000032 K14148-01S Learn how to read a mutual fund Shareholder report here: www.sec.gov/investor/alerts/ib_readmfreport.pdf
GuideStone® Funds ID: 12345 12345 12345 12345 Important Shareholder Report(s) Available Online and in Print by Request. Reports contain important information about your fund, including its portfolio holdings and financial statements. we encourage you to review your shareholder report(s) at the website(s) below: www.guidestonefunds.com/fund-literature GuideStone Emerging Markets Equity You can request a mailed or email copy, or elect to receive paper reports in the future by calling or visiting (otherwise you will not receive a paper or e-mail copy): 1-866-345-5954 www.FundReports.com Go paperless! Receive communications electronically at www.FundReports.com Aim your mobile device camera here for more information
ALERUS 2300 SOUTH COLUMBIA ROAD PO BOX 6001 GRAND FORKS NO 58206 Notice of Internet Availability of Shareholder Report(s) BROADRIDGE FINANCIAL SOLUTIONS, INC. ATTENTION: TEST PRINT 51 MERCEDES WAY EDGEWOOD, NY 11717 0000033 K14148-01S Learn how to read a mutual fund Shareholder report here: www.sec.gov/investor/alerts/ib_readmfreport.pdf
GuideStone® Funds ID:12345 12345 12345 12345 Important Shareholder Report(s) Available Online and in Print by Request. Reports contain important information about your fund, including its portfolio holdings and financial statements. We encourage you to review your shareholder report(s) at the website(s) below: www.guidestonefunds.com/fund-literature GuideStone Emerging Markets Equity You can request a mailed or email copy, or elect to receive paper reports in the future by calling or visiting (otherwise you will not receive a paper or e-mail copy): 1-866-345-5954 www.FundReports.com Aim your mobile device camera here for more information
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) | Technical, administrative, and/or other non-substantive amendments were made to the code of ethics during the reporting period. The code of ethics is filed herewith. |
(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 of Form N-CSR.
Item 4. Principal Accountant Fees and Services.
Audit Fees
(a) | The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years are $745,325 and $791,260 for 2019 and 2020, respectively. |
Audit-Related Fees
(b) | The aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item are $0 and $0 for 2019 and 2020, 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 $120,020 and $123,260 for 2019 and 2020, 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 $55,025 and $19,975 for 2019 and 2020, respectively. |
(e)(1) | The policy of the registrant’s Audit Committee is to pre-approve all permissible non- audit services (e.g., tax services) to be provided to the Company by the Auditors, including the fees therefor; provided, that if the Committee chooses to delegate the authority to grant pre-approvals to one or more Committee members, each acting on behalf of the Committee, then the Committee shall adopt policies and procedures detailed as to the particular service and designed to safeguard the continued independence of the auditors, consistent with the requirements of the Sarbanes-Oxley Act of 2002 (the “S-O Act”) and related SEC regulations, which shall then be used in making such pre-approvals; and, further provided, that each delegated pre-approval The pre-approval requirement for a permitted non-audit service may be waived if: |
(1) | the aggregate amount of all such non-audit services provided constitutes not more than 5% of the total revenues paid by the Company to the Auditors in the fiscal year in which the non-audit services are provided; |
(2) | such services were not recognized by the Company at the time of the engagement to be non-audit services; and |
(3) | such services are promptly brought to the attention of, and approved by, the Audit Committee or by a member of the Audit Committee to whom the Committee has delegated the authority to grant such approvals, if any, prior to the Auditors’ completion of the Company’s audit. Additionally, if the Auditors’ engagement relates directly to the operations and financial reporting of the Company, to the extent required by Rule 2-01 of |
Regulation S-X, the Audit Committee shall pre-approve their engagements for non-audit services with: |
(1) | the Advisor (excluding any subadviser whose role is primarily portfolio management and is sub-contracted or overseen by the Advisor), and |
(2) | any entity controlling, controlled by, or under common control with such Advisor that provides ongoing services to the Company (each, a “Control Entity”) |
In accordance with the foregoing paragraph, unless the aggregate amount of all services provided constitutes no more than 5% of the total amount of revenues paid to the Auditors by the Company, the Advisor and any such Control Entity during the fiscal year in which the services are provided that would have to be pre-approved by the Audit Committee pursuant to this paragraph (in the absence of this exception). The Auditors may not perform contemporaneously any prohibited non-audit services for the Company, which currently include the following:
1. bookkeeping or other services related to the accounting records or financial statements of the Company;
2. financial information systems design and implementation;
3. appraisal or valuation services, fairness opinions, or contribution-in-kind reports;
4. actuarial services;
5. internal audit outsourcing services;
6. management functions or human resources;
7. broker or dealer, investment adviser, or investment banking services;
8. legal services and expert services unrelated to the audit; and
9. any other service that the Public Company Accounting Oversight Board determines, by regulation, is impermissible.
(e)(2) | The percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X are as follows: |
(b) | 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 aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant was $175,045 and $166,760 for 2019 and 2020, respectively; for services rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) was $0 and $0 for 2019 and 2020, respectively, and for services rendered to GuideStone Financial Resources was $80,000 and $75,000 for 2019 and 2020, respectively. |
(h) | The registrant’s audit committee of the board of directors has not considered whether the provision of non-audit services that were rendered to any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence. |
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
(a) | Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1(a) of this form. |
(b) | Not applicable. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s board of directors, where those changes were
implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.
Item 11. Controls and Procedures.
(a) | The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)). |
(b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during 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 for Closed-End Management Investment Companies.
(a) | Not applicable. |
(b) | Not applicable. |
Item 13. Exhibits.
(a)(1) |
(a)(2) |
(a)(3) | Not applicable. |
(a)(4) | Not applicable. |
(b) |
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 5, 2021 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)* | /s/ John R. Jones | |
John R. Jones, President | ||
(Principal Executive Officer) |
Date | March 5, 2021 |
By (Signature and Title)* | /s/ Patrick Pattison | |
Patrick Pattison, Vice President and Treasurer | ||
(Principal Financial Officer) |
Date | March 5, 2021 |
* | Print the name and title of each signing officer under his or her signature. |