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: | 811-21335 | |
Exact name of registrant as specified in charter: | Optimum Fund Trust | |
Address of principal executive offices: | 610 Market Street | |
Philadelphia, PA 19106 | ||
Name and address of agent for service: | David F. Connor, Esq. | |
610 Market Street | ||
Philadelphia, PA 19106 | ||
Registrant’s telephone number, including area code: | (800) 523-1918 | |
Date of fiscal year end: | March 31 | |
Date of reporting period: | September 30, 2020 |
Item 1. Reports to Stockholders
Optimum International Fund
Optimum Large Cap Growth Fund
Optimum Large Cap Value Fund
Optimum Small-Mid Cap Growth Fund
Optimum Small-Mid Cap Value Fund
optimummutualfunds.com/literature or calling 800 914-0278. Investors should read the prospectus and, if available, the summary prospectus carefully before investing.
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Financial statements | |
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Expense analysis of an investment of $1,000
Beginning Account Value 4/1/20 | Ending Account Value 9/30/20 | Annualized Expense Ratio | Expenses Paid During Period 4/1/20 to 9/30/20* | |
Actual Fund return† | ||||
Class A | $1,000.00 | $1,068.30 | 1.06% | $5.50 |
Class C | 1,000.00 | 1,064.10 | 1.81% | 9.37 |
Institutional Class | 1,000.00 | 1,069.40 | 0.81% | 4.20 |
Hypothetical 5% return (5% return before expenses) | ||||
Class A | $1,000.00 | $1,019.75 | 1.06% | $5.37 |
Class C | 1,000.00 | 1,015.99 | 1.81% | 9.15 |
Institutional Class | 1,000.00 | 1,021.01 | 0.81% | 4.10 |
Expense analysis of an investment of $1,000
Beginning Account Value 4/1/20 | Ending Account Value 9/30/20 | Annualized Expense Ratio | Expenses Paid During Period 4/1/20 to 9/30/20* | |
Actual Fund return† | ||||
Class A | $1,000.00 | $1,214.30 | 1.34% | $7.44 |
Class C | 1,000.00 | 1,210.80 | 2.09% | 11.58 |
Institutional Class | 1,000.00 | 1,215.80 | 1.09% | 6.05 |
Hypothetical 5% return (5% return before expenses) | ||||
Class A | $1,000.00 | $1,018.35 | 1.34% | $6.78 |
Class C | 1,000.00 | 1,014.59 | 2.09% | 10.56 |
Institutional Class | 1,000.00 | 1,019.60 | 1.09% | 5.52 |
Expense analysis of an investment of $1,000
Beginning Account Value 4/1/20 | Ending Account Value 9/30/20 | Annualized Expense Ratio | Expenses Paid During Period 4/1/20 to 9/30/20* | |
Actual Fund return† | ||||
Class A | $1,000.00 | $1,425.50 | 1.23% | $7.48 |
Class C | 1,000.00 | 1,420.10 | 1.98% | 12.01 |
Institutional Class | 1,000.00 | 1,427.10 | 0.98% | 5.96 |
Hypothetical 5% return (5% return before expenses) | ||||
Class A | $1,000.00 | $1,018.90 | 1.23% | $6.23 |
Class C | 1,000.00 | 1,015.14 | 1.98% | 10.00 |
Institutional Class | 1,000.00 | 1,020.16 | 0.98% | 4.96 |
Expense analysis of an investment of $1,000
Beginning Account Value 4/1/20 | Ending Account Value 9/30/20 | Annualized Expense Ratio | Expenses Paid During Period 4/1/20 to 9/30/20* | |
Actual Fund return† | ||||
Class A | $1,000.00 | $1,202.70 | 1.20% | $6.63 |
Class C | 1,000.00 | 1,198.30 | 1.95% | 10.75 |
Institutional Class | 1,000.00 | 1,204.50 | 0.95% | 5.25 |
Hypothetical 5% return (5% return before expenses) | ||||
Class A | $1,000.00 | $1,019.05 | 1.20% | $6.07 |
Class C | 1,000.00 | 1,015.29 | 1.95% | 9.85 |
Institutional Class | 1,000.00 | 1,020.31 | 0.95% | 4.81 |
Expense analysis of an investment of $1,000
Beginning Account Value 4/1/20 | Ending Account Value 9/30/20 | Annualized Expense Ratio | Expenses Paid During Period 4/1/20 to 9/30/20* | |
Actual Fund return† | ||||
Class A | $1,000.00 | $1,539.80 | 1.55% | $9.87 |
Class C | 1,000.00 | 1,534.90 | 2.30% | 14.62 |
Institutional Class | 1,000.00 | 1,542.20 | 1.30% | 8.28 |
Hypothetical 5% return (5% return before expenses) | ||||
Class A | $1,000.00 | $1,017.30 | 1.55% | $7.84 |
Class C | 1,000.00 | 1,013.54 | 2.30% | 11.61 |
Institutional Class | 1,000.00 | 1,018.55 | 1.30% | 6.58 |
Expense analysis of an investment of $1,000
Beginning Account Value 4/1/20 | Ending Account Value 9/30/20 | Annualized Expense Ratio | Expenses Paid During Period 4/1/20 to 9/30/20* | |
Actual Fund return† | ||||
Class A | $1,000.00 | $1,246.40 | 1.47% | $8.28 |
Class C | 1,000.00 | 1,242.40 | 2.22% | 12.48 |
Institutional Class | 1,000.00 | 1,248.30 | 1.22% | 6.88 |
Hypothetical 5% return (5% return before expenses) | ||||
Class A | $1,000.00 | $1,017.70 | 1.47% | $7.44 |
Class C | 1,000.00 | 1,013.94 | 2.22% | 11.21 |
Institutional Class | 1,000.00 | 1,018.95 | 1.22% | 6.17 |
* | “Expenses Paid During Period” are equal to the Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). |
† | Because actual returns reflect only the most recent six-month period, the returns shown may differ significantly from fiscal year returns. |
Security type / sector | Percentage of net assets |
Agency Asset-Backed Securities | 0.03% |
Agency Collateralized Mortgage Obligations | 2.75% |
Agency Commercial Mortgage-Backed Securities | 0.46% |
Agency Mortgage-Backed Securities | 18.94% |
Agency Obligation | 0.09% |
Collateralized Debt Obligations | 1.90% |
Corporate Bonds | 41.06% |
Banking | 10.86% |
Basic Industry | 2.36% |
Brokerage | 0.21% |
Capital Goods | 2.13% |
Communications | 5.25% |
Consumer Cyclical | 2.84% |
Consumer Non-Cyclical | 4.84% |
Energy | 3.99% |
Finance Companies | 1.32% |
Insurance | 0.68% |
Real Estate Investment Trusts | 1.02% |
Technology | 1.39% |
Security type / sector | Percentage of net assets |
Transportation | 1.05% |
Utilities | 3.12% |
Municipal Bonds | 0.61% |
Non-Agency Asset-Backed Securities | 2.64% |
Non-Agency Collateralized Mortgage Obligations | 2.09% |
Non-Agency Commercial Mortgage-Backed Securities | 4.43% |
Loan Agreements | 2.34% |
Regional Bond | 0.08% |
Sovereign Bonds | 2.14% |
Supranational Banks | 0.03% |
US Treasury Obligations | 26.19% |
Common Stock | 0.00% |
Preferred Stock | 0.02% |
Short-Term Investments | 9.12% |
Options Written | (0.01%) |
Total Value of Securities | 114.91% |
Liabilities Net of Receivables and Other Assets | (14.91%) |
Total Net Assets | 100.00% |
Security type / country | Percentage of net assets |
Common Stock by Country | 98.00% |
Australia | 4.10% |
Austria | 1.58% |
Belgium | 0.61% |
Brazil | 3.13% |
Canada | 2.44% |
Chile | 0.55% |
China/Hong Kong | 12.19% |
Colombia | 1.40% |
Denmark | 1.71% |
Finland | 0.54% |
France | 3.46% |
Germany | 5.15% |
Greece | 0.01% |
Hungary | 0.24% |
India | 1.90% |
Ireland | 2.09% |
Israel | 2.61% |
Italy | 2.11% |
Japan | 8.30% |
Luxembourg | 1.17% |
Malaysia | 0.04% |
Malta | 0.12% |
Mexico | 0.99% |
Netherlands | 5.64% |
New Zealand | 0.64% |
Norway | 2.92% |
Philippines | 0.02% |
Poland | 0.11% |
Republic of Korea | 5.20% |
Russia | 0.02% |
Singapore | 1.04% |
South Africa | 0.03% |
Spain | 1.39% |
Sweden | 2.99% |
Security type / country | Percentage of net assets |
Switzerland | 5.29% |
Taiwan | 6.77% |
Thailand | 0.07% |
Turkey | 0.44% |
Ukraine | 0.34% |
United Kingdom | 5.33% |
United States | 3.28% |
Zambia | 0.04% |
Preferred Stock | 0.08% |
Short-Term Investments | 1.60% |
Securities Lending Collateral | 3.21% |
Total Value of Securities | 102.89% |
Obligation to Return Securities Lending Collateral | (3.21%) |
Receivables and Other Assets Net of Liabilities | 0.32% |
Total Net Assets | 100.00% |
Common stock and preferred stock by sector | Percentage of net assets |
Communication Services | 7.13% |
Consumer Discretionary | 12.83% |
Consumer Staples | 5.47% |
Energy | 5.09% |
Financials | 14.30% |
Healthcare | 14.38% |
Industrials | 10.04% |
Information Technology | 18.48% |
Materials | 8.54% |
Real Estate | 1.57% |
Utilities | 0.25% |
Total | 98.08% |
Security type / sector | Percentage of net assets |
Common Stock♦ | 99.29% |
Communication Services | 13.44% |
Consumer Discretionary | 20.96% |
Consumer Staples | 1.92% |
Financials | 1.64% |
Healthcare | 12.14% |
Industrials | 8.41% |
Information Technology* | 39.01% |
Materials | 0.86% |
Real Estate | 0.91% |
Convertible Preferred Stock | 0.22% |
Short-Term Investments | 0.65% |
Total Value of Securities | 100.16% |
Liabilities Net of Receivables and Other Assets | (0.16%) |
Total Net Assets | 100.00% |
♦Narrow industries are utilized for compliance purposes for diversification whereas broad sectors are used for financial reporting. |
*To monitor compliance with Optimum Large Cap Growth Fund’s concentration guidelines as described in the Fund’s Prospectus and Statement of Additional Information, the Information Technology sector (as disclosed herein for financial reporting purposes) is subdivided into a variety of “industries” (in accordance with the requirements of the Investment Company Act of 1940, as amended). The Information Technology sector for this Fund consisted of Commercial Services, Computers, Diversified Financial Services, Internet, Semiconductors, and Software. As of September 30, 2020, such amounts, as percentage of total net assets, were 1.65%, 5.51%, 4.89%, 0.98%, 6.14%, and 19.84%, respectively. The percentage in any such single industry will comply with the Fund’s concentration policy even if the percentages in the Information Technology sector for financial reporting purposes may exceed 25%. |
Top 10 equity holdings | Percentage of net assets |
Amazon.com | 10.37% |
Microsoft | 6.89% |
Facebook Class A | 5.56% |
Apple | 5.34% |
Visa Class A | 3.48% |
salesforce.com | 2.87% |
Alibaba Group Holding ADR | 2.76% |
UnitedHealth Group | 2.55% |
NVIDIA | 2.09% |
Adobe | 2.07% |
Security type / sector | Percentage of net assets |
Common Stock | 98.44% |
Communication Services | 7.19% |
Consumer Discretionary | 4.03% |
Consumer Staples | 6.84% |
Energy | 3.09% |
Financials | 22.04% |
Healthcare | 18.32% |
Industrials | 14.90% |
Information Technology | 9.14% |
Materials | 4.39% |
Real Estate | 1.94% |
Utilities | 6.56% |
Short-Term Investments | 1.45% |
Total Value of Securities | 99.89% |
Receivables and Other Assets Net of Liabilities | 0.11% |
Total Net Assets | 100.00% |
Top 10 equity holdings | Percentage of net assets |
JPMorgan Chase & Co. | 3.56% |
Johnson & Johnson | 3.37% |
Comcast Class A | 2.83% |
Medtronic | 2.69% |
Thermo Fisher Scientific | 2.06% |
Honeywell International | 2.00% |
Duke Energy | 1.92% |
Verizon Communications | 1.76% |
Northrop Grumman | 1.64% |
Cigna | 1.49% |
Security type / sector | Percentage of net assets |
Common Stock♦ | 98.37% |
Communication Services | 1.17% |
Consumer Discretionary | 17.24% |
Consumer Staples | 2.74% |
Energy | 0.14% |
Financials | 9.12% |
Healthcare* | 28.09% |
Industrials | 13.64% |
Information Technology | 24.70% |
Materials | 1.22% |
Real Estate | 0.31% |
Convertible Preferred Stock | 0.21% |
Warrant | 0.00% |
Short-Term Investments | 1.55% |
Total Value of Securities | 100.13% |
Liabilities Net of Receivables and Other Assets | (0.13%) |
Total Net Assets | 100.00% |
♦Narrow industries are utilized for compliance purposes for diversification whereas broad sectors are used for financial reporting. |
*To monitor compliance with Optimum Small-Mid Cap Growth Fund’s concentration guidelines as described in the Fund’s Prospectus and Statement of Additional Information, the Healthcare sector (as disclosed herein for financial reporting purposes) are subdivided into a variety of “industries” (in accordance with the requirements of the Investment Company Act of 1940, as amended). The Healthcare sector consisted of Biotechnology, Commercial Services, Healthcare-Products, Healthcare-Services, Pharmaceuticals, Retail, Software, and Transportation. As of September 30, 2020, such amounts, as percentage of total net assets, were 6.17%, 0.66%, 11.11%, 3.33%, 4.67%, 0.37%, 1.57%, and 0.21%, respectively. The percentage in any such single industry will comply with the Fund’s concentration policy even if the percentages in the Healthcare sector for financial reporting purposes may exceed 25%. |
Top 10 equity holdings | Percentage of net assets |
Nuance Communications | 2.44% |
Horizon Therapeutics | 2.41% |
SVB Financial Group | 2.27% |
Zendesk | 1.94% |
Tandem Diabetes Care | 1.92% |
Floor & Decor Holdings Class A | 1.83% |
Natera | 1.76% |
Masonite International | 1.75% |
Insulet | 1.60% |
Inspire Medical Systems | 1.46% |
Security type / sector | Percentage of net assets |
Common Stock | 99.13% |
Communication Services | 1.49% |
Consumer Discretionary | 12.52% |
Consumer Staples | 4.56% |
Energy | 1.66% |
Financials | 22.30% |
Healthcare | 7.12% |
Industrials | 15.86% |
Information Technology | 10.53% |
Materials | 8.70% |
Real Estate | 9.14% |
Utilities | 5.25% |
Short-Term Investments | 0.73% |
Total Value of Securities | 99.86% |
Receivables and Other Assets Net of Liabilities | 0.14% |
Total Net Assets | 100.00% |
Top 10 equity holdings | Percentage of net assets |
Sonic Automotive Class A | 1.52% |
Huntsman | 1.46% |
Alliant Energy | 1.45% |
IDACORP | 1.33% |
Westrock | 1.28% |
Assurant | 1.23% |
TCF Financial | 1.20% |
Albemarle | 1.19% |
Nomad Foods | 1.18% |
Houlihan Lokey | 1.15% |
Principal amount° | Value (US $) | ||
Agency Asset-Backed Securities — 0.03% | |||
SLM Student Loan Trust | |||
Series 2003-11 A6 144A 0.80% (LIBOR03M + 0.55%) 12/15/25 #, • | 168,160 | $167,479 | |
Series 2008-9 A 1.745% (LIBOR03M + 1.50%) 4/25/23 • | 718,451 | 705,065 | |
Total Agency Asset-Backed Securities (cost $888,293) | 872,544 | ||
Agency Collateralized Mortgage Obligations — 2.75% | |||
Fannie Mae Connecticut Avenue Securities | |||
Series 2017-C03 1M2 3.148% (LIBOR01M + 3.00%) 10/25/29 • | 6,429,596 | 6,397,304 | |
Series 2017-C04 2M2 2.998% (LIBOR01M + 2.85%) 11/25/29 • | 365,585 | 362,832 | |
Series 2018-C01 1M2 2.398% (LIBOR01M + 2.25%, Floor 2.25%) 7/25/30 • | 1,102,781 | 1,088,264 | |
Series 2018-C02 2M2 2.348% (LIBOR01M + 2.20%, Floor 2.20%) 8/25/30 • | 414,301 | 400,781 | |
Series 2018-C03 1M2 2.298% (LIBOR01M + 2.15%, Floor 2.15%) 10/25/30 • | 551,795 | 541,183 | |
Series 2018-C05 1M2 2.498% (LIBOR01M + 2.35%, Floor 2.35%) 1/25/31 • | 432,351 | 424,074 | |
Fannie Mae Grantor Trust | |||
Series 1999-T2 A1 7.50% 1/19/39 • | 4,989 | 5,455 | |
Series 2004-T1 1A2 6.50% 1/25/44 | 4,749 | 5,613 | |
Fannie Mae REMIC Trust | |||
Series 2004-W11 1A2 6.50% 5/25/44 | 32,372 | 38,518 | |
Series 2004-W15 1A1 6.00% 8/25/44 | 25,954 | 30,166 | |
Fannie Mae REMICs | |||
Series 1999-19 PH 6.00% 5/25/29 | 48,715 | 55,206 | |
Series 2001-14 Z 6.00% 5/25/31 | 3,011 | 3,373 |
Principal amount° | Value (US $) | ||
Agency Collateralized Mortgage Obligations (continued) | |||
Fannie Mae REMICs | |||
Series 2007-30 OE 1.784% 4/25/37 Ω, ^ | 1,854,393 | $1,621,862 | |
Series 2008-24 ZA 5.00% 4/25/38 | 7,272,776 | 8,330,213 | |
Series 2009-2 AS 5.552% (5.70% minus LIBOR01M, Cap 5.70%) 2/25/39 Σ, • | 368,295 | 60,444 | |
Series 2009-68 SA 6.602% (6.75% minus LIBOR01M, Cap 6.75%) 9/25/39 Σ, • | 164,684 | 31,222 | |
Series 2011-118 DC 4.00% 11/25/41 | 666,600 | 717,848 | |
Series 2017-40 GZ 3.50% 5/25/47 | 372,981 | 415,950 | |
Series 2017-77 HZ 3.50% 10/25/47 | 529,728 | 563,475 | |
Series 2017-94 CZ 3.50% 11/25/47 | 332,193 | 361,107 | |
Series 2017-95 FA 0.506% (LIBOR01M + 0.35%, Floor 0.35%) 11/25/47 • | 410,560 | 409,689 | |
Freddie Mac REMICs | |||
Series 2165 PE 6.00% 6/15/29 | 43,092 | 49,029 | |
Series 3143 BC 5.50% 2/15/36 | 1,139,340 | 1,336,914 | |
Series 3289 SA 6.598% (6.75% minus LIBOR01M, Cap 6.75%) 3/15/37 Σ, • | 483,277 | 114,072 | |
Series 4676 KZ 2.50% 7/15/45 | 364,840 | 383,477 | |
Freddie Mac Structured Agency Credit Risk Debt Notes | |||
Series 2017-DNA1 M2 3.398% (LIBOR01M + 3.25%, Floor 3.25%) 7/25/29 • | 728,072 | 745,605 | |
Series 2017-DNA3 M2 2.648% (LIBOR01M + 2.50%) 3/25/30 • | 315,000 | 317,785 | |
Series 2018-HQA1 M2 2.448% (LIBOR01M + 2.30%) 9/25/30 • | 759,628 | 747,205 |
Principal amount° | Value (US $) | ||
Agency Collateralized Mortgage Obligations (continued) | |||
Freddie Mac Structured Agency Credit Risk REMIC Trust | |||
Series 2019-DNA4 M2 144A 2.098% (LIBOR01M + 1.95%) 10/25/49 #, • | 1,259,686 | $1,245,886 | |
Series 2019-HQA4 M2 144A 2.198% (LIBOR01M + 2.05%) 11/25/49 #, • | 1,411,244 | 1,392,790 | |
Series 2020-DNA2 M1 144A 0.898% (LIBOR01M + 0.75%, Floor 0.75%) 2/25/50 #, • | 913,218 | 911,470 | |
Series 2020-DNA2 M2 144A 1.998% (LIBOR01M + 1.85%, Floor 1.85%) 2/25/50 #, • | 500,000 | 486,768 | |
Series 2020-HQA2 M1 144A 1.248% (LIBOR01M + 1.10%) 3/25/50 #, • | 1,423,881 | 1,422,458 | |
Freddie Mac Structured Agency Credit Risk Trust Series 2018-HQA2 M1 144A 0.898% (LIBOR01M + 0.75%) 10/25/48 #, • | 249,693 | 249,077 | |
Freddie Mac Structured Pass Through Certificates | |||
Series T-54 2A 6.50% 2/25/43 ♦ | 11,661 | 14,346 | |
Series T-58 2A 6.50% 9/25/43 ♦ | 5,024 | 5,867 | |
GNMA | |||
Series 2008-65 SB 5.844% (6.00% minus LIBOR01M, Cap 6.00%) 8/20/38 Σ, • | 432,072 | 68,695 | |
Series 2009-2 SE 5.664% (5.82% minus LIBOR01M, Cap 5.82%) 1/20/39 Σ, • | 1,385,968 | 230,767 | |
Series 2011-H21 FT 0.83% (H15T1Y + 0.70%, Cap 15.25%, Floor 0.70%) 10/20/61 • | 5,771,926 | 5,753,215 |
Principal amount° | Value (US $) | ||
Agency Collateralized Mortgage Obligations (continued) | |||
GNMA | |||
Series 2011-H23 FA 0.855% (LIBOR01M + 0.70%, Cap 11.00%, Floor 0.70%) 10/20/61 • | 3,820,132 | $3,844,749 | |
Series 2012-H08 FB 0.755% (LIBOR01M + 0.60%, Cap 11.00%, Floor 0.60%) 3/20/62 • | 634,637 | 636,807 | |
Series 2012-H18 NA 0.675% (LIBOR01M + 0.52%, Cap 10.50%, Floor 0.52%) 8/20/62 • | 361,373 | 362,141 | |
Series 2012-H29 SA 0.67% (LIBOR01M + 0.515%, Cap 12.00%, Floor 0.515%) 10/20/62 • | 3,610,605 | 3,620,511 | |
Series 2013-113 LY 3.00% 5/20/43 | 173,000 | 188,851 | |
Series 2015-H10 FA 0.755% (LIBOR01M + 0.60%, Cap 7.50%) 4/20/65 • | 11,769,983 | 11,827,729 | |
Series 2015-H11 FC 0.705% (LIBOR01M + 0.55%, Cap 7.50%, Floor 0.55%) 5/20/65 • | 1,435,493 | 1,440,159 | |
Series 2015-H12 FB 0.755% (LIBOR01M + 0.60%, Cap 7.50%, Floor 0.60%) 5/20/65 • | 6,067,387 | 6,096,590 | |
Series 2015-H20 FB 0.755% (LIBOR01M + 0.60%, Cap 7.50%, Floor 0.60%) 8/20/65 • | 1,642,634 | 1,651,084 | |
Series 2015-H30 FD 0.755% (LIBOR01M + 0.60%, Cap 11.00%, Floor 0.60%) 10/20/65 • | 103,819 | 104,260 | |
Series 2016-H06 FD 1.075% (LIBOR01M + 0.92%, Cap 7.50%, Floor 0.92%) 7/20/65 • | 1,625,923 | 1,651,986 | |
Series 2017-34 DY 3.50% 3/20/47 | 230,000 | 259,445 | |
Series 2017-130 YJ 2.50% 8/20/47 | 270,000 | 295,360 |
Principal amount° | Value (US $) | ||
Agency Collateralized Mortgage Obligations (continued) | |||
GNMA | |||
Series 2017-163 ZK 3.50% 11/20/47 | 3,646,363 | $3,996,278 | |
Series 2018-34 TY 3.50% 3/20/48 | 196,000 | 213,417 | |
Total Agency Collateralized Mortgage Obligations (cost $71,414,659) | 73,529,372 | ||
Agency Commercial Mortgage-Backed Securities — 0.46% | |||
Freddie Mac Multifamily Structured Pass Through Certificates Series X3FX A2FX 3.00% 6/25/27 ♦ | 1,070,000 | 1,158,332 | |
FREMF Mortgage Trust | |||
Series 2011-K10 B 144A 4.685% 11/25/49 #, • | 550,000 | 549,615 | |
Series 2011-K15 B 144A 5.129% 8/25/44 #, • | 75,000 | 77,083 | |
Series 2012-K18 B 144A 4.382% 1/25/45 #, • | 1,000,000 | 1,037,563 | |
Series 2012-K22 B 144A 3.811% 8/25/45 #, • | 665,000 | 696,911 | |
Series 2013-K24 B 144A 3.627% 11/25/45 #, • | 3,675,000 | 3,850,255 | |
Series 2013-K25 C 144A 3.744% 11/25/45 #, • | 500,000 | 518,494 | |
Series 2014-K716 B 144A 4.081% 8/25/47 #, • | 500,000 | 508,021 | |
Series 2014-K717 B 144A 3.754% 11/25/47 #, • | 1,225,000 | 1,248,445 | |
Series 2014-K717 C 144A 3.754% 11/25/47 #, • | 1,290,000 | 1,307,820 | |
Series 2016-K53 B 144A 4.158% 3/25/49 #, • | 280,000 | 309,739 |
Principal amount° | Value (US $) | ||
Agency Commercial Mortgage-Backed Securities (continued) | |||
FREMF Mortgage Trust | |||
Series 2016-K722 B 144A 3.976% 7/25/49 #, • | 425,000 | $448,150 | |
Series 2017-K71 B 144A 3.882% 11/25/50 #, • | 470,000 | 523,572 | |
Total Agency Commercial Mortgage-Backed Securities (cost $11,793,203) | 12,234,000 | ||
Agency Mortgage-Backed Securities — 18.94% | |||
Fannie Mae | |||
5.50% 3/1/37 | 6,255 | 6,898 | |
5.50% 7/1/37 | 2,786 | 2,902 | |
5.50% 7/1/37 | 8,025 | 8,576 | |
Fannie Mae S.F. 30 yr | |||
3.00% 4/1/43 | 910,379 | 970,480 | |
3.00% 11/1/46 | 10,935,110 | 11,478,616 | |
3.00% 1/1/47 | 3,357,681 | 3,573,919 | |
3.00% 4/1/48 | 321,903 | 337,053 | |
3.00% 11/1/48 | 3,151,818 | 3,306,123 | |
3.00% 10/1/49 | 3,222,708 | 3,377,784 | |
3.00% 12/1/49 | 6,351,251 | 6,772,670 | |
3.00% 3/1/50 | 9,530,919 | 10,082,128 | |
3.00% 7/1/50 | 18,839,399 | 19,754,789 | |
3.50% 7/1/47 | 3,775,668 | 4,090,130 | |
3.50% 12/1/47 | 1,116,662 | 1,181,740 | |
3.50% 2/1/48 | 3,404,888 | 3,715,278 | |
3.50% 7/1/48 | 3,578,275 | 3,786,924 | |
3.50% 11/1/48 | 2,930,592 | 3,100,766 | |
3.50% 6/1/49 | 1,333,401 | 1,404,458 | |
3.50% 11/1/49 | 2,867,633 | 3,021,043 | |
3.50% 1/1/50 | 5,431,812 | 5,724,116 | |
3.50% 3/1/50 | 2,116,549 | 2,284,946 | |
4.00% 10/1/40 | 15,718 | 17,349 | |
4.00% 11/1/40 | 77,849 | 85,727 | |
4.00% 3/1/46 | 95,485 | 104,061 | |
4.00% 4/1/47 | 979,232 | 1,083,077 | |
4.00% 6/1/48 | 4,657,248 | 5,134,506 | |
4.00% 9/1/48 | 8,772,112 | 9,367,150 | |
4.00% 10/1/48 | 4,556,865 | 5,070,837 | |
4.00% 1/1/49 | 162,733 | 173,384 | |
4.00% 3/1/49 | 477,612 | 508,933 | |
4.00% 6/1/49 | 1,239,191 | 1,358,481 | |
4.50% 5/1/35 | 49,132 | 53,987 | |
4.50% 8/1/35 | 87,633 | 96,493 | |
4.50% 9/1/35 | 97,464 | 107,860 |
Principal amount° | Value (US $) | ||
Agency Mortgage-Backed Securities (continued) | |||
Fannie Mae S.F. 30 yr | |||
4.50% 5/1/39 | 324,300 | $363,640 | |
4.50% 6/1/40 | 345,875 | 388,564 | |
4.50% 7/1/40 | 271,596 | 298,870 | |
4.50% 2/1/41 | 1,114,866 | 1,255,178 | |
4.50% 4/1/41 | 52,055 | 58,555 | |
4.50% 10/1/45 | 1,050,211 | 1,178,131 | |
4.50% 5/1/46 | 578,036 | 649,419 | |
4.50% 4/1/48 | 1,252,549 | 1,408,153 | |
4.50% 7/1/48 | 492,043 | 531,944 | |
4.50% 8/1/48 | 345,955 | 375,190 | |
4.50% 9/1/48 | 453,992 | 499,123 | |
4.50% 12/1/48 | 815,742 | 882,173 | |
4.50% 1/1/49 | 6,985,413 | 7,731,754 | |
4.50% 1/1/50 | 1,979,892 | 2,168,484 | |
5.00% 3/1/34 | 1,473 | 1,693 | |
5.00% 4/1/34 | 6,650 | 7,642 | |
5.00% 8/1/34 | 13,757 | 15,808 | |
5.00% 4/1/35 | 4,597 | 5,254 | |
5.00% 12/1/37 | 1,513 | 1,731 | |
5.00% 3/1/38 | 82,845 | 92,963 | |
5.00% 6/1/38 | 3,707 | 4,085 | |
5.00% 2/1/39 | 3,880 | 4,244 | |
5.00% 5/1/40 | 71,350 | 80,996 | |
5.00% 7/1/47 | 624,000 | 717,964 | |
5.50% 10/1/33 | 282,995 | 333,398 | |
5.50% 12/1/33 | 10,954 | 12,343 | |
5.50% 2/1/35 | 217,372 | 257,408 | |
5.50% 12/1/38 | 807,478 | 950,941 | |
5.50% 5/1/44 | 8,184,141 | 9,628,504 | |
6.00% 9/1/36 | 11,110 | 12,526 | |
6.00% 8/1/38 | 30,520 | 34,136 | |
6.00% 12/1/38 | 5,093 | 6,003 | |
6.00% 6/1/41 | 1,609,756 | 1,905,767 | |
6.00% 7/1/41 | 5,531,367 | 6,600,311 | |
6.00% 1/1/42 | 1,405,505 | 1,660,970 | |
6.50% 11/1/33 | 2,300 | 2,639 | |
6.50% 2/1/36 | 30,156 | 35,800 | |
6.50% 3/1/36 | 53,055 | 61,670 | |
6.50% 6/1/36 | 63,947 | 76,315 | |
6.50% 2/1/38 | 18,027 | 21,004 | |
6.50% 11/1/38 | 4,028 | 4,738 | |
Fannie Mae S.F. 30 yr TBA | |||
2.50% 11/1/50 | 60,800,000 | 63,637,518 | |
3.00% 10/1/50 | 86,514,000 | 90,626,798 | |
3.00% 11/1/50 | 136,000,000 | 142,497,182 | |
4.50% 10/1/50 | 6,100,000 | 6,598,723 |
Principal amount° | Value (US $) | ||
Agency Mortgage-Backed Securities (continued) | |||
Freddie Mac ARM | |||
3.625% (LIBOR12M + 1.625%, Cap 10.50%, Floor 1.625%) 2/1/38 • | 14,167 | $14,260 | |
3.93% (LIBOR12M + 2.18%, Cap 10.574%, Floor 2.18%) 5/1/37 • | 122,789 | 131,657 | |
Freddie Mac S.F. 20 yr | |||
5.50% 10/1/23 | 7,970 | 8,839 | |
5.50% 8/1/24 | 4,483 | 4,972 | |
Freddie Mac S.F. 30 yr | |||
3.00% 11/1/49 | 5,273,898 | 5,522,880 | |
3.00% 12/1/49 | 1,387,508 | 1,471,040 | |
3.00% 1/1/50 | 1,373,375 | 1,455,161 | |
3.50% 8/1/48 | 72,500 | 76,527 | |
3.50% 9/1/48 | 4,266,561 | 4,535,419 | |
3.50% 11/1/48 | 8,692,816 | 9,583,239 | |
4.00% 12/1/45 | 841,842 | 935,323 | |
4.00% 7/1/47 | 430,606 | 461,687 | |
4.00% 10/1/47 | 3,948,674 | 4,227,698 | |
4.50% 8/1/48 | 2,224,090 | 2,428,003 | |
4.50% 1/1/49 | 1,396,418 | 1,558,631 | |
4.50% 3/1/49 | 549,842 | 597,804 | |
4.50% 4/1/49 | 1,912,953 | 2,109,739 | |
4.50% 8/1/49 | 3,466,578 | 3,875,147 | |
5.50% 6/1/41 | 1,523,975 | 1,771,182 | |
5.50% 9/1/41 | 2,367,715 | 2,752,145 | |
6.50% 11/1/33 | 19,537 | 22,793 | |
6.50% 1/1/35 | 54,922 | 66,446 | |
7.00% 1/1/38 | 17,527 | 20,791 | |
GNMA I S.F. 30 yr 3.00% 3/15/50 | 1,527,999 | 1,600,381 | |
GNMA II S.F. 30 yr | |||
5.50% 5/20/37 | 89,933 | 103,413 | |
6.00% 4/20/34 | 3,439 | 3,864 | |
GNMA II S.F. 30 yr TBA 4.00% 11/20/50 | 6,000,000 | 6,380,156 | |
Total Agency Mortgage-Backed Securities (cost $500,670,079) | 506,548,633 | ||
Agency Obligation — 0.09% | |||
Federal Home Loan Mortgage 2.25% 11/24/20 | 2,300,000 | 2,307,163 | |
Total Agency Obligation (cost $2,300,000) | 2,307,163 | ||
Principal amount° | Value (US $) | ||
Collateralized Debt Obligations — 1.90% | |||
AMMC CLO 21 Series 2017-21A A 144A 1.501% (LIBOR03M + 1.25%) 11/2/30 #, • | 2,400,000 | $2,388,686 | |
Apex Credit CLO | |||
Series 2017-1A A1 144A 1.734% (LIBOR03M + 1.47%, Floor 1.47%) 4/24/29 #, • | 1,257,197 | 1,252,108 | |
Series 2018-1A A2 144A 1.275% (LIBOR03M + 1.03%) 4/25/31 #, • | 2,400,000 | 2,307,110 | |
Arbor Realty CLO Series 2017-FL3 A 144A 1.142% (LIBOR01M + 0.99%) 12/15/27 #, • | 250,000 | 245,547 | |
Arbour CLO IV Series 4A A2R 144A 0.87% (EUR003M + 0.87%, Floor 0.87%) 1/15/30 #, • | EUR | 2,600,000 | 3,028,181 |
Atlas Senior Loan Fund X Series 2018-10A A 144A 1.365% (LIBOR03M + 1.09%) 1/15/31 #, • | 1,478,235 | 1,462,375 | |
Atrium XII Series 12A AR 144A 1.088% (LIBOR03M + 0.83%) 4/22/27 #, • | 2,471,772 | 2,458,672 | |
BlueMountain CLO Series 2015-1A A1R 144A 1.596% (LIBOR03M + 1.33%) 4/13/27 #, • | 118,824 | 118,679 | |
Catamaran CLO Series 2013-1A AR 144A 1.095% (LIBOR03M + 0.85%) 1/27/28 #, • | 3,069,065 | 3,042,483 | |
CFIP CLO Series 2017-1A A 144A 1.492% (LIBOR03M + 1.22%) 1/18/30 #, • | 2,300,000 | 2,288,095 | |
Crown Point CLO 5 Series 2018-5A A 144A 1.213% (LIBOR03M + 0.94%) 7/17/28 #, • | 394,836 | 391,269 |
Principal amount° | Value (US $) | ||
Collateralized Debt Obligations (continued) | |||
Galaxy XXI CLO Series 2015-21A AR 144A 1.292% (LIBOR03M + 1.02%) 4/20/31 #, • | 1,650,000 | $1,629,812 | |
Jamestown CLO IV Series 2014-4A A1CR 144A 0.965% (LIBOR03M + 0.69%) 7/15/26 #, • | 183,095 | 182,537 | |
Jamestown CLO VII Series 2015-7A A1R 144A 1.075% (LIBOR03M + 0.83%, Floor 0.83%) 7/25/27 #, • | 474,389 | 471,319 | |
Man GLG US CLO Series 2018-1A A1R 144A 1.412% (LIBOR03M + 1.14%) 4/22/30 #, • | 3,000,000 | 2,959,971 | |
Marathon CLO V Series 2013-5A A1R 144A 1.117% (LIBOR03M + 0.87%) 11/21/27 #, • | 967,271 | 958,091 | |
Mariner CLO 5 Series 2018-5A A 144A 1.355% (LIBOR03M + 1.11%, Floor 1.11%) 4/25/31 #, • | 1,800,000 | 1,786,923 | |
Midocean Credit CLO VIII Series 2018-8A A1 144A 1.403% (LIBOR03M + 1.15%) 2/20/31 #, • | 1,750,000 | 1,741,369 | |
Midocean Credit CLO IX Series 2018-9A A1 144A 1.422% (LIBOR03M + 1.15%, Floor 1.15%) 7/20/31 #, • | 1,250,000 | 1,240,787 | |
Monarch Grove CLO Series 2018-1A A1 144A 1.125% (LIBOR03M + 0.88%) 1/25/28 #, • | 4,295,676 | 4,262,230 | |
Mountain View CLO X Series 2015-10A AR 144A 1.086% (LIBOR03M + 0.82%, Floor 0.82%) 10/13/27 #, • | 1,684,520 | 1,671,574 |
Principal amount° | Value (US $) | ||
Collateralized Debt Obligations (continued) | |||
OCP CLO | |||
Series 2015-9A A1R 144A 1.075% (LIBOR03M + 0.80%) 7/15/27 #, • | 1,007,832 | $1,005,778 | |
Series 2015-10A A1R 144A 1.065% (LIBOR03M + 0.82%) 10/26/27 #, • | 2,168,672 | 2,154,816 | |
Series 2017-13A A1A 144A 1.535% (LIBOR03M + 1.26%) 7/15/30 #, • | 1,000,000 | 995,895 | |
OFSI Fund VII Series 2014-7A AR 144A 1.172% (LIBOR03M + 0.90%) 10/18/26 #, • | 76,198 | 76,085 | |
Sounds Point CLO IV-R Series 2013-3RA A 144A 1.422% (LIBOR03M + 1.15%, Floor 1.15%) 4/18/31 #, • | 1,000,000 | 981,658 | |
TICP CLO I Series 2015-1A AR 144A 1.072% (LIBOR03M + 0.80%) 7/20/27 #, • | 1,022,052 | 1,013,506 | |
Venture 33 CLO Series 2018-33A A1L 144A 1.415% (LIBOR03M + 1.14%, Floor 1.14%) 7/15/31 #, • | 1,250,000 | 1,236,218 | |
Venture 34 CLO Series 2018-34A A 144A 1.505% (LIBOR03M + 1.23%, Floor 1.23%) 10/15/31 #, • | 2,500,000 | 2,469,697 | |
Venture XVI CLO Series 2014-16A ARR 144A 1.125% (LIBOR03M + 0.85%, Floor 0.85%) 1/15/28 #, • | 1,015,545 | 1,005,231 | |
Venture XVII CLO Series 2014-17A ARR 144A 1.155% (LIBOR03M + 0.88%) 4/15/27 #, • | 383,856 | 380,511 |
Principal amount° | Value (US $) | ||
Collateralized Debt Obligations (continued) | |||
Venture XX CLO Series 2015-20A AR 144A 1.095% (LIBOR03M + 0.82%) 4/15/27 #, • | 1,275,865 | $1,271,619 | |
Voya CLO Series 2014-3A A1R 144A 0.965% (LIBOR03M + 0.72%) 7/25/26 #, • | 284,310 | 283,109 | |
WhiteHorse IX Series 2014-9A AR 144A 1.433% (LIBOR03M + 1.16%) 7/17/26 #, • | 75,786 | 75,580 | |
Z Capital Credit Partners CLO Series 2015-1A A1R 144A 1.221% (LIBOR03M + 0.95%, Floor 0.95%) 7/16/27 #, • | 2,017,890 | 2,005,648 | |
Total Collateralized Debt Obligations (cost $51,177,954) | 50,843,169 | ||
Corporate Bonds — 41.06% | |||
Banking — 10.86% | |||
Akbank T.A.S. 144A 6.80% 2/6/26 # | 610,000 | 592,410 | |
Banco Bilbao Vizcaya Argentaria | |||
5.875% μ, ψ | EUR | 400,000 | 463,128 |
8.875% μ, ψ | EUR | 1,200,000 | 1,456,070 |
Banco de Credito del Peru 144A 2.70% 1/11/25 # | 735,000 | 766,054 | |
Banco Mercantil del Norte 144A 8.375% #, μ, ψ | 475,000 | 497,088 | |
Banco Nacional de Panama 144A 2.50% 8/11/30 # | 910,000 | 901,582 | |
Banco Santander 6.25% μ, ψ | EUR | 1,300,000 | 1,525,366 |
Banco Santander Mexico 144A 5.95% 10/1/28 #, μ | 280,000 | 295,785 | |
Bancolombia 3.00% 1/29/25 | 550,000 | 551,408 | |
Bangkok Bank | |||
144A 3.733% 9/25/34 #, μ | 350,000 | 343,717 | |
144A 5.00% #, μ, ψ | 480,000 | 481,421 | |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Banking (continued) | |||
Banistmo 144A 4.25% 7/31/27 # | 785,000 | $799,334 | |
Bank Leumi Le-Israel 144A 3.275% 1/29/31 #, μ | 1,750,000 | 1,754,681 | |
Bank of America | |||
1.898% 7/23/31 μ | 3,095,000 | 3,091,005 | |
2.625% 4/19/21 | 1,000,000 | 1,012,759 | |
2.676% 6/19/41 μ | 5,120,000 | 5,250,046 | |
3.55% 3/5/24 μ | 2,100,000 | 2,238,117 | |
3.864% 7/23/24 μ | 2,200,000 | 2,383,992 | |
3.974% 2/7/30 μ | 3,400,000 | 3,957,082 | |
4.125% 1/22/24 | 200,000 | 221,659 | |
4.30% μ, ψ | 900,000 | 874,125 | |
Bank of China 144A 5.00% 11/13/24 # | 710,000 | 789,687 | |
Bank of Georgia 144A 6.00% 7/26/23 # | 890,000 | 930,228 | |
Bank of Montreal 1.85% 5/1/25 | 2,590,000 | 2,703,832 | |
Bank of New York Mellon 4.70% μ, ψ | 950,000 | 1,010,325 | |
Bank of Nova Scotia 1.875% 4/26/21 | 4,500,000 | 4,541,297 | |
Barclays | |||
1.66% (LIBOR03M + 1.38%) 5/16/24 • | 1,800,000 | 1,805,829 | |
3.375% 4/2/25 μ | EUR | 500,000 | 636,993 |
4.61% 2/15/23 μ | 700,000 | 732,923 | |
4.972% 5/16/29 μ | 3,000,000 | 3,508,059 | |
5.20% 5/12/26 | 1,354,000 | 1,505,147 | |
6.375% μ, ψ | GBP | 500,000 | 640,787 |
7.125% μ, ψ | GBP | 1,800,000 | 2,427,729 |
Barclays Bank 7.625% 11/21/22 | 1,800,000 | 1,980,563 | |
BBVA Bancomer | |||
144A 1.875% 9/18/25 # | 425,000 | 415,756 | |
144A 5.125% 1/18/33 #, μ | 410,000 | 395,302 | |
144A 6.75% 9/30/22 # | 351,000 | 378,817 | |
BBVA USA | |||
2.875% 6/29/22 | 1,220,000 | 1,257,519 | |
3.875% 4/10/25 | 1,145,000 | 1,229,046 | |
BDO Unibank 2.125% 1/13/26 | 795,000 | 793,378 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Banking (continued) | |||
BNP Paribas | |||
144A 3.052% 1/13/31 #, μ | 2,600,000 | $2,796,087 | |
144A 4.705% 1/10/25 #, μ | 1,600,000 | 1,772,747 | |
144A 7.375% #, μ, ψ | 700,000 | 780,111 | |
7.375% μ, ψ | 500,000 | 557,223 | |
CIT Group 4.125% 3/9/21 | 400,000 | 400,910 | |
Citigroup | |||
2.65% 10/26/20 | 3,200,000 | 3,205,184 | |
3.20% 10/21/26 | 1,000,000 | 1,104,101 | |
4.044% 6/1/24 μ | 1,800,000 | 1,945,961 | |
4.05% 7/30/22 | 150,000 | 159,324 | |
4.075% 4/23/29 μ | 3,400,000 | 3,913,907 | |
Citizens Bank 2.55% 5/13/21 | 950,000 | 961,289 | |
Citizens Financial Group 5.65% μ, ψ | 1,080,000 | 1,129,000 | |
Cooperatieve Rabobank | |||
0.674% (LIBOR03M + 0.43%) 4/26/21 • | 500,000 | 501,152 | |
3.75% 7/21/26 | 1,350,000 | 1,505,946 | |
4.375% 8/4/25 | 2,000,000 | 2,267,805 | |
Credit Suisse Group | |||
144A 2.593% 9/11/25 #, μ | 1,105,000 | 1,153,700 | |
144A 3.869% 1/12/29 #, μ | 1,065,000 | 1,188,729 | |
144A 4.194% 4/1/31 #, μ | 1,545,000 | 1,786,785 | |
144A 4.207% 6/12/24 #, μ | 410,000 | 443,539 | |
144A 5.25% #, μ, ψ | 885,000 | 888,982 | |
144A 6.25% #, μ, ψ | 5,705,000 | 6,129,093 | |
144A 6.375% #, μ, ψ | 1,900,000 | 2,032,211 | |
Credit Suisse Group Funding Guernsey | |||
3.125% 12/10/20 | 250,000 | 251,312 | |
3.80% 9/15/22 | 3,350,000 | 3,542,857 | |
3.80% 6/9/23 | 2,300,000 | 2,475,922 | |
DBS Group Holdings 144A 4.52% 12/11/28 #, μ | 530,000 | 579,281 | |
Deutsche Bank | |||
2.222% 9/18/24 μ | 1,415,000 | 1,425,305 | |
3.547% 9/18/31 μ | 3,255,000 | 3,277,706 | |
3.961% 11/26/25 μ | 5,700,000 | 6,065,634 | |
4.25% 10/14/21 | 2,000,000 | 2,056,965 | |
5.00% 2/14/22 | 3,100,000 | 3,244,050 | |
�� | Principal amount° | Value (US $) | |
Corporate Bonds (continued) | |||
Banking (continued) | |||
Development Bank of Mongolia 144A 7.25% 10/23/23 # | 710,000 | $745,554 | |
Emirates NBD Bank 2.625% 2/18/25 | 495,000 | 515,553 | |
Fifth Third Bancorp | |||
2.55% 5/5/27 | 1,201,000 | 1,295,251 | |
3.65% 1/25/24 | 790,000 | 861,827 | |
3.95% 3/14/28 | 1,119,000 | 1,303,055 | |
Fifth Third Bank 3.85% 3/15/26 | 835,000 | 953,762 | |
Goldman Sachs Group | |||
1.45% (LIBOR03M + 1.17%) 11/15/21 • | 1,700,000 | 1,702,129 | |
1.605% (LIBOR03M + 1.36%) 4/23/21 • | 1,300,000 | 1,307,560 | |
2.60% 2/7/30 | 955,000 | 1,009,740 | |
3.20% 2/23/23 | 2,200,000 | 2,330,142 | |
3.50% 4/1/25 | 2,780,000 | 3,071,737 | |
4.223% 5/1/29 μ | 4,700,000 | 5,481,205 | |
HSBC Holdings | |||
1.27% (LIBOR03M + 1.00%) 5/18/24 • | 1,000,000 | 996,804 | |
4.30% 3/8/26 | 200,000 | 225,789 | |
ICICI Bank 144A 4.00% 3/18/26 # | 535,000 | 565,654 | |
Intesa Sanpaolo | |||
144A 4.00% 9/23/29 # | 1,300,000 | 1,418,088 | |
7.00% μ, ψ | EUR | 300,000 | 356,232 |
7.75% μ, ψ | EUR | 200,000 | 264,443 |
JPMorgan Chase & Co. | |||
1.145% (LIBOR03M + 0.90%) 4/25/23 • | 1,000,000 | 1,008,480 | |
2.522% 4/22/31 μ | 1,605,000 | 1,712,720 | |
3.109% 4/22/41 μ | 670,000 | 732,942 | |
3.109% 4/22/51 μ | 1,005,000 | 1,069,830 | |
3.22% 3/1/25 μ | 500,000 | 537,815 | |
4.005% 4/23/29 μ | 900,000 | 1,042,992 | |
4.023% 12/5/24 μ | 4,730,000 | 5,205,570 | |
4.60% μ, ψ | 1,185,000 | 1,162,781 | |
5.00% μ, ψ | 1,650,000 | 1,648,576 | |
Lloyds Banking Group | |||
2.438% 2/5/26 μ | 300,000 | 311,348 | |
2.858% 3/17/23 μ | 2,900,000 | 2,982,340 | |
3.50% 4/1/26 μ | EUR | 200,000 | 263,787 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Banking (continued) | |||
Mitsubishi UFJ Financial Group | |||
1.309% (LIBOR03M + 1.06%) 9/13/21 • | 1,354,000 | $1,364,544 | |
2.193% 2/25/25 | 1,700,000 | 1,782,026 | |
2.559% 2/25/30 | 1,800,000 | 1,894,638 | |
3.218% 3/7/22 | 500,000 | 518,997 | |
Mitsubishi UFJ Trust & Banking 144A 2.65% 10/19/20 # | 500,000 | 500,578 | |
Mizuho Financial Group | |||
1.389% (LIBOR03M + 1.14%) 9/13/21 • | 1,900,000 | 1,917,618 | |
2.226% 5/25/26 μ | 1,600,000 | 1,665,050 | |
2.591% 5/25/31 μ | 2,000,000 | 2,102,597 | |
Morgan Stanley | |||
1.463% (LIBOR03M + 1.22%) 5/8/24 • | 2,010,000 | 2,033,498 | |
2.188% 4/28/26 μ | 3,705,000 | 3,884,225 | |
2.50% 4/21/21 | 3,500,000 | 3,542,754 | |
3.622% 4/1/31 μ | 930,000 | 1,064,471 | |
3.625% 1/20/27 | 4,000,000 | 4,524,897 | |
5.00% 11/24/25 | 3,125,000 | 3,669,748 | |
Nationwide Building Society | |||
144A 3.766% 3/8/24 #, μ | 800,000 | 850,771 | |
144A 4.302% 3/8/29 #, μ | 5,200,000 | 5,878,802 | |
Natwest Group | |||
1.75% (LIBOR03M + 1.47%) 5/15/23 • | 1,000,000 | 1,004,453 | |
3.498% 5/15/23 μ | 500,000 | 518,024 | |
4.80% 4/5/26 | 5,000,000 | 5,787,614 | |
8.625% μ, ψ | 5,900,000 | 6,060,598 | |
PNC Bank | |||
2.70% 11/1/22 | 250,000 | 261,257 | |
4.05% 7/26/28 | 2,400,000 | 2,807,642 | |
PNC Financial Services Group 2.60% 7/23/26 | 2,845,000 | 3,109,836 | |
Popular 6.125% 9/14/23 | 440,000 | 465,804 | |
QNB Finance | |||
2.625% 5/12/25 | 760,000 | 790,190 | |
3.50% 3/28/24 | 625,000 | 665,124 | |
Royal Bank of Canada 2.30% 3/22/21 | 2,300,000 | 2,322,187 | |
Santander UK | |||
3.40% 6/1/21 | 500,000 | 510,273 | |
3.75% 11/15/21 | 200,000 | 207,113 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Banking (continued) | |||
Santander UK Group Holdings | |||
3.823% 11/3/28 μ | 3,200,000 | $3,551,719 | |
7.375% μ, ψ | GBP | 2,200,000 | 2,964,227 |
Shinhan Financial Group 144A 3.34% 2/5/30 #, μ | 410,000 | 430,424 | |
Societe Generale 144A 4.25% 4/14/25 # | 3,600,000 | 3,841,437 | |
Sumitomo Mitsui Financial Group | |||
1.474% 7/8/25 | 2,600,000 | 2,651,502 | |
1.922% (LIBOR03M + 1.68%) 3/9/21 • | 2,300,000 | 2,316,006 | |
Truist Bank | |||
2.25% 3/11/30 | 2,095,000 | 2,161,117 | |
2.636% 9/17/29 μ | 5,182,000 | 5,377,886 | |
Truist Financial 4.95% μ, ψ | 1,145,000 | 1,207,975 | |
UBS | |||
5.125% 5/15/24 | 200,000 | 220,750 | |
7.625% 8/17/22 | 500,000 | 556,972 | |
UBS Group | |||
144A 1.364% 1/30/27 #, μ | 400,000 | 400,205 | |
144A 2.048% (LIBOR03M + 1.78%) 4/14/21 #, • | 400,000 | 403,510 | |
144A 3.00% 4/15/21 # | 2,400,000 | 2,434,010 | |
144A 3.126% 8/13/30 #, μ | 2,000,000 | 2,221,454 | |
144A 4.125% 9/24/25 # | 2,940,000 | 3,355,701 | |
6.875% μ, ψ | 2,445,000 | 2,483,543 | |
7.125% μ, ψ | 540,000 | 555,525 | |
UniCredit | |||
144A 4.168% (LIBOR03M + 3.90%) 1/14/22 #, • | 2,200,000 | 2,258,361 | |
7.50% μ, ψ | EUR | 600,000 | 763,164 |
144A 7.83% 12/4/23 # | 2,900,000 | 3,400,126 | |
9.25% μ, ψ | EUR | 200,000 | 255,205 |
US Bancorp | |||
1.45% 5/12/25 | 1,565,000 | 1,616,615 | |
3.00% 7/30/29 | 1,200,000 | 1,333,548 | |
3.375% 2/5/24 | 2,915,000 | 3,173,140 | |
3.60% 9/11/24 | 1,275,000 | 1,413,463 | |
3.95% 11/17/25 | 2,820,000 | 3,259,581 | |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Banking (continued) | |||
US Bank 3.40% 7/24/23 | 815,000 | $880,790 | |
USB Capital IX 3.50% (LIBOR03M + 1.02%) ψ, • | 525,000 | 492,584 | |
Virgin Money UK | |||
3.375% 4/24/26 μ | GBP | 100,000 | 129,700 |
4.00% 9/25/26 μ | GBP | 800,000 | 1,068,204 |
4.00% 9/3/27 μ | GBP | 100,000 | 133,658 |
Wells Fargo & Co. | |||
1.183% (LIBOR03M + 0.93%) 2/11/22 • | 1,300,000 | 1,303,268 | |
2.55% 12/7/20 | 2,800,000 | 2,811,491 | |
3.068% 4/30/41 μ | 795,000 | 828,511 | |
3.196% 6/17/27 μ | 900,000 | 977,927 | |
3.584% 5/22/28 μ | 5,300,000 | 5,937,206 | |
Woori Bank 144A 4.75% 4/30/24 # | 800,000 | 884,192 | |
290,526,596 | |||
Basic Industry — 2.36% | |||
AngloGold Ashanti Holdings 3.75% 10/1/30 | 595,000 | 608,053 | |
Avient 144A 5.75% 5/15/25 # | 2,193,000 | 2,327,321 | |
BHP Billiton Finance USA 144A 6.25% 10/19/75 #, μ | 2,595,000 | 2,595,869 | |
Braskem Netherlands Finance | |||
4.50% 1/10/28 | 800,000 | 772,000 | |
144A 8.50% 1/23/81 #, μ | 525,000 | 527,958 | |
Chemours 7.00% 5/15/25 | 1,151,000 | 1,157,906 | |
Corp Nacional del Cobre de Chile | |||
144A 3.15% 1/14/30 # | 2,770,000 | 2,951,366 | |
144A 4.25% 7/17/42 # | 200,000 | 227,252 | |
CSN Islands XI 144A 6.75% 1/28/28 # | 270,000 | 259,727 | |
CSN Resources 144A 7.625% 4/17/26 # | 200,000 | 201,125 | |
Equate Petrochemical 144A 3.00% 3/3/22 # | 375,000 | 379,990 | |
First Quantum Minerals | |||
144A 6.875% 10/15/27 # | 360,000 | 347,238 | |
144A 7.25% 4/1/23 # | 1,765,000 | 1,765,485 | |
144A 7.50% 4/1/25 # | 900,000 | 891,324 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Basic Industry (continued) | |||
Freeport-McMoRan | |||
4.125% 3/1/28 | 1,220,000 | $1,237,538 | |
4.25% 3/1/30 | 1,221,000 | 1,252,673 | |
4.625% 8/1/30 | 1,190,000 | 1,253,338 | |
5.45% 3/15/43 | 1,670,000 | 1,857,240 | |
Fresnillo 144A 4.25% 10/2/50 # | 605,000 | 597,519 | |
Georgia-Pacific | |||
144A 1.75% 9/30/25 # | 925,000 | 964,869 | |
144A 2.10% 4/30/27 # | 735,000 | 772,072 | |
144A 2.30% 4/30/30 # | 1,660,000 | 1,763,887 | |
8.00% 1/15/24 | 2,242,000 | 2,749,625 | |
Gold Fields Orogen Holdings BVI 144A 6.125% 5/15/29 # | 715,000 | 834,763 | |
GUSAP III 144A 4.25% 1/21/30 # | 2,120,000 | 2,210,630 | |
Hudbay Minerals 144A 7.625% 1/15/25 # | 170,000 | 173,305 | |
Huntsman International 5.125% 11/15/22 | 1,000,000 | 1,076,190 | |
INEOS Styrolution Group 144A 2.25% 1/16/27 # | EUR | 500,000 | 548,548 |
Inversiones 144A 3.85% 1/13/30 # | 480,000 | 526,049 | |
Israel Chemicals 144A 6.375% 5/31/38 # | 1,400,000 | 1,766,817 | |
LYB International Finance III 2.875% 5/1/25 | 3,120,000 | 3,346,756 | |
MEGlobal Canada 144A 5.875% 5/18/30 # | 340,000 | 398,226 | |
Methanex 5.25% 12/15/29 | 2,515,000 | 2,491,422 | |
Metinvest | |||
144A 7.65% 10/1/27 # | 336,000 | 327,984 | |
144A 7.75% 4/23/23 # | 200,000 | 205,380 | |
144A 8.50% 4/23/26 # | 200,000 | 202,070 | |
Minera Mexico 144A 4.50% 1/26/50 # | 770,000 | 842,765 | |
Newmont | |||
2.25% 10/1/30 | 2,615,000 | 2,703,887 | |
2.80% 10/1/29 | 3,850,000 | 4,176,284 | |
Novolipetsk Steel Via Steel Funding DAC 144A 4.00% 9/21/24 # | 715,000 | 761,207 | |
Nutrien 2.95% 5/13/30 | 1,120,000 | 1,228,112 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Basic Industry (continued) | |||
OCP | |||
144A 4.50% 10/22/25 # | 944,000 | $999,351 | |
144A 6.875% 4/25/44 # | 210,000 | 267,169 | |
Olin | |||
5.00% 2/1/30 | 1,840,000 | 1,733,860 | |
5.625% 8/1/29 | 705,000 | 695,303 | |
Phosagro OAO via Phosagro Bond Funding DAC 144A 3.949% 4/24/23 # | 380,000 | 395,414 | |
Sasol Financing USA 5.875% 3/27/24 | 2,865,000 | 2,771,887 | |
Sociedad Quimica y Minera de Chile 144A 3.625% 4/3/23 # | 495,000 | 517,842 | |
Suzano Austria 3.75% 1/15/31 | 540,000 | 541,998 | |
Syngenta Finance | |||
144A 3.933% 4/23/21 # | 825,000 | 835,731 | |
144A 4.441% 4/24/23 # | 470,000 | 496,706 | |
Vale Overseas 3.75% 7/8/30 | 1,690,000 | 1,740,700 | |
Vedanta Holdings Mauritius II 144A 13.00% 8/21/23 # | 365,000 | 376,248 | |
Vedanta Resources Finance II 144A 9.25% 4/23/26 # | 510,000 | 384,030 | |
63,038,009 | |||
Brokerage — 0.21% | |||
Banco BTG Pactual 144A 4.50% 1/10/25 # | 525,000 | 536,818 | |
Charles Schwab 5.375% μ, ψ | 2,495,000 | 2,709,695 | |
Jefferies Group | |||
4.15% 1/23/30 | 780,000 | 879,987 | |
6.45% 6/8/27 | 331,000 | 403,907 | |
6.50% 1/20/43 | 880,000 | 1,116,390 | |
5,646,797 | |||
Capital Goods — 2.13% | |||
Aeropuertos Argentina 2000 PIK 144A 9.375% 2/1/27 #, * | 693,720 | 483,870 | |
Amphenol 2.05% 3/1/25 | 605,000 | 635,625 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Capital Goods (continued) | |||
Bioceanico Sovereign Certificate 144A 2.884% 6/5/34 #, ^ | 586,252 | $438,223 | |
BMC East 144A 5.50% 10/1/24 # | 250,000 | 257,344 | |
Boise Cascade 144A 4.875% 7/1/30 # | 1,828,000 | 1,965,100 | |
Bombardier 144A 6.00% 10/15/22 # | 310,000 | 287,912 | |
Caterpillar | |||
2.60% 4/9/30 | 2,470,000 | 2,715,813 | |
3.25% 4/9/50 | 1,200,000 | 1,352,316 | |
Cemex 144A 7.375% 6/5/27 # | 545,000 | 589,633 | |
Covanta Holding 5.875% 7/1/25 | 230,000 | 238,601 | |
Energizer Holdings 144A 4.375% 3/31/29 # | 1,222,000 | 1,237,275 | |
EnPro Industries 5.75% 10/15/26 | 105,000 | 111,149 | |
General Dynamics | |||
3.25% 4/1/25 | 1,475,000 | 1,633,740 | |
4.25% 4/1/40 | 1,530,000 | 1,928,166 | |
4.25% 4/1/50 | 885,000 | 1,160,566 | |
General Electric | |||
3.45% 5/1/27 | 770,000 | 815,081 | |
3.625% 5/1/30 | 1,310,000 | 1,362,293 | |
4.35% 5/1/50 | 2,360,000 | 2,409,166 | |
GFL Environmental 144A 3.75% 8/1/25 # | 724,000 | 723,547 | |
Grupo Cementos de Chihuahua 144A 5.25% 6/23/24 # | 530,000 | 552,475 | |
Heathrow Funding 144A 4.875% 7/15/21 # | 200,000 | 204,985 | |
HTA Group 144A 7.00% 12/18/25 # | 755,000 | 793,694 | |
Hutama Karya Persero 144A 3.75% 5/11/30 # | 2,835,000 | 3,083,728 | |
IHS Netherlands Holdco 144A 7.125% 3/18/25 # | 565,000 | 579,125 | |
Klabin Austria 144A 7.00% 4/3/49 # | 460,000 | 521,760 | |
L3Harris Technologies | |||
2.90% 12/15/29 | 2,310,000 | 2,525,931 | |
3.85% 6/15/23 | 725,000 | 785,371 | |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Capital Goods (continued) | |||
Masco 5.95% 3/15/22 | 304,000 | $326,282 | |
Mauser Packaging Solutions Holding 144A 5.50% 4/15/24 # | 2,960,000 | 2,974,800 | |
Otis Worldwide | |||
2.056% 4/5/25 | 835,000 | 878,353 | |
2.565% 2/15/30 | 5,970,000 | 6,422,315 | |
3.112% 2/15/40 | 1,173,000 | 1,259,030 | |
3.362% 2/15/50 | 202,000 | 223,315 | |
Reynolds Group Issuer 144A 4.00% 10/15/27 # | 2,730,000 | 2,751,021 | |
Roper Technologies | |||
2.35% 9/15/24 | 715,000 | 756,813 | |
2.95% 9/15/29 | 2,650,000 | 2,922,977 | |
Rutas 2 and 7 Finance 144A 3.241% 9/30/36 #, ^ | 610,000 | 434,625 | |
Standard Industries | |||
144A 3.375% 1/15/31 # | 1,083,000 | 1,070,946 | |
144A 5.00% 2/15/27 # | 309,000 | 322,258 | |
Textron 0.793% (LIBOR03M + 0.55%) 11/10/20 • | 2,900,000 | 2,900,087 | |
TransDigm 144A 6.25% 3/15/26 # | 1,883,000 | 1,976,783 | |
Waste Management 4.15% 7/15/49 | 224,000 | 286,362 | |
WESCO Distribution 144A 7.25% 6/15/28 # | 1,975,000 | 2,166,733 | |
57,065,189 | |||
Communications — 5.25% | |||
Alphabet | |||
1.10% 8/15/30 | 420,000 | 416,813 | |
1.90% 8/15/40 | 495,000 | 476,517 | |
2.05% 8/15/50 | 530,000 | 495,233 | |
Altice Financing 144A 5.00% 1/15/28 # | 2,040,000 | 1,984,033 | |
Altice France 144A 2.125% 2/15/25 # | EUR | 1,900,000 | 2,107,919 |
Altice France Holding | |||
144A 6.00% 2/15/28 # | 1,550,000 | 1,481,250 | |
144A 10.50% 5/15/27 # | 1,980,000 | 2,203,987 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Communications (continued) | |||
Amazon.com | |||
1.20% 6/3/27 | 620,000 | $629,207 | |
1.50% 6/3/30 | 1,000,000 | 1,023,631 | |
2.50% 6/3/50 | 1,450,000 | 1,480,976 | |
3.15% 8/22/27 | 1,700,000 | 1,939,749 | |
AMC Networks 4.75% 8/1/25 | 2,094,000 | 2,167,709 | |
AT&T | |||
2.30% 6/1/27 | 840,000 | 883,017 | |
3.10% 2/1/43 | 820,000 | 804,434 | |
3.50% 6/1/41 | 2,224,000 | 2,349,225 | |
3.65% 6/1/51 | 915,000 | 928,577 | |
4.10% 2/15/28 | 2,276,000 | 2,633,515 | |
4.35% 3/1/29 | 835,000 | 981,462 | |
British Telecommunications 144A 3.25% 11/8/29 # | 1,700,000 | 1,828,679 | |
C&W Senior Financing 144A 7.50% 10/15/26 # | 260,000 | 273,105 | |
CCO Holdings | |||
144A 4.50% 8/15/30 # | 500,000 | 525,650 | |
144A 5.00% 2/1/28 # | 900,000 | 947,025 | |
Charter Communications Operating | |||
2.80% 4/1/31 | 585,000 | 608,674 | |
3.70% 4/1/51 | 1,045,000 | 1,039,377 | |
4.464% 7/23/22 | 4,330,000 | 4,586,240 | |
4.80% 3/1/50 | 835,000 | 959,085 | |
4.908% 7/23/25 | 430,000 | 497,540 | |
5.05% 3/30/29 | 7,005,000 | 8,402,909 | |
Clear Channel Worldwide Holdings 9.25% 2/15/24 | 945,000 | 918,545 | |
Comcast | |||
3.20% 7/15/36 | 1,730,000 | 1,924,719 | |
3.70% 4/15/24 | 2,970,000 | 3,282,236 | |
3.75% 4/1/40 | 445,000 | 521,292 | |
Connect Finco 144A 6.75% 10/1/26 # | 1,740,000 | 1,748,178 | |
CSC Holdings | |||
144A 3.375% 2/15/31 # | 975,000 | 945,263 | |
144A 4.625% 12/1/30 # | 890,000 | 895,442 | |
Digicel Group 0.5 PIK 10.00% 4/1/24 « | 323,704 | 248,847 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Communications (continued) | |||
Discovery Communications | |||
4.125% 5/15/29 | 5,735,000 | $6,593,528 | |
5.20% 9/20/47 | 4,180,000 | 5,018,955 | |
Fox 3.666% 1/25/22 | 900,000 | 938,462 | |
Frontier Communications 144A 8.00% 4/1/27 #, ‡ | 559,000 | 557,952 | |
Gray Television 144A 5.875% 7/15/26 # | 380,000 | 394,963 | |
JD.com 3.875% 4/29/26 | 525,000 | 583,461 | |
Level 3 Financing 144A 3.625% 1/15/29 # | 1,165,000 | 1,152,622 | |
Millicom International Cellular 144A 6.25% 3/25/29 # | 350,000 | 374,435 | |
Netflix 144A 3.625% 6/15/25 # | 1,795,000 | 1,878,468 | |
Nexstar Broadcasting 144A 4.75% 11/1/28 # | 2,035,000 | 2,080,788 | |
Ooredoo International Finance 144A 5.00% 10/19/25 # | 270,000 | 316,431 | |
Sable International Finance 144A 5.75% 9/7/27 # | 245,000 | 256,378 | |
Sirius XM Radio 144A 4.625% 7/15/24 # | 1,591,000 | 1,647,679 | |
Sprint | |||
7.25% 9/15/21 | 300,000 | 314,250 | |
7.625% 3/1/26 | 200,000 | 241,980 | |
Sprint Spectrum 144A 4.738% 3/20/25 # | 1,465,000 | 1,588,609 | |
Telefonica Celular del Paraguay 144A 5.875% 4/15/27 # | 395,000 | 413,822 | |
Tencent Holdings | |||
144A 1.176% (LIBOR03M + 0.91%) 4/11/24 #, • | 200,000 | 199,577 | |
144A 3.28% 4/11/24 # | 645,000 | 687,789 | |
Terrier Media Buyer 144A 8.875% 12/15/27 # | 2,285,000 | 2,306,422 | |
Time Warner Cable 7.30% 7/1/38 | 2,120,000 | 3,002,908 | |
Time Warner Entertainment 8.375% 3/15/23 | 1,415,000 | 1,663,937 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Communications (continued) | |||
T-Mobile USA | |||
144A 1.50% 2/15/26 # | 2,915,000 | $2,926,820 | |
144A 3.00% 2/15/41 # | 575,000 | 569,101 | |
144A 3.50% 4/15/25 # | 895,000 | 982,907 | |
144A 3.75% 4/15/27 # | 1,255,000 | 1,406,278 | |
144A 3.875% 4/15/30 # | 4,540,000 | 5,167,791 | |
144A 4.375% 4/15/40 # | 670,000 | 786,024 | |
6.50% 1/15/26 | 540,000 | 564,975 | |
Turk Telekomunikasyon 144A 6.875% 2/28/25 # | 700,000 | 717,395 | |
Turkcell Iletisim Hizmetleri 144A 5.80% 4/11/28 # | 585,000 | 571,884 | |
VEON Holdings 144A 4.00% 4/9/25 # | 803,000 | 833,703 | |
Verizon Communications | |||
1.38% (LIBOR03M + 1.10%) 5/15/25 • | 3,200,000 | 3,272,518 | |
3.15% 3/22/30 | 480,000 | 543,371 | |
4.00% 3/22/50 | 330,000 | 407,560 | |
4.016% 12/3/29 | 1,600,000 | 1,921,558 | |
4.125% 3/16/27 | 1,500,000 | 1,771,854 | |
4.329% 9/21/28 | 3,427,000 | 4,151,646 | |
4.50% 8/10/33 | 6,325,000 | 8,003,317 | |
ViacomCBS | |||
4.375% 3/15/43 | 2,945,000 | 3,130,395 | |
4.95% 1/15/31 | 2,415,000 | 2,895,055 | |
Vmed O2 UK Financing I 144A 4.25% 1/31/31 # | 1,885,000 | 1,926,234 | |
Vodafone Group | |||
4.25% 9/17/50 | 1,070,000 | 1,244,827 | |
4.875% 6/19/49 | 4,385,000 | 5,464,008 | |
Weibo 3.375% 7/8/30 | 2,145,000 | 2,182,816 | |
Zayo Group Holdings 144A 6.125% 3/1/28 # | 725,000 | 748,439 | |
Ziggo Bond | |||
144A 3.375% 2/28/30 # | EUR | 500,000 | 559,435 |
144A 5.125% 2/28/30 # | 300,000 | 304,464 | |
140,407,851 | |||
Consumer Cyclical — 2.84% | |||
Allison Transmission 144A 5.875% 6/1/29 # | 1,295,000 | 1,402,310 | |
Aramark Services 144A 5.00% 2/1/28 # | 1,200,000 | 1,210,974 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Consumer Cyclical (continued) | |||
BMW US Capital 144A 3.40% 8/13/21 # | 300,000 | $307,935 | |
Boyd Gaming 4.75% 12/1/27 | 2,420,000 | 2,379,610 | |
Caesars Entertainment 144A 6.25% 7/1/25 # | 1,420,000 | 1,482,132 | |
Costco Wholesale | |||
1.60% 4/20/30 | 1,320,000 | 1,348,118 | |
1.75% 4/20/32 | 545,000 | 560,402 | |
Daimler Finance North America | |||
144A 0.687% (LIBOR03M + 0.43%) 2/12/21 #, • | 1,400,000 | 1,400,115 | |
144A 1.18% (LIBOR03M + 0.90%) 2/15/22 #, • | 1,100,000 | 1,104,168 | |
144A 2.00% 7/6/21 # | 400,000 | 404,313 | |
144A 2.20% 10/30/21 # | 200,000 | 203,270 | |
144A 2.875% 3/10/21 # | 150,000 | 151,558 | |
144A 3.40% 2/22/22 # | 500,000 | 517,909 | |
144A 3.75% 11/5/21 # | 300,000 | 310,132 | |
Ford Motor Credit | |||
1.503% (LIBOR03M + 1.27%) 3/28/22 • | 400,000 | 382,122 | |
2.77% (LIBOR03M + 2.55%) 1/7/21 • | 1,900,000 | 1,893,267 | |
3.20% 1/15/21 | 4,200,000 | 4,201,627 | |
3.55% 10/7/22 | 1,500,000 | 1,487,812 | |
4.542% 8/1/26 | 5,205,000 | 5,191,363 | |
5.75% 2/1/21 | 700,000 | 707,259 | |
Future Retail 144A 5.60% 1/22/25 # | 565,000 | 480,250 | |
General Motors | |||
5.00% 10/1/28 | 939,000 | 1,057,389 | |
5.40% 10/2/23 | 685,000 | 755,821 | |
6.125% 10/1/25 | 685,000 | 796,776 | |
General Motors Financial | |||
1.118% (LIBOR03M + 0.85%) 4/9/21 • | 500,000 | 499,791 | |
5.20% 3/20/23 | 1,295,000 | 1,405,932 | |
5.25% 3/1/26 | 1,276,000 | 1,436,902 | |
5.70% μ, ψ | 755,000 | 759,719 | |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Consumer Cyclical (continued) | |||
Harley-Davidson Financial Services 144A 2.85% 1/15/21 # | 1,300,000 | $1,304,834 | |
Hilton Domestic Operating 5.125% 5/1/26 | 1,000,000 | 1,029,810 | |
Home Depot | |||
2.70% 4/15/30 | 780,000 | 869,943 | |
3.35% 4/15/50 | 680,000 | 788,191 | |
Hyundai Capital America 144A 3.50% 11/2/26 # | 515,000 | 551,701 | |
JSM Global 144A 4.75% 10/20/30 # | 1,445,000 | 1,445,736 | |
Lowe's | |||
4.05% 5/3/47 | 470,000 | 561,771 | |
4.55% 4/5/49 | 4,310,000 | 5,562,769 | |
5.125% 4/15/50 | 1,840,000 | 2,530,685 | |
Marriott International 3.50% 10/15/32 | 900,000 | 890,265 | |
McDonald's 0.677% (LIBOR03M + 0.43%) 10/28/21 • | 2,300,000 | 2,306,975 | |
MGM China Holdings 144A 5.25% 6/18/25 # | 570,000 | 579,975 | |
MGM Resorts International 5.75% 6/15/25 | 1,184,000 | 1,243,999 | |
Murphy Oil USA 5.625% 5/1/27 | 190,000 | 202,551 | |
Nissan Motor 144A 3.043% 9/15/23 # | 1,800,000 | 1,825,833 | |
Nissan Motor Acceptance | |||
144A 2.80% 1/13/22 # | 200,000 | 202,095 | |
144A 3.65% 9/21/21 # | 300,000 | 306,051 | |
144A 3.875% 9/21/23 # | 3,000,000 | 3,109,093 | |
Resorts World Las Vegas 144A 4.625% 4/16/29 # | 400,000 | 377,593 | |
Sands China | |||
144A 3.80% 1/8/26 # | 400,000 | 419,596 | |
144A 4.375% 6/18/30 # | 490,000 | 519,351 | |
5.40% 8/8/28 | 1,800,000 | 2,008,764 | |
Schaeffler Finance 3.25% 5/15/25 | EUR | 2,600,000 | 3,056,107 |
Scientific Games International 144A 8.25% 3/15/26 # | 1,890,000 | 1,981,126 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Consumer Cyclical (continued) | |||
TJX | |||
3.875% 4/15/30 | 950,000 | $1,127,752 | |
4.50% 4/15/50 | 510,000 | 659,285 | |
Toyota Industries 144A 3.11% 3/12/22 # | 1,600,000 | 1,652,726 | |
Turkiye Sise ve Cam Fabrikalari 144A 6.95% 3/14/26 # | 570,000 | 581,833 | |
VF 2.40% 4/23/25 | 1,045,000 | 1,109,450 | |
Volkswagen Group of America Finance | |||
144A 1.083% (LIBOR03M + 0.86%) 9/24/21 #, • | 1,500,000 | 1,505,935 | |
144A 3.875% 11/13/20 # | 800,000 | 803,098 | |
144A 4.00% 11/12/21 # | 500,000 | 518,808 | |
Wolverine World Wide 144A 5.00% 9/1/26 # | 400,000 | 403,250 | |
75,875,927 | |||
Consumer Non-Cyclical — 4.84% | |||
Abbott Laboratories 3.75% 11/30/26 | 2,400,000 | 2,787,955 | |
AbbVie | |||
2.85% 5/14/23 | 900,000 | 947,028 | |
144A 2.95% 11/21/26 # | 2,650,000 | 2,890,697 | |
3.20% 5/14/26 | 500,000 | 551,828 | |
144A 3.25% 10/1/22 # | 300,000 | 313,819 | |
144A 3.45% 3/15/22 # | 1,000,000 | 1,036,311 | |
3.75% 11/14/23 | 1,200,000 | 1,310,108 | |
144A 4.05% 11/21/39 # | 3,193,000 | 3,656,542 | |
Amgen 2.20% 2/21/27 | 3,300,000 | 3,488,288 | |
Anheuser-Busch InBev Worldwide | |||
3.65% 2/1/26 | 2,325,000 | 2,601,489 | |
4.15% 1/23/25 | 2,940,000 | 3,322,557 | |
4.50% 6/1/50 | 1,125,000 | 1,355,597 | |
Bacardi 144A 4.45% 5/15/25 # | 500,000 | 558,938 | |
BAT Capital 2.259% 3/25/28 | 850,000 | 853,503 | |
BAT International Finance 1.668% 3/25/26 | 1,065,000 | 1,069,736 | |
Bausch Health | |||
144A 5.50% 11/1/25 # | 1,342,000 | 1,375,214 | |
144A 6.25% 2/15/29 # | 1,912,000 | 1,969,360 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Consumer Non-Cyclical (continued) | |||
Biogen | |||
2.25% 5/1/30 | 1,620,000 | $1,656,471 | |
3.15% 5/1/50 | 3,985,000 | 3,945,454 | |
Boston Scientific | |||
3.375% 5/15/22 | 800,000 | 836,692 | |
4.00% 3/1/29 | 3,300,000 | 3,839,508 | |
Bristol Myers Squibb 2.90% 7/26/24 | 4,010,000 | 4,351,357 | |
Centene | |||
3.375% 2/15/30 | 1,000,000 | 1,039,065 | |
144A 5.375% 8/15/26 # | 745,000 | 791,413 | |
Charles River Laboratories International 144A 5.50% 4/1/26 # | 360,000 | 379,800 | |
Cigna | |||
1.165% (LIBOR03M + 0.89%) 7/15/23 • | 830,000 | 839,034 | |
2.40% 3/15/30 | 675,000 | 699,385 | |
3.20% 3/15/40 | 645,000 | 685,445 | |
4.125% 11/15/25 | 3,325,000 | 3,815,974 | |
Coca-Cola 1.45% 6/1/27 | 430,000 | 443,694 | |
Cott Holdings 144A 5.50% 4/1/25 # | 260,000 | 266,825 | |
CVS Health | |||
1.30% 8/21/27 | 620,000 | 611,532 | |
3.35% 3/9/21 | 266,000 | 269,495 | |
3.75% 4/1/30 | 780,000 | 893,391 | |
4.30% 3/25/28 | 11,690,000 | 13,692,485 | |
4.78% 3/25/38 | 1,030,000 | 1,249,533 | |
5.05% 3/25/48 | 5,000 | 6,379 | |
CVS Pass Through Trust 144A 5.773% 1/10/33 #, ♦ | 70,680 | 81,631 | |
Danone 144A 2.589% 11/2/23 # | 1,500,000 | 1,583,612 | |
DP World Crescent 144A 3.908% 5/31/23 # | 400,000 | 422,040 | |
Encompass Health | |||
4.50% 2/1/28 | 1,235,000 | 1,243,262 | |
4.75% 2/1/30 | 559,000 | 568,073 | |
5.75% 9/15/25 | 370,000 | 382,256 | |
Equifax 1.15% (LIBOR03M + 0.87%) 8/15/21 • | 700,000 | 702,876 | |
Gartner 144A 3.75% 10/1/30 # | 1,220,000 | 1,236,378 | |
Gilead Sciences 4.15% 3/1/47 | 3,305,000 | 4,045,736 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Consumer Non-Cyclical (continued) | |||
Global Payments | |||
2.65% 2/15/25 | 2,525,000 | $2,680,814 | |
2.90% 5/15/30 | 1,415,000 | 1,515,533 | |
3.20% 8/15/29 | 4,025,000 | 4,402,180 | |
HCA | |||
4.125% 6/15/29 | 3,400,000 | 3,845,835 | |
5.875% 2/15/26 | 595,000 | 667,144 | |
7.58% 9/15/25 | 30,000 | 35,925 | |
IHS Markit 3.625% 5/1/24 | 600,000 | 649,479 | |
Imperial Brands Finance 144A 3.75% 7/21/22 # | 470,000 | 491,370 | |
JBS Investments II | |||
144A 5.75% 1/15/28 # | 385,000 | 401,844 | |
144A 7.00% 1/15/26 # | 370,000 | 395,578 | |
JBS USA LUX | |||
144A 5.75% 6/15/25 # | 150,000 | 154,995 | |
144A 5.875% 7/15/24 # | 160,000 | 163,316 | |
Kernel Holding | |||
144A 6.50% 10/17/24 # | 375,000 | 376,313 | |
144A 8.75% 1/31/22 # | 350,000 | 363,300 | |
MHP 144A 7.75% 5/10/24 # | 520,000 | 545,371 | |
New York and Presbyterian Hospital 4.063% 8/1/56 | 690,000 | 889,832 | |
Pernod Ricard | |||
144A 4.25% 7/15/22 # | 150,000 | 159,613 | |
144A 4.45% 1/15/22 # | 1,800,000 | 1,888,727 | |
144A 5.75% 4/7/21 # | 1,093,000 | 1,122,763 | |
Pilgrim's Pride 144A 5.875% 9/30/27 # | 1,909,000 | 1,973,429 | |
Post Holdings | |||
144A 4.625% 4/15/30 # | 1,363,000 | 1,403,890 | |
144A 5.75% 3/1/27 # | 325,000 | 342,571 | |
Prime Security Services Borrower | |||
144A 5.75% 4/15/26 # | 90,000 | 96,444 | |
144A 6.25% 1/15/28 # | 3,020,000 | 3,062,008 | |
Rede D'or Finance 144A 4.50% 1/22/30 # | 710,000 | 673,612 | |
Regeneron Pharmaceuticals 1.75% 9/15/30 | 825,000 | 805,805 | |
Reynolds American 4.00% 6/12/22 | 900,000 | 948,964 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Consumer Non-Cyclical (continued) | |||
Royalty Pharma | |||
144A 1.20% 9/2/25 # | 1,020,000 | $1,017,982 | |
144A 1.75% 9/2/27 # | 680,000 | 680,511 | |
Stryker 1.95% 6/15/30 | 2,176,000 | 2,220,586 | |
Takeda Pharmaceutical | |||
2.05% 3/31/30 | 1,315,000 | 1,335,157 | |
3.025% 7/9/40 | 985,000 | 1,021,889 | |
3.175% 7/9/50 | 985,000 | 1,014,050 | |
Tenet Healthcare | |||
5.125% 5/1/25 | 2,395,000 | 2,400,389 | |
144A 6.125% 10/1/28 # | 1,815,000 | 1,770,759 | |
Teva Pharmaceutical Finance Netherlands II 1.125% 10/15/24 | EUR | 300,000 | 305,326 |
Teva Pharmaceutical Finance Netherlands III 6.75% 3/1/28 | 1,066,000 | 1,113,250 | |
United Rentals North America | |||
3.875% 2/15/31 | 1,675,000 | 1,703,266 | |
4.00% 7/15/30 | 379,000 | 388,001 | |
Universal Health Services 144A 5.00% 6/1/26 # | 210,000 | 218,098 | |
Upjohn | |||
144A 1.65% 6/22/25 # | 320,000 | 328,008 | |
144A 2.30% 6/22/27 # | 265,000 | 274,072 | |
144A 2.70% 6/22/30 # | 1,940,000 | 2,010,577 | |
144A 4.00% 6/22/50 # | 450,000 | 481,608 | |
Zimmer Biomet Holdings 3.15% 4/1/22 | 300,000 | 310,446 | |
129,318,396 | |||
Energy — 3.99% | |||
Abu Dhabi Crude Oil Pipeline 144A 4.60% 11/2/47 # | 330,000 | 405,590 | |
BP Capital Markets 4.875% μ, ψ | 2,465,000 | 2,643,712 | |
Chevron 2.236% 5/11/30 | 930,000 | 988,277 | |
Crestwood Midstream Partners 6.25% 4/1/23 | 410,000 | 401,888 | |
Ecopetrol | |||
5.375% 6/26/26 | 360,000 | 398,250 | |
6.875% 4/29/30 | 325,000 | 389,594 | |
Enable Midstream Partners 4.95% 5/15/28 | 700,000 | 687,098 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Energy (continued) | |||
Energy Transfer Operating | |||
5.25% 4/15/29 | 2,105,000 | $2,266,570 | |
5.50% 6/1/27 | 3,200,000 | 3,494,722 | |
6.25% 4/15/49 | 3,595,000 | 3,709,304 | |
Energy Transfer Partners 5.00% 10/1/22 | 1,500,000 | 1,577,752 | |
EQT 7.875% 2/1/25 | 1,100,000 | 1,220,830 | |
Equinor 1.75% 1/22/26 | 655,000 | 679,854 | |
Gazprom via Gaz Finance 144A 3.25% 2/25/30 # | 535,000 | 535,487 | |
Geopark | |||
144A 5.50% 1/17/27 # | 645,000 | 572,444 | |
144A 6.50% 9/21/24 # | 200,000 | 188,800 | |
Gran Tierra Energy 144A 7.75% 5/23/27 # | 580,000 | 202,643 | |
Greenko Solar Mauritius 144A 5.95% 7/29/26 # | 540,000 | 560,925 | |
KazMunayGas National JSC 144A 6.375% 10/24/48 # | 121,000 | 154,880 | |
KazTransGas JSC 144A 4.375% 9/26/27 # | 2,625,000 | 2,837,336 | |
Kinder Morgan Energy Partners 5.00% 10/1/21 | 620,000 | 640,221 | |
Lukoil Securities 144A 3.875% 5/6/30 # | 2,230,000 | 2,361,124 | |
Marathon Oil 4.40% 7/15/27 | 7,150,000 | 7,117,546 | |
MPLX | |||
1.75% 3/1/26 | 685,000 | 684,675 | |
2.65% 8/15/30 | 660,000 | 648,649 | |
4.00% 3/15/28 | 320,000 | 349,608 | |
4.125% 3/1/27 | 2,000,000 | 2,211,208 | |
5.50% 2/15/49 | 3,200,000 | 3,586,091 | |
Murphy Oil 5.875% 12/1/27 | 1,670,000 | 1,427,817 | |
Noble Energy | |||
3.25% 10/15/29 | 1,930,000 | 2,138,454 | |
3.90% 11/15/24 | 565,000 | 618,990 | |
4.20% 10/15/49 | 2,255,000 | 2,703,284 | |
4.95% 8/15/47 | 980,000 | 1,288,584 | |
5.05% 11/15/44 | 2,085,000 | 2,704,528 | |
NuStar Logistics | |||
5.625% 4/28/27 | 205,000 | 202,950 | |
6.375% 10/1/30 | 1,077,000 | 1,120,080 | |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Energy (continued) | |||
Oil and Gas Holding 144A 7.625% 11/7/24 # | 200,000 | $214,368 | |
Oleoducto Central 144A 4.00% 7/14/27 # | 635,000 | 659,924 | |
ONEOK | |||
4.35% 3/15/29 | 1,500,000 | 1,566,188 | |
7.50% 9/1/23 | 2,840,000 | 3,257,909 | |
PDC Energy 5.75% 5/15/26 | 1,205,000 | 1,126,675 | |
Pertamina Persero 144A 3.65% 7/30/29 # | 197,000 | 211,851 | |
Petrobras Global Finance | |||
5.60% 1/3/31 | 1,745,000 | 1,865,553 | |
5.999% 1/27/28 | 3,500,000 | 3,893,050 | |
6.75% 6/3/50 | 640,000 | 694,029 | |
6.85% 6/5/15 | 1,700,000 | 1,816,977 | |
7.25% 3/17/44 | 600,000 | 685,140 | |
Petroleos Mexicanos | |||
144A 5.95% 1/28/31 # | 1,040,000 | 866,185 | |
144A 6.49% 1/23/27 # | 1,213,000 | 1,137,794 | |
6.50% 1/23/29 | 934,000 | 837,098 | |
6.75% 9/21/47 | 230,000 | 177,469 | |
Petronas Capital | |||
144A 3.50% 4/21/30 # | 440,000 | 492,986 | |
144A 4.55% 4/21/50 # | 700,000 | 895,822 | |
144A 4.80% 4/21/60 # | 1,100,000 | 1,512,385 | |
Precision Drilling 144A 7.125% 1/15/26 # | 165,000 | 106,712 | |
PTTEP Treasury Center 144A 2.587% 6/10/27 # | 695,000 | 720,081 | |
ReNew Power 144A 5.875% 3/5/27 # | 620,000 | 622,140 | |
Rio Oil Finance Trust Series 2014-1 9.25% 7/6/24 | 127,746 | 139,564 | |
Sabine Pass Liquefaction | |||
5.625% 3/1/25 | 1,455,000 | 1,664,982 | |
5.75% 5/15/24 | 8,496,000 | 9,625,230 | |
6.25% 3/15/22 | 400,000 | 424,612 | |
Saudi Arabian Oil | |||
144A 2.875% 4/16/24 # | 395,000 | 414,876 | |
144A 4.25% 4/16/39 # | 530,000 | 611,022 | |
Schlumberger Holdings 144A 4.30% 5/1/29 # | 2,125,000 | 2,361,086 | |
Sinopec Group Overseas Development 2018 144A 2.50% 8/8/24 # | 450,000 | 470,086 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Energy (continued) | |||
Southwestern Energy 7.75% 10/1/27 | 2,050,000 | $1,993,420 | |
Targa Resources Partners 5.375% 2/1/27 | 340,000 | 342,698 | |
Tecpetrol 144A 4.875% 12/12/22 # | 685,000 | 634,790 | |
Tengizchevroil Finance Co International | |||
144A 2.625% 8/15/25 # | 2,421,000 | 2,434,921 | |
144A 3.25% 8/15/30 # | 890,000 | 900,292 | |
Tennessee Gas Pipeline 144A 2.90% 3/1/30 # | 5,255,000 | 5,450,161 | |
Transocean Proteus 144A 6.25% 12/1/24 # | 211,250 | 188,277 | |
Transportadora de Gas del Sur 144A 6.75% 5/2/25 # | 370,000 | 299,358 | |
Tullow Oil 144A 7.00% 3/1/25 # | 365,000 | 171,550 | |
Woodside Finance | |||
144A 3.70% 9/15/26 # | 400,000 | 430,438 | |
144A 4.60% 5/10/21 # | 600,000 | 607,362 | |
YPF 144A 8.50% 6/27/29 # | 560,000 | 397,432 | |
106,642,258 | |||
Finance Companies — 1.32% | |||
AerCap Ireland Capital DAC | |||
3.50% 1/15/25 | 300,000 | 292,356 | |
3.65% 7/21/27 | 2,700,000 | 2,474,893 | |
4.45% 10/1/25 | 1,200,000 | 1,204,494 | |
4.45% 4/3/26 | 150,000 | 149,497 | |
4.50% 9/15/23 | 460,000 | 474,354 | |
4.625% 7/1/22 | 1,100,000 | 1,129,737 | |
4.625% 10/15/27 | 745,000 | 723,587 | |
6.50% 7/15/25 | 605,000 | 653,941 | |
Air Lease | |||
2.875% 1/15/26 | 1,580,000 | 1,554,964 | |
3.00% 2/1/30 | 1,740,000 | 1,622,793 | |
3.375% 7/1/25 | 670,000 | 684,759 | |
4.25% 2/1/24 | 900,000 | 934,777 | |
Ally Financial 5.75% 11/20/25 | 2,390,000 | 2,687,124 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Finance Companies (continued) | |||
Arabian Centres Sukuk 144A 5.375% 11/26/24 # | 560,000 | $517,300 | |
ASG Finance Designated Activity 144A 7.875% 12/3/24 # | 545,000 | 395,152 | |
Aviation Capital Group | |||
144A 3.875% 5/1/23 # | 1,000,000 | 990,287 | |
144A 6.75% 4/6/21 # | 500,000 | 510,934 | |
BOC Aviation | |||
2.375% 9/15/21 | 600,000 | 604,542 | |
144A 2.625% 9/17/30 # | 580,000 | 575,701 | |
3.00% 5/23/22 | 300,000 | 306,556 | |
GATX 0.969% (LIBOR03M + 0.72%) 11/5/21 • | 2,100,000 | 2,097,677 | |
GE Capital Funding 144A 3.45% 5/15/25 # | 1,565,000 | 1,676,410 | |
Goodman HK Finance 4.375% 6/19/24 | 1,095,000 | 1,188,989 | |
Kaisa Group Holdings 9.375% 6/30/24 | 630,000 | 595,350 | |
Logicor Financing 3.25% 11/13/28 | EUR | 3,400,000 | 4,531,433 |
OneMain Finance 6.125% 3/15/24 | 1,500,000 | 1,573,125 | |
ORIX 3.20% 1/19/22 | 500,000 | 515,454 | |
Park Aerospace Holdings Ltd | |||
144A 3.625% 3/15/21 # | 400,000 | 398,359 | |
144A 5.25% 8/15/22 # | 2,000,000 | 2,008,837 | |
Samhallsbyggnadsbolaget i Norden 1.125% 9/4/26 | EUR | 900,000 | 1,042,406 |
Shimao Group Holdings 5.60% 7/15/26 | 790,000 | 864,108 | |
SMBC Aviation Capital Finance 144A 3.00% 7/15/22 # | 400,000 | 408,289 | |
35,388,185 | |||
Insurance — 0.68% | |||
AIA Group | |||
144A 3.375% 4/7/30 # | 375,000 | 422,103 | |
144A 3.90% 4/6/28 # | 1,000,000 | 1,141,290 | |
Ambac Assurance 144A 5.10% #, ψ | 29,743 | 40,822 | |
Ambac LSNI 144A 6.00% (LIBOR03M + 5.00%) 2/12/23 #, • | 110,143 | 110,281 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Insurance (continued) | |||
American International Group 3.40% 6/30/30 | 1,455,000 | $1,608,956 | |
AssuredPartners 144A 7.00% 8/15/25 # | 298,000 | 304,456 | |
Athene Global Funding 144A 1.464% (LIBOR03M + 1.23%) 7/1/22 #, • | 700,000 | 705,588 | |
Brighthouse Financial 5.625% 5/15/30 | 850,000 | 993,793 | |
Fairfax Financial Holdings 144A 4.625% 4/29/30 # | 1,000,000 | 1,086,215 | |
HUB International 144A 7.00% 5/1/26 # | 1,300,000 | 1,348,432 | |
MetLife | |||
3.85% μ, ψ | 1,720,000 | 1,717,850 | |
144A 9.25% 4/8/38 # | 1,100,000 | 1,664,625 | |
Prudential Financial | |||
3.70% 3/13/51 | 1,660,000 | 1,833,803 | |
5.375% 5/15/45 μ | 1,405,000 | 1,519,608 | |
USI 144A 6.875% 5/1/25 # | 1,163,000 | 1,181,160 | |
VIVAT 2.375% 5/17/24 | EUR | 2,100,000 | 2,539,647 |
18,218,629 | |||
Real Estate Investment Trusts — 1.02% | |||
American Tower | |||
1.875% 10/15/30 | 1,725,000 | 1,701,225 | |
3.00% 6/15/23 | 600,000 | 635,641 | |
3.375% 5/15/24 | 500,000 | 541,649 | |
American Tower Trust #1 144A 3.07% 3/15/23 # | 1,285,000 | 1,313,693 | |
Corporate Office Properties 5.25% 2/15/24 | 282,000 | 308,226 | |
Crown Castle International | |||
3.80% 2/15/28 | 2,115,000 | 2,397,791 | |
4.30% 2/15/29 | 2,745,000 | 3,201,889 | |
5.25% 1/15/23 | 1,505,000 | 1,654,543 | |
CubeSmart 3.00% 2/15/30 | 1,735,000 | 1,864,148 | |
CyrusOne 1.45% 1/22/27 | EUR | 1,400,000 | 1,632,804 |
EPR Properties 4.50% 6/1/27 | 2,900,000 | 2,674,130 | |
Equinix 5.375% 5/15/27 | 350,000 | 381,932 | |
GLP Capital 4.00% 1/15/30 | 2,600,000 | 2,695,719 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Real Estate Investment Trusts (continued) | |||
Iron Mountain | |||
144A 4.50% 2/15/31 # | 850,000 | $856,282 | |
144A 5.25% 7/15/30 # | 1,780,000 | 1,858,988 | |
MGM Growth Properties Operating Partnership 5.75% 2/1/27 | 145,000 | 156,465 | |
MPT Operating Partnership 3.692% 6/5/28 | GBP | 1,600,000 | 2,085,259 |
WEA Finance 144A 3.25% 10/5/20 # | 1,200,000 | 1,200,264 | |
27,160,648 | |||
Technology — 1.39% | |||
Black Knight InfoServ 144A 3.625% 9/1/28 # | 299,000 | 302,738 | |
Broadcom | |||
2.65% 1/15/23 | 1,300,000 | 1,351,243 | |
3.15% 11/15/25 | 845,000 | 912,459 | |
3.459% 9/15/26 | 2,353,000 | 2,581,367 | |
4.11% 9/15/28 | 1,052,000 | 1,178,375 | |
4.15% 11/15/30 | 1,580,000 | 1,777,484 | |
5.00% 4/15/30 | 1,685,000 | 1,991,977 | |
CDK Global | |||
5.00% 10/15/24 | 573,000 | 634,947 | |
5.875% 6/15/26 | 1,003,000 | 1,047,949 | |
CommScope Technologies 144A 5.00% 3/15/27 # | 183,000 | 176,023 | |
Dell International | |||
144A 4.42% 6/15/21 # | 74,000 | 75,757 | |
4.42% 6/15/21 | 400,000 | 409,504 | |
144A 5.45% 6/15/23 # | 600,000 | 658,198 | |
144A 6.02% 6/15/26 # | 400,000 | 470,340 | |
Fiserv | |||
2.65% 6/1/30 | 1,155,000 | 1,245,145 | |
3.50% 7/1/29 | 3,500,000 | 3,993,854 | |
International Business Machines | |||
1.95% 5/15/30 | 1,095,000 | 1,130,067 | |
3.00% 5/15/24 | 4,805,000 | 5,209,859 | |
Microchip Technology 144A 4.25% 9/1/25 # | 850,000 | 882,886 | |
NXP | |||
144A 2.70% 5/1/25 # | 180,000 | 190,767 | |
144A 3.40% 5/1/30 # | 350,000 | 383,953 | |
144A 3.875% 6/18/26 # | 3,250,000 | 3,646,550 | |
144A 4.30% 6/18/29 # | 142,000 | 164,052 | |
144A 4.625% 6/1/23 # | 1,000,000 | 1,095,779 | |
144A 4.875% 3/1/24 # | 3,280,000 | 3,689,596 | |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Technology (continued) | |||
ServiceNow 1.40% 9/1/30 | 1,040,000 | $1,013,560 | |
Xilinx 2.375% 6/1/30 | 825,000 | 870,366 | |
37,084,795 | |||
Transportation — 1.05% | |||
Aerovias de Mexico 144A 7.00% 2/5/25 #, ‡ | 855,000 | 209,475 | |
American Airlines 2011-1 Class A Pass Through Trust 5.25% 1/31/21 ♦ | 175,445 | 161,527 | |
American Airlines 2015-1 Class A Pass Through Trust 3.375% 5/1/27 ♦ | 902,853 | 746,115 | |
American Airlines 2016-3 Class AA Pass Through Trust 3.00% 10/15/28 ♦ | 1,100,866 | 1,032,845 | |
Ashtead Capital 144A 5.25% 8/1/26 # | 400,000 | 422,500 | |
Autoridad del Canal de Panama 144A 4.95% 7/29/35 # | 595,000 | 742,593 | |
Azul Investments 144A 5.875% 10/26/24 # | 830,000 | 624,168 | |
Delta Air Lines | |||
3.625% 3/15/22 | 500,000 | 491,902 | |
144A 7.00% 5/1/25 # | 5,800,000 | 6,376,141 | |
Delta Air Lines 2007-1 Class A Pass Through Trust 6.821% 8/10/22 ♦ | 183,258 | 183,560 | |
Doric Nimrod Air Finance Alpha 2012-1 Class A Pass Through Trust 144A 5.125% 11/30/22 #, ♦ | 658,620 | 588,666 | |
ERAC USA Finance | |||
144A 2.70% 11/1/23 # | 300,000 | 315,582 | |
144A 4.50% 8/16/21 # | 200,000 | 206,779 | |
Grupo Aeromexico DIP 0.01% 12/31/21 = | 2,600,000 | 2,600,000 | |
Kansas City Southern 3.00% 5/15/23 | 500,000 | 514,524 | |
Latam Airlines 2015-1 Pass Through Trust Class A 4.20% 11/15/27 ♦ | 382,585 | 318,502 | |
Lima Metro Line 2 Finance 144A 4.35% 4/5/36 # | 695,000 | 769,713 | |
Mileage Plus Holdings 144A 6.50% 6/20/27 # | 3,375,000 | 3,522,656 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Transportation (continued) | |||
Penske Truck Leasing | |||
144A 3.95% 3/10/25 # | 1,000,000 | $1,113,370 | |
144A 4.45% 1/29/26 # | 2,100,000 | 2,404,498 | |
144A 4.875% 7/11/22 # | 300,000 | 322,608 | |
Southwest Airlines | |||
5.125% 6/15/27 | 1,980,000 | 2,160,827 | |
5.25% 5/4/25 | 1,045,000 | 1,152,329 | |
Union Pacific 3.25% 2/5/50 | 765,000 | 853,055 | |
US Airways 2012-2 Class A Pass Through Trust 4.625% 6/3/25 ♦ | 390,719 | 325,202 | |
28,159,137 | |||
Utilities — 3.12% | |||
Adani Electricity Mumbai 144A 3.949% 2/12/30 # | 475,000 | 465,891 | |
AEP Texas 2.40% 10/1/22 | 200,000 | 207,263 | |
AES Andres 144A 7.95% 5/11/26 # | 640,000 | 652,806 | |
AES Gener 144A 7.125% 3/26/79 #, μ | 605,000 | 619,538 | |
American Electric Power 2.15% 11/13/20 | 300,000 | 300,567 | |
American Transmission Systems 144A 5.25% 1/15/22 # | 1,955,000 | 2,057,413 | |
Calpine | |||
144A 4.50% 2/15/28 # | 453,000 | 464,696 | |
144A 5.00% 2/1/31 # | 1,200,000 | 1,225,410 | |
144A 5.125% 3/15/28 # | 454,000 | 470,532 | |
144A 5.25% 6/1/26 # | 328,000 | 341,758 | |
CenterPoint Energy | |||
3.85% 2/1/24 | 960,000 | 1,052,663 | |
4.25% 11/1/28 | 2,618,000 | 3,121,622 | |
Centrais Eletricas Brasileiras | |||
144A 3.625% 2/4/25 # | 200,000 | 199,810 | |
144A 4.625% 2/4/30 # | 565,000 | 566,413 | |
CLP Power Hong Kong Financing 2.875% 4/26/23 | 240,000 | 249,519 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Utilities (continued) | |||
Comision Federal de Electricidad | |||
144A 4.75% 2/23/27 # | 1,259,000 | $1,356,333 | |
144A 4.875% 1/15/24 # | 200,000 | 215,731 | |
Duke Energy 4.875% μ, ψ | 1,865,000 | 1,975,292 | |
Duke Energy Indiana 3.25% 10/1/49 | 1,265,000 | 1,410,967 | |
Enel Finance International 144A 2.875% 5/25/22 # | 1,100,000 | 1,135,443 | |
Engie Energia Chile 144A 4.50% 1/29/25 # | 515,000 | 572,509 | |
ENN Energy Holdings 144A 2.625% 9/17/30 # | 605,000 | 605,321 | |
Entergy 4.00% 7/15/22 | 300,000 | 316,510 | |
Entergy Arkansas | |||
3.75% 2/15/21 | 200,000 | 200,790 | |
4.20% 4/1/49 | 870,000 | 1,111,510 | |
Entergy Louisiana 4.95% 1/15/45 | 235,000 | 258,690 | |
Entergy Mississippi 3.85% 6/1/49 | 1,805,000 | 2,181,156 | |
Entergy Texas 3.55% 9/30/49 | 700,000 | 789,042 | |
Essential Utilities | |||
2.704% 4/15/30 | 695,000 | 744,674 | |
3.351% 4/15/50 | 675,000 | 723,192 | |
Evergy 4.85% 6/1/21 | 225,000 | 229,014 | |
Evergy Kansas Central 3.45% 4/15/50 | 1,670,000 | 1,897,020 | |
Exelon 2.45% 4/15/21 | 200,000 | 201,748 | |
FirstEnergy 2.85% 7/15/22 | 200,000 | 205,120 | |
FirstEnergy Transmission 144A 4.55% 4/1/49 # | 875,000 | 1,028,145 | |
Grupo Energia Bogota 144A 4.875% 5/15/30 # | 2,677,000 | 2,996,232 | |
Infraestructura Energetica Nova | |||
144A 3.75% 1/14/28 # | 225,000 | 223,551 | |
144A 4.875% 1/14/48 # | 595,000 | 575,243 | |
Interstate Power and Light 4.10% 9/26/28 | 3,565,000 | 4,260,719 | |
Israel Electric 144A 5.00% 11/12/24 # | 832,000 | 939,033 | |
Kallpa Generacion 144A 4.125% 8/16/27 # | 870,000 | 910,781 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Utilities (continued) | |||
Listrindo Capital 144A 4.95% 9/14/26 # | 540,000 | $557,550 | |
Louisville Gas and Electric 4.25% 4/1/49 | 2,685,000 | 3,368,700 | |
Mong Duong Finance Holdings 144A 5.125% 5/7/29 # | 995,000 | 1,018,704 | |
National Rural Utilities Cooperative Finance 4.75% 4/30/43 μ | 315,000 | 324,995 | |
NextEra Energy Capital Holdings | |||
2.403% 9/1/21 | 1,700,000 | 1,732,769 | |
2.90% 4/1/22 | 2,315,000 | 2,397,458 | |
3.15% 4/1/24 | 355,000 | 384,141 | |
3.20% 2/25/22 | 400,000 | 415,551 | |
NiSource | |||
0.95% 8/15/25 | 760,000 | 760,313 | |
5.65% μ, ψ | 875,000 | 868,866 | |
NV Energy 6.25% 11/15/20 | 825,000 | 830,877 | |
Pacific Gas and Electric | |||
2.10% 8/1/27 | 1,895,000 | 1,844,451 | |
2.50% 2/1/31 | 735,000 | 702,028 | |
3.30% 3/15/27 | 700,000 | 714,544 | |
3.30% 8/1/40 | 1,796,000 | 1,648,503 | |
3.50% 6/15/25 | 400,000 | 421,390 | |
3.50% 8/1/50 | 1,100,000 | 997,119 | |
4.50% 7/1/40 | 1,100,000 | 1,121,872 | |
PacifiCorp | |||
2.70% 9/15/30 | 295,000 | 326,464 | |
3.30% 3/15/51 | 410,000 | 461,417 | |
Pedernales Electric Cooperative 144A 6.202% 11/15/32 # | 620,000 | 742,414 | |
Perusahaan Listrik Negara | |||
144A 4.125% 5/15/27 # | 300,000 | 324,318 | |
144A 5.25% 5/15/47 # | 185,000 | 212,157 | |
PG&E 5.25% 7/1/30 | 2,970,000 | 2,877,188 | |
Saudi Electricity Global Sukuk Co. 4 4.222% 1/27/24 | 715,000 | 773,700 | |
Sempra Energy | |||
0.70% (LIBOR03M + 0.45%) 3/15/21 • | 2,050,000 | 2,052,935 | |
0.775% (LIBOR03M + 0.50%) 1/15/21 • | 451,000 | 451,042 | |
4.875% μ, ψ | 1,055,000 | 1,086,650 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Utilities (continued) | |||
Southern California Edison | |||
3.65% 2/1/50 | 1,525,000 | $1,592,923 | |
4.00% 4/1/47 | 880,000 | 943,830 | |
4.875% 3/1/49 | 2,330,000 | 2,823,434 | |
Southern Power 144A 0.777% (LIBOR03M + 0.55%) 12/20/20 #, • | 1,700,000 | 1,700,226 | |
Southwestern Electric Power 4.10% 9/15/28 | 4,590,000 | 5,355,562 | |
Three Gorges Finance I Cayman Islands 144A 2.15% 9/22/30 # | 605,000 | 609,141 | |
Trans-Allegheny Interstate Line 144A 3.85% 6/1/25 # | 165,000 | 183,002 | |
Vistra Operations 144A 5.50% 9/1/26 # | 1,784,000 | 1,864,280 | |
83,550,181 | |||
Total Corporate Bonds (cost $1,038,326,487) | 1,098,082,598 | ||
Municipal Bonds — 0.61% | |||
American Municipal Power, Ohio (Combined Hydroelectric Projects - Build America Bonds) Series B 8.084% 2/15/50 | 1,500,000 | 2,858,535 | |
California State Various Purposes (High-Speed Passenger Train Bonds) Series C 0.928%(LIBOR01M + 0.78%) 4/1/47 • | 1,250,000 | 1,249,425 | |
Chicago, Illinois Transit Authority Sales Tax Receipts Fund | |||
(Pension Funding) Series A 6.899%12/1/40 | 1,800,000 | 2,570,058 | |
(Retiree Health Care Funding) Series B 6.899%12/1/40 | 1,800,000 | 2,570,058 | |
Municipal Electric Authority of Georgia (Build America Bonds Plant Vogtle Units 3 & 4 Project) 6.655% 4/1/57 | 1,767,000 | 2,678,030 |
Principal amount° | Value (US $) | ||
Municipal Bonds (continued) | |||
New Jersey Transportation Trust Fund Authority (Build America Bonds) Series C 5.754% 12/15/28 | 1,590,000 | $1,797,161 | |
New York City, New York Transitional Finance Authority Future Tax Secured Revenue (Build America Bonds) Subordinate Series A-1 5.508% 8/1/37 | 700,000 | 978,404 | |
New York State Urban Development (Build America Bonds) Series E 5.77% 3/15/39 | 800,000 | 1,014,408 | |
Oregon State Taxable Pension 5.892% 6/1/27 | 30,000 | 37,923 | |
Pennsylvania Higher Education Assistance Agency Revenue (Student Loans) Series 2006-2 A-3 0.375%(LIBOR03M + 0.13%) 10/25/36 • | 410,364 | 400,405 | |
South Carolina Public Service Authority (Santee Cooper) Series D 4.77% 12/1/45 | 145,000 | 190,233 | |
Total Municipal Bonds (cost $14,178,643) | 16,344,640 | ||
Non-Agency Asset-Backed Securities — 2.64% | |||
ABFC Trust Series 2006-HE1 A2D 0.368% (LIBOR01M + 0.22%, Floor 0.22%) 1/25/37 • | 324,852 | 232,700 | |
Argent Securities Trust | |||
Series 2006-M1 A2C 0.298% (LIBOR01M + 0.15%, Floor 0.15%) 7/25/36 • | 1,214,214 | 522,048 | |
Series 2006-W4 A2C 0.308% (LIBOR01M + 0.16%, Floor 0.16%) 5/25/36 • | 642,351 | 247,186 |
Principal amount° | Value (US $) | ||
Non-Agency Asset-Backed Securities (continued) | |||
Bear Stearns Asset-Backed Securities I Trust | |||
Series 2005-FR1 M2 1.153% (LIBOR01M + 1.005%, Floor 0.67%) 6/25/35 • | 1,664,718 | $1,636,763 | |
Series 2007-HE2 1A2 0.318% (LIBOR01M + 0.17%, Floor 0.17%) 3/25/37 • | 74,300 | 163,456 | |
Bear Stearns Asset-Backed Securities Trust Series 2007-SD1 22A1 2.57% 10/25/36 • | 128,244 | 88,815 | |
Bear Stearns Second Lien Trust Series 2007-SV1A M2 144A 1.498% (LIBOR01M + 1.35%, Cap 11.00%, Floor 0.90%) 1/25/36 #, • | 316,273 | 315,126 | |
Centex Home Equity Loan Trust Series 2002-A AF6 5.54% 1/25/32 | 456 | 471 | |
CIT Mortgage Loan Trust Series 2007-1 1M1 144A 1.648% (LIBOR01M + 1.50%, Floor 1.50%) 10/25/37 #, • | 3,600,000 | 3,591,756 | |
Citicorp Residential Mortgage Trust Series 2006-3 A5 5.127% 11/25/36 • | 689,705 | 712,497 | |
CNH Equipment Trust | |||
Series 2019-A A2 2.96% 5/16/22 | 297,972 | 298,580 | |
Series 2019-B A2 2.55% 9/15/22 | 639,443 | 642,371 | |
Countrywide Asset-Backed Certificates | |||
Series 2004-3 2A 0.548% (LIBOR01M + 0.40%, Floor 0.20%) 8/25/34 • | 46,840 | 44,576 | |
Series 2006-1 AF6 4.61% 7/25/36 • | 122,388 | 124,471 | |
Series 2006-26 2A4 0.368% (LIBOR01M + 0.22%, Floor 0.22%) 6/25/37 • | 1,906,655 | 1,827,960 |
Principal amount° | Value (US $) | ||
Non-Agency Asset-Backed Securities (continued) | |||
Countrywide Asset-Backed Certificates | |||
Series 2007-6 2A4 0.458% (LIBOR01M + 0.31%, Floor 0.31%) 9/25/37 • | 922,908 | $694,640 | |
CWABS Asset-Backed Certificates Trust | |||
Series 2005-3 MV7 2.098% (LIBOR01M + 1.95%, Floor 1.30%) 8/25/35 • | 4,200,000 | 4,168,012 | |
Series 2006-11 1AF6 6.15% 9/25/46 • | 106,549 | 109,183 | |
Series 2006-17 2A2 0.298% (LIBOR01M + 0.15%, Floor 0.15%) 3/25/47 • | 1,222,514 | 1,196,716 | |
Discover Card Execution Note Trust Series 2019-A1 A1 3.04% 7/15/24 | 400,000 | 414,449 | |
EquiFirst Mortgage Loan Trust Series 2004-2 M7 3.148% (LIBOR01M + 3.00%, Floor 2.00%) 10/25/34 • | 662,361 | 668,954 | |
First Franklin Mortgage Loan Trust Series 2006-FF5 2A3 0.308% (LIBOR01M + 0.16%, Floor 0.16%) 4/25/36 • | 756,442 | 730,221 | |
Ford Credit Auto Owner Trust Series 2018-1 A 144A 3.19% 7/15/31 # | 840,000 | 925,266 | |
Fremont Home Loan Trust Series 2004-B M1 1.018% (LIBOR01M + 0.87%, Floor 0.58%) 5/25/34 • | 2,405,516 | 2,331,931 | |
GE-WMC Mortgage Securities Trust Series 2006-1 A2B 0.298% (LIBOR01M + 0.15%, Floor 0.15%) 8/25/36 • | 2,006,104 | 1,233,154 |
Principal amount° | Value (US $) | ||
Non-Agency Asset-Backed Securities (continued) | |||
GSAMP Trust | |||
Series 2006-FM3 A2D 0.378% (LIBOR01M + 0.23%, Floor 0.23%) 11/25/36 • | 952,110 | $602,773 | |
Series 2007-SEA1 A 144A 0.448% (LIBOR01M + 0.30%, Floor 0.30%) 12/25/36 #, • | 755,823 | 727,660 | |
Hardee's Funding | |||
Series 2018-1A A2I 144A 4.25% 6/20/48 # | 637,000 | 640,140 | |
Series 2018-1A A2II 144A 4.959% 6/20/48 # | 490,000 | 506,621 | |
Harley-Davidson Motorcycle Trust Series 2020-A A2A 1.83% 1/17/23 | 646,603 | 650,578 | |
HOA Funding Series 2014-1A A2 144A 4.846% 8/20/44 # | 1,236,400 | 1,076,088 | |
Home Equity Mortgage Loan Asset-Backed Trust Series 2007-A 2A3 0.388% (LIBOR01M + 0.24%, Floor 0.24%) 4/25/37 • | 1,336,430 | 985,530 | |
HSI Asset Securitization Trust Series 2006-HE1 2A1 0.198% (LIBOR01M + 0.05%, Floor 0.05%) 10/25/36 • | 25,690 | 13,700 | |
JPMorgan Mortgage Acquisition Trust Series 2006-CW2 AV5 0.388% (LIBOR01M + 0.24%, Floor 0.24%) 8/25/36 • | 493,926 | 483,930 | |
Long Beach Mortgage Loan Trust | |||
Series 2006-1 2A4 0.448% (LIBOR01M + 0.30%, Floor 0.30%) 2/25/36 • | 2,951,600 | 2,554,355 | |
Series 2006-7 1A 0.303% (LIBOR01M + 0.155%, Floor 0.155%) 8/25/36 • | 2,800,748 | 1,839,461 |
Principal amount° | Value (US $) | ||
Non-Agency Asset-Backed Securities (continued) | |||
Mercedes-Benz Auto Lease Trust | |||
Series 2019-B A2 2.01% 12/15/21 | 200,572 | $201,335 | |
Series 2020-A A2 1.82% 3/15/22 | 401,137 | 403,008 | |
Mercedes-Benz Master Owner Trust | |||
Series 2018-BA A 144A 0.492% (LIBOR01M + 0.34%) 5/15/23 #, • | 500,000 | 500,668 | |
Series 2019-AA A 144A 0.502% (LIBOR01M + 0.35%) 5/15/23 #, • | 2,825,000 | 2,829,488 | |
Morgan Stanley ABS Capital I Trust | |||
Series 2007-HE1 A2C 0.298% (LIBOR01M + 0.15%, Floor 0.15%) 11/25/36 • | 4,569,344 | 3,253,663 | |
Series 2007-HE5 A2D 0.488% (LIBOR01M + 0.34%, Floor 0.34%) 3/25/37 • | 3,274,797 | 1,847,731 | |
New Century Home Equity Loan Trust Series 2005-1 M2 0.868% (LIBOR01M + 0.72%, Cap 12.50%, Floor 0.48%) 3/25/35 • | 233,599 | 222,506 | |
Nissan Auto Lease Trust Series 2020-A A2A 1.80% 5/16/22 | 947,036 | 953,788 | |
Option One Mortgage Loan Trust | |||
Series 2005-1 M1 0.928% (LIBOR01M + 0.78%, Floor 0.52%) 2/25/35 • | 1,796,490 | 1,763,535 | |
Series 2007-4 2A4 0.458% (LIBOR01M + 0.31%, Floor 0.31%) 4/25/37 • | 5,888,215 | 4,145,569 | |
PFS Financing Series 2018-E A 144A 0.602% (LIBOR01M + 0.45%) 10/17/22 #, • | 2,315,000 | 2,314,444 | |
RAAC Trust Series 2005-SP2 2A 0.448% (LIBOR01M + 0.30%, Cap 14.00%, Floor 0.30%) 6/25/44 • | 303,868 | 264,385 |
Principal amount° | Value (US $) | ||
Non-Agency Asset-Backed Securities (continued) | |||
RAMP Trust Series 2007-RZ1 A2 0.308% (LIBOR01M + 0.16%, Cap 14.00%, Floor 0.16%) 2/25/37 • | 53,608 | $53,508 | |
Sofi Consumer Loan Program Series 2017-3 A 144A 2.77% 5/25/26 # | 171,057 | 172,003 | |
Sofi Professional Loan Program Series 2016-F A2 144A 3.02% 2/25/40 # | 213,211 | 220,178 | |
Soundview Home Loan Trust Series 2006-OPT1 2A4 0.418% (LIBOR01M + 0.27%, Floor 0.27%) 3/25/36 • | 260,834 | 253,112 | |
Structured Asset Investment Loan Trust Series 2003-BC2 M1 1.528% (LIBOR01M + 1.38%, Floor 0.92%) 4/25/33 • | 15,778 | 15,526 | |
Structured Asset Securities Mortgage Loan Trust | |||
Series 2006-BC1 A6 0.418% (LIBOR01M + 0.27%, Floor 0.27%) 3/25/36 • | 1,396,502 | 1,288,198 | |
Series 2006-BC2 A1 0.303% (LIBOR01M + 0.155%, Floor 0.155%) 9/25/36 • | 4,022,599 | 3,209,087 | |
Tesla Auto Lease Trust Series 2019-A A2 144A 2.13% 4/20/22 # | 491,149 | 496,615 | |
Towd Point Mortgage Trust | |||
Series 2017-1 A1 144A 2.75% 10/25/56 #, • | 757,996 | 777,435 | |
Series 2017-2 A1 144A 2.75% 4/25/57 #, • | 93,617 | 96,236 | |
Series 2017-4 M1 144A 3.25% 6/25/57 #, • | 615,000 | 657,278 | |
Series 2018-1 A1 144A 3.00% 1/25/58 #, • | 184,866 | 192,817 |
Principal amount° | Value (US $) | ||
Non-Agency Asset-Backed Securities (continued) | |||
Towd Point Mortgage Trust | |||
Series 2019-4 A1 144A 2.90% 10/25/59 #, • | 10,307,906 | $10,918,138 | |
Wendy's Funding Series 2018-1A A2I 144A 3.573% 3/15/48 # | 466,800 | 482,484 | |
Total Non-Agency Asset-Backed Securities (cost $68,636,010) | 70,534,873 | ||
Non-Agency Collateralized Mortgage Obligations — 2.09% | |||
Alternative Loan Trust Resecuritization Series 2008-2R 3A1 6.00% 8/25/37 • | 994,568 | 771,872 | |
ARM Mortgage Trust | |||
Series 2004-5 3A1 3.671% 4/25/35 • | 63,919 | 63,760 | |
Series 2005-10 3A31 3.076% 1/25/36 • | 122,193 | 115,773 | |
Series 2006-2 1A4 3.922% 5/25/36 • | 520,682 | 496,688 | |
Banc of America Funding Trust | |||
Series 2005-E 7A1 2.112% (COF 11 + 1.43%, Floor 1.43%) 6/20/35 • | 91,195 | 77,666 | |
Series 2006-I 1A1 3.056% 12/20/36 • | 149,692 | 150,144 | |
Banc of America Mortgage Trust Series 2003-D 2A1 4.297% 5/25/33 • | 94,663 | 94,433 | |
Bear Stearns ARM Trust Series 2003-5 2A1 3.098% 8/25/33 • | 23,374 | 22,927 | |
Chase Home Lending Mortgage Trust Series 2019-ATR2 A3 144A 3.50% 7/25/49 #, • | 412,857 | 425,049 | |
Chase Mortgage Finance Trust Series 2005-A1 3A1 3.826% 12/25/35 • | 68,136 | 65,126 | |
CHL Mortgage Pass Through Trust Series 2007-4 1A1 6.00% 5/25/37 ♦ | 863,325 | 621,637 |
Principal amount° | Value (US $) | ||
Non-Agency Collateralized Mortgage Obligations (continued) | |||
Connecticut Avenue Securities Trust | |||
Series 2018-R07 1M2 144A 2.548% (LIBOR01M + 2.40%) 4/25/31 #, • | 551,225 | $548,233 | |
Series 2019-R01 2M2 144A 2.598% (LIBOR01M + 2.45%) 7/25/31 #, • | 313,478 | 311,515 | |
Series 2019-R02 1M2 144A 2.448% (LIBOR01M + 2.30%, Floor 2.30%) 8/25/31 #, • | 1,892,754 | 1,882,086 | |
Series 2019-R07 1M2 144A 2.248% (LIBOR01M + 2.10%) 10/25/39 #, • | 2,709,762 | 2,694,885 | |
Series 2020-R01 1M2 144A 2.198% (LIBOR01M + 2.05%, Floor 2.05%) 1/25/40 #, • | 2,500,000 | 2,449,583 | |
CSMC Mortgage-Backed Trust | |||
Series 2005-1R 2A5 144A 5.75% 12/26/35 # | 881,511 | 810,027 | |
Series 2007-1 5A14 6.00% 2/25/37 | 211,218 | 190,097 | |
Series 2007-3 4A6 0.398% (LIBOR01M + 0.25%, Cap 7.00%, Floor 0.25%) 4/25/37 • | 157,791 | 131,237 | |
Series 2007-3 4A12 6.602% (6.75% minus LIBOR01M, Cap 6.75%) 4/25/37 Σ, • | 157,791 | 43,188 | |
Series 2007-3 4A15 5.50% 4/25/37 | 70,064 | 70,354 | |
Flagstar Mortgage Trust Series 2018-5 A7 144A 4.00% 9/25/48 #, • | 53,678 | 53,923 | |
Galton Funding Mortgage Trust Series 2018-1 A43 144A 3.50% 11/25/57 #, • | 128,427 | 129,597 |
Principal amount° | Value (US $) | ||
Non-Agency Collateralized Mortgage Obligations (continued) | |||
GMACM Mortgage Loan Trust Series 2006-J1 A1 5.75% 4/25/36 | 27,412 | $27,305 | |
GS Mortgage-Backed Securities Trust Series 2020-PJ1 A1 144A 3.50% 5/25/50 #, • | 610,158 | 620,733 | |
GSR Mortgage Loan Trust Series 2007-AR1 2A1 3.408% 3/25/47 • | 541,749 | 438,434 | |
Holmes Master Issuer Series 2018-2A A2 144A 0.695% (LIBOR03M + 0.42%) 10/15/54 #, • | 816,490 | 815,647 | |
JPMorgan Alternative Loan Trust Series 2007-A2 11A1 0.328% (LIBOR01M + 0.18%, Cap 11.50%, Floor 0.18%) 6/25/37 • | 3,970,701 | 2,726,828 | |
JPMorgan Mortgage Trust | |||
Series 2006-A6 2A4L 3.489% 10/25/36 • | 293,053 | 260,451 | |
Series 2006-A7 2A2 3.629% 1/25/37 • | 61,892 | 56,787 | |
Series 2007-A1 6A1 3.683% 7/25/35 • | 75,925 | 75,244 | |
Series 2014-2 B1 144A 3.399% 6/25/29 #, • | 45,765 | 46,389 | |
Series 2014-2 B2 144A 3.399% 6/25/29 #, • | 45,765 | 46,208 | |
Series 2015-4 B1 144A 3.616% 6/25/45 #, • | 728,746 | 747,811 | |
Series 2015-4 B2 144A 3.616% 6/25/45 #, • | 311,466 | 319,908 | |
Series 2015-5 B2 144A 2.633% 5/25/45 #, • | 583,605 | 596,182 | |
Series 2015-6 B1 144A 3.577% 10/25/45 #, • | 317,327 | 323,976 | |
Series 2015-6 B2 144A 3.577% 10/25/45 #, • | 308,751 | 315,220 | |
Series 2016-4 B1 144A 3.868% 10/25/46 #, • | 222,840 | 233,450 | |
Series 2016-4 B2 144A 3.868% 10/25/46 #, • | 384,834 | 396,283 | |
Series 2017-1 B3 144A 3.509% 1/25/47 #, • | 918,395 | 920,359 |
Principal amount° | Value (US $) | ||
Non-Agency Collateralized Mortgage Obligations (continued) | |||
JPMorgan Mortgage Trust | |||
Series 2017-2 A3 144A 3.50% 5/25/47 #, • | 184,192 | $189,171 | |
Series 2018-4 A15 144A 3.50% 10/25/48 #, • | 131,245 | 131,580 | |
Series 2019-LTV3 A3 144A 3.50% 3/25/50 #, • | 680,554 | 697,248 | |
Series 2020-1 A4 144A 3.50% 6/25/50 #, • | 743,321 | 755,036 | |
Series 2020-2 A3 144A 3.50% 7/25/50 #, • | 791,995 | 816,575 | |
Series 2020-5 A3 144A 3.00% 12/25/50 #, • | 3,783,582 | 3,876,545 | |
Series 2020-7 A3 144A 3.00% 1/25/51 #, • | 1,500,000 | 1,545,900 | |
Lanark Master Issuer Series 2019-1A 1A1 144A 1.026% (LIBOR03M + 0.77%) 12/22/69 #, • | 560,000 | 560,731 | |
Lehman Mortgage Trust Series 2007-10 2A2 6.50% 1/25/38 | 1,394,721 | 771,783 | |
Ludgate Funding | |||
Series 2006-1X A2A 0.251% (BP0003M + 0.19%) 12/1/60 • | GBP | 1,339,461 | 1,650,555 |
Series 2008-W1X A1 0.661% (BP0003M + 0.60%) 1/1/61 • | GBP | 569,338 | 710,654 |
Mansard Mortgages Series 2007-1X A2 0.26% (BP0003M + 0.18%) 4/15/47 • | GBP | 626,779 | 766,314 |
MASTR Alternative Loan Trust | |||
Series 2004-3 8A1 7.00% 4/25/34 | 1,396 | 1,446 | |
Series 2004-5 6A1 7.00% 6/25/34 | 24,474 | 25,647 | |
MASTR ARM Trust Series 2004-4 4A1 3.185% 5/25/34 • | 55,592 | 56,445 | |
Merrill Lynch Mortgage Investors Trust Series 2004-A1 2A2 3.418% 2/25/34 • | 2,996 | 2,989 |
Principal amount° | Value (US $) | ||
Non-Agency Collateralized Mortgage Obligations (continued) | |||
New Residential Mortgage Loan Trust | |||
Series 2018-RPL1 A1 144A 3.50% 12/25/57 #, • | 288,425 | $310,361 | |
Series 2019-RPL3 A1 144A 2.75% 7/25/59 #, • | 5,345,140 | 5,620,157 | |
Opteum Mortgage Acceptance Trust Series 2006-1 2A1 5.75% 4/25/36 • | 7,052 | 7,036 | |
RALI Series Trust | |||
Series 2007-QA5 2A1 5.722% 9/25/37 • | 2,837,473 | 2,432,114 | |
Series 2007-QH8 A 2.029% 10/25/37 • | 1,764,467 | 1,588,757 | |
Reperforming Loan REMIC Trust Series 2006-R1 AF1 144A 0.488% (LIBOR01M + 0.34%, Cap 9.50%, Floor 0.34%) 1/25/36 #, • | 844,268 | 803,080 | |
RFMSI Trust Series 2004-S9 2A1 4.75% 12/25/19 | 28 | 28 | |
Sequoia Mortgage Trust | |||
Series 2004-5 A3 0.985% (LIBOR06M + 0.56%, Cap 11.50%, Floor 0.56%) 6/20/34 • | 123,793 | 117,950 | |
Series 2007-1 4A1 3.209% 9/20/46 • | 373,237 | 288,289 | |
Series 2015-1 B2 144A 3.87% 1/25/45 #, • | 287,705 | 291,996 | |
Series 2017-4 A1 144A 3.50% 7/25/47 #, • | 164,359 | 168,656 | |
Series 2017-5 B2 144A 3.825% 8/25/47 #, • | 3,069,933 | 3,214,905 | |
Series 2018-5 A4 144A 3.50% 5/25/48 #, • | 158,540 | 159,378 | |
Series 2019-CH1 A1 144A 4.50% 3/25/49 #, • | 328,420 | 337,278 | |
Principal amount° | Value (US $) | ||
Non-Agency Collateralized Mortgage Obligations (continued) | |||
Structured ARM Loan Trust Series 2006-1 7A4 3.787% 2/25/36 • | 221,457 | $207,807 | |
Structured Asset Mortgage Investments II Trust Series 2005-AR5 A2 0.406% (LIBOR01M + 0.25%, Cap 11.00%, Floor 0.25%) 7/19/35 • | 238,470 | 224,211 | |
WaMu Mortgage Pass Through Certificates Trust | |||
Series 2005-AR16 1A3 3.715% 12/25/35 ♦, • | 272,804 | 266,681 | |
Series 2007-HY1 3A3 3.66% 2/25/37 ♦, • | 174,479 | 158,328 | |
Series 2007-HY7 4A1 3.306% 7/25/37 ♦, • | 357,669 | 345,400 | |
Washington Mutual Mortgage Pass Through Certificates Trust Series 2005-1 5A2 6.00% 3/25/35 ♦ | 896 | 28 | |
Wells Fargo Mortgage-Backed Securities Trust | |||
Series 2006-AR5 2A1 3.995% 4/25/36 • | 18,756 | 18,014 | |
Series 2006-AR11 A6 3.135% 8/25/36 • | 197,242 | 191,041 | |
Series 2020-1 A1 144A 3.00% 12/25/49 #, • | 523,333 | 538,954 | |
Series 2020-3 A1 144A 3.00% 6/25/50 #, • | 3,652,038 | 3,767,589 | |
Series 2020-4 A1 144A 3.00% 7/25/50 #, • | 968,896 | 1,000,763 | |
Total Non-Agency Collateralized Mortgage Obligations (cost $57,006,737) | 55,804,435 | ||
Non-Agency Commercial Mortgage-Backed Securities — 4.43% | |||
BANK | |||
Series 2017-BNK5 A5 3.39% 6/15/60 | 1,430,000 | 1,610,306 | |
Series 2017-BNK5 B 3.896% 6/15/60 • | 605,000 | 660,230 | |
Series 2017-BNK7 A5 3.435% 9/15/60 | 1,110,000 | 1,258,383 | |
Series 2019-BN20 A3 3.011% 9/15/62 | 8,000,000 | 8,948,213 |
Principal amount° | Value (US $) | ||
Non-Agency Commercial Mortgage-Backed Securities (continued) | |||
BANK | |||
Series 2019-BN21 A5 2.851% 10/17/52 | 2,100,000 | $2,321,798 | |
Benchmark Mortgage Trust | |||
Series 2018-B1 A5 3.666% 1/15/51 • | 2,310,000 | 2,658,711 | |
Series 2018-B3 A5 4.025% 4/10/51 | 550,000 | 646,817 | |
Series 2019-B9 A5 4.016% 3/15/52 | 7,865,000 | 9,329,509 | |
Series 2020-B17 A5 2.289% 3/15/53 | 2,000,000 | 2,120,233 | |
Cantor Commercial Real Estate Lending | |||
Series 2019-CF1 A5 3.786% 5/15/52 | 2,340,000 | 2,740,262 | |
Series 2019-CF2 A5 2.874% 11/15/52 | 4,000,000 | 4,409,122 | |
Series 2019-CF3 A4 3.006% 1/15/53 | 800,000 | 895,922 | |
CD Mortgage Trust | |||
Series 2017-CD6 B 3.911% 11/13/50 • | 440,000 | 476,666 | |
Series 2019-CD8 A4 2.912% 8/15/57 | 8,775,000 | 9,725,945 | |
CFCRE Commercial Mortgage Trust Series 2016-C7 A3 3.839% 12/10/54 | 3,100,000 | 3,482,017 | |
Citigroup Commercial Mortgage Trust | |||
Series 2014-GC25 A4 3.635% 10/10/47 | 785,000 | 856,873 | |
Series 2015-GC27 A5 3.137% 2/10/48 | 1,400,000 | 1,513,517 | |
Series 2016-P3 A4 3.329% 4/15/49 | 1,305,000 | 1,435,313 | |
Series 2017-C4 A4 3.471% 10/12/50 | 635,000 | 720,112 | |
Series 2018-C5 A4 4.228% 6/10/51 • | 1,700,000 | 2,008,949 | |
Series 2019-C7 A4 3.102% 12/15/72 | 1,450,000 | 1,635,846 | |
COMM Mortgage Trust | |||
Series 2013-WWP A2 144A 3.424% 3/10/31 # | 1,100,000 | 1,161,612 | |
Series 2014-CR20 AM 3.938% 11/10/47 | 2,225,000 | 2,418,176 |
Principal amount° | Value (US $) | ||
Non-Agency Commercial Mortgage-Backed Securities (continued) | |||
COMM Mortgage Trust | |||
Series 2015-3BP A 144A 3.178% 2/10/35 # | 605,000 | $648,540 | |
Series 2015-CR23 A4 3.497% 5/10/48 | 780,000 | 857,142 | |
Series 2016-CR28 A4 3.762% 2/10/49 | 2,330,000 | 2,620,872 | |
DB-JPM Mortgage Trust | |||
Series 2016-C1 A4 3.276% 5/10/49 | 900,000 | 993,294 | |
Series 2016-C3 A5 2.89% 8/10/49 | 945,000 | 1,028,869 | |
DB-UBS Mortgage Trust Series 2011-LC1A C 144A 5.79% 11/10/46 #, • | 600,000 | 601,082 | |
GS Mortgage Securities Trust | |||
Series 2010-C1 C 144A 5.635% 8/10/43 #, • | 375,000 | 332,118 | |
Series 2015-GC32 A4 3.764% 7/10/48 | 1,000,000 | 1,113,845 | |
Series 2016-RENT A 144A 3.203% 2/10/29 # | 2,300,000 | 2,296,848 | |
Series 2017-GS5 A4 3.674% 3/10/50 | 1,280,000 | 1,459,541 | |
Series 2017-GS6 A3 3.433% 5/10/50 | 1,935,000 | 2,182,764 | |
Series 2018-GS9 A4 3.992% 3/10/51 • | 570,000 | 664,584 | |
Series 2019-GC39 A4 3.567% 5/10/52 | 1,250,000 | 1,444,218 | |
Series 2019-GC42 A4 3.001% 9/1/52 | 5,000,000 | 5,581,493 | |
Series 2020-GC47 A5 2.377% 5/12/53 | 685,000 | 732,211 | |
JPM-BB Commercial Mortgage Securities Trust | |||
Series 2015-C31 A3 3.801% 8/15/48 | 8,967,272 | 10,040,044 | |
Series 2015-C33 A4 3.77% 12/15/48 | 570,000 | 642,096 | |
JPM-DB Commercial Mortgage Securities Trust | |||
Series 2016-C2 A4 3.144% 6/15/49 | 1,640,000 | 1,800,224 |
Principal amount° | Value (US $) | ||
Non-Agency Commercial Mortgage-Backed Securities (continued) | |||
JPM-DB Commercial Mortgage Securities Trust | |||
Series 2016-C4 A3 3.141% 12/15/49 | 1,065,000 | $1,177,631 | |
Series 2017-C7 A5 3.409% 10/15/50 | 2,395,000 | 2,712,332 | |
JPMorgan Chase Commercial Mortgage Securities Trust | |||
Series 2013-LC11 B 3.499% 4/15/46 | 355,000 | 343,975 | |
Series 2016-JP2 AS 3.056% 8/15/49 | 1,250,000 | 1,336,881 | |
Series 2016-WIKI A 144A 2.798% 10/5/31 # | 705,000 | 700,394 | |
Series 2016-WIKI B 144A 3.201% 10/5/31 # | 690,000 | 671,702 | |
LB-UBS Commercial Mortgage Trust Series 2006-C6 AJ 5.452% 9/15/39 • | 422,202 | 244,458 | |
Morgan Stanley Bank of America Merrill Lynch Trust | |||
Series 2015-C26 A5 3.531% 10/15/48 | 960,000 | 1,066,541 | |
Series 2015-C27 ASB 3.557% 12/15/47 | 2,200,000 | 2,338,572 | |
Series 2016-C29 A4 3.325% 5/15/49 | 1,445,000 | 1,598,176 | |
Morgan Stanley Capital I Trust | |||
Series 2014-CPT AM 144A 3.516% 7/13/29 #, • | 2,200,000 | 2,229,426 | |
Series 2019-L3 A4 3.127% 11/15/52 | 1,000,000 | 1,119,006 | |
UBS Commercial Mortgage Trust Series 2018-C9 A4 4.117% 3/15/51 • | 970,000 | 1,126,159 | |
UBS-Barclays Commercial Mortgage Trust Series 2013-C5 B 144A 3.649% 3/10/46 #, • | 480,000 | 486,050 |
Principal amount° | Value (US $) | ||
Non-Agency Commercial Mortgage-Backed Securities (continued) | |||
Wells Fargo Commercial Mortgage Trust | |||
Series 2014-LC18 A5 3.405% 12/15/47 | 275,000 | $299,894 | |
Series 2015-NXS3 A4 3.617% 9/15/57 | 510,000 | 567,575 | |
Series 2016-BNK1 A3 2.652% 8/15/49 | 1,220,000 | 1,289,460 | |
Series 2017-C38 A5 3.453% 7/15/50 | 905,000 | 1,024,170 | |
Total Non-Agency Commercial Mortgage-Backed Securities (cost $110,271,310) | 118,406,719 | ||
Loan Agreements — 2.34% | |||
Acrisure Tranche B 3.647% (LIBOR01M + 3.50%) 2/15/27 • | 413,457 | 400,462 | |
American Airlines Tranche B 2.152% (LIBOR01M + 2.00%) 12/14/23 • | 647,225 | 535,411 | |
Applied Systems 1st Lien 4.25% (LIBOR03M + 3.25%) 9/19/24 • | 849,622 | 846,635 | |
Applied Systems 2nd Lien 8.00% (LIBOR03M + 7.00%) 9/19/25 • | 1,708,922 | 1,736,692 | |
Aramark Services Tranche B-3 1.897% (LIBOR01M + 1.75%) 3/11/25 • | 359,075 | 345,572 | |
AssuredPartners 3.647% (LIBOR01M + 3.50%) 2/12/27 • | 950,257 | 924,362 | |
AthenaHealth Tranche B 1st Lien 4.75% (LIBOR03M + 4.50%) 2/11/26 • | 398,925 | 394,437 | |
Ball Metalpack Finco 2nd Lien 9.75% (LIBOR03M + 8.75%) 7/24/26 • | 79,000 | 63,990 | |
Bausch Health 3.151% (LIBOR01M + 3.00%) 6/2/25 • | 284,457 | 279,360 | |
Berry Global Tranche W 2.156% (LIBOR01M + 2.00%) 10/1/22 • | 1,075,000 | 1,068,505 | |
Berry Global Tranche Y 2.156% (LIBOR01M + 2.00%) 7/1/26 • | 693,225 | 673,535 |
Principal amount° | Value (US $) | ||
Loan Agreements (continued) | |||
Blue Ribbon 1st Lien 5.00% (LIBOR01M + 4.00%) 11/15/21 • | 245,723 | $228,215 | |
Boxer Parent 4.397% (LIBOR01M + 4.25%) 10/2/25 • | 382,756 | 372,566 | |
Buckeye Partners 2.897% (LIBOR01M + 2.75%) 11/1/26 • | 527,721 | 519,146 | |
BWay Holding 3.523% (LIBOR03M + 3.25%) 4/3/24 • | 155,588 | 147,273 | |
Caesars Resort Collection Tranche B-1 4.688% (LIBOR01M + 4.50%) 7/21/25 • | 595,000 | 577,575 | |
Calpine | |||
2.40% (LIBOR01M + 2.25%) 1/15/24 • | 392,378 | 382,814 | |
2.40% (LIBOR01M + 2.25%) 4/5/26 • | 246,875 | 240,780 | |
Camelot US Acquisition I TBD 10/31/26 X | 650,000 | 648,510 | |
Carnival 8.50% (LIBOR01M + 7.50%) 6/30/25 • | 498,750 | 505,816 | |
Change Healthcare Holdings 3.50% (LIBOR01M + 2.50%) 3/1/24 • | 193,991 | 190,460 | |
Charter Communications Operating Tranche B-2 1.90% (LIBOR01M + 1.75%) 2/1/27 • | 486,080 | 476,460 | |
Chemours Tranche B-2 1.93% (LIBOR01M + 1.75%) 4/3/25 • | 894,305 | 865,240 | |
CityCenter Holdings 3.00% (LIBOR01M + 2.25%) 4/18/24 • | 907,677 | 873,753 | |
Connect US Finco 5.50% (LIBOR01M + 4.50%) 12/12/26 • | 645,755 | 627,593 | |
Core & Main 3.75% (LIBOR03M + 2.75%) 8/1/24 • | 541,090 | 531,621 | |
CSC Holdings | |||
2.402% (LIBOR01M + 2.25%) 7/17/25 • | 314,438 | 305,004 | |
2.652% (LIBOR01M + 2.50%) 4/15/27 • | 289,856 | 281,812 | |
Principal amount° | Value (US $) | ||
Loan Agreements (continued) | |||
DaVita Tranche B-1 1.897% (LIBOR01M + 1.75%) 8/12/26 • | 800,925 | $788,661 | |
Ensemble RCM 4.011% (LIBOR03M + 3.75%) 8/1/26 • | 364,320 | 361,132 | |
Epicor Software Tranche B 5.25% (LIBOR01M + 4.25%) 7/30/27 • | 1,335,000 | 1,331,829 | |
ESH Hospitality 2.147% (LIBOR01M + 2.00%) 9/18/26 • | 461,930 | 450,238 | |
ExamWorks Group Tranche B-1 4.25% (LIBOR03M + 3.25%) 7/27/23 • | 721,903 | 718,745 | |
Frontier Communications Tranche B-1 6.00% (LIBOR03M + 2.75%) 6/17/24 • | 715,162 | 706,222 | |
Garda World Security Tranche B 1st Lien 4.90% (LIBOR01M + 4.75%) 10/30/26 • | 191,971 | 191,131 | |
Gardner Denver Tranche B-1 1.897% (LIBOR01M + 1.75%) 3/1/27 • | 675,920 | 655,220 | |
Global Medical Response TBD 9/24/25 X | 2,025,000 | 1,983,656 | |
Granite US Holdings Tranche B 5.47% (LIBOR03M + 5.25%) 9/30/26 • | 137,160 | 130,302 | |
Gray Television Tranche B-2 2.405% (LIBOR01M + 2.25%) 2/7/24 • | 1,018,322 | 997,956 | |
Hamilton Projects Acquiror 5.75% (LIBOR03M + 4.75%) 6/17/27 • | 1,880,287 | 1,873,236 | |
HCA Tranche B-12 1.897% (LIBOR01M + 1.75%) 3/13/25 • | 1,292,074 | 1,289,075 | |
Hilton Worldwide Finance Tranche B-2 1.898% (LIBOR01M + 1.75%) 6/22/26 • | 1,172,387 | 1,136,076 | |
HUB International 3.264% (LIBOR03M + 3.00%) 4/25/25 • | 733,125 | 709,665 | |
Ineos US Finance 2.147% (LIBOR01M + 2.00%) 4/1/24 • | 252,542 | 245,787 |
Principal amount° | Value (US $) | ||
Loan Agreements (continued) | |||
Informatica 3.397% (LIBOR01M + 3.25%) 2/25/27 • | 1,310,720 | $1,282,321 | |
Informatica 2nd Lien 7.125% (LIBOR03M + 7.125%) 2/14/25 • | 1,018,000 | 1,037,088 | |
Invictus 1st Lien 3.156% (LIBOR01M + 3.00%) 3/28/25 • | 218,401 | 212,968 | |
IQVIA Tranche B-3 1.97% (LIBOR03M + 1.75%) 6/11/25 • | 542,513 | 536,494 | |
Iron Mountain Information Management Tranche B 1.897% (LIBOR01M + 1.75%) 1/2/26 • | 620,570 | 600,919 | |
JBS USA LUX 2.147% (LIBOR01M + 2.00%) 5/1/26 • | 162,525 | 158,970 | |
Merrill Communications Tranche B 1st Lien 6.195% (LIBOR03M + 5.00%) 10/5/26 • | 210,410 | 207,122 | |
Microchip Technology 2.15% (LIBOR01M + 2.00%) 5/29/25 • | 506,310 | 505,361 | |
Milano Acquisition TBD 8/17/27 X | 1,210,000 | 1,200,169 | |
Mileage Plus Holdings 6.25% (LIBOR03M + 5.25%) 6/20/27 • | 1,000,000 | 1,018,203 | |
Numericable US Tranche B-11 2.897% (LIBOR01M + 2.75%) 7/31/25 • | 350,038 | 333,958 | |
Numericable US Tranche B-13 4.152% (LIBOR01M + 4.00%) 8/14/26 • | 132,638 | 129,089 | |
ON Semiconductor Tranche B-4 2.147% (LIBOR01M + 2.00%) 9/16/26 • | 1,281,241 | 1,264,265 | |
Penn National Gaming Tranche B-1 3.00% (LIBOR01M + 2.25%) 10/15/25 • | 982,500 | 958,815 | |
PG&E 5.50% (LIBOR03M + 4.50%) 6/23/25 • | 1,970,062 | 1,938,871 | |
PQ 4.00% (LIBOR03M + 3.00%) 2/7/27 • | 748,125 | 747,003 |
Principal amount° | Value (US $) | ||
Loan Agreements (continued) | |||
PQ Tranche B 2.511% (LIBOR03M + 2.25%) 2/8/27 • | 792,535 | $777,477 | |
Prestige Brands Tranche B-4 2.145% (LIBOR01M + 2.00%) 1/26/24 • | 307,282 | 305,669 | |
Prime Security Services Borrower Tranche B-1 4.25% (LIBOR01M + 3.25%) 9/23/26 • | 453,664 | 450,140 | |
Radiate Holdco Tranche B 4.25% (LIBOR01M + 3.50%) 9/11/26 • | 180,432 | 179,652 | |
Reynolds Group Holdings TBD 2/3/26 X | 475,000 | 468,469 | |
RP Crown Parent Tranche B-1 4.00% (LIBOR01M + 3.00%) 2/2/26 • | 977,550 | 968,996 | |
Russell Investments US Institutional Holdco 3.75% (LIBOR06M + 2.75%) 6/1/23 • | 425,673 | 423,501 | |
Ryan Specialty Group 4.00% (LIBOR01M + 3.25%) 9/1/27 • | 595,000 | 592,025 | |
Scientific Games International Tranche B-5 3.471% (LIBOR01M + 2.75%) 8/14/24 • | 1,799,163 | 1,701,783 | |
Sinclair Television Group Tranche B 2.65% (LIBOR01M + 2.50%) 1/3/24 • | 1,540,000 | 1,504,067 | |
Solenis International 1st Lien 4.256% (LIBOR03M + 4.00%) 6/26/25 • | 585,508 | 571,846 | |
Spirit Aerosystems Tranche B 1st Lien TBD 1/30/25 X | 785,000 | 786,963 | |
SS&C Technologies Tranche B-3 1.897% (LIBOR01M + 1.75%) 4/16/25 • | 256,761 | 249,272 | |
SS&C Technologies Tranche B-4 1.897% (LIBOR01M + 1.75%) 4/16/25 • | 180,393 | 175,131 | |
Stars Group Holdings 3.72% (LIBOR03M + 3.50%) 7/10/25 • | 156,175 | 156,403 | |
Surf Holdings 1st Lien 3.75% (LIBOR03M + 3.50%) 3/5/27 • | 319,200 | 312,702 |
Principal amount° | Value (US $) | ||
Loan Agreements (continued) | |||
Tecta America 4.647% (LIBOR01M + 4.50%) 11/20/25 • | 203,553 | $193,375 | |
Telenet Financing Tranche AR 2.152% (LIBOR01M + 2.00%) 4/30/28 • | 545,000 | 527,060 | |
Terrier Media Buyer 4.397% (LIBOR01M + 4.25%) 12/17/26 • | 519,078 | 507,528 | |
Titan Acquisition 3.361% (LIBOR03M + 3.00%) 3/28/25 • | 56,971 | 53,980 | |
T-Mobile USA 3.147% (LIBOR01M + 3.00%) 4/1/27 • | 608,475 | 608,746 | |
Transdigm Tranche F 2.397% (LIBOR01M + 2.25%) 12/9/25 • | 594,697 | 564,218 | |
Trident TPI Holdings Tranche B-1 4.00% (LIBOR03M + 3.00%) 10/17/24 • | 267,984 | 263,713 | |
Ultimate Software Group 4.75% (LIBOR03M + 4.00%) 5/4/26 • | 3,475,000 | 3,469,843 | |
Ultimate Software Group 1st Lien 3.897% (LIBOR01M + 3.75%) 5/4/26 • | 1,966,541 | 1,953,790 | |
United Rentals (North America) 1.897% (LIBOR01M + 1.75%) 10/31/25 • | 49,000 | 48,908 | |
USI 4.22% (LIBOR03M + 4.00%) 12/2/26 • | 166,442 | 165,797 | |
USI Tranche B 3.22% (LIBOR03M + 3.00%) 5/16/24 • | 1,414,543 | 1,371,222 | |
USIC Holdings Tranche B 4.25% (LIBOR01M + 3.25%) 12/8/23 • | 476,252 | 470,597 | |
Vertical Midco Tranche B 4.567% (LIBOR06M + 4.25%) 7/30/27 • | 1,185,000 | 1,177,699 | |
Vistra Operations 1.897% (LIBOR01M + 1.75%) 12/31/25 • | 521,571 | 514,726 |
Principal amount° | Value (US $) | ||
Loan Agreements (continued) | |||
Windstream Services 7.25% (LIBOR01M + 6.25%) 8/11/27 • | 199,500 | $193,640 | |
Zekelman Industries 2.145% (LIBOR03M + 2.00%) 1/24/27 • | 278,600 | 270,547 | |
Total Loan Agreements (cost $63,100,368) | 62,723,631 | ||
Regional Bond — 0.08%Δ | |||
Spain — 0.08% | |||
Autonomous Community of Catalonia 4.90% 9/15/21 | EUR | 1,800,000 | 2,205,167 |
2,205,167 | |||
Total Regional Bond (cost $2,017,101) | 2,205,167 | ||
Sovereign Bonds — 2.14%Δ | |||
Albania — 0.01% | |||
Albania Government International Bond 144A 3.50% 6/16/27 # | EUR | 150,000 | 181,144 |
181,144 | |||
Angola — 0.01% | |||
Angolan Government International Bond 8.25% 5/9/28 | 200,000 | 160,125 | |
160,125 | |||
Argentina — 0.03% | |||
Argentine Republic Government International Bonds | |||
0.125% 7/9/30 ~ | 1,369,640 | 574,564 | |
0.125% 7/9/35 ~ | 207,580 | 78,467 | |
1.00% 7/9/29 | 57,010 | 26,111 | |
679,142 | |||
Azerbaijan — 0.02% | |||
Republic of Azerbaijan International Bond 144A 3.50% 9/1/32 # | 547,000 | 527,616 | |
527,616 | |||
Bahrain — 0.01% | |||
Bahrain Government International Bond 144A 7.375% 5/14/30 # | 300,000 | 329,809 | |
329,809 |
Principal amount° | Value (US $) | ||
Sovereign Bonds Δ(continued) | |||
Bermuda — 0.01% | |||
Bermuda Government International Bond 144A 2.375% 8/20/30 # | 200,000 | $202,750 | |
202,750 | |||
Brazil — 0.02% | |||
Brazilian Government International Bonds | |||
3.875% 6/12/30 | 223,000 | 223,167 | |
4.75% 1/14/50 | 233,000 | 226,857 | |
450,024 | |||
Chile — 0.02% | |||
Chile Government International Bonds | |||
2.55% 1/27/32 | 258,000 | 272,835 | |
3.50% 1/25/50 | 200,000 | 228,750 | |
501,585 | |||
Colombia — 0.03% | |||
Colombia Government International Bonds | |||
3.00% 1/30/30 | 272,000 | 276,862 | |
4.00% 2/26/24 | 202,000 | 215,699 | |
5.00% 6/15/45 | 200,000 | 233,750 | |
726,311 | |||
Cyprus — 0.06% | |||
Cyprus Government International Bond 3.875% 5/6/22 | EUR | 1,200,000 | 1,498,340 |
1,498,340 | |||
Dominican Republic — 0.04% | |||
Dominican Republic International Bonds | |||
144A 4.50% 1/30/30 # | 367,000 | 361,954 | |
144A 4.875% 9/23/32 # | 150,000 | 149,550 | |
144A 6.00% 7/19/28 # | 435,000 | 469,173 | |
980,677 | |||
Ecuador — 0.01% | |||
Ecuador Government International Bonds | |||
144A 0.50% 7/31/30 #, ~ | 125,307 | 85,210 | |
144A 0.50% 7/31/35 #, ~ | 328,384 | 183,077 |
Principal amount° | Value (US $) | ||
Sovereign Bonds Δ(continued) | |||
Ecuador (continued) | |||
Ecuador Government International Bonds | |||
144A 0.50% 7/31/40 #, ~ | 150,501 | $75,815 | |
144A 6.61% 7/31/30 #, ^ | 35,471 | 16,629 | |
360,731 | |||
Egypt — 0.14% | |||
Egypt Government International Bonds | |||
144A 5.577% 2/21/23 # | 2,620,000 | 2,698,495 | |
144A 5.75% 5/29/24 # | 591,000 | 605,715 | |
7.903% 2/21/48 | 200,000 | 185,341 | |
144A 8.70% 3/1/49 # | 359,000 | 351,084 | |
3,840,635 | |||
El Salvador — 0.01% | |||
El Salvador Government International Bond 144A 7.125% 1/20/50 # | 275,000 | 216,122 | |
216,122 | |||
Gabon — 0.01% | |||
Gabon Government International Bond 144A 6.625% 2/6/31 # | 200,000 | 179,398 | |
179,398 | |||
Guatemala — 0.02% | |||
Guatemala Government Bond 144A 4.875% 2/13/28 # | 400,000 | 442,400 | |
442,400 | |||
Honduras — 0.01% | |||
Honduras Government International Bond 144A 5.625% 6/24/30 # | 300,000 | 322,350 | |
322,350 | |||
Indonesia — 0.01% | |||
Indonesia Government International Bond 144A 4.625% 4/15/43 # | 200,000 | 235,128 | |
235,128 |
Principal amount° | Value (US $) | ||
Sovereign Bonds Δ(continued) | |||
Israel — 0.05% | |||
Israel Government International Bond 2.75% 7/3/30 | 1,200,000 | $1,330,260 | |
1,330,260 | |||
Ivory Coast — 0.01% | |||
Ivory Coast Government International Bond 144A 6.125% 6/15/33 # | 366,000 | 343,835 | |
343,835 | |||
Jordan — 0.01% | |||
Jordan Government International Bond 144A 4.95% 7/7/25 # | 200,000 | 199,862 | |
199,862 | |||
Kazakhstan — 0.01% | |||
Kazakhstan Government International Bond 144A 6.50% 7/21/45 # | 207,000 | 322,140 | |
322,140 | |||
Kenya — 0.04% | |||
Kenya Government International Bonds | |||
144A 6.875% 6/24/24 # | 248,000 | 252,866 | |
144A 8.00% 5/22/32 # | 835,000 | 826,501 | |
1,079,367 | |||
Kuwait — 0.13% | |||
Kuwait International Government Bond 2.75% 3/20/22 | 3,400,000 | 3,497,553 | |
3,497,553 | |||
Lebanon — 0.00% | |||
Lebanon Government International Bond 6.25% 5/27/22 ‡ | 582,000 | 101,413 | |
101,413 | |||
Mexico — 0.02% | |||
Mexico Government International Bond 4.60% 2/10/48 | 458,000 | 488,139 | |
488,139 |
Principal amount° | Value (US $) | ||
Sovereign Bonds Δ(continued) | |||
Mongolia — 0.01% | |||
Mongolia Government International Bond 144A 5.625% 5/1/23 # | 306,000 | $315,568 | |
315,568 | |||
Morocco — 0.01% | |||
Morocco Government International Bond 144A 1.375% 3/30/26 # | EUR | 150,000 | 175,865 |
175,865 | |||
Nigeria — 0.02% | |||
Nigeria Government International Bond 144A 7.875% 2/16/32 # | 537,000 | 514,043 | |
514,043 | |||
North Macedonia — 0.01% | |||
North Macedonia Government International Bond 144A 3.675% 6/3/26 # | EUR | 150,000 | 188,943 |
188,943 | |||
Oman — 0.01% | |||
Oman Government International Bond 144A 6.75% 1/17/48 # | 343,000 | 285,145 | |
285,145 | |||
Panama — 0.14% | |||
Panama Government International Bonds | |||
3.16% 1/23/30 | 452,000 | 492,397 | |
3.75% 3/16/25 | 2,446,000 | 2,678,113 | |
144A 3.75% 4/17/26 # | 580,000 | 621,334 | |
3,791,844 | |||
Paraguay — 0.17% | |||
Paraguay Government International Bonds | |||
144A 4.95% 4/28/31 # | 3,600,000 | 4,163,400 | |
144A 5.40% 3/30/50 # | 403,000 | 491,060 | |
4,654,460 | |||
Peru — 0.02% | |||
Peruvian Government International Bonds | |||
2.844% 6/20/30 | 512,000 | 558,623 | |
5.625% 11/18/50 | 35,000 | 55,888 | |
614,511 |
Principal amount° | Value (US $) | ||
Sovereign Bonds Δ(continued) | |||
Philippines — 0.01% | |||
Philippine Government International Bond 2.457% 5/5/30 | 300,000 | $324,176 | |
324,176 | |||
Qatar — 0.17% | |||
Qatar Government International Bonds | |||
144A 3.40% 4/16/25 # | 200,000 | 219,586 | |
144A 4.00% 3/14/29 # | 725,000 | 849,149 | |
144A 4.40% 4/16/50 # | 400,000 | 516,006 | |
5.103% 4/23/48 | 2,200,000 | 3,063,973 | |
4,648,714 | |||
Republic of Vietnam — 0.01% | |||
Vietnam Government International Bond 144A 4.80% 11/19/24 # | 200,000 | 224,025 | |
224,025 | |||
Romania — 0.10% | |||
Romanian Government International Bonds | |||
144A 3.00% 2/14/31 # | 2,410,000 | 2,479,287 | |
144A 3.375% 1/28/50 # | EUR | 223,000 | 267,674 |
2,746,961 | |||
Russia — 0.04% | |||
Russian Foreign Bond - Eurobonds | |||
144A 4.25% 6/23/27 # | 600,000 | 676,890 | |
144A 4.375% 3/21/29 # | 200,000 | 229,850 | |
144A 5.25% 6/23/47 # | 200,000 | 265,417 | |
1,172,157 | |||
Saudi Arabia — 0.37% | |||
Saudi Government International Bonds | |||
2.375% 10/26/21 | 200,000 | 203,656 | |
144A 2.875% 3/4/23 # | 2,200,000 | 2,301,299 | |
144A 2.90% 10/22/25 # | 200,000 | 214,010 | |
144A 3.625% 3/4/28 # | 741,000 | 822,606 | |
4.50% 10/26/46 | 800,000 | 962,600 | |
144A 4.50% 10/26/46 # | 800,000 | 962,600 | |
144A 5.00% 4/17/49 # | 3,500,000 | 4,538,373 | |
10,005,144 |
Principal amount° | Value (US $) | ||
Sovereign Bonds Δ(continued) | |||
Senegal — 0.01% | |||
Senegal Government International Bond 144A 6.75% 3/13/48 # | 210,000 | $199,633 | |
199,633 | |||
Serbia — 0.00% | |||
Serbia International Bond 144A 3.125% 5/15/27 # | EUR | 100,000 | 125,514 |
125,514 | |||
South Africa — 0.12% | |||
Republic of South Africa Government International Bonds | |||
4.85% 9/30/29 | 3,000,000 | 2,869,881 | |
5.75% 9/30/49 | 200,000 | 170,258 | |
5.875% 6/22/30 | 268,000 | 274,684 | |
3,314,823 | |||
Sri Lanka — 0.02% | |||
Sri Lanka Government International Bonds | |||
144A 5.875% 7/25/22 # | 206,000 | 166,860 | |
144A 6.20% 5/11/27 # | 453,000 | 312,570 | |
479,430 | |||
Trinidad and Tobago — 0.01% | |||
Trinidad & Tobago Government International Bond 144A 4.50% 6/26/30 # | 200,000 | 197,050 | |
197,050 | |||
Turkey — 0.03% | |||
Turkey Government International Bonds | |||
5.75% 5/11/47 | 200,000 | 159,017 | |
7.625% 4/26/29 | 500,000 | 515,946 | |
674,963 | |||
Ukraine — 0.05% | |||
Ukraine Government International Bonds | |||
144A 7.75% 9/1/26 # | 804,000 | 801,958 | |
144A 9.75% 11/1/28 # | 515,000 | 558,440 | |
1,360,398 | |||
United Kingdom — 0.00% | |||
United Kingdom Gilt 1.75% 9/7/22 | GBP | 100,000 | 133,516 |
133,516 |
Principal amount° | Value (US $) | ||
Sovereign Bonds Δ(continued) | |||
Uruguay — 0.05% | |||
Uruguay Government International Bonds | |||
4.375% 1/23/31 | 1,131,000 | $1,347,660 | |
4.50% 8/14/24 | 57,000 | 62,409 | |
1,410,069 | |||
Uzbekistan — 0.02% | |||
Republic of Uzbekistan Bond 144A 5.375% 2/20/29 # | 448,000 | 502,531 | |
502,531 | |||
Total Sovereign Bonds (cost $53,916,604) | 57,256,339 | ||
Supranational Banks — 0.03% | |||
Banco Latinoamericano de Comercio Exterior 144A 2.375% 9/14/25 # | 200,000 | 203,000 | |
Banque Ouest Africaine de Developpement | |||
144A 4.70% 10/22/31 # | 301,000 | 316,429 | |
144A 5.00% 7/27/27 # | 406,000 | 438,586 | |
Total Supranational Banks (cost $898,216) | 958,015 | ||
US Treasury Obligations — 26.19% | |||
US Treasury Bonds | |||
1.25% 5/15/50 | 1,800,000 | 1,706,203 | |
1.375% 8/15/50 | 4,100,000 | 4,012,235 | |
2.00% 2/15/50 | 16,000,000 | 18,101,250 | |
2.50% 2/15/45 | 37,100,000 | 45,672,129 | |
2.75% 8/15/42 | 900,000 | 1,153,547 | |
2.75% 11/15/42 | 1,400,000 | 1,793,148 | |
2.875% 5/15/43 | 2,200,000 | 2,873,234 | |
2.875% 8/15/45 | 16,700,000 | 21,945,497 | |
3.00% 5/15/47 | 900,000 | 1,219,535 | |
3.00% 8/15/48 | 3,770,000 | 5,139,423 | |
3.125% 5/15/48 | 1,490,000 | 2,071,915 | |
4.375% 5/15/40 | 100,000 | 157,004 | |
US Treasury Inflation Indexed Notes | |||
0.125% 4/15/22 | 3,409,280 | 3,469,678 | |
0.125% 7/15/26 | 21,619 | 23,448 | |
0.25% 1/15/25 | 9,626,584 | 10,271,891 | |
0.375% 7/15/27 | 7,202,560 | 8,009,255 | |
0.625% 4/15/23 | 3,066,773 | 3,207,988 |
Principal amount° | Value (US $) | ||
US Treasury Obligations (continued) | |||
US Treasury Inflation Indexed Notes | |||
0.875% 1/15/29 | 10,979,591 | $12,792,696 | |
1.75% 1/15/28 | 12,763,570 | 15,550,139 | |
2.375% 1/15/25 | 9,347,008 | 10,852,322 | |
2.375% 1/15/27 | 1,670,253 | 2,060,240 | |
2.50% 1/15/29 | 36,204 | 47,306 | |
US Treasury Inflation Indexed Notes | |||
0.125% 1/15/30 | 44,950,123 | 49,685,583 | |
0.125% 7/15/30 | 18,508,589 | 20,583,710 | |
US Treasury Notes | |||
0.50% 4/30/27 | 10,900,000 | 10,949,816 | |
0.50% 6/30/27 | 12,900,000 | 12,946,360 | |
0.625% 5/15/30 | 10,300,000 | 10,264,594 | |
0.625% 8/15/30 | 67,085,000 | 66,702,408 | |
1.125% 8/31/21 ∞ | 13,800,000 | 13,922,020 | |
1.125% 2/28/27 | 16,900,000 | 17,663,141 | |
1.25% 8/31/24 | 25,600,000 | 26,636,001 | |
1.50% 1/31/27 | 1,700,000 | 1,816,808 | |
1.50% 2/15/30 | 24,700,000 | 26,645,125 | |
1.625% 9/30/26 | 8,300,000 | 8,916,340 | |
1.625% 10/31/26 | 12,900,000 | 13,863,973 | |
1.75% 12/31/26 | 10,900,000 | 11,814,579 | |
1.875% 7/31/22 | 39,700,000 | 40,965,437 | |
1.875% 8/31/24 ∞ | 2,170,000 | 2,311,050 | |
2.00% 10/31/21 ∞ | 1,600,000 | 1,632,094 | |
2.00% 11/30/22 ∞ | 7,700,000 | 8,009,805 | |
2.00% 6/30/24 | 7,700,000 | 8,218,848 | |
2.125% 3/31/24 ∞ | 2,010,000 | 2,146,107 | |
2.125% 11/30/24 | 11,130,000 | 12,005,618 | |
2.25% 11/15/24 | 11,030,000 | 11,946,869 | |
2.25% 3/31/26 | 24,500,000 | 27,064,844 | |
2.375% 2/29/24 | 4,000,000 | 4,298,906 | |
2.375% 8/15/24 ∞ | 1,820,000 | 1,972,567 | |
2.375% 4/30/26 | 10,900,000 | 12,129,230 | |
2.50% 1/31/24 | 2,790,000 | 3,005,462 | |
2.50% 2/28/26 | 3,700,000 | 4,133,449 | |
2.625% 3/31/25 | 12,700,000 | 14,053,344 | |
2.75% 7/31/23 | 46,200,000 | 49,589,204 | |
2.875% 11/30/23 ∞ | 2,500,000 | 2,713,476 | |
2.875% 7/31/25 | 15,500,000 | 17,439,317 | |
2.875% 11/30/25 | 8,100,000 | 9,170,086 | |
US Treasury Strip Principal 2.26% 5/15/44 ^ | 4,290,000 | 3,059,809 | |
Total US Treasury Obligations (cost $662,782,146) | 700,406,063 |
Number of shares | Value (US $) | ||
Common Stock — 0.00% | |||
Adelphia Recovery Trust =, † | 1 | $0 | |
Century Communications =, † | 1,975,000 | 0 | |
Total Common Stock (cost $59,791) | 0 | ||
Preferred Stock — 0.02% | |||
General Electric 5.000% μ | 300,000 | 239,514 | |
USB Realty 1.422% (LIBOR03M + 1.147%) #, • | 500,000 | 405,312 | |
Total Preferred Stock (cost $748,677) | 644,826 | ||
Short-Term Investments — 9.12% | |||
Money Market Mutual Funds — 1.52% | |||
BlackRock FedFund – Institutional Shares (seven-day effective yield 0.00%) | 10,142,650 | 10,142,650 | |
Fidelity Investments Money Market Government Portfolio – Class I (seven-day effective yield 0.01%) | 10,142,650 | 10,142,650 | |
GS Financial Square Government Fund – Institutional Shares (seven-day effective yield 0.00%) | 10,142,650 | 10,142,650 | |
Morgan Stanley Government Portfolio – Institutional Share Class (seven-day effective yield 0.00%) | 10,142,650 | 10,142,650 | |
40,570,600 |
Principal amount° | Value (US $) | ||
Repurchase Agreements — 6.92% | |||
US Treasury repurchase agreement with Standard Chartered Bank 0.11%, dated 9/29/20, to be repurchased 10/1/20, repurchase price $97,800,299 (collateralized by US government obligation; 1.125% - 6.25% 8/15/23; market value $99,343,112) | 97,800,000 | $97,800,000 | |
US Treasury repurchase agreement with Standard Chartered Bank 0.11%, dated 9/30/20, to be repurchased 10/2/20, repurchase price $87,300,267 (collateralized by US government obligation; 3.00% - 6.25% 8/15/23; market value $89,259,880) | 87,300,000 | 87,300,000 | |
185,100,000 | |||
US Treasury Obligation — 0.68% | |||
US Treasury Bill 0.068% 10/15/20∞, ^ | 18,200,000 | 18,199,487 | |
18,199,487 | |||
Total Short-Term Investments (cost $243,869,368) | 243,870,087 | ||
Total Value of Securities Before Options Written—114.92% (cost $2,954,055,646) | 3,073,572,274 |
Number of contracts | Value (US $) | ||
Options Written — (0.01%) | |||
Put Swaptions — (0.01%) | |||
CDX.NA.IG 34 5 yr V1 I strike price $0.60, expiration date 10/21/20, notional amount (4,500,000) (CITI) | (7,500,000) | $(91,092) | |
CDX.NA.IG 34 5 yr V1 I strike price $1.00, expiration date 10/21/20, notional amount (7,500,000) (BNP) | (7,500,000) | (8,922) | |
CDX.NA.IG 34 5 yr V1 I strike price $1.20, expiration date 12/16/20, notional amount (37,200,000) (BNP) | (31,000,000) | (80,213) | |
Total Options Written (premium received $59,140) | (180,227) |
° | Principal amount shown is stated in USD unless noted that the security is denominated in another currency. |
~ | Step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Stated rate in effect at September 30, 2020. |
Δ | Securities have been classified by country of origin. |
X | This loan will settle after September 30, 2020, at which time the interest rate, based on the LIBOR and the agreed upon spread on trade date, will be reflected. |
= | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the disclosure table located in Note 3 in “Notes to financial statements.” |
‡ | Non-income producing security. Security is currently in default. |
« | PIK. The first payment of cash and/or principal will be made after October 1, 2020. |
* | PIK. 100% of the income received was in the form of both cash and principal. |
ψ | No contractual maturity date. |
μ | Fixed to variable rate investment. The rate shown reflects the fixed rate in effect at September 30, 2020. Rate will reset at a future date. |
♦ | Pass Through Agreement. Security represents the contractual right to receive a proportionate amount of underlying payments due to the counterparty pursuant to various agreements related to the rescheduling of obligations and the exchange of certain notes. |
Σ | Interest only security. An interest only security is the interest only portion of a fixed income security, which is separated and sold individually from the principal portion of the security. |
^ | Zero-coupon security. The rate shown is the effective yield at the time of purchase. |
Ω | Principal only security. A principal only security is the principal only portion of a fixed income security which is separated and sold individually from the interest portion of the security. |
• | Variable rate investment. Rates reset periodically. Rate shown reflects the rate in effect at September 30, 2020. For securities based on a published reference rate and spread, the reference rate and spread are indicated in their description above. The reference rate descriptions (i.e. LIBOR03M, LIBOR06M, etc.) used in this report are identical for different securities, but the underlying reference rates may differ due to the timing of the reset period. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their description above. |
# | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At September 30, 2020, the aggregate value of Rule 144A securities was $506,898,812, which represents 18.95% of the Fund net assets. See Note 8 in “Notes to financial statements.” |
∞ | Fully or partially pledged as collateral for futures and swap contracts. |
† | Non-income producing security. |
Foreign Currency Exchange Contracts | ||||||||||||
Counterparty | Currency to Receive (Deliver) | In Exchange For | Settlement Date | Unrealized Appreciation | Unrealized Depreciation | |||||||
BNP | EUR | (32,569,000) | USD | 38,976,677 | 10/2/20 | $789,572 | $— | |||||
BNP | EUR | (32,569,000) | USD | 38,216,985 | 11/3/20 | 3,866 | — | |||||
BNP | INR | 23,338,266 | USD | (310,187) | 12/16/20 | 4,446 | — | |||||
BNP | JPY | 35,155,313 | USD | (331,599) | 10/2/20 | 1,744 | — | |||||
BNP | KRW | (128,438,975) | USD | 108,411 | 12/16/20 | — | (1,756) | |||||
BNP | EUR | 32,569,000 | USD | (38,192,037) | 10/2/20 | — | (4,932) | |||||
JPMCB | EUR | (731,000) | USD | 858,691 | 1/22/21 | — | (752) | |||||
JPMCB | GBP | (2,027,000) | USD | 2,723,644 | 10/2/20 | 108,082 | — | |||||
Total Foreign Currency Exchange Contracts | $907,710 | $(7,440) |
Futures Contracts | |||||||||||||
Contracts to Buy (Sell) | Notional Amount | Notional Cost (Proceeds) | Expiration Date | Value/ Unrealized Appreciation | Value/ Unrealized Depreciation | Variation Margin Due from (Due to) Brokers | |||||||
10 | US Treasury Ultra Bonds | $2,218,125 | $2,251,968 | 12/21/20 | $— | $(33,843) | $(20,000) | ||||||
337 | US Treasury Long Bonds | 59,406,781 | 59,912,668 | 12/21/20 | — | (505,887) | (315,939) | ||||||
327 | US Treasury 5 yr Notes | 41,212,219 | 41,177,228 | 12/31/20 | 34,991 | — | (33,210) | ||||||
(645) | US Treasury 5 yr Notes | (81,290,156) | (81,180,903) | 12/31/20 | — | (109,253) | 65,506 | ||||||
189 | US Treasury 10 yr Ultra Notes | 30,225,236 | 30,258,186 | 12/21/20 | — | (32,950) | (88,594) | ||||||
(11) | US Treasury 10 yr Ultra Notes | (1,759,141) | (1,753,446) | 12/21/20 | — | (5,695) | 5,156 | ||||||
287 | US Treasury 10 yr Notes | 40,045,469 | 40,001,013 | 12/21/20 | 44,456 | — | (71,750) | ||||||
(394) | US Treasury 10 yr Notes | (54,975,313) | (55,029,085) | 12/21/20 | 53,772 | — | 98,500 | ||||||
(33) | Long 10 yr Gilt | (5,795,775) | (5,801,521) | 12/29/20 | 5,746 | — | 19,110 | ||||||
(76) | Euro-Bund | (15,550,814) | (15,473,663) | 12/8/20 | — | (77,151) | 31,317 | ||||||
131 | Euro-BTP | 22,666,952 | 22,222,694 | 12/8/20 | 444,258 | — | (78,955) | ||||||
Total Futures Contracts | $36,585,139 | $583,223 | $(764,779) | $(388,859) |
CDS Contracts2 | ||||||||||||||
Counterparty/ Reference Obligation/ Termination Date/ Payment Frequency | Notional Amount3 | Annual Protection Payments | Value | Upfront Payments Paid (Received) | Unrealized Appreciation4 | Unrealized Depreciation4 | Variation Margin Due from (Due to) Brokers | |||||||
Centrally Cleared: | ||||||||||||||
Protection SoldMoody's Ratings: | ||||||||||||||
AT&T 2.45% 5/15/18 Baa2 6/20/24-Quarterly | 1,800,000 | 1.000% | $21,051 | $(3,652) | $24,703 | $— | $418 | |||||||
British Telecom 5.75% 12/7/28 Baa2 12/20/24-Quarterly | EUR 2,800,000 | 1.000% | 22,937 | 7,001 | 15,936 | — | 2,474 | |||||||
CDX.ITRX.EUR.33.15 6/20/25-Quarterly | EUR 14,000,000 | 1.000% | 288,506 | 243,118 | 45,388 | — | 10,241 |
Counterparty/ Reference Obligation/ Termination Date/ Payment Frequency | Notional Amount3 | Annual Protection Payments | Value | Upfront Payments Paid (Received) | Unrealized Appreciation4 | Unrealized Depreciation4 | Variation Margin Due from (Due to) Brokers | |||||||
Protection SoldMoody's Ratings (continued): | ||||||||||||||
CDX.NA.HY.336 12/20/24-Quarterly | 1,335,000 | 5.000% | $68,274 | $46,524 | $21,750 | $— | $(14,543) | |||||||
CDX.NA.HY.346 6/20/25-Quarterly | 3,956,000 | 5.000% | 193,045 | 5,640 | 187,405 | — | 877 | |||||||
CDX.NA.IG.337 12/20/24-Quarterly | 31,500,000 | 1.000% | 254,286 | 576,218 | — | (321,932) | 5,633 | |||||||
CDX.NA.IG.347 6/20/25-Quarterly | 12,800,000 | 1.000% | 87,433 | (28,880) | 116,313 | — | (734) | |||||||
CDX.NA.IG.357 12/20/25-Quarterly | 1,800,000 | 1.000% | 37,666 | 43,203 | — | (5,537) | 961 | |||||||
Citigroup CDS 6.125% 6/30/20 WR 12/20/20-Quarterly | 700,000 | 1.000% | 996 | 803 | 193 | — | (33) | |||||||
Daimler CDS 0.625% 3/5/20 A2 12/20/20-Quarterly | EUR 800,000 | 1.000% | 1,683 | 1,847 | — | (164) | (27) | |||||||
975,877 | 891,822 | 411,688 | (327,633) | 5,267 | ||||||||||
Over-The-Counter: | ||||||||||||||
Protection PurchasedMoody’s Ratings: | ||||||||||||||
JPMCB-Mexico 3.60% 12/31/22 WR 6/20/25-Quarterly | 3,330,000 | 1.000% | 57,821 | 224,849 | — | (167,028) | — | |||||||
JPMCB-Republic of Indonesia 3.70% 1/8/22 BBB 6/20/25− Quarterly | 313,000 | 1.000% | 1,615 | 3,675 | — | (2,060) | — | |||||||
Protection SoldMoody's Ratings: | ||||||||||||||
BAML Republic of Colombia 10.375% 1/28/33 Baa2 6/20/21-Quarterly | 100,000 | 1.000% | 415 | (470) | 885 | — | — | |||||||
BAML Republic of Colombia 10.375% 1/28/33 Baa2 6/20/22-Quarterly | 250,000 | 1.000% | 1,443 | (1,307) | 2,750 | — | — | |||||||
BNP Republic of Colombia 10.375% 1/28/33 Baa2 6/20/21-Quarterly | 200,000 | 1.000% | 831 | (951) | 1,782 | — | — | |||||||
CITI Republic of Brazil 4.25% 1/7/25 /Ba2 6/20/22-Quarterly | 100,000 | 1.000% | (633) | (2,174) | 1,541 | — | — |
Counterparty/ Reference Obligation/ Termination Date/ Payment Frequency | Notional Amount3 | Annual Protection Payments | Value | Upfront Payments Paid (Received) | Unrealized Appreciation4 | Unrealized Depreciation4 | Variation Margin Due from (Due to) Brokers | |||||||
Protection SoldMoody's Ratings (continued): | ||||||||||||||
CITI Republic of Colombia 10.375% 1/28/33 /Baa2 12/20/24-Quarterly | 200,000 | 1.000% | $(1,869) | $627 | $— | $(2,496) | $— | |||||||
DB CMBX.NA.AAA8 10/17/57-Monthly | 14,200,000 | 0.500% | 117,735 | (852,608) | 970,343 | — | — | |||||||
GSC Republic of Brazil 4.25% 1/7/25 /Ba2 6/20/22-Quarterly | 500,000 | 1.000% | (3,163) | (11,158) | 7,995 | — | — | |||||||
GSC Republic of Colombia 10.375% 1/28/33 Baa2 6/20/21-Quarterly | 3,300,000 | 1.000% | 13,713 | (14,119) | 27,832 | — | — | |||||||
JPMCB Republic of Colombia 10.375% 1/28/33 Baa2 6/20/21-Quarterly | 100,000 | 1.000% | 415 | (476) | 891 | — | — | |||||||
JPMCB South Africa 5.50% 3/9/20 Baa3 12/20/23-Quarterly | 700,000 | 1.000% | (34,675) | (21,771) | — | (12,904) | — | |||||||
153,648 | (675,883) | 1,014,019 | (184,488) | — | ||||||||||
Total CDS Contracts | $1,129,525 | $215,939 | $1,425,707 | $(512,121) | $5,267 |
IRS Contracts9 | ||||||||||||||
Reference Obligation/ Termination Date/ Payment Frequency (Fixed Rate/Floating Rate) | Notional Amount3 | Fixed/Floating Interest Rate Paid (Received) | Value | Upfront Payments Paid (Received) | Unrealized Appreciation4 | Unrealized Depreciation4 | Variation Margin Due from (Due to Brokers) | |||||||
Centrally Cleared: | ||||||||||||||
2 yr IRS10 6/28/21-(Semiannually/ Quarterly) | 30,100,000 | 1.45%/(0.233)% | $(274,206) | $— | $— | $(274,206) | $110 | |||||||
2 yr IRS11 3/3/22-(Semiannually/ Quarterly) | CAD 8,800,000 | (1.27)%/0.505% | 71,269 | — | 71,269 | — | 275 | |||||||
2 yr IRS11 3/3/22-(Semiannually/ Quarterly) | CAD 2,400,000 | (1.273)%/0.505% | 19,501 | — | 19,501 | — | 75 | |||||||
2 yr IRS11 6/17/22-(Semiannually/ Quarterly) | CAD 4,000,000 | (1.50)%/0.505% | 50,539 | 13,269 | 37,270 | — | 169 |
IRS Contracts9 | ||||||||||||||
Reference Obligation/ Termination Date/ Payment Frequency (Fixed Rate/Floating Rate) | Notional Amount3 | Fixed/Floating Interest Rate Paid (Received) | Value | Upfront Payments Paid (Received) | Unrealized Appreciation4 | Unrealized Depreciation4 | Variation Margin Due from (Due to Brokers) | |||||||
Centrally Cleared (continued): | ||||||||||||||
3 yr IRS10 6/20/21-(Semiannually/ Quarterly) | 17,800,000 | 1.75%/(0.246)% | $(196,719) | $110,850 | $— | $(307,569) | $272 | |||||||
30 yr IRS10 2/12/45- (Semiannually/ Quarterly) | 600,000 | 2.00%/(0.270)% | (126,423) | (10,627) | — | (115,796) | 5,395 | |||||||
5 yr IRS11 3/3/25-(Semiannually/ Quarterly) | CAD 800,000 | (1.29)%/0.505% | 15,212 | — | 15,212 | — | (234) | |||||||
5 yr IRS11 3/3/25-(Semiannually/ Quarterly) | CAD 2,600,000 | (1.275)%/0.505% | 48,150 | — | 48,150 | — | (769) | |||||||
5 yr IRS11 3/3/25-(Semiannually/ Quarterly) | CAD 1,600,000 | (1.276)%/0.505% | 29,684 | — | 29,684 | — | (473) | |||||||
5 yr IRS11 3/3/25-(Semiannually/ Quarterly) | CAD 2,900,000 | (1.22)%/0.505% | 48,432 | — | 48,432 | — | (886) | |||||||
5 yr IRS11 3/4/25-(Semiannually/ Quarterly) | CAD 20,500,000 | (1.235)%/0.505% | 352,534 | 8,536 | 343,998 | — | (6,207) | |||||||
5 yr IRS12 9/16/25-(Semiannually/ Semiannually) | GBP 15,800,000 | 0.50%/(0.054)% | (530,024) | (2,917) | — | (527,107) | 20,487 | |||||||
5 yr IRS13 12/16/25- (Annually/ Annually) | GBP 28,400,000 | 0.50%/(0.054)% | (941,125) | (700,272) | — | (240,853) | 52,266 | |||||||
7 yr IRS10 12/16/22- (Semiannually/ Quarterly) | 41,600,000 | 2.25%/(2.41)% | (1,873,247) | 352,353 | — | (2,225,600) | (1,965) | |||||||
Total IRS Contracts | $(3,306,423) | $(228,808) | $613,516 | $(3,691,131) | $68,515 |
1 | See Note 5 in “Notes to financial statements.” |
2 | A CDS contract is a risk-transfer instrument through which one party (purchaser of protection) transfers to another party (seller of protection) the financial risk of a credit event (as defined in the CDS agreement), as it relates to a particular reference security or basket of securities (such as an index). Periodic payments (receipts) on such contracts are accrued daily and recorded as unrealized losses (gains) on swap contracts. Upon payment (receipt), such amounts are recorded as realized losses (gains) on swap contracts. Upfront payments made or received in connection with CDS contracts are amortized over the expected life of the CDS contracts as unrealized losses (gains) on swap contracts. The change in value of CDS contracts is recorded daily as unrealized appreciation or depreciation. A realized gain or loss is recorded upon a credit event (as defined in the CDS agreement) or the maturity or termination of the CDS agreement. |
3 | Notional amount shown is stated in USD unless noted that the swap is denominated in another currency. |
4 | Unrealized appreciation (depreciation) does not include periodic interest payments (receipt) on swap contracts accrued daily in the amount of $(15,482). |
5 | Markit’s iTraxx Europe Subordinated Financials Index, or the ITRX EUR SUB FIN, is comprised of 25 Financial entities from the Markit iTraxx® Europe Index referencing subordinated debt. |
6 | Markit’s North America High Yield CDX Index, or the CDX.NA.HY Index, is composed of 100 liquid North American entities with high yield credit ratings that trade is in the CDS market. |
7 | Markit’s North America Investment Grade Index, or the CDX.NA.IG Index, is composed of 125 liquid North American entities with investment grade credit ratings that trade in the CDS market. |
8 | Markit’s CMBX Index, or the CMBX.NA Index, is a synthetic tradable index referencing a basket of 25 commercial mortgage-backed securities in North America. Credit-quality rating are measured on a scale that generally ranges from AAA (highest) to BB (lowest). US Agency and US Agency mortgage-backed securities appear under US Government. |
9 | An IRS agreement is an exchange of interest rates between counterparties. Periodic payments (receipt) on such contracts are accrued daily and recorded as unrealized appreciation (depreciation) on swap contracts. Upon periodic payment (receipt) or termination of the contract, such amounts are recorded as realized gains (losses) on swap contracts. |
10 | Rate resets based on LIBOR03M. |
11 | Rate resets based on CAD0003M. |
12 | Rate resets based on BP0006M. |
13 | Rate resets based on BP0012M. |
Summary of abbreviations: |
ABS – Asset-Backed Security |
ARM – Adjustable Rate Mortgage |
BAML – Bank of America Merrill Lynch |
BB – Barclays Bank |
BNP – BNP Paribas |
BP0003M – 3 Month Sterling LIBOR Interest Rate |
BP0006M – 6 Month Sterling LIBOR Interest Rate |
BP0012M – 12 Month Sterling LIBOR Interest Rate |
BTP – Buoni del Tesoro Poliennali |
CAD0003M – Canadian Dollar 3 Month LIBOR Interest Rate |
CD – Certificate of Deposit |
CDS – Credit Default Swap |
CDX.ITRX.EUR – Credit Default Swap Index iTraxx Europe |
CDX.NA.HY – Credit Default Swap Index North America High Yield |
CDX.NA.IG – Credit Default Swap Index North America Investment Grade |
CITI – Citigroup |
CLO – Collateralized Loan Obligation |
CMBX.NA – Commercial Mortgage-Backed Index North America |
COF 11 – Cost of Funds for the 11th District of San Francisco |
DAC – Designated Activity Company |
DB – Deutsche Bank AG |
DIP – Debtor in Possession |
EUR003M – EURIBOR EUR 3 Month |
EURIBOR – Euro Interbank Offered Rate |
FREMF – Freddie Mac Multifamily |
GNMA – Government National Mortgage Association |
GS – Goldman Sachs |
GSC – Goldman Sachs Bank USA |
H15T1Y – US Treasury Yield Curve Rate T Note Constant Maturity 1 Year |
ICE – Intercontinental Exchange, Inc. |
IRS – Interest Rate Swap |
JPM – JPMorgan |
JPMCB – JPMorgan Chase Bank |
JSC – Joint Stock Company |
LB – Lehman Brothers |
LIBOR – London interbank offered rate |
LIBOR01M – ICE LIBOR USD 1 Month |
Summary of abbreviations: (continued) |
LIBOR03M – ICE LIBOR USD 3 Month |
LIBOR06M – ICE LIBOR USD 6 Month |
LIBOR12M – ICE LIBOR USD 12 Month |
MASTR – Mortgage Asset Securitization Transactions, Inc. |
PIK – Payment-in-kind |
REMIC – Real Estate Mortgage Investment Conduit |
S.F. – Single Family |
TBA – To be announced |
TBD – To be determined |
yr – Year |
Summary of currencies: |
CAD – Canadian Dollar |
EUR – European Monetary Unit |
GBP – British Pound Sterling |
INR – Indian Rupee |
JPY – Japanese Yen |
KRW – South Korean Won |
USD – US Dollar |
Number of shares | Value (US $) | ||
Common Stock – 98.00%Δ | |||
Australia − 4.10% | |||
Adairs | 15,560 | $36,727 | |
BlueScope Steel | 51,139 | 471,185 | |
Fortescue Metals Group | 408,115 | 4,794,547 | |
Kogan.com | 14,989 | 218,828 | |
Mineral Resources | 32,509 | 586,346 | |
Newcrest Mining | 103,321 | 2,342,900 | |
Rio Tinto | 40,011 | 2,732,808 | |
Rio Tinto (London Stock Exchange) | 12,480 | 750,953 | |
Rio Tinto ADR * | 118,987 | 7,185,625 | |
South32 | 1,392,250 | 2,066,178 | |
Vita Group | 36,979 | 27,216 | |
21,213,313 | |||
Austria − 1.58% | |||
Erste Group Bank † | 172,134 | 3,604,556 | |
Raiffeisen Bank International † | 37,374 | 572,046 | |
Vienna Insurance Group AG Wiener Versicherung Gruppe | 1,215 | 27,037 | |
voestalpine * | 150,287 | 3,960,945 | |
Zumtobel Group | 4,993 | 32,063 | |
8,196,647 | |||
Belgium − 0.61% | |||
bpost | 10,058 | 88,074 | |
Galapagos † | 8,641 | 1,225,033 | |
UCB | 16,121 | 1,830,922 | |
3,144,029 | |||
Brazil − 3.13% | |||
Ambev | 2,069,000 | 4,634,701 | |
Banco Bradesco ADR | 1,295,261 | 4,442,745 | |
BRF † | 209,900 | 686,971 | |
CSU Cardsystem | 23,400 | 56,751 | |
Direcional Engenharia | 24,000 | 57,480 | |
Marfrig Global Foods † | 307,100 | 836,119 | |
Petroleo Brasileiro ADR | 488,548 | 3,478,462 | |
Porto Seguro | 23,300 | 199,854 | |
Sul America | 228,800 | 1,608,066 | |
Transmissora Alianca de Energia Eletrica | 40,500 | 202,215 | |
16,203,364 | |||
Canada − 2.44% | |||
Celestica † | 3,400 | 23,491 | |
DREAM Unlimited Class A | 5,150 | 75,226 | |
Hardwoods Distribution | 3,400 | 61,844 |
Number of shares | Value (US $) | ||
Common StockΔ (continued) | |||
Canada (continued) | |||
Magna International | 98,133 | $4,490,439 | |
Manulife Financial | 132,600 | 1,844,281 | |
Quebecor Class B | 1,626 | 40,676 | |
Restaurant Brands International | 102,659 | 5,903,919 | |
Sun Life Financial | 2,900 | 118,174 | |
Transcontinental | 3,700 | 45,682 | |
12,603,732 | |||
Chile − 0.55% | |||
Sociedad Quimica y Minera de Chile ADR | 88,445 | 2,867,387 | |
2,867,387 | |||
China/Hong Kong − 12.19% | |||
Anhui Conch Cement Class H | 607,000 | 4,204,258 | |
Asia Cement China Holdings | 393,862 | 349,076 | |
Baidu ADR † | 50,781 | 6,428,367 | |
Build King Holdings | 210,000 | 22,089 | |
BYD Class H * | 444,500 | 7,168,107 | |
China Construction Bank Class H | 1,340,000 | 870,695 | |
China Life Insurance Class H | 1,742,000 | 3,949,073 | |
China Mobile | 56,000 | 359,480 | |
China National Chemical Engineering Class A | 2,238,084 | 1,776,706 | |
China Oilfield Services Class H | 6,606,000 | 4,623,504 | |
China United Network Communications Class A | 1,887,200 | 1,349,414 | |
CITIC | 197,703 | 146,592 | |
Country Garden Services Holdings | 397,000 | 2,578,308 | |
Greenland Holdings Class A | 1,941,000 | 1,826,157 | |
Hangzhou Binjiang Real Estate Group Class A | 1,278,914 | 898,995 | |
Hengan International Group | 81,500 | 596,586 | |
Hi Sun Technology China † | 303,000 | 33,470 | |
Industrial & Commercial Bank of China Class H | 5,100,000 | 2,656,568 | |
JD.com ADR † | 24,733 | 1,919,528 | |
Leju Holdings ADR † | 10,086 | 19,920 | |
Lenovo Group | 1,262,000 | 834,388 |
Number of shares | Value (US $) | ||
Common StockΔ (continued) | |||
China/Hong Kong (continued) | |||
NetEase ADR | 8,526 | $3,876,516 | |
PAX Global Technology | 113,000 | 68,091 | |
Poly Property Group | 92,504 | 25,911 | |
RiseSun Real Estate Development Class A | 57,900 | 65,131 | |
SGIS Songshan Class A | 810,800 | 496,640 | |
Shanghai Fosun Pharmaceutical Group Class H | 1,098,000 | 4,596,570 | |
Shanghai Shimao Class A | 212,478 | 192,953 | |
Shanxi Taigang Stainless Steel Class A | 1,338,300 | 723,722 | |
Sinopec Engineering Group Class H | 34,001 | 12,568 | |
Sinopharm Group Class H | 1,084,400 | 2,291,557 | |
Sinotruk Hong Kong | 545,375 | 1,405,523 | |
Tencent Holdings | 12,200 | 824,029 | |
TravelSky Technology Class H | 1,720,000 | 3,696,854 | |
Wuhu Sanqi Interactive Entertainment Network Technology Group Class A | 78,936 | 462,284 | |
XCMG Construction Machinery Class A | 1,030,900 | 843,172 | |
Xinyu Iron & Steel Class A | 1,486,800 | 881,141 | |
Yuexiu Property | 128,000 | 25,127 | |
63,099,070 | |||
Colombia − 1.40% | |||
Bancolombia ADR | 143,874 | 3,675,981 | |
Ecopetrol | 7,191,203 | 3,560,838 | |
7,236,819 | |||
Denmark − 1.71% | |||
AP Moller - Maersk Class B | 1,173 | 1,854,374 | |
Coloplast Class B | 1,174 | 186,066 | |
H. Lundbeck | 58,025 | 1,911,128 | |
Novo Nordisk Class B | 70,998 | 4,919,067 | |
8,870,635 | |||
Finland − 0.54% | |||
Kojamo | 696 | 14,948 | |
Kone Class B | 26,433 | 2,320,910 | |
Nokia ADR † | 61,992 | 242,389 | |
Orion Class A | 3,147 | 142,961 |
Number of shares | Value (US $) | ||
Common StockΔ (continued) | |||
Finland (continued) | |||
Suominen | 4,922 | $28,686 | |
Tikkurila | 1,949 | 34,091 | |
2,783,985 | |||
France − 3.46% | |||
Capgemini | 40,427 | 5,186,598 | |
Ipsen | 7,085 | 740,622 | |
IPSOS | 23,199 | 579,977 | |
Peugeot † | 179,836 | 3,261,229 | |
Safran † | 47,946 | 4,717,270 | |
Sodexo | 46,543 | 3,317,762 | |
Virbac † | 331 | 76,685 | |
17,880,143 | |||
Germany − 5.15% | |||
Bayer | 37,032 | 2,284,642 | |
Continental | 50,592 | 5,482,570 | |
Covestro | 75,109 | 3,724,659 | |
Fresenius & Co. | 2,320 | 105,500 | |
HelloFresh † | 11,671 | 648,603 | |
Hornbach Baumarkt | 1,211 | 64,319 | |
Merck | 42,285 | 6,164,831 | |
MTU Aero Engines | 20,965 | 3,475,384 | |
Vonovia | 68,911 | 4,724,055 | |
26,674,563 | |||
Greece − 0.01% | |||
Hellenic Telecommunications Organization | 4,529 | 65,228 | |
65,228 | |||
Hungary − 0.24% | |||
OTP Bank † | 41,118 | 1,237,600 | |
1,237,600 | |||
India − 1.90% | |||
Ganesha Ecosphere | 3,262 | 11,416 | |
HDFC Bank ADR † | 108,449 | 5,418,112 | |
ICICI Bank ADR † | 442,330 | 4,348,104 | |
ION Exchange India | 2,721 | 26,909 | |
Wipro | 5,923 | 25,206 | |
9,829,747 | |||
Ireland − 2.09% | |||
ICON † | 56,459 | 10,788,750 | |
10,788,750 | |||
Israel − 2.61% | |||
Bank Hapoalim | 353,784 | 1,890,253 | |
Bank Leumi Le-Israel | 324,981 | 1,430,686 |
Number of shares | Value (US $) | ||
Common StockΔ (continued) | |||
Israel (continued) | |||
Check Point Software Technologies † | 64,043 | $7,706,935 | |
Fiverr International † | 9,509 | 1,321,561 | |
Isracard | 7 | 17 | |
Nice ADR † | 4,806 | 1,091,106 | |
Plus500 | 4,047 | 81,807 | |
13,522,365 | |||
Italy − 2.11% | |||
Banca Mediolanum | 33,210 | 239,120 | |
De' Longhi † | 1,991 | 68,077 | |
Esprinet † | 79,089 | 699,992 | |
Leonardo * | 673,168 | 3,931,737 | |
Prysmian | 205,361 | 5,961,152 | |
10,900,078 | |||
Japan − 8.30% | |||
A&A Material | 1,800 | 18,360 | |
Capcom | 1,900 | 106,036 | |
Denso | 135,900 | 5,956,734 | |
Fujitsu | 32,200 | 4,399,089 | |
Hino Motors | 17,100 | 110,957 | |
Hitachi | 177,100 | 5,996,510 | |
Japan Post Holdings | 56,200 | 383,231 | |
KDDI | 126,500 | 3,181,672 | |
Mixi | 73,700 | 1,987,123 | |
Nexon | 36,600 | 912,942 | |
Nintendo | 8,000 | 4,533,530 | |
Nippon Telegraph & Telephone | 181,700 | 3,709,711 | |
NTT DOCOMO | 137,800 | 5,063,616 | |
Persol Holdings | 7,400 | 120,873 | |
Secom | 49,100 | 4,493,412 | |
T-Gaia | 30,550 | 574,942 | |
Tokyo Electric Power Co. Holdings † | 402,100 | 1,105,843 | |
ZOZO | 9,900 | 276,256 | |
42,930,837 | |||
Luxembourg − 1.17% | |||
Eurofins Scientific † | 7,641 | 6,052,948 | |
6,052,948 | |||
Malaysia − 0.04% | |||
AMMB Holdings | 218,200 | 157,948 | |
Lii Hen Industries | 26,800 | 21,217 | |
Magni-Tech Industries | 48,000 | 27,153 | |
206,318 |
Number of shares | Value (US $) | ||
Common StockΔ (continued) | |||
Malta − 0.12% | |||
Kindred Group SDR | 86,361 | $625,291 | |
625,291 | |||
Mexico − 0.99% | |||
Alpek | 416,641 | 291,497 | |
Cemex ADR | 33,810 | 128,478 | |
Credito Real † | 75,575 | 37,460 | |
Gentera † | 98,883 | 27,905 | |
Gruma Class B | 10,908 | 120,715 | |
Grupo Financiero Banorte Class O † | 1,231,036 | 4,252,938 | |
Grupo Financiero Inbursa Class O † | 170,518 | 131,794 | |
Orbia Advance | 82,643 | 144,195 | |
5,134,982 | |||
Netherlands − 5.64% | |||
ASM International | 5,755 | 824,939 | |
ASML Holding | 10,967 | 4,050,915 | |
Brunel International † | 4,916 | 37,234 | |
EXOR | 18,476 | 1,002,928 | |
Heineken | 45,784 | 4,076,003 | |
Hunter Douglas † | 146 | 8,509 | |
Koninklijke Ahold Delhaize | 174,969 | 5,171,722 | |
Koninklijke Philips † | 85,886 | 4,055,463 | |
NN Group | 20,472 | 767,368 | |
Randstad † | 3,665 | 191,113 | |
Royal Dutch Shell Class A | 451,287 | 5,690,355 | |
Wolters Kluwer | 39,016 | 3,328,161 | |
29,204,710 | |||
New Zealand − 0.64% | |||
a2 Milk † | 107,437 | 1,085,097 | |
Fisher & Paykel Healthcare | 85,288 | 1,882,352 | |
Fisher & Paykel Healthcare (Australian Securities Exchange) | 15,629 | 341,728 | |
3,309,177 | |||
Norway − 2.92% | |||
DNB † | 391,152 | 5,448,990 | |
Equinor ADR * | 451,099 | 6,342,452 | |
Norsk Hydro † | 1,204,328 | 3,324,218 | |
15,115,660 | |||
Philippines − 0.02% | |||
First Philippine Holdings | 18,950 | 23,844 | |
Ginebra San Miguel | 36,090 | 37,305 | |
LT Group | 174,300 | 32,478 | |
93,627 |
Number of shares | Value (US $) | ||
Common StockΔ (continued) | |||
Poland − 0.11% | |||
Asseco Poland | 20,652 | $371,291 | |
Jastrzebska Spolka Weglowa † | 1,900 | 12,664 | |
LiveChat Software | 3,734 | 87,738 | |
TEN Square Games | 741 | 110,244 | |
581,937 | |||
Republic of Korea − 5.20% | |||
BNK Financial Group | 30,687 | 132,775 | |
Com2uSCorp | 1,354 | 132,545 | |
Daelim Industrial | 9,638 | 637,008 | |
DB HiTek | 34,374 | 1,101,284 | |
Hana Financial Group | 3,806 | 91,432 | |
Handsome | 3,352 | 86,455 | |
Hansae Yes24 Holdings | 7,774 | 36,881 | |
Hanwha Aerospace † | 2,216 | 47,977 | |
Hanwha Systems | 3,184 | 30,961 | |
Hyundai Engineering & Construction | 2,551 | 66,220 | |
JB Financial Group | 37,570 | 144,802 | |
Kia Motors | 69,333 | 2,780,388 | |
KT ADR | 213,894 | 2,055,521 | |
LG Electronics | 48,487 | 3,798,130 | |
LG Uplus | 43,138 | 423,816 | |
LOTTE Himart | 1,410 | 36,420 | |
Samsung Electronics | 229,009 | 11,368,960 | |
Samsung Securities | 25,793 | 674,020 | |
SK Hynix | 45,825 | 3,284,862 | |
26,930,457 | |||
Russia − 0.02% | |||
Evraz | 20,349 | 90,612 | |
90,612 | |||
Singapore − 1.04% | |||
DBS Group Holdings | 303,600 | 4,463,331 | |
IGG | 192,000 | 220,547 | |
Jardine Cycle & Carriage | 30,051 | 398,885 | |
United Industrial | 191,100 | 292,546 | |
5,375,309 | |||
South Africa − 0.03% | |||
AECI | 18,805 | 86,178 | |
Ninety One † | 16,741 | 44,116 | |
Telkom | 21,065 | 32,950 | |
163,244 |
Number of shares | Value (US $) | ||
Common StockΔ (continued) | |||
Spain − 1.39% | |||
Amadeus IT Group | 127,065 | $7,056,687 | |
Cia de Distribucion Integral Logista Holdings | 6,671 | 113,872 | |
7,170,559 | |||
Sweden − 2.99% | |||
Betsson † | 47,340 | 362,882 | |
Byggmax Group † | 25,014 | 147,299 | |
Electrolux Class B | 88,611 | 2,065,600 | |
Epiroc Class A | 30,577 | 442,946 | |
Essity Class B † | 36,538 | 1,233,569 | |
Getinge Class B | 50,752 | 1,104,306 | |
Husqvarna Class B | 168,836 | 1,856,550 | |
Kinnevik Class B | 32,125 | 1,303,901 | |
Paradox Interactive | 1,056 | 35,803 | |
SKF Class B | 16,818 | 346,965 | |
Swedish Match | 37,416 | 3,059,384 | |
Telefonaktiebolaget LM Ericsson ADR | 40,891 | 445,303 | |
Volvo Class B † | 160,455 | 3,082,318 | |
15,486,826 | |||
Switzerland − 5.29% | |||
Credit Suisse Group | 33,009 | 329,519 | |
Credit Suisse Group ADR | 330,909 | 3,299,163 | |
Novartis | 67,012 | 5,818,271 | |
Novartis ADR | 60,091 | 5,225,513 | |
Roche Holding | 35,519 | 12,166,697 | |
Zehnder Group | 11,237 | 543,488 | |
27,382,651 | |||
Taiwan − 6.77% | |||
Acer | 308,000 | 265,386 | |
ASE Technology Holding | 1,805,671 | 3,717,661 | |
Asustek Computer | 75,000 | 659,867 | |
Cathay Financial Holding | 439,000 | 587,704 | |
Chia Chang | 131,000 | 170,264 | |
China Life Insurance | 242,000 | 167,050 | |
Elan Microelectronics | 47,500 | 240,524 | |
Everlight Electronics | 45,000 | 57,984 | |
Gamania Digital Entertainment | 21,000 | 45,655 | |
General Interface Solution Holding | 106,000 | 460,152 | |
Gigabyte Technology | 208,000 | 546,085 | |
Hon Hai Precision Industry | 2,553,200 | 6,864,308 | |
Kinsus Interconnect Technology | 270,000 | 621,121 | |
Lite-On Technology | 594,000 | 951,410 |
Number of shares | Value (US $) | ||
Common StockΔ (continued) | |||
Taiwan (continued) | |||
Novatek Microelectronics | 166,000 | $1,531,226 | |
Parade Technologies | 9,000 | 329,040 | |
Pegatron | 530,000 | 1,176,817 | |
Pou Chen | 175,000 | 158,949 | |
Quanta Computer | 163,000 | 428,030 | |
Radiant Opto-Electronics | 405,000 | 1,553,244 | |
Realtek Semiconductor | 118,000 | 1,512,564 | |
Sea ADR † | 276 | 42,515 | |
Simplo Technology | 27,000 | 280,357 | |
Sitronix Technology | 5,000 | 22,754 | |
Synnex Technology International | 403,000 | 577,473 | |
Taiwan Semiconductor Manufacturing | 563,000 | 8,469,816 | |
Tripod Technology | 199,000 | 762,770 | |
United Microelectronics | 105,000 | 103,570 | |
Wistron | 2,389,000 | 2,477,562 | |
Yuanta Financial Holding | 366,080 | 226,653 | |
35,008,511 | |||
Thailand − 0.07% | |||
Krung Thai Bank NVDR | 1,077,430 | 301,645 | |
Workpoint Entertainment NVDR | 142,600 | 48,417 | |
350,062 | |||
Turkey − 0.44% | |||
Akbank T.A.S. † | 94,566 | 62,293 | |
Arcelik † | 361,106 | 1,158,810 | |
Dogan Sirketler Grubu Holding | 1,241,079 | 379,819 | |
Dogus Otomotiv Servis ve Ticaret | 68,061 | 136,245 | |
Haci Omer Sabanci Holding | 178,561 | 191,832 | |
Koza Altin Isletmeleri † | 2,453 | 24,806 | |
Ulker Biskuvi Sanayi † | 10,437 | 30,676 | |
Vestel Elektronik Sanayi ve Ticaret † | 137,627 | 308,623 | |
2,293,104 | |||
Ukraine − 0.34% | |||
Ferrexpo | 781,368 | 1,779,367 | |
1,779,367 | |||
United Kingdom − 5.33% | |||
BAE Systems | 674,390 | 4,188,308 | |
Barclays † | 4,002,373 | 5,049,232 | |
Bloomsbury Publishing | 7,979 | 20,488 | |
Diageo | 157,408 | 5,406,763 |
Number of shares | Value (US $) | ||
Common StockΔ (continued) | |||
United Kingdom (continued) | |||
Dialog Semiconductor † | 866 | $37,744 | |
Dignity † | 11,611 | 64,049 | |
Dixons Carphone | 103,418 | 124,545 | |
GVC Holdings † | 439,879 | 5,509,150 | |
Indivior † | 339,509 | 512,560 | |
Just Group † | 116,103 | 67,365 | |
Kingfisher | 72,669 | 278,351 | |
Legal & General Group | 497,760 | 1,214,268 | |
M&G | 567,850 | 1,167,176 | |
Mission Group | 18,617 | 14,534 | |
Ninety One † | 13,874 | 36,379 | |
Pan African Resources | 50,490 | 14,624 | |
RELX | 174,983 | 3,895,513 | |
27,601,049 | |||
United States − 3.28% | |||
Atlassian Class A † | 17,249 | 3,135,696 | |
BRP | 12,900 | 681,548 | |
Carnival * | 327,063 | 4,964,816 | |
Core Laboratories | 172,734 | 2,635,921 | |
Everest Re Group | 20,098 | 3,970,159 | |
Ferguson | 3,258 | 327,854 | |
Jasper Infotech =, †, π | 1,420 | 296,618 | |
Jasper Infotech Series G =, †, π | 470 | 98,176 | |
JBS | 228,000 | 839,994 | |
Viemed Healthcare † | 2,500 | 21,685 | |
16,972,467 | |||
Zambia − 0.04% | |||
First Quantum Minerals | 20,500 | 182,746 | |
182,746 | |||
Total Common Stock (cost $496,071,874) | 507,159,906 | ||
Preferred Stocks – 0.08%Δ | |||
Brazil − 0.07% | |||
Taurus Armas † | 57,800 | 82,132 | |
Telefonica Brasil 7.41% | 34,400 | 266,703 | |
348,835 | |||
Germany − 0.01% | |||
Jungheinrich 1.31% | 2,390 | 82,282 | |
82,282 | |||
Total Preferred Stocks (cost $483,643) | 431,117 | ||
Number of shares | Value (US $) | ||
Short-Term Investments – 1.60% | |||
Money Market Mutual Funds – 1.60% | |||
BlackRock FedFund – Institutional Shares (seven-day effective yield 0.00%) | 2,065,083 | $2,065,083 | |
Fidelity Investments Money Market Government Portfolio – Class I (seven-day effective yield 0.01%) | 2,065,083 | 2,065,083 | |
GS Financial Square Government Fund – Institutional Shares (seven-day effective yield 0.00%) | 2,065,083 | 2,065,083 | |
Morgan Stanley Government Portfolio – Institutional Share Class (seven-day effective yield 0.00%) | 2,065,083 | 2,065,083 | |
Total Short-Term Investments (cost $8,260,332) | 8,260,332 | ||
Total Value of Securities Before Securities Lending Collateral−99.68% (cost $504,815,849) | 515,851,355 |
Principal amount° | |||
Securities Lending Collateral** – 3.21% | |||
Certificates of Deposit − 0.29% | |||
National Australia Bank (London) 0.09% 10/01/20 | 749,000 | 749,000 | |
Royal Bank of Canada (Toronto) 0.07% 10/01/20 | 749,000 | 749,000 | |
Repurchase Agreements − 2.92% | |||
Bank of Nova Scotia 0.06%, dated 9/30/20, to be repurchased on 10/1/20, repurchase price $3,522,098 (collateralized by US government obligations 0.00%−8.00% 12/17/20 −11/15/24; market value $3,592,543) | 3,522,092 | 3,522,092 |
Principal amount° | Value (US $) | ||
Securities Lending Collateral** (continued) | |||
Repurchase Agreements (continued) | |||
BofA Securities 0.06%, dated 9/30/20, to be repurchased on 10/1/20, repurchase price $3,872,206 (collateralized by US government obligations 2.25% 12/31/24; market value $3,949,655) | 3,872,200 | $3,872,200 | |
Credit Agricole 0.06%, dated 9/30/20, to be repurchased on 10/1/20, repurchase price $3,872,206 (collateralized by US government obligations 2.375% 8/15/24; market value $3,949,655) | 3,872,200 | 3,872,200 | |
JP Morgan Securities 0.06%, dated 9/30/20, to be repurchased on 10/1/20, repurchase price $3,872,206 (collateralized by US government obligations 0.00%−0.125% 2/15/22 -1/15/23; market value $3,949,644) | 3,872,200 | 3,872,200 | |
Total Securities Lending Collateral (cost $16,636,692) | 16,636,692 | ||
Total Value of Securities−102.89% (cost $521,452,541) | $532,488,047■ |
Δ | Securities have been classified by country of origin. Aggregate classification by business sector has been presented on page 4 in “Security type / country and sector allocations.” |
* | Fully or partially on loan. |
† | Non-income producing security. |
= | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the disclosure table located in Note 3 in “Notes to financial statements.” |
π | Restricted security. These investments are in securities not registered under the Securities Act of 1933, as amended, and have certain restrictions on resale which may limit their liquidity. At September 30, 2020, the aggregate value of restricted securities was $394,794, which represented 0.08% of the Fund’s net assets. The Fund has various registration rights (exercisable under a variety of circumstances) with respect to these securities. See Note 8 in “Notes to financial statements” and the following table for additional details on restricted securities. |
° | Principal amount shown is stated in USD unless noted that the security is denominated in another currency. |
** | See Note 7 in “Notes to financial statements” for additional information on securities lending collateral and non-cash collateral. |
■ | Includes $12,903,914 of securities loaned for which the counterparty pledged additional non-cash collateral valued at $10,246,023. |
Restricted Securities | ||||||
Investments | Date of Acquisition | Cost | Value | |||
Jasper Infotech | 5/7/14 | $999,482 | $296,618 | |||
Jasper Infotech Series G | 10/29/14 | 396,443 | 98,176 | |||
Total | $1,395,925 | $394,794 |
Foreign Currency Exchange Contracts | ||||||||||||
Counterparty | Currency to Receive (Deliver) | In Exchange For | Settlement Date | Unrealized Appreciation | Unrealized Depreciation | |||||||
BBH | EUR | 490,275 | USD | (575,448) | 10/1/20 | $— | $(613) | |||||
BBH | EUR | 913,085 | USD | (1,070,994) | 10/2/20 | — | (403) | |||||
BBH | ILS | (1,062,747) | USD | 308,569 | 10/1/20 | — | (1,661) | |||||
BBH | SGD | (626) | USD | 457 | 10/1/20 | — | (2) | |||||
BBH | SGD | (837) | USD | 613 | 10/2/20 | — | — | |||||
BNYM | AUD | (107,278) | USD | 76,457 | 10/1/20 | — | (381) | |||||
BNYM | ILS | (254,671) | USD | 74,302 | 10/2/20 | — | (40) | |||||
BNYM | TWD | (394,351) | USD | 13,603 | 10/5/20 | — | (25) | |||||
Total Foreign Currency Exchange Contracts | $— | $(3,125) |
Summary of abbreviations: |
ADR – American Depositary Receipt |
AG – Aktiengesellschaft |
BBH – Brown Brothers Harriman & Co. |
BNYM – Bank of New York Mellon |
GS – Goldman Sachs |
NVDR – Non-Voting Depositary Receipt |
SDR – Special Drawing Right |
Summary of currencies: |
AUD – Australian Dollar |
EUR – European Monetary Unit |
ILS – Israel Shekel |
Summary of currencies: (continued) |
SGD – Singapore Dollar |
TWD – Taiwan New Dollar |
USD – US Dollar |
Number of shares | Value (US $) | ||
Common Stock — 99.29%♦ | |||
Communication Services — 13.44% | |||
Activision Blizzard | 21,600 | $1,748,520 | |
Alphabet Class A † | 19,250 | 28,212,800 | |
Alphabet Class C † | 16,410 | 24,116,136 | |
Comcast Class A | 391,720 | 18,120,967 | |
Facebook Class A † | 421,975 | 110,515,253 | |
Match Group † | 68,865 | 7,619,912 | |
Netflix † | 46,824 | 23,413,405 | |
Sea ADR † | 77,993 | 12,014,042 | |
Snap Class A † | 434,804 | 11,352,732 | |
Spotify Technology † | 29,385 | 7,127,919 | |
Tencent Holdings | 126,800 | 8,564,502 | |
Walt Disney | 114,760 | 14,239,421 | |
267,045,609 | |||
Consumer Discretionary — 20.96% | |||
Advance Auto Parts | 90,050 | 13,822,675 | |
Alibaba Group Holding ADR † | 186,741 | 54,898,119 | |
Amazon.com † | 65,468 | 206,141,056 | |
Aptiv | 174,477 | 15,996,051 | |
Booking Holdings † | 10,198 | 17,445,515 | |
CarMax † | 6,817 | 626,550 | |
Carvana † | 35,699 | 7,963,019 | |
Chipotle Mexican Grill † | 5,998 | 7,459,773 | |
DraftKings Class A † | 73,902 | 4,348,394 | |
Ferrari | 43,544 | 8,016,015 | |
Home Depot | 68,920 | 19,139,773 | |
Las Vegas Sands | 53,900 | 2,514,974 | |
Lululemon Athletica † | 24,550 | 8,086,034 | |
NIKE Class B | 78,700 | 9,879,998 | |
Ross Stores | 103,063 | 9,617,839 | |
Tesla † | 22,272 | 9,554,911 | |
Ulta Beauty † | 65,535 | 14,678,529 | |
Wynn Resorts | 78,408 | 5,630,478 | |
XPeng ADR † | 27,520 | 552,326 | |
416,372,029 | |||
Consumer Staples — 1.92% | |||
Anheuser-Busch InBev ADR | 146,860 | 7,912,817 | |
Costco Wholesale | 45,328 | 16,091,440 | |
Monster Beverage † | 177,090 | 14,202,618 | |
38,206,875 | |||
Financials — 1.64% | |||
American Express | 125,380 | 12,569,345 | |
Cboe Global Markets | 24,500 | 2,149,630 | |
Chubb | 42,098 | 4,888,420 | |
MSCI Class A | 5,637 | 2,011,169 |
Number of shares | Value (US $) | ||
Common Stock♦ (continued) | |||
Financials (continued) | |||
S&P Global | 18,702 | $6,743,941 | |
Tradeweb Markets Class A | 29,255 | 1,696,790 | |
XP Class A † | 62,412 | 2,601,956 | |
32,661,251 | |||
Healthcare — 12.14% | |||
Alcon † | 25,320 | 1,435,535 | |
Alcon (New York Stock Exchange) † | 191,520 | 10,907,064 | |
Alexion Pharmaceuticals † | 112,430 | 12,865,365 | |
Align Technology † | 3,458 | 1,132,011 | |
Amgen | 97,020 | 24,658,603 | |
Anthem | 27,568 | 7,404,489 | |
Argenx ADR † | 4,066 | 1,067,406 | |
BioMarin Pharmaceutical † | 108,410 | 8,247,833 | |
Centene † | 91,486 | 5,336,378 | |
Cigna | 59,188 | 10,027,039 | |
GoodRx Holdings Class A † | 5,440 | 302,464 | |
HCA Healthcare | 48,865 | 6,092,488 | |
Humana | 10,767 | 4,456,354 | |
Incyte † | 43,022 | 3,860,794 | |
Intuitive Surgical † | 21,203 | 15,044,377 | |
Stryker | 61,432 | 12,800,586 | |
Thermo Fisher Scientific | 64,050 | 28,279,356 | |
UnitedHealth Group | 162,354 | 50,617,107 | |
Vertex Pharmaceuticals † | 37,963 | 10,330,492 | |
Zoetis | 158,960 | 26,287,215 | |
241,152,956 | |||
Industrials — 8.41% | |||
CH Robinson Worldwide | 95,697 | 9,779,276 | |
Cintas | 22,627 | 7,530,944 | |
Cummins | 25,100 | 5,300,116 | |
Equifax | 16,420 | 2,576,298 | |
FedEx | 37,553 | 9,445,331 | |
Fortive | 89,559 | 6,825,291 | |
IHS Markit | 219,496 | 17,232,631 | |
JB Hunt Transport Services | 11,311 | 1,429,484 | |
Norfolk Southern | 13,700 | 2,931,663 | |
Parker-Hannifin | 25,000 | 5,058,500 | |
Raytheon Technologies | 206,990 | 11,910,205 | |
Roper Technologies | 25,466 | 10,061,871 | |
Teledyne Technologies † | 16,782 | 5,205,944 | |
TransUnion | 93,291 | 7,848,572 | |
Uber Technologies † | 359,095 | 13,099,786 | |
Union Pacific | 29,200 | 5,748,604 | |
United Parcel Service Class B | 164,150 | 27,352,315 |
Number of shares | Value (US $) | ||
Common Stock♦ (continued) | |||
Industrials (continued) | |||
Westinghouse Air Brake Technologies | 35,186 | $2,177,310 | |
WW Grainger | 43,620 | 15,562,307 | |
167,076,448 | |||
Information Technology — 39.01% | |||
Adobe † | 83,870 | 41,132,364 | |
Advanced Micro Devices † | 172,500 | 14,143,275 | |
Akamai Technologies † | 169,935 | 18,784,615 | |
Apple | 916,834 | 106,178,546 | |
ASML Holding | 29,603 | 10,931,500 | |
Avalara † | 26,447 | 3,367,761 | |
Crowdstrike Holdings Class A † | 23,768 | 3,263,822 | |
Datadog Class A † | 54,800 | 5,598,368 | |
Fidelity National Information Services | 215,864 | 31,777,339 | |
Fiserv † | 116,880 | 12,044,484 | |
Global Payments | 52,860 | 9,386,879 | |
Intuit | 45,195 | 14,743,061 | |
Marvell Technology Group | 164,575 | 6,533,627 | |
Mastercard Class A | 83,076 | 28,093,811 | |
Microsoft | 650,395 | 136,797,580 | |
Nutanix Class A † | 237,850 | 5,275,513 | |
NVIDIA | 76,670 | 41,495,337 | |
NXP Semiconductors | 69,130 | 8,628,115 | |
Palantir Technologies Class A † | 122,917 | 1,167,712 | |
Palo Alto Networks † | 57,150 | 13,987,462 | |
Paycom Software † | 17,473 | 5,439,345 | |
PayPal Holdings † | 88,963 | 17,528,380 | |
QUALCOMM | 196,320 | 23,102,938 | |
salesforce.com † | 226,493 | 56,922,221 | |
ServiceNow † | 25,164 | 12,204,540 | |
Shopify Class A † | 3,982 | 4,073,467 | |
Slack Technologies Class A † | 167,493 | 4,498,862 | |
Snowflake † | 3,658 | 918,158 | |
Splunk † | 147,880 | 27,820,664 | |
StoneCo Class A † | 46,566 | 2,462,876 | |
Taiwan Semiconductor Manufacturing | 62,100 | 5,034,447 | |
Temenos | 12,373 | 1,662,987 | |
Texas Instruments | 84,550 | 12,072,894 | |
Visa Class A | 345,591 | 69,107,832 | |
VMware Class A † | 94,020 | 13,507,853 |
Number of shares | Value (US $) | ||
Common Stock♦ (continued) | |||
Information Technology (continued) | |||
Wix.com † | 5,400 | $1,376,190 | |
Workday Class A † | 18,668 | 4,016,047 | |
775,080,872 | |||
Materials — 0.86% | |||
Ecolab | 67,510 | 13,491,198 | |
Linde | 15,300 | 3,643,389 | |
17,134,587 | |||
Real Estate — 0.91% | |||
Equinix | 23,750 | 18,053,088 | |
18,053,088 | |||
Total Common Stock (cost $1,172,394,674) | 1,972,783,715 | ||
Convertible Preferred Stock — 0.22% | |||
Airbnb Private Placement Series D =, †, π | 23,130 | 1,828,195 | |
Airbnb Private Placement Series E =, †, π | 13,611 | 1,075,814 | |
Magic Leap =, †, π | 43,435 | 100,044 | |
WeWork Companies Series E =, †, π | 20,913 | 0 | |
Xiaoju Kuaizhi =, †, π | 32,416 | 1,473,631 | |
Total Convertible Preferred Stock (cost $4,786,106) | 4,477,684 | ||
Short-Term Investments — 0.65% | |||
Money Market Mutual Funds — 0.65% | |||
BlackRock FedFund – Institutional Shares (seven-day effective yield 0.00%) | 3,225,350 | 3,225,350 | |
Fidelity Investments Money Market Government Portfolio – Class I (seven-day effective yield 0.01%) | 3,225,352 | 3,225,352 |
Number of shares | Value (US $) | ||
Short-Term Investments (continued) | |||
Money Market Mutual Funds (continued) | |||
GS Financial Square Government Fund – Institutional Shares (seven-day effective yield 0.00%) | 3,225,352 | $3,225,352 | |
Morgan Stanley Government Portfolio – Institutional Share Class (seven-day effective yield 0.00%) | 3,225,351 | 3,225,351 | |
Total Short-Term Investments (cost $12,901,405) | 12,901,405 | ||
Total Value of Securities—100.16% (cost $1,190,082,185) | $1,990,162,804 |
♦ | Narrow industries are utilized for compliance purposes for diversification whereas broad sectors are used for financial reporting. |
† | Non-income producing security. |
= | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the disclosure table located in Note 3 in “Notes to financial statements.” |
π | Restricted security. These investments are in securities not registered under the Securities Act of 1933, as amended, and have certain restrictions on resale which may limit their liquidity. At September 30, 2020, the aggregate value of restricted securities was $4,477,684, which represented 0.23% of the Fund’s net assets. The Fund has various registration rights (exercisable under a variety of circumstances) with respect to these securities. See Note 8 in “Notes to financial statements” and the following table for additional details on restricted securities. |
Restricted Securities | ||||||
Investments | Date of Acquisition | Cost | Value | |||
Airbnb Private Placement Series D | 4/16/14 | $941,692 | $1,828,195 | |||
Airbnb Private Placement Series E | 7/14/15 | 1,267,108 | 1,075,814 | |||
Magic Leap | 1/20/16 | 1,000,438 | 100,044 | |||
WeWork Companies Series E | 6/23/15 | 687,820 | — | |||
Xiaoju Kuaizhi | 10/19/15 | 889,048 | 1,473,631 | |||
Total | $4,786,106 | $4,477,684 |
Foreign Currency Exchange Contracts | ||||||||||||
Counterparty | Currency to Receive (Deliver) | In Exchange For | Settlement Date | Unrealized Appreciation | Unrealized Depreciation | |||||||
BNYM | CHF | (202,737) | USD | 220,378 | 10/1/20 | $258 | $— | |||||
BNYM | CHF | (193,172) | USD | 209,559 | 10/2/20 | — | (184) | |||||
Total Foreign Currency Exchange Contracts | $258 | $(184) |
Summary of abbreviations: |
ADR – American Depositary Receipt |
BNYM – Bank of New York Mellon |
GS – Goldman Sachs |
MSCI – Morgan Stanley Capital International |
S&P – Standard & Poor’s Financial Services LLC |
Summary of currencies: |
CHF – Swiss Franc |
Summary of currencies: (continued) |
USD – US Dollar |
Number of shares | Value (US $) | ||
Common Stock — 98.44% | |||
Communication Services — 7.19% | |||
Alphabet Class A † | 11,698 | $17,144,589 | |
AT&T | 173,900 | 4,957,889 | |
Comcast Class A | 944,285 | 43,682,624 | |
Discovery Class A † | 381,685 | 8,309,282 | |
Verizon Communications | 457,105 | 27,193,177 | |
Walt Disney | 77,991 | 9,677,123 | |
110,964,684 | |||
Consumer Discretionary — 4.03% | |||
Aptiv | 23,162 | 2,123,492 | |
Best Buy | 82,905 | 9,226,497 | |
Darden Restaurants | 71,274 | 7,180,143 | |
Lowe's | 112,255 | 18,618,614 | |
Marriott International Class A | 25,786 | 2,387,268 | |
PulteGroup | 185,826 | 8,601,886 | |
Target | 88,598 | 13,947,097 | |
62,084,997 | |||
Consumer Staples — 6.84% | |||
Archer-Daniels-Midland | 100,855 | 4,688,749 | |
Colgate-Palmolive | 22,799 | 1,758,943 | |
Danone | 44,631 | 2,890,975 | |
Diageo | 320,726 | 11,016,527 | |
J M Smucker | 20,414 | 2,358,225 | |
Kimberly-Clark | 135,705 | 20,038,200 | |
Mondelez International Class A | 237,689 | 13,655,233 | |
Nestle | 131,315 | 15,628,066 | |
PepsiCo | 125,166 | 17,348,008 | |
Philip Morris International | 51,679 | 3,875,408 | |
Procter & Gamble | 57,500 | 7,991,925 | |
Reckitt Benckiser Group | 44,352 | 4,324,557 | |
105,574,816 | |||
Energy — 3.09% | |||
Chevron | 210,334 | 15,144,048 | |
Concho Resources | 105,336 | 4,647,424 | |
ConocoPhillips | 316,300 | 10,387,292 | |
EOG Resources | 224,266 | 8,060,120 | |
Phillips 66 | 85,898 | 4,452,952 | |
Pioneer Natural Resources | 26,153 | 2,248,897 | |
Suncor Energy | 216,218 | 2,640,310 | |
47,581,043 | |||
Financials — 22.04% | |||
Allstate | 88,536 | 8,334,779 | |
American Express | 129,738 | 13,006,235 | |
Aon Class A | 95,635 | 19,729,500 | |
Bank of America | 872,631 | 21,021,681 |
Number of shares | Value (US $) | ||
Common Stock (continued) | |||
Financials (continued) | |||
Berkshire Hathaway Class B † | 43,275 | $9,214,979 | |
BlackRock | 38,814 | 21,873,630 | |
Charles Schwab | 180,145 | 6,526,653 | |
Chubb | 119,652 | 13,893,990 | |
Citigroup | 291,535 | 12,568,074 | |
Goldman Sachs Group | 61,695 | 12,398,844 | |
Hartford Financial Services Group | 207,370 | 7,643,658 | |
Intercontinental Exchange | 111,628 | 11,168,381 | |
JPMorgan Chase & Co. | 570,642 | 54,935,705 | |
Marsh & McLennan | 141,487 | 16,228,559 | |
Moody's | 16,968 | 4,918,175 | |
Nasdaq | 93,827 | 11,513,511 | |
PNC Financial Services Group | 69,225 | 7,608,520 | |
Prudential Financial | 151,256 | 9,607,781 | |
State Street | 268,287 | 15,917,468 | |
T Rowe Price Group | 34,078 | 4,369,481 | |
Travelers | 164,289 | 17,774,427 | |
Truist Financial | 450,760 | 17,151,418 | |
US Bancorp | 287,944 | 10,322,792 | |
Willis Towers Watson | 59,290 | 12,380,938 | |
340,109,179 | |||
Healthcare — 18.32% | |||
Abbott Laboratories | 126,772 | 13,796,597 | |
AbbVie | 107,912 | 9,452,012 | |
AmerisourceBergen | 95,258 | 9,232,405 | |
Boston Scientific † | 160,592 | 6,136,220 | |
Bristol Myers Squibb | 162,789 | 9,814,549 | |
Cigna | 135,694 | 22,987,921 | |
Danaher | 72,792 | 15,674,301 | |
Eli Lilly and Co. | 49,927 | 7,390,195 | |
Hill-Rom Holdings | 85,401 | 7,131,838 | |
Johnson & Johnson | 349,338 | 52,009,441 | |
McKesson | 46,683 | 6,952,499 | |
Medtronic | 399,327 | 41,498,062 | |
Merck & Co. | 273,036 | 22,648,336 | |
Pfizer | 393,537 | 14,442,808 | |
Roche Holding | 11,937 | 4,088,907 | |
Thermo Fisher Scientific | 71,989 | 31,784,583 | |
UnitedHealth Group | 24,553 | 7,654,889 | |
282,695,563 | |||
Industrials — 14.90% | |||
Canadian National Railway | 51,174 | 5,447,984 |
Number of shares | Value (US $) | ||
Common Stock (continued) | |||
Industrials (continued) | |||
Caterpillar | 66,486 | $9,916,387 | |
Eaton | 107,739 | 10,992,610 | |
Equifax | 43,801 | 6,872,377 | |
Honeywell International | 187,165 | 30,809,231 | |
Illinois Tool Works | 80,813 | 15,613,880 | |
Johnson Controls International | 216,798 | 8,856,198 | |
Kansas City Southern | 58,057 | 10,498,447 | |
Lockheed Martin | 45,313 | 17,367,567 | |
Masco | 127,698 | 7,039,991 | |
Northrop Grumman | 80,235 | 25,313,340 | |
Otis Worldwide | 41,142 | 2,568,084 | |
Owens Corning | 100,418 | 6,909,763 | |
Parker-Hannifin | 57,238 | 11,581,537 | |
Quanta Services | 224,690 | 11,877,113 | |
Raytheon Technologies | 82,284 | 4,734,621 | |
Stanley Black & Decker | 58,666 | 9,515,625 | |
Textron | 179,773 | 6,488,007 | |
Trane Technologies | 128,073 | 15,528,851 | |
Union Pacific | 60,931 | 11,995,486 | |
229,927,099 | |||
Information Technology — 9.14% | |||
Accenture Class A | 89,895 | 20,315,371 | |
Analog Devices | 45,712 | 5,336,419 | |
Apple | 43,368 | 5,022,448 | |
Broadcom | 20,583 | 7,498,799 | |
Cisco Systems | 213,524 | 8,410,710 | |
Fidelity National Information Services | 80,678 | 11,876,608 | |
Fiserv † | 110,485 | 11,385,479 | |
Intel | 272,179 | 14,093,429 | |
Micron Technology † | 157,360 | 7,389,626 | |
Microsoft | 39,546 | 8,317,710 | |
NXP Semiconductors | 57,635 | 7,193,424 | |
ON Semiconductor † | 350,085 | 7,593,344 | |
Oracle | 118,683 | 7,085,375 | |
Texas Instruments | 136,886 | 19,545,952 | |
141,064,694 | |||
Materials — 4.39% | |||
Air Products and Chemicals | 44,748 | 13,328,639 | |
DuPont de Nemours | 103,532 | 5,743,955 | |
Huntsman | 325,698 | 7,233,753 | |
Martin Marietta Materials | 50,159 | 11,805,422 | |
PPG Industries | 109,432 | 13,359,459 |
Number of shares | Value (US $) | ||
Common Stock (continued) | |||
Materials (continued) | |||
Sherwin-Williams | 16,045 | $11,179,193 | |
Westrock | 146,156 | 5,077,460 | |
67,727,881 | |||
Real Estate — 1.94% | |||
Boston Properties | 82,304 | 6,609,011 | |
Equity LifeStyle Properties | 61,173 | 3,749,905 | |
Highwoods Properties | 99,248 | 3,331,755 | |
Prologis | 131,670 | 13,248,635 | |
Public Storage | 13,277 | 2,957,054 | |
29,896,360 | |||
Utilities — 6.56% | |||
American Electric Power | 198,222 | 16,200,684 | |
Dominion Energy | 139,060 | 10,976,006 | |
DTE Energy | 102,961 | 11,844,634 | |
Duke Energy | 335,304 | 29,694,522 | |
Southern | 260,756 | 14,138,190 | |
Xcel Energy | 266,184 | 18,369,358 | |
101,223,394 | |||
Total Common Stock (cost $1,249,256,959) | 1,518,849,710 | ||
Short-Term Investments — 1.45% | |||
Money Market Mutual Funds — 1.45% | |||
BlackRock FedFund – Institutional Shares (seven-day effective yield 0.00%) | 5,599,001 | 5,599,001 | |
Fidelity Investments Money Market Government Portfolio – Class I (seven-day effective yield 0.01%) | 5,599,000 | 5,599,000 |
Number of shares | Value (US $) | ||
Short-Term Investments (continued) | |||
Money Market Mutual Funds (continued) | |||
GS Financial Square Government Fund – Institutional Shares (seven-day effective yield 0.00%) | 5,599,001 | $5,599,001 | |
Morgan Stanley Government Portfolio – Institutional Share Class (seven-day effective yield 0.00%) | 5,599,001 | 5,599,001 | |
Total Short-Term Investments (cost $22,396,003) | 22,396,003 | ||
Total Value of Securities—99.89% (cost $1,271,652,962) | $1,541,245,713 |
† | Non-income producing security. |
Foreign Currency Exchange Contracts | ||||||||||
Counterparty | Currency to Receive (Deliver) | In Exchange For | Settlement Date | Unrealized Depreciation | ||||||
CITI | CAD | (135,947) | USD | 101,524 | 10/1/20 | $(573) | ||||
CITI | CAD | (257,567) | USD | 193,409 | 10/2/20 | (26) | ||||
Total Foreign Currency Exchange Contracts | $(599) |
Summary of abbreviations: |
CITI – Citigroup |
GS – Goldman Sachs |
Summary of currencies: |
CAD – Canadian Dollar |
USD – US Dollar |
Number of shares | Value (US $) | ||
Common Stock — 98.37%♦ | |||
Communication Services — 1.17% | |||
Lions Gate Entertainment Class B † | 97,000 | $845,840 | |
Zillow Group Class A † | 36,168 | 3,672,498 | |
Zynga Class A † | 281,365 | 2,566,049 | |
7,084,387 | |||
Consumer Discretionary — 17.24% | |||
American Eagle Outfitters | 133,419 | 1,975,935 | |
Boot Barn Holdings † | 35,039 | 985,997 | |
BorgWarner | 71,108 | 2,754,724 | |
Burlington Stores † | 9,266 | 1,909,630 | |
Caesars Entertainment † | 101,217 | 5,674,225 | |
Callaway Golf | 93,007 | 1,780,154 | |
Chewy Class A † | 70,321 | 3,855,700 | |
Crocs † | 74,362 | 3,177,488 | |
Deckers Outdoor † | 25,551 | 5,621,476 | |
DraftKings =, †, π | 65,087 | 3,772,273 | |
Extended Stay America | 126,141 | 1,507,385 | |
Five Below † | 29,903 | 3,797,681 | |
Floor & Decor Holdings Class A † | 148,561 | 11,112,363 | |
Fox Factory Holding † | 107,039 | 7,956,209 | |
Hanesbrands | 375,039 | 5,906,864 | |
International Game Technology | 142,244 | 1,583,176 | |
KB Home | 180,410 | 6,925,940 | |
Media General CVR =, † | 49,291 | 0 | |
Monro | 19,599 | 795,131 | |
National Vision Holdings † | 122,899 | 4,699,658 | |
Ollie's Bargain Outlet Holdings † | 27,236 | 2,379,065 | |
Penn National Gaming † | 25,322 | 1,840,909 | |
Shake Shack Class A † | 51,543 | 3,323,493 | |
Skyline Champion † | 71,219 | 1,906,533 | |
Sleep Number † | 48,783 | 2,385,977 | |
Strategic Education | 16,971 | 1,552,337 | |
TopBuild † | 32,826 | 5,603,070 | |
Ulta Beauty † | 7,539 | 1,688,585 | |
Visteon † | 86,558 | 5,991,545 | |
YETI Holdings † | 53,259 | 2,413,698 | |
104,877,221 | |||
Consumer Staples — 2.74% | |||
Boston Beer Class A † | 4,438 | 3,920,352 | |
elf Beauty † | 273,144 | 5,017,655 | |
Hain Celestial Group † | 51,339 | 1,760,928 | |
Performance Food Group † | 172,947 | 5,987,425 | |
16,686,360 |
Number of shares | Value (US $) | ||
Common Stock♦ (continued) | |||
Energy — 0.14% | |||
GasLog | 105,132 | $284,908 | |
Parsley Energy Class A | 62,379 | 583,867 | |
868,775 | |||
Financials — 9.12% | |||
Ally Financial | 270,285 | 6,776,045 | |
Argo Group International Holdings | 38,981 | 1,342,116 | |
BRP Group Class A † | 69,870 | 1,740,462 | |
Essent Group | 64,900 | 2,401,949 | |
Evercore Class A | 28,866 | 1,889,568 | |
FirstCash | 23,941 | 1,369,665 | |
Focus Financial Partners Class A † | 64,239 | 2,106,397 | |
Goosehead Insurance Class A † | 33,638 | 2,912,714 | |
Hamilton Lane Class A | 45,344 | 2,928,769 | |
OneMain Holdings | 137,634 | 4,301,063 | |
Open Lending Class A † | 45,470 | 1,159,485 | |
Palomar Holdings † | 31,562 | 3,290,023 | |
Stifel Financial | 41,738 | 2,110,273 | |
SVB Financial Group † | 57,361 | 13,802,204 | |
Tradeweb Markets Class A | 78,667 | 4,562,686 | |
Triumph Bancorp † | 43,017 | 1,339,549 | |
Virtu Financial Class A | 61,645 | 1,418,451 | |
55,451,419 | |||
Healthcare — 28.09% | |||
ACADIA Pharmaceuticals † | 22,552 | 930,270 | |
Adaptive Biotechnologies † | 39,881 | 1,939,413 | |
Addus HomeCare † | 37,265 | 3,521,915 | |
Agios Pharmaceuticals † | 20,097 | 703,395 | |
Allscripts Healthcare Solutions † | 148,078 | 1,205,355 | |
Amedisys † | 9,339 | 2,208,020 | |
Amicus Therapeutics † | 119,627 | 1,689,133 | |
AMN Healthcare Services † | 34,108 | 1,993,954 | |
Arrowhead Pharmaceuticals † | 40,339 | 1,736,997 | |
AtriCure † | 39,648 | 1,581,955 | |
Avantor † | 108,732 | 2,445,383 | |
Axonics Modulation Technologies † | 101,656 | 5,188,522 | |
Biohaven Pharmaceutical Holding † | 110,533 | 7,185,750 | |
Bio-Rad Laboratories Class A † | 3,071 | 1,582,978 |
Number of shares | Value (US $) | ||
Common Stock♦ (continued) | |||
Healthcare (continued) | |||
Black Diamond Therapeutics † | 23,371 | $706,505 | |
Bluebird Bio † | 9,582 | 516,949 | |
Blueprint Medicines † | 22,957 | 2,128,114 | |
Cardiovascular Systems † | 55,515 | 2,184,515 | |
Cerus † | 190,096 | 1,190,001 | |
ChemoCentryx † | 22,851 | 1,252,235 | |
CRISPR Therapeutics † | 32,602 | 2,726,831 | |
CryoPort † | 27,489 | 1,302,979 | |
Emergent BioSolutions † | 17,530 | 1,811,375 | |
Evolent Health Class A † | 114,768 | 1,424,271 | |
Fate Therapeutics † | 65,848 | 2,631,945 | |
Flexion Therapeutics † | 63,568 | 661,743 | |
Galapagos ADR † | 3,911 | 555,010 | |
Global Blood Therapeutics † | 25,353 | 1,397,964 | |
HealthEquity † | 38,803 | 1,993,310 | |
Horizon Therapeutics † | 188,787 | 14,664,974 | |
ICON † | 19,485 | 3,723,389 | |
Immunomedics † | 21,553 | 1,832,652 | |
Immunovant † | 21,757 | 765,629 | |
Inspire Medical Systems † | 68,938 | 8,896,449 | |
Insulet † | 41,116 | 9,727,634 | |
Ionis Pharmaceuticals † | 21,682 | 1,028,811 | |
Iovance Biotherapeutics † | 45,521 | 1,498,551 | |
iRhythm Technologies † | 5,017 | 1,194,598 | |
Ironwood Pharmaceuticals † | 136,980 | 1,232,135 | |
LHC Group † | 27,651 | 5,877,497 | |
Mirati Therapeutics † | 18,353 | 3,047,516 | |
MyoKardia † | 54,542 | 7,435,711 | |
NanoString Technologies † | 62,049 | 2,773,590 | |
Natera † | 148,185 | 10,704,884 | |
Novavax † | 4,142 | 448,786 | |
Novocure † | 15,426 | 1,717,068 | |
Oak Street Health † | 33,050 | 1,766,192 | |
Omnicell † | 32,073 | 2,394,570 | |
Pacira BioSciences † | 29,424 | 1,768,971 | |
PetIQ † | 67,926 | 2,236,124 | |
Phreesia † | 52,721 | 1,693,926 | |
Repligen † | 16,543 | 2,440,754 | |
Silk Road Medical † | 39,738 | 2,670,791 | |
Syneos Health † | 63,138 | 3,356,416 | |
Tabula Rasa HealthCare † | 25,942 | 1,057,655 | |
Tactile Systems Technology † | 34,634 | 1,267,258 | |
Tandem Diabetes Care † | 102,859 | 11,674,496 |
Number of shares | Value (US $) | ||
Common Stock♦ (continued) | |||
Healthcare (continued) | |||
Theravance Biopharma † | 49,989 | $739,087 | |
Turning Point Therapeutics † | 11,989 | 1,047,359 | |
Ultragenyx Pharmaceutical † | 14,287 | 1,174,249 | |
US Physical Therapy | 17,912 | 1,556,195 | |
Zymeworks † | 23,149 | 1,078,280 | |
170,888,984 | |||
Industrials — 13.64% | |||
A O Smith | 17,218 | 909,110 | |
Allegiant Travel | 28,951 | 3,468,330 | |
Altra Industrial Motion | 97,533 | 3,605,795 | |
ASGN † | 47,581 | 3,024,248 | |
Atkore International Group † | 62,722 | 1,425,671 | |
Avis Budget Group † | 54,557 | 1,435,940 | |
AZEK † | 67,291 | 2,342,400 | |
Chart Industries † | 27,370 | 1,923,290 | |
Clarivate † | 91,152 | 2,824,800 | |
Dycom Industries † | 23,151 | 1,222,836 | |
FTI Consulting † | 13,554 | 1,436,317 | |
Generac Holdings † | 10,454 | 2,024,313 | |
IAA † | 37,098 | 1,931,693 | |
ICF International | 36,492 | 2,245,353 | |
Ingersoll Rand † | 70,149 | 2,497,304 | |
Kansas City Southern | 13,311 | 2,407,028 | |
KAR Auction Services | 80,877 | 1,164,629 | |
Knight-Swift Transportation Holdings | 131,691 | 5,359,824 | |
Kratos Defense & Security Solutions † | 116,515 | 2,246,409 | |
Masonite International † | 107,952 | 10,622,477 | |
Nordson | 23,949 | 4,593,897 | |
PGT Innovations † | 72,621 | 1,272,320 | |
Plug Power † | 309,743 | 4,153,654 | |
Schneider National Class B | 84,274 | 2,084,096 | |
SiteOne Landscape Supply † | 13,915 | 1,696,934 | |
SPX † | 70,743 | 3,281,060 | |
Timken | 58,992 | 3,198,546 | |
Trex † | 84,102 | 6,021,703 | |
Wabash National | 108,761 | 1,300,782 | |
Woodward | 15,873 | 1,272,380 | |
82,993,139 | |||
Information Technology — 24.70% | |||
Anaplan † | 45,365 | 2,838,942 |
Number of shares | Value (US $) | ||
Common Stock♦ (continued) | |||
Information Technology (continued) | |||
Black Knight † | 40,888 | $3,559,300 | |
Box Class A † | 135,505 | 2,352,367 | |
Cabot Microelectronics Corp. † | 12,074 | 1,724,288 | |
Ciena † | 78,821 | 3,128,405 | |
Cloudera † | 98,285 | 1,070,324 | |
Cornerstone OnDemand † | 50,789 | 1,846,688 | |
Cree † | 52,780 | 3,364,197 | |
Crowdstrike Holdings Class A † | 36,106 | 4,958,076 | |
CyberArk Software † | 20,953 | 2,166,959 | |
Dynatrace † | 39,203 | 1,608,107 | |
Elastic † | 16,187 | 1,746,415 | |
Enphase Energy † | 53,686 | 4,433,927 | |
Evo Payments Class A † | 78,894 | 1,960,516 | |
First Solar † | 65,919 | 4,363,838 | |
Five9 † | 37,087 | 4,809,442 | |
FormFactor † | 52,894 | 1,318,647 | |
Inphi † | 37,532 | 4,212,967 | |
KBR | 80,545 | 1,800,986 | |
Littelfuse | 38,548 | 6,836,102 | |
LiveRamp Holdings † | 70,808 | 3,665,730 | |
Lumentum Holdings † | 32,258 | 2,423,544 | |
MACOM Technology Solutions Holdings † | 167,406 | 5,693,478 | |
MaxLinear † | 67,814 | 1,575,997 | |
Mimecast † | 46,260 | 2,170,519 | |
MKS Instruments | 14,960 | 1,634,081 | |
Nuance Communications † | 447,130 | 14,840,245 | |
Onto Innovation † | 53,903 | 1,605,231 | |
PagerDuty † | 85,626 | 2,321,321 | |
PTC † | 40,654 | 3,362,899 | |
Q2 Holdings † | 63,772 | 5,819,833 | |
RealPage † | 55,543 | 3,201,499 | |
RingCentral Class A † | 7,137 | 1,959,892 | |
Semtech † | 40,706 | 2,155,790 | |
Silicon Motion Technology ADR | 39,314 | 1,485,283 | |
SolarEdge Technologies † | 22,694 | 5,409,115 | |
Sprout Social Class A † | 46,657 | 1,796,295 | |
SS&C Technologies Holdings | 64,515 | 3,904,448 | |
Synaptics † | 29,690 | 2,387,670 | |
Talend ADR † | 24,201 | 944,807 | |
Teradyne | 58,592 | 4,655,720 | |
Verra Mobility † | 91,196 | 880,953 | |
WEX † | 11,052 | 1,535,896 |
Number of shares | Value (US $) | ||
Common Stock♦ (continued) | |||
Information Technology (continued) | |||
Zendesk † | 114,586 | $11,793,191 | |
Zscaler † | 9,524 | 1,339,932 | |
Zuora Class A † | 152,106 | 1,572,776 | |
150,236,638 | |||
Materials — 1.22% | |||
Boise Cascade | 56,795 | 2,267,256 | |
Element Solutions † | 191,996 | 2,017,878 | |
Orion Engineered Carbons | 117,491 | 1,469,812 | |
Steel Dynamics | 57,093 | 1,634,573 | |
7,389,519 | |||
Real Estate — 0.31% | |||
QTS Realty Trust Class A | 30,143 | 1,899,612 | |
1,899,612 | |||
Total Common Stock (cost $476,764,752) | 598,376,054 | ||
Convertible Preferred Stock — 0.21% | |||
Honest Series D =, †, π | 15,249 | 407,606 | |
MarkLogic Series F =, †, π | 83,588 | 821,252 | |
Total Convertible Preferred Stock (cost $1,668,525) | 1,228,858 | ||
Warrant — 0.00% | |||
DraftKings strike price $25, expiration date 4/23/25=, †, π | 399 | 11,382 | |
Total Warrant (cost $0) | 11,382 | ||
Short-Term Investments — 1.55% | |||
Money Market Mutual Funds — 1.55% | |||
BlackRock FedFund – Institutional Shares (seven-day effective yield 0.00%) | 2,360,818 | 2,360,818 | |
Fidelity Investments Money Market Government Portfolio – Class I (seven-day effective yield 0.01%) | 2,360,818 | 2,360,818 |
Number of shares | Value (US $) | ||
Short-Term Investments (continued) | |||
Money Market Mutual Funds (continued) | |||
GS Financial Square Government Fund – Institutional Shares (seven-day effective yield 0.00%) | 2,360,819 | $2,360,819 | |
Morgan Stanley Government Portfolio – Institutional Share Class (seven-day effective yield 0.00%) | 2,360,818 | 2,360,818 | |
Total Short-Term Investments (cost $9,443,273) | 9,443,273 | ||
Total Value of Securities—100.13% (cost $487,876,550) | $609,059,567 |
♦ | Narrow industries are utilized for compliance purposes for diversification whereas broad sectors are used for financial reporting. |
† | Non-income producing security. |
= | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the disclosure table located in Note 3 in “Notes to financial statements.” |
π | Restricted security. These investments are in securities not registered under the Securities Act of 1933, as amended, and have certain restrictions on resale which may limit their liquidity. At September 30, 2020, the aggregate value of restricted securities was $5,012,513, which represented 0.82% of the Fund’s net assets. The Fund has various registration rights (exercisable under a variety of circumstances) with respect to these securities. See Note 8 in “Notes to financial statements” and the following table for additional details on restricted securities. |
Restricted Securities | ||||||
Investments | Date of Acquisition | Cost | Value | |||
DraftKings | 5/18/20 | $1,922,670 | $3,772,273 | |||
DraftKings strike price $25, expiration date 4/23/25 | 7/6/20 | — | 11,382 | |||
Honest Series D | 8/3/15 | 697,717 | 407,606 | |||
MarkLogic Series F | 4/27/15 | 970,808 | 821,252 | |||
Total | $3,591,195 | $5,012,513 |
Summary of abbreviations: |
ADR – American Depositary Receipt |
CVR – Contingent Voting Rights |
GS – Goldman Sachs |
Number of shares | Value (US $) | ||
Common Stock — 99.13% | |||
Communication Services — 1.49% | |||
AMC Networks Class A † | 30,800 | $761,068 | |
Cable One | 1,428 | 2,692,394 | |
Cars.com † | 56,200 | 454,096 | |
CenturyLink | 78,300 | 790,047 | |
Entercom Communications Class A | 206,300 | 332,143 | |
ViacomCBS Class B | 58,700 | 1,644,187 | |
WideOpenWest † | 103,300 | 536,127 | |
7,210,062 | |||
Consumer Discretionary — 12.52% | |||
1-800-Flowers.com Class A † | 110,280 | 2,750,383 | |
American Axle & Manufacturing Holdings † | 114,200 | 658,934 | |
Bloomin' Brands | 236,999 | 3,618,975 | |
BorgWarner | 41,200 | 1,596,088 | |
Brinker International | 33,200 | 1,418,304 | |
Brunswick | 21,300 | 1,254,783 | |
Capri Holdings † | 15,000 | 270,000 | |
Carter's | 62,524 | 5,413,328 | |
Columbia Sportswear | 32,135 | 2,795,102 | |
Dick's Sporting Goods | 47,100 | 2,726,148 | |
Dunkin' Brands Group | 56,227 | 4,605,554 | |
Foot Locker | 41,900 | 1,383,957 | |
Goodyear Tire & Rubber | 70,000 | 536,900 | |
Harley-Davidson | 43,800 | 1,074,852 | |
Haverty Furniture | 43,900 | 919,266 | |
Kohl's | 36,100 | 668,933 | |
Lear | 11,700 | 1,275,885 | |
Malibu Boats Class A † | 23,400 | 1,159,704 | |
MDC Holdings | 50,600 | 2,383,260 | |
Nordstrom | 28,400 | 338,528 | |
ODP | 17,490 | 340,180 | |
Papa John's International | 27,807 | 2,287,960 | |
Penske Automotive Group | 19,700 | 938,902 | |
PulteGroup | 53,000 | 2,453,370 | |
PVH | 16,200 | 966,168 | |
Sally Beauty Holdings † | 65,000 | 564,850 | |
Shoe Carnival | 31,500 | 1,057,770 | |
Signet Jewelers | 12,800 | 239,360 | |
Sonic Automotive Class A | 183,575 | 7,372,372 | |
Tenneco Class A † | 26,400 | 183,216 | |
Toll Brothers | 49,500 | 2,408,670 | |
Whirlpool | 10,600 | 1,949,234 |
Number of shares | Value (US $) | ||
Common Stock (continued) | |||
Consumer Discretionary (continued) | |||
Williams-Sonoma | 29,920 | $2,705,965 | |
Wyndham Destinations | 12,500 | 384,500 | |
60,701,401 | |||
Consumer Staples — 4.56% | |||
Ingles Markets Class A | 35,400 | 1,346,616 | |
Ingredion | 14,500 | 1,097,360 | |
J & J Snack Foods | 42,401 | 5,528,666 | |
J M Smucker | 13,700 | 1,582,624 | |
Lamb Weston Holdings | 43,275 | 2,867,834 | |
Molson Coors Beverage Class B | 46,900 | 1,573,964 | |
Nomad Foods † | 224,200 | 5,712,616 | |
Pilgrim's Pride † | 42,100 | 630,027 | |
Universal | 25,300 | 1,059,564 | |
Weis Markets | 14,500 | 696,000 | |
22,095,271 | |||
Energy — 1.66% | |||
Arch Resources | 10,300 | 437,544 | |
Gulfport Energy † | 150,700 | 79,434 | |
HollyFrontier | 48,400 | 953,964 | |
Laredo Petroleum † | 5,360 | 52,528 | |
Parsley Energy Class A | 474,455 | 4,440,899 | |
PBF Energy Class A | 50,100 | 285,069 | |
PDC Energy † | 20,287 | 251,457 | |
Southwestern Energy † | 230,000 | 540,500 | |
W&T Offshore † | 179,300 | 322,740 | |
World Fuel Services | 33,400 | 707,746 | |
8,071,881 | |||
Financials — 22.30% | |||
Ally Financial | 91,200 | 2,286,384 | |
American Financial Group | 27,780 | 1,860,704 | |
Annaly Capital Management | 139,300 | 991,816 | |
Apollo Commercial Real Estate Finance | 77,600 | 699,176 | |
Ares Capital | 66,600 | 929,070 | |
Ares Management Class A | 130,940 | 5,292,595 | |
Argo Group International Holdings | 111,280 | 3,831,370 | |
Associated Banc-Corp | 121,500 | 1,533,330 | |
Assurant | 49,370 | 5,989,075 | |
Assured Guaranty | 34,400 | 738,912 | |
Banco Latinoamericano de Comercio Exterior Class E | 23,105 | 280,726 | |
BankUnited | 34,200 | 749,322 |
Number of shares | Value (US $) | ||
Common Stock (continued) | |||
Financials (continued) | |||
Berkshire Hills Bancorp | 44,099 | $445,841 | |
BOK Financial | 75,503 | 3,889,160 | |
Cathay General Bancorp | 33,600 | 728,448 | |
CIT Group | 61,800 | 1,094,478 | |
Citizens Financial Group | 63,200 | 1,597,696 | |
CNA Financial | 60,200 | 1,805,398 | |
CNO Financial Group | 127,400 | 2,043,496 | |
Customers Bancorp † | 37,700 | 422,240 | |
eHealth † | 11,000 | 869,000 | |
Essent Group | 26,800 | 991,868 | |
Everest Re Group | 27,425 | 5,417,534 | |
First American Financial | 21,700 | 1,104,747 | |
First Busey | 45,200 | 718,228 | |
First Hawaiian | 297,744 | 4,308,356 | |
First Horizon National | 200,800 | 1,893,544 | |
FS KKR Capital | 57,750 | 915,915 | |
Hancock Whitney | 31,300 | 588,753 | |
Hanmi Financial | 56,800 | 466,328 | |
Heritage Insurance Holdings | 27,300 | 276,276 | |
HomeStreet | 21,200 | 546,112 | |
Hope Bancorp | 122,400 | 928,404 | |
Houlihan Lokey | 94,602 | 5,586,248 | |
Ladder Capital | 79,394 | 565,285 | |
Lincoln National | 33,300 | 1,043,289 | |
Meta Financial Group | 19,400 | 372,868 | |
MGIC Investment | 524,610 | 4,648,045 | |
Moelis & Co. Class A | 127,076 | 4,465,451 | |
New Mountain Finance | 71,900 | 687,364 | |
Oaktree Specialty Lending | 4,294 | 20,783 | |
OFG Bancorp | 60,700 | 756,322 | |
Preferred Bank | 26,200 | 841,544 | |
Prospect Capital | 160,841 | 809,030 | |
Radian Group | 69,500 | 1,015,395 | |
Reinsurance Group of America | 21,200 | 2,018,028 | |
Santander Consumer USA Holdings | 88,500 | 1,609,815 | |
South State | 106,440 | 5,125,086 | |
Synovus Financial | 55,900 | 1,183,403 | |
TCF Financial | 249,291 | 5,823,438 | |
Universal Insurance Holdings | 41,300 | 571,592 | |
Unum Group | 75,700 | 1,274,031 | |
Veritex Holdings | 55,200 | 940,056 | |
Victory Capital Holdings Class A | 7,242 | 122,317 |
Number of shares | Value (US $) | ||
Common Stock (continued) | |||
Financials (continued) | |||
Voya Financial | 25,200 | $1,207,836 | |
Washington Federal | 226,947 | 4,734,114 | |
White Mountains Insurance Group | 5,565 | 4,335,135 | |
Zions Bancorp | 74,400 | 2,173,968 | |
108,164,745 | |||
Healthcare — 7.12% | |||
Catalyst Pharmaceuticals † | 119,100 | 353,727 | |
DaVita † | 17,830 | 1,527,140 | |
Envista Holdings † | 135,327 | 3,339,870 | |
Five Star Senior Living † | 4,054 | 20,554 | |
Hill-Rom Holdings | 29,183 | 2,437,072 | |
Innoviva † | 86,900 | 908,105 | |
Integra LifeSciences Holdings † | 57,845 | 2,731,441 | |
Jazz Pharmaceuticals † | 24,720 | 3,524,825 | |
Lannett † | 44,200 | 270,062 | |
Lantheus Holdings † | 56,200 | 712,054 | |
MEDNAX † | 32,100 | 522,588 | |
Merit Medical Systems † | 87,737 | 3,816,560 | |
Owens & Minor | 49,800 | 1,250,478 | |
PerkinElmer | 32,650 | 4,097,901 | |
Quest Diagnostics | 11,600 | 1,328,084 | |
Select Medical Holdings † | 83,200 | 1,732,224 | |
STERIS | 16,652 | 2,933,916 | |
United Therapeutics † | 10,700 | 1,080,700 | |
Universal Health Services Class B | 17,920 | 1,917,798 | |
34,505,099 | |||
Industrials — 15.86% | |||
ACCO Brands | 146,000 | 846,800 | |
Acuity Brands | 13,900 | 1,422,665 | |
Alaska Air Group | 24,800 | 908,424 | |
Allison Transmission Holdings | 55,500 | 1,950,270 | |
Apogee Enterprises | 36,200 | 773,594 | |
Atkore International Group † | 55,800 | 1,268,334 | |
Atlas Air Worldwide Holdings † | 24,100 | 1,467,690 | |
AZZ | 21,100 | 719,932 | |
BMC Stock Holdings † | 68,655 | 2,940,494 | |
Curtiss-Wright | 53,510 | 4,990,343 | |
Deluxe | 29,800 | 766,754 | |
Ennis | 45,800 | 798,752 | |
Hawaiian Holdings | 45,300 | 583,917 |
Number of shares | Value (US $) | ||
Common Stock (continued) | |||
Industrials (continued) | |||
HD Supply Holdings † | 36,961 | $1,524,272 | |
Herman Miller | 46,400 | 1,399,424 | |
Hubbell | 37,195 | 5,089,764 | |
Huntington Ingalls Industries | 29,810 | 4,195,757 | |
IAA † | 106,960 | 5,569,407 | |
JetBlue Airways † | 109,300 | 1,238,369 | |
KAR Auction Services | 364,823 | 5,253,451 | |
Knight-Swift Transportation Holdings | 64,116 | 2,609,521 | |
ManpowerGroup | 26,300 | 1,928,579 | |
MasTec † | 18,400 | 776,480 | |
MSC Industrial Direct Class A | 82,141 | 5,197,882 | |
Oshkosh | 24,800 | 1,822,800 | |
Owens Corning | 22,400 | 1,541,344 | |
Pentair | 88,687 | 4,059,204 | |
Pitney Bowes | 45,300 | 240,543 | |
Quanta Services | 41,400 | 2,188,404 | |
Regal Beloit | 17,600 | 1,652,112 | |
Snap-on | 7,600 | 1,118,188 | |
Spirit AeroSystems Holdings Class A | 44,300 | 837,713 | |
Terex | 34,700 | 671,792 | |
Textron | 33,800 | 1,219,842 | |
Timken | 37,000 | 2,006,140 | |
Trinity Industries | 25,800 | 503,100 | |
Triton International | 43,700 | 1,777,279 | |
Woodward | 37,890 | 3,037,262 | |
76,896,598 | |||
Information Technology — 10.53% | |||
Amdocs | 90,620 | 5,202,494 | |
Arrow Electronics † | 18,700 | 1,470,942 | |
CACI International Class A † | 23,175 | 4,939,983 | |
Ciena † | 47,800 | 1,897,182 | |
Cirrus Logic † | 10,400 | 701,480 | |
CSG Systems International | 18,200 | 745,290 | |
Diodes † | 37,800 | 2,133,810 | |
Ebix | 40,273 | 829,624 | |
Genpact | 71,125 | 2,770,319 | |
J2 Global † | 18,240 | 1,262,573 | |
Jabil | 74,000 | 2,535,240 | |
Juniper Networks | 67,300 | 1,446,950 | |
Methode Electronics | 33,100 | 943,350 | |
Monolithic Power Systems | 10,447 | 2,921,086 | |
NCR † | 67,500 | 1,494,450 |
Number of shares | Value (US $) | ||
Common Stock (continued) | |||
Information Technology (continued) | |||
ON Semiconductor † | 139,500 | $3,025,755 | |
Sabre | 297,779 | 1,938,541 | |
Sanmina † | 59,300 | 1,604,065 | |
Science Applications International | 32,901 | 2,580,096 | |
Seagate Technology | 17,100 | 842,517 | |
SYNNEX | 8,900 | 1,246,534 | |
Teradyne | 15,600 | 1,239,576 | |
TTM Technologies † | 84,100 | 959,581 | |
Ultra Clean Holdings † | 31,122 | 667,878 | |
Viavi Solutions † | 292,740 | 3,433,840 | |
Western Union | 51,400 | 1,101,502 | |
Xerox Holdings | 61,300 | 1,150,601 | |
51,085,259 | |||
Materials — 8.70% | |||
Albemarle | 64,637 | 5,770,791 | |
Arconic † | 9,000 | 171,450 | |
Berry Global Group † | 28,000 | 1,352,960 | |
Cabot | 26,400 | 951,192 | |
Celanese | 22,700 | 2,439,115 | |
Chemours | 49,500 | 1,035,045 | |
Cleveland-Cliffs | 57,200 | 367,224 | |
Domtar | 32,500 | 853,775 | |
Eagle Materials | 45,944 | 3,965,886 | |
Eastman Chemical | 15,700 | 1,226,484 | |
Greif Class A | 34,400 | 1,245,624 | |
Huntsman | 320,051 | 7,108,333 | |
Kronos Worldwide | 56,100 | 721,446 | |
O-I Glass | 59,800 | 633,282 | |
Reliance Steel & Aluminum | 21,500 | 2,193,860 | |
RPM International | 33,195 | 2,749,874 | |
Schweitzer-Mauduit International | 32,700 | 993,753 | |
Silgan Holdings | 24,800 | 911,896 | |
Steel Dynamics | 26,600 | 761,558 | |
Trinseo | 22,200 | 569,208 | |
Westrock | 178,220 | 6,191,363 | |
42,214,119 | |||
Real Estate — 9.14% | |||
Alexander & Baldwin | 203,245 | 2,278,377 | |
Americold Realty Trust | 127,711 | 4,565,668 | |
Apple Hospitality REIT | 68,979 | 662,888 | |
Brandywine Realty Trust | 215,175 | 2,224,910 | |
Brixmor Property Group | 121,300 | 1,417,997 | |
CBL & Associates Properties † | 63,700 | 10,262 | |
City Office REIT | 93,700 | 704,624 |
Number of shares | Value (US $) | ||
Common Stock (continued) | |||
Real Estate (continued) | |||
CoreCivic | 56,200 | $449,600 | |
Diversified Healthcare Trust | 123,300 | 434,016 | |
Franklin Street Properties | 93,612 | 342,620 | |
Gaming and Leisure Properties | 35,741 | 1,319,911 | |
Hudson Pacific Properties | 196,205 | 4,302,776 | |
Industrial Logistics Properties Trust | 63,789 | 1,395,065 | |
Kite Realty Group Trust | 75,900 | 878,922 | |
Lexington Realty Trust | 63,500 | 663,575 | |
National Health Investors | 20,100 | 1,211,427 | |
National Storage Affiliates Trust | 82,345 | 2,693,505 | |
Office Properties Income Trust | 45,688 | 946,655 | |
Omega Healthcare Investors | 39,200 | 1,173,648 | |
Outfront Media | 47,000 | 683,850 | |
Physicians Realty Trust | 293,307 | 5,253,128 | |
Piedmont Office Realty Trust Class A | 78,300 | 1,062,531 | |
Preferred Apartment Communities Class A | 72,100 | 389,340 | |
Retail Properties of America Class A | 73,900 | 429,359 | |
Retail Value | 5,404 | 67,928 | |
RPT Realty | 104,000 | 565,760 | |
Service Properties Trust | 104,300 | 829,185 | |
SITE Centers | 50,650 | 364,680 | |
STAG Industrial | 158,175 | 4,822,756 | |
Summit Hotel Properties | 63,000 | 326,340 | |
VEREIT | 205,200 | 1,333,800 | |
Xenia Hotels & Resorts | 60,500 | 531,190 | |
44,336,293 | |||
Utilities — 5.25% | |||
AES | 44,700 | 809,517 | |
Alliant Energy | 136,617 | 7,056,268 | |
Avista | 103,690 | 3,537,903 | |
IDACORP | 80,930 | 6,466,307 | |
MDU Resources Group | 51,900 | 1,167,750 |
Number of shares | Value (US $) | ||
Common Stock (continued) | |||
Utilities (continued) | |||
National Fuel Gas | 55,200 | $2,240,568 | |
NRG Energy | 52,900 | 1,626,146 | |
Vistra | 136,200 | 2,568,732 | |
25,473,191 | |||
Total Common Stock (cost $529,576,619) | 480,753,919 | ||
Short-Term Investments — 0.73% | |||
Money Market Mutual Funds — 0.73% | |||
BlackRock FedFund – Institutional Shares (seven-day effective yield 0.00%) | 887,908 | 887,908 | |
Fidelity Investments Money Market Government Portfolio – Class I (seven-day effective yield 0.01%) | 887,906 | 887,906 | |
GS Financial Square Government Fund – Institutional Shares (seven-day effective yield 0.00%) | 887,906 | 887,906 | |
Morgan Stanley Government Portfolio – Institutional Share Class (seven-day effective yield 0.00%) | 887,906 | 887,906 | |
Total Short-Term Investments (cost $3,551,626) | 3,551,626 | ||
Total Value of Securities—99.86% (cost $533,128,245) | $484,305,545 |
† | Non-income producing security. |
Summary of abbreviations: |
GS – Goldman Sachs |
REIT – Real Estate Investment Trust |
Optimum Fixed Income Fund | Optimum International Fund | Optimum Large Cap Growth Fund | Optimum Large Cap Value Fund | Optimum Small-Mid Cap Growth Fund | Optimum Small-Mid Cap Value Fund | ||||||
Assets: | |||||||||||
Investments, at value*,† | $3,073,572,274 | $515,851,355 | $1,990,162,804 | $1,541,245,713 | $609,059,567 | $484,305,545 | |||||
Short-term investments held as collateral for loaned securities, at value= | — | 16,636,692 | — | — | — | — | |||||
Cash | 3,857,289 | — | — | — | — | 48,791 | |||||
Cash collateral due from brokers | 917,112 | — | — | — | — | — | |||||
Foreign currencies, at valueΔ | 3,254,765 | 118,495 | 217 | — | — | — | |||||
Receivable for securities sold | 217,511,513 | 785,445 | 850,706 | 295,532 | 7,593,893 | 5,752,959 | |||||
Dividends and interest receivable | 14,570,801 | 1,271,254 | 233,517 | 1,983,488 | 79,185 | 532,050 | |||||
Foreign tax reclaims receivable | — | 1,672,004 | 37,247 | 491,893 | — | 2,779 | |||||
Receivable for fund shares sold | 4,724,396 | 825,676 | 2,861,946 | 2,370,673 | 1,063,063 | 986,717 | |||||
Unrealized appreciation on foreign currency exchange contracts | 907,710 | — | 258 | — | — | — | |||||
Upfront payments paid on credit default swap contracts | 229,151 | — | — | — | — | — | |||||
Swap payments receivable | 131,024 | — | — | — | — | — | |||||
Securities lending income receivable | — | 2,810 | — | — | — | — | |||||
Variation margin due from brokers on centrally cleared credit default swap contracts | 1,342,413 | — | — | — | — | — | |||||
Variation margin due from brokers on centrally cleared interest rate swap contracts | 68,515 | — | — | — | — | — | |||||
Unrealized appreciation of credit default swap contracts | 1,014,019 | — | — | — | — | — | |||||
Total Assets | 3,322,100,982 | 537,163,731 | 1,994,146,695 | 1,546,387,299 | 617,795,708 | 491,628,841 |
Optimum Fixed Income Fund | Optimum International Fund | Optimum Large Cap Growth Fund | Optimum Large Cap Value Fund | Optimum Small-Mid Cap Growth Fund | Optimum Small-Mid Cap Value Fund | ||||||
Liabilities: | |||||||||||
Options written, at valueΣ | $ 180,227 | $ — | $ — | $ — | $ — | $ — | |||||
Due to custodian | — | 121,745 | 985,121 | 56,060 | 349,143 | — | |||||
Payable for securities purchased | 638,957,216 | 1,645,309 | 1,186,861 | 369,909 | 7,229,631 | 5,528,908 | |||||
Payable for fund shares redeemed | 2,518,846 | 638,360 | 3,332,313 | 1,709,109 | 1,230,863 | 570,589 | |||||
Cash collateral due to brokers | 1,771,000 | — | — | — | — | — | |||||
Investment management fees payable to affiliates | 1,095,174 | 321,773 | 1,110,076 | 824,327 | 505,280 | 382,624 | |||||
Upfront payments received on credit default swap contracts | 905,034 | — | — | — | — | — | |||||
Swap payments payable | 512,274 | — | — | — | — | — | |||||
Dividend disbursing and transfer agent fees and expenses payable to affiliates | 395,739 | 77,385 | 293,072 | 229,104 | 88,858 | 72,555 | |||||
Variation margin due to Credit Suisse on futures contracts | 364,467 | — | — | — | — | — | |||||
Other accrued expenses | 250,870 | 142,871 | 107,661 | 48,741 | 36,281 | 40,784 | |||||
Unrealized depreciation on credit default swap contracts | 184,487 | — | — | — | — | — | |||||
Interest payable | 118,385 | — | — | — | — | — | |||||
Administration expenses payable to affiliates | 114,976 | 22,483 | 85,148 | 66,563 | 25,816 | 21,080 | |||||
Distribution fees payable to affiliates | 78,762 | 16,210 | 71,715 | 52,408 | 11,585 | 7,368 | |||||
Trustees' fees and expenses payable to affiliates | 73,348 | 14,159 | 54,163 | 42,240 | 16,643 | 13,323 | |||||
Variation margin due to HSBC on future contracts | 24,391 | — | — | — | — | — | |||||
Accounting fees payable to affiliates | 14,794 | 3,157 | 11,041 | 8,703 | 3,577 | 2,981 | |||||
Unrealized depreciation on foreign currency exchange contracts | 7,440 | 3,125 | 184 | 599 | — | — | |||||
Variation margin due to brokers on centrally cleared credit default swap contracts | 5,266 | — | — | — | — | — | |||||
Obligation to return securities lending collateral | — | 16,635,300 | — | — | — | — | |||||
Other liabilities | — | 1,439 | — | — | — | — | |||||
Total Liabilities | 647,572,696 | 19,643,316 | 7,237,355 | 3,407,763 | 9,497,677 | 6,640,212 | |||||
Total Net Assets | $2,674,528,286 | $517,520,415 | $1,986,909,340 | $1,542,979,536 | $608,298,031 | $484,988,629 | |||||
Net Assets Consist of: | |||||||||||
Paid-in capital | $2,454,946,895 | $498,289,779 | $1,048,291,675 | $1,260,838,397 | $401,379,548 | $529,822,775 | |||||
Total distributable earnings (loss) | 219,581,391 | 19,230,636 | 938,617,665 | 282,141,139 | 206,918,483 | (44,834,146) | |||||
Total Net Assets | $2,674,528,286 | $517,520,415 | $1,986,909,340 | $1,542,979,536 | $608,298,031 | $484,988,629 |
Optimum Fixed Income Fund | Optimum International Fund | Optimum Large Cap Growth Fund | Optimum Large Cap Value Fund | Optimum Small-Mid Cap Growth Fund | Optimum Small-Mid Cap Value Fund | ||||||
Net Asset Value | |||||||||||
Class A: | |||||||||||
Net assets | $25,592,917 | $6,064,883 | $28,300,591 | $19,908,182 | $4,507,706 | $2,678,175 | |||||
Shares of beneficial interest outstanding, unlimited authorization, no par | 2,477,156 | 502,536 | 1,279,992 | 1,252,150 | 287,891 | 256,940 | |||||
Net asset value per share | $10.33 | $12.07 | $22.11 | $15.90 | $15.66 | $10.42 | |||||
Sales charge | 4.50% | 5.75% | 5.75% | 5.75% | 5.75% | 5.75% | |||||
Offering price per share, equal to net asset value per share / (1 - sales charge) | $10.82 | $12.81 | $23.46 | $16.87 | $16.62 | $11.06 | |||||
Class C: | |||||||||||
Net assets | $88,659,120 | $17,954,575 | $79,511,585 | $58,347,482 | $13,120,833 | $8,164,570 | |||||
Shares of beneficial interest outstanding, unlimited authorization, no par | 8,615,446 | 1,532,605 | 4,472,766 | 3,728,449 | 1,066,322 | 910,648 | |||||
Net asset value per share | $10.29 | $11.72 | $17.78 | $15.65 | $12.30 | $8.97 | |||||
Institutional Class: | |||||||||||
Net assets | $2,560,276,249 | $493,500,957 | $1,879,097,164 | $1,464,723,872 | $590,669,492 | $474,145,884 | |||||
Shares of beneficial interest outstanding, unlimited authorization, no par | 247,770,157 | 40,545,336 | 77,774,565 | 91,792,756 | 34,056,106 | 42,680,476 | |||||
Net asset value per share | $10.33 | $12.17 | $24.16 | $15.96 | $17.34 | $11.11 | |||||
*Investments, at cost | $2,954,055,646 | $504,815,849 | $1,190,082,185 | $1,271,652,962 | $487,876,550 | $533,128,245 | |||||
†Including securities on loan | — | 12,903,914 | — | — | — | — | |||||
=Short-term investments held as collateral for loaned securities, at cost | — | 16,636,692 | — | — | — | — | |||||
ΔForeign currencies, at cost | 3,263,779 | 117,221 | 217 | — | — | — | |||||
ΣPremium received | (59,140) | — | — | — | — | — |
Optimum Fixed Income Fund | Optimum International Fund | Optimum Large Cap Growth Fund | Optimum Large Cap Value Fund | Optimum Small-Mid Cap Growth Fund | Optimum Small-Mid Cap Value Fund | ||||||
Investment Income: | |||||||||||
Interest | $34,653,755 | $— | $34 | $24 | $— | $— | |||||
Dividends | 13,087 | 8,227,953 | 5,603,225 | 18,288,965 | 792,368 | 5,585,976 | |||||
Securities lending income | — | 107,606 | — | — | — | — | |||||
Foreign tax withheld | — | (851,637) | (40,839) | (95,535) | — | (4,654) | |||||
34,666,842 | 7,483,922 | 5,562,420 | 18,193,454 | 792,368 | 5,581,322 | ||||||
Expenses: | |||||||||||
Management fees | 6,541,062 | 1,861,776 | 6,300,802 | 4,810,863 | 2,860,992 | 2,188,767 | |||||
Distribution expenses — Class A | 32,252 | 7,421 | 33,679 | 24,310 | 5,169 | 3,154 | |||||
Distribution expenses — Class C | 444,085 | 86,983 | 378,620 | 282,804 | 60,087 | 38,225 | |||||
Dividend disbursing and transfer agent fees and expenses | 2,374,029 | 455,201 | 1,670,567 | 1,346,783 | 507,529 | 421,549 | |||||
Administration expenses | 684,696 | 130,254 | 481,090 | 387,611 | 144,957 | 120,167 | |||||
Accounting fees | 295,006 | 71,062 | 212,004 | 174,563 | 76,929 | 66,993 | |||||
Trustees' fees and expenses | 177,492 | 29,695 | 112,459 | 79,667 | 32,188 | 15,627 | |||||
Reports and statements to shareholders expenses | 153,233 | 1,294 | 51,953 | 54,304 | 1,781 | 295 | |||||
Professional fees | 109,628 | 36,399 | 87,744 | 60,914 | 33,418 | 16,139 | |||||
Pricing fees | 93,003 | 19,877 | 2,642 | 1,511 | 9,227 | 2,518 | |||||
Investment interest expense | 85,854 | — | — | — | — | — | |||||
Custodian fees | 71,504 | 103,788 | 24,189 | 14,238 | 1,539 | 2,374 | |||||
Registration fees | 41,637 | 37,551 | 37,552 | 37,552 | 30,022 | 35,674 | |||||
Insurance fees | 22,460 | 4,922 | 15,249 | 14,956 | 5,074 | 4,932 | |||||
Tax services | 3,261 | 13,025 | 365 | 180 | 383 | 363 | |||||
Other | 11,855 | 3,842 | 13,792 | 8,337 | 3,775 | 5,892 | |||||
11,141,057 | 2,863,090 | 9,422,707 | 7,298,593 | 3,773,070 | 2,922,669 | ||||||
Less expenses waived | — | (51,694) | — | — | (125,295) | (93,122) | |||||
Less expenses paid indirectly | (395) | (362) | (442) | (438) | (427) | (429) | |||||
Total operating expenses | 11,140,662 | 2,811,034 | 9,422,265 | 7,298,155 | 3,647,348 | 2,829,118 | |||||
Net Investment Income (Loss) | 23,526,180 | 4,672,888 | (3,859,845) | 10,895,299 | (2,854,980) | 2,752,204 |
Optimum Fixed Income Fund | Optimum International Fund | Optimum Large Cap Growth Fund | Optimum Large Cap Value Fund | Optimum Small-Mid Cap Growth Fund | Optimum Small-Mid Cap Value Fund | ||||||
Net Realized and Unrealized Gain (Loss): | |||||||||||
Net realized gain (loss) on: | |||||||||||
Investments | $46,144,277 | $(3,203,060) | $73,793,159 | $(9,263,102) | $69,056,413 | $3,291,315 | |||||
Foreign currencies | 208,047 | (43,235) | (10,737) | (7,597) | — | — | |||||
Foreign currency exchange contracts | (5,279,403) | (129,654) | 7,211 | (640) | — | — | |||||
Futures contracts | 4,147,369 | — | — | — | — | — | |||||
Options written | 2,388 | — | — | — | — | — | |||||
Options purchased | (2,432) | — | — | — | — | — | |||||
Swap contracts | (1,953,118) | — | — | — | — | — | |||||
Net realized gain (loss) | 43,267,128 | (3,375,949) | 73,789,633 | (9,271,339) | 69,056,413 | 3,291,315 | |||||
Net change in unrealized appreciation (depreciation) of: | |||||||||||
Investments* | 100,907,927 | 90,839,767 | 549,871,386 | 260,685,983 | 157,630,095 | 88,910,427 | |||||
Foreign currencies | (59,021) | 137,430 | (4,245) | 23,016 | — | — | |||||
Foreign currency exchange contracts | 2,601,324 | (3,061) | 3,628 | (599) | — | — | |||||
Futures contracts | (2,382,967) | — | — | — | — | — | |||||
Options purchased | 22,601 | — | — | — | — | — | |||||
Options written | (140,892) | — | — | — | — | — | |||||
Swap contracts | 3,417,166 | — | — | — | — | — | |||||
Net change in unrealized appreciation (depreciation) | 104,366,138 | 90,974,136 | 549,870,769 | 260,708,400 | 157,630,095 | 88,910,427 | |||||
Net Realized and Unrealized Gain | 147,633,266 | 87,598,187 | 623,660,402 | 251,437,061 | 226,686,508 | 92,201,742 | |||||
Net Increase in Net Assets Resulting from Operations | $171,159,446 | $92,271,075 | $619,800,557 | $262,332,360 | $223,831,528 | $94,953,946 |
* | Includes increase of $29,925 capital gains taxes accrued for Optimum International Fund. |
Optimum Fixed Income Fund | Optimum International Fund | ||||||
Six months ended 9/30/20 (Unaudited) | Year ended 3/31/20 | Six months ended 9/30/20 (Unaudited) | Year ended 3/31/20 | ||||
Increase (Decrease) in Net Assets from Operations: | |||||||
Net investment income | $23,526,180 | $57,371,981 | $4,672,888 | $9,945,342 | |||
Net realized gain (loss) | 43,267,128 | 85,601,229 | (3,375,949) | 6,990,042 | |||
Net change in unrealized appreciation (depreciation) | 104,366,138 | (13,190,042) | 90,974,136 | (121,070,513) | |||
Net increase (decrease) in net assets resulting from operations | 171,159,446 | 129,783,168 | 92,271,075 | (104,135,129) | |||
Dividends and Distributions to Shareholders from: | |||||||
Distributable earnings: | |||||||
Class A | — | (729,200) | (2) | (129,231) | |||
Class C | — | (1,874,420) | (4) | (242,141) | |||
Institutional Class | — | (74,081,149) | (110) | (11,340,289) | |||
— | (76,684,769) | (116) | (11,711,661) | ||||
Capital Share Transactions: | |||||||
Proceeds from shares sold: | |||||||
Class A | 1,089,156 | 964,454 | 290,083 | 365,421 | |||
Class C | 2,741,366 | 4,145,725 | 902,980 | 950,756 | |||
Institutional Class | 207,860,144 | 400,165,847 | 35,314,505 | 78,228,473 | |||
Net asset value of shares issued upon reinvestment of dividends and distributions: | |||||||
Class A | — | 728,902 | — | 128,801 | |||
Class C | — | 1,872,172 | — | 241,693 | |||
Institutional Class | — | 73,976,714 | — | 11,327,444 | |||
211,690,666 | 481,853,814 | 36,507,568 | 91,242,588 | ||||
Cost of shares redeemed: | |||||||
Class A | (2,007,747) | (4,124,455) | (448,071) | (1,277,785) | |||
Class C | (5,378,877) | (14,614,057) | (1,255,411) | (3,722,127) | |||
Institutional Class | (190,519,284) | (395,449,735) | (36,746,368) | (97,166,739) | |||
(197,905,908) | (414,188,247) | (38,449,850) | (102,166,651) | ||||
Increase (decrease) in net assets derived from capital share transactions | 13,784,758 | 67,665,567 | (1,942,282) | (10,924,063) | |||
Net Increase (Decrease) in Net Assets | 184,944,204 | 120,763,966 | 90,328,677 | (126,770,853) | |||
Net Assets: | |||||||
Beginning of period | 2,489,584,082 | 2,368,820,116 | 427,191,738 | 553,962,591 | |||
End of period | $2,674,528,286 | $2,489,584,082 | $517,520,415 | $427,191,738 |
Optimum Large Cap Growth Fund | Optimum Large Cap Value Fund | ||||||
Six months ended 9/30/20 (Unaudited) | Year ended 3/31/20 | Six months ended 9/30/20 (Unaudited) | Year ended 3/31/20 | ||||
Increase (Decrease) in Net Assets from Operations: | |||||||
Net investment income (loss) | $(3,859,845) | $(3,099,534) | $10,895,299 | $22,771,277 | |||
Net realized gain (loss) | 73,789,633 | 112,006,615 | (9,271,339) | 30,650,070 | |||
Net change in unrealized appreciation (depreciation) | 549,870,769 | (161,142,853) | 260,708,400 | (265,765,729) | |||
Net increase (decrease) in net assets resulting from operations | 619,800,557 | (52,235,772) | 262,332,360 | (212,344,382) | |||
Dividends and Distributions to Shareholders from: | |||||||
Distributable earnings: | |||||||
Class A | — | (894,659) | — | (580,399) | |||
Class C | — | (3,088,118) | — | (1,222,359) | |||
Institutional Class | — | (49,312,858) | — | (44,171,546) | |||
— | (53,295,635) | — | (45,974,304) | ||||
Capital Share Transactions: | |||||||
Proceeds from shares sold: | |||||||
Class A | 170,359 | 484,165 | 665,791 | 553,769 | |||
Class C | 556,511 | 696,294 | 1,957,821 | 1,257,878 | |||
Institutional Class | 85,256,642 | 205,139,697 | 103,241,146 | 217,968,202 | |||
Net asset value of shares issued upon reinvestment of dividends and distributions: | |||||||
Class A | — | 894,314 | — | 580,160 | |||
Class C | — | 3,081,679 | — | 1,219,320 | |||
Institutional Class | — | 49,223,354 | — | 44,100,170 | |||
85,983,512 | 259,519,503 | 105,864,758 | 265,679,499 | ||||
Cost of shares redeemed: | |||||||
Class A | (3,389,685) | (7,135,138) | (1,336,152) | (4,477,827) | |||
Class C | (9,806,139) | (18,250,705) | (3,487,762) | (12,256,335) | |||
Institutional Class | (184,075,457) | (326,372,554) | (105,017,329) | (273,883,143) | |||
(197,271,281) | (351,758,397) | (109,841,243) | (290,617,305) | ||||
Decrease in net assets derived from capital share transactions | (111,287,769) | (92,238,894) | (3,976,485) | (24,937,806) | |||
Net Increase (Decrease) in Net Assets | 508,512,788 | (197,770,301) | 258,355,875 | (283,256,492) | |||
Net Assets: | |||||||
Beginning of period | 1,478,396,552 | 1,676,166,853 | 1,284,623,661 | 1,567,880,153 | |||
End of period | $1,986,909,340 | $1,478,396,552 | $1,542,979,536 | $1,284,623,661 |
Optimum Small-Mid Cap Growth Fund | Optimum Small-Mid Cap Value Fund | ||||||
Six months ended 9/30/20 (Unaudited) | Year ended 3/31/20 | Six months ended 9/30/20 (Unaudited) | Year ended 3/31/20 | ||||
Increase (Decrease) in Net Assets from Operations: | |||||||
Net investment income (loss) | $(2,854,980) | $(4,581,761) | $2,752,204 | $5,438,299 | |||
Net realized gain (loss) | 69,056,413 | 55,801,297 | 3,291,315 | (1,337,248) | |||
Net change in unrealized appreciation (depreciation) | 157,630,095 | (132,276,278) | 88,910,427 | (155,870,859) | |||
Net increase (decrease) in net assets resulting from operations | 223,831,528 | (81,056,742) | 94,953,946 | (151,769,808) | |||
Dividends and Distributions to Shareholders from: | |||||||
Distributable earnings: | |||||||
Class A | — | (409,951) | — | (88,053) | |||
Class C | — | (1,452,655) | — | (243,686) | |||
Institutional Class | — | (44,812,148) | — | (16,364,520) | |||
— | (46,674,754) | — | (16,696,259) | ||||
Capital Share Transactions: | |||||||
Proceeds from shares sold: | |||||||
Class A | 33,786 | 108,914 | 386,290 | 152,875 | |||
Class C | 122,444 | 136,873 | 1,081,503 | 520,687 | |||
Institutional Class | 31,746,865 | 76,485,837 | 50,316,854 | 92,797,943 | |||
Net asset value of shares issued upon reinvestment of dividends and distributions: | |||||||
Class A | — | 409,440 | — | 87,962 | |||
Class C | — | 1,451,859 | — | 243,369 | |||
Institutional Class | — | 44,772,511 | — | 16,347,235 | |||
31,903,095 | 123,365,434 | 51,784,647 | 110,150,071 | ||||
Cost of shares redeemed: | |||||||
Class A | (451,277) | (1,029,204) | (192,177) | (669,099) | |||
Class C | (1,205,973) | (2,393,796) | (495,400) | (1,527,614) | |||
Institutional Class | (64,513,593) | (86,251,169) | (35,730,717) | (84,406,655) | |||
(66,170,843) | (89,674,169) | (36,418,294) | (86,603,368) | ||||
Increase (decrease) in net assets derived from capital share transactions | (34,267,748) | 33,691,265 | 15,366,353 | 23,546,703 | |||
Net Increase (Decrease) in Net Assets | 189,563,780 | (94,040,231) | 110,320,299 | (144,919,364) | |||
Net Assets: | |||||||
Beginning of period | 418,734,251 | 512,774,482 | 374,668,330 | 519,587,694 | |||
End of period | $608,298,031 | $418,734,251 | $484,988,629 | $374,668,330 |
Six months ended 9/30/201 (Unaudited) | Year ended | ||||||||||||
3/31/20 | 3/31/19 | 3/31/18 | 3/31/17 | 3/31/16 | |||||||||
Net asset value, beginning of period | $9.67 | $9.46 | $9.35 | $9.39 | $9.37 | $9.72 | |||||||
Income (loss) from investment operations: | |||||||||||||
Net investment income2 | 0.08 | 0.21 | 0.23 | 0.22 | 0.20 | 0.20 | |||||||
Net realized and unrealized gain (loss) | 0.58 | 0.29 | 0.08 | (0.05) | —3 | (0.28) | |||||||
Total from investment operations | 0.66 | 0.50 | 0.31 | 0.17 | 0.20 | (0.08) | |||||||
Less dividends and distributions from: | |||||||||||||
Net investment income | — | (0.23) | (0.20) | (0.21) | (0.18) | (0.25) | |||||||
Net realized gain | — | (0.06) | — | — | — | (0.02) | |||||||
Total dividends and distributions | — | (0.29) | (0.20) | (0.21) | (0.18) | (0.27) | |||||||
Net asset value, end of period | $10.33 | $9.67 | $9.46 | $9.35 | $9.39 | $9.37 | |||||||
Total return4 | 6.83% | 5.24%5 | 3.37% | 1.81% | 2.03%6 | (0.63%)6 | |||||||
Ratios and supplemental data: | |||||||||||||
Net assets, end of period (000 omitted) | $25,593 | $24,827 | $26,613 | $30,150 | $33,838 | $39,545 | |||||||
Ratio of expenses to average net assets7 | 1.06% | 1.07% | 1.08% | 1.10% | 1.17% | 1.23% | |||||||
Ratio of expenses to average net assets prior to fees waived7 | 1.06% | 1.07% | 1.08% | 1.10% | 1.18% | 1.23% | |||||||
Ratio of net investment income to average net assets | 1.59% | 2.11% | 2.43% | 2.29% | 2.12% | 2.13% | |||||||
Ratio of net investment income to average net assets prior to fees waived | 1.59% | 2.11% | 2.43% | 2.29% | 2.11% | 2.13% | |||||||
Portfolio turnover | 94% | 361%8 | 453% | 403% | 419% | 536% |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding method has been applied for per share information. |
3 | Amount is less than $0.005 per share. |
4 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value and does not reflect the impact of a sales charge. |
5 | General Motors term loan litigation were included in total return. If excluded, the impact on the total return would be 0.04% lower. See Note 10 in “Notes to financial statements.” |
6 | Total return during the period reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
7 | Expense ratios do not include expenses of the Underlying Funds in which the Fund invests. |
8 | The Fund accounts for mortgage dollar roll transactions, when applicable, as purchases and sales which, as a result, can increase its portfolio turnover rate. |
Six months ended 9/30/201 (Unaudited) | Year ended | ||||||||||||
3/31/20 | 3/31/19 | 3/31/18 | 3/31/17 | 3/31/16 | |||||||||
Net asset value, beginning of period | $9.67 | $9.45 | $9.34 | $9.38 | $9.37 | $9.71 | |||||||
Income (loss) from investment operations: | |||||||||||||
Net investment income2 | 0.04 | 0.13 | 0.16 | 0.15 | 0.13 | 0.13 | |||||||
Net realized and unrealized gain (loss) | 0.58 | 0.30 | 0.07 | (0.05) | (0.01) | (0.27) | |||||||
Total from investment operations | 0.62 | 0.43 | 0.23 | 0.10 | 0.12 | (0.14) | |||||||
Less dividends and distributions from: | |||||||||||||
Net investment income | — | (0.15) | (0.12) | (0.14) | (0.11) | (0.18) | |||||||
Net realized gain | — | (0.06) | — | — | — | (0.02) | |||||||
Total dividends and distributions | — | (0.21) | (0.12) | (0.14) | (0.11) | (0.20) | |||||||
Net asset value, end of period | $10.29 | $9.67 | $9.45 | $9.34 | $9.38 | $9.37 | |||||||
Total return3 | 6.41% | 4.55%4 | 2.52% | 1.06% | 1.27%5 | (1.39%)5 | |||||||
Ratios and supplemental data: | |||||||||||||
Net assets, end of period (000 omitted) | $88,659 | $85,853 | $92,295 | $105,194 | $124,024 | $153,266 | |||||||
Ratio of expenses to average net assets6 | 1.81% | 1.82% | 1.83% | 1.85% | 1.92% | 1.98% | |||||||
Ratio of expenses to average net assets prior to fees waived6 | 1.81% | 1.82% | 1.83% | 1.85% | 1.93% | 1.98% | |||||||
Ratio of net investment income to average net assets | 0.84% | 1.36% | 1.68% | 1.54% | 1.37% | 1.38% | |||||||
Ratio of net investment income to average net assets prior to fees waived | 0.84% | 1.36% | 1.68% | 1.54% | 1.36% | 1.38% | |||||||
Portfolio turnover | 94% | 361%7 | 453% | 403% | 419% | 536% |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding method has been applied for per share information. |
3 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value and does not reflect the impact of a sales charge. |
4 | General Motors term loan litigation were included in total return. If excluded, the impact on the total return would be 0.04% lower. See Note 10 in “Notes to financial statements.” |
5 | Total return during the period reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
6 | Expense ratios do not include expenses of the Underlying Funds in which the Fund invests. |
7 | The Fund accounts for mortgage dollar roll transactions, when applicable, as purchases and sales which, as a result, can increase its portfolio turnover rate. |
Six months ended 9/30/201 (Unaudited) | Year ended | ||||||||||||
3/31/20 | 3/31/19 | 3/31/18 | 3/31/17 | 3/31/16 | |||||||||
Net asset value, beginning of period | $9.66 | $9.45 | $9.34 | $9.39 | $9.37 | $9.72 | |||||||
Income (loss) from investment operations: | |||||||||||||
Net investment income2 | 0.09 | 0.23 | 0.25 | 0.24 | 0.23 | 0.23 | |||||||
Net realized and unrealized gain (loss) | 0.58 | 0.29 | 0.08 | (0.05) | (0.01) | (0.28) | |||||||
Total from investment operations | 0.67 | 0.52 | 0.33 | 0.19 | 0.22 | (0.05) | |||||||
Less dividends and distributions from: | |||||||||||||
Net investment income | — | (0.25) | (0.22) | (0.24) | (0.20) | (0.28) | |||||||
Net realized gain | — | (0.06) | — | — | — | (0.02) | |||||||
Total dividends and distributions | — | (0.31) | (0.22) | (0.24) | (0.20) | (0.30) | |||||||
Net asset value, end of period | $10.33 | $9.66 | $9.45 | $9.34 | $9.39 | $9.37 | |||||||
Total return3 | 6.94% | 5.52%4 | 3.65% | 1.96% | 2.40%5 | (0.48%)5 | |||||||
Ratios and supplemental data: | |||||||||||||
Net assets, end of period (000 omitted) | $2,560,276 | $2,378,904 | $2,249,912 | $1,882,394 | $1,725,289 | $1,892,775 | |||||||
Ratio of expenses to average net assets6 | 0.81% | 0.82% | 0.83% | 0.85% | 0.92% | 0.98% | |||||||
Ratio of expenses to average net assets prior to fees waived6 | 0.81% | 0.82% | 0.83% | 0.85% | 0.93% | 0.98% | |||||||
Ratio of net investment income to average net assets | 1.84% | 2.36% | 2.68% | 2.54% | 2.37% | 2.38% | |||||||
Ratio of net investment income to average net assets prior to fees waived | 1.84% | 2.36% | 2.68% | 2.54% | 2.36% | 2.38% | |||||||
Portfolio turnover | 94% | 361%7 | 453% | 403% | 419% | 536% |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding method has been applied for per share information. |
3 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. |
4 | General Motors term loan litigation were included in total return. If excluded, the impact on the total return would be 0.04% lower. See Note 10 in “Notes to financial statements.” |
5 | Total return during the period reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
6 | Expense ratios do not include expenses of the Underlying Funds in which the Fund invests. |
7 | The Fund accounts for mortgage dollar roll transactions, when applicable, as purchases and sales which, as a result, can increase its portfolio turnover rate. |
Six months ended 9/30/201 (Unaudited) | Year ended | ||||||||||||
3/31/20 | 3/31/19 | 3/31/18 | 3/31/17 | 3/31/16 | |||||||||
Net asset value, beginning of period | $9.93 | $12.59 | $14.42 | $12.27 | $10.95 | $11.66 | |||||||
Income (loss) from investment operations: | |||||||||||||
Net investment income2 | 0.10 | 0.20 | 0.17 | 0.12 | 0.11 | 0.08 | |||||||
Net realized and unrealized gain (loss) | 2.04 | (2.61) | (1.00) | 2.29 | 1.31 | (0.73) | |||||||
Total from investment operations | 2.14 | (2.41) | (0.83) | 2.41 | 1.42 | (0.65) | |||||||
Less dividends and distributions from: | |||||||||||||
Net investment income | — | (0.21) | (0.18) | (0.11) | (0.10) | (0.06) | |||||||
Net realized gain | — | (0.04) | (0.82) | (0.15) | — | — | |||||||
Total dividends and distributions | — | (0.25) | (1.00) | (0.26) | (0.10) | (0.06) | |||||||
Net asset value, end of period | $12.07 | $9.93 | $12.59 | $14.42 | $12.27 | $10.95 | |||||||
Total return3 | 21.43% | (19.62%)4 | (5.33%) | 19.74%4 | 13.08% | (5.58%)4 | |||||||
Ratios and supplemental data: | |||||||||||||
Net assets, end of period (000 omitted) | $6,065 | $5,121 | $7,275 | $8,704 | $8,680 | $9,117 | |||||||
Ratio of expenses to average net assets5 | 1.34% | 1.37% | 1.37% | 1.36% | 1.48% | 1.56% | |||||||
Ratio of expenses to average net assets prior to fees waived5 | 1.36% | 1.39% | 1.37% | 1.36% | 1.48% | 1.56% | |||||||
Ratio of net investment income to average net assets | 1.67% | 1.62% | 1.30% | 0.90% | 0.93% | 0.74% | |||||||
Ratio of net investment income to average net assets prior to fees waived | 1.65% | 1.60% | 1.30% | 0.90% | 0.93% | 0.74% | |||||||
Portfolio turnover | 40% | 51% | 63% | 52% | 68% | 47% |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding method has been applied for per share information. |
3 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value and does not reflect the impact of a sales charge. |
4 | Total return during the period reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
5 | Expense ratios do not include expenses of the Underlying Funds in which the Fund invests. |
Six months ended 9/30/201 (Unaudited) | Year ended | ||||||||||||
3/31/20 | 3/31/19 | 3/31/18 | 3/31/17 | 3/31/16 | |||||||||
Net asset value, beginning of period | $9.68 | $12.27 | $14.06 | $11.98 | $10.69 | $11.41 | |||||||
Income (loss) from investment operations: | |||||||||||||
Net investment income (loss)2 | 0.05 | 0.11 | 0.07 | 0.02 | 0.02 | —3 | |||||||
Net realized and unrealized gain (loss) | 1.99 | (2.54) | (0.98) | 2.23 | 1.30 | (0.72) | |||||||
Total from investment operations | 2.04 | (2.43) | (0.91) | 2.25 | 1.32 | (0.72) | |||||||
Less dividends and distributions from: | |||||||||||||
Net investment income | — | (0.12) | (0.06) | (0.02) | (0.03) | — | |||||||
Net realized gain | — | (0.04) | (0.82) | (0.15) | — | — | |||||||
Total dividends and distributions | — | (0.16) | (0.88) | (0.17) | (0.03) | — | |||||||
Net asset value, end of period | $11.72 | $9.68 | $12.27 | $14.06 | $11.98 | $10.69 | |||||||
Total return4 | 21.08% | (20.16%)5 | (6.07%) | 18.82%5 | 12.32% | (6.31%)5 | |||||||
Ratios and supplemental data: | |||||||||||||
Net assets, end of period (000 omitted) | $17,954 | $15,138 | $21,763 | $28,046 | $29,544 | $31,777 | |||||||
Ratio of expenses to average net assets6 | 2.09% | 2.12% | 2.12% | 2.11% | 2.23% | 2.31% | |||||||
Ratio of expenses to average net assets prior to fees waived6 | 2.11% | 2.14% | 2.12% | 2.11% | 2.23% | 2.31% | |||||||
Ratio of net investment income (loss) to average net assets | 0.92% | 0.87% | 0.55% | 0.15% | 0.18% | (0.01%) | |||||||
Ratio of net investment income (loss) to average net assets prior to fees waived | 0.90% | 0.85% | 0.55% | 0.15% | 0.18% | (0.01%) | |||||||
Portfolio turnover | 40% | 51% | 63% | 52% | 68% | 47% |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding method has been applied for per share information. |
3 | Amount is less than $(0.005) per share. |
4 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value and does not reflect the impact of a sales charge. |
5 | Total return during the period reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
6 | Expense ratios do not include expenses of the Underlying Funds in which the Fund invests. |
Six months ended 9/30/201 (Unaudited) | Year ended | ||||||||||||
3/31/20 | 3/31/19 | 3/31/18 | 3/31/17 | 3/31/16 | |||||||||
Net asset value, beginning of period | $10.00 | $12.68 | $14.52 | $12.35 | $11.02 | $11.74 | |||||||
Income (loss) from investment operations: | |||||||||||||
Net investment income2 | 0.11 | 0.24 | 0.21 | 0.16 | 0.14 | 0.11 | |||||||
Net realized and unrealized gain (loss) | 2.06 | (2.63) | (1.02) | 2.31 | 1.32 | (0.74) | |||||||
Total from investment operations | 2.17 | (2.39) | (0.81) | 2.47 | 1.46 | (0.63) | |||||||
Less dividends and distributions from: | |||||||||||||
Net investment income | — | (0.25) | (0.21) | (0.15) | (0.13) | (0.09) | |||||||
Net realized gain | — | (0.04) | (0.82) | (0.15) | — | — | |||||||
Total dividends and distributions | — | (0.29) | (1.03) | (0.30) | (0.13) | (0.09) | |||||||
Net asset value, end of period | $12.17 | $10.00 | $12.68 | $14.52 | $12.35 | $11.02 | |||||||
Total return3 | 21.58% | (19.44%)4 | (5.09%) | 20.05%4 | 13.36% | (5.38%)4 | |||||||
Ratios and supplemental data: | |||||||||||||
Net assets, end of period (000 omitted) | $493,501 | $406,933 | $524,925 | $629,934 | $525,431 | $542,055 | |||||||
Ratio of expenses to average net assets5 | 1.09% | 1.12% | 1.12% | 1.11% | 1.23% | 1.31% | |||||||
Ratio of expenses to average net assets prior to fees waived5 | 1.11% | 1.14% | 1.12% | 1.11% | 1.23% | 1.31% | |||||||
Ratio of net investment income to average net assets | 1.92% | 1.87% | 1.55% | 1.15% | 1.18% | 0.99% | |||||||
Ratio of net investment income to average net assets prior to fees waived | 1.90% | 1.85% | 1.55% | 1.15% | 1.18% | 0.99% | |||||||
Portfolio turnover | 40% | 51% | 63% | 52% | 68% | 47% |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding method has been applied for per share information. |
3 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. |
4 | Total return during the period reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
5 | Expense ratios do not include expenses of the Underlying Funds in which the Fund invests. |
Six months ended 9/30/201 (Unaudited) | Year ended | ||||||||||||
3/31/20 | 3/31/19 | 3/31/18 | 3/31/17 | 3/31/16 | |||||||||
Net asset value, beginning of period | $15.51 | $16.70 | $17.22 | $16.84 | $14.97 | $17.00 | |||||||
Income (loss) from investment operations: | |||||||||||||
Net investment loss2 | (0.06) | (0.07) | (0.03) | (0.06) | (0.06) | (0.10) | |||||||
Net realized and unrealized gain (loss) | 6.66 | (0.53) | 1.82 | 3.70 | 2.52 | (0.20) | |||||||
Total from investment operations | 6.60 | (0.60) | 1.79 | 3.64 | 2.46 | (0.30) | |||||||
Less dividends and distributions from: | |||||||||||||
Net realized gain | — | (0.59) | (2.31) | (3.26) | (0.59) | (1.73) | |||||||
Total dividends and distributions | — | (0.59) | (2.31) | (3.26) | (0.59) | (1.73) | |||||||
Net asset value, end of period | $22.11 | $15.51 | $16.70 | $17.22 | $16.84 | $14.97 | |||||||
Total return3 | 42.55% | (4.03%) | 11.60% | 22.17%4 | 16.83%4 | (2.27%)4 | |||||||
Ratios and supplemental data: | |||||||||||||
Net assets, end of period (000 omitted) | $28,301 | $22,363 | $29,605 | $32,254 | $32,215 | $33,787 | |||||||
Ratio of expenses to average net assets5 | 1.23% | 1.24% | 1.25% | 1.26% | 1.35% | 1.42% | |||||||
Ratio of expenses to average net assets prior to fees waived5 | 1.23% | 1.24% | 1.25% | 1.26% | 1.38% | 1.44% | |||||||
Ratio of net investment loss to average net assets | (0.62%) | (0.38%) | (0.19%) | (0.31%) | (0.35%) | (0.62%) | |||||||
Ratio of net investment loss to average net assets prior to fees waived | (0.62%) | (0.38%) | (0.19%) | (0.31%) | (0.38%) | (0.64%) | |||||||
Portfolio turnover | 14% | 29% | 25% | 77%6 | 52% | 88% |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding method has been applied for per share information. |
3 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value and does not reflect the impact of a sales charge. |
4 | Total return during the period reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
5 | Expense ratios do not include expenses of the Underlying Funds in which the Fund invests. |
6 | As a result of ClearBridge Investments, LLC replacing Fred Alger Management Inc. as one of the sub-advisors to Optimum Large Cap Growth Fund during the Fund’s fiscal year ending March 31, 2018, the Fund’s portfolio turnover rate increased during the year ended March 31, 2018. |
Six months ended 9/30/201 (Unaudited) | Year ended | ||||||||||||
3/31/20 | 3/31/19 | 3/31/18 | 3/31/17 | 3/31/16 | |||||||||
Net asset value, beginning of period | $12.52 | $13.68 | $14.62 | $14.81 | $13.34 | $15.44 | |||||||
Income (loss) from investment operations: | |||||||||||||
Net investment loss2 | (0.11) | (0.16) | (0.14) | (0.17) | (0.15) | (0.20) | |||||||
Net realized and unrealized gain (loss) | 5.37 | (0.41) | 1.51 | 3.24 | 2.21 | (0.17) | |||||||
Total from investment operations | 5.26 | (0.57) | 1.37 | 3.07 | 2.06 | (0.37) | |||||||
Less dividends and distributions from: | |||||||||||||
Net realized gain | — | (0.59) | (2.31) | (3.26) | (0.59) | (1.73) | |||||||
Total dividends and distributions | — | (0.59) | (2.31) | (3.26) | (0.59) | (1.73) | |||||||
Net asset value, end of period | $17.78 | $12.52 | $13.68 | $14.62 | $14.81 | $13.34 | |||||||
Total return3 | 42.01% | (4.71%) | 10.74% | 21.30%4 | 15.88%4 | (2.98%)4 | |||||||
Ratios and supplemental data: | |||||||||||||
Net assets, end of period (000 omitted) | $79,511 | $63,237 | $83,010 | $97,658 | $105,082 | $114,907 | |||||||
Ratio of expenses to average net assets5 | 1.98% | 1.99% | 2.00% | 2.01% | 2.10% | 2.17% | |||||||
Ratio of expenses to average net assets prior to fees waived5 | 1.98% | 1.99% | 2.00% | 2.01% | 2.13% | 2.19% | |||||||
Ratio of net investment loss to average net assets | (1.37%) | (1.13%) | (0.94%) | (1.06%) | (1.10%) | (1.37%) | |||||||
Ratio of net investment loss to average net assets prior to fees waived | (1.37%) | (1.13%) | (0.94%) | (1.06%) | (1.13%) | (1.39%) | |||||||
Portfolio turnover | 14% | 29% | 25% | 77%6 | 52% | 88% |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding method has been applied for per share information. |
3 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value and does not reflect the impact of a sales charge. |
4 | Total return during the period reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
5 | Expense ratios do not include expenses of the Underlying Funds in which the Fund invests. |
6 | As a result of ClearBridge Investments, LLC replacing Fred Alger Management Inc. as one of the sub-advisors to Optimum Large Cap Growth Fund during the Fund’s fiscal year ending March 31, 2018, the Fund’s portfolio turnover rate increased during the year ended March 31, 2018. |
Six months ended 9/30/201 (Unaudited) | Year ended | ||||||||||||
3/31/20 | 3/31/19 | 3/31/18 | 3/31/17 | 3/31/16 | |||||||||
Net asset value, beginning of period | $16.93 | $18.13 | $18.46 | $17.81 | $15.76 | $17.76 | |||||||
Income (loss) from investment operations: | |||||||||||||
Net investment income (loss)2 | (0.04) | (0.02) | 0.01 | (0.01) | (0.02) | (0.06) | |||||||
Net realized and unrealized gain (loss) | 7.27 | (0.59) | 1.97 | 3.92 | 2.66 | (0.21) | |||||||
Total from investment operations | 7.23 | (0.61) | 1.98 | 3.91 | 2.64 | (0.27) | |||||||
Less dividends and distributions from: | |||||||||||||
Net realized gain | — | (0.59) | (2.31) | (3.26) | (0.59) | (1.73) | |||||||
Total dividends and distributions | — | (0.59) | (2.31) | (3.26) | (0.59) | (1.73) | |||||||
Net asset value, end of period | $24.16 | $16.93 | $18.13 | $18.46 | $17.81 | $15.76 | |||||||
Total return3 | 42.71% | (3.77%) | 11.86% | 22.50%4 | 17.14%4 | (2.00%)4 | |||||||
Ratios and supplemental data: | |||||||||||||
Net assets, end of period (000 omitted) | $1,879,097 | $1,392,797 | $1,563,552 | $1,610,343 | $1,348,419 | $1,356,335 | |||||||
Ratio of expenses to average net assets5 | 0.98% | 0.99% | 1.00% | 1.01% | 1.10% | 1.17% | |||||||
Ratio of expenses to average net assets prior to fees waived5 | 0.98% | 0.99% | 1.00% | 1.01% | 1.13% | 1.19% | |||||||
Ratio of net investment income (loss) to average net assets | (0.37%) | (0.13%) | 0.06% | (0.06%) | (0.10%) | (0.37%) | |||||||
Ratio of net investment income (loss) to average net assets prior to fees waived | (0.37%) | (0.13%) | 0.06% | (0.06%) | (0.13%) | (0.39%) | |||||||
Portfolio turnover | 14% | 29% | 25% | 77%6 | 52% | 88% |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding method has been applied for per share information. |
3 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. |
4 | Total return during the period reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
5 | Expense ratios do not include expenses of the Underlying Funds in which the Fund invests. |
6 | As a result of ClearBridge Investments, LLC replacing Fred Alger Management Inc. as one of the sub-advisors to Optimum Large Cap Growth Fund during the Fund’s fiscal year ending March 31, 2018, the Fund’s portfolio turnover rate increased during the year ended March 31, 2018. |
Six months ended 9/30/201 (Unaudited) | Year ended | ||||||||||||
3/31/20 | 3/31/19 | 3/31/18 | 3/31/17 | 3/31/16 | |||||||||
Net asset value, beginning of period | $13.22 | $15.83 | $15.89 | $15.42 | $15.13 | $16.01 | |||||||
Income (loss) from investment operations: | |||||||||||||
Net investment income2 | 0.10 | 0.20 | 0.19 | 0.17 | 0.17 | 0.17 | |||||||
Net realized and unrealized gain (loss) | 2.58 | (2.37) | 0.38 | 1.19 | 2.04 | (0.89) | |||||||
Total from investment operations | 2.68 | (2.17) | 0.57 | 1.36 | 2.21 | (0.72) | |||||||
Less dividends and distributions from: | |||||||||||||
Net investment income | — | (0.20) | (0.18) | (0.16) | (0.18) | (0.16) | |||||||
Net realized gain | — | (0.24) | (0.45) | (0.73) | (1.74) | — | |||||||
Total dividends and distributions | — | (0.44) | (0.63) | (0.89) | (1.92) | (0.16) | |||||||
Net asset value, end of period | $15.90 | $13.22 | $15.83 | $15.89 | $15.42 | $15.13 | |||||||
Total return3 | 20.27% | (14.37%) | 3.79% | 8.68% | 14.99%4 | (4.54%)4 | |||||||
Ratios and supplemental data: | |||||||||||||
Net assets, end of period (000 omitted) | $19,908 | $17,123 | $23,742 | $26,448 | $28,739 | $30,502 | |||||||
Ratio of expenses to average net assets5 | 1.20% | 1.20% | 1.20% | 1.21% | 1.33% | 1.40% | |||||||
Ratio of expenses to average net assets prior to fees waived5 | 1.20% | 1.20% | 1.20% | 1.21% | 1.34% | 1.41% | |||||||
Ratio of net investment income to average net assets | 1.26% | 1.19% | 1.23% | 1.05% | 1.06% | 1.07% | |||||||
Ratio of net investment income to average net assets prior to fees waived | 1.26% | 1.19% | 1.23% | 1.05% | 1.05% | 1.06% | |||||||
Portfolio turnover | 10% | 23% | 22% | 25% | 82%6 | 39% |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding method has been applied for per share information. |
3 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value and does not reflect the impact of a sales charge. |
4 | Total return during the period reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
5 | Expense ratios do not include expenses of the Underlying Funds in which the Fund invests. |
6 | As a result of Rothschild & Co replacing Herndon Capital Management, LLC as one of the sub-advisors to Optimum Large Cap Value Fund during the Fund’s fiscal year ending March 31, 2017, the Fund’s portfolio turnover rate increased substantially during the year ended March 31, 2017. |
Six months ended 9/30/201 (Unaudited) | Year ended | ||||||||||||
3/31/20 | 3/31/19 | 3/31/18 | 3/31/17 | 3/31/16 | |||||||||
Net asset value, beginning of period | $13.06 | $15.65 | $15.69 | $15.25 | $14.99 | $15.85 | |||||||
Income (loss) from investment operations: | |||||||||||||
Net investment income2 | 0.04 | 0.07 | 0.07 | 0.05 | 0.05 | 0.05 | |||||||
Net realized and unrealized gain (loss) | 2.55 | (2.35) | 0.38 | 1.17 | 2.01 | (0.87) | |||||||
Total from investment operations | 2.59 | (2.28) | 0.45 | 1.22 | 2.06 | (0.82) | |||||||
Less dividends and distributions from: | |||||||||||||
Net investment income | — | (0.07) | (0.04) | (0.05) | (0.06) | (0.04) | |||||||
Net realized gain | — | (0.24) | (0.45) | (0.73) | (1.74) | — | |||||||
Total dividends and distributions | — | (0.31) | (0.49) | (0.78) | (1.80) | (0.04) | |||||||
Net asset value, end of period | $15.65 | $13.06 | $15.65 | $15.69 | $15.25 | $14.99 | |||||||
Total return3 | 19.83% | (15.04%) | 3.05% | 7.82% | 14.13%4 | (5.19%)4 | |||||||
Ratios and supplemental data: | |||||||||||||
Net assets, end of period (000 omitted) | $58,348 | $50,036 | $69,415 | $82,610 | $95,495 | $103,693 | |||||||
Ratio of expenses to average net assets5 | 1.95% | 1.95% | 1.95% | 1.96% | 2.08% | 2.15% | |||||||
Ratio of expenses to average net assets prior to fees waived5 | 1.95% | 1.95% | 1.95% | 1.96% | 2.09% | 2.16% | |||||||
Ratio of net investment income to average net assets | 0.51% | 0.44% | 0.48% | 0.30% | 0.31% | 0.32% | |||||||
Ratio of net investment income to average net assets prior to fees waived | 0.51% | 0.44% | 0.48% | 0.30% | 0.30% | 0.31% | |||||||
Portfolio turnover | 10% | 23% | 22% | 25% | 82%6 | 39% |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding method has been applied for per share information. |
3 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value and does not reflect the impact of a sales charge. |
4 | Total return during the period reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
5 | Expense ratios do not include expenses of the Underlying Funds in which the Fund invests. |
6 | As a result of Rothschild & Co replacing Herndon Capital Management, LLC as one of the sub-advisors to Optimum Large Cap Value Fund during the Fund’s fiscal year ending March 31, 2017, the Fund’s portfolio turnover rate increased substantially during the year ended March 31, 2017. |
Six months ended 9/30/201 (Unaudited) | Year ended | ||||||||||||
3/31/20 | 3/31/19 | 3/31/18 | 3/31/17 | 3/31/16 | |||||||||
Net asset value, beginning of period | $13.25 | $15.87 | $15.93 | $15.46 | $15.16 | $16.04 | |||||||
Income (loss) from investment operations: | |||||||||||||
Net investment income2 | 0.12 | 0.24 | 0.23 | 0.21 | 0.20 | 0.20 | |||||||
Net realized and unrealized gain (loss) | 2.59 | (2.38) | 0.38 | 1.19 | 2.06 | (0.89) | |||||||
Total from investment operations | 2.71 | (2.14) | 0.61 | 1.40 | 2.26 | (0.69) | |||||||
Less dividends and distributions from: | |||||||||||||
Net investment income | — | (0.24) | (0.22) | (0.20) | (0.22) | (0.19) | |||||||
Net realized gain | — | (0.24) | (0.45) | (0.73) | (1.74) | — | |||||||
Total dividends and distributions | — | (0.48) | (0.67) | (0.93) | (1.96) | (0.19) | |||||||
Net asset value, end of period | $15.96 | $13.25 | $15.87 | $15.93 | $15.46 | $15.16 | |||||||
Total return3 | 20.45% | (14.19%) | 4.08% | 8.90% | 15.30%4 | (4.29%)4 | |||||||
Ratios and supplemental data: | |||||||||||||
Net assets, end of period (000 omitted) | $1,464,724 | $1,217,465 | $1,474,723 | $1,372,505 | $1,217,722 | $1,129,606 | |||||||
Ratio of expenses to average net assets5 | 0.95% | 0.95% | 0.95% | 0.96% | 1.08% | 1.15% | |||||||
Ratio of expenses to average net assets prior to fees waived5 | 0.95% | 0.95% | 0.95% | 0.96% | 1.09% | 1.16% | |||||||
Ratio of net investment income to average net assets | 1.51% | 1.44% | 1.48% | 1.30% | 1.31% | 1.32% | |||||||
Ratio of net investment income to average net assets prior to fees waived | 1.51% | 1.44% | 1.48% | 1.30% | 1.30% | 1.31% | |||||||
Portfolio turnover | 10% | 23% | 22% | 25% | 82%6 | 39% |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding method has been applied for per share information. |
3 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. |
4 | Total return during the period reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
5 | Expense ratios do not include expenses of the Underlying Funds in which the Fund invests. |
6 | As a result of Rothschild & Co replacing Herndon Capital Management, LLC as one of the sub-advisors to Optimum Large Cap Value Fund during the Fund’s fiscal year ending March 31, 2017, the Fund’s portfolio turnover rate increased substantially during the year ended March 31, 2017. |
Six months ended 9/30/201 (Unaudited) | Year ended | ||||||||||||
3/31/20 | 3/31/19 | 3/31/18 | 3/31/17 | 3/31/16 | |||||||||
Net asset value, beginning of period | $10.17 | $13.43 | $15.51 | $13.31 | $10.95 | $15.37 | |||||||
Income (loss) from investment operations: | |||||||||||||
Net investment loss2 | (0.09) | (0.15) | (0.17) | (0.16) | (0.14) | (0.15) | |||||||
Net realized and unrealized gain (loss) | 5.58 | (1.77) | 1.20 | 3.03 | 2.50 | (2.26) | |||||||
Total from investment operations | 5.49 | (1.92) | 1.03 | 2.87 | 2.36 | (2.41) | |||||||
Less dividends and distributions from: | |||||||||||||
Net realized gain | — | (1.34) | (3.11) | (0.67) | — | (2.01) | |||||||
Return of capital | — | — | — | — | — | —3 | |||||||
Total dividends and distributions | — | (1.34) | (3.11) | (0.67) | — | (2.01) | |||||||
Net asset value, end of period | $15.66 | $10.17 | $13.43 | $15.51 | $13.31 | $10.95 | |||||||
Total return4 | 53.98% | (16.32%) | 8.69% | 21.88% | 21.55% | (16.77%) | |||||||
Ratios and supplemental data: | |||||||||||||
Net assets, end of period (000 omitted) | $4,508 | $3,241 | $4,788 | $5,414 | $5,293 | $5,040 | |||||||
Ratio of expenses to average net assets5 | 1.55% | 1.54% | 1.54% | 1.55% | 1.58% | 1.66% | |||||||
Ratio of expenses to average net assets prior to fees waived5 | 1.60% | 1.63% | 1.65% | 1.63% | 1.79% | 1.85% | |||||||
Ratio of net investment loss to average net assets | (1.26%) | (1.11%) | (1.11%) | (1.07%) | (1.16%) | (1.09%) | |||||||
Ratio of net investment loss to average net assets prior to fees waived | (1.31%) | (1.20%) | (1.22%) | (1.15%) | (1.37%) | (1.28%) | |||||||
Portfolio turnover | 54% | 93% | 82% | 89% | 180%6 | 104% |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding method has been applied for per share information. |
3 | Amount is less than $0.005 per share. |
4 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value and does not reflect the impact of a sales charge. Total return during all of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
5 | Expense ratios do not include expenses of the Underlying Funds in which the Fund invests. |
6 | As a result of Peregrine Capital Management, LLC and Columbus Circle Investors replacing Columbia Wanger Asset Management and Wellington Management as the sub-advisors to Optimum Small-Mid Cap Growth Fund during the Fund’s fiscal year ending March 31, 2017, the Fund’s portfolio turnover rate increased substantially during the year ended March 31, 2017. |
Six months ended 9/30/201 (Unaudited) | Year ended | ||||||||||||
3/31/20 | 3/31/19 | 3/31/18 | 3/31/17 | 3/31/16 | |||||||||
Net asset value, beginning of period | $8.02 | $10.94 | $13.32 | $11.59 | $9.61 | $13.86 | |||||||
Income (loss) from investment operations: | |||||||||||||
Net investment loss2 | (0.11) | (0.20) | (0.24) | (0.23) | (0.20) | (0.22) | |||||||
Net realized and unrealized gain (loss) | 4.39 | (1.38) | 0.97 | 2.63 | 2.18 | (2.02) | |||||||
Total from investment operations | 4.28 | (1.58) | 0.73 | 2.40 | 1.98 | (2.24) | |||||||
Less dividends and distributions from: | |||||||||||||
Net realized gain | — | (1.34) | (3.11) | (0.67) | — | (2.01) | |||||||
Return of capital | — | — | — | — | — | —3 | |||||||
Total dividends and distributions | — | (1.34) | (3.11) | (0.67) | — | (2.01) | |||||||
Net asset value, end of period | $12.30 | $8.02 | $10.94 | $13.32 | $11.59 | $9.61 | |||||||
Total return4 | 53.49% | (16.95%) | 7.81% | 21.06% | 20.60% | (17.39%) | |||||||
Ratios and supplemental data: | |||||||||||||
Net assets, end of period (000 omitted) | $13,121 | $9,353 | $13,510 | $15,925 | $16,668 | $16,972 | |||||||
Ratio of expenses to average net assets5 | 2.30% | 2.29% | 2.29% | 2.30% | 2.33% | 2.41% | |||||||
Ratio of expenses to average net assets prior to fees waived5 | 2.35% | 2.38% | 2.40% | 2.38% | 2.54% | 2.60% | |||||||
Ratio of net investment loss to average net assets | (2.01%) | (1.86%) | (1.86%) | (1.82%) | (1.91%) | (1.84%) | |||||||
Ratio of net investment loss to average net assets prior to fees waived | (2.06%) | (1.95%) | (1.97%) | (1.90%) | (2.12%) | (2.03%) | |||||||
Portfolio turnover | 54% | 93% | 82% | 89% | 180%6 | 104% |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding method has been applied for per share information. |
3 | Amount is less than $0.005 per share. |
4 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value and does not reflect the impact of a sales charge. Total return during all of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
5 | Expense ratios do not include expenses of the Underlying Funds in which the Fund invests. |
6 | As a result of Peregrine Capital Management, LLC and Columbus Circle Investors replacing Columbia Wanger Asset Management and Wellington Management as the sub-advisors to Optimum Small-Mid Cap Growth Fund during the Fund’s fiscal year ending March 31, 2017, the Fund’s portfolio turnover rate increased substantially during the year ended March 31, 2017. |
Six months ended 9/30/201 (Unaudited) | Year ended | ||||||||||||
3/31/20 | 3/31/19 | 3/31/18 | 3/31/17 | 3/31/16 | |||||||||
Net asset value, beginning of period | $11.25 | $14.69 | $16.63 | $14.19 | $11.65 | $16.17 | |||||||
Income (loss) from investment operations: | |||||||||||||
Net investment loss2 | (0.08) | (0.12) | (0.14) | (0.13) | (0.12) | (0.12) | |||||||
Net realized and unrealized gain (loss) | 6.17 | (1.98) | 1.31 | 3.24 | 2.66 | (2.39) | |||||||
Total from investment operations | 6.09 | (2.10) | 1.17 | 3.11 | 2.54 | (2.51) | |||||||
Less dividends and distributions from: | |||||||||||||
Net realized gain | — | (1.34) | (3.11) | (0.67) | — | (2.01) | |||||||
Return of capital | — | — | — | — | — | —3 | |||||||
Total dividends and distributions | — | (1.34) | (3.11) | (0.67) | — | (2.01) | |||||||
Net asset value, end of period | $17.34 | $11.25 | $14.69 | $16.63 | $14.19 | $11.65 | |||||||
Total return4 | 54.22% | (16.14%) | 8.97% | 22.22% | 21.80% | (16.54%) | |||||||
Ratios and supplemental data: | |||||||||||||
Net assets, end of period (000 omitted) | $590,669 | $406,140 | $494,476 | $494,894 | $420,279 | $440,683 | |||||||
Ratio of expenses to average net assets5 | 1.30% | 1.29% | 1.29% | 1.30% | 1.33% | 1.41% | |||||||
Ratio of expenses to average net assets prior to fees waived5 | 1.35% | 1.38% | 1.40% | 1.38% | 1.54% | 1.60% | |||||||
Ratio of net investment loss to average net assets | (1.01%) | (0.86%) | (0.86%) | (0.82%) | (0.91%) | (0.84%) | |||||||
Ratio of net investment loss to average net assets prior to fees waived | (1.06%) | (0.95%) | (0.97%) | (0.90%) | (1.12%) | (1.03%) | |||||||
Portfolio turnover | 54% | 93% | 82% | 89% | 180%6 | 104% |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding method has been applied for per share information. |
3 | Amount is less than $0.005 per share. |
4 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total return during all of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
5 | Expense ratios do not include expenses of the Underlying Funds in which the Fund invests. |
6 | As a result of Peregrine Capital Management, LLC and Columbus Circle Investors replacing Columbia Wanger Asset Management and Wellington Management as the sub-advisors to Optimum Small-Mid Cap Growth Fund during the Fund’s fiscal year ending March 31, 2017, the Fund’s portfolio turnover rate increased substantially during the year ended March 31, 2017. |
Six months ended 9/30/201 (Unaudited) | Year ended | ||||||||||||
3/31/20 | 3/31/19 | 3/31/18 | 3/31/17 | 3/31/16 | |||||||||
Net asset value, beginning of period | $8.36 | $12.14 | $13.66 | $13.77 | $11.53 | $13.64 | |||||||
Income (loss) from investment operations: | |||||||||||||
Net investment income (loss)2 | 0.05 | 0.10 | 0.11 | 0.06 | 0.08 | (0.04) | |||||||
Net realized and unrealized gain (loss) | 2.01 | (3.50) | (0.69) | 0.59 | 2.21 | (1.58) | |||||||
Total from investment operations | 2.06 | (3.40) | (0.58) | 0.65 | 2.29 | (1.62) | |||||||
Less dividends and distributions from: | |||||||||||||
Net investment income | — | (0.11) | (0.06) | (0.07) | (0.05) | — | |||||||
Net realized gain | — | (0.27) | (0.88) | (0.69) | — | (0.49) | |||||||
Return of capital | — | — | — | — | — | —3 | |||||||
Total dividends and distributions | — | (0.38) | (0.94) | (0.76) | (0.05) | (0.49) | |||||||
Net asset value, end of period | $10.42 | $8.36 | $12.14 | $13.66 | $13.77 | $11.53 | |||||||
Total return4 | 24.64% | (29.10%) | (3.83%) | 4.59% | 19.84% | (11.96%) | |||||||
Ratios and supplemental data: | |||||||||||||
Net assets, end of period (000 omitted) | $2,678 | $1,970 | $3,266 | $3,856 | $4,279 | $4,302 | |||||||
Ratio of expenses to average net assets5 | 1.47% | 1.47% | 1.46% | 1.48% | 1.51% | 1.61% | |||||||
Ratio of expenses to average net assets prior to fees waived5 | 1.51% | 1.52% | 1.54% | 1.54% | 1.71% | 1.75% | |||||||
Ratio of net investment income (loss) to average net assets | 0.97% | 0.79% | 0.87% | 0.40% | 0.64% | (0.35%) | |||||||
Ratio of net investment income (loss) to average net assets prior to fees waived | 0.93% | 0.74% | 0.79% | 0.34% | 0.44% | (0.49%) | |||||||
Portfolio turnover | 20% | 33% | 32% | 31% | 30% | 90%6 |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding method has been applied for per share information. |
3 | Amount is less than $0.005 per share. |
4 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value and does not reflect the impact of a sales charge. Total return during all of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
5 | Expense ratios do not include expenses of the Underlying Funds in which the Fund invests. |
6 | As a result of LSV Asset Management replacing The Delafield Group, a division of Tocqueville Asset Management L.P., and The Killen Group, Inc. as one of the sub-advisors to Optimum Small-Mid Cap Value Fund during the Fund’s fiscal year ending March 31, 2016, the Fund’s portfolio turnover rate increased substantially during the year ended March 31, 2016. |
Six months ended 9/30/201 (Unaudited) | Year ended | ||||||||||||
3/31/20 | 3/31/19 | 3/31/18 | 3/31/17 | 3/31/16 | |||||||||
Net asset value, beginning of period | $7.22 | $10.54 | $12.01 | $12.21 | $10.27 | $12.30 | |||||||
Income (loss) from investment operations: | |||||||||||||
Net investment income (loss)2 | 0.01 | —3 | 0.01 | (0.04) | (0.01) | (0.12) | |||||||
Net realized and unrealized gain (loss) | 1.74 | (3.02) | (0.60) | 0.53 | 1.95 | (1.42) | |||||||
Total from investment operations | 1.75 | (3.02) | (0.59) | 0.49 | 1.94 | (1.54) | |||||||
Less dividends and distributions from: | |||||||||||||
Net investment income | — | (0.03) | — | — | — | — | |||||||
Net realized gain | — | (0.27) | (0.88) | (0.69) | — | (0.49) | |||||||
Return of capital | — | — | — | — | — | —3 | |||||||
Total dividends and distributions | — | (0.30) | (0.88) | (0.69) | — | (0.49) | |||||||
Net asset value, end of period | $8.97 | $7.22 | $10.54 | $12.01 | $12.21 | $10.27 | |||||||
Total return4 | 24.24% | (29.65%) | (4.50%) | 3.85% | 18.89% | (12.62%) | |||||||
Ratios and supplemental data: | |||||||||||||
Net assets, end of period (000 omitted) | $8,165 | $6,042 | $9,508 | $12,030 | $14,268 | $15,136 | |||||||
Ratio of expenses to average net assets5 | 2.22% | 2.22% | 2.21% | 2.23% | 2.26% | 2.36% | |||||||
Ratio of expenses to average net assets prior to fees waived5 | 2.26% | 2.27% | 2.29% | 2.29% | 2.46% | 2.50% | |||||||
Ratio of net investment income (loss) to average net assets | 0.22% | 0.04% | 0.12% | (0.35%) | (0.11%) | (1.10%) | |||||||
Ratio of net investment income (loss) to average net assets prior to fees waived | 0.18% | (0.01%) | 0.04% | (0.41%) | (0.31%) | (1.24%) | |||||||
Portfolio turnover | 20% | 33% | 32% | 31% | 30% | 90%6 |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding method has been applied for per share information. |
3 | Amount is less than $0.005 per share. |
4 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value and does not reflect the impact of a sales charge. Total return during all of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
5 | Expense ratios do not include expenses of the Underlying Funds in which the Fund invests. |
6 | As a result of LSV Asset Management replacing The Delafield Group, a division of Tocqueville Asset Management L.P., and The Killen Group, Inc. as one of the sub-advisors to Optimum Small-Mid Cap Value Fund during the Fund’s fiscal year ending March 31, 2016, the Fund’s portfolio turnover rate increased substantially during the year ended March 31, 2016. |
Six months ended 9/30/201 (Unaudited) | Year ended | ||||||||||||
3/31/20 | 3/31/19 | 3/31/18 | 3/31/17 | 3/31/16 | |||||||||
Net asset value, beginning of period | $8.90 | $12.90 | $14.45 | $14.52 | $12.16 | $14.31 | |||||||
Income (loss) from investment operations: | |||||||||||||
Net investment income (loss)2 | 0.07 | 0.14 | 0.16 | 0.10 | 0.12 | (0.01) | |||||||
Net realized and unrealized gain (loss) | 2.14 | (3.73) | (0.73) | 0.63 | 2.32 | (1.65) | |||||||
Total from investment operations | 2.21 | (3.59) | (0.57) | 0.73 | 2.44 | (1.66) | |||||||
Less dividends and distributions from: | |||||||||||||
Net investment income | — | (0.14) | (0.10) | (0.11) | (0.08) | — | |||||||
Net realized gain | — | (0.27) | (0.88) | (0.69) | — | (0.49) | |||||||
Return of capital | — | — | — | — | — | —3 | |||||||
Total dividends and distributions | — | (0.41) | (0.98) | (0.80) | (0.08) | (0.49) | |||||||
Net asset value, end of period | $11.11 | $8.90 | $12.90 | $14.45 | $14.52 | $12.16 | |||||||
Total return4 | 24.83% | (28.92%) | (3.55%) | 4.87% | 20.05% | (11.67%) | |||||||
Ratios and supplemental data: | |||||||||||||
Net assets, end of period (000 omitted) | $474,146 | $366,656 | $506,814 | $442,808 | $406,327 | $441,150 | |||||||
Ratio of expenses to average net assets5 | 1.22% | 1.22% | 1.21% | 1.23% | 1.26% | 1.36% | |||||||
Ratio of expenses to average net assets prior to fees waived5 | 1.26% | 1.27% | 1.29% | 1.29% | 1.46% | 1.50% | |||||||
Ratio of net investment income (loss) to average net assets | 1.21% | 1.04% | 1.12% | 0.65% | 0.89% | (0.10%) | |||||||
Ratio of net investment income (loss) to average net assets prior to fees waived | 1.17% | 0.99% | 1.04% | 0.59% | 0.69% | (0.24%) | |||||||
Portfolio turnover | 20% | 33% | 32% | 31% | 30% | 90%6 |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding method has been applied for per share information. |
3 | Amount is less than $0.005 per share. |
4 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total return during all of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
5 | Expense ratios do not include expenses of the Underlying Funds in which the Fund invests. |
6 | As a result of LSV Asset Management replacing The Delafield Group, a division of Tocqueville Asset Management L.P., and The Killen Group, Inc. as one of the sub-advisors to Optimum Small-Mid Cap Value Fund during the Fund’s fiscal year ending March 31, 2016, the Fund’s portfolio turnover rate increased substantially during the year ended March 31, 2016. |
September 30, 2020, the Fund received $762,000 cash collateral for TBA trades, which is included in “Cash collateral due to brokers” on the “Statements of assets and liabilities.”
Fund | Earnings Credits | |
Optimum Fixed Income Fund | $395 | |
Optimum International Fund | 362 | |
Optimum Large Cap Growth Fund | 442 | |
Optimum Large Cap Value Fund | 438 | |
Optimum Small-Mid Cap Growth Fund | 427 | |
Optimum Small-Mid Cap Value Fund | 429 |
each Fund, including the purchase, retention, and dispositions of investments, securities, and cash contained in each Fund. The investment management agreement obligates DMC to implement decisions with respect to the allocation or reallocation of each Fund’s assets among one or more current or additional sub-advisors, and to monitor the sub-advisors’ compliance with the relevant Fund’s investment objective, policies and restrictions. DMC pays the sub-advisors out of its fees, which are calculated daily and paid monthly.
Optimum Fixed Income Fund | 0.6000% of net assets up to $500 million |
0.5500% of net assets from $500 million to $1 billion | |
0.5000% of net assets from $1 billion to $1.5 billion | |
0.4500% of net assets from $1.5 billion to $2 billion | |
0.4250% of net assets from $2 billion to $2.5 billion | |
0.4000% of net assets from $2.5 billion to $5 billion | |
0.3750% of net assets over $5 billion | |
Optimum International Fund | 0.7500% of net assets up to $500 million |
0.7150% of net assets from $500 million to $1 billion | |
0.7000% of net assets from $1 billion to $1.5 billion | |
0.6750% of net assets from $1.5 billion to $2 billion | |
0.6500% of net assets from $2 billion to $2.5 billion | |
0.6000% of net assets over $2.5 billion | |
Optimum Large Cap Growth Fund | 0.7500% of net assets up to $500 million |
0.7000% of net assets from $500 million to $1 billion | |
0.6500% of net assets from $1 billion to $1.5 billion | |
0.6250% of net assets from $1.5 billion to $2 billion | |
0.6000% of net assets from $2 billion to $2.5 billion | |
0.5750% of net assets from $2.5 billion to $5 billion | |
0.5500% of net assets over $5 billion | |
Optimum Large Cap Value Fund | 0.7000% of net assets up to $500 million |
0.6500% of net assets from $500 million to $1 billion | |
0.6000% of net assets from $1 billion to $1.5 billion | |
0.5750% of net assets from $1.5 billion to $2 billion | |
0.5500% of net assets from $2 billion to $2.5 billion | |
0.5250% of net assets from 2.5 billion to $5 billion | |
0.5000% of net assets over $5 billion | |
Optimum Small-Mid Cap Growth Fund | 1.1000% of net assets up to $250 million |
1.0000% of net assets from $250 million to $500 million | |
0.9000% of net assets from $500 million to $750 million | |
0.8000% of net assets from $750 million to $1 billion | |
0.7500% of net assets from $1 billion to $1.5 billion | |
0.7000% of net assets over $1.5 billion | |
Optimum Small-Mid Cap Value Fund | 1.0000% of net assets up to $250 million |
0.9000% of net assets from $250 million to $500 million | |
0.8000% of net assets from $500 million to $750 million | |
0.7500% of net assets from $750 million to $1 billion | |
0.7000% of net assets from $1 billion to $1.5 billion | |
0.6500% of net assets over $1.5 billion | |
Sub-advisory fees | |
Optimum Fixed Income Fund | $1,528,732 |
Optimum International Fund | 995,980 |
Optimum Large Cap Growth Fund | 3,078,707 |
Optimum Large Cap Value Fund | 2,239,648 |
Optimum Small-Mid Cap Growth Fund | 1,337,491 |
Optimum Small-Mid Cap Value Fund | 1,188,813 |
Fund | Operating expense limitation as a percentage of average daily net assets (per annum) for the period July 29, 2020 − July 29, 2021 | Operating expense limitation as a percentage of average daily net assets (per annum) for the period July 29, 2019 − July 28, 2020 | ||
Optimum Fixed Income Fund | 0.85% | 0.85% | ||
Optimum International Fund | 1.17% | 1.12% | ||
Optimum Large Cap Growth Fund | 1.02% | 1.02% | ||
Optimum Large Cap Value Fund | 0.97% | 0.97% | ||
Optimum Small-Mid Cap Growth Fund | 1.32% | 1.29% | ||
Optimum Small-Mid Cap Value Fund | 1.25% | 1.22% |
Fund | Fees | |
Optimum Fixed Income Fund | $88,722 | |
Optimum International Fund | 18,498 | |
Optimum Large Cap Growth Fund | 62,912 | |
Optimum Large Cap Value Fund | 51,088 | |
Optimum Small-Mid Cap Growth Fund | 20,355 | |
Optimum Small-Mid Cap Value Fund | 17,219 |
Fund | Commissions | |
Optimum Fixed Income Fund | $5,147 | |
Optimum International Fund | 235 | |
Optimum Large Cap Growth Fund | 963 | |
Optimum Large Cap Value Fund | 762 | |
Optimum Small-Mid Cap Growth Fund | 75 | |
Optimum Small-Mid Cap Value Fund | 221 |
Fund | Class C | |
Optimum Fixed Income Fund | $544 | |
Optimum International Fund | 82 | |
Optimum Large Cap Growth Fund | 165 | |
Optimum Large Cap Value Fund | 217 | |
Optimum Small-Mid Cap Growth Fund | 51 | |
Optimum Small-Mid Cap Value Fund | 9 |
Fund | Purchases other than US government securities | Purchases of US government securities | Sales other than US government securities | Sales of US government securities | ||||
Optimum Fixed Income Fund | $439,393,125 | $2,279,709,499 | $405,250,045 | $2,807,635,318 | ||||
Optimum International Fund | 191,897,168 | — | 190,193,798 | — | ||||
Optimum Large Cap Growth Fund | 261,500,181 | — | 352,323,116 | — | ||||
Optimum Large Cap Value Fund | 142,951,961 | — | 140,997,311 | — | ||||
Optimum Small-Mid Cap Growth Fund | 293,076,172 | — | 328,907,536 | — | ||||
Optimum Small-Mid Cap Value Fund | 113,605,113 | — | 89,759,768 | — |
Fund | Cost of investments and derivatives | Aggregate unrealized appreciation of investments and derivatives | Aggregate unrealized depreciation of investments and derivatives | Net unrealized appreciation (depreciation) of investments and derivatives | ||||
Optimum Fixed Income Fund | $2,954,046,012 | $139,148,357 | $(21,260,506) | $117,887,851 | ||||
Optimum International Fund | 521,452,541 | 75,870,429 | (64,838,048) | 11,032,381 | ||||
Optimum Large Cap Growth Fund | 1,190,082,185 | 826,817,845 | (26,737,152) | 800,080,693 | ||||
Optimum Large Cap Value Fund | 1,271,652,962 | 349,482,851 | (79,890,699) | 269,592,152 | ||||
Optimum Small-Mid Cap Growth Fund | 487,876,550 | 143,166,265 | (21,983,248) | 121,183,017 | ||||
Optimum Small-Mid Cap Value Fund | 533,128,245 | 53,362,475 | (102,185,175) | (48,822,700) |
Optimum Fixed Income Fund | |||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||
Securities | |||||||||||
Assets: | |||||||||||
Agency Asset-Backed Securities | $— | $872,544 | $— | $872,544 | |||||||
Agency Collateralized Mortgage Obligations | — | 73,529,372 | — | 73,529,372 | |||||||
Agency Commercial Mortgage-Backed Securities | — | 12,234,000 | — | 12,234,000 | |||||||
Agency Mortgage-Backed Securities | — | 506,548,633 | — | 506,548,633 | |||||||
Agency Obligation | — | 2,307,163 | — | 2,307,163 | |||||||
Collateralized Debt Obligations | — | 50,843,169 | — | 50,843,169 | |||||||
Common Stock | — | — | — | — | |||||||
Corporate Bonds1 | — | 1,095,482,598 | 2,600,000 | 1,098,082,598 | |||||||
Loan Agreements | — | 62,723,631 | — | 62,723,631 | |||||||
Municipal Bonds | — | 16,344,640 | — | 16,344,640 | |||||||
Non-Agency Asset-Backed Securities | — | 70,534,873 | — | 70,534,873 | |||||||
Non-Agency Collateralized Mortgage Obligations | — | 55,804,435 | — | 55,804,435 | |||||||
Non-Agency Commercial Mortgage-Backed Securities | — | 118,406,719 | — | 118,406,719 | |||||||
Preferred Stock | — | 644,826 | — | 644,826 | |||||||
Regional Bond | — | 2,205,167 | — | 2,205,167 | |||||||
Sovereign Bonds | — | 57,256,339 | — | 57,256,339 | |||||||
Supranational Banks | — | 958,015 | — | 958,015 | |||||||
US Treasury Obligations | — | 700,406,063 | — | 700,406,063 | |||||||
Short-Term Investments1 | 40,570,600 | 203,299,487 | — | 243,870,087 | |||||||
Total Value of Securities Before Options Written | $40,570,600 | $3,030,401,674 | $2,600,000 | $3,073,572,274 | |||||||
Liabilities: | |||||||||||
Options Written | — | (180,227) | — | (180,227) | |||||||
Optimum Fixed Income Fund | |||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||
Derivatives2 | |||||||||||
Assets: | |||||||||||
Centrally Cleared Credit Default Swaps | $— | $411,688 | $— | $411,688 | |||||||
Centrally Cleared Interest Rate Swaps | — | 635,321 | — | 635,321 | |||||||
Foreign Currency Exchange Contracts | — | 907,710 | — | 907,710 | |||||||
Futures Contracts | 583,223 | — | — | 583,223 | |||||||
OTC Credit Default Swap | — | 1,014,019 | — | 1,014,019 | |||||||
Liabilities: | |||||||||||
Centrally Cleared Credit Default Swaps | $— | $(327,633) | $— | $(327,633) | |||||||
Centrally Cleared Interest Rate Swaps | — | (3,691,131) | — | (3,691,131) | |||||||
Foreign Currency Exchange Contracts | — | (7,440) | — | (7,440) | |||||||
Futures Contracts | (764,779) | — | — | (764,779) | |||||||
OTC Credit Default Swap | — | (184,488) | — | (184,488) | |||||||
1Security type is valued across multiple levels. Level 1 investments represent exchange-traded investments, Level 2 investments represent investments with observable inputs or matrix-priced investments, and Level 3 investments represent investments without observable inputs. The amounts attributed to Level 1 investments, Level 2 investments, and Level 3 investments represent the following percentages of the total market value of these security types: |
Level 1 | Level 2 | Level 3 | Total | ||||
Corporate Bonds | — | 99.76% | 0.24% | 100.00% | |||
Short-Term Investments | 16.64% | 83.36% | — | 100.00% | |||
2Foreign currency exchange contracts and futures contracts are valued at the unrealized appreciation (depreciation) on the instrument at the period end. |
Optimum International Fund | ||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||
Securities | ||||||||||
Assets: | ||||||||||
Common Stock | ||||||||||
Australia | $7,185,625 | $14,027,688 | $— | $21,213,313 | ||||||
Austria | 27,037 | 8,169,610 | — | 8,196,647 | ||||||
Belgium | — | 3,144,029 | — | 3,144,029 | ||||||
Brazil | 16,203,364 | — | — | 16,203,364 | ||||||
Canada | 12,603,732 | — | — | 12,603,732 | ||||||
Chile | 2,867,387 | — | — | 2,867,387 | ||||||
China/Hong Kong | 12,244,331 | 50,854,739 | — | 63,099,070 | ||||||
Colombia | 7,236,819 | — | — | 7,236,819 | ||||||
Denmark | — | 8,870,635 | — | 8,870,635 | ||||||
Finland | 242,389 | 2,541,596 | — | 2,783,985 | ||||||
France | 76,685 | 17,803,458 | — | 17,880,143 | ||||||
Germany | 64,319 | 26,610,244 | — | 26,674,563 | ||||||
Greece | — | 65,228 | — | 65,228 |
Optimum International Fund | ||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||
Hungary | $— | $1,237,600 | $— | $1,237,600 | ||||||
India | 9,766,216 | 63,531 | — | 9,829,747 | ||||||
Ireland | 10,788,750 | — | — | 10,788,750 | ||||||
Israel | 10,119,602 | 3,402,763 | — | 13,522,365 | ||||||
Italy | — | 10,900,078 | — | 10,900,078 | ||||||
Japan | — | 42,930,837 | — | 42,930,837 | ||||||
Luxembourg | — | 6,052,948 | — | 6,052,948 | ||||||
Malaysia | — | 206,318 | — | 206,318 | ||||||
Malta | — | 625,291 | — | 625,291 | ||||||
Mexico | 5,134,982 | — | — | 5,134,982 | ||||||
Netherlands | 4,113,237 | 25,091,473 | — | 29,204,710 | ||||||
New Zealand | — | 3,309,177 | — | 3,309,177 | ||||||
Norway | 6,342,452 | 8,773,208 | — | 15,115,660 | ||||||
Philippines | 23,844 | 69,783 | — | 93,627 | ||||||
Poland | — | 581,937 | — | 581,937 | ||||||
Republic of Korea | 2,055,521 | 24,874,936 | — | 26,930,457 | ||||||
Russia | — | 90,612 | — | 90,612 | ||||||
Singapore | — | 5,375,309 | — | 5,375,309 | ||||||
South Africa | 86,178 | 77,066 | — | 163,244 | ||||||
Spain | — | 7,170,559 | — | 7,170,559 | ||||||
Sweden | 1,549,609 | 13,937,217 | — | 15,486,826 | ||||||
Switzerland | 8,524,676 | 18,857,975 | — | 27,382,651 | ||||||
Taiwan | 42,515 | 34,965,996 | — | 35,008,511 | ||||||
Thailand | — | 350,062 | — | 350,062 | ||||||
Turkey | — | 2,293,104 | — | 2,293,104 | ||||||
Ukraine | — | 1,779,367 | — | 1,779,367 | ||||||
United Kingdom | 611,631 | 26,989,418 | — | 27,601,049 | ||||||
United States | 16,249,819 | 327,854 | 394,794 | 16,972,467 | ||||||
Zambia | 182,746 | — | — | 182,746 | ||||||
Preferred Stock | 348,835 | 82,282 | — | 431,117 | ||||||
Short-Term Investments | 8,260,332 | — | — | 8,260,332 | ||||||
Securities Lending Collateral | — | 16,636,692 | — | 16,636,692 | ||||||
Total Value of Securities | $142,952,633 | $389,140,620 | $394,794 | $532,488,047 | ||||||
Derivatives1 | ||||||||||
Liabilities: | ||||||||||
Foreign Currency Exchange Contracts | $— | $(3,125) | $— | $(3,125) |
1Foreign currency exchange contracts and futures contracts are valued at the unrealized appreciation (depreciation) on the instrument at the period end. |
Optimum Large Cap Growth Fund | |||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||
Securities | |||||||||||||
Assets: | |||||||||||||
Common Stock | |||||||||||||
Communication Services | $258,481,107 | $8,564,502 | $— | $267,045,609 | |||||||||
Consumer Discretionary | 416,372,029 | — | — | 416,372,029 | |||||||||
Consumer Staples | 38,206,875 | — | — | 38,206,875 | |||||||||
Financials | 32,661,251 | — | — | 32,661,251 | |||||||||
Healthcare | 239,717,421 | 1,435,535 | — | 241,152,956 | |||||||||
Industrials | 167,076,448 | — | — | 167,076,448 | |||||||||
Information Technology | 773,417,885 | 1,662,987 | — | 775,080,872 | |||||||||
Materials | 17,134,587 | — | — | 17,134,587 | |||||||||
Real Estate | 18,053,088 | — | — | 18,053,088 | |||||||||
Convertible Preferred Stock | — | — | 4,477,684 | 4,477,684 | |||||||||
Short-Term Investments | 12,901,405 | — | — | 12,901,405 | |||||||||
Total Value of Securities | $1,974,022,096 | $11,663,024 | $4,477,684 | $1,990,162,804 | |||||||||
Derivatives1 | |||||||||||||
Assets: | |||||||||||||
Foreign Currency Exchange Contracts | $— | $258 | $— | $258 | |||||||||
Liabilities: | |||||||||||||
Foreign Currency Exchange Contracts | $— | $(184) | $— | $(184) |
1Foreign currency exchange contracts and futures contracts are valued at the unrealized appreciation (depreciation) on the instrument at the period end. |
Optimum Large Cap Value Fund | ||||||||
Level 1 | Level 2 | Total | ||||||
Securities | ||||||||
Assets: | ||||||||
Common Stock | ||||||||
Communication Services | $110,964,684 | $— | $110,964,684 | |||||
Consumer Discretionary | 62,084,997 | — | 62,084,997 | |||||
Consumer Staples | 71,714,691 | 33,860,125 | 105,574,816 | |||||
Energy | 47,581,043 | — | 47,581,043 | |||||
Financials | 340,109,179 | — | 340,109,179 | |||||
Healthcare | 278,606,656 | 4,088,907 | 282,695,563 | |||||
Industrials | 229,927,099 | — | 229,927,099 | |||||
Information Technology | 141,064,694 | — | 141,064,694 | |||||
Materials | 67,727,881 | — | 67,727,881 | |||||
Real Estate | 29,896,360 | — | 29,896,360 | |||||
Utilities | 101,223,394 | — | 101,223,394 | |||||
Short-Term Investments | 22,396,003 | — | 22,396,003 | |||||
Total Value of Securities | $1,503,296,681 | $37,949,032 | $1,541,245,713 | |||||
Optimum Large Cap Value Fund | ||||||||
Level 1 | Level 2 | Total | ||||||
Derivatives1 | ||||||||
Liabilities: | ||||||||
Foreign Currency Exchange Contracts | $— | $(599) | $(599) |
1Foreign currency exchange contracts and futures contracts are valued at the unrealized appreciation (depreciation) on the instrument at the period end. |
Optimum Small-Mid Cap Growth Fund | ||||||||
Level 1 | Level 3 | Total | ||||||
Securities | ||||||||
Assets: | ||||||||
Common Stock | ||||||||
Communication Services | $7,084,387 | $— | $7,084,387 | |||||
Consumer Discretionary | 101,104,948 | 3,772,273 | 104,877,221 | |||||
Consumer Staples | 16,686,360 | — | 16,686,360 | |||||
Energy | 868,775 | — | 868,775 | |||||
Financials | 55,451,419 | — | 55,451,419 | |||||
Healthcare | 170,888,984 | — | 170,888,984 | |||||
Industrials | 82,993,139 | — | 82,993,139 | |||||
Information Technology | 150,236,638 | — | 150,236,638 | |||||
Materials | 7,389,519 | — | 7,389,519 | |||||
Real Estate | 1,899,612 | — | 1,899,612 | |||||
Convertible Preferred Stock | — | 1,228,858 | 1,228,858 | |||||
Warrant | — | 11,382 | 11,382 | |||||
Short-Term Investments | 9,443,273 | — | 9,443,273 | |||||
Total Value of Securities | $604,047,054 | $5,012,513 | $609,059,567 |
Optimum Small-Mid Cap Value Fund | |
Level 1 | |
Securities | |
Assets: | |
Common Stock | $480,753,919 |
Short-Term Investments | 3,551,626 |
Total Value of Securities | $484,305,545 |
Optimum Fixed Income Fund | Optimum International Fund | Optimum Large Cap Growth Fund | |||||||||
Six months ended | Year ended | Six months ended | Year ended | Six months ended | Year ended | ||||||
9/30/20 | 3/31/20 | 9/30/20 | 3/31/20 | 9/30/20 | 3/31/20 | ||||||
Shares sold: | |||||||||||
Class A | 107,317 | 99,307 | 25,488 | 29,664 | 8,741 | 27,776 | |||||
Class C | 270,890 | 427,411 | 81,799 | 79,516 | 39,008 | 50,010 | |||||
Institutional Class | 20,390,228 | 41,078,600 | 3,040,728 | 6,252,880 | 3,985,751 | 10,786,020 | |||||
Shares issued upon reinvestment of dividends and distributions: | |||||||||||
Class A | — | 75,769 | — | 9,908 | — | 50,214 | |||||
Class C | — | 194,209 | — | 19,031 | — | 213,857 | |||||
Institutional Class | — | 7,705,908 | — | 865,351 | — | 2,533,369 | |||||
20,768,435 | 49,581,204 | 3,148,015 | 7,256,350 | 4,033,500 | 13,661,246 | ||||||
Shares redeemed: | |||||||||||
Class A | (196,550) | (422,469) | (38,545) | (101,947) | (170,435) | (409,222) | |||||
Class C | (532,045) | (1,506,687) | (113,562) | (307,757) | (617,715) | (1,279,915) | |||||
Institutional Class | (18,799,392) | (40,696,765) | (3,171,794) | (7,847,584) | (8,483,315) | (17,288,342) | |||||
(19,527,987) | (42,625,921) | (3,323,901) | (8,257,288) | (9,271,465) | (18,977,479) | ||||||
Net increase (decrease) | 1,240,448 | 6,955,283 | (175,886) | (1,000,938) | (5,237,965) | (5,316,233) |
Optimum Large Cap Value Fund | Optimum Small-Mid Cap Growth Fund | Optimum Small-Mid Cap Value Fund | |||||||||
Six months ended | Year ended | Six months ended | Year ended | Six months ended | Year ended | ||||||
9/30/20 | 3/31/20 | 9/30/20 | 3/31/20 | 9/30/20 | 3/31/20 | ||||||
Shares sold: | |||||||||||
Class A | 43,714 | 34,211 | 2,679 | 8,470 | 40,453 | 14,917 | |||||
Class C | 130,531 | 80,064 | 13,263 | 13,386 | 132,105 | 59,504 | |||||
Institutional Class | 6,784,351 | 13,269,139 | 2,142,701 | 5,366,655 | 4,850,166 | 7,472,621 | |||||
Shares issued upon reinvestment of dividends and distributions: | |||||||||||
Class A | — | 33,400 | — | 32,188 | — | 6,835 | |||||
Class C | — | 70,891 | — | 144,464 | — | 21,846 | |||||
Institutional Class | — | 2,534,493 | — | 3,184,389 | — | 1,194,101 | |||||
6,958,596 | 16,022,198 | 2,158,643 | 8,749,552 | 5,022,724 | 8,769,824 | ||||||
Shares redeemed: | |||||||||||
Class A | (87,227) | (271,716) | (33,356) | (78,586) | (19,212) | (54,972) | |||||
Class C | (234,275) | (755,122) | (112,546) | (226,952) | (58,451) | (146,488) | |||||
Institutional Class | (6,897,647) | (16,840,601) | (4,173,374) | (6,132,923) | (3,369,591) | (6,741,374) | |||||
(7,219,149) | (17,867,439) | (4,319,276) | (6,438,461) | (3,447,254) | (6,942,834) | ||||||
Net increase (decrease) | (260,553) | (1,845,241) | (2,160,633) | 2,311,091 | 1,575,470 | 1,826,990 |
six months ended September 30, 2020 and the year ended March 31, 2020 each Fund had the following exchange transactions.
Exchange Redemptions | Exchange Subscriptions | |||||||||||||
Class A Shares | Class C Shares | Institutional Class Shares | Value | |||||||||||
Optimum Fixed Income Fund | ||||||||||||||
Six months ended | ||||||||||||||
9/30/20 | 2,751 | 10,522 | 13,273 | $131,714 | ||||||||||
Year ended | ||||||||||||||
3/31/20 | 8,125 | 3,062 | 11,192 | 108,165 | ||||||||||
Optimum International Fund | ||||||||||||||
Six months ended | ||||||||||||||
9/30/20 | 2,539 | 4,393 | 6,763 | 82,266 | ||||||||||
Year ended | ||||||||||||||
3/31/20 | 4,408 | 132 | 4,503 | 58,108 | ||||||||||
Optimum Large Cap Growth Fund | ||||||||||||||
Six months ended | ||||||||||||||
9/30/20 | 16,111 | 16,671 | 27,091 | 541,852 | ||||||||||
Year ended | ||||||||||||||
3/31/20 | 14,729 | 318 | 13,776 | 263,452 |
Exchange Redemptions | Exchange Subscriptions | |||||||||||||
Class A Shares | Class C Shares | Institutional Class Shares | Value | |||||||||||
Optimum Large Cap Value Fund | ||||||||||||||
Six months ended | ||||||||||||||
9/30/20 | 12,471 | 2,806 | 15,195 | $258,171 | ||||||||||
Year ended | ||||||||||||||
3/31/20 | 12,545 | 266 | 12,777 | 213,257 | ||||||||||
Optimum Small-Mid Cap Growth Fund | ||||||||||||||
Six months ended | ||||||||||||||
9/30/20 | 1,199 | 712 | 1,603 | 21,879 | ||||||||||
Year ended | ||||||||||||||
3/31/20 | 1,993 | 56 | 1,861 | 27,404 | ||||||||||
Optimum Small-Mid Cap Value Fund | ||||||||||||||
Six months ended | ||||||||||||||
9/30/20 | 220 | 731 | 799 | 9,700 | ||||||||||
Year ended | ||||||||||||||
3/31/20 | 1,120 | 130 | 1,160 | 15,190 |
US dollar value of securities it already owns that are denominated in foreign currencies.
Optimum Fixed Income Fund | ||||||||
Asset Derivatives Fair Value | ||||||||
Statement of Assets and Liabilities Location | Currency Contracts | Interest Rate Contracts | Credit Contracts | Total | ||||
Unrealized appreciation on foreign currency exchange contracts | $907,710 | $— | $— | $907,710 | ||||
Variation margin due to broker on futures contracts* | 450,274 | 133,219 | — | 583,493 | ||||
Variation margin due to brokers on centrally cleared credit default swap contracts* | — | — | 411,688 | 411,688 | ||||
Variation margin due to brokers on centrally cleared interest rate swap contracts* | — | 613,516 | — | 613,516 | ||||
Unrealized appreciation on credit default swap contracts | — | — | 1,014,019 | 1,014,019 | ||||
Total | $1,357,984 | $746,735 | $1,425,707 | $3,530,426 |
Liability Derivatives Fair Value | ||||||||
Statement of Assets and Liabilities Location | Currency Contracts | Interest Rate Contracts | Credit Contracts | Total | ||||
Unrealized depreciation on foreign currency exchange contracts | $(7,440) | $— | $— | $(7,440) | ||||
Variation margin due from broker on futures contracts* | (77,151) | (687,628) | — | (764,779) | ||||
Options written, at value | — | (180,227) | — | (180,227) | ||||
Variation margin due from brokers on centrally cleared credit default swap contracts* | — | — | (327,633) | (327,633) | ||||
Variation margin due from brokers on centrally cleared interest rate swap contracts* | — | (3,691,131) | — | (3,691,131) | ||||
Unrealized depreciation on credit default swap contracts | — | — | 184,487 | 184,487 | ||||
Total | $(84,591) | $ (4,558,986) | $(143,146) | $ (4,786,723) |
September 30, 2020 was as follows:
Optimum Fixed Income Fund Net Realized Gain (Loss) on: | |||||||||||
Foreign Currency Exchange Contracts | Futures Contracts | Options Purchased | Options Written | Swap Contracts | Total | ||||||
Currency contracts | $(5,279,403) | $— | $— | $— | $— | $(5,279,403) | |||||
Interest rate contracts | — | 4,141,879 | (2,432) | 2,388 | (1,384,853) | 2,756,982 | |||||
Equity contracts | — | 5,490 | — | — | — | 5,490 | |||||
Credit contracts | — | — | — | — | (568,265) | (568,265) | |||||
Total | $(5,279,403) | $4,147,369 | $(2,432) | $2,388 | $(1,953,118) | $(3,085,196) |
Net Change in Unrealized Appreciation (Depreciation) of: | |||||||||||
Foreign Currency Exchange Contracts | Futures Contracts | Options Purchased | Options Written | Swap Contracts | Total | ||||||
Currency contracts | $2,601,324 | $1,117,205 | $— | $— | $— | $3,718,529 | |||||
Interest rate contracts | — | (3,495,642) | — | (19,805) | 786,461 | (2,728,986) | |||||
Equity contracts | — | (4,530) | — | — | — | (4,530) | |||||
Credit contracts | — | — | 22,601 | (121,087) | 2,630,705 | 2,532,219 | |||||
Total | $2,601,324 | $(2,382,967) | $22,601 | $(140,892) | $3,417,166 | $3,517,232 |
Long Derivative Volume | |||||||||||||||||
Optimum Fixed Income Fund | Optimum International Fund | Optimum Large Cap Growth Fund | Optimum Large Cap Value Fund | Optimum Small-Mid Cap Growth Fund | Optimum Small-Mid Cap Value Fund | ||||||||||||
Foreign currency exchange contracts (average notional value) | USD | 8,961,963 | 693,068 | — | — | — | — | ||||||||||
Futures contracts (average notional value) | 185,517,103 | — | — | — | — | — | |||||||||||
Options contracts (average notional value)* | 23,574 | — | — | — | — | — | |||||||||||
CDS contracts (average notional value)** | USD | 20,735,008 | — | — | — | — | — | ||||||||||
EUR | 8,708,661 | — | — | — | — | — | |||||||||||
Interest rate swap contracts (average notional value)*** | CAD | 43,600,000 | — | — | — | — | — | ||||||||||
GBP | 26,001,575 | — | — | — | — | — |
Short Derivative Volume | |||||||||||||||||
Optimum Fixed Income Fund | Optimum International Fund | Optimum Large Cap Growth Fund | Optimum Large Cap Value Fund | Optimum Small-Mid Cap Growth Fund | Optimum Small-Mid Cap Value Fund | ||||||||||||
Foreign currency exchange contracts (average notional value) | USD | 45,352,505 | — | 56,353 | 4,837 | — | — | ||||||||||
Futures Contracts (average notional value) | 152,474,800 | — | — | — | — | — | |||||||||||
Options contracts (average notional value)* | 54,474 | — | — | — | — | — | |||||||||||
CDS contracts (average notional value)** | USD | 65,938,559 | — | — | — | — | — | ||||||||||
EUR | 3,600,000 | — | — | — | — | — | |||||||||||
Interest rate swap contracts (average notional value)*** | USD | 104,261,417 | 769,871 | — | — | — | — | ||||||||||
GBP | 19,231,496 | — | — | — | — | — |
and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default (close-out), including the bankruptcy or insolvency of the counterparty. However, bankruptcy, or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency, or other events.
Optimum Fixed Income Fund | ||||||
Counterparty | Gross Value of Derivative Asset | Gross Value of Derivative Liability | Net Position | |||
Bank of America Merrill Lynch | $3,635 | $— | $3,635 | |||
BNP Paribas | 804,563 | (46,136) | 758,427 | |||
Citigroup | 1,541 | (87,288) | (85,747) | |||
Deutsche Bank | 970,343 | — | 970,343 | |||
Goldman Sachs | 35,827 | — | 35,827 | |||
JPMorgan Chase Bank | 108,973 | (182,744) | (73,771) | |||
Total | $1,924,882 | $(316,168) | $1,608,714 |
Counterparty | Net Position | Fair Value of Non-Cash Collateral Received | Cash Collateral Received(a) | Fair Value of Non-Cash Collateral Pledged | Cash Collateral Pledged | Net Exposure(b) | ||||||
Bank of America Merrill Lynch | $3,635 | $— | $— | $— | $— | $3,635 | ||||||
BNP Paribas | 758,427 | — | (689,000) | — | — | 69,427 | ||||||
Citigroup | (85,747) | — | — | 14,000 | — | (71,747) | ||||||
Deutsche Bank | 970,343 | — | (180,000) | — | — | 790,343 | ||||||
Goldman Sachs | 35,827 | — | — | — | — | 35,827 | ||||||
JPMorgan Chase Bank | (73,771) | — | — | — | 70,000 | (3,771) | ||||||
Total | $1,608,714 | $— | $(869,000) | $14,000 | $70,000 | $823,714 |
Optimum International Fund | ||||||
Counterparty | Gross Value of Derivative Asset | Gross Value of Derivative Liability | Net Position | |||
The Bank of New York Mellon | $— | $(446) | $(446) | |||
Brown Brothers Harriman | — | (2,679) | (2,679) | |||
Total | $— | $(3,125) | $(3,125) |
Counterparty | Net Position | Fair Value of Non-Cash Collateral Received | Cash Collateral Received(a) | Fair Value of Non-Cash Collateral Pledged | Cash Collateral Pledged | Net Exposure(b) | ||||||
The Bank of New York Mellon | $(446) | $— | $— | $— | $— | $(446) | ||||||
Brown Brothers Harriman | (2,679) | — | — | — | — | (2,679) | ||||||
Total | $(3,125) | $— | $— | $— | $— | $(3,125) | ||||||
Optimum Large Cap Growth Fund | ||||||
Counterparty | Gross Value of Derivative Asset | Gross Value of Derivative Liability | Net Position | |||
The Bank of New York Mellon | $258 | $(184) | $74 |
Counterparty | Net Position | Fair Value of Non-Cash Collateral Received | Cash Collateral Received(a) | Fair Value of Non-Cash Collateral Pledged | Cash Collateral Pledged | Net Exposure(b) | ||||||
The Bank of New York Mellon | $74 | $— | $— | $— | $— | $74 |
Optimum Fixed Income Fund | ||||||||||
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Standard Chartered Bank | $185,100,000 | $(185,100,000) | $— | $(185,100,000) | $— |
Optimum Fixed Income Fund | ||||||||
Counterparty | TBA at Value | Cash Collateral Received | Cash Collateral Pledged | Net Exposure(b) | ||||
Morgan Stanley & Co. LLC | $309,740,377 | $(762,000) | $— | $308,978,377 |
Counterparty | Securities Loaned at Value | Cash Collateral Received(a) | Fair Value of Non-Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
The Bank of New York Mellon | $12,903,914 | $(2,657,891) | $(10,246,023) | $(12,903,914) | $— |
Securities Lending Transactions | Overnight and continuous | Under 30 days | Between 30 & 90 days | Over 90 Days | Total | |||||
Certificates of Deposit and Repurchase Agreements | $16,636,692 | $— | $— | $— | $16,636,692 |
mid-sized companies. Investments in small- and mid-sized companies may be more volatile than investments in larger companies for a number of reasons, which include more limited financial resources or a dependence on narrow product lines.
The parties agreed to terms of a settlement agreement and presented the settlement agreement to the court for approval at a hearing on
June 12, 2019. The court approved the settlement documentation and dismissed the case on July 2, 2019. The court’s approval of the settlement and dismissal of the case with prejudice became final on July 16, 2019.
Asset Management − Americas
Platform Management
Group
General Counsel, and Secretary
Optimum Fund Trust
Philadelphia, PA
and Chief Financial Officer
Optimum Fund Trust
Philadelphia, PA
Optimum Fund Trust
Philadelphia, PA
of Macquarie Investment Management
Business Trust, Philadelphia, PA
Philadelphia, PA
disbursing, and transfer agent
Services Company
610 Market Street
Philadelphia, PA 19106-2354
and financial institutions
representatives
800 914-0278; and (ii) on the SEC’s website at sec.gov. In addition, a description of the policies and procedures that the Funds use to determine how to vote proxies (if any) relating to portfolio securities and the Schedules of Investments included in the Funds’ most recent Form N-PORT are available without charge on the Funds’ website at optimummutualfunds.com/literature. Each Fund’s Forms N-PORT may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C.; information on the operation of the Public Reference Room may be obtained by calling 800 SEC-0330.
Item 2. Code of Ethics
Not applicable.
Item 3. Audit Committee Financial Expert
Not applicable.
Item 4. Principal Accountant Fees and Services
Not applicable.
Item 5. Audit Committee of Listed Registrants
Not applicable.
Item 6. Investments
(a) Included as part of report to shareholders filed under Item 1 of this Form N-CSR.
(b) Divestment of securities in accordance with Section 13(c) of the Investment Company Act of 1940.
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 Companies and Affiliated Purchasers
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders
Not applicable.
Item 11. Controls and Procedures
The registrant’s principal executive officer and principal financial officer have evaluated the registrant’s disclosure controls and procedures within 90 days of the filing of this report and have concluded that they are effective in providing reasonable assurance that the information required to be disclosed by the registrant in its reports or statements filed under the Securities Exchange Act of 1934 is recorded, processed, summarized and reported within the time periods specified in the rules and forms of the Securities and Exchange Commission.
There were no significant changes in the registrant’s internal control over financial reporting that occurred during the period covered by the report to stockholders included herein that have materially affected, or are 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.
Not applicable.
Item 13. Exhibits
(a) | (1) Code of Ethics |
Not applicable. | |
(2) Certifications of Principal Executive Officer and Principal Financial Officer pursuant to Rule 30a-2 under the Investment Company Act of 1940 are attached hereto as Exhibit 99.CERT. | |
(3) Written solicitations to purchase securities pursuant to Rule 23c-1 under the Securities Exchange Act of 1934. | |
Not applicable. | |
(b) | Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 are furnished herewith as Exhibit 99.906CERT. |
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.
OPTIMUM FUND TRUST
BRETT W. WRIGHT | |
By: | Brett W. Wright |
Title: | President and Chief Executive Officer |
Date: | December 3, 2020 |
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.
BRETT W. WRIGHT | |
By: | Brett W. Wright |
Date: | December 3, 2020 |
DANIEL V. GEATENS | |
By: | Daniel V. Geatens |
Title: | Chief Financial Officer |
Date: | December 3, 2020 |