Consolidated Schedule of Investments Absolute Return Multi-Manager Fund^ (Unaudited) January 31, 2021
Investments |
| Shares |
| Value ($) |
|
|
|
|
|
|
|
LONG POSITIONS - 95.1% |
|
|
|
|
|
|
|
|
|
|
|
COMMON STOCKS - 36.3% |
|
|
|
|
|
|
|
|
|
|
|
Aerospace & Defense - 0.7% |
|
|
|
|
|
Kaman Corp.(a) |
| 4,891 |
| 246,311 |
|
PAE, Inc.*(a) |
| 42,613 |
| 353,688 |
|
|
|
|
| 599,999 |
|
Airlines - 0.0%(b) |
|
|
|
|
|
American Airlines Group, Inc.(a) |
| 623 |
| 10,697 |
|
American Airlines Group, Inc. Escrow*(c) |
| 14,383 |
| 575 |
|
|
|
|
| 11,272 |
|
Auto Components - 0.0%(b) |
|
|
|
|
|
Garrett Motion, Inc. (Switzerland)* |
| 5,000 |
| 31,250 |
|
Automobiles - 0.3% |
|
|
|
|
|
General Motors Co.(a) |
| 4,781 |
| 242,301 |
|
Banks - 0.9% |
|
|
|
|
|
Bank of America Corp. |
| 6,194 |
| 183,652 |
|
Boston Private Financial Holdings, Inc. |
| 1,800 |
| 21,942 |
|
Hancock Whitney Corp. |
| 6,177 |
| 210,883 |
|
JPMorgan Chase & Co.(a) |
| 2,613 |
| 336,215 |
|
Societe Generale SA (France)*(a) |
| 131 |
| 2,442 |
|
|
|
|
| 755,134 |
|
Biotechnology - 0.7% |
|
|
|
|
|
Alexion Pharmaceuticals, Inc.* |
| 2,300 |
| 352,659 |
|
Cellular Biomedicine Group, Inc.* |
| 2,000 |
| 39,200 |
|
Grifols SA, ADR (Spain) |
| 7,900 |
| 139,672 |
|
Regeneron Pharmaceuticals, Inc.*(a) |
| 171 |
| 86,157 |
|
|
|
|
| 617,688 |
|
Capital Markets - 1.3% |
|
|
|
|
|
BlackRock, Inc. |
| 134 |
| 93,969 |
|
Eaton Vance Corp. |
| 8,600 |
| 577,404 |
|
Goldman Sachs Group, Inc. (The) |
| 449 |
| 121,755 |
|
Morgan Stanley(a) |
| 3,081 |
| 206,581 |
|
Pershing Square Tontine Holdings Ltd., Class A* |
| 4,707 |
| 129,772 |
|
|
|
|
| 1,129,481 |
|
Chemicals - 0.2% |
|
|
|
|
|
DuPont de Nemours, Inc. |
| 1,300 |
| 103,285 |
|
Ferro Corp.* |
| 2,400 |
| 33,096 |
|
W R Grace & Co. |
| 500 |
| 29,010 |
|
|
|
|
| 165,391 |
|
Commercial Services & Supplies - 0.4% |
|
|
|
|
|
Clean Harbors, Inc.*(a) |
| 4,802 |
| 371,963 |
|
Communications Equipment - 0.6% |
|
|
|
|
|
4L Holdings Corp.*(c) |
| 3,790 |
| 1,895 |
|
Acacia Communications, Inc.*(a) |
| 3,800 |
| 434,720 |
|
Comtech Telecommunications Corp.(a) |
| 1,400 |
| 29,876 |
|
|
|
|
| 466,491 |
|
Construction & Engineering - 0.8% |
|
|
|
|
|
Quanta Services, Inc. |
| 2,666 |
| 187,873 |
|
Valmont Industries, Inc.(a) |
| 2,758 |
| 532,073 |
|
|
|
|
| 719,946 |
|
Construction Materials - 0.3% |
|
|
|
|
|
Eagle Materials, Inc. |
| 2,012 |
| 221,380 |
|
Distributors - 0.4% |
|
|
|
|
|
LKQ Corp.*(a) |
| 10,056 |
| 352,865 |
|
Diversified Consumer Services - 0.9% |
|
|
|
|
|
Collectors Universe, Inc. |
| 2,300 |
| 210,013 |
|
Regis Corp.*(a) |
| 32,991 |
| 313,085 |
|
Terminix Global Holdings, Inc.* |
| 4,991 |
| 237,971 |
|
|
|
|
| 761,069 |
|
Diversified Financial Services - 0.2% |
|
|
|
|
|
Equitable Holdings, Inc. |
| 6,325 |
| 156,734 |
|
Diversified Telecommunication Services - 0.2% |
|
|
|
|
|
Cincinnati Bell, Inc.*(a) |
| 9,400 |
| 143,256 |
|
Electric Utilities - 0.7% |
|
|
|
|
|
PG&E Corp.* |
| 10,785 |
| 123,273 |
|
PNM Resources, Inc. |
| 9,700 |
| 470,644 |
|
|
|
|
| 593,917 |
|
Electrical Equipment - 0.9% |
|
|
|
|
|
Regal Beloit Corp.(a) |
| 2,427 |
| 304,540 |
|
Sunrun, Inc.* |
| 6,456 |
| 447,207 |
|
|
|
|
| 751,747 |
|
Electronic Equipment, Instruments & Components - 0.2% |
|
|
|
|
|
Coherent, Inc.* |
| 200 |
| 40,168 |
|
FLIR Systems, Inc. |
| 3,100 |
| 161,355 |
|
Hollysys Automation Technologies Ltd. (China) |
| 500 |
| 6,960 |
|
|
|
|
| 208,483 |
|
Entertainment - 0.1% |
|
|
|
|
|
Walt Disney Co. (The)*(a) |
| 601 |
| 101,070 |
|
Equity Real Estate Investment Trusts (REITs) - 0.5% |
|
|
|
|
|
Equinix, Inc.(a) |
| 497 |
| 367,760 |
|
Monmouth Real Estate Investment Corp. |
| 1,300 |
| 22,529 |
|
|
|
|
| 390,289 |
|
Food & Staples Retailing - 0.2% |
|
|
|
|
|
Cia Brasileira de Distribuicao, ADR (Brazil)(a) |
| 1,183 |
| 16,195 |
|
Magnit PJSC, GDR (Russia)(a)(d) |
| 1,164 |
| 17,306 |
|
Wal-Mart de Mexico SAB de CV (Mexico)(a) |
| 10,332 |
| 29,410 |
|
X5 Retail Group NV, GDR (Russia)(a)(d) |
| 2,263 |
| 79,788 |
|
|
|
|
| 142,699 |
|
Food Products - 0.5% |
|
|
|
|
|
Nestle SA (Registered) (Switzerland)(a) |
| 2,313 |
| 259,279 |
|
Nomad Foods Ltd. (United Kingdom)* |
| 5,110 |
| 128,261 |
|
|
|
|
| 387,540 |
|
Health Care Equipment & Supplies - 1.9% |
|
|
|
|
|
Envista Holdings Corp.*(a) |
| 14,529 |
| 516,361 |
|
ESC Co.*(c)(e) |
| 400 |
| |
|
Oxford Immunotec Global plc* |
| 6,600 |
| 144,210 |
|
Surgalign Holdings, Inc.*(a) |
| 9,300 |
| 15,624 |
|
Varian Medical Systems, Inc.*(a) |
| 4,900 |
| 860,293 |
|
Zimmer Biomet Holdings, Inc. |
| 677 |
| 104,034 |
|
|
|
|
| 1,640,522 |
|
Health Care Providers & Services - 0.7% |
|
|
|
|
|
Anthem, Inc. |
| 361 |
| 107,210 |
|
BioTelemetry, Inc.* |
| 2,900 |
| 207,234 |
|
Cigna Corp. |
| 663 |
| 143,904 |
|
See Notes to Consolidated Schedule of Investments
Investments |
| Shares |
| Value ($) |
|
Magellan Health, Inc.* |
| 800 |
| 75,184 |
|
Shanghai Pharmaceuticals Holding Co. Ltd., Class H (China)(a) |
| 9,303 |
| 16,080 |
|
Sinopharm Group Co. Ltd., Class H (China)(a) |
| 5,222 |
| 12,797 |
|
|
|
|
| 562,409 |
|
Health Care Technology - 0.3% |
|
|
|
|
|
Change Healthcare, Inc.* |
| 2,500 |
| 59,650 |
|
HMS Holdings Corp.* |
| 5,300 |
| 195,146 |
|
|
|
|
| 254,796 |
|
Hotels, Restaurants & Leisure - 0.8% |
|
|
|
|
|
BJs Restaurants, Inc.* |
| 5,323 |
| 248,797 |
|
Great Canadian Gaming Corp. (Canada)*(a) |
| 8,100 |
| 270,158 |
|
Penn National Gaming, Inc.* |
| 1,769 |
| 183,481 |
|
|
|
|
| 702,436 |
|
Household Durables - 0.8% |
|
|
|
|
|
Lennar Corp., Class A(a) |
| 1,369 |
| 113,832 |
|
Lennar Corp., Class B(a) |
| 3,487 |
| 233,420 |
|
Skyline Champion Corp.* |
| 6,816 |
| 229,222 |
|
Toll Brothers, Inc. |
| 2,132 |
| 108,945 |
|
|
|
|
| 685,419 |
|
Independent Power and Renewable Electricity Producers - 0.1% |
|
|
|
|
|
Atlantic Power Corp.* |
| 600 |
| 1,776 |
|
Sunnova Energy International, Inc.* |
| 2,349 |
| 103,004 |
|
|
|
|
| 104,780 |
|
Industrial Conglomerates - 0.0%(b) |
|
|
|
|
|
Smiths Group plc (United Kingdom)(a) |
| 1,394 |
| 26,924 |
|
Insurance - 1.8% |
|
|
|
|
|
AIA Group Ltd. (Hong Kong)(a) |
| 16,503 |
| 198,973 |
|
Aon plc, Class A |
| 582 |
| 118,204 |
|
Chubb Ltd. |
| 741 |
| 107,941 |
|
Genworth Financial, Inc., Class A*(a) |
| 9,100 |
| 25,844 |
|
Lincoln National Corp. |
| 3,287 |
| 149,526 |
|
ProSight Global, Inc.* |
| 2,900 |
| 36,105 |
|
Stewart Information Services Corp. |
| 2,215 |
| 102,732 |
|
Syncora Holdings Ltd.* |
| 41,800 |
| 13,167 |
|
Watford Holdings Ltd. (Bermuda)* |
| 1,110 |
| 38,361 |
|
Willis Towers Watson plc |
| 3,600 |
| 730,584 |
|
|
|
|
| 1,521,437 |
|
Interactive Media & Services - 1.6% |
|
|
|
|
|
Actua Corp.*(c)(e) |
| 6,700 |
| 335 |
|
Alphabet, Inc., Class A* |
| 162 |
| 296,032 |
|
Baidu, Inc., ADR (China)*(a) |
| 205 |
| 48,179 |
|
Facebook, Inc., Class A*(a) |
| 1,382 |
| 357,012 |
|
Mail.Ru Group Ltd., GDR (Russia)*(a)(d) |
| 928 |
| 24,176 |
|
SINA Corp. (China)* |
| 1,100 |
| 46,002 |
|
Sohu.com Ltd., ADR (China)* |
| 3,600 |
| 64,620 |
|
Tencent Holdings Ltd. (China)(a) |
| 3,520 |
| 313,644 |
|
Yandex NV, Class A (Russia)* |
| 736 |
| 46,103 |
|
Zillow Group, Inc., Class C*(a) |
| 1,168 |
| 152,377 |
|
|
|
|
| 1,348,480 |
|
Internet & Direct Marketing Retail - 3.2% |
|
|
|
|
|
Alibaba Group Holding Ltd., ADR (China)*(a) |
| 2,223 |
| 564,264 |
|
Altaba, Inc. Escrow*(c) |
| 64,106 |
| 923,126 |
|
Amazon.com, Inc.*(a) |
| 69 |
| 221,228 |
|
ASOS plc (United Kingdom)*(a) |
| 333 |
| 20,346 |
|
Booking Holdings, Inc.*(a) |
| 264 |
| 513,303 |
|
eBay, Inc.(a) |
| 1,150 |
| 64,987 |
|
Expedia Group, Inc. |
| 462 |
| 57,334 |
|
Expedia Group, Inc.(a) |
| 70 |
| 8,687 |
|
Grubhub, Inc.*(a) |
| 1,198 |
| 90,174 |
|
MercadoLibre, Inc. (Argentina)*(a) |
| 127 |
| 225,998 |
|
|
|
|
| 2,689,447 |
|
IT Services - 1.7% |
|
|
|
|
|
Cardtronics plc, Class A* |
| 1,200 |
| 46,620 |
|
Cognizant Technology Solutions Corp., Class A |
| 1,776 |
| 138,439 |
|
Fidelity National Information Services, Inc. |
| 701 |
| 86,545 |
|
Paya Holdings, Inc., Class A* |
| 17,281 |
| 223,962 |
|
PayPal Holdings, Inc.*(a) |
| 1,150 |
| 269,456 |
|
Perspecta, Inc. |
| 4,100 |
| 118,695 |
|
Repay Holdings Corp.* |
| 4,305 |
| 95,356 |
|
Virtusa Corp.* |
| 6,000 |
| 306,300 |
|
Visa, Inc., Class A(a) |
| 650 |
| 125,613 |
|
|
|
|
| 1,410,986 |
|
Life Sciences Tools & Services - 0.4% |
|
|
|
|
|
Eurofins Scientific SE (Luxembourg)* |
| 1,400 |
| 134,381 |
|
Gerresheimer AG (Germany)(a) |
| 350 |
| 37,271 |
|
Thermo Fisher Scientific, Inc.(a) |
| 248 |
| 126,406 |
|
|
|
|
| 298,058 |
|
Machinery - 0.3% |
|
|
|
|
|
Navistar International Corp.*(a) |
| 6,000 |
| 264,000 |
|
Marine - 0.6% |
|
|
|
|
|
Kirby Corp.*(a) |
| 5,597 |
| 284,104 |
|
SEACOR Holdings, Inc.* |
| 6,100 |
| 254,614 |
|
|
|
|
| 538,718 |
|
Media - 0.3% |
|
|
|
|
|
Deluxe Television GmbH (Germany)*(c) |
| 16,063 |
| |
|
Discovery, Inc., Class C*(a) |
| 3,100 |
| 108,593 |
|
Loral Space & Communications, Inc.(a) |
| 2,985 |
| 75,819 |
|
Stroeer SE & Co. KGaA (Germany) |
| 724 |
| 65,238 |
|
Tribune Co. Litigation, Class 1C*(c)(e) |
| 302,443 |
| |
|
|
|
|
| 249,650 |
|
Metals & Mining - 0.0%(b) |
|
|
|
|
|
Artemis Gold, Inc. (Canada)*(a) |
| 605 |
| 2,881 |
|
Conic Metals Corp. (Canada)*(a) |
| 11,300 |
| 5,744 |
|
|
|
|
| 8,625 |
|
Oil, Gas & Consumable Fuels - 0.0%(b) |
|
|
|
|
|
Falcon Minerals Corp.(a) |
| 3,400 |
| 10,404 |
|
Southcross Energy Partners LP*(c) |
| 49,093 |
| 491 |
|
|
|
|
| 10,895 |
|
Paper & Forest Products - 0.2% |
|
|
|
|
|
Clearwater Paper Corp.* |
| 5,352 |
| 203,804 |
|
Personal Products - 0.6% |
|
|
|
|
|
elf Beauty, Inc.*(a) |
| 12,056 |
| 262,338 |
|
Estee Lauder Cos., Inc. (The), Class A |
| 455 |
| 107,676 |
|
Unilever plc (United Kingdom)(a) |
| 1,999 |
| 116,200 |
|
|
|
|
| 486,214 |
|
Pharmaceuticals - 0.7% |
|
|
|
|
|
Aralez Pharmaceuticals, Inc. (Canada)*(c) |
| 345 |
| |
|
See Notes to Consolidated Schedule of Investments
Investments |
| Shares |
| Value ($) |
|
Bristol-Myers Squibb Co. |
| 1,579 |
| 96,998 |
|
Dr Reddys Laboratories Ltd., ADR (India) |
| 681 |
| 41,732 |
|
Hikma Pharmaceuticals plc (Jordan)(a) |
| 1,718 |
| 56,418 |
|
Johnson & Johnson(a) |
| 167 |
| 27,243 |
|
Roche Holding AG (Switzerland)(a) |
| 938 |
| 323,715 |
|
Teva Pharmaceutical Industries Ltd., ADR (Israel)*(a) |
| 513 |
| 6,043 |
|
Urovant Sciences Ltd. (United Kingdom)* |
| 3,900 |
| 63,219 |
|
|
|
|
| 615,368 |
|
Professional Services - 1.0% |
|
|
|
|
|
CoreLogic, Inc. |
| 2,500 |
| 188,225 |
|
IHS Markit Ltd. |
| 1,600 |
| 139,328 |
|
Intertrust NV (Netherlands)*(a)(d) |
| 20,181 |
| 310,279 |
|
People Corp. (Canada)* |
| 9,300 |
| 109,455 |
|
SGS SA (Registered) (Switzerland) |
| 32 |
| 97,056 |
|
|
|
|
| 844,343 |
|
Road & Rail - 0.1% |
|
|
|
|
|
Lyft, Inc., Class A* |
| 2,745 |
| 122,043 |
|
Semiconductors & Semiconductor Equipment - 1.8% |
|
|
|
|
|
Enphase Energy, Inc.* |
| 694 |
| 126,551 |
|
Inphi Corp.* |
| 2,200 |
| 370,942 |
|
Maxim Integrated Products, Inc.(a) |
| 4,700 |
| 412,237 |
|
QUALCOMM, Inc. |
| 1,108 |
| 173,158 |
|
SunEdison, Inc.*(c)(e) |
| 16,689 |
| |
|
Xilinx, Inc. |
| 3,400 |
| 443,938 |
|
|
|
|
| 1,526,826 |
|
Software - 3.3% |
|
|
|
|
|
Fair Isaac Corp.*(a) |
| 310 |
| 139,534 |
|
Jamf Holding Corp.*(a) |
| 3,671 |
| 135,570 |
|
Microsoft Corp.(a) |
| 624 |
| 144,743 |
|
Pluralsight, Inc., Class A* |
| 14,900 |
| 309,920 |
|
RealPage, Inc.* |
| 6,500 |
| 562,705 |
|
SAP SE (Germany)(a) |
| 1,540 |
| 195,408 |
|
Slack Technologies, Inc., Class A* |
| 17,800 |
| 750,626 |
|
Telenav, Inc.* |
| 9,600 |
| 45,696 |
|
Tenable Holdings, Inc.*(a) |
| 9,593 |
| 474,757 |
|
|
|
|
| 2,758,959 |
|
Specialty Retail - 0.3% |
|
|
|
|
|
Bed Bath & Beyond, Inc.(a) |
| 3,120 |
| 110,229 |
|
Frasers Group plc (United Kingdom)*(a) |
| 9,144 |
| 53,302 |
|
Sportsmans Warehouse Holdings, Inc.* |
| 2,100 |
| 36,792 |
|
Toys R Us, Inc.*(c) |
| 1,040 |
| 24,960 |
|
|
|
|
| 225,283 |
|
Technology Hardware, Storage & Peripherals - 0.8% |
|
|
|
|
|
Apple, Inc.(a) |
| 3,503 |
| 462,256 |
|
Dell Technologies, Inc., Class C*(a) |
| 700 |
| 51,023 |
|
Samsung Electronics Co. Ltd., GDR (South Korea)(a)(d) |
| 81 |
| 148,777 |
|
|
|
|
| 662,056 |
|
Textiles, Apparel & Luxury Goods - 1.3% |
|
|
|
|
|
adidas AG (Germany)*(a) |
| 729 |
| 231,151 |
|
Capri Holdings Ltd.* |
| 1,002 |
| 41,743 |
|
G-III Apparel Group Ltd.*(a) |
| 17,231 |
| 465,926 |
|
Steven Madden Ltd. |
| 9,970 |
| 334,992 |
|
Tapestry, Inc.(a) |
| 1,647 |
| 52,078 |
|
|
|
|
| 1,125,890 |
|
Thrifts & Mortgage Finance - 0.2% |
|
|
|
|
|
Genworth MI Canada, Inc. (Canada)(a) |
| 5,100 |
| 173,410 |
|
Trading Companies & Distributors - 0.2% |
|
|
|
|
|
Brenntag AG (Germany)(a) |
| 2,000 |
| 156,666 |
|
IMCD NV (Netherlands)(a) |
| 234 |
| 29,041 |
|
|
|
|
| 185,707 |
|
Transportation Infrastructure - 0.1% |
|
|
|
|
|
Macquarie Infrastructure Corp.(a) |
| 2,700 |
| 75,033 |
|
Wireless Telecommunication Services - 0.2% |
|
|
|
|
|
T-Mobile US, Inc.*(a) |
| 1,057 |
| 133,267 |
|
TOTAL COMMON STOCKS (Cost $26,195,955) |
|
|
| 30,777,750 |
|
|
| Principal |
|
|
|
COMMERCIAL MORTGAGE-BACKED SECURITIES - 7.5% |
|
|
|
|
|
|
|
|
|
|
|
CHC Commercial Mortgage Trust, |
|
|
|
|
|
Series 2019-CHC, Class E, (ICE LIBOR USD 1 Month + 2.35%, 2.35% Floor), 2.48%, 6/15/2034(f)(g) |
| 995,703 |
| 875,354 |
|
CHT Mortgage Trust, |
|
|
|
|
|
Series 2017-CSMO, Class F, (ICE LIBOR USD 1 Month + 3.74%, 3.74% Floor), 3.87%, 11/15/2036(f)(g) |
| 1,000,000 |
| 991,200 |
|
CORE Mortgage Trust, |
|
|
|
|
|
Series 2019-CORE, Class F, (ICE LIBOR USD 1 Month + 2.35%, 2.35% Floor), 2.48%, 12/15/2031(a)(f)(g) |
| 1,100,000 |
| 1,069,577 |
|
Hawaii Hotel Trust, |
|
|
|
|
|
Series 2019-MAUI, Class F, (ICE LIBOR USD 1 Month + 2.75%, 2.75% Floor), 2.88%, 5/15/2038(f)(g) |
| 1,700,000 |
| 1,644,618 |
|
Hilton Orlando Trust, |
|
|
|
|
|
Series 2018-ORL, Class E, (ICE LIBOR USD 1 Month + 2.80%, 2.65% Floor), 2.93%, 12/15/2034(a)(f)(g) |
| 1,625,000 |
| 1,588,437 |
|
Palisades Center Trust, |
|
|
|
|
|
Series 2016-PLSD, Class D, 4.74%, 4/13/2033(f) |
| 1,000,000 |
| 230,000 |
|
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (Cost $7,460,556) |
|
|
| 6,399,186 |
|
ASSET-BACKED SECURITIES - 6.6% |
|
|
|
|
|
Catamaran CLO Ltd. (Cayman Islands), |
|
|
|
|
|
Series 2015-1A, Class DR, (ICE LIBOR USD 3 Month + 2.80%), 3.02%, 4/22/2027(f)(g) |
| 1,000,000 |
| 953,102 |
|
See Notes to Consolidated Schedule of Investments
Investments |
| Principal |
| Value ($) |
|
JP Morgan Mortgage Acquisition Trust, |
|
|
|
|
|
Series 2007-CH1, Class AF6, 4.82%, 11/25/2036(h) |
| 27,488 |
| 28,221 |
|
Midocean Credit CLO VII (Cayman Islands), |
|
|
|
|
|
Series 2017-7A, Class D, (ICE LIBOR USD 3 Month + 3.88%), 4.12%, 7/15/2029(f)(g) |
| 1,000,000 |
| 1,000,273 |
|
Mountain View CLO LLC (Cayman Islands), |
|
|
|
|
|
Series 2017-1A, Class D, (ICE LIBOR USD 3 Month + 3.60%), 3.82%, 10/16/2029(f)(g) |
| 1,000,000 |
| 972,377 |
|
New Residential Mortgage LLC, |
|
|
|
|
|
Series 2018-FNT2, Class D, 4.92%, 7/25/2054(f) |
| 647,297 |
| 649,548 |
|
Progress Residential Trust, |
|
|
|
|
|
Series 2018-SFR3, Class E, 4.87%, 10/17/2035(f) |
| 1,000,000 |
| 1,024,111 |
|
WhiteHorse X Ltd. (Cayman Islands), |
|
|
|
|
|
Series 2015-10A, Class DR, (ICE LIBOR USD 3 Month + 3.00%, 3.00% Floor), 3.22%, 4/17/2027(f)(g) |
| 1,000,000 |
| 990,065 |
|
TOTAL ASSET-BACKED SECURITIES (Cost $5,703,966) |
|
|
| 5,617,697 |
|
COLLATERALIZED MORTGAGE OBLIGATIONS - 6.1% |
|
|
|
|
|
|
|
|
|
|
|
Alternative Loan Trust, |
|
|
|
|
|
Series 2005-21CB, Class A17, 6.00%, 6/25/2035 |
| 643,967 |
| 621,970 |
|
Bellemeade Re Ltd. (Bermuda), |
|
|
|
|
|
Series 2020-2A, Class M1C, (ICE LIBOR USD 1 Month + 4.00%, 4.00% Floor), 4.13%, 8/26/2030(f)(g) |
| 1,000,000 |
| 1,024,779 |
|
Series 2020-3A, Class M1B, (ICE LIBOR USD 1 Month + 2.85%, 2.85% Floor), 2.98%, 10/25/2030(f)(g) |
| 1,000,000 |
| 1,006,796 |
|
Chase Mortgage Finance Trust, |
|
|
|
|
|
Series 2007-A2, Class 3A2, 3.15%, 6/25/2035(i) |
| 107,192 |
| 105,918 |
|
FHLMC Structured Agency Credit Risk Debt Notes, |
|
|
|
|
|
Series 2015-DN1, Class M3, (ICE LIBOR USD 1 Month + 4.15%), 4.28%, 1/25/2025(g) |
| 106,150 |
| 107,004 |
|
Series 2016-DNA1, Class M3, (ICE LIBOR USD 1 Month + 5.55%), 5.68%, 7/25/2028(g) |
| 795,290 |
| 834,027 |
|
FNMA Connecticut Avenue Securities, |
|
|
|
|
|
Series 2016-C05, Class 2M2, (ICE LIBOR USD 1 Month + 4.45%, 4.45% Floor), 4.58%, 1/25/2029(g) |
| 491,956 |
| 510,635 |
|
MASTR Alternative Loan Trust, |
|
|
|
|
|
Series 2004-10, Class 4A1, 6.00%, 9/25/2034 |
| 20,659 |
| 21,152 |
|
RFMSI Series Trust, |
|
|
|
|
|
Series 2006-S12, Class 3A4, 5.75%, 12/25/2036 |
| 621,523 |
| 607,485 |
|
WaMu Mortgage Pass-Through Certificates Trust, |
|
|
|
|
|
Series 2004-S1, Class 1A11, 5.50%, 3/25/2034 |
| 52,931 |
| 54,320 |
|
Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, |
|
|
|
|
|
Series 2005-1, Class 1A1, 5.50%, 3/25/2035 |
| 256,270 |
| 258,384 |
|
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $5,137,305) |
|
|
| 5,152,470 |
|
|
| No. of Rights |
|
|
|
RIGHTS - 0.3% |
|
|
|
|
|
|
|
|
|
|
|
Biotechnology - 0.3% |
|
|
|
|
|
Achillion Pharmaceuticals, Inc., CVR*(c) |
| 23,300 |
| 11,650 |
|
Alder Biopharmaceuticals, Inc., CVR*(c) |
| 35,400 |
| 44,250 |
|
Ambit Biosciences Corp. (Daichi Sankyo Co. Ltd.), CVR*(c)(e) |
| 70,000 |
| 141,750 |
|
Clementia Pharmaceuticals, Inc., CVR (France)*(c)(e) |
| 3,200 |
| |
|
Phenomix Corp., CVR*(a)(c)(e) |
| 13,900 |
| 10,425 |
|
Stemline Therapeutics, Inc., CVR*(c)(e) |
| 11,800 |
| |
|
Tobira Therapeutics, Inc., CVR*(c)(e) |
| 6,900 |
| 414 |
|
|
|
|
| 208,489 |
|
Media - 0.0% |
|
|
|
|
|
Media General, Inc., CVR*(c)(e) |
| 76,116 |
| |
|
Metals & Mining - 0.0%(b) |
|
|
|
|
|
Pan American Silver Corp., CVR (Canada)* |
| 39,600 |
| 30,492 |
|
Pharmaceuticals - 0.0%(b) |
|
|
|
|
|
Dova Pharmaceuticals, Inc., CVR (Sweden)*(c) |
| 8,800 |
| 4,400 |
|
Elanco Animal Health, Inc., CVR*(c) |
| 15,100 |
| 151 |
|
Omthera Pharmaceuticals, Inc. (AstraZeneca plc), CVR (United Kingdom)*(c)(e) |
| 100 |
| |
|
|
|
|
| 4,551 |
|
TOTAL RIGHTS (Cost $55,695) |
|
|
| 243,532 |
|
|
| No. of Warrants |
|
|
|
WARRANTS - 0.2% |
|
|
|
|
|
|
|
|
|
|
|
Capital Markets - 0.0%(b) |
|
|
|
|
|
FinTech Acquisition Corp. III, expiring 12/1/2023*(e) |
| 1,770 |
| 9,115 |
|
See Notes to Consolidated Schedule of Investments
Investments |
| No. of Warrants |
| Value ($) |
|
Pershing Square Tontine Holdings Ltd., expiring 7/24/2025* |
| 687 |
| 6,946 |
|
|
|
|
| 16,061 |
|
Oil, Gas & Consumable Fuels - 0.2% |
|
|
|
|
|
Southcross Energy Partners LP, expiring 12/31/2029*(c) |
| 303,095 |
| 142,455 |
|
TOTAL WARRANTS (Cost $151,500) |
|
|
| 158,516 |
|
|
| Principal |
|
|
|
CONVERTIBLE PREFERRED STOCKS - 0.1% |
|
|
|
|
|
|
|
|
|
|
|
Diversified Telecommunication Services - 0.1% |
|
|
|
|
|
Cincinnati Bell, Inc., |
|
|
|
|
|
Series B, 6.75%, 3/5/2021(j) |
| 1,900 |
| 94,468 |
|
|
| Shares |
|
|
|
PREFERRED STOCKS - 0.1% |
|
|
|
|
|
|
|
|
|
|
|
Media - 0.1% |
|
|
|
|
|
Liberty Broadband Corp., Series A, 7.00%, 3/10/2039(j) |
|
|
|
|
|
(Cost $35,613) |
| 1,860 |
| 52,750 |
|
|
| Principal |
|
|
| |
CONVERTIBLE BONDS - 0.0%(b) |
|
|
|
|
| |
|
|
|
|
|
| |
Entertainment - 0.0%(b) |
|
|
|
|
| |
Cineplex, Inc. (Canada), |
|
|
|
|
| |
5.75%, 9/30/2025(f) (Cost $31,635) |
| CAD | 43,000 |
| 39,847 |
|
|
| Shares |
|
|
|
MASTER LIMITED PARTNERSHIPS AND LIMITED PARTNERSHIPS - 0.0%(b) |
|
|
|
|
|
|
|
|
|
|
|
Oil, Gas & Consumable Fuels - 0.0%(b) |
|
|
|
|
|
Golar LNG Partners LP (United Kingdom) |
| 9,757 |
| 33,466 |
|
LOAN ASSIGNMENTS - 0.0%(b) |
|
|
|
|
|
|
|
|
|
|
|
Media - 0.0%(b) |
|
|
|
|
|
Deluxe Entertainment Services Group, Inc., 1st Lien Term Loan, |
|
|
|
|
|
(ICE LIBOR USD 3 Month + 5.00%), 6.00%, 3/25/2024(c)(e)(g) |
| 21,417 |
| 8,516 |
|
Deluxe Entertainment Services Group, Inc., 2nd Lien Term Loan, |
|
|
|
|
|
|
|
|
|
|
|
(ICE LIBOR USD 3 Month + 6.00%), 7.00%, 9/25/2024(c)(g) |
| 143,231 |
| |
|
|
|
|
| 8,516 |
|
Oil, Gas & Consumable Fuels - 0.0%(b) |
|
|
|
|
|
Lealand Finance Co. BV, Term Loan, |
|
|
|
|
|
(ICE LIBOR USD 1 Month + 3.00%), 3.15%, 6/28/2024(c)(g) |
| 29,012 |
| 23,210 |
|
TOTAL LOAN ASSIGNMENTS (Cost $128,409) |
|
|
| 31,726 |
|
CORPORATE BONDS - 0.0% |
|
|
|
|
|
|
|
|
|
|
|
Independent Power and Renewable Electricity Producers - 0.0% |
|
|
|
|
|
GenOn Energy, Inc. Escrow, |
|
|
|
|
|
9.50%, 10/15/2018(c)(e)(k) |
| 354,000 |
| |
|
9.88%, 10/15/2020(c)(e)(k) |
| 1,655,000 |
| |
|
TOTAL CORPORATE BONDS (Cost $) |
|
|
| |
|
|
| Shares |
|
|
|
SHORT-TERM INVESTMENTS - 37.9% |
|
|
|
|
|
|
|
|
|
|
|
INVESTMENT COMPANIES - 37.9% |
|
|
|
|
|
Morgan Stanley Institutional Liquidity Funds Treasury Portfolio Institutional Class, 0.01%(a)(l) (Cost $32,139,472) |
| 32,139,472 |
| 32,139,472 |
|
TOTAL LONG POSITIONS (Cost $77,160,366) |
|
|
| 80,740,880 |
|
SHORT POSITIONS - (7.4)%(m) |
|
|
|
|
|
|
|
|
|
|
|
COMMON STOCKS - (7.4)% |
|
|
|
|
|
|
|
|
|
|
|
Aerospace & Defense - (0.1)% |
|
|
|
|
|
Teledyne Technologies, Inc.* |
| (201 | ) | (71,759 | ) |
Banks - (0.3)% |
|
|
|
|
|
Bank of Montreal (Canada) |
| (945 | ) | (70,294 | ) |
Canadian Imperial Bank of Commerce (Canada) |
| (830 | ) | (70,736 | ) |
National Bank of Canada (Canada) |
| (1,240 | ) | (69,692 | ) |
Royal Bank of Canada (Canada) |
| (855 | ) | (69,202 | ) |
SVB Financial Group* |
| (14 | ) | (6,129 | ) |
|
|
|
| (286,053 | ) |
Capital Markets - (0.6)% |
|
|
|
|
|
Morgan Stanley |
| (5,015 | ) | (336,256 | ) |
S&P Global, Inc. |
| (453 | ) | (143,601 | ) |
|
|
|
| (479,857 | ) |
Chemicals - (0.1)% |
|
|
|
|
|
International Flavors & Fragrances, Inc. |
| (1,084 | ) | (121,820 | ) |
See Notes to Consolidated Schedule of Investments
Investments |
| Shares |
| Value ($) |
|
Communications Equipment - (0.0)%(b) |
|
|
|
|
|
Lumentum Holdings, Inc.* |
| (237 | ) | (22,231 | ) |
Consumer Finance - (0.1)% |
|
|
|
|
|
Credit Acceptance Corp.* |
| (252 | ) | (97,214 | ) |
Diversified Consumer Services - (0.6)% |
|
|
|
|
|
Adtalem Global Education, Inc.* |
| (4,535 | ) | (175,006 | ) |
Perdoceo Education Corp.* |
| (15,020 | ) | (177,687 | ) |
Strategic Education, Inc. |
| (2,212 | ) | (195,474 | ) |
|
|
|
| (548,167 | ) |
Electrical Equipment - (0.2)% |
|
|
|
|
|
Acuity Brands, Inc. |
| (1,152 | ) | (138,517 | ) |
Equity Real Estate Investment Trusts (REITs) - (0.4)% |
|
|
|
|
|
AvalonBay Communities, Inc. |
| (571 | ) | (93,456 | ) |
Equity Residential |
| (1,638 | ) | (100,966 | ) |
SL Green Realty Corp. |
| (1,597 | ) | (107,765 | ) |
|
|
|
| (302,187 | ) |
Food Products - (0.4)% |
|
|
|
|
|
Campbell Soup Co. |
| (3,034 | ) | (145,966 | ) |
J M Smucker Co. (The) |
| (1,350 | ) | (157,153 | ) |
|
|
|
| (303,119 | ) |
Household Durables - (0.3)% |
|
|
|
|
|
Lennar Corp., Class A |
| (2,748 | ) | (228,496 | ) |
Household Products - (0.3)% |
|
|
|
|
|
Church & Dwight Co., Inc. |
| (1,787 | ) | (150,876 | ) |
Colgate-Palmolive Co. |
| (1,811 | ) | (141,258 | ) |
|
|
|
| (292,134 | ) |
Industrial Conglomerates - (0.2)% |
|
|
|
|
|
3M Co. |
| (941 | ) | (165,296 | ) |
Insurance - (1.0)% |
|
|
|
|
|
Aon plc, Class A |
| (3,888 | ) | (789,653 | ) |
Trupanion, Inc.* |
| (562 | ) | (63,056 | ) |
|
|
|
| (852,709 | ) |
IT Services - (0.1)% |
|
|
|
|
|
Western Union Co. (The) |
| (5,385 | ) | (119,924 | ) |
Leisure Products - (0.0)%(b) |
|
|
|
|
|
Peloton Interactive, Inc., Class A* |
| (219 | ) | (32,002 | ) |
Media - (0.3)% |
|
|
|
|
|
Discovery, Inc., Class A* |
| (1,651 | ) | (68,384 | ) |
Fox Corp., Class A |
| (3,950 | ) | (123,161 | ) |
Omnicom Group, Inc. |
| (937 | ) | (58,450 | ) |
|
|
|
| (249,995 | ) |
Oil, Gas & Consumable Fuels - (0.2)% |
|
|
|
|
|
Exxon Mobil Corp. |
| (2,898 | ) | (129,946 | ) |
Pharmaceuticals - (0.3)% |
|
|
|
|
|
AstraZeneca plc, ADR (United Kingdom) |
| (4,883 | ) | (247,080 | ) |
Semiconductors & Semiconductor Equipment - (1.5)% |
|
|
|
|
|
Advanced Micro Devices, Inc.* |
| (6,341 | ) | (543,044 | ) |
Analog Devices, Inc. |
| (2,961 | ) | (436,244 | ) |
Marvell Technology Group Ltd. |
| (5,109 | ) | (262,909 | ) |
|
|
|
| (1,242,197 | ) |
Software - (0.4)% |
|
|
|
|
|
salesforce.com, Inc.* |
| (1,304 | ) | (294,130 | ) |
VMware, Inc., Class A* |
| (210 | ) | (28,949 | ) |
|
|
|
| (323,079 | ) |
TOTAL COMMON STOCKS (Proceeds $(5,744,378)) |
|
|
| (6,253,782 | ) |
TOTAL SHORT POSITIONS (Proceeds $(5,744,378)) |
|
|
| (6,253,782 | ) |
|
|
|
|
|
|
Total Investments - 87.7% |
|
|
| 74,487,098 |
|
Other Assets Less Liabilities - 12.3%(n) |
|
|
| 10,391,932 |
|
Net Assets - 100.0% |
|
|
| 84,879,030 |
|
All bonds are denominated in US dollars, unless noted otherwise.
* | Non-income producing security. |
(a) | All or a portion of this security is segregated in connection with obligations for futures, swaps, and/or forward foreign currency contracts with a total value of $35,093,584. |
(b) | Represents less than 0.05% of net assets of the Fund. |
(c) | Value determined using significant unobservable inputs. |
(d) | Security exempt from registration pursuant to Regulation S under the Securities Act of 1933, as amended. Regulation S applies to securities offerings that are made outside of the United States and do not involve directed selling efforts in the United States and as such may have restrictions on resale. At January 31, 2021, the total value of these securities amounted to $580,326, which represents 0.7% of net assets of the Fund. |
(e) | Security fair valued as of January 31, 2021, in accordance with procedures approved by the Board of Trustees. Total value of all such securities at January 31, 2021, amounted to $170,555, which represents 0.2% of net assets of the Fund. |
(f) | Securities were purchased or sold short under Rule 144A of the Securities Act of 1933, as amended, or are otherwise restricted and, unless registered under the Securities Act of 1933 or exempted from registration, may only be sold to qualified institutional investors or may have other restrictions on resale. At January 31, 2021, these securities amounted to $14,060,084 of long positions, which represents 16.6% of net assets for the Fund. |
(g) | Variable or floating rate security. The interest rate shown was the current rate as of January 31, 2021, and changes periodically. |
(h) | Step bond. Coupon rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a predetermined trigger. The interest rate shown was the current rate as of January 31, 2021. |
(i) | Variable or floating rate security where the stated interest rate is not based on a published reference rate and spread. Rather, the interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown was the current rate as of January 31, 2021. |
(j) | Perpetual security. The rate reflected was the rate in effect on January 31, 2021. The maturity date reflects the next call date. |
(k) | Defaulted security. |
(l) | Represents 7-day effective yield as of January 31, 2021. |
(m) | At January 31, 2021, the Fund had $6,890,630 deposited in one or more accounts to satisfy collateral requirements for borrowing in connection with securities sold short. |
(n) | Includes the impact of the Funds open positions in derivatives at January 31, 2021. |
See Notes to Consolidated Schedule of Investments
Abbreviations
ADR American Depositary Receipt
CAD Canadian Dollar
CLO Collateralized Loan Obligations
CVR Contingent Value Rights
FHLMC Federal Home Loan Mortgage Corp.
FNMA Federal National Mortgage Association
GDR Global Depositary Receipt
ICE Intercontinental Exchange
LIBOR London Interbank Offered Rate
PJSC Public Joint Stock Company
SA Société Anonyme
USD United States Dollar
See Notes to Consolidated Schedule of Investments
Derivative Instruments
Futures contracts (futures)
At January 31, 2021, open positions in futures for the Fund were as follows:
Description |
| Number of |
| Expiration |
| Notional |
| Value and |
| ||
Long Contracts |
|
|
|
|
|
|
|
|
| ||
Brent Crude Oil |
| 3 |
| 2/2021 |
| $ | 165,120 |
| $ | 3,176 |
|
Hang Seng Index |
| 2 |
| 2/2021 |
| 365,253 |
| (13,793 | ) | ||
HSCEI |
| 3 |
| 2/2021 |
| 217,380 |
| (9,987 | ) | ||
MSCI Singapore Index |
| 1 |
| 2/2021 |
| 24,710 |
| (314 | ) | ||
NY Harbor ULSD |
| 2 |
| 2/2021 |
| 134,266 |
| (478 | ) | ||
OMXS30 Index |
| 3 |
| 2/2021 |
| 69,801 |
| (301 | ) | ||
RBOB Gasoline |
| 2 |
| 2/2021 |
| 130,427 |
| 618 |
| ||
SGX FTSE China A50 Index |
| 6 |
| 2/2021 |
| 108,732 |
| (3,074 | ) | ||
SGX FTSE Taiwan Index |
| 2 |
| 2/2021 |
| 105,820 |
| (3,942 | ) | ||
SGX NIFTY 50 Index |
| 2 |
| 2/2021 |
| 54,882 |
| (1,483 | ) | ||
Sugar No. 11 |
| 8 |
| 2/2021 |
| 141,837 |
| 7,091 |
| ||
WTI Crude Oil |
| 3 |
| 2/2021 |
| 156,600 |
| (1,716 | ) | ||
Australia 10 Year Bond |
| 1 |
| 3/2021 |
| 111,479 |
| (769 | ) | ||
Australia 3 Year Bond |
| 5 |
| 3/2021 |
| 448,698 |
| 107 |
| ||
Brent Crude Oil |
| 2 |
| 3/2021 |
| 109,620 |
| 5,877 |
| ||
Canola |
| 4 |
| 3/2021 |
| 43,267 |
| 528 |
| ||
Cocoa |
| 1 |
| 3/2021 |
| 25,310 |
| (2,143 | ) | ||
Coffee C |
| 2 |
| 3/2021 |
| 92,212 |
| (3,812 | ) | ||
Copper |
| 3 |
| 3/2021 |
| 266,700 |
| 20,444 |
| ||
Corn |
| 10 |
| 3/2021 |
| 273,500 |
| 20,375 |
| ||
Cotton No. 2 |
| 9 |
| 3/2021 |
| 362,880 |
| 26,831 |
| ||
Euro-Bobl |
| 5 |
| 3/2021 |
| 820,663 |
| 118 |
| ||
Euro-BTP |
| 3 |
| 3/2021 |
| 549,738 |
| 977 |
| ||
Euro-Bund |
| 1 |
| 3/2021 |
| 215,102 |
| 456 |
| ||
Euro-Bund |
| 3 |
| 3/2021 |
| 645,305 |
| (2,041 | ) | ||
Euro-Buxl |
| 1 |
| 3/2021 |
| 268,559 |
| (1,470 | ) | ||
Euro-OAT |
| 1 |
| 3/2021 |
| 202,748 |
| (670 | ) | ||
Euro-OAT |
| 2 |
| 3/2021 |
| 405,496 |
| 80 |
| ||
Euro-Schatz |
| 8 |
| 3/2021 |
| 1,090,447 |
| (93 | ) | ||
Foreign Exchange CHF/USD |
| 1 |
| 3/2021 |
| 140,512 |
| (1,593 | ) | ||
Foreign Exchange JPY/USD |
| 2 |
| 3/2021 |
| 238,775 |
| (1,586 | ) | ||
Foreign Exchange USD/SEK |
| 1 |
| 3/2021 |
| 100,025 |
| 16 |
| ||
FTSE/JSE Top 40 Index |
| 3 |
| 3/2021 |
| 113,728 |
| (1,539 | ) | ||
KC HRW Wheat |
| 4 |
| 3/2021 |
| 127,600 |
| 14,028 |
| ||
Long Gilt |
| 1 |
| 3/2021 |
| 183,696 |
| (755 | ) | ||
Long Gilt |
| 2 |
| 3/2021 |
| 367,392 |
| 291 |
| ||
Low Sulphur Gasoil |
| 3 |
| 3/2021 |
| 135,675 |
| (654 | ) | ||
Milling Wheat No. 2 |
| 5 |
| 3/2021 |
| 68,869 |
| 1,496 |
| ||
MSCI Emerging Markets E-Mini Index |
| 2 |
| 3/2021 |
| 132,610 |
| 7,426 |
| ||
NASDAQ 100 E-Mini Index |
| 1 |
| 3/2021 |
| 258,225 |
| 1,113 |
| ||
Nikkei 225 Index |
| 3 |
| 3/2021 |
| 78,963 |
| (2,751 | ) | ||
Palladium |
| 1 |
| 3/2021 |
| 220,840 |
| (14,523 | ) | ||
Russell 2000 E-Mini Index |
| 2 |
| 3/2021 |
| 206,820 |
| 15,362 |
| ||
Silver |
| 1 |
| 3/2021 |
| 134,570 |
| 14,418 |
| ||
Soybean |
| 3 |
| 3/2021 |
| 205,500 |
| 16,692 |
| ||
Soybean Meal |
| 5 |
| 3/2021 |
| 215,500 |
| 6,157 |
| ||
Soybean Oil |
| 8 |
| 3/2021 |
| 214,176 |
| 15,658 |
| ||
TOPIX Index |
| 2 |
| 3/2021 |
| 344,456 |
| (345 | ) | ||
U.S. Treasury 2 Year Note |
| 28 |
| 3/2021 |
| 6,187,344 |
| 749 |
| ||
U.S. Treasury 5 Year Note |
| 2 |
| 3/2021 |
| 251,750 |
| (346 | ) | ||
Wheat |
| 6 |
| 3/2021 |
| 198,900 |
| 14,222 |
| ||
100 oz Gold |
| 1 |
| 4/2021 |
| 185,030 |
| (472 | ) | ||
Brent Crude Oil |
| 2 |
| 4/2021 |
| 109,100 |
| 27 |
| ||
Live Cattle |
| 1 |
| 4/2021 |
| 48,740 |
| (392 | ) | ||
Platinum |
| 2 |
| 4/2021 |
| 107,920 |
| 2,794 |
| ||
Rapeseed |
| 6 |
| 4/2021 |
| 160,098 |
| 4,328 |
| ||
See Notes to Consolidated Schedule of Investments
Description |
| Number of |
| Expiration |
| Notional |
| Value and |
| ||
3 Month Canadian Bankers Acceptance |
| 29 |
| 9/2021 |
| $ | 5,644,086 |
| $ | (997 | ) |
3 Month Sterling |
| 58 |
| 9/2021 |
| 9,938,554 |
| (408 | ) | ||
WTI Crude Oil |
| 2 |
| 11/2021 |
| 99,460 |
| 10,316 |
| ||
3 Month Canadian Bankers Acceptance |
| 26 |
| 12/2021 |
| 5,059,198 |
| (1,092 | ) | ||
3 Month Euro Euribor |
| 14 |
| 12/2021 |
| 4,271,635 |
| 134 |
| ||
3 Month Sterling |
| 56 |
| 12/2021 |
| 9,596,805 |
| (112 | ) | ||
3 Month Euro Euribor |
| 4 |
| 6/2022 |
| 1,220,346 |
| (5 | ) | ||
3 Month Eurodollar |
| 34 |
| 6/2022 |
| 8,484,275 |
| 3,665 |
| ||
3 Month Sterling |
| 34 |
| 6/2022 |
| 5,820,517 |
| (1,199 | ) | ||
3 Month Eurodollar |
| 14 |
| 12/2022 |
| 3,490,550 |
| 125 |
| ||
3 Month Sterling |
| 2 |
| 12/2022 |
| 342,281 |
| (113 | ) | ||
3 Month Euro Euribor |
| 11 |
| 6/2023 |
| 3,354,116 |
| (435 | ) | ||
3 Month Eurodollar |
| 8 |
| 6/2023 |
| 1,992,700 |
| (277 | ) | ||
3 Month Sterling |
| 1 |
| 6/2023 |
| 171,055 |
| (61 | ) | ||
Total Long Contracts |
|
|
|
|
| $ | 77,828,944 |
| $ | 139,954 |
|
Description |
| Number of |
| Expiration |
| Notional |
| Value and |
| ||
Short Contracts |
|
|
|
|
|
|
|
|
| ||
Natural Gas |
| (4 | ) | 2/2021 |
| $ | (102,560 | ) | $ | (3,018 | ) |
Canada 10 Year Bond |
| (1 | ) | 3/2021 |
| (115,433 | ) | (445 | ) | ||
Foreign Exchange AUD/USD |
| (58 | ) | 3/2021 |
| (4,432,070 | ) | (88,060 | ) | ||
Foreign Exchange CAD/USD |
| (14 | ) | 3/2021 |
| (1,093,680 | ) | 2,276 |
| ||
Foreign Exchange EUR/USD |
| (25 | ) | 3/2021 |
| (3,794,687 | ) | (799 | ) | ||
Foreign Exchange GBP/USD |
| (7 | ) | 3/2021 |
| (599,594 | ) | (10,031 | ) | ||
Foreign Exchange MXN/USD |
| (5 | ) | 3/2021 |
| (121,175 | ) | 2,657 |
| ||
Foreign Exchange NZD/USD |
| (1 | ) | 3/2021 |
| (71,800 | ) | (1,007 | ) | ||
Foreign Exchange ZAR/USD |
| (3 | ) | 3/2021 |
| (98,437 | ) | 456 |
| ||
Japan 10 Year Bond |
| (1 | ) | 3/2021 |
| (1,449,425 | ) | (501 | ) | ||
Robusta Coffee |
| (7 | ) | 3/2021 |
| (91,420 | ) | 849 |
| ||
S&P 500 E-Mini Index |
| (4 | ) | 3/2021 |
| (741,040 | ) | (3,460 | ) | ||
U.S. Treasury 10 Year Note |
| (3 | ) | 3/2021 |
| (411,094 | ) | 2,644 |
| ||
U.S. Treasury 10 Year Note |
| (1 | ) | 3/2021 |
| (137,031 | ) | (329 | ) | ||
U.S. Treasury Long Bond |
| (1 | ) | 3/2021 |
| (168,719 | ) | 311 |
| ||
3 Month Eurodollar |
| (12 | ) | 6/2024 |
| (2,975,850 | ) | 91 |
| ||
Total Short Contracts |
|
|
|
|
| $ | (16,404,015 | ) | $ | (98,366 | ) |
Total Futures |
|
|
|
|
|
|
| $ | 41,588 |
|
At January 31, 2021, the Fund had $872,816 deposited in segregated accounts to cover margin requirements on open futures.
Forward foreign currency contracts (forward contracts)
At January 31, 2021, open forward contracts for the Fund were as follows:
Currency Purchased |
| Currency Sold |
| Counterparty |
| Settlement |
| Unrealized |
| |||
EUR | 100,652 |
| USD | 122,150 |
| JPM |
| 2/19/2021 |
| $ | 39 |
|
SEK | 35,776 |
| USD | 4,275 |
| JPM |
| 2/19/2021 |
| 7 |
| |
USD | 704,223 |
| CHF | 625,421 |
| JPM |
| 2/19/2021 |
| 1,776 |
| |
USD | 1,630,179 |
| EUR | 1,339,770 |
| JPM |
| 2/19/2021 |
| 3,733 |
| |
USD | 47,106 |
| HKD | 365,122 |
| JPM |
| 2/19/2021 |
| 13 |
| |
USD | 17,190 |
| SEK | 142,931 |
| JPM |
| 2/19/2021 |
| 82 |
| |
CAD | 529,000 |
| USD | 410,982 |
| JPM |
| 3/1/2021 |
| 2,735 |
| |
USD | 111,853 |
| CAD | 142,000 |
| JPM |
| 3/1/2021 |
| 798 |
| |
AUD | 1,640,000 |
| JPY | 128,314,043 |
| SG |
| 3/17/2021 |
| 28,164 |
| |
AUD | 1,810,000 |
| USD | 1,355,025 |
| SG |
| 3/17/2021 |
| 28,611 |
| |
See Notes to Consolidated Schedule of Investments
Currency Purchased |
| Currency Sold |
| Counterparty |
| Settlement |
| Unrealized |
| |||
CAD | 1,800,000 |
| USD | 1,406,875 |
| SG |
| 3/17/2021 |
| $ | 907 |
|
CLP** | 218,780,000 |
| USD | 296,875 |
| SG |
| 3/17/2021 |
| 1,018 |
| |
EUR | 199,568 |
| PLN | 900,000 |
| SG |
| 3/17/2021 |
| 683 |
| |
EUR | 1,190,000 |
| USD | 1,444,581 |
| SG |
| 3/17/2021 |
| 929 |
| |
GBP | 1,310,000 |
| USD | 1,772,366 |
| SG |
| 3/17/2021 |
| 22,954 |
| |
HUF | 53,770,000 |
| USD | 181,906 |
| SG |
| 3/17/2021 |
| 790 |
| |
INR** | 2,240,000 |
| USD | 30,429 |
| JPM |
| 3/17/2021 |
| 98 |
| |
INR** | 156,690,000 |
| USD | 2,114,813 |
| SG |
| 3/17/2021 |
| 20,616 |
| |
JPY | 8,820,108 |
| AUD | 110,000 |
| SG |
| 3/17/2021 |
| 153 |
| |
NOK | 4,840,000 |
| USD | 556,342 |
| SG |
| 3/17/2021 |
| 8,684 |
| |
NZD | 1,630,000 |
| USD | 1,157,781 |
| SG |
| 3/17/2021 |
| 13,546 |
| |
PHP** | 57,440,000 |
| USD | 1,189,635 |
| SG |
| 3/17/2021 |
| 3,459 |
| |
PLN | 150,000 |
| EUR | 32,431 |
| JPM |
| 3/17/2021 |
| 894 |
| |
PLN | 860,000 |
| EUR | 189,193 |
| SG |
| 3/17/2021 |
| 1,172 |
| |
PLN | 300,000 |
| USD | 80,417 |
| SG |
| 3/17/2021 |
| 161 |
| |
SEK | 5,490,000 |
| USD | 648,786 |
| SG |
| 3/17/2021 |
| 8,512 |
| |
SGD | 2,590,000 |
| USD | 1,942,959 |
| SG |
| 3/17/2021 |
| 6,705 |
| |
THB | 32,710,000 |
| USD | 1,090,285 |
| SG |
| 3/17/2021 |
| 2,457 |
| |
TRY | 186,383 |
| EUR | 20,000 |
| JPM |
| 3/17/2021 |
| 749 |
| |
TRY | 1,869,257 |
| EUR | 200,000 |
| SG |
| 3/17/2021 |
| 8,222 |
| |
TRY | 280,000 |
| USD | 35,647 |
| JPM |
| 3/17/2021 |
| 1,975 |
| |
TRY | 3,130,000 |
| USD | 403,018 |
| SG |
| 3/17/2021 |
| 17,543 |
| |
USD | 747,020 |
| AUD | 970,000 |
| SG |
| 3/17/2021 |
| 5,513 |
| |
USD | 9,267 |
| BRL** | 50,000 |
| JPM |
| 3/17/2021 |
| 140 |
| |
USD | 123,954 |
| BRL** | 660,000 |
| SG |
| 3/17/2021 |
| 3,468 |
| |
USD | 911,297 |
| CAD | 1,160,000 |
| SG |
| 3/17/2021 |
| 4,064 |
| |
USD | 723,458 |
| CHF | 640,000 |
| SG |
| 3/17/2021 |
| 4,060 |
| |
USD | 81,495 |
| CLP** | 57,510,000 |
| JPM |
| 3/17/2021 |
| 3,188 |
| |
USD | 102,773 |
| CLP** | 73,840,000 |
| SG |
| 3/17/2021 |
| 2,233 |
| |
USD | 747,494 |
| EUR | 610,000 |
| SG |
| 3/17/2021 |
| 6,518 |
| |
USD | 82,388 |
| GBP | 60,000 |
| SG |
| 3/17/2021 |
| 161 |
| |
USD | 625,114 |
| ILS | 2,020,000 |
| SG |
| 3/17/2021 |
| 9,459 |
| |
USD | 88,133 |
| INR** | 6,460,000 |
| SG |
| 3/17/2021 |
| 94 |
| |
USD | 1,105,148 |
| JPY | 114,680,000 |
| SG |
| 3/17/2021 |
| 9,850 |
| |
USD | 622,752 |
| KRW** | 683,090,000 |
| SG |
| 3/17/2021 |
| 11,930 |
| |
USD | 26,920 |
| MXN | 540,000 |
| JPM |
| 3/17/2021 |
| 699 |
| |
USD | 369,367 |
| MXN | 7,450,000 |
| SG |
| 3/17/2021 |
| 7,603 |
| |
USD | 134,828 |
| NOK | 1,150,000 |
| SG |
| 3/17/2021 |
| 577 |
| |
USD | 332,038 |
| NZD | 460,000 |
| SG |
| 3/17/2021 |
| 1,481 |
| |
USD | 91,647 |
| PLN | 340,000 |
| JPM |
| 3/17/2021 |
| 325 |
| |
USD | 145,703 |
| PLN | 540,000 |
| SG |
| 3/17/2021 |
| 662 |
| |
USD | 183,444 |
| SEK | 1,500,000 |
| JPM |
| 3/17/2021 |
| 3,854 |
| |
USD | 70,062 |
| SEK | 580,000 |
| SG |
| 3/17/2021 |
| 619 |
| |
USD | 824,168 |
| SGD | 1,090,000 |
| SG |
| 3/17/2021 |
| 3,655 |
| |
USD | 146,740 |
| THB | 4,390,000 |
| SG |
| 3/17/2021 |
| 83 |
| |
USD | 112,735 |
| ZAR | 1,680,000 |
| SG |
| 3/17/2021 |
| 2,340 |
| |
ZAR | 400,000 |
| USD | 26,113 |
| SG |
| 3/17/2021 |
| 172 |
| |
USD | 106,288 |
| CAD | 134,958 |
| JPM |
| 3/31/2021 |
| 734 |
| |
Total unrealized appreciation |
|
|
|
|
|
|
|
| $ | 271,667 |
|
Currency Purchased |
| Currency Sold |
| Counterparty |
| Settlement |
| Unrealized |
| |||
HKD | 11,161 |
| USD | 1,440 |
| JPM |
| 2/19/2021 |
| $ | |
|
USD | 30,167 |
| EUR | 24,921 |
| JPM |
| 2/19/2021 |
| (87 | ) | |
USD | 229,124 |
| GBP | 167,862 |
| JPM |
| 2/19/2021 |
| (890 | ) | |
USD | 516,858 |
| HKD | 4,007,567 |
| JPM |
| 2/19/2021 |
| (34 | ) | |
USD | 11,699 |
| CAD | 15,000 |
| JPM |
| 3/1/2021 |
| (32 | ) | |
AUD | 730,000 |
| JPY | 58,684,616 |
| SG |
| 3/17/2021 |
| (2,450 | ) | |
AUD | 740,000 |
| USD | 572,053 |
| SG |
| 3/17/2021 |
| (6,367 | ) | |
BRL** | 50,000 |
| USD | 9,884 |
| JPM |
| 3/17/2021 |
| (756 | ) | |
BRL** | 680,000 |
| USD | 131,487 |
| SG |
| 3/17/2021 |
| (7,352 | ) | |
CAD | 1,110,000 |
| USD | 872,321 |
| SG |
| 3/17/2021 |
| (4,191 | ) | |
CHF | 1,430,000 |
| USD | 1,615,576 |
| SG |
| 3/17/2021 |
| (8,173 | ) | |
CLP** | 3,320,000 |
| USD | 4,557 |
| JPM |
| 3/17/2021 |
| (36 | ) | |
See Notes to Consolidated Schedule of Investments
Currency Purchased |
| Currency Sold |
| Counterparty |
| Settlement |
| Unrealized |
| |||
CLP** | 108,320,000 |
| USD | 150,969 |
| SG |
| 3/17/2021 |
| $ | (3,481 | ) |
EUR | 37,506 |
| PLN | 170,000 |
| JPM |
| 3/17/2021 |
| (103 | ) | |
EUR | 465,041 |
| PLN | 2,110,000 |
| SG |
| 3/17/2021 |
| (1,840 | ) | |
EUR | 140,000 |
| TRY | 1,384,372 |
| SG |
| 3/17/2021 |
| (15,952 | ) | |
EUR | 680,000 |
| USD | 831,022 |
| SG |
| 3/17/2021 |
| (5,013 | ) | |
GBP | 70,000 |
| USD | 96,023 |
| SG |
| 3/17/2021 |
| (90 | ) | |
HUF | 153,830,000 |
| USD | 524,952 |
| SG |
| 3/17/2021 |
| (2,281 | ) | |
ILS | 2,410,000 |
| USD | 741,310 |
| JPM |
| 3/17/2021 |
| (6,789 | ) | |
ILS | 1,060,000 |
| USD | 332,547 |
| SG |
| 3/17/2021 |
| (9,482 | ) | |
INR** | 1,280,000 |
| USD | 17,451 |
| SG |
| 3/17/2021 |
| (7 | ) | |
JPY | 88,758,513 |
| AUD | 1,120,000 |
| SG |
| 3/17/2021 |
| (8,448 | ) | |
JPY | 175,450,000 |
| USD | 1,691,480 |
| SG |
| 3/17/2021 |
| (15,770 | ) | |
KRW** | 1,143,610,000 |
| USD | 1,050,770 |
| SG |
| 3/17/2021 |
| (28,146 | ) | |
MXN | 13,180,000 |
| USD | 659,052 |
| SG |
| 3/17/2021 |
| (19,044 | ) | |
NOK | 1,870,000 |
| USD | 220,389 |
| SG |
| 3/17/2021 |
| (2,083 | ) | |
NZD | 460,000 |
| USD | 331,909 |
| SG |
| 3/17/2021 |
| (1,351 | ) | |
PLN | 290,000 |
| EUR | 65,388 |
| JPM |
| 3/17/2021 |
| (1,536 | ) | |
PLN | 510,000 |
| EUR | 114,332 |
| SG |
| 3/17/2021 |
| (1,896 | ) | |
PLN | 1,660,000 |
| USD | 454,368 |
| JPM |
| 3/17/2021 |
| (8,503 | ) | |
PLN | 1,380,000 |
| USD | 375,549 |
| SG |
| 3/17/2021 |
| (4,892 | ) | |
SEK | 4,250,000 |
| USD | 514,401 |
| SG |
| 3/17/2021 |
| (5,566 | ) | |
SGD | 770,000 |
| USD | 581,507 |
| SG |
| 3/17/2021 |
| (1,876 | ) | |
THB | 290,000 |
| USD | 9,718 |
| SG |
| 3/17/2021 |
| (29 | ) | |
USD | 301,827 |
| AUD | 400,000 |
| SG |
| 3/17/2021 |
| (3,946 | ) | |
USD | 16,356 |
| BRL** | 90,000 |
| SG |
| 3/17/2021 |
| (73 | ) | |
USD | 218,130 |
| CAD | 280,000 |
| SG |
| 3/17/2021 |
| (861 | ) | |
USD | 56,176 |
| CHF | 50,000 |
| SG |
| 3/17/2021 |
| (27 | ) | |
USD | 4,023 |
| CLP** | 2,970,000 |
| JPM |
| 3/17/2021 |
| (21 | ) | |
USD | 12,553 |
| CLP** | 9,240,000 |
| SG |
| 3/17/2021 |
| (28 | ) | |
USD | 460,392 |
| EUR | 380,000 |
| SG |
| 3/17/2021 |
| (1,200 | ) | |
USD | 646,986 |
| GBP | 480,000 |
| SG |
| 3/17/2021 |
| (10,843 | ) | |
USD | 488,918 |
| HUF | 145,350,000 |
| SG |
| 3/17/2021 |
| (4,942 | ) | |
USD | 6,076 |
| ILS | 20,000 |
| SG |
| 3/17/2021 |
| (19 | ) | |
USD | 667,141 |
| INR** | 49,280,000 |
| SG |
| 3/17/2021 |
| (4,465 | ) | |
USD | 107,845 |
| JPY | 11,300,000 |
| SG |
| 3/17/2021 |
| (80 | ) | |
USD | 33,644 |
| KRW** | 37,680,000 |
| SG |
| 3/17/2021 |
| (50 | ) | |
USD | 26,034 |
| NOK | 230,000 |
| JPM |
| 3/17/2021 |
| (816 | ) | |
USD | 218,833 |
| NOK | 1,900,000 |
| SG |
| 3/17/2021 |
| (2,977 | ) | |
USD | 348,693 |
| NZD | 490,000 |
| SG |
| 3/17/2021 |
| (3,424 | ) | |
USD | 500,343 |
| PHP** | 24,120,000 |
| SG |
| 3/17/2021 |
| (657 | ) | |
USD | 90,857 |
| PLN | 340,000 |
| JPM |
| 3/17/2021 |
| (465 | ) | |
USD | 381,102 |
| PLN | 1,430,000 |
| SG |
| 3/17/2021 |
| (2,986 | ) | |
USD | 206,964 |
| SEK | 1,740,000 |
| SG |
| 3/17/2021 |
| (1,359 | ) | |
USD | 585,341 |
| SGD | 780,000 |
| SG |
| 3/17/2021 |
| (1,817 | ) | |
USD | 249,135 |
| THB | 7,490,000 |
| SG |
| 3/17/2021 |
| (1,082 | ) | |
USD | 256,276 |
| TRY | 2,060,000 |
| SG |
| 3/17/2021 |
| (20,516 | ) | |
USD | 100,639 |
| ZAR | 1,550,000 |
| SG |
| 3/17/2021 |
| (1,213 | ) | |
ZAR | 4,750,000 |
| USD | 315,868 |
| SG |
| 3/17/2021 |
| (3,741 | ) | |
CAD | 19,640 |
| USD | 15,456 |
| JPM |
| 3/31/2021 |
| (95 | ) | |
USD | 512,080 |
| CAD | 655,839 |
| JPM |
| 3/31/2021 |
| (865 | ) | |
Total unrealized depreciation |
|
|
|
|
|
|
|
| $ | (243,114 | ) | |
Net unrealized appreciation |
|
|
|
|
|
|
|
| $ | 28,553 |
|
** Non-deliverable forward.
See Notes to Consolidated Schedule of Investments
Equity swap contracts (equity swaps)
At January 31, 2021, the Fund had outstanding equity swaps as follows:
Over the counter equity swaps Long(a)
Counterparty |
| Reference |
| Notional |
| Maturity |
| Variable- |
| Spread |
| Reference Rate |
| Frequency |
| Value |
| ||
JPM |
| AA plc |
| GBP | 9,642 |
| 12/2/2021 |
| 0.43 | % | 0.40 | % | 1M GBP LIBOR |
| T/1M |
| $ | 386 |
|
JPM |
| American International Group, Inc. |
| USD | 314,196 |
| 8/3/2021 |
| 0.53 | % | 0.40 | % | 1M USD LIBOR |
| T/1M |
| 41,523 |
| |
JPM |
| Ampol Ltd. |
| AUD | 45,798 |
| 1/25/2022 |
| 0.66 | % | 0.65 | % | 1M AUD BBSW |
| T/1M |
| (10,266 | ) | |
MS |
| Amundi SA |
| EUR | 216,926 |
| 9/12/2021 |
| 0.04 | % | 0.60 | % | 1M EURIBOR |
| T/1M |
| 10,409 |
| |
MS |
| Anima Holding SpA |
| EUR | 370,627 |
| 9/12/2021 |
| 0.04 | % | 0.60 | % | 1M EURIBOR |
| T/1M |
| 87,160 |
| |
JPM |
| Applegreen plc |
| EUR | 22,481 |
| 12/24/2021 |
| 0.19 | % | 0.75 | % | 1M EURIBOR |
| T/1M |
| 4 |
| |
MS |
| Aspen Pharmacare Holdings Ltd. |
| USD | 18,201 |
| 9/12/2021 |
| 0.93 | % | 0.80 | % | 1M USD LIBOR |
| T/1M |
| 2,244 |
| |
JPM |
| Atrium European Real Estate Ltd. |
| EUR | 54,084 |
| 7/27/2021 |
| (0.16)% - 0.09 | % | 0.40% - 0.65 | % | 1M EURIBOR |
| T/1M |
| 3,162 |
| |
JPM |
| Avantor, Inc. |
| USD | 296,050 |
| 10/26/2021 |
| 0.53 | % | 0.40 | % | 1M USD LIBOR |
| T/1M |
| 29,457 |
| |
MS |
| Barclays plc |
| GBP | 28,234 |
| 2/12/2021 |
| 0.63 | % | 0.60 | % | 1M GBP LIBOR |
| T/1M |
| (4,089 | ) | |
MS |
| BNP Paribas SA |
| EUR | 52,629 |
| 9/12/2021 |
| 0.04 | % | 0.60 | % | 1M EURIBOR |
| T/1M |
| (1,705 | ) | |
MS |
| Brenntag AG |
| EUR | 124,430 |
| 9/12/2021 |
| 0.04 | % | 0.60 | % | 1M EURIBOR |
| T/1M |
| 35,876 |
| |
MS |
| Bureau Veritas SA |
| EUR | 187,337 |
| 9/12/2021 |
| 0.04 | % | 0.60 | % | 1M EURIBOR |
| T/1M |
| 28,895 |
| |
JPM |
| CA Immobilien Anlagen AG |
| EUR | 19,809 |
| 1/28/2022 |
| (0.16 | )% | 0.40 | % | 1M EURIBOR |
| T/1M |
| (269 | ) | |
JPM |
| Calisen plc |
| GBP | 20,937 |
| 12/15/2021 |
| 0.43 | % | 0.40 | % | 1M GBP LIBOR |
| T/1M |
| 84 |
| |
JPM |
| Canadian National Railway Co. |
| USD | 278,420 |
| 11/17/2021 |
| 0.53 | % | 0.40 | % | 1M USD LIBOR |
| T/1M |
| (20,310 | ) | |
JPM |
| Clarivate plc |
| USD | 198,934 |
| 12/17/2021 |
| 0.53 | % | 0.40 | % | 1M USD LIBOR |
| T/1M |
| (1,031 | ) | |
JPM |
| Coca-Cola Amatil Ltd. |
| AUD | 85,452 |
| 11/3/2021 |
| 0.66 | % | 0.65 | % | 1M AUD BBSW |
| T/1M |
| 2,820 |
| |
MS |
| Croda International plc |
| GBP | 16,406 |
| 2/12/2021 |
| 0.63 | % | 0.60 | % | 1M GBP LIBOR |
| T/1M |
| 5,550 |
| |
JPM |
| Danaher Corp. |
| USD | 226,899 |
| 6/22/2021 |
| 0.53 | % | 0.40 | % | 1M USD LIBOR |
| T/1M |
| 59,884 |
| |
MS |
| Danone SA |
| EUR | 399,065 |
| 9/12/2021 |
| 0.04 | % | 0.60 | % | 1M EURIBOR |
| T/1M |
| (115,369 | ) | |
MS |
| Elis SA |
| EUR | 35,591 |
| 9/12/2021 |
| 0.04 | % | 0.60 | % | 1M EURIBOR |
| T/1M |
| (10,003 | ) | |
JPM |
| Entain plc |
| GBP | 53,487 |
| 1/14/2022 |
| 0.43 | % | 0.40 | % | 1M GBP LIBOR |
| T/1M |
| (6,046 | ) | |
JPM |
| Entra ASA |
| NOK | 114,420 |
| 11/30/2021 |
| 0.96 | % | 0.65 | % | 1M NIBOR |
| T/1M |
| 1,039 |
| |
MS |
| Eurofins Scientific SE |
| EUR | 43,549 |
| 9/12/2021 |
| 0.04 | % | 0.60 | % | 1M EURIBOR |
| T/1M |
| 21,904 |
| |
JPM |
| G4S plc |
| GBP | 20,883 |
| 10/29/2021 |
| 0.43 | % | 0.40 | % | 1M GBP LIBOR |
| T/1M |
| 5,905 |
| |
MS |
| Gerresheimer AG |
| EUR | 71,253 |
| 9/12/2021 |
| 0.04 | % | 0.60 | % | 1M EURIBOR |
| T/1M |
| 19,074 |
| |
JPM |
| GrandVision NV |
| EUR | 131,614 |
| 8/3/2021 |
| 0.09 | % | 0.65 | % | 1M EURIBOR |
| T/1M |
| 291 |
| |
JPM |
| Handicare Group AB |
| SEK | 350,809 |
| 2/1/2022 |
| 0.07 | % | 0.65 | % | 1M STIBOR |
| T/1M |
| (261 | ) | |
MS |
| HeidelbergCement AG |
| EUR | 110,751 |
| 9/12/2021 |
| 0.04 | % | 0.60 | % | 1M EURIBOR |
| T/1M |
| (7,764 | ) | |
MS |
| Hermes International |
| EUR | 24,435 |
| 9/12/2021 |
| 0.04 | % | 0.60 | % | 1M EURIBOR |
| T/1M |
| 9,027 |
| |
JPM |
| Hunter Douglas NV |
| EUR | 204,136 |
| 12/20/2021 |
| 0.09 | % | 0.65 | % | 1M EURIBOR |
| T/1M |
| 2,031 |
| |
MS |
| Hypera SA |
| USD | 25,324 |
| 7/12/2021 |
| 0.78 | % | 0.65 | % | 1M USD LIBOR |
| T/1M |
| (8,242 | ) | |
MS |
| Iliad SA |
| EUR | 19,387 |
| 9/12/2021 |
| 0.04 | % | 0.60 | % | 1M EURIBOR |
| T/1M |
| 4,146 |
| |
JPM |
| IMImobile plc |
| GBP | 54,487 |
| 1/6/2022 |
| 0.43 | % | 0.40 | % | 1M GBP LIBOR |
| T/1M |
| (420 | ) | |
JPM |
| Infraestructura Energetica Nova SAB de CV |
| USD | 221,396 |
| 12/6/2021 |
| 0.63 | % | 0.50 | % | 1M USD LIBOR |
| T/1M |
| (18,809 | ) | |
MS |
| ITV plc |
| GBP | 62,187 |
| 2/12/2021 |
| 0.63 | % | 0.60 | % | 1M GBP LIBOR |
| T/1M |
| (240 | ) | |
JPM |
| KAZ Minerals plc |
| GBP | 35,772 |
| 11/22/2021 |
| 0.43 | % | 0.40 | % | 1M GBP LIBOR |
| T/1M |
| 5,852 |
| |
MS |
| Kering SA |
| EUR | 154,356 |
| 9/12/2021 |
| 0.04 | % | 0.60 | % | 1M EURIBOR |
| T/1M |
| 34,693 |
| |
JPM |
| Kiadis Pharma NV |
| EUR | 14,365 |
| 11/4/2021 |
| 0.09 | % | 0.65 | % | 1M EURIBOR |
| T/1M |
| 764 |
| |
MS |
| LafargeHolcim Ltd. (Registered) |
| CHF | 108,080 |
| 9/12/2021 |
| (0.21 | )% | 0.60 | % | 1M CHF LIBOR |
| T/1M |
| 63 |
| |
MS |
| LVMH Moet Hennessy Louis Vuitton SE |
| EUR | 30,895 |
| 9/12/2021 |
| 0.04 | % | 0.60 | % | 1M EURIBOR |
| T/1M |
| 8,145 |
| |
JPM |
| Microsoft Corp. |
| USD | 371,136 |
| 12/17/2021 |
| 0.53 | % | 0.40 | % | 1M USD LIBOR |
| T/1M |
| 24,402 |
| |
MS |
| Migros Ticaret A/S |
| USD | 9,012 |
| 9/15/2021 |
| 1.53 | % | 1.40 | % | 1M USD LIBOR |
| T/1M |
| 3,694 |
| |
MS |
| NAVER Corp. |
| USD | 87,390 |
| 10/15/2021 |
| 1.53 | % | 1.40 | % | 1M USD LIBOR |
| T/1M |
| 12,474 |
| |
MS |
| Nestle SA (Registered) |
| CHF | 56,022 |
| 9/12/2021 |
| (0.21 | )% | 0.60 | % | 1M CHF LIBOR |
| T/1M |
| (784 | ) | |
JPM |
| NextEra Energy, Inc. |
| USD | 402,005 |
| 1/4/2022 |
| 0.53 | % | 0.40 | % | 1M USD LIBOR |
| T/1M |
| 24,507 |
| |
JPM |
| Orange Belgium SA |
| EUR | 43,766 |
| 12/9/2021 |
| (0.16)% - (0.06) | % | 0.40% - 0.50 | % | 1M EURIBOR |
| T/1M |
| 971 |
| |
JPM |
| OSRAM Licht AG |
| EUR | 2,210 |
| 7/9/2021 |
| 0.09 | % | 0.65 | % | 1M EURIBOR |
| T/1M |
| 462 |
| |
JPM |
| Otis Worldwide Corp. |
| USD | 292,089 |
| 5/26/2021 |
| 0.53 | % | 0.40 | % | 1M USD LIBOR |
| T/1M |
| 56,882 |
| |
JPM |
| Primo Water Corp. |
| USD | 423,593 |
| 2/16/2021 |
| 0.53 | % | 0.40 | % | 1M USD LIBOR |
| T/1M |
| 175,666 |
| |
See Notes to Consolidated Schedule of Investments
Counterparty |
| Reference |
| Notional |
| Maturity |
| Variable- |
| Spread |
| Reference Rate |
| Frequency |
| Value |
| ||
MS |
| Publicis Groupe SA |
| EUR | 36,132 |
| 9/12/2021 |
| 0.04 | % | 0.60 | % | 1M EURIBOR |
| T/1M |
| $ | (3,900 | ) |
JPM |
| QIAGEN NV |
| EUR | 55,346 |
| 3/5/2021 |
| 0.09 | % | 0.65 | % | 1M EURIBOR |
| T/1M |
| 8,148 |
| |
JPM |
| QUALCOMM, Inc. |
| USD | 169,251 |
| 12/17/2021 |
| 0.53 | % | 0.40 | % | 1M USD LIBOR |
| T/1M |
| 8,545 |
| |
JPM |
| Recipharm AB |
| SEK | 438,840 |
| 12/16/2021 |
| 0.07 | % | 0.65 | % | 1M STIBOR |
| T/1M |
| 2,693 |
| |
JPM |
| RH |
| USD | 205,831 |
| 12/15/2021 |
| 0.53 | % | 0.40 | % | 1M USD LIBOR |
| T/1M |
| 18,580 |
| |
JPM |
| RSA Insurance Group plc |
| GBP | 155,858 |
| 11/10/2021 |
| 0.43 | % | 0.40 | % | 1M GBP LIBOR |
| T/1M |
| 974 |
| |
MS |
| Ryanair Holdings plc |
| EUR | 47,090 |
| 9/12/2021 |
| 0.04 | % | 0.60 | % | 1M EURIBOR |
| T/1M |
| 21,110 |
| |
MS |
| SAP SE |
| EUR | 161,497 |
| 9/12/2021 |
| 0.04 | % | 0.60 | % | 1M EURIBOR |
| T/1M |
| (947 | ) | |
JPM |
| Saracen Mineral Holdings Ltd. |
| AUD | 213,369 |
| 11/17/2021 |
| 0.66 | % | 0.65 | % | 1M AUD BBSW |
| T/1M |
| (3,078 | ) | |
JPM |
| Signature Aviation plc |
| USD | 69,704 |
| 12/29/2021 |
| 0.53 | % | 0.40 | % | 1M USD LIBOR |
| T/1M |
| 2,983 |
| |
JPM |
| Siltronic AG |
| EUR | 102,366 |
| 12/2/2021 |
| 0.09 | % | 0.65 | % | 1M EURIBOR |
| T/1M |
| 10,185 |
| |
MS |
| Smith & Nephew plc |
| GBP | 258,695 |
| 2/12/2021 |
| 0.63 | % | 0.60 | % | 1M GBP LIBOR |
| T/1M |
| 18,609 |
| |
MS |
| Societe Generale SA |
| EUR | 22,725 |
| 9/12/2021 |
| 0.04 | % | 0.60 | % | 1M EURIBOR |
| T/1M |
| (11,641 | ) | |
JPM |
| Spire Healthcare Group plc |
| GBP | 11,047 |
| 11/23/2021 |
| 0.43 | % | 0.40 | % | 1M GBP LIBOR |
| T/1M |
| 2,461 |
| |
MS |
| Stroeer SE & Co. KGaA |
| EUR | 53,902 |
| 9/12/2021 |
| 0.04 | % | 0.60 | % | 1M EURIBOR |
| T/1M |
| (3,161 | ) | |
JPM |
| Suez SA |
| EUR | 197,654 |
| 9/2/2021 |
| 0.09 | % | 0.65 | % | 1M EURIBOR |
| T/1M |
| 19,113 |
| |
JPM |
| Tele Columbus AG |
| EUR | 24,655 |
| 12/28/2021 |
| 0.09 | % | 0.65 | % | 1M EURIBOR |
| T/1M |
| 157 |
| |
JPM |
| Tikkurila OYJ |
| EUR | 44,446 |
| 12/22/2021 |
| 0.09 | % | 0.65 | % | 1M EURIBOR |
| T/1M |
| 13,351 |
| |
JPM |
| Walt Disney Co. (The) |
| USD | 485,507 |
| 4/16/2021 |
| 0.53 | % | 0.40 | % | 1M USD LIBOR |
| T/1M |
| 171,434 |
| |
JPM |
| William Hill plc |
| GBP | 121,457 |
| 9/29/2021 |
| 0.43 | % | 0.40 | % | 1M GBP LIBOR |
| T/1M |
| (2,510 | ) | |
Total Long Positions of equity swaps |
|
|
|
|
|
|
|
|
|
|
|
|
|
| $ | 786,944 |
|
Over the counter equity swaps Short(c)
Counterparty |
| Reference |
| Notional |
| Maturity |
| Variable- |
| Spread |
| Reference Rate |
| Frequency |
| Value |
| ||
JPM |
| Acuity Brands, Inc. |
| USD | (69,018 | ) | 6/15/2021 |
| (0.27 | )% | (0.40 | )% | 1M USD LIBOR |
| 1M/T |
| $ | (15,205 | ) |
MS |
| Air Liquide SA |
| EUR | (160,245 | ) | 9/12/2021 |
| (0.83 | )% | (0.35 | )% | 1D EONIA |
| 1M/T |
| (9,720 | ) | |
MS |
| Allianz SE (Registered) |
| EUR | (138,025 | ) | 9/12/2021 |
| (0.83 | )% | (0.35 | )% | 1D EONIA |
| 1M/T |
| 12,616 |
| |
MS |
| Anheuser-Busch InBev SA/NV |
| EUR | (86,755 | ) | 9/12/2021 |
| (0.88 | )% | (0.40 | )% | 1D EONIA |
| 1M/T |
| 6,212 |
| |
JPM |
| AT&T, Inc. |
| USD | (167,543 | ) | 2/24/2021 |
| (0.27 | )% | (0.40 | )% | 1M USD LIBOR |
| 1M/T |
| (92 | ) | |
MS |
| AXA SA |
| EUR | (69,394 | ) | 9/12/2021 |
| (0.83 | )% | (0.35 | )% | 1D EONIA |
| 1M/T |
| 14,013 |
| |
JPM |
| B&G Foods, Inc. |
| USD | (49,885 | ) | 9/23/2021 |
| (4.70)% - (1.45 | )% | (4.83)% - (1.58 | )% | 1M USD LIBOR |
| 1M/T |
| (14,967 | ) | |
MS |
| Banco Bilbao Vizcaya Argentaria SA |
| EUR | (46,470 | ) | 9/12/2021 |
| (0.88 | )% | (0.40 | )% | 1D EONIA |
| 1M/T |
| (63 | ) | |
MS |
| Banco Santander SA |
| EUR | (72,211 | ) | 9/12/2021 |
| (0.88 | )% | (0.40 | )% | 1D EONIA |
| 1M/T |
| 4,622 |
| |
MS |
| BASF SE |
| EUR | (102,128 | ) | 9/12/2021 |
| (0.83 | )% | (0.35 | )% | 1D EONIA |
| 1M/T |
| (11,285 | ) | |
MS |
| Bayerische Motoren Werke AG |
| EUR | (75,541 | ) | 9/12/2021 |
| (0.83 | )% | (0.35 | )% | 1D EONIA |
| 1M/T |
| (8,349 | ) | |
JPM |
| Belden, Inc. |
| USD | (44,642 | ) | 10/18/2021 |
| (0.27 | )% | (0.40 | )% | 1M USD LIBOR |
| 1M/T |
| (13,381 | ) | |
JPM |
| Beyond Meat, Inc. |
| USD | (48,260 | ) | 1/11/2022 |
| (0.70 | )% | (0.83 | )% | 1M USD LIBOR |
| 1M/T |
| (13,014 | ) | |
JPM |
| Bloom Energy Corp. |
| USD | (62,663 | ) | 11/18/2021 |
| (2.95)% - (0.27 | )% | (3.08)% - (0.40 | )% | 1M USD LIBOR |
| 1M/T |
| (28,289 | ) | |
MS |
| Bunzl plc |
| GBP | (65,377 | ) | 2/12/2021 |
| (0.25 | )% | (0.30 | )% | 1D SONIA |
| 1M/T |
| (7,775 | ) | |
JPM |
| Canadian Tire Corp. Ltd. |
| CAD | (66,324 | ) | 9/20/2021 |
| 0.02 | % | (0.40 | )% | 1M CDOR |
| 1M/T |
| (10,286 | ) | |
JPM |
| Citrix Systems, Inc. |
| USD | (71,454 | ) | 5/14/2021 |
| (0.27 | )% | (0.40 | )% | 1M USD LIBOR |
| 1M/T |
| (7,747 | ) | |
MS |
| Daimler AG (Registered) |
| EUR | (94,154 | ) | 9/12/2021 |
| (0.83 | )% | (0.35 | )% | 1D EONIA |
| 1M/T |
| (28,638 | ) | |
MS |
| Deutsche Post AG (Registered) |
| EUR | (108,881 | ) | 9/12/2021 |
| (0.83 | )% | (0.35 | )% | 1D EONIA |
| 1M/T |
| (23,096 | ) | |
MS |
| Deutsche Telekom AG (Registered) |
| EUR | (63,401 | ) | 9/12/2021 |
| (0.83 | )% | (0.35 | )% | 1D EONIA |
| 1M/T |
| 2,481 |
| |
MS |
| Elisa OYJ |
| EUR | (50,062 | ) | 9/12/2021 |
| (0.88 | )% | (0.40 | )% | 1D EONIA |
| 1M/T |
| 142 |
| |
MS |
| Enel SpA |
| EUR | (69,681 | ) | 9/12/2021 |
| (0.88 | )% | (0.40 | )% | 1D EONIA |
| 1M/T |
| (7,733 | ) | |
MS |
| Engie SA |
| EUR | (88,022 | ) | 9/12/2021 |
| (0.83 | )% | (0.35 | )% | 1D EONIA |
| 1M/T |
| (2,254 | ) | |
MS |
| Etablissements Franz Colruyt NV |
| EUR | (190,471 | ) | 9/12/2021 |
| (0.88 | )% | (0.40 | )% | 1D EONIA |
| 1M/T |
| 61,277 |
| |
JPM |
| Fox Corp. |
| USD | (77,139 | ) | 1/21/2022 |
| (0.27 | )% | (0.40 | )% | 1M USD LIBOR |
| 1M/T |
| (2,895 | ) | |
MS |
| Givaudan SA (Registered) |
| CHF | (136,648 | ) | 9/12/2021 |
| (1.08 | )% | (0.35 | )% | 1D SARON |
| 1M/T |
| (36,518 | ) | |
MS |
| GlaxoSmithKline plc |
| GBP | (29,691 | ) | 2/12/2021 |
| (0.25 | )% | (0.30 | )% | 1D SONIA |
| 1M/T |
| 6,020 |
| |
JPM |
| Grifols SA |
| USD | (155,084 | ) | 4/14/2021 |
| (0.27 | )% | (0.40 | )% | 1M USD LIBOR |
| 1M/T |
| 13,411 |
| |
See Notes to Consolidated Schedule of Investments
Counterparty |
| Reference |
| Notional |
| Maturity |
| Variable- |
| Spread |
| Reference Rate |
| Frequency |
| Value |
| ||
JPM |
| Guess?, Inc. |
| USD | (75,628 | ) | 8/25/2021 |
| (0.27 | )% | (0.40 | )% | 1M USD LIBOR |
| 1M/T |
| $ | (19,773 | ) |
JPM |
| Guidewire Software, Inc. |
| USD | (92,710 | ) | 3/23/2021 |
| (0.27 | )% | (0.40 | )% | 1M USD LIBOR |
| 1M/T |
| (1,966 | ) | |
MS |
| Hannover Rueck SE |
| EUR | (48,128 | ) | 9/12/2021 |
| (0.83 | )% | (0.35 | )% | 1D EONIA |
| 1M/T |
| 17,253 |
| |
JPM |
| Harsco Corp. |
| USD | (74,918 | ) | 10/29/2021 |
| (0.27 | )% | (0.40 | )% | 1M USD LIBOR |
| 1M/T |
| (11,690 | ) | |
JPM |
| HealthEquity, Inc. |
| USD | (85,388 | ) | 12/23/2021 |
| (0.27 | )% | (0.40 | )% | 1M USD LIBOR |
| 1M/T |
| (17,982 | ) | |
JPM |
| HelloFresh SE |
| EUR | (29,525 | ) | 1/26/2022 |
| (0.96 | )% | (0.40 | )% | 1M EURIBOR |
| 1M/T |
| (820 | ) | |
MS |
| Hennes & Mauritz AB |
| SEK | (776,860 | ) | 10/19/2021 |
| (0.48 | )% | (0.40 | )% | 1W STIBOR |
| 1M/T |
| 6,524 |
| |
JPM |
| Integer Holdings Corp. |
| USD | (40,664 | ) | 3/17/2021 |
| (0.27 | )% | (0.40 | )% | 1M USD LIBOR |
| 1M/T |
| (4,521 | ) | |
MS |
| Intesa Sanpaolo SpA |
| EUR | (49,697 | ) | 9/12/2021 |
| (0.88 | )% | (0.40 | )% | 1D EONIA |
| 1M/T |
| 7,018 |
| |
JPM |
| J M Smucker Co. (The) |
| USD | (83,582 | ) | 10/7/2021 |
| (0.27 | )% | (0.40 | )% | 1M USD LIBOR |
| 1M/T |
| (1,907 | ) | |
JPM |
| Just Eat Takeaway.com NV |
| USD | (90,674 | ) | 6/15/2021 |
| (0.27 | )% | (0.40 | )% | 1M USD LIBOR |
| 1M/T |
| 370 |
| |
JPM |
| Kellogg Co. |
| USD | (36,071 | ) | 10/7/2021 |
| (0.27 | )% | (0.40 | )% | 1M USD LIBOR |
| 1M/T |
| (53 | ) | |
MS |
| Koninklijke Ahold Delhaize NV |
| EUR | (122,951 | ) | 9/12/2021 |
| (0.83 | )% | (0.35 | )% | 1D EONIA |
| 1M/T |
| (18,740 | ) | |
MS |
| Koninklijke Philips NV |
| EUR | (105,869 | ) | 9/12/2021 |
| (0.83 | )% | (0.35 | )% | 1D EONIA |
| 1M/T |
| (8,029 | ) | |
JPM |
| Kroger Co. (The) |
| USD | (102,500 | ) | 3/30/2021 |
| (0.27 | )% | (0.40 | )% | 1M USD LIBOR |
| 1M/T |
| (6,233 | ) | |
MS |
| LOreal SA |
| EUR | (182,183 | ) | 9/12/2021 |
| (0.83 | )% | (0.35 | )% | 1D EONIA |
| 1M/T |
| (19,026 | ) | |
MS |
| Marks & Spencer Group plc |
| GBP | (22,157 | ) | 2/12/2021 |
| (0.25 | )% | (0.30 | )% | 1D SONIA |
| 1M/T |
| 16,070 |
| |
MS |
| Merck & Co., Inc. |
| USD | (33,834 | ) | 12/14/2021 |
| (0.28 | )% | (0.35 | )% | 1D FEDEF |
| 1M/T |
| 1,508 |
| |
JPM |
| National Bank of Canada |
| CAD | (35,935 | ) | 3/11/2021 |
| 0.02 | % | (0.40 | )% | 1M CDOR |
| 1M/T |
| (4,785 | ) | |
MS |
| Next plc |
| GBP | (30,379 | ) | 2/12/2021 |
| (0.25 | )% | (0.30 | )% | 1D SONIA |
| 1M/T |
| (10,089 | ) | |
MS |
| NIKE, Inc. |
| USD | (56,776 | ) | 12/14/2021 |
| (0.28 | )% | (0.35 | )% | 1D FEDEF |
| 1M/T |
| (21,076 | ) | |
MS |
| Nokia OYJ |
| EUR | (54,509 | ) | 9/12/2021 |
| (0.88 | )% | (0.40 | )% | 1D EONIA |
| 1M/T |
| (6,945 | ) | |
JPM |
| Northern Star Resources Ltd. |
| AUD | (211,858 | ) | 11/17/2021 |
| (0.49 | )% | (0.50 | )% | 1M AUD BBSW |
| 1M/T |
| 4,976 |
| |
JPM |
| Omnicom Group, Inc. |
| USD | (35,432 | ) | 1/31/2022 |
| (0.27 | )% | (0.40 | )% | 1M USD LIBOR |
| 1M/T |
| 2,380 |
| |
JPM |
| Pearson plc |
| GBP | (48,195 | ) | 8/24/2021 |
| (0.37 | )% | (0.40 | )% | 1M GBP LIBOR |
| 1M/T |
| (18,548 | ) | |
JPM |
| Perdoceo Education Corp. |
| USD | (40,459 | ) | 1/10/2022 |
| (0.27 | )% | (0.40 | )% | 1M USD LIBOR |
| 1M/T |
| 1,856 |
| |
MS |
| Pfizer, Inc. |
| USD | (27,033 | ) | 12/14/2021 |
| (0.28 | )% | (0.35 | )% | 1D FEDEF |
| 1M/T |
| 2,118 |
| |
JPM |
| Proto Labs, Inc. |
| USD | (76,460 | ) | 2/10/2021 |
| (0.27 | )% | (0.40 | )% | 1M USD LIBOR |
| 1M/T |
| (24,969 | ) | |
JPM |
| Qualys, Inc. |
| USD | (112,853 | ) | 1/11/2022 |
| (0.27 | )% | (0.40 | )% | 1M USD LIBOR |
| 1M/T |
| (14,963 | ) | |
JPM |
| Resideo Technologies, Inc. |
| USD | (44,675 | ) | 8/5/2021 |
| (0.27 | )% | (0.40 | )% | 1M USD LIBOR |
| 1M/T |
| (22,377 | ) | |
JPM |
| Robert Half International, Inc. |
| USD | (41,378 | ) | 6/16/2021 |
| (0.27 | )% | (0.40 | )% | 1M USD LIBOR |
| 1M/T |
| (6,461 | ) | |
MS |
| Schneider Electric SE |
| EUR | (114,298 | ) | 9/12/2021 |
| (0.83 | )% | (0.35 | )% | 1D EONIA |
| 1M/T |
| (28,395 | ) | |
JPM |
| Sempra Energy |
| USD | (74,999 | ) | 12/21/2021 |
| (0.27 | )% | (0.40 | )% | 1M USD LIBOR |
| 1M/T |
| 5,095 |
| |
JPM |
| Shake Shack, Inc. |
| USD | (61,587 | ) | 4/19/2021 |
| (0.27 | )% | (0.40 | )% | 1M USD LIBOR |
| 1M/T |
| (20,293 | ) | |
MS |
| Siemens AG (Registered) |
| EUR | (140,734 | ) | 9/12/2021 |
| (0.83 | )% | (0.35 | )% | 1D EONIA |
| 1M/T |
| (36,373 | ) | |
JPM |
| Signify NV |
| EUR | (55,609 | ) | 3/2/2021 |
| (0.96 | )% | (0.40 | )% | 1M EURIBOR |
| 1M/T |
| (32,229 | ) | |
JPM |
| SL Green Realty Corp. |
| USD | (16,735 | ) | 3/30/2021 |
| (0.27)% - 0.53 | % | (0.40)% - 0.40 | % | 1M USD LIBOR |
| 1M/T |
| (5,294 | ) | |
JPM |
| SolarEdge Technologies, Inc. |
| USD | (87,364 | ) | 3/19/2021 |
| (0.27 | )% | (0.40 | )% | 1M USD LIBOR |
| 1M/T |
| (25,073 | ) | |
JPM |
| Strategic Education, Inc. |
| USD | (79,180 | ) | 9/27/2021 |
| (0.27 | )% | (0.40 | )% | 1M USD LIBOR |
| 1M/T |
| 7,373 |
| |
MS |
| Swisscom AG (Registered) |
| CHF | (53,394 | ) | 9/12/2021 |
| (1.08 | )% | (0.35 | )% | 1D SARON |
| 1M/T |
| 3,769 |
| |
MS |
| Telefonica SA |
| EUR | (36,919 | ) | 9/12/2021 |
| (0.88 | )% | (0.40 | )% | 1D EONIA |
| 1M/T |
| 16,626 |
| |
JPM |
| Teradata Corp. |
| USD | (36,450 | ) | 10/14/2021 |
| (0.27 | )% | (0.40 | )% | 1M USD LIBOR |
| 1M/T |
| (8,795 | ) | |
MS |
| Tesla, Inc. |
| USD | (120,617 | ) | 12/14/2021 |
| (0.28 | )% | (0.35 | )% | 1D FEDEF |
| 1M/T |
| (21,973 | ) | |
MS |
| Vinci SA |
| EUR | (101,009 | ) | 9/12/2021 |
| (0.83 | )% | (0.35 | )% | 1D EONIA |
| 1M/T |
| 22,162 |
| |
JPM |
| Volvo AB |
| SEK | (245,885 | ) | 6/18/2021 |
| (1.08 | )% | (0.50 | )% | 1M STIBOR |
| 1M/T |
| (8,127 | ) | |
JPM |
| West Pharmaceutical Services, Inc. |
| USD | (57,203 | ) | 10/25/2021 |
| (0.27 | )% | (0.40 | )% | 1M USD LIBOR |
| 1M/T |
| (4,802 | ) | |
JPM |
| Westinghouse Air Brake Technologies Corp. |
| USD | (80,444 | ) | 4/21/2021 |
| (0.27 | )% | (0.40 | )% | 1M USD LIBOR |
| 1M/T |
| (750 | ) | |
Total Short Positions of equity swaps |
|
|
|
|
| $ | (438,472 | ) | |||||||||||
Total Long and Short Positions of equity swaps |
|
|
|
|
| $ | 348,472 |
| |||||||||||
Total Financing Costs and Other Receivables/(Payables) of equity swaps |
|
|
|
|
| $ | 4,689 |
| |||||||||||
Total Long and Short Positions including Financing Costs and Other Receivables/(Payables) of equity swaps |
|
|
|
|
| $ | 353,161 |
|
(a) | The Fund pays a specified rate based on a reference rate (e.g. LIBOR) plus or minus a spread, and receives the total return on the reference entity. |
(b) | Effective rate at January 31, 2021. |
(c) | The Fund receives a specified rate based on a reference rate (e.g. LIBOR) plus or minus a spread, and pays the total return on the reference entity. |
See Notes to Consolidated Schedule of Investments
Total return basket swap contracts (total return basket swaps)
At January 31, 2021, the Fund had outstanding total return basket swaps(a) as follows:
Over the counter total return basket swapsShort(b)
Counterparty |
| Reference Entity |
| Effective |
| Spread |
| Reference |
| Frequency |
| Maturity |
| Value |
| |
JPM |
| JPCR217 |
| (0.17 | )% | (0.30 | )% | 1M USD LIBOR |
| 1M/T |
| 1/20/2022 |
| $ | 5,651 |
|
JPM |
| JPCR218 |
| (0.17 | )% | (0.30 | )% | 1M USD LIBOR |
| 1M/T |
| 1/21/2022 |
| 6,257 |
| |
JPM |
| JPCR219 |
| (0.17 | )% | (0.30 | )% | 1M USD LIBOR |
| 1M/T |
| 1/24/2022 |
| 5,965 |
| |
JPM |
| JPCR220 |
| (0.17 | )% | (0.30 | )% | 1M USD LIBOR |
| 1M/T |
| 1/25/2022 |
| 6,752 |
| |
JPM |
| JPCR221 |
| (0.17 | )% | (0.30 | )% | 1M USD LIBOR |
| 1M/T |
| 1/26/2022 |
| 7,732 |
| |
JPM |
| JPCR222 |
| (0.17 | )% | (0.30 | )% | 1M USD LIBOR |
| 1M/T |
| 1/27/2022 |
| 7,837 |
| |
JPM |
| JPCR223 |
| (0.17 | )% | (0.30 | )% | 1M USD LIBOR |
| 1M/T |
| 1/28/2022 |
| 7,100 |
| |
JPM |
| JPCR224 |
| (0.17 | )% | (0.30 | )% | 1M USD LIBOR |
| 1M/T |
| 1/31/2022 |
| 4,857 |
| |
JPM |
| JPCR225 |
| (0.17 | )% | (0.30 | )% | 1M USD LIBOR |
| 1M/T |
| 2/1/2022 |
| 1,167 |
| |
JPM |
| JPCR226 |
| (0.17 | )% | (0.30 | )% | 1M USD LIBOR |
| 1M/T |
| 2/2/2022 |
| 2,208 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
Total |
|
|
|
|
|
|
|
|
|
|
|
|
| $ | 55,526 |
|
(a) The following tables represent required component disclosures associated with the total return basket swaps:
Reference Entity |
| Shares |
| Notional |
| Unrealized |
| Component |
| ||
JPCR217 |
|
|
|
|
|
|
|
|
| ||
Clorox Co/The |
| (20 | ) | $ | (4,985 | ) | $ | 147 |
| 2.5 | % |
Hormel Foods Corp |
| (90 | ) | (4,960 | ) | 146 |
| 2.5 | % | ||
General Mills Inc |
| (71 | ) | (4,851 | ) | 143 |
| 2.4 | % | ||
Kroger Co/The |
| (120 | ) | (4,845 | ) | 143 |
| 2.4 | % | ||
Ford Motor Co |
| (390 | ) | (4,819 | ) | 142 |
| 2.4 | % | ||
Apple Inc |
| (31 | ) | (4,764 | ) | 141 |
| 2.4 | % | ||
Walgreens Boots Alliance Inc |
| (80 | ) | (4,742 | ) | 140 |
| 2.4 | % | ||
Home Depot Inc/The |
| (15 | ) | (4,697 | ) | 139 |
| 2.4 | % | ||
Church & Dwight Co Inc |
| (47 | ) | (4,650 | ) | 137 |
| 2.3 | % | ||
Amgen Inc |
| (16 | ) | (4,650 | ) | 137 |
| 2.3 | % | ||
Kellogg Co |
| (67 | ) | (4,646 | ) | 137 |
| 2.3 | % | ||
McDonalds Corp |
| (19 | ) | (4,640 | ) | 137 |
| 2.3 | % | ||
Cisco Systems Inc/Delaware |
| (88 | ) | (4,596 | ) | 136 |
| 2.3 | % | ||
Hershey Co/The |
| (27 | ) | (4,592 | ) | 136 |
| 2.3 | % | ||
General Motors Co |
| (77 | ) | (4,578 | ) | 135 |
| 2.3 | % | ||
Arista Networks Inc |
| (13 | ) | (4,572 | ) | 135 |
| 2.3 | % | ||
Moodys Corp |
| (15 | ) | (4,553 | ) | 135 |
| 2.3 | % | ||
McCormick & Co Inc/MD |
| (43 | ) | (4,549 | ) | 134 |
| 2.3 | % | ||
Cognizant Technology Solutions Corp |
| (49 | ) | (4,532 | ) | 134 |
| 2.3 | % | ||
Costco Wholesale Corp |
| (11 | ) | (4,527 | ) | 134 |
| 2.3 | % | ||
Mettler-Toledo International Inc |
| (3 | ) | (4,515 | ) | 133 |
| 2.3 | % | ||
Motorola Solutions Inc |
| (23 | ) | (4,495 | ) | 133 |
| 2.3 | % | ||
PepsiCo Inc |
| (28 | ) | (4,484 | ) | 133 |
| 2.3 | % | ||
Micron Technology Inc |
| (49 | ) | (4,481 | ) | 132 |
| 2.3 | % | ||
Ecolab Inc |
| (19 | ) | (4,481 | ) | 132 |
| 2.3 | % | ||
Sherwin-Williams Co/The |
| (6 | ) | (4,480 | ) | 132 |
| 2.3 | % | ||
ANSYS Inc |
| (11 | ) | (4,469 | ) | 132 |
| 2.3 | % | ||
Fidelity National Information Services I |
| (31 | ) | (4,448 | ) | 131 |
| 2.2 | % | ||
Best Buy Co Inc |
| (35 | ) | (4,446 | ) | 131 |
| 2.2 | % | ||
CVS Health Corp |
| (53 | ) | (4,443 | ) | 131 |
| 2.2 | % | ||
Agilent Technologies Inc |
| (31 | ) | (4,438 | ) | 131 |
| 2.2 | % | ||
Fiserv Inc |
| (37 | ) | (4,426 | ) | 131 |
| 2.2 | % | ||
Starbucks Corp |
| (39 | ) | (4,425 | ) | 131 |
| 2.2 | % | ||
Sysco Corp |
| (52 | ) | (4,408 | ) | 130 |
| 2.2 | % | ||
Estee Lauder Cos Inc/The |
| (16 | ) | (4,405 | ) | 130 |
| 2.2 | % | ||
Canadian Imperial Bank of Commerce |
| (44 | ) | (4,403 | ) | 130 |
| 2.2 | % | ||
Magna International Inc |
| (53 | ) | (4,394 | ) | 130 |
| 2.2 | % | ||
See Notes to Consolidated Schedule of Investments
Reference Entity |
| Shares |
| Notional |
| Unrealized |
| Component |
| ||
JPCR217 (contd) |
|
|
|
|
|
|
|
|
| ||
Constellation Brands Inc |
| (18 | ) | $ | (4,385 | ) | $ | 130 |
| 2.2 | % |
Target Corp |
| (20 | ) | (4,258 | ) | 126 |
| 2.2 | % | ||
Dollar General Corp |
| (18 | ) | (4,248 | ) | 125 |
| 2.1 | % | ||
Zillow Group Inc |
| (27 | ) | (4,225 | ) | 125 |
| 2.1 | % | ||
VF Corp |
| (46 | ) | (4,190 | ) | 124 |
| 2.1 | % | ||
Restaurant Brands International Inc |
| (62 | ) | (4,180 | ) | 124 |
| 2.1 | % | ||
LyondellBasell Industries NV |
| (40 | ) | (4,037 | ) | 119 |
| 2.1 | % | ||
|
|
|
| $ | (198,912 | ) | $ | 5,874 |
|
|
|
Accrued Net Interest Receivable/(Payable) |
|
|
|
|
| (223 | ) |
|
| ||
|
|
|
|
|
| $ | 5,651 |
|
|
|
Reference Entity |
| Shares |
| Notional |
| Unrealized |
| Component |
| ||
JPCR218 |
|
|
|
|
|
|
|
|
| ||
Ford Motor Co |
| (510 | ) | $ | (7,021 | ) | $ | 226 |
| 3.5 | % |
Clorox Co/The |
| (25 | ) | (6,951 | ) | 224 |
| 3.5 | % | ||
Hormel Foods Corp |
| (112 | ) | (6,845 | ) | 220 |
| 3.5 | % | ||
Apple Inc |
| (39 | ) | (6,803 | ) | 219 |
| 3.4 | % | ||
General Mills Inc |
| (89 | ) | (6,771 | ) | 218 |
| 3.4 | % | ||
Walgreens Boots Alliance Inc |
| (102 | ) | (6,733 | ) | 217 |
| 3.4 | % | ||
Kroger Co/The |
| (149 | ) | (6,710 | ) | 216 |
| 3.4 | % | ||
General Motors Co |
| (100 | ) | (6,648 | ) | 214 |
| 3.3 | % | ||
Kellogg Co |
| (85 | ) | (6,545 | ) | 210 |
| 3.3 | % | ||
Church & Dwight Co Inc |
| (59 | ) | (6,492 | ) | 209 |
| 3.3 | % | ||
McDonalds Corp |
| (24 | ) | (6,490 | ) | 209 |
| 3.3 | % | ||
Amgen Inc |
| (20 | ) | (6,446 | ) | 207 |
| 3.2 | % | ||
Home Depot Inc/The |
| (18 | ) | (6,441 | ) | 207 |
| 3.2 | % | ||
Hershey Co/The |
| (34 | ) | (6,421 | ) | 207 |
| 3.2 | % | ||
Costco Wholesale Corp |
| (14 | ) | (6,378 | ) | 205 |
| 3.2 | % | ||
Ecolab Inc |
| (24 | ) | (6,360 | ) | 205 |
| 3.2 | % | ||
PepsiCo Inc |
| (35 | ) | (6,331 | ) | 204 |
| 3.2 | % | ||
Magna International Inc |
| (69 | ) | (6,316 | ) | 203 |
| 3.2 | % | ||
Constellation Brands Inc |
| (23 | ) | (6,285 | ) | 202 |
| 3.2 | % | ||
Best Buy Co Inc |
| (44 | ) | (6,257 | ) | 201 |
| 3.2 | % | ||
Sherwin-Williams Co/The |
| (7 | ) | (6,250 | ) | 201 |
| 3.2 | % | ||
Agilent Technologies Inc |
| (40 | ) | (6,241 | ) | 201 |
| 3.2 | % | ||
Estee Lauder Cos Inc/The |
| (20 | ) | (6,226 | ) | 200 |
| 3.1 | % | ||
Fiserv Inc |
| (46 | ) | (6,221 | ) | 200 |
| 3.1 | % | ||
Zillow Group Inc |
| (36 | ) | (6,219 | ) | 200 |
| 3.1 | % | ||
CVS Health Corp |
| (66 | ) | (6,158 | ) | 198 |
| 3.1 | % | ||
Target Corp |
| (26 | ) | (6,096 | ) | 196 |
| 3.1 | % | ||
Dollar General Corp |
| (24 | ) | (6,033 | ) | 194 |
| 3.0 | % | ||
Restaurant Brands International Inc |
| (79 | ) | (6,012 | ) | 193 |
| 3.0 | % | ||
VF Corp |
| (60 | ) | (6,005 | ) | 193 |
| 3.0 | % | ||
LyondellBasell Industries NV |
| (53 | ) | (5,923 | ) | 190 |
| 3.0 | % | ||
|
|
|
| $ | (198,628 | ) | $ | 6,389 |
|
|
|
Accrued Net Interest Receivable/(Payable) |
|
|
|
|
| (132 | ) |
|
| ||
|
|
|
|
|
| $ | 6,257 |
|
|
|
Reference Entity |
| Shares |
| Notional |
| Unrealized |
| Component |
| ||
JPCR219 |
|
|
|
|
|
|
|
|
| ||
Clorox Co/The |
| (18 | ) | $ | (4,451 | ) | $ | 137 |
| 2.2 | % |
Ford Motor Co |
| (354 | ) | (4,388 | ) | 135 |
| 2.2 | % | ||
Hormel Foods Corp |
| (79 | ) | (4,372 | ) | 135 |
| 2.2 | % | ||
General Mills Inc |
| (64 | ) | (4,358 | ) | 134 |
| 2.2 | % | ||
Walgreens Boots Alliance Inc |
| (74 | ) | (4,358 | ) | 134 |
| 2.2 | % | ||
Duke Energy Corp |
| (39 | ) | (4,343 | ) | 134 |
| 2.2 | % | ||
Apple Inc |
| (28 | ) | (4,310 | ) | 133 |
| 2.2 | % | ||
Kroger Co/The |
| (105 | ) | (4,285 | ) | 132 |
| 2.2 | % | ||
Kellogg Co |
| (61 | ) | (4,210 | ) | 130 |
| 2.1 | % | ||
Costco Wholesale Corp |
| (10 | ) | (4,151 | ) | 128 |
| 2.1 | % | ||
See Notes to Consolidated Schedule of Investments
Reference Entity |
| Shares |
| Notional |
| Unrealized |
| Component |
| ||
JPCR219 (contd) |
|
|
|
|
|
|
|
|
| ||
McDonalds Corp |
| (17 | ) | $ | (4,151 | ) | $ | 128 |
| 2.1 | % |
Church & Dwight Co Inc |
| (42 | ) | (4,140 | ) | 128 |
| 2.1 | % | ||
Home Depot Inc/The |
| (13 | ) | (4,139 | ) | 127 |
| 2.1 | % | ||
Moodys Corp |
| (13 | ) | (4,129 | ) | 127 |
| 2.1 | % | ||
Cisco Systems Inc/Delaware |
| (78 | ) | (4,119 | ) | 127 |
| 2.1 | % | ||
HCA Healthcare Inc |
| (21 | ) | (4,084 | ) | 126 |
| 2.0 | % | ||
Hershey Co/The |
| (24 | ) | (4,083 | ) | 126 |
| 2.0 | % | ||
Pfizer Inc |
| (96 | ) | (4,081 | ) | 126 |
| 2.0 | % | ||
Cognizant Technology Solutions Corp |
| (44 | ) | (4,081 | ) | 126 |
| 2.0 | % | ||
Motorola Solutions Inc |
| (21 | ) | (4,073 | ) | 126 |
| 2.0 | % | ||
Best Buy Co Inc |
| (32 | ) | (4,071 | ) | 125 |
| 2.0 | % | ||
Philip Morris International Inc |
| (43 | ) | (4,061 | ) | 125 |
| 2.0 | % | ||
Amgen Inc |
| (14 | ) | (4,060 | ) | 125 |
| 2.0 | % | ||
Magna International Inc |
| (49 | ) | (4,047 | ) | 125 |
| 2.0 | % | ||
Arista Networks Inc |
| (11 | ) | (4,039 | ) | 124 |
| 2.0 | % | ||
Fidelity National Information Services I |
| (28 | ) | (4,026 | ) | 124 |
| 2.0 | % | ||
Target Corp |
| (19 | ) | (4,020 | ) | 124 |
| 2.0 | % | ||
McCormick & Co Inc/MD |
| (38 | ) | (4,020 | ) | 124 |
| 2.0 | % | ||
PepsiCo Inc |
| (25 | ) | (4,014 | ) | 124 |
| 2.0 | % | ||
ANSYS Inc |
| (10 | ) | (4,004 | ) | 123 |
| 2.0 | % | ||
Canadian Imperial Bank of Commerce |
| (40 | ) | (3,989 | ) | 123 |
| 2.0 | % | ||
Sysco Corp |
| (47 | ) | (3,988 | ) | 123 |
| 2.0 | % | ||
Fiserv Inc |
| (33 | ) | (3,982 | ) | 123 |
| 2.0 | % | ||
Sherwin-Williams Co/The |
| (5 | ) | (3,981 | ) | 123 |
| 2.0 | % | ||
Estee Lauder Cos Inc/The |
| (14 | ) | (3,977 | ) | 122 |
| 2.0 | % | ||
CVS Health Corp |
| (47 | ) | (3,968 | ) | 122 |
| 2.0 | % | ||
Mettler-Toledo International Inc |
| (3 | ) | (3,962 | ) | 122 |
| 2.0 | % | ||
Ecolab Inc |
| (16 | ) | (3,955 | ) | 122 |
| 2.0 | % | ||
Constellation Brands Inc |
| (16 | ) | (3,951 | ) | 122 |
| 2.0 | % | ||
Dollar General Corp |
| (17 | ) | (3,943 | ) | 121 |
| 2.0 | % | ||
Starbucks Corp |
| (35 | ) | (3,942 | ) | 121 |
| 2.0 | % | ||
Agilent Technologies Inc |
| (28 | ) | (3,940 | ) | 121 |
| 2.0 | % | ||
Align Technology Inc |
| (6 | ) | (3,935 | ) | 121 |
| 2.0 | % | ||
VF Corp |
| (43 | ) | (3,917 | ) | 121 |
| 2.0 | % | ||
Restaurant Brands International Inc |
| (57 | ) | (3,900 | ) | 120 |
| 2.0 | % | ||
General Motors Co |
| (65 | ) | (3,859 | ) | 119 |
| 2.0 | % | ||
Micron Technology Inc |
| (41 | ) | (3,822 | ) | 118 |
| 1.9 | % | ||
LyondellBasell Industries NV |
| (38 | ) | (3,817 | ) | 118 |
| 1.9 | % | ||
Zillow Group Inc |
| (25 | ) | (3,784 | ) | 117 |
| 1.9 | % | ||
|
|
|
| $ | (199,280 | ) | $ | 6,141 |
|
|
|
Accrued Net Interest Receivable/(Payable) |
|
|
|
|
| (176 | ) |
|
| ||
|
|
|
|
|
| $ | 5,965 |
|
|
|
Reference Entity |
| Shares |
| Notional |
| Unrealized |
| Component |
| ||
JPCR220 |
|
|
|
|
|
|
|
|
| ||
Clorox Co/The |
| (15 | ) | $ | (3,440 | ) | $ | 118 |
| 1.7 | % |
General Mills Inc |
| (53 | ) | (3,396 | ) | 116 |
| 1.7 | % | ||
Hormel Foods Corp |
| (66 | ) | (3,388 | ) | 116 |
| 1.7 | % | ||
Walgreens Boots Alliance Inc |
| (61 | ) | (3,380 | ) | 116 |
| 1.7 | % | ||
Kroger Co/The |
| (89 | ) | (3,374 | ) | 116 |
| 1.7 | % | ||
Duke Energy Corp |
| (33 | ) | (3,349 | ) | 115 |
| 1.7 | % | ||
Hologic Inc |
| (38 | ) | (3,339 | ) | 115 |
| 1.7 | % | ||
3M Co |
| (17 | ) | (3,338 | ) | 114 |
| 1.7 | % | ||
PACCAR Inc |
| (33 | ) | (3,301 | ) | 113 |
| 1.7 | % | ||
Automatic Data Processing Inc |
| (18 | ) | (3,290 | ) | 113 |
| 1.6 | % | ||
Apple Inc |
| (22 | ) | (3,233 | ) | 111 |
| 1.6 | % | ||
Church & Dwight Co Inc |
| (35 | ) | (3,223 | ) | 111 |
| 1.6 | % | ||
Cummins Inc |
| (12 | ) | (3,206 | ) | 110 |
| 1.6 | % | ||
Home Depot Inc/The |
| (11 | ) | (3,193 | ) | 110 |
| 1.6 | % | ||
International Paper Co |
| (58 | ) | (3,191 | ) | 109 |
| 1.6 | % | ||
Stanley Black & Decker Inc |
| (17 | ) | (3,187 | ) | 109 |
| 1.6 | % | ||
Pfizer Inc |
| (81 | ) | (3,181 | ) | 109 |
| 1.6 | % | ||
See Notes to Consolidated Schedule of Investments
Reference Entity |
| Shares |
| Notional |
| Unrealized |
| Component |
| ||
JPCR220 (contd) |
|
|
|
|
|
|
|
|
| ||
Cisco Systems Inc/Delaware |
| (65 | ) | $ | (3,180 | ) | $ | 109 |
| 1.6 | % |
Arista Networks Inc |
| (9 | ) | (3,163 | ) | 109 |
| 1.6 | % | ||
McCormick & Co Inc/MD |
| (32 | ) | (3,156 | ) | 108 |
| 1.6 | % | ||
Altria Group Inc |
| (70 | ) | (3,156 | ) | 108 |
| 1.6 | % | ||
Costco Wholesale Corp |
| (8 | ) | (3,155 | ) | 108 |
| 1.6 | % | ||
Philip Morris International Inc |
| (36 | ) | (3,153 | ) | 108 |
| 1.6 | % | ||
McDonalds Corp |
| (14 | ) | (3,147 | ) | 108 |
| 1.6 | % | ||
Hershey Co/The |
| (20 | ) | (3,144 | ) | 108 |
| 1.6 | % | ||
United Parcel Service Inc |
| (18 | ) | (3,136 | ) | 108 |
| 1.6 | % | ||
Best Buy Co Inc |
| (26 | ) | (3,136 | ) | 107 |
| 1.6 | % | ||
Ford Motor Co |
| (272 | ) | (3,136 | ) | 107 |
| 1.6 | % | ||
Motorola Solutions Inc |
| (17 | ) | (3,134 | ) | 107 |
| 1.6 | % | ||
HCA Healthcare Inc |
| (18 | ) | (3,129 | ) | 107 |
| 1.6 | % | ||
Moodys Corp |
| (11 | ) | (3,126 | ) | 107 |
| 1.6 | % | ||
PepsiCo Inc |
| (21 | ) | (3,125 | ) | 107 |
| 1.6 | % | ||
Target Corp |
| (16 | ) | (3,112 | ) | 107 |
| 1.6 | % | ||
CVS Health Corp |
| (40 | ) | (3,100 | ) | 106 |
| 1.5 | % | ||
Cintas Corp |
| (9 | ) | (3,097 | ) | 106 |
| 1.5 | % | ||
Amgen Inc |
| (12 | ) | (3,094 | ) | 106 |
| 1.5 | % | ||
Canadian Imperial Bank of Commerce |
| (33 | ) | (3,094 | ) | 106 |
| 1.5 | % | ||
Cognizant Technology Solutions Corp |
| (36 | ) | (3,078 | ) | 105 |
| 1.5 | % | ||
Caterpillar Inc |
| (15 | ) | (3,075 | ) | 105 |
| 1.5 | % | ||
Dollar General Corp |
| (15 | ) | (3,069 | ) | 105 |
| 1.5 | % | ||
Fidelity National Information Services I |
| (23 | ) | (3,046 | ) | 104 |
| 1.5 | % | ||
Restaurant Brands International Inc |
| (48 | ) | (3,046 | ) | 104 |
| 1.5 | % | ||
Rockwell Automation Inc |
| (11 | ) | (3,045 | ) | 104 |
| 1.5 | % | ||
Fiserv Inc |
| (27 | ) | (3,043 | ) | 104 |
| 1.5 | % | ||
Emerson Electric Co |
| (35 | ) | (3,041 | ) | 104 |
| 1.5 | % | ||
Sherwin-Williams Co/The |
| (4 | ) | (3,039 | ) | 104 |
| 1.5 | % | ||
Agilent Technologies Inc |
| (23 | ) | (3,034 | ) | 104 |
| 1.5 | % | ||
Micron Technology Inc |
| (35 | ) | (3,032 | ) | 104 |
| 1.5 | % | ||
Ecolab Inc |
| (14 | ) | (3,029 | ) | 104 |
| 1.5 | % | ||
Fastenal Co |
| (61 | ) | (3,028 | ) | 104 |
| 1.5 | % | ||
ANSYS Inc |
| (8 | ) | (3,027 | ) | 104 |
| 1.5 | % | ||
Eaton Corp PLC |
| (24 | ) | (3,022 | ) | 104 |
| 1.5 | % | ||
VF Corp |
| (36 | ) | (3,020 | ) | 103 |
| 1.5 | % | ||
Align Technology Inc |
| (5 | ) | (3,011 | ) | 103 |
| 1.5 | % | ||
Sysco Corp |
| (38 | ) | (3,003 | ) | 103 |
| 1.5 | % | ||
WW Grainger Inc |
| (8 | ) | (2,999 | ) | 103 |
| 1.5 | % | ||
Estee Lauder Cos Inc/The |
| (12 | ) | (2,999 | ) | 103 |
| 1.5 | % | ||
Constellation Brands Inc |
| (13 | ) | (2,999 | ) | 103 |
| 1.5 | % | ||
Magna International Inc |
| (39 | ) | (2,996 | ) | 103 |
| 1.5 | % | ||
Mettler-Toledo International Inc |
| (2 | ) | (2,978 | ) | 102 |
| 1.5 | % | ||
Starbucks Corp |
| (28 | ) | (2,969 | ) | 102 |
| 1.5 | % | ||
LyondellBasell Industries NV |
| (31 | ) | (2,939 | ) | 101 |
| 1.5 | % | ||
General Motors Co |
| (53 | ) | (2,934 | ) | 101 |
| 1.4 | % | ||
Zillow Group Inc |
| (20 | ) | (2,841 | ) | 97 |
| 1.4 | % | ||
|
|
|
| $ | (200,024 | ) | $ | 6,855 |
|
|
|
Accrued Net Interest Receivable/(Payable) |
|
|
|
|
| (103 | ) |
|
| ||
|
|
|
|
|
| $ | 6,752 |
|
|
|
Reference Entity |
| Shares |
| Notional |
| Unrealized |
| Component |
| ||
JPCR221 |
|
|
|
|
|
|
|
|
| ||
Walgreens Boots Alliance Inc |
| (89 | ) | $ | (4,640 | ) | $ | 182 |
| 2.3 | % |
3M Co |
| (25 | ) | (4,473 | ) | 176 |
| 2.3 | % | ||
Automatic Data Processing Inc |
| (26 | ) | (4,456 | ) | 175 |
| 2.3 | % | ||
Cisco Systems Inc/Delaware |
| (93 | ) | (4,295 | ) | 169 |
| 2.2 | % | ||
Arista Networks Inc |
| (13 | ) | (4,289 | ) | 169 |
| 2.2 | % | ||
Pfizer Inc |
| (115 | ) | (4,277 | ) | 168 |
| 2.1 | % | ||
Moodys Corp |
| (16 | ) | (4,274 | ) | 168 |
| 2.1 | % | ||
Stanley Black & Decker Inc |
| (24 | ) | (4,260 | ) | 167 |
| 2.1 | % | ||
International Paper Co |
| (81 | ) | (4,232 | ) | 166 |
| 2.1 | % | ||
See Notes to Consolidated Schedule of Investments
Reference Entity |
| Shares |
| Notional |
| Unrealized |
| Component |
| ||
JPCR221 (contd) |
|
|
|
|
|
|
|
|
| ||
McDonalds Corp |
| (20 | ) | $ | (4,230 | ) | $ | 166 |
| 2.1 | % |
Motorola Solutions Inc |
| (24 | ) | (4,226 | ) | 166 |
| 2.1 | % | ||
Costco Wholesale Corp |
| (12 | ) | (4,222 | ) | 166 |
| 2.1 | % | ||
HCA Healthcare Inc |
| (25 | ) | (4,218 | ) | 166 |
| 2.1 | % | ||
Home Depot Inc/The |
| (15 | ) | (4,218 | ) | 166 |
| 2.1 | % | ||
United Parcel Service Inc |
| (26 | ) | (4,208 | ) | 165 |
| 2.1 | % | ||
CVS Health Corp |
| (57 | ) | (4,203 | ) | 165 |
| 2.1 | % | ||
Align Technology Inc |
| (8 | ) | (4,199 | ) | 165 |
| 2.1 | % | ||
Apple Inc |
| (31 | ) | (4,190 | ) | 165 |
| 2.1 | % | ||
Cognizant Technology Solutions Corp |
| (52 | ) | (4,189 | ) | 165 |
| 2.1 | % | ||
Canadian Imperial Bank of Commerce |
| (47 | ) | (4,187 | ) | 164 |
| 2.1 | % | ||
Cintas Corp |
| (13 | ) | (4,172 | ) | 164 |
| 2.1 | % | ||
Amgen Inc |
| (17 | ) | (4,163 | ) | 164 |
| 2.1 | % | ||
ANSYS Inc |
| (11 | ) | (4,142 | ) | 163 |
| 2.1 | % | ||
Restaurant Brands International Inc |
| (69 | ) | (4,139 | ) | 163 |
| 2.1 | % | ||
Caterpillar Inc |
| (22 | ) | (4,135 | ) | 162 |
| 2.1 | % | ||
Best Buy Co Inc |
| (37 | ) | (4,130 | ) | 162 |
| 2.1 | % | ||
Target Corp |
| (22 | ) | (4,117 | ) | 162 |
| 2.1 | % | ||
Fastenal Co |
| (87 | ) | (4,114 | ) | 162 |
| 2.1 | % | ||
Agilent Technologies Inc |
| (33 | ) | (4,112 | ) | 162 |
| 2.1 | % | ||
Cummins Inc |
| (17 | ) | (4,108 | ) | 161 |
| 2.1 | % | ||
Fiserv Inc |
| (39 | ) | (4,096 | ) | 161 |
| 2.1 | % | ||
Emerson Electric Co |
| (50 | ) | (4,093 | ) | 161 |
| 2.1 | % | ||
Eaton Corp PLC |
| (34 | ) | (4,088 | ) | 161 |
| 2.1 | % | ||
Sherwin-Williams Co/The |
| (6 | ) | (4,083 | ) | 160 |
| 2.0 | % | ||
Mettler-Toledo International Inc |
| (3 | ) | (4,078 | ) | 160 |
| 2.0 | % | ||
Dollar General Corp |
| (20 | ) | (4,072 | ) | 160 |
| 2.0 | % | ||
WW Grainger Inc |
| (11 | ) | (4,049 | ) | 159 |
| 2.0 | % | ||
Rockwell Automation Inc |
| (16 | ) | (4,035 | ) | 158 |
| 2.0 | % | ||
LyondellBasell Industries NV |
| (45 | ) | (4,024 | ) | 158 |
| 2.0 | % | ||
Starbucks Corp |
| (40 | ) | (4,023 | ) | 158 |
| 2.0 | % | ||
Fidelity National Information Services I |
| (31 | ) | (4,016 | ) | 158 |
| 2.0 | % | ||
PACCAR Inc |
| (42 | ) | (4,015 | ) | 158 |
| 2.0 | % | ||
Micron Technology Inc |
| (49 | ) | (4,001 | ) | 157 |
| 2.0 | % | ||
General Motors Co |
| (76 | ) | (3,999 | ) | 157 |
| 2.0 | % | ||
VF Corp |
| (50 | ) | (3,969 | ) | 156 |
| 2.0 | % | ||
Ford Motor Co |
| (364 | ) | (3,969 | ) | 156 |
| 2.0 | % | ||
Magna International Inc |
| (54 | ) | (3,962 | ) | 156 |
| 2.0 | % | ||
Zillow Group Inc |
| (29 | ) | (3,886 | ) | 153 |
| 1.9 | % | ||
|
|
|
| $ | (199,276 | ) | $ | 7,831 |
|
|
|
Accrued Net Interest Receivable/(Payable) |
|
|
|
|
| (99 | ) |
|
| ||
|
|
|
|
|
| $ | 7,732 |
|
|
|
Reference Entity |
| Shares |
| Notional |
| Unrealized |
| Component |
| ||
JPCR222 |
|
|
|
|
|
|
|
|
| ||
3M Co |
| (31 | ) | $ | (5,845 | ) | $ | 233 |
| 2.9 | % |
Automatic Data Processing Inc |
| (32 | ) | (5,734 | ) | 229 |
| 2.9 | % | ||
Moodys Corp |
| (20 | ) | (5,615 | ) | 224 |
| 2.8 | % | ||
Cisco Systems Inc/Delaware |
| (117 | ) | (5,601 | ) | 223 |
| 2.8 | % | ||
Stanley Black & Decker Inc |
| (30 | ) | (5,569 | ) | 222 |
| 2.8 | % | ||
Arista Networks Inc |
| (17 | ) | (5,559 | ) | 222 |
| 2.8 | % | ||
Align Technology Inc |
| (10 | ) | (5,533 | ) | 221 |
| 2.8 | % | ||
Pfizer Inc |
| (144 | ) | (5,524 | ) | 220 |
| 2.8 | % | ||
Cintas Corp |
| (16 | ) | (5,514 | ) | 220 |
| 2.8 | % | ||
Canadian Imperial Bank of Commerce |
| (60 | ) | (5,491 | ) | 219 |
| 2.8 | % | ||
United Parcel Service Inc |
| (33 | ) | (5,483 | ) | 219 |
| 2.7 | % | ||
International Paper Co |
| (102 | ) | (5,481 | ) | 219 |
| 2.7 | % | ||
HCA Healthcare Inc |
| (32 | ) | (5,473 | ) | 218 |
| 2.7 | % | ||
Cognizant Technology Solutions Corp |
| (65 | ) | (5,442 | ) | 217 |
| 2.7 | % | ||
Motorola Solutions Inc |
| (30 | ) | (5,425 | ) | 216 |
| 2.7 | % | ||
Fiserv Inc |
| (49 | ) | (5,384 | ) | 215 |
| 2.7 | % | ||
Fidelity National Information Services I |
| (41 | ) | (5,380 | ) | 215 |
| 2.7 | % | ||
See Notes to Consolidated Schedule of Investments
Reference Entity |
| Shares |
| Notional |
| Unrealized |
| Component |
| ||
JPCR222 (contd) |
|
|
|
|
|
|
|
|
| ||
Fastenal Co |
| (110 | ) | $ | (5,374 | ) | $ | 214 |
| 2.7 | % |
Caterpillar Inc |
| (27 | ) | (5,358 | ) | 214 |
| 2.7 | % | ||
Amgen Inc |
| (21 | ) | (5,357 | ) | 214 |
| 2.7 | % | ||
Micron Technology Inc |
| (64 | ) | (5,350 | ) | 214 |
| 2.7 | % | ||
Agilent Technologies Inc |
| (42 | ) | (5,350 | ) | 214 |
| 2.7 | % | ||
Cummins Inc |
| (21 | ) | (5,338 | ) | 213 |
| 2.7 | % | ||
Apple Inc |
| (38 | ) | (5,337 | ) | 213 |
| 2.7 | % | ||
Emerson Electric Co |
| (63 | ) | (5,330 | ) | 213 |
| 2.7 | % | ||
ANSYS Inc |
| (14 | ) | (5,321 | ) | 212 |
| 2.7 | % | ||
Mettler-Toledo International Inc |
| (4 | ) | (5,321 | ) | 212 |
| 2.7 | % | ||
Eaton Corp PLC |
| (42 | ) | (5,320 | ) | 212 |
| 2.7 | % | ||
Sherwin-Williams Co/The |
| (7 | ) | (5,314 | ) | 212 |
| 2.7 | % | ||
LyondellBasell Industries NV |
| (57 | ) | (5,273 | ) | 210 |
| 2.6 | % | ||
Rockwell Automation Inc |
| (20 | ) | (5,256 | ) | 210 |
| 2.6 | % | ||
WW Grainger Inc |
| (13 | ) | (5,209 | ) | 208 |
| 2.6 | % | ||
Magna International Inc |
| (69 | ) | (5,199 | ) | 207 |
| 2.6 | % | ||
PACCAR Inc |
| (53 | ) | (5,190 | ) | 207 |
| 2.6 | % | ||
General Motors Co |
| (95 | ) | (5,145 | ) | 205 |
| 2.5 | % | ||
Ford Motor Co |
| (456 | ) | (5,141 | ) | 205 |
| 2.5 | % | ||
Zillow Group Inc |
| (36 | ) | (5,032 | ) | 201 |
| 2.5 | % | ||
|
|
|
| $ | (199,568 | ) | $ | 7,962 |
|
|
|
Accrued Net Interest Receivable/(Payable) |
|
|
|
|
| (125 | ) |
|
| ||
|
|
|
|
|
| $ | 7,837 |
|
|
|
Reference Entity |
| Shares |
| Notional |
| Unrealized |
| Component |
| ||
JPCR223 |
|
|
|
|
|
|
|
|
| ||
Walgreens Boots Alliance Inc |
| (180 | ) | $ | (7,784 | ) | $ | 283 |
| 3.9 | % |
Automatic Data Processing Inc |
| (53 | ) | (7,473 | ) | 271 |
| 3.7 | % | ||
Arista Networks Inc |
| (28 | ) | (7,404 | ) | 269 |
| 3.7 | % | ||
Stanley Black & Decker Inc |
| (49 | ) | (7,344 | ) | 267 |
| 3.7 | % | ||
Cisco Systems Inc/Delaware |
| (191 | ) | (7,333 | ) | 266 |
| 3.7 | % | ||
CVS Health Corp |
| (118 | ) | (7,250 | ) | 263 |
| 3.6 | % | ||
Caterpillar Inc |
| (46 | ) | (7,229 | ) | 263 |
| 3.6 | % | ||
Cognizant Technology Solutions Corp |
| (108 | ) | (7,215 | ) | 262 |
| 3.6 | % | ||
Align Technology Inc |
| (16 | ) | (7,214 | ) | 262 |
| 3.6 | % | ||
International Paper Co |
| (166 | ) | (7,190 | ) | 261 |
| 3.6 | % | ||
Cintas Corp |
| (26 | ) | (7,181 | ) | 261 |
| 3.6 | % | ||
Eaton Corp PLC |
| (71 | ) | (7,157 | ) | 260 |
| 3.6 | % | ||
Fidelity National Information Services I |
| (67 | ) | (7,155 | ) | 260 |
| 3.6 | % | ||
Motorola Solutions Inc |
| (50 | ) | (7,144 | ) | 259 |
| 3.6 | % | ||
ANSYS Inc |
| (23 | ) | (7,136 | ) | 259 |
| 3.6 | % | ||
Pfizer Inc |
| (231 | ) | (7,133 | ) | 259 |
| 3.6 | % | ||
Emerson Electric Co |
| (104 | ) | (7,126 | ) | 259 |
| 3.6 | % | ||
Agilent Technologies Inc |
| (68 | ) | (7,094 | ) | 258 |
| 3.5 | % | ||
LyondellBasell Industries NV |
| (96 | ) | (7,060 | ) | 256 |
| 3.5 | % | ||
Rockwell Automation Inc |
| (33 | ) | (7,058 | ) | 256 |
| 3.5 | % | ||
Cummins Inc |
| (35 | ) | (7,043 | ) | 256 |
| 3.5 | % | ||
Sherwin-Williams Co/The |
| (12 | ) | (6,979 | ) | 253 |
| 3.5 | % | ||
Dollar General Corp |
| (42 | ) | (6,978 | ) | 253 |
| 3.5 | % | ||
WW Grainger Inc |
| (22 | ) | (6,958 | ) | 253 |
| 3.5 | % | ||
Amgen Inc |
| (33 | ) | (6,956 | ) | 253 |
| 3.5 | % | ||
PACCAR Inc |
| (88 | ) | (6,900 | ) | 250 |
| 3.4 | % | ||
Apple Inc |
| (60 | ) | (6,839 | ) | 248 |
| 3.4 | % | ||
Zillow Group Inc |
| (58 | ) | (6,580 | ) | 239 |
| 3.3 | % | ||
|
|
|
| $ | (199,913 | ) | $ | 7,259 |
|
|
|
Accrued Net Interest Receivable/(Payable) |
|
|
|
|
| (159 | ) |
|
| ||
|
|
|
|
|
| $ | 7,100 |
|
|
|
See Notes to Consolidated Schedule of Investments
Reference Entity |
| Shares |
| Notional |
| Unrealized |
| Component |
| ||
JPCR224 |
|
|
|
|
|
|
|
|
| ||
Walgreens Boots Alliance Inc |
| (120 | ) | $ | (5,910 | ) | $ | 148 |
| 3.0 | % |
Rockwell Automation Inc |
| (24 | ) | (5,882 | ) | 148 |
| 3.0 | % | ||
Automatic Data Processing Inc |
| (36 | ) | (5,806 | ) | 146 |
| 3.0 | % | ||
Arista Networks Inc |
| (19 | ) | (5,796 | ) | 145 |
| 3.0 | % | ||
3M Co |
| (34 | ) | (5,776 | ) | 145 |
| 2.9 | % | ||
Cisco Systems Inc/Delaware |
| (131 | ) | (5,699 | ) | 143 |
| 2.9 | % | ||
Cintas Corp |
| (18 | ) | (5,695 | ) | 143 |
| 2.9 | % | ||
Clorox Co/The |
| (28 | ) | (5,690 | ) | 143 |
| 2.9 | % | ||
Stanley Black & Decker Inc |
| (33 | ) | (5,683 | ) | 143 |
| 2.9 | % | ||
Align Technology Inc |
| (11 | ) | (5,680 | ) | 143 |
| 2.9 | % | ||
Cognizant Technology Solutions Corp |
| (74 | ) | (5,669 | ) | 142 |
| 2.9 | % | ||
Caterpillar Inc |
| (32 | ) | (5,651 | ) | 142 |
| 2.9 | % | ||
LyondellBasell Industries NV |
| (67 | ) | (5,645 | ) | 142 |
| 2.9 | % | ||
Eaton Corp PLC |
| (49 | ) | (5,640 | ) | 142 |
| 2.9 | % | ||
International Paper Co |
| (114 | ) | (5,635 | ) | 141 |
| 2.9 | % | ||
Motorola Solutions Inc |
| (34 | ) | (5,618 | ) | 141 |
| 2.9 | % | ||
Agilent Technologies Inc |
| (48 | ) | (5,610 | ) | 141 |
| 2.9 | % | ||
Emerson Electric Co |
| (72 | ) | (5,606 | ) | 141 |
| 2.9 | % | ||
WW Grainger Inc |
| (16 | ) | (5,597 | ) | 140 |
| 2.9 | % | ||
ANSYS Inc |
| (16 | ) | (5,592 | ) | 140 |
| 2.9 | % | ||
CVS Health Corp |
| (80 | ) | (5,585 | ) | 140 |
| 2.8 | % | ||
Estee Lauder Cos Inc/The |
| (24 | ) | (5,581 | ) | 140 |
| 2.8 | % | ||
Fidelity National Information Services I |
| (46 | ) | (5,573 | ) | 140 |
| 2.8 | % | ||
Pfizer Inc |
| (158 | ) | (5,567 | ) | 140 |
| 2.8 | % | ||
United Parcel Service Inc |
| (37 | ) | (5,555 | ) | 139 |
| 2.8 | % | ||
Church & Dwight Co Inc |
| (67 | ) | (5,551 | ) | 139 |
| 2.8 | % | ||
Fastenal Co |
| (124 | ) | (5,541 | ) | 139 |
| 2.8 | % | ||
Sherwin-Williams Co/The |
| (8 | ) | (5,531 | ) | 139 |
| 2.8 | % | ||
Cummins Inc |
| (24 | ) | (5,495 | ) | 138 |
| 2.8 | % | ||
Dollar General Corp |
| (29 | ) | (5,463 | ) | 137 |
| 2.8 | % | ||
Amgen Inc |
| (23 | ) | (5,401 | ) | 136 |
| 2.8 | % | ||
PACCAR Inc |
| (60 | ) | (5,396 | ) | 135 |
| 2.8 | % | ||
Kroger Co/The |
| (159 | ) | (5,384 | ) | 135 |
| 2.7 | % | ||
Apple Inc |
| (41 | ) | (5,333 | ) | 134 |
| 2.7 | % | ||
Fox Corp |
| (169 | ) | (5,164 | ) | 130 |
| 2.6 | % | ||
|
|
|
| $ | (196,000 | ) | $ | 4,920 |
|
|
|
Accrued Net Interest Receivable/(Payable) |
|
|
|
|
| (63 | ) |
|
| ||
|
|
|
|
|
| $ | 4,857 |
|
|
|
Reference Entity |
| Shares |
| Notional |
| Unrealized |
| Component |
| ||
JPCR225 |
|
|
|
|
|
|
|
|
| ||
HCA Healthcare Inc |
| (104 | ) | $ | (14,509 | ) | $ | 86 |
| 7.4 | % |
Align Technology Inc |
| (32 | ) | (14,455 | ) | 86 |
| 7.4 | % | ||
Cognizant Technology Solutions Corp |
| (215 | ) | (14,353 | ) | 85 |
| 7.3 | % | ||
Zillow Group Inc |
| (128 | ) | (14,350 | ) | 85 |
| 7.3 | % | ||
ANSYS Inc |
| (47 | ) | (14,243 | ) | 85 |
| 7.3 | % | ||
Agilent Technologies Inc |
| (138 | ) | (14,183 | ) | 85 |
| 7.2 | % | ||
Fidelity National Information Services I |
| (133 | ) | (14,128 | ) | 84 |
| 7.2 | % | ||
Arista Networks Inc |
| (54 | ) | (14,107 | ) | 84 |
| 7.2 | % | ||
Pfizer Inc |
| (456 | ) | (14,041 | ) | 84 |
| 7.2 | % | ||
Motorola Solutions Inc |
| (95 | ) | (13,695 | ) | 82 |
| 7.0 | % | ||
Cisco Systems Inc/Delaware |
| (358 | ) | (13,678 | ) | 82 |
| 7.0 | % | ||
Sherwin-Williams Co/The |
| (23 | ) | (13,519 | ) | 81 |
| 6.9 | % | ||
Amgen Inc |
| (65 | ) | (13,484 | ) | 80 |
| 6.9 | % | ||
Apple Inc |
| (115 | ) | (13,025 | ) | 78 |
| 6.7 | % | ||
|
|
|
| $ | (195,770 | ) | $ | 1,167 |
|
|
|
Accrued Net Interest Receivable/(Payable) |
|
|
|
|
| |
|
|
| ||
|
|
|
|
|
| $ | 1,167 |
|
|
|
See Notes to Consolidated Schedule of Investments
Reference Entity |
| Shares |
| Notional |
| Unrealized |
| Component |
| ||
JPCR226 |
|
|
|
|
|
|
|
|
| ||
Micron Technology Inc |
| (185 | ) | $ | (14,293 | ) | $ | 160 |
| 7.2 | % |
Mettler-Toledo International Inc |
| (12 | ) | (14,282 | ) | 160 |
| 7.2 | % | ||
Arista Networks Inc |
| (47 | ) | (14,231 | ) | 159 |
| 7.2 | % | ||
Walgreens Boots Alliance Inc |
| (286 | ) | (14,193 | ) | 159 |
| 7.2 | % | ||
Cognizant Technology Solutions Corp |
| (184 | ) | (14,142 | ) | 158 |
| 7.2 | % | ||
CVS Health Corp |
| (200 | ) | (14,126 | ) | 158 |
| 7.2 | % | ||
Motorola Solutions Inc |
| (86 | ) | (14,123 | ) | 158 |
| 7.2 | % | ||
Zillow Group Inc |
| (110 | ) | (14,110 | ) | 158 |
| 7.1 | % | ||
Fidelity National Information Services I |
| (116 | ) | (14,102 | ) | 158 |
| 7.1 | % | ||
Cisco Systems Inc/Delaware |
| (320 | ) | (14,075 | ) | 157 |
| 7.1 | % | ||
Dollar General Corp |
| (73 | ) | (13,995 | ) | 157 |
| 7.1 | % | ||
ANSYS Inc |
| (40 | ) | (13,979 | ) | 156 |
| 7.1 | % | ||
Realty Income Corp |
| (239 | ) | (13,924 | ) | 156 |
| 7.1 | % | ||
Apple Inc |
| (106 | ) | (13,779 | ) | 154 |
| 7.0 | % | ||
|
|
|
| $ | (197,354 | ) | $ | 2,208 |
|
|
|
Accrued Net Interest Receivable/(Payable) |
|
|
|
|
| |
|
|
| ||
|
|
|
|
|
| $ | 2,208 |
|
|
| |
|
|
|
|
|
|
|
|
|
| ||
Total Return Basket Swaps, at value |
|
|
|
|
| $ | 55,526 |
|
|
|
(b) | The Fund receives a specified rate based on a reference rate (e.g. LIBOR) plus or minus a spread, and pays the total return on the reference entity. The cash flows may be denominated in various foreign currencies based on the local currencies of the positions within the swaps. |
(c) | Effective rate at January 31, 2021. |
At January 31, 2021, the Fund had cash collateral of $2,040,000, $1,290,000 and $1,094,843 deposited in a segregated account for JPMorgan Chase Bank, NA, Morgan Stanley Capital Services LLC and Societe Generale, respectively, to cover collateral requirements on over the counter derivatives.
Abbreviations |
|
|
|
BBSW | Australian Bank-Bill Swap Reference Rate |
CDOR | Canadian Dollar Offered Rate |
EONIA | Euro Overnight Index Average Rate |
EURIBOR | Euro Interbank Offered Rate |
FEDEF | Federal Funds Floating Rate |
JPM | JPMorgan Chase Bank, NA |
LIBOR | London Interbank Offered Rate |
MS | Morgan Stanley Capital Services LLC |
NIBOR | Norway Interbank Offered Rate |
SARON | Swiss Average Overnight Rate |
SG | Societe Generale |
SONIA | Sterling Overnight Index Average Rate |
STIBOR | Stockholm Interbank Offered Rate |
T | Termination Date |
1D | One Day |
1M | One Month |
1W | One Week |
See Notes to Consolidated Schedule of Investments
Currency Abbreviations | |
AUD | Australian Dollar |
BRL | Brazilian Real |
CAD | Canadian Dollar |
CHF | Swiss Franc |
CLP | Chilean Peso |
EUR | Euro |
GBP | Pound Sterling |
HKD | Hong Kong Dollar |
HUF | Hungarian Forint |
ILS | Israeli New Shekel |
INR | Indian Rupee |
JPY | Japanese Yen |
KRW | Korean Won |
MXN | Mexican Peso |
NOK | Norwegian Krone |
NZD | New Zealand Dollar |
PHP | Philippine Peso |
PLN | Poland Zloty |
SEK | Swedish Krona |
SGD | Singapore Dollar |
THB | Thailand Baht |
TRY | Turkish Lira |
USD | United States Dollar |
ZAR | South African Rand |
LONG POSITIONS BY COUNTRY
Country |
| Investments at |
| Percentage of |
| |
United States |
| $ | 37,561,236 |
| 44.3 | % |
Cayman Islands |
| 3,915,817 |
| 4.6 | % | |
Bermuda |
| 2,069,936 |
| 2.4 | % | |
China |
| 1,072,546 |
| 1.3 | % | |
Switzerland |
| 711,300 |
| 0.8 | % | |
Germany |
| 685,734 |
| 0.8 | % | |
Canada |
| 631,987 |
| 0.7 | % | |
United Kingdom |
| 441,718 |
| 0.5 | % | |
Netherlands |
| 339,320 |
| 0.4 | % | |
Argentina |
| 225,998 |
| 0.3 | % | |
Hong Kong |
| 198,973 |
| 0.2 | % | |
Russia |
| 167,373 |
| 0.2 | % | |
South Korea |
| 148,777 |
| 0.2 | % | |
Spain |
| 139,672 |
| 0.2 | % | |
Luxembourg |
| 134,381 |
| 0.2 | % | |
Jordan |
| 56,418 |
| 0.1 | % | |
India |
| 41,732 |
| 0.0 | %(a) | |
Mexico |
| 29,410 |
| 0.0 | %(a) | |
Brazil |
| 16,195 |
| 0.0 | %(a) | |
Israel |
| 6,043 |
| 0.0 | %(a) | |
Sweden |
| 4,400 |
| 0.0 | %(a) | |
France |
| 2,442 |
| 0.0 | %(a) | |
Short-Term Investments and Other Assets-Net |
| 42,531,404 |
| 50.2 | % | |
Short Positions (See summary below) |
| (6,253,782 | ) | (7.4 | )% | |
|
| $ | 84,879,030 |
| 100.0 | % |
SHORT POSITIONS BY COUNTRY
Country |
| Investments at |
| Percentage of |
| |
United States |
| $ | (5,726,778 | ) | (6.8 | )% |
Canada |
| (279,924 | ) | (0.3 | )% | |
United Kingdom |
| (247,080 | ) | (0.3 | )% | |
Total Short Positions |
| $ | (6,253,782 | ) | (7.4 | )% |
(a) | Represents less than 0.05% of net assets of the Fund. |
See Notes to Consolidated Schedule of Investments
The following is a summary, categorized by Level (See Notes to Consolidated Schedule of Investments), of inputs used to value the Funds investments as of January 31, 2021:
Asset Valuation Inputs |
| Level 1 |
| Level 2 |
| Level 3* |
| Total |
| ||||
Investments: |
|
|
|
|
|
|
|
|
| ||||
Common Stocks |
|
|
|
|
|
|
|
|
| ||||
Airlines |
| $ | 10,697 |
| $ | |
| $ | 575 |
| $ | 11,272 |
|
Banks |
| 752,692 |
| 2,442 |
| |
| 755,134 |
| ||||
Communications Equipment |
| 464,596 |
| |
| 1,895 |
| 466,491 |
| ||||
Food & Staples Retailing |
| 45,605 |
| 97,094 |
| |
| 142,699 |
| ||||
Food Products |
| 128,261 |
| 259,279 |
| |
| 387,540 |
| ||||
Health Care Equipment & Supplies |
| 1,640,522 |
| |
| |
| 1,640,522 |
| ||||
Health Care Providers & Services |
| 533,532 |
| 28,877 |
| |
| 562,409 |
| ||||
Industrial Conglomerates |
| |
| 26,924 |
| |
| 26,924 |
| ||||
Insurance |
| 1,322,464 |
| 198,973 |
| |
| 1,521,437 |
| ||||
Interactive Media & Services |
| 1,010,325 |
| 337,820 |
| 335 |
| 1,348,480 |
| ||||
Internet & Direct Marketing Retail |
| 1,745,975 |
| 20,346 |
| 923,126 |
| 2,689,447 |
| ||||
Life Sciences Tools & Services |
| 163,677 |
| 134,381 |
| |
| 298,058 |
| ||||
Media |
| 184,412 |
| 65,238 |
| |
| 249,650 |
| ||||
Oil, Gas & Consumable Fuels |
| 10,404 |
| |
| 491 |
| 10,895 |
| ||||
Pharmaceuticals |
| 235,235 |
| 380,133 |
| |
| 615,368 |
| ||||
Professional Services |
| 437,008 |
| 407,335 |
| |
| 844,343 |
| ||||
Semiconductors & Semiconductor Equipment |
| 1,526,826 |
| |
| |
| 1,526,826 |
| ||||
Software |
| 2,563,551 |
| 195,408 |
| |
| 2,758,959 |
| ||||
Specialty Retail |
| 147,021 |
| 53,302 |
| 24,960 |
| 225,283 |
| ||||
Technology Hardware, Storage & Peripherals |
| 513,279 |
| 148,777 |
| |
| 662,056 |
| ||||
Textiles, Apparel & Luxury Goods |
| 894,739 |
| 231,151 |
| |
| 1,125,890 |
| ||||
Trading Companies & Distributors |
| |
| 185,707 |
| |
| 185,707 |
| ||||
Other Common Stocks(a) |
| 12,722,360 |
| |
| |
| 12,722,360 |
| ||||
Total Common Stocks |
| 27,053,181 |
| 2,773,187 |
| 951,382 |
| 30,777,750 |
| ||||
Commercial Mortgage-Backed Securities |
| |
| 6,399,186 |
| |
| 6,399,186 |
| ||||
Asset-Backed Securities |
| |
| 5,617,697 |
| |
| 5,617,697 |
| ||||
Collateralized Mortgage Obligations |
| |
| 5,152,470 |
| |
| 5,152,470 |
| ||||
Rights |
|
|
|
|
|
|
|
|
| ||||
Biotechnology |
| |
| |
| 208,489 |
| 208,489 |
| ||||
Media |
| |
| |
| |
| |
| ||||
Metals & Mining |
| 30,492 |
| |
| |
| 30,492 |
| ||||
Pharmaceuticals |
| |
| |
| 4,551 |
| 4,551 |
| ||||
Total Rights |
| 30,492 |
| |
| 213,040 |
| 243,532 |
| ||||
Warrants |
|
|
|
|
|
|
|
|
| ||||
Capital Markets |
| 6,946 |
| 9,115 |
| |
| 16,061 |
| ||||
Oil, Gas & Consumable Fuels |
| |
| |
| 142,455 |
| 142,455 |
| ||||
Total Warrants |
| 6,946 |
| 9,115 |
| 142,455 |
| 158,516 |
| ||||
Convertible Preferred Stocks(a) |
| 94,468 |
| |
| |
| 94,468 |
| ||||
Preferred Stocks(a) |
| 52,750 |
| |
| |
| 52,750 |
| ||||
Convertible Bonds(a) |
| |
| 39,847 |
| |
| 39,847 |
| ||||
Master Limited Partnerships and Limited Partnerships(a) |
| 33,466 |
| |
| |
| 33,466 |
| ||||
See Notes to Consolidated Schedule of Investments
Asset Valuation Inputs (contd) |
| Level 1 |
| Level 2 |
| Level 3* |
| Total |
| ||||
Loan Assignments |
|
|
|
|
|
|
|
|
| ||||
Media |
| |
| |
| 8,516 |
| 8,516 |
| ||||
Oil, Gas & Consumable Fuels |
| |
| |
| 23,210 |
| 23,210 |
| ||||
Total Loan Assignments |
| |
| |
| 31,726 |
| 31,726 |
| ||||
Corporate Bonds(a) |
| |
| |
| |
| |
| ||||
Short-Term Investments |
| |
| 32,139,472 |
| |
| 32,139,472 |
| ||||
Total Long Positions |
| $ | 27,271,303 |
| $ | 52,130,974 |
| $ | 1,338,603 |
| $ | 80,740,880 |
|
(a) The Consolidated Schedule of Investments provides information on the industry or sector categorization for the portfolio.
* The following is a reconciliation between the beginning and ending balances of investments in which unobservable inputs (Level 3) were used in determining value:
|
| Common |
| Corporate |
| Loan |
| Rights(a)(b) |
| Warrants(a) |
| Total |
| ||||||
Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
Investments in Securities: |
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
Beginning Balance as of November 1, 2020 |
| $ | 1,363,663 |
| $ | |
| $ | 172,558 |
| $ | 213,040 |
| $ | 181,809 |
| $ | 1,931,070 |
|
Transfers into Level 3 |
| 7,758 |
| |
| 23,210 |
| |
| |
| 30,968 |
| ||||||
Transfers out of Level 3 |
| |
| |
| |
| |
| |
| |
| ||||||
Accrued discounts/(premiums) |
| |
| |
| 2,544 |
| |
| |
| 2,544 |
| ||||||
Realized gain/(loss) |
| (97,646 | ) | |
| 586 |
| |
| (148,609 | ) | (245,669 | ) | ||||||
Change in unrealized appreciation/(depreciation) |
| 92,489 |
| |
| (107,695 | ) | |
| 109,255 |
| 94,049 |
| ||||||
Purchases |
| 103,151 |
| |
| 1,054 |
| |
| 151,499 |
| 255,704 |
| ||||||
Sales |
| (518,033 | ) | |
| (60,531 | ) | |
| (151,499 | ) | (730,063 | ) | ||||||
Balance as of January 31, 2021 |
| $ | 951,382 |
| $ | |
| $ | 31,726 |
| $ | 213,040 |
| $ | 142,455 |
| $ | 1,338,603 |
|
Net change in unrealized appreciation/(depreciation) on investments still held as of January 31, 2021 |
| $ | 92,489 |
| $ | |
| $ | (107,157 | ) | $ | |
| $ | 109,255 |
| $ | 94,587 |
|
(a) As of the period ended January 31, 2021, these securities were fair valued in accordance with procedures approved by the Board of Trustees. These investments did not have a material impact on the Funds net assets; therefore, disclosure of unobservable inputs used in formulating valuations is not presented.
(b) These securities were valued based on a single quotation obtained from a dealer. The Fund does not have access to unobservable inputs and therefore cannot disclose such inputs used in formulating such quotation.
The following is a summary, categorized by Level (See Notes to Consolidated Schedule of Investments), of inputs used to value the Funds short investments as of January 31, 2021:
Liability Valuation Inputs |
| Level 1 |
| Level 2 |
| Level 3 |
| Total |
| ||||
Investments: |
|
|
|
|
|
|
|
|
| ||||
Common Stocks Sold Short(a) |
| $ | (6,253,782 | ) | $ | |
| $ | |
| $ | (6,253,782 | ) |
Total Short Positions |
| $ | (6,253,782 | ) | $ | |
| $ | |
| $ | (6,253,782 | ) |
(a) The Consolidated Schedule of Investments provides information on the industry or sector categorization for the portfolio.
See Notes to Consolidated Schedule of Investments
The following is a summary, categorized by level (See Notes to Consolidated Schedule of Investments), of inputs used to value the Funds derivatives as of January 31, 2021:
Other Financial Instruments |
| Level 1 |
| Level 2 |
| Level 3 |
| Total |
| ||||
Futures(a) |
|
|
|
|
|
|
|
|
| ||||
Assets |
| $ | 224,979 |
| $ | |
| $ | |
| $ | 224,979 |
|
Liabilities |
| (183,391 | ) | |
| |
| (183,391 | ) | ||||
Forward contracts(a) |
|
|
|
|
|
|
|
|
| ||||
Assets |
| |
| 271,667 |
| |
| 271,667 |
| ||||
Liabilities |
| |
| (243,114 | ) | |
| (243,114 | ) | ||||
Swaps |
|
|
|
|
|
|
|
|
| ||||
Assets |
| |
| 1,325,875 |
| |
| 1,325,875 |
| ||||
Liabilities |
| |
| (917,189 | ) | |
| (917,189 | ) | ||||
Total |
| $ | 41,588 |
| $ | 437,239 |
| $ | |
| $ | 478,827 |
|
(a) Futures and forward contracts are reported at the cumulative unrealized appreciation/(depreciation) of the instrument.
^ A balance indicated with a -, reflects either a zero balance or an amount that rounds to less than 1.
See Notes to Consolidated Schedule of Investments
January 31, 2021
Notes to Consolidated Schedule of Investments Absolute Return Multi-Manager Fund (Unaudited)
In accordance with Accounting Standards Codification 820 Fair Value Measurement (ASC 820), all investments held by Neuberger Berman Absolute Return Multi-Manager Fund (the Fund) are carried at the value that Neuberger Berman Investment Advisers LLC (Management) believes the Fund would receive upon selling an investment in an orderly transaction to an independent buyer in the principal or most advantageous market for the investment under current market conditions. Various inputs, including the volume and level of activity for the asset or liability in the market, are considered in valuing the Funds investments, some of which are discussed below. Significant Management judgment may be necessary to value investments in accordance with ASC 820.
ASC 820 established a three-tier hierarchy of inputs to create a classification of value measurements for disclosure purposes. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below.
· Level 1 unadjusted quoted prices in active markets for identical investments
· Level 2 other observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, amortized cost, etc.)
· Level 3 unobservable inputs (including the Funds own assumptions in determining the fair value of investments)
The inputs or methodology used for valuing an investment are not necessarily an indication of the risk associated with investing in those securities.
The value of the Funds investments (long and short positions) in equity securities, preferred stocks, convertible preferred stocks, master limited partnerships, rights and warrants, for which market quotations are readily available, is generally determined by Management by obtaining valuations from independent pricing services based on the latest sale price quoted on a principal exchange or market for that security (Level 1 inputs). Securities traded primarily on the NASDAQ Stock Market are normally valued at the NASDAQ Official Closing Price (NOCP) provided by NASDAQ each business day. The NOCP is the most recently reported price as of 4:00:02 p.m., Eastern Time, unless that price is outside the range of the inside bid and asked prices (i.e., the bid and asked prices that dealers quote to each other when trading for their own accounts); in that case, NASDAQ will adjust the price to equal the inside bid or asked price, whichever is closer. Because of delays in reporting trades, the NOCP may not be based on the price of the last trade to occur before the market closes. If there is no sale of a security on a particular day, the independent pricing services may value the security based on market quotations.
The value of the Funds investments for long and short positions in debt securities is determined by Management primarily by obtaining valuations from independent pricing services based on readily available bid or offer quotations, or if quotations are not available, by methods which include various considerations based on security type (generally Level 2 inputs). In addition to the consideration of yields or prices of securities of comparable quality, coupon, maturity and type, indications as to values from dealers, and general market conditions, the following is a description of other Level 2 inputs and related valuation techniques used by independent pricing services to value certain types of debt securities held by the Fund:
Corporate Bonds. Inputs used to value corporate debt securities generally include relative credit information, observed market movements, sector news, U.S. Treasury yield curve or relevant benchmark curve, and other market information, which may include benchmark yield curves, reported trades, broker-dealer quotes, issuer spreads, comparable securities, and reference data, such as market research publications, when available (Other Market Information).
Asset-Backed Securities and Mortgage-Backed Securities. Inputs used to value asset-backed securities and mortgage-backed securities generally include models that consider a number of factors, which may include the following: prepayment speeds, cash flows, spread adjustments and Other Market Information.
High Yield Securities. Inputs used to value high yield securities generally include a number of observations of equity and credit default swap curves related to the issuer and Other Market Information.
Convertible Bonds. Inputs used to value convertible bonds generally include underlying stock data, conversion premiums, listed bond and preferred stock prices and Other Market Information, which may include benchmark curves, trade execution data, and sensitivity analysis, when available.
The value of loan assignments is determined by Management primarily by obtaining valuations from independent pricing services based on broker quotes (generally Level 2 or Level 3 inputs depending on the number of quotes available).
The value of futures contracts is determined by Management by obtaining valuations from independent pricing services at the settlement price at the market close (Level 1 inputs).
The value of forward contracts is determined by Management by obtaining valuations from independent pricing services based on actual traded currency rates on independent pricing services networks, along with other traded and quoted currency rates provided to the pricing services by leading market participants (Level 2 inputs).
For information on the Funds significant accounting policies, please refer to the Funds most recent shareholder reports.
Notes to Consolidated Schedule of Investments Absolute Return Multi-Manager Fund (Unaudited) (contd)
The value of equity swaps and total return basket swaps is determined by Management by obtaining valuations from independent pricing services using the underlying asset and stated benchmark index rate (Level 2 inputs).
Management has developed a process to periodically review information provided by independent pricing services for all types of securities.
Investments in non-exchange traded investment companies with readily determinable far value are valued using the respective funds daily calculated net asset value per share (Level 2 inputs).
If a valuation is not available from an independent pricing service, or if Management has reason to believe that the valuation received does not represent the amount the Fund might reasonably expect to receive on a current sale in an orderly transaction, Management seeks to obtain quotations from brokers or dealers (generally considered Level 2 or Level 3 inputs depending on the number of quotes available). If such quotations are not readily available, the security is valued using methods the Board has approved in the good-faith belief that the resulting valuation will reflect the fair value of the security. Inputs and assumptions considered in determining the fair value of a security based on Level 2 or Level 3 inputs may include, but are not limited to, the type of the security; the initial cost of the security; the existence of any contractual restrictions on the securitys disposition; the price and extent of public trading in similar securities of the issuer or of comparable companies; quotations or evaluated prices from broker-dealers and/or pricing services; information obtained from the issuer and/or analysts; an analysis of the companys or issuers financial statements; an evaluation of the inputs that influence the issuer and the market(s) in which the security is purchased and sold.
The value of the Funds investments in foreign securities is generally determined using the same valuation methods and inputs as other Fund investments, as discussed above. Foreign security prices expressed in local currency values are normally translated from the local currency into U.S. dollars using the exchange rates as of 4:00 p.m., Eastern Time on days the New York Stock Exchange is open for business. The Board has approved the use of ICE Data Pricing & Reference Data LLC (ICE) to assist in determining the fair value of foreign equity securities when changes in the value of a certain index suggest that the closing prices on the foreign exchanges may no longer represent the amount that the Fund could expect to receive for those securities or on days when foreign markets are closed and U.S. markets are open. In each of these events, ICE will provide adjusted prices for certain foreign equity securities using a statistical analysis of historical correlations of multiple factors (Level 2 inputs). The Board has also approved the use of ICE to evaluate the prices of foreign debt securities as of the time as of which the Funds share price is calculated. ICE utilizes benchmark spread and yield curves and evaluates available market activity from the local close to the time as of which the Funds share price is calculated (Level 2 inputs) to assist in determining prices for certain foreign debt securities. In the case of both foreign equity and foreign debt securities, in the absence of precise information about the market values of these foreign securities as of the time as of which the Funds share price is calculated, the Board has determined on the basis of available data that prices adjusted or evaluated in this way are likely to be closer to the prices the Fund could realize on a current sale than are the prices of those securities established at the close of the foreign markets in which the securities primarily trade.
Fair value prices are necessarily estimates, and there is no assurance that such a price will be at or close to the price at which the security is next quoted or next trades.
The Fund invests in commodity-related instruments through Neuberger Berman Cayman ARMM Fund I Ltd. (the Subsidiary), which is organized under the laws of the Cayman Islands. The Fund is and expects to remain the sole shareholder of the Subsidiary. The Subsidiary is governed by its own Board of Directors. As of January 31, 2021, the Funds investment in the Subsidiary was $9,297,135, which represents 11.0% of the Funds net assets.
In March 2020, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update No. 2020-04 (ASU 2020-04), Reference Rate Reform (Topic 848). In response to concerns about structural risks of interbank offered rates, and particularly the risk of cessation of LIBOR, regulators have undertaken reference rate reform initiatives to identify alternative reference rates that are more observable or transaction based and less susceptible to manipulation. ASU 2020-04 provides optional guidance for a limited period of time to ease the potential burden in accounting for (or recognizing the effects of) reference rate reform on financial reporting. ASU 2020-04 is elective and applies to all entities, subject to meeting certain criteria, that have contracts, hedging relationships, and other transactions that reference LIBOR or another reference rate expected to be discontinued because of reference rate reform. The amendments are effective as of March 12, 2020 through December 31, 2022. Management is currently evaluating the impact of the guidance.
Other mattersCoronavirus: The outbreak of the novel coronavirus in many countries, which is a rapidly evolving situation, has, among other things, disrupted global travel and supply chains, and has adversely impacted global commercial activity, the transportation industry and commodity prices in the energy sector. The impact of this virus has negatively affected and may continue to affect the economies of many nations, individual companies and the global securities and commodities markets, including liquidity and volatility, in ways that cannot necessarily be foreseen at the present time. The rapid development and fluidity of this situation precludes any prediction as to its ultimate impact, which may have a continued adverse effect on economic and market conditions and trigger a period of global economic slowdown. Such conditions (which may be across industries, sectors or geographies) have impacted and may continue to impact the issuers of the securities held by the Fund.
For information on the Funds significant accounting policies, please refer to the Funds most recent shareholder reports.
Consolidated Schedule of Investments Commodity Strategy Fund^
(Unaudited) January 31, 2021
PRINCIPAL |
|
|
| VALUE |
| ||
|
|
|
|
|
| ||
U.S. Treasury Obligations 5.7% |
|
|
| ||||
$ | 7,000,000 |
| U.S. Treasury Bill, 0.08%, due 4/1/2021 (Cost $6,999,134) |
| $ | 6,999,355 | (a) |
Asset-Backed Securities 20.0% |
|
|
| ||||
1,000,000 |
| American Express Credit Account Master Trust, Ser. 2017-5, Class A, (1M USD LIBOR + 0.38)%, 0.51%, due 2/18/2025 |
| 1,004,691 | (b) | ||
2,000,000 |
| Citibank Credit Card Issuance Trust, Ser. 2017-A7, Class A7, (1M USD LIBOR + 0.37)%, 0.50%, due 8/8/2024 |
| 2,009,583 | (b) | ||
|
| Ford Credit Auto Lease Trust |
|
|
| ||
723,192 |
| Ser. 2020-B, Class A2A, 0.50%, due 12/15/2022 |
| 724,175 |
| ||
1,290,000 |
| Ser. 2021-A, Class A2, 0.19%, due 7/15/2023 |
| 1,290,065 |
| ||
|
| Ford Credit Auto Owner Trust |
|
|
| ||
255,341 |
| Ser. 2020-A, Class A2, 1.03%, due 10/15/2022 |
| 255,982 |
| ||
516,737 |
| Ser. 2020-B, Class A2, 0.50%, due 2/15/2023 |
| 517,362 |
| ||
55,461 |
| GM Financial Automobile Leasing Trust, Ser. 2019-3, Class A2B, (1M USD LIBOR + 0.27)%, 0.40%, due 10/20/2021 |
| 55,467 | (b) | ||
|
| GM Financial Consumer Automobile Receivables Trust |
|
|
| ||
148,132 |
| Ser. 2020-1, Class A2, 1.83%, due 1/17/2023 |
| 148,613 |
| ||
1,359,284 |
| Ser. 2020-3, Class A2, 0.35%, due 7/17/2023 |
| 1,360,450 |
| ||
980,000 |
| Ser. 2021-1, Class A2, 0.23%, due 11/16/2023 |
| 980,231 |
| ||
|
| Golden Credit Card Trust |
|
|
| ||
910,000 |
| Ser. 2019-2A, Class A, (1M USD LIBOR + 0.35)%, 0.48%, due 10/15/2023 |
| 911,313 | (b)(c) | ||
1,000,000 |
| Ser. 2017-4A, Class A, (1M USD LIBOR + 0.52)%, 0.65%, due 7/15/2024 |
| 1,005,806 | (b)(c) | ||
|
| Hyundai Auto Lease Securitization Trust |
|
|
| ||
1,284,424 |
| Ser. 2020-A, Class A2, 1.90%, due 5/16/2022 |
| 1,289,605 | (c) | ||
1,190,000 |
| Ser. 2020-B, Class A2, 0.36%, due 1/17/2023 |
| 1,191,357 | (c) | ||
|
| Mercedes-Benz Auto Lease Trust |
|
|
| ||
1,140,000 |
| Ser. 2020-B, Class A2, 0.31%, due 2/15/2023 |
| 1,140,814 |
| ||
2,090,000 |
| Ser. 2021-A, Class A2, 0.18%, due 3/15/2023 |
| 2,089,962 |
| ||
|
| Navient Student Loan Trust |
|
|
| ||
446,934 |
| Ser. 2017-4A, Class A2, (1M USD LIBOR + 0.50)%, 0.63%, due 9/27/2066 |
| 448,183 | (b)(c) | ||
409,825 |
| Ser. 2019-7A, Class A1, (1M USD LIBOR + 0.50)%, 0.63%, due 1/25/2068 |
| 410,532 | (b)(c) | ||
428,913 |
| Ser. 2019-2A, Class A1, (1M USD LIBOR + 0.27)%, 0.40%, due 2/27/2068 |
| 428,885 | (b)(c) | ||
777,501 |
| Ser. 2019-4A, Class A1, (1M USD LIBOR + 0.28)%, 0.41%, due 7/25/2068 |
| 775,047 | (b)(c) | ||
80,371 |
| Nissan Auto Lease Trust, Ser. 2019-B, Class A2B, (1M USD LIBOR + 0.27)%, 0.40%, due 10/15/2021 |
| 80,408 | (b) | ||
1,150,000 |
| Santander Consumer Auto Receivables Trust, Ser. 2021-AA, Class A2, 0.23%, due 11/15/2023 |
| 1,150,163 | (c) | ||
723,996 |
| Tesla Auto Lease Trust, Ser. 2020-A, Class 2A, 0.55%, due 5/22/2023 |
| 725,700 | (c) | ||
|
| Verizon Owner Trust |
|
|
| ||
224,472 |
| Ser. 2018-1A, Class A1B, (1M USD LIBOR + 0.26)%, 0.39%, due 9/20/2022 |
| 224,550 | (b)(c) | ||
1,200,000 |
| Ser. 2019-C, Class A1B, (1M USD LIBOR + 0.42)%, 0.55%, due 4/22/2024 |
| 1,204,738 | (b) | ||
1,358,274 |
| Volkswagen Auto Loan Enhanced Trust, Ser. 2020-1, Class A2A, 0.93%, due 12/20/2022 |
| 1,361,578 |
| ||
2,000,000 |
| World Omni Auto Receivables Trust, Ser. 2020-C, Class A2, 0.35%, due 12/15/2023 |
| 2,002,327 |
| ||
| Total Asset-Backed Securities (Cost $24,753,602) |
| 24,787,587 |
| |||
See Notes to Schedule of Investments
PRINCIPAL |
|
|
| VALUE |
| ||
|
|
|
|
|
| ||
Corporate Bonds 53.8% |
|
|
| ||||
Agriculture 1.0% |
|
|
| ||||
$ | 1,170,000 |
| BAT Capital Corp., (3M USD LIBOR + 0.88)%, 1.10%, due 8/15/2022 |
| $ | 1,179,390 | (b) |
Auto Manufacturers 1.9% |
|
|
| ||||
680,000 |
| BMW U.S. Capital LLC, (3M USD LIBOR + 0.41)%, 0.63%, due 4/12/2021 |
| 680,518 | (b)(c) | ||
1,610,000 |
| Daimler Finance N.A. LLC, (3M USD LIBOR + 0.90)%, 1.12%, due 2/15/2022 |
| 1,622,043 | (b)(c) | ||
|
|
|
| 2,302,561 |
| ||
Banks 21.5% |
|
|
| ||||
|
| Bank of America Corp. |
|
|
| ||
690,000 |
| (3M USD LIBOR + 1.16)%, 1.38%, due 1/20/2023 |
| 696,807 | (b) | ||
895,000 |
| (3M USD LIBOR + 1.00)%, 1.22%, due 4/24/2023 |
| 904,277 | (b) | ||
775,000 |
| (3M USD LIBOR + 0.79)%, 1.02%, due 3/5/2024 |
| 782,727 | (b) | ||
1,475,000 |
| BB&T Corp., (3M USD LIBOR + 0.65)%, 0.89%, due 4/1/2022 Citigroup, Inc. |
| 1,483,543 | (b) | ||
375,000 |
| (3M USD LIBOR + 0.96)%, 1.18%, due 4/25/2022 |
| 378,761 | (b) | ||
1,585,000 |
| (3M USD LIBOR + 0.69)%, 0.90%, due 10/27/2022 |
| 1,596,638 | (b) | ||
330,000 |
| (3M USD LIBOR + 0.95)%, 1.17%, due 7/24/2023 |
| 333,159 | (b) | ||
2,527,000 |
| Goldman Sachs Group, Inc., (3M USD LIBOR + 1.60)%, 1.82%, due 11/29/2023 |
| 2,617,837 | (b) | ||
2,865,000 |
| Morgan Stanley, (SOFR + 0.70)%, 0.74%, due 1/20/2023 Royal Bank of Canada |
| 2,876,605 | (b) | ||
2,035,000 |
| (3M USD LIBOR + 0.47)%, 0.68%, due 4/29/2022 |
| 2,044,949 | (b) | ||
270,000 |
| (3M USD LIBOR + 0.36)%, 0.58%, due 1/17/2023 |
| 271,089 | (b) | ||
1,095,000 |
| Santander UK PLC, (3M USD LIBOR + 0.62)%, 0.85%, due 6/1/2021 |
| 1,097,078 | (b) | ||
2,105,000 |
| Sumitomo Mitsui Financial Group, Inc., (3M USD LIBOR + 1.11)%, 1.34%, due 7/14/2021 |
| 2,115,237 | (b) | ||
2,005,000 |
| Toronto-Dominion Bank, (SOFR + 0.48)%, 0.52%, due 1/27/2023 |
| 2,016,248 | (b) | ||
2,185,000 |
| U.S. Bank N.A., (3M USD LIBOR + 0.40)%, 0.63%, due 12/9/2022 |
| 2,196,790 | (b) | ||
2,645,000 |
| Wells Fargo & Co., (3M USD LIBOR + 1.11)%, 1.33%, due 1/24/2023 Westpac Banking Corp. |
| 2,668,592 | (b) | ||
1,835,000 |
| (3M USD LIBOR + 0.85)%, 1.08%, due 8/19/2021 |
| 1,843,226 | (b) | ||
640,000 |
| (3M USD LIBOR + 0.39)%, 0.61%, due 1/13/2023 |
| 643,347 | (b) | ||
|
|
|
| 26,566,910 |
| ||
Biotechnology 0.6% |
|
|
| ||||
765,000 |
| Gilead Sciences, Inc., (3M USD LIBOR + 0.52)%, 0.77%, due 9/29/2023 |
| 766,933 | (b) | ||
Diversified Financial Services 4.5% |
|
|
| ||||
705,000 |
| American Express Co., (3M USD LIBOR + 0.61)%, 0.82%, due 8/1/2022 |
| 709,273 | (b) | ||
2,820,000 |
| Capital One Financial Corp., (3M USD LIBOR + 0.95)%, 1.18%, due 3/9/2022 |
| 2,839,941 | (b) | ||
2,055,000 |
| Intercontinental Exchange, Inc., (3M USD LIBOR + 0.65)%, 0.87%, due 6/15/2023 |
| 2,060,836 | (b) | ||
|
|
|
| 5,610,050 |
| ||
See Notes to Schedule of Investments
PRINCIPAL |
|
|
| VALUE |
| ||
|
|
|
|
|
| ||
Electric 2.5% |
|
|
| ||||
$ | 980,000 |
| Duke Energy Florida LLC, Ser. A, (3M USD LIBOR + 0.25)%, 0.48%, due 11/26/2021 |
| $ | 981,500 | (b) |
1,435,000 |
| Florida Power & Light Co., (3M USD LIBOR + 0.38)%, 0.60%, due 7/28/2023 |
| 1,435,059 | (b) | ||
650,000 |
| Southern California Edison Co., (3M USD LIBOR + 0.27)%, 0.50%, due 12/3/2021 |
| 650,500 | (b) | ||
|
|
|
| 3,067,059 |
| ||
Electronics 0.7% |
|
|
| ||||
|
| Honeywell Intl, Inc. |
|
|
| ||
380,000 |
| (3M USD LIBOR + 0.37)%, 0.58%, due 8/8/2022 |
| 381,709 | (b) | ||
500,000 |
| (3M USD LIBOR + 0.23)%, 0.46%, due 8/19/2022 |
| 500,590 | (b) | ||
|
|
|
| 882,299 |
| ||
Gas 1.9% |
|
|
| ||||
1,785,000 |
| Dominion Energy Gas Holdings LLC, Ser. A, (3M USD LIBOR + 0.60)%, 0.82%, due 6/15/2021 |
| 1,788,499 | (b) | ||
585,000 |
| Southern California Gas Co., (3M USD LIBOR + 0.35)%, 0.57%, due 9/14/2023 |
| 585,130 | (b) | ||
|
|
|
| 2,373,629 |
| ||
Insurance 1.6% |
|
|
| ||||
2,025,000 |
| New York Life Global Funding, (3M USD LIBOR + 0.44)%, 0.66%, due 7/12/2022 |
| 2,035,397 | (b)(c) | ||
Machinery - Construction & Mining 1.6% |
|
|
| ||||
2,000,000 |
| Caterpillar Financial Services Corp., (3M USD LIBOR + 0.23)%, 0.45%, due 3/15/2021 |
| 2,000,634 | (b) | ||
Machinery - Diversified 1.1% |
|
|
| ||||
1,350,000 |
| Otis Worldwide Corp., (3M USD LIBOR + 0.45)%, 0.69%, due 4/5/2023 |
| 1,350,531 | (b) | ||
Media 1.0% |
|
|
| ||||
1,255,000 |
| Walt Disney Co., (3M USD LIBOR + 0.39)%, 0.62%, due 3/4/2022 |
| 1,260,068 | (b) | ||
Miscellaneous Manufacturer 1.1% |
|
|
| ||||
1,365,000 |
| General Electric Capital Corp., (3M USD LIBOR + 1.00)%, 1.22%, due 3/15/2023 |
| 1,376,874 | (b) | ||
Oil & Gas 1.3% |
|
|
| ||||
1,570,000 |
| BP Capital PLC, (3M USD LIBOR + 0.87)%, 1.09%, due 9/16/2021 |
| 1,577,681 | (b) | ||
Pharmaceuticals 7.7% |
|
|
| ||||
975,000 |
| AbbVie, Inc., (3M USD LIBOR + 0.65)%, 0.86%, due 11/21/2022 |
| 982,960 | (b) | ||
1,855,000 |
| AstraZeneca PLC, (3M USD LIBOR + 0.62)%, 0.85%, due 6/10/2022 |
| 1,867,375 | (b) | ||
2,540,000 |
| Bayer U.S. Finance II LLC, (3M USD LIBOR + 0.63)%, 0.88%, due 6/25/2021 |
| 2,544,822 | (b)(c) | ||
1,810,000 |
| Bristol-Myers Squibb Co., (3M USD LIBOR + 0.38)%, 0.60%, due 5/16/2022 |
| 1,816,608 | (b) | ||
870,000 |
| CVS Health Corp., (3M USD LIBOR + 0.72)%, 0.95%, due 3/9/2021 |
| 870,638 | (b) | ||
1,479,000 |
| GlaxoSmithKline Capital PLC, (3M USD LIBOR + 0.35)%, 0.57%, due 5/14/2021 |
| 1,480,459 | (b) | ||
|
|
|
| 9,562,862 |
| ||
Retail 0.7% |
|
|
| ||||
915,000 |
| 7-Eleven, Inc., (3M USD LIBOR + 0.45)%, 0.65%, due 8/10/2022 |
| 915,550 | (b)(c)(d) | ||
See Notes to Schedule of Investments
PRINCIPAL |
|
|
| VALUE |
| ||
|
|
|
|
|
| ||
Telecommunications 3.1% |
|
|
| ||||
|
| AT&T, Inc. |
|
|
| ||
$ | 2,000,000 |
| (3M USD LIBOR + 0.95)%, 1.19%, due 7/15/2021 |
| $ | 2,007,400 | (b) |
115,000 |
| (3M USD LIBOR + 0.89)%, 1.11%, due 2/15/2023 |
| 116,230 | (b) | ||
1,700,000 |
| Verizon Communications, Inc., (3M USD LIBOR + 1.00)%, 1.22%, due 3/16/2022 |
| 1,718,468 | (b) | ||
|
|
|
| 3,842,098 |
| ||
|
| Total Corporate Bonds (Cost $66,459,564) |
| 66,670,526 |
| ||
|
|
|
|
|
| ||
Number of Shares |
|
|
|
| |||
|
|
|
|
| |||
Short-Term Investments 14.9% |
|
|
| ||||
Investment Companies 14.9% |
|
|
| ||||
18,496,083 |
| State Street Institutional U.S. Government Money Market Fund Premier Class, 0.03%(e) (Cost $18,496,083) |
| 18,496,083 | (f) | ||
|
| Total Investments 94.4% (Cost $116,708,383) |
| 116,953,551 |
| ||
|
| Other Assets Less Liabilities 5.6% |
| 6,939,244 | (g) | ||
|
| Net Assets 100.0% |
| $ | 123,892,795 |
| |
(a) |
| Rate shown was the discount rate at the date of purchase. |
(b) |
| Variable or floating rate security. The interest rate shown was the current rate as of January 31, 2021 and changes periodically. |
(c) |
| Securities were purchased under Rule 144A of the Securities Act of 1933, as amended, or are otherwise restricted and, unless registered under the Securities Act of 1933 or exempted from registration, may only be sold to qualified institutional investors or may have other restrictions on resale. At January 31, 2021, these securities amounted to $16,359,471, which represents 13.2% of net assets of the Fund. |
(d) |
| When-issued security. Total value of all such securities at January 31, 2021 amounted to $915,550, which represents 0.7% of net assets of the Fund. |
(e) |
| Represents 7-day effective yield as of January 31, 2021. |
(f) |
| All or a portion of this security is segregated in connection with obligations for when-issued securities and/or futures with a total value of $18,496,083. |
(g) |
| Includes the impact of the Funds open positions in derivatives at January 31, 2021. |
See Notes to Schedule of Investments
POSITIONS BY COUNTRY
Country |
| Investments at |
| Percentage of |
| |
United States |
| $ | 75,556,887 |
| 61.1 | % |
United Kingdom |
| 7,201,983 |
| 5.8 | % | |
Canada |
| 6,249,405 |
| 5.0 | % | |
Germany |
| 4,847,383 |
| 3.9 | % | |
Australia |
| 2,486,573 |
| 2.0 | % | |
Japan |
| 2,115,237 |
| 1.7 | % | |
Short-Term Investments and Other Assets -Net |
| 25,435,327 |
| 20.5 | % | |
|
| $ | 123,892,795 |
| 100.0 | % |
See Notes to Schedule of Investments
Derivative Instruments
Futures contracts (futures)
At January 31, 2021, open positions in futures for the Fund were as follows:
Long Futures:
Expiration |
| Number of |
| Open Contracts |
| Notional |
| Value and |
| ||
3/2021 |
| 30 |
| Cattle Feeder |
| $ | 2,065,875 |
| $ | (43,939 | ) |
3/2021 |
| 88 |
| Low Sulphur Gasoil |
| 3,979,800 |
| 398,200 |
| ||
3/2021 |
| 113 |
| Lead |
| 5,717,800 |
| (58,895 | ) | ||
3/2021 |
| 48 |
| Nickel |
| 5,089,968 |
| 73,028 |
| ||
3/2021 |
| 3 |
| Palladium |
| 662,520 |
| (66,800 | ) | ||
3/2021 |
| 77 |
| Primary Aluminum |
| 3,788,169 |
| (127,695 | ) | ||
3/2021 |
| 91 |
| Zinc |
| 5,846,750 |
| (589,758 | ) | ||
4/2021 |
| 57 |
| Gold 100 Oz. |
| 10,546,710 |
| (406,980 | ) | ||
4/2021 |
| 86 |
| Lean Hogs |
| 2,636,760 |
| 308,395 |
| ||
4/2021 |
| 45 |
| Live Cattle |
| 2,193,300 |
| 80,395 |
| ||
4/2021 |
| 119 |
| Natural Gas |
| 3,084,480 |
| (118,575 | ) | ||
4/2021 |
| 116 |
| New York Harbor ULSD |
| 7,767,430 |
| 270,250 |
| ||
4/2021 |
| 91 |
| Platinum |
| 4,910,360 |
| 170,170 |
| ||
4/2021 |
| 103 |
| RBOB Gasoline |
| 7,156,069 |
| 267,477 |
| ||
5/2021 |
| 79 |
| Cocoa |
| 1,954,460 |
| (3,604 | ) | ||
5/2021 |
| 36 |
| Coffee C |
| 1,687,500 |
| 22,950 |
| ||
5/2021 |
| 70 |
| Copper |
| 6,223,875 |
| (256,599 | ) | ||
5/2021 |
| 71 |
| Cotton No.2 |
| 2,905,320 |
| 32,331 |
| ||
5/2021 |
| 28 |
| Silver |
| 3,773,420 |
| (33,880 | ) | ||
5/2021 |
| 110 |
| Sugar 11 |
| 1,857,856 |
| (4,334 | ) | ||
6/2021 |
| 133 |
| Brent Crude Oil |
| 7,255,150 |
| 747,460 |
| ||
6/2021 |
| 101 |
| WTI Crude Oil |
| 5,214,630 |
| 538,824 |
| ||
7/2021 |
| 486 |
| Corn |
| 13,036,950 |
| 1,098,937 |
| ||
7/2021 |
| 142 |
| Hard Red Winter Wheat |
| 4,535,125 |
| 238,295 |
| ||
7/2021 |
| 79 |
| Soybean |
| 5,327,562 |
| 57,723 |
| ||
7/2021 |
| 145 |
| Soybean Meal |
| 6,149,450 |
| (18,547 | ) | ||
7/2021 |
| 93 |
| Soybean Oil |
| 2,415,024 |
| 47,775 |
| ||
7/2021 |
| 150 |
| Wheat |
| 4,822,500 |
| 79,566 |
| ||
Total Long Positions |
|
|
|
|
| $ | 132,604,813 |
| $ | 2,702,170 |
|
Short Futures: |
|
|
|
|
|
|
|
|
|
Expiration |
| Number of |
| Open Contracts |
| Notional |
| Value and |
| ||
3/2021 |
| 4 |
| Nickel |
| $ | (424,164 | ) | $ | (16,376 | ) |
3/2021 |
| 13 |
| Primary Aluminum |
| (639,561 | ) | 10,794 |
| ||
3/2021 |
| 7 |
| Zinc |
| (449,750 | ) | 34,885 |
| ||
Total Short Positions |
|
|
|
|
| $ | (1,513,475 | ) | $ | 29,303 |
|
Total Futures |
|
|
|
|
|
|
| $ | 2,731,473 |
|
At January 31, 2021, the Fund had $5,481,027 deposited in a segregated account to cover margin requirements on open futures.
(a) The Fund invests in commodity-related instruments through Neuberger Berman Cayman Commodity Fund I Ltd. (the CS Subsidiary), which is organized under the laws of the Cayman Islands. Subscription agreements were entered into between the Fund and the CS Subsidiary with the intent that the Fund will remain the sole shareholder of the CS Subsidiary. The CS Subsidiary is governed by its own Board of Directors.
As of January 31, 2021, the value of the Funds investment in the CS Subsidiary was as follows:
Investment in |
| Percentage of |
| |
$ | 22,585,800 |
| 18.2 | % |
See Notes to Schedule of Investments
The following is a summary, categorized by Level (see Notes to Schedule of Investments), of inputs used to value the Funds investments as of January 31, 2021:
Asset Valuation Inputs |
| Level 1 |
| Level 2 |
| Level 3 |
| Total |
| ||||
Investments: |
|
|
|
|
|
|
|
|
| ||||
U.S. Treasury Obligations |
| $ | |
| $ | 6,999,355 |
| $ | |
| $ | 6,999,355 |
|
Asset-Backed Securities |
| |
| 24,787,587 |
| |
| 24,787,587 |
| ||||
Corporate Bonds(a) |
| |
| 66,670,526 |
| |
| 66,670,526 |
| ||||
Short-Term Investments |
| |
| 18,496,083 |
| |
| 18,496,083 |
| ||||
Total Investments |
| $ | |
| $ | 116,953,551 |
| $ | |
| $ | 116,953,551 |
|
(a) | The Consolidated Schedule of Investments provides information on the industry or sector categorization as well as a Positions by Country summary. |
The following is a summary, categorized by Level (see Notes to Schedule of Investments), of inputs used to value the Funds derivatives as of January 31, 2021:
Other Financial Instruments |
| Level 1 |
| Level 2 |
| Level 3 |
| Total |
| ||||
Futures(a) |
|
|
|
|
|
|
|
|
| ||||
Assets |
| $ | 4,477,455 |
| $ | |
| $ | |
| $ | 4,477,455 |
|
Liabilities |
| (1,745,982 | ) | |
| |
| (1,745,982 | ) | ||||
Total |
| $ | 2,731,473 |
| $ | |
| $ | |
| $ | 2,731,473 |
|
(a) |
| Futures are reported at the cumulative unrealized appreciation/(depreciation) of the instrument. |
|
^ A balance indicated with a , reflects either a zero balance or an amount that rounds to less than 1.
Schedule of Investments Global Allocation Fund^
(Unaudited) January 31, 2021
Number of Shares |
| Value |
| |||
Common Stocks 42.7% |
|
|
| |||
Australia 0.8% |
|
|
| |||
592 |
| APA Group |
| $ | 4,402 | (a) |
320 |
| BHP Group Ltd. |
| 10,672 |
| |
12 |
| BHP Group PLC ADR |
| 655 |
| |
39 |
| CSL Ltd. |
| 8,086 |
| |
889 |
| Fortescue Metals Group Ltd. |
| 14,643 |
| |
329 |
| Rio Tinto PLC |
| 24,960 |
| |
15 |
| Rio Tinto PLC ADR |
| 1,146 |
| |
909 |
| Santos Ltd. |
| 4,480 |
| |
222 |
| Sonic Healthcare Ltd. |
| 5,802 |
| |
|
|
|
| 74,846 |
| |
Austria 0.1% |
|
|
| |||
136 |
| Erste Group Bank AG |
| 4,153 | * | |
198 |
| Telekom Austria AG |
| 1,507 |
| |
|
|
|
| 5,660 |
| |
Canada 0.9% |
|
|
| |||
322 |
| Bank of Nova Scotia |
| 17,173 |
| |
24 |
| Barrick Gold Corp. |
| 537 |
| |
296 |
| Brookfield Asset Management, Inc. Class A |
| 11,497 |
| |
547 |
| Enbridge, Inc. |
| 18,376 |
| |
144 |
| Great-West Lifeco, Inc. |
| 3,288 |
| |
133 |
| Hydro One Ltd. |
| 3,082 | (b) | |
72 |
| National Bank of Canada |
| 4,047 |
| |
215 |
| Power Corp. of Canada |
| 5,005 |
| |
372 |
| Sun Life Financial, Inc. |
| 17,193 |
| |
117 |
| Toronto-Dominion Bank |
| 6,630 |
| |
|
|
|
| 86,828 |
| |
China 0.0%(c) |
|
|
| |||
844 |
| BOC Hong Kong Holdings Ltd. |
| 2,517 |
| |
Denmark 0.2% |
|
|
| |||
2 |
| AP Moeller - Maersk A/S Class B |
| 4,108 |
| |
164 |
| Novo Nordisk A/S Class B |
| 11,426 |
| |
51 |
| Pandora A/S |
| 4,908 |
| |
|
|
|
| 20,442 |
| |
Finland 0.1% |
|
|
| |||
133 |
| Neste OYJ |
| 9,368 |
| |
128 |
| Nordea Bank Abp |
| 1,040 | * | |
53 |
| Orion OYJ Class B |
| 2,432 |
| |
|
|
|
| 12,840 |
| |
France 0.6% |
|
|
| |||
41 |
| Capgemini SE |
| 5,925 |
| |
77 |
| Cie Generale des Etablissements Michelin SCA |
| 10,611 |
| |
356 |
| Credit Agricole SA |
| 4,029 | * | |
16 |
| Hermes International |
| 16,326 |
| |
16 |
| Kering SA |
| 10,501 |
| |
117 |
| Schneider Electric SE |
| 17,124 |
| |
|
|
|
| 64,516 |
| |
Germany 0.4% |
|
|
| |||
44 |
| Allianz SE |
| 9,944 |
| |
26 |
| Bayerische Motoren Werke AG |
| 2,201 |
| |
12 |
| Bechtle AG |
| 2,543 |
| |
248 |
| Deutsche Post AG |
| 12,250 |
| |
74 |
| Fresenius Medical Care AG & Co. KGaA |
| 5,987 |
| |
72 |
| Vonovia SE |
| 4,818 |
| |
|
|
|
| 37,743 |
| |
Hong Kong 0.2% |
|
|
| |||
1,258 |
| CK Asset Holdings Ltd. |
| 6,277 |
| |
1,052 |
| CLP Holdings Ltd. |
| 9,872 |
| |
327 |
| Sun Hung Kai Properties Ltd. |
| 4,467 |
| |
|
|
|
| 20,616 |
| |
Ireland 0.1% |
|
|
| |||
100 |
| Smurfit Kappa Group PLC |
| 4,810 |
| |
Israel 0.1% |
|
|
| |||
39 |
| Check Point Software Technologies Ltd. |
| 4,982 | * | |
12 |
| Wix.com Ltd. |
| 2,965 | * | |
|
|
|
| 7,947 |
| |
Italy 0.1% |
|
|
| |||
4 |
| Ferrari NV |
| 832 |
| |
161 |
| FinecoBank Banca Fineco SpA |
| 2,504 | * | |
3,690 |
| Intesa Sanpaolo SpA |
| 8,045 | * | |
|
|
|
| 11,381 |
| |
Japan 1.8% |
|
|
| |||
177 |
| Chugai Pharmaceutical Co. Ltd. |
| 9,262 |
| |
129 |
| Fujitsu Ltd. |
| 19,685 |
| |
685 |
| ITOCHU Corp. |
| 19,618 |
| |
617 |
| Japan Tobacco, Inc. |
| 12,256 |
| |
206 |
| Kajima Corp. |
| 2,760 |
| |
553 |
| KDDI Corp. |
| 16,254 |
| |
100 |
| MEIJI Holdings Co. Ltd. |
| 6,826 |
| |
88 |
| Mitsui & Co. Ltd. |
| 1,633 |
| |
249 |
| Mizuho Financial Group, Inc. |
| 3,283 |
| |
165 |
| MS&AD Insurance Group Holdings, Inc. |
| 4,747 |
| |
7 |
| Nintendo Co. |
| 4,030 |
| |
100 |
| Nitto Denko Corp. |
| 9,064 |
| |
1,100 |
| Nomura Holdings, Inc. |
| 5,820 |
| |
219 |
| Ono Pharmaceutical Co. Ltd. |
| 6,537 |
| |
167 |
| ORIX Corp. |
| 2,680 |
| |
64 |
| Secom Co. Ltd. |
| 5,799 |
| |
345 |
| Sekisui House Ltd. |
| 6,666 |
| |
83 |
| Seven & i Holdings Co. Ltd. |
| 3,170 |
| |
108 |
| Shionogi & Co. Ltd. |
| 5,863 |
| |
100 |
| Sony Corp. |
| 9,571 |
| |
83 |
| Taisei Corp. |
| 2,689 |
| |
21 |
| Tokyo Electron Ltd. |
| 7,985 |
| |
179 |
| Toyota Motor Corp. |
| 12,554 |
| |
|
|
|
| 178,752 |
| |
Jordan 0.0%(c) |
|
|
| |||
86 |
| Hikma Pharmaceuticals PLC |
| 2,824 |
| |
Netherlands 1.0% |
|
|
| |||
31 |
| Akzo Nobel NV |
| 3,154 |
| |
48 |
| ASML Holding NV |
| 25,640 |
| |
51 |
| ASML Holding NV |
| 27,227 |
| |
760 |
| Koninklijke Ahold Delhaize NV |
| 21,815 |
| |
See Notes to Schedule of Investments
Number of Shares |
| Value |
| |||
44 |
| Koninklijke DSM NV |
| $ | 7,692 |
|
612 |
| Koninklijke KPN NV |
| 1,912 |
| |
88 |
| NN Group NV |
| 3,665 |
| |
105 |
| Wolters Kluwer NV |
| 8,724 |
| |
|
|
|
| 99,829 |
| |
New Zealand 0.1% |
|
|
| |||
232 |
| Fisher and Paykel Healthcare Corp. Ltd. |
| 5,750 |
| |
|
|
|
|
|
| |
Norway 0.1% |
|
|
| |||
427 |
| DNB ASA |
| 8,313 | * | |
|
|
|
|
|
| |
Peru 0.0%(c) |
|
|
| |||
12 |
| Southern Copper Corp. |
| 797 |
| |
|
|
|
|
|
| |
Singapore 0.0%(c) |
|
|
| |||
480 |
| Singapore Exchange Ltd. |
| 3,566 |
| |
|
|
|
|
|
| |
Spain 0.1% |
|
|
| |||
192 |
| Endesa SA |
| 4,907 |
| |
216 |
| Iberdrola SA |
| 2,924 |
| |
262 |
| Red Electrica Corp. SA |
| 4,975 |
| |
|
|
|
| 12,806 |
| |
Sweden 0.3% |
|
|
| |||
8 |
| Atlas Copco AB, A Shares |
| 434 |
| |
43 |
| Evolution Gaming Group AB |
| 4,185 | (b) | |
194 |
| Husqvarna AB, B Shares |
| 2,400 |
| |
789 |
| Skandinaviska Enskilda Banken AB Class A |
| 8,584 |
| |
165 |
| Skanska AB, B Shares |
| 4,264 |
| |
221 |
| Svenska Handelsbanken AB |
| 2,203 | * | |
269 |
| Tele2 AB, B Shares |
| 3,712 |
| |
|
|
|
| 25,782 |
| |
Switzerland 0.9% |
|
|
| |||
1 |
| Chocoladefabriken Lindt & Spruengli AG |
| 8,664 |
| |
89 |
| Coca-Cola HBC AG |
| 2,628 | * | |
7 |
| Geberit AG |
| 4,284 |
| |
26 |
| Kuehne & Nagel International AG |
| 5,916 |
| |
89 |
| Logitech International SA |
| 9,243 |
| |
49 |
| Nestle SA |
| 5,493 |
| |
65 |
| Nestle SA ADR |
| 7,300 |
| |
20 |
| Novartis AG |
| 1,811 |
| |
49 |
| Novartis AG ADR |
| 4,433 |
| |
48 |
| Roche Holding AG |
| 16,565 |
| |
39 |
| Roche Holding AG ADR |
| 1,693 |
| |
3 |
| SGS SA |
| 9,099 |
| |
10 |
| Swisscom AG |
| 5,443 |
| |
527 |
| UBS Group AG |
| 7,596 |
| |
|
|
|
| 90,168 |
| |
United Kingdom 0.8% |
|
|
| |||
88 |
| Ashtead Group PLC |
| 4,416 |
| |
4,095 |
| Barclays PLC |
| 7,470 | * | |
53 |
| Berkeley Group Holdings PLC |
| 3,031 |
| |
25 |
| British American Tobacco PLC |
| 908 |
| |
123 |
| Bunzl PLC |
| 3,948 |
| |
292 |
| Diageo PLC |
| 11,723 |
| |
696 |
| Direct Line Insurance Group PLC |
| 2,857 |
| |
113 |
| Farfetch Ltd. Class A |
| 6,920 | * | |
82 |
| Intertek Group PLC |
| 6,176 |
| |
1,084 |
| Kingfisher PLC |
| 4,115 | * | |
37 |
| Linde PLC |
| 9,080 |
| |
32 |
| Next PLC |
| 3,389 | * | |
129 |
| RELX PLC |
| 3,194 |
| |
528 |
| Sage Group PLC |
| 4,252 |
| |
65 |
| Schroders PLC |
|
| 3,031 |
|
18 |
| Unilever PLC |
| 1,049 |
| |
3,400 |
| Vodafone Group PLC |
| 5,806 |
| |
|
|
|
| 81,365 |
| |
United States 34.0% |
|
|
| |||
36 |
| 3M Co. |
| 6,324 |
| |
80 |
| Abbott Laboratories |
| 9,887 |
| |
248 |
| AbbVie, Inc. |
| 25,415 |
| |
240 |
| Academy Sports & Outdoors, Inc. |
| 5,160 | * | |
55 |
| Accenture PLC Class A |
| 13,306 |
| |
223 |
| Activision Blizzard, Inc. |
| 20,293 |
| |
169 |
| Adaptive Biotechnologies Corp. |
| 9,374 | * | |
24 |
| Adobe, Inc. |
| 11,010 | * | |
43 |
| Advance Auto Parts, Inc. |
| 6,413 |
| |
161 |
| Aflac, Inc. |
| 7,274 |
| |
54 |
| Agilent Technologies, Inc. |
| 6,489 |
| |
18 |
| Air Products & Chemicals, Inc. |
| 4,802 |
| |
18 |
| Alexion Pharmaceuticals, Inc. |
| 2,760 | * | |
29 |
| Alliant Energy Corp. |
| 1,411 |
| |
111 |
| Allstate Corp. |
| 11,897 |
| |
58 |
| Alphabet, Inc. Class A |
| 105,987 | * | |
16 |
| Alphabet, Inc. Class C |
| 29,372 | * | |
569 |
| Altice USA, Inc. Class A |
| 20,239 | * | |
368 |
| Altria Group, Inc. |
| 15,117 |
| |
48 |
| Amazon.com, Inc. |
| 153,898 | * | |
38 |
| American Electric Power Co., Inc. |
| 3,075 |
| |
59 |
| American Homes 4 Rent Class A |
| 1,784 |
| |
97 |
| Americold Realty Trust |
| 3,386 |
| |
71 |
| Ameriprise Financial, Inc. |
| 14,049 |
| |
49 |
| AMETEK, Inc. |
| 5,550 |
| |
138 |
| Amphenol Corp. Class A |
| 17,233 |
| |
128 |
| Analog Devices, Inc. |
| 18,858 |
| |
47 |
| Anthem, Inc. |
| 13,958 |
| |
53 |
| Aon PLC Class A |
| 10,764 |
| |
1,799 |
| Apple, Inc. |
| 237,396 |
| |
48 |
| Aptiv PLC |
| 6,413 |
| |
20 |
| Arthur J. Gallagher & Co. |
| 2,308 |
| |
17 |
| Ashland Global Holdings, Inc. |
| 1,360 |
| |
66 |
| Assurant, Inc. |
| 8,941 |
| |
108 |
| Athene Holding Ltd. Class A |
| 4,416 | * | |
27 |
| Autodesk, Inc. |
| 7,491 | * | |
175 |
| Bellring Brands, Inc. Class A |
| 4,070 | * | |
9 |
| Berkshire Hathaway, Inc. Class B |
| 2,051 | * | |
11 |
| Biogen, Inc. |
| 3,109 | * | |
52 |
| BioMarin Pharmaceutical, Inc. |
| 4,305 | * | |
128 |
| BJs Wholesale Club Holdings, Inc. |
| 5,385 | * | |
61 |
| Black Knight, Inc. |
| 4,983 | * | |
19 |
| BlackRock, Inc. |
| 13,324 |
| |
154 |
| Blackstone Group, Inc. Class A |
| 10,347 |
| |
33 |
| Boeing Co. |
| 6,408 |
| |
3 |
| Booking Holdings, Inc. |
| 5,833 | * | |
64 |
| Booz Allen Hamilton Holding Corp. |
| 5,451 |
| |
269 |
| Boston Scientific Corp. |
| 9,533 | * | |
214 |
| Bristol-Myers Squibb Co. |
| 13,146 |
| |
31 |
| Broadcom, Inc. |
| 13,965 |
| |
177 |
| Cabot Oil & Gas Corp. |
| 3,244 |
| |
9 |
| Cactus, Inc. Class A |
| 236 |
| |
176 |
| Carlyle Group, Inc. |
| 5,680 |
| |
55 |
| Caterpillar, Inc. |
| 10,056 |
| |
124 |
| CBRE Group, Inc. Class A |
| 7,562 | * | |
24 |
| CDW Corp. |
| 3,160 |
| |
143 |
| CenterPoint Energy, Inc. |
| 3,016 |
|
See Notes to Schedule of Investments
Number of Shares |
| Value |
| |||
10 |
| ChampionX Corp. |
| $ | 153 | * |
39 |
| Cheniere Energy, Inc. |
| 2,470 | * | |
110 |
| Chevron Corp. |
| 9,372 |
| |
5 |
| Chipotle Mexican Grill, Inc. |
| 7,400 | * | |
51 |
| Chubb Ltd. |
| 7,429 |
| |
30 |
| Cigna Corp. |
| 6,511 |
| |
668 |
| Cisco Systems, Inc. |
| 29,779 |
| |
197 |
| Citigroup, Inc. |
| 11,424 |
| |
618 |
| Citizens Financial Group, Inc. |
| 22,520 |
| |
324 |
| Cognizant Technology Solutions Corp. Class A |
| 25,256 |
| |
112 |
| Colfax Corp. |
| 4,157 | * | |
108 |
| Colgate-Palmolive Co. |
| 8,424 |
| |
851 |
| Comcast Corp. Class A |
| 42,184 |
| |
71 |
| Comerica, Inc. |
| 4,061 |
| |
78 |
| ConocoPhillips |
| 3,122 |
| |
46 |
| Constellation Brands, Inc. Class A |
| 9,703 |
| |
17 |
| Cooper Cos., Inc. |
| 6,189 |
| |
39 |
| Crowdstrike Holdings, Inc. Class A |
| 8,416 | * | |
60 |
| Crown Castle International Corp. |
| 9,556 |
| |
18 |
| Crown Holdings, Inc. |
| 1,623 | * | |
236 |
| CSX Corp. |
| 20,238 |
| |
37 |
| Cummins, Inc. |
| 8,674 |
| |
50 |
| Danaher Corp. |
| 11,892 |
| |
30 |
| Deere & Co. |
| 8,664 |
| |
48 |
| Delta Air Lines, Inc. |
| 1,822 |
| |
65 |
| Devon Energy Corp. |
| 1,070 |
| |
22 |
| DexCom, Inc. |
| 8,247 | * | |
77 |
| DISH Network Corp. Class A |
| 2,235 | * | |
170 |
| Dominion Energy, Inc. |
| 12,391 |
| |
60 |
| Dover Corp. |
| 6,989 |
| |
78 |
| DraftKings, Inc. Class A |
| 4,221 | * | |
16 |
| DTE Energy Co. |
| 1,900 |
| |
55 |
| Duke Energy Corp. |
| 5,170 |
| |
160 |
| Dun and Bradstreet Holdings, Inc. |
| 3,784 | * | |
64 |
| Eastman Chemical Co. |
| 6,294 |
| |
55 |
| Eaton Corp. PLC |
| 6,473 |
| |
16 |
| Ecolab, Inc. |
| 3,272 |
| |
27 |
| eHealth, Inc. |
| 1,292 | * | |
148 |
| Electronic Arts, Inc. |
| 21,194 |
| |
138 |
| Eli Lilly & Co. |
| 28,700 |
| |
190 |
| Emerson Electric Co. |
| 15,076 |
| |
45 |
| Entegris, Inc. |
| 4,428 |
| |
16 |
| Entergy Corp. |
| 1,525 |
| |
174 |
| EOG Resources, Inc. |
| 8,867 |
| |
30 |
| EQT Corp. |
| 489 |
| |
18 |
| Equifax, Inc. |
| 3,188 |
| |
245 |
| Equitable Holdings, Inc. |
| 6,071 |
| |
113 |
| Equity LifeStyle Properties, Inc. |
| 6,875 |
| |
15 |
| Etsy, Inc. |
| 2,986 | * | |
16 |
| Everest Re Group Ltd. |
| 3,377 |
| |
37 |
| Evergy, Inc. |
| 1,988 |
| |
130 |
| Exelon Corp. |
| 5,403 |
| |
38 |
| Extra Space Storage, Inc. |
| 4,324 |
| |
226 |
| Exxon Mobil Corp. |
| 10,134 |
| |
105 |
| Facebook, Inc. Class A |
| 27,125 | * | |
23 |
| FedEx Corp. |
| 5,413 |
| |
14 |
| Ferguson PLC |
| 1,626 |
| |
130 |
| Fidelity National Information Services, Inc. |
| 16,050 |
| |
109 |
| Fiserv, Inc. |
| 11,193 | * | |
35 |
| FMC Corp. |
| 3,790 |
| |
68 |
| Fortune Brands Home & Security, Inc. |
| 5,865 |
| |
99 |
| Gaming and Leisure Properties, Inc. |
| 4,072 |
| |
85 |
| General Mills, Inc. |
| 4,938 |
| |
172 |
| General Motors Co. |
| 8,717 |
| |
24 |
| Globe Life, Inc. |
| 2,169 |
| |
25 |
| Goldman Sachs Group, Inc. |
| 6,779 |
| |
305 |
| Hartford Financial Services Group, Inc. |
| 14,646 |
| |
27 |
| HCA Healthcare, Inc. |
| 4,387 |
| |
77 |
| Hill-Rom Holdings, Inc. |
| 7,395 |
| |
193 |
| Home Depot, Inc. |
| 52,268 |
| |
123 |
| Honeywell International, Inc. |
| 24,031 |
| |
45 |
| Humana, Inc. |
| 17,240 |
| |
113 |
| IHS Markit Ltd. |
| 9,840 |
| |
74 |
| Illinois Tool Works, Inc. |
| 14,372 |
| |
176 |
| Intel Corp. |
| 9,770 |
| |
143 |
| Intercontinental Exchange, Inc. |
| 15,780 |
| |
148 |
| International Paper Co. |
| 7,446 |
| |
69 |
| Intuit, Inc. |
| 24,925 |
| |
57 |
| Invitation Homes, Inc. |
| 1,680 |
| |
24 |
| Jacobs Engineering Group, Inc. |
| 2,423 |
| |
367 |
| Johnson & Johnson |
| 59,869 |
| |
124 |
| Johnson Controls International PLC |
| 6,178 |
| |
373 |
| JPMorgan Chase & Co. |
| 47,994 |
| |
433 |
| Keurig Dr Pepper, Inc. |
| 13,769 |
| |
922 |
| Kinder Morgan, Inc. |
| 12,982 |
| |
27 |
| KLA Corp. |
| 7,562 |
| |
228 |
| Kratos Defense & Security Solutions, Inc. |
| 6,051 | * | |
34 |
| Kroger Co. |
| 1,173 |
| |
18 |
| Lam Research Corp. |
| 8,711 |
| |
115 |
| Las Vegas Sands Corp. |
| 5,530 |
| |
12 |
| Lear Corp. |
| 1,809 |
| |
59 |
| Leidos Holdings, Inc. |
| 6,258 |
| |
128 |
| Lennar Corp. Class A |
| 10,643 |
| |
213 |
| LKQ Corp. |
| 7,474 | * | |
42 |
| Lockheed Martin Corp. |
| 13,516 |
| |
101 |
| Lowes Cos., Inc. |
| 16,852 |
| |
32 |
| Lululemon Athletica, Inc. |
| 10,518 | * | |
54 |
| Lyft, Inc. Class A |
| 2,401 | * | |
51 |
| Marriott International, Inc. Class A |
| 5,932 |
| |
4 |
| Martin Marietta Materials, Inc. |
| 1,150 |
| |
35 |
| MasterCard, Inc. Class A |
| 11,070 |
| |
75 |
| McDonalds Corp. |
| 15,588 |
| |
26 |
| McKesson Corp. |
| 4,536 |
| |
155 |
| Medtronic PLC |
| 17,256 |
| |
63 |
| MetLife, Inc. |
| 3,033 |
| |
871 |
| Microsoft Corp. |
| 202,037 |
| |
10 |
| Mohawk Industries, Inc. |
| 1,436 | * | |
280 |
| Mondelez International, Inc. Class A |
| 15,523 |
| |
59 |
| Monster Beverage Corp. |
| 5,123 | * | |
598 |
| Morgan Stanley |
| 40,096 |
| |
117 |
| Motorola Solutions, Inc. |
| 19,603 |
| |
21 |
| Netflix, Inc. |
| 11,180 | * | |
83 |
| Newmont Corp. |
| 4,947 |
| |
14 |
| NextEra Energy Partners LP |
| 1,141 |
| |
239 |
| NextEra Energy, Inc. |
| 19,328 |
| |
119 |
| NIKE, Inc. Class B |
| 15,897 |
| |
19 |
| Northrop Grumman Corp. |
| 5,446 |
| |
110 |
| NRG Energy, Inc. |
| 4,555 |
| |
24 |
| Nucor Corp. |
| 1,170 |
| |
135 |
| nVent Electric PLC |
| 3,021 |
| |
38 |
| Oak Street Health, Inc. |
| 1,971 | * | |
See Notes to Schedule of Investments
Number of Shares |
| Value |
| |||
20 |
| OGE Energy Corp. |
| $ | 610 |
|
49 |
| ONEOK, Inc. |
| 1,952 |
| |
431 |
| Oracle Corp. |
| 26,045 |
| |
39 |
| Otis Worldwide Corp. |
| 2,521 |
| |
48 |
| Packaging Corp. of America |
| 6,454 |
| |
342 |
| Paya Holdings, Inc. Class A |
| 4,432 | * | |
50 |
| Peloton Interactive, Inc. Class A |
| 7,306 | * | |
40 |
| PepsiCo, Inc. |
| 5,463 |
| |
40 |
| PerkinElmer, Inc. |
| 5,883 |
| |
324 |
| Pfizer, Inc. |
| 11,632 |
| |
280 |
| PG&E Corp. |
| 3,200 | * | |
96 |
| Philip Morris International, Inc. |
| 7,646 |
| |
53 |
| Phillips 66 |
| 3,593 |
| |
18 |
| Pioneer Natural Resources Co. |
| 2,176 |
| |
132 |
| PNC Financial Services Group, Inc. |
| 18,945 |
| |
55 |
| PPG Industries, Inc. |
| 7,409 |
| |
463 |
| Procter & Gamble Co. |
| 59,361 |
| |
158 |
| Progressive Corp. |
| 13,776 |
| |
119 |
| Prologis, Inc. |
| 12,281 |
| |
39 |
| Proofpoint, Inc. |
| 5,034 | * | |
157 |
| Public Service Enterprise Group, Inc. |
| 8,860 |
| |
17 |
| Public Storage |
| 3,870 |
| |
135 |
| QUALCOMM, Inc. |
| 21,098 |
| |
64 |
| Quest Diagnostics, Inc. |
| 8,266 |
| |
77 |
| Range Resources Corp. |
| 709 | * | |
56 |
| Raymond James Financial, Inc. |
| 5,596 |
| |
326 |
| RealReal, Inc. |
| 7,720 | * | |
13 |
| Regeneron Pharmaceuticals, Inc. |
| 6,550 | * | |
20 |
| Reliance Steel & Aluminum Co. |
| 2,322 |
| |
42 |
| ResMed Inc. |
| 8,466 |
| |
42 |
| RPM International, Inc. |
| 3,464 |
| |
54 |
| S&P Global, Inc. |
| 17,118 |
| |
111 |
| SailPoint Technologies Holding, Inc. |
| 6,139 | * | |
50 |
| salesforce.com, Inc. |
| 11,278 | * | |
303 |
| Schlumberger Ltd. |
| 6,730 |
| |
105 |
| Selectquote, Inc. |
| 2,218 | * | |
28 |
| Sempra Energy |
| 3,465 |
| |
21 |
| ServiceNow, Inc. |
| 11,406 | * | |
14 |
| Sherwin-Williams Co. |
| 9,685 |
| |
107 |
| Simply Good Foods Co. |
| 3,054 | * | |
83 |
| Skyworks Solutions, Inc. |
| 14,048 |
| |
89 |
| Smartsheet, Inc. Class A |
| 6,207 | * | |
25 |
| Snap-on, Inc. |
| 4,500 |
| |
118 |
| SS&C Technologies Holdings, Inc. |
| 7,420 |
| |
36 |
| Stanley Black & Decker, Inc. |
| 6,246 |
| |
246 |
| Starwood Property Trust, Inc. |
| 4,615 |
| |
39 |
| Steel Dynamics, Inc. |
| 1,337 |
| |
32 |
| STERIS PLC |
| 5,988 |
| |
25 |
| Sunnova Energy International, Inc. |
| 1,096 | * | |
392 |
| T-Mobile U.S., Inc. |
| 49,423 | * | |
42 |
| T. Rowe Price Group, Inc. |
| 6,572 |
| |
90 |
| Targa Resources Corp. |
| 2,463 |
| |
95 |
| Target Corp. |
| 17,211 |
| |
110 |
| TE Connectivity Ltd. |
| 13,244 |
| |
17 |
| Teladoc Health, Inc. |
| 4,485 | * | |
112 |
| Terex Corp. |
| 4,005 |
| |
28 |
| Tesla, Inc. |
| 22,219 | * | |
292 |
| Texas Instruments, Inc. |
| 48,381 |
| |
102 |
| Thermo Fisher Scientific, Inc. |
| 51,989 |
| |
49 |
| Toll Brothers, Inc. |
| 2,504 |
| |
53 |
| Tractor Supply Co. |
| 7,512 |
| |
56 |
| Trane Technologies PLC |
| 8,028 |
| |
10 |
| TransDigm Group, Inc. |
| 5,533 | * | |
76 |
| TransUnion |
| 6,615 |
| |
42 |
| Travelers Cos., Inc. |
| 5,725 |
| |
135 |
| Uber Technologies, Inc. |
| 6,876 | * | |
28 |
| Ulta Beauty, Inc. |
| 7,833 | * | |
169 |
| Union Pacific Corp. |
| 33,372 |
| |
93 |
| United Parcel Service, Inc. Class B |
| 14,415 |
| |
24 |
| United Rentals, Inc. |
| 5,832 | * | |
124 |
| UnitedHealth Group, Inc. |
| 41,364 |
| |
22 |
| Universal Display Corp. |
| 5,078 |
| |
98 |
| Utz Brands, Inc. |
| 2,311 |
| |
73 |
| Valvoline, Inc. |
| 1,733 |
| |
9 |
| Verisk Analytics, Inc. |
| 1,652 |
| |
428 |
| Verizon Communications, Inc. |
| 23,433 |
| |
40 |
| Vertex Pharmaceuticals, Inc. |
| 9,163 | * | |
106 |
| Virgin Galactic Holdings, Inc. |
| 4,695 | * | |
213 |
| Visa, Inc. Class A |
| 41,162 |
| |
36 |
| Visteon Corp. |
| 4,589 | * | |
266 |
| Vistra Energy Corp. |
| 5,312 |
| |
4 |
| W.W. Grainger, Inc. |
| 1,458 |
| |
227 |
| Walmart, Inc. |
| 31,891 |
| |
40 |
| Waste Connections, Inc. |
| 3,940 |
| |
4 |
| WEC Energy Group, Inc. |
| 356 |
| |
33 |
| West Pharmaceutical Services, Inc. |
| 9,883 |
| |
15 |
| WEX, Inc. |
| 2,829 | * | |
460 |
| Weyerhaeuser Co. |
| 14,347 |
| |
781 |
| Williams Cos., Inc. |
| 16,581 |
| |
35 |
| XPO Logistics, Inc. |
| 3,864 | * | |
63 |
| Zimmer Biomet Holdings, Inc. |
| 9,681 |
| |
159 |
| Zoetis, Inc. |
| 24,526 |
| |
|
|
|
| 3,360,820 |
| |
Total Common Stocks |
| 4,220,918 |
| |||
Principal Amount |
|
|
| |||
U.S. Treasury Obligations 9.0% |
|
|
| |||
$ | 50,000 |
| U.S. Treasury Bill, 0.10%, due 5/20/2021 |
| 49,989 | (d) |
|
| U.S. Treasury Bonds |
|
|
| |
20,000 |
| 4.50%, due 2/15/2036 |
| 28,639 | (e) | |
125,000 |
| 1.13%, due 5/15/2040 |
| 114,375 | (e) | |
20,000 |
| 2.75%, due 8/15/2042 |
| 23,901 |
| |
225,000 |
| 2.88%, due 8/15/20455/15/2049 |
| 276,197 | (e) | |
165,000 |
| 3.00%, due 2/15/2047 |
| 207,333 | (e) | |
50,000 |
| 1.25%, due 5/15/2050 |
| 43,273 |
| |
55,000 |
| 1.38%, due 8/15/2050 |
| 49,148 |
| |
58,042 |
| U.S. Treasury Inflation-Indexed Bond, 1.00%, due 2/15/2048 |
| 79,610 | (e)(f) | |
15,000 |
| U.S. Treasury Note, 0.88%, due 11/15/2030 |
| 14,719 |
| |
Total U.S. Treasury Obligations |
|
|
| |||
(Cost $926,087) |
| 887,184 |
| |||
|
|
|
| |||
U.S. Government Agency Securities 1.8% |
|
|
| |||
80,000 |
| Federal Home Loan Bank, 5.50%, due 7/15/2036 |
| 122,145 |
| |
70,000 |
| Freddie Mac Strips, 0.00%, due 3/15/2031 |
| 59,928 |
| |
Total U.S. Government Agency Securities |
|
|
| |||
(Cost $164,011) |
| 182,073 |
|
See Notes to Schedule of Investments
Principal Amount |
| Value |
| ||||
Corporate Bonds 16.1% |
|
|
| ||||
Belgium 0.4% |
|
|
| ||||
$ | 25,000 |
| Anheuser-Busch Cos., LLC/Anheuser-Busch InBev Worldwide, Inc., 4.90%, due 2/1/2046 |
| $ | 31,323 |
|
10,000 |
| Anheuser-Busch InBev Worldwide, Inc., 4.60%, due 4/15/2048 |
| 12,144 |
| ||
|
|
|
| 43,467 |
| ||
Canada 0.3% |
|
|
| ||||
|
| Canadian Natural Resources Ltd. |
|
|
| ||
5,000 |
| 4.95%, due 6/1/2047 |
| 6,183 |
| ||
10,000 |
| 2.95%, due 7/15/2030 |
| 10,412 |
| ||
10,000 |
| Rogers Communications, Inc., 4.35%, due 5/1/2049 |
| 12,326 |
| ||
|
|
|
| 28,921 |
| ||
France 0.1% |
|
|
| ||||
10,000 |
| Total Capital International SA, 3.13%, due 5/29/2050 |
| 10,313 |
| ||
|
|
|
|
|
| ||
Mexico 0.1% |
|
|
| ||||
5,000 |
| Grupo Bimbo SAB de CV, 4.70%, due 11/10/2047 |
| 5,995 | (g) | ||
|
|
|
|
|
| ||
Netherlands 0.1% |
|
|
| ||||
10,000 |
| Shell Intl Finance BV, 4.00%, due 5/10/2046 |
| 11,881 |
| ||
|
|
|
|
|
| ||
United Kingdom 0.8% |
|
|
| ||||
15,000 |
| AstraZeneca PLC, 2.13%, due 8/6/2050 |
| 13,231 |
| ||
|
| BAT Capital Corp. |
|
|
| ||
15,000 |
| 4.91%, due 4/2/2030 |
| 17,749 |
| ||
10,000 |
| 4.54%, due 8/15/2047 |
| 10,910 |
| ||
15,000 |
| BP Capital Markets PLC, 4.88%, due 3/22/2030 |
| 16,347 | (h)(i) | ||
15,000 |
| Natwest Group PLC, 3.03%, due 11/28/2035 |
| 15,068 | (h) | ||
10,000 |
| Vodafone Group PLC, 4.25%, due 9/17/2050 |
| 11,869 |
| ||
|
|
|
| 85,174 |
| ||
United States 14.3% |
|
|
| ||||
15,000 |
| 7-Eleven, Inc., 2.50%, due 2/10/2041 |
| 14,784 | (g)(j) | ||
5,000 |
| Abbott Laboratories, 4.75%, due 4/15/2043 |
| 6,862 |
| ||
|
| AbbVie, Inc. |
|
|
| ||
10,000 |
| 4.05%, due 11/21/2039 |
| 11,724 |
| ||
15,000 |
| 4.45%, due 5/14/2046 |
| 18,393 |
| ||
10,000 |
| Allstate Corp., 4.20%, due 12/15/2046 |
| 12,793 |
| ||
15,000 |
| Altria Group, Inc., 3.88%, due 9/16/2046 |
| 15,635 |
| ||
10,000 |
| American Water Capital Corp., 4.15%, due 6/1/2049 |
| 12,742 |
| ||
15,000 |
| Amgen, Inc., 4.40%, due 5/1/2045 |
| 18,815 |
| ||
15,000 |
| Appalachian Power Co., Ser. Z, 3.70%, due 5/1/2050 |
| 17,032 |
| ||
20,000 |
| Apple, Inc., 4.65%, due 2/23/2046 |
| 27,147 |
| ||
|
| AT&T, Inc. |
|
|
| ||
20,000 |
| 5.45%, due 3/1/2047 |
| 25,751 |
| ||
20,000 |
| 4.50%, due 3/9/2048 |
| 22,740 |
| ||
15,000 |
| 3.65%, due 6/1/2051 |
| 15,047 |
| ||
10,000 |
| Baltimore Gas and Electric Co., 2.90%, due 6/15/2050 |
| 10,270 |
| ||
|
| Bank of America Corp. |
|
|
| ||
10,000 |
| 4.24%, due 4/24/2038 |
| 12,092 | (h) | ||
15,000 |
| 4.08%, due 3/20/2051 |
| 18,119 | (h) | ||
10,000 |
| Berkshire Hathaway Finance Corp., 4.25%, due 1/15/2049 |
| 12,732 |
| ||
|
| Boeing Co. |
|
|
| ||
15,000 |
| 3.25%, due 2/1/2035 |
| 14,985 |
| ||
10,000 |
| 5.81%, due 5/1/2050 |
| 13,184 |
| ||
5,000 |
| BP Capital Markets America, Inc., 2.77%, due 11/10/2050 |
| 4,650 |
| ||
10,000 |
| Bristol-Myers Squibb Co., 4.25%, due 10/26/2049 |
| 12,770 |
| ||
|
| Broadcom, Inc. |
|
|
| ||
5,000 |
| 5.00%, due 4/15/2030 |
| 5,952 |
| ||
10,000 |
| 4.30%, due 11/15/2032 |
| 11,550 |
| ||
20,000 |
| 3.75%, due 2/15/2051 |
| 20,445 | (g) | ||
10,000 |
| Burlington Northern Santa Fe LLC, 4.38%, due 9/1/2042 |
| 12,690 |
| ||
15,000 |
| Carrier Global Corp., 2.70%, due 2/15/2031 |
| 15,865 |
| ||
30,000 |
| Charter Communications Operating LLC/Charter Communications Operating Capital, 4.80%, due 3/1/2050 |
| 34,135 |
| ||
15,000 |
| Cigna Corp., 4.80%, due 8/15/2038 |
| 19,074 |
| ||
10,000 |
| Citigroup, Inc., 3.98%, due 3/20/2030 |
| 11,558 | (h) | ||
10,000 |
| Coca-Cola Co., 2.50%, due 3/15/2051 |
| 9,741 |
| ||
|
| Comcast Corp. |
|
|
| ||
20,000 |
| 4.65%, due 7/15/2042 |
| 25,955 |
| ||
15,000 |
| 4.00%, due 8/15/2047 |
| 18,022 |
| ||
10,000 |
| Commonwealth Edison Co., 3.70%, due 3/1/2045 |
| 11,594 |
| ||
10,000 |
| Constellation Brands, Inc., 3.75%, due 5/1/2050 |
| 11,354 |
| ||
5,000 |
| Crown Castle Intl Corp., 5.20%, due 2/15/2049 |
| 6,627 |
| ||
|
| CVS Health Corp. |
|
|
| ||
10,000 |
| 2.70%, due 8/21/2040 |
| 9,770 |
| ||
10,000 |
| 5.05%, due 3/25/2048 |
| 13,092 |
| ||
10,000 |
| Diamondback Energy, Inc., 3.50%, due 12/1/2029 |
| 10,625 |
| ||
5,000 |
| Discovery Communications LLC, 4.65%, due 5/15/2050 |
| 6,013 |
| ||
10,000 |
| Duke Energy Progress LLC, 2.50%, due 8/15/2050 |
| 9,574 |
| ||
10,000 |
| Entergy Arkansas LLC, 2.65%, due 6/15/2051 |
| 9,767 |
| ||
10,000 |
| Entergy Texas, Inc., 3.55%, due 9/30/2049 |
| 11,163 |
| ||
15,000 |
| Enterprise Products Operating LLC, 3.20%, due 2/15/2052 |
| 14,405 |
| ||
5,000 |
| Essential Utilities, Inc., 4.28%, due 5/1/2049 |
| 6,185 |
| ||
5,000 |
| Exelon Corp., 4.70%, due 4/15/2050 |
| 6,420 |
| ||
20,000 |
| Exxon Mobil Corp., 4.23%, due 3/19/2040 |
| 24,102 |
| ||
|
| Fox Corp. |
|
|
| ||
10,000 |
| 5.48%, due 1/25/2039 |
| 13,342 |
| ||
10,000 |
| 5.58%, due 1/25/2049 |
| 13,844 |
| ||
See Notes to Schedule of Investments
Principal Amount |
| Value |
| ||||
$ | 10,000 |
| General Dynamics Corp., 4.25%, due 4/1/2050 |
| $ | 13,064 |
|
15,000 |
| General Electric Capital Corp., 5.88%, due 1/14/2038 |
| 20,034 |
| ||
10,000 |
| General Electric Co., 4.35%, due 5/1/2050 |
| 11,550 |
| ||
10,000 |
| General Motors Co., 5.00%, due 4/1/2035 |
| 12,073 |
| ||
25,000 |
| Goldman Sachs Group, Inc., 4.02%, due 10/31/2038 |
| 29,628 | (h) | ||
10,000 |
| HCA, Inc., 5.25%, due 6/15/2049 |
| 12,758 |
| ||
15,000 |
| Healthcare Trust of America Holdings L.P., 3.10%, due 2/15/2030 |
| 16,214 |
| ||
10,000 |
| Healthpeak Properties, Inc., 2.88%, due 1/15/2031 |
| 10,754 |
| ||
5,000 |
| Home Depot, Inc., 3.35%, due 4/15/2050 |
| 5,607 |
| ||
5,000 |
| Intel Corp., 3.25%, due 11/15/2049 |
| 5,394 |
| ||
5,000 |
| Intercontinental Exchange, Inc., 3.00%, due 9/15/2060 |
| 5,052 |
| ||
|
| JPMorgan Chase & Co. |
|
|
| ||
10,000 |
| 5.40%, due 1/6/2042 |
| 14,298 |
| ||
10,000 |
| 4.03%, due 7/24/2048 |
| 12,201 | (h) | ||
15,000 |
| Kinder Morgan, Inc., 5.55%, due 6/1/2045 |
| 18,784 |
| ||
10,000 |
| Kraft Heinz Foods Co., 5.00%, due 7/15/2035 |
| 11,845 |
| ||
5,000 |
| Kroger Co., 5.40%, due 1/15/2049 |
| 7,043 |
| ||
10,000 |
| Lockheed Martin Corp., 2.80%, due 6/15/2050 |
| 10,374 |
| ||
10,000 |
| Lowes Cos., Inc., 3.00%, due 10/15/2050 |
| 10,189 |
| ||
5,000 |
| LYB Intl Finance BV, 4.88%, due 3/15/2044 |
| 6,162 |
| ||
5,000 |
| LYB Intl Finance III LLC, 4.20%, due 5/1/2050 |
| 5,650 |
| ||
10,000 |
| Magellan Midstream Partners L.P., 3.25%, due 6/1/2030 |
| 11,027 |
| ||
10,000 |
| Masco Corp., 4.50%, due 5/15/2047 |
| 12,340 |
| ||
10,000 |
| McDonalds Corp., 3.63%, due 9/1/2049 |
| 11,272 |
| ||
15,000 |
| MDC Holdings, Inc., 2.50%, due 1/15/2031 |
| 14,963 |
| ||
10,000 |
| MetLife, Inc., 4.88%, due 11/13/2043 |
| 13,687 |
| ||
15,000 |
| Microsoft Corp., 2.68%, due 6/1/2060 |
| 15,231 |
| ||
10,000 |
| MidAmerican Energy Co., 4.25%, due 5/1/2046 |
| 12,551 |
| ||
|
| Morgan Stanley |
|
|
| ||
10,000 |
| 4.30%, due 1/27/2045 |
| 12,660 |
| ||
15,000 |
| 4.38%, due 1/22/2047 |
| 19,360 |
| ||
|
| MPLX L.P. |
|
|
| ||
10,000 |
| 2.65%, due 8/15/2030 |
| 10,227 |
| ||
10,000 |
| 4.70%, due 4/15/2048 |
| 11,216 |
| ||
10,000 |
| Nasdaq, Inc., 2.50%, due 12/21/2040 |
| 9,613 |
| ||
10,000 |
| Nevada Power Co., Ser. EE, 3.13%, due 8/1/2050 |
| 10,704 |
| ||
10,000 |
| Norfolk Southern Corp., 3.94%, due 11/1/2047 |
| 11,832 |
| ||
|
| Oracle Corp. |
|
|
| ||
5,000 |
| 5.38%, due 7/15/2040 |
| 6,899 |
| ||
10,000 |
| 4.00%, due 7/15/2046 |
| 11,742 |
| ||
5,000 |
| 3.60%, due 4/1/2050 |
| 5,579 |
| ||
|
| Pacific Gas and Electric Co. |
|
|
| ||
10,000 |
| 4.30%, due 3/15/2045 |
| 10,484 |
| ||
10,000 |
| 3.50%, due 8/1/2050 |
| 9,576 |
| ||
15,000 |
| Pacific LifeCorp., 3.35%, due 9/15/2050 |
| 16,105 | (g) | ||
10,000 |
| Plains All American Pipeline L.P./PAA Finance Corp., 3.55%, due 12/15/2029 |
| 10,418 |
| ||
5,000 |
| Public Service Co. of Colorado, 4.05%, due 9/15/2049 |
| 6,279 |
| ||
5,000 |
| Raytheon Technologies Corp., 4.35%, due 4/15/2047 |
| 6,244 |
| ||
15,000 |
| Royalty Pharma PLC, 2.20%, due 9/2/2030 |
| 15,189 | (g) | ||
|
| Southern California Edison Co. |
|
|
| ||
10,000 |
| Ser. B, 4.88%, due 3/1/2049 |
| 12,637 |
| ||
10,000 |
| Ser. 20A, 2.95%, due 2/1/2051 |
| 9,571 |
| ||
10,000 |
| Southwestern Public Service Co., 3.15%, due 5/1/2050 |
| 10,799 |
| ||
10,000 |
| Starbucks Corp., 3.50%, due 11/15/2050 |
| 10,988 |
| ||
|
| T-Mobile USA, Inc. |
|
|
| ||
15,000 |
| 4.38%, due 4/15/2040 |
| 17,565 | (g) | ||
15,000 |
| 4.50%, due 4/15/2050 |
| 17,676 | (g) | ||
10,000 |
| Union Pacific Corp., 3.80%, due 10/1/2051 |
| 11,695 |
| ||
10,000 |
| United Technologies Corp., 4.50%, due 6/1/2042 |
| 12,695 |
| ||
5,000 |
| UnitedHealth Group, Inc., 4.20%, due 1/15/2047 |
| 6,309 |
| ||
15,000 |
| Upjohn, Inc., 3.85%, due 6/22/2040 |
| 16,563 | (g) | ||
10,000 |
| Verizon Communications, Inc., 4.67%, due 3/15/2055 |
| 12,810 |
| ||
10,000 |
| ViacomCBS, Inc., 4.20%, due 5/19/2032 |
| 11,847 |
| ||
10,000 |
| Visa, Inc., 4.30%, due 12/14/2045 |
| 13,031 |
| ||
15,000 |
| Walt Disney Co., 4.70%, due 3/23/2050 |
| 20,164 |
| ||
|
| Wells Fargo & Co. |
|
|
| ||
15,000 |
| 3.07%, due 4/30/2041 |
| 15,697 | (h) | ||
10,000 |
| 5.01%, due 4/4/2051 |
| 13,754 | (h) | ||
|
|
|
| 1,408,804 |
| ||
Total Corporate Bonds |
| 1,594,555 |
| ||||
Number of Shares |
|
|
| ||
Preferred Stocks 0.1% |
|
|
| ||
Germany 0.1% |
|
|
| ||
13 |
| Sartorius AG (Cost $5,894) |
| 6,462 |
|
|
|
|
|
|
|
Exchange-Traded Funds 8.1% |
|
|
| ||
5,519 |
| iShares Core International Aggregate Bond ETF |
| 308,291 |
|
898 |
| iShares Core U.S. Aggregate Bond ETF |
| 105,345 |
|
23 |
| iShares Russell 1000 ETF |
| 4,834 |
|
3,074 |
| VanEck Vectors J.P. Morgan EM Local Currency Bond ETF |
| 100,366 |
|
823 |
| Vanguard S&P 500 ETF |
| 279,968 |
|
Total Exchange-Traded Funds (Cost $800,095) |
| 798,804 |
|
See Notes to Schedule of Investments
Number of Shares |
| Value |
| |||
Investment Companies(k) 20.9% |
|
|
| |||
28,287 |
| Neuberger Berman Emerging Markets Equity Fund Class R6 |
| $ | 673,502 | (l) |
5,900 |
| Neuberger Berman Genesis Fund Class R6 |
| 416,513 |
| |
65,339 |
| Neuberger Berman International Select Fund Class R6 |
| 977,477 |
| |
Total Investment Companies |
| 2,067,492 |
| |||
Total Purchased Options(m) 0.0%(c) |
| 3,495 |
| |||
Short-Term Investments 1.6% |
|
|
| |||
Investment Companies 1.6% |
|
|
| |||
153,927 |
| State Street Institutional U.S. Government Money Market Fund Premier Class, 0.03%(n) |
| 153,927 | (l) | |
Total Investments 100.4% |
| 9,914,910 |
| |||
Liabilities Less Other Assets (0.4)% |
| (36,617 | )(o) | |||
Net Assets 100.0% |
| $ | 9,878,293 |
|
* | Non-income producing security. |
(a) | Stapled security. A security contractually bound to one or more other securities to form a single saleable unit which cannot be sold separately. |
(b) | Security exempt from registration pursuant to Regulation S under the Securities Act of 1933, as amended. Regulation S applies to securities offerings that are made outside of the United States and do not involve directed selling efforts in the United States and as such may have restrictions on resale. Total value of all such securities at January 31, 2021 amounted to $7,267, which represents 0.1% of net assets of the Fund. |
(c) | Represents less than 0.05% of net assets of the Fund. |
(d) | Rate shown was the discount rate at the date of purchase. |
(e) | All or a portion of the security is pledged as collateral for options written. |
(f) | Index-linked bond whose principal amount adjusts according to a government retail price index. |
(g) | Securities were purchased under Rule 144A of the Securities Act of 1933, as amended, or are otherwise restricted and, unless registered under the Securities Act of 1933 or exempted from registration, may only be sold to qualified institutional investors or may have other restrictions on resale. At January 31, 2021, these securities amounted to $124,322, which represents 1.3% of net assets of the Fund. |
(h) | Security issued at a fixed coupon rate, which converts to a variable rate at a future date. Rate shown is the rate in effect as of period end. |
(i) | Perpetual security. Perpetual securities have no stated maturity date, but they may be called/redeemed by the issuer. The date shown reflects the next call date. |
(j) | When-issued security. Total value of all such securities at January 31, 2021, amounted to approximately $14,784, which represents 0.1% of net assets of the Fund. |
(k) | Affiliated company as defined under the Investment Company Act of 1940, as amended (see Note § below). |
(l) | All or a portion of this security is segregated in connection with obligations for when issued securities, options written, futures and/or forward foreign currency contracts with a total value of $820,086. |
(m) | See Purchased option contracts under Derivative Instruments. |
(n) | Represents 7-day effective yield as of January 31, 2021. |
(o) | Includes the impact of the Funds open positions in derivatives at January 31, 2021. |
See Notes to Schedule of Investments
POSITIONS BY INDUSTRY
Industry |
| Investments at |
| Percentage of |
| |
Investment Companies* |
| $ | 2,067,492 |
| 20.9 | % |
U.S. Treasury Obligations |
| 887,184 |
| 9.0 | % | |
Exchange-Traded Funds* |
| 798,804 |
| 8.1 | % | |
Software |
| 376,093 |
| 3.8 | % | |
Banks |
| 359,370 |
| 3.6 | % | |
Pharmaceuticals |
| 315,336 |
| 3.2 | % | |
Technology Hardware, Storage & Peripherals |
| 246,639 |
| 2.5 | % | |
Semiconductors & Semiconductor Equipment |
| 212,751 |
| 2.2 | % | |
Media |
| 207,980 |
| 2.1 | % | |
Insurance |
| 201,281 |
| 2.0 | % | |
U.S. Government Agency Securities |
| 182,073 |
| 1.8 | % | |
Internet & Direct Marketing Retail |
| 177,357 |
| 1.8 | % | |
IT Services |
| 173,108 |
| 1.8 | % | |
Capital Markets |
| 166,851 |
| 1.7 | % | |
Interactive Media & Services |
| 162,484 |
| 1.6 | % | |
Electric |
| 158,421 |
| 1.6 | % | |
Telecommunications |
| 135,784 |
| 1.4 | % | |
Beverages |
| 112,971 |
| 1.1 | % | |
Aerospace & Defense |
| 112,195 |
| 1.1 | % | |
Oil, Gas & Consumable Fuels |
| 111,448 |
| 1.1 | % | |
Health Care Equipment & Supplies |
| 110,167 |
| 1.1 | % | |
Health Care Providers & Services |
| 110,022 |
| 1.1 | % | |
Specialty Retail |
| 100,153 |
| 1.0 | % | |
Oil & Gas |
| 94,513 |
| 1.0 | % | |
Biotechnology |
| 93,392 |
| 1.0 | % | |
Chemicals |
| 82,611 |
| 0.8 | % | |
Pipelines |
| 76,077 |
| 0.8 | % | |
Wireless Telecommunication Services |
| 75,195 |
| 0.8 | % | |
Life Sciences Tools & Services |
| 73,735 |
| 0.8 | % | |
Electric Utilities |
| 72,025 |
| 0.7 | % | |
Machinery |
| 70,618 |
| 0.7 | % | |
Household Products |
| 67,785 |
| 0.7 | % | |
Food & Staples Retailing |
| 63,434 |
| 0.6 | % | |
Metals & Mining |
| 63,186 |
| 0.6 | % | |
Road & Rail |
| 62,887 |
| 0.6 | % | |
Equity Real Estate Investment Trusts |
| 62,175 |
| 0.6 | % | |
Textiles, Apparel & Luxury Goods |
| 58,150 |
| 0.6 | % | |
Entertainment |
| 56,697 |
| 0.6 | % | |
Food Products |
| 54,109 |
| 0.5 | % | |
Retail |
| 52,840 |
| 0.5 | % | |
Professional Services |
| 52,272 |
| 0.5 | % | |
Communications Equipment |
| 49,382 |
| 0.5 | % | |
Electrical Equipment |
| 47,244 |
| 0.5 | % | |
Automobiles |
| 46,523 |
| 0.5 | % | |
Agriculture |
| 44,294 |
| 0.4 | % | |
Semiconductors |
| 43,341 |
| 0.4 | % | |
Hotels, Restaurants & Leisure |
| 42,856 |
| 0.4 | % | |
Trading Companies & Distributors |
| 38,531 |
| 0.4 | % | |
Diversified Financial Services |
| 38,498 |
| 0.4 | % | |
Household Durables |
| 36,251 |
| 0.4 | % | |
Transportation |
| 36,217 |
| 0.4 | % | |
Air Freight & Logistics |
| 35,942 |
| 0.4 | % | |
Tobacco |
| 35,927 |
| 0.4 | % | |
Electronic Equipment, Instruments & Components |
| 33,637 |
| 0.3 | % | |
Real Estate Investment Trusts |
| 33,595 |
| 0.3 | % | |
Diversified Telecommunication Services |
| 32,295 |
| 0.3 | % | |
Miscellaneous Manufacturers |
| 31,584 |
| 0.3 | % | |
See Notes to Schedule of Investments
Industrial Conglomerates |
| 30,355 |
| 0.3 | % | |
Multi-Utilities |
| 29,988 |
| 0.3 | % | |
Building Materials |
| 28,205 |
| 0.3 | % | |
Computers |
| 27,147 |
| 0.3 | % | |
Food |
| 24,883 |
| 0.3 | % | |
Building Products |
| 24,355 |
| 0.3 | % | |
Auto Components |
| 23,422 |
| 0.2 | % | |
Real Estate Management & Development |
| 23,124 |
| 0.2 | % | |
Multiline Retail |
| 20,600 |
| 0.2 | % | |
Containers & Packaging |
| 20,333 |
| 0.2 | % | |
Healthcare - Services |
| 19,067 |
| 0.2 | % | |
Water |
| 18,927 |
| 0.2 | % | |
Home Builders |
| 14,963 |
| 0.2 | % | |
Construction & Engineering |
| 12,136 |
| 0.1 | % | |
Auto Manufacturers |
| 12,073 |
| 0.1 | % | |
Marine |
| 10,024 |
| 0.1 | % | |
Commercial Services & Supplies |
| 9,739 |
| 0.1 | % | |
Independent Power and Renewable Electricity Producers |
| 7,549 |
| 0.1 | % | |
Distributors |
| 7,474 |
| 0.1 | % | |
Leisure Products |
| 7,306 |
| 0.1 | % | |
Energy Equipment & Services |
| 7,119 |
| 0.1 | % | |
Healthcare - Products |
| 6,862 |
| 0.1 | % | |
Electronics |
| 6,462 |
| 0.1 | % | |
Personal Products |
| 5,119 |
| 0.1 | % | |
Mortgage Real Estate Investment Trusts |
| 4,615 |
| 0.1 | % | |
Health Care Technology |
| 4,485 |
| 0.1 | % | |
Gas Utilities |
| 4,402 |
| 0.0 | %(a) | |
Purchased Options |
| 3,495 |
| 0.0 | %(a) | |
Airlines |
| 1,822 |
| 0.0 | %(a) | |
Construction Materials |
| 1,150 |
| 0.0 | %(a) | |
Short-Term Investments and Other Liabilities-Net |
| 117,310 |
| 1.2 | % | |
|
|
|
|
|
| |
|
| $ | 9,878,293 |
| 100.0 | % |
(a) Represents less than 0.05% of net assets of the Fund.
* Each position is an Investment Company registered under the 1940 Act, as amended, and is not treated as an industry for purposes of the Funds policy on industry concentration. This represents the aggregate of all investment companies.
See Notes to Schedule of Investments
Derivative Instruments
Futures contracts (futures)
At January 31, 2021, open positions in futures for the Fund were as follows:
Long Futures:
Expiration |
| Number of |
| Open Contracts |
| Notional |
| Value and |
| ||
3/2021 |
| 1 |
| FTSE 100 Index |
| $ | 87,155 |
| $ | (1,706 | ) |
Total Long Positions |
|
|
|
|
| $ | 87,155 |
| $ | (1,706 | ) |
Short Futures:
Expiration |
| Number of |
| Open Contracts |
| Notional |
| Value and |
| ||
3/2021 |
| 2 |
| U.S. Treasury Ultra Bond |
| $ | (409,438 | ) | $ | 2,031 |
|
Total Short Positions |
|
|
|
|
| $ | (409,438 | ) | $ | 2,031 |
|
Total Futures |
|
|
|
|
|
|
| $ | 325 |
|
At January 31, 2021, the Fund has $27,592 deposited in a segregated account to cover margin requirements on open futures.
Forward foreign currency contracts (forward contracts)
At January 31, 2021, open forward FX contracts for the Fund were as follows:
Currency Purchased |
| Currency Sold |
| Counterparty |
| Settlement |
| Net |
| |
74,000 GBP |
| 101,657 USD |
| CITI |
| 4/22/2021 |
| $ | (222 | ) |
Total unrealized depreciation |
|
|
|
|
|
|
| $ | (222 | ) |
Total return swap contracts (total return swaps)
Total return swap contracts (total return swaps)
At January 31, 2021, the Fund had outstanding total return swaps as follows:
Over-the-counter total return swaps - Long (a)
Counterparty |
| Reference |
| Notional |
| Maturity |
| Variable- |
| Spread |
| Reference |
| Frequency |
| Unrealized |
| Accrued |
| Value |
| ||||
GSI |
| Bloomberg Commodity Index |
| USD | 50,622 |
| 7/12/2021 |
| 0.00 | %(d) | | % | N/A |
| T/T |
| $ | (665 | ) | $ | (2 | ) | $ | (667 | ) |
JPM |
| Invesco S&P 500 Equal Weight ETF |
| USD | 77,545 |
| 5/24/2021 |
| 0.28 | % | 0.07 | % | 3M USD LIBOR |
| T/3M |
| 2,608 |
| (39 | ) | 2,569 |
| |||
JPM |
| Invesco S&P 500 Equal Weight ETF |
| USD | 50,980 |
| 5/24/2021 |
| 0.30 | % | 0.07 | % | 3M USD LIBOR |
| T/3M |
| (67 | ) | (22 | ) | (89 | ) | |||
JPM |
| iShares Russell 1000 Value ETF |
| USD | 99,142 |
| 7/7/2021 |
| 0.21 | % | 0.08 | % | 1M USD LIBOR |
| T/1M |
| (3,886 | ) | (10 | ) | (3,896 | ) | |||
GSI |
| Vaneck Vectors Semiconductor ETF |
| USD | 49,401 |
| 7/12/2021 |
| 0.13 | % | | % | 1M USD LIBOR |
| T/1M |
| (1,833 | ) | (3 | ) | (1,836 | ) | |||
Total |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| $ | (3,843 | ) | $ | (76 | ) | $ | (3,919 | ) |
See Notes to Schedule of Investments
Over-the-counter total return swaps - Short (b)
Counterparty |
| Reference |
| Notional |
| Maturity |
| Variable- |
| Spread |
| Reference |
| Frequency |
| Unrealized |
| Accrued |
| Value |
| ||||
GSI |
| Invesco QQQ Trust Series 1 |
| USD | (52,846 | ) | 7/12/2021 |
| 0.18 | % | 0.05 | % | 1M USD LIBOR |
| 1M/T |
| $ | (216 | ) | $ | 4 |
| $ | (212 | ) |
JPM |
| iShares Russell 1000 Growth ETF |
| USD | (102,155 | ) | 7/7/2021 |
| 0.11 | % | (0.02 | )% | 1M USD LIBOR |
| 1M/T |
| 686 |
| 5 |
| 691 |
| |||
JPM |
| SPDR S&P 500 ETF Trust |
| USD | (77,715 | ) | 5/24/2021 |
| 0.40 | % | 0.19 | % | 3M USD LIBOR |
| 3M/T |
| (2,825 | ) | 55 |
| (2,770 | ) | |||
JPM |
| SPDR S&P 500 ETF Trust |
| USD | (51,070 | ) | 5/24/2021 |
| 0.42 | % | 0.19 | % | 3M USD LIBOR |
| 3M/T |
| (202 | ) | 31 |
| (171 | ) | |||
Total |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| $ | (2,557 | ) | $ | 95 |
| $ | (2,462 | ) |
(a) The Fund pays a specified rate based on a reference rate (e.g. LIBOR) plus or minus a spread, and receives the total return on the reference entity.
(b) The Fund receives a specified rate based on a reference rate (e.g. LIBOR) plus or minus a spread, and pays the total return on the reference entity.
(c) Effective rate at January 31, 2021.
(d) Fixed Rate.
Purchased option contracts (options purchased)
At January 31, 2021, the Fund had outstanding options purchased as follows:
Description |
| Number of |
| Notional |
| Exercise Price |
| Expiration Date |
| Value |
| |||
Exchange-Traded |
|
|
|
|
|
|
|
|
|
|
| |||
SPDR S&P 500 ETF Trust(a) |
| 6 |
| $ | 222,042 |
| $ | 385 |
| 3/19/2021 |
| $ | 3,495 |
|
Total options purchased (cost $4,968) |
|
|
|
|
|
|
|
|
| $ | 3,495 |
| ||
(a) Over-the-counter option. Counterparty is JPM
Written option contracts (options written)
At January 31, 2021, the Fund had outstanding options purchased as follows:
Description |
| Number of |
| Notional |
| Exercise Price |
| Expiration Date |
| Value |
| |||
Exchange-Traded |
|
|
|
|
|
|
|
|
|
|
| |||
SPDR S&P 500 ETF Trust(a) |
| 6 |
| $ | (222,042 | ) | $ | 360 |
| 3/19/2021 |
| $ | (6,866 | ) |
Total options written (premium received $7,290) |
|
|
|
|
|
|
|
|
| $ | (6,866 | ) | ||
(a) Over-the-counter option. Counterparty is JPM
See Notes to Schedule of Investments
The following is a summary, categorized by Level (see Notes to Schedule of Investments), of inputs used to value the Funds investments as of January 31, 2021:
Asset Valuation Inputs |
| Level 1 |
| Level 2 |
| Level 3(c) |
| Total |
| ||||
Investments: |
|
|
|
|
|
|
|
|
| ||||
Common Stocks |
|
|
|
|
|
|
|
|
| ||||
Australia |
| $ | 1,801 |
| $ | 73,045 |
| $ | |
| $ | 74,846 |
|
Austria |
| 1,507 |
| 4,153 |
| |
| 5,660 |
| ||||
China |
| |
| 2,517 |
| |
| 2,517 |
| ||||
Denmark |
| |
| 20,442 |
| |
| 20,442 |
| ||||
Finland |
| 1,040 |
| 11,800 |
| |
| 12,840 |
| ||||
France |
| |
| 64,516 |
| |
| 64,516 |
| ||||
Germany |
| 4,818 |
| 32,925 |
| |
| 37,743 |
| ||||
Hong Kong |
| |
| 20,616 |
| |
| 20,616 |
| ||||
Ireland |
| |
| 4,810 |
| |
| 4,810 |
| ||||
Italy |
| |
| 11,381 |
| |
| 11,381 |
| ||||
Japan |
| |
| 178,752 |
| |
| 178,752 |
| ||||
Jordan |
| |
| 2,824 |
| |
| 2,824 |
| ||||
Netherlands |
| 28,794 |
| 71,035 |
| |
| 99,829 |
| ||||
New Zealand |
| |
| 5,750 |
| |
| 5,750 |
| ||||
Norway |
| |
| 8,313 |
| |
| 8,313 |
| ||||
Singapore |
| |
| 3,566 |
| |
| 3,566 |
| ||||
Spain |
| |
| 12,806 |
| |
| 12,806 |
| ||||
Sweden |
| |
| 25,782 |
| |
| 25,782 |
| ||||
Switzerland |
| 13,426 |
| 76,742 |
| |
| 90,168 |
| ||||
United Kingdom |
| 19,389 |
| 61,976 |
| |
| 81,365 |
| ||||
United States |
| 3,359,194 |
| 1,626 |
| |
| 3,360,820 |
| ||||
Other Common Stocks(a) |
| 95,572 |
| |
| |
| 95,572 |
| ||||
Total Common Stocks |
| 3,525,541 |
| 695,377 |
| |
| 4,220,918 |
| ||||
U.S. Treasury Obligations |
| |
| 887,184 |
| |
| 887,184 |
| ||||
U.S. Government Agency Securities |
| |
| 182,073 |
| |
| 182,073 |
| ||||
Corporate Bonds(a) |
| |
| 1,594,555 |
| |
| 1,594,555 |
| ||||
Preferred Stocks(a) |
| |
| 6,462 |
| |
| 6,462 |
| ||||
Exchange-Traded Funds |
| 798,804 |
| |
| |
| 798,804 |
| ||||
Investment Companies |
| |
| 2,067,492 |
| |
| 2,067,492 |
| ||||
Options Purchased(b)(d) |
| |
| 3,495 |
| |
| 10,361 |
| ||||
Short-Term Investments |
| |
| 153,927 |
| |
| 153,927 |
| ||||
Total Investments |
| $ | 4,324,345 |
| $ | 5,590,565 |
| $ | |
| $ | 9,914,910 |
|
(a) The Schedule of Investments provides a geographic categorization as well as a Positions by Industry summary.
(b) The Purchased option contracts table under Derivative Instruments provides information on the industry or sector categorization for the portfolio.
(c) The reconciliation between beginning and ending balances of investments in which unobservable inputs (Level 3) were used is not presented as all values rounded to less than $1,000.
(d) At the beginning of the year, these investments were valued using methods the Board has approved in the good-faith belief that the resulting valuation will reflect the fair value of the security. The Fund held no Level 3 investments in options written at January 31, 2021.
The following is a summary, categorized by Level (see Notes to Schedule of Investments), of inputs used to value the Funds derivatives as of January 31, 2021:
Other Financial Instruments |
| Level 1 |
| Level 2 |
| Level 3(b) |
| Total |
| ||||
Futures(a) |
|
|
|
|
|
|
|
|
| ||||
Assets |
| $ | 2,031 |
| $ | |
| $ | |
| $ | 2,031 |
|
Liabilities |
| (1,706 | ) | |
| |
| (1,706 | ) | ||||
Forward FX Contracts(a) |
|
|
|
|
|
|
|
|
| ||||
Liabilities |
| |
| (222 | ) | |
| (222 | ) | ||||
Swaps |
|
|
|
|
|
|
|
|
| ||||
Assets |
| |
| 3,260 |
| |
| 3,260 |
| ||||
Liabilities |
| |
| (9,641 | ) | |
| (9,641 | ) | ||||
Options Written |
|
|
|
|
|
|
|
|
| ||||
Liabilities |
| |
| (6,866 | ) | |
| (6,866 | ) | ||||
Total |
| $ | 325 |
| $ | (13,469 | ) | $ | |
| $ | (13,144 | ) |
(a) Futures and forward FX contracts are reported at the cumulative unrealized appreciation/(depreciation) of the instrument.
(b) The following is a reconciliation between the beginning and ending balances of investments in which unobservable inputs (Level 3) were used in determining value:
See Notes to Schedule of Investments
(000s omitted) |
| Beginning |
| Accrued |
| Realized |
| Change in |
| Purchases |
| Sales |
| Transfers |
| Transfers |
| Balance, |
| Net change in |
| ||||||||||
Other Financial Instruments |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||
Options Written(c) |
| $ | (14 | ) | $ | |
| $ | 10 |
| $ | 4 |
| $ | |
| $ | |
| $ | |
| $ | |
| $ | |
| $ | |
|
Total |
| $ | (14 | ) | $ | |
| $ | 10 |
| $ | 4 |
| $ | |
| $ | |
| $ | |
| $ | |
| $ | |
| $ | |
|
(c) At the beginning of the year, these investments were valued in accordance with the procedures approved by the Board of Trustees. The Fund held no Level 3 investments at January 31, 2021.
See Notes to Schedule of Investments
§ Investments in Affiliates(a):
|
| Value |
| Purchase |
| Sales |
| Change in |
| Net |
| Distributions |
| Shares |
| Value at |
| |||||||
Neuberger Berman Emerging Markets Equity Fund Class R6 |
| $ | 563,538 |
| $ | 3,119 |
| $ | |
| $ | 106,845 |
| $ | |
| $ | 3,119 |
| 28,287 |
| $ | 673,502 |
|
Neuberger Berman Genesis Fund Class R6 |
| 351,639 |
| 15,735 |
| |
| 49,139 |
| |
| 15,735 |
| 5,900 |
| 416,513 |
| |||||||
Neuberger Berman International Select Fund Class R6 |
| 840,317 |
| 14,709 |
| |
| 122,451 |
| |
| 14,709 |
| 65,339 |
| 977,477 |
| |||||||
Sub-total for affiliates held as of 1/31/21(c) |
| $ | 1,755,494 |
| $ | 33,563 |
| $ | |
| $ | 278,435 |
| $ | |
| $ | 33,563 |
|
|
| $ | 2,067,492 |
|
Neuberger Berman Commodity Strategy Fund Institutional Class |
| $ | 420,889 |
| $ | |
| $ | 466,458 |
| $ | 77,029 |
| $ | (31,460 | ) | $ | |
| |
| $ | |
|
Sub-total for affiliates no longer held as of 1/31/21 |
| $ | 420,889 |
| $ | |
| $ | 466,458 |
| $ | 77,029 |
| $ | (31,460 | ) | $ | |
| |
| $ | |
|
Total |
| $ | 2,176,383 |
| $ | 33,563 |
| $ | 466,458 |
| $ | 355,464 |
| $ | (31,460 | ) | $ | 33,563 |
|
|
| $ | 2,067,492 |
|
(a) Affiliated persons, as defined in the Investment Company Act of 1940, as amended. Neuberger Berman Alternative Funds and Neuberger Berman Investment Advisers LLC (NBIA) have obtained an exemptive order from the Securities and Exchange Commission that permits the Fund to invest in both affiliated and unaffiliated investment companies, including exchange-traded funds, in excess of the limits in Section 12(d)(1)(A) of the 1940 Act, subject to the terms and conditions of such order.
(b) Distributions received include distributions from net investment income and net realized capital gains, if any, from the other investment companies managed by NBIA.
(c) At January 31, 2021, these securities amounted to approximately 20.9% of net assets of the Fund.
^ A balance indicated with a , reflects either a zero balance or an amount that rounds to less than 1.
See Notes to Schedule of Investments
Schedule of Investments Long Short Fund^
(Unaudited) January 31, 2021
Number of Shares |
| Value |
| ||||
Long Positions 97.0% |
|
|
| ||||
Common Stocks 78.5% |
|
|
| ||||
Aerospace & Defense 1.4% |
|
|
| ||||
360,100 |
| L3Harris Technologies, Inc. |
| $ |
| 61,760,751 |
|
|
|
|
|
|
|
| |
Air Freight & Logistics 0.4% |
|
|
| ||||
72,000 |
| FedEx Corp. |
| 16,944,480 |
| ||
|
|
|
|
|
| ||
Banks 2.4% |
|
|
| ||||
1,021,000 |
| Citigroup, Inc. |
| 59,207,790 |
| ||
342,000 |
| JPMorgan Chase & Co. |
| 44,005,140 |
| ||
|
|
|
| 103,212,930 |
| ||
Beverages 2.0% |
|
|
| ||||
2,753,800 |
| Keurig Dr Pepper, Inc. |
| 87,570,840 |
| ||
|
|
|
|
|
| ||
Biotechnology 0.9% |
|
|
| ||||
599,300 |
| Gilead Sciences, Inc. |
| 39,314,080 |
| ||
|
|
|
|
|
| ||
Capital Markets 4.6% |
|
|
| ||||
29,000 |
| BlackRock, Inc. |
| 20,336,540 | (a) | ||
700,000 |
| Blackstone Group, Inc. Class A |
| 47,033,000 |
| ||
1,175,500 |
| Brookfield Asset Management, Inc. Class A |
| 45,656,420 |
| ||
312,100 |
| CME Group, Inc. |
| 56,721,054 | (a) | ||
412,700 |
| Tradeweb Markets, Inc. Class A |
| 25,088,033 |
| ||
|
|
|
| 194,835,047 |
| ||
Chemicals 2.7% |
|
|
| ||||
154,300 |
| Air Products & Chemicals, Inc. |
| 41,161,068 |
| ||
910,000 |
| Ashland Global Holdings, Inc. |
| 72,790,900 |
| ||
|
|
|
| 113,951,968 |
| ||
Commercial Services 0.5% |
|
|
| ||||
2,158,660 |
| LegalZoom.com, Inc. |
| 23,385,627 | *(b)(c)(r) | ||
|
|
|
|
|
| ||
Commercial Services & Supplies 1.1% |
|
|
| ||||
407,800 |
| Waste Management, Inc. |
| 45,396,296 |
| ||
|
|
|
|
|
| ||
Containers & Packaging 0.4% |
|
|
| ||||
128,100 |
| Avery Dennison Corp. |
| 19,326,447 |
| ||
|
|
|
|
|
| ||
Diversified Consumer Services 0.1% |
|
|
| ||||
550,000 |
| OneSpaWorld Holdings Ltd. Pipe |
| 5,219,500 | * | ||
|
|
|
|
|
| ||
Electric Utilities 1.9% |
|
|
| ||||
990,000 |
| NextEra Energy, Inc. |
| 80,061,300 | (d) | ||
|
|
|
|
|
| ||
Electrical Equipment 0.5% |
|
|
| ||||
993,800 |
| nVent Electric PLC |
| 22,241,244 |
| ||
|
|
|
|
|
| ||
Electronic Equipment, Instruments & Components 1.4% |
|
|
| ||||
187,100 |
| Amphenol Corp. Class A |
| 23,365,048 |
| ||
265,000 |
| CDW Corp. |
| 34,889,900 |
| ||
|
|
|
| 58,254,948 |
| ||
Entertainment 2.6% |
|
|
| ||||
703,000 |
| Activision Blizzard, Inc. |
| 63,973,000 | (a) | ||
110,000 |
| Spotify Technology SA |
| 34,650,000 | * | ||
70,000 |
| Walt Disney Co. |
| 11,771,900 | * | ||
|
|
|
| 110,394,900 |
| ||
Food & Staples Retailing 1.2% |
|
|
| ||||
41,900 |
| Costco Wholesale Corp. |
| 14,766,817 |
| ||
264,000 |
| Walmart, Inc. |
| 37,089,360 |
| ||
|
|
|
| 51,856,177 |
| ||
Food Products 2.4% |
|
|
| ||||
245,500 |
| Lamb Weston Holdings, Inc. |
|
|
| 18,338,850 |
|
743,000 |
| Mondelez International, Inc. Class A |
| 41,191,920 |
| ||
977,900 |
| Utz Brands, Inc. |
| 23,058,882 |
| ||
602,800 |
| Whole Earth Brands, Inc. |
| 6,829,724 | * | ||
1,000,000 |
| Whole Earth Brands, Inc. Pipe |
| 11,330,000 | * | ||
|
|
|
| 100,749,376 |
| ||
Health Care Equipment & Supplies 3.0% |
|
|
| ||||
481,500 |
| Baxter International, Inc. |
| 36,993,645 |
| ||
195,775 |
| Becton, Dickinson & Co. |
| 51,251,937 |
| ||
23,400 |
| DexCom, Inc. |
| 8,771,490 | * | ||
288,700 |
| Medtronic PLC |
| 32,140,971 |
| ||
|
|
|
| 129,158,043 |
| ||
Health Care Providers & Services 2.7% |
|
|
| ||||
43,000 |
| Anthem, Inc. |
| 12,770,140 |
| ||
105,200 |
| Humana, Inc. |
| 40,303,172 |
| ||
181,100 |
| UnitedHealth Group, Inc. |
| 60,411,338 | (d) | ||
|
|
|
| 113,484,650 |
| ||
Hotels, Restaurants & Leisure 2.6% |
|
|
| ||||
205,000 |
| Marriott International, Inc. Class A |
| 23,843,550 |
| ||
416,500 |
| McDonalds Corp. |
| 86,565,360 |
| ||
|
|
|
| 110,408,910 |
| ||
Household Products 0.5% |
|
|
| ||||
184,000 |
| Procter & Gamble Co. |
| 23,590,640 |
| ||
|
|
|
|
|
| ||
Industrial Conglomerates 0.6% |
|
|
| ||||
139,700 |
| Honeywell International, Inc. |
| 27,293,189 |
| ||
|
|
|
|
|
| ||
Interactive Media & Services 3.8% |
|
|
| ||||
49,300 |
| Alphabet, Inc. Class A |
| 90,088,848 | * | ||
212,400 |
| Facebook, Inc. Class A |
| 54,869,292 | *(a) | ||
240,600 |
| Pinterest, Inc. Class A |
| 16,483,506 | * | ||
|
|
|
| 161,441,646 |
| ||
Internet & Direct Marketing Retail 3.1% |
|
|
| ||||
32,200 |
| Amazon.com, Inc. |
| 103,239,640 | * | ||
234,700 |
| Expedia Group, Inc. |
| 29,126,270 |
| ||
|
|
|
| 132,365,910 |
| ||
IT Services 5.2% |
|
|
| ||||
658,071 |
| Druva, Inc. Ser.4 Preference Shares |
| 4,115,971 | *(b)(c)(r) | ||
400,600 |
| Fidelity National Information Services, Inc. |
| 49,458,076 |
| ||
84,400 |
| LiveRamp Holdings, Inc. |
| 6,389,924 | * | ||
1,787,200 |
| Paya Holdings, Inc. Class A |
| 23,162,112 | * | ||
59,400 |
| PayPal Holdings, Inc. |
| 13,918,014 | * | ||
962,655 |
| Repay Holdings Corp. |
| 21,322,808 | * | ||
207,800 |
| Visa, Inc. Class A |
| 40,157,350 | (a)(d) | ||
332,301 |
| WEX, Inc. |
| 62,671,969 | * | ||
|
|
|
| 221,196,224 |
| ||
Life Sciences Tools & Services 0.8% |
|
|
| ||||
65,100 |
| Thermo Fisher Scientific, Inc. |
| 33,181,470 |
| ||
|
|
|
|
|
| ||
Machinery 0.4% |
|
|
| ||||
1,251,326 |
| Gates Industrial Corp. PLC |
| 17,668,723 | * |
See Notes to Schedule of Investments
Number of Shares |
| Value |
| ||||
Multi-Utilities 2.1% |
|
|
| ||||
1,552,500 |
| CenterPoint Energy, Inc. |
| $ |
| 32,742,225 | (a) |
651,400 |
| WEC Energy Group, Inc. |
| 57,909,460 |
| ||
|
|
|
| 90,651,685 |
| ||
Oil, Gas & Consumable Fuels 1.0% |
|
|
| ||||
1,211,700 |
| Enbridge, Inc. |
| 40,713,120 |
| ||
329 |
| Venture Global LNG, Inc. Ser. C |
| 1,612,100 | *(b)(c)(r) | ||
|
|
|
| 42,325,220 |
| ||
Pharmaceuticals 1.0% |
|
|
| ||||
188,600 |
| Johnson & Johnson |
| 30,766,318 |
| ||
131,200 |
| Novartis AG ADR |
| 11,869,664 |
| ||
|
|
|
| 42,635,982 |
| ||
Professional Services 3.4% |
|
|
| ||||
416,900 |
| Equifax, Inc. |
| 73,837,159 |
| ||
830,000 |
| IHS Markit Ltd. |
| 72,276,400 | (a) | ||
|
|
|
| 146,113,559 |
| ||
Road & Rail 1.9% |
|
|
| ||||
428,500 |
| Uber Technologies, Inc. |
| 21,823,505 | * | ||
295,500 |
| Union Pacific Corp. |
| 58,352,385 |
| ||
|
|
|
| 80,175,890 |
| ||
Semiconductors & Semiconductor Equipment 0.5% |
|
|
| ||||
38,800 |
| ASML Holding NV |
| 20,725,408 |
| ||
|
|
|
|
|
| ||
Software 11.6% |
|
|
| ||||
176,100 |
| Adobe, Inc. |
| 80,789,397 | * | ||
858,900 |
| Anaplan, Inc. |
| 57,288,630 | * | ||
68,149 |
| AvidXchange, Inc. |
| 4,592,663 | *(b)(c)(r) | ||
257,089 |
| Duck Creek Technologies, Inc. |
| 12,350,556 | *(b) | ||
1,751,421 |
| Duck Creek Technologies, Inc. |
| 84,138,265 | *(b)(r) | ||
64,800 |
| Duck Creek Technologies, Inc. |
| 3,132,432 | * | ||
362,300 |
| Microsoft Corp. |
| 84,039,108 |
| ||
125,000 |
| salesforce.com, Inc. |
| 28,195,000 | * | ||
96,400 |
| ServiceNow, Inc. |
| 52,360,624 | * | ||
186,200 |
| Splunk, Inc. |
| 30,728,586 | * | ||
248,800 |
| Workday, Inc. Class A |
| 56,609,464 | * | ||
|
|
|
| 494,224,725 |
| ||
Specialty Retail 3.7% |
|
|
| ||||
281,100 |
| Asbury Automotive Group, Inc. |
| 40,087,671 | * | ||
240,600 |
| Home Depot, Inc. |
| 65,159,292 | (a) | ||
51,800 |
| OReilly Automotive, Inc. |
| 22,039,346 | * | ||
480,000 |
| TJX Cos., Inc. |
| 30,739,200 |
| ||
|
|
|
| 158,025,509 |
| ||
Technology Hardware, Storage & Peripherals 2.0% |
|
|
| ||||
658,500 |
| Apple, Inc. |
| 86,895,660 |
| ||
|
|
|
|
|
| ||
Textiles, Apparel & Luxury Goods 1.4% |
|
|
| ||||
32,900 |
| Lululemon Athletica, Inc. |
| 10,813,572 | * | ||
249,000 |
| NIKE, Inc. Class B |
| 33,263,910 |
| ||
787,000 |
| Under Armour, Inc. Class A |
| 13,772,500 | * | ||
|
|
|
| 57,849,982 |
| ||
Trading Companies & Distributors 0.7% |
|
|
| ||||
1,606,200 |
| Univar Solutions, Inc. |
| 29,859,258 | * | ||
|
|
|
|
|
| ||
Total Common Stocks |
| 3,353,748,194 |
| ||||
Preferred Stocks 2.7% |
|
|
| ||||
Capital Markets 0.2% |
|
|
| ||||
1,289,850 |
| DoubleVerify Ser. A, Preferred Units |
|
| 7,399,998 | *(b)(c)(r) | |
|
|
|
|
|
|
| |
Food Products 0.2% |
|
|
| ||||
626,667 |
| Sweetgreen, Inc. Ser. D |
| 5,640,003 | *(b)(c)(r) | ||
59,031 |
| Sweetgreen, Inc. Ser. I |
| 1,009,430 | *(b)(c)(r) | ||
51,075 |
| Sweetgreen, Inc. Ser. J |
| 873,383 | *(b)(c)(r) | ||
|
|
|
| 7,522,816 |
| ||
Multi-Utilities 0.3% |
|
|
| ||||
118,300 |
| Sempra Energy, Ser. B, 6.75% |
| 12,109,188 |
| ||
|
|
|
|
|
| ||
Software 1.2% |
|
|
| ||||
272,596 |
| AvidXchange, Inc. Ser. F |
| 18,370,653 | *(b)(c)(r) | ||
1,000 |
| Pride Parent, Inc. Ser. A |
| 35,000,000 | *(b)(c)(r) | ||
|
|
|
| 53,370,653 |
| ||
Specialty Retail 0.8% |
|
|
| ||||
2,076,345 |
| Fanatics, Inc. Ser. E |
| 35,900,005 | *(b)(c)(r) | ||
Total Preferred Stocks (Cost $113,048,172) |
| 116,302,660 |
|
Principal Amount |
|
|
| |||
Loan Assignments(e) 1.2% |
|
|
| |||
Data Centers 0.2% |
|
|
| |||
$ | 7,703,133 |
| Colorado Buyer Inc., Term Loan B, (3M USD LIBOR + 3.00)%, 4.00%, due 5/1/2024 |
| 7,389,692 |
|
|
|
|
|
|
|
|
Leisure Goods - Activities - Movies 0.5% |
|
|
| |||
25,000,000 |
| One Spa World, LLC, Second Lien Term Loan, (3M USD LIBOR + 7.50)%, 7.72%, due 3/18/2027 |
| 23,250,000 | (b)(c) | |
|
|
|
|
|
| |
Retailers (except food & drug) 0.5% |
|
|
| |||
20,345,541 |
| Party City Holdings Inc., Term Loan B, (3M USD LIBOR + 2.50)%, 3.25%, due 8/19/2022 |
| 19,566,714 | (f)(g) | |
|
|
|
|
|
| |
Total Loan Assignments |
| 50,206,406 |
| |||
Corporate Bonds 5.1% |
|
|
| |||
Commercial Services 0.6% |
|
|
| |||
23,530,000 |
| APX Group, Inc., 7.63%, due 9/1/2023 |
| 24,441,787 | (h) | |
|
|
|
|
|
| |
Electric 0.1% |
|
|
| |||
3,716,000 |
| Wisconsin Energy Corp., (3M USD LIBOR + 2.11)%, 2.33%, due 5/15/2067 |
| 3,348,736 | (e) | |
|
|
|
|
|
| |
Gas 0.3% |
|
|
| |||
12,105,000 |
| Rockpoint Gas Storage Canada Ltd., 7.00%, due 3/31/2023 |
| 11,905,873 | (i) | |
|
|
|
|
|
| |
Internet 0.2% |
|
|
| |||
|
| Uber Technologies, Inc. |
|
|
| |
1,850,000 |
| 7.50%, due 9/15/2027 |
| 2,028,081 | (i) | |
5,555,000 |
| 6.25%, due 1/15/2028 |
| 5,971,625 | (i) | |
|
|
|
| 7,999,706 |
| |
Miscellaneous Manufacturer 1.0% |
|
|
| |||
|
| Anagram International, Inc./Anagram Holdings LLC |
|
|
| |
22,456,677 |
| 10.00% Cash & 5.00% PIK, due 8/15/2025 |
| 26,498,879 | (i)(j) |
Principal Amount |
| Value |
| |||||
$ | 14,960,187 |
| 5.00% Cash & 5.00% PIK/10.00% Cash, due 8/15/2026 |
| $ |
| 14,960,187 | (i)(j) |
|
|
|
| 41,459,066 |
| |||
Pipelines 0.0%(k) |
|
|
| |||||
1,730,000 |
| Enterprise Products Operating LLC, (3M USD LIBOR + 2.78)%, 3.00%, due 6/1/2067 |
| 1,512,738 | (e) | |||
|
|
|
|
|
| |||
Retail 0.9% |
|
|
| |||||
13,010,000 |
| Argos Merger Sub, Inc., 7.13%, due 3/15/2023 |
| 13,041,875 | (i) | |||
27,199,035 |
| Party City Holdings, Inc., (6M USD LIBOR + 5.00)%, 5.75%, due 7/15/2025 |
| 25,703,088 | (e)(i) | |||
|
|
|
| 38,744,963 |
| |||
Specialty Retail 1.8% |
|
|
| |||||
|
| PetSmart, Inc./PetSmart Finance Corp. |
|
|
| |||
13,471,000 |
| 8.88%, due 6/1/2025 |
| 14,064,667 | (i) | |||
61,200,000 |
| 7.75%, due 2/15/2029 |
| 61,200,000 | (b)(i)(l) | |||
|
|
|
| 75,264,667 |
| |||
Theaters & Entertainment 0.2% |
|
|
| |||||
1,820,000 |
| Cinemark USA, Inc., 5.13%, due 12/15/2022 |
| 1,779,050 |
| |||
9,235,000 |
| Live Nation Entertainment, Inc., 4.75%, due 10/15/2027 |
| 9,258,087 | (i) | |||
|
|
|
| 11,037,137 |
| |||
Total Corporate Bonds |
| 215,714,673 |
| |||||
Convertible Bonds 0.6% |
|
|
| |||||
Semiconductors & Semiconductor Equipment 0.2% |
|
|
| |||||
4,020,000 |
| MagnaChip Semiconductor SA, 5.00%, due 3/1/2021 |
| 8,308,862 |
| |||
|
|
|
|
|
| |||
Software 0.4% |
|
|
| |||||
9,520,000 |
| Sailpoint Technologies Holdings, Inc., 09/24 0.125, 0.13%, due 9/15/2024 |
| 19,119,237 |
| |||
|
|
|
|
|
| |||
Internet 0.0%(k) |
|
|
| |||||
1,835,000 |
| Uber Technologies, Inc., 0.00%, due 12/15/2025 |
| 1,912,674 | (i) | |||
|
|
|
|
|
| |||
Total Convertible Bonds |
| 29,340,773 |
| |||||
Number of Units |
|
|
|
|
| |
|
|
|
|
|
| |
Master Limited and Limited Partnership Units 3.7% |
|
|
| |||
Capital Markets 1.4% |
|
|
| |||
2,584,217 |
| CC DNB Holdings, L.P. |
| 61,116,732 |
| |
|
|
|
|
|
| |
Multi-Utilities 1.0% |
|
|
| |||
789,900 |
| Brookfield Infrastructure Partners L.P. |
| 41,209,083 |
| |
|
|
|
|
|
| |
Oil, Gas & Consumable Fuels 1.3% |
|
|
| |||
2,721,000 |
| Enterprise Products Partners L.P. |
| 55,045,830 |
| |
|
|
|
|
|
| |
Total Master Limited and Limited Partnership Units (Cost $140,662,329) |
| 157,371,645 |
| |||
Warrants 0.1% |
|
|
| |||
Diversified Consumer Services 0.1% |
|
|
| |||
52,600 |
| OneSpaWorld Holdings Ltd. Expires 3/19/2024 |
| 144,650 | * | |
653,334 |
| OneSpaWorld Holdings Ltd. Pipe Expires 6/12/2025 |
|
| 3,194,803 | *(b) |
1 |
| Sweetgreen, Inc. Ser. J Expires 1/21/2026 |
| | *(b)(c)(r) | |
|
|
|
| 3,339,453 |
| |
|
| Food Products 0.0%(k) |
|
|
| |
301,400 |
| Whole Earth Brands, Inc. Expires 6/25/2025 |
| 418,946 | * | |
701,800 |
| Whole Earth Brands, Inc. Expires 6/25/2025 |
| 975,502 | * | |
|
|
|
| 1,394,448 |
| |
Total Warrants |
| 4,733,901 |
| |||
Total Purchased Options(m) 0.3% |
| 12,254,339 |
| |||
Short-Term Investments 5.1% |
|
|
| |||
Investment Companies 5.1% |
|
|
| |||
215,845,510 |
| State Street Institutional U.S. Government Money Market Fund Premier Class, 0.03%(n) |
| 215,845,510 | (d) | |
460,040 |
| State Street Navigator Securities Lending Government Money Market Portfolio, 0.06%(n) |
| 460,040 | (o) | |
Total Short-Term Investments |
| 216,305,550 |
| |||
Total Long Positions (97.3%) |
| 4,155,978,141 |
| |||
Short Positions ((8.5))%(p) |
|
|
| |||
Common Stocks Sold Short (6.9)% |
|
|
| |||
Aerospace & Defense (0.2)% |
|
|
| |||
(28,000 | ) | Northrop Grumman Corp. |
| (8,025,080 | ) | |
|
|
|
|
|
| |
Biotechnology (0.3)% |
|
|
| |||
(55,000 | ) | Exact Sciences Corp. |
| (7,543,800 | )* | |
(120,000 | ) | Invitae Corp. |
| (5,942,400 | )* | |
|
|
|
| (13,486,200 | ) | |
Building Products (0.3)% |
|
|
| |||
(101,000 | ) | Allegion PLC |
| (10,808,010 | ) | |
|
|
|
|
|
| |
Capital Markets (0.7)% |
|
|
| |||
(298,600 | ) | Carlyle Group, Inc. |
| (9,635,822 | ) | |
(498,300 | ) | Franklin Resources, Inc. |
| (13,100,307 | ) | |
(1,447,623 | ) | Prospect Capital Corp. |
| (9,120,025 | ) | |
|
|
|
| (31,856,154 | ) | |
Diversified Financial Services (0.3)% |
|
|
| |||
(1,316,700 | ) | UWM Holdings Corp. |
| (13,048,497 | )* | |
|
|
|
|
|
| |
Electric Utilities (0.2)% |
|
|
| |||
(143,900 | ) | Southern Co. |
| (8,478,588 | ) | |
|
|
|
|
|
| |
Energy Equipment & Services (0.2)% |
|
|
| |||
(772,200 | ) | NOV, Inc. |
| (9,559,836 | ) | |
|
|
|
|
|
| |
Equity Real Estate Investment Trusts (0.2)% |
|
|
| |||
(256,200 | ) | Iron Mountain, Inc. |
| (8,626,254 | ) | |
Number of Shares |
| Value |
| ||||
Food & Staples Retailing (0.1)% |
|
|
| ||||
(120,100 | ) | Kroger Co. |
| (4,143,450 | ) | ||
|
|
|
| ||||
Food Products (0.5)% |
|
|
| ||||
(400,000 | ) | Campbell Soup Co. |
| (19,244,000 | ) | ||
|
|
|
| ||||
Hotels, Restaurants & Leisure (1.0)% |
|
|
| ||||
(31,200 | ) | Dominos Pizza, Inc. |
| (11,567,712 | ) | ||
(295,000 | ) | MGM Resorts International |
| (8,425,200 | ) | ||
(110,000 | ) | Shake Shack, Inc. Class A |
| (12,476,200 | )* | ||
(155,000 | ) | Texas Roadhouse, Inc. |
| (11,812,550 | ) | ||
|
|
|
| (44,281,662 | ) | ||
IT Services (0.8)% |
|
|
| ||||
(92,000 | ) | Automatic Data Processing, Inc. |
| $ |
| (15,191,040 | ) |
(773,200 | ) | Western Union Co. |
| (17,219,164 | ) | ||
|
|
|
| (32,410,204 | ) | ||
Multi-Utilities (0.5)% |
|
|
| ||||
(280,000 | ) | Consolidated Edison, Inc. |
| (19,818,400 | ) | ||
|
|
|
| ||||
Semiconductors & Semiconductor Equipment (0.1)% |
|
|
| ||||
(11,700 | ) | NVIDIA Corp. |
| (6,079,203 | ) | ||
|
|
|
| ||||
Software (1.0)% |
|
|
| ||||
(122,000 | ) | Guidewire Software, Inc. |
| (13,998,280 | )* | ||
(175,000 | ) | SAP SE ADR |
| (22,085,000 | ) | ||
(15,000 | ) | Zoom Video Communications, Inc. Class A |
| (5,581,050 | )* | ||
|
|
|
| (41,664,330 | ) | ||
Specialty Retail (0.5)% |
|
|
| ||||
(68,700 | ) | Carvana Co. |
| (17,943,753 | )* | ||
(200,000 | ) | Petco Health & Wellness Co, Inc. |
| (5,206,000 | )* | ||
|
|
|
| (23,149,753 | ) | ||
Total Common Stocks Sold Short |
| (294,679,621 | ) | ||||
Principal Amount |
|
|
| ||||
Corporate Bonds Sold Short (1.4)% |
|
|
| ||||
Computers (0.1)% |
|
|
| ||||
(5,000,000 | ) | Banff Merger Sub, Inc., 9.75%, due 9/1/2026 |
| (5,304,600 | )(i) | ||
|
|
|
|
|
| ||
Lodging (0.2)% |
|
|
| ||||
(7,000,000 | ) | Boyd Gaming Corp., 4.75%, due 12/1/2027 |
| (7,200,025 | ) | ||
|
|
|
|
|
| ||
Media (0.9)% |
|
|
| ||||
(5,000,000 | ) | Clear Channel Worldwide Holdings, Inc., 5.13%, due 8/15/2027 |
| (5,118,750 | )(i) | ||
|
| Entercom Media Corp. |
|
|
| ||
(5,000,000 | ) | 6.50%, due 5/1/2027 |
| (5,160,600 | )(i) | ||
(9,500,000 | ) | 7.25%, due 11/1/2024 |
| (9,708,762 | )(i) | ||
(10,000,000 | ) | iHeartCommunications, Inc., 8.38%, due 5/1/2027 |
| (10,702,500 | ) | ||
(6,000,000 | ) | Univision Communications, Inc., 5.13%, due 2/15/2025 |
| (6,055,050 | )(i) | ||
|
|
|
| (36,745,662 | ) | ||
Retail (0.2)% |
|
|
| ||||
(10,000,000) |
| Sally Holdings LLC/Sally Capital, Inc., 5.63%, due 12/1/2025 |
| (10,321,250 | ) | ||
|
|
|
|
|
| ||
Total Corporate Bonds Sold Short |
| (59,571,537 | ) | ||||
Exchange-Traded Funds Sold Short (0.2)% |
|
|
| ||||
(92,200 | ) | SPDR S&P Retail ETF (Cost $(7,821,417)) |
| (8,114,522 | ) | ||
Total Short Positions |
| (362,365,680 | ) | ||||
Total Investments 88.8% |
| $ |
| 3,793,612,461 |
| ||
Other Assets Less Liabilities 11.2% |
| 478,879,991 | (q) | ||||
Net Assets 100.0% |
| $ |
| 4,272,492,452 |
|
* | Non-income producing security. |
(a) | All or a portion of the security is pledged as collateral for options written. |
(b) | Security fair valued as of January 31, 2021 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at January 31, 2021 amounted to $322,033,457, which represents 7.5% of net assets of the Fund. |
(c) | Value determined using significant unobservable inputs. |
(d) | All or a portion of this security is segregated in connection with obligations for securities sold short, options written, swaps and/or futures with a total value of $380,481,238. |
(e) | Variable or floating rate security. The interest rate shown was the current rate as of January 31, 2021 and changes periodically. |
(f) | All or a portion of this security was purchased on a delayed delivery basis. |
(g) | All or a portion of this security had not settled as of January 31, 2021 and thus may not have an interest rate in effect. Interest rates do not take effect until settlement. |
(h) | The security or a portion of this security is on loan at January 31, 2021. Total value of all such securities at January 31, 2021 amounted to $453,721 for the Fund. |
(i) | Securities were purchased or sold short under Rule 144A of the Securities Act of 1933, as amended, or are otherwise restricted and, unless registered under the Securities Act of 1933 or exempted from registration, may only be sold to qualified institutional investors or may have other restrictions on resale. At January 31, 2021, these securities amounted to $186,545,036 of long positions and $(31,347,762) of short positions, which represents 4.4% and (0.7)%, respectively, of net assets of the Fund. |
(j) | Payment-in-kind (PIK) security. |
(k) | Represents less than 0.05% of net assets of the Fund. |
(l) | When-issued security. Total value of all such securities at January 31, 2021, amounted to $61,200,000, which represents 1.4% of net assets of the Fund. |
(m) | See Purchased option contracts under Derivative Instruments. |
(n) | Represents 7-day effective yield as of January 31, 2021. |
(o) | Represents investment of cash collateral received from securities lending. |
(p) | At January 31, 2021, the Fund had $446,149,385 deposited in one or more accounts to satisfy collateral requirements for borrowing in connection with securities sold short. |
(q) | Includes the impact of the Funds open positions in derivtives at January 31, 2021. |
(r) | These securities have been deemed by the investment manager to be illiquid, and are subject to restrictions on resale. At January 31, 2021, these securities amounted to $222,038,098, which represents 5.2% of net assets of the Fund. |
Restricted Security |
| Acquisition |
| Acquisition |
| Acquisition Cost |
| Value as of |
| Fair Value |
| ||
AvidXchange, Inc. |
| 4/7/2020 |
| $ | 3,340,119 |
| 0.1 | % | $ | 4,592,663 |
| 0.1 | % |
AvidXchange, Inc. (Ser. F Preferred Shares) |
| 4/7/2020 |
| 13,360,475 |
| 0.5 | % | 18,370,653 |
| 0.5 | % | ||
DoubleVerify (Ser. A, Preferred Units) |
| 11/18/2020 |
| 7,399,998 |
| 0.2 | % | 7,399,998 |
| 0.2 | % | ||
Druva, Inc. |
| 6/14/2019 |
| 3,429,998 |
| 0.1 | % | 4,115,971 |
| 0.1 | % | ||
Duck Creek Technologies, Inc. |
| 8/18/2020 |
| 21,702,316 |
| 0.5 | % | 84,138,265 |
| 2.0 | % | ||
Fanatics, Inc. (Ser. E Preferred Shares) |
| 8/13/2020 |
| 35,900,005 |
| 1.0 | % | 35,900,005 |
| 0.8 | % | ||
LegalZoom.com, Inc. |
| 8/22/2018 |
| 21,259,563 |
| 0.6 | % | 23,385,627 |
| 0.6 | % | ||
Pride Parent, Inc. (Ser. A Preferred Shares) |
| 1/19/2021 |
| 35,000,000 |
| 0.8 | % | 35,000,000 |
| 0.8 | % | ||
Sweetgreen, Inc. (Ser. D Preferred Shares) |
| 11/30/2018 |
| 7,520,004 |
| 0.3 | % | 5,640,003 |
| 0.1 | % | ||
Sweetgreen, Inc. (Ser. I Preferred Shares) |
| 9/13/2019 |
| 1,009,430 |
| 0.0 | % | 1,009,430 |
| 0.0 | % | ||
Sweetgreen, Inc. (Ser. J Preferred Shares) |
| 1/21/2021 |
| 873,383 |
| 0.0 | % | 873,383 |
| 0.0 | % | ||
Sweetgreen, Inc. (Ser. J Warrants) |
| 1/21/2021 |
| |
| 0.0 | % | |
| 0.0 | % | ||
Venture Global LNG, Inc. Ser. C |
| 11/21/2018 |
| 2,303,000 |
| 0.1 | % | 1,612,100 |
| 0.0 | % | ||
Total |
|
|
| $ | 153,098,291 |
| 4.2 | % | $ | 222,038,098 |
| 5.2 | % |
Derivative Instruments
Futures contracts (futures)
At January 31, 2021, open positions in futures for the Fund were as follows:
Short Futures:
Expiration |
| Number of |
| Open Contracts |
| Notional |
| Value and |
| ||
3/2021 |
| 508 |
| NASDAQ 100 E-Mini Index |
| $ | (131,178,300 | ) | $ | (2,346,986 | ) |
3/2021 |
| 2,712 |
| S&P 500 E-Mini Index |
| (502,425,120 | ) | (635,769 | ) | ||
3/2021 |
| 105 |
| U.S. Treasury Long Bond |
| (17,715,469 | ) | 438,862 |
| ||
Total Futures |
|
|
|
|
| $ | (651,318,889 | ) | $ | (2,543,893 | ) |
At January 31, 2021, the Fund had $51,852,959 deposited in a segregated account to cover margin requirements on open futures.
Total return basket swap contracts (total return basket swaps)
At January 31, 2021, the Fund had outstanding total return basket swaps(a) as follows:
Over-the-counter total return basket swaps - Short (b)
Counterparty |
| Reference Entity |
| Effective |
| Spread |
| Reference Rate |
| Frequency of |
| Maturity Date(s) |
| Value |
| |
GSI |
| GSCBNBVL |
| 0.15 | % | (0.09 | )% | 3M USD LIBOR |
| 3M/T |
| 2/15/2021 |
| $ | (1,438,035 | ) |
GSI |
| GSCBNBVL |
| 0.15 | % | (0.09 | )% | 3M USD LIBOR |
| 3M/T |
| 2/15/2021 |
| (2,686,515 | ) | |
GSI |
| GSCBNBVL |
| 0.15 | % | (0.09 | )% | 3M USD LIBOR |
| 3M/T |
| 2/15/2021 |
| (689,343 | ) | |
GSI |
| GSCBNBVL |
| 0.15 | % | (0.09 | )% | 3M USD LIBOR |
| 3M/T |
| 4/15/2021 |
| (5,852,037 | ) | |
JPM |
| JPNBGCND |
| (0.41 | )% | (0.65 | )% | 3M USD LIBOR |
| 3M/T |
| 10/29/2021 |
| (14,783,146 | ) | |
JPM |
| JPNBLQGS |
| 0.16 | % | 0.03 | % | 1M USD LIBOR |
| 1M/T |
| 7/19/2021 |
| (3,250,020 | ) | |
JPM |
| JPNBLQGS |
| 0.16 | % | 0.03 | % | 1M USD LIBOR |
| 1M/T |
| 7/19/2021 |
| (3,754,427 | ) | |
JPM |
| JPNBLQGS |
| 0.16 | % | 0.03 | % | 1M USD LIBOR |
| 1M/T |
| 7/19/2021 |
| (7,894,613 | ) | |
JPM |
| JPNBLQGS |
| 0.16 | % | 0.03 | % | 1M USD LIBOR |
| 1M/T |
| 7/19/2021 |
| (7,169,122 | ) | |
JPM |
| JPNBLQGS |
| 0.16 | % | 0.03 | % | 1M USD LIBOR |
| 1M/T |
| 7/19/2021 |
| (3,424,342 | ) | |
JPM |
| JPNBLQGS |
| 0.16 | % | 0.03 | % | 1M USD LIBOR |
| 1M/T |
| 7/19/2021 |
| (6,447,299 | ) | |
JPM |
| JPNBRMV3 |
| 0.23 | % | (0.01 | )% | 3M USD LIBOR |
| 3M/T |
| 5/6/2022 |
| (12,651,016 | ) | |
Total |
|
|
|
|
|
|
|
|
|
|
|
|
| $ | (70,039,915 | ) |
(a) The following table represents required component disclosures associated with the total return basket swaps:
Reference Entity |
| Shares |
| Notional |
| Unrealized |
| Component |
| ||
GSCBNBVL |
|
|
|
|
|
|
|
|
| ||
Freeport-McMoRan Inc. |
| (2,132 | ) | $ | (177,659 | ) | $ | (36,552 | ) | 2.5 | % |
Albemarle Corp. |
| (296 | ) | (149,087 | ) | (30,674 | ) | 2.1 | % | ||
SVB Financial Group |
| (104 | ) | (141,312 | ) | (29,074 | ) | 2.0 | % | ||
Skyworks Solutions Inc. |
| (268 | ) | (140,545 | ) | (28,916 | ) | 2.0 | % | ||
United Rentals Inc. |
| (180 | ) | (135,339 | ) | (27,845 | ) | 1.9 | % | ||
DaVita Inc. |
| (348 | ) | (126,556 | ) | (26,038 | ) | 1.8 | % | ||
L Brands Inc. |
| (911 | ) | (114,978 | ) | (23,656 | ) | 1.6 | % | ||
Parker-Hannifin Corp. |
| (126 | ) | (103,588 | ) | (21,312 | ) | 1.5 | % | ||
Aptiv PLC |
| (249 | ) | (102,933 | ) | (21,178 | ) | 1.5 | % | ||
Fortune Brands Home & Security Inc. |
| (401 | ) | (107,056 | ) | (22,026 | ) | 1.5 | % | ||
Lennar Corp. |
| (415 | ) | (106,998 | ) | (22,014 | ) | 1.5 | % | ||
AES Corp./The |
| (1,335 | ) | (100,825 | ) | (20,744 | ) | 1.4 | % | ||
First Republic Bank/CA |
| (220 | ) | (98,854 | ) | (20,338 | ) | 1.4 | % | ||
Newell Brands Inc. |
| (1,312 | ) | (97,601 | ) | (20,081 | ) | 1.4 | % | ||
Ameriprise Financial Inc. |
| (158 | ) | (96,610 | ) | (19,877 | ) | 1.4 | % | ||
Kroger Co./The |
| (891 | ) | (95,230 | ) | (19,593 | ) | 1.4 | % | ||
Seagate Technology PLC |
| (463 | ) | (94,826 | ) | (19,510 | ) | 1.4 | % | ||
See Notes to Schedule of Investments
Reference Entity |
| Shares |
| Notional |
| Unrealized |
| Component |
| ||
GSCBNBVL (contd) |
|
|
|
|
|
|
|
|
| ||
Eastman Chemical Co. |
| (308 | ) | $ | (93,951 | ) | $ | (19,330 | ) | 1.3 | % |
eBay Inc. |
| (515 | ) | (90,217 | ) | (18,562 | ) | 1.3 | % | ||
Laboratory Corp of America Holdings |
| (126 | ) | (89,326 | ) | (18,378 | ) | 1.3 | % | ||
LKQ Corp. |
| (817 | ) | (88,774 | ) | (18,265 | ) | 1.3 | % | ||
Affiliated Managers Group Inc. |
| (260 | ) | (88,612 | ) | (18,231 | ) | 1.3 | % | ||
WW Grainger Inc. |
| (77 | ) | (87,364 | ) | (17,974 | ) | 1.2 | % | ||
Whirlpool Corp. |
| (152 | ) | (87,250 | ) | (17,951 | ) | 1.2 | % | ||
Capri Holdings Ltd. |
| (671 | ) | (86,512 | ) | (17,799 | ) | 1.2 | % | ||
Packaging Corp of America |
| (205 | ) | (85,546 | ) | (17,600 | ) | 1.2 | % | ||
State Street Corp. |
| (393 | ) | (85,094 | ) | (17,507 | ) | 1.2 | % | ||
Quest Diagnostics Inc. |
| (206 | ) | (82,490 | ) | (16,972 | ) | 1.2 | % | ||
International Paper Co. |
| (522 | ) | (81,261 | ) | (16,719 | ) | 1.2 | % | ||
Invesco Ltd. |
| (1,270 | ) | (80,964 | ) | (16,658 | ) | 1.2 | % | ||
McKesson Corp. |
| (148 | ) | (80,065 | ) | (16,473 | ) | 1.1 | % | ||
Mohawk Industries Inc. |
| (178 | ) | (79,168 | ) | (16,288 | ) | 1.1 | % | ||
NRG Energy Inc. |
| (609 | ) | (78,055 | ) | (16,059 | ) | 1.1 | % | ||
Cardinal Health Inc. |
| (469 | ) | (77,996 | ) | (16,047 | ) | 1.1 | % | ||
Nordstrom Inc. |
| (709 | ) | (77,888 | ) | (16,025 | ) | 1.1 | % | ||
Westrock Co. |
| (606 | ) | (77,705 | ) | (15,987 | ) | 1.1 | % | ||
Biogen Inc. |
| (88 | ) | (77,109 | ) | (15,864 | ) | 1.1 | % | ||
Regions Financial Corp. |
| (1,417 | ) | (74,629 | ) | (15,354 | ) | 1.1 | % | ||
Tapestry Inc. |
| (759 | ) | (74,310 | ) | (15,289 | ) | 1.1 | % | ||
Mosaic Co./The |
| (920 | ) | (73,942 | ) | (15,213 | ) | 1.1 | % | ||
Lumen Technologies Inc. |
| (1,928 | ) | (73,918 | ) | (15,208 | ) | 1.1 | % | ||
LyondellBasell Industries NV |
| (276 | ) | (73,196 | ) | (15,060 | ) | 1.0 | % | ||
Gap Inc./The |
| (1,167 | ) | (73,179 | ) | (15,056 | ) | 1.0 | % | ||
Interpublic Group of Cos Inc./The |
| (980 | ) | (73,083 | ) | (15,036 | ) | 1.0 | % | ||
Dow Inc. |
| (446 | ) | (71,613 | ) | (14,734 | ) | 1.0 | % | ||
Iron Mountain Inc. |
| (680 | ) | (70,866 | ) | (14,580 | ) | 1.0 | % | ||
Citizens Financial Group Inc. |
| (624 | ) | (70,416 | ) | (14,488 | ) | 1.0 | % | ||
Constellation Brands Inc. |
| (107 | ) | (69,931 | ) | (14,388 | ) | 1.0 | % | ||
Fifth Third Bancorp |
| (777 | ) | (69,632 | ) | (14,326 | ) | 1.0 | % | ||
Ralph Lauren Corp. |
| (222 | ) | (69,401 | ) | (14,279 | ) | 1.0 | % | ||
Foot Locker Inc. |
| (508 | ) | (68,918 | ) | (14,179 | ) | 1.0 | % | ||
Zions Bancorp NA |
| (497 | ) | (67,878 | ) | (13,965 | ) | 1.0 | % | ||
Leggett & Platt Inc. |
| (533 | ) | (67,709 | ) | (13,931 | ) | 1.0 | % | ||
J M Smucker Co./The |
| (186 | ) | (67,012 | ) | (13,787 | ) | 1.0 | % | ||
Other Securities |
| (28,835 | ) | (2,116,452 | ) | (435,442 | ) | 30.5 | % | ||
|
|
|
| $ | (6,991,429 | ) | $ | (1,438,432 | ) |
|
|
Accrued Net Interest Receivable/(Payable) |
|
|
|
|
| 397 |
|
|
| ||
|
|
|
|
|
| $ | (1,438,035 | ) |
|
|
GSCBNBVL |
|
|
|
|
|
|
|
|
| ||
Freeport-McMoRan Inc. |
| (3,703 | ) | $ | (308,645 | ) | $ | (68,284 | ) | 2.5 | % |
Albemarle Corp. |
| (514 | ) | (259,008 | ) | (57,302 | ) | 2.1 | % | ||
SVB Financial Group |
| (181 | ) | (245,500 | ) | (54,314 | ) | 2.0 | % | ||
Skyworks Solutions Inc. |
| (466 | ) | (244,167 | ) | (54,019 | ) | 2.0 | % | ||
United Rentals Inc. |
| (312 | ) | (235,123 | ) | (52,018 | ) | 1.9 | % | ||
DaVita Inc. |
| (605 | ) | (219,865 | ) | (48,643 | ) | 1.8 | % | ||
L Brands Inc. |
| (1,582 | ) | (199,750 | ) | (44,192 | ) | 1.6 | % | ||
Parker-Hannifin Corp. |
| (220 | ) | (179,962 | ) | (39,814 | ) | 1.5 | % | ||
Aptiv PLC |
| (432 | ) | (178,825 | ) | (39,563 | ) | 1.5 | % | ||
Fortune Brands Home & Security Inc. |
| (696 | ) | (185,986 | ) | (41,147 | ) | 1.5 | % | ||
Lennar Corp. |
| (722 | ) | (185,886 | ) | (41,125 | ) | 1.5 | % | ||
AES Corp./The |
| (2,319 | ) | (175,162 | ) | (38,753 | ) | 1.4 | % | ||
First Republic Bank/CA |
| (382 | ) | (171,738 | ) | (37,995 | ) | 1.4 | % | ||
Newell Brands Inc. |
| (2,279 | ) | (169,561 | ) | (37,513 | ) | 1.4 | % | ||
Ameriprise Financial Inc. |
| (274 | ) | (167,839 | ) | (37,132 | ) | 1.4 | % | ||
Kroger Co./The |
| (1,548 | ) | (165,442 | ) | (36,602 | ) | 1.4 | % | ||
Seagate Technology PLC |
| (804 | ) | (164,740 | ) | (36,447 | ) | 1.4 | % | ||
Eastman Chemical Co. |
| (536 | ) | (163,219 | ) | (36,110 | ) | 1.3 | % | ||
eBay Inc. |
| (896 | ) | (156,734 | ) | (34,675 | ) | 1.3 | % | ||
See Notes to Schedule of Investments
Reference Entity |
| Shares |
| Notional |
| Unrealized |
| Component |
| ||
GSCBNBVL (contd) |
|
|
|
|
|
|
|
|
| ||
Laboratory Corp of America Holdings |
| (219 | ) | $ | (155,185 | ) | $ | (34,333 | ) | 1.3 | % |
LKQ Corp. |
| (1,419 | ) | (154,226 | ) | (34,121 | ) | 1.3 | % | ||
Affiliated Managers Group Inc. |
| (451 | ) | (153,944 | ) | (34,058 | ) | 1.3 | % | ||
WW Grainger Inc. |
| (134 | ) | (151,776 | ) | (33,579 | ) | 1.2 | % | ||
Whirlpool Corp. |
| (264 | ) | (151,578 | ) | (33,535 | ) | 1.2 | % | ||
Capri Holdings Ltd. |
| (1,165 | ) | (150,296 | ) | (33,251 | ) | 1.2 | % | ||
Packaging Corp of America |
| (357 | ) | (148,619 | ) | (32,880 | ) | 1.2 | % | ||
State Street Corp. |
| (682 | ) | (147,832 | ) | (32,706 | ) | 1.2 | % | ||
Quest Diagnostics Inc. |
| (358 | ) | (143,310 | ) | (31,706 | ) | 1.2 | % | ||
International Paper Co. |
| (906 | ) | (141,175 | ) | (31,233 | ) | 1.2 | % | ||
Invesco Ltd. |
| (2,206 | ) | (140,658 | ) | (31,119 | ) | 1.2 | % | ||
McKesson Corp. |
| (257 | ) | (139,096 | ) | (30,773 | ) | 1.1 | % | ||
Mohawk Industries Inc. |
| (309 | ) | (137,537 | ) | (30,429 | ) | 1.1 | % | ||
NRG Energy Inc. |
| (1,057 | ) | (135,604 | ) | (30,001 | ) | 1.1 | % | ||
Cardinal Health Inc. |
| (814 | ) | (135,502 | ) | (29,978 | ) | 1.1 | % | ||
Nordstrom Inc. |
| (1,232 | ) | (135,314 | ) | (29,937 | ) | 1.1 | % | ||
Westrock Co. |
| (1,052 | ) | (134,996 | ) | (29,866 | ) | 1.1 | % | ||
Biogen Inc. |
| (153 | ) | (133,960 | ) | (29,637 | ) | 1.1 | % | ||
Regions Financial Corp. |
| (2,461 | ) | (129,652 | ) | (28,684 | ) | 1.1 | % | ||
Tapestry Inc. |
| (1,318 | ) | (129,097 | ) | (28,561 | ) | 1.1 | % | ||
Mosaic Co./The |
| (1,598 | ) | (128,459 | ) | (28,420 | ) | 1.1 | % | ||
Lumen Technologies Inc. |
| (3,349 | ) | (128,416 | ) | (28,411 | ) | 1.1 | % | ||
LyondellBasell Industries NV |
| (479 | ) | (127,163 | ) | (28,133 | ) | 1.0 | % | ||
Gap Inc./The |
| (2,027 | ) | (127,133 | ) | (28,127 | ) | 1.0 | % | ||
Interpublic Group of Cos Inc./The |
| (1,703 | ) | (126,966 | ) | (28,090 | ) | 1.0 | % | ||
Dow Inc. |
| (774 | ) | (124,413 | ) | (27,525 | ) | 1.0 | % | ||
Iron Mountain Inc. |
| (1,181 | ) | (123,114 | ) | (27,238 | ) | 1.0 | % | ||
Citizens Financial Group Inc. |
| (1,084 | ) | (122,333 | ) | (27,065 | ) | 1.0 | % | ||
Constellation Brands Inc. |
| (186 | ) | (121,489 | ) | (26,878 | ) | 1.0 | % | ||
Fifth Third Bancorp |
| (1,350 | ) | (120,970 | ) | (26,763 | ) | 1.0 | % | ||
Ralph Lauren Corp. |
| (385 | ) | (120,569 | ) | (26,674 | ) | 1.0 | % | ||
Foot Locker Inc. |
| (882 | ) | (119,731 | ) | (26,489 | ) | 1.0 | % | ||
Zions Bancorp NA |
| (863 | ) | (117,924 | ) | (26,089 | ) | 1.0 | % | ||
Leggett & Platt Inc. |
| (926 | ) | (117,629 | ) | (26,024 | ) | 1.0 | % | ||
J M Smucker Co./The |
| (323 | ) | (116,420 | ) | (25,757 | ) | 1.0 | % | ||
Other Securities |
| (50,099 | ) | (3,676,889 | ) | (813,473 | ) | 30.5 | % | ||
|
|
|
| $ | (12,146,127 | ) | $ | (2,687,191 | ) |
|
|
Accrued Net Interest Receivable/(Payable) |
|
|
|
|
| 676 |
|
|
| ||
|
|
|
|
|
| $ | (2,686,515 | ) |
|
| |
|
|
|
|
|
|
|
|
|
| ||
GSCBNBVL |
|
|
|
|
|
|
|
|
| ||
Freeport-McMoRan Inc. |
| (1,216 | ) | $ | (101,356 | ) | $ | (17,523 | ) | 2.5 | % |
Albemarle Corp. |
| (169 | ) | (85,056 | ) | (14,705 | ) | 2.1 | % | ||
SVB Financial Group |
| (59 | ) | (80,620 | ) | (13,938 | ) | 2.0 | % | ||
Skyworks Solutions Inc. |
| (153 | ) | (80,182 | ) | (13,862 | ) | 2.0 | % | ||
United Rentals Inc. |
| (103 | ) | (77,212 | ) | (13,349 | ) | 1.9 | % | ||
DaVita Inc. |
| (199 | ) | (72,201 | ) | (12,482 | ) | 1.8 | % | ||
L Brands Inc. |
| (520 | ) | (65,596 | ) | (11,341 | ) | 1.6 | % | ||
Parker-Hannifin Corp. |
| (72 | ) | (59,098 | ) | (10,217 | ) | 1.5 | % | ||
Aptiv PLC |
| (142 | ) | (58,724 | ) | (10,153 | ) | 1.5 | % | ||
Fortune Brands Home & Security Inc. |
| (229 | ) | (61,076 | ) | (10,559 | ) | 1.5 | % | ||
Lennar Corp. |
| (237 | ) | (61,043 | ) | (10,553 | ) | 1.5 | % | ||
AES Corp./The |
| (762 | ) | (57,522 | ) | (9,945 | ) | 1.4 | % | ||
First Republic Bank/CA |
| (126 | ) | (56,397 | ) | (9,750 | ) | 1.4 | % | ||
Newell Brands Inc. |
| (749 | ) | (55,682 | ) | (9,627 | ) | 1.4 | % | ||
Ameriprise Financial Inc. |
| (90 | ) | (55,117 | ) | (9,529 | ) | 1.4 | % | ||
Kroger Co./The |
| (508 | ) | (54,329 | ) | (9,393 | ) | 1.4 | % | ||
Seagate Technology PLC |
| (264 | ) | (54,099 | ) | (9,353 | ) | 1.4 | % | ||
Eastman Chemical Co. |
| (176 | ) | (53,600 | ) | (9,267 | ) | 1.3 | % | ||
eBay Inc. |
| (294 | ) | (51,470 | ) | (8,898 | ) | 1.3 | % | ||
Laboratory Corp of America Holdings |
| (72 | ) | (50,961 | ) | (8,810 | ) | 1.3 | % | ||
LKQ Corp. |
| (466 | ) | (50,646 | ) | (8,756 | ) | 1.3 | % | ||
Affiliated Managers Group Inc. |
| (148 | ) | (50,554 | ) | (8,740 | ) | 1.3 | % | ||
WW Grainger Inc. |
| (44 | ) | (49,842 | ) | (8,617 | ) | 1.2 | % |
See Notes to Schedule of Investments
Reference Entity |
| Shares |
| Notional |
| Unrealized |
| Component |
| ||
GSCBNBVL (contd) |
|
|
|
|
|
|
|
|
| ||
Whirlpool Corp. |
| (87 | ) | $ | (49,777 | ) | $ | (8,606 | ) | 1.2 | % |
Capri Holdings Ltd. |
| (383 | ) | (49,356 | ) | (8,533 | ) | 1.2 | % | ||
Packaging Corp of America |
| (117 | ) | (48,805 | ) | (8,438 | ) | 1.2 | % | ||
State Street Corp. |
| (224 | ) | (48,547 | ) | (8,393 | ) | 1.2 | % | ||
Quest Diagnostics Inc. |
| (118 | ) | (47,062 | ) | (8,136 | ) | 1.2 | % | ||
International Paper Co. |
| (298 | ) | (46,360 | ) | (8,015 | ) | 1.2 | % | ||
Invesco Ltd. |
| (724 | ) | (46,191 | ) | (7,986 | ) | 1.2 | % | ||
McKesson Corp. |
| (85 | ) | (45,678 | ) | (7,897 | ) | 1.1 | % | ||
Mohawk Industries Inc. |
| (102 | ) | (45,166 | ) | (7,808 | ) | 1.1 | % | ||
NRG Energy Inc. |
| (347 | ) | (44,531 | ) | (7,699 | ) | 1.1 | % | ||
Cardinal Health Inc. |
| (267 | ) | (44,498 | ) | (7,693 | ) | 1.1 | % | ||
Nordstrom Inc. |
| (405 | ) | (44,436 | ) | (7,682 | ) | 1.1 | % | ||
Westrock Co. |
| (346 | ) | (44,331 | ) | (7,664 | ) | 1.1 | % | ||
Biogen Inc. |
| (50 | ) | (43,991 | ) | (7,605 | ) | 1.1 | % | ||
Regions Financial Corp. |
| (808 | ) | (42,577 | ) | (7,361 | ) | 1.1 | % | ||
Tapestry Inc. |
| (433 | ) | (42,394 | ) | (7,329 | ) | 1.1 | % | ||
Mosaic Co./The |
| (525 | ) | (42,185 | ) | (7,293 | ) | 1.1 | % | ||
Lumen Technologies Inc. |
| (1,100 | ) | (42,171 | ) | (7,291 | ) | 1.1 | % | ||
LyondellBasell Industries NV |
| (157 | ) | (41,759 | ) | (7,219 | ) | 1.0 | % | ||
Gap Inc./The |
| (666 | ) | (41,749 | ) | (7,218 | ) | 1.0 | % | ||
Interpublic Group of Cos Inc./The |
| (559 | ) | (41,694 | ) | (7,208 | ) | 1.0 | % | ||
Dow Inc. |
| (254 | ) | (40,856 | ) | (7,063 | ) | 1.0 | % | ||
Iron Mountain Inc. |
| (388 | ) | (40,429 | ) | (6,990 | ) | 1.0 | % | ||
Citizens Financial Group Inc. |
| (356 | ) | (40,173 | ) | (6,945 | ) | 1.0 | % | ||
Constellation Brands Inc. |
| (61 | ) | (39,896 | ) | (6,897 | ) | 1.0 | % | ||
Fifth Third Bancorp |
| (443 | ) | (39,725 | ) | (6,868 | ) | 1.0 | % | ||
Ralph Lauren Corp. |
| (127 | ) | (39,594 | ) | (6,845 | ) | 1.0 | % | ||
Foot Locker Inc. |
| (290 | ) | (39,318 | ) | (6,798 | ) | 1.0 | % | ||
Zions Bancorp NA |
| (283 | ) | (38,725 | ) | (6,695 | ) | 1.0 | % | ||
Leggett & Platt Inc. |
| (304 | ) | (38,628 | ) | (6,678 | ) | 1.0 | % | ||
J M Smucker Co./The |
| (106 | ) | (38,231 | ) | (6,610 | ) | 1.0 | % | ||
Other Securities |
| (16,449 | ) | (1,207,454 | ) | (208,749 | ) | 30.5 | % | ||
|
|
|
| $ | (3,988,670 | ) | $ | (689,579 | ) |
|
|
Accrued Net Interest Receivable/(Payable) |
|
|
|
|
| 236 |
|
|
| ||
|
|
|
|
|
| $ | (689,343 | ) |
|
| |
|
|
|
|
|
|
|
|
|
| ||
GSCBNBVL |
|
|
|
|
|
|
|
|
| ||
Freeport-McMoRan Inc. |
| (10,424 | ) | $ | (868,722 | ) | $ | (148,757 | ) | 2.5 | % |
Albemarle Corp. |
| (1,447 | ) | (729,012 | ) | (124,834 | ) | 2.1 | % | ||
SVB Financial Group |
| (510 | ) | (690,994 | ) | (118,324 | ) | 2.0 | % | ||
Skyworks Solutions Inc. |
| (1,311 | ) | (687,240 | ) | (117,681 | ) | 2.0 | % | ||
United Rentals Inc. |
| (879 | ) | (661,785 | ) | (113,322 | ) | 1.9 | % | ||
DaVita Inc. |
| (1,702 | ) | (618,838 | ) | (105,968 | ) | 1.8 | % | ||
L Brands Inc. |
| (4,454 | ) | (562,222 | ) | (96,273 | ) | 1.6 | % | ||
Parker-Hannifin Corp. |
| (618 | ) | (506,526 | ) | (86,736 | ) | 1.5 | % | ||
Aptiv PLC |
| (1,216 | ) | (503,326 | ) | (86,188 | ) | 1.5 | % | ||
Fortune Brands Home & Security Inc. |
| (1,960 | ) | (523,484 | ) | (89,640 | ) | 1.5 | % | ||
Lennar Corp. |
| (2,032 | ) | (523,200 | ) | (89,591 | ) | 1.5 | % | ||
AES Corp./The |
| (6,527 | ) | (493,018 | ) | (84,423 | ) | 1.4 | % | ||
First Republic Bank/CA |
| (1,076 | ) | (483,380 | ) | (82,772 | ) | 1.4 | % | ||
Newell Brands Inc. |
| (6,416 | ) | (477,253 | ) | (81,723 | ) | 1.4 | % | ||
Ameriprise Financial Inc. |
| (771 | ) | (472,405 | ) | (80,893 | ) | 1.4 | % | ||
Kroger Co./The |
| (4,358 | ) | (465,658 | ) | (79,738 | ) | 1.4 | % | ||
Seagate Technology PLC |
| (2,264 | ) | (463,683 | ) | (79,400 | ) | 1.4 | % | ||
Eastman Chemical Co. |
| (1,508 | ) | (459,403 | ) | (78,667 | ) | 1.3 | % | ||
eBay Inc. |
| (2,521 | ) | (441,147 | ) | (75,541 | ) | 1.3 | % | ||
Laboratory Corp of America Holdings |
| (616 | ) | (436,790 | ) | (74,795 | ) | 1.3 | % | ||
LKQ Corp. |
| (3,994 | ) | (434,091 | ) | (74,332 | ) | 1.3 | % | ||
Affiliated Managers Group Inc. |
| (1,270 | ) | (433,297 | ) | (74,196 | ) | 1.3 | % | ||
WW Grainger Inc. |
| (379 | ) | (427,194 | ) | (73,151 | ) | 1.2 | % | ||
Whirlpool Corp. |
| (744 | ) | (426,636 | ) | (73,056 | ) | 1.2 | % | ||
Capri Holdings Ltd. |
| (3,279 | ) | (423,028 | ) | (72,438 | ) | 1.2 | % | ||
Packaging Corp of America |
| (1,005 | ) | (418,307 | ) | (71,630 | ) | 1.2 | % | ||
State Street Corp. |
| (1,919 | ) | (416,094 | ) | (71,251 | ) | 1.2 | % |
See Notes to Schedule of Investments
Reference Entity |
| Shares |
| Notional |
| Unrealized |
| Component |
| ||
GSCBNBVL (contd) |
|
|
|
|
|
|
|
|
| ||
Quest Diagnostics Inc. |
| (1,008 | ) | $ | (403,364 | ) | $ | (69,071 | ) | 1.2 | % |
International Paper Co. |
| (2,550 | ) | (397,355 | ) | (68,042 | ) | 1.2 | % | ||
Invesco Ltd. |
| (6,209 | ) | (395,901 | ) | (67,793 | ) | 1.2 | % | ||
McKesson Corp. |
| (725 | ) | (391,504 | ) | (67,040 | ) | 1.1 | % | ||
Mohawk Industries Inc. |
| (870 | ) | (387,117 | ) | (66,289 | ) | 1.1 | % | ||
NRG Energy Inc. |
| (2,976 | ) | (381,677 | ) | (65,357 | ) | 1.1 | % | ||
Cardinal Health Inc. |
| (2,292 | ) | (381,388 | ) | (65,308 | ) | 1.1 | % | ||
Nordstrom Inc. |
| (3,469 | ) | (380,858 | ) | (65,217 | ) | 1.1 | % | ||
Westrock Co. |
| (2,961 | ) | (379,964 | ) | (65,064 | ) | 1.1 | % | ||
Biogen Inc. |
| (431 | ) | (377,048 | ) | (64,565 | ) | 1.1 | % | ||
Regions Financial Corp. |
| (6,927 | ) | (364,924 | ) | (62,488 | ) | 1.1 | % | ||
Tapestry Inc. |
| (3,711 | ) | (363,362 | ) | (62,221 | ) | 1.1 | % | ||
Mosaic Co./The |
| (4,497 | ) | (361,566 | ) | (61,913 | ) | 1.1 | % | ||
Lumen Technologies Inc. |
| (9,427 | ) | (361,445 | ) | (61,893 | ) | 1.1 | % | ||
LyondellBasell Industries NV |
| (1,348 | ) | (357,916 | ) | (61,288 | ) | 1.0 | % | ||
Gap Inc./The |
| (5,706 | ) | (357,834 | ) | (61,274 | ) | 1.0 | % | ||
Interpublic Group of Cos Inc./The |
| (4,794 | ) | (357,362 | ) | (61,194 | ) | 1.0 | % | ||
Dow Inc. |
| (2,179 | ) | (350,177 | ) | (59,963 | ) | 1.0 | % | ||
Iron Mountain Inc. |
| (3,323 | ) | (346,521 | ) | (59,337 | ) | 1.0 | % | ||
Citizens Financial Group Inc. |
| (3,051 | ) | (344,324 | ) | (58,961 | ) | 1.0 | % | ||
Constellation Brands Inc. |
| (523 | ) | (341,948 | ) | (58,554 | ) | 1.0 | % | ||
Fifth Third Bancorp |
| (3,800 | ) | (340,487 | ) | (58,304 | ) | 1.0 | % | ||
Ralph Lauren Corp. |
| (1,084 | ) | (339,357 | ) | (58,110 | ) | 1.0 | % | ||
Foot Locker Inc. |
| (2,483 | ) | (336,999 | ) | (57,707 | ) | 1.0 | % | ||
Zions Bancorp NA |
| (2,428 | ) | (331,913 | ) | (56,836 | ) | 1.0 | % | ||
Leggett & Platt Inc. |
| (2,607 | ) | (331,083 | ) | (56,694 | ) | 1.0 | % | ||
J M Smucker Co./The |
| (909 | ) | (327,679 | ) | (56,111 | ) | 1.0 | % | ||
Other Securities |
| (141,012 | ) | (10,349,098 | ) | (1,772,147 | ) | 30.5 | % | ||
|
|
|
| $ | (34,186,904 | ) | $ | (5,854,061 | ) |
|
|
Accrued Net Interest Receivable/(Payable) |
|
|
|
|
| 2,024 |
|
|
| ||
|
|
|
|
|
| $ | (5,852,037 | ) |
|
| |
JPNBGCND |
|
|
|
|
|
|
|
|
| ||
Amazon.com Inc. |
| (4,226 | ) | $ | (13,412,916 | ) | $ | (3,663,699 | ) | 24.8 | % |
Home Depot Inc./The |
| (9,247 | ) | (2,479,273 | ) | (677,206 | ) | 4.6 | % | ||
Toyota Motor Corp. |
| (26,615 | ) | (1,837,120 | ) | (501,804 | ) | 3.4 | % | ||
NIKE Inc. |
| (13,866 | ) | (1,833,870 | ) | (500,916 | ) | 3.4 | % | ||
LVMH Moet Hennessy Louis Vuitton SE |
| (3,032 | ) | (1,814,671 | ) | (495,672 | ) | 3.4 | % | ||
McDonalds Corp. |
| (8,069 | ) | (1,660,180 | ) | (453,473 | ) | 3.1 | % | ||
Lowes Cos Inc. |
| (8,823 | ) | (1,457,463 | ) | (398,102 | ) | 2.7 | % | ||
Sony Corp. |
| (14,307 | ) | (1,359,606 | ) | (371,372 | ) | 2.5 | % | ||
Starbucks Corp. |
| (13,974 | ) | (1,339,248 | ) | (365,812 | ) | 2.5 | % | ||
Target Corp. |
| (5,775 | ) | (1,035,784 | ) | (282,921 | ) | 1.9 | % | ||
Booking Holdings Inc. |
| (518 | ) | (997,799 | ) | (272,546 | ) | 1.8 | % | ||
TJX Cos Inc./The |
| (14,501 | ) | (919,381 | ) | (251,126 | ) | 1.7 | % | ||
Daimler AG |
| (12,293 | ) | (858,117 | ) | (234,392 | ) | 1.6 | % | ||
General Motors Co. |
| (15,891 | ) | (797,281 | ) | (217,775 | ) | 1.5 | % | ||
eBay Inc. |
| (11,888 | ) | (665,078 | ) | (181,664 | ) | 1.2 | % | ||
adidas AG |
| (2,077 | ) | (653,611 | ) | (178,532 | ) | 1.2 | % | ||
Cie Financiere Richemont SA |
| (6,716 | ) | (618,830 | ) | (169,032 | ) | 1.1 | % | ||
Kering SA |
| (947 | ) | (616,249 | ) | (168,327 | ) | 1.1 | % | ||
Chipotle Mexican Grill Inc. |
| (412 | ) | (603,747 | ) | (164,912 | ) | 1.1 | % | ||
Fast Retailing Co Ltd. |
| (707 | ) | (600,686 | ) | (164,076 | ) | 1.1 | % | ||
Aptiv PLC |
| (4,475 | ) | (591,879 | ) | (161,670 | ) | 1.1 | % | ||
Dollar General Corp. |
| (2,934 | ) | (565,348 | ) | (154,423 | ) | 1.0 | % | ||
Ross Stores Inc. |
| (4,942 | ) | (544,465 | ) | (148,719 | ) | 1.0 | % | ||
Honda Motor Co Ltd. |
| (19,984 | ) | (522,372 | ) | (142,684 | ) | 1.0 | % | ||
Ford Motor Co. |
| (48,341 | ) | (503,934 | ) | (137,648 | ) | 0.9 | % | ||
Oriental Land Co Ltd./Japan |
| (3,196 | ) | (494,099 | ) | (134,962 | ) | 0.9 | % | ||
Hermes International |
| (484 | ) | (489,508 | ) | (133,708 | ) | 0.9 | % | ||
Volkswagen AG |
| (2,560 | ) | (480,984 | ) | (131,379 | ) | 0.9 | % | ||
Compass Group PLC |
| (26,217 | ) | (466,187 | ) | (127,338 | ) | 0.9 | % | ||
Panasonic Corp. |
| (34,291 | ) | (438,203 | ) | (119,694 | ) | 0.8 | % |
See Notes to Schedule of Investments
Reference Entity |
| Shares |
| Notional |
| Unrealized |
| Component |
| ||
JPNBGCND (contd) |
|
|
|
|
|
|
|
|
| ||
DR Horton Inc. |
| (5,714 | ) | $ | (434,409 | ) | $ | (118,657 | ) | 0.8 | % |
OReilly Automotive Inc. |
| (1,025 | ) | (431,702 | ) | (117,918 | ) | 0.8 | % | ||
Michelin |
| (3,127 | ) | (427,806 | ) | (116,854 | ) | 0.8 | % | ||
Yum! Brands Inc. |
| (4,251 | ) | (427,114 | ) | (116,665 | ) | 0.8 | % | ||
Bayerische Motoren Werke AG |
| (5,028 | ) | (422,750 | ) | (115,473 | ) | 0.8 | % | ||
Industria de Diseno Textil SA |
| (14,215 | ) | (418,125 | ) | (114,210 | ) | 0.8 | % | ||
Bandai Namco Holdings Inc. |
| (4,926 | ) | (416,493 | ) | (113,764 | ) | 0.8 | % | ||
AutoZone Inc. |
| (357 | ) | (395,618 | ) | (108,062 | ) | 0.7 | % | ||
Lennar Corp. |
| (4,791 | ) | (394,417 | ) | (107,734 | ) | 0.7 | % | ||
Hilton Worldwide Holdings Inc. |
| (3,891 | ) | (390,581 | ) | (106,686 | ) | 0.7 | % | ||
Marriott International Inc./MD |
| (3,353 | ) | (386,094 | ) | (105,460 | ) | 0.7 | % | ||
Magna International Inc. |
| (5,463 | ) | (380,440 | ) | (103,916 | ) | 0.7 | % | ||
Denso Corp. |
| (6,799 | ) | (373,343 | ) | (101,978 | ) | 0.7 | % | ||
Best Buy Co Inc. |
| (3,436 | ) | (370,149 | ) | (101,105 | ) | 0.7 | % | ||
Toyota Industries Corp. |
| (4,685 | ) | (364,543 | ) | (99,574 | ) | 0.7 | % | ||
CarMax Inc. |
| (2,833 | ) | (330,369 | ) | (90,239 | ) | 0.6 | % | ||
VF Corp. |
| (4,298 | ) | (327,099 | ) | (89,346 | ) | 0.6 | % | ||
Sekisui House Ltd. |
| (15,113 | ) | (288,517 | ) | (78,808 | ) | 0.5 | % | ||
Dollar Tree Inc. |
| (2,832 | ) | (285,001 | ) | (77,847 | ) | 0.5 | % | ||
Bridgestone Corp. |
| (7,780 | ) | (284,531 | ) | (77,719 | ) | 0.5 | % | ||
Other Securities |
| (281,175 | ) | (5,886,791 | ) | (1,607,958 | ) | 11.0 | % | ||
|
|
|
| $ | (54,093,781 | ) | $ | (14,775,557 | ) |
|
|
Accrued Net Interest Receivable/(Payable) |
|
|
|
|
| (7,589 | ) |
|
| ||
|
|
|
|
|
| $ | (14,783,146 | ) |
|
| |
JPNBLQGS |
|
|
|
|
|
|
|
|
| ||
Freeport-McMoRan Inc. |
| (15,653 | ) | $ | (474,838 | ) | $ | (69,977 | ) | 2.2 | % |
NVIDIA Corp. |
| (808 | ) | (473,280 | ) | (69,747 | ) | 2.1 | % | ||
ABIOMED Inc. |
| (1,109 | ) | (435,204 | ) | (64,136 | ) | 2.0 | % | ||
Align Technology Inc. |
| (706 | ) | (417,944 | ) | (61,592 | ) | 1.9 | % | ||
Quanta Services Inc. |
| (4,914 | ) | (390,389 | ) | (57,532 | ) | 1.8 | % | ||
Advanced Micro Devices Inc. |
| (4,042 | ) | (390,161 | ) | (57,498 | ) | 1.8 | % | ||
Synopsys Inc. |
| (1,344 | ) | (386,944 | ) | (57,024 | ) | 1.8 | % | ||
Chipotle Mexican Grill Inc. |
| (231 | ) | (385,618 | ) | (56,829 | ) | 1.7 | % | ||
IDEXX Laboratories Inc. |
| (694 | ) | (374,371 | ) | (55,171 | ) | 1.7 | % | ||
Lam Research Corp. |
| (657 | ) | (358,662 | ) | (52,856 | ) | 1.6 | % | ||
Netflix Inc. |
| (594 | ) | (356,494 | ) | (52,537 | ) | 1.6 | % | ||
Take-Two Interactive Software Inc. |
| (1,576 | ) | (356,085 | ) | (52,476 | ) | 1.6 | % | ||
KLA Corp. |
| (1,112 | ) | (351,026 | ) | (51,731 | ) | 1.6 | % | ||
IPG Photonics Corp. |
| (1,387 | ) | (349,340 | ) | (51,482 | ) | 1.6 | % | ||
Applied Materials Inc. |
| (3,182 | ) | (346,805 | ) | (51,109 | ) | 1.6 | % | ||
Centene Corp. |
| (5,095 | ) | (346,320 | ) | (51,037 | ) | 1.6 | % | ||
Twitter Inc. |
| (5,883 | ) | (335,108 | ) | (49,385 | ) | 1.5 | % | ||
FedEx Corp. |
| (1,261 | ) | (334,473 | ) | (49,291 | ) | 1.5 | % | ||
Broadcom Inc. |
| (655 | ) | (332,675 | ) | (49,026 | ) | 1.5 | % | ||
MarketAxess Holdings Inc. |
| (544 | ) | (331,380 | ) | (48,835 | ) | 1.5 | % | ||
Autodesk Inc. |
| (1,045 | ) | (326,782 | ) | (48,158 | ) | 1.5 | % | ||
MSCI Inc. |
| (725 | ) | (323,242 | ) | (47,636 | ) | 1.5 | % | ||
Arista Networks Inc. |
| (917 | ) | (318,072 | ) | (46,874 | ) | 1.4 | % | ||
Old Dominion Freight Line Inc. |
| (1,444 | ) | (315,720 | ) | (46,528 | ) | 1.4 | % | ||
DR Horton Inc. |
| (3,632 | ) | (314,444 | ) | (46,340 | ) | 1.4 | % | ||
Keysight Technologies Inc. |
| (1,946 | ) | (310,580 | ) | (45,770 | ) | 1.4 | % | ||
Micron Technology Inc. |
| (3,487 | ) | (307,684 | ) | (45,343 | ) | 1.4 | % | ||
Lennar Corp. |
| (3,183 | ) | (298,366 | ) | (43,970 | ) | 1.4 | % | ||
Illumina Inc. |
| (617 | ) | (296,639 | ) | (43,716 | ) | 1.3 | % | ||
Regeneron Pharmaceuticals Inc. |
| (522 | ) | (296,295 | ) | (43,665 | ) | 1.3 | % | ||
Electronic Arts Inc. |
| (1,808 | ) | (291,836 | ) | (43,008 | ) | 1.3 | % | ||
Texas Instruments Inc. |
| (1,545 | ) | (288,638 | ) | (42,537 | ) | 1.3 | % | ||
Microchip Technology Inc. |
| (1,848 | ) | (283,607 | ) | (41,795 | ) | 1.3 | % | ||
Analog Devices Inc. |
| (1,688 | ) | (280,417 | ) | (41,325 | ) | 1.3 | % | ||
Dollar General Corp. |
| (1,271 | ) | (278,806 | ) | (41,088 | ) | 1.3 | % | ||
Fastenal Co. |
| (5,391 | ) | (277,063 | ) | (40,831 | ) | 1.3 | % | ||
First Republic Bank/CA |
| (1,689 | ) | (276,103 | ) | (40,689 | ) | 1.3 | % | ||
Fortinet Inc. |
| (1,689 | ) | (275,599 | ) | (40,615 | ) | 1.2 | % |
See Notes to Schedule of Investments
Reference Entity |
| Shares |
| Notional |
| Unrealized |
| Component |
| ||
JPNBLQGS (contd) |
|
|
|
|
|
|
|
|
| ||
T Rowe Price Group Inc. |
| (1,524 | ) | $ | (268,753 | ) | $ | (39,606 | ) | 1.2 | % |
NVR Inc. |
| (52 | ) | (260,484 | ) | (38,388 | ) | 1.2 | % | ||
AmerisourceBergen Corp. |
| (2,199 | ) | (258,328 | ) | (38,070 | ) | 1.2 | % | ||
Copart Inc. |
| (2,069 | ) | (255,993 | ) | (37,726 | ) | 1.2 | % | ||
JB Hunt Transport Services Inc. |
| (1,680 | ) | (254,954 | ) | (37,573 | ) | 1.2 | % | ||
Incyte Corp. |
| (2,495 | ) | (252,422 | ) | (37,199 | ) | 1.1 | % | ||
IQVIA Holdings Inc. |
| (1,250 | ) | (250,450 | ) | (36,909 | ) | 1.1 | % | ||
Expeditors International of Washington Inc. |
| (2,473 | ) | (249,546 | ) | (36,776 | ) | 1.1 | % | ||
Tapestry Inc. |
| (6,972 | ) | (248,514 | ) | (36,624 | ) | 1.1 | % | ||
Broadridge Financial Solutions Inc. |
| (1,555 | ) | (247,709 | ) | (36,505 | ) | 1.1 | % | ||
Estee Lauder Cos Inc./The |
| (923 | ) | (246,209 | ) | (36,284 | ) | 1.1 | % | ||
McCormick & Co Inc./MD |
| (2,407 | ) | (242,927 | ) | (35,800 | ) | 1.1 | % | ||
Robert Half International Inc. |
| (3,169 | ) | (241,103 | ) | (35,531 | ) | 1.1 | % | ||
Starbucks Corp. |
| (2,173 | ) | (237,104 | ) | (34,942 | ) | 1.1 | % | ||
PulteGroup Inc. |
| (4,828 | ) | (236,758 | ) | (34,891 | ) | 1.1 | % | ||
Leidos Holdings Inc. |
| (1,966 | ) | (235,100 | ) | (34,647 | ) | 1.1 | % | ||
Darden Restaurants Inc. |
| (1,780 | ) | (234,528 | ) | (34,562 | ) | 1.1 | % | ||
Cigna Corp. |
| (954 | ) | (233,300 | ) | (34,381 | ) | 1.1 | % | ||
CH Robinson Worldwide Inc. |
| (2,392 | ) | (230,680 | ) | (33,995 | ) | 1.0 | % | ||
Ulta Beauty Inc. |
| (726 | ) | (229,003 | ) | (33,748 | ) | 1.0 | % | ||
LKQ Corp. |
| (5,789 | ) | (228,995 | ) | (33,747 | ) | 1.0 | % | ||
CBRE Group Inc. |
| (3,308 | ) | (227,415 | ) | (33,514 | ) | 1.0 | % | ||
Mastercard Inc. |
| (628 | ) | (223,905 | ) | (32,997 | ) | 1.0 | % | ||
Cardinal Health Inc. |
| (3,696 | ) | (223,869 | ) | (32,992 | ) | 1.0 | % | ||
Vertex Pharmaceuticals Inc. |
| (854 | ) | (220,562 | ) | (32,504 | ) | 1.0 | % | ||
OReilly Automotive Inc. |
| (456 | ) | (218,724 | ) | (32,233 | ) | 1.0 | % | ||
Booking Holdings Inc. |
| (98 | ) | (214,559 | ) | (31,620 | ) | 1.0 | % | ||
Ross Stores Inc. |
| (1,704 | ) | (213,760 | ) | (31,502 | ) | 1.0 | % | ||
Westinghouse Air Brake Technologies Corp. |
| (2,519 | ) | (210,755 | ) | (31,059 | ) | 1.0 | % | ||
Other Securities |
| (30,467 | ) | (2,279,477 | ) | (335,926 | ) | 10.2 | % | ||
|
|
|
| $ | (22,062,896 | ) | $ | (3,251,410 | ) |
|
|
Accrued Net Interest Receivable/(Payable) |
|
|
|
|
| 1,390 |
|
|
| ||
|
|
|
|
|
| $ | (3,250,020 | ) |
|
| |
JPNBLQGS |
|
|
|
|
|
|
|
|
| ||
Freeport-McMoRan Inc. |
| (30,170 | ) | $ | (915,191 | ) | $ | (80,865 | ) | 2.2 | % |
NVIDIA Corp. |
| (1,557 | ) | (912,189 | ) | (80,599 | ) | 2.1 | % | ||
ABIOMED Inc. |
| (2,137 | ) | (838,802 | ) | (74,115 | ) | 2.0 | % | ||
Align Technology Inc. |
| (1,360 | ) | (805,534 | ) | (71,175 | ) | 1.9 | % | ||
Quanta Services Inc. |
| (9,472 | ) | (752,426 | ) | (66,483 | ) | 1.8 | % | ||
Advanced Micro Devices Inc. |
| (7,790 | ) | (751,987 | ) | (66,444 | ) | 1.8 | % | ||
Synopsys Inc. |
| (2,590 | ) | (745,786 | ) | (65,896 | ) | 1.8 | % | ||
Chipotle Mexican Grill Inc. |
| (445 | ) | (743,231 | ) | (65,670 | ) | 1.7 | % | ||
IDEXX Laboratories Inc. |
| (1,337 | ) | (721,553 | ) | (63,755 | ) | 1.7 | % | ||
Lam Research Corp. |
| (1,267 | ) | (691,275 | ) | (61,080 | ) | 1.6 | % | ||
Netflix Inc. |
| (1,145 | ) | (687,097 | ) | (60,711 | ) | 1.6 | % | ||
Take-Two Interactive Software Inc. |
| (3,037 | ) | (686,310 | ) | (60,641 | ) | 1.6 | % | ||
KLA Corp. |
| (2,143 | ) | (676,558 | ) | (59,779 | ) | 1.6 | % | ||
IPG Photonics Corp. |
| (2,673 | ) | (673,309 | ) | (59,492 | ) | 1.6 | % | ||
Applied Materials Inc. |
| (6,133 | ) | (668,424 | ) | (59,061 | ) | 1.6 | % | ||
Centene Corp. |
| (9,820 | ) | (667,488 | ) | (58,978 | ) | 1.6 | % | ||
Twitter Inc. |
| (11,339 | ) | (645,879 | ) | (57,069 | ) | 1.5 | % | ||
FedEx Corp. |
| (2,430 | ) | (644,655 | ) | (56,960 | ) | 1.5 | % | ||
Broadcom Inc. |
| (1,263 | ) | (641,190 | ) | (56,654 | ) | 1.5 | % | ||
MarketAxess Holdings Inc. |
| (1,048 | ) | (638,693 | ) | (56,434 | ) | 1.5 | % | ||
Autodesk Inc. |
| (2,014 | ) | (629,831 | ) | (55,651 | ) | 1.5 | % | ||
MSCI Inc. |
| (1,398 | ) | (623,008 | ) | (55,048 | ) | 1.5 | % | ||
Arista Networks Inc. |
| (1,768 | ) | (613,044 | ) | (54,167 | ) | 1.4 | % | ||
Old Dominion Freight Line Inc. |
| (2,783 | ) | (608,511 | ) | (53,767 | ) | 1.4 | % | ||
DR Horton Inc. |
| (7,000 | ) | (606,051 | ) | (53,550 | ) | 1.4 | % | ||
Keysight Technologies Inc. |
| (3,750 | ) | (598,603 | ) | (52,891 | ) | 1.4 | % | ||
Micron Technology Inc. |
| (6,721 | ) | (593,022 | ) | (52,398 | ) | 1.4 | % | ||
Lennar Corp. |
| (6,135 | ) | (575,062 | ) | (50,811 | ) | 1.4 | % | ||
Illumina Inc. |
| (1,189 | ) | (571,735 | ) | (50,517 | ) | 1.3 | % |
See Notes to Schedule of Investments
Reference Entity |
| Shares |
| Notional |
| Unrealized |
| Component |
| ||
JPNBLQGS (contd) |
|
|
|
|
|
|
|
|
| ||
Regeneron Pharmaceuticals Inc. |
| (1,005 | ) | $ | (571,071 | ) | $ | (50,459 | ) | 1.3 | % |
Electronic Arts Inc. |
| (3,485 | ) | (562,477 | ) | (49,699 | ) | 1.3 | % | ||
Texas Instruments Inc. |
| (2,979 | ) | (556,314 | ) | (49,155 | ) | 1.3 | % | ||
Microchip Technology Inc. |
| (3,563 | ) | (546,616 | ) | (48,298 | ) | 1.3 | % | ||
Analog Devices Inc. |
| (3,254 | ) | (540,469 | ) | (47,755 | ) | 1.3 | % | ||
Dollar General Corp. |
| (2,450 | ) | (537,363 | ) | (47,480 | ) | 1.3 | % | ||
Fastenal Co. |
| (10,391 | ) | (534,005 | ) | (47,184 | ) | 1.3 | % | ||
First Republic Bank/CA |
| (3,256 | ) | (532,153 | ) | (47,020 | ) | 1.3 | % | ||
Fortinet Inc. |
| (3,255 | ) | (531,183 | ) | (46,934 | ) | 1.2 | % | ||
T Rowe Price Group Inc. |
| (2,937 | ) | (517,988 | ) | (45,768 | ) | 1.2 | % | ||
NVR Inc. |
| (100 | ) | (502,051 | ) | (44,360 | ) | 1.2 | % | ||
AmerisourceBergen Corp. |
| (4,239 | ) | (497,895 | ) | (43,993 | ) | 1.2 | % | ||
Copart Inc. |
| (3,988 | ) | (493,395 | ) | (43,595 | ) | 1.2 | % | ||
JB Hunt Transport Services Inc. |
| (3,237 | ) | (491,392 | ) | (43,418 | ) | 1.2 | % | ||
Incyte Corp. |
| (4,809 | ) | (486,511 | ) | (42,987 | ) | 1.1 | % | ||
IQVIA Holdings Inc. |
| (2,408 | ) | (482,712 | ) | (42,652 | ) | 1.1 | % | ||
Expeditors International of Washington Inc. |
| (4,766 | ) | (480,969 | ) | (42,497 | ) | 1.1 | % | ||
Tapestry Inc. |
| (13,438 | ) | (478,980 | ) | (42,322 | ) | 1.1 | % | ||
Broadridge Financial Solutions Inc. |
| (2,997 | ) | (477,427 | ) | (42,185 | ) | 1.1 | % | ||
Estee Lauder Cos Inc./The |
| (1,779 | ) | (474,538 | ) | (41,929 | ) | 1.1 | % | ||
McCormick & Co Inc./MD |
| (4,639 | ) | (468,211 | ) | (41,370 | ) | 1.1 | % | ||
Robert Half International Inc. |
| (6,107 | ) | (464,695 | ) | (41,060 | ) | 1.1 | % | ||
Starbucks Corp. |
| (4,188 | ) | (456,987 | ) | (40,379 | ) | 1.1 | % | ||
PulteGroup Inc. |
| (9,306 | ) | (456,322 | ) | (40,320 | ) | 1.1 | % | ||
Leidos Holdings Inc. |
| (3,790 | ) | (453,127 | ) | (40,037 | ) | 1.1 | % | ||
Darden Restaurants Inc. |
| (3,431 | ) | (452,024 | ) | (39,940 | ) | 1.1 | % | ||
Cigna Corp. |
| (1,838 | ) | (449,657 | ) | (39,731 | ) | 1.1 | % | ||
CH Robinson Worldwide Inc. |
| (4,610 | ) | (444,607 | ) | (39,285 | ) | 1.0 | % | ||
Ulta Beauty Inc. |
| (1,400 | ) | (441,374 | ) | (38,999 | ) | 1.0 | % | ||
LKQ Corp. |
| (11,158 | ) | (441,359 | ) | (38,998 | ) | 1.0 | % | ||
CBRE Group Inc. |
| (6,376 | ) | (438,314 | ) | (38,729 | ) | 1.0 | % | ||
Mastercard Inc. |
| (1,210 | ) | (431,548 | ) | (38,131 | ) | 1.0 | % | ||
Cardinal Health Inc. |
| (7,124 | ) | (431,479 | ) | (38,125 | ) | 1.0 | % | ||
Vertex Pharmaceuticals Inc. |
| (1,646 | ) | (425,106 | ) | (37,562 | ) | 1.0 | % | ||
OReilly Automotive Inc. |
| (879 | ) | (421,563 | ) | (37,249 | ) | 1.0 | % | ||
Booking Holdings Inc. |
| (189 | ) | (413,535 | ) | (36,539 | ) | 1.0 | % | ||
Ross Stores Inc. |
| (3,284 | ) | (411,994 | ) | (36,403 | ) | 1.0 | % | ||
Westinghouse Air Brake Technologies Corp. |
| (4,856 | ) | (406,203 | ) | (35,891 | ) | 1.0 | % | ||
Other Securities |
| (58,719 | ) | $ | (4,393,400 | ) | (388,193 | ) | 10.2 | % | |
|
|
|
| $ | (42,523,458 | ) | $ | (3,757,292 | ) |
|
|
Accrued Net Interest Receivable/(Payable) |
|
|
|
|
| 2,865 |
|
|
| ||
|
|
|
|
|
| $ | (3,754,427 | ) |
|
| |
JPNBLQGS |
|
|
|
|
|
|
|
|
| ||
Freeport-McMoRan Inc. |
| (15,173 | ) | $ | (460,248 | ) | $ | (169,914 | ) | 2.2 | % |
NVIDIA Corp. |
| (783 | ) | (458,738 | ) | (169,357 | ) | 2.1 | % | ||
ABIOMED Inc. |
| (1,075 | ) | (421,832 | ) | (155,732 | ) | 2.0 | % | ||
Align Technology Inc. |
| (684 | ) | (405,102 | ) | (149,556 | ) | 1.9 | % | ||
Quanta Services Inc. |
| (4,763 | ) | (378,394 | ) | (139,695 | ) | 1.8 | % | ||
Advanced Micro Devices Inc. |
| (3,917 | ) | (378,173 | ) | (139,614 | ) | 1.8 | % | ||
Synopsys Inc. |
| (1,302 | ) | (375,055 | ) | (138,463 | ) | 1.8 | % | ||
Chipotle Mexican Grill Inc. |
| (224 | ) | (373,770 | ) | (137,988 | ) | 1.7 | % | ||
IDEXX Laboratories Inc. |
| (672 | ) | (362,868 | ) | (133,964 | ) | 1.7 | % | ||
Lam Research Corp. |
| (637 | ) | (347,641 | ) | (128,342 | ) | 1.6 | % | ||
Netflix Inc. |
| (576 | ) | (345,540 | ) | (127,567 | ) | 1.6 | % | ||
Take-Two Interactive Software Inc. |
| (1,527 | ) | (345,144 | ) | (127,420 | ) | 1.6 | % | ||
KLA Corp. |
| (1,078 | ) | (340,240 | ) | (125,610 | ) | 1.6 | % | ||
IPG Photonics Corp. |
| (1,344 | ) | (338,606 | ) | (125,007 | ) | 1.6 | % | ||
Applied Materials Inc. |
| (3,084 | ) | (336,149 | ) | (124,100 | ) | 1.6 | % | ||
Centene Corp. |
| (4,938 | ) | (335,679 | ) | (123,926 | ) | 1.6 | % | ||
Twitter Inc. |
| (5,702 | ) | (324,812 | ) | (119,914 | ) | 1.5 | % | ||
FedEx Corp. |
| (1,222 | ) | (324,196 | ) | (119,687 | ) | 1.5 | % | ||
Broadcom Inc. |
| (635 | ) | (322,453 | ) | (119,043 | ) | 1.5 | % | ||
MarketAxess Holdings Inc. |
| (527 | ) | (321,198 | ) | (118,580 | ) | 1.5 | % |
See Notes to Schedule of Investments
Reference Entity |
| Shares |
| Notional |
| Unrealized |
| Component |
| ||
JPNBLQGS (contd) |
|
|
|
|
|
|
|
|
| ||
Autodesk Inc. |
| (1,013 | ) | $ | (316,741 | ) | $ | (116,934 | ) | 1.5 | % |
MSCI Inc. |
| (703 | ) | (313,310 | ) | (115,668 | ) | 1.5 | % | ||
Arista Networks Inc. |
| (889 | ) | (308,299 | ) | (113,818 | ) | 1.4 | % | ||
Old Dominion Freight Line Inc. |
| (1,399 | ) | (306,019 | ) | (112,976 | ) | 1.4 | % | ||
DR Horton Inc. |
| (3,521 | ) | (304,782 | ) | (112,520 | ) | 1.4 | % | ||
Keysight Technologies Inc. |
| (1,886 | ) | (301,037 | ) | (111,137 | ) | 1.4 | % | ||
Micron Technology Inc. |
| (3,380 | ) | (298,230 | ) | (110,101 | ) | 1.4 | % | ||
Lennar Corp. |
| (3,085 | ) | (289,198 | ) | (106,766 | ) | 1.4 | % | ||
Illumina Inc. |
| (598 | ) | (287,525 | ) | (106,148 | ) | 1.3 | % | ||
Regeneron Pharmaceuticals Inc. |
| (506 | ) | (287,191 | ) | (106,025 | ) | 1.3 | % | ||
Electronic Arts Inc. |
| (1,752 | ) | (282,869 | ) | (104,430 | ) | 1.3 | % | ||
Texas Instruments Inc. |
| (1,498 | ) | (279,769 | ) | (103,285 | ) | 1.3 | % | ||
Microchip Technology Inc. |
| (1,792 | ) | (274,892 | ) | (101,485 | ) | 1.3 | % | ||
Analog Devices Inc. |
| (1,637 | ) | (271,801 | ) | (100,344 | ) | 1.3 | % | ||
Dollar General Corp. |
| (1,232 | ) | (270,239 | ) | (99,767 | ) | 1.3 | % | ||
Fastenal Co. |
| (5,226 | ) | (268,550 | ) | (99,143 | ) | 1.3 | % | ||
First Republic Bank/CA |
| (1,637 | ) | (267,619 | ) | (98,800 | ) | 1.3 | % | ||
Fortinet Inc. |
| (1,637 | ) | (267,131 | ) | (98,619 | ) | 1.2 | % | ||
T Rowe Price Group Inc. |
| (1,477 | ) | (260,496 | ) | (96,170 | ) | 1.2 | % | ||
NVR Inc. |
| (50 | ) | (252,481 | ) | (93,211 | ) | 1.2 | % | ||
AmerisourceBergen Corp. |
| (2,132 | ) | (250,391 | ) | (92,439 | ) | 1.2 | % | ||
Copart Inc. |
| (2,006 | ) | (248,128 | ) | (91,604 | ) | 1.2 | % | ||
JB Hunt Transport Services Inc. |
| (1,628 | ) | (247,120 | ) | (91,232 | ) | 1.2 | % | ||
Incyte Corp. |
| (2,418 | ) | (244,666 | ) | (90,326 | ) | 1.1 | % | ||
IQVIA Holdings Inc. |
| (1,211 | ) | (242,755 | ) | (89,620 | ) | 1.1 | % | ||
Expeditors International of Washington Inc. |
| (2,397 | ) | (241,879 | ) | (89,297 | ) | 1.1 | % | ||
Tapestry Inc. |
| (6,758 | ) | (240,878 | ) | (88,927 | ) | 1.1 | % | ||
Broadridge Financial Solutions Inc. |
| (1,507 | ) | (240,098 | ) | (88,639 | ) | 1.1 | % | ||
Estee Lauder Cos Inc./The |
| (895 | ) | (238,644 | ) | (88,103 | ) | 1.1 | % | ||
McCormick & Co Inc./MD |
| (2,333 | ) | (235,463 | ) | (86,928 | ) | 1.1 | % | ||
Robert Half International Inc. |
| (3,071 | ) | (233,694 | ) | (86,275 | ) | 1.1 | % | ||
Starbucks Corp. |
| (2,106 | ) | (229,818 | ) | (84,844 | ) | 1.1 | % | ||
PulteGroup Inc. |
| (4,680 | ) | (229,484 | ) | (84,721 | ) | 1.1 | % | ||
Leidos Holdings Inc. |
| (1,906 | ) | (227,877 | ) | (84,128 | ) | 1.1 | % | ||
Darden Restaurants Inc. |
| (1,725 | ) | (227,322 | ) | (83,923 | ) | 1.1 | % | ||
Cigna Corp. |
| (924 | ) | (226,132 | ) | (83,483 | ) | 1.1 | % | ||
CH Robinson Worldwide Inc. |
| (2,318 | ) | (223,592 | ) | (82,546 | ) | 1.0 | % | ||
Ulta Beauty Inc. |
| (704 | ) | (221,966 | ) | (81,946 | ) | 1.0 | % | ||
LKQ Corp. |
| (5,611 | ) | (221,959 | ) | (81,943 | ) | 1.0 | % | ||
CBRE Group Inc. |
| (3,207 | ) | (220,427 | ) | (81,377 | ) | 1.0 | % | ||
Mastercard Inc. |
| (609 | ) | (217,025 | ) | (80,121 | ) | 1.0 | % | ||
Cardinal Health Inc. |
| (3,583 | ) | (216,990 | ) | (80,108 | ) | 1.0 | % | ||
Vertex Pharmaceuticals Inc. |
| (828 | ) | (213,785 | ) | (78,925 | ) | 1.0 | % | ||
OReilly Automotive Inc. |
| (442 | ) | (212,003 | ) | (78,267 | ) | 1.0 | % | ||
Booking Holdings Inc. |
| (95 | ) | (207,966 | ) | (76,777 | ) | 1.0 | % | ||
Ross Stores Inc. |
| (1,652 | ) | (207,191 | ) | (76,491 | ) | 1.0 | % | ||
Westinghouse Air Brake Technologies Corp. |
| (2,442 | ) | (204,279 | ) | (75,416 | ) | 1.0 | % | ||
Other Securities |
| (29,531 | ) | (2,209,436 | ) | (815,677 | ) | 10.2 | % | ||
|
|
|
| $ | (21,384,985 | ) | $ | (7,894,909 | ) |
|
|
Accrued Net Interest Receivable/(Payable) |
|
|
|
|
| 296 |
|
|
| ||
|
|
|
|
|
| $ | (7,894,613 | ) |
|
| |
JPNBLQGS |
|
|
|
|
|
|
|
|
| ||
Freeport-McMoRan Inc. |
| (24,224 | ) | $ | (734,805 | ) | $ | (154,337 | ) | 2.2 | % |
NVIDIA Corp. |
| (1,250 | ) | (732,395 | ) | (153,831 | ) | 2.1 | % | ||
ABIOMED Inc. |
| (1,716 | ) | (673,473 | ) | (141,455 | ) | 2.0 | % | ||
Align Technology Inc. |
| (1,092 | ) | (646,762 | ) | (135,845 | ) | 1.9 | % | ||
Quanta Services Inc. |
| (7,605 | ) | (604,122 | ) | (126,888 | ) | 1.8 | % | ||
Advanced Micro Devices Inc. |
| (6,254 | ) | (603,769 | ) | (126,814 | ) | 1.8 | % | ||
Synopsys Inc. |
| (2,079 | ) | (598,790 | ) | (125,769 | ) | 1.8 | % | ||
Chipotle Mexican Grill Inc. |
| (358 | ) | (596,739 | ) | (125,338 | ) | 1.7 | % | ||
IDEXX Laboratories Inc. |
| (1,074 | ) | (579,334 | ) | (121,682 | ) | 1.7 | % | ||
Lam Research Corp. |
| (1,017 | ) | (555,024 | ) | (116,576 | ) | 1.6 | % | ||
Netflix Inc. |
| (919 | ) | (551,670 | ) | (115,871 | ) | 1.6 | % |
See Notes to Schedule of Investments
Reference Entity |
| Shares |
| Notional |
| Unrealized |
| Component |
| ||
JPNBLQGS (contd) |
|
|
|
|
|
|
|
|
| ||
Take-Two Interactive Software Inc. |
| (2,439 | ) | $ | (551,037 | ) | $ | (115,739 | ) | 1.6 | % |
KLA Corp. |
| (1,721 | ) | (543,207 | ) | (114,094 | ) | 1.6 | % | ||
IPG Photonics Corp. |
| (2,146 | ) | (540,599 | ) | (113,546 | ) | 1.6 | % | ||
Applied Materials Inc. |
| (4,924 | ) | (536,676 | ) | (112,722 | ) | 1.6 | % | ||
Centene Corp. |
| (7,884 | ) | (535,925 | ) | (112,565 | ) | 1.6 | % | ||
Twitter Inc. |
| (9,104 | ) | (518,575 | ) | (108,920 | ) | 1.5 | % | ||
FedEx Corp. |
| (1,951 | ) | (517,592 | ) | (108,714 | ) | 1.5 | % | ||
Broadcom Inc. |
| (1,014 | ) | (514,810 | ) | (108,130 | ) | 1.5 | % | ||
MarketAxess Holdings Inc. |
| (841 | ) | (512,806 | ) | (107,709 | ) | 1.5 | % | ||
Autodesk Inc. |
| (1,617 | ) | (505,690 | ) | (106,214 | ) | 1.5 | % | ||
MSCI Inc. |
| (1,123 | ) | (500,212 | ) | (105,064 | ) | 1.5 | % | ||
Arista Networks Inc. |
| (1,420 | ) | (492,212 | ) | (103,383 | ) | 1.4 | % | ||
Old Dominion Freight Line Inc. |
| (2,234 | ) | (488,573 | ) | (102,619 | ) | 1.4 | % | ||
DR Horton Inc. |
| (5,621 | ) | (486,598 | ) | (102,204 | ) | 1.4 | % | ||
Keysight Technologies Inc. |
| (3,011 | ) | (480,618 | ) | (100,948 | ) | 1.4 | % | ||
Micron Technology Inc. |
| (5,397 | ) | (476,137 | ) | (100,007 | ) | 1.4 | % | ||
Lennar Corp. |
| (4,926 | ) | (461,717 | ) | (96,978 | ) | 1.4 | % | ||
Illumina Inc. |
| (955 | ) | (459,045 | ) | (96,417 | ) | 1.3 | % | ||
Regeneron Pharmaceuticals Inc. |
| (807 | ) | (458,512 | ) | (96,305 | ) | 1.3 | % | ||
Electronic Arts Inc. |
| (2,798 | ) | (451,612 | ) | (94,856 | ) | 1.3 | % | ||
Texas Instruments Inc. |
| (2,391 | ) | (446,663 | ) | (93,816 | ) | 1.3 | % | ||
Microchip Technology Inc. |
| (2,860 | ) | (438,877 | ) | (92,181 | ) | 1.3 | % | ||
Analog Devices Inc. |
| (2,613 | ) | (433,942 | ) | (91,144 | ) | 1.3 | % | ||
Dollar General Corp. |
| (1,967 | ) | (431,448 | ) | (90,620 | ) | 1.3 | % | ||
Fastenal Co. |
| (8,343 | ) | (428,752 | ) | (90,054 | ) | 1.3 | % | ||
First Republic Bank/CA |
| (2,614 | ) | (427,265 | ) | (89,742 | ) | 1.3 | % | ||
Fortinet Inc. |
| (2,614 | ) | (426,486 | ) | (89,578 | ) | 1.2 | % | ||
T Rowe Price Group Inc. |
| (2,358 | ) | (415,892 | ) | (87,353 | ) | 1.2 | % | ||
NVR Inc. |
| (80 | ) | (403,096 | ) | (84,665 | ) | 1.2 | % | ||
AmerisourceBergen Corp. |
| (3,403 | ) | (399,759 | ) | (83,965 | ) | 1.2 | % | ||
Copart Inc. |
| (3,202 | ) | (396,146 | ) | (83,206 | ) | 1.2 | % | ||
JB Hunt Transport Services Inc. |
| (2,599 | ) | (394,538 | ) | (82,868 | ) | 1.2 | % | ||
Incyte Corp. |
| (3,861 | ) | (390,619 | ) | (82,045 | ) | 1.1 | % | ||
IQVIA Holdings Inc. |
| (1,934 | ) | (387,569 | ) | (81,404 | ) | 1.1 | % | ||
Expeditors International of Washington Inc. |
| (3,827 | ) | (386,169 | ) | (81,110 | ) | 1.1 | % | ||
Tapestry Inc. |
| (10,789 | ) | (384,572 | ) | (80,775 | ) | 1.1 | % | ||
Broadridge Financial Solutions Inc. |
| (2,406 | ) | (383,326 | ) | (80,513 | ) | 1.1 | % | ||
Estee Lauder Cos Inc./The |
| (1,428 | ) | (381,006 | ) | (80,026 | ) | 1.1 | % | ||
McCormick & Co Inc./MD |
| (3,724 | ) | (375,926 | ) | (78,959 | ) | 1.1 | % | ||
Robert Half International Inc. |
| (4,903 | ) | (373,103 | ) | (78,366 | ) | 1.1 | % | ||
Starbucks Corp. |
| (3,362 | ) | (366,914 | ) | (77,066 | ) | 1.1 | % | ||
PulteGroup Inc. |
| (7,472 | ) | (366,380 | ) | (76,954 | ) | 1.1 | % | ||
Leidos Holdings Inc. |
| (3,043 | ) | (363,815 | ) | (76,415 | ) | 1.1 | % | ||
Darden Restaurants Inc. |
| (2,754 | ) | (362,929 | ) | (76,229 | ) | 1.1 | % | ||
Cigna Corp. |
| (1,476 | ) | (361,029 | ) | (75,830 | ) | 1.1 | % | ||
CH Robinson Worldwide Inc. |
| (3,701 | ) | (356,974 | ) | (74,978 | ) | 1.0 | % | ||
Ulta Beauty Inc. |
| (1,124 | ) | (354,378 | ) | (74,433 | ) | 1.0 | % | ||
LKQ Corp. |
| (8,959 | ) | (354,367 | ) | (74,430 | ) | 1.0 | % | ||
CBRE Group Inc. |
| (5,120 | ) | (351,921 | ) | (73,917 | ) | 1.0 | % | ||
Mastercard Inc. |
| (972 | ) | (346,490 | ) | (72,776 | ) | 1.0 | % | ||
Cardinal Health Inc. |
| (5,720 | ) | (346,434 | ) | (72,764 | ) | 1.0 | % | ||
Vertex Pharmaceuticals Inc. |
| (1,322 | ) | (341,317 | ) | (71,689 | ) | 1.0 | % | ||
OReilly Automotive Inc. |
| (706 | ) | (338,472 | ) | (71,092 | ) | 1.0 | % | ||
Booking Holdings Inc. |
| (151 | ) | (332,026 | ) | (69,738 | ) | 1.0 | % | ||
Ross Stores Inc. |
| (2,637 | ) | (330,790 | ) | (69,478 | ) | 1.0 | % | ||
Westinghouse Air Brake Technologies Corp. |
| (3,899 | ) | (326,140 | ) | (68,502 | ) | 1.0 | % | ||
Other Securities |
| (47,145 | ) | (3,527,457 | ) | (740,894 | ) | 10.2 | % | ||
|
|
|
| $ | (34,142,023 | ) | $ | (7,171,115 | ) |
|
|
Accrued Net Interest Receivable/(Payable) |
|
|
|
|
| 1,993 |
|
|
| ||
|
|
|
|
|
| $ | (7,169,122 | ) |
|
| |
JPNBLQGS |
|
|
|
|
|
|
|
|
| ||
Freeport-McMoRan Inc. |
| (12,864 | ) | $ | (390,216 | ) | $ | (73,722 | ) | 2.2 | % |
NVIDIA Corp. |
| (664 | ) | (388,936 | ) | (73,480 | ) | 2.1 | % |
See Notes to Schedule of Investments
Reference Entity |
| Shares |
| Notional |
| Unrealized |
| Component |
| ||
JPNBLQGS (contd) |
|
|
|
|
|
|
|
|
| ||
ABIOMED Inc. |
| (911 | ) | $ | (357,646 | ) | $ | (67,569 | ) | 2.0 | % |
Align Technology Inc. |
| (580 | ) | (343,461 | ) | (64,889 | ) | 1.9 | % | ||
Quanta Services Inc. |
| (4,039 | ) | (320,817 | ) | (60,611 | ) | 1.8 | % | ||
Advanced Micro Devices Inc. |
| (3,321 | ) | (320,630 | ) | (60,575 | ) | 1.8 | % | ||
Synopsys Inc. |
| (1,104 | ) | (317,986 | ) | (60,076 | ) | 1.8 | % | ||
Chipotle Mexican Grill Inc. |
| (190 | ) | (316,896 | ) | (59,870 | ) | 1.7 | % | ||
IDEXX Laboratories Inc. |
| (570 | ) | (307,653 | ) | (58,124 | ) | 1.7 | % | ||
Lam Research Corp. |
| (540 | ) | (294,744 | ) | (55,685 | ) | 1.6 | % | ||
Netflix Inc. |
| (488 | ) | (292,962 | ) | (55,348 | ) | 1.6 | % | ||
Take-Two Interactive Software Inc. |
| (1,295 | ) | (292,627 | ) | (55,285 | ) | 1.6 | % | ||
KLA Corp. |
| (914 | ) | (288,469 | ) | (54,499 | ) | 1.6 | % | ||
IPG Photonics Corp. |
| (1,140 | ) | (287,083 | ) | (54,238 | ) | 1.6 | % | ||
Applied Materials Inc. |
| (2,615 | ) | (285,000 | ) | (53,844 | ) | 1.6 | % | ||
Centene Corp. |
| (4,187 | ) | (284,601 | ) | (53,769 | ) | 1.6 | % | ||
Twitter Inc. |
| (4,835 | ) | (275,388 | ) | (52,028 | ) | 1.5 | % | ||
FedEx Corp. |
| (1,036 | ) | (274,866 | ) | (51,929 | ) | 1.5 | % | ||
Broadcom Inc. |
| (538 | ) | (273,389 | ) | (51,650 | ) | 1.5 | % | ||
MarketAxess Holdings Inc. |
| (447 | ) | (272,324 | ) | (51,449 | ) | 1.5 | % | ||
Autodesk Inc. |
| (859 | ) | (268,545 | ) | (50,735 | ) | 1.5 | % | ||
MSCI Inc. |
| (596 | ) | (265,636 | ) | (50,186 | ) | 1.5 | % | ||
Arista Networks Inc. |
| (754 | ) | (261,388 | ) | (49,383 | ) | 1.4 | % | ||
Old Dominion Freight Line Inc. |
| (1,186 | ) | (259,455 | ) | (49,018 | ) | 1.4 | % | ||
DR Horton Inc. |
| (2,985 | ) | (258,406 | ) | (48,820 | ) | 1.4 | % | ||
Keysight Technologies Inc. |
| (1,599 | ) | (255,230 | ) | (48,220 | ) | 1.4 | % | ||
Micron Technology Inc. |
| (2,866 | ) | (252,851 | ) | (47,770 | ) | 1.4 | % | ||
Lennar Corp. |
| (2,616 | ) | (245,193 | ) | (46,323 | ) | 1.4 | % | ||
Illumina Inc. |
| (507 | ) | (243,774 | ) | (46,055 | ) | 1.3 | % | ||
Regeneron Pharmaceuticals Inc. |
| (429 | ) | (243,492 | ) | (46,002 | ) | 1.3 | % | ||
Electronic Arts Inc. |
| (1,486 | ) | (239,827 | ) | (45,310 | ) | 1.3 | % | ||
Texas Instruments Inc. |
| (1,270 | ) | (237,199 | ) | (44,813 | ) | 1.3 | % | ||
Microchip Technology Inc. |
| (1,519 | ) | (233,064 | ) | (44,032 | ) | 1.3 | % | ||
Analog Devices Inc. |
| (1,388 | ) | (230,444 | ) | (43,537 | ) | 1.3 | % | ||
Dollar General Corp. |
| (1,044 | ) | (229,119 | ) | (43,287 | ) | 1.3 | % | ||
Fastenal Co. |
| (4,430 | ) | (227,687 | ) | (43,016 | ) | 1.3 | % | ||
First Republic Bank/CA |
| (1,388 | ) | (226,898 | ) | (42,867 | ) | 1.3 | % | ||
Fortinet Inc. |
| (1,388 | ) | (226,484 | ) | (42,789 | ) | 1.2 | % | ||
T Rowe Price Group Inc. |
| (1,252 | ) | (220,858 | ) | (41,726 | ) | 1.2 | % | ||
NVR Inc. |
| (43 | ) | (214,063 | ) | (40,442 | ) | 1.2 | % | ||
AmerisourceBergen Corp. |
| (1,807 | ) | (212,291 | ) | (40,107 | ) | 1.2 | % | ||
Copart Inc. |
| (1,700 | ) | (210,372 | ) | (39,745 | ) | 1.2 | % | ||
JB Hunt Transport Services Inc. |
| (1,380 | ) | (209,518 | ) | (39,584 | ) | 1.2 | % | ||
Incyte Corp. |
| (2,050 | ) | (207,437 | ) | (39,190 | ) | 1.1 | % | ||
IQVIA Holdings Inc. |
| (1,027 | ) | (205,817 | ) | (38,884 | ) | 1.1 | % | ||
Expeditors International of Washington Inc. |
| (2,032 | ) | (205,074 | ) | (38,744 | ) | 1.1 | % | ||
Tapestry Inc. |
| (5,730 | ) | (204,226 | ) | (38,584 | ) | 1.1 | % | ||
Broadridge Financial Solutions Inc. |
| (1,278 | ) | (203,564 | ) | (38,459 | ) | 1.1 | % | ||
Estee Lauder Cos Inc./The |
| (758 | ) | (202,332 | ) | (38,226 | ) | 1.1 | % | ||
McCormick & Co Inc./MD |
| (1,978 | ) | (199,634 | ) | (37,716 | ) | 1.1 | % | ||
Robert Half International Inc. |
| (2,604 | ) | (198,135 | ) | (37,433 | ) | 1.1 | % | ||
Starbucks Corp. |
| (1,785 | ) | (194,849 | ) | (36,812 | ) | 1.1 | % | ||
PulteGroup Inc. |
| (3,968 | ) | (194,565 | ) | (36,758 | ) | 1.1 | % | ||
Leidos Holdings Inc. |
| (1,616 | ) | (193,203 | ) | (36,501 | ) | 1.1 | % | ||
Darden Restaurants Inc. |
| (1,463 | ) | (192,733 | ) | (36,412 | ) | 1.1 | % | ||
Cigna Corp. |
| (784 | ) | (191,723 | ) | (36,222 | ) | 1.1 | % | ||
CH Robinson Worldwide Inc. |
| (1,966 | ) | (189,570 | ) | (35,815 | ) | 1.0 | % | ||
Ulta Beauty Inc. |
| (597 | ) | (188,192 | ) | (35,554 | ) | 1.0 | % | ||
LKQ Corp. |
| (4,758 | ) | (188,185 | ) | (35,553 | ) | 1.0 | % | ||
CBRE Group Inc. |
| (2,719 | ) | (186,887 | ) | (35,308 | ) | 1.0 | % | ||
Mastercard Inc. |
| (516 | ) | (184,002 | ) | (34,763 | ) | 1.0 | % | ||
Cardinal Health Inc. |
| (3,037 | ) | (183,973 | ) | (34,757 | ) | 1.0 | % | ||
Vertex Pharmaceuticals Inc. |
| (702 | ) | (181,255 | ) | (34,244 | ) | 1.0 | % | ||
OReilly Automotive Inc. |
| (375 | ) | (179,745 | ) | (33,959 | ) | 1.0 | % | ||
Booking Holdings Inc. |
| (80 | ) | (176,322 | ) | (33,312 | ) | 1.0 | % | ||
Ross Stores Inc. |
| (1,400 | ) | (175,665 | ) | (33,188 | ) | 1.0 | % | ||
See Notes to Schedule of Investments
Reference Entity |
| Shares |
| Notional |
| Unrealized |
| Component |
| ||
JPNBLQGS (contd) |
|
|
|
|
|
|
|
|
| ||
Westinghouse Air Brake Technologies Corp. |
| (2,070 | ) | $ | (173,195 | ) | $ | (32,721 | ) | 1.0 | % |
Other Securities |
| (25,037 | ) | (1,873,245 | ) | (353,907 | ) | 10.2 | % | ||
|
|
|
| $ | (18,131,016 | ) | $ | (3,425,429 | ) |
|
|
Accrued Net Interest Receivable/(Payable) |
|
|
|
|
| 1,087 |
|
|
| ||
|
|
|
|
|
| $ | (3,424,342 | ) |
|
| |
JPNBLQGS |
|
|
|
|
|
|
|
|
| ||
Freeport-McMoRan Inc. |
| (24,748 | ) | $ | (750,722 | ) | $ | (138,804 | ) | 2.2 | % |
NVIDIA Corp. |
| (1,278 | ) | (748,259 | ) | (138,349 | ) | 2.1 | % | ||
ABIOMED Inc. |
| (1,753 | ) | (688,060 | ) | (127,218 | ) | 2.0 | % | ||
Align Technology Inc. |
| (1,116 | ) | (660,772 | ) | (122,173 | ) | 1.9 | % | ||
Quanta Services Inc. |
| (7,770 | ) | (617,207 | ) | (114,118 | ) | 1.8 | % | ||
Advanced Micro Devices Inc. |
| (6,390 | ) | (616,847 | ) | (114,051 | ) | 1.8 | % | ||
Synopsys Inc. |
| (2,124 | ) | (611,760 | ) | (113,111 | ) | 1.8 | % | ||
Chipotle Mexican Grill Inc. |
| (365 | ) | (609,665 | ) | (112,724 | ) | 1.7 | % | ||
IDEXX Laboratories Inc. |
| (1,097 | ) | (591,883 | ) | (109,436 | ) | 1.7 | % | ||
Lam Research Corp. |
| (1,039 | ) | (567,046 | ) | (104,844 | ) | 1.6 | % | ||
Netflix Inc. |
| (939 | ) | (563,619 | ) | (104,210 | ) | 1.6 | % | ||
Take-Two Interactive Software Inc. |
| (2,491 | ) | (562,973 | ) | (104,090 | ) | 1.6 | % | ||
KLA Corp. |
| (1,758 | ) | (554,974 | ) | (102,611 | ) | 1.6 | % | ||
IPG Photonics Corp. |
| (2,193 | ) | (552,309 | ) | (102,119 | ) | 1.6 | % | ||
Applied Materials Inc. |
| (5,031 | ) | (548,301 | ) | (101,378 | ) | 1.6 | % | ||
Centene Corp. |
| (8,055 | ) | (547,534 | ) | (101,236 | ) | 1.6 | % | ||
Twitter Inc. |
| (9,301 | ) | (529,808 | ) | (97,958 | ) | 1.5 | % | ||
FedEx Corp. |
| (1,993 | ) | (528,804 | ) | (97,773 | ) | 1.5 | % | ||
Broadcom Inc. |
| (1,036 | ) | (525,962 | ) | (97,247 | ) | 1.5 | % | ||
MarketAxess Holdings Inc. |
| (859 | ) | (523,913 | ) | (96,869 | ) | 1.5 | % | ||
Autodesk Inc. |
| (1,652 | ) | (516,644 | ) | (95,524 | ) | 1.5 | % | ||
MSCI Inc. |
| (1,147 | ) | (511,047 | ) | (94,490 | ) | 1.5 | % | ||
Arista Networks Inc. |
| (1,450 | ) | (502,874 | ) | (92,978 | ) | 1.4 | % | ||
Old Dominion Freight Line Inc. |
| (2,283 | ) | (499,155 | ) | (92,291 | ) | 1.4 | % | ||
DR Horton Inc. |
| (5,742 | ) | (497,138 | ) | (91,918 | ) | 1.4 | % | ||
Keysight Technologies Inc. |
| (3,076 | ) | (491,028 | ) | (90,788 | ) | 1.4 | % | ||
Micron Technology Inc. |
| (5,513 | ) | (486,450 | ) | (89,942 | ) | 1.4 | % | ||
Lennar Corp. |
| (5,033 | ) | (471,718 | ) | (87,218 | ) | 1.4 | % | ||
Illumina Inc. |
| (976 | ) | (468,988 | ) | (86,713 | ) | 1.3 | % | ||
Regeneron Pharmaceuticals Inc. |
| (825 | ) | (468,444 | ) | (86,613 | ) | 1.3 | % | ||
Electronic Arts Inc. |
| (2,858 | ) | (461,394 | ) | (85,309 | ) | 1.3 | % | ||
Texas Instruments Inc. |
| (2,443 | ) | (456,338 | ) | (84,374 | ) | 1.3 | % | ||
Microchip Technology Inc. |
| (2,922 | ) | (448,384 | ) | (82,904 | ) | 1.3 | % | ||
Analog Devices Inc. |
| (2,669 | ) | (443,342 | ) | (81,971 | ) | 1.3 | % | ||
Dollar General Corp. |
| (2,009 | ) | (440,793 | ) | (81,500 | ) | 1.3 | % | ||
Fastenal Co. |
| (8,524 | ) | (438,039 | ) | (80,991 | ) | 1.3 | % | ||
First Republic Bank/CA |
| (2,671 | ) | (436,520 | ) | (80,710 | ) | 1.3 | % | ||
Fortinet Inc. |
| (2,670 | ) | (435,724 | ) | (80,563 | ) | 1.2 | % | ||
T Rowe Price Group Inc. |
| (2,409 | ) | (424,901 | ) | (78,562 | ) | 1.2 | % | ||
NVR Inc. |
| (82 | ) | (411,827 | ) | (76,145 | ) | 1.2 | % | ||
AmerisourceBergen Corp. |
| (3,477 | ) | (408,418 | ) | (75,514 | ) | 1.2 | % | ||
Copart Inc. |
| (3,271 | ) | (404,727 | ) | (74,832 | ) | 1.2 | % | ||
JB Hunt Transport Services Inc. |
| (2,655 | ) | (403,084 | ) | (74,528 | ) | 1.2 | % | ||
Incyte Corp. |
| (3,945 | ) | (399,080 | ) | (73,788 | ) | 1.1 | % | ||
IQVIA Holdings Inc. |
| (1,976 | ) | (395,964 | ) | (73,211 | ) | 1.1 | % | ||
Expeditors International of Washington Inc. |
| (3,910 | ) | (394,534 | ) | (72,947 | ) | 1.1 | % | ||
Tapestry Inc. |
| (11,023 | ) | (392,902 | ) | (72,645 | ) | 1.1 | % | ||
Broadridge Financial Solutions Inc. |
| (2,459 | ) | (391,629 | ) | (72,410 | ) | 1.1 | % | ||
Estee Lauder Cos Inc./The |
| (1,459 | ) | (389,258 | ) | (71,972 | ) | 1.1 | % | ||
McCormick & Co Inc./MD |
| (3,805 | ) | (384,069 | ) | (71,012 | ) | 1.1 | % | ||
Robert Half International Inc. |
| (5,010 | ) | (381,185 | ) | (70,479 | ) | 1.1 | % | ||
Starbucks Corp. |
| (3,435 | ) | (374,862 | ) | (69,310 | ) | 1.1 | % | ||
PulteGroup Inc. |
| (7,634 | ) | (374,316 | ) | (69,209 | ) | 1.1 | % | ||
Leidos Holdings Inc. |
| (3,109 | ) | (371,695 | ) | (68,724 | ) | 1.1 | % | ||
Darden Restaurants Inc. |
| (2,814 | ) | (370,791 | ) | (68,557 | ) | 1.1 | % | ||
Cigna Corp. |
| (1,508 | ) | (368,849 | ) | (68,198 | ) | 1.1 | % | ||
CH Robinson Worldwide Inc. |
| (3,781 | ) | (364,706 | ) | (67,432 | ) | 1.0 | % |
See Notes to Schedule of Investments
Reference Entity |
| Shares |
| Notional |
| Unrealized |
| Component |
| ||
JPNBLQGS (contd) |
|
|
|
|
|
|
|
|
| ||
Ulta Beauty Inc. |
| (1,148 | ) | $ | (362,055 | ) | $ | (66,942 | ) | 1.0 | % |
LKQ Corp. |
| (9,153 | ) | (362,042 | ) | (66,940 | ) | 1.0 | % | ||
CBRE Group Inc. |
| (5,231 | ) | (359,544 | ) | (66,478 | ) | 1.0 | % | ||
Mastercard Inc. |
| (993 | ) | (353,995 | ) | (65,452 | ) | 1.0 | % | ||
Cardinal Health Inc. |
| (5,844 | ) | (353,938 | ) | (65,441 | ) | 1.0 | % | ||
Vertex Pharmaceuticals Inc. |
| (1,350 | ) | (348,710 | ) | (64,475 | ) | 1.0 | % | ||
OReilly Automotive Inc. |
| (721 | ) | (345,804 | ) | (63,937 | ) | 1.0 | % | ||
Booking Holdings Inc. |
| (155 | ) | (339,218 | ) | (62,720 | ) | 1.0 | % | ||
Ross Stores Inc. |
| (2,694 | ) | (337,955 | ) | (62,486 | ) | 1.0 | % | ||
Westinghouse Air Brake Technologies Corp. |
| (3,983 | ) | (333,204 | ) | (61,608 | ) | 1.0 | % | ||
Other Securities |
| (48,167 | ) | (3,603,861 | ) | (666,330 | ) | 10.2 | % | ||
|
|
|
| $ | (34,881,561 | ) | $ | (6,449,400 | ) |
|
|
Accrued Net Interest Receivable/(Payable) |
|
|
|
|
| 2,101 |
|
|
| ||
|
|
|
|
|
| $ | (6,447,299 | ) |
|
| |
JPNBRMV3 |
|
|
|
|
|
|
|
|
| ||
Newmont Corp. |
| (10,598 | ) | $ | (1,523,516 | ) | $ | (180,539 | ) | 1.4 | % |
Analog Devices Inc. |
| (4,175 | ) | (1,483,651 | ) | (175,815 | ) | 1.4 | % | ||
Freeport-McMoRan Inc. |
| (19,703 | ) | (1,278,818 | ) | (151,541 | ) | 1.2 | % | ||
Agilent Technologies Inc. |
| (4,384 | ) | (1,270,518 | ) | (150,558 | ) | 1.2 | % | ||
Fidelity National Information Services, Inc. |
| (4,015 | ) | (1,195,693 | ) | (141,691 | ) | 1.1 | % | ||
Synopsys Inc. |
| (1,811 | ) | (1,115,668 | ) | (132,208 | ) | 1.0 | % | ||
Roper Technologies Inc. |
| (1,111 | ) | (1,053,080 | ) | (124,791 | ) | 1.0 | % | ||
Zimmer Biomet Holdings Inc. |
| (2,753 | ) | (1,020,451 | ) | (120,925 | ) | 1.0 | % | ||
IQVIA Holdings Inc. |
| (2,378 | ) | (1,019,748 | ) | (120,841 | ) | 1.0 | % | ||
PACCAR Inc. |
| (4,529 | ) | (996,530 | ) | (118,090 | ) | 0.9 | % | ||
Ball Corp. |
| (4,433 | ) | (941,013 | ) | (111,511 | ) | 0.9 | % | ||
Parker-Hannifin Corp. |
| (1,435 | ) | (915,956 | ) | (108,542 | ) | 0.9 | % | ||
Corning Inc. |
| (10,578 | ) | (915,190 | ) | (108,451 | ) | 0.9 | % | ||
Archer-Daniels-Midland Co. |
| (7,481 | ) | (902,382 | ) | (106,933 | ) | 0.8 | % | ||
Kroger Co./The |
| (10,518 | ) | (875,214 | ) | (103,714 | ) | 0.8 | % | ||
Keysight Technologies Inc. |
| (2,533 | ) | (865,177 | ) | (102,524 | ) | 0.8 | % | ||
Willis Towers Watson PLC |
| (1,765 | ) | (863,849 | ) | (102,367 | ) | 0.8 | % | ||
Stanley Black & Decker Inc. |
| (2,047 | ) | (856,737 | ) | (101,524 | ) | 0.8 | % | ||
Williams Cos Inc./The |
| (15,764 | ) | (807,221 | ) | (95,657 | ) | 0.8 | % | ||
Motorola Solutions Inc. |
| (1,918 | ) | (775,039 | ) | (91,843 | ) | 0.7 | % | ||
First Republic Bank/CA |
| (2,203 | ) | (770,396 | ) | (91,293 | ) | 0.7 | % | ||
Liberty Broadband Corp. |
| (2,159 | ) | (760,357 | ) | (90,103 | ) | 0.7 | % | ||
Ameriprise Financial Inc. |
| (1,548 | ) | (738,951 | ) | (87,567 | ) | 0.7 | % | ||
Fifth Third Bancorp |
| (10,444 | ) | (728,743 | ) | (86,357 | ) | 0.7 | % | ||
Cummins Inc. |
| (1,278 | ) | (722,648 | ) | (85,635 | ) | 0.7 | % | ||
Laboratory Corp of America Holdings |
| (1,282 | ) | (708,034 | ) | (83,903 | ) | 0.7 | % | ||
Hologic Inc. |
| (3,619 | ) | (695,971 | ) | (82,473 | ) | 0.7 | % | ||
Marvell Technology Group Ltd. |
| (5,488 | ) | (681,104 | ) | (80,712 | ) | 0.6 | % | ||
Arthur J Gallagher & Co. |
| (2,436 | ) | (677,990 | ) | (80,343 | ) | 0.6 | % | ||
AMETEK Inc. |
| (2,482 | ) | (677,891 | ) | (80,331 | ) | 0.6 | % | ||
Qorvo Inc. |
| (1,645 | ) | (677,875 | ) | (80,329 | ) | 0.6 | % | ||
McCormick & Co Inc./MD |
| (3,077 | ) | (664,439 | ) | (78,737 | ) | 0.6 | % | ||
Kansas City Southern |
| (1,358 | ) | (663,618 | ) | (78,640 | ) | 0.6 | % | ||
Dollar Tree Inc. |
| (2,666 | ) | (653,731 | ) | (77,468 | ) | 0.6 | % | ||
Best Buy Co Inc. |
| (2,337 | ) | (613,362 | ) | (72,684 | ) | 0.6 | % | ||
Yum China Holdings Inc. |
| (4,449 | ) | (608,595 | ) | (72,119 | ) | 0.6 | % | ||
Tyson Foods Inc. |
| (3,874 | ) | (600,882 | ) | (71,205 | ) | 0.6 | % | ||
M&T Bank Corp. |
| (1,861 | ) | (594,672 | ) | (70,469 | ) | 0.6 | % | ||
Republic Services Inc. |
| (2,722 | ) | (594,280 | ) | (70,423 | ) | 0.6 | % | ||
International Paper Co. |
| (4,872 | ) | (591,136 | ) | (70,050 | ) | 0.6 | % | ||
Regions Financial Corp. |
| (13,982 | ) | (573,626 | ) | (67,975 | ) | 0.5 | % | ||
Quest Diagnostics Inc. |
| (1,820 | ) | (566,856 | ) | (67,173 | ) | 0.5 | % | ||
Albemarle Corp. |
| (1,427 | ) | (559,947 | ) | (66,354 | ) | 0.5 | % | ||
KeyCorp |
| (13,737 | ) | (558,595 | ) | (66,194 | ) | 0.5 | % | ||
Citizens Financial Group Inc. |
| (6,335 | ) | (556,774 | ) | (65,978 | ) | 0.5 | % | ||
Hartford Financial Services Group Inc./The |
| (4,773 | ) | (552,835 | ) | (65,512 | ) | 0.5 | % | ||
Teradyne Inc. |
| (2,015 | ) | (551,432 | ) | (65,345 | ) | 0.5 | % | ||
Western Digital Corp. |
| (4,039 | ) | (549,674 | ) | (65,137 | ) | 0.5 | % |
See Notes to Schedule of Investments
Reference Entity |
| Shares |
| Notional |
| Unrealized |
| Component |
| ||
JPNBRMV3 (contd) |
|
|
|
|
|
|
|
|
| ||
West Pharmaceutical Services Inc. |
| (755 | ) | $ | (545,603 | ) | $ | (64,655 | ) | 0.5 | % |
Dover Corp. |
| (1,936 | ) | (543,896 | ) | (64,452 | ) | 0.5 | % | ||
Other Securities |
| (700,075 | ) | (67,131,063 | ) | (7,955,117 | ) | 62.9 | % | ||
|
|
|
| $ | (106,790,427 | ) | $ | (12,654,798 | ) |
|
|
Accrued Net Interest Receivable/(Payable) |
|
|
|
|
| 3,782 |
|
|
| ||
|
|
|
|
|
| (12,651,016 | ) |
|
| ||
Total Return Basket Swaps, at value |
|
|
|
|
| $ | (70,039,915 | ) |
|
|
(b) The Fund receives a specified rate based on a reference rate (e.g. LIBOR) plus or minus a spread and pays the total return on the reference entity. The cash flows may be denominated in various foreign currencies based on the local currencies of the positions within the swaps.
(c) Effective rate at January 31, 2021.
Total return swap contracts (total return swaps)
At January 31, 2021, the Fund had outstanding over-the-counter total return swaps as follows:
Over-the-counter total return swaps - Short (a)
Counterparty |
| Reference |
| Notional |
| Maturity |
| Variable- |
| Spread |
| Reference |
| Frequency |
| Unrealized |
| Accrued |
| Value |
| ||||
JPM |
| MSCI Daily Total Return World Gross Industrial USD Index |
| USD | (9,440,663) |
| 5/15/2022 |
| 0.20 | % | (0.04 | )% | 3M USD LIBOR |
| 3M/T |
| $ | (262,703 | ) | $ | 3,409 |
| $ | (259,294 | ) |
JPM |
| S&P 500 Equal Weighted USD Total Return Index |
| USD | (188,759,959) |
| 5/4/2022 |
| 0.28 | % | 0.15 | % | 1M USD LIBOR |
| 1M/T |
| (20,398,678 | ) | 22,529 |
| (20,376,149 | ) | |||
Total |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| $ | (20,661,381 | ) | $ | 25,938 |
| $ | (20,635,443 | ) |
(a) The Fund receives a specified rate based on a reference rate (e.g. LIBOR) plus or minus a spread, and pays the total return on the reference entity.
(b) Effective rate at January 31, 2021.
At January 31, 2021, the Fund had cash collateral of $11,850,000 and $120,500,000 deposited in segregated accounts for Goldman Sachs International and JPMorgan Chase Bank N.A., respectively, and received cash collateral of $1,960,000 from JPMorgan Chase Bank N.A., to cover collateral requirements on over-the-counter derivatives.
See Notes to Schedule of Investments
Purchased option contracts (options purchased)
At January 31, 2021, the Fund had outstanding options purchased as follows:
Description |
| Number of |
| Notional |
| Exercise Price |
| Expiration Date |
| Value |
| |||
Calls |
|
|
|
|
|
|
|
|
| |||||
|
|
|
|
|
|
|
|
|
| |||||
Banks |
|
|
|
|
|
|
|
|
| |||||
Citigroup, Inc. |
| 2,300 |
| $ | 13,337,700 |
| $ | 55 |
| 6/18/2021 |
| $ | 1,656,000 |
|
|
|
|
|
|
|
|
|
|
| |||||
Capital Markets |
|
|
|
|
|
|
|
|
| |||||
Blackstone Group, Inc. |
| 1,827 |
| 12,275,613 |
| 62.5 |
| 6/18/2021 |
| 1,329,143 |
| |||
|
|
|
|
|
|
|
|
|
| |||||
Food Products |
|
|
|
|
|
|
|
|
| |||||
Campbell Soup Co. |
| 4,000 |
| 19,244,000 |
| 55 |
| 3/19/2021 |
| 230,000 |
| |||
Lamb Weston Holdings, Inc. |
| 1,850 |
| 13,819,500 |
| 80 |
| 4/16/2021 |
| 647,500 |
| |||
|
|
|
|
|
|
|
|
|
| 877,500 |
| |||
Hotels, Restaurants & Leisure |
|
|
|
|
|
|
|
|
| |||||
McDonalds Corp. |
| 610 |
| 12,678,240 |
| 230 |
| 2/19/2021 |
| 23,485 |
| |||
Shake Shack, Inc. |
| 1,100 |
| 12,476,200 |
| 135 |
| 3/19/2021 |
| 643,500 |
| |||
|
|
|
|
|
|
|
|
|
| 666,985 |
| |||
Multi-Utilities |
|
|
|
|
|
|
|
|
| |||||
CenterPoint Energy, Inc. |
| 6,147 |
| 12,964,023 |
| 25 |
| 4/16/2021 |
| 153,675 |
| |||
|
|
|
|
|
|
|
|
|
| |||||
Software |
|
|
|
|
|
|
|
|
| |||||
Alteryx, Inc. |
| 1,334 |
| 16,815,070 |
| 150 |
| 5/21/2021 |
| 1,460,730 |
| |||
Microsoft Corp. |
| 450 |
| 10,438,200 |
| 235 |
| 2/5/2021 |
| 130,500 |
| |||
ServiceNow, Inc. |
| 200 |
| 10,863,200 |
| 560 |
| 2/5/2021 |
| 150,000 |
| |||
|
|
|
|
|
|
|
|
|
| 1,741,230 |
| |||
Specialty Retail |
|
|
|
|
|
|
|
|
| |||||
Carvana Co. |
| 687 |
| 17,943,753 |
| 300 |
| 3/19/2021 |
| 1,252,058 |
| |||
TJX Cos., Inc. |
| 2,182 |
| 13,973,528 |
| 67.5 |
| 4/16/2021 |
| 622,961 |
| |||
Tractor Supply Co. |
| 1,000 |
| 14,174,000 |
| 165 |
| 4/16/2021 |
| 240,000 |
| |||
|
|
|
|
|
|
|
|
|
| 2,115,019 |
| |||
Textiles, Apparel & Luxury Goods |
|
|
|
|
|
|
|
|
| |||||
Tapestry, Inc. |
| 4,150 |
| 13,122,300 |
| 37.5 |
| 5/21/2021 |
| 892,250 |
| |||
Under Armour, Inc. |
| 8,250 |
| 14,437,500 |
| 20 |
| 7/16/2021 |
| 1,629,374 |
| |||
|
|
|
|
|
|
|
|
|
| 2,521,624 |
| |||
Total Calls |
|
|
|
|
|
|
|
|
| $ | 11,061,176 |
| ||
|
|
|
|
|
|
|
|
|
| |||||
Puts |
|
|
|
|
|
|
|
|
| |||||
Software |
|
|
|
|
|
|
|
|
| |||||
Triterras, Inc. |
| 9,005 |
| 6,573,650 |
| 5 |
| 5/21/2021 |
| 1,193,163 |
| |||
Total puts |
|
|
|
|
|
|
|
|
| $ | 12,254,339 |
| ||
Total options purchased |
|
|
|
|
|
|
|
|
| |||||
Written option contracts (options written)
At January 31, 2021, the Fund had outstanding options written as follows:
Description |
| Number of |
| Notional |
| Exercise Price |
| Expiration Date |
| Value |
| ||||
Calls |
|
|
|
|
|
|
|
|
| ||||||
|
|
|
|
|
|
|
|
|
| ||||||
Diversified Financial Services |
|
|
|
|
|
|
|
|
| ||||||
UWM Holdings Corp. |
| 4,925 |
| $ | (4,880,675 | ) | $ | 15 |
| 8/20/2021 |
| $ | (824,938 | ) | |
|
|
|
|
|
|
|
|
|
| ||||||
Hotels, Restaurants & Leisure |
|
|
|
|
|
|
|
|
| ||||||
McDonalds Corp. |
| 610 |
| (12,678,240 | ) | 250 |
| 2/19/2021 |
| (5,795 | ) | ||||
|
|
|
|
|
|
|
|
|
| ||||||
Software |
|
|
|
|
|
|
|
|
| ||||||
Triterras, Inc. |
| 9,005 |
| (6,573,650 | ) | 12.5 |
| 5/21/2021 |
| (1,328,237 | ) | ||||
Total calls |
|
|
|
|
|
|
|
|
| $ | (2,158,970 | ) | |||
See Notes to Schedule of Investments
Puts |
|
|
|
|
|
|
|
|
|
| ||||
Aerospace & Defense |
|
|
|
|
|
|
|
|
| |||||
L3harris Technologies, Inc. |
| 840 |
| $ | (14,406,840 | ) | $ | 160 |
| 2/19/2021 |
| $ | (130,200 | ) |
|
|
|
|
|
|
|
|
|
| |||||
Banks |
|
|
|
|
|
|
|
|
| |||||
Citigroup, Inc. |
| 2,300 |
| (13,337,700 | ) | 40 |
| 6/18/2021 |
| (197,800 | ) | |||
|
|
|
|
|
|
|
|
|
| |||||
Capital Markets |
|
|
|
|
|
|
|
|
| |||||
Blackstone Group, Inc. |
| 1,827 |
| (12,275,613 | ) | 50 |
| 6/18/2021 |
| (163,517 | ) | |||
|
|
|
|
|
|
|
|
|
| |||||
Food Products |
|
|
|
|
|
|
|
|
| |||||
Campbell Soup Co. |
| 4,000 |
| (19,244,000 | ) | 45 |
| 5/21/2021 |
| (880,000 | ) | |||
Lamb Weston Holdings, Inc. |
| 1,850 |
| (13,819,500 | ) | 65 |
| 4/16/2021 |
| (397,750 | ) | |||
|
|
|
|
|
|
|
|
|
| (1,277,750 | ) | |||
Hotels, Restaurants & Leisure |
|
|
|
|
|
|
|
|
| |||||
McDonalds Corp. |
| 610 |
| (12,678,240 | ) | 200 |
| 2/19/2021 |
| (150,365 | ) | |||
Shake Shack, Inc. |
| 1,100 |
| (12,476,200 | ) | 105 |
| 6/18/2021 |
| (1,622,500 | ) | |||
|
|
|
|
|
|
|
|
|
| (1,772,865 | ) | |||
Multi-Utilities |
|
|
|
|
|
|
|
|
| |||||
CenterPoint Energy, Inc. |
| 6,147 |
| (12,964,023 | ) | 17 |
| 4/16/2021 |
| (199,778 | ) | |||
|
|
|
|
|
|
|
|
|
| |||||
Software |
|
|
|
|
|
|
|
|
| |||||
Alteryx, Inc. |
| 1,334 |
| (16,815,070 | ) | 90 |
| 5/21/2021 |
| (553,610 | ) | |||
Microsoft Corp. |
| 500 |
| (11,598,000 | ) | 210 |
| 2/19/2021 |
| (86,000 | ) | |||
ServiceNow, Inc. |
| 200 |
| (10,863,200 | ) | 505 |
| 2/19/2021 |
| (181,000 | ) | |||
|
|
|
|
|
|
|
|
|
| (820,610 | ) | |||
Specialty Retail |
|
|
|
|
|
|
|
|
| |||||
Carvana Co. |
| 687 |
| (17,943,753 | ) | 210 |
| 3/19/2021 |
| (774,593 | ) | |||
TJX Cos., Inc. |
| 2,182 |
| (13,973,528 | ) | 55 |
| 4/16/2021 |
| (450,583 | ) | |||
Tractor Supply Co. |
| 1,000 |
| (14,174,000 | ) | 145 |
| 4/16/2021 |
| (1,130,000 | ) | |||
|
|
|
|
|
|
|
|
|
| (2,355,176 | ) | |||
Textiles, Apparel & Luxury Goods |
|
|
|
|
|
|
|
|
| |||||
Tapestry, Inc. |
| 4,150 |
| (13,122,300 | ) | 30 |
| 5/21/2021 |
| (1,390,250 | ) | |||
Under Armour, Inc. |
| 16,500 |
| (28,875,000 | ) | 12.5 |
| 7/16/2021 |
| (1,344,749 | ) | |||
|
|
|
|
|
|
|
|
|
| $ | (2,734,999 | ) | ||
Total Puts |
|
|
|
|
|
|
|
|
| $ | (9,652,695 | ) | ||
|
|
|
|
|
|
|
|
|
|
|
|
| ||
Total options written (premium received $13,128,087) |
|
|
|
|
| $ | (11,811,665 | ) | ||||||
At January 31, 2021, the Fund had securities pledged in the amount of $154,455,558 to cover collateral requirements for options written.
See Notes to Schedule of Investments
The following is a summary, categorized by Level (see Notes to Schedule of Investments), of inputs used to value the Funds investments as of January 31, 2021:
Asset Valuation Inputs |
| Level 1 |
| Level 2 |
| Level 3(c) |
| Total |
| ||||
Investments: |
|
|
|
|
|
|
| ||||||
Common Stocks |
|
|
|
|
|
|
| ||||||
Commercial Services |
| $ | |
| $ | |
| $ | 23,385,627 |
| $ | 23,385,627 |
|
IT Services |
| 217,080,253 |
| |
| 4,115,971 |
| 221,196,224 |
| ||||
Oil, Gas & Consumable Fuels |
| 40,713,120 |
| |
| 1,612,100 |
| 42,325,220 |
| ||||
Software |
| 393,143,241 |
| 96,488,821 |
| 4,592,663 |
| 494,224,725 |
| ||||
Other Common Stocks(a) |
| 2,572,616,398 |
| |
| |
| 2,572,616,398 |
| ||||
Total Common Stocks |
| 3,223,553,012 |
| 96,488,821 |
| 33,706,361 |
| 3,353,748,194 |
| ||||
Preferred Stocks |
|
|
|
|
|
|
| ||||||
Capital Markets |
| |
| |
| 7,399,998 |
| 7,399,998 |
| ||||
Food Products |
| |
| |
| 7,522,816 |
| 7,522,816 |
| ||||
Software |
| |
| |
| 53,370,653 |
| 53,370,653 |
| ||||
Specialty Retail |
| |
| |
| 35,900,005 |
| 35,900,005 |
| ||||
Other Preferred Stocks(a) |
| 12,109,188 |
| |
| |
| 12,109,188 |
| ||||
Total Preferred Stocks |
| 12,109,188 |
| |
| 104,193,472 |
| 116,302,660 |
| ||||
Loan Assignments |
|
|
|
|
|
|
| ||||||
Leisure GoodsActivitiesMovies |
| |
| |
| 23,250,000 |
| 23,250,000 |
| ||||
Other Loan Assignments(a) |
| |
| 26,956,406 |
| |
| 26,956,406 |
| ||||
Total Loan Assignments |
| |
| 26,956,406 |
| 23,250,000 |
| 50,206,406 |
| ||||
Corporate Bonds(a) |
| |
| 215,714,673 |
| |
| 215,714,673 |
| ||||
Convertible Bonds(a) |
| |
| 29,340,773 |
| |
| 29,340,773 |
| ||||
Master Limited and Limited Partnership Units(a) |
| 96,254,913 |
| 61,116,732 |
| |
| 157,371,645 |
| ||||
Warrants(a) |
| 1,539,098 |
| 3,194,803 |
| |
| 4,733,901 |
| ||||
Options Purchased(b) |
| 12,254,339 |
| |
| |
| 12,254,339 |
| ||||
Short-Term Investments |
| |
| 216,305,550 |
| |
| 216,305,550 |
| ||||
Total Investments |
| $ | 3,345,710,550 |
| $ | 649,117,758 |
| $ | 161,149,833 |
| $ | 4,155,978,141 |
|
(a) The Schedule of Investments provides information on the industry or sector categorization for the portfolio.
(b) The Purchased option contracts table under Derivative Instruments provides information on the industry or sector categorization for the portfolio.
(c) The following is a reconciliation between the beginning and ending balances of investments in which unobservable inputs (Level 3) were used in determining value:
(000s omitted) |
| Beginning |
| Accrued |
| Realized |
| Change |
| Purchases |
| Sales |
| Transfers |
| Transfers |
| Balance, |
| Net change |
| ||||||||||
Investments in Securities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||
Common Stocks(d) |
| $ | 30,477 |
| $ | |
| $ | |
| $ | 3,229 |
| $ | |
| $ | |
| $ | |
| $ | |
| $ | 33,706 |
| $ | 3,229 |
|
Preferred Stocks(d) |
| 59,250 |
| |
| |
| 1,670 |
| 43,273 |
| |
| |
| |
| 104,193 |
| 1,670 |
| ||||||||||
Loan Assignments(d) |
| 23,250 |
| 11 |
| |
| (11 | ) | |
| |
| |
| |
| 23,250 |
| (11 | ) | ||||||||||
Warrants(d) |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| ||||||||||
Total |
| $ | 112,977 |
| $ | 11 |
| $ | |
| $ | 4,888 |
| $ | 43,273 |
| $ | |
| $ | |
| $ | |
| $ | 161,149 |
| $ | 4,888 |
|
(d) Quantitative Information about Level 3 Fair Value Measurements:
See Notes to Schedule of Investments
Investment |
| Fair value |
| Valuation |
| Unobservable |
| Input |
| Weighted |
| Impact to valuation |
| ||
Common Stocks |
| $ | 1,612,100 |
| Market Comparables |
| Enterprise value/EBITDA multiple(e) (EV/EBITDA) |
| 12.5x |
| |
| Increase |
| |
Common Stocks |
| 32,094,261 |
| Market Comparables |
| Enterprise value/Revenue multiple(e) (EV/Revenue) |
| 5.8x - 14.0x |
| 7.6x |
| Increase |
| ||
Preferred Stocks |
| 24,010,656 |
| Market Comparables |
| Enterprise value/Revenue multiple(e) (EV/Revenue) |
| 7.4x - 14.0x |
| 12.4x |
| Increase |
| ||
Preferred Stocks |
| 80,182,816 |
| Market Approach |
| Transaction Price |
| $5.7371 $35,000.00 |
| $ | 15,286.26 |
| Increase |
| |
Warrants |
| 0 |
| Market Approach |
| Acquisition Price |
| $0.00 |
| |
|
|
| ||
Loan Assignments |
| 23,250,000 |
| Market Comparables |
| First Lien Quotation (% of par) Comparability adjustment (%) |
| $96.00 3.0% |
| $ | 96.00 3.0 | % | Increase Decrease |
| |
(e) Represents amounts used when the reporting entity has determined that market participants would use such multiples when pricing the investments.
(f) The weighted averages disclosed in the table above were weighted by relative fair value.
(g) Represents the expected directional change in the fair value of the Level 3 investments that would result from an increase in the corresponding input. A decrease to the unobservable input would have the opposite effect. Significant changes in these inputs could result in significantly higher or lower fair value measurements.
The following is a summary, categorized by Level (see Notes to Schedule of Investments), of inputs used to value the Funds short investments as of January 31, 2021:
Liability Valuation Inputs |
| Level 1 |
| Level 2 |
| Level 3 |
| Total |
| ||||
Investments: |
|
|
|
|
|
|
|
|
| ||||
Common Stocks Sold Short(a) |
| $ | (294,679,621 | ) | $ | |
| $ | |
| $ | (294,679,621 | ) |
Corporate Bonds Sold Short(a) |
| |
| (59,571,537 | ) | |
| (59,571,537 | ) | ||||
Exchange-Traded Funds Sold Short |
| (8,114,522 | ) | |
| |
| (8,114,522 | ) | ||||
Total Short Positions |
| $ | (302,794,143 | ) | $ | (59,571,537 | ) | $ | |
| $ | (362,365,680 | ) |
(a) | The Schedule of Investments provides information on the industry or sector categorization for the portfolio. |
The following is a summary, categorized by Level (see Notes to Schedule of Investments), of inputs used to value the Funds derivatives as of January 31, 2021:
Other Financial Instruments |
| Level 1 |
| Level 2 |
| Level 3 |
| Total |
| ||||
Futures(a) |
|
|
|
|
|
|
|
|
| ||||
Assets |
| $ | 438,862 |
| $ | |
| $ | |
| $ | 438,862 |
|
Liabilities |
| (2,982,755 | ) | |
| |
| (2,982,755 | ) | ||||
Swaps |
|
|
|
|
|
|
|
|
| ||||
Liabilities |
| |
| (90,675,358 | ) | |
| (90,675,358 | ) | ||||
Options Written |
|
|
|
|
|
|
|
|
| ||||
Liabilities |
| (11,811,665 | ) | |
| |
| (11,811,665 | ) | ||||
Total |
| $ | (14,355,558 | ) | $ | (90,675,358 | ) | $ | |
| $ | (105,030,916 | ) |
(a) | Futures are reported at the cumulative unrealized appreciation/(depreciation) of the instrument. |
^ | A balance indicated with a , reflects either a zero balance or an amount that rounds to less than 1. |
See Notes to Schedule of Investments
Schedule of Investments U.S. Equity Index PutWrite Strategy Fund^
(Unaudited) January 31, 2021
PRINCIPAL |
|
|
| VALUE |
| ||
U.S. Treasury Obligations 96.9% |
|
|
| ||||
|
| U.S. Treasury Notes |
|
|
| ||
$ | 97,400,000 |
| 2.38%, due 3/15/2021 3/15/2022 |
| $ | 98,759,866 |
|
99,900,000 |
| 2.63%, due 6/15/2021 12/15/2021 |
| 101,437,023 | (a) | ||
50,500,000 |
| 2.75%, due 9/15/2021 |
| 51,336,406 |
| ||
47,900,000 |
| 1.75%, due 6/15/2022 |
| 48,975,879 |
| ||
47,900,000 |
| 1.50%, due 9/15/2022 |
| 48,970,266 |
| ||
17,000,000 |
| 1.63%, due 12/15/2022 |
| 17,478,789 | (a) | ||
|
| Total U.S. Treasury Obligations (Cost $364,698,841) |
| 366,958,229 |
| ||
NUMBER OF |
|
|
|
|
| |
Short-Term Investments 7.3% |
|
|
| |||
Investment Companies 7.3% |
|
|
| |||
27,603,171 |
| State Street Institutional U.S. Government Money Market Fund Premier Class, 0.03%(b) (Cost $27,603,171) |
| 27,603,171 | (c) | |
|
|
|
|
|
| |
|
| Total Investments 104.2% (Cost $392,302,012) |
| 394,561,400 |
| |
|
|
|
|
|
| |
|
| Liabilities Less Other Assets (4.2)% |
| (15,962,976 | )(d) | |
|
|
|
|
|
| |
|
| Net Assets 100.0% |
| $ | 378,598,424 |
|
(a) All or a portion of the security is pledged as collateral for options written.
(b) Represents 7-day effective yield as of January 31, 2021.
(c) All or a portion of this security is segregated in connection with obligations for options written with a total value of $27,603,171.
(d) Includes the impact of the Funds open positions in derivatives at January 31, 2021.
See Notes to Schedule of Investments
Derivative Instruments
Written option contracts (options written)
At January 31, 2021, the Fund had outstanding options written as follows:
Description |
| Number of |
| Notional |
| Exercise Price |
| Expiration Date |
| Value |
| |||
Puts |
|
|
|
|
|
|
|
|
|
|
| |||
Index |
|
|
|
|
|
|
|
|
|
|
| |||
Russell 2000 Index |
| 36 |
| $ | (7,465,108 | ) | $ | 2,055 |
| 2/5/2021 |
| $ | (147,240 | ) |
Russell 2000 Index |
| 20 |
| (4,147,282 | ) | 2,085 |
| 2/5/2021 |
| (107,200 | ) | |||
Russell 2000 Index |
| 15 |
| (3,110,462 | ) | 2,095 |
| 2/5/2021 |
| (87,900 | ) | |||
Russell 2000 Index |
| 10 |
| (2,073,641 | ) | 2,090 |
| 2/12/2021 |
| (71,650 | ) | |||
Russell 2000 Index |
| 2 |
| (414,728 | ) | 2,095 |
| 2/12/2021 |
| (14,790 | ) | |||
Russell 2000 Index |
| 17 |
| (3,525,190 | ) | 2,115 |
| 2/12/2021 |
| (143,395 | ) | |||
Russell 2000 Index |
| 11 |
| (2,281,005 | ) | 2,120 |
| 2/12/2021 |
| (95,865 | ) | |||
Russell 2000 Index |
| 15 |
| (3,110,462 | ) | 2,130 |
| 2/12/2021 |
| (139,500 | ) | |||
Russell 2000 Index |
| 16 |
| (3,317,826 | ) | 2,155 |
| 2/12/2021 |
| (174,320 | ) | |||
Russell 2000 Index |
| 39 |
| (8,087,200 | ) | 2,130 |
| 2/19/2021 |
| (393,705 | ) | |||
Russell 2000 Index |
| 23 |
| (4,769,374 | ) | 2,140 |
| 2/19/2021 |
| (245,870 | ) | |||
Russell 2000 Index |
| 8 |
| (1,658,913 | ) | 2,150 |
| 2/19/2021 |
| (90,440 | ) | |||
Russell 2000 Index |
| 55 |
| (11,405,026 | ) | 2,070 |
| 2/26/2021 |
| (453,200 | ) | |||
Russell 2000 Index |
| 1 |
| (207,364 | ) | 2,110 |
| 2/26/2021 |
| (10,125 | ) | |||
Russell 2000 Index |
| 3 |
| (622,092 | ) | 2,120 |
| 2/26/2021 |
| (31,965 | ) | |||
Russell 2000 Index |
| 10 |
| (2,073,641 | ) | 2,150 |
| 2/26/2021 |
| (123,700 | ) | |||
S&P 500 Index |
| 3 |
| (1,114,272 | ) | 3,665 |
| 2/5/2021 |
| (13,680 | ) | |||
S&P 500 Index |
| 7 |
| (2,599,968 | ) | 3,725 |
| 2/5/2021 |
| (46,795 | ) | |||
S&P 500 Index |
| 37 |
| (13,742,688 | ) | 3,765 |
| 2/5/2021 |
| (314,130 | ) | |||
S&P 500 Index |
| 97 |
| (36,028,128 | ) | 3,800 |
| 2/5/2021 |
| (1,024,805 | ) | |||
S&P 500 Index |
| 74 |
| (27,485,376 | ) | 3,815 |
| 2/5/2021 |
| (862,470 | ) | |||
S&P 500 Index |
| 46 |
| (17,085,504 | ) | 3,780 |
| 2/12/2021 |
| (511,060 | ) | |||
S&P 500 Index |
| 107 |
| (39,742,368 | ) | 3,810 |
| 2/12/2021 |
| (1,366,925 | ) | |||
S&P 500 Index |
| 67 |
| (24,885,408 | ) | 3,815 |
| 2/12/2021 |
| (876,695 | ) | |||
S&P 500 Index |
| 5 |
| (1,857,120 | ) | 3,780 |
| 2/19/2021 |
| (61,625 | ) | |||
S&P 500 Index |
| 1 |
| (371,424 | ) | 3,795 |
| 2/19/2021 |
| (13,035 | ) | |||
S&P 500 Index |
| 109 |
| (40,485,216 | ) | 3,840 |
| 2/19/2021 |
| (1,709,120 | ) | |||
S&P 500 Index |
| 48 |
| (17,828,352 | ) | 3,845 |
| 2/19/2021 |
| (769,920 | ) | |||
S&P 500 Index |
| 55 |
| (20,428,320 | ) | 3,850 |
| 2/19/2021 |
| (901,725 | ) | |||
S&P 500 Index |
| 104 |
| (38,628,096 | ) | 3,705 |
| 2/26/2021 |
| (1,156,480 | ) | |||
S&P 500 Index |
| 2 |
| (742,848 | ) | 3,775 |
| 2/26/2021 |
| (27,450 | ) | |||
S&P 500 Index |
| 8 |
| (2,971,392 | ) | 3,845 |
| 2/26/2021 |
| (139,320 | ) | |||
S&P 500 Index |
| 109 |
| (40,485,216 | ) | 3,850 |
| 2/26/2021 |
| (1,922,215 | ) | |||
S&P 500 Index |
| 6 |
| (2,228,544 | ) | 3,705 |
| 3/5/2021 |
| (74,070 | ) | |||
Total options written (premium received $9,024,125) |
|
|
|
|
|
|
|
|
| $ | (14,122,385 | ) | ||
At January 31, 2021, the Fund had securities pledged in the amount of $114,777,535 to cover collateral requirements for options written.
See Notes to Schedule of Investments
The following is a summary, categorized by Level (see Notes to Schedule of Investments), of inputs used to value the Funds investments as of January 31, 2021:
Asset Valuation Inputs |
| Level 1 |
| Level 2 |
| Level 3 |
| Total |
| ||||
Investments: |
|
|
|
|
|
|
|
|
| ||||
U.S. Treasury Obligations |
| $ | |
| $ | 366,958,229 |
| $ | |
| $ | 366,958,229 |
|
Short-Term Investments |
| |
| 27,603,171 |
| |
| 27,603,171 |
| ||||
Total Investments |
| $ | |
| $ | 394,561,400 |
| $ | |
| $ | 394,561,400 |
|
The following is a summary, categorized by Level (see Notes to Schedule of Investments), of inputs used to value the Funds derivatives as of January 31, 2021:
Other Financial Instruments |
| Level 1 |
| Level 2 |
| Level 3 |
| Total |
| ||||
Options Written |
|
|
|
|
|
|
|
|
| ||||
Liabilities |
| $ | (14,122,385 | ) | $ | |
| $ | |
| $ | (14,122,385 | ) |
Total |
| $ | (14,122,385 | ) | $ | |
| $ | |
| $ | (14,122,385 | ) |
^ A balance indicated with a , reflects either a zero balance or an amount that rounds to less than 1.
See Notes to Schedule of Investments
January 31, 2021
Notes to Schedule of Investmentsß Alternative and Multi-Asset Class Funds (Unaudited)
In accordance with Accounting Standards Codification 820 Fair Value Measurement (ASC 820), all investments held by each of Neuberger Berman Commodity Strategy Fund, Neuberger Berman Global Allocation Fund, Neuberger Berman Long Short Fund, and Neuberger Berman U.S. Equity Index PutWrite Strategy Fund, (each individually a Fund, and collectively, the Funds) are carried at the value that Neuberger Berman Investment Advisers LLC (Management) believes a Fund would receive upon selling an investment in an orderly transaction to an independent buyer in the principal or most advantageous market for the investment under current market conditions. Various inputs, including the volume and level of activity for the asset or liability in the market, are considered in valuing the Funds investments, some of which are discussed below. Significant Management judgment may be necessary to value investments in accordance with ASC 820.
ASC 820 established a three-tier hierarchy of inputs to create a classification of value measurements for disclosure purposes. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below.
· Level 1 unadjusted quoted prices in active markets for identical investments
· Level 2 other observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, amortized cost, etc.)
· Level 3 unobservable inputs (including a Funds own assumptions in determining the fair value of investments)
The inputs or methodology used for valuing an investment are not necessarily an indication of the risk associated with investing in those securities.
The value of the Funds investments (long and short positions) in equity securities, exchange-traded funds, preferred stocks and units, master limited partnerships and limited partnerships, warrants and exchange-traded options purchased and written, for which market quotations are readily available, is generally determined by Management by obtaining valuations from independent pricing services based on the latest sale price quoted on a principal exchange or market for that security (Level 1 inputs). Securities traded primarily on the NASDAQ Stock Market are normally valued at the NASDAQ Official Closing Price (NOCP) provided by NASDAQ each business day. The NOCP is the most recently reported price as of 4:00:02 p.m., Eastern Time, unless that price is outside the range of the inside bid and asked prices (i.e., the bid and asked prices that dealers quote to each other when trading for their own accounts); in that case, NASDAQ will adjust the price to equal the inside bid or asked price, whichever is closer. Because of delays in reporting trades, the NOCP may not be based on the price of the last trade to occur before the market closes. If there is no sale of a security on a particular day, the independent pricing services may value the security based on market quotations.
The value of the Funds investments for long and short positions in debt securities is determined by Management primarily by obtaining valuations from independent pricing services based on readily available bid or offer quotations, respectively, or if quotations are not available, by methods which include various considerations based on security type (generally Level 2 inputs). In addition to the consideration of yields or prices of securities of comparable quality, coupon, maturity and type, indications as to values from dealers, and general market conditions, the following is a description of other Level 2 inputs and related valuation techniques used by independent pricing services to value certain types of debt securities held by the Funds:
Corporate Bonds. Inputs used to value corporate debt securities generally include relative credit information, observed market movements, sector news, U.S. Treasury yield curve or relevant benchmark curve, and other market information, which may include benchmark yield curves, reported trades, broker-dealer quotes, issuer spreads, comparable securities, and reference data, such as market research publications, when available (Other Market Information).
Convertible Bonds. Inputs used to value convertible bonds generally include underlying stock data, dealer quotes, conversion premiums, listed bond and preferred stock prices and Other Market Information, which may include benchmark curves, trade execution data, and sensitivity analysis, when available.
For information on the Funds significant accounting policies, please refer to the Funds most recent shareholder reports.
ß Consolidated Notes to Schedule of Investments for Neuberger Berman Commodity Strategy Fund.
Notes to Schedule of Investmentsß Alternative and Multi-Asset Class Funds (Unaudited) (contd)
U.S. Treasury Obligations. Inputs used to value U.S. Treasury securities generally include quotes from several inter-dealer brokers and Other Market Information.
U.S. Government Agency Securities. Inputs used to value U.S. Government Agency securities generally include obtaining benchmark quotes and Other Market Information.
Asset-Backed Securities. Inputs used to value asset-backed securities generally include models that consider a number of factors, which may include the following: prepayment speeds, cash flows, spread adjustments and Other Market Information.
The value of loan assignments is determined by Management primarily by obtaining valuations from independent pricing services based on broker quotes (generally Level 2 or Level 3 inputs depending on the number of quotes available).
The value of futures contracts is determined by Management by obtaining valuations from independent pricing services at the settlement price at the market close (Level 1 inputs).
The value of forward foreign currency contracts is determined by Management by obtaining valuations from independent pricing services based on actual traded currency rates on independent pricing services networks, along with other traded and quoted currency rates provided to the pricing services by leading market participants (Level 2 inputs).
The value of total return swaps and total return basket swaps is determined by Management by obtaining valuations from independent pricing services using the underlying asset and stated benchmark interest rate (Level 2 inputs).
Option contracts that are traded over-the-counter are generally valued on the basis of quotations provided by broker-dealers or prices provided by independent pricing services who use a series of techniques including simulated pricing models and/or curve fitting (bootstrapping), which aids in determining the present value of the contracts. The pricing models use inputs that are observed from actively quoted markets such as issuer details, indices, spreads, interest rates, yield curves, credit curves, volatility surfaces, and exchange rates (Level 2 inputs).
Management has developed a process to periodically review information provided by independent pricing services for all types of securities.
Investments in non-exchange traded investment companies with readily determinable fair value are valued using the respective funds daily calculated net asset value per share (Level 2 inputs).
If a valuation is not available from an independent pricing service, or if Management has reason to believe that the valuation received does not represent the amount the Fund might reasonably expect to receive on a current sale in an orderly transaction, Management seeks to obtain quotations from brokers or dealers (generally considered Level 2 or Level 3 inputs depending on the number of quotes available). If such quotations are not readily available, the security is valued using methods the Funds Board of Directors has approved in the good-faith belief that the resulting valuation will reflect the fair value of the security. Inputs and assumptions considered in determining the fair value of a security based on Level 2 or Level 3 inputs may include, but are not limited to, the type of the security; the initial cost of the security; the existence of any contractual restrictions on the securitys disposition; the price and extent of public trading in similar securities of the issuer or of comparable companies; quotations or evaluated prices from broker-dealers and/or pricing services; information obtained from the issuer, and/or analysts; an analysis of the companys or issuers financial statements; an evaluation of the inputs that influence the issuer and the market(s) in which the security is purchased and sold.
The value of the Funds investments in foreign securities is generally determined using the same valuation methods and inputs as other Fund investments, as discussed above. Foreign security prices expressed in local currency values are normally translated from the local currency into U.S. dollars using the exchange rates as of 4:00 p.m., Eastern Time on days the New York Stock Exchange is open for business. The Board has approved the use of ICE Data Pricing & Reference Data LLC (ICE) to assist in determining the fair value of foreign equity securities when changes in the value
For information on the Funds significant accounting policies, please refer to the Funds most recent shareholder reports.
ß Consolidated Notes to Schedule of Investments for Neuberger Berman Commodity Strategy Fund.
Notes to Schedule of Investmentsß Alternative and Multi-Asset Class Funds (Unaudited) (contd)
of a certain index suggest that the closing prices on the foreign exchanges may no longer represent the amount that a Fund could expect to receive for those securities or on days when foreign markets are closed and U.S. markets are open. In each of these events, ICE will provide adjusted prices for certain foreign equity securities using a statistical analysis of historical correlations of multiple factors (Level 2 inputs). The Board has also approved the use of ICE to evaluate the prices of foreign debt securities as of the time as of which a Funds share price is calculated. ICE utilizes benchmark spread and yield curves and evaluates available market activity from the local close to the time as of which a Funds share price is calculated (Level 2 inputs) to assist in determining prices for certain foreign debt securities. In the case of both foreign equity and foreign debt securities, in the absence of precise information about the market values of these foreign securities as of the time as of which a Funds share price is calculated, the Board has determined on the basis of available data that prices adjusted or evaluated in this way are likely to be closer to the prices a Fund could realize on a current sale than are the prices of those securities established at the close of the foreign markets in which the securities primarily trade.
Fair value prices are necessarily estimates, and there is no assurance that such a price will be at or close to the price at which the security is next quoted or next trades.
Other mattersCoronavirus: The outbreak of the novel coronavirus in many countries, which is a rapidly evolving situation, has, among other things, disrupted global travel and supply chains, and has adversely impacted global commercial activity, the transportation industry and commodity prices in the energy sector. The impact of this virus has negatively affected and may continue to affect the economies of many nations, individual companies and the global securities and commodities markets, including liquidity and volatility, in ways that cannot necessarily be foreseen at the present time. The rapid development and fluidity of this situation precludes any prediction as to its ultimate impact, which may have a continued adverse effect on economic and market conditions and trigger a period of global economic slowdown. Such conditions (which may be across industries, sectors or geographies) have impacted and may continue to impact the issuers of the securities held by the Funds.
For information on the Funds significant accounting policies, please refer to the Funds most recent shareholder reports.
ß Consolidated Notes to Schedule of Investments for Neuberger Berman Commodity Strategy Fund.
Notes to Schedule of Investmentsß Alternative and Multi-Asset Class Funds (Unaudited) (contd)
Legend
Benchmarks: |
| |
|
| |
LIBOR | = | London Interbank Offered Rate |
SOFR | = | Secured Overnight Financing Rate |
|
|
|
Currency Abbreviations: | ||
| ||
GBP | = | Pound Sterling |
USD | = | United States Dollar |
|
|
|
Counterparties: |
| |
|
| |
CITI | = | Citibank, N.A. |
GSI | = | Goldman Sachs International |
JPM | = | JPMorgan Chase Bank N.A. |
|
|
|
Index Periods/Payment Frequencies: | ||
| ||
1M | = | 1 Month |
3M | = | 3 Months |
T | = | Termination |
For information on the Funds significant accounting policies, please refer to the Funds most recent shareholder reports.
ß Consolidated Notes to Schedule of Investments for Neuberger Berman Commodity Strategy Fund.