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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-22555
FlexShares Trust
(Exact name of registrant as specified in charter)
50 South LaSalle Street
Chicago, Illinois 60603
(Address of principal executive offices) (Zip code)
Diana E. McCarthy, Esq.
Faegre Drinker Biddle & Reath LLP
One Logan Square, Ste. 2000
Philadelphia, Pennsylvania 19103-6996
(Name and Address of Agent for Service)
with a copy to:
Himanshu Surti
Jose Del Real, Esq.
Northern Trust Investments, Inc.
50 South LaSalle Street
Chicago, Illinois 60603
(Name and Address of Agent for Service)
Registrant’s telephone number, including area code: 855-353-9383
Date of fiscal year end: October 31
Date of reporting period: October 31, 2020
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Item 1. Reports To Stockholders.
The following is a copy of the report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1).
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FlexShares® Trust
Annual Report
October 31, 2020
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of FlexShares® Trust’s shareholder reports like this one will no longer be sent by mail, unless you specifically request paper copies of the reports from FlexShares® Trust or your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on FlexShares® Trust’s website (www.flexshares.com) and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you have already elected to receive your shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from FlexShares® Trust electronically at any time by contacting your financial intermediary.
You may elect to receive all future reports in paper free of charge. Please contact your financial intermediary to continue receiving paper copies of your shareholder reports. Your election to receive reports in paper will apply to all funds in FlexShares® Trust that you hold in your account at the financial intermediary. You must provide separate instructions to each of your financial intermediaries.
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Dear Shareholder:
We are pleased to have this opportunity to share our thoughts on what for most of us has probably been a year we will never forget. The FlexShares Annual Report, for the year ended October 31, 2020, details fund characteristics, performance results and investment commentaries on our family of FlexShares exchange traded funds (ETFs). We believe the benefits that FlexShares derives, including expertise in index design and portfolio management, from being a part of the broader Northern Trust Asset Management (NTAM)1 organization, which has over $1 trillion in assets under management2, are substantial. As the investment adviser for the Funds, Northern Trust Investments, Inc. (NTI), has observed that the past twelve months have been a period of high volatility as markets have seen dramatic swings over the course of the year. Of course, as part of living through this memorable year, no discussion would be complete without acknowledging the impact of the novel coronavirus, Covid-19. As many of you know, the Covid-19 pandemic impacted the globe in multiple ways including the health of millions around the globe. Economies and livelihoods have been affected by shelter-in-place orders and lockdowns as governments around the world, including in the U.S., have looked for ways to suppress the spread of the virus. Consequently, the world’s bond and equity markets have been profoundly impacted as investors attempted to gauge both the short and long term impact of those measures. In addition, investors increasingly began to evaluate companies beyond their current economic viability and consider the longer-term sustainability of companies’ business models, accelerating a trend that we believe has been on the rise for more than a decade.
In light of this environment, we are emboldened in our view that investors now more than ever are looking for solutions that help them navigate their investment portfolios through different market environments while helping them achieve their goals. The monetary policies and stimulus injected by central banks have brought interest rates down to levels not
seen since the 2008 Global Financial Crisis, creating a deeper need for strategies to help investors tackle their income requirements. As global equity markets have dramatically sold off and some have subsequently rebounded, the need for tools to help manage that volatility have been in greater focus.
Deciding what investment products to own has become a more frequent exercise for many advisors and investors. It has been a privilege to provide innovative and efficient strategies that seek to appropriately compensate investors for risk and deliver potentially attractive outcomes. Even as the world rapidly shifts around us, we work to be a trusted partner. I am grateful for the trust you continue to place in us and I am proud to be a part of a global investment manager whose approach to ETF construction is reflected in this broader perspective.
Please review our Annual Report to learn more about FlexShares ETFs, and visit our website at www.flexshares.com for additional information about our products. We look forward to continuing to serve your investment needs and thank you for choosing FlexShares ETFs to help meet your investment objectives.
Sincerely,
Darek Wojnar, CFA
Head, Funds & Managed Account Solutions,
Northern Trust Asset Management
The views in this letter were as of October 31, 2020 and may not necessarily reflect the same views on the date this letter is first published or any time thereafter. These views are intended to help shareholders in understanding the Funds’ investment methodology and do not constitute investment advice
This report is submitted for the general information of the shareholders of the Funds. It is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus, which includes information regarding the Funds’ risks, objectives, fees and expenses, experience of its management, and other information.
1 | Northern Trust Asset Management is the branding name of the asset management business of Northern Trust Corporation, a financial holding company and publicly traded company. |
2 | Source: Northern Trust Corporation as of October 31, 2020. |
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FlexShares® | MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE |
US Quality Low Volatility Index Fund Ticker: QLV
CUMULATIVE PERFORMANCE
Through October 31, 2020
AVERAGE ANNUAL TOTAL RETURN
For the period ended October 31, 2020
1 Year | Fund Inception 7/15/2019 | |||||||
|
| |||||||
FlexShares US Quality Low Volatility Index Fund (Based on Net Asset Value) | 2.63 | % | 3.04 | % | ||||
FlexShares US Quality Low Volatility Index Fund (Based on Market Price) | 2.60 | % | 3.12 | % | ||||
Northern Trust Quality Low Volatility Index | 2.78 | % | 3.36 | % | ||||
Russell 1000® Index | 10.87 | % | 9.10 | % |
All data as of 10/31/20. Total returns based on market price do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, these returns would be lower. Total returns based on market price and net asset value (“NAV”) assumes that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively. NAV is calculated by dividing the total value of all the securities in the fund’s portfolio plus cash, interest and receivables less any liabilities by the number of fund shares outstanding. Market price is determined by the midpoint of the bid/ask spread at 4:00 p.m. Eastern Time from the primary listing exchange. Market price returns may vary from NAV returns.
Performance quoted represents past performance and does not guarantee future results. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Unlike the Index, the Fund’s total returns are reduced by operating expenses, such as transaction costs and management fees. An investor cannot invest directly in an index.
Performance reflects contractual reimbursements in effect until March 1, 2021. In the absence of such reimbursements, performance would be reduced. The gross expense ratio of the Fund is 0.23% and the net expense ratio is 0.22%. The gross and net expense ratios disclosed are as reported in the Fund’s prospectus, which may differ from the gross and net expense ratios presented in the Fund’s financial reports. Current performance may be higher or lower than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed or sold in the market.
FlexShares ETFs’ performance data current to the most recent month-end is available at www.flexshares.com.
PORTFOLIO ANALYSIS
The Fund seeks to provide investment results that correspond generally to the price and yield performance, before fees and expenses, of the Northern Trust Quality Low Volatility Index (the “Underlying Index”). The Underlying Index is designed to measure the performance of companies that, in the aggregate, possess lower absolute volatility characteristics relative to the Northern Trust 1250 Index (“Parent Index”), a float-adjusted market capitalization weighted index of U.S. domiciled large- and mid-capitalization companies. In addition, the Underlying Index is designed to select companies from the Parent Index that exhibit financial strength, stability and enhanced risk-return characteristics, which Northern Trust Investments, Inc. (“NTI”) believes can provide equity-market participation while protecting against downside risks during certain market environments. As of October 31, 2020, there were 127 issues in the Underlying Index. NTI uses a “passive” or indexing approach to try to achieve the Fund’s investment objective. NTI uses a representative sampling strategy to manage the Fund. This means the Fund may or may not hold all of the issues that are included in the Underlying Index.
During the 12 months ended October 31, 2020, prices on U.S. investments were volatile and many declined sharply in Q1 of 2020 as the COVID-19 (“COVID”) pandemic spread and investors feared a global recession. By the end of the fiscal year, however, prices on U.S. investments generally were trading higher. Up through Q4 of 2019, U.S. investments moved higher as trade tensions between the U.S. and China de-escalated with the announcement of the initial phase of a trade deal, halting new tariffs planned by the United States. Domestic U.S. investments were increasingly volatile overall in Q1 as the COVID pandemic spread around the globe. The U.S. Federal Reserve Bank cut interest rates to near zero while enacting new quantitative easing measures, and Congress announced fiscal stimulus to dampen the effects of the shutdown on the U.S. economy and financial markets. U.S. domestic investments rebounded in Q2 as lockdown measures eased in the U.S. with a handful of large cap technology and consumer discretionary
FLEXSHARES ANNUAL REPORT | 3 |
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FlexShares® | MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE |
US Quality Low Volatility Index Fund (cont.)
PORTFOLIO ANALYSIS (cont.)
companies leading U.S. investments higher overall. The rally in U.S. domestic investments continued into Q3 of 2020 despite a decline late in the quarter due to rising COVID cases in Europe and political uncertainty tied to the November elections in the U.S. The decline in U.S. domestic investments continued into October 2020 as domestic COVID cases increased.
Though market volatility was high during the 12 months ended October 31, 2020, we believe the low volatility factor1 approach contributed to initial performance of the Fund as volatile U.S. domestic investments declined sharply in Q1 of 2020. As U.S. domestic investments rose throughout the remainder of 2020, however, the low volatility factor was a negative driver of Fund performance for the full 12-month period. In addition, we believe that investors showed a preference for low quality factor2 companies, resulting in the high-quality factor exposure detracting from Fund performance over the 12 months. Overall, the negative performance derived from the low volatility and quality factor exposures were the primary source of the Underlying Index’s underperformance against the Russell 1000 Index by -8.09%. Tracking difference between the Fund’s NAV and the Underlying Index’s total return for the 12-month period was -15 basis points (“bps”)3, which is reflective of the management fee (-22 bps) and stock selection/futures (+7 bps).
1 | The low volatility factor is based on the measurement of a group of stocks that have been less volatile in their asset class over a defined time frame. |
2 | The quality factor is based on a belief that there are a set of clearly defined fundamental criteria that seek to identify companies with outstanding financial characteristics. |
3 | A unit that is equal to 1/100th of 1% and is used to denote the change in a financial instrument. |
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FlexShares® Developed | MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE |
Markets ex-US Quality Low Volatility Index Fund Ticker: QLVD
CUMULATIVE PERFORMANCE
Through October 31, 2020
AVERAGE ANNUAL TOTAL RETURN
For the period ended October 31, 2020
1 Year | Fund Inception 7/15/2019 | |||||||
|
| |||||||
FlexShares Developed Markets ex-US Quality Low Volatility Index Fund (Based on Net Asset Value) | -6.24 | % | -2.83 | % | ||||
FlexShares Developed Markets ex-US Quality Low Volatility Index Fund (Based on Market Price) | -6.06 | % | -2.48 | % | ||||
Northern Trust Developed Markets ex-US Quality Low Volatility Index | -6.00 | % | -2.52 | % | ||||
MSCI World ex-US Index | -6.79 | % | -3.77 | % |
All data as of 10/31/20. Total returns based on market price do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, these returns would be lower. Total returns based on market price and net asset value (“NAV”) assumes that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively. NAV is calculated by dividing the total value of all the securities in the fund’s portfolio plus cash, interest and receivables less any liabilities by the number of fund shares outstanding. Market price is determined by the midpoint of the bid/ask spread at 4:00 p.m. Eastern Time from the primary listing exchange. Market price returns may vary from NAV returns.
Performance quoted represents past performance and does not guarantee future results. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Unlike the Index, the Fund’s total returns are reduced by operating expenses, such as transaction costs and management fees. An investor cannot invest directly in an index.
Performance reflects contractual reimbursements in effect until March 1, 2021. In the absence of such reimbursements, performance would be reduced. The gross expense ratio of the Fund is 0.33% and the net expense ratio is 0.32%. The gross and net expense ratios disclosed are as reported in the Fund’s prospectus, which may differ from the gross and net expense ratios presented in the Fund’s financial reports. Current performance may be higher or lower than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed or sold in the market.
FlexShares ETFs’ performance data current to the most recent month-end is available at www.flexshares.com.
PORTFOLIO ANALYSIS
The Fund seeks to provide investment results that correspond generally to the price and yield performance, before fees and expenses, of the Northern Trust Developed Markets ex-US Quality Low Volatility Index (the “Underlying Index”). The Underlying Index is designed to measure the performance of companies that, in the aggregate, possess lower overall absolute volatility characteristics relative to a broad universe of securities domiciled in developed market countries, excluding the U.S. (the “Parent Index”). The Parent Index is a subset of the Northern Trust Global Index, where eligible securities are limited to those securities domiciled in non-U.S. developed market countries and designated as large- and mid-capitalization companies by Northern Trust Investments, Inc. (“NTI”), acting in its capacity as the index provider. In addition, the Underlying Index is designed to select companies from the Parent Index that exhibit financial strength, stability and enhanced risk-return characteristics. As of October 31, 2020, there were 184 issues in the Underlying Index. NTI uses a “passive” or indexing approach to try to achieve the Fund’s investment objective. NTI uses a representative sampling strategy to manage the Fund. This means the Fund may or may not hold all of the issues that are included in the Underlying Index.
During the 12 months ended October 31, 2020, prices on developed international investments generally traded lower. Over the course of the 12-month period, the U.S. dollar (USD) was volatile, but ultimately weakened and positively impacted U.S. investors as returns in local currencies generally were enhanced by the falling of the USD. Through Q4 of 2019, developed international investments moved higher as improving economic conditions in Europe and easing geopolitical tensions stemming from the announced U.S.-China trade agreement allayed investors’ concerns. Developed international investments became volatile and declined sharply in Q1 of 2020 as the COVID-19 (“COVID”) pandemic spread and investors feared a global recession. Developed international investments rebounded in Q2 as lockdown measures were eased and fiscal and monetary stimulus across developed markets continued
FLEXSHARES ANNUAL REPORT | 5 |
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FlexShares® Developed | MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE |
Markets ex-US Quality Low Volatility Index Fund (cont.)
PORTFOLIO ANALYSIS (cont.)
to support overall investments. Developed international equities continued to advance in Q3 as the strength of Asia Pacific equity markets and a weakening USD offset concerns in Europe regarding stalled Brexit negotiations. Developed international markets fell in October 2020 as several countries reintroduced lockdown measures to control resurgent COVID infection rates.
Though market volatility was high during the 12 months ended October 31, 2020, and a low volatility factor1 approach was beneficial to the Fund as developed international investments declined sharply in Q1, the dramatic recovery of many of those same investments led to lower volatility factor stocks actually underperforming higher volatility stocks. As a result, the low volatility factor was a negative driver of Fund performance for the 12-month period. The quality factor2 focus of the Fund’s Underlying Index was a positive driver of Fund performance for the 12-month period as we believe that investors showed a preference for higher quality companies within the developed international universe. Overall, the positive performance derived from the quality factor exposure offset the negative performance derived from the low volatility factor exposure. Consequently, the Underlying Index outperformed the MSCI World ex-US Index by 0.79%. Tracking difference between the Fund’s NAV and the Underlying Index’s total return for the 12-month period was -24 basis points (“bps”)3, which is reflective of the Fund’s management fee (-32 bps), stock selection/futures (+6 bps) and dividend tax differential (+22 bps).
1 | The low volatility factor is based on the measurement of a group of stocks that have been less volatile in their asset class over a defined time frame. |
2 | The quality factor is based on a belief that there are a set of clearly defined fundamental criteria that seek to identify companies with outstanding financial characteristics. |
3 | A unit that is equal to 1/100th of 1% and is used to denote the change in a financial instrument. |
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FlexShares® Emerging Markets | MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE |
Quality Low Volatility Index Fund Ticker: QLVE
CUMULATIVE PERFORMANCE
Through October 31, 2020
AVERAGE ANNUAL TOTAL RETURN
For the period ended October 31, 2020
1 Year | Fund Inception 7/15/2019 | |||||||
|
| |||||||
FlexShares Emerging Markets Quality Low Volatility Index Fund (Based on Net Asset Value) | -1.21 | %* | -0.79 | % | ||||
FlexShares Emerging Markets Quality Low Volatility Index Fund (Based on Market Price) | -0.59 | % | -0.21 | % | ||||
Northern Trust Emerging Markets Quality Low Volatility Index | -1.00 | % | -0.47 | % | ||||
MSCI Emerging Markets Index | 8.25 | % | 5.67 | % |
All data as of 10/31/20. Total returns based on market price do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, these returns would be lower. Total returns based on market price and net asset value (“NAV”) assumes that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively. NAV is calculated by dividing the total value of all the securities in the fund’s portfolio plus cash, interest and receivables less any liabilities by the number of fund shares outstanding. Market price is determined by the midpoint of the bid/ask spread at 4:00 p.m. Eastern Time from the primary listing exchange. Market price returns may vary from NAV returns.
Performance quoted represents past performance and does not guarantee future results. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Unlike the Index, the Fund’s total returns are reduced by operating expenses, such as transaction costs and management fees. An investor cannot invest directly in an index.
Performance reflects contractual reimbursements in effect until March 1, 2021. In the absence of such reimbursements, performance would be reduced. The gross expense ratio of the Fund is 0.41% and the net expense ratio is 0.40%. The gross and net expense ratios disclosed are as reported in the Fund’s prospectus, which may differ from the gross and net expense ratios presented in the Fund’s financial reports. Current performance may be higher or lower than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed or sold in the market.
FlexShares ETFs’ performance data current to the most recent month-end is available at www.flexshares.com.
PORTFOLIO ANALYSIS
The Fund seeks to provide investment results that correspond generally to the price and yield performance, before fees and expenses, of the Northern Trust Emerging Markets Quality Low Volatility Index (the “Underlying Index”). The Underlying Index is designed to reflect the performance of a selection of companies that, in the aggregate, possess lower overall absolute volatility characteristics relative to a broad universe of securities domiciled in emerging market countries (the “Parent Index”). The Parent Index is a subset of the Northern Trust Global Index, limited to those securities domiciled in emerging markets and designated as large- and mid-capitalization companies by Northern Trust Investments, Inc. (“NTI”), acting in its capacity as the index provider. In addition, the Underlying Index is designed to select companies from the Parent Index that exhibit financial strength, stability and enhanced risk-return characteristics. As of October 31, 2020, there were 154 issues in the Underlying Index. NTI uses a “passive” or indexing approach to try to achieve the Fund’s investment objective. NTI uses a representative sampling strategy to manage the Fund. This means the Fund may or may not hold all of the issues that are included in the Underlying Index.
During the 12 months ended October 31, 2020, prices on emerging market investments generally traded higher. Over the course of the 12-month period, the U.S. dollar (USD) was volatile, but ultimately weakened and positively impacted U.S. investors as returns in local currencies generally were enhanced by the falling of the USD. Through Q4 of 2019, emerging market investments moved higher as trade tensions eased between the United States and China following the announcement of the initial phase of a trade agreement. Emerging markets declined sharply in Q1 of 2020 as the COVID-19 (“COVID”) pandemic and subsequent lockdown procedures threatened the global economy. Emerging market investments rebounded in Q2 as lockdown measures were eased and fiscal and monetary stimulus across emerging markets continued to support overall investments. Emerging market investments continued to move higher in Q3
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FlexShares® Emerging Markets | MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE |
Quality Low Volatility Index Fund (cont.)
* | The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. The net asset value was $23.95 as of October 31, 2020. |
PORTFOLIO ANALYSIS (cont.)
on USD weakness and better than expected gross domestic product growth in China. Emerging market investments rose in October 2020, outperforming developed international markets, led by strength in investments tied to Chinese companies.
Though market volatility was high during the 12 months ended October 31, 2020, and a low volatility factor1 approach was beneficial to the Fund as emerging market investments declined sharply in Q1, the dramatic recovery of many of those same emerging market investments led to lower volatility factor stocks underperforming higher volatility stocks. As a result, the low volatility factor was a negative driver of Fund performance for the 12-month period. In addition, we believe that investors showed a preference for low quality factor2 emerging market companies, resulting in the high-quality factor exposure detracting from Fund performance over the 12 months. Overall, the negative performance derived from the low volatility and quality factor exposures was the primary source of the Underlying Index’s underperformance against the MSCI Emerging markets Index by -9.25%. Tracking difference between the Fund’s NAV and the Underlying Index’s total return for the 12-month period was -21 basis points (“bps”)3, which is reflective of the Fund’s management fee (-40 bps), stock selection/futures (+9 bps) and dividend tax differential (+10 bps).
1 | The low volatility factor is based on the measurement of a group of stocks that have been less volatile in their asset class over a defined time frame. |
2 | The quality factor is based on a belief that there are a set of clearly defined fundamental criteria that seek to identify companies with outstanding financial characteristics. |
3 | A unit that is equal to 1/100th of 1% and is used to denote the change in a financial instrument. |
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FlexShares® Morningstar® | MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE |
US Market Factor Tilt Index Fund Ticker: TILT
CUMULATIVE PERFORMANCE
Through October 31, 2020
AVERAGE ANNUAL TOTAL RETURN
For the period ended October 31, 2020
1 Year | 3 Year | 5 Year | Fund Inception 9/16/2011 | |||||||||||||
|
| |||||||||||||||
FlexShares Morningstar US Market Factor TILT Index Fund (Based on Net Asset Value) | 3.28 | % | 5.93 | % | 9.02 | % | 11.86 | % | ||||||||
FlexShares Morningstar US Market Factor TILT Index Fund (Based on Market Price) | 3.33 | % | 5.93 | % | 9.03 | % | 11.86 | % | ||||||||
Morningstar® U.S. Market Factor Tilt IndexSM | 3.01 | % | 5.97 | % | 9.08 | % | 12.01 | % |
All data as of 10/31/20. Total returns based on market price do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, these returns would be lower. Total returns based on market price and net asset value (“NAV”) assumes that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively. NAV is calculated by dividing the total value of all the securities in the fund’s portfolio plus cash, interest and receivables less any liabilities by the number of fund shares outstanding. Market price is determined by the midpoint of the bid/ask spread at 4:00 p.m. Eastern Time from the primary listing exchange. Market price returns may vary from NAV returns.
Performance quoted represents past performance and does not guarantee future results. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Unlike the Index, the Fund’s total returns are reduced by operating expenses, such as transaction costs and management fees. An investor cannot invest directly in an index.
Performance reflects contractual reimbursements in effect until March 1, 2021. In the absence of such reimbursements, performance would be reduced. The gross expense ratio of the Fund is 0.26% and the net expense ratio is 0.25%. The gross and net expense ratios disclosed are as reported in the Fund’s prospectus, which may differ from the gross and net expense ratios presented in the Fund’s financial reports. Current performance may be higher or lower than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed or sold in the market.
FlexShares ETFs’ performance data current to the most recent month-end is available at www.flexshares.com.
PORTFOLIO ANALYSIS
The Fund seeks to provide investment results that correspond generally to the price and yield performance, before fees and expenses, of the Morningstar® US Market Factor Tilt Index (the “Underlying Index”). The Underlying Index is designed to reflect the performance of a selection of companies that, in the aggregate, possess greater exposure to size and value factors relative to the Morningstar US Market Index (the “Parent Index”), a float-adjusted market-capitalization weighted index of U.S.-incorporated large-, mid-, small- and micro-capitalization companies. The Underlying Index seeks to achieve increased exposures to size and value factors, or a “factor tilt,” by adjusting the Parent Index’s constituent weights to achieve a slightly greater weight on companies with smaller market capitalizations or lower valuations, as determined by Morningstar, Inc. pursuant to its index methodology. As of October 31, 2020, there were 2,289 issues in the Underlying Index. NTI uses a “passive” or indexing approach to try to achieve the Fund’s investment objective. NTI uses a representative sampling strategy to manage the Fund. This means the Fund may or may not hold all of the issues that are included in the Underlying Index.
During the 12 months ended October 31, 2020, prices on U.S. investments were volatile and many declined sharply in Q1 of 2020 as the COVID-19 (“COVID”) pandemic spread and investors feared a global recession. By the end of the fiscal year, however, prices on U.S. investments generally were trading higher. Up through Q4 of 2019, U.S. investments moved higher as trade tensions between the U.S. and China de-escalated with the announcement of the initial phase of a trade deal, halting new tariffs planned by the United States. Domestic U.S. investments were increasingly volatile overall in Q1 as the COVID pandemic spread around the globe. The U.S. Federal Reserve Bank cut interest rates to near zero while enacting new quantitative easing measures, and Congress announced fiscal stimulus to dampen the effects of the shutdown on the U.S. economy and financial markets. U.S. domestic investments rebounded in Q2 as lockdown measures eased in the U.S. with a handful of large
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FlexShares® Morningstar® | MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE |
US Market Factor Tilt Index Fund (cont.)
PORTFOLIO ANALYSIS (cont.)
cap technology and consumer discretionary companies leading several equity indices higher. The rally in U.S. domestic investments continued into Q3 of 2020 despite a decline late in the quarter due to rising COVID cases in Europe and political uncertainty tied to the November elections in the U.S. The decline in U.S. domestic investments continued into October 2020 as domestic COVID cases increased.
We believe that investors showed a preference for growth factor1 companies, resulting in the value factor2 exposure detracting from Fund performance over the 12 months ended October 31, 2020. As a result, the value factor was a negative driver of Fund performance during the fiscal year ended October 31, 2020, as value investments substantially trailed growth investments. In addition, the size factor3 was a negative driver of performance over the 12 months as small cap stocks underperformed large cap stocks. Overall, the negative performance derived from the value and size factor exposures was the primary source of the Underlying Index’s underperformance against the Russell 3000 Index by -7.14%. Tracking difference between the Fund’s NAV and the Underlying Index’s total return for the 12-month period was +27 basis points (“bps”)4, which is reflective of the management fee (-25 bps), stock selection/futures (+47 bps) and securities lending (+5 bps).
1 | The growth factor is based on a belief that the underlying company is anticipated to grow at a rate significantly above the average for the market. |
2 | The value factor is based on a belief that stocks that are inexpensive relative to some measure of fundamental value outperform those that are pricier. |
3 | The size factor is measured by a stock’s total capitalization—found by multiplying the current share price times all the outstanding shares of stock. Large cap generally means stocks with a total capitalization of $10 billion. Mid cap is between $2 billion and $10 billion. Small cap is less than $2 billion in total capitalization. |
4 | A unit that is equal to 1/100th of 1% and is used to denote the change in a financial instrument. |
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MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE |
Developed Markets ex-US Factor Tilt Index Fund Ticker: TLTD
CUMULATIVE PERFORMANCE
Through October 31, 2020
AVERAGE ANNUAL TOTAL RETURN
For the period ended October 31, 2020
1 Year | 3 Year | 5 Year | Fund Inception 9/25/2012 | |||||||||||||
|
| |||||||||||||||
FlexShares Morningstar Developed Markets ex-US Factor Tilt Index Fund (Based on Net Asset Value) | -10.57 | % | -4.04 | % | 1.98 | % | 3.69 | % | ||||||||
FlexShares Morningstar Developed Markets ex-US Factor Tilt Index Fund (Based on Market Price) | -10.23 | % | -4.21 | % | 2.12 | % | 3.70 | % | ||||||||
Morningstar® Developed Markets ex-US Factor Tilt IndexSM | -10.51 | % | -4.06 | % | 2.01 | % | 3.79 | % |
All data as of 10/31/20. Total returns based on market price do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, these returns would be lower. Total returns based on market price and net asset value (“NAV”) assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively. NAV is calculated by dividing the total value of all the securities in the fund’s portfolio plus cash, interest and receivables less any liabilities by the number of fund shares outstanding. Market price is determined by the midpoint of the bid/ask spread at 4:00 p.m. Eastern Time from the primary listing exchange. Market price returns may vary from NAV returns.
Performance quoted represents past performance and does not guarantee future results. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Unlike the Index, the Fund’s total returns are reduced by operating expenses, such as transaction costs and management fees. An investor cannot invest directly in an index.
Performance reflects contractual reimbursements in effect until March 1, 2021. In the absence of such reimbursements, performance would be reduced. The gross expense ratio of the Fund is 0.40% and the net expense ratio is 0.39%. The gross and net expense ratios disclosed are as reported in the Fund’s prospectus, which may differ from the gross and net expense ratios presented in the Fund’s financial reports. Current performance may be higher or lower than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed or sold in the market.
FlexShares ETFs’ performance data current to the most recent month-end is available at www.flexshares.com.
PORTFOLIO ANALYSIS
The Fund seeks to provide investment results that correspond generally to the price and yield performance, before fees and expenses, of the Morningstar® Developed Markets ex-US Factor Tilt Index (the “Underlying Index”). The Underlying Index is designed to reflect the performance of a selection of companies that, in the aggregate, possess greater exposure to size and value factors relative to the Morningstar Developed Markets ex-US Index (the “Parent Index”), a float adjusted market-capitalization weighted index of companies incorporated in developed-market countries, excluding the U.S. The Underlying Index seeks to achieve increased exposures to size and value factors, or a “factor tilt”, by adjusting the Parent Index’s constituent weights to achieve a slightly greater weight on companies with smaller market capitalizations or lower valuations, as determined by Morningstar, Inc. pursuant to its index methodology. As of October 31, 2020, there were 3,206 issues in the Underlying Index. NTI uses a “passive” or indexing approach to try to achieve the Fund’s investment objective. NTI uses a representative sampling strategy to manage the Fund. This means the Fund may or may not hold all of the issues that are included in the Underlying Index.
During the 12 months ended October 31, 2020, prices on developed international investments generally traded lower. Over the course of the 12-month period, the U.S. dollar (USD) was volatile, but ultimately weakened and positively impacted U.S. investors as returns in local currencies generally were enhanced by the falling of the USD. Through Q4 of 2019, developed international investments moved higher as improving economic conditions in Europe and easing geopolitical tensions stemming from the announced U.S.-China trade agreement allayed investors’ concerns. Developed international investments became volatile and declined sharply in Q1 of 2020 as the COVID-19 (“COVID”) pandemic spread and investors feared a global recession. Developed international investments rebounded in Q2 as lockdown measures were eased and fiscal and monetary stimulus across developed markets continued to support overall investments.
FLEXSHARES ANNUAL REPORT | 11 |
Table of Contents
FlexShares® Morningstar | MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE |
Developed Markets ex-US Factor Tilt Index Fund (cont.)
PORTFOLIO ANALYSIS (cont.)
Developed international equities continued to advance in Q3 as the strength of Asia Pacific equity markets and a weakening USD offset concerns in Europe regarding stalled Brexit negotiations. Developed international markets fell in October 2020 as several countries reintroduced lockdown measures to control resurgent COVID infection rates.
We believe that investors showed a preference for growth factor1 companies, resulting in the value factor2 exposure detracting from Fund performance over the 12 months. As a result, the value factor was a negative driver of Fund performance during the fiscal year ended October 31, 2020, as value investments substantially trailed growth investments. The size factor3 was a positive driver of performance over the 12 months as small cap stocks outperformed large cap stocks in developed international markets. Overall, the positive exposure from size was not enough, however, to offset the headwinds from the negative performance derived from the value exposure and the Underlying Index underperformed the MSCI World ex-USA IMI Index by -4.58%. Tracking difference between the Fund’s NAV and the Underlying Index’s total return for the 12-month period was -6 basis points (“bps”)4, which is reflective of the Fund’s management fee (-39 bps), stock selection/futures (+8 bps), securities lending (+9 bps) and dividend tax differential (+16 bps).
1 | The growth factor is based on a belief that the underlying company is anticipated to grow at a rate significantly above the average for the market. |
2 | The value factor is based on a belief that stocks that are inexpensive relative to some measure of fundamental value outperform those that are pricier. |
3 | The size factor is measured by a stock’s total capitalization—found by multiplying the current share price times all the outstanding shares of stock. Large cap generally means stocks with a total capitalization of $10 billion. Mid cap is between $2 billion and $10 billion. Small cap is less than $2 billion in total capitalization. |
4 | A unit that is equal to 1/100th of 1% and is used to denote the change in a financial instrument. |
12 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® Morningstar® | MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE |
Emerging Markets Factor Tilt Index Fund Ticker: TLTE
CUMULATIVE PERFORMANCE
Through October 31, 2020
AVERAGE ANNUAL TOTAL RETURN
For the period ended October 31, 2020
1 Year | 3 Year | 5 Year | Fund Inception 9/25/2012 | |||||||||||||
|
| |||||||||||||||
FlexShares Morningstar Emerging Markets Factor Tilt Index Fund (Based on Net Asset Value) | -1.86 | % | -2.95 | % | 4.31 | % | 1.69 | % | ||||||||
FlexShares Morningstar Emerging Markets Factor Tilt Index Fund (Based on Market Price) | -1.44 | % | -3.34 | % | 4.29 | % | 1.61 | % | ||||||||
Morningstar® Emerging Markets Factor Tilt IndexSM | -1.23 | % | -2.40 | % | 5.00 | % | 2.37 | % |
All data as of 10/31/20. Total returns based on market price do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, these returns would be lower. Total returns based on market price and net asset value (“NAV”) assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively. NAV is calculated by dividing the total value of all the securities in the fund’s portfolio plus cash, interest and receivables less any liabilities by the number of fund shares outstanding. Market price is determined by the midpoint of the bid/ask spread at 4:00 p.m. Eastern Time from the primary listing exchange. Market price returns may vary from NAV returns.
Performance quoted represents past performance and does not guarantee future results. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Unlike the Index, the Fund’s total returns are reduced by operating expenses, such as transaction costs and management fees. An investor cannot invest directly in an index.
Performance reflects contractual reimbursements in effect until March 1, 2021. In the absence of such reimbursements, performance would be reduced. The gross expense ratio of the Fund is 0.60% and the net expense ratio is 0.59%. The gross and net expense ratios disclosed are as reported in the Fund’s prospectus, which may differ from the gross and net expense ratios presented in the Fund’s financial reports. Current performance may be higher or lower than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed or sold in the market.
FlexShares ETFs’ performance data current to the most recent month-end is available at www.flexshares.com.
PORTFOLIO ANALYSIS
The Fund seeks to provide investment results that correspond generally to the price and yield performance, before fees and expenses, of the Morningstar® Emerging Markets Factor Tilt Index (the “Underlying Index”). The Underlying Index is designed to reflect the performance of a selection of companies that, in aggregate, possess greater exposure to size and value factors relative to the Morningstar Emerging Markets Index (the “Parent Index”), a float-adjusted market-capitalization weighted index of companies incorporated in emerging-market countries. The Underlying Index seeks to achieve increased exposures to size and value factors, or a “factor tilt,” by adjusting the Parent Index’s constituent weights to achieve a slightly greater weight on companies with smaller market capitalizations or lower valuations, as determined by Morningstar, Inc., pursuant to its index methodology. As of October 31, 2020, there were 2,906 issues in the Underlying Index. NTI uses a “passive” or indexing approach to try to achieve the Fund’s investment objective. NTI uses a representative sampling strategy to manage the Fund. This means the Fund may or may not hold all of the securities that are included in the Underlying Index.
During the 12 months ended October 31, 2020, prices on emerging market investments generally traded higher. Over the course of the 12-month period, the U.S. dollar (USD) was volatile, but ultimately weakened and positively impacted U.S. investors as returns in local currencies generally were enhanced by the falling of the USD. Through Q4 of 2019, emerging market investments moved higher as trade tensions eased between the United States and China following the announcement of the initial phase of a trade agreement. Emerging markets declined sharply in Q1 of 2020 as the COVID-19 (“COVID”) pandemic and subsequent lockdown procedures threatened the global economy. Emerging market investments rebounded in Q2 as lockdown measures were eased and fiscal and monetary stimulus across emerging markets continued to support overall investments. Emerging market investments continued to move higher in Q3 on USD weakness and better than expected
FLEXSHARES ANNUAL REPORT | 13 |
Table of Contents
FlexShares® Morningstar® | MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE |
Emerging Markets Factor Tilt Index Fund (cont.)
PORTFOLIO ANALYSIS (cont.)
gross domestic product growth in China. Emerging market investments rose in October 2020, outperforming developed international markets, led by strength in investments tied to Chinese companies.
We believe that investors showed a preference for growth factor1 companies, resulting in the value factor2 exposure detracting from Fund performance over the 12 months. As a result, the value factor was a negative driver of Fund performance during the fiscal year ended October 31, 2020, as value investments substantially trailed growth investments. In addition, the size factor3 was a negative driver of performance over the 12 months as small cap stocks underperformed large cap stocks. Overall, the negative performance derived from the value and size factor exposures was the primary source of the Underlying Index’s underperformance against the MSCI EM IMI Net Index by -8.87%. Tracking difference between the Fund’s NAV and the Underlying Index’s total return for the 12-month period was -63 basis points (“bps”)4, which is reflective of the Fund’s management fee (-59 bps), stock selection/futures (-12 bps), securities lending (+7 bps) and dividend tax differential (+1 bps).
1 | The growth factor is based on a belief that the underlying company is anticipated to grow at a rate significantly above the average for the market. |
2 | The value factor is based on a belief that stocks that are inexpensive relative to some measure of fundamental value outperform those that are pricier. |
3 | The size factor is measured by a stock’s total capitalization—found by multiplying the current share price times all the outstanding shares of stock. Large cap generally means stocks with a total capitalization of $10 billion. Mid cap is between $2 billion and $10 billion. Small cap is less than $2 billion in total capitalization. |
4 | A unit that is equal to 1/100th of 1% and is used to denote the change in a financial instrument. |
14 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® Currency Hedged | MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE |
Morningstar DM ex-US Factor Tilt Index Fund Ticker: TLDH
CUMULATIVE PERFORMANCE
Through October 31, 2020
AVERAGE ANNUAL TOTAL RETURN
For the period ended October 31, 2020
1 Year | 3 Year | Fund Inception 11/9/2015 | ||||||||||
|
| |||||||||||
FlexShares Currency Hedged Morningstar DM ex-US Factor Tilt Index Fund (Based on Net Asset Value) | -9.71 | % | -2.16 | % | 3.29 | % | ||||||
FlexShares Currency Hedged Morningstar DM ex-US Factor Tilt Index Fund (Based on Market Price) | -10.11 | % | -2.30 | % | 3.30 | % | ||||||
Morningstar® Developed Markets ex-US Factor Tilt Hedged IndexSM | -9.88 | % | -1.90 | % | 3.38 | % |
All data as of 10/31/20. Total returns based on market price do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, these returns would be lower. Total returns based on market price and net asset value (“NAV”) assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively. NAV is calculated by dividing the total value of all the securities in the fund’s portfolio plus cash, interest and receivables less any liabilities by the number of fund shares outstanding. Market price is determined by the midpoint of the bid/ask spread at 4:00 p.m. Eastern Time from the primary listing exchange. Market price returns may vary from NAV returns.
Performance quoted represents past performance and does not guarantee future results. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Unlike the Index, the Fund’s total returns are reduced by operating expenses, such as transaction costs and management fees. An investor cannot invest directly in an index.
Performance reflects contractual reimbursements in effect until March 1, 2021. In the absence of such reimbursements, performance would be reduced. The gross expense ratio of the Fund is 0.84% and the net expense ratio is 0.44%. The gross and net expense ratios disclosed are as reported in the Fund’s prospectus, which may differ from the gross and net expense ratios presented in the Fund’s financial reports. Current performance may be higher or lower than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed or sold in the market.
FlexShares ETFs’ performance data current to the most recent month-end is available at www.flexshares.com.
PORTFOLIO ANALYSIS
The Fund seeks to provide investment results that correspond generally to the price and yield performance, before fees and expenses, of the Morningstar® Developed Markets ex-US Factor Tilt Hedged Index (the “Underlying Index”). The Underlying Index is designed to (i) reflect the performance of a selection of companies that, in the aggregate, possess greater exposure to size and value factors relative to the Morningstar Developed Markets ex-US Index (the “Parent Index”), a float-adjusted market-capitalization weighted index of companies incorporated in developed-market countries, excluding the U.S., and (ii) to hedge the currency-related risk of the securities included in the Underlying Index against the U.S. dollar on a monthly basis. The Underlying Index seeks to achieve increased exposures to size and value factors, or a “factor tilt”, by adjusting the Parent Index’s constituent weights to achieve a slightly greater weight on companies with smaller market capitalizations or lower valuations, as determined by Morningstar, Inc. pursuant to its index methodology. As of October 31, 2020, there were 3,206 issues in the Underlying Index. Currently, the Fund seeks to achieve its investment objective by investing a substantial portion of its assets in the FlexShares Morningstar Developed Markets ex-US Factor Tilt Index Fund (an “Underlying Fund”). In order to replicate the “hedging” component of the Underlying Index, the Fund enters into foreign currency forward contracts designed to offset the Fund’s exposure to the component currencies. NTI uses a “passive” or indexing approach to try to achieve the Fund’s investment objective. NTI uses a representative sampling strategy to manage the Fund. This means the Fund may or may not hold all of the issues that are included in the Underlying Index.
During the 12 months ended October 31, 2020, prices on developed international investments generally traded lower. Over the course of the 12-month period, the U.S. dollar (USD) was volatile, but ultimately weakened and positively impacted U.S. investors as returns in local currencies generally were enhanced by the falling of the USD. Through Q4 of 2019, developed international
FLEXSHARES ANNUAL REPORT | 15 |
Table of Contents
FlexShares® Currency Hedged | MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE |
Morningstar DM ex-US Factor Tilt Index Fund (cont.)
PORTFOLIO ANALYSIS (cont.)
investments moved higher as improving economic conditions in Europe and easing geopolitical tensions stemming from the announced U.S.-China trade agreement allayed investors’ concerns. Developed international investments became volatile and declined sharply in Q1 of 2020 as the COVID-19 (“COVID”) pandemic spread and investors feared a global recession. Developed international investments rebounded in Q2 as lockdown measures were eased and fiscal and monetary stimulus across developed markets continued to support overall investments. Developed international equities continued to advance in Q3 as the strength of Asia Pacific equity markets and a weakening USD offset concerns in Europe regarding stalled Brexit negotiations. Developed international markets fell in October 2020 as several countries reintroduced lockdown measures to control resurgent COVID infection rates.
We believe that investors showed a preference for growth factor1 companies, resulting in the value factor2 exposure detracting from Fund performance over the 12 months. As a result, the value factor was a negative driver of Fund performance during the fiscal year ended October 31, 2020, as value investments substantially trailed growth investments. The size factor3 was a positive driver of performance over the 12 months as small cap stocks outperformed large cap stocks in developed international markets. Though the USD depreciated against most developed market currencies over the 12 months, the increased volatility in currencies resulted in the hedging of the underlying foreign currency exposure to be a positive driver of the Underlying Index’s performance. Overall, the positive impacts of the size factor and the currency hedge were not enough to offset the headwinds from the negative performance derived from the value exposure and the Underlying Index underperformed the MSCI World ex-USA IMI Index by -3.95%. Tracking difference
between the Fund’s NAV and the Underlying Index’s total return for the 12-month period was +17 basis points (“bps”)4, which is reflective of the Fund’s management fee of -44 basis points, implementation of the currency hedge (+1 bps), tracking error of the Underlying Fund against its underlying index (+38 bps) and performance calculation differences between the Underlying Index and the Fund (+22 bps).
1 | The growth factor is based on a belief that the underlying company is anticipated to grow at a rate significantly above the average for the market. |
2 | The value factor is based on a belief that stocks that are inexpensive relative to some measure of fundamental value outperform those that are pricier. |
3 | The size factor is measured by a stock’s total capitalization—found by multiplying the current share price times all the outstanding shares of stock. Large cap generally means stocks with a total capitalization of $10 billion. Mid cap is between $2 billion and $10 billion. Small cap is less than $2 billion in total capitalization. |
4 | A unit that is equal to 1/100th of 1% and is used to denote the change in a financial instrument. |
16 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® Currency | MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE |
Hedged Morningstar® EM Factor Tilt Index Fund Ticker: TLEH
CUMULATIVE PERFORMANCE
Through October 31, 2020
AVERAGE ANNUAL TOTAL RETURN
For the period ended October 31, 2020
1 Year | 3 Year | Fund Inception 11/9/2015 | ||||||||||
|
| |||||||||||
FlexShares Currency Hedged Morningstar EM Factor Tilt Index Fund (Based on Net Asset Value) | 2.88 | % | -1.04 | % | 4.70 | % | ||||||
FlexShares Currency Hedged Morningstar EM Factor Tilt Index Fund (Based on Market Price) | 2.92 | % | -0.93 | % | 4.71 | % | ||||||
Morningstar® Emerging Markets Factor Tilt Hedged IndexSM | 2.41 | % | 0.09 | % | 5.60 | % |
All data as of 10/31/20. Total returns based on market price do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, these returns would be lower. Total returns based on market price and net asset value (“NAV”) assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively. NAV is calculated by dividing the total value of all the securities in the fund’s portfolio plus cash, interest and receivables less any liabilities by the number of fund shares outstanding. Market price is determined by the midpoint of the bid/ask spread at 4:00 p.m. Eastern Time from the primary listing exchange. Market price returns may vary from NAV returns.
Performance quoted represents past performance and does not guarantee future results. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Unlike the Index, the Fund’s total returns are reduced by operating expenses, such as transaction costs and management fees. An investor cannot invest directly in an index.
Performance reflects contractual reimbursements in effect until March 1, 2021. In the absence of such reimbursements, performance would be reduced. The gross expense ratio of the Fund is 1.24% and the net expense ratio is 0.64%. The gross and net expense ratios disclosed are as reported in the Fund’s prospectus, which may differ from the gross and net expense ratios presented in the Fund’s financial reports. Current performance may be higher or lower than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed or sold in the market.
FlexShares ETFs’ performance data current to the most recent month-end is available at www.flexshares.com.
PORTFOLIO ANALYSIS
The Fund seeks to provide investment results that correspond generally to the price and yield performance, before fees and expenses, of the Morningstar® Emerging Markets Factor Tilt Hedged Index (the “Underlying Index”). The Underlying Index is designed (i) to reflect the performance of a selection of companies that, in aggregate, possess greater exposure to size and value factors relative to the Morningstar Emerging Markets Index (the “Parent Index”), a float-adjusted market-capitalization weighted index of companies incorporated in emerging market countries and (ii) to hedge the currency-related risk of the securities included in the Underlying Index against the U.S. dollar (“USD”) on a monthly basis. The Underlying Index seeks to achieve increased exposure to size and value factors, or a “factor tilt,” by adjusting the Parent Index’s constituent weights to achieve a slightly greater weight on companies with smaller market capitalizations or lower valuations, as determined by Morningstar, Inc. pursuant to its index methodology. As of October 31, 2020, there were 2,906 issues in the Underlying Index. Currently, the Fund seeks to achieve its investment objective by investing a substantial portion of its assets in the FlexShares Morningstar® Emerging Markets Factor Tilt Index Fund (an “Underlying Fund”). In order to replicate the “hedging” component of the Underlying Index, the Fund intends to enter into foreign currency forward contracts designed to offset the Fund’s exposure to the component currencies. NTI uses a “passive” or indexing approach to try to achieve the Fund’s investment objective. NTI uses a representative sampling strategy to manage the Fund. This means the Fund may or may not hold all of the issues that are included in the Underlying Index.
During the 12 months ended October 31, 2020, prices on emerging market investments generally traded higher. Over the course of the 12-month period, the U.S. dollar (USD) was volatile, but ultimately weakened and positively impacted U.S. investors as returns in local currencies generally were enhanced by the falling of the USD. Through Q4 of 2019, emerging market investments moved higher as trade tensions eased between the
FLEXSHARES ANNUAL REPORT | 17 |
Table of Contents
FlexShares® Currency | MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE |
Hedged Morningstar® EM Factor Tilt Index Fund (cont.)
PORTFOLIO ANALYSIS (cont.)
United States and China following the announcement of the initial phase of a trade agreement. Emerging markets declined sharply in Q1 of 2020 as the COVID-19 (“COVID”) pandemic and subsequent lockdown procedures threatened the global economy. Emerging market investments rebounded in Q2 as lockdown measures were eased and fiscal and monetary stimulus across emerging markets continued to support overall investments. Emerging market investments continued to move higher in Q3 on USD weakness and better than expected gross domestic product growth in China. Emerging market investments rose in October 2020, outperforming developed international markets, led by strength in investments tied to Chinese companies.
We believe that investors showed a preference for growth factor1 companies, resulting in the value factor2 exposure detracting from Fund performance over the 12 months. As a result, the value factor was a negative driver of Fund performance during the fiscal year ended October 31, 2020, as value investments substantially trailed growth investments. In addition, the size factor3 was a negative driver of performance over the 12 months as small cap stocks underperformed large cap stocks. Though the USD depreciated against most emerging market currencies over the 12 months, the increased volatility in currencies resulted in the hedging of the underlying foreign currency exposure to be a positive driver of the Underlying Index’s performance. Overall, the positive performance derived from the currency hedge was not enough to offset the negative performance derived from the value and size factor exposures resulting in the Underlying Index’s underperformance against the MSCI EM IMI Net Index by -5.23%. Tracking difference between the Fund’s NAV and the Underlying Index’s total return
for the 12-month period was +47 basis points (“bps”)4, which is reflective of the Fund’s management fee (-64 bps), implementation of the currency hedge (+46 bps), tracking error of the of the Underlying Fund against its underlying index (+1 bps) and performance calculation differences between the Underlying Index and the fund (+64 bps).
1 | The growth factor is based on a belief that the underlying company is anticipated to grow at a rate significantly above the average for the market. |
2 | The value factor is based on a belief that stocks that are inexpensive relative to some measure of fundamental value outperform those that are pricier. |
3 | The size factor is measured by a stock’s total capitalization—found by multiplying the current share price times all the outstanding shares of stock. Large cap generally means stocks with a total capitalization of $10 billion. Mid cap is between $2 billion and $10 billion. Small cap is less than $2 billion in total capitalization. |
4 | A unit that is equal to 1/100th of 1% and is used to denote the change in a financial instrument. |
18 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® | MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE |
US Quality Large Cap Index Fund Ticker: QLC
CUMULATIVE PERFORMANCE
Through October 31, 2020
AVERAGE ANNUAL TOTAL RETURN
For the period ended October 31, 2020
1 Year | 3 Year | 5 Year | Fund Inception 9/23/2015 | |||||||||||||
|
| |||||||||||||||
FlexShares US Quality Large Cap Index Fund Index Fund (Based on Net Asset Value) | 4.13 | % | 5.60 | % | 7.83 | % | 9.00 | % | ||||||||
FlexShares US Quality Large Cap Index Fund Index Fund (Based on Market Price) | 4.16 | % | 5.49 | % | 7.84 | % | 9.00 | % | ||||||||
Northern Trust Quality Large Cap IndexSM | 4.33 | % | 5.80 | % | 8.12 | % | 9.29 | % | ||||||||
S&P 500 Index | 9.71 | % | 10.43 | % | 11.71 | % | 13.03 | % |
All data as of 10/31/20. Total returns based on market price do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, these returns would be lower. Total returns based on market price and net asset value (“NAV”) assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively. NAV is calculated by dividing the total value of all the securities in the fund’s portfolio plus cash, interest and receivables less any liabilities by the number of fund shares outstanding. Market price is determined by the midpoint of the bid/ask spread at 4:00 p.m. Eastern Time from the primary listing exchange. Market price returns may vary from NAV returns.
Performance quoted represents past performance and does not guarantee future results. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Unlike the Index, the Fund’s total returns are reduced by operating expenses, such as transaction costs and management fees. An investor cannot invest directly in an index.
Performance reflects contractual reimbursements in effect until March 1, 2021. In the absence of such reimbursements, performance would be reduced. The gross expense ratio of the Fund is 0.33% and the net expense ratio is 0.32%. The gross and net expense ratios disclosed are as reported in the Fund’s prospectus, which may differ from the gross and net expense ratios presented in the Fund’s financial reports. Current performance may be higher or lower than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed or sold in the market.
FlexShares ETFs’ performance data current to the most recent month-end is available at www.flexshares.com.
PORTFOLIO ANALYSIS
The Fund seeks to provide investment results that correspond generally to the price and yield performance, before fees and expenses, of the Northern Trust Quality Large Cap Index (the “Underlying Index”). The Underlying Index is designed to reflect the performance of a selection of companies that, in aggregate, possess greater exposure to quality, value and momentum factors relative to a universe of publicly traded U.S. large-capitalization equity securities. The universe is comprised of the 600 largest companies in the Northern Trust 1250 Index, a float-adjusted market-capitalization weighted index of U.S. domiciled companies. As of October 31, 2020, there were 147 issues in the Underlying Index. NTI uses a “passive” or indexing approach to try to achieve the Fund’s investment objective. NTI uses a representative sampling strategy to manage the Fund. This means the Fund may or may not hold all of the issues that are included in the Underlying Index.
During the 12 months ended October 31, 2020, prices on U.S. investments were volatile and many declined sharply in Q1 of 2020 as the COVID-19 (“COVID”) pandemic spread and investors feared a global recession. By the end of the fiscal year, however, prices on U.S. investments generally were trading higher. Up through Q4 of 2019, U.S. investments moved higher as trade tensions between the U.S. and China de-escalated with the announcement of the initial phase of a trade deal, halting new tariffs planned by the United States. Domestic U.S. investments were increasingly volatile overall in Q1 as the COVID pandemic spread around the globe. The U.S. Federal Reserve Bank cut interest rates to near zero while enacting new quantitative easing measures, and Congress announced fiscal stimulus to dampen the effects of the shutdown on the U.S. economy and financial markets. U.S. domestic investments rebounded in Q2 as lockdown measures eased in the U.S. with a handful of large cap technology and consumer discretionary companies leading several equity indices higher. The rally in U.S. domestic investments continued into Q3 of 2020 despite a decline late in the quarter due to rising COVID cases in Europe and political
FLEXSHARES ANNUAL REPORT | 19 |
Table of Contents
FlexShares® | MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE |
US Quality Large Cap Index Fund (cont.)
PORTFOLIO ANALYSIS (cont.)
uncertainty tied to the November elections in the U.S. The decline in U.S. domestic investments continued into October 2020 as domestic COVID cases increased.
We believe that investors showed a preference for growth factor1 companies, resulting in the value factor2 exposure detracting from Fund performance over the 12 months. As a result, the value factor was a negative driver of Fund performance during the fiscal year ended October 31, 2020, as value investments substantially trailed growth investments. In addition, we believe that investors showed a preference for low quality factor3 companies, resulting in the high-quality factor exposure detracting from Fund performance over the 12 months. The momentum factor4 exposure of the Underlying Index was a positive driver of performance as positive momentum companies outperformed negative momentum companies over the 12 months. Overall, the positive exposure from momentum was not enough to offset the headwinds from the negative performance derived from the value and quality factor exposures, and the Underlying Index underperformed the S&P 500 Index by -5.38%. Tracking difference between the Fund’s NAV and the Underlying Index’s total return for the 12-month period was -20 basis points (“bps”)5, which is reflective of the management fee (-32 bps), stock selection/futures (+11 bps) and performance calculation differences between the Underlying Index and the Fund (+1 bps).
1 | The growth factor is based on a belief that the underlying company is anticipated to grow at a rate significantly above the average for the market. |
2 | The value factor is based on a belief that stocks that are inexpensive relative to some measure of fundamental value outperform those that are pricier. |
3 | The quality factor is based on a belief that there are a set of clearly defined fundamental criteria that seek to identify companies with outstanding financial characteristics. |
4 | Momentum in a stock is described as the tendency for the stock price to continue rising if it is going up and to continue declining if it is going down. |
5 | A unit that is equal to 1/100th of 1% and is used to denote the change in a financial instrument. |
20 | FLEXSHARES ANNUAL REPORT |
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FlexShares® | MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE |
STOXX® US ESG Impact Index Fund Ticker: ESG
CUMULATIVE PERFORMANCE
Through October 31, 2020
AVERAGE ANNUAL TOTAL RETURN
For the period ended October 31, 2020
1 Year | 3 Year | Fund Inception 7/13/2016 | ||||||||||
|
| |||||||||||
FlexShares STOXX® US ESG Impact Index Fund (Based on Net Asset Value) | 11.40 | % | 11.22 | % | 13.11 | % | ||||||
FlexShares STOXX® US ESG Impact Index Fund (Based on Market Price) | 11.45 | % | 11.20 | % | 13.13 | % | ||||||
STOXX® USA ESG Impact Index | 11.02 | % | 10.49 | % | 12.43 | % | ||||||
Russell 1000® Index | 10.87 | % | 10.63 | % | 12.56 | % |
All data as of 10/31/20. Total returns based on market price do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, these returns would be lower. Total returns based on market price and net asset value (“NAV”) assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively. NAV is calculated by dividing the total value of all the securities in the fund’s portfolio plus cash, interest and receivables less any liabilities by the number of fund shares outstanding. Market price is determined by the midpoint of the bid/ask spread at 4:00 p.m. Eastern Time from the primary listing exchange. Market price returns may vary from NAV returns.
Performance quoted represents past performance and does not guarantee future results. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Unlike the Index, the Fund’s total returns are reduced by operating expenses, such as transaction costs and management fees. An investor cannot invest directly in an index.
Performance reflects contractual reimbursements in effect until March 1, 2021. In the absence of such reimbursements, performance would be reduced. The gross expense ratio of the Fund is 0.33% and the net expense ratio is 0.32%. The gross and net expense ratios disclosed are as reported in the Fund’s prospectus, which may differ from the gross and net expense ratios presented in the Fund’s financial reports. Current performance may be higher or lower than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed or sold in the market.
FlexShares ETFs’ performance data current to the most recent month-end is available at www.flexshares.com.
PORTFOLIO ANALYSIS
The Fund seeks investment results that correspond generally to the price and yield performance, before fees and expenses, of the STOXX® USA ESG Impact Index (“Underlying Index”). The Underlying Index is designed to reflect the performance of a selection of companies that, in aggregate, possess greater exposure to environmental, social and governance (“ESG”) characteristics relative to the STOXX® USA 900 Index, a float adjusted market-capitalization weighted index of U.S.-incorporated companies. As of October 31, 2020, there were 272 issues in the Underlying Index. Northern Trust Investments, Inc. (“NTI”) uses a “passive” or indexing approach to try to achieve the Fund’s investment objective. NTI uses a representative sampling strategy to manage the Fund. This means that the Fund may or may not hold all of the securities that are included in the Underlying Index.
During the 12 months ended October 31, 2020, prices on U.S. investments were volatile and many declined sharply in Q1 of 2020 as the COVID-19 (“COVID”) pandemic spread and investors feared a global recession. By the end of the fiscal year, however, prices on U.S. investments generally were trading higher. Up through Q4 of 2019, U.S. investments moved higher as trade tensions between the U.S. and China de-escalated with the announcement of the initial phase of a trade deal, halting new tariffs planned by the United States. Domestic U.S. investments were increasingly volatile overall in Q1 as the COVID pandemic spread around the globe. The U.S. Federal Reserve Bank cut interest rates to near zero while enacting new quantitative easing measures, and Congress announced fiscal stimulus to dampen the effects of the shutdown on the U.S., economy and financial markets. U.S. domestic investments rebounded in Q2 as lockdown measures eased in the U.S. with a handful of large cap technology and consumer discretionary companies leading U.S. investments higher overall. The rally in U.S. domestic investments continued into Q3 of 2020 despite a decline late in the quarter due to rising COVID cases in Europe and political uncertainty tied to the November elections in the U.S. The decline in U.S. domestic
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FlexShares® | MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE |
STOXX® US ESG Impact Index Fund (cont.)
PORTFOLIO ANALYSIS (cont.)
investments continued into October 2020 as domestic COVID cases increased. The Underlying Index had a positive total return during the 12 months ended October 31, 2020 and outperformed domestic equity markets, as defined by the Russell 1000 Index, by 0.15%. The Underlying Index’s ESG-tilted approach led to beneficial overweight to the technology, consumer discretionary, consumer staples and communications sectors, while overweight to the energy and financials sectors detracted from performance. Likewise, the ESG tilt led to underweights to the real estate, industrials and utilities sectors that were positive drivers of performance but an underweight to healthcare that detracted from performance. Tracking difference between the Fund’s NAV and the Underlying Index’s total return for the 12-month period was +38 basis points (“bps”)1, which is reflective of the management fee (-32 bps), stock selection/futures (+11 bps) and dividend tax differential (+59 bps).
1 | A unit that is equal to 1/100th of 1% and is used to denote the change in a financial instrument. |
22 | FLEXSHARES ANNUAL REPORT |
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FlexShares® | MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE |
STOXX® Global ESG Impact Index Fund Ticker: ESGG
CUMULATIVE PERFORMANCE
Through October 31, 2020
AVERAGE ANNUAL TOTAL RETURN
For the period ended October 31, 2020
1 Year | 3 Year | Fund Inception 7/13/2016 | ||||||||||
|
| |||||||||||
FlexShares STOXX® Global ESG Impact Index Fund (Based on Net Asset Value) | 6.03 | % | 6.85 | % | 10.43 | % | ||||||
FlexShares STOXX® Global ESG Impact Index Fund (Based on Market Price) | 6.46 | % | 6.94 | % | 10.54 | % | ||||||
STOXX® Global ESG Impact Index | 6.11 | % | 6.90 | % | 10.43 | % | ||||||
MSCI World Index | 4.36 | % | 5.97 | % | 9.28 | % |
All data as of 10/31/20. Total returns based on market price do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, these returns would be lower. Total returns based on market price and net asset value (“NAV”) assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively. NAV is calculated by dividing the total value of all the securities in the fund’s portfolio plus cash, interest and receivables less any liabilities by the number of fund shares outstanding. Market price is determined by the midpoint of the bid/ask spread at 4:00 p.m. Eastern Time from the primary listing exchange. Market price returns may vary from NAV returns.
Performance quoted represents past performance and does not guarantee future results. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Unlike the Index, the Fund’s total returns are reduced by operating expenses, such as transaction costs and management fees. An investor cannot invest directly in an index.
Performance reflects contractual reimbursements in effect until March 1, 2021. In the absence of such reimbursements, performance would be reduced. The gross expense ratio of the Fund is 0.43% and the net expense ratio is 0.42%. The gross and net expense ratios disclosed are as reported in the Fund’s prospectus, which may differ from the gross and net expense ratios presented in the Fund’s financial reports. Current performance may be higher or lower than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed or sold in the market.
FlexShares ETFs’ performance data current to the most recent month-end is available at www.flexshares.com.
PORTFOLIO ANALYSIS
The Fund seeks investment results that correspond generally to the price and yield performance, before fees and expenses, of the STOXX® Global ESG Impact IndexSM (the “Underlying Index”) The Underlying Index is designed to reflect the performance of a selection of companies that, in aggregate, possess greater exposure to environmental, social and governance (“ESG”) characteristics relative to the STOXX® Global 1800 Index, the parent index, a float-adjusted market-capitalization weighted index of companies incorporated in the U.S. or in developed international markets. As of October 31, 2020, there were 913 issues in the Underlying Index. Northern Trust Investments, Inc. (“NTI”) uses a “passive” or indexing approach to try to achieve the Fund’s investment objective. NTI uses a representative sampling strategy to manage the Fund. The Fund may or may not hold all of the securities that are included in the Underlying Index.
During the 12 months ended October 31, 2020, prices on global investments (including U.S., developed and emerging markets) generally traded lower. Over the course of the 12-month period, the U.S. dollar (USD) was volatile, but ultimately weakened and positively impacted U.S. investors as returns in local currencies generally were enhanced by the falling of the USD. Through Q4 of 2019, global investments moved higher as improving economic conditions in Europe and easing geopolitical tensions stemming from the announced U.S.-China trade agreement allayed investors’ concerns. Global investments became volatile and declined sharply in Q1 of 2020 as the COVID-19 (“COVID”) pandemic spread and investors feared a global recession. Global investments rebounded in Q2 as lockdown measures were eased and fiscal and monetary stimulus across the globe continued to support overall investments. Global equities continued to advance in Q3 as the strength of Asia Pacific equity markets and a weakening USD offset concerns in Europe regarding stalled Brexit negotiations. Global markets fell in October 2020 as several countries reintroduced lockdown measures to control resurgent COVID infection rates.
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Table of Contents
FlexShares® | MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE |
STOXX® Global ESG Impact Index Fund (cont.)
PORTFOLIO ANALYSIS (cont.)
The Underlying Index had a positive total return during the 12 months ended October 31, 2020 and outperformed global equity markets, as defined by the MSCI World Index by 0.15%. The Underlying Index’s ESG-tilted approach led to beneficial overweight to the technology, consumer discretionary, consumer staples and communications sectors, while overweight to the energy and financials sectors detracted from performance. The ESG tilt led to underweights in the real estate, industrials, utilities and financial sectors that were positive contributors to performance, while underweights in healthcare and materials detracted from performance. Tracking difference between the Fund’s NAV and the Underlying Index’s total return for the 12-month period was -8 basis points (“bps”)1, which is reflective of the management fee (-42 bps), stock selection/futures (-6 bps) and dividend tax differential (+40 bps).
1 | A unit that is equal to 1/100th of 1% and is used to denote the change in a financial instrument. |
24 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® Morningstar | MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE |
Global Upstream Natural Resources Index Fund Ticker: GUNR
CUMULATIVE PERFORMANCE
Through October 31, 2020
AVERAGE ANNUAL TOTAL RETURN
For the period ended October 31, 2020
1 Year | 3 Year | 5 Year | Fund Inception 9/16/2011 | |||||||||||||
|
| |||||||||||||||
FlexShares Morningstar Global Upstream Natural Resources Index Fund (Based on Net Asset Value) | -11.87 | % | -2.38 | % | 4.52 | % | -0.37 | % | ||||||||
FlexShares Morningstar Global Upstream Natural Resources Index Fund (Based on Market Price) | -11.46 | % | -2.36 | % | 4.60 | % | -0.34 | % | ||||||||
Morningstar® Global Upstream Natural Resources IndexSM | -11.39 | % | -1.91 | % | 5.03 | % | -0.01 | % |
All data as of 10/31/20. Total returns based on market price do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, these returns would be lower. Total returns based on market price and net asset value (“NAV”) assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively. NAV is calculated by dividing the total value of all the securities in the fund’s portfolio plus cash, interest and receivables less any liabilities by the number of fund shares outstanding. Market price is determined by the midpoint of the bid/ask spread at 4:00 p.m. Eastern Time from the primary listing exchange. Market price returns may vary from NAV returns.
Performance quoted represents past performance and does not guarantee future results. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Unlike the Index, the Fund’s total returns are reduced by operating expenses, such as transaction costs and management fees. An investor cannot invest directly in an index.
Performance reflects contractual reimbursements in effect until March 1, 2021. In the absence of such reimbursements, performance would be reduced. The gross expense ratio of the Fund is 0.47% and the net expense ratio is 0.46%. The gross and net expense ratios disclosed are as reported in the Fund’s prospectus, which may differ from the gross and net expense ratios presented in the Fund’s financial reports. Current performance may be higher or lower than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed or sold in the market.
FlexShares ETFs’ performance data current to the most recent month-end is available at www.flexshares.com.
PORTFOLIO ANALYSIS
The Fund seeks investment results that correspond generally to the price and yield performance, before fees and expenses, of the Morningstar® Global Upstream Natural Resources IndexSM (the “Underlying Index”). The Underlying Index reflects the performance of a selection of equity securities that are traded in or are issued by companies domiciled in global developed or emerging markets (including the U.S.), as determined by Morningstar, Inc., the index provider, pursuant to its index methodology. The companies included in the Underlying Index have significant business operations in the ownership, management and/or production of natural resources in energy, agriculture, precious or industrial metals, timber and water resources sectors, as determined by the index provider, pursuant to its index methodology. As of October 31, 2020, there were 120 issues in the Underlying Index. Northern Trust Investments, Inc. (“NTI”) uses a “passive” or indexing approach to try to achieve the Fund’s investment objective and a representative sampling strategy to manage the Fund. This means the Fund may or may not hold all of the issues that are included in the Underlying Index.
During the first half of the fiscal year ended October 31, 2020, commodity and natural resources prices in many sectors were lower, driven first by concerns of slowing global growth and then driven dramatically lower as global demand crashed as economies shut down due to COVID-19 (“COVID”). Crude oil prices were down over 65% during the first half of the fiscal year1. Few sectors in commodities escaped the decline in demand and negative pricing pressures. Overall commodity prices rebounded in the second half of the fiscal year, however, as monetary and financial market support actions by global central banks and governments helped stabilize markets and demand while global economies slowly reopened during the summer of 2020. A weakening U.S. Dollar during the second half of the fiscal year helped mitigate some of the negative impact on natural resource prices for U.S. investors. The U.S. Dollar (DXY Index) had risen 1.7%
1 | Source: Bloomberg, USCRWTIC Index, 10/31/2019 – 4/30/2020 |
FLEXSHARES ANNUAL REPORT | 25 |
Table of Contents
FlexShares® Morningstar | MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE |
Global Upstream Natural Resources Index Fund (cont.)
PORTFOLIO ANALYSIS (cont.)
through April but then retreated nearly -5% to end the fiscal year -3.4% lower2.
Production cutbacks by the Organization of Petroleum Exporting Countries (OPEC) and other oil producers failed to stymie crude oil price declines. Due to the unprecedented decline in demand, the price of crude oil briefly went negative on April 20, 20203. With an absence of buyers and the inability, or unwillingness, to take delivery on expiring April futures contracts, crude oil prices fell to a negative $37 per barrel on West Texas Intermediate (“WTI”) crude. After rebounding from negative levels, WTI prices ended the fiscal year approximately -34% lower4. Natural gas prices were the sole bright spot in the energy sector, ending the fiscal year higher after years of negative price performance5, as the sector appears to have finally worked off excess supplies that had been depressing prices.
Overall industrial metals prices, such as nickel, zinc, copper and aluminum, were lower during the first half of the fiscal year. Prices recovered in the second half of the fiscal year as China’s economy reopened. Precious metals such as gold and silver posted strong price performance due to their use by many investors as a way to historically protect against global economic uncertainty. Additionally, precious metals’ specialized role in industrial/environmental applications drove a demand increase, especially for metals like palladium.
Grains were mostly higher for the fiscal year because supplies were down, as planting schedules were negatively affected by COVID and weather negatively affected multiple areas of global production. Protein prices (cattle, hogs, poultry, and fish) were negatively impacted by higher feed costs and declining demand from restaurants due to COVID-induced shutdowns. U.S. lumber prices posted strong price gains on housing demand and supply issues resulting from COVID- induced mill shutdowns and the 2020 forest fire season in North America.
For the 12-month period ended October 31, 2020, the Underlying Index outperformed the global natural resource equity markets, as defined by the S&P Global Natural Resources Index, by 329 basis points (bps)6. Due to the Underlying Index’s focus on the upstream section of the natural resource supply chain, there was limited to no exposure to underperforming downstream natural resource sectors. Detractors for the fiscal year included containers & packaging along with the metals & mining sectors. Tracking difference for the period between the Fund’s NAV and the Underlying Index was -48 bps, which is reflective of the Fund’s management fee (-46 bps), futures (+1 bps), foreign dividend tax differential treatment (+5 bps), securities lending (+3 bps), security selection (-6 bps), transaction costs (-3 bps) and other expenses (-2 bps).
2 | Source: Bloomberg, DXY Index (October 31, 2019 – October 31, 2020) |
3 | Source: Bloomberg, USCRWTIC Index (April 20, 2020). |
4 | Source: Bloomberg, DXY Index (October 31, 2019 – October 31, 2020). |
5 | Source: Bloomberg, NYMEX Index (October 31, 2019 – October 31, 2020) |
6 | A unit that is equal to 1/100th of 1% and is used to denote the change in a financial instrument. |
26 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® STOXX® | MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE |
Global Broad Infrastructure Index Fund Ticker: NFRA
CUMULATIVE PERFORMANCE
Through October 31, 2020
AVERAGE ANNUAL TOTAL RETURN
For the period ended October 31, 2020
1 Year | 3 Year | 5 Year | Fund Inception 10/8/2013 | |||||||||||||
|
| |||||||||||||||
FlexShares STOXX® Global Broad Infrastructure Index Fund (Based on Net Asset Value) | -6.23 | % | 2.86 | % | 4.94 | % | 5.36 | % | ||||||||
FlexShares STOXX® Global Broad Infrastructure Index Fund (Based on Market Price) | -5.93 | % | 2.98 | % | 5.01 | % | 5.41 | % | ||||||||
STOXX® Global Broad Infrastructure Index | -6.38 | % | 2.72 | % | 4.82 | % | 5.26 | % |
All data as of 10/31/20. Total returns based on market price do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, these returns would be lower. Total returns based on market price and net asset value (“NAV”) assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively. NAV is calculated by dividing the total value of all the securities in the fund’s portfolio plus cash, interest and receivables less any liabilities by the number of fund shares outstanding. Market price is determined by the midpoint of the bid/ask spread at 4:00 p.m. Eastern Time from the primary listing exchange. Market price returns may vary from NAV returns.
Performance quoted represents past performance and does not guarantee future results. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Unlike the Index, the Fund’s total returns are reduced by operating expenses, such as transaction costs and management fees. An investor cannot invest directly in an index.
Performance reflects contractual reimbursements in effect until March 1, 2021. In the absence of such reimbursements, performance would be reduced. The gross expense ratio of the Fund is 0.48% and the net expense ratio is 0.47%. The gross and net expense ratios disclosed are as reported in the Fund’s prospectus, which may differ from the gross and net expense ratios presented in the Fund’s financial reports. Current performance may be higher or lower than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed or sold in the market.
FlexShares ETFs’ performance data current to the most recent month-end is available at www.flexshares.com.
PORTFOLIO ANALYSIS
The Fund seeks investment results that correspond generally to the price and yield performance, before fees and expenses, of the STOXX® Global Broad Infrastructure Index (the “Underlying Index”). The Underlying Index is designed to reflect the performance of a selection of companies that, in aggregate, offer broad exposure to publicly traded developed- and emerging-market infrastructure companies, including U.S. companies, as defined by STOXX Ltd. (“STOXX”) pursuant to its index methodology. Infrastructure companies generally include, without limitation, entities that own or operate location-specific capital-intensive assets characterized by high barriers to entry, essential services with inelastic demand, regulated pricing, and reliable or relatively stable revenue streams As of October 31, 2020, there were 179 issues in the Underlying Index. Northern Trust Investments, Inc. (“NTI”) uses a “passive” or indexing approach to try to achieve the Fund’s investment objective. NTI uses a representative sampling strategy to manage the Fund. This means the Fund may or may not hold all of the issues that are included in the Underlying Index.
During the 12 months ended October 31, 2020, prices on global investments (including U.S., developed and emerging markets) generally traded lower. Over the course of the 12-month period, the U.S. dollar (USD) was volatile, but ultimately weakened and positively impacted U.S. investors as returns in local currencies generally were enhanced by the falling of the USD. Through Q4 of 2019, global investments moved higher as improving economic conditions in Europe and easing geopolitical tensions stemming from the announced U.S.-China trade agreement allayed investors’ concerns. Global investments became volatile and declined sharply in Q1 of 2020 as the COVID-19 (“COVID”) pandemic spread and investors feared a global recession. Global investments rebounded in Q2 as lockdown measures were eased and fiscal and monetary stimulus across the region continued to support overall investments. Global equities continued to advance in Q3, as the strength of Asia Pacific equity markets and a weakening USD offset concerns in Europe regarding stalled Brexit
FLEXSHARES ANNUAL REPORT | 27 |
Table of Contents
FlexShares® STOXX® | MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE |
Global Broad Infrastructure Index Fund (cont.)
PORTFOLIO ANALYSIS (cont.)
negotiations. Global markets fell in October 2020 as several countries reintroduced lockdown measures to control resurgent COVID infection rates.
The Underlying Index had a negative total return during the 12 months ended October 31, 2020, but outperformed the global infrastructure market, as defined by the S&P Global Infrastructure Index, by 10.41%. The Underlying Index’s exposures to the transportation, communication, social and utilities sectors positively contributed to its performance, while exposure to the energy infrastructure sector detracted from its performance. The tracking difference between the Fund’s NAV and the Underlying Index’s total return for the 12-month period was +14 basis points (“bps”)1, which is reflective of the Fund’s management fee (-47 bps), stock selection/futures (+9 bps), securities lending (+2 bps), dividend tax differential (+49 bps) and performance calculation differences between the Underlying Index and the Fund (+1 bps).
1 | A unit that is equal to 1/100th of 1% and is used to denote the change in a financial instrument. |
28 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® | MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE |
Global Quality Real Estate Index Fund Ticker: GQRE
CUMULATIVE PERFORMANCE
Through October 31, 2020
AVERAGE ANNUAL TOTAL RETURN
For the period ended October 31, 2020
1 Year | 3 Year | 5 Year | Fund Inception 11/5/2013 | |||||||||||||
|
| |||||||||||||||
FlexShares Global Quality Real Estate Index Fund (Based on Net Asset Value) | -20.29 | % | -3.14 | % | 0.75 | % | 3.23 | % | ||||||||
FlexShares Global Quality Real Estate Index Fund (Based on Market Price) | -20.40 | % | -3.19 | % | 0.75 | % | 3.23 | % | ||||||||
Northern Trust Global Quality Real Estate IndexSM | -20.45 | % | -3.17 | % | 0.73 | % | 3.17 | % | ||||||||
FTSE EPRA/NAREIT Developed IndexSM | -22.93 | % | -2.40 | % | 0.22 | % | 1.89 | % |
All data as of 10/31/20. Total returns based on market price do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, these returns would be lower. Total returns based on market price and net asset value (“NAV”) assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively. NAV is calculated by dividing the total value of all the securities in the fund’s portfolio plus cash, interest and receivables less any liabilities by the number of fund shares outstanding. Market price is determined by the midpoint of the bid/ask spread at 4:00 p.m. Eastern Time from the primary listing exchange. Market price returns may vary from NAV returns.
Performance quoted represents past performance and does not guarantee future results. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Unlike the Index, the Fund’s total returns are reduced by operating expenses, such as transaction costs and management fees. An investor cannot invest directly in an index.
Performance reflects contractual reimbursements in effect until March 1, 2021. In the absence of such reimbursements, performance would be reduced. The gross expense ratio of the Fund is 0.46% and the net expense ratio is 0.45%. The gross and net expense ratios disclosed are as reported in the Fund’s prospectus, which may differ from the gross and net expense ratios presented in the Fund’s financial reports. Current performance may be higher or lower than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed or sold in the market.
FlexShares ETFs’ performance data current to the most recent month-end is available at www.flexshares.com.
PORTFOLIO ANALYSIS
The Fund seeks investment results that correspond generally to the price and yield performance, before fees and expenses, of the Northern Trust Global Quality Real Estate IndexSM (the “Underlying Index”) The Underlying Index is designed to reflect the performance of a selection of companies that, in aggregate, possess greater exposure to quality, value and momentum factors relative to the Northern Trust Global Real Estate Index, the parent index, a float-adjusted market-capitalization weighted index of publicly-traded equity securities of U.S. and non-U.S. real estate investment trusts and real estate operating companies. In addition, the Underlying Index is designed to include companies with enhanced risk-return characteristics relative to the global publicly traded real-estate market by featuring quality, value and momentum risk premiums, which Northern Trust Investments, Inc. (“NTI”) believes have been historically demonstrated over a full market cycle. As of October 31, 2020, there were 131 issues in the Underlying Index. NTI uses a “passive” or indexing approach to try to achieve the Fund’s investment objective. NTI uses a representative sampling strategy to manage the Fund. This means the Fund may or may not hold all of the issues that are included in the Underlying Index.
During the 12 months ended October 31, 2020, prices on global investments (including U.S., developed and emerging markets) generally traded lower. Over the course of the 12-month period, both the U.S. dollar (USD) was volatile, but ultimately weakened and positively impacted U.S. investors as returns in local currencies generally were enhanced by the falling of the USD. Through Q4 of 2019, global investments moved higher as improving economic conditions in Europe and easing geopolitical tensions stemming from the announced U.S.-China trade agreement allayed investors’ concerns. Global investments became volatile and declined sharply in Q1 of 2020 as the COVID-19 (“COVID”) pandemic spread and investors feared a global recession. Global investments rebounded in Q2 as lockdown measures were eased and fiscal and monetary stimulus across the globe continued to support overall
FLEXSHARES ANNUAL REPORT | 29 |
Table of Contents
FlexShares® | MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE |
Global Quality Real Estate Index Fund (cont.)
PORTFOLIO ANALYSIS (cont.)
investments. Global equities continued to advance in Q3 as the strength of Asia Pacific equity markets and a weakening USD offset concerns in Europe regarding stalled Brexit negotiations. Global markets fell in October 2020 as several countries reintroduced lockdown measures to control resurgent COVID infection rates.
The Underlying Index had a negative total return during the 12 months ended October 31, 2020, but outperformed the global equity real estate markets, as defined by the FTSE EPRA/NAREIT Developed Net Index, by 2.48%. The quality1 and momentum2 factor exposures of the Underlying Index were positive drivers of performance while the value3 factor exposure was a negative driver of performance. Overall, the positive exposure to quality and momentum offset the headwinds from the negative performance derived from the value exposure. Tracking difference between the Fund’s NAV and the Underlying Index’s total return for the period was 16 basis points (“bps”)4, which is reflective of the Fund’s management fee (-45 bps), stock selection/futures (+25 bps), securities lending (+2 bps), dividend tax differential (+35 bps) and performance calculation differences between the Underlying Index and the Fund (-1 bps).
1 | The quality factor is based on a belief that there are a set of clearly defined fundamental criteria that seek to identify companies with outstanding financial characteristics. |
2 | Momentum in a stock is described as the tendency for the stock price to continue rising if it is going up and to continue declining if it is going down. |
3 | The value factor is based on a belief that stocks that are inexpensive relative to some measure of fundamental value outperform those that are pricier. |
4 | A unit that is equal to 1/100th of 1% and is used to denote the change in a financial instrument. |
30 | FLEXSHARES ANNUAL REPORT |
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FlexShares® | MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE |
Real Assets Allocation Index Fund Ticker: ASET
CUMULATIVE PERFORMANCE
Through October 31, 2020
AVERAGE ANNUAL TOTAL RETURN
For the period ended October 31, 2020
1 Year | 3 Year | Fund Inception 11/23/2015 | ||||||||||
|
| |||||||||||
FlexShares Real Assets Allocation Index Fund (Based on Net Asset Value) | -12.45 | % | -0.05 | % | 3.55 | % | ||||||
FlexShares Real Assets Allocation Index Fund (Based on Market Price) | -12.54 | % | -0.15 | % | 3.55 | % | ||||||
Northern Trust Real Assets Allocation IndexSM | -12.34 | % | 0.07 | % | 3.67 | % | ||||||
MSCI ACWI Index | 4.89 | % | 5.52 | % | 8.30 | % |
All data as of 10/31/20. Total returns based on market price do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, these returns would be lower. Total returns based on market price and net asset value (“NAV”) assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively. NAV is calculated by dividing the total value of all the securities in the fund’s portfolio plus cash, interest and receivables less any liabilities by the number of fund shares outstanding. Market price is determined by the midpoint of the bid/ask spread at 4:00 p.m. Eastern Time from the primary listing exchange. Market price returns may vary from NAV returns.
Performance quoted represents past performance and does not guarantee future results. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Unlike the Index, the Fund’s total returns are reduced by operating expenses, such as transaction costs and management fees. An investor cannot invest directly in an index.
Performance reflects contractual reimbursements in effect until March 1, 2021. In the absence of such reimbursements, performance would be reduced. The gross expense ratio of the Fund is 1.04% and the net expense ratio is 0.57%. The gross and net expense ratios disclosed are as reported in the Fund’s prospectus, which may differ from the gross and net expense ratios presented in the Fund’s financial reports. Current performance may be higher or lower than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed or sold in the market.
FlexShares ETFs’ performance data current to the most recent month-end is available at www.flexshares.com.
PORTFOLIO ANALYSIS
The Fund seeks investment results that correspond generally to the price and yield performance, before fees and expenses, of the Northern Trust Real Assets Allocation IndexSM (the “Underlying Index”). The Fund is a fund of funds and seeks its investment objective by investing primarily in the shares of other FlexShares® ETFs (together, the “Underlying Funds”) that are eligible for inclusion in the Underlying Index, rather than in securities of individual companies. The Underlying Funds themselves seek investment results corresponding to their own respective underlying indexes. The Underlying Funds invest primarily in separate sets of securities representing or providing exposures to global “real assets.” Real assets are defined by the index provider as physical or tangible assets. Examples of real assets include but are not limited to commodities, precious metals, oil, and real estate. Each Underlying Fund has its own risk profile and will contribute differently to the overall risk profile of the Fund. Each of the Underlying Funds invests in equity securities that are traded in or are issued by companies domiciled in global developed or emerging markets (including the U.S.). Certain of the Underlying Funds may invest in publicly traded units of master limited partnerships and real estate investment trusts. As of October 31, 2020, there were three Underlying Funds in the Underlying Index. Northern Trust Investments, Inc. (“NTI”) uses a “passive” or indexing approach to try to achieve the Fund’s investment objective and to manage the Fund.
During the 12 months ended October 31, 2020, prices on global investments (including U.S., developed and emerging markets) generally traded lower. Over the course of the 12-month period, the U.S. dollar (USD) was volatile, but ultimately weakened and positively impacted U.S. investors as returns in local currencies generally were enhanced by the falling of the USD. Through Q4 of 2019, global investments moved higher as improving economic conditions in Europe and easing geopolitical tensions stemming from the announced U.S.-China trade agreement allayed investors’ concerns. Global investments became volatile and declined sharply
FLEXSHARES ANNUAL REPORT | 31 |
Table of Contents
FlexShares® | MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE |
Real Assets Allocation Index Fund (cont.)
PORTFOLIO ANALYSIS (cont.)
in Q1 of 2020 as the COVID-19 (“COVID”) pandemic spread and investors feared a global recession. Global investments rebounded in Q2 as lockdown measures were eased and fiscal and monetary stimulus across the globe continued to support overall investments. Global equities continued to advance in Q3 as the strength of Asia Pacific equity markets and a weakening USD offset concerns in Europe regarding stalled Brexit negotiations. Global markets fell in October 2020 as several countries reintroduced lockdown measures to control resurgent COVID infection rates.
The Underlying Index had a negative total return during the 12 months ended October 31, 2020 and underperformed the global equity markets, as defined by the MSCI All Country World Index (ACWI) by 5.23%. The Underlying Index underperformed due to a greater allocation to real estate and infrastructure relative to its natural resource allocations. Tracking difference between the Fund’s NAV and the Underlying Index’s total return for the period was -11 basis points (“bps”)1, which is largely reflective of the Fund’s management fee (-57 bps) and a reimbursement amount equal to the acquired fund fees and expenses attributable to the Fund’s investments in the Underlying Fund (+46 bps).
1 | A unit that is equal to 1/100th of 1% and is used to denote the change in a financial instrument. |
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FlexShares® | MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE |
Quality Dividend Index Fund Ticker: QDF
CUMULATIVE PERFORMANCE
Through October 31, 2020
AVERAGE ANNUAL TOTAL RETURN
For the period ended October 31, 2020
1 Year | 3 Year | 5 Year | Fund Inception 12/14/2012 | |||||||||||||
|
| |||||||||||||||
FlexShares Quality Dividend Index Fund (Based on Net Asset Value) | -2.98 | % | 4.17 | % | 7.27 | % | 10.52 | % | ||||||||
FlexShares Quality Dividend Index Fund (Based on Market Price) | -2.98 | % | 4.18 | % | 7.27 | % | 10.53 | % | ||||||||
Northern Trust Quality Dividend IndexSM | -2.17 | % | 4.78 | % | 7.88 | % | 11.08 | % | ||||||||
Russell 1000® Index | 10.87 | % | 10.63 | % | 11.78 | % | 13.56 | % |
All data as of 10/31/20. Total returns based on market price do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, these returns would be lower. Total returns based on market price and net asset value (“NAV”) assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively. NAV is calculated by dividing the total value of all the securities in the fund’s portfolio plus cash, interest and receivables less any liabilities by the number of fund shares outstanding. Market price is determined by the midpoint of the bid/ask spread at 4:00 p.m. Eastern Time from the primary listing exchange. Market price returns may vary from NAV returns.
Performance quoted represents past performance and does not guarantee future results. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Unlike the Index, the Fund’s total returns are reduced by operating expenses, such as transaction costs and management fees. An investor cannot invest directly in an index.
Performance reflects contractual reimbursements in effect until March 1, 2021. In the absence of such reimbursements, performance would be reduced. The gross expense ratio of the Fund is 0.38% and the net expense ratio is 0.37%. The gross and net expense ratios disclosed are as reported in the Fund’s prospectus, which may differ from the gross and net expense ratios presented in the Fund’s financial reports. Current performance may be higher or lower than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed or sold in the market.
FlexShares ETFs’ performance data current to the most recent month-end is available at www.flexshares.com.
PORTFOLIO ANALYSIS
The Fund seeks to provide investment results that correspond generally, before fees and expenses, to the price and yield performance of the Northern Trust Quality Dividend Index (the “Underlying Index”). The Underlying Index is designed to reflect the performance of a selection of companies that, in aggregate, possess greater financial strength and stability characteristics relative to the Northern Trust 1250 Index (the “Parent Index”).1 In addition, the Underlying Index is designed to select companies from the Parent Index that in the aggregate have the potential to generate income in excess of the income generated by securities in the Parent Index with a beta2 that is similar to that of the Parent Index. As of October 31, 2020, there were 129 issues in the Underlying Index. Northern Trust Investments, Inc. (“NTI”) uses a “passive” or indexing approach to try to achieve the Fund’s investment objective. NTI uses a representative sampling strategy to manage the Fund. This means the Fund may or may not hold all of the issues that are included in the Underlying Index.
During the 12 months ended October 31, 2020, prices on U.S. investments were volatile and many declined sharply in Q1 of 2020 as the COVID-19 (“COVID”) pandemic spread and investors feared a global recession. By the end of the fiscal year, however, prices on U.S. investments generally were trading higher. Up through Q4 of 2019, U.S. investments moved higher as trade tensions between the U.S. and China de-escalated with the announcement of the initial phase of a trade deal, halting new tariffs planned by the United States. Domestic U.S. investments were increasingly volatile overall in Q1 as the
1 | Northern Trust 1250 Index is a float-adjusted market-capitalization weighted index comprised of U.S. domiciled large- and mid-capitalization companies. |
2 | A statistical measure of the volatility, or sensitivity, of rates of return on a portfolio or security compared to a market index. The beta for an ETF measures the expected change in return of the ETF relative to the return of a designated index. By definition, the beta of the Standard & Poor’s (“S&P”) 500 Index is 1.00. Accordingly, a fund with a 1.10 beta is expected to perform 10% better than the S&P 500 Index in rising markets and 10% worse in falling markets. |
FLEXSHARES ANNUAL REPORT | 33 |
Table of Contents
FlexShares® | MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE |
Quality Dividend Index Fund (cont.)
PORTFOLIO ANALYSIS (cont.)
COVID pandemic spread around the globe. The U.S. Federal Reserve Bank cut interest rates to near zero while enacting new quantitative easing measures, and Congress announced fiscal stimulus to dampen the effects of the shutdown on the U.S. economy and financial markets. U.S. domestic investments rebounded in Q2 as lockdown measures eased in the U.S. with a handful of large cap technology and consumer discretionary companies leading U.S. investments higher overall. The rally in U.S. domestic investments continued into Q3 of 2020 despite a decline late in the quarter due to rising COVID cases in Europe and political uncertainty tied to the November elections in the U.S. The decline in U.S. domestic investments continued into October 2020 as domestic COVID cases increased.
The Underlying Index’s exposure to equities that traditionally have derived some of their market value from their overall higher yield levels versus the broader market was once again perceived by investors as a negative influence, as the top dividend yielding stocks underperformed non-dividend paying stocks during the 12 months ended October 31, 2020, as higher-yielding investments substantially trailed growth investments. The quality focus factor3 of the Fund’s Underlying Index was a positive driver of performance, however, for the 12-month period as investors showed a preference for higher quality companies within the universe of dividend-paying U.S. companies. Overall, the positive performance derived from the quality exposure was not enough to offset the negative
performance derived from investor preference for non-dividend paying stocks. Consequently, the Underlying Index underperformed the Russell 1000 Index by -13.04%. Tracking difference between the Fund’s NAV and the Underlying Index’s total return for the
3 | The quality factor is based on a belief that there are a set of clearly defined fundamental criteria that seek to identify companies with outstanding financial characteristics. |
4 | A unit that is equal to 1/100th of 1% and is used to denote the change in a financial instrument. |
12-month period was -81 basis points (“bps”)4, which is reflective of the management fee (-37 bps), stock selection/futures (-45 bps), securities lending (+2 bps) and performance calculation differences between the Underlying Index and the Fund (-1 bps).
34 | FLEXSHARES ANNUAL REPORT |
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FlexShares® | MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE |
Quality Dividend Defensive Index Fund Ticker: QDEF
CUMULATIVE PERFORMANCE
Through October 31, 2020
AVERAGE ANNUAL TOTAL RETURN
For the period ended October 31, 2020
1 Year | 3 Year | 5 Year | Fund Inception 12/14/2012 | |||||||||||||
|
| |||||||||||||||
FlexShares Quality Dividend Defensive Index Fund (Based on Net Asset Value) | -4.45 | % | 4.98 | % | 7.56 | % | 10.61 | % | ||||||||
FlexShares Quality Dividend Defensive Index Fund (Based on Market Price) | -4.43 | % | 5.00 | % | 7.57 | % | 10.62 | % | ||||||||
Northern Trust Quality Dividend Defensive IndexSM | -4.25 | % | 5.64 | % | 8.14 | % | 11.19 | % | ||||||||
Russell 1000® Index | 10.87 | % | 10.63 | % | 11.78 | % | 13.56 | % |
All data as of 10/31/20. Total returns based on market price do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, these returns would be lower. Total returns based on market price and net asset value (“NAV”) assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively. NAV is calculated by dividing the total value of all the securities in the fund’s portfolio plus cash, interest and receivables less any liabilities by the number of fund shares outstanding. Market price is determined by the midpoint of the bid/ask spread at 4:00 p.m. Eastern Time from the primary listing exchange. Market price returns may vary from NAV returns.
Performance quoted represents past performance and does not guarantee future results. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Unlike the Index, the Fund’s total returns are reduced by operating expenses, such as transaction costs and management fees. An investor cannot invest directly in an index.
Performance reflects contractual reimbursements in effect until March 1, 2021. In the absence of such reimbursements, performance would be reduced. The gross expense ratio of the Fund is 0.38% and the net expense ratio is 0.37%. The gross and net expense ratios disclosed are as reported in the Fund’s prospectus, which may differ from the gross and net expense ratios presented in the Fund’s financial reports. Current performance may be higher or lower than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed or sold in the market.
FlexShares ETFs’ performance data current to the most recent month-end is available at www.flexshares.com.
PORTFOLIO ANALYSIS
The Fund seeks to provide investment results that correspond generally to the price and yield performance, before fees and expenses, of the Northern Trust Quality Dividend Defensive Index (the “Underlying Index”). The Underlying Index is designed to reflect the performance of a selection of companies that, in aggregate, possess greater financial strength and stability characteristics relative to the Northern Trust 1250 Index (the “Parent Index”)1. In addition, the Underlying Index is designed to select companies from the Parent Index that in aggregate have the potential to generate income in excess of the income generated by securities in the Parent Index with a beta2 that is lower in relation to the Parent Index. As of October 31, 2020, there were 136 issues in the Underlying Index. Northern Trust Investments, Inc. (“NTI”) uses a “passive” or indexing approach to try to achieve the Fund’s investment objective. NTI uses a representative sampling strategy to manage the Fund. This means the Fund may or may not hold all of the securities that are included in the Underlying Index.
During the 12 months ended October 31, 2020, prices on U.S. investments were volatile and many declined sharply in Q1 of 2020 as the COVID-19 (“COVID”) pandemic spread and investors feared a global recession. By the end of the fiscal year, however, prices on U.S. investments generally were trading higher. Up through Q4 of 2019, U.S. investments moved higher as trade tensions between the U.S. and China de-escalated with the announcement of the initial phase of a trade deal, halting new tariffs planned by the United States. Domestic U.S. investments were increasingly volatile overall in Q1 as the
1 | Northern Trust 1250 Index is a float-adjusted market-capitalization weighted index of U.S. domiciled large- and mid-capitalization companies. |
2 | A statistical measure of the volatility, or sensitivity, of rates of return on a portfolio or security compared to a market index. The beta for an ETF measures the expected change in return of the ETF relative to the return of a designated index. By definition, the beta of the Standard & Poor’s (S&P) 500 Index is 1.00. Accordingly, a fund with a 1.10 beta is expected to perform 10% better than the S&P 500 Index in rising markets and 10% worse in falling markets. |
FLEXSHARES ANNUAL REPORT | 35 |
Table of Contents
FlexShares® | MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE |
Quality Dividend Defensive Index Fund (cont.)
PORTFOLIO ANALYSIS (cont.)
COVID pandemic spread around the globe. The U.S. Federal Reserve Bank cut interest rates to near zero while enacting new quantitative easing measures, and Congress announced fiscal stimulus to dampen the effects of the shutdown on the U.S. economy and financial markets. U.S. domestic investments rebounded in Q2 as lockdown measures eased in the U.S. with a handful of large cap technology and consumer discretionary companies leading U.S. investments higher overall. The rally in U.S. domestic investments continued into Q3 of 2020 despite a decline late in the quarter due to rising COVID cases in Europe and political uncertainty tied to the November elections in the U.S. The decline in U.S. domestic investments continued into October 2020 as domestic COVID cases increased.
The Underlying Index’s exposure to equities that traditionally have derived some of their market value from their overall higher yield levels versus the broader market was once again perceived by investors as a negative influence, as the top dividend yielding stocks underperformed non-dividend paying stocks during the 12 months ended October 31, 2020, as higher-yielding investments substantially trailed growth investments. The quality focus factor3 of the Fund’s Underlying Index was a positive driver of performance for the 12-month period as investors showed a preference for higher quality companies within the dividend-paying universe. The Underlying Index’s lower beta exposure was a negative driver of performance, as higher beta companies generally fared better than lower beta companies. Overall, the positive performance derived from the quality exposure was not enough to offset the negative performance derived from investor preference for non-dividend paying stocks and the Underlying Index’s lower beta exposure. Consequently, the Underlying Index underperformed the Russell 1000 Index by -15.12%. Tracking difference between the Fund’s NAV and the Underlying Index’s total return
for the 12-month period was -20 basis points (“bps”)4, which is reflective of the management fee (-37 bps), stock selection/futures (+17 bps), securities lending (+1 bps) and performance calculation differences between the Underlying Index and the Fund (-1 bps).
3 | The quality factor is based on a belief that there are a set of clearly defined fundamental criteria that seek to identify companies with outstanding financial characteristics. |
4 | A unit that is equal to 1/100th of 1% and is used to denote the change in a financial instrument. |
36 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® | MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE |
Quality Dividend Dynamic Index Fund Ticker: QDYN
CUMULATIVE PERFORMANCE
Through October 31, 2020
AVERAGE ANNUAL TOTAL RETURN
For the period ended October 31, 2020
1 Year | 3 Year | 5 Year | Fund Inception 12/14/2012 | |||||||||||||
|
| |||||||||||||||
FlexShares Quality Dividend Dynamic Index Fund (Based on Net Asset Value) | 0.86 | % | 5.02 | % | 8.01 | % | 10.68 | % | ||||||||
FlexShares Quality Dividend Dynamic Index Fund (Based on Market Price) | 0.91 | % | 5.07 | % | 8.05 | % | 10.69 | % | ||||||||
Russell 1000® Index | 10.87 | % | 10.63 | % | 11.78 | % | 13.56 | % | ||||||||
Northern Trust Quality Dividend Dynamic IndexSM | 1.08 | % | 5.28 | % | 8.31 | % | 11.03 | % |
All data as of 10/31/20. Total returns based on market price do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, these returns would be lower. Total returns based on market price and net asset value (“NAV”) assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively. NAV is calculated by dividing the total value of all the securities in the fund’s portfolio plus cash, interest and receivables less any liabilities by the number of fund shares outstanding. Market price is determined by the midpoint of the bid/ask spread at 4:00 p.m. Eastern Time from the primary listing exchange. Market price returns may vary from NAV returns.
Performance quoted represents past performance and does not guarantee future results. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Unlike the Index, the Fund’s total returns are reduced by operating expenses, such as transaction costs and management fees. An investor cannot invest directly in an index.
Performance reflects contractual reimbursements in effect until March 1, 2021. In the absence of such reimbursements, performance would be reduced. The gross expense ratio of the Fund is 0.38% and the net expense ratio is 0.37%. The gross and net expense ratios disclosed are as reported in the Fund’s prospectus, which may differ from the gross and net expense ratios presented in the Fund’s financial reports. Current performance may be higher or lower than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed or sold in the market.
FlexShares ETFs’ performance data current to the most recent month-end is available at www.flexshares.com.
PORTFOLIO ANALYSIS
The Fund seeks to provide investment results that correspond generally to the price and yield performance, before fees and expenses, of the Northern Trust Quality Dividend Dynamic Index (the “Underlying Index”). The Underlying Index is designed to reflect the performance of a selection of companies that, in aggregate, possess greater financial strength and stability characteristics relative to the Northern Trust 1250 Index (the “Parent Index”)1. In addition, the Underlying Index is designed to select companies from the Parent Index that have enhanced risk return characteristics and that in the aggregate have the potential to generate income in excess of the income generated by securities in the Parent Index with a beta2 that is higher in relation to the Parent Index. As of October 31, 2020, there were 155 issues in the Underlying Index. Northern Trust Investments, Inc. (“NTI”) uses a “passive” or indexing approach to try to achieve the Fund’s investment objective. NTI uses a representative sampling strategy to manage the Fund. This means the Fund may or may not hold all of the securities that are included in the Underlying Index.
During the 12 months ended October 31, 2020, prices on U.S. investments were volatile and many declined sharply in Q1 of 2020 as the COVID-19 (“COVID”) pandemic spread and investors feared a global recession. By the end of the fiscal year, however, prices on U.S. investments generally were trading higher. Up through Q4 of 2019, U.S. investments moved higher as trade tensions between the U.S. and China de-escalated with the announcement of the initial phase of a trade deal, halting new tariffs planned by the United States. Domestic U.S. investments were increasingly volatile overall in Q1 as the
1 | Northern Trust 1250 Index is a float-adjusted market-capitalization weighted index of U.S. domiciled large- and mid-capitalization companies. |
2 | A statistical measure of the volatility, or sensitivity, of rates of return on a portfolio or security compared to a market index. The beta for an ETF measures the expected change in return of the ETF relative to the return of a designated index. By definition, the beta of the Standard & Poor’s (S&P) 500 Index is 1.00. Accordingly, a fund with a 1.10 beta is expected to perform 10% better than the S&P 500 Index in rising markets and 10% worse in falling markets. |
FLEXSHARES ANNUAL REPORT | 37 |
Table of Contents
FlexShares® | MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE |
Quality Dividend Dynamic Index Fund (cont.)
PORTFOLIO ANALYSIS (cont.)
COVID pandemic spread around the globe. The U.S. Federal Reserve Bank cut interest rates to near zero while enacting new quantitative easing measures, and Congress announced fiscal stimulus to dampen the effects of the shutdown on the U.S. economy and financial markets. U.S. domestic investments rebounded in Q2 as lockdown measures eased in the U.S. with a handful of large cap technology and consumer discretionary companies leading U.S. investments higher overall. The rally in U.S. domestic investments continued into Q3 of 2020 despite a decline late in the quarter due to rising COVID cases in Europe and political uncertainty tied to the November elections in the U.S. The decline in U.S. domestic investments continued into October 2020 as domestic COVID cases increased.
The Underlying Index’s exposure to equities that traditionally have derived some of their market value from their overall higher yield levels versus the broader market was once again perceived by investors as a negative influence, as the top dividend yielding stocks underperformed non-dividend paying stocks during the 12 months ended October 31, 2020, as higher-yielding investments substantially trailed growth investments. The quality focus factor3 of the Fund’s Underlying Index was a positive driver of performance for the 12-month period as investors showed a preference for higher quality companies within the dividend-paying universe. The Underlying Index’s higher beta exposure was a positive driver of performance, as higher beta companies generally fared better than lower beta companies. Overall, the positive performance derived from the quality exposure and the Underlying Index’s higher beta exposure was not enough to offset the negative performance, however, derived from investor preference for non-dividend paying stocks. Consequently, the Underlying Index underperformed the Russell 1000 Index by -9.79%. Tracking difference between the Fund’s NAV and the Underlying Index’s total return for the 12-month period was -22 basis
points (“bps”)4, which is reflective of the management fee (-37 bps), stock selection/futures (+14 bps), and securities lending (+1 bps).
3 | The quality factor is based on a belief that there are a set of clearly defined fundamental criteria that seek to identify companies with outstanding financial characteristics. |
4 | A unit that is equal to 1/100th of 1% and is used to denote the change in a financial instrument. |
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Table of Contents
FlexShares® | MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE |
International Quality Dividend Index Fund Ticker: IQDF
CUMULATIVE PERFORMANCE
Through October 31, 2020
AVERAGE ANNUAL TOTAL RETURN
For the period ended October 31, 2020
1 Year | 3 Year | 5 Year | Fund Inception 4/12/2013 | |||||||||||||
|
| |||||||||||||||
FlexShares International Quality Dividend Index Fund (Based on Net Asset Value) | -8.94 | % | -4.04 | % | 1.67 | % | 1.17 | % | ||||||||
FlexShares International Quality Dividend Index Fund (Based on Market Price) | -8.93 | % | -4.13 | % | 1.84 | % | 1.18 | % | ||||||||
MSCI ACWI ex USA Index | -2.61 | % | -0.19 | % | 4.26 | % | 3.36 | % | ||||||||
Northern Trust International Quality Dividend IndexSM | -8.64 | % | -3.95 | % | 1.91 | % | 1.51 | % |
All data as of 10/31/20. Total returns based on market price do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, these returns would be lower. Total returns based on market price and net asset value (“NAV”) assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively. NAV is calculated by dividing the total value of all the securities in the fund’s portfolio plus cash, interest and receivables less any liabilities by the number of fund shares outstanding. Market price is determined by the midpoint of the bid/ask spread at 4:00 p.m. Eastern Time from the primary listing exchange. Market price returns may vary from NAV returns.
Performance quoted represents past performance and does not guarantee future results. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Unlike the Index, the Fund’s total returns are reduced by operating expenses, such as transaction costs and management fees. An investor cannot invest directly in an index.
Performance reflects contractual reimbursements in effect until March 1, 2021. In the absence of such reimbursements, performance would be reduced. The gross expense ratio of the Fund is 0.48% and the net expense ratio is 0.47%. The gross and net expense ratios disclosed are as reported in the Fund’s prospectus, which may differ from the gross and net expense ratios presented in the Fund’s financial reports. Current performance may be higher or lower than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed or sold in the market.
FlexShares ETFs’ performance data current to the most recent month-end is available at www.flexshares.com.
PORTFOLIO ANALYSIS
The Fund seeks to provide investment results that correspond generally to the price and yield performance, before fees and expenses, of the Northern Trust International Quality Dividend Index (the “Underlying Index”). The Underlying Index is designed to reflect the performance of a selection of companies that, in aggregate, possess greater financial strength and stability characteristics relative to the Northern Trust International Large Cap Index (the “Parent Index”)1. In addition, the Underlying Index is designed to select companies form the Parent Index that have enhanced risk return characteristics and that in the aggregate have the potential to generate income in excess of the income generated by securities in the Parent Index with a beta2 that is similar to the Parent Index.
As of October 31, 2020, there were 215 issues in the Underlying Index. Northern Trust Investments, Inc. (“NTI”) uses a “passive” or indexing approach to try to achieve the Fund’s investment objective. NTI uses a representative sampling strategy to manage the Fund. This means the Fund may or may not hold all of the securities that are included in the Underlying Index.
During the 12 months ended October 31, 2020, prices on international investments generally traded lower. Over the course of the 12-month period, the U.S. dollar (USD) was volatile, but ultimately weakened and positively impacted U.S. investors as returns in local currencies generally were enhanced by the falling of the USD. Through Q4 of 2019, international investments moved higher as improving economic conditions in Europe and easing geopolitical tensions stemming
1 | The Northern Trust International Large Cap Index is a float-adjusted market capitalization weighted index of non-U.S. domiciled large- and mid-capitalization companies. |
2 | A statistical measure of the volatility, or sensitivity, of rates of return on a portfolio or security compared to a market index. The beta for an ETF measures the expected change in return of the ETF relative to the return of a designated index. By definition, the beta of the Standard & Poor’s (S&P) 500 Index is 1.00. Accordingly, a fund with a 1.10 beta is expected to perform 10% better than the S&P 500 Index in rising markets and 10% worse in falling markets. |
FLEXSHARES ANNUAL REPORT | 39 |
Table of Contents
FlexShares® | MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE |
International Quality Dividend Index Fund (cont.)
PORTFOLIO ANALYSIS (cont.)
from the announced U.S.-China trade agreement allayed investors’ concerns. International investments became volatile and declined sharply in Q1 of 2020 as the COVID-19 (“COVID”) pandemic spread and investors feared a global recession. International and emerging market investments rebounded in Q2 as lockdown measures were eased and fiscal and monetary stimulus across the developed and emerging markets continued to support overall investments. International equities continued to advance in Q3 as the strength of Asia Pacific equity markets and a weakening USD offset concerns in Europe regarding stalled Brexit negotiations. International markets fell in October 2020 as several countries reintroduced lockdown measures to control resurgent COVID infection rates.
Emerging market investments continued to move higher in Q3 on USD weakness and better than expected gross domestic product growth in China. Emerging market investments rose in October 2020, outperforming developed international markets, led by strength in investments tied to Chinese companies.
The Underlying Index’s exposure to equities that traditionally have derived some of their market value from their overall higher yield levels versus the broader market was once again perceived by investors as a negative influence, as the top dividend yielding stocks underperformed non-dividend paying stocks during the 12 months ended October 31, 2020, as higher-yielding investments substantially trailed growth investments. The quality focus factor3 of the Fund’s Underlying Index was a positive driver of performance, however, for the 12-month period as investors showed a preference for higher quality companies within the dividend-paying universe. Overall, the positive performance derived from the quality exposure was not enough to offset the negative performance derived from investor preference for non-dividend paying stocks. Consequently, the Underlying Index underperformed the MSCI ACWI ex USA Index by -6.03%. Tracking difference between the Fund’s NAV and the Underlying Index’s total return for the 12-month
period was -30 basis points (“bps”)4, which is reflective of the Fund’s management fee (-47 bps), stock selection/futures (+12 bps) and securities lending (+5 bps).
3 | The quality factor is based on a belief that there are a set of clearly defined fundamental criteria that seek to identify companies with outstanding financial characteristics. |
4 | A unit that is equal to 1/100th of 1% and is used to denote the change in a financial instrument. |
40 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® International | MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE |
Quality Dividend Defensive Index Fund Ticker: IQDE
CUMULATIVE PERFORMANCE
Through October 31, 2020
AVERAGE ANNUAL TOTAL RETURN
For the period ended October 31, 2020
1 Year | 3 Year | 5 Year | Fund Inception 4/12/2013 | |||||||||||||
|
| |||||||||||||||
FlexShares International Quality Dividend Defensive Index Fund (Based on Net Asset Value) | -8.92 | % | -4.09 | % | 1.16 | % | 0.58 | % | ||||||||
FlexShares International Quality Dividend Defensive Index Fund (Based on Market Price) | -8.88 | % | -4.26 | % | 1.32 | % | 0.58 | % | ||||||||
Northern Trust International Quality Dividend Defensive IndexSM | -8.60 | % | -3.91 | % | 1.45 | % | 1.09 | % | ||||||||
MSCI ACWI ex USA Index | -2.61 | % | -0.19 | % | 4.26 | % | 3.36 | % |
All data as of 10/31/20. Total returns based on market price do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, these returns would be lower. Total returns based on market price and net asset value (“NAV”) assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively. NAV is calculated by dividing the total value of all the securities in the fund’s portfolio plus cash, interest and receivables less any liabilities by the number of fund shares outstanding. Market price is determined by the midpoint of the bid/ask spread at 4:00 p.m. Eastern Time from the primary listing exchange. Market price returns may vary from NAV returns.
Performance quoted represents past performance and does not guarantee future results. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Unlike the Index, the Fund’s total returns are reduced by operating expenses, such as transaction costs and management fees. An investor cannot invest directly in an index.
Performance reflects contractual reimbursements in effect until March 1, 2021. In the absence of such reimbursements, performance would be reduced. The gross expense ratio of the Fund is 0.48% and the net expense ratio is 0.47%. The gross and net expense ratios disclosed are as reported in the Fund’s prospectus, which may differ from the gross and net expense ratios presented in the Fund’s financial reports. Current performance may be higher or lower than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed or sold in the market.
FlexShares ETFs’ performance data current to the most recent month-end is available at www.flexshares.com.
PORTFOLIO ANALYSIS
The Fund seeks to provide investment results that correspond generally to the price and yield performance, before fees and expenses, of the Northern Trust International Quality Dividend Defensive Index (the “Underlying Index”). The Underlying Index is designed to reflect the performance of a selection of companies that, in aggregate, possess greater financial strength and stability characteristics relative to the Northern Trust International Large Cap Index (the “Parent Index”)1. In addition, the Underlying Index is designed to select companies from the Parent Index that have enhanced risk return characteristics and that in the aggregate have the potential to generate income in excess of the income generated by securities in the Parent Index with a beta2 that is lower in relation to the Parent Index. As of October 31, 2020, there were 196 issues in the Underlying Index. Northern Trust Investments, Inc. (“NTI”) uses a “passive” or indexing approach to try to achieve the Fund’s investment objective. NTI uses a representative sampling strategy to manage the Fund. This means the Fund may or may not hold all of the securities that are included in the Underlying Index.
During the 12 months ended October 31, 2020, prices on international investments generally traded lower. Over the course of the 12-month period, the U.S. dollar (USD) was volatile, but ultimately weakened and positively impacted U.S. investors as returns in local currencies generally were enhanced by the falling of the USD. Through Q4 of 2019, international investments moved higher as improving economic conditions in Europe and easing geopolitical tensions stemming from the announced U.S.-China trade agreement allayed investors’ concerns.
1 | The Northern Trust International Large Cap Index is a float-adjusted market capitalization weighted index of non-U.S. domiciled large- and mid-capitalization companies. |
2 | A statistical measure of the volatility, or sensitivity, of rates of return on a portfolio or security compared to a market index. The beta for an ETF measures the expected change in return of the ETF relative to the return of a designated index. By definition, the beta of the Standard & Poor’s (S&P) 500 Index is 1.00. Accordingly, a fund with a 1.10 beta is expected to perform 10% better than the S&P 500 Index in rising markets and 10% worse in falling markets. |
FLEXSHARES ANNUAL REPORT | 41 |
Table of Contents
FlexShares® International | MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE |
Quality Dividend Defensive Index Fund (cont.)
PORTFOLIO ANALYSIS (cont.)
International investments became volatile and declined sharply in Q1 of 2020 as the COVID-19 (“COVID”) pandemic spread and investors feared a global recession. International and emerging market investments rebounded in Q2 as lockdown measures were eased and fiscal and monetary stimulus across the developed and emerging markets continued to support overall investments. International equities continued to advance in Q3 as the strength of Asia Pacific equity markets and a weakening USD offset concerns in Europe regarding stalled Brexit negotiations. International markets fell in October 2020 as several countries reintroduced lockdown measures to control resurgent COVID infection rates.
Emerging market investments continued to move higher in Q3 on USD weakness and better than expected gross domestic product growth in China. Emerging market investments rose in October 2020, outperforming developed international markets, led by strength in investments tied to Chinese companies.
The Underlying Index’s exposure to equities that traditionally have derived some of their market value from their overall higher yield levels versus the broader market was once again perceived by investors as a negative influence, as the top dividend yielding stocks underperformed non-dividend paying stocks during the 12 months ended October 31, 2020, as higher-yielding investments substantially trailed growth investments. The quality focus factor3 of the Fund’s Underlying Index was a positive driver of performance, however, for the 12-month period as investors showed a preference for higher quality companies within the dividend-paying universe. The Underlying Index’s lower beta exposure was not a meaningful contributor to performance. Overall, the positive performance derived from the quality exposure was not enough to offset the negative performance derived from investor preference for non-dividend paying stocks. Consequently, the Underlying Index underperformed the MSCI ACWI ex USA Index by -5.99%. Tracking difference between the Fund’s NAV and the Underlying Index’s total return for the 12-month period was
-32 basis points (“bps”)4, which is reflective of the Fund’s management fee (-47 bps), stock selection/futures (+10 bps), securities lending (+6 bps) and dividend tax differential (-1 bps).
3 | The quality factor is based on a belief that there are a set of clearly defined fundamental criteria that seek to identify companies with outstanding financial characteristics. |
4 | A unit that is equal to 1/100th of 1% and is used to denote the change in a financial instrument. |
42 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® International | MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE |
Quality Dividend Dynamic Index Fund Ticker: IQDY
CUMULATIVE PERFORMANCE
Through October 31, 2020
AVERAGE ANNUAL TOTAL RETURN
For the period ended October 31, 2020
1 Year | 3 Year | 5 Year | Fund Inception 4/12/2013 | |||||||||||||
|
| |||||||||||||||
FlexShares International Quality Dividend Dynamic Index Fund (Based on Net Asset Value) | -6.99 | % | -2.82 | % | 2.99 | % | 2.55 | % | ||||||||
FlexShares International Quality Dividend Dynamic Index Fund (Based on Market Price) | -7.03 | % | -2.85 | % | 3.22 | % | 2.59 | % | ||||||||
Northern Trust International Quality Dividend Dynamic IndexSM | -6.56 | % | -2.58 | % | 3.33 | % | 2.99 | % | ||||||||
MSCI ACWI ex USA Index | -2.61 | % | -0.19 | % | 4.26 | % | 3.36 | % |
All data as of 10/31/20. Total returns based on market price do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, these returns would be lower. Total returns based on market price and net asset value (“NAV”) assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively. NAV is calculated by dividing the total value of all the securities in the fund’s portfolio plus cash, interest and receivables less any liabilities by the number of fund shares outstanding. Market price is determined by the midpoint of the bid/ask spread at 4:00 p.m. Eastern Time from the primary listing exchange. Market price returns may vary from NAV returns.
Performance quoted represents past performance and does not guarantee future results. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Unlike the Index, the Fund’s total returns are reduced by operating expenses, such as transaction costs and management fees. An investor cannot invest directly in an index.
Performance reflects contractual reimbursements in effect until March 1, 2021. In the absence of such reimbursements, performance would be reduced. The gross expense ratio of the Fund is 0.48% and the net expense ratio is 0.47%. The gross and net expense ratios disclosed are as reported in the Fund’s prospectus, which may differ from the gross and net expense ratios presented in the Fund’s financial reports. Current performance may be higher or lower than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed or sold in the market.
FlexShares ETFs’ performance data current to the most recent month-end is available at www.flexshares.com.
PORTFOLIO ANALYSIS
The Fund seeks to provide investment results that correspond generally to the price and yield performance, before fees and expenses, of the Northern Trust International Quality Dividend Dynamic Index (the “Underlying Index”). The Underlying Index is designed to reflect the performance of a selection of companies that, in aggregate, possess greater financial strength and stability characteristics relative to the Northern Trust International Large Cap Index (the “Parent Index”)1. In addition, the Underlying Index is designed to select companies from the Parent Index that have enhanced risk return characteristics and that in the aggregate have the potential to generate income in excess of the income generated by securities in the Parent Index with a beta2 that is higher in relation to the Parent Index. As of October 31, 2020, there were 182 issues in the Underlying Index. Northern Trust Investments, Inc. (“NTI”) uses a “passive” or indexing approach to try to achieve the Fund’s investment objective. NTI uses a representative sampling strategy to manage the Fund. This means the Fund may or may not hold all of the securities that are included in the Underlying Index.
During the 12 months ended October 31, 2020, prices on international investments generally traded lower. Over the course of the 12-month period, the U.S. dollar (USD) was volatile, but ultimately weakened and positively impacted U.S. investors as returns in local currencies generally were enhanced by the falling of the USD. Through Q4 of 2019, international investments moved higher as improving economic conditions in Europe and easing geopolitical tensions stemming from the announced U.S.-China trade
1 | The Northern Trust International Large Cap Index is a float-adjusted market capitalization weighted index of non-U.S. domiciled large- and mid-capitalization companies. |
2 | A statistical measure of the volatility, or sensitivity, of rates of return on a portfolio or security compared to a market index. The beta for an ETF measures the expected change in return of the ETF relative to the return of a designated index. By definition, the beta of the Standard & Poor’s (S&P) 500 Index is 1.00. Accordingly, a fund with a 1.10 beta is expected to perform 10% better than the S&P 500 Index in rising markets and 10% worse in falling markets. |
FLEXSHARES ANNUAL REPORT | 43 |
Table of Contents
FlexShares® International | MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE |
Quality Dividend Dynamic Index Fund (cont.)
PORTFOLIO ANALYSIS (cont.)
agreement allayed investors’ concerns. International investments became volatile and declined sharply in Q1 of 2020 as the COVID-19 (“COVID”) pandemic spread and investors feared a global recession. International and emerging market investments rebounded in Q2 as lockdown measures were eased and fiscal and monetary stimulus across the developed and emerging markets continued to support overall investments. International equities continued to advance in Q3 as the strength of Asia Pacific equity markets and a weakening USD offset concerns in Europe regarding stalled Brexit negotiations. International markets fell in October 2020 as several countries reintroduced lockdown measures to control resurgent COVID infection rates.
Emerging market investments continued to move higher in Q3 on USD weakness and better than expected gross domestic product growth in China. Emerging market investments rose in October 2020, outperforming developed international markets, led by strength in investments tied to Chinese companies.
The Underlying Index’s exposure to equities that traditionally have derived some of their market value from their overall higher yield levels versus the broader market was once again perceived by investors as a negative influence, as the top dividend yielding stocks underperformed non-dividend paying stocks during the 12 months ended October 31, 2020, as higher-yielding investments substantially trailed growth investments. The quality focus factor3 of the Fund’s Underlying Index was a positive driver of performance, however, for the 12-month period as investors showed a preference for higher quality companies within the dividend-paying universe. The Underlying Index’s higher beta exposure was a positive driver of performance, as higher beta companies generally fared better than lower beta companies in the subsequent international equities markets recovery from their March lows. Overall, the positive performance derived from the quality exposure and the Underlying Index’s higher beta exposure was not enough to offset the negative performance derived from investor preference for non-dividend paying stocks. Consequently, the Underlying Index underperformed the MSCI ACWI ex USA Index by -3.95%. Tracking difference between the
Fund’s NAV and the Underlying Index’s total return for the 12-month period was -43 basis points (“bps”)4, which is reflective of the Fund’s management fee (-47 bps), stock selection/futures (-1 bps), securities lending (+6 bps) and dividend tax differential (-1 bps).
3 | The quality factor is based on a belief that there are a set of clearly defined fundamental criteria that seek to identify companies with outstanding financial characteristics. |
4 | A unit that is equal to 1/100th of 1% and is used to denote the change in a financial instrument. |
44 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® iBoxx | MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE |
3-Year Target Duration TIPS Index Fund Ticker: TDTT
CUMULATIVE PERFORMANCE
Through October 31, 2020
AVERAGE ANNUAL TOTAL RETURN
For the period ended October 31, 2020
1 Year | 3 Year | 5 Year | Fund Inception 9/19/2011 | |||||||||||||
|
| |||||||||||||||
FlexShares iBoxx 3-Year Target Duration TIPS Index Fund (Based on Net Asset Value) | 5.81 | % | 3.53 | % | 2.70 | % | 1.45 | % | ||||||||
FlexShares iBoxx 3-Year Target Duration TIPS Index Fund (Based on Market Price) | 5.85 | % | 3.53 | % | 2.71 | % | 1.45 | % | ||||||||
iBoxx 3-Year Target Duration TIPS Index | 6.20 | % | 3.72 | % | 2.88 | % | 1.61 | % |
All data as of 10/31/20. Total returns based on market price do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, these returns would be lower. Total returns based on market price and net asset value (“NAV”) assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively. NAV is calculated by dividing the total value of all the securities in the fund’s portfolio plus cash, interest and receivables less any liabilities by the number of fund shares outstanding. Market price is determined by the midpoint of the bid/ask spread at 4:00 p.m. Eastern Time from the primary listing exchange. Market price returns may vary from NAV returns.
Performance quoted represents past performance and does not guarantee future results. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Unlike the Index, the Fund’s total returns are reduced by operating expenses, such as transaction costs and management fees. An investor cannot invest directly in an index.
Performance reflects contractual reimbursements in effect until March 1, 2021. In the absence of such reimbursements, performance would be reduced. The gross expense ratio of the Fund is 0.19% and the net expense ratio is 0.18%. The gross and net expense ratios disclosed are as reported in the Fund’s prospectus, which may differ from the gross and net expense ratios presented in the Fund’s financial reports. Current performance may be higher or lower than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed or sold in the market.
FlexShares ETFs’ performance data current to the most recent month-end is available at www.flexshares.com.
PORTFOLIO ANALYSIS
The Fund seeks to provide investment results that, before fees and expenses, correspond generally to the price and yield performance of the iBoxx 3-Year Target Duration TIPS Index (the “Underlying Index”). The Underlying Index reflects the performance of a selection of inflation protected public obligations of the U.S. Treasury, commonly known as “TIPS,” with a targeted average modified adjusted duration,1 as defined by IHS Markit as the index provider, of approximately three years. The Underlying Index includes publicly issued TIPS that have maturity dates of at least one year but not more than ten years from an index rebalancing date. As of October 31, 2020, there were 21 issues in the Underlying Index. Northern Trust Investments, Inc. (“NTI”) uses a “passive” or indexing approach to achieve the Fund’s investment objective. NTI uses replication to manage the Fund but may use representative sampling in certain circumstances. This means the Fund may not hold all of the issues that are included in the Underlying Index.
In addition to reducing the overnight rate, the Fed implemented a number of actions throughout March 2020 to support the economy and markets during the COVID-induced economic slowdown. The U.S. Treasury yield curve2 steepened, with long-term rates rising during the first two months of the fiscal year, only to quickly reverse into calendar year 2020 as the spread of COVID from Asia to Europe and North America began to weigh on economic activity and raised levels of uncertainty for global investors. Treasury yields declined significantly beginning in February into March, as global economic activity halted and investors struggled to estimate the near-and long-term impacts of COVID. By month-end October 2020, the 1-month Treasury Bill was -146 bps lower for the fiscal year while longer-term
1 | The duration calculated from the real modified duration of a TIPS security, adjusted for the market’s estimated beta for a TIPS security versus a nominal Treasury security due to the actual and expected changes in inflation. |
2 | A yield curve is constructed by plotting a session’s final yields for various maturities including 1-month, 3-month, 6-month, 1-year, 2-year, 3-year, 5-year, 7-year, 10-year, 20-year and 30-year maturities. |
FLEXSHARES ANNUAL REPORT | 45 |
Table of Contents
FlexShares® iBoxx | MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE |
3-Year Target Duration TIPS Index Fund (cont.)
PORTFOLIO ANALYSIS (cont.)
Treasury yields were also lower: 1-Year Treasury (-138 bps), 2-Year Treasury (-137 bps), 5-Year Treasury (-113 bps), 10-Year Treasury (-82 bps) and 30-Year Treasury (-52 bps).3
For the fiscal year ended October 31, 2020, the Consumer Price Index4 ended the year lower at 1.2%, down from 1.8% in the fiscal year ended October 31, 2019. Inflation in the prices for food, shelter and medical services offset negative impacts from prices for energy, apparel and transportation services, which faced significant headwinds from COVID demand reduction. Energy commodities faced additional pressure from increasing supply, as the oil industry dealt with a market share war that drove prices lower.
During the fiscal year, real yields5 fell on lower nominal treasury yields. Short-term real yields fell more than long-term yields in conjunction with the FOMC decision to cut the Federal funds rate. 1-year real yields fell 132 bps, while the 5-, 10-, and 30-year real yields were lower by 128bps, 97bps, 77bps, respectively.6
Declining real interest rates paired with modestly higher inflation expectations during the fiscal year led to positive total return performance for both the Fund and the Underlying Index. For the 12-month period, the Underlying Index underperformed the Bloomberg Barclays U.S. TIPS 1-10 Year Index by 0.96% due to lower duration positioning of the Underlying Index against the backdrop of falling real interest rates. Tracking difference between the Fund’s NAV and the Underlying Index for the 12-month period was -39bps, reflective of the Fund’s management fee (-18bps), duration and curve positioning (+1bps), security and sector selection (-11bps), intra-day trading and pricing differences (-9bps), and other factors (-2bps).
3 | Source: Bloomberg, In this analysis we are making a comparison between the difference in the interest rates of the 1-month, 1-year, 2-year, 5-year, 10-year and 30-year maturities nominal Treasury rates using data available as of January 1, 2020 and October 31, 2020. |
4 | The Consumer Price Index (CPI) is the raw inflation figure as released monthly by the Bureau of Labor Statistics. The CPI calculates the cost to purchase a fixed basket of goods, as a way of determining how much inflation is occurring in the broad economy. |
5 | A real yield is the yield to the investor that has been adjusted to remove the effects of inflation. |
6 | Bloomberg, In this analysis we are making a comparison between the difference in the real yield rates of the 1-year, 5-year, 10-year and 30-year maturities using data available as of January 1, 2020 and October 31, 2020. |
46 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® iBoxx | MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE |
5-Year Target Duration TIPS Index Fund Ticker: TDTF
CUMULATIVE PERFORMANCE
Through October 31, 2020
AVERAGE ANNUAL TOTAL RETURN
For the period ended October 31, 2020
1 Year | 3 Year | 5 Year | Fund Inception 9/19/2011 | |||||||||||||
|
| |||||||||||||||
FlexShares iBoxx 5-Year Target Duration TIPS Index Fund (Based on Net Asset Value) | 8.39 | % | 5.03 | % | 3.98 | % | 2.32 | % | ||||||||
FlexShares iBoxx 5-Year Target Duration TIPS Index Fund (Based on Market Price) | 8.47 | % | 5.03 | % | 3.94 | % | 2.32 | % | ||||||||
iBoxx 5-Year Target Duration TIPS Index | 8.80 | % | 5.26 | % | 4.13 | % | 2.48 | % |
All data as of 10/31/20. Total returns based on market price do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, these returns would be lower. Total returns based on market price and net asset value (“NAV”) assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively. NAV is calculated by dividing the total value of all the securities in the fund’s portfolio plus cash, interest and receivables less any liabilities by the number of fund shares outstanding. Market price is determined by the midpoint of the bid/ask spread at 4:00 p.m. Eastern Time from the primary listing exchange. Market price returns may vary from NAV returns.
Performance quoted represents past performance and does not guarantee future results. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Unlike the Index, the Fund’s total returns are reduced by operating expenses, such as transaction costs and management fees. An investor cannot invest directly in an index.
Performance reflects contractual reimbursements in effect until March 1, 2021. In the absence of such reimbursements, performance would be reduced. The gross expense ratio of the Fund is 0.19% and the net expense ratio is 0.18%. The gross and net expense ratios disclosed are as reported in the Fund’s prospectus, which may differ from the gross and net expense ratios presented in the Fund’s financial reports. Current performance may be higher or lower than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed or sold in the market.
FlexShares ETFs’ performance data current to the most recent month-end is available at www.flexshares.com.
PORTFOLIO ANALYSIS
The Fund seeks to provide investment results that, before fees and expenses, correspond generally to the price and yield performance of the iBoxx 5-Year Target Duration TIPS Index (the “Underlying Index”). The Underlying Index reflects the performance of a selection of inflation protected public obligations of the U.S. Treasury, commonly known as “TIPS,” with a targeted average modified adjusted duration,1 as defined by IHS Markit, as the index provider, of approximately five years. The Underlying Index includes publicly issued TIPS that have maturity dates of at least three years but not more than twenty years from an index rebalancing date.As of October 31, 2020, there were 26 issues in the Underlying Index. Northern Trust Investments, Inc. (“NTI”) uses a “passive” or indexing approach to try to achieve the Fund’s investment objective. NTI uses replication to manage the Fund but may use representative sampling in certain circumstances. This means the Fund may not hold all of the issues that are included in the Underlying Index.
U.S. Treasury yields were generally lower during the fiscal year ended October 31, 2020 driven by the negative impact of COVID-19 (“COVID”) on the U.S. economy and subsequent monetary policy response from the U.S. Federal Reserve Bank (“Fed”). In early March 2020, at its regularly scheduled Federal Open Market Committee (“FOMC”) meeting, the Fed lowered the overnight rate by 50 basis points (bps)2 to 1.00%-1.25% and then by 100 bps to 0.00%-0.25% during an emergency meeting in mid-March.
In addition to reducing the overnight rate, the Fed implemented a number of actions throughout March 2020 to support the economy and markets during the COVID-induced economic slowdown. The U.S.
1 | The duration calculated from the real modified duration of a TIPS security, adjusted for the market’s estimated beta for a TIPS security versus a nominal Treasury security due to the actual and expected changes in inflation. |
2 | A yield curve is constructed by plotting a session’s final yields for various maturities including 1-month, 3-month, 6-month, 1-year, 2-year, 3-year, 5-year, 7-year, 10-year, 20-year and 30-year maturities. |
FLEXSHARES ANNUAL REPORT | 47 |
Table of Contents
FlexShares® iBoxx | MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE |
5-Year Target Duration TIPS Index Fund (cont.)
PORTFOLIO ANALYSIS (cont.)
Treasury yield curve2 steepened, with long-term rates rising during the first two months of the fiscal year, only to quickly reverse into calendar year 2020 as the spread of COVID from Asia to Europe and North America began to weigh on economic activity and raised levels of uncertainty for global investors. Treasury yields declined significantly beginning in February into March, as global economic activity halted and investors struggled to estimate the near-and long-term impacts of COVID. By month-end October 2020, the 1-month Treasury Bill was -146 bps lower for the fiscal year while longer-term Treasury yields were also lower: 1-Year Treasury (-138 bps), 2-Year Treasury (-137 bps), 5-Year Treasury (-113 bps), 10-Year Treasury (-82 bps) and 30-Year Treasury (-52 bps).3
For the fiscal year ended October 31, 2020, the Consumer Price Index4 ended the year lower at 1.2%, down from 1.8% in the fiscal year ended October 31, 2019. Inflation in the prices for food, shelter and medical services offset negative impacts from prices for energy, apparel and transportation services, which faced significant headwinds from COVID demand reduction. Energy commodities faced additional pressure from increasing supply, as the oil industry dealt with a market share war that drove prices lower.
During the fiscal year, real yields5 fell on lower nominal treasury yields. Short-term real yields fell more than long-term yields in conjunction with the FOMC decision to cut the Federal funds rate. 1-year real yields fell 132 bps, while the 5-, 10-, and 30-year real yields were lower by 128bps, 97bps, 77bps, respectively.6
Declining real interest rates, paired with modestly higher inflation expectations during the fiscal year, led to positive total return performance for both the Fund and the Underlying Index. For the 12-month period, the Underlying Index underperformed the Bloomberg Barclays U.S. TIPS Index by 0.30% due mostly to lower duration positioning of the Underlying Index against the backdrop of falling real interest rates. Tracking difference between the Fund’s NAV and the Underlying Index for the 12-month period was -41bps, reflective of the Fund’s management fee (-18bps), duration and curve positioning (-3bps), security and sector selection (-7bps), intra-day trading and pricing differences (-9bps), and other factors (-4bps).
3 | Source: Bloomberg, In this analysis we are making a comparison between the difference in the interest rates of the 1-month, 1-year, 2-year, 5-year, 10-year and 30-year maturities nominal Treasury rates using data available as of January 1, 2020 and October 31, 2020. |
4 | The Consumer Price Index (CPI) is the raw inflation figure as released monthly by the Bureau of Labor Statistics. The CPI calculates the cost to purchase a fixed basket of goods, as a way of determining how much inflation is occurring in the broad economy. |
5 | A real yield is the yield to the investor that has been adjusted to remove the effects of inflation. |
6 | Bloomberg, In this analysis we are making a comparison between the difference in the real yield rates of the 1-year, 5-year, 10-year and 30-year maturities using data available as of January 1, 2020 and October 31, 2020. |
48 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® | MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE |
Disciplined Duration MBS Index Fund Ticker: MBSD
CUMULATIVE PERFORMANCE
Through October 31, 2020
AVERAGE ANNUAL TOTAL RETURN
For the period ended October 31, 2020
1 Year | 3 Year | 5 Year | Fund Inception 9/3/2014 | |||||||||||||
|
| |||||||||||||||
FlexShares Disciplined Duration MBS Index Fund (Based on Net Asset Value) | 5.19 | % | 3.56 | % | 2.64 | % | 2.54 | % | ||||||||
FlexShares Disciplined Duration MBS Index Fund (Based on Market Price) | 5.19 | % | 3.59 | % | 2.57 | % | 2.54 | % | ||||||||
ICE BofA Merrill Lynch® Constrained Duration US Mortgage Backed Securities Index | 4.92 | % | 3.91 | % | 2.98 | % | 2.91 | % |
All data as of 10/31/20. Total returns based on market price do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, these returns would be lower. Total returns based on market price and net asset value (“NAV”) assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively. NAV is calculated by dividing the total value of all the securities in the fund’s portfolio plus cash, interest and receivables less any liabilities by the number of fund shares outstanding. Market price is determined by the midpoint of the bid/ask spread at 4:00 p.m. Eastern Time from the primary listing exchange. Market price returns may vary from NAV returns.
Performance quoted represents past performance and does not guarantee future results. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Unlike the Index, the Fund’s total returns are reduced by operating expenses, such as transaction costs and management fees. An investor cannot invest directly in an index.
Performance reflects contractual reimbursements in effect until March 1, 2021. In the absence of such reimbursements, performance would be reduced. The gross expense ratio of the Fund is 0.21% and the net expense ratio is 0.20%. The gross and net expense ratios disclosed are as reported in the Fund’s prospectus, which may differ from the gross and net expense ratios presented in the Fund’s financial reports. Current performance may be higher or lower than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed or sold in the market.
FlexShares ETFs’ performance data current to the most recent month-end is available at www.flexshares.com.
PORTFOLIO ANALYSIS
The Fund seeks investment results that correspond generally to the price and yield performance, before fees and expenses, of the ICE BofA Merrill Lynch® Constrained Duration US Mortgage Backed Securities Index (the “Underlying Index”). The Underlying Index reflects the performance of a selection of investment-grade US agency residential mortgage-backed pass-through securities (“MBS”). Pursuant to the Underlying Index’s methodology, the average effective duration1 of the portfolio of MBS represented in the Underlying Index was between 3.25 and 4.25 years. As of October 31, 2020, there were 167 securities in the Underlying Index. Northern Trust Investments, Inc. (“NTI”) uses a “passive” or indexing approach to try to achieve the Fund’s investment objective. NTI uses a representative sampling strategy to manage the Fund. This means the Fund may or may not hold all of the securities that are included in the Underlying Index.
U.S. Treasury yields were lower during the fiscal year driven primarily by the negative impact of COVID-19 (“COVID”) on the U.S. economy and subsequent monetary policy response from the U.S. Federal Reserve Bank (“Fed”). In early March at its regularly scheduled Federal Open Market Committee (“FOMC”) meeting, as the Federal and State governments implemented mitigation actions against the spread of the virus, the FOMC lowered the overnight rate by 50 basis points (bps)2 to 1.00% -1.25% and then by an additional 100 bps to 0.00% -0.25% during an unscheduled meeting on March 15, 2020.
In addition to reducing the overnight rate, the Fed implemented a number of policies
1 | Average effective duration provides a measure of a fund’s interest-rate sensitivity and the longer a fund’s duration, the more sensitive the fund is to shifts in interest rates. Duration also gives an indication of how a fund’s NAV will change as interest rates change. A fund with a five-year duration would be expected to lose 5% of its NAV if interest rates rose by 1 percentage point or gain 5%, if interest rates fell by 1 percentage point. Morningstar surveys fund companies for this information. |
2 | A unit that is equal to 1/100th of 1% and is used to denote the change in a financial instrument. |
FLEXSHARES ANNUAL REPORT | 49 |
Table of Contents
FlexShares® | MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE |
Disciplined Duration MBS Index Fund (cont.)
PORTFOLIO ANALYSIS (cont.)
and programs to support the economy and markets during the COVID induced economic slowdown. The Fed implemented quantitative easing securities purchases, acquiring as of October 31, 2020, $1.99 trillion of U.S. Treasuries and $1.22 trillion of agency mortgage backed securities.3 As of October 28, 2020, the Fed’s balance sheet has grown by roughly $3.1 trillion, to $7.1 trillion, since October 30, 2019.4 The Fed provided additional support in the form of programs designed to address a dearth of market liquidity in multiple fixed income markets. The Fed announced programs to support primary dealers, the money market fund sector, the commercial paper market, the corporate bond market (both investment grade and high yield segments) and the term asset backed securities sector.
The U.S. Treasury yield curve5 steepened, with long-term rates rising during the first two months of the fiscal year, only to quickly reverse into calendar year 2020 as the spread of COVID from Asia to Europe and North America began to weigh on economic activity and raised levels of uncertainty for global investors. Treasury yields declined significantly beginning in February into March, as global economic activity halted and investors struggled to estimate the near- and long-term impacts of COVID. By month-end October 2020, the 1-month Treasury Bill was -146 bps lower for the fiscal year while longer-term Treasury yields were also lower: 1-Year Treasury (-138 bps), 2-Year Treasury (-137 bps), 5-Year Treasury (-113 bps), 10-Year Treasury (-82 bps) and 30-Year Treasury (-52 bps).
Prompted by lower interest rates, refinancing activity, housing sales and mortgage applications began to surge April 2020, as average 30-year mortgage rates (Freddie Mac Index) fell from 3.78% to 2.81% during the fiscal year6. Despite the slowdown in March and April, existing home sales managed a 1.5% increase during the
fiscal year, while new home sales were robust, increasing 18.5% 7. The Federal Housing Finance Agency Home Purchase Price Index saw robust gains in housing prices with a year-over-year increase of roughly 8.0% versus 5.4% and 6.0% in the fiscal years ended October 31, 2019 and October 31, 2018, respectively8.
During the fiscal year ended October 31, 2020, the Fund’s total returns came from positive income generated from its portfolio securities and by rising prices of portfolio securities from lower Treasury yields, while widening mortgage credit spreads negatively impacted Fund returns. For the 12-month period, the Underlying Index outperformed the market-weighted MBS market, as defined by the Bloomberg Barclays Capital U.S. MBS Index (“MBS Index”) by 1.24% due to the Underlying Index’s exposure to a selection of higher coupon, more seasoned MBS securities and a longer average portfolio duration compared to the MBS Index. Tracking difference between the Fund’s NAV and the Underlying Index’s total return for the 12-month period was +27 bps, reflective of the Fund’s management fee (-20 bps), trading costs and fees (-21 bps), pricing differences (+69 bps), yield curve positioning (+3 bps), sector allocation (-1 bps), security selection (-2 bps) and other factors (-1 bps).
3 | Source: BofA Securities, BofA Global Research, November 2, P2020. |
4 | Source: S Louis Federal Reserve Bank, FRED Database. |
5 | A yield curve is constructed by plotting a session’s final yields for various maturities including 1-month, 3-month, 6-month, 1-year, 2-year, 3-year, 5-year, 7-year, 10-year, 20-year and 30-year maturities. |
6 | Source: Bloomberg. Federal Home Loan Mortgage Corp. Primary Mortgage Market Survey. 1 November 2019 through 31 October 2020. |
7 | Source: Bloomberg. National Association of Realtors. Existing Home Sales. 1 November 2019 through 31 October 2020. |
8 | Source: Bloomberg. Federal Housing Finance Agency Home Purchase Price Index. 1 November 2017 through 31 October 2020. |
50 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® Credit-Scored | MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE |
US Corporate Bond Index Fund Ticker: SKOR
CUMULATIVE PERFORMANCE
Through October 31, 2020
* | The hybrid index performance information reflects the performance of the Northern Trust Credit-Scored US Corporate Bond IndexSM (Previous Index) through April 30, 2020 and the Northern Trust US Corporate Bond Quality Value IndexSM thereafter. The Previous Index terminated as of May 1, 2020. |
AVERAGE ANNUAL TOTAL RETURN
For the period ended October 31, 2020
1 Year | 3 Year | 5 Year | Fund Inception 11/12/2014 | |||||||||||||
|
| |||||||||||||||
FlexShares Credit-Scored US Corporate Bond Index Fund (Based on Net Asset Value) | 7.20 | % | 5.45 | % | 4.58 | % | 4.27 | % | ||||||||
FlexShares Credit-Scored US Corporate Bond Index Fund (Based on Market Price) | 7.22 | % | 5.36 | % | 4.55 | % | 4.27 | % | ||||||||
Hybrid Northern Trust Credit-Scored US Corporate Bond IndexSM/Northern Trust US Corporate Bond Quality Value IndexSM* | 7.86 | % | 5.94 | % | 5.00 | % | 4.67 | % | ||||||||
Bloomberg Barclays Intermediate U.S. Corporate Index | 6.15 | % | 5.09 | % | 4.51 | % | 4.12 | % |
All data as of 10/31/20. Total returns based on market price do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, these returns would be lower. Total returns based on market price and net asset value (“NAV”) assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively. NAV is calculated by dividing the total value of all the securities in the fund’s portfolio plus cash, interest and receivables less any liabilities by the number of fund shares outstanding. Market price is determined by the midpoint of the bid/ask spread at 4:00 p.m. Eastern Time from the primary listing exchange. Market price returns may vary from NAV returns.
Performance quoted represents past performance and does not guarantee future results. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Unlike the Index, the Fund’s total returns are reduced by operating expenses, such as transaction costs and management fees. An investor cannot invest directly in an index.
Performance reflects contractual reimbursements in effect until March 1, 2021. In the absence of such reimbursements, performance would be reduced. The gross expense ratio of the Fund is 0.23% and the net expense ratio is 0.22%. The gross and net expense ratios disclosed are as reported in the Fund’s prospectus, which may differ from the gross and net expense ratios presented in the Fund’s financial reports. Current performance may be higher or lower than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed or sold in the market.
FlexShares ETFs’ performance data current to the most recent month-end is available at www.flexshares.com.
PORTFOLIO ANALYSIS
During the fiscal year, the Fund changed its investment objective and investment strategy. Through April 30, 2020, the Fund sought investment results that corresponded generally to the price and yield performance, before fees and expenses, of the Northern Trust Credit-Scored US Corporate Bond IndexSM (“Previous Underlying Index”). Effective May 1, 2020, the Fund seeks investment results that correspond generally to the price and yield performance, before fees and expenses, of the Northern Trust US Corporate Bond Quality Value IndexSM (the “New Underlying Index”). The securities included in each Underlying Index were a subset of the securities included in the Northern Trust US Investment Grade Corporate Bond IndexSM (the “Parent Index”), which is a market-capitalization weighted index comprised of US dollar-denominated investment grade corporate bonds. The Fund invested in U.S. dollar denominated bonds of non-U.S. corporations to the extent such bonds were included in the Underlying Index. The Previous Underlying Index began with the Parent Index and followed a rules-based methodology to select and calculate optimal weights for securities in the Underlying Index based on liquidity and security issuers’ fundamental factors, as determined by Northern Trust Investments, Inc. (“NTI”) acting in its capacity as index provider (the “Index Provider”). The New Underlying Index begins with the Parent Index and then follows a rules-based methodology to select and weight securities, subject to certain constraints to optimize the Index’s exposure to a combined proprietary value score and a proprietary quality score, as determined by the Index Provider. As of October 31, 2020, there were 2,677 issues in the Underlying Index. NTI uses a “passive” or indexing approach to try to achieve the Fund’s investment objective. NTI uses a representative sampling strategy to manage the Fund. This means the Fund may or may not hold all of the securities that are included in the Underlying Index.
FLEXSHARES ANNUAL REPORT | 51 |
Table of Contents
FlexShares® Credit-Scored | MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE |
US Corporate Bond Index Fund (cont.)
PORTFOLIO ANALYSIS (cont.)
Intermediate-term1 credit spreads2 trended lower through mid-February 20203 then widened significantly until late March 2020.4 We believe investors’ uncertainty over the COVID economic shutdowns drove average intermediate-term option adjusted spreads (“OAS”)5 to 381 bps6 in comparison to comparable maturing Treasury securities in March 2020 from 84 bps at the beginning of the fiscal year.7 By late March, once the Fed announced programs to support credit markets, average intermediate-term OAS declined through the end of the fiscal year as investors weighed potential impacts from the U.S. election and COVID developments.8
During the fiscal year, the Fund outperformed the Bloomberg Barclays Capital Intermediate U.S. Corporate Bond Index by 108 bps due to the longer average duration9 positioning and sector allocation of the Underlying Index. During the first half of the fiscal year, the longer average duration aided Fund performance as Treasury yields declined significantly. During the second half of the fiscal year, overweight allocations to financials, real estate investment trusts (“REIT”), banking, energy and consumer cyclicals added to Fund performance. The longer duration which helped during the first half of the fiscal year, however, detracted from performance during the second half of the year. Exposure to lower rated credit securities also detracted from overall performance. The tracking difference between the Fund’s NAV and the Underlying Index’s return for the fiscal year was -65 bps, which is reflective of the Fund’s management fee (-22 bps), trading costs and fees (-46 bps), pricing differences (-130 bps), sector and security selection (+138 bps), yield curve positioning (-4 bps) and other factors (-1 bp).
1 | Intermediate-term bonds typically mature between 5–10 years. |
2 | Credit spread is the difference in yield between one debt security and another debt security with the same maturity but of lesser quality. |
3 | Bloomberg, In this analysis we are making a comparison between the difference of the credit spreads of intermediate-term investment grade corporate bonds using data available as of Jan 2, 2020 – February 15, 2020. |
4 | Bloomberg, In this analysis we are making a comparison between the difference of the credit spreads of intermediate-term investment grade corporate bonds using data available as of February 15, 2020 – March 31, 2020. |
5 | The option-adjusted spread (OAS) is the measurement of the spread of a fixed-income security rate or portfolio and typically the Treasury securities yield (often referred to as the risk-free rate) and that spread is added to the fixed-income security for comparison purposes. |
6 | A unit that is equal to 1/100th of 1% and is used to denote the change in a financial instrument. |
7 | Bloomberg, In this analysis we are making a comparison between the difference of the rate spread of intermediate-term investment grade corporate bond rates and comparable nominal Treasury rates using data available as of November 1, 2019 – October 31, 2020. |
8 | Bloomberg, In this analysis we are making a comparison between the difference of the Option Adjusted Spread of intermediate-term investment grade corporate bonds using data available as of March 31, 2020 – October 31, 2020. |
9 | Average duration provides a measure of a fund’s interest-rate sensitivity and the longer a fund’s duration, the more sensitive the fund is to shifts in interest rates. Duration also gives an indication of how a fund’s NAV will change as interest rates change. A fund with a five-year duration would be expected to lose 5% of its NAV if interest rates rose by 1 percentage point or gain 5%, if interest rates fell by 1 percentage point. Morningstar surveys fund companies for this information. |
52 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® Credit-Scored | MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE |
US Long Corporate Bond Index Fund Ticker: LKOR
CUMULATIVE PERFORMANCE
Through October 31, 2020
* | The hybrid index performance information reflects the performance of the Northern Trust Credit-Scored US Long Corporate Bond IndexSM (Previous Index) through April 30, 2020 and the Northern Trust US Long Corporate Bond Quality Value IndexSM thereafter. The Previous Index terminated as of May 1, 2020. |
AVERAGE ANNUAL TOTAL RETURN
For the period ended October 31, 2020
1 Year | 3 Year | 5 Year | Fund Inception 9/23/2015 | |||||||||||||
|
| |||||||||||||||
FlexShares Credit-Scored US Long Corp Bond Index Fund (Based on Net Asset Value) | 10.34 | % | 8.71 | % | 8.66 | % | 8.59 | % | ||||||||
FlexShares Credit-Scored US Long Corp Bond Index Fund (Based on Market Price) | 10.57 | % | 8.54 | % | 8.49 | % | 8.55 | % | ||||||||
Hybrid Northern Trust Credit-Scored US Long Corporate Bond IndexSM/Northern Trust US Long Corporate Bond Quality Value IndexSM* | 11.82 | % | 9.57 | % | 9.38 | % | 9.29 | % | ||||||||
Bloomberg Barclays Long U.S. Corporate Index | 8.60 | % | 8.30 | % | 8.64 | % | 8.55 | % |
All data as of 10/31/20. Total returns based on market price do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, these returns would be lower. Total returns based on market price and net asset value (“NAV”) assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively. NAV is calculated by dividing the total value of all the securities in the fund’s portfolio plus cash, interest and receivables less any liabilities by the number of fund shares outstanding. Market price is determined by the midpoint of the bid/ask spread at 4:00 p.m. Eastern Time from the primary listing exchange. Market price returns may vary from NAV returns.
Performance quoted represents past performance and does not guarantee future results. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Unlike the Index, the Fund’s total returns are reduced by operating expenses, such as transaction costs and management fees. An investor cannot invest directly in an index.
Performance reflects contractual reimbursements in effect until March 1, 2021. In the absence of such reimbursements, performance would be reduced. The gross expense ratio of the Fund is 0.23% and the net expense ratio is 0.22%. The gross and net expense ratios disclosed are as reported in the Fund’s prospectus, which may differ from the gross and net expense ratios presented in the Fund’s financial reports. Current performance may be higher or lower than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed or sold in the market.
FlexShares ETFs’ performance data current to the most recent month-end is available at www.flexshares.com.
PORTFOLIO ANALYSIS
During the fiscal year, the Fund changed its investment objective and investment strategy. Through April 30, 2020, the Fund sought investment results that corresponded generally to the price and yield performance, before fees and expenses, of the Northern Trust Credit-Scored US Long Corporate Bond IndexSM (“Previous Underlying Index”). Effective May 1, 2020, the Fund seeks investment results that correspond generally to the price and yield performance, before fees and expenses, of the Northern Trust US Long Corporate Bond Quality Value IndexSM (the “New Underlying Index”). The securities included in each Underlying Index were a subset of the securities included in the Northern Trust US Investment Grade Long Corporate Bond IndexSM (the “Parent Index”), which is a market-capitalization weighted index comprised of US dollar-denominated investment grade corporate bonds. The Fund invested in U.S. dollar denominated bonds of non-U.S. corporations to the extent such bonds were included in the Underlying Index. The Previous Underlying Index began with the Parent Index and followed a rules-based methodology to select and calculate optimal weights for securities in the Underlying Index based on liquidity and security issuers’ fundamental factors, as determined by Northern Trust Investments, Inc. (“NTI”) acting in its capacity as index provider (the “Index Provider”). The New Underlying Index begins with the Parent Index and then follows a rules-based methodology to select and weight securities, subject to certain constraints to optimize the Index’s exposure to a combined proprietary value score and a proprietary quality score, as determined by the Index Provider. As of October 31, 2020, there were 1,341 issues in the Underlying Index. NTI uses a “passive” or indexing approach to try to achieve the Fund’s investment objective. NTI uses a representative sampling strategy to manage the Fund. This means the Fund may or may not hold all of the securities that are included in the Underlying Index.
In general, U.S. Treasury yields were lower during the fiscal year driven primarily by the negative impact of COVID-19 (“COVID”) on the U.S. economy and subsequent mone-
FLEXSHARES ANNUAL REPORT | 53 |
Table of Contents
FlexShares® Credit-Scored | MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE |
US Long Corporate Bond Index Fund (cont.)
PORTFOLIO ANALYSIS (cont.)
tary policy response from the U.S. Federal Reserve (“Fed”). In early March, at its regularly scheduled Federal Open Market Committee (“FOMC”) meeting, as the Federal and State governments implemented mitigation actions against the spread of the virus, the FOMC lowered the overnight rate by 50 basis points (bps)1 to 1.00%-1.25% and then by an additional 100 bps to 0.00%-0.25% during an unscheduled meeting on March 15, 2020.
In addition to reducing the overnight rate, the Fed implemented a number of policies and programs to support the economy and markets during the COVID induced economic slowdown. The Fed implemented quantitative easing securities purchases, acquiring as of October 31, 2020, $1.99 trillion of U.S. Treasuries and $1.22 trillion of agency mortgage backed securities.2 As of October 28, 2020, the Fed’s balance sheet has grown by roughly $3.1 trillion, to $7.1 trillion, since October 30, 2019.3 The Fed provided additional support in the form of programs designed to address a dearth of market liquidity in multiple fixed income markets. The Fed announced programs to support primary dealers, the money market fund sector, the commercial paper market, the corporate bond market (both investment grade and high yield segments) and the term asset backed securities sector.
The U.S. Treasury yield curve4 steepened, with long-term rates rising during the first two months of the fiscal year, only to quickly reverse into calendar year 2020 as the spread of COVID from Asia to Europe and North America began to weigh on economic activity and raised levels of uncertainty for global investors. Treasury yields declined significantly beginning in February into March, as global economic activity halted and investors struggled to estimate the near- and long-term impacts of COVID. By month-end October 2020, the 1-month Treasury Bill was -146 bps lower for the fiscal year while longer-term Treasury yields were also lower: 1-Year Treasury (-138 bps), 2-Year Treasury (-137 bps), 5-Year Treasury (-113 bps), 10-Year Treasury (-82 bps) and 30-Year Treasury (-52 bps).
Long-term5 credit spreads6 trended lower through mid-February 20207 then widened significantly until late March 2020.8 We believe investors’ uncertainty over the COVID economic shutdowns drove average long-term option adjusted spreads (“OAS”)9 to 359 bps in comparison to comparable maturing Treasury securities in March 2020 from 159 bps at the beginning of the fiscal year.10 By late March, once the Fed announced programs to support credit markets, average long-term OAS declined through the end of the fiscal year as investors weighed potential impacts from the U.S. election and COVID developments.11
During the fiscal year ended October 31, 2020, the Fund outperformed the Bloomberg Barclays Capital Long U.S. Corporate Bond Index by 320 bps. Positive return contribution for the Underlying Index came from slightly longer portfolio duration along with underweights to the utility and consumer non-cyclical sectors. Overweight to financials and communications also contributed positively to performance, as did security selection in the financials, consumer non-cyclical and technology sectors. Exposure to lower rated credit securities detracted from overall performance. The tracking difference between the Fund’s NAV and the Underlying Index’s return for the period was -148 bps, which is reflective of the Fund’s management fee (-22 bps), trading costs and fees (-75 bps), pricing differences (+11 bps), sector and security selection (-55 bps), yield curve positioning (+3 bps) and other factors (-10 bps).
1 | A unit that is equal to 1/100th of 1% and is used to denote the change in a financial instrument. |
2 | Source: BofA Securities, BofA Global Research, November 2, 2020. |
3 | Source: St Louis Federal Reserve Bank, FRED Database. |
4 | A yield curve is constructed by plotting a session’s final yields for various maturities including 1-month, 3-month, 6-month, 1-year, 2-year, 3-year, 5-year, 7-year, 10-year, 20-year and 30-year maturities. |
5 | Long-term bonds typically mature above 25 years. |
6 | Credit spread is the difference in yield between one debt security and another debt security with the same maturity but of lesser quality. |
7 | Bloomberg, In this analysis we are making a comparison between the difference of the credit spreads of long-term investment grade corporate bonds using data available as of Jan 2, 2020 – February 15, 2020. |
8 | Bloomberg, In this analysis we are making a comparison between the difference of the credit spreads of long-term investment grade corporate bonds using data available as of February 15, 2020 – March 31, 2020. |
9 | The option-adjusted spread (OAS) is the measurement of the spread of a fixed-income security rate or portfolio and typically the Treasury securities yield (often referred to as the risk-free rate) and that spread is added to the fixed-income security for comparison purposes. |
10 | Bloomberg, In this analysis we are making a comparison between the difference of the rate spread of long-term investment grade corporate bond rates and comparable nominal Treasury rates using data available as of November 1, 2019 – October 31, 2020. |
11 | Bloomberg, In this analysis we are making a comparison between the difference of the Option Adjusted Spread of long-term investment grade corporate bonds using data available as of March 31, 2020 – October 31, 2020. |
54 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® High Yield | MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE |
Value-Scored Bond Index Fund Ticker: HYGV
CUMULATIVE PERFORMANCE
Through October 31, 2020
AVERAGE ANNUAL TOTAL RETURN
For the period ended October 31, 2020
1 Year | Fund Inception 7/17/2018 | |||||||
|
| |||||||
FlexShares High Yield Value-Scored US Bond Index Fund (Based on Net Asset Value) | 3.07 | % | 4.63 | % | ||||
FlexShares High Yield Value-Scored US Bond Index Fund (Based on Market Price) | 3.12 | % | 4.72 | % | ||||
Northern Trust High Yield Value-Scored US Corporate Bond Index | 5.89 | % | 6.25 | % | ||||
ICE BofA Merrill Lynch® US High Yield Index | 2.54 | % | 4.79 | % |
All data as of 10/31/20. Total returns based on market price do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, these returns would be lower. Total returns based on market price and net asset value (“NAV”) assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively. NAV is calculated by dividing the total value of all the securities in the fund’s portfolio plus cash, interest and receivables less any liabilities by the number of fund shares outstanding. Market price is determined by the midpoint of the bid/ask spread at 4:00 p.m. Eastern Time from the primary listing exchange. Market price returns may vary from NAV returns.
Performance quoted represents past performance and does not guarantee future results. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Unlike the Index, the Fund’s total returns are reduced by operating expenses, such as transaction costs and management fees. An investor cannot invest directly in an index.
Performance reflects contractual reimbursements in effect until March 1, 2021. In the absence of such reimbursements, performance would be reduced. The gross expense ratio of the Fund is 0.38% and the net expense ratio is 0.37%. The gross and net expense ratios disclosed are as reported in the Fund’s prospectus, which may differ from the gross and net expense ratios presented in the Fund’s financial reports. Current performance may be higher or lower than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed or sold in the market.
FlexShares ETFs’ performance data current to the most recent month-end is available at www.flexshares.com.
PORTFOLIO ANALYSIS
The Fund seeks investment results that correspond generally to the price and yield performance, before fees and expenses, of the Northern Trust High Yield Value-Scored US Corporate Bond Index (the “Underlying Index”). The Underlying Index reflects the performance of a broad universe of US-dollar denominated high yield corporate bonds that seeks a higher total return than the overall high yield corporate bond market, as represented by the Northern Trust High Yield US Corporate Bond Index (the “Parent Index”).1 The securities included in the Underlying Index are a subset of the securities included in the Parent Index. The Underlying Index begins with the Parent Index and then follows a rules-based methodology to select and weight securities, subject to certain constraints, to optimize exposure to a proprietary value score, as determined by Northern Trust Investments, Inc. (“NTI”), acting in its capacity as index provider (“Index Provider”). As of October 31, 2020, there were 963 issues in the Underlying Index. NTI uses a “passive” or indexing approach to try to achieve the Fund’s investment objective. NTI uses a representative sampling strategy to manage the Fund. This means the Fund may or may not hold all of the securities that are included in the Underlying Index.
In general, U.S. Treasury yields were lower during the fiscal year driven primarily by the negative impact of COVID-19 (“COVID”) on the U.S. economy and subsequent monetary policy response from the U.S. Federal Reserve (“Fed”). In early March, at its regularly scheduled Federal Open Market Committee (“FOMC”) meeting, as the Federal and State governments implemented mitigation actions against the spread of the virus, the FOMC lowered the overnight rate by 50 basis points (bps)2 to 1.00%-1.25% and then by an additional 100 bps to 0.00%-0.25% during an unscheduled meeting on March 15, 2020.
In addition to reducing the overnight rate, the Fed implemented a number of policies
1 | The Northern Trust High Yield US Corporate Bond Index is a market capitalization weighted index comprised of U.S. dollar-denominated high yield corporate bonds. |
2 | A unit that is equal to 1/100th of 1% and is used to denote the change in a financial instrument. |
FLEXSHARES ANNUAL REPORT | 55 |
Table of Contents
FlexShares® High Yield | MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE |
Value-Scored Bond Index Fund (cont.)
PORTFOLIO ANALYSIS (cont.)
and programs to support the economy and markets during the COVID induced economic slowdown. The Fed implemented quantitative easing securities purchases, acquiring as of October 31, 2020, $1.99 trillion of U.S. Treasuries and $1.22 trillion of agency mortgage backed securities.3 As of October 28, 2020, the Fed’s balance sheet has grown by roughly $3.1 trillion, to $7.1 trillion, since October 30, 2019.4 The Fed provided additional support in the form of programs designed to address a dearth of market liquidity in multiple fixed income markets. The Fed announced programs to support primary dealers, the money market fund sector, the commercial paper market, the corporate bond market (both investment grade and high yield segments) and the term asset backed securities sector.
The U.S. Treasury yield curve5 steepened, with long-term rates rising during the first two months of the fiscal year, only to quickly reverse into calendar year 2020 as the spread of COVID from Asia to Europe and North America began to weigh on economic activity and raised levels of uncertainty for global investors. Treasury yields declined significantly beginning in February into March, as global economic activity halted and investors struggled to estimate the near- and long-term impacts of COVID. By month-end October 2020, the 1-month Treasury Bill was -146 bps lower for the fiscal year while longer-term Treasury yields were also lower: 1-Year Treasury (-138 bps), 2-Year Treasury (-137 bps), 5-Year Treasury (-113 bps), 10-Year Treasury (-82 bps) and 30-Year Treasury (-52 bps).
High Yield6 credit spreads7 trended lower during the first quarter of the fiscal year 8 then widened significantly until late March 2020.9 We believe that
investors’ uncertainty over the COVID economic shutdowns widened High Yield option adjusted spreads (“OAS”).10 Between February 18 and March 23, 2020, the option adjusted spreads (OAS) of the ICE BofA US High Yield Index widened 726 bps to 1,087 bps.11 By late March, however, once the Fed announced programs to support credit markets, investors continued their search for income for their portfolios despite increased concerns over the potential for slowing economic growth and the potential for increases in high yield credit defaults. We believe this increased demand caused average long-term OAS to decline through the end of the fiscal year as investors weighed potential impacts from the U.S. election and COVID developments.12 Market conditions became extremely stressed as trading liquidity and security pricing transparency were severely challenged. In March 2020, the Fed announced primary and secondary market programs that allowed the Fed to purchase investment grade, high yield bonds and exchange-traded funds in an effort to support and stabilize U.S. corporate credit markets.
For the 2020 fiscal year, the Underlying Index outperformed the ICE BofA US High Yield Index by +335 bps, due to rebalancing timing as well as sector allocation and security selection of the Underlying Index. The tracking difference between the Fund’s NAV and the Underlying Index’s total return for the period was -282 bps, which is reflective of the Fund’s management fee (-37 bps), trading costs and fees (+35 bps), pricing differences (-117 bps), yield curve positioning (+11 bps) sector allocation (+5bps) and security selection (-180 bps), and other factors (+1 bp). Pricing differences and security selection tracking error was impacted by NTI’s decision to restrict the Fund’s portfolio rebalancing in March and April 2020 due to severe market conditions.
3 | Source: BofA Securities, BofA Global Research, November 2, 2020. |
4 | Source: St Louis Federal Reserve Bank, FRED Database. |
5 | A yield curve is constructed by plotting a session’s final yields for various maturities including 1-month, 3-month, 6-month, 1-year, 2-year, 3-year, 5-year, 7-year, 10-year, 20-year and 30-year maturities. |
6 | High Yield are fixed income securities that are rated in the middle rating of Moody’s, Fitch and S&P is Ba1/BB+/BB+ or below. |
7 | Credit spread is the difference in yield between one debt security and another debt security with the same maturity but of lesser quality. |
8 | Bloomberg, In this analysis we are making a comparison between the difference of the credit spreads of High Yield corporate bonds using data available as of Jan 2, 2020 – March 31, 2020. |
9 | Bloomberg, In this analysis we are making a comparison between the difference of the credit spreads of High Yield corporate bonds using data available as of February 15, 2020 – March 31, 2020. |
10 | The option-adjusted spread (OAS) is the measurement of the spread of a fixed-income security rate or portfolio and typically the Treasury securities yield (often referred to as the risk-free rate) and that spread is added to the fixed-income security for comparison purposes. |
11 | Bloomberg, In this analysis we are making a comparison between the difference of the rate spread of High Yield corporate bond rates and comparable nominal Treasury rates using data available as of February 18, 2020 – March 23, 2020. |
12 | Bloomberg, In this analysis we are making a comparison between the difference of the Option Adjusted Spread of High Yield corporate bonds using data available as of March 31, 2020 – October 31, 2020. |
56 | FLEXSHARES ANNUAL REPORT |
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FlexShares® | MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE |
Ready Access Variable Income Fund Ticker: RAVI
CUMULATIVE PERFORMANCE
Through October 31, 2020
AVERAGE ANNUAL TOTAL RETURN
For the period ended October 31, 2020
1 Year | 3 Year | 5 Year | Fund Inception 10/9/2012 | |||||||||||||
|
| |||||||||||||||
FlexShares Ready Access Variable Income Fund (Based on Net Asset Value) | 2.18 | % | 2.40 | % | 1.91 | % | 1.44 | % | ||||||||
FlexShares Ready Access Variable Income Fund (Based on Market Price) | 2.17 | % | 2.42 | % | 1.90 | % | 1.44 | % | ||||||||
Bloomberg Barclays 1-3 Month U.S. Treasury Bill Index | 0.79 | % | 1.58 | % | 1.13 | % | 0.71 | % |
All data as of 10/31/20. Total returns based on market price do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, these returns would be lower. Total returns based on market price and net asset value (“NAV”) assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively. NAV is calculated by dividing the total value of all the securities in the fund’s portfolio plus cash, interest and receivables less any liabilities by the number of fund shares outstanding. Market price is determined by the midpoint of the bid/ask spread at 4:00 p.m. Eastern Time from the primary listing exchange. Market price returns may vary from NAV returns.
Performance quoted represents past performance and does not guarantee future results. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Unlike the Index, the Fund’s total returns are reduced by operating expenses, such as transaction costs and management fees. An investor cannot invest directly in an index.
Performance reflects contractual reimbursements in effect until March 1, 2021. In the absence of such reimbursements, performance would be reduced. The gross expense ratio of the Fund is 0.26% and the net expense ratio is 0.25%. The gross and net expense ratios disclosed are as reported in the Fund’s prospectus, which may differ from the gross and net expense ratios presented in the Fund’s financial reports. Current performance may be higher or lower than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed or sold in the market.
FlexShares ETFs’ performance data current to the most recent month-end is available at www.flexshares.com.
PORTFOLIO ANALYSIS
The Fund seeks maximum current income consistent with the preservation of capital and liquidity. The Fund attempts to achieve its investment objective by investing under normal circumstances at least 80% of its total assets in a non-diversified portfolio of fixed-income instruments, including bonds, debt securities and other similar instruments issued by U.S. and non-U.S. public and private sector entities. Such issuers include, without limitation, U.S. and non-U.S. governments and their agencies, instrumentalities or sponsored enterprises, U.S. state and local governments and U.S. and non-U.S. private-sector entities, such as corporations and banks. The average effective duration1 of the Fund will vary based on the Northern Trust Company Investment Policy Committee’s forecast for interest rates and will normally not exceed one year. The dollar-weighted average portfolio maturity of the Fund is normally not expected to exceed two years.
In general, U.S. Treasury yields were lower during the fiscal year driven primarily by the negative impact of COVID-19 (“COVID”) on the U.S. economy and subsequent monetary policy response from the U.S. Federal Reserve (“Fed”). In early March, at its regularly scheduled Federal Open Market Committee (“FOMC”) meeting, as the Federal and State governments implemented mitigation actions against the spread of the virus, the FOMC lowered the overnight rate by 50 basis points (bps)2 to 1.00% -1.25% and then by an additional 100 bps to 0.00% -0.25% during an unscheduled meeting on March 15, 2020.
In addition to reducing the overnight rate, the Fed implemented a number of policies
1 | Average effective duration provides a measure of a fund’s interest-rate sensitivity and the longer a fund’s duration, the more sensitive the fund is to shifts in interest rates. Duration also gives an indication of how a fund’s NAV will change as interest rates change. A fund with a five-year duration would be expected to lose 5% of its NAV if interest rates rose by 1 percentage point, or gain 5%, if interest rates fell by 1 percentage point. Morningstar surveys fund companies for this information. |
2 | A unit that is equal to 1/100th of 1% and is used to denote the change in a financial instrument. |
FLEXSHARES ANNUAL REPORT | 57 |
Table of Contents
FlexShares® | MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE |
Ready Access Variable Income Fund (cont.)
PORTFOLIO ANALYSIS (cont.)
and programs to support the economy and markets during the COVID induced economic slowdown. The Fed implemented quantitative easing securities purchases, acquiring as of October 31, 2020, $1.99 trillion of U.S. Treasuries and $1.22 trillion of agency mortgage backed securities.3 As of October 28, 2020, the Fed’s balance sheet has grown by roughly $3.1 trillion, to $7.1 trillion, since October 30, 2019.4 The Fed provided additional support in the form of programs designed to address a dearth of market liquidity in multiple fixed income markets. The Fed announced programs to support primary dealers, the money market fund sector, the commercial paper market, the corporate bond market (both investment grade and high yield segments) and the term asset backed securities sector.
The U.S. Treasury yield curve5 steepened, with long-term rates rising during the first two months of the fiscal year, only to quickly reverse into calendar year 2020 as the spread of COVID from Asia to Europe and North America began to weigh on economic activity and raised levels of uncertainty for global investors. Treasury yields declined significantly beginning in February into March, as global economic activity halted and investors struggled to estimate the near- and long-term impacts of COVID. By month-end October 2020, the 1-month Treasury Bill was -146 bps lower for the fiscal year while longer-term Treasury yields were also lower: 1-Year Treasury (-138 bps), 2-Year Treasury (-137 bps), 5-Year Treasury (-113 bps), 10-Year Treasury (-82 bps) and 30-Year Treasury (-52 bps). Global Central Banks (“GCBs”) matched the Fed’s aggressive monetary policy as COVID-19 related shutdowns weighed on global consumers, businesses and markets.
The Fund’s NAV outperformed its market benchmark, the Bloomberg Barclays 1-3 Month U.S. Treasury Bill Index, by 139 bps. Short-term Treasury yields remained relatively unchanged while the longer end of the Treasury curve moved lower on COVID concerns. The Fund’s outperformance stemmed from its continued overweight to front-end Investment Grade Credit, which continued to see strength and drops in yield throughout the fiscal year. By fiscal year end, in general credit spreads on floating rate notes and short-term fixed-rate corporate securities were virtually unchanged. This environment, along with fund’s long duration bias, detracted from performance.
3 | Source: BofA Securities, BofA Global Research, November 2, 2020. |
4 | Source: St Louis Federal Reserve Bank, FRED Database. |
5 | A yield curve is constructed by plotting a session’s final yields for various maturities including 1-month, 3-month, 6-month, 1-year, 2-year, 3-year, 5-year, 7-year, 10-year, 20-year and 30-year maturities. |
58 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® | MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE |
Core Select Bond Fund Ticker: BNDC
CUMULATIVE PERFORMANCE
Through October 31, 2020
AVERAGE ANNUAL TOTAL RETURN
For the period ended October 31, 2020
1 Year | 3 Year | Fund Inception 11/18/2016 | ||||||||||
|
| |||||||||||
FlexShares Core Select Bond Fund (Based on Net Asset Value) | 6.69 | % | 4.95 | % | 4.48 | % | ||||||
FlexShares Core Select Bond Fund (Based on Market Price) | 6.57 | % | 4.85 | % | 4.49 | % | ||||||
Bloomberg Barclays U.S. Aggregate Bond Index | 6.19 | % | 5.07 | % | 4.68 | % |
All data as of 10/31/20. Total returns based on market price do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, these returns would be lower. Total returns based on market price and net asset value (“NAV”) assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively. NAV is calculated by dividing the total value of all the securities in the fund’s portfolio plus cash, interest and receivables less any liabilities by the number of fund shares outstanding. Market price is determined by the midpoint of the bid/ask spread at 4:00 p.m. Eastern Time from the primary listing exchange. Market price returns may vary from NAV returns.
Performance quoted represents past performance and does not guarantee future results. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Unlike the Index, the Fund’s total returns are reduced by operating expenses, such as transaction costs and management fees. An investor cannot invest directly in an index.
Performance reflects contractual reimbursements in effect until March 1, 2021. In the absence of such reimbursements, performance would be reduced. The gross expense ratio of the Fund is 0.58% and the net expense ratio is 0.35%. The gross and net expense ratios disclosed are as reported in the Fund’s prospectus, which may differ from the gross and net expense ratios presented in the Fund’s financial reports. Current performance may be higher or lower than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed or sold in the market.
FlexShares ETFs’ performance data current to the most recent month-end is available at www.flexshares.com.
PORTFOLIO ANALYSIS
The Fund seeks total return and preservation of capital. The Fund seeks to achieve its investment objective by investing, under normal circumstances, at least 80% of its net assets in U.S. dollar-denominated investment-grade fixed-income securities either directly or indirectly through exchange-traded funds (“ETFs”) and other registered investment companies (together with ETFs, “Underlying Funds”). The Fund primarily invests in fixed-rate securities of varying maturities, including bonds, debt securities and other similar instruments issued by U.S. public and U.S and non-U.S. private sector entities. Such issuers include, without limitation, U.S. governments and their agencies, instrumentalities or sponsored enterprises, and U.S. and non-U.S. private-sector entities, such as corporations and banks. The Fund may invest in fixed income securities of any maturity.
The Fund seeks to provide attractive risk-adjusted performance by investing in a portfolio of fixed-income securities that is designed to achieve optimal potential for total return after considering various sources of investment risk. The Fund adjusts its allocations to securities based on Northern Trust Investment Inc.’s assessment of potential changes in interest rate levels, the shape of the yield curve and credit spread relationships. The Fund also seeks to balance the potential for return and risk while emphasizing liquidity and diversification across a spectrum of U.S.
In general, U.S. Treasury yields were lower during the fiscal year driven primarily by the negative impact of COVID-19 (“COVID”) on the U.S. economy and subsequent monetary policy response from the U.S. Federal Reserve (“Fed”). In early March, at its regularly scheduled Federal Open Market Committee (“FOMC”) meeting, as the Federal and State governments implemented mitigation actions against the spread of the virus, the FOMC lowered the overnight rate by 50 basis points (bps)1 to 1.00%-1.25% and then by an additional 100 bps to 0.00%-0.25% during an unscheduled meeting on March 15, 2020.
1 | A unit that is equal to 1/100th of 1% and is used to denote the change in a financial instrument. |
FLEXSHARES ANNUAL REPORT | 59 |
Table of Contents
FlexShares® | MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE |
Core Select Bond Fund (cont.)
PORTFOLIO ANALYSIS (cont.)
In addition to reducing the overnight rate, the Fed implemented a number of policies and programs to support the economy and markets during the COVID induced economic slowdown. The Fed implemented quantitative easing securities purchases, acquiring as of October 31, 2020, $1.99 trillion of U.S. Treasuries and $1.22 trillion of agency mortgage backed securities.2 As of October 28, 2020, the Fed’s balance sheet has grown by roughly $3.1 trillion, to $7.1 trillion, since October 30, 2019.3 The Fed provided additional support in the form of programs designed to address a dearth of market liquidity in multiple fixed income markets. The Fed announced programs to support primary dealers, the money market fund sector, the commercial paper market, the corporate bond market (both investment grade and high yield segments) and the term asset backed securities sector.
The U.S. Treasury yield curve4 steepened, with long-term rates rising during the first two months of the fiscal year, only to quickly reverse into calendar year 2020 as the spread of COVID from Asia to Europe and North America began to weigh on economic activity and raised levels of uncertainty for global investors. Treasury yields declined significantly beginning in February into March, as global economic activity halted and investors struggled to estimate the near- and long-term impacts of COVID. By month-end October 2020, the 1-month Treasury Bill was -146 bps lower for the fiscal year while longer-term Treasury yields were also lower: 1-Year Treasury (-138 bps), 2-Year Treasury (-137 bps), 5-Year Treasury (-113 bps), 10-Year Treasury (-82 bps) and 30-Year Treasury (-52 bps). Global Central Banks (“GCBs”) matched the Fed’s aggressive monetary policy as COVID-19 related shutdowns weighed on global consumers, businesses and markets.
Prompted by lower interest rates, refinancing activity housing sales and mortgage applications surged in April and beyond, as average 30-year mortgage rates (Freddie Mac Index) fell from 3.78% to 2.81% during the fiscal year5. During the fiscal year, despite the
slowdown in March and April, existing home sales managed a 1.5% increase, while new home sales were robust, increasing 18.5% 6. The Federal Housing Finance Agency Home Purchase Price Index saw robust gains in housing prices with a year-over-year increase of roughly 8.0% versus 5.4% and 6.0% in fiscal years 2019 and 2018, respectively7.
Intermediate-term8 credit spreads9 trended lower through mid-February 202010 then widened significantly until late March 2020.11 We believe investors’ uncertainty over the COVID economic shutdowns drove average intermediate-term option adjusted spreads (“OAS”)12 to 381 bps13 in comparison to comparable maturing Treasury securities in March 2020 from 84 bps at the beginning of the fiscal year.14 By late March, once the Fed announced programs to support credit markets, average intermediate-term OAS declined through the end of the fiscal year as investors weighed potential impacts from the U.S. election and COVID developments.15
2 | Source: BofA Securities, BofA Global Research, November 2, 2020. |
3 | Source: St Louis Federal Reserve Bank, FRED Database. |
4 | A yield curve is constructed by plotting a session’s final yields for various maturities including 1-month, 3-month, 6-month, 1-year, 2-year, 3-year, 5-year, 7-year, 10-year, 20-year and 30-year maturities. |
5 | Source: Bloomberg. Federal Home Loan Mortgage Corp. Primary Mortgage Market Survey. 1 November 2019 through 31 October 2020. |
6 | Source: Bloomberg. National Association of Realtors. Existing Home Sales. 1 November 2019 through 31 October 2020. |
7 | Source: Bloomberg. Federal Housing Finance Agency Home Purchase Price Index. 1 November 2017 through 31 October 2020. |
8 | Intermediate-term bonds typically mature between 5–10 years. |
9 | Credit spread is the difference in yield between one debt security and another debt security with the same maturity but of lesser quality. |
10 | Bloomberg, In this analysis we are making a comparison between the difference of the credit spreads of intermediate-term investment grade corporate bonds using data available as of Jan 2, 2020 – February 15, 2020. |
11 | Bloomberg, In this analysis we are making a comparison between the difference of the credit spreads of intermediate-term investment grade corporate bonds using data available as of February 15, 2020 – March 31, 2020. |
12 | The option-adjusted spread (OAS) is the measurement of the spread of a fixed-income security rate or portfolio and typically the Treasury securities yield (often referred to as the risk-free rate) and that spread is added to the fixed-income security for comparison purposes. |
13 | A unit that is equal to 1/100th of 1% and is used to denote the change in a financial instrument. |
14 | Bloomberg, In this analysis we are making a comparison between the difference of the rate spread of intermediate-term investment grade corporate bond rates and comparable nominal Treasury rates using data available as of November 1, 2019 – October 31, 2020. |
15 | Bloomberg, In this analysis we are making a comparison between the difference of the Option Adjusted Spread of intermediate-term investment grade corporate bonds using data available as of March 31, 2020 – October 31, 2020. |
60 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® | MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE |
Core Select Bond Fund (cont.)
PORTFOLIO ANALYSIS (cont.)
Long-term credit spreads trended lower through mid-February 202016 then widened significantly until late March 2020.17 We believe investors’ uncertainty over the COVID economic shutdowns drove average long-term option adjusted spreads (“OAS”) to 359 bps in comparison to comparable maturing Treasury securities in March 2020 from 159 bps at the beginning of the fiscal year.18 By late March, once the Fed announced programs to support credit markets, average long-term OAS declined through the end of the fiscal year.19
Prompted by lower interest rates, refinancing activity, housing sales and mortgage applications began to surge April 2020, as average 30-year mortgage rates (Freddie Mac Index) fell from 3.78% to 2.81% during the fiscal year20. Despite the slowdown in March and April, existing home sales managed a 1.5% increase during the fiscal year, while new home sales were robust, increasing 18.5% 21. The Federal Housing Finance Agency Home Purchase Price Index saw robust gains in housing prices with a year-over-year increase of roughly 8.0% versus 5.4% and 6.0% in the fiscal years ended October 31, 2019 and October 31, 2018, respectively22.
Early in the fiscal year, the Fund was generally positioned with an underweight to U.S. Treasuries and an overweight to corporate fixed income on expectations for slowing, but still positive, economic growth and corporate earnings. An overweight to mortgage-backed securities (“MBS”) was maintained and increased during the first half of the fiscal year. Both overweight were reduced as the COVID crisis gripped markets between March and May 2020. As markets stabilized during the fiscal third quarter with fiscal and monetary support policies, the overweight to corporate credit was increased based on declining yields and relative value versus Treasuries. The overweight to MBS was re-established, based on relative value measures in the fiscal fourth quarter, as the Fed continued with quantitative easing MBS purchases. Duration23 positioning was generally slightly longer versus its benchmark index during the fiscal year, providing positive contribution to performance. U.S. investment grade-corporate credit spreads widened during the March-May 2020 time period24 detracting from performance. As interest rates continued to decline, contributions from intermediate- and long-term corporate credit exposure drove relative outperformance by the Fund. The Fund outperformed its benchmark, the Bloomberg Barclays U.S. Aggregate Bond Index on a NAV basis during the fiscal year by 0.50%. Manager security selection and an overweight to corporate credits and MBS provided the majority of excess returns.
16 | Bloomberg, In this analysis we are making a comparison between the difference of the credit spreads of long-term investment grade corporate bonds using data available as of Jan 2, 2020 – February 15, 2020. |
17 | Bloomberg, In this analysis we are making a comparison between the difference of the credit spreads of long-term investment grade corporate bonds using data available as of February 15, 2020 – March 31, 2020. |
18 | Bloomberg, In this analysis we are making a comparison between the difference of the rate spread of long-term investment grade corporate bond rates and comparable nominal Treasury rates using data available as of November 1, 2019 – October 31, 2020. |
19 | Bloomberg, In this analysis we are making a comparison between the difference of the Option Adjusted Spread of long-term investment grade corporate bonds using data available as of March 31, 2020 – October 31, 2020. |
20 | Source: Bloomberg. Federal Home Loan Mortgage Corp. Primary Mortgage Market Survey. 1 November 2019 through 31 October 2020. |
21 | Source: Bloomberg. National Association of Realtors. Existing Home Sales. 1 November 2019 through 31 October 2020. |
22 | Source: Bloomberg. Federal Housing Finance Agency Home Purchase Price Index. 1 November 2017 through 31 October 2020. |
23 | Duration is how sensitive a fixed income investment is to a change in interest rates and is expressed as a number of years – the higher the number the more volatile would be the expected change. |
24 | Bloomberg, In this analysis we are making a comparison between the difference of the credit spreads of intermediate-term and long-term investment grade corporate bonds using data available as of March 1, 2020 – May 30, 2020. |
FLEXSHARES ANNUAL REPORT | 61 |
Table of Contents
Statements of Assets and Liabilities October 31, 2020
FlexShares® US Quality Low Volatility Index Fund | FlexShares® Developed Markets ex-US Quality Low Volatility Index Fund | FlexShares® Emerging Markets Quality Low Volatility Index Fund | FlexShares® Morningstar US Market Factor Tilt Index Fund | |||||||||||||
ASSETS | ||||||||||||||||
Securities, at cost | $ | 108,842,706 | $ | 66,306,967 | $ | 9,121,930 | $ | 816,863,286 | ||||||||
Affiliate securities, at cost | — | — | — | 536,941 | ||||||||||||
Securities Lending Reinvestments, at cost | — | — | — | 102,633,482 | ||||||||||||
|
| |||||||||||||||
Securities, at value† | 110,206,457 | 65,001,076 | 9,461,475 | 1,163,556,355 | ||||||||||||
Affiliate securities, at value | — | — | — | 577,006 | ||||||||||||
Securities Lending Reinvestments, at value | — | — | — | 102,635,685 | ||||||||||||
Cash | 883,746 | 354,605 | 89,720 | 8,783,893 | ||||||||||||
Cash segregated at broker* | 2,285 | 94,447 | 27,235 | 1,143,018 | ||||||||||||
Foreign cash†† | — | 118,869 | 17,628 | — | ||||||||||||
Restricted cash** | — | — | 319,326 | — | ||||||||||||
Due from Authorized Participant | — | — | — | — | ||||||||||||
Unrealized appreciation on forward foreign currency contracts | — | 6,717 | — | — | ||||||||||||
Receivables: | ||||||||||||||||
Dividends and interest | 109,274 | 235,157 | 5,858 | 1,086,826 | ||||||||||||
Securities lending income | — | — | — | 35,280 | ||||||||||||
Capital shares issued | — | — | — | — | ||||||||||||
Investment adviser | 507 | 333 | 24 | 5,372 | ||||||||||||
Securities sold | 81,375 | — | — | 234,999 | ||||||||||||
Variation margin on futures contracts | — | — | 1,720 | — | ||||||||||||
|
| |||||||||||||||
Total Assets | 111,283,644 | 65,811,204 | 9,922,986 | 1,278,058,434 | ||||||||||||
|
| |||||||||||||||
LIABILITIES | ||||||||||||||||
Unrealized depreciation on forward foreign currency contracts | — | 4,996 | — | — | ||||||||||||
Payables: | ||||||||||||||||
Cash collateral received from securities loaned | — | — | — | 102,633,369 | ||||||||||||
Deferred compensation (Note 7) | 1,241 | 745 | 110 | 101,197 | ||||||||||||
Investment advisory fees (Note 4) | 21,144 | 18,596 | 2,716 | 260,477 | ||||||||||||
Trustee fees (Note 7) | 1,303 | 829 | 88 | 14,538 | ||||||||||||
Securities purchased | 727,223 | — | — | — | ||||||||||||
Deferred non-US capital gains taxes | — | — | 22,436 | — | ||||||||||||
Due to Authorized Participant | — | — | 319,326 | 4,785 | ||||||||||||
Variation margin on futures contracts | 6,045 | 32,284 | — | 236,639 | ||||||||||||
Capital shares redeemed | — | — | — | — | ||||||||||||
Other | 3,150 | 6,750 | — | 21,000 | ||||||||||||
|
| |||||||||||||||
Total Liabilities | 760,106 | 64,200 | 344,676 | 103,272,005 | ||||||||||||
|
| |||||||||||||||
Net Assets | $ | 110,523,538 | $ | 65,747,004 | $ | 9,578,310 | $ | 1,174,786,429 | ||||||||
|
| |||||||||||||||
NET ASSETS CONSIST OF: | ||||||||||||||||
Paid-in capital | $ | 109,853,715 | $ | 68,603,430 | $ | 9,893,976 | $ | 904,949,119 | ||||||||
Distributable earnings (loss) | 669,823 | (2,856,426 | ) | (315,666 | ) | 269,837,310 | ||||||||||
|
| |||||||||||||||
Net Assets | $ | 110,523,538 | $ | 65,747,004 | $ | 9,578,310 | $ | 1,174,786,429 | ||||||||
|
| |||||||||||||||
Shares Outstanding (unlimited number of shares authorized $ 0.0001 par value) | 2,700,001 | 2,800,001 | 400,001 | 9,700,001 | ||||||||||||
Net Asset Value | $ | 40.93 | $ | 23.48 | $ | 23.95 | $ | 121.11 | ||||||||
† Securities on loan, at value | $ | — | $ | — | $ | — | $ | 133,116,681 | ||||||||
†† Cost of foreign cash | $ | — | $ | 118,290 | $ | 17,690 | $ | — |
* | Includes cash pledged by the Fund to cover margin requirements for open futures contracts as of 10/31. |
** | Includes cash pledged by an Authorized Participant for missing deposit securities required to secure Creation Units. |
See Accompanying Notes to the Financial Statements.
62 | FLEXSHARES ANNUAL REPORT |
Table of Contents
Statements of Assets and Liabilities (cont.)
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund | FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund | FlexShares® Currency Hedged Morningstar DM ex-US Factor Tilt Index Fund | FlexShares® Currency Hedged Morningstar EM Factor Tilt Index Fund | |||||||||||||
ASSETS | ||||||||||||||||
Securities, at cost | $ | 506,659,780 | $ | 196,134,712 | $ | — | $ | — | ||||||||
Affiliate securities, at cost | — | — | 7,296,293 | 3,834,940 | ||||||||||||
Securities Lending Reinvestments, at cost | 5,133,487 | 1,750,628 | — | — | ||||||||||||
|
| |||||||||||||||
Securities, at value† | 489,434,922 | 222,760,850 | — | — | ||||||||||||
Affiliate securities, at value | — | — | 6,119,717 | 3,331,202 | ||||||||||||
Securities Lending Reinvestments, at value | 5,133,487 | 1,750,628 | — | — | ||||||||||||
Cash | 2,941,156 | 1,861,173 | 1,225 | 40,932 | ||||||||||||
Cash segregated at broker* | 1,675,567 | 320,760 | — | 23,614 | ||||||||||||
Foreign cash†† | 2,261,606 | 1,001,578 | — | — | ||||||||||||
Restricted cash** | — | — | — | — | ||||||||||||
Due from Authorized Participant | — | — | — | — | ||||||||||||
Unrealized appreciation on forward foreign currency contracts | 80,939 | 28,633 | 24,874 | 12,710 | ||||||||||||
Receivables: | ||||||||||||||||
Dividends and interest | 3,655,422 | 206,122 | — | — | ||||||||||||
Securities lending income | 31,941 | 11,303 | — | — | ||||||||||||
Capital shares issued | — | — | — | — | ||||||||||||
Investment adviser | 3,540 | 1,196 | 11 | 6 | ||||||||||||
Securities sold | 716 | — | — | — | ||||||||||||
Variation margin on futures contracts | — | — | — | 620 | ||||||||||||
|
| |||||||||||||||
Total Assets | 505,219,296 | 227,942,243 | 6,145,827 | 3,409,084 | ||||||||||||
|
| |||||||||||||||
LIABILITIES | ||||||||||||||||
Unrealized depreciation on forward foreign currency contracts | 141,140 | 16,417 | 15,404 | 7,969 | ||||||||||||
Payables: | ||||||||||||||||
Cash collateral received from securities loaned | 5,133,487 | 1,750,628 | — | — | ||||||||||||
Deferred compensation (Note 7) | 67,939 | 34,413 | 685 | 1,477 | ||||||||||||
Investment advisory fees (Note 4) | 175,825 | 115,013 | 343 | 233 | ||||||||||||
Trustee fees (Note 7) | 7,164 | 2,914 | 79 | 43 | ||||||||||||
Securities purchased | 11,722 | 173,122 | — | — | ||||||||||||
Deferred non-US capital gains taxes | — | — | — | — | ||||||||||||
Due to Authorized Participant | — | — | — | — | ||||||||||||
Variation margin on futures contracts | 586,423 | 2,934 | — | — | ||||||||||||
Capital shares redeemed | — | — | — | — | ||||||||||||
Other | 80,000 | — | — | — | ||||||||||||
|
| |||||||||||||||
Total Liabilities | 6,203,700 | 2,095,441 | 16,511 | 9,722 | ||||||||||||
|
| |||||||||||||||
Net Assets | $ | 499,015,596 | $ | 225,846,802 | $ | 6,129,316 | $ | 3,399,362 | ||||||||
|
| |||||||||||||||
NET ASSETS CONSIST OF: | ||||||||||||||||
Paid-in capital | $ | 635,686,899 | $ | 280,452,112 | $ | 8,289,199 | $ | 5,569,951 | ||||||||
Distributable earnings (loss) | (136,671,303 | ) | (54,605,310 | ) | (2,159,883 | ) | (2,170,589 | ) | ||||||||
|
| |||||||||||||||
Net Assets | $ | 499,015,596 | $ | 225,846,802 | $ | 6,129,316 | $ | 3,399,362 | ||||||||
|
| |||||||||||||||
Shares Outstanding (unlimited number of shares authorized $ 0.0001 par value) | 9,200,001 | 4,700,001 | 250,001 | 125,001 | ||||||||||||
Net Asset Value | $ | 54.24 | $ | 48.05 | $ | 24.52 | $ | 27.19 | ||||||||
† Securities on loan, at value | $ | 44,229,345 | $ | 8,317,509 | $ | — | $ | — | ||||||||
†† Cost of foreign cash | $ | 2,251,493 | $ | 991,977 | $ | — | $ | — |
* | Includes cash pledged by the Fund to cover margin requirements for open futures contracts as of 10/31. |
** | Includes cash pledged by an Authorized Participant for missing deposit securities required to secure Creation Units. |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 63 |
Table of Contents
Statements of Assets and Liabilities (cont.)
FlexShares® US Quality Large Cap Index Fund | FlexShares® STOXX® US ESG Impact Index Fund | FlexShares® STOXX® Global ESG Impact Index Fund | FlexShares® Morningstar Global Upstream Natural Resources Index Fund | |||||||||||||
ASSETS | ||||||||||||||||
Securities, at cost | $ | 65,852,244 | $ | 72,567,842 | $ | 93,167,922 | $ | 3,189,005,299 | ||||||||
Affiliate securities, at cost | — | — | — | — | ||||||||||||
Securities Lending Reinvestments, at cost | — | 41,799 | 204,571 | 115,620,849 | ||||||||||||
|
| |||||||||||||||
Securities, at value† | 71,063,888 | 88,086,104 | 110,029,500 | 2,899,179,362 | ||||||||||||
Affiliate securities, at value | — | — | — | — | ||||||||||||
Securities Lending Reinvestments, at value | — | 41,799 | 204,571 | 115,621,889 | ||||||||||||
Cash | 661,993 | 737,883 | 247,361 | 10,385,869 | ||||||||||||
Cash segregated at broker* | 66,896 | 148,706 | 224,516 | 3,145,835 | ||||||||||||
Foreign cash†† | — | — | 672,141 | 10,115,896 | ||||||||||||
Restricted cash** | — | — | — | — | ||||||||||||
Due from Authorized Participant | — | — | — | — | ||||||||||||
Unrealized appreciation on forward foreign currency contracts | — | — | 3,761 | 466,912 | ||||||||||||
Receivables: | ||||||||||||||||
Dividends and interest | 90,932 | 128,342 | 248,008 | 4,293,505 | ||||||||||||
Securities lending income | 446 | 378 | 525 | 39,829 | ||||||||||||
Capital shares issued | — | — | — | — | ||||||||||||
Investment adviser | 257 | 357 | 516 | 17,295 | ||||||||||||
Securities sold | — | — | — | — | ||||||||||||
Variation margin on futures contracts | — | — | — | — | ||||||||||||
|
| |||||||||||||||
Total Assets | 71,884,412 | 89,143,569 | 111,630,899 | 3,043,266,392 | ||||||||||||
|
| |||||||||||||||
LIABILITIES | ||||||||||||||||
Unrealized depreciation on forward foreign currency contracts | — | — | 630 | 391,266 | ||||||||||||
Payables: | ||||||||||||||||
Cash collateral received from securities loaned | — | 41,799 | 204,571 | 115,620,769 | ||||||||||||
Deferred compensation (Note 7) | 2,662 | 2,060 | 3,461 | 383,206 | ||||||||||||
Investment advisory fees (Note 4) | 20,132 | 24,888 | 41,581 | 1,194,272 | ||||||||||||
Trustee fees (Note 7) | 846 | 1,059 | 1,409 | 40,487 | ||||||||||||
Securities purchased | — | — | — | — | ||||||||||||
Deferred non-US capital gains taxes | — | — | — | — | ||||||||||||
Due to Authorized Participant | — | — | — | — | ||||||||||||
Variation margin on futures contracts | 15,332 | 20,792 | 48,455 | 889,584 | ||||||||||||
Capital shares redeemed | — | — | — | — | ||||||||||||
Other | 3,000 | 1,400 | 7,500 | 21,000 | ||||||||||||
|
| |||||||||||||||
Total Liabilities | 41,972 | 91,998 | 307,607 | 118,540,584 | ||||||||||||
|
| |||||||||||||||
Net Assets | $ | 71,842,440 | $ | 89,051,571 | $ | 111,323,292 | $ | 2,924,725,808 | ||||||||
|
| |||||||||||||||
NET ASSETS CONSIST OF: | ||||||||||||||||
Paid-in capital | $ | 70,029,939 | $ | 76,892,689 | $ | 99,629,150 | $ | 4,210,684,146 | ||||||||
Distributable earnings (loss) | 1,812,501 | 12,158,882 | 11,694,142 | (1,285,958,338 | ) | |||||||||||
|
| |||||||||||||||
Net Assets | $ | 71,842,440 | $ | 89,051,571 | $ | 111,323,292 | $ | 2,924,725,808 | ||||||||
|
| |||||||||||||||
Shares Outstanding (unlimited number of shares authorized $ 0.0001 par value) | 2,025,001 | 1,125,001 | 1,050,001 | 109,500,001 | ||||||||||||
Net Asset Value | $ | 35.48 | $ | 79.16 | $ | 106.02 | $ | 26.71 | ||||||||
† Securities on loan, at value | $ | 4,003,994 | $ | 3,686,774 | $ | 1,303,262 | $ | 169,515,214 | ||||||||
†† Cost of foreign cash | $ | — | $ | — | $ | 673,553 | $ | 10,204,617 |
* | Includes cash pledged by the Fund to cover margin requirements for open futures contracts as of 10/31. |
** | Includes cash pledged by an Authorized Participant for missing deposit securities required to secure Creation Units. |
See Accompanying Notes to the Financial Statements.
64 | FLEXSHARES ANNUAL REPORT |
Table of Contents
Statements of Assets and Liabilities (cont.)
FlexShares® STOXX® Global Broad Infrastructure Index Fund | FlexShares® Global Quality Real Estate Index Fund | FlexShares® Real Assets Allocation Index Fund | FlexShares® Quality Dividend Index Fund | |||||||||||||
ASSETS | ||||||||||||||||
Securities, at cost | $ | 1,763,040,875 | $ | 279,640,292 | $ | – | $ | 1,138,758,079 | ||||||||
Affiliate securities, at cost | — | — | 4,892,161 | — | ||||||||||||
Securities Lending Reinvestments, at cost | 7,466,835 | 2,552,626 | — | 66,619,981 | ||||||||||||
|
| |||||||||||||||
Securities, at value† | 1,838,425,278 | 261,480,423 | — | 1,260,093,412 | ||||||||||||
Affiliate securities, at value | — | — | 4,502,232 | — | ||||||||||||
Securities Lending Reinvestments, at value | 7,466,835 | 2,552,626 | — | 66,621,373 | ||||||||||||
Cash | 4,744,283 | 1,508,969 | 2,097 | 3,454,215 | ||||||||||||
Cash segregated at broker* | 2,445,675 | 474,864 | — | 514,770 | ||||||||||||
Foreign cash†† | 7,498,150 | 819,904 | — | — | ||||||||||||
Restricted cash** | 44,031 | — | — | — | ||||||||||||
Due from Authorized Participant | 10,772 | — | — | — | ||||||||||||
Unrealized appreciation on forward foreign currency contracts | 32,311 | 5,451 | — | — | ||||||||||||
Receivables: | ||||||||||||||||
Dividends and interest | 4,732,380 | 459,170 | — | 1,709,107 | ||||||||||||
Securities lending income | 23,726 | 2,505 | — | 8,205 | ||||||||||||
Capital shares issued | 4,809,645 | — | — | — | ||||||||||||
Investment adviser | 9,687 | 1,256 | — | 5,791 | ||||||||||||
Securities sold | 648,506 | — | 878,844 | 113,860 | ||||||||||||
Variation margin on futures contracts | — | — | — | — | ||||||||||||
|
| |||||||||||||||
Total Assets | 1,870,891,279 | 267,305,168 | 5,383,173 | 1,332,520,733 | ||||||||||||
|
| |||||||||||||||
LIABILITIES | ||||||||||||||||
Unrealized depreciation on forward foreign currency contracts | 58,686 | 6,069 | — | — | ||||||||||||
Payables: | ||||||||||||||||
Cash collateral received from securities loaned | 7,466,835 | 2,552,626 | — | 66,619,988 | ||||||||||||
Deferred compensation (Note 7) | 75,727 | 18,429 | 446 | 120,104 | ||||||||||||
Investment advisory fees (Note 4) | 765,905 | 106,519 | 526 | 417,974 | ||||||||||||
Trustee fees (Note 7) | 23,397 | 3,490 | 47 | 16,303 | ||||||||||||
Securities purchased | 4,751,101 | — | 880,425 | — | ||||||||||||
Deferred non-US capital gains taxes | 309,149 | — | — | — | ||||||||||||
Due to Authorized Participant | 44,031 | — | — | — | ||||||||||||
Variation margin on futures contracts | 774,271 | 31,670 | — | 159,209 | ||||||||||||
Capital shares redeemed | — | — | — | — | ||||||||||||
Other | 26,000 | 12,000 | — | 10,550 | ||||||||||||
|
| |||||||||||||||
Total Liabilities | 14,295,102 | 2,730,803 | 881,444 | 67,344,128 | ||||||||||||
|
| |||||||||||||||
Net Assets | $ | 1,856,596,177 | $ | 264,574,365 | $ | 4,501,729 | $ | 1,265,176,605 | ||||||||
|
| |||||||||||||||
NET ASSETS CONSIST OF: | ||||||||||||||||
Paid-in capital | $ | 1,892,757,299 | $ | 315,827,668 | $ | 5,124,553 | $ | 1,150,126,226 | ||||||||
Distributable earnings (loss) | (36,161,122 | ) | (51,253,303 | ) | (622,824 | ) | 115,050,379 | |||||||||
|
| |||||||||||||||
Net Assets | $ | 1,856,596,177 | $ | 264,574,365 | $ | 4,501,729 | $ | 1,265,176,605 | ||||||||
|
| |||||||||||||||
Shares Outstanding (unlimited number of shares authorized $ 0.0001 par value) | 38,600,001 | 5,200,001 | 175,001 | 29,150,001 | ||||||||||||
Net Asset Value | $ | 48.10 | $ | 50.88 | $ | 25.72 | $ | 43.40 | ||||||||
† Securities on loan, at value | $ | 92,519,364 | $ | 13,427,825 | $ | — | $ | 78,388,967 | ||||||||
†† Cost of foreign cash | $ | 7,396,878 | $ | 818,056 | $ | — | $ | — |
* | Includes cash pledged by the Fund to cover margin requirements for open futures contracts as of 10/31. |
** | Includes cash pledged by an Authorized Participant for missing deposit securities required to secure Creation Units. |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 65 |
Table of Contents
Statements of Assets and Liabilities (cont.)
FlexShares® Quality Dividend Defensive Index Fund | FlexShares® Quality Dividend Dynamic Index Fund | FlexShares® International Quality Dividend Index Fund | FlexShares® International Quality Dividend Defensive Index Fund | |||||||||||||
ASSETS | ||||||||||||||||
Securities, at cost | $ | 375,996,148 | $ | 11,940,711 | $ | 452,696,837 | $ | 58,870,836 | ||||||||
Affiliate securities, at cost | — | — | — | — | ||||||||||||
Securities Lending Reinvestments, at cost | 8,102,111 | 77,040 | 121,447 | 108,136 | ||||||||||||
|
| |||||||||||||||
Securities, at value† | 409,511,135 | 13,089,045 | 441,232,391 | 58,308,553 | ||||||||||||
Affiliate securities, at value | — | — | — | — | ||||||||||||
Securities Lending Reinvestments, at value | 8,102,111 | 77,040 | 121,447 | 108,136 | ||||||||||||
Cash | 1,108,931 | 31,131 | 3,919,449 | 239,851 | ||||||||||||
Cash segregated at broker* | 160,422 | 43,585 | 1,968,061 | 208,889 | ||||||||||||
Foreign cash†† | — | — | 4,622,772 | 411,349 | ||||||||||||
Restricted cash** | — | — | — | — | ||||||||||||
Due from Authorized Participant | — | — | — | — | ||||||||||||
Unrealized appreciation on forward foreign currency contracts | — | — | 290,451 | 9,675 | ||||||||||||
Receivables: | ||||||||||||||||
Dividends and interest | 617,088 | 26,225 | 2,557,394 | 327,755 | ||||||||||||
Securities lending income | 2,439 | 87 | 5,713 | 1,396 | ||||||||||||
Capital shares issued | — | — | — | — | ||||||||||||
Investment adviser | 1,917 | 45 | 2,597 | 292 | ||||||||||||
Securities sold | 2,120,991 | 1,679 | — | — | ||||||||||||
Variation margin on futures contracts | — | — | — | — | ||||||||||||
|
| |||||||||||||||
Total Assets | 421,625,034 | 13,268,837 | 454,720,275 | 59,615,896 | ||||||||||||
|
| |||||||||||||||
LIABILITIES | ||||||||||||||||
Unrealized depreciation on forward foreign currency contracts | — | — | 255,646 | 8,594 | ||||||||||||
Payables: | ||||||||||||||||
Cash collateral received from securities loaned | 8,102,111 | 77,040 | 121,447 | 108,136 | ||||||||||||
Deferred compensation (Note 7) | 25,408 | 5,384 | 52,077 | 7,123 | ||||||||||||
Investment advisory fees (Note 4) | 137,149 | 4,319 | 187,522 | 24,525 | ||||||||||||
Trustee fees (Note 7) | 5,365 | 175 | 5,982 | 766 | ||||||||||||
Securities purchased | — | — | — | — | ||||||||||||
Deferred non-US capital gains taxes | — | — | — | — | ||||||||||||
Due to Authorized Participant | — | — | — | — | ||||||||||||
Variation margin on futures contracts | 46,807 | — | 606,020 | 58,018 | ||||||||||||
Capital shares redeemed | 2,130,450 | — | — | — | ||||||||||||
Other | 4,950 | 1,100 | 15,000 | 5,000 | ||||||||||||
|
| |||||||||||||||
Total Liabilities | 10,452,240 | 88,018 | 1,243,694 | 212,162 | ||||||||||||
|
| |||||||||||||||
Net Assets | $ | 411,172,794 | $ | 13,180,819 | $ | 453,476,581 | $ | 59,403,734 | ||||||||
|
| |||||||||||||||
NET ASSETS CONSIST OF: | ||||||||||||||||
Paid-in capital | $ | 396,558,590 | $ | 13,365,018 | $ | 655,303,562 | $ | 88,731,031 | ||||||||
Distributable earnings (loss) | 14,614,204 | (184,199 | ) | (201,826,981 | ) | (29,327,297 | ) | |||||||||
|
| |||||||||||||||
Net Assets | $ | 411,172,794 | $ | 13,180,819 | $ | 453,476,581 | $ | 59,403,734 | ||||||||
|
| |||||||||||||||
Shares Outstanding (unlimited number of shares authorized $ 0.0001 par value) | 9,650,001 | 300,001 | 22,500,001 | 3,100,001 | ||||||||||||
Net Asset Value | $ | 42.61 | $ | 43.94 | $ | 20.15 | $ | 19.16 | ||||||||
† Securities on loan, at value | $ | 27,769,586 | $ | 972,749 | $ | 16,663,333 | $ | 2,646,645 | ||||||||
†† Cost of foreign cash | $ | — | $ | — | $ | 4,666,244 | $ | 408,552 |
* | Includes cash pledged by the Fund to cover margin requirements for open futures contracts as of 10/31. |
** | Includes cash pledged by an Authorized Participant for missing deposit securities required to secure Creation Units. |
See Accompanying Notes to the Financial Statements.
66 | FLEXSHARES ANNUAL REPORT |
Table of Contents
Statements of Assets and Liabilities (cont.)
FlexShares® International Quality Dividend Dynamic Index Fund | FlexShares® iBoxx 3-Year Target Duration TIPS Index Fund | FlexShares® iBoxx 5-Year Target Duration TIPS Index Fund | FlexShares® Disciplined Duration MBS Index Fund | |||||||||||||
ASSETS | ||||||||||||||||
Securities, at cost | $ | 22,839,281 | $ | 1,372,986,967 | $ | 557,783,123 | $ | 97,207,814 | ||||||||
Affiliate securities, at cost | — | — | — | — | ||||||||||||
Securities Lending Reinvestments, at cost | 33,903 | — | — | — | ||||||||||||
|
| |||||||||||||||
Securities, at value† | 21,972,511 | 1,427,232,294 | 595,127,791 | 99,462,691 | ||||||||||||
Affiliate securities, at value | — | — | — | — | ||||||||||||
Securities Lending Reinvestments, at value | 33,903 | — | — | — | ||||||||||||
Cash | 95,768 | 797,034 | 838,828 | 9,803,172 | ||||||||||||
Cash segregated at broker* | 57,302 | — | — | — | ||||||||||||
Foreign cash†† | 89,959 | — | — | — | ||||||||||||
Restricted cash** | — | — | — | — | ||||||||||||
Due from Authorized Participant | — | — | — | — | ||||||||||||
Unrealized appreciation on forward foreign currency contracts | 2,369 | — | — | — | ||||||||||||
Receivables: | ||||||||||||||||
Dividends and interest | 192,043 | 1,881,388 | 911,291 | 281,079 | ||||||||||||
Securities lending income | 511 | 142 | 2,187 | — | ||||||||||||
Capital shares issued | — | — | — | — | ||||||||||||
Investment adviser | 111 | 5,959 | 2,671 | 313 | ||||||||||||
Securities sold | — | 111,646,532 | 38,325,048 | 2,166,412 | ||||||||||||
Variation margin on futures contracts | — | — | — | — | ||||||||||||
|
| |||||||||||||||
Total Assets | 22,444,477 | 1,541,563,349 | 635,207,816 | 111,713,667 | ||||||||||||
|
| |||||||||||||||
LIABILITIES | ||||||||||||||||
Unrealized depreciation on forward foreign currency contracts | 2,177 | — | — | — | ||||||||||||
Payables: | ||||||||||||||||
Cash collateral received from securities loaned | 33,903 | — | — | — | ||||||||||||
Deferred compensation (Note 7) | 4,021 | 204,354 | 70,059 | 3,460 | ||||||||||||
Investment advisory fees (Note 4) | 9,312 | 218,407 | 90,548 | 16,787 | ||||||||||||
Trustee fees (Note 7) | 267 | 17,033 | 7,097 | 1,069 | ||||||||||||
Securities purchased | — | 111,632,948 | 38,944,902 | 11,667,066 | ||||||||||||
Deferred non-US capital gains taxes | — | — | — | — | ||||||||||||
Due to Authorized Participant | — | — | — | — | ||||||||||||
Variation margin on futures contracts | 13,475 | — | — | — | ||||||||||||
Capital shares redeemed | — | — | — | — | ||||||||||||
Other | 5,000 | — | — | 4,800 | ||||||||||||
|
| |||||||||||||||
Total Liabilities | 68,155 | 112,072,742 | 39,112,606 | 11,693,182 | ||||||||||||
|
| |||||||||||||||
Net Assets | $ | 22,376,322 | $ | 1,429,490,607 | $ | 596,095,210 | $ | 100,020,485 | ||||||||
|
| |||||||||||||||
NET ASSETS CONSIST OF: | ||||||||||||||||
Paid-in capital | $ | 38,497,548 | $ | 1,426,928,447 | $ | 567,656,433 | $ | 100,787,000 | ||||||||
Distributable earnings (loss) | (16,121,226 | ) | 2,562,160 | 28,438,777 | (766,515 | ) | ||||||||||
|
| |||||||||||||||
Net Assets | $ | 22,376,322 | $ | 1,429,490,607 | $ | 596,095,210 | $ | 100,020,485 | ||||||||
|
| |||||||||||||||
Shares Outstanding (unlimited number of shares authorized $ 0.0001 par value) | 1,000,001 | 55,554,000 | 21,800,001 | 4,150,001 | ||||||||||||
Net Asset Value | $ | 22.38 | $ | 25.73 | $ | 27.34 | $ | 24.10 | ||||||||
† Securities on loan, at value | $ | 842,167 | $ | 1,983,669 | $ | 48,099,575 | $ | — | ||||||||
†† Cost of foreign cash | $ | 90,909 | $ | — | $ | — | $ | — |
* | Includes cash pledged by the Fund to cover margin requirements for open futures contracts as of 10/31. |
** | Includes cash pledged by an Authorized Participant for missing deposit securities required to secure Creation Units. |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 67 |
Table of Contents
Statements of Assets and Liabilities (cont.)
FlexShares® Credit-Scored US Corporate Bond Index Fund | FlexShares® Credit-Scored US Long Corporate Bond Index Fund | FlexShares® High Yield Value- Scored Bond Index Fund | FlexShares® Ready Access Variable Income Fund | |||||||||||||
ASSETS | ||||||||||||||||
Securities, at cost | $ | 192,605,363 | $ | 43,999,329 | $ | 186,120,080 | $ | 464,078,756 | ||||||||
Affiliate securities, at cost | — | — | — | — | ||||||||||||
Securities Lending Reinvestments, at cost | — | — | — | — | ||||||||||||
|
| |||||||||||||||
Securities, at value† | 200,083,895 | 45,871,567 | 184,334,463 | 467,087,571 | ||||||||||||
Affiliate securities, at value | — | — | — | — | ||||||||||||
Securities Lending Reinvestments, at value | — | — | — | — | ||||||||||||
Cash | 1,228,990 | 807,716 | 2,398,536 | 993,685 | ||||||||||||
Cash segregated at broker* | — | — | — | — | ||||||||||||
Foreign cash†† | — | — | — | — | ||||||||||||
Restricted cash** | — | — | — | — | ||||||||||||
Due from Authorized Participant | — | — | — | — | ||||||||||||
Unrealized appreciation on forward foreign currency contracts | — | — | — | — | ||||||||||||
Receivables: | ||||||||||||||||
Dividends and interest | 1,625,653 | 469,173 | 3,344,248 | 1,835,567 | ||||||||||||
Securities lending income | — | — | — | — | ||||||||||||
Capital shares issued | — | — | — | — | ||||||||||||
Investment adviser | 740 | 171 | 816 | 1,883 | ||||||||||||
Securities sold | 7,510,288 | 3,557,204 | 14,002,202 | 8,932 | ||||||||||||
Variation margin on futures contracts | — | — | — | — | ||||||||||||
|
| |||||||||||||||
Total Assets | 210,449,566 | 50,705,831 | 204,080,265 | 469,927,638 | ||||||||||||
|
| |||||||||||||||
LIABILITIES | ||||||||||||||||
Unrealized depreciation on forward foreign currency contracts | — | — | — | — | ||||||||||||
Payables: | ||||||||||||||||
Cash collateral received from securities loaned | — | — | — | — | ||||||||||||
Deferred compensation (Note 7) | 5,110 | 1,560 | 2,868 | 16,388 | ||||||||||||
Investment advisory fees (Note 4) | 37,351 | 8,695 | 59,356 | 98,842 | ||||||||||||
Trustee fees (Note 7) | 2,248 | 556 | 2,256 | 5,356 | ||||||||||||
Securities purchased | 8,003,448 | 4,334,109 | 14,389,850 | 602,093 | ||||||||||||
Deferred non-US capital gains taxes | — | — | — | — | ||||||||||||
Due to Authorized Participant | — | — | — | — | ||||||||||||
Variation margin on futures contracts | — | — | — | — | ||||||||||||
Capital shares redeemed | — | — | — | — | ||||||||||||
Other | 4,000 | 500 | 3,000 | 3,675 | ||||||||||||
|
| |||||||||||||||
Total Liabilities | 8,052,157 | 4,345,420 | 14,457,330 | 726,354 | ||||||||||||
|
| |||||||||||||||
Net Assets | $ | 202,397,409 | $ | 46,360,411 | $ | 189,622,935 | $ | 469,201,284 | ||||||||
|
| |||||||||||||||
NET ASSETS CONSIST OF: | ||||||||||||||||
Paid-in capital | $ | 191,673,608 | $ | 42,607,319 | $ | 195,211,607 | $ | 465,811,932 | ||||||||
Distributable earnings (loss) | 10,723,801 | 3,753,092 | (5,588,672 | ) | 3,389,352 | |||||||||||
|
| |||||||||||||||
Net Assets | $ | 202,397,409 | $ | 46,360,411 | $ | 189,622,935 | $ | 469,201,284 | ||||||||
|
| |||||||||||||||
Shares Outstanding (unlimited number of shares authorized $ 0.0001 par value) | 3,700,001 | 750,001 | 4,100,001 | 6,150,001 | ||||||||||||
Net Asset Value | $ | 54.70 | $ | 61.81 | $ | 46.25 | $ | 76.29 | ||||||||
† Securities on loan, at value | $ | — | $ | — | $ | — | $ | — | ||||||||
†† Cost of foreign cash | $ | — | $ | — | $ | — | $ | — |
* | Includes cash pledged by the Fund to cover margin requirements for open futures contracts as of 10/31. |
** | Includes cash pledged by an Authorized Participant for missing deposit securities required to secure Creation Units. |
See Accompanying Notes to the Financial Statements.
68 | FLEXSHARES ANNUAL REPORT |
Table of Contents
Statements of Assets and Liabilities (cont.)
FlexShares® Core Select Bond Fund | ||||
ASSETS | ||||
Securities, at cost | $ | 29,545,011 | ||
Affiliate securities, at cost | 77,182,180 | |||
Securities Lending Reinvestments, at cost | — | |||
|
| |||
Securities, at value† | 30,311,162 | |||
Affiliate securities, at value | 78,670,692 | |||
Securities Lending Reinvestments, at value | — | |||
Cash | 160,339 | |||
Cash segregated at broker* | — | |||
Foreign cash†† | — | |||
Restricted cash** | — | |||
Due from Authorized Participant | — | |||
Unrealized appreciation on forward foreign currency contracts | — | |||
Receivables: | ||||
Dividends and interest | — | |||
Securities lending income | — | �� | ||
Capital shares issued | — | |||
Investment adviser | 421 | |||
Securities sold | — | |||
Variation margin on futures contracts | — | |||
|
| |||
Total Assets | 109,142,614 | |||
|
| |||
LIABILITIES |
| |||
Unrealized depreciation on forward foreign currency contracts | — | |||
Payables: | ||||
Cash collateral received from securities loaned | — | |||
Deferred compensation (Note 7) | 2,090 | |||
Investment advisory fees (Note 4) | 15,987 | |||
Trustee fees (Note 7) | 1,231 | |||
Securities purchased | — | |||
Deferred non-US capital gains taxes | — | |||
Due to Authorized Participant | — | |||
Variation margin on futures contracts | — | |||
Capital shares redeemed | — | |||
Other | — | |||
|
| |||
Total Liabilities | 19,308 | |||
|
| |||
Net Assets | $ | 109,123,306 | ||
|
| |||
NET ASSETS CONSIST OF: |
| |||
Paid-in capital | $ | 106,534,756 | ||
Distributable earnings (loss) | 2,588,550 | |||
|
| |||
Net Assets | $ | 109,123,306 | ||
|
| |||
Shares Outstanding (unlimited number of shares authorized $ 0.0001 par value) | 4,075,001 | |||
Net Asset Value | $ | 26.78 | ||
† Securities on loan, at value | $ | — | ||
†† Cost of foreign cash | $ | — |
* | Includes cash pledged by the Fund to cover margin requirements for open futures contracts as of 10/31. |
** | Includes cash pledged by an Authorized Participant for missing deposit securities required to secure Creation Units. |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 69 |
Table of Contents
Statements of Operations
For the year ended October 31, 2020
FlexShares® US Quality Low Volatility Index Fund | FlexShares® Developed Markets ex-US Quality Low Volatility Index Fund | FlexShares® Emerging Markets Quality Low Volatility Index Fund | FlexShares® Morningstar US Market Factor Tilt Index Fund | |||||||||||||
INVESTMENT INCOME |
| |||||||||||||||
Dividend income | $ | 939,464 | $ | 1,288,708 | $ | 203,608 | $ | 26,157,708 | ||||||||
Income from non-cash dividends | — | — | — | — | ||||||||||||
Dividend income received from affiliate | — | — | — | 20,862 | ||||||||||||
Interest income | 34 | — | — | — | ||||||||||||
Securities lending income (net of fees) (Note 2) | — | — | — | 677,288 | ||||||||||||
Foreign withholding tax on dividends | (616 | ) | (119,191 | ) | (27,617 | ) | (6,777 | ) | ||||||||
Foreign withholding tax on interest | — | — | — | — | ||||||||||||
|
| |||||||||||||||
Total Investment Income | 938,882 | 1,169,517 | 175,991 | 26,849,081 | ||||||||||||
|
| |||||||||||||||
EXPENSES |
| |||||||||||||||
Deferred compensation (Note 7) | 734 | 347 | 41 | 6,869 | ||||||||||||
Investment advisory fees | 115,759 | 126,343 | 25,235 | 3,284,723 | ||||||||||||
Trustee fees (Note 7) | 4,301 | 3,295 | 525 | 106,857 | ||||||||||||
Other expenses (Note 4) | 63 | 49 | 47 | 15,227 | ||||||||||||
|
| |||||||||||||||
Total Gross Expenses Before Fees Reimbursed | 120,857 | 130,034 | 25,848 | 3,413,676 | ||||||||||||
|
| |||||||||||||||
Less: |
| |||||||||||||||
Deferred compensation reimbursed (Note 7) | (281 | ) | (9 | ) | (7 | ) | (2,142 | ) | ||||||||
Investment advisory fees reimbursed (Note 4) | (2,179 | ) | (1,733 | ) | (262 | ) | (50,314 | ) | ||||||||
Other expenses reimbursed (Note 4) | (63 | ) | (49 | ) | (47 | ) | (13,812 | ) | ||||||||
|
| |||||||||||||||
Total Net Expenses | 118,334 | 128,243 | 25,532 | 3,347,408 | ||||||||||||
|
| |||||||||||||||
Net Investment Income (Loss) | 820,548 | 1,041,274 | 150,459 | 23,501,673 | ||||||||||||
|
| |||||||||||||||
NET REALIZED GAIN (LOSS) FROM: |
| |||||||||||||||
Transactions in investment securities of affiliated issuers | — | — | — | (22,862 | ) | |||||||||||
Transactions in investment securities | (916,888 | ) | (1,730,412 | ) | (607,508 | )(1) | (22,390,783 | ) | ||||||||
In-kind redemptions on investments in affiliated securities | — | — | — | 53,071 | ||||||||||||
In-kind redemptions on investments in securities | 179,563 | — | 45,457 | 143,719,252 | ||||||||||||
Expiration or closing of futures contracts | 42,801 | 41,774 | 19,751 | 260,410 | ||||||||||||
Settlement of forward foreign currency contracts | — | (21,539 | ) | — | — | |||||||||||
Foreign currency transactions | — | 5,485 | (14,024 | ) | — | |||||||||||
|
| |||||||||||||||
Net Realized Gain (Loss) | (694,524 | ) | (1,704,692 | ) | (556,324 | ) | 121,619,088 | |||||||||
|
| |||||||||||||||
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON: |
| |||||||||||||||
Investments in securities | 1,310,900 | (1,422,021 | ) | 321,042 | (2) | (114,749,911 | )(3) | |||||||||
Securities lending | — | — | — | 3,297 | ||||||||||||
Futures contracts | (6,049 | ) | (32,340 | ) | 1,716 | (385,862 | ) | |||||||||
Forward foreign currency contracts | — | 1,721 | — | — | ||||||||||||
Translation of other assets and liabilities denominated in foreign currencies | — | 4,453 | (127 | ) | — | |||||||||||
|
| |||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) | 1,304,851 | (1,448,187 | ) | 322,631 | (115,132,476 | ) | ||||||||||
|
| |||||||||||||||
Net Realized and Unrealized Gain (Loss) | 610,327 | (3,152,879 | ) | (233,693 | ) | 6,486,612 | ||||||||||
|
| |||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | 1,430,875 | $ | (2,111,605 | ) | $ | (83,234 | ) | $ | 29,988,285 | ||||||
|
|
(1) | Net of non-US capital gains tax of $(1,350). |
(2) | Net of deferred non-US capital gains tax of $22,436. |
(3) | Includes $(215,176) change in unrealized depreciation on investments in affiliates. |
See Accompanying Notes to the Financial Statements.
70 | FLEXSHARES ANNUAL REPORT |
Table of Contents
Statements of Operations (cont.)
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund | FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund | FlexShares® Currency Hedged Morningstar DM ex-US Factor Tilt Index Fund | FlexShares® Currency Hedged Morningstar EM Factor Tilt Index Fund | |||||||||||||
INVESTMENT INCOME |
| |||||||||||||||
Dividend income | $ | 18,794,819 | $ | 8,575,650 | $ | — | $ | — | ||||||||
Income from non-cash dividends | 1,517,876 | — | — | — | ||||||||||||
Dividend income received from affiliate | — | — | 237,262 | 118,819 | ||||||||||||
Interest income | — | 651 | — | — | ||||||||||||
Securities lending income (net of fees) (Note 2) | 520,945 | 190,208 | — | — | ||||||||||||
Foreign withholding tax on dividends | (1,866,695 | ) | (896,248 | ) | — | — | ||||||||||
Foreign withholding tax on interest | — | (9 | ) | — | — | |||||||||||
|
| |||||||||||||||
Total Investment Income | 18,966,945 | 7,870,252 | 237,262 | 118,819 | ||||||||||||
|
| |||||||||||||||
EXPENSES |
| |||||||||||||||
Deferred compensation (Note 7) | 1,544 | 1,080 | 34 | 29 | ||||||||||||
Investment advisory fees | 2,765,569 | 1,701,344 | 31,026 | 25,550 | ||||||||||||
Trustee fees (Note 7) | 58,376 | 23,778 | 265 | 77 | ||||||||||||
Other expenses (Note 4) | 9,036 | 3,864 | 80 | 52 | ||||||||||||
|
| |||||||||||||||
Total Gross Expenses Before Fees Reimbursed | 2,834,525 | 1,730,066 | 31,405 | 25,708 | ||||||||||||
|
| |||||||||||||||
Less: |
| |||||||||||||||
Deferred compensation reimbursed (Note 7) | (1,394 | ) | (580 | ) | (12 | ) | (8 | ) | ||||||||
Investment advisory fees reimbursed (Note 4) | (27,133 | ) | (11,717 | ) | (27,592 | ) | (23,253 | ) | ||||||||
Other expenses reimbursed (Note 4) | (9,036 | ) | (3,864 | ) | (80 | ) | (52 | ) | ||||||||
|
| |||||||||||||||
Total Net Expenses | 2,796,962 | 1,713,905 | 3,721 | 2,395 | ||||||||||||
|
| |||||||||||||||
Net Investment Income (Loss) | 16,169,983 | 6,156,347 | 233,541 | 116,424 | ||||||||||||
|
| |||||||||||||||
NET REALIZED GAIN (LOSS) FROM: |
| |||||||||||||||
Transactions in investment securities of affiliated issuers | — | — | (171,030 | ) | (24,246 | ) | ||||||||||
Transactions in investment securities | (21,412,586 | ) | (10,631,069 | )(1) | — | — | ||||||||||
In-kind redemptions on investments in affiliated securities | — | — | (238,044 | ) | 6,143 | |||||||||||
In-kind redemptions on investments in securities | (10,764,876 | ) | (2,553,863 | ) | — | — | ||||||||||
Expiration or closing of futures contracts | 1,989,450 | 1,083,960 | — | 8,668 | ||||||||||||
Settlement of forward foreign currency contracts | 103,579 | 67,116 | (135,509 | ) | 77,574 | |||||||||||
Foreign currency transactions | 574,994 | (401,305 | ) | 185,701 | 3,027 | |||||||||||
|
| |||||||||||||||
Net Realized Gain (Loss) | (29,509,439 | ) | (12,435,161 | ) | (358,882 | ) | 71,166 | |||||||||
|
| |||||||||||||||
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON: | ||||||||||||||||
Investments in securities | (110,244,628 | ) | (13,899,901 | ) | (882,986 | )(2) | (53,855 | )(3) | ||||||||
Securities lending | — | — | — | — | ||||||||||||
Futures contracts | (906,795 | ) | 4,119 | — | (325 | ) | ||||||||||
Forward foreign currency contracts | (128,515 | ) | 53,916 | 24,385 | 25,847 | |||||||||||
Translation of other assets and liabilities denominated in foreign currencies | 98,736 | (2,849 | ) | — | — | |||||||||||
|
| |||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) | (111,181,202 | ) | (13,844,715 | ) | (858,601 | ) | (28,333 | ) | ||||||||
|
| |||||||||||||||
Net Realized and Unrealized Gain (Loss) | (140,690,641 | ) | (26,279,876 | ) | (1,217,483 | ) | 42,833 | |||||||||
|
| |||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | (124,520,658 | ) | $ | (20,123,529 | ) | $ | (983,942 | ) | $ | 159,257 | |||||
|
|
(1) | Net of non-US capital gains tax of $(3,291). |
(2) | Includes $(882,986) change in unrealized depreciation on investments in affiliates. |
(3) | Includes $(53,855) change in unrealized depreciation on investments in affiliates. |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 71 |
Table of Contents
Statements of Operations (cont.)
FlexShares® US Quality Large Cap Index Fund | FlexShares® STOXX® US ESG Impact Index Fund | FlexShares® STOXX® Global ESG Impact Index Fund | FlexShares® Morningstar Global Upstream Natural Resources Index Fund | |||||||||||||
INVESTMENT INCOME |
| |||||||||||||||
Dividend income | $ | 1,220,887 | $ | 1,431,045 | $ | 2,165,831 | $ | 144,560,825 | ||||||||
Income from non-cash dividends | — | — | — | — | ||||||||||||
Dividend income received from affiliate | — | — | — | — | ||||||||||||
Interest income | — | — | — | — | ||||||||||||
Securities lending income (net of fees) (Note 2) | 19,933 | 5,765 | 8,364 | 964,727 | ||||||||||||
Foreign withholding tax on dividends | — | — | (93,180 | ) | (7,617,342 | ) | ||||||||||
Foreign withholding tax on interest | — | — | — | — | ||||||||||||
|
| |||||||||||||||
Total Investment Income | 1,240,820 | 1,436,810 | �� | 2,081,015 | 137,908,210 | |||||||||||
|
| |||||||||||||||
EXPENSES |
| |||||||||||||||
Deferred compensation (Note 7) | 579 | 551 | 773 | 21,395 | ||||||||||||
Investment advisory fees | 189,317 | 229,566 | 419,197 | 18,141,405 | ||||||||||||
Trustee fees (Note 7) | 4,667 | 5,714 | 8,036 | 329,144 | ||||||||||||
Other expenses (Note 4) | 478 | 530 | 859 | 51,957 | ||||||||||||
|
| |||||||||||||||
Total Gross Expenses Before Fees Reimbursed | 195,041 | 236,361 | 428,865 | 18,543,901 | ||||||||||||
|
| |||||||||||||||
Less: |
| |||||||||||||||
Deferred compensation reimbursed (Note 7) | (73 | ) | (85 | ) | (136 | ) | (7,936 | ) | ||||||||
Investment advisory fees reimbursed (Note 4) | (2,319 | ) | (2,702 | ) | (3,909 | ) | (171,597 | ) | ||||||||
Other expenses reimbursed (Note 4) | (478 | ) | (530 | ) | (859 | ) | (51,957 | ) | ||||||||
|
| |||||||||||||||
Total Net Expenses | 192,171 | 233,044 | 423,961 | 18,312,411 | ||||||||||||
|
| |||||||||||||||
Net Investment Income (Loss) | 1,048,649 | 1,203,766 | 1,657,054 | 119,595,799 | ||||||||||||
|
| |||||||||||||||
NET REALIZED GAIN (LOSS) FROM: |
| |||||||||||||||
Transactions in investment securities of affiliated issuers | — | — | — | — | ||||||||||||
Transactions in investment securities | (579,431 | ) | (2,956,610 | ) | (1,666,396 | ) | (205,888,892 | )(1) | ||||||||
In-kind redemptions on investments in affiliated securities | — | — | — | — | ||||||||||||
In-kind redemptions on investments in securities | 1,691,602 | 301,364 | — | 163,069,598 | ||||||||||||
Expiration or closing of futures contracts | 56,387 | 45,351 | 103,833 | 3,339,709 | ||||||||||||
Settlement of forward foreign currency contracts | — | — | (12,210 | ) | 168,456 | |||||||||||
Foreign currency transactions | — | — | 6,164 | (450,125 | ) | |||||||||||
|
| |||||||||||||||
Net Realized Gain (Loss) | 1,168,558 | (2,609,895 | ) | (1,568,609 | ) | (39,761,254 | ) | |||||||||
|
| |||||||||||||||
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON: |
| |||||||||||||||
Investments in securities | 2,331,542 | 8,449,145 | 6,438,795 | (778,907,196 | ) | |||||||||||
Securities lending | — | — | — | 4,048 | ||||||||||||
Futures contracts | (15,762 | ) | (24,946 | ) | (69,171 | ) | (841,890 | ) | ||||||||
Forward foreign currency contracts | — | — | 3,131 | 80,863 | ||||||||||||
Translation of other assets and liabilities denominated in foreign currencies | — | — | 1,633 | 100,576 | ||||||||||||
|
| |||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) | 2,315,780 | 8,424,199 | 6,374,388 | (779,563,599 | ) | |||||||||||
|
| |||||||||||||||
Net Realized and Unrealized Gain (Loss) | 3,484,338 | 5,814,304 | 4,805,779 | (819,324,853 | ) | |||||||||||
|
| |||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | 4,532,987 | $ | 7,018,070 | $ | 6,462,833 | $ | (699,729,054 | ) | |||||||
|
|
(1) | Net of non-US capital gains tax of $(672). |
See Accompanying Notes to the Financial Statements.
72 | FLEXSHARES ANNUAL REPORT |
Table of Contents
Statements of Operations (cont.)
FlexShares® STOXX® Global Broad Infrastructure Index Fund | FlexShares® Global Quality Real Estate Index Fund | FlexShares® Real Assets Allocation Index Fund | FlexShares® Quality Dividend Index Fund | |||||||||||||
INVESTMENT INCOME |
| |||||||||||||||
Dividend income | $ | 53,031,367 | $ | 10,371,113 | $ | — | $ | 46,307,004 | ||||||||
Income from non-cash dividends | — | — | — | — | ||||||||||||
Dividend income received from affiliate | — | — | 288,196 | — | ||||||||||||
Interest income | — | — | — | — | ||||||||||||
Securities lending income (net of fees) (Note 2) | 295,231 | 51,163 | — | 244,552 | ||||||||||||
Foreign withholding tax on dividends | (2,985,815 | ) | (447,087 | ) | — | — | ||||||||||
Foreign withholding tax on interest | — | — | — | — | ||||||||||||
|
| |||||||||||||||
Total Investment Income | 50,340,783 | 9,975,189 | 288,196 | 46,551,556 | ||||||||||||
|
| |||||||||||||||
EXPENSES |
| |||||||||||||||
Deferred compensation (Note 7) | 10,753 | 1,206 | 49 | 6,662 | ||||||||||||
Investment advisory fees | 7,915,389 | 1,503,354 | 51,035 | 5,441,638 | ||||||||||||
Trustee fees (Note 7) | 139,266 | 26,730 | 407 | 119,815 | ||||||||||||
Other expenses (Note 4) | 14,135 | 3,546 | 106 | 16,137 | ||||||||||||
|
| |||||||||||||||
Total Gross Expenses Before Fees Reimbursed | 8,079,543 | 1,534,836 | 51,597 | 5,584,252 | ||||||||||||
|
| |||||||||||||||
Less: |
| |||||||||||||||
Deferred compensation reimbursed (Note 7) | (2,235 | ) | (556 | ) | (16 | ) | (2,511 | ) | ||||||||
Investment advisory fees reimbursed (Note 4) | (70,766 | ) | (13,099 | ) | (41,366 | ) | (56,254 | ) | ||||||||
Other expenses reimbursed (Note 4) | (14,135 | ) | (3,546 | ) | (106 | ) | (16,137 | ) | ||||||||
|
| |||||||||||||||
Total Net Expenses | 7,992,407 | 1,517,635 | 10,109 | 5,509,350 | ||||||||||||
|
| |||||||||||||||
Net Investment Income (Loss) | 42,348,376 | 8,457,554 | 278,087 | 41,042,206 | ||||||||||||
|
| |||||||||||||||
NET REALIZED GAIN (LOSS) FROM: |
| |||||||||||||||
Transactions in investment securities of affiliated issuers | — | — | (239,776 | ) | — | |||||||||||
Transactions in investment securities | (65,454,152 | )(1) | (21,072,041 | ) | — | (7,883,567 | ) | |||||||||
In-kind redemptions on investments in affiliated securities | — | — | (48,630 | ) | — | |||||||||||
In-kind redemptions on investments in securities | 13,934,341 | 774,393 | — | 72,751,426 | ||||||||||||
Expiration or closing of futures contracts | (155,672 | ) | (181,950 | ) | — | (1,049,245 | ) | |||||||||
Settlement of forward foreign currency contracts | 126,871 | 50,673 | — | — | ||||||||||||
Foreign currency transactions | 176,187 | (38,904 | ) | — | — | |||||||||||
|
| |||||||||||||||
Net Realized Gain (Loss) | (51,372,425 | ) | (20,467,829 | ) | (288,406 | ) | 63,818,614 | |||||||||
|
| |||||||||||||||
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON: |
| |||||||||||||||
Investments in securities | (113,959,125 | )(2) | (76,791,827 | ) | (1,066,621 | )(3) | (185,200,566 | ) | ||||||||
Securities lending | — | — | — | 3,187 | ||||||||||||
Futures contracts | (1,018,490 | ) | (77,069 | ) | — | (444,462 | ) | |||||||||
Forward foreign currency contracts | (37,898 | ) | 96 | — | — | |||||||||||
Translation of other assets and liabilities denominated in foreign currencies | 87,429 | (627 | ) | — | — | |||||||||||
|
| |||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) | (114,928,084 | ) | (76,869,427 | ) | (1,066,621 | ) | (185,641,841 | ) | ||||||||
�� |
| |||||||||||||||
Net Realized and Unrealized Gain (Loss) | (166,300,509 | ) | (97,337,256 | ) | (1,355,027 | ) | (121,823,227 | ) | ||||||||
|
| |||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | (123,952,133 | ) | $ | (88,879,702 | ) | $ | (1,076,940 | ) | $ | (80,781,021 | ) | ||||
|
|
(1) | Net of non-US capital gains tax of $(26,719). |
(2) | Net of deferred non-US capital gains tax of $309,149. |
(3) | Includes $(1,066,621) change in unrealized depreciation on investments in affiliates. |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 73 |
Table of Contents
Statements of Operations (cont.)
FlexShares® Quality Dividend Defensive Index Fund | FlexShares® Quality Dividend Dynamic Index Fund | FlexShares® International Quality Dividend Index Fund | FlexShares® International Quality Dividend Defensive Index Fund | |||||||||||||
INVESTMENT INCOME |
| |||||||||||||||
Dividend income | $ | 14,268,139 | $ | 949,860 | $ | 26,392,684 | $ | 3,078,131 | ||||||||
Income from non-cash dividends | — | — | — | — | ||||||||||||
Dividend income received from affiliate | — | — | — | — | ||||||||||||
Interest income | — | — | — | — | ||||||||||||
Securities lending income (net of fees) (Note 2) | 41,302 | 2,159 | 276,059 | 36,434 | ||||||||||||
Foreign withholding tax on dividends | (536 | ) | — | (2,478,541 | ) | (324,726 | ) | |||||||||
Foreign withholding tax on interest | — | — | — | — | ||||||||||||
|
| |||||||||||||||
Total Investment Income | 14,308,905 | 952,019 | 24,190,202 | 2,789,839 | ||||||||||||
|
| |||||||||||||||
EXPENSES |
| |||||||||||||||
Deferred compensation (Note 7) | 2,297 | 108 | 2,825 | 355 | ||||||||||||
Investment advisory fees | 1,683,032 | 106,539 | 2,738,421 | 317,493 | ||||||||||||
Trustee fees (Note 7) | 37,100 | 1,913 | 48,125 | 5,350 | ||||||||||||
Other expenses (Note 4) | 4,296 | 499 | 7,329 | 740 | ||||||||||||
|
| |||||||||||||||
Total Gross Expenses Before Fees Reimbursed | 1,726,725 | 109,059 | 2,796,700 | 323,938 | ||||||||||||
|
| |||||||||||||||
Less: |
| |||||||||||||||
Deferred compensation reimbursed (Note 7) | (676 | ) | (77 | ) | (1,138 | ) | (114 | ) | ||||||||
Investment advisory fees reimbursed (Note 4) | (17,607 | ) | (668 | ) | (24,123 | ) | (2,571 | ) | ||||||||
Other expenses reimbursed (Note 4) | (4,296 | ) | (499 | ) | (7,329 | ) | (740 | ) | ||||||||
|
| |||||||||||||||
Total Net Expenses | 1,704,146 | 107,815 | 2,764,110 | 320,513 | ||||||||||||
|
| |||||||||||||||
Net Investment Income (Loss) | 12,604,759 | 844,204 | 21,426,092 | 2,469,326 | ||||||||||||
|
| |||||||||||||||
NET REALIZED GAIN (LOSS) FROM: |
| |||||||||||||||
Transactions in investment securities of affiliated issuers | — | — | — | — | ||||||||||||
Transactions in investment securities | (19,126,276 | ) | (897,690 | ) | (48,519,003 | )(1) | (6,854,147 | ) | ||||||||
In-kind redemptions on investments in affiliated securities | — | — | — | — | ||||||||||||
In-kind redemptions on investments in securities | 29,212,604 | 3,185,913 | 452,131 | 721,519 | ||||||||||||
Expiration or closing of futures contracts | (215,689 | ) | (67,362 | ) | (599,470 | ) | 100,137 | |||||||||
Settlement of forward foreign currency contracts | — | — | (142,796 | ) | (38,286 | ) | ||||||||||
Foreign currency transactions | — | — | (769,335 | ) | (57,000 | ) | ||||||||||
|
| |||||||||||||||
Net Realized Gain (Loss) | 9,870,639 | 2,220,861 | (49,578,473 | ) | (6,127,777 | ) | ||||||||||
|
| |||||||||||||||
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON: |
| |||||||||||||||
Investments in securities | (41,966,838 | ) | (6,198,027 | ) | (35,898,443 | ) | (2,767,121 | ) | ||||||||
Securities lending | — | — | — | — | ||||||||||||
Futures contracts | (145,239 | ) | (9,379 | ) | (938,934 | ) | (75,267 | ) | ||||||||
Forward foreign currency contracts | — | — | 107,390 | 2,017 | ||||||||||||
Translation of other assets and liabilities denominated in foreign currencies | — | — | (120,182 | ) | 4,791 | |||||||||||
|
| |||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) | (42,112,077 | ) | (6,207,406 | ) | (36,850,169 | ) | (2,835,580 | ) | ||||||||
|
| |||||||||||||||
Net Realized and Unrealized Gain (Loss) | (32,241,438 | ) | (3,986,545 | ) | (86,428,642 | ) | (8,963,357 | ) | ||||||||
|
| |||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | (19,636,679 | ) | $ | (3,142,341 | ) | $ | (65,002,550 | ) | $ | (6,494,031 | ) | ||||
|
|
(1) Net of non-US capital gains tax of $83,703.
See Accompanying Notes to the Financial Statements.
74 | FLEXSHARES ANNUAL REPORT |
Table of Contents
Statements of Operations (cont.)
FlexShares® International Quality Dividend Dynamic Index Fund | FlexShares® iBoxx 3-Year Target Duration TIPS Index Fund | FlexShares® iBoxx 5-Year Target Duration TIPS Index Fund | FlexShares® Disciplined Duration MBS Index Fund | |||||||||||||
INVESTMENT INCOME |
| |||||||||||||||
Dividend income | $ | 1,168,037 | $ | — | $ | — | $ | — | ||||||||
Income from non-cash dividends | — | — | — | — | ||||||||||||
Dividend income received from affiliate | — | — | — | — | ||||||||||||
Interest income | — | 19,100,890 | 8,361,912 | 1,165,057 | ||||||||||||
Securities lending income (net of fees) (Note 2) | 12,921 | 41,837 | 34,173 | — | ||||||||||||
Foreign withholding tax on dividends | (103,714 | ) | — | — | — | |||||||||||
Foreign withholding tax on interest | — | — | — | — | ||||||||||||
|
| |||||||||||||||
Total Investment Income | 1,077,244 | 19,142,727 | 8,396,085 | 1,165,057 | ||||||||||||
|
| |||||||||||||||
EXPENSES |
| |||||||||||||||
Deferred compensation (Note 7) | 106 | 7,276 | 2,171 | 364 | ||||||||||||
Investment advisory fees | 149,864 | 2,273,078 | 982,911 | 133,335 | ||||||||||||
Trustee fees (Note 7) | 2,279 | 105,424 | 44,510 | 5,174 | ||||||||||||
Other expenses (Note 4) | 472 | 11,088 | 5,233 | 364 | ||||||||||||
|
| |||||||||||||||
Total Gross Expenses Before Fees Reimbursed | 152,721 | 2,396,866 | 1,034,825 | 139,237 | ||||||||||||
|
| |||||||||||||||
Less: |
| |||||||||||||||
Deferred compensation reimbursed (Note 7) | (75 | ) | (1,682 | ) | (789 | ) | (59 | ) | ||||||||
Investment advisory fees reimbursed (Note 4) | (919 | ) | (49,818 | ) | (19,410 | ) | (2,246 | ) | ||||||||
Other expenses reimbursed (Note 4) | (472 | ) | (11,088 | ) | (5,233 | ) | (364 | ) | ||||||||
|
| |||||||||||||||
Total Net Expenses | 151,255 | 2,334,278 | 1,009,393 | 136,568 | ||||||||||||
|
| |||||||||||||||
Net Investment Income (Loss) | 925,989 | 16,808,449 | 7,386,692 | 1,028,489 | ||||||||||||
|
| |||||||||||||||
NET REALIZED GAIN (LOSS) FROM: |
| |||||||||||||||
Transactions in investment securities of affiliated issuers | — | — | — | — | ||||||||||||
Transactions in investment securities | (1,529,150 | )(1) | 8,880,489 | 4,631,843 | 348,869 | |||||||||||
In-kind redemptions on investments in affiliated securities | — | — | — | — | ||||||||||||
In-kind redemptions on investments in securities | 623,943 | 3,275,464 | 5,057,819 | — | ||||||||||||
Expiration or closing of futures contracts | 62,887 | — | — | — | ||||||||||||
Settlement of forward foreign currency contracts | (5,735 | ) | — | — | — | |||||||||||
Foreign currency transactions | (30,799 | ) | — | — | — | |||||||||||
|
| |||||||||||||||
Net Realized Gain (Loss) | (878,854 | ) | 12,155,953 | 9,689,662 | 348,869 | |||||||||||
|
| |||||||||||||||
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON: |
| |||||||||||||||
Investments in securities | (3,300,138 | ) | 42,400,460 | 25,429,146 | 1,683,407 | |||||||||||
Securities lending | — | — | — | — | ||||||||||||
Futures contracts | (26,865 | ) | — | — | — | |||||||||||
Forward foreign currency contracts | 192 | — | — | — | ||||||||||||
Translation of other assets and liabilities denominated in foreign currencies | 4,782 | — | — | — | ||||||||||||
|
| |||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) | (3,322,029 | ) | 42,400,460 | 25,429,146 | 1,683,407 | |||||||||||
|
| |||||||||||||||
Net Realized and Unrealized Gain (Loss) | (4,200,883 | ) | 54,556,413 | 35,118,808 | 2,032,276 | |||||||||||
|
| |||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | (3,274,894 | ) | $ | 71,364,862 | $ | 42,505,500 | $ | 3,060,765 | |||||||
|
|
(1) Net of non-US capital gains tax of $1,297.
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 75 |
Table of Contents
Statements of Operations (cont.)
FlexShares® Credit- Scored US Corporate Bond Index Fund | FlexShares® Credit-Scored US Long Corporate Bond Index Fund | FlexShares® High Yield Value- Scored Bond Index Fund | FlexShares® Ready Access Variable Income Fund | |||||||||||||
INVESTMENT INCOME |
| |||||||||||||||
Dividend income | $ | — | $ | — | $ | — | $ | — | ||||||||
Income from non-cash dividends | — | — | — | — | ||||||||||||
Dividend income received from affiliate | — | — | — | — | ||||||||||||
Interest income | 3,866,894 | 1,184,123 | 11,397,746 | 5,898,726 | ||||||||||||
Securities lending income (net of fees) (Note 2) | — | — | — | — | ||||||||||||
Foreign withholding tax on dividends | — | — | — | — | ||||||||||||
Foreign withholding tax on interest | — | — | — | — | ||||||||||||
|
| |||||||||||||||
Total Investment Income | 3,866,894 | 1,184,123 | 11,397,746 | 5,898,726 | ||||||||||||
|
| |||||||||||||||
EXPENSES |
| |||||||||||||||
Deferred compensation (Note 7) | 854 | 321 | 857 | 2,050 | ||||||||||||
Investment advisory fees | 316,596 | 74,385 | 589,281 | 885,427 | ||||||||||||
Trustee fees (Note 7) | 11,736 | 2,575 | 12,873 | 29,369 | ||||||||||||
Other expenses (Note 4) | 946 | 184 | 954 | 2,605 | ||||||||||||
|
| |||||||||||||||
Total Gross Expenses Before Fees Reimbursed | 330,132 | 77,465 | 603,965 | 919,451 | ||||||||||||
|
| |||||||||||||||
Less: |
| |||||||||||||||
Deferred compensation reimbursed (Note 7) | (151 | ) | (27 | ) | (171 | ) | (406 | ) | ||||||||
Investment advisory fees reimbursed (Note 4) | (5,459 | ) | (1,221 | ) | (6,023 | ) | (13,977 | ) | ||||||||
Other expenses reimbursed (Note 4) | (946 | ) | (184 | ) | (954 | ) | (2,605 | ) | ||||||||
|
| |||||||||||||||
Total Net Expenses | 323,576 | 76,033 | 596,817 | 902,463 | ||||||||||||
|
| |||||||||||||||
Net Investment Income (Loss) | 3,543,318 | 1,108,090 | 10,800,929 | 4,996,263 | ||||||||||||
|
| |||||||||||||||
NET REALIZED GAIN (LOSS) FROM: |
| |||||||||||||||
Transactions in investment securities of affiliated issuers | — | — | — | — | ||||||||||||
Transactions in investment securities | 2,972,745 | 1,951,533 | (4,005,108 | ) | 169,631 | |||||||||||
In-kind redemptions on investments in affiliated securities | — | — | — | — | ||||||||||||
In-kind redemptions on investments in securities | — | — | — | — | ||||||||||||
Expiration or closing of futures contracts | — | — | — | — | ||||||||||||
Settlement of forward foreign currency contracts | — | — | — | — | ||||||||||||
Foreign currency transactions | — | — | — | — | ||||||||||||
|
| |||||||||||||||
Net Realized Gain (Loss) | 2,972,745 | 1,951,533 | (4,005,108 | ) | 169,631 | |||||||||||
|
| |||||||||||||||
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON: |
| |||||||||||||||
Investments in securities | 3,098,927 | 168,819 | (1,237,194 | ) | 1,872,649 | |||||||||||
Securities lending | — | — | — | — | ||||||||||||
Futures contracts | — | — | — | — | ||||||||||||
Forward foreign currency contracts | — | — | — | — | ||||||||||||
Translation of other assets and liabilities denominated in foreign currencies | — | — | — | — | ||||||||||||
|
| |||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) | 3,098,927 | 168,819 | (1,237,194 | ) | 1,872,649 | |||||||||||
|
| |||||||||||||||
Net Realized and Unrealized Gain (Loss) | 6,071,672 | 2,120,352 | (5,242,302 | ) | 2,042,280 | |||||||||||
|
| |||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | 9,614,990 | $ | 3,228,442 | $ | 5,558,627 | $ | 7,038,543 | ||||||||
|
|
See Accompanying Notes to the Financial Statements.
76 | FLEXSHARES ANNUAL REPORT |
Table of Contents
Statements of Operations (cont.)
FlexShares® Core Select Bond Fund | ||||
INVESTMENT INCOME |
| |||
Dividend income | $ | 532,088 | ||
Income from non-cash dividends | — | |||
Dividend income received from affiliate | 771,503 | |||
Interest income | 1,221 | |||
Securities lending income (net of fees) (Note 2) | — | |||
Foreign withholding tax on dividends | — | |||
Foreign withholding tax on interest | — | |||
|
| |||
Total Investment Income | 1,304,812 | |||
|
| |||
EXPENSES |
| |||
Deferred compensation (Note 7) | 824 | |||
Investment advisory fees | 215,216 | |||
Trustee fees (Note 7) | 5,132 | |||
Other expenses (Note 4) | 243 | |||
|
| |||
Total Gross Expenses Before Fees Reimbursed | 221,415 | |||
|
| |||
Less: |
| |||
Deferred compensation reimbursed (Note 7) | (39 | ) | ||
Investment advisory fees reimbursed (Note 4) | (100,569 | ) | ||
Other expenses reimbursed (Note 4) | (243 | ) | ||
|
| |||
Total Net Expenses | 120,564 | |||
|
| |||
Net Investment Income (Loss) | 1,184,248 | |||
|
| |||
NET REALIZED GAIN (LOSS) FROM: |
| |||
Transactions in investment securities of affiliated issuers | (56,715 | ) | ||
Transactions in investment securities | 684,460 | |||
In-kind redemptions on investments in affiliated securities | — | |||
In-kind redemptions on investments in securities | — | |||
Expiration or closing of futures contracts | 142,652 | |||
Settlement of forward foreign currency contracts | — | |||
Foreign currency transactions | — | |||
|
| |||
Net Realized Gain (Loss) | 770,397 | |||
|
| |||
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON: |
| |||
Investments in securities | 1,207,113 | (1) | ||
Securities lending | — | |||
Futures contracts | (3,412 | ) | ||
Forward foreign currency contracts | — | |||
Translation of other assets and liabilities denominated in foreign currencies | — | |||
|
| |||
Net Change in Unrealized Appreciation (Depreciation) | 1,203,701 | |||
|
| |||
Net Realized and Unrealized Gain (Loss) | 1,974,098 | |||
|
| |||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | 3,158,346 | ||
|
|
(1) | Includes $1,195,299 change in unrealized appreciation on investments in affiliates. |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 77 |
Table of Contents
Statements of Changes in Net Assets
FlexShares® US Quality Low Volatility Index Fund | FlexShares® Developed Markets ex-US Quality Low Volatility Index Fund | |||||||||||||||
Year Ended October 31, 2020 | July 15, 2019* through October 31, 2019 | Year Ended October 31, 2020 | July 15, 2019* through October 31, 2019 | |||||||||||||
OPERATIONS |
| |||||||||||||||
Net investment income (loss) | $ | 820,548 | $ | 21,918 | $ | 1,041,274 | $ | 32,836 | ||||||||
Net realized gain (loss) | (694,524 | ) | (528 | ) | (1,704,692 | ) | (14,447 | ) | ||||||||
Net change in unrealized appreciation (depreciation) | 1,304,851 | 52,851 | (1,448,187 | ) | 119,248 | |||||||||||
|
| |||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 1,430,875 | 74,241 | (2,111,605 | ) | 137,637 | |||||||||||
|
| |||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS |
| |||||||||||||||
Distributable earnings | (643,733 | ) | (12,079 | ) | (864,658 | ) | (17,800 | ) | ||||||||
Tax return of capital | — | — | — | — | ||||||||||||
|
| |||||||||||||||
Total distributions | (643,733 | ) | (12,079 | ) | (864,658 | ) | (17,800 | ) | ||||||||
|
| |||||||||||||||
CAPITAL TRANSACTIONS(1) |
| |||||||||||||||
Proceeds from shares issued | 107,381,424 | 2,004,366 | 63,603,016 | — | ||||||||||||
Cost of shares redeemed | (3,711,596 | ) | — | — | — | |||||||||||
|
| |||||||||||||||
Net Increase (Decrease) from Capital Transactions | 103,669,828 | 2,004,366 | 63,603,016 | — | ||||||||||||
|
| |||||||||||||||
Total Increase (Decrease) in Net Assets | 104,456,970 | 2,066,528 | 60,626,753 | 119,837 | ||||||||||||
|
| |||||||||||||||
NET ASSETS |
| |||||||||||||||
Beginning of Period | $ | 6,066,568 | $ | 4,000,040 | (2) | $ | 5,120,251 | $ | 5,000,414 | (2),(3) | ||||||
|
| |||||||||||||||
End of Period | $ | 110,523,538 | $ | 6,066,568 | $ | 65,747,004 | $ | 5,120,251 | ||||||||
|
| |||||||||||||||
SHARE TRANSACTIONS |
| |||||||||||||||
Beginning of period | 150,001 | 100,001 | (2) | 200,001 | 200,001 | (2) | ||||||||||
Shares issued | — | — | — | — | ||||||||||||
Shares issued in-kind | 2,650,000 | 50,000 | 2,600,000 | — | ||||||||||||
Shares redeemed | — | — | — | — | ||||||||||||
Shares redeemed in-kind | (100,000 | ) | — | — | — | |||||||||||
|
| |||||||||||||||
Shares Outstanding, End of Period | 2,700,001 | 150,001 | 2,800,001 | 200,001 | ||||||||||||
|
|
* | Commencement of investment operations. |
(1) | Capital transactions may include transaction fees associated with creation and redemption transactions which occurred during the period. See Note 9 to the Financial Statements. |
(2) | Amount includes the initial subscription. |
(3) | Includes amounts paid in capital from the Authorized Participant in addition to the order’s original cash component. This amount is made to offset taxes, commissions, and price differences from the net asset value (“NAV”) that would otherwise impact the fund on these order trades. |
See Accompanying Notes to the Financial Statements.
78 | FLEXSHARES ANNUAL REPORT |
Table of Contents
Statements of Changes in Net Assets (cont.)
FlexShares® Emerging Markets Quality Low Volatility Index Fund | FlexShares® Morningstar US Market Factor Tilt Index Fund | |||||||||||||||
Year Ended October 31, 2020 | July 15, 2019* | Year Ended October 31, 2020 | Year Ended October 31, 2019 | |||||||||||||
OPERATIONS |
| |||||||||||||||
Net investment income (loss) | $ | 150,459 | $ | 46,101 | $ | 23,501,673 | $ | 24,246,782 | ||||||||
Net realized gain (loss) | (556,324 | ) | (38,951 | ) | 121,619,088 | 26,681,219 | ||||||||||
Net change in unrealized appreciation (depreciation) | 322,631 | (3,887 | ) | (115,132,476 | ) | 90,783,007 | ||||||||||
|
| |||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | (83,234 | ) | 3,263 | 29,988,285 | 141,711,008 | |||||||||||
|
| |||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS |
| |||||||||||||||
Distributable earnings | (168,979 | ) | (21,259 | ) | (23,509,426 | ) | (23,379,823 | ) | ||||||||
Tax return of capital | — | — | — | — | ||||||||||||
|
| |||||||||||||||
Total distributions | (168,979 | ) | (21,259 | ) | (23,509,426 | ) | (23,379,823 | ) | ||||||||
|
| |||||||||||||||
CAPITAL TRANSACTIONS(1) |
| |||||||||||||||
Proceeds from shares issued | 7,242,230 | — | 28,195,556 | 75,936,865 | ||||||||||||
Cost of shares redeemed | (2,400,617 | ) | — | (306,024,565 | ) | (135,796,153 | ) | |||||||||
|
| |||||||||||||||
Net Increase (Decrease) from Capital Transactions | 4,841,613 | — | (277,829,009 | ) | (59,859,288 | ) | ||||||||||
|
| |||||||||||||||
Total Increase (Decrease) in Net Assets | 4,589,400 | (17,996 | ) | (271,350,150 | ) | 58,471,897 | ||||||||||
|
| |||||||||||||||
NET ASSETS |
| |||||||||||||||
Beginning of Period | $ | 4,988,910 | $ | 5,006,906 | (2),(3) | $ | 1,446,136,579 | $ | 1,387,664,682 | |||||||
|
| |||||||||||||||
End of Period | $ | 9,578,310 | $ | 4,988,910 | $ | 1,174,786,429 | $ | 1,446,136,579 | ||||||||
|
| |||||||||||||||
SHARE TRANSACTIONS |
| |||||||||||||||
Beginning of period | 200,001 | 200,001 | (2) | 12,100,001 | 12,600,001 | |||||||||||
Shares issued | — | — | — | — | ||||||||||||
Shares issued in-kind | 300,000 | — | 300,000 | 700,000 | ||||||||||||
Shares redeemed | — | — | — | — | ||||||||||||
Shares redeemed in-kind | (100,000 | ) | — | (2,700,000 | ) | (1,200,000 | ) | |||||||||
|
| |||||||||||||||
Shares Outstanding, End of Period | 400,001 | 200,001 | 9,700,001 | 12,100,001 | ||||||||||||
|
|
* | Commencement of investment operations. |
(1) | Capital transactions may include transaction fees associated with creation and redemption transactions which occurred during the period. See Note 9 to the Financial Statements. |
(2) | Amount includes the initial subscription. |
(3) | Includes amounts paid in capital from the Authorized Participant in addition to the order’s original cash component. This amount is made to offset taxes, commissions, and price differences from the NAV that would otherwise impact the fund on these order trades. |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 79 |
Table of Contents
Statements of Changes in Net Assets (cont.)
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund | FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund | |||||||||||||||
Year Ended October 31, 2020 | Year Ended October 31, 2019 | Year Ended October 31, 2020 | Year Ended October 31, 2019 | |||||||||||||
OPERATIONS |
| |||||||||||||||
Net investment income (loss) | $ | 16,169,983 | $ | 29,737,840 | $ | 6,156,347 | $ | 14,776,759 | ||||||||
Net realized gain (loss) | (29,509,439 | ) | (9,812,648 | ) | (12,435,161 | ) | (32,646,959 | ) | ||||||||
Net change in unrealized appreciation (depreciation) | (111,181,202 | ) | 52,240,524 | (13,844,715 | ) | 47,428,255 | ||||||||||
|
| |||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | (124,520,658 | ) | 72,165,716 | (20,123,529 | ) | 29,558,055 | ||||||||||
|
| |||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS |
| |||||||||||||||
Distributable earnings | (23,632,565 | ) | (29,033,991 | ) | (8,202,693 | ) | (13,630,561 | ) | ||||||||
Tax return of capital | — | — | — | — | ||||||||||||
|
| |||||||||||||||
Total distributions | (23,632,565 | ) | (29,033,991 | ) | (8,202,693 | ) | (13,630,561 | ) | ||||||||
|
| |||||||||||||||
CAPITAL TRANSACTIONS(1) |
| |||||||||||||||
Proceeds from shares issued | — | 96,879,059 | — | 64,094,605 | ||||||||||||
Cost of shares redeemed | (317,973,662 | ) | (142,964,021 | ) | (159,241,139 | ) | (155,343,981 | ) | ||||||||
|
| |||||||||||||||
Net Increase (Decrease) from Capital Transactions | (317,973,662 | ) | (46,084,962 | ) | (159,241,139 | ) | (91,249,376 | ) | ||||||||
|
| |||||||||||||||
Total Increase (Decrease) in Net Assets | (466,126,885 | ) | (2,953,237 | ) | (187,567,361 | ) | (75,321,882 | ) | ||||||||
|
| |||||||||||||||
NET ASSETS |
| |||||||||||||||
Beginning of Period | $ | 965,142,481 | $ | 968,095,718 | $ | 413,414,163 | $ | 488,736,045 | ||||||||
|
| |||||||||||||||
End of Period | $ | 499,015,596 | $ | 965,142,481 | $ | 225,846,802 | $ | 413,414,163 | ||||||||
|
| |||||||||||||||
SHARE TRANSACTIONS |
| |||||||||||||||
Beginning of period | 15,400,001 | 16,200,001 | 8,200,001 | 10,200,001 | ||||||||||||
Shares issued | — | — | — | — | ||||||||||||
Shares issued in-kind | — | 1,600,000 | — | 1,200,000 | ||||||||||||
Shares redeemed | — | — | — | — | ||||||||||||
Shares redeemed in-kind | (6,200,000 | ) | (2,400,000 | ) | (3,500,000 | ) | (3,200,000 | ) | ||||||||
|
| |||||||||||||||
Shares Outstanding, End of Period | 9,200,001 | 15,400,001 | 4,700,001 | 8,200,001 | ||||||||||||
|
|
(1) | Capital transactions may include transaction fees associated with creation and redemption transactions which occurred during the period. See Note 9 to the Financial Statements. |
See Accompanying Notes to the Financial Statements.
80 | FLEXSHARES ANNUAL REPORT |
Table of Contents
Statements of Changes in Net Assets (cont.)
FlexShares® Currency Hedged Morningstar DM ex-US Factor Tilt Index Fund | FlexShares® Currency Hedged Morningstar EM Factor Tilt Index Fund | |||||||||||||||
Year Ended October 31, 2020 | Year Ended October 31, 2019 | Year Ended October 31, 2020 | Year Ended October 31, 2019 | |||||||||||||
OPERATIONS |
| |||||||||||||||
Net investment income (loss) | $ | 233,541 | $ | 246,297 | $ | 116,424 | $ | 152,212 | ||||||||
Net realized gain (loss) | (358,882 | ) | 163,159 | 71,166 | (13,524 | ) | ||||||||||
Net change in unrealized appreciation (depreciation) | (858,601 | ) | 349,642 | (28,333 | ) | 257,933 | ||||||||||
|
| |||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | (983,942 | ) | 759,098 | 159,257 | 396,621 | |||||||||||
|
| |||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS |
| |||||||||||||||
Distributable earnings | (282,942 | ) | (247,071 | ) | (116,751 | ) | (152,761 | ) | ||||||||
Tax return of capital | — | — | — | — | ||||||||||||
|
| |||||||||||||||
Total distributions | (282,942 | ) | (247,071 | ) | (116,751 | ) | (152,761 | ) | ||||||||
|
| |||||||||||||||
CAPITAL TRANSACTIONS(1) |
| |||||||||||||||
Proceeds from shares issued | — | 663,704 | — | 641,441 | ||||||||||||
Cost of shares redeemed | (1,069,971 | ) | (642,632 | ) | (2,085,874 | ) | — | |||||||||
|
| |||||||||||||||
Net Increase (Decrease) from Capital Transactions | (1,069,971 | ) | 21,072 | (2,085,874 | ) | 641,441 | ||||||||||
|
| |||||||||||||||
Total Increase (Decrease) in Net Assets | (2,336,855 | ) | 533,099 | (2,043,368 | ) | 885,301 | ||||||||||
|
| |||||||||||||||
NET ASSETS |
| |||||||||||||||
Beginning of Period | $ | 8,466,171 | $ | 7,933,072 | $ | 5,442,730 | $ | 4,557,429 | ||||||||
|
| |||||||||||||||
End of Period | $ | 6,129,316 | $ | 8,466,171 | $ | 3,399,362 | $ | 5,442,730 | ||||||||
|
| |||||||||||||||
SHARE TRANSACTIONS |
| |||||||||||||||
Beginning of period | 300,001 | 300,001 | 200,001 | 175,001 | ||||||||||||
Shares issued | — | — | — | — | ||||||||||||
Shares issued in-kind | — | 25,000 | — | 25,000 | ||||||||||||
Shares redeemed | — | — | — | — | ||||||||||||
Shares redeemed in-kind | (50,000 | ) | (25,000 | ) | (75,000 | ) | — | |||||||||
|
| |||||||||||||||
Shares Outstanding, End of Period | 250,001 | 300,001 | 125,001 | 200,001 | ||||||||||||
|
|
(1) | Capital transactions may include transaction fees associated with creation and redemption transactions which occurred during the period. See Note 9 to the Financial Statements. |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 81 |
Table of Contents
Statements of Changes in Net Assets (cont.)
FlexShares® US Quality Large Cap Index Fund | FlexShares® STOXX® US ESG Impact Index Fund | |||||||||||||||
Year Ended October 31, 2020 | Year Ended October 31, 2019 | Year Ended October 31, 2020 | Year Ended October 31, 2019 | |||||||||||||
OPERATIONS |
| |||||||||||||||
Net investment income (loss) | $ | 1,048,649 | $ | 1,264,749 | $ | 1,203,766 | $ | 768,820 | ||||||||
Net realized gain (loss) | 1,168,558 | 1,892,186 | (2,609,895 | ) | 440,710 | |||||||||||
Net change in unrealized appreciation (depreciation) | 2,315,780 | 137,256 | 8,424,199 | 4,833,562 | ||||||||||||
|
| |||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 4,532,987 | 3,294,191 | 7,018,070 | 6,043,092 | ||||||||||||
|
| |||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS |
| |||||||||||||||
Distributable earnings | (976,050 | ) | (1,241,265 | ) | (1,145,374 | ) | (688,327 | ) | ||||||||
Tax return of capital | — | — | — | — | ||||||||||||
|
| |||||||||||||||
Total distributions | (976,050 | ) | (1,241,265 | ) | (1,145,374 | ) | (688,327 | ) | ||||||||
|
| |||||||||||||||
CAPITAL TRANSACTIONS(1) |
| |||||||||||||||
Proceeds from shares issued | 27,538,152 | 25,305,729 | 28,636,289 | 25,211,577 | ||||||||||||
Cost of shares redeemed | (10,423,258 | ) | (38,046,783 | ) | (1,481,524 | ) | (3,488,613 | ) | ||||||||
|
| |||||||||||||||
Net Increase (Decrease) from Capital Transactions | 17,114,894 | (12,741,054 | ) | 27,154,765 | 21,722,964 | |||||||||||
|
| |||||||||||||||
Total Increase (Decrease) in Net Assets | 20,671,831 | (10,688,128 | ) | 33,027,461 | 27,077,729 | |||||||||||
|
| |||||||||||||||
NET ASSETS |
| |||||||||||||||
Beginning of Period | $ | 51,170,609 | $ | 61,858,737 | $ | 56,024,110 | $ | 28,946,381 | ||||||||
|
| |||||||||||||||
End of Period | $ | 71,842,440 | $ | 51,170,609 | $ | 89,051,571 | $ | 56,024,110 | ||||||||
|
| |||||||||||||||
SHARE TRANSACTIONS |
| |||||||||||||||
Beginning of period | 1,475,001 | 1,850,001 | 775,001 | 450,001 | ||||||||||||
Shares issued | — | — | — | — | ||||||||||||
Shares issued in-kind | 850,000 | 775,000 | 375,000 | 375,000 | ||||||||||||
Shares redeemed | — | — | — | — | ||||||||||||
Shares redeemed in-kind | (300,000 | ) | (1,150,000 | ) | (25,000 | ) | (50,000 | ) | ||||||||
|
| |||||||||||||||
Shares Outstanding, End of Period | 2,025,001 | 1,475,001 | 1,125,001 | 775,001 | ||||||||||||
|
|
(1) | Capital transactions may include transaction fees associated with creation and redemption transactions which occurred during the period. See Note 9 to the Financial Statements. |
See Accompanying Notes to the Financial Statements.
82 | FLEXSHARES ANNUAL REPORT |
Table of Contents
Statements of Changes in Net Assets (cont.)
FlexShares® STOXX® Global ESG Impact Index Fund | FlexShares® Morningstar Global Upstream Natural Resources Index Fund | |||||||||||||||
Year Ended October 31, 2020 | Year Ended October 31, 2019 | Year Ended October 31, 2020 | Year Ended October 31, 2019 | |||||||||||||
OPERATIONS |
| |||||||||||||||
Net investment income (loss) | $ | 1,657,054 | $ | 1,690,280 | $ | 119,595,799 | $ | 185,800,926 | ||||||||
Net realized gain (loss) | (1,568,609 | ) | (1,069,111 | ) | (39,761,254 | ) | (121,979,135 | ) | ||||||||
Net change in unrealized appreciation (depreciation) | 6,374,388 | 9,380,772 | (779,563,599 | ) | 97,960,307 | |||||||||||
|
| |||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 6,462,833 | 10,001,941 | (699,729,054 | ) | 161,782,098 | |||||||||||
|
| |||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS |
| |||||||||||||||
Distributable earnings | (1,663,474 | ) | (1,626,069 | ) | (122,625,164 | ) | (190,017,355 | ) | ||||||||
Tax return of capital | — | — | — | — | ||||||||||||
|
| |||||||||||||||
Total distributions | (1,663,474 | ) | (1,626,069 | ) | (122,625,164 | ) | (190,017,355 | ) | ||||||||
�� |
| |||||||||||||||
CAPITAL TRANSACTIONS(1) |
| |||||||||||||||
Proceeds from shares issued | 14,933,528 | 19,292,286 | 8,825,295 | 336,876,123 | ||||||||||||
Cost of shares redeemed | — | (9,361,860 | ) | (1,771,946,391 | ) | (234,222,804 | ) | |||||||||
|
| |||||||||||||||
Net Increase (Decrease) from Capital Transactions | 14,933,528 | 9,930,426 | (1,763,121,096 | ) | 102,653,319 | |||||||||||
|
| |||||||||||||||
Total Increase (Decrease) in Net Assets | 19,732,887 | 18,306,298 | (2,585,475,314 | ) | 74,418,062 | |||||||||||
|
| |||||||||||||||
NET ASSETS |
| |||||||||||||||
Beginning of Period | $ | 91,590,405 | $ | 73,284,107 | $ | 5,510,201,122 | $ | 5,435,783,060 | ||||||||
|
| |||||||||||||||
End of Period | $ | 111,323,292 | $ | 91,590,405 | $ | 2,924,725,808 | $ | 5,510,201,122 | ||||||||
|
| |||||||||||||||
SHARE TRANSACTIONS |
| |||||||||||||||
Beginning of period | 900,001 | 800,001 | 175,500,001 | 172,500,001 | ||||||||||||
Shares issued | — | — | — | — | ||||||||||||
Shares issued in-kind | 150,000 | 200,000 | 250,000 | 10,700,000 | ||||||||||||
Shares redeemed | — | — | — | — | ||||||||||||
Shares redeemed in-kind | — | (100,000 | ) | (66,250,000 | ) | (7,700,000 | ) | |||||||||
|
| |||||||||||||||
Shares Outstanding, End of Period | 1,050,001 | 900,001 | 109,500,001 | 175,500,001 | ||||||||||||
|
|
(1) | Capital transactions may include transaction fees associated with creation and redemption transactions which occurred during the period. See Note 9 to the Financial Statements. |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 83 |
Table of Contents
Statements of Changes in Net Assets (cont.)
FlexShares® STOXX® Global Broad Infrastructure Index Fund | FlexShares® Global Quality Real Estate Index Fund | |||||||||||||||
Year Ended October 31, 2020 | Year Ended October 31, 2019 | Year Ended October 31, 2020 | Year Ended October 31, 2019 | |||||||||||||
OPERATIONS |
| |||||||||||||||
Net investment income (loss) | $ | 42,348,376 | $ | 28,533,152 | $ | 8,457,554 | $ | 9,162,306 | ||||||||
Net realized gain (loss) | (51,372,425 | ) | (15,162,565 | ) | (20,467,829 | ) | (3,993,200 | ) | ||||||||
Net change in unrealized appreciation (depreciation) | (114,928,084 | ) | 162,508,711 | (76,869,427 | ) | 49,485,461 | ||||||||||
|
| |||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | (123,952,133 | ) | 175,879,298 | (88,879,702 | ) | 54,654,567 | ||||||||||
|
| |||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS |
| |||||||||||||||
Distributable earnings | (40,390,855 | ) | (26,640,580 | ) | (14,558,175 | ) | (9,305,846 | ) | ||||||||
Tax return of capital | — | — | (168,159 | ) | — | |||||||||||
|
| |||||||||||||||
Total distributions | (40,390,855 | ) | (26,640,580 | ) | (14,726,334 | ) | (9,305,846 | ) | ||||||||
|
| |||||||||||||||
CAPITAL TRANSACTIONS(1) |
| |||||||||||||||
Proceeds from shares issued | 660,871,183 | 554,428,651 | 85,130,549 | 55,583,944 | ||||||||||||
Cost of shares redeemed | (116,962,142 | ) | — | (93,214,545 | ) | — | ||||||||||
|
| |||||||||||||||
Net Increase (Decrease) from Capital Transactions | 543,909,041 | 554,428,651 | (8,083,996 | ) | 55,583,944 | |||||||||||
|
| |||||||||||||||
Total Increase (Decrease) in Net Assets | 379,566,053 | 703,667,369 | (111,690,032 | ) | 100,932,665 | |||||||||||
|
| |||||||||||||||
NET ASSETS |
| |||||||||||||||
Beginning of Period | $ | 1,477,030,124 | $ | 773,362,755 | $ | 376,264,397 | $ | 275,331,732 | ||||||||
|
| |||||||||||||||
End of Period | $ | 1,856,596,177 | $ | 1,477,030,124 | $ | 264,574,365 | $ | 376,264,397 | ||||||||
|
| |||||||||||||||
SHARE TRANSACTIONS |
| |||||||||||||||
Beginning of period | 28,100,001 | 17,150,001 | 5,650,001 | 4,750,001 | ||||||||||||
Shares issued | — | — | — | — | ||||||||||||
Shares issued in-kind | 13,400,000 | 10,950,000 | 1,450,000 | 900,000 | ||||||||||||
Shares redeemed | — | — | — | — | ||||||||||||
Shares redeemed in-kind | (2,900,000 | ) | — | (1,900,000 | ) | — | ||||||||||
|
| |||||||||||||||
Shares Outstanding, End of Period | 38,600,001 | 28,100,001 | 5,200,001 | 5,650,001 | ||||||||||||
|
|
(1) | Capital transactions may include transaction fees associated with creation and redemption transactions which occurred during the period. See Note 9 to the Financial Statements. |
See Accompanying Notes to the Financial Statements.
84 | FLEXSHARES ANNUAL REPORT |
Table of Contents
Statements of Changes in Net Assets (cont.)
FlexShares® Real Assets Allocation Index Fund | FlexShares® Quality Dividend Index Fund | |||||||||||||||
Year Ended October 31, 2020 | Year Ended October 31, 2019 | Year Ended October 31, 2020 | Year Ended October 31, 2019 | |||||||||||||
OPERATIONS |
| |||||||||||||||
Net investment income (loss) | $ | 278,087 | $ | 304,460 | $ | 41,042,206 | $ | 47,844,240 | ||||||||
Net realized gain (loss) | (288,406 | ) | 372,297 | 63,818,614 | 60,035,237 | |||||||||||
Net change in unrealized appreciation (depreciation) | (1,066,621 | ) | 1,224,066 | (185,641,841 | ) | 29,374,282 | ||||||||||
|
| |||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | (1,076,940 | ) | 1,900,823 | (80,781,021 | ) | 137,253,759 | ||||||||||
|
| |||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS |
| |||||||||||||||
Distributable earnings | (278,767 | ) | (306,154 | ) | (51,028,755 | ) | (67,157,435 | ) | ||||||||
Tax return of capital | — | — | — | — | ||||||||||||
|
| |||||||||||||||
Total distributions | (278,767 | ) | (306,154 | ) | (51,028,755 | ) | (67,157,435 | ) | ||||||||
|
| |||||||||||||||
CAPITAL TRANSACTIONS(1) |
| |||||||||||||||
Proceeds from shares issued | — | 2,204,805 | 147,107,228 | 114,588,613 | ||||||||||||
Cost of shares redeemed | (5,503,899 | ) | (6,325,152 | ) | (457,464,822 | ) | (236,448,686 | ) | ||||||||
|
| |||||||||||||||
Net Increase (Decrease) from Capital Transactions | (5,503,899 | ) | (4,120,347 | ) | (310,357,594 | ) | (121,860,073 | ) | ||||||||
|
| |||||||||||||||
Total Increase (Decrease) in Net Assets | (6,859,606 | ) | (2,525,678 | ) | (442,167,370 | ) | (51,763,749 | ) | ||||||||
|
| |||||||||||||||
NET ASSETS |
| |||||||||||||||
Beginning of Period | $ | 11,361,335 | $ | 13,887,013 | $ | 1,707,343,975 | $ | 1,759,107,724 | ||||||||
|
| |||||||||||||||
End of Period | $ | 4,501,729 | $ | 11,361,335 | $ | 1,265,176,605 | $ | 1,707,343,975 | ||||||||
|
| |||||||||||||||
SHARE TRANSACTIONS |
| |||||||||||||||
Beginning of period | 375,001 | 525,001 | 36,850,001 | 39,500,001 | ||||||||||||
Shares issued | — | — | — | — | ||||||||||||
Shares issued in-kind | — | 75,000 | 3,250,000 | 2,700,000 | ||||||||||||
Shares redeemed | — | — | — | — | ||||||||||||
Shares redeemed in-kind | (200,000 | ) | (225,000 | ) | (10,950,000 | ) | (5,350,000 | ) | ||||||||
|
| |||||||||||||||
Shares Outstanding, End of Period | 175,001 | 375,001 | 29,150,001 | 36,850,001 | ||||||||||||
|
|
(1) | Capital transactions may include transaction fees associated with creation and redemption transactions which occurred during the period. See Note 9 to the Financial Statements. |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 85 |
Table of Contents
Statements of Changes in Net Assets (cont.)
FlexShares® Quality Dividend Defensive Index Fund | FlexShares® Quality Dividend Dynamic Index Fund | |||||||||||||||
Year Ended October 31, 2020 | Year Ended October 31, 2019 | Year Ended October 31, 2020 | Year Ended October 31, 2019 | |||||||||||||
OPERATIONS |
| |||||||||||||||
Net investment income (loss) | $ | 12,604,759 | $ | 10,383,032 | $ | 844,204 | $ | 1,436,326 | ||||||||
Net realized gain (loss) | 9,870,639 | 2,570,078 | 2,220,861 | 2,578,750 | ||||||||||||
Net change in unrealized appreciation (depreciation) | (42,112,077 | ) | 28,119,545 | (6,207,406 | ) | 2,720,385 | ||||||||||
|
| |||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | (19,636,679 | ) | 41,072,655 | (3,142,341 | ) | 6,735,461 | ||||||||||
|
| |||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS |
| |||||||||||||||
Distributable earnings | (16,131,191 | ) | (22,292,740 | ) | (962,948 | ) | (1,341,578 | ) | ||||||||
Tax return of capital | — | — | — | — | ||||||||||||
|
| |||||||||||||||
Total distributions | (16,131,191 | ) | (22,292,740 | ) | (962,948 | ) | (1,341,578 | ) | ||||||||
|
| |||||||||||||||
CAPITAL TRANSACTIONS(1) |
| |||||||||||||||
Proceeds from shares issued | 120,783,417 | 112,091,834 | — | 15,702,806 | ||||||||||||
Cost of shares redeemed | (124,805,477 | ) | — | (35,021,933 | ) | (13,094,067 | ) | |||||||||
|
| |||||||||||||||
Net Increase (Decrease) from Capital Transactions | (4,022,060 | ) | 112,091,834 | (35,021,933 | ) | 2,608,739 | ||||||||||
|
| |||||||||||||||
Total Increase (Decrease) in Net Assets | (39,789,930 | ) | 130,871,749 | (39,127,222 | ) | 8,002,622 | ||||||||||
|
| |||||||||||||||
NET ASSETS |
| |||||||||||||||
Beginning of Period | $ | 450,962,724 | $ | 320,090,975 | $ | 52,308,041 | $ | 44,305,419 | ||||||||
|
| |||||||||||||||
End of Period | $ | 411,172,794 | $ | 450,962,724 | $ | 13,180,819 | $ | 52,308,041 | ||||||||
|
| |||||||||||||||
SHARE TRANSACTIONS |
| |||||||||||||||
Beginning of period | 9,750,001 | 7,200,001 | 1,150,001 | 1,050,001 | ||||||||||||
Shares issued | — | — | — | — | ||||||||||||
Shares issued in-kind | 2,800,000 | 2,550,000 | — | 400,000 | ||||||||||||
Shares redeemed | — | — | — | — | ||||||||||||
Shares redeemed in-kind | (2,900,000 | ) | — | (850,000 | ) | (300,000 | ) | |||||||||
|
| |||||||||||||||
Shares Outstanding, End of Period | 9,650,001 | 9,750,001 | 300,001 | 1,150,001 | ||||||||||||
|
|
(1) | Capital transactions may include transaction fees associated with creation and redemption transactions which occurred during the period. See Note 9 to the Financial Statements. |
See Accompanying Notes to the Financial Statements.
86 | FLEXSHARES ANNUAL REPORT |
Table of Contents
Statements of Changes in Net Assets (cont.)
FlexShares® International Quality Dividend Index Fund | FlexShares® International Quality Dividend Defensive Index Fund | |||||||||||||||
Year Ended October 31, 2020 | Year Ended October 31, 2019 | Year Ended October 31, 2020 | Year Ended October 31, 2019 | |||||||||||||
OPERATIONS |
| |||||||||||||||
Net investment income (loss) | $ | 21,426,092 | $ | 38,093,068 | $ | 2,469,326 | $ | 4,333,281 | ||||||||
Net realized gain (loss) | (49,578,473 | ) | (66,570,980 | ) | (6,127,777 | ) | (5,826,629 | ) | ||||||||
Net change in unrealized appreciation (depreciation) | (36,850,169 | ) | 79,278,653 | (2,835,580 | ) | 8,174,047 | ||||||||||
|
| |||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | (65,002,550 | ) | 50,800,741 | (6,494,031 | ) | 6,680,699 | ||||||||||
|
| |||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS |
| |||||||||||||||
Distributable earnings | (22,159,155 | ) | (38,665,442 | ) | (2,523,077 | ) | (4,343,474 | ) | ||||||||
Tax return of capital | — | — | — | — | ||||||||||||
|
| |||||||||||||||
Total distributions | (22,159,155 | ) | (38,665,442 | ) | (2,523,077 | ) | (4,343,474 | ) | ||||||||
|
| |||||||||||||||
CAPITAL TRANSACTIONS(1) |
| |||||||||||||||
Proceeds from shares issued | 9,495,567 | 167,508,000 | 3,677,673 | 20,897,031 | ||||||||||||
Cost of shares redeemed | (243,541,907 | ) | (170,125,412 | ) | (13,975,686 | ) | (32,218,082 | ) | ||||||||
|
| |||||||||||||||
Net Increase (Decrease) from Capital Transactions | (234,046,340 | ) | (2,617,412 | ) | (10,298,013 | ) | (11,321,051 | ) | ||||||||
|
| |||||||||||||||
Total Increase (Decrease) in Net Assets | (321,208,045 | ) | 9,517,887 | (19,315,121 | ) | (8,983,826 | ) | |||||||||
|
| |||||||||||||||
NET ASSETS |
| |||||||||||||||
Beginning of Period | $ | 774,684,626 | $ | 765,166,739 | $ | 78,718,855 | $ | 87,702,681 | ||||||||
|
| |||||||||||||||
End of Period | $ | 453,476,581 | $ | 774,684,626 | $ | 59,403,734 | $ | 78,718,855 | ||||||||
|
| |||||||||||||||
SHARE TRANSACTIONS |
| |||||||||||||||
Beginning of period | 33,600,001 | 34,200,001 | 3,600,001 | 4,100,001 | ||||||||||||
Shares issued | — | — | — | — | ||||||||||||
Shares issued in-kind | 400,000 | 7,200,000 | 200,000 | 1,000,000 | ||||||||||||
Shares redeemed | — | — | — | — | ||||||||||||
Shares redeemed in-kind | (11,500,000 | ) | (7,800,000 | ) | (700,000 | ) | (1,500,000 | ) | ||||||||
|
| |||||||||||||||
Shares Outstanding, End of Period | 22,500,001 | 33,600,001 | 3,100,001 | 3,600,001 | ||||||||||||
|
|
(1) | Capital transactions may include transaction fees associated with creation and redemption transactions which occurred during the period. See Note 9 to the Financial Statements. |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 87 |
Table of Contents
Statements of Changes in Net Assets (cont.)
FlexShares® International Quality Dividend Dynamic Index Fund | FlexShares® iBoxx 3-Year Target Duration TIPS Index Fund | |||||||||||||||
Year Ended October 31, 2020 | Year Ended October 31, 2019 | Year Ended October 31, 2020 | Year Ended October 31, 2019 | |||||||||||||
OPERATIONS |
| |||||||||||||||
Net investment income (loss) | $ | 925,989 | $ | 1,951,820 | $ | 16,808,449 | $ | 24,889,422 | ||||||||
Net realized gain (loss) | (878,854 | ) | (5,849,376 | ) | 12,155,953 | (7,527,589 | ) | |||||||||
Net change in unrealized appreciation (depreciation) | (3,322,029 | ) | 7,149,801 | 42,400,460 | 50,089,357 | |||||||||||
|
| |||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | (3,274,894 | ) | 3,252,245 | 71,364,862 | 67,451,190 | |||||||||||
|
| |||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS |
| |||||||||||||||
Distributable earnings | (952,482 | ) | (2,113,234 | ) | (12,627,726 | ) | (25,965,622 | ) | ||||||||
Tax return of capital | — | — | — | — | ||||||||||||
|
| |||||||||||||||
Total distributions | (952,482 | ) | (2,113,234 | ) | (12,627,726 | ) | (25,965,622 | ) | ||||||||
|
| |||||||||||||||
CAPITAL TRANSACTIONS(1) |
| |||||||||||||||
Proceeds from shares issued | 10,025,244 | 11,826,312 | 343,216,451 | 54,204,646 | ||||||||||||
Cost of shares redeemed | (30,812,569 | ) | (29,055,029 | ) | (151,185,194 | ) | (558,578,038 | ) | ||||||||
|
| |||||||||||||||
Net Increase (Decrease) from Capital Transactions | (20,787,325 | ) | (17,228,717 | ) | 192,031,257 | (504,373,392 | ) | |||||||||
|
| |||||||||||||||
Total Increase (Decrease) in Net Assets | (25,014,701 | ) | (16,089,706 | ) | 250,768,393 | (462,887,824 | ) | |||||||||
|
| |||||||||||||||
NET ASSETS |
| |||||||||||||||
Beginning of Period | $ | 47,391,023 | $ | 63,480,729 | $ | 1,178,722,214 | $ | 1,641,610,038 | ||||||||
|
| |||||||||||||||
End of Period | $ | 22,376,322 | $ | 47,391,023 | $ | 1,429,490,607 | $ | 1,178,722,214 | ||||||||
|
| |||||||||||||||
SHARE TRANSACTIONS |
| |||||||||||||||
Beginning of period | 1,900,001 | 2,700,001 | 47,954,000 | 68,954,000 | ||||||||||||
Shares issued | — | — | 350,000 | — | ||||||||||||
Shares issued in-kind | 400,000 | 500,000 | 13,350,000 | 2,250,000 | ||||||||||||
Shares redeemed | — | — | — | — | ||||||||||||
Shares redeemed in-kind | (1,300,000 | ) | (1,300,000 | ) | (6,100,000 | ) | (23,250,000 | ) | ||||||||
|
| |||||||||||||||
Shares Outstanding, End of Period | 1,000,001 | 1,900,001 | 55,554,000 | 47,954,000 | ||||||||||||
|
|
(1) | Capital transactions may include transaction fees associated with creation and redemption transactions which occurred during the period. See Note 9 to the Financial Statements. |
See Accompanying Notes to the Financial Statements.
88 | FLEXSHARES ANNUAL REPORT |
Table of Contents
Statements of Changes in Net Assets (cont.)
FlexShares® iBoxx 5-Year Target Duration TIPS Index Fund | FlexShares® Disciplined Duration MBS Index Fund | |||||||||||||||
Year Ended October 31, 2020 | Year Ended October 31, 2019 | Year Ended October 31, 2020 | Year Ended October 31, 2019 | |||||||||||||
OPERATIONS |
| |||||||||||||||
Net investment income (loss) | $ | 7,386,692 | $ | 11,199,560 | $ | 1,028,489 | $ | 1,397,033 | ||||||||
Net realized gain (loss) | 9,689,662 | (4,759,734 | ) | 348,869 | (91,883 | ) | ||||||||||
Net change in unrealized appreciation (depreciation) | 25,429,146 | 43,952,592 | 1,683,407 | 2,642,747 | ||||||||||||
|
| |||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 42,505,500 | 50,392,418 | 3,060,765 | 3,947,897 | ||||||||||||
|
| |||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS |
| |||||||||||||||
Distributable earnings | (5,908,902 | ) | (11,908,603 | ) | (1,754,929 | ) | (1,969,840 | ) | ||||||||
Tax return of capital | — | — | — | — | ||||||||||||
|
| |||||||||||||||
Total distributions | (5,908,902 | ) | (11,908,603 | ) | (1,754,929 | ) | (1,969,840 | ) | ||||||||
|
| |||||||||||||||
CAPITAL TRANSACTIONS(1) |
| |||||||||||||||
Proceeds from shares issued | 119,287,446 | 66,398,177 | 66,955,234 | 11,597,196 | ||||||||||||
Cost of shares redeemed | (116,973,562 | ) | (451,724,487 | ) | (3,570,206 | ) | (49,873,216 | ) | ||||||||
|
| |||||||||||||||
Net Increase (Decrease) from Capital Transactions | 2,313,884 | (385,326,310 | ) | 63,385,028 | (38,276,020 | ) | ||||||||||
|
| |||||||||||||||
Total Increase (Decrease) in Net Assets | 38,910,482 | (346,842,495 | ) | 64,690,864 | (36,297,963 | ) | ||||||||||
|
| |||||||||||||||
NET ASSETS |
| |||||||||||||||
Beginning of Period | $ | 557,184,728 | $ | 904,027,223 | $ | 35,329,621 | $ | 71,627,584 | ||||||||
|
| |||||||||||||||
End of Period | $ | 596,095,210 | $ | 557,184,728 | $ | 100,020,485 | $ | 35,329,621 | ||||||||
|
| |||||||||||||||
SHARE TRANSACTIONS |
| |||||||||||||||
Beginning of period | 21,850,001 | 37,750,001 | 1,500,001 | 3,150,001 | ||||||||||||
Shares issued | — | — | 2,800,000 | 500,000 | ||||||||||||
Shares issued in-kind | 4,450,000 | 2,700,000 | — | — | ||||||||||||
Shares redeemed | — | — | (150,000 | ) | (2,150,000 | ) | ||||||||||
Shares redeemed in-kind | (4,500,000 | ) | (18,600,000 | ) | — | — | ||||||||||
|
| |||||||||||||||
Shares Outstanding, End of Period | 21,800,001 | 21,850,001 | 4,150,001 | 1,500,001 | ||||||||||||
|
|
(1) | Capital transactions may include transaction fees associated with creation and redemption transactions which occurred during the period. See Note 9 to the Financial Statements. |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 89 |
Table of Contents
Statements of Changes in Net Assets (cont.)
FlexShares® Credit-Scored US Corporate Bond Index Fund | FlexShares® Credit-Scored US Long Corporate Bond Index Fund | |||||||||||||||
Year Ended October 31, 2020 | Year Ended October 31, 2019 | Year Ended October 31, 2020 | Year Ended October 31, 2019 | |||||||||||||
OPERATIONS |
| |||||||||||||||
Net investment income (loss) | $ | 3,543,318 | $ | 2,939,612 | $ | 1,108,090 | $ | 951,493 | ||||||||
Net realized gain (loss) | 2,972,745 | 1,212,835 | 1,951,533 | 885,293 | ||||||||||||
Net change in unrealized appreciation (depreciation) | 3,098,927 | 6,097,066 | 168,819 | 3,495,491 | ||||||||||||
|
| |||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 9,614,990 | 10,249,513 | 3,228,442 | 5,332,277 | ||||||||||||
|
| |||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS |
| |||||||||||||||
Distributable earnings | (3,976,789 | ) | (2,860,050 | ) | (1,038,434 | ) | (997,024 | ) | ||||||||
Tax return of capital | — | — | — | — | ||||||||||||
|
| |||||||||||||||
Total distributions | (3,976,789 | ) | (2,860,050 | ) | (1,038,434 | ) | (997,024 | ) | ||||||||
|
| |||||||||||||||
CAPITAL TRANSACTIONS(1) |
| |||||||||||||||
Proceeds from shares issued | 99,484,140 | 46,878,290 | 26,818,282 | — | ||||||||||||
Cost of shares redeemed | — | (17,728,455 | ) | — | (13,407,104 | ) | ||||||||||
|
| |||||||||||||||
Net Increase (Decrease) from Capital Transactions | 99,484,140 | 29,149,835 | 26,818,282 | (13,407,104 | ) | |||||||||||
|
| |||||||||||||||
Total Increase (Decrease) in Net Assets | 105,122,341 | 36,539,298 | 29,008,290 | (9,071,851 | ) | |||||||||||
|
| |||||||||||||||
NET ASSETS |
| |||||||||||||||
Beginning of Period | $ | 97,275,068 | $ | 60,735,770 | $ | 17,352,121 | $ | 26,423,972 | ||||||||
|
| |||||||||||||||
End of Period | $ | 202,397,409 | $ | 97,275,068 | $ | 46,360,411 | $ | 17,352,121 | ||||||||
|
| |||||||||||||||
SHARE TRANSACTIONS |
| |||||||||||||||
Beginning of period | 1,850,001 | 1,250,001 | 300,001 | 550,001 | ||||||||||||
Shares issued | 1,850,000 | 950,000 | 450,000 | — | ||||||||||||
Shares issued in-kind | — | — | — | — | ||||||||||||
Shares redeemed | — | (350,000 | ) | — | (200,000 | ) | ||||||||||
Shares redeemed in-kind | — | — | — | (50,000 | ) | |||||||||||
|
| |||||||||||||||
Shares Outstanding, End of Period | 3,700,001 | 1,850,001 | 750,001 | 300,001 | ||||||||||||
|
|
(1) | Capital transactions may include transaction fees associated with creation and redemption transactions which occurred during the period. See Note 9 to the Financial Statements. |
See Accompanying Notes to the Financial Statements.
90 | FLEXSHARES ANNUAL REPORT |
Table of Contents
Statements of Changes in Net Assets (cont.)
FlexShares® High Yield Value-Scored Bond Index Fund | FlexShares® Ready Access Variable Income Fund | |||||||||||||||
Year Ended October 31, 2020 | Year Ended October 31, 2019 | Year Ended October 31, 2020 | Year Ended October 31, 2019 | |||||||||||||
OPERATIONS |
| |||||||||||||||
Net investment income (loss) | $ | 10,800,929 | $ | 2,526,915 | $ | 4,996,263 | $ | 6,748,271 | ||||||||
Net realized gain (loss) | (4,005,108 | ) | (702,418 | ) | 169,631 | (15,793 | ) | |||||||||
Net change in unrealized appreciation (depreciation) | (1,237,194 | ) | 996,832 | 1,872,649 | 1,260,684 | |||||||||||
|
| |||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 5,558,627 | 2,821,329 | 7,038,543 | 7,993,162 | ||||||||||||
|
| |||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS |
| |||||||||||||||
Distributable earnings | (9,992,636 | ) | (3,203,781 | ) | (5,325,015 | ) | (6,639,458 | ) | ||||||||
Tax return of capital | — | (826,269 | ) | — | — | |||||||||||
|
| |||||||||||||||
Total distributions | (9,992,636 | ) | (4,030,050 | ) | (5,325,015 | ) | (6,639,458 | ) | ||||||||
|
| |||||||||||||||
CAPITAL TRANSACTIONS(1) |
| |||||||||||||||
Proceeds from shares issued | 93,576,705 | 86,540,196 | 218,827,724 | 139,613,701 | ||||||||||||
Cost of shares redeemed | — | (33,696,222 | ) | (26,436,867 | ) | (77,220,187 | ) | |||||||||
|
| |||||||||||||||
Net Increase (Decrease) from Capital Transactions | 93,576,705 | 52,843,974 | 192,390,857 | 62,393,514 | ||||||||||||
|
| |||||||||||||||
Total Increase (Decrease) in Net Assets | 89,142,696 | 51,635,253 | 194,104,385 | 63,747,218 | ||||||||||||
|
| |||||||||||||||
NET ASSETS |
| |||||||||||||||
Beginning of Period | $ | 100,480,239 | $ | 48,844,986 | $ | 275,096,899 | $ | 211,349,681 | ||||||||
|
| |||||||||||||||
End of Period | $ | 189,622,935 | $ | 100,480,239 | $ | 469,201,284 | $ | 275,096,899 | ||||||||
|
| |||||||||||||||
SHARE TRANSACTIONS |
| |||||||||||||||
Beginning of period | 2,100,001 | 1,000,001 | 3,625,001 | 2,800,001 | ||||||||||||
Shares issued | 2,000,000 | 1,800,000 | 2,875,000 | 1,850,000 | ||||||||||||
Shares issued in-kind | — | — | — | — | ||||||||||||
Shares redeemed | — | — | (350,000 | ) | (325,000 | ) | ||||||||||
Shares redeemed in-kind | — | (700,000 | ) | — | (700,000 | ) | ||||||||||
|
| |||||||||||||||
Shares Outstanding, End of Period | 4,100,001 | 2,100,001 | 6,150,001 | 3,625,001 | ||||||||||||
|
|
(1) | Capital transactions may include transaction fees associated with creation and redemption transactions which occurred during the period. See Note 9 to the Financial Statements. |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 91 |
Table of Contents
Statements of Changes in Net Assets (cont.)
FlexShares® Core Select Bond Fund | ||||||||
Year Ended October 31, 2020 | Year Ended October 31, 2019 | |||||||
OPERATIONS |
| |||||||
Net investment income (loss) | $ | 1,184,248 | $ | 993,328 | ||||
Net realized gain (loss) | 770,397 | 604,900 | ||||||
Net change in unrealized appreciation (depreciation) | 1,203,701 | 1,964,341 | ||||||
|
| |||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 3,158,346 | 3,562,569 | ||||||
|
| |||||||
DISTRIBUTIONS TO SHAREHOLDERS |
| |||||||
Distributable earnings | (1,218,108 | ) | (998,241 | ) | ||||
Tax return of capital | — | — | ||||||
|
| |||||||
Total distributions | (1,218,108 | ) | (998,241 | ) | ||||
|
| |||||||
CAPITAL TRANSACTIONS(1) |
| |||||||
Proceeds from shares issued | 80,884,377 | 14,123,739 | ||||||
Cost of shares redeemed | — | (28,972,275 | ) | |||||
|
| |||||||
Net Increase (Decrease) from Capital Transactions | 80,884,377 | (14,848,536 | ) | |||||
|
| |||||||
Total Increase (Decrease) in Net Assets | 82,824,615 | (12,284,208 | ) | |||||
|
| |||||||
NET ASSETS |
| |||||||
Beginning of Period | $ | 26,298,691 | $ | 38,582,899 | ||||
|
| |||||||
End of Period | $ | 109,123,306 | $ | 26,298,691 | ||||
|
| |||||||
SHARE TRANSACTIONS |
| |||||||
Beginning of period | 1,025,001 | 1,625,001 | ||||||
Shares issued | — | — | ||||||
Shares issued in-kind | 3,050,000 | 575,000 | ||||||
Shares redeemed | — | — | ||||||
Shares redeemed in-kind | — | (1,175,000 | ) | |||||
|
| |||||||
Shares Outstanding, End of Period | 4,075,001 | 1,025,001 | ||||||
|
|
(1) | Capital transactions may include transaction fees associated with creation and redemption transactions which occurred during the period. See Note 9 to the Financial Statements. |
See Accompanying Notes to the Financial Statements.
92 | FLEXSHARES ANNUAL REPORT |
Table of Contents
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FLEXSHARES ANNUAL REPORT | 93 |
Table of Contents
FlexShares® Trust
PER SHARE | ||||||||||||||||||||||||||||||||
Investment Operations | Distributions | |||||||||||||||||||||||||||||||
Net asset value, beginning of period | Net Investment Income | Net Realized and Unrealized Gain (Loss) | Total from Operations | Net Investment Income | From Net Realized Gains | Tax return of capital | Total | |||||||||||||||||||||||||
FlexShares® US Quality Low Volatility Index Fund | ||||||||||||||||||||||||||||||||
Year ended October 31, 2020 | $ | 40.44 | $ | 0.64 | (a) | $ | 0.38 | $ | 1.02 | $ | (0.53 | ) | $ | — | $ | — | $ | (0.53 | ) | |||||||||||||
For the period 07/15/19* through 10/31/19 | 40.00 | 0.17 | (a) | 0.35 | 0.52 | (0.08 | ) | — | — | (0.08 | ) | |||||||||||||||||||||
FlexShares® Developed Markets ex-US Quality Low Volatility Index Fund | ||||||||||||||||||||||||||||||||
Year ended October 31, 2020 | 25.60 | 0.64 | (a) | (2.22 | ) | (1.58 | ) | (0.54 | ) | — | — | (0.54 | ) | |||||||||||||||||||
For the period 07/15/19* through 10/31/19 | 25.00 | 0.16 | (a) | 0.53 | 0.69 | (0.09 | ) | — | — | (0.09 | ) | |||||||||||||||||||||
FlexShares® Emerging Markets Quality Low Volatility Index Fund | ||||||||||||||||||||||||||||||||
Year ended October 31, 2020 | 24.94 | 0.56 | (a) | (0.91 | ) | (0.35 | ) | (0.64 | ) | — | — | (0.64 | ) | |||||||||||||||||||
For the period 07/15/19* through 10/31/19 | 25.00 | 0.23 | (a) | (0.18 | ) | 0.05 | (0.11 | ) | — | — | (0.11 | ) | ||||||||||||||||||||
FlexShares® Morningstar US Market Factor Tilt Index Fund | ||||||||||||||||||||||||||||||||
Year ended October 31, 2020 | 119.52 | 2.10 | (a) | 1.60 | 3.70 | (2.11 | ) | — | — | (2.11 | ) | |||||||||||||||||||||
Year ended October 31, 2019 | 110.13 | 1.95 | (a) | 9.33 | 11.28 | (1.89 | ) | — | — | (1.89 | ) | |||||||||||||||||||||
Year ended October 31, 2018 | 107.50 | 2.02 | (a) | 2.59 | 4.61 | (1.98 | ) | — | — | (1.98 | ) | |||||||||||||||||||||
Year ended October 31, 2017 | 88.32 | 1.74 | (a) | 19.13 | 20.87 | (1.69 | ) | — | — | (1.69 | ) | |||||||||||||||||||||
Year ended October 31, 2016 | 87.02 | 1.65 | (a) | 2.33 | 3.98 | (2.68 | ) | — | — | (2.68 | ) |
* | Commencement of investment operations. |
(a) | Net investment income per share is based on average shares outstanding. |
(b) | Not annualized for periods less than one year. |
(c) | Annualized for periods less than one year. |
(d) | Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period at adjusted net asset value. |
(e) | Market value total return is calculated assuming an initial investment made at the market value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period at market value. Market value is determined by the mid point of the bid/ask spread at 4:00 p.m. Eastern Time from the primary listing exchange. Market value returns may vary from net asset value returns. |
(f) | In-kind transactions are not included in portfolio turnover calculations. |
(g) | The amount shown for a share outstanding throughout the period is directionally inconsistent with aggregate net realized and unrealized gain (loss) for the period as presented in the financial statements. |
(h) | Per share amount is less than $0.005. |
(i) | The Fund indirectly bears its proportionate share of fees and expenses incurred by the Underlying Fund(s) in which the Fund is invested. This ratio does not include these indirect fees and expenses. |
(j) | The Expenses net of reimbursements and Net investment Income (Loss) net of reimbursement ratios include a voluntary reimbursement of advisory fees made by JPMorgan Chase Bank, N.A. Absent this additional reimbursement, Expenses net of reimbursements would have increased by 0.20% and the Net investment Income (Loss) net of reimbursement would have decreased by 0.20%. |
(k) | Northern Trust Investments, Inc. reimbursed the Funds for losses incurred related to an error. The impact was an increase of $0.02 to the net realized and unrealized gain (loss) on investments per share and an increase of 0.06% to the total return of the FlexShares Morningstar Global Upstream Natural Resources Index Fund. For the FlexShares Morningstar Developed Markets ex-US Factor Tilt Index Fund and FlexShares STOXX Global ESG Impact Index Fund, the impact to the net realized and unrealized gain (loss) on investments per share amount is less than $0.005 and the total returns are less than 0.005%. Had these reimbursements not been made, the total returns would have been lower. |
See Accompanying Notes to the Financial Statements.
94 | FLEXSHARES ANNUAL REPORT |
Table of Contents
| RATIOS/SUPPLEMENTAL DATA | |||||||||||||||||||||||||||||||||
Total Return(b) | Ratios to Average Net Assets(c) | Supplemental Data | ||||||||||||||||||||||||||||||||
Net Asset Value, end of period | Net Asset Value(d) | Market Value (Unaudited)(e) | Expenses | Expenses net of reimbursements | Net investment Income before reimbursements | Net investment Income net of reimbursements | Portfolio Turnover Rate(b)(f) | Net assets, end of period (thousands) | ||||||||||||||||||||||||||
$ | 40.93 | 2.63 | % | 2.60 | % | 0.23 | % | 0.22 | % | 1.55 | % | 1.56 | % | 47 | % | $ | 110,524 | |||||||||||||||||
| 40.44 | 1.30 | 1.43 | 0.23 | 0.22 | 1.45 | 1.45 | 9 | 6,067 | |||||||||||||||||||||||||
23.48 | (6.24 | ) | (6.06 | ) | 0.33 | 0.32 | 2.63 | 2.64 | 62 | 65,747 | ||||||||||||||||||||||||
| 25.60 | 2.76 | 3.04 | 0.32 | 0.32 | 2.21 | 2.21 | 14 | 5,120 | |||||||||||||||||||||||||
23.95 | (1.41 | ) | (0.59 | ) | 0.41 | 0.40 | 2.38 | 2.39 | 81 | 9,578 | ||||||||||||||||||||||||
| 24.94 | 0.19 | 0.31 | 0.40 | 0.40 | 3.18 | 3.18 | 12 | 4,989 | |||||||||||||||||||||||||
121.11 | 3.28 | 3.33 | 0.26 | 0.25 | 1.78 | 1.79 | 26 | 1,174,786 | ||||||||||||||||||||||||||
119.52 | 10.41 | 10.41 | 0.26 | 0.25 | 1.72 | 1.72 | 28 | 1,446,137 | ||||||||||||||||||||||||||
110.13 | 4.22 | 4.19 | 0.25 | 0.25 | 1.77 | 1.77 | 15 | 1,387,665 | ||||||||||||||||||||||||||
107.50 | 23.77 | 23.72 | 0.26 | 0.25 | 1.73 | 1.74 | 22 | 1,150,199 | ||||||||||||||||||||||||||
88.32 | 4.70 | 4.77 | 0.28 | 0.27 | 1.92 | 1.93 | 26 | 830,253 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 95 |
Table of Contents
Financial Highlights (cont.)
PER SHARE | ||||||||||||||||||||||||||||||||
Investment Operations | Distributions | |||||||||||||||||||||||||||||||
Net asset value, beginning of period | Net Investment Income | Net Realized and Unrealized Gain (Loss) | Total from Operations | Net Investment Income | From Net Realized Gains | Tax return of capital | Total | |||||||||||||||||||||||||
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund | ||||||||||||||||||||||||||||||||
Year ended October 31, 2020 | $ | 62.67 | $ | 1.31 | (a) | $ | (7.88 | ) | $ | (6.57 | ) | $ | (1.86 | ) | $ | — | $ | — | $ | (1.86 | ) | |||||||||||
Year ended October 31, 2019 | 59.76 | 1.85 | (a) | 2.89 | 4.74 | (1.83 | ) | — | — | (1.83 | ) | |||||||||||||||||||||
Year ended October 31, 2018 | 67.51 | 1.78 | (a) | (7.39 | ) | (5.61 | ) | (2.14 | ) | — | — | (2.14 | ) | |||||||||||||||||||
Year ended October 31, 2017 | 55.62 | 1.58 | (a) | 11.91 | (k) | 13.49 | (1.60 | ) | — | — | (1.60 | ) | ||||||||||||||||||||
Year ended October 31, 2016 | 58.18 | 1.59 | (a) | (1.55 | ) | 0.04 | (2.60 | ) | — | — | (2.60 | ) | ||||||||||||||||||||
FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund | ||||||||||||||||||||||||||||||||
Year ended October 31, 2020 | 50.42 | 1.02 | (a) | (1.97 | ) | (0.95 | ) | (1.42 | ) | — | — | (1.42 | ) | |||||||||||||||||||
Year ended October 31, 2019 | 47.92 | 1.49 | (a) | 2.46 | 3.95 | (1.45 | ) | — | — | (1.45 | ) | |||||||||||||||||||||
Year ended October 31, 2018 | 57.38 | 1.46 | (a) | (9.34 | ) | (7.88 | ) | (1.58 | ) | — | — | (1.58 | ) | |||||||||||||||||||
Year ended October 31, 2017 | 47.52 | 1.28 | (a) | 9.80 | 11.08 | (1.22 | ) | — | — | (1.22 | ) | |||||||||||||||||||||
Year ended October 31, 2016 | 45.02 | 0.97 | (a) | 3.10 | 4.07 | (1.57 | ) | — | — | (1.57 | ) |
* | Commencement of investment operations. |
(a) | Net investment income per share is based on average shares outstanding. |
(b) | Not annualized for periods less than one year. |
(c) | Annualized for periods less than one year. |
(d) | Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period at adjusted net asset value. |
(e) | Market value total return is calculated assuming an initial investment made at the market value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period at market value. Market value is determined by the mid point of the bid/ask spread at 4:00 p.m. Eastern Time from the primary listing exchange. Market value returns may vary from net asset value returns. |
(f) | In-kind transactions are not included in portfolio turnover calculations. |
(g) | The amount shown for a share outstanding throughout the period is directionally inconsistent with aggregate net realized and unrealized gain (loss) for the period as presented in the financial statements. |
(h) | Per share amount is less than $0.005. |
(i) | The Fund indirectly bears its proportionate share of fees and expenses incurred by the Underlying Fund(s) in which the Fund is invested. This ratio does not include these indirect fees and expenses. |
(j) | The Expenses net of reimbursements and Net investment Income (Loss) net of reimbursement ratios include a voluntary reimbursement of advisory fees made by JPMorgan Chase Bank, N.A. Absent this additional reimbursement, Expenses net of reimbursements would have increased by 0.20% and the Net investment Income (Loss) net of reimbursement would have decreased by 0.20%. |
(k) | Northern Trust Investments, Inc. reimbursed the Funds for losses incurred related to an error. The impact was an increase of $0.02 to the net realized and unrealized gain (loss) on investments per share and an increase of 0.06% to the total return of the FlexShares Morningstar Global Upstream Natural Resources Index Fund. For the FlexShares Morningstar Developed Markets ex-US Factor Tilt Index Fund and FlexShares STOXX Global ESG Impact Index Fund, the impact to the net realized and unrealized gain (loss) on investments per share amount is less than $0.005 and the total returns are less than 0.005%. Had these reimbursements not been made, the total returns would have been lower. |
See Accompanying Notes to the Financial Statements.
96 | FLEXSHARES ANNUAL REPORT |
Table of Contents
| RATIOS/SUPPLEMENTAL DATA | |||||||||||||||||||||||||||||||||
Total Return(b) | Ratios to Average Net Assets(c) | Supplemental Data | ||||||||||||||||||||||||||||||||
Net Asset Value, end of period | Net Asset Value(d) | Market Value (Unaudited)(e) | Expenses | Expenses net of reimbursements | Net investment Income before reimbursements | Net investment Income net of reimbursements | Portfolio Turnover Rate(b)(f) | Net assets, end of period (thousands) | ||||||||||||||||||||||||||
$ | 54.24 | (10.57 | )% | (10.23 | )% | 0.40 | % | 0.39 | % | 2.28 | % | 2.28 | % | 21 | % | $ | 499,016 | |||||||||||||||||
62.67 | 8.13 | 8.16 | 0.40 | 0.39 | 3.09 | 3.09 | 25 | 965,142 | ||||||||||||||||||||||||||
59.76 | (8.61 | ) | (9.48 | ) | 0.39 | 0.39 | 2.65 | 2.65 | 34 | 968,096 | ||||||||||||||||||||||||
67.51 | 24.58 | (k) | 25.38 | 0.40 | 0.39 | 2.57 | 2.57 | 22 | 985,608 | |||||||||||||||||||||||||
55.62 | 0.20 | 0.80 | 0.43 | 0.42 | 2.91 | 2.92 | 35 | 622,898 | ||||||||||||||||||||||||||
48.05 | (1.86 | ) | (1.44 | ) | 0.60 | 0.59 | 2.13 | 2.14 | 41 | 225,847 | ||||||||||||||||||||||||
50.42 | 8.29 | 8.08 | 0.60 | 0.59 | 2.92 | 2.93 | 45 | 413,414 | ||||||||||||||||||||||||||
47.92 | (14.05 | ) | (15.22 | ) | 0.59 | 0.59 | 2.56 | 2.56 | 49 | 488,736 | ||||||||||||||||||||||||
57.38 | 23.56 | 23.47 | 0.60 | 0.59 | 2.44 | 2.44 | 34 | 568,071 | ||||||||||||||||||||||||||
47.52 | 9.41 | 10.65 | 0.66 | 0.65 | 2.23 | 2.23 | 34 | 299,351 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 97 |
Table of Contents
Financial Highlights (cont.)
PER SHARE | ||||||||||||||||||||||||||||||||
Investment Operations | Distributions | |||||||||||||||||||||||||||||||
Net asset value, beginning of period | Net Investment Income | Net Realized and Unrealized Gain (Loss) | Total from Operations | Net Investment Income | From Net Realized Gains | Tax return of capital | Total | |||||||||||||||||||||||||
FlexShares® Currency Hedged Morningstar DM ex-US Factor Tilt Index Fund | ||||||||||||||||||||||||||||||||
Year ended October 31, 2020 | $ | 28.22 | $ | 0.87 | (a) | $ | (3.54 | ) | $ | (2.67 | ) | $ | (1.03 | ) | $ | — | $ | — | $ | (1.03 | ) | |||||||||||
Year ended October 31, 2019 | 26.44 | 0.81 | (a) | 1.78 | 2.59 | (0.81 | ) | — | — | (0.81 | ) | |||||||||||||||||||||
Year ended October 31, 2018 | 29.14 | 0.93 | (a) | (2.53 | ) | (1.60 | ) | (0.78 | ) | — | (0.32 | ) | (1.10 | ) | ||||||||||||||||||
Year ended October 31, 2017 | 23.97 | 0.59 | (a) | 5.27 | 5.86 | (0.69 | ) | — | — | (0.69 | ) | |||||||||||||||||||||
For the period 11/09/15* through 10/31/16 | 25.00 | 1.04 | (a) | (0.96 | ) | 0.08 | (0.98 | ) | — | (0.13 | ) | (1.11 | ) | |||||||||||||||||||
FlexShares® Currency Hedged Morningstar EM Factor Tilt Index Fund | ||||||||||||||||||||||||||||||||
Year ended October 31, 2020 | 27.21 | 0.78 | (a) | (0.02 | )(g) | 0.76 | (0.78 | ) | — | — | (0.78 | ) | ||||||||||||||||||||
Year ended October 31, 2019 | 26.04 | 0.78 | (a) | 1.17 | 1.95 | (0.78 | ) | — | — | (0.78 | ) | |||||||||||||||||||||
Year ended October 31, 2018 | 30.58 | 0.63 | (a) | (4.35 | ) | (3.72 | ) | (0.79 | ) | — | (0.03 | ) | (0.82 | ) | ||||||||||||||||||
Year ended October 31, 2017 | 25.82 | 0.63 | (a) | 4.77 | 5.40 | (0.64 | ) | — | — | (0.64 | ) | |||||||||||||||||||||
For the period 11/09/15* through 10/31/16 | 25.00 | 0.59 | (a) | 1.10 | 1.69 | (0.87 | ) | — | — | (0.87 | ) |
* | Commencement of investment operations. |
(a) | Net investment income per share is based on average shares outstanding. |
(b) | Not annualized for periods less than one year. |
(c) | Annualized for periods less than one year. |
(d) | Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period at adjusted net asset value. |
(e) | Market value total return is calculated assuming an initial investment made at the market value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period at market value. Market value is determined by the mid point of the bid/ask spread at 4:00 p.m. Eastern Time from the primary listing exchange. Market value returns may vary from net asset value returns. |
(f) | In-kind transactions are not included in portfolio turnover calculations. |
(g) | The amount shown for a share outstanding throughout the period is directionally inconsistent with aggregate net realized and unrealized gain (loss) for the period as presented in the financial statements. |
(h) | Per share amount is less than $0.005. |
(i) | The Fund indirectly bears its proportionate share of fees and expenses incurred by the Underlying Fund(s) in which the Fund is invested. This ratio does not include these indirect fees and expenses. |
(j) | The Expenses net of reimbursements and Net investment Income (Loss) net of reimbursement ratios include a voluntary reimbursement of advisory fees made by JPMorgan Chase Bank, N.A. Absent this additional reimbursement, Expenses net of reimbursements would have increased by 0.20% and the Net investment Income (Loss) net of reimbursement would have decreased by 0.20%. |
(k) | Northern Trust Investments, Inc. reimbursed the Funds for losses incurred related to an error. The impact was an increase of $0.02 to the net realized and unrealized gain (loss) on investments per share and an increase of 0.06% to the total return of the FlexShares Morningstar Global Upstream Natural Resources Index Fund. For the FlexShares Morningstar Developed Markets ex-US Factor Tilt Index Fund and FlexShares STOXX Global ESG Impact Index Fund, the impact to the net realized and unrealized gain (loss) on investments per share amount is less than $0.005 and the total returns are less than 0.005%. Had these reimbursements not been made, the total returns would have been lower. |
See Accompanying Notes to the Financial Statements.
98 | FLEXSHARES ANNUAL REPORT |
Table of Contents
| RATIOS/SUPPLEMENTAL DATA | |||||||||||||||||||||||||||||||||
Total Return(b) | Ratios to Average Net Assets(c) | Supplemental Data | ||||||||||||||||||||||||||||||||
Net Asset Value, end of period | Net Asset Value(d) | Market Value (Unaudited)(e) | Expenses | Expenses net of reimbursements | Net investment Income before reimbursements | Net investment Income net of reimbursements | Portfolio Turnover Rate(b)(f) | Net assets, end of period (thousands) | ||||||||||||||||||||||||||
$ | 24.52 | (9.71 | )% | (10.11 | )% | 0.45 | %(i) | 0.05 | %(i) | 2.92 | % | 3.32 | % | 11 | % | $ | 6,129 | |||||||||||||||||
28.22 | 10.02 | 10.61 | 0.45 | (i) | 0.05 | (i) | 2.62 | 3.02 | 4 | 8,466 | ||||||||||||||||||||||||
26.44 | (5.73 | ) | (6.19 | ) | 0.46 | (i) | 0.05 | (i) | 2.84 | 3.25 | 9 | 7,933 | ||||||||||||||||||||||
29.14 | 24.75 | 24.84 | 0.46 | (i) | 0.05 | (i) | 1.78 | 2.18 | 6 | 18,941 | ||||||||||||||||||||||||
| 23.97 | 0.59 | 0.97 | 0.55 | (i) | 0.05 | (i) | 4.12 | 4.62 | 11 | 3,595 | |||||||||||||||||||||||
27.19 | 2.88 | 2.92 | 0.64 | (i) | 0.06 | (i) | 2.33 | 2.92 | 3 | 3,399 | ||||||||||||||||||||||||
27.21 | 7.52 | 7.89 | 0.65 | (i) | 0.06 | (i) | 2.23 | 2.82 | 5 | 5,443 | ||||||||||||||||||||||||
26.04 | (12.40 | ) | (12.44 | ) | 0.65 | (i) | 0.05 | (i) | 1.45 | 2.05 | 6 | 4,557 | ||||||||||||||||||||||
30.58 | 21.16 | 20.75 | 0.65 | (i) | 0.05 | (i) | 1.67 | 2.27 | 4 | 41,285 | ||||||||||||||||||||||||
| 25.82 | 7.04 | 7.12 | 0.72 | (i) | 0.05 | (i) | 1.81 | 2.47 | 4 | 33,567 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 99 |
Table of Contents
Financial Highlights (cont.)
PER SHARE | ||||||||||||||||||||||||||||||||
Investment Operations | Distributions | |||||||||||||||||||||||||||||||
Net asset value, beginning of period | Net Investment Income | Net Realized and Unrealized Gain (Loss) | Total from Operations | Net Investment Income | From Net Realized Gains | Tax return of capital | Total | |||||||||||||||||||||||||
FlexShares® US Quality Large Cap Index Fund | ||||||||||||||||||||||||||||||||
Year ended October 31, 2020 | $ | 34.69 | $ | 0.62 | (a) | $ | 0.76 | $ | 1.38 | $ | (0.59 | ) | $ | — | $ | — | $ | (0.59 | ) | |||||||||||||
Year ended October 31, 2019 | 33.44 | 0.68 | (a) | 1.29 | 1.97 | (0.72 | ) | — | — | (0.72 | ) | |||||||||||||||||||||
Year ended October 31, 2018 | 31.83 | 0.54 | (a) | 1.58 | 2.12 | (0.51 | ) | — | — | (0.51 | ) | |||||||||||||||||||||
Year ended October 31, 2017 | 26.15 | 0.49 | (a) | 5.65 | 6.14 | (0.46 | ) | — | — | (0.46 | ) | |||||||||||||||||||||
Year ended October 31, 2016 | 26.62 | 0.50 | (a) | (0.47 | ) | 0.03 | (0.50 | ) | — | — | (0.50 | ) | ||||||||||||||||||||
FlexShares® STOXX® US ESG Impact Index Fund | ||||||||||||||||||||||||||||||||
Year ended October 31, 2020 | 72.29 | 1.27 | (a) | 6.81 | 8.08 | (1.21 | ) | — | — | (1.21 | ) | |||||||||||||||||||||
Year ended October 31, 2019 | 64.33 | 1.21 | (a) | 7.83 | 9.04 | (1.08 | ) | — | — | (1.08 | ) | |||||||||||||||||||||
Year ended October 31, 2018 | 60.49 | 1.09 | (a) | 3.84 | 4.93 | (1.09 | ) | — | — | (1.09 | ) | |||||||||||||||||||||
Year ended October 31, 2017 | 49.96 | 1.05 | (a) | 10.45 | 11.50 | (0.97 | ) | — | — | (0.97 | ) | |||||||||||||||||||||
For the period 07/13/16* through 10/31/16 | 50.00 | 0.27 | (a) | (0.15 | ) | 0.12 | (0.16 | ) | — | — | (0.16 | ) |
* | Commencement of investment operations. |
(a) | Net investment income per share is based on average shares outstanding. |
(b) | Not annualized for periods less than one year. |
(c) | Annualized for periods less than one year. |
(d) | Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period at adjusted net asset value. |
(e) | Market value total return is calculated assuming an initial investment made at the market value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period at market value. Market value is determined by the mid point of the bid/ask spread at 4:00 p.m. Eastern Time from the primary listing exchange. Market value returns may vary from net asset value returns. |
(f) | In-kind transactions are not included in portfolio turnover calculations. |
(g) | The amount shown for a share outstanding throughout the period is directionally inconsistent with aggregate net realized and unrealized gain (loss) for the period as presented in the financial statements. |
(h) | Per share amount is less than $0.005. |
(i) | The Fund indirectly bears its proportionate share of fees and expenses incurred by the Underlying Fund(s) in which the Fund is invested. This ratio does not include these indirect fees and expenses. |
(j) | The Expenses net of reimbursements and Net investment Income (Loss) net of reimbursement ratios include a voluntary reimbursement of advisory fees made by JPMorgan Chase Bank, N.A. Absent this additional reimbursement, Expenses net of reimbursements would have increased by 0.20% and the Net investment Income (Loss) net of reimbursement would have decreased by 0.20%. |
(k) | Northern Trust Investments, Inc. reimbursed the Funds for losses incurred related to an error. The impact was an increase of $0.02 to the net realized and unrealized gain (loss) on investments per share and an increase of 0.06% to the total return of the FlexShares Morningstar Global Upstream Natural Resources Index Fund. For the FlexShares Morningstar Developed Markets ex-US Factor Tilt Index Fund and FlexShares STOXX Global ESG Impact Index Fund, the impact to the net realized and unrealized gain (loss) on investments per share amount is less than $0.005 and the total returns are less than 0.005%. Had these reimbursements not been made, the total returns would have been lower. |
See Accompanying Notes to the Financial Statements.
100 | FLEXSHARES ANNUAL REPORT |
Table of Contents
| RATIOS/SUPPLEMENTAL DATA | |||||||||||||||||||||||||||||||||
Total Return(b) | Ratios to Average Net Assets(c) | Supplemental Data | ||||||||||||||||||||||||||||||||
Net Asset Value, end of period | Net Asset Value(d) | Market Value (Unaudited)(e) | Expenses | Expenses net of reimbursements | Net investment Income before reimbursements | Net investment Income net of reimbursements | Portfolio Turnover Rate(b)(f) | Net assets, end of period (thousands) | ||||||||||||||||||||||||||
$ | 35.48 | 4.13 | % | 4.16 | % | 0.33 | % | 0.32 | % | 1.77 | % | 1.77 | % | 48 | % | $ | 71,842 | |||||||||||||||||
34.69 | 6.04 | 6.01 | 0.33 | 0.32 | 2.04 | 2.05 | 69 | 51,171 | ||||||||||||||||||||||||||
33.44 | 6.63 | 6.30 | 0.33 | 0.32 | 1.56 | 1.57 | 94 | 61,859 | ||||||||||||||||||||||||||
31.83 | 23.65 | 24.08 | 0.34 | 0.32 | 1.65 | 1.67 | 64 | 27,055 | ||||||||||||||||||||||||||
26.15 | 0.12 | 0.12 | 0.38 | 0.32 | 1.87 | 1.93 | 59 | 6,538 | ||||||||||||||||||||||||||
79.16 | 11.40 | 11.45 | 0.33 | 0.32 | 1.67 | 1.68 | 66 | 89,052 | ||||||||||||||||||||||||||
72.29 | 14.21 | 14.26 | 0.33 | 0.32 | 1.78 | 1.79 | 75 | 56,024 | ||||||||||||||||||||||||||
64.33 | 8.13 | 7.97 | 0.33 | 0.32 | 1.66 | 1.67 | 110 | 28,946 | ||||||||||||||||||||||||||
60.49 | 23.19 | 23.30 | 0.35 | 0.32 | 1.82 | 1.85 | 67 | 13,610 | ||||||||||||||||||||||||||
| 49.96 | 0.24 | 0.28 | 0.37 | 0.32 | 1.75 | 1.80 | 20 | 4,996 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 101 |
Table of Contents
Financial Highlights (cont.)
PER SHARE | ||||||||||||||||||||||||||||||||
Investment Operations | Distributions | |||||||||||||||||||||||||||||||
Net asset value, beginning of period | Net Investment Income | Net Realized and Unrealized Gain (Loss) | Total from Operations | Net Investment Income | From Net Realized Gains | Tax return of capital | Total | |||||||||||||||||||||||||
FlexShares® STOXX® Global ESG Impact Index Fund | ||||||||||||||||||||||||||||||||
Year ended October 31, 2020 | $ | 101.77 | $ | 1.72 | (a) | $ | 4.26 | $ | 5.98 | $ | (1.73 | ) | $ | — | $ | — | $ | (1.73 | ) | |||||||||||||
Year ended October 31, 2019 | 91.61 | 2.05 | (a) | 10.12 | 12.17 | (2.01 | ) | — | — | (2.01 | ) | |||||||||||||||||||||
Year ended October 31, 2018 | 91.97 | 1.95 | (a) | (0.61 | ) | 1.34 | (1.70 | ) | — | — | (1.70 | ) | ||||||||||||||||||||
Year ended October 31, 2017 | 75.52 | 1.56 | (a) | 16.67 | (k) | 18.23 | (1.78 | ) | — | — | (1.78 | ) | ||||||||||||||||||||
For the period 07/13/16* through 10/31/16 | 75.00 | 0.41 | (a) | 0.34 | 0.75 | (0.23 | ) | — | — | (0.23 | ) | |||||||||||||||||||||
FlexShares® Morningstar Global Upstream Natural Resources Index Fund | ||||||||||||||||||||||||||||||||
Year ended October 31, 2020 | 31.40 | 0.89 | (a) | (4.65 | ) | (3.76 | ) | (0.93 | ) | — | — | (0.93 | ) | |||||||||||||||||||
Year ended October 31, 2019 | 31.51 | 1.08 | (a) | (0.09 | ) | 0.99 | (1.10 | ) | — | — | (1.10 | ) | ||||||||||||||||||||
Year ended October 31, 2018 | 31.59 | 0.91 | (a) | (0.13 | ) | 0.78 | (0.86 | ) | — | — | (0.86 | ) | ||||||||||||||||||||
Year ended October 31, 2017 | 27.40 | 0.70 | (a) | 4.13 | (k) | 4.83 | (0.64 | ) | — | — | (0.64 | ) | ||||||||||||||||||||
Year ended October 31, 2016 | 25.52 | 0.55 | (a) | 2.73 | 3.28 | (1.40 | ) | — | — | (1.40 | ) |
* | Commencement of investment operations. |
(a) | Net investment income per share is based on average shares outstanding. |
(b) | Not annualized for periods less than one year. |
(c) | Annualized for periods less than one year. |
(d) | Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period at adjusted net asset value. |
(e) | Market value total return is calculated assuming an initial investment made at the market value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period at market value. Market value is determined by the mid point of the bid/ask spread at 4:00 p.m. Eastern Time from the primary listing exchange. Market value returns may vary from net asset value returns. |
(f) | In-kind transactions are not included in portfolio turnover calculations. |
(g) | The amount shown for a share outstanding throughout the period is directionally inconsistent with aggregate net realized and unrealized gain (loss) for the period as presented in the financial statements. |
(h) | Per share amount is less than $0.005. |
(i) | The Fund indirectly bears its proportionate share of fees and expenses incurred by the Underlying Fund(s) in which the Fund is invested. This ratio does not include these indirect fees and expenses. |
(j) | The Expenses net of reimbursements and Net investment Income (Loss) net of reimbursement ratios include a voluntary reimbursement of advisory fees made by JPMorgan Chase Bank, N.A. Absent this additional reimbursement, Expenses net of reimbursements would have increased by 0.20% and the Net investment Income (Loss) net of reimbursement would have decreased by 0.20%. |
(k) | Northern Trust Investments, Inc. reimbursed the Funds for losses incurred related to an error. The impact was an increase of $0.02 to the net realized and unrealized gain (loss) on investments per share and an increase of 0.06% to the total return of the FlexShares Morningstar Global Upstream Natural Resources Index Fund. For the FlexShares Morningstar Developed Markets ex-US Factor Tilt Index Fund and FlexShares STOXX Global ESG Impact Index Fund, the impact to the net realized and unrealized gain (loss) on investments per share amount is less than $0.005 and the total returns are less than 0.005%. Had these reimbursements not been made, the total returns would have been lower. |
See Accompanying Notes to the Financial Statements.
102 | FLEXSHARES ANNUAL REPORT |
Table of Contents
| RATIOS/SUPPLEMENTAL DATA | |||||||||||||||||||||||||||||||||
Total Return(b) | Ratios to Average Net Assets(c) | Supplemental Data | ||||||||||||||||||||||||||||||||
Net Asset Value, end of period | Net Asset Value(d) | Market Value (Unaudited)(e) | Expenses | Expenses net of reimbursements | Net investment Income before reimbursements | Net investment Income net of reimbursements | Portfolio Turnover Rate(b)(f) | Net assets, end of period (thousands) | ||||||||||||||||||||||||||
$ | 106.02 | 6.03 | % | 6.46 | % | 0.43 | % | 0.42 | % | 1.66 | % | 1.66 | % | 58 | % | $ | 111,323 | |||||||||||||||||
101.77 | 13.49 | 12.96 | 0.43 | 0.42 | 2.15 | 2.16 | 66 | 91,590 | ||||||||||||||||||||||||||
91.61 | 1.38 | 1.71 | 0.43 | 0.42 | 2.03 | 2.04 | 78 | 73,284 | ||||||||||||||||||||||||||
91.97 | 24.37 | (k) | 24.55 | 0.45 | 0.42 | 1.81 | 1.83 | 64 | 32,189 | |||||||||||||||||||||||||
| 75.52 | 1.00 | 1.03 | 0.45 | 0.42 | 1.74 | 1.77 | 22 | 7,552 | |||||||||||||||||||||||||
26.71 | (11.87 | ) | (11.46 | ) | 0.47 | 0.46 | 3.03 | 3.04 | 29 | 2,924,726 | ||||||||||||||||||||||||
31.40 | 3.16 | 3.06 | 0.47 | 0.46 | 3.40 | 3.41 | 24 | 5,510,201 | ||||||||||||||||||||||||||
31.51 | 2.33 | 2.01 | 0.46 | 0.46 | 2.72 | 2.72 | 30 | 5,435,783 | ||||||||||||||||||||||||||
31.59 | 17.81 | (k) | 17.97 | 0.47 | 0.46 | 2.36 | 2.36 | 18 | 4,760,397 | |||||||||||||||||||||||||
27.40 | 13.84 | 14.05 | 0.49 | 0.48 | 2.20 | 2.20 | 18 | 2,822,012 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 103 |
Table of Contents
Financial Highlights (cont.)
PER SHARE | ||||||||||||||||||||||||||||||||
Investment Operations | Distributions | |||||||||||||||||||||||||||||||
Net asset value, beginning of period | Net Investment Income | Net Realized and Unrealized Gain (Loss) | Total from Operations | Net Investment Income | From Net Realized Gains | Tax return of capital | Total | |||||||||||||||||||||||||
FlexShares® STOXX® Global Broad Infrastructure Index Fund | ||||||||||||||||||||||||||||||||
Year ended October 31, 2020 | $ | 52.56 | $ | 1.25 | (a) | $ | (4.53 | ) | $ | (3.28 | ) | $ | (1.18 | ) | $ | — | $ | — | $ | (1.18 | ) | |||||||||||
Year ended October 31, 2019 | 45.09 | 1.35 | (a) | 7.34 | 8.69 | (1.22 | ) | — | — | (1.22 | ) | |||||||||||||||||||||
Year ended October 31, 2018 | 47.85 | 1.36 | (a) | (2.71 | ) | (1.35 | ) | (1.41 | ) | — | — | (1.41 | ) | |||||||||||||||||||
Year ended October 31, 2017 | 43.49 | 1.37 | (a) | 4.40 | 5.77 | (1.41 | ) | — | — | (1.41 | ) | |||||||||||||||||||||
Year ended October 31, 2016 | 43.30 | 1.34 | (a) | (0.02 | )(g) | 1.32 | (1.13 | ) | — | — | (1.13 | ) | ||||||||||||||||||||
FlexShares® Global Quality Real Estate Index Fund | ||||||||||||||||||||||||||||||||
Year ended October 31, 2020 | 66.60 | 1.43 | (a) | (14.62 | ) | (13.19 | ) | (2.50 | ) | — | (0.03 | ) | (2.53 | ) | ||||||||||||||||||
Year ended October 31, 2019 | 57.96 | 1.76 | (a) | 8.68 | 10.44 | (1.80 | ) | — | — | (1.80 | ) | |||||||||||||||||||||
Year ended October 31, 2018 | 62.02 | 1.80 | (a) | (3.99 | ) | (2.19 | ) | (1.87 | ) | — | — | (1.87 | ) | |||||||||||||||||||
Year ended October 31, 2017 | 57.12 | 0.99 | (a) | 5.54 | 6.53 | (1.63 | ) | — | — | (1.63 | ) | |||||||||||||||||||||
Year ended October 31, 2016 | 57.47 | 1.90 | (a) | (0.58 | ) | 1.32 | (1.67 | ) | — | — | (1.67 | ) |
* | Commencement of investment operations. |
(a) | Net investment income per share is based on average shares outstanding. |
(b) | Not annualized for periods less than one year. |
(c) | Annualized for periods less than one year. |
(d) | Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period at adjusted net asset value. |
(e) | Market value total return is calculated assuming an initial investment made at the market value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period at market value. Market value is determined by the mid point of the bid/ask spread at 4:00 p.m. Eastern Time from the primary listing exchange. Market value returns may vary from net asset value returns. |
(f) | In-kind transactions are not included in portfolio turnover calculations. |
(g) | The amount shown for a share outstanding throughout the period is directionally inconsistent with aggregate net realized and unrealized gain (loss) for the period as presented in the financial statements. |
(h) | Per share amount is less than $0.005. |
(i) | The Fund indirectly bears its proportionate share of fees and expenses incurred by the Underlying Fund(s) in which the Fund is invested. This ratio does not include these indirect fees and expenses. |
(j) | The Expenses net of reimbursements and Net investment Income (Loss) net of reimbursement ratios include a voluntary reimbursement of advisory fees made by JPMorgan Chase Bank, N.A. Absent this additional reimbursement, Expenses net of reimbursements would have increased by 0.20% and the Net investment Income (Loss) net of reimbursement would have decreased by 0.20%. |
(k) | Northern Trust Investments, Inc. reimbursed the Funds for losses incurred related to an error. The impact was an increase of $0.02 to the net realized and unrealized gain (loss) on investments per share and an increase of 0.06% to the total return of the FlexShares Morningstar Global Upstream Natural Resources Index Fund. For the FlexShares Morningstar Developed Markets ex-US Factor Tilt Index Fund and FlexShares STOXX Global ESG Impact Index Fund, the impact to the net realized and unrealized gain (loss) on investments per share amount is less than $0.005 and the total returns are less than 0.005%. Had these reimbursements not been made, the total returns would have been lower. |
See Accompanying Notes to the Financial Statements.
104 | FLEXSHARES ANNUAL REPORT |
Table of Contents
| RATIOS/SUPPLEMENTAL DATA | |||||||||||||||||||||||||||||||||
Total Return(b) | Ratios to Average Net Assets(c) | Supplemental Data | ||||||||||||||||||||||||||||||||
Net Asset Value, end of period | Net Asset Value(d) | Market Value (Unaudited)(e) | Expenses | Expenses net of reimbursements | Net investment Income before reimbursements | Net investment Income net of reimbursements | Portfolio Turnover Rate(b)(f) | Net assets, end of period (thousands) | ||||||||||||||||||||||||||
$ | 48.10 | (6.23 | )% | (5.93 | )% | 0.48 | % | 0.47 | % | 2.51 | % | 2.52 | % | 13 | % | $ | 1,856,596 | |||||||||||||||||
52.56 | 19.52 | 19.99 | 0.48 | 0.47 | 2.73 | 2.74 | 12 | 1,477,030 | ||||||||||||||||||||||||||
45.09 | (2.90 | ) | (3.25 | ) | 0.47 | 0.47 | 2.88 | 2.89 | 13 | 773,363 | ||||||||||||||||||||||||
47.85 | 13.44 | 13.23 | 0.48 | 0.47 | 2.97 | 2.98 | 12 | 875,628 | ||||||||||||||||||||||||||
43.49 | 3.09 | 3.26 | 0.48 | 0.47 | 3.09 | 3.10 | 14 | 669,676 | ||||||||||||||||||||||||||
50.88 | (20.29 | ) | (20.40 | ) | 0.46 | 0.45 | 2.53 | 2.54 | 56 | 264,574 | ||||||||||||||||||||||||
66.60 | 18.37 | 18.65 | 0.46 | 0.45 | 2.80 | 2.81 | 53 | 376,264 | ||||||||||||||||||||||||||
57.96 | (3.69 | ) | (3.95 | ) | 0.46 | 0.45 | 2.92 | 2.92 | 61 | 275,332 | ||||||||||||||||||||||||
62.02 | 11.71 | 11.71 | 0.46 | 0.45 | 1.67 | 1.67 | 64 | 244,970 | ||||||||||||||||||||||||||
57.12 | 2.28 | 2.44 | 0.46 | 0.45 | 3.26 | 3.27 | 57 | 197,049 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 105 |
Table of Contents
Financial Highlights (cont.)
PER SHARE | ||||||||||||||||||||||||||||||||
Investment Operations | Distributions | |||||||||||||||||||||||||||||||
Net asset value, beginning of period | Net Investment Income | Net Realized and Unrealized Gain (Loss) | Total from Operations | Net Investment Income | From Net Realized Gains | Tax return of capital | Total | |||||||||||||||||||||||||
FlexShares® Real Assets Allocation Index Fund | ||||||||||||||||||||||||||||||||
Year ended October 31, 2020 | $ | 30.30 | $ | 0.86 | (a) | $ | (4.58 | ) | $ | (3.72 | ) | $ | (0.86 | ) | $ | — | $ | — | $ | (0.86 | ) | |||||||||||
Year ended October 31, 2019 | 26.45 | 0.76 | (a) | 3.85 | 4.61 | (0.76 | ) | — | — | (0.76 | ) | |||||||||||||||||||||
Year ended October 31, 2018 | 28.08 | 0.80 | (a) | (1.64 | ) | (0.84 | ) | (0.79 | ) | 0.00 | (h) | — | (0.79 | ) | ||||||||||||||||||
Year ended October 31, 2017 | 25.63 | 0.66 | (a) | 2.54 | 3.20 | (0.75 | ) | — | — | (0.75 | ) | |||||||||||||||||||||
For the period 11/23/15* through 10/31/16 | 25.00 | 0.86 | (a) | 0.51 | (g) | 1.37 | (0.74 | ) | — | — | (0.74 | ) | ||||||||||||||||||||
FlexShares® Quality Dividend Index Fund | ||||||||||||||||||||||||||||||||
Year ended October 31, 2020 | 46.33 | 1.24 | (a) | (2.67 | ) | (1.43 | ) | (1.25 | ) | (0.25 | ) | — | (1.50 | ) | ||||||||||||||||||
Year ended October 31, 2019 | 44.53 | 1.24 | (a) | 2.29 | 3.53 | (1.19 | ) | (0.54 | ) | — | (1.73 | ) | ||||||||||||||||||||
Year ended October 31, 2018 | 42.57 | 1.20 | (a) | 1.98 | 3.18 | (1.22 | ) | — | — | (1.22 | ) | |||||||||||||||||||||
Year ended October 31, 2017 | 37.11 | 1.23 | (a) | 5.43 | 6.66 | (1.20 | ) | — | — | (1.20 | ) | |||||||||||||||||||||
Year ended October 31, 2016 | 35.99 | 1.23 | (a) | 1.03 | 2.26 | (1.14 | ) | — | — | (1.14 | ) |
* | Commencement of investment operations. |
(a) | Net investment income per share is based on average shares outstanding. |
(b) | Not annualized for periods less than one year. |
(c) | Annualized for periods less than one year. |
(d) | Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period at adjusted net asset value. |
(e) | Market value total return is calculated assuming an initial investment made at the market value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period at market value. Market value is determined by the mid point of the bid/ask spread at 4:00 p.m. Eastern Time from the primary listing exchange. Market value returns may vary from net asset value returns. |
(f) | In-kind transactions are not included in portfolio turnover calculations. |
(g) | The amount shown for a share outstanding throughout the period is directionally inconsistent with aggregate net realized and unrealized gain (loss) for the period as presented in the financial statements. |
(h) | Per share amount is less than $0.005. |
(i) | The Fund indirectly bears its proportionate share of fees and expenses incurred by the Underlying Fund(s) in which the Fund is invested. This ratio does not include these indirect fees and expenses. |
(j) | The Expenses net of reimbursements and Net investment Income (Loss) net of reimbursement ratios include a voluntary reimbursement of advisory fees made by JPMorgan Chase Bank, N.A. Absent this additional reimbursement, Expenses net of reimbursements would have increased by 0.20% and the Net investment Income (Loss) net of reimbursement would have decreased by 0.20%. |
(k) | Northern Trust Investments, Inc. reimbursed the Funds for losses incurred related to an error. The impact was an increase of $0.02 to the net realized and unrealized gain (loss) on investments per share and an increase of 0.06% to the total return of the FlexShares Morningstar Global Upstream Natural Resources Index Fund. For the FlexShares Morningstar Developed Markets ex-US Factor Tilt Index Fund and FlexShares STOXX Global ESG Impact Index Fund, the impact to the net realized and unrealized gain (loss) on investments per share amount is less than $0.005 and the total returns are less than 0.005%. Had these reimbursements not been made, the total returns would have been lower. |
See Accompanying Notes to the Financial Statements.
106 | FLEXSHARES ANNUAL REPORT |
Table of Contents
| RATIOS/SUPPLEMENTAL DATA | |||||||||||||||||||||||||||||||||
Total Return(b) | Ratios to Average Net Assets(c) | Supplemental Data | ||||||||||||||||||||||||||||||||
Net Asset Value, end of period | Net Asset Value(d) | Market Value (Unaudited)(e) | Expenses | Expenses net of reimbursements | Net investment Income before reimbursements | Net investment Income net of reimbursements | Portfolio Turnover Rate(b)(f) | Net assets, end of period (thousands) | ||||||||||||||||||||||||||
$ | 25.72 | (12.45 | )% | (12.54 | )% | 0.58 | %(i) | 0.11 | %(i) | 2.65 | % | 3.11 | % | 14 | % | $ | 4,502 | |||||||||||||||||
30.30 | 17.69 | 17.72 | 0.58 | (i) | 0.11 | (i) | 2.22 | 2.69 | 4 | 11,361 | ||||||||||||||||||||||||
26.45 | (3.09 | ) | (3.32 | ) | 0.59 | (i) | 0.11 | (i) | 2.39 | 2.87 | 5 | 13,887 | ||||||||||||||||||||||
28.08 | 12.73 | 13.05 | 0.65 | (i) | 0.11 | (i) | 1.88 | 2.42 | 11 | 6,318 | ||||||||||||||||||||||||
| 25.63 | 5.56 | 5.60 | 0.72 | (i) | 0.11 | (i) | 3.03 | 3.64 | 11 | 1,282 | |||||||||||||||||||||||
43.40 | (2.98 | ) | (2.98 | ) | 0.38 | 0.37 | 2.79 | 2.79 | 75 | 1,265,177 | ||||||||||||||||||||||||
46.33 | 8.45 | 8.52 | 0.38 | 0.37 | 2.80 | 2.81 | 95 | 1,707,344 | ||||||||||||||||||||||||||
44.53 | 7.42 | 7.40 | 0.37 | 0.37 | 2.64 | 2.64 | 76 | 1,759,108 | ||||||||||||||||||||||||||
42.57 | 18.10 | 18.03 | 0.38 | 0.37 | 3.00 | 3.00 | 89 | 1,815,665 | ||||||||||||||||||||||||||
37.11 | 6.41 | 6.43 | 0.38 | 0.37 | 3.38 | 3.38 | 85 | 1,438,149 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 107 |
Table of Contents
Financial Highlights (cont.)
PER SHARE | ||||||||||||||||||||||||||||||||
Investment Operations | Distributions | |||||||||||||||||||||||||||||||
Net asset value, beginning of period | Net Investment Income | Net Realized and Unrealized Gain (Loss) | Total from Operations | Net Investment Income | From Net Realized Gains | Tax return of capital | Total | |||||||||||||||||||||||||
FlexShares® Quality Dividend Defensive Index Fund | ||||||||||||||||||||||||||||||||
Year ended October 31, 2020 | $ | 46.25 | $ | 1.21 | (a) | $ | (3.28 | ) | $ | (2.07 | ) | $ | (1.21 | ) | $ | (0.36 | ) | $ | — | $ | (1.57 | ) | ||||||||||
Year ended October 31, 2019 | 44.46 | 1.22 | (a) | 3.35 | 4.57 | (1.14 | ) | (1.64 | ) | — | (2.78 | ) | ||||||||||||||||||||
Year ended October 31, 2018 | 42.04 | 1.21 | (a) | 2.45 | 3.66 | (1.24 | ) | — | — | (1.24 | ) | |||||||||||||||||||||
Year ended October 31, 2017 | 36.82 | 1.18 | (a) | 5.18 | 6.36 | (1.14 | ) | — | — | (1.14 | ) | |||||||||||||||||||||
Year ended October 31, 2016 | 35.81 | 1.11 | (a) | 0.99 | 2.10 | (1.09 | ) | — | — | (1.09 | ) | |||||||||||||||||||||
FlexShares® Quality Dividend Dynamic Index Fund | ||||||||||||||||||||||||||||||||
Year ended October 31, 2020 | 45.49 | 1.33 | (a) | (1.21 | ) | 0.12 | (1.67 | ) | — | — | (1.67 | ) | ||||||||||||||||||||
Year ended October 31, 2019 | 42.20 | 1.21 | (a) | 3.26 | 4.47 | (1.18 | ) | — | — | (1.18 | ) | |||||||||||||||||||||
Year ended October 31, 2018 | 41.84 | 1.15 | (a) | 0.40 | 1.55 | (1.19 | ) | — | — | (1.19 | ) | |||||||||||||||||||||
Year ended October 31, 2017 | 35.32 | 1.19 | (a) | 6.45 | 7.64 | (1.12 | ) | — | — | (1.12 | ) | |||||||||||||||||||||
Year ended October 31, 2016 | 35.14 | 1.11 | (a) | 0.31 | (g) | 1.42 | (1.24 | ) | — | — | (1.24 | ) |
* | Commencement of investment operations. |
(a) | Net investment income per share is based on average shares outstanding. |
(b) | Not annualized for periods less than one year. |
(c) | Annualized for periods less than one year. |
(d) | Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period at adjusted net asset value. |
(e) | Market value total return is calculated assuming an initial investment made at the market value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period at market value. Market value is determined by the mid point of the bid/ask spread at 4:00 p.m. Eastern Time from the primary listing exchange. Market value returns may vary from net asset value returns. |
(f) | In-kind transactions are not included in portfolio turnover calculations. |
(g) | The amount shown for a share outstanding throughout the period is directionally inconsistent with aggregate net realized and unrealized gain (loss) for the period as presented in the financial statements. |
(h) | Per share amount is less than $0.005. |
(i) | The Fund indirectly bears its proportionate share of fees and expenses incurred by the Underlying Fund(s) in which the Fund is invested. This ratio does not include these indirect fees and expenses. |
(j) | The Expenses net of reimbursements and Net investment Income (Loss) net of reimbursement ratios include a voluntary reimbursement of advisory fees made by JPMorgan Chase Bank, N.A. Absent this additional reimbursement, Expenses net of reimbursements would have increased by 0.20% and the Net investment Income (Loss) net of reimbursement would have decreased by 0.20%. |
(k) | Northern Trust Investments, Inc. reimbursed the Funds for losses incurred related to an error. The impact was an increase of $0.02 to the net realized and unrealized gain (loss) on investments per share and an increase of 0.06% to the total return of the FlexShares Morningstar Global Upstream Natural Resources Index Fund. For the FlexShares Morningstar Developed Markets ex-US Factor Tilt Index Fund and FlexShares STOXX Global ESG Impact Index Fund, the impact to the net realized and unrealized gain (loss) on investments per share amount is less than $0.005 and the total returns are less than 0.005%. Had these reimbursements not been made, the total returns would have been lower. |
See Accompanying Notes to the Financial Statements.
108 | FLEXSHARES ANNUAL REPORT |
Table of Contents
| RATIOS/SUPPLEMENTAL DATA | |||||||||||||||||||||||||||||||||
Total Return(b) | Ratios to Average Net Assets(c) | Supplemental Data | ||||||||||||||||||||||||||||||||
Net Asset Value, end of period | Net Asset Value(d) | Market Value (Unaudited)(e) | Expenses | Expenses net of reimbursements | Net investment Income before reimbursements | Net investment Income net of reimbursements | Portfolio Turnover Rate(b)(f) | Net assets, end of period (thousands) | ||||||||||||||||||||||||||
$ | 42.61 | (4.45 | )% | (4.43 | )% | 0.38 | % | 0.37 | % | 2.77 | % | 2.77 | % | 76 | % | $ | 411,173 | |||||||||||||||||
46.25 | 11.40 | 11.40 | 0.38 | 0.37 | 2.76 | 2.76 | 91 | 450,963 | ||||||||||||||||||||||||||
44.46 | 8.69 | 8.74 | 0.38 | 0.37 | 2.70 | 2.71 | 94 | 320,091 | ||||||||||||||||||||||||||
42.04 | 17.44 | 17.41 | 0.38 | 0.37 | 2.94 | 2.95 | 74 | 313,167 | ||||||||||||||||||||||||||
36.82 | 5.96 | 5.96 | 0.38 | 0.37 | 3.09 | 3.10 | 72 | 252,223 | ||||||||||||||||||||||||||
43.94 | 0.86 | 0.91 | 0.38 | 0.37 | 2.93 | 2.94 | 77 | 13,181 | ||||||||||||||||||||||||||
45.49 | 10.86 | 10.89 | 0.38 | 0.37 | 2.81 | 2.82 | 77 | 52,308 | ||||||||||||||||||||||||||
42.20 | 3.59 | 3.67 | 0.38 | 0.37 | 2.61 | 2.62 | 77 | 44,305 | ||||||||||||||||||||||||||
41.84 | 21.81 | 21.59 | 0.38 | 0.37 | 2.99 | 3.00 | 63 | 58,571 | ||||||||||||||||||||||||||
35.32 | 4.16 | 4.43 | 0.38 | 0.37 | 3.23 | 3.25 | 69 | 52,979 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 109 |
Table of Contents
Financial Highlights (cont.)
PER SHARE | ||||||||||||||||||||||||||||||||
Investment Operations | Distributions | |||||||||||||||||||||||||||||||
Net asset value, beginning of period | Net Investment Income | Net Realized and Unrealized Gain (Loss) | Total from Operations | Net Investment Income | From Net Realized Gains | Tax return of capital | Total | |||||||||||||||||||||||||
FlexShares® International Quality Dividend Index Fund | ||||||||||||||||||||||||||||||||
Year ended October 31, 2020 | $ | 23.06 | $ | 0.79 | (a) | $ | (2.86 | ) | $ | (2.07 | ) | $ | (0.84 | ) | $ | — | $ | — | $ | (0.84 | ) | |||||||||||
Year ended October 31, 2019 | 22.37 | 1.13 | (a) | 0.70 | 1.83 | (1.14 | ) | — | — | (1.14 | ) | |||||||||||||||||||||
Year ended October 31, 2018 | 26.27 | 1.22 | (a) | (3.86 | ) | (2.64 | ) | (1.26 | ) | — | — | (1.26 | ) | |||||||||||||||||||
Year ended October 31, 2017 | 22.45 | 1.06 | (a) | 3.69 | 4.75 | (0.93 | ) | — | — | (0.93 | ) | |||||||||||||||||||||
Year ended October 31, 2016 | 23.03 | 0.92 | (a) | (0.68 | ) | 0.24 | (0.82 | ) | — | — | (0.82 | ) | ||||||||||||||||||||
FlexShares® International Quality Dividend Defensive Index Fund | ||||||||||||||||||||||||||||||||
Year ended October 31, 2020 | 21.87 | 0.74 | (a) | (2.70 | ) | (1.96 | ) | (0.75 | ) | — | — | (0.75 | ) | |||||||||||||||||||
Year ended October 31, 2019 | 21.39 | 1.09 | (a) | 0.51 | 1.60 | (1.12 | ) | — | — | (1.12 | ) | |||||||||||||||||||||
Year ended October 31, 2018 | 25.06 | 1.14 | (a) | (3.54 | ) | (2.40 | ) | (1.27 | ) | — | — | (1.27 | ) | |||||||||||||||||||
Year ended October 31, 2017 | 22.16 | 0.99 | (a) | 2.81 | 3.80 | (0.90 | ) | — | — | (0.90 | ) | |||||||||||||||||||||
Year ended October 31, 2016 | 22.54 | 0.83 | (a) | (0.35 | ) | 0.48 | (0.86 | ) | — | — | (0.86 | ) |
* | Commencement of investment operations. |
(a) | Net investment income per share is based on average shares outstanding. |
(b) | Not annualized for periods less than one year. |
(c) | Annualized for periods less than one year. |
(d) | Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period at adjusted net asset value. |
(e) | Market value total return is calculated assuming an initial investment made at the market value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period at market value. Market value is determined by the mid point of the bid/ask spread at 4:00 p.m. Eastern Time from the primary listing exchange. Market value returns may vary from net asset value returns. |
(f) | In-kind transactions are not included in portfolio turnover calculations. |
(g) | The amount shown for a share outstanding throughout the period is directionally inconsistent with aggregate net realized and unrealized gain (loss) for the period as presented in the financial statements. |
(h) | Per share amount is less than $0.005. |
(i) | The Fund indirectly bears its proportionate share of fees and expenses incurred by the Underlying Fund(s) in which the Fund is invested. This ratio does not include these indirect fees and expenses. |
(j) | The Expenses net of reimbursements and Net investment Income (Loss) net of reimbursement ratios include a voluntary reimbursement of advisory fees made by JPMorgan Chase Bank, N.A. Absent this additional reimbursement, Expenses net of reimbursements would have increased by 0.20% and the Net investment Income (Loss) net of reimbursement would have decreased by 0.20%. |
(k) | Northern Trust Investments, Inc. reimbursed the Funds for losses incurred related to an error. The impact was an increase of $0.02 to the net realized and unrealized gain (loss) on investments per share and an increase of 0.06% to the total return of the FlexShares Morningstar Global Upstream Natural Resources Index Fund. For the FlexShares Morningstar Developed Markets ex-US Factor Tilt Index Fund and FlexShares STOXX Global ESG Impact Index Fund, the impact to the net realized and unrealized gain (loss) on investments per share amount is less than $0.005 and the total returns are less than 0.005%. Had these reimbursements not been made, the total returns would have been lower. |
See Accompanying Notes to the Financial Statements.
110 | FLEXSHARES ANNUAL REPORT |
Table of Contents
| RATIOS/SUPPLEMENTAL DATA | |||||||||||||||||||||||||||||||||
Total Return(b) | Ratios to Average Net Assets(c) | Supplemental Data | ||||||||||||||||||||||||||||||||
Net Asset Value, end of period | Net Asset Value(d) | Market Value (Unaudited)(e) | Expenses | Expenses net of reimbursements | Net investment Income before reimbursements | Net investment Income net of reimbursements | Portfolio Turnover Rate(b)(f) | Net assets, end of period (thousands) | ||||||||||||||||||||||||||
$ | 20.15 | (8.94 | )% | (8.93 | )% | 0.48 | % | 0.47 | % | 3.68 | % | 3.68 | % | 74 | % | $ | 453,477 | |||||||||||||||||
23.06 | 8.41 | 9.09 | 0.48 | 0.47 | 4.98 | 4.98 | 71 | 774,685 | ||||||||||||||||||||||||||
22.37 | (10.48 | ) | (11.30 | ) | 0.47 | 0.47 | 4.77 | 4.78 | 71 | 765,167 | ||||||||||||||||||||||||
26.27 | 21.50 | 21.80 | 0.48 | 0.47 | 4.27 | 4.28 | 69 | 979,701 | ||||||||||||||||||||||||||
22.45 | 1.16 | 2.05 | 0.48 | 0.47 | 4.17 | 4.18 | 68 | 496,050 | ||||||||||||||||||||||||||
19.16 | (8.92 | ) | (8.88 | ) | 0.48 | 0.47 | 3.65 | 3.66 | 75 | 59,404 | ||||||||||||||||||||||||
21.87 | 7.66 | 8.12 | 0.48 | 0.47 | 5.02 | 5.03 | 63 | 78,719 | ||||||||||||||||||||||||||
21.39 | (10.03 | ) | (10.91 | ) | 0.48 | 0.47 | 4.68 | 4.68 | 69 | 87,703 | ||||||||||||||||||||||||
25.06 | 17.45 | 17.69 | 0.48 | 0.47 | 4.18 | 4.19 | 72 | 95,217 | ||||||||||||||||||||||||||
22.16 | 2.24 | 3.39 | 0.48 | 0.47 | 3.78 | 3.79 | 73 | 77,561 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 111 |
Table of Contents
Financial Highlights (cont.)
PER SHARE | ||||||||||||||||||||||||||||||||
Investment Operations | Distributions | |||||||||||||||||||||||||||||||
Net asset value, beginning of period | Net Investment Income | Net Realized and Unrealized Gain (Loss) | Total from Operations | Net Investment Income | From Net Realized Gains | Tax return of capital | Total | |||||||||||||||||||||||||
FlexShares® International Quality Dividend Dynamic Index Fund | ||||||||||||||||||||||||||||||||
Year ended October 31, 2020 | $ | 24.94 | $ | 0.70 | (a) | $ | (2.45 | ) | $ | (1.75 | ) | $ | (0.81 | ) | $ | — | $ | — | $ | (0.81 | ) | |||||||||||
Year ended October 31, 2019 | 23.51 | 1.05 | (a) | 1.52 | 2.57 | (1.14 | ) | — | — | (1.14 | ) | |||||||||||||||||||||
Year ended October 31, 2018 | 27.82 | 1.32 | (a) | (4.34 | ) | (3.02 | ) | (1.29 | ) | — | — | (1.29 | ) | |||||||||||||||||||
Year ended October 31, 2017 | 23.47 | 1.11 | (a) | 4.08 | 5.19 | (0.84 | ) | — | — | (0.84 | ) | |||||||||||||||||||||
Year ended October 31, 2016 | 23.82 | 0.83 | (a) | (0.13 | ) | 0.70 | (0.98 | ) | — | (0.07 | ) | (1.05 | ) | |||||||||||||||||||
FlexShares® iBoxx 3-Year Target Duration TIPS Index Fund | ||||||||||||||||||||||||||||||||
Year ended October 31, 2020 | 24.58 | 0.33 | (a) | 1.09 | 1.42 | (0.27 | ) | — | — | (0.27 | ) | |||||||||||||||||||||
Year ended October 31, 2019 | 23.81 | 0.46 | (a) | 0.79 | 1.25 | (0.48 | ) | — | — | (0.48 | ) | |||||||||||||||||||||
Year ended October 31, 2018 | 24.60 | 0.68 | (a) | (0.78 | ) | (0.10 | ) | (0.69 | ) | — | — | (0.69 | ) | |||||||||||||||||||
Year ended October 31, 2017 | 24.82 | 0.37 | (a) | (0.27 | ) | 0.10 | (0.32 | ) | — | — | (0.32 | ) | ||||||||||||||||||||
Year ended October 31, 2016 | 24.38 | 0.15 | (a) | 0.47 | 0.62 | (0.16 | ) | — | (0.02 | ) | (0.18 | ) |
* | Commencement of investment operations. |
(a) | Net investment income per share is based on average shares outstanding. |
(b) | Not annualized for periods less than one year. |
(c) | Annualized for periods less than one year. |
(d) | Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period at adjusted net asset value. |
(e) | Market value total return is calculated assuming an initial investment made at the market value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period at market value. Market value is determined by the mid point of the bid/ask spread at 4:00 p.m. Eastern Time from the primary listing exchange. Market value returns may vary from net asset value returns. |
(f) | In-kind transactions are not included in portfolio turnover calculations. |
(g) | The amount shown for a share outstanding throughout the period is directionally inconsistent with aggregate net realized and unrealized gain (loss) for the period as presented in the financial statements. |
(h) | Per share amount is less than $0.005. |
(i) | The Fund indirectly bears its proportionate share of fees and expenses incurred by the Underlying Fund(s) in which the Fund is invested. This ratio does not include these indirect fees and expenses. |
(j) | The Expenses net of reimbursements and Net investment Income (Loss) net of reimbursement ratios include a voluntary reimbursement of advisory fees made by JPMorgan Chase Bank, N.A. Absent this additional reimbursement, Expenses net of reimbursements would have increased by 0.20% and the Net investment Income (Loss) net of reimbursement would have decreased by 0.20%. |
(k) | Northern Trust Investments, Inc. reimbursed the Funds for losses incurred related to an error. The impact was an increase of $0.02 to the net realized and unrealized gain (loss) on investments per share and an increase of 0.06% to the total return of the FlexShares Morningstar Global Upstream Natural Resources Index Fund. For the FlexShares Morningstar Developed Markets ex-US Factor Tilt Index Fund and FlexShares STOXX Global ESG Impact Index Fund, the impact to the net realized and unrealized gain (loss) on investments per share amount is less than $0.005 and the total returns are less than 0.005%. Had these reimbursements not been made, the total returns would have been lower. |
See Accompanying Notes to the Financial Statements.
112 | FLEXSHARES ANNUAL REPORT |
Table of Contents
| RATIOS/SUPPLEMENTAL DATA | |||||||||||||||||||||||||||||||||
Total Return(b) | Ratios to Average Net Assets(c) | Supplemental Data | ||||||||||||||||||||||||||||||||
Net Asset Value, end of period | Net Asset Value(d) | Market Value (Unaudited)(e) | Expenses | Expenses net of reimbursements | Net investment Income before reimbursements | Net investment Income net of reimbursements | Portfolio Turnover Rate(b)(f) | Net assets, end of period (thousands) | ||||||||||||||||||||||||||
$ | 22.38 | (6.99 | )% | (7.03 | )% | 0.48 | % | 0.47 | % | 2.90 | % | 2.91 | % | 85 | % | $ | 22,376 | |||||||||||||||||
24.94 | 11.30 | 12.23 | 0.48 | 0.47 | 4.36 | 4.37 | 88 | 47,391 | ||||||||||||||||||||||||||
23.51 | (11.34 | ) | (12.11 | ) | 0.48 | 0.47 | 4.83 | 4.83 | 75 | 63,481 | ||||||||||||||||||||||||
27.82 | 22.37 | 22.91 | 0.48 | 0.47 | 4.19 | 4.20 | 76 | 91,796 | ||||||||||||||||||||||||||
23.47 | 3.17 | 3.96 | 0.49 | 0.47 | 3.70 | 3.72 | 75 | 18,777 | ||||||||||||||||||||||||||
25.73 | 5.81 | 5.85 | 0.19 | 0.18 | 1.33 | 1.33 | 71 | 1,429,491 | ||||||||||||||||||||||||||
24.58 | 5.30 | 5.35 | 0.19 | 0.18 | 1.89 | 1.89 | 52 | 1,178,722 | ||||||||||||||||||||||||||
23.81 | (0.41 | ) | (0.49 | ) | 0.18 | 0.18 | 2.79 | 2.80 | 85 | 1,641,610 | ||||||||||||||||||||||||
24.60 | 0.42 | 0.46 | 0.21 | 0.20 | 1.49 | 1.50 | 134 | 2,113,130 | ||||||||||||||||||||||||||
24.82 | 2.55 | 2.55 | 0.21 | 0.20 | 0.62 | 0.63 | 105 | 1,841,902 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 113 |
Table of Contents
Financial Highlights (cont.)
PER SHARE | ||||||||||||||||||||||||||||||||
Investment Operations | Distributions | |||||||||||||||||||||||||||||||
Net asset value, beginning of period | Net Investment Income | Net Realized and Unrealized Gain (Loss) | Total from Operations | Net Investment Income | From Net Realized Gains | Tax return of capital | Total | |||||||||||||||||||||||||
FlexShares® iBoxx 5-Year Target Duration TIPS Index Fund | ||||||||||||||||||||||||||||||||
Year ended October 31, 2020 | $ | 25.50 | $ | 0.36 | (a) | $ | 1.76 | $ | 2.12 | $ | (0.28 | ) | $ | — | $ | — | $ | (0.28 | ) | |||||||||||||
Year ended October 31, 2019 | 23.95 | 0.44 | (a) | 1.59 | 2.03 | (0.48 | ) | — | — | (0.48 | ) | |||||||||||||||||||||
Year ended October 31, 2018 | 25.06 | 0.71 | (a) | (1.08 | ) | (0.37 | ) | (0.74 | ) | — | — | (0.74 | ) | |||||||||||||||||||
Year ended October 31, 2017 | 25.45 | 0.47 | (a) | (0.45 | ) | 0.02 | (0.41 | ) | — | — | (0.41 | ) | ||||||||||||||||||||
Year ended October 31, 2016 | 24.56 | 0.30 | (a) | 0.88 | 1.18 | (0.27 | ) | — | (0.02 | ) | (0.29 | ) | ||||||||||||||||||||
FlexShares® Disciplined Duration MBS Index Fund | ||||||||||||||||||||||||||||||||
Year ended October 31, 2020 | 23.55 | 0.37 | (a) | 0.85 | 1.22 | (0.67 | ) | — | — | (0.67 | ) | |||||||||||||||||||||
Year ended October 31, 2019 | 22.74 | 0.61 | (a) | 1.03 | 1.64 | (0.83 | ) | — | — | (0.83 | ) | |||||||||||||||||||||
Year ended October 31, 2018 | 23.86 | 0.49 | (a) | (0.88 | ) | (0.39 | ) | (0.73 | ) | — | — | (0.73 | ) | |||||||||||||||||||
Year ended October 31, 2017 | 24.74 | 0.39 | (a) | (0.50 | ) | (0.11 | ) | (0.77 | ) | — | — | (0.77 | ) | |||||||||||||||||||
Year ended October 31, 2016 | 24.87 | 0.45 | (a) | 0.29 | 0.74 | (0.87 | ) | — | — | (0.87 | ) |
* | Commencement of investment operations. |
(a) | Net investment income per share is based on average shares outstanding. |
(b) | Not annualized for periods less than one year. |
(c) | Annualized for periods less than one year. |
(d) | Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period at adjusted net asset value. |
(e) | Market value total return is calculated assuming an initial investment made at the market value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period at market value. Market value is determined by the mid point of the bid/ask spread at 4:00 p.m. Eastern Time from the primary listing exchange. Market value returns may vary from net asset value returns. |
(f) | In-kind transactions are not included in portfolio turnover calculations. |
(g) | The amount shown for a share outstanding throughout the period is directionally inconsistent with aggregate net realized and unrealized gain (loss) for the period as presented in the financial statements. |
(h) | Per share amount is less than $0.005. |
(i) | The Fund indirectly bears its proportionate share of fees and expenses incurred by the Underlying Fund(s) in which the Fund is invested. This ratio does not include these indirect fees and expenses. |
(j) | The Expenses net of reimbursements and Net investment Income (Loss) net of reimbursement ratios include a voluntary reimbursement of advisory fees made by JPMorgan Chase Bank, N.A. Absent this additional reimbursement, Expenses net of reimbursements would have increased by 0.20% and the Net investment Income (Loss) net of reimbursement would have decreased by 0.20%. |
(k) | Northern Trust Investments, Inc. reimbursed the Funds for losses incurred related to an error. The impact was an increase of $0.02 to the net realized and unrealized gain (loss) on investments per share and an increase of 0.06% to the total return of the FlexShares Morningstar Global Upstream Natural Resources Index Fund. For the FlexShares Morningstar Developed Markets ex-US Factor Tilt Index Fund and FlexShares STOXX Global ESG Impact Index Fund, the impact to the net realized and unrealized gain (loss) on investments per share amount is less than $0.005 and the total returns are less than 0.005%. Had these reimbursements not been made, the total returns would have been lower. |
See Accompanying Notes to the Financial Statements.
114 | FLEXSHARES ANNUAL REPORT |
Table of Contents
| RATIOS/SUPPLEMENTAL DATA | |||||||||||||||||||||||||||||||||
Total Return(b) | Ratios to Average Net Assets(c) | Supplemental Data | ||||||||||||||||||||||||||||||||
Net Asset Value, end of period | Net Asset Value(d) | Market Value (Unaudited)(e) | Expenses | Expenses net of reimbursements | Net investment Income before reimbursements | Net investment Income net of reimbursements | Portfolio Turnover Rate(b)(f) | Net assets, end of period (thousands) | ||||||||||||||||||||||||||
$ | 27.34 | 8.39 | % | 8.47 | % | 0.19 | % | 0.18 | % | 1.35 | % | 1.35 | % | 66 | % | $ | 596,095 | |||||||||||||||||
25.50 | 8.53 | 8.45 | 0.19 | 0.18 | 1.77 | 1.78 | 41 | 557,185 | ||||||||||||||||||||||||||
23.95 | (1.51 | ) | (1.51 | ) | 0.18 | 0.18 | 2.88 | 2.88 | 65 | 904,027 | ||||||||||||||||||||||||
25.06 | 0.08 | 0.08 | 0.21 | 0.20 | 1.86 | 1.87 | 87 | 819,372 | ||||||||||||||||||||||||||
25.45 | 4.81 | 4.64 | 0.21 | 0.20 | 1.18 | 1.19 | 72 | 651,605 | ||||||||||||||||||||||||||
24.10 | 5.19 | 5.19 | 0.21 | 0.20 | 1.54 | 1.54 | 175 | 100,020 | ||||||||||||||||||||||||||
23.55 | 7.36 | 7.07 | 0.21 | 0.20 | 2.64 | 2.65 | 61 | 35,330 | ||||||||||||||||||||||||||
22.74 | (1.65 | ) | (1.31 | ) | 0.21 | 0.20 | 2.09 | 2.10 | 160 | 71,628 | ||||||||||||||||||||||||
23.86 | (0.44 | ) | (0.53 | ) | 0.21 | 0.20 | 1.61 | 1.62 | 61 | 38,183 | ||||||||||||||||||||||||
24.74 | 3.02 | 2.69 | 0.21 | — | (j) | 1.62 | 1.83 | (j) | 89 | 42,063 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 115 |
Table of Contents
Financial Highlights (cont.)
PER SHARE | ||||||||||||||||||||||||||||||||
Investment Operations | Distributions | |||||||||||||||||||||||||||||||
Net asset value, beginning of period | Net Investment Income | Net Realized and Unrealized Gain (Loss) | Total from Operations | Net Investment Income | From Net Realized Gains | Tax return of capital | Total | |||||||||||||||||||||||||
FlexShares® Credit-Scored US Corporate Bond Index Fund | ||||||||||||||||||||||||||||||||
Year ended October 31, 2020 | $ | 52.58 | $ | 1.32 | (a) | $ | 2.39 | $ | 3.71 | $ | (1.37 | ) | $ | (0.22 | ) | $ | — | $ | (1.59 | ) | ||||||||||||
Year ended October 31, 2019 | 48.59 | 1.63 | (a) | 3.94 | 5.57 | (1.58 | ) | — | — | (1.58 | ) | |||||||||||||||||||||
Year ended October 31, 2018 | 50.98 | 1.40 | (a) | (2.43 | ) | (1.03 | ) | (1.36 | ) | — | — | (1.36 | ) | |||||||||||||||||||
Year ended October 31, 2017 | 51.49 | 1.26 | (a) | (0.34 | ) | 0.92 | (1.23 | ) | (0.20 | ) | — | (1.43 | ) | |||||||||||||||||||
Year ended October 31, 2016 | 50.32 | 1.21 | (a) | 1.13 | 2.34 | (1.17 | ) | — | — | (1.17 | ) | |||||||||||||||||||||
FlexShares® Credit-Scored US Long Corporate Bond Index Fund | ||||||||||||||||||||||||||||||||
Year ended October 31, 2020 | 57.84 | 1.99 | (a) | 3.90 | 5.89 | (1.92 | ) | — | — | (1.92 | ) | |||||||||||||||||||||
Year ended October 31, 2019 | 48.04 | 2.11 | (a) | 9.89 | 12.00 | (2.20 | ) | — | — | (2.20 | ) | |||||||||||||||||||||
Year ended October 31, 2018 | 53.88 | 2.07 | (a) | (5.87 | ) | (3.80 | ) | (2.04 | ) | — | — | (2.04 | ) | |||||||||||||||||||
Year ended October 31, 2017 | 53.83 | 2.06 | (a) | 0.74 | 2.80 | (2.07 | ) | (0.68 | ) | — | (2.75 | ) | ||||||||||||||||||||
Year ended October 31, 2016 | 50.29 | 2.14 | (a) | 3.56 | 5.70 | (2.16 | ) | — | — | (2.16 | ) |
* | Commencement of investment operations. |
(a) | Net investment income per share is based on average shares outstanding. |
(b) | Not annualized for periods less than one year. |
(c) | Annualized for periods less than one year. |
(d) | Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period at adjusted net asset value. |
(e) | Market value total return is calculated assuming an initial investment made at the market value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period at market value. Market value is determined by the mid point of the bid/ask spread at 4:00 p.m. Eastern Time from the primary listing exchange. Market value returns may vary from net asset value returns. |
(f) | In-kind transactions are not included in portfolio turnover calculations. |
(g) | The amount shown for a share outstanding throughout the period is directionally inconsistent with aggregate net realized and unrealized gain (loss) for the period as presented in the financial statements. |
(h) | Per share amount is less than $0.005. |
(i) | The Fund indirectly bears its proportionate share of fees and expenses incurred by the Underlying Fund(s) in which the Fund is invested. This ratio does not include these indirect fees and expenses. |
(j) | The Expenses net of reimbursements and Net investment Income (Loss) net of reimbursement ratios include a voluntary reimbursement of advisory fees made by JPMorgan Chase Bank, N.A. Absent this additional reimbursement, Expenses net of reimbursements would have increased by 0.20% and the Net investment Income (Loss) net of reimbursement would have decreased by 0.20%. |
(k) | Northern Trust Investments, Inc. reimbursed the Funds for losses incurred related to an error. The impact was an increase of $0.02 to the net realized and unrealized gain (loss) on investments per share and an increase of 0.06% to the total return of the FlexShares Morningstar Global Upstream Natural Resources Index Fund. For the FlexShares Morningstar Developed Markets ex-US Factor Tilt Index Fund and FlexShares STOXX Global ESG Impact Index Fund, the impact to the net realized and unrealized gain (loss) on investments per share amount is less than $0.005 and the total returns are less than 0.005%. Had these reimbursements not been made, the total returns would have been lower. |
See Accompanying Notes to the Financial Statements.
116 | FLEXSHARES ANNUAL REPORT |
Table of Contents
| RATIOS/SUPPLEMENTAL DATA | |||||||||||||||||||||||||||||||||
Total Return(b) | Ratios to Average Net Assets(c) | Supplemental Data | ||||||||||||||||||||||||||||||||
Net Asset Value, end of period | Net Asset Value(d) | Market Value (Unaudited)(e) | Expenses | Expenses net of reimbursements | Net investment Income before reimbursements | Net investment Income net of reimbursements | Portfolio Turnover Rate(b)(f) | Net assets, end of period (thousands) | ||||||||||||||||||||||||||
$ | 54.70 | 7.20 | % | 7.22 | % | 0.23 | % | 0.22 | % | 2.46 | % | 2.46 | % | 62 | % | $ | 202,397 | |||||||||||||||||
52.58 | 11.66 | 11.56 | 0.23 | 0.22 | 3.20 | 3.21 | 65 | 97,275 | ||||||||||||||||||||||||||
48.59 | (2.05 | ) | (2.23 | ) | 0.23 | 0.22 | 2.83 | 2.84 | 76 | 60,736 | ||||||||||||||||||||||||
50.98 | 1.85 | 1.99 | 0.23 | 0.22 | 2.48 | 2.49 | 65 | 50,982 | ||||||||||||||||||||||||||
51.49 | 4.71 | 4.70 | 0.24 | 0.22 | 2.34 | 2.36 | 59 | 36,041 | ||||||||||||||||||||||||||
61.81 | 10.34 | 10.57 | 0.23 | 0.22 | 3.27 | 3.28 | 74 | 46,360 | ||||||||||||||||||||||||||
57.84 | 25.57 | 25.51 | 0.23 | 0.22 | 4.06 | 4.07 | 44 | 17,352 | ||||||||||||||||||||||||||
48.04 | (7.24 | ) | (7.86 | ) | 0.23 | 0.22 | 4.05 | 4.06 | 93 | 26,424 | ||||||||||||||||||||||||
53.88 | 5.58 | 4.25 | 0.24 | 0.22 | 3.92 | 3.94 | 91 | 18,858 | ||||||||||||||||||||||||||
53.83 | 11.60 | 12.75 | 0.25 | 0.22 | 4.01 | 4.04 | 80 | 13,457 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 117 |
Table of Contents
Financial Highlights (cont.)
PER SHARE | ||||||||||||||||||||||||||||||||
Investment Operations | Distributions | |||||||||||||||||||||||||||||||
Net asset value, beginning of period | Net Investment Income | Net Realized and Unrealized Gain (Loss) | Total from Operations | Net Investment Income | From Net Realized Gains | Tax return of capital | Total | |||||||||||||||||||||||||
FlexShares® High Yield Value-Scored Bond Index Fund | ||||||||||||||||||||||||||||||||
Year ended October 31, 2020 | $ | 47.85 | $ | 3.12 | (a) | $ | (1.77 | ) | $ | 1.35 | $ | (2.95 | ) | $ | — | $ | — | $ | (2.95 | ) | ||||||||||||
Year ended October 31, 2019 | 48.84 | 2.67 | (a) | 0.78 | 3.45 | (3.57 | ) | — | (0.87 | ) | (4.44 | ) | ||||||||||||||||||||
For the period 07/17/18* through 10/31/18 | 50.00 | 1.68 | (a) | (1.60 | ) | 0.08 | (1.24 | ) | — | — | (1.24 | ) | ||||||||||||||||||||
FlexShares® Ready Access Variable Income Fund | ||||||||||||||||||||||||||||||||
Year ended October 31, 2020 | 75.89 | 1.07 | (a) | 0.57 | 1.64 | (1.23 | ) | (0.01 | ) | — | (1.24 | ) | ||||||||||||||||||||
Year ended October 31, 2019 | 75.48 | 1.98 | (a) | 0.41 | 2.39 | (1.98 | ) | — | — | (1.98 | ) | |||||||||||||||||||||
Year ended October 31, 2018 | 75.61 | 1.58 | (a) | (0.24 | ) | 1.34 | (1.47 | ) | — | — | (1.47 | ) | ||||||||||||||||||||
Year ended October 31, 2017 | 75.56 | 0.89 | (a) | 0.00 | (h) | 0.89 | (0.84 | ) | — | — | (0.84 | ) | ||||||||||||||||||||
Year ended October 31, 2016 | 75.36 | 0.65 | (a) | 0.23 | 0.88 | (0.63 | ) | (0.05 | ) | — | (0.68 | ) |
* | Commencement of investment operations. |
(a) | Net investment income per share is based on average shares outstanding. |
(b) | Not annualized for periods less than one year. |
(c) | Annualized for periods less than one year. |
(d) | Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period at adjusted net asset value. |
(e) | Market value total return is calculated assuming an initial investment made at the market value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period at market value. Market value is determined by the mid point of the bid/ask spread at 4:00 p.m. Eastern Time from the primary listing exchange. Market value returns may vary from net asset value returns. |
(f) | In-kind transactions are not included in portfolio turnover calculations. |
(g) | The amount shown for a share outstanding throughout the period is directionally inconsistent with aggregate net realized and unrealized gain (loss) for the period as presented in the financial statements. |
(h) | Per share amount is less than $0.005. |
(i) | The Fund indirectly bears its proportionate share of fees and expenses incurred by the Underlying Fund(s) in which the Fund is invested. This ratio does not include these indirect fees and expenses. |
(j) | The Expenses net of reimbursements and Net investment Income (Loss) net of reimbursement ratios include a voluntary reimbursement of advisory fees made by JPMorgan Chase Bank, N.A. Absent this additional reimbursement, Expenses net of reimbursements would have increased by 0.20% and the Net investment Income (Loss) net of reimbursement would have decreased by 0.20%. |
(k) | Northern Trust Investments, Inc. reimbursed the Funds for losses incurred related to an error. The impact was an increase of $0.02 to the net realized and unrealized gain (loss) on investments per share and an increase of 0.06% to the total return of the FlexShares Morningstar Global Upstream Natural Resources Index Fund. For the FlexShares Morningstar Developed Markets ex-US Factor Tilt Index Fund and FlexShares STOXX Global ESG Impact Index Fund, the impact to the net realized and unrealized gain (loss) on investments per share amount is less than $0.005 and the total returns are less than 0.005%. Had these reimbursements not been made, the total returns would have been lower. |
See Accompanying Notes to the Financial Statements.
118 | FLEXSHARES ANNUAL REPORT |
Table of Contents
| RATIOS/SUPPLEMENTAL DATA | |||||||||||||||||||||||||||||||||
Total Return(b) | Ratios to Average Net Assets(c) | Supplemental Data | ||||||||||||||||||||||||||||||||
Net Asset Value, end of period | Net Asset Value(d) | Market Value (Unaudited)(e) | Expenses | Expenses net of reimbursements | Net investment Income before reimbursements | Net investment Income net of reimbursements | Portfolio Turnover Rate(b)(f) | Net assets, end of period (thousands) | ||||||||||||||||||||||||||
$ | 46.25 | 3.07 | % | 3.12 | % | 0.38 | % | 0.37 | % | 6.78 | % | 6.78 | % | 95 | % | $ | 189,623 | |||||||||||||||||
47.85 | 7.48 | 7.64 | 0.38 | 0.37 | 5.56 | 5.57 | 44 | 100,480 | ||||||||||||||||||||||||||
| 48.84 | 0.13 | 0.13 | 0.38 | 0.37 | 11.56 | 11.57 | 18 | 48,845 | |||||||||||||||||||||||||
76.29 | 2.18 | 2.17 | 0.26 | 0.25 | 1.41 | 1.41 | 79 | 469,201 | ||||||||||||||||||||||||||
75.89 | 3.21 | 3.18 | 0.26 | 0.25 | 2.61 | 2.62 | 73 | 275,097 | ||||||||||||||||||||||||||
75.48 | 1.80 | 1.91 | 0.26 | 0.25 | 2.09 | 2.10 | 131 | 211,350 | ||||||||||||||||||||||||||
75.61 | 1.18 | 1.06 | 0.26 | 0.25 | 1.17 | 1.18 | 71 | 162,557 | ||||||||||||||||||||||||||
75.56 | 1.19 | 1.18 | 0.26 | 0.25 | 0.86 | 0.87 | 59 | 109,564 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 119 |
Table of Contents
Financial Highlights (cont.)
PER SHARE | ||||||||||||||||||||||||||||||||
Investment Operations | Distributions | |||||||||||||||||||||||||||||||
Net asset value, beginning of period | Net Investment Income | Net Realized and Unrealized Gain (Loss) | Total from Operations | Net Investment Income | From Net Realized Gains | Tax return of capital | Total | |||||||||||||||||||||||||
FlexShares® Core Select Bond Fund | ||||||||||||||||||||||||||||||||
Year ended October 31, 2020 | $ | 25.66 | $ | 0.51 | (a) | $ | 1.19 | $ | 1.70 | $ | (0.58 | ) | $ | — | $ | — | $ | (0.58 | ) | |||||||||||||
Year ended October 31, 2019 | 23.74 | 0.73 | (a) | 1.93 | 2.66 | (0.74 | ) | — | — | (0.74 | ) | |||||||||||||||||||||
Year ended October 31, 2018 | 25.08 | 0.63 | (a) | (1.31 | ) | (0.68 | ) | (0.66 | ) | — | — | (0.66 | ) | |||||||||||||||||||
For the period 11/18/16* through 10/31/17 | 25.00 | 0.55 | (a) | 0.15 | 0.70 | (0.62 | ) | — | — | (0.62 | ) |
* | Commencement of investment operations. |
(a) | Net investment income per share is based on average shares outstanding. |
(b) | Not annualized for periods less than one year. |
(c) | Annualized for periods less than one year. |
(d) | Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period at adjusted net asset value. |
(e) | Market value total return is calculated assuming an initial investment made at the market value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period at market value. Market value is determined by the mid point of the bid/ask spread at 4:00 p.m. Eastern Time from the primary listing exchange. Market value returns may vary from net asset value returns. |
(f) | In-kind transactions are not included in portfolio turnover calculations. |
(g) | The amount shown for a share outstanding throughout the period is directionally inconsistent with aggregate net realized and unrealized gain (loss) for the period as presented in the financial statements. |
(h) | Per share amount is less than $0.005. |
(i) | The Fund indirectly bears its proportionate share of fees and expenses incurred by the Underlying Fund(s) in which the Fund is invested. This ratio does not include these indirect fees and expenses. |
(j) | The Expenses net of reimbursements and Net investment Income (Loss) net of reimbursement ratios include a voluntary reimbursement of advisory fees made by JPMorgan Chase Bank, N.A. Absent this additional reimbursement, Expenses net of reimbursements would have increased by 0.20% and the Net investment Income (Loss) net of reimbursement would have decreased by 0.20%. |
(k) | Northern Trust Investments, Inc. reimbursed the Funds for losses incurred related to an error. The impact was an increase of $0.02 to the net realized and unrealized gain (loss) on investments per share and an increase of 0.06% to the total return of the FlexShares Morningstar Global Upstream Natural Resources Index Fund. For the FlexShares Morningstar Developed Markets ex-US Factor Tilt Index Fund and FlexShares STOXX Global ESG Impact Index Fund, the impact to the net realized and unrealized gain (loss) on investments per share amount is less than $0.005 and the total returns are less than 0.005%. Had these reimbursements not been made, the total returns would have been lower. |
See Accompanying Notes to the Financial Statements.
120 | FLEXSHARES ANNUAL REPORT |
Table of Contents
| RATIOS/SUPPLEMENTAL DATA | |||||||||||||||||||||||||||||||||
Total Return(b) | Ratios to Average Net Assets(c) | Supplemental Data | ||||||||||||||||||||||||||||||||
Net Asset Value, end of period | Net Asset Value(d) | Market Value (Unaudited)(e) | Expenses | Expenses net of reimbursements | Net investment Income before reimbursements | Net investment Income net of reimbursements | Portfolio Turnover Rate(b)(f) | Net assets, end of period (thousands) | ||||||||||||||||||||||||||
$ | 26.78 | 6.69 | % | 6.57 | % | 0.36 | %(i) | 0.20 | %(i) | 1.76 | % | 1.93 | % | 91 | % | $ | 109,123 | |||||||||||||||||
25.66 | 11.38 | 11.41 | 0.36 | (i) | 0.19 | (i) | 2.80 | 2.97 | 135 | 26,299 | ||||||||||||||||||||||||
23.74 | (2.73 | ) | (2.92 | ) | 0.36 | (i) | 0.16 | (i) | 2.41 | 2.61 | 53 | 38,583 | ||||||||||||||||||||||
| 25.08 | 2.86 | 3.19 | 0.43 | (i) | 0.16 | (i) | 2.08 | 2.35 | 99 | 3,762 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 121 |
Table of Contents
FlexShares® US Quality Low Volatility Index Fund
October 31, 2020
Investments | Shares | Value | ||||||
COMMON STOCKS – 99.7% | ||||||||
Aerospace & Defense – 1.6% | ||||||||
Lockheed Martin Corp. | 4,428 | $ | 1,550,376 | |||||
Northrop Grumman Corp. | 432 | 125,202 | ||||||
Teledyne Technologies, Inc.* | 162 | 50,082 | ||||||
1,725,660 | ||||||||
Air Freight & Logistics – 1.6% | ||||||||
CH Robinson Worldwide, Inc. | 9,612 | 849,989 | ||||||
Expeditors International of Washington, Inc. | 10,476 | 925,764 | ||||||
1,775,753 | ||||||||
Banks – 0.9% | ||||||||
Commerce Bancshares, Inc. | 10,098 | 628,601 | ||||||
JPMorgan Chase & Co. | 3,186 | 312,355 | ||||||
940,956 | ||||||||
Beverages – 3.3% | ||||||||
Coca-Cola Co. (The) | 42,390 | 2,037,263 | ||||||
PepsiCo, Inc. | 12,258 | 1,633,869 | ||||||
3,671,132 | ||||||||
Biotechnology – 1.7% | ||||||||
Amgen, Inc. | 1,620 | 351,443 | ||||||
Biogen, Inc.* | 2,052 | 517,247 | ||||||
Regeneron Pharmaceuticals, Inc.* | 1,944 | 1,056,681 | ||||||
1,925,371 | ||||||||
Capital Markets – 1.8% | ||||||||
Intercontinental Exchange, Inc. | 7,560 | 713,664 | ||||||
Nasdaq, Inc. | 5,670 | 686,013 | ||||||
S&P Global, Inc. | 1,728 | 557,678 | ||||||
1,957,355 | ||||||||
Chemicals – 0.6% | ||||||||
Ecolab, Inc. | 3,888 | 713,798 | ||||||
Commercial Services & Supplies – 1.3% | ||||||||
Cintas Corp. | 270 | 84,929 | ||||||
Republic Services, Inc. | 7,344 | 647,520 | ||||||
Tetra Tech, Inc. | 6,264 | 632,100 | ||||||
Waste Management, Inc. | 270 | 29,136 | ||||||
1,393,685 |
Investments | Shares | Value | ||||||
Consumer Finance – 0.5% | ||||||||
Credit Acceptance Corp.* | 1,890 | $ | 563,447 | |||||
Distributors – 0.9% | ||||||||
Pool Corp. | 2,808 | 982,323 | ||||||
Diversified Financial Services – 0.3% | ||||||||
Berkshire Hathaway, Inc., Class B* | 1,566 | 316,175 | ||||||
Diversified Telecommunication Services – 6.3% | ||||||||
AT&T, Inc. | 67,554 | 1,825,309 | ||||||
Cogent Communications Holdings, Inc. | 13,014 | 726,181 | ||||||
Liberty Global plc, Class C* | 10,422 | 194,475 | ||||||
Verizon Communications, Inc. | 73,278 | 4,176,113 | ||||||
6,922,078 | ||||||||
Electric Utilities – 4.8% | ||||||||
American Electric Power Co., Inc. | 7,614 | 684,727 | ||||||
Duke Energy Corp. | 378 | 34,818 | ||||||
Eversource Energy | 7,992 | 697,462 | ||||||
IDACORP, Inc. | 7,776 | 682,188 | ||||||
NextEra Energy, Inc. | 17,280 | 1,265,069 | ||||||
Pinnacle West Capital Corp. | 8,586 | 700,360 | ||||||
Portland General Electric Co. | 13,230 | 519,939 | ||||||
Xcel Energy, Inc. | 10,152 | 710,944 | ||||||
5,295,507 | ||||||||
Electronic Equipment, Instruments & Components – 0.6% | ||||||||
Dolby Laboratories, Inc., Class A | 8,694 | 652,746 | ||||||
Equity Real Estate Investment Trusts (REITs) – 5.2% | ||||||||
AvalonBay Communities, Inc. | 4,374 | 608,555 | ||||||
Camden Property Trust | 5,562 | 513,039 | ||||||
Crown Castle International Corp. | 3,456 | 539,827 | ||||||
Equinix, Inc. | 281 | 205,478 | ||||||
Equity LifeStyle Properties, Inc. | 12,582 | 744,729 | ||||||
Essex Property Trust, Inc. | 3,078 | 629,728 | ||||||
Extra Space Storage, Inc. | 648 | 75,136 | ||||||
Federal Realty Investment Trust | 4,050 | 278,559 | ||||||
Life Storage, Inc. | 3,996 | 456,143 | ||||||
National Retail Properties, Inc. | 4,806 | 153,840 | ||||||
Public Storage | 4,536 | 1,039,061 | ||||||
Realty Income Corp. | 8,532 | 493,662 | ||||||
5,737,757 |
See Accompanying Notes to the Financial Statements.
122 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® US Quality Low Volatility Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Food & Staples Retailing – 4.0% | ||||||||
Casey’s General Stores, Inc. | 3,402 | $ | 573,475 | |||||
Costco Wholesale Corp. | 1,458 | 521,410 | ||||||
Kroger Co. (The) | 1,512 | 48,701 | ||||||
Sysco Corp. | 11,664 | 645,136 | ||||||
Walmart, Inc. | 18,900 | 2,622,375 | ||||||
4,411,097 | ||||||||
Food Products – 2.1% | ||||||||
Hershey Co. (The) | 6,264 | 861,049 | ||||||
Hormel Foods Corp. | 12,204 | 594,213 | ||||||
J M Smucker Co. (The) | 1,404 | 157,529 | ||||||
Kellogg Co. | 2,268 | 142,634 | ||||||
McCormick & Co., Inc. (Non-Voting) | 3,294 | 594,600 | ||||||
2,350,025 | ||||||||
Health Care Equipment & Supplies – 0.7% | ||||||||
Stryker Corp. | 3,996 | 807,232 | ||||||
Health Care Providers & Services – 1.5% | ||||||||
Chemed Corp. | 1,296 | 619,903 | ||||||
Encompass Health Corp. | 7,830 | 480,057 | ||||||
Quest Diagnostics, Inc. | 4,158 | 507,858 | ||||||
UnitedHealth Group, Inc. | 216 | 65,910 | ||||||
1,673,728 | ||||||||
Hotels, Restaurants & Leisure – 0.7% | ||||||||
Domino’s Pizza, Inc. | 1,944 | 735,454 | ||||||
Household Durables – 0.7% | ||||||||
Helen of Troy Ltd.* | 4,050 | 767,880 | ||||||
Household Products – 1.4% | ||||||||
Clorox Co. (The) | 3,942 | 816,980 | ||||||
Procter & Gamble Co. (The) | 270 | 37,017 | ||||||
WD-40 Co. | 2,916 | 709,696 | ||||||
1,563,693 | ||||||||
Industrial Conglomerates – 1.0% | ||||||||
Honeywell International, Inc. | 6,588 | 1,086,691 | ||||||
Insurance – 4.8% | ||||||||
Alleghany Corp. | 771 | 421,683 | ||||||
Allstate Corp. (The) | 8,586 | 762,007 | ||||||
American Financial Group, Inc. | 5,778 | 433,003 |
Investments | Shares | Value | ||||||
Insurance – (continued) | ||||||||
Arthur J Gallagher & Co. | 2,700 | $ | 280,017 | |||||
Chubb Ltd. | 5,400 | 701,514 | ||||||
Fidelity National Financial, Inc. | 3,348 | 104,759 | ||||||
First American Financial Corp. | 5,940 | 264,865 | ||||||
Hanover Insurance Group, Inc. (The) | 6,804 | 650,871 | ||||||
Progressive Corp. (The) | 432 | 39,701 | ||||||
Travelers Cos., Inc. (The) | 7,722 | 932,123 | ||||||
W R Berkley Corp. | 11,934 | 717,472 | ||||||
5,308,015 | ||||||||
Interactive Media & Services – 2.4% | ||||||||
Alphabet, Inc., Class A* | 441 | 712,705 | ||||||
Alphabet, Inc., Class C* | 502 | 813,747 | ||||||
Facebook, Inc., Class A* | 4,104 | 1,079,803 | ||||||
2,606,255 | ||||||||
Internet & Direct Marketing Retail – 3.7% | ||||||||
Amazon.com, Inc.* | 1,150 | 3,491,573 | ||||||
Chewy, Inc., Class A* | 9,234 | 568,814 | ||||||
4,060,387 | ||||||||
IT Services – 9.7% | ||||||||
Accenture plc, Class A | 7,830 | 1,698,405 | ||||||
Automatic Data Processing, Inc. | 1,998 | 315,604 | ||||||
Genpact Ltd. | 21,276 | 731,256 | ||||||
Jack Henry & Associates, Inc. | 2,592 | 384,264 | ||||||
Mastercard, Inc., Class A | 14,094 | 4,068,092 | ||||||
Visa, Inc., Class A | 17,550 | 3,189,011 | ||||||
Wix.com Ltd.* | 1,566 | 387,303 | ||||||
10,773,935 | ||||||||
Life Sciences Tools & Services – 1.5% | ||||||||
ICON plc* | 4,698 | 847,049 | ||||||
QIAGEN NV* | 17,388 | 824,887 | ||||||
1,671,936 | ||||||||
Media – 1.6% | ||||||||
Cable One, Inc. | 324 | 561,122 | ||||||
Charter Communications, Inc., Class A* | 2,085 | 1,258,965 | ||||||
1,820,087 | ||||||||
Metals & Mining – 1.4% | ||||||||
Newmont Corp. | 15,930 | 1,001,041 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 123 |
Table of Contents
FlexShares® US Quality Low Volatility Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Metals & Mining – (continued) | ||||||||
Royal Gold, Inc. | 4,482 | $ | 532,507 | |||||
1,533,548 | ||||||||
Multiline Retail – 1.2% | ||||||||
Target Corp. | 8,856 | 1,348,060 | ||||||
Multi-Utilities – 2.0% | ||||||||
CMS Energy Corp. | 6,912 | 437,737 | ||||||
Consolidated Edison, Inc. | 7,236 | 567,954 | ||||||
NorthWestern Corp. | 3,780 | 197,051 | ||||||
WEC Energy Group, Inc. | 10,584 | 1,064,221 | ||||||
2,266,963 | ||||||||
Oil, Gas & Consumable Fuels – 0.7% | ||||||||
Chevron Corp. | 10,260 | 713,070 | ||||||
Exxon Mobil Corp. | 2,268 | 73,982 | ||||||
787,052 | ||||||||
Pharmaceuticals – 9.7% | ||||||||
Eli Lilly and Co. | 15,228 | 1,986,645 | ||||||
Johnson & Johnson | 36,234 | 4,968,044 | ||||||
Merck & Co., Inc. | 44,712 | 3,362,790 | ||||||
Pfizer, Inc. | 2,052 | 72,805 | ||||||
Zoetis, Inc. | 1,890 | 299,659 | ||||||
10,689,943 | ||||||||
Professional Services – 0.7% | ||||||||
Verisk Analytics, Inc. | 4,104 | 730,389 | ||||||
Road & Rail – 0.8% | ||||||||
Old Dominion Freight Line, Inc. | 4,752 | 904,638 | ||||||
Semiconductors & Semiconductor Equipment – 0.3% | ||||||||
NXP Semiconductors NV | 2,106 | 284,563 | ||||||
Software – 7.6% | ||||||||
Adobe, Inc.* | 216 | 96,574 | ||||||
Check Point Software Technologies Ltd.* | 7,182 | 815,588 | ||||||
Globant SA* | 3,510 | 633,941 | ||||||
Intuit, Inc. | 1,188 | 373,840 | ||||||
J2 Global, Inc.* | 9,504 | 645,131 | ||||||
Microsoft Corp. | 20,844 | 4,220,285 | ||||||
Tyler Technologies, Inc.* | 972 | 373,617 |
Investments | Shares | Value | ||||||
Software – (continued) | ||||||||
Zoom Video Communications, Inc., Class A* | 2,646 | $ | 1,219,568 | |||||
8,378,544 | ||||||||
Specialty Retail – 2.3% | ||||||||
Home Depot, Inc. (The) | 5,346 | 1,425,832 | ||||||
O’Reilly Automotive, Inc.* | 1,836 | 801,598 | ||||||
Ross Stores, Inc. | 3,996 | 340,339 | ||||||
2,567,769 | ||||||||
Technology Hardware, Storage & Peripherals – 5.2% | ||||||||
Apple, Inc. | 52,920 | 5,760,871 | ||||||
Water Utilities – 0.6% | ||||||||
American Water Works Co., Inc. | 4,644 | 698,968 | ||||||
TOTAL COMMON STOCKS (Cost $108,797,719) | 110,161,466 | |||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS – 0.0%(a) | ||||||||
U.S. TREASURY OBLIGATIONS – 0.0%(a) | ||||||||
U.S. Treasury Bills 0.12%, 1/28/2021(b) (c) | 45,000 | 44,991 | ||||||
Total Investments – 99.7% (Cost $108,842,706) |
| 110,206,457 | ||||||
Other assets less liabilities – 0.3% |
| 317,081 | ||||||
Net Assets – 100.0% |
| $ | 110,523,538 |
* | Non-income producing security. |
(a) | Represents less than 0.05% of net assets. |
(b) | All or a portion of the security pledged as collateral for Futures Contracts. |
(c) | The rate shown was the current yield as of October 31, 2020. |
Percentages shown are based on Net Assets.
See Accompanying Notes to the Financial Statements.
124 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® US Quality Low Volatility Index Fund (cont.)
As of October 31, 2020, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments (including derivative instruments, if applicable) for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 5,589,912 | ||
Aggregate gross unrealized depreciation | (4,238,019 | ) | ||
Net unrealized appreciation | $ | 1,351,893 | ||
Federal income tax cost | $ | 108,848,515 |
Futures Contracts
FlexShares® US Quality Low Volatility Index Fund had the following open futures contracts as of October 31, 2020:
Number of Contracts | Expiration Date | Trading Currency | Notional Amount | Value and Unrealized Depreciation* | ||||||||||||||||
Long Contracts |
| |||||||||||||||||||
S&P 500 E-Mini Index | 2 | 12/18/2020 | USD | $ | 326,470 | $ | (6,049 | ) |
* | This amount represents the cumulative appreciation/depreciation on futures contracts. Current day’s variation margin is reported within the Statement of Assets and Liabilities for futures contracts. |
Abbreviations:
USD – US Dollar
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 125 |
Table of Contents
Schedule of Investments
FlexShares® Developed Markets ex-US Quality Low Volatility Index Fund
October 31, 2020
Investments | Shares | Value | ||||||
COMMON STOCKS – 98.9% | ||||||||
Aerospace & Defense – 0.2% | ||||||||
Thales SA | 2,016 | $ | 131,225 | |||||
Air Freight & Logistics – 0.4% | ||||||||
SG Holdings Co. Ltd. | 11,200 | 269,447 | ||||||
Auto Components – 0.1% | ||||||||
Bridgestone Corp. | 2,800 | 90,798 | ||||||
Automobiles – 0.3% | ||||||||
Toyota Motor Corp. | 2,800 | 182,212 | ||||||
Banks – 7.9% | ||||||||
Bank Leumi Le-Israel BM | 86,296 | 409,112 | ||||||
Bank of Nova Scotia (The) | 16,744 | 695,077 | ||||||
BNP Paribas SA* | 420 | 14,606 | ||||||
BOC Hong Kong Holdings Ltd. | 196,000 | 543,402 | ||||||
Commonwealth Bank of Australia | 24,388 | 1,182,069 | ||||||
Hang Seng Bank Ltd. | 36,400 | 559,505 | ||||||
Royal Bank of Canada | 13,888 | 970,343 | ||||||
Skandinaviska Enskilda Banken AB, Class A* | 2,688 | 23,041 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 16,800 | 462,988 | ||||||
Swedbank AB, Class A* | 2,632 | 41,249 | ||||||
Toronto-Dominion Bank (The) | 6,440 | 283,904 | ||||||
5,185,296 | ||||||||
Beverages – 1.0% | ||||||||
Carlsberg A/S, Class B | 588 | 74,426 | ||||||
Diageo plc | 11,312 | 365,514 | ||||||
Suntory Beverage & Food Ltd. | 5,600 | 192,845 | ||||||
Thai Beverage PCL | 117,600 | 49,951 | ||||||
682,736 | ||||||||
Biotechnology – 0.1% | ||||||||
BeiGene Ltd.* | 2,800 | 62,139 | ||||||
Capital Markets – 0.8% | ||||||||
Deutsche Boerse AG | 3,612 | 531,610 | ||||||
Chemicals – 3.2% | ||||||||
Air Liquide SA | 6,496 | 949,642 | ||||||
Akzo Nobel NV | 3,388 | 326,376 |
Investments | Shares | Value | ||||||
Chemicals – (continued) | ||||||||
Givaudan SA (Registered) | 140 | $ | 570,662 | |||||
Symrise AG | 2,128 | 262,381 | ||||||
2,109,061 | ||||||||
Commercial Services & Supplies – 1.7% | ||||||||
Brambles Ltd. | 53,116 | 357,714 | ||||||
Secom Co. Ltd. | 6,300 | 530,022 | ||||||
Securitas AB, Class B* | 13,776 | 194,928 | ||||||
1,082,664 | ||||||||
Communications Equipment – 0.2% | ||||||||
Telefonaktiebolaget LM Ericsson, Class B | 13,664 | 152,403 | ||||||
Diversified Financial Services – 0.0%(a) | ||||||||
Sofina SA | 84 | 21,820 | ||||||
Diversified Telecommunication Services – 5.8% | ||||||||
BCE, Inc. | 12,768 | 512,693 | ||||||
Deutsche Telekom AG (Registered) | 37,856 | 576,342 | ||||||
Elisa OYJ | 9,352 | 460,149 | ||||||
Hellenic Telecommunications Organization SA | 17,528 | 233,168 | ||||||
HKT Trust & HKT Ltd. | 364,000 | 470,322 | ||||||
Nippon Telegraph & Telephone Corp. | 22,400 | 470,541 | ||||||
Proximus SADP | 11,480 | 223,254 | ||||||
Singapore Telecommunications Ltd. | 176,400 | 262,242 | ||||||
Spark New Zealand Ltd. | 8,904 | 26,422 | ||||||
Swisscom AG (Registered) | 1,036 | 527,071 | ||||||
Telia Co. AB | 7,112 | 27,262 | ||||||
3,789,466 | ||||||||
Electric Utilities – 4.5% | ||||||||
Chubu Electric Power Co., Inc. | 22,400 | 251,020 | ||||||
CK Infrastructure Holdings Ltd. | 98,000 | 461,260 | ||||||
CLP Holdings Ltd. | 56,000 | 514,878 | ||||||
Emera, Inc. | 4,312 | 171,885 | ||||||
Fortis, Inc. | 6,468 | 255,305 | ||||||
Hydro One Ltd.(b) | 10,052 | 219,457 | ||||||
Iberdrola SA | 71,820 | 847,053 | ||||||
Power Assets Holdings Ltd. | 42,000 | 215,826 |
See Accompanying Notes to the Financial Statements.
126 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® Developed Markets ex-US Quality Low Volatility Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Electric Utilities – (continued) | ||||||||
Red Electrica Corp. SA | 2,464 | $ | 43,411 | |||||
2,980,095 | ||||||||
Electrical Equipment – 0.7% | ||||||||
Vestas Wind Systems A/S | 2,716 | 463,612 | ||||||
Electronic Equipment, Instruments & Components – 0.2% | ||||||||
Hamamatsu Photonics KK | 2,800 | 140,348 | ||||||
Equity Real Estate Investment Trusts (REITs) – 0.6% | ||||||||
Derwent London plc | 3,864 | 132,798 | ||||||
Japan Real Estate Investment Corp. | 28 | 137,134 | ||||||
Nippon Building Fund, Inc. | 28 | 141,419 | ||||||
411,351 | ||||||||
Food & Staples Retailing – 6.6% | ||||||||
Etablissements Franz Colruyt NV | 8,624 | 510,521 | ||||||
ICA Gruppen AB | 11,004 | 520,830 | ||||||
Kesko OYJ, Class B | 11,172 | 287,082 | ||||||
Koninklijke Ahold Delhaize NV | 21,728 | 597,060 | ||||||
Loblaw Cos. Ltd. | 4,732 | 235,367 | ||||||
Metro, Inc. | 6,496 | 302,791 | ||||||
Seven & i Holdings Co. Ltd. | 14,000 | 425,732 | ||||||
Tesco plc | 177,324 | 471,170 | ||||||
Tsuruha Holdings, Inc. | 2,800 | 391,582 | ||||||
Woolworths Group Ltd. | 22,848 | 612,277 | ||||||
4,354,412 | ||||||||
Food Products – 5.5% | ||||||||
MEIJI Holdings Co. Ltd. | 2,800 | 202,487 | ||||||
Nestle SA (Registered) | 27,580 | 3,102,393 | ||||||
Tate & Lyle plc | 11,368 | 87,487 | ||||||
Yamazaki Baking Co. Ltd. | 14,000 | 229,807 | ||||||
3,622,174 | ||||||||
Gas Utilities – 2.3% | ||||||||
Enagas SA | 5,488 | 118,457 | ||||||
Osaka Gas Co. Ltd. | 14,000 | 265,429 | ||||||
Toho Gas Co. Ltd. | 11,200 | 577,463 | ||||||
Tokyo Gas Co. Ltd. | 25,200 | 570,218 | ||||||
1,531,567 |
Investments | Shares | Value | ||||||
Health Care Equipment & Supplies – 3.2% | ||||||||
Asahi Intecc Co. Ltd. | 8,400 | $ | 259,939 | |||||
Carl Zeiss Meditec AG | 140 | 18,085 | ||||||
Coloplast A/S, Class B | 3,864 | 563,931 | ||||||
ConvaTec Group plc(b) | 44,156 | 103,168 | ||||||
Fisher & Paykel Healthcare Corp. Ltd. | 2,688 | 62,178 | ||||||
Hoya Corp. | 5,600 | 632,103 | ||||||
Siemens Healthineers AG(b) | 4,480 | 192,329 | ||||||
Sysmex Corp. | 2,800 | 262,483 | ||||||
2,094,216 | ||||||||
Health Care Providers & Services – 0.5% | ||||||||
Medipal Holdings Corp. | 2,800 | 49,872 | ||||||
Sonic Healthcare Ltd. | 10,920 | 267,019 | ||||||
316,891 | ||||||||
Hotels, Restaurants & Leisure – 1.8% | ||||||||
Accor SA* | 9,688 | 246,692 | ||||||
Compass Group plc | 19,740 | 269,276 | ||||||
McDonald’s Holdings Co. Japan Ltd. | 11,200 | 530,323 | ||||||
Sodexo SA | 1,848 | 118,611 | ||||||
1,164,902 | ||||||||
Household Durables – 1.0% | ||||||||
Bellway plc | 3,892 | 117,506 | ||||||
Berkeley Group Holdings plc | 2,268 | 118,972 | ||||||
SEB SA | 1,456 | 236,765 | ||||||
Sekisui House Ltd. | 11,200 | 184,970 | ||||||
658,213 | ||||||||
Household Products – 0.4% | ||||||||
Lion Corp. | 11,200 | 228,950 | ||||||
Independent Power and Renewable Electricity Producers – 0.3% | ||||||||
Uniper SE | 6,720 | 200,861 | ||||||
Industrial Conglomerates – 1.0% | ||||||||
Jardine Matheson Holdings Ltd. | 14,000 | 621,460 | ||||||
Insurance – 5.6% | ||||||||
Admiral Group plc | 12,348 | 439,064 | ||||||
Ageas SA | 10,584 | 425,959 | ||||||
AIA Group Ltd. | 39,200 | 369,261 | ||||||
Assicurazioni Generali SpA | 20,608 | 276,300 | ||||||
Direct Line Insurance Group plc | 130,676 | 445,220 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 127 |
Table of Contents
FlexShares® Developed Markets ex-US Quality Low Volatility Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Insurance – (continued) | ||||||||
Gjensidige Forsikring ASA | 12,712 | $ | 241,105 | |||||
Great-West Lifeco, Inc. | 8,428 | 171,613 | ||||||
Hannover Rueck SE | 1,568 | 227,763 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Registered) | 2,464 | 576,334 | ||||||
RSA Insurance Group plc | 29,932 | 163,942 | ||||||
Sampo OYJ, Class A | 6,216 | 234,599 | ||||||
Zurich Insurance Group AG | 336 | 111,444 | ||||||
3,682,604 | ||||||||
IT Services – 2.8% | ||||||||
CGI, Inc.* | 3,332 | 206,590 | ||||||
Edenred | 9,156 | 427,041 | ||||||
Fujitsu Ltd. | 1,200 | 140,329 | ||||||
Itochu Techno-Solutions Corp. | 5,600 | 190,434 | ||||||
Nomura Research Institute Ltd. | 5,600 | 165,793 | ||||||
NTT Data Corp. | 16,800 | 188,827 | ||||||
Obic Co. Ltd. | 2,800 | 496,844 | ||||||
1,815,858 | ||||||||
Leisure Products – 0.6% | ||||||||
Bandai Namco Holdings, Inc. | 5,600 | 416,545 | ||||||
Machinery – 1.8% | ||||||||
Alstom SA* | 5,124 | 229,675 | ||||||
Kone OYJ, Class B | 7,784 | 619,652 | ||||||
Mitsubishi Heavy Industries Ltd. | 14,000 | 299,245 | ||||||
Schindler Holding AG (Registered) | 112 | 28,765 | ||||||
1,177,337 | ||||||||
Marine – 0.7% | ||||||||
Kuehne + Nagel International AG (Registered) | 2,268 | 453,080 | ||||||
Metals & Mining – 3.4% | ||||||||
Barrick Gold Corp. | 32,172 | 859,464 | ||||||
Franco-Nevada Corp. | 3,506 | 477,485 | ||||||
Kinross Gold Corp. | 33,208 | 264,000 | ||||||
Polymetal International plc | 10,808 | 229,116 | ||||||
Wheaton Precious Metals Corp. | 7,980 | 365,919 | ||||||
2,195,984 |
Investments | Shares | Value | ||||||
Multiline Retail – 0.8% | ||||||||
Wesfarmers Ltd. | 16,100 | $ | 519,634 | |||||
Multi-Utilities – 0.0%(a) | ||||||||
Canadian Utilities Ltd., Class A | 588 | 13,733 | ||||||
Oil, Gas & Consumable Fuels – 1.3% | ||||||||
BP plc | 62,300 | 158,369 | ||||||
Neste OYJ | 12,152 | 632,457 | ||||||
Royal Dutch Shell plc, Class A | 4,592 | 57,320 | ||||||
848,146 | ||||||||
Personal Products – 0.9% | ||||||||
Kobayashi Pharmaceutical Co. Ltd. | 5,600 | 544,787 | ||||||
Unilever plc | 868 | 49,427 | ||||||
594,214 | ||||||||
Pharmaceuticals – 12.8% | ||||||||
AstraZeneca plc | 3,304 | 331,769 | ||||||
Chugai Pharmaceutical Co. Ltd. | 14,000 | 538,492 | ||||||
GlaxoSmithKline plc | 68,768 | 1,148,630 | ||||||
Novartis AG (Registered) | 5,432 | 423,691 | ||||||
Novo Nordisk A/S, Class B | 24,500 | 1,573,739 | ||||||
Ono Pharmaceutical Co. Ltd. | 5,600 | 159,204 | ||||||
Roche Holding AG | 9,576 | 3,079,511 | ||||||
Roche Holding AG – BR | 112 | 36,073 | ||||||
Sanofi | 3,192 | 287,677 | ||||||
Santen Pharmaceutical Co. Ltd. | 30,800 | 547,117 | ||||||
UCB SA | 2,604 | 256,918 | ||||||
8,382,821 | ||||||||
Professional Services – 1.8% | ||||||||
RELX plc | 29,512 | 582,879 | ||||||
Wolters Kluwer NV | 7,560 | 612,740 | ||||||
1,195,619 | ||||||||
Real Estate Management & Development – 2.6% | ||||||||
Deutsche Wohnen SE | 2,828 | 142,737 | ||||||
ESR Cayman Ltd.* (b) | 5,600 | 16,862 | ||||||
Hang Lung Properties Ltd. | 224,000 | 543,619 | ||||||
PSP Swiss Property AG (Registered) | 3,864 | 467,533 | ||||||
Sun Hung Kai Properties Ltd. | 42,000 | 536,993 | ||||||
1,707,744 |
See Accompanying Notes to the Financial Statements.
128 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® Developed Markets ex-US Quality Low Volatility Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Road & Rail – 2.5% | ||||||||
Aurizon Holdings Ltd. | 28,672 | $ | 75,909 | |||||
Central Japan Railway Co. | 2,800 | 337,077 | ||||||
Hankyu Hanshin Holdings, Inc. | 2,800 | 85,173 | ||||||
Keio Corp. | 2,800 | 162,043 | ||||||
Kintetsu Group Holdings Co. Ltd. | 5,600 | 222,843 | ||||||
MTR Corp. Ltd. | 56,000 | 276,937 | ||||||
Nagoya Railroad Co. Ltd. | 8,400 | 223,057 | ||||||
West Japan Railway Co. | 5,600 | 238,913 | ||||||
1,621,952 | ||||||||
Semiconductors & Semiconductor Equipment – 0.3% | ||||||||
ASML Holding NV | 560 | 203,523 | ||||||
Software – 1.8% | ||||||||
Dassault Systemes SE | 1,372 | 234,212 | ||||||
Nice Ltd.* | 1,344 | 307,890 | ||||||
Open Text Corp. | 5,152 | 189,141 | ||||||
Oracle Corp. Japan | 2,800 | 280,161 | ||||||
SAP SE | 1,624 | 173,073 | ||||||
1,184,477 | ||||||||
Specialty Retail – 0.9% | ||||||||
ABC-Mart, Inc. | 8,400 | 426,669 | ||||||
Yamada Holdings Co. Ltd. | 36,400 | 176,882 | ||||||
603,551 | ||||||||
Technology Hardware, Storage & Peripherals – 0.8% | ||||||||
Canon, Inc. | 14,000 | 241,123 | ||||||
FUJIFILM Holdings Corp. | 5,600 | 284,875 | ||||||
525,998 | ||||||||
Textiles, Apparel & Luxury Goods – 1.2% | ||||||||
Hermes International | 756 | 703,621 | ||||||
LVMH Moet Hennessy Louis Vuitton SE | 196 | 91,849 | ||||||
795,470 | ||||||||
Tobacco – 0.9% | ||||||||
Japan Tobacco, Inc. | 30,800 | 580,409 | ||||||
Trading Companies & Distributors – 0.9% | ||||||||
ITOCHU Corp. | 25,200 | 602,640 |
Investments | Shares | Value | ||||||
Transportation Infrastructure – 0.3% | ||||||||
Aena SME SA* (b) | 476 | $ | 64,097 | |||||
Aeroports de Paris | 1,148 | 112,195 | ||||||
Auckland International Airport Ltd. | 4,088 | 18,912 | ||||||
195,204 | ||||||||
Water Utilities – 0.8% | ||||||||
Severn Trent plc | 6,496 | 204,104 | ||||||
United Utilities Group plc | 30,492 | 340,405 | ||||||
544,509 | ||||||||
Wireless Telecommunication Services – 3.1% | ||||||||
KDDI Corp. | 30,800 | 822,738 | ||||||
NTT DOCOMO, Inc. | 22,400 | 832,875 | ||||||
Rogers Communications, Inc., Class B | 364 | 14,775 | ||||||
Softbank Corp. | 33,600 | 389,707 | ||||||
2,060,095 | ||||||||
Total Common Stocks (Cost $66,306,967) |
| 65,001,076 | ||||||
Total Investments – 98.9% (Cost $66,306,967) |
| 65,001,076 | ||||||
Other assets less liabilities – 1.1% |
| 745,928 | ||||||
Net Assets – 100.0% |
| $ | 65,747,004 |
* | Non-income producing security. |
(a) | Represents less than 0.05% of net assets. |
(b) | Security exempt from registration pursuant to Regulation S under the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale. |
Percentages shown are based on Net Assets.
Abbreviations
OYJ – Public Limited Company
As of October 31, 2020, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments (including derivative instruments, if applicable) for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 3,130,809 | ||
Aggregate gross unrealized depreciation | (4,493,907 | ) | ||
Net unrealized depreciation | $ | (1,363,098 | ) | |
Federal income tax cost | $ | 66,336,488 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 129 |
Table of Contents
FlexShares® Developed Markets ex-US Quality Low Volatility Index Fund (cont.)
Futures Contracts
FlexShares® Developed Markets ex-US Quality Low Volatility Index Fund had the following open futures contracts as of October 31, 2020:
Number of Contracts | Expiration Date | Trading Currency | Notional Amount | Value and Unrealized Depreciation* | ||||||||||||||||
Long Contracts |
| |||||||||||||||||||
MSCI EAFE E-Mini Index | 6 | 12/18/2020 | USD | $ | 535,170 | $ | (29,407 | ) |
* | This amount represents the cumulative appreciation/depreciation on futures contracts. Current day’s variation margin is reported within the Statement of Assets and Liabilities for futures contracts. |
Forward Foreign Currency Contracts
FlexShares® Developed Markets ex-US Quality Low Volatility Index Fund had the following outstanding contracts as of October 31, 2020:
Contracts to Receive | Counterparty | In Exchange For | Maturity Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
CAD | 16,000 | Toronto-Dominion Bank (The) | USD | 11,936 | 12/16/2020 | $ | 66 | |||||||||||||||
GBP | 17,000 | Citibank NA | USD | 21,944 | 12/16/2020 | 44 | ||||||||||||||||
JPY | 2,060,000 | BNY Mellon Capital Markets LLC | USD | 19,582 | 12/16/2020 | 136 | ||||||||||||||||
JPY | 1,249,000 | Morgan Stanley | USD | 11,780 | 12/16/2020 | 175 | ||||||||||||||||
USD | 48,855 | BNP Paribas SA | AUD | 67,000 | 12/16/2020 | 1,793 | ||||||||||||||||
USD | 18,241 | Morgan Stanley | AUD | 25,000 | 12/16/2020 | 681 | ||||||||||||||||
USD | 82,776 | Morgan Stanley | CHF | 75,000 | 12/16/2020 | 834 | ||||||||||||||||
USD | 36,635 | Toronto-Dominion Bank (The) | DKK | 229,000 | 12/16/2020 | 767 | ||||||||||||||||
USD | 19,923 | BNP Paribas SA | EUR | 17,000 | 12/16/2020 | 100 | ||||||||||||||||
USD | 97,390 | Citibank NA | EUR | 82,000 | 12/16/2020 | 1,771 | ||||||||||||||||
USD | 18,561 | Toronto-Dominion Bank (The) | SEK | 162,000 | 12/16/2020 | 350 | ||||||||||||||||
Total unrealized appreciation | $ | 6,717 | ||||||||||||||||||||
AUD | 41,000 | Morgan Stanley | USD | 29,392 | 12/16/2020 | $ | (593 | ) | ||||||||||||||
AUD | 13,000 | Toronto-Dominion Bank (The) | USD | 9,501 | 12/16/2020 | (369 | ) | |||||||||||||||
EUR | 70,000 | Toronto-Dominion Bank (The) | USD | 83,170 | 12/16/2020 | (1,544 | ) | |||||||||||||||
GBP | 15,000 | Toronto-Dominion Bank (The) | USD | 19,449 | 12/16/2020 | (48 | ) | |||||||||||||||
JPY | 2,623,000 | Toronto-Dominion Bank (The) | USD | 25,169 | 12/16/2020 | (62 | ) | |||||||||||||||
USD | 96,049 | Morgan Stanley | GBP | 75,000 | 12/16/2020 | (958 | ) | |||||||||||||||
USD | 131,624 | Toronto-Dominion Bank (The) | JPY | 13,900,000 | 12/16/2020 | (1,422 | ) | |||||||||||||||
Total unrealized depreciation | $ | (4,996 | ) | |||||||||||||||||||
Net unrealized appreciation | $ | 1,721 |
Abbreviations:
AUD – Australian Dollar
CAD – Canadian Dollar
CHF – Swiss Franc
DKK – Danish Krone
EUR – Euro
GBP – British Pound
JPY – Japanese Yen
SEK – Swedish Krona
USD – US Dollar
See Accompanying Notes to the Financial Statements.
130 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® Developed Markets ex-US Quality Low Volatility Index Fund (cont.)
FlexShares® Developed Markets ex-US Quality Low Volatility Index Fund invested, as a percentage of net assets, in companies domiciled in the following countries as of October 31, 2020:
Australia | 4.6 | % | ||
Belgium | 2.2 | |||
Canada | 9.4 | |||
Denmark | 4.1 | |||
Finland | 3.4 | |||
France | 5.8 | |||
Germany | 4.4 | |||
Greece | 0.4 | |||
Hong Kong | 6.9 | |||
Israel | 1.1 | |||
Italy | 0.4 | |||
Japan | 26.3 | |||
Netherlands | 2.6 | |||
New Zealand | 0.2 | |||
Norway | 0.4 | |||
Singapore | 1.4 | |||
Spain | 1.6 | |||
Sweden | 1.5 | |||
Switzerland | 13.4 | |||
United Kingdom | 8.8 | |||
Other1 | 1.1 | |||
100.0 | % |
1 | Includes any non-equity securities and net other assets (liabilities). |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 131 |
Table of Contents
Schedule of Investments
FlexShares® Emerging Markets Quality Low Volatility Index Fund
October 31, 2020
Investments | Shares | Value | ||||||
COMMON STOCKS – 98.8% | ||||||||
Air Freight & Logistics – 0.6% | ||||||||
ZTO Express Cayman, Inc., ADR | 2,088 | $ | 60,510 | |||||
Automobiles – 0.3% | ||||||||
Hero MotoCorp Ltd. | 672 | 25,388 | ||||||
Banks – 12.0% | ||||||||
Attijariwafa Bank* | 1,176 | 48,142 | ||||||
Banco BBVA Peru SA | 7,606 | 4,335 | ||||||
Bank Central Asia Tbk. PT | 12,800 | 25,338 | ||||||
Bank of China Ltd., Class H | 232,000 | 73,296 | ||||||
Bank of Communications Co. Ltd., Class H | 100,000 | 49,131 | ||||||
Banque Centrale Populaire | 1,824 | 47,409 | ||||||
BDO Unibank, Inc. | 16,960 | 31,152 | ||||||
Chang Hwa Commercial Bank Ltd. | 82,160 | 48,974 | ||||||
China Construction Bank Corp., Class H | 136,000 | 93,825 | ||||||
China Merchants Bank Co. Ltd., Class H | 1,000 | 5,197 | ||||||
Commercial International Bank Egypt SAE | 11,608 | 45,138 | ||||||
E.Sun Financial Holding Co. Ltd. | 52,709 | 44,779 | ||||||
First Financial Holding Co. Ltd. | 85,710 | 60,080 | ||||||
Hong Leong Bank Bhd. | 11,600 | 41,319 | ||||||
Hua Nan Financial Holdings Co. Ltd. | 92,361 | 55,539 | ||||||
Industrial & Commercial Bank of China Ltd., Class H | 128,000 | 71,965 | ||||||
ING Bank Slaski SA* | 1,348 | 34,893 | ||||||
Itau Unibanco Holding SA (Preference) | 2,000 | 8,144 | ||||||
Krung Thai Bank PCL | 26,600 | 7,382 | ||||||
Krung Thai Bank PCL, NVDR | 26,600 | 7,382 | ||||||
Malayan Banking Bhd. | 31,200 | 52,563 | ||||||
Mega Financial Holding Co. Ltd. | 85,000 | 81,869 | ||||||
Postal Savings Bank of China Co. Ltd., Class H(a) | 100,000 | 49,002 | ||||||
Public Bank Bhd. | 15,600 | 56,618 | ||||||
Sberbank of Russia PJSC | 8,680 | 21,952 | ||||||
SinoPac Financial Holdings Co. Ltd. | 68,000 | 25,438 |
Investments | Shares | Value | ||||||
Banks – (continued) | ||||||||
Taiwan Cooperative Financial Holding Co. Ltd. | 81,890 | $ | 54,968 | |||||
1,145,830 | ||||||||
Beverages – 0.5% | ||||||||
Emperador, Inc. | 236,000 | 48,858 | ||||||
Biotechnology – 1.0% | ||||||||
Celltrion, Inc.* | 40 | 8,495 | ||||||
China Biologic Products Holdings, Inc.* | 708 | 82,277 | ||||||
90,772 | ||||||||
Capital Markets – 0.9% | ||||||||
B3 SA – Brasil Bolsa Balcao | 800 | 7,083 | ||||||
Macquarie Korea Infrastructure Fund | 8,156 | 79,066 | ||||||
86,149 | ||||||||
Chemicals – 3.2% | ||||||||
Acron PJSC | 896 | 71,714 | ||||||
Asian Paints Ltd. | 3,348 | 99,910 | ||||||
Nan Ya Plastics Corp. | 25,000 | 51,305 | ||||||
Pidilite Industries Ltd. | 3,820 | 80,949 | ||||||
303,878 | ||||||||
Commercial Services & Supplies – 0.6% | ||||||||
S-1 Corp. | 856 | 61,558 | ||||||
Construction & Engineering – 0.0%(b) | ||||||||
Impulsora del Desarrollo y el Empleo en America Latina SAB de CV | 1,600 | 2,858 | ||||||
Construction Materials – 1.6% | ||||||||
LafargeHolcim Maroc SA | 484 | 77,053 | ||||||
Ssangyong Cement Industrial Co. Ltd. | 15,260 | 74,639 | ||||||
151,692 | ||||||||
Consumer Finance – 0.5% | ||||||||
SBI Cards & Payment Services Ltd. | 4,704 | 50,764 | ||||||
Diversified Consumer Services – 1.4% | ||||||||
China East Education Holdings Ltd.(a) | 32,000 | 61,484 | ||||||
GSX Techedu, Inc., ADR* | 944 | 62,701 |
See Accompanying Notes to the Financial Statements.
132 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® Emerging Markets Quality Low Volatility Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Diversified Consumer Services – (continued) | ||||||||
New Oriental Education & Technology Group, Inc., ADR* | 56 | $ | 8,981 | |||||
133,166 | ||||||||
Diversified Telecommunication Services – 4.4% | ||||||||
China Telecom Corp. Ltd., Class H | 136,000 | 42,791 | ||||||
China Tower Corp. Ltd., Class H(a) | 320,000 | 49,930 | ||||||
Chunghwa Telecom Co. Ltd. | 30,000 | 112,224 | ||||||
KT Corp. | 2,672 | 52,041 | ||||||
Maroc Telecom | 5,152 | 78,951 | ||||||
O2 Czech Republic A/S* | 7,492 | 70,215 | ||||||
Telefonica Brasil SA (Preference) | 2,000 | 14,756 | ||||||
420,908 | ||||||||
Electric Utilities – 0.3% | ||||||||
Transmissora Alianca de Energia Eletrica SA | 5,600 | 27,340 | ||||||
Electronic Equipment, Instruments & Components – 0.9% | ||||||||
Hon Hai Precision Industry Co. Ltd. | 12,000 | 32,513 | ||||||
WPG Holdings Ltd. | 37,000 | 50,190 | ||||||
82,703 | ||||||||
Entertainment – 0.3% | ||||||||
NetEase, Inc., ADR | 360 | 31,244 | ||||||
Food & Staples Retailing – 2.7% | ||||||||
Berli Jucker PCL, NVDR | 41,200 | 38,005 | ||||||
BIM Birlesik Magazalar A/S | 5,560 | 44,305 | ||||||
Clicks Group Ltd. | 284 | 4,124 | ||||||
President Chain Store Corp. | 6,000 | 54,119 | ||||||
Puregold Price Club, Inc. | 47,040 | 40,091 | ||||||
Sun Art Retail Group Ltd. | 38,000 | 41,063 | ||||||
Wal-Mart de Mexico SAB de CV | 16,800 | 40,465 | ||||||
262,172 | ||||||||
Food Products – 4.5% | ||||||||
Alicorp SAA | 18,828 | 36,465 | ||||||
Dali Foods Group Co. Ltd.(a) | 68,000 | 42,090 | ||||||
Indofood CBP Sukses Makmur Tbk. PT | 70,800 | 46,716 | ||||||
Nestle Malaysia Bhd. | 2,200 | 73,810 | ||||||
Orion Corp. | 580 | 55,459 | ||||||
PPB Group Bhd. | 11,200 | 50,676 |
Investments | Shares | Value | ||||||
Food Products – (continued) | ||||||||
Standard Foods Corp. | 2,000 | $ | 4,272 | |||||
Uni-President China Holdings Ltd. | 72,000 | 62,206 | ||||||
Uni-President Enterprises Corp. | 28,000 | 60,007 | ||||||
431,701 | ||||||||
Gas Utilities – 2.0% | ||||||||
China Resources Gas Group Ltd. | 12,000 | 51,993 | ||||||
ENN Energy Holdings Ltd. | 5,200 | 65,680 | ||||||
Petronas Gas Bhd. | 19,200 | 72,734 | ||||||
190,407 | ||||||||
Health Care Equipment & Supplies – 0.8% | ||||||||
Hartalega Holdings Bhd. | 10,800 | 46,787 | ||||||
Top Glove Corp. Bhd. | 14,400 | 29,701 | ||||||
76,488 | ||||||||
Health Care Providers & Services – 2.8% | ||||||||
Apollo Hospitals Enterprise Ltd. | 1,468 | 41,984 | ||||||
Bangkok Dusit Medical Services PCL, NVDR | 105,000 | 58,956 | ||||||
Bangkok Dusit Medical Services PCL, Class F | 17,400 | 9,770 | ||||||
Bumrungrad Hospital PCL, NVDR | 20,000 | 58,394 | ||||||
Celltrion Healthcare Co. Ltd.* | 660 | 49,266 | ||||||
IHH Healthcare Bhd. | 13,200 | 15,789 | ||||||
Sinopharm Group Co. Ltd., Class H | 16,400 | 37,474 | ||||||
271,633 | ||||||||
Hotels, Restaurants & Leisure – 0.7% | ||||||||
Jubilant Foodworks Ltd. | 704 | 20,660 | ||||||
Kangwon Land, Inc. | 2,072 | 38,529 | ||||||
Yum China Holdings, Inc. | 92 | 4,897 | ||||||
64,086 | ||||||||
Household Durables – 0.6% | ||||||||
Coway Co. Ltd.* | 1,012 | 61,896 | ||||||
Household Products – 0.1% | ||||||||
Hindustan Unilever Ltd. | 324 | 9,056 | ||||||
Independent Power and Renewable Electricity Producers – 0.6% | ||||||||
Electricity Generating PCL | 2,400 | 12,782 | ||||||
Electricity Generating PCL, NVDR | 1,000 | 5,326 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 133 |
Table of Contents
FlexShares® Emerging Markets Quality Low Volatility Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Independent Power and Renewable Electricity Producers – (continued) | ||||||||
Electricity Generating PCL – Foreign | 600 | $ | 3,196 | |||||
Ratch Group PCL, NVDR | 16,000 | 23,871 | ||||||
Unipro PJSC | 236,000 | 7,675 | ||||||
52,850 | ||||||||
Insurance – 1.6% | ||||||||
Ping An Insurance Group Co. of China Ltd., Class H | 7,500 | 76,936 | ||||||
Sinar Mas Multiartha Tbk. PT* | 70,800 | 77,577 | ||||||
154,513 | ||||||||
Interactive Media & Services – 6.8% | ||||||||
Tencent Holdings Ltd. | 8,600 | 655,409 | ||||||
Internet & Direct Marketing Retail – 12.5% | ||||||||
Alibaba Group Holding Ltd., ADR* | 3,060 | 932,352 | ||||||
JD.com, Inc., ADR* | 1,016 | 82,824 | ||||||
Meituan, Class B* (a) | 3,200 | 118,924 | ||||||
Naspers Ltd., Class N* | 272 | 52,920 | ||||||
Pinduoduo, Inc., ADR* | 132 | 11,877 | ||||||
Prosus NV* | 20 | 1,999 | ||||||
1,200,896 | ||||||||
IT Services – 5.8% | ||||||||
HCL Technologies Ltd. | 9,328 | 105,977 | ||||||
Infosys Ltd. | 3,416 | 48,888 | ||||||
Larsen & Toubro Infotech Ltd.(a) | 2,324 | 91,524 | ||||||
Mphasis Ltd. | 112 | 2,084 | ||||||
Samsung SDS Co. Ltd. | 136 | 20,196 | ||||||
Tata Consultancy Services Ltd. | 4,484 | 161,241 | ||||||
Tech Mahindra Ltd. | 3,516 | 38,587 | ||||||
Wipro Ltd. | 19,332 | 88,876 | ||||||
557,373 | ||||||||
Metals & Mining – 0.4% | ||||||||
MMC Norilsk Nickel PJSC | 28 | 6,644 | ||||||
Vale SA | 3,200 | 33,604 | ||||||
40,248 | ||||||||
Multiline Retail – 0.6% | ||||||||
Lojas Renner SA* | 5,200 | 33,774 | ||||||
Robinson PCL* (c) | 600 | 375 |
Investments | Shares | Value | ||||||
Multiline Retail – (continued) | ||||||||
Woolworths Holdings Ltd. | 9,308 | $ | 20,010 | |||||
54,159 | ||||||||
Oil, Gas & Consumable Fuels – 3.3% | ||||||||
China Coal Energy Co. Ltd., Class H | 132,000 | 32,171 | ||||||
China Shenhua Energy Co. Ltd., Class H | 46,000 | 79,486 | ||||||
CNOOC Ltd. | 9,000 | 8,170 | ||||||
Formosa Petrochemical Corp. | 5,000 | 13,740 | ||||||
LUKOIL PJSC | 440 | 22,391 | ||||||
Petroleo Brasileiro SA (Preference) | 800 | 2,628 | ||||||
Petronas Dagangan Bhd. | 10,400 | 43,152 | ||||||
Petronet LNG Ltd. | 21,568 | 67,215 | ||||||
Surgutneftegas PJSC (Preference) | 103,200 | 47,070 | ||||||
316,023 | ||||||||
Personal Products – 0.1% | ||||||||
Hengan International Group Co. Ltd. | 500 | 3,465 | ||||||
Procter & Gamble Hygiene & Health Care Ltd. | 8 | 1,101 | ||||||
4,566 | ||||||||
Pharmaceuticals – 1.0% | ||||||||
Dr Reddy’s Laboratories Ltd. | 76 | 5,014 | ||||||
Hypera SA* | 4,610 | 22,306 | ||||||
Lupin Ltd. | 1,360 | 16,686 | ||||||
Yuhan Corp. | 948 | 49,710 | ||||||
93,716 | ||||||||
Road & Rail – 0.9% | ||||||||
CJ Logistics Corp.* | 396 | 55,664 | ||||||
GMexico Transportes SAB de CV(a) | 22,400 | 26,424 | ||||||
82,088 | ||||||||
Semiconductors & Semiconductor Equipment – 6.6% | ||||||||
Taiwan Semiconductor Manufacturing Co. Ltd. | 42,000 | 634,328 | ||||||
Specialty Retail – 1.4% | ||||||||
Home Product Center PCL | 2,800 | 1,258 | ||||||
Home Product Center PCL, NVDR | 153,200 | 68,815 | ||||||
Zhongsheng Group Holdings Ltd. | 8,500 | 60,394 | ||||||
130,467 |
See Accompanying Notes to the Financial Statements.
134 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® Emerging Markets Quality Low Volatility Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Technology Hardware, Storage & Peripherals – 5.1% | ||||||||
Chicony Electronics Co. Ltd. | 24,000 | $ | 72,243 | |||||
Samsung Electronics Co. Ltd. | 7,752 | 386,678 | ||||||
Samsung Electronics Co. Ltd. (Preference) | 736 | 32,496 | ||||||
491,417 | ||||||||
Textiles, Apparel & Luxury Goods – 0.1% | ||||||||
Alpargatas SA (Preference) | 400 | 2,811 | ||||||
Page Industries Ltd. | 8 | 2,167 | ||||||
4,978 | ||||||||
Tobacco – 0.6% | ||||||||
KT&G Corp. | 868 | 61,962 | ||||||
Transportation Infrastructure – 2.3% | ||||||||
Airports of Thailand PCL, NVDR | 32,000 | 53,132 | ||||||
Jiangsu Expressway Co. Ltd., Class H | 44,000 | 43,973 | ||||||
Promotora y Operadora de Infraestructura SAB de CV | 2,880 | 18,809 | ||||||
Shenzhen Expressway Co. Ltd., Class H | 48,000 | 42,709 | ||||||
Shenzhen International Holdings Ltd. | 26,149 | 40,598 | ||||||
Westports Holdings Bhd. | 21,200 | 19,899 | ||||||
219,120 | ||||||||
Water Utilities – 0.5% | ||||||||
Guangdong Investment Ltd. | 32,000 | 47,372 | ||||||
Wireless Telecommunication Services – 5.9% | ||||||||
Advanced Info Service PCL, NVDR | 13,600 | 75,271 | ||||||
America Movil SAB de CV, Series L | 24,400 | 14,804 | ||||||
China Mobile Ltd. | 24,000 | 145,921 | ||||||
Far EasTone Telecommunications Co. Ltd. | 37,000 | 77,613 | ||||||
Intouch Holdings PCL, NVDR | 42,400 | 72,781 | ||||||
Maxis Bhd. | 30,400 | 35,119 | ||||||
PLDT, Inc. | 1,680 | 46,096 | ||||||
Taiwan Mobile Co. Ltd. | 22,000 | 75,145 | ||||||
Vodacom Group Ltd. | 3,472 | 26,182 | ||||||
568,932 | ||||||||
Total Common Stocks (Cost $9,121,929) |
| 9,461,474 |
Investments | Principal Amount | Value | ||||||
CORPORATE BONDS – 0.0%(b) | ||||||||
Food Products – 0.0%(b) | ||||||||
Britannia Industries Ltd. 8.00%, | INR 78 | $ | 1 | |||||
Total Investments – 98.8% (Cost $9,121,930) |
| 9,461,475 | ||||||
Other assets less liabilities – 1.2% |
| 116,835 | ||||||
Net Assets – 100.0% |
| 9,578,310 |
* | Non-income producing security. |
(a) | Security exempt from registration pursuant to Regulation S under the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale. |
(b) | Represents less than 0.05% of net assets. |
(c) | Security fair valued as of October 31, 2020 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at October 31, 2020 amounted to $375, which represents approximately 0.00% of net assets of the Fund. |
Percentages shown are based on Net Assets.
Abbreviations
ADR – American Depositary Receipt
INR – Indian Rupee
NVDR – Non-Voting Depositary Receipt
PJSC – Public Joint Stock Company
Preference A special type of equity investment that shares in the earnings of the company, has limited voting rights, and may have a dividend preference. Preference shares may also have liquidation preference.
As of October 31, 2020, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments (including derivative instruments, if applicable) for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 911,252 | ||
Aggregate gross unrealized depreciation | (661,954 | ) | ||
Net unrealized appreciation | $ | 249,298 | ||
Federal income tax cost | $ | 9,213,893 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 135 |
Table of Contents
FlexShares® Emerging Markets Quality Low Volatility Index Fund (cont.)
Futures Contracts
FlexShares® Emerging Markets Quality Low Volatility Index Fund had the following open futures contracts as of October 31, 2020:
Number of Contracts | Expiration Date | Trading Currency | Notional Amount | Value and Unrealized Appreciation* | ||||||||||||||||
Long Contracts |
| |||||||||||||||||||
MSCI Emerging Markets E-Mini Index | 2 | 12/18/2020 | USD | $ | 110,190 | $ | 1,716 |
* | This amount represents the cumulative appreciation/depreciation on futures contracts. Current day’s variation margin is reported within the Statement of Assets and Liabilities for futures contracts. |
Abbreviations:
USD – US Dollar
FlexShares® Emerging Markets Quality Low Volatility Index Fund invested, as a percentage of net assets, in companies domiciled in the following countries as of October 31, 2020:
Brazil | 1.6 | % | ||
China | 35.8 | |||
Czech Republic | 0.7 | |||
Egypt | 0.5 | |||
India | 10.0 | |||
Indonesia | 1.6 | |||
Malaysia | 5.6 | |||
Mexico | 1.1 | |||
Morocco | 2.6 | |||
Peru | 0.4 | |||
Philippines | 1.7 | |||
Poland | 0.4 | |||
Russia | 1.8 | |||
South Africa | 1.1 | |||
South Korea | 11.4 | |||
Taiwan | 16.8 | |||
Thailand | 5.2 | |||
Turkey | 0.5 | |||
Other1 | 1.2 | |||
100.0 | % |
1 | Includes any non-equity securities and net other assets (liabilities). |
See Accompanying Notes to the Financial Statements.
136 | FLEXSHARES ANNUAL REPORT |
Table of Contents
Schedule of Investments
FlexShares® Morningstar US Market Factor Tilt Index Fund
October 31, 2020
Investments | Shares | Value | ||||||
COMMON STOCKS – 99.1% | ||||||||
Aerospace & Defense – 1.4% | ||||||||
AAR Corp. | 2,910 | $ | 56,629 | |||||
Aerojet Rocketdyne Holdings, Inc.* (a) | 2,328 | 75,474 | ||||||
AeroVironment, Inc.* | 776 | 59,255 | ||||||
Axon Enterprise, Inc.* (a) | 1,940 | 191,866 | ||||||
Boeing Co. (The) | 13,386 | 1,932,805 | ||||||
BWX Technologies, Inc. | 2,522 | 138,735 | ||||||
Curtiss-Wright Corp. | 1,358 | 114,561 | ||||||
Ducommun, Inc.* (a) | 194 | 6,383 | ||||||
General Dynamics Corp. | 7,954 | 1,044,599 | ||||||
HEICO Corp.(a) | 1,164 | 122,278 | ||||||
HEICO Corp., Class A | 1,940 | 181,390 | ||||||
Hexcel Corp.(a) | 2,328 | 77,941 | ||||||
Howmet Aerospace, Inc. | 14,356 | 247,641 | ||||||
Huntington Ingalls Industries, Inc. | 1,358 | 200,278 | ||||||
Kaman Corp.(a) | 970 | 38,470 | ||||||
Kratos Defense & Security Solutions, Inc.* (a) | 2,910 | 54,970 | ||||||
L3Harris Technologies, Inc. | 5,626 | 906,405 | ||||||
Lockheed Martin Corp. | 9,312 | 3,260,411 | ||||||
Maxar Technologies, Inc.(a) | 17,654 | 454,944 | ||||||
Mercury Systems, Inc.* | 1,746 | 120,264 | ||||||
Moog, Inc., Class A | 8,924 | 556,768 | ||||||
National Presto Industries, Inc. | 194 | 16,119 | ||||||
Northrop Grumman Corp. | 5,820 | 1,686,752 | ||||||
PAE, Inc.* (a) | 17,654 | 139,820 | ||||||
Parsons Corp.* (a) | 582 | 18,345 | ||||||
Raytheon Technologies Corp. | 56,842 | 3,087,657 | ||||||
Spirit AeroSystems Holdings, Inc., Class A | 5,432 | 98,808 | ||||||
Teledyne Technologies, Inc.* | 970 | 299,876 | ||||||
Textron, Inc. | 8,148 | 291,698 | ||||||
TransDigm Group, Inc. | 1,164 | 555,705 | ||||||
Triumph Group, Inc. | 12,998 | 85,787 | ||||||
Vectrus, Inc.* | 1,164 | 46,001 | ||||||
Virgin Galactic Holdings, Inc.* (a) | 2,328 | 40,554 | ||||||
16,209,189 |
Investments | Shares | Value | ||||||
Air Freight & Logistics – 0.7% | ||||||||
Air Transport Services Group, Inc.* (a) | 1,940 | �� | $ | 54,398 | ||||
Atlas Air Worldwide Holdings, Inc.* (a) | 7,566 | 447,604 | ||||||
CH Robinson Worldwide, Inc. | 4,074 | 360,264 | ||||||
Echo Global Logistics, Inc.* | 3,104 | 83,715 | ||||||
Expeditors International of Washington, Inc. | 4,462 | 394,307 | ||||||
FedEx Corp. | 8,730 | 2,265,173 | ||||||
Forward Air Corp. | 970 | 61,081 | ||||||
Hub Group, Inc., Class A* | 9,894 | 495,986 | ||||||
United Parcel Service, Inc., Class B | 26,190 | 4,114,711 | ||||||
XPO Logistics, Inc.* (a) | 3,686 | 331,740 | ||||||
8,608,979 | ||||||||
Airlines – 0.5% | ||||||||
Alaska Air Group, Inc. | 35,696 | 1,352,521 | ||||||
Allegiant Travel Co.(a) | 3,492 | 470,582 | ||||||
American Airlines Group, Inc.(a) | 19,594 | 221,020 | ||||||
Delta Air Lines, Inc. | 25,220 | 772,741 | ||||||
Hawaiian Holdings, Inc.(a) | 16,490 | 228,387 | ||||||
JetBlue Airways Corp.* (a) | 82,256 | 984,604 | ||||||
SkyWest, Inc.(a) | 15,132 | 439,282 | ||||||
Southwest Airlines Co. | 19,982 | 789,889 | ||||||
Spirit Airlines, Inc.* (a) | 5,044 | 88,623 | ||||||
United Airlines Holdings, Inc.* (a) | 10,864 | 367,855 | ||||||
5,715,504 | ||||||||
Auto Components – 0.4% | ||||||||
Adient plc* | 27,742 | 588,685 | ||||||
American Axle & Manufacturing Holdings, Inc.* | 28,518 | 191,641 | ||||||
Aptiv plc | 6,790 | 655,167 | ||||||
Autoliv, Inc.(a) | 2,134 | 161,757 | ||||||
BorgWarner, Inc. | 9,199 | 321,781 | ||||||
Cooper Tire & Rubber Co.(a) | 12,610 | 433,658 | ||||||
Dana, Inc. | 42,486 | 594,379 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 137 |
Table of Contents
FlexShares® Morningstar US Market Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Auto Components – (continued) | ||||||||
Dorman Products, Inc.* | 970 | $ | 86,592 | |||||
Fox Factory Holding Corp.* (a) | 1,164 | 97,869 | ||||||
Gentex Corp. | 6,790 | 187,879 | ||||||
Gentherm, Inc.* | 1,164 | 53,882 | ||||||
Goodyear Tire & Rubber Co. (The) | 60,722 | 502,778 | ||||||
LCI Industries | 970 | 106,370 | ||||||
Lear Corp. | 1,746 | 210,934 | ||||||
Standard Motor Products, Inc. | 582 | 26,656 | ||||||
Tenneco, Inc., Class A* (a) | 15,132 | 130,438 | ||||||
Veoneer, Inc.* (a) | 27,936 | 429,376 | ||||||
Visteon Corp.* | 970 | 86,961 | ||||||
4,866,803 | ||||||||
Automobiles – 1.1% | ||||||||
Ford Motor Co. | 147,634 | 1,141,211 | ||||||
General Motors Co. | 48,112 | 1,661,307 | ||||||
Harley-Davidson, Inc.(a) | 44,426 | 1,460,727 | ||||||
Tesla, Inc.* (a) | 18,624 | 7,226,857 | ||||||
Thor Industries, Inc.(a) | 16,296 | 1,378,316 | ||||||
Winnebago Industries, Inc.(a) | 1,552 | 72,866 | ||||||
12,941,284 | ||||||||
Banks – 6.5% | ||||||||
1st Source Corp. | 776 | 25,988 | ||||||
Allegiance Bancshares, Inc.(a) | 582 | 16,471 | ||||||
Amalgamated Bank, Class A | 9,312 | 103,363 | ||||||
Ameris Bancorp | 19,982 | 585,473 | ||||||
Associated Banc-Corp. | 42,098 | 576,322 | ||||||
Atlantic Union Bankshares Corp.(a) | 22,892 | 578,939 | ||||||
Banc of California, Inc.(a) | 3,880 | 46,560 | ||||||
BancFirst Corp. | 582 | 25,870 | ||||||
Bancorp, Inc. (The)* | 13,774 | 132,230 | ||||||
BancorpSouth Bank | 25,802 | 604,025 | ||||||
Bank of America Corp. | 290,806 | 6,892,102 | ||||||
Bank of Hawaii Corp.(a) | 1,358 | 82,349 | ||||||
Bank OZK(a) | 33,756 | 836,474 |
Investments | Shares | Value | ||||||
Banks – (continued) | ||||||||
BankUnited, Inc.(a) | 24,056 | $ | 607,414 | |||||
Banner Corp.(a) | 11,252 | 414,861 | ||||||
Berkshire Hills Bancorp, Inc. | 11,640 | 151,669 | ||||||
BOK Financial Corp.(a) | 9,312 | 546,987 | ||||||
Boston Private Financial Holdings, Inc. | 33,950 | 209,811 | ||||||
Bridge Bancorp, Inc. | 5,626 | 109,932 | ||||||
Brookline Bancorp, Inc. | 2,910 | 27,878 | ||||||
Bryn Mawr Bank Corp. | 582 | 15,633 | ||||||
Byline Bancorp, Inc.(a) | 5,044 | 66,278 | ||||||
Cadence Bancorp | 30,458 | 341,739 | ||||||
Cathay General Bancorp | 22,892 | 538,649 | ||||||
CBTX, Inc.(a) | 2,328 | 43,999 | ||||||
Central Pacific Financial Corp. | 4,074 | 56,099 | ||||||
CIT Group, Inc. | 26,190 | 771,295 | ||||||
Citigroup, Inc. | 77,988 | 3,230,263 | ||||||
Citizens Financial Group, Inc. | 19,012 | 518,077 | ||||||
City Holding Co. | 582 | 35,170 | ||||||
Columbia Banking System, Inc. | 2,328 | 66,138 | ||||||
Comerica, Inc. | 38,800 | 1,765,788 | ||||||
Commerce Bancshares, Inc.(a) | 2,716 | 169,071 | ||||||
Community Bank System, Inc.(a) | 1,552 | 90,000 | ||||||
Community Trust Bancorp, Inc. | 2,134 | 67,904 | ||||||
ConnectOne Bancorp, Inc. | 4,462 | 68,849 | ||||||
CrossFirst Bankshares, Inc.* (a) | 2,716 | 22,679 | ||||||
Cullen/Frost Bankers, Inc.(a) | 15,908 | 1,117,855 | ||||||
Customers Bancorp, Inc.* | 9,700 | 134,054 | ||||||
CVB Financial Corp. | 3,298 | 57,715 | ||||||
Dime Community Bancshares, Inc.(a) | 1,164 | 14,725 | ||||||
Eagle Bancorp, Inc.(a) | 8,730 | 261,202 | ||||||
East West Bancorp, Inc. | 40,352 | 1,472,041 | ||||||
Enterprise Financial Services Corp. | 582 | 16,942 | ||||||
FB Financial Corp. | 1,358 | 40,061 | ||||||
Fifth Third Bancorp | 28,324 | 657,683 | ||||||
Financial Institutions, Inc. | 7,760 | 137,585 |
See Accompanying Notes to the Financial Statements.
138 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® Morningstar US Market Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Banks – (continued) | ||||||||
First Bancorp/NC | 2,910 | $ | 70,102 | |||||
First Bancorp/PR | 73,138 | 474,666 | ||||||
First Bancshares, Inc. (The)(a) | 6,402 | 152,624 | ||||||
First Citizens BancShares, Inc., Class A(a) | 1,746 | 807,874 | ||||||
First Commonwealth Financial Corp. | 9,312 | 80,269 | ||||||
First Financial Bancorp | 24,056 | 344,001 | ||||||
First Financial Bankshares, Inc.(a) | 4,268 | 127,229 | ||||||
First Financial Corp. | 1,746 | 60,621 | ||||||
First Foundation, Inc. | 1,552 | 23,078 | ||||||
First Hawaiian, Inc.(a) | 39,188 | 676,385 | ||||||
First Horizon National Corp. | 159,080 | 1,656,023 | ||||||
First Interstate BancSystem, Inc., Class A(a) | 2,522 | 89,027 | ||||||
First Merchants Corp.(a) | 15,908 | 415,358 | ||||||
First Midwest Bancorp, Inc. | 36,860 | 462,593 | ||||||
First of Long Island Corp. (The) | 1,164 | 17,961 | ||||||
First Republic Bank | 4,462 | 562,837 | ||||||
Flushing Financial Corp. | 8,924 | 114,138 | ||||||
FNB Corp. | 99,910 | 755,320 | ||||||
Fulton Financial Corp. | 48,694 | 535,147 | ||||||
German American Bancorp, Inc.(a) | 776 | 23,412 | ||||||
Glacier Bancorp, Inc. | 2,716 | 97,233 | ||||||
Great Southern Bancorp, Inc. | 388 | 15,889 | ||||||
Great Western Bancorp, Inc. | 12,222 | 158,764 | ||||||
Hancock Whitney Corp. | 22,504 | 514,666 | ||||||
Hanmi Financial Corp. | 7,760 | 69,762 | ||||||
HarborOne Bancorp, Inc. | 2,328 | 21,883 | ||||||
HBT Financial, Inc. | 6,596 | 81,395 | ||||||
Heartland Financial USA, Inc. | 7,760 | 255,614 | ||||||
Heritage Commerce Corp. | 24,444 | 177,219 | ||||||
Hilltop Holdings, Inc. | 19,788 | 451,364 | ||||||
Home BancShares, Inc.(a) | 36,472 | 605,435 | ||||||
Hope Bancorp, Inc.(a) | 29,488 | 237,968 | ||||||
Horizon Bancorp, Inc.(a) | 15,908 | 197,259 | ||||||
Huntington Bancshares, Inc. | 45,590 | 475,960 |
Investments | Shares | Value | ||||||
Banks – (continued) | ||||||||
Independent Bank Corp. – MA(a) | 1,164 | $ | 66,686 | |||||
Independent Bank Corp. – MI | 9,118 | 136,496 | ||||||
Independent Bank Group, Inc. | 10,088 | 520,339 | ||||||
International Bancshares Corp.(a) | 14,550 | 402,744 | ||||||
Investors Bancorp, Inc. | 67,512 | 571,151 | ||||||
JPMorgan Chase & Co. | 113,878 | 11,164,599 | ||||||
KeyCorp | 43,650 | 566,577 | ||||||
Lakeland Bancorp, Inc. | 16,102 | 179,215 | ||||||
Lakeland Financial Corp.(a) | 776 | 39,677 | ||||||
Live Oak Bancshares, Inc. | 970 | 36,162 | ||||||
M&T Bank Corp. | 4,850 | 502,363 | ||||||
Mercantile Bank Corp. | 776 | 16,963 | ||||||
Midland States Bancorp, Inc. | 4,850 | 72,265 | ||||||
MidWestOne Financial Group, Inc. | 5,820 | 117,273 | ||||||
National Bank Holdings Corp., Class A(a) | 1,164 | 35,095 | ||||||
NBT Bancorp, Inc. | 1,358 | 37,182 | ||||||
OceanFirst Financial Corp. | 17,848 | 267,185 | ||||||
OFG Bancorp(a) | 19,206 | 276,374 | ||||||
Old National Bancorp(a) | 40,352 | 564,121 | ||||||
Origin Bancorp, Inc.(a) | 3,104 | 69,436 | ||||||
Pacific Premier Bancorp, Inc.(a) | 25,996 | 662,898 | ||||||
PacWest Bancorp | 30,846 | 593,477 | ||||||
Park National Corp.(a) | 388 | 35,560 | ||||||
Peapack-Gladstone Financial Corp. | 3,298 | 55,670 | ||||||
Peoples Bancorp, Inc. | 7,760 | 175,376 | ||||||
People’s United Financial, Inc.(a) | 17,266 | 184,228 | ||||||
Pinnacle Financial Partners, Inc. | 21,340 | 977,159 | ||||||
PNC Financial Services Group, Inc. (The) | 15,714 | 1,758,082 | ||||||
Popular, Inc. | 21,728 | 916,922 | ||||||
Preferred Bank | 388 | 13,126 | ||||||
Prosperity Bancshares, Inc.(a) | 2,910 | 160,370 | ||||||
QCR Holdings, Inc. | 582 | 18,059 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 139 |
Table of Contents
FlexShares® Morningstar US Market Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Banks – (continued) | ||||||||
Regions Financial Corp. | 42,486 | $ | 565,064 | |||||
Renasant Corp.(a) | 14,162 | 403,759 | ||||||
S&T Bancorp, Inc.(a) | 2,328 | 46,071 | ||||||
Sandy Spring Bancorp, Inc. | 14,938 | 378,678 | ||||||
ServisFirst Bancshares, Inc.(a) | 1,552 | 57,269 | ||||||
Sierra Bancorp | 3,492 | 69,281 | ||||||
Signature Bank | 1,552 | 125,308 | ||||||
Simmons First National Corp., Class A(a) | 31,234 | 530,666 | ||||||
South State Corp.(a) | 1,552 | 95,293 | ||||||
Southside Bancshares, Inc.(a) | 970 | 26,151 | ||||||
Sterling Bancorp | 51,216 | 685,270 | ||||||
Stock Yards Bancorp, Inc.(a) | 776 | 29,659 | ||||||
SVB Financial Group* | 1,746 | 507,562 | ||||||
Synovus Financial Corp. | 45,008 | 1,170,208 | ||||||
TCF Financial Corp. | 45,396 | 1,235,225 | ||||||
Texas Capital Bancshares, Inc.* (a) | 12,804 | 576,180 | ||||||
Tompkins Financial Corp. | 388 | 21,724 | ||||||
TriCo Bancshares | 776 | 22,450 | ||||||
TriState Capital Holdings, Inc.* | 388 | 4,885 | ||||||
Triumph Bancorp, Inc.* (a) | 582 | 24,520 | ||||||
Truist Financial Corp. | 49,470 | 2,083,676 | ||||||
UMB Financial Corp. | 1,358 | 82,661 | ||||||
Umpqua Holdings Corp. | 67,512 | 847,951 | ||||||
United Bankshares, Inc.(a) | 4,850 | 127,215 | ||||||
United Community Banks, Inc. | 24,638 | 515,920 | ||||||
Univest Financial Corp. | 6,014 | 95,382 | ||||||
US Bancorp | 48,500 | 1,889,075 | ||||||
Valley National Bancorp(a) | 122,414 | 935,243 | ||||||
Veritex Holdings, Inc.(a) | 14,938 | 294,727 | ||||||
Washington Trust Bancorp, Inc. | 582 | 19,654 | ||||||
Webster Financial Corp. | 24,056 | 774,844 | ||||||
Wells Fargo & Co. | 159,274 | 3,416,427 | ||||||
WesBanco, Inc.(a) | 17,460 | 424,103 | ||||||
Westamerica Bancorp | 776 | 40,639 | ||||||
Western Alliance Bancorp | 28,324 | 1,166,949 | ||||||
Wintrust Financial Corp. | 15,714 | 773,600 | ||||||
Zions Bancorp NA | 5,626 | 181,551 | ||||||
76,598,958 |
Investments | Shares | Value | ||||||
Beverages – 1.0% | ||||||||
Boston Beer Co., Inc. (The), Class A* (a) | 194 | $ | 201,601 | |||||
Brown-Forman Corp., Class A | 1,552 | 97,388 | ||||||
Brown-Forman Corp., Class B | 4,850 | 338,093 | ||||||
Coca-Cola Co. (The) | 96,418 | 4,633,849 | ||||||
Coca-Cola Consolidated, Inc. | 194 | 44,416 | ||||||
Constellation Brands, Inc., Class A | 4,074 | 673,147 | ||||||
Keurig Dr Pepper, Inc.(a) | 7,954 | 213,963 | ||||||
Molson Coors Beverage Co., Class B | 7,760 | 273,618 | ||||||
Monster Beverage Corp.* | 10,088 | 772,438 | ||||||
National Beverage Corp.* (a) | 388 | 30,377 | ||||||
PepsiCo, Inc. | 35,308 | 4,706,203 | ||||||
11,985,093 | ||||||||
Biotechnology – 2.3% | ||||||||
AbbVie, Inc. | 66,930 | 5,695,743 | ||||||
ACADIA Pharmaceuticals, Inc.* (a) | 3,104 | 144,181 | ||||||
Acceleron Pharma, Inc.* (a) | 1,358 | 142,020 | ||||||
Adverum Biotechnologies, Inc.* | 2,134 | 23,282 | ||||||
Agenus, Inc.* (a) | 2,328 | 8,590 | ||||||
Agios Pharmaceuticals, Inc.* (a) | 1,940 | 77,736 | ||||||
Alector, Inc.* (a) | 1,164 | 10,953 | ||||||
Alexion Pharmaceuticals, Inc.* | 7,954 | 915,824 | ||||||
Alkermes plc* | 5,238 | 85,118 | ||||||
Alnylam Pharmaceuticals, Inc.* | 2,910 | 357,843 | ||||||
Amgen, Inc. | 14,938 | 3,240,650 | ||||||
Amicus Therapeutics, Inc.* (a) | 8,148 | 145,279 | ||||||
Anika Therapeutics, Inc.* (a) | 582 | 18,985 | ||||||
Apellis Pharmaceuticals, Inc.* (a) | 1,552 | 49,509 | ||||||
Arena Pharmaceuticals, Inc.* | 2,328 | 199,556 | ||||||
Arrowhead Pharmaceuticals, Inc.* (a) | 3,104 | 177,859 |
See Accompanying Notes to the Financial Statements.
140 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® Morningstar US Market Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Biotechnology – (continued) | ||||||||
Assembly Biosciences, Inc.* (a) | 1,746 | $ | 25,736 | |||||
Biogen, Inc.* | 5,626 | 1,418,146 | ||||||
BioMarin Pharmaceutical, Inc.* | 4,268 | 317,667 | ||||||
Bluebird Bio, Inc.* (a) | 2,328 | 120,381 | ||||||
Blueprint Medicines Corp.* | 1,746 | 178,581 | ||||||
CareDx, Inc.* (a) | 1,358 | 66,610 | ||||||
Catalyst Pharmaceuticals, Inc.* (a) | 3,686 | 10,947 | ||||||
ChemoCentryx, Inc.* (a) | 1,358 | 65,184 | ||||||
Coherus Biosciences, Inc.* (a) | 17,848 | 297,526 | ||||||
CRISPR Therapeutics AG* (a) | 1,164 | 106,878 | ||||||
Cytokinetics, Inc.* (a) | 2,134 | 32,800 | ||||||
Deciphera Pharmaceuticals, Inc.* (a) | 582 | 33,797 | ||||||
Dicerna Pharmaceuticals, Inc.* (a) | 2,328 | 48,865 | ||||||
Dynavax Technologies Corp.* (a) | 970 | 3,618 | ||||||
Eagle Pharmaceuticals, Inc.* (a) | 388 | 18,050 | ||||||
Editas Medicine, Inc.* (a) | 1,746 | 54,021 | ||||||
Emergent BioSolutions, Inc.* | 1,358 | 122,179 | ||||||
Epizyme, Inc.* (a) | 2,522 | 31,172 | ||||||
Esperion Therapeutics, Inc.* (a) | 776 | 23,257 | ||||||
Exact Sciences Corp.* | 3,492 | 432,414 | ||||||
Exelixis, Inc.* | 9,700 | 198,656 | ||||||
Fate Therapeutics, Inc.* (a) | 1,940 | 86,136 | ||||||
FibroGen, Inc.* (a) | 2,134 | 81,903 | ||||||
Flexion Therapeutics, Inc.* (a) | 1,358 | 16,282 | ||||||
Gilead Sciences, Inc. | 45,978 | 2,673,621 | ||||||
Global Blood Therapeutics, Inc.* (a) | 1,940 | 102,587 | ||||||
Halozyme Therapeutics, Inc.* | 3,880 | 108,640 | ||||||
Heron Therapeutics, Inc.* (a) | 2,716 | 44,298 | ||||||
ImmunoGen, Inc.* | 8,342 | 47,049 | ||||||
Incyte Corp.* | 4,850 | 420,204 |
Investments | Shares | Value | ||||||
Biotechnology – (continued) | ||||||||
Inovio Pharmaceuticals, Inc.* (a) | 2,910 | $ | 28,663 | |||||
Insmed, Inc.* (a) | 2,910 | 95,855 | ||||||
Intellia Therapeutics, Inc.* (a) | 1,358 | 32,511 | ||||||
Intercept Pharmaceuticals, Inc.* (a) | 388 | 10,783 | ||||||
Invitae Corp.* (a) | 2,910 | 114,101 | ||||||
Ionis Pharmaceuticals, Inc.* | 3,492 | 163,949 | ||||||
Iovance Biotherapeutics, Inc.* (a) | 3,686 | 131,516 | ||||||
Ironwood Pharmaceuticals, Inc.* (a) | 5,238 | 51,751 | ||||||
Kadmon Holdings, Inc.* (a) | 5,044 | �� | 17,150 | |||||
Karyopharm Therapeutics, Inc.* | 1,746 | 25,876 | ||||||
Ligand Pharmaceuticals, Inc.* (a) | 582 | 47,986 | ||||||
Madrigal Pharmaceuticals, Inc.* (a) | 582 | 74,059 | ||||||
Mirati Therapeutics, Inc.* (a) | 970 | 210,626 | ||||||
Moderna, Inc.* (a) | 6,596 | 445,032 | ||||||
Myriad Genetics, Inc.* (a) | 3,298 | 40,994 | ||||||
Natera, Inc.* | 1,746 | 117,436 | ||||||
Neurocrine Biosciences, Inc.* (a) | 2,522 | 248,846 | ||||||
Novavax, Inc.* (a) | 1,164 | 93,946 | ||||||
OPKO Health, Inc.* (a) | 32,398 | 114,041 | ||||||
PDL BioPharma, Inc.* (a) | 4,656 | 10,010 | ||||||
Precision BioSciences, Inc.* | 970 | 6,121 | ||||||
Prothena Corp. plc* (a) | 1,552 | 16,932 | ||||||
PTC Therapeutics, Inc.* (a) | 1,940 | 101,249 | ||||||
Regeneron Pharmaceuticals, Inc.* | 2,522 | 1,370,858 | ||||||
Retrophin, Inc.* (a) | 1,164 | 23,559 | ||||||
Rhythm Pharmaceuticals, Inc.* (a) | 1,164 | 24,642 | ||||||
Rigel Pharmaceuticals, Inc.* | 6,596 | 16,358 | ||||||
Sage Therapeutics, Inc.* | 1,552 | 113,886 | ||||||
Sangamo Therapeutics, Inc.* (a) | 3,880 | 40,119 | ||||||
Sarepta Therapeutics, Inc.* (a) | 1,940 | 263,665 | ||||||
Seagen, Inc.* | 3,104 | 517,747 | ||||||
TG Therapeutics, Inc.* (a) | 2,716 | 68,633 | ||||||
Twist Bioscience Corp.* (a) | 970 | 74,341 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 141 |
Table of Contents
FlexShares® Morningstar US Market Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Biotechnology – (continued) | ||||||||
Ultragenyx Pharmaceutical, Inc.* (a) | 1,940 | $ | 194,970 | |||||
United Therapeutics Corp.* | 12,998 | 1,744,722 | ||||||
Vanda Pharmaceuticals, Inc.* (a) | 1,552 | 16,591 | ||||||
Veracyte, Inc.* (a) | 1,552 | 53,792 | ||||||
Vertex Pharmaceuticals, Inc.* | 6,596 | 1,374,343 | ||||||
Viking Therapeutics, Inc.* (a) | 18,818 | 105,945 | ||||||
Voyager Therapeutics, Inc.* (a) | 970 | 10,311 | ||||||
XBiotech, Inc.* | 582 | 9,958 | ||||||
Xencor, Inc.* (a) | 1,358 | 52,120 | ||||||
Y-mAbs Therapeutics, Inc.* (a) | 194 | 8,292 | ||||||
ZIOPHARM Oncology, Inc.* (a) | 4,850 | 10,137 | ||||||
26,774,755 | ||||||||
Building Products – 0.8% | ||||||||
A O Smith Corp. | 3,686 | 190,529 | ||||||
AAON, Inc.(a) | 1,358 | 79,321 | ||||||
Advanced Drainage Systems, Inc. | 1,746 | 110,749 | ||||||
Allegion plc | 1,164 | 114,654 | ||||||
American Woodmark Corp.* | 4,656 | 384,632 | ||||||
Apogee Enterprises, Inc. | 5,238 | 125,136 | ||||||
Armstrong World Industries, Inc. | 388 | 23,241 | ||||||
Builders FirstSource, Inc.* (a) | 34,144 | 1,034,563 | ||||||
Carrier Global Corp. | 28,130 | 939,261 | ||||||
Cornerstone Building Brands, Inc.* (a) | 12,416 | 95,231 | ||||||
Fortune Brands Home & Security, Inc. | 4,462 | 360,842 | ||||||
Gibraltar Industries, Inc.* | 970 | 55,726 | ||||||
Griffon Corp. | 1,358 | 29,116 | ||||||
Insteel Industries, Inc. | 388 | 8,443 | ||||||
JELD-WEN Holding, Inc.* | 22,698 | 477,339 | ||||||
Johnson Controls International plc | 26,578 | 1,121,857 | ||||||
Lennox International, Inc.(a) | 970 | 263,510 |
Investments | Shares | Value | ||||||
Building Products – (continued) | ||||||||
Masco Corp. | 7,566 | $ | 405,538 | |||||
Masonite International Corp.* | 776 | 68,288 | ||||||
Owens Corning | 30,458 | 1,994,085 | ||||||
Patrick Industries, Inc.(a) | 1,358 | 75,709 | ||||||
PGT Innovations, Inc.* | 15,714 | 260,538 | ||||||
Quanex Building Products Corp.(a) | 9,506 | 173,009 | ||||||
Resideo Technologies, Inc.* | 36,278 | 365,682 | ||||||
Simpson Manufacturing Co., Inc. | 1,164 | 103,270 | ||||||
Trane Technologies plc | 5,626 | 746,852 | ||||||
Trex Co., Inc.* (a) | 3,880 | 269,815 | ||||||
UFP Industries, Inc. | 1,940 | 96,825 | ||||||
9,973,761 | ||||||||
Capital Markets – 2.8% | ||||||||
Affiliated Managers Group, Inc.(a) | 12,028 | 906,550 | ||||||
Ameriprise Financial, Inc. | 4,850 | 780,026 | ||||||
Apollo Global Management, Inc. | 5,238 | 193,073 | ||||||
Ares Management Corp.(a) | 2,328 | 98,474 | ||||||
Artisan Partners Asset Management, Inc., Class A | 3,104 | 124,346 | ||||||
B. Riley Financial, Inc. | 4,074 | 106,902 | ||||||
Bank of New York Mellon Corp. (The) | 29,100 | 999,876 | ||||||
BGC Partners, Inc., Class A(a) | 79,152 | 233,498 | ||||||
BlackRock, Inc. | 3,686 | 2,208,688 | ||||||
Blackstone Group, Inc. (The), Class A | 14,744 | 743,392 | ||||||
Blucora, Inc.* (a) | 16,102 | 160,215 | ||||||
Brightsphere Investment Group, Inc. | 19,788 | 273,074 | ||||||
Carlyle Group, Inc. (The) | 1,164 | 29,007 | ||||||
Charles Schwab Corp. (The) | 39,111 | 1,607,853 | ||||||
CME Group, Inc. | 8,342 | 1,257,306 | ||||||
Cohen & Steers, Inc. | 776 | 43,697 | ||||||
Cowen, Inc., Class A(a) | 8,536 | 183,183 | ||||||
Eaton Vance Corp. | 3,492 | 208,787 | ||||||
Evercore, Inc., Class A | 11,640 | 925,846 |
See Accompanying Notes to the Financial Statements.
142 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® Morningstar US Market Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Capital Markets – (continued) | ||||||||
FactSet Research Systems, Inc. | 970 | $ | 297,305 | |||||
Federated Hermes, Inc., Class B | 25,608 | 612,031 | ||||||
Focus Financial Partners, Inc., Class A* | 8,924 | 325,815 | ||||||
Franklin Resources, Inc.(a) | 11,252 | 210,975 | ||||||
Goldman Sachs Group, Inc. (The) | 12,416 | 2,347,121 | ||||||
Hamilton Lane, Inc., Class A | 970 | 67,609 | ||||||
Houlihan Lokey, Inc. | 1,358 | 85,147 | ||||||
Interactive Brokers Group, Inc., Class A(a) | 2,328 | 110,743 | ||||||
Intercontinental Exchange, Inc. | 14,356 | 1,355,206 | ||||||
Invesco Ltd.(a) | 107,670 | 1,411,554 | ||||||
Janus Henderson Group plc(a) | 41,128 | 999,410 | ||||||
KKR & Co., Inc. | 14,550 | 496,883 | ||||||
LPL Financial Holdings, Inc. | 2,134 | 170,571 | ||||||
MarketAxess Holdings, Inc. | 970 | 522,685 | ||||||
Moelis & Co., Class A(a) | 1,552 | 57,734 | ||||||
Moody’s Corp. | 4,074 | 1,071,055 | ||||||
Morgan Stanley | 55,482 | 2,671,458 | ||||||
Morningstar, Inc. | 582 | 110,801 | ||||||
MSCI, Inc. | 2,134 | 746,559 | ||||||
Nasdaq, Inc. | 3,104 | 375,553 | ||||||
Northern Trust Corp.(a) (b) | 7,372 | 577,006 | ||||||
Piper Sandler Cos. | 3,492 | 291,407 | ||||||
PJT Partners, Inc., Class A | 776 | 52,504 | ||||||
Raymond James Financial, Inc. | 3,880 | 296,587 | ||||||
S&P Global, Inc. | 6,208 | 2,003,508 | ||||||
Sculptor Capital Management, Inc. | 5,044 | 54,677 | ||||||
SEI Investments Co. | 3,298 | 162,097 | ||||||
State Street Corp. | 11,640 | 685,596 | ||||||
Stifel Financial Corp.(a) | 18,818 | 1,100,101 | ||||||
StoneX Group, Inc.* | 4,850 | 256,953 | ||||||
T. Rowe Price Group, Inc. | 6,014 | 761,733 | ||||||
Tradeweb Markets, Inc., Class A | 1,940 | 105,691 |
Investments | Shares | Value | ||||||
Capital Markets – (continued) | ||||||||
Virtu Financial, Inc., Class A(a) | 21,728 | $ | 464,545 | |||||
Virtus Investment Partners, Inc.(a) | 2,134 | 340,480 | ||||||
Waddell & Reed Financial, Inc., Class A(a) | 15,520 | 238,232 | ||||||
32,521,125 | ||||||||
Chemicals – 1.8% | ||||||||
AdvanSix, Inc.* | 8,924 | 135,823 | ||||||
Air Products and Chemicals, Inc. | 5,626 | 1,554,126 | ||||||
Albemarle Corp.(a) | 4,074 | 379,738 | ||||||
American Vanguard Corp. | 194 | 2,506 | ||||||
Ashland Global Holdings, Inc. | 1,746 | 121,818 | ||||||
Avient Corp. | 2,910 | 90,414 | ||||||
Axalta Coating Systems Ltd.* | 3,104 | 77,941 | ||||||
Balchem Corp. | 970 | 96,952 | ||||||
Cabot Corp. | 14,938 | 567,793 | ||||||
Celanese Corp. | 3,880 | 440,419 | ||||||
CF Industries Holdings, Inc. | 8,148 | 224,966 | ||||||
Chase Corp. | 388 | 36,922 | ||||||
Chemours Co. (The)(a) | 47,142 | 949,440 | ||||||
Corteva, Inc. | 16,878 | 556,636 | ||||||
Dow, Inc. | 26,772 | 1,217,858 | ||||||
DuPont de Nemours, Inc. | 26,772 | 1,522,791 | ||||||
Eastman Chemical Co. | 4,462 | 360,708 | ||||||
Ecolab, Inc. | 6,402 | 1,175,343 | ||||||
Element Solutions, Inc.* | 58,394 | 684,378 | ||||||
Ferro Corp.* | 6,596 | 84,825 | ||||||
FMC Corp. | 3,492 | 358,768 | ||||||
FutureFuel Corp.(a) | 3,104 | 36,907 | ||||||
Hawkins, Inc. | 388 | 18,123 | ||||||
HB Fuller Co. | 1,552 | 70,228 | ||||||
Huntsman Corp. | 54,126 | 1,314,721 | ||||||
Ingevity Corp.* | 776 | 42,587 | ||||||
Innospec, Inc. | 776 | 51,325 | ||||||
International Flavors & Fragrances, Inc.(a) | 2,910 | 298,741 | ||||||
Koppers Holdings, Inc.* (a) | 6,984 | 156,651 | ||||||
Kraton Corp.* (a) | 4,268 | 120,784 | ||||||
Kronos Worldwide, Inc. | 4,656 | 62,018 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 143 |
Table of Contents
FlexShares® Morningstar US Market Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Chemicals – (continued) | ||||||||
Linde plc | 13,386 | $ | 2,949,471 | |||||
Livent Corp.* (a) | 3,880 | 41,710 | ||||||
LyondellBasell Industries NV, Class A | 9,700 | 663,965 | ||||||
Minerals Technologies, Inc.(a) | 8,730 | 477,444 | ||||||
Mosaic Co. (The) | 8,730 | 161,505 | ||||||
Olin Corp.(a) | 38,412 | 635,719 | ||||||
PPG Industries, Inc. | 5,432 | 704,639 | ||||||
PQ Group Holdings, Inc.* | 10,282 | 118,860 | ||||||
Quaker Chemical Corp.(a) | 388 | 74,027 | ||||||
RPM International, Inc. | 3,492 | 295,668 | ||||||
Scotts Miracle-Gro Co. (The) | 1,164 | 174,658 | ||||||
Sensient Technologies Corp. | 1,358 | 88,854 | ||||||
Sherwin-Williams Co. (The) | 1,940 | 1,334,681 | ||||||
Stepan Co. | 582 | 67,768 | ||||||
Tredegar Corp. | 776 | 11,314 | ||||||
Trinseo SA(a) | 11,446 | 364,212 | ||||||
Tronox Holdings plc, Class A(a) | 25,220 | 246,399 | ||||||
Valvoline, Inc. | 6,014 | 118,295 | ||||||
W R Grace & Co. | 1,164 | 50,622 | ||||||
Westlake Chemical Corp.(a) | 388 | 26,237 | ||||||
21,418,298 | ||||||||
Commercial Services & Supplies – 0.7% | ||||||||
ABM Industries, Inc. | 3,298 | 114,507 | ||||||
ACCO Brands Corp.(a) | 28,324 | 149,267 | ||||||
ADT, Inc. | 28,712 | 189,212 | ||||||
Brady Corp., Class A | 1,552 | 58,541 | ||||||
BrightView Holdings, Inc.* (a) | 8,536 | 104,395 | ||||||
Brink’s Co. (The)(a) | 1,552 | 66,472 | ||||||
Casella Waste Systems, Inc., Class A* | 1,358 | 73,318 | ||||||
Cimpress plc* (a) | 6,402 | 469,907 | ||||||
Cintas Corp. | 2,134 | 671,250 | ||||||
Clean Harbors, Inc.* | 970 | 51,381 | ||||||
Copart, Inc.* | 5,432 | 599,476 | ||||||
Covanta Holding Corp.(a) | 3,686 | 33,469 | ||||||
Deluxe Corp.(a) | 12,222 | 262,040 | ||||||
Ennis, Inc. | 7,954 | 121,219 |
Investments | Shares | Value | ||||||
Commercial Services & Supplies – (continued) | ||||||||
Harsco Corp.* | 970 | $ | 12,513 | |||||
Herman Miller, Inc. | 17,072 | 520,184 | ||||||
HNI Corp. | 10,476 | 340,994 | ||||||
IAA, Inc.* | 2,328 | 131,741 | ||||||
Interface, Inc. | 23,668 | 145,085 | ||||||
KAR Auction Services, Inc.(a) | 36,860 | 536,682 | ||||||
Kimball International, Inc., Class B | 1,358 | 13,987 | ||||||
Knoll, Inc.(a) | 8,924 | 102,269 | ||||||
Matthews International Corp., Class A | 8,148 | 177,871 | ||||||
McGrath RentCorp | 582 | 33,221 | ||||||
MSA Safety, Inc. | 1,164 | 153,555 | ||||||
Pitney Bowes, Inc.(a) | 50,246 | 266,806 | ||||||
Republic Services, Inc. | 5,626 | 496,044 | ||||||
Rollins, Inc. | 3,492 | 202,012 | ||||||
SP Plus Corp.* | 7,372 | 135,866 | ||||||
Steelcase, Inc., Class A | 6,790 | 70,888 | ||||||
Stericycle, Inc.* | 2,910 | 181,293 | ||||||
Tetra Tech, Inc. | 1,746 | 176,189 | ||||||
UniFirst Corp. | 582 | 95,337 | ||||||
US Ecology, Inc.(a) | 970 | 29,604 | ||||||
Viad Corp.(a) | 3,104 | 62,080 | ||||||
Waste Management, Inc. | 10,282 | 1,109,531 | ||||||
7,958,206 | ||||||||
Communications Equipment – 0.8% | ||||||||
Acacia Communications, Inc.* | 582 | 39,425 | ||||||
Arista Networks, Inc.* (a) | 1,358 | 283,686 | ||||||
Calix, Inc.* | 194 | 4,541 | ||||||
Casa Systems, Inc.* (a) | 1,358 | 5,663 | ||||||
Ciena Corp.* | 4,074 | 160,475 | ||||||
Cisco Systems, Inc. | 155,976 | 5,599,538 | ||||||
CommScope Holding Co., Inc.* (a) | 54,902 | 488,628 | ||||||
Comtech Telecommunications Corp.(a) | 582 | 8,381 | ||||||
EchoStar Corp., Class A* | 12,804 | 296,541 | ||||||
Extreme Networks, Inc.* | 36,084 | 146,501 | ||||||
F5 Networks, Inc.* | 1,552 | 206,323 | ||||||
Harmonic, Inc.* | 3,104 | 18,438 | ||||||
Infinera Corp.* (a) | 7,566 | 47,363 | ||||||
InterDigital, Inc. | 970 | 54,300 |
See Accompanying Notes to the Financial Statements.
144 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® Morningstar US Market Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Communications Equipment – (continued) | ||||||||
Juniper Networks, Inc. | 13,386 | $ | 263,972 | |||||
Lumentum Holdings, Inc.* | 2,522 | 208,544 | ||||||
Motorola Solutions, Inc. | 4,074 | 643,936 | ||||||
NETGEAR, Inc.* (a) | 8,924 | 275,038 | ||||||
NetScout Systems, Inc.* (a) | 2,134 | 43,790 | ||||||
Plantronics, Inc.(a) | 9,700 | 189,344 | ||||||
Ribbon Communications, Inc.* (a) | 30,846 | 132,946 | ||||||
Ubiquiti, Inc.(a) | 388 | 72,017 | ||||||
ViaSat, Inc.* (a) | 1,358 | 46,036 | ||||||
Viavi Solutions, Inc.* (a) | 7,372 | 91,044 | ||||||
9,326,470 | ||||||||
Construction & Engineering – 0.5% | ||||||||
AECOM* | 6,208 | 278,367 | ||||||
Aegion Corp.* | 7,760 | 109,494 | ||||||
Arcosa, Inc. | 1,552 | 71,656 | ||||||
Argan, Inc.(a) | 388 | 15,982 | ||||||
Comfort Systems USA, Inc. | 1,164 | 53,311 | ||||||
Construction Partners, Inc., Class A* (a) | 1,164 | 23,722 | ||||||
Dycom Industries, Inc.* (a) | 1,552 | 100,787 | ||||||
EMCOR Group, Inc. | 1,746 | 119,060 | ||||||
Fluor Corp.(a) | 28,518 | 323,679 | ||||||
Granite Construction, Inc.(a) | 3,880 | 74,923 | ||||||
Great Lakes Dredge & Dock Corp.* (a) | 12,804 | 132,265 | ||||||
Jacobs Engineering Group, Inc. | 5,432 | 516,040 | ||||||
MasTec, Inc.* (a) | 16,296 | 808,933 | ||||||
MYR Group, Inc.* | 3,104 | 132,696 | ||||||
Primoris Services Corp. | 12,804 | 241,611 | ||||||
Quanta Services, Inc. | 38,606 | 2,410,173 | ||||||
Tutor Perini Corp.* (a) | 11,834 | 159,877 | ||||||
Valmont Industries, Inc. | 582 | 82,615 | ||||||
WillScot Mobile Mini Holdings Corp.* (a) | 4,850 | 90,113 | ||||||
5,745,304 | ||||||||
Construction Materials – 0.1% | ||||||||
Eagle Materials, Inc. | 1,358 | 115,770 | ||||||
Forterra, Inc.* | 5,626 | 73,419 |
Investments | Shares | Value | ||||||
Construction Materials – (continued) | ||||||||
Martin Marietta Materials, Inc.(a) | 1,746 | $ | 465,047 | |||||
Summit Materials, Inc., Class A* (a) | 3,686 | 65,205 | ||||||
US Concrete, Inc.* | 5,626 | 191,059 | ||||||
Vulcan Materials Co. | 3,492 | 505,781 | ||||||
1,416,281 | ||||||||
Consumer Finance – 0.8% | ||||||||
Ally Financial, Inc. | 15,132 | 403,722 | ||||||
American Express Co. | 24,444 | 2,230,270 | ||||||
Capital One Financial Corp. | 17,654 | 1,290,154 | ||||||
Credit Acceptance Corp.* (a) | 388 | 115,671 | ||||||
Curo Group Holdings Corp. | 4,074 | 30,514 | ||||||
Discover Financial Services | 11,834 | 769,328 | ||||||
Encore Capital Group, Inc.* (a) | 8,148 | 260,166 | ||||||
Enova International, Inc.* (a) | 7,954 | 122,094 | ||||||
FirstCash, Inc. | 1,358 | 70,670 | ||||||
Green Dot Corp., Class A* | 2,716 | 144,817 | ||||||
LendingClub Corp.* | 12,416 | 57,983 | ||||||
LendingTree, Inc.* (a) | 194 | 62,776 | ||||||
Navient Corp.(a) | 56,260 | 450,643 | ||||||
Nelnet, Inc., Class A | 6,014 | 367,095 | ||||||
OneMain Holdings, Inc. | 22,116 | 771,627 | ||||||
PRA Group, Inc.* (a) | 11,834 | 403,894 | ||||||
Santander Consumer USA Holdings, Inc.(a) | 16,684 | 339,353 | ||||||
SLM Corp. | 108,640 | 998,402 | ||||||
Synchrony Financial | 21,340 | 533,927 | ||||||
World Acceptance Corp.* (a) | 194 | 16,294 | ||||||
9,439,400 | ||||||||
Containers & Packaging – 0.6% | ||||||||
Amcor plc | 54,126 | 564,534 | ||||||
AptarGroup, Inc. | 1,552 | 177,068 | ||||||
Avery Dennison Corp. | 1,940 | 268,477 | ||||||
Ball Corp. | 8,730 | 776,970 | ||||||
Berry Global Group, Inc.* | 5,626 | 262,340 | ||||||
Crown Holdings, Inc.* | 5,432 | 466,066 | ||||||
Graphic Packaging Holding Co. | 8,924 | 118,600 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 145 |
Table of Contents
FlexShares® Morningstar US Market Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Containers & Packaging – (continued) | ||||||||
Greif, Inc., Class A | 6,208 | $ | 251,983 | |||||
International Paper Co. | 13,386 | 585,637 | ||||||
Myers Industries, Inc. | 388 | 5,564 | ||||||
O-I Glass, Inc.(a) | 43,068 | 406,131 | ||||||
Packaging Corp. of America | 3,686 | 422,010 | ||||||
Sealed Air Corp. | 43,456 | 1,720,423 | ||||||
Silgan Holdings, Inc. | 2,328 | 80,200 | ||||||
Sonoco Products Co.(a) | 3,104 | 151,754 | ||||||
Westrock Co. | 10,282 | 386,089 | ||||||
6,643,846 | ||||||||
Distributors – 0.1% | ||||||||
Core-Mark Holding Co., Inc. | 1,552 | 42,447 | ||||||
Genuine Parts Co. | 4,268 | 385,955 | ||||||
LKQ Corp.* | 12,222 | 390,982 | ||||||
Pool Corp. | 970 | 339,335 | ||||||
1,158,719 | ||||||||
Diversified Consumer Services – 0.3% | ||||||||
Adtalem Global Education, Inc.* | 2,910 | 68,210 | ||||||
American Public Education, Inc.* | 388 | 10,969 | ||||||
Bright Horizons Family Solutions, Inc.* (a) | 1,552 | 245,294 | ||||||
Chegg, Inc.* (a) | 3,686 | 270,700 | ||||||
frontdoor, Inc.* (a) | 1,940 | 76,863 | ||||||
Graham Holdings Co., Class B | 1,164 | 442,716 | ||||||
Grand Canyon Education, Inc.* | 1,552 | 121,630 | ||||||
H&R Block, Inc.(a) | 52,574 | 907,427 | ||||||
K12, Inc.* (a) | 1,358 | 32,415 | ||||||
Laureate Education, Inc., Class A* (a) | 26,578 | 345,514 | ||||||
OneSpaWorld Holdings Ltd.(a) | 9,894 | 61,442 | ||||||
Perdoceo Education Corp.* | 2,328 | 26,283 | ||||||
Service Corp. International | 4,850 | 224,603 | ||||||
Strategic Education, Inc. | 776 | 64,455 | ||||||
Terminix Global Holdings, Inc.* | 3,686 | 173,574 |
Investments | Shares | Value | ||||||
Diversified Consumer Services – (continued) | ||||||||
WW International, Inc.* (a) | 1,552 | $ | 32,840 | |||||
3,104,935 | ||||||||
Diversified Financial Services – 1.4% | ||||||||
Berkshire Hathaway, Inc., Class B* | 73,914 | 14,923,237 | ||||||
Cannae Holdings, Inc.* (a) | 2,328 | 86,089 | ||||||
Equitable Holdings, Inc. | 17,654 | 379,385 | ||||||
Jefferies Financial Group, Inc. | 61,886 | 1,207,396 | ||||||
Voya Financial, Inc. | 5,238 | 251,057 | ||||||
16,847,164 | ||||||||
Diversified Telecommunication Services – 1.5% | ||||||||
Anterix, Inc.* (a) | 388 | 12,385 | ||||||
AT&T, Inc. | 263,452 | 7,118,473 | ||||||
ATN International, Inc. | 388 | 17,343 | ||||||
Bandwidth, Inc., Class A* (a) | 388 | 62,218 | ||||||
CenturyLink, Inc.(a) | 36,860 | 317,733 | ||||||
Cincinnati Bell, Inc.* | 11,058 | 166,423 | ||||||
Cogent Communications Holdings, Inc. | 1,358 | 75,776 | ||||||
GCI Liberty, Inc., Class A* | 3,104 | 252,138 | ||||||
Iridium Communications, Inc.* | 3,104 | 81,977 | ||||||
Liberty Latin America Ltd., Class A* | 17,460 | 171,108 | ||||||
Liberty Latin America Ltd., Class C* | 53,794 | 522,878 | ||||||
Verizon Communications, Inc. | 155,200 | 8,844,848 | ||||||
Vonage Holdings Corp.* (a) | 7,566 | 80,048 | ||||||
17,723,348 | ||||||||
Electric Utilities – 1.5% | ||||||||
ALLETE, Inc. | 1,552 | 80,052 | ||||||
Alliant Energy Corp. | 5,238 | 289,557 | ||||||
American Electric Power Co., Inc. | 18,042 | 1,622,517 | ||||||
Avangrid, Inc. | 194 | 9,572 | ||||||
Duke Energy Corp.(a) | 27,160 | 2,501,708 | ||||||
Edison International | 13,386 | 750,151 | ||||||
Entergy Corp. | 5,238 | 530,190 | ||||||
Evergy, Inc. | 6,014 | 331,973 | ||||||
Eversource Energy | 8,536 | 744,937 |
See Accompanying Notes to the Financial Statements.
146 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® Morningstar US Market Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Electric Utilities – (continued) | ||||||||
Exelon Corp. | 34,726 | $ | 1,385,220 | |||||
FirstEnergy Corp. | 12,804 | 380,535 | ||||||
Hawaiian Electric Industries, Inc. | 3,492 | 115,376 | ||||||
IDACORP, Inc. | 1,552 | 136,157 | ||||||
MGE Energy, Inc. | 1,164 | 75,683 | ||||||
NextEra Energy, Inc. | 49,664 | 3,635,901 | ||||||
NRG Energy, Inc. | 9,894 | 312,848 | ||||||
OGE Energy Corp. | 5,820 | 179,081 | ||||||
Otter Tail Corp. | 776 | 29,760 | ||||||
PG&E Corp.* (a) | 55,290 | 528,572 | ||||||
Pinnacle West Capital Corp. | 2,522 | 205,720 | ||||||
PNM Resources, Inc.(a) | 2,522 | 126,100 | ||||||
Portland General Electric Co. | 2,716 | 106,739 | ||||||
PPL Corp. | 26,966 | 741,565 | ||||||
Southern Co. (The) | 37,442 | 2,151,043 | ||||||
Xcel Energy, Inc. | 13,968 | 978,179 | ||||||
17,949,136 | ||||||||
Electrical Equipment – 0.8% | ||||||||
Acuity Brands, Inc.(a) | 11,058 | 985,710 | ||||||
AMETEK, Inc. | 5,238 | 514,372 | ||||||
Atkore International Group, Inc.* | 11,834 | 244,845 | ||||||
AZZ, Inc. | 194 | 6,516 | ||||||
Eaton Corp. plc | 15,520 | 1,610,821 | ||||||
Emerson Electric Co. | 21,728 | 1,407,757 | ||||||
Encore Wire Corp. | 776 | 35,859 | ||||||
EnerSys(a) | 1,358 | 97,233 | ||||||
Generac Holdings, Inc.* | 1,746 | 366,922 | ||||||
GrafTech International Ltd.(a) | 26,966 | 182,021 | ||||||
Hubbell, Inc. | 1,358 | 197,603 | ||||||
nVent Electric plc | 46,172 | 833,405 | ||||||
Plug Power, Inc.* (a) | 10,476 | 146,664 | ||||||
Regal Beloit Corp. | 12,028 | 1,186,562 | ||||||
Rockwell Automation, Inc. | 3,104 | 736,020 | ||||||
Sensata Technologies Holding plc* | 4,656 | 203,514 | ||||||
Sunrun, Inc.* (a) | 2,949 | 153,407 | ||||||
Thermon Group Holdings, Inc.* | 970 | 9,787 |
Investments | Shares | Value | ||||||
Electrical Equipment – (continued) | ||||||||
Vicor Corp.* | 776 | $ | 60,528 | |||||
8,979,546 | ||||||||
Electronic Equipment, Instruments & Components – 1.2% | ||||||||
Amphenol Corp., Class A | 6,984 | 788,075 | ||||||
Arrow Electronics, Inc.* | 22,116 | 1,722,615 | ||||||
Avnet, Inc. | 28,130 | 693,967 | ||||||
Badger Meter, Inc. | 970 | 71,140 | ||||||
Belden, Inc.(a) | 12,416 | 383,406 | ||||||
Benchmark Electronics, Inc.(a) | 1,164 | 24,246 | ||||||
CDW Corp. | 3,492 | 428,119 | ||||||
Cognex Corp. | 4,462 | 294,046 | ||||||
Coherent, Inc.* (a) | 776 | 97,109 | ||||||
Corning, Inc. | 30,264 | 967,540 | ||||||
CTS Corp. | 1,164 | 32,173 | ||||||
Dolby Laboratories, Inc., Class A | 1,358 | 101,959 | ||||||
ePlus, Inc.* | 388 | 26,194 | ||||||
Fabrinet* (a) | 1,164 | 69,863 | ||||||
FARO Technologies, Inc.* (a) | 582 | 35,060 | ||||||
Fitbit, Inc., Class A* | 7,372 | 51,899 | ||||||
Flex Ltd.* | 141,038 | 1,995,688 | ||||||
FLIR Systems, Inc. | 3,492 | 121,137 | ||||||
II-VI, Inc.* (a) | 3,298 | 149,960 | ||||||
Insight Enterprises, Inc.* (a) | 10,476 | 558,895 | ||||||
IPG Photonics Corp.* | 970 | 180,381 | ||||||
Itron, Inc.* (a) | 1,164 | 79,094 | ||||||
Jabil, Inc. | 40,740 | 1,350,124 | ||||||
Keysight Technologies, Inc.* | 4,850 | 508,620 | ||||||
Kimball Electronics, Inc.* | 7,178 | 86,997 | ||||||
Knowles Corp.* | 2,910 | 41,468 | ||||||
Littelfuse, Inc. | 776 | 153,601 | ||||||
Methode Electronics, Inc. | 11,058 | 340,255 | ||||||
MTS Systems Corp.(a) | 8,148 | 197,833 | ||||||
National Instruments Corp. | 3,104 | 97,093 | ||||||
nLight, Inc.* (a) | 388 | 8,241 | ||||||
Novanta, Inc.* | 1,164 | 126,550 | ||||||
OSI Systems, Inc.* | 582 | 44,907 | ||||||
PC Connection, Inc.(a) | 388 | 17,673 | ||||||
Plexus Corp.* | 970 | 67,454 | ||||||
Rogers Corp.* | 582 | 70,550 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 147 |
Table of Contents
FlexShares® Morningstar US Market Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Electronic Equipment, Instruments & Components – (continued) | ||||||||
Sanmina Corp.* | 17,848 | $ | 436,205 | |||||
ScanSource, Inc.* | 5,044 | 101,384 | ||||||
SYNNEX Corp. | 1,552 | 204,305 | ||||||
TE Connectivity Ltd. | 8,924 | 864,557 | ||||||
Trimble, Inc.* | 6,790 | 326,803 | ||||||
TTM Technologies, Inc.* (a) | 24,056 | 285,545 | ||||||
Vishay Intertechnology, Inc. | 6,984 | 113,280 | ||||||
Zebra Technologies Corp., Class A* | 1,358 | 385,183 | ||||||
14,701,194 | ||||||||
Energy Equipment & Services – 0.3% | ||||||||
Archrock, Inc.(a) | 28,130 | 166,811 | ||||||
Baker Hughes Co.(a) | 27,936 | 412,615 | ||||||
Cactus, Inc., Class A | 1,940 | 32,980 | ||||||
ChampionX Corp.* (a) | 54,708 | 477,601 | ||||||
Core Laboratories NV | 2,522 | 36,443 | ||||||
Frank’s International NV* | 54,514 | 95,399 | ||||||
Halliburton Co. | 30,264 | 364,984 | ||||||
Helix Energy Solutions Group, Inc.* (a) | 17,848 | 44,263 | ||||||
Helmerich & Payne, Inc. | 28,518 | 424,063 | ||||||
Liberty Oilfield Services, Inc., Class A(a) | 15,714 | 104,969 | ||||||
Nabors Industries Ltd. | – | (c) | 7 | |||||
National Oilwell Varco, Inc. | 6,208 | 52,147 | ||||||
NexTier Oilfield Solutions, Inc.* | 65,766 | 124,298 | ||||||
Oceaneering International, Inc.* (a) | 35,696 | 145,640 | ||||||
Patterson-UTI Energy, Inc.(a) | 41,516 | 106,281 | ||||||
ProPetro Holding Corp.* | 13,774 | 54,407 | ||||||
RPC, Inc.* (a) | 31,622 | 75,260 | ||||||
Schlumberger NV | 54,514 | 814,439 | ||||||
SEACOR Holdings, Inc.* (a) | 582 | 17,827 | ||||||
Select Energy Services, Inc., Class A* (a) | 18,430 | 55,659 | ||||||
Transocean Ltd.* (a) | 140,844 | 94,436 | ||||||
3,700,529 | ||||||||
Entertainment – 1.3% | ||||||||
Activision Blizzard, Inc. | 20,176 | 1,527,928 |
Investments | Shares | Value | ||||||
Entertainment – (continued) | ||||||||
Cinemark Holdings, Inc.(a) | 6,402 | $ | 52,432 | |||||
Electronic Arts, Inc.* | 7,566 | 906,634 | ||||||
Glu Mobile, Inc.* | 3,880 | 27,781 | ||||||
IMAX Corp.* | 2,328 | 26,842 | ||||||
Liberty Media Corp-Liberty Formula One, Class A* | 2,716 | 90,443 | ||||||
Liberty Media Corp-Liberty Formula One, Class C* | 2,910 | 105,138 | ||||||
Lions Gate Entertainment Corp., Class A* | 17,848 | 119,582 | ||||||
Lions Gate Entertainment Corp., Class B* | 36,666 | 229,896 | ||||||
Live Nation Entertainment, Inc.* | 3,686 | 179,877 | ||||||
Madison Square Garden Sports Corp., Class A* | 194 | 27,478 | ||||||
Marcus Corp. (The)(a) | 5,044 | 36,972 | ||||||
Netflix, Inc.* | 11,058 | 5,260,733 | ||||||
Roku, Inc.* | 2,522 | 510,453 | ||||||
Take-Two Interactive Software, Inc.* | 3,104 | 480,872 | ||||||
Walt Disney Co. (The) | 45,978 | 5,574,832 | ||||||
World Wrestling Entertainment, Inc., Class A(a) | 1,552 | 56,431 | ||||||
Zynga, Inc., Class A* (a) | 25,414 | 228,472 | ||||||
15,442,796 | ||||||||
Equity Real Estate Investment Trusts (REITs) – 2.8% | ||||||||
Acadia Realty Trust | 5,432 | 50,681 | ||||||
Agree Realty Corp. | 1,358 | 84,291 | ||||||
Alexander & Baldwin, Inc. | 6,014 | 77,280 | ||||||
Alexander’s, Inc. | 194 | 47,179 | ||||||
Alexandria Real Estate Equities, Inc. | 3,298 | 499,713 | ||||||
American Assets Trust, Inc. | 582 | 12,181 | ||||||
American Campus Communities, Inc. | 2,134 | 79,940 | ||||||
American Finance Trust, Inc. | 12,222 | 70,460 | ||||||
American Homes 4 Rent, Class A | 6,790 | 191,953 | ||||||
American Tower Corp. | 11,252 | 2,584,022 | ||||||
Americold Realty Trust(a) | 5,044 | 182,744 |
See Accompanying Notes to the Financial Statements.
148 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® Morningstar US Market Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Equity Real Estate Investment Trusts (REITs) – (continued) | ||||||||
Apartment Investment and Management Co., Class A | 2,522 | $ | 80,452 | |||||
Apple Hospitality REIT, Inc. | 9,894 | 97,951 | ||||||
Armada Hoffler Properties, Inc.(a) | 1,940 | 17,479 | ||||||
AvalonBay Communities, Inc. | 2,910 | 404,868 | ||||||
Boston Properties, Inc. | 3,104 | 224,761 | ||||||
Brixmor Property Group, Inc. | 10,282 | 112,691 | ||||||
Brookfield Property REIT, Inc., Class A(a) | 19,400 | 286,150 | ||||||
Camden Property Trust | 2,522 | 232,629 | ||||||
CareTrust REIT, Inc. | 3,104 | 53,078 | ||||||
CatchMark Timber Trust, Inc., Class A | 2,134 | 18,544 | ||||||
Chatham Lodging Trust(a) | 8,924 | 65,591 | ||||||
City Office REIT, Inc. | 6,402 | 40,461 | ||||||
Colony Capital, Inc.(a) | 125,712 | 447,535 | ||||||
Columbia Property Trust, Inc.(a) | 6,014 | 63,628 | ||||||
Community Healthcare Trust, Inc.(a) | 776 | 35,929 | ||||||
CoreCivic, Inc.(a) | 29,294 | 187,775 | ||||||
CoreSite Realty Corp. | 1,164 | 138,935 | ||||||
Corporate Office Properties Trust | 3,492 | 78,326 | ||||||
Cousins Properties, Inc.(a) | 2,910 | 74,147 | ||||||
Crown Castle International Corp. | 10,670 | 1,666,654 | ||||||
CubeSmart | 5,238 | 177,725 | ||||||
CyrusOne, Inc. | 2,910 | 206,755 | ||||||
DiamondRock Hospitality Co. | 66,736 | 329,676 | ||||||
Digital Realty Trust, Inc. | 6,984 | 1,007,791 | ||||||
Diversified Healthcare Trust | 19,012 | 55,040 | ||||||
Douglas Emmett, Inc. | 194 | 4,578 | ||||||
Duke Realty Corp. | 9,700 | 368,503 | ||||||
EastGroup Properties, Inc.(a) | 970 | 129,088 | ||||||
Empire State Realty Trust, Inc., Class A(a) | 11,640 | 62,623 | ||||||
EPR Properties(a) | 19,788 | 471,746 | ||||||
Equinix, Inc. | 2,134 | 1,560,466 | ||||||
Equity Commonwealth | 32,592 | 861,081 | ||||||
Equity LifeStyle Properties, Inc. | 4,850 | 287,071 |
Investments | Shares | Value | ||||||
Equity Real Estate Investment Trusts (REITs) – (continued) | ||||||||
Equity Residential | 6,596 | $ | 309,880 | |||||
Essential Properties Realty Trust, Inc. | 2,910 | 48,073 | ||||||
Essex Property Trust, Inc. | 1,164 | 238,143 | ||||||
Extra Space Storage, Inc. | 3,492 | 404,897 | ||||||
Federal Realty Investment Trust(a) | 1,746 | 120,090 | ||||||
First Industrial Realty Trust, Inc. | 4,074 | 162,186 | ||||||
Four Corners Property Trust, Inc. | 2,328 | 58,991 | ||||||
Front Yard Residential Corp. | 1,746 | 23,379 | ||||||
Gaming and Leisure Properties, Inc. | 7,650 | 278,077 | ||||||
GEO Group, Inc. (The)(a) | 35,696 | 316,267 | ||||||
Getty Realty Corp. | 776 | 20,393 | ||||||
Healthcare Realty Trust, Inc.(a) | 4,074 | 113,257 | ||||||
Healthcare Trust of America, Inc., Class A(a) | 5,432 | 131,998 | ||||||
Healthpeak Properties, Inc. | 13,192 | 355,788 | ||||||
Highwoods Properties, Inc. | 1,940 | 57,754 | ||||||
Host Hotels & Resorts, Inc. | 27,548 | 288,703 | ||||||
Hudson Pacific Properties, Inc. | 4,074 | 78,465 | ||||||
Independence Realty Trust, Inc. | 3,104 | 37,714 | ||||||
Industrial Logistics Properties Trust | 2,134 | 40,930 | ||||||
Innovative Industrial Properties, Inc. | 582 | 67,879 | ||||||
Investors Real Estate Trust | 388 | 26,155 | ||||||
Invitation Homes, Inc. | 14,356 | 391,345 | ||||||
Iron Mountain, Inc.(a) | 7,566 | 197,170 | ||||||
iStar, Inc.(a) | 6,208 | 73,254 | ||||||
JBG SMITH Properties | 1,358 | 31,709 | ||||||
Kilroy Realty Corp. | 1,164 | 54,801 | ||||||
Kimco Realty Corp. | 13,192 | 135,350 | ||||||
Kite Realty Group Trust | 3,492 | 36,177 | ||||||
Lamar Advertising Co., Class A | 2,328 | 144,243 | ||||||
Lexington Realty Trust | 7,760 | 77,057 | ||||||
Life Storage, Inc. | 1,552 | 177,161 | ||||||
LTC Properties, Inc. | 1,358 | 44,828 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 149 |
Table of Contents
FlexShares® Morningstar US Market Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Equity Real Estate Investment Trusts (REITs) – (continued) | ||||||||
Macerich Co. (The)(a) | 8,924 | $ | 62,111 | |||||
Mack-Cali Realty Corp.(a) | 5,626 | 61,830 | ||||||
Medical Properties Trust, Inc. | 13,774 | 245,453 | ||||||
Mid-America Apartment Communities, Inc. | 3,104 | 362,019 | ||||||
Monmouth Real Estate Investment Corp. | 3,492 | 48,364 | ||||||
National Health Investors, Inc. | 1,358 | 76,116 | ||||||
National Retail Properties, Inc.(a) | 3,880 | 124,199 | ||||||
National Storage Affiliates Trust(a) | 1,940 | 65,747 | ||||||
NexPoint Residential Trust, Inc. | – | (c) | 13 | |||||
Office Properties Income Trust(a) | 13,968 | 257,151 | ||||||
Omega Healthcare Investors, Inc. | 5,820 | 167,674 | ||||||
Outfront Media, Inc. | 5,238 | 68,670 | ||||||
Paramount Group, Inc.(a) | 9,700 | 56,066 | ||||||
Park Hotels & Resorts, Inc.(a) | 73,138 | 726,260 | ||||||
Pebblebrook Hotel Trust(a) | 41,710 | 499,686 | ||||||
Physicians Realty Trust | 6,014 | 101,396 | ||||||
PotlatchDeltic Corp. | 2,134 | 88,668 | ||||||
Preferred Apartment Communities, Inc., Class A(a) | 18,624 | 100,570 | ||||||
Prologis, Inc. | 19,206 | 1,905,235 | ||||||
PS Business Parks, Inc. | 582 | 66,365 | ||||||
Public Storage | 3,686 | 844,352 | ||||||
QTS Realty Trust, Inc., Class A | 1,746 | 107,396 | ||||||
Rayonier, Inc. | 1,358 | 34,466 | ||||||
Realty Income Corp. | 8,730 | 505,118 | ||||||
Regency Centers Corp. | 3,880 | 138,089 | ||||||
Retail Opportunity Investments Corp. | 4,656 | 45,303 | ||||||
Retail Properties of America, Inc., Class A(a) | 13,580 | 71,159 | ||||||
Rexford Industrial Realty, Inc.(a) | 1,940 | 90,132 | ||||||
RLJ Lodging Trust(a) | 9,506 | 77,759 |
Investments | Shares | Value | ||||||
Equity Real Estate Investment Trusts (REITs) – (continued) | ||||||||
RPT Realty | 9,700 | $ | 47,433 | |||||
Ryman Hospitality Properties, Inc. | 17,072 | 680,319 | ||||||
Sabra Health Care REIT, Inc. | 7,178 | 94,462 | ||||||
Safehold, Inc.(a) | 388 | 26,702 | ||||||
Saul Centers, Inc.(a) | 1,358 | 33,610 | ||||||
SBA Communications Corp. | 2,910 | 844,977 | ||||||
Seritage Growth Properties, Class A* (a) | 1,940 | 24,696 | ||||||
Service Properties Trust | 41,516 | 299,330 | ||||||
Simon Property Group, Inc.(a) | 10,864 | 682,368 | ||||||
SITE Centers Corp.(a) | 10,864 | 73,984 | ||||||
SL Green Realty Corp.(a) | 2,522 | 107,967 | ||||||
Spirit Realty Capital, Inc.(a) | 3,104 | 93,275 | ||||||
STAG Industrial, Inc. | 4,656 | 144,895 | ||||||
STORE Capital Corp. | 5,626 | 144,588 | ||||||
Summit Hotel Properties, Inc. | 10,864 | 57,362 | ||||||
Sun Communities, Inc. | 2,522 | 347,103 | ||||||
Sunstone Hotel Investors, Inc. | 9,700 | 71,974 | ||||||
Tanger Factory Outlet Centers, Inc.(a) | 9,506 | 58,842 | ||||||
Taubman Centers, Inc. | 1,552 | 51,868 | ||||||
Terreno Realty Corp.(a) | 2,134 | 120,102 | ||||||
UDR, Inc. | 6,208 | 193,938 | ||||||
Uniti Group, Inc.(a) | 6,208 | 54,755 | ||||||
Universal Health Realty Income Trust | 388 | 20,746 | ||||||
Urban Edge Properties | 5,044 | 47,414 | ||||||
Urstadt Biddle Properties, Inc., Class A(a) | 9,700 | 92,247 | ||||||
Ventas, Inc. | 9,894 | 390,516 | ||||||
VEREIT, Inc. | 27,354 | 169,595 | ||||||
VICI Properties, Inc. | 16,878 | 387,350 | ||||||
Vornado Realty Trust(a) | 5,238 | 160,964 | ||||||
Weingarten Realty Investors | 4,462 | 70,767 | ||||||
Welltower, Inc. | 10,476 | 563,295 | ||||||
Weyerhaeuser Co. | 16,490 | 450,012 | ||||||
WP Carey, Inc. | 4,656 | 291,512 | ||||||
Xenia Hotels & Resorts, Inc. | 37,830 | 311,719 | ||||||
32,480,339 |
See Accompanying Notes to the Financial Statements.
150 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® Morningstar US Market Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Food & Staples Retailing – 1.4% | ||||||||
Andersons, Inc. (The) | 8,730 | $ | 189,354 | |||||
BJ’s Wholesale Club Holdings, Inc.* (a) | 38,412 | 1,470,795 | ||||||
Casey’s General Stores, Inc. | 970 | 163,513 | ||||||
Costco Wholesale Corp. | 11,252 | 4,023,940 | ||||||
Grocery Outlet Holding Corp.* | 1,552 | 68,319 | ||||||
HF Foods Group, Inc.* (a) | 11,252 | 74,151 | ||||||
Ingles Markets, Inc., Class A(a) | 2,328 | 83,482 | ||||||
Kroger Co. (The) | 31,234 | 1,006,047 | ||||||
Performance Food Group Co.* | 3,298 | 110,846 | ||||||
PriceSmart, Inc.(a) | 582 | 40,158 | ||||||
Rite Aid Corp.* (a) | 1,746 | 15,958 | ||||||
SpartanNash Co. | 10,670 | 196,435 | ||||||
Sprouts Farmers Market, Inc.* (a) | 3,686 | 70,218 | ||||||
Sysco Corp. | 18,236 | 1,008,633 | ||||||
United Natural Foods, Inc.* (a) | 15,714 | 228,953 | ||||||
US Foods Holding Corp.* | 63,632 | 1,329,909 | ||||||
Walgreens Boots Alliance, Inc. | 24,638 | 838,678 | ||||||
Walmart, Inc. | 35,696 | 4,952,820 | ||||||
Weis Markets, Inc.(a) | 582 | 26,429 | ||||||
15,898,638 | ||||||||
Food Products – 1.0% | ||||||||
Archer-Daniels-Midland Co. | 19,594 | 906,027 | ||||||
B&G Foods, Inc.(a) | 18,818 | 499,806 | ||||||
Beyond Meat, Inc.* | 1,164 | 165,789 | ||||||
Bunge Ltd. | 4,074 | 231,118 | ||||||
Calavo Growers, Inc.(a) | 582 | 39,070 | ||||||
Cal-Maine Foods, Inc.* | 970 | 37,199 | ||||||
Campbell Soup Co. | 4,462 | 208,242 | ||||||
Conagra Brands, Inc. | 19,400 | 680,746 | ||||||
Darling Ingredients, Inc.* | 5,238 | 225,234 | ||||||
Flowers Foods, Inc. | 6,014 | 141,810 | ||||||
Freshpet, Inc.* | 1,164 | 133,278 | ||||||
General Mills, Inc. | 23,668 | 1,399,252 | ||||||
Hain Celestial Group, Inc. (The)* (a) | 2,522 | 77,551 |
Investments | Shares | Value | ||||||
Food Products – (continued) | ||||||||
Hershey Co. (The) | 3,880 | $ | 533,345 | |||||
Hormel Foods Corp.(a) | 7,372 | 358,943 | ||||||
Hostess Brands, Inc.* (a) | 4,074 | 51,495 | ||||||
Ingredion, Inc. | 18,042 | 1,278,997 | ||||||
J & J Snack Foods Corp.(a) | 388 | 52,601 | ||||||
J M Smucker Co. (The)(a) | 3,880 | 435,336 | ||||||
John B Sanfilippo & Son, Inc. | 388 | 28,231 | ||||||
Kellogg Co. | 6,984 | 439,224 | ||||||
Kraft Heinz Co. (The) | 21,922 | 670,594 | ||||||
Lamb Weston Holdings, Inc. | 2,910 | 184,639 | ||||||
Lancaster Colony Corp. | 582 | 96,693 | ||||||
McCormick & Co., Inc. (Non-Voting) | 3,298 | 595,322 | ||||||
Mondelez International, Inc., Class A | 36,860 | 1,958,003 | ||||||
Pilgrim’s Pride Corp.* | 2,134 | 35,723 | ||||||
Post Holdings, Inc.* | 1,746 | 149,981 | ||||||
Sanderson Farms, Inc.(a) | 582 | 74,479 | ||||||
Seneca Foods Corp., Class A* (a) | 582 | 21,447 | ||||||
Simply Good Foods Co. (The)* (a) | 2,716 | 51,061 | ||||||
Tootsie Roll Industries, Inc. | – | (c) | 10 | |||||
TreeHouse Foods, Inc.* (a) | 388 | 15,070 | ||||||
Tyson Foods, Inc., Class A | 10,282 | 588,439 | ||||||
12,364,755 | ||||||||
Gas Utilities – 0.2% | ||||||||
Atmos Energy Corp. | 1,940 | 177,840 | ||||||
Chesapeake Utilities Corp.(a) | 582 | 56,576 | ||||||
National Fuel Gas Co.(a) | 25,026 | 1,000,039 | ||||||
New Jersey Resources Corp.(a) | 3,104 | 90,575 | ||||||
ONE Gas, Inc. | 1,746 | 120,544 | ||||||
South Jersey Industries, Inc.(a) | 388 | 7,477 | ||||||
Southwest Gas Holdings, Inc. | 1,746 | 114,747 | ||||||
Spire, Inc. | 1,552 | 86,974 | ||||||
UGI Corp. | 7,954 | 257,232 | ||||||
1,912,004 | ||||||||
Health Care Equipment & Supplies – 2.7% | ||||||||
Abbott Laboratories | 45,202 | 4,751,182 | ||||||
ABIOMED, Inc.* | 1,164 | 293,188 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 151 |
Table of Contents
FlexShares® Morningstar US Market Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Health Care Equipment & Supplies – (continued) | ||||||||
Accelerate Diagnostics, Inc.* (a) | 1,358 | $ | 12,792 | |||||
Align Technology, Inc.* | 1,940 | 826,595 | ||||||
AngioDynamics, Inc.* | 776 | 8,024 | ||||||
Antares Pharma, Inc.* (a) | 970 | 2,648 | ||||||
AtriCure, Inc.* | 1,358 | 46,932 | ||||||
Avanos Medical, Inc.* (a) | 1,552 | 54,863 | ||||||
Baxter International, Inc. | 13,386 | 1,038,352 | ||||||
Becton Dickinson and Co. | 6,790 | 1,569,373 | ||||||
Boston Scientific Corp.* | 33,174 | 1,136,873 | ||||||
Cantel Medical Corp.(a) | 1,164 | 55,686 | ||||||
Cardiovascular Systems, Inc.* | 970 | 34,581 | ||||||
Cerus Corp.* (a) | 1,552 | 8,148 | ||||||
CONMED Corp.(a) | 970 | 75,631 | ||||||
Cooper Cos., Inc. (The) | 1,358 | 433,270 | ||||||
CryoLife, Inc.* (a) | 1,358 | 22,760 | ||||||
CryoPort, Inc.* (a) | 1,164 | 46,723 | ||||||
Danaher Corp. | 16,102 | 3,696,053 | ||||||
Dentsply Sirona, Inc. | 6,014 | 283,801 | ||||||
DexCom, Inc.* | 2,328 | 743,982 | ||||||
Edwards Lifesciences Corp.* | 16,296 | 1,168,260 | ||||||
Envista Holdings Corp.* (a) | 5,044 | 133,262 | ||||||
Establishment Labs Holdings, Inc.* | 388 | 9,712 | ||||||
Glaukos Corp.* (a) | 776 | 43,394 | ||||||
Globus Medical, Inc., Class A* | 2,522 | 131,447 | ||||||
Haemonetics Corp.* | 776 | 78,446 | ||||||
Heska Corp.* (a) | 194 | 22,762 | ||||||
Hill-Rom Holdings, Inc. | 1,746 | 159,008 | ||||||
Hologic, Inc.* | 7,178 | 493,990 | ||||||
ICU Medical, Inc.* | 582 | 103,474 | ||||||
IDEXX Laboratories, Inc.* | 2,134 | 906,566 | ||||||
Insulet Corp.* (a) | 1,746 | 388,048 | ||||||
Integer Holdings Corp.* | 970 | 56,697 | ||||||
Integra LifeSciences Holdings Corp.* (a) | 2,328 | 102,665 | ||||||
Intuitive Surgical, Inc.* | 2,910 | 1,941,203 | ||||||
iRhythm Technologies, Inc.* (a) | 970 | 205,106 | ||||||
Lantheus Holdings, Inc.* (a) | 1,552 | 16,855 |
Investments | Shares | Value | ||||||
Health Care Equipment & Supplies – (continued) | ||||||||
LeMaitre Vascular, Inc.(a) | 388 | $ | 12,602 | |||||
LivaNova plc* | 1,164 | 58,596 | ||||||
Masimo Corp.* | 1,358 | 303,948 | ||||||
Medtronic plc | 33,368 | 3,355,820 | ||||||
Merit Medical Systems, Inc.* (a) | 1,746 | 87,387 | ||||||
Natus Medical, Inc.* (a) | 1,358 | 24,729 | ||||||
Neogen Corp.* | 1,746 | 121,766 | ||||||
Nevro Corp.* | 970 | 144,734 | ||||||
Novocure Ltd.* | 2,134 | 260,561 | ||||||
NuVasive, Inc.* (a) | 1,746 | 77,575 | ||||||
OraSure Technologies, Inc.* | 582 | 8,695 | ||||||
Orthofix Medical, Inc.* | 776 | 24,258 | ||||||
Penumbra, Inc.* (a) | 970 | 253,199 | ||||||
Quidel Corp.* (a) | 1,164 | 312,290 | ||||||
ResMed, Inc. | 3,880 | 744,727 | ||||||
STAAR Surgical Co.* (a) | 970 | 70,325 | ||||||
STERIS plc | 2,328 | 412,498 | ||||||
Stryker Corp. | 8,342 | 1,685,167 | ||||||
Surmodics, Inc.* | 388 | 14,259 | ||||||
Tactile Systems Technology, Inc.* (a) | 388 | 14,193 | ||||||
Tandem Diabetes Care, Inc.* | 1,940 | 211,460 | ||||||
Teleflex, Inc. | 1,164 | 370,420 | ||||||
Varian Medical Systems, Inc.* | 1,940 | 335,232 | ||||||
West Pharmaceutical Services, Inc. | 1,940 | 527,816 | ||||||
Wright Medical Group NV* | 4,074 | 124,624 | ||||||
Zimmer Biomet Holdings, Inc. | 5,432 | 717,567 | ||||||
31,376,800 | ||||||||
Health Care Providers & Services – 2.8% | ||||||||
1Life Healthcare, Inc.* (a) | 1,552 | 43,782 | ||||||
Acadia Healthcare Co., Inc.* (a) | 25,414 | 906,009 | ||||||
Addus HomeCare Corp.* (a) | 388 | 37,857 | ||||||
Amedisys, Inc.* | 970 | 251,230 | ||||||
AmerisourceBergen Corp. | 6,014 | 577,765 | ||||||
AMN Healthcare Services, Inc.* | 1,552 | 101,315 | ||||||
Anthem, Inc. | 9,118 | 2,487,390 | ||||||
BioTelemetry, Inc.* (a) | 1,164 | 49,563 |
See Accompanying Notes to the Financial Statements.
152 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® Morningstar US Market Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Health Care Providers & Services – (continued) | ||||||||
Brookdale Senior Living, Inc.* (a) | 70,810 | $ | 208,181 | |||||
Cardinal Health, Inc. | 10,670 | 488,579 | ||||||
Centene Corp.* | 22,698 | 1,341,452 | ||||||
Chemed Corp. | 388 | 185,588 | ||||||
Cigna Corp. | 13,192 | 2,202,668 | ||||||
Community Health Systems, Inc.* (a) | 29,100 | 181,584 | ||||||
CorVel Corp.* (a) | 194 | 17,697 | ||||||
Covetrus, Inc.* (a) | 3,298 | 81,428 | ||||||
CVS Health Corp. | 47,918 | 2,687,721 | ||||||
DaVita, Inc.* (a) | 3,492 | 301,185 | ||||||
Encompass Health Corp. | 2,716 | 166,518 | ||||||
Ensign Group, Inc. (The)(a) | 1,552 | 91,320 | ||||||
Guardant Health, Inc.* | 1,746 | 186,228 | ||||||
HCA Healthcare, Inc. | 10,088 | 1,250,307 | ||||||
HealthEquity, Inc.* (a) | 1,164 | 59,934 | ||||||
Henry Schein, Inc.* | 4,656 | 296,029 | ||||||
Humana, Inc. | 4,850 | 1,936,508 | ||||||
Laboratory Corp. of America Holdings* | 3,880 | 775,108 | ||||||
LHC Group, Inc.* | 970 | 210,054 | ||||||
Magellan Health, Inc.* | 1,358 | 98,143 | ||||||
McKesson Corp. | 6,402 | 944,231 | ||||||
MEDNAX, Inc.* (a) | 25,220 | 321,555 | ||||||
Molina Healthcare, Inc.* | 2,522 | 470,277 | ||||||
National Research Corp. | 388 | 20,098 | ||||||
Option Care Health, Inc.* (a) | 4,656 | 62,065 | ||||||
Owens & Minor, Inc.(a) | 18,624 | 467,835 | ||||||
Patterson Cos., Inc.(a) | 23,862 | 593,567 | ||||||
Premier, Inc., Class A | 3,298 | 107,944 | ||||||
Providence Service Corp. (The)* | 388 | 45,609 | ||||||
Quest Diagnostics, Inc. | 3,686 | 450,208 | ||||||
R1 RCM, Inc.* | 3,686 | 66,053 | ||||||
RadNet, Inc.* | 1,358 | 19,705 | ||||||
Select Medical Holdings Corp.* | 3,492 | 73,262 | ||||||
Surgery Partners, Inc.* (a) | 6,014 | 131,225 | ||||||
Tenet Healthcare Corp.* | 30,070 | 737,918 | ||||||
Tivity Health, Inc.* | 11,252 | 154,715 |
Investments | Shares | Value | ||||||
Health Care Providers & Services – (continued) | ||||||||
Triple-S Management Corp., Class B* (a) | 5,820 | $ | 107,786 | |||||
UnitedHealth Group, Inc. | 35,696 | 10,892,277 | ||||||
Universal Health Services, Inc., Class B | 2,522 | 276,285 | ||||||
US Physical Therapy, Inc. | 388 | 30,780 | ||||||
33,194,538 | ||||||||
Health Care Technology – 0.4% | ||||||||
Allscripts Healthcare Solutions, Inc.* (a) | 45,008 | 453,681 | ||||||
Cerner Corp. | 8,342 | 584,691 | ||||||
Change Healthcare, Inc.* | 64,020 | 905,883 | ||||||
Computer Programs and Systems, Inc. | 3,880 | 108,213 | ||||||
Evolent Health, Inc., Class A* (a) | 21,146 | 210,191 | ||||||
HealthStream, Inc.* | 388 | 7,100 | ||||||
HMS Holdings Corp.* (a) | 2,910 | 77,464 | ||||||
Inovalon Holdings, Inc., Class A* (a) | 2,716 | 51,577 | ||||||
Inspire Medical Systems, Inc.* (a) | 388 | 46,339 | ||||||
Livongo Health, Inc.* (d) | 1,358 | 189,808 | ||||||
Omnicell, Inc.* (a) | 1,358 | 117,535 | ||||||
Teladoc Health, Inc.* (a) | 2,134 | 419,246 | ||||||
Veeva Systems, Inc., Class A* | 3,492 | 943,014 | ||||||
Vocera Communications, Inc.* (a) | 970 | 31,797 | ||||||
4,146,539 | ||||||||
Hotels, Restaurants & Leisure – 2.3% | ||||||||
Aramark | 6,790 | 188,355 | ||||||
BJ’s Restaurants, Inc.(a) | 2,910 | 82,091 | ||||||
Bloomin’ Brands, Inc.(a) | 23,280 | 325,454 | ||||||
Boyd Gaming Corp. | 20,758 | 658,444 | ||||||
Brinker International, Inc.(a) | 12,998 | 565,933 | ||||||
Caesars Entertainment, Inc.* | 57,424 | 2,573,744 | ||||||
Carnival Corp.(a) | 18,236 | 250,016 | ||||||
Cheesecake Factory, Inc. (The)(a) | 12,222 | 363,238 | ||||||
Chipotle Mexican Grill, Inc.* | 776 | 932,348 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 153 |
Table of Contents
FlexShares® Morningstar US Market Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Hotels, Restaurants & Leisure – (continued) | ||||||||
Choice Hotels International, Inc.(a) | 970 | $ | 84,729 | |||||
Churchill Downs, Inc. | 1,164 | 173,611 | ||||||
Cracker Barrel Old Country Store, Inc.(a) | 6,790 | 772,838 | ||||||
Darden Restaurants, Inc. | 3,104 | 285,320 | ||||||
Dave & Buster’s Entertainment, Inc. | 17,072 | 292,956 | ||||||
Denny’s Corp.* (a) | 1,940 | 17,382 | ||||||
Dine Brands Global, Inc.(a) | 4,268 | 219,589 | ||||||
Domino’s Pizza, Inc. | 970 | 366,970 | ||||||
Dunkin’ Brands Group, Inc. | 1,746 | 174,094 | ||||||
Everi Holdings, Inc.* (a) | 11,058 | 95,209 | ||||||
Extended Stay America, Inc. | 9,312 | 105,691 | ||||||
Hilton Grand Vacations, Inc.* | 23,862 | 491,557 | ||||||
Hilton Worldwide Holdings, Inc. | 7,566 | 664,370 | ||||||
Hyatt Hotels Corp., Class A(a) | 1,164 | 64,183 | ||||||
Jack in the Box, Inc. | 582 | 46,595 | ||||||
Las Vegas Sands Corp. | 7,372 | 354,298 | ||||||
Marriott International, Inc., Class A | 6,208 | 576,599 | ||||||
Marriott Vacations Worldwide Corp. | 11,640 | 1,124,424 | ||||||
McDonald’s Corp. | 19,012 | 4,049,556 | ||||||
MGM Resorts International(a) | 14,550 | 299,294 | ||||||
Norwegian Cruise Line Holdings Ltd.* (a) | 81,286 | 1,351,786 | ||||||
Papa John’s International, Inc.(a) | 776 | 59,442 | ||||||
Penn National Gaming, Inc.* (a) | 41,516 | 2,241,034 | ||||||
Planet Fitness, Inc., Class A* (a) | 2,134 | 126,482 | ||||||
Red Rock Resorts, Inc., Class A(a) | 2,328 | 44,511 | ||||||
Royal Caribbean Cruises Ltd.(a) | 6,014 | 339,310 | ||||||
Ruth’s Hospitality Group, Inc.(a) | 15,132 | 169,176 |
Investments | Shares | Value | ||||||
Hotels, Restaurants & Leisure – (continued) | ||||||||
Scientific Games Corp.* (a) | 15,908 | $ | 507,147 | |||||
SeaWorld Entertainment, Inc.* (a) | 3,880 | 85,438 | ||||||
Shake Shack, Inc., Class A* (a) | 970 | 65,494 | ||||||
Six Flags Entertainment Corp.(a) | 25,026 | 541,062 | ||||||
Starbucks Corp. | 30,070 | 2,614,887 | ||||||
Texas Roadhouse, Inc. | 2,134 | 149,444 | ||||||
Vail Resorts, Inc. | 1,164 | 270,095 | ||||||
Wendy’s Co. (The) | 5,820 | 127,167 | ||||||
Wingstop, Inc.(a) | 970 | 112,840 | ||||||
Wyndham Destinations, Inc. | 25,026 | 816,598 | ||||||
Wyndham Hotels & Resorts, Inc. | 1,940 | 90,229 | ||||||
Wynn Resorts Ltd.(a) | 2,328 | 168,617 | ||||||
Yum! Brands, Inc. | 7,178 | 669,923 | ||||||
26,749,570 | ||||||||
Household Durables – 1.0% | ||||||||
Cavco Industries, Inc.* (a) | 194 | 33,395 | ||||||
Century Communities, Inc.* | 8,342 | 324,003 | ||||||
DR Horton, Inc. | 13,386 | 894,319 | ||||||
Ethan Allen Interiors, Inc. | 7,178 | 115,207 | ||||||
Garmin Ltd. | 3,880 | 403,598 | ||||||
GoPro, Inc., Class A* (a) | 3,104 | 18,438 | ||||||
Green Brick Partners, Inc.* | 8,148 | 145,768 | ||||||
Helen of Troy Ltd.* (a) | 776 | 147,130 | ||||||
Installed Building Products, Inc.* | 776 | 70,259 | ||||||
iRobot Corp.* (a) | 776 | 61,754 | ||||||
KB Home | 25,414 | 819,601 | ||||||
La-Z-Boy, Inc.(a) | 1,552 | 53,125 | ||||||
Leggett & Platt, Inc.(a) | 1,940 | 80,956 | ||||||
Lennar Corp., Class A | 11,058 | 776,603 | ||||||
Lennar Corp., Class B | 582 | 33,110 | ||||||
LGI Homes, Inc.* (a) | 6,596 | 704,980 | ||||||
M/I Homes, Inc.* | 8,342 | 341,355 | ||||||
MDC Holdings, Inc. | 14,744 | 641,659 | ||||||
Meritage Homes Corp.* | 10,670 | 929,250 | ||||||
Mohawk Industries, Inc.* | 1,746 | 180,170 | ||||||
Newell Brands, Inc. | 13,192 | 232,971 | ||||||
NVR, Inc.* | 88 | 347,872 | ||||||
PulteGroup, Inc. | 10,282 | 419,094 |
See Accompanying Notes to the Financial Statements.
154 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® Morningstar US Market Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Household Durables – (continued) | ||||||||
Skyline Champion Corp.* (a) | 1,940 | $ | 49,761 | |||||
Sonos, Inc.* | 2,328 | 33,989 | ||||||
Taylor Morrison Home Corp., Class A* | 34,920 | 754,272 | ||||||
Tempur Sealy International, Inc.* | 1,358 | 120,862 | ||||||
Toll Brothers, Inc. | 32,010 | 1,353,383 | ||||||
TopBuild Corp.* | 1,164 | 178,336 | ||||||
TRI Pointe Group, Inc.* | 41,128 | 675,733 | ||||||
Universal Electronics, Inc.* | 2,910 | 107,845 | ||||||
Whirlpool Corp.(a) | 2,522 | 466,469 | ||||||
11,515,267 | ||||||||
Household Products – 1.2% | ||||||||
Central Garden & Pet Co.* (a) | 1,746 | 68,024 | ||||||
Central Garden & Pet Co., Class A* | 2,716 | 96,119 | ||||||
Church & Dwight Co., Inc. | 6,596 | 583,020 | ||||||
Clorox Co. (The)(a) | 3,298 | 683,511 | ||||||
Colgate-Palmolive Co. | 22,310 | 1,760,036 | ||||||
Energizer Holdings, Inc.(a) | 2,716 | 106,875 | ||||||
Kimberly-Clark Corp. | 8,924 | 1,183,233 | ||||||
Procter & Gamble Co. (The) | 62,856 | 8,617,558 | ||||||
Spectrum Brands Holdings, Inc. | 10,864 | 617,836 | ||||||
WD-40 Co.(a) | 388 | 94,431 | ||||||
13,810,643 | ||||||||
Independent Power and Renewable Electricity Producers – 0.1% | ||||||||
AES Corp. (The) | 21,146 | 412,347 | ||||||
Clearway Energy, Inc., Class A | 1,164 | 30,508 | ||||||
Clearway Energy, Inc., Class C | 2,522 | 71,020 | ||||||
Ormat Technologies, Inc.(a) | 1,552 | 109,990 | ||||||
Vistra Corp. | 19,982 | 347,087 | ||||||
970,952 | ||||||||
Industrial Conglomerates – 0.7% | ||||||||
3M Co. | 13,774 | 2,203,289 |
Investments | Shares | Value | ||||||
Industrial Conglomerates – (continued) | ||||||||
Carlisle Cos., Inc. | 1,552 | $ | 192,246 | |||||
General Electric Co. | 331,352 | 2,458,632 | ||||||
Honeywell International, Inc. | 17,460 | 2,880,027 | ||||||
Roper Technologies, Inc. | 2,716 | 1,008,560 | ||||||
8,742,754 | ||||||||
Insurance – 2.9% | ||||||||
Aflac, Inc. | 25,996 | 882,564 | ||||||
Alleghany Corp. | 388 | 212,209 | ||||||
Allstate Corp. (The) | 12,222 | 1,084,702 | ||||||
American Equity Investment Life Holding Co.(a) | 26,772 | 664,481 | ||||||
American Financial Group, Inc. | 3,492 | 261,690 | ||||||
American International Group, Inc. | 33,756 | 1,062,976 | ||||||
American National Group, Inc. | 2,522 | 173,514 | ||||||
AMERISAFE, Inc. | 582 | 34,326 | ||||||
Aon plc, Class A(a) | 5,820 | 1,070,938 | ||||||
Arch Capital Group Ltd.* | 15,520 | 468,859 | ||||||
Argo Group International Holdings Ltd. | 2,328 | 83,063 | ||||||
Arthur J Gallagher & Co. | 5,044 | 523,113 | ||||||
Assurant, Inc. | 2,328 | 289,533 | ||||||
Assured Guaranty Ltd. | 23,280 | 594,338 | ||||||
Athene Holding Ltd., Class A* | 36,860 | 1,182,469 | ||||||
Axis Capital Holdings Ltd. | 23,280 | 993,823 | ||||||
Brighthouse Financial, Inc.* (a) | 27,160 | 898,996 | ||||||
Brown & Brown, Inc. | 6,208 | 270,110 | ||||||
Chubb Ltd. | 16,102 | 2,091,811 | ||||||
Cincinnati Financial Corp. | 3,104 | 219,577 | ||||||
CNO Financial Group, Inc.(a) | 38,024 | 674,926 | ||||||
eHealth, Inc.* | 582 | 39,058 | ||||||
Employers Holdings, Inc. | 970 | 31,050 | ||||||
Enstar Group Ltd.* | 388 | 66,686 | ||||||
Erie Indemnity Co., Class A(a) | 194 | 45,177 | ||||||
Everest Re Group Ltd. | 970 | 191,168 | ||||||
FBL Financial Group, Inc., Class A(a) | 4,268 | 212,077 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 155 |
Table of Contents
FlexShares® Morningstar US Market Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Insurance – (continued) | ||||||||
Fidelity National Financial, Inc. | 12,057 | $ | 377,264 | |||||
First American Financial Corp. | 31,816 | 1,418,675 | ||||||
Genworth Financial, Inc., Class A* (a) | 134,830 | 529,882 | ||||||
Globe Life, Inc. | 2,910 | 235,972 | ||||||
Goosehead Insurance, Inc., Class A(a) | 388 | 47,546 | ||||||
Hanover Insurance Group, Inc. (The) | 9,894 | 946,460 | ||||||
Hartford Financial Services Group, Inc. (The) | 13,968 | 538,047 | ||||||
HCI Group, Inc. | 1,358 | 63,799 | ||||||
Heritage Insurance Holdings, Inc. | 7,566 | 71,423 | ||||||
Horace Mann Educators Corp. | 1,358 | 46,050 | ||||||
James River Group Holdings Ltd. | 970 | 45,328 | ||||||
Kemper Corp. | 17,072 | 1,052,660 | ||||||
Kinsale Capital Group, Inc. | 582 | 109,108 | ||||||
Lincoln National Corp.(a) | 7,566 | 265,567 | ||||||
Loews Corp. | 9,118 | 316,212 | ||||||
Markel Corp.* | 347 | 323,682 | ||||||
Marsh & McLennan Cos., Inc. | 13,192 | 1,364,844 | ||||||
MBIA, Inc.* (a) | 10,476 | 59,818 | ||||||
Mercury General Corp. | 7,178 | 292,216 | ||||||
MetLife, Inc. | 28,906 | 1,094,092 | ||||||
National General Holdings Corp. | 19,400 | 659,018 | ||||||
National Western Life Group, Inc., Class A(a) | 582 | 98,725 | ||||||
Old Republic International Corp. | 83,614 | 1,361,236 | ||||||
Palomar Holdings, Inc.* (a) | 582 | 51,897 | ||||||
Primerica, Inc. | 1,164 | 128,319 | ||||||
Principal Financial Group, Inc. | 9,700 | 380,434 | ||||||
ProAssurance Corp.(a) | 3,880 | 59,868 | ||||||
Progressive Corp. (The) | 22,698 | 2,085,946 | ||||||
Prudential Financial, Inc. | 15,520 | 993,590 |
Investments | Shares | Value | ||||||
Insurance – (continued) | ||||||||
Reinsurance Group of America, Inc. | 1,940 | $ | 195,979 | |||||
RenaissanceRe Holdings Ltd. | 1,746 | 282,363 | ||||||
RLI Corp. | 1,358 | 117,739 | ||||||
Safety Insurance Group, Inc. | 388 | 27,160 | ||||||
Selective Insurance Group, Inc. | 1,940 | 100,996 | ||||||
State Auto Financial Corp. | 776 | 9,576 | ||||||
Stewart Information Services Corp. | 6,984 | 296,052 | ||||||
Third Point Reinsurance Ltd.* (a) | 23,086 | 179,609 | ||||||
Travelers Cos., Inc. (The) | 8,730 | 1,053,798 | ||||||
Trupanion, Inc.* (a) | 970 | 69,394 | ||||||
United Fire Group, Inc. | 776 | 15,939 | ||||||
United Insurance Holdings Corp. | 6,208 | 27,253 | ||||||
Universal Insurance Holdings, Inc. | 8,342 | 104,025 | ||||||
Unum Group(a) | 57,424 | 1,014,108 | ||||||
W R Berkley Corp. | 3,880 | 233,266 | ||||||
Willis Towers Watson plc | 3,492 | 637,220 | ||||||
33,705,389 | ||||||||
Interactive Media & Services – 3.7% | ||||||||
Alphabet, Inc., Class A* | 7,566 | 12,227,488 | ||||||
Alphabet, Inc., Class C* | 7,372 | 11,950,086 | ||||||
ANGI Homeservices, Inc., Class A* | 1,746 | 18,508 | ||||||
Cars.com, Inc.* (a) | 10,476 | 77,418 | ||||||
Facebook, Inc., Class A* | 60,722 | 15,976,565 | ||||||
IAC/InterActiveCorp* | 1,940 | 234,197 | ||||||
Match Group, Inc.* | 6,790 | 792,936 | ||||||
Pinterest, Inc., Class A* | 10,864 | 640,433 | ||||||
Snap, Inc., Class A* | 20,952 | 825,299 | ||||||
TripAdvisor, Inc. | 3,492 | 66,732 | ||||||
Twitter, Inc.* | 20,564 | 850,527 | ||||||
Yelp, Inc.* (a) | 2,134 | 41,976 | ||||||
Zillow Group, Inc., Class A* | 776 | 69,320 | ||||||
Zillow Group, Inc., Class C* (a) | 3,492 | 309,461 | ||||||
44,080,946 |
See Accompanying Notes to the Financial Statements.
156 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® Morningstar US Market Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Internet & Direct Marketing Retail – 3.3% | ||||||||
Amazon.com, Inc.* | 10,670 | $ | 32,395,720 | |||||
Booking Holdings, Inc.* | 970 | 1,573,825 | ||||||
Chewy, Inc., Class A* (a) | 2,522 | 155,355 | ||||||
eBay, Inc. | 17,654 | 840,860 | ||||||
Etsy, Inc.* | 3,104 | 377,415 | ||||||
Expedia Group, Inc. | 2,910 | 273,976 | ||||||
Groupon, Inc.* (a) | 2,910 | 56,425 | ||||||
GrubHub, Inc.* | 2,910 | 215,224 | ||||||
MercadoLibre, Inc.* | 1,164 | 1,413,154 | ||||||
Overstock.com, Inc.* (a) | 582 | 32,650 | ||||||
PetMed Express, Inc.(a) | 776 | 22,954 | ||||||
Quotient Technology, Inc.* (a) | 2,134 | 18,993 | ||||||
Qurate Retail, Inc., Series A | 113,684 | 769,641 | ||||||
Stamps.com, Inc.* | 582 | 129,926 | ||||||
Stitch Fix, Inc., Class A* (a) | 1,164 | 40,077 | ||||||
Wayfair, Inc., Class A* (a) | 2,716 | 673,649 | ||||||
38,989,844 | ||||||||
IT Services – 4.2% | ||||||||
Accenture plc, Class A | 16,296 | 3,534,765 | ||||||
Akamai Technologies, Inc.* | 4,268 | 405,972 | ||||||
Alliance Data Systems Corp. | 14,356 | 739,908 | ||||||
Automatic Data Processing, Inc. | 10,088 | 1,593,501 | ||||||
Black Knight, Inc.* | 3,880 | 341,246 | ||||||
Booz Allen Hamilton Holding Corp. | 3,686 | 289,351 | ||||||
Broadridge Financial Solutions, Inc. | 2,910 | 400,416 | ||||||
CACI International, Inc., Class A* | 776 | 161,819 | ||||||
Cardtronics plc, Class A* (a) | 8,342 | 148,571 | ||||||
Cass Information Systems, Inc.(a) | 194 | 7,609 | ||||||
Cognizant Technology Solutions Corp., Class A | 19,400 | 1,385,548 | ||||||
Conduent, Inc.* (a) | 69,258 | 241,364 | ||||||
CSG Systems International, Inc. | 970 | 36,744 | ||||||
DXC Technology Co. | 70,422 | 1,297,173 | ||||||
Endurance International Group Holdings, Inc.* | 24,444 | 142,020 |
Investments | Shares | Value | ||||||
IT Services – (continued) | ||||||||
EPAM Systems, Inc.* | 1,358 | $ | 419,554 | |||||
Euronet Worldwide, Inc.* | 1,358 | 120,645 | ||||||
EVERTEC, Inc. | 1,940 | 64,563 | ||||||
Evo Payments, Inc., Class A* | 1,552 | 32,701 | ||||||
ExlService Holdings, Inc.* (a) | 1,164 | 88,161 | ||||||
Fastly, Inc., Class A* (a) | 1,358 | 86,247 | ||||||
Fidelity National Information Services, Inc. | 15,326 | 1,909,466 | ||||||
Fiserv, Inc.* | 14,550 | 1,389,089 | ||||||
FleetCor Technologies, Inc.* | 1,940 | 428,565 | ||||||
Gartner, Inc.* | 1,940 | 232,994 | ||||||
Genpact Ltd. | 4,074 | 140,023 | ||||||
Global Payments, Inc. | 7,760 | 1,224,062 | ||||||
GoDaddy, Inc., Class A* | 4,656 | 329,366 | ||||||
GTT Communications, Inc.* (a) | 3,686 | 13,601 | ||||||
International Business Machines Corp. | 32,592 | 3,639,223 | ||||||
International Money Express, Inc.* (a) | 2,910 | 40,478 | ||||||
Jack Henry & Associates, Inc. | 2,134 | 316,366 | ||||||
KBR, Inc.(a) | 39,188 | 873,501 | ||||||
Leidos Holdings, Inc. | 3,492 | 289,836 | ||||||
Limelight Networks, Inc.* (a) | 4,074 | 14,381 | ||||||
LiveRamp Holdings, Inc.* (a) | 2,134 | 141,036 | ||||||
ManTech International Corp., Class A | 776 | 50,347 | ||||||
Mastercard, Inc., Class A | 22,310 | 6,439,558 | ||||||
MAXIMUS, Inc. | 1,940 | 131,105 | ||||||
MongoDB, Inc.* (a) | 970 | 221,616 | ||||||
NIC, Inc.(a) | 2,134 | 47,844 | ||||||
Okta, Inc.* (a) | 2,910 | 610,605 | ||||||
Paychex, Inc. | 8,536 | 702,086 | ||||||
PayPal Holdings, Inc.* | 29,876 | 5,560,820 | ||||||
Perficient, Inc.* (a) | 1,164 | 45,582 | ||||||
Perspecta, Inc.(a) | 38,994 | 699,163 | ||||||
Sabre Corp. | 91,762 | 598,288 | ||||||
Science Applications International Corp. | 1,940 | 148,158 | ||||||
Square, Inc., Class A* | 9,118 | 1,412,196 | ||||||
Switch, Inc., Class A | 1,746 | 24,549 | ||||||
Sykes Enterprises, Inc.* (a) | 2,910 | 99,638 | ||||||
TTEC Holdings, Inc. | 582 | 31,882 | ||||||
Tucows, Inc., Class A* (a) | 388 | 28,631 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 157 |
Table of Contents
FlexShares® Morningstar US Market Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
IT Services – (continued) | ||||||||
Twilio, Inc., Class A* | 3,298 | $ | 920,043 | |||||
Unisys Corp.* (a) | 14,938 | 196,285 | ||||||
VeriSign, Inc.* | 2,716 | 517,941 | ||||||
Virtusa Corp.* | 970 | 48,791 | ||||||
Visa, Inc., Class A(a) | 42,680 | 7,755,383 | ||||||
Western Union Co. (The)(a) | 16,878 | 328,108 | ||||||
WEX, Inc.* | 1,164 | 147,304 | ||||||
49,285,788 | ||||||||
Leisure Products – 0.3% | ||||||||
Acushnet Holdings Corp.(a) | 1,164 | 39,727 | ||||||
Brunswick Corp. | 2,522 | 160,677 | ||||||
Callaway Golf Co. | 4,462 | 69,116 | ||||||
Hasbro, Inc. | 3,298 | 272,810 | ||||||
Johnson Outdoors, Inc., Class A | 388 | 33,884 | ||||||
Malibu Boats, Inc., Class A* (a) | 6,014 | 305,692 | ||||||
Mattel, Inc.* | 3,686 | 50,756 | ||||||
Peloton Interactive, Inc., Class A* | 5,238 | 577,280 | ||||||
Polaris, Inc. | 16,296 | 1,480,655 | ||||||
Smith & Wesson Brands, Inc. | 4,462 | 74,025 | ||||||
Sturm Ruger & Co., Inc. | 582 | 38,912 | ||||||
Vista Outdoor, Inc.* (a) | 1,940 | 38,354 | ||||||
YETI Holdings, Inc.* (a) | 1,358 | 67,194 | ||||||
3,209,082 | ||||||||
Life Sciences Tools & Services – 0.9% | ||||||||
10X Genomics, Inc., Class A* | 970 | 132,793 | ||||||
Adaptive Biotechnologies Corp.* (a) | 2,134 | 98,335 | ||||||
Agilent Technologies, Inc. | 8,148 | 831,829 | ||||||
Avantor, Inc.* | 6,014 | 139,946 | ||||||
Bio-Rad Laboratories, Inc., Class A* | 582 | 341,296 | ||||||
Bio-Techne Corp. | 970 | 244,838 | ||||||
Bruker Corp. | 2,716 | 115,539 | ||||||
Charles River Laboratories International, Inc.* | 1,358 | 309,217 | ||||||
Codexis, Inc.* | 1,746 | 23,239 |
Investments | Shares | Value | ||||||
Life Sciences Tools & Services – (continued) | ||||||||
Illumina, Inc.* | 3,686 | $ | 1,078,892 | |||||
IQVIA Holdings, Inc.* | 4,850 | 746,851 | ||||||
Luminex Corp. | 1,164 | 25,654 | ||||||
Medpace Holdings, Inc.* (a) | 970 | 107,612 | ||||||
Mettler-Toledo International, Inc.* | 582 | 580,784 | ||||||
NanoString Technologies, Inc.* (a) | 1,164 | 42,661 | ||||||
NeoGenomics, Inc.* (a) | 3,298 | 129,380 | ||||||
PerkinElmer, Inc. | 2,910 | 376,990 | ||||||
PPD, Inc.* | 1,358 | 44,651 | ||||||
PRA Health Sciences, Inc.* | 1,746 | 170,130 | ||||||
Repligen Corp.* | 1,552 | 258,517 | ||||||
Syneos Health, Inc.* (a) | 2,522 | 133,868 | ||||||
Thermo Fisher Scientific, Inc. | 10,088 | 4,772,835 | ||||||
Waters Corp.* | 1,746 | 389,044 | ||||||
11,094,901 | ||||||||
Machinery – 2.6% | ||||||||
AGCO Corp. | 17,072 | 1,315,056 | ||||||
Alamo Group, Inc.(a) | 388 | 46,688 | ||||||
Albany International Corp., Class A | 970 | 49,412 | ||||||
Allison Transmission Holdings, Inc. | 30,264 | 1,094,044 | ||||||
Altra Industrial Motion Corp.(a) | 17,072 | 729,999 | ||||||
Astec Industries, Inc.(a) | 582 | 29,566 | ||||||
Barnes Group, Inc. | 1,552 | 56,958 | ||||||
Blue Bird Corp.* | 3,880 | 44,775 | ||||||
Caterpillar, Inc. | 20,564 | 3,229,576 | ||||||
Chart Industries, Inc.* (a) | 10,088 | 851,932 | ||||||
CIRCOR International, Inc.* (a) | 6,790 | 189,441 | ||||||
Colfax Corp.* (a) | 28,130 | 764,855 | ||||||
Columbus McKinnon Corp. | 776 | 26,299 | ||||||
Crane Co. | 13,386 | 679,339 | ||||||
Cummins, Inc. | 5,820 | 1,279,760 | ||||||
Deere & Co. | 11,446 | 2,585,766 | ||||||
Donaldson Co., Inc. | 776 | 36,860 | ||||||
Douglas Dynamics, Inc. | 776 | 26,469 | ||||||
Dover Corp. | 3,880 | 429,555 | ||||||
EnPro Industries, Inc. | 388 | 22,900 |
See Accompanying Notes to the Financial Statements.
158 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® Morningstar US Market Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Machinery – (continued) | ||||||||
ESCO Technologies, Inc. | 970 | $ | 81,179 | |||||
Evoqua Water Technologies Corp.* | 1,940 | 44,484 | ||||||
Federal Signal Corp. | 1,940 | 55,639 | ||||||
Flowserve Corp. | 3,492 | 101,687 | ||||||
Fortive Corp. | 6,984 | 430,214 | ||||||
Franklin Electric Co., Inc. | 1,164 | 69,526 | ||||||
Gates Industrial Corp. plc* | 13,774 | 152,891 | ||||||
Gorman-Rupp Co. (The) | 776 | 24,095 | ||||||
Graco, Inc. | 4,462 | 276,198 | ||||||
Greenbrier Cos., Inc. (The)(a) | 9,700 | 261,706 | ||||||
Helios Technologies, Inc. | 388 | 16,234 | ||||||
Hillenbrand, Inc.(a) | 19,594 | 573,124 | ||||||
Hyster-Yale Materials Handling, Inc. | 388 | 16,451 | ||||||
IDEX Corp. | 1,552 | 264,445 | ||||||
Illinois Tool Works, Inc. | 7,566 | 1,482,028 | ||||||
Ingersoll Rand, Inc.* | 8,730 | 305,026 | ||||||
ITT, Inc. | 2,716 | 164,345 | ||||||
John Bean Technologies Corp.(a) | 970 | 81,451 | ||||||
Kadant, Inc.(a) | 388 | 44,667 | ||||||
Kennametal, Inc.(a) | 4,074 | 126,294 | ||||||
Lincoln Electric Holdings, Inc. | 1,552 | 158,025 | ||||||
Lindsay Corp. | 388 | 40,856 | ||||||
Luxfer Holdings plc | 1,164 | 14,457 | ||||||
Manitowoc Co., Inc. (The)* | 9,506 | 71,580 | ||||||
Meritor, Inc.* | 21,728 | 528,860 | ||||||
Middleby Corp. (The)* (a) | 15,908 | 1,583,482 | ||||||
Miller Industries, Inc. | 1,552 | 46,467 | ||||||
Mueller Industries, Inc. | 582 | 16,837 | ||||||
Mueller Water Products, Inc., Class A | 5,432 | 56,276 | ||||||
Navistar International Corp.* (a) | 17,072 | 735,974 | ||||||
Nordson Corp. | 1,358 | 262,678 | ||||||
Oshkosh Corp. | 19,012 | 1,280,648 | ||||||
Otis Worldwide Corp. | 9,312 | 570,639 | ||||||
PACCAR, Inc. | 13,774 | 1,176,024 | ||||||
Parker-Hannifin Corp. | 3,492 | 727,593 | ||||||
Pentair plc | 4,268 | 212,376 | ||||||
Proto Labs, Inc.* (a) | 776 | 91,630 |
Investments | Shares | Value | ||||||
Machinery – (continued) | ||||||||
RBC Bearings, Inc.* | 776 | $ | 92,383 | |||||
REV Group, Inc.(a) | 7,954 | 62,439 | ||||||
Rexnord Corp.(a) | 4,850 | 155,588 | ||||||
Snap-on, Inc.(a) | 1,746 | 275,047 | ||||||
SPX Corp.* (a) | 1,552 | 65,789 | ||||||
SPX FLOW, Inc.* | 1,552 | 65,727 | ||||||
Standex International Corp.(a) | 388 | 24,091 | ||||||
Stanley Black & Decker, Inc. | 5,432 | 902,798 | ||||||
Tennant Co. | 388 | 23,133 | ||||||
Terex Corp.(a) | 19,400 | 478,986 | ||||||
Timken Co. (The) | 18,430 | 1,100,271 | ||||||
Toro Co. (The) | 2,716 | 222,984 | ||||||
TriMas Corp.* | 1,552 | 37,760 | ||||||
Trinity Industries, Inc.(a) | 3,104 | 58,479 | ||||||
Wabash National Corp.(a) | 17,072 | 243,447 | ||||||
Watts Water Technologies, Inc., Class A | 776 | 85,958 | ||||||
Welbilt, Inc.* | 12,028 | 73,130 | ||||||
Westinghouse Air Brake Technologies Corp. | 5,044 | 299,109 | ||||||
Woodward, Inc.(a) | 1,552 | 123,462 | ||||||
Xylem, Inc. | 4,268 | 371,914 | ||||||
30,397,831 | ||||||||
Marine – 0.0%(e) | ||||||||
Kirby Corp.* | 582 | 22,401 | ||||||
Media – 1.5% | ||||||||
Altice USA, Inc., Class A* | 7,954 | 214,360 | ||||||
AMC Networks, Inc., Class A* (a) | 9,700 | 206,125 | ||||||
Cable One, Inc. | 194 | 335,981 | ||||||
Cardlytics, Inc.* (a) | 388 | 28,642 | ||||||
Charter Communications, Inc., Class A* (a) | 3,880 | 2,342,822 | ||||||
Clear Channel Outdoor Holdings, Inc.* (a) | 142,008 | 126,955 | ||||||
Comcast Corp., Class A | 170,526 | 7,203,018 | ||||||
Discovery, Inc., Class A* (a) | 4,268 | 86,384 | ||||||
Discovery, Inc., Class C* | 12,028 | 220,353 | ||||||
DISH Network Corp., Class A* | 8,536 | �� | 217,583 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 159 |
Table of Contents
FlexShares® Morningstar US Market Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Media – (continued) | ||||||||
EW Scripps Co. (The), Class A(a) | 15,714 | $ | 142,683 | |||||
Fox Corp., Class A(a) | 13,386 | 354,997 | ||||||
Fox Corp., Class B | 4,074 | 106,494 | ||||||
Gray Television, Inc.* (a) | 25,608 | 324,710 | ||||||
iHeartMedia, Inc., Class A* (a) | 22,892 | 188,172 | ||||||
Interpublic Group of Cos., Inc. (The) | 11,640 | 210,568 | ||||||
John Wiley & Sons, Inc., Class A(a) | 1,358 | 42,044 | ||||||
Liberty Broadband Corp., Class A* (a) | 582 | 81,800 | ||||||
Liberty Broadband Corp., Class C* | 4,268 | 604,818 | ||||||
Liberty Media Corp-Liberty SiriusXM, Class A* | 2,134 | 73,772 | ||||||
Liberty Media Corp-Liberty SiriusXM, Class C* | 4,850 | 167,810 | ||||||
Meredith Corp.(a) | 9,118 | 100,298 | ||||||
MSG Networks, Inc., Class A* (a) | 8,924 | 79,781 | ||||||
New York Times Co. (The), Class A(a) | 4,656 | 184,657 | ||||||
News Corp., Class A | 10,282 | 135,003 | ||||||
News Corp., Class B | 3,298 | 42,940 | ||||||
Nexstar Media Group, Inc., Class A(a) | 12,610 | 1,039,064 | ||||||
Omnicom Group, Inc. | 6,014 | 283,861 | ||||||
Scholastic Corp. | 970 | 19,167 | ||||||
Sinclair Broadcast Group, Inc., Class A(a) | 18,818 | 349,638 | ||||||
Sirius XM Holdings, Inc.(a) | 36,666 | 210,096 | ||||||
TechTarget, Inc.* (a) | 194 | 8,497 | ||||||
TEGNA, Inc. | 61,692 | 742,155 | ||||||
Tribune Publishing Co.(a) | 5,626 | 64,474 | ||||||
ViacomCBS, Inc.(a) | 21,534 | 615,226 | ||||||
ViacomCBS, Inc., Class A | 1,358 | 40,550 | ||||||
WideOpenWest, Inc.* | 12,416 | 61,956 | ||||||
17,257,454 |
Investments | Shares | Value | ||||||
Metals & Mining – 0.8% | ||||||||
Alcoa Corp.* (a) | 54,126 | $ | 699,308 | |||||
Allegheny Technologies, Inc.* (a) | 31,428 | 289,452 | ||||||
Carpenter Technology Corp.(a) | 11,834 | 206,858 | ||||||
Century Aluminum Co.* | 10,476 | 68,932 | ||||||
Cleveland-Cliffs, Inc.(a) | 117,952 | 976,643 | ||||||
Coeur Mining, Inc.* (a) | 7,760 | 54,863 | ||||||
Commercial Metals Co.(a) | 34,726 | 717,092 | ||||||
Compass Minerals International, Inc.(a) | 1,164 | 70,282 | ||||||
Freeport-McMoRan, Inc. | 31,622 | 548,325 | ||||||
Hecla Mining Co.(a) | 17,072 | 78,190 | ||||||
Kaiser Aluminum Corp. | 3,880 | 244,168 | ||||||
Materion Corp. | 582 | 29,793 | ||||||
McEwen Mining, Inc.* (a) | 9,312 | 9,046 | ||||||
Newmont Corp. | 21,146 | 1,328,815 | ||||||
Nucor Corp. | 9,506 | 454,007 | ||||||
Reliance Steel & Aluminum Co. | 2,716 | 296,017 | ||||||
Royal Gold, Inc. | 1,746 | 207,442 | ||||||
Schnitzer Steel Industries, Inc., Class A | 3,880 | 81,480 | ||||||
Southern Copper Corp.(a) | 2,328 | 121,848 | ||||||
Steel Dynamics, Inc. | 58,976 | 1,856,564 | ||||||
United States Steel Corp.(a) | 63,826 | 616,559 | ||||||
Warrior Met Coal, Inc.(a) | 14,162 | 212,430 | ||||||
Worthington Industries, Inc. | 10,864 | 534,617 | ||||||
9,702,731 | ||||||||
Mortgage Real Estate Investment Trusts (REITs) – 0.7% | ||||||||
AGNC Investment Corp. | 20,758 | 289,989 | ||||||
Annaly Capital Management, Inc. | 46,172 | 327,359 | ||||||
Apollo Commercial Real Estate Finance, Inc.(a) | 36,278 | 315,619 | ||||||
Arbor Realty Trust, Inc.(a) | 30,458 | 360,014 | ||||||
ARMOUR Residential REIT, Inc.(a) | 23,668 | 225,793 | ||||||
Blackstone Mortgage Trust, Inc., Class A(a) | 42,098 | 913,527 | ||||||
Capstead Mortgage Corp. | 31,234 | 159,606 | ||||||
Chimera Investment Corp.(a) | 75,466 | 630,141 |
See Accompanying Notes to the Financial Statements.
160 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® Morningstar US Market Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Mortgage Real Estate Investment Trusts (REITs) – (continued) | ||||||||
Colony Credit Real Estate, Inc.(a) | 14,938 | $ | 78,275 | |||||
Dynex Capital, Inc.(a) | 6,014 | 98,509 | ||||||
Ellington Financial, Inc. | 13,774 | 168,594 | ||||||
Hannon Armstrong Sustainable Infrastructure Capital, Inc.(a) | 2,328 | 97,427 | ||||||
Invesco Mortgage Capital, Inc.(a) | 39,576 | 106,855 | ||||||
KKR Real Estate Finance Trust, Inc. | 7,566 | 126,428 | ||||||
Ladder Capital Corp.(a) | 30,846 | 231,345 | ||||||
MFA Financial, Inc. | 108,834 | 306,912 | ||||||
New Residential Investment Corp.(a) | 120,280 | 902,100 | ||||||
New York Mortgage Trust, Inc.(a) | 90,598 | 230,119 | ||||||
PennyMac Mortgage Investment Trust(a) | 29,294 | 438,531 | ||||||
Ready Capital Corp.(a) | 14,356 | 161,361 | ||||||
Redwood Trust, Inc.(a) | 33,368 | 283,628 | ||||||
Starwood Property Trust, Inc. | 84,584 | 1,181,638 | ||||||
TPG RE Finance Trust, Inc.(a) | 23,086 | 180,532 | ||||||
Two Harbors Investment Corp.(a) | 67,900 | 343,574 | ||||||
8,157,876 | ||||||||
Multiline Retail – 0.6% | ||||||||
Big Lots, Inc.(a) | 11,446 | 544,830 | ||||||
Dillard’s, Inc., Class A(a) | 4,462 | 199,585 | ||||||
Dollar General Corp. | 6,596 | 1,376,651 | ||||||
Dollar Tree, Inc.* | 6,208 | 560,707 | ||||||
Kohl’s Corp.(a) | 44,814 | 954,090 | ||||||
Macy’s, Inc.(a) | 81,674 | 507,196 | ||||||
Nordstrom, Inc.(a) | 28,130 | 340,373 | ||||||
Ollie’s Bargain Outlet Holdings, Inc.* (a) | 1,746 | 152,059 | ||||||
Target Corp. | 19,206 | 2,923,537 | ||||||
7,559,028 | ||||||||
Multi-Utilities – 0.9% | ||||||||
Ameren Corp. | 6,596 | 535,068 | ||||||
Avista Corp. | 2,134 | 70,891 |
Investments | Shares | Value | ||||||
Multi-Utilities – (continued) | ||||||||
Black Hills Corp.(a) | 1,552 | $ | 87,936 | |||||
CenterPoint Energy, Inc. | 21,728 | 459,113 | ||||||
CMS Energy Corp. | 6,790 | 430,011 | ||||||
Consolidated Edison, Inc. | 11,058 | 867,942 | ||||||
Dominion Energy, Inc. | 32,204 | 2,587,269 | ||||||
DTE Energy Co. | 6,790 | 838,022 | ||||||
MDU Resources Group, Inc. | 57,812 | 1,373,613 | ||||||
NiSource, Inc. | 8,730 | 200,528 | ||||||
NorthWestern Corp. | 1,552 | 80,906 | ||||||
Public Service Enterprise Group, Inc. | 18,818 | 1,094,267 | ||||||
Sempra Energy | 9,894 | 1,240,312 | ||||||
Unitil Corp. | 582 | 20,108 | ||||||
WEC Energy Group, Inc. | 8,342 | 838,788 | ||||||
10,724,774 | ||||||||
Oil, Gas & Consumable Fuels – 2.2% | ||||||||
Antero Midstream Corp.(a) | 85,360 | 489,113 | ||||||
Antero Resources Corp.* (a) | 70,616 | 240,094 | ||||||
Apache Corp. | 10,088 | 83,730 | ||||||
Arch Resources, Inc. | 2,716 | 82,974 | ||||||
Bonanza Creek Energy, Inc.* | 5,238 | 92,765 | ||||||
Cabot Oil & Gas Corp. | 12,804 | 227,783 | ||||||
Callon Petroleum Co.* (a) | 14,744 | 77,111 | ||||||
Centennial Resource Development, Inc., Class A* (a) | 102,820 | 63,718 | ||||||
Cheniere Energy, Inc.* | 5,626 | 269,317 | ||||||
Chevron Corp. | 48,306 | 3,357,267 | ||||||
Cimarex Energy Co. | 30,458 | 772,719 | ||||||
Clean Energy Fuels Corp.* | 4,656 | 11,547 | ||||||
CNX Resources Corp.* | 10,088 | 97,854 | ||||||
Concho Resources, Inc. | 4,850 | 201,323 | ||||||
ConocoPhillips | 39,382 | 1,127,113 | ||||||
Continental Resources, Inc.(a) | 5,044 | 60,679 | ||||||
CVR Energy, Inc. | 11,446 | 126,020 | ||||||
Delek US Holdings, Inc.(a) | 13,774 | 138,566 | ||||||
Devon Energy Corp. | 105,536 | 942,436 | ||||||
Diamond S Shipping, Inc.* (a) | 6,014 | 34,039 | ||||||
Diamondback Energy, Inc.(a) | 6,596 | 171,232 | ||||||
Dorian LPG Ltd.* (a) | 8,342 | 68,404 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 161 |
Table of Contents
FlexShares® Morningstar US Market Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Oil, Gas & Consumable Fuels – (continued) | ||||||||
EOG Resources, Inc. | 14,162 | $ | 484,907 | |||||
EQT Corp. | 75,078 | 1,136,681 | ||||||
Equitrans Midstream Corp. | 117,758 | 854,923 | ||||||
Exxon Mobil Corp. | 106,506 | 3,474,226 | ||||||
Gulfport Energy Corp.* (a) | 57,812 | 14,800 | ||||||
Hess Corp. | 6,596 | 245,503 | ||||||
HollyFrontier Corp. | 7,372 | 136,456 | ||||||
International Seaways, Inc. | 7,566 | 102,444 | ||||||
Kinder Morgan, Inc. | 73,914 | 879,577 | ||||||
Kosmos Energy Ltd.(a) | 136,576 | 135,798 | ||||||
Magnolia Oil & Gas Corp., Class A* (a) | 36,472 | 158,288 | ||||||
Marathon Oil Corp.(a) | 217,862 | 862,734 | ||||||
Marathon Petroleum Corp. | 25,414 | 749,713 | ||||||
Matador Resources Co.* | 31,816 | 224,939 | ||||||
Murphy Oil Corp.(a) | 41,904 | 323,499 | ||||||
Northern Oil and Gas, Inc.* (a) | 6,072 | 22,467 | ||||||
Occidental Petroleum Corp.(a) | 31,234 | 285,166 | ||||||
ONEOK, Inc. | 17,654 | 511,966 | ||||||
Ovintiv, Inc.(a) | 76,048 | 699,642 | ||||||
Par Pacific Holdings, Inc.* (a) | 11,446 | 73,712 | ||||||
Parsley Energy, Inc., Class A(a) | 10,088 | 100,981 | ||||||
PBF Energy, Inc., Class A(a) | 21,340 | 99,658 | ||||||
PDC Energy, Inc.* (a) | 4,074 | 48,562 | ||||||
Peabody Energy Corp.* (a) | 21,146 | 27,278 | ||||||
Phillips 66 | 16,684 | 778,475 | ||||||
Pioneer Natural Resources Co. | 3,686 | 293,258 | ||||||
Range Resources Corp.(a) | 71,198 | 468,483 | ||||||
Renewable Energy Group, Inc.* | 11,446 | 645,554 | ||||||
REX American Resources Corp.* (a) | 194 | 14,102 | ||||||
SM Energy Co.(a) | 42,680 | 68,715 | ||||||
Southwestern Energy Co.* (a) | 169,168 | 451,679 | ||||||
Talos Energy, Inc.* (a) | 7,760 | 51,061 | ||||||
Targa Resources Corp. | 66,736 | 1,071,113 | ||||||
Tellurian, Inc.* (a) | 7,372 | 7,077 |
Investments | Shares | Value | ||||||
Oil, Gas & Consumable Fuels – (continued) | ||||||||
Valero Energy Corp. | 15,908 | $ | 614,208 | |||||
W&T Offshore, Inc.* (a) | 26,772 | 37,481 | ||||||
Williams Cos., Inc. (The) | 27,742 | 532,369 | ||||||
World Fuel Services Corp. | 18,236 | 383,868 | ||||||
WPX Energy, Inc.* | 13,386 | 61,709 | ||||||
25,868,876 | ||||||||
Paper & Forest Products – 0.1% | ||||||||
Boise Cascade Co. | 1,164 | 44,674 | ||||||
Clearwater Paper Corp.* (a) | 1,940 | 72,071 | ||||||
Domtar Corp. | 1,552 | 37,062 | ||||||
Glatfelter Corp.(a) | 1,552 | 22,147 | ||||||
Louisiana-Pacific Corp. | 3,686 | 105,346 | ||||||
Mercer International, Inc. | 12,028 | 75,656 | ||||||
Neenah, Inc. | 582 | 21,901 | ||||||
Schweitzer-Mauduit International, Inc.(a) | 7,372 | 244,750 | ||||||
Verso Corp., Class A(a) | 11,058 | 86,031 | ||||||
709,638 | ||||||||
Personal Products – 0.2% | ||||||||
BellRing Brands, Inc., Class A* | 3,686 | 67,417 | ||||||
Coty, Inc., Class A(a) | 87,494 | 253,733 | ||||||
Edgewell Personal Care Co.* (a) | 13,968 | 366,241 | ||||||
elf Beauty, Inc.* | 970 | 19,662 | ||||||
Estee Lauder Cos., Inc. (The), Class A | 5,820 | 1,278,421 | ||||||
Herbalife Nutrition Ltd.* | 2,522 | 113,843 | ||||||
Inter Parfums, Inc. | 582 | 23,897 | ||||||
Medifast, Inc.(a) | 388 | 54,510 | ||||||
Nu Skin Enterprises, Inc., Class A | 13,774 | 679,747 | ||||||
Revlon, Inc., Class A* (a) | 970 | 3,977 | ||||||
USANA Health Sciences, Inc.* | 388 | 29,352 | ||||||
2,890,800 | ||||||||
Pharmaceuticals – 3.0% | ||||||||
Aerie Pharmaceuticals, Inc.* (a) | 1,358 | 14,408 | ||||||
Amneal Pharmaceuticals, Inc.* (a) | 29,682 | 123,477 |
See Accompanying Notes to the Financial Statements.
162 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® Morningstar US Market Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Pharmaceuticals – (continued) | ||||||||
Amphastar Pharmaceuticals, Inc.* (a) | 1,358 | $ | 26,603 | |||||
ANI Pharmaceuticals, Inc.* (a) | 388 | 9,890 | ||||||
Arvinas, Inc.* (a) | 582 | 12,170 | ||||||
Axsome Therapeutics, Inc.* (a) | 7,178 | 475,973 | ||||||
Bristol-Myers Squibb Co. | 84,390 | 4,932,596 | ||||||
Cara Therapeutics, Inc.* | 1,746 | 23,152 | ||||||
Catalent, Inc.* | 4,074 | 357,575 | ||||||
Collegium Pharmaceutical, Inc.* (a) | 970 | 17,295 | ||||||
Corcept Therapeutics, Inc.* (a) | 3,298 | 55,340 | ||||||
Elanco Animal Health, Inc.* | 7,566 | 234,622 | ||||||
Eli Lilly and Co. | 20,564 | 2,682,780 | ||||||
Endo International plc* (a) | 63,050 | 288,139 | ||||||
Horizon Therapeutics plc* | 5,238 | 392,483 | ||||||
Innoviva, Inc.* (a) | 10,088 | 109,051 | ||||||
Intra-Cellular Therapies, Inc.* (a) | 1,746 | 43,074 | ||||||
Jazz Pharmaceuticals plc* | 2,134 | 307,509 | ||||||
Johnson & Johnson | 66,348 | 9,096,974 | ||||||
Lannett Co., Inc.* (a) | 9,312 | 59,876 | ||||||
Merck & Co., Inc. | 64,214 | 4,829,535 | ||||||
Mylan NV* | 20,758 | 301,821 | ||||||
MyoKardia, Inc.* (a) | 1,552 | 346,919 | ||||||
Nektar Therapeutics* (a) | 5,044 | 79,897 | ||||||
Odonate Therapeutics, Inc.* | 1,552 | 22,364 | ||||||
Omeros Corp.* (a) | 1,746 | 17,705 | ||||||
Pacira BioSciences, Inc.* (a) | 1,358 | 71,023 | ||||||
Perrigo Co. plc | 5,432 | 238,302 | ||||||
Pfizer, Inc. | 205,446 | 7,289,224 | ||||||
Phibro Animal Health Corp., Class A | 970 | 15,947 | ||||||
Prestige Consumer Healthcare, Inc.* (a) | 14,744 | 486,994 | ||||||
Reata Pharmaceuticals, Inc., Class A* (a) | 776 | 90,567 | ||||||
Revance Therapeutics, Inc.* | 1,940 | 50,207 | ||||||
Supernus Pharmaceuticals, Inc.* (a) | 1,746 | 32,057 |
Investments | Shares | Value | ||||||
Pharmaceuticals – (continued) | ||||||||
Zoetis, Inc. | 12,222 | $ | 1,937,798 | |||||
Zogenix, Inc.* | 2,134 | 45,497 | ||||||
35,118,844 | ||||||||
Professional Services – 0.6% | ||||||||
ASGN, Inc.* | 14,550 | 970,194 | ||||||
CBIZ, Inc.* | 1,940 | 43,980 | ||||||
Clarivate plc* | 4,074 | 113,054 | ||||||
CoreLogic, Inc. | 2,522 | 194,018 | ||||||
CoStar Group, Inc.* | 970 | 798,902 | ||||||
CRA International, Inc.(a) | 194 | 7,944 | ||||||
Equifax, Inc. | 3,298 | 450,507 | ||||||
Exponent, Inc. | 1,746 | 121,504 | ||||||
Forrester Research, Inc.* (a) | 388 | 14,333 | ||||||
FTI Consulting, Inc.* | 1,164 | 114,607 | ||||||
Heidrick & Struggles International, Inc. | 3,104 | 70,926 | ||||||
Huron Consulting Group, Inc.* | 776 | 29,379 | ||||||
ICF International, Inc. | 582 | 38,057 | ||||||
IHS Markit Ltd. | 10,670 | 862,883 | ||||||
Insperity, Inc. | 1,164 | 89,139 | ||||||
Kelly Services, Inc., Class A | 9,700 | 168,586 | ||||||
Kforce, Inc. | 582 | 20,195 | ||||||
Korn Ferry | 12,222 | 368,982 | ||||||
ManpowerGroup, Inc. | 16,102 | 1,092,843 | ||||||
Nielsen Holdings plc(a) | 14,162 | 191,329 | ||||||
Resources Connection, Inc. | 6,596 | 70,841 | ||||||
Robert Half International, Inc. | 3,492 | 177,010 | ||||||
TransUnion | 5,044 | 401,805 | ||||||
TriNet Group, Inc.* (a) | 1,358 | 93,593 | ||||||
TrueBlue, Inc.* (a) | 9,118 | 141,511 | ||||||
Verisk Analytics, Inc. | 4,268 | 759,576 | ||||||
7,405,698 | ||||||||
Real Estate Management & Development – 0.2% | ||||||||
CBRE Group, Inc., Class A* | 13,386 | 674,654 | ||||||
Cushman & Wakefield plc* (a) | 21,146 | 247,831 | ||||||
eXp World Holdings, Inc.* | 776 | 32,895 | ||||||
Forestar Group, Inc.* (a) | 1,358 | 22,597 | ||||||
Howard Hughes Corp. (The)* | 1,358 | 84,454 | ||||||
Jones Lang LaSalle, Inc.(a) | 2,134 | 240,843 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 163 |
Table of Contents
FlexShares® Morningstar US Market Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Real Estate Management & Development – (continued) | ||||||||
Kennedy-Wilson Holdings, Inc.(a) | 2,716 | $ | 35,797 | |||||
Newmark Group, Inc., Class A | 34,532 | 163,509 | ||||||
Realogy Holdings Corp.* (a) | 31,234 | 348,572 | ||||||
Redfin Corp.* | 2,716 | 113,447 | ||||||
St Joe Co. (The)* (a) | 776 | 20,983 | ||||||
1,985,582 | ||||||||
Road & Rail – 0.9% | ||||||||
AMERCO | 194 | 67,349 | ||||||
ArcBest Corp. | 5,238 | 159,864 | ||||||
Avis Budget Group, Inc.* (a) | 3,492 | 117,576 | ||||||
CSX Corp. | 19,982 | 1,577,379 | ||||||
Heartland Express, Inc. | 1,746 | 31,969 | ||||||
JB Hunt Transport Services, Inc. | 2,328 | 283,411 | ||||||
Kansas City Southern | 2,716 | 478,396 | ||||||
Knight-Swift Transportation Holdings, Inc. | 4,850 | 184,251 | ||||||
Landstar System, Inc. | 1,164 | 145,151 | ||||||
Lyft, Inc., Class A* (a) | 5,626 | 128,442 | ||||||
Marten Transport Ltd. | 2,910 | 44,654 | ||||||
Norfolk Southern Corp. | 9,506 | 1,987,895 | ||||||
Old Dominion Freight Line, Inc. | 2,716 | 517,045 | ||||||
Ryder System, Inc. | 1,164 | 57,339 | ||||||
Saia, Inc.* (a) | 776 | 114,584 | ||||||
Schneider National, Inc., Class B | 3,104 | 68,474 | ||||||
Uber Technologies, Inc.* | 33,368 | 1,114,825 | ||||||
Union Pacific Corp. | 17,266 | 3,059,362 | ||||||
Universal Logistics Holdings, Inc. | 2,328 | 45,931 | ||||||
Werner Enterprises, Inc. | 2,716 | 103,262 | ||||||
10,287,159 | ||||||||
Semiconductors & Semiconductor Equipment – 3.9% | ||||||||
Advanced Energy Industries, Inc.* | 1,358 | 91,624 | ||||||
Advanced Micro Devices, Inc.* | 30,458 | 2,293,183 |
Investments | Shares | Value | ||||||
Semiconductors & Semiconductor Equipment – (continued) | ||||||||
Alpha & Omega Semiconductor Ltd.* (a) | 5,820 | $ | 92,305 | |||||
Ambarella, Inc.* | 970 | 53,030 | ||||||
Amkor Technology, Inc.* | 21,534 | 255,178 | ||||||
Analog Devices, Inc.(a) | 9,700 | 1,149,741 | ||||||
Applied Materials, Inc. | 32,204 | 1,907,443 | ||||||
Axcelis Technologies, Inc.* | 1,164 | 25,689 | ||||||
Broadcom, Inc. | 15,132 | 5,290,601 | ||||||
Brooks Automation, Inc. | 2,328 | 108,718 | ||||||
CEVA, Inc.* | 194 | 7,822 | ||||||
Cirrus Logic, Inc.* | 1,940 | 133,608 | ||||||
CMC Materials, Inc. | 970 | 137,924 | ||||||
Cohu, Inc. | 1,552 | 33,725 | ||||||
Cree, Inc.* (a) | 3,492 | 222,091 | ||||||
Diodes, Inc.* | 1,358 | 78,533 | ||||||
Enphase Energy, Inc.* (a) | 2,328 | 228,354 | ||||||
Entegris, Inc. | 3,686 | 275,602 | ||||||
First Solar, Inc.* (a) | 2,134 | 185,754 | ||||||
FormFactor, Inc.* | 2,522 | 71,499 | ||||||
Ichor Holdings Ltd.* | 776 | 18,050 | ||||||
Inphi Corp.* | 1,552 | 216,908 | ||||||
Intel Corp. | 160,438 | 7,104,195 | ||||||
KLA Corp. | 4,074 | 803,311 | ||||||
Kulicke & Soffa Industries, Inc. | 2,134 | 55,783 | ||||||
Lam Research Corp. | 3,686 | 1,260,907 | ||||||
Lattice Semiconductor Corp.* | 4,268 | 148,953 | ||||||
MACOM Technology Solutions Holdings, Inc.* (a) | 1,552 | 56,648 | ||||||
MagnaChip Semiconductor Corp.* | 5,432 | 74,364 | ||||||
Marvell Technology Group Ltd. | 17,848 | 669,478 | ||||||
Maxim Integrated Products, Inc. | 6,596 | 459,411 | ||||||
MaxLinear, Inc.* | 1,552 | 41,035 | ||||||
Microchip Technology, Inc.(a) | 6,208 | 652,337 | ||||||
Micron Technology, Inc.* | 42,874 | 2,158,277 | ||||||
MKS Instruments, Inc. | 1,552 | 168,221 | ||||||
Monolithic Power Systems, Inc. | 1,164 | 372,014 |
See Accompanying Notes to the Financial Statements.
164 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® Morningstar US Market Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Semiconductors & Semiconductor Equipment – (continued) | ||||||||
NeoPhotonics Corp.* | 6,984 | $ | 47,561 | |||||
NVIDIA Corp. | 15,520 | 7,781,107 | ||||||
ON Semiconductor Corp.* | 15,520 | 389,397 | ||||||
Onto Innovation, Inc.* (a) | 1,552 | 49,773 | ||||||
PDF Solutions, Inc.* | 582 | 10,907 | ||||||
Photronics, Inc.* | 2,328 | 22,698 | ||||||
Power Integrations, Inc. | 1,940 | 116,807 | ||||||
Qorvo, Inc.* | 3,298 | 420,033 | ||||||
QUALCOMM, Inc. | 28,906 | 3,565,844 | ||||||
Rambus, Inc.* (a) | 3,880 | 53,505 | ||||||
Semtech Corp.* | 2,134 | 117,135 | ||||||
Silicon Laboratories, Inc.* | 1,358 | 139,141 | ||||||
Skyworks Solutions, Inc. | 4,462 | 630,436 | ||||||
SMART Global Holdings, Inc.* (a) | 1,940 | 51,197 | ||||||
SolarEdge Technologies, Inc.* | 1,552 | 399,935 | ||||||
SunPower Corp.* (a) | 10,088 | 161,307 | ||||||
Synaptics, Inc.* (a) | 1,746 | 133,866 | ||||||
Teradyne, Inc. | 4,462 | 391,987 | ||||||
Texas Instruments, Inc. | 23,474 | 3,394,106 | ||||||
Ultra Clean Holdings, Inc.* (a) | 9,312 | 198,252 | ||||||
Universal Display Corp.(a) | 1,164 | 230,833 | ||||||
Veeco Instruments, Inc.* (a) | 1,746 | 22,227 | ||||||
Xilinx, Inc. | 6,596 | 782,879 | ||||||
46,013,249 | ||||||||
Software – 6.9% | ||||||||
2U, Inc.* (a) | 3,104 | 114,382 | ||||||
8x8, Inc.* (a) | 3,298 | 56,989 | ||||||
ACI Worldwide, Inc.* | 3,686 | 107,521 | ||||||
Adobe, Inc.* | 12,222 | 5,464,456 | ||||||
Alarm.com Holdings, Inc.* (a) | 1,164 | 67,896 | ||||||
Altair Engineering, Inc., Class A* (a) | 1,164 | 50,087 | ||||||
Alteryx, Inc., Class A* (a) | 1,358 | 170,225 | ||||||
Anaplan, Inc.* (a) | 2,910 | 161,068 | ||||||
ANSYS, Inc.* | 2,328 | 708,573 | ||||||
Appfolio, Inc., Class A* | 388 | 55,434 | ||||||
Appian Corp.* (a) | 970 | 61,401 | ||||||
Aspen Technology, Inc.* | 1,746 | 191,728 |
Investments | Shares | Value | ||||||
Software – (continued) | ||||||||
Autodesk, Inc.* | 5,626 | $ | 1,325,148 | |||||
Avalara, Inc.* | 1,940 | 289,157 | ||||||
Avaya Holdings Corp.* (a) | 27,742 | 477,162 | ||||||
Bill.com Holdings, Inc.* | 1,164 | 116,400 | ||||||
Blackbaud, Inc.(a) | 1,552 | 76,576 | ||||||
Blackline, Inc.* (a) | 1,164 | 113,700 | ||||||
Bottomline Technologies DE, Inc.* | 1,358 | 53,940 | ||||||
Box, Inc., Class A* | 5,432 | 84,196 | ||||||
Cadence Design Systems, Inc.* | 7,372 | 806,276 | ||||||
CDK Global, Inc. | 32,592 | 1,404,715 | ||||||
Cerence, Inc.* (a) | 1,164 | 63,531 | ||||||
Ceridian HCM Holding, Inc.* (a) | 2,716 | 234,174 | ||||||
Citrix Systems, Inc. | 3,104 | 351,590 | ||||||
Cloudera, Inc.* (a) | 11,058 | 107,484 | ||||||
Cloudflare, Inc., Class A* | 1,164 | 60,493 | ||||||
CommVault Systems, Inc.* | 1,358 | 53,763 | ||||||
Cornerstone OnDemand, Inc.* (a) | 970 | 36,850 | ||||||
Coupa Software, Inc.* | 1,746 | 467,404 | ||||||
Crowdstrike Holdings, Inc., Class A* | 3,492 | 432,449 | ||||||
Datadog, Inc., Class A* (a) | 4,074 | 369,715 | ||||||
DocuSign, Inc.* | 4,074 | 823,966 | ||||||
Dropbox, Inc., Class A* | 6,984 | 127,528 | ||||||
Dynatrace, Inc.* | 2,910 | 102,752 | ||||||
Ebix, Inc.(a) | 6,402 | 115,620 | ||||||
Elastic NV* | 970 | 98,368 | ||||||
Envestnet, Inc.* | 1,746 | 133,988 | ||||||
Everbridge, Inc.* (a) | 1,164 | 121,859 | ||||||
Fair Isaac Corp.* | 776 | 303,765 | ||||||
Five9, Inc.* (a) | 1,940 | 294,337 | ||||||
Fortinet, Inc.* | 3,686 | 406,824 | ||||||
Guidewire Software, Inc.* | 1,940 | 186,453 | ||||||
HubSpot, Inc.* | 1,164 | 337,641 | ||||||
Intuit, Inc. | 6,596 | 2,075,629 | ||||||
J2 Global, Inc.* (a) | 1,552 | 105,350 | ||||||
LivePerson, Inc.* (a) | 2,522 | 134,826 | ||||||
Manhattan Associates, Inc.* | 1,940 | 165,870 | ||||||
Microsoft Corp. | 190,314 | 38,532,876 | ||||||
MicroStrategy, Inc., Class A* (a) | 194 | 32,412 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 165 |
Table of Contents
FlexShares® Morningstar US Market Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Software – (continued) | ||||||||
Mimecast Ltd.* (a) | 1,746 | $ | 66,715 | |||||
Model N, Inc.* (a) | 970 | 34,173 | ||||||
New Relic, Inc.* | 1,552 | 94,144 | ||||||
NortonLifeLock, Inc. | 12,028 | 247,416 | ||||||
Nuance Communications, Inc.* | 8,924 | 284,765 | ||||||
Nutanix, Inc., Class A* | 3,104 | 75,551 | ||||||
OneSpan, Inc.* (a) | 1,940 | 42,544 | ||||||
Oracle Corp. | 50,440 | 2,830,188 | ||||||
Palo Alto Networks, Inc.* | 2,522 | 557,841 | ||||||
Paycom Software, Inc.* | 1,358 | 494,434 | ||||||
Paylocity Holding Corp.* | 1,164 | 215,945 | ||||||
Pegasystems, Inc.(a) | 970 | 112,404 | ||||||
Pluralsight, Inc., Class A* (a) | 2,910 | 45,687 | ||||||
Progress Software Corp. | 1,552 | 56,446 | ||||||
Proofpoint, Inc.* | 1,552 | 148,588 | ||||||
PROS Holdings, Inc.* (a) | 1,358 | 38,255 | ||||||
PTC, Inc.* | 2,716 | 227,818 | ||||||
Q2 Holdings, Inc.* (a) | 776 | 70,802 | ||||||
QAD, Inc., Class A | 194 | 8,117 | ||||||
Qualys, Inc.* (a) | 970 | 85,215 | ||||||
Rapid7, Inc.* (a) | 1,358 | 84,101 | ||||||
RealPage, Inc.* (a) | 2,134 | 118,842 | ||||||
RingCentral, Inc., Class A* | 1,940 | 501,180 | ||||||
SailPoint Technologies Holding, Inc.* (a) | 2,910 | 120,794 | ||||||
salesforce.com, Inc.* | 22,892 | 5,317,125 | ||||||
ServiceNow, Inc.* | 4,850 | 2,413,215 | ||||||
Slack Technologies, Inc., Class A* (a) | 9,700 | 248,126 | ||||||
Smartsheet, Inc., Class A* (a) | 2,910 | 145,064 | ||||||
SolarWinds Corp.* | 1,746 | 35,671 | ||||||
Splunk, Inc.* | 4,074 | 806,815 | ||||||
SPS Commerce, Inc.* | 970 | 83,022 | ||||||
SS&C Technologies Holdings, Inc. | 5,820 | 344,660 | ||||||
SVMK, Inc.* | 3,104 | 64,967 | ||||||
Synopsys, Inc.* | 4,074 | 871,266 | ||||||
Tenable Holdings, Inc.* (a) | 1,552 | 52,939 | ||||||
Teradata Corp.* (a) | 3,686 | 67,712 | ||||||
Trade Desk, Inc. (The), Class A* (a) | 1,164 | 659,348 |
Investments | Shares | Value | ||||||
Software – (continued) | ||||||||
Tyler Technologies, Inc.* (a) | 970 | $ | 372,849 | |||||
Upland Software, Inc.* (a) | 776 | 32,375 | ||||||
Varonis Systems, Inc.* | 970 | 112,103 | ||||||
Verint Systems, Inc.* | 2,134 | 103,542 | ||||||
VMware, Inc., Class A* | 1,940 | 249,736 | ||||||
Workday, Inc., Class A* | 4,268 | 896,792 | ||||||
Workiva, Inc.* (a) | 1,358 | 75,111 | ||||||
Xperi Holding Corp.(a) | 29,294 | 363,246 | ||||||
Yext, Inc.* (a) | 3,298 | 54,681 | ||||||
Zendesk, Inc.* (a) | 3,104 | 344,358 | ||||||
Zoom Video Communications, Inc., Class A* | 4,462 | 2,056,580 | ||||||
Zscaler, Inc.* | 1,746 | 237,020 | ||||||
Zuora, Inc., Class A* (a) | 2,522 | 24,262 | ||||||
80,829,097 | ||||||||
Specialty Retail – 2.9% | ||||||||
Aaron’s Holdings Co., Inc. | 19,206 | 1,003,705 | ||||||
Abercrombie & Fitch Co., Class A(a) | 1,552 | 22,069 | ||||||
Advance Auto Parts, Inc. | 1,940 | 285,723 | ||||||
American Eagle Outfitters, Inc.(a) | 40,546 | 555,886 | ||||||
America’s Car-Mart, Inc.* | 194 | 16,785 | ||||||
Asbury Automotive Group, Inc.* (a) | 5,626 | 579,365 | ||||||
AutoNation, Inc.* | 15,326 | 869,444 | ||||||
AutoZone, Inc.* | 582 | 657,066 | ||||||
Bed Bath & Beyond, Inc.(a) | 35,890 | 710,622 | ||||||
Best Buy Co., Inc. | 8,924 | 995,472 | ||||||
Boot Barn Holdings, Inc.* (a) | 582 | 18,636 | ||||||
Buckle, Inc. (The)(a) | 7,178 | 171,985 | ||||||
Burlington Stores, Inc.* | 1,746 | 337,991 | ||||||
Caleres, Inc. | 6,984 | 53,637 | ||||||
Camping World Holdings, Inc., Class A | 7,566 | 200,045 | ||||||
CarMax, Inc.* (a) | 5,626 | 486,311 | ||||||
Carvana Co.* (a) | 1,552 | 287,663 | ||||||
Children’s Place, Inc. (The) | 3,104 | 78,438 | ||||||
Designer Brands, Inc., Class A(a) | 16,490 | 71,402 | ||||||
Dick’s Sporting Goods, Inc. | 18,624 | 1,055,050 | ||||||
Five Below, Inc.* | 1,164 | 155,208 |
See Accompanying Notes to the Financial Statements.
166 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® Morningstar US Market Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Specialty Retail – (continued) | ||||||||
Floor & Decor Holdings, Inc., Class A* | 2,134 | $ | 155,782 | |||||
Foot Locker, Inc. | 30,070 | 1,108,982 | ||||||
Gap, Inc. (The) | 58,006 | 1,128,217 | ||||||
Group 1 Automotive, Inc.(a) | 4,656 | 493,908 | ||||||
Guess?, Inc.(a) | 5,432 | 63,989 | ||||||
Home Depot, Inc. (The) | 27,160 | 7,243,844 | ||||||
L Brands, Inc. | 66,930 | 2,142,429 | ||||||
Lithia Motors, Inc., Class A(a) | 7,372 | 1,692,390 | ||||||
Lowe’s Cos., Inc. | 19,400 | 3,067,140 | ||||||
MarineMax, Inc.* (a) | 6,208 | 186,116 | ||||||
Michaels Cos., Inc. (The)* | 28,324 | 229,708 | ||||||
Monro, Inc.(a) | 970 | 40,798 | ||||||
Murphy USA, Inc.* | 970 | 118,621 | ||||||
National Vision Holdings, Inc.* (a) | 2,522 | 101,712 | ||||||
ODP Corp. (The)(a) | 14,938 | 291,291 | ||||||
O’Reilly Automotive, Inc.* | 1,940 | 847,004 | ||||||
Penske Automotive Group, Inc.(a) | 8,342 | 426,777 | ||||||
Rent-A-Center, Inc. | 13,774 | 425,617 | ||||||
RH* (a) | 582 | 195,104 | ||||||
Ross Stores, Inc. | 7,760 | 660,919 | ||||||
Sally Beauty Holdings, Inc.* (a) | 28,712 | 240,319 | ||||||
Shoe Carnival, Inc.(a) | 1,552 | 48,081 | ||||||
Signet Jewelers Ltd. | 10,476 | 233,405 | ||||||
Sleep Number Corp.* (a) | 7,566 | 479,382 | ||||||
Sonic Automotive, Inc., Class A(a) | 7,178 | 258,839 | ||||||
Sportsman’s Warehouse Holdings, Inc.* | 11,834 | 154,079 | ||||||
Tiffany & Co. | 2,910 | 380,744 | ||||||
TJX Cos., Inc. (The) | 31,040 | 1,576,832 | ||||||
Tractor Supply Co. | 3,104 | 413,484 | ||||||
Ulta Beauty, Inc.* | 1,358 | 280,794 | ||||||
Urban Outfitters, Inc.* (a) | 17,654 | 394,390 | ||||||
Williams-Sonoma, Inc.(a) | 2,522 | 230,032 | ||||||
Zumiez, Inc.* (a) | 6,014 | 168,392 | ||||||
34,091,624 |
Investments | Shares | Value | ||||||
Technology Hardware, Storage & Peripherals – 4.2% | ||||||||
Apple, Inc. | 404,490 | $ | 44,032,780 | |||||
Dell Technologies, Inc., Class C* | 7,372 | 444,237 | ||||||
Diebold Nixdorf, Inc.* (a) | 22,892 | 142,617 | ||||||
Hewlett Packard Enterprise Co. | 48,694 | 420,716 | ||||||
HP, Inc. | 56,260 | 1,010,430 | ||||||
NCR Corp.* (a) | 35,308 | 717,459 | ||||||
NetApp, Inc. | 7,178 | 315,042 | ||||||
Pure Storage, Inc., Class A* (a) | 7,372 | 118,689 | ||||||
Seagate Technology plc | 9,312 | 445,300 | ||||||
Super Micro Computer, Inc.* (a) | 9,312 | 211,569 | ||||||
Western Digital Corp. | 11,058 | 417,218 | ||||||
Xerox Holdings Corp. | 50,246 | 873,275 | ||||||
49,149,332 | ||||||||
Textiles, Apparel & Luxury Goods – 1.2% | ||||||||
Capri Holdings Ltd.* | 40,158 | 852,153 | ||||||
Carter’s, Inc. | 776 | 63,205 | ||||||
Columbia Sportswear Co.(a) | 776 | 57,882 | ||||||
Crocs, Inc.* | 2,134 | 111,672 | ||||||
Deckers Outdoor Corp.* | 970 | 245,769 | ||||||
G-III Apparel Group Ltd.* (a) | 10,282 | 138,601 | ||||||
Hanesbrands, Inc.(a) | 99,134 | 1,593,083 | ||||||
Kontoor Brands, Inc.(a) | 10,476 | 344,660 | ||||||
Lululemon Athletica, Inc.* | 2,910 | 929,134 | ||||||
NIKE, Inc., Class B | 31,816 | 3,820,465 | ||||||
Oxford Industries, Inc.(a) | 1,164 | 47,922 | ||||||
PVH Corp.(a) | 20,564 | 1,198,676 | ||||||
Ralph Lauren Corp. | 14,162 | 946,730 | ||||||
Skechers USA, Inc., Class A* | 5,044 | 159,945 | ||||||
Steven Madden Ltd. | 2,522 | 60,553 | ||||||
Tapestry, Inc. | 83,808 | 1,863,052 | ||||||
Under Armour, Inc., Class C* | 12,028 | 147,103 | ||||||
VF Corp. | 8,730 | 586,656 | ||||||
Wolverine World Wide, Inc.(a) | 23,086 | 615,704 | ||||||
13,782,965 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 167 |
Table of Contents
FlexShares® Morningstar US Market Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Thrifts & Mortgage Finance – 0.8% | ||||||||
Axos Financial, Inc.* (a) | 12,610 | $ | 343,749 | |||||
Essent Group Ltd. | 32,204 | 1,283,329 | ||||||
Federal Agricultural Mortgage Corp., Class C | 2,910 | 187,957 | ||||||
Flagstar Bancorp, Inc. | 11,640 | 341,634 | ||||||
HomeStreet, Inc. | 776 | 24,110 | ||||||
Meridian Bancorp, Inc. | 5,044 | 62,798 | ||||||
Meta Financial Group, Inc.(a) | 12,222 | 358,593 | ||||||
MGIC Investment Corp. | 92,926 | 934,836 | ||||||
Mr Cooper Group, Inc.* (a) | 21,534 | 453,937 | ||||||
New York Community Bancorp, Inc. | 132,502 | 1,101,092 | ||||||
NMI Holdings, Inc., Class A* | 24,638 | 529,471 | ||||||
Northfield Bancorp, Inc. | 1,358 | 13,797 | ||||||
Northwest Bancshares, Inc. | 6,596 | 70,379 | ||||||
PennyMac Financial Services, Inc.(a) | 12,222 | 621,122 | ||||||
Premier Financial Corp. | 11,446 | 205,914 | ||||||
Provident Financial Services, Inc.(a) | 21,534 | 292,216 | ||||||
Radian Group, Inc. | 56,260 | 1,009,867 | ||||||
TFS Financial Corp. | 1,940 | 30,477 | ||||||
TrustCo Bank Corp. | 4,074 | 22,387 | ||||||
Walker & Dunlop, Inc.(a) | 8,536 | 536,744 | ||||||
Washington Federal, Inc. | 2,522 | 53,693 | ||||||
WSFS Financial Corp. | 13,968 | 442,646 | ||||||
8,920,748 | ||||||||
Tobacco – 0.6% | ||||||||
Altria Group, Inc. | 67,124 | 2,421,834 | ||||||
Philip Morris International, Inc. | 57,036 | 4,050,697 | ||||||
Turning Point Brands, Inc.(a) | 194 | 7,269 | ||||||
Universal Corp.(a) | 5,820 | 231,927 | ||||||
Vector Group Ltd. | 32,010 | 294,172 | ||||||
7,005,899 | ||||||||
Trading Companies & Distributors – 0.9% | ||||||||
Air Lease Corp. | 29,682 | 808,538 | ||||||
Applied Industrial Technologies, Inc. | 9,118 | 556,654 |
Investments | Shares | Value | ||||||
Trading Companies & Distributors – (continued) | ||||||||
Beacon Roofing Supply, Inc.* | 14,744 | $ | 452,641 | |||||
BMC Stock Holdings, Inc.* | 18,624 | 737,324 | ||||||
Fastenal Co. | 15,326 | 662,543 | ||||||
Foundation Building Materials, Inc.* (a) | 5,238 | 76,265 | ||||||
GATX Corp.(a) | 10,476 | 715,301 | ||||||
GMS, Inc.* (a) | 11,640 | 263,064 | ||||||
H&E Equipment Services, Inc. | 12,028 | 253,069 | ||||||
HD Supply Holdings, Inc.* | 45,590 | 1,817,217 | ||||||
Herc Holdings, Inc.* (a) | 6,984 | 309,810 | ||||||
MRC Global, Inc.* | 6,596 | 28,099 | ||||||
MSC Industrial Direct Co., Inc., Class A(a) | 12,416 | 864,899 | ||||||
NOW, Inc.* | 33,368 | 135,808 | ||||||
Rush Enterprises, Inc., Class A | 2,910 | 104,294 | ||||||
SiteOne Landscape Supply, Inc.* (a) | 1,358 | 162,268 | ||||||
Systemax, Inc. | 388 | 11,031 | ||||||
Triton International Ltd. | 19,594 | 722,627 | ||||||
United Rentals, Inc.* (a) | 2,910 | 518,824 | ||||||
Univar Solutions, Inc.* | 47,724 | 791,741 | ||||||
Watsco, Inc.(a) | 776 | 173,933 | ||||||
WESCO International, Inc.* | 11,834 | 488,034 | ||||||
WW Grainger, Inc. | 1,164 | 407,423 | ||||||
11,061,407 | ||||||||
Transportation Infrastructure – 0.0%(e) | ||||||||
Macquarie Infrastructure Corp. | 1,746 | 45,047 | ||||||
Water Utilities – 0.1% | ||||||||
American States Water Co.(a) | 1,164 | 86,939 | ||||||
American Water Works Co., Inc. | 4,656 | 700,775 | ||||||
California Water Service Group(a) | 1,552 | 69,173 | ||||||
Essential Utilities, Inc. | 5,044 | 207,813 | ||||||
Middlesex Water Co.(a) | 582 | 37,329 | ||||||
SJW Group | 970 | 58,869 | ||||||
York Water Co. (The) | 582 | 24,589 | ||||||
1,185,487 |
See Accompanying Notes to the Financial Statements.
168 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® Morningstar US Market Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Wireless Telecommunication Services – 0.2% | ||||||||
Boingo Wireless, Inc.* | 1,552 | $ | 14,496 | |||||
Shenandoah Telecommunications Co. | 1,552 | 67,698 | ||||||
Telephone & Data Systems, Inc. | 2,134 | 36,278 | ||||||
T-Mobile US, Inc.* | 22,309 | 2,444,397 | ||||||
United States Cellular Corp.* | 2,716 | 79,090 | ||||||
2,641,959 | ||||||||
Total Common Stocks (Cost $817,379,110) |
| 1,164,094,878 | ||||||
Number of Rights | ||||||||
RIGHTS - 0.0%(e) | ||||||||
Biotechnology – 0.0%(e) | ||||||||
Achillion Pharmaceuticals, Inc., CVR* ‡ (d) | 44,344 | 25,720 | ||||||
Media – 0.0%(e) | ||||||||
Media General, Inc., CVR* ‡ (d) | 22,261 | 2,226 | ||||||
TOTAL RIGHTS (Cost $–) |
| 27,946 | ||||||
Number of Warrants | ||||||||
WARRANTS – 0.0%(e) | ||||||||
Oil, Gas & Consumable Fuels – 0.0%(e) | ||||||||
Occidental Petroleum Corp., expiring 8/3/2027, price 22.00 USD* | 4,266 | 10,537 |
Investments | Principal Amount | Value | ||||||
SECURITIES LENDING REINVESTMENTS(f) – 8.7% | ||||||||
CERTIFICATES OF DEPOSIT – 2.4% | ||||||||
Bank of Nova Scotia, Houston (ICE LIBOR USD 3 Month + 0.08%), 0.29%, 7/21/2021(g) | $ | 4,000,000 | $ | 4,000,844 | ||||
Cooperatieve Rabobank UA, London (ICE LIBOR USD 3 Month + 0.08%), 0.29%, 7/30/2021(g) | 5,000,000 | 5,001,950 | ||||||
Nordea Bank Abp, New York Branch (ICE LIBOR USD 3 Month + 0.03%), 0.27%, 10/7/2021(g) | 4,000,000 | 3,999,376 | ||||||
Royal Bank of Canada, New York (ICE LIBOR USD 3 Month + 0.04%), 0.27%, 10/5/2021(g) | 3,000,000 | 2,999,604 | ||||||
Sumitomo Mitsui Trust Bank Ltd., New York (ICE LIBOR USD 3 Month + 0.09%), 0.34%, 12/11/2020(g) | 5,000,000 | 5,000,000 | ||||||
Svenska Handelsbanken, New York (ICE LIBOR USD 1 Month + 0.08%), 0.60%, 11/30/2020(g) | 4,000,000 | 3,998,849 | ||||||
The Sumitomo Bank Ltd., New York (ICE LIBOR USD 3 Month + 0.06%), 0.27%, 1/29/2021(g) | 4,000,000 | 4,000,176 | ||||||
Total Certificates of Deposit (Cost $28,998,596) |
| 29,000,799 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 169 |
Table of Contents
FlexShares® Morningstar US Market Factor Tilt Index Fund (cont.)
Investments | Principal Amount | Value | ||||||
SECURITIES LENDING REINVESTMENTS(f) – (continued) | ||||||||
REPURCHASE AGREEMENTS – 6.3% | ||||||||
BofA Securities, Inc., 0.53%, dated 10/30/2020, due 2/1/2021, repurchase price $6,008,303, collateralized by various Common Stocks; total market value $6,522,109 | $ | 6,000,000 | $ | 6,000,000 | ||||
Citigroup Global Markets Ltd., 0.11%, dated 10/30/2020, due 11/2/2020, repurchase price $6,500,060, collateralized by various U.S. Treasury Securities, ranging from 0.50% – 1.88%, maturing 11/30/2021 – 3/15/2023; Foreign Government Fixed Income Securities, ranging from 0.25% – 0.50%, maturing 11/15/2023 – 12/15/2025; total market value $6,592,314 | 6,500,000 | 6,500,000 | ||||||
Citigroup Global Markets, Inc., 0.07%, dated 10/30/2020, due 11/2/2020, repurchase price $12,334,958, collateralized by various U.S. Treasury Securities, ranging from 2.63% – 5.50%, maturing 8/15/2028 – 4/15/2029; total market value $12,550,975 | 12,334,886 | 12,334,886 |
Investments | Principal Amount | Value | ||||||
REPURCHASE AGREEMENTS – (continued) | ||||||||
Deutsche Bank AG, London Branch, 0.20%, dated 10/30/2020, due 11/2/2020, repurchase price $11,700,195, collateralized by various Foreign Government Fixed Income Securities, ranging from 0.25% – 0.50%, maturing 10/19/2023 – 10/28/2025; total market value $11,928,917 | $ | 11,700,000 | $ | 11,700,000 | ||||
Societe Generale, 0.18%, dated 10/30/2020, due 11/2/2020, repurchase price $37,100,557, collateralized by various Common Stocks; total market value $40,836,828 | 37,100,000 | 37,100,000 | ||||||
Total Repurchase Agreements (Cost $73,634,886) |
| 73,634,886 | ||||||
Total Securities Lending Reinvestments (Cost $102,633,482) |
| 102,635,685 | ||||||
Total Investments – 107.8% (Cost $920,033,709) |
| 1,266,769,046 | ||||||
Liabilities in excess of other assets – (7.8%) |
| (91,982,617 | ) | |||||
Net Assets – 100.0% |
| $ | 1,174,786,429 |
* | Non-income producing security. |
‡ | Value determined using significant unobservable inputs. |
(a) | The security or a portion of this security is on loan at October 31, 2020. The total value of securities on loan at October 31, 2020 was $133,116,681, collateralized in the form of cash with a value of $102,633,369 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Investments; $32,673,237 of collateral in the form of U.S. Government Treasury Securities, interest rates ranging from 0.00% – 8.00%, and maturity dates ranging from November 5, 2020 – May 15, 2050 and $2,871,037 of collateral in the form of Foreign Government Fixed Income Securities, interest rates ranging from 0.00% – 6.00%, and maturity dates ranging from January 22, 2021 – September 20, 2117; a total value of $138,177,643. |
See Accompanying Notes to the Financial Statements.
170 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® Morningstar US Market Factor Tilt Index Fund (cont.)
(b) | Investment in affiliated company. Northern Trust Investments, Inc., the Investment Adviser of the Fund, is a subsidiary of Northern Trust Corporation. |
(c) | Amount represents less than one share. |
(d) | Security fair valued as of October 31, 2020 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at October 31, 2020 amounted to $217,754, which represents approximately 0.02% of net assets of the Fund. |
(e) | Represents less than 0.05% of net assets. |
(f) | The security was purchased with cash collateral held from securities on loan at October 31, 2020. The total value of securities purchased was $102,635,685. |
(g) | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the rate in effect as of October 31, 2020. |
Percentages shown are based on Net Assets.
Abbreviations
CVR – Contingent Value Rights
ICE – Intercontinental Exchange
LIBOR – London Interbank Offered Rate
USD – US Dollar
As of October 31, 2020, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments (including derivative instruments, if applicable) for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 413,038,962 | ||
Aggregate gross unrealized depreciation | (66,547,431 | ) | ||
Net unrealized appreciation | $ | 346,491,531 | ||
Federal income tax cost | $ | 920,104,509 |
Investment in a company which was affiliated for the period ended October 31, 2020, was as follows:
Security | Value October 31, 2019 | Purchases at Cost | Sales Proceeds | Shares October 31, | Value October 31, | Change in Unrealized Appreciation (Depreciation) | Dividend Income | Realized Gain | ||||||||||||||||||||||||
Northern Trust Corp. | $ | 796,044 | $ | 173,813 | $ | 207,884 | 7,372 | $ | 577,006 | $ | (215,176 | ) | $ | 20,862 | $ | 30,209 |
Futures Contracts
FlexShares® Morningstar US Market Factor Tilt Index Fund had the following open futures contracts as of October 31, 2020:
Number of Contracts | Expiration Date | Trading Currency | Notional Amount | Value and Unrealized Appreciation/ (Depreciation)* | ||||||||||||||||
Long Contracts | ||||||||||||||||||||
Russell 2000 E-Mini Index | 26 | 12/18/2020 | USD | $ | 1,997,840 | $ | 6,567 | |||||||||||||
S&P 500 E-Mini Index | 38 | 12/18/2020 | USD | 6,202,930 | (178,018 | ) | ||||||||||||||
S&P Midcap 400 E-Mini Index | 9 | 12/18/2020 | USD | 1,706,040 | (1,555 | ) | ||||||||||||||
$ | (173,006 | ) |
* | This amount represents the cumulative appreciation/depreciation on futures contracts. Current day’s variation margin is reported within the Statement of Assets and Liabilities for futures contracts. |
Abbreviations:
USD – US Dollar
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 171 |
Table of Contents
Schedule of Investments
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund
October 31, 2020
Investments | Shares | Value | ||||||
COMMON STOCKS – 98.1% | ||||||||
Aerospace & Defense – 0.6% | ||||||||
Airbus SE* | 16,790 | $ | 1,224,125 | |||||
BAE Systems plc | 45,908 | 235,655 | ||||||
Bombardier, Inc., Class B* (a) | 949,946 | 199,486 | ||||||
CAE, Inc. | 4,836 | 82,586 | ||||||
Dassault Aviation SA* | 55 | 45,872 | ||||||
Elbit Systems Ltd. | 412 | 46,696 | ||||||
Leonardo SpA | 12,428 | 59,181 | ||||||
LISI* | 9,016 | 145,772 | ||||||
Meggitt plc | 22,412 | 79,199 | ||||||
MTU Aero Engines AG | 828 | 141,347 | ||||||
QinetiQ Group plc | 2,288 | 6,994 | ||||||
Rolls-Royce Holdings plc* (a) | 30,836 | 28,436 | ||||||
Saab AB, Class B* | 2,493 | 57,275 | ||||||
Safran SA* | 5,336 | 562,640 | ||||||
Singapore Technologies Engineering Ltd. | 17,900 | 45,749 | ||||||
Thales SA | 2,116 | 137,734 | ||||||
Ultra Electronics Holdings plc | 1,661 | 40,376 | ||||||
3,139,123 | ||||||||
Air Freight & Logistics – 0.8% | ||||||||
bpost SA | 37,582 | 332,927 | ||||||
Cia de Distribucion Integral Logista Holdings SA | 2,159 | 36,416 | ||||||
Deutsche Post AG (Registered) | 27,094 | 1,200,559 | ||||||
DSV Panalpina A/S | 3,349 | 542,321 | ||||||
Freightways Ltd.(a) | 12,987 | 72,098 | ||||||
ID Logistics Group* | 81 | 18,871 | ||||||
Kerry Logistics Network Ltd. | 40,500 | 84,396 | ||||||
Kintetsu World Express, Inc. | 15,700 | 332,052 | ||||||
Konoike Transport Co. Ltd. | 10,800 | 112,608 | ||||||
Mainfreight Ltd. | 3,192 | 113,812 | ||||||
PostNL NV* | 217,683 | 721,908 | ||||||
Royal Mail plc | 14,455 | 42,427 | ||||||
SG Holdings Co. Ltd. | 4,800 | 115,477 | ||||||
Yamato Holdings Co. Ltd. | 6,200 | 163,333 | ||||||
3,889,205 | ||||||||
Airlines – 0.4% | ||||||||
Air Canada* (a) | 7,592 | 83,872 | ||||||
Air France-KLM* (a) | 9,516 | 31,148 |
Investments | Shares | Value | ||||||
Airlines – (continued) | ||||||||
Air New Zealand Ltd.(a) | 228,988 | $ | 214,900 | |||||
ANA Holdings, Inc.(a) | 4,500 | 97,714 | ||||||
Deutsche Lufthansa AG (Registered)* | 10,660 | 91,540 | ||||||
easyJet plc | 10,440 | 68,278 | ||||||
Exchange Income Corp.(a) | 15,829 | 375,736 | ||||||
Finnair OYJ* (a) | 289,149 | 123,274 | ||||||
Japan Airlines Co. Ltd. | 500 | 8,690 | ||||||
JET2 plc | 57,730 | 634,855 | ||||||
Qantas Airways Ltd. | 35,730 | 105,133 | ||||||
Singapore Airlines Ltd. | 29,999 | 74,476 | ||||||
Wizz Air Holdings plc* (b) | 728 | 30,065 | ||||||
1,939,681 | ||||||||
Auto Components – 1.8% | ||||||||
Aisin Seiki Co. Ltd. | 5,900 | 177,497 | ||||||
ARB Corp. Ltd. | 997 | 21,543 | ||||||
Bridgestone Corp. | 16,300 | 528,573 | ||||||
CIE Automotive SA | 3,217 | 62,955 | ||||||
Cie Generale des Etablissements Michelin SCA | 4,784 | 516,250 | ||||||
Cie Plastic Omnium SA | 720 | 16,396 | ||||||
Continental AG | 2,852 | 303,246 | ||||||
Denso Corp. | 12,900 | 596,998 | ||||||
Dometic Group AB* (c) | 5,962 | 64,194 | ||||||
Exedy Corp. | 13,800 | 172,929 | ||||||
Faurecia SE* | 3,220 | 122,052 | ||||||
FCC Co. Ltd. | 18,400 | 351,138 | ||||||
Freni Brembo SpA* (a) | 3,647 | 37,894 | ||||||
Futaba Industrial Co. Ltd. | 25,600 | 128,073 | ||||||
Gestamp Automocion SA(b) | 68,494 | 209,356 | ||||||
G-Tekt Corp. | 15,700 | 175,863 | ||||||
GUD Holdings Ltd. | 4,852 | 43,034 | ||||||
Hella GmbH & Co. KGaA* | 2,652 | 115,783 | ||||||
HI-LEX Corp.(a) | 13,800 | 145,604 | ||||||
Ichikoh Industries Ltd. | 17,400 | 75,399 | ||||||
Johnson Electric Holdings Ltd.(a) | 138,000 | 285,081 | ||||||
JTEKT Corp. | 2,300 | 18,129 | ||||||
Koito Manufacturing Co. Ltd. | 3,200 | 153,664 | ||||||
KYB Corp.* | 3,300 | 67,585 | ||||||
Linamar Corp. | 22,078 | 721,114 |
See Accompanying Notes to the Financial Statements.
172 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Auto Components – (continued) | ||||||||
Magna International, Inc. | 7,912 | $ | 403,685 | |||||
Musashi Seimitsu Industry Co. Ltd. | 13,800 | 143,491 | ||||||
NGK Spark Plug Co. Ltd. | 2,700 | 47,135 | ||||||
NHK Spring Co. Ltd. | 2,900 | 17,393 | ||||||
Nifco, Inc.(a) | 2,400 | 71,399 | ||||||
Nippon Seiki Co. Ltd. | 18,500 | 207,758 | ||||||
NOK Corp. | 200 | 2,265 | ||||||
Nokian Renkaat OYJ | 4,930 | 151,550 | ||||||
Pacific Industrial Co. Ltd. | 20,700 | 206,921 | ||||||
Piolax, Inc. | 13,800 | 201,178 | ||||||
Pirelli & C SpA* (b) | 2,876 | 11,993 | ||||||
Schaeffler AG (Preference) | 72,818 | 443,195 | ||||||
Stanley Electric Co. Ltd. | 3,800 | 107,595 | ||||||
Sumitomo Electric Industries Ltd. | 18,400 | 201,619 | ||||||
Sumitomo Riko Co. Ltd. | 8,000 | 40,559 | ||||||
Sumitomo Rubber Industries Ltd. | 9,300 | 81,222 | ||||||
TI Fluid Systems plc(a) (b) | 102,442 | 254,318 | ||||||
Tokai Rika Co. Ltd. | 2,400 | 37,306 | ||||||
Topre Corp.(a) | 18,400 | 183,930 | ||||||
Toyo Tire Corp.(a) | 4,600 | 67,852 | ||||||
Toyoda Gosei Co. Ltd. | 2,000 | 50,469 | ||||||
Toyota Boshoku Corp. | 2,700 | 38,896 | ||||||
Toyota Industries Corp.(a) | 6,000 | 385,690 | ||||||
TPR Co. Ltd. | 10,300 | 122,370 | ||||||
TS Tech Co. Ltd. | 2,400 | 66,003 | ||||||
Unipres Corp. | 18,400 | 141,687 | ||||||
Valeo SA | 5,842 | 176,727 | ||||||
Yokohama Rubber Co. Ltd. (The) | 8,000 | 114,100 | ||||||
9,088,656 | ||||||||
Automobiles – 2.3% | ||||||||
Aston Martin Lagonda Global Holdings plc* (a) (b) | 11,844 | 8,308 | ||||||
Bayerische Motoren Werke AG | 8,627 | 589,685 | ||||||
Bayerische Motoren Werke AG (Preference) | 2,092 | 108,197 | ||||||
Daimler AG (Registered) | 22,632 | 1,170,512 | ||||||
Ferrari NV | 1,932 | 344,663 | ||||||
Fiat Chrysler Automobiles NV* | 29,440 | 361,519 |
Investments | Shares | Value | ||||||
Automobiles – (continued) | ||||||||
Honda Motor Co. Ltd. | 45,800 | $ | 1,066,797 | |||||
Isuzu Motors Ltd. | 8,000 | 64,511 | ||||||
Mazda Motor Corp. | 17,900 | 93,490 | ||||||
Mitsubishi Motors Corp.(a) | 9,700 | 17,630 | ||||||
Nissan Motor Co. Ltd. | 60,200 | 210,763 | ||||||
Peugeot SA* | 14,379 | 258,443 | ||||||
Porsche Automobil Holding SE (Preference) | 2,714 | 145,424 | ||||||
Renault SA* | 6,026 | 149,197 | ||||||
Subaru Corp. | 14,200 | 258,830 | ||||||
Suzuki Motor Corp. | 13,800 | 588,355 | ||||||
Toyota Motor Corp. | 70,900 | 4,613,858 | ||||||
Trigano SA | 3,542 | 470,765 | ||||||
Volkswagen AG | 1,159 | 180,368 | ||||||
Volkswagen AG (Preference) | 5,060 | 737,357 | ||||||
Yamaha Motor Co. Ltd. | 6,900 | 97,883 | ||||||
11,536,555 | ||||||||
Banks – 10.2% | ||||||||
77 Bank Ltd. (The) | 36,800 | 511,483 | ||||||
ABN AMRO Bank NV, CVA(b) | 19,073 | 156,542 | ||||||
AIB Group plc* | 45,372 | 50,975 | ||||||
Aktia Bank OYJ | 20,838 | 215,303 | ||||||
Aozora Bank Ltd. | 5,300 | 86,593 | ||||||
Australia & New Zealand Banking Group Ltd. | 81,789 | 1,080,377 | ||||||
Awa Bank Ltd. (The)(a) | 18,400 | 441,431 | ||||||
Banca Monte dei Paschi di Siena SpA* (a) | 15,756 | 18,977 | ||||||
Banca Popolare di Sondrio SCPA* (a) | 222,483 | 390,553 | ||||||
Banco Bilbao Vizcaya Argentaria SA | 217,718 | 624,385 | ||||||
Banco BPM SpA(a) | 677,534 | 1,224,089 | ||||||
Banco Comercial Portugues SA, Class R* (a) | 3,493,332 | 306,818 | ||||||
Banco de Sabadell SA | 116,077 | 35,426 | ||||||
Banco Espirito Santo SA (Registered)* ‡ (d) | 48,647 | – | ||||||
Banco Santander SA | 475,272 | 947,134 | ||||||
Bank Hapoalim BM* | 40,342 | 236,728 | ||||||
Bank Leumi Le-Israel BM | 34,822 | 165,084 | ||||||
Bank of East Asia Ltd. (The) | 36,467 | 65,647 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 173 |
Table of Contents
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Banks – (continued) | ||||||||
Bank of Georgia Group plc* | 18,332 | $ | 212,618 | |||||
Bank of Ireland Group plc* | 400,338 | 983,031 | ||||||
Bank of Kyoto Ltd. (The) | 2,600 | 114,282 | ||||||
Bank of Montreal(a) | 18,078 | 1,075,582 | ||||||
Bank of Nagoya Ltd. (The)(a) | 9,200 | 227,844 | ||||||
Bank of Nova Scotia (The) | 31,694 | 1,315,681 | ||||||
Bank of Okinawa Ltd. (The)(a) | 2,340 | 65,428 | ||||||
Bank of Queensland Ltd.(a) | 27,437 | 123,698 | ||||||
Bank of the Ryukyus Ltd.(a) | 9,200 | 75,684 | ||||||
Bankia SA | 53,716 | 65,825 | ||||||
Bankinter SA | 21,280 | 79,743 | ||||||
Banque Cantonale de Geneve | 480 | 85,625 | ||||||
Banque Cantonale Vaudoise (Registered)(a) | 701 | 67,916 | ||||||
Barclays plc | 490,637 | 676,010 | ||||||
BAWAG Group AG(b) | 3,120 | 114,118 | ||||||
Bendigo & Adelaide Bank Ltd.(a) | 9,158 | 43,025 | ||||||
BNP Paribas SA* | 31,188 | 1,084,613 | ||||||
BPER Banca* (a) | 442,980 | 524,777 | ||||||
Caisse Regionale de Credit Agricole Mutuel de Paris et d’Ile-de-France | 4,140 | 273,627 | ||||||
CaixaBank SA | 121,624 | 221,294 | ||||||
Canadian Imperial Bank of Commerce | 12,834 | 956,570 | ||||||
Canadian Western Bank(a) | 40,112 | 737,049 | ||||||
Chiba Bank Ltd. (The) | 17,400 | 89,380 | ||||||
Close Brothers Group plc | 8,112 | 112,965 | ||||||
comdirect bank AG* | 3,713 | 59,946 | ||||||
Commerzbank AG* | 29,112 | 137,170 | ||||||
Commonwealth Bank of Australia | 28,980 | 1,404,640 | ||||||
Concordia Financial Group Ltd. | 38,321 | 125,733 | ||||||
Credit Agricole SA* | 41,124 | 324,880 | ||||||
Credito Emiliano SpA* | 24,288 | 95,485 | ||||||
Dah Sing Banking Group Ltd.(a) | 130,640 | 112,196 | ||||||
Dah Sing Financial Holdings Ltd. | 92,000 | 228,729 | ||||||
Daishi Hokuetsu Financial Group, Inc.(a) | 23,000 | 439,143 |
Investments | Shares | Value | ||||||
Banks – (continued) | ||||||||
Danske Bank A/S* | 16,284 | $ | 216,459 | |||||
DBS Group Holdings Ltd. | 50,629 | 754,522 | ||||||
DNB ASA | 24,702 | 332,587 | ||||||
Ehime Bank Ltd. (The)(a) | 13,800 | 147,584 | ||||||
Erste Group Bank AG | 7,222 | 147,893 | ||||||
FIBI Holdings Ltd. | 3,458 | 87,298 | ||||||
FinecoBank Banca Fineco SpA* | 6,110 | 83,628 | ||||||
Fukuoka Financial Group, Inc. | 7,400 | 123,027 | ||||||
Graubuendner Kantonalbank | 7 | 11,647 | ||||||
Gunma Bank Ltd. (The)(a) | 21,800 | 68,816 | ||||||
Hachijuni Bank Ltd. (The) | 20,800 | 76,403 | ||||||
Hang Seng Bank Ltd. | 13,800 | 212,120 | ||||||
Hirogin Holdings, Inc.(a) | 14,600 | 79,047 | ||||||
Hokkoku Bank Ltd. (The) | 8,100 | 229,348 | ||||||
Hokuhoku Financial Group, Inc. | 54,600 | 514,976 | ||||||
HSBC Holdings plc | 562,580 | 2,360,828 | ||||||
Hyakugo Bank Ltd. (The) | 82,800 | 252,661 | ||||||
Hyakujushi Bank Ltd. (The)(a) | 13,800 | 218,867 | ||||||
ING Groep NV | 114,034 | 778,266 | ||||||
Intesa Sanpaolo SpA* | 505,380 | 835,707 | ||||||
Israel Discount Bank Ltd., Class A | 41,464 | 116,872 | ||||||
Juroku Bank Ltd. (The)(a) | 15,600 | 284,871 | ||||||
Jyske Bank A/S (Registered)* | 26,312 | 783,212 | ||||||
KBC Group NV | 9,292 | 458,171 | ||||||
Keiyo Bank Ltd. (The) | 43,700 | 196,052 | ||||||
Kiyo Bank Ltd. (The) | 29,800 | 444,406 | ||||||
Kyushu Financial Group, Inc. | 7,600 | 35,405 | ||||||
Laurentian Bank of Canada | 17,434 | 342,705 | ||||||
Liberbank SA* | 954,638 | 254,650 | ||||||
Lloyds Banking Group plc | 1,877,260 | 680,250 | ||||||
Luzerner Kantonalbank AG (Registered)* | 204 | 86,804 | ||||||
Mebuki Financial Group, Inc. | 4,610 | 9,216 | ||||||
Mediobanca Banca di Credito Finanziario SpA(a) | 15,456 | 109,608 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 338,700 | 1,329,010 | ||||||
Mizrahi Tefahot Bank Ltd. | 1,889 | 36,942 | ||||||
Mizuho Financial Group, Inc. | 71,829 | 880,513 | ||||||
Musashino Bank Ltd. (The)(a) | 16,900 | 249,604 |
See Accompanying Notes to the Financial Statements.
174 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Banks – (continued) | ||||||||
Nanto Bank Ltd. (The)(a) | 13,846 | $ | 244,762 | |||||
National Australia Bank Ltd.(a) | 84,594 | 1,104,954 | ||||||
National Bank of Canada(a) | 8,648 | 414,710 | ||||||
Natwest Group plc | 123,372 | 198,124 | ||||||
NIBC Holding NV(b) | 13,604 | 117,107 | ||||||
Nishi-Nippon Financial Holdings, Inc. | 55,200 | 371,731 | ||||||
Nordea Bank Abp | 86,756 | 649,904 | ||||||
North Pacific Bank Ltd.(a) | 92,000 | 193,610 | ||||||
Ogaki Kyoritsu Bank Ltd. (The)(a) | 1,200 | 26,654 | ||||||
Oversea-Chinese Banking Corp. Ltd. | 56,470 | 348,208 | ||||||
Raiffeisen Bank International AG* | 6,302 | 90,587 | ||||||
Resona Holdings, Inc. | 64,400 | 210,991 | ||||||
Ringkjoebing Landbobank A/S | 1,100 | 83,729 | ||||||
Royal Bank of Canada | 21,482 | 1,500,929 | ||||||
San-In Godo Bank Ltd. (The) | 55,200 | 276,686 | ||||||
Sbanken ASA* (b) | 33,028 | 209,041 | ||||||
Senshu Ikeda Holdings, Inc.(a) | 82,800 | 125,935 | ||||||
Seven Bank Ltd. | 3,800 | 8,688 | ||||||
Shiga Bank Ltd. (The)(a) | 1,000 | 21,513 | ||||||
Shinsei Bank Ltd. | 5,200 | 62,277 | ||||||
Shizuoka Bank Ltd. (The)(a) | 8,400 | 56,246 | ||||||
Skandinaviska Enskilda Banken AB, Class A* | 35,972 | 308,349 | ||||||
Skandinaviska Enskilda Banken AB, Class C* | 684 | 6,286 | ||||||
Societe Generale SA* | 24,288 | 329,317 | ||||||
Spar Nord Bank A/S* | 35,926 | 309,152 | ||||||
SpareBank 1 Nord Norge | 51,704 | 345,095 | ||||||
Sparebank 1 Oestlandet | 15,456 | 137,601 | ||||||
SpareBank 1 SMN | 48,668 | 416,986 | ||||||
SpareBank 1 SR-Bank ASA | 8,041 | 63,764 | ||||||
Sparebanken Vest | 39,284 | 250,281 | ||||||
St Galler Kantonalbank AG (Registered) | 110 | 46,326 | ||||||
Standard Chartered plc | 82,340 | 374,546 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 36,800 | 1,014,165 | ||||||
Sumitomo Mitsui Trust Holdings, Inc. | 9,200 | 244,961 |
Investments | Shares | Value | ||||||
Banks – (continued) | ||||||||
Suruga Bank Ltd.(a) | 85,400 | $ | 276,933 | |||||
Svenska Handelsbanken AB, Class A* | 38,272 | 310,092 | ||||||
Svenska Handelsbanken AB, Class B* (a) | 908 | 8,763 | ||||||
Swedbank AB, Class A* | 23,046 | 361,180 | ||||||
Sydbank A/S* | 26,588 | 453,433 | ||||||
TBC Bank Group plc* | 19,320 | 229,573 | ||||||
Toho Bank Ltd. (The) | 13,600 | 29,531 | ||||||
TOMONY Holdings, Inc.(a) | 82,800 | 248,701 | ||||||
Toronto-Dominion Bank (The) | 48,668 | 2,145,502 | ||||||
Unicaja Banco SA* (b) | 408,388 | 259,976 | ||||||
UniCredit SpA* | 55,706 | 415,355 | ||||||
United Overseas Bank Ltd. | 39,026 | 542,734 | ||||||
Valiant Holding AG (Registered) | 1,000 | 80,192 | ||||||
Van Lanschot Kempen NV, CVA | 18,952 | 379,711 | ||||||
Virgin Money UK plc* (a) | 563,546 | 678,824 | ||||||
Walliser Kantonalbank (Registered) | 485 | 56,885 | ||||||
Westpac Banking Corp. | 104,834 | 1,318,528 | ||||||
Yamagata Bank Ltd. (The) | 2,200 | 27,021 | ||||||
Yamaguchi Financial Group, Inc.(a) | 13,300 | 86,003 | ||||||
50,713,979 | ||||||||
Beverages – 1.0% | ||||||||
AG Barr plc* | 4,785 | 29,172 | ||||||
Anheuser-Busch InBev SA/NV | 14,490 | 752,114 | ||||||
Asahi Group Holdings Ltd. | 8,500 | 262,058 | ||||||
Britvic plc | 7,320 | 69,850 | ||||||
C&C Group plc* | 136,344 | 285,242 | ||||||
Carlsberg A/S, Class B | 1,794 | 227,076 | ||||||
Coca-Cola Amatil Ltd. | 11,076 | 96,682 | ||||||
Coca-Cola Bottlers Japan Holdings, Inc. | 3,354 | 47,259 | ||||||
Coca-Cola European Partners plc | 3,645 | 130,163 | ||||||
Coca-Cola HBC AG, DI | 4,000 | 90,769 | ||||||
Diageo plc | 34,960 | 1,129,630 | ||||||
Fevertree Drinks plc | 2,199 | 57,293 | ||||||
Goldin Financial Holdings Ltd.* (d) | 980,000 | 72,032 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 175 |
Table of Contents
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Beverages – (continued) | ||||||||
Heineken Holding NV | 1,564 | $ | 120,878 | |||||
Heineken NV | 3,358 | 298,061 | ||||||
Ito En Ltd.(a) | 800 | 50,583 | ||||||
Kirin Holdings Co. Ltd. | 13,838 | 248,724 | ||||||
Molson Coors Canada, Inc., Class B | 156 | 5,484 | ||||||
Pernod Ricard SA | 2,990 | 482,033 | ||||||
Primo Water Corp. | 5,512 | 69,037 | ||||||
Remy Cointreau SA(a) | 584 | 98,639 | ||||||
Royal Unibrew A/S | 1,210 | 118,171 | ||||||
Sapporo Holdings Ltd.(a) | 1,800 | 29,271 | ||||||
Suntory Beverage & Food Ltd. | 3,000 | 103,310 | ||||||
Takara Holdings, Inc. | 8,600 | 86,378 | ||||||
Treasury Wine Estates Ltd. | 14,352 | 92,422 | ||||||
5,052,331 | ||||||||
Biotechnology – 0.6% | ||||||||
Abcam plc | 4,545 | 86,564 | ||||||
Argenx SE* | 736 | 183,811 | ||||||
Aurinia Pharmaceuticals, Inc.* | 4,368 | 68,304 | ||||||
Avita Therapeutics, Inc., CHDI* (a) | 2,922 | 12,168 | ||||||
Bavarian Nordic A/S* (a) | 2,132 | 56,473 | ||||||
BioGaia AB, Class B | 1,134 | 53,954 | ||||||
Clinuvel Pharmaceuticals Ltd. | 1,368 | 19,848 | ||||||
CSL Ltd. | 7,084 | 1,430,536 | ||||||
Galapagos NV* | 966 | 114,100 | ||||||
Genmab A/S* | 874 | 291,130 | ||||||
Genus plc | 520 | 27,580 | ||||||
Grifols SA(a) | 3,726 | 100,650 | ||||||
Grifols SA (Preference), Class B | 5,680 | 95,937 | ||||||
Hansa Biopharma AB* | 2,660 | 71,004 | ||||||
HEALIOS KK* | 1,100 | 19,835 | ||||||
Mesoblast Ltd.* (a) | 16,640 | 35,757 | ||||||
MorphoSys AG* | 920 | 93,835 | ||||||
PeptiDream, Inc.* | 2,500 | 115,386 | ||||||
Pharma Mar SA | 432 | 57,920 | ||||||
SanBio Co. Ltd.* (a) | 2,200 | 34,955 | ||||||
Swedish Orphan Biovitrum AB* | 5,613 | 96,922 | ||||||
Vitrolife AB* | 1,652 | 40,237 | ||||||
3,106,906 |
Investments | Shares | Value | ||||||
Building Products – 1.0% | ||||||||
AGC, Inc. | 4,600 | $ | 142,787 | |||||
Aica Kogyo Co. Ltd. | 1,500 | 50,363 | ||||||
Assa Abloy AB, Class B | 16,652 | 357,317 | ||||||
Bunka Shutter Co. Ltd. | 29,300 | 229,826 | ||||||
Central Glass Co. Ltd.(a) | 14,000 | 299,177 | ||||||
Cie de Saint-Gobain* | 14,628 | 570,821 | ||||||
Daikin Industries Ltd. | 4,700 | 875,799 | ||||||
dormakaba Holding AG | 20 | 9,191 | ||||||
Geberit AG (Registered) | 506 | 288,181 | ||||||
GWA Group Ltd.(a) | 17,760 | 32,926 | ||||||
James Halstead plc | 4,686 | 28,296 | ||||||
Kingspan Group plc | 2,761 | 240,729 | ||||||
Lindab International AB | 3,680 | 56,888 | ||||||
LIXIL Group Corp. | 4,400 | 94,953 | ||||||
Munters Group AB* (b) | 48 | 358 | ||||||
Nibe Industrier AB, Class B* | 8,842 | 213,174 | ||||||
Nichias Corp. | 800 | 17,264 | ||||||
Nichiha Corp. | 13,800 | 401,301 | ||||||
Reliance Worldwide Corp. Ltd. | 23,739 | 68,517 | ||||||
ROCKWOOL International A/S, Class A | 220 | 76,931 | ||||||
ROCKWOOL International A/S, Class B | 174 | 68,005 | ||||||
Sanwa Holdings Corp. | 9,800 | 111,368 | ||||||
Schweiter Technologies AG | 56 | 76,373 | ||||||
Sekisui Jushi Corp. | 3,600 | 72,282 | ||||||
Takara Standard Co. Ltd. | 2,176 | 28,412 | ||||||
Takasago Thermal Engineering Co. Ltd. | 3,400 | 44,947 | ||||||
Tarkett SA* | 14,344 | 173,770 | ||||||
TOTO Ltd. | 3,900 | 177,018 | ||||||
Uponor OYJ | 7,733 | 144,305 | ||||||
4,951,279 | ||||||||
Capital Markets – 3.0% | ||||||||
3i Group plc | 32,706 | 406,396 | ||||||
Amundi SA* (b) | 1,440 | 94,437 | ||||||
Anima Holding SpA(b) | 122,314 | 457,353 | ||||||
Ashmore Group plc | 9,588 | 44,159 | ||||||
ASX Ltd. | 2,198 | 122,912 | ||||||
Avanza Bank Holding AB | 2,704 | 51,339 | ||||||
Azimut Holding SpA | 5,680 | 95,904 | ||||||
Banca Generali SpA | 1,397 | 39,706 |
See Accompanying Notes to the Financial Statements.
176 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Capital Markets – (continued) | ||||||||
Brederode SA* | 80 | $ | 6,570 | |||||
Brewin Dolphin Holdings plc | 17,746 | 55,758 | ||||||
Brookfield Asset Management, Inc., Class A | 22,172 | 658,319 | ||||||
Bure Equity AB(a) | 20,333 | 590,723 | ||||||
CI Financial Corp. | 5,304 | 61,778 | ||||||
Credit Suisse Group AG (Registered) | 63,848 | 600,758 | ||||||
Daiwa Securities Group, Inc. | 23,000 | 92,625 | ||||||
Deutsche Bank AG (Registered)* | 32,936 | 303,126 | ||||||
Deutsche Boerse AG | 2,806 | 412,984 | ||||||
EFG International AG* | 6,000 | 32,470 | ||||||
EQT AB | 6,188 | 117,870 | ||||||
Euronext NV(b) | 1,464 | 152,713 | ||||||
Fairfax India Holdings Corp.* (b) | 44,666 | 341,695 | ||||||
Flow Traders(b) | 2,452 | 80,317 | ||||||
GAM Holding AG* (a) | 11,400 | 18,346 | ||||||
GMO Financial Holdings, Inc. | 15,200 | 87,094 | ||||||
Haitong International Securities Group Ltd.(a) | 828,000 | 187,919 | ||||||
Hargreaves Lansdown plc | 5,061 | 88,506 | ||||||
Hong Kong Exchanges & Clearing Ltd. | 18,458 | 881,146 | ||||||
IG Group Holdings plc | 673 | 6,622 | ||||||
IGM Financial, Inc.(a) | 4,992 | 109,511 | ||||||
Intermediate Capital Group plc | 6,864 | 103,928 | ||||||
Investec plc(a) | 306,084 | 567,331 | ||||||
IOOF Holdings Ltd.(a) | 269,882 | 553,412 | ||||||
IP Group plc* | 447,258 | 459,752 | ||||||
JAFCO Group Co. Ltd. | 14,100 | 633,920 | ||||||
Japan Exchange Group, Inc. | 7,600 | 184,838 | ||||||
Julius Baer Group Ltd. | 5,980 | 267,112 | ||||||
Jupiter Fund Management plc | 12,849 | 38,577 | ||||||
Leonteq AG | 208 | 7,364 | ||||||
London Stock Exchange Group plc | 5,290 | 566,213 | ||||||
Macquarie Group Ltd. | 4,646 | 413,541 | ||||||
Magellan Financial Group Ltd. | 2,640 | 102,152 | ||||||
Man Group plc | 61,623 | 85,694 | ||||||
Monex Group, Inc. | 36,800 | 88,005 |
Investments | Shares | Value | ||||||
Capital Markets – (continued) | ||||||||
Natixis SA* (a) | 27,241 | $ | 63,336 | |||||
Ninety One plc* | 151,708 | 404,086 | ||||||
Nomura Holdings, Inc. | 86,600 | 384,788 | ||||||
Okasan Securities Group, Inc.(a) | 12,500 | 40,654 | ||||||
Partners Group Holding AG | 322 | 290,399 | ||||||
Pendal Group Ltd.(a) | 6,964 | 31,641 | ||||||
Perpetual Ltd. | 3,971 | 75,851 | ||||||
Platinum Asset Management Ltd. | 16 | 34 | ||||||
Quilter plc(b) | 83,720 | 132,281 | ||||||
Rathbone Brothers plc | 2,584 | 48,446 | ||||||
Ratos AB, Class B | 84,548 | 308,513 | ||||||
Rothschild & Co.* (a) | 16,422 | 422,755 | ||||||
Sanne Group plc | 9,329 | 73,098 | ||||||
SBI Holdings, Inc. | 9,600 | 219,751 | ||||||
Schroders plc | 960 | 32,447 | ||||||
Schroders plc (Non-Voting) | 96 | 2,279 | ||||||
Singapore Exchange Ltd. | 7,600 | 48,199 | ||||||
St James’s Place plc | 8,712 | 101,291 | ||||||
Standard Life Aberdeen plc | 36,296 | 105,359 | ||||||
TMX Group Ltd. | 1,371 | 133,116 | ||||||
Tokai Tokyo Financial Holdings, Inc. | 73,600 | 187,978 | ||||||
TP ICAP plc | 18,772 | 46,311 | ||||||
UBS Group AG (Registered) | 101,430 | 1,178,029 | ||||||
Value Partners Group Ltd.(a) | 8,000 | 3,487 | ||||||
VNV Global AB* (a) | 25,576 | 221,822 | ||||||
Vontobel Holding AG (Registered)(a) | 339 | 20,749 | ||||||
VZ Holding AG | 285 | 23,912 | ||||||
14,871,507 | ||||||||
Chemicals – 3.3% | ||||||||
ADEKA Corp. | 4,200 | 54,157 | ||||||
Air Liquide SA | 7,636 | 1,116,297 | ||||||
Air Water, Inc. | 6,000 | 85,517 | ||||||
Akzo Nobel NV | 3,495 | 336,684 | ||||||
Arkema SA | 1,794 | 175,705 | ||||||
Asahi Kasei Corp. | 36,800 | 316,957 | ||||||
BASF SE | 24,012 | 1,316,566 | ||||||
Borregaard ASA | 6,375 | 85,233 | ||||||
C Uyemura & Co. Ltd. | 2,200 | 143,314 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 177 |
Table of Contents
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Chemicals – (continued) | ||||||||
Chr Hansen Holding A/S | 1,656 | $ | 166,806 | |||||
Chugoku Marine Paints Ltd. | 9,500 | 90,420 | ||||||
CI Takiron Corp. | 27,600 | 175,569 | ||||||
Clariant AG (Registered) | 2,836 | 48,641 | ||||||
Corbion NV | 1,352 | 61,578 | ||||||
Covestro AG(b) | 832 | 39,706 | ||||||
Croda International plc | 2,668 | 208,156 | ||||||
Daicel Corp. | 100 | 712 | ||||||
DIC Corp. | 2,899 | 70,326 | ||||||
Elkem ASA(b) | 7 | 15 | ||||||
EMS-Chemie Holding AG (Registered)(a) | 156 | 137,184 | ||||||
Evonik Industries AG | 4,348 | 104,689 | ||||||
FUCHS PETROLUB SE | 55 | 2,108 | ||||||
FUCHS PETROLUB SE (Preference) | 1,182 | 60,829 | ||||||
Fuso Chemical Co. Ltd. | 1,100 | 37,512 | ||||||
Givaudan SA (Registered) | 138 | 562,509 | ||||||
Hexpol AB | 5,784 | 50,945 | ||||||
ICL Group Ltd. | 5,140 | 18,740 | ||||||
Incitec Pivot Ltd.(a) | 54,091 | 72,932 | ||||||
Israel Corp. Ltd. (The)* | 243 | 27,249 | ||||||
JCU Corp. | 500 | 15,640 | ||||||
Johnson Matthey plc | 3,360 | 93,363 | ||||||
JSP Corp. | 2,300 | 32,650 | ||||||
JSR Corp. | 3,100 | 69,568 | ||||||
K+S AG (Registered) | 9,758 | 65,381 | ||||||
Kaneka Corp. | 4,400 | 122,395 | ||||||
Kansai Paint Co. Ltd. | 5,500 | 141,472 | ||||||
Kanto Denka Kogyo Co. Ltd.(a) | 20,800 | 139,476 | ||||||
Koninklijke DSM NV | 3,040 | 486,730 | ||||||
Konishi Co. Ltd. | 8,300 | 120,522 | ||||||
Kumiai Chemical Industry Co. Ltd.(a) | 8,000 | 76,449 | ||||||
Kuraray Co. Ltd. | 6,700 | 61,655 | ||||||
Kureha Corp. | 9,200 | 388,540 | ||||||
LANXESS AG | 2,254 | 114,265 | ||||||
Lenzing AG* (a) | 485 | 33,897 | ||||||
Lintec Corp. | 1,800 | 39,774 | ||||||
Methanex Corp.(a) | 29,210 | 865,335 | ||||||
Mitsubishi Chemical Holdings Corp. | 28,300 | 158,690 |
Investments | Shares | Value | ||||||
Chemicals – (continued) | ||||||||
Mitsubishi Gas Chemical Co., Inc. | 6,200 | $ | 112,269 | |||||
Mitsui Chemicals, Inc. | 5,600 | 142,812 | ||||||
Nihon Parkerizing Co. Ltd. | 1,900 | 18,666 | ||||||
Nippon Kayaku Co. Ltd. | 8,100 | 69,424 | ||||||
Nippon Paint Holdings Co. Ltd. | 3,200 | 287,431 | ||||||
Nippon Sanso Holdings Corp. | 7,200 | 105,169 | ||||||
Nippon Shokubai Co. Ltd. | 400 | 19,514 | ||||||
Nippon Soda Co. Ltd. | 12,439 | 325,432 | ||||||
Nissan Chemical Corp. | 3,800 | 200,650 | ||||||
Nitto Denko Corp. | 3,300 | 230,754 | ||||||
NOF Corp. | 2,000 | 74,900 | ||||||
Novozymes A/S, Class B | 4,002 | 240,504 | ||||||
Nufarm Ltd.* | 23,520 | 56,818 | ||||||
Nutrien Ltd. | 7,268 | 295,222 | ||||||
OCI NV* | 1,318 | 15,798 | ||||||
Okamoto Industries, Inc. | 600 | 24,593 | ||||||
Orica Ltd. | 4,722 | 50,603 | ||||||
Osaka Soda Co. Ltd.(a) | 10,000 | 237,421 | ||||||
Sakata INX Corp. | 18,800 | 195,121 | ||||||
Sanyo Chemical Industries Ltd. | 8,000 | 337,478 | ||||||
Shikoku Chemicals Corp. | 7,600 | 83,314 | ||||||
Shin-Etsu Chemical Co. Ltd. | 5,600 | 744,060 | ||||||
Shin-Etsu Polymer Co. Ltd. | 14,200 | 125,646 | ||||||
Showa Denko KK(a) | 1,700 | 28,734 | ||||||
Sika AG (Registered) | 1,932 | 475,754 | ||||||
SOL SpA | 3,009 | 39,607 | ||||||
Solvay SA | 1,656 | 134,451 | ||||||
Sumitomo Bakelite Co. Ltd. | 3,000 | 84,370 | ||||||
Sumitomo Chemical Co. Ltd. | 39,800 | 129,443 | ||||||
Symrise AG | 2,070 | 255,230 | ||||||
Synthomer plc | 153,459 | 748,450 | ||||||
T Hasegawa Co. Ltd. | 900 | 17,511 | ||||||
Taiyo Holdings Co. Ltd. | 900 | 46,920 | ||||||
Teijin Ltd. | 3,000 | 45,801 | ||||||
Tenma Corp. | 1,100 | 19,224 | ||||||
Tessenderlo Group SA* | 779 | 26,497 | ||||||
Toagosei Co. Ltd. | 5,300 | 55,920 | ||||||
Tokai Carbon Co. Ltd. | 11,000 | 124,268 | ||||||
Tokuyama Corp. | 3,200 | 70,832 | ||||||
Tokyo Ohka Kogyo Co. Ltd. | 700 | 41,314 | ||||||
Toray Industries, Inc. | 41,400 | 186,288 | ||||||
Tosoh Corp. | 12,600 | 203,692 |
See Accompanying Notes to the Financial Statements.
178 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Chemicals – (continued) | ||||||||
Toyo Ink SC Holdings Co. Ltd. | 1,600 | $ | 29,631 | |||||
Toyobo Co. Ltd.(a) | 41,400 | 548,489 | ||||||
Ube Industries Ltd. | 3,900 | 66,666 | ||||||
Umicore SA | 3,404 | 131,009 | ||||||
Victrex plc | 2,830 | 67,512 | ||||||
Wacker Chemie AG | 786 | 75,828 | ||||||
Yara International ASA | 3,588 | 124,807 | ||||||
Zeon Corp.(a) | 8,000 | 96,805 | ||||||
16,461,510 | ||||||||
Commercial Services & Supplies – 1.1% | ||||||||
Aggreko plc | 114,494 | 653,452 | ||||||
Babcock International Group plc | 14,064 | 39,497 | ||||||
Bell System24 Holdings, Inc. | 5,600 | 84,102 | ||||||
Biffa plc(b) | 5,928 | 16,633 | ||||||
Bilfinger SE | 12,650 | 231,050 | ||||||
Boyd Group Services, Inc. | 208 | 29,813 | ||||||
Brambles Ltd. | 26,818 | 180,608 | ||||||
Bravida Holding AB(b) | 988 | 11,399 | ||||||
Cleanaway Waste Management Ltd. | 56,747 | 81,694 | ||||||
Coor Service Management Holding AB* (b) | 6,692 | 43,079 | ||||||
Dai Nippon Printing Co. Ltd. | 3,900 | 72,337 | ||||||
Daiseki Co. Ltd. | 2,500 | 63,373 | ||||||
Downer EDI Ltd. | 34,707 | 107,241 | ||||||
Duskin Co. Ltd.(a) | 3,700 | 94,217 | ||||||
Elis SA* | 2,812 | 30,807 | ||||||
Elis SA – XLON* | 4,520 | 49,453 | ||||||
G4S plc* | 74,776 | 197,335 | ||||||
HomeServe plc | 8,123 | 116,059 | ||||||
Intrum AB | 4,732 | 115,892 | ||||||
ISS A/S* | 3,956 | 51,336 | ||||||
Kokuyo Co. Ltd. | 5,600 | 75,745 | ||||||
Lassila & Tikanoja OYJ | 960 | 14,537 | ||||||
Loomis AB* | 2,271 | 50,695 | ||||||
Mitsubishi Pencil Co. Ltd. | 1,800 | 23,124 | ||||||
Nippon Kanzai Co. Ltd. | 1,300 | 25,318 | ||||||
Okamura Corp. | 43,200 | 328,938 | ||||||
Park24 Co. Ltd.* (a) | 2,200 | 29,631 | ||||||
PayPoint plc | 3,648 | 23,773 |
Investments | Shares | Value | ||||||
Commercial Services & Supplies – (continued) | ||||||||
Pilot Corp. | 500 | $ | 13,904 | |||||
Prestige International, Inc. | 4,000 | 33,901 | ||||||
Prosegur Cash SA(b) | 163,760 | 126,853 | ||||||
Prosegur Cia de Seguridad SA | 105,938 | 242,361 | ||||||
Relia, Inc. | 2,100 | 23,804 | ||||||
Rentokil Initial plc | 33,672 | 229,009 | ||||||
Ritchie Bros Auctioneers, Inc. | 2,886 | 174,803 | ||||||
Sato Holdings Corp. | 1,100 | 20,803 | ||||||
Secom Co. Ltd. | 4,400 | 370,174 | ||||||
Securitas AB, Class B* | 7,047 | 99,714 | ||||||
Serco Group plc | 57,046 | 95,446 | ||||||
Smart Metering Systems plc | 5,165 | 38,801 | ||||||
Societe BIC SA | 770 | 36,864 | ||||||
Sohgo Security Services Co. Ltd. | 2,900 | 134,680 | ||||||
SPIE SA | 1,216 | 19,179 | ||||||
TOMRA Systems ASA | 2,590 | 104,236 | ||||||
Toppan Printing Co. Ltd. | 4,600 | 58,215 | ||||||
Transcontinental, Inc., Class A(a) | 35,466 | 419,735 | ||||||
Waste Connections, Inc. | 3,634 | 359,925 | ||||||
5,443,545 | ||||||||
Communications Equipment – 0.3% | ||||||||
Evertz Technologies Ltd. | 1,712 | 15,113 | ||||||
Gilat Satellite Networks Ltd.* | 22,770 | 134,350 | ||||||
Nokia OYJ* | 70,518 | 238,214 | ||||||
Spirent Communications plc | 5,928 | 22,190 | ||||||
Telefonaktiebolaget LM Ericsson, Class A | 3,789 | 45,292 | ||||||
Telefonaktiebolaget LM Ericsson, Class B | 41,963 | 468,039 | ||||||
VTech Holdings Ltd.(a) | 69,000 | 457,784 | ||||||
1,380,982 | ||||||||
Construction & Engineering – 2.2% | ||||||||
ACS Actividades de Construccion y Servicios SA | 8,077 | 191,933 | ||||||
Aecon Group, Inc. | 294 | 3,135 | ||||||
AF Gruppen ASA | 2,860 | 46,376 | ||||||
Arcadis NV* (a) | 34,351 | 800,275 | ||||||
Ashtrom Group Ltd. | 832 | 10,605 | ||||||
Badger Daylighting Ltd.(a) | 2,812 | 81,533 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 179 |
Table of Contents
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Construction & Engineering – (continued) | ||||||||
Balfour Beatty plc | 6,760 | $ | 18,670 | |||||
Boskalis Westminster* | 218 | 4,398 | ||||||
Bouygues SA | 5,934 | 194,579 | ||||||
Chiyoda Corp.* (a) | 45,400 | 97,714 | ||||||
Cie d’Entreprises CFE* | 282 | 17,443 | ||||||
CIMIC Group Ltd.* | 5,661 | 85,472 | ||||||
COMSYS Holdings Corp. | 4,300 | 108,837 | ||||||
Dai-Dan Co. Ltd.(a) | 9,300 | 227,474 | ||||||
Eiffage SA* | 1,840 | 133,572 | ||||||
Elco Ltd. | 2,668 | 101,031 | ||||||
Elecnor SA | 21,850 | 222,450 | ||||||
Electra Ltd. | 103 | 45,081 | ||||||
Ferrovial SA | 5,060 | 109,484 | ||||||
Fomento de Construcciones y Contratas SA | 3,696 | 31,256 | ||||||
Gold-Finance Holdings Ltd.* ‡ (b) (d) | 89,827 | 417 | ||||||
Hazama Ando Corp. | 15,600 | 96,698 | ||||||
Hibiya Engineering Ltd.(a) | 4,600 | 74,144 | ||||||
HOCHTIEF AG | 442 | 32,539 | ||||||
JDC Corp. | 23,000 | 118,806 | ||||||
JGC Holdings Corp. | 5,400 | 44,165 | ||||||
John Laing Group plc(b) | 312 | 1,135 | ||||||
Kajima Corp. | 12,700 | 135,091 | ||||||
Kandenko Co. Ltd. | 3,000 | 22,470 | ||||||
Kinden Corp. | 2,300 | 35,994 | ||||||
Kumagai Gumi Co. Ltd. | 14,600 | 336,160 | ||||||
Kyowa Exeo Corp.(a) | 3,900 | 89,759 | ||||||
Kyudenko Corp. | 2,100 | 57,150 | ||||||
Maeda Corp. | 8,100 | 58,112 | ||||||
Maeda Road Construction Co. Ltd. | 1,200 | 19,962 | ||||||
Meisei Industrial Co. Ltd.(a) | 15,600 | 119,828 | ||||||
Mirait Holdings Corp.(a) | 6,700 | 95,046 | ||||||
Monadelphous Group Ltd. | 9,080 | 58,281 | ||||||
Morgan Sindall Group plc | 18,354 | 261,998 | ||||||
NCC AB, Class B | 246 | 3,924 | ||||||
Nichireki Co. Ltd. | 9,200 | 148,200 | ||||||
Nippo Corp.(a) | 2,000 | 51,272 | ||||||
Nippon Densetsu Kogyo Co. Ltd. | 1,700 | 32,930 | ||||||
Nippon Koei Co. Ltd. | 4,600 | 121,050 |
Investments | Shares | Value | ||||||
Construction & Engineering – (continued) | ||||||||
Nippon Road Co. Ltd. (The) | 4,200 | $ | 304,534 | |||||
Nishimatsu Construction Co. Ltd. | 25,600 | 495,642 | ||||||
NRW Holdings Ltd.(a) | 190,716 | 291,968 | ||||||
Obayashi Corp. | 9,300 | 77,396 | ||||||
Okumura Corp. | 16,800 | 388,261 | ||||||
Peab AB, Class B* | 3,999 | 37,065 | ||||||
Penta-Ocean Construction Co. Ltd.(a) | 1,500 | 9,484 | ||||||
Raito Kogyo Co. Ltd.(a) | 7,600 | 107,232 | ||||||
Raiznext Corp. | 13,800 | 159,200 | ||||||
Sacyr SA(a) | 157,404 | 267,511 | ||||||
Sanki Engineering Co. Ltd. | 20,000 | 216,185 | ||||||
Shapir Engineering and Industry Ltd.* | 7,497 | 50,617 | ||||||
Shikun & Binui Ltd.* | 10,078 | 47,245 | ||||||
Shimizu Corp. | 9,400 | 65,100 | ||||||
Shinnihon Corp. | 5,600 | 46,551 | ||||||
SHO-BOND Holdings Co. Ltd. | 1,200 | 57,624 | ||||||
Skanska AB, Class B | 5,096 | 95,781 | ||||||
SNC-Lavalin Group, Inc.(a) | 6,208 | 86,787 | ||||||
Sumitomo Densetsu Co. Ltd. | 9,200 | 218,075 | ||||||
Sumitomo Mitsui Construction Co. Ltd. | 79,840 | 307,018 | ||||||
Sweco AB, Class B | 2,583 | 130,120 | ||||||
Taihei Dengyo Kaisha Ltd. | 4,800 | 103,493 | ||||||
Taikisha Ltd. | 15,800 | 409,585 | ||||||
Taisei Corp. | 3,500 | 108,643 | ||||||
Takamatsu Construction Group Co. Ltd. | 9,300 | 190,288 | ||||||
Toda Corp. | 14,000 | 79,548 | ||||||
Toenec Corp. | 4,600 | 149,168 | ||||||
Tokyu Construction Co. Ltd.(a) | 37,600 | 165,089 | ||||||
Totetsu Kogyo Co. Ltd. | 1,800 | 46,696 | ||||||
Veidekke ASA* | 3,088 | 35,406 | ||||||
Vinci SA | 8,279 | 654,042 | ||||||
Webuild SpA(a) | 119,186 | 127,658 | ||||||
WSP Global, Inc. | 1,210 | 76,474 | ||||||
YIT OYJ(a) | 85,560 | 451,680 | ||||||
Yokogawa Bridge Holdings Corp. | 18,800 | 331,437 | ||||||
Yurtec Corp. | 18,600 | 112,091 | ||||||
11,047,143 |
See Accompanying Notes to the Financial Statements.
180 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Construction Materials – 0.6% | ||||||||
Adbri Ltd. | 8,796 | $ | 17,481 | |||||
Boral Ltd.(a) | 35,620 | 114,064 | ||||||
Breedon Group plc* | 45,296 | 41,349 | ||||||
Brickworks Ltd. | 3,147 | 38,255 | ||||||
Buzzi Unicem SpA | 3,145 | 68,049 | ||||||
Buzzi Unicem SpA (Retirement Savings Plan) | 5 | 71 | ||||||
Cementir Holding NV | 30,130 | 191,980 | ||||||
CRH plc | 13,571 | 477,287 | ||||||
CSR Ltd. | 42,536 | 131,731 | ||||||
Fletcher Building Ltd.(a) | 17,649 | 47,823 | ||||||
HeidelbergCement AG | 3,450 | 197,400 | ||||||
Ibstock plc* (b) | 9,600 | 19,935 | ||||||
Imerys SA | 1,103 | 32,943 | ||||||
James Hardie Industries plc, CHDI | 6,940 | 168,530 | ||||||
LafargeHolcim Ltd. (Registered)* | 8,456 | 363,039 | ||||||
Marshalls plc* | 3,724 | 32,237 | ||||||
Mitani Sekisan Co. Ltd.(a) | 100 | 4,510 | ||||||
RHI Magnesita NV | 13,432 | 444,610 | ||||||
Sumitomo Osaka Cement Co. Ltd. | 1,700 | 51,550 | ||||||
Taiheiyo Cement Corp. | 100 | 2,338 | ||||||
Vicat SA | 13,340 | 410,232 | ||||||
Wienerberger AG | 3,846 | 97,037 | ||||||
2,952,451 | ||||||||
Consumer Finance – 0.5% | ||||||||
Acom Co. Ltd.(a) | 24,400 | 108,999 | ||||||
AEON Financial Service Co. Ltd. | 4,800 | 48,808 | ||||||
Aiful Corp.* | 151,800 | 447,239 | ||||||
Allied Properties HK Ltd.(d) | 764,000 | 188,171 | ||||||
Cembra Money Bank AG | 726 | 80,557 | ||||||
Credit Corp. Group Ltd.(a) | 3,350 | 43,098 | ||||||
Credit Saison Co. Ltd. | 6,200 | 66,543 | ||||||
Hitachi Capital Corp. | 2,300 | 48,403 | ||||||
Hong Leong Finance Ltd. | 115,000 | 189,491 | ||||||
Isracard Ltd. | 80,961 | 228,865 | ||||||
Jaccs Co. Ltd. | 13,800 | 239,592 | ||||||
Provident Financial plc | 112,884 | 340,085 |
Investments | Shares | Value | ||||||
Consumer Finance – (continued) | ||||||||
Resurs Holding AB(b) | 65,438 | $ | 299,653 | |||||
Sun Hung Kai & Co. Ltd. | 105,996 | 41,142 | ||||||
Zip Co. Ltd.* (a) | 14,040 | 56,397 | ||||||
2,427,043 | ||||||||
Containers & Packaging – 0.3% | ||||||||
BillerudKorsnas AB* | 2,965 | 46,468 | ||||||
Cascades, Inc. | 29,026 | 308,688 | ||||||
CCL Industries, Inc., Class B | 2,960 | 112,775 | ||||||
DS Smith plc | 28,888 | 105,744 | ||||||
FP Corp.(a) | 1,200 | 47,810 | ||||||
Fuji Seal International, Inc.(a) | 2,000 | 37,306 | ||||||
Huhtamaki OYJ | 2,051 | 100,151 | ||||||
Mayr Melnhof Karton AG | 275 | 44,911 | ||||||
Orora Ltd.(a) | 35,495 | 64,310 | ||||||
Pack Corp. (The) | 1,200 | 33,610 | ||||||
Pact Group Holdings Ltd.(a) | 81,236 | 134,063 | ||||||
Rengo Co. Ltd. | 700 | 5,377 | ||||||
Smurfit Kappa Group plc | 5,382 | 202,621 | ||||||
Toyo Seikan Group Holdings Ltd. | 5,600 | 52,122 | ||||||
Vidrala SA(a) | 1,239 | 118,346 | ||||||
Winpak Ltd. | 74 | 2,284 | ||||||
1,416,586 | ||||||||
Distributors – 0.2% | ||||||||
Arata Corp.(a) | 8,100 | 394,385 | ||||||
Bapcor Ltd. | 25,156 | 135,320 | ||||||
Doshisha Co. Ltd. | 7,000 | 128,429 | ||||||
Inchcape plc | 8,938 | 57,299 | ||||||
Jardine Cycle & Carriage Ltd. | 4,422 | 57,513 | ||||||
PALTAC Corp. | 800 | 44,768 | ||||||
817,714 | ||||||||
Diversified Consumer Services – 0.1% | ||||||||
AcadeMedia AB(b) | 29,946 | 240,883 | ||||||
Benesse Holdings, Inc. | 2,000 | 47,044 | ||||||
IDP Education Ltd.(a) | 2,501 | 33,862 | ||||||
InvoCare Ltd.(a) | 4,432 | 31,404 | ||||||
353,193 | ||||||||
Diversified Financial Services – 1.2% | ||||||||
Ackermans & van Haaren NV | 454 | 55,846 | ||||||
Aker ASA, Class A | 760 | 30,260 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 181 |
Table of Contents
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Diversified Financial Services – (continued) | ||||||||
AMP Ltd. | 89,503 | $ | 96,166 | |||||
Banca Farmafactoring SpA(b) | 57,822 | 266,385 | ||||||
Banca Mediolanum SpA | 9,158 | 62,513 | ||||||
Banque Nationale de Belgique(a) | 86 | 162,788 | ||||||
Burford Capital Ltd.(a) | 85,836 | 729,733 | ||||||
Cerved Group SpA* | 10,505 | 74,155 | ||||||
Challenger Ltd.(a) | 11,680 | 39,453 | ||||||
ECN Capital Corp. | 116,505 | 461,354 | ||||||
Element Fleet Management Corp. | 13,936 | 131,171 | ||||||
Eurazeo SE* | 1,664 | 75,672 | ||||||
EXOR NV | 2,944 | 152,948 | ||||||
FFP | 2,070 | 164,688 | ||||||
Financial Products Group Co. Ltd. | 23,000 | 99,445 | ||||||
First Pacific Co. Ltd. | 1,012,000 | 313,197 | ||||||
Fuyo General Lease Co. Ltd. | 700 | 39,975 | ||||||
GRENKE AG | 495 | 19,328 | ||||||
Groupe Bruxelles Lambert SA | 1,466 | 120,015 | ||||||
Groupe Bruxelles Lambert SA – SW(d) | 1,176 | 96,504 | ||||||
HAL Trust | 1,054 | 133,825 | ||||||
Industrivarden AB, Class A* | 5,078 | 136,575 | ||||||
Industrivarden AB, Class C* | 250 | 6,392 | ||||||
Investor AB, Class A | 2,092 | 125,269 | ||||||
Investor AB, Class B | 7,713 | 463,067 | ||||||
Israel Land Development – Urban Renewal Ltd. | 6,207 | 43,000 | ||||||
Japan Securities Finance Co. Ltd. | 23,000 | 108,246 | ||||||
KBC Ancora* | 1,377 | 38,977 | ||||||
Kinnevik AB, Class B | 5,014 | 205,688 | ||||||
L E Lundbergforetagen AB, Class B* | 1,348 | 60,667 | ||||||
M&G plc | 75,992 | 144,095 | ||||||
Mitsubishi UFJ Lease & Finance Co. Ltd. | 21,500 | 90,492 | ||||||
Mizuho Leasing Co. Ltd. | 13,938 | 353,850 | ||||||
Onex Corp. | 157 | 6,782 | ||||||
ORIX Corp. | 38,300 | 445,319 | ||||||
Plus500 Ltd. | 4,264 | 81,349 |
Investments | Shares | Value | ||||||
Diversified Financial Services – (continued) | ||||||||
Ricoh Leasing Co. Ltd. | 4,600 | $ | 122,942 | |||||
Sofina SA | 330 | 85,721 | ||||||
SRH NV* ‡ (d) | 2,857 | – | ||||||
Tokyo Century Corp. | 600 | 29,214 | ||||||
Wendel SE | 497 | 43,072 | ||||||
Zenkoku Hosho Co. Ltd. | 1,600 | 62,751 | ||||||
5,978,889 | ||||||||
Diversified Telecommunication Services – 1.2% | ||||||||
Altice Europe NV* | 4,851 | 23,897 | ||||||
ARTERIA Networks Corp. | 1,900 | 29,807 | ||||||
BCE, Inc. | 3,818 | 153,310 | ||||||
Bezeq The Israeli Telecommunication Corp. Ltd.* | 52,780 | 60,269 | ||||||
BT Group plc | 236,532 | 310,117 | ||||||
Cellnex Telecom SA(b) | 5,426 | 348,385 | ||||||
Chorus Ltd. | 13,242 | 73,689 | ||||||
Deutsche Telekom AG (Registered) | 84,686 | 1,289,309 | ||||||
Elisa OYJ | 1,820 | 89,550 | ||||||
Euskaltel SA(b) | 8,683 | 82,634 | ||||||
Gamma Communications plc | 1,701 | 36,730 | ||||||
HKBN Ltd. | 51,500 | 88,724 | ||||||
HKT Trust & HKT Ltd. | 53,400 | 68,998 | ||||||
Iliad SA | 646 | 124,914 | ||||||
Infrastrutture Wireless Italiane SpA(b) | 5,179 | 55,984 | ||||||
Internet Initiative Japan, Inc. | 2,300 | 103,075 | ||||||
Koninklijke KPN NV | 30,314 | 81,922 | ||||||
Masmovil Ibercom SA* (a) | 1,672 | 43,822 | ||||||
Nippon Telegraph & Telephone Corp. | 33,200 | 697,410 | ||||||
NOS SGPS SA | 1,360 | 4,670 | ||||||
Orange SA | 51,520 | 577,926 | ||||||
PCCW Ltd. | 127,035 | 76,337 | ||||||
Proximus SADP | 4,056 | 78,878 | ||||||
Singapore Telecommunications Ltd. | 46,000 | 68,385 | ||||||
Spark New Zealand Ltd. | 3,166 | 9,395 | ||||||
Swisscom AG (Registered) | 368 | 187,222 | ||||||
TalkTalk Telecom Group plc | 45,639 | 56,769 | ||||||
Telecom Italia SpA | 267,444 | 90,780 |
See Accompanying Notes to the Financial Statements.
182 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Diversified Telecommunication Services – (continued) | ||||||||
Telecom Italia SpA (Retirement Savings Plan) | 178,600 | $ | 64,971 | |||||
Telefonica Deutschland Holding AG | 14,053 | 35,473 | ||||||
Telefonica SA(a) | 132,465 | 432,971 | ||||||
Telekom Austria AG | 1,426 | 9,601 | ||||||
Telenor ASA | 5,842 | 89,963 | ||||||
Telia Co. AB(a) | 52,026 | 199,427 | ||||||
Telstra Corp. Ltd. | 52,988 | 99,725 | ||||||
TELUS Corp. | 10,528 | 179,869 | ||||||
United Internet AG (Registered) | 1,560 | 54,697 | ||||||
Vocus Group Ltd.* (a) | 38,775 | 93,943 | ||||||
6,173,548 | ||||||||
Electric Utilities – 1.4% | ||||||||
Acciona SA | 857 | 86,550 | ||||||
AusNet Services | 46,020 | 64,635 | ||||||
BKW AG | 773 | 76,916 | ||||||
Chubu Electric Power Co., Inc. | 18,400 | 206,195 | ||||||
Chugoku Electric Power Co., Inc. (The)(a) | 4,206 | 52,907 | ||||||
CK Infrastructure Holdings Ltd. | 500 | 2,353 | ||||||
CLP Holdings Ltd. | 23,500 | 216,065 | ||||||
Contact Energy Ltd. | 20,140 | 98,232 | ||||||
EDP – Energias de Portugal SA | 34,044 | 167,825 | ||||||
Electricite de France SA | 12,455 | 144,618 | ||||||
Elia Group SA/NV | 794 | 76,858 | ||||||
Emera, Inc. | 3,084 | 122,934 | ||||||
Endesa SA | 4,678 | 125,385 | ||||||
Enel SpA | 219,774 | 1,749,530 | ||||||
EVN AG | 2,240 | 35,747 | ||||||
Fortis, Inc.(a) | 6,348 | 250,568 | ||||||
Fortum OYJ | 10,350 | 194,708 | ||||||
Genesis Energy Ltd. | 14,326 | 29,351 | ||||||
HK Electric Investments & HK Electric Investments Ltd.(b) | 500 | 509 | ||||||
Hokkaido Electric Power Co., Inc.(a) | 89,900 | 348,283 | ||||||
Hokuriku Electric Power Co.(a) | 9,300 | 66,276 | ||||||
Hydro One Ltd.(b) | 1,092 | 23,841 | ||||||
Iberdrola SA | 99,844 | 1,177,571 | ||||||
Kansai Electric Power Co., Inc. (The) | 22,500 | 204,661 |
Investments | Shares | Value | ||||||
Electric Utilities – (continued) | ||||||||
Mercury NZ Ltd. | 17,270 | $ | 61,063 | |||||
Okinawa Electric Power Co., Inc. (The)(a) | 5,170 | 75,418 | ||||||
Orsted A/S(b) | 3,220 | 511,103 | ||||||
Power Assets Holdings Ltd. | 17,000 | 87,358 | ||||||
Red Electrica Corp. SA | 3,432 | 60,466 | ||||||
Romande Energie Holding SA (Registered) | 21 | 25,891 | ||||||
Shikoku Electric Power Co., Inc.(a) | 8,600 | 61,863 | ||||||
Spark Infrastructure Group | 1,271 | 1,772 | ||||||
SSE plc | 10,305 | 167,221 | ||||||
Terna Rete Elettrica Nazionale SpA | 24,026 | 162,435 | ||||||
Tohoku Electric Power Co., Inc. | 5,800 | 51,154 | ||||||
Tokyo Electric Power Co. Holdings, Inc.* | 31,200 | 80,283 | ||||||
Trustpower Ltd. | 5,123 | 23,971 | ||||||
Verbund AG | 1,385 | 79,666 | ||||||
6,972,182 | ||||||||
Electrical Equipment – 1.3% | ||||||||
ABB Ltd. (Registered) | 30,079 | 730,192 | ||||||
Ballard Power Systems, Inc.* | 1,824 | 26,881 | ||||||
Fagerhult AB* | 31,408 | 142,023 | ||||||
Fuji Electric Co. Ltd. | 4,700 | 141,620 | ||||||
Fujikura Ltd. | 115,000 | 302,516 | ||||||
Futaba Corp. | 3,400 | 28,816 | ||||||
Huber + Suhner AG (Registered) | 867 | 62,527 | ||||||
ITM Power plc* (a) | 10,192 | 30,442 | ||||||
Legrand SA | 5,198 | 384,364 | ||||||
Mabuchi Motor Co. Ltd. | 2,000 | 82,074 | ||||||
Melrose Industries plc* | 134,918 | 208,728 | ||||||
Mitsubishi Electric Corp. | 29,500 | 378,133 | ||||||
NEL ASA* (a) | 12,688 | 23,999 | ||||||
Nexans SA* | 12,604 | 611,349 | ||||||
Nidec Corp. | 9,310 | 935,097 | ||||||
Nissin Electric Co. Ltd. | 1,200 | 11,938 | ||||||
Nitto Kogyo Corp. | 1,800 | 33,162 | ||||||
Nordex SE* | 3,040 | 43,556 | ||||||
OSRAM Licht AG* | 2,342 | 137,495 | ||||||
Prysmian SpA | 5,708 | 155,187 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 183 |
Table of Contents
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Electrical Equipment – (continued) | ||||||||
Schneider Electric SE | 8,050 | $ | 977,088 | |||||
Siemens Gamesa Renewable Energy SA | 6,044 | 171,292 | ||||||
Signify NV* (b) | 3,848 | 137,115 | ||||||
Somfy SA | 275 | 38,312 | ||||||
TKH Group NV, CVA | 2,194 | 70,639 | ||||||
Ushio, Inc. | 5,900 | 65,750 | ||||||
Vestas Wind Systems A/S | 3,082 | 526,087 | ||||||
6,456,382 | ||||||||
Electronic Equipment, Instruments & Components – 2.0% | ||||||||
Alps Alpine Co. Ltd. | 5,348 | 76,378 | ||||||
ALSO Holding AG (Registered)* | 52 | 12,170 | ||||||
Amano Corp. | 2,600 | 60,909 | ||||||
Anritsu Corp.(a) | 500 | 10,910 | ||||||
Azbil Corp. | 3,000 | 121,246 | ||||||
Barco NV(a) | 2,726 | 42,725 | ||||||
Canon Electronics, Inc. | 2,800 | 38,462 | ||||||
Canon Marketing Japan, Inc. | 3,700 | 78,360 | ||||||
Carel Industries SpA(a) (b) | 4,028 | 75,072 | ||||||
Celestica, Inc.* | 52,210 | 306,599 | ||||||
Citizen Watch Co. Ltd. | 9,200 | 24,289 | ||||||
Comet Holding AG (Registered) | 352 | 49,466 | ||||||
CONEXIO Corp. | 2,200 | 26,327 | ||||||
Daiwabo Holdings Co. Ltd.(a) | 9,200 | 600,191 | ||||||
Datalogic SpA(a) | 535 | 6,163 | ||||||
FIH Mobile Ltd.* (a) | 1,262,000 | 138,326 | ||||||
Fingerprint Cards AB, Class B* | 10,108 | 17,045 | ||||||
FIT Hon Teng Ltd.* (a) (b) | 644,000 | 251,626 | ||||||
Halma plc | 8,510 | 260,561 | ||||||
Hamamatsu Photonics KK | 3,400 | 170,423 | ||||||
Hexagon AB, Class B | 4,002 | 292,423 | ||||||
Hirose Electric Co. Ltd. | 782 | 108,765 | ||||||
Hitachi Ltd. | 27,600 | 924,576 | ||||||
Horiba Ltd. | 800 | 39,105 | ||||||
Hosiden Corp. | 18,400 | 162,281 | ||||||
Inficon Holding AG (Registered) | 110 | 80,650 | ||||||
Iriso Electronics Co. Ltd. | 1,200 | 45,342 | ||||||
Japan Aviation Electronics Industry Ltd. | 2,044 | 27,940 |
Investments | Shares | Value | ||||||
Electronic Equipment, Instruments & Components – (continued) | ||||||||
Jenoptik AG | 2,585 | $ | 63,776 | |||||
Kaga Electronics Co. Ltd. | 9,300 | 178,812 | ||||||
Keyence Corp. | 3,200 | 1,446,336 | ||||||
Kyocera Corp. | 5,500 | 301,516 | ||||||
Lagercrantz Group AB, Class B | 5,832 | 35,931 | ||||||
Landis+Gyr Group AG* | 1,102 | 61,560 | ||||||
LEM Holding SA (Registered) | 27 | 48,960 | ||||||
Macnica Fuji Electronics Holdings, Inc. | 23,100 | 410,338 | ||||||
Murata Manufacturing Co. Ltd. | 9,200 | 639,529 | ||||||
Mycronic AB | 3,001 | 63,417 | ||||||
Nichicon Corp. | 7,600 | 61,140 | ||||||
Nippon Ceramic Co. Ltd. | 900 | 21,781 | ||||||
Nippon Signal Co. Ltd. | 24,500 | 212,330 | ||||||
Nissha Co. Ltd. | 18,400 | 215,611 | ||||||
Nohmi Bosai Ltd. | 2,500 | 53,903 | ||||||
Oki Electric Industry Co. Ltd. | 41,400 | 382,160 | ||||||
Omron Corp. | 4,500 | 322,843 | ||||||
Optex Group Co. Ltd. | 1,000 | 14,808 | ||||||
Renishaw plc | 1,617 | 116,979 | ||||||
Restar Holdings Corp.(a) | 13,800 | 293,847 | ||||||
Shimadzu Corp. | 1,800 | 51,156 | ||||||
Siix Corp.(a) | 12,428 | 146,464 | ||||||
Spectris plc | 3,026 | 96,876 | ||||||
Taiyo Yuden Co. Ltd. | 2,500 | 91,831 | ||||||
TDK Corp. | 2,900 | 338,712 | ||||||
Topcon Corp. | 2,200 | 21,781 | ||||||
Venture Corp. Ltd. | 4,500 | 63,471 | ||||||
VSTECS Holdings Ltd. | 372,000 | 232,654 | ||||||
Yokogawa Electric Corp. | 1,600 | 23,356 | ||||||
10,060,208 | ||||||||
Energy Equipment & Services – 0.4% | ||||||||
BW Offshore Ltd. | 44,206 | 105,441 | ||||||
CGG SA* | 52,560 | 29,363 | ||||||
John Wood Group plc | 301,898 | 827,941 | ||||||
Modec, Inc. | 10,400 | 150,220 | ||||||
Ocean Yield ASA(a) | 30,348 | 66,990 | ||||||
Petrofac Ltd.(a) | 137,356 | 210,813 | ||||||
Saipem SpA(a) | 8,562 | 15,035 | ||||||
SBM Offshore NV | 5,113 | 82,429 | ||||||
Subsea 7 SA* | 26 | 171 | ||||||
TechnipFMC plc | 12,879 | 71,050 |
See Accompanying Notes to the Financial Statements.
184 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Energy Equipment & Services – (continued) | ||||||||
Tecnicas Reunidas SA* | 14,536 | $ | 115,986 | |||||
Tenaris SA | 6,336 | 30,053 | ||||||
TGS NOPEC Geophysical Co. ASA | 1,140 | 10,495 | ||||||
Vallourec SA* | – | (e) | 2 | |||||
Worley Ltd. | 10,916 | 72,135 | ||||||
1,788,124 | ||||||||
Entertainment – 0.7% | ||||||||
Akatsuki, Inc. | 4,600 | 203,951 | ||||||
Bollore SA | 12,858 | 46,071 | ||||||
Capcom Co. Ltd. | 2,600 | 143,007 | ||||||
Cineplex, Inc.(a) | 6,480 | 24,737 | ||||||
Cineworld Group plc(a) | 433,136 | 159,669 | ||||||
CTS Eventim AG & Co. KGaA* | 1,375 | 60,927 | ||||||
Daiichikosho Co. Ltd. | 1,100 | 37,565 | ||||||
DeNA Co. Ltd. | 4,000 | 68,223 | ||||||
EVENT Hospitality and Entertainment Ltd.(a) | 2,282 | 13,221 | ||||||
IGG, Inc.(a) | 322,000 | 345,882 | ||||||
Kinepolis Group NV* | 1,030 | 26,156 | ||||||
Koei Tecmo Holdings Co. Ltd. | 1,728 | 84,631 | ||||||
Konami Holdings Corp. | 2,200 | 85,651 | ||||||
Modern Times Group MTG AB, Class B* | 416 | 5,548 | ||||||
Nexon Co. Ltd.(a) | 9,200 | 256,885 | ||||||
Nintendo Co. Ltd. | 2,100 | 1,144,614 | ||||||
Paradox Interactive AB | 952 | 29,412 | ||||||
Shochiku Co. Ltd. | 300 | 34,609 | ||||||
Square Enix Holdings Co. Ltd. | 1,800 | 105,376 | ||||||
Toei Animation Co. Ltd. | 900 | 62,675 | ||||||
Toho Co. Ltd. | 4,100 | 161,976 | ||||||
Ubisoft Entertainment SA* | 1,489 | 131,368 | ||||||
Vivendi SA | 10,166 | 293,560 | ||||||
3,525,714 | ||||||||
Equity Real Estate Investment Trusts (REITs) – 2.4% | ||||||||
Activia Properties, Inc. | 15 | 54,094 | ||||||
Advance Residence Investment Corp. | 18 | 52,516 | ||||||
Aedifica SA | 1,039 | 104,568 |
Investments | Shares | Value | ||||||
Equity Real Estate Investment Trusts (REITs) – (continued) | ||||||||
AEON REIT Investment Corp. | 29 | $ | 32,734 | |||||
ALE Property Group | 9,405 | 28,334 | ||||||
Allied Properties REIT(a) | 1,540 | 37,318 | ||||||
alstria office REIT-AG | 6,756 | 86,016 | ||||||
Altarea SCA | 129 | 16,529 | ||||||
Argosy Property Ltd. | 65,492 | 60,164 | ||||||
Artis REIT | 23,874 | 149,330 | ||||||
Ascendas REIT | 69,080 | 145,698 | ||||||
Ascott Residence Trust | 30,164 | 18,335 | ||||||
Assura plc(a) | 57,957 | 57,103 | ||||||
Aventus Group(a) | 149,730 | 258,664 | ||||||
Befimmo SA | 657 | 25,561 | ||||||
Big Yellow Group plc | 7,176 | 102,064 | ||||||
Boardwalk REIT(a) | 9,154 | 183,856 | ||||||
British Land Co. plc (The) | 16,528 | 74,498 | ||||||
BWP Trust | 12,444 | 35,043 | ||||||
CapitaLand Mall Trust | 37,044 | 46,932 | ||||||
CapitaLand Retail China Trust | 3,233 | 2,770 | ||||||
Carmila SA | 18,308 | 141,605 | ||||||
CDL Hospitality Trusts | 36,800 | 26,680 | ||||||
Champion REIT(a) | 68,000 | 32,883 | ||||||
Charter Hall Group | 5,096 | 44,161 | ||||||
Charter Hall Long Wale REIT(a) | 3,602 | 12,066 | ||||||
Charter Hall Retail REIT | 25,935 | 62,652 | ||||||
Charter Hall Social Infrastructure REIT | 31 | 63 | ||||||
Choice Properties REIT(a) | 3,957 | 35,702 | ||||||
Cofinimmo SA | 507 | 68,861 | ||||||
Comforia Residential REIT, Inc. | 34 | 97,180 | ||||||
Cominar REIT(a) | 37,812 | 201,346 | ||||||
Covivio | 1,449 | 86,250 | ||||||
Cromwell European REIT(b) | 533,600 | 282,812 | ||||||
Cromwell Property Group(a) | 48,403 | 29,742 | ||||||
Daiwa House REIT Investment Corp. | 42 | 97,186 | ||||||
Daiwa Securities Living Investments Corp. | 26 | 25,393 | ||||||
Derwent London plc | 1,508 | 51,827 | ||||||
Dexus | 9,292 | 56,183 | ||||||
Dream Office REIT(a) | 3,966 | 52,083 | ||||||
ESR-REIT | 72,000 | 18,455 | ||||||
Eurocommercial Properties NV, CVA | 17,756 | 193,594 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 185 |
Table of Contents
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Equity Real Estate Investment Trusts (REITs) – (continued) | ||||||||
Far East Hospitality Trust | 53,976 | $ | 22,136 | |||||
First Capital REIT(a) | 4,784 | 42,410 | ||||||
Fortune REIT | 48,000 | 39,985 | ||||||
Frasers Centrepoint Trust | 33,249 | 51,377 | ||||||
Frasers Hospitality Trust | 39,200 | 11,483 | ||||||
Frasers Logistics & Commercial Trust(b) | 4,239 | 3,818 | ||||||
Frontier Real Estate Investment Corp.(a) | 12 | 40,119 | ||||||
Fukuoka REIT Corp. | 26 | 31,412 | ||||||
Gecina SA | 368 | 45,696 | ||||||
Global One Real Estate Investment Corp. | 48 | 43,252 | ||||||
GLP J-REIT | 74 | 113,966 | ||||||
Goodman Group | 31,418 | 405,965 | ||||||
Goodman Property Trust | 19,085 | 31,281 | ||||||
GPT Group (The) | 43,286 | 122,502 | ||||||
Granite REIT(a) | 1,072 | 60,058 | ||||||
Growthpoint Properties Australia Ltd. | 19,121 | 45,654 | ||||||
H&R REIT | 60,122 | 461,731 | ||||||
Hamborner REIT AG | 6,058 | 56,545 | ||||||
Hammerson plc* (a) | 1,764,080 | 371,910 | ||||||
Hankyu Hanshin REIT, Inc. | 26 | 28,626 | ||||||
Heiwa Real Estate REIT, Inc. | 87 | 93,957 | ||||||
Hibernia REIT plc | 34,222 | 41,299 | ||||||
Hoshino Resorts REIT, Inc.(a) | 24 | 112,952 | ||||||
Hulic Reit, Inc. | 23 | 30,186 | ||||||
ICADE | 154 | 7,785 | ||||||
Ichigo Office REIT Investment Corp. | 40 | 25,827 | ||||||
Inmobiliaria Colonial Socimi SA | 7,185 | 51,095 | ||||||
InterRent REIT | 1,952 | 16,631 | ||||||
Invincible Investment Corp. | 121 | 38,485 | ||||||
Japan Hotel REIT Investment Corp. | 77 | 37,049 | ||||||
Japan Logistics Fund, Inc. | 19 | 53,271 | ||||||
Japan Prime Realty Investment Corp.(a) | 25 | 67,558 | ||||||
Japan Real Estate Investment Corp. | 24 | 117,544 |
Investments | Shares | Value | ||||||
Equity Real Estate Investment Trusts (REITs) – (continued) | ||||||||
Japan Retail Fund Investment Corp. | 52 | $ | 74,762 | |||||
Kenedix Office Investment Corp.(a) | 9 | 51,999 | ||||||
Kenedix Residential Next Investment Corp. | 34 | 55,518 | ||||||
Kenedix Retail REIT Corp. | 31 | 59,070 | ||||||
Keppel DC REIT | 47,500 | 100,879 | ||||||
Keppel Pacific Oak US REIT(b) | 271,400 | 189,980 | ||||||
Keppel REIT | 80,733 | 58,828 | ||||||
Kiwi Property Group Ltd. | 3,973 | 3,230 | ||||||
Klepierre SA(a) | 5,108 | 64,707 | ||||||
Land Securities Group plc | 13,636 | 89,796 | ||||||
LaSalle Logiport REIT | 44 | 68,437 | ||||||
Link REIT | 37,575 | 286,118 | ||||||
LondonMetric Property plc(a) | 51,336 | 143,243 | ||||||
LXI REIT plc(a) (b) | 219,420 | 310,379 | ||||||
Mapletree Commercial Trust | 34,368 | 43,290 | ||||||
Mapletree Industrial Trust | 33,416 | 74,394 | ||||||
Mapletree Logistics Trust | 73,207 | 104,543 | ||||||
Mapletree North Asia Commercial Trust(b) | 49,500 | 31,538 | ||||||
MCUBS MidCity Investment Corp. | 43 | 30,767 | ||||||
Mercialys SA | 13,624 | 65,225 | ||||||
Merlin Properties Socimi SA | 10,940 | 73,593 | ||||||
Mirvac Group | 47,426 | 70,273 | ||||||
Mori Hills REIT Investment Corp. | 16 | 19,667 | ||||||
Mori Trust Hotel Reit, Inc. | 138 | 142,171 | ||||||
National Storage REIT | 70,798 | 89,741 | ||||||
Nippon Accommodations Fund, Inc. | 8 | 45,762 | ||||||
Nippon Building Fund, Inc.(a) | �� | 17 | 85,862 | |||||
Nippon Prologis REIT, Inc. | 41 | 134,915 | ||||||
NIPPON REIT Investment Corp. | 23 | 73,594 | ||||||
Nomura Real Estate Master Fund, Inc. | 7 | 8,343 | ||||||
Northview Apartment REIT(a) | 15,180 | 411,221 | ||||||
One REIT, Inc. | 14 | 32,275 | ||||||
Orix JREIT, Inc. | 49 | 68,667 | ||||||
OUE Commercial REIT | 82,177 | 19,559 | ||||||
Parkway Life REIT | 12,500 | 37,074 |
See Accompanying Notes to the Financial Statements.
186 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Equity Real Estate Investment Trusts (REITs) – (continued) | ||||||||
Precinct Properties New Zealand Ltd. | 22,735 | $ | 26,595 | |||||
Premier Investment Corp.(a) | 67 | 73,512 | ||||||
Primary Health Properties plc | 6,188 | 11,522 | ||||||
Property for Industry Ltd. | 26,128 | 50,077 | ||||||
Reit 1 Ltd. | 72,910 | 278,233 | ||||||
Retail Estates NV | 3,956 | 233,633 | ||||||
Safestore Holdings plc | 12,195 | 126,697 | ||||||
Scentre Group | 127,558 | 188,113 | ||||||
Secure Income REIT plc | 14,030 | 43,719 | ||||||
Segro plc | 19,964 | 232,837 | ||||||
Sekisui House Reit, Inc.(a) | 55 | 38,406 | ||||||
Shaftesbury plc | 4,480 | 26,356 | ||||||
Shopping Centres Australasia Property Group | 54,215 | 88,328 | ||||||
Societe Fonciere Lyonnaise SA | 516 | 32,818 | ||||||
SPH REIT | 44,800 | 24,442 | ||||||
Star Asia Investment Corp. | 156 | 66,107 | ||||||
Starhill Global REIT | 72,900 | 22,156 | ||||||
Stockland | 60,536 | 163,669 | ||||||
Summit Industrial Income REIT(a) | 26,174 | 264,420 | ||||||
Sunlight REIT | 55,000 | 23,688 | ||||||
Suntec REIT | 3,900 | 3,827 | ||||||
Tokyu REIT, Inc. | 21 | 28,485 | ||||||
Tritax Big Box REIT plc | 47,975 | 97,142 | ||||||
Unibail-Rodamco-Westfield(a) | 3,634 | 147,734 | ||||||
Unibail-Rodamco-Westfield, CHDI(a) | 5 | 10 | ||||||
UNITE Group plc (The) | 9,194 | 99,026 | ||||||
United Urban Investment Corp. | 84 | 89,432 | ||||||
Vicinity Centres | 98,852 | 83,997 | ||||||
Vital Healthcare Property Trust(a) | 45,104 | 86,745 | ||||||
Warehouses De Pauw CVA, CVA | 4,239 | 141,814 | ||||||
Workspace Group plc(a) | 8,954 | 71,433 | ||||||
WPT Industrial REIT(a) | 15,226 | 197,177 | ||||||
12,193,986 | ||||||||
Food & Staples Retailing – 1.5% | ||||||||
Aeon Co. Ltd. | 15,313 | 390,149 |
Investments | Shares | Value | ||||||
Food & Staples Retailing – (continued) | ||||||||
Ain Holdings, Inc. | 800 | $ | 55,864 | |||||
Alimentation Couche-Tard, Inc. | 608 | 18,810 | ||||||
Alimentation Couche-Tard, Inc., Class B | 12,972 | 399,176 | ||||||
Arcs Co. Ltd. | 2,818 | 61,999 | ||||||
Axfood AB | 3,184 | 74,045 | ||||||
Belc Co. Ltd. | 800 | 49,053 | ||||||
Carrefour SA | 11,445 | 178,112 | ||||||
Casino Guichard Perrachon SA* (a) | 2,142 | 48,218 | ||||||
Cawachi Ltd. | 1,000 | 28,391 | ||||||
Coles Group Ltd. | 15,548 | 193,805 | ||||||
Cosmos Pharmaceutical Corp. | 200 | 33,939 | ||||||
Create SD Holdings Co. Ltd. | 2,000 | 64,473 | ||||||
Daikokutenbussan Co. Ltd. | 400 | 21,657 | ||||||
Dairy Farm International Holdings Ltd. | 7,600 | 28,652 | ||||||
Distribuidora Internacional de Alimentacion SA* | 37,128 | 4,874 | ||||||
Empire Co. Ltd., Class A | 1,666 | 45,419 | ||||||
Etablissements Franz Colruyt NV | 1,044 | 61,802 | ||||||
George Weston Ltd. | 1,703 | 119,332 | ||||||
GrainCorp Ltd., Class A* (a) | 10,837 | 26,940 | ||||||
Heiwado Co. Ltd. | 19,600 | 397,287 | ||||||
ICA Gruppen AB | 1,916 | 90,686 | ||||||
Inageya Co. Ltd.(a) | 2,398 | 41,725 | ||||||
Itochu-Shokuhin Co. Ltd. | 400 | 20,892 | ||||||
J Sainsbury plc(a) | 17,618 | 45,925 | ||||||
Jeronimo Martins SGPS SA | 988 | 15,698 | ||||||
Kato Sangyo Co. Ltd. | 1,400 | 46,403 | ||||||
Kesko OYJ, Class A | 2,248 | 55,252 | ||||||
Kesko OYJ, Class B | 8,204 | 210,815 | ||||||
Kobe Bussan Co. Ltd.(a) | 3,200 | 90,147 | ||||||
Koninklijke Ahold Delhaize NV | 31,372 | 862,065 | ||||||
Kusuri no Aoki Holdings Co. Ltd. | 600 | 48,096 | ||||||
Loblaw Cos. Ltd. | 2,760 | 137,281 | ||||||
MARR SpA* | 1,155 | 15,661 | ||||||
Matsumotokiyoshi Holdings Co. Ltd. | 3,600 | 132,753 | ||||||
Maxvalu Tokai Co. Ltd. | 2,400 | 59,805 | ||||||
Metcash Ltd.(a) | 43,474 | 90,062 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 187 |
Table of Contents
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Food & Staples Retailing – (continued) | ||||||||
METRO AG | 8,528 | $ | 83,643 | |||||
Metro, Inc. | 4,738 | 220,847 | ||||||
Nihon Chouzai Co. Ltd. | 1,600 | 25,759 | ||||||
North West Co., Inc. (The) | 95 | 2,341 | ||||||
Olam International Ltd. | 35,100 | 32,902 | ||||||
Qol Holdings Co. Ltd. | 1,500 | 16,300 | ||||||
Rami Levy Chain Stores Hashikma Marketing 2006 Ltd. | 243 | 15,900 | ||||||
Seven & i Holdings Co. Ltd. | 9,500 | 288,889 | ||||||
Sheng Siong Group Ltd. | 51,500 | 62,984 | ||||||
Shufersal Ltd. | 3,578 | 27,088 | ||||||
Sligro Food Group NV(a) | 10,488 | 149,780 | ||||||
Sonae SGPS SA | 314,962 | 185,276 | ||||||
Sugi Holdings Co. Ltd. | 800 | 52,956 | ||||||
Sundrug Co. Ltd. | 1,600 | 59,307 | ||||||
Tesco plc | 145,682 | 387,094 | ||||||
Tsuruha Holdings, Inc. | 900 | 125,866 | ||||||
United Super Markets Holdings, Inc. | 2,000 | 21,542 | ||||||
Valor Holdings Co. Ltd. | 21,200 | 521,381 | ||||||
Welcia Holdings Co. Ltd. | 3,600 | 141,190 | ||||||
Wm Morrison Supermarkets plc(a) | 58,466 | 123,147 | ||||||
Woolworths Group Ltd. | 20,148 | 539,923 | ||||||
Yokohama Reito Co. Ltd.(a) | 23,100 | 186,497 | ||||||
Zur Rose Group AG* (a) | 260 | 72,478 | ||||||
7,608,353 | ||||||||
Food Products – 2.7% | ||||||||
a2 Milk Co. Ltd. (The)* (a) | 8,840 | 85,532 | ||||||
AAK AB | 5,004 | 97,481 | ||||||
Agrana Beteiligungs AG | 920 | 16,611 | ||||||
Ajinomoto Co., Inc. | 8,100 | 162,519 | ||||||
Ariake Japan Co. Ltd. | 800 | 51,196 | ||||||
Associated British Foods plc | 4,888 | 107,285 | ||||||
Austevoll Seafood ASA | 8,913 | 60,562 | ||||||
Bakkafrost P/F* | 1,281 | 72,902 | ||||||
Barry Callebaut AG (Registered) | 38 | 78,483 | ||||||
Bega Cheese Ltd. | 7,095 | 24,912 | ||||||
Bell Food Group AG (Registered) | 320 | 81,174 |
Investments | Shares | Value | ||||||
Food Products – (continued) | ||||||||
Bonduelle SCA | 965 | $ | 20,795 | |||||
Calbee, Inc. | 3,200 | 97,953 | ||||||
Chocoladefabriken Lindt & Spruengli AG | 41 | 325,209 | ||||||
Chocoladefabriken Lindt & Spruengli AG (Registered) | 4 | 346,080 | ||||||
Costa Group Holdings Ltd. | 13,860 | 34,650 | ||||||
Danone SA | 10,134 | 559,538 | ||||||
DyDo Group Holdings, Inc. | 500 | 25,827 | ||||||
Ebro Foods SA | 1,618 | 36,224 | ||||||
Elders Ltd. | 1,508 | 11,871 | ||||||
Emmi AG (Registered) | 41 | 38,739 | ||||||
First Resources Ltd. | 5,100 | 4,519 | ||||||
Freedom Foods Group Ltd.‡ (a) (d) | 4,368 | 6,925 | ||||||
Fuji Oil Holdings, Inc. | 3,400 | 107,327 | ||||||
Fujicco Co. Ltd. | 2,000 | 38,339 | ||||||
Fujiya Co. Ltd. | 400 | 8,881 | ||||||
Glanbia plc | 7,586 | 72,106 | ||||||
Golden Agri-Resources Ltd. | 2,559,600 | 264,301 | ||||||
Greencore Group plc | 27,840 | 32,559 | ||||||
Grieg Seafood ASA | 5,037 | 35,542 | ||||||
House Foods Group, Inc. | 2,400 | 79,319 | ||||||
Inghams Group Ltd. | 24,494 | 49,195 | ||||||
Itoham Yonekyu Holdings, Inc. | 6,500 | 43,400 | ||||||
Japfa Ltd. | 210,820 | 99,582 | ||||||
J-Oil Mills, Inc. | 4,600 | 162,368 | ||||||
Kagome Co. Ltd. | 900 | 30,778 | ||||||
Kameda Seika Co. Ltd. | 900 | 40,721 | ||||||
Kerry Group plc, Class A | 2,346 | 280,652 | ||||||
Kikkoman Corp. | 4,000 | 198,202 | ||||||
Kotobuki Spirits Co. Ltd. | 1,000 | 46,107 | ||||||
LDC SA | 1,812 | 198,407 | ||||||
Leroy Seafood Group ASA | 11,649 | 54,645 | ||||||
Lotus Bakeries NV | 13 | 50,881 | ||||||
Maple Leaf Foods, Inc. | 301 | 5,477 | ||||||
Maruha Nichiro Corp.(a) | 18,200 | 379,878 | ||||||
Mehadrin Ltd.* | – | (e) | 14 | |||||
MEIJI Holdings Co. Ltd. | 1,600 | 115,707 | ||||||
Mitsui Sugar Co. Ltd. | 3,400 | 59,095 | ||||||
Morinaga & Co. Ltd. | 1,100 | 41,721 | ||||||
Morinaga Milk Industry Co. Ltd.(a) | 1,200 | 57,739 |
See Accompanying Notes to the Financial Statements.
188 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Food Products – (continued) | ||||||||
Mowi ASA | 3,640 | $ | 57,367 | |||||
Nestle SA (Registered) | 46,368 | 5,215,799 | ||||||
Nichirei Corp. | 3,500 | 87,985 | ||||||
Nippon Flour Mills Co. Ltd. | 1,500 | 24,019 | ||||||
Nippon Suisan Kaisha Ltd. | 16,000 | 61,374 | ||||||
Nisshin Oillio Group Ltd. (The) | 10,300 | 295,187 | ||||||
Nisshin Seifun Group, Inc. | 7,090 | 106,547 | ||||||
Nissin Foods Holdings Co. Ltd. | 1,500 | 129,711 | ||||||
Norway Royal Salmon ASA | 2,651 | 56,798 | ||||||
Orkla ASA | 14,424 | 135,928 | ||||||
Premium Brands Holdings Corp. | 1,100 | 78,407 | ||||||
Riken Vitamin Co. Ltd. | 400 | 5,904 | ||||||
S Foods, Inc. | 9,100 | 302,057 | ||||||
S&B Foods, Inc. | 4,600 | 198,450 | ||||||
Sakata Seed Corp. | 2,800 | 98,565 | ||||||
Salmar ASA* | 52 | 2,625 | ||||||
Saputo, Inc. | 4,455 | 108,355 | ||||||
Savencia SA* | 1,794 | 100,308 | ||||||
Schouw & Co. A/S | 1,160 | 100,910 | ||||||
Showa Sangyo Co. Ltd.(a) | 13,800 | 425,722 | ||||||
Starzen Co. Ltd. | 4,600 | 170,949 | ||||||
Strauss Group Ltd. | 952 | 27,571 | ||||||
Suedzucker AG | 1,979 | 28,493 | ||||||
Synlait Milk Ltd.* (a) | 1,760 | 6,200 | ||||||
Tate & Lyle plc | 3,262 | 25,104 | ||||||
Toyo Suisan Kaisha Ltd. | 2,800 | 139,277 | ||||||
Vilmorin & Cie SA | 1,612 | 84,217 | ||||||
Viscofan SA | 825 | 55,690 | ||||||
Vitasoy International Holdings Ltd.(a) | 16,000 | 64,579 | ||||||
WH Group Ltd.(b) | 161,000 | 126,436 | ||||||
Wilmar International Ltd. | 78,200 | 231,364 | ||||||
Yakult Honsha Co. Ltd. | 1,700 | 82,284 | ||||||
Yamazaki Baking Co. Ltd.(a) | 2,900 | 47,603 | ||||||
13,581,715 | ||||||||
Gas Utilities – 0.5% | ||||||||
AltaGas Ltd.(a) | 7,107 | 90,027 | ||||||
APA Group | 17,066 | 125,718 | ||||||
Enagas SA | 1,976 | 42,651 | ||||||
Hong Kong & China Gas Co. Ltd. | 157,340 | 226,022 |
Investments | Shares | Value | ||||||
Gas Utilities – (continued) | ||||||||
Naturgy Energy Group SA(a) | 7,130 | $ | 132,471 | |||||
Nippon Gas Co. Ltd. | 2,000 | 95,466 | ||||||
Osaka Gas Co. Ltd. | 5,900 | 111,860 | ||||||
Rubis SCA | 2,653 | 87,086 | ||||||
Saibu Gas Co. Ltd.(a) | 3,600 | 86,436 | ||||||
Shizuoka Gas Co. Ltd.(a) | 27,600 | 241,837 | ||||||
Snam SpA | 24,749 | 120,793 | ||||||
Superior Plus Corp.(a) | 78,579 | 698,362 | ||||||
Toho Gas Co. Ltd.(a) | 2,000 | 103,118 | ||||||
Tokyo Gas Co. Ltd. | 7,000 | 158,394 | ||||||
2,320,241 | ||||||||
Health Care Equipment & Supplies – 1.3% | ||||||||
Alcon, Inc.* | 8,188 | 465,435 | ||||||
Ambu A/S, Class B(a) | 3,172 | 96,156 | ||||||
Ansell Ltd. | 52 | 1,468 | ||||||
Arjo AB, Class B | 4,131 | 29,354 | ||||||
Asahi Intecc Co. Ltd. | 3,200 | 99,024 | ||||||
BioMerieux | 825 | 122,816 | ||||||
Carl Zeiss Meditec AG | 715 | 92,365 | ||||||
Cochlear Ltd. | 848 | 126,355 | ||||||
Coloplast A/S, Class B | 1,564 | 228,258 | ||||||
ConvaTec Group plc(b) | 5,396 | 12,607 | ||||||
CYBERDYNE, Inc.* | 4,500 | 30,735 | ||||||
Demant A/S* (a) | 2,796 | 88,061 | ||||||
DiaSorin SpA | 293 | 64,335 | ||||||
Draegerwerk AG & Co. KGaA (Preference) | 585 | 47,019 | ||||||
Eiken Chemical Co. Ltd. | 1,600 | 30,518 | ||||||
Elekta AB, Class B | 6,069 | 71,114 | ||||||
Fisher & Paykel Healthcare Corp. Ltd. | 11,339 | 262,288 | ||||||
Getinge AB, Class B | 3,120 | 61,112 | ||||||
GN Store Nord A/S | 1,976 | 142,122 | ||||||
Hogy Medical Co. Ltd. | 1,200 | 35,240 | ||||||
Hoya Corp. | 5,300 | 598,240 | ||||||
Japan Lifeline Co. Ltd. | 3,000 | 38,512 | ||||||
Koninklijke Philips NV* | 15,174 | 704,808 | ||||||
Mani, Inc. | 3,900 | 97,481 | ||||||
Menicon Co. Ltd. | 1,600 | 112,952 | ||||||
Nagaileben Co. Ltd. | 1,500 | 37,507 | ||||||
Nakanishi, Inc. | 5,100 | 90,740 | ||||||
Nanosonics Ltd.* (a) | 16,777 | 60,675 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 189 |
Table of Contents
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Health Care Equipment & Supplies – (continued) | ||||||||
Nihon Kohden Corp. | 2,300 | $ | 71,944 | |||||
Nipro Corp. | 5,200 | 54,567 | ||||||
Olympus Corp. | 22,800 | 433,798 | ||||||
Paramount Bed Holdings Co. Ltd. | 800 | 30,840 | ||||||
PolyNovo Ltd.* (a) | 32,604 | 59,530 | ||||||
Sartorius AG (Preference) | 638 | 270,069 | ||||||
Sectra AB, Class B* | 1,654 | 100,900 | ||||||
Siemens Healthineers AG(b) | 3,225 | 138,451 | ||||||
Smith & Nephew plc | 16,146 | 279,018 | ||||||
Sonova Holding AG (Registered)* | 880 | 208,827 | ||||||
Straumann Holding AG (Registered) | 195 | 203,393 | ||||||
Sysmex Corp. | 2,400 | 224,986 | ||||||
Terumo Corp. | 12,200 | 447,785 | ||||||
Ypsomed Holding AG (Registered) | 81 | 10,075 | ||||||
6,381,480 | ||||||||
Health Care Providers & Services – 0.6% | ||||||||
AEVIS VICTORIA SA* | 2,808 | 38,449 | ||||||
Alfresa Holdings Corp. | 5,500 | 100,540 | ||||||
Ambea AB* (b) | 20,095 | 113,104 | ||||||
Amplifon SpA* | 3,067 | 111,501 | ||||||
As One Corp. | 700 | 100,842 | ||||||
BML, Inc. | 3,300 | 92,428 | ||||||
Chartwell Retirement Residences(a) | 5,472 | 39,234 | ||||||
China Evergrande New Energy Vehicle Group Ltd.* (a) | 40,000 | 110,640 | ||||||
EBOS Group Ltd. | 2,014 | 34,275 | ||||||
Fagron | 2,504 | 55,565 | ||||||
Fresenius Medical Care AG & Co. KGaA | 2,852 | 217,867 | ||||||
Fresenius SE & Co. KGaA | 9,936 | 368,515 | ||||||
Galenica AG(b) | 132 | 8,339 | ||||||
Healius Ltd. | 27,458 | 64,982 | ||||||
Korian SA* (a) | 2,644 | 74,471 | ||||||
Mediclinic International plc(a) | 22,600 | 82,581 | ||||||
Medipal Holdings Corp. | 700 | 12,468 | ||||||
Metlifecare Ltd.* (d) | 69,372 | 274,171 |
Investments | Shares | Value | ||||||
Health Care Providers & Services – (continued) | ||||||||
NMC Health plc* (d) | 2,074 | $ | 852 | |||||
Orpea* | 992 | 99,075 | ||||||
Raffles Medical Group Ltd. | 4,124 | 2,325 | ||||||
Ramsay Health Care Ltd. | 2,340 | 102,458 | ||||||
Ryman Healthcare Ltd. | 2,860 | 26,462 | ||||||
Ship Healthcare Holdings, Inc. | 900 | 42,615 | ||||||
Sienna Senior Living, Inc.(a) | 2,835 | 24,685 | ||||||
Sonic Healthcare Ltd. | 9,897 | 242,005 | ||||||
Summerset Group Holdings Ltd.(a) | 11,505 | 79,078 | ||||||
Suzuken Co. Ltd. | 3,380 | 121,730 | ||||||
Toho Holdings Co. Ltd. | 4,200 | 77,419 | ||||||
Town Health International Medical Group Ltd.* ‡ (a) (d) | 398,000 | – | ||||||
UDG Healthcare plc | 11,405 | 106,987 | ||||||
Vital KSK Holdings, Inc.(a) | 18,800 | 169,225 | ||||||
2,994,888 | ||||||||
Health Care Technology – 0.1% | ||||||||
AGFA-Gevaert NV* (a) | 53,820 | 204,377 | ||||||
CompuGroup Medical SE & Co. KGaA | 624 | 53,461 | ||||||
Craneware plc | 608 | 12,224 | ||||||
M3, Inc. | 7,000 | 470,528 | ||||||
740,590 | ||||||||
Hotels, Restaurants & Leisure – 2.3% | ||||||||
Accor SA* | 4,370 | 111,276 | ||||||
Arcland Service Holdings Co. Ltd. | 1,400 | 26,744 | ||||||
Aristocrat Leisure Ltd. | 9,338 | 187,744 | ||||||
Atom Corp.(a) | 5,800 | 46,382 | ||||||
Autogrill SpA* (a) | 52,118 | 195,242 | ||||||
Basic-Fit NV* (b) | 1,196 | 28,978 | ||||||
Betsson AB* | 62,100 | 473,713 | ||||||
Carnival plc | 5,876 | 64,474 | ||||||
Colowide Co. Ltd.(a) | 3,500 | 52,195 | ||||||
Compass Group plc | 25,530 | 348,259 | ||||||
Corporate Travel Management Ltd.(a) | 3,366 | 34,511 | ||||||
Create Restaurants Holdings, Inc.(a) | 4,400 | 22,939 | ||||||
Crown Resorts Ltd. | 11,014 | 64,042 | ||||||
Dalata Hotel Group plc(a) | 82,248 | 231,852 |
See Accompanying Notes to the Financial Statements.
190 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Hotels, Restaurants & Leisure – (continued) | ||||||||
Domino’s Pizza Enterprises Ltd. | 1,460 | $ | 86,872 | |||||
Domino’s Pizza Group plc | 15,345 | 65,753 | ||||||
Doutor Nichires Holdings Co. Ltd. | 2,700 | 37,863 | ||||||
Evolution Gaming Group AB(b) | 2,024 | 150,302 | ||||||
Flight Centre Travel Group Ltd.(a) | 4,910 | 38,825 | ||||||
Flutter Entertainment plc | 1,493 | 257,908 | ||||||
Flutter Entertainment plc – XDUB(a) | 1,009 | 175,771 | ||||||
Fuji Kyuko Co. Ltd. | 1,000 | 42,759 | ||||||
Galaxy Entertainment Group Ltd. | 36,000 | 237,219 | ||||||
Gamesys Group plc | 2,860 | 42,971 | ||||||
Genting Hong Kong Ltd.* | 1,601,000 | 51,613 | ||||||
Genting Singapore Ltd. | 144,000 | 68,019 | ||||||
GL Ltd. | 188,600 | 67,678 | ||||||
Great Canadian Gaming Corp.* | 2,860 | 48,798 | ||||||
Greggs plc* | 1,040 | 17,307 | ||||||
GVC Holdings plc | 12,972 | 162,059 | ||||||
Hiday Hidaka Corp. | 2,191 | 35,629 | ||||||
HIS Co. Ltd.* (a) | 14,600 | 195,663 | ||||||
Hongkong & Shanghai Hotels Ltd. (The)(a) | 24,307 | 17,615 | ||||||
Ichibanya Co. Ltd. | 1,000 | 50,603 | ||||||
InterContinental Hotels Group plc | 2,300 | 116,458 | ||||||
J D Wetherspoon plc* | 3,795 | 42,298 | ||||||
Kindred Group plc, SDR | 99,176 | 755,423 | ||||||
Kisoji Co. Ltd.(a) | 1,700 | 39,939 | ||||||
KOMEDA Holdings Co. Ltd. | 1,200 | 21,190 | ||||||
Kyoritsu Maintenance Co. Ltd. | 15,400 | 548,001 | ||||||
Mandarin Oriental International Ltd. | 8,000 | 14,640 | ||||||
McDonald’s Holdings Co. Japan Ltd. | 1,100 | 52,085 | ||||||
Melco International Development Ltd. | 21,000 | 34,012 | ||||||
Melia Hotels International SA* (a) | 46,828 | 173,461 | ||||||
MGM China Holdings Ltd.(a) | 32,400 | 42,699 |
Investments | Shares | Value | ||||||
Hotels, Restaurants & Leisure – (continued) | ||||||||
Miramar Hotel & Investment | 138,000 | $ | 224,933 | |||||
Mitchells & Butlers plc* | 95,542 | 193,704 | ||||||
MOS Food Services, Inc.(a) | 2,100 | 57,150 | ||||||
NagaCorp Ltd.(a) | 94,000 | 96,972 | ||||||
Ohsho Food Service Corp. | 1,504 | 82,437 | ||||||
Oriental Land Co. Ltd. | 4,500 | 627,822 | ||||||
Pandox AB* | 5,720 | 57,257 | ||||||
Playtech plc | 145,912 | 641,836 | ||||||
Plenus Co. Ltd. | 1,000 | 16,329 | ||||||
Rank Group plc | 85,332 | 99,301 | ||||||
Restaurant Brands International, Inc.(a) | 4,232 | 219,733 | ||||||
Restaurant Brands New Zealand Ltd.* | 1,154 | 9,053 | ||||||
Ringer Hut Co. Ltd.(a) | 1,700 | 36,703 | ||||||
Round One Corp. | 5,100 | 39,955 | ||||||
Royal Holdings Co. Ltd.(a) | 1,600 | 27,105 | ||||||
Saizeriya Co. Ltd. | 1,800 | 31,113 | ||||||
Sands China Ltd. | 42,000 | 147,043 | ||||||
Scandic Hotels Group AB(a) (b) | 84,552 | 214,677 | ||||||
Shangri-La Asia Ltd.* | 32,000 | 25,130 | ||||||
SJM Holdings Ltd. | 76,000 | 78,697 | ||||||
SkiStar AB | 2,828 | 31,708 | ||||||
Skylark Holdings Co. Ltd.(a) | 3,700 | 52,630 | ||||||
Sodexo SA | 988 | 63,413 | ||||||
SSP Group plc | 234,922 | 567,109 | ||||||
St Marc Holdings Co. Ltd. | 1,900 | 27,026 | ||||||
Star Entertainment Grp Ltd. (The) | 11,421 | 26,307 | ||||||
Tabcorp Holdings Ltd. | 42,680 | 98,608 | ||||||
Tokyo Dome Corp. | 7,000 | 55,778 | ||||||
Toridoll Holdings Corp. | 3,200 | 40,406 | ||||||
TUI AG, DI | 13,832 | 54,119 | ||||||
Whitbread plc | 1,820 | 50,524 | ||||||
William Hill plc | 473,156 | 1,678,754 | ||||||
Wynn Macau Ltd.* (a) | 12,800 | 17,661 | ||||||
Yoshinoya Holdings Co. Ltd.(a) | 4,900 | 89,760 | ||||||
Zensho Holdings Co. Ltd.(a) | 3,600 | 83,784 | ||||||
11,444,321 | ||||||||
Household Durables – 1.4% | ||||||||
Barratt Developments plc | 30,314 | 189,121 | ||||||
Bellway plc | 3,680 | 111,105 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 191 |
Table of Contents
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Household Durables – (continued) | ||||||||
Berkeley Group Holdings plc | 1,456 | $ | 76,377 | |||||
Bonava AB, Class B(a) | 33,864 | 264,600 | ||||||
Breville Group Ltd. | 4,514 | 82,641 | ||||||
Cairn Homes plc* | 289,064 | 264,322 | ||||||
Casio Computer Co. Ltd. | 3,600 | 54,375 | ||||||
Countryside Properties plc(a) (b) | 13,624 | 59,401 | ||||||
Crest Nicholson Holdings plc | 123,786 | 351,801 | ||||||
De’ Longhi SpA* | 2,352 | 75,233 | ||||||
Electra Consumer Products 1970 Ltd. | 4,888 | 134,891 | ||||||
Electrolux AB, Series B(a) | 7,237 | 163,340 | ||||||
ES-Con Japan Ltd. | 18,800 | 151,961 | ||||||
Fiskars OYJ Abp | 574 | 8,612 | ||||||
Forbo Holding AG (Registered) | 24 | 36,712 | ||||||
Fujitsu General Ltd. | 2,100 | 57,934 | ||||||
Haseko Corp. | 3,500 | 41,750 | ||||||
Hunter Douglas NV* | 1,352 | 78,429 | ||||||
Husqvarna AB, Class B | 10,433 | 107,833 | ||||||
Iida Group Holdings Co. Ltd. | 5,400 | 97,266 | ||||||
JM AB | 1,842 | 53,308 | ||||||
Kaufman & Broad SA | 416 | 14,828 | ||||||
Man Wah Holdings Ltd. | 54,400 | 75,200 | ||||||
Nagawa Co. Ltd. | 500 | 35,058 | ||||||
Neinor Homes SA* (a) (b) | 17,020 | 205,395 | ||||||
Nikon Corp. | 1,400 | 8,423 | ||||||
Nobia AB* | 55,798 | 336,625 | ||||||
Panasonic Corp. | 55,200 | 507,276 | ||||||
Persimmon plc | 7,774 | 234,810 | ||||||
Pressance Corp. | 18,400 | 250,285 | ||||||
Redrow plc | 8,322 | 44,720 | ||||||
Rinnai Corp. | 100 | 9,853 | ||||||
Sangetsu Corp. | 2,256 | 32,392 | ||||||
SEB SA | 560 | 91,063 | ||||||
Sekisui Chemical Co. Ltd. | 8,700 | 134,819 | ||||||
Sekisui House Ltd. | 17,200 | 284,062 | ||||||
Sharp Corp. | 6,200 | 71,169 | ||||||
Sony Corp. | 19,400 | 1,609,677 | ||||||
Sumitomo Forestry Co. Ltd. | 7,700 | 120,722 | ||||||
Tamron Co. Ltd. | 5,200 | 77,149 | ||||||
Taylor Wimpey plc | 91,494 | 125,163 | ||||||
Token Corp.(a) | 4,600 | 345,418 | ||||||
TomTom NV* | 25 | 168 |
Investments | Shares | Value | ||||||
Household Durables – (continued) | ||||||||
Vistry Group plc | 5,405 | $ | 38,088 | |||||
Zojirushi Corp. | 1,300 | 23,180 | ||||||
7,136,555 | ||||||||
Household Products – 0.5% | ||||||||
Earth Corp. | 600 | 37,995 | ||||||
Essity AB, Class A | 2,977 | 89,967 | ||||||
Essity AB, Class B(a) | 7,651 | 221,678 | ||||||
Henkel AG & Co. KGaA | 1,770 | 160,098 | ||||||
Henkel AG & Co. KGaA (Preference) | 2,392 | 232,713 | ||||||
Lion Corp. | 2,400 | 49,061 | ||||||
Pigeon Corp. | 2,400 | 110,312 | ||||||
PZ Cussons plc | 28,228 | 84,677 | ||||||
Reckitt Benckiser Group plc | 12,006 | 1,055,616 | ||||||
Unicharm Corp. | 5,400 | 250,010 | ||||||
2,292,127 | ||||||||
Independent Power and Renewable Electricity Producers – 0.3% | ||||||||
Boralex, Inc., Class A | 2,081 | 60,478 | ||||||
Capital Power Corp. | 1,924 | 42,366 | ||||||
ContourGlobal plc(b) | 75,164 | 188,349 | ||||||
Drax Group plc | 175,674 | 671,899 | ||||||
EDP Renovaveis SA | 26 | 494 | ||||||
Electric Power Development Co. Ltd. | 7,700 | 103,855 | ||||||
Encavis AG | 3,696 | 72,673 | ||||||
Enlight Renewable Energy Ltd.* | 32,188 | 60,888 | ||||||
ERG SpA | 2,090 | 47,376 | ||||||
Innergex Renewable Energy, Inc. | 559 | 10,070 | ||||||
Meridian Energy Ltd.(a) | 28,875 | 101,142 | ||||||
Northland Power, Inc.(a) | 2,116 | 68,383 | ||||||
Renewables Infrastructure Group Ltd. (The)(a) | 57,872 | 101,168 | ||||||
Scatec Solar ASA(b) | 988 | 21,706 | ||||||
TransAlta Corp. | 3,496 | 20,714 | ||||||
Uniper SE | 2,028 | 60,617 | ||||||
1,632,178 | ||||||||
Industrial Conglomerates – 0.8% | ||||||||
Bonheur ASA | 8,832 | 186,640 | ||||||
CK Hutchison Holdings Ltd. | 66,356 | 399,598 |
See Accompanying Notes to the Financial Statements.
192 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Industrial Conglomerates – (continued) | ||||||||
DCC plc | 988 | $ | 64,181 | |||||
Guoco Group Ltd. | 4,000 | 49,002 | ||||||
Indus Holding AG | 7,615 | 225,306 | ||||||
Investment AB Latour, Class B | 6,498 | 151,698 | ||||||
Italmobiliare SpA | 245 | 7,920 | ||||||
Jardine Matheson Holdings Ltd. | 9,200 | 408,388 | ||||||
Jardine Strategic Holdings Ltd. | 5,500 | 119,295 | ||||||
Keppel Corp. Ltd. | 27,500 | 88,411 | ||||||
Lifco AB, Class B | 1,772 | 129,598 | ||||||
Mie Kotsu Group Holdings, Inc.(a) | 32,900 | 142,879 | ||||||
Nisshinbo Holdings, Inc. | 7,800 | 51,632 | ||||||
Nolato AB, Class B* | 710 | 59,026 | ||||||
Noritsu Koki Co. Ltd. | 5,200 | 95,604 | ||||||
NWS Holdings Ltd. | 53,401 | 46,757 | ||||||
Rheinmetall AG | 1,144 | 83,553 | ||||||
Sembcorp Industries Ltd. | 17,200 | 19,902 | ||||||
Shun Tak Holdings Ltd.(a) | 920,000 | 269,302 | ||||||
Siemens AG (Registered) | 12,144 | 1,424,496 | ||||||
Smiths Group plc | 2,990 | 51,399 | ||||||
TOKAI Holdings Corp. | 2,795 | 27,619 | ||||||
Toshiba Corp. | 4,600 | 115,682 | ||||||
4,217,888 | ||||||||
Insurance – 4.2% | ||||||||
Admiral Group plc | 4,922 | 175,014 | ||||||
Aegon NV(a) | 38,669 | 104,276 | ||||||
Ageas SA | 5,796 | 233,263 | ||||||
AIA Group Ltd. | 186,400 | 1,755,871 | ||||||
Allianz SE (Registered) | 11,132 | 1,958,812 | ||||||
Alm Brand A/S | 8,488 | 97,079 | ||||||
ASR Nederland NV | 4,975 | 151,253 | ||||||
Assicurazioni Generali SpA | 33,396 | 447,754 | ||||||
AUB Group Ltd. | 2,255 | 26,414 | ||||||
Aviva plc | 123,924 | 412,602 | ||||||
AXA SA | 55,062 | 885,118 | ||||||
Baloise Holding AG (Registered) | 1,748 | 238,966 | ||||||
Beazley plc | 12,948 | 49,221 | ||||||
CBL Corp. Ltd.* ‡ (d) | 102,937 | – | ||||||
Clal Insurance Enterprises Holdings Ltd.* | 25,162 | 255,934 |
Investments | Shares | Value | ||||||
Insurance – (continued) | ||||||||
CNP Assurances* | 5,980 | $ | 67,359 | |||||
Coface SA* | 37,260 | 290,795 | ||||||
Dai-ichi Life Holdings, Inc. | 34,600 | 511,851 | ||||||
Direct Line Insurance Group plc | 48,208 | 164,247 | ||||||
E-L Financial Corp. Ltd.(a) | 736 | 364,591 | ||||||
Fairfax Financial Holdings Ltd. | 690 | 181,247 | ||||||
Gjensidige Forsikring ASA | 945 | 17,924 | ||||||
Great Eastern Holdings Ltd. | 6,800 | 88,542 | ||||||
Great-West Lifeco, Inc. | 6,344 | 129,178 | ||||||
Grupo Catalana Occidente SA | 2,102 | 48,481 | ||||||
Hannover Rueck SE | 722 | 104,875 | ||||||
Harel Insurance Investments & Financial Services Ltd.* | 8,005 | 58,629 | ||||||
Hastings Group Holdings plc(b) | 11,223 | 36,191 | ||||||
Helvetia Holding AG (Registered) | 1,265 | 99,097 | ||||||
Hiscox Ltd. | 9,568 | 101,990 | ||||||
iA Financial Corp., Inc.(a) | 4,278 | 148,937 | ||||||
IDI Insurance Co. Ltd.* | 4,420 | 108,794 | ||||||
Insurance Australia Group Ltd. | 33,212 | 111,251 | ||||||
Intact Financial Corp. | 1,656 | 170,922 | ||||||
Japan Post Holdings Co. Ltd. | 39,700 | 271,490 | ||||||
Just Group plc* | 515,436 | 280,579 | ||||||
Lancashire Holdings Ltd. | 2,288 | 18,830 | ||||||
Legal & General Group plc | 177,332 | 423,728 | ||||||
Manulife Financial Corp. | 54,326 | 735,836 | ||||||
Mapfre SA | 37,752 | 56,904 | ||||||
Medibank Pvt Ltd. | 54,859 | 102,861 | ||||||
Menora Mivtachim Holdings Ltd.* | 13,755 | 185,494 | ||||||
Migdal Insurance & Financial Holdings Ltd.* | 90,400 | 71,410 | ||||||
MS&AD Insurance Group Holdings, Inc. | 13,800 | 375,494 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Registered) | 3,680 | 860,759 | ||||||
nib holdings Ltd. | 11,260 | 32,895 | ||||||
NN Group NV | 6,566 | 228,993 | ||||||
Phoenix Group Holdings plc | 14,158 | 121,261 | ||||||
Phoenix Holdings Ltd. (The)* | 13,484 | 71,129 | ||||||
Poste Italiane SpA(b) | 12,259 | 99,959 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 193 |
Table of Contents
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Insurance – (continued) | ||||||||
Power Corp. of Canada | 13,533 | $ | 257,496 | |||||
Prudential plc | 69,644 | 848,988 | ||||||
QBE Insurance Group Ltd.(a) | 34,776 | 201,477 | ||||||
RSA Insurance Group plc | 22,494 | 123,203 | ||||||
Sabre Insurance Group plc(a)* (b) | 21,200 | 62,773 | ||||||
Sampo OYJ, Class A | 6,903 | 260,527 | ||||||
SCOR SE* | 5,934 | 144,189 | ||||||
Societa Cattolica di Assicurazioni SC* | 74,047 | 366,406 | ||||||
Sompo Holdings, Inc. | 8,700 | 323,816 | ||||||
Steadfast Group Ltd.(a) | 30,580 | 76,450 | ||||||
Storebrand ASA* | 17,930 | 93,975 | ||||||
Sun Life Financial, Inc. | 16,330 | 649,232 | ||||||
Suncorp Group Ltd. | 24,242 | 139,767 | ||||||
Swiss Life Holding AG (Registered)* | 966 | 324,828 | ||||||
Swiss Re AG | 8,418 | 603,785 | ||||||
T&D Holdings, Inc. | 13,800 | 136,891 | ||||||
Talanx AG | 3,266 | 96,175 | ||||||
Tokio Marine Holdings, Inc. | 18,200 | 811,113 | ||||||
Topdanmark A/S | 1,650 | 64,539 | ||||||
Tryg A/S | 2,365 | 65,606 | ||||||
Unipol Gruppo SpA* | 6,080 | 22,153 | ||||||
UnipolSai Assicurazioni SpA(a) | 27,841 | 64,667 | ||||||
UNIQA Insurance Group AG | 4,884 | 27,478 | ||||||
Wuestenrot & Wuerttembergische AG | 8,096 | 134,858 | ||||||
Yunfeng Financial Group Ltd.* (a) | 136,000 | 65,415 | ||||||
Zurich Insurance Group AG | 4,279 | 1,419,253 | ||||||
20,919,160 | ||||||||
Interactive Media & Services – 0.2% | ||||||||
Adevinta ASA* | 470 | 7,252 | ||||||
Auto Trader Group plc(b) | 16,652 | 124,665 | ||||||
carsales.com Ltd.(a) | 634 | 9,247 | ||||||
Dip Corp. | 1,400 | 26,771 | ||||||
Kakaku.com, Inc. | 1,600 | 42,410 | ||||||
LIFULL Co. Ltd. | 7,600 | 28,425 | ||||||
LINE Corp.* (a) | 900 | 46,231 | ||||||
New Work SE | 159 | 41,395 |
Investments | Shares | Value | ||||||
Interactive Media & Services – (continued) | ||||||||
REA Group Ltd.(a) | 1,668 | $ | 138,536 | |||||
Rightmove plc | 18,492 | 147,765 | ||||||
Scout24 AG(b) | 2,290 | 184,458 | ||||||
SEEK Ltd.(a) (d) | 5,653 | 85,391 | ||||||
Z Holdings Corp. | 38,800 | 269,121 | ||||||
1,151,667 | ||||||||
Internet & Direct Marketing Retail – 0.4% | ||||||||
ASKUL Corp. | 500 | 19,084 | ||||||
ASOS plc* | 1,370 | 78,084 | ||||||
Belluna Co. Ltd. | 15,600 | 126,692 | ||||||
boohoo Group plc* | 15,511 | 54,471 | ||||||
Delivery Hero SE* (b) | 2,208 | 254,061 | ||||||
Dustin Group AB(b) | 3,680 | 23,400 | ||||||
HelloFresh SE* | 1,596 | 85,370 | ||||||
Just Eat Takeaway.com NV* (b) | 1,703 | 188,709 | ||||||
Moneysupermarket.com Group plc | 22,168 | 69,709 | ||||||
Ocado Group plc* | 10,810 | 318,124 | ||||||
Prosus NV* | 6,256 | 625,105 | ||||||
Rakuten, Inc. | 7,000 | 67,964 | ||||||
Rocket Internet SE* (b) | 1 | 22 | ||||||
Trainline plc* (b) | 5,876 | 20,894 | ||||||
Webjet Ltd. | 5,413 | 13,266 | ||||||
Zalando SE* (b) | 1,702 | 158,963 | ||||||
ZOZO, Inc. | 2,800 | 71,004 | ||||||
2,174,922 | ||||||||
IT Services – 1.6% | ||||||||
Adyen NV* (b) | 460 | 775,615 | ||||||
Afterpay Ltd.* | 2,660 | 180,616 | ||||||
Alten SA* | 1,130 | 90,363 | ||||||
Amadeus IT Group SA | 5,428 | 259,172 | ||||||
Atea ASA* | 8,826 | 101,936 | ||||||
Atos SE* | 1,886 | 128,739 | ||||||
Bechtle AG | 703 | 120,622 | ||||||
CANCOM SE | 2,071 | 81,781 | ||||||
Capgemini SE | 2,668 | 308,109 | ||||||
Capita plc* | 739,726 | 236,151 | ||||||
CGI, Inc.* | 4,738 | 293,764 | ||||||
Computacenter plc | 1,092 | 32,108 | ||||||
Computershare Ltd. | 627 | 5,350 |
See Accompanying Notes to the Financial Statements.
194 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
IT Services – (continued) | ||||||||
Digital Garage, Inc. | 1,300 | $ | 46,073 | |||||
DTS Corp.(a) | 4,000 | 77,674 | ||||||
Edenred | 3,346 | 156,059 | ||||||
Equiniti Group plc(b) | 151,938 | 203,135 | ||||||
FDM Group Holdings plc | 3,850 | 49,781 | ||||||
Formula Systems 1985 Ltd. | 829 | 65,948 | ||||||
Fujitsu Ltd. | 3,900 | 456,069 | ||||||
GMO internet, Inc. | 1,200 | 31,957 | ||||||
Indra Sistemas SA* | 5,627 | 33,756 | ||||||
Infocom Corp. | 1,600 | 58,007 | ||||||
Infomart Corp. | 5,300 | 43,803 | ||||||
Itochu Techno-Solutions Corp. | 2,400 | 81,615 | ||||||
Keywords Studios plc* | 1,140 | 31,190 | ||||||
Link Administration Holdings Ltd.(a) | 6,824 | 22,859 | ||||||
Matrix IT Ltd. | 2,464 | 56,938 | ||||||
Megaport Ltd.* (a) | 7,072 | 66,896 | ||||||
NEC Corp. | 2,900 | 145,638 | ||||||
NEC Networks & System Integration Corp. | 2,400 | 41,554 | ||||||
NET One Systems Co. Ltd. | 3,800 | 113,411 | ||||||
Nexi SpA* (b) | 1,457 | 22,386 | ||||||
NEXTDC Ltd.* | 16,647 | 148,935 | ||||||
Nihon Unisys Ltd. | 2,600 | 76,478 | ||||||
Nomura Research Institute Ltd. | 5,945 | 176,007 | ||||||
NS Solutions Corp. | 800 | 23,340 | ||||||
NSD Co. Ltd.(a) | 5,160 | 90,475 | ||||||
NTT Data Corp. | 10,400 | 116,893 | ||||||
Obic Co. Ltd. | 1,500 | 266,166 | ||||||
Otsuka Corp. | 3,400 | 156,763 | ||||||
Reply SpA | 880 | 94,614 | ||||||
S&T AG* | 228 | 4,135 | ||||||
SCSK Corp. | 900 | 44,682 | ||||||
Shopify, Inc., Class A* | 1,702 | 1,567,816 | ||||||
Softcat plc | 364 | 5,295 | ||||||
Sopra Steria Group* | 884 | 105,032 | ||||||
SUNeVision Holdings Ltd. | 134,000 | 117,155 | ||||||
TietoEVRY OYJ | 1,598 | 39,835 | ||||||
TIS, Inc. | 6,300 | 120,588 | ||||||
Transcosmos, Inc. | 2,100 | 57,070 | ||||||
Worldline SA* (b) | 3,234 | 239,740 | ||||||
7,870,094 |
Investments | Shares | Value | ||||||
Leisure Products – 0.4% | ||||||||
Bandai Namco Holdings, Inc.(a) | 4,700 | $ | 349,600 | |||||
BRP, Inc.(a) | 1,664 | 89,805 | ||||||
Games Workshop Group plc | 684 | 91,713 | ||||||
Heiwa Corp. | 2,450 | 39,513 | ||||||
Mizuno Corp. | 9,200 | 152,864 | ||||||
Sega Sammy Holdings, Inc. | 5,300 | 66,212 | ||||||
Shimano, Inc. | 1,700 | 386,460 | ||||||
Technogym SpA* (a) (b) | 4,905 | 36,453 | ||||||
Thule Group AB(b) | 2,805 | 91,513 | ||||||
Tomy Co. Ltd.(a) | 32,700 | 284,960 | ||||||
Universal Entertainment Corp.* | 300 | 5,097 | ||||||
Yamaha Corp. | 4,600 | 216,491 | ||||||
Yonex Co. Ltd.(a) | 10,000 | 56,151 | ||||||
1,866,832 | ||||||||
Life Sciences Tools & Services – 0.3% | ||||||||
Clinigen Group plc | 5,270 | 41,021 | ||||||
EPS Holdings, Inc. | 1,900 | 17,157 | ||||||
Eurofins Scientific SE* | 230 | 183,201 | ||||||
Evotec SE* | 3,180 | 84,012 | ||||||
Gerresheimer AG | 755 | 75,898 | ||||||
Lonza Group AG (Registered) | 1,242 | 752,341 | ||||||
PureTech Health plc* | 5,168 | 17,340 | ||||||
QIAGEN NV* | 4,369 | 207,265 | ||||||
Sartorius Stedim Biotech | 260 | 98,611 | ||||||
Siegfried Holding AG (Registered)* | 165 | 104,503 | ||||||
Tecan Group AG (Registered) | 303 | 143,806 | ||||||
1,725,155 | ||||||||
Machinery – 4.4% | ||||||||
Aalberts NV | 1,404 | 47,166 | ||||||
Alfa Laval AB* | 5,520 | 111,936 | ||||||
Alstom SA* (a) | 3,506 | 157,151 | ||||||
Amada Co. Ltd. | 7,200 | 62,330 | ||||||
ANDRITZ AG | 2,081 | 70,104 | ||||||
Atlas Copco AB, Class A | 8,832 | 389,848 | ||||||
Atlas Copco AB, Class B | 7,268 | 278,680 | ||||||
ATS Automation Tooling Systems, Inc.* | 1,400 | 17,325 | ||||||
Beijer Alma AB | 2,304 | 30,026 | ||||||
Bobst Group SA (Registered) | 52 | 2,502 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 195 |
Table of Contents
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Machinery – (continued) | ||||||||
Bodycote plc | 11,283 | $ | 94,901 | |||||
Bucher Industries AG (Registered) | 275 | 105,913 | ||||||
Cargotec OYJ, Class B | 684 | 23,488 | ||||||
CKD Corp. | 2,500 | 41,252 | ||||||
CNH Industrial NV* | 23,230 | 180,216 | ||||||
Concentric AB* | 914 | 15,136 | ||||||
Construcciones y Auxiliar de Ferrocarriles SA* | 720 | 22,812 | ||||||
Conzzeta AG (Registered) | 55 | 55,507 | ||||||
Daetwyler Holding AG | 474 | 106,017 | ||||||
Daifuku Co. Ltd. | 2,800 | 287,392 | ||||||
Daiwa Industries Ltd. | 1,600 | 14,326 | ||||||
Danieli & C Officine Meccaniche SpA(a) | 9,196 | 131,757 | ||||||
Danieli & C Officine Meccaniche SpA (Retirement Savings Plan) | 19,669 | 177,793 | ||||||
DMG Mori AG | 1,007 | 47,565 | ||||||
DMG Mori Co. Ltd. | 2,100 | 27,842 | ||||||
Duerr AG | 23,660 | 679,638 | ||||||
Epiroc AB, Class A | 10,590 | 158,235 | ||||||
FANUC Corp. | 3,600 | 759,327 | ||||||
Fincantieri SpA* (a) | 213,096 | 119,346 | ||||||
FLSmidth & Co. A/S* (a) | 19,044 | 485,825 | ||||||
Fluidra SA | 912 | 16,488 | ||||||
Fuji Corp. | 5,400 | 107,855 | ||||||
Fujitec Co. Ltd. | 2,400 | 52,091 | ||||||
Furukawa Co. Ltd.(a) | 18,400 | 189,562 | ||||||
GEA Group AG | 4,390 | 146,098 | ||||||
Georg Fischer AG (Registered) | 139 | 140,281 | ||||||
Glory Ltd. | 100 | 2,099 | ||||||
Harmonic Drive Systems, Inc.(a) | 1,500 | 98,718 | ||||||
Hino Motors Ltd. | 10,300 | 78,427 | ||||||
Hirata Corp. | 4,600 | 284,255 | ||||||
Hitachi Construction Machinery Co. Ltd. | 4,600 | 112,646 | ||||||
Hitachi Zosen Corp. | 73,600 | 294,991 | ||||||
Hoshizaki Corp. | 1,200 | 95,619 | ||||||
IHI Corp. | 2,500 | 30,012 | ||||||
IMA Industria Macchine Automatiche SpA* (a) | 857 | 67,434 |
Investments | Shares | Value | ||||||
Machinery – (continued) | ||||||||
IMI plc | 1,824 | $ | 24,386 | |||||
Interpump Group SpA | 2,231 | 84,200 | ||||||
Interroll Holding AG (Registered) | 34 | 91,255 | ||||||
Japan Steel Works Ltd. (The)(a) | 29,800 | 632,544 | ||||||
Jungheinrich AG (Preference) | 19,412 | 705,497 | ||||||
Kawasaki Heavy Industries Ltd.(a) | 2,800 | 33,212 | ||||||
KION Group AG | 1,932 | 150,423 | ||||||
Kitz Corp.(a) | 31,900 | 172,103 | ||||||
Komatsu Ltd. | 26,700 | 597,902 | ||||||
Komori Corp. | 4,400 | 28,116 | ||||||
Kone OYJ, Class B | 6,624 | 527,309 | ||||||
Konecranes OYJ | 2,273 | 71,488 | ||||||
Krones AG | 926 | 52,875 | ||||||
Kubota Corp. | 18,400 | 318,665 | ||||||
Kurita Water Industries Ltd. | 3,400 | 100,823 | ||||||
Kyokuto Kaihatsu Kogyo Co. Ltd. | 18,500 | 227,401 | ||||||
Makita Corp. | 6,000 | 264,014 | ||||||
Manitou BF SA* (a) | 7,200 | 142,578 | ||||||
Max Co. Ltd. | 2,800 | 38,971 | ||||||
Meidensha Corp. | 17,300 | 263,455 | ||||||
Metso Outotec OYJ | 17,994 | 126,705 | ||||||
MINEBEA MITSUMI, Inc. | 9,211 | 165,118 | ||||||
MISUMI Group, Inc. | 2,900 | 85,718 | ||||||
Mitsubishi Heavy Industries Ltd. | 9,200 | 196,646 | ||||||
Mitsuboshi Belting Ltd. | 9,200 | 143,359 | ||||||
Mitsui E&S Holdings Co. Ltd.* (a) | 41,400 | 130,291 | ||||||
Miura Co. Ltd. | 3,300 | 154,520 | ||||||
Morgan Advanced Materials plc | 114,448 | 369,953 | ||||||
Morita Holdings Corp. | 2,600 | 47,379 | ||||||
Nachi-Fujikoshi Corp. | 8,900 | 350,330 | ||||||
Neles OYJ | 989 | 13,243 | ||||||
NFI Group, Inc.(a) | 25,990 | 294,138 | ||||||
NGK Insulators Ltd. | 8,100 | 114,906 | ||||||
Nikkiso Co. Ltd.(a) | 32,600 | 310,283 | ||||||
Nitta Corp. | 12,600 | 264,921 | ||||||
Noritake Co. Ltd. | 4,600 | 134,867 | ||||||
Norma Group SE | 13,478 | 418,244 | ||||||
NSK Ltd. | 18,400 | 145,912 |
See Accompanying Notes to the Financial Statements.
196 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Machinery – (continued) | ||||||||
NTN Corp.(a) | 7,600 | $ | 13,958 | |||||
Obara Group, Inc.(a) | 4,600 | 159,068 | ||||||
OC Oerlikon Corp. AG (Registered) | 469 | 3,262 | ||||||
Oiles Corp. | 2,920 | 40,641 | ||||||
OKUMA Corp. | 1,000 | 48,116 | ||||||
Organo Corp. | 4,600 | 239,372 | ||||||
OSG Corp. | 1,500 | 22,355 | ||||||
Palfinger AG | 5,409 | 125,005 | ||||||
Pfeiffer Vacuum Technology AG | 398 | 72,601 | ||||||
Rational AG | 55 | 41,227 | ||||||
Rotork plc | 23,256 | 84,497 | ||||||
Ryobi Ltd.(a) | 15,500 | 166,802 | ||||||
Sandvik AB* | 17,020 | 303,070 | ||||||
Schindler Holding AG | 738 | 188,818 | ||||||
Sembcorp Marine Ltd.* | 263,569 | 23,162 | ||||||
SFS Group AG | 593 | 55,318 | ||||||
Shibaura Machine Co. Ltd. | 4,649 | 92,544 | ||||||
Shima Seiki Manufacturing Ltd.(a) | 10,500 | 155,180 | ||||||
Shinmaywa Industries Ltd. | 22,200 | 171,586 | ||||||
Sintokogio Ltd.(a) | 23,000 | 157,968 | ||||||
SKF AB, Class A | 2,427 | 49,624 | ||||||
SKF AB, Class B | 3,728 | 76,309 | ||||||
SMC Corp. | 1,100 | 581,883 | ||||||
Spirax-Sarco Engineering plc | 1,501 | 218,921 | ||||||
Stabilus SA | 582 | 32,962 | ||||||
Sumitomo Heavy Industries Ltd. | 5,200 | 110,427 | ||||||
Tadano Ltd.(a) | 8,900 | 68,023 | ||||||
Takeuchi Manufacturing Co. Ltd. | 18,400 | 398,133 | ||||||
Takuma Co. Ltd.(a) | 37,000 | 564,521 | ||||||
Techtronic Industries Co. Ltd. | 23,000 | 306,673 | ||||||
Tocalo Co. Ltd.(a) | 8,200 | 81,420 | ||||||
Trelleborg AB, Class B* | 6,432 | 106,873 | ||||||
Tsubakimoto Chain Co. | 11,400 | 252,340 | ||||||
Tsugami Corp. | 3,400 | 47,029 | ||||||
Union Tool Co. | 500 | 14,731 | ||||||
Valmet OYJ | 4,429 | 105,659 | ||||||
VAT Group AG* (b) | 76 | 14,246 | ||||||
Vesuvius plc | 106,030 | 547,290 |
Investments | Shares | Value | ||||||
Machinery – (continued) | ||||||||
Volvo AB, Class A* (a) | 9,246 | $ | 179,702 | |||||
Volvo AB, Class B* | 48,346 | 940,453 | ||||||
Wacker Neuson SE* | 12,466 | 229,142 | ||||||
Wartsila OYJ Abp | 8,141 | 64,693 | ||||||
Weir Group plc (The) | 3,920 | 72,658 | ||||||
Yaskawa Electric Corp. | 4,600 | 177,549 | ||||||
21,817,493 | ||||||||
Marine – 0.3% | ||||||||
AP Moller – Maersk A/S, Class A | 52 | 76,721 | ||||||
AP Moller – Maersk A/S, Class B | 104 | 166,134 | ||||||
Dfds A/S* | 14,997 | 558,916 | ||||||
Golden Ocean Group Ltd.(a) | 40,710 | 131,684 | ||||||
Irish Continental Group plc | 11,810 | 43,197 | ||||||
Kawasaki Kisen Kaisha Ltd.* (a) | 1,300 | 15,743 | ||||||
Kuehne + Nagel International AG (Registered) | 782 | 156,221 | ||||||
SITC International Holdings Co. Ltd. | 49,000 | 75,571 | ||||||
Stolt-Nielsen Ltd. | 12,602 | 116,016 | ||||||
Wallenius Wilhelmsen ASA | 71,008 | 135,199 | ||||||
Wilh Wilhelmsen Holding ASA, Class A | 2,468 | 36,405 | ||||||
1,511,807 | ||||||||
Media – 0.8% | ||||||||
Ascential plc(b) | 19,337 | 69,108 | ||||||
Cogeco, Inc. | 3,220 | 192,425 | ||||||
CyberAgent, Inc. | 2,200 | 137,842 | ||||||
Daily Mail & General Trust plc, Class A | 6,037 | 52,767 | ||||||
Dentsu Group, Inc. | 2,100 | 60,083 | ||||||
Euromoney Institutional Investor plc | 4,083 | 43,502 | ||||||
Eutelsat Communications SA | 9,280 | 93,332 | ||||||
Future plc | 3,420 | 87,734 | ||||||
Hakuhodo DY Holdings, Inc. | 7,400 | 93,933 | ||||||
Informa plc | 36,156 | 195,414 | ||||||
IPSOS | 17,158 | 421,715 | ||||||
ITV plc* | 91,152 | 85,024 | ||||||
JCDecaux SA* | 4,626 | 71,399 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 197 |
Table of Contents
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Media – (continued) | ||||||||
Lagardere SCA* (a) | 4,213 | $ | 92,114 | |||||
Mediaset Espana Comunicacion SA* | 70,288 | 234,981 | ||||||
Mediaset SpA* | 7,888 | 13,397 | ||||||
Metropole Television SA* | 21,298 | 233,949 | ||||||
Nine Entertainment Co. Holdings Ltd.(a) | 10,556 | 15,419 | ||||||
Nippon Television Holdings, Inc. | 2,400 | 25,253 | ||||||
Pearson plc(a) | 16,422 | 108,292 | ||||||
ProSiebenSat.1 Media SE* | 9,500 | 106,013 | ||||||
Publicis Groupe SA(a) | 5,554 | 192,793 | ||||||
Quebecor, Inc., Class B | 4,781 | 110,834 | ||||||
RAI Way SpA(b) | 8,120 | 49,374 | ||||||
Schibsted ASA, Class A* | 2,349 | 95,642 | ||||||
Schibsted ASA, Class B* | 2,493 | 89,352 | ||||||
SES SA, FDR | 6,561 | 52,382 | ||||||
Shaw Communications, Inc., Class B | 7,109 | 117,030 | ||||||
Singapore Press Holdings Ltd. | 50,900 | 36,903 | ||||||
SKY Perfect JSAT Holdings, Inc. | 59,800 | 254,553 | ||||||
Stroeer SE & Co. KGaA* | 620 | 44,813 | ||||||
Telenet Group Holding NV | 1,273 | 48,934 | ||||||
Television Francaise 1* | 51,290 | 301,116 | ||||||
TX Group AG | 316 | 22,134 | ||||||
Wowow, Inc. | 3,630 | 95,594 | ||||||
WPP plc | 32,936 | 262,587 | ||||||
Zenrin Co. Ltd. | 2,400 | 26,195 | ||||||
4,233,932 | ||||||||
Metals & Mining – 4.7% | ||||||||
Acerinox SA* | 72,818 | 577,129 | ||||||
Agnico Eagle Mines Ltd. | 3,135 | 247,983 | ||||||
Aichi Steel Corp.(a) | 6,300 | 151,142 | ||||||
Alamos Gold, Inc., Class A | 3,943 | 35,989 | ||||||
Alumina Ltd. | 7,644 | 7,703 | ||||||
Anglo American plc | 36,248 | 848,885 | ||||||
Antofagasta plc | 7,124 | 94,831 | ||||||
Aperam SA(a) | 22,912 | 615,983 | ||||||
ArcelorMittal SA* | 18,354 | 249,116 | ||||||
Asahi Holdings, Inc. | 19,200 | 623,532 | ||||||
Aurubis AG | 14,398 | 921,427 |
Investments | Shares | Value | ||||||
Metals & Mining – (continued) | ||||||||
B2Gold Corp. | 13,052 | $ | 83,891 | |||||
Barrick Gold Corp. | 5,266 | 140,679 | ||||||
Barrick Gold Corp. – XLON | 22,380 | 583,898 | ||||||
Bekaert SA | 18,354 | 390,393 | ||||||
BHP Group Ltd. | 43,930 | 1,042,108 | ||||||
BHP Group plc | 59,662 | 1,149,584 | ||||||
BlueScope Steel Ltd. | 15,410 | 158,646 | ||||||
Boliden AB | 5,796 | 158,360 | ||||||
Centamin plc | 2,912 | 4,667 | ||||||
Centerra Gold, Inc. | 10,883 | 95,007 | ||||||
Daido Steel Co. Ltd.(a) | 2,000 | 65,143 | ||||||
Deterra Royalties Ltd.* | 6,916 | 19,087 | ||||||
Dowa Holdings Co. Ltd. | 2,200 | 62,650 | ||||||
Eldorado Gold Corp.* | 7,220 | 90,429 | ||||||
Endeavour Mining Corp.* | 2,501 | 61,299 | ||||||
Eramet SA* (a) | 4,876 | 129,386 | ||||||
Evolution Mining Ltd. | 37,412 | 145,550 | ||||||
Evraz plc | 23,537 | 109,408 | ||||||
Ferrexpo plc(a) | 122,912 | 302,753 | ||||||
First Majestic Silver Corp.* (a) | 7,676 | 78,467 | ||||||
First Quantum Minerals Ltd. | 13,936 | 160,018 | ||||||
Fortescue Metals Group Ltd. | 42,412 | 517,345 | ||||||
Franco-Nevada Corp. | 2,686 | 365,808 | ||||||
Glencore plc* | 302,726 | 610,231 | ||||||
Granges AB* (a) | 36,616 | 330,530 | ||||||
Highland Gold Mining Ltd.(a) | 109,848 | 425,532 | ||||||
Hill & Smith Holdings plc | 3,264 | 50,644 | ||||||
Hitachi Metals Ltd. | 4,740 | 62,617 | ||||||
Hochschild Mining plc | 14,099 | 40,106 | ||||||
Hudbay Minerals, Inc. | 100,188 | 451,592 | ||||||
IAMGOLD Corp.* | 27,352 | 100,107 | ||||||
IGO Ltd. | 17,166 | 53,523 | ||||||
Iluka Resources Ltd. | 6,916 | 25,012 | ||||||
Ivanhoe Mines Ltd., Class A* | 21,170 | 83,197 | ||||||
JFE Holdings, Inc. | 18,400 | 128,135 | ||||||
KAZ Minerals plc | 17,892 | 145,746 | ||||||
Kinross Gold Corp. | 24,079 | 191,426 | ||||||
Kirkland Lake Gold Ltd. | 3,588 | 163,342 | ||||||
Kobe Steel Ltd.* | 15,800 | 61,211 | ||||||
Kyoei Steel Ltd.(a) | 13,100 | 164,157 | ||||||
Labrador Iron Ore Royalty Corp.(a) | 29,257 | 537,371 | ||||||
Lundin Gold, Inc.* (a) | 6,342 | 52,796 |
See Accompanying Notes to the Financial Statements.
198 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Metals & Mining – (continued) | ||||||||
Lundin Mining Corp. | 8,112 | $ | 48,976 | |||||
Lynas Corp. Ltd.* (a) | 57,395 | 114,065 | ||||||
MAG Silver Corp.* | 4,656 | 78,604 | ||||||
Mineral Resources Ltd. | 1,300 | 22,787 | ||||||
Mitsubishi Materials Corp. | 5,300 | 96,783 | ||||||
Mitsui Mining & Smelting Co. Ltd. | 23,000 | 575,330 | ||||||
Mount Gibson Iron Ltd.(a) | 218,737 | 104,453 | ||||||
Newcrest Mining Ltd. | 11,178 | 229,527 | ||||||
Nippon Light Metal Holdings Co. Ltd. | 27,600 | 433,775 | ||||||
Nippon Steel Corp.* | 25,115 | 241,805 | ||||||
Norsk Hydro ASA* | 42,080 | 117,671 | ||||||
Northern Star Resources Ltd. | 12,278 | 128,040 | ||||||
Novagold Resources, Inc.* (a) | 7,962 | 82,465 | ||||||
OceanaGold Corp.* | 35,910 | 46,862 | ||||||
Osaka Steel Co. Ltd. | 1,000 | 10,685 | ||||||
Osisko Gold Royalties Ltd.(a) | 5,548 | 61,998 | ||||||
Outokumpu OYJ* (a) | 156,446 | 390,532 | ||||||
OZ Minerals Ltd. | 13,621 | 142,141 | ||||||
Pan American Silver Corp. | 4,082 | 129,622 | ||||||
Perseus Mining Ltd.* | 23,104 | 19,713 | ||||||
Petropavlovsk plc* (a) | 1,184,914 | 409,069 | ||||||
Polymetal International plc | 5,376 | 113,964 | ||||||
Pretium Resources, Inc.* | 5,096 | 62,107 | ||||||
Ramelius Resources Ltd. | 7,332 | 9,937 | ||||||
Regis Resources Ltd. | 7,828 | 22,813 | ||||||
Resolute Mining Ltd.* (a) | 474,674 | 266,672 | ||||||
Rio Tinto Ltd. | 9,982 | 647,921 | ||||||
Rio Tinto plc | 28,290 | 1,593,746 | ||||||
Salzgitter AG* | 988 | 14,386 | ||||||
Sandfire Resources Ltd. | 80,592 | 250,153 | ||||||
Sandstorm Gold Ltd.* | 14,396 | 106,241 | ||||||
Sanyo Special Steel Co. Ltd. | 4,800 | 46,696 | ||||||
Saracen Mineral Holdings Ltd.* | 36,229 | 143,492 | ||||||
Sims Ltd. | 5,980 | 39,937 | ||||||
South32 Ltd. | 68,448 | 97,577 | ||||||
SSAB AB, Class A* | 13,394 | 38,943 | ||||||
SSR Mining, Inc.* (a) | 8,991 | 166,286 | ||||||
St Barbara Ltd. | 320,246 | 595,966 | ||||||
Sumitomo Metal Mining Co. Ltd. | 5,300 | 163,401 |
Investments | Shares | Value | ||||||
Metals & Mining – (continued) | ||||||||
Teck Resources Ltd., Class B | 12,880 | $ | 169,145 | |||||
thyssenkrupp AG* | 3,839 | 18,312 | ||||||
Toho Titanium Co. Ltd. | 200 | 1,188 | ||||||
Tokyo Steel Manufacturing Co. Ltd. | 36,800 | 233,036 | ||||||
Torex Gold Resources, Inc.* | 5,650 | 76,105 | ||||||
Turquoise Hill Resources Ltd.* | 3,437 | 26,989 | ||||||
UACJ Corp. | 800 | 12,588 | ||||||
voestalpine AG | 1,880 | 52,230 | ||||||
Westgold Resources Ltd.* (a) | 165,784 | 299,204 | ||||||
Wheaton Precious Metals Corp. | 6,614 | 303,281 | ||||||
Yamana Gold, Inc. | 25,540 | 141,937 | ||||||
Yodogawa Steel Works Ltd. | 7,500 | 140,329 | ||||||
23,305,056 | ||||||||
Multiline Retail – 0.5% | ||||||||
B&M European Value Retail SA | 25,070 | 157,151 | ||||||
Canadian Tire Corp. Ltd., Class A(a) | 1,248 | 139,256 | ||||||
Dollarama, Inc. | 4,646 | 159,867 | ||||||
Europris ASA(b) | 5,876 | 30,429 | ||||||
Fuji Co. Ltd. | 13,800 | 254,773 | ||||||
H2O Retailing Corp. | 5,615 | 36,631 | ||||||
Harvey Norman Holdings Ltd. | 5,610 | 17,492 | ||||||
Isetan Mitsukoshi Holdings Ltd. | 300 | 1,449 | ||||||
Izumi Co. Ltd. | 1,300 | 43,959 | ||||||
J Front Retailing Co. Ltd. | 300 | 2,270 | ||||||
Lifestyle International Holdings Ltd.* (a) | 138,000 | 108,018 | ||||||
Marks & Spencer Group plc | 57,720 | 66,527 | ||||||
Marui Group Co. Ltd. | 5,500 | 98,594 | ||||||
Next plc | 2,530 | 191,043 | ||||||
Pan Pacific International Holdings Corp. | 12,300 | 261,437 | ||||||
Ryohin Keikaku Co. Ltd. | 6,000 | 125,234 | ||||||
Seria Co. Ltd. | 1,000 | 38,454 | ||||||
Takashimaya Co. Ltd. | 9,100 | 67,549 | ||||||
Warehouse Group Ltd. (The)(a) | 11,552 | 18,247 | ||||||
Wesfarmers Ltd. | 17,066 | 550,812 | ||||||
2,369,192 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 199 |
Table of Contents
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Multi-Utilities – 0.7% | ||||||||
A2A SpA | 78,430 | $ | 99,719 | |||||
ACEA SpA | 1,552 | 30,806 | ||||||
AGL Energy Ltd. | 12,880 | 112,881 | ||||||
Algonquin Power & Utilities Corp. | 9,248 | 140,105 | ||||||
Atco Ltd., Class I | 1,064 | 29,598 | ||||||
Centrica plc(a) | 173,334 | 83,328 | ||||||
E.ON SE | 31,346 | 326,868 | ||||||
Engie SA* | 50,876 | 615,445 | ||||||
Hera SpA(a) | 30,628 | 96,328 | ||||||
Iren SpA | 34,534 | 78,483 | ||||||
Keppel Infrastructure Trust | 170,047 | 67,869 | ||||||
National Grid plc | 61,885 | 735,359 | ||||||
REN – Redes Energeticas Nacionais SGPS SA | 13,606 | 35,739 | ||||||
RWE AG | 10,120 | 374,750 | ||||||
Suez SA | 9,640 | 176,522 | ||||||
Telecom Plus plc | 4,843 | 83,285 | ||||||
Veolia Environnement SA | 9,384 | 174,786 | ||||||
3,261,871 | ||||||||
Oil, Gas & Consumable Fuels – 3.5% | ||||||||
Aker BP ASA | 4,404 | 68,325 | ||||||
Ampol Ltd. | 6,084 | 110,828 | ||||||
ARC Resources Ltd.(a) | 155,388 | 764,499 | ||||||
Beach Energy Ltd. | 90,532 | 75,020 | ||||||
BP plc | 550,988 | 1,400,632 | ||||||
Brightoil Petroleum Holdings Ltd.* ‡ (d) | 50,147 | – | ||||||
BW LPG Ltd.(b) | 38,318 | 166,359 | ||||||
Cairn Energy plc* | 27,958 | 50,248 | ||||||
Cameco Corp.(a) | 9,372 | 88,986 | ||||||
Canadian Natural Resources Ltd. | 34,684 | 551,469 | ||||||
Cenovus Energy, Inc.(a) | 32,051 | 104,805 | ||||||
China Aviation Oil Singapore Corp. Ltd. | 96,000 | 64,680 | ||||||
Cosmo Energy Holdings Co. Ltd.(a) | 600 | 8,724 | ||||||
Crescent Point Energy Corp.(a) | 237,360 | 295,510 | ||||||
Delek Group Ltd.* | 4,089 | 74,684 |
Investments | Shares | Value | ||||||
Oil, Gas & Consumable Fuels – (continued) | ||||||||
Diversified Gas & Oil plc(a) (b) | 299,368 | $ | 432,759 | |||||
DNO ASA(a) | 22,960 | 9,481 | ||||||
Enbridge, Inc. | 31,280 | 861,206 | ||||||
ENEOS Holdings, Inc. | 78,250 | 262,430 | ||||||
Energean plc* | 3,432 | 23,035 | ||||||
Enerplus Corp.(a) | 17,160 | 31,145 | ||||||
Eni SpA | 72,726 | 509,221 | ||||||
Equinor ASA | 16,468 | 208,890 | ||||||
Equital Ltd.* | 8,510 | 157,680 | ||||||
Euronav NV | 6,241 | 45,545 | ||||||
Galp Energia SGPS SA | 7,324 | 59,327 | ||||||
Gaztransport Et Technigaz SA | 660 | 63,234 | ||||||
Gibson Energy, Inc. | 7,625 | 112,200 | ||||||
Husky Energy, Inc. | 11,656 | 29,985 | ||||||
Idemitsu Kosan Co. Ltd. | 4,282 | 86,222 | ||||||
Imperial Oil Ltd.(a) | 7,476 | 99,355 | ||||||
Inpex Corp. | 25,000 | 117,658 | ||||||
Inter Pipeline Ltd.(a) | 11,856 | 105,458 | ||||||
Itochu Enex Co. Ltd. | 18,500 | 172,896 | ||||||
Iwatani Corp. | 2,197 | 99,405 | ||||||
Japan Petroleum Exploration Co. Ltd. | 15,500 | 243,309 | ||||||
Keyera Corp. | 1,840 | 26,095 | ||||||
Koninklijke Vopak NV | 1,558 | 80,996 | ||||||
Lundin Energy AB | 4,170 | 79,571 | ||||||
MEG Energy Corp.* | 119,186 | 217,214 | ||||||
Mitsuuroko Group Holdings Co. Ltd. | 1,200 | 14,314 | ||||||
Naphtha Israel Petroleum Corp. Ltd.* | 20,959 | 81,828 | ||||||
Neste OYJ | 8,004 | 416,572 | ||||||
New Hope Corp. Ltd.(a) | 222,602 | 167,265 | ||||||
Oil Refineries Ltd.* | 686,412 | 122,106 | ||||||
OMV AG | 5,382 | 123,504 | ||||||
Origin Energy Ltd. | 33,994 | 95,489 | ||||||
Parex Resources, Inc.* | 66,032 | 642,318 | ||||||
Parkland Corp. | 2,207 | 53,861 | ||||||
Paz Oil Co. Ltd. | 4,094 | 377,360 | ||||||
Pembina Pipeline Corp. | 7,682 | 160,686 | ||||||
PrairieSky Royalty Ltd. | 486 | 2,978 | ||||||
Repsol SA | 40,800 | 253,788 | ||||||
Royal Dutch Shell plc, Class A | 113,160 | 1,412,533 | ||||||
Royal Dutch Shell plc, Class B | 103,408 | 1,242,134 |
See Accompanying Notes to the Financial Statements.
200 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Oil, Gas & Consumable Fuels – (continued) | ||||||||
San-Ai Oil Co. Ltd. | 17,900 | $ | 179,274 | |||||
Santos Ltd. | 40,112 | 133,238 | ||||||
Saras SpA* (a) | 237,406 | 121,513 | ||||||
Seven Generations Energy Ltd., Class A* | 14,612 | 51,726 | ||||||
Suncor Energy, Inc. | 26,082 | 294,006 | ||||||
TC Energy Corp. | 13,846 | 544,556 | ||||||
TOTAL SE | 69,186 | 2,080,868 | ||||||
Tourmaline Oil Corp. | 3,328 | 43,080 | ||||||
United Energy Group Ltd.(a) | 198,000 | 26,809 | ||||||
Vermilion Energy, Inc.(a) | 69,322 | 171,050 | ||||||
Washington H Soul Pattinson & Co. Ltd.(a) | 3,009 | 53,545 | ||||||
Whitehaven Coal Ltd.(a) | 379,316 | 283,689 | ||||||
Woodside Petroleum Ltd. | 14,767 | 181,685 | ||||||
Z Energy Ltd. | 208,886 | 390,689 | ||||||
17,681,550 | ||||||||
Paper & Forest Products – 0.4% | ||||||||
Ahlstrom-Munksjo OYJ | 4,545 | 95,191 | ||||||
Canfor Corp.* | 4,489 | 54,406 | ||||||
Daiken Corp. | 2,100 | 39,131 | ||||||
Daio Paper Corp.(a) | 3,745 | 54,129 | ||||||
Hokuetsu Corp.(a) | 69,100 | 227,381 | ||||||
Holmen AB, Class B | 3,602 | 136,535 | ||||||
Metsa Board OYJ | 6,595 | 55,350 | ||||||
Mondi plc | 11,684 | 221,021 | ||||||
Navigator Co. SA (The)* (a) | 6,520 | 14,362 | ||||||
Nippon Paper Industries Co. Ltd.(a) | 8,100 | 91,197 | ||||||
Norbord, Inc. | 3,136 | 102,946 | ||||||
Oji Holdings Corp.(a) | 27,000 | 113,382 | ||||||
Semapa-Sociedade de Investimento e Gestao | 12,896 | 96,891 | ||||||
Stella-Jones, Inc. | 1,045 | 33,983 | ||||||
Stora Enso OYJ, Class R | 5,044 | 73,591 | ||||||
Svenska Cellulosa AB SCA, Class A* | 3,160 | 43,808 | ||||||
Svenska Cellulosa AB SCA, Class B* | 4,108 | 55,728 | ||||||
Tokushu Tokai Paper Co. Ltd.(a) | 4,600 | 191,850 | ||||||
UPM-Kymmene OYJ | 10,672 | 301,583 |
Investments | Shares | Value | ||||||
Paper & Forest Products – (continued) | ||||||||
West Fraser Timber Co. Ltd. | 2,213 | $ | 102,555 | |||||
2,105,020 | ||||||||
Personal Products – 1.1% | ||||||||
Beiersdorf AG | 1,380 | 144,514 | ||||||
Blackmores Ltd.* | 46 | 2,270 | ||||||
Fancl Corp. | 400 | 12,550 | ||||||
Interparfums SA* | 654 | 29,749 | ||||||
Kao Corp. | 8,000 | 567,821 | ||||||
Kobayashi Pharmaceutical Co. Ltd. | 1,400 | 136,197 | ||||||
Kose Corp. | 700 | 88,923 | ||||||
L’Occitane International SA | 15,500 | 28,262 | ||||||
L’Oreal SA | 3,919 | 1,267,714 | ||||||
Mandom Corp. | 2,600 | 38,525 | ||||||
Milbon Co. Ltd. | 1,000 | 51,272 | ||||||
Noevir Holdings Co. Ltd. | 1,900 | 84,695 | ||||||
Pola Orbis Holdings, Inc. | 2,000 | 39,372 | ||||||
Rohto Pharmaceutical Co. Ltd. | 2,000 | 62,368 | ||||||
Shiseido Co. Ltd. | 6,900 | 425,722 | ||||||
Unilever NV(a) | 23,440 | 1,325,613 | ||||||
Unilever plc | 17,158 | 977,040 | ||||||
5,282,607 | ||||||||
Pharmaceuticals – 4.3% | ||||||||
ALK-Abello A/S* | 208 | 69,383 | ||||||
Almirall SA | 4,342 | 46,456 | ||||||
Aphria, Inc.* (a) | 15,976 | 71,771 | ||||||
Astellas Pharma, Inc. | 31,800 | 436,512 | ||||||
AstraZeneca plc | 20,286 | 2,037,006 | ||||||
Aurora Cannabis, Inc.* (a) | 4,316 | 17,415 | ||||||
Bausch Health Cos., Inc.* | 7,682 | 126,463 | ||||||
Bayer AG (Registered) | 26,312 | 1,237,015 | ||||||
Canopy Growth Corp.* | 6,156 | 115,562 | ||||||
Chugai Pharmaceutical Co. Ltd. | 9,600 | 369,252 | ||||||
COSMO Pharmaceuticals NV* (a) | 413 | 33,390 | ||||||
Daiichi Sankyo Co. Ltd. | 31,500 | 828,028 | ||||||
Dechra Pharmaceuticals plc | 3,220 | 145,388 | ||||||
Eisai Co. Ltd. | 5,700 | 441,049 | ||||||
Faes Farma SA | 15,630 | 58,898 | ||||||
Financiere de Tubize SA | 751 | 64,036 | ||||||
GlaxoSmithKline plc | 81,728 | 1,365,101 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 201 |
Table of Contents
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Pharmaceuticals – (continued) | ||||||||
GW Pharmaceuticals plc* (d) | 1 | $ | 7 | |||||
H Lundbeck A/S | 1,852 | 52,157 | ||||||
Haw Par Corp. Ltd. | 3,200 | 21,982 | ||||||
Hikma Pharmaceuticals plc | 2,900 | 94,117 | ||||||
Hisamitsu Pharmaceutical Co., Inc. | 1,900 | 90,420 | ||||||
Hutchison China MediTech Ltd.* | 7,150 | 41,464 | ||||||
Ipsen SA | 770 | 70,095 | ||||||
JCR Pharmaceuticals Co. Ltd. | 2,400 | 61,917 | ||||||
Kaken Pharmaceutical Co. Ltd. | 1,500 | 58,901 | ||||||
Kissei Pharmaceutical Co. Ltd. | 1,400 | 27,480 | ||||||
Knight Therapeutics, Inc.* | 11,684 | 47,933 | ||||||
Kyowa Kirin Co. Ltd. | 4,600 | 113,966 | ||||||
Merck KGaA | 1,610 | 238,458 | ||||||
Mochida Pharmaceutical Co. Ltd. | 900 | 32,715 | ||||||
Nichi-iko Pharmaceutical Co. Ltd.(a) | 27,600 | 273,518 | ||||||
Nippon Shinyaku Co. Ltd. | 2,000 | 142,338 | ||||||
Novartis AG (Registered) | 38,134 | 2,974,415 | ||||||
Novo Nordisk A/S, Class B | 24,932 | 1,601,488 | ||||||
Ono Pharmaceutical Co. Ltd. | 9,800 | 278,607 | ||||||
Orion OYJ, Class A | 1,474 | 63,529 | ||||||
Orion OYJ, Class B | 1,404 | 60,103 | ||||||
Otsuka Holdings Co. Ltd. | 10,500 | 387,196 | ||||||
Recipharm AB, Class B* (a) | 5,237 | 84,370 | ||||||
Recordati Industria Chimica e Farmaceutica SpA | 2,359 | 122,253 | ||||||
Roche Holding AG | 10,902 | 3,505,935 | ||||||
Roche Holding AG – BR | 518 | 166,836 | ||||||
Sanofi | 17,388 | 1,567,084 | ||||||
Santen Pharmaceutical Co. Ltd. | 9,300 | 165,201 | ||||||
Seikagaku Corp. | 1,800 | 16,495 | ||||||
Shionogi & Co. Ltd. | 4,100 | 193,117 | ||||||
Sosei Group Corp.* | 1,200 | 14,314 | ||||||
Sumitomo Dainippon Pharma Co. Ltd. | 3,600 | 42,082 | ||||||
Taisho Pharmaceutical Holdings Co. Ltd. | 600 | 35,986 | ||||||
Takeda Pharmaceutical Co. Ltd. | 23,017 | 713,144 | ||||||
Teva Pharmaceutical Industries Ltd.* | 27,094 | 234,863 |
Investments | Shares | Value | ||||||
Pharmaceuticals – (continued) | ||||||||
Torii Pharmaceutical Co. Ltd. | 800 | $ | 22,667 | |||||
Towa Pharmaceutical Co. Ltd. | 1,200 | 22,143 | ||||||
Tsumura & Co. | 900 | 26,387 | ||||||
UCB SA | 2,300 | 226,924 | ||||||
Vifor Pharma AG | 875 | 98,474 | ||||||
Virbac SA* | 212 | 49,340 | ||||||
ZERIA Pharmaceutical Co. Ltd.(a) | 1,800 | 31,888 | ||||||
21,535,034 | ||||||||
Professional Services – 1.2% | ||||||||
Adecco Group AG (Registered) | 5,750 | 282,309 | ||||||
AF Poyry AB, Class B* | 4,429 | 101,108 | ||||||
Akka Technologies* (a) | 5,428 | 99,268 | ||||||
ALS Ltd. | 13,503 | 88,661 | ||||||
Applus Services SA* | 61,686 | 483,224 | ||||||
Benefit One, Inc. | 2,000 | 49,723 | ||||||
Bureau Veritas SA* | 4,296 | 94,329 | ||||||
DKSH Holding AG | 660 | 42,485 | ||||||
en-japan, Inc. | 1,700 | 37,239 | ||||||
Experian plc | 13,202 | 480,867 | ||||||
Funai Soken Holdings, Inc. | 2,700 | 58,267 | ||||||
Hays plc | 34,264 | 47,316 | ||||||
Intertek Group plc | 2,484 | 178,962 | ||||||
Intertrust NV(b) | 5,909 | 91,545 | ||||||
IPH Ltd.(a) | 21,158 | 97,618 | ||||||
JAC Recruitment Co. Ltd. | 1,300 | 15,544 | ||||||
Meitec Corp. | 1,500 | 74,182 | ||||||
Morneau Shepell, Inc. | 2,428 | 48,493 | ||||||
Nihon M&A Center, Inc. | 2,400 | 140,272 | ||||||
Nomura Co. Ltd. | 6,000 | 38,684 | ||||||
Outsourcing, Inc. | 46,400 | 428,315 | ||||||
Pagegroup plc | 20,728 | 95,842 | ||||||
Persol Holdings Co. Ltd.(a) | 5,700 | 85,658 | ||||||
Randstad NV* | 2,714 | 135,656 | ||||||
Recruit Holdings Co. Ltd. | 24,700 | 938,005 | ||||||
RELX plc | 29,118 | 575,097 | ||||||
RWS Holdings plc | 3,113 | 22,500 | ||||||
SGS SA (Registered) | 92 | 229,962 | ||||||
SmartGroup Corp. Ltd.(a) | 57,316 | 218,558 | ||||||
SMS Co. Ltd. | 3,200 | 93,974 | ||||||
Stantec, Inc. | 1,027 | 29,469 |
See Accompanying Notes to the Financial Statements.
202 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Professional Services – (continued) | ||||||||
TechnoPro Holdings, Inc. | 1,900 | $ | 117,591 | |||||
Teleperformance | 966 | 289,976 | ||||||
Thomson Reuters Corp. | 2,166 | 168,264 | ||||||
Wolters Kluwer NV | 3,358 | 272,167 | ||||||
6,251,130 | ||||||||
Real Estate Management & Development – 2.9% | ||||||||
ADLER Group SA* (b) | 2,368 | 59,525 | ||||||
Aedas Homes SA* (b) | 9,568 | 189,470 | ||||||
Aeon Mall Co. Ltd. | 1,990 | 30,933 | ||||||
AFI Properties Ltd.* | 280 | 6,765 | ||||||
Airport City Ltd.* | 1,928 | 21,054 | ||||||
Allreal Holding AG (Registered) | 366 | 77,549 | ||||||
Alrov Properties and Lodgings Ltd.* | 2,548 | 73,405 | ||||||
Altus Group Ltd. | 1,792 | 73,260 | ||||||
Amot Investments Ltd. | 11,168 | 51,470 | ||||||
Aroundtown SA* | 24,073 | 115,447 | ||||||
Ashtrom Properties Ltd. | 13,172 | 74,471 | ||||||
Atrium Ljungberg AB, Class B | 2,912 | 47,044 | ||||||
Azrieli Group Ltd. | 1,016 | 47,988 | ||||||
Bayside Land Corp. | 9,800 | 68,726 | ||||||
Big Shopping Centers Ltd.* | 16 | 1,215 | ||||||
Blue Square Real Estate Ltd. | 710 | 29,137 | ||||||
Bukit Sembawang Estates Ltd. | 73,600 | 192,422 | ||||||
CA Immobilien Anlagen AG | 1,760 | 48,281 | ||||||
CapitaLand Ltd.(a) | 62,731 | 118,066 | ||||||
Castellum AB | 7,038 | 146,593 | ||||||
Catena AB | 1,676 | 68,255 | ||||||
Cibus Nordic Real Estate AB | 11,546 | 200,537 | ||||||
City Developments Ltd. | 600 | 2,786 | ||||||
CK Asset Holdings Ltd. | 69,000 | 319,426 | ||||||
CLS Holdings plc(a) | 14,403 | 36,911 | ||||||
Colliers International Group, Inc. | 1,142 | 80,818 | ||||||
Corem Property Group AB, Class B | 61,048 | 118,308 | ||||||
Daibiru Corp. | 3,300 | 37,186 | ||||||
Daito Trust Construction Co. Ltd. | 1,900 | 172,479 | ||||||
Daiwa House Industry Co. Ltd. | 16,800 | 439,606 | ||||||
Deutsche EuroShop AG* | 20,746 | 261,959 | ||||||
Deutsche Wohnen SE | 5,980 | 301,828 |
Investments | Shares | Value | ||||||
Real Estate Management & Development – (continued) | ||||||||
Dios Fastigheter AB | 42,596 | $ | 298,373 | |||||
Emperor International Holdings Ltd.(a) | 574,000 | 80,680 | ||||||
Fabege AB | 8,276 | 104,552 | ||||||
Far East Consortium International Ltd. | 518,969 | 153,251 | ||||||
Fastighets AB Balder, Class B* | 2,944 | 138,714 | ||||||
FastPartner AB, Class A(a) | 6,642 | 55,144 | ||||||
FirstService Corp. | 676 | 90,574 | ||||||
Gazit-Globe Ltd. | 3,498 | 14,560 | ||||||
Goldcrest Co. Ltd. | 1,000 | 12,742 | ||||||
Grand City Properties SA | 2,508 | 56,939 | ||||||
Great Eagle Holdings Ltd.(a) | 8,776 | 21,162 | ||||||
GuocoLand Ltd. | 36,400 | 38,919 | ||||||
Henderson Land Development Co. Ltd. | 33,239 | 117,657 | ||||||
Hiag Immobilien Holding AG* | 355 | 36,021 | ||||||
Ho Bee Land Ltd. | 78,800 | 134,459 | ||||||
Hufvudstaden AB, Class A | 2,610 | 34,102 | ||||||
Hulic Co. Ltd. | 4,900 | 45,278 | ||||||
Hysan Development Co. Ltd. | 19,000 | 60,394 | ||||||
Ichigo, Inc. | 14,300 | 40,353 | ||||||
IMMOFINANZ AG* (a) | 2,253 | 30,181 | ||||||
Intershop Holding AG | 76 | 46,601 | ||||||
Israel Canada T.R Ltd. | 26,616 | 45,238 | ||||||
Isras Investment Co. Ltd. | 312 | 49,933 | ||||||
IWG plc* (a) | 18,668 | 61,165 | ||||||
Jeudan A/S* | 560 | 19,188 | ||||||
K Wah International Holdings Ltd. | 639,089 | 302,450 | ||||||
Kenedix, Inc. | 67,500 | 349,316 | ||||||
Kerry Properties Ltd. | 38,500 | 94,129 | ||||||
Klovern AB, Class B(a) | 22,886 | 34,890 | ||||||
Kowloon Development Co. Ltd. | 188,000 | 183,276 | ||||||
Kungsleden AB | 208 | 1,767 | ||||||
Lai Sun Development Co. Ltd.(a) | 78,826 | 68,104 | ||||||
LEG Immobilien AG | 1,196 | 161,634 | ||||||
Lendlease Corp. Ltd. | 15,615 | 131,149 | ||||||
Leopalace21 Corp.* | 78,200 | 121,930 | ||||||
Mega Or Holdings Ltd. | 9,706 | 251,668 | ||||||
Melisron Ltd. | 944 | 34,306 | ||||||
Mitsubishi Estate Co. Ltd. | 21,200 | 315,141 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 203 |
Table of Contents
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Real Estate Management & Development – (continued) | ||||||||
Mitsui Fudosan Co. Ltd. | 27,300 | $ | 463,400 | |||||
Mivne Real Estate KD Ltd. | 14,248 | 27,454 | ||||||
Mobimo Holding AG (Registered)* | 232 | 67,078 | ||||||
Morguard Corp. | 1,840 | 132,823 | ||||||
New World Development Co. Ltd. | 33,590 | 159,832 | ||||||
Nexity SA | 19,274 | 541,077 | ||||||
Nomura Real Estate Holdings, Inc. | 5,800 | 101,031 | ||||||
Norstar Holdings, Inc. | 9,152 | 39,653 | ||||||
Norwegian Property ASA | 16,948 | 19,858 | ||||||
NP3 Fastigheter AB | 12,428 | 144,928 | ||||||
Open House Co. Ltd. | 4,000 | 136,024 | ||||||
OUE Ltd. | 41,600 | 34,121 | ||||||
Oxley Holdings Ltd. | 467,080 | 71,832 | ||||||
Pacific Century Premium Developments Ltd.* (a) | 13,719 | 1,451 | ||||||
PATRIZIA AG | 3,248 | 73,928 | ||||||
Polytec Asset Holdings Ltd. | 512,640 | 42,969 | ||||||
Property & Building Corp. Ltd. | 480 | 39,453 | ||||||
PSP Swiss Property AG (Registered) | 531 | 64,250 | ||||||
Real Matters, Inc.* | 423 | 7,382 | ||||||
Relo Group, Inc. | 2,270 | 54,242 | ||||||
S IMMO AG(a) | 2,564 | 37,871 | ||||||
Sagax AB, Class B | 8,693 | 136,726 | ||||||
Samhallsbyggnadsbolaget i Norden AB(a) | 36,868 | 101,643 | ||||||
SAMTY Co. Ltd.(a) | 14,100 | 222,411 | ||||||
Savills plc | 10,452 | 112,373 | ||||||
Sella Capital Real Estate Ltd., REIT | 65,936 | 104,713 | ||||||
Selvaag Bolig ASA | 21,356 | 106,234 | ||||||
Sino Land Co. Ltd. | 29,823 | 35,227 | ||||||
Sirius Real Estate Ltd. | 94,543 | 89,849 | ||||||
St Modwen Properties plc | 1,373 | 5,885 | ||||||
Starts Corp., Inc. | 13,800 | 320,117 | ||||||
Sumitomo Realty & Development Co. Ltd. | 7,600 | 202,613 | ||||||
Summit Real Estate Holdings Ltd. | 15,268 | 133,919 |
Investments | Shares | Value | ||||||
Real Estate Management & Development – (continued) | ||||||||
Sun Frontier Fudousan Co. Ltd. | 14,400 | $ | 115,294 | |||||
Sun Hung Kai Properties Ltd. | 46,000 | 588,135 | ||||||
Swire Pacific Ltd., Class A | 3,500 | 15,932 | ||||||
Swire Properties Ltd. | 24,800 | 66,358 | ||||||
Swiss Prime Site AG (Registered) | 1,372 | 115,412 | ||||||
TAG Immobilien AG* | 4,270 | 125,840 | ||||||
Takara Leben Co. Ltd. | 31,200 | 86,849 | ||||||
Tokyo Tatemono Co. Ltd. | 10,000 | 114,406 | ||||||
Tokyu Fudosan Holdings Corp. | 20,000 | 86,857 | ||||||
Tosei Corp. | 10,400 | 103,861 | ||||||
Tricon Residential, Inc.(a) | 84,182 | 690,705 | ||||||
United Industrial Corp. Ltd. | 5,656 | 9,030 | ||||||
UOL Group Ltd. | 15,599 | 71,055 | ||||||
Vonovia SE | 9,536 | 608,941 | ||||||
Wallenstam AB, Class B | 7,068 | 93,778 | ||||||
Wang On Properties Ltd. | 312,000 | 3,782 | ||||||
Wharf Holdings Ltd. (The) | 29,000 | 59,833 | ||||||
Wharf Real Estate Investment Co. Ltd. | 25,000 | 95,908 | ||||||
Wihlborgs Fastigheter AB | 5,830 | 105,188 | ||||||
Wing Tai Holdings Ltd. | 59,200 | 77,604 | ||||||
YH Dimri Construction & Development Ltd. | 1,596 | 47,694 | ||||||
14,463,689 | ||||||||
Road & Rail – 1.6% | ||||||||
Aurizon Holdings Ltd. | 31,840 | 84,296 | ||||||
Canadian National Railway Co. | 12,052 | 1,196,297 | ||||||
Canadian Pacific Railway Ltd. | 1,886 | 563,162 | ||||||
Central Japan Railway Co. | 5,300 | 638,038 | ||||||
ComfortDelGro Corp. Ltd. | 106,400 | 105,192 | ||||||
East Japan Railway Co. | 9,400 | 490,681 | ||||||
Firstgroup plc* (a) | 556,324 | 295,068 | ||||||
Fukuyama Transporting Co. Ltd.(a) | 1,000 | 41,802 | ||||||
Go-Ahead Group plc (The) | 21,804 | 164,927 | ||||||
Hamakyorex Co. Ltd. | 7,000 | 197,532 | ||||||
Hankyu Hanshin Holdings, Inc. | 4,800 | 146,011 | ||||||
Hitachi Transport System Ltd. | 2,700 | 85,360 | ||||||
Keikyu Corp. | 1,300 | 18,106 | ||||||
Keio Corp. | 2,800 | 162,043 |
See Accompanying Notes to the Financial Statements.
204 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Road & Rail – (continued) | ||||||||
Keisei Electric Railway Co. Ltd. | 4,700 | $ | 131,055 | |||||
Kintetsu Group Holdings Co. Ltd. | 3,900 | 155,194 | ||||||
Kyushu Railway Co. | 2,100 | 44,575 | ||||||
Maruzen Showa Unyu Co. Ltd. | 8,100 | 236,321 | ||||||
MTR Corp. Ltd. | 26,764 | 132,356 | ||||||
Nagoya Railroad Co. Ltd. | 4,600 | 122,150 | ||||||
Nankai Electric Railway Co. Ltd. | 3,000 | 68,242 | ||||||
National Express Group plc | 236,992 | 458,727 | ||||||
Nikkon Holdings Co. Ltd. | 2,600 | 49,568 | ||||||
Nippon Express Co. Ltd. | 3,700 | 207,050 | ||||||
Nishi-Nippon Railroad Co. Ltd. | 1,000 | 26,344 | ||||||
Nobina AB* (b) | 30,636 | 168,235 | ||||||
Odakyu Electric Railway Co. Ltd. | 4,800 | 115,386 | ||||||
Sankyu, Inc. | 2,333 | 83,242 | ||||||
SBS Transit Ltd. | 30,400 | 63,449 | ||||||
Seibu Holdings, Inc. | 2,600 | 25,915 | ||||||
Seino Holdings Co. Ltd. | 7,500 | 96,709 | ||||||
Senko Group Holdings Co. Ltd. | 68,000 | 604,936 | ||||||
Sixt SE* | 550 | 41,643 | ||||||
Sixt SE (Preference) | 298 | 14,163 | ||||||
Stef SA* | 1,380 | 101,272 | ||||||
TFI International, Inc. | 3,864 | 171,907 | ||||||
Tobu Railway Co. Ltd. | 4,000 | 113,067 | ||||||
Tokyu Corp. | 9,300 | 109,867 | ||||||
Tonami Holdings Co. Ltd. | 4,600 | 246,413 | ||||||
Trancom Co. Ltd. | 600 | 42,988 | ||||||
West Japan Railway Co. | 4,500 | 191,984 | ||||||
8,011,273 | ||||||||
Semiconductors & Semiconductor Equipment – 1.3% | ||||||||
Advantest Corp. | 3,100 | 178,812 | ||||||
ams AG* | 8,843 | 189,586 | ||||||
ASM International NV | 1,058 | 151,340 | ||||||
ASM Pacific Technology Ltd. | 5,000 | 50,291 | ||||||
ASML Holding NV | 6,624 | 2,407,382 | ||||||
BE Semiconductor Industries NV | 2,736 | 110,558 | ||||||
Dialog Semiconductor plc* | 720 | 27,492 | ||||||
Disco Corp. | 700 | 187,689 |
Investments | Shares | Value | ||||||
Semiconductors & Semiconductor Equipment – (continued) | ||||||||
Infineon Technologies AG | 18,584 | $ | 517,377 | |||||
Japan Material Co. Ltd. | 3,900 | 50,102 | ||||||
Lasertec Corp. | 1,000 | 86,474 | ||||||
Melexis NV | 495 | 37,652 | ||||||
Mimasu Semiconductor Industry Co. Ltd. | 9,400 | 220,029 | ||||||
Nordic Semiconductor ASA* | 12,606 | 132,405 | ||||||
Renesas Electronics Corp.* | 15,600 | 128,483 | ||||||
Rohm Co. Ltd. | 2,000 | 153,052 | ||||||
SCREEN Holdings Co. Ltd. | 1,800 | 97,972 | ||||||
Shinko Electric Industries Co. Ltd. | 5,800 | 100,809 | ||||||
Siltronic AG | 1,016 | 96,170 | ||||||
SOITEC* | 816 | 115,773 | ||||||
STMicroelectronics NV | 12,374 | 376,922 | ||||||
SUMCO Corp. | 7,600 | 115,229 | ||||||
Tokyo Electron Ltd. | 2,500 | 667,209 | ||||||
Tower Semiconductor Ltd.* | 3,423 | 71,543 | ||||||
Ulvac, Inc. | 1,700 | 61,713 | ||||||
6,332,064 | ||||||||
Software – 1.0% | ||||||||
Altium Ltd.(a) | 1,716 | 44,804 | ||||||
AVEVA Group plc(a) | 2,286 | 126,804 | ||||||
BlackBerry Ltd.* (a) | 8,682 | 38,938 | ||||||
Blue Prism Group plc* (a) | 4,832 | 96,466 | ||||||
Bravura Solutions Ltd.(a) | 5,168 | 10,634 | ||||||
Constellation Software, Inc. | 372 | 390,202 | ||||||
Dassault Systemes SE | 2,366 | 403,897 | ||||||
Descartes Systems Group, Inc. (The)* | 832 | 44,578 | ||||||
Enghouse Systems Ltd. | 1,300 | 64,456 | ||||||
Fuji Soft, Inc. | 1,600 | 85,403 | ||||||
GB Group plc* | 1,064 | 12,230 | ||||||
Hilan Ltd. | 1,569 | 70,238 | ||||||
IRESS Ltd. | 17 | 109 | ||||||
Kinaxis, Inc.* | 520 | 79,317 | ||||||
Lightspeed POS, Inc.* | 2,184 | 69,811 | ||||||
Micro Focus International plc | 11,284 | 31,500 | ||||||
Miroku Jyoho Service Co. Ltd. | 1,000 | 20,241 | ||||||
Nemetschek SE | 884 | 63,946 | ||||||
Nice Ltd.* | 1,243 | 284,752 | ||||||
Open Text Corp. | 3,864 | 141,855 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 205 |
Table of Contents
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Software – (continued) | ||||||||
Oracle Corp. Japan | 800 | $ | 80,046 | |||||
Sage Group plc (The) | 17,250 | 141,766 | ||||||
SAP SE | 16,698 | 1,779,541 | ||||||
SimCorp A/S | 1,150 | 137,105 | ||||||
Sinch AB* (b) | 780 | 74,310 | ||||||
Software AG | 1,320 | 47,297 | ||||||
Systena Corp. | 5,200 | 94,360 | ||||||
TeamViewer AG* (b) | 2,080 | 91,585 | ||||||
Technology One Ltd.(a) | 7,884 | 49,663 | ||||||
Temenos AG (Registered) | 799 | 85,815 | ||||||
Trend Micro, Inc. | 2,500 | 139,899 | ||||||
WiseTech Global Ltd. | 4,953 | 100,486 | ||||||
4,902,054 | ||||||||
Specialty Retail – 2.5% | ||||||||
ABC-Mart, Inc. | 700 | 35,556 | ||||||
Alpen Co. Ltd. | 9,400 | 181,544 | ||||||
AOKI Holdings, Inc. | 3,800 | 16,394 | ||||||
Aoyama Trading Co. Ltd.(a) | 15,600 | 73,717 | ||||||
Arcland Sakamoto Co. Ltd. | 17,300 | 332,298 | ||||||
AT-Group Co. Ltd. | 10,400 | 131,915 | ||||||
Autobacs Seven Co. Ltd. | 2,100 | 26,717 | ||||||
Bic Camera, Inc. | 4,100 | 45,102 | ||||||
Bilia AB, Class A | 38,226 | 510,616 | ||||||
CECONOMY AG* | 81,972 | 362,652 | ||||||
Chiyoda Co. Ltd. | 2,800 | 24,561 | ||||||
Clas Ohlson AB, Class B* | 5,460 | 48,459 | ||||||
DCM Holdings Co. Ltd. | 2,400 | 29,707 | ||||||
Delek Automotive Systems Ltd. | 17,264 | 83,416 | ||||||
Dixons Carphone plc | 429,594 | 533,524 | ||||||
Dufry AG (Registered)* (a) | 16,284 | 616,502 | ||||||
Dunelm Group plc | 2,604 | 43,872 | ||||||
Eagers Automotive Ltd. | 76,590 | 584,109 | ||||||
EDION Corp. | 46,000 | 451,904 | ||||||
Fast Retailing Co. Ltd. | 1,100 | 765,076 | ||||||
Fenix Outdoor International AG* | 369 | 38,305 | ||||||
Fielmann AG* | 607 | 46,030 | ||||||
Fnac Darty SA* | 9,338 | 401,157 | ||||||
Fox Wizel Ltd. | 3,116 | 242,669 | ||||||
Geo Holdings Corp. | 18,200 | 269,501 | ||||||
GrandVision NV(b) | 1,506 | 41,839 |
Investments | Shares | Value | ||||||
Specialty Retail – (continued) | ||||||||
Hennes & Mauritz AB, Class B | 6,900 | $ | 112,091 | |||||
Hikari Tsushin, Inc. | 600 | 140,099 | ||||||
Hornbach Holding AG & Co. KGaA | 3,956 | 381,094 | ||||||
IDOM, Inc. | 20,800 | 113,212 | ||||||
Industria de Diseno Textil SA(a) | 16,146 | 398,534 | ||||||
JB Hi-Fi Ltd. | 2,881 | 95,959 | ||||||
JD Sports Fashion plc | 8,827 | 84,595 | ||||||
JINS Holdings, Inc. | 900 | 64,999 | ||||||
Joshin Denki Co. Ltd. | 9,200 | 227,228 | ||||||
Joyful Honda Co. Ltd. | 2,000 | 31,031 | ||||||
Kingfisher plc* | 47,059 | 174,693 | ||||||
Kohnan Shoji Co. Ltd. | 13,800 | 470,604 | ||||||
Komeri Co. Ltd. | 13,800 | 404,601 | ||||||
K’s Holdings Corp. | 6,100 | 77,840 | ||||||
Leon’s Furniture Ltd. | 12,116 | 168,925 | ||||||
Luk Fook Holdings International Ltd. | 154,672 | 377,762 | ||||||
Nishimatsuya Chain Co. Ltd. | 1,300 | 21,016 | ||||||
Nitori Holdings Co. Ltd. | 1,600 | 329,826 | ||||||
Nojima Corp. | 18,400 | 514,827 | ||||||
PAL GROUP Holdings Co. Ltd. | 8,800 | 101,687 | ||||||
Pets at Home Group plc | 26,936 | 134,298 | ||||||
Premier Investments Ltd. | 6,508 | 97,575 | ||||||
Shimachu Co. Ltd.(a) | 1,300 | 68,768 | ||||||
Super Retail Group Ltd.(a) | 68,172 | 535,708 | ||||||
T-Gaia Corp. | 1,000 | 18,270 | ||||||
United Arrows Ltd. | 9,000 | 121,475 | ||||||
USS Co. Ltd. | 1,000 | 18,270 | ||||||
Valora Holding AG (Registered)* (a) | 1,242 | 177,516 | ||||||
Vivo Energy plc(a) (b) | 161,230 | 157,604 | ||||||
Watches of Switzerland Group plc* (c) | 44,160 | 225,541 | ||||||
WH Smith plc | 3,950 | 50,920 | ||||||
World Co. Ltd. | 9,400 | 118,961 | ||||||
Xebio Holdings Co. Ltd. | 7,600 | 49,363 | ||||||
Yamada Holdings Co. Ltd. | 7,800 | 37,903 | ||||||
Yellow Hat Ltd. | 18,600 | 303,358 | ||||||
12,343,295 | ||||||||
Technology Hardware, Storage & Peripherals – 0.3% | ||||||||
Brother Industries Ltd. | 7,600 | 116,755 | ||||||
Canon, Inc.(a) | 17,400 | 299,682 |
See Accompanying Notes to the Financial Statements.
206 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Technology Hardware, Storage & Peripherals – (continued) | ||||||||
Eizo Corp. | 1,400 | $ | 52,831 | |||||
Elecom Co. Ltd. | 800 | 39,946 | ||||||
FUJIFILM Holdings Corp. | 6,900 | 351,006 | ||||||
Konica Minolta, Inc. | 18,900 | 47,729 | ||||||
Logitech International SA (Registered) | 3,249 | 273,660 | ||||||
MCJ Co. Ltd. | 32,200 | 294,463 | ||||||
Ricoh Co. Ltd. | 17,200 | 112,210 | ||||||
Riso Kagaku Corp. | 1,700 | 20,295 | ||||||
Seiko Epson Corp.(a) | 8,300 | 95,592 | ||||||
Toshiba TEC Corp. | 1,100 | 43,878 | ||||||
1,748,047 | ||||||||
Textiles, Apparel & Luxury Goods – 1.9% | ||||||||
adidas AG* | 3,174 | 942,795 | ||||||
Aritzia, Inc.* | 2,860 | 43,157 | ||||||
Asics Corp. | 5,200 | 64,664 | ||||||
Brunello Cucinelli SpA* | 1,368 | 41,049 | ||||||
Burberry Group plc | 8,050 | 141,141 | ||||||
Canada Goose Holdings, Inc.* | 1,100 | 34,278 | ||||||
Chow Sang Sang Holdings International Ltd. | 204,000 | 222,813 | ||||||
Cie Financiere Richemont SA (Registered) | 8,050 | 505,019 | ||||||
Coats Group plc* | 98,856 | 72,602 | ||||||
Crystal International Group Ltd.(b) | 397,500 | 109,180 | ||||||
Delta Galil Industries Ltd. | 4,626 | 82,034 | ||||||
Descente Ltd.* | 2,400 | 37,191 | ||||||
EssilorLuxottica SA — IM* | 2,578 | 317,565 | ||||||
EssilorLuxottica SA — MO* | 2,114 | 261,517 | ||||||
Gildan Activewear, Inc. | 2,703 | 55,951 | ||||||
Goldwin, Inc. | 1,900 | 141,219 | ||||||
Gunze Ltd. | 700 | 25,679 | ||||||
Hermes International | 553 | 514,685 | ||||||
HUGO BOSS AG | 27,094 | 620,636 | ||||||
Japan Wool Textile Co. Ltd. (The) | 25,400 | 245,885 | ||||||
Kering SA | 1,150 | 694,571 | ||||||
Kurabo Industries Ltd.(a) | 7,000 | 125,550 | ||||||
LVMH Moet Hennessy Louis Vuitton SE | 4,094 | 1,918,527 |
Investments | Shares | Value | ||||||
Textiles, Apparel & Luxury Goods – (continued) | ||||||||
Moncler SpA* | 3,061 | $ | 122,514 | |||||
Onward Holdings Co. Ltd. | 64,400 | 125,671 | ||||||
Pacific Textiles Holdings Ltd. | 322,000 | 182,699 | ||||||
Pandora A/S | 3,542 | 280,525 | ||||||
Puma SE* | 1,840 | 160,835 | ||||||
Samsonite International SA* (a) (b) | 619,800 | 623,409 | ||||||
Seiko Holdings Corp. | 14,100 | 177,093 | ||||||
Seiren Co. Ltd.(a) | 26,600 | 419,585 | ||||||
Stella International Holdings Ltd. | 115,500 | 118,109 | ||||||
Swatch Group AG (The) | 364 | 77,026 | ||||||
Swatch Group AG (The) (Registered) | 8 | 327 | ||||||
Tod’s SpA* (a) | 245 | 5,160 | ||||||
TSI Holdings Co. Ltd. | 41,500 | 97,259 | ||||||
Wacoal Holdings Corp. | 1,500 | 27,147 | ||||||
Yondoshi Holdings, Inc. | 1,400 | 23,784 | ||||||
Yue Yuen Industrial Holdings Ltd. | 22,000 | 35,802 | ||||||
9,694,653 | ||||||||
Thrifts & Mortgage Finance – 0.6% | ||||||||
Aareal Bank AG* | 25,668 | 442,212 | ||||||
Deutsche Pfandbriefbank AG* (b) | 61,686 | 376,161 | ||||||
Equitable Group, Inc. | 4,738 | 302,328 | ||||||
Genworth Mortgage Insurance Australia Ltd.(a) | 94,900 | 113,627 | ||||||
Home Capital Group, Inc.* | 23,644 | 431,438 | ||||||
OneSavings Bank plc | 177,877 | 707,924 | ||||||
Paragon Banking Group plc | 131,790 | 503,034 | ||||||
2,876,724 | ||||||||
Tobacco – 0.7% | ||||||||
British American Tobacco plc | 61,502 | 1,946,701 | ||||||
Imperial Brands plc | 25,484 | 403,318 | ||||||
Japan Tobacco, Inc. | 27,600 | 520,107 | ||||||
Scandinavian Tobacco Group A/S(a) (b) | 21,069 | 297,833 | ||||||
Swedish Match AB | 1,840 | 138,623 | ||||||
3,306,582 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 207 |
Table of Contents
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Trading Companies & Distributors – 1.7% | ||||||||
AddTech AB, Class B | 2,196 | $ | 24,301 | |||||
Advan Co. Ltd.(a) | 1,200 | 14,544 | ||||||
Ashtead Group plc | 6,716 | 243,146 | ||||||
Beijer Ref AB | 780 | 21,539 | ||||||
Brenntag AG | 2,305 | 147,352 | ||||||
Bunzl plc | 6,256 | 194,136 | ||||||
Electrocomponents plc | 2,548 | 22,387 | ||||||
Ferguson plc | 3,726 | 372,024 | ||||||
Finning International, Inc.(a) | 4,111 | 62,466 | ||||||
Grafton Group plc | 11,760 | 102,258 | ||||||
Hanwa Co. Ltd. | 22,600 | 435,829 | ||||||
Howden Joinery Group plc | 16,698 | 137,488 | ||||||
IMCD NV | 1,420 | 164,516 | ||||||
Inaba Denki Sangyo Co. Ltd. | 1,600 | 38,385 | ||||||
Inabata & Co. Ltd. | 13,400 | 154,970 | ||||||
Indutrade AB* | 2,198 | 111,466 | ||||||
ITOCHU Corp. | 42,500 | 1,016,357 | ||||||
Japan Pulp & Paper Co. Ltd.(a) | 6,100 | 212,689 | ||||||
Kanamoto Co. Ltd.(a) | 14,923 | 306,625 | ||||||
Kanematsu Corp. | 32,200 | 380,092 | ||||||
Marubeni Corp. | 49,000 | 254,609 | ||||||
Mitsubishi Corp. | 36,800 | 818,619 | ||||||
Mitsui & Co. Ltd. | 46,800 | 729,711 | ||||||
MonotaRO Co. Ltd. | 2,800 | 155,347 | ||||||
Nagase & Co. Ltd. | 4,900 | 63,605 | ||||||
Nippon Steel Trading Corp. | 5,200 | 147,833 | ||||||
Nishio Rent All Co. Ltd. | 10,300 | 199,221 | ||||||
Reece Ltd.(a) | 5,999 | 57,715 | ||||||
Rexel SA* | 4,641 | 48,806 | ||||||
Richelieu Hardware Ltd. | 1,340 | 35,999 | ||||||
Russel Metals, Inc.(a) | 22,678 | 301,557 | ||||||
Seven Group Holdings Ltd.(a) | 104 | 1,418 | ||||||
Sojitz Corp. | 43,300 | 94,851 | ||||||
Sumitomo Corp. | 25,200 | 275,889 | ||||||
Toromont Industries Ltd. | 2,466 | 153,414 | ||||||
Toyota Tsusho Corp. | 5,500 | 152,521 | ||||||
Travis Perkins plc* | 8,632 | 118,476 | ||||||
Wakita & Co. Ltd.(a) | 18,400 | 190,090 | ||||||
Yamazen Corp. | 34,400 | 335,971 | ||||||
Yuasa Trading Co. Ltd. | 9,200 | 261,198 | ||||||
8,559,420 |
Investments | Shares | Value | ||||||
Transportation Infrastructure – 0.4% | ||||||||
Aena SME SA* (b) | 1,150 | $ | 154,855 | |||||
Aeroports de Paris | 555 | 54,241 | ||||||
ASTM SpA* (a) | 1,668 | 31,010 | ||||||
Atlantia SpA* | 11,316 | 173,402 | ||||||
Atlas Arteria Ltd. | 26,785 | 106,087 | ||||||
Auckland International Airport Ltd. | 22,876 | 105,831 | ||||||
Enav SpA(b) | 12,657 | 43,936 | ||||||
Flughafen Zurich AG (Registered)* (a) | 320 | 43,153 | ||||||
Fraport AG Frankfurt Airport Services Worldwide* | 890 | 32,159 | ||||||
Getlink SE* | 9,278 | 124,718 | ||||||
Hamburger Hafen und Logistik AG | 1,220 | 20,436 | ||||||
James Fisher & Sons plc | 1,322 | 19,384 | ||||||
Kamigumi Co. Ltd. | 800 | 14,264 | ||||||
Port of Tauranga Ltd. | 5,225 | 25,001 | ||||||
Qube Holdings Ltd. | 58,293 | 108,481 | ||||||
SATS Ltd. | 19,000 | 41,465 | ||||||
Signature Aviation plc | 24,573 | 75,111 | ||||||
Sumitomo Warehouse Co. Ltd. (The) | 7,600 | 88,621 | ||||||
Sydney Airport | 4,561 | 17,456 | ||||||
Transurban Group | 38,491 | 363,828 | ||||||
Westshore Terminals Investment Corp.(a) | 17,204 | 172,769 | ||||||
1,816,208 | ||||||||
Water Utilities – 0.1% | ||||||||
Pennon Group plc | 4,356 | 55,906 | ||||||
Severn Trent plc | 5,520 | 173,438 | ||||||
United Utilities Group plc | 11,730 | 130,951 | ||||||
360,295 | ||||||||
Wireless Telecommunication Services – 1.2% | ||||||||
1&1 Drillisch AG | 987 | 20,798 | ||||||
Airtel Africa plc(a) (b) | 554,346 | 442,247 | ||||||
Freenet AG | 2,198 | 38,930 | ||||||
KDDI Corp. | 43,200 | 1,153,970 | ||||||
Millicom International Cellular SA, SDR(a) | 1,924 | 56,848 | ||||||
NTT DOCOMO, Inc. | 17,400 | 646,966 |
See Accompanying Notes to the Financial Statements.
208 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Wireless Telecommunication Services – (continued) | ||||||||
Rogers Communications, Inc., Class B | 7,130 | $ | 289,403 | |||||
SmarTone Telecommunications Holdings Ltd. | 4,740 | 2,555 | ||||||
Softbank Corp. | 18,500 | 214,571 | ||||||
SoftBank Group Corp. | 26,282 | 1,707,802 | ||||||
StarHub Ltd. | 17,700 | 15,166 | ||||||
Tele2 AB, Class B | 11,754 | 139,379 | ||||||
VEON Ltd. | 19,670 | 24,791 | ||||||
Vodafone Group plc | 759,138 | 1,011,012 | ||||||
5,764,438 | ||||||||
Total Common Stocks (Cost $506,376,400) |
| 489,330,022 | ||||||
Number of Rights | ||||||||
RIGHTS – 0.0%(f) | ||||||||
Aerospace & Defense – 0.0%(f) | ||||||||
Rolls-Royce Holdings plc, expiring 11/11/2020, price 0.32 GBP* | 102,786 | 51,832 | ||||||
Banks – 0.0% | ||||||||
Banca Monte dei Paschi di Siena SpA, expiring 11/21/2020, price1.34 EUR* ‡ (d) | 15,756 | – | ||||||
Containers & Packaging – 0.0%(f) | ||||||||
Vidrala SA, expiring 11/5/2020* | 1,239 | 5,910 | ||||||
Electrical Equipment – 0.0% | ||||||||
ITM Power plc, expiring 11/10/2020, price 2.35 GBP* ‡ (d) | 63 | – | ||||||
Equity Real Estate Investment Trusts (REITs) – 0.0%(f) | ||||||||
Mapletree Logistics Trust, expiring 11/10/2020, price 1.99 SGD* ‡ (d) | 1,390 | – |
Investments | Number of Rights | Value | ||||||
Equity Real Estate Investment Trusts (REITs) – (continued) | ||||||||
Shaftesbury plc, expiring 11/11/2020, price 4 GBP* (d) | 540 | $ | 384 | |||||
384 | ||||||||
Insurance – 0.0% | ||||||||
Societa Cattolica di Assicurazioni SC, expiring 11/26/2020, price 5.47 EUR* | 55,235 | – | ||||||
Metals & Mining – 0.0%(f) | ||||||||
Pan American Silver Corp., CVR* | 41,840 | 30,125 | ||||||
Total Rights (Cost $262,032) |
| 88,251 | ||||||
Shares | ||||||||
CLOSED END FUNDS – 0.0%(f) | ||||||||
Equity Real Estate Investment Trusts (REITs) – 0.0%(f) | ||||||||
UK Commercial Property REIT Ltd.(a) | 18,880 | 16,649 | ||||||
Principal Amount | ||||||||
SECURITIES LENDING REINVESTMENTS(g) – 1.0% | ||||||||
REPURCHASE AGREEMENTS – 1.0% | ||||||||
Citigroup Global Markets Ltd., 0.11%, dated 10/30/2020, due 11/2/2020, repurchase price $600,006, collateralized by various U.S. Treasury Securities, ranging from 0.50% – 1.88%, maturing 11/30/2021 – 3/15/2023; Foreign Government Fixed Income Securities, ranging from 0.25% – 0.50%, maturing 11/15/2023 – 12/15/2025; total market value $608,521 | $ | 600,000 | 600,000 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 209 |
Table of Contents
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund (cont.)
Investments | Principal Amount | Value | ||||||
SECURITIES LENDING REINVESTMENTS(g) – (continued) | ||||||||
REPURCHASE AGREEMENTS – (continued) | ||||||||
Citigroup Global Markets, Inc., 0.07%, dated 10/30/2020, due 11/2/2020, repurchase price $1,433,496, collateralized by various U.S. Treasury Securities, ranging from 2.63% – 5.50%, maturing 8/15/2028 – 4/15/2029; total market value $1,458,600 | $ | 1,433,487 | $ | 1,433,487 | ||||
Deutsche Bank AG, London Branch, 0.20%, dated 10/30/2020, due 11/2/2020, repurchase price $1,100,018, collateralized by various Foreign Government Fixed Income Securities, ranging from 0.25% – 0.50%, maturing 10/19/2023 – 10/28/2025; total market value $1,121,522 | 1,100,000 | 1,100,000 | ||||||
Societe Generale, 0.18%, dated 10/30/2020, due 11/2/2020, repurchase price $2,000,030, collateralized by various Common Stocks; total market value $2,201,446 | 2,000,000 | 2,000,000 | ||||||
5,133,487 | ||||||||
Total Securities Lending Reinvestments (Cost $5,133,487) |
| 5,133,487 | ||||||
Total Investments – 99.1% (Cost $511,793,267) |
| 494,568,409 | ||||||
Other assets less liabilities – 0.9% |
| 4,447,187 | ||||||
Net Assets – 100.0% |
| $ | 499,015,596 |
* | Non-income producing security. |
‡ | Value determined using significant unobservable inputs. |
(a) | The security or a portion of this security is on loan at October 31, 2020. The total value of securities on loan at October 31, 2020 was $44,229,345, collateralized in the form of cash with a value of $5,133,487 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Investments; $16,626,346 of collateral in the form of U.S. Government Treasury Securities, interest rates ranging from 0.00% – 8.00%, and maturity dates ranging from November 12, 2020 – November 15, 2049 and $25,814,002 of collateral in the form of Foreign Government Fixed Income Securities, interest rates ranging from 0.00% – 7.50%, and maturity dates ranging from January 22, 2021 – September 20, 2117; a total value of $47,573,835. |
(b) | Security exempt from registration pursuant to Regulation S under the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale. |
(c) | Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The value of these securities is determined by valuations supplied by a pricing service or brokers, or, if not available, in accordance with procedures established by the Board of Trustees. |
(d) | Security fair valued as of October 31, 2020 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at October 31, 2020 amounted to $724,854, which represents approximately 0.15% of net assets of the Fund. |
(e) | Amount represents less than one share. |
(f) | Represents less than 0.05% of net assets. |
(g) | The security was purchased with cash collateral held from securities on loan at October 31, 2020. The total value of securities purchased was $5,133,487. |
Percentages shown are based on Net Assets.
Abbreviations
CHDI – Clearing House Electronic Subregister System (CHESS) Depository Interest
CVA – Dutch Certification
CVR – Contingent Value Rights
DI – Depositary Interest
EUR – Euro
FDR – Fiduciary Depositary Receipt
GBP – British Pound
OYJ – Public Limited Company
Preference A special type of equity investment that shares in the earnings of the company, has limited voting rights, and may have a dividend preference. Preference shares may also have liquidation preference.
SCA – Limited partnership with share capital
SDR – Swedish Depositary Receipt
SGD – Singapore Dollar
See Accompanying Notes to the Financial Statements.
210 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund (cont.)
As of October 31, 2020, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments (including derivative instruments, if applicable) for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 87,288,313 | ||
Aggregate gross unrealized depreciation | (108,310,199 | ) | ||
Net unrealized depreciation | $ | (21,021,886 | ) | |
Federal income tax cost | $ | 514,951,686 |
Futures Contracts
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund had the following open futures contracts as of October 31, 2020:
Number of Contracts | Expiration Date | Trading Currency | Notional Amount | Value and Unrealized Appreciation/ (Depreciation)* | ||||||||||||||||
Long Contracts |
| |||||||||||||||||||
EURO STOXX 50 Index | 101 | 12/18/2020 | EUR | $ | 3,481,259 | $ | (363,067 | ) | ||||||||||||
FTSE 100 Index | 28 | 12/18/2020 | GBP | 2,014,210 | (143,258 | ) | ||||||||||||||
Hang Seng Index | 2 | 11/27/2020 | HKD | 311,508 | (7,921 | ) | ||||||||||||||
S&P/TSX 60 Index | 9 | 12/17/2020 | CAD | 1,249,274 | (40,030 | ) | ||||||||||||||
SGX Nikkei 225 Index | 24 | 12/10/2020 | JPY | 2,626,363 | (26,673 | ) | ||||||||||||||
SPI 200 Index | 6 | 12/17/2020 | AUD | 620,438 | 2,541 | |||||||||||||||
$ | (578,408 | ) |
* | This amount represents the cumulative appreciation/depreciation on futures contracts. Current day’s variation margin is reported within the Statement of Assets and Liabilities for futures contracts. |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 211 |
Table of Contents
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund (cont.)
Forward Foreign Currency Contracts
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund had the following outstanding contracts as of October 31, 2020:
Contracts to Receive | Counterparty | In Exchange For | Maturity Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
GBP | 1,250,336 | Morgan Stanley | USD | 1,601,200 | 12/16/2020 | $ | 16,028 | |||||||||||||||
ILS | 796,970 | Citibank NA | USD | 233,317 | 12/16/2020 | 744 | ||||||||||||||||
JPY | 21,286,415 | JPMorgan Chase Bank | USD | 200,737 | 12/16/2020 | 3,009 | ||||||||||||||||
JPY | 46,610,677 | Morgan Stanley | USD | 439,632 | 12/16/2020 | 6,509 | ||||||||||||||||
USD | 269,217 | UBS AG | AUD | 370,130 | 12/16/2020 | 9,232 | ||||||||||||||||
USD | 380,218 | Morgan Stanley | CAD | 500,000 | 12/16/2020 | 5,142 | ||||||||||||||||
USD | 67,093 | JPMorgan Chase Bank | CHF | 60,788 | 12/16/2020 | 679 | ||||||||||||||||
USD | 440,785 | Toronto-Dominion Bank (The) | CHF | 400,000 | 12/16/2020 | 3,759 | ||||||||||||||||
USD | 1,319 | Toronto-Dominion Bank (The) | DKK | 8,253 | 12/16/2020 | 26 | ||||||||||||||||
USD | 710,874 | Morgan Stanley | EUR | 600,000 | 12/16/2020 | 11,224 | ||||||||||||||||
USD | 530,736 | Toronto-Dominion Bank (The) | EUR | 446,986 | 12/16/2020 | 9,514 | ||||||||||||||||
USD | 782,763 | Morgan Stanley | GBP | 600,000 | 12/16/2020 | 6,702 | ||||||||||||||||
USD | 389,682 | UBS AG | HKD | 3,022,021 | 12/16/2020 | 3 | ||||||||||||||||
USD | 40,737 | JPMorgan Chase Bank | NZD | 61,055 | 12/16/2020 | 384 | ||||||||||||||||
USD | 266,396 | Morgan Stanley | NZD | 400,000 | 12/16/2020 | 2,027 | ||||||||||||||||
USD | 354,408 | Toronto-Dominion Bank (The) | SEK | 3,100,000 | 12/16/2020 | 5,936 | ||||||||||||||||
USD | 32,798 | Toronto-Dominion Bank (The) | SGD | 44,756 | 12/16/2020 | 21 | ||||||||||||||||
Total unrealized appreciation | $ | 80,939 | ||||||||||||||||||||
AUD | 938,893 | Citibank NA | USD | 684,614 | 12/16/2020 | $ | (25,120 | ) | ||||||||||||||
CAD | 1,104,150 | Morgan Stanley | USD | 837,355 | 12/16/2020 | (9,075 | ) | |||||||||||||||
EUR | 2,340,947 | JPMorgan Chase Bank | USD | 2,776,946 | 12/16/2020 | (47,205 | ) | |||||||||||||||
EUR | 323,725 | Morgan Stanley | USD | 383,239 | 12/16/2020 | (5,749 | ) | |||||||||||||||
HKD | 1,314,619 | UBS AG | USD | 169,520 | 12/16/2020 | (5 | ) | |||||||||||||||
JPY | 363,790,000 | Toronto-Dominion Bank (The) | USD | 3,490,710 | 12/16/2020 | (8,641 | ) | |||||||||||||||
NOK | 1,450,557 | Toronto-Dominion Bank (The) | USD | 161,257 | 12/16/2020 | (9,533 | ) | |||||||||||||||
SEK | 3,654,576 | Morgan Stanley | USD | 418,115 | 12/16/2020 | (7,303 | ) | |||||||||||||||
USD | 852,708 | JPMorgan Chase Bank | JPY | 90,000,000 | 12/16/2020 | (8,741 | ) | |||||||||||||||
USD | 381,763 | Morgan Stanley | JPY | 40,000,000 | 12/16/2020 | (1,102 | ) | |||||||||||||||
USD | 2,077,384 | Toronto-Dominion Bank (The) | JPY | 218,866,203 | 12/16/2020 | (17,526 | ) | |||||||||||||||
USD | 164,291 | JPMorgan Chase Bank | NZD | 250,000 | 12/16/2020 | (940 | ) | |||||||||||||||
USD | 183,871 | BNP Paribas SA | SGD | 251,344 | 12/16/2020 | (200 | ) | |||||||||||||||
Total unrealized depreciation | $ | (141,140 | ) | |||||||||||||||||||
Net unrealized depreciation | $ | (60,201 | ) |
Abbreviations:
AUD – Australian Dollar
CAD – Canadian Dollar
CHF – Swiss Franc
DKK – Danish Krone
EUR – Euro
GBP – British Pound
HKD – Hong Kong Dollar
ILS – Israeli Shekel
JPY – Japanese Yen
NOK – Norwegian Krone
NZD – New Zealand Dollar
SEK – Swedish Krona
SGD – Singapore Dollar
USD – US Dollar
See Accompanying Notes to the Financial Statements.
212 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund (cont.)
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund invested, as a percentage of net assets, in companies domiciled in the following countries as of October 31, 2020:
Australia | 5.2 | % | ||
Austria | 0.2 | |||
Belgium | 1.0 | |||
Canada | 8.8 | |||
Denmark | 1.9 | |||
Finland | 0.9 | |||
France | 6.8 | |||
Germany | 6.5 | |||
Hong Kong | 2.8 | |||
Ireland | 0.6 | |||
Israel | 1.2 | |||
Italy | 2.5 | |||
Japan | 29.2 | |||
Netherlands | 3.0 | |||
New Zealand | 0.5 | |||
Norway | 1.0 | |||
Portugal | 0.2 | |||
Singapore | 1.3 | |||
Spain | 2.1 | |||
Sweden | 3.7 | |||
Switzerland | 5.6 | |||
United Kingdom | 13.1 | |||
Other1 | 1.9 | |||
100.0 | % |
1 | Includes any non-equity securities, securities lending reinvestments and net other assets (liabilities). |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 213 |
Table of Contents
Schedule of Investments
FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund
October 31, 2020
Investments | Shares | Value | ||||||
COMMON STOCKS – 98.6% | ||||||||
Aerospace & Defense – 0.2% | ||||||||
AECC Aviation Power Co. Ltd., Class A | 4,700 | $ | 25,632 | |||||
Aselsan Elektronik Sanayi ve Ticaret A/S | 21,402 | 42,763 | ||||||
AVIC Aircraft Co. Ltd., Class A | 4,700 | 16,983 | ||||||
AviChina Industry & Technology Co. Ltd., Class H | 70,000 | 36,016 | ||||||
Bharat Electronics Ltd. | 17,280 | 20,286 | ||||||
China Aerospace Times Electronics Co. Ltd., Class A | 14,100 | 13,910 | ||||||
China Spacesat Co. Ltd., Class A | 4,700 | 22,005 | ||||||
Embraer SA* | 15,600 | 16,314 | ||||||
Hanwha Aerospace Co. Ltd.* | 899 | 19,886 | ||||||
Korea Aerospace Industries Ltd. | 1,458 | 28,011 | ||||||
LIG Nex1 Co. Ltd. | 430 | 10,630 | ||||||
United Aircraft Corp. PJSC*^ | 25,155,036 | 121,998 | ||||||
374,434 | ||||||||
Air Freight & Logistics – 0.2% | ||||||||
Hyundai Glovis Co. Ltd. | 799 | 117,945 | ||||||
Kerry TJ Logistics Co. Ltd. | 4,000 | 5,552 | ||||||
SF Holding Co. Ltd., Class A | 4,700 | 58,082 | ||||||
Sinotrans Ltd., Class A | 23,500 | 14,310 | ||||||
Sinotrans Ltd., Class H | 83,000 | 24,510 | ||||||
STO Express Co. Ltd., Class A | 4,700 | 9,884 | ||||||
YTO Express Group Co. Ltd., Class A | 4,700 | 9,785 | ||||||
ZTO Express Cayman, Inc., ADR | 6,439 | 186,602 | ||||||
426,670 | ||||||||
Airlines – 0.6% | ||||||||
Aegean Airlines SA* | 11,379 | 34,993 | ||||||
Aeroflot PJSC* | 470,799 | 337,015 | ||||||
Air Arabia PJSC | 1,027,663 | 307,755 | ||||||
Air China Ltd., Class A | 23,600 | 23,916 | ||||||
Air China Ltd., Class H | 66,000 | 42,554 | ||||||
AirAsia Group Bhd.* | 641,600 | 84,929 | ||||||
Asiana Airlines, Inc.* | 49,989 | 157,496 | ||||||
Azul SA (Preference)* | 5,400 | 21,119 | ||||||
China Airlines Ltd.* | 87,000 | 26,614 | ||||||
China Eastern Airlines Corp. Ltd., Class A | 14,300 | 9,796 |
Investments | Shares | Value | ||||||
Airlines – (continued) | ||||||||
China Southern Airlines Co. Ltd., Class A* | 14,100 | $ | 11,595 | |||||
China Southern Airlines Co. Ltd., Class H*(a) | 34,000 | 17,757 | ||||||
Eva Airways Corp. | 74,798 | 28,242 | ||||||
Hainan Airlines Holding Co. Ltd., Class A* | 47,000 | 10,873 | ||||||
Hanjin Kal Corp. | 273 | 17,972 | ||||||
InterGlobe Aviation Ltd.*(b) | 1,564 | 27,636 | ||||||
Jeju Air Co. Ltd.* | 1,034 | 11,801 | ||||||
Korean Air Lines Co. Ltd.* | 3,419 | 60,112 | ||||||
Pegasus Hava Tasimaciligi A/S* | 15,845 | 74,660 | ||||||
Spring Airlines Co. Ltd., Class A | 1,200 | 7,633 | ||||||
Turk Hava Yollari AO* | 29,986 | 32,264 | ||||||
1,346,732 | ||||||||
Auto Components – 1.2% | ||||||||
Balkrishna Industries Ltd. | 938 | 17,056 | ||||||
Bharat Forge Ltd. | 5,654 | 34,432 | ||||||
Bosch Ltd. | 208 | 32,587 | ||||||
Cheng Shin Rubber Industry Co. Ltd. | 31,000 | 39,124 | ||||||
Cub Elecparts, Inc. | 3,009 | 16,674 | ||||||
Endurance Technologies Ltd.(b) | 1,456 | 20,790 | ||||||
Exide Industries Ltd. | 5,676 | 12,182 | ||||||
Fuyao Glass Industry Group Co. Ltd., Class H(b) | 8,400 | 35,583 | ||||||
Hankook Technology Group Co. Ltd. | 11,247 | 147,687 | ||||||
Hankook Tire & Technology Co. Ltd. | 2,392 | 66,720 | ||||||
Hanon Systems | 2,546 | 25,130 | ||||||
Hota Industrial Manufacturing Co. Ltd. | 1,826 | 5,618 | ||||||
Huayu Automotive Systems Co. Ltd., Class A | 9,400 | 43,659 | ||||||
Hyundai Mobis Co. Ltd. | 2,209 | 438,997 | ||||||
Hyundai Wia Corp. | 7,429 | 273,342 | ||||||
Kenda Rubber Industrial Co. Ltd. | 12,799 | 14,073 | ||||||
Kumho Tire Co., Inc.* | 3,552 | 11,144 | ||||||
Mando Corp. | 1,363 | 42,883 | ||||||
Minth Group Ltd. | 12,000 | 49,595 | ||||||
Motherson Sumi Systems Ltd. | 24,184 | 34,461 |
See Accompanying Notes to the Financial Statements.
214 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Auto Components – (continued) | ||||||||
MRF Ltd. | 19 | $ | 16,743 | |||||
Nan Kang Rubber Tire Co. Ltd. | 7,000 | 10,156 | ||||||
Nexen Tire Corp. | 16,183 | 74,590 | ||||||
Nexteer Automotive Group Ltd. | 376,000 | 312,733 | ||||||
Ningbo Joyson Electronic Corp., Class A | 4,700 | 16,821 | ||||||
S&T Motiv Co. Ltd. | 3,382 | 150,516 | ||||||
Sebang Global Battery Co. Ltd. | 2,961 | 71,761 | ||||||
SL Corp. | 1,545 | 19,743 | ||||||
Sundram Fasteners Ltd. | 3,224 | 18,574 | ||||||
Tianneng Power International Ltd.(a) | 330,000 | 537,032 | ||||||
Weifu High-Technology Group Co. Ltd., Class A | 4,700 | 18,021 | ||||||
Xinyi Glass Holdings Ltd. | 94,000 | 205,822 | ||||||
2,814,249 | ||||||||
Automobiles – 2.4% | ||||||||
Astra International Tbk. PT | 639,200 | 237,105 | ||||||
BAIC Motor Corp. Ltd., Class H(b) | 708,000 | 261,111 | ||||||
Bajaj Auto Ltd. | 1,105 | 43,046 | ||||||
Brilliance China Automotive Holdings Ltd. | 94,000 | 81,092 | ||||||
BYD Co. Ltd., Class A | 2,400 | 57,244 | ||||||
BYD Co. Ltd., Class H(a) | 9,500 | 188,779 | ||||||
China Motor Corp.* | 5,400 | 8,401 | ||||||
Chongqing Changan Automobile Co. Ltd., Class A* | 9,400 | 23,177 | ||||||
Dongfeng Motor Group Co. Ltd., Class H | 100,000 | 70,279 | ||||||
DRB-Hicom Bhd. | 380,900 | 174,178 | ||||||
Eicher Motors Ltd. | 2,370 | 66,699 | ||||||
Ford Otomotiv Sanayi A/S | 1,797 | 23,151 | ||||||
Geely Automobile Holdings Ltd. | 188,000 | 385,947 | ||||||
Great Wall Motor Co. Ltd., Class A | 9,400 | 33,278 | ||||||
Great Wall Motor Co. Ltd., Class H(a) | 117,500 | 190,004 | ||||||
Guangzhou Automobile Group Co. Ltd., Class A | 9,400 | 18,842 | ||||||
Guangzhou Automobile Group Co. Ltd., Class H(a) | 94,000 | 96,366 | ||||||
Hero MotoCorp Ltd. | 1,927 | 72,803 | ||||||
Hyundai Motor Co. | 4,860 | 704,565 |
Investments | Shares | Value | ||||||
Automobiles – (continued) | ||||||||
Hyundai Motor Co. (2nd Preference) | 1,316 | $ | 92,666 | |||||
Hyundai Motor Co. (3rd Preference) | 54 | 3,612 | ||||||
Hyundai Motor Co. (Preference) | 752 | 52,091 | ||||||
Kia Motors Corp. | 9,083 | 404,240 | ||||||
Mahindra & Mahindra Ltd. | 14,852 | 119,044 | ||||||
Maruti Suzuki India Ltd. | 2,115 | 198,783 | ||||||
NIO, Inc., ADR* | 17,061 | 521,725 | ||||||
Oriental Holdings Bhd. | 130,900 | 160,041 | ||||||
SAIC Motor Corp. Ltd., Class A | 23,500 | 81,195 | ||||||
Sanyang Motor Co. Ltd. | 282,000 | 222,319 | ||||||
Tata Motors Ltd.* | 68,055 | 121,816 | ||||||
Tata Motors Ltd., Class A* | 13,101 | 9,820 | ||||||
Tofas Turk Otomobil Fabrikasi A/S | 6,639 | 21,161 | ||||||
TVS Motor Co. Ltd. | 3,564 | 21,906 | ||||||
UMW Holdings Bhd. | 20,800 | 11,013 | ||||||
Yadea Group Holdings Ltd.(b) | 444,000 | 633,235 | ||||||
Yulon Motor Co. Ltd.* | 13,986 | 17,407 | ||||||
5,428,141 | ||||||||
Banks – 13.0% | ||||||||
Absa Group Ltd. | 23,071 | 123,429 | ||||||
Abu Dhabi Commercial Bank PJSC(c) | 93,382 | 149,232 | ||||||
Abu Dhabi Islamic Bank PJSC | 19,571 | 23,177 | ||||||
AFFIN Bank Bhd. | 134,710 | 44,417 | ||||||
Agricultural Bank of China Ltd., Class A | 433,500 | 203,804 | ||||||
Agricultural Bank of China Ltd., Class H | 940,000 | 317,582 | ||||||
Akbank T.A.S.* | 72,533 | 41,272 | ||||||
Akbank T.A.S., ADR* | 20,016 | 23,419 | ||||||
Al Khalij Commercial Bank PQSC | 790,000 | 390,335 | ||||||
Al Rajhi Bank | 19,480 | 341,782 | ||||||
Alinma Bank* | 17,860 | 72,768 | ||||||
Alior Bank SA* | 35,464 | 101,416 | ||||||
Alliance Bank Malaysia Bhd. | 495,300 | 259,869 | ||||||
Alpha Bank AE* | 41,378 | 20,870 | ||||||
AMMB Holdings Bhd. | 70,500 | 48,357 | ||||||
AU Small Finance Bank Ltd.*(b) | 2,288 | 23,938 | ||||||
Axis Bank Ltd.* | 34,780 | 231,139 | ||||||
Banco Bradesco SA | 42,551 | 134,088 | ||||||
Banco Bradesco SA (Preference) | 148,600 | 519,559 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 215 |
Table of Contents
FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Banks – (continued) | ||||||||
Banco Davivienda SA (Preference) | 433 | $ | 2,823 | |||||
Banco de Bogota SA | 4,042 | 71,347 | ||||||
Banco de Chile | 699,266 | 53,934 | ||||||
Banco de Credito e Inversiones SA | 1,037 | 32,423 | ||||||
Banco del Bajio SA*(b) | 303,100 | 249,859 | ||||||
Banco do Brasil SA* | 48,600 | 251,176 | ||||||
Banco do Estado do Rio Grande do Sul SA (Preference), Class B | 85,600 | 178,148 | ||||||
Banco Inter SA* | 2,400 | 21,157 | ||||||
Banco Santander Chile | 1,190,886 | 41,649 | ||||||
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand(a) | 228,000 | 167,805 | ||||||
Bancolombia SA | 9,756 | 62,009 | ||||||
Bancolombia SA (Preference) | 15,490 | 98,454 | ||||||
Bandhan Bank Ltd.*(b) | 12,300 | 48,041 | ||||||
Bangkok Bank PCL, NVDR | 18,800 | 58,359 | ||||||
Bank Al Habib Ltd. | 446,500 | 186,934 | ||||||
Bank AlBilad | 7,473 | 46,349 | ||||||
Bank Alfalah Ltd. | 587,500 | 121,277 | ||||||
Bank Al-Jazira | 12,573 | 43,650 | ||||||
Bank BTPN Syariah Tbk. PT | 91,200 | 23,073 | ||||||
Bank Central Asia Tbk. PT | 173,400 | 343,243 | ||||||
Bank Handlowy w Warszawie SA* | 1,034 | 7,200 | ||||||
Bank Mandiri Persero Tbk. PT | 611,000 | 241,267 | ||||||
Bank Millennium SA* | 273,461 | 149,021 | ||||||
Bank Negara Indonesia Persero Tbk. PT | 267,900 | 86,827 | ||||||
Bank of Ayudhya PCL, NVDR | 56,400 | 34,201 | ||||||
Bank of Baroda* | 41,116 | 23,136 | ||||||
Bank of Beijing Co. Ltd., Class A | 65,800 | 45,862 | ||||||
Bank of Changsha Co. Ltd., Class A | 9,400 | 12,641 | ||||||
Bank of Chengdu Co. Ltd., Class A | 18,800 | 29,041 | ||||||
Bank of China Ltd., Class A | 239,700 | 113,765 | ||||||
Bank of China Ltd., Class H | 2,585,000 | 816,682 | ||||||
Bank of Chongqing Co. Ltd., Class H | 235,000 | 131,518 | ||||||
Bank of Communications Co. Ltd., Class A | 112,800 | 76,264 |
Investments | Shares | Value | ||||||
Banks – (continued) | ||||||||
Bank of Communications Co. Ltd., Class H | 729,000 | $ | 358,162 | |||||
Bank of Hangzhou Co. Ltd., Class A | 18,800 | 36,392 | ||||||
Bank of Jiangsu Co. Ltd., Class A | 37,600 | 33,727 | ||||||
Bank of Nanjing Co. Ltd., Class A | 37,600 | 42,930 | ||||||
Bank of Ningbo Co. Ltd., Class A | 18,800 | 95,344 | ||||||
Bank of Shanghai Co. Ltd., Class A | 42,300 | 49,559 | ||||||
Bank of the Philippine Islands | 52,640 | 79,993 | ||||||
Bank Pembangunan Daerah Jawa Timur Tbk. PT | 1,682,600 | 66,729 | ||||||
Bank Polska Kasa Opieki SA* | 5,076 | 54,132 | ||||||
Bank Rakyat Indonesia Persero Tbk. PT | 843,500 | 193,789 | ||||||
Bank Tabungan Negara Persero Tbk. PT | 1,790,100 | 170,136 | ||||||
Banque Saudi Fransi | 8,319 | 65,881 | ||||||
BDO Unibank, Inc. | 33,840 | 62,157 | ||||||
BIMB Holdings Bhd. | 15,380 | 11,623 | ||||||
BNK Financial Group, Inc. | 11,562 | 56,144 | ||||||
BOC Hong Kong Holdings Ltd. | 117,500 | 325,764 | ||||||
Canara Bank* | 128,025 | 148,915 | ||||||
Capitec Bank Holdings Ltd.* | 1,338 | 93,873 | ||||||
Chang Hwa Commercial Bank Ltd. | 108,517 | 64,685 | ||||||
China Banking Corp. | 481,174 | 217,224 | ||||||
China CITIC Bank Corp. Ltd., Class H | 423,000 | 171,822 | ||||||
China Construction Bank Corp., Class A | 28,200 | 26,474 | ||||||
China Construction Bank Corp., Class H | 3,347,000 | 2,309,065 | ||||||
China Everbright Bank Co. Ltd., Class A | 112,800 | 65,994 | ||||||
China Everbright Bank Co. Ltd., Class H | 141,000 | 48,728 | ||||||
China Merchants Bank Co. Ltd., Class A | 56,400 | 335,107 | ||||||
China Merchants Bank Co. Ltd., Class H | 129,000 | 670,380 | ||||||
China Minsheng Banking Corp. Ltd., Class A | 108,100 | 85,187 | ||||||
China Minsheng Banking Corp. Ltd., Class H(a) | 188,000 | 102,790 |
See Accompanying Notes to the Financial Statements.
216 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Banks – (continued) | ||||||||
Chong Hing Bank Ltd. | 76,000 | $ | 89,575 | |||||
Chongqing Rural Commercial Bank Co. Ltd., Class A | 18,800 | 12,542 | ||||||
Chongqing Rural Commercial Bank Co. Ltd., Class H | 94,000 | 37,455 | ||||||
CIMB Group Holdings Bhd. | 233,200 | 165,569 | ||||||
City Union Bank Ltd. | 9,675 | 19,283 | ||||||
Commercial Bank PSQC (The) | 67,333 | 78,595 | ||||||
Commercial International Bank Egypt SAE | 49,522 | 192,568 | ||||||
Credicorp Ltd. | 2,115 | 242,548 | ||||||
Credit Agricole Egypt SAE | 56,543 | 93,602 | ||||||
Credit Bank of Moscow PJSC* | 394,190 | 27,102 | ||||||
CTBC Financial Holding Co. Ltd. | 658,000 | 415,225 | ||||||
DGB Financial Group, Inc. | 75,751 | 412,568 | ||||||
Doha Bank QPSC* | 681,573 | 454,881 | ||||||
Dubai Islamic Bank PJSC | 70,500 | 79,844 | ||||||
E.Sun Financial Holding Co. Ltd. | 188,645 | 160,263 | ||||||
Emirates NBD Bank PJSC | 42,894 | 110,938 | ||||||
Eurobank Ergasias Services and Holdings SA* | 94,564 | 31,361 | ||||||
Far Eastern International Bank | 57,000 | 20,625 | ||||||
Federal Bank Ltd.* | 637,217 | 433,797 | ||||||
First Abu Dhabi Bank PJSC | 72,286 | 225,528 | ||||||
First Financial Holding Co. Ltd. | 149,473 | 104,775 | ||||||
Grupo Aval Acciones y Valores SA (Preference) | 143,679 | 33,174 | ||||||
Grupo Bolivar SA | 15,198 | 240,509 | ||||||
Grupo Elektra SAB de CV | 1,175 | 66,368 | ||||||
Grupo Financiero Banorte SAB de CV, Class O* | 83,300 | 369,961 | ||||||
Grupo Financiero Inbursa SAB de CV, Class O* | 61,100 | 45,112 | ||||||
Grupo Security SA | 518,964 | 80,523 | ||||||
Habib Bank Ltd. | 32,200 | 26,152 | ||||||
Hana Financial Group, Inc. | 9,588 | 256,874 | ||||||
Hong Leong Bank Bhd. | 14,100 | 50,224 | ||||||
Hong Leong Financial Group Bhd. | 5,000 | 16,967 | ||||||
Hua Nan Financial Holdings Co. Ltd. | 166,166 | 99,920 | ||||||
Huaxia Bank Co. Ltd., Class A | 47,000 | 42,509 |
Investments | Shares | Value | ||||||
Banks – (continued) | ||||||||
Huishang Bank Corp. Ltd., Class H(a) | 421,000 | $ | 138,436 | |||||
ICICI Bank Ltd.* | 81,143 | 429,872 | ||||||
IDFC First Bank Ltd.* | 42,452 | 17,529 | ||||||
Industrial & Commercial Bank of China Ltd., Class H | 2,535,000 | 1,425,250 | ||||||
Industrial Bank Co. Ltd., Class A | 61,100 | 162,321 | ||||||
Industrial Bank of Korea | 9,353 | 67,343 | ||||||
ING Bank Slaski SA* | 237 | 6,135 | ||||||
Intercorp Financial Services, Inc.(b) | 1,040 | 21,632 | ||||||
Itau CorpBanca Chile SA | 1,015,777 | 2,676 | ||||||
Itau Unibanco Holding SA (Preference) | 164,500 | 669,868 | ||||||
Itausa SA | 19,909 | 35,633 | ||||||
Itausa SA (Preference) | 79,900 | 125,961 | ||||||
JB Financial Group Co. Ltd. | 71,456 | 321,165 | ||||||
Jiangsu Changshu Rural Commercial Bank Co. Ltd., Class A | 6,700 | 6,770 | ||||||
Kasikornbank PCL, NVDR | 40,000 | 97,858 | ||||||
KB Financial Group, Inc. | 13,308 | 470,305 | ||||||
Kiatnakin Phatra Bank PCL, NVDR | 20,800 | 26,361 | ||||||
King’s Town Bank Co. Ltd. | 24,000 | 32,513 | ||||||
Komercni banka A/S* | 2,394 | 48,450 | ||||||
Kotak Mahindra Bank Ltd.* | 17,343 | 362,130 | ||||||
Krung Thai Bank PCL, NVDR | 136,300 | 37,828 | ||||||
LH Financial Group PCL, NVDR | 2,213,700 | 63,213 | ||||||
Malayan Banking Bhd. | 101,400 | 170,830 | ||||||
Malaysia Building Society Bhd. | 100,217 | 11,819 | ||||||
Masraf Al Rayan QSC | 54,081 | 63,795 | ||||||
mBank SA* | 532 | 15,502 | ||||||
MCB Bank Ltd. | 16,300 | 16,913 | ||||||
Mega Financial Holding Co. Ltd. | 188,000 | 181,076 | ||||||
Metropolitan Bank & Trust Co. | 38,560 | 32,465 | ||||||
Moneta Money Bank A/S(b) | 194,521 | 440,186 | ||||||
National Bank of Greece SA* | 13,649 | 14,255 | ||||||
National Commercial Bank | 22,936 | 238,821 | ||||||
Nedbank Group Ltd. | 13,677 | 80,789 | ||||||
OTP Bank Nyrt.* | 7,050 | 219,574 | ||||||
Philippine National Bank* | 264,800 | 148,813 | ||||||
Ping An Bank Co. Ltd., Class A | 56,400 | 149,413 | ||||||
Piraeus Bank SA* | 132,994 | 101,471 | ||||||
Postal Savings Bank of China Co. Ltd., Class H(b) | 329,000 | 161,215 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 217 |
Table of Contents
FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Banks – (continued) | ||||||||
Powszechna Kasa Oszczednosci Bank Polski SA* | 29,691 | $ | 141,987 | |||||
Public Bank Bhd. | 47,000 | 170,580 | ||||||
Punjab National Bank* | 51,127 | 18,455 | ||||||
Qatar International Islamic Bank QSC | 9,789 | 22,318 | ||||||
Qatar Islamic Bank SAQ | 17,797 | 79,185 | ||||||
Qatar National Bank QPSC | 70,867 | 344,506 | ||||||
RBL Bank Ltd.(b) | 168,590 | 396,636 | ||||||
Regional SAB de CV*(a) | 55,800 | 150,321 | ||||||
RHB Bank Bhd. | 64,000 | 65,155 | ||||||
Riyad Bank | 45,836 | 219,995 | ||||||
Samba Financial Group | 13,813 | 101,656 | ||||||
Santander Bank Polska SA* | 1,005 | 31,187 | ||||||
Saudi Investment Bank (The)* | 5,844 | 25,057 | ||||||
Sberbank of Russia PJSC | 362,370 | 916,462 | ||||||
Sberbank of Russia PJSC (Preference) | 33,948 | 82,684 | ||||||
Security Bank Corp. | 5,130 | 10,218 | ||||||
Shanghai Commercial & Savings Bank Ltd. (The) | 73,568 | 95,292 | ||||||
Shanghai Pudong Development Bank Co. Ltd., Class A | 89,300 | 123,417 | ||||||
Shinhan Financial Group Co. Ltd. | 15,257 | 408,081 | ||||||
Siam Commercial Bank PCL (The), NVDR | 52,000 | 108,446 | ||||||
SinoPac Financial Holdings Co. Ltd. | 188,000 | 70,327 | ||||||
Standard Bank Group Ltd. | 43,962 | 286,979 | ||||||
State Bank of India* | 61,053 | 155,912 | ||||||
Taichung Commercial Bank Co. Ltd. | 79,952 | 30,328 | ||||||
Taishin Financial Holding Co. Ltd. | 404,422 | 178,150 | ||||||
Taiwan Business Bank | 117,035 | 38,461 | ||||||
Taiwan Cooperative Financial Holding Co. Ltd. | 138,020 | 92,645 | ||||||
Thanachart Capital PCL, NVDR | 20,200 | 17,823 | ||||||
Tisco Financial Group PCL, NVDR | 9,900 | 22,473 | ||||||
TMB Bank PCL, NVDR | 1,603,100 | 41,662 | ||||||
Turkiye Garanti Bankasi A/S* | 76,563 | 60,279 | ||||||
Turkiye Halk Bankasi A/S* | 28,578 | 16,022 | ||||||
Turkiye Is Bankasi A/S, Class C* | 60,301 | 36,757 | ||||||
Turkiye Vakiflar Bankasi TAO, Class D* | 51,728 | 23,510 |
Investments | Shares | Value | ||||||
Banks – (continued) | ||||||||
Union Bank of India* | 303,479 | $ | 98,488 | |||||
Union Bank of Taiwan | 116,946 | 41,090 | ||||||
United Bank Ltd. | 186,000 | 127,286 | ||||||
VTB Bank PJSC | 206,441,531 | 85,044 | ||||||
Woori Financial Group, Inc. | 18,612 | 145,819 | ||||||
Yapi ve Kredi Bankasi A/S* | 80,342 | 20,605 | ||||||
Yes Bank Ltd.* | 47,953 | 8,024 | ||||||
29,444,739 | ||||||||
Beverages – 0.7% | ||||||||
Ambev SA* | 65,800 | 138,995 | ||||||
Anadolu Efes Biracilik ve Malt Sanayii A/S | 9,872 | 22,881 | ||||||
Anhui Gujing Distillery Co. Ltd., Class B | 1,800 | 20,426 | ||||||
Arca Continental SAB de CV | 9,700 | 42,101 | ||||||
Becle SAB de CV | 10,700 | 22,393 | ||||||
Carabao Group PCL, NVDR | 2,800 | 9,837 | ||||||
Carlsberg Brewery Malaysia Bhd. | 1,100 | 4,887 | ||||||
China Resources Beer Holdings Co. Ltd. | 21,107 | 130,781 | ||||||
Cia Cervecerias Unidas SA | 1,212 | 6,733 | ||||||
Coca-Cola Femsa SAB de CV(a) | 9,400 | 35,484 | ||||||
Coca-Cola Icecek A/S* | 2,875 | 15,399 | ||||||
Distell Group Holdings Ltd. | 3,420 | 17,114 | ||||||
Embotelladora Andina SA (Preference), Class B | 9,513 | 19,787 | ||||||
Emperador, Inc. | 55,200 | 11,428 | ||||||
Fomento Economico Mexicano SAB de CV | 28,200 | 150,678 | ||||||
Fraser & Neave Holdings Bhd. | 3,700 | 28,140 | ||||||
Heineken Malaysia Bhd. | 1,900 | 8,222 | ||||||
Hey Song Corp. | 2,000 | 2,272 | ||||||
Hite Jinro Co. Ltd. | 348 | 10,274 | ||||||
Jiangsu King’s Luck Brewery JSC Ltd., Class A | 1,600 | 12,382 | ||||||
Jiangsu Yanghe Brewery Joint-Stock Co. Ltd., Class A | 2,100 | 52,674 | ||||||
Kweichow Moutai Co. Ltd., Class A | 1,600 | 398,799 | ||||||
Lotte Chilsung Beverage Co. Ltd. | 150 | 11,355 | ||||||
Luzhou Laojiao Co. Ltd., Class A | 2,400 | 61,789 |
See Accompanying Notes to the Financial Statements.
218 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Beverages – (continued) | ||||||||
Osotspa PCL, NVDR | 20,400 | $ | 20,945 | |||||
Shanxi Xinghuacun Fen Wine Factory Co. Ltd., Class A | 1,000 | 33,599 | ||||||
Tsingtao Brewery Co. Ltd., Class H | 8,000 | 66,075 | ||||||
United Breweries Ltd. | 1,379 | 17,235 | ||||||
United Spirits Ltd.* | 5,911 | 40,224 | ||||||
Varun Beverages Ltd. | 1,161 | 10,260 | ||||||
Vina Concha y Toro SA | 1,616 | 2,576 | ||||||
Wuliangye Yibin Co. Ltd., Class A | 4,700 | 171,405 | ||||||
1,597,150 | ||||||||
Biotechnology – 0.5% | ||||||||
3SBio, Inc.*(a)(b) | 18,480 | 17,182 | ||||||
ABLBio, Inc.* | 437 | 9,590 | ||||||
Alteogen, Inc.* | 302 | 42,132 | ||||||
Amicogen, Inc.* | 514 | 13,861 | ||||||
BeiGene Ltd.* | 8,000 | 177,541 | ||||||
Biocon Ltd.* | 6,644 | 36,184 | ||||||
Celltrion, Inc.* | 1,546 | 328,356 | ||||||
China Biologic Products Holdings, Inc.* | 228 | 26,496 | ||||||
Genexine, Inc.* | 282 | 28,009 | ||||||
Green Cross Cell Corp. | 258 | 8,617 | ||||||
Green Cross Corp. | 145 | 38,336 | ||||||
Green Cross Holdings Corp. | 631 | 12,512 | ||||||
G-treeBNT Co. Ltd.* | 525 | 12,700 | ||||||
Helixmith Co. Ltd.* | 432 | 7,043 | ||||||
Hualan Biological Engineering, Inc., Class A | 1,900 | 14,519 | ||||||
Hugel, Inc.* | 126 | 23,319 | ||||||
Innovent Biologics, Inc.*(b) | 13,500 | 99,576 | ||||||
Jinyu Bio-Technology Co. Ltd., Class A | 4,700 | 16,597 | ||||||
MedPacto, Inc.* | 235 | 21,994 | ||||||
Medytox, Inc. | 110 | 17,915 | ||||||
OBI Pharma, Inc.* | 2,584 | 10,028 | ||||||
PharmaEssentia Corp.* | 5,364 | 15,002 | ||||||
Seegene, Inc. | 326 | 75,416 | ||||||
Shanghai RAAS Blood Products Co. Ltd., Class A | 9,400 | 11,953 | ||||||
SillaJen, Inc.*‡(c) | 2,522 | 20,170 | ||||||
TaiMed Biologics, Inc.* | 1,000 | 3,112 |
Investments | Shares | Value | ||||||
Biotechnology – (continued) | ||||||||
Tanvex BioPharma, Inc.* | 9,000 | $ | 11,768 | |||||
Zai Lab Ltd., ADR*(a) | 902 | 74,009 | ||||||
1,173,937 | ||||||||
Building Products – 0.1% | ||||||||
Astral Poly Technik Ltd. | 237 | 3,594 | ||||||
China Lesso Group Holdings Ltd. | 34,000 | 54,892 | ||||||
Kajaria Ceramics Ltd. | 2,608 | 20,039 | ||||||
Kyung Dong Navien Co. Ltd. | 208 | 9,715 | ||||||
LG Hausys Ltd. | 2,538 | 147,847 | ||||||
Taiwan Glass Industry Corp.* | 11,000 | 4,826 | ||||||
240,913 | ||||||||
Capital Markets – 1.9% | ||||||||
Administradora de Fondos de Pensiones Habitat SA | 86,161 | 53,991 | ||||||
B3 SA – Brasil Bolsa Balcao | 32,900 | 291,284 | ||||||
Banco BTG Pactual SA* | 4,700 | 59,096 | ||||||
Bangkok Commercial Asset Management PCL, NVDR | 25,000 | 16,203 | ||||||
Bolsa Mexicana de Valores SAB de CV | 6,900 | 13,983 | ||||||
Bursa Malaysia Bhd. | 8,000 | 15,519 | ||||||
Caitong Securities Co. Ltd., Class A | 9,400 | 18,014 | ||||||
Capital Securities Corp. | 944,000 | 359,732 | ||||||
Changjiang Securities Co. Ltd., Class A | 14,100 | 15,846 | ||||||
China Cinda Asset Management Co. Ltd., Class H | 282,000 | 52,728 | ||||||
China Everbright Ltd. | 28,000 | 36,901 | ||||||
China Galaxy Securities Co. Ltd., Class A | 5,200 | 9,119 | ||||||
China Galaxy Securities Co. Ltd., Class H(a) | 61,000 | 33,352 | ||||||
China Huarong Asset Management Co. Ltd., Class H(b) | 208,000 | 21,726 | ||||||
China International Capital Corp. Ltd., Class H*(b) | 28,400 | 66,067 | ||||||
China Merchants Securities Co. Ltd., Class A | 12,220 | 37,735 | ||||||
China Merchants Securities Co. Ltd., Class H(b) | 16,600 | 20,550 | ||||||
CITIC Securities Co. Ltd., Class A | 14,100 | 60,249 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 219 |
Table of Contents
FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Capital Markets – (continued) | ||||||||
CITIC Securities Co. Ltd., Class H | 36,500 | $ | 78,697 | |||||
Coronation Fund Managers Ltd. | 7,009 | 16,189 | ||||||
CSC Financial Co. Ltd., Class H(a)(b) | 356,000 | 429,687 | ||||||
Daishin Securities Co. Ltd. | 14,523 | 171,506 | ||||||
Daishin Securities Co. Ltd. (Preference) | 7,008 | 61,390 | ||||||
Daou Technology, Inc. | 10,650 | 175,513 | ||||||
Dubai Financial Market PJSC | 67,052 | 15,279 | ||||||
Egyptian Financial Group-Hermes Holding Co.* | 258,166 | 203,244 | ||||||
Everbright Securities Co. Ltd., Class A | 9,400 | 25,239 | ||||||
Founder Securities Co. Ltd., Class A* | 14,100 | 19,550 | ||||||
GF Securities Co. Ltd., Class A | 14,100 | 32,408 | ||||||
GF Securities Co. Ltd., Class H | 9,400 | 12,109 | ||||||
Guangzhou Yuexiu Financial Holdings Group Co. Ltd., Class A | 1,400 | 3,280 | ||||||
Guosen Securities Co. Ltd., Class A | 14,100 | 28,094 | ||||||
Guotai Junan International Holdings Ltd.(a) | 1,163,000 | 148,471 | ||||||
Guotai Junan Securities Co. Ltd., Class A | 14,100 | 38,721 | ||||||
Guotai Junan Securities Co. Ltd., Class H(b) | 3,600 | 4,679 | ||||||
Haitong Securities Co. Ltd., Class A | 18,800 | 39,395 | ||||||
Haitong Securities Co. Ltd., Class H(a) | 37,600 | 31,710 | ||||||
HDFC Asset Management Co. Ltd.(b) | 782 | 23,745 | ||||||
Huatai Securities Co. Ltd., Class A | 9,400 | 28,564 | ||||||
Huatai Securities Co. Ltd., Class H(b) | 28,200 | 45,528 | ||||||
IBF Financial Holdings Co. Ltd. | 48,206 | 19,802 | ||||||
ICICI Securities Ltd.(b) | 1,880 | 11,757 | ||||||
Investec Ltd. | 144,411 | 264,937 | ||||||
Jih Sun Financial Holdings Co. Ltd. | 39,037 | 14,330 | ||||||
JSE Ltd. | 2,795 | 18,698 | ||||||
KIWOOM Securities Co. Ltd. | 363 | 32,951 | ||||||
Korea Investment Holdings Co. Ltd. | 1,401 | 84,700 |
Investments | Shares | Value | ||||||
Capital Markets – (continued) | ||||||||
Macquarie Korea Infrastructure Fund | 5,397 | $ | 52,320 | |||||
Meritz Securities Co. Ltd. | 6,708 | 19,449 | ||||||
Mirae Asset Daewoo Co. Ltd. | 12,408 | 91,526 | ||||||
Mirae Asset Daewoo Co. Ltd. (2nd Preference) | 6,840 | 27,217 | ||||||
Moscow Exchange MICEX-RTS PJSC | 25,591 | 43,141 | ||||||
Nanjing Securities Co. Ltd., Class A | 9,400 | 17,509 | ||||||
NH Investment & Securities Co. Ltd. | 4,841 | 40,701 | ||||||
Nippon Life India Asset Management Ltd.(b) | 5,244 | 19,237 | ||||||
Noah Holdings Ltd., ADR*(a) | 800 | 21,064 | ||||||
Orient Securities Co. Ltd., Class A | 9,400 | 15,068 | ||||||
President Securities Corp. | 383,520 | 197,100 | ||||||
PSG Konsult Ltd. | 3,256 | 1,583 | ||||||
Reinet Investments SCA | 3,713 | 58,917 | ||||||
Samsung Securities Co. Ltd. | 2,632 | 74,458 | ||||||
SDIC Capital Co. Ltd., Class A | 9,400 | 19,599 | ||||||
Shenwan Hongyuan Group Co. Ltd., Class A | 18,800 | 14,142 | ||||||
Shenwan Hongyuan Group Co. Ltd., Class H(b) | 75,200 | 19,006 | ||||||
Shinyoung Securities Co. Ltd. | 1,739 | 70,191 | ||||||
Sinolink Securities Co. Ltd., Class A | 9,400 | 20,960 | ||||||
Warsaw Stock Exchange | 1,040 | 11,295 | ||||||
Yuanta Securities Korea Co. Ltd.* | 37,916 | 89,886 | ||||||
4,186,637 | ||||||||
Chemicals – 4.1% | ||||||||
Aarti Industries Ltd. | 893 | 12,057 | ||||||
Advanced Petrochemical Co. | 1,686 | 25,985 | ||||||
AECI Ltd. | 49,238 | 231,118 | ||||||
Alpek SAB de CV | 172,400 | 128,505 | ||||||
Asian Paints Ltd. | 6,674 | 199,164 | ||||||
Atul Ltd. | 259 | 21,000 | ||||||
Barito Pacific Tbk. PT* | 474,700 | 29,212 | ||||||
Batu Kawan Bhd. | 6,300 | 22,926 | ||||||
Bayer CropScience Ltd. | 141 | 10,366 | ||||||
Berger Paints India Ltd. | 4,933 | 41,474 | ||||||
Braskem SA (Preference), Class A* | 5,300 | 20,994 |
See Accompanying Notes to the Financial Statements.
220 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Chemicals – (continued) | ||||||||
Castrol India Ltd. | 9,090 | $ | 13,983 | |||||
Chandra Asri Petrochemical Tbk. PT* | 51,500 | 28,171 | ||||||
China Lumena New Materials Corp.*‡(c) | 22,200 | — | ||||||
China Man-Made Fiber Corp.* | 611,425 | 178,489 | ||||||
China Petrochemical Development Corp. | 76,000 | 22,718 | ||||||
China Risun Group Ltd.(b) | 440,000 | 128,797 | ||||||
China Steel Chemical Corp. | 1,000 | 3,202 | ||||||
Ciech SA* | 13,348 | 87,557 | ||||||
Coromandel International Ltd. | 1,898 | 18,608 | ||||||
D&L Industries, Inc. | 110,800 | 14,262 | ||||||
Dongjin Semichem Co. Ltd. | 206 | 4,929 | ||||||
Dongyue Group Ltd.(a) | 514,000 | 195,529 | ||||||
Ecopro Co. Ltd. | 8,606 | 322,336 | ||||||
Egypt Kuwait Holding Co. SAE | 30,919 | 32,063 | ||||||
Engro Corp. Ltd. | 11,270 | 21,395 | ||||||
Engro Fertilizers Ltd. | 229,500 | 92,230 | ||||||
Eternal Materials Co. Ltd. | 19,010 | 22,364 | ||||||
Fauji Fertilizer Co. Ltd. | 40,039 | 26,403 | ||||||
Foosung Co. Ltd. | 1,768 | 13,883 | ||||||
Formosa Chemicals & Fibre Corp. | 66,000 | 158,750 | ||||||
Formosa Plastics Corp. | 72,000 | 199,109 | ||||||
Fufeng Group Ltd.* | 517,000 | 163,336 | ||||||
Grand Pacific Petrochemical* | 329,000 | 261,673 | ||||||
Grupa Azoty SA* | 18,506 | 95,712 | ||||||
Hansol Chemical Co. Ltd. | 224 | 27,835 | ||||||
Hanwha Solutions Corp. | 3,419 | 131,674 | ||||||
HDC Holdings Co. Ltd. | 15,786 | 138,842 | ||||||
Hengli Petrochemical Co. Ltd., Class A | 14,100 | 40,615 | ||||||
Hengyi Petrochemical Co. Ltd., Class A | 14,100 | 24,243 | ||||||
Huabao International Holdings Ltd.(a) | 376,000 | 339,885 | ||||||
Huchems Fine Chemical Corp. | 8,106 | 163,592 | ||||||
Indorama Ventures PCL, NVDR | 84,600 | 59,988 | ||||||
Jiangsu Eastern Shenghong Co. Ltd., Class A | 14,100 | 12,921 | ||||||
Kansai Nerolac Paints Ltd. | 2,196 | 15,250 | ||||||
KCC Corp. | 170 | 22,922 | ||||||
Kolon Industries, Inc. | 8,216 | 256,320 | ||||||
Korea Petrochemical Ind Co. Ltd. | 2,015 | 344,505 | ||||||
Kumho Petrochemical Co. Ltd. | 752 | 88,143 |
Investments | Shares | Value | ||||||
Chemicals – (continued) | ||||||||
LG Chem Ltd. | 752 | $ | 404,928 | |||||
LG Chem Ltd. (Preference) | 152 | 41,526 | ||||||
Lomon Billions Group Co. Ltd., Class A | 4,700 | 17,354 | ||||||
Lotte Chemical Corp. | 564 | 115,812 | ||||||
LOTTE Fine Chemical Co. Ltd. | 7,353 | 314,286 | ||||||
Mesaieed Petrochemical Holding Co. | 76,751 | 39,103 | ||||||
Misr Fertilizers Production Co. SAE | 17,443 | 51,607 | ||||||
Nan Ya Plastics Corp. | 91,000 | 186,750 | ||||||
National Industrialization Co.* | 5,584 | 16,825 | ||||||
National Petrochemical Co. | 1,669 | 12,038 | ||||||
Navin Fluorine International Ltd. | 517 | 15,638 | ||||||
OCI Co. Ltd.* | 333 | 18,136 | ||||||
Orbia Advance Corp. SAB de CV | 28,733 | 50,653 | ||||||
Oriental Union Chemical Corp. | 273,000 | 156,526 | ||||||
Petkim Petrokimya Holding A/S* | 47,514 | 23,295 | ||||||
Petronas Chemicals Group Bhd. | 47,000 | 66,173 | ||||||
PhosAgro PJSC | 1,097 | 38,919 | ||||||
PI Advanced Materials Co. Ltd. | 520 | 13,107 | ||||||
PI Industries Ltd. | 1,268 | 37,595 | ||||||
Pidilite Industries Ltd. | 2,350 | 49,798 | ||||||
PTT Global Chemical PCL, NVDR | 61,100 | 78,415 | ||||||
Rongsheng Petro Chemical Co. Ltd., Class A | 9,400 | 26,740 | ||||||
Sahara International Petrochemical Co.* | 5,715 | 22,218 | ||||||
Sasa Polyester Sanayi A/S* | 2,128 | 3,884 | ||||||
Sasol Ltd.* | 19,030 | 98,413 | ||||||
Saudi Arabian Fertilizer Co. | 3,525 | 70,870 | ||||||
Saudi Basic Industries Corp. | 14,435 | 346,412 | ||||||
Saudi Industrial Investment Group | 9,541 | 51,644 | ||||||
Saudi Kayan Petrochemical Co.* | 15,322 | 38,731 | ||||||
Scientex Bhd. | 8,700 | 24,875 | ||||||
Shandong Hualu Hengsheng Chemical Co. Ltd., Class A | 4,700 | 19,831 | ||||||
Shanghai Huayi Group Co. Ltd., Class B | 108,800 | 52,877 | ||||||
Shinkong Synthetic Fibers Corp. | 611,000 | 246,720 | ||||||
Sinoma Science & Technology Co. Ltd., Class A | 1,800 | 5,155 | ||||||
SK Chemicals Co. Ltd. | 3,478 | 1,060,534 | ||||||
SK Materials Co. Ltd. | 65 | 12,723 | ||||||
SKC Co. Ltd. | 279 | 17,998 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 221 |
Table of Contents
FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Chemicals – (continued) | ||||||||
Sociedad Quimica y Minera de Chile SA (Preference), Class B | 2,021 | $ | 73,761 | |||||
Solar Industries India Ltd. | 1,040 | 14,172 | ||||||
Soulbrain Holdings Co. Ltd. | 291 | 10,976 | ||||||
SRF Ltd. | 401 | 23,900 | ||||||
Sumitomo Chemical India Ltd. | 2,585 | 9,320 | ||||||
Supreme Industries Ltd. | 1,204 | 23,504 | ||||||
Taekwang Industrial Co. Ltd. | 124 | 77,589 | ||||||
Taiwan Fertilizer Co. Ltd. | 12,000 | 21,480 | ||||||
Tata Chemicals Ltd. | 1,541 | 6,703 | ||||||
Tianqi Lithium Corp., Class A* | 4,700 | 13,889 | ||||||
TOA Paint Thailand PCL, NVDR | 12,000 | 12,417 | ||||||
Tongkun Group Co. Ltd., Class A | 9,400 | 21,227 | ||||||
TSRC Corp. | 34,000 | 24,070 | ||||||
UPL Ltd. | 10,811 | 66,121 | ||||||
USI Corp. | 366,000 | 225,843 | ||||||
Vinythai PCL, NVDR | 98,700 | 76,319 | ||||||
Wanhua Chemical Group Co. Ltd., Class A | 4,700 | 55,059 | ||||||
Yanbu National Petrochemical Co. | 5,217 | 79,988 | ||||||
Zhejiang Huafeng Spandex Co. Ltd., Class A | 14,100 | 16,856 | ||||||
Zhejiang Longsheng Group Co. Ltd., Class A | 9,400 | 18,645 | ||||||
Zhejiang Satellite Petrochemical Co. Ltd., Class A | 1,700 | 5,620 | ||||||
9,240,603 | ||||||||
Commercial Services & Supplies – 0.2% | ||||||||
A-Living Services Co. Ltd., Class H(a)(b) | 5,000 | 20,955 | ||||||
China Everbright Environment Group Ltd. | 141,000 | 70,911 | ||||||
Cleanaway Co. Ltd. | 1,000 | 5,506 | ||||||
Country Garden Services Holdings Co. Ltd. | 20,887 | 131,034 | ||||||
ECOVE Environment Corp. | 1,000 | 7,429 | ||||||
Ever Sunshine Lifestyle Services Group Ltd.(b) | 10,000 | 17,202 | ||||||
Greentown Service Group Co. Ltd.(b) | 30,000 | 32,844 | ||||||
S-1 Corp. | 347 | 24,954 |
Investments | Shares | Value | ||||||
Commercial Services & Supplies – (continued) | ||||||||
Sunny Friend Environmental Technology Co. Ltd. | 1,000 | $ | 7,394 | |||||
Taiwan Secom Co. Ltd. | 3,165 | 9,704 | ||||||
Taiwan Shin Kong Security Co. Ltd. | 8,322 | 10,605 | ||||||
338,538 | ||||||||
Communications Equipment – 0.2% | ||||||||
Accton Technology Corp. | 10,000 | 72,544 | ||||||
Advanced Ceramic X Corp. | 1,000 | 12,516 | ||||||
BYD Electronic International Co. Ltd.(a) | 10,000 | 42,941 | ||||||
Comba Telecom Systems Holdings Ltd.(a) | 48,000 | 15,350 | ||||||
KMW Co. Ltd.* | 563 | 30,911 | ||||||
Seojin System Co. Ltd. | 5,358 | 165,504 | ||||||
Tianjin 712 Communication & Broadcasting Co. Ltd., Class A | 900 | 5,780 | ||||||
Wistron NeWeb Corp. | 10,093 | 26,641 | ||||||
ZTE Corp., Class A | 4,700 | 22,637 | ||||||
ZTE Corp., Class H | 18,800 | 41,407 | ||||||
436,231 | ||||||||
Construction & Engineering – 1.2% | ||||||||
BES Engineering Corp. | 55,000 | 14,094 | ||||||
Budimex SA | 460 | 27,157 | ||||||
CH Karnchang PCL, NVDR | 737 | 352 | ||||||
China Communications Construction Co. Ltd., Class A | 14,100 | 15,552 | ||||||
China Communications Construction Co. Ltd., Class H | 170,000 | 88,783 | ||||||
China Communications Services Corp. Ltd., Class H | 1,056,000 | 612,778 | ||||||
China Conch Venture Holdings Ltd. | 26,000 | 115,502 | ||||||
China Energy Engineering Corp. Ltd., Class H(a) | 2,532,000 | 238,349 | ||||||
China National Chemical Engineering Co. Ltd., Class A | 14,100 | 11,132 | ||||||
China Railway Construction Corp. Ltd., Class A | 23,500 | 29,216 | ||||||
China Railway Construction Corp. Ltd., Class H | 73,500 | 49,664 | ||||||
China Railway Group Ltd., Class A | 47,000 | 37,669 |
See Accompanying Notes to the Financial Statements.
222 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Construction & Engineering – (continued) | ||||||||
China Railway Group Ltd., Class H | 141,000 | $ | 64,729 | |||||
China State Construction Engineering Corp. Ltd., Class A | 126,900 | 96,782 | ||||||
China State Construction International Holdings Ltd. | 80,000 | 55,294 | ||||||
CTCI Corp. | 11,000 | 14,979 | ||||||
Daelim Industrial Co. Ltd. | 896 | 61,592 | ||||||
Daewoo Engineering & Construction Co. Ltd.* | 10,058 | 26,592 | ||||||
Gamuda Bhd. | 47,221 | 37,845 | ||||||
GEK Terna Holding Real Estate Construction SA* | 1,216 | 8,201 | ||||||
GS Engineering & Construction Corp. | 1,786 | 42,025 | ||||||
HDC Hyundai Development Co-Engineering & Construction, Class E | 1,236 | 21,568 | ||||||
Hyundai Engineering & Construction Co. Ltd. | 2,658 | 71,797 | ||||||
IJM Corp. Bhd. | 78,400 | 25,284 | ||||||
IS Dongseo Co. Ltd. | 6,640 | 223,538 | ||||||
KEPCO Engineering & Construction Co., Inc. | 602 | 8,250 | ||||||
Larsen & Toubro Ltd. | 10,640 | 133,447 | ||||||
Larsen & Toubro Ltd., GDR(b) | 296 | 3,611 | ||||||
Malaysian Resources Corp. Bhd. | 83,200 | 7,509 | ||||||
Metallurgical Corp. of China Ltd., Class A | 65,800 | 25,435 | ||||||
Metallurgical Corp. of China Ltd., Class H | 118,000 | 19,020 | ||||||
Power Construction Corp. of China Ltd., Class A | 37,600 | 21,549 | ||||||
Samsung Engineering Co. Ltd.* | 5,394 | 55,856 | ||||||
Shanghai Construction Group Co. Ltd., Class A | 23,500 | 10,662 | ||||||
Shanghai Tunnel Engineering Co. Ltd., Class A | 14,100 | 11,743 | ||||||
Sino-Thai Engineering & Construction PCL, NVDR | 11,571 | 3,750 | ||||||
Suzhou Gold Mantis Construction Decoration Co. Ltd., Class A | 9,400 | 13,833 | ||||||
Taeyoung Engineering & Construction Co. Ltd. | 1,328 | 11,668 | ||||||
Tekfen Holding A/S | 81,263 | 128,637 |
Investments | Shares | Value | ||||||
Construction & Engineering – (continued) | ||||||||
United Integrated Services Co. Ltd. | 6,000 | $ | 41,638 | |||||
Voltas Ltd. | 2,990 | 28,467 | ||||||
Waskita Karya Persero Tbk. PT | 1,734,500 | 87,763 | ||||||
Wijaya Karya Persero Tbk. PT | 1,264,600 | 104,194 | ||||||
2,707,506 | ||||||||
Construction Materials – 1.5% | ||||||||
ACC Ltd. | 1,404 | 31,241 | ||||||
Ambuja Cements Ltd. | 11,177 | 39,168 | ||||||
Anhui Conch Cement Co. Ltd., Class A | 9,400 | 71,326 | ||||||
Anhui Conch Cement Co. Ltd., Class H | 39,000 | 243,157 | ||||||
Asia Cement China Holdings Corp. | 189,000 | 172,796 | ||||||
Asia Cement Corp. | 80,000 | 115,091 | ||||||
BBMG Corp., Class A | 42,300 | 19,003 | ||||||
BBMG Corp., Class H | 141,000 | 26,546 | ||||||
Beijing Oriental Yuhong Waterproof Technology Co. Ltd., Class A | 3,000 | 16,598 | ||||||
Cahya Mata Sarawak Bhd. | 298,300 | 77,536 | ||||||
Cementos Argos SA | 5,520 | 6,523 | ||||||
Cementos Argos SA (Preference) | 10,296 | 9,910 | ||||||
Cemex SAB de CV | 514,000 | 211,615 | ||||||
Chia Hsin Cement Corp. | 235,000 | 128,166 | ||||||
China Jushi Co. Ltd., Class A | 4,500 | 9,369 | ||||||
China National Building Material Co. Ltd., Class H | 130,050 | 149,087 | ||||||
China Resources Cement Holdings Ltd. | 68,000 | 88,739 | ||||||
China Shanshui Cement Group Ltd.* | 603,000 | 146,185 | ||||||
Dalmia Bharat Ltd. | 1,648 | 18,743 | ||||||
Gansu Shangfeng Cement Co. Ltd., Class A | 4,700 | 15,390 | ||||||
Grasim Industries Ltd. | 7,614 | 79,970 | ||||||
Grupo Argos SA | 7,752 | 21,358 | ||||||
Grupo Argos SA (Preference) | 5,396 | 12,039 | ||||||
Grupo Cementos de Chihuahua SAB de CV | 72,800 | 365,446 | ||||||
Guangdong Tapai Group Co. Ltd., Class A | 9,400 | 18,421 | ||||||
Huaxin Cement Co. Ltd., Class A | 3,700 | 13,353 | ||||||
Huaxin Cement Co. Ltd., Class B | 10,400 | 21,632 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 223 |
Table of Contents
FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Construction Materials – (continued) | ||||||||
Indocement Tunggal Prakarsa Tbk. PT | 32,900 | $ | 27,501 | |||||
Lucky Cement Ltd.* | 5,787 | 24,310 | ||||||
POSCO Chemical Co. Ltd. | 308 | 20,005 | ||||||
Ramco Cements Ltd. (The) | 2,289 | 24,616 | ||||||
Saudi Cement Co. | 2,022 | 29,222 | ||||||
Semen Indonesia Persero Tbk. PT | 56,400 | 36,925 | ||||||
Shree Cement Ltd. | 188 | 55,036 | ||||||
Siam Cement PCL (The), NVDR | 9,400 | 101,940 | ||||||
Southern Province Cement Co. | 1,634 | 29,235 | ||||||
Ssangyong Cement Industrial Co. Ltd. | 290 | 1,418 | ||||||
Taiwan Cement Corp. | 170,452 | 241,643 | ||||||
Tangshan Jidong Cement Co. Ltd., Class A | 4,700 | 10,515 | ||||||
TPI Polene PCL, NVDR | 1,977,200 | 87,544 | ||||||
UltraTech Cement Ltd. | 2,023 | 124,863 | ||||||
Union Andina de Cementos SAA | 407,120 | 146,432 | ||||||
West China Cement Ltd. | 1,222,000 | 181,216 | ||||||
Yanbu Cement Co. | 2,888 | 25,412 | ||||||
3,296,241 | ||||||||
Consumer Finance – 0.8% | ||||||||
360 DigiTech, Inc., ADR*(a) | 29,529 | 340,174 | ||||||
AEON Credit Service M Bhd. | 37,300 | 81,871 | ||||||
Aju Capital Co. Ltd. | 6,470 | 67,568 | ||||||
Bajaj Finance Ltd. | 4,042 | 180,481 | ||||||
Cholamandalam Investment and Finance Co. Ltd. | 4,975 | 18,344 | ||||||
Krungthai Card PCL, NVDR | 4,300 | 5,450 | ||||||
LexinFintech Holdings Ltd., ADR*(a) | 46,508 | 383,226 | ||||||
Mahindra & Mahindra Financial Services Ltd.* | 258,078 | 425,907 | ||||||
Manappuram Finance Ltd. | 6,929 | 14,530 | ||||||
Muangthai Capital PCL, NVDR* | 20,600 | 36,187 | ||||||
Muthoot Finance Ltd. | 2,622 | 43,547 | ||||||
Samsung Card Co. Ltd. | 1,140 | 29,537 | ||||||
SBI Cards & Payment Services Ltd. | 2,239 | 24,163 | ||||||
Shriram Transport Finance Co. Ltd. | 5,358 | 50,137 | ||||||
Srisawad Corp. PCL, NVDR | 15,203 | 24,145 | ||||||
Sundaram Finance Ltd. | 1,310 | 25,590 | ||||||
Transaction Capital Ltd. | 17,028 | 20,708 | ||||||
Yixin Group Ltd.*(b) | 75,000 | 18,666 |
Investments | Shares | Value | ||||||
Consumer Finance – (continued) | ||||||||
Yulon Finance Corp. | 1,210 | $ | 4,086 | |||||
1,794,317 | ||||||||
Containers & Packaging – 0.4% | ||||||||
Cheng Loong Corp. | 437,000 | 518,683 | ||||||
Klabin SA | 14,100 | 58,053 | ||||||
Taiwan Hon Chuan Enterprise Co. Ltd. | 113,000 | 230,713 | ||||||
807,449 | ||||||||
Distributors – 0.1% | ||||||||
Inter Cars SA* | 4,124 | 210,169 | ||||||
Liaoning Cheng Da Co. Ltd., Class A | 2,000 | 6,731 | ||||||
Wuchan Zhongda Group Co. Ltd., Class A | 13,800 | 9,104 | ||||||
Zhejiang Orient Financial Holdings Group Co. Ltd., Class A | 14,100 | 14,605 | ||||||
240,609 | ||||||||
Diversified Consumer Services – 0.5% | ||||||||
Cairo Investment & Real Estate Development Co. SAE | 14,617 | 13,919 | ||||||
China Education Group Holdings Ltd.(b) | 13,000 | 21,592 | ||||||
China Maple Leaf Educational Systems Ltd. | 56,000 | 15,165 | ||||||
China Yuhua Education Corp. Ltd.(b) | 28,000 | 22,133 | ||||||
Cogna Educacao | 31,200 | 23,213 | ||||||
Fu Shou Yuan International Group Ltd. | 21,000 | 21,610 | ||||||
GSX Techedu, Inc., ADR*(a) | 1,596 | 106,006 | ||||||
Koolearn Technology Holding Ltd.*(a)(b) | 5,000 | 16,151 | ||||||
Lung Yen Life Service Corp. | 2,000 | 3,685 | ||||||
MegaStudyEdu Co. Ltd. | 3,384 | 103,336 | ||||||
New Oriental Education & Technology Group, Inc., ADR* | 2,193 | 351,713 | ||||||
Offcn Education Technology Co. Ltd., Class A | 4,700 | 27,722 | ||||||
TAL Education Group, ADR* | 6,353 | 422,221 | ||||||
Tianli Education International Holdings Ltd.*(b) | 20,000 | 15,835 |
See Accompanying Notes to the Financial Statements.
224 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Diversified Consumer Services – (continued) | ||||||||
Wisdom Education International Holdings Co. Ltd.(b) | 40,000 | $ | 12,998 | |||||
YDUQS Participacoes SA | 5,200 | 20,670 | ||||||
Youdao, Inc., ADR*(a) | 376 | 9,472 | ||||||
1,207,441 | ||||||||
Diversified Financial Services – 0.9% | ||||||||
Aditya Birla Capital Ltd.* | 205,390 | 179,456 | ||||||
Avic Capital Co. Ltd., Class A | 23,500 | 15,327 | ||||||
Bajaj Holdings & Investment Ltd. | 750 | 23,345 | ||||||
Chailease Holding Co. Ltd. | 21,460 | 103,911 | ||||||
Corp. Financiera Colombiana SA* | 41,191 | 277,837 | ||||||
CSSC Hong Kong Shipping Co. Ltd.(b) | 420,000 | 61,200 | ||||||
Far East Horizon Ltd.(a) | 71,000 | 69,674 | ||||||
FirstRand Ltd. | 181,851 | 420,808 | ||||||
Grupo de Inversiones Suramericana SA | 9,776 | 50,977 | ||||||
Grupo de Inversiones Suramericana SA (Preference) | 4,992 | 21,640 | ||||||
Haci Omer Sabanci Holding A/S | 48,316 | 47,434 | ||||||
Haitong UniTrust International Leasing Co. Ltd., Class H(b) | 470,000 | 71,517 | ||||||
Inversiones La Construccion SA | 14,215 | 76,214 | ||||||
L&T Finance Holdings Ltd. | 23,796 | 20,679 | ||||||
Meritz Financial Group, Inc. | 947 | 7,862 | ||||||
Metro Pacific Investments Corp. | 381,000 | 31,566 | ||||||
NICE Holdings Co. Ltd. | 728 | 11,548 | ||||||
Power Finance Corp. Ltd. | 34,352 | 40,375 | ||||||
REC Ltd. | 33,417 | 46,378 | ||||||
Remgro Ltd. | 19,975 | 106,177 | ||||||
RMB Holdings Ltd.* | 39,805 | 2,621 | ||||||
Turkiye Sinai Kalkinma Bankasi A/S* | 595,490 | 181,140 | ||||||
Yuanta Financial Holding Co. Ltd. | 406,920 | 252,516 | ||||||
2,120,202 | ||||||||
Diversified Telecommunication Services – 1.4% | ||||||||
Asia Pacific Telecom Co. Ltd.* | 68,164 | 22,401 | ||||||
Bharti Infratel Ltd. | 16,168 | 40,481 | ||||||
China Telecom Corp. Ltd., Class H | 470,000 | 147,882 | ||||||
China Tower Corp. Ltd., Class H(b) | 752,000 | 117,336 |
Investments | Shares | Value | ||||||
Diversified Telecommunication Services – (continued) | ||||||||
China Unicom Hong Kong Ltd. | 188,000 | $ | 115,396 | |||||
Chunghwa Telecom Co. Ltd. | 56,000 | 209,485 | ||||||
CITIC Telecom International Holdings Ltd. | 690,000 | 218,882 | ||||||
Emirates Telecommunications Group Co. PJSC | 30,832 | 141,689 | ||||||
Hellenic Telecommunications Organization SA | 3,602 | 47,916 | ||||||
Jasmine International PCL, NVDR | 76,400 | 6,324 | ||||||
LG Uplus Corp. | 7,161 | 69,736 | ||||||
Link Net Tbk. PT | 289,700 | 41,598 | ||||||
Magyar Telekom Telecommunications plc | 191,465 | 210,931 | ||||||
O2 Czech Republic A/S* | 2,797 | 26,213 | ||||||
Oi SA* | 2,491,000 | 669,624 | ||||||
Ooredoo QPSC | 32,524 | 59,224 | ||||||
Orange Polska SA* | 14,014 | 21,496 | ||||||
Rostelecom PJSC | 45,672 | 53,298 | ||||||
Rostelecom PJSC (Preference) | 15,392 | 15,879 | ||||||
Sarana Menara Nusantara Tbk. PT | 315,700 | 21,370 | ||||||
Saudi Telecom Co. | 9,489 | 252,261 | ||||||
Tata Communications Ltd. | 1,646 | 20,730 | ||||||
Telefonica Brasil SA (Preference) | 14,289 | 105,420 | ||||||
Telekom Malaysia Bhd. | 41,600 | 41,950 | ||||||
Telekomunikasi Indonesia Persero Tbk. PT | 822,500 | 147,347 | ||||||
Telesites SAB de CV* | 22,200 | 20,429 | ||||||
Telkom SA SOC Ltd.(a) | 137,346 | 216,558 | ||||||
TIME dotCom Bhd. | 3,000 | 9,300 | ||||||
Tower Bersama Infrastructure Tbk. PT | 121,300 | 12,441 | ||||||
True Corp. PCL, NVDR | 305,900 | 26,696 | ||||||
Turk Telekomunikasyon A/S | 19,746 | 15,146 | ||||||
3,125,439 | ||||||||
Electric Utilities – 1.5% | ||||||||
Adani Transmission Ltd.* | 6,748 | 26,420 | ||||||
Alupar Investimento SA | 3,500 | 13,846 | ||||||
Celsia SA ESP | 11,648 | 12,710 | ||||||
Centrais Eletricas Brasileiras SA | 12,700 | 68,412 | ||||||
Centrais Eletricas Brasileiras SA (Preference), Class B | 9,400 | 50,521 | ||||||
CESC Ltd. | 29,097 | 221,052 | ||||||
CEZ A/S | 5,593 | 105,551 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 225 |
Table of Contents
FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Electric Utilities – (continued) | ||||||||
Cia de Transmissao de Energia Eletrica Paulista (Preference) | 5,200 | $ | 21,202 | |||||
Cia Energetica de Minas Gerais* | 6,455 | 13,009 | ||||||
Cia Energetica de Minas Gerais (Preference)* | 31,194 | 55,452 | ||||||
Cia Paranaense de Energia (Preference)* | 3,000 | 32,133 | ||||||
CPFL Energia SA | 4,700 | 22,717 | ||||||
EDP – Energias do Brasil SA | 9,400 | 27,714 | ||||||
Enea SA* | 84,285 | 96,114 | ||||||
Enel Americas SA | 955,833 | 126,699 | ||||||
Enel Chile SA | 647,898 | 43,434 | ||||||
Energa SA* | 37,088 | 77,709 | ||||||
Energisa SA | 4,700 | 34,211 | ||||||
Enerjisa Enerji A/S(b) | 7,676 | 8,232 | ||||||
Engie Energia Chile SA | 14,045 | 14,770 | ||||||
Equatorial Energia SA | 14,100 | 48,736 | ||||||
Federal Grid Co. Unified Energy System PJSC | 12,705,298 | 30,354 | ||||||
Holding Co. ADMIE IPTO SA | 50,911 | 125,724 | ||||||
Inter RAO UES PJSC | 1,364,292 | 87,260 | ||||||
Interconexion Electrica SA ESP | 7,661 | 41,459 | ||||||
Korea Electric Power Corp.* | 4,465 | 78,502 | ||||||
Light SA* | 104,800 | 350,606 | ||||||
Manila Electric Co. | 6,110 | 37,872 | ||||||
Mosenergo PJSC | 3,807,000 | 95,597 | ||||||
Neoenergia SA* | 4,700 | 14,175 | ||||||
PGE Polska Grupa Energetyczna SA* | 34,874 | 39,681 | ||||||
Power Grid Corp. of India Ltd. | 87,036 | 200,832 | ||||||
ROSSETI PJSC | 1,466,436 | 26,824 | ||||||
RusHydro PJSC | 4,496,324 | 40,841 | ||||||
Saudi Electricity Co. | 14,899 | 75,164 | ||||||
SJVN Ltd. | 217,657 | 64,321 | ||||||
Tata Power Co. Ltd. (The) | 751,019 | 528,498 | ||||||
Tauron Polska Energia SA* | 489,787 | 214,391 | ||||||
Tenaga Nasional Bhd. | 44,200 | 101,484 | ||||||
Torrent Power Ltd. | 2,350 | 9,900 | ||||||
Transmissora Alianca de Energia Eletrica SA | 7,600 | 37,104 | ||||||
3,321,233 |
Investments | Shares | Value | ||||||
Electrical Equipment – 0.5% | ||||||||
ABB India Ltd. | 427 | $ | 5,149 | |||||
AcBel Polytech, Inc. | 184,000 | 167,896 | ||||||
Amara Raja Batteries Ltd. | 1,222 | 12,632 | ||||||
Bharat Heavy Electricals Ltd.* | 558,609 | 211,059 | ||||||
Bizlink Holding, Inc. | 1,103 | 8,464 | ||||||
China High Speed Transmission Equipment Group Co. Ltd. | 20,000 | 14,829 | ||||||
Dongfang Electric Corp. Ltd., Class A | 9,400 | 14,871 | ||||||
Doosan Fuel Cell Co. Ltd.* | 611 | 22,347 | ||||||
Doosan Heavy Industries & Construction Co. Ltd.* | 4,283 | 51,900 | ||||||
Ecopro BM Co. Ltd. | 198 | 21,707 | ||||||
ElSewedy Electric Co. | 36,609 | 17,279 | ||||||
Fangda Carbon New Material Co. Ltd., Class A* | 14,100 | 13,195 | ||||||
Gunkul Engineering PCL, NVDR | 144,480 | 9,457 | ||||||
Havells India Ltd. | 3,948 | 38,778 | ||||||
Kung Long Batteries Industrial Co. Ltd. | 1,000 | 4,790 | ||||||
LS Corp. | 1,128 | 51,494 | ||||||
LS Electric Co. Ltd. | 456 | 19,933 | ||||||
NARI Technology Co. Ltd., Class A | 4,700 | 14,563 | ||||||
Shanghai Electric Group Co. Ltd., Class H* | 94,000 | 26,667 | ||||||
Taihan Electric Wire Co. Ltd.* | 7,800 | 5,987 | ||||||
Teco Electric and Machinery Co. Ltd. | 22,000 | 22,997 | ||||||
V-Guard Industries Ltd. | 1,032 | 2,364 | ||||||
Voltronic Power Technology Corp. | 1,458 | 49,953 | ||||||
Walsin Lihwa Corp. | 94,000 | 58,332 | ||||||
WEG SA | 11,700 | 153,869 | ||||||
Xinjiang Goldwind Science & Technology Co. Ltd., Class H(a) | 37,600 | 49,456 | ||||||
Zhuzhou CRRC Times Electric Co. Ltd., Class H | 13,300 | 40,818 | ||||||
1,110,786 | ||||||||
Electronic Equipment, Instruments & Components – 3.1% | ||||||||
AAC Technologies Holdings, Inc.(a) | 14,000 | 73,747 | ||||||
Asia Optical Co., Inc. | 8,000 | 17,788 | ||||||
AU Optronics Corp.* | 304,000 | 122,754 | ||||||
Aurora Corp. | 4,900 | 14,407 |
See Accompanying Notes to the Financial Statements.
226 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Electronic Equipment, Instruments & Components – (continued) | ||||||||
Avary Holding Shenzhen Co. Ltd., Class A | 2,500 | $ | 18,264 | |||||
BH Co. Ltd.* | 10,152 | 181,621 | ||||||
BOE Technology Group Co. Ltd., Class A | 61,100 | 43,134 | ||||||
Camsing International Holding Ltd.*‡(c) | 22,000 | 1,645 | ||||||
Career Technology MFG. Co. Ltd. | 11,556 | 11,656 | ||||||
Chang Wah Electromaterials, Inc. | 110,000 | 84,797 | ||||||
Cheng Uei Precision Industry Co. Ltd. | 156,000 | 220,337 | ||||||
Chilisin Electronics Corp. | 3,490 | 12,872 | ||||||
China Railway Signal & Communication Corp. Ltd., Class H(a)(b) | 712,000 | 234,124 | ||||||
Chroma ATE, Inc. | 8,000 | 38,037 | ||||||
Compeq Manufacturing Co. Ltd. | 20,000 | 30,451 | ||||||
Concraft Holding Co. Ltd. | 4,038 | 12,225 | ||||||
Coretronic Corp. | 171,000 | 204,458 | ||||||
Daea TI Co. Ltd. | 1,964 | 9,935 | ||||||
Daeduck Co. Ltd. | 226 | 1,221 | ||||||
Delta Electronics Thailand PCL, NVDR | 7,000 | 40,202 | ||||||
Delta Electronics, Inc. | 31,000 | 205,919 | ||||||
E Ink Holdings, Inc. | 15,000 | 20,059 | ||||||
Elite Material Co. Ltd. | 5,000 | 26,221 | ||||||
Feelux Co. Ltd.* | 1,427 | 3,741 | ||||||
FLEXium Interconnect, Inc. | 5,000 | 20,365 | ||||||
Foxconn Technology Co. Ltd. | 32,000 | 56,049 | ||||||
General Interface Solution Holding Ltd. | 5,000 | 19,840 | ||||||
Genius Electronic Optical Co. Ltd. | 2,237 | 43,874 | ||||||
GoerTek, Inc., Class A | 4,700 | 31,819 | ||||||
Guangzhou Shiyuan Electronic Technology Co. Ltd., Class A | 1,400 | 21,470 | ||||||
Hana Microelectronics PCL, NVDR | 7,100 | 10,251 | ||||||
Hangzhou Hikvision Digital Technology Co. Ltd., Class A | 14,100 | 94,488 | ||||||
Hannstar Board Corp. | 136,928 | 187,415 | ||||||
HannStar Display Corp.* | 39,000 | 12,476 | ||||||
Hollysys Automation Technologies Ltd. | 25,737 | 287,997 |
Investments | Shares | Value | ||||||
Electronic Equipment, Instruments & Components – (continued) | ||||||||
Hon Hai Precision Industry Co. Ltd. | 426,000 | $ | 1,154,229 | |||||
Honeywell Automation India Ltd. | 32 | 12,286 | ||||||
Huagong Tech Co. Ltd., Class A | 4,700 | 16,330 | ||||||
Inari Amertron Bhd. | 37,200 | 22,741 | ||||||
Innolux Corp.* | 376,000 | 130,269 | ||||||
ITEQ Corp. | 2,554 | 10,715 | ||||||
KCE Electronics PCL, NVDR | 4,800 | 6,006 | ||||||
Kingboard Holdings Ltd. | 24,000 | 81,085 | ||||||
Kingboard Laminates Holdings Ltd. | 36,000 | 57,285 | ||||||
L&F Co. Ltd. | 655 | 22,599 | ||||||
Largan Precision Co. Ltd. | 1,000 | 105,756 | ||||||
LG Display Co. Ltd.* | 7,238 | 89,622 | ||||||
LG Innotek Co. Ltd. | 482 | 64,567 | ||||||
Lingyi iTech Guangdong Co., Class A | 9,400 | 18,280 | ||||||
Lotes Co. Ltd. | 1,256 | 19,167 | ||||||
Luxshare Precision Industry Co. Ltd., Class A | 9,400 | 76,966 | ||||||
Mcnex Co. Ltd. | 5,999 | 173,673 | ||||||
Merry Electronics Co. Ltd. | 4,161 | 20,512 | ||||||
OFILM Group Co. Ltd., Class A | 4,700 | 10,838 | ||||||
Pan-International Industrial Corp. | 184,000 | 110,322 | ||||||
Partron Co. Ltd. | 19,901 | 169,423 | ||||||
Samsung Electro-Mechanics Co. Ltd. | 893 | 105,063 | ||||||
Samsung SDI Co. Ltd. | 893 | 347,851 | ||||||
Shengyi Technology Co. Ltd., Class A | 4,700 | 16,772 | ||||||
Shennan Circuits Co. Ltd., Class A | 1,200 | 19,307 | ||||||
Shenzhen Fastprint Circuit Tech Co. Ltd., Class A | 9,400 | 14,857 | ||||||
Simplo Technology Co. Ltd. | 3,200 | 35,632 | ||||||
Sinbon Electronics Co. Ltd. | 3,253 | �� | 21,893 | |||||
Sunny Optical Technology Group Co. Ltd. | 11,500 | 190,113 | ||||||
Supreme Electronics Co. Ltd. | 158,000 | 167,371 | ||||||
Synnex Technology International Corp. | 53,000 | 78,657 | ||||||
Taiwan Union Technology Corp. | 7,000 | 23,249 | ||||||
Telcon RF Pharmaceutical, Inc.* | 2,328 | 12,330 | ||||||
Tianma Microelectronics Co. Ltd., Class A | 9,400 | 20,006 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 227 |
Table of Contents
FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Electronic Equipment, Instruments & Components – (continued) | ||||||||
Tong Hsing Electronic Industries Ltd. | 4,000 | $ | 17,620 | |||||
Tripod Technology Corp. | 14,000 | 55,553 | ||||||
Tunghsu Optoelectronic Technology Co. Ltd., Class A* | 28,200 | 11,490 | ||||||
Unimicron Technology Corp. | 24,000 | 57,224 | ||||||
Unisplendour Corp. Ltd., Class A | 6,580 | 21,605 | ||||||
Unitech Printed Circuit Board Corp. | 255,000 | 187,661 | ||||||
Universal Scientific Industrial Shanghai Co. Ltd., Class A | 4,700 | 15,327 | ||||||
VS Industry Bhd. | 22,800 | 12,840 | ||||||
Wah Lee Industrial Corp. | 68,000 | 151,436 | ||||||
Walsin Technology Corp. | 6,378 | 36,457 | ||||||
Wingtech Technology Co. Ltd., Class A | 1,500 | 22,522 | ||||||
Wintek Corp.*‡(c) | 64,000 | — | ||||||
WPG Holdings Ltd. | 47,440 | 64,351 | ||||||
WT Microelectronics Co. Ltd. | 168,182 | 216,082 | ||||||
Wuhan Guide Infrared Co. Ltd., Class A | 4,700 | 23,752 | ||||||
WUS Printed Circuit Kunshan Co. Ltd., Class A | 4,700 | 12,921 | ||||||
Yageo Corp. | 6,575 | 81,718 | ||||||
Zhejiang Crystal-Optech Co. Ltd., Class A | 4,700 | 8,937 | ||||||
Zhejiang Dahua Technology Co. Ltd., Class A | 2,900 | 9,786 | ||||||
Zhen Ding Technology Holding Ltd. | 23,150 | 97,930 | ||||||
6,946,643 | ||||||||
Energy Equipment & Services – 0.1% | ||||||||
China Oilfield Services Ltd., Class A | 9,400 | 15,236 | ||||||
China Oilfield Services Ltd., Class H | 24,000 | 14,422 | ||||||
Dialog Group Bhd. | 51,700 | 46,038 | ||||||
Serba Dinamik Holdings Bhd. | 54,180 | 19,951 | ||||||
TMK PJSC* | 60,310 | 42,535 | ||||||
138,182 |
Investments | Shares | Value | ||||||
Entertainment – 0.7% | ||||||||
Alibaba Pictures Group Ltd.* | 190,000 | $ | 24,746 | |||||
Bilibili, Inc., ADR*(a) | 2,491 | 111,273 | ||||||
CD Projekt SA* | 1,206 | 102,049 | ||||||
CJ CGV Co. Ltd.* | 1,023 | 18,121 | ||||||
CMGE Technology Group Ltd.*(a) | 376,000 | 142,548 | ||||||
Com2uSCorp | 133 | 13,081 | ||||||
DouYu International Holdings Ltd., ADR* | 1,081 | 16,539 | ||||||
HUYA, Inc., ADR*(a) | 611 | 13,686 | ||||||
International Games System Co. Ltd. | 1,000 | 26,290 | ||||||
iQIYI, Inc., ADR*(a) | 4,936 | 121,919 | ||||||
Jcontentree Corp.* | 239 | 5,171 | ||||||
JYP Entertainment Corp. | 423 | 11,389 | ||||||
NCSoft Corp. | 253 | 173,022 | ||||||
NetDragon Websoft Holdings Ltd. | 2,000 | 4,266 | ||||||
NetEase, Inc., ADR | 6,345 | 550,683 | ||||||
Netmarble Corp.*(b) | 410 | 42,275 | ||||||
NHN Corp.* | 315 | 19,266 | ||||||
Pearl Abyss Corp.* | 108 | 19,083 | ||||||
Perfect World Co. Ltd., Class A | 4,100 | 17,177 | ||||||
SM Entertainment Co. Ltd.* | 198 | 5,025 | ||||||
SMI Holdings Group Ltd.*‡(c) | 72,000 | — | ||||||
Soft-World International Corp. | 5,000 | 14,194 | ||||||
Tencent Music Entertainment Group, ADR* | 6,612 | 98,387 | ||||||
Webzen, Inc.* | 474 | 13,284 | ||||||
Wemade Co. Ltd. | 299 | 10,422 | ||||||
Wuhu Sanqi Interactive Entertainment Network Technology Group Co. Ltd., Class A | 4,700 | 20,764 | ||||||
XPEC Entertainment, Inc.*‡(c) | 14,800 | — | ||||||
Zhejiang Century Huatong Group Co. Ltd., Class A* | 11,280 | 14,361 | ||||||
1,609,021 | ||||||||
Equity Real Estate Investment Trusts (REITs) – 1.0% | ||||||||
Concentradora Fibra Danhos SA de CV(a) | 361,800 | 326,474 | ||||||
CPN Retail Growth Leasehold REIT | 44,100 | 25,752 | ||||||
Embassy Office Parks REIT | 4,600 | 21,372 | ||||||
Emlak Konut Gayrimenkul Yatirim Ortakligi A/S | 899,580 | 184,573 |
See Accompanying Notes to the Financial Statements.
228 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Equity Real Estate Investment Trusts (REITs) – (continued) | ||||||||
Equites Property Fund Ltd. | 11,527 | $ | 11,045 | |||||
Fibra Uno Administracion SA de CV(a) | 96,900 | 73,185 | ||||||
Fortress REIT Ltd., Class A | 531,519 | 410,528 | ||||||
Fortress REIT Ltd., Class B | 323,227 | 34,414 | ||||||
Growthpoint Properties Ltd. | 97,707 | 63,800 | ||||||
IGB REIT | 6,200 | 2,492 | ||||||
KLCCP Stapled Group | 6,900 | 12,621 | ||||||
Pavilion REIT | 15,000 | 5,018 | ||||||
PLA Administradora Industrial S de RL de CV | 354,100 | 484,615 | ||||||
Prologis Property Mexico SA de CV | 10,400 | 20,773 | ||||||
Redefine Properties Ltd. | 2,360,179 | 289,053 | ||||||
Resilient REIT Ltd. | 130,296 | 246,499 | ||||||
Sunway REIT | 39,400 | 13,560 | ||||||
YTL Hospitality REIT | 43,000 | 7,296 | ||||||
Yuexiu REIT | 13,000 | 5,985 | ||||||
2,239,055 | ||||||||
Food & Staples Retailing – 0.8% | ||||||||
Abdullah Al Othaim Markets Co. | 944 | 32,974 | ||||||
Al Meera Consumer Goods Co. QSC | 1,990 | 10,931 | ||||||
Atacadao SA* | 7,700 | 24,638 | ||||||
Avenue Supermarts Ltd.*(b) | 2,021 | 61,085 | ||||||
Berli Jucker PCL | 500 | 461 | ||||||
Berli Jucker PCL, NVDR | 27,700 | 25,552 | ||||||
BGF retail Co. Ltd. | 239 | 24,854 | ||||||
Bid Corp. Ltd. | 5,264 | 72,147 | ||||||
BIM Birlesik Magazalar A/S | 6,517 | 51,931 | ||||||
Cencosud SA | 17,813 | 24,739 | ||||||
Clicks Group Ltd. | 3,995 | 58,012 | ||||||
Cosco Capital, Inc. | 1,432,000 | 151,188 | ||||||
CP ALL PCL, NVDR* | 75,200 | 129,686 | ||||||
Dino Polska SA*(b) | 801 | 43,933 | ||||||
Dis-Chem Pharmacies Ltd.(b) | 17,784 | 19,701 | ||||||
Dongsuh Cos., Inc. | 859 | 21,916 | ||||||
E-MART, Inc. | 752 | 94,108 | ||||||
Eurocash SA* | 592 | 1,736 | ||||||
Grupo Comercial Chedraui SA de CV | 10,400 | 13,109 | ||||||
GS Retail Co. Ltd. | 575 | 16,266 | ||||||
Hyundai Greenfood Co. Ltd. | 23,253 | 148,982 |
Investments | Shares | Value | ||||||
Food & Staples Retailing – (continued) | ||||||||
InRetail Peru Corp.(b) | 848 | $ | 28,578 | |||||
Magnit PJSC | 1,216 | 72,207 | ||||||
Migros Ticaret A/S* | 152 | 679 | ||||||
Organizacion Soriana SAB de CV, Class B*(a) | 116,300 | 88,492 | ||||||
Philippine Seven Corp. | 5,321 | 12,203 | ||||||
Pick n Pay Stores Ltd. | 9,204 | 29,025 | ||||||
President Chain Store Corp. | 8,000 | 72,159 | ||||||
Puregold Price Club, Inc. | 26,060 | 22,210 | ||||||
Raia Drogasil SA | 18,500 | 77,196 | ||||||
Shoprite Holdings Ltd. | 8,554 | 67,863 | ||||||
Sok Marketler Ticaret A/S* | 7,298 | 9,872 | ||||||
SPAR Group Ltd. (The) | 3,102 | 32,960 | ||||||
Sun Art Retail Group Ltd. | 47,000 | 50,789 | ||||||
Taiwan TEA Corp.* | 8,000 | 4,601 | ||||||
Wal-Mart de Mexico SAB de CV | 75,200 | 181,130 | ||||||
1,777,913 | ||||||||
Food Products – 1.9% | ||||||||
Alicorp SAA | 7,591 | 14,702 | ||||||
Almarai Co. JSC | 5,123 | 70,487 | ||||||
Astra Agro Lestari Tbk. PT | 20,800 | 15,467 | ||||||
Avanti Feeds Ltd. | 507 | 3,296 | ||||||
AVI Ltd. | 6,909 | 31,274 | ||||||
Binggrae Co. Ltd. | 321 | 15,757 | ||||||
Bombay Burmah Trading Co. | 7,972 | 130,288 | ||||||
BRF SA* | 14,700 | 42,779 | ||||||
Britannia Industries Ltd. | 1,871 | 87,689 | ||||||
Century Pacific Food, Inc. | 17,700 | 5,676 | ||||||
Charoen Pokphand Foods PCL, NVDR | 61,100 | 49,499 | ||||||
Charoen Pokphand Indonesia Tbk. PT | 145,900 | 58,360 | ||||||
China Feihe Ltd.(b) | 47,000 | 106,548 | ||||||
China Foods Ltd. | 46,789 | 15,989 | ||||||
China Huiyuan Juice Group Ltd.*‡(c) | 24,000 | — | ||||||
China Mengniu Dairy Co. Ltd.* | 42,000 | 197,412 | ||||||
CJ CheilJedang Corp. | 301 | 95,762 | ||||||
CJ CheilJedang Corp. (Preference) | 104 | 14,390 | ||||||
CP Pokphand Co. Ltd. | 204,000 | 17,362 | ||||||
Daesang Corp. | 8,790 | 186,304 | ||||||
Dali Foods Group Co. Ltd.(b) | 45,500 | 28,163 | ||||||
Dongwon F&B Co. Ltd. | 79 | 11,244 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 229 |
Table of Contents
FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Food Products – (continued) | ||||||||
Dongwon Industries Co. Ltd. | 610 | $ | 108,324 | |||||
Edita Food Industries SAE | 17,343 | 9,975 | ||||||
FGV Holdings Bhd. | 38,800 | 9,898 | ||||||
Foshan Haitian Flavouring & Food Co. Ltd., Class A | 3,700 | 88,466 | ||||||
Genting Plantations Bhd. | 10,400 | 24,580 | ||||||
Great Wall Enterprise Co. Ltd. | 14,000 | 22,001 | ||||||
Gruma SAB de CV, Class B | 4,465 | 47,343 | ||||||
Grupo Bimbo SAB de CV, Series A | 28,200 | 54,326 | ||||||
Grupo Lala SAB de CV | 16,800 | 10,312 | ||||||
Grupo Nutresa SA | 3,592 | 19,886 | ||||||
Guangdong Haid Group Co. Ltd., Class A | 2,200 | 20,223 | ||||||
Harim Holdings Co. Ltd. | 15,495 | 88,625 | ||||||
Health & Happiness H&H International Holdings Ltd.(a) | 5,500 | 21,844 | ||||||
Henan Shuanghui Investment & Development Co. Ltd., Class A | 4,700 | 35,074 | ||||||
HUISHAN DAIRY*‡(c) | 158,000 | — | ||||||
Indofood CBP Sukses Makmur Tbk. PT | 51,800 | 34,179 | ||||||
Indofood Sukses Makmur Tbk. PT | 98,700 | 47,241 | ||||||
Industrias Bachoco SAB de CV, Series B | 3,000 | 9,365 | ||||||
Inner Mongolia Yili Industrial Group Co. Ltd., Class A | 8,200 | 48,623 | ||||||
International Holdings Co. PJSC* | 5,000 | 52,217 | ||||||
IOI Corp. Bhd. | 56,400 | 58,368 | ||||||
Japfa Comfeed Indonesia Tbk. PT | 2,300,100 | 168,281 | ||||||
JBS SA | 14,200 | 47,900 | ||||||
Jiangxi Zhengbang Technology Co. Ltd., Class A | 4,700 | 11,995 | ||||||
Juhayna Food Industries | 30,264 | 12,645 | ||||||
Kernel Holding SA | 22,956 | 222,975 | ||||||
Kuala Lumpur Kepong Bhd. | 9,631 | 49,186 | ||||||
Lien Hwa Industrial Holdings Corp. | 18,521 | 25,868 | ||||||
Lotte Confectionery Co. Ltd. | 658 | 56,887 | ||||||
Lotte Food Co. Ltd. | 178 | 48,002 | ||||||
Marfrig Global Foods SA* | 4,700 | 11,224 | ||||||
Mayora Indah Tbk. PT | 83,900 | 13,424 | ||||||
Minerva SA* | 106,900 | 184,841 | ||||||
Muyuan Foods Co. Ltd., Class A | 4,700 | 49,720 | ||||||
Namchow Holdings Co. Ltd. | 6,000 | 8,988 |
Investments | Shares | Value | ||||||
Food Products – (continued) | ||||||||
Naturecell Co. Ltd.* | 782 | $ | 6,285 | |||||
Nestle India Ltd. | 517 | 119,725 | ||||||
Nestle Malaysia Bhd. | 900 | 30,195 | ||||||
New Hope Liuhe Co. Ltd., Class A | 4,700 | 18,856 | ||||||
NongShim Co. Ltd. | 56 | 14,213 | ||||||
Oceana Group Ltd. | 2,143 | 7,834 | ||||||
Orion Corp. | 470 | 44,941 | ||||||
Orion Holdings Corp. | 10,964 | 119,815 | ||||||
Ottogi Corp. | 15 | 7,033 | ||||||
PPB Group Bhd. | 14,080 | 63,707 | ||||||
Qianhe Condiment and Food Co. Ltd., Class A | 900 | 5,127 | ||||||
QL Resources Bhd. | 25,395 | 38,505 | ||||||
Samyang Corp. | 1,692 | 71,799 | ||||||
Samyang Foods Co. Ltd. | 86 | 7,306 | ||||||
Samyang Holdings Corp. | 2,680 | 146,435 | ||||||
San Miguel Food and Beverage, Inc. | 15,960 | 21,022 | ||||||
Savola Group (The) | 5,311 | 64,860 | ||||||
Sawit Sumbermas Sarana Tbk. PT* | 135,700 | 7,562 | ||||||
Sime Darby Plantation Bhd. | 51,900 | 60,456 | ||||||
SPC Samlip Co. Ltd. | 191 | 10,672 | ||||||
Standard Foods Corp. | 7,652 | 16,345 | ||||||
Tata Consumer Products Ltd. | 9,983 | 66,392 | ||||||
Thai Union Group PCL, NVDR | 45,100 | 21,995 | ||||||
Thai Vegetable Oil PCL, NVDR | 15,570 | 16,985 | ||||||
Tiger Brands Ltd. | 1,924 | 23,858 | ||||||
Tingyi Cayman Islands Holding Corp. | 28,000 | 51,127 | ||||||
Tongwei Co. Ltd., Class A | 5,500 | 25,201 | ||||||
Ulker Biskuvi Sanayi A/S* | 4,225 | 10,191 | ||||||
Uni-President China Holdings Ltd. | 3,000 | 2,592 | ||||||
Uni-President Enterprises Corp. | 74,000 | 158,589 | ||||||
Universal Robina Corp. | 16,450 | 46,801 | ||||||
Want Want China Holdings Ltd. | 94,000 | 62,062 | ||||||
Yihai International Holding Ltd.* | 7,000 | 92,613 | ||||||
Zhou Hei Ya International Holdings Co. Ltd.*(a)(b) | 14,000 | 13,576 | ||||||
4,395,929 | ||||||||
Gas Utilities – 0.5% | ||||||||
Aygaz A/S | 41,454 | 52,219 | ||||||
Beijing Enterprises Holdings Ltd. | 18,500 | 55,585 | ||||||
China Gas Holdings Ltd. | 37,600 | 115,154 |
See Accompanying Notes to the Financial Statements.
230 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Gas Utilities – (continued) | ||||||||
China Resources Gas Group Ltd. | 12,000 | $ | 51,993 | |||||
China Tian Lun Gas Holdings Ltd.(a) | 141,000 | 118,366 | ||||||
ENN Energy Holdings Ltd. | 12,500 | 157,885 | ||||||
GAIL India Ltd. | 57,528 | 65,790 | ||||||
Great Taipei Gas Co. Ltd. | 5,000 | 5,454 | ||||||
Grupo Energia Bogota SA ESP | 54,757 | 34,093 | ||||||
Gujarat Gas Ltd. | 2,679 | 10,722 | ||||||
Gujarat State Petronet Ltd. | 2,352 | 6,132 | ||||||
Indraprastha Gas Ltd. | 4,564 | 24,773 | ||||||
Infraestructura Energetica Nova SAB de CV*(a) | 9,400 | 31,358 | ||||||
Korea Gas Corp. | 999 | 23,991 | ||||||
Kunlun Energy Co. Ltd. | 126,000 | 81,239 | ||||||
Mahanagar Gas Ltd.(b) | 1,456 | 16,010 | ||||||
Perusahaan Gas Negara Tbk. PT | 426,600 | 31,357 | ||||||
Petronas Gas Bhd. | 14,100 | 53,414 | ||||||
Promigas SA ESP | 10,792 | 18,800 | ||||||
Towngas China Co. Ltd.*(a) | 423,000 | 191,458 | ||||||
Zhongyu Gas Holdings Ltd. | 10,000 | 8,730 | ||||||
1,154,523 | ||||||||
Health Care Equipment & Supplies – 0.3% | ||||||||
AK Medical Holdings Ltd.(b) | 6,000 | 13,370 | ||||||
Blue Sail Medical Co. Ltd., Class A | 4,700 | 16,660 | ||||||
Dentium Co. Ltd.* | 344 | 11,293 | ||||||
DIO Corp.* | 520 | 13,381 | ||||||
Ginko International Co. Ltd. | 1,050 | 4,680 | ||||||
Hartalega Holdings Bhd. | 28,200 | 122,166 | ||||||
Kossan Rubber Industries | 22,800 | 41,155 | ||||||
Lifetech Scientific Corp.* | 82,000 | 20,831 | ||||||
Microport Scientific Corp.(a) | 11,098 | 38,998 | ||||||
Pihsiang Machinery Manufacturing Co. Ltd.*‡(c) | 5,000 | — | ||||||
Shandong Weigao Group Medical Polymer Co. Ltd., Class H | 36,000 | 69,541 | ||||||
St Shine Optical Co. Ltd. | 1,000 | 9,037 | ||||||
Supermax Corp. Bhd.* | 28,100 | 64,045 | ||||||
Top Glove Corp. Bhd. | 70,400 | 145,205 | ||||||
Venus MedTech Hangzhou, Inc., Class H*(b) | 2,000 | 19,227 | ||||||
589,589 |
Investments | Shares | Value | ||||||
Health Care Providers & Services – 0.6% | ||||||||
Apollo Hospitals Enterprise Ltd. | 1,544 | $ | 44,158 | |||||
Bangkok Chain Hospital PCL, NVDR | 4,800 | 2,125 | ||||||
Bangkok Dusit Medical Services PCL, NVDR | 75,200 | 42,224 | ||||||
Bumrungrad Hospital PCL, NVDR | 6,600 | 19,270 | ||||||
Celltrion Healthcare Co. Ltd.* | 1,547 | 115,476 | ||||||
Chabiotech Co. Ltd.* | 427 | 6,360 | ||||||
Chularat Hospital PCL, NVDR | 183,100 | 14,804 | ||||||
Cleopatra Hospital* | 33,041 | 10,018 | ||||||
Dr Lal PathLabs Ltd.(b) | 430 | 13,327 | ||||||
Fleury SA | 3,600 | 17,076 | ||||||
Fortis Healthcare Ltd.* | 9,651 | 16,357 | ||||||
Genertec Universal Medical Group Co. Ltd.(b) | 461,500 | 320,170 | ||||||
Hapvida Participacoes e Investimentos SA(b) | 3,100 | 34,608 | ||||||
HLB Life Science Co. Ltd.* | 1,132 | �� | 26,138 | |||||
IHH Healthcare Bhd. | 56,400 | 67,463 | ||||||
Jinxin Fertility Group Ltd.(b) | 12,000 | 14,546 | ||||||
KPJ Healthcare Bhd. | 14,124 | 2,889 | ||||||
Life Healthcare Group Holdings Ltd. | 30,687 | 30,765 | ||||||
Medipost Co. Ltd.* | 446 | 11,693 | ||||||
Meinian Onehealth Healthcare Holdings Co. Ltd., Class A* | 9,400 | 23,906 | ||||||
Mitra Keluarga Karyasehat Tbk. PT(b) | 100,200 | 18,019 | ||||||
Mouwasat Medical Services Co. | 688 | 23,482 | ||||||
Netcare Ltd. | 31,067 | 24,664 | ||||||
Notre Dame Intermedica Participacoes SA | 6,200 | 70,699 | ||||||
Odontoprev SA | 4,900 | 10,716 | ||||||
Qualicorp Consultoria e Corretora de Seguros SA | 4,100 | 22,633 | ||||||
Selcuk Ecza Deposu Ticaret ve Sanayi A/S | 51,852 | 56,163 | ||||||
Shanghai Pharmaceuticals Holding Co. Ltd., Class A | 4,700 | 13,973 | ||||||
Shanghai Pharmaceuticals Holding Co. Ltd., Class H | 23,500 | 36,364 | ||||||
Sinopharm Group Co. Ltd., Class H | 46,000 | 105,111 | ||||||
Topchoice Medical Corp., Class A* | 800 | 26,896 | ||||||
1,242,093 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 231 |
Table of Contents
FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Health Care Technology – 0.1% | ||||||||
Alibaba Health Information Technology Ltd.* | 68,000 | $ | 177,566 | |||||
Ping An Healthcare and Technology Co. Ltd.*(a)(b) | 9,400 | 121,215 | ||||||
298,781 | ||||||||
Hotels, Restaurants & Leisure – 0.5% | ||||||||
AmRest Holdings SE* | 994 | 3,451 | ||||||
Ananti, Inc.* | 1,058 | 7,758 | ||||||
Asset World Corp. PCL, NVDR | 164,900 | 15,449 | ||||||
Berjaya Sports Toto Bhd. | 11,413 | 5,191 | ||||||
Bloomberry Resorts Corp. | 1,743,100 | 254,982 | ||||||
Central Plaza Hotel PCL* | 1,600 | 1,011 | ||||||
Central Plaza Hotel PCL, NVDR* | 8,600 | 5,436 | ||||||
DoubleUGames Co. Ltd. | 312 | 16,910 | ||||||
Formosa International Hotels Corp. | 2,311 | 10,301 | ||||||
Genting Bhd. | 84,600 | 60,269 | ||||||
Genting Malaysia Bhd. | 61,100 | 29,410 | ||||||
Gourmet Master Co. Ltd. | 4,868 | 17,785 | ||||||
Grand Korea Leisure Co. Ltd. | 1,040 | 10,999 | ||||||
Haidilao International Holding Ltd.(a)(b) | 13,164 | 86,913 | ||||||
Hana Tour Service, Inc. | 403 | 13,745 | ||||||
Huazhu Group Ltd., ADR(a) | 2,124 | 84,174 | ||||||
Indian Hotels Co. Ltd. (The) | 9,131 | 11,755 | ||||||
Jiumaojiu International Holdings Ltd.*(b) | 9,000 | 19,822 | ||||||
Jollibee Foods Corp. | 10,380 | 36,459 | ||||||
Jubilant Foodworks Ltd. | 987 | 28,964 | ||||||
Kangwon Land, Inc. | 2,256 | 41,951 | ||||||
Magnum Bhd. | 19,594 | 9,432 | ||||||
Minor International PCL, NVDR* | 41,600 | 22,290 | ||||||
MK Restaurants Group PCL, NVDR | 10,400 | 15,182 | ||||||
OPAP SA | 3,754 | 30,282 | ||||||
Paradise Co. Ltd. | 421 | 4,712 | ||||||
Shenzhen Overseas Chinese Town Co. Ltd., Class A | 22,200 | 21,735 | ||||||
Travellers International Hotel Group, Inc.*‡(c) | 209,900 | 11,753 | ||||||
Xiabuxiabu Catering Management China Holdings Co. Ltd.*(b) | 11,500 | 19,634 | ||||||
Yum China Holdings, Inc. | 6,345 | 337,744 | ||||||
1,235,499 |
Investments | Shares | Value | ||||||
Household Durables – 0.9% | ||||||||
Arcelik A/S* | 11,215 | $ | 35,961 | |||||
Coway Co. Ltd.* | 894 | 54,678 | ||||||
Crompton Greaves Consumer Electricals Ltd.* | 8,173 | 33,009 | ||||||
Cyrela Brazil Realty SA Empreendimentos e Participacoes | 4,900 | 19,367 | ||||||
Dom Development SA | 3,542 | 83,999 | ||||||
Ez Tec Empreendimentos e Participacoes SA | 915 | 5,570 | ||||||
Gree Electric Appliances, Inc. of Zhuhai, Class A | 16,600 | 144,763 | ||||||
Haier Electronics Group Co. Ltd. | 23,000 | 87,197 | ||||||
Haier Smart Home Co. Ltd., Class A | 14,100 | 52,316 | ||||||
Hanssem Co. Ltd. | 303 | 25,154 | ||||||
Hisense Home Appliances Group Co. Ltd., Class H | 141,000 | 201,458 | ||||||
LG Electronics, Inc. | 3,668 | 271,536 | ||||||
LG Electronics, Inc. (Preference) | 584 | 16,547 | ||||||
Lock&Lock Co. Ltd.* | 728 | 6,672 | ||||||
MRV Engenharia e Participacoes SA | 118,500 | 346,293 | ||||||
NavInfo Co. Ltd., Class A | 4,700 | 9,961 | ||||||
Nien Made Enterprise Co. Ltd. | 2,000 | 22,515 | ||||||
PIK Group PJSC | 5,594 | 39,938 | ||||||
Skyworth Group Ltd.* | 836,000 | 217,763 | ||||||
Symphony Ltd. | 1,272 | 14,514 | ||||||
Tatung Co. Ltd.* | 46,000 | 33,853 | ||||||
TCL Electronics Holdings Ltd. | 343,000 | 231,767 | ||||||
TCL Technology Group Corp., Class A | 28,200 | 25,379 | ||||||
TTK Prestige Ltd. | 242 | 18,629 | ||||||
Vestel Elektronik Sanayi ve Ticaret A/S* | 33,051 | 65,329 | ||||||
Whirlpool of India Ltd. | 674 | 19,286 | ||||||
2,083,454 | ||||||||
Household Products – 0.2% | ||||||||
Hindustan Unilever Ltd. | 13,776 | 385,038 | ||||||
Kimberly-Clark de Mexico SAB de CV, Class A | 27,000 | 40,010 | ||||||
Unilever Indonesia Tbk. PT | 75,200 | 40,235 | ||||||
Vinda International Holdings Ltd. | 3,000 | 7,931 | ||||||
473,214 |
See Accompanying Notes to the Financial Statements.
232 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Independent Power and Renewable Electricity Producers – 1.5% | ||||||||
Aboitiz Power Corp. | 34,200 | $ | 19,114 | |||||
Adani Green Energy Ltd.* | 5,541 | 64,033 | ||||||
Adani Power Ltd.* | 320,320 | 154,525 | ||||||
AES Gener SA | 71,335 | 11,059 | ||||||
AES Tiete Energia SA* | 2,200 | 5,609 | ||||||
B Grimm Power PCL, NVDR | 15,300 | 19,268 | ||||||
Banpu Power PCL, NVDR | 11,700 | 4,993 | ||||||
BCPG PCL, NVDR | 1,600 | 590 | ||||||
CGN New Energy Holdings Co. Ltd.* | 564,000 | 74,183 | ||||||
CGN Power Co. Ltd., Class H(b) | 329,000 | 70,426 | ||||||
China Everbright Greentech Ltd.(a)(b) | 282,000 | 111,275 | ||||||
China Longyuan Power Group Corp. Ltd., Class H | 1,392,000 | 951,353 | ||||||
China National Nuclear Power Co. Ltd., Class A | 42,300 | 27,968 | ||||||
China Power International Development Ltd. | 208,000 | 39,965 | ||||||
China Resources Power Holdings Co. Ltd. | 54,000 | 56,125 | ||||||
China Yangtze Power Co. Ltd., Class A | 28,200 | 79,799 | ||||||
Cia Energetica de Sao Paulo (Preference), Class B | 81,800 | 378,499 | ||||||
Cikarang Listrindo Tbk. PT(b) | 714,400 | 29,309 | ||||||
Colbun SA | 238,159 | 35,907 | ||||||
Electricity Generating PCL, NVDR | 4,700 | 25,032 | ||||||
Energy Absolute PCL, NVDR | 32,900 | 40,112 | ||||||
Eneva SA* | 4,700 | 42,875 | ||||||
Engie Brasil Energia SA | 3,150 | 21,792 | ||||||
First Gen Corp. | 6,000 | 3,533 | ||||||
GD Power Development Co. Ltd., Class A | 42,300 | 12,374 | ||||||
Global Power Synergy PCL, NVDR | 9,968 | 16,551 | ||||||
Gulf Energy Development PCL, NVDR | 73,180 | 66,917 | ||||||
Huadian Power International Corp. Ltd., Class A | 51,700 | 25,926 | ||||||
Huaneng Lancang River Hydropower, Inc., Class A | 23,500 | 14,415 | ||||||
Huaneng Power International, Inc., Class A | 18,800 | 13,693 |
Investments | Shares | Value | ||||||
Independent Power and Renewable Electricity Producers – (continued) | ||||||||
Huaneng Power International, Inc., Class H | 112,000 | $ | 41,739 | |||||
Hub Power Co. Ltd. (The)* | 329,000 | 167,909 | ||||||
Hubei Energy Group Co. Ltd., Class A | 23,500 | 13,889 | ||||||
Inner Mongolia MengDian HuaNeng Thermal Power Corp. Ltd., Class A | 32,900 | 12,619 | ||||||
JSW Energy Ltd. | 183,622 | 148,667 | ||||||
NHPC Ltd. | 79,420 | 21,273 | ||||||
NTPC Ltd. | 164,613 | 194,583 | ||||||
OGK-2 PJSC | 13,911,280 | 119,481 | ||||||
Ratch Group PCL, NVDR | 9,300 | 13,875 | ||||||
SDIC Power Holdings Co. Ltd., Class A | 23,500 | 32,408 | ||||||
Shanghai Electric Power Co. Ltd., Class A | 14,100 | 15,047 | ||||||
Shenergy Co. Ltd., Class A | 14,100 | 10,985 | ||||||
Shenzhen Energy Group Co. Ltd., Class A | 23,500 | 19,010 | ||||||
Sichuan Chuantou Energy Co. Ltd., Class A | 9,400 | 14,128 | ||||||
SPCG PCL, NVDR | 217,900 | 138,427 | ||||||
Taiwan Cogeneration Corp. | 3,000 | 3,985 | ||||||
Terna Energy SA | 933 | 12,433 | ||||||
TPI Polene Power PCL, NVDR | 156,000 | 21,022 | ||||||
Unipro PJSC | 284,000 | 9,236 | ||||||
3,427,936 | ||||||||
Industrial Conglomerates – 1.6% | ||||||||
3M India Ltd.* | 69 | 17,388 | ||||||
Aamal Co. | 733,571 | 161,180 | ||||||
Aboitiz Equity Ventures, Inc. | 72,230 | 66,484 | ||||||
AG Anadolu Grubu Holding A/S | 59,220 | 122,424 | ||||||
Alfa SAB de CV, Class A | 98,700 | 65,730 | ||||||
Alliance Global Group, Inc.* | 1,625,500 | 266,663 | ||||||
AntarChile SA | 5,533 | 45,999 | ||||||
Ayala Corp. | 4,700 | 74,093 | ||||||
Bidvest Group Ltd. (The) | 6,674 | 54,735 | ||||||
CJ Corp. | 564 | 37,776 | ||||||
DMCI Holdings, Inc. | 1,512,300 | 137,169 | ||||||
Doosan Co. Ltd. | 5,476 | 224,889 | ||||||
Dubai Investments PJSC | 933,080 | 289,591 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 233 |
Table of Contents
FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Industrial Conglomerates – (continued) | ||||||||
Enka Insaat ve Sanayi A/S | 44,347 | $ | 38,142 | |||||
Far Eastern New Century Corp. | 119,000 | 107,129 | ||||||
Fosun International Ltd.(a) | 83,000 | 99,966 | ||||||
Godrej Industries Ltd.* | 3,377 | 16,683 | ||||||
Grupo Carso SAB de CV, Series A1 | 11,100 | 20,492 | ||||||
GT Capital Holdings, Inc. | 2,280 | 20,256 | ||||||
Hanwha Corp. | 1,692 | 35,862 | ||||||
Hanwha Corp. (3rd Preference) | 1,425 | 16,138 | ||||||
HAP Seng Consolidated Bhd. | 11,900 | 20,993 | ||||||
Hong Leong Industries Bhd. | 29,400 | 52,786 | ||||||
Hyosung Corp. | 201 | 13,108 | ||||||
Industries Qatar QSC | 32,007 | 79,248 | ||||||
JG Summit Holdings, Inc. | 56,511 | 75,017 | ||||||
KOC Holding A/S | 42,958 | 72,562 | ||||||
LG Corp. | 4,653 | 278,024 | ||||||
Lotte Corp. | 598 | 14,967 | ||||||
LT Group, Inc. | 131,600 | 31,377 | ||||||
Mytilineos SA | 4,262 | 46,568 | ||||||
PSG Group Ltd.(a) | 3,290 | 10,573 | ||||||
Quinenco SA | 12,939 | 17,036 | ||||||
Samsung C&T Corp. | 1,390 | 135,362 | ||||||
San Miguel Corp. | 13,510 | 28,471 | ||||||
Shanghai Industrial Holdings Ltd. | 183,000 | 244,005 | ||||||
Siemens Ltd. | 1,416 | 24,223 | ||||||
Sigdo Koppers SA | 125,172 | 118,262 | ||||||
Sime Darby Bhd. | 21,700 | 12,587 | ||||||
SK Holdings Co. Ltd. | 1,171 | 188,338 | ||||||
SM Investments Corp. | 8,460 | 166,054 | ||||||
Turkiye Sise ve Cam Fabrikalari A/S | 44,744 | 32,719 | ||||||
3,581,069 | ||||||||
Insurance – 3.3% | ||||||||
Allianz Malaysia Bhd. | 23,500 | 74,544 | ||||||
Anadolu Anonim Turk Sigorta Sirketi | 85,122 | 67,525 | ||||||
Bajaj Finserv Ltd. | 608 | 45,727 | ||||||
Bangkok Life Assurance PCL, NVDR | 191,200 | 109,809 | ||||||
BB Seguridade Participacoes SA | 14,100 | 57,906 | ||||||
Bupa Arabia for Cooperative Insurance Co.* | 262 | 8,006 | ||||||
Cathay Financial Holding Co. Ltd. | 299,000 | 401,405 |
Investments | Shares | Value | ||||||
Insurance – (continued) | ||||||||
China Development Financial Holding Corp. | 470,000 | $ | 137,696 | |||||
China Life Insurance Co. Ltd. | 131,440 | 87,999 | ||||||
China Life Insurance Co. Ltd., Class H | 119,000 | 258,414 | ||||||
China Pacific Insurance Group Co. Ltd., Class A | 18,600 | 88,583 | ||||||
China Pacific Insurance Group Co. Ltd., Class H | 94,000 | 292,733 | ||||||
China Reinsurance Group Corp., Class H(a) | 2,914,000 | 278,066 | ||||||
China Taiping Insurance Holdings Co. Ltd. | 56,400 | 84,802 | ||||||
Co. for Cooperative Insurance (The)* | 974 | 21,037 | ||||||
DB Insurance Co. Ltd. | 1,726 | 67,309 | ||||||
Discovery Ltd. | 6,194 | 40,788 | ||||||
Fanhua, Inc., ADR(a) | 280 | 4,197 | ||||||
Fubon Financial Holding Co. Ltd. | 249,000 | 354,303 | ||||||
General Insurance Corp. of India*(b) | 8,949 | 14,231 | ||||||
Hanwha Life Insurance Co. Ltd. | 5,271 | 7,131 | ||||||
HDFC Life Insurance Co. Ltd.*(b) | 12,459 | 99,149 | ||||||
Hyundai Marine & Fire Insurance Co. Ltd. | 2,538 | 52,116 | ||||||
ICICI Lombard General Insurance Co. Ltd.*(b) | 3,465 | 57,791 | ||||||
ICICI Prudential Life Insurance Co. Ltd.*(b) | 5,812 | 31,633 | ||||||
IRB Brasil Resseguros S/A | 31,951 | 34,023 | ||||||
Korean Reinsurance Co. | 33,962 | 222,083 | ||||||
Liberty Holdings Ltd. | 58,960 | 194,129 | ||||||
Max Financial Services Ltd.* | 2,721 | 21,683 | ||||||
Mercuries & Associates Holding Ltd. | 208,500 | 151,253 | ||||||
Mercuries Life Insurance Co. Ltd.* | 443,268 | 131,724 | ||||||
Meritz Fire & Marine Insurance Co. Ltd. | 2,444 | 29,831 | ||||||
Mirae Asset Life Insurance Co. Ltd. | 26,162 | 87,268 | ||||||
Momentum Metropolitan Holdings | 32,712 | 26,172 | ||||||
New China Life Insurance Co. Ltd., Class A | 4,700 | 45,035 | ||||||
New China Life Insurance Co. Ltd., Class H | 27,100 | 107,808 | ||||||
Old Mutual Ltd. | 147,078 | 84,905 |
See Accompanying Notes to the Financial Statements.
234 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Insurance – (continued) | ||||||||
People’s Insurance Co. Group of China Ltd. (The), Class H | 123,000 | $ | 36,480 | |||||
PICC Property & Casualty Co. Ltd., Class H | 214,000 | 144,601 | ||||||
Ping An Insurance Group Co. of China Ltd., Class A | 28,300 | 328,735 | ||||||
Ping An Insurance Group Co. of China Ltd., Class H(a) | 187,000 | 1,918,264 | ||||||
Powszechny Zaklad Ubezpieczen SA* | 20,821 | 113,463 | ||||||
Qatar Insurance Co. SAQ | 64,626 | 40,824 | ||||||
Qualitas Controladora SAB de CV | 2,600 | 10,351 | ||||||
Rand Merchant Investment Holdings Ltd. | 19,693 | 34,372 | ||||||
Samsung Fire & Marine Insurance Co. Ltd. | 1,096 | 172,895 | ||||||
Samsung Fire & Marine Insurance Co. Ltd. (Preference) | 194 | 24,278 | ||||||
Samsung Life Insurance Co. Ltd. | 2,883 | 160,576 | ||||||
Sanlam Ltd. | 61,912 | 180,111 | ||||||
Santam Ltd. | 723 | 10,902 | ||||||
SBI Life Insurance Co. Ltd.*(b) | 4,822 | 50,047 | ||||||
Shin Kong Financial Holding Co. Ltd. | 436,007 | 121,335 | ||||||
Shinkong Insurance Co. Ltd. | 103,000 | 129,635 | ||||||
Sul America SA* | 4,700 | 32,597 | ||||||
Tongyang Life Insurance Co. Ltd. | 21,197 | 58,844 | ||||||
ZhongAn Online P&C Insurance Co. Ltd., Class H*(a)(b) | 8,100 | 42,094 | ||||||
7,489,218 | ||||||||
Interactive Media & Services – 3.9% | ||||||||
9F, Inc., ADR*(a) | 21,248 | 28,047 | ||||||
Autohome, Inc., ADR | 846 | 80,835 | ||||||
Baidu, Inc., ADR* | 4,395 | 584,755 | ||||||
Bitauto Holdings Ltd., ADR*(a) | 942 | 15,016 | ||||||
Info Edge India Ltd. | 1,266 | 60,628 | ||||||
JOYY, Inc., ADR | 987 | 90,192 | ||||||
Kakao Corp. | 951 | 276,575 | ||||||
Momo, Inc., ADR | 5,746 | 86,190 | ||||||
NAVER Corp. | 2,256 | 576,575 | ||||||
SINA Corp.* | 676 | 28,967 | ||||||
Tencent Holdings Ltd. | 91,400 | 6,965,628 | ||||||
Weibo Corp., ADR* | 1,269 | 52,727 | ||||||
8,846,135 |
Investments | Shares | Value | ||||||
Internet & Direct Marketing Retail – 6.7% | ||||||||
Alibaba Group Holding Ltd.* | 232,000 | $ | 8,771,595 | |||||
B2W Cia Digital* | 3,500 | 45,671 | ||||||
Baozun, Inc., ADR*(a) | 235 | 8,599 | ||||||
CJ ENM Co. Ltd. | 140 | 16,224 | ||||||
GS Home Shopping, Inc. | 1,446 | 176,752 | ||||||
HengTen Networks Group Ltd.*(a) | 308,000 | 13,305 | ||||||
Hyundai Home Shopping Network Corp. | 2,633 | 164,055 | ||||||
JD.com, Inc., ADR* | 14,006 | 1,141,769 | ||||||
Maoyan Entertainment*(b) | 1,800 | 2,535 | ||||||
Meituan, Class B*(b) | 66,300 | 2,463,963 | ||||||
momo.com, Inc. | 1,000 | 23,913 | ||||||
Naspers Ltd., Class N* | 7,003 | 1,362,488 | ||||||
PChome Online, Inc. | 2,763 | 9,273 | ||||||
Pinduoduo, Inc., ADR* | 5,377 | 483,822 | ||||||
Tongcheng-Elong Holdings Ltd.*(a)(b) | 9,600 | 15,920 | ||||||
Trip.com Group Ltd., ADR* | 7,309 | 210,207 | ||||||
Vipshop Holdings Ltd., ADR* | 6,956 | 148,858 | ||||||
15,058,949 | ||||||||
IT Services – 1.1% | ||||||||
21Vianet Group, Inc., ADR* | 1,418 | 32,557 | ||||||
Cafe24 Corp.* | 360 | 17,735 | ||||||
China TransInfo Technology Co. Ltd., Class A | 4,700 | 15,566 | ||||||
Chinasoft International Ltd.* | 32,000 | 23,108 | ||||||
Cielo SA* | 35,700 | 20,865 | ||||||
Coforge Ltd. | 245 | 7,292 | ||||||
DHC Software Co. Ltd., Class A | 9,400 | 12,809 | ||||||
GDS Holdings Ltd., ADR*(a) | 1,385 | 116,396 | ||||||
HCL Technologies Ltd. | 17,255 | 196,038 | ||||||
Infosys Ltd. | 58,610 | 838,805 | ||||||
Kginicis Co. Ltd. | 7,362 | 121,651 | ||||||
Larsen & Toubro Infotech Ltd.(b) | 721 | 28,395 | ||||||
Mindtree Ltd. | 610 | 10,928 | ||||||
Mphasis Ltd. | 2,042 | 37,990 | ||||||
My EG Services Bhd. | 41,900 | 13,816 | ||||||
Posco ICT Co. Ltd. | 2,080 | 12,208 | ||||||
Samsung SDS Co. Ltd. | 658 | 97,711 | ||||||
Systex Corp. | 9,000 | 25,486 | ||||||
Tata Consultancy Services Ltd. | 16,685 | 599,980 | ||||||
Tech Mahindra Ltd. | 9,400 | 103,161 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 235 |
Table of Contents
FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
IT Services – (continued) | ||||||||
TravelSky Technology Ltd., Class H | 13,000 | $ | 27,291 | |||||
Wipro Ltd. | 24,481 | 112,548 | ||||||
2,472,336 | ||||||||
Leisure Products – 0.1% | ||||||||
Giant Manufacturing Co. Ltd. | 5,000 | 49,120 | ||||||
HLB, Inc.* | 659 | 53,431 | ||||||
KMC Kuei Meng International, Inc. | 3,315 | 24,048 | ||||||
Merida Industry Co. Ltd. | 5,350 | 51,810 | ||||||
178,409 | ||||||||
Life Sciences Tools & Services – 0.4% | ||||||||
Divi’s Laboratories Ltd. | 2,246 | 95,227 | ||||||
Genscript Biotech Corp.* | 16,000 | 22,159 | ||||||
LegoChem Biosciences, Inc.* | 270 | 12,587 | ||||||
Pharmaron Beijing Co. Ltd., Class H(b) | 1,900 | 27,416 | ||||||
Samsung Biologics Co. Ltd.*(b) | 271 | 162,882 | ||||||
ST Pharm Co. Ltd.* | 344 | 18,129 | ||||||
Viva Biotech Holdings(b) | 23,500 | 22,364 | ||||||
WuXi AppTec Co. Ltd., Class A | 2,300 | 38,694 | ||||||
WuXi AppTec Co. Ltd., Class H(a)(b) | 4,099 | 65,279 | ||||||
Wuxi Biologics Cayman, Inc.*(b) | 15,000 | 418,964 | ||||||
883,701 | ||||||||
Machinery – 0.9% | ||||||||
AIA Engineering Ltd. | 972 | 22,287 | ||||||
Airtac International Group | 1,784 | 47,900 | ||||||
Ashok Leyland Ltd. | 29,880 | 31,832 | ||||||
China International Marine Containers Group Co. Ltd., Class H | 5,880 | 7,977 | ||||||
China Shipbuilding Industry Co. Ltd., Class A* | 18,800 | 11,672 | ||||||
CIMC Enric Holdings Ltd.(a) | 274,000 | 128,611 | ||||||
CNHTC Jinan Truck Co. Ltd., Class A | 900 | 4,701 | ||||||
CRRC Corp. Ltd., Class A | 66,700 | 53,657 | ||||||
CRRC Corp. Ltd., Class H | 178,000 | 68,860 | ||||||
Cummins India Ltd. | 2,280 | 13,356 | ||||||
Daewoo Shipbuilding & Marine Engineering Co. Ltd.* | 705 | 13,265 |
Investments | Shares | Value | ||||||
Machinery – (continued) | ||||||||
Doosan Bobcat, Inc. | 1,692 | $ | 43,019 | |||||
Doosan Infracore Co. Ltd.* | 59,403 | 435,563 | ||||||
Escorts Ltd. | 930 | 15,071 | ||||||
Haitian International Holdings Ltd. | 16,000 | 39,614 | ||||||
Hiwin Technologies Corp. | 5,064 | 44,083 | ||||||
Hyundai Elevator Co. Ltd. | 208 | 6,819 | ||||||
Hyundai Heavy Industries Holdings Co. Ltd. | 376 | 71,078 | ||||||
Hyundai Mipo Dockyard Co. Ltd. | 602 | 14,855 | ||||||
Hyundai Rotem Co. Ltd.* | 1,766 | 23,190 | ||||||
Infore Environment Technology Group Co. Ltd., Class A | 9,400 | 11,392 | ||||||
Jiangsu Hengli Hydraulic Co. Ltd., Class A | 1,900 | 21,455 | ||||||
Korea Shipbuilding & Offshore Engineering Co. Ltd.* | 893 | 61,700 | ||||||
Lonking Holdings Ltd. | 893,000 | 237,217 | ||||||
Samsung Heavy Industries Co. Ltd.* | 5,565 | 24,767 | ||||||
Sany Heavy Equipment International Holdings Co. Ltd. | 12,000 | 6,592 | ||||||
Sany Heavy Industry Co. Ltd., Class A | 9,400 | 36,406 | ||||||
SFA Engineering Corp. | 1,089 | 34,838 | ||||||
Shin Zu Shing Co. Ltd. | 4,165 | 20,677 | ||||||
Sinotruk Hong Kong Ltd. | 27,500 | 70,072 | ||||||
SKF India Ltd. | 624 | 12,430 | ||||||
Weichai Power Co. Ltd., Class A | 9,400 | 21,227 | ||||||
Weichai Power Co. Ltd., Class H | 66,000 | 124,598 | ||||||
XCMG Construction Machinery Co. Ltd., Class A | 18,800 | 15,040 | ||||||
Yangzijiang Shipbuilding Holdings Ltd. | 89,300 | 60,166 | ||||||
Zhejiang Sanhua Intelligent Controls Co. Ltd., Class A | 9,400 | 34,302 | ||||||
Zoomlion Heavy Industry Science and Technology Co. Ltd., Class A | 17,700 | 19,549 | ||||||
Zoomlion Heavy Industry Science and Technology Co. Ltd., Class H | 45,600 | 40,162 | ||||||
1,950,000 | ||||||||
Marine – 0.5% | ||||||||
Cia Sud Americana de Vapores SA* | 7,628,616 | 221,753 |
See Accompanying Notes to the Financial Statements.
236 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Marine – (continued) | ||||||||
COSCO SHIPPING Holdings Co. Ltd., Class A* | 32,900 | $ | 32,113 | |||||
COSCO SHIPPING Holdings Co. Ltd., Class H* | 43,500 | 27,766 | ||||||
Evergreen Marine Corp. Taiwan Ltd.* | 45,558 | 30,103 | ||||||
HMM Co. Ltd.* | 9,450 | 74,704 | ||||||
Korea Line Corp.* | 55,800 | 78,190 | ||||||
MISC Bhd. | 28,200 | 44,726 | ||||||
Pan Ocean Co. Ltd.* | 5,613 | 17,734 | ||||||
Qatar Navigation QSC | 252,011 | 415,289 | ||||||
Transcoal Pacific Tbk. PT | 32,900 | 13,722 | ||||||
U-Ming Marine Transport Corp. | 2,000 | 2,028 | ||||||
Wan Hai Lines Ltd. | 39,000 | 35,723 | ||||||
Wisdom Marine Lines Co. Ltd.* | 168,898 | 125,182 | ||||||
Yang Ming Marine Transport Corp.* | 53,000 | 21,309 | ||||||
1,140,342 | ||||||||
Media – 0.3% | ||||||||
Astro Malaysia Holdings Bhd. | 90,700 | 15,935 | ||||||
Cheil Worldwide, Inc. | 1,074 | 19,735 | ||||||
China Literature Ltd.*(a)(b) | 6,200 | 50,768 | ||||||
Cyfrowy Polsat SA | 5,640 | 35,117 | ||||||
Focus Media Information Technology Co. Ltd., Class A | 23,500 | 32,759 | ||||||
Grupo Televisa SAB, Series CPO*(a) | 47,000 | 59,265 | ||||||
Innocean Worldwide, Inc. | 71 | 3,698 | ||||||
Leo Group Co. Ltd., Class A | 18,800 | 8,895 | ||||||
Media Nusantara Citra Tbk. PT* | 1,918,100 | 108,856 | ||||||
MultiChoice Group | 11,891 | 98,041 | ||||||
NanJi E-Commerce Co. Ltd., Class A | 4,700 | 12,935 | ||||||
Plan B Media PCL, NVDR | 72,800 | 12,613 | ||||||
Saudi Research & Marketing Group* | 1,030 | 18,813 | ||||||
Sun TV Network Ltd. | 1,889 | 10,757 | ||||||
Surya Citra Media Tbk. PT | 85,400 | 8,730 | ||||||
Zee Entertainment Enterprises Ltd. | 32,609 | 82,680 | ||||||
579,597 | ||||||||
Metals & Mining – 4.3% | ||||||||
African Rainbow Minerals Ltd. | 3,666 | 51,341 |
Investments | Shares | Value | ||||||
Metals & Mining – (continued) | ||||||||
Alrosa PJSC | 90,240 | $ | 81,081 | |||||
Aluminum Corp. of China Ltd., Class H* | 114,000 | 24,844 | ||||||
Aneka Tambang Tbk. | 3,766,710 | 271,718 | ||||||
Anglo American Platinum Ltd.(a) | 987 | 64,716 | ||||||
AngloGold Ashanti Ltd. | 6,533 | 148,292 | ||||||
Baoshan Iron & Steel Co. Ltd., Class A | 75,200 | 59,934 | ||||||
Beijing Shougang Co. Ltd., Class A* | 28,200 | 15,446 | ||||||
Bradespar SA (Preference)* | 4,700 | 38,099 | ||||||
CAP SA | 32,796 | 270,323 | ||||||
Century Iron & Steel Industrial Co. Ltd. | 3,000 | 13,635 | ||||||
China Hongqiao Group Ltd. | 70,500 | 50,910 | ||||||
China Metal Recycling Holdings Ltd.*‡(c) | 51,000 | — | ||||||
China Metal Resources Utilization Ltd.*(b) | 56,000 | 1,444 | ||||||
China Molybdenum Co. Ltd., Class A | 22,500 | 13,265 | ||||||
China Molybdenum Co. Ltd., Class H | 57,000 | 20,654 | ||||||
China Northern Rare Earth Group High-Tech Co. Ltd., Class A* | 9,400 | 14,128 | ||||||
China Oriental Group Co. Ltd.(a) | 484,000 | 109,222 | ||||||
China Steel Corp. | 188,000 | 133,424 | ||||||
China Zhongwang Holdings Ltd.* | 551,200 | 112,303 | ||||||
Chung Hung Steel Corp.* | 423,000 | 145,666 | ||||||
Cia Siderurgica Nacional SA | 23,500 | 83,713 | ||||||
Citic Pacific Special Steel Group Co. Ltd., Class A | 4,700 | 11,308 | ||||||
Dongkuk Steel Mill Co. Ltd.* | 28,059 | 149,852 | ||||||
Eregli Demir ve Celik Fabrikalari TAS | 52,311 | 59,468 | ||||||
Gerdau SA (Preference) | 16,800 | 63,546 | ||||||
Gold Fields Ltd. | 13,565 | 144,134 | ||||||
Grupa Kety SA | 151 | 15,619 | ||||||
Grupo Mexico SAB de CV, Series B | 112,800 | 319,408 | ||||||
Harmony Gold Mining Co. Ltd.* | 8,695 | 42,676 | ||||||
Hesteel Co. Ltd., Class A* | 37,600 | 11,560 | ||||||
Hindalco Industries Ltd. | 50,055 | 115,263 | ||||||
Hunan Valin Steel Co. Ltd., Class A | 23,500 | 17,817 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 237 |
Table of Contents
FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Metals & Mining – (continued) | ||||||||
Hyundai Steel Co. | 2,303 | $ | 58,656 | |||||
Impala Platinum Holdings Ltd. | 26,538 | 233,177 | ||||||
Industrias Penoles SAB de CV | 1,770 | 28,097 | ||||||
Inner Mongolia BaoTou Steel Union Co. Ltd., Class A* | 70,500 | 11,995 | ||||||
Inner Mongolia Eerduosi Resources Co. Ltd., Class B | 103,400 | 88,821 | ||||||
Jastrzebska Spolka Weglowa SA* | 21,526 | 82,494 | ||||||
Jiangsu Shagang Co. Ltd., Class A | 9,400 | 18,168 | ||||||
Jiangxi Copper Co. Ltd., Class A | 9,400 | 20,764 | ||||||
Jiangxi Copper Co. Ltd., Class H | 47,000 | 55,880 | ||||||
Jinchuan Group International Resources Co. Ltd. | 44,000 | 4,142 | ||||||
Jindal Steel & Power Ltd.* | 177,633 | 459,019 | ||||||
JSW Steel Ltd. | 32,853 | 136,984 | ||||||
Kardemir Karabuk Demir Celik Sanayi ve Ticaret A/S, Class D | 349,420 | 129,214 | ||||||
KGHM Polska Miedz SA* | 4,794 | 142,900 | ||||||
Korea Zinc Co. Ltd. | 235 | 79,217 | ||||||
Koza Altin Isletmeleri A/S* | 2,182 | 19,157 | ||||||
Koza Anadolu Metal Madencilik Isletmeleri A/S* | 82,297 | 118,395 | ||||||
Kumba Iron Ore Ltd.(a) | 2,115 | 62,519 | ||||||
Maanshan Iron & Steel Co. Ltd., Class A | 51,700 | 19,908 | ||||||
Magnitogorsk Iron & Steel Works PJSC | 80,024 | 37,914 | ||||||
Merdeka Copper Gold Tbk. PT* | 295,800 | 37,013 | ||||||
Metalurgica Gerdau SA (Preference) | 11,600 | 19,716 | ||||||
MMC Norilsk Nickel PJSC | 2,021 | 479,574 | ||||||
National Aluminium Co. Ltd. | 373,791 | 153,082 | ||||||
NMDC Ltd. | 31,067 | 34,564 | ||||||
Northam Platinum Ltd.* | 4,859 | 46,294 | ||||||
Novolipetsk Steel PJSC | 44,732 | 104,672 | ||||||
Polyus PJSC | 470 | 92,004 | ||||||
Poongsan Corp. | 8,016 | 172,725 | ||||||
POSCO | 2,723 | 499,149 | ||||||
Press Metal Aluminium Holdings Bhd. | 37,600 | 49,681 | ||||||
Qatar Aluminum Manufacturing Co. | 42,858 | 10,170 | ||||||
Raspadskaya OJSC | 37,798 | 52,802 |
Investments | Shares | Value | ||||||
Metals & Mining – (continued) | ||||||||
Royal Bafokeng Platinum Ltd.* | 67,119 | $ | 242,391 | |||||
Sansteel Minguang Co. Ltd. Fujian, Class A | 14,100 | 13,847 | ||||||
Saudi Arabian Mining Co.* | 6,410 | 63,753 | ||||||
Severstal PAO | 7,661 | 104,707 | ||||||
Shandong Gold Mining Co. Ltd., Class A | 5,100 | 18,101 | ||||||
Shandong Gold Mining Co. Ltd., Class H(b) | 13,650 | 32,071 | ||||||
Shanxi Taigang Stainless Steel Co. Ltd., Class A | 23,500 | 12,276 | ||||||
Shougang Fushan Resources Group Ltd. | 1,510,000 | 352,438 | ||||||
Sibanye Stillwater Ltd. | 77,318 | 223,312 | ||||||
Steel Authority of India Ltd.* | 462,459 | 214,357 | ||||||
TA Chen Stainless Pipe | 56,793 | 43,483 | ||||||
Tata Steel Ltd. | 25,050 | 138,775 | ||||||
Usinas Siderurgicas de Minas Gerais SA | 38,000 | 77,700 | ||||||
Usinas Siderurgicas de Minas Gerais SA (Preference), Class A | 181,600 | 343,295 | ||||||
Vale Indonesia Tbk. PT* | 6,000 | 1,662 | ||||||
Vale SA | 116,600 | 1,224,442 | ||||||
Vedanta Ltd. | 69,325 | 89,571 | ||||||
Volcan Cia Minera SAA, Class B* | 1,094,156 | 113,825 | ||||||
Xiamen Tungsten Co. Ltd., Class A | 9,400 | 18,828 | ||||||
Young Poong Corp. | 300 | 127,831 | ||||||
Yunnan Copper Co. Ltd., Class A* | 9,400 | 17,382 | ||||||
Zhaojin Mining Industry Co. Ltd., Class H(a) | 21,000 | 26,944 | ||||||
Zijin Mining Group Co. Ltd., Class A | 18,800 | 19,613 | ||||||
Zijin Mining Group Co. Ltd., Class H | 94,000 | 68,001 | ||||||
9,822,281 | ||||||||
Multiline Retail – 0.3% | ||||||||
Aeon Co. M Bhd. | 28,000 | 4,650 | ||||||
CCOOP Group Co. Ltd., Class A* | 18,800 | 8,305 | ||||||
Central Retail Corp. PCL, NVDR* | 42,275 | 36,283 | ||||||
El Puerto de Liverpool SAB de CV, Class C1* | 2,700 | 7,244 |
See Accompanying Notes to the Financial Statements.
238 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Multiline Retail – 0.3% | ||||||||
Falabella SA | 12,080 | $ | 33,086 | |||||
Golden Eagle Retail Group Ltd. | 5,000 | 4,578 | ||||||
Hyundai Department Store Co. Ltd. | 690 | 35,999 | ||||||
Lojas Americanas SA* | 5,300 | 18,540 | ||||||
Lojas Americanas SA (Preference)* | 14,339 | 57,769 | ||||||
Lojas Renner SA* | 14,100 | 91,579 | ||||||
Lotte Shopping Co. Ltd. | 211 | 15,508 | ||||||
Magazine Luiza SA | 42,000 | 179,407 | ||||||
Mitra Adiperkasa Tbk. PT* | 3,284,800 | 147,114 | ||||||
Poya International Co. Ltd. | 1,000 | 21,536 | ||||||
Shinsegae, Inc. | 282 | 51,569 | ||||||
Woolworths Holdings Ltd. | 19,364 | 41,627 | ||||||
754,794 | ||||||||
Multi-Utilities – 0.0%(d) | ||||||||
Qatar Electricity & Water Co. QSC | 9,483 | 43,495 | ||||||
YTL Corp. Bhd.* | 78,870 | 13,762 | ||||||
YTL Power International Bhd.* | 128,031 | 19,721 | ||||||
76,978 | ||||||||
Oil, Gas & Consumable Fuels – 4.8% | ||||||||
Adaro Energy Tbk. PT | 419,400 | 32,262 | ||||||
Bangchak Corp. PCL, NVDR | 151,600 | 70,529 | ||||||
Banpu PCL, NVDR | 943,500 | 198,281 | ||||||
Bashneft PJSC | 1,305 | 24,922 | ||||||
Bashneft PJSC (Preference) | 1,163 | 16,738 | ||||||
Bharat Petroleum Corp. Ltd. | 27,252 | 130,344 | ||||||
Bukit Asam Tbk. PT | 206,000 | 27,607 | ||||||
China Coal Energy Co. Ltd., Class A | 23,500 | 13,784 | ||||||
China Coal Energy Co. Ltd., Class H | 83,000 | 20,229 | ||||||
China Merchants Energy Shipping Co. Ltd., Class A | 14,100 | 12,185 | ||||||
China Petroleum & Chemical Corp., Class A | 100,700 | 58,615 | ||||||
China Petroleum & Chemical Corp., Class H | 890,000 | 345,448 | ||||||
China Shenhua Energy Co. Ltd., Class A | 27,300 | 67,840 | ||||||
China Shenhua Energy Co. Ltd., Class H | 113,000 | 195,258 |
Investments | Shares | Value | ||||||
Oil, Gas & Consumable Fuels – (continued) | ||||||||
CNOOC Ltd. | 544,000 | $ | 493,854 | |||||
Coal India Ltd. | 71,657 | 110,424 | ||||||
Cosan SA | 1,923 | 21,675 | ||||||
Dana Gas PJSC | 16,893 | 3,127 | ||||||
Ecopetrol SA | 185,133 | 86,019 | ||||||
Empresas COPEC SA | 7,050 | 53,738 | ||||||
Esso Thailand PCL, NVDR* | 499,000 | 96,862 | ||||||
Exxaro Resources Ltd. | 8,231 | 55,230 | ||||||
Formosa Petrochemical Corp. | 29,000 | 79,690 | ||||||
Gazprom PJSC | 412,088 | 803,568 | ||||||
Grupa Lotos SA | 3,713 | 26,117 | ||||||
GS Holdings Corp. | 1,364 | 39,669 | ||||||
Hellenic Petroleum SA | 3,199 | 15,651 | ||||||
Hindustan Petroleum Corp. Ltd. | 22,607 | 57,244 | ||||||
Indian Oil Corp. Ltd. | 88,736 | 95,253 | ||||||
Indo Tambangraya Megah Tbk. PT | 174,800 | 97,111 | ||||||
Inner Mongolia Yitai Coal Co. Ltd., Class B | 470,000 | 294,220 | ||||||
LUKOIL PJSC | 12,233 | 622,519 | ||||||
Mari Petroleum Co. Ltd. | 1,984 | 15,401 | ||||||
Medco Energi Internasional Tbk. PT* | 3,019,840 | 78,877 | ||||||
MOL Hungarian Oil & Gas plc* | 17,437 | 84,534 | ||||||
Motor Oil Hellas Corinth Refineries SA | 2,820 | 26,279 | ||||||
Novatek PJSC | 14,711 | 176,745 | ||||||
Oil & Gas Development Co. Ltd. | 38,500 | 22,454 | ||||||
Oil & Natural Gas Corp. Ltd. | 128,102 | 112,186 | ||||||
Oil India Ltd. | 160,263 | 185,873 | ||||||
Pakistan Oilfields Ltd. | 54,140 | 107,662 | ||||||
Pakistan Petroleum Ltd. | 29,830 | 15,427 | ||||||
Pakistan State Oil Co. Ltd.* | 112,800 | 138,296 | ||||||
PetroChina Co. Ltd., Class H | 348,000 | 97,379 | ||||||
Petroleo Brasileiro SA | 126,300 | 416,181 | ||||||
Petroleo Brasileiro SA (Preference) | 155,900 | 512,096 | ||||||
Petronas Dagangan Bhd. | 6,600 | 27,385 | ||||||
Petronet LNG Ltd. | 10,434 | 32,517 | ||||||
Polski Koncern Naftowy ORLEN SA | 10,810 | 103,908 | ||||||
Polskie Gornictwo Naftowe i Gazownictwo SA | 48,927 | 51,473 | ||||||
PTT Exploration & Production PCL | 469 | 1,185 | ||||||
PTT Exploration & Production PCL, NVDR | 45,131 | 114,031 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 239 |
Table of Contents
FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Oil, Gas & Consumable Fuels – (continued) | ||||||||
PTT PCL, NVDR | 292,300 | $ | 290,729 | |||||
Qatar Fuel QSC | 8,930 | 42,185 | ||||||
Qatar Gas Transport Co. Ltd. | 13,819 | 10,210 | ||||||
Reliance Industries Ltd. | 51,362 | 1,423,921 | ||||||
Rosneft Oil Co. PJSC | 73,640 | 325,271 | ||||||
Rosneft Oil Co. PJSC, GDR(b) | 1,920 | 8,390 | ||||||
RussNeft PJSC* | 44,630 | 162,827 | ||||||
Saudi Arabian Oil Co.(b) | 31,804 | 285,789 | ||||||
Semirara Mining & Power Corp. | 497,200 | 108,891 | ||||||
Shaanxi Coal Industry Co. Ltd., Class A | 30,300 | 39,570 | ||||||
Sinopec Kantons Holdings Ltd. | 470,000 | 169,700 | ||||||
SK Discovery Co. Ltd. | 228 | 12,639 | ||||||
SK Gas Ltd. | 1,447 | 134,536 | ||||||
SK Innovation Co. Ltd. | 1,790 | 197,977 | ||||||
S-Oil Corp. | 706 | 33,785 | ||||||
S-Oil Corp. (Preference) | 208 | 5,765 | ||||||
Star Petroleum Refining PCL, NVDR | 751,900 | 127,860 | ||||||
Surgutneftegas PJSC | 272,600 | 113,001 | ||||||
Surgutneftegas PJSC (Preference) | 239,700 | 109,329 | ||||||
Tatneft PJSC | 26,164 | 135,120 | ||||||
Tatneft PJSC, ADR | 4,806 | 149,563 | ||||||
Tatneft PJSC (Preference) | 6,345 | 31,714 | ||||||
Thai Oil PCL, NVDR | 32,900 | 36,154 | ||||||
Transneft PJSC (Preference) | 54 | 89,742 | ||||||
Tupras Turkiye Petrol Rafinerileri A/S* | 3,666 | 32,689 | ||||||
Ultrapar Participacoes SA | 14,100 | 40,055 | ||||||
United Tractors Tbk. PT | 56,400 | 81,467 | ||||||
Yanzhou Coal Mining Co. Ltd., Class A | 15,000 | 20,171 | ||||||
Yanzhou Coal Mining Co. Ltd., Class H | 52,000 | 37,752 | ||||||
10,842,704 | ||||||||
Paper & Forest Products – 0.6% | ||||||||
Duratex SA* | 8,874 | 29,503 | ||||||
Empresas CMPC SA | 22,983 | 47,749 | ||||||
Indah Kiat Pulp & Paper Corp. Tbk. PT | 80,200 | 50,039 | ||||||
Lee & Man Paper Manufacturing Ltd. | 47,000 | 35,455 | ||||||
Longchen Paper & Packaging Co. Ltd. | 23,991 | 13,504 |
Investments | Shares | Value | ||||||
Paper & Forest Products – (continued) | ||||||||
Nine Dragons Paper Holdings Ltd. | 47,000 | $ | 62,425 | |||||
Pabrik Kertas Tjiwi Kimia Tbk. PT | 517,800 | 215,971 | ||||||
Sappi Ltd.* | 245,443 | 350,142 | ||||||
Shandong Sun Paper Industry JSC Ltd., Class A | 9,400 | 19,515 | ||||||
Suzano SA* | 9,400 | 81,594 | ||||||
YFY, Inc. | 564,000 | 382,527 | ||||||
1,288,424 | ||||||||
Personal Products – 0.4% | ||||||||
Amorepacific Corp. | 519 | 72,268 | ||||||
Amorepacific Corp. (Preference) | 380 | 17,548 | ||||||
AMOREPACIFIC Group | 611 | 23,450 | ||||||
AMOREPACIFIC Group (Preference) | 312 | 4,674 | ||||||
Chlitina Holding Ltd. | 2,000 | 12,201 | ||||||
Colgate-Palmolive India Ltd. | 1,366 | 27,957 | ||||||
Cosmax, Inc. | 96 | 8,883 | ||||||
Dabur India Ltd. | 10,387 | 71,685 | ||||||
Emami Ltd. | 4,766 | 23,275 | ||||||
Gillette India Ltd. | 103 | 7,347 | ||||||
Godrej Consumer Products Ltd. | 7,426 | 66,617 | ||||||
Grape King Bio Ltd. | 2,000 | 11,607 | ||||||
Hengan International Group Co. Ltd. | 13,000 | 90,105 | ||||||
Kolmar Korea Co. Ltd. | 142 | 5,513 | ||||||
LG Household & Health Care Ltd. | 141 | 186,393 | ||||||
LG Household & Health Care Ltd. (Preference) | 43 | 26,186 | ||||||
Marico Ltd. | 8,460 | 40,715 | ||||||
Natura & Co. Holding SA* | 9,958 | 79,616 | ||||||
TCI Co. Ltd. | 3,186 | 25,340 | ||||||
801,380 | ||||||||
Pharmaceuticals – 1.5% | ||||||||
Adcock Ingram Holdings Ltd. | 5,074 | 12,616 | ||||||
Ajanta Pharma Ltd. | 384 | 8,152 | ||||||
Alkem Laboratories Ltd. | 516 | 18,342 | ||||||
Apeloa Pharmaceutical Co. Ltd., Class A | 4,700 | 14,310 | ||||||
Aspen Pharmacare Holdings Ltd.* | 12,314 | 79,990 | ||||||
AstraZeneca Pharma India Ltd. | 235 | 13,636 | ||||||
Aurobindo Pharma Ltd. | 4,954 | 51,651 | ||||||
Beijing Tong Ren Tang Chinese Medicine Co. Ltd.(a) | 10,000 | 10,368 |
See Accompanying Notes to the Financial Statements.
240 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Pharmaceuticals – (continued) | ||||||||
Bukwang Pharmaceutical Co. Ltd. | 569 | $ | 11,684 | |||||
Cadila Healthcare Ltd. | 4,844 | 27,303 | ||||||
CanSino Biologics, Inc., Class H*(a)(b) | 1,000 | 19,459 | ||||||
Celltrion Pharm, Inc.* | 178 | 17,067 | ||||||
Center Laboratories, Inc.* | 4,264 | 9,392 | ||||||
Changchun High & New Technology Industry Group, Inc., Class A | 600 | 33,538 | ||||||
China Grand Pharmaceutical and Healthcare Holdings Ltd. | 32,000 | 25,997 | ||||||
China Medical System Holdings Ltd. | 21,000 | 21,989 | ||||||
China Resources Pharmaceutical Group Ltd.(a)(b) | 74,000 | 36,929 | ||||||
China Traditional Chinese Medicine Holdings Co. Ltd. | 108,000 | 43,034 | ||||||
Cipla Ltd. | 7,742 | 78,822 | ||||||
CSPC Pharmaceutical Group Ltd. | 142,080 | 149,686 | ||||||
Daewoong Co. Ltd. | 339 | 7,021 | ||||||
Daewoong Pharmaceutical Co. Ltd. | 49 | 3,938 | ||||||
Dong-A Socio Holdings Co. Ltd. | 104 | 9,761 | ||||||
Dong-A ST Co. Ltd. | 94 | 6,959 | ||||||
Dr Reddy’s Laboratories Ltd. | 1,880 | 124,018 | ||||||
Genomma Lab Internacional SAB de CV, Class B* | 12,000 | 10,608 | ||||||
GlaxoSmithKline Pharmaceuticals Ltd. | 1,140 | 22,532 | ||||||
Glenmark Pharmaceuticals Ltd. | 990 | 6,343 | ||||||
Guangzhou Baiyunshan Pharmaceutical Holdings Co. Ltd., Class H | 6,000 | 14,205 | ||||||
Hanall Biopharma Co. Ltd.* | 919 | 22,353 | ||||||
Hanmi Pharm Co. Ltd. | 97 | 22,440 | ||||||
Hanmi Science Co. Ltd. | 218 | 10,221 | ||||||
Hansoh Pharmaceutical Group Co. Ltd.*(b) | 16,000 | 71,284 | ||||||
Hua Han Health Industry Holdings Ltd.*‡(c) | 3,780,000 | — | ||||||
Hubei Jumpcan Pharmaceutical Co. Ltd., Class A | 4,700 | 15,503 | ||||||
Hypera SA* | 8,900 | 43,065 | ||||||
Ilyang Pharmaceutical Co. Ltd. | 231 | 14,474 |
Investments | Shares | Value | ||||||
Pharmaceuticals – (continued) | ||||||||
Ipca Laboratories Ltd. | 752 | $ | 23,472 | |||||
Jiangsu Hengrui Medicine Co. Ltd., Class A | 7,000 | 92,815 | ||||||
Jiangsu Nhwa Pharmaceutical Co. Ltd., Class A | 4,700 | 10,999 | ||||||
Joincare Pharmaceutical Group Industry Co. Ltd., Class A | 4,700 | 10,564 | ||||||
Jubilant Life Sciences Ltd. | 34,953 | 343,575 | ||||||
JW Pharmaceutical Corp. | 230 | 6,243 | ||||||
Kalbe Farma Tbk. PT | 435,900 | 45,453 | ||||||
Komipharm International Co. Ltd.* | 1,425 | 15,698 | ||||||
Livzon Pharmaceutical Group, Inc., Class H | 3,930 | 17,332 | ||||||
Lotus Pharmaceutical Co. Ltd.* | 5,000 | 13,984 | ||||||
Lupin Ltd. | 3,948 | 48,439 | ||||||
Luye Pharma Group Ltd.(a)(b) | 768,000 | 443,676 | ||||||
Mega Lifesciences PCL, NVDR | 5,500 | 6,132 | ||||||
Mezzion Pharma Co. Ltd.* | 198 | 30,833 | ||||||
Natco Pharma Ltd. | 2,480 | 30,132 | ||||||
Oneness Biotech Co. Ltd.* | 3,000 | 30,730 | ||||||
Oscotec, Inc.* | 808 | 29,302 | ||||||
Pfizer Ltd. | 341 | 22,938 | ||||||
Pharmally International Holding Co. Ltd.(c) | 2,564 | 5,074 | ||||||
Piramal Enterprises Ltd. | 2,028 | 34,542 | ||||||
Richter Gedeon Nyrt. | 2,303 | 46,977 | ||||||
Sam Chun Dang Pharm Co. Ltd. | 307 | 14,339 | ||||||
Sanofi India Ltd. | 163 | 17,597 | ||||||
ScinoPharm Taiwan Ltd. | 6,000 | 5,915 | ||||||
Shandong Buchang Pharmaceuticals Co. Ltd., Class A | 4,700 | 16,983 | ||||||
Shanghai Fosun Pharmaceutical Group Co. Ltd., Class A | 4,700 | 38,146 | ||||||
Shanghai Fosun Pharmaceutical Group Co. Ltd., Class H | 8,000 | 32,857 | ||||||
Shin Poong Pharmaceutical Co. Ltd.* | 423 | 46,785 | ||||||
Sihuan Pharmaceutical Holdings Group Ltd.(a) | 1,644,000 | 188,677 | ||||||
Sino Biopharmaceutical Ltd. | 155,999 | 157,310 | ||||||
SSY Group Ltd. | 34,000 | 18,546 | ||||||
Sun Pharmaceutical Industries Ltd. | 17,249 | 108,406 | ||||||
Tonghua Dongbao Pharmaceutical Co. Ltd., Class A | 4,700 | 10,045 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 241 |
Table of Contents
FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Pharmaceuticals – (continued) | ||||||||
Torrent Pharmaceuticals Ltd. | 717 | $ | 24,835 | |||||
United Laboratories International Holdings Ltd. (The) | 14,000 | 11,987 | ||||||
YiChang HEC ChangJiang Pharmaceutical Co. Ltd., Class H(a)(b) | 112,800 | 138,912 | ||||||
Yifan Pharmaceutical Co. Ltd., Class A | 4,700 | 15,930 | ||||||
Yuhan Corp. | 895 | 46,931 | ||||||
Yungjin Pharmaceutical Co. Ltd.* | 1,602 | 10,010 | ||||||
Yunnan Baiyao Group Co. Ltd., Class A | 1,600 | 24,587 | ||||||
Zhangzhou Pientzehuang Pharmaceutical Co. Ltd., Class A | 700 | 23,956 | ||||||
Zhejiang Huahai Pharmaceutical Co. Ltd., Class A | 4,700 | 23,633 | ||||||
Zhejiang Medicine Co. Ltd., Class A | 4,700 | 10,003 | ||||||
Zhejiang NHU Co. Ltd., Class A | 4,700 | 20,378 | ||||||
3,404,368 | ||||||||
Professional Services – 0.0%(d) | ||||||||
51job, Inc., ADR* | 286 | 20,049 | ||||||
Benefit Systems SA* | 33 | 4,637 | ||||||
L&T Technology Services Ltd.(b) | 103 | 2,317 | ||||||
Sporton International, Inc. | 2,386 | 19,019 | ||||||
46,022 | ||||||||
Real Estate Management & Development – 5.1% | ||||||||
8990 Holdings, Inc.* | 40,000 | 6,347 | ||||||
Agile Group Holdings Ltd. | 46,000 | 62,877 | ||||||
Aldar Properties PJSC | 118,075 | 88,078 | ||||||
Arabian Centres Co. Ltd. | 1,662 | 10,716 | ||||||
Ayala Land, Inc. | 79,900 | 54,477 | ||||||
Bangkok Land PCL, NVDR | 3,800,100 | 118,267 | ||||||
Barwa Real Estate Co. | 74,730 | 68,408 | ||||||
Beijing North Star Co. Ltd., Class H | 282,000 | 56,365 | ||||||
BR Malls Participacoes SA* | 15,600 | 22,077 | ||||||
BR Properties SA | 4,577 | 6,882 | ||||||
Bumi Serpong Damai Tbk. PT* | 168,600 | 10,260 | ||||||
C&D International Investment Group Ltd.(a) | 119,000 | 193,043 |
Investments | Shares | Value | ||||||
Real Estate Management & Development – (continued) | ||||||||
Cathay Real Estate Development Co. Ltd. | 221,100 | $ | 147,253 | |||||
Cencosud Shopping SA | 11,704 | 15,453 | ||||||
Central China Real Estate Ltd. | 329,000 | 176,488 | ||||||
Central Pattana PCL, NVDR | 18,800 | 23,223 | ||||||
China Aoyuan Group Ltd. | 47,000 | 44,001 | ||||||
China Dili Group* | 42,600 | 9,778 | ||||||
China Evergrande Group(a) | 63,000 | 125,109 | ||||||
China Fortune Land Development Co. Ltd., Class A | 6,110 | 12,831 | ||||||
China Jinmao Holdings Group Ltd. | 188,000 | 94,790 | ||||||
China Logistics Property Holdings Co. Ltd.*(b) | 59,000 | 30,813 | ||||||
China Merchants Land Ltd. | 658,000 | 95,032 | ||||||
China Merchants Property Operation & Service Co. Ltd., Class A | 4,700 | 17,852 | ||||||
China Merchants Shekou Industrial Zone Holdings Co. Ltd., Class A | 18,800 | 39,451 | ||||||
China Overseas Grand Oceans Group Ltd. | 71,000 | 41,292 | ||||||
China Overseas Land & Investment Ltd. | 121,500 | 303,952 | ||||||
China Overseas Property Holdings Ltd.(a) | 25,000 | 18,085 | ||||||
China Resources Land Ltd. | 97,777 | 397,798 | ||||||
China SCE Group Holdings Ltd. | 734,000 | 314,239 | ||||||
China South City Holdings Ltd. | 1,922,000 | 193,319 | ||||||
China Vanke Co. Ltd., Class A | 28,200 | 115,953 | ||||||
China Vanke Co. Ltd., Class H | 64,200 | 198,689 | ||||||
Chong Hong Construction Co. Ltd. | 2,000 | 5,566 | ||||||
CIFI Holdings Group Co. Ltd. | 127,144 | 87,715 | ||||||
Ciputra Development Tbk. PT | 179,449 | 10,123 | ||||||
Corp. Inmobiliaria Vesta SAB de CV | 2,000 | 3,203 | ||||||
Country Garden Holdings Co. Ltd. | 249,832 | 307,343 | ||||||
DAMAC Properties Dubai Co. PJSC* | 26,553 | 7,880 | ||||||
Dar Al Arkan Real Estate Development Co.* | 8,271 | 17,621 | ||||||
Dexin China Holdings Co. Ltd.*(a)(b) | 376,000 | 148,366 | ||||||
DLF Ltd. | 13,288 | 28,384 |
See Accompanying Notes to the Financial Statements.
242 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Real Estate Management & Development – (continued) | ||||||||
DoubleDragon Properties Corp.* | 342,420 | $ | 99,472 | |||||
Echo Investment SA* | 61,758 | 58,428 | ||||||
E-House China Enterprise Holdings Ltd.(b) | 285,600 | 291,314 | ||||||
Emaar Development PJSC* | 39,052 | 24,240 | ||||||
Emaar Economic City* | 7,389 | 17,535 | ||||||
Emaar Malls PJSC* | 46,896 | 18,895 | ||||||
Emaar Misr for Development SAE* | 263,780 | 38,643 | ||||||
Emaar Properties PJSC* | 130,425 | 94,805 | ||||||
Fantasia Holdings Group Co. Ltd.*(a) | 634,500 | 119,457 | ||||||
Farglory Land Development Co. Ltd. | 6,000 | 9,230 | ||||||
Gemdale Corp., Class A | 14,100 | 28,094 | ||||||
Gemdale Properties & Investment Corp. Ltd. | 186,000 | 28,782 | ||||||
Globe Trade Centre SA* | 103 | 141 | ||||||
Godrej Properties Ltd.* | 1,507 | 21,036 | ||||||
Greenland Holdings Corp. Ltd., Class A | 28,200 | 26,053 | ||||||
Greenland Hong Kong Holdings Ltd. | 376,000 | 121,699 | ||||||
Greentown China Holdings Ltd. | 26,500 | 42,852 | ||||||
Guangzhou R&F Properties Co. Ltd., Class H(a) | 582,800 | 738,002 | ||||||
Guorui Properties Ltd.(b) | 423,000 | 46,365 | ||||||
Hanson International Tbk. PT*‡(c) | 2,409,275 | 6,178 | ||||||
Highwealth Construction Corp. | 16,500 | 23,939 | ||||||
Hopson Development Holdings Ltd. | 22,000 | 56,171 | ||||||
Huang Hsiang Construction Corp. | 15,000 | 20,295 | ||||||
Hung Sheng Construction Ltd.* | 192,600 | 115,142 | ||||||
IOI Properties Group Bhd. | 52,800 | 10,928 | ||||||
Jiangsu Zhongnan Construction Group Co. Ltd., Class A | 14,100 | 18,982 | ||||||
Jiayuan International Group Ltd. | 587,243 | 250,653 | ||||||
Jinke Properties Group Co. Ltd., Class A | 14,100 | 16,309 | ||||||
Joy City Property Ltd. | 1,566,000 | 95,921 | ||||||
Kaisa Group Holdings Ltd. | 94,000 | 43,637 | ||||||
Kindom Development Co. Ltd. | 156,000 | 189,795 | ||||||
Korea Real Estate Investment & Trust Co. Ltd. | 65,585 | 103,750 |
Investments | Shares | Value | ||||||
Real Estate Management & Development – (continued) | ||||||||
KWG Group Holdings Ltd. | 47,000 | $ | 62,062 | |||||
KWG Living Group Holdings Ltd.*(a)(b) | 23,500 | 18,425 | ||||||
LAMDA Development SA* | 1,368 | 8,047 | ||||||
Logan Group Co. Ltd. | 29,000 | 45,324 | ||||||
Longfor Group Holdings Ltd.(b) | 54,500 | 297,630 | ||||||
LSR Group PJSC | 22,147 | 253,435 | ||||||
LVGEM China Real Estate Investment Co. Ltd. | 564,000 | 180,367 | ||||||
MAS Real Estate, Inc. | 190,484 | 119,575 | ||||||
MBK PCL, NVDR | 299,800 | 103,885 | ||||||
Megaworld Corp.* | 444,200 | 27,808 | ||||||
Midea Real Estate Holding Ltd.(b) | 14,000 | 31,521 | ||||||
Mingfa Group International Co. Ltd.*‡(c) | 36,000 | — | ||||||
Multiplan Empreendimentos Imobiliarios SA* | 500 | 1,645 | ||||||
NEPI Rockcastle plc | 13,871 | 49,146 | ||||||
Oberoi Realty Ltd.* | 4,021 | 24,045 | ||||||
OSK Holdings Bhd. | 377,400 | 67,669 | ||||||
Pakuwon Jati Tbk. PT* | 534,400 | 15,128 | ||||||
Parque Arauco SA | 15,651 | 20,060 | ||||||
Phoenix Mills Ltd. (The)* | 1,316 | 10,232 | ||||||
Poly Developments and Holdings Group Co. Ltd., Class A | 32,900 | 75,422 | ||||||
Poly Property Group Co. Ltd. | 893,000 | 256,793 | ||||||
Poly Property Services Co. Ltd.(a)(b) | 2,400 | 17,254 | ||||||
Powerlong Real Estate Holdings Ltd. | 41,000 | 27,545 | ||||||
Prestige Estates Projects Ltd. | 652 | 2,205 | ||||||
Pruksa Holding PCL, NVDR | 279,700 | 87,946 | ||||||
Quality Houses PCL, NVDR | 2,034,600 | 135,781 | ||||||
Redco Properties Group Ltd.(a)(b) | 26,000 | 11,500 | ||||||
Redsun Properties Group Ltd. | 412,000 | 149,290 | ||||||
RiseSun Real Estate Development Co. Ltd., Class A | 9,400 | 9,863 | ||||||
Road King Infrastructure Ltd.(a) | 106,000 | 125,754 | ||||||
Robinsons Land Corp. | 56,106 | 17,388 | ||||||
Ronshine China Holdings Ltd.*(a)(b) | 250,000 | 169,894 | ||||||
Ruentex Development Co. Ltd. | 39,600 | 54,686 | ||||||
Sakura Development Co. Ltd. | 83,591 | 87,672 | ||||||
Seazen Group Ltd.* | 80,000 | 59,834 | ||||||
Seazen Holdings Co. Ltd., Class A | 4,700 | 22,805 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 243 |
Table of Contents
FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Real Estate Management & Development – (continued) | ||||||||
Shanghai Industrial Urban Development Group Ltd. | 36,600 | $ | 3,398 | |||||
Shanghai Lingang Holdings Corp. Ltd., Class A | 4,700 | 15,888 | ||||||
Shanghai Lujiazui Finance & Trade Zone Development Co. Ltd., Class B | 17,540 | 14,418 | ||||||
Shanghai Shimao Co. Ltd., Class A | 18,800 | 16,246 | ||||||
Shanghai Zhangjiang High-Tech Park Development Co. Ltd., Class A | 4,700 | 13,265 | ||||||
Shenzhen Investment Ltd. | 99,930 | 30,411 | ||||||
Shimao Group Holdings Ltd. | 39,000 | 137,546 | ||||||
Shoucheng Holdings Ltd. | 30,400 | 10,898 | ||||||
Shui On Land Ltd. | 1,460,500 | 192,100 | ||||||
Sichuan Languang Development Co. Ltd., Class A | 14,100 | 10,375 | ||||||
Sime Darby Property Bhd. | 73,800 | 9,591 | ||||||
Sinic Holdings Group Co. Ltd., Class H(a)(b) | 282,000 | 151,639 | ||||||
Sino-Ocean Group Holding Ltd. | 81,267 | 15,510 | ||||||
SK D&D Co. Ltd. | 3,317 | 119,122 | ||||||
Skyfame Realty Holdings Ltd. | 1,410,000 | 185,458 | ||||||
SM Prime Holdings, Inc. | 192,700 | 134,173 | ||||||
SOHO China Ltd.*(a) | 48,500 | 12,946 | ||||||
SP Setia Bhd. Group | 490,294 | 81,421 | ||||||
Sunac China Holdings Ltd. | 85,000 | 313,481 | ||||||
Sunway Bhd. | 50,749 | 16,367 | ||||||
Supalai PCL, NVDR | 29,000 | 14,608 | ||||||
Talaat Moustafa Group | 434,353 | 168,761 | ||||||
Times China Holdings Ltd. | 29,000 | 38,593 | ||||||
UEM Sunrise Bhd.* | 71,900 | 6,403 | ||||||
United Development Co. QSC | 793,783 | 323,312 | ||||||
UOA Development Bhd. | 18,800 | 6,742 | ||||||
Vista Land & Lifescapes, Inc. | 1,134,400 | 78,986 | ||||||
WHA Corp. PCL, NVDR | 113,390 | 8,659 | ||||||
Yango Group Co. Ltd., Class A | 14,100 | 14,436 | ||||||
Yuexiu Property Co. Ltd. | 282,000 | 54,546 | ||||||
Yuzhou Group Holdings Co. Ltd.(a) | 57,102 | 22,017 | ||||||
Zhenro Properties Group Ltd.(b) | 67,000 | 38,620 | ||||||
Zhongliang Holdings Group Co. Ltd.(a)(b) | 38,000 | 25,579 |
Investments | Shares | Value | ||||||
Real Estate Management & Development – (continued) | ||||||||
Zhongtian Financial Group Co. Ltd., Class A* | 28,200 | $ | 12,795 | |||||
Zhuguang Holdings Group Co. Ltd.* | 792,000 | 122,556 | ||||||
11,574,644 | ||||||||
Road & Rail – 0.2% | ||||||||
BTS Group Holdings PCL, NVDR | 103,040 | 29,424 | ||||||
Cia de Locacao das Americas* | 4,500 | 19,620 | ||||||
CJ Logistics Corp.* | 150 | 21,085 | ||||||
Container Corp. of India Ltd. | 4,571 | 24,111 | ||||||
Cosan Logistica SA* | 4,018 | 11,421 | ||||||
Daqin Railway Co. Ltd., Class A | 47,000 | 44,964 | ||||||
Dazhong Transportation Group Co. Ltd., Class B | 286,900 | 90,087 | ||||||
GMexico Transportes SAB de CV(b) | 10,500 | 12,386 | ||||||
Guangshen Railway Co. Ltd., Class A | 32,900 | 11,097 | ||||||
Localiza Rent a Car SA* | 9,250 | 97,345 | ||||||
Rumo SA* | 18,800 | 59,797 | ||||||
421,337 | ||||||||
Semiconductors & Semiconductor Equipment – 3.7% | ||||||||
A-DATA Technology Co. Ltd. | 96,000 | 184,593 | ||||||
Ardentec Corp. | 179,000 | 208,703 | ||||||
ASE Technology Holding Co. Ltd. | 114,000 | 251,885 | ||||||
ASMedia Technology, Inc. | 1,000 | 50,169 | ||||||
Chipbond Technology Corp. | 15,000 | 32,776 | ||||||
DB HiTek Co. Ltd. | 1,176 | 33,113 | ||||||
Elan Microelectronics Corp. | 4,400 | 20,767 | ||||||
Elite Advanced Laser Corp. | 3,960 | 8,764 | ||||||
Elite Semiconductor Microelectronics Technology, Inc. | 12,000 | 17,599 | ||||||
Eo Technics Co. Ltd. | 134 | 10,357 | ||||||
Epistar Corp.* | 17,000 | 19,910 | ||||||
Faraday Technology Corp. | 6,000 | 8,737 | ||||||
GemVax & Kael Co. Ltd.* | 920 | 17,351 | ||||||
Gigadevice Semiconductor Beijing, Inc., Class A | 800 | 23,247 | ||||||
Global Unichip Corp. | 2,000 | 18,110 | ||||||
Globalwafers Co. Ltd. | 3,000 | 43,526 | ||||||
Greatek Electronics, Inc. | 13,000 | 22,611 | ||||||
Holtek Semiconductor, Inc. | 1,000 | 2,465 |
See Accompanying Notes to the Financial Statements.
244 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Semiconductors & Semiconductor Equipment – (continued) | ||||||||
Hua Hong Semiconductor Ltd.*(b) | 11,000 | $ | 40,355 | |||||
King Yuan Electronics Co. Ltd. | 19,000 | 19,894 | ||||||
LandMark Optoelectronics Corp. | 2,000 | 18,529 | ||||||
LEENO Industrial, Inc. | 180 | 19,274 | ||||||
LONGi Green Energy Technology Co. Ltd., Class A | 4,700 | 53,305 | ||||||
Machvision, Inc. | 1,039 | 10,280 | ||||||
Macronix International | 37,000 | 41,394 | ||||||
MediaTek, Inc. | 25,000 | 592,585 | ||||||
MLS Co. Ltd., Class A | 1,100 | 1,995 | ||||||
Nanya Technology Corp. | 21,000 | 42,435 | ||||||
NAURA Technology Group Co. Ltd., Class A | 900 | 22,969 | ||||||
Novatek Microelectronics Corp. | 10,000 | 93,345 | ||||||
Parade Technologies Ltd. | 1,400 | 53,350 | ||||||
Phison Electronics Corp. | 3,000 | 31,098 | ||||||
Pixart Imaging, Inc. | 1,000 | 5,943 | ||||||
Powertech Technology, Inc. | 21,000 | 61,964 | ||||||
Radiant Opto-Electronics Corp. | 14,330 | 56,361 | ||||||
Realtek Semiconductor Corp. | 7,070 | 87,870 | ||||||
Sanan Optoelectronics Co. Ltd., Class A | 9,400 | 31,187 | ||||||
Semiconductor Manufacturing International Corp.* | 66,500 | 195,088 | ||||||
Seoul Semiconductor Co. Ltd. | 1,370 | 21,069 | ||||||
Shenzhen Goodix Technology Co. Ltd., Class A | 900 | 23,077 | ||||||
Sigurd Microelectronics Corp. | 12,552 | 16,544 | ||||||
Silergy Corp. | 1,000 | 61,531 | ||||||
Silicon Works Co. Ltd. | 416 | 16,681 | ||||||
Sino-American Silicon Products, Inc. | 17,000 | 59,196 | ||||||
Sitronix Technology Corp. | 5,000 | 22,025 | ||||||
SK Hynix, Inc. | 8,460 | 595,712 | ||||||
Taiwan Semiconductor Manufacturing Co. Ltd. | 301,000 | 4,546,017 | ||||||
Tianjin Zhonghuan Semiconductor Co. Ltd., Class A | 4,700 | 16,372 | ||||||
Tokai Carbon Korea Co. Ltd. | 86 | 7,003 | ||||||
TongFu Microelectronics Co. Ltd., Class A* | 4,700 | 17,474 | ||||||
Unigroup Guoxin Microelectronics Co. Ltd., Class A | 1,300 | 20,823 |
Investments | Shares | Value | ||||||
Semiconductors & Semiconductor Equipment – (continued) | ||||||||
United Microelectronics Corp. | 188,000 | $ | 201,779 | |||||
United Renewable Energy Co. Ltd.* | 44,003 | 23,306 | ||||||
Vanguard International Semiconductor Corp. | 13,000 | 42,358 | ||||||
Visual Photonics Epitaxy Co. Ltd. | 6,000 | 16,907 | ||||||
Wafer Works Corp. | 16,798 | 18,587 | ||||||
Will Semiconductor Ltd., Class A | 800 | 23,643 | ||||||
Win Semiconductors Corp. | 6,961 | 75,685 | ||||||
Winbond Electronics Corp. | 52,000 | 30,814 | ||||||
WONIK IPS Co. Ltd.* | 824 | 23,274 | ||||||
XinTec, Inc.* | 6,000 | 25,172 | ||||||
Xinyi Solar Holdings Ltd.(a) | 54,457 | 99,015 | ||||||
8,457,968 | ||||||||
Software – 0.2% | ||||||||
Ahnlab, Inc. | 190 | 10,532 | ||||||
Asseco Poland SA | 2,144 | 34,672 | ||||||
China Youzan Ltd.* | 232,000 | 54,748 | ||||||
Douzone Bizon Co. Ltd. | 214 | 18,803 | ||||||
Glodon Co. Ltd., Class A | 2,000 | 21,184 | ||||||
Hundsun Technologies, Inc., Class A | 1,400 | 19,420 | ||||||
Iflytek Co. Ltd., Class A | 4,700 | 26,684 | ||||||
Kingdee International Software Group Co. Ltd.* | 35,000 | 91,846 | ||||||
Kingsoft Corp. Ltd. | 16,000 | 85,417 | ||||||
Linx SA | 3,300 | 20,541 | ||||||
Oracle Financial Services Software Ltd. | 632 | 26,809 | ||||||
Shanghai Baosight Software Co. Ltd., Class A | 2,000 | 18,964 | ||||||
Shanghai Baosight Software Co. Ltd., Class B | 6,100 | 23,772 | ||||||
TOTVS SA | 9,500 | 44,485 | ||||||
Weimob, Inc.*(b) | 25,000 | 31,980 | ||||||
Yonyou Network Technology Co. Ltd., Class A | 4,700 | 30,268 | ||||||
560,125 | ||||||||
Specialty Retail – 1.6% | ||||||||
Ace Hardware Indonesia Tbk. PT | 206,000 | 22,044 | ||||||
Bermaz Auto Bhd. | 447,900 | 125,046 | ||||||
China Harmony Auto Holding Ltd.(a) | 338,000 | 132,500 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 245 |
Table of Contents
FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Specialty Retail – (continued) | ||||||||
China Meidong Auto Holdings Ltd. | 8,000 | $ | 32,651 | |||||
China Tourism Group Duty Free Corp. Ltd., Class A | 2,500 | 74,401 | ||||||
China Yongda Automobiles Services Holdings Ltd. | 617,500 | 872,718 | ||||||
Detsky Mir PJSC(b) | 330,956 | 457,999 | ||||||
Foschini Group Ltd. (The) | 148,442 | 785,935 | ||||||
GOME Retail Holdings Ltd.*(a) | 254,447 | 28,218 | ||||||
Home Product Center PCL, NVDR | 63,300 | 28,433 | ||||||
Hotai Motor Co. Ltd. | 6,000 | 126,278 | ||||||
Hotel Shilla Co. Ltd. | 396 | 25,895 | ||||||
Italtile Ltd. | 10,931 | 8,779 | ||||||
Jarir Marketing Co. | 839 | 38,748 | ||||||
JUMBO SA | 2,397 | 33,506 | ||||||
LOTTE Himart Co. Ltd. | 3,942 | 106,306 | ||||||
M.Video PJSC | 8,862 | 75,868 | ||||||
Mr Price Group Ltd. | 4,982 | 37,673 | ||||||
Padini Holdings Bhd. | 17,200 | 8,610 | ||||||
Petrobras Distribuidora SA | 9,400 | 31,268 | ||||||
Pou Sheng International Holdings Ltd.* | 97,000 | 22,140 | ||||||
PTG Energy PCL, NVDR | 26,300 | 16,033 | ||||||
Shanghai Yuyuan Tourist Mart Group Co. Ltd. | 18,800 | 24,411 | ||||||
Shinsegae International, Inc. | 81 | 10,101 | ||||||
Siam Global House PCL, NVDR | 15,900 | 8,111 | ||||||
Suning.com Co. Ltd., Class A | 23,500 | 33,986 | ||||||
Topsports International Holdings Ltd.(b) | 20,000 | 27,338 | ||||||
Truworths International Ltd. | 198,583 | 382,164 | ||||||
Via Varejo S/A* | 22,800 | 67,854 | ||||||
Zhongsheng Group Holdings Ltd.(a) | 9,000 | 63,947 | ||||||
3,708,961 | ||||||||
Technology Hardware, Storage & Peripherals – 5.7% | ||||||||
Acer, Inc.* | 63,858 | 53,246 | ||||||
Advantech Co. Ltd. | 7,941 | 80,233 | ||||||
Asustek Computer, Inc. | 24,000 | 203,472 | ||||||
Catcher Technology Co. Ltd. | 24,000 | 151,450 | ||||||
Chicony Electronics Co. Ltd. | 15,992 | 48,138 | ||||||
Compal Electronics, Inc. | 141,000 | 91,688 | ||||||
Darfon Electronics Corp. | 94,000 | 129,974 |
Investments | Shares | Value | ||||||
Technology Hardware, Storage & Peripherals – (continued) | ||||||||
Dawning Information Industry Co. Ltd., Class A | 1,200 | $ | 6,408 | |||||
Getac Technology Corp. | 3,000 | 4,930 | ||||||
Gigabyte Technology Co. Ltd. | 20,000 | 50,204 | ||||||
HTC Corp.* | 9,000 | 9,030 | ||||||
Innodisk Corp. | 2,733 | 14,284 | ||||||
Inventec Corp. | 90,000 | 71,110 | ||||||
King Slide Works Co. Ltd. | 2,000 | 20,137 | ||||||
Legend Holdings Corp., Class H(a)(b) | 267,700 | 360,392 | ||||||
Lenovo Group Ltd. | 212,000 | 132,588 | ||||||
Lite-On Technology Corp. | 75,000 | 122,057 | ||||||
Micro-Star International Co. Ltd. | 13,000 | 52,266 | ||||||
Mitac Holdings Corp. | 33,600 | 33,126 | ||||||
Ninestar Corp., Class A | 4,700 | 20,448 | ||||||
Pegatron Corp. | 73,000 | 156,956 | ||||||
Primax Electronics Ltd. | 188,000 | 291,825 | ||||||
Qisda Corp. | 55,000 | 35,957 | ||||||
Quanta Computer, Inc. | 47,000 | 118,307 | ||||||
Samsung Electronics Co. Ltd. | 174,314 | 8,694,961 | ||||||
Samsung Electronics Co. Ltd. (Preference) | 27,918 | 1,232,653 | ||||||
Shenzhen Kaifa Technology Co. Ltd., Class A | 4,700 | 14,864 | ||||||
Transcend Information, Inc.* | 7,000 | 15,589 | ||||||
Wistron Corp. | 94,000 | 93,660 | ||||||
Wiwynn Corp. | 2,000 | 50,833 | ||||||
Xiaomi Corp., Class B*(b) | 213,400 | 605,402 | ||||||
12,966,188 | ||||||||
Textiles, Apparel & Luxury Goods – 0.9% | ||||||||
Aditya Birla Fashion and Retail Ltd.* | 6,536 | 13,520 | ||||||
Alpargatas SA (Preference) | 875 | 6,149 | ||||||
ANTA Sports Products Ltd. | 15,000 | 164,994 | ||||||
Arezzo Industria e Comercio SA | 1,600 | 16,733 | ||||||
Bata India Ltd. | 122 | 2,160 | ||||||
Bosideng International Holdings Ltd.(a) | 40,000 | 17,486 | ||||||
CCC SA* | 1,067 | 10,431 | ||||||
China Lilang Ltd. | 215,000 | 135,850 | ||||||
Eclat Textile Co. Ltd. | 2,698 | 35,702 | ||||||
F&F Co. Ltd. | 206 | 16,503 | ||||||
Feng TAY Enterprise Co. Ltd. | 10,600 | 64,111 | ||||||
FF Group*‡(c) | 3,536 | — |
See Accompanying Notes to the Financial Statements.
246 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Textiles, Apparel & Luxury Goods – (continued) | ||||||||
Fila Holdings Corp. | 1,143 | $ | 38,580 | |||||
Formosa Taffeta Co. Ltd. | 10,000 | 10,925 | ||||||
Fuguiniao Group Ltd.*‡(c) | 334,800 | — | ||||||
Grendene SA | 8,264 | 11,494 | ||||||
Guararapes Confeccoes SA* | 2,400 | 5,669 | ||||||
Handsome Co. Ltd. | 6,066 | 148,883 | ||||||
Hansae Co. Ltd. | 9,315 | 145,303 | ||||||
HS Industries Co. Ltd. | 13,298 | 82,505 | ||||||
Hwaseung Enterprise Co. Ltd. | 331 | 3,763 | ||||||
Hyosung TNC Co. Ltd. | 940 | 118,463 | ||||||
Lao Feng Xiang Co. Ltd., Class B | 2,500 | 7,415 | ||||||
Li Ning Co. Ltd. | 29,500 | 152,163 | ||||||
LPP SA* | 24 | 31,728 | ||||||
Makalot Industrial Co. Ltd. | 2,032 | 13,462 | ||||||
Nan Liu Enterprise Co. Ltd. | 2,000 | 16,222 | ||||||
Page Industries Ltd. | 130 | 35,210 | ||||||
Pou Chen Corp. | 94,000 | 82,815 | ||||||
Quang Viet Enterprise Co. Ltd. | 4,000 | 14,684 | ||||||
Rajesh Exports Ltd.* | 3,055 | 19,031 | ||||||
Ruentex Industries Ltd. | 15,800 | 36,568 | ||||||
Shenzhou International Group Holdings Ltd. | 11,900 | 205,473 | ||||||
Tainan Spinning Co. Ltd. | 48,555 | 20,879 | ||||||
Taiwan Paiho Ltd. | 7,000 | 17,327 | ||||||
Titan Co. Ltd. | 5,734 | 90,199 | ||||||
Xtep International Holdings Ltd.(a) | 552,134 | 185,828 | ||||||
Youngone Corp. | 890 | 22,275 | ||||||
Youngone Holdings Co. Ltd. | 2,316 | 72,662 | ||||||
2,073,165 | ||||||||
Thrifts & Mortgage Finance – 0.5% | ||||||||
Aavas Financiers Ltd.* | 611 | 11,801 | ||||||
Housing Development Finance Corp. Ltd. | 27,777 | 720,986 | ||||||
Indiabulls Housing Finance Ltd. | 142,543 | 269,285 | ||||||
LIC Housing Finance Ltd. | 9,611 | 36,696 | ||||||
Sangsangin Co. Ltd. | 17,487 | 89,847 | ||||||
1,128,615 | ||||||||
Tobacco – 0.2% | ||||||||
British American Tobacco Malaysia Bhd. | 5,900 | 14,342 | ||||||
Eastern Co. SAE | 29,100 | 22,186 | ||||||
Gudang Garam Tbk. PT* | 14,900 | 41,746 |
Investments | Shares | Value | ||||||
Tobacco – (continued) | ||||||||
ITC Ltd. | 49,491 | $ | 110,358 | |||||
KT&G Corp. | 4,322 | 308,524 | ||||||
497,156 | ||||||||
Trading Companies & Distributors – 0.4% | ||||||||
Adani Enterprises Ltd. | 3,355 | 15,379 | ||||||
AKR Corporindo Tbk. PT | 71,700 | 13,139 | ||||||
Barloworld Ltd. | 90,028 | 314,984 | ||||||
BOC Aviation Ltd.(a)(b) | 6,800 | 41,958 | ||||||
Bohai Leasing Co. Ltd., Class A* | 32,900 | 12,472 | ||||||
Brighton-Best International Taiwan, Inc.* | 16,000 | 14,264 | ||||||
COSCO SHIPPING Development Co. Ltd., Class A | 37,600 | 11,728 | ||||||
LG International Corp. | 13,160 | 179,186 | ||||||
Posco International Corp. | 2,165 | 25,376 | ||||||
SK Networks Co. Ltd. | 2,415 | 9,652 | ||||||
Xiamen C & D, Inc., Class A | 9,400 | 11,729 | ||||||
Zall Smart Commerce Group Ltd.*(a) | 1,900,000 | 173,956 | ||||||
823,823 | ||||||||
Transportation Infrastructure – 0.8% | ||||||||
Adani Ports & Special Economic Zone Ltd. | 11,142 | 54,103 | ||||||
Airports of Thailand PCL | 54,000 | 89,661 | ||||||
Airports of Thailand PCL, NVDR | 21,200 | 35,200 | ||||||
Bangkok Expressway & Metro PCL, NVDR | 136,300 | 35,860 | ||||||
Beijing Capital International Airport Co. Ltd., Class H | 36,000 | 21,958 | ||||||
CCR SA | 14,100 | 27,290 | ||||||
China Merchants Port Holdings Co. Ltd. | 55,407 | 58,730 | ||||||
COSCO SHIPPING Ports Ltd.(a) | 760,749 | 444,392 | ||||||
EcoRodovias Infraestrutura e Logistica SA* | 4,700 | 8,143 | ||||||
GMR Infrastructure Ltd.* | 48,418 | 15,288 | ||||||
Grupo Aeroportuario del Centro Norte SAB de CV* | 4,105 | 18,467 | ||||||
Grupo Aeroportuario del Pacifico SAB de CV, Class B | 4,700 | 38,994 | ||||||
Grupo Aeroportuario del Sureste SAB de CV, Class B*(a) | 3,280 | 37,771 | ||||||
Guangzhou Baiyun International Airport Co. Ltd., Class A | 4,700 | 8,803 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 247 |
Table of Contents
FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Transportation Infrastructure – (continued) | ||||||||
International Container Terminal Services, Inc. | 18,470 | $ | 43,885 | |||||
Jasa Marga Persero Tbk. PT | 39,723 | 9,669 | ||||||
Jiangsu Expressway Co. Ltd., Class H | 30,000 | 29,981 | ||||||
Malaysia Airports Holdings Bhd. | 27,900 | 28,068 | ||||||
MMC Corp. Bhd. | 408,900 | 70,856 | ||||||
Ningbo Zhoushan Port Co. Ltd., Class A | 23,500 | 12,767 | ||||||
Novorossiysk Commercial Sea Port PJSC | 190,696 | 18,821 | ||||||
Promotora y Operadora de Infraestructura SAB de CV | 2,160 | 14,107 | ||||||
Promotora y Operadora de Infraestructura SAB de CV, Class L | 2,300 | 11,182 | ||||||
Qingdao Port International Co. Ltd., Class H(b) | 47,000 | 26,667 | ||||||
Shanghai International Airport Co. Ltd., Class A | 3,100 | 30,583 | ||||||
Shanghai International Port Group Co. Ltd., Class A | 61,100 | 38,118 | ||||||
Shenzhen Airport Co. Ltd., Class A | 9,400 | 11,196 | ||||||
Shenzhen Expressway Co. Ltd., Class A | 9,400 | 12,262 | ||||||
Shenzhen International Holdings Ltd. | 38,745 | 60,155 | ||||||
Taiwan High Speed Rail Corp. | 48,000 | 50,763 | ||||||
TAV Havalimanlari Holding A/S | 6,386 | 10,505 | ||||||
Westports Holdings Bhd. | 17,500 | 16,426 | ||||||
Zhejiang Expressway Co. Ltd., Class H | 628,000 | 427,583 | ||||||
1,818,254 | ||||||||
Water Utilities – 0.5% | ||||||||
Aguas Andinas SA, Class A | 36,828 | 9,557 | ||||||
Beijing Enterprises Water Group Ltd.* | 210,000 | 79,614 | ||||||
China Water Affairs Group Ltd.(a) | 376,000 | 269,096 | ||||||
Chongqing Water Group Co. Ltd., Class A | 18,800 | 14,647 | ||||||
Cia de Saneamento Basico do Estado de Sao Paulo* | 4,700 | 34,643 |
Investments | Shares | Value | ||||||
Water Utilities – (continued) | ||||||||
Cia de Saneamento do Parana* | 107,104 | $ | 440,044 | |||||
Grandblue Environment Co. Ltd., Class A | 4,700 | 17,523 | ||||||
Guangdong Investment Ltd. | 36,000 | 53,293 | ||||||
Inversiones Aguas Metropolitanas SA | 227,522 | 153,145 | ||||||
Luenmei Quantum Co. Ltd., Class A | 9,400 | 18,519 | ||||||
1,090,081 | ||||||||
Wireless Telecommunication Services – 1.8% | ||||||||
Advanced Info Service PCL, NVDR | 18,000 | 99,623 | ||||||
America Movil SAB de CV, Series L(a) | 374,900 | 227,468 | ||||||
Axiata Group Bhd. | 74,304 | 52,397 | ||||||
Bharti Airtel Ltd. | 39,243 | 229,689 | ||||||
China Mobile Ltd. | 188,000 | 1,143,052 | ||||||
China United Network Communications Ltd., Class A | 18,800 | 13,384 | ||||||
DiGi.Com Bhd. | 61,100 | 55,439 | ||||||
Empresa Nacional de Telecomunicaciones SA | 1,467 | 8,261 | ||||||
Etihad Etisalat Co.* | 5,160 | 38,525 | ||||||
Far EasTone Telecommunications Co. Ltd. | 30,000 | 62,929 | ||||||
Globe Telecom, Inc. | 580 | 24,326 | ||||||
Indosat Tbk. PT* | 417,600 | 57,393 | ||||||
Intouch Holdings PCL, NVDR | 23,500 | 40,338 | ||||||
Maxis Bhd. | 32,900 | 38,007 | ||||||
Mobile Telecommunications Co. Saudi Arabia* | 13,386 | 43,974 | ||||||
Mobile TeleSystems PJSC | 26,796 | 104,841 | ||||||
MTN Group Ltd. | 54,191 | 192,735 | ||||||
PLAY Communications SA(b) | 5,507 | 53,879 | ||||||
PLDT, Inc. | 2,960 | 81,217 | ||||||
Sistema PJSFC | 1,469,443 | 466,950 | ||||||
SK Telecom Co. Ltd. | 1,343 | 253,285 | ||||||
Taiwan Mobile Co. Ltd. | 30,000 | 102,470 | ||||||
TIM SA* | 14,100 | 28,978 | ||||||
Total Access Communication PCL, NVDR | 15,200 | 14,996 | ||||||
Turkcell Iletisim Hizmetleri A/S* | 36,425 | 63,439 | ||||||
Vodacom Group Ltd. | 10,340 | 77,973 | ||||||
Vodafone Idea Ltd.* | 3,524,849 | 416,185 |
See Accompanying Notes to the Financial Statements.
248 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Wireless Telecommunication Services – (continued) | ||||||||
XL Axiata Tbk. PT | 149,675 | $ | 20,775 | |||||
4,012,528 | ||||||||
Total Common Stocks (Cost $196,134,681) | 222,741,581 | |||||||
Principal Amount | ||||||||
CORPORATE BONDS – 0.0%(d) | ||||||||
Food Products – 0.0%(d) | ||||||||
Britannia Industries Ltd. | ||||||||
8.00%, 8/28/2022 | INR 2,231 | 32 | ||||||
Independent Power and Renewable Electricity Producers – 0.0%(d) | ||||||||
NTPC Ltd. |
| |||||||
Series 54, 8.49%, 3/25/2025 | INR 49,126 | 9,731 | ||||||
Total Corporate Bonds (Cost $31) |
| 9,763 | ||||||
Number of Rights | ||||||||
RIGHTS – 0.0%(d) | ||||||||
Electrical Equipment – 0.0%(d) | ||||||||
Doosan Fuel Cell Co. Ltd., expiring 12/8/2020, price 33,600.00 KRW*(c) | 79 | 550 | ||||||
Doosan Heavy Industries & Construction Co. Ltd., expiring 12/4/2020, price 9,640.00 KRW*(c) | 1,644 | 5,955 | ||||||
6,505 | ||||||||
Independent Power and Renewable Electricity Producers – 0.0% | ||||||||
BCPG PCL, expiring 11/9/2020, price 11.50 THB*‡(c) | 200 | — |
Investments | Number of Rights | Value | ||||||
Real Estate Management & Development – 0.0% | ||||||||
Jiayuan International Group Ltd., expiring 1/31/2021*‡(c) | 7,161 | $ | — | |||||
Technology Hardware, Storage & Peripherals – 0.0% | ||||||||
Legend Holdings Corp., expiring 12/31/2020*‡(c) | 4,192 | — | ||||||
Total Rights (Cost $—) |
| 6,505 | ||||||
Number of Warrants | ||||||||
WARRANTS – 0.0%(d) | ||||||||
Real Estate Management & Development – 0.0%(d) | ||||||||
MBK PCL, expiring 12/31/2023, price 3.00 THB*(c) | 11,992 | 3,001 | ||||||
Principal Amount | ||||||||
SECURITIES LENDING REINVESTMENTS(e) – 0.8% | ||||||||
REPURCHASE AGREEMENTS – 0.8% | ||||||||
Citigroup Global Markets Ltd., 0.11%, dated 10/30/2020, due 11/2/2020, repurchase price $300,003, collateralized by various U.S. Treasury Securities, ranging from 0.50% –1.88%, maturing 11/30/2021 –3/15/2023; Foreign Government Fixed Income Securities, ranging from 0.25% – 0.50%, maturing 11/15/2023 –12/15/2025; total market value $304,261 | $ | 300,000 | 300,000 | |||||
Citigroup Global Markets, Inc., 0.07%, dated 10/30/2020, due 11/2/2020, repurchase price $350,630, collateralized by various U.S. Treasury Securities, ranging from 2.63% – 5.50%, maturing 8/15/2028 – 4/15/2029; total market value $356,770 | 350,628 | 350,628 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 249 |
Table of Contents
FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund (cont.)
Investments | Principal Amount | Value | ||||||
SECURITIES LENDING REINVESTMENTS(e) – (continued) | ||||||||
REPURCHASE AGREEMENTS – (continued) | ||||||||
Deutsche Bank AG, London Branch, 0.20%, dated 10/30/2020, due 11/2/2020, repurchase price $500,008, collateralized by various Foreign Government Fixed Income Securities, ranging from 0.25% – 0.50%, maturing 10/19/2023 –10/28/2025; total market value $509,783 | $ | 500,000 | $ | 500,000 | ||||
Societe Generale, 0.18%, dated 10/30/2020, due 11/2/2020, repurchase price $600,009, collateralized by various Common Stocks; total market value $660,434 | 600,000 | 600,000 | ||||||
1,750,628 | ||||||||
Total Securities Lending Reinvestments (Cost $1,750,628) |
| 1,750,628 | ||||||
Total Investments – 99.4% (Cost $197,885,340) |
| 224,511,478 | ||||||
Other assets less liabilities – 0.6% |
| 1,335,324 | ||||||
NET ASSETS – 100.0% |
| $ | 225,846,802 |
* | Non-income producing security. |
^ | Security subject to restrictions on resale. |
‡ | Value determined using significant unobservable inputs. |
(a) | The security or a portion of this security is on loan at October 31, 2020. The total value of securities on loan at October 31, 2020 was $8,317,509, collateralized in the form of cash with a value of $1,750,628 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Investments; $1,901,357 of collateral in the form of U.S. Government |
Treasury Securities, interest rates ranging from 0.00% – 8.00%, and maturity dates ranging from November 5, 2020 – May 15, 2050 and $5,285,271 of collateral in the form of Foreign Government Fixed Income Securities, interest rates ranging from 0.00% – 7.50%, and maturity dates ranging from January 22, 2021 – September 20, 2117; a total value of $8,937,256. |
(b) | Security exempt from registration pursuant to Regulation S under the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale. |
(c) | Security fair valued as of October 31, 2020 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at October 31, 2020 amounted to $203,558, which represents approximately 0.09% of net assets of the Fund. |
(d) | Represents less than 0.05% of net assets. |
(e) | The security was purchased with cash collateral held from securities on loan at October 31, 2020. The total value of securities purchased was $1,750,628. |
Percentages shown are based on Net Assets.
Abbreviations
ADR – American Depositary Receipt
GDR – Global Depositary Receipt
INR – Indian Rupee
KRW – Korean Won
NVDR – Non-Voting Depositary Receipt
OJSC – Open Joint Stock Company
PJSC – Public Joint Stock Company
Preference – A special type of equity investment that shares in the earnings of the company, has limited voting rights, and may have a dividend preference. Preference shares may also have liquidation preference.
SCA – Limited partnership with share capital
THB – Thai Baht
As of October 31, 2020, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments (including derivative instruments, if applicable) for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 54,434,646 | ||
Aggregate gross unrealized depreciation | (31,344,410 | ) | ||
Net unrealized appreciation | $ | 23,090,236 | ||
Federal income tax cost | $ | 201,488,327 |
See Accompanying Notes to the Financial Statements.
250 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund (cont.)
Futures Contracts
FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund had the following open futures contracts as of October 31, 2020:
Number of Contracts | Expiration Date | Trading Currency | Notional Amount | Value and Unrealized | ||||||||||||||||
Long Contracts |
| |||||||||||||||||||
MSCI Emerging Markets E-Mini Index | 59 | 12/18/2020 | USD | $ | 3,250,605 | $ | 54,869 |
* | This amount represents the cumulative appreciation/depreciation on futures contracts. Current day’s variation margin is reported within the Statement of Assets and Liabilities for futures contracts. |
Forward Foreign Currency Contracts
FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund had the following outstanding contracts as of October 31, 2020:
Contracts to Receive | Counterparty | In Exchange For | Maturity Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
HKD | 4,500,000 | Morgan Stanley | USD | 580,131 | 12/16/2020 | $ | 128 | |||||||||||||||
KRW* | 229,863,410 | Citibank NA | USD | 193,783 | 12/16/2020 | 8,791 | ||||||||||||||||
TWD* | 19,230,000 | Goldman Sachs & Co. | USD | 668,986 | 12/16/2020 | 3,419 | ||||||||||||||||
USD | 112,236 | Goldman Sachs & Co. | BRL* | 599,553 | 12/16/2020 | 8,443 | ||||||||||||||||
USD | 1,099,445 | UBS AG | HKD | 8,526,137 | 12/16/2020 | 30 | ||||||||||||||||
USD | 100,639 | Citibank NA | INR* | 7,400,000 | 12/16/2020 | 1,175 | ||||||||||||||||
USD | 82,987 | Citibank NA | RUB* | 6,343,045 | 12/16/2020 | 3,563 | ||||||||||||||||
USD | 103,506 | Goldman Sachs & Co. | RUB* | 8,020,000 | 12/16/2020 | 3,084 | ||||||||||||||||
Total unrealized appreciation |
| $ | 28,633 | |||||||||||||||||||
INR* | 7,061,500 | Citibank NA | USD | 95,138 | 12/16/2020 | $ | (224 | ) | ||||||||||||||
USD | 193,613 | Toronto-Dominion Bank (The) | KRW* | 225,820,000 | 12/16/2020 | (5,398 | ) | |||||||||||||||
USD | 790,553 | Citibank NA | TWD* | 22,906,120 | 12/16/2020 | (10,393 | ) | |||||||||||||||
USD | 10,006 | Goldman Sachs & Co. | ZAR | 170,000 | 12/17/2020 | (402 | ) | |||||||||||||||
Total unrealized depreciation |
| $ | (16,417 | ) | ||||||||||||||||||
Net unrealized appreciation |
| $ | 12,216 |
* | Non-deliverable forward. See Note 2 in the Notes to Financial Statements. |
Abbreviations:
BRL – Brazilian Real
HKD – Hong Kong Dollar
INR – Indian Rupee
KRW – Korean Won
RUB – Russian Ruble
TWD – Taiwan Dollar
USD – US Dollar
ZAR – South African Rand
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 251 |
Table of Contents
FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund (cont.)
FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund invested, as a percentage of net assets, in companies domiciled in the following countries as of October 31, 2020:
Brazil | 4.5 | % | ||
Chile | 0.8 | |||
China | 35.3 | |||
Colombia | 0.5 | |||
Czech Republic | 0.3 | |||
Egypt | 0.4 | |||
Greece | 0.2 | |||
Hungary | 0.2 | |||
India | 8.2 | |||
Indonesia | 1.7 | |||
Malaysia | 1.8 | |||
Mexico | 1.9 | |||
Pakistan | 0.5 | |||
Peru | 0.2 | |||
Philippines | 1.2 | |||
Poland | 1.2 | |||
Qatar | 1.2 | |||
Russia | 3.3 | |||
Saudi Arabia | 1.3 | |||
South Africa | 4.2 | |||
South Korea | 15.4 | |||
Taiwan | 11.0 | |||
Thailand | 1.7 | |||
Turkey | 0.9 | |||
United Arab Emirates | 0.7 | |||
Other1 | 1.4 | |||
100.0 | % |
1 | Includes any non-equity securities, securities lending reinvestments and net other assets (liabilities). |
See Accompanying Notes to the Financial Statements.
252 | FLEXSHARES ANNUAL REPORT |
Table of Contents
Schedule of Investments
FlexShares® Currency Hedged Morningstar DM ex-US Factor Tilt Index Fund
October 31, 2020
Investments | Shares | Value | ||||||
EXCHANGE TRADED FUNDS – 99.8% | ||||||||
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund(a) | 113,020 | $ | 6,119,717 | |||||
Total Investments – 99.8% (Cost $7,296,293) |
| 6,119,717 | ||||||
Other assets less liabilities – 0.2% |
| 9,599 | ||||||
NET ASSETS – 100.0% |
| $ | 6,129,316 |
(a) | Investment in affiliated Fund. Northern Trust Investments, Inc. is the Investment Adviser to both the Fund and the affiliated Fund. |
Percentages shown are based on Net Assets.
As of October 31, 2020, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments (including derivative instruments, if applicable) for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 24,207 | ||
Aggregate gross unrealized depreciation | (1,223,941 | ) | ||
Net unrealized depreciation | $ | (1,199,734 | ) | |
Federal income tax cost | $ | 7,328,921 |
The FlexShares® Currency Hedged Morningstar DM ex-US Factor Tilt Index Fund currently seeks its investment objective by investing a substantial portion of its assets in an affiliated FlexShares® Fund. The Schedule of Investments of the affiliated FlexShares® Fund is located elsewhere in this Report.
Investment in a company which was affiliated for the period ended October 31, 2020, was as follows:
Security | Value 2019 | Purchases at Cost | Sales Proceeds | Shares 2020 | Value 2020 | Change in Unrealized Appreciation (Depreciation) | Dividend Income | Realized Loss | ||||||||||||||||||||||||
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund | $ | 8,481,240 | $ | 745,976 | $ | 1,815,439 | 113,020 | $ | 6,119,717 | $ | (882,986 | ) | $ | 237,262 | $ | (409,074 | ) |
Forward Foreign Currency Contracts
FlexShares® Currency Hedged Morningstar DM ex-US Factor Tilt Index Fund had the following outstanding contracts as of October 31, 2020:
Contracts to Receive | Counterparty | In Exchange For | Maturity Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
USD | 354,110 | Morgan Stanley | AUD | 500,000 | 11/24/2020 | $ | 2,945 | |||||||||||||||
USD | 575,883 | Morgan Stanley | CAD | 760,000 | 11/24/2020 | 5,848 | ||||||||||||||||
USD | 361,185 | Morgan Stanley | CHF | 330,000 | 11/24/2020 | 918 | ||||||||||||||||
USD | 122,941 | Morgan Stanley | DKK | 780,000 | 11/24/2020 | 846 | ||||||||||||||||
USD | 1,618,461 | Morgan Stanley | EUR | 1,380,000 | 11/24/2020 | 10,224 | ||||||||||||||||
USD | 184,478 | Morgan Stanley | HKD | 1,430,000 | 11/24/2020 | 81 | ||||||||||||||||
USD | 76,986 | Morgan Stanley | ILS | 260,000 | 11/24/2020 | 650 | ||||||||||||||||
USD | 66,263 | Morgan Stanley | NOK | 620,000 | 11/24/2020 | 1,409 | ||||||||||||||||
USD | 244,338 | Morgan Stanley | SEK | 2,160,000 | 11/24/2020 | 1,617 | ||||||||||||||||
USD | 66,246 | Morgan Stanley | SGD | 90,000 | 11/24/2020 | 336 | ||||||||||||||||
Total unrealized appreciation | $ | 24,874 | ||||||||||||||||||||
USD | 840,487 | Morgan Stanley | GBP | 650,000 | 11/24/2020 | $ | (73 | ) | ||||||||||||||
USD | 1,859,461 | Morgan Stanley | JPY | 195,940,000 | 11/24/2020 | (15,309 | ) |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 253 |
Table of Contents
FlexShares® Currency Hedged Morningstar DM ex-US Factor Tilt Index Fund (cont.)
Forward Foreign Currency Contracts(cont.)
Contracts to Receive | Counterparty | In Exchange For | Maturity Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
USD | 33,023 | Morgan Stanley | NZD | 50,000 | 11/24/2020 | $ | (22 | ) | ||||||||||||||
Total unrealized depreciation | $ | (15,404 | ) | |||||||||||||||||||
Net unrealized appreciation | $ | 9,470 |
Abbreviations:
AUD – Australian Dollar
CAD – Canadian Dollar
CHF – Swiss Franc
DKK – Danish Krone
EUR – Euro
GBP – British Pound
HKD – Hong Kong Dollar
ILS – Israeli Shekel
JPY – Japanese Yen
NOK – Norwegian Krone
NZD – New Zealand Dollar
SEK – Swedish Krona
SGD – Singapore Dollar
USD – US Dollar
See Accompanying Notes to the Financial Statements.
254 | FLEXSHARES ANNUAL REPORT |
Table of Contents
Schedule of Investments
FlexShares® Currency Hedged Morningstar EM Factor Tilt Index Fund
October 31, 2020
Investments | Shares | Value | ||||||
EXCHANGE TRADED FUNDS – 98.0% | ||||||||
FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund(a) | 69,705 | $ | 3,331,202 | |||||
Total Investments – 98.0% (Cost $3,834,940) |
| 3,331,202 | ||||||
Other assets less liabilities – 2.0% |
| 68,160 | ||||||
NET ASSETS – 100.0% |
| $ | 3,399,362 |
(a) | Investment in affiliated Fund. Northern Trust Investments, Inc. is the Investment Adviser to both the Fund and the affiliated Fund. |
Percentages shown are based on Net Assets.
As of October 31, 2020, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments (including derivative instruments, if applicable) for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 12,940 | ||
Aggregate gross unrealized depreciation | (526,613 | ) | ||
Net unrealized depreciation | $ | (513,673 | ) | |
Federal income tax cost | $ | 3,850,234 |
The FlexShares® Currency Hedged Morningstar EM Factor Tilt Index Fund currently seeks its investment objective by investing a substantial portion of its assets in an affiliated FlexShares® Fund. The Schedule of Investments of the affiliated FlexShares® Fund is located elsewhere in this Report.
Investment in a company which was affiliated for the period ended October 31, 2020, was as follows:
Security | Value 2019 | Purchases at Cost | Sales Proceeds | Shares 2020 | Value 2020 | Change in Unrealized Appreciation (Depreciation) | Dividend Income | Realized Loss | ||||||||||||||||||||||||
FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund | $ | 5,409,036 | $ | 140,253 | $ | 2,146,129 | 69,705 | $ | 3,331,202 | $ | (53,855 | ) | $ | 118,819 | $ | (18,103 | ) |
Futures Contracts
FlexShares® Currency Hedged Morningstar EM Factor Tilt Index Fund had the following open futures contract as of October 31, 2020:
Number of Contracts | Expiration Date | Trading Currency | Notional Amount | Value and Unrealized Appreciation* | ||||||||||||||||
Long Contracts | ||||||||||||||||||||
MSCI Emerging Markets E-Mini Index | 1 | 12/18/2020 | USD | $ | 55,095 | $ | 618 |
* | This amount represents the cumulative appreciation/depreciation on futures contracts. Current day’s variation margin is reported within the Statement of Assets and Liabilities for futures contracts. |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 255 |
Table of Contents
FlexShares® Currency Hedged Morningstar EM Factor Tilt Index Fund (cont.)
Forward Foreign Currency Contracts
FlexShares® Currency Hedged Morningstar EM Factor Tilt Index Fund had the following outstanding contracts as of October 31, 2020:
Contracts to Receive | Counterparty | In Exchange For | Maturity Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
USD | 168,225 | Citibank NA | BRL* | 950,000 | 11/25/2020 | $ | 3,645 | |||||||||||||||
USD | 11,729 | Morgan Stanley | EUR | 10,000 | 11/25/2020 | 74 | ||||||||||||||||
USD | 959,798 | Morgan Stanley | HKD | 7,440,000 | 11/25/2020 | 417 | ||||||||||||||||
USD | 282,906 | Citibank NA | INR* | 20,830,000 | 11/25/2020 | 2,368 | ||||||||||||||||
USD | 68,191 | Morgan Stanley | MXN | 1,450,000 | 11/25/2020 | 215 | ||||||||||||||||
USD | 65,107 | Goldman Sachs & Co. | MYR* | 270,000 | 11/25/2020 | 185 | ||||||||||||||||
USD | 43,858 | Morgan Stanley | PLN | 170,000 | 11/25/2020 | 966 | ||||||||||||||||
USD | 114,519 | Goldman Sachs & Co. | RUB* | 8,970,000 | 11/25/2020 | 1,921 | ||||||||||||||||
USD | 34,956 | Morgan Stanley | TRY | 280,000 | 11/25/2020 | 1,921 | ||||||||||||||||
USD | 387,339 | JPMorgan Chase Bank | TWD* | 11,050,000 | 11/25/2020 | 998 | ||||||||||||||||
Total unrealized appreciation | $ | 12,710 | ||||||||||||||||||||
USD | 26,415 | Citibank NA | CLP* | 21,030,000 | 11/25/2020 | $ | (749 | ) | ||||||||||||||
USD | 56,576 | Morgan Stanley | IDR* | 836,800,000 | 11/25/2020 | (524 | ) | |||||||||||||||
USD | 549,642 | Toronto-Dominion Bank (The) | KRW* | 627,730,000 | 11/25/2020 | (3,528 | ) | |||||||||||||||
USD | 40,375 | JPMorgan Chase Bank | PHP* | 1,970,000 | 11/25/2020 | (344 | ) | |||||||||||||||
USD | 60,868 | Citibank NA | THB | 1,900,000 | 11/25/2020 | (83 | ) | |||||||||||||||
USD | 147,041 | Morgan Stanley | ZAR | 2,440,000 | 11/25/2020 | (2,741 | ) | |||||||||||||||
Total unrealized depreciation | $ | (7,969 | ) | |||||||||||||||||||
Net unrealized appreciation | $ | 4,741 |
* | Non-deliverable forward. See Note 2 in the Notes to Financial Statements. |
Abbreviations:
BRL – Brazilian Real
CLP – Chilean Peso
EUR – Euro
HKD – Hong Kong Dollar
IDR – Indonesian Rupiah
INR – Indian Rupee
KRW – Korean Won
MXN – Mexican Peso
MYR – Malaysian Ringgit
PHP – Philippine Peso
PLN – Polish Zloty
RUB – Russian Ruble
THB – Thai Baht
TRY – Turkish Lira
TWD – Taiwan Dollar
USD – US Dollar
ZAR – South African Rand
See Accompanying Notes to the Financial Statements.
256 | FLEXSHARES ANNUAL REPORT |
Table of Contents
Schedule of Investments
FlexShares® US Quality Large Cap Index Fund
October 31, 2020
Investments | Shares | Value | ||||||
COMMON STOCKS – 98.9% | ||||||||
Aerospace & Defense – 0.4% | ||||||||
Lockheed Martin Corp. | 729 | $ | 255,245 | |||||
Air Freight & Logistics – 1.1% | ||||||||
CH Robinson Worldwide, Inc.(a) | 4,293 | 379,630 | ||||||
Expeditors International of Washington, Inc. | 4,698 | 415,162 | ||||||
794,792 | ||||||||
Automobiles – 0.3% | ||||||||
Tesla, Inc.*(a) | 600 | 232,824 | ||||||
Banks – 3.8% | ||||||||
Bank of America Corp. | 14,661 | 347,466 | ||||||
Citigroup, Inc. | 23,571 | 976,311 | ||||||
Citizens Financial Group, Inc. | 15,552 | 423,792 | ||||||
M&T Bank Corp. | 2,106 | 218,139 | ||||||
Wells Fargo & Co. | 37,341 | 800,964 | ||||||
2,766,672 | ||||||||
Beverages – 0.6% | ||||||||
Monster Beverage Corp.* | 5,508 | 421,748 | ||||||
Biotechnology – 3.6% | ||||||||
AbbVie, Inc. | 3,564 | 303,330 | ||||||
Alexion Pharmaceuticals, Inc.* | 891 | 102,590 | ||||||
Amgen, Inc. | 5,184 | 1,124,617 | ||||||
Biogen, Inc.* | 1,944 | 490,024 | ||||||
Neurocrine Biosciences, Inc.* | 405 | 39,961 | ||||||
Regeneron Pharmaceuticals, Inc.* | 201 | 109,256 | ||||||
Vertex Pharmaceuticals, Inc.* | 2,025 | 421,929 | ||||||
2,591,707 | ||||||||
Building Products – 1.0% | ||||||||
Masco Corp. | 7,047 | 377,719 | ||||||
Trane Technologies plc | 2,430 | 322,583 | ||||||
700,302 | ||||||||
Capital Markets – 2.0% | ||||||||
Ameriprise Financial, Inc. | 324 | 52,109 | ||||||
Bank of New York Mellon Corp. (The) | 9,639 | 331,196 | ||||||
Morgan Stanley | 22,684 | 1,092,235 | ||||||
1,475,540 |
Investments | Shares | Value | ||||||
Chemicals – 2.2% | ||||||||
Celanese Corp. | 3,240 | $ | 367,772 | |||||
Dow, Inc. | 10,044 | 456,902 | ||||||
Ecolab, Inc. | 486 | 89,225 | ||||||
Sherwin-Williams Co. (The) | 1,010 | 694,860 | ||||||
1,608,759 | ||||||||
Commercial Services & Supplies – 0.1% | ||||||||
Cintas Corp. | 243 | 76,436 | ||||||
Rollins, Inc. | 324 | 18,743 | ||||||
95,179 | ||||||||
Communications Equipment – 1.5% | ||||||||
Cisco Systems, Inc. | 29,322 | 1,052,660 | ||||||
Consumer Finance – 1.8% | ||||||||
American Express Co. | 1,863 | 169,980 | ||||||
Capital One Financial Corp. | 5,994 | 438,042 | ||||||
Discover Financial Services | 5,184 | 337,012 | ||||||
Synchrony Financial | 13,608 | 340,472 | ||||||
1,285,506 | ||||||||
Distributors – 0.6% | ||||||||
Pool Corp. | 1,215 | 425,043 | ||||||
Diversified Financial Services – 1.7% | ||||||||
Berkshire Hathaway, Inc., Class B* | 6,075 | 1,226,543 | ||||||
Diversified Telecommunication Services – 1.2% | ||||||||
AT&T, Inc. | 14,418 | 389,575 | ||||||
Liberty Global plc, Class C* | 567 | 10,580 | ||||||
Verizon Communications, Inc. | 7,776 | 443,154 | ||||||
843,309 | ||||||||
Electric Utilities – 2.2% | ||||||||
Exelon Corp. | 12,231 | 487,895 | ||||||
Pinnacle West Capital Corp. | 4,050 | 330,358 | ||||||
Southern Co. (The) | 12,960 | 744,552 | ||||||
1,562,805 | ||||||||
Electrical Equipment – 0.8% | ||||||||
Eaton Corp. plc | 2,673 | 277,431 | ||||||
Emerson Electric Co. | 891 | 57,728 | ||||||
Rockwell Automation, Inc. | 1,053 | 249,687 | ||||||
584,846 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 257 |
Table of Contents
FlexShares® US Quality Large Cap Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Energy Equipment & Services – 0.8% | ||||||||
Baker Hughes Co.(a) | 24,462 | $ | 361,304 | |||||
Halliburton Co. | 5,994 | 72,287 | ||||||
Schlumberger NV | 8,100 | 121,014 | ||||||
554,605 | ||||||||
Entertainment – 2.3% | ||||||||
Activision Blizzard, Inc. | 9,558 | 723,827 | ||||||
Electronic Arts, Inc.* | 2,268 | 271,775 | ||||||
Spotify Technology SA* | 1,053 | 252,604 | ||||||
Take-Two Interactive Software, Inc.* | 2,430 | 376,456 | ||||||
1,624,662 | ||||||||
Equity Real Estate Investment Trusts (REITs) – 3.1% | ||||||||
American Tower Corp. | 2,997 | 688,261 | ||||||
AvalonBay Communities, Inc. | 2,106 | 293,008 | ||||||
Equity Residential | 6,156 | 289,209 | ||||||
Essex Property Trust, Inc. | 81 | 16,572 | ||||||
Mid-America Apartment Communities, Inc. | 162 | 18,894 | ||||||
Prologis, Inc. | 4,131 | 409,795 | ||||||
Public Storage | 2,106 | 482,421 | ||||||
2,198,160 | ||||||||
Food & Staples Retailing – 0.3% | ||||||||
Walmart, Inc. | 1,377 | 191,059 | ||||||
Food Products – 0.8% | ||||||||
Campbell Soup Co. | 2,673 | 124,749 | �� | |||||
General Mills, Inc. | 2,106 | 124,507 | ||||||
Kraft Heinz Co. (The) | 11,745 | 359,279 | ||||||
608,535 | ||||||||
Health Care Equipment & Supplies – 1.9% | ||||||||
Dentsply Sirona, Inc. | 2,916 | 137,606 | ||||||
IDEXX Laboratories, Inc.* | 972 | 412,925 | ||||||
Medtronic plc | 3,078 | 309,554 | ||||||
Quidel Corp.* | 1,620 | 434,630 | ||||||
ResMed, Inc. | 405 | 77,736 | ||||||
1,372,451 | ||||||||
Health Care Providers & Services – 4.2% | ||||||||
AmerisourceBergen Corp. | 2,997 | 287,922 | ||||||
Anthem, Inc. | 1,053 | 287,258 |
Investments | Shares | Value | ||||||
Health Care Providers & Services – (continued) | ||||||||
Cardinal Health, Inc. | 7,290 | $ | 333,809 | |||||
Cigna Corp. | 1,782 | 297,541 | ||||||
Henry Schein, Inc.* | 3,159 | 200,849 | ||||||
Humana, Inc. | 1,620 | 646,834 | ||||||
McKesson Corp. | 2,754 | 406,187 | ||||||
UnitedHealth Group, Inc. | 1,863 | 568,476 | ||||||
3,028,876 | ||||||||
Health Care Technology – 0.6% | ||||||||
Cerner Corp. | 5,832 | 408,765 | ||||||
Hotels, Restaurants & Leisure – 0.4% | ||||||||
Hilton Worldwide Holdings, Inc. | 3,645 | 320,067 | ||||||
Household Durables – 0.9% | ||||||||
Lennar Corp., Class A | 3,807 | 267,366 | ||||||
PulteGroup, Inc. | 8,829 | 359,870 | ||||||
627,236 | ||||||||
Household Products – 2.9% | ||||||||
Colgate-Palmolive Co. | 7,614 | 600,669 | ||||||
Procter & Gamble Co. (The) | 10,854 | 1,488,083 | ||||||
2,088,752 | ||||||||
Independent Power and Renewable Electricity Producers – 0.4% | ||||||||
Vistra Corp. | 18,063 | 313,754 | ||||||
Industrial Conglomerates – 0.6% | ||||||||
Honeywell International, Inc. | 2,835 | 467,633 | ||||||
Insurance – 1.8% | ||||||||
Allstate Corp. (The) | 4,293 | 381,004 | ||||||
American International Group, Inc. | 5,994 | 188,751 | ||||||
Aon plc, Class A(a) | 1,863 | 342,811 | ||||||
Loews Corp. | 486 | 16,854 | ||||||
MetLife, Inc. | 10,611 | 401,626 | ||||||
1,331,046 | ||||||||
Interactive Media & Services – 5.6% | ||||||||
Alphabet, Inc., Class A* | 693 | 1,119,964 | ||||||
Alphabet, Inc., Class C* | 692 | 1,121,739 | ||||||
Facebook, Inc., Class A* | 6,804 | 1,790,201 | ||||||
4,031,904 |
See Accompanying Notes to the Financial Statements.
258 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® US Quality Large Cap Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Internet & Direct Marketing Retail – 5.1% | ||||||||
Amazon.com, Inc.* | 772 | $ | 2,343,908 | |||||
Booking Holdings, Inc.* | 501 | 812,872 | ||||||
eBay, Inc. | 8,748 | 416,667 | ||||||
Etsy, Inc.* | 567 | 68,942 | ||||||
3,642,389 | ||||||||
IT Services – 3.7% | ||||||||
Cognizant Technology Solutions Corp., Class A | 2,997 | 214,046 | ||||||
FleetCor Technologies, Inc.*(a) | 405 | 89,468 | ||||||
GoDaddy, Inc., Class A* | 1,134 | 80,219 | ||||||
Mastercard, Inc., Class A | 1,053 | 303,938 | ||||||
VeriSign, Inc.* | 1,863 | 355,274 | ||||||
Visa, Inc., Class A(a) | 8,829 | 1,604,318 | ||||||
2,647,263 | ||||||||
Life Sciences Tools & Services – 1.0% | ||||||||
Mettler-Toledo International, Inc.* | 299 | 298,375 | ||||||
Waters Corp.* | 1,782 | 397,065 | ||||||
695,440 | ||||||||
Machinery – 1.1% | ||||||||
Dover Corp. | 324 | 35,870 | ||||||
Illinois Tool Works, Inc. | 3,726 | 729,849 | ||||||
765,719 | ||||||||
Media – 2.1% | ||||||||
Charter Communications, Inc., Class A*(a) | 1,782 | 1,076,007 | ||||||
Comcast Corp., Class A | 5,346 | 225,815 | ||||||
Omnicom Group, Inc. | 5,184 | 244,685 | ||||||
1,546,507 | ||||||||
Multiline Retail – 1.1% | ||||||||
Target Corp. | 5,103 | 776,779 | ||||||
Multi-Utilities – 1.3% | ||||||||
Public Service Enterprise Group, Inc. | 8,100 | 471,015 | ||||||
WEC Energy Group, Inc. | 4,779 | 480,528 | ||||||
951,543 |
Investments | Shares | Value | ||||||
Oil, Gas & Consumable Fuels – 1.6% | ||||||||
Chevron Corp. | 7,857 | $ | 546,062 | |||||
Concho Resources, Inc. | 324 | 13,449 | ||||||
ConocoPhillips | 11,583 | 331,505 | ||||||
Kinder Morgan, Inc. | 20,169 | 240,011 | ||||||
1,131,027 | ||||||||
Pharmaceuticals – 4.6% | ||||||||
Eli Lilly and Co. | 7,533 | 982,755 | ||||||
Johnson & Johnson | 12,555 | 1,721,416 | ||||||
Merck & Co., Inc. | 4,293 | 322,877 | ||||||
Mylan NV* | 13,041 | 189,616 | ||||||
Pfizer, Inc. | 1,701 | 60,351 | ||||||
3,277,015 | ||||||||
Professional Services – 0.2% | ||||||||
TransUnion | 1,701 | 135,502 | ||||||
Road & Rail – 0.4% | ||||||||
Old Dominion Freight Line, Inc. | 1,377 | 262,139 | ||||||
Semiconductors & Semiconductor Equipment – 4.8% | ||||||||
Broadcom, Inc. | 1,215 | 424,800 | ||||||
Intel Corp. | 15,714 | 695,816 | ||||||
KLA Corp. | 486 | 95,830 | ||||||
Lam Research Corp. | 1,782 | 609,587 | ||||||
Qorvo, Inc.* | 243 | 30,948 | ||||||
QUALCOMM, Inc. | 2,106 | 259,796 | ||||||
Texas Instruments, Inc. | 8,991 | 1,300,009 | ||||||
3,416,786 | ||||||||
Software – 10.2% | ||||||||
Adobe, Inc.* | 2,349 | 1,050,238 | ||||||
Check Point Software Technologies Ltd.*(a) | 3,240 | 367,934 | ||||||
Citrix Systems, Inc. | 2,916 | 330,295 | ||||||
Fair Isaac Corp.* | 162 | 63,415 | ||||||
Fortinet, Inc.* | 3,240 | 357,599 | ||||||
Intuit, Inc. | 3,240 | 1,019,563 | ||||||
Microsoft Corp. | 14,499 | 2,935,613 | ||||||
Oracle Corp. | 21,789 | 1,222,581 | ||||||
SS&C Technologies Holdings, Inc. | 243 | 14,390 | ||||||
7,361,628 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 259 |
Table of Contents
FlexShares® US Quality Large Cap Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Specialty Retail – 1.5% | ||||||||
Best Buy Co., Inc. | 1,620 | $ | 180,711 | |||||
Home Depot, Inc. (The) | 2,349 | 626,502 | ||||||
Lowe’s Cos., Inc. | 1,701 | 268,928 | ||||||
1,076,141 | ||||||||
Technology Hardware, Storage & Peripherals – 7.7% | ||||||||
Apple, Inc. | 50,402 | 5,486,761 | ||||||
NetApp, Inc. | 729 | 31,996 | ||||||
5,518,757 | ||||||||
Tobacco – 0.6% | ||||||||
Philip Morris International, Inc. | 6,561 | 465,962 | ||||||
Trading Companies & Distributors – 0.4% | ||||||||
United Rentals, Inc.*(a) | 567 | 101,090 | ||||||
Watsco, Inc. | 81 | 18,155 | ||||||
WW Grainger, Inc. | 523 | 183,061 | ||||||
302,306 | ||||||||
Total Common Stocks (Cost $65,852,244) |
| 71,063,888 | ||||||
Total Investments – 98.9% (Cost $65,852,244) |
| 71,063,888 | ||||||
Other assets less liabilities – 1.1% |
| 778,552 | ||||||
NET ASSETS – 100.0% |
| $ | 71,842,440 |
* | Non-income producing security. |
(a) | The security or a portion of this security is on loan at October 31, 2020. The total value of securities on loan at October 31, 2020 was $4,003,994, collateralized in the form of U.S. Government Treasury Securities, interest rates ranging from 0.00% – 8.00%, and maturity dates ranging from November 5, 2020 – May 15, 2050; a total value of $4,095,655. |
Percentages shown are based on Net Assets.
As of October 31, 2020, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments (including derivative instruments, if applicable) for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 8,837,389 | ||
Aggregate gross unrealized depreciation | (3,651,115 | ) | ||
Net unrealized appreciation | $ | 5,186,274 | ||
Federal income tax cost | $ | 65,864,632 |
Futures Contracts
FlexShares® US Quality Large Cap Index Fund had the following open futures contracts as of October 31, 2020:
Number of Contracts | Expiration Date | Trading Currency | Notional Amount | Value and Unrealized Depreciation* | ||||||||||||||||
Long Contracts |
| |||||||||||||||||||
S&P 500 E-Mini Index | 4 | 12/18/2020 | USD | $ | 652,940 | $ | (12,982 | ) |
* | This amount represents the cumulative appreciation/depreciation on futures contracts. Current day’s variation margin is reported within the Statement of Assets and Liabilities for futures contracts. |
Abbreviations:
USD – US Dollar
See Accompanying Notes to the Financial Statements.
260 | FLEXSHARES ANNUAL REPORT |
Table of Contents
Schedule of Investments
FlexShares® STOXX® US ESG Impact Index Fund
October 31, 2020
Investments | Shares | Value | ||||||
COMMON STOCKS – 99.0% | ||||||||
Aerospace & Defense – 0.0%(a) | ||||||||
Teledyne Technologies, Inc.* | 135 | $ | 41,735 | |||||
Air Freight & Logistics – 0.3% | ||||||||
CH Robinson Worldwide, Inc. | 360 | 31,835 | ||||||
FedEx Corp. | 900 | 233,523 | ||||||
265,358 | ||||||||
Airlines – 0.0%(a) | ||||||||
United Airlines Holdings, Inc.* | 855 | 28,950 | ||||||
Auto Components – 0.0%(a) | ||||||||
BorgWarner, Inc. | 585 | 20,463 | ||||||
Automobiles – 2.2% | ||||||||
General Motors Co. | 8,595 | 296,786 | ||||||
Tesla, Inc.*(b) | 4,230 | 1,641,409 | ||||||
1,938,195 | ||||||||
Banks – 5.2% | ||||||||
Bank of America Corp. | 52,425 | 1,242,473 | ||||||
Citigroup, Inc. | 13,770 | 570,353 | ||||||
Fifth Third Bancorp | 2,835 | 65,829 | ||||||
Huntington Bancshares, Inc. | 3,105 | 32,416 | ||||||
JPMorgan Chase & Co. | 21,240 | 2,082,370 | ||||||
KeyCorp | 7,740 | 100,465 | ||||||
PNC Financial Services Group, Inc. (The) | 2,655 | 297,041 | ||||||
US Bancorp | 7,065 | 275,182 | ||||||
4,666,129 | ||||||||
Beverages – 2.9% | ||||||||
Brown-Forman Corp., Class B | 450 | 31,369 | ||||||
Coca-Cola Co. (The) | 21,960 | 1,055,398 | ||||||
Coca-Cola European Partners plc | 1,170 | 41,781 | ||||||
Constellation Brands, Inc., Class A | 900 | 148,707 | ||||||
PepsiCo, Inc. | 9,720 | 1,295,579 | ||||||
2,572,834 | ||||||||
Biotechnology – 2.2% | ||||||||
AbbVie, Inc. | 8,010 | 681,651 | ||||||
Amgen, Inc. | 2,790 | 605,263 | ||||||
Biogen, Inc.* | 495 | 124,775 |
Investments | Shares | Value | ||||||
Biotechnology – (continued) | ||||||||
Gilead Sciences, Inc. | 7,155 | $ | 416,063 | |||||
Vertex Pharmaceuticals, Inc.* | 540 | 112,514 | ||||||
1,940,266 | ||||||||
Building Products – 0.5% | ||||||||
Allegion plc | 315 | 31,027 | ||||||
Fortune Brands Home & Security, Inc. | 315 | 25,474 | ||||||
Johnson Controls International plc | 3,465 | 146,258 | ||||||
Lennox International, Inc.(b) | 225 | 61,124 | ||||||
Trane Technologies plc | 1,035 | 137,396 | ||||||
401,279 | ||||||||
Capital Markets – 2.6% | ||||||||
Bank of New York Mellon Corp. (The) | 3,825 | 131,427 | ||||||
BlackRock, Inc. | 1,035 | 620,182 | ||||||
CME Group, Inc. | 675 | 101,736 | ||||||
Goldman Sachs Group, Inc. (The) | 2,250 | 425,340 | ||||||
Morgan Stanley | 9,810 | 472,351 | ||||||
S&P Global, Inc. | 1,350 | 435,686 | ||||||
State Street Corp. | 2,430 | 143,127 | ||||||
2,329,849 | ||||||||
Chemicals – 1.5% | ||||||||
Air Products and Chemicals, Inc. | 945 | 261,047 | ||||||
Celanese Corp. | 810 | 91,943 | ||||||
Eastman Chemical Co. | 945 | 76,394 | ||||||
Ecolab, Inc. | 1,935 | 355,246 | ||||||
International Flavors & Fragrances, Inc.(b) | 450 | 46,197 | ||||||
LyondellBasell Industries NV, Class A | 1,485 | 101,648 | ||||||
PPG Industries, Inc. | 900 | 116,748 | ||||||
Sherwin-Williams Co. (The) | 405 | 278,632 | ||||||
1,327,855 | ||||||||
Commercial Services & Supplies – 0.1% | ||||||||
Cintas Corp. | 315 | 99,083 | ||||||
Communications Equipment – 0.8% | ||||||||
Arista Networks, Inc.* | 225 | 47,002 | ||||||
Cisco Systems, Inc. | 13,860 | 497,574 | ||||||
Juniper Networks, Inc. | 3,060 | 60,343 | ||||||
Motorola Solutions, Inc. | 630 | 99,578 | ||||||
704,497 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 261 |
Table of Contents
FlexShares® STOXX® US ESG Impact Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Construction Materials – 0.0%(a) | ||||||||
Martin Marietta Materials, Inc.(b) | 90 | $ | 23,972 | |||||
Consumer Finance – 0.3% | ||||||||
Capital One Financial Corp. | 3,285 | 240,068 | ||||||
Synchrony Financial | 2,160 | 54,043 | ||||||
294,111 | ||||||||
Containers & Packaging – 0.5% | ||||||||
Avery Dennison Corp. | 360 | 49,820 | ||||||
Ball Corp. | 1,890 | 168,210 | ||||||
International Paper Co. | 1,800 | 78,750 | ||||||
Packaging Corp. of America | 675 | 77,281 | ||||||
Westrock Co. | 1,260 | 47,313 | ||||||
421,374 | ||||||||
Distributors – 0.0%(a) | ||||||||
Genuine Parts Co. | 180 | 16,277 | ||||||
Diversified Telecommunication Services – 2.5% | ||||||||
AT&T, Inc. | 31,770 | 858,425 | ||||||
CenturyLink, Inc. | 3,330 | 28,705 | ||||||
Verizon Communications, Inc. | 24,165 | 1,377,163 | ||||||
2,264,293 | ||||||||
Electric Utilities – 1.4% | ||||||||
Alliant Energy Corp. | 1,935 | 106,967 | ||||||
American Electric Power Co., Inc. | 855 | 76,890 | ||||||
Duke Energy Corp.(b) | 3,510 | 323,306 | ||||||
Entergy Corp. | 900 | 91,098 | ||||||
Eversource Energy | 2,070 | 180,649 | ||||||
FirstEnergy Corp. | 360 | 10,699 | ||||||
NextEra Energy, Inc. | 4,860 | 355,801 | ||||||
PPL Corp. | 2,700 | 74,250 | ||||||
1,219,660 | ||||||||
Electrical Equipment – 0.7% | ||||||||
Eaton Corp. plc | 2,115 | 219,516 | ||||||
Emerson Electric Co. | 3,825 | 247,822 | ||||||
Rockwell Automation, Inc. | 630 | 149,385 | ||||||
616,723 | ||||||||
Electronic Equipment, Instruments & Components – 0.3% | ||||||||
CDW Corp. | 540 | 66,204 |
Investments | Shares | Value | ||||||
Electronic Equipment, Instruments & Components – (continued) | ||||||||
Keysight Technologies, Inc.* | 720 | $ | 75,507 | |||||
TE Connectivity Ltd. | 675 | 65,394 | ||||||
Trimble, Inc.* | 1,440 | 69,307 | ||||||
276,412 | ||||||||
Energy Equipment & Services – 0.3% | ||||||||
Halliburton Co. | 6,525 | 78,692 | ||||||
Schlumberger NV | 9,810 | 146,561 | ||||||
225,253 | ||||||||
Entertainment – 1.6% | ||||||||
Spotify Technology SA* | 270 | 64,770 | ||||||
Take-Two Interactive Software, Inc.* | 315 | 48,800 | ||||||
Walt Disney Co. (The) | 10,530 | 1,276,763 | ||||||
1,390,333 | ||||||||
Equity Real Estate Investment Trusts (REITs) – 1.4% | ||||||||
AvalonBay Communities, Inc. | 675 | 93,913 | ||||||
Digital Realty Trust, Inc. | 540 | 77,922 | ||||||
Equity LifeStyle Properties, Inc. | 810 | 47,944 | ||||||
Essex Property Trust, Inc. | 135 | 27,620 | ||||||
Healthpeak Properties, Inc. | 4,635 | 125,006 | ||||||
Host Hotels & Resorts, Inc. | 4,455 | 46,688 | ||||||
Iron Mountain, Inc.(b) | 1,170 | 30,490 | ||||||
Prologis, Inc. | 2,790 | 276,768 | ||||||
Public Storage | 450 | 103,082 | ||||||
Ventas, Inc. | 1,260 | 49,732 | ||||||
Welltower, Inc. | 2,835 | 152,438 | ||||||
Weyerhaeuser Co. | 4,050 | 110,524 | ||||||
WP Carey, Inc. | 1,125 | 70,436 | ||||||
1,212,563 | ||||||||
Food & Staples Retailing – 1.4% | ||||||||
Costco Wholesale Corp. | 2,610 | 933,388 | ||||||
Kroger Co. (The) | 3,375 | 108,709 | ||||||
Sysco Corp. | 3,105 | 171,738 | ||||||
Walgreens Boots Alliance, Inc. | 1,755 | 59,740 | ||||||
1,273,575 | ||||||||
Food Products – 1.3% | ||||||||
Archer-Daniels-Midland Co. | 2,160 | 99,879 | ||||||
Campbell Soup Co. | 360 | 16,801 | ||||||
Conagra Brands, Inc. | 1,935 | 67,899 |
See Accompanying Notes to the Financial Statements.
262 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® STOXX® US ESG Impact Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Food Products – (continued) | ||||||||
General Mills, Inc. | 3,735 | $ | 220,813 | |||||
Hershey Co. (The) | 1,035 | 142,271 | ||||||
J M Smucker Co. (The) | 495 | 55,539 | ||||||
Kellogg Co. | 1,845 | 116,032 | ||||||
McCormick & Co., Inc. (Non-Voting)(b) | 495 | 89,353 | ||||||
Mondelez International, Inc., Class A | 4,635 | 246,211 | ||||||
Tyson Foods, Inc., Class A | 1,260 | 72,110 | ||||||
1,126,908 | ||||||||
Health Care Equipment & Supplies – 4.1% | ||||||||
Abbott Laboratories | 10,395 | 1,092,619 | ||||||
ABIOMED, Inc.* | 180 | 45,339 | ||||||
Align Technology, Inc.* | 225 | 95,868 | ||||||
Baxter International, Inc. | 2,025 | 157,079 | ||||||
Becton Dickinson and Co. | 1,755 | 405,633 | ||||||
Boston Scientific Corp.* | 4,590 | 157,299 | ||||||
Danaher Corp.(b) | 2,295 | 526,794 | ||||||
Edwards Lifesciences Corp.* | 1,215 | 87,103 | ||||||
Hologic, Inc.* | 1,665 | 114,585 | ||||||
IDEXX Laboratories, Inc.* | 180 | 76,468 | ||||||
Intuitive Surgical, Inc.* | 270 | 180,112 | ||||||
Medtronic plc | 3,330 | 334,898 | ||||||
ResMed, Inc. | 630 | 120,922 | ||||||
STERIS plc | 90 | 15,947 | ||||||
Varian Medical Systems, Inc.* | 630 | 108,864 | ||||||
Zimmer Biomet Holdings, Inc. | 900 | 118,890 | ||||||
3,638,420 | ||||||||
Health Care Providers & Services – 3.0% | ||||||||
AmerisourceBergen Corp. | 900 | 86,463 | ||||||
Anthem, Inc. | 1,665 | 454,212 | ||||||
Cigna Corp. | 990 | 165,300 | ||||||
CVS Health Corp. | 4,050 | 227,164 | ||||||
Humana, Inc. | 315 | 125,773 | ||||||
Laboratory Corp. of America Holdings* | 360 | 71,917 | ||||||
McKesson Corp. | 585 | 86,282 | ||||||
Quest Diagnostics, Inc. | 990 | 120,919 | ||||||
UnitedHealth Group, Inc. | 4,320 | 1,318,205 | ||||||
2,656,235 | ||||||||
Health Care Technology – 0.3% | ||||||||
Cerner Corp. | 360 | 25,232 |
Investments | Shares | Value | ||||||
Health Care Technology – (continued) | ||||||||
Veeva Systems, Inc., Class A* | 855 | $ | 230,893 | |||||
256,125 | ||||||||
Hotels, Restaurants & Leisure – 0.9% | ||||||||
Domino’s Pizza, Inc. | 45 | 17,025 | ||||||
Hilton Worldwide Holdings, Inc. | 1,620 | 142,252 | ||||||
Marriott International, Inc., Class A | 1,755 | 163,004 | ||||||
McDonald’s Corp. | 1,800 | 383,400 | ||||||
MGM Resorts International | 2,565 | 52,762 | ||||||
Yum! Brands, Inc. | 900 | 83,997 | ||||||
842,440 | ||||||||
Household Durables – 0.2% | ||||||||
Garmin Ltd. | 1,035 | 107,661 | ||||||
Lennar Corp., Class A | 720 | 50,565 | ||||||
158,226 | ||||||||
Household Products – 3.3% | ||||||||
Church & Dwight Co., Inc. | 495 | 43,753 | ||||||
Clorox Co. (The) | 720 | 149,220 | ||||||
Colgate-Palmolive Co. | 2,790 | 220,103 | ||||||
Kimberly-Clark Corp. | 1,260 | 167,063 | ||||||
Procter & Gamble Co. (The) | 16,875 | 2,313,563 | ||||||
2,893,702 | ||||||||
Industrial Conglomerates – 1.4% | ||||||||
3M Co. | 3,915 | 626,244 | ||||||
General Electric Co. | 56,205 | 417,041 | ||||||
Roper Technologies, Inc. | 495 | 183,813 | ||||||
1,227,098 | ||||||||
Insurance – 1.6% | ||||||||
Aflac, Inc. | 3,105 | 105,415 | ||||||
Alleghany Corp. | 90 | 49,224 | ||||||
Allstate Corp. (The) | 1,530 | 135,787 | ||||||
Aon plc, Class A(b) | 1,035 | 190,450 | ||||||
Arthur J Gallagher & Co. | 405 | 42,003 | ||||||
Chubb Ltd. | 1,755 | 227,992 | ||||||
Globe Life, Inc. | 990 | 80,279 | ||||||
Hartford Financial Services Group, Inc. (The) | 1,755 | 67,603 | ||||||
Principal Financial Group, Inc. | 2,115 | 82,950 | ||||||
Progressive Corp. (The) | 3,105 | 285,350 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 263 |
Table of Contents
FlexShares® STOXX® US ESG Impact Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Insurance – (continued) | ||||||||
Travelers Cos., Inc. (The) | 1,530 | $ | 184,686 | |||||
1,451,739 | ||||||||
Interactive Media & Services – 8.7% | ||||||||
Alphabet, Inc., Class C* | 2,025 | 3,282,545 | ||||||
Facebook, Inc., Class A* | 16,560 | 4,357,102 | ||||||
Snap, Inc., Class A* | 3,645 | 143,576 | ||||||
7,783,223 | ||||||||
Internet & Direct Marketing Retail – 5.0% | ||||||||
Amazon.com, Inc.* | 1,440 | 4,372,056 | ||||||
Etsy, Inc.* | 540 | 65,659 | ||||||
4,437,715 | ||||||||
IT Services – 3.8% | ||||||||
Accenture plc, Class A(b) | 4,455 | 966,334 | ||||||
Akamai Technologies, Inc.* | 675 | 64,206 | ||||||
Amdocs Ltd. | 315 | 17,760 | ||||||
Booz Allen Hamilton Holding Corp. | 1,035 | 81,247 | ||||||
Cognizant Technology Solutions Corp., Class A | 2,475 | 176,765 | ||||||
EPAM Systems, Inc.* | 135 | 41,708 | ||||||
International Business Machines Corp. | 6,345 | 708,483 | ||||||
Leidos Holdings, Inc. | 450 | 37,350 | ||||||
Mastercard, Inc., Class A | 4,095 | 1,181,981 | ||||||
Okta, Inc.* | 180 | 37,769 | ||||||
Western Union Co. (The)(b) | 1,980 | 38,491 | ||||||
Wix.com Ltd.* | 90 | 22,259 | ||||||
3,374,353 | ||||||||
Leisure Products – 0.0%(a) | ||||||||
Hasbro, Inc. | 315 | 26,057 | ||||||
Life Sciences Tools & Services – 0.9% | ||||||||
Agilent Technologies, Inc. | 1,665 | 169,980 | ||||||
Bio-Rad Laboratories, Inc., Class A* | 90 | 52,778 | ||||||
Bio-Techne Corp. | 135 | 34,075 | ||||||
Charles River Laboratories International, Inc.* | 90 | 20,493 | ||||||
Illumina, Inc.* | 1,035 | 302,944 | ||||||
Mettler-Toledo International, Inc.* | 180 | 179,624 | ||||||
PerkinElmer, Inc. | 405 | 52,468 | ||||||
812,362 |
Investments | Shares | Value | ||||||
Machinery – 1.6% | ||||||||
Caterpillar, Inc. | 3,645 | $ | 572,447 | |||||
Cummins, Inc. | 765 | 168,216 | ||||||
Deere & Co. | 630 | 142,323 | ||||||
Dover Corp. | 720 | 79,711 | ||||||
PACCAR, Inc. | 2,115 | 180,579 | ||||||
Parker-Hannifin Corp. | 585 | 121,891 | ||||||
Stanley Black & Decker, Inc. | 495 | 82,269 | ||||||
Xylem, Inc.(b) | 360 | 31,370 | ||||||
1,378,806 | ||||||||
Media – 0.8% | ||||||||
Comcast Corp., Class A | 15,120 | 638,669 | ||||||
DISH Network Corp., Class A* | 765 | 19,500 | ||||||
Omnicom Group, Inc. | 1,935 | 91,332 | ||||||
749,501 | ||||||||
Metals & Mining – 0.5% | ||||||||
Freeport-McMoRan, Inc. | 4,635 | 80,371 | ||||||
Newmont Corp. | 5,220 | 328,025 | ||||||
Nucor Corp. | 1,260 | 60,177 | ||||||
468,573 | ||||||||
Mortgage Real Estate Investment Trusts (REITs) – 0.0%(a) | ||||||||
AGNC Investment Corp. | 1,845 | 25,775 | ||||||
Multiline Retail – 0.5% | ||||||||
Dollar General Corp. | 675 | 140,879 | ||||||
Target Corp. | 1,890 | 287,696 | ||||||
428,575 | ||||||||
Multi-Utilities – 0.5% | ||||||||
Ameren Corp. | 1,170 | 94,911 | ||||||
CMS Energy Corp. | 1,125 | 71,246 | ||||||
NiSource, Inc. | 1,890 | 43,413 | ||||||
Sempra Energy | 1,215 | 152,313 | ||||||
WEC Energy Group, Inc. | 675 | 67,871 | ||||||
429,754 | ||||||||
Oil, Gas & Consumable Fuels – 2.5% | ||||||||
Chevron Corp. | 12,510 | 869,445 | ||||||
ConocoPhillips | 6,615 | 189,321 | ||||||
Exxon Mobil Corp. | 28,395 | 926,245 | ||||||
Hess Corp. | 1,080 | 40,198 | ||||||
Phillips 66 | 1,935 | 90,287 |
See Accompanying Notes to the Financial Statements.
264 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® STOXX® US ESG Impact Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Oil, Gas & Consumable Fuels – (continued) | ||||||||
Valero Energy Corp. | 1,935 | $ | 74,710 | |||||
2,190,206 | ||||||||
Personal Products – 0.3% | ||||||||
Estee Lauder Cos., Inc. (The), Class A | 1,125 | 247,117 | ||||||
Pharmaceuticals – 2.6% | ||||||||
Bristol-Myers Squibb Co. | 13,050 | 762,772 | ||||||
Eli Lilly and Co. | 4,725 | 616,424 | ||||||
Merck & Co., Inc. | 11,880 | 893,495 | ||||||
Mylan NV* | 1,575 | 22,900 | ||||||
2,295,591 | ||||||||
Real Estate Management & Development – 0.1% | ||||||||
CBRE Group, Inc., Class A* | 2,430 | 122,472 | ||||||
Road & Rail – 0.2% | ||||||||
Norfolk Southern Corp. | 675 | 141,156 | ||||||
Semiconductors & Semiconductor Equipment – 6.4% | ||||||||
Advanced Micro Devices, Inc.* | 5,310 | 399,790 | ||||||
Analog Devices, Inc.(b) | 1,350 | 160,015 | ||||||
Broadcom, Inc. | 1,800 | 629,334 | ||||||
Intel Corp. | 29,340 | 1,299,175 | ||||||
Lam Research Corp. | 810 | 277,085 | ||||||
Marvell Technology Group Ltd. | 1,935 | 72,582 | ||||||
Maxim Integrated Products, Inc. | 1,080 | 75,222 | ||||||
Micron Technology, Inc.* | 5,625 | 283,162 | ||||||
NVIDIA Corp. | 2,160 | 1,082,938 | ||||||
ON Semiconductor Corp.* | 1,845 | 46,291 | ||||||
QUALCOMM, Inc. | 3,825 | 471,852 | ||||||
Skyworks Solutions, Inc. | 585 | 82,655 | ||||||
Teradyne, Inc. | 495 | 43,486 | ||||||
Texas Instruments, Inc. | 5,220 | 754,760 | ||||||
5,678,347 | ||||||||
Software – 9.6% | ||||||||
Adobe, Inc.* | 2,700 | 1,207,170 | ||||||
ANSYS, Inc.* | 405 | 123,270 | ||||||
Autodesk, Inc.* | 1,575 | 370,975 | ||||||
Crowdstrike Holdings, Inc., Class A*(b) | 585 | 72,446 | ||||||
Fortinet, Inc.* | 90 | 9,933 |
Investments | Shares | Value | ||||||
Software – (continued) | ||||||||
Intuit, Inc. | 1,260 | $ | 396,497 | |||||
Microsoft Corp. | 21,780 | 4,409,797 | ||||||
NortonLifeLock, Inc. | 2,745 | 56,465 | ||||||
Oracle Corp. | 13,725 | 770,110 | ||||||
salesforce.com, Inc.* | 4,050 | 940,693 | ||||||
Splunk, Inc.*(b) | 720 | 142,589 | ||||||
VMware, Inc., Class A* | 270 | 34,757 | ||||||
8,534,702 | ||||||||
Specialty Retail – 3.5% | ||||||||
AutoZone, Inc.* | 45 | 50,804 | ||||||
Best Buy Co., Inc. | 1,575 | 175,691 | ||||||
Burlington Stores, Inc.* | 360 | 69,689 | ||||||
Home Depot, Inc. (The) | 7,335 | 1,956,318 | ||||||
Lowe’s Cos., Inc. | 3,600 | 569,160 | ||||||
Tiffany & Co. | 270 | 35,327 | ||||||
TJX Cos., Inc. (The) | 5,940 | 301,752 | ||||||
3,158,741 | ||||||||
Technology Hardware, Storage & Peripherals – 5.2% | ||||||||
Apple, Inc. | 39,870 | 4,340,248 | ||||||
Dell Technologies, Inc., Class C* | 450 | 27,117 | ||||||
Hewlett Packard Enterprise Co. | 5,985 | 51,711 | ||||||
HP, Inc. | 9,945 | 178,612 | ||||||
NetApp, Inc. | 1,125 | 49,376 | ||||||
Western Digital Corp. | 360 | 13,583 | ||||||
4,660,647 | ||||||||
Textiles, Apparel & Luxury Goods – 0.3% | ||||||||
Lululemon Athletica, Inc.* | 675 | 215,521 | ||||||
VF Corp. | 585 | 39,312 | ||||||
254,833 | ||||||||
Tobacco – 0.8% | ||||||||
Altria Group, Inc. | 8,730 | 314,978 | ||||||
Philip Morris International, Inc. | 5,355 | 380,312 | ||||||
695,290 | ||||||||
Trading Companies & Distributors – 0.2% | ||||||||
Fastenal Co. | 2,880 | 124,502 | ||||||
WW Grainger, Inc. | 180 | 63,004 | ||||||
187,506 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 265 |
Table of Contents
FlexShares® STOXX® US ESG Impact Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS –(continued) | ||||||||
Water Utilities – 0.2% | ||||||||
American Water Works Co., Inc. | 1,215 | $ | 182,870 | |||||
Total Common Stocks (Cost $72,567,842) |
| 88,086,104 | ||||||
Principal Amount | ||||||||
SECURITIES LENDING REINVESTMENTS(c) – 0.0%(a) | ||||||||
REPURCHASE AGREEMENTS – 0.0%(a) | ||||||||
Citigroup Global Markets, Inc., 0.07%, dated 10/30/2020, due 11/2/2020, repurchase price $41,799, collateralized by various U.S. Treasury Securities, ranging from 2.63% – 5.50%, maturing 8/15/2028 – 4/15/2029; total market value $42,531 | $ | 41,799 | 41,799 | |||||
Total Investments – 99.0% (Cost $72,609,641) |
| 88,127,903 | ||||||
Other assets less liabilities – 1.0% |
| 923,668 | ||||||
NET ASSETS – 100.0% |
| $ | 89,051,571 |
* | Non-income producing security. |
(a) | Represents less than 0.05% of net assets. |
(b) | The security or a portion of this security is on loan at October 31, 2020. The total value of securities on loan at October 31, 2020 was $3,686,774, collateralized in the form of cash with a value of $41,799 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Investments and $3,824,090 of collateral in the form of U.S. Government Treasury Securities, interest rates ranging from 0.00% – 8.00%, and maturity dates ranging from November 5, 2020 – May 15, 2050; a total value of $3,865,889. |
(c) | The security was purchased with cash collateral held from securities on loan at October 31, 2020. The total value of securities purchased was $41,799. |
Percentages shown are based on Net Assets.
As of October 31, 2020, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments (including derivative instruments, if applicable) for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 18,341,120 | ||
Aggregate gross unrealized depreciation | (2,837,761 | ) | ||
Net unrealized appreciation | $ | 15,503,359 | ||
Federal income tax cost | $ | 72,609,336 |
Futures Contracts
FlexShares® STOXX® US ESG Impact Index Fund had the following open futures contracts as of October 31, 2020:
Number of Contracts | Expiration Date | Trading Currency | Notional Amount | Value and Unrealized Depreciation* | ||||||||||||||||
Long Contracts |
| |||||||||||||||||||
S&P 500 E-Mini Index | 5 | 12/18/2020 | USD | $ | 816,175 | $ | (15,208 | ) |
* | This amount represents the cumulative appreciation/depreciation on futures contracts. Current day’s variation margin is reported within the Statement of Assets and Liabilities for futures contracts. |
Abbreviations:
USD – US Dollar
See Accompanying Notes to the Financial Statements.
266 | FLEXSHARES ANNUAL REPORT |
Table of Contents
Schedule of Investments
FlexShares® STOXX® Global ESG Impact Index Fund
October 31, 2020
Investments | Shares | Value | ||||||
COMMON STOCKS – 98.8% | ||||||||
Aerospace & Defense – 0.1% | ||||||||
Meggitt plc | 9,891 | $ | 34,953 | |||||
MTU Aero Engines AG | 210 | 35,849 | ||||||
Saab AB, Class B* | 399 | 9,167 | ||||||
Teledyne Technologies, Inc.* | 63 | 19,476 | ||||||
99,445 | ||||||||
Air Freight & Logistics – 0.3% | ||||||||
CH Robinson Worldwide, Inc. | 357 | 31,570 | ||||||
Deutsche Post AG (Registered) | 2,667 | 118,177 | ||||||
FedEx Corp. | 567 | 147,119 | ||||||
296,866 | ||||||||
Airlines – 0.0%(a) | ||||||||
Deutsche Lufthansa AG (Registered)* | 147 | 1,262 | ||||||
International Consolidated Airlines Group SA | 5,733 | 7,149 | ||||||
Qantas Airways Ltd. | 3,307 | 9,731 | ||||||
Singapore Airlines Ltd. | 6,300 | 15,640 | ||||||
United Airlines Holdings, Inc.* | 63 | 2,133 | ||||||
35,915 | ||||||||
Auto Components – 0.4% | ||||||||
Bridgestone Corp. | 10,500 | 340,492 | ||||||
Cie Generale des Etablissements Michelin SCA | 777 | 83,847 | ||||||
Continental AG | 189 | 20,096 | ||||||
Nokian Renkaat OYJ | 63 | 1,936 | ||||||
Valeo SA | 1,512 | 45,740 | ||||||
492,111 | ||||||||
Automobiles – 1.7% | ||||||||
Bayerische Motoren Werke AG | 1,470 | 100,479 | ||||||
Daimler AG (Registered) | 3,066 | 158,571 | ||||||
Ferrari NV | 420 | 74,927 | ||||||
Fiat Chrysler Automobiles NV* | 1,365 | 16,762 | ||||||
Ford Motor Co. | 11,382 | 87,983 | ||||||
General Motors Co. | 5,985 | 206,662 | ||||||
Peugeot SA* | 3,318 | 59,637 | ||||||
Renault SA* | 798 | 19,758 | ||||||
Subaru Corp. | 6,300 | 114,833 |
Investments | Shares | Value | ||||||
Automobiles – (continued) | ||||||||
Tesla, Inc.* | 2,835 | $ | 1,100,093 | |||||
1,939,705 | ||||||||
Banks – 6.0% | ||||||||
ABN AMRO Bank NV, CVA(b) | 462 | 3,792 | ||||||
Australia & New Zealand Banking Group Ltd. | 7,686 | 101,527 | ||||||
Banco Bilbao Vizcaya Argentaria SA | 11,928 | 34,208 | ||||||
Banco de Sabadell SA | 79,569 | 24,284 | ||||||
Banco Santander SA | 63,609 | 126,762 | ||||||
Bank of America Corp. | 46,515 | 1,102,405 | ||||||
Bank of Ireland Group plc* | 16,422 | 40,324 | ||||||
Bank of Montreal | 1,533 | 91,209 | ||||||
Bank of Nova Scotia (The) | 6,174 | 256,295 | ||||||
Bank Polska Kasa Opieki SA* | 441 | 4,703 | ||||||
Bankinter SA | 231 | 866 | ||||||
Barclays plc | 98,385 | 135,557 | ||||||
BAWAG Group AG(b) | 966 | 35,333 | ||||||
BNP Paribas SA* | 4,242 | 147,522 | ||||||
CaixaBank SA | 13,377 | 24,339 | ||||||
Citigroup, Inc. | 11,613 | 481,010 | ||||||
Commerzbank AG* | 4,473 | 21,076 | ||||||
Commonwealth Bank of Australia | 8,652 | 419,356 | ||||||
DBS Group Holdings Ltd. | 4,200 | 62,592 | ||||||
DNB ASA | 1,743 | 23,468 | ||||||
Erste Group Bank AG | 273 | 5,590 | ||||||
Hang Seng Bank Ltd.(c) | 2,100 | 32,279 | ||||||
HSBC Holdings plc | 105,987 | 444,767 | ||||||
Huntington Bancshares, Inc. | 2,583 | 26,967 | ||||||
ING Groep NV | 15,099 | 103,048 | ||||||
Intesa Sanpaolo SpA* | 95,487 | 157,899 | ||||||
JPMorgan Chase & Co. | 12,138 | 1,190,010 | ||||||
KBC Group NV | 525 | 25,887 | ||||||
KeyCorp | 3,549 | 46,066 | ||||||
Lloyds Banking Group plc | 207,039 | 75,023 | ||||||
National Australia Bank Ltd. | 5,439 | 71,043 | ||||||
Natwest Group plc | 15,099 | 24,248 | ||||||
Nordea Bank Abp | 5,271 | 39,486 | ||||||
PNC Financial Services Group, Inc. (The) | 1,491 | 166,813 | ||||||
Royal Bank of Canada | 4,011 | 280,245 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 267 |
Table of Contents
FlexShares® STOXX® Global ESG Impact Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Banks – (continued) | ||||||||
Skandinaviska Enskilda Banken AB, Class A* | 10,059 | $ | 86,225 | |||||
Societe Generale SA* | 1,869 | 25,341 | ||||||
Standard Chartered plc | 5,271 | 23,977 | ||||||
Svenska Handelsbanken AB, Class A* | 5,943 | 48,152 | ||||||
Toronto-Dominion Bank (The) | 4,956 | 218,483 | ||||||
UniCredit SpA* | 7,413 | 55,273 | ||||||
United Overseas Bank Ltd. | 2,100 | 29,205 | ||||||
US Bancorp | 4,599 | 179,131 | ||||||
Westpac Banking Corp. | 15,015 | 188,848 | ||||||
6,680,634 | ||||||||
Beverages – 2.2% | ||||||||
Anheuser-Busch InBev SA/NV | 3,675 | 190,753 | ||||||
Carlsberg A/S, Class B | 252 | 31,897 | ||||||
Coca-Cola Amatil Ltd. | 2,499 | 21,814 | ||||||
Coca-Cola Bottlers Japan Holdings, Inc. | 2,100 | 29,590 | ||||||
Coca-Cola Co. (The) | 11,151 | 535,917 | ||||||
Coca-Cola European Partners plc | 798 | 28,496 | ||||||
Coca-Cola HBC AG, DI | 189 | 4,289 | ||||||
Constellation Brands, Inc., Class A | 609 | 100,625 | ||||||
Diageo plc | 8,274 | 267,350 | ||||||
Heineken Holding NV | 294 | 22,723 | ||||||
Heineken NV | 1,071 | 95,064 | ||||||
Kirin Holdings Co. Ltd. | 8,400 | 150,981 | ||||||
PepsiCo, Inc. | 5,586 | 744,558 | ||||||
Pernod Ricard SA | 987 | 159,119 | ||||||
Remy Cointreau SA | 42 | 7,094 | ||||||
Thai Beverage PCL | 4,200 | 1,784 | ||||||
Treasury Wine Estates Ltd. | 336 | 2,164 | ||||||
2,394,218 | ||||||||
Biotechnology – 1.4% | ||||||||
AbbVie, Inc. | 4,978 | 423,617 | ||||||
Amgen, Inc. | 1,743 | 378,126 | ||||||
Biogen, Inc.* | 462 | 116,456 | ||||||
CSL Ltd. | 1,407 | 284,128 | ||||||
Gilead Sciences, Inc. | 4,935 | 286,970 | ||||||
Grifols SA(c) | 1,050 | 28,364 | ||||||
1,517,661 |
Investments | Shares | Value | ||||||
Building Products – 0.7% | ||||||||
AGC, Inc. | 4,200 | $ | 130,371 | |||||
Assa Abloy AB, Class B | 4,200 | 90,123 | ||||||
Carrier Global Corp. | 2,541 | 84,844 | ||||||
Cie de Saint-Gobain* | 2,898 | 113,087 | ||||||
Geberit AG (Registered) | 147 | 83,721 | ||||||
Johnson Controls International plc | 1,995 | 84,209 | ||||||
Lennox International, Inc. | 105 | 28,525 | ||||||
LIXIL Group Corp. | 4,200 | 90,637 | ||||||
Trane Technologies plc | 903 | 119,873 | ||||||
825,390 | ||||||||
Capital Markets – 2.5% | ||||||||
3i Group plc | 3,003 | 37,314 | ||||||
Bank of New York Mellon Corp. (The) | 2,373 | 81,536 | ||||||
BlackRock, Inc. | 693 | 415,253 | ||||||
Brookfield Asset Management, Inc., Class A | 3,150 | 93,530 | ||||||
Credit Suisse Group AG (Registered) | 11,529 | 108,479 | ||||||
Deutsche Bank AG (Registered)* | 8,883 | 81,754 | ||||||
Goldman Sachs Group, Inc. (The) | 2,142 | 404,924 | ||||||
Hong Kong Exchanges & Clearing Ltd. | 4,227 | 201,788 | ||||||
Intermediate Capital Group plc | 2,793 | 42,289 | ||||||
Julius Baer Group Ltd. | 588 | 26,264 | ||||||
London Stock Exchange Group plc | 1,407 | 150,598 | ||||||
Macquarie Group Ltd. | 1,953 | 173,837 | ||||||
Morgan Stanley | 6,972 | 335,702 | ||||||
Natixis SA*(c) | 84 | 195 | ||||||
S&P Global, Inc. | 1,008 | 325,312 | ||||||
Standard Life Aberdeen plc | 12,369 | 35,905 | ||||||
State Street Corp. | 1,449 | 85,346 | ||||||
UBS Group AG (Registered) | 19,110 | 221,947 | ||||||
2,821,973 | ||||||||
Chemicals – 1.7% | ||||||||
Air Liquide SA | 1,246 | 182,151 | ||||||
Air Products and Chemicals, Inc. | 441 | 121,822 | ||||||
Air Water, Inc. | 4,200 | 59,862 | ||||||
Akzo Nobel NV | 966 | 93,058 | ||||||
Arkema SA | 525 | 51,419 | ||||||
BASF SE | 2,058 | 112,839 | ||||||
Celanese Corp. | 420 | 47,674 |
See Accompanying Notes to the Financial Statements.
268 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® STOXX® Global ESG Impact Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Chemicals – (continued) | ||||||||
Chr Hansen Holding A/S | 567 | $ | 57,113 | |||||
Clariant AG (Registered) | 903 | 15,488 | ||||||
Croda International plc | 448 | 34,953 | ||||||
Eastman Chemical Co. | 714 | 57,720 | ||||||
Ecolab, Inc. | 1,071 | 196,625 | ||||||
Evonik Industries AG | 1,533 | 36,911 | ||||||
Givaudan SA (Registered) | 42 | 171,198 | ||||||
Hexpol AB | 1,470 | 12,948 | ||||||
International Flavors & Fragrances, Inc. | 294 | 30,182 | ||||||
Johnson Matthey plc | 126 | 3,501 | ||||||
Koninklijke DSM NV | 924 | 147,940 | ||||||
LyondellBasell Industries NV, Class A | 168 | 11,500 | ||||||
Mitsui Chemicals, Inc. | 2,200 | 56,105 | ||||||
Novozymes A/S, Class B | 777 | 46,694 | ||||||
Orica Ltd. | 3,969 | 42,533 | ||||||
PPG Industries, Inc. | 588 | 76,275 | ||||||
Sherwin-Williams Co. (The) | 210 | 144,476 | ||||||
Solvay SA | 63 | 5,115 | ||||||
Symrise AG | 231 | 28,482 | ||||||
1,844,584 | ||||||||
Commercial Services & Supplies – 0.3% | ||||||||
Brambles Ltd. | 5,250 | 35,357 | ||||||
Cintas Corp. | 315 | 99,083 | ||||||
Downer EDI Ltd. | 1,237 | 3,822 | ||||||
Elis SA* | 168 | 1,840 | ||||||
G4S plc* | 18,606 | 49,101 | ||||||
ISS A/S* | 63 | 818 | ||||||
Rentokil Initial plc | 9,744 | 66,271 | ||||||
Securitas AB, Class B* | 2,079 | 29,418 | ||||||
SPIE SA | 693 | 10,930 | ||||||
296,640 | ||||||||
Communications Equipment – 0.3% | ||||||||
Arista Networks, Inc.* | 126 | 26,321 | ||||||
Juniper Networks, Inc. | 1,344 | 26,504 | ||||||
Motorola Solutions, Inc. | 420 | 66,385 | ||||||
Nokia OYJ* | 15,939 | 53,843 | ||||||
Telefonaktiebolaget LM Ericsson, Class B | 11,781 | 131,401 | ||||||
304,454 |
Investments | Shares | Value | ||||||
Construction & Engineering – 0.3% | ||||||||
Bouygues SA | 1,302 | $ | 42,693 | |||||
Eiffage SA* | 714 | 51,832 | ||||||
Ferrovial SA | 1,178 | 25,488 | ||||||
Shimizu Corp. | 10,500 | 72,719 | ||||||
Skanska AB, Class B(c) | 2,310 | 43,417 | ||||||
Vinci SA | 1,599 | 126,321 | ||||||
362,470 | ||||||||
Construction Materials – 0.3% | ||||||||
Boral Ltd. | 14,133 | 45,258 | ||||||
CRH plc | 2,919 | 102,924 | ||||||
HeidelbergCement AG | 735 | 42,055 | ||||||
LafargeHolcim Ltd. (Registered)* | 1,791 | 76,892 | ||||||
Wienerberger AG | 399 | 10,067 | ||||||
277,196 | ||||||||
Consumer Finance – 0.2% | ||||||||
Capital One Financial Corp. | 2,163 | 158,072 | ||||||
Synchrony Financial | 1,596 | 39,932 | ||||||
198,004 | ||||||||
Containers & Packaging – 0.3% | ||||||||
Ball Corp. | 1,470 | 130,830 | ||||||
DS Smith plc | 567 | 2,076 | ||||||
International Paper Co. | 819 | 35,831 | ||||||
Orora Ltd.(c) | 4,267 | 7,731 | ||||||
Packaging Corp. of America | 441 | 50,490 | ||||||
Smurfit Kappa Group plc | 735 | 27,671 | ||||||
Westrock Co. | 1,470 | 55,199 | ||||||
309,828 | ||||||||
Distributors – 0.0%(a) | ||||||||
Genuine Parts Co. | 462 | 41,779 | ||||||
Diversified Financial Services – 0.1% | ||||||||
EXOR NV | 525 | 27,275 | ||||||
Groupe Bruxelles Lambert SA | 546 | 44,698 | ||||||
Kinnevik AB, Class B | 966 | 39,628 | ||||||
L E Lundbergforetagen AB, Class B* | 693 | 31,189 | ||||||
Wendel SE | 42 | 3,640 | ||||||
146,430 | ||||||||
Diversified Telecommunication Services – 2.0% | ||||||||
AT&T, Inc. | 20,685 | 558,909 | ||||||
BCE, Inc. | 1,743 | 69,989 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 269 |
Table of Contents
FlexShares® STOXX® Global ESG Impact Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Diversified Telecommunication Services – (continued) | ||||||||
BT Group plc | 24,927 | $ | 32,682 | |||||
Cellnex Telecom SA(b) | 1,764 | 113,260 | ||||||
CenturyLink, Inc. | 3,381 | 29,144 | ||||||
Deutsche Telekom AG (Registered) | 15,729 | 239,468 | ||||||
Elisa OYJ | 567 | 27,898 | ||||||
Koninklijke KPN NV | 19,341 | 52,268 | ||||||
Orange SA | 4,641 | 52,060 | ||||||
Proximus SADP | 84 | 1,634 | ||||||
Singapore Telecommunications Ltd. | 16,800 | 24,976 | ||||||
Spark New Zealand Ltd. | 10,234 | 30,369 | ||||||
Swisscom AG (Registered)(c) | 126 | 64,103 | ||||||
Telecom Italia SpA | 6,132 | 2,081 | ||||||
Telefonica SA | 819 | 2,677 | ||||||
Telenor ASA | 3,381 | 52,065 | ||||||
Telia Co. AB(c) | 2,877 | 11,028 | ||||||
Telstra Corp. Ltd. | 37,485 | 70,548 | ||||||
TELUS Corp. | 2,611 | 44,608 | ||||||
Verizon Communications, Inc. | 12,537 | 714,484 | ||||||
2,194,251 | ||||||||
Electric Utilities – 1.3% | ||||||||
Alliant Energy Corp. | 567 | 31,344 | ||||||
CK Infrastructure Holdings Ltd. | 4,500 | 21,180 | ||||||
CLP Holdings Ltd. | 5,000 | 45,971 | ||||||
Duke Energy Corp. | 2,457 | 226,314 | ||||||
EDP – Energias de Portugal SA | 7,014 | 34,577 | ||||||
Electricite de France SA | 4,746 | 55,107 | ||||||
Endesa SA | 546 | 14,635 | ||||||
Enel SpA | 18,501 | 147,279 | ||||||
Entergy Corp. | 651 | 65,894 | ||||||
Eversource Energy | 1,596 | 139,283 | ||||||
Fortum OYJ | 1,890 | 35,555 | ||||||
Iberdrola SA | 28,643 | 337,819 | ||||||
Orsted A/S(b) | 861 | 136,665 | ||||||
PPL Corp. | 1,365 | 37,537 | ||||||
Red Electrica Corp. SA | 819 | 14,429 | ||||||
SSE plc | 5,267 | 85,468 | ||||||
Terna Rete Elettrica Nazionale SpA | 7,203 | 48,698 | ||||||
1,477,755 |
Investments | Shares | Value | ||||||
Electrical Equipment – 1.5% | ||||||||
ABB Ltd. (Registered)(c) | 8,568 | $ | 207,995 | |||||
Eaton Corp. plc | 1,659 | 172,188 | ||||||
Legrand SA | 1,134 | 83,853 | ||||||
Nidec Corp. | 8,400 | 843,696 | ||||||
Prysmian SpA | 1,323 | 35,969 | ||||||
Rockwell Automation, Inc. | 168 | 39,836 | ||||||
Schneider Electric SE | 1,743 | 211,561 | ||||||
Signify NV*(b) | 231 | 8,231 | ||||||
Vestas Wind Systems A/S | 693 | 118,293 | ||||||
1,721,622 | ||||||||
Electronic Equipment, Instruments & Components – 0.7% | ||||||||
Alps Alpine Co. Ltd. | 2,100 | 29,991 | ||||||
Azbil Corp. | 1,300 | 52,540 | ||||||
CDW Corp. | 84 | 10,298 | ||||||
Halma plc | 1,344 | 41,151 | ||||||
Hexagon AB, Class B | 1,113 | 81,326 | ||||||
Hitachi Ltd. | 9,500 | 318,242 | ||||||
Keysight Technologies, Inc.* | 798 | 83,686 | ||||||
TE Connectivity Ltd. | 1,218 | 118,000 | ||||||
Trimble, Inc.* | 861 | 41,440 | ||||||
776,674 | ||||||||
Energy Equipment & Services – 0.1% | ||||||||
Halliburton Co. | 4,032 | 48,626 | ||||||
Schlumberger NV | 6,783 | 101,338 | ||||||
Worley Ltd. | 252 | 1,665 | ||||||
151,629 | ||||||||
Entertainment – 1.0% | ||||||||
Square Enix Holdings Co. Ltd. | 800 | 46,834 | ||||||
Take-Two Interactive Software, Inc.* | 126 | 19,520 | ||||||
Ubisoft Entertainment SA* | 462 | 40,760 | ||||||
Vivendi SA | 3,276 | 94,600 | ||||||
Walt Disney Co. (The) | 7,245 | 878,456 | ||||||
1,080,170 | ||||||||
Equity Real Estate Investment Trusts (REITs) – 1.3% | ||||||||
Activia Properties, Inc.(c) | 14 | 50,488 | ||||||
Advance Residence Investment Corp. | 21 | 61,268 | ||||||
alstria office REIT-AG | 2,415 | 30,747 | ||||||
AvalonBay Communities, Inc. | 399 | 55,513 |
See Accompanying Notes to the Financial Statements.
270 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® STOXX® Global ESG Impact Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Equity Real Estate Investment Trusts (REITs) – (continued) | ||||||||
British Land Co. plc (The) | 9,975 | $ | 44,961 | |||||
Cofinimmo SA | 86 | 11,681 | ||||||
Covivio | 165 | 9,821 | ||||||
Derwent London plc | 1,176 | 40,417 | ||||||
Dexus | 8,127 | 49,139 | ||||||
Gecina SA | 336 | 41,722 | ||||||
GLP J-REIT | 42 | 64,683 | ||||||
GPT Group (The) | 630 | 1,783 | ||||||
Healthpeak Properties, Inc. | 1,743 | 47,009 | ||||||
Host Hotels & Resorts, Inc. | 567 | 5,942 | ||||||
Iron Mountain, Inc. | 1,743 | 45,423 | ||||||
Japan Logistics Fund, Inc. | 21 | 58,878 | ||||||
Klepierre SA(c) | 42 | 532 | ||||||
Land Securities Group plc | 630 | 4,149 | ||||||
Link REIT | 8,400 | 63,963 | ||||||
Merlin Properties Socimi SA | 4,221 | 28,395 | ||||||
Mirvac Group | 12,285 | 18,203 | ||||||
Nippon Accommodations Fund, Inc. | 9 | 51,483 | ||||||
Nippon Prologis REIT, Inc. | 21 | 69,103 | ||||||
Orix JREIT, Inc. | 42 | 58,858 | ||||||
Prologis, Inc. | 1,701 | 168,739 | ||||||
Scentre Group | 27,825 | 41,034 | ||||||
Segro plc | 1,869 | 21,798 | ||||||
Sekisui House Reit, Inc.(c) | 63 | 43,993 | ||||||
Stockland | 14,007 | 37,870 | ||||||
Suntec REIT | 8,400 | 8,243 | ||||||
Welltower, Inc. | 2,478 | 133,242 | ||||||
Weyerhaeuser Co. | 2,457 | 67,051 | ||||||
WP Carey, Inc. | 693 | 43,389 | ||||||
1,479,520 | ||||||||
Food & Staples Retailing – 1.3% | ||||||||
Alimentation Couche-Tard, Inc., Class B | 2,121 | 65,268 | ||||||
Carrefour SA | 903 | 14,053 | ||||||
Coles Group Ltd. | 5,670 | 70,676 | ||||||
Costco Wholesale Corp. | 2,079 | 743,492 | ||||||
Etablissements Franz Colruyt NV | 105 | 6,216 | ||||||
J Sainsbury plc(c) | 1,722 | 4,489 | ||||||
Jeronimo Martins SGPS SA | 903 | 14,347 | ||||||
Kesko OYJ, Class B | 924 | 23,744 |
Investments | Shares | Value | ||||||
Food & Staples Retailing – (continued) | ||||||||
Koninklijke Ahold Delhaize NV | 4,683 | $ | 128,683 | |||||
Lawson, Inc. | 800 | 36,771 | ||||||
Loblaw Cos. Ltd. | 861 | 42,825 | ||||||
Sysco Corp. | 2,436 | 134,735 | ||||||
Woolworths Group Ltd. | 5,103 | 136,749 | ||||||
1,422,048 | ||||||||
Food Products – 1.7% | ||||||||
AAK AB | 504 | 9,818 | ||||||
Archer-Daniels-Midland Co. | 1,638 | 75,741 | ||||||
Associated British Foods plc | 210 | 4,609 | ||||||
Danone SA | 2,373 | 131,023 | ||||||
General Mills, Inc. | 2,121 | 125,393 | ||||||
Hershey Co. (The) | 567 | 77,940 | ||||||
Kellogg Co. | 567 | 35,659 | ||||||
Kerry Group plc, Class A | 399 | 47,732 | ||||||
McCormick & Co., Inc. (Non-Voting) | 252 | 45,489 | ||||||
Mowi ASA | 1,869 | 29,456 | ||||||
Nestle SA (Registered) | 11,319 | 1,273,241 | ||||||
Orkla ASA | 4,956 | 46,704 | ||||||
Vitasoy International Holdings Ltd. | 2,000 | 8,072 | ||||||
1,910,877 | ||||||||
Gas Utilities – 0.1% | ||||||||
Enagas SA | 714 | 15,412 | ||||||
Italgas SpA | 441 | 2,549 | ||||||
Rubis SCA | 84 | 2,757 | ||||||
Snam SpA | 9,555 | 46,635 | ||||||
67,353 | ||||||||
Health Care Equipment & Supplies – 3.2% | ||||||||
Abbott Laboratories | 7,119 | 748,278 | ||||||
ABIOMED, Inc.* | 126 | 31,737 | ||||||
Alcon, Inc.* | 2,394 | 136,084 | ||||||
Align Technology, Inc.* | 126 | 53,686 | ||||||
Ansell Ltd. | 1,407 | 39,710 | ||||||
Baxter International, Inc. | 1,323 | 102,625 | ||||||
Becton Dickinson and Co. | 1,155 | 266,955 | ||||||
BioMerieux | 189 | 28,136 | ||||||
Boston Scientific Corp.* | 3,423 | 117,306 | ||||||
Cochlear Ltd. | 273 | 40,678 | ||||||
Coloplast A/S, Class B | 357 | 52,102 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 271 |
Table of Contents
FlexShares® STOXX® Global ESG Impact Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Health Care Equipment & Supplies – (continued) | ||||||||
Danaher Corp. | 1,911 | $ | 438,651 | |||||
DiaSorin SpA | 105 | 23,055 | ||||||
Fisher & Paykel Healthcare Corp. Ltd. | 2,331 | 53,920 | ||||||
Getinge AB, Class B | 651 | 12,751 | ||||||
Hologic, Inc.* | 1,428 | 98,275 | ||||||
Hoya Corp. | 5,600 | 632,103 | ||||||
Koninklijke Philips NV* | 4,027 | 187,048 | ||||||
ResMed, Inc. | 399 | 76,584 | ||||||
Sartorius AG (Preference) | 210 | 88,894 | ||||||
Smith & Nephew plc | 2,079 | 35,927 | ||||||
Sonova Holding AG (Registered)* | 317 | 75,225 | ||||||
STERIS plc | 189 | 33,489 | ||||||
Straumann Holding AG (Registered) | 63 | 65,712 | ||||||
Varian Medical Systems, Inc.* | 273 | 47,175 | ||||||
Zimmer Biomet Holdings, Inc. | 672 | 88,771 | ||||||
3,574,877 | ||||||||
Health Care Providers & Services – 1.6% | ||||||||
AmerisourceBergen Corp. | 588 | 56,489 | ||||||
Anthem, Inc. | 1,176 | 320,813 | ||||||
Fresenius Medical Care AG & Co. KGaA | 819 | 62,564 | ||||||
Fresenius SE & Co. KGaA | 1,764 | 65,425 | ||||||
Humana, Inc. | 294 | 117,388 | ||||||
Laboratory Corp. of America Holdings* | 357 | 71,318 | ||||||
Orpea* | 147 | 14,682 | ||||||
Quest Diagnostics, Inc. | 798 | 97,468 | ||||||
Ramsay Health Care Ltd. | 315 | 13,792 | ||||||
Sonic Healthcare Ltd. | 2,751 | 67,268 | ||||||
UnitedHealth Group, Inc. | 2,751 | 839,440 | ||||||
1,726,647 | ||||||||
Health Care Technology – 0.1% | ||||||||
Veeva Systems, Inc., Class A* | 315 | 85,066 | ||||||
Hotels, Restaurants & Leisure – 1.1% | ||||||||
Accor SA* | 168 | 4,278 | ||||||
Aristocrat Leisure Ltd. | 4,284 | 86,132 | ||||||
Carnival plc | 168 | 1,843 | ||||||
Compass Group plc | 10,143 | 138,362 |
Investments | Shares | Value | ||||||
Hotels, Restaurants & Leisure – (continued) | ||||||||
Domino’s Pizza Enterprises Ltd. | 315 | $ | 18,743 | |||||
DraftKings, Inc., Class A* | 588 | 20,815 | ||||||
Galaxy Entertainment Group Ltd. | 6,000 | 39,536 | ||||||
Genting Singapore Ltd. | 14,700 | 6,944 | ||||||
Hilton Worldwide Holdings, Inc. | 1,155 | 101,421 | ||||||
InterContinental Hotels Group plc | 636 | 32,203 | ||||||
Marriott International, Inc., Class A | 1,554 | 144,335 | ||||||
McDonald’s Corp. | 2,289 | 487,557 | ||||||
MGM Resorts International | 882 | 18,143 | ||||||
Restaurant Brands International, Inc. | 420 | 21,807 | ||||||
Sands China Ltd. | 8,400 | 29,409 | ||||||
Sodexo SA | 42 | 2,696 | ||||||
Star Entertainment Grp Ltd. (The) | 15,036 | 34,634 | ||||||
Whitbread plc | 126 | 3,498 | ||||||
Yum! Brands, Inc. | 861 | 80,357 | ||||||
1,272,713 | ||||||||
Household Durables – 1.2% | ||||||||
Barratt Developments plc | 945 | 5,896 | ||||||
Berkeley Group Holdings plc | 609 | 31,946 | ||||||
Garmin Ltd. | 525 | 54,611 | ||||||
Husqvarna AB, Class B | 2,373 | 24,527 | ||||||
Lennar Corp., Class A | 861 | 60,468 | ||||||
Persimmon plc | 1,386 | 41,863 | ||||||
SEB SA | 126 | 20,489 | ||||||
Sony Corp. | 13,400 | 1,111,839 | ||||||
Taylor Wimpey plc | 504 | 689 | ||||||
1,352,328 | ||||||||
Household Products – 2.5% | ||||||||
Clorox Co. (The) | 357 | 73,988 | ||||||
Essity AB, Class B(c) | 2,541 | 73,623 | ||||||
Henkel AG & Co. KGaA (Preference) | 504 | 49,033 | ||||||
Kimberly-Clark Corp. | 1,008 | 133,651 | ||||||
Pigeon Corp. | 1,000 | 45,963 | ||||||
Procter & Gamble Co. (The) | 14,322 | 1,963,546 | ||||||
Reckitt Benckiser Group plc | 2,688 | 236,340 | ||||||
Unicharm Corp. | 4,200 | 194,452 | ||||||
2,770,596 |
See Accompanying Notes to the Financial Statements.
272 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® STOXX® Global ESG Impact Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Industrial Conglomerates – 1.3% | ||||||||
3M Co. | 3,276 | $ | 524,029 | |||||
CK Hutchison Holdings Ltd. | 10,500 | 63,231 | ||||||
General Electric Co. | 47,313 | 351,063 | ||||||
Rheinmetall AG | 168 | 12,270 | ||||||
Roper Technologies, Inc. | 462 | 171,559 | ||||||
Siemens AG (Registered) | 2,205 | 258,647 | ||||||
Smiths Group plc | 1,659 | 28,519 | ||||||
1,409,318 | ||||||||
Insurance – 2.4% | ||||||||
Admiral Group plc | 609 | 21,655 | ||||||
Aegon NV | 14,049 | 37,885 | ||||||
Aflac, Inc. | 1,890 | 64,165 | ||||||
AIA Group Ltd. | 25,200 | 237,382 | ||||||
Alleghany Corp. | 63 | 34,457 | ||||||
Allstate Corp. (The) | 651 | 57,776 | ||||||
Aon plc, Class A | 672 | 123,655 | ||||||
ASR Nederland NV | 1,029 | 31,284 | ||||||
Assicurazioni Generali SpA | 4,704 | 63,069 | ||||||
Aviva plc | 8,967 | 29,855 | ||||||
AXA SA | 7,413 | 119,163 | ||||||
Chubb Ltd. | 1,092 | 141,862 | ||||||
CNP Assurances* | 126 | 1,419 | ||||||
Direct Line Insurance Group plc | 693 | 2,361 | ||||||
Globe Life, Inc. | 483 | 39,166 | ||||||
Hartford Financial Services Group, Inc. (The) | 1,218 | 46,917 | ||||||
Insurance Australia Group Ltd. | 2,877 | 9,637 | ||||||
Japan Post Holdings Co. Ltd. | 33,600 | 229,775 | ||||||
Japan Post Insurance Co. Ltd. | 4,200 | 66,290 | ||||||
Legal & General Group plc | 18,396 | 43,957 | ||||||
Medibank Pvt Ltd. | 9,261 | 17,364 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Registered) | 462 | 108,063 | ||||||
Phoenix Group Holdings plc | 2,457 | 21,044 | ||||||
Poste Italiane SpA(b) | 2,646 | 21,575 | ||||||
Power Corp. of Canada | 2,184 | 41,556 | ||||||
Principal Financial Group, Inc. | 441 | 17,296 | ||||||
Progressive Corp. (The) | 1,575 | 144,742 | ||||||
Prudential plc | 12,180 | 148,479 | ||||||
QBE Insurance Group Ltd. | 9,534 | 55,236 |
Investments | Shares | Value | ||||||
Insurance – (continued) | ||||||||
RSA Insurance Group plc | 4,158 | $ | 22,774 | |||||
Sampo OYJ, Class A | 1,848 | 69,746 | ||||||
Sompo Holdings, Inc. | 4,200 | 156,325 | ||||||
Storebrand ASA* | 693 | 3,632 | ||||||
Suncorp Group Ltd. | 21 | 121 | ||||||
Swiss Life Holding AG (Registered)* | 126 | 42,369 | ||||||
Swiss Re AG | 777 | 55,731 | ||||||
Travelers Cos., Inc. (The) | 987 | 119,141 | ||||||
Zurich Insurance Group AG | 777 | 257,714 | ||||||
2,704,638 | ||||||||
Interactive Media & Services – 5.2% | ||||||||
Alphabet, Inc., Class C* | 1,449 | 2,348,844 | ||||||
Facebook, Inc., Class A* | 11,655 | 3,066,547 | ||||||
Match Group, Inc.* | 504 | 58,857 | ||||||
Rightmove plc | 3,843 | 30,708 | ||||||
SEEK Ltd.(c)(d) | 777 | 11,737 | ||||||
Snap, Inc., Class A* | 3,423 | 134,832 | ||||||
Z Holdings Corp. | 27,300 | 189,356 | ||||||
5,840,881 | ||||||||
Internet & Direct Marketing Retail – 5.2% | ||||||||
Amazon.com, Inc.* | 1,806 | 5,483,287 | ||||||
Delivery Hero SE*(b) | 756 | 86,989 | ||||||
Etsy, Inc.* | 336 | 40,854 | ||||||
Prosus NV* | 945 | 94,425 | ||||||
Zalando SE*(b) | 1,092 | 101,990 | ||||||
5,807,545 | ||||||||
IT Services – 3.3% | ||||||||
Accenture plc, Class A | 3,822 | 829,030 | ||||||
Akamai Technologies, Inc.* | 504 | 47,941 | ||||||
Alten SA* | 63 | 5,038 | ||||||
Amadeus IT Group SA | 1,407 | 67,180 | ||||||
Amdocs Ltd. | 399 | 22,496 | ||||||
Atos SE* | 742 | 50,649 | ||||||
Booz Allen Hamilton Holding Corp. | 567 | 44,510 | ||||||
Capgemini SE | 546 | 63,054 | ||||||
CGI, Inc.* | 672 | 41,665 | ||||||
Cognizant Technology Solutions Corp., Class A | 2,478 | 176,979 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 273 |
Table of Contents
FlexShares® STOXX® Global ESG Impact Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
IT Services – (continued) | ||||||||
Computershare Ltd. | 756 | $ | 6,450 | |||||
Edenred | 1,157 | 53,963 | ||||||
EPAM Systems, Inc.* | 168 | 51,904 | ||||||
Fujitsu Ltd. | 3,200 | 374,211 | ||||||
International Business Machines Corp. | 5,355 | 597,939 | ||||||
Itochu Techno-Solutions Corp. | 2,100 | 71,413 | ||||||
Mastercard, Inc., Class A | 2,646 | 763,741 | ||||||
NEC Corp. | 2,900 | 145,638 | ||||||
Nomura Research Institute Ltd. | 4,200 | 124,345 | ||||||
Okta, Inc.* | 147 | 30,845 | ||||||
SCSK Corp. | 700 | 34,752 | ||||||
Sopra Steria Group* | 42 | 4,990 | ||||||
Western Union Co. (The) | 273 | 5,307 | ||||||
Worldline SA*(b) | 1,100 | 81,544 | ||||||
3,695,584 | ||||||||
Leisure Products – 0.2% | ||||||||
Hasbro, Inc. | 357 | 29,531 | ||||||
Peloton Interactive, Inc., Class A* | 462 | 50,917 | ||||||
Yamaha Corp.(c) | 3,000 | 141,190 | ||||||
221,638 | ||||||||
Life Sciences Tools & Services – 0.6% | ||||||||
Agilent Technologies, Inc. | 756 | 77,180 | ||||||
Bio-Rad Laboratories, Inc., Class A* | 42 | 24,630 | ||||||
Bio-Techne Corp. | 84 | 21,202 | ||||||
Eurofins Scientific SE*(c) | 42 | 33,454 | ||||||
Illumina, Inc.* | 819 | 239,721 | ||||||
Lonza Group AG (Registered) | 210 | 127,208 | ||||||
Mettler-Toledo International, Inc.* | 105 | 104,781 | ||||||
PerkinElmer, Inc. | 252 | 32,647 | ||||||
Sartorius Stedim Biotech | 147 | 55,753 | ||||||
716,576 | ||||||||
Machinery – 2.2% | ||||||||
Alfa Laval AB* | 1,449 | 29,383 | ||||||
Alstom SA*(c) | 630 | 28,239 | ||||||
Atlas Copco AB, Class A | 2,478 | 109,380 | ||||||
Caterpillar, Inc. | 2,751 | 432,044 | ||||||
CNH Industrial NV* | 1,323 | 10,264 |
Investments | Shares | Value | ||||||
Machinery – (continued) | ||||||||
Cummins, Inc. | 336 | $ | 73,883 | |||||
Deere & Co. | 546 | 123,347 | ||||||
Dover Corp. | 441 | 48,823 | ||||||
Ebara Corp. | 2,100 | 58,034 | ||||||
Epiroc AB, Class A | 3,150 | 47,067 | ||||||
GEA Group AG | 546 | 18,171 | ||||||
Georg Fischer AG (Registered) | 21 | 21,194 | ||||||
IMI plc | 1,134 | 15,161 | ||||||
KION Group AG | 273 | 21,255 | ||||||
Komatsu Ltd. | 14,700 | 329,182 | ||||||
Kone OYJ, Class B | 1,575 | 125,379 | ||||||
Kurita Water Industries Ltd. | 1,500 | 44,481 | ||||||
Metso Outotec OYJ | 6,678 | 47,023 | ||||||
Mitsubishi Heavy Industries Ltd. | 4,200 | 89,773 | ||||||
Nabtesco Corp. | 2,100 | 78,142 | ||||||
Otis Worldwide Corp. | 1,281 | 78,500 | ||||||
PACCAR, Inc. | 1,449 | 123,716 | ||||||
Parker-Hannifin Corp. | 357 | 74,384 | ||||||
Rotork plc | 4,452 | 16,176 | ||||||
Sandvik AB* | 2,961 | 52,726 | ||||||
Schindler Holding AG | 210 | 53,729 | ||||||
Stanley Black & Decker, Inc. | 273 | 45,373 | ||||||
Techtronic Industries Co. Ltd. | 4,500 | 60,001 | ||||||
Trelleborg AB, Class B* | 2,331 | 38,731 | ||||||
Valmet OYJ | 336 | 8,016 | ||||||
Volvo AB, Class B* | 5,376 | 104,577 | ||||||
Wartsila OYJ Abp | 3,024 | 24,030 | ||||||
Xylem, Inc. | 294 | 25,619 | ||||||
2,455,803 | ||||||||
Marine – 0.1% | ||||||||
AP Moller – Maersk A/S, Class B(c) | 21 | 33,546 | ||||||
Kuehne + Nagel International AG (Registered) | 189 | 37,757 | ||||||
Mitsui OSK Lines Ltd. | 2,100 | 46,986 | ||||||
118,289 | ||||||||
Media – 0.2% | ||||||||
Informa plc | 651 | 3,518 | ||||||
Omnicom Group, Inc. | 1,533 | 72,358 | ||||||
Pearson plc(c) | 7,602 | 50,130 | ||||||
Publicis Groupe SA | 1,365 | 47,383 | ||||||
SES SA, FDR | 231 | 1,844 | ||||||
WPP plc | 798 | 6,362 | ||||||
181,595 |
See Accompanying Notes to the Financial Statements.
274 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® STOXX® Global ESG Impact Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Metals & Mining – 1.4% | ||||||||
Agnico Eagle Mines Ltd. | 509 | $ | 40,263 | |||||
Alumina Ltd. | 10,038 | 10,115 | ||||||
Anglo American plc(c) | 3,003 | 70,327 | ||||||
ArcelorMittal SA*(c) | 693 | 9,406 | ||||||
BHP Group Ltd.(c) | 9,933 | 235,631 | ||||||
BHP Group plc | 9,429 | 181,681 | ||||||
BlueScope Steel Ltd. | 2,667 | 27,457 | ||||||
Boliden AB | 1,008 | 27,541 | ||||||
Evraz plc | 1,050 | 4,881 | ||||||
Fortescue Metals Group Ltd. | 8,715 | 106,306 | ||||||
Freeport-McMoRan, Inc. | 4,641 | 80,475 | ||||||
Glencore plc*(c) | 30,114 | 60,703 | ||||||
Newcrest Mining Ltd. | 3,570 | 73,306 | ||||||
Newmont Corp. | 2,814 | 176,791 | ||||||
Norsk Hydro ASA* | 294 | 822 | ||||||
Northern Star Resources Ltd. | 1,890 | 19,710 | ||||||
Nucor Corp. | 483 | 23,068 | ||||||
OZ Minerals Ltd. | 3,045 | 31,776 | ||||||
Polymetal International plc | 2,121 | 44,962 | ||||||
Rio Tinto Ltd. | 1,281 | 83,148 | ||||||
Rio Tinto plc | 3,843 | 216,499 | ||||||
South32 Ltd. | 4,431 | 6,317 | ||||||
1,531,185 | ||||||||
Multiline Retail – 0.5% | ||||||||
Dollar General Corp. | 609 | 127,105 | ||||||
Marks & Spencer Group plc | 1,680 | 1,936 | ||||||
Marui Group Co. Ltd. | 4,200 | 75,290 | ||||||
Next plc | 546 | 41,229 | ||||||
Target Corp. | 1,638 | 249,336 | ||||||
Wesfarmers Ltd. | 3,360 | 108,445 | ||||||
603,341 | ||||||||
Multi-Utilities – 0.5% | ||||||||
A2A SpA | 11,550 | 14,685 | ||||||
AGL Energy Ltd. | 210 | 1,840 | ||||||
CMS Energy Corp. | 462 | 29,259 | ||||||
E.ON SE | 3,402 | 35,475 | ||||||
Engie SA* | 7,812 | 94,502 | ||||||
National Grid plc | 17,283 | 205,368 | ||||||
NiSource, Inc. | 945 | 21,707 | ||||||
RWE AG | 1,449 | 53,657 |
Investments | Shares | Value | ||||||
Multi-Utilities – (continued) | ||||||||
Sempra Energy | 357 | $ | 44,754 | |||||
Veolia Environnement SA | 2,520 | 46,937 | ||||||
548,184 | ||||||||
Oil, Gas & Consumable Fuels – 2.3% | ||||||||
Aker BP ASA | 1,974 | 30,625 | ||||||
Ampol Ltd. | 966 | 17,597 | ||||||
BP plc | 105,462 | 268,088 | ||||||
Canadian Natural Resources Ltd. | 1,260 | 20,034 | ||||||
Chevron Corp. | 8,778 | 610,071 | ||||||
ConocoPhillips | 4,935 | 141,240 | ||||||
Eni SpA | 6,657 | 46,612 | ||||||
Equinor ASA | 3,003 | 38,092 | ||||||
Exxon Mobil Corp. | 15,939 | 519,930 | ||||||
Galp Energia SGPS SA | 42 | 340 | ||||||
Koninklijke Vopak NV | 399 | 20,743 | ||||||
Lundin Energy AB | 1,596 | 30,455 | ||||||
Neste OYJ | 1,638 | 85,251 | ||||||
OMV AG | 147 | 3,373 | ||||||
Origin Energy Ltd. | 63 | 177 | ||||||
Repsol SA | 3,234 | 20,116 | ||||||
Royal Dutch Shell plc, Class A(c) | 21,609 | 273,964 | ||||||
Suncor Energy, Inc. | 6,594 | 74,330 | ||||||
TOTAL SE | 11,886 | 357,488 | ||||||
Woodside Petroleum Ltd. | 945 | 11,627 | ||||||
2,570,153 | ||||||||
Paper & Forest Products – 0.2% | ||||||||
Mondi plc | 1,659 | 31,383 | ||||||
Stora Enso OYJ, Class R | 3,948 | 57,600 | ||||||
Svenska Cellulosa AB SCA, Class B* | 3,171 | 43,017 | ||||||
UPM-Kymmene OYJ | 1,281 | 36,200 | ||||||
168,200 | ||||||||
Personal Products – 1.7% | ||||||||
Beiersdorf AG | 357 | 37,385 | ||||||
Estee Lauder Cos., Inc. (The), Class A | 861 | 189,127 | ||||||
Kose Corp. | 700 | 88,923 | ||||||
L’Oreal SA | 1,092 | 353,239 | ||||||
Pola Orbis Holdings, Inc. | 2,100 | 41,341 | ||||||
Rohto Pharmaceutical Co. Ltd. | 1,000 | 31,184 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 275 |
Table of Contents
FlexShares® STOXX® Global ESG Impact Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Personal Products – (continued) | ||||||||
Shiseido Co. Ltd. | 8,400 | $ | 518,270 | |||||
Unilever NV | 5,649 | 319,471 | ||||||
Unilever plc | 6,027 | 343,200 | ||||||
1,922,140 | ||||||||
Pharmaceuticals – 6.4% | ||||||||
Astellas Pharma, Inc. | 27,300 | 374,742 | ||||||
AstraZeneca plc | 6,552 | 657,915 | ||||||
Bayer AG (Registered) | 2,604 | 122,423 | ||||||
Bristol-Myers Squibb Co. | 7,056 | 412,423 | ||||||
Eli Lilly and Co. | 3,192 | 416,428 | ||||||
GlaxoSmithKline plc | 25,494 | 425,826 | ||||||
Hikma Pharmaceuticals plc | 273 | 8,860 | ||||||
Ipsen SA | 105 | 9,558 | ||||||
Merck & Co., Inc. | 7,140 | 536,999 | ||||||
Merck KGaA | 525 | 77,758 | ||||||
Mylan NV* | 147 | 2,137 | ||||||
Novartis AG (Registered) | 10,038 | 782,954 | ||||||
Novo Nordisk A/S, Class B | 8,085 | 519,334 | ||||||
Otsuka Holdings Co. Ltd. | 8,400 | 309,757 | ||||||
Roche Holding AG | 2,835 | 911,697 | ||||||
Sanofi | 5,019 | 452,335 | ||||||
Santen Pharmaceutical Co. Ltd. | 4,200 | 74,607 | ||||||
Shionogi & Co. Ltd. | 3,300 | 155,435 | ||||||
Takeda Pharmaceutical Co. Ltd. | 25,200 | 780,781 | ||||||
UCB SA | 378 | 37,295 | ||||||
7,069,264 | ||||||||
Professional Services – 0.4% | ||||||||
Adecco Group AG (Registered) | 567 | 27,838 | ||||||
Bureau Veritas SA* | 1,491 | 32,739 | ||||||
Intertek Group plc | 1,092 | 78,674 | ||||||
RELX plc | 9,135 | 180,422 | ||||||
SGS SA (Registered) | 21 | 52,491 | ||||||
Wolters Kluwer NV | 1,155 | 93,613 | ||||||
465,777 | ||||||||
Real Estate Management & Development – 0.4% | ||||||||
Aroundtown SA* | 4,998 | 23,969 | ||||||
CapitaLand Ltd.(c) | 2,100 | 3,952 | ||||||
Castellum AB | 1,176 | 24,494 | ||||||
CBRE Group, Inc., Class A* | 462 | 23,285 |
Investments | Shares | Value | ||||||
Real Estate Management & Development – (continued) | ||||||||
CK Asset Holdings Ltd. | 10,500 | $ | 48,608 | |||||
Entra ASA(b) | 2,562 | 33,396 | ||||||
Hulic Co. Ltd. | 8,400 | 77,620 | ||||||
IWG plc* | 9,009 | 29,518 | ||||||
Lendlease Corp. Ltd. | 5,670 | 47,622 | ||||||
New World Development Co. Ltd. | 5,000 | 23,791 | ||||||
Sun Hung Kai Properties Ltd. | 3,000 | 38,357 | ||||||
Vonovia SE | 1,533 | 97,893 | ||||||
472,505 | ||||||||
Road & Rail – 0.5% | ||||||||
Aurizon Holdings Ltd. | 8,022 | 21,238 | ||||||
Canadian National Railway Co. | 2,562 | 254,308 | ||||||
Canadian Pacific Railway Ltd. | 378 | 112,871 | ||||||
MTR Corp. Ltd. | 8,549 | 42,278 | ||||||
Nippon Express Co. Ltd. | 1,400 | 78,343 | ||||||
Sotetsu Holdings, Inc. | 2,100 | 51,646 | ||||||
560,684 | ||||||||
Semiconductors & Semiconductor Equipment – 5.6% | ||||||||
Advanced Micro Devices, Inc.* | 4,473 | 336,772 | ||||||
ams AG* | 849 | 18,202 | ||||||
Analog Devices, Inc. | 1,197 | 141,880 | ||||||
ASM International NV | 441 | 63,082 | ||||||
ASML Holding NV | 1,659 | 602,936 | ||||||
Broadcom, Inc. | 1,638 | 572,694 | ||||||
Infineon Technologies AG | 3,864 | 107,573 | ||||||
Intel Corp. | 25,137 | 1,113,066 | ||||||
Lam Research Corp. | 735 | 251,429 | ||||||
Marvell Technology Group Ltd. | 1,932 | 72,469 | ||||||
Maxim Integrated Products, Inc. | 483 | 33,641 | ||||||
Micron Technology, Inc.* | 4,830 | 243,142 | ||||||
NVIDIA Corp. | 1,848 | 926,513 | ||||||
QUALCOMM, Inc. | 3,360 | 414,490 | ||||||
Renesas Electronics Corp.* | 12,600 | 103,775 | ||||||
Skyworks Solutions, Inc. | 567 | 80,112 | ||||||
STMicroelectronics NV | 2,562 | 78,100 | ||||||
SUMCO Corp. | 4,200 | 63,679 | ||||||
Teradyne, Inc. | 882 | 77,484 | ||||||
Texas Instruments, Inc. | 3,591 | 519,223 | ||||||
Tokyo Electron Ltd. | 1,700 | 453,702 | ||||||
6,273,964 |
See Accompanying Notes to the Financial Statements.
276 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® STOXX® Global ESG Impact Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Software – 8.7% | ||||||||
Adobe, Inc.* | 1,911 | $ | 854,408 | |||||
ANSYS, Inc.* | 315 | 95,877 | ||||||
Autodesk, Inc.* | 1,176 | 276,995 | ||||||
Citrix Systems, Inc. | 357 | 40,437 | ||||||
Coupa Software, Inc.* | 126 | 33,730 | ||||||
Crowdstrike Holdings, Inc., Class A* | 399 | 49,412 | ||||||
Dassault Systemes SE | 548 | 93,548 | ||||||
Datadog, Inc., Class A* | 294 | 26,681 | ||||||
Fortinet, Inc.* | 210 | 23,178 | ||||||
Intuit, Inc. | 945 | 297,373 | ||||||
Microsoft Corp. | 27,867 | 5,642,231 | ||||||
NortonLifeLock, Inc. | 2,520 | 51,836 | ||||||
Oracle Corp. | 11,067 | 620,969 | ||||||
Sage Group plc (The) | 4,326 | 35,552 | ||||||
salesforce.com, Inc.* | 3,444 | 799,938 | ||||||
SAP SE | 5,166 | 550,552 | ||||||
SimCorp A/S | 357 | 42,562 | ||||||
Splunk, Inc.* | 525 | 103,971 | ||||||
VMware, Inc., Class A* | 189 | 24,330 | ||||||
9,663,580 | ||||||||
Specialty Retail – 2.2% | ||||||||
AutoZone, Inc.* | 42 | 47,417 | ||||||
Best Buy Co., Inc. | 1,134 | 126,498 | ||||||
Burlington Stores, Inc.* | 357 | 69,108 | ||||||
Hennes & Mauritz AB, Class B(c) | 2,772 | 45,031 | ||||||
Home Depot, Inc. (The) | 5,250 | 1,400,228 | ||||||
Industria de Diseno Textil SA(c) | 2,562 | 63,238 | ||||||
Kingfisher plc* | 7,812 | 29,000 | ||||||
Lowe’s Cos., Inc. | 2,352 | 371,851 | ||||||
Tiffany & Co. | 399 | 52,205 | ||||||
TJX Cos., Inc. (The) | 3,948 | 200,559 | ||||||
2,405,135 | ||||||||
Technology Hardware, Storage & Peripherals – 5.2% | ||||||||
Apple, Inc. | 50,505 | 5,497,974 | ||||||
Dell Technologies, Inc., Class C* | 525 | 31,637 | ||||||
Hewlett Packard Enterprise Co. | 3,507 | 30,300 | ||||||
HP, Inc. | 9,681 | 173,871 | ||||||
Logitech International SA (Registered) | 210 | 17,688 |
Investments | Shares | Value | ||||||
Technology Hardware, Storage & Peripherals – (continued) | ||||||||
NetApp, Inc. | 504 | $ | 22,121 | |||||
Western Digital Corp. | 210 | 7,923 | ||||||
5,781,514 | ||||||||
Textiles, Apparel & Luxury Goods – 1.7% | ||||||||
adidas AG* | 924 | 274,462 | ||||||
Asics Corp. | 4,200 | 52,229 | ||||||
Burberry Group plc | 735 | 12,887 | ||||||
Cie Financiere Richemont SA (Registered) | 2,415 | 151,506 | ||||||
EssilorLuxottica SA – IM* | 282 | 34,737 | ||||||
EssilorLuxottica SA – MO* | 957 | 118,388 | ||||||
Hermes International | 126 | 117,270 | ||||||
Kering SA | 315 | 190,252 | ||||||
Lululemon Athletica, Inc.* | 420 | 134,102 | ||||||
LVMH Moet Hennessy Louis Vuitton SE | 1,155 | 541,255 | ||||||
Moncler SpA* | 1,176 | 47,068 | ||||||
Pandora A/S | 441 | 34,927 | ||||||
Shenzhou International Group Holdings Ltd. | 2,100 | 36,260 | ||||||
Swatch Group AG (The)(c) | 210 | 44,438 | ||||||
VF Corp. | 1,008 | 67,737 | ||||||
1,857,518 | ||||||||
Tobacco – 0.1% | ||||||||
Altria Group, Inc. | 3,003 | 108,348 | ||||||
Imperial Brands plc | 3,507 | 55,503 | ||||||
163,851 | ||||||||
Trading Companies & Distributors – 0.3% | ||||||||
Brenntag AG | 462 | 29,534 | ||||||
Bunzl plc | 1,071 | 33,235 | ||||||
Electrocomponents plc | 21 | 185 | ||||||
Fastenal Co. | 1,428 | 61,732 | ||||||
Ferguson plc | 315 | 31,451 | ||||||
Rexel SA* | 189 | 1,988 | ||||||
Sojitz Corp. | 25,200 | 55,202 | ||||||
Toyota Tsusho Corp. | 2,100 | 58,235 | ||||||
WW Grainger, Inc. | 189 | 66,154 | ||||||
337,716 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 277 |
Table of Contents
FlexShares® STOXX® Global ESG Impact Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Transportation Infrastructure – 0.2% | ||||||||
Aena SME SA*(b) | 231 | $ | 31,106 | |||||
Aeroports de Paris | 42 | 4,105 | ||||||
Auckland International Airport Ltd.(c) | 5,581 | 25,819 | ||||||
Flughafen Zurich AG (Registered)*(c) | 105 | 14,160 | ||||||
Getlink SE* | 2,121 | 28,511 | ||||||
Transurban Group | 10,836 | 102,425 | ||||||
206,126 | ||||||||
Water Utilities – 0.2% | ||||||||
American Water Works Co., Inc. | 777 | 116,946 | ||||||
Pennon Group plc | 3,675 | 47,166 | ||||||
Severn Trent plc | 1,428 | 44,868 | ||||||
208,980 | ||||||||
Wireless Telecommunication Services – 0.1% | ||||||||
Vodafone Group plc(c) | 88,893 | 118,387 | ||||||
Total Common Stocks (Cost $93,167,922) |
| 110,029,500 | ||||||
Principal Amount | ||||||||
SECURITIES LENDING REINVESTMENTS(e) – 0.2% | ||||||||
REPURCHASE AGREEMENTS – 0.2% | ||||||||
Citigroup Global Markets Ltd., 0.11%, dated 10/30/2020, due 11/2/2020, repurchase price $100,001, collateralized by various U.S. Treasury Securities, ranging from 0.50% – 1.88%, maturing 11/30/2021 – 3/15/2023; Foreign Government Fixed Income Securities, ranging from 0.25% – 0.50%, maturing 11/15/2023 – 12/15/2025; total market value $101,420 | $ | 100,000 | 100,000 |
Investments | Principal Amount | Value | ||||||
REPURCHASE AGREEMENTS – (continued) | ||||||||
Citigroup Global Markets, Inc., 0.07%, dated 10/30/2020, due 11/2/2020, repurchase price $104,572, collateralized by various U.S. Treasury Securities, ranging from 2.63% – 5.50%, maturing 8/15/2028 – 4/15/2029; total market value $106,403 | $ | 104,571 | $ | 104,571 | ||||
204,571 | ||||||||
Total Securities Lending Reinvestments (Cost $204,571) |
| 204,571 | ||||||
Total Investments – 99.0% (Cost $93,372,493) |
| 110,234,071 | ||||||
Other assets less liabilities – 1.0% |
| 1,089,221 | ||||||
NET ASSETS – 100.0% |
| $ | 111,323,292 |
* | Non-income producing security. |
(a) | Represents less than 0.05% of net assets. |
(b) | Security exempt from registration pursuant to Regulation S under the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale. |
(c) | The security or a portion of this security is on loan at October 31, 2020. The total value of securities on loan at October 31, 2020 was $1,303,262, collateralized in the form of cash with a value of $204,571 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Investments; $493,977 of collateral in the form of U.S. Government Treasury Securities, interest rates ranging from 0.00% – 6.88%, and maturity dates ranging from January 7, 2021 – November 15, 2048 and $689,782 of collateral in the form of Foreign Government Fixed Income Securities, interest rates ranging from 0.00% – 6.50%, and maturity dates ranging from January 22, 2021 – September 20, 2117; a total value of $1,388,330. |
(d) | Security fair valued as of October 31, 2020 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at October 31, 2020 amounted to $11,737, which represents approximately 0.01% of net assets of the Fund. |
(e) | The security was purchased with cash collateral held from securities on loan at October 31, 2020. The total value of securities purchased was $204,571. |
See Accompanying Notes to the Financial Statements.
278 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® STOXX® Global ESG Impact Index Fund (cont.)
Percentages shown are based on Net Assets.
Abbreviations
CVA – Dutch Certification
DI – Depositary Interest
FDR – Fiduciary Depositary Receipt
OYJ – Public Limited Company
Preference – A special type of equity investment that shares in the earnings of the company, has limited voting rights, and may have a dividend preference. Preference shares may also have liquidation
preference.
SCA – Limited partnership with share capital
As of October 31, 2020, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments (including derivative instruments, if applicable) for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 22,429,194 | ||
Aggregate gross unrealized depreciation | (5,604,586 | ) | ||
Net unrealized appreciation | $ | 16,824,608 | ||
Federal income tax cost | $ | 93,371,655 |
Futures Contracts
FlexShares® STOXX® Global ESG Impact Index Fund had the following open futures contracts as of October 31, 2020:
Number of Contracts | Expiration Date | Trading Currency | Notional Amount | Value and Unrealized Depreciation* | ||||||||||||||||
Long Contracts |
| |||||||||||||||||||
EURO STOXX 50 Index | 2 | 12/18/2020 | EUR | $ | 68,936 | $ | (5,568 | ) | ||||||||||||
MSCI EAFE E-Mini Index | 4 | 12/18/2020 | USD | 356,780 | (20,164 | ) | ||||||||||||||
S&P 500 E-Mini Index | 5 | 12/18/2020 | USD | 816,175 | (15,207 | ) | ||||||||||||||
$ | (40,939 | ) |
* | This amount represents the cumulative appreciation/depreciation on futures contracts. Current day’s variation margin is reported within the Statement of Assets and Liabilities for futures contracts. |
Forward Foreign Currency Contracts
FlexShares® STOXX® Global ESG Impact Index Fund had the following outstanding contracts as of October 31, 2020:
Contracts to Receive | Counterparty | In Exchange For | Maturity Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
USD | 43,750 | Citibank NA | AUD | 60,000 | 12/16/2020 | $ | 1,605 | |||||||||||||||
USD | 118,764 | Citibank NA | EUR | 100,000 | 12/16/2020 | 2,156 | ||||||||||||||||
Total unrealized appreciation |
| $ | 3,761 | |||||||||||||||||||
USD | 64,042 | Bank of New York | GBP | 50,000 | 12/16/2020 | $ | (630 | ) | ||||||||||||||
Total unrealized depreciation |
| $ | (630 | ) | ||||||||||||||||||
Net unrealized appreciation |
| $ | 3,131 |
Abbreviations:
AUD – Australian Dollar
EUR – Euro
GBP – British Pound
USD – US Dollar
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 279 |
Table of Contents
FlexShares® STOXX® Global ESG Impact Index Fund (cont.)
FlexShares® STOXX® Global ESG Impact Index Fund invested, as a percentage of net assets, in companies domiciled in the following countries as of October 31, 2020:
Australia | 2.8 | % | ||
Austria | 0.0 | † | ||
Belgium | 0.3 | |||
Canada | 1.6 | |||
Denmark | 1.0 | |||
Finland | 0.5 | |||
France | 4.5 | |||
Germany | 3.0 | |||
Hong Kong | 0.9 | |||
Ireland | 0.2 | |||
Italy | 0.8 | |||
Japan | 9.4 | |||
Luxembourg | 0.0 | † | ||
Netherlands | 1.9 | |||
New Zealand | 0.1 | |||
Norway | 0.2 | |||
Poland | 0.0 | † | ||
Portugal | 0.0 | † | ||
Singapore | 0.1 | |||
Spain | 0.9 | |||
Sweden | 1.2 | |||
Switzerland | 4.6 | |||
United Kingdom | 5.6 | |||
United States | 59.2 | |||
Other1 | 1.2 | |||
100.0 | % |
† | Amount represents less than 0.05%. |
1 | Includes any non-equity securities, securities lending reinvestments and net other assets (liabilities). |
See Accompanying Notes to the Financial Statements.
280 | FLEXSHARES ANNUAL REPORT |
Table of Contents
Schedule of Investments
FlexShares® Morningstar Global Upstream Natural Resources Index Fund
October 31, 2020
Investments | Shares | Value | ||||||
COMMON STOCKS – 99.1% | ||||||||
Building Products – 0.2% | ||||||||
UFP Industries, Inc. | 105,120 | $ | 5,246,539 | |||||
Chemicals – 14.9% | ||||||||
CF Industries Holdings, Inc. | 967,980 | 26,725,928 | ||||||
Corteva, Inc. | 3,339,750 | 110,144,955 | ||||||
FMC Corp. | 575,970 | 59,175,158 | ||||||
ICL Group Ltd. | 3,184,260 | 11,609,379 | ||||||
K+S AG (Registered) | 891,330 | 5,972,105 | ||||||
Mosaic Co. (The) | 1,587,750 | 29,373,375 | ||||||
Nutrien Ltd.(a) | 2,498,790 | 101,499,581 | ||||||
Saudi Arabian Fertilizer Co. | 908,850 | 18,272,482 | ||||||
Scotts Miracle-Gro Co. (The) | 183,960 | 27,603,198 | ||||||
UPL Ltd. | 2,516,310 | 15,390,041 | ||||||
Yara International ASA | 823,440 | 28,642,964 | ||||||
434,409,166 | ||||||||
Equity Real Estate Investment Trusts (REITs) – 1.4% | ||||||||
Rayonier, Inc. | 236,520 | 6,002,878 | ||||||
Weyerhaeuser Co. | 1,322,760 | 36,098,120 | ||||||
42,100,998 | ||||||||
Food Products – 17.0% | ||||||||
a2 Milk Co. Ltd. (The)*(a) | 3,508,380 | 33,945,597 | ||||||
Archer-Daniels-Midland Co.(a) | 2,426,520 | 112,202,285 | ||||||
Bakkafrost P/F* | 214,620 | 12,214,155 | ||||||
Bunge Ltd. | 635,100 | 36,029,223 | ||||||
Cal-Maine Foods, Inc.*(a) | 164,250 | 6,298,988 | ||||||
Charoen Pokphand Foods PCL, NVDR | 19,491,000 | 15,790,415 | ||||||
Charoen Pokphand Indonesia Tbk. PT | 34,602,000 | 13,840,800 | ||||||
International Holdings Co. PJSC* | 1,520,586 | 15,880,016 | ||||||
IOI Corp. Bhd. | 14,235,000 | 14,731,769 | ||||||
Kuala Lumpur Kepong Bhd. | 2,628,000 | 13,421,458 | ||||||
Mowi ASA | 2,012,610 | 31,719,265 | ||||||
Muyuan Foods Co. Ltd., Class A | 1,488,500 | 15,746,527 | ||||||
New Hope Liuhe Co. Ltd., Class A | 1,752,000 | 7,028,710 |
Investments | Shares | Value | ||||||
Food Products – (continued) | ||||||||
PPB Group Bhd. | 3,066,000 | $ | 13,872,635 | |||||
QL Resources Bhd. | 4,927,500 | 7,471,300 | ||||||
Salmar ASA* | 243,090 | 12,270,401 | ||||||
Sime Darby Plantation Bhd. | 13,578,000 | 15,816,491 | ||||||
Tyson Foods, Inc., Class A | 1,355,610 | 77,581,560 | ||||||
Wilmar International Ltd. | 13,797,000 | 40,820,125 | ||||||
496,681,720 | ||||||||
Metals & Mining – 29.7% | ||||||||
Agnico Eagle Mines Ltd.(a) | 362,514 | 28,675,405 | ||||||
Anglo American plc(a) | 2,065,170 | 48,363,837 | ||||||
AngloGold Ashanti Ltd. | 632,910 | 14,366,410 | ||||||
B2Gold Corp.(a) | 1,578,990 | 10,148,831 | ||||||
Barrick Gold Corp.(a) | 2,606,100 | 69,621,091 | ||||||
BHP Group Ltd. | 4,644,990 | 110,188,476 | ||||||
Boliden AB | 398,580 | 10,890,127 | ||||||
Evolution Mining Ltd. | 2,590,770 | 10,079,300 | ||||||
Fortescue Metals Group Ltd. | 2,505,360 | 30,560,588 | ||||||
Franco-Nevada Corp.(a) | 287,561 | 39,163,162 | ||||||
Freeport-McMoRan, Inc. | 2,113,350 | 36,645,489 | ||||||
Glencore plc*(a) | 16,400,910 | 33,060,741 | ||||||
Gold Fields Ltd. | 1,309,620 | 13,915,279 | ||||||
Grupo Mexico SAB de CV, Series B | 4,707,000 | 13,328,481 | ||||||
Impala Platinum Holdings Ltd. | 1,180,410 | 10,371,699 | ||||||
Kinross Gold Corp. | 1,839,600 | 14,624,637 | ||||||
Kirkland Lake Gold Ltd. | 378,870 | 17,247,841 | ||||||
MMC Norilsk Nickel PJSC | 19,016 | 4,512,405 | ||||||
MMC Norilsk Nickel PJSC, ADR | 722,396 | 17,221,921 | ||||||
Newcrest Mining Ltd. | 1,265,820 | 25,992,082 | ||||||
Newmont Corp.(a) | 1,191,360 | 74,865,062 | ||||||
Northern Star Resources Ltd.(a) | 1,186,980 | 12,378,317 | ||||||
Pan American Silver Corp.(a) | 319,740 | 10,153,217 | ||||||
Polyus PJSC | 45,990 | 9,002,729 | ||||||
Rio Tinto plc | 1,467,300 | 82,661,828 | ||||||
Royal Gold, Inc. | 100,740 | 11,968,919 | ||||||
South32 Ltd. | 7,222,620 | 10,296,332 | ||||||
Sumitomo Metal Mining Co. Ltd. | 377,200 | 11,629,191 | ||||||
Vale SA | 4,599,000 | 48,295,083 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 281 |
Table of Contents
FlexShares® Morningstar Global Upstream Natural Resources Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Metals & Mining – (continued) | ||||||||
Wheaton Precious Metals Corp.(a) | 657,000 | $ | 30,126,359 | |||||
Yamana Gold, Inc.(a) | 1,412,550 | 7,850,149 | ||||||
868,204,988 | ||||||||
Multi-Utilities – 1.0% | ||||||||
Suez SA | 689,850 | 12,632,148 | ||||||
Veolia Environnement SA | 961,410 | 17,907,176 | ||||||
30,539,324 | ||||||||
Oil, Gas & Consumable Fuels – 26.3% | ||||||||
BP plc | 20,123,910 | 51,155,744 | ||||||
Cabot Oil & Gas Corp.(a) | 389,820 | 6,934,898 | ||||||
Canadian Natural Resources Ltd.(a) | 1,213,260 | 19,290,593 | ||||||
Chevron Corp. | 1,874,640 | 130,287,480 | ||||||
China Petroleum & Chemical Corp., Class H | 25,604,000 | 9,938,044 | ||||||
CNOOC Ltd. | 16,679,000 | 15,141,513 | ||||||
Concho Resources, Inc. | 199,290 | 8,272,528 | ||||||
ConocoPhillips(a) | 1,130,040 | 32,341,745 | ||||||
Diamondback Energy, Inc.(a) | 183,960 | 4,775,602 | ||||||
Eni SpA | 2,527,260 | 17,695,656 | ||||||
EOG Resources, Inc. | 604,440 | 20,696,026 | ||||||
Equinor ASA | 1,105,950 | 14,028,511 | ||||||
Exxon Mobil Corp.(a) | 4,185,090 | 136,517,636 | ||||||
Gazprom PJSC | 12,235,220 | 23,858,583 | ||||||
Gazprom PJSC, ADR | 45,390 | 173,844 | ||||||
Hess Corp.(a) | 245,280 | 9,129,322 | ||||||
LUKOIL PJSC | 271,636 | 13,823,150 | ||||||
LUKOIL PJSC, ADR | 151,214 | 7,720,987 | ||||||
Novatek PJSC | 996,450 | 11,971,816 | ||||||
Occidental Petroleum Corp.(a) | 994,260 | 9,077,594 | ||||||
PetroChina Co. Ltd., Class H | 21,900,000 | 6,128,165 | ||||||
Petroleo Brasileiro SA (Preference) | 3,941,933 | 12,948,354 | ||||||
Pioneer Natural Resources Co. | 168,630 | 13,416,203 | ||||||
PTT PCL, NVDR | 13,797,000 | 13,722,852 | ||||||
Repsol SA | 1,445,400 | 8,990,820 | ||||||
Royal Dutch Shell plc, Class A | 4,121,580 | 51,448,125 |
Investments | Shares | Value | ||||||
Oil, Gas & Consumable Fuels – (continued) | ||||||||
Saudi Arabian Oil Co.(b) | 952,650 | $ | 8,560,463 | |||||
Suncor Energy, Inc.(a) | 1,673,160 | 18,860,460 | ||||||
Tatneft PJSC | 1,620,600 | 8,369,320 | ||||||
TOTAL SE | 2,424,330 | 72,915,184 | ||||||
Woodside Petroleum Ltd. | 989,880 | 12,178,909 | ||||||
770,370,127 | ||||||||
Paper & Forest Products – 3.5% | ||||||||
Canfor Corp.* | 109,500 | 1,327,123 | ||||||
Duratex SA* | 438,000 | 1,456,202 | ||||||
Empresas CMPC SA | 1,889,970 | 3,926,541 | ||||||
Holmen AB, Class B | 162,060 | 6,142,919 | ||||||
Mondi plc | 821,250 | 15,535,250 | ||||||
Oji Holdings Corp.(a) | 1,653,000 | 6,941,525 | ||||||
Stella-Jones, Inc.(a) | 100,740 | 3,276,024 | ||||||
Stora Enso OYJ, Class R | 961,410 | 14,026,728 | ||||||
Suzano SA* | 917,700 | 7,965,814 | ||||||
Svenska Cellulosa AB SCA, Class B* | 994,260 | 13,487,796 | ||||||
UPM-Kymmene OYJ | 873,810 | 24,693,225 | ||||||
West Fraser Timber Co. Ltd.(a) | 87,600 | 4,059,552 | ||||||
102,838,699 | ||||||||
Trading Companies & Distributors – 0.9% | ||||||||
Mitsui & Co. Ltd. | 1,641,400 | 25,592,902 | ||||||
Water Utilities – 4.2% | ||||||||
American States Water Co.(a) | 61,320 | 4,579,991 | ||||||
American Water Works Co., Inc. | 297,840 | 44,827,898 | ||||||
Beijing Enterprises Water Group Ltd.* | 9,734,000 | 3,690,331 | ||||||
California Water Service Group(a) | 81,030 | 3,611,507 | ||||||
China Water Affairs Group Ltd.(a) | 1,466,000 | 1,049,189 | ||||||
Cia de Saneamento Basico do Estado de Sao Paulo* | 523,405 | 3,857,911 | ||||||
Cia de Saneamento do Parana* | 360,360 | 1,480,563 | ||||||
Essential Utilities, Inc.(a) | 396,390 | 16,331,268 | ||||||
Guangdong Investment Ltd. | 4,615,576 | 6,832,732 |
See Accompanying Notes to the Financial Statements.
282 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® Morningstar Global Upstream Natural Resources Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS –(continued) | ||||||||
Water Utilities – (continued) | ||||||||
Pennon Group plc | 700,800 | $ | 8,994,290 | |||||
Severn Trent plc | 400,770 | 12,592,153 | ||||||
SJW Group(a) | 43,800 | 2,658,222 | ||||||
United Utilities Group plc | 1,136,610 | 12,688,844 | ||||||
123,194,899 | ||||||||
Total Common Stocks (Cost $3,189,005,299) |
| 2,899,179,362 | ||||||
Principal Amount | ||||||||
SECURITIES LENDING REINVESTMENTS(c) – 4.0% | ||||||||
CERTIFICATES OF DEPOSIT – 0.8% | ||||||||
Bank of Nova Scotia, Houston (ICE LIBOR USD 3 Month + 0.08%), 0.29%, 7/21/2021(d) | $ | 2,000,000 | 2,000,422 | |||||
Cooperatieve Rabobank UA, London (ICE LIBOR USD 3 Month + 0.08%), 0.29%, 7/30/2021(d) | 3,000,000 | 3,001,170 | ||||||
Nordea Bank Abp, New York Branch (ICE LIBOR USD 3 Month + 0.03%), 0.27%, 10/7/2021(d) | 5,000,000 | 4,999,220 | ||||||
Royal Bank of Canada, New York (ICE LIBOR USD 3 Month + 0.04%), 0.27%, 10/5/2021(d) | 2,000,000 | 1,999,736 | ||||||
Sumitomo Mitsui Trust Bank Ltd., New York (ICE LIBOR USD 3 Month + 0.09%), 0.34%, 12/11/2020(d) | 3,000,000 | 3,000,000 | ||||||
Svenska Handelsbanken, New York (ICE LIBOR USD 1 Month + 0.08%), 0.60%, 11/30/2020(d) | 3,000,000 | 2,999,137 |
Investments | Principal Amount | Value | ||||||
CERTIFICATES OF DEPOSIT – (continued) | ||||||||
The Sumitomo Bank Ltd., New York (ICE LIBOR USD 3 Month + 0.06%), 0.27%, 1/29/2021(d) | 4,000,000 | $ | 4,000,176 | |||||
Total Certificates of Deposit (Cost $21,998,821) |
| 21,999,861 | ||||||
REPURCHASE AGREEMENTS – 3.2% | ||||||||
BofA Securities, Inc., 0.53%, dated 10/30/2020, due 2/1/2021, repurchase price $8,011,071, collateralized by various Common Stocks; total market value $8,696,146 | $ | 8,000,000 | 8,000,000 | |||||
Citigroup Global Markets Ltd., 0.11%, dated 10/30/2020, due 11/2/2020, repurchase price $10,300,094, collateralized by various U.S. Treasury Securities, ranging from 0.50% – 1.88%, maturing 11/30/2021 – 3/15/2023; Foreign Government Fixed Income Securities, ranging from 0.25% – 0.50%, maturing 11/15/2023 – 12/15/2025; total market value $10,446,282 | 10,300,000 | 10,300,000 | ||||||
Citigroup Global Markets, Inc., 0.07%, dated 10/30/2020, due 11/2/2020, repurchase price $25,622,178, collateralized by various U.S. Treasury Securities, ranging from 2.63% – 5.50%, maturing 8/15/2028 – 4/15/2029; total market value $26,070,889 | 25,622,028 | 25,622,028 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 283 |
Table of Contents
FlexShares® Morningstar Global Upstream Natural Resources Index Fund (cont.)
Investments | Principal Amount | Value | ||||||
SECURITIES LENDING REINVESTMENTS(c) – (continued) | ||||||||
REPURCHASE AGREEMENTS – (continued) | ||||||||
Deutsche Bank AG, London Branch, 0.20%, dated 10/30/2020, due 11/2/2020, repurchase price $24,700,412, collateralized by various Foreign Government Fixed Income Securities, ranging from 0.25% – 0.50%, maturing 10/19/2023 – 10/28/2025; total market value $25,183,270 | $ | 24,700,000 | $ | 24,700,000 | ||||
Societe Generale, 0.18%, dated 10/30/2020, due 11/2/2020, repurchase price $25,000,375, collateralized by various Common Stocks; total market value $27,518,078 | 25,000,000 | 25,000,000 | ||||||
Total Repurchase Agreements (Cost $93,622,028) |
| 93,622,028 | ||||||
Total Securities Lending Reinvestments (Cost $115,620,849) |
| 115,621,889 | ||||||
Total Investments – 103.1% (Cost $3,304,626,148) |
| 3,014,801,251 | ||||||
Liabilities in excess of other assets – (3.1%) |
| (90,075,443 | ) | |||||
NET ASSETS – 100.0% | $ | 2,924,725,808 |
* | Non-income producing security. |
(a) | The security or a portion of this security is on loan at October 31, 2020. The total value of securities on loan at October 31, 2020 was $169,515,214, collateralized in the form of cash with a value of $115,620,769 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Investments; $22,237,387 of collateral in the form of U.S. Government Treasury Securities, interest rates ranging from 0.00% – 8.00%, and maturity dates ranging from November 12, 2020 – May 15, 2050 and $41,012,012 of collateral in the form of Foreign Government Fixed Income Securities, interest rates ranging from 0.00% – 6.50%, and maturity dates ranging from January 22, 2021 – September 20, 2117; a total value of $178,870,168. |
(b) | Security exempt from registration pursuant to Regulation S under the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale. |
(c) | The security was purchased with cash collateral held from securities on loan at October 31, 2020. The total value of securities purchased was $115,621,889. |
(d) | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the rate in effect as of October 31, 2020. |
Percentages shown are based on Net Assets.
Abbreviations
ADR – American Depositary Receipt
ICE – Intercontinental Exchange
LIBOR – London Interbank Offered Rate
NVDR – Non-Voting Depositary Receipt
OYJ – Public Limited Company
PJSC – Public Joint Stock Company
Preference – A special type of equity investment that shares in the earnings of the company, has limited voting rights, and may have a dividend preference. Preference shares may also have liquidation preference.
SCA – Limited partnership with share capital
USD – US Dollar
As of October 31, 2020, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments (including derivative instruments, if applicable) for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 428,380,004 | ||
Aggregate gross unrealized depreciation | (740,757,352 | ) | ||
Net unrealized depreciation | $ | (312,377,348 | ) | |
Federal income tax cost | $ | 3,326,427,003 |
See Accompanying Notes to the Financial Statements.
284 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® Morningstar Global Upstream Natural Resources Index Fund (cont.)
Futures Contracts
FlexShares® Morningstar Global Upstream Natural Resources Index Fund had the following open futures contracts as of October 31, 2020:
Number of Contracts | Expiration Date | Trading Currency | Notional Amount | Value and Unrealized Appreciation/ (Depreciation)* | ||||||||||||||||
Long Contracts |
| |||||||||||||||||||
EURO STOXX 50 Index | 2 | 12/18/2020 | EUR | $ | 68,936 | $ | (8,696 | ) | ||||||||||||
FTSE 100 Index | 108 | 12/18/2020 | GBP | 7,769,094 | (574,014 | ) | ||||||||||||||
FTSE/JSE Top 40 Index | 22 | 12/17/2020 | ZAR | 644,548 | (58,164 | ) | ||||||||||||||
Hang Seng Index | 2 | 11/27/2020 | HKD | 311,508 | (7,882 | ) | ||||||||||||||
MSCI Emerging Markets E-Mini Index | 24 | 12/18/2020 | USD | 1,322,280 | 25,865 | |||||||||||||||
S&P Midcap 400 E-Mini Index | 20 | 12/18/2020 | USD | 3,791,200 | 94,462 | |||||||||||||||
S&P/TSX 60 Index | 57 | 12/17/2020 | CAD | 7,912,071 | (286,253 | ) | ||||||||||||||
SPI 200 Index | 35 | 12/17/2020 | AUD | 3,619,221 | 497 | |||||||||||||||
TOPIX Index | 3 | 12/10/2020 | JPY | 451,406 | (13,057 | ) | ||||||||||||||
$ | (827,242 | ) |
* | This amount represents the cumulative appreciation/depreciation on futures contracts. Current day’s variation margin is reported within the Statement of Assets and Liabilities for futures contracts. |
Forward Foreign Currency Contracts
FlexShares® Morningstar Global Upstream Natural Resources Index Fund had the following outstanding contracts as of October 31, 2020:
Contracts to Receive | Counterparty | In Exchange For | Maturity Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
CAD | 1,250,000 | BNP Paribas SA | USD | 936,683 | 12/16/2020 | $ | 1,006 | |||||||||||||||
GBP | 1,250,000 | JPMorgan Chase Bank | USD | 1,602,512 | 12/16/2020 | 14,281 | ||||||||||||||||
HKD | 6,000,000 | UBS AG | USD | 773,677 | 12/16/2020 | 1 | ||||||||||||||||
JPY | 45,000,000 | Bank of New York | USD | 428,101 | 12/16/2020 | 2,624 | ||||||||||||||||
MYR* | 724,831 | Goldman Sachs & Co. | USD | 173,604 | 12/16/2020 | 622 | ||||||||||||||||
USD | 2,474,110 | JPMorgan Chase Bank | AUD | 3,390,000 | 12/16/2020 | 92,919 | ||||||||||||||||
USD | 2,138,340 | Citibank NA | BRL* | 11,800,000 | 12/16/2020 | 95,557 | ||||||||||||||||
USD | 1,151,418 | Goldman Sachs & Co. | BRL* | 6,150,760 | 12/16/2020 | 86,616 | ||||||||||||||||
USD | 535,500 | Morgan Stanley | CAD | 710,000 | 12/16/2020 | 2,892 | ||||||||||||||||
USD | 5,447,826 | Toronto-Dominion Bank (The) | CAD | 7,180,000 | 12/16/2020 | 61,738 | ||||||||||||||||
USD | 1,061,279 | JPMorgan Chase Bank | CHF | 961,534 | 12/16/2020 | 10,740 | ||||||||||||||||
USD | 1,556,469 | Toronto-Dominion Bank (The) | EUR | 1,310,000 | 12/16/2020 | 28,899 | ||||||||||||||||
USD | 1,387,395 | Toronto-Dominion Bank (The) | GBP | 1,070,000 | 12/16/2020 | 3,420 | ||||||||||||||||
USD | 548,253 | BNP Paribas SA | HKD | 4,250,000 | 12/16/2020 | 231 | ||||||||||||||||
USD | 1,460,680 | UBS AG | HKD | 11,327,495 | 12/16/2020 | 41 | ||||||||||||||||
USD | 548,645 | Toronto-Dominion Bank (The) | NZD | 810,000 | 12/16/2020 | 13,297 | ||||||||||||||||
USD | 15,907 | Citibank NA | RUB* | 1,215,850 | 12/16/2020 | 683 | ||||||||||||||||
USD | 546,474 | Toronto-Dominion Bank (The) | SEK | 4,780,000 | 12/16/2020 | 9,153 | ||||||||||||||||
USD | 153,984 | JPMorgan Chase Bank | SGD | 210,000 | 12/16/2020 | 192 | ||||||||||||||||
USD | 637,621 | Toronto-Dominion Bank (The) | SGD | 870,085 | 12/16/2020 | 418 | ||||||||||||||||
ZAR | 5,000,000 | BNP Paribas SA | USD | 290,725 | 12/17/2020 | 15,376 | ||||||||||||||||
ZAR | 2,180,000 | Citibank NA | USD | 127,780 | 12/17/2020 | 5,679 | ||||||||||||||||
ZAR | 8,690,000 | Goldman Sachs & Co. | USD | 511,476 | 12/17/2020 | 20,527 | ||||||||||||||||
Total unrealized appreciation |
| $ | 466,912 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 285 |
Table of Contents
FlexShares® Morningstar Global Upstream Natural Resources Index Fund (cont.)
Forward Foreign Currency Contracts (cont.)
Contracts to Receive | Counterparty | In Exchange For | Maturity Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
AUD | 636,370 | Citibank NA | USD | 464,023 | 12/16/2020 | $ | (17,026 | ) | ||||||||||||||
AUD | 300,000 | JPMorgan Chase Bank | USD | 215,058 | 12/16/2020 | (4,333 | ) | |||||||||||||||
AUD | 1,290,000 | Morgan Stanley | USD | 922,122 | 12/16/2020 | (16,004 | ) | |||||||||||||||
BRL* | 8,500,000 | Citibank NA | USD | 1,613,301 | 12/16/2020 | (141,805 | ) | |||||||||||||||
CAD | 520,000 | BNP Paribas SA | USD | 390,860 | 12/16/2020 | (781 | ) | |||||||||||||||
CAD | 5,000,000 | JPMorgan Chase Bank | USD | 3,797,666 | 12/16/2020 | (46,908 | ) | |||||||||||||||
CAD | 1,814,539 | Morgan Stanley | USD | 1,376,093 | 12/16/2020 | (14,914 | ) | |||||||||||||||
EUR | 275,000 | BNP Paribas SA | USD | 322,007 | 12/16/2020 | (1,334 | ) | |||||||||||||||
EUR | 1,498,602 | JPMorgan Chase Bank | USD | 1,782,028 | 12/16/2020 | (34,533 | ) | |||||||||||||||
GBP | 190,000 | JPMorgan Chase Bank | USD | 246,614 | 12/16/2020 | (861 | ) | |||||||||||||||
INR* | 6,925,711 | Citibank NA | USD | 93,309 | 12/16/2020 | (220 | ) | |||||||||||||||
NOK | 8,141,048 | Toronto-Dominion Bank (The) | USD | 905,030 | 12/16/2020 | (53,504 | ) | |||||||||||||||
NZD | 1,106,346 | JPMorgan Chase Bank | USD | 738,165 | 12/16/2020 | (6,953 | ) | |||||||||||||||
SEK | 4,595,456 | Morgan Stanley | USD | 525,760 | 12/16/2020 | (9,183 | ) | |||||||||||||||
SGD | 1,500,000 | UBS AG | USD | 1,100,638 | 12/16/2020 | (2,121 | ) | |||||||||||||||
USD | 372,970 | Morgan Stanley | GBP | 291,242 | 12/16/2020 | (3,734 | ) | |||||||||||||||
USD | 823,107 | Morgan Stanley | JPY | 87,267,351 | 12/16/2020 | (12,186 | ) | |||||||||||||||
USD | 611,009 | UBS AG | JPY | 64,480,000 | 12/16/2020 | (6,170 | ) | |||||||||||||||
USD | 295,106 | Citibank NA | KRW* | 350,052,156 | 12/16/2020 | (13,388 | ) | |||||||||||||||
USD | 935,032 | Morgan Stanley | ZAR | 15,360,000 | 12/17/2020 | (5,308 | ) | |||||||||||||||
Total unrealized depreciation |
| $ | (391,266 | ) | ||||||||||||||||||
Net unrealized appreciation |
| $ | 75,646 |
* | Non-deliverable forward. See Note 2 in the Notes to Financial Statements. |
Abbreviations:
AUD – Australian Dollar
BRL – Brazilian Real
CAD – Canadian Dollar
CHF – Swiss Franc
EUR – Euro
GBP – British Pound
HKD – Hong Kong Dollar
INR – Indian Rupee
JPY – Japanese Yen
KRW – Korean Won
MYR – Malaysian Ringgit
NOK – Norwegian Krone
NZD – New Zealand Dollar
RUB – Russian Ruble
SEK – Swedish Krona
SGD – Singapore Dollar
USD – US Dollar
ZAR – South African Rand
See Accompanying Notes to the Financial Statements.
286 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® Morningstar Global Upstream Natural Resources Index Fund (cont.)
FlexShares® Morningstar Global Upstream Natural Resources Index Fund invested, as a percentage of net assets, in companies domiciled in the following countries as of October 31, 2020:
Australia | 7.2 | % | ||
Brazil | 2.6 | |||
Canada | 12.9 | |||
Chile | 0.1 | |||
China | 2.2 | |||
Finland | 1.3 | |||
France | 3.5 | |||
Germany | 0.2 | |||
India | 0.5 | |||
Indonesia | 0.5 | |||
Israel | 0.4 | |||
Italy | 0.6 | |||
Japan | 1.5 | |||
Malaysia | 2.2 | |||
Mexico | 0.5 | |||
New Zealand | 1.2 | |||
Norway | 3.4 | |||
Russia | 3.3 | |||
Saudi Arabia | 0.9 | |||
Singapore | 1.4 | |||
South Africa | 1.3 | |||
Spain | 0.3 | |||
Sweden | 1.1 | |||
Thailand | 1.0 | |||
United Arab Emirates | 0.6 | |||
United Kingdom | 10.8 | |||
United States | 37.6 | |||
Other1 | 0.9 | |||
100.0 | % |
1 | Includes any non-equity securities, securities lending reinvestments and net other assets (liabilities). |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 287 |
Table of Contents
Schedule of Investments
FlexShares® STOXX® Global Broad Infrastructure Index Fund
October 31, 2020
Investments | Shares | Value | ||||||
COMMON STOCKS – 99.0% | ||||||||
Air Freight & Logistics – 3.2% | ||||||||
bpost SA(a) | 117,344 | $ | 1,039,513 | |||||
CTT-Correios de Portugal SA* | 162,892 | 398,464 | ||||||
Deutsche Post AG (Registered) | 1,199,688 | 53,159,248 | ||||||
Oesterreichische Post AG(a) | 37,056 | 1,176,238 | ||||||
Royal Mail plc | 1,052,236 | 3,088,428 | ||||||
Singapore Post Ltd. | 1,235,200 | 601,544 | ||||||
59,463,435 | ||||||||
Commercial Services & Supplies – 3.7% | ||||||||
Befesa SA(b) | 39,372 | 1,618,945 | ||||||
Biffa plc(a)(b) | 366,700 | 1,028,891 | ||||||
Bingo Industries Ltd.(a)(b) | 535,768 | 921,796 | ||||||
Casella Waste Systems, Inc., Class A* | 16,984 | 916,966 | ||||||
China Everbright Environment Group Ltd. | 4,632,000 | 2,329,484 | ||||||
Clean Harbors, Inc.* | 18,528 | 981,428 | ||||||
Cleanaway Waste Management Ltd. | 2,494,332 | 3,590,872 | ||||||
Covanta Holding Corp.(a) | 40,916 | 371,517 | ||||||
Daiseki Co. Ltd. | 37,700 | 955,663 | ||||||
Insun ENT Co. Ltd.* | 31,652 | 253,562 | ||||||
Koentec Co. Ltd. | 22,388 | 165,735 | ||||||
Lassila & Tikanoja OYJ | 41,688 | 631,283 | ||||||
Republic Services, Inc. | 70,252 | 6,194,119 | ||||||
Shanghai Youngsun Investment Co. Ltd., Class B*^‡(c) | 57,800 | — | ||||||
Stericycle, Inc.* | 31,652 | 1,971,920 | ||||||
US Ecology, Inc.(a) | 10,808 | 329,860 | ||||||
Waste Connections, Inc.(a) | 321,152 | 31,808,102 | ||||||
Waste Management, Inc. | 141,276 | 15,245,093 | ||||||
69,315,236 | ||||||||
Diversified Financial Services – 0.1% | ||||||||
Metro Pacific Investments Corp. | 16,212,000 | 1,343,184 |
Investments | Shares | Value | ||||||
Diversified Telecommunication Services – 13.2% | ||||||||
AT&T, Inc. | 2,393,972 | $ | 64,685,123 | |||||
BCE, Inc. | 351,260 | 14,104,669 | ||||||
Bharti Infratel Ltd. | 284,868 | 713,251 | ||||||
BT Group plc | 3,368,236 | 4,416,101 | ||||||
Cellnex Telecom SA(b) | 140,485 | 9,020,055 | ||||||
CenturyLink, Inc.(a) | 335,048 | 2,888,114 | ||||||
China Tower Corp. Ltd., Class H(a)(b) | 16,984,000 | 2,650,037 | ||||||
Chunghwa Telecom Co. Ltd. | 1,619,000 | 6,056,357 | ||||||
Deutsche Telekom AG (Registered) | 1,252,184 | 19,063,987 | ||||||
GCI Liberty, Inc., Class A* | 35,512 | 2,884,640 | ||||||
Infrastrutture Wireless Italiane SpA(b) | 128,152 | 1,385,299 | ||||||
Liberty Global plc, Class C*(a) | 133,556 | 2,492,155 | ||||||
Nippon Telegraph & Telephone Corp. | 1,003,600 | 21,081,936 | ||||||
Swisscom AG (Registered)(a) | 9,264 | 4,713,112 | ||||||
Telstra Corp. Ltd. | 4,598,804 | 8,655,087 | ||||||
Tower Bersama Infrastructure Tbk. PT | 4,168,800 | 427,569 | ||||||
Verizon Communications, Inc. | 1,389,600 | 79,193,304 | ||||||
244,430,796 | ||||||||
Electric Utilities – 15.3% | ||||||||
American Electric Power Co., Inc. | 165,980 | 14,926,581 | ||||||
Duke Energy Corp.(a) | 245,496 | 22,612,637 | ||||||
Edison International | 126,608 | 7,095,112 | ||||||
Enel SpA | 7,022,884 | 55,906,265 | ||||||
Entergy Corp. | 67,164 | 6,798,340 | ||||||
Eversource Energy | 115,028 | 10,038,494 | ||||||
Exelon Corp. | 324,240 | 12,933,934 | ||||||
FirstEnergy Corp. | 181,420 | 5,391,802 | ||||||
Iberdrola SA | 5,234,932 | 61,741,344 | ||||||
NextEra Energy, Inc. | 657,744 | 48,153,438 | ||||||
PPL Corp. | 257,076 | 7,069,590 | ||||||
Southern Co. (The) | 352,032 | 20,224,238 | ||||||
Xcel Energy, Inc. | 172,156 | 12,056,085 | ||||||
284,947,860 |
See Accompanying Notes to the Financial Statements.
288 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® STOXX® Global Broad Infrastructure Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Equity Real Estate Investment Trusts (REITs) – 5.9% | ||||||||
American Tower Corp. | 148,996 | $ | 34,216,931 | |||||
CoreCivic, Inc.(a) | 39,372 | 252,375 | ||||||
CoreSite Realty Corp. | 10,036 | 1,197,897 | ||||||
Crown Castle International Corp. | 139,732 | 21,826,138 | ||||||
CyrusOne, Inc.(a) | 40,144 | 2,852,231 | ||||||
Digital Realty Trust, Inc. | 90,324 | 13,033,753 | ||||||
Equinix, Inc. | 30,108 | 22,016,174 | ||||||
GEO Group, Inc. (The)(a) | 40,144 | 355,676 | ||||||
Keppel DC REIT | 540,422 | 1,147,729 | ||||||
QTS Realty Trust, Inc., Class A(a) | 20,844 | 1,282,115 | ||||||
SBA Communications Corp. | 37,828 | 10,984,116 | ||||||
109,165,135 | ||||||||
Gas Utilities – 1.3% | ||||||||
APA Group | 894,748 | 6,591,253 | ||||||
Beijing Enterprises Holdings Ltd. | 386,000 | 1,159,765 | ||||||
Enagas SA | 209,212 | 4,515,772 | ||||||
Infraestructura Energetica Nova SAB de CV*(a) | 463,200 | 1,545,197 | ||||||
Petronas Gas Bhd. | 463,200 | 1,754,697 | ||||||
Snam SpA | 1,854,344 | 9,050,537 | ||||||
24,617,221 | ||||||||
Health Care Providers & Services – 2.7% | ||||||||
Acadia Healthcare Co., Inc.*(a) | 30,880 | 1,100,872 | ||||||
Apollo Hospitals Enterprise Ltd. | 138,188 | 3,952,131 | ||||||
Bangkok Dusit Medical Services PCL, NVDR | 14,282,000 | 8,019,090 | ||||||
Bumrungrad Hospital PCL, NVDR | 540,400 | 1,577,810 | ||||||
Encompass Health Corp. | 33,196 | 2,035,247 | ||||||
Fortis Healthcare Ltd.* | 628,408 | 1,065,048 | ||||||
HCA Healthcare, Inc. | 91,096 | 11,290,438 | ||||||
IHH Healthcare Bhd. | 2,779,200 | 3,324,338 | ||||||
Life Healthcare Group Holdings Ltd. | 1,574,880 | 1,578,878 | ||||||
Mitra Keluarga Karyasehat Tbk. PT(b) | 6,870,800 | 1,235,570 |
Investments | Shares | Value | ||||||
Health Care Providers & Services – (continued) | ||||||||
Netcare Ltd. | 1,443,640 | $ | 1,146,116 | |||||
Ramsay Health Care Ltd. | 226,968 | 9,937,859 | ||||||
Tenet Healthcare Corp.*(a) | 36,284 | 890,409 | ||||||
Universal Health Services, Inc., Class B | 26,248 | 2,875,469 | ||||||
50,029,275 | ||||||||
IT Services – 0.1% | ||||||||
NEXTDC Ltd.*(a) | 189,140 | 1,692,172 | ||||||
Switch, Inc., Class A(a) | 30,880 | 434,173 | ||||||
2,126,345 | ||||||||
Media – 5.7% | ||||||||
Cable One, Inc. | 1,544 | 2,673,992 | ||||||
Charter Communications, Inc., Class A*(a) | 40,144 | 24,239,750 | ||||||
Comcast Corp., Class A | 1,529,332 | 64,598,984 | ||||||
DISH Network Corp., Class A* | 84,920 | 2,164,611 | ||||||
Liberty Broadband Corp., Class C* | 51,724 | 7,329,808 | ||||||
Shaw Communications, Inc., Class B | 188,290 | 3,099,685 | ||||||
Sirius XM Holdings, Inc.(a) | 398,352 | 2,282,557 | ||||||
106,389,387 | ||||||||
Multi-Utilities – 7.7% | ||||||||
Consolidated Edison, Inc.(a) | 111,168 | 8,725,576 | ||||||
Dominion Energy, Inc. | 281,008 | 22,576,183 | ||||||
Engie SA* | 1,680,644 | 20,330,695 | ||||||
National Grid plc | 3,177,552 | 37,757,802 | ||||||
Public Service Enterprise Group, Inc. | 169,068 | 9,831,304 | ||||||
Sempra Energy(a) | 98,816 | 12,387,574 | ||||||
Suez SA | 477,096 | 8,736,316 | ||||||
Veolia Environnement SA | 652,340 | 12,150,453 | ||||||
WEC Energy Group, Inc. | 104,992 | 10,556,946 | ||||||
143,052,849 | ||||||||
Oil, Gas & Consumable Fuels – 7.0% | ||||||||
Enbridge, Inc. | 1,831,956 | 50,437,698 | ||||||
Inter Pipeline Ltd.(a) | 389,860 | 3,467,761 | ||||||
Keyera Corp.(a) | 200,720 | 2,846,676 | ||||||
Kinder Morgan, Inc. | 670,868 | 7,983,329 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 289 |
Table of Contents
FlexShares® STOXX® Global Broad Infrastructure Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Oil, Gas & Consumable Fuels – (continued) | ||||||||
Koninklijke Vopak NV | 59,444 | $ | 3,090,330 | |||||
ONEOK, Inc. | 149,768 | 4,343,272 | ||||||
Pembina Pipeline Corp.(a) | 498,712 | 10,431,678 | ||||||
Petronet LNG Ltd. | 669,324 | 2,085,894 | ||||||
Plains GP Holdings LP, Class A*(a) | 66,392 | 424,245 | ||||||
Targa Resources Corp. | 79,516 | 1,276,232 | ||||||
TC Energy Corp. | 849,972 | 33,428,981 | ||||||
Transneft PJSC (Preference) | 1,544 | 2,565,968 | ||||||
Williams Cos., Inc. (The) | 408,388 | 7,836,966 | ||||||
130,219,030 | ||||||||
Road & Rail – 17.7% | ||||||||
Aurizon Holdings Ltd.(a) | 2,314,456 | 6,127,482 | ||||||
Canadian National Railway Co. | 867,728 | 86,131,775 | ||||||
Canadian Pacific Railway Ltd. | 165,208 | 49,331,318 | ||||||
Central Japan Railway Co. | 254,100 | 30,589,712 | ||||||
CSX Corp. | 255,532 | 20,171,696 | ||||||
East Japan Railway Co. | 463,200 | 24,179,093 | ||||||
Kansas City Southern | 31,652 | 5,575,183 | ||||||
Keisei Electric Railway Co. Ltd. | 231,600 | 6,457,949 | ||||||
Kyushu Railway Co. | 198,700 | 4,217,671 | ||||||
MTR Corp. Ltd.(a) | 1,930,000 | 9,544,414 | ||||||
Norfolk Southern Corp. | 84,920 | 17,758,471 | ||||||
Odakyu Electric Railway Co. Ltd.(a) | 427,300 | 10,271,713 | ||||||
Tobu Railway Co. Ltd. | 269,400 | 7,615,047 | ||||||
Union Pacific Corp. | 226,968 | 40,216,460 | ||||||
West Japan Railway Co.(a) | 231,600 | 9,880,773 | ||||||
328,068,757 | ||||||||
Transportation Infrastructure – 7.2% | ||||||||
Adani Ports & Special Economic Zone Ltd. | 1,027,532 | 4,989,473 | ||||||
Aena SME SA*(b) | 88,780 | 11,954,818 | ||||||
Aeroports de Paris | 33,196 | 3,244,276 | ||||||
Airports of Thailand PCL, NVDR | 5,172,400 | 8,588,167 | ||||||
ASTM SpA*(a) | 70,252 | 1,306,055 | ||||||
Atlantia SpA* | 615,284 | 9,428,367 |
Investments | Shares | Value | ||||||
Transportation Infrastructure – (continued) | ||||||||
Atlas Arteria Ltd.(a) | 1,161,088 | $ | 4,598,710 | |||||
Auckland International Airport Ltd.(a) | 1,395,004 | 6,453,707 | ||||||
Bangkok Expressway & Metro PCL, NVDR | 10,036,000 | 2,640,417 | ||||||
CCR SA | 1,544,000 | 2,988,387 | ||||||
China Merchants Port Holdings Co. Ltd. | 1,544,000 | 1,636,612 | ||||||
COSCO SHIPPING Ports Ltd.(a) | 1,602,410 | 936,049 | ||||||
Getlink SE* | 530,364 | 7,129,349 | ||||||
Grupo Aeroportuario del Pacifico SAB de CV, Class B(a) | 463,200 | 3,842,965 | ||||||
Grupo Aeroportuario del Sureste SAB de CV, Class B*(a) | 216,160 | 2,489,180 | ||||||
International Container Terminal Services, Inc. | 2,099,840 | 4,989,289 | ||||||
Japan Airport Terminal Co. Ltd.(a) | 95,300 | 4,120,490 | ||||||
Jiangsu Expressway Co. Ltd., Class H | 1,544,000 | 1,543,034 | ||||||
Qube Holdings Ltd. | 2,075,908 | 3,863,187 | ||||||
Shenzhen International Holdings Ltd. | 1,158,000 | 1,797,884 | ||||||
Sydney Airport | 3,063,296 | 11,724,038 | ||||||
Transurban Group | 3,332,724 | 31,501,857 | ||||||
Westports Holdings Bhd. | 1,080,800 | 1,014,469 | ||||||
Westshore Terminals Investment Corp.(a) | 52,496 | 527,185 | ||||||
133,307,965 | ||||||||
Water Utilities – 3.0% | ||||||||
Aguas Andinas SA, Class A | 3,581,308 | 929,392 | ||||||
American States Water Co.(a) | 12,352 | 922,571 | ||||||
American Water Works Co., Inc. | 60,988 | 9,179,304 | ||||||
Beijing Enterprises Water Group Ltd.*(a) | 6,176,000 | 2,341,430 | ||||||
California Water Service Group | 16,212 | 722,569 | ||||||
Cia de Saneamento Basico do Estado de Sao Paulo* | 386,000 | 2,845,127 |
See Accompanying Notes to the Financial Statements.
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FlexShares® STOXX® Global Broad Infrastructure Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Water Utilities – (continued) | ||||||||
Cia de Saneamento de Minas Gerais-COPASA* | 77,200 | $ | 573,042 | |||||
Cia de Saneamento do Parana (Preference)* | 1,158,000 | 955,963 | ||||||
Essential Utilities, Inc. | 83,376 | 3,435,091 | ||||||
Guangdong Investment Ltd. | 3,600,000 | 5,329,310 | ||||||
Inversiones Aguas Metropolitanas SA | 543,488 | 365,822 | ||||||
Manila Water Co., Inc.* | 1,466,800 | 424,281 | ||||||
Middlesex Water Co.(a) | 6,176 | 396,129 | ||||||
Pennon Group plc | 515,696 | 6,618,606 | ||||||
Severn Trent plc | 294,904 | 9,265,854 | ||||||
SJW Group(a) | 10,808 | 655,938 | ||||||
TTW PCL, NVDR | 1,621,200 | 603,382 | ||||||
United Utilities Group plc | 832,988 | 9,299,280 | ||||||
54,863,091 | ||||||||
Wireless Telecommunication Services – 5.2% | ||||||||
China Mobile Ltd. | 2,055,000 | 12,494,536 | ||||||
KDDI Corp. | 617,600 | 16,497,494 | ||||||
NTT DOCOMO, Inc. | 463,200 | 17,222,674 | ||||||
SoftBank Group Corp. | 571,200 | 37,116,526 | ||||||
Vodafone Group plc(a) | 10,327,816 | 13,754,482 | ||||||
97,085,712 | ||||||||
Total Common Stocks (Cost $1,763,040,875) |
| 1,838,425,278 | ||||||
Principal Amount | ||||||||
SECURITIES LENDING REINVESTMENTS(d) – 0.4% | ||||||||
REPURCHASE AGREEMENTS – 0.4% | ||||||||
BofA Securities, Inc., 0.53%, dated 10/30/2020, due 2/1/2021, repurchase price $2,002,768, collateralized by various Common Stocks; total market value $2,174,036 | $ | 2,000,000 | 2,000,000 |
Investments | Principal Amount | Value | ||||||
REPURCHASE AGREEMENTS – (continued) | ||||||||
Citigroup Global Markets Ltd., 0.11%, dated 10/30/2020, due 11/2/2020, repurchase price $1,500,014, collateralized by various U.S. Treasury Securities, ranging from 0.50% – 1.88%, maturing 11/30/2021 – 3/15/2023; Foreign Government Fixed Income Securities, ranging from 0.25% – 0.50%, maturing 11/15/2023 – 12/15/2025; total market value $1,521,303 | $ | 1,500,000 | $ | 1,500,000 | ||||
Citigroup Global Markets, Inc., 0.07%, dated 10/30/2020, due 11/2/2020, repurchase price $1,166,842, collateralized by various U.S. Treasury Securities, ranging from 2.63% – 5.50%, maturing 8/15/2028 – 4/15/2029; total market value $1,187,277 | 1,166,835 | 1,166,835 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 291 |
Table of Contents
FlexShares® STOXX® Global Broad Infrastructure Index Fund (cont.)
Investments | Principal Amount | Value | ||||||
SECURITIES LENDING REINVESTMENTS(d) – (continued) | ||||||||
REPURCHASE AGREEMENTS – (continued) | ||||||||
Deutsche Bank AG, London Branch, 0.20%, dated 10/30/2020, due 11/2/2020, repurchase price $2,800,047, collateralized by various Foreign Government Fixed Income Securities, ranging from 0.25% – 0.50%, maturing 10/19/2023 – 10/28/2025; total market value $2,854,784 | $ | 2,800,000 | $ | 2,800,000 | ||||
7,466,835 | ||||||||
Total Securities Lending Reinvestments (Cost $7,466,835) |
| 7,466,835 | ||||||
Total Investments – 99.4% (Cost $1,770,507,710) |
| 1,845,892,113 | ||||||
Other assets less liabilities – 0.6% |
| 10,704,064 | ||||||
NET ASSETS – 100.0% |
| $ | 1,856,596,177 |
* | Non-income producing security. |
^ | Security subject to restrictions on resale. |
‡ | Value determined using significant unobservable inputs. |
(a) | The security or a portion of this security is on loan at October 31, 2020. The total value of securities on loan at October 31, 2020 was $92,519,364, collateralized in the form of cash with a value of $7,466,835 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Investments; $65,546,496 of collateral in the form of U.S. Government |
Treasury Securities, interest rates ranging from 0.00% – 8.00%, and maturity dates ranging from November 5, 2020 – August 15, 2050 and $22,213,475 of collateral in the form of Foreign Government Fixed Income Securities, interest rates ranging from 0.00% – 7.50%, and maturity dates ranging from January 22, 2021 – September 20, 2117; a total value of $95,226,806. |
(b) | Security exempt from registration pursuant to Regulation S under the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale. |
(c) | Security fair valued as of October 31, 2020 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at October 31, 2020 amounted to $0, which represents approximately 0.00% of net assets of the Fund. |
(d) | The security was purchased with cash collateral held from securities on loan at October 31, 2020. The total value of securities purchased was $7,466,835. |
Percentages shown are based on Net Assets.
Abbreviations
NVDR – Non-Voting Depositary Receipt
OYJ – Public Limited Company
PJSC – Public Joint Stock Company
Preference – A special type of equity investment that shares in the earnings of the company, has limited voting rights, and may have a dividend preference. Preference shares may also have liquidation preference.
As of October 31, 2020, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments (including derivative instruments, if applicable) for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 237,330,472 | ||
Aggregate gross unrealized depreciation | (170,518,950 | ) | ||
Net unrealized appreciation | $ | 66,811,522 | ||
Federal income tax cost | $ | 1,778,315,043 |
Futures Contracts
FlexShares® STOXX® Global Broad Infrastructure Index Fund had the following open futures contracts as of October 31, 2020:
Number of Contracts | Expiration Date | Trading Currency | Notional Amount | Value and Unrealized Depreciation* | ||||||||||||||||
Long Contracts |
| |||||||||||||||||||
EURO STOXX 50 Index | 72 | 12/18/2020 | EUR | $ | 2,481,690 | $ | (283,481 | ) | ||||||||||||
FTSE 100 Index | 18 | 12/18/2020 | GBP | 1,294,849 | (96,968 | ) | ||||||||||||||
S&P 500 E-Mini Index | 39 | 12/18/2020 | USD | 6,366,165 | (151,521 | ) | ||||||||||||||
S&P/TSX 60 Index | 23 | 12/17/2020 | CAD | 3,192,590 | (128,493 | ) |
See Accompanying Notes to the Financial Statements.
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Table of Contents
FlexShares® STOXX® Global Broad Infrastructure Index Fund (cont.)
Futures Contracts (cont.)
Number of Contracts | Expiration Date | Trading Currency | Notional Amount | Value and Unrealized Depreciation* | ||||||||||||||||
SPI 200 Index | 10 | 12/17/2020 | AUD | 1,034,063 | $ | (2,767 | ) | |||||||||||||
TOPIX Index | 18 | 12/10/2020 | JPY | 2,708,437 | (75,943 | ) | ||||||||||||||
$ | (739,173 | ) |
* | This amount represents the cumulative appreciation/depreciation on futures contracts. Current day’s variation margin is reported within the Statement of Assets and Liabilities for futures contracts. |
Forward Foreign Currency Contracts
FlexShares® STOXX® Global Broad Infrastructure Index Fund had the following outstanding contracts as of October 31, 2020:
Contracts to Receive | Counterparty | In Exchange For | Maturity Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
GBP | 90,000 | JPMorgan Chase Bank | USD | 116,366 | 12/16/2020 | $ | 43 | |||||||||||||||||
GBP | 105,000 | Toronto-Dominion Bank (The) | USD | 134,879 | 12/16/2020 | 932 | ||||||||||||||||||
JPY | 142,666,439 | Morgan Stanley | USD | 1,345,943 | 12/16/2020 | 19,609 | ||||||||||||||||||
USD | 553,888 | Toronto-Dominion Bank (The) | CAD | 730,000 | 12/16/2020 | 6,277 | ||||||||||||||||||
USD | 224,058 | JPMorgan Chase Bank | CHF | 203,000 | 12/16/2020 | 2,267 | ||||||||||||||||||
USD | 383,033 | UBS AG | HKD | 2,970,399 | 12/16/2020 | 11 | ||||||||||||||||||
USD | 1,281,561 | Toronto-Dominion Bank (The) | JPY | 133,560,000 | 12/16/2020 | 3,172 | ||||||||||||||||||
Total unrealized appreciation |
| $ | 32,311 | |||||||||||||||||||||
AUD | 147,161 | Citibank NA | USD | 107,306 | 12/16/2020 | $ | (3,937 | ) | ||||||||||||||||
CAD | 420,000 | JPMorgan Chase Bank | USD | 317,284 | 12/16/2020 | (2,221 | ) | |||||||||||||||||
CAD | 1,320,816 | Morgan Stanley | USD | 1,001,668 | 12/16/2020 | (10,856 | ) | |||||||||||||||||
EUR | 610,130 | JPMorgan Chase Bank | USD | 724,673 | 12/16/2020 | (13,211 | ) | |||||||||||||||||
EUR | 370,000 | Morgan Stanley | USD | 435,096 | 12/16/2020 | (3,645 | ) | |||||||||||||||||
GBP | 200,000 | Toronto-Dominion Bank (The) | USD | 259,326 | 12/16/2020 | (639 | ) | |||||||||||||||||
USD | 220,077 | Toronto-Dominion Bank (The) | CAD | 295,000 | 12/16/2020 | (1,218 | ) | |||||||||||||||||
USD | 1,019,694 | Morgan Stanley | GBP | 796,253 | 12/16/2020 | (10,208 | ) | |||||||||||||||||
USD | 1,180,642 | Toronto-Dominion Bank (The) | JPY | 124,680,000 | 12/16/2020 | (12,751 | ) | |||||||||||||||||
Total unrealized depreciation |
| $ | (58,686 | ) | ||||||||||||||||||||
Net unrealized depreciation |
| $ | (26,375 | ) |
Abbreviations:
AUD – Australian Dollar
CAD – Canadian Dollar
CHF – Swiss Franc
EUR – Euro
GBP – British Pound
HKD – Hong Kong Dollar
JPY – Japanese Yen
USD – US Dollar
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 293 |
Table of Contents
FlexShares® STOXX® Global Broad Infrastructure Index Fund (cont.)
FlexShares® STOXX® Global Broad Infrastructure Index Fund invested, as a percentage of net assets, in companies domiciled in the following countries as of October 31, 2020:
Australia | 4.8 | % | ||
Austria | 0.1 | |||
Belgium | 0.1 | |||
Brazil | 0.4 | |||
Canada | 15.4 | |||
Chile | 0.1 | |||
China | 1.7 | |||
Finland | 0.0 | † | ||
France | 2.8 | |||
Germany | 4.0 | |||
Hong Kong | 0.5 | |||
India | 0.7 | |||
Indonesia | 0.1 | |||
Italy | 4.1 | |||
Japan | 10.2 | |||
Malaysia | 0.3 | |||
Mexico | 0.4 | |||
Netherlands | 0.2 | |||
New Zealand | 0.3 | |||
Philippines | 0.4 | |||
Portugal | 0.0 | † | ||
Russia | 0.1 | |||
Singapore | 0.1 | |||
South Africa | 0.1 | |||
South Korea | 0.0 | † | ||
Spain | 4.7 | |||
Switzerland | 0.3 | |||
Taiwan | 0.3 | |||
Thailand | 1.2 | |||
United Kingdom | 4.6 | |||
United States | 41.0 | |||
Other1 | 1.0 | |||
100.0 | % |
† | Amount represents less than 0.05%. |
1 | Includes any non-equity securities, securities lending reinvestments and net other assets (liabilities). |
See Accompanying Notes to the Financial Statements.
294 | FLEXSHARES ANNUAL REPORT |
Table of Contents
Schedule of Investments
FlexShares® Global Quality Real Estate Index Fund
October 31, 2020
Investments | Shares | Value | ||||||
COMMON STOCKS – 98.8% | ||||||||
Equity Real Estate Investment Trusts (REITs) – 76.4% | ||||||||
AEON REIT Investment Corp. | 728 | $ | 821,733 | |||||
Alexandria Real Estate Equities, Inc. | 54,288 | 8,225,718 | ||||||
alstria office REIT-AG | 67,704 | 861,995 | ||||||
American Homes 4 Rent, Class A | 116,376 | 3,289,950 | ||||||
American Tower Corp. | 44,616 | 10,246,064 | ||||||
Argosy Property Ltd. | 120,709 | 110,889 | ||||||
AvalonBay Communities, Inc. | 60,632 | 8,435,730 | ||||||
Befimmo SA | 15,496 | 602,887 | ||||||
BWP Trust | 258,752 | 728,651 | ||||||
Camden Property Trust | 31,512 | 2,906,667 | ||||||
Canadian Apartment Properties REIT(a) | 35,984 | 1,155,882 | ||||||
Corporate Office Properties Trust | 41,496 | 930,755 | ||||||
Cousins Properties, Inc. | 63,960 | 1,629,701 | ||||||
Crombie REIT(a) | 61,464 | 599,267 | ||||||
Crown Castle International Corp. | 29,744 | 4,646,013 | ||||||
CT REIT(a) | 59,280 | 613,096 | ||||||
Daiwa Securities Living Investments Corp. | 832 | 812,581 | ||||||
Derwent London plc(a) | 45,656 | 1,569,103 | ||||||
Digital Realty Trust, Inc. | 2,704 | 390,187 | ||||||
Dream Industrial REIT(a) | 69,888 | 620,074 | ||||||
Dream Office REIT(a) | 31,096 | 408,363 | ||||||
Duke Realty Corp. | 159,536 | 6,060,773 | ||||||
EastGroup Properties, Inc. | 16,952 | 2,255,972 | ||||||
Equinix, Inc. | 5,720 | 4,182,693 | ||||||
Equity Commonwealth | 52,312 | 1,382,083 | ||||||
Equity LifeStyle Properties, Inc. | 74,464 | 4,407,524 | ||||||
Equity Residential | 160,368 | 7,534,089 | ||||||
Essex Property Trust, Inc. | 19,032 | 3,893,757 | ||||||
First Capital REIT(a) | 58,760 | 520,901 | ||||||
First Industrial Realty Trust, Inc. | 54,704 | 2,177,766 | ||||||
Fortune REIT(a) | 208,000 | 173,270 | ||||||
Franklin Street Properties Corp. | 92,664 | 389,189 | ||||||
Frasers Centrepoint Trust | 536,700 | 829,320 | ||||||
Frontier Real Estate Investment Corp. | 208 | 695,389 | ||||||
Fukuoka REIT Corp. | 520 | 628,238 | ||||||
GCP Student Living plc(a) | 331,552 | 480,140 | ||||||
Gecina SA | 19,760 | 2,453,659 |
Investments | Shares | Value | ||||||
Equity Real Estate Investment Trusts (REITs) – (continued) | ||||||||
GEO Group, Inc. (The)(a) | 67,392 | $ | 597,093 | |||||
Getty Realty Corp. | 24,544 | 645,016 | ||||||
Goodman Group | 557,544 | 7,204,249 | ||||||
Goodman Property Trust | 519,064 | 850,763 | ||||||
Granite REIT(a) | 13,312 | 745,796 | ||||||
Growthpoint Properties Australia Ltd.(a) | 278,928 | 665,982 | ||||||
H&R REIT(a) | 65,104 | 499,993 | ||||||
Hibernia REIT plc | 499,616 | 602,929 | ||||||
Highwoods Properties, Inc. | 44,616 | 1,328,218 | ||||||
InterRent REIT(a) | 65,728 | 559,996 | ||||||
Investors Real Estate Trust | 9,568 | 644,979 | ||||||
Japan Logistics Fund, Inc. | 104 | 291,586 | ||||||
Killam Apartment REIT(a) | 46,800 | 561,944 | ||||||
Kimco Realty Corp. | 186,160 | 1,910,002 | ||||||
Lexington Realty Trust | 99,528 | 988,313 | ||||||
Life Storage, Inc. | 20,176 | 2,303,090 | ||||||
LTC Properties, Inc. | 19,968 | 659,144 | ||||||
Mapletree Commercial Trust | 925,600 | 1,165,897 | ||||||
Medical Properties Trust, Inc. | 146,744 | 2,614,978 | ||||||
Mid-America Apartment Communities, Inc. | 49,192 | 5,737,263 | ||||||
Mirvac Group | 1,385,280 | 2,052,635 | ||||||
Mori Trust Sogo Reit, Inc. | 520 | 619,782 | ||||||
National Health Investors, Inc. | 19,240 | 1,078,402 | ||||||
Nippon Accommodations Fund, Inc. | 208 | 1,189,822 | ||||||
Nippon Building Fund, Inc. | 416 | 2,101,091 | ||||||
Northview Apartment REIT(a) | 25,376 | 687,427 | ||||||
NSI NV | 18,304 | 579,942 | ||||||
Office Properties Income Trust(a) | 27,976 | 515,038 | ||||||
Omega Healthcare Investors, Inc. | 97,448 | 2,807,477 | ||||||
Parkway Life REIT | 260,000 | 771,146 | ||||||
Piedmont Office Realty Trust, Inc., Class A | 54,184 | 618,781 | ||||||
Premier Investment Corp.(a) | 624 | 684,645 | ||||||
Prologis, Inc. | 182,312 | 18,085,349 | ||||||
PS Business Parks, Inc. | 8,840 | 1,008,025 | ||||||
Public Storage | 53,040 | 12,149,873 | ||||||
Rayonier, Inc. | 58,656 | 1,488,689 | ||||||
RioCan REIT(a) | 70,616 | 761,584 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 295 |
Table of Contents
FlexShares® Global Quality Real Estate Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Equity Real Estate Investment Trusts (REITs) – (continued) | ||||||||
Safestore Holdings plc | 90,896 | $ | 944,342 | |||||
SBA Communications Corp. | 8,112 | 2,355,481 | ||||||
Segro plc | 489,528 | 5,709,297 | ||||||
SmartCentres REIT(a) | 38,376 | 606,141 | ||||||
Summit Industrial Income REIT(a) | 68,432 | 691,326 | ||||||
Sunlight REIT | 208,000 | 89,585 | ||||||
Terreno Realty Corp. | 29,120 | 1,638,874 | ||||||
VICI Properties, Inc. | 172,016 | 3,947,767 | ||||||
Washington REIT | 35,984 | 629,000 | ||||||
Waypoint REIT | 384,696 | 724,009 | ||||||
Weingarten Realty Investors | 52,312 | 829,668 | ||||||
Welltower, Inc. | 179,608 | 9,657,522 | ||||||
Weyerhaeuser Co. | 321,152 | 8,764,238 | ||||||
202,034,258 | ||||||||
Household Durables – 0.4% | ||||||||
Iida Group Holdings Co. Ltd. | 62,400 | 1,123,964 | ||||||
Real Estate Management & Development – 22.0% | ||||||||
ADLER Group SA*(b) | 27,664 | 695,403 | ||||||
Aeon Mall Co. Ltd. | 52,000 | 808,303 | ||||||
Aroundtown SA* | 386,776 | 1,854,857 | ||||||
Atrium Ljungberg AB, Class B | 37,856 | 611,572 | ||||||
CA Immobilien Anlagen AG | 28,600 | 784,561 | ||||||
Castellum AB | 99,944 | 2,081,711 | ||||||
City Developments Ltd. | 197,600 | 917,454 | ||||||
CK Asset Holdings Ltd. | 1,040,000 | 4,814,535 | ||||||
CLS Holdings plc(a) | 24,856 | 63,699 | ||||||
Daibiru Corp. | 62,400 | 703,149 | ||||||
Deutsche Wohnen SE | 130,624 | 6,592,979 | ||||||
DREAM Unlimited Corp., Class A | 4,160 | 55,099 | ||||||
Entra ASA(b) | 62,712 | 817,454 | ||||||
Fabege AB | 113,776 | 1,437,355 | ||||||
Fastighets AB Balder, Class B* | 23,712 | 1,117,250 | ||||||
Goldcrest Co. Ltd. | 41,600 | 530,048 | ||||||
Hang Lung Group Ltd. | 416,000 | 920,528 | ||||||
Heiwa Real Estate Co. Ltd. | 20,800 | 605,854 | ||||||
Henderson Land Development Co. Ltd. | 624,000 | 2,208,785 | ||||||
Hufvudstaden AB, Class A | 51,792 | 676,700 | ||||||
Hulic Co. Ltd. | 124,800 | 1,153,212 | ||||||
Intershop Holding AG(a) | 1,040 | 637,696 |
Investments | Shares | Value | ||||||
Real Estate Management & Development – (continued) | ||||||||
K Wah International Holdings Ltd. | 1,456,000 | $ | 689,055 | |||||
Kenedix, Inc. | 156,000 | 807,308 | ||||||
Kojamo OYJ | 55,952 | 1,153,610 | ||||||
Kungsleden AB | 90,688 | 770,239 | ||||||
Nomura Real Estate Holdings, Inc. | 52,000 | 905,797 | ||||||
Open House Co. Ltd. | 27,000 | 918,165 | ||||||
PSP Swiss Property AG (Registered) | 18,408 | 2,227,317 | ||||||
S IMMO AG(a) | 32,448 | 479,267 | ||||||
Sagax AB, Class B | 44,928 | 706,641 | ||||||
Sirius Real Estate Ltd. | 692,016 | 657,661 | ||||||
St Joe Co. (The)* | 29,120 | 787,405 | ||||||
Sumitomo Realty & Development Co. Ltd. | 135,200 | 3,604,385 | ||||||
Sun Hung Kai Properties Ltd. | 572,000 | 7,313,333 | ||||||
Swire Pacific Ltd., Class B | 520,000 | 422,445 | ||||||
Swire Properties Ltd.(a) | 499,200 | 1,335,732 | ||||||
TAG Immobilien AG* | 61,672 | 1,817,517 | ||||||
Tokyo Tatemono Co. Ltd. | 83,200 | 951,858 | ||||||
Tricon Residential, Inc.(a) | 24,960 | 204,794 | ||||||
UOL Group Ltd. | 197,600 | 900,089 | ||||||
Wihlborgs Fastigheter AB | 59,280 | 1,069,566 | ||||||
Yanlord Land Group Ltd. | 665,600 | 511,813 | ||||||
58,322,201 | ||||||||
Total Common Stocks (Cost $279,640,292) |
| 261,480,423 |
See Accompanying Notes to the Financial Statements.
296 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® Global Quality Real Estate Index Fund (cont.)
Investments | Principal Amount | Value | ||||||
SECURITIES LENDING REINVESTMENTS(c) – 1.0% | ||||||||
REPURCHASE AGREEMENTS – 1.0% | ||||||||
Citigroup Global Markets Ltd., 0.11%, dated 10/30/2020, due 11/2/2020, repurchase price $600,006, collateralized by various U.S. Treasury Securities, ranging from 0.50% – 1.88%, maturing 11/30/2021 – 3/15/2023; Foreign Government Fixed Income Securities, ranging from 0.25% – 0.50%, maturing 11/15/2023 – 12/15/2025; total market value $608,521 | $ | 600,000 | $ | 600,000 | ||||
Citigroup Global Markets, Inc., 0.07%, dated 10/30/2020, due 11/2/2020, repurchase price $752,631, collateralized by various U.S. Treasury Securities, ranging from 2.63% – 5.50%, maturing 8/15/2028 – 4/15/2029; total market value $765,811 | 752,626 | 752,626 | ||||||
Deutsche Bank AG, London Branch, 0.20%, dated 10/30/2020, due 11/2/2020, repurchase price $1,200,020, collateralized by various Foreign Government Fixed Income Securities, ranging from 0.25% – 0.50%, maturing 10/19/2023 – 10/28/2025; total market value $1,223,479 | 1,200,000 | 1,200,000 | ||||||
2,552,626 | ||||||||
Total Securities Lending Reinvestments (Cost $2,552,626) |
| 2,552,626 | ||||||
Total Investments – 99.8% (Cost $282,192,918) |
| 264,033,049 | ||||||
Other assets less liabilities – 0.2% |
| 541,316 | ||||||
NET ASSETS – 100.0% |
| $ | 264,574,365 |
* | Non-income producing security. |
(a) | The security or a portion of this security is on loan at October 31, 2020. The total value of securities on loan at October 31, 2020 was $13,427,825, collateralized in the form of cash with a value of $2,552,626 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Investments; $7,943,374 of collateral in the form of U.S. Government Treasury Securities, interest rates ranging from 0.00% – 8.00%, and maturity dates ranging from November 5, 2020 – August 15, 2050 and $3,621,912 of collateral in the form of Foreign Government Fixed Income Securities, interest rates ranging from 0.00% – 6.25%, and maturity dates ranging from January 22, 2021 – September 20, 2117; a total value of $14,117,912. |
(b) | Security exempt from registration pursuant to Regulation S under the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale. |
(c) | The security was purchased with cash collateral held from securities on loan at October 31, 2020. The total value of securities purchased was $2,552,626. |
Percentages shown are based on Net Assets.
Abbreviations
OYJ – Public Limited Company
As of October 31, 2020, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments (including derivative instruments, if applicable) for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 24,197,189 | ||
Aggregate gross unrealized depreciation | (44,897,294 | ) | ||
Net unrealized depreciation | $ | (20,700,105 | ) | |
Federal income tax cost | $ | 284,711,235 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 297 |
Table of Contents
FlexShares® Global Quality Real Estate Index Fund (cont.)
Futures Contracts
FlexShares® Global Quality Real Estate Index Fund had the following open futures contracts as of October 31, 2020:
Number of Contracts | Expiration Date | Trading Currency | Notional Amount | Value and Unrealized Appreciation/ (Depreciation)* | ||||||||||||||||
Long Contracts |
| |||||||||||||||||||
EURO STOXX 50 Index | 3 | 12/18/2020 | EUR | $ | 103,404 | $ | (9,963 | ) | ||||||||||||
Hang Seng Index | 3 | 11/27/2020 | HKD | 467,262 | (11,852 | ) | ||||||||||||||
S&P 500 E-Mini Index | 5 | 12/18/2020 | USD | 816,175 | (15,548 | ) | ||||||||||||||
S&P Midcap 400 E-Mini Index | 5 | 12/18/2020 | USD | 947,800 | 29,579 | |||||||||||||||
SPI 200 Index | 6 | 12/17/2020 | AUD | 620,438 | (7,882 | ) | ||||||||||||||
TOPIX Mini Index | 15 | 12/10/2020 | JPY | 225,703 | (5,635 | ) | ||||||||||||||
$ | (21,301 | ) |
* | This amount represents the cumulative appreciation/depreciation on futures contracts. Current day’s variation margin is reported within the Statement of Assets and Liabilities for futures contracts. |
Forward Foreign Currency Contracts
FlexShares® Global Quality Real Estate Index Fund had the following outstanding contracts as of October 31, 2020:
Contracts to Receive | Counterparty | In Exchange For | Maturity Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
GBP | 12,150 | Morgan Stanley | USD | 15,559 | 12/16/2020 | $ | 156 | |||||||||||||||
HKD | 710,000 | Morgan Stanley | USD | 91,532 | 12/16/2020 | 20 | ||||||||||||||||
USD | 134,241 | Citibank NA | AUD | 184,101 | 12/16/2020 | 4,925 | ||||||||||||||||
USD | 19,176 | JPMorgan Chase Bank | CHF | 17,373 | 12/16/2020 | 194 | ||||||||||||||||
USD | 51,865 | Toronto-Dominion Bank (The) | GBP | 40,000 | 12/16/2020 | 128 | ||||||||||||||||
USD | 166,645 | UBS AG | HKD | 1,292,326 | 12/16/2020 | 5 | ||||||||||||||||
USD | 34,468 | Toronto-Dominion Bank (The) | SGD | 47,035 | 12/16/2020 | 23 | ||||||||||||||||
Total unrealized appreciation |
| $ | 5,451 | |||||||||||||||||||
AUD | 117,000 | Toronto-Dominion Bank (The) | USD | 84,805 | 12/16/2020 | $ | (2,623 | ) | ||||||||||||||
CAD | 16,971 | Morgan Stanley | USD | 12,870 | 12/16/2020 | (139 | ) | |||||||||||||||
EUR | 1,023 | JPMorgan Chase Bank | USD | 1,215 | 12/16/2020 | (22 | ) | |||||||||||||||
SEK | 568,851 | Morgan Stanley | USD | 65,081 | 12/16/2020 | (1,137 | ) | |||||||||||||||
USD | 145,091 | Morgan Stanley | JPY | 15,382,807 | 12/16/2020 | (2,148 | ) | |||||||||||||||
Total unrealized depreciation |
| $ | (6,069 | ) | ||||||||||||||||||
Net unrealized depreciation |
| $ | (618 | ) |
Abbreviations:
AUD – Australian Dollar
CAD – Canadian Dollar
CHF – Swiss Franc
EUR – Euro
GBP – British Pound
HKD – Hong Kong Dollar
JPY – Japanese Yen
SEK – Swedish Krona
SGD – Singapore Dollar
USD – US Dollar
See Accompanying Notes to the Financial Statements.
298 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® Global Quality Real Estate Index Fund (cont.)
FlexShares® Global Quality Real Estate Index Fund invested, as a percentage of net assets, in companies domiciled in the following countries as of October 31, 2020:
Australia | 4.3 | % | ||
Austria | 0.5 | |||
Belgium | 0.2 | |||
Canada | 3.5 | |||
Finland | 0.4 | |||
France | 0.9 | |||
Germany | 4.5 | |||
Hong Kong | 6.8 | |||
Ireland | 0.2 | |||
Japan | 7.5 | |||
Netherlands | 0.2 | |||
New Zealand | 0.4 | |||
Norway | 0.3 | |||
Singapore | 1.9 | |||
Sweden | 3.2 | |||
Switzerland | 1.1 | |||
United Kingdom | 3.6 | |||
United States | 59.3 | |||
Other1 | 1.2 | |||
100.0 | % |
1 | Includes any non-equity securities, securities lending reinvestments and net other assets (liabilities). |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 299 |
Table of Contents
Schedule of Investments
FlexShares® Real Assets Allocation Index Fund
October 31, 2020
Investments | Shares | Value | ||||||
EXCHANGE TRADED FUNDS – 100.0% | ||||||||
FlexShares® Global Quality Real Estate Index Fund(a) | 18,060 | $ | 917,016 | |||||
FlexShares® Global Upstream Natural Resources Index Fund(a) | 49,910 | 1,335,592 | ||||||
FlexShares® STOXX® Global Broad Infrastructure Index Fund(a) | 46,634 | 2,249,624 | ||||||
Total Exchange Traded Funds (Cost $4,892,161) |
| 4,502,232 | ||||||
Total Investments – 100.0% (Cost $4,892,161) |
| 4,502,232 | ||||||
Liabilities in excess of other assets – (0.0%)(b) |
| (503 | ) | |||||
NET ASSETS – 100.0% |
| $ | 4,501,729 |
(a) | Investment in affiliated Fund. Northern Trust Investments, Inc. is the Investment Adviser to both the Fund and the affiliated Funds. |
(b) | Represents less than 0.05% of net assets. |
Percentages shown are based on Net Assets.
As of October 31, 2020, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments (including derivative instruments, if applicable) for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | — | ||
Aggregate gross unrealized depreciation | (400,344 | ) | ||
Net unrealized depreciation | $ | (400,344 | ) | |
Federal income tax cost | $ | 4,902,576 |
The underlying index of the FlexShares® Real Assets Allocation Index Fund is comprised of securities of affiliated FlexShares® Funds. The Schedules of Investments of the affiliated FlexShares® Funds are located elsewhere in this Report.
Investment in a company which was affiliated for the period ended October 31, 2020, was as follows:
Security | Value October 31, 2019 | Purchases at Cost | Sales Proceeds | Shares October 31, 2020 | Value October 31, 2020 | Change in Unrealized Appreciation (Depreciation) | Dividend Income | Realized Gain/ (Loss) | ||||||||||||||||||||||||
FlexShares® Global Quality Real Estate Index Fund | $ | 4,608,580 | $ | 106,750 | $ | 2,854,816 | 18,060 | $ | 917,016 | $ | (486,478 | ) | $ | 160,367 | $ | (457,020 | ) | |||||||||||||||
FlexShares® Global Upstream Natural Resources Index Fund | 1,020,332 | 997,051 | 588,053 | 49,910 | 1,335,592 | (67,983 | ) | 25,673 | (25,755 | ) | ||||||||||||||||||||||
FlexShares® STOXX® Global Broad Infrastructure Index Fund | 5,729,117 | 148,519 | 3,310,221 | 46,634 | 2,249,624 | (512,160 | ) | 102,156 | 194,369 | |||||||||||||||||||||||
$ | 11,358,029 | $ | 1,252,320 | $ | 6,753,090 | 114,604 | $ | 4,502,232 | $ | (1,066,621 | ) | $ | 288,196 | $ | (288,406 | ) |
See Accompanying Notes to the Financial Statements.
300 | FLEXSHARES ANNUAL REPORT |
Table of Contents
Schedule of Investments
FlexShares® Quality Dividend Index Fund
October 31, 2020
Investments | Shares | Value | ||||||
COMMON STOCKS – 99.6% | ||||||||
Aerospace & Defense – 1.4% | ||||||||
Lockheed Martin Corp. | 51,304 | $ | 17,963,069 | |||||
Air Freight & Logistics – 0.5% | ||||||||
CH Robinson Worldwide, Inc.(a) | 75,207 | 6,650,555 | ||||||
Auto Components – 0.5% | ||||||||
Gentex Corp. | 248,941 | 6,888,197 | ||||||
Banks – 5.5% | ||||||||
Bank of America Corp. | 235,532 | 5,582,108 | ||||||
Citigroup, Inc. | 167,904 | 6,954,584 | ||||||
JPMorgan Chase & Co. | 404,602 | 39,667,180 | ||||||
M&T Bank Corp.(a) | 47,806 | 4,951,745 | ||||||
Wells Fargo & Co. | 86,867 | 1,863,297 | ||||||
Western Alliance Bancorp | 128,843 | 5,308,332 | ||||||
Zions Bancorp NA | 148,082 | 4,778,606 | ||||||
69,105,852 | ||||||||
Beverages – 0.2% | ||||||||
Coca-Cola Co. (The) | 41,393 | 1,989,348 | ||||||
Biotechnology – 3.0% | ||||||||
AbbVie, Inc. | 2,915 | 248,067 | ||||||
Amgen, Inc. | 118,932 | 25,801,108 | ||||||
Gilead Sciences, Inc. | 199,969 | 11,628,197 | ||||||
37,677,372 | ||||||||
Capital Markets – 4.2% | ||||||||
Ameriprise Financial, Inc. | 46,057 | 7,407,347 | ||||||
Eaton Vance Corp. | 18,073 | 1,080,585 | ||||||
Lazard Ltd., Class A | 173,151 | 5,829,994 | ||||||
Moody’s Corp. | 34,397 | 9,042,971 | ||||||
Morgan Stanley | 135,628 | 6,530,488 | ||||||
S&P Global, Inc. | 48,972 | 15,804,734 | ||||||
T. Rowe Price Group, Inc. | 57,717 | 7,310,435 | ||||||
53,006,554 | ||||||||
Chemicals – 1.9% | ||||||||
Dow, Inc. | 170,819 | 7,770,556 | ||||||
Eastman Chemical Co. | 93,280 | 7,540,755 |
Investments | Shares | Value | ||||||
Chemicals – (continued) | ||||||||
Sherwin-Williams Co. (The) | 12,826 | $ | 8,824,032 | |||||
24,135,343 | ||||||||
Commercial Services & Supplies – 0.7% | ||||||||
Cintas Corp. | 5,830 | 1,833,827 | ||||||
Rollins, Inc.(a) | 126,511 | 7,318,661 | ||||||
9,152,488 | ||||||||
Communications Equipment – 2.4% | ||||||||
Cisco Systems, Inc. | 845,933 | 30,368,995 | ||||||
Consumer Finance – 0.4% | ||||||||
Synchrony Financial | 212,795 | 5,324,131 | ||||||
Containers & Packaging – 0.6% | ||||||||
International Paper Co. | 167,904 | 7,345,800 | ||||||
Distributors – 0.6% | ||||||||
Pool Corp. | 22,154 | 7,750,134 | ||||||
Diversified Telecommunication Services – 2.8% | ||||||||
AT&T, Inc. | 510,125 | 13,783,578 | ||||||
Cogent Communications Holdings, Inc. | 32,648 | 1,821,758 | ||||||
Verizon Communications, Inc. | 343,970 | 19,602,850 | ||||||
35,208,186 | ||||||||
Electric Utilities – 3.8% | ||||||||
Evergy, Inc. | 106,689 | 5,889,233 | ||||||
Exelon Corp. | 205,799 | 8,209,322 | ||||||
IDACORP, Inc. | 43,725 | 3,835,994 | ||||||
NRG Energy, Inc. | 199,386 | 6,304,585 | ||||||
OGE Energy Corp. | 163,823 | 5,040,834 | ||||||
Portland General Electric Co.(a) | 118,349 | 4,651,116 | ||||||
PPL Corp. | 230,285 | 6,332,837 | ||||||
Southern Co. (The) | 131,175 | 7,536,004 | ||||||
47,799,925 | ||||||||
Electrical Equipment – 0.6% | ||||||||
Rockwell Automation, Inc. | 33,231 | 7,879,735 | ||||||
Electronic Equipment, Instruments & Components – 0.2% | ||||||||
Amphenol Corp., Class A | 20,405 | 2,302,500 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 301 |
Table of Contents
FlexShares® Quality Dividend Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Energy Equipment & Services – 1.3% | ||||||||
Baker Hughes Co.(a) | 372,537 | $ | 5,502,372 | |||||
Halliburton Co. | 433,169 | 5,224,018 | ||||||
Schlumberger NV | 387,112 | 5,783,453 | ||||||
16,509,843 | ||||||||
Entertainment – 0.9% | ||||||||
Activision Blizzard, Inc. | 156,827 | 11,876,509 | ||||||
Equity Real Estate Investment Trusts (REITs) – 3.0% | ||||||||
American Tower Corp. | 54,219 | 12,451,393 | ||||||
Extra Space Storage, Inc. | 3,498 | 405,593 | ||||||
Highwoods Properties, Inc. | 13,409 | 399,186 | ||||||
Life Storage, Inc.(a) | 61,798 | 7,054,242 | ||||||
Public Storage | 37,312 | 8,547,060 | ||||||
Simon Property Group, Inc. | 70,543 | 4,430,806 | ||||||
Welltower, Inc. | 96,778 | 5,203,753 | ||||||
38,492,033 | ||||||||
Food & Staples Retailing – 2.3% | ||||||||
Walmart, Inc. | 209,297 | 29,039,959 | ||||||
Food Products – 1.1% | ||||||||
Campbell Soup Co.(a) | 124,179 | 5,795,434 | ||||||
General Mills, Inc. | 129,426 | 7,651,665 | ||||||
13,447,099 | ||||||||
Health Care Equipment & Supplies – 0.7% | ||||||||
Abbott Laboratories | 11,077 | 1,164,304 | ||||||
Dentsply Sirona, Inc. | 37,312 | 1,760,753 | ||||||
Hill-Rom Holdings, Inc. | 58,883 | 5,362,475 | ||||||
8,287,532 | ||||||||
Health Care Providers & Services – 3.0% | ||||||||
AmerisourceBergen Corp. | 70,543 | 6,777,066 | ||||||
Cardinal Health, Inc. | 127,094 | 5,819,634 | ||||||
Chemed Corp. | 13,733 | 6,568,769 | ||||||
Humana, Inc. | 13,409 | 5,353,945 | ||||||
McKesson Corp. | 48,389 | 7,136,894 | ||||||
UnitedHealth Group, Inc. | 19,822 | 6,048,485 | ||||||
37,704,793 | ||||||||
Health Care Technology – 0.6% | ||||||||
Cerner Corp.(a) | 103,191 | 7,232,657 |
Investments | Shares | Value | ||||||
Household Durables – 1.1% | ||||||||
PulteGroup, Inc. | 156,244 | $ | 6,368,505 | |||||
Whirlpool Corp.(a) | 39,061 | 7,224,723 | ||||||
13,593,228 | ||||||||
Household Products – 3.1% | ||||||||
Church & Dwight Co., Inc. | 70,543 | 6,235,296 | ||||||
Clorox Co. (The)(a) | 5,830 | 1,208,267 | ||||||
Colgate-Palmolive Co. | 34,397 | 2,713,579 | ||||||
Procter & Gamble Co. (The) | 211,046 | 28,934,407 | ||||||
39,091,549 | ||||||||
Independent Power and Renewable Electricity Producers – 1.3% | ||||||||
AES Corp. (The) | 162,657 | 3,171,812 | ||||||
NextEra Energy Partners LP(a) | 108,438 | 6,809,906 | ||||||
Vistra Corp. | 365,541 | 6,349,447 | ||||||
16,331,165 | ||||||||
Industrial Conglomerates – 0.0%(b) | ||||||||
Honeywell International, Inc. | 1,749 | 288,498 | ||||||
Insurance – 2.5% | ||||||||
Aflac, Inc. | 167,904 | 5,700,341 | ||||||
Aon plc, Class A(a) | 18,656 | 3,432,891 | ||||||
MetLife, Inc. | 174,900 | 6,619,965 | ||||||
National General Holdings Corp. | 160,325 | 5,446,240 | ||||||
Progressive Corp. (The) | 118,349 | 10,876,273 | ||||||
32,075,710 | ||||||||
Internet & Direct Marketing Retail – 0.5% | ||||||||
eBay, Inc. | 146,916 | 6,997,609 | ||||||
IT Services – 3.8% | ||||||||
International Business Machines Corp. | 180,730 | 20,180,312 | ||||||
Mastercard, Inc., Class A | 16,324 | 4,711,759 | ||||||
Paychex, Inc. | 4,664 | 383,614 | ||||||
Visa, Inc., Class A(a) | 95,029 | 17,267,720 | ||||||
Western Union Co. (The)(a) | 293,249 | 5,700,760 | ||||||
48,244,165 | ||||||||
Leisure Products – 0.5% | ||||||||
Polaris, Inc.(a) | 66,462 | 6,038,737 |
See Accompanying Notes to the Financial Statements.
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Table of Contents
FlexShares® Quality Dividend Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Life Sciences Tools & Services – 0.0%(b) | ||||||||
Thermo Fisher Scientific, Inc. | 583 | $ | 275,829 | |||||
Machinery – 1.0% | ||||||||
Illinois Tool Works, Inc. | 64,130 | 12,561,784 | ||||||
Media – 3.1% | ||||||||
Comcast Corp., Class A | 336,974 | 14,233,782 | ||||||
Interpublic Group of Cos., Inc. (The) | 365,541 | 6,612,637 | ||||||
New York Times Co. (The), Class A(a) | 153,912 | 6,104,150 | ||||||
Omnicom Group, Inc. | 129,426 | 6,108,907 | ||||||
Sirius XM Holdings, Inc.(a) | 1,145,595 | 6,564,259 | ||||||
39,623,735 | ||||||||
Multi-Utilities – 0.6% | ||||||||
Public Service Enterprise Group, Inc. | 136,422 | 7,932,939 | ||||||
Oil, Gas & Consumable Fuels – 1.0% | ||||||||
Cabot Oil & Gas Corp. | 346,302 | 6,160,713 | ||||||
Chevron Corp. | 2,915 | 202,592 | ||||||
HollyFrontier Corp. | 98,527 | 1,823,735 | ||||||
Plains GP Holdings LP, Class A*(a) | 632,555 | 4,042,026 | ||||||
12,229,066 | ||||||||
Pharmaceuticals – 6.4% | ||||||||
Eli Lilly and Co. | 110,770 | 14,451,054 | ||||||
Johnson & Johnson | 311,322 | 42,685,359 | ||||||
Merck & Co., Inc. | 300,828 | 22,625,274 | ||||||
Pfizer, Inc. | 53,053 | 1,882,321 | ||||||
81,644,008 | ||||||||
Professional Services – 0.4% | ||||||||
ManpowerGroup, Inc. | 74,624 | 5,064,731 | ||||||
Road & Rail – 0.6% | ||||||||
Old Dominion Freight Line, Inc. | 38,478 | 7,325,057 | ||||||
Semiconductors & Semiconductor Equipment – 6.8% | ||||||||
Intel Corp. | 89,199 | 3,949,732 | ||||||
KLA Corp. | 37,312 | 7,357,180 | ||||||
Lam Research Corp. | 29,733 | 10,171,065 |
Investments | Shares | Value | ||||||
Semiconductors & Semiconductor Equipment – (continued) | ||||||||
Microchip Technology, Inc. | 73,458 | $ | 7,718,967 | |||||
QUALCOMM, Inc. | 223,289 | 27,544,931 | ||||||
Skyworks Solutions, Inc. | 18,073 | 2,553,534 | ||||||
Texas Instruments, Inc. | 185,977 | 26,890,414 | ||||||
86,185,823 | ||||||||
Software – 7.0% | ||||||||
Citrix Systems, Inc. | 53,053 | 6,009,313 | ||||||
Intuit, Inc. | 23,320 | 7,338,338 | ||||||
Microsoft Corp. | 260,018 | 52,645,845 | ||||||
Oracle Corp. | 409,266 | 22,963,915 | ||||||
88,957,411 | ||||||||
Specialty Retail – 5.4% | ||||||||
Aaron’s Holdings Co., Inc. | 116,017 | 6,063,049 | ||||||
Best Buy Co., Inc. | 69,960 | 7,804,038 | ||||||
Home Depot, Inc. (The) | 98,527 | 26,278,136 | ||||||
Lowe’s Cos., Inc. | 132,924 | 21,015,284 | ||||||
Tractor Supply Co. | 49,555 | 6,601,222 | ||||||
67,761,729 | ||||||||
Technology Hardware, Storage & Peripherals – 9.3% | ||||||||
Apple, Inc. | 984,284 | 107,149,156 | ||||||
NetApp, Inc. | 120,098 | 5,271,101 | ||||||
Seagate Technology plc(a) | 120,098 | 5,743,087 | ||||||
118,163,344 | ||||||||
Textiles, Apparel & Luxury Goods – 0.6% | ||||||||
Hanesbrands, Inc.(a) | 437,250 | 7,026,607 | ||||||
Tobacco – 1.8% | ||||||||
Philip Morris International, Inc. | 315,403 | 22,399,921 | ||||||
Trading Companies & Distributors – 0.6% | ||||||||
WW Grainger, Inc.(a) | 20,405 | 7,142,158 | ||||||
Total Common Stocks (Cost $1,138,758,079) |
| 1,260,093,412 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 303 |
Table of Contents
FlexShares® Quality Dividend Index Fund (cont.)
Investments | Principal Amount | Value | ||||||
SECURITIES LENDING REINVESTMENTS(c) – 5.3% | ||||||||
CERTIFICATES OF DEPOSIT – 1.1% | ||||||||
Bank of Nova Scotia, Houston |
| |||||||
(ICE LIBOR USD 3 Month + 0.08%), 0.29%, 7/21/2021(d) | $ | 3,000,000 | $ | 3,000,633 | ||||
Cooperatieve Rabobank UA, London |
| |||||||
(ICE LIBOR USD 3 Month + 0.08%), 0.29%, 7/30/2021(d) | 3,000,000 | 3,001,170 | ||||||
Nordea Bank Abp, New York Branch |
| |||||||
(ICE LIBOR USD 3 Month + 0.03%), 0.27%, 10/7/2021(d) | 3,000,000 | 2,999,532 | ||||||
Royal Bank of Canada, New York |
| |||||||
(ICE LIBOR USD 3 Month + 0.04%), 0.27%, 10/5/2021(d) | 1,000,000 | 999,868 | ||||||
Sumitomo Mitsui Trust Bank Ltd., New York |
| |||||||
(ICE LIBOR USD 3 Month + 0.09%), 0.34%, 12/11/2020(d) | 4,000,000 | 4,000,000 | ||||||
Total Certificates of Deposit (Cost $13,999,811) |
| 14,001,203 | ||||||
REPURCHASE AGREEMENTS – 4.2% | ||||||||
BofA Securities, Inc., 0.53%, dated 10/30/2020, due 2/1/2021, repurchase price $8,011,071, collateralized by various Common Stocks; total market value $8,696,146 | 8,000,000 | 8,000,000 | ||||||
Citigroup Global Markets Ltd., 0.11%, dated 10/30/2020, due 11/2/2020, repurchase price $3,100,028, collateralized by various U.S. Treasury Securities, ranging from 0.50% – 1.88%, maturing 11/30/2021 – 3/15/2023; Foreign Government Fixed Income Securities, ranging from 0.25% – 0.50%, maturing 11/15/2023 – 12/15/2025; total market value $3,144,026 | 3,100,000 | 3,100,000 |
Investments | Principal Amount | Value | ||||||
REPURCHASE AGREEMENTS – (continued) | ||||||||
Citigroup Global Markets, Inc., 0.07%, dated 10/30/2020, due 11/2/2020, repurchase price $15,820,262, collateralized by various U.S. Treasury Securities, ranging from 2.63% – 5.50%, maturing 8/15/2028 – 4/15/2029; total market value $16,097,316 | $ | 15,820,170 | $ | 15,820,170 | ||||
Deutsche Bank AG, London Branch, 0.20%, dated 10/30/2020, due 11/2/2020, repurchase price $5,700,095, collateralized by various Foreign Government Fixed Income Securities, ranging from 0.25% – 0.50%, maturing 10/19/2023 – 10/28/2025; total market value $5,811,524 | 5,700,000 | 5,700,000 | ||||||
Societe Generale, 0.18%, dated 10/30/2020, due 11/2/2020, repurchase price $20,000,300, collateralized by various Common Stocks; total market value $22,014,463 | 20,000,000 | 20,000,000 | ||||||
Total Repurchase Agreements (Cost $52,620,170) |
| 52,620,170 | ||||||
Total Securities Lending Reinvestments (Cost $66,619,981) |
| 66,621,373 | ||||||
Total Investments – 104.9% (Cost $1,205,378,060) |
| 1,326,714,785 | ||||||
Liabilities in excess of other assets – (4.9%) |
| (61,538,180 | ) | |||||
NET ASSETS – 100.0% |
| $ | 1,265,176,605 |
See Accompanying Notes to the Financial Statements.
304 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® Quality Dividend Index Fund (cont.)
* | Non-income producing security. |
(a) | The security or a portion of this security is on loan at October 31, 2020. The total value of securities on loan at October 31, 2020 was $78,388,967, collateralized in the form of cash with a value of $66,619,988 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Investments and $14,667,980 of collateral in the form of U.S. Government Treasury Securities, interest rates ranging from 0.00% – 8.00%, and maturity dates ranging from November 5, 2020 – May 15, 2050; a total value of $81,287,968. |
(b) | Represents less than 0.05% of net assets. |
(c) | The security was purchased with cash collateral held from securities on loan at October 31, 2020. The total value of securities purchased was $66,621,373. |
(d) | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the rate in effect as of October 31, 2020. |
Percentages shown are based on Net Assets.
Abbreviations
ICE – Intercontinental Exchange
LIBOR – London Interbank Offered Rate
USD – US Dollar
As of October 31, 2020, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments (including derivative instruments, if applicable) for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 192,538,806 | ||
Aggregate gross unrealized depreciation | (71,049,213 | ) | ||
Net unrealized appreciation | $ | 121,489,593 | ||
Federal income tax cost | $ | 1,205,103,322 |
Futures Contracts
FlexShares® Quality Dividend Index Fund had the following open futures contracts as of October 31, 2020:
Number of Contracts | Expiration Date | Trading Currency | Notional Amount | Value and Unrealized Depreciation* | ||||||||||||||
Long Contracts |
| |||||||||||||||||
S&P 500 E-Mini Index | 28 | 12/18/2020 | USD | $ | 4,570,580 | $ | (121,870 | ) |
* | This amount represents the cumulative appreciation/depreciation on futures contracts. Current day’s variation margin is reported within the Statement of Assets and Liabilities for futures contracts. |
Abbreviations:
USD – US Dollar
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 305 |
Table of Contents
Schedule of Investments
FlexShares® Quality Dividend Defensive Index Fund
October 31, 2020
Investments | Shares | Value | ||||||
COMMON STOCKS – 99.6% | ||||||||
Aerospace & Defense – 1.4% | ||||||||
Lockheed Martin Corp. | 16,405 | $ | 5,743,883 | |||||
Air Freight & Logistics – 0.5% | ||||||||
CH Robinson Worldwide, Inc.(a) | 24,318 | 2,150,441 | ||||||
Banks – 4.0% | ||||||||
Bank of America Corp. | 59,637 | 1,413,397 | ||||||
Citigroup, Inc. | 4,053 | 167,875 | ||||||
JPMorgan Chase & Co. | 133,170 | 13,055,987 | ||||||
Wells Fargo & Co. | 76,814 | 1,647,660 | ||||||
16,284,919 | ||||||||
Beverages – 1.2% | ||||||||
Coca-Cola Co. (The) | 100,746 | 4,841,853 | ||||||
Biotechnology – 4.1% | ||||||||
AbbVie, Inc. | 45,548 | 3,876,135 | ||||||
Amgen, Inc.(a) | 38,407 | 8,332,014 | ||||||
Gilead Sciences, Inc. | 82,411 | 4,792,200 | ||||||
17,000,349 | ||||||||
Capital Markets – 1.8% | ||||||||
Intercontinental Exchange, Inc. | 35,705 | 3,370,552 | ||||||
MarketAxess Holdings, Inc. | 1,351 | 727,986 | ||||||
MSCI, Inc. | 2,316 | 810,230 | ||||||
T. Rowe Price Group, Inc. | 18,721 | 2,371,202 | ||||||
7,279,970 | ||||||||
Chemicals – 1.0% | ||||||||
CF Industries Holdings, Inc. | 52,110 | 1,438,757 | ||||||
Dow, Inc. | 18,721 | 851,618 | ||||||
Scotts Miracle-Gro Co. (The) | 13,510 | 2,027,176 | ||||||
4,317,551 | ||||||||
Commercial Services & Supplies – 1.2% | ||||||||
Cintas Corp. | 7,913 | 2,489,034 | ||||||
Rollins, Inc. | 41,109 | 2,378,156 | ||||||
4,867,190 | ||||||||
Communications Equipment – 3.0% | ||||||||
Cisco Systems, Inc. | 266,726 | 9,575,463 |
Investments | Shares | Value | ||||||
Communications Equipment – (continued) | ||||||||
Motorola Solutions, Inc. | 16,598 | $ | 2,623,480 | |||||
12,198,943 | ||||||||
Consumer Finance – 0.4% | ||||||||
Synchrony Financial | 69,866 | 1,748,047 | ||||||
Containers & Packaging – 0.7% | ||||||||
International Paper Co. | 64,076 | 2,803,325 | ||||||
Distributors – 0.6% | ||||||||
Pool Corp. | 7,141 | 2,498,136 | ||||||
Diversified Consumer Services – 0.1% | ||||||||
Service Corp. International | 11,966 | 554,145 | ||||||
Diversified Telecommunication Services – 3.6% | ||||||||
AT&T, Inc. | 165,015 | 4,458,705 | ||||||
CenturyLink, Inc.(a) | 52,110 | 449,188 | ||||||
Cogent Communications Holdings, Inc. | 32,424 | 1,809,259 | ||||||
Verizon Communications, Inc. | 139,346 | 7,941,329 | ||||||
14,658,481 | ||||||||
Electric Utilities – 3.5% | ||||||||
Evergy, Inc. | 35,319 | 1,949,609 | ||||||
Exelon Corp. | 68,515 | 2,733,063 | ||||||
FirstEnergy Corp. | 8,106 | 240,910 | ||||||
IDACORP, Inc. | 1,351 | 118,523 | ||||||
OGE Energy Corp. | 53,075 | 1,633,118 | ||||||
Portland General Electric Co. | 39,179 | 1,539,735 | ||||||
PPL Corp. | 75,077 | 2,064,618 | ||||||
Southern Co. (The) | 69,094 | 3,969,450 | ||||||
14,249,026 | ||||||||
Electrical Equipment – 0.3% | ||||||||
Eaton Corp. plc | 11,194 | 1,161,825 | ||||||
Electronic Equipment, Instruments & Components – 0.2% | ||||||||
CDW Corp. | 5,790 | 709,854 | ||||||
Entertainment – 0.9% | ||||||||
Activision Blizzard, Inc. | 50,759 | 3,843,979 |
See Accompanying Notes to the Financial Statements.
306 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® Quality Dividend Defensive Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Equity Real Estate Investment Trusts (REITs) – 6.5% | ||||||||
American Tower Corp. | 5,790 | $ | 1,329,674 | |||||
CoreSite Realty Corp. | 16,405 | 1,958,101 | ||||||
Crown Castle International Corp. | 11,966 | 1,869,089 | ||||||
CubeSmart(a) | 73,726 | 2,501,523 | ||||||
CyrusOne, Inc. | 6,948 | 493,655 | ||||||
Equity Residential | 32,617 | 1,532,347 | ||||||
Extra Space Storage, Inc. | 22,774 | 2,640,645 | ||||||
Gaming and Leisure Properties, Inc. | 12,506 | 454,593 | ||||||
Healthcare Realty Trust, Inc. | 65,234 | 1,813,505 | ||||||
Life Storage, Inc. | 22,002 | 2,511,528 | ||||||
National Health Investors, Inc.(a) | 35,705 | 2,001,265 | ||||||
Omega Healthcare Investors, Inc.(a) | 16,984 | 489,309 | ||||||
Public Storage | 12,931 | 2,962,104 | ||||||
SBA Communications Corp. | 3,281 | 952,704 | ||||||
Simon Property Group, Inc.(a) | 23,160 | 1,454,680 | ||||||
Welltower, Inc. | 31,845 | 1,712,306 | ||||||
26,677,028 | ||||||||
Food & Staples Retailing – 3.1% | ||||||||
Walmart, Inc. | 93,026 | 12,907,357 | ||||||
Food Products – 0.8% | ||||||||
General Mills, Inc. | 41,495 | 2,453,185 | ||||||
Hershey Co. (The) | 5,018 | 689,774 | ||||||
3,142,959 | ||||||||
Health Care Equipment & Supplies – 0.8% | ||||||||
Abbott Laboratories | 2,895 | 304,293 | ||||||
Medtronic plc | 19,300 | 1,941,001 | ||||||
ResMed, Inc. | 4,439 | 852,022 | ||||||
3,097,316 | ||||||||
Health Care Providers & Services – 3.9% | ||||||||
AmerisourceBergen Corp. | 23,160 | 2,224,981 | ||||||
UnitedHealth Group, Inc. | 45,548 | 13,898,517 | ||||||
16,123,498 | ||||||||
Hotels, Restaurants & Leisure – 1.8% | ||||||||
Domino’s Pizza, Inc. | 1,544 | 584,126 | ||||||
McDonald’s Corp. | 20,072 | 4,275,336 |
Investments | Shares | Value | ||||||
Hotels, Restaurants & Leisure – (continued) | ||||||||
Yum! Brands, Inc. | 26,634 | $ | 2,485,751 | |||||
7,345,213 | ||||||||
Household Durables – 0.6% | ||||||||
Newell Brands, Inc. | 28,757 | 507,849 | ||||||
PulteGroup, Inc. | 50,373 | 2,053,203 | ||||||
2,561,052 | ||||||||
Household Products – 2.1% | ||||||||
Church & Dwight Co., Inc. | 8,685 | 767,667 | ||||||
Clorox Co. (The)(a) | 3,667 | 759,986 | ||||||
Procter & Gamble Co. (The) | 51,917 | 7,117,821 | ||||||
8,645,474 | ||||||||
Independent Power and Renewable Electricity Producers – 0.1% | ||||||||
NextEra Energy Partners LP(a) | 6,948 | 436,334 | ||||||
Insurance – 3.4% | ||||||||
Aflac, Inc. | 55,584 | 1,887,077 | ||||||
Aon plc, Class A(a) | 15,247 | 2,805,600 | ||||||
Brown & Brown, Inc. | 12,931 | 562,628 | ||||||
Fidelity National Financial, Inc.(a) | 14,089 | 440,845 | ||||||
Hanover Insurance Group, Inc. (The)(a) | 17,370 | 1,661,614 | ||||||
Hartford Financial Services Group, Inc. (The) | 14,861 | 572,446 | ||||||
MetLife, Inc. | 57,514 | 2,176,905 | ||||||
Progressive Corp. (The) | 38,600 | 3,547,340 | ||||||
RenaissanceRe Holdings Ltd. | 2,895 | 468,179 | ||||||
14,122,634 | ||||||||
Internet & Direct Marketing Retail – 0.5% | ||||||||
eBay, Inc. | 46,513 | 2,215,414 | ||||||
IT Services – 4.2% | ||||||||
Amdocs Ltd. | 8,299 | 467,898 | ||||||
Booz Allen Hamilton Holding Corp. | 5,018 | 393,913 | ||||||
International Business Machines Corp. | 58,286 | 6,508,215 | ||||||
Jack Henry & Associates, Inc. | 11,387 | 1,688,123 | ||||||
Mastercard, Inc., Class A | 5,211 | 1,504,103 | ||||||
Paychex, Inc.(a) | 28,564 | 2,349,389 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 307 |
Table of Contents
FlexShares® Quality Dividend Defensive Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
IT Services – (continued) | ||||||||
Visa, Inc., Class A(a) | 13,896 | $ | 2,525,042 | |||||
Western Union Co. (The)(a) | 95,535 | 1,857,200 | ||||||
17,293,883 | ||||||||
Life Sciences Tools & Services – 0.0%(b) | ||||||||
Thermo Fisher Scientific, Inc. | 193 | 91,312 | ||||||
Machinery – 0.5% | ||||||||
Cummins, Inc. | 4,053 | 891,214 | ||||||
Illinois Tool Works, Inc. | 5,597 | 1,096,341 | ||||||
1,987,555 | ||||||||
Media – 2.3% | ||||||||
Cable One, Inc.(a) | 282 | 488,385 | ||||||
Comcast Corp., Class A | 109,624 | 4,630,518 | ||||||
Interpublic Group of Cos., Inc. (The) | 25,283 | 457,369 | ||||||
New York Times Co. (The), Class A(a) | 50,952 | 2,020,756 | ||||||
Omnicom Group, Inc. | 42,653 | 2,013,222 | ||||||
9,610,250 | ||||||||
Metals & Mining – 0.3% | ||||||||
Newmont Corp. | 22,388 | 1,406,862 | ||||||
Multiline Retail – 0.5% | ||||||||
Target Corp. | 13,896 | 2,115,249 | ||||||
Multi-Utilities – 2.8% | ||||||||
Dominion Energy, Inc. | 55,005 | 4,419,102 | ||||||
NorthWestern Corp. | 29,722 | 1,549,408 | ||||||
Public Service Enterprise Group, Inc. | 46,320 | 2,693,508 | ||||||
WEC Energy Group, Inc. | 27,406 | 2,755,673 | ||||||
11,417,691 | ||||||||
Oil, Gas & Consumable Fuels – 1.5% | ||||||||
Antero Midstream Corp. | 12,352 | 70,777 | ||||||
Cabot Oil & Gas Corp. | 112,905 | 2,008,580 | ||||||
Chevron Corp. | 49,215 | 3,420,443 | ||||||
Exxon Mobil Corp. | 4,053 | 132,209 | ||||||
Kinder Morgan, Inc. | 59,637 | 709,680 | ||||||
6,341,689 |
Investments | Shares | Value | ||||||
Pharmaceuticals – 6.4% | ||||||||
Eli Lilly and Co. | 56,549 | $ | 7,377,382 | |||||
Johnson & Johnson | 102,290 | 14,024,982 | ||||||
Merck & Co., Inc. | 27,406 | 2,061,205 | ||||||
Pfizer, Inc. | 77,393 | 2,745,904 | ||||||
26,209,473 | ||||||||
Semiconductors & Semiconductor Equipment – 4.4% | ||||||||
Broadcom, Inc. | 8,299 | 2,901,579 | ||||||
Intel Corp. | 34,161 | 1,512,649 | ||||||
KLA Corp.(a) | 12,159 | 2,397,512 | ||||||
Skyworks Solutions, Inc. | 17,370 | 2,454,207 | ||||||
Texas Instruments, Inc. | 60,216 | 8,706,632 | ||||||
17,972,579 | ||||||||
Software – 6.2% | ||||||||
CDK Global, Inc.(a) | 31,459 | 1,355,883 | ||||||
Citrix Systems, Inc. | 16,791 | 1,901,917 | ||||||
Microsoft Corp. | 92,640 | 18,756,821 | ||||||
Oracle Corp. | 60,795 | 3,411,207 | ||||||
25,425,828 | ||||||||
Specialty Retail – 4.7% | ||||||||
Best Buy Co., Inc. | 22,195 | 2,475,852 | ||||||
Home Depot, Inc. (The) | 51,917 | 13,846,783 | ||||||
Lowe’s Cos., Inc. | 16,598 | 2,624,144 | ||||||
Tractor Supply Co. | 1,737 | 231,386 | ||||||
19,178,165 | ||||||||
Technology Hardware, Storage & Peripherals – 9.0% | ||||||||
Apple, Inc. | 317,292 | 34,540,407 | ||||||
Seagate Technology plc | 50,180 | 2,399,608 | ||||||
36,940,015 | ||||||||
Textiles, Apparel & Luxury Goods – 0.6% | ||||||||
Hanesbrands, Inc.(a) | 141,662 | 2,276,508 | ||||||
Tobacco – 2.4% | ||||||||
Altria Group, Inc. | 73,340 | 2,646,107 | ||||||
Philip Morris International, Inc. | 102,097 | 7,250,929 | ||||||
9,897,036 | ||||||||
Trading Companies & Distributors – 1.7% | ||||||||
Fastenal Co. | 51,724 | 2,236,028 | ||||||
MSC Industrial Direct Co., Inc., Class A | 6,948 | 483,998 |
See Accompanying Notes to the Financial Statements.
308 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® Quality Dividend Defensive Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Trading Companies & Distributors – (continued) | ||||||||
Watsco, Inc.(a) | 9,264 | $ | 2,076,433 | |||||
WW Grainger, Inc. | 6,755 | 2,364,385 | ||||||
7,160,844 | ||||||||
Total Common Stocks (Cost $375,996,148) |
| 409,511,135 | ||||||
Principal Amount | ||||||||
SECURITIES LENDING REINVESTMENTS(c) – 2.0% | ||||||||
REPURCHASE AGREEMENTS – 2.0% | ||||||||
BofA Securities, Inc., 0.53%, dated 10/30/2020, due 2/1/2021, repurchase price $1,001,384, collateralized by various Common Stocks; total market value $1,087,018 | $ | 1,000,000 | 1,000,000 | |||||
Citigroup Global Markets Ltd., 0.11%, dated 10/30/2020, due 11/2/2020, repurchase price $1,200,011, collateralized by various U.S. Treasury Securities, ranging from 0.50% – 1.88%, maturing 11/30/2021 – 3/15/2023; Foreign Government Fixed Income Securities, ranging from 0.25% – 0.50%, maturing 11/15/2023 – 12/15/2025; total market value $1,217,043 | 1,200,000 | 1,200,000 | ||||||
Citigroup Global Markets, Inc., 0.07%, dated 10/30/2020, due 11/2/2020, repurchase price $3,602,132, collateralized by various U.S. Treasury Securities, ranging from 2.63% – 5.50%, maturing 8/15/2028 – 4/15/2029; total market value $3,665,214 | 3,602,111 | 3,602,111 |
Investments | Principal Amount | Value | ||||||
REPURCHASE AGREEMENTS – (continued) | ||||||||
Deutsche Bank AG, London Branch, 0.20%, dated 10/30/2020, due 11/2/2020, repurchase price $2,300,038, collateralized by various Foreign Government Fixed Income Securities, ranging from 0.25% – 0.50%, maturing 10/19/2023 – 10/28/2025; total market value $2,345,001 | $ | 2,300,000 | $ | 2,300,000 | ||||
8,102,111 | ||||||||
Total Securities Lending Reinvestments (Cost $8,102,111) |
| 8,102,111 | ||||||
Total Investments – 101.6% (Cost $384,098,259) |
| 417,613,246 | ||||||
Liabilities in excess of other assets – (1.6%) |
| (6,440,452 | ) | |||||
NET ASSETS – 100.0% |
| $ | 411,172,794 |
(a) | The security or a portion of this security is on loan at October 31, 2020. The total value of securities on loan at October 31, 2020 was $27,769,586, collateralized in the form of cash with a value of $8,102,111 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Investments and $20,687,869 of collateral in the form of U.S. Government Treasury Securities, interest rates ranging from 0.00% – 8.00%, and maturity dates ranging from November 5, 2020 – May 15, 2050; a total value of $28,789,980. |
(b) | Represents less than 0.05% of net assets. |
(c) | The security was purchased with cash collateral held from securities on loan at October 31, 2020. The total value of securities purchased was $8,102,111. |
Percentages shown are based on Net Assets.
As of October 31, 2020, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments (including derivative instruments, if applicable) for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 56,681,922 | ||
Aggregate gross unrealized depreciation | (23,509,794 | ) | ||
Net unrealized appreciation | $ | 33,172,128 | ||
Federal income tax cost | $ | 384,406,936 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 309 |
Table of Contents
FlexShares® Quality Dividend Defensive Index Fund (cont.)
Futures Contracts
FlexShares® Quality Dividend Defensive Index Fund had the following open futures contracts as of October 31, 2020:
Number of Contracts | Expiration Date | Trading Currency | Notional Amount | Value and Unrealized Depreciation* | ||||||||||||||
Long Contracts |
| |||||||||||||||||
S&P 500 E-Mini Index | 9 | 12/18/2020 | USD | $ | 1,469,115 | $ | (34,182 | ) |
* | This amount represents the cumulative appreciation/depreciation on futures contracts. Current day’s variation margin is reported within the Statement of Assets and Liabilities for futures contracts. |
Abbreviations:
USD – US Dollar
See Accompanying Notes to the Financial Statements.
310 | FLEXSHARES ANNUAL REPORT |
Table of Contents
Schedule of Investments
FlexShares® Quality Dividend Dynamic Index Fund
October 31, 2020
Investments | Shares | Value | ||||||
COMMON STOCKS – 99.3% | ||||||||
Aerospace & Defense – 1.4% | ||||||||
Lockheed Martin Corp. | 528 | $ | 184,869 | |||||
Auto Components – 0.5% | ||||||||
Gentex Corp.(a) | 2,448 | 67,736 | ||||||
Automobiles – 0.1% | ||||||||
Thor Industries, Inc. | 144 | 12,179 | ||||||
Banks – 6.0% | ||||||||
Bank of America Corp. | 2,904 | 68,825 | ||||||
Citigroup, Inc. | 4,320 | 178,934 | ||||||
Comerica, Inc. | 474 | 21,572 | ||||||
JPMorgan Chase & Co. | 4,170 | 408,827 | ||||||
Western Alliance Bancorp(a) | 1,536 | 63,283 | ||||||
Zions Bancorp NA | 1,584 | 51,116 | ||||||
792,557 | ||||||||
Beverages – 0.2% | ||||||||
Coca-Cola Co. (The) | 558 | 26,817 | ||||||
Biotechnology – 3.0% | ||||||||
AbbVie, Inc. | 1,422 | 121,012 | ||||||
Amgen, Inc.(a) | 1,236 | 268,138 | ||||||
389,150 | ||||||||
Building Products – 2.3% | ||||||||
A O Smith Corp. | 1,434 | 74,123 | ||||||
Armstrong World Industries, Inc. | 192 | 11,501 | ||||||
Masco Corp. | 1,326 | 71,074 | ||||||
Simpson Manufacturing Co., Inc. | 726 | 64,411 | ||||||
Trane Technologies plc | 666 | 88,411 | ||||||
309,520 | ||||||||
Capital Markets – 4.7% | ||||||||
Ameriprise Financial, Inc. | 486 | 78,163 | ||||||
Eaton Vance Corp. | 360 | 21,524 | ||||||
Lazard Ltd., Class A | 1,752 | 58,990 | ||||||
LPL Financial Holdings, Inc. | 822 | 65,702 | ||||||
MarketAxess Holdings, Inc. | 36 | 19,399 | ||||||
Morgan Stanley | 2,550 | 122,783 | ||||||
MSCI, Inc. | 78 | 27,288 | ||||||
S&P Global, Inc. | 462 | 149,101 | ||||||
T. Rowe Price Group, Inc. | 612 | 77,516 | ||||||
620,466 |
Investments | Shares | Value | ||||||
Chemicals – 4.0% | ||||||||
Celanese Corp. | 594 | $ | 67,425 | |||||
Dow, Inc. | 1,800 | 81,882 | ||||||
Eastman Chemical Co. | 1,002 | 81,002 | ||||||
FMC Corp. | 702 | 72,123 | ||||||
Huntsman Corp. | 810 | 19,675 | ||||||
LyondellBasell Industries NV, Class A | 300 | 20,535 | ||||||
Scotts Miracle-Gro Co. (The) | 444 | 66,622 | ||||||
Sherwin-Williams Co. (The) | 174 | 119,709 | ||||||
528,973 | ||||||||
Commercial Services & Supplies – 0.6% | ||||||||
Cintas Corp. | 258 | 81,154 | ||||||
Communications Equipment – 2.4% | ||||||||
Cisco Systems, Inc. | 8,922 | 320,300 | ||||||
Consumer Finance – 1.6% | ||||||||
Discover Financial Services | 1,116 | 72,551 | ||||||
OneMain Holdings, Inc. | 2,280 | 79,549 | ||||||
Synchrony Financial | 2,184 | 54,644 | ||||||
206,744 | ||||||||
Containers & Packaging – 0.6% | ||||||||
International Paper Co. | 1,842 | 80,587 | ||||||
Distributors – 0.6% | ||||||||
Pool Corp. | 222 | 77,662 | ||||||
Diversified Telecommunication Services – 2.7% | ||||||||
AT&T, Inc. | 5,232 | 141,369 | ||||||
CenturyLink, Inc.(a) | 1,848 | 15,930 | ||||||
Cogent Communications Holdings, Inc. | 132 | 7,365 | ||||||
Verizon Communications, Inc. | 3,342 | 190,460 | ||||||
355,124 | ||||||||
Electric Utilities – 0.9% | ||||||||
OGE Energy Corp. | 1,758 | 54,094 | ||||||
PPL Corp. | 2,346 | 64,515 | ||||||
118,609 | ||||||||
Electrical Equipment – 2.1% | ||||||||
Eaton Corp. plc | 378 | 39,232 | ||||||
Emerson Electric Co. | 1,278 | 82,802 | ||||||
Hubbell, Inc. | 480 | 69,845 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 311 |
Table of Contents
FlexShares® Quality Dividend Dynamic Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Electrical Equipment – (continued) | ||||||||
Rockwell Automation, Inc. | 348 | $ | 82,518 | |||||
274,397 | ||||||||
Electronic Equipment, Instruments & Components – 0.3% | ||||||||
Amphenol Corp., Class A | 192 | 21,665 | ||||||
CDW Corp. | 186 | 22,804 | ||||||
44,469 | ||||||||
Energy Equipment & Services – 0.5% | ||||||||
Baker Hughes Co.(a) | 4,518 | 66,731 | ||||||
Halliburton Co.(a) | 270 | 3,256 | ||||||
69,987 | ||||||||
Entertainment – 0.9% | ||||||||
Activision Blizzard, Inc. | 1,602 | 121,319 | ||||||
Equity Real Estate Investment Trusts (REITs) – 1.5% | ||||||||
Equinix, Inc. | 66 | 48,262 | ||||||
Gaming and Leisure Properties, Inc. | 389 | 14,140 | ||||||
Highwoods Properties, Inc. | 1,452 | 43,226 | ||||||
Lamar Advertising Co., Class A | 222 | 13,755 | ||||||
National Health Investors, Inc. | 1,146 | 64,233 | ||||||
Omega Healthcare Investors, Inc. | 414 | 11,928 | ||||||
195,544 | ||||||||
Food & Staples Retailing – 0.2% | ||||||||
Walmart, Inc. | 144 | 19,980 | ||||||
Food Products – 0.6% | ||||||||
General Mills, Inc. | 1,314 | 77,684 | ||||||
Health Care Equipment & Supplies – 0.7% | ||||||||
Abbott Laboratories | 90 | 9,460 | ||||||
Hill-Rom Holdings, Inc. | 600 | 54,642 | ||||||
Teleflex, Inc. | 12 | 3,819 | ||||||
West Pharmaceutical Services, Inc. | 78 | 21,221 | ||||||
89,142 | ||||||||
Health Care Providers & Services – 1.8% | ||||||||
AmerisourceBergen Corp. | 108 | 10,376 | ||||||
Cardinal Health, Inc. | 1,236 | 56,596 | ||||||
Humana, Inc. | 276 | 110,201 | ||||||
UnitedHealth Group, Inc. | 204 | 62,249 | ||||||
239,422 |
Investments | Shares | Value | ||||||
Hotels, Restaurants & Leisure – 0.2% | ||||||||
Domino’s Pizza, Inc. | 48 | $ | 18,160 | |||||
Wendy’s Co. (The) | 318 | 6,948 | ||||||
25,108 | ||||||||
Household Durables – 0.9% | ||||||||
DR Horton, Inc. | 348 | 23,250 | ||||||
Lennar Corp., Class A | 324 | 22,754 | ||||||
Whirlpool Corp.(a) | 408 | 75,464 | ||||||
121,468 | ||||||||
Household Products – 0.6% | ||||||||
Procter & Gamble Co. (The) | 576 | 78,970 | ||||||
Independent Power and Renewable Electricity Producers – 1.1% | ||||||||
AES Corp. (The) | 3,714 | 72,423 | ||||||
NextEra Energy Partners LP(a) | 1,122 | 70,462 | ||||||
142,885 | ||||||||
Industrial Conglomerates – 0.3% | ||||||||
Honeywell International, Inc. | 216 | 35,629 | ||||||
Insurance – 0.9% | ||||||||
MetLife, Inc. | 2,094 | 79,258 | ||||||
Unum Group | 2,496 | 44,079 | ||||||
123,337 | ||||||||
Internet & Direct Marketing Retail – 0.6% | ||||||||
eBay, Inc. | 1,524 | 72,588 | ||||||
IT Services – 3.3% | ||||||||
International Business Machines Corp.(a) | 1,848 | 206,348 | ||||||
Leidos Holdings, Inc. | 156 | 12,948 | ||||||
Mastercard, Inc., Class A | 276 | 79,665 | ||||||
Visa, Inc., Class A(a) | 444 | 80,679 | ||||||
Western Union Co. (The) | 3,006 | 58,436 | ||||||
438,076 | ||||||||
Leisure Products – 0.6% | ||||||||
Brunswick Corp. | 276 | 17,584 | ||||||
Polaris, Inc. | 678 | 61,603 | ||||||
79,187 | ||||||||
Life Sciences Tools & Services – 1.2% | ||||||||
Thermo Fisher Scientific, Inc. | 330 | 156,130 |
See Accompanying Notes to the Financial Statements.
312 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® Quality Dividend Dynamic Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Machinery – 2.4% | ||||||||
Caterpillar, Inc. | 462 | $ | 72,557 | |||||
Cummins, Inc. | 138 | 30,345 | ||||||
Dover Corp. | 684 | 75,726 | ||||||
Illinois Tool Works, Inc. | 672 | 131,631 | ||||||
Lincoln Electric Holdings, Inc. | 54 | 5,498 | ||||||
315,757 | ||||||||
Media – 3.3% | ||||||||
Cable One, Inc. | 6 | 10,391 | ||||||
Comcast Corp., Class A | 3,558 | 150,290 | ||||||
Interpublic Group of Cos., Inc. (The) | 3,894 | 70,442 | ||||||
New York Times Co. (The), Class A | 1,602 | 63,535 | ||||||
Omnicom Group, Inc. | 1,398 | 65,986 | ||||||
Sirius XM Holdings, Inc.(a) | 12,096 | 69,310 | ||||||
429,954 | ||||||||
Metals & Mining – 1.5% | ||||||||
Commercial Metals Co. | 3,132 | 64,676 | ||||||
Newmont Corp. | 750 | 47,130 | ||||||
Reliance Steel & Aluminum Co. | 648 | 70,626 | ||||||
Steel Dynamics, Inc. | 636 | 20,021 | ||||||
202,453 | ||||||||
Multiline Retail – 0.5% | ||||||||
Target Corp. | 456 | 69,412 | ||||||
Oil, Gas & Consumable Fuels – 3.0% | ||||||||
Antero Midstream Corp. | 9,456 | 54,183 | ||||||
Apache Corp. | 1,248 | 10,358 | ||||||
Chevron Corp. | 1,548 | 107,586 | ||||||
Devon Energy Corp. | 1,140 | 10,180 | ||||||
Exxon Mobil Corp. | 1,182 | 38,557 | ||||||
HollyFrontier Corp. | 1,674 | 30,986 | ||||||
Plains GP Holdings LP, Class A* | 9,324 | 59,580 | ||||||
Valero Energy Corp. | 372 | 14,363 | ||||||
Williams Cos., Inc. (The) | 3,348 | 64,248 | ||||||
390,041 | ||||||||
Pharmaceuticals – 5.8% | ||||||||
Johnson & Johnson | 3,384 | 463,980 | ||||||
Merck & Co., Inc. | 2,124 | 159,746 |
Investments | Shares | Value | ||||||
Pharmaceuticals – (continued) | ||||||||
Pfizer, Inc. | 3,984 | $ | 141,353 | |||||
765,079 | ||||||||
Professional Services – 1.1% | ||||||||
ManpowerGroup, Inc. | 924 | 62,712 | ||||||
Robert Half International, Inc. | 1,248 | 63,261 | ||||||
TransUnion | 204 | 16,251 | ||||||
142,224 | ||||||||
Road & Rail – 0.2% | ||||||||
Old Dominion Freight Line, Inc. | 114 | 21,702 | ||||||
Semiconductors & Semiconductor Equipment – 7.3% | ||||||||
Applied Materials, Inc. | 768 | 45,489 | ||||||
Intel Corp. | 852 | 37,726 | ||||||
KLA Corp. | 402 | 79,266 | ||||||
Lam Research Corp.(a) | 312 | 106,729 | ||||||
Microchip Technology, Inc.(a) | 720 | 75,658 | ||||||
Monolithic Power Systems, Inc. | 66 | 21,094 | ||||||
QUALCOMM, Inc. | 2,388 | 294,584 | ||||||
Teradyne, Inc. | 252 | 22,138 | ||||||
Texas Instruments, Inc. | 1,938 | 280,215 | ||||||
962,899 | ||||||||
Software – 6.2% | ||||||||
Citrix Systems, Inc. | 96 | 10,874 | ||||||
Intuit, Inc. | 168 | 52,866 | ||||||
Microsoft Corp. | 3,354 | 679,084 | ||||||
Oracle Corp. | 198 | 11,110 | ||||||
SS&C Technologies Holdings, Inc. | 1,176 | 69,643 | ||||||
823,577 | ||||||||
Specialty Retail – 5.3% | ||||||||
Best Buy Co., Inc. | 732 | 81,655 | ||||||
Camping World Holdings, Inc., Class A | 1,896 | 50,130 | ||||||
Home Depot, Inc. (The) | 858 | 228,837 | ||||||
Lithia Motors, Inc., Class A(a) | 282 | 64,739 | ||||||
Lowe’s Cos., Inc. | 1,572 | 248,533 | ||||||
Williams-Sonoma, Inc.(a) | 204 | 18,607 | ||||||
692,501 | ||||||||
Technology Hardware, Storage & Peripherals – 9.2% | ||||||||
Apple, Inc. | 10,152 | 1,105,148 | ||||||
HP, Inc. | 624 | 11,207 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 313 |
Table of Contents
FlexShares® Quality Dividend Dynamic Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Technology Hardware, Storage & Peripherals – (continued) | ||||||||
NetApp, Inc. | 660 | $ | 28,967 | |||||
Seagate Technology plc | 1,500 | 71,730 | ||||||
1,217,052 | ||||||||
Textiles, Apparel & Luxury Goods – 0.5% | ||||||||
Hanesbrands, Inc. | 4,428 | 71,158 | ||||||
Thrifts & Mortgage Finance – 0.1% | ||||||||
Radian Group, Inc. | 930 | 16,693 | ||||||
Tobacco – 1.8% | ||||||||
Altria Group, Inc. | 150 | 5,412 | ||||||
Philip Morris International, Inc. | 3,240 | 230,105 | ||||||
235,517 | ||||||||
Trading Companies & Distributors – 1.2% | ||||||||
Fastenal Co. | 1,632 | 70,552 | ||||||
MSC Industrial Direct Co., Inc., Class A | 270 | 18,808 | ||||||
Watsco, Inc.(a) | 294 | 65,897 | ||||||
155,257 | ||||||||
Total Common Stocks (Cost $11,940,711) |
| 13,089,045 | ||||||
Principal Amount | ||||||||
SECURITIES LENDING REINVESTMENTS(b) – 0.6% | ||||||||
REPURCHASE AGREEMENTS – 0.6% | ||||||||
Citigroup Global Markets, Inc., 0.07%, dated 10/30/2020, due 11/2/2020, repurchase price $77,040, collateralized by various U.S. Treasury Securities, ranging from 2.63% – 5.50%, maturing 8/15/2028 – 4/15/2029; total market value $78,389 | $ | 77,040 | 77,040 | |||||
Total Investments – 99.9% (Cost $12,017,751) |
| 13,166,085 | ||||||
Other assets less liabilities – 0.1% |
| 14,734 | ||||||
NET ASSETS – 100.0% |
| $ | 13,180,819 |
* | Non-income producing security. |
(a) | The security or a portion of this security is on loan at October 31, 2020. The total value of securities on loan at October 31, 2020 was $972,749, collateralized in the form of cash with a value of $77,040 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Investments and $929,424 of collateral in the form of U.S. Government Treasury Securities, interest rates ranging from 0.00% – 8.00%, and maturity dates ranging from November 5, 2020 – May 15, 2050; a total value of $1,006,464. |
(b) | The security was purchased with cash collateral held from securities on loan at October 31, 2020. The total value of securities purchased was $77,040. |
Percentages shown are based on Net Assets.
As of October 31, 2020, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments (including derivative instruments, if applicable) for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 1,993,031 | ||
Aggregate gross unrealized depreciation | (844,502 | ) | ||
Net unrealized appreciation | $ | 1,148,529 | ||
Federal income tax cost | $ | 12,017,556 |
See Accompanying Notes to the Financial Statements.
314 | FLEXSHARES ANNUAL REPORT |
Table of Contents
Schedule of Investments
FlexShares® International Quality Dividend Index Fund
October 31, 2020
Investments | Shares | Value | ||||||
COMMON STOCKS – 97.3% | ||||||||
Airlines – 0.8% | ||||||||
International Consolidated Airlines Group SA | 909,889 | $ | 1,134,603 | |||||
Qantas Airways Ltd. | 835,091 | 2,457,195 | ||||||
3,591,798 | ||||||||
Auto Components – 1.1% | ||||||||
Bridgestone Corp. | 116,500 | 3,777,836 | ||||||
Xinyi Glass Holdings Ltd. | 642,000 | 1,405,722 | ||||||
5,183,558 | ||||||||
Automobiles – 1.8% | ||||||||
Ford Otomotiv Sanayi A/S | 287,325 | 3,701,670 | ||||||
Tofas Turk Otomobil Fabrikasi A/S | 1,136,700 | 3,623,121 | ||||||
Toyota Motor Corp. | 11,200 | 728,846 | ||||||
8,053,637 | ||||||||
Banks – 7.2% | ||||||||
Absa Group Ltd. | 327,825 | 1,753,847 | ||||||
Agricultural Bank of China Ltd., Class H | 1,800,000 | 608,136 | ||||||
Australia & New Zealand Banking Group Ltd.(a) | 99,450 | 1,313,667 | ||||||
Banco Santander Brasil SA | 292,800 | 1,627,513 | ||||||
Banco Santander Brasil SA (Preference) | 292,500 | 870,500 | ||||||
Bank of China Ltd., Class H | 4,275,000 | 1,350,606 | ||||||
China Construction Bank Corp., Class H | 3,150,000 | 2,173,156 | ||||||
China Minsheng Banking Corp. Ltd., Class H(a) | 1,350,000 | 738,119 | ||||||
DBS Group Holdings Ltd. | 224,800 | 3,350,187 | ||||||
DNB ASA | 79,425 | 1,069,375 | ||||||
Hang Seng Bank Ltd.(a) | 202,500 | 3,112,633 | ||||||
National Bank of Canada(a) | 76,725 | 3,679,301 | ||||||
Royal Bank of Canada | 155,475 | 10,862,901 | ||||||
32,509,941 | ||||||||
Beverages – 0.5% | ||||||||
Carlsberg A/S, Class B | 5,400 | 683,507 | ||||||
Coca-Cola Amatil Ltd. | 161,325 | 1,408,201 |
Investments | Shares | Value | ||||||
Beverages – (continued) | ||||||||
Diageo plc | 4,500 | $ | 145,404 | |||||
2,237,112 | ||||||||
Building Products – 0.4% | ||||||||
Geberit AG (Registered) | 3,375 | 1,922,154 | ||||||
Capital Markets – 1.3% | ||||||||
CSC Financial Co. Ltd., Class H(a)(b) | 225,000 | 271,572 | ||||||
Deutsche Boerse AG | 7,650 | 1,125,918 | ||||||
Magellan Financial Group Ltd.(a) | 23,175 | 896,733 | ||||||
Moscow Exchange MICEX-RTS PJSC | 92,250 | 155,515 | ||||||
Partners Group Holding AG | 3,825 | 3,449,615 | ||||||
5,899,353 | ||||||||
Chemicals – 1.9% | ||||||||
Covestro AG(b) | 25,425 | 1,213,380 | ||||||
Nissan Chemical Corp. | 8,500 | 448,824 | ||||||
Nitto Denko Corp. | 14,900 | 1,041,888 | ||||||
PhosAgro PJSC | 92,025 | 3,264,796 | ||||||
Shin-Etsu Chemical Co. Ltd. | 13,100 | 1,740,568 | ||||||
Sinopec Shanghai Petrochemical Co. Ltd., Class H(a) | 4,050,000 | 746,823 | ||||||
8,456,279 | ||||||||
Commercial Services & Supplies – 0.1% | ||||||||
Country Garden Services Holdings Co. Ltd. | 49,000 | 307,401 | ||||||
Construction & Engineering – 0.9% | ||||||||
Obayashi Corp. | 67,500 | 561,746 | ||||||
Taisei Corp. | 109,000 | 3,383,442 | ||||||
3,945,188 | ||||||||
Construction Materials – 0.4% | ||||||||
China Resources Cement Holdings Ltd. | 1,490,000 | 1,944,435 | ||||||
Diversified Financial Services – 2.8% | ||||||||
Banca Mediolanum SpA | 460,575 | 3,143,895 | ||||||
M&G plc | 1,538,775 | 2,917,801 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 315 |
Table of Contents
FlexShares® International Quality Dividend Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Diversified Financial Services – (continued) | ||||||||
Power Finance Corp. Ltd. | 2,729,475 | $ | 3,208,006 | |||||
REC Ltd. | 2,335,050 | 3,240,696 | ||||||
12,510,398 | ||||||||
Diversified Telecommunication Services – 2.8% | ||||||||
Elisa OYJ | 6,525 | 321,051 | ||||||
Hellenic Telecommunications Organization SA | 21,600 | 287,336 | ||||||
Koninklijke KPN NV | 1,402,650 | 3,790,594 | ||||||
O2 Czech Republic A/S*(a) | 353,475 | 3,312,736 | ||||||
Proximus SADP | 110,925 | 2,157,178 | ||||||
Spark New Zealand Ltd. | 70,754 | 209,958 | ||||||
Swisscom AG (Registered) | 3,150 | 1,602,580 | ||||||
Telefonica SA(a) | 37,561 | 122,771 | ||||||
Telenor ASA | 68,625 | 1,056,780 | ||||||
12,860,984 | ||||||||
Electric Utilities – 1.5% | ||||||||
Fortum OYJ | 109,350 | 2,057,128 | ||||||
Red Electrica Corp. SA | 70,200 | 1,236,809 | ||||||
SSE plc | 229,801 | 3,729,015 | ||||||
7,022,952 | ||||||||
Electrical Equipment – 0.7% | ||||||||
Mitsubishi Electric Corp. | 239,300 | 3,067,362 | ||||||
Electronic Equipment, Instruments & Components – 0.2% | ||||||||
Yageo Corp. | 73,000 | 907,284 | ||||||
Entertainment – 1.6% | ||||||||
NetEase, Inc., ADR | 5,625 | 488,194 | ||||||
Nintendo Co. Ltd. | 12,500 | 6,813,181 | ||||||
7,301,375 | ||||||||
Equity Real Estate Investment Trusts (REITs) – 0.9% | ||||||||
Gecina SA | 27,900 | 3,464,427 | ||||||
RioCan REIT(a) | 41,625 | 448,920 | ||||||
3,913,347 | ||||||||
Food & Staples Retailing – 0.2% | ||||||||
Etablissements Franz Colruyt NV | 1,350 | 79,917 | ||||||
Kobe Bussan Co. Ltd.(a) | 8,600 | 242,271 | ||||||
President Chain Store Corp. | 91,000 | 820,808 | ||||||
1,142,996 |
Investments | Shares | Value | ||||||
Food Products – 2.3% | ||||||||
Dali Foods Group Co. Ltd.(b) | 337,500 | $ | 208,902 | |||||
Nestle SA (Registered) | 72,900 | 8,200,306 | ||||||
Uni-President Enterprises Corp. | 450,000 | 964,392 | ||||||
Want Want China Holdings Ltd.(a) | 1,575,000 | 1,039,865 | ||||||
10,413,465 | ||||||||
Gas Utilities – 1.7% | ||||||||
Enagas SA | 141,325 | 3,050,453 | ||||||
Naturgy Energy Group SA(a) | 162,675 | 3,022,397 | ||||||
Snam SpA | 303,075 | 1,479,225 | ||||||
7,552,075 | ||||||||
Health Care Equipment & Supplies – 0.2% | ||||||||
Coloplast A/S, Class B | 2,025 | 295,538 | ||||||
Hoya Corp. | 4,900 | 553,090 | ||||||
848,628 | ||||||||
Hotels, Restaurants & Leisure – 1.2% | ||||||||
Evolution Gaming Group AB(b) | 52,200 | 3,876,375 | ||||||
Genting Singapore Ltd. | 2,002,500 | 945,890 | ||||||
Kangwon Land, Inc. | 36,900 | 686,164 | ||||||
5,508,429 | ||||||||
Household Durables – 1.8% | ||||||||
Casio Computer Co. Ltd.(a) | 235,500 | 3,557,055 | ||||||
Nien Made Enterprise Co. Ltd. | 143,000 | 1,609,803 | ||||||
Sekisui House Ltd. | 191,000 | 3,154,405 | ||||||
8,321,263 | ||||||||
Independent Power and Renewable Electricity Producers – 0.4% | ||||||||
Unipro PJSC | 56,025,000 | 1,821,980 | ||||||
Industrial Conglomerates – 0.3% | ||||||||
Alfa SAB de CV, Class A | 2,070,000 | 1,378,541 | ||||||
Insurance – 6.8% | ||||||||
Ageas SA | 19,125 | 769,696 | ||||||
AIA Group Ltd. | 45,000 | 423,896 | ||||||
Allianz SE (Registered) | 45,900 | 8,076,667 | ||||||
ASR Nederland NV | 56,700 | 1,723,827 |
See Accompanying Notes to the Financial Statements.
316 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® International Quality Dividend Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Insurance – (continued) | ||||||||
Aviva plc | 583,650 | $ | 1,943,248 | |||||
BB Seguridade Participacoes SA | 540,000 | 2,217,690 | ||||||
Direct Line Insurance Group plc | 883,125 | 3,008,855 | ||||||
IRB Brasil Resseguros S/A | 2,295,000 | 2,443,861 | ||||||
Legal & General Group plc | 242,550 | 579,565 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Registered) | 5,175 | 1,210,442 | ||||||
Poste Italiane SpA(b) | 26,550 | 216,487 | ||||||
Tokio Marine Holdings, Inc. | 86,200 | 3,841,647 | ||||||
UnipolSai Assicurazioni SpA(a) | 330,374 | 767,363 | ||||||
Zurich Insurance Group AG | 10,800 | 3,582,129 | ||||||
30,805,373 | ||||||||
Interactive Media & Services – 1.6% | ||||||||
Kakaku.com, Inc. | 14,100 | 373,743 | ||||||
Tencent Holdings Ltd. | 91,300 | 6,958,007 | ||||||
7,331,750 | ||||||||
Internet & Direct Marketing Retail – 1.3% | ||||||||
CJ ENM Co. Ltd. | 22,500 | 2,607,518 | ||||||
ZOZO, Inc. | 127,400 | 3,230,700 | ||||||
5,838,218 | ||||||||
IT Services – 1.8% | ||||||||
Amadeus IT Group SA | 11,025 | 526,413 | ||||||
Capgemini SE | 13,500 | 1,559,024 | ||||||
Edenred | 25,650 | 1,196,331 | ||||||
Infosys Ltd. | 29,475 | 421,836 | ||||||
Nomura Research Institute Ltd. | 62,600 | 1,853,329 | ||||||
Otsuka Corp. | 22,500 | 1,037,402 | ||||||
SCSK Corp. | 29,400 | 1,459,594 | ||||||
8,053,929 | ||||||||
Leisure Products – 0.5% | ||||||||
Bandai Namco Holdings, Inc.(a) | 21,300 | 1,584,358 | ||||||
Yamaha Corp. | 16,100 | 757,720 | ||||||
2,342,078 |
Investments | Shares | Value | ||||||
Machinery – 2.9% | ||||||||
Atlas Copco AB, Class B | 10,800 | $ | 414,108 | |||||
Epiroc AB, Class A | 75,150 | 1,122,883 | ||||||
Epiroc AB, Class B | 9,675 | 138,693 | ||||||
Komatsu Ltd. | 67,500 | 1,511,551 | ||||||
Kone OYJ, Class B | 50,175 | 3,994,224 | ||||||
MINEBEA MITSUMI, Inc. | 48,300 | 865,833 | ||||||
Mitsubishi Heavy Industries Ltd. | 45,000 | 961,857 | ||||||
Rational AG | 675 | 505,967 | ||||||
Schindler Holding AG | 1,125 | 287,832 | ||||||
Schindler Holding AG (Registered) | 450 | 115,575 | ||||||
Sinotruk Hong Kong Ltd. | 1,198,500 | 3,053,877 | ||||||
12,972,400 | ||||||||
Media – 0.2% | ||||||||
Publicis Groupe SA | 32,758 | 1,137,113 | ||||||
Metals & Mining – 6.5% | ||||||||
BHP Group Ltd. | 81,450 | 1,932,157 | ||||||
BHP Group plc | 34,875 | 671,981 | ||||||
Eregli Demir ve Celik Fabrikalari TAS | 933,525 | 1,061,254 | ||||||
Evraz plc | 777,600 | 3,614,545 | ||||||
Fortescue Metals Group Ltd. | 303,525 | 3,702,423 | ||||||
Kirkland Lake Gold Ltd. | 1,575 | 71,701 | ||||||
Kumba Iron Ore Ltd. | 114,075 | 3,372,036 | ||||||
Magnitogorsk Iron & Steel Works PJSC | 3,847,500 | 1,822,889 | ||||||
Novolipetsk Steel PJSC | 1,667,250 | 3,901,349 | ||||||
Rio Tinto plc | 94,500 | 5,323,753 | ||||||
Severstal PAO | 263,025 | 3,594,909 | ||||||
Wheaton Precious Metals Corp. | 12,375 | 567,449 | ||||||
29,636,446 | ||||||||
Multiline Retail – 0.9% | ||||||||
Wesfarmers Ltd. | 124,425 | 4,015,868 | ||||||
Multi-Utilities – 0.8% | ||||||||
A2A SpA | 556,650 | 707,744 | ||||||
AGL Energy Ltd. | 331,200 | 2,902,663 | ||||||
3,610,407 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 317 |
Table of Contents
FlexShares® International Quality Dividend Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Oil, Gas & Consumable Fuels – 5.6% | ||||||||
BP plc | 1,126,575 | $ | 2,863,797 | |||||
Canadian Natural Resources Ltd. | 201,825 | 3,208,977 | ||||||
China Shenhua Energy Co. Ltd., Class H | 2,250,000 | 3,887,890 | ||||||
CNOOC Ltd. | 1,469,000 | 1,333,586 | ||||||
Ecopetrol SA | 6,102,000 | 2,835,194 | ||||||
Equinor ASA | 74,025 | 938,976 | ||||||
Exxaro Resources Ltd. | 143,563 | 963,316 | ||||||
Formosa Petrochemical Corp. | 300,000 | 824,375 | ||||||
LUKOIL PJSC | 49,275 | 2,507,531 | ||||||
Lundin Energy AB | 52,200 | 996,070 | ||||||
Oil & Natural Gas Corp. Ltd. | 3,372,075 | 2,953,111 | ||||||
Origin Energy Ltd. | 28,800 | 80,899 | ||||||
Royal Dutch Shell plc, Class A | 48,600 | 606,655 | ||||||
Royal Dutch Shell plc, Class B | 23,400 | 281,080 | ||||||
Yanzhou Coal Mining Co. Ltd., Class H(a) | 1,350,000 | 980,096 | ||||||
25,261,553 | ||||||||
Paper & Forest Products – 0.8% | ||||||||
UPM-Kymmene OYJ | 136,350 | 3,853,150 | ||||||
Personal Products – 3.2% | ||||||||
Hengan International Group Co. Ltd. | 97,000 | 672,321 | ||||||
L’Oreal SA | 27,675 | 8,952,277 | ||||||
Pola Orbis Holdings, Inc. | 54,700 | 1,076,838 | ||||||
Unilever NV(a) | 63,000 | 3,562,868 | ||||||
Unilever plc | 1,800 | 102,499 | ||||||
14,366,803 | ||||||||
Pharmaceuticals – 7.8% | ||||||||
China Medical System Holdings Ltd. | 225,000 | 235,594 | ||||||
Chugai Pharmaceutical Co. Ltd. | 13,800 | 530,800 | ||||||
GlaxoSmithKline plc | 550,125 | 9,188,724 | ||||||
Livzon Pharmaceutical Group, Inc., Class H | 292,500 | 1,289,967 | ||||||
Novartis AG (Registered) | 88,875 | 6,932,163 | ||||||
Novo Nordisk A/S, Class B | 63,000 | 4,046,758 | ||||||
Orion OYJ, Class B | 76,275 | 3,265,198 |
Investments | Shares | Value | ||||||
Pharmaceuticals – (continued) | ||||||||
Roche Holding AG | 28,350 | $ | 9,116,974 | |||||
Roche Holding AG – BR | 675 | 217,402 | ||||||
Sanofi | 4,275 | 385,282 | ||||||
Shionogi & Co. Ltd. | 5,700 | 268,479 | ||||||
35,477,341 | ||||||||
Professional Services – 1.3% | ||||||||
Nihon M&A Center, Inc. | 45,000 | 2,630,094 | ||||||
SGS SA (Registered) | 900 | 2,249,632 | ||||||
Thomson Reuters Corp. | 15,525 | 1,206,044 | ||||||
6,085,770 | ||||||||
Real Estate Management & Development – 3.1% | ||||||||
Agile Group Holdings Ltd.(a) | 686,000 | 937,684 | ||||||
CK Asset Holdings Ltd. | 39,000 | 180,545 | ||||||
Country Garden Holdings Co. Ltd.(a) | 1,386,894 | 1,706,154 | ||||||
Daito Trust Construction Co. Ltd. | 34,300 | 3,113,708 | ||||||
Land & Houses PCL, NVDR | 11,025,000 | 2,263,897 | ||||||
Logan Group Co. Ltd.(a) | 1,410,000 | 2,203,679 | ||||||
Sun Hung Kai Properties Ltd. | 305,000 | 3,899,592 | ||||||
14,305,259 | ||||||||
Road & Rail – 0.7% | ||||||||
Aurizon Holdings Ltd. | 1,073,475 | 2,842,006 | ||||||
Canadian Pacific Railway Ltd. | 675 | 201,556 | ||||||
3,043,562 | ||||||||
Semiconductors & Semiconductor Equipment – 4.6% | ||||||||
ASM International NV | 7,425 | 1,062,099 | ||||||
ASML Holding NV | 3,150 | 1,144,815 | ||||||
Globalwafers Co. Ltd. | 72,000 | 1,044,627 | ||||||
Novatek Microelectronics Corp. | 410,000 | 3,827,154 | ||||||
Taiwan Semiconductor Manufacturing Co. Ltd. | 579,222 | 8,748,017 | ||||||
Tokyo Electron Ltd. | 16,400 | 4,376,889 | ||||||
United Microelectronics Corp. | 450,000 | 482,983 | ||||||
20,686,584 | ||||||||
Software – 0.2% | ||||||||
SAP SE | 8,325 | 887,213 |
See Accompanying Notes to the Financial Statements.
318 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® International Quality Dividend Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Specialty Retail – 0.9% | ||||||||
Nitori Holdings Co. Ltd. | 3,800 | $ | 783,337 | |||||
Topsports International Holdings Ltd.(b) | 450,000 | 615,099 | ||||||
USS Co. Ltd. | 152,900 | 2,793,562 | ||||||
4,191,998 | ||||||||
Technology Hardware, Storage & Peripherals – 3.5% | ||||||||
Brother Industries Ltd. | 104,000 | 1,597,704 | ||||||
Canon, Inc.(a) | 65,400 | 1,126,389 | ||||||
Chicony Electronics Co. Ltd. | 1,127,000 | 3,392,406 | ||||||
Inventec Corp. | 1,575,000 | 1,244,428 | ||||||
Lite-On Technology Corp. | 675,000 | 1,098,511 | ||||||
Pegatron Corp. | 1,579,000 | 3,394,987 | ||||||
Quanta Computer, Inc. | 401,000 | 1,009,387 | ||||||
Samsung Electronics Co. Ltd. | 63,225 | 3,153,728 | ||||||
16,017,540 | ||||||||
Textiles, Apparel & Luxury Goods – 2.2% | ||||||||
Eclat Textile Co. Ltd. | 62,000 | 820,424 | ||||||
Hermes International | 1,800 | 1,675,287 | ||||||
Li Ning Co. Ltd. | 337,500 | 1,740,846 | ||||||
LVMH Moet Hennessy Louis Vuitton SE | 900 | 421,757 | ||||||
Pandora A/S | 57,375 | 4,544,075 | ||||||
Swatch Group AG (The)(a) | 4,050 | 857,016 | ||||||
10,059,405 | ||||||||
Tobacco – 1.8% | ||||||||
Imperial Brands plc | 227,025 | 3,592,970 | ||||||
Japan Tobacco, Inc. | 207,500 | 3,910,226 | ||||||
Swedish Match AB | 6,075 | 457,682 | ||||||
7,960,878 | ||||||||
Trading Companies & Distributors – 0.9% | ||||||||
ITOCHU Corp.(a) | 77,600 | 1,855,749 | ||||||
Marubeni Corp. | 180,000 | 935,298 | ||||||
Toyota Tsusho Corp. | 40,800 | 1,131,425 | ||||||
3,922,472 | ||||||||
Transportation Infrastructure – 0.6% | ||||||||
Grupo Aeroportuario del Pacifico SAB de CV, Class B | 22,500 | 186,672 | ||||||
Sydney Airport | 627,121 | 2,400,157 | ||||||
2,586,829 |
Investments | Shares | Value | ||||||
Water Utilities – 0.6% | ||||||||
Aguas Andinas SA, Class A | 10,255,050 | $ | 2,661,308 | |||||
Wireless Telecommunication Services – 1.2% | ||||||||
NTT DOCOMO, Inc. | 147,900 | 5,499,209 | ||||||
Total Common Stocks (Cost $452,696,837) |
| 441,232,391 | ||||||
Principal Amount | ||||||||
SECURITIES LENDING REINVESTMENTS(c) – 0.0%(d) | ||||||||
REPURCHASE AGREEMENTS – 0.0%(d) | ||||||||
Citigroup Global Markets, Inc., 0.07%, dated 10/30/2020, due 11/2/2020, repurchase price $121,447, collateralized by various U.S. Treasury Securities, ranging from 2.63% – 5.50%, maturing 8/15/2028 – 4/15/2029; total market value $123,574 (Cost $121,447) | $ | 121,447 | 121,447 | |||||
Total Investments – 97.3% (Cost $452,818,284) |
| 441,353,838 | ||||||
Other assets less liabilities – 2.7% |
| 12,122,743 | ||||||
NET ASSETS – 100.0% |
| $ | 453,476,581 |
* | Non-income producing security. |
(a) | The security or a portion of this security is on loan at October 31, 2020. The total value of securities on loan at October 31, 2020 was $16,663,333, collateralized in the form of cash with a value of $121,447 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Investments; $7,817,768 of collateral in the form of U.S. Government Treasury Securities, interest rates ranging from 0.00% – 8.00%, and maturity dates ranging from November 12, 2020 – November 15, 2049 and $10,051,673 of collateral in the form of Foreign Government Fixed Income Securities, interest rates ranging from 0.00% – 6.25%, and maturity dates ranging from January 22, 2021 – September 20, 2117; a total value of $17,990,888. |
(b) | Security exempt from registration pursuant to Regulation S under the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale. |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 319 |
Table of Contents
FlexShares® International Quality Dividend Index Fund (cont.)
(c) | The security was purchased with cash collateral held from securities on loan at October 31, 2020. The total value of securities purchased was $121,447. |
(d) | Represents less than 0.05% of net assets. |
Percentages shown are based on Net Assets.
Abbreviations
ADR – American Depositary Receipt
NVDR – Non-Voting Depositary Receipt
OYJ – Public Limited Company
PJSC – Public Joint Stock Company
Preference – A special type of equity investment that shares in the earnings of the company, has limited voting rights, and may have a dividend preference. Preference shares may also have liquidation preference.
As of October 31, 2020, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments (including derivative instruments, if applicable) for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 44,411,419 | ||
Aggregate gross unrealized depreciation | (57,601,706 | ) | ||
Net unrealized depreciation | $ | (13,190,287 | ) | |
Federal income tax cost | $ | 453,990,578 |
Futures Contracts
FlexShares® International Quality Dividend Index Fund had the following open futures contracts as of October 31, 2020:
Number of Contracts | Expiration Date | Trading Currency | Notional Amount | Value and Unrealized Appreciation/ (Depreciation)* | ||||||||||||||||
Long Contracts |
| |||||||||||||||||||
EURO STOXX 50 Index | 93 | 12/18/2020 | EUR | $ | 3,205,516 | $ | (386,091 | ) | ||||||||||||
FTSE 100 Index | 30 | 12/18/2020 | GBP | 2,158,082 | (167,169 | ) | ||||||||||||||
Hang Seng Index | 2 | 11/27/2020 | HKD | 311,508 | (7,876 | ) | ||||||||||||||
MSCI Emerging Markets E-Mini Index | 53 | 12/18/2020 | USD | 2,920,035 | 33,956 | |||||||||||||||
S&P/TSX 60 Index | 5 | 12/17/2020 | CAD | 694,041 | (23,741 | ) | ||||||||||||||
SPI 200 Index | 10 | 12/17/2020 | AUD | 1,034,063 | 2,023 | |||||||||||||||
TOPIX Index | 13 | 12/10/2020 | JPY | 1,956,094 | (39,454 | ) | ||||||||||||||
$ | (588,352 | ) |
* | This amount represents the cumulative appreciation/depreciation on futures contracts. Current day’s variation margin is reported within the Statement of Assets and Liabilities for futures contracts. |
Forward Foreign Currency Contracts
FlexShares® International Quality Dividend Index Fund had the following outstanding contracts as of October 31, 2020:
Contracts to Receive | Counterparty | In Exchange For | Maturity Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
GBP | 348,010 | Morgan Stanley | USD | 445,666 | 12/16/2020 | $ | 4,461 | |||||||||||||||
HKD | 6,971,184 | Citibank NA | USD | 898,893 | 12/16/2020 | 16 | ||||||||||||||||
HKD | 3,210,000 | Morgan Stanley | USD | 413,827 | 12/16/2020 | 91 | ||||||||||||||||
JPY | 109,493,684 | Citibank NA | USD | 1,037,577 | 12/16/2020 | 10,458 | ||||||||||||||||
JPY | 98,140,675 | Morgan Stanley | USD | 925,664 | 12/16/2020 | 13,704 | ||||||||||||||||
USD | 393,086 | UBS AG | AUD | 540,431 | 12/16/2020 | 13,479 | ||||||||||||||||
USD | 521,040 | Goldman Sachs & Co. | BRL* | 2,783,346 | 12/16/2020 | 39,195 | ||||||||||||||||
USD | 38,123 | JPMorgan Chase Bank | CAD | 50,000 | 12/16/2020 | 616 | ||||||||||||||||
USD | 464,461 | JPMorgan Chase Bank | CHF | 420,809 | 12/16/2020 | 4,701 | ||||||||||||||||
USD | 264,471 | Toronto-Dominion Bank (The) | CHF | 240,000 | 12/16/2020 | 2,255 | ||||||||||||||||
USD | 289,402 | Morgan Stanley | CZK | 6,474,570 | 12/16/2020 | 12,766 |
See Accompanying Notes to the Financial Statements.
320 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® International Quality Dividend Index Fund (cont.)
Forward Foreign Currency Contracts (cont.)
Contracts to Receive | Counterparty | In Exchange For | Maturity Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
USD | 591,385 | JPMorgan Chase Bank | EUR | 500,000 | 12/16/2020 | $ | 8,343 | |||||||||||||||
USD | 914,871 | Toronto-Dominion Bank (The) | EUR | 770,000 | 12/16/2020 | 16,986 | ||||||||||||||||
USD | 746,354 | Morgan Stanley | GBP | 570,000 | 12/16/2020 | 9,096 | ||||||||||||||||
USD | 56,759 | BNP Paribas SA | HKD | 440,000 | 12/16/2020 | 23 | ||||||||||||||||
USD | 1,307,267 | UBS AG | HKD | 10,137,813 | 12/16/2020 | 32 | ||||||||||||||||
USD | 98,900 | Citibank NA | INR* | 7,340,681 | 12/16/2020 | 233 | ||||||||||||||||
USD | 604,126 | Toronto-Dominion Bank (The) | JPY | 62,960,000 | 12/16/2020 | 1,495 | ||||||||||||||||
USD | 45,522 | Morgan Stanley | NOK | 420,000 | 12/16/2020 | 1,592 | ||||||||||||||||
USD | 6,586 | Toronto-Dominion Bank (The) | NOK | 59,248 | 12/16/2020 | 389 | ||||||||||||||||
USD | 116,130 | JPMorgan Chase Bank | NZD | 174,054 | 12/16/2020 | 1,094 | ||||||||||||||||
USD | 2,051,224 | Citibank NA | PLN | 7,665,089 | 12/16/2020 | 117,182 | ||||||||||||||||
USD | 261,806 | Goldman Sachs & Co. | RUB* | 20,270,000 | 12/16/2020 | 7,996 | ||||||||||||||||
USD | 65,859 | Morgan Stanley | SEK | 580,000 | 12/16/2020 | 661 | ||||||||||||||||
USD | 29,519 | UBS AG | SGD | 40,000 | 12/16/2020 | 225 | ||||||||||||||||
USD | 168,941 | Goldman Sachs & Co. | TRY | 1,301,646 | 12/16/2020 | 17,073 | ||||||||||||||||
ZAR | 3,371,713 | Morgan Stanley | USD | 200,128 | 12/17/2020 | 6,289 | ||||||||||||||||
Total unrealized appreciation | $ | 290,451 | ||||||||||||||||||||
AUD | 948,315 | Citibank NA | USD | 691,775 | 12/16/2020 | (25,662 | ) | |||||||||||||||
BRL* | 760,000 | Citibank NA | USD | 136,920 | 12/16/2020 | (5,351 | ) | |||||||||||||||
CAD | 274,850 | Morgan Stanley | USD | 208,438 | 12/16/2020 | (2,259 | ) | |||||||||||||||
CHF | 1,064,380 | Citibank NA | USD | 1,177,229 | 12/16/2020 | (14,325 | ) | |||||||||||||||
EUR | 1,282,609 | Citibank NA | USD | 1,525,746 | 12/16/2020 | (30,116 | ) | |||||||||||||||
EUR | 914,497 | JPMorgan Chase Bank | USD | 1,085,431 | 12/16/2020 | (19,050 | ) | |||||||||||||||
GBP | 510,000 | JPMorgan Chase Bank | USD | 661,703 | 12/16/2020 | (2,051 | ) | |||||||||||||||
INR* | 11,580,000 | Toronto-Dominion Bank (The) | USD | 157,489 | 12/16/2020 | (1,842 | ) | |||||||||||||||
PLN | 6,488,602 | Citibank NA | USD | 1,733,761 | 12/16/2020 | (96,568 | ) | |||||||||||||||
RUB* | 38,148,601 | Citibank NA | USD | 499,106 | 12/16/2020 | (21,429 | ) | |||||||||||||||
SEK | 1,319,475 | Morgan Stanley | USD | 150,959 | 12/16/2020 | (2,637 | ) | |||||||||||||||
SGD | 17,194 | Toronto-Dominion Bank (The) | USD | 12,600 | 12/16/2020 | (8 | ) | |||||||||||||||
TWD* | 3,440,000 | JPMorgan Chase Bank | USD | 121,930 | 12/16/2020 | (1,645 | ) | |||||||||||||||
USD | 446,799 | JPMorgan Chase Bank | JPY | 47,260,000 | 12/16/2020 | (5,557 | ) | |||||||||||||||
USD | 277,232 | Citibank NA | KRW* | 328,849,715 | 12/16/2020 | (12,577 | ) | |||||||||||||||
USD | 170,959 | Citibank NA | TWD* | 4,953,516 | 12/16/2020 | (2,247 | ) | |||||||||||||||
USD | 283,574 | Goldman Sachs & Co. | ZAR | 4,817,935 | 12/17/2020 | (11,381 | ) | |||||||||||||||
USD | 70,074 | UBS AG | ZAR | 1,160,000 | 12/17/2020 | (941 | ) | |||||||||||||||
Total unrealized depreciation | $ | (255,646 | ) | |||||||||||||||||||
Net unrealized appreciation | $ | 34,805 |
* | Non-deliverable forward. See Note 2 in the Notes to Financial Statements. |
Abbreviations:
AUD – Australian Dollar
BRL – Brazilian Real
CAD – Canadian Dollar
CHF – Swiss Franc
CZK – Czech Koruna
EUR – Euro
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 321 |
Table of Contents
FlexShares® International Quality Dividend Index Fund (cont.)
GBP – British Pound
HKD – Hong Kong Dollar
INR – Indian Rupee
JPY – Japanese Yen
KRW – Korean Won
NOK – Norwegian Krone
NZD – New Zealand Dollar
PLN �� Polish Zloty
RUB – Russian Ruble
SEK – Swedish Krona
SGD – Singapore Dollar
TRY – Turkish Lira
TWD – Taiwan Dollar
USD – US Dollar
ZAR – South African Rand
FlexShares® International Quality Dividend Index Fund invested, as a percentage of net assets, in companies domiciled in the following countries as of October 31, 2020:
Australia | 5.3 | % | ||
Belgium | 0.7 | |||
Brazil | 1.6 | |||
Canada | 4.5 | |||
Chile | 0.6 | |||
China | 7.8 | |||
Colombia | 0.6 | |||
Czech Republic | 0.7 | |||
Denmark | 2.1 | |||
Finland | 3.0 | |||
France | 4.1 | |||
Germany | 2.9 | |||
Greece | 0.1 | |||
Hong Kong | 2.0 | |||
India | 2.2 | |||
Italy | 1.4 | |||
Japan | 17.2 | |||
Mexico | 0.3 | |||
Netherlands | 2.5 | |||
New Zealand | 0.0 | † | ||
Norway | 0.7 | |||
Russia | 3.8 | |||
Singapore | 0.9 | |||
South Africa | 1.3 | |||
South Korea | 1.4 | |||
Spain | 1.8 | |||
Sweden | 1.5 | |||
Switzerland | 8.5 | |||
Taiwan | 6.7 | |||
Thailand | 0.5 | |||
Turkey | 1.8 | |||
United Kingdom | 8.8 | |||
Other1 | 2.7 | |||
100.0 | % |
† | Amount represents less than 0.05%. |
1 | Includes any non-equity securities, securities lending reinvestments and net other assets (liabilities). |
See Accompanying Notes to the Financial Statements.
322 | FLEXSHARES ANNUAL REPORT |
Table of Contents
Schedule of Investments
FlexShares® International Quality Dividend Defensive Index Fund
October 31, 2020
Investments | Shares | Value | ||||||
COMMON STOCKS – 98.1% | ||||||||
Air Freight & Logistics – 0.6% | ||||||||
Deutsche Post AG (Registered) | 1,023 | $ | 45,330 | |||||
SG Holdings Co. Ltd. | 6,200 | 149,158 | ||||||
Sinotrans Ltd., Class H | 527,000 | 155,623 | ||||||
350,111 | ||||||||
Airlines – 0.1% | ||||||||
International Consolidated Airlines Group SA | 59,442 | 74,122 | ||||||
Auto Components – 2.1% | ||||||||
Bridgestone Corp. | 16,100 | 522,087 | ||||||
Continental AG | 682 | 72,515 | ||||||
Fuyao Glass Industry Group Co. Ltd., Class H(a) | 153,600 | 650,659 | ||||||
1,245,261 | ||||||||
Automobiles – 1.9% | ||||||||
Hero MotoCorp Ltd. | 8,122 | 306,851 | ||||||
Subaru Corp. | 7,400 | 134,884 | ||||||
Tofas Turk Otomobil Fabrikasi A/S | 151,652 | 483,376 | ||||||
Toyota Motor Corp. | 3,100 | 201,734 | ||||||
1,126,845 | ||||||||
Banks – 8.1% | ||||||||
Absa Group Ltd. | 102,331 | 547,466 | ||||||
Australia & New Zealand Banking Group Ltd. | 20,305 | 268,215 | ||||||
Banco de Chile | 1,741,859 | 134,348 | ||||||
Bank Leumi Le-Israel BM | 29,667 | 140,645 | ||||||
Bank of China Ltd., Class H | 589,000 | 186,084 | ||||||
Bank of Communications Co. Ltd., Class H | 155,000 | 76,152 | ||||||
China Minsheng Banking Corp. Ltd., Class H(b) | 170,500 | 93,222 | ||||||
Commonwealth Bank of Australia | 12,710 | 616,045 | ||||||
DNB ASA | 10,137 | 136,484 | ||||||
Hang Seng Bank Ltd.(b) | 31,000 | 476,502 | ||||||
Malayan Banking Bhd. | 46,500 | 78,339 | ||||||
National Bank of Canada(b) | 8,618 | 413,271 | ||||||
Royal Bank of Canada | 20,553 | 1,436,020 |
Investments | Shares | Value | ||||||
Banks – (continued) | ||||||||
Sberbank of Russia PJSC | 77,500 | $ | 196,003 | |||||
Toronto-Dominion Bank (The) | 310 | 13,666 | ||||||
4,812,462 | ||||||||
Beverages – 0.3% | ||||||||
Coca-Cola Amatil Ltd. | 22,506 | 196,454 | ||||||
Diageo plc | 372 | 12,020 | ||||||
208,474 | ||||||||
Biotechnology – 0.9% | ||||||||
Seegene, Inc. | 2,325 | 537,862 | ||||||
Capital Markets – 0.4% | ||||||||
Singapore Exchange Ltd. | 37,200 | 235,922 | ||||||
Chemicals – 0.8% | ||||||||
Acron PJSC | 5,022 | 401,949 | ||||||
Sinopec Shanghai Petrochemical Co. Ltd., Class H(b) | 558,000 | 102,896 | ||||||
504,845 | ||||||||
Construction & Engineering – 0.9% | ||||||||
ACS Actividades de Construccion y Servicios SA | 5,146 | 122,284 | ||||||
Bouygues SA | 9,455 | 310,034 | ||||||
HOCHTIEF AG | 1,364 | 100,416 | ||||||
532,734 | ||||||||
Construction Materials – 0.3% | ||||||||
Ssangyong Cement Industrial Co. Ltd. | 35,433 | 173,308 | ||||||
Diversified Financial Services – 1.4% | ||||||||
Banca Mediolanum SpA(b) | 15,283 | 104,322 | ||||||
Power Finance Corp. Ltd. | 293,477 | 344,929 | ||||||
REC Ltd. | 281,232 | 390,308 | ||||||
839,559 | ||||||||
Diversified Telecommunication Services – 4.3% | ||||||||
BCE, Inc. | 3,348 | 134,437 | ||||||
Deutsche Telekom AG (Registered) | 5,301 | 80,705 | ||||||
Hellenic Telecommunications Organization SA | 26,722 | 355,472 | ||||||
HKT Trust & HKT Ltd. | 102,000 | 131,794 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 323 |
Table of Contents
FlexShares® International Quality Dividend Defensive Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Diversified Telecommunication Services – (continued) | ||||||||
Koninklijke KPN NV | 183,396 | $ | 495,619 | |||||
Nippon Telegraph & Telephone Corp. | 8,200 | 172,252 | ||||||
O2 Czech Republic A/S* | 45,415 | 425,625 | ||||||
Proximus SADP | 22,878 | 444,912 | ||||||
Spark New Zealand Ltd. | 9,442 | 28,019 | ||||||
Telefonica SA | 42,346 | 138,411 | ||||||
Telenor ASA | 8,866 | 136,531 | ||||||
2,543,777 | ||||||||
Electric Utilities – 3.1% | ||||||||
Endesa SA | 5,735 | 153,716 | ||||||
Enel SpA | 59,923 | 477,022 | ||||||
Fortis, Inc.(b) | 3,173 | 125,245 | ||||||
Red Electrica Corp. SA | 24,893 | 438,574 | ||||||
SSE plc | 27,497 | 446,198 | ||||||
Verbund AG(b) | 3,472 | 199,710 | ||||||
1,840,465 | ||||||||
Electrical Equipment – 0.0%(c) | ||||||||
Zhuzhou CRRC Times Electric Co. Ltd., Class H | 6,200 | 19,028 | ||||||
Electronic Equipment, Instruments & Components – 0.6% | ||||||||
Walsin Technology Corp. | 20,000 | 114,322 | ||||||
WPG Holdings Ltd. | 93,000 | 126,152 | ||||||
Yageo Corp. | 11,000 | 136,714 | ||||||
377,188 | ||||||||
Equity Real Estate Investment Trusts (REITs) – 0.4% | ||||||||
Covivio | 1,119 | 66,607 | ||||||
RioCan REIT(b) | 7,099 | 76,562 | ||||||
Scentre Group | 77,314 | 114,017 | ||||||
257,186 | ||||||||
Food & Staples Retailing – 1.7% | ||||||||
Etablissements Franz Colruyt NV | 7,533 | 445,936 | ||||||
ICA Gruppen AB | 9,548 | 451,916 | ||||||
Welcia Holdings Co. Ltd. | 3,100 | 121,580 | ||||||
1,019,432 |
Investments | Shares | Value | ||||||
Food Products – 3.8% | ||||||||
Nestle SA (Registered) | 16,492 | $ | 1,855,136 | |||||
Orkla ASA | 14,880 | 140,225 | ||||||
Uni-President Enterprises Corp. | 62,000 | 132,872 | ||||||
Yamazaki Baking Co. Ltd.(b) | 6,200 | 101,772 | ||||||
2,230,005 | ||||||||
Gas Utilities – 1.6% | ||||||||
Enagas SA | 18,786 | 405,490 | ||||||
Naturgy Energy Group SA(b) | 21,111 | 392,229 | ||||||
Snam SpA | 33,976 | 165,827 | ||||||
963,546 | ||||||||
Health Care Equipment & Supplies – 2.2% | ||||||||
Coloplast A/S, Class B | 2,635 | 384,565 | ||||||
Fisher & Paykel Healthcare Corp. Ltd. | 21,111 | 488,329 | ||||||
Hartalega Holdings Bhd. | 55,800 | 241,733 | ||||||
Sartorius AG (Preference) | 403 | 170,592 | ||||||
1,285,219 | ||||||||
Hotels, Restaurants & Leisure – 1.5% | ||||||||
Crown Resorts Ltd. | 17,174 | 99,860 | ||||||
Evolution Gaming Group AB(a) | 6,820 | 506,454 | ||||||
McDonald’s Holdings Co. Japan Ltd.(b) | 3,300 | 156,256 | ||||||
Sodexo SA | 1,953 | 125,350 | ||||||
887,920 | ||||||||
Household Durables – 1.4% | ||||||||
Casio Computer Co. Ltd. | 31,000 | 468,232 | ||||||
Coway Co. Ltd.* | 3,379 | 206,665 | ||||||
SEB SA | 837 | 136,107 | ||||||
811,004 | ||||||||
Industrial Conglomerates – 1.7% | ||||||||
Alfa SAB de CV, Class A | 728,500 | 485,153 | ||||||
CITIC Ltd. | 31,000 | 22,106 | ||||||
Jardine Matheson Holdings Ltd. | 11,100 | 492,729 | ||||||
999,988 | ||||||||
Insurance – 6.9% | ||||||||
Admiral Group plc | 4,371 | 155,422 | ||||||
AIA Group Ltd. | 6,200 | 58,403 | ||||||
Allianz SE (Registered) | 1,147 | 201,829 |
See Accompanying Notes to the Financial Statements.
324 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® International Quality Dividend Defensive Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Insurance – (continued) | ||||||||
Assicurazioni Generali SpA | 10,540 | $ | 141,314 | |||||
Aviva plc | 46,531 | 154,924 | ||||||
BB Seguridade Participacoes SA | 99,200 | 407,398 | ||||||
Direct Line Insurance Group plc | 116,901 | 398,288 | ||||||
IRB Brasil Resseguros S/A | 356,500 | 379,624 | ||||||
Legal & General Group plc | 57,567 | 137,554 | ||||||
MS&AD Insurance Group Holdings, Inc. | 6,200 | 168,700 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Registered) | 2,046 | 478,563 | ||||||
PICC Property & Casualty Co. Ltd., Class H | 434,000 | 293,256 | ||||||
Sampo OYJ, Class A | 4,371 | 164,967 | ||||||
Suncorp Group Ltd. | 22,506 | 129,758 | ||||||
Tokio Marine Holdings, Inc. | 6,200 | 276,313 | ||||||
UnipolSai Assicurazioni SpA(b) | 43,958 | 102,102 | ||||||
Zurich Insurance Group AG | 1,426 | 472,974 | ||||||
4,121,389 | ||||||||
Interactive Media & Services – 1.6% | ||||||||
Tencent Holdings Ltd. | 12,400 | 945,009 | ||||||
Internet & Direct Marketing Retail – 1.3% | ||||||||
CJ ENM Co. Ltd. | 2,914 | 337,702 | ||||||
ZOZO, Inc. | 16,700 | 423,491 | ||||||
761,193 | ||||||||
IT Services – 1.4% | ||||||||
Edenred | 729 | 34,001 | ||||||
Itochu Techno-Solutions Corp. | 12,400 | 421,676 | ||||||
Otsuka Corp. | 8,400 | 387,297 | ||||||
842,974 | ||||||||
Life Sciences Tools & Services – 0.1% | ||||||||
Sartorius Stedim Biotech | 155 | 58,788 | ||||||
Machinery – 2.4% | ||||||||
Knorr-Bremse AG | 4,092 | 473,940 | ||||||
Kone OYJ, Class B | 6,603 | 525,637 | ||||||
Rational AG | 124 | 92,948 | ||||||
Sinotruk Hong Kong Ltd. | 139,500 | 355,458 | ||||||
1,447,983 |
Investments | Shares | Value | ||||||
Media – 0.3% | ||||||||
Publicis Groupe SA | 4,315 | $ | 149,785 | |||||
Metals & Mining – 6.5% | ||||||||
Eregli Demir ve Celik Fabrikalari TAS | 361,770 | 411,269 | ||||||
Evraz plc | 102,393 | 475,957 | ||||||
Fortescue Metals Group Ltd. | 39,897 | 486,667 | ||||||
Kumba Iron Ore Ltd. | 15,004 | 443,515 | ||||||
Magnitogorsk Iron & Steel Works PJSC | 753,984 | 357,226 | ||||||
Novolipetsk Steel PJSC | 219,798 | 514,325 | ||||||
Rio Tinto Ltd. | 3,069 | 199,206 | ||||||
Rio Tinto plc | 14,291 | 805,098 | ||||||
Severstal PAO | 12,193 | 166,649 | ||||||
Severstal PAO, GDR(a) | 238 | 3,254 | ||||||
3,863,166 | ||||||||
Multiline Retail – 1.3% | ||||||||
Canadian Tire Corp. Ltd., Class A(b) | 930 | 103,773 | ||||||
Dollarama, Inc. | 4,526 | 155,738 | ||||||
Wesfarmers Ltd. | 16,678 | 538,289 | ||||||
797,800 | ||||||||
Oil, Gas & Consumable Fuels – 5.9% | ||||||||
BP plc | 146,165 | 371,557 | ||||||
China Petroleum & Chemical Corp., Class H | 310,000 | 120,325 | ||||||
China Shenhua Energy Co. Ltd., Class H | 294,500 | 508,882 | ||||||
Eni SpA | 5,983 | 41,892 | ||||||
Equinor ASA | 9,858 | 125,045 | ||||||
Exxaro Resources Ltd. | 19,065 | 127,927 | ||||||
LUKOIL PJSC | 899 | 45,749 | ||||||
Neste OYJ | 10,478 | 545,333 | ||||||
Oil & Natural Gas Corp. Ltd. | 443,207 | 388,141 | ||||||
Repsol SA | 19,189 | 119,361 | ||||||
Royal Dutch Shell plc, Class A | 25,110 | 313,439 | ||||||
Royal Dutch Shell plc, Class B | 3,131 | 37,609 | ||||||
Surgutneftegas PJSC (Preference) | 235,600 | 107,459 | ||||||
TOTAL SE | 7,409 | 222,836 | ||||||
Yanzhou Coal Mining Co. Ltd., Class H(b) | 576,000 | 418,174 | ||||||
3,493,729 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 325 |
Table of Contents
FlexShares® International Quality Dividend Defensive Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Personal Products – 1.3% | ||||||||
L’Oreal SA | 2,449 | $ | 792,200 | |||||
Pharmaceuticals – 6.9% | ||||||||
Astellas Pharma, Inc. | 14,200 | 194,921 | ||||||
Chugai Pharmaceutical Co. Ltd. | 12,400 | 476,950 | ||||||
GlaxoSmithKline plc | 72,261 | 1,206,974 | ||||||
Novartis AG (Registered) | 7,130 | 556,133 | ||||||
Novo Nordisk A/S, Class B | 1,054 | 67,703 | ||||||
Orion OYJ, Class B | 9,982 | 427,312 | ||||||
Roche Holding AG | 3,503 | 1,126,517 | ||||||
Sanofi | 527 | 47,495 | ||||||
4,104,005 | ||||||||
Professional Services – 0.3% | ||||||||
Thomson Reuters Corp. | 2,077 | 161,350 | ||||||
Real Estate Management & Development – 1.6% | ||||||||
Agile Group Holdings Ltd. | 96,000 | 131,221 | ||||||
Daito Trust Construction Co. Ltd. | 5,600 | 508,360 | ||||||
Deutsche Wohnen SE | 279 | 14,082 | ||||||
Land & Houses PCL, NVDR | 1,453,900 | 298,547 | ||||||
952,210 | ||||||||
Road & Rail – 0.6% | ||||||||
Aurizon Holdings Ltd. | 142,879 | 378,270 | ||||||
Semiconductors & Semiconductor Equipment – 2.6% | ||||||||
ASML Holding NV | 403 | 146,464 | ||||||
Nanya Technology Corp. | 62,000 | 125,285 | ||||||
Novatek Microelectronics Corp. | 54,000 | 504,064 | ||||||
Taiwan Semiconductor Manufacturing Co. Ltd. | 49,000 | 740,049 | ||||||
1,515,862 | ||||||||
Software – 1.1% | ||||||||
Kingdee International Software Group Co. Ltd.* | 196,000 | 514,336 | ||||||
SAP SE | 1,085 | 115,631 | ||||||
629,967 | ||||||||
Specialty Retail – 0.5% | ||||||||
USS Co. Ltd. | 9,300 | 169,916 | ||||||
Yamada Holdings Co. Ltd. | 24,800 | 120,513 | ||||||
290,429 |
Investments | Shares | Value | ||||||
Technology Hardware, Storage & Peripherals – 4.1% | ||||||||
Asustek Computer, Inc. | 18,000 | $ | 152,604 | |||||
Canon, Inc.(b) | 9,900 | 170,508 | ||||||
Compal Electronics, Inc. | 186,000 | 120,950 | ||||||
FUJIFILM Holdings Corp. | 9,700 | 493,444 | ||||||
Inventec Corp. | 186,000 | 146,961 | ||||||
Lite-On Technology Corp. | 279,000 | 454,051 | ||||||
Logitech International SA (Registered) | 5,673 | 477,831 | ||||||
Samsung Electronics Co. Ltd. | 8,277 | 412,865 | ||||||
2,429,214 | ||||||||
Textiles, Apparel & Luxury Goods – 2.1% | ||||||||
Bosideng International Holdings Ltd.(b) | 434,000 | 189,722 | ||||||
Hermes International | 403 | 375,078 | ||||||
LVMH Moet Hennessy Louis Vuitton SE | 155 | 72,636 | ||||||
Pandora A/S | 7,688 | 608,886 | ||||||
1,246,322 | ||||||||
Tobacco – 3.4% | ||||||||
British American Tobacco plc | 33,046 | 1,045,993 | ||||||
Imperial Brands plc | 29,760 | 470,991 | ||||||
Japan Tobacco, Inc. | 27,900 | 525,761 | ||||||
2,042,745 | ||||||||
Trading Companies & Distributors – 1.0% | ||||||||
ITOCHU Corp.(b) | 10,300 | 246,317 | ||||||
Mitsubishi Corp. | 9,300 | 206,879 | ||||||
Sumitomo Corp. | 12,400 | 135,755 | ||||||
588,951 | ||||||||
Transportation Infrastructure – 1.9% | ||||||||
China Merchants Port Holdings Co. Ltd. | 102,427 | 108,571 | ||||||
Jiangsu Expressway Co. Ltd., Class H | 72,000 | 71,955 | ||||||
Sydney Airport | 115,759 | 443,040 | ||||||
Westports Holdings Bhd. | 511,500 | 480,108 | ||||||
1,103,674 | ||||||||
Water Utilities – 0.6% | ||||||||
Aguas Andinas SA, Class A | 1,350,732 | 350,531 |
See Accompanying Notes to the Financial Statements.
326 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® International Quality Dividend Defensive Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Wireless Telecommunication Services – 2.3% | ||||||||
China Mobile Ltd. | 11,500 | $ | 69,921 | |||||
KDDI Corp. | 12,400 | 331,232 | ||||||
NTT DOCOMO, Inc. | 19,500 | 725,048 | ||||||
PLDT, Inc. | 2,945 | 80,805 | ||||||
Softbank Corp.(b) | 13,600 | 157,738 | ||||||
1,364,744 | ||||||||
Total Common Stocks (Cost $58,870,836) |
| 58,308,553 | ||||||
Principal Amount | ||||||||
SECURITIES LENDING REINVESTMENTS(d) – 0.2% | ||||||||
REPURCHASE AGREEMENTS – 0.2% | ||||||||
Citigroup Global Markets, Inc., 0.07%, dated 10/30/2020, due 11/2/2020, repurchase price $98,136, collateralized by various U.S. Treasury Securities, ranging from 2.63% – 5.50%, maturing 8/15/2028 – 4/15/2029; total market value $99,855 | $ | 98,136 | 98,136 | |||||
Societe Generale, 0.18%, dated 10/30/2020, due 11/2/2020, repurchase price $10,000, collateralized by various Common Stocks; total market value $11,007 | 10,000 | 10,000 | ||||||
108,136 | ||||||||
Total Securities Lending Reinvestments (Cost $108,136) |
| 108,136 | ||||||
Total Investments – 98.3% (Cost $58,978,972) |
| 58,416,689 | ||||||
Other assets less liabilities – 1.7% |
| 987,045 | ||||||
NET ASSETS – 100.0% |
| $ | 59,403,734 |
* | Non-income producing security. |
(a) | Security exempt from registration pursuant to Regulation S under the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale. |
(b) | The security or a portion of this security is on loan at October 31, 2020. The total value of securities on loan at October 31, 2020 was $2,646,645, collateralized in the form of cash with a value of $108,136 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Investments; $1,132,096 of collateral in the form of U.S. Government Treasury Securities, interest rates ranging from 0.00% – 8.00%, and maturity dates ranging from December 17, 2020 – August 15, 2050 and $1,620,714 of collateral in the form of Foreign Government Fixed Income Securities, interest rates ranging from 0.00% – 7.50%, and maturity dates ranging from January 22, 2021 – September 20, 2117; a total value of $2,860,946. |
(c) | Represents less than 0.05% of net assets. |
(d) | The security was purchased with cash collateral held from securities on loan at October 31, 2020. The total value of securities purchased was $108,136. |
Percentages shown are based on Net Assets.
Abbreviations
GDR – Global Depositary Receipt
NVDR – Non-Voting Depositary Receipt
OYJ – Public Limited Company
PJSC – Public Joint Stock Company
Preference A special type of equity investment that shares in the earnings of the company, has limited voting rights, and may have a dividend preference. Preference shares may also have liquidation preference.
As of October 31, 2020, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments (including derivative instruments, if applicable) for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 6,309,967 | ||
Aggregate gross unrealized depreciation | (7,171,925 | ) | ||
Net unrealized depreciation | $ | (861,958 | ) | |
Federal income tax cost | $ | 59,229,834 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 327 |
Table of Contents
FlexShares® International Quality Dividend Defensive Index Fund (cont.)
Futures Contracts
FlexShares® International Quality Dividend Defensive Index Fund had the following open futures contracts as of October 31, 2020:
Number of Contracts | Expiration Date | Trading Currency | Notional Amount | Value and Unrealized Appreciation/ (Depreciation)* | ||||||||||||||||
Long Contracts |
| |||||||||||||||||||
MSCI EAFE E-Mini Index | 10 | 12/18/2020 | USD | $ | 891,950 | $ | (52,893 | ) | ||||||||||||
MSCI Emerging Markets E-Mini Index | 4 | 12/18/2020 | USD | 220,380 | 2,999 | |||||||||||||||
$ | (49,894 | ) |
* | This amount represents the cumulative appreciation/depreciation on futures contracts. Current day’s variation margin is reported within the Statement of Assets and Liabilities for futures contracts. |
Forward Foreign Currency Contracts
FlexShares® International Quality Dividend Defensive Index Fund had the following outstanding contracts as of October 31, 2020:
Contracts to Receive | Counterparty | In Exchange For | Maturity Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
USD | 76,828 | Citibank NA | AUD | 105,364 | 12/16/2020 | $ | 2,819 | |||||||||||||||
USD | 18,720 | Goldman Sachs & Co. | BRL* | 100,000 | 12/16/2020 | 1,408 | ||||||||||||||||
USD | 110,374 | JPMorgan Chase Bank | CHF | 100,000 | 12/16/2020 | 1,117 | ||||||||||||||||
USD | 237,547 | JPMorgan Chase Bank | EUR | 200,000 | 12/16/2020 | 4,331 | ||||||||||||||||
Total unrealized appreciation | $ | 9,675 | ||||||||||||||||||||
NOK | 59,477 | Toronto-Dominion Bank (The) | USD | 6,612 | 12/16/2020 | $ | (391 | ) | ||||||||||||||
USD | 75,456 | Morgan Stanley | JPY | 8,000,000 | 12/16/2020 | (1,117 | ) | |||||||||||||||
USD | 176,574 | Goldman Sachs & Co. | ZAR | 3,000,000 | 12/17/2020 | (7,086 | ) | |||||||||||||||
Total unrealized depreciation | $ | (8,594 | ) | |||||||||||||||||||
Net unrealized appreciation | $ | 1,081 |
* | Non-deliverable forward. See Note 2 in the Notes to Financial Statements. |
Abbreviations:
AUD – Australian Dollar
BRL – Brazilian Real
CHF – Swiss Franc
EUR – Euro
JPY – Japanese Yen
NOK – Norwegian Krone
USD – US Dollar
ZAR – South African Rand
See Accompanying Notes to the Financial Statements.
328 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® International Quality Dividend Defensive Index Fund (cont.)
FlexShares® International Quality Dividend Defensive Index Fund invested, as a percentage of net assets, in companies domiciled in the following countries as of October 31, 2020:
Australia | 5.9 | % | ||
Austria | 0.3 | |||
Belgium | 1.5 | |||
Brazil | 1.3 | |||
Canada | 4.4 | |||
Chile | 0.8 | |||
China | 8.5 | |||
Czech Republic | 0.7 | |||
Denmark | 1.8 | |||
Finland | 2.8 | |||
France | 4.0 | |||
Germany | 3.1 | |||
Greece | 0.6 | |||
Hong Kong | 1.1 | |||
India | 2.4 | |||
Israel | 0.2 | |||
Italy | 1.7 | |||
Japan | 13.8 | |||
Malaysia | 1.4 | |||
Mexico | 0.8 | |||
Netherlands | 1.1 | |||
New Zealand | 0.9 | |||
Norway | 0.9 | |||
Philippines | 0.1 | |||
Russia | 3.0 | |||
Singapore | 1.2 | |||
South Africa | 1.9 | |||
South Korea | 2.8 | |||
Spain | 3.0 | |||
Sweden | 1.6 | |||
Switzerland | 7.6 | |||
Taiwan | 4.6 | |||
Thailand | 0.5 | |||
Turkey | 1.5 | |||
United Kingdom | 10.3 | |||
Other1 | 1.9 | |||
100.0 | % |
1 | Includes any non-equity securities, securities lending reinvestments and net other assets (liabilities). |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 329 |
Table of Contents
Schedule of Investments
FlexShares® International Quality Dividend Dynamic Index Fund
October 31, 2020
Investments | Shares | Value | ||||||
COMMON STOCKS – 98.1% | ||||||||
Aerospace & Defense – 0.3% | ||||||||
MTU Aero Engines AG | 380 | $ | 64,869 | |||||
Airlines – 1.1% | ||||||||
International Consolidated Airlines Group SA | 48,724 | 60,757 | ||||||
Qantas Airways Ltd. | 65,310 | 192,170 | ||||||
252,927 | ||||||||
Auto Components – 2.9% | ||||||||
Continental AG | 620 | 65,923 | ||||||
Denso Corp. | 1,000 | 46,279 | ||||||
Fuyao Glass Industry Group Co. Ltd., Class H(a) | 56,000 | 237,219 | ||||||
Koito Manufacturing Co. Ltd. | 4,000 | 192,080 | ||||||
Magna International, Inc. | 1,240 | 63,267 | ||||||
Xinyi Glass Holdings Ltd. | 20,000 | 43,792 | ||||||
648,560 | ||||||||
Automobiles – 2.5% | ||||||||
Ford Otomotiv Sanayi A/S | 13,930 | 179,463 | ||||||
Geely Automobile Holdings Ltd. | 30,000 | 61,587 | ||||||
Porsche Automobil Holding SE (Preference) | 940 | 50,368 | ||||||
Tofas Turk Otomobil Fabrikasi A/S | 58,530 | 186,559 | ||||||
Volkswagen AG (Preference) | 530 | 77,233 | ||||||
555,210 | ||||||||
Banks – 8.0% | ||||||||
Absa Group Ltd. | 28,090 | 150,280 | ||||||
Agricultural Bank of China Ltd., Class H | 130,000 | 43,921 | ||||||
China Construction Bank Corp., Class H | 270,000 | 186,271 | ||||||
China Merchants Bank Co. Ltd., Class H | 40,000 | 207,870 | ||||||
DBS Group Holdings Ltd. | 12,000 | 178,836 | ||||||
DNB ASA | 3,840 | 51,702 | ||||||
Hang Seng Bank Ltd.(b) | 10,000 | 153,710 | ||||||
Mediobanca Banca di Credito Finanziario SpA(b) | 5,950 | 42,195 | ||||||
National Bank of Canada(b) | 2,160 | 103,581 |
Investments | Shares | Value | ||||||
Banks – (continued) | ||||||||
Nedbank Group Ltd. | 8,030 | $ | 47,433 | |||||
Raiffeisen Bank International AG* | 2,080 | 29,898 | ||||||
Royal Bank of Canada | 7,740 | 540,787 | ||||||
Standard Bank Group Ltd. | 8,610 | 56,205 | ||||||
1,792,689 | ||||||||
Beverages – 0.5% | ||||||||
Anheuser-Busch InBev SA/NV | 2,050 | 106,407 | ||||||
Capital Markets – 1.4% | ||||||||
Macquarie Group Ltd. | 950 | 84,560 | ||||||
St James’s Place plc | 14,030 | 163,122 | ||||||
Standard Life Aberdeen plc | 19,580 | 56,836 | ||||||
304,518 | ||||||||
Chemicals – 2.2% | ||||||||
Covestro AG(a) | 1,150 | 54,882 | ||||||
Nippon Sanso Holdings Corp. | 3,000 | 43,821 | ||||||
Nissan Chemical Corp. | 4,000 | 211,211 | ||||||
Shin-Etsu Chemical Co. Ltd. | 1,000 | 132,868 | ||||||
Sinopec Shanghai Petrochemical Co. Ltd., Class H(b) | 220,000 | 40,568 | ||||||
Wacker Chemie AG | 90 | 8,683 | ||||||
492,033 | ||||||||
Construction & Engineering – 0.9% | ||||||||
ACS Actividades de Construccion y Servicios SA | 7,070 | 168,004 | ||||||
HOCHTIEF AG | 530 | 39,018 | ||||||
207,022 | ||||||||
Construction Materials – 0.7% | ||||||||
China Resources Cement Holdings Ltd. | 120,000 | 156,599 | ||||||
Diversified Consumer Services – 0.6% | ||||||||
YDUQS Participacoes SA | 32,000 | 127,201 | ||||||
Diversified Financial Services – 2.0% | ||||||||
Banca Mediolanum SpA | 22,260 | 151,947 | ||||||
EXOR NV | 2,980 | 154,818 | ||||||
M&G plc | 76,780 | 145,589 | ||||||
452,354 |
See Accompanying Notes to the Financial Statements.
330 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® International Quality Dividend Dynamic Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Diversified Telecommunication Services – 1.7% | ||||||||
O2 Czech Republic A/S* | 17,730 | $ | 166,164 | |||||
Telefonica SA(b) | 16,228 | 53,042 | ||||||
Telenor ASA | 3,620 | 55,746 | ||||||
Turk Telekomunikasyon A/S | 140,260 | 107,583 | ||||||
382,535 | ||||||||
Electric Utilities – 1.6% | ||||||||
Centrais Eletricas Brasileiras SA | 9,000 | 48,481 | ||||||
Centrais Eletricas Brasileiras SA (Preference), Class B | 7,000 | 37,622 | ||||||
Enel SpA | 7,260 | 57,794 | ||||||
Federal Grid Co. Unified Energy System PJSC | 17,224,781 | 41,151 | ||||||
Fortum OYJ | 9,140 | 171,945 | ||||||
356,993 | ||||||||
Electrical Equipment – 2.0% | ||||||||
Fuji Electric Co. Ltd. | 2,000 | 60,264 | ||||||
Mitsubishi Electric Corp. | 15,000 | 192,271 | ||||||
Schneider Electric SE | 1,570 | 190,562 | ||||||
443,097 | ||||||||
Electronic Equipment, Instruments & Components – 2.0% | ||||||||
Hitachi Ltd. | 3,000 | 100,497 | ||||||
Omron Corp. | 3,000 | 215,228 | ||||||
Walsin Technology Corp. | 10,000 | 57,161 | ||||||
Yageo Corp. | 3,000 | 37,286 | ||||||
Yokogawa Electric Corp. | 3,000 | 43,792 | ||||||
453,964 | ||||||||
Entertainment – 1.5% | ||||||||
Nintendo Co. Ltd. | 600 | 327,033 | ||||||
Equity Real Estate Investment Trusts (REITs) – 0.6% | ||||||||
Covivio | 560 | 33,333 | ||||||
RioCan REIT(b) | 4,130 | 44,542 | ||||||
Stockland | 21,370 | 57,777 | ||||||
135,652 | ||||||||
Food Products – 2.2% | ||||||||
Nestle SA (Registered) | 3,050 | 343,086 | ||||||
Want Want China Holdings Ltd. | 230,000 | 151,853 | ||||||
494,939 |
Investments | Shares | Value | ||||||
Gas Utilities – 1.3% | ||||||||
Enagas SA | 7,100 | $ | 153,251 | |||||
Naturgy Energy Group SA(b) | 7,910 | 146,963 | ||||||
300,214 | ||||||||
Health Care Equipment & Supplies – 1.3% | ||||||||
Hoya Corp. | 2,000 | 225,751 | ||||||
Straumann Holding AG (Registered) | 60 | 62,582 | ||||||
288,333 | ||||||||
Hotels, Restaurants & Leisure – 0.9% | ||||||||
Aristocrat Leisure Ltd. | 7,260 | 145,965 | ||||||
Genting Singapore Ltd. | 101,000 | 47,708 | ||||||
Sodexo SA | 170 | 10,911 | ||||||
204,584 | ||||||||
Household Durables – 0.7% | ||||||||
Panasonic Corp. | 8,000 | 73,518 | ||||||
Persimmon plc | 2,710 | 81,854 | ||||||
155,372 | ||||||||
Insurance – 6.8% | ||||||||
Allianz SE (Registered) | 2,280 | 401,194 | ||||||
Aviva plc | 40,260 | 134,045 | ||||||
AXA SA | 5,350 | 86,001 | ||||||
BB Seguridade Participacoes SA | 10,000 | 41,068 | ||||||
Direct Line Insurance Group plc | 44,610 | 151,989 | ||||||
IRB Brasil Resseguros S/A | 55,000 | 58,568 | ||||||
Legal & General Group plc | 21,980 | 52,520 | ||||||
Manulife Financial Corp. | 5,250 | 71,110 | ||||||
Old Mutual Ltd. | 102,170 | 58,980 | ||||||
Ping An Insurance Group Co. of China Ltd., Class H(b) | 10,000 | 102,581 | ||||||
Poste Italiane SpA(a) | 3,590 | 29,273 | ||||||
Tokio Marine Holdings, Inc. | 4,000 | 178,267 | ||||||
Zurich Insurance Group AG | 500 | 165,839 | ||||||
1,531,435 | ||||||||
Interactive Media & Services – 1.4% | ||||||||
Tencent Holdings Ltd. | 4,000 | 304,842 | ||||||
Internet & Direct Marketing Retail – 1.3% | ||||||||
CJ ENM Co. Ltd. | 1,120 | 129,797 | ||||||
ZOZO, Inc. | 6,000 | 152,152 | ||||||
281,949 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 331 |
Table of Contents
FlexShares® International Quality Dividend Dynamic Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
IT Services – 1.9% | ||||||||
Amadeus IT Group SA | 2,290 | $ | 109,341 | |||||
Capgemini SE | 1,000 | 115,483 | ||||||
Nomura Research Institute Ltd. | 7,000 | 207,242 | ||||||
432,066 | ||||||||
Machinery – 3.2% | ||||||||
Atlas Copco AB, Class B | 440 | 16,871 | ||||||
FANUC Corp. | 1,100 | 232,016 | ||||||
Komatsu Ltd. | 3,000 | 67,180 | ||||||
MINEBEA MITSUMI, Inc. | 10,000 | 179,262 | ||||||
Sinotruk Hong Kong Ltd. | 60,000 | 152,885 | ||||||
SKF AB, Class B | 2,950 | 60,384 | ||||||
708,598 | ||||||||
Media – 1.1% | ||||||||
Publicis Groupe SA | 1,624 | 56,373 | ||||||
WPP plc | 22,870 | 182,334 | ||||||
238,707 | ||||||||
Metals & Mining – 6.6% | ||||||||
Anglo American Platinum Ltd. | 760 | 49,832 | ||||||
BHP Group Ltd. | 2,710 | 64,287 | ||||||
BHP Group plc | 3,880 | 74,761 | ||||||
Eregli Demir ve Celik Fabrikalari TAS | 128,850 | 146,480 | ||||||
Evraz plc | 39,710 | 184,585 | ||||||
Impala Platinum Holdings Ltd. | 18,910 | 166,153 | ||||||
Kumba Iron Ore Ltd.(b) | 5,550 | 164,057 | ||||||
Novolipetsk Steel PJSC | 80,203 | 187,674 | ||||||
Rio Tinto plc | 4,650 | 261,963 | ||||||
Severstal PAO | 12,830 | 175,355 | ||||||
1,475,147 | ||||||||
Multiline Retail – 0.1% | ||||||||
Central Retail Corp. PCL, NVDR* | 39,000 | 33,472 | ||||||
Multi-Utilities – 0.6% | ||||||||
AGL Energy Ltd. | 15,310 | 134,178 | ||||||
Oil, Gas & Consumable Fuels – 5.5% | ||||||||
BP plc | 22,200 | 56,433 | ||||||
Canadian Natural Resources Ltd. | 10,070 | 160,111 | ||||||
China Petroleum & Chemical Corp., Class H | 100,000 | 38,815 |
Investments | Shares | Value | ||||||
Oil, Gas & Consumable Fuels – (continued) | ||||||||
China Shenhua Energy Co. Ltd., Class H | 80,000 | $ | 138,236 | |||||
CNOOC Ltd. | 150,000 | 136,173 | ||||||
Ecopetrol SA | 314,160 | 145,969 | ||||||
Equinor ASA | 3,920 | 49,724 | ||||||
Exxaro Resources Ltd. | 4,410 | 29,591 | ||||||
Oil & Natural Gas Corp. Ltd. | 116,800 | 102,288 | ||||||
OMV AG | 3,590 | 82,382 | ||||||
Suncor Energy, Inc. | 4,520 | 50,951 | ||||||
TOTAL SE | 6,860 | 206,324 | ||||||
Yanzhou Coal Mining Co. Ltd., Class H | 60,000 | 43,560 | ||||||
1,240,557 | ||||||||
Paper & Forest Products – 0.4% | ||||||||
UPM-Kymmene OYJ | 3,260 | 92,125 | ||||||
Personal Products – 2.0% | ||||||||
L’Oreal SA | 1,380 | 446,401 | ||||||
Pharmaceuticals – 6.7% | ||||||||
Astellas Pharma, Inc. | 5,000 | 68,634 | ||||||
Bayer AG (Registered) | 1,690 | 79,452 | ||||||
Eisai Co. Ltd. | 2,200 | 170,229 | ||||||
GlaxoSmithKline plc | 27,510 | 459,499 | ||||||
Novartis AG (Registered) | 3,470 | 270,657 | ||||||
Orion OYJ, Class B | 3,390 | 145,120 | ||||||
Roche Holding AG | 680 | 218,679 | ||||||
Roche Holding AG – BR | 260 | 83,740 | ||||||
1,496,010 | ||||||||
Professional Services – 1.0% | ||||||||
Nihon M&A Center, Inc. | 4,000 | 233,786 | ||||||
Real Estate Management & Development – 3.7% | ||||||||
Agile Group Holdings Ltd.(b) | 40,000 | 54,675 | ||||||
China Resources Land Ltd. | 40,000 | 162,737 | ||||||
CK Asset Holdings Ltd. | 30,000 | 138,881 | ||||||
Country Garden Holdings Co. Ltd.(b) | 135,109 | 166,211 | ||||||
Daito Trust Construction Co. Ltd. | 1,000 | 90,779 | ||||||
Daiwa House Industry Co. Ltd. | 1,000 | 26,167 | ||||||
Logan Group Co. Ltd. | 40,000 | 62,516 | ||||||
NEPI Rockcastle plc | 37,294 | 132,134 | ||||||
834,100 |
See Accompanying Notes to the Financial Statements.
332 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® International Quality Dividend Dynamic Index Fund (cont.)
Investments | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Semiconductors & Semiconductor Equipment – 6.9% | ||||||||
ASML Holding NV | 2,320 | $ | 843,165 | |||||
Globalwafers Co. Ltd. | 3,000 | 43,526 | ||||||
Nanya Technology Corp. | 20,000 | 40,415 | ||||||
Novatek Microelectronics Corp. | 20,000 | 186,690 | ||||||
Taiwan Semiconductor Manufacturing Co. Ltd. | 14,000 | 211,443 | ||||||
Tokyo Electron Ltd. | 800 | 213,507 | ||||||
1,538,746 | ||||||||
Software – 0.8% | ||||||||
Nemetschek SE | 2,340 | 169,269 | ||||||
SAP SE | 60 | 6,394 | ||||||
175,663 | ||||||||
Specialty Retail – 1.9% | ||||||||
Fast Retailing Co. Ltd. | 100 | 69,552 | ||||||
Hotai Motor Co. Ltd. | 2,000 | 42,093 | ||||||
Industria de Diseno Textil SA(b) | 1,300 | 32,088 | ||||||
JD Sports Fashion plc | 5,730 | 54,915 | ||||||
Petrobras Distribuidora SA | 46,000 | 153,014 | ||||||
USS Co. Ltd. | 4,000 | 73,082 | ||||||
424,744 | ||||||||
Technology Hardware, Storage & Peripherals – 2.0% | ||||||||
Brother Industries Ltd. | 10,000 | 153,625 | ||||||
Lite-On Technology Corp. | 30,000 | 48,823 | ||||||
Logitech International SA (Registered) | 150 | 12,634 | ||||||
Samsung Electronics Co. Ltd. | 2,560 | 127,696 | ||||||
Samsung Electronics Co. Ltd. (Preference) | 2,200 | 97,136 | ||||||
439,914 | ||||||||
Textiles, Apparel & Luxury Goods – 0.7% | ||||||||
Pandora A/S | 2,130 | 168,695 | ||||||
Tobacco – 2.8% | ||||||||
British American Tobacco plc | 1,950 | 61,723 | ||||||
Imperial Brands plc | 11,290 | 178,679 | ||||||
Japan Tobacco, Inc. | 11,000 | 207,289 | ||||||
Swedish Match AB | 2,330 | 175,539 | ||||||
623,230 |
Investments | Shares | Value | ||||||
Trading Companies & Distributors – 0.5% | ||||||||
Ashtead Group plc | 1,790 | $ | 64,805 | |||||
Toyota Tsusho Corp. | 2,000 | 55,462 | ||||||
120,267 | ||||||||
Transportation Infrastructure – 1.0% | ||||||||
CCR SA | 21,000 | 40,645 | ||||||
Grupo Aeroportuario del Pacifico SAB de CV, Class B | 23,000 | 190,821 | ||||||
231,466 | ||||||||
Wireless Telecommunication Services – 0.3% | ||||||||
Mobile TeleSystems PJSC | 3,700 | 14,476 | ||||||
MTN Group Ltd. | 13,730 | 48,832 | ||||||
63,308 | ||||||||
Total Common Stocks (Cost $22,839,281) |
| 21,972,511 | ||||||
Principal Amount | ||||||||
SECURITIES LENDING REINVESTMENTS(c) – 0.2% | ||||||||
REPURCHASE AGREEMENTS – 0.2% | ||||||||
Citigroup Global Markets, Inc., 0.07%, dated 10/30/2020, due 11/2/2020, repurchase price $33,903, collateralized by various U.S. Treasury Securities, ranging from 2.63% – 5.50%, maturing 8/15/2028 – 4/15/2029; total market value $34,497 | $ | 33,903 | 33,903 | |||||
Total Investments – 98.3% (Cost $22,873,184) |
| 22,006,414 | ||||||
Other assets less liabilities – 1.7% |
| 369,908 | ||||||
NET ASSETS – 100.0% |
| $ | 22,376,322 |
* | Non-income producing security. |
(a) | Security exempt from registration pursuant to Regulation S under the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale. |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 333 |
Table of Contents
FlexShares® International Quality Dividend Dynamic Index Fund (cont.)
(b) | The security or a portion of this security is on loan at October 31, 2020. The total value of securities on loan at October 31, 2020 was $842,167, collateralized in the form of cash with a value of $33,903 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Investments; $276,466 of collateral in the form of U.S. Government Treasury Securities, interest rates ranging from 0.00% – 8.00%, and maturity dates ranging from January 7, 2021 – November 15, 2049 and $599,417 of collateral in the form of Foreign Government Fixed Income Securities, interest rates ranging from 0.00% – 6.25%, and maturity dates ranging from March 1, 2021 – October 22, 2071; a total value of $909,786. |
(c) | The security was purchased with cash collateral held from securities on loan at October 31, 2020. The total value of securities purchased was $33,903. |
Percentages shown are based on Net Assets.
Abbreviations
NVDR – Non-Voting Depositary Receipt
OYJ – Public Limited Company
PJSC – Public Joint Stock Company
Preference – A special type of equity investment that shares in the earnings of the company, has limited voting rights, and may have a dividend preference. Preference shares may also have liquidation preference.
As of October 31, 2020, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments (including derivative instruments, if applicable) for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 1,913,567 | ||
Aggregate gross unrealized depreciation | (2,845,933 | ) | ||
Net unrealized depreciation | $ | (932,366 | ) | |
Federal income tax cost | $ | 22,925,487 |
Futures Contracts
FlexShares® International Quality Dividend Dynamic Index Fund had the following open futures contracts as of October 31, 2020:
Number of Contracts | Expiration Date | Trading Currency | Notional Amount | Value and Unrealized Appreciation/ (Depreciation)* | ||||||||||||||||
Long Contracts |
| |||||||||||||||||||
MSCI EAFE E-Mini Index | 3 | 12/18/2020 | USD | $ | 267,585 | $ | (15,771 | ) | ||||||||||||
MSCI Emerging Markets E-Mini Index | 2 | 12/18/2020 | USD | 110,190 | 2,286 | |||||||||||||||
$ | (13,485 | ) |
* | This amount represents the cumulative appreciation/depreciation on futures contracts. Current day’s variation margin is reported within the Statement of Assets and Liabilities for futures contracts. |
Forward Foreign Currency Contracts
FlexShares® International Quality Dividend Dynamic Index Fund had the following outstanding contracts as of October 31, 2020:
Contracts to Receive | Counterparty | In Exchange For | Maturity Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
CAD | 22,000 | Citibank NA | USD | 16,428 | 12/16/2020 | $ | 75 | |||||||||||||||
GBP | 20,000 | Citibank NA | USD | 25,456 | 12/16/2020 | 413 | ||||||||||||||||
GBP | 3,000 | Toronto-Dominion Bank (The) | USD | 3,854 | 12/16/2020 | 27 | ||||||||||||||||
USD | 11,667 | Citibank NA | AUD | 16,000 | 12/16/2020 | 428 | ||||||||||||||||
USD | 55,187 | JPMorgan Chase Bank | CHF | 50,000 | 12/16/2020 | 559 | ||||||||||||||||
USD | 47,509 | JPMorgan Chase Bank | EUR | 40,000 | 12/16/2020 | 866 |
See Accompanying Notes to the Financial Statements.
334 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® International Quality Dividend Dynamic Index Fund (cont.)
Forward Foreign Currency Contracts (cont.)
Contracts to Receive | Counterparty | In Exchange For | Maturity Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
USD | 40,814 | Morgan Stanley | EUR | 35,000 | 12/16/2020 | $ | 1 | |||||||||||||||
Total unrealized appreciation | $ | 2,369 | ||||||||||||||||||||
AUD | 4,000 | Toronto-Dominion Bank (The) | USD | 2,923 | 12/16/2020 | $ | (114 | ) | ||||||||||||||
EUR | 25,000 | Toronto-Dominion Bank (The) | USD | 29,704 | 12/16/2020 | (551 | ) | |||||||||||||||
GBP | 2,000 | Toronto-Dominion Bank (The) | USD | 2,593 | 12/16/2020 | (7 | ) | |||||||||||||||
JPY | 1,544,000 | Toronto-Dominion Bank (The) | USD | 14,815 | 12/16/2020 | (37 | ) | |||||||||||||||
USD | 24,332 | Morgan Stanley | GBP | 19,000 | 12/16/2020 | (244 | ) | |||||||||||||||
USD | 24,198 | UBS AG | GBP | 19,000 | 12/16/2020 | (377 | ) | |||||||||||||||
USD | 35,078 | Morgan Stanley | JPY | 3,719,000 | 12/16/2020 | (519 | ) | |||||||||||||||
USD | 30,378 | Toronto-Dominion Bank (The) | JPY | 3,208,000 | 12/16/2020 | (328 | ) | |||||||||||||||
Total unrealized depreciation | $ | (2,177 | ) | |||||||||||||||||||
Net unrealized appreciation | $ | 192 |
Abbreviations:
AUD – Australian Dollar
CAD – Canadian Dollar
CHF – Swiss Franc
EUR – Euro
GBP – British Pound
JPY – Japanese Yen
USD – US Dollar
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 335 |
Table of Contents
FlexShares® International Quality Dividend Dynamic Index Fund (cont.)
FlexShares® International Quality Dividend Dynamic Index Fund invested, as a percentage of net assets, in companies domiciled in the following countries as of October 31, 2020:
Australia | 3.0 | % | ||
Austria | 0.5 | |||
Belgium | 0.5 | |||
Brazil | 2.3 | |||
Canada | 4.6 | |||
China | 10.9 | |||
Colombia | 0.6 | |||
Czech Republic | 0.7 | |||
Denmark | 0.8 | |||
Finland | 1.8 | |||
France | 5.1 | |||
Germany | 4.5 | |||
Hong Kong | 1.5 | |||
India | 0.5 | |||
Italy | 1.9 | |||
Japan | 19.0 | |||
Mexico | 0.9 | |||
Netherlands | 3.8 | |||
Norway | 0.7 | |||
Russia | 1.9 | |||
Singapore | 1.0 | |||
South Africa | 4.0 | |||
South Korea | 1.6 | |||
Spain | 3.0 | |||
Sweden | 1.1 | |||
Switzerland | 5.2 | |||
Taiwan | 3.0 | |||
Thailand | 0.1 | |||
Turkey | 2.8 | |||
United Kingdom | 10.8 | |||
Other1 | 1.9 | |||
100.0 | % |
1 | Includes any non-equity securities, securities lending reinvestments and net other assets (liabilities). |
See Accompanying Notes to the Financial Statements.
336 | FLEXSHARES ANNUAL REPORT |
Table of Contents
Schedule of Investments
FlexShares® iBoxx 3-Year Target Duration TIPS Index Fund
October 31, 2020
Investments | Principal Amount | Value | ||||||
U.S. TREASURY OBLIGATIONS – 99.8% | ||||||||
U.S. Treasury Inflation Linked Bonds |
| |||||||
2.38%, 1/15/2025 | $ | 124,117,547 | $ | 142,953,236 | ||||
2.00%, 1/15/2026 | 29,292,238 | 34,225,582 | ||||||
2.38%, 1/15/2027 | 23,758,845 | 29,053,925 | ||||||
U.S. Treasury Inflation Linked Notes |
| |||||||
0.13%, 1/15/2022 | 53,011,518 | 53,619,538 | ||||||
0.13%, 4/15/2022 | 53,120,578 | 53,794,488 | ||||||
0.13%, 7/15/2022 | 51,826,942 | 52,895,803 | ||||||
0.13%, 1/15/2023 | 51,628,266 | 52,958,912 | ||||||
0.63%, 4/15/2023 | 55,039,594 | 57,246,593 | ||||||
0.38%, 7/15/2023 | 51,213,416 | 53,446,463 | ||||||
0.63%, 1/15/2024(a) | 51,079,063 | 53,983,465 | ||||||
0.50%, 4/15/2024 | 120,970,368 | 127,703,957 | ||||||
0.13%, 7/15/2024 | 163,542,500 | 172,035,913 | ||||||
0.13%, 10/15/2024 | 129,888,744 | 137,000,714 | ||||||
0.25%, 1/15/2025 | 62,012,944 | 65,745,228 | ||||||
0.13%, 4/15/2025(a) | 40,013,929 | 42,310,698 | ||||||
0.38%, 7/15/2025 | 50,257,818 | 54,165,796 | ||||||
0.13%, 10/15/2025 | 20,485,379 | 21,886,749 | ||||||
0.63%, 1/15/2026 | 51,903,512 | 56,813,984 | ||||||
0.13%, 7/15/2026 | 44,681,314 | 48,127,997 | ||||||
0.38%, 1/15/2027 | 46,306,736 | 50,583,342 | ||||||
0.38%, 7/15/2027 | 43,873,339 | 48,367,461 | ||||||
0.50%, 1/15/2028 | 16,467,692 | 18,312,450 | ||||||
Total U.S. Treasury Obligations (Cost $1,372,986,967) |
| 1,427,232,294 | ||||||
Total Investments – 99.8% (Cost $1,372,986,967) |
| 1,427,232,294 | ||||||
Other assets less liabilities – 0.2% |
| 2,258,313 | ||||||
NET ASSETS – 100.0% |
| $ | 1,429,490,607 |
(a) | The security or a portion of this security is on loan at October 31, 2020. The total value of securities on loan at October 31, 2020 was $1,983,669, collateralized by $495,948 in U.S. Government Treasury Securities, interest rates ranging from 0.13% – 7.13%, and maturity dates ranging from October 31, 2020 – February 15, 2050 and $1,809,629 in Foreign Government Fixed Income Securities, interest rates ranging from 0.00% – 5.50%, and maturity dates ranging from January 27, 2021 – January 15, 2052; a total value of $2,305,577. |
Percentages shown are based on Net Assets.
As of October 31, 2020, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments (including derivative instruments, if applicable) for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 54,096,990 | ||
Aggregate gross unrealized depreciation | (113,397 | ) | ||
Net unrealized appreciation | $ | 53,983,593 | ||
Federal income tax cost | $ | 1,373,248,701 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 337 |
Table of Contents
Schedule of Investments
FlexShares® iBoxx 5-Year Target Duration TIPS Index Fund
October 31, 2020
Investments | Principal Amount | Value | ||||||
U.S. TREASURY OBLIGATIONS – 99.8% | ||||||||
U.S. Treasury Inflation Linked Bonds |
| |||||||
2.38%, 1/15/2025(a) | $ | 18,253,878 | $ | 21,024,029 | ||||
2.00%, 1/15/2026 | 13,037,979 | 15,233,811 | ||||||
2.38%, 1/15/2027 | 10,747,804 | 13,143,142 | ||||||
1.75%, 1/15/2028 | 10,193,427 | 12,297,509 | ||||||
3.63%, 4/15/2028 | 10,953,380 | 14,858,099 | ||||||
2.50%, 1/15/2029 | 9,223,638 | 11,921,255 | ||||||
3.88%, 4/15/2029 | 12,857,261 | 18,280,645 | ||||||
3.38%, 4/15/2032 | 3,261,063 | 4,884,776 | ||||||
2.13%, 2/15/2040 | 9,892,176 | 14,955,984 | ||||||
U.S. Treasury Inflation Linked Notes |
| |||||||
0.63%, 1/15/2024(a) | 26,508,668 | 28,015,975 | ||||||
0.50%, 4/15/2024 | 21,007,139 | 22,176,462 | ||||||
0.13%, 7/15/2024 | 26,732,203 | 28,120,513 | ||||||
0.13%, 10/15/2024 | 22,944,009 | 24,200,293 | ||||||
0.25%, 1/15/2025 | 26,729,982 | 28,338,741 | ||||||
0.13%, 4/15/2025 | 23,182,218 | 24,512,859 | ||||||
0.38%, 7/15/2025 | 26,732,416 | 28,811,091 | ||||||
0.13%, 10/15/2025 | 11,910,570 | 12,725,352 | ||||||
0.63%, 1/15/2026 | 27,662,037 | 30,279,079 | ||||||
0.13%, 7/15/2026(a) | 24,017,047 | 25,869,704 | ||||||
0.38%, 1/15/2027 | 25,088,016 | 27,404,991 | ||||||
0.38%, 7/15/2027 | 24,070,781 | 26,536,448 | ||||||
0.50%, 1/15/2028 | 25,308,487 | 28,143,616 | ||||||
0.75%, 7/15/2028 | 23,909,807 | 27,289,619 | ||||||
0.88%, 1/15/2029 | 23,571,544 | 27,186,089 | ||||||
0.25%, 7/15/2029 | 25,950,689 | 28,736,886 | ||||||
0.13%, 1/15/2030 | 26,767,319 | 29,250,668 | ||||||
0.13%, 7/15/2030 | 19,049,564 | 20,930,155 | ||||||
Total U.S. Treasury Obligations (Cost $557,783,123) |
| 595,127,791 | ||||||
Total Investments – 99.8% (Cost $557,783,123) |
| 595,127,791 | ||||||
Other assets less liabilities – 0.2% |
| 967,419 | ||||||
NET ASSETS – 100.0% |
| $ | 596,095,210 |
(a) | The security or a portion of this security is on loan at October 31, 2020. The total value of securities on loan at October 31, 2020 was $48,099,575, collateralized in the form of Foreign Government Fixed Income Securities, interest rates ranging from 0.00% – 7.50%, and maturity dates ranging from November 25, 2020 – November 2, 2086; a total value of $55,296,092. |
Percentages shown are based on Net Assets.
As of October 31, 2020, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments (including derivative instruments, if applicable) for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 37,243,236 | ||
Aggregate gross unrealized depreciation | (166,596 | ) | ||
Net unrealized appreciation | $ | 37,076,640 | ||
Federal income tax cost | $ | 558,051,151 |
See Accompanying Notes to the Financial Statements.
338 | FLEXSHARES ANNUAL REPORT |
Table of Contents
Schedule of Investments
FlexShares® Disciplined Duration MBS Index Fund
October 31, 2020
Investments | Principal Amount | Value | ||||||
MORTGAGE-BACKED SECURITIES – 99.4% | ||||||||
FHLMC | ||||||||
2.50%, 4/1/2022 | $ | 62,079 | $ | 64,526 | ||||
3.50%, 10/1/2025 | 76,802 | 81,208 | ||||||
3.50%, 11/1/2025 | 182,305 | 192,765 | ||||||
3.50%, 2/1/2026 | 48,922 | 51,752 | ||||||
4.00%, 3/1/2026 | 91,774 | 97,609 | ||||||
4.00%, 4/1/2026 | 63,297 | 67,313 | ||||||
4.00%, 5/1/2026 | 165,463 | 175,986 | ||||||
3.50%, 6/1/2026 | 80,596 | 85,272 | ||||||
3.00%, 9/1/2026 | 154,608 | 162,180 | ||||||
3.50%, 9/1/2026 | 136,949 | 144,800 | ||||||
3.00%, 10/1/2026 | 55,661 | 59,493 | ||||||
3.50%, 10/1/2026 | 64,435 | 68,171 | ||||||
3.00%, 12/1/2026 | 93,013 | 99,420 | ||||||
3.00%, 3/1/2027 | 111,106 | 119,023 | ||||||
2.50%, 4/1/2027 | 130,259 | 135,743 | ||||||
3.00%, 6/1/2027 | 175,602 | 184,246 | ||||||
3.50%, 8/1/2027 | 54,155 | 57,924 | ||||||
2.50%, 11/1/2027 | 119,685 | 125,884 | ||||||
3.00%, 11/1/2027 | 60,943 | 64,491 | ||||||
2.50%, 2/1/2028 | 31,548 | 33,283 | ||||||
2.50%, 4/1/2028 | 18,231 | 18,985 | ||||||
3.00%, 4/1/2028 | 517,343 | 550,205 | ||||||
3.50%, 5/1/2028 | 154,419 | 166,575 | ||||||
2.50%, 8/1/2028 | 48,550 | 50,769 | ||||||
3.50%, 10/1/2028 | 237,421 | 251,226 | ||||||
2.50%, 11/1/2028 | 14,020 | 14,616 | ||||||
3.00%, 11/1/2028 | 75,667 | 79,405 | ||||||
4.00%, 11/1/2028 | 207,988 | 221,251 | ||||||
3.00%, 1/1/2029 | 125,530 | 131,731 | ||||||
4.00%, 1/1/2029 | 105,254 | 111,913 | ||||||
3.50%, 12/1/2029 | 279,839 | 296,047 | ||||||
2.00%, 8/1/2031 | 262,398 | 273,643 | ||||||
2.00%, 10/1/2031 | 55,165 | 57,530 | ||||||
5.50%, 10/1/2032 | 79,152 | 92,579 | ||||||
3.00%, 4/1/2033 | 210,397 | 222,605 | ||||||
3.00%, 6/1/2033 | 166,530 | 176,192 | ||||||
6.00%, 4/1/2034 | 46,461 | 54,992 | ||||||
5.00%, 5/1/2034 | 71,463 | 82,397 | ||||||
5.00%, 7/1/2034 | 417,851 | 482,111 | ||||||
6.00%, 8/1/2034 | 27,086 | 32,065 | ||||||
5.50%, 12/1/2034 | 51,838 | 61,157 | ||||||
3.00%, 5/1/2035 | 34,769 | 36,647 | ||||||
5.50%, 5/1/2035 | 101,265 | 119,556 |
Investments | Principal Amount | Value | ||||||
6.00%, 5/1/2035 | $ | 97,611 | $ | 114,716 | ||||
5.50%, 6/1/2035 | 70,645 | 83,285 | ||||||
5.00%, 7/1/2035 | 406,859 | 469,426 | ||||||
5.00%, 8/1/2035 | 171,609 | 198,067 | ||||||
5.00%, 10/1/2035 | 22,493 | 25,811 | ||||||
5.50%, 10/1/2035 | 26,016 | 30,506 | ||||||
3.00%, 11/1/2035 | 41,135 | 43,459 | ||||||
5.00%, 11/1/2035 | 250,448 | 289,058 | ||||||
5.00%, 12/1/2035 | 155,600 | 179,519 | ||||||
6.00%, 12/1/2035 | 91,918 | 108,767 | ||||||
5.50%, 3/1/2036 | 39,450 | 46,053 | ||||||
6.00%, 3/1/2036 | 303,704 | 359,786 | ||||||
5.50%, 6/1/2036 | 43,111 | 50,530 | ||||||
5.50%, 10/1/2036 | 25,944 | 30,252 | ||||||
5.50%, 12/1/2036 | 128,771 | 149,717 | ||||||
6.00%, 1/1/2037 | 100,795 | 118,919 | ||||||
5.50%, 2/1/2037 | 106,123 | 123,670 | ||||||
6.00%, 4/1/2037 | 49,657 | 58,593 | ||||||
6.00%, 5/1/2037 | 87,676 | 103,617 | ||||||
5.50%, 7/1/2037 | 77,798 | 91,630 | ||||||
5.50%, 9/1/2037 | 38,458 | 44,837 | ||||||
5.50%, 11/1/2037 | 34,698 | 40,408 | ||||||
5.50%, 1/1/2038 | 19,697 | 22,932 | ||||||
5.00%, 2/1/2038 | 78,000 | 89,997 | ||||||
5.50%, 4/1/2038 | 52,636 | 61,161 | ||||||
5.50%, 6/1/2038 | 33,388 | 38,744 | ||||||
5.00%, 7/1/2038 | 234,379 | 270,276 | ||||||
5.50%, 7/1/2038 | 4,191 | 4,870 | ||||||
5.50%, 8/1/2038 | 45,893 | 53,205 | ||||||
5.00%, 10/1/2038 | 72,984 | 84,154 | ||||||
5.00%, 11/1/2038 | 293,923 | 337,999 | ||||||
5.00%, 12/1/2038 | 491,702 | 565,029 | ||||||
5.50%, 12/1/2038 | 15,054 | 17,453 | ||||||
5.50%, 1/1/2039 | 40,674 | 47,306 | ||||||
5.00%, 2/1/2039 | 200,688 | 231,420 | ||||||
5.00%, 5/1/2039 | 95,110 | 109,604 | ||||||
5.00%, 6/1/2039 | 42,249 | 48,586 | ||||||
5.00%, 7/1/2039 | 66,482 | 76,760 | ||||||
4.50%, 8/1/2039 | 1,085,111 | 1,219,594 | ||||||
5.00%, 8/1/2039 | 5,658 | 6,453 | ||||||
5.00%, 9/1/2039 | 99,320 | 114,344 | ||||||
6.00%, 11/1/2039 | 54,695 | 64,260 | ||||||
5.00%, 12/1/2039 | 626,441 | 722,666 | ||||||
5.00%, 1/1/2040 | 26,687 | 30,786 | ||||||
5.50%, 1/1/2040 | 68,746 | 79,315 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 339 |
Table of Contents
FlexShares® Disciplined Duration MBS Index Fund (cont.)
Investments | Principal Amount | Value | ||||||
MORTGAGE-BACKED SECURITIES – (continued) | ||||||||
4.50%, 2/1/2040 | $ | 166,777 | $ | 187,634 | ||||
5.00%, 3/1/2040 | 79,306 | 91,573 | ||||||
5.00%, 4/1/2040 | 30,391 | 34,681 | ||||||
5.50%, 4/1/2040 | 188,531 | 215,582 | ||||||
6.00%, 4/1/2040 | 63,732 | 74,354 | ||||||
5.00%, 5/1/2040 | 28,678 | 33,140 | ||||||
6.00%, 5/1/2040 | 154,788 | 180,571 | ||||||
5.50%, 6/1/2040 | 47,890 | 55,385 | ||||||
5.00%, 7/1/2040 | 164,211 | 189,761 | ||||||
6.00%, 7/1/2040 | 243,540 | 287,205 | ||||||
4.50%, 12/1/2040 | 66,411 | 74,774 | ||||||
4.00%, 1/1/2041 | 22,874 | 25,225 | ||||||
4.50%, 1/1/2041 | 58,225 | 65,551 | ||||||
5.50%, 4/1/2041 | 75,796 | 87,758 | ||||||
5.00%, 5/1/2041 | 106,535 | 123,116 | ||||||
5.50%, 6/1/2041 | 388,315 | 451,719 | ||||||
4.50%, 7/1/2041 | 91,861 | 103,289 | ||||||
5.00%, 7/1/2041 | 338,045 | 389,835 | ||||||
3.50%, 11/1/2041 | 141,611 | 153,117 | ||||||
5.00%, 2/1/2042 | 195,254 | 225,199 | ||||||
3.00%, 3/1/2042 | 25,602 | 27,142 | ||||||
3.00%, 12/1/2042 | 137,653 | 148,229 | ||||||
3.00%, 1/1/2043 | 39,900 | 42,427 | ||||||
3.00%, 2/1/2043 | 39,237 | 42,917 | ||||||
3.00%, 3/1/2043 | 165,142 | 183,213 | ||||||
3.00%, 4/1/2043 | 51,859 | 55,131 | ||||||
3.00%, 6/1/2043 | 24,700 | 27,386 | ||||||
4.00%, 5/1/2044 | 197,773 | 226,213 | ||||||
4.50%, 5/1/2044 | 56,730 | 63,171 | ||||||
4.00%, 8/1/2044 | 27,773 | 30,370 | ||||||
5.00%, 8/1/2044 | 60,714 | 69,959 | ||||||
4.50%, 9/1/2044 | 50,319 | 56,031 | ||||||
4.00%, 1/1/2045 | 85,152 | 93,443 | ||||||
4.00%, 2/1/2045 | 138,164 | 156,402 | ||||||
4.00%, 8/1/2045 | 209,567 | 229,010 | ||||||
4.00%, 9/1/2045 | 37,610 | 40,944 | ||||||
4.00%, 10/1/2045 | 308,633 | 337,918 | ||||||
4.00%, 11/1/2045 | 72,962 | 79,357 | ||||||
4.50%, 11/1/2045 | 448,474 | 500,504 | ||||||
4.00%, 12/1/2045 | 29,262 | 31,884 | ||||||
4.50%, 12/1/2045 | 497,881 | 558,617 | ||||||
4.00%, 1/1/2046 | 89,185 | 97,902 | ||||||
4.00%, 2/1/2046 | 413,437 | 449,058 | ||||||
4.50%, 4/1/2046 | 95,165 | 106,776 | ||||||
4.50%, 5/1/2046 | 62,698 | 68,845 |
Investments | Principal Amount | Value | ||||||
3.50%, 8/1/2046 | $ | 26,516 | $ | 28,417 | ||||
2.50%, 9/1/2046 | 50,352 | 53,065 | ||||||
3.50%, 1/1/2047 | 27,882 | 29,617 | ||||||
4.50%, 3/1/2047 | 75,710 | 84,118 | ||||||
FHLMC UMBS | ||||||||
4.00%, 7/1/2026 | 41,199 | 43,816 | ||||||
3.50%, 9/1/2026 | 46,204 | 48,850 | ||||||
3.50%, 10/1/2026 | 31,108 | 32,873 | ||||||
3.00%, 3/1/2027 | 28,081 | 30,007 | ||||||
2.50%, 11/1/2027 | 112,892 | 118,687 | ||||||
2.50%, 12/1/2027 | 206,659 | 217,406 | ||||||
2.50%, 6/1/2028 | 351,460 | 370,319 | ||||||
3.50%, 8/1/2028 | 157,529 | 166,485 | ||||||
2.50%, 1/1/2029 | 108,665 | 113,258 | ||||||
2.00%, 8/1/2031 | 64,025 | 66,752 | ||||||
2.00%, 11/1/2031 | 98,559 | 102,755 | ||||||
2.00%, 2/1/2032 | 104,185 | 108,623 | ||||||
5.00%, 8/1/2035 | 543,608 | 626,655 | ||||||
5.00%, 3/1/2038 | 86,186 | 99,557 | ||||||
4.50%, 10/1/2039 | 16,020 | 18,011 | ||||||
4.50%, 12/1/2039 | 145,307 | 163,810 | ||||||
4.00%, 2/1/2040 | 10,499 | 11,554 | ||||||
4.50%, 2/1/2040 | 32,410 | 36,857 | ||||||
4.50%, 4/1/2040 | 62,051 | 69,798 | ||||||
5.00%, 5/1/2040 | 295,159 | 340,954 | ||||||
6.00%, 7/1/2040 | 1,111,437 | 1,338,610 | ||||||
3.50%, 12/1/2040 | 95,848 | 102,966 | ||||||
4.00%, 1/1/2041 | 113,089 | 125,328 | ||||||
4.50%, 3/1/2041 | 108,269 | 121,795 | ||||||
4.00%, 4/1/2041 | 31,451 | 35,503 | ||||||
4.50%, 5/1/2041 | 22,175 | 25,146 | ||||||
4.50%, 8/1/2041 | 31,554 | 35,487 | ||||||
4.00%, 1/1/2042 | 97,400 | 109,998 | ||||||
3.00%, 3/1/2042 | 188,965 | 200,017 | ||||||
3.50%, 11/1/2042 | 141,416 | 154,736 | ||||||
3.50%, 1/1/2043 | 60,843 | 68,644 | ||||||
3.50%, 2/1/2043 | 57,676 | 62,666 | ||||||
3.00%, 3/1/2043 | 26,766 | 28,472 | ||||||
3.00%, 4/1/2043 | 391,266 | 421,330 | ||||||
2.50%, 6/1/2043 | 678,545 | 718,391 | ||||||
3.00%, 6/1/2043 | 166,899 | 181,563 | ||||||
3.50%, 8/1/2043 | 69,707 | 75,645 | ||||||
4.00%, 12/1/2043 | 24,767 | 27,224 | ||||||
4.50%, 3/1/2044 | 113,895 | 127,898 | ||||||
4.00%, 6/1/2044 | 9,904 | 10,799 | ||||||
4.50%, 7/1/2044 | 48,577 | 54,507 | ||||||
4.00%, 8/1/2044 | 30,011 | 32,809 |
See Accompanying Notes to the Financial Statements.
340 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® Disciplined Duration MBS Index Fund (cont.)
Investments | Principal Amount | Value | ||||||
MORTGAGE-BACKED SECURITIES – (continued) | ||||||||
4.50%, 12/1/2044 | $ | 28,375 | $ | 31,500 | ||||
4.00%, 2/1/2045 | 27,633 | 31,272 | ||||||
3.00%, 7/1/2045 | 23,309 | 24,525 | ||||||
4.50%, 7/1/2045 | 42,028 | 47,243 | ||||||
4.50%, 9/1/2045 | 26,536 | 29,000 | ||||||
4.00%, 10/1/2045 | 101,303 | 109,892 | ||||||
4.00%, 12/1/2045 | 38,484 | 42,748 | ||||||
4.50%, 12/1/2045 | 195,830 | 218,866 | ||||||
4.00%, 1/1/2046 | 68,562 | 75,748 | ||||||
4.00%, 4/1/2046 | 53,716 | 58,408 | ||||||
4.50%, 4/1/2046 | 58,852 | 66,015 | ||||||
3.50%, 5/1/2046 | 32,137 | 34,525 | ||||||
4.00%, 5/1/2046 | 23,101 | 25,103 | ||||||
3.50%, 11/1/2046 | 39,544 | 43,160 | ||||||
2.50%, 12/1/2046 | 237,428 | 251,232 | ||||||
3.50%, 2/1/2047 | 197,971 | 210,491 | ||||||
3.00%, 9/1/2047 | 187,122 | 197,142 | ||||||
2.50%, 10/1/2049 | 203,187 | 211,933 | ||||||
2.50%, 11/1/2049 | 136,994 | 142,890 | ||||||
FNMA UMBS | ||||||||
4.50%, 11/1/2020 | 27 | 27 | ||||||
3.50%, 8/1/2025 | 32,956 | 34,831 | ||||||
3.00%, 11/1/2025 | 100,767 | 105,634 | ||||||
3.00%, 12/1/2025 | 88,039 | 92,269 | ||||||
3.50%, 12/1/2025 | 78,453 | 82,912 | ||||||
3.00%, 1/1/2026 | 110,815 | 117,512 | ||||||
3.50%, 1/1/2026 | 24,151 | 25,523 | ||||||
3.50%, 2/1/2026 | 142,599 | 150,704 | ||||||
4.00%, 2/1/2026 | 73,875 | 78,555 | ||||||
4.00%, 3/1/2026 | 219,081 | 232,660 | ||||||
4.00%, 5/1/2026 | 108,793 | 115,704 | ||||||
3.50%, 6/1/2026 | 34,793 | 36,766 | ||||||
3.00%, 8/1/2026 | 162,893 | 170,777 | ||||||
3.50%, 8/1/2026 | 62,399 | 65,996 | ||||||
3.50%, 10/1/2026 | 29,116 | 30,786 | ||||||
2.50%, 11/1/2026 | 35,077 | 36,515 | ||||||
3.00%, 11/1/2026 | 230,480 | 245,025 | ||||||
3.50%, 11/1/2026 | 42,309 | 44,748 | ||||||
4.00%, 11/1/2026 | 63,661 | 67,675 | ||||||
3.00%, 12/1/2026 | 25,999 | 27,241 | ||||||
3.50%, 12/1/2026 | 54,913 | 58,054 | ||||||
2.50%, 1/1/2027 | 117,295 | 123,477 | ||||||
3.00%, 1/1/2027 | 103,978 | 110,565 | ||||||
2.50%, 6/1/2027 | 14,175 | 14,860 | ||||||
3.50%, 6/1/2027 | 20,547 | 21,718 |
Investments | Principal Amount | Value | ||||||
2.50%, 10/1/2027 | $ | 147,601 | $ | 153,786 | ||||
2.50%, 12/1/2027 | 72,695 | 76,473 | ||||||
2.50%, 1/1/2028 | 82,397 | 86,617 | ||||||
3.50%, 1/1/2028 | 259,912 | 278,898 | ||||||
3.50%, 2/1/2028 | 90,903 | 97,040 | ||||||
3.00%, 3/1/2028 | 25,647 | 27,077 | ||||||
3.00%, 6/1/2028 | 347,312 | 364,959 | ||||||
3.50%, 6/1/2028 | 78,647 | 85,552 | ||||||
2.50%, 7/1/2028 | 83,796 | 88,237 | ||||||
3.00%, 7/1/2028 | 28,815 | 30,787 | ||||||
2.50%, 8/1/2028 | 20,094 | 21,246 | ||||||
2.50%, 9/1/2028 | 100,302 | 105,151 | ||||||
3.50%, 9/1/2028 | 29,642 | 31,324 | ||||||
3.00%, 11/1/2028 | 27,264 | 29,117 | ||||||
4.00%, 2/1/2029 | 24,803 | 26,363 | ||||||
4.00%, 5/1/2029 | 46,991 | 49,928 | ||||||
4.00%, 7/1/2029 | 69,181 | 73,520 | ||||||
3.00%, 7/1/2030 | 39,549 | 41,923 | ||||||
3.00%, 9/1/2030 | 48,508 | 50,878 | ||||||
3.50%, 10/1/2030 | 92,266 | 97,808 | ||||||
3.50%, 11/1/2030 | 20,593 | 21,829 | ||||||
3.50%, 2/1/2031 | 36,255 | 38,311 | ||||||
4.00%, 3/1/2031 | 91,202 | 97,017 | ||||||
2.00%, 9/1/2031 | 52,291 | 54,508 | ||||||
2.00%, 11/1/2031 | 116,819 | 121,780 | ||||||
2.00%, 2/1/2032 | 95,184 | 99,227 | ||||||
3.50%, 3/1/2032 | 22,182 | 23,469 | ||||||
3.00%, 4/1/2032 | 102,409 | 107,240 | ||||||
6.00%, 12/1/2032 | 17,222 | 20,175 | ||||||
6.00%, 4/1/2033 | 10,274 | 12,121 | ||||||
3.00%, 5/1/2033 | 195,609 | 206,368 | ||||||
3.00%, 6/1/2033 | 197,366 | 208,449 | ||||||
3.00%, 7/1/2033 | 24,233 | 25,639 | ||||||
5.50%, 7/1/2033 | 42,406 | 49,918 | ||||||
3.00%, 10/1/2033 | 40,220 | 42,543 | ||||||
5.50%, 3/1/2034 | 24,726 | 28,383 | ||||||
6.00%, 3/1/2034 | 359,310 | 434,261 | ||||||
5.50%, 7/1/2034 | 51,857 | 60,638 | ||||||
6.00%, 8/1/2034 | 65,687 | 77,645 | ||||||
6.50%, 9/1/2034 | 158,066 | 187,330 | ||||||
5.00%, 12/1/2034 | 32,532 | 37,479 | ||||||
5.00%, 1/1/2035 | 41,881 | 48,278 | ||||||
5.50%, 2/1/2035 | 639,709 | 755,501 | ||||||
5.00%, 3/1/2035 | 220,931 | 254,616 | ||||||
5.00%, 4/1/2035 | 811,813 | 935,723 | ||||||
5.50%, 5/1/2035 | 44,082 | 52,210 | ||||||
5.00%, 6/1/2035 | 109,508 | 126,216 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 341 |
Table of Contents
FlexShares® Disciplined Duration MBS Index Fund (cont.)
Investments | Principal Amount | Value | ||||||
MORTGAGE-BACKED SECURITIES – (continued) | ||||||||
5.00%, 7/1/2035 | $ | 155,367 | $ | 179,089 | ||||
5.00%, 8/1/2035 | 39,320 | 45,393 | ||||||
5.50%, 10/1/2035 | 47,739 | 55,991 | ||||||
5.00%, 11/1/2035 | 51,874 | 59,811 | ||||||
5.50%, 11/1/2035 | 41,740 | 49,459 | ||||||
6.00%, 11/1/2035 | 53,324 | 63,111 | ||||||
5.00%, 12/1/2035 | 85,792 | 98,978 | ||||||
5.50%, 1/1/2036 | 223,204 | 263,081 | ||||||
5.00%, 2/1/2036 | 174,086 | 200,865 | ||||||
5.00%, 4/1/2036 | 29,131 | 33,577 | ||||||
6.00%, 6/1/2036 | 77,295 | 91,531 | ||||||
5.00%, 7/1/2036 | 42,094 | 48,549 | ||||||
5.50%, 7/1/2036 | 182,676 | 215,359 | ||||||
6.50%, 8/1/2036 | 28,631 | 34,174 | ||||||
6.00%, 11/1/2036 | 75,184 | 88,954 | ||||||
5.50%, 12/1/2036 | 135,652 | 158,055 | ||||||
6.50%, 12/1/2036 | 77,381 | 87,301 | ||||||
5.50%, 1/1/2037 | 25,558 | 29,759 | ||||||
5.50%, 2/1/2037 | 6,822 | 7,684 | ||||||
5.50%, 4/1/2037 | 301,368 | 354,270 | ||||||
5.50%, 5/1/2037 | 39,990 | 46,428 | ||||||
5.50%, 8/1/2037 | 85,195 | 99,852 | ||||||
6.00%, 8/1/2037 | 12,306 | 14,564 | ||||||
6.00%, 9/1/2037 | 35,999 | 42,542 | ||||||
6.50%, 10/1/2037 | 104,593 | 127,030 | ||||||
5.00%, 2/1/2038 | 55,563 | 64,021 | ||||||
5.00%, 3/1/2038 | 82,232 | 94,384 | ||||||
5.50%, 3/1/2038 | 20,755 | 24,192 | ||||||
5.00%, 5/1/2038 | 71,576 | 82,536 | ||||||
6.00%, 5/1/2038 | 25,076 | 29,529 | ||||||
5.50%, 6/1/2038 | 55,669 | 64,790 | ||||||
5.50%, 9/1/2038 | 24,453 | 28,422 | ||||||
6.00%, 9/1/2038 | 45,423 | 53,227 | ||||||
5.50%, 11/1/2038 | 95,124 | 110,280 | ||||||
5.00%, 1/1/2039 | 8,885 | 10,213 | ||||||
5.50%, 3/1/2039 | 84,215 | 97,829 | ||||||
4.50%, 4/1/2039 | 77,759 | 87,189 | ||||||
5.50%, 5/1/2039 | 61,661 | 71,648 | ||||||
5.00%, 6/1/2039 | 77,272 | 88,939 | ||||||
5.50%, 8/1/2039 | 78,483 | 90,844 | ||||||
4.50%, 9/1/2039 | 131,633 | 151,329 | ||||||
4.50%, 10/1/2039 | 159,119 | 183,039 | ||||||
4.50%, 11/1/2039 | 36,665 | 41,223 | ||||||
5.50%, 11/1/2039 | 57,736 | 66,775 | ||||||
4.50%, 1/1/2040 | 71,769 | 81,539 |
Investments | Principal Amount | Value | ||||||
5.50%, 1/1/2040 | $ | 20,196 | $ | 23,350 | ||||
4.50%, 2/1/2040 | 46,374 | 52,222 | ||||||
5.00%, 2/1/2040 | 66,736 | 78,021 | ||||||
4.50%, 3/1/2040 | 479,732 | 540,041 | ||||||
5.50%, 3/1/2040 | 368,646 | 434,737 | ||||||
4.50%, 4/1/2040 | 143,553 | 161,356 | ||||||
5.50%, 4/1/2040 | 111,089 | 130,641 | ||||||
5.00%, 6/1/2040 | 28,790 | 33,258 | ||||||
6.00%, 6/1/2040 | 179,881 | 210,768 | ||||||
4.50%, 7/1/2040 | 610,914 | 686,125 | ||||||
4.50%, 8/1/2040 | 162,492 | 183,852 | ||||||
4.00%, 9/1/2040 | 31,421 | 34,606 | ||||||
4.50%, 10/1/2040 | 246,353 | 277,049 | ||||||
2.00%, 11/1/2040 | 1,000,000 | 1,033,188 | ||||||
4.00%, 11/1/2040 | 27,183 | 29,983 | ||||||
4.50%, 12/1/2040 | 663,213 | 746,535 | ||||||
3.50%, 1/1/2041 | 74,616 | 81,826 | ||||||
5.00%, 1/1/2041 | 24,222 | 27,981 | ||||||
3.50%, 2/1/2041 | 50,265 | 54,386 | ||||||
4.00%, 2/1/2041 | 35,743 | 39,180 | ||||||
4.50%, 4/1/2041 | 191,623 | 215,482 | ||||||
5.50%, 4/1/2041 | 6,203 | 6,912 | ||||||
4.50%, 5/1/2041 | 71,213 | 80,148 | ||||||
6.00%, 5/1/2041 | 42,230 | 49,682 | ||||||
4.50%, 6/1/2041 | 1,162,334 | 1,306,398 | ||||||
6.00%, 6/1/2041 | 61,756 | 73,093 | ||||||
5.00%, 7/1/2041 | 507,460 | 585,614 | ||||||
6.00%, 7/1/2041 | 597,804 | 716,268 | ||||||
4.50%, 8/1/2041 | 242,030 | 271,989 | ||||||
5.00%, 8/1/2041 | 111,888 | 129,915 | ||||||
5.50%, 8/1/2041 | 52,871 | 59,778 | ||||||
4.00%, 9/1/2041 | 342,763 | 385,969 | ||||||
5.50%, 9/1/2041 | 122,746 | 142,782 | ||||||
3.50%, 10/1/2041 | 196,095 | 219,538 | ||||||
4.00%, 10/1/2041 | 102,353 | 115,628 | ||||||
5.00%, 10/1/2041 | 400,854 | 462,217 | ||||||
4.00%, 11/1/2041 | 149,535 | 164,964 | ||||||
4.00%, 12/1/2041 | 36,082 | 39,812 | ||||||
4.00%, 1/1/2042 | 303,320 | 334,384 | ||||||
4.50%, 1/1/2042 | 33,913 | 38,133 | ||||||
6.00%, 1/1/2042 | 115,082 | 136,156 | ||||||
4.00%, 3/1/2042 | 149,245 | 167,806 | ||||||
3.00%, 4/1/2042 | 98,239 | 104,143 | ||||||
4.50%, 4/1/2042 | 186,306 | 209,575 | ||||||
3.50%, 5/1/2042 | 55,664 | 60,430 | ||||||
4.50%, 5/1/2042 | 125,640 | 141,362 | ||||||
3.50%, 6/1/2042 | 82,988 | 91,121 |
See Accompanying Notes to the Financial Statements.
342 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® Disciplined Duration MBS Index Fund (cont.)
Investments | Principal Amount | Value | ||||||
MORTGAGE-BACKED SECURITIES – (continued) | ||||||||
3.50%, 7/1/2042 | $ | 196,357 | $ | 218,739 | ||||
4.00%, 7/1/2042 | 188,281 | 214,455 | ||||||
3.50%, 8/1/2042 | 68,265 | 75,456 | ||||||
4.50%, 8/1/2042 | 30,795 | 34,603 | ||||||
3.50%, 9/1/2042 | 24,760 | 27,371 | ||||||
4.00%, 9/1/2042 | 118,109 | 133,581 | ||||||
4.50%, 9/1/2042 | 29,461 | 33,112 | ||||||
3.00%, 10/1/2042 | 253,367 | 274,483 | ||||||
3.50%, 10/1/2042 | 56,176 | 61,466 | ||||||
3.00%, 12/1/2042 | 216,373 | 236,610 | ||||||
2.50%, 1/1/2043 | 16,416 | 17,353 | ||||||
3.00%, 1/1/2043 | 280,279 | 298,029 | ||||||
3.50%, 1/1/2043 | 72,011 | 78,229 | ||||||
4.00%, 1/1/2043 | 131,879 | 146,273 | ||||||
4.50%, 1/1/2043 | 47,690 | 53,783 | ||||||
2.50%, 2/1/2043 | 96,968 | 102,658 | ||||||
3.00%, 2/1/2043 | 303,270 | 329,726 | ||||||
3.50%, 2/1/2043 | 128,859 | 140,696 | ||||||
3.00%, 3/1/2043 | 197,656 | 210,124 | ||||||
3.50%, 3/1/2043 | 140,684 | 157,482 | ||||||
3.50%, 4/1/2043 | 266,263 | 298,063 | ||||||
2.50%, 5/1/2043 | 21,632 | 22,902 | ||||||
3.00%, 5/1/2043 | 87,345 | 93,057 | ||||||
3.50%, 5/1/2043 | 116,536 | 129,634 | ||||||
2.50%, 6/1/2043 | 10,181 | 10,709 | ||||||
3.00%, 6/1/2043 | 37,353 | 39,630 | ||||||
3.00%, 7/1/2043 | 117,186 | 123,784 | ||||||
3.50%, 7/1/2043 | 66,716 | 72,382 | ||||||
3.00%, 8/1/2043 | 32,435 | 34,479 | ||||||
3.50%, 8/1/2043 | 150,862 | 163,727 | ||||||
4.00%, 8/1/2043 | 91,249 | 100,571 | ||||||
4.00%, 9/1/2043 | 180,146 | 200,148 | ||||||
4.50%, 9/1/2043 | 44,983 | 51,005 | ||||||
4.00%, 10/1/2043 | 229,899 | 253,843 | ||||||
4.00%, 11/1/2043 | 505,812 | 570,848 | ||||||
4.50%, 11/1/2043 | 139,807 | 158,592 | ||||||
5.00%, 11/1/2043 | 57,633 | 66,428 | ||||||
3.00%, 12/1/2043 | 25,761 | 27,378 | ||||||
4.50%, 12/1/2043 | 103,577 | 116,418 | ||||||
4.00%, 1/1/2044 | 183,386 | 202,859 | ||||||
5.00%, 1/1/2044 | 173,840 | 199,644 | ||||||
3.50%, 2/1/2044 | 35,255 | 39,450 | ||||||
4.50%, 2/1/2044 | 40,985 | 45,883 | ||||||
4.50%, 3/1/2044 | 164,551 | 185,925 | ||||||
5.00%, 3/1/2044 | 34,604 | 40,153 |
Investments | Principal Amount | Value | ||||||
4.50%, 4/1/2044 | $ | 83,962 | $ | 96,304 | ||||
5.00%, 5/1/2044 | 23,464 | 26,191 | ||||||
5.50%, 5/1/2044 | 1,729,418 | 2,035,943 | ||||||
5.00%, 6/1/2044 | 28,008 | 31,348 | ||||||
3.50%, 7/1/2044 | 112,915 | 127,402 | ||||||
3.00%, 10/1/2044 | 565,183 | 602,092 | ||||||
4.00%, 10/1/2044 | 62,377 | 69,949 | ||||||
4.50%, 10/1/2044 | 19,642 | 21,614 | ||||||
3.00%, 12/1/2044 | 49,855 | 53,993 | ||||||
4.50%, 12/1/2044 | 22,069 | 24,885 | ||||||
3.00%, 2/1/2045 | 35,552 | 37,366 | ||||||
4.00%, 2/1/2045 | 51,281 | 55,991 | ||||||
4.50%, 2/1/2045 | 229,423 | 256,192 | ||||||
3.00%, 4/1/2045 | 36,298 | 38,184 | ||||||
4.00%, 4/1/2045 | 43,120 | 47,923 | ||||||
3.00%, 7/1/2045 | 258,023 | 272,295 | ||||||
4.00%, 8/1/2045 | 27,553 | 30,233 | ||||||
4.00%, 11/1/2045 | 113,344 | 125,974 | ||||||
4.50%, 11/1/2045 | 57,167 | 65,521 | ||||||
4.00%, 12/1/2045 | 577,836 | 640,993 | ||||||
3.50%, 2/1/2046 | 65,632 | 72,507 | ||||||
4.00%, 2/1/2046 | 26,743 | 29,154 | ||||||
3.00%, 3/1/2046 | 29,380 | 32,105 | ||||||
4.00%, 3/1/2046 | 40,788 | 44,632 | ||||||
4.50%, 3/1/2046 | 291,241 | 327,450 | ||||||
4.00%, 4/1/2046 | 22,276 | 24,612 | ||||||
3.50%, 5/1/2046 | 34,022 | 36,288 | ||||||
4.00%, 5/1/2046 | 32,904 | 35,581 | ||||||
2.50%, 6/1/2046 | 126,028 | 133,415 | ||||||
3.50%, 6/1/2046 | 330,821 | 361,397 | ||||||
4.50%, 6/1/2046 | 135,037 | 150,188 | ||||||
4.50%, 7/1/2046 | 47,192 | 51,654 | ||||||
3.50%, 8/1/2046 | 126,909 | 138,512 | ||||||
4.50%, 8/1/2046 | 34,861 | 39,025 | ||||||
2.50%, 9/1/2046 | 271,921 | 287,054 | ||||||
3.00%, 9/1/2046 | 37,322 | 39,670 | ||||||
2.50%, 10/1/2046 | 131,087 | 138,093 | ||||||
3.50%, 10/1/2046 | 91,182 | 97,364 | ||||||
2.50%, 12/1/2046 | 40,307 | 42,636 | ||||||
4.00%, 12/1/2046 | 67,771 | 73,714 | ||||||
3.50%, 1/1/2047 | 452,023 | 494,308 | ||||||
4.50%, 1/1/2047 | 70,654 | 77,249 | ||||||
4.00%, 2/1/2047 | 148,298 | 161,174 | ||||||
4.50%, 2/1/2047 | 70,582 | 79,202 | ||||||
2.50%, 3/1/2047 | 238,039 | 251,777 | ||||||
4.50%, 3/1/2047 | 300,086 | 345,968 | ||||||
4.50%, 5/1/2047 | 160,990 | 177,062 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 343 |
Table of Contents
FlexShares® Disciplined Duration MBS Index Fund (cont.)
Investments | Principal Amount | Value | ||||||
MORTGAGE-BACKED SECURITIES – (continued) | ||||||||
4.50%, 7/1/2047 | $ | 161,102 | $ | 179,719 | ||||
5.00%, 7/1/2047 | 602,006 | 691,311 | ||||||
3.50%, 8/1/2047 | 90,696 | 99,194 | ||||||
5.00%, 12/1/2047 | 36,736 | 42,217 | ||||||
4.00%, 7/1/2048 | 253,699 | 281,773 | ||||||
5.50%, 1/1/2049 | 88,632 | 98,714 | ||||||
6.00%, 2/1/2049 | 153,948 | 186,163 | ||||||
5.50%, 6/1/2049 | 434,581 | 499,882 | ||||||
4.50%, 9/1/2049 | 42,249 | 46,550 | ||||||
FNMA/FHLMC UMBS, 15 Year, Single Family | ||||||||
TBA 1.50%, 11/25/2035 | 600,000 | 612,645 | ||||||
FNMA/FHLMC UMBS, 30 Year, Single Family | ||||||||
TBA 1.50%, 11/25/2050 | 2,000,000 | 2,013,672 | ||||||
TBA 2.00%, 11/25/2050 | 2,850,000 | 2,939,842 | ||||||
TBA 2.50%, 11/25/2050 | 3,850,000 | 4,012,271 | ||||||
GNMA | ||||||||
3.00%, 2/20/2027 | 168,416 | 176,243 | ||||||
2.50%, 4/20/2027 | 75,955 | 78,873 | ||||||
3.00%, 5/20/2027 | 150,469 | 157,394 | ||||||
2.50%, 11/20/2027 | 84,579 | 87,829 | ||||||
2.50%, 1/20/2028 | 43,967 | 45,657 | ||||||
3.00%, 1/20/2028 | 92,879 | 96,524 | ||||||
3.00%, 3/20/2028 | 87,495 | 91,572 | ||||||
3.00%, 7/20/2028 | 145,297 | 152,074 | ||||||
2.50%, 8/20/2028 | 136,352 | 141,907 | ||||||
2.50%, 12/20/2028 | 19,529 | 20,324 | ||||||
2.50%, 3/20/2031 | 56,328 | 58,505 | ||||||
2.50%, 10/20/2031 | 67,315 | 69,919 | ||||||
5.50%, 3/15/2033 | 219,960 | 256,301 | ||||||
6.00%, 3/15/2033 | 77,333 | 93,452 | ||||||
5.50%, 6/15/2033 | 58,302 | 67,905 | ||||||
5.50%, 8/20/2033 | 48,936 | 58,084 | ||||||
6.00%, 10/20/2033 | 89,012 | 102,507 | ||||||
5.50%, 11/15/2033 | 26,421 | 30,699 | ||||||
5.50%, 11/20/2033 | 45,339 | 53,812 | ||||||
6.00%, 12/15/2033 | 143,773 | 173,704 | ||||||
5.50%, 3/20/2034 | 54,989 | 65,290 | ||||||
5.00%, 5/15/2034 | 27,833 | 32,245 | ||||||
5.00%, 7/15/2034 | 52,820 | 60,884 | ||||||
5.50%, 7/20/2034 | 34,931 | 41,455 | ||||||
5.50%, 9/20/2034 | 15,375 | 18,262 | ||||||
5.00%, 1/15/2035 | 172,991 | 199,409 | ||||||
6.00%, 2/15/2035 | 31,527 | 38,100 |
Investments | Principal Amount | Value | ||||||
5.50%, 3/15/2035 | $ | 148,892 | $ | 172,999 | ||||
5.50%, 9/15/2035 | 200,417 | 234,935 | ||||||
5.50%, 3/20/2036 | 112,348 | 133,402 | ||||||
5.50%, 5/15/2036 | 153,710 | 180,181 | ||||||
5.50%, 8/15/2038 | 26,479 | 30,775 | ||||||
5.50%, 9/20/2038 | 69,878 | 82,953 | ||||||
5.00%, 10/15/2038 | 21,709 | 24,865 | ||||||
5.50%, 11/15/2038 | 81,121 | 95,118 | ||||||
5.00%, 12/15/2038 | 30,339 | 34,719 | ||||||
5.50%, 12/15/2038 | 76,402 | 89,581 | ||||||
6.00%, 12/20/2038 | 156,808 | 180,441 | ||||||
5.50%, 2/15/2039 | 58,666 | 68,788 | ||||||
5.50%, 2/20/2039 | 86,003 | 102,095 | ||||||
4.50%, 5/15/2039 | 91,237 | 102,121 | ||||||
5.50%, 5/15/2039 | 41,092 | 48,174 | ||||||
4.50%, 6/15/2039 | 10,073 | 11,200 | ||||||
5.00%, 6/15/2039 | 869,199 | 1,001,329 | ||||||
5.00%, 9/15/2039 | 64,204 | 73,406 | ||||||
5.50%, 9/15/2039 | 17,590 | 20,624 | ||||||
4.00%, 9/20/2039 | 29,733 | 33,059 | ||||||
4.50%, 10/15/2039 | 53,517 | 60,201 | ||||||
5.00%, 10/15/2039 | 261,719 | 300,846 | ||||||
5.00%, 11/15/2039 | 537,010 | 619,011 | ||||||
5.50%, 11/15/2039 | 38,159 | 44,742 | ||||||
4.50%, 12/15/2039 | 123,125 | 136,327 | ||||||
5.50%, 12/15/2039 | 47,599 | 55,810 | ||||||
5.00%, 1/20/2040 | 134,351 | 152,897 | ||||||
5.50%, 3/15/2040 | 193,787 | 227,220 | ||||||
4.50%, 4/15/2040 | 50,827 | 56,237 | ||||||
5.00%, 4/15/2040 | 84,776 | 97,784 | ||||||
4.50%, 6/15/2040 | 28,176 | 31,265 | ||||||
5.00%, 6/15/2040 | 30,719 | 34,740 | ||||||
4.50%, 7/15/2040 | 68,425 | 75,446 | ||||||
5.00%, 7/20/2040 | 150,545 | 172,387 | ||||||
4.00%, 8/15/2040 | 13,818 | 14,887 | ||||||
5.50%, 8/15/2040 | 15,529 | 18,213 | ||||||
4.00%, 10/15/2040 | 24,962 | 27,159 | ||||||
3.50%, 11/15/2040 | 31,679 | 34,074 | ||||||
4.00%, 11/15/2040 | 27,461 | 29,767 | ||||||
4.00%, 12/15/2040 | 333,396 | 372,744 | ||||||
4.00%, 12/20/2040 | 38,507 | 43,605 | ||||||
5.50%, 1/20/2041 | 30,415 | 36,134 | ||||||
5.50%, 2/15/2041 | 29,179 | 34,073 | ||||||
4.00%, 3/15/2041 | 4,068 | 4,429 | ||||||
4.50%, 3/15/2041 | 30,256 | 34,026 | ||||||
3.50%, 3/20/2041 | 82,349 | 88,110 | ||||||
4.50%, 6/15/2041 | 121,239 | 135,307 |
See Accompanying Notes to the Financial Statements.
344 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® Disciplined Duration MBS Index Fund (cont.)
Investments | Principal Amount | Value | ||||||
MORTGAGE-BACKED SECURITIES – (continued) | ||||||||
4.00%, 7/15/2041 | $ | 38,074 | $ | 41,021 | ||||
3.50%, 7/20/2041 | 32,533 | 34,896 | ||||||
4.00%, 8/15/2041 | 76,430 | 83,184 | ||||||
5.00%, 8/15/2041 | 661,975 | 761,415 | ||||||
3.50%, 9/15/2041 | 79,449 | 85,330 | ||||||
3.50%, 10/20/2041 | 73,259 | 79,549 | ||||||
3.50%, 11/20/2041 | 84,031 | 91,504 | ||||||
3.50%, 1/15/2042 | 17,509 | 18,676 | ||||||
4.00%, 1/20/2042 | 72,775 | 80,866 | ||||||
3.00%, 2/20/2042 | 146,914 | 156,429 | ||||||
4.00%, 2/20/2042 | 166,277 | 184,368 | ||||||
5.50%, 2/20/2042 | 23,302 | 27,671 | ||||||
4.50%, 3/15/2042 | 103,125 | 114,590 | ||||||
3.50%, 3/20/2042 | 29,760 | 32,311 | ||||||
5.00%, 3/20/2042 | 50,332 | 57,326 | ||||||
3.50%, 4/20/2042 | 100,833 | 109,478 | ||||||
3.00%, 5/15/2042 | 51,226 | 53,344 | ||||||
3.00%, 5/20/2042 | 149,093 | 158,921 | ||||||
3.50%, 5/20/2042 | 21,475 | 23,327 | ||||||
4.00%, 5/20/2042 | 211,488 | 234,242 | ||||||
3.50%, 6/15/2042 | 50,535 | 53,810 | ||||||
3.00%, 6/20/2042 | 39,951 | 42,641 | ||||||
5.00%, 7/20/2042 | 6,606 | 7,522 | ||||||
3.50%, 8/20/2042 | 33,567 | 36,462 | ||||||
3.00%, 9/15/2042 | 27,614 | 28,804 | ||||||
3.00%, 9/20/2042 | 50,519 | 53,938 | ||||||
3.00%, 10/20/2042 | 49,327 | 52,662 | ||||||
3.50%, 10/20/2042 | 69,678 | 75,161 | ||||||
3.00%, 11/20/2042 | 169,430 | 180,815 | ||||||
3.00%, 12/20/2042 | 111,910 | 120,030 | ||||||
3.50%, 12/20/2042 | 235,915 | 256,433 | ||||||
3.50%, 1/15/2043 | 64,219 | 70,797 | ||||||
3.00%, 2/20/2043 | 108,072 | 118,363 | ||||||
2.50%, 3/20/2043 | 71,135 | 75,298 | ||||||
3.00%, 3/20/2043 | 78,632 | 85,250 | ||||||
3.50%, 3/20/2043 | 21,834 | 23,251 | ||||||
3.00%, 4/15/2043 | 61,890 | 66,376 | ||||||
3.50%, 4/15/2043 | 59,297 | 62,765 | ||||||
3.00%, 4/20/2043 | 232,227 | 248,133 | ||||||
3.50%, 4/20/2043 | 84,843 | 93,490 | ||||||
3.00%, 5/15/2043 | 78,200 | 85,175 | ||||||
2.50%, 5/20/2043 | 103,482 | 109,511 | ||||||
3.50%, 6/15/2043 | 51,532 | 56,392 | ||||||
3.00%, 8/20/2043 | 32,632 | 34,683 | ||||||
3.50%, 8/20/2043 | 42,786 | 46,411 |
Investments | Principal Amount | Value | ||||||
3.00%, 9/20/2043 | $ | 94,818 | $ | 101,012 | ||||
3.00%, 10/20/2043 | 88,649 | 94,489 | ||||||
3.50%, 10/20/2043 | 51,863 | 56,254 | ||||||
5.00%, 12/20/2043 | 35,616 | 40,550 | ||||||
5.00%, 1/20/2044 | 4,493 | 5,091 | ||||||
3.50%, 3/20/2044 | 110,764 | 120,137 | ||||||
5.50%, 3/20/2044 | 111,914 | 132,839 | ||||||
3.00%, 4/20/2044 | 21,828 | 23,170 | ||||||
4.00%, 7/15/2044 | 25,058 | 26,975 | ||||||
3.50%, 8/20/2044 | 68,568 | 73,842 | ||||||
4.00%, 9/15/2044 | 10,852 | 11,551 | ||||||
3.50%, 9/20/2044 | 54,857 | 59,027 | ||||||
3.50%, 10/15/2044 | 48,455 | 51,670 | ||||||
3.50%, 10/20/2044 | 11,581 | 12,535 | ||||||
2.50%, 11/20/2044 | 81,536 | 86,272 | ||||||
4.00%, 12/15/2044 | 25,961 | 27,977 | ||||||
3.00%, 12/20/2044 | 34,356 | 36,500 | ||||||
3.50%, 12/20/2044 | 34,930 | 37,484 | ||||||
3.50%, 1/15/2045 | 66,826 | 72,525 | ||||||
3.00%, 1/20/2045 | 70,339 | 74,860 | ||||||
3.50%, 2/20/2045 | 46,323 | 49,668 | ||||||
3.00%, 3/20/2045 | 52,408 | 55,590 | ||||||
3.50%, 4/20/2045 | 23,441 | 25,858 | ||||||
3.50%, 5/15/2045 | 52,094 | 55,592 | ||||||
3.50%, 5/20/2045 | 109,637 | 117,126 | ||||||
5.00%, 6/20/2045 | 293,386 | 333,954 | ||||||
3.00%, 7/15/2045 | 148,547 | 154,251 | ||||||
4.00%, 8/15/2045 | 243,468 | 273,027 | ||||||
3.00%, 8/20/2045 | 201,542 | 213,007 | ||||||
5.50%, 11/15/2045 | 466,537 | 546,239 | ||||||
3.00%, 12/20/2045 | 86,102 | 90,718 | ||||||
3.50%, 12/20/2045 | 95,677 | 102,590 | ||||||
3.00%, 2/20/2046 | 125,798 | 132,644 | ||||||
3.50%, 2/20/2046 | 175,363 | 188,447 | ||||||
4.00%, 3/15/2046 | 43,272 | 46,408 | ||||||
4.00%, 3/20/2046 | 136,511 | 147,989 | ||||||
5.50%, 3/20/2046 | 995,320 | 1,159,404 | ||||||
3.50%, 4/20/2046 | 83,049 | 89,147 | ||||||
4.00%, 5/20/2046 | 60,747 | 65,748 | ||||||
5.00%, 5/20/2046 | 736,057 | 843,135 | ||||||
4.00%, 6/15/2046 | 271,818 | 296,505 | ||||||
4.50%, 6/15/2046 | 466,409 | 519,252 | ||||||
4.00%, 7/15/2046 | 74,559 | 80,314 | ||||||
3.00%, 9/20/2046 | 47,427 | 50,251 | ||||||
3.50%, 10/20/2046 | 128,701 | 140,366 | ||||||
3.00%, 12/15/2046 | 27,311 | 29,317 | ||||||
3.00%, 12/20/2046 | 24,568 | 25,933 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 345 |
Table of Contents
FlexShares® Disciplined Duration MBS Index Fund (cont.)
Investments | Principal Amount | Value | ||||||
MORTGAGE-BACKED SECURITIES – (continued) | ||||||||
4.00%, 3/15/2047 | $ | 1,303,707 | $ | 1,414,454 | ||||
4.50%, 4/15/2047 | 55,712 | 62,677 | ||||||
5.00%, 2/20/2048 | 35,362 | 38,737 | ||||||
5.00%, 4/20/2048 | 81,835 | 89,305 | ||||||
5.50%, 11/20/2048 | 80,379 | 88,191 | ||||||
5.50%, 7/20/2049 | 38,016 | 41,711 | ||||||
3.50%, 9/20/2049 | 109,610 | 115,721 | ||||||
5.00%, 9/20/2050 | 179,870 | 198,554 | ||||||
Total Mortgage-Backed Securities (Cost $97,207,814) |
| 99,462,691 | ||||||
Total Investments – 99.4% (Cost $97,207,814) |
| 99,462,691 | ||||||
Other assets less liabilities – 0.6% |
| 557,794 | ||||||
NET ASSETS – 100.0% |
| $ | 100,020,485 |
Percentages shown are based on Net Assets.
Abbreviations
FHLMC – Federal Home Loan Mortgage Corp.
FNMA – Federal National Mortgage Association
GNMA – Government National Mortgage Association
TBA – To Be Announced; Security is subject to delayed delivery.
UMBS – Uniform Mortgage-Backed Securities
As of October 31, 2020, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments (including derivative instruments, if applicable) for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 2,305,012 | ||
Aggregate gross unrealized depreciation | (50,589 | ) | ||
Net unrealized appreciation | $ | 2,254,423 | ||
Federal income tax cost | $ | 97,208,268 |
See Accompanying Notes to the Financial Statements.
346 | FLEXSHARES ANNUAL REPORT |
Table of Contents
Schedule of Investments
FlexShares® Credit-Scored US Corporate Bond Index Fund
October 31, 2020
Investments | Principal Amount | Value | ||||||
CORPORATE BONDS – 98.9% | ||||||||
Aerospace & Defense – 1.4% | ||||||||
Boeing Co. (The) | ||||||||
5.15%, 5/1/2030 | $ | 150,000 | $ | 166,078 | ||||
General Dynamics Corp. | ||||||||
3.75%, 5/15/2028 | 100,000 | 116,527 | ||||||
Hexcel Corp. | ||||||||
4.70%, 8/15/2025 | 250,000 | 276,878 | ||||||
Huntington Ingalls Industries, Inc. | ||||||||
3.48%, 12/1/2027 | 200,000 | 218,088 | ||||||
L3Harris Technologies, Inc. | ||||||||
3.85%, 12/15/2026 | 250,000 | 284,812 | ||||||
Lockheed Martin Corp. | ||||||||
3.55%, 1/15/2026 | 420,000 | 475,147 | ||||||
Northrop Grumman Corp. | ||||||||
2.93%, 1/15/2025 | 500,000 | 541,643 | ||||||
3.25%, 1/ 15/2028 | 500,000 | 559,073 | ||||||
Precision Castparts Corp. | ||||||||
3.25%, 6/15/2025 | 200,000 | 221,196 | ||||||
2,859,442 | ||||||||
Air Freight & Logistics – 0.1% | ||||||||
United Parcel Service, Inc. | ||||||||
3.40%, 3/15/2029 | 200,000 | 229,549 | ||||||
Airlines – 0.3% | ||||||||
Southwest Airlines Co. | ||||||||
3.00%, 11/15/2026 | 100,000 | 101,048 | ||||||
5.13%, 6/15/2027 | 500,000 | 556,766 | ||||||
657,814 | ||||||||
Auto Components – 0.2% | ||||||||
BorgWarner, Inc. | ||||||||
3.38%, 3/15/2025 | 100,000 | 109,151 | ||||||
Lear Corp. | ||||||||
3.80%, 9/15/2027 | 200,000 | 214,585 | ||||||
323,736 | ||||||||
Banks – 23.2% | ||||||||
Australia & New Zealand Banking Group Ltd. | ||||||||
2.63%, 11/9/2022 | 250,000 | 261,574 | ||||||
Banco Santander SA | ||||||||
5.18%, 11/19/2025 | 400,000 | 456,431 |
Investments | Principal Amount | Value | ||||||
Banks – (continued) | ||||||||
3.31%, 6/27/2029 | $ | 200,000 | $ | 218,505 | ||||
Bancolombia SA | ||||||||
3.00%, 1/29/2025 | 250,000 | 252,640 | ||||||
Bank of America Corp. | ||||||||
2.88%, 4/24/2023(a) | 315,000 | 325,419 | ||||||
3.00%, 12/20/2023(a) | 500,000 | 524,382 | ||||||
4.00%, 1/22/2025 | 495,000 | 550,674 | ||||||
2.01%, 2/13/2026(a) | 245,000 | 253,812 | ||||||
4.45%, 3/3/2026 | 250,000 | 287,832 | ||||||
3.50%, 4/19/2026 | 200,000 | 224,300 | ||||||
Series L, | 365,000 | 418,110 | ||||||
3.82%, 1/20/2028(a) | 500,000 | 565,056 | ||||||
3.71%, 4/24/2028(a) | 5,000 | 5,622 | ||||||
3.42%, 12/20/2028(a) | 250,000 | 277,907 | ||||||
4.27%, 7/23/2029(a) | 550,000 | 646,245 | ||||||
3.97%, 2/7/2030(a) | 300,000 | 346,517 | ||||||
Bank of Montreal | ||||||||
2.90%, 3/26/2022 | 200,000 | 207,207 | ||||||
4.34%, 10/5/2028(a) | 300,000 | 324,690 | ||||||
Bank of Nova Scotia (The) | ||||||||
3.40%, 2/11/2024 | 250,000 | 271,558 | ||||||
4.50%, 12/16/2025 | 350,000 | 404,263 | ||||||
Barclays plc | ||||||||
4.61%, 2/15/2023(a) | 250,000 | 261,907 | ||||||
4.38%, 9/11/2024 | 490,000 | 532,245 | ||||||
3.65%, 3/16/2025 | 200,000 | 217,052 | ||||||
4.84%, 5/9/2028 | 300,000 | 327,842 | ||||||
5.09%, 6/20/2030(a) | 250,000 | 284,963 | ||||||
BBVA USA | ||||||||
2.88%, 6/29/2022 | 300,000 | 310,494 | ||||||
3.88%, 4/10/2025 | 250,000 | 268,549 | ||||||
Canadian Imperial Bank of Commerce | ||||||||
2.25%, 1/28/2025 | 300,000 | 316,421 | ||||||
Capital One Bank USA NA | ||||||||
3.38%, 2/15/2023 | 1,000,000 | 1,059,760 | ||||||
Citigroup, Inc. | ||||||||
2.90%, 12/8/2021 | 750,000 | 769,239 | ||||||
4.50%, 1/14/2022 | 150,000 | 157,274 | ||||||
4.05%, 7/30/2022 | 100,000 | 106,001 | ||||||
3.35%, 4/24/2025(a) | 600,000 | 648,441 | ||||||
3.30%, 4/27/2025 | 200,000 | 220,882 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 347 |
Table of Contents
FlexShares® Credit-Scored US Corporate Bond Index Fund (cont.)
Investments | Principal Amount | Value | ||||||
CORPORATE BONDS – (continued) | ||||||||
Banks – (continued) | ||||||||
4.40%, 6/10/2025 | $ | 325,000 | $ | 367,981 | ||||
3.40%, 5/1/2026 | 300,000 | 333,761 | ||||||
3.20%, 10/21/2026 | 350,000 | 385,234 | ||||||
4.45%, 9/29/2027 | 200,000 | 230,896 | ||||||
3.67%, 7/24/2028(a) | 255,000 | 285,817 | ||||||
2.98%, 11/5/2030(a) | 500,000 | 537,991 | ||||||
4.41%, 3/31/2031(a) | 136,000 | 161,670 | ||||||
2.57%, 6/3/2031(a) | 500,000 | 521,710 | ||||||
Citizens Bank NA | ||||||||
3.70%, 3/29/2023 | 300,000 | 321,983 | ||||||
Citizens Financial Group, Inc. | ||||||||
3.25%, 4/30/2030 | 200,000 | 218,575 | ||||||
Comerica, Inc. | ||||||||
3.70%, 7/31/2023 | 250,000 | 270,042 | ||||||
Cooperatieve Rabobank UA | ||||||||
3.75%, 7/21/2026 | 250,000 | 280,150 | ||||||
Credit Suisse Group Funding Guernsey Ltd. | ||||||||
3.80%, 9/15/2022 | 250,000 | 264,448 | ||||||
3.75%, 3/26/2025 | 650,000 | 720,084 | ||||||
4.55%, 4/17/2026 | 250,000 | 291,139 | ||||||
Discover Bank | ||||||||
3.35%, 2/6/2023 | 300,000 | 317,397 | ||||||
4.20%, 8/8/2023 | 400,000 | 438,597 | ||||||
4.65%, 9/13/2028 | 250,000 | 293,291 | ||||||
Fifth Third Bancorp | ||||||||
4.30%, 1/16/2024 | 250,000 | 275,133 | ||||||
Fifth Third Bank NA | ||||||||
3.85%, 3/15/2026 | 400,000 | 452,732 | ||||||
First Horizon National Corp. | ||||||||
3.55%, 5/26/2023 | 250,000 | 263,393 | ||||||
HSBC Holdings plc | ||||||||
4.00%, 3/30/2022 | 510,000 | 535,822 | ||||||
3.80%, 3/11/2025(a) | 250,000 | 270,813 | ||||||
4.25%, 8/18/2025 | 540,000 | 598,696 | ||||||
3.90%, 5/25/2026 | 200,000 | 223,886 | ||||||
4.29%, 9/12/2026(a) | 250,000 | 280,596 | ||||||
4.04%, 3/13/2028(a) | 500,000 | 558,782 | ||||||
3.97%, 5/22/2030(a) | 300,000 | 336,716 | ||||||
Huntington Bancshares, Inc. | ||||||||
4.00%, 5/15/2025 | 200,000 | 226,619 | ||||||
ING Groep NV | ||||||||
3.55%, 4/9/2024 | 200,000 | 217,988 |
Investments | Principal Amount | Value | ||||||
Banks – (continued) | ||||||||
4.55%, 10/2/2028 | $ | 350,000 | $ | 420,736 | ||||
JPMorgan Chase & Co. | ||||||||
3.21%, 4/1/2023(a) | 250,000 | 259,805 | ||||||
3.38%, 5/1/2023 | 520,000 | 555,496 | ||||||
3.56%, 4/23/2024(a) | 300,000 | 321,414 | ||||||
3.88%, 9/10/2024 | 302,000 | 334,905 | ||||||
3.90%, 7/15/2025 | 250,000 | 282,920 | ||||||
2.95%, 10/1/2026 | 450,000 | 496,246 | ||||||
4.13%, 12/15/2026 | 149,000 | 172,896 | ||||||
3.78%, 2/1/2028(a) | 425,000 | 483,267 | ||||||
4.01%, 4/23/2029(a) | 130,000 | 150,993 | ||||||
4.20%, 7/23/2029(a) | 450,000 | 530,098 | ||||||
2.74%, 10/15/2030(a) | 200,000 | 214,157 | ||||||
4.49%, 3/24/2031(a) | 200,000 | 242,310 | ||||||
KeyBank NA | ||||||||
2.40%, 6/9/2022 | 250,000 | 258,090 | ||||||
KeyCorp | ||||||||
4.10%, 4/30/2028 | 200,000 | 233,650 | ||||||
Lloyds Banking Group plc | ||||||||
4.05%, 8/16/2023 | 300,000 | 325,874 | ||||||
2.91%, 11/7/2023(a) | 300,000 | 312,167 | ||||||
4.38%, 3/22/2028 | 200,000 | 232,161 | ||||||
3.57%, 11/7/2028(a) | 200,000 | 219,831 | ||||||
Mitsubishi UFJ Financial Group, Inc. | ||||||||
2.67%, 7/25/2022 | 850,000 | 882,276 | ||||||
3.76%, 7/26/2023 | 50,000 | 54,183 | ||||||
3.41%, 3/7/2024 | 50,000 | 54,152 | ||||||
2.19%, 2/25/2025 | 200,000 | 209,795 | ||||||
3.68%, 2/22/2027 | 350,000 | 394,518 | ||||||
3.29%, 7/25/2027 | 750,000 | 831,324 | ||||||
3.74%, 3/7/2029 | 200,000 | 230,085 | ||||||
Mizuho Financial Group, Inc. | ||||||||
2.95%, 2/28/2022 | 475,000 | 490,794 | ||||||
3.55%, 3/5/2023 | 450,000 | 480,402 | ||||||
4.02%, 3/5/2028 | 590,000 | 680,708 | ||||||
3.15%, 7/16/2030(a) | 200,000 | 217,845 | ||||||
National Australia Bank Ltd. | ||||||||
2.80%, 1/10/2022 | 250,000 | 257,433 | ||||||
3.63%, 6/20/2023 | 250,000 | 270,813 | ||||||
PNC Bank NA | ||||||||
3.50%, 6/8/2023 | 250,000 | 269,161 | ||||||
3.25%, 1/22/2028 | 250,000 | 279,768 | ||||||
PNC Financial Services Group, Inc. (The) | ||||||||
3.30%, 3/8/2022 | 380,000 | 394,194 |
See Accompanying Notes to the Financial Statements.
348 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® Credit-Scored US Corporate Bond Index Fund (cont.)
Investments | Principal Amount | Value | ||||||
CORPORATE BONDS – (continued) | ||||||||
Banks – (continued) | ||||||||
3.90%, 4/29/2024 | $ | 50,000 | $ | 55,122 | ||||
3.15%, 5/19/2027 | 80,000 | 89,277 | ||||||
Royal Bank of Canada | ||||||||
2.75%, 2/1/2022 | 200,000 | 205,922 | ||||||
1.95%, 1/17/2023 | 350,000 | 361,822 | ||||||
4.65%, 1/27/2026 | 250,000 | 293,902 | ||||||
Santander Holdings USA, Inc. | ||||||||
4.50%, 7/17/2025 | 440,000 | 488,515 | ||||||
Santander UK Group Holdings plc | ||||||||
3.82%, 11/3/2028(a) | 200,000 | 221,397 | ||||||
Sumitomo Mitsui Financial Group, Inc. | ||||||||
3.10%, 1/17/2023 | 450,000 | 475,283 | ||||||
2.70%, 7/16/2024 | 500,000 | 532,233 | ||||||
2.35%, 1/15/2025 | 250,000 | 264,062 | ||||||
3.78%, 3/9/2026 | 250,000 | 284,088 | ||||||
2.63%, 7/14/2026 | 600,000 | 645,172 | ||||||
3.36%, 7/12/2027 | 450,000 | 499,116 | ||||||
2.75%, 1/15/2030 | 200,000 | 213,423 | ||||||
Toronto-Dominion Bank (The) | ||||||||
3.25%, 3/11/2024 | 450,000 | 488,359 | ||||||
Truist Bank | ||||||||
2.80%, 5/17/2022 | 250,000 | 259,143 | ||||||
3.30%, 5/15/2026 | 200,000 | 222,947 | ||||||
Truist Financial Corp. | ||||||||
3.05%, 6/20/2022 | 200,000 | 208,305 | ||||||
2.85%, 10/26/2024 | 150,000 | 162,184 | ||||||
4.00%, 5/1/2025 | 210,000 | 238,326 | ||||||
US Bancorp | ||||||||
3.38%, 2/5/2024 | 200,000 | 217,266 | ||||||
3.95%, 11/17/2025 | 200,000 | 230,046 | ||||||
3.00%, 7/30/2029 | 200,000 | 221,086 | ||||||
Wells Fargo & Co. | ||||||||
3.50%, 3/8/2022 | 500,000 | 520,705 | ||||||
2.63%, 7/22/2022 | 500,000 | 518,059 | ||||||
3.07%, 1/24/2023 | 250,000 | 257,604 | ||||||
4.48%, 1/16/2024 | 325,000 | 360,100 | ||||||
3.55%, 9/29/2025 | 450,000 | 501,219 | ||||||
4.10%, 6/3/2026 | 500,000 | 565,991 | ||||||
3.58%, 5/22/2028(a) | 250,000 | 277,706 | ||||||
2.88%, 10/30/2030(a) | 450,000 | 479,318 | ||||||
2.57%, 2/11/2031(a) | 200,000 | 208,448 | ||||||
4.48%, 4/4/2031(a) | 200,000 | 240,293 |
Investments | Principal Amount | Value | ||||||
Banks – (continued) | ||||||||
Westpac Banking Corp. | ||||||||
2.75%, 1/11/2023 | $ | 600,000 | $ | 630,894 | ||||
3.40%, 1/25/2028 | 400,000 | 457,258 | ||||||
2.65%, 1/16/2030 | 125,000 | 137,376 | ||||||
46,862,190 | ||||||||
Beverages – 0.6% | ||||||||
Anheuser-Busch InBev Worldwide, Inc. | ||||||||
3.50%, 6/1/2030 | 200,000 | 226,796 | ||||||
Coca-Cola Co. (The) | ||||||||
3.45%, 3/25/2030 | 200,000 | 235,031 | ||||||
Diageo Capital plc | ||||||||
2.38%, 10/24/2029 | 200,000 | 213,130 | ||||||
Keurig Dr Pepper, Inc. | ||||||||
4.60%, 5/25/2028 | 200,000 | 239,703 | ||||||
PepsiCo, Inc. | ||||||||
2.38%, 10/6/2026 | 300,000 | 324,669 | ||||||
1,239,329 | ||||||||
Biotechnology – 2.1% | ||||||||
AbbVie, Inc. | ||||||||
2.60%, 11/21/2024(b) | 1,000,000 | 1,064,149 | ||||||
3.60%, 5/14/2025 | 952,000 | 1,054,266 | ||||||
3.20%, 5/14/2026 | 100,000 | 110,525 | ||||||
2.95%, 11/21/2026(b) | 500,000 | 546,484 | ||||||
4.25%, 11/14/2028 | 400,000 | 472,709 | ||||||
Amgen, Inc. | ||||||||
2.20%, 2/21/2027 | 300,000 | 315,615 | ||||||
2.45%, 2/21/2030 | 300,000 | 316,722 | ||||||
Biogen, Inc. | ||||||||
4.05%, 9/15/2025 | 300,000 | 340,987 | ||||||
4,221,457 | ||||||||
Building Products – 0.7% | ||||||||
Carrier Global Corp. | ||||||||
2.24%, 2/15/2025(b) | 501,000 | 523,010 | ||||||
Johnson Controls International plc | ||||||||
3.62%, 7/2/2024(c) | 200,000 | 217,152 | ||||||
Lennox International, Inc. | ||||||||
1.35%, 8/1/2025 | 200,000 | 202,444 | ||||||
Masco Corp. | ||||||||
4.45%, 4/1/2025 | 200,000 | 229,222 | ||||||
4.38%, 4/1/2026 | 200,000 | 233,075 | ||||||
1,404,903 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 349 |
Table of Contents
FlexShares® Credit-Scored US Corporate Bond Index Fund (cont.)
Investments | Principal Amount | Value | ||||||
CORPORATE BONDS – (continued) | ||||||||
Capital Markets – 6.7% | ||||||||
Ares Capital Corp. | ||||||||
3.88%, 1/15/2026 | $ | 1,000,000 | $ | 1,026,122 | ||||
Bank of New York Mellon Corp. (The) | ||||||||
Series 0012, 3.65%, 2/4/2024 | 300,000 | 328,243 | ||||||
2.45%, 8/17/2026 | 300,000 | 326,578 | ||||||
3.00%, 10/30/2028 | 143,000 | 158,305 | ||||||
BGC Partners, Inc. | ||||||||
3.75%, 10/1/2024 | 200,000 | 202,696 | ||||||
BlackRock, Inc. | ||||||||
3.20%, 3/15/2027 | 200,000 | 227,216 | ||||||
Brookfield Finance, Inc. | ||||||||
4.85%, 3/29/2029 | 200,000 | 239,311 | ||||||
Cboe Global Markets, Inc. | ||||||||
3.65%, 1/12/2027 | 200,000 | 226,497 | ||||||
Charles Schwab Corp. (The) | ||||||||
3.20%, 1/25/2028 | 100,000 | 111,759 | ||||||
4.00%, 2/1/2029 | 400,000 | 474,171 | ||||||
CME Group, Inc. | ||||||||
3.00%, 3/15/2025 | 275,000 | 301,291 | ||||||
Deutsche Bank AG | ||||||||
3.70%, 5/30/2024 | 295,000 | 313,001 | ||||||
4.10%, 1/13/2026 | 100,000 | 108,009 | ||||||
E*TRADE Financial Corp. | ||||||||
2.95%, 8/24/2022 | 200,000 | 208,382 | ||||||
Goldman Sachs Group, Inc. (The) | ||||||||
3.00%, 4/26/2022 | 500,000 | 506,197 | ||||||
3.63%, 1/22/2023 | 600,000 | 640,366 | ||||||
4.00%, 3/3/2024 | 500,000 | 551,181 | ||||||
3.85%, 7/8/2024 | 500,000 | 548,257 | ||||||
3.50%, 1/23/2025 | 465,000 | 508,878 | ||||||
4.25%, 10/21/2025 | 500,000 | 568,622 | ||||||
3.69%, 6/5/2028(a) | 250,000 | 282,057 | ||||||
2.60%, 2/7/2030 | 200,000 | 211,425 | ||||||
3.80%, 3/15/2030 | 500,000 | 577,435 | ||||||
Jefferies Group LLC | ||||||||
4.15%, 1/23/2030 | 200,000 | 228,288 | ||||||
Lazard Group LLC | ||||||||
3.75%, 2/13/2025 | 250,000 | 271,645 | ||||||
Legg Mason, Inc. | ||||||||
4.75%, 3/15/2026 | 200,000 | 237,278 |
Investments | Principal Amount | Value | ||||||
Capital Markets – (continued) | ||||||||
Moody’s Corp. | ||||||||
2.63%, 1/15/2023 | $ | 200,000 | $ | 209,264 | ||||
Morgan Stanley | ||||||||
2.63%, 11/17/2021 | 400,000 | 409,561 | ||||||
3.75%, 2/25/2023 | 800,000 | 859,035 | ||||||
3.88%, 1/27/2026 | 200,000 | 227,489 | ||||||
3.13%, 7/27/2026 | 107,000 | 118,155 | ||||||
4.35%, 9/8/2026 | 650,000 | 755,846 | ||||||
3.95%, 4/23/2027 | 100,000 | 113,025 | ||||||
2.70%, 1/22/2031(a) | 100,000 | 106,708 | ||||||
Nomura Holdings, Inc. | ||||||||
2.68%, 7/16/2030 | 250,000 | 255,845 | ||||||
S&P Global, Inc. | ||||||||
2.95%, 1/22/2027 | 200,000 | 220,706 | ||||||
State Street Corp. | ||||||||
3.10%, 5/15/2023 | 200,000 | 213,405 | ||||||
3.55%, 8/18/2025 | 300,000 | 339,546 | ||||||
2.40%, 1/24/2030 | 100,000 | 108,896 | ||||||
TD Ameritrade Holding Corp. | ||||||||
3.75%, 4/1/2024 | 300,000 | 330,564 | ||||||
13,651,255 | ||||||||
Chemicals – 1.2% | ||||||||
Air Products and Chemicals, Inc. | ||||||||
3.35%, 7/31/2024 | 121,000 | 132,413 | ||||||
Celanese US Holdings LLC | ||||||||
3.50%, 5/8/2024 | 200,000 | 215,308 | ||||||
Ecolab, Inc. | ||||||||
2.70%, 11/1/2026 | 200,000 | 222,393 | ||||||
4.80%, 3/24/2030 | 150,000 | 190,580 | ||||||
FMC Corp. | ||||||||
3.20%, 10/1/2026 | 200,000 | 220,927 | ||||||
Linde, Inc. | ||||||||
3.20%, 1/30/2026 | 200,000 | 223,203 | ||||||
LYB International Finance II BV | ||||||||
3.50%, 3/2/2027 | 200,000 | 220,253 | ||||||
PPG Industries, Inc. | ||||||||
2.40%, 8/15/2024 | 200,000 | 212,054 | ||||||
RPM International, Inc. | ||||||||
3.75%, 3/15/2027 | 100,000 | 109,847 | ||||||
Sherwin-Williams Co. (The) | ||||||||
2.75%, 6/1/2022 | 156,000 | 161,142 | ||||||
3.45%, 6/1/2027 | 400,000 | 449,233 | ||||||
2.95%, 8/15/2029 | 100,000 | 109,713 | ||||||
2,467,066 |
See Accompanying Notes to the Financial Statements.
350 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® Credit-Scored US Corporate Bond Index Fund (cont.)
Investments | Principal Amount | Value | ||||||
CORPORATE BONDS – (continued) | ||||||||
Commercial Services & Supplies – 0.6% | ||||||||
Cintas Corp. No. 2 | ||||||||
2.90%, 4/1/2022 | $ | 97,000 | $ | 100,386 | ||||
3.25%, 6/1/2022 | 250,000 | 259,463 | ||||||
3.70%, 4/1/2027 | 50,000 | 57,139 | ||||||
RELX Capital, Inc. | ||||||||
3.00%, 5/22/2030 | 200,000 | 216,297 | ||||||
Republic Services, Inc. | ||||||||
2.50%, 8/15/2024 | 67,000 | 71,215 | ||||||
3.95%, 5/15/2028 | 100,000 | 116,439 | ||||||
Waste Management, Inc. | ||||||||
3.15%, 11/15/2027 | 350,000 | 393,847 | ||||||
1,214,786 | ||||||||
Communications Equipment – 0.5% | ||||||||
Cisco Systems, Inc. | ||||||||
2.20%, 9/20/2023 | 300,000 | 315,321 | ||||||
2.95%, 2/28/2026 | 100,000 | 111,382 | ||||||
Juniper Networks, Inc. | ||||||||
4.50%, 3/15/2024 | 89,000 | 99,119 | ||||||
Motorola Solutions, Inc. | ||||||||
4.60%, 2/23/2028 | 100,000 | 116,764 | ||||||
4.60%, 5/23/2029 | 300,000 | 352,928 | ||||||
995,514 | ||||||||
Construction Materials – 0.3% | ||||||||
Martin Marietta Materials, Inc. | ||||||||
3.50%, 12/15/2027 | 250,000 | 280,047 | ||||||
Vulcan Materials Co. | ||||||||
4.50%, 4/1/2025 | 200,000 | 228,458 | ||||||
508,505 | ||||||||
Consumer Finance – 4.3% | ||||||||
AerCap Ireland Capital DAC | ||||||||
3.95%, 2/1/2022 | 200,000 | 203,414 | ||||||
3.50%, 5/26/2022 | 200,000 | 203,145 | ||||||
4.50%, 9/15/2023 | 500,000 | 519,592 | ||||||
4.88%, 1/16/2024 | 300,000 | 314,007 | ||||||
3.88%, 1/23/2028 | 350,000 | 330,908 | ||||||
Ally Financial, Inc. | ||||||||
3.05%, 6/5/2023 | 400,000 | 418,456 | ||||||
3.88%, 5/21/2024 | 600,000 | 645,795 | ||||||
American Express Co. | ||||||||
2.50%, 8/1/2022 | 200,000 | 207,040 | ||||||
3.00%, 10/30/2024 | 690,000 | 747,179 |
Investments | Principal Amount | Value | ||||||
Consumer Finance – (continued) | ||||||||
Capital One Financial Corp. | ||||||||
3.50%, 6/15/2023 | $ | 820,000 | $ | 877,717 | ||||
3.90%, 1/29/2024 | 50,000 | 54,569 | ||||||
3.30%, 10/30/2024 | 200,000 | 217,056 | ||||||
3.20%, 2/5/2025 | 850,000 | 918,433 | ||||||
4.20%, 10/29/2025 | 110,000 | 122,458 | ||||||
3.75%, 7/28/2026 | 300,000 | 329,644 | ||||||
3.75%, 3/9/2027 | 150,000 | 167,852 | ||||||
Discover Financial Services | ||||||||
4.10%, 2/9/2027 | 400,000 | 448,660 | ||||||
General Motors Financial Co., Inc. | ||||||||
5.25%, 3/1/2026 | 500,000 | 571,115 | ||||||
4.35%, 1/17/2027 | 400,000 | 438,952 | ||||||
Synchrony Financial | ||||||||
4.25%, 8/15/2024 | 426,000 | 466,327 | ||||||
4.50%, 7/23/2025 | 200,000 | 222,424 | ||||||
3.70%, 8/4/2026 | 85,000 | 91,789 | ||||||
5.15%, 3/19/2029 | 200,000 | 235,526 | ||||||
8,752,058 | ||||||||
Containers & Packaging – 0.3% | ||||||||
Amcor Finance USA, Inc. | ||||||||
4.50%, 5/15/2028 | 300,000 | 354,093 | ||||||
Avery Dennison Corp. | ||||||||
3.35%, 4/15/2023 | 50,000 | 52,346 | ||||||
Packaging Corp. of America | ||||||||
4.50%, 11/1/2023 | 200,000 | 220,745 | ||||||
627,184 | ||||||||
Diversified Financial Services – 0.6% | ||||||||
Berkshire Hathaway, Inc. | ||||||||
3.13%, 3/15/2026 | 130,000 | 145,199 | ||||||
Blackstone | ||||||||
3.65%, 7/14/2023(b) | 150,000 | 151,525 | ||||||
GE Capital Funding LLC | ||||||||
4.40%, 5/15/2030(b) | 200,000 | 218,861 | ||||||
National Rural Utilities Cooperative Finance Corp. | ||||||||
2.40%, 3/15/2030 | 200,000 | 216,500 | ||||||
Synchrony Bank | ||||||||
3.00%, 6/15/2022 | 250,000 | 258,329 | ||||||
Voya Financial, Inc. | ||||||||
5.65%, 5/15/2053(a) | 200,000 | 206,601 | ||||||
1,197,015 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 351 |
Table of Contents
FlexShares® Credit-Scored US Corporate Bond Index Fund (cont.)
Investments | Principal Amount | Value | ||||||
CORPORATE BONDS – (continued) | ||||||||
Diversified Telecommunication Services – 1.7% | ||||||||
AT&T, Inc. | ||||||||
3.40%, 5/15/2025 | $ | 550,000 | $ | 606,554 | ||||
4.30%, 2/15/2030 | 45,000 | 52,542 | ||||||
2.75%, 6/1/2031 | 140,000 | 145,575 | ||||||
Deutsche Telekom International Finance BV | ||||||||
8.75%, 6/15/2030(c) | 200,000 | 310,870 | ||||||
Verizon Communications, Inc. | ||||||||
2.63%, 8/15/2026 | 80,000 | 87,019 | ||||||
4.13%, 3/16/2027 | 700,000 | 822,447 | ||||||
4.33%, 9/21/2028 | 1,000,000 | 1,201,185 | ||||||
1.68%, 10/30/2030(b) | 313,000 | 309,952 | ||||||
3,536,144 | ||||||||
Electric Utilities – 4.2% | ||||||||
American Electric Power Co., Inc. | ||||||||
Series J, | 45,000 | 53,131 | ||||||
Appalachian Power Co. | ||||||||
Series X, 3.30%, 6/1/2027 | 96,000 | 105,513 | ||||||
Avangrid, Inc. | ||||||||
3.15%, 12/1/2024 | 100,000 | 108,968 | ||||||
3.20%, 4/15/2025 | 250,000 | 274,791 | ||||||
Duke Energy Corp. | ||||||||
3.15%, 8/15/2027 | 200,000 | 219,694 | ||||||
Edison International | ||||||||
4.95%, 4/15/2025 | 500,000 | 553,860 | ||||||
5.75%, 6/15/2027 | 200,000 | 227,372 | ||||||
Emera US Finance LP | ||||||||
3.55%, 6/15/2026 | 150,000 | 166,501 | ||||||
Enel Chile SA | ||||||||
4.88%, 6/12/2028 | 250,000 | 292,344 | ||||||
Eversource Energy | ||||||||
Series L, | 300,000 | 323,623 | ||||||
Series M, | 100,000 | 110,972 | ||||||
FirstEnergy Corp. | ||||||||
Series B, | 500,000 | 534,784 | ||||||
Fortis, Inc. | ||||||||
3.06%, 10/4/2026 | 200,000 | 218,662 |
Investments | Principal Amount | Value | ||||||
Electric Utilities – (continued) | ||||||||
Interstate Power and Light Co. | ||||||||
3.25%, 12/1/2024 | $ | 200,000 | $ | 218,832 | ||||
ITC Holdings Corp. | ||||||||
2.70%, 11/15/2022 | 200,000 | 208,666 | ||||||
3.35%, 11/15/2027 | 200,000 | 221,149 | ||||||
MidAmerican Energy Co. | ||||||||
3.70%, 9/15/2023 | 172,000 | 186,874 | ||||||
3.65%, 4/15/2029 | 100,000 | 117,610 | ||||||
NextEra Energy Capital Holdings, Inc. | ||||||||
2.80%, 1/15/2023 | 250,000 | 262,069 | ||||||
2.75%, 5/1/2025 | 750,000 | 808,863 | ||||||
3.55%, 5/1/2027 | 500,000 | 562,333 | ||||||
3.50%, 4/1/2029 | 300,000 | 339,255 | ||||||
NSTAR Electric Co. | ||||||||
3.20%, 5/15/2027 | 300,000 | 334,096 | ||||||
Pacific Gas and Electric Co. | ||||||||
3.45%, 7/1/2025 | 400,000 | 417,152 | ||||||
4.55%, 7/1/2030 | 100,000 | 107,969 | ||||||
Pinnacle West Capital Corp. | ||||||||
1.30%, 6/15/2025 | 150,000 | 152,512 | ||||||
PPL Capital Funding, Inc. | ||||||||
4.20%, 6/15/2022 | 50,000 | 52,535 | ||||||
Sierra Pacific Power Co. | ||||||||
2.60%, 5/1/2026 | 209,000 | 226,842 | ||||||
Southern Co. (The) | ||||||||
3.25%, 7/1/2026 | 384,000 | 428,335 | ||||||
Series A, | 250,000 | 284,184 | ||||||
Southwestern Electric Power Co. | ||||||||
Series M, | 200,000 | 232,769 | ||||||
Union Electric Co. | ||||||||
2.95%, 6/15/2027 | 100,000 | 110,071 | ||||||
Virginia Electric and Power Co. | ||||||||
Series A, | 100,000 | 113,633 | ||||||
8,575,964 | ||||||||
Electrical Equipment – 0.7% | ||||||||
ABB Finance USA, Inc. | ||||||||
3.38%, 4/3/2023 | 250,000 | 267,432 | ||||||
Eaton Corp. | ||||||||
2.75%, 11/2/2022 | 450,000 | 471,049 |
See Accompanying Notes to the Financial Statements.
352 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® Credit-Scored US Corporate Bond Index Fund (cont.)
Investments | Principal Amount | Value | ||||||
CORPORATE BONDS – (continued) | ||||||||
Electrical Equipment – (continued) | ||||||||
Emerson Electric Co. | ||||||||
0.88%, 10/15/2026 | $ | 200,000 | $ | 198,194 | ||||
Hubbell, Inc. | ||||||||
3.35%, 3/1/2026 | 200,000 | 216,035 | ||||||
Rockwell Automation, Inc. | ||||||||
2.88%, 3/1/2025 | 250,000 | 271,818 | ||||||
1,424,528 | ||||||||
Electronic Equipment, Instruments & Components – 0.8% | ||||||||
Allegion US Holding Co., Inc. | ||||||||
3.20%, 10/1/2024 | 200,000 | 214,208 | ||||||
Amphenol Corp. | ||||||||
2.05%, 3/1/2025 | 200,000 | 209,526 | ||||||
Arrow Electronics, Inc. | ||||||||
4.00%, 4/1/2025 | 400,000 | 437,362 | ||||||
Keysight Technologies, Inc. | ||||||||
4.60%, 4/6/2027 | 200,000 | 233,219 | ||||||
Trimble, Inc. | ||||||||
4.90%, 6/15/2028 | 250,000 | 293,496 | ||||||
Tyco Electronics Group SA | ||||||||
3.70%, 2/15/2026 | 200,000 | 226,515 | ||||||
1,614,326 | ||||||||
Energy Equipment & Services – 0.1% | ||||||||
Baker Hughes a GE Co. LLC | ||||||||
3.34%, 12/15/2027 | 10,000 | 10,727 | ||||||
Helmerich & Payne, Inc. | ||||||||
4.65%, 3/15/2025 | 200,000 | 219,684 | ||||||
230,411 | ||||||||
Entertainment – 0.4% | ||||||||
Activision Blizzard, Inc. | ||||||||
3.40%, 9/15/2026 | 300,000 | 339,412 | ||||||
Electronic Arts, Inc. | ||||||||
4.80%, 3/1/2026 | 100,000 | 118,603 | ||||||
Walt Disney Co. (The) | ||||||||
1.75%, 8/30/2024 | 300,000 | 311,566 | ||||||
769,581 | ||||||||
Equity Real Estate Investment Trusts (REITs) – 4.6% | ||||||||
Alexandria Real Estate Equities, Inc. | ||||||||
3.45%, 4/30/2025 | 200,000 | 221,437 | ||||||
2.75%, 12/15/2029 | 100,000 | 107,602 |
Investments | Principal Amount | Value | ||||||
Equity Real Estate Investment Trusts (REITs) – (continued) | ||||||||
American Tower Corp. | ||||||||
3.80%, 8/15/2029 | $ | 193,000 | $ | 220,027 | ||||
AvalonBay Communities, Inc. | ||||||||
3.45%, 6/1/2025 | 200,000 | 222,752 | ||||||
3.50%, 11/15/2025 | 150,000 | 168,610 | ||||||
Boston Properties LP | ||||||||
3.65%, 2/1/2026 | 255,000 | 284,779 | ||||||
4.50%, 12/1/2028 | 100,000 | 117,251 | ||||||
Brandywine Operating Partnership LP | ||||||||
4.10%, 10/1/2024 | 250,000 | 262,720 | ||||||
Brixmor Operating Partnership LP | ||||||||
4.13%, 5/15/2029 | 300,000 | 325,983 | ||||||
Camden Property Trust | ||||||||
2.80%, 5/15/2030 | 150,000 | 162,203 | ||||||
CubeSmart LP | ||||||||
4.00%, 11/15/2025 | 250,000 | 279,719 | ||||||
CyrusOne LP | ||||||||
2.90%, 11/15/2024 | 200,000 | 212,579 | ||||||
Duke Realty LP | ||||||||
3.25%, 6/30/2026 | 250,000 | 276,755 | ||||||
EPR Properties | ||||||||
4.75%, 12/15/2026 | 250,000 | 227,131 | ||||||
Equinix, Inc. | ||||||||
5.38%, 5/15/2027 | 250,000 | 272,642 | ||||||
ERP Operating LP | ||||||||
4.63%, 12/15/2021 | 200,000 | 207,168 | ||||||
3.25%, 8/1/2027 | 45,000 | 49,740 | ||||||
Essex Portfolio LP | ||||||||
3.88%, 5/1/2024 | 200,000 | 218,222 | ||||||
GLP Capital LP | ||||||||
5.38%, 11/1/2023 | 55,000 | 59,030 | ||||||
5.38%, 4/15/2026 | 300,000 | 333,754 | ||||||
Healthpeak Properties, Inc. | ||||||||
3.00%, 1/15/2030 | 200,000 | 215,144 | ||||||
Highwoods Realty LP | ||||||||
4.20%, 4/15/2029 | 100,000 | 111,526 | ||||||
Host Hotels & Resorts LP | ||||||||
Series E, | 250,000 | 260,626 | ||||||
Hudson Pacific Properties LP | ||||||||
3.25%, 1/15/2030 | 100,000 | 102,667 | ||||||
Kilroy Realty LP | ||||||||
4.38%, 10/1/2025 | 200,000 | 221,508 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 353 |
Table of Contents
FlexShares® Credit-Scored US Corporate Bond Index Fund (cont.)
Investments | Principal Amount | Value | ||||||
CORPORATE BONDS – (continued) | ||||||||
Equity Real Estate Investment Trusts (REITs) – (continued) | ||||||||
Kite Realty Group LP | ||||||||
4.00%, 10/1/2026 | $ | 100,000 | $ | 98,213 | ||||
LifeStorage LP | ||||||||
3.50%, 7/1/2026 | 200,000 | 224,930 | ||||||
Mid-America Apartments LP | ||||||||
3.95%, 3/15/2029 | 50,000 | 57,508 | ||||||
National Retail Properties, Inc. | ||||||||
3.90%, 6/15/2024 | 250,000 | 270,109 | ||||||
Omega Healthcare Investors, Inc. | ||||||||
4.38%, 8/1/2023 | 250,000 | 267,812 | ||||||
4.50%, 4/1/2027 | 150,000 | 162,741 | ||||||
3.63%, 10/1/2029 | 150,000 | 151,536 | ||||||
Public Storage | ||||||||
3.09%, 9/15/2027 | 200,000 | 222,681 | ||||||
Realty Income Corp. | ||||||||
4.13%, 10/15/2026 | 300,000 | 349,347 | ||||||
Simon Property Group LP | ||||||||
3.38%, 10/1/2024 | 600,000 | 647,208 | ||||||
Spirit Realty LP | ||||||||
4.45%, 9/15/2026 | 200,000 | 216,768 | ||||||
UDR, Inc. | ||||||||
3.50%, 7/1/2027 | 200,000 | 220,053 | ||||||
Ventas Realty LP | ||||||||
3.50%, 2/1/2025 | 50,000 | 54,488 | ||||||
4.00%, 3/1/2028 | 150,000 | 165,720 | ||||||
VEREIT Operating Partnership LP | ||||||||
4.63%, 11/1/2025 | 200,000 | 222,169 | ||||||
Welltower, Inc. | ||||||||
4.25%, 4/1/2026 | 550,000 | 632,169 | ||||||
WP Carey, Inc. | ||||||||
4.00%, 2/1/2025 | 150,000 | 165,044 | ||||||
9,270,071 | ||||||||
Food & Staples Retailing – 0.7% | ||||||||
Costco Wholesale Corp. | ||||||||
2.75%, 5/18/2024 | 300,000 | 323,485 | ||||||
3.00%, 5/18/2027 | 175,000 | 195,393 | ||||||
1.38%, 6/20/2027 | 300,000 | 306,166 | ||||||
Sysco Corp. | ||||||||
3.75%, 10/1/2025 | 200,000 | 222,609 | ||||||
Walmart, Inc. | ||||||||
2.85%, 7/8/2024 | 200,000 | 216,530 | ||||||
3.70%, 6/26/2028 | 150,000 | 175,668 | ||||||
3.25%, 7/8/2029 | 42,000 | 48,641 | ||||||
1,488,492 |
Investments | Principal Amount | Value | ||||||
Food Products – 2.1% | ||||||||
Bunge Ltd. Finance Corp. | ||||||||
3.75%, 9/25/2027 | $ | 200,000 | $ | 218,924 | ||||
Campbell Soup Co. | ||||||||
3.95%, 3/15/2025 | 200,000 | 223,222 | ||||||
4.15%, 3/15/2028 | 250,000 | 289,726 | ||||||
Conagra Brands, Inc. | ||||||||
4.85%, 11/1/2028 | 200,000 | 245,732 | ||||||
General Mills, Inc. | ||||||||
4.00%, 4/17/2025 | 250,000 | 282,346 | ||||||
4.20%, 4/17/2028 | 200,000 | 234,779 | ||||||
JM Smucker Co. (The) | ||||||||
3.38%, 12/15/2027 | 300,000 | 335,150 | ||||||
Kellogg Co. | ||||||||
3.25%, 4/1/2026 | 150,000 | 167,045 | ||||||
3.40%, 11/15/2027 | 500,000 | 560,106 | ||||||
McCormick & Co., Inc. | ||||||||
3.15%, 8/15/2024 | 200,000 | 216,582 | ||||||
3.40%, 8/15/2027 | 200,000 | 223,365 | ||||||
Mondelez International, Inc. | ||||||||
2.75%, 4/13/2030 | 200,000 | 215,926 | ||||||
Unilever Capital Corp. | ||||||||
2.60%, 5/5/2024 | 700,000 | 745,731 | ||||||
2.90%, 5/5/2027 | 200,000 | 221,743 | ||||||
3.50%, 3/22/2028 | 100,000 | 115,646 | ||||||
4,296,023 | ||||||||
Gas Utilities – 0.3% | ||||||||
Dominion Energy Gas Holdings LLC | ||||||||
Series A, 2.50%, 11/15/2024 | 60,000 | 63,748 | ||||||
3.60%, 12/15/2024 | 80,000 | 88,071 | ||||||
National Fuel Gas Co. | ||||||||
5.20%, 7/15/2025 | 200,000 | 218,829 | ||||||
5.50%, 1/15/2026 | 275,000 | 301,245 | ||||||
671,893 | ||||||||
Health Care Equipment & Supplies – 0.8% | ||||||||
Abbott Laboratories | ||||||||
3.75%, 11/30/2026 | 100,000 | 116,169 | ||||||
Baxter International, Inc. | ||||||||
2.60%, 8/15/2026 | 200,000 | 217,285 | ||||||
Becton Dickinson and Co. | ||||||||
3.73%, 12/15/2024 | 100,000 | 110,343 | ||||||
3.70%, 6/6/2027 | 200,000 | 226,683 |
See Accompanying Notes to the Financial Statements.
354 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® Credit-Scored US Corporate Bond Index Fund (cont.)
Investments | Principal Amount | Value | ||||||
CORPORATE BONDS – (continued) | ||||||||
Health Care Equipment & Supplies – (continued) | ||||||||
Boston Scientific Corp. | ||||||||
3.75%, 3/1/2026 | $ | 250,000 | $ | 283,684 | ||||
DH Europe Finance II Sarl | ||||||||
2.20%, 11/15/2024 | 250,000 | 263,991 | ||||||
Stryker Corp. | ||||||||
3.50%, 3/15/2026 | 200,000 | 225,629 | ||||||
1.95%, 6/15/2030 | 100,000 | 101,612 | ||||||
Zimmer Biomet Holdings, Inc. | ||||||||
3.55%, 3/20/2030 | 63,000 | 69,926 | ||||||
1,615,322 | ||||||||
Health Care Providers & Services – 1.5% | ||||||||
AmerisourceBergen Corp. | ||||||||
3.40%, 5/15/2024 | 250,000 | 271,444 | ||||||
3.45%, 12/15/2027 | 200,000 | 226,704 | ||||||
CVS Health Corp. | ||||||||
4.30%, 3/25/2028 | 550,000 | 637,295 | ||||||
HCA, Inc. | ||||||||
5.25%, 6/15/2026 | 250,000 | 291,517 | ||||||
4.50%, 2/15/2027 | 67,000 | 75,816 | ||||||
Humana, Inc. | ||||||||
3.95%, 3/15/2027 | 300,000 | 342,003 | ||||||
McKesson Corp. | ||||||||
3.80%, 3/15/2024 | 250,000 | 273,265 | ||||||
UnitedHealth Group, Inc. | ||||||||
2.88%, 3/15/2022 | 500,000 | 514,224 | ||||||
2.95%, 10/15/2027 | 250,000 | 277,768 | ||||||
3.88%, 12/15/2028 | 55,000 | 65,244 | ||||||
2,975,280 | ||||||||
Hotels, Restaurants & Leisure – 1.4% | ||||||||
Hyatt Hotels Corp. | ||||||||
4.85%, 3/15/2026 | 200,000 | 213,965 | ||||||
Las Vegas Sands Corp. | ||||||||
3.20%, 8/8/2024 | 400,000 | 404,866 | ||||||
3.50%, 8/18/2026 | 200,000 | 202,594 | ||||||
Marriott International, Inc. | ||||||||
3.60%, 4/15/2024 | 150,000 | 154,731 | ||||||
Series EE, 5.75%, 5/1/2025 | 110,000 | 122,425 | ||||||
Series R, 3.13%, 6/15/2026 | 400,000 | 401,613 | ||||||
McDonald’s Corp. | ||||||||
3.80%, 4/1/2028 | 150,000 | 173,521 |
Investments | Principal Amount | Value | ||||||
Hotels, Restaurants & Leisure – (continued) | ||||||||
Sands China Ltd. | ||||||||
4.60%, 8/8/2023 | $ | 500,000 | $ | 533,595 | ||||
5.13%, 8/8/2025 | 400,000 | 431,638 | ||||||
Starbucks Corp. | ||||||||
3.50%, 3/1/2028 | 200,000 | 226,531 | ||||||
2,865,479 | ||||||||
Household Durables – 0.2% | ||||||||
DR Horton, Inc. | ||||||||
4.38%, 9/15/2022 | 200,000 | 212,067 | ||||||
2.50%, 10/15/2024 | 200,000 | 211,503 | ||||||
423,570 | ||||||||
Household Products –0.9% | ||||||||
Church & Dwight Co., Inc. | ||||||||
2.88%, 10/1/2022 | 250,000 | 261,614 | ||||||
Clorox Co. (The) | ||||||||
3.10%, 10/1/2027 | 200,000 | 223,690 | ||||||
Colgate-Palmolive Co. | ||||||||
3.25%, 3/15/2024 | 250,000 | 272,974 | ||||||
Kimberly-Clark Corp. | ||||||||
2.75%, 2/15/2026 | 200,000 | 219,641 | ||||||
Procter & Gamble Co. (The) | ||||||||
3.10%, 8/15/2023 | 150,000 | 161,610 | ||||||
2.80%, 3/25/2027 | 185,000 | 205,693 | ||||||
3.00%, 3/25/2030 | 400,000 | 460,632 | ||||||
1,805,854 | ||||||||
Industrial Conglomerates – 1.3% | ||||||||
3M Co. | ||||||||
2.00%, 6/26/2022 | 200,000 | 205,667 | ||||||
2.25%, 3/15/2023 | 70,000 | 73,142 | ||||||
2.88%, 10/15/2027 | 200,000 | 221,582 | ||||||
3.38%, 3/1/2029 | 200,000 | 229,970 | ||||||
Carlisle Cos., Inc. | ||||||||
3.75%, 12/1/2027 | 200,000 | 225,169 | ||||||
Honeywell International, Inc. | ||||||||
1.85%, 11/1/2021 | 80,000 | 81,107 | ||||||
2.50%, 11/1/2026 | 300,000 | 328,885 | ||||||
2.70%, 8/15/2029 | 100,000 | 110,334 | ||||||
Roper Technologies, Inc. | ||||||||
3.65%, 9/15/2023 | 540,000 | 584,981 | ||||||
3.80%, 12/15/2026 | 200,000 | 229,612 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 355 |
Table of Contents
FlexShares® Credit-Scored US Corporate Bond Index Fund (cont.)
Investments | Principal Amount | Value | ||||||
CORPORATE BONDS – (continued) | ||||||||
Industrial Conglomerates – (continued) | ||||||||
Trane Technologies Luxembourg Finance SA | ||||||||
3.50%, 3/21/2026 | $ | 250,000 | $ | 281,893 | ||||
2,572,342 | ||||||||
Insurance – 3.4% | ||||||||
Aflac, Inc. | ||||||||
2.88%, 10/15/2026 | 100,000 | 110,187 | ||||||
Allied World Assurance Co. Holdings Ltd. | ||||||||
4.35%, 10/29/2025 | 200,000 | 214,984 | ||||||
Allstate Corp. (The) | ||||||||
Series B, 5.75%, 8/15/2053(a) | 200,000 | 212,595 | ||||||
American International Group, Inc. | ||||||||
4.88%, 6/1/2022 | 200,000 | 213,960 | ||||||
3.90%, 4/1/2026 | 100,000 | 114,133 | ||||||
4.25%, 3/15/2029 | 150,000 | 177,246 | ||||||
Aon Corp. | ||||||||
2.80%, 5/15/2030 | 250,000 | 267,985 | ||||||
Aon plc | ||||||||
3.88%, 12/15/2025 | 400,000 | 456,441 | ||||||
Assurant, Inc. | ||||||||
3.70%, 2/22/2030 | 100,000 | 105,494 | ||||||
Brighthouse Financial, Inc. | ||||||||
3.70%, 6/22/2027 | 200,000 | 210,985 | ||||||
Brown & Brown, Inc. | ||||||||
4.20%, 9/15/2024 | 200,000 | 221,693 | ||||||
Chubb INA Holdings, Inc. | ||||||||
3.15%, 3/15/2025 | 270,000 | 297,087 | ||||||
CNA Financial Corp. | ||||||||
4.50%, 3/1/2026 | 15,000 | 17,572 | ||||||
3.45%, 8/15/2027 | 275,000 | 307,377 | ||||||
Enstar Group Ltd. | ||||||||
4.50%, 3/10/2022 | 200,000 | 207,251 | ||||||
Fidelity National Financial, Inc. | ||||||||
5.50%, 9/1/2022 | 68,000 | 73,546 | ||||||
First American Financial Corp. | ||||||||
4.60%, 11/15/2024 | 200,000 | 222,525 | ||||||
Lincoln National Corp. | ||||||||
3.80%, 3/1/2028 | 100,000 | 112,536 |
Investments | Principal Amount | Value | ||||||
Insurance – (continued) | ||||||||
Manulife Financial Corp. | ||||||||
4.15%, 3/4/2026 | $ | 200,000 | $ | 233,123 | ||||
Markel Corp. | ||||||||
3.63%, 3/30/2023 | 200,000 | 213,267 | ||||||
Marsh & McLennan Cos., Inc. | ||||||||
3.50%, 6/3/2024 | 16,000 | 17,465 | ||||||
3.50%, 3/10/2025 | 75,000 | 82,983 | ||||||
3.75%, 3/14/2026 | 75,000 | 85,221 | ||||||
4.38%, 3/15/2029 | 200,000 | 240,806 | ||||||
MetLife, Inc. | ||||||||
3.05%, 12/15/2022(c) | 250,000 | 264,382 | ||||||
Old Republic International Corp. | ||||||||
4.88%, 10/1/2024 | 200,000 | 225,453 | ||||||
Principal Financial Group, Inc. | ||||||||
2.13%, 6/15/2030 | 100,000 | 103,230 | ||||||
Progressive Corp. (The) | ||||||||
2.45%, 1/15/2027 | 200,000 | 216,156 | ||||||
Prudential Financial, Inc. | ||||||||
2.10%, 3/10/2030 | 300,000 | 314,245 | ||||||
5.63%, 6/15/2043(a) | 150,000 | 160,182 | ||||||
5.20%, 3/15/2044(a) | 10,000 | 10,505 | ||||||
5.38%, 5/15/2045(a) | 500,000 | 541,186 | ||||||
Reinsurance Group of America, Inc. | ||||||||
3.15%, 6/15/2030 | 100,000 | 109,678 | ||||||
RenaissanceRe Finance, Inc. | ||||||||
3.45%, 7/1/2027 | 100,000 | 108,223 | ||||||
Trinity Acquisition plc | ||||||||
4.40%, 3/15/2026 | 200,000 | 231,024 | ||||||
Willis North America, Inc. | ||||||||
3.60%, 5/15/2024 | 150,000 | 163,744 | ||||||
6,864,470 | ||||||||
Interactive Media & Services – 0.6% | ||||||||
Alphabet, Inc. | ||||||||
2.00%, 8/15/2026 | 147,000 | 156,966 | ||||||
0.80%, 8/15/2027 | 85,000 | 84,187 | ||||||
Baidu, Inc. | ||||||||
3.63%, 7/6/2027 | 200,000 | 219,240 | ||||||
4.38%, 3/29/2028 | 500,000 | 572,330 | ||||||
Weibo Corp. | ||||||||
3.50%, 7/5/2024 | 200,000 | 209,154 | ||||||
1,241,877 |
See Accompanying Notes to the Financial Statements.
356 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® Credit-Scored US Corporate Bond Index Fund (cont.)
Investments | Principal Amount | Value | ||||||
CORPORATE BONDS – (continued) | ||||||||
Internet & Direct Marketing Retail – 1.4% | ||||||||
Alibaba Group Holding Ltd. | ||||||||
3.60%, 11/28/2024 | $ | 800,000 | $ | 876,216 | ||||
3.40%, 12/6/2027 | 300,000 | 334,928 | ||||||
Amazon.com, Inc. | ||||||||
3.15%, 8/22/2027 | 300,000 | 340,295 | ||||||
Booking Holdings, Inc. | ||||||||
3.60%, 6/1/2026 | 640,000 | 710,584 | ||||||
eBay, Inc. | ||||||||
3.45%, 8/1/2024 | 120,000 | 130,733 | ||||||
3.60%, 6/5/2027 | 200,000 | 223,776 | ||||||
Expedia Group, Inc. | ||||||||
4.50%, 8/15/2024 | 200,000 | 212,910 | ||||||
2,829,442 | ||||||||
IT Services – 2.0% | ||||||||
Broadridge Financial Solutions, Inc. | ||||||||
3.40%, 6/27/2026 | 200,000 | 223,074 | ||||||
International Business Machines Corp. | ||||||||
3.50%, 5/15/2029 | 100,000 | 114,406 | ||||||
Mastercard, Inc. | ||||||||
2.00%, 3/3/2025 | 250,000 | 264,961 | ||||||
2.95%, 11/21/2026 | 300,000 | 335,924 | ||||||
2.95%, 6/1/2029 | 150,000 | 168,393 | ||||||
PayPal Holdings, Inc. | ||||||||
2.20%, 9/26/2022 | 620,000 | 641,059 | ||||||
2.65%, 10/1/2026 | 100,000 | 108,838 | ||||||
2.85%, 10/1/2029 | 100,000 | 109,315 | ||||||
Visa, Inc. | ||||||||
2.80%, 12/14/2022 | 600,000 | 629,087 | ||||||
3.15%, 12/14/2025 | 650,000 | 723,535 | ||||||
2.05%, 4/15/2030 | 550,000 | 580,808 | ||||||
Western Union Co. (The) | ||||||||
2.85%, 1/10/2025 | 200,000 | 211,224 | ||||||
4,110,624 | ||||||||
Leisure Products –0.1% | ||||||||
Hasbro, Inc. | ||||||||
3.55%, 11/19/2026 | 200,000 | 215,630 | ||||||
Life Sciences Tools & Services – 0.4% | ||||||||
Agilent Technologies, Inc. | ||||||||
3.88%, 7/15/2023 | 200,000 | 216,330 |
Investments | Principal Amount | Value | ||||||
Life Sciences Tools & Services – (continued) | ||||||||
Thermo Fisher Scientific, Inc. | ||||||||
2.95%, 9/19/2026 | $ | 450,000 | $ | 499,686 | ||||
716,016 | ||||||||
Machinery – 0.7% | ||||||||
Cummins, Inc. | ||||||||
3.65%, 10/1/2023 | 100,000 | 108,835 | ||||||
Flowserve Corp. | ||||||||
4.00%, 11/15/2023 | 84,000 | 87,937 | ||||||
Fortive Corp. | ||||||||
3.15%, 6/15/2026 | 100,000 | 110,061 | ||||||
Illinois Tool Works, Inc. | ||||||||
2.65%, 11/15/2026 | 200,000 | 221,151 | ||||||
nVent Finance Sarl | ||||||||
4.55%, 4/15/2028 | 100,000 | 106,921 | ||||||
Otis Worldwide Corp. | ||||||||
2.06%, 4/5/2025 | 300,000 | 315,385 | ||||||
2.29%, 4/5/2027 | 200,000 | 212,441 | ||||||
Stanley Black & Decker, Inc. | ||||||||
4.00%, 3/15/2060(a) | 100,000 | 104,534 | ||||||
Westinghouse Air Brake Technologies Corp. | ||||||||
4.95%, 9/15/2028(c) | 150,000 | 173,311 | ||||||
1,440,576 | ||||||||
Media – 0.9% | ||||||||
Charter Communications Operating LLC | ||||||||
4.91%, 7/23/2025 | 500,000 | 576,399 | ||||||
4.20%, 3/15/2028 | 500,000 | 565,290 | ||||||
Comcast Corp. | ||||||||
4.15%, 10/15/2028 | 350,000 | 416,661 | ||||||
Discovery Communications LLC | ||||||||
3.95%, 3/20/2028 | 95,000 | 107,002 | ||||||
Omnicom Group, Inc. | ||||||||
3.60%, 4/15/2026 | 100,000 | 112,199 | ||||||
1,777,551 | ||||||||
Metals & Mining – 0.9% | ||||||||
BHP Billiton Finance USA Ltd. | ||||||||
3.85%, 9/30/2023 | 300,000 | 329,606 | ||||||
Kinross Gold Corp. | ||||||||
5.95%, 3/15/2024 | 150,000 | 170,289 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 357 |
Table of Contents
FlexShares® Credit-Scored US Corporate Bond Index Fund (cont.)
Investments | Principal Amount | Value | ||||||
CORPORATE BONDS – (continued) | ||||||||
Metals & Mining – (continued) | ||||||||
Rio Tinto Finance USA Ltd. | ||||||||
3.75%, 6/15/2025 | $ | 300,000 | $ | 337,789 | ||||
7.13%, 7/15/2028 | 200,000 | 280,913 | ||||||
Steel Dynamics, Inc. | ||||||||
2.80%, 12/15/2024 | 300,000 | 318,688 | ||||||
Vale Overseas Ltd. | ||||||||
6.25%, 8/10/2026 | 379,000 | 452,697 | ||||||
1,889,982 | ||||||||
Multiline Retail – 0.3% | ||||||||
Dollar General Corp. | ||||||||
3.88%, 4/15/2027 | 400,000 | 458,242 | ||||||
Target Corp. | ||||||||
3.38%, 4/15/2029 | 200,000 | 232,794 | ||||||
691,036 | ||||||||
Multi-Utilities – 1.9% | ||||||||
Ameren Corp. | ||||||||
2.50%, 9/15/2024 | 200,000 | 212,686 | ||||||
Berkshire Hathaway Energy Co. | ||||||||
3.75%, 11/15/2023 | 100,000 | 109,114 | ||||||
4.05%, 4/15/2025(b) | 600,000 | 682,377 | ||||||
3.25%, 4/15/2028 | 100,000 | 112,493 | ||||||
Black Hills Corp. | ||||||||
3.15%, 1/15/2027 | 200,000 | 215,723 | ||||||
CMS Energy Corp. | ||||||||
3.45%, 8/15/2027 | 200,000 | 223,565 | ||||||
Dominion Energy, Inc. | ||||||||
3.07%, 8/15/2024(c) | 200,000 | 216,068 | ||||||
Series A, 3.30%, 3/15/2025 | 250,000 | 274,993 | ||||||
5.75%, 10/1/2054(a) | 200,000 | 216,390 | ||||||
DTE Energy Co. | ||||||||
Series C, | 2,000 | 2,125 | ||||||
2.85%, 10/1/2026 | 200,000 | 217,298 | ||||||
NiSource, Inc. | ||||||||
3.60%, 5/1/2030 | 300,000 | 341,308 | ||||||
Public Service Enterprise Group, Inc. | ||||||||
2.65%, 11/15/2022 | 200,000 | 208,997 | ||||||
2.88%, 6/15/2024 | 200,000 | 215,224 |
Investments | Principal Amount | Value | ||||||
Multi-Utilities – (continued) | ||||||||
Sempra Energy | ||||||||
3.55%, 6/15/2024 | $ | 200,000 | $ | 217,561 | ||||
3.25%, 6/15/2027 | 200,000 | 216,305 | ||||||
3.40%, 2/1/2028 | 97,000 | 105,778 | ||||||
3,788,005 | ||||||||
Oil, Gas & Consumable Fuels – 5.8% | ||||||||
Boardwalk Pipelines LP | ||||||||
5.95%, 6/1/2026 | 200,000 | 231,322 | ||||||
Canadian Natural Resources Ltd. | ||||||||
3.85%, 6/1/2027 | 400,000 | 423,471 | ||||||
Cheniere Corpus Christi Holdings LLC | ||||||||
5.13%, 6/30/2027 | 500,000 | 561,007 | ||||||
Columbia Pipeline Group, Inc. | ||||||||
4.50%, 6/1/2025 | 150,000 | 173,031 | ||||||
ConocoPhillips Co. | ||||||||
4.95%, 3/15/2026 | 300,000 | 357,344 | ||||||
Enable Midstream Partners LP | ||||||||
4.95%, 5/15/2028 | 250,000 | 240,145 | ||||||
Enbridge, Inc. | ||||||||
4.00%, 10/1/2023 | 200,000 | 216,294 | ||||||
3.70%, 7/15/2027 | 200,000 | 221,100 | ||||||
3.13%, 11/15/2029 | 200,000 | 210,725 | ||||||
5.50%, 7/15/2077(a) | 250,000 | 239,038 | ||||||
Energy Transfer Operating LP | ||||||||
5.88%, 1/15/2024 | 500,000 | 547,447 | ||||||
5.50%, 6/1/2027 | 200,000 | 222,113 | ||||||
Enterprise Products Operating LLC | ||||||||
3.35%, 3/15/2023 | 670,000 | 709,948 | ||||||
3.75%, 2/15/2025 | 200,000 | 221,940 | ||||||
4.15%, 10/16/2028 | 250,000 | 288,673 | ||||||
HollyFrontier Corp. | ||||||||
5.88%, 4/1/2026 | 200,000 | 212,946 | ||||||
Kinder Morgan, Inc. | ||||||||
4.30%, 3/1/2028 | 200,000 | 226,290 | ||||||
Magellan Midstream Partners LP | ||||||||
5.00%, 3/1/2026 | 250,000 | 293,852 | ||||||
MPLX LP | ||||||||
4.00%, 2/15/2025 | 100,000 | 108,806 | ||||||
4.13%, 3/1/2027 | 350,000 | 383,478 | ||||||
ONEOK Partners LP | ||||||||
4.90%, 3/15/2025 | 400,000 | 436,980 |
See Accompanying Notes to the Financial Statements.
358 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® Credit-Scored US Corporate Bond Index Fund (cont.)
Investments | Principal Amount | Value | ||||||
CORPORATE BONDS – (continued) | ||||||||
Oil, Gas & Consumable Fuels – (continued) | ||||||||
Phillips 66 | ||||||||
3.85%, 4/9/2025 | $ | 250,000 | $ | 275,342 | ||||
Phillips 66 Partners LP | ||||||||
3.55%, 10/1/2026 | 200,000 | 212,322 | ||||||
Plains All American Pipeline LP | ||||||||
4.65%, 10/15/2025 | 150,000 | 160,181 | ||||||
Sabine Pass Liquefaction LLC | ||||||||
5.63%, 3/1/2025 | 700,000 | 801,890 | ||||||
4.20%, 3/15/2028 | 120,000 | 130,359 | ||||||
Spectra Energy Partners LP | ||||||||
4.75%, 3/15/2024 | 640,000 | 712,029 | ||||||
TC PipeLines LP | ||||||||
4.38%, 3/13/2025 | 100,000 | 110,188 | ||||||
Total Capital International SA | ||||||||
3.46%, 2/19/2029 | 200,000 | 227,705 | ||||||
TransCanada PipeLines Ltd. | ||||||||
4.88%, 1/15/2026 | 94,000 | 110,398 | ||||||
4.25%, 5/15/2028 | 200,000 | 229,653 | ||||||
Transcanada Trust | ||||||||
Series 16-A, | 300,000 | 319,123 | ||||||
5.30%, 3/15/2077(a) | 600,000 | 596,547 | ||||||
Valero Energy Corp. | ||||||||
1.20%, 3/15/2024 | 62,000 | 60,785 | ||||||
3.65%, 3/15/2025 | 200,000 | 212,777 | ||||||
3.40%, 9/15/2026 | 250,000 | 263,597 | ||||||
4.35%, 6/1/2028 | 500,000 | 536,153 | ||||||
Valero Energy Partners LP | ||||||||
4.50%, 3/15/2028 | 200,000 | 214,610 | ||||||
11,699,609 | ||||||||
Paper & Forest Products – 0.1% | ||||||||
Suzano Austria GmbH | ||||||||
6.00%, 1/15/2029 | 200,000 | 232,402 | ||||||
Pharmaceuticals – 2.8% | ||||||||
AstraZeneca plc | ||||||||
3.38%, 11/16/2025 | 300,000 | 336,762 | ||||||
Bristol-Myers Squibb Co. | ||||||||
3.63%, 5/15/2024 | 300,000 | 329,631 | ||||||
Eli Lilly and Co. | ||||||||
2.35%, 5/15/2022 | 250,000 | 257,778 | ||||||
3.38%, 3/15/2029 | 200,000 | 230,969 |
Investments | Principal Amount | Value | ||||||
Pharmaceuticals – (continued) | ||||||||
GlaxoSmithKline Capital, Inc. | ||||||||
3.88%, 5/15/2028 | $ | 200,000 | $ | 235,411 | ||||
Johnson & Johnson | ||||||||
2.45%, 3/1/2026 | 500,000 | 542,972 | ||||||
2.95%, 3/3/2027 | 150,000 | 168,138 | ||||||
Merck & Co., Inc. | ||||||||
2.35%, 2/10/2022 | 350,000 | 359,651 | ||||||
2.80%, 5/18/2023 | 200,000 | 212,664 | ||||||
2.75%, 2/10/2025 | 365,000 | 395,984 | ||||||
Novartis Capital Corp. | ||||||||
3.40%, 5/6/2024 | 403,000 | 442,542 | ||||||
1.75%, 2/14/2025 | 350,000 | 366,212 | ||||||
3.00%, 11/20/2025 | 700,000 | 775,282 | ||||||
2.20%, 8/14/2030 | 200,000 | 212,853 | ||||||
Pfizer, Inc. | ||||||||
1.70%, 5/28/2030 | 200,000 | 205,102 | ||||||
Upjohn, Inc. | ||||||||
2.30%, 6/22/2027(b) | 200,000 | 207,187 | ||||||
Zoetis, Inc. | ||||||||
3.25%, 2/1/2023 | 150,000 | 158,172 | ||||||
3.00%, 9/12/2027 | 145,000 | 160,050 | ||||||
5,597,360 | ||||||||
Professional Services – 0.3% | ||||||||
Equifax, Inc. | ||||||||
2.60%, 12/1/2024 | 200,000 | 213,063 | ||||||
IHS Markit Ltd. | ||||||||
4.25%, 5/1/2029 | 150,000 | 172,495 | ||||||
Verisk Analytics, Inc. | ||||||||
4.00%, 6/15/2025 | 250,000 | 281,856 | ||||||
667,414 | ||||||||
Real Estate Management & Development – 0.1% | ||||||||
CBRE Services, Inc. | ||||||||
4.88%, 3/1/2026 | 200,000 | 235,003 | ||||||
Road & Rail – 1.3% | ||||||||
Burlington Northern Santa Fe LLC | ||||||||
3.05%, 3/15/2022 | 200,000 | 206,063 | ||||||
3.85%, 9/1/2023 | 300,000 | 325,739 | ||||||
3.25%, 6/15/2027 | 224,000 | 252,537 | ||||||
Canadian National Railway Co. | ||||||||
2.95%, 11/21/2024 | 250,000 | 268,858 | ||||||
Canadian Pacific Railway Co. | ||||||||
3.70%, 2/1/2026 | 20,000 | 22,428 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 359 |
Table of Contents
FlexShares® Credit-Scored US Corporate Bond Index Fund (cont.)
Investments | Principal Amount | Value | ||||||
CORPORATE BONDS – (continued) | ||||||||
Road & Rail – (continued) | ||||||||
CSX Corp. | ||||||||
3.25%, 6/1/2027 | $ | 100,000 | $ | 111,947 | ||||
4.25%, 3/15/2029 | 200,000 | 239,095 | ||||||
JB Hunt Transport Services, Inc. | ||||||||
3.88%, 3/1/2026 | 300,000 | 344,957 | ||||||
Norfolk Southern Corp. | ||||||||
3.15%, 6/1/2027 | 200,000 | 220,188 | ||||||
Union Pacific Corp. | ||||||||
3.00%, 4/15/2027 | 300,000 | 330,224 | ||||||
3.95%, 9/10/2028 | 250,000 | 293,408 | ||||||
2,615,444 | ||||||||
Semiconductors & Semiconductor Equipment – 1.9% | ||||||||
Analog Devices, Inc. | ||||||||
3.50%, 12/5/2026 | 405,000 | 458,523 | ||||||
Broadcom Corp. | ||||||||
3.13%, 1/15/2025 | 30,000 | 32,080 | ||||||
3.88%, 1/15/2027 | 300,000 | 331,431 | ||||||
Broadcom, Inc. | ||||||||
4.75%, 4/15/2029 | 110,000 | 127,737 | ||||||
5.00%, 4/15/2030 | 300,000 | 353,420 | ||||||
Intel Corp. | ||||||||
3.90%, 3/25/2030 | 300,000 | 359,423 | ||||||
KLA Corp. | ||||||||
4.65%, 11/1/2024 | 200,000 | 227,685 | ||||||
Lam Research Corp. | ||||||||
3.75%, 3/15/2026 | 200,000 | 229,813 | ||||||
Maxim Integrated Products, Inc. | ||||||||
3.45%, 6/15/2027 | 200,000 | 222,516 | ||||||
Micron Technology, Inc. | ||||||||
4.19%, 2/15/2027 | 500,000 | 565,202 | ||||||
NVIDIA Corp. | ||||||||
3.20%, 9/16/2026 | 300,000 | 337,533 | ||||||
QUALCOMM, Inc. | ||||||||
3.25%, 5/20/2027 | 200,000 | 222,835 | ||||||
Texas Instruments, Inc. | ||||||||
2.90%, 11/3/2027 | 250,000 | 278,046 | ||||||
3,746,244 | ||||||||
Software – 1.7% | ||||||||
Adobe, Inc. | ||||||||
3.25%, 2/1/2025 | 250,000 | 276,482 | ||||||
2.30%, 2/1/2030 | 250,000 | 268,357 |
Investments | Principal Amount | Value | ||||||
Software – (continued) | ||||||||
Autodesk, Inc. | ||||||||
3.50%, 6/15/2027 | $ | 200,000 | $ | 225,267 | ||||
Citrix Systems, Inc. | ||||||||
4.50%, 12/1/2027 | 200,000 | 227,902 | ||||||
Microsoft Corp. | ||||||||
2.38%, 2/12/2022 | 640,000 | 656,329 | ||||||
2.70%, 2/12/2025 | 140,000 | 152,002 | ||||||
3.13%, 11/3/2025 | 360,000 | 400,348 | ||||||
2.40%, 8/8/2026 | 100,000 | 108,589 | ||||||
3.30%, 2/6/2027 | 250,000 | 284,251 | ||||||
Oracle Corp. | ||||||||
2.65%, 7/15/2026 | 400,000 | 436,085 | ||||||
3.25%, 11/15/2027 | 300,000 | 337,701 | ||||||
3,373,313 | ||||||||
Specialty Retail – 1.9% | ||||||||
AutoZone, Inc. | ||||||||
3.25%, 4/15/2025 | 540,000 | 589,900 | ||||||
Home Depot, Inc. (The) | ||||||||
2.63%, 6/1/2022 | 400,000 | 414,563 | ||||||
3.35%, 9/15/2025 | 133,000 | 149,662 | ||||||
3.00%, 4/1/2026 | 330,000 | 367,429 | ||||||
2.50%, 4/15/2027 | 200,000 | 216,894 | ||||||
2.80%, 9/14/2027 | 200,000 | 220,583 | ||||||
Lowe’s Cos., Inc. | ||||||||
4.00%, 4/15/2025 | 300,000 | 340,195 | ||||||
3.38%, 9/15/2025 | 100,000 | 111,362 | ||||||
3.10%, 5/3/2027 | 500,000 | 558,491 | ||||||
O’Reilly Automotive, Inc. | ||||||||
3.55%, 3/15/2026 | 300,000 | 337,955 | ||||||
3.60%, 9/1/2027 | 200,000 | 225,780 | ||||||
Ross Stores, Inc. | ||||||||
4.70%, 4/15/2027 | 46,000 | 54,051 | ||||||
TJX Cos., Inc. (The) | ||||||||
3.88%, 4/15/2030 | 200,000 | 237,285 | ||||||
3,824,150 | ||||||||
Technology Hardware, Storage & Peripherals – 2.7% | ||||||||
Apple, Inc. | ||||||||
2.40%, 5/3/2023 | 1,700,000 | 1,785,755 | ||||||
3.45%, 5/6/2024 | 165,000 | 181,714 | ||||||
3.25%, 2/23/2026 | 518,000 | 579,484 | ||||||
2.05%, 9/11/2026 | 250,000 | 266,524 | ||||||
3.35%, 2/9/2027 | 80,000 | 90,689 |
See Accompanying Notes to the Financial Statements.
360 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® Credit-Scored US Corporate Bond Index Fund (cont.)
Investments | Principal Amount | Value | ||||||
CORPORATE BONDS – (continued) | ||||||||
Technology Hardware, Storage & Peripherals – (continued) | ||||||||
3.20%, 5/11/2027 | $ | 625,000 | $ | 704,526 | ||||
2.90%, 9/12/2027 | 500,000 | 557,483 | ||||||
1.65%, 5/11/2030 | 640,000 | 654,738 | ||||||
HP, Inc. |
| |||||||
3.00%, 6/17/2027 | 150,000 | 161,521 | ||||||
NetApp, Inc. |
| |||||||
1.88%, 6/22/2025 | 200,000 | 206,765 | ||||||
Seagate HDD Cayman |
| |||||||
4.88%, 6/1/2027 | 252,000 | 281,605 | ||||||
5,470,804 | ||||||||
Textiles, Apparel & Luxury Goods – 0.3% | ||||||||
NIKE, Inc. | ||||||||
2.38%, 11/1/2026 | 485,000 | 528,534 | ||||||
Tobacco – 1.6% | ||||||||
Altria Group, Inc. |
| |||||||
2.85%, 8/9/2022 | 160,000 | 166,623 | ||||||
4.00%, 1/31/2024 | 100,000 | 109,731 | ||||||
2.63%, 9/16/2026 | 160,000 | 170,962 | ||||||
4.80%, 2/14/2029 | 300,000 | 352,600 | ||||||
3.40%, 5/6/2030 | 300,000 | 326,478 | ||||||
BAT Capital Corp. |
| |||||||
3.22%, 8/15/2024 | 500,000 | 536,756 | ||||||
3.22%, 9/6/2026 | 400,000 | 430,512 | ||||||
3.56%, 8/15/2027 | 200,000 | 215,968 | ||||||
Philip Morris International, Inc. |
| |||||||
2.88%, 5/1/2024 | 500,000 | 537,154 | ||||||
1.50%, 5/1/2025 | 68,000 | 70,156 | ||||||
Reynolds American, Inc. |
| |||||||
4.45%, 6/12/2025 | 200,000 | 226,006 | ||||||
3,142,946 | ||||||||
Trading Companies & Distributors – 0.6% | ||||||||
Air Lease Corp. |
| |||||||
3.00%, 9/15/2023 | 405,000 | 413,166 | ||||||
3.75%, 6/1/2026 | 150,000 | 154,336 | ||||||
Aircastle Ltd. |
| |||||||
4.40%, 9/25/2023 | 250,000 | 251,810 | ||||||
4.25%, 6/15/2026 | 200,000 | 188,321 | ||||||
GATX Corp. |
| |||||||
4.55%, 11/7/2028 | 200,000 | 235,149 | ||||||
1,242,782 |
Investments | Principal Amount | Value | ||||||
Water Utilities – 0.1% | ||||||||
American Water Capital Corp. |
| |||||||
2.95%, 9/1/2027 | $ | 200,000 | $ | 220,082 | ||||
Wireless Telecommunication Services – 0.3% | ||||||||
T-Mobile USA, Inc. |
| |||||||
3.75%, 4/15/2027(b) | 364,000 | 406,825 | ||||||
3.88%, 4/15/2030(b) | 150,000 | 168,691 | ||||||
575,516 | ||||||||
Total Corporate Bonds (Cost $192,605,363) |
| 200,083,895 | ||||||
Total Investments – 98.9% (Cost $192,605,363) |
| 200,083,895 | ||||||
Other assets less liabilities – 1.1% |
| 2,313,514 | ||||||
NET ASSETS – 100.0% |
| 202,397,409 |
(a) | 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. |
(b) | Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The value of these securities is determined by valuations supplied by a pricing service or brokers, or, if not available, in accordance with procedures established by the Board of Trustees. |
(c) | Step bond. Interest rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future at a contingent upon predetermined trigger. The interest rate shown was the current rate as of October 31, 2020. |
Percentages shown are based on Net Assets.
As of October 31, 2020, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments (including derivative instruments, if applicable) for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 7,620,438 | ||
Aggregate gross unrealized depreciation | (258,997 | ) | ||
Net unrealized appreciation | $ | 7,361,441 | ||
Federal income tax cost | $ | 192,722,454 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 361 |
Table of Contents
Schedule of Investments
FlexShares® Credit-Scored US Long Corporate Bond Index Fund
October 31, 2020
Investments | Principal Amount | Value | ||||||
CORPORATE BONDS – 98.9% | ||||||||
Aerospace & Defense – 1.2% | ||||||||
Boeing Co. (The) | ||||||||
5.81%, 5/1/2050 | $ | 150,000 | $ | 177,057 | ||||
L3Harris Technologies, Inc. | ||||||||
5.05%, 4/27/2045 | 20,000 | 26,706 | ||||||
Lockheed Martin Corp. | ||||||||
4.09%, 9/15/2052 | 125,000 | 160,684 | ||||||
Northrop Grumman Corp. | ||||||||
4.75%, 6/1/2043 | 135,000 | 174,945 | ||||||
539,392 | ||||||||
Auto Components – 0.1% | ||||||||
Aptiv plc | ||||||||
5.40%, 3/15/2049 | 50,000 | 58,083 | ||||||
Banks – 7.0% | ||||||||
Bank of America Corp. | ||||||||
4.24%, 4/24/2038(a) | 230,000 | 278,256 | ||||||
5.00%, 1/21/2044 | 90,000 | 123,020 | ||||||
Citigroup, Inc. | ||||||||
5.88%, 2/22/2033 | 100,000 | 130,642 | ||||||
8.13%, 7/15/2039 | 22,000 | 38,245 | ||||||
5.88%, 1/30/2042 | 35,000 | 51,071 | ||||||
4.75%, 5/18/2046 | 285,000 | 356,954 | ||||||
4.65%, 7/23/2048 | 195,000 | 253,192 | ||||||
Fifth Third Bancorp | ||||||||
8.25%, 3/1/2038 | 125,000 | 204,929 | ||||||
HSBC Holdings plc | ||||||||
6.50%, 5/2/2036 | 200,000 | 269,853 | ||||||
JPMorgan Chase & Co. | ||||||||
6.40%, 5/15/2038 | 100,000 | 152,551 | ||||||
Lloyds Banking Group plc | ||||||||
4.34%, 1/9/2048 | 200,000 | 236,964 | ||||||
Regions Financial Corp. | ||||||||
7.38%, 12/10/2037 | 100,000 | 146,789 | ||||||
Wachovia Corp. | ||||||||
5.50%, 8/1/2035 | 400,000 | 519,597 | ||||||
Wells Fargo & Co. | ||||||||
5.38%, 11/2/2043 | 265,000 | 349,937 | ||||||
5.01%, 4/4/2051(a) | 100,000 | 135,759 | ||||||
3,247,759 |
Investments | Principal Amount | Value | ||||||
Beverages – 2.4% | ||||||||
Anheuser-Busch Cos. LLC | ||||||||
4.90%, 2/1/2046 | $ | 50,000 | $ | 61,345 | ||||
Anheuser-Busch InBev Worldwide, Inc. | ||||||||
5.45%, 1/23/2039 | 250,000 | 323,915 | ||||||
4.35%, 6/1/2040 | 180,000 | 212,553 | ||||||
5.80%, 1/23/2059 | 50,000 | 70,728 | ||||||
Brown-Forman Corp. | ||||||||
4.50%, 7/15/2045 | 50,000 | 65,225 | ||||||
Coca-Cola Femsa SAB de CV | ||||||||
5.25%, 11/26/2043 | 150,000 | 203,460 | ||||||
Constellation Brands, Inc. | ||||||||
5.25%, 11/15/2048 | 75,000 | 100,758 | ||||||
Molson Coors Beverage Co. | ||||||||
5.00%, 5/1/2042 | 50,000 | 57,060 | ||||||
1,095,044 | ||||||||
Biotechnology – 4.0% | ||||||||
AbbVie, Inc. | ||||||||
4.40%, 11/6/2042 | 295,000 | 353,270 | ||||||
4.70%, 5/14/2045 | 130,000 | 158,037 | ||||||
4.45%, 5/14/2046 | 300,000 | 358,925 | ||||||
Amgen, Inc. | ||||||||
3.15%, 2/21/2040 | 200,000 | 211,086 | ||||||
5.15%, 11/15/2041 | 28,000 | 37,526 | ||||||
4.40%, 5/1/2045 | 130,000 | 158,889 | ||||||
4.66%, 6/15/2051 | 125,000 | 162,228 | ||||||
2.77%, 9/1/2053(b) | 37,000 | 35,177 | ||||||
Biogen, Inc. | ||||||||
5.20%, 9/15/2045 | 200,000 | 260,406 | ||||||
Gilead Sciences, Inc. | ||||||||
4.75%, 3/1/2046 | 100,000 | 127,242 | ||||||
1,862,786 | ||||||||
Building Products – 0.6% | ||||||||
Johnson Controls International plc | ||||||||
6.00%, 1/15/2036 | 200,000 | 271,216 | ||||||
Capital Markets – 2.2% | ||||||||
Goldman Sachs Group, Inc. (The) | ||||||||
4.02%, 10/31/2038(a) | 130,000 | 152,074 | ||||||
4.75%, 10/21/2045 | 85,000 | 112,027 |
See Accompanying Notes to the Financial Statements.
362 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® Credit-Scored US Long Corporate Bond Index Fund (cont.)
Investments | Principal Amount | Value | ||||||
CORPORATE BONDS – (continued) | ||||||||
Capital Markets – (continued) | ||||||||
Jefferies Group LLC | ||||||||
6.50%, 1/20/2043 | $ | 200,000 | $ | 258,379 | ||||
Moody’s Corp. | ||||||||
5.25%, 7/15/2044 | 100,000 | 134,893 | ||||||
Morgan Stanley | ||||||||
6.38%, 7/24/2042 | 75,000 | 117,007 | ||||||
4.30%, 1/27/2045 | 60,000 | 77,692 | ||||||
Raymond James Financial, Inc. | ||||||||
4.95%, 7/15/2046 | 45,000 | 59,429 | ||||||
S&P Global, Inc. | ||||||||
2.30%, 8/15/2060 | 100,000 | 89,546 | ||||||
1,001,047 | ||||||||
Chemicals – 2.0% | ||||||||
Ecolab, Inc. | ||||||||
5.50%, 12/8/2041 | 100,000 | 142,343 | ||||||
International Flavors & Fragrances, Inc. | ||||||||
5.00%, 9/26/2048 | 100,000 | 124,754 | ||||||
LyondellBasell Industries NV | ||||||||
4.63%, 2/26/2055 | 100,000 | 112,682 | ||||||
Nutrien Ltd. | ||||||||
6.13%, 1/15/2041 | 200,000 | 275,578 | ||||||
Sherwin-Williams Co. (The) | ||||||||
4.50%, 6/1/2047 | 145,000 | 181,945 | ||||||
3.30%, 5/15/2050 | 100,000 | 106,827 | ||||||
944,129 | ||||||||
Commercial Services & Supplies – 0.1% | ||||||||
Republic Services, Inc. | ||||||||
3.05%, 3/1/2050 | 50,000 | 51,974 | ||||||
Communications Equipment – 1.2% | ||||||||
Cisco Systems, Inc. | ||||||||
5.90%, 2/15/2039 | 285,000 | 425,750 | ||||||
5.50%, 1/15/2040 | 100,000 | 145,739 | ||||||
571,489 | ||||||||
Construction & Engineering –0.2% | ||||||||
Valmont Industries, Inc. | ||||||||
5.00%, 10/1/2044 | 100,000 | 109,804 |
Investments | Principal Amount | Value | ||||||
Construction Materials – 0.4% | ||||||||
Martin Marietta Materials, Inc. | ||||||||
4.25%, 12/15/2047 | $ | 50,000 | $ | 56,999 | ||||
Vulcan Materials Co. | ||||||||
4.50%, 6/15/2047 | 100,000 | 117,927 | ||||||
174,926 | ||||||||
Consumer Finance – 0.5% | ||||||||
Ally Financial, Inc. | ||||||||
8.00%, 11/1/2031 | 167,000 | 230,978 | ||||||
Containers & Packaging – 0.4% | ||||||||
International Paper Co. | ||||||||
7.30%, 11/15/2039 | 100,000 | 148,640 | ||||||
Sonoco Products Co. | ||||||||
5.75%, 11/1/2040 | 20,000 | 26,483 | ||||||
175,123 | ||||||||
Diversified Financial Services –0.6% | ||||||||
GE Capital International Funding Co. Unlimited Co. | ||||||||
4.42%, 11/15/2035 | 200,000 | 216,507 | ||||||
Voya Financial, Inc. | ||||||||
4.80%, 6/15/2046 | 50,000 | 61,151 | ||||||
277,658 | ||||||||
Diversified Telecommunication Services – 4.4% | ||||||||
AT&T, Inc. | ||||||||
4.50%, 5/15/2035 | 220,000 | 256,876 | ||||||
4.30%, 12/15/2042 | 320,000 | 357,632 | ||||||
4.35%, 6/15/2045 | 315,000 | 349,673 | ||||||
Bell Canada | ||||||||
4.30%, 7/29/2049 | 25,000 | 30,651 | ||||||
Verizon Communications, Inc. | ||||||||
4.27%, 1/15/2036 | 539,000 | 659,612 | ||||||
4.52%, 9/15/2048 | 100,000 | 128,787 | ||||||
4.00%, 3/22/2050 | 200,000 | 241,863 | ||||||
2,025,094 | ||||||||
Electric Utilities – 6.2% | ||||||||
AEP Texas, Inc. | ||||||||
Series H, 3.45%, 1/15/2050 | 130,000 | 140,230 | ||||||
American Electric Power Co., Inc. | ||||||||
3.25%, 3/1/2050 | 150,000 | 152,614 | ||||||
Arizona Public Service Co. | ||||||||
4.35%, 11/15/2045 | 150,000 | 189,042 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 363 |
Table of Contents
FlexShares® Credit-Scored US Long Corporate Bond Index Fund (cont.)
Investments | Principal Amount | Value | ||||||
CORPORATE BONDS – (continued) | ||||||||
Electric Utilities – (continued) | ||||||||
Exelon Corp. | ||||||||
4.45%, 4/15/2046 | $ | 165,000 | $ | 200,779 | ||||
Georgia Power Co. | ||||||||
4.30%, 3/15/2042 | 200,000 | 238,741 | ||||||
Series B, 3.70%, 1/30/2050 | 50,000 | 56,298 | ||||||
Indiana Michigan Power Co. | ||||||||
6.05%, 3/15/2037 | 100,000 | 139,109 | ||||||
Interstate Power and Light Co. | ||||||||
6.25%, 7/15/2039 | 150,000 | 214,860 | ||||||
MidAmerican Energy Co. | ||||||||
4.25%, 7/15/2049 | 200,000 | 256,809 | ||||||
3.15%, 4/15/2050 | 100,000 | 110,261 | ||||||
Oklahoma Gas and Electric Co. | ||||||||
4.15%, 4/1/2047 | 125,000 | 147,628 | ||||||
PPL Capital Funding, Inc. | ||||||||
5.00%, 3/15/2044 | 100,000 | 125,922 | ||||||
Southern California Edison Co. | ||||||||
4.50%, 9/1/2040 | 125,000 | 141,553 | ||||||
Southern Co. (The) | ||||||||
4.40%, 7/1/2046 | 150,000 | 180,031 | ||||||
Southwestern Electric Power Co. | ||||||||
Series L, 3.85%, 2/1/2048 | 100,000 | 110,098 | ||||||
Virginia Electric and Power Co. | ||||||||
8.88%, 11/15/2038 | 200,000 | 357,114 | ||||||
Wisconsin Public Service Corp. | ||||||||
4.75%, 11/1/2044 | 100,000 | 129,736 | ||||||
2,890,825 | ||||||||
Electronic Equipment, Instruments & Components – 0.4% | ||||||||
Corning, Inc. | ||||||||
4.75%, 3/15/2042 | 45,000 | 55,358 | ||||||
4.38%, 11/15/2057 | 125,000 | 145,810 | ||||||
201,168 | ||||||||
Energy Equipment & Services – 0.4% | ||||||||
Halliburton Co. | ||||||||
4.85%, 11/15/2035 | 185,000 | 194,458 | ||||||
Entertainment – 0.2% | ||||||||
Walt Disney Co. (The) | ||||||||
3.80%, 5/13/2060 | 75,000 | 86,372 |
Investments | Principal Amount | Value | ||||||
Equity Real Estate Investment Trusts (REITs) – 0.7% | ||||||||
ERP Operating LP | ||||||||
4.50%, 7/1/2044 | $ | 20,000 | $ | 25,056 | ||||
Federal Realty Investment Trust | ||||||||
4.50%, 12/1/2044 | 25,000 | 28,112 | ||||||
Kimco Realty Corp. | ||||||||
3.70%, 10/1/2049 | 100,000 | 97,814 | ||||||
Simon Property Group LP | ||||||||
4.25%, 10/1/2044 | 100,000 | 105,962 | ||||||
Ventas Realty LP | ||||||||
5.70%, 9/30/2043 | 50,000 | 61,296 | ||||||
318,240 | ||||||||
Food & Staples Retailing – 0.9% | ||||||||
Kroger Co. (The) | ||||||||
4.45%, 2/1/2047 | 45,000 | 54,889 | ||||||
3.95%, 1/15/2050 | 100,000 | 116,968 | ||||||
Walgreens Boots Alliance, Inc. |
| |||||||
4.80%, 11/18/2044 | 150,000 | 165,233 | ||||||
4.10%, 4/15/2050 | 100,000 | 101,633 | ||||||
438,723 | ||||||||
Food Products – 0.9% | ||||||||
Campbell Soup Co. | ||||||||
3.13%, 4/24/2050 | 100,000 | 100,462 | ||||||
General Mills, Inc. |
| |||||||
4.70%, 4/17/2048 | 50,000 | 67,041 | ||||||
JM Smucker Co. (The) |
| |||||||
3.55%, 3/15/2050 | 50,000 | 53,314 | ||||||
Kellogg Co. |
| |||||||
Series B, 7.45%, 4/1/2031 | 95,000 | 139,612 | ||||||
Mondelez International, Inc. |
| |||||||
2.63%, 9/4/2050 | 50,000 | 47,571 | ||||||
408,000 | ||||||||
Gas Utilities – 1.2% | ||||||||
Atmos Energy Corp. | ||||||||
5.50%, 6/15/2041 | 100,000 | 138,918 | ||||||
4.13%, 10/15/2044 | 15,000 | 18,438 | ||||||
4.30%, 10/1/2048 | 100,000 | 128,475 | ||||||
Dominion Energy Gas Holdings LLC |
| |||||||
4.60%, 12/15/2044 | 100,000 | 122,269 | ||||||
ONE Gas, Inc. |
| |||||||
4.50%, 11/1/2048 | 100,000 | 126,583 | ||||||
Southern California Gas Co. |
| |||||||
Series VV, 4.30%, 1/15/2049 | 20,000 | 25,397 | ||||||
560,080 |
See Accompanying Notes to the Financial Statements.
364 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® Credit-Scored US Long Corporate Bond Index Fund (cont.)
Investments | Principal Amount | Value | ||||||
CORPORATE BONDS – (continued) | ||||||||
Health Care Equipment & Supplies – 1.0% | ||||||||
Baxter International, Inc. | ||||||||
3.50%, 8/15/2046 | $ | 100,000 | $ | 111,701 | ||||
Becton Dickinson and Co. |
| |||||||
4.67%, 6/6/2047 | 100,000 | 123,972 | ||||||
DH Europe Finance II Sarl |
| |||||||
3.40%, 11/15/2049 | 50,000 | 57,133 | ||||||
Koninklijke Philips NV |
| |||||||
5.00%, 3/15/2042 | 135,000 | 175,557 | ||||||
468,363 | ||||||||
Health Care Providers & Services – 1.6% | ||||||||
AmerisourceBergen Corp. | ||||||||
4.30%, 12/15/2047 | 100,000 | 115,544 | ||||||
Cardinal Health, Inc. |
| |||||||
4.37%, 6/15/2047 | 150,000 | 164,092 | ||||||
CVS Health Corp. |
| |||||||
5.05%, 3/25/2048 | 150,000 | 190,549 | ||||||
Humana, Inc. |
| |||||||
4.95%, 10/1/2044 | 115,000 | 151,425 | ||||||
3.95%, 8/15/2049 | 50,000 | 59,143 | ||||||
UnitedHealth Group, Inc. |
| |||||||
3.88%, 8/15/2059 | 50,000 | 60,947 | ||||||
741,700 | ||||||||
Hotels, Restaurants & Leisure – 1.2% | ||||||||
McDonald’s Corp. | ||||||||
6.30%, 3/1/2038 | 75,000 | 110,979 | ||||||
4.45%, 3/1/2047 | 200,000 | 246,167 | ||||||
Starbucks Corp. |
| |||||||
4.45%, 8/15/2049 | 150,000 | 182,853 | ||||||
539,999 | ||||||||
Independent Power and Renewable Electricity Producers – 0.6% | ||||||||
Exelon Generation Co. LLC | ||||||||
5.60%, 6/15/2042 | 100,000 | 113,207 | ||||||
Southern Power Co. |
| |||||||
5.15%, 9/15/2041 | 150,000 | 175,676 | ||||||
288,883 | ||||||||
Industrial Conglomerates – 0.9% | ||||||||
General Electric Co. | ||||||||
4.35%, 5/1/2050 | 100,000 | 106,718 |
Investments | Principal Amount | Value | ||||||
Industrial Conglomerates – (continued) | ||||||||
Honeywell International, Inc. |
| |||||||
5.70%, 3/15/2036 | $ | 100,000 | $ | 141,125 | ||||
Trane Technologies Global Holding Co. Ltd. |
| |||||||
5.75%, 6/15/2043 | 20,000 | 27,756 | ||||||
Trane Technologies Luxembourg Finance SA |
| |||||||
4.50%, 3/21/2049 | 100,000 | 127,737 | ||||||
403,336 | ||||||||
Insurance – 5.4% | ||||||||
Aflac, Inc. | ||||||||
6.45%, 8/15/2040 | 50,000 | 69,320 | ||||||
Alleghany Corp. |
| |||||||
4.90%, 9/15/2044 | 75,000 | 93,593 | ||||||
Allstate Corp. (The) |
| |||||||
4.20%, 12/15/2046 | 150,000 | 190,260 | ||||||
6.50%, 5/15/2057(a) | 15,000 | 19,601 | ||||||
American International Group, Inc. |
| |||||||
3.88%, 1/15/2035 | 110,000 | 127,319 | ||||||
Aon plc |
| |||||||
4.60%, 6/14/2044 | 55,000 | 70,463 | ||||||
4.75%, 5/15/2045 | 100,000 | 131,697 | ||||||
Arch Capital Group Ltd. |
| |||||||
7.35%, 5/1/2034 | 150,000 | 226,047 | ||||||
Berkshire Hathaway Finance Corp. |
| |||||||
5.75%, 1/15/2040 | 65,000 | 98,632 | ||||||
4.25%, 1/15/2049 | 150,000 | 190,921 | ||||||
Brighthouse Financial, Inc. |
| |||||||
4.70%, 6/22/2047 | 50,000 | 48,734 | ||||||
Chubb Corp. (The) |
| |||||||
6.00%, 5/11/2037 | 30,000 | 44,153 | ||||||
Manulife Financial Corp. |
| |||||||
5.38%, 3/4/2046 | 30,000 | 42,161 | ||||||
Markel Corp. |
| |||||||
5.00%, 4/5/2046 | 150,000 | 197,070 | ||||||
Marsh & McLennan Cos., Inc. |
| |||||||
4.35%, 1/30/2047 | 20,000 | 25,761 | ||||||
4.90%, 3/15/2049 | 165,000 | 229,286 | ||||||
MetLife, Inc. |
| |||||||
6.40%, 12/15/2036 | 60,000 | 74,618 | ||||||
4.88%, 11/13/2043 | 50,000 | 66,442 | ||||||
Principal Financial Group, Inc. |
| |||||||
6.05%, 10/15/2036 | 25,000 | 35,234 | ||||||
Progressive Corp. (The) |
| |||||||
4.13%, 4/15/2047 | 100,000 | 128,486 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 365 |
Table of Contents
FlexShares® Credit-Scored US Long Corporate Bond Index Fund (cont.)
Investments | Principal Amount | Value | ||||||
CORPORATE BONDS – (continued) | ||||||||
Insurance – (continued) | ||||||||
Prudential Financial, Inc. |
| |||||||
3.94%, 12/7/2049 | $ | 45,000 | $ | 51,241 | ||||
Travelers Cos., Inc. (The) |
| |||||||
4.10%, 3/4/2049 | 70,000 | 88,335 | ||||||
W R Berkley Corp. |
| |||||||
4.75%, 8/1/2044 | 100,000 | 126,309 | ||||||
Willis North America, Inc. |
| |||||||
3.88%, 9/15/2049 | 100,000 | 116,884 | ||||||
2,492,567 | ||||||||
Interactive Media & Services – 0.1% | ||||||||
Alphabet, Inc. | ||||||||
2.25%, 8/15/2060 | 75,000 | 67,202 | ||||||
Internet & Direct Marketing Retail – 1.5% | ||||||||
Alibaba Group Holding Ltd. |
| |||||||
4.00%, 12/6/2037 | 270,000 | 318,046 | ||||||
4.40%, 12/6/2057 | 50,000 | 65,475 | ||||||
Amazon.com, Inc. |
| |||||||
4.25%, 8/22/2057 | 165,000 | 218,818 | ||||||
2.70%, 6/3/2060 | 50,000 | 51,010 | ||||||
eBay, Inc. |
| |||||||
4.00%, 7/15/2042 | 35,000 | 38,991 | ||||||
692,340 | ||||||||
IT Services – 2.1% | ||||||||
International Business Machines Corp. | ||||||||
4.25%, 5/15/2049 | 100,000 | 123,718 | ||||||
Mastercard, Inc. |
| |||||||
3.65%, 6/1/2049 | 200,000 | 241,361 | ||||||
Visa, Inc. |
| |||||||
4.30%, 12/14/2045 | 170,000 | 223,116 | ||||||
3.65%, 9/15/2047 | 300,000 | 369,402 | ||||||
957,597 | ||||||||
Life Sciences Tools & Services – 0.1% | ||||||||
Thermo Fisher Scientific, Inc. | ||||||||
4.10%, 8/15/2047 | 40,000 | 50,576 | ||||||
Machinery – 0.5% | ||||||||
Cummins, Inc. |
| |||||||
4.88%, 10/1/2043 | 50,000 | 67,100 |
Investments | Principal Amount | Value | ||||||
Machinery – (continued) | ||||||||
Fortive Corp. |
| |||||||
4.30%, 6/15/2046 | $ | 25,000 | $ | 29,598 | ||||
Illinois Tool Works, Inc. |
| |||||||
3.90%, 9/1/2042 | 25,000 | 30,560 | ||||||
Snap-on, Inc. |
| |||||||
3.10%, 5/1/2050 | 100,000 | 106,366 | ||||||
233,624 | ||||||||
Media – 4.7% | ||||||||
Charter Communications Operating LLC | ||||||||
5.38%, 4/1/2038 | 400,000 | 478,817 | ||||||
6.48%, 10/23/2045 | 250,000 | 337,908 | ||||||
3.70%, 4/1/2051 | 50,000 | 48,887 | ||||||
Comcast Corp. |
| |||||||
4.70%, 10/15/2048 | 55,000 | 73,516 | ||||||
Discovery Communications LLC |
| |||||||
5.20%, 9/20/2047 | 200,000 | 238,604 | ||||||
4.65%, 5/15/2050 | 125,000 | 141,349 | ||||||
Fox Corp. |
| |||||||
5.58%, 1/25/2049 | 150,000 | 205,259 | ||||||
Time Warner Cable LLC |
| |||||||
7.30%, 7/1/2038 | 200,000 | 280,026 | ||||||
6.75%, 6/15/2039 | 100,000 | 134,046 | ||||||
5.88%, 11/15/2040 | 100,000 | 124,149 | ||||||
ViacomCBS, Inc. |
| |||||||
5.85%, 9/1/2043 | 100,000 | 126,285 | ||||||
2,188,846 | ||||||||
Metals & Mining – 2.6% | ||||||||
Barrick PD Australia Finance Pty. Ltd. | ||||||||
5.95%, 10/15/2039 | 250,000 | 353,669 | ||||||
BHP Billiton Finance USA Ltd. |
| |||||||
5.00%, 9/30/2043 | 245,000 | 340,364 | ||||||
Rio Tinto Finance USA Ltd. |
| |||||||
5.20%, 11/2/2040 | 65,000 | 92,248 | ||||||
Vale Overseas Ltd. |
| |||||||
6.88%, 11/21/2036 | 100,000 | 134,511 | ||||||
6.88%, 11/10/2039 | 200,000 | 274,750 | ||||||
1,195,542 | ||||||||
Multiline Retail – 0.1% | ||||||||
Dollar General Corp. | ||||||||
4.13%, 4/3/2050 | 50,000 | 60,173 |
See Accompanying Notes to the Financial Statements.
366 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® Credit-Scored US Long Corporate Bond Index Fund (cont.)
Investments | Principal Amount | Value | ||||||
CORPORATE BONDS – (continued) | ||||||||
Multi-Utilities – 3.1% | ||||||||
Ameren Illinois Co. |
| |||||||
4.50%, 3/15/2049 | $ | 200,000 | $ | 263,688 | ||||
Berkshire Hathaway Energy Co. |
| |||||||
6.13%, 4/1/2036 | 200,000 | 287,244 | ||||||
4.25%, 10/15/2050(b) | 150,000 | 186,383 | ||||||
Consolidated Edison Co. of New York, Inc. |
| |||||||
Series A, 4.13%, 5/15/2049 | 100,000 | 121,085 | ||||||
4.50%, 5/15/2058 | 130,000 | 168,286 | ||||||
Consumers Energy Co. |
| |||||||
2.50%, 5/1/2060 | 100,000 | 94,016 | ||||||
Southern Co. Gas Capital Corp. |
| |||||||
5.88%, 3/15/2041 | 150,000 | 206,311 | ||||||
3.95%, 10/1/2046 | 84,000 | 93,741 | ||||||
1,420,754 | ||||||||
Oil, Gas & Consumable Fuels – 9.6% | ||||||||
Canadian Natural Resources Ltd. | ||||||||
6.25%, 3/15/2038 | 45,000 | 52,443 | ||||||
4.95%, 6/1/2047 | 50,000 | 53,165 | ||||||
Columbia Pipeline Group, Inc. |
| |||||||
5.80%, 6/1/2045 | 50,000 | 64,816 | ||||||
Devon Energy Corp. |
| |||||||
5.60%, 7/15/2041 | 110,000 | 113,321 | ||||||
Enbridge Energy Partners LP |
| |||||||
5.50%, 9/15/2040 | 100,000 | 117,979 | ||||||
Enbridge, Inc. |
| |||||||
5.50%, 12/1/2046 | 125,000 | 157,325 | ||||||
Energy Transfer Operating LP |
| |||||||
6.50%, 2/1/2042 | 200,000 | 213,937 | ||||||
6.25%, 4/15/2049 | 200,000 | 211,473 | ||||||
Enterprise Products Operating LLC |
| |||||||
5.95%, 2/1/2041 | 180,000 | 229,640 | ||||||
4.45%, 2/15/2043 | 300,000 | 323,446 | ||||||
4.85%, 3/15/2044 | 230,000 | 260,621 | ||||||
4.25%, 2/15/2048 | 85,000 | 91,525 | ||||||
Exxon Mobil Corp. |
| |||||||
4.33%, 3/19/2050 | 50,000 | 60,559 | ||||||
Kinder Morgan Energy Partners LP |
| |||||||
6.95%, 1/15/2038 | 100,000 | 129,113 | ||||||
5.50%, 3/1/2044 | 200,000 | 230,431 | ||||||
Kinder Morgan, Inc. |
| |||||||
5.55%, 6/1/2045 | 225,000 | 263,800 |
Investments | Principal Amount | Value | ||||||
Oil, Gas & Consumable Fuels – (continued) | ||||||||
Magellan Midstream Partners LP |
| |||||||
5.15%, 10/15/2043 | $ | 15,000 | $ | 17,613 | ||||
4.20%, 10/3/2047 | 145,000 | 149,649 | ||||||
4.85%, 2/1/2049 | 100,000 | 113,267 | ||||||
Marathon Petroleum Corp. |
| |||||||
6.50%, 3/1/2041 | 100,000 | 116,894 | ||||||
MPLX LP |
| |||||||
5.50%, 2/15/2049 | 100,000 | 110,997 | ||||||
ONEOK Partners LP |
| |||||||
6.13%, 2/1/2041 | 100,000 | 103,917 | ||||||
ONEOK, Inc. |
| |||||||
5.20%, 7/15/2048 | 100,000 | 97,380 | ||||||
Phillips 66 |
| |||||||
5.88%, 5/1/2042 | 90,000 | 111,606 | ||||||
Phillips 66 Partners LP |
| |||||||
4.90%, 10/1/2046 | 75,000 | 75,598 | ||||||
Plains All American Pipeline LP |
| |||||||
5.15%, 6/1/2042 | 185,000 | 170,101 | ||||||
TransCanada PipeLines Ltd. |
| |||||||
6.20%, 10/15/2037 | 225,000 | 304,737 | ||||||
7.63%, 1/15/2039 | 150,000 | 228,104 | ||||||
Valero Energy Corp. |
| |||||||
6.63%, 6/15/2037 | 200,000 | 235,477 | ||||||
4.90%, 3/15/2045 | 50,000 | 50,644 | ||||||
4,459,578 | ||||||||
Personal Products – 0.2% | ||||||||
Estee Lauder Cos., Inc. (The) | ||||||||
3.70%, 8/15/2042 | 100,000 | 105,262 | ||||||
Pharmaceuticals – 3.8% | ||||||||
Eli Lilly and Co. |
| |||||||
3.95%, 3/15/2049 | 50,000 | 62,092 | ||||||
4.15%, 3/15/2059 | 145,000 | 188,209 | ||||||
Johnson & Johnson |
| |||||||
5.85%, 7/15/2038 | 150,000 | 227,845 | ||||||
3.70%, 3/1/2046 | 255,000 | 316,136 | ||||||
Merck & Co., Inc. |
| |||||||
3.70%, 2/10/2045 | 145,000 | 172,296 | ||||||
Novartis Capital Corp. |
| |||||||
4.40%, 5/6/2044 | 120,000 | 160,325 | ||||||
Pfizer, Inc. |
| |||||||
5.60%, 9/15/2040 | 100,000 | 142,556 | ||||||
Upjohn, Inc. |
| |||||||
3.85%, 6/22/2040(b) | 200,000 | 215,787 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 367 |
Table of Contents
FlexShares® Credit-Scored US Long Corporate Bond Index Fund (cont.)
Investments | Principal Amount | Value | ||||||
CORPORATE BONDS – (continued) | ||||||||
Pharmaceuticals – (continued) | ||||||||
Zoetis, Inc. |
| |||||||
4.45%, 8/20/2048 | $ | 135,000 | $ | 173,725 | ||||
3.00%, 5/15/2050 | 100,000 | 105,452 | ||||||
1,764,423 | ||||||||
Professional Services – 0.1% | ||||||||
Verisk Analytics, Inc. | ||||||||
3.63%, 5/15/2050 | 50,000 | 55,692 | ||||||
Road & Rail – 4.0% | ||||||||
Burlington Northern Santa Fe LLC |
| |||||||
5.15%, 9/1/2043 | 204,000 | 278,332 | ||||||
4.90%, 4/1/2044 | 300,000 | 404,141 | ||||||
4.15%, 12/15/2048 | 100,000 | 124,768 | ||||||
Canadian National Railway Co. |
| |||||||
6.38%, 11/15/2037 | 100,000 | 153,208 | ||||||
Canadian Pacific Railway Co. |
| |||||||
6.13%, 9/15/2115 | 150,000 | 225,992 | ||||||
CSX Corp. |
| |||||||
4.50%, 8/1/2054 | 100,000 | 127,508 | ||||||
Kansas City Southern |
| |||||||
4.30%, 5/15/2043 | 100,000 | 106,340 | ||||||
Norfolk Southern Corp. |
| |||||||
5.10%, 8/1/2118 | 50,000 | 63,003 | ||||||
Union Pacific Corp. |
| |||||||
4.10%, 9/15/2067 | 325,000 | 376,217 | ||||||
1,859,509 | ||||||||
Semiconductors & Semiconductor Equipment – 1.0% | ||||||||
KLA Corp. | ||||||||
3.30%, 3/1/2050 | 100,000 | 105,531 | ||||||
NVIDIA Corp. |
| |||||||
3.50%, 4/1/2050 | 200,000 | 233,357 | ||||||
Texas Instruments, Inc. |
| |||||||
4.15%, 5/15/2048 | 100,000 | 130,957 | ||||||
469,845 | ||||||||
Software – 3.0% | ||||||||
Microsoft Corp. | ||||||||
3.70%, 8/8/2046 | 100,000 | 123,106 | ||||||
3.95%, 8/8/2056 | 269,000 | 346,337 | ||||||
2.68%, 6/1/2060 | 56,000 | 57,457 |
Investments | Principal Amount | Value | ||||||
Software – (continued) | ||||||||
Oracle Corp. |
| |||||||
6.13%, 7/8/2039 | $ | 105,000 | $ | 156,371 | ||||
4.13%, 5/15/2045 | 225,000 | 265,054 | ||||||
3.60%, 4/1/2050 | 100,000 | 110,195 | ||||||
4.38%, 5/15/2055 | 165,000 | 204,537 | ||||||
3.85%, 4/1/2060 | 125,000 | 142,411 | ||||||
1,405,468 | ||||||||
Specialty Retail – 3.1% | ||||||||
Home Depot, Inc. (The) | ||||||||
5.88%, 12/16/2036 | 250,000 | 370,087 | ||||||
5.95%, 4/1/2041 | 150,000 | 225,865 | ||||||
4.88%, 2/15/2044 | 150,000 | 205,235 | ||||||
4.25%, 4/1/2046 | 100,000 | 127,708 | ||||||
Lowe’s Cos., Inc. |
| |||||||
4.55%, 4/5/2049 | 400,000 | 518,011 | ||||||
1,446,906 | ||||||||
Technology Hardware, Storage & Peripherals – 3.3% | ||||||||
Apple, Inc. | ||||||||
4.38%, 5/13/2045 | 200,000 | 265,254 | ||||||
4.65%, 2/23/2046 | 190,000 | 259,160 | ||||||
2.95%, 9/11/2049 | 100,000 | 107,566 | ||||||
Dell International LLC |
| |||||||
8.10%, 7/15/2036(b) | 400,000 | 540,822 | ||||||
Hewlett Packard Enterprise Co. |
| |||||||
6.35%, 10/15/2045(c) | 100,000 | 128,140 | ||||||
HP, Inc. |
| |||||||
6.00%, 9/15/2041 | 185,000 | 225,739 | ||||||
1,526,681 | ||||||||
Textiles, Apparel & Luxury Goods – 0.3% | ||||||||
NIKE, Inc. | ||||||||
3.38%, 3/27/2050 | 100,000 | 115,321 | ||||||
Tobacco – 5.4% | ||||||||
Altria Group, Inc. |
| |||||||
5.80%, 2/14/2039 | 200,000 | 254,970 | ||||||
4.25%, 8/9/2042 | 240,000 | 258,859 | ||||||
4.50%, 5/2/2043 | 100,000 | 109,886 | ||||||
5.38%, 1/31/2044 | 125,000 | 154,718 | ||||||
5.95%, 2/14/2049 | 150,000 | 199,361 | ||||||
BAT Capital Corp. |
| |||||||
4.39%, 8/15/2037 | 400,000 | 428,565 | ||||||
4.54%, 8/15/2047 | 200,000 | 210,836 |
See Accompanying Notes to the Financial Statements.
368 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® Credit-Scored US Long Corporate Bond Index Fund (cont.)
Investments | Principal Amount | Value | ||||||
CORPORATE BONDS – (continued) | ||||||||
Tobacco – (continued) | ||||||||
Philip Morris International, Inc. |
| |||||||
4.13%, 3/4/2043 | $ | 230,000 | $ | 270,136 | ||||
4.25%, 11/10/2044 | 250,000 | 299,320 | ||||||
Reynolds American, Inc. |
| |||||||
6.15%, 9/15/2043 | 100,000 | 123,687 | ||||||
5.85%, 8/15/2045 | 150,000 | 183,562 | ||||||
2,493,900 | ||||||||
Trading Companies & Distributors – 0.3% | ||||||||
WW Grainger, Inc. | ||||||||
4.60%, 6/15/2045 | 100,000 | 128,234 | ||||||
Water Utilities – 0.7% | ||||||||
American Water Capital Corp. |
| |||||||
4.30%, 12/1/2042 | 50,000 | 61,287 | ||||||
3.75%, 9/1/2047 | 150,000 | 175,335 | ||||||
4.20%, 9/1/2048 | 70,000 | 86,931 | ||||||
323,553 | ||||||||
Wireless Telecommunication Services – 0.4% | ||||||||
T-Mobile USA, Inc. | ||||||||
4.50%, 4/15/2050(b) | 100,000 | 116,471 | ||||||
Vodafone Group plc |
| |||||||
5.25%, 5/30/2048 | 50,000 | 64,854 | ||||||
181,325 | ||||||||
Total Corporate Bonds (Cost $43,999,329) |
| 45,871,567 | ||||||
Total Investments – 98.9% (Cost $43,999,329) |
| 45,871,567 | ||||||
Other assets less liabilities – 1.1% |
| 488,844 | ||||||
NET ASSETS – 100.0% |
| 46,360,411 |
(a) | 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. |
(b) | Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The value of these securities is determined by valuations supplied by a pricing service or brokers, or, if not available, in accordance with procedures established by the Board of Trustees. |
(c) | Step bond. Interest rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future at a contingent upon predetermined trigger. The interest rate shown was the current rate as of October 31, 2020. |
Percentages shown are based on Net Assets.
As of October 31, 2020, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments (including derivative instruments, if applicable) for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 2,165,640 | ||
Aggregate gross unrealized depreciation | (298,198 | ) | ||
Net unrealized appreciation | $ | 1,867,442 | ||
Federal income tax cost | $ | 44,004,125 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 369 |
Table of Contents
Schedule of Investments
FlexShares® High Yield Value-Scored Bond Index Fund
October 31, 2020
Investments | Principal Amount | Value | ||||||
CORPORATE BONDS – 97.2% | ||||||||
Aerospace & Defense – 3.0% | ||||||||
BWX Technologies, Inc. | ||||||||
4.13%, 6/30/2028(a) | $ | 200,000 | $ | 202,625 | ||||
F-Brasile SpA | ||||||||
Series NR, | 320,000 | 278,400 | ||||||
Howmet Aerospace, Inc. | ||||||||
6.75%, 1/15/2028 | 150,000 | 171,363 | ||||||
Kratos Defense & Security Solutions, Inc. | ||||||||
6.50%, 11/30/2025(a) | 100,000 | 104,615 | ||||||
Rolls-Royce plc | ||||||||
5.75%, 10/15/2027(a) | 200,000 | 202,750 | ||||||
Signature Aviation US Holdings, Inc. | ||||||||
5.38%, 5/1/2026(a) | 200,000 | 202,500 | ||||||
Spirit AeroSystems, Inc. | ||||||||
3.95%, 6/15/2023 | 190,000 | 169,931 | ||||||
7.50%, 4/15/2025(a) | 455,000 | 459,264 | ||||||
4.60%, 6/15/2028 | 350,000 | 291,746 | ||||||
TransDigm UK Holdings plc | ||||||||
6.88%, 5/15/2026 | 305,000 | 304,428 | ||||||
TransDigm, Inc. | ||||||||
6.50%, 5/15/2025 | 200,000 | 200,375 | ||||||
6.25%, 3/15/2026(a) | 805,000 | 840,215 | ||||||
6.38%, 6/15/2026 | 415,000 | 414,616 | ||||||
7.50%, 3/15/2027 | 315,000 | 325,880 | ||||||
5.50%, 11/15/2027 | 1,095,000 | 1,071,074 | ||||||
Triumph Group, Inc. | ||||||||
8.88%, 6/1/2024(a) | 100,000 | 106,342 | ||||||
6.25%, 9/15/2024(a) | 390,000 | 337,549 | ||||||
5,683,673 | ||||||||
Air Freight & Logistics – 0.2% | ||||||||
Cargo Aircraft Management, Inc. | ||||||||
4.75%, 2/1/2028(a) | 100,000 | 101,813 | ||||||
Western Global Airlines LLC | ||||||||
10.38%, 8/15/2025(a) | 265,000 | 274,932 | ||||||
376,745 |
Investments | Principal Amount | Value | ||||||
Airlines – 0.8% | ||||||||
Delta Air Lines, Inc. | ||||||||
2.90%, 10/28/2024 | $ | 550,000 | $ | 479,226 | ||||
7.38%, 1/15/2026 | 800,000 | 828,877 | ||||||
United Airlines Holdings, Inc. | ||||||||
4.25%, 10/1/2022 | 160,000 | 145,688 | ||||||
1,453,791 | ||||||||
Auto Components – 1.6% | ||||||||
Allison Transmission, Inc. | ||||||||
5.00%, 10/1/2024(a) | 150,000 | 151,530 | ||||||
4.75%, 10/1/2027(a) | 100,000 | 103,250 | ||||||
5.88%, 6/1/2029(a) | 200,000 | 219,023 | ||||||
Clarios Global LP | ||||||||
6.25%, 5/15/2026(a) | 375,000 | 393,296 | ||||||
8.50%, 5/15/2027(a) | 775,000 | 809,720 | ||||||
Dana Financing Luxembourg Sarl | ||||||||
6.50%, 6/1/2026(a) | 5,000 | 5,206 | ||||||
Dealer Tire LLC | ||||||||
8.00%, 2/1/2028(a) | 225,000 | 230,625 | ||||||
Goodyear Tire & Rubber Co. (The) | ||||||||
5.13%, 11/15/2023 | 425,000 | 423,355 | ||||||
4.88%, 3/15/2027 | 275,000 | 268,147 | ||||||
Icahn Enterprises LP | ||||||||
6.25%, 5/15/2026 | 375,000 | 389,940 | ||||||
JB Poindexter & Co., Inc. | ||||||||
7.13%, 4/15/2026(a) | 30,000 | 31,991 | ||||||
3,026,083 | ||||||||
Automobiles – 2.0% | ||||||||
Ford Motor Co. | ||||||||
8.50%, 4/21/2023 | 925,000 | 1,022,444 | ||||||
9.00%, 4/22/2025 | 925,000 | 1,091,204 | ||||||
4.35%, 12/8/2026 | 45,000 | 45,394 | ||||||
6.63%, 10/1/2028 | 365,000 | 409,256 | ||||||
6.38%, 2/1/2029 | 150,000 | 156,656 | ||||||
9.63%, 4/22/2030 | 100,000 | 134,411 | ||||||
8.90%, 1/15/2032 | 225,000 | 273,937 | ||||||
5.29%, 12/8/2046 | 125,000 | 118,401 | ||||||
Mclaren Finance plc | ||||||||
5.75%, 8/1/2022(a) | 200,000 | 184,500 |
See Accompanying Notes to the Financial Statements.
370 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® High Yield Value-Scored Bond Index Fund (cont.)
Investments | Principal Amount | Value | ||||||
CORPORATE BONDS – (continued) | ||||||||
Automobiles – (continued) | ||||||||
PM General Purchaser LLC | ||||||||
9.50%, 10/1/2028(a) | $ | 395,000 | $ | 413,269 | ||||
3,849,472 | ||||||||
Banks – 1.1% | ||||||||
UniCredit SpA | ||||||||
7.30%, 4/2/2034(a) (b) | 200,000 | 229,144 | ||||||
5.46%, 6/30/2035(a) (b) | 1,760,000 | 1,785,906 | ||||||
2,015,050 | ||||||||
Beverages – 0.1% | ||||||||
Primo Water Holdings, Inc. | ||||||||
5.50%, 4/1/2025(a) | 280,000 | 289,450 | ||||||
Biotechnology – 0.1% | ||||||||
Horizon Therapeutics USA, Inc. | ||||||||
5.50%, 8/1/2027(a) | 220,000 | 234,478 | ||||||
Building Products – 0.5% | ||||||||
Associated Materials LLC | ||||||||
9.00%, 9/1/2025(a) | 100,000 | 105,750 | ||||||
BMC East LLC | ||||||||
5.50%, 10/1/2024(a) | 75,000 | 77,016 | ||||||
Forterra Finance LLC | ||||||||
6.50%, 7/15/2025(a) | 150,000 | 158,719 | ||||||
Patrick Industries, Inc. | ||||||||
7.50%, 10/15/2027(a) | 200,000 | 217,186 | ||||||
PGT Innovations, Inc. | ||||||||
6.75%, 8/1/2026(a) | 130,000 | 137,938 | ||||||
Standard Industries, Inc. | ||||||||
3.38%, 1/15/2031(a) | 220,000 | 214,408 | ||||||
911,017 | ||||||||
Capital Markets – 1.4% | ||||||||
Advisor Group Holdings, Inc. | ||||||||
10.75%, 8/1/2027(a) | 635,000 | 638,451 | ||||||
Deutsche Bank AG | ||||||||
4.88%, 12/1/2032(b) | 200,000 | 193,913 | ||||||
Donnelley Financial Solutions, Inc. | ||||||||
8.25%, 10/15/2024 | 30,000 | 31,534 | ||||||
FS Energy & Power Fund | ||||||||
7.50%, 8/15/2023(a) | 310,000 | 277,483 |
Investments | Principal Amount | Value | ||||||
Capital Markets – (continued) | ||||||||
LPL Holdings, Inc. | ||||||||
5.75%, 9/15/2025(a) | $ | 130,000 | $ | 134,920 | ||||
MSCI, Inc. | ||||||||
4.00%, 11/15/2029(a) | 200,000 | 209,070 | ||||||
Nomura Holdings, Inc. | ||||||||
2.65%, 1/16/2025 | 1,050,000 | 1,107,331 | ||||||
2,592,702 | ||||||||
Chemicals – 2.3% | ||||||||
Anagram International, Inc. | ||||||||
10.00%, 8/15/2026(a)(c) | 58,825 | 48,433 | ||||||
Chemours Co. (The) | ||||||||
7.00%, 5/15/2025 | 185,000 | 186,572 | ||||||
5.38%, 5/15/2027 | 5,000 | 4,916 | ||||||
Cornerstone Chemical Co. | ||||||||
6.75%, 8/15/2024(a) | 285,000 | 268,939 | ||||||
FXI Holdings, Inc. | ||||||||
7.88%, 11/1/2024(a) | 305,000 | 285,937 | ||||||
12.25%, 11/15/2026(a) | 552,000 | 577,787 | ||||||
Gates Global LLC | ||||||||
6.25%, 1/15/2026(a) | 210,000 | 217,701 | ||||||
GCP Applied Technologies, Inc. | ||||||||
5.50%, 4/15/2026(a) | 100,000 | 102,856 | ||||||
Hexion, Inc. | ||||||||
7.88%, 7/15/2027(a) | 265,000 | 275,434 | ||||||
Illuminate Buyer LLC | ||||||||
9.00%, 7/1/2028(a) | 305,000 | 326,731 | ||||||
Innophos Holdings, Inc. | ||||||||
9.38%, 2/15/2028(a) | 175,000 | 187,797 | ||||||
Methanex Corp. | ||||||||
4.25%, 12/1/2024 | 175,000 | 176,006 | ||||||
Neon Holdings, Inc. | ||||||||
10.13%, 4/1/2026(a) | 200,000 | 212,500 | ||||||
NOVA Chemicals Corp. | ||||||||
5.25%, 8/1/2023(a) | 150,000 | 149,717 | ||||||
Olin Corp. | ||||||||
9.50%, 6/1/2025(a) | 200,000 | 236,774 | ||||||
5.63%, 8/1/2029 | 100,000 | 103,499 | ||||||
Rain CII Carbon LLC | ||||||||
7.25%, 4/1/2025(a) | 300,000 | 296,813 | ||||||
TPC Group, Inc. | ||||||||
10.50%, 8/1/2024(a) | 670,000 | 560,777 | ||||||
Trinseo Materials Operating SCA | ||||||||
5.38%, 9/1/2025(a) | 180,000 | 183,038 | ||||||
4,402,227 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 371 |
Table of Contents
FlexShares® High Yield Value-Scored Bond Index Fund (cont.)
Investments | Principal Amount | Value | ||||||
CORPORATE BONDS – (continued) | ||||||||
Commercial Services & Supplies – 3.4% | ||||||||
Allied Universal Holdco LLC | ||||||||
9.75%, 7/15/2027(a) | $ | 505,000 | $ | 539,471 | ||||
Aptim Corp. | ||||||||
7.75%, 6/15/2025(a) | 300,000 | 184,844 | ||||||
APX Group, Inc. | ||||||||
7.63%, 9/1/2023 | 150,000 | 151,462 | ||||||
6.75%, 2/15/2027(a) | 290,000 | 302,688 | ||||||
Aramark Services, Inc. | ||||||||
6.38%, 5/1/2025(a) | 375,000 | 393,799 | ||||||
4.75%, 6/1/2026 | 225,000 | 223,931 | ||||||
Brink’s Co. (The) | ||||||||
5.50%, 7/15/2025(a) | 200,000 | 208,417 | ||||||
Cimpress plc | ||||||||
7.00%, 6/15/2026(a) | 380,000 | 379,453 | ||||||
Covanta Holding Corp. | ||||||||
5.88%, 7/1/2025 | 110,000 | 114,137 | ||||||
6.00%, 1/1/2027 | 100,000 | 104,500 | ||||||
Garda World Security Corp. | ||||||||
8.75%, 5/15/2025(a) | 260,000 | 259,510 | ||||||
9.50%, 11/1/2027(a) | 150,000 | 160,378 | ||||||
GFL Environmental, Inc. | ||||||||
4.25%, 6/1/2025(a) | 150,000 | 153,281 | ||||||
IAA, Inc. | ||||||||
5.50%, 6/15/2027(a) | 100,000 | 105,313 | ||||||
Intrado Corp. | ||||||||
8.50%, 10/15/2025(a) | 560,000 | 505,240 | ||||||
KAR Auction Services, Inc. | ||||||||
5.13%, 6/1/2025(a) | 180,000 | 181,575 | ||||||
Matthews International Corp. | ||||||||
5.25%, 12/1/2025(a) | 180,000 | 171,656 | ||||||
Nielsen Co. Luxembourg SARL (The) |
| |||||||
5.00%, 2/1/2025(a) | 110,000 | 113,198 | ||||||
Nielsen Finance LLC | ||||||||
5.88%, 10/1/2030(a) | 125,000 | 131,484 | ||||||
Pitney Bowes, Inc. | ||||||||
5.95%, 4/1/2023(d) | 150,000 | 149,797 | ||||||
4.63%, 3/15/2024 | 77,000 | 74,979 | ||||||
Prime Security Services Borrower LLC |
| |||||||
6.25%, 1/15/2028(a) | 635,000 | 642,550 | ||||||
Ritchie Bros Auctioneers, Inc. | ||||||||
5.38%, 1/15/2025(a) | 100,000 | 103,063 | ||||||
Stericycle, Inc. | ||||||||
5.38%, 7/15/2024(a) | 100,000 | 104,224 |
Investments | Principal Amount | Value | ||||||
Commercial Services & Supplies – (continued) | ||||||||
TMS International Holding Corp. | ||||||||
7.25%, 8/15/2025(a) | $ | 100,000 | $ | 95,750 | ||||
Vericast Corp. | ||||||||
8.38%, 8/15/2022(a) | 495,000 | 487,575 | ||||||
12.50%, 5/1/2024(a) | 312,372 | 319,400 | ||||||
Waste Pro USA, Inc. | ||||||||
5.50%, 2/15/2026(a) | 150,000 | 151,936 | ||||||
6,513,611 | ||||||||
Communications Equipment – 0.1% | ||||||||
Avaya, Inc. | ||||||||
6.13%, 9/15/2028(a) | 125,000 | 128,672 | ||||||
Construction & Engineering – 1.1% | ||||||||
AECOM | ||||||||
5.13%, 3/15/2027 | 200,000 | 219,452 | ||||||
Brand Industrial Services, Inc. | ||||||||
8.50%, 7/15/2025(a) | 625,000 | 588,875 | ||||||
Fluor Corp. | ||||||||
3.50%, 12/15/2024 | 280,000 | 254,386 | ||||||
New Enterprise Stone & Lime Co., Inc. | ||||||||
9.75%, 7/15/2028(a) | 115,000 | 124,775 | ||||||
Pike Corp. | ||||||||
5.50%, 9/1/2028(a) | 325,000 | 333,193 | ||||||
PowerTeam Services LLC | ||||||||
9.03%, 12/4/2025(a) | 480,000 | 509,700 | ||||||
2,030,381 | ||||||||
Consumer Finance – 0.9% | ||||||||
Credit Acceptance Corp. | ||||||||
6.63%, 3/15/2026 | $ | 400,000 | $ | 416,500 | ||||
Enova International, Inc. | ||||||||
8.50%, 9/1/2024(a) | 130,000 | 119,749 | ||||||
FirstCash, Inc. | ||||||||
4.63%, 9/1/2028(a) | 100,000 | 101,687 | ||||||
Ford Motor Credit Co. LLC | ||||||||
5.88%, 8/2/2021 | 10,000 | 10,225 | ||||||
4.13%, 8/4/2025 | 370,000 | 368,218 | ||||||
4.54%, 8/1/2026 | 200,000 | 203,750 | ||||||
5.11%, 5/3/2029 | 200,000 | 208,000 | ||||||
PRA Group, Inc. | ||||||||
7.38%, 9/1/2025(a) | 100,000 | 105,088 | ||||||
TMX Finance LLC | ||||||||
11.13%, 4/1/2023(a) | 130,000 | 120,074 |
See Accompanying Notes to the Financial Statements.
372 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® High Yield Value-Scored Bond Index Fund (cont.)
Investments | Principal Amount | Value | ||||||
CORPORATE BONDS – (continued) | ||||||||
Consumer Finance – (continued) | ||||||||
Voyager Aviation Holdings LLC | ||||||||
9.00%, 8/15/2021(a)(d) | $ | 290,000 | $ | 142,825 | ||||
1,796,116 | ||||||||
Containers & Packaging – 1.7% | ||||||||
Ball Corp. | ||||||||
2.88%, 8/15/2030 | 140,000 | 138,600 | ||||||
Berry Global, Inc. | ||||||||
5.63%, 7/15/2027(a) | 200,000 | 209,604 | ||||||
Flex Acquisition Co., Inc. | ||||||||
7.88%, 7/15/2026(a) | 430,000 | 435,547 | ||||||
Graham Packaging Co., Inc. | ||||||||
7.13%, 8/15/2028(a) | 340,000 | 355,937 | ||||||
Greif, Inc. | ||||||||
6.50%, 3/1/2027(a) | 100,000 | 105,062 | ||||||
Intelligent Packaging Ltd. Finco, Inc. | ||||||||
6.00%, 9/15/2028(a) | 195,000 | 198,778 | ||||||
Intertape Polymer Group, Inc. | ||||||||
7.00%, 10/15/2026(a) | 50,000 | 52,678 | ||||||
Mauser Packaging Solutions Holding Co. | ||||||||
7.25%, 4/15/2025(a) | 880,000 | 850,036 | ||||||
Pactiv LLC | ||||||||
8.38%, 4/15/2027 | 175,000 | 193,123 | ||||||
Plastipak Holdings, Inc. | ||||||||
6.25%, 10/15/2025(a) | 230,000 | 230,719 | ||||||
Trident TPI Holdings, Inc. | ||||||||
6.63%, 11/1/2025(a) | 100,000 | 99,615 | ||||||
Trivium Packaging Finance BV | ||||||||
8.50%, 8/15/2027(a)(d) | 400,000 | 428,790 | ||||||
3,298,489 | ||||||||
Distributors – 0.5% | ||||||||
Resideo Funding, Inc. | ||||||||
6.13%, 11/1/2026(a) | 150,000 | 145,125 | ||||||
Wolverine Escrow LLC | ||||||||
9.00%, 11/15/2026(a) | 625,000 | 477,937 | ||||||
13.13%, 11/15/2027(a) | 600,000 | 409,500 | ||||||
1,032,562 |
Investments | Principal Amount | Value | ||||||
Diversified Consumer Services – 0.3% | ||||||||
Carriage Services, Inc. | ||||||||
6.63%, 6/1/2026(a) | $ | 100,000 | $ | 105,462 | ||||
Graham Holdings Co. | ||||||||
5.75%, 6/1/2026(a) | 140,000 | 147,281 | ||||||
Midas Intermediate Holdco II LLC | ||||||||
7.88%, 10/1/2022(a) | 30,000 | 24,675 | ||||||
Service Corp. International | ||||||||
5.13%, 6/1/2029 | 200,000 | 218,904 | ||||||
496,322 | ||||||||
Diversified Financial Services – 0.5% | ||||||||
ACE Cash Express, Inc. | ||||||||
12.00%, 12/15/2022(a) | 45,000 | 32,062 | ||||||
CNG Holdings, Inc. | ||||||||
12.50%, 6/15/2024(a) | 111,000 | 97,957 | ||||||
Fairstone Financial, Inc. | ||||||||
7.88%, 7/15/2024(a) | 100,000 | 102,802 | ||||||
Jefferies Finance LLC | ||||||||
6.25%, 6/3/2026(a) | 200,000 | 204,020 | ||||||
Sabre GLBL, Inc. | ||||||||
5.25%, 11/15/2023(a) | 250,000 | 245,625 | ||||||
9.25%, 4/15/2025(a) | 185,000 | 204,194 | ||||||
Shift4 Payments LLC | ||||||||
4.63%, 11/1/2026(a) | 125,000 | 126,913 | ||||||
1,013,573 | ||||||||
Diversified Telecommunication Services – 4.6% | ||||||||
Altice France Holding SA | ||||||||
10.50%, 5/15/2027(a) | 615,000 | 679,191 | ||||||
6.00%, 2/15/2028(a) | 750,000 | 723,266 | ||||||
CCO Holdings LLC | ||||||||
5.13%, 5/1/2027(a) | 610,000 | 641,314 | ||||||
5.00%, 2/1/2028(a) | 760,000 | 799,140 | ||||||
5.38%, 6/1/2029(a) | 450,000 | 487,638 | ||||||
4.75%, 3/1/2030(a) | 545,000 | 573,940 | ||||||
4.50%, 8/15/2030(a) | 425,000 | 442,217 | ||||||
4.25%, 2/1/2031(a) | 460,000 | 471,978 | ||||||
CenturyLink, Inc. | ||||||||
Series G, | 250,000 | 278,390 | ||||||
DKT Finance ApS | ||||||||
9.38%, 6/17/2023(a) | 200,000 | 204,271 | ||||||
Koninklijke KPN NV | ||||||||
7.00%, 3/28/2073(a) (b) | 100,000 | 104,884 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 373 |
Table of Contents
FlexShares® High Yield Value-Scored Bond Index Fund (cont.)
Investments | Principal Amount | Value | ||||||
CORPORATE BONDS – (continued) | ||||||||
Diversified Telecommunication Services – (continued) | ||||||||
Sprint Capital Corp. | ||||||||
6.88%, 11/15/2028 | $ | 180,000 | $ | 228,037 | ||||
8.75%, 3/15/2032 | 350,000 | 524,038 | ||||||
Switch Ltd. | ||||||||
3.75%, 9/15/2028(a) | 125,000 | 125,391 | ||||||
Telesat Canada | ||||||||
6.50%, 10/15/2027(a) | 375,000 | 373,650 | ||||||
Virgin Media Finance plc | ||||||||
5.00%, 7/15/2030(a) | 840,000 | 836,850 | ||||||
Virgin Media Secured Finance plc | ||||||||
5.50%, 8/15/2026(a) | 200,000 | 208,445 | ||||||
5.50%, 5/15/2029(a) | 200,000 | 214,000 | ||||||
Zayo Group Holdings, Inc. | ||||||||
6.13%, 3/1/2028(a) | 775,000 | 783,114 | ||||||
8,699,754 | ||||||||
Electric Utilities – 0.8% | ||||||||
Bruce Mansfield Unit 1 Pass-Through Trust | ||||||||
Series 2007, | 200,000 | 1,200 | ||||||
Emera, Inc. | ||||||||
Series 16-A, | 35,000 | 38,823 | ||||||
NRG Energy, Inc. | ||||||||
7.25%, 5/15/2026 | 200,000 | 211,698 | ||||||
6.63%, 1/15/2027 | 310,000 | 326,727 | ||||||
5.75%, 1/15/2028 | 285,000 | 307,893 | ||||||
Terraform Global Operating LLC | ||||||||
6.13%, 3/1/2026(a) | 75,000 | 76,017 | ||||||
Vistra Operations Co. LLC | ||||||||
5.50%, 9/1/2026(a) | 250,000 | 259,063 | ||||||
5.63%, 2/15/2027(a) | 320,000 | 334,067 | ||||||
1,555,488 | ||||||||
Electrical Equipment – 0.1% | ||||||||
EnerSys | ||||||||
5.00%, 4/30/2023(a) | 100,000 | 103,062 | ||||||
Electronic Equipment, Instruments & Components – 0.1% | ||||||||
TTM Technologies, Inc. | ||||||||
5.63%, 10/1/2025(a) | 125,000 | 128,893 |
Investments | Principal Amount | Value | ||||||
Energy Equipment & Services – 1.9% | ||||||||
CSI Compressco LP | ||||||||
7.50%, 4/1/2025(a) | $ | 23,000 | $ | 20,266 | ||||
10.00%, 4/1/2026(a)(c) | 72,763 | 52,534 | ||||||
Diamond Offshore Drilling, Inc. | ||||||||
3.45%, 11/1/2023(e) | 90,000 | 6,178 | ||||||
7.88%, 8/15/2025(e) | 310,000 | 21,700 | ||||||
Exterran Energy Solutions LP | ||||||||
8.13%, 5/1/2025 | 150,000 | 126,547 | ||||||
Nabors Industries Ltd. | ||||||||
7.25%, 1/15/2026(a) | 725,000 | 291,359 | ||||||
Oceaneering International, Inc. | ||||||||
4.65%, 11/15/2024 | 225,000 | 182,812 | ||||||
6.00%, 2/1/2028 | 225,000 | 167,063 | ||||||
Precision Drilling Corp. | ||||||||
7.75%, 12/15/2023 | 100,000 | 74,312 | ||||||
7.13%, 1/15/2026(a) | 425,000 | 269,263 | ||||||
SESI LLC | ||||||||
7.13%, 12/15/2021(a)(d) | 390,000 | 91,163 | ||||||
Tervita Corp. | ||||||||
7.63%, 12/1/2021(a) | 80,000 | 77,000 | ||||||
Transocean Guardian Ltd. | ||||||||
5.88%, 1/15/2024(a) | 666,900 | 408,476 | ||||||
Transocean Poseidon Ltd. | ||||||||
6.88%, 2/1/2027(a) | 430,000 | 323,575 | ||||||
Transocean, Inc. | ||||||||
11.50%, 1/30/2027(a) | 1,218,000 | 404,955 | ||||||
USA Compression Partners LP | ||||||||
6.88%, 4/1/2026 | 255,000 | 253,339 | ||||||
Vantage Drilling International | ||||||||
9.25%, 11/15/2023(a) | 200,000 | 107,729 | ||||||
Weatherford International Ltd. | ||||||||
11.00%, 12/1/2024(a) | 1,350,000 | 802,089 | ||||||
3,680,360 | ||||||||
Entertainment – 1.3% | ||||||||
Allen Media LLC | ||||||||
10.50%, 2/15/2028(a) | 150,000 | 145,852 | ||||||
Live Nation Entertainment, Inc. | ||||||||
4.88%, 11/1/2024(a) | 395,000 | 380,930 | ||||||
5.63%, 3/15/2026(a) | 300,000 | 286,950 | ||||||
4.75%, 10/15/2027(a) | 605,000 | 556,978 | ||||||
Netflix, Inc. | ||||||||
5.88%, 11/15/2028 | 440,000 | 526,495 | ||||||
5.38%, 11/15/2029(a) | 125,000 | 146,563 |
See Accompanying Notes to the Financial Statements.
374 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® High Yield Value-Scored Bond Index Fund (cont.)
Investments | Principal Amount | Value | ||||||
CORPORATE BONDS – (continued) | ||||||||
Entertainment – (continued) | ||||||||
4.88%, 6/15/2030(a) | $ | 395,000 | $ | 451,534 | ||||
2,495,302 | ||||||||
Equity Real Estate Investment Trusts (REITs) – 3.4% | ||||||||
Brookfield Property REIT, Inc. | ||||||||
5.75%, 5/15/2026(a) | 650,000 | 540,719 | ||||||
CoreCivic, Inc. | ||||||||
4.63%, 5/1/2023 | 100,000 | 91,750 | ||||||
4.75%, 10/15/2027 | 150,000 | 117,375 | ||||||
Diversified Healthcare Trust | ||||||||
9.75%, 6/15/2025 | 80,000 | 88,109 | ||||||
ESH Hospitality, Inc. | ||||||||
5.25%, 5/1/2025(a) | 330,000 | 330,487 | ||||||
4.63%, 10/1/2027(a) | 350,000 | 343,437 | ||||||
FelCor Lodging LP | ||||||||
6.00%, 6/1/2025 | 190,000 | 187,368 | ||||||
GEO Group, Inc. (The) | ||||||||
5.88%, 10/15/2024 | 517,000 | 359,685 | ||||||
Iron Mountain, Inc. | ||||||||
5.25%, 3/15/2028(a) | 450,000 | 462,094 | ||||||
4.88%, 9/15/2029(a) | 355,000 | 359,082 | ||||||
iStar, Inc. | ||||||||
4.75%, 10/1/2024 | 400,000 | 382,710 | ||||||
MGM Growth Properties Operating Partnership LP | ||||||||
5.75%, 2/1/2027 | 75,000 | 81,052 | ||||||
MPT Operating Partnership LP | ||||||||
5.25%, 8/1/2026 | 100,000 | 104,000 | ||||||
4.63%, 8/1/2029 | 100,000 | 104,872 | ||||||
Park Intermediate Holdings LLC | ||||||||
7.50%, 6/1/2025(a) | 300,000 | 314,063 | ||||||
SBA Communications Corp. | ||||||||
4.00%, 10/1/2022 | 125,000 | 126,328 | ||||||
Service Properties Trust | ||||||||
5.00%, 8/15/2022 | 275,000 | 272,250 | ||||||
4.50%, 6/15/2023 | 100,000 | 96,438 | ||||||
4.35%, 10/1/2024 | 100,000 | 88,625 | ||||||
Uniti Group LP | ||||||||
6.00%, 4/15/2023(a) | 185,000 | 187,775 | ||||||
8.25%, 10/15/2023 | 595,000 | 587,190 | ||||||
7.88%, 2/15/2025(a) | 765,000 | 812,822 | ||||||
VICI Properties LP | ||||||||
4.25%, 12/1/2026(a) | 295,000 | 300,435 |
Investments | Principal Amount | Value | ||||||
Equity Real Estate Investment Trusts (REITs) – (continued) | ||||||||
4.63%, 12/1/2029(a) | $ | 150,000 | $ | 156,105 | ||||
6,494,771 | ||||||||
Food & Staples Retailing – 1.4% | ||||||||
Albertsons Cos., Inc. | ||||||||
4.63%, 1/15/2027(a) | 535,000 | 552,227 | ||||||
5.88%, 2/15/2028(a) | 665,000 | 704,361 | ||||||
Fresh Market, Inc. (The) | ||||||||
9.75%, 5/1/2023(a) | 480,000 | 460,202 | ||||||
KeHE Distributors LLC | ||||||||
8.63%, 10/15/2026(a) | 100,000 | 107,734 | ||||||
Rite Aid Corp. | ||||||||
8.00%, 11/15/2026(a) | 565,000 | 567,119 | ||||||
SEG Holding LLC | ||||||||
5.63%, 10/15/2028(a) | 125,000 | 127,663 | ||||||
US Foods, Inc. | ||||||||
5.88%, 6/15/2024(a) | 100,000 | 99,813 | ||||||
2,619,119 | ||||||||
Food Products – 3.3% | ||||||||
Chobani LLC | ||||||||
7.50%, 4/15/2025(a) | 180,000 | 185,289 | ||||||
Del Monte Foods, Inc. | ||||||||
11.88%, 5/15/2025(a) | 310,000 | 331,119 | ||||||
Dole Food Co., Inc. | ||||||||
7.25%, 6/15/2025(a) | 65,000 | 65,237 | ||||||
Kraft Heinz Foods Co. | ||||||||
6.88%, 1/26/2039 | 90,000 | 120,678 | ||||||
7.13%, 8/1/2039(a) | 105,000 | 141,995 | ||||||
6.50%, 2/9/2040 | 70,000 | 89,112 | ||||||
5.00%, 6/4/2042 | 200,000 | 220,092 | ||||||
5.20%, 7/15/2045 | 300,000 | 332,822 | ||||||
4.38%, 6/1/2046 | 440,000 | 452,346 | ||||||
4.88%, 10/1/2049(a) | 220,000 | 232,958 | ||||||
Lamb Weston Holdings, Inc. | ||||||||
4.88%, 11/1/2026(a) | 215,000 | 223,704 | ||||||
Pilgrim’s Pride Corp. | ||||||||
5.75%, 3/15/2025(a) | 500,000 | 512,500 | ||||||
Post Holdings, Inc. | ||||||||
5.00%, 8/15/2026(a) | 500,000 | 519,367 | ||||||
5.75%, 3/1/2027(a) | 600,000 | 630,126 | ||||||
5.63%, 1/15/2028(a) | 355,000 | 375,191 | ||||||
5.50%, 12/15/2029(a) | 455,000 | 492,549 | ||||||
4.63%, 4/15/2030(a) | 805,000 | 828,144 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 375 |
Table of Contents
FlexShares® High Yield Value-Scored Bond Index Fund (cont.)
Investments | Principal Amount | Value | ||||||
CORPORATE BONDS – (continued) | ||||||||
Food Products – (continued) | ||||||||
Sigma Holdco BV | ||||||||
7.88%, 5/15/2026(a) | $ | 310,000 | $ | 306,068 | ||||
Simmons Foods, Inc. | ||||||||
5.75%, 11/1/2024(a) | 125,000 | 123,906 | ||||||
6,183,203 | ||||||||
Gas Utilities – 0.2% | ||||||||
AmeriGas Partners LP | ||||||||
5.63%, 5/20/2024 | 150,000 | 159,750 | ||||||
Suburban Propane Partners LP | ||||||||
5.50%, 6/1/2024 | 110,000 | 111,547 | ||||||
5.88%, 3/1/2027 | 150,000 | 154,969 | ||||||
426,266 | ||||||||
Health Care Equipment & Supplies – 0.7% | ||||||||
Hill-Rom Holdings, Inc. | ||||||||
4.38%, 9/15/2027(a) | 225,000 | 233,157 | ||||||
Hologic, Inc. | ||||||||
4.63%, 2/1/2028(a) | 250,000 | 262,031 | ||||||
Ortho-Clinical Diagnostics, Inc. | ||||||||
7.25%, 2/1/2028(a) | 415,000 | 434,453 | ||||||
Teleflex, Inc. | ||||||||
4.88%, 6/1/2026 | 150,000 | 156,534 | ||||||
Varex Imaging Corp. | ||||||||
7.88%, 10/15/2027(a) | 200,000 | 204,000 | ||||||
1,290,175 | ||||||||
Health Care Providers & Services – 3.9% | ||||||||
AdaptHealth LLC | ||||||||
6.13%, 8/1/2028(a) | 230,000 | 239,487 | ||||||
AHP Health Partners, Inc. | ||||||||
9.75%, 7/15/2026(a) | 330,000 | 350,975 | ||||||
Air Methods Corp. | ||||||||
8.00%, 5/15/2025(a) | 325,000 | 238,435 | ||||||
Centene Corp. | ||||||||
4.63%, 12/15/2029 | 500,000 | 545,015 | ||||||
DaVita, Inc. | ||||||||
4.63%, 6/1/2030(a) | 400,000 | 407,108 | ||||||
Encompass Health Corp. | ||||||||
4.50%, 2/1/2028 | 300,000 | 307,743 | ||||||
4.75%, 2/1/2030 | 265,000 | 276,477 | ||||||
Envision Healthcare Corp. | ||||||||
8.75%, 10/15/2026(a) | 645,000 | 305,446 |
Investments | Principal Amount | Value | ||||||
Health Care Providers & Services – (continued) | ||||||||
Global Medical Response, Inc. | ||||||||
6.50%, 10/1/2025(a) | $ | 240,000 | $ | 237,300 | ||||
Hadrian Merger Sub, Inc. | ||||||||
8.50%, 5/1/2026(a) | 55,000 | 53,821 | ||||||
HCA, Inc. | ||||||||
7.69%, 6/15/2025 | 150,000 | 179,422 | ||||||
3.50%, 9/1/2030 | 325,000 | 332,737 | ||||||
Legacy LifePoint Health LLC | ||||||||
6.75%, 4/15/2025(a) | 150,000 | 159,000 | ||||||
MEDNAX, Inc. | ||||||||
6.25%, 1/15/2027(a) | 255,000 | 263,535 | ||||||
Molina Healthcare, Inc. | ||||||||
5.38%, 11/15/2022(d) | 150,000 | 156,153 | ||||||
4.38%, 6/15/2028(a) | 155,000 | 159,030 | ||||||
One Call Corp. | ||||||||
10.00%, 10/1/2024(a) | 110,000 | 95,150 | ||||||
Prime Healthcare Services, Inc. | ||||||||
7.25%, 11/1/2025(a) | 125,000 | 126,131 | ||||||
Providence Service Corp. (The) | ||||||||
5.88%, 11/15/2025(a) | 100,000 | 101,938 | ||||||
Radiology Partners, Inc. | ||||||||
9.25%, 2/1/2028(a) | 455,000 | 486,158 | ||||||
Select Medical Corp. | ||||||||
6.25%, 8/15/2026(a) | 300,000 | 316,962 | ||||||
Surgery Center Holdings, Inc. | ||||||||
10.00%, 4/15/2027(a) | 335,000 | 358,241 | ||||||
Team Health Holdings, Inc. | ||||||||
6.38%, 2/1/2025(a) | 490,000 | 304,143 | ||||||
Tenet Healthcare Corp. | ||||||||
7.00%, 8/1/2025 | 100,000 | 102,438 | ||||||
4.88%, 1/1/2026(a) | 175,000 | 177,742 | ||||||
6.25%, 2/1/2027(a) | 200,000 | 207,940 | ||||||
6.13%, 10/1/2028(a) | 290,000 | 281,844 | ||||||
US Renal Care, Inc. | ||||||||
10.63%, 7/15/2027(a) | 330,000 | 352,275 | ||||||
West Street Merger Sub, Inc. | ||||||||
6.38%, 9/1/2025(a) | 285,000 | 289,809 | ||||||
7,412,455 | ||||||||
Health Care Technology – 0.2% | ||||||||
IQVIA, Inc. | ||||||||
5.00%, 10/15/2026(a) | 300,000 | 311,481 |
See Accompanying Notes to the Financial Statements.
376 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® High Yield Value-Scored Bond Index Fund (cont.)
Investments | Principal Amount | Value | ||||||
CORPORATE BONDS – (continued) | ||||||||
Hotels, Restaurants & Leisure – 9.4% | ||||||||
1011778 BC ULC | ||||||||
5.00%, 10/15/2025(a) | $ | 741,000 | $ | 760,007 | ||||
Arrow Bidco LLC | ||||||||
9.50%, 3/15/2024(a) | 190,000 | 156,968 | ||||||
Boyd Gaming Corp. | ||||||||
6.38%, 4/1/2026 | 173,000 | 179,742 | ||||||
6.00%, 8/15/2026 | 165,000 | 169,661 | ||||||
Caesars Entertainment, Inc. | ||||||||
6.25%, 7/1/2025(a) | 100,000 | 102,562 | ||||||
8.13%, 7/1/2027(a) | 800,000 | 836,000 | ||||||
Carnival Corp. | ||||||||
11.50%, 4/1/2023(a) | 1,035,000 | 1,138,288 | ||||||
Cedar Fair LP | ||||||||
5.38%, 4/15/2027 | 835,000 | 774,984 | ||||||
Churchill Downs, Inc. | ||||||||
5.50%, 4/1/2027(a) | 100,000 | 103,794 | ||||||
Cirsa Finance International SARL | ||||||||
7.88%, 12/20/2023(a) | 310,000 | 282,875 | ||||||
Dave & Buster’s, Inc. | ||||||||
7.63%, 11/1/2025(a) | 125,000 | 122,969 | ||||||
Downstream Development Authority of the Quapaw Tribe of Oklahoma | ||||||||
10.50%, 2/15/2023(a) | 75,000 | 70,023 | ||||||
Enterprise Development Authority (The) | ||||||||
12.00%, 7/15/2024(a) | 130,000 | 144,300 | ||||||
Golden Nugget, Inc. | ||||||||
6.75%, 10/15/2024(a) | 1,130,000 | 958,263 | ||||||
8.75%, 10/1/2025(a) | 225,000 | 185,203 | ||||||
Hilton Domestic Operating Co., Inc. | ||||||||
4.25%, 9/1/2024 | 275,000 | 274,490 | ||||||
5.13%, 5/1/2026 | 850,000 | 863,651 | ||||||
4.88%, 1/15/2030 | 500,000 | 515,312 | ||||||
Hilton Worldwide Finance LLC | ||||||||
4.88%, 4/1/2027 | 150,000 | 152,025 | ||||||
International Game Technology plc | ||||||||
6.50%, 2/15/2025(a) | 300,000 | 321,750 | ||||||
6.25%, 1/15/2027(a) | 72,000 | 76,635 | ||||||
5.25%, 1/15/2029(a) | 100,000 | 99,160 |
Investments | Principal Amount | Value | ||||||
Hotels, Restaurants & Leisure – (continued) | ||||||||
IRB Holding Corp. | ||||||||
6.75%, 2/15/2026(a) | $ | 430,000 | $ | 431,612 | ||||
Jacobs Entertainment, Inc. | ||||||||
7.88%, 2/1/2024(a) | 230,000 | 226,238 | ||||||
KFC Holding Co. | ||||||||
5.25%, 6/1/2026(a) | 200,000 | 207,040 | ||||||
4.75%, 6/1/2027(a) | 500,000 | 518,885 | ||||||
LTF Merger Sub, Inc. | ||||||||
8.50%, 6/15/2023(a) | 165,000 | 150,563 | ||||||
Marriott Ownership Resorts, Inc. | ||||||||
6.50%, 9/15/2026 | 300,000 | 309,516 | ||||||
Merlin Entertainments Ltd. | ||||||||
5.75%, 6/15/2026(a) | 600,000 | 554,136 | ||||||
NCL Corp. Ltd. | ||||||||
12.25%, 5/15/2024(a) | 270,000 | 300,037 | ||||||
Peninsula Pacific Entertainment LLC | ||||||||
8.50%, 11/15/2027(a) | 315,000 | 328,232 | ||||||
Powdr Corp. | ||||||||
6.00%, 8/1/2025(a) | 100,000 | 101,205 | ||||||
Royal Caribbean Cruises Ltd. | ||||||||
5.25%, 11/15/2022 | 245,000 | 219,238 | ||||||
9.13%, 6/15/2023(a) | 655,000 | 682,838 | ||||||
11.50%, 6/1/2025(a) | 400,000 | 458,500 | ||||||
Scientific Games International, Inc. | ||||||||
8.63%, 7/1/2025(a) | 200,000 | 208,186 | ||||||
SeaWorld Parks & Entertainment, Inc. | ||||||||
9.50%, 8/1/2025(a) | 325,000 | 341,859 | ||||||
Silversea Cruise Finance Ltd. | ||||||||
7.25%, 2/1/2025(a) | 245,000 | 247,064 | ||||||
Six Flags Entertainment Corp. | ||||||||
5.50%, 4/15/2027(a) | 450,000 | 419,198 | ||||||
Speedway Motorsports LLC | ||||||||
4.88%, 11/1/2027(a) | 215,000 | 204,788 | ||||||
Sugarhouse HSP Gaming Prop Mezz LP | ||||||||
5.88%, 5/15/2025(a) | 100,000 | 97,115 | ||||||
Twin River Worldwide Holdings, Inc. | ||||||||
6.75%, 6/1/2027(a) | 260,000 | 263,758 | ||||||
Viking Cruises Ltd. | ||||||||
6.25%, 5/15/2025(a) | 330,000 | 258,603 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 377 |
Table of Contents
FlexShares® High Yield Value-Scored Bond Index Fund (cont.)
Investments | Principal Amount | Value | ||||||
CORPORATE BONDS – (continued) | ||||||||
Hotels, Restaurants & Leisure – (continued) | ||||||||
13.00%, 5/15/2025(a) | $ | 305,000 | $ | 345,984 | ||||
5.88%, 9/15/2027(a) | 585,000 | 457,397 | ||||||
Wyndham Destinations, Inc. | ||||||||
5.65%, 4/1/2024(d) | 160,000 | 164,103 | ||||||
6.00%, 4/1/2027(d) | 70,000 | 72,319 | ||||||
Wyndham Hotels & Resorts, Inc. | ||||||||
5.38%, 4/15/2026(a) | 180,000 | 182,588 | ||||||
Wynn Las Vegas LLC | ||||||||
4.25%, 5/30/2023(a) | 100,000 | 95,563 | ||||||
5.50%, 3/1/2025(a) | 705,000 | 676,359 | ||||||
5.25%, 5/15/2027(a) | 585,000 | 545,147 | ||||||
Wynn Resorts Finance LLC | ||||||||
5.13%, 10/1/2029(a) | 235,000 | 225,306 | ||||||
Yum! Brands, Inc. | ||||||||
4.75%, 1/15/2030(a) | 150,000 | 161,475 | ||||||
17,743,514 | ||||||||
Household Durables – 1.2% | ||||||||
American Greetings Corp. | ||||||||
8.75%, 4/15/2025(a) | 110,000 | 107,651 | ||||||
Ashton Woods USA LLC | ||||||||
6.75%, 8/1/2025(a) | 150,000 | 155,047 | ||||||
6.63%, 1/15/2028(a) | 150,000 | 151,125 | ||||||
Brookfield Residential Properties, Inc. | ||||||||
6.38%, 5/15/2025(a) | 110,000 | 110,951 | ||||||
6.25%, 9/15/2027(a) | 765,000 | 785,330 | ||||||
CD&R Smokey Buyer, Inc. | ||||||||
6.75%, 7/15/2025(a) | 145,000 | 153,156 | ||||||
KB Home | ||||||||
6.88%, 6/15/2027 | 100,000 | 118,250 | ||||||
LGI Homes, Inc. | ||||||||
6.88%, 7/15/2026(a) | 100,000 | 104,750 | ||||||
Newell Brands, Inc. | ||||||||
5.87%, 4/1/2036(d) | 179,000 | 210,325 | ||||||
PulteGroup, Inc. | ||||||||
6.38%, 5/15/2033 | 150,000 | 191,854 | ||||||
Taylor Morrison Communities, Inc. | ||||||||
5.75%, 1/15/2028(a) | 100,000 | 111,312 | ||||||
TopBuild Corp. | ||||||||
5.63%, 5/1/2026(a) | 100,000 | 102,813 | ||||||
2,302,564 |
Investments | Principal Amount | Value | ||||||
Independent Power and Renewable Electricity Producers – 0.5% | ||||||||
Clearway Energy Operating LLC | ||||||||
5.75%, 10/15/2025 | $ | 150,000 | $ | 157,406 | ||||
Talen Energy Supply LLC | ||||||||
6.50%, 6/1/2025 | 300,000 | 179,183 | ||||||
10.50%, 1/15/2026(a) | 515,000 | 352,453 | ||||||
6.63%, 1/15/2028(a) | 50,000 | 47,897 | ||||||
TransAlta Corp. | ||||||||
4.50%, 11/15/2022 | 120,000 | 124,500 | ||||||
861,439 | ||||||||
Insurance – 1.7% | ||||||||
Acrisure LLC | ||||||||
7.00%, 11/15/2025(a) | 235,000 | 235,852 | ||||||
10.13%, 8/1/2026(a) | 240,000 | 266,361 | ||||||
Alliant Holdings Intermediate LLC | ||||||||
6.75%, 10/15/2027(a) | 575,000 | 604,722 | ||||||
Assurant, Inc. | ||||||||
7.00%, 3/27/2048(b) | 160,000 | 174,434 | ||||||
AssuredPartners, Inc. | ||||||||
7.00%, 8/15/2025(a) | 280,000 | 288,572 | ||||||
Fidelity & Guaranty Life Holdings, Inc. | ||||||||
5.50%, 5/1/2025(a) | 30,000 | 34,435 | ||||||
GTCR AP Finance, Inc. | ||||||||
8.00%, 5/15/2027(a) | 275,000 | 294,250 | ||||||
Liberty Mutual Group, Inc. | ||||||||
7.80%, 3/15/2037(a) | 275,000 | 337,872 | ||||||
NFP Corp. | ||||||||
6.88%, 8/15/2028(a) | 1,040,000 | 1,010,100 | ||||||
3,246,598 | ||||||||
Interactive Media & Services – 0.2% | ||||||||
TripAdvisor, Inc. | ||||||||
7.00%, 7/15/2025(a) | 310,000 | 323,059 | ||||||
Internet & Direct Marketing Retail – 1.0% | ||||||||
ANGI Group LLC | ||||||||
3.88%, 8/15/2028(a) | 330,000 | 326,906 | ||||||
Getty Images, Inc. | ||||||||
9.75%, 3/1/2027(a) | 150,000 | 152,034 |
See Accompanying Notes to the Financial Statements.
378 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® High Yield Value-Scored Bond Index Fund (cont.)
Investments | Principal Amount | Value | ||||||
CORPORATE BONDS – (continued) | ||||||||
Internet & Direct Marketing Retail – (continued) | ||||||||
Go Daddy Operating Co. LLC | ||||||||
5.25%, 12/1/2027(a) | $ | 200,000 | $ | 209,875 | ||||
Match Group Holdings II LLC | ||||||||
4.63%, 6/1/2028(a) | 200,000 | 207,445 | ||||||
5.63%, 2/15/2029(a) | 235,000 | 253,800 | ||||||
Photo Holdings Merger Sub, Inc. | ||||||||
8.50%, 10/1/2026(a) | 485,000 | 451,884 | ||||||
QVC, Inc. | ||||||||
4.38%, 3/15/2023 | 250,000 | 259,688 | ||||||
5.45%, 8/15/2034 | 100,000 | 99,000 | ||||||
1,960,632 | ||||||||
IT Services – 1.1% | ||||||||
Banff Merger Sub, Inc. | ||||||||
9.75%, 9/1/2026(a) | 570,000 | 599,925 | ||||||
Booz Allen Hamilton, Inc. | ||||||||
3.88%, 9/1/2028(a) | 280,000 | 284,725 | ||||||
Cablevision Lightpath LLC | ||||||||
5.63%, 9/15/2028(a) | 125,000 | 126,484 | ||||||
Flexential Intermediate Corp. | ||||||||
11.25%, 8/1/2024(a) | 155,000 | 156,647 | ||||||
Northwest Fiber LLC | ||||||||
10.75%, 6/1/2028(a) | 150,000 | 170,250 | ||||||
Presidio Holdings, Inc. | ||||||||
8.25%, 2/1/2028(a) | 300,000 | 318,937 | ||||||
Unisys Corp. | ||||||||
6.88%, 11/1/2027(a) | 125,000 | 129,688 | ||||||
VeriSign, Inc. | ||||||||
4.75%, 7/15/2027 | 300,000 | 318,563 | ||||||
2,105,219 | ||||||||
Leisure Products – 0.0%(f) | ||||||||
Vista Outdoor, Inc. | ||||||||
5.88%, 10/1/2023 | 75,000 | 75,930 | ||||||
Life Sciences Tools & Services – 0.1% | ||||||||
Avantor, Inc. | ||||||||
6.00%, 10/1/2024(a) | 100,000 | 104,515 | ||||||
Charles River Laboratories International, Inc. | ||||||||
5.50%, 4/1/2026(a) | 100,000 | 104,687 | ||||||
209,202 |
Investments | Principal Amount | Value | ||||||
Machinery – 1.7% | ||||||||
Apex Tool Group LLC | ||||||||
9.00%, 2/15/2023(a) | $ | 45,000 | $ | 41,681 | ||||
Cleaver-Brooks, Inc. | ||||||||
7.88%, 3/1/2023(a) | 100,000 | 96,614 | ||||||
Granite US Holdings Corp. | ||||||||
11.00%, 10/1/2027(a) | 150,000 | 156,375 | ||||||
Husky III Holding Ltd. | ||||||||
13.00%, 2/15/2025(a)(c) | 250,000 | 265,156 | ||||||
JPW Industries Holding Corp. | ||||||||
9.00%, 10/1/2024(a) | 100,000 | 92,500 | ||||||
Manitowoc Co., Inc. (The) | ||||||||
9.00%, 4/1/2026(a) | 185,000 | 190,242 | ||||||
Maxim Crane Works Holdings Capital LLC | ||||||||
10.13%, 8/1/2024(a) | 215,000 | 218,248 | ||||||
Meritor, Inc. | ||||||||
6.25%, 2/15/2024 | 100,000 | 102,125 | ||||||
Mueller Water Products, Inc. | ||||||||
5.50%, 6/15/2026(a) | 100,000 | 103,644 | ||||||
Navistar International Corp. | ||||||||
6.63%, 11/1/2025(a) | 400,000 | 414,080 | ||||||
Park-Ohio Industries, Inc. | ||||||||
6.63%, 4/15/2027 | 210,000 | 202,167 | ||||||
Terex Corp. | ||||||||
5.63%, 2/1/2025(a) | 265,000 | 269,472 | ||||||
Titan Acquisition Ltd. | ||||||||
7.75%, 4/15/2026(a) | 245,000 | 245,000 | ||||||
Vertical Holdco GmbH | ||||||||
7.63%, 7/15/2028(a) | 400,000 | 415,750 | ||||||
Vertical US Newco, Inc. | ||||||||
5.25%, 7/15/2027(a) | 150,000 | 154,661 | ||||||
Wabash National Corp. | ||||||||
5.50%, 10/1/2025(a) | 100,000 | 100,386 | ||||||
Welbilt, Inc. | ||||||||
9.50%, 2/15/2024 | 110,000 | 111,879 | ||||||
Werner FinCo. LP | ||||||||
8.75%, 7/15/2025(a) | 150,000 | 140,797 | ||||||
3,320,777 | ||||||||
Marine – 0.2% | ||||||||
Stena AB | ||||||||
7.00%, 2/1/2024(a) | 310,000 | 295,630 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 379 |
Table of Contents
FlexShares® High Yield Value-Scored Bond Index Fund (cont.)
Investments | Principal Amount | Value | ||||||
CORPORATE BONDS – (continued) | ||||||||
Media – 8.8% | ||||||||
Advantage Sales & Marketing, Inc. | ||||||||
6.50%, 11/15/2028(a) | $ | 125,000 | $ | 122,344 | ||||
Belo Corp. | ||||||||
7.25%, 9/15/2027 | 250,000 | 275,890 | ||||||
CSC Holdings LLC | ||||||||
7.50%, 4/1/2028(a) | 600,000 | 657,750 | ||||||
5.75%, 1/15/2030(a) | 450,000 | 481,635 | ||||||
Diamond Sports Group LLC | ||||||||
5.38%, 8/15/2026(a) | 1,973,000 | 1,156,671 | ||||||
6.63%, 8/15/2027(a) | 1,115,000 | 446,446 | ||||||
DISH DBS Corp. | ||||||||
5.00%, 3/15/2023 | 625,000 | 630,481 | ||||||
5.88%, 11/15/2024 | 785,000 | 790,888 | ||||||
7.75%, 7/1/2026 | 1,725,000 | 1,830,656 | ||||||
GCI LLC | ||||||||
4.75%, 10/15/2028(a) | 240,000 | 248,178 | ||||||
Gray Television, Inc. | ||||||||
5.88%, 7/15/2026(a) | 175,000 | 182,475 | ||||||
7.00%, 5/15/2027(a) | 195,000 | 210,600 | ||||||
iHeartCommunications, Inc. | ||||||||
6.38%, 5/1/2026 | 100,000 | 104,312 | ||||||
8.38%, 5/1/2027 | 990,000 | 962,305 | ||||||
5.25%, 8/15/2027(a) | 265,000 | 262,019 | ||||||
Liberty Interactive LLC | ||||||||
8.50%, 7/15/2029 | 190,000 | 205,876 | ||||||
8.25%, 2/1/2030 | 300,000 | 325,313 | ||||||
Meredith Corp. | ||||||||
6.88%, 2/1/2026 | 872,000 | 724,305 | ||||||
Midcontinent Communications | ||||||||
5.38%, 8/15/2027(a) | 65,000 | 67,904 | ||||||
National CineMedia LLC | ||||||||
5.88%, 4/15/2028(a) | 350,000 | 245,000 | ||||||
Nexstar Broadcasting, Inc. | ||||||||
5.63%, 7/15/2027(a) | 200,000 | 208,813 | ||||||
Outfront Media Capital LLC | ||||||||
6.25%, 6/15/2025(a) | 90,000 | 92,025 | ||||||
Quebecor Media, Inc. | ||||||||
5.75%, 1/15/2023 | 170,000 | 182,920 | ||||||
Radiate Holdco LLC | ||||||||
6.50%, 9/15/2028(a) | 750,000 | 775,312 | ||||||
Sinclair Television Group, Inc. | ||||||||
5.63%, 8/1/2024(a) | 130,000 | 129,980 |
Investments | Principal Amount | Value | ||||||
Media – (continued) | ||||||||
5.13%, 2/15/2027(a) | $ | 155,000 | $ | 146,088 | ||||
5.50%, 3/1/2030(a) | 325,000 | 306,082 | ||||||
Sirius XM Radio, Inc. | ||||||||
5.50%, 7/1/2029(a) | 200,000 | 218,065 | ||||||
TEGNA, Inc. | ||||||||
4.63%, 3/15/2028(a) | 200,000 | 197,716 | ||||||
5.00%, 9/15/2029 | 150,000 | 152,016 | ||||||
Terrier Media Buyer, Inc. | ||||||||
8.88%, 12/15/2027(a) | 650,000 | 665,678 | ||||||
Univision Communications, Inc. | ||||||||
5.13%, 2/15/2025(a) | 1,015,000 | 999,141 | ||||||
6.63%, 6/1/2027(a) | 700,000 | 709,187 | ||||||
UPC Holding BV | ||||||||
5.50%, 1/15/2028(a) | 310,000 | 320,656 | ||||||
Urban One, Inc. | ||||||||
7.38%, 4/15/2022(a) | 35,000 | 32,673 | ||||||
Videotron Ltd. | ||||||||
5.13%, 4/15/2027(a) | 300,000 | 318,000 | ||||||
Ziggo Bond Co. BV | ||||||||
6.00%, 1/15/2027(a) | 775,000 | 805,516 | ||||||
Ziggo BV | ||||||||
5.50%, 1/15/2027(a) | 445,000 | 462,509 | ||||||
16,653,425 | ||||||||
Metals & Mining – 2.0% | ||||||||
Alcoa Nederland Holding BV | ||||||||
6.13%, 5/15/2028(a) | 200,000 | 215,083 | ||||||
Allegheny Technologies, Inc. | ||||||||
7.88%, 8/15/2023(d) | 250,000 | 253,014 | ||||||
Arconic Corp. | ||||||||
6.13%, 2/15/2028(a) | 100,000 | 105,551 | ||||||
Big River Steel LLC | ||||||||
6.63%, 1/31/2029(a) | 585,000 | 603,647 | ||||||
Cleveland-Cliffs, Inc. | ||||||||
9.88%, 10/17/2025(a) | 350,000 | 400,750 | ||||||
5.88%, 6/1/2027 | 90,000 | 87,618 | ||||||
Commercial Metals Co. | ||||||||
5.75%, 4/15/2026 | 85,000 | 88,014 | ||||||
Compass Minerals International, Inc. | ||||||||
6.75%, 12/1/2027(a) | 140,000 | 152,097 | ||||||
FMG Resources August 2006 Pty. Ltd. | ||||||||
4.50%, 9/15/2027(a) | 55,000 | 58,994 |
See Accompanying Notes to the Financial Statements.
380 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® High Yield Value-Scored Bond Index Fund (cont.)
Investments | Principal Amount | Value | ||||||
CORPORATE BONDS – (continued) | ||||||||
Metals & Mining – (continued) | ||||||||
IAMGOLD Corp. | ||||||||
5.75%, 10/15/2028(a) | $ | 295,000 | $ | 295,605 | ||||
Infrabuild Australia Pty. Ltd. | ||||||||
12.00%, 10/1/2024(a) | 200,000 | 199,000 | ||||||
Joseph T Ryerson & Son, Inc. | ||||||||
8.50%, 8/1/2028(a) | 291,000 | 312,367 | ||||||
JW Aluminum Continuous Cast Co. | ||||||||
10.25%, 6/1/2026(a) | 150,000 | 158,034 | ||||||
Kaiser Aluminum Corp. | ||||||||
6.50%, 5/1/2025(a) | 150,000 | 159,375 | ||||||
4.63%, 3/1/2028(a) | 325,000 | 320,674 | ||||||
Mineral Resources Ltd. | ||||||||
8.13%, 5/1/2027(a) | 170,000 | 185,725 | ||||||
Northwest Acquisitions ULC | ||||||||
7.13%, 11/1/2022(a)(e) | 255,000 | 2,869 | ||||||
Warrior Met Coal, Inc. | ||||||||
8.00%, 11/1/2024(a) | 115,000 | 114,515 | ||||||
3,712,932 | ||||||||
Mortgage Real Estate Investment Trusts (REITs) – 0.3% | ||||||||
New Residential Investment Corp. | ||||||||
6.25%, 10/15/2025(a) | 220,000 | 210,787 | ||||||
Starwood Property Trust, Inc. | ||||||||
5.00%, 12/15/2021 | 128,000 | 127,680 | ||||||
4.75%, 3/15/2025 | 200,000 | 194,625 | ||||||
533,092 | ||||||||
Multiline Retail – 0.4% | ||||||||
Macy’s, Inc. | ||||||||
8.38%, 6/15/2025(a) | 650,000 | 679,601 | ||||||
Oil, Gas & Consumable Fuels – 10.7% | ||||||||
Antero Midstream Partners LP | ||||||||
5.38%, 9/15/2024 | 700,000 | 656,390 | ||||||
5.75%, 3/1/2027(a) | 540,000 | 487,012 | ||||||
Antero Resources Corp. | ||||||||
5.13%, 12/1/2022 | 300,000 | 278,250 | ||||||
Ascent Resources Utica Holdings LLC | ||||||||
7.00%, 11/1/2026(a) | 310,000 | 274,815 | ||||||
9.00%, 11/1/2027(a) | 250,000 | 243,750 |
Investments | Principal Amount | Value | ||||||
Oil, Gas & Consumable Fuels – (continued) | ||||||||
Berry Petroleum Co. LLC | ||||||||
7.00%, 2/15/2026(a) | $ | 140,000 | $ | 95,851 | ||||
Blue Racer Midstream LLC | ||||||||
6.13%, 11/15/2022(a) | 100,000 | 97,472 | ||||||
Buckeye Partners LP | ||||||||
5.60%, 10/15/2044 | 100,000 | 86,563 | ||||||
Calumet Specialty Products Partners LP | ||||||||
7.63%, 1/15/2022 | 11,000 | 10,928 | ||||||
7.75%, 4/15/2023 | 150,000 | 144,547 | ||||||
9.25%, 7/15/2024(a) | 19,000 | 20,805 | ||||||
11.00%, 4/15/2025(a) | 220,000 | 213,444 | ||||||
Cenovus Energy, Inc. | ||||||||
3.80%, 9/15/2023 | 190,000 | 193,091 | ||||||
4.25%, 4/15/2027 | 200,000 | 203,777 | ||||||
6.75%, 11/15/2039 | 125,000 | 139,144 | ||||||
Centennial Resource Production LLC | ||||||||
6.88%, 4/1/2027(a) | 345,000 | 127,790 | ||||||
Cheniere Energy Partners LP | ||||||||
5.25%, 10/1/2025 | 430,000 | 437,826 | ||||||
5.63%, 10/1/2026 | 260,000 | 267,358 | ||||||
Citgo Holding, Inc. | ||||||||
9.25%, 8/1/2024(a) | 490,000 | 411,600 | ||||||
CITGO Petroleum Corp. | ||||||||
7.00%, 6/15/2025(a) | 280,000 | 259,756 | ||||||
CNX Resources Corp. | ||||||||
7.25%, 3/14/2027(a) | 240,000 | 253,505 | ||||||
Comstock Resources, Inc. | ||||||||
7.50%, 5/15/2025(a) | 280,000 | 278,656 | ||||||
9.75%, 8/15/2026 | 630,000 | 664,650 | ||||||
Crestwood Midstream Partners LP | ||||||||
6.25%, 4/1/2023(d) | 150,000 | 145,677 | ||||||
5.75%, 4/1/2025 | 100,000 | 91,750 | ||||||
5.63%, 5/1/2027(a) | 150,000 | 131,719 | ||||||
CVR Energy, Inc. | ||||||||
5.75%, 2/15/2028(a) | 450,000 | 308,250 | ||||||
DCP Midstream LP | ||||||||
Series A, 7.38%, 12/15/2022(b)(g) | 250,000 | 162,677 | ||||||
Energy Ventures Gom LLC | ||||||||
11.00%, 2/15/2023(a) | 100,000 | 74,114 | ||||||
EnLink Midstream LLC | ||||||||
5.38%, 6/1/2029 | 50,000 | 42,900 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 381 |
Table of Contents
FlexShares® High Yield Value-Scored Bond Index Fund (cont.)
Investments | Principal Amount | Value | ||||||
CORPORATE BONDS – (continued) | ||||||||
Oil, Gas & Consumable Fuels – (continued) | ||||||||
EnLink Midstream Partners LP | ||||||||
Series C, 6.00%, 12/15/2022(b)(g) | $ | 50,000 | $ | 21,250 | ||||
4.15%, 6/1/2025 | 745,000 | 642,719 | ||||||
5.45%, 6/1/2047 | 185,000 | 119,286 | ||||||
Enviva Partners LP | ||||||||
6.50%, 1/15/2026(a) | 220,000 | 232,512 | ||||||
EQM Midstream Partners LP | ||||||||
6.00%, 7/1/2025(a) | 175,000 | 179,594 | ||||||
Genesis Energy LP | ||||||||
6.50%, 10/1/2025 | 125,000 | 103,984 | ||||||
7.75%, 2/1/2028 | 565,000 | 469,481 | ||||||
Global Partners LP | ||||||||
6.88%, 1/15/2029(a) | 125,000 | 129,053 | ||||||
Gran Tierra Energy International Holdings Ltd. | ||||||||
6.25%, 2/15/2025(a) | 400,000 | 141,000 | ||||||
Harvest Midstream I LP | ||||||||
7.50%, 9/1/2028(a) | 375,000 | 373,125 | ||||||
Hilcorp Energy I LP | ||||||||
5.00%, 12/1/2024(a) | 300,000 | 278,594 | ||||||
6.25%, 11/1/2028(a) | 235,000 | 216,087 | ||||||
Indigo Natural Resources LLC | ||||||||
6.88%, 2/15/2026(a) | 110,000 | 108,350 | ||||||
Ithaca Energy North Sea plc | ||||||||
9.38%, 7/15/2024(a) | 200,000 | 174,498 | ||||||
Magnolia Oil & Gas Operating LLC | ||||||||
6.00%, 8/1/2026(a) | 150,000 | 144,000 | ||||||
Martin Midstream Partners LP | ||||||||
11.50%, 2/28/2025(a) | 115,000 | 104,937 | ||||||
Matador Resources Co. | ||||||||
5.88%, 9/15/2026 | 280,000 | 225,750 | ||||||
MEG Energy Corp. | ||||||||
7.00%, 3/31/2024(a) | 222,000 | 211,455 | ||||||
7.13%, 2/1/2027(a) | 475,000 | 428,559 | ||||||
Moss Creek Resources Holdings, Inc. | ||||||||
10.50%, 5/15/2027(a) | 300,000 | 155,568 | ||||||
Murphy Oil Corp. | ||||||||
6.88%, 8/15/2024 | 128,000 | 114,720 | ||||||
5.75%, 8/15/2025 | 180,000 | 148,319 | ||||||
5.88%, 12/1/2027 | 360,000 | 284,407 |
Investments | Principal Amount | Value | ||||||
Oil, Gas & Consumable Fuels – (continued) | ||||||||
Natural Resource Partners LP | ||||||||
9.13%, 6/30/2025(a) | $ | 150,000 | $ | 134,422 | ||||
Neptune Energy Bondco plc | ||||||||
6.63%, 5/15/2025(a) | 200,000 | 174,500 | ||||||
NGL Energy Partners LP | ||||||||
7.50%, 11/1/2023 | 445,000 | 240,952 | ||||||
6.13%, 3/1/2025 | 225,000 | 113,062 | ||||||
7.50%, 4/15/2026 | 285,000 | 147,022 | ||||||
Oasis Petroleum, Inc. | ||||||||
6.88%, 3/15/2022(e) | 200,000 | 39,700 | ||||||
6.25%, 5/1/2026(a)(e) | 100,000 | 22,000 | ||||||
Occidental Petroleum Corp. | ||||||||
6.95%, 7/1/2024 | 120,000 | 113,700 | ||||||
3.45%, 7/15/2024 | 35,000 | 28,437 | ||||||
8.00%, 7/15/2025 | 115,000 | 112,341 | ||||||
5.55%, 3/15/2026 | 250,000 | 217,855 | ||||||
3.40%, 4/15/2026 | 575,000 | 450,832 | ||||||
3.20%, 8/15/2026 | 350,000 | 271,031 | ||||||
8.50%, 7/15/2027 | 215,000 | 205,728 | ||||||
6.63%, 9/1/2030 | 100,000 | 87,780 | ||||||
6.45%, 9/15/2036 | 325,000 | 263,737 | ||||||
6.60%, 3/15/2046 | 250,000 | 207,448 | ||||||
Par Petroleum LLC | ||||||||
7.75%, 12/15/2025(a) | 100,000 | 81,365 | ||||||
Parkland Corp. | ||||||||
5.88%, 7/15/2027(a) | 390,000 | 403,244 | ||||||
PBF Holding Co. LLC | ||||||||
9.25%, 5/15/2025(a) | 395,000 | 351,125 | ||||||
7.25%, 6/15/2025 | 270,000 | 112,556 | ||||||
6.00%, 2/15/2028(a) | 895,000 | 346,209 | ||||||
PBF Logistics LP | ||||||||
6.88%, 5/15/2023 | 100,000 | 78,750 | ||||||
QEP Resources, Inc. | ||||||||
5.38%, 10/1/2022 | 290,000 | 255,744 | ||||||
Range Resources Corp. | ||||||||
5.00%, 3/15/2023 | 360,000 | 349,954 | ||||||
4.88%, 5/15/2025 | 400,000 | 372,000 | ||||||
Rockies Express Pipeline LLC | ||||||||
6.88%, 4/15/2040(a) | 90,000 | 92,700 | ||||||
Rockpoint Gas Storage Canada Ltd. | ||||||||
7.00%, 3/31/2023(a) | 100,000 | 93,063 | ||||||
Ruby Pipeline LLC | ||||||||
7.25%, 4/1/2022(a)(d) | 125,758 | 107,982 |
See Accompanying Notes to the Financial Statements.
382 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® High Yield Value-Scored Bond Index Fund (cont.)
Investments | Principal Amount | Value | ||||||
CORPORATE BONDS – (continued) | ||||||||
Oil, Gas & Consumable Fuels – (continued) | ||||||||
Seven Generations Energy Ltd. | ||||||||
5.38%, 9/30/2025(a) | $ | 225,000 | $ | 214,955 | ||||
SM Energy Co. | ||||||||
6.75%, 9/15/2026 | 100,000 | 38,856 | ||||||
Southwestern Energy Co. | ||||||||
6.45%, 1/23/2025(d) | 665,000 | 667,494 | ||||||
7.75%, 10/1/2027 | 175,000 | 181,234 | ||||||
Summit Midstream Holdings LLC | ||||||||
5.50%, 8/15/2022 | 100,000 | 80,750 | ||||||
5.75%, 4/15/2025 | 300,000 | 195,344 | ||||||
Sunoco LP | ||||||||
4.88%, 1/15/2023 | 350,000 | 353,901 | ||||||
Tallgrass Energy Partners LP | ||||||||
5.50%, 9/15/2024(a) | 250,000 | 240,870 | ||||||
5.50%, 1/15/2028(a) | 350,000 | 322,663 | ||||||
Topaz Solar Farms LLC | ||||||||
5.75%, 9/30/2039(a) | 96,618 | 109,845 | ||||||
Vine Oil & Gas LP | ||||||||
9.75%, 4/15/2023(a) | 550,000 | 414,563 | ||||||
W&T Offshore, Inc. | ||||||||
9.75%, 11/1/2023(a) | 215,000 | 140,288 | ||||||
20,247,317 | ||||||||
Paper & Forest Products – 0.3% | ||||||||
Mercer International, Inc. | ||||||||
7.38%, 1/15/2025 | 450,000 | 458,440 | ||||||
Schweitzer-Mauduit International, Inc. | ||||||||
6.88%, 10/1/2026(a) | 100,000 | 105,856 | ||||||
564,296 | ||||||||
Personal Products – 0.1% | ||||||||
Avon Products, Inc. | ||||||||
7.00%, 3/15/2023(d) | 110,000 | 119,006 | ||||||
Prestige Brands, Inc. | ||||||||
5.13%, 1/15/2028(a) | 145,000 | 150,891 | ||||||
269,897 | ||||||||
Pharmaceuticals – 1.4% | ||||||||
Bausch Health Americas, Inc. | ||||||||
9.25%, 4/1/2026(a) | 380,000 | 419,444 | ||||||
8.50%, 1/31/2027(a) | 500,000 | 547,417 |
Investments | Principal Amount | Value | ||||||
Pharmaceuticals – (continued) | ||||||||
Bausch Health Cos., Inc. | ||||||||
6.13%, 4/15/2025(a) | $ | 815,000 | $ | 837,616 | ||||
7.00%, 1/15/2028(a) | 170,000 | 180,063 | ||||||
Catalent Pharma Solutions, Inc. | ||||||||
4.88%, 1/15/2026(a) | 200,000 | 204,712 | ||||||
Cheplapharm Arzneimittel GmbH | ||||||||
5.50%, 1/15/2028(a) | 125,000 | 126,745 | ||||||
Elanco Animal Health, Inc. | ||||||||
5.90%, 8/28/2028(d) | 100,000 | 116,707 | ||||||
HLF Financing Sarl LLC | ||||||||
7.25%, 8/15/2026(a) | 265,000 | 273,198 | ||||||
2,705,902 | ||||||||
Professional Services – 0.2% | ||||||||
AMN Healthcare, Inc. | ||||||||
5.13%, 10/1/2024(a) | 110,000 | 112,844 | ||||||
4.63%, 10/1/2027(a) | 110,000 | 112,681 | ||||||
ASGN, Inc. | ||||||||
4.63%, 5/15/2028(a) | 100,000 | 102,998 | ||||||
328,523 | ||||||||
Real Estate Management & Development – 1.1% | ||||||||
Forestar Group, Inc. | ||||||||
8.00%, 4/15/2024(a) | 320,000 | 333,966 | ||||||
5.00%, 3/1/2028(a) | 150,000 | 149,260 | ||||||
Greystar Real Estate Partners LLC | ||||||||
5.75%, 12/1/2025(a) | 100,000 | 101,750 | ||||||
Howard Hughes Corp. (The) | ||||||||
5.38%, 8/1/2028(a) | 450,000 | 455,344 | ||||||
Hunt Cos., Inc. | ||||||||
6.25%, 2/15/2026(a) | 430,000 | 414,049 | ||||||
Kennedy-Wilson, Inc. | ||||||||
5.88%, 4/1/2024 | 425,000 | 410,656 | ||||||
Newmark Group, Inc. | ||||||||
6.13%, 11/15/2023 | 135,000 | 142,985 | ||||||
Realogy Group LLC | ||||||||
4.88%, 6/1/2023(a) | 110,000 | 109,794 | ||||||
2,117,804 | ||||||||
Road & Rail – 1.1% | ||||||||
AerCap Global Aviation Trust | ||||||||
6.50%, 6/15/2045(a) (b) | 200,000 | 177,500 | ||||||
Algeco Global Finance plc | ||||||||
8.00%, 2/15/2023(a) | 310,000 | 307,866 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 383 |
Table of Contents
FlexShares® High Yield Value-Scored Bond Index Fund (cont.)
Investments | Principal Amount | Value | ||||||
CORPORATE BONDS – (continued) | ||||||||
Road & Rail – (continued) | ||||||||
Capitol Investment Merger Sub 2 LLC | ||||||||
10.00%, 8/1/2024(a) | $ | 125,000 | $ | 132,877 | ||||
Kenan Advantage Group, Inc. (The) | ||||||||
7.88%, 7/31/2023(a) | 160,000 | 160,583 | ||||||
Uber Technologies, Inc. | ||||||||
7.50%, 9/15/2027(a) | 1,085,000 | 1,135,453 | ||||||
6.25%, 1/15/2028(a) | 200,000 | 203,000 | ||||||
2,117,279 | ||||||||
Semiconductors & Semiconductor Equipment – 0.0%(f) | ||||||||
Entegris, Inc. | ||||||||
4.63%, 2/10/2026(a) | 100,000 | 102,875 | ||||||
Software – 2.4% | ||||||||
ACI Worldwide, Inc. | ||||||||
5.75%, 8/15/2026(a) | 200,000 | 211,712 | ||||||
Blackboard, Inc. | ||||||||
10.38%, 11/15/2024(a) | 150,000 | 151,969 | ||||||
Camelot Finance SA | ||||||||
4.50%, 11/1/2026(a) | 225,000 | 234,422 | ||||||
Castle US Holding Corp. | ||||||||
9.50%, 2/15/2028(a) | 190,000 | 180,945 | ||||||
CDK Global, Inc. | ||||||||
5.88%, 6/15/2026 | 50,000 | 52,156 | ||||||
4.88%, 6/1/2027 | 50,000 | 51,910 | ||||||
Change Healthcare Holdings LLC | ||||||||
5.75%, 3/1/2025(a) | 340,000 | 340,279 | ||||||
Granite Merger Sub 2, Inc. | ||||||||
11.00%, 7/15/2027(a) | 175,000 | 190,389 | ||||||
j2 Cloud Services LLC | ||||||||
6.00%, 7/15/2025(a) | 245,000 | 256,907 | ||||||
Logan Merger Sub, Inc. | ||||||||
5.50%, 9/1/2027(a) | 625,000 | 634,375 | ||||||
Open Text Corp. | ||||||||
5.88%, 6/1/2026(a) | 300,000 | 312,375 | ||||||
Open Text Holdings, Inc. | ||||||||
4.13%, 2/15/2030(a) | 210,000 | 218,261 | ||||||
PTC, Inc. | ||||||||
3.63%, 2/15/2025(a) | 180,000 | 183,600 |
Investments | Principal Amount | Value | ||||||
Software – (continued) | ||||||||
SS&C Technologies, Inc. | ||||||||
5.50%, 9/30/2027(a) | $ | 510,000 | $ | 542,681 | ||||
Veritas US, Inc. | ||||||||
10.50%, 2/1/2024(a) | 1,020,000 | 949,768 | ||||||
4,511,749 | ||||||||
Specialty Retail – 3.2% | ||||||||
AAG FH LP | ||||||||
9.75%, 7/15/2024(a) | 100,000 | 94,250 | ||||||
Abercrombie & Fitch Management Co. | ||||||||
8.75%, 7/15/2025(a) | 150,000 | 160,594 | ||||||
Asbury Automotive Group, Inc. | ||||||||
4.50%, 3/1/2028(a) | 250,000 | 254,844 | ||||||
Carvana Co. | ||||||||
5.88%, 10/1/2028(a) | 125,000 | 123,620 | ||||||
eG Global Finance plc | ||||||||
6.75%, 2/7/2025(a) | 500,000 | 490,750 | ||||||
8.50%, 10/30/2025(a) | 200,000 | 204,900 | ||||||
Gap, Inc. (The) | ||||||||
8.88%, 5/15/2027(a) | 350,000 | 400,645 | ||||||
J Crew Brand LLC | ||||||||
13.00%, 9/15/2021(a)(e) | 30,000 | 16,200 | ||||||
Ken Garff Automotive LLC | ||||||||
4.88%, 9/15/2028(a) | 125,000 | 124,087 | ||||||
L Brands, Inc. | ||||||||
5.63%, 10/15/2023 | 165,000 | 172,751 | ||||||
5.25%, 2/1/2028 | 175,000 | 172,703 | ||||||
7.50%, 6/15/2029 | 367,000 | 393,446 | ||||||
6.63%, 10/1/2030(a) | 225,000 | 236,672 | ||||||
Michaels Stores, Inc. | ||||||||
8.00%, 7/15/2027(a) | 185,000 | 190,863 | ||||||
4.75%, 10/1/2027(a) | 100,000 | 97,900 | ||||||
Murphy Oil USA, Inc. | ||||||||
5.63%, 5/1/2027 | 50,000 | 52,678 | ||||||
Party City Holdings, Inc. | ||||||||
(ICE LIBOR USD 6 Month + 5.00%, 5.75% Floor), 5.75%, 7/15/2025(a)(h) | 108,825 | 76,722 | ||||||
PetSmart, Inc. | ||||||||
5.88%, 6/1/2025(a) | 34,000 | 34,821 | ||||||
Sally Holdings LLC | ||||||||
5.63%, 12/1/2025 | 300,000 | 297,975 |
See Accompanying Notes to the Financial Statements.
384 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® High Yield Value-Scored Bond Index Fund (cont.)
Investments | Principal Amount | Value | ||||||
CORPORATE BONDS – (continued) | ||||||||
Specialty Retail – (continued) | ||||||||
Sonic Automotive, Inc. | ||||||||
6.13%, 3/15/2027 | $ | 150,000 | $ | 155,062 | ||||
Staples, Inc. | ||||||||
7.50%, 4/15/2026(a) | 1,290,000 | 1,208,304 | ||||||
10.75%, 4/15/2027(a) | 625,000 | 497,656 | ||||||
TPro Acquisition Corp. | ||||||||
11.00%, 10/15/2024(a) | 190,000 | 191,425 | ||||||
White Cap Buyer LLC | ||||||||
6.88%, 10/15/2028(a) | 425,000 | 436,422 | ||||||
6,085,290 | ||||||||
Technology Hardware, Storage & Peripherals – 0.7% | ||||||||
Dell International LLC | ||||||||
7.13%, 6/15/2024(a) | 25,000 | 25,932 | ||||||
Diebold Nixdorf, Inc. | ||||||||
9.38%, 7/15/2025(a) | 165,000 | 175,416 | ||||||
NCR Corp. | ||||||||
6.13%, 9/1/2029(a) | 355,000 | 372,462 | ||||||
Western Digital Corp. | ||||||||
4.75%, 2/15/2026 | 130,000 | 140,179 | ||||||
Xerox Corp. | ||||||||
6.75%, 12/15/2039 | 25,000 | 26,395 | ||||||
Xerox Holdings Corp. | ||||||||
5.50%, 8/15/2028(a) | 655,000 | 647,844 | ||||||
1,388,228 | ||||||||
Textiles, Apparel & Luxury Goods – 0.5% | ||||||||
Eagle Intermediate Global Holding BV | ||||||||
7.50%, 5/1/2025(a) | 550,000 | 387,750 | ||||||
G-III Apparel Group Ltd. | ||||||||
7.88%, 8/15/2025(a) | 265,000 | 269,306 | ||||||
William Carter Co. (The) | ||||||||
5.63%, 3/15/2027(a) | 100,000 | 105,125 | ||||||
Wolverine World Wide, Inc. | ||||||||
5.00%, 9/1/2026(a) | 200,000 | 202,125 | ||||||
964,306 | ||||||||
Thrifts & Mortgage Finance – 0.8% | ||||||||
Freedom Mortgage Corp. | ||||||||
7.63%, 5/1/2026(a) | 395,000 | 394,261 | ||||||
Ladder Capital Finance Holdings LLLP | ||||||||
REIT, 5.25%, 3/15/2022(a) | 115,000 | 111,982 |
Investments | Principal Amount | Value | ||||||
Thrifts & Mortgage Finance – (continued) | ||||||||
REIT, 4.25%, 2/1/2027(a) | $ | 100,000 | $ | 86,625 | ||||
NMI Holdings, Inc. | ||||||||
7.38%, 6/1/2025(a) | 100,000 | 109,144 | ||||||
PennyMac Financial Services, Inc. | ||||||||
5.38%, 10/15/2025(a) | 125,000 | 127,619 | ||||||
Provident Funding Associates LP | ||||||||
6.38%, 6/15/2025(a) | 180,000 | 177,484 | ||||||
Quicken Loans LLC | ||||||||
3.63%, 3/1/2029(a) | 200,000 | 197,375 | ||||||
Radian Group, Inc. | ||||||||
6.63%, 3/15/2025 | 270,000 | 292,781 | ||||||
1,497,271 | ||||||||
Tobacco – 0.4% | ||||||||
Vector Group Ltd. | ||||||||
6.13%, 2/1/2025(a) | 415,000 | 414,741 | ||||||
10.50%, 11/1/2026(a) | 270,000 | 278,606 | ||||||
693,347 | ||||||||
Trading Companies & Distributors – 0.6% | ||||||||
Ahern Rentals, Inc. | ||||||||
7.38%, 5/15/2023(a) | 360,000 | 232,425 | ||||||
Brightstar Escrow Corp. | ||||||||
9.75%, 10/15/2025(a) | 125,000 | 124,964 | ||||||
Fortress Transportation & Infrastructure Investors LLC | ||||||||
6.75%, 3/15/2022(a) | 270,000 | 268,566 | ||||||
6.50%, 10/1/2025(a) | 400,000 | 395,542 | ||||||
9.75%, 8/1/2027(a) | 50,000 | 53,312 | ||||||
HD Supply, Inc. | ||||||||
5.38%, 10/15/2026(a) | 100,000 | 104,791 | ||||||
1,179,600 | ||||||||
Transportation Infrastructure – 0.2% | ||||||||
North Queensland Export Terminal Pty. Ltd. | ||||||||
4.45%, 12/15/2022(a) | 315,000 | 296,257 | ||||||
Wireless Telecommunication Services – 1.4% | ||||||||
C&W Senior Financing DAC | ||||||||
7.50%, 10/15/2026(a) | 100,000 | 105,590 | ||||||
6.88%, 9/15/2027(a) | 470,000 | 496,085 | ||||||
Connect Finco SARL | ||||||||
6.75%, 10/1/2026(a) | 825,000 | 832,219 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 385 |
Table of Contents
FlexShares® High Yield Value-Scored Bond Index Fund (cont.)
Investments | Principal Amount | Value | ||||||
CORPORATE BONDS – (continued) | ||||||||
Wireless Telecommunication Services – (continued) | ||||||||
Hughes Satellite Systems Corp. | ||||||||
6.63%, 8/1/2026 | $ | 105,000 | $ | 114,102 | ||||
Sprint Corp. | ||||||||
7.13%, 6/15/2024 | 250,000 | 287,865 | ||||||
7.63%, 2/15/2025 | 40,000 | 47,275 | ||||||
7.63%, 3/1/2026 | 40,000 | 48,739 | ||||||
T-Mobile USA, Inc. | ||||||||
6.50%, 1/15/2026 | 500,000 | 521,625 | ||||||
4.50%, 2/1/2026 | 5,000 | 5,134 | ||||||
Vodafone Group plc | ||||||||
7.00%, 4/4/2079(b) | 200,000 | 237,520 | ||||||
2,696,154 | ||||||||
Total Corporate Bonds (Cost $186,120,049) |
| 184,334,452 | ||||||
Shares | ||||||||
COMMON STOCKS – 0.0%(f) | ||||||||
Oil, Gas & Consumable Fuels – 0.0%(f) | ||||||||
Whiting Petroleum Corp.* | 1 | 11 | ||||||
Total Investments – 97.2% (Cost $186,120,080) |
| 184,334,463 | ||||||
Other assets less liabilities – 2.8% |
| 5,288,472 | ||||||
NET ASSETS – 100.0% |
| $ | 189,622,935 |
* | Non-income producing security. |
(a) | Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The value of these securities is determined by valuations supplied by a pricing service or brokers, or, if not available, in accordance with procedures established by the Board of Trustees. |
(b) | 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. |
(c) | Payment in-kind security. |
(d) | Step bond. Interest rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future at a contingent upon predetermined trigger. The interest rate shown was the current rate as of October 31, 2020. |
(e) | Issuer has defaulted on terms of debt obligation. Income is not being accrued. |
(f) | Represents less than 0.05% of net assets. |
(g) | Perpetual security. The rate reflected was the rate in effect on October 31, 2020. The maturity date reflects the next call date. |
(h) | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the rate in effect as of October 31, 2020. |
Percentages shown are based on Net Assets.
Abbreviations
ICE – Intercontinental Exchange
LIBOR – London Interbank Offered Rate
SCA – Limited partnership with share capital
USD – US Dollar
As of October 31, 2020, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments (including derivative instruments, if applicable) for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 4,678,611 | ||
Aggregate gross unrealized depreciation | (6,813,726 | ) | ||
Net unrealized depreciation | $ | (2,135,115 | ) | |
Federal income tax cost | $ | 186,469,578 |
See Accompanying Notes to the Financial Statements.
386 | FLEXSHARES ANNUAL REPORT |
Table of Contents
Schedule of Investments
FlexShares® Ready Access Variable Income Fund
October 31, 2020
Investments | Principal Amount | Value | ||||||
CORPORATE BONDS – 84.3% | ||||||||
Aerospace & Defense – 0.4% | ||||||||
Boeing Co. (The) | ||||||||
2.30%, 8/1/2021 | $ | 580,000 | $ | 586,089 | ||||
8.75%, 8/15/2021 | 827,000 | 876,513 | ||||||
Northrop Grumman Corp. | ||||||||
3.50%, 3/15/2021 | 204,000 | 206,391 | ||||||
1,668,993 | ||||||||
Agricultural & Farm Machinery – 0.3% | ||||||||
CNH Industrial Capital LLC | ||||||||
3.88%, 10/15/2021 | 500,000 | 513,457 | ||||||
1.95%, 7/2/2023 | 730,000 | 742,899 | ||||||
1,256,356 | ||||||||
Agricultural Products – 0.5% | ||||||||
Cargill, Inc. | ||||||||
1.38%, 7/23/2023(a) | 2,100,000 | 2,148,961 | ||||||
Air Freight & Logistics – 0.4% | ||||||||
FedEx Corp. | ||||||||
2.63%, 8/1/2022 | 1,000,000 | 1,036,750 | ||||||
United Parcel Service, Inc. | ||||||||
2.05%, 4/1/2021 | 895,000 | 901,530 | ||||||
1,938,280 | ||||||||
Apparel, Accessories & Luxury Goods – 0.3% | ||||||||
VF Corp. | ||||||||
2.05%, 4/23/2022 | 1,500,000 | 1,535,125 | ||||||
Application Software – 0.2% | ||||||||
Intuit, Inc. | ||||||||
0.65%, 7/15/2023 | 1,040,000 | 1,047,912 | ||||||
Asset Management & Custody Banks – 0.2% | ||||||||
Ameriprise Financial, Inc. | ||||||||
3.00%, 3/22/2022 | 900,000 | 933,118 | ||||||
Automobile Manufacturers – 3.8% | ||||||||
BMW US Capital LLC | ||||||||
(ICE LIBOR USD | 1,500,000 | 1,502,050 | ||||||
3.80%, 4/6/2023(a) | 1,500,000 | 1,612,509 |
Investments | Principal Amount | Value | ||||||
Automobile Manufacturers – (continued) | ||||||||
Daimler Finance North America LLC | ||||||||
(ICE LIBOR USD | $ | 3,565,000 | $ | 3,567,760 | ||||
3.00%, 2/22/2021(a) | 650,000 | 654,906 | ||||||
2.88%, 3/10/2021(a) | 2,100,000 | 2,118,151 | ||||||
2.00%, 7/6/2021(a) | 1,025,000 | 1,035,171 | ||||||
Hyundai Capital America | ||||||||
2.85%, 11/1/2022(a) | 1,270,000 | 1,314,691 | ||||||
1.25%, 9/18/2023(a) | 910,000 | 912,774 | ||||||
Nissan Motor Acceptance Corp. | ||||||||
(ICE LIBOR USD | 762,000 | 757,811 | ||||||
Toyota Motor Corp. | ||||||||
2.16%, 7/2/2022 | 1,000,000 | 1,030,587 | ||||||
Volkswagen Group of America Finance LLC | ||||||||
(ICE LIBOR USD | 3,500,000 | 3,500,700 | ||||||
18,007,110 | ||||||||
Automotive Retail – 0.5% | ||||||||
AutoZone, Inc. | ||||||||
3.70%, 4/15/2022 | 2,000,000 | 2,077,719 | ||||||
Biotechnology – 0.5% | ||||||||
Gilead Sciences, Inc. | ||||||||
0.75%, 9/29/2023 | 2,300,000 | 2,305,941 | ||||||
Broadcasting – 0.2% | ||||||||
Fox Corp. | ||||||||
3.67%, 1/25/2022 | 800,000 | 831,972 | ||||||
Cable & Satellite – 0.2% | ||||||||
Comcast Corp. | ||||||||
(ICE LIBOR USD | 1,100,000 | 1,112,549 | ||||||
Communications Equipment – 0.7% | ||||||||
Cisco Systems, Inc. | ||||||||
2.20%, 2/28/2021 | 3,336,000 | 3,357,435 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 387 |
Table of Contents
FlexShares® Ready Access Variable Income Fund (cont.)
Investments | Principal Amount | Value | ||||||
CORPORATE BONDS – (continued) | ||||||||
Consumer Finance – 5.8% | ||||||||
American Express Co. | ||||||||
3.00%, 2/22/2021 | $ | 520,000 | $ | 523,169 | ||||
(ICE LIBOR USD | 2,812,000 | 2,818,565 | ||||||
American Honda Finance Corp. | ||||||||
(ICE LIBOR USD | 1,200,000 | 1,202,409 | ||||||
1.70%, 9/9/2021 | 500,000 | 506,064 | ||||||
(ICE LIBOR USD | 2,500,000 | 2,502,344 | ||||||
0.88%, 7/7/2023 | 2,670,000 | 2,693,111 | ||||||
Capital One Financial Corp. | ||||||||
(ICE LIBOR USD | 235,000 | 237,086 | ||||||
Caterpillar Financial Services Corp. | ||||||||
(ICE LIBOR USD | 160,000 | 160,149 | ||||||
Series I, (ICE LIBOR USD | 1,275,000 | 1,277,694 | ||||||
(ICE LIBOR USD | 2,091,000 | 2,095,514 | ||||||
(ICE LIBOR USD | 2,710,000 | 2,713,574 | ||||||
General Motors Financial Co., Inc. | ||||||||
3.45%, 1/14/2022 | 1,020,000 | 1,046,961 | ||||||
John Deere Capital Corp. | ||||||||
(ICE LIBOR USD | 1,554,000 | 1,557,521 | ||||||
0.40%, 10/10/2023 | 1,200,000 | 1,201,423 | ||||||
PACCAR Financial Corp. | ||||||||
2.00%, 9/26/2022 | 200,000 | 206,185 | ||||||
2.65%, 4/6/2023 | 1,000,000 | 1,055,766 | ||||||
0.80%, 6/8/2023 | 380,000 | 383,242 | ||||||
0.35%, 8/11/2023 | 900,000 | 899,508 |
Investments | Principal Amount | Value | ||||||
Consumer Finance – (continued) | ||||||||
Toyota Motor Credit Corp. | ||||||||
(ICE LIBOR USD | $ | 1,200,000 | $ | 1,202,705 | ||||
1.15%, 5/26/2022 | 3,000,000 | 3,038,279 | ||||||
27,321,269 | ||||||||
Data Processing & Outsourced Services – 1.4% | ||||||||
PayPal Holdings, Inc. | ||||||||
2.20%, 9/26/2022 | 900,000 | 930,570 | ||||||
1.35%, 6/1/2023 | 5,640,000 | 5,764,089 | ||||||
6,694,659 | ||||||||
Diversified Banks – 24.1% | ||||||||
Australia & New Zealand Banking Group Ltd. | ||||||||
2.30%, 6/1/2021 | 4,010,000 | 4,059,933 | ||||||
2.05%, 11/21/2022 | 1,900,000 | 1,965,160 | ||||||
Bank of America Corp. | ||||||||
2.63%, 4/19/2021 | 3,000,000 | 3,032,491 | ||||||
(ICE LIBOR USD | 1,742,000 | 1,743,045 | ||||||
(SOFR + 0.73%), | 4,000,000 | 4,006,551 | ||||||
Bank of Montreal | ||||||||
Series D, | 1,650,000 | 1,671,415 | ||||||
2.90%, 3/26/2022 | 2,500,000 | 2,590,081 | ||||||
Bank of Nova Scotia (The) | ||||||||
(ICE LIBOR USD | 670,000 | 670,371 | ||||||
1.63%, 5/1/2023 | 2,000,000 | 2,054,678 | ||||||
Banque Federative du Credit Mutuel SA | ||||||||
2.13%, 11/21/2022(a) | 1,400,000 | 1,446,391 | ||||||
Barclays Bank plc | ||||||||
1.70%, 5/12/2022 | 1,090,000 | 1,110,698 | ||||||
BNP Paribas SA | ||||||||
5.00%, 1/15/2021 | 1,195,000 | 1,206,461 | ||||||
2.95%, 5/23/2022(a) | 1,300,000 | 1,348,715 | ||||||
Canadian Imperial Bank of Commerce | ||||||||
(SOFR + 0.80%), | 2,400,000 | 2,416,582 |
See Accompanying Notes to the Financial Statements.
388 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® Ready Access Variable Income Fund (cont.)
Investments | Principal Amount | Value | ||||||
CORPORATE BONDS – (continued) | ||||||||
Diversified Banks – (continued) | ||||||||
Citibank NA | ||||||||
(ICE LIBOR USD | $ | 900,000 | $ | 902,672 | ||||
3.16%, 2/19/2022(c) | 2,000,000 | 2,016,702 | ||||||
Citigroup, Inc. | ||||||||
2.70%, 3/30/2021 | 500,000 | 504,941 | ||||||
Cooperatieve Rabobank UA | ||||||||
2.50%, 1/19/2021 | 1,130,000 | 1,135,624 | ||||||
(ICE LIBOR USD | 1,380,000 | 1,382,617 | ||||||
(ICE LIBOR USD | 1,000,000 | 1,005,534 | ||||||
DBS Group Holdings Ltd. | ||||||||
2.85%, 4/16/2022(a) | 1,200,000 | 1,239,764 | ||||||
HSBC Holdings plc | ||||||||
3.26%, 3/13/2023(c) | 1,100,000 | 1,137,328 | ||||||
JPMorgan Chase & Co. | ||||||||
4.63%, 5/10/2021 | 1,600,000 | 1,636,431 | ||||||
3.21%, 4/1/2023(c) | 1,000,000 | 1,039,219 | ||||||
2.78%, 4/25/2023(c) | 100,000 | 103,488 | ||||||
1.51%, 6/1/2024(c) | 3,650,000 | 3,730,563 | ||||||
Lloyds Banking Group plc | ||||||||
2.86%, 3/17/2023(c) | 2,600,000 | 2,674,864 | ||||||
1.33%, 6/15/2023(c) | 400,000 | 403,328 | ||||||
Mitsubishi UFJ Financial Group, Inc. | ||||||||
(ICE LIBOR USD | 695,000 | 697,957 | ||||||
3.22%, 3/7/2022 | 1,200,000 | 1,244,743 | ||||||
2.62%, 7/18/2022 | 3,970,000 | 4,118,697 | ||||||
Mizuho Financial Group, Inc. | ||||||||
(ICE LIBOR USD | 3,100,000 | 3,100,529 | ||||||
National Australia Bank Ltd. | ||||||||
(ICE LIBOR USD | 2,000,000 | 2,012,462 | ||||||
(ICE LIBOR USD | 1,000,000 | 1,004,259 |
Investments | Principal Amount | Value | ||||||
Diversified Banks – (continued) | ||||||||
Nordea Bank Abp | ||||||||
1.00%, 6/9/2023(a) | $ | 640,000 | $ | 649,103 | ||||
Royal Bank of Canada | ||||||||
(ICE LIBOR USD | 1,813,000 | 1,829,029 | ||||||
(ICE LIBOR USD | 1,000,000 | 1,003,388 | ||||||
(SOFR + 0.45%), | 3,500,000 | 3,502,083 | ||||||
1.15%, 6/10/2025 | 1,300,000 | 1,321,883 | ||||||
Santander UK Group Holdings plc | ||||||||
2.88%, 8/5/2021 | 5,500,000 | 5,601,420 | ||||||
Santander UK plc | ||||||||
(ICE LIBOR USD | 672,000 | 673,966 | ||||||
Skandinaviska Enskilda Banken AB | ||||||||
2.63%, 3/15/2021 | 850,000 | 857,601 | ||||||
(ICE LIBOR USD | 1,110,000 | 1,112,545 | ||||||
2.20%, 12/12/2022(a) | 600,000 | 622,293 | ||||||
(ICE LIBOR USD | 3,000,000 | 2,996,426 | ||||||
Sumitomo Mitsui Financial Group, Inc. | ||||||||
2.06%, 7/14/2021 | 1,941,000 | 1,965,373 | ||||||
Sumitomo Mitsui Trust Bank Ltd. | ||||||||
0.80%, 9/12/2023(a) | 1,300,000 | 1,305,771 | ||||||
Svenska Handelsbanken AB | ||||||||
2.45%, 3/30/2021 | 300,000 | 302,705 | ||||||
(ICE LIBOR USD | 2,800,000 | 2,807,503 | ||||||
3.35%, 5/24/2021 | 2,480,000 | 2,523,104 | ||||||
0.63%, 6/30/2023(a) | 1,500,000 | 1,505,592 | ||||||
Swedbank AB | ||||||||
1.30%, 6/2/2023(a) | 400,000 | 407,439 | ||||||
0.60%, 9/25/2023(a) | 2,470,000 | 2,468,024 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 389 |
Table of Contents
FlexShares® Ready Access Variable Income Fund (cont.)
Investments | Principal Amount | Value | ||||||
CORPORATE BONDS – (continued) | ||||||||
Diversified Banks – (continued) | ||||||||
Toronto-Dominion Bank (The) | ||||||||
(ICE LIBOR USD | $ | 1,125,000 | $ | 1,126,198 | ||||
(ICE LIBOR USD | 4,150,000 | 4,160,883 | ||||||
(ICE LIBOR USD | 2,300,000 | 2,304,290 | ||||||
0.45%, 9/11/2023 | 2,000,000 | 1,997,780 | ||||||
US Bank NA | ||||||||
(ICE LIBOR USD | 2,500,000 | 2,501,334 | ||||||
(ICE LIBOR USD | 2,000,000 | 2,003,087 | ||||||
Wells Fargo & Co. | ||||||||
3.07%, 1/24/2023 | 600,000 | 618,248 | ||||||
Westpac Banking Corp. | ||||||||
2.65%, 1/25/2021 | 105,000 | 105,580 | ||||||
(ICE LIBOR USD | 1,500,000 | 1,512,723 | ||||||
(ICE LIBOR USD | 1,035,000 | 1,043,653 | ||||||
(ICE LIBOR USD | 1,100,000 | 1,105,859 | ||||||
2.00%, 1/13/2023 | 510,000 | 528,026 | ||||||
112,877,203 | ||||||||
Diversified Capital Markets – 1.8% | ||||||||
Credit Suisse AG | ||||||||
2.10%, 11/12/2021 | 700,000 | 712,424 | ||||||
(SOFR + 0.45%), | 4,000,000 | 4,004,319 | ||||||
2.80%, 4/8/2022 | 2,300,000 | 2,380,845 | ||||||
Macquarie Bank Ltd. | ||||||||
2.10%, 10/17/2022(a) | 700,000 | 721,932 | ||||||
UBS Group AG | ||||||||
3.49%, 5/23/2023(a) | 620,000 | 646,369 | ||||||
8,465,889 |
Investments | Principal Amount | Value | ||||||
Diversified Chemicals – 0.7% | ||||||||
LYB International Finance III LLC | ||||||||
(ICE LIBOR USD | $ | 3,240,000 | $ | 3,242,352 | ||||
Electric Utilities – 2.5% | ||||||||
Duke Energy Corp. | ||||||||
(ICE LIBOR USD | 2,000,000 | 2,004,467 | ||||||
1.80%, 9/1/2021 | 315,000 | 318,353 | ||||||
3.55%, 9/15/2021 | 150,000 | 153,017 | ||||||
2.40%, 8/15/2022 | 250,000 | 258,349 | ||||||
Duke Energy Florida LLC | ||||||||
Series A, (ICE LIBOR USD | 600,000 | 600,831 | ||||||
Duke Energy Progress LLC | ||||||||
Series A, (ICE LIBOR USD | 2,600,000 | 2,600,586 | ||||||
Florida Power & Light Co. | ||||||||
(ICE LIBOR USD | 940,000 | 940,478 | ||||||
NextEra Energy Capital Holdings, Inc. | ||||||||
2.40%, 9/1/2021 | 2,487,000 | 2,530,065 | ||||||
2.90%, 4/1/2022 | 1,352,000 | 1,398,618 | ||||||
PPL Electric Utilities Corp. | ||||||||
(ICE LIBOR USD | 850,000 | 850,540 | ||||||
11,655,304 | ||||||||
Financial Exchanges & Data – 0.6% | ||||||||
Intercontinental Exchange, Inc. | ||||||||
0.70%, 6/15/2023 | 1,600,000 | 1,611,104 | ||||||
(ICE LIBOR USD | 1,300,000 | 1,304,183 | ||||||
2,915,287 |
See Accompanying Notes to the Financial Statements.
390 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® Ready Access Variable Income Fund (cont.)
Investments | Principal Amount | Value | ||||||
CORPORATE BONDS – (continued) | ||||||||
Food Retail – 0.9% | ||||||||
Kroger Co. (The) | ||||||||
3.30%, 1/15/2021 | $ | 3,003,000 | $ | 3,014,059 | ||||
2.60%, 2/1/2021 | 1,235,000 | 1,238,604 | ||||||
4,252,663 | ||||||||
Gas Utilities – 0.6% | ||||||||
CenterPoint Energy Resources Corp. | ||||||||
3.55%, 4/1/2023 | 750,000 | 803,207 | ||||||
Dominion Energy Gas Holdings LLC | ||||||||
2.80%, 11/15/2020 | 550,000 | 550,400 | ||||||
Series A, (ICE LIBOR USD | 1,300,000 | 1,304,112 | ||||||
2,657,719 | ||||||||
Health Care Distributors – 0.2% | ||||||||
McKesson Corp. | ||||||||
3.65%, 11/30/2020 | 762,000 | 763,951 | ||||||
Health Care Equipment – 0.7% | ||||||||
DH Europe Finance II Sarl | ||||||||
2.05%, 11/15/2022 | 3,300,000 | 3,405,774 | ||||||
Health Care Services – 1.0% | ||||||||
CVS Health Corp. | ||||||||
(ICE LIBOR USD | 1,000,000 | 1,002,030 | ||||||
3.35%, 3/9/2021 | 2,514,000 | 2,540,210 | ||||||
2.13%, 6/1/2021 | 620,000 | 625,402 | ||||||
2.75%, 12/1/2022 | 610,000 | 635,330 | ||||||
3.70%, 3/9/2023 | 44,000 | 47,115 | ||||||
4,850,087 | ||||||||
Home Improvement Retail – 0.1% | ||||||||
Home Depot, Inc. (The) | ||||||||
4.40%, 4/1/2021 | 395,000 | 397,696 | ||||||
(ICE LIBOR USD | 210,000 | 210,682 | ||||||
608,378 |
Investments | Principal Amount | Value | ||||||
Homebuilding – 0.2% | ||||||||
DR Horton, Inc. | ||||||||
2.55%, 12/1/2020 | $ | 1,047,000 | $ | 1,048,580 | ||||
Household Appliances – 0.5% | ||||||||
Whirlpool Corp. | ||||||||
4.85%, 6/15/2021 | 2,448,000 | 2,512,534 | ||||||
Industrial Conglomerates – 1.1% | ||||||||
Honeywell International, Inc. | ||||||||
(ICE LIBOR USD | 1,700,000 | 1,702,393 | ||||||
Roper Technologies, Inc. | ||||||||
3.00%, 12/15/2020 | 3,169,000 | 3,168,710 | ||||||
0.45%, 8/15/2022 | 290,000 | 290,552 | ||||||
5,161,655 | ||||||||
Industrial Machinery – 0.8% | ||||||||
Otis Worldwide Corp. | ||||||||
(ICE LIBOR USD | 3,705,000 | 3,706,164 | ||||||
Insurance Brokers – 0.4% | ||||||||
Aon Corp. | ||||||||
2.20%, 11/15/2022 | 1,752,000 | 1,814,859 | ||||||
Integrated Oil & Gas – 3.4% | ||||||||
BP Capital Markets America, Inc. | ||||||||
2.94%, 4/6/2023 | 300,000 | 317,154 | ||||||
BP Capital Markets plc | ||||||||
(ICE LIBOR USD | 1,766,000 | 1,766,381 | ||||||
Chevron Corp. | ||||||||
1.14%, 5/11/2023 | 1,280,000 | 1,303,194 | ||||||
Chevron USA, Inc. | ||||||||
(ICE LIBOR USD | 6,770,000 | 6,780,791 | ||||||
Exxon Mobil Corp. | ||||||||
1.57%, 4/15/2023 | 1,751,000 | 1,800,264 | ||||||
Total Capital International SA | ||||||||
2.22%, 7/12/2021 | 3,700,000 | 3,745,231 | ||||||
15,713,015 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 391 |
Table of Contents
FlexShares® Ready Access Variable Income Fund (cont.)
Investments | Principal Amount | Value | ||||||
CORPORATE BONDS – (continued) | ||||||||
Integrated Telecommunication Services – 1.8% | ||||||||
AT&T, Inc. | ||||||||
(ICE LIBOR USD | $ | 2,891,000 | $ | 2,909,084 | ||||
Orange SA | ||||||||
4.13%, 9/14/2021 | 1,750,000 | 1,806,514 | ||||||
Verizon Communications, Inc. | ||||||||
(ICE LIBOR USD | 3,870,000 | 3,920,915 | ||||||
8,636,513 | ||||||||
Internet & Direct Marketing Retail – 0.2% | ||||||||
Amazon.com, Inc. | ||||||||
0.40%, 6/3/2023 | 1,120,000 | 1,122,673 | ||||||
Investment Banking & Brokerage – 3.1% | ||||||||
Charles Schwab Corp. (The) | ||||||||
(ICE LIBOR USD | 3,965,000 | 3,970,036 | ||||||
3.25%, 5/21/2021 | 590,000 | 598,329 | ||||||
Goldman Sachs Group, Inc. (The) | ||||||||
2.63%, 4/25/2021 | 930,000 | 938,519 | ||||||
2.35%, 11/15/2021 | 2,510,000 | 2,511,674 | ||||||
Morgan Stanley | ||||||||
(ICE LIBOR USD | 1,500,000 | 1,509,319 | ||||||
5.50%, 7/28/2021 | 3,610,000 | 3,746,377 | ||||||
(ICE LIBOR USD | 244,000 | 245,189 | ||||||
(SOFR + 0.70%), | 1,200,000 | 1,204,379 | ||||||
14,723,822 | ||||||||
IT Consulting & Other Services – 0.8% | ||||||||
IBM Credit LLC | ||||||||
(ICE LIBOR USD | 110,000 | 110,038 | ||||||
2.65%, 2/5/2021 | 600,000 | 603,739 |
Investments | Principal Amount | Value | ||||||
IT Consulting & Other Services – (continued) | ||||||||
International Business Machines Corp. | ||||||||
(ICE LIBOR USD | $ | 3,000,000 | $ | 3,005,849 | ||||
3,719,626 | ||||||||
Life & Health Insurance – 1.8% | ||||||||
Athene Global Funding | ||||||||
1.20%, 10/13/2023(a) | 2,400,000 | 2,404,569 | ||||||
Jackson National Life Global Funding | ||||||||
(ICE LIBOR USD | 500,000 | 501,057 | ||||||
MetLife, Inc. | ||||||||
3.05%, 12/15/2022(d) | 500,000 | 528,764 | ||||||
Protective Life Global Funding | ||||||||
0.63%, 10/13/2023(a) | 1,900,000 | 1,904,135 | ||||||
Prudential Financial, Inc. | ||||||||
4.50%, 11/15/2020 | 3,000,000 | 3,004,270 | ||||||
8,342,795 | ||||||||
Managed Health Care – 1.1% | ||||||||
Cigna Corp. | ||||||||
(ICE LIBOR USD | 1,000,000 | 1,000,200 | ||||||
3.40%, 9/17/2021 | 400,000 | 410,706 | ||||||
(ICE LIBOR USD | 2,000,000 | 2,021,747 | ||||||
UnitedHealth Group, Inc. | ||||||||
2.88%, 12/15/2021 | 1,020,000 | 1,047,485 | ||||||
2.38%, 10/15/2022 | 800,000 | 831,577 | ||||||
5,311,715 | ||||||||
Movies & Entertainment – 0.1% | ||||||||
Walt Disney Co. (The) | ||||||||
(ICE LIBOR USD | 300,000 | 300,572 |
See Accompanying Notes to the Financial Statements.
392 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® Ready Access Variable Income Fund (cont.)
Investments | Principal Amount | Value | ||||||
CORPORATE BONDS – (continued) | ||||||||
Multi-line Insurance – 0.5% | ||||||||
New York Life Global Funding | ||||||||
(ICE LIBOR USD | $ | 1,600,000 | $ | 1,604,287 | ||||
1.10%, 5/5/2023(a) | 500,000 | 508,117 | ||||||
2,112,404 | ||||||||
Multi-Sector Holdings – 0.3% | ||||||||
BNG Bank NV | ||||||||
0.75%, 4/17/2023(a) | 1,200,000 | 1,213,359 | ||||||
Multi-Utilities – 1.1% | ||||||||
Dominion Energy, Inc. | ||||||||
Series D, (ICE LIBOR USD | 2,000,000 | 2,005,875 | ||||||
DTE Energy Co. | ||||||||
Series B, | 175,000 | 181,804 | ||||||
Series H, | 3,000,000 | 3,012,708 | ||||||
5,200,387 | ||||||||
Oil & Gas Equipment & Services – 0.0%(e) | ||||||||
Schlumberger Finance Canada Ltd. | ||||||||
2.20%, 11/20/2020(a) | 25,000 | 25,022 | ||||||
Oil & Gas Refining & Marketing – 1.6% | ||||||||
Marathon Petroleum Corp. | ||||||||
3.40%, 12/15/2020 | 405,000 | 405,361 | ||||||
Phillips 66 | ||||||||
4.30%, 4/1/2022 | 630,000 | 661,853 | ||||||
3.70%, 4/6/2023 | 600,000 | 642,414 | ||||||
Valero Energy Corp. | ||||||||
1.20%, 3/15/2024 | 5,840,000 | 5,725,525 | ||||||
7,435,153 | ||||||||
Oil & Gas Storage & Transportation – 0.6% | ||||||||
Energy Transfer Operating LP | ||||||||
4.65%, 6/1/2021 | 440,000 | 445,822 | ||||||
Enterprise Products Operating LLC | ||||||||
2.80%, 2/15/2021 | 2,500,000 | 2,518,653 | ||||||
2,964,475 |
Investments | Principal Amount | Value | ||||||
Other Diversified Financial Services – 0.7% | ||||||||
GE Capital International Funding Co. Unlimited Co. | ||||||||
2.34%, 11/15/2020 | $ | 2,570,000 | $ | 2,571,718 | ||||
Kreditanstalt fuer Wiederaufbau | ||||||||
2.38%, 3/24/2021 | 535,211 | 539,824 | ||||||
3,111,542 | ||||||||
Packaged Foods & Meats – 2.5% | ||||||||
Hershey Co. (The) | ||||||||
3.10%, 5/15/2021 | 670,000 | 679,943 | ||||||
0.90%, 6/1/2025 | 470,000 | 475,176 | ||||||
J M Smucker Co. (The) | ||||||||
3.00%, 3/15/2022 | 2,169,000 | 2,239,201 | ||||||
Kellogg Co. | ||||||||
4.00%, 12/15/2020 | 1,210,000 | 1,215,268 | ||||||
Mondelez International Holdings Netherlands BV | ||||||||
2.13%, 9/19/2022(a) | 1,360,000 | 1,401,715 | ||||||
Mondelez International, Inc. | ||||||||
0.63%, 7/1/2022 | 2,510,000 | 2,520,064 | ||||||
Tyson Foods, Inc. | ||||||||
2.25%, 8/23/2021 | 2,710,000 | 2,745,947 | ||||||
Unilever Capital Corp. | ||||||||
0.38%, 9/14/2023 | 500,000 | 502,042 | ||||||
11,779,356 | ||||||||
Paper Products – 0.5% | ||||||||
Georgia-Pacific LLC | ||||||||
5.40%, 11/1/2020(a) | 2,500,000 | 2,500,000 | ||||||
Pharmaceuticals – 1.8% | ||||||||
GlaxoSmithKline Capital plc | ||||||||
(ICE LIBOR USD | 1,955,000 | 1,958,792 | ||||||
0.53%, 10/1/2023 | 2,190,000 | 2,189,066 | ||||||
Pfizer, Inc. | ||||||||
1.95%, 6/3/2021 | 550,000 | 555,677 | ||||||
Shire Acquisitions Investments Ireland DAC | ||||||||
2.40%, 9/23/2021 | 107,000 | 108,742 | ||||||
Upjohn, Inc. | ||||||||
1.13%, 6/22/2022(a) | 3,379,000 | 3,410,753 | ||||||
8,223,030 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 393 |
Table of Contents
FlexShares® Ready Access Variable Income Fund (cont.)
Investments | Principal Amount | Value | ||||||
CORPORATE BONDS – (continued) | ||||||||
Property & Casualty Insurance – 0.4% | ||||||||
Allstate Corp. (The) | ||||||||
(ICE LIBOR USD | $ | 1,290,000 | $ | 1,292,144 | ||||
Berkshire Hathaway Finance Corp. | ||||||||
4.25%, 1/15/2021 | 725,000 | 730,433 | ||||||
2,022,577 | ||||||||
Railroads – 1.1% | ||||||||
Burlington Northern Santa Fe LLC | ||||||||
4.10%, 6/1/2021 | 760,000 | 769,469 | ||||||
Union Pacific Corp. | ||||||||
3.20%, 6/8/2021 | 4,412,000 | 4,486,150 | ||||||
5,255,619 | ||||||||
Regional Banks – 2.6% | ||||||||
ABN AMRO Bank NV | ||||||||
(ICE LIBOR USD | 1,100,000 | 1,105,168 | ||||||
Capital One Bank USA NA | ||||||||
2.01%, 1/27/2023(c) | 3,150,000 | 3,203,484 | ||||||
Citizens Bank NA | ||||||||
(ICE LIBOR USD | 2,000,000 | 2,009,643 | ||||||
Fifth Third Bank NA | ||||||||
2.25%, 6/14/2021 | 460,000 | 464,906 | ||||||
Truist Bank | ||||||||
(ICE LIBOR USD | 3,000,000 | 3,017,983 | ||||||
Truist Financial Corp. | ||||||||
3.05%, 6/20/2022 | 2,268,000 | 2,362,179 | ||||||
12,163,363 | ||||||||
Research & Consulting Services – 0.1% | ||||||||
Equifax, Inc. | ||||||||
(ICE LIBOR USD | 200,000 | 200,756 |
Investments | Principal Amount | Value | ||||||
Residential REITs – 0.2% | ||||||||
American Campus Communities Operating Partnership LP | ||||||||
REIT, 3.75%, 4/15/2023 | $ | 985,000 | $ | 1,037,760 | ||||
Restaurants – 0.7% | ||||||||
McDonald’s Corp. |
| |||||||
2.75%, 12/9/2020 | 954,000 | 955,724 | ||||||
(ICE LIBOR USD | 2,225,000 | 2,232,923 | ||||||
Starbucks Corp. | ||||||||
1.30%, 5/7/2022 | 290,000 | 294,277 | ||||||
3,482,924 | ||||||||
Soft Drinks – 0.2% | ||||||||
PepsiCo, Inc. | ||||||||
0.40%, 10/7/2023 | 1,050,000 | 1,053,019 | ||||||
Specialized REITs – 0.4% | ||||||||
Crown Castle International Corp. | ||||||||
REIT, 3.15%, 7/15/2023 | 1,800,000 | 1,914,179 | ||||||
Specialty Chemicals – 1.5% | ||||||||
Albemarle Corp. | ||||||||
(ICE LIBOR USD | 1,030,000 | 1,028,706 | ||||||
DuPont de Nemours, Inc. | ||||||||
(ICE LIBOR USD | 2,072,000 | 2,072,497 | ||||||
3.77%, 11/15/2020 | 2,713,000 | 2,716,084 | ||||||
2.17%, 5/1/2023 | 1,076,000 | 1,086,616 | ||||||
6,903,903 | ||||||||
Systems Software – 0.7% | ||||||||
Microsoft Corp. | ||||||||
1.55%, 8/8/2021 | 3,000,000 | 3,026,568 | ||||||
Technology Hardware, Storage & Peripherals – 1.2% | ||||||||
Apple, Inc. | ||||||||
(ICE LIBOR USD | 332,000 | 334,024 | ||||||
1.70%, 9/11/2022 | 570,000 | 585,128 |
See Accompanying Notes to the Financial Statements.
394 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® Ready Access Variable Income Fund (cont.)
Investments | Principal Amount | Value | ||||||
CORPORATE BONDS – (continued) | ||||||||
Technology Hardware, Storage & Peripherals – (continued) | ||||||||
0.75%, 5/11/2023 | $ | 2,030,000 | $ | 2,051,129 | ||||
Hewlett Packard Enterprise Co. | ||||||||
(ICE LIBOR USD | 1,370,000 | 1,372,311 | ||||||
3.50%, 10/5/2021 | 800,000 | 821,196 | ||||||
2.25%, 4/1/2023 | 400,000 | 414,063 | ||||||
5,577,851 | ||||||||
Trading Companies & Distributors – 0.3% | ||||||||
Air Lease Corp. | ||||||||
(ICE LIBOR USD | 500,000 | 498,780 | ||||||
3.75%, 2/1/2022 | 1,000,000 | 1,023,612 | ||||||
1,522,392 | ||||||||
Trucking – 1.4% | ||||||||
Penske Truck Leasing Co. LP | ||||||||
3.65%, 7/29/2021(a) | 2,635,000 | 2,689,102 | ||||||
Ryder System, Inc. | ||||||||
3.50%, 6/1/2021 | 900,000 | 916,159 | ||||||
3.45%, 11/15/2021 | 1,835,000 | 1,887,743 | ||||||
2.88%, 6/1/2022 | 1,200,000 | 1,241,328 | ||||||
6,734,332 | ||||||||
Total Corporate Bonds (Cost $393,038,160) |
| 395,506,500 | ||||||
ASSET-BACKED SECURITIES – 6.6% | ||||||||
BA Credit Card Trust | ||||||||
Series 2019-A1, Class A1, 1.74%, 1/15/2025 | 880,000 | 903,673 | ||||||
Barclays Dryrock Issuance Trust | ||||||||
Series 2019-1, Class A, 1.96%, 5/15/2025 | 700,000 | 718,903 | ||||||
BMW Vehicle Owner Trust | ||||||||
Series 2020-A, Class A2, 0.39%, 2/27/2023 | 1,400,000 | 1,401,168 | ||||||
Capital One Multi-Asset Execution Trust | ||||||||
Series 2019-A2, Class A2, 1.72%, 8/15/2024 | 900,000 | 923,407 | ||||||
CarMax Auto Owner Trust | ||||||||
Series 2019-1, Class A2A, 3.02%, 7/15/2022 | 27,486 | 27,518 |
Investments | Principal Amount | Value | ||||||
ASSET-BACKED SECURITIES – (continued) | ||||||||
Series 2020-3, Class A2A, 0.49%, 6/15/2023 | $ | 350,000 | $ | 350,524 | ||||
Chase Issuance Trust | ||||||||
Series 2020-A1, Class A1, 1.53%, 1/15/2025 | 2,300,000 | 2,361,796 | ||||||
Dell Equipment Finance Trust | ||||||||
Series 2019-1, Class A2, 2.78%, 8/23/2021(a) | 174,931 | 175,569 | ||||||
Discover Card Execution Note Trust | ||||||||
Series 2019-A3, Class A, 1.89%, 10/15/2024 | 2,800,000 | 2,890,126 | ||||||
Drive Auto Receivables Trust | ||||||||
Series 2019-4, Class A2A, 2.32%, 6/15/2022 | 54,730 | 54,781 | ||||||
Series 2020-1, Class A2, 1.99%, 12/15/2022 | 224,105 | 224,915 | ||||||
Enterprise Fleet Financing LLC | ||||||||
Series 2019-2, Class A2, 2.29%, 2/20/2025(a) | 950,523 | 967,274 | ||||||
Ford Credit Auto Owner Trust | ||||||||
Series 2020-A, Class A2, 1.03%, 10/15/2022 | 172,212 | 172,856 | ||||||
Series 2020-B, Class A2, 0.50%, 2/15/2023 | 2,300,000 | 2,302,636 | ||||||
Ford Credit Floorplan Master Owner Trust A | ||||||||
Series 2019-1, Class A, 2.84%, 3/15/2024 | 500,000 | 516,926 | ||||||
GM Financial Automobile Leasing Trust | ||||||||
Series 2019-3, Class A2A, 2.09%, 10/20/2021 | 237,352 | 237,964 | ||||||
Series 2020-1, Class A3, 1.67%, 12/20/2022 | 550,000 | 558,050 | ||||||
GM Financial Consumer Automobile Receivables Trust | ||||||||
Series 2020-2, Class A2A, 1.50%, 3/16/2023 | 171,976 | 173,002 | ||||||
Honda Auto Receivables Owner Trust | ||||||||
Series 2020-2, Class A2, 0.74%, 11/15/2022 | 700,000 | 701,977 | ||||||
Hyundai Auto Receivables Trust | ||||||||
Series 2020-B, Class A2, 0.38%, 3/15/2023 | 1,000,000 | 1,000,696 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 395 |
Table of Contents
FlexShares® Ready Access Variable Income Fund (cont.)
Investments | Principal Amount | Value | ||||||
ASSET-BACKED SECURITIES – (continued) | ||||||||
John Deere Owner Trust | ||||||||
Series 2020-B, Class A2, 0.41%, 3/15/2023 | $ | 500,000 | $ | 500,540 | ||||
Mercedes-Benz Auto Lease Trust | ||||||||
Series 2020-B, Class A2, 0.31%, 2/15/2023 | 700,000 | 700,156 | ||||||
Mercedes-Benz Auto Receivables Trust | ||||||||
Series 2020-1, Class A2, 0.46%, 3/15/2023 | 900,000 | 901,495 | ||||||
Nissan Auto Lease Trust | ||||||||
Series 2019-B, Class A2A, 2.27%, 1/15/2021 | 754,557 | 757,357 | ||||||
Nissan Auto Receivables Owner Trust | ||||||||
Series 2019-A, Class A2A, 2.82%, 1/18/2022 | 163,425 | 163,621 | ||||||
Santander Drive Auto Receivables Trust | ||||||||
Series 2020-2, Class A2A, 0.62%, 5/15/2023 | 1,300,000 | 1,301,593 | ||||||
Synchrony Card Funding LLC | ||||||||
Series 2019-A1, Class A, 2.95%, 3/15/2025 | 2,000,000 | 2,066,170 | ||||||
Toyota Auto Receivables Owner Trust | ||||||||
Series 2020-C, Class A2, 0.36%, 2/15/2023 | 2,200,000 | 2,202,253 | ||||||
Verizon Owner Trust | ||||||||
Series 2020-A, Class A1A, 1.85%, 7/22/2024 | 1,500,000 | 1,538,076 | ||||||
Volkswagen Auto Loan Enhanced Trust | ||||||||
Series 2020-1, Class A2A, 0.93%, 12/20/2022 | 942,079 | 944,948 | ||||||
World Financial Network Credit Card Master Trust | ||||||||
Series 2019-B, Class A, 2.49%, 4/15/2026 | 1,000,000 | 1,031,557 | ||||||
Series 2019-C, Class A, 2.21%, 7/15/2026 | 1,000,000 | 1,032,859 |
Investments | Principal Amount | Value | ||||||
ASSET-BACKED SECURITIES – (continued) | ||||||||
World Omni Automobile Lease Securitization Trust | ||||||||
Series 2020-B, Class A2, 0.32%, 9/15/2023 | $ | 1,400,000 | $ | 1,400,434 | ||||
Total Asset-Backed Securities (Cost $30,750,825) |
| 31,204,820 | ||||||
U.S. TREASURY OBLIGATIONS – 3.8% | ||||||||
U.S. Treasury Notes | ||||||||
(US Treasury 3 Month Bill Money Market Yield | 15,000,000 | 15,017,981 | ||||||
(US Treasury 3 Month Bill Money Market Yield | 3,000,000 | 3,000,397 | ||||||
Total U.S. Treasury Obligations (Cost $18,005,530) |
| 18,018,378 | ||||||
FOREIGN GOVERNMENT SECURITIES – 0.8% | ||||||||
Japan Bank for International Cooperation | ||||||||
1.75%, 1/23/2023 | 800,000 | 824,782 | ||||||
Svensk Exportkredit AB | ||||||||
(ICE LIBOR USD | 3,000,000 | 3,000,418 | ||||||
Total Foreign Government Securities (cost $3,798,087) |
| 3,825,200 | ||||||
SUPRANATIONAL – 0.8% | ||||||||
European Investment Bank | ||||||||
(SOFR + 0.28%), | 2,900,000 | 2,899,023 | ||||||
Nordic Investment Bank | ||||||||
0.38%, 5/19/2023 | 800,000 | 802,257 | ||||||
Total Supranational (Cost $3,699,980) |
| 3,701,280 | ||||||
See Accompanying Notes to the Financial Statements.
396 | FLEXSHARES ANNUAL REPORT |
Table of Contents
FlexShares® Ready Access Variable Income Fund (cont.)
Investments | Principal Amount | Value | ||||||
MUNICIPAL BONDS – 0.7% | ||||||||
University of Missouri, System Facilities Revenue Bonds | ||||||||
Series 2020-A, | $ | 1,000,000 | $ | 1,026,720 | ||||
Miami-Dade County, Capital Asset Acquisition Special Obligation Bonds | ||||||||
Series 2020-B, | 1,110,000 | 1,107,669 | ||||||
Port Authority of New York & New Jersey | ||||||||
Series AAA, | 1,000,000 | 1,011,610 | ||||||
Total Municipal Bonds (Cost $3,106,668) |
| 3,145,999 | ||||||
U.S. GOVERNMENT AGENCY SECURITIES – 0.4% | ||||||||
FFCB | ||||||||
0.25%, 5/6/2022 (Cost $1,998,076) | 2,000,000 | 2,002,849 | ||||||
SHORT-TERM INVESTMENTS – 2.1% | ||||||||
COMMERCIAL PAPER – 0.6% | ||||||||
Waste Management, Inc. | ||||||||
0.40%, 8/9/2021(f)(g) | 2,690,000 | 2,682,683 | ||||||
U.S. TREASURY OBLIGATIONS – 1.5% | ||||||||
U.S. Treasury Bills | ||||||||
0.08%, 11/3/2020(g) | 1,000,000 | 999,999 | ||||||
0.07%, 11/12/2020(g) | 5,000,000 | 4,999,913 | ||||||
0.08%, 11/27/2020(g) | 1,000,000 | 999,950 | ||||||
Total U.S. Treasury Obligations (Cost $6,999,829) |
| 6,999,862 | ||||||
Total Short-Term Investments (Cost $9,681,430) |
| 9,682,545 | ||||||
Total Investments – 99.5% (Cost $464,078,756) |
| 467,087,571 | ||||||
Other assets less liabilities – 0.5% |
| 2,113,713 | ||||||
NET ASSETS – 100.0% |
| $ | 469,201,284 |
(a) | Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The value of these securities is determined by valuations supplied by a pricing service or brokers, or, if not available, in accordance with procedures established by the Board of Trustees. |
(b) | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the rate in effect as of October 31, 2020. |
(c) | 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. |
(d) | Step bond. Interest rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future at a contingent upon predetermined trigger. The interest rate shown was the current rate as of October 31, 2020. |
(e) | Represents less than 0.05% of net assets. |
(f) | Security exempt from registration under Section 4(2) of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration normally to qualified institutional buyers. |
(g) | The rate shown was the current yield as of October 31, 2020. |
Percentages shown are based on Net Assets.
Abbreviations
FFCB – Federal Farm Credit Banks
ICE – Intercontinental Exchange
LIBOR – London Interbank Offered Rate
SOFR – Secured Overnight Financing Rate
USD – US Dollar
As of October 31, 2020, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments (including derivative instruments, if applicable) for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 3,068,281 | ||
Aggregate gross unrealized depreciation | (149,964 | ) | ||
Net unrealized appreciation | $ | 2,918,317 | ||
Federal income tax cost | $ | 464,169,254 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 397 |
Table of Contents
FlexShares® Ready Access Variable Income Fund (cont.)
FlexShares® Ready Access Variable Income Fund invested, as a percentage of net assets, in companies domiciled in the following countries as of October 31, 2020:
Australia | 3.0 | % | ||
Canada | 5.7 | |||
Finland | 0.1 | |||
France | 2.0 | |||
Germany | 3.1 | |||
Japan | 3.0 | |||
Netherlands | 1.2 | |||
Singapore | 0.3 | |||
Supranational | 0.8 | |||
Sweden | 4.0 | |||
Switzerland | 1.7 | |||
United Kingdom | 3.8 | |||
United States | 70.8 | |||
Other1 | 0.5 | |||
100.0 | % |
1 | Includes any non-fixed-income securities and net other assets (liabilities). |
See Accompanying Notes to the Financial Statements.
398 | FLEXSHARES ANNUAL REPORT |
Table of Contents
Schedule of Investments
FlexShares® Core Select Bond Fund
October 31, 2020
Investments | Shares | Value | ||||||
EXCHANGE TRADED FUNDS – 99.9% | ||||||||
FlexShares® Credit-Scored US Corporate Bond Index Fund(a) | 807,052 | $ | 44,169,956 | |||||
FlexShares® Credit-Scored US Long Corporate Bond Index Fund(a) | 218,834 | 13,498,994 | ||||||
FlexShares® Disciplined Duration MBS Index Fund(a) | 797,018 | 19,196,179 | ||||||
FlexShares® Ready Access Variable Income Fund(a) | 23,664 | 1,805,563 | ||||||
iShares 20+ Year Treasury | 18,061 | 2,845,872 | ||||||
iShares 3-7 Year Treasury Bond ETF | 30,017 | 3,989,559 | ||||||
iShares 7-10 Year Treasury | 27,112 | 3,255,067 | ||||||
iShares Long-Term Corporate | 54,314 | 3,771,021 | ||||||
iShares MBS ETF | 149,149 | 16,449,643 | ||||||
Total Exchange Traded Funds (Cost $106,727,191) | 108,981,854 | |||||||
Total Investments – 99.9% (Cost $106,727,191) | 108,981,854 | |||||||
Other assets less liabilities – 0.1% | 141,452 | |||||||
NET ASSETS – 100.0% | $ | 109,123,306 |
(a) | Investment in affiliated Fund. Northern Trust Investments, Inc. is the Investment Adviser to both the Fund and the affiliated Funds. |
Percentages shown are based on Net Assets.
As of October 31, 2020, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments (including derivative instruments, if applicable) for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 2,151,025 | ||
Aggregate gross unrealized depreciation | (422 | ) | ||
Net unrealized appreciation | $ | 2,150,603 | ||
Federal income tax cost | $ | 106,831,251 |
See Accompanying Notes to the Financial Statements.
FLEXSHARES ANNUAL REPORT | 399 |
Table of Contents
FlexShares® Core Select Bond Fund (cont.)
For the period ended October 31, 2020, the FlexShares® Core Select Bond Fund was invested in securities of affiliated FlexShares® Funds. The Schedules of Investments of the affiliated FlexShares® Funds are located elsewhere in this Report.
Investment in a company which was affiliated for the period ended October 31, 2020, was as follows:
Security | Value October 31, 2019 | Purchases at Cost | Sales Proceeds | Shares October 31, 2020 | Value October 31, 2020 | Change in Unrealized Appreciation (Depreciation) | Dividend Income | Realized Gain/(Loss) | ||||||||||||||||||||||||
FlexShares® Credit-Scored US Corporate Bond Index Fund | $ | 7,339,064 | $ | 37,994,750 | $ | 1,966,064 | 807,052 | $ | 44,169,956 | $ | 837,780 | $ | 410,548 | $ | (35,574 | ) | ||||||||||||||||
FlexShares® Credit-Scored US Long Corporate Bond Index Fund | 1,318,985 | 12,092,022 | 205,350 | 218,834 | 13,498,994 | 297,272 | 155,638 | (3,935 | ) | |||||||||||||||||||||||
FlexShares® Disciplined Duration MBS Index Fund | — | 20,389,364 | 1,244,216 | 797,018 | 19,196,179 | 57,261 | 200,528 | (6,230 | ) | |||||||||||||||||||||||
FlexShares® iBoxx 5-Year Target Duration TIPS Index Fund | 785,291 | 1,318,402 | 2,092,583 | — | — | 3,389 | 3,440 | (14,499 | ) | |||||||||||||||||||||||
FlexShares® Ready Access Variable Income Fund | — | 3,097,323 | 1,294,880 | 23,664 | 1,805,563 | (403 | ) | 1,349 | 3,523 | |||||||||||||||||||||||
$ | 9,443,340 | $ | 74,891,861 | $ | 6,803,093 | 1,846,568 | $ | 78,670,692 | $ | 1,195,299 | $ | 771,503 | $ | (56,715 | ) |
See Accompanying Notes to the Financial Statements.
400 | FLEXSHARES ANNUAL REPORT |
Table of Contents
Notes to the Financial Statements October 31, 2020
1. Organization
FlexShares® Trust (the “Trust”), a Maryland statutory trust, was formed on May 13, 2010, originally named NT ETF Trust and renamed FlexShares® Trust as of April 12, 2011. The Trust is registered as an open-end management investment company under the Investment Company Act of 1940 (the “1940 Act”), as amended. The Trust consists of twenty-nine operational exchange-traded funds as of October 31, 2020 (each a “Fund” and collectively, the “Funds”).
The FlexShares® US Quality Low Volatility Index Fund, FlexShares® Developed Markets ex-US Quality Low Volatility Index Fund, FlexShares® Emerging Markets Quality Low Volatility Index Fund, FlexShares® Currency Hedged Morningstar DM ex-US Factor Tilt Index Fund, FlexShares® Currency Hedged Morningstar EM Factor Tilt Index Fund, FlexShares® Morningstar Global Upstream Natural Resources Index Fund, FlexShares® STOXX® Global Broad Infrastructure Index Fund, FlexShares® Global Quality Real Estate Index Fund, FlexShares® Real Assets Allocation Index Fund, FlexShares® iBoxx 3-Year Target Duration TIPS Index Fund, FlexShares® iBoxx 5-Year Target Duration TIPS Index Fund, FlexShares® Credit-Scored US Corporate Bond Index Fund, FlexShares® Credit-Scored US Long Corporate Bond Index Fund, and the FlexShares® Ready Access Variable Income Fund are non-diversified series of the Trust, pursuant to the 1940 Act.
The FlexShares® Morningstar US Market Factor Tilt Index Fund, FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund, FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund, FlexShares® US Quality Large Cap Index Fund, FlexShares® STOXX® US ESG Impact Index Fund, FlexShares® STOXX® Global ESG Impact Index Fund, FlexShares® Quality Dividend Index Fund, FlexShares® Quality Dividend Defensive Index Fund, FlexShares® Quality Dividend Dynamic Index Fund, FlexShares® International Quality Dividend Index Fund, FlexShares® International Quality Dividend Defensive Index Fund, FlexShares® International Quality Dividend Dynamic Index Fund, FlexShares® Disciplined Duration MBS Index Fund, FlexShares® High Yield Value-Scored Bond Index Fund and the FlexShares® Core Select Bond Fund are diversified series of the Trust, pursuant to the 1940 Act.
Each Fund, except the FlexShares Ready Access Variable Income Fund and the FlexShares Core Select Bond Fund, seeks to provide investment results that correspond generally to the price and yield performance, before fees and expenses, of a specified benchmark index (each an “Underlying Index”). The FlexShares US Quality Low Volatility Index Fund, FlexShares Developed Markets ex-US Quality Low Volatility Index Fund, FlexShares Emerging Markets Quality Low Volatility Index Fund, FlexShares US Quality Large Cap Index Fund, FlexShares Global Quality Real Estate Index Fund, FlexShares Real Assets Allocation Index Fund, FlexShares Quality Dividend Index Fund, FlexShares Quality Dividend Defensive Index Fund, FlexShares Quality Dividend Dynamic Index Fund, FlexShares International Quality Dividend Index Fund, FlexShares International Quality Dividend Defensive Index Fund, FlexShares International Quality Dividend Dynamic Index Fund, FlexShares Credit-Scored US Corporate Bond Index Fund, FlexShares Credit-Scored US Long Corporate Bond Index Fund and the FlexShares High Yield Value-Scored Bond Index Fund seek to track Underlying Indexes developed by Northern Trust Investments, Inc. (“NTI” or “Investment Adviser”), an indirect subsidiary of Northern Trust Corporation. The FlexShares Morningstar US Market Factor Tilt Index Fund, FlexShares Morningstar Developed Markets ex-US Factor Tilt Index Fund, FlexShares Morningstar Emerging Markets Factor Tilt Index Fund, FlexShares Currency Hedged Morningstar DM ex-US Factor Tilt Index Fund, FlexShares Currency Hedged Morningstar EM Factor Tilt Index Fund and FlexShares Morningstar Global Upstream Natural Resources Index Fund seek to track Underlying Indexes sponsored by Morningstar, Inc. The FlexShares STOXX® US ESG Impact Index Fund, FlexShares STOXX® Global ESG Impact Index Fund, and FlexShares STOXX® Global Broad Infrastructure Index Fund seek to track Underlying Indexes sponsored by STOXX. The FlexShares iBoxx 3-Year Target Duration TIPS Index Fund and FlexShares iBoxx 5-Year Target Duration TIPS Index Fund seek to track Underlying Indexes sponsored by Markit Indexes Limited. The FlexShares Disciplined Duration MBS Index Fund seeks to track an Underlying Index sponsored by ICE Data Indexes, LLC.
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Notes to the Financial Statements (cont.)
Each of the FlexShares Currency Hedged Morningstar DM ex-US Factor Tilt Index Fund and FlexShares Currency Hedged Morningstar EM Factor Tilt Index Fund currently seeks its investment objective by investing a substantial amount of its assets in the shares of another FlexShares ETF. Each of these Funds may also invest directly in the securities included in its Underlying Index. The FlexShares Real Assets Allocation Index Fund is a fund of funds that seeks its investment objective by investing primarily in the shares of other FlexShares ETFs that are eligible for inclusion in its Underlying Index, rather than in securities of individual companies. The FlexShares Core Select Bond Fund seeks to achieve its investment objective by investing, under normal circumstances in U.S. dollar-denominated investment-grade fixed-income securities either directly or indirectly through FlexShares ETFs, unaffiliated ETFs and other registered investment companies. The investment performance of each of the FlexShares Currency Hedged Morningstar DM ex-US Factor Tilt Index Fund, FlexShares Currency Hedged Morningstar EM Factor Tilt Index Fund, FlexShares Real Assets Allocation Index Fund and FlexShares Core Select Bond Fund is directly related to the performance of the underlying fund(s) in which it invests (“Underlying Fund”).
The FlexShares Ready Access Variable Income Fund and the FlexShares Core Select Bond Fund are actively managed and do not seek to replicate the performance of a specified index. The FlexShares Ready Access Variable Income Fund seeks maximum current income consistent with the preservation of capital and liquidity. The FlexShares Core Select Bond Fund seeks total return and preservation of capital. Each Fund, except the FlexShares Ready Access Variable Income Fund and the FlexShares Core Select Bond Fund, is referred to herein as an “Index Fund.” Each Fund is managed by the Investment Adviser.
2. Significant Accounting Policies
The Trust, which is an investment company, follows accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946, “Financial Services-Investment Companies.” The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements. These policies are in conformity with
accounting principles generally accepted in the United States of America (“U.S. GAAP”). The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.
Investment Valuation
Each Fund’s Net Asset Value (“NAV”) is determined daily as of the close of regular trading on the New York Stock Exchange (“NYSE”), normally 4:00 p.m. Eastern time, on each day the NYSE is open for trading, based on prices at the time of closing provided that any U.S. fixed-income assets may be valued as of the announced closing time for trading in fixed-income instruments on any day that the Securities Industry and Financial Markets Association announces an early closing time. The NAV of a Fund is calculated by dividing the value of all assets of the Fund (including accrued interest and dividends), less all liabilities (including accrued expenses and dividends declared but unpaid), by the total number of shares outstanding.
The investments of the Funds are valued at fair value pursuant to the pricing policy and procedures approved by the Trust’s Board of Trustees (“Board”). The Funds’ investments are valued using market quotations when available. When market quotations are not readily available, are deemed unreliable, or do not reflect material events occurring between the close of local markets and the time of valuation, the Funds value securities at fair value as determined in good faith in accordance with the Funds’ fair value pricing procedures as approved by the Board. Such circumstances include periods when trading in a security is suspended, the exchange or market on which a security trades closes early, the trading volume in a security is limited, corporate actions and announcements take place, or regulatory news affecting an issuer is released, such as government approvals. Additionally, the Trust, in its discretion, may make adjustments to the prices of securities held by a Fund if an event occurs after the publication of market values normally used by a Fund but before the time as of which the Fund calculates its NAV, depending on the nature and significance of the event, consistent with applicable regulatory guidance and the Trust’s fair value procedures. Other
402 | FLEXSHARES ANNUAL REPORT |
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Notes to the Financial Statements (cont.)
events that can trigger fair valuing of foreign securities include, for example, significant fluctuations in general market indicators, government actions, or natural disasters.
The use of fair valuation involves the risk that the values used by the Funds to price their investments may be higher or lower than the values used by other investment companies and investors to price the same investments. Fair value pricing involves subjective judgments and it is possible that a fair value determination for a portfolio security may be materially different than the value that could be realized upon the sale of such security. In addition, fair value pricing could result in a difference between the prices used to calculate a Fund’s NAV and the prices used by an Index Fund’s Underlying Index. This difference may adversely affect an Index Fund’s ability to track its Underlying Index. Portfolio securities of certain Funds are listed on foreign exchanges and their value may change on days when shareholders will not be able to purchase or sell Fund shares.
Security prices are generally provided by independent pricing services. Portfolio securities listed or traded on domestic securities exchanges or the NASDAQ/NMS, including dollar-denominated foreign securities or American Depositary Receipts (“ADRs”), are valued at the closing price, or last sale price, reported on the exchange or system where the security is principally traded. The closing price for securities traded on the NASDAQ/NMS is the Nasdaq Official Closing Price (“NOCP”). If there have been no sales for that day on the exchange or system where the security is principally traded, then the value is determined with reference to the last sale price, or the NOCP, if applicable, on any other exchange or system. If there have been no sales of the security for that day on any exchange or system, the security is valued at fair value pursuant to the Trust’s fair value procedures.
Securities that are traded regularly in the over-the-counter market (other than the NASDAQ/NMS), including securities listed on exchanges but primarily traded over-the-counter, are valued on the basis of bid quotes or the mean between the bid and asked quotes based upon quotes furnished by one or more broker-dealers or market makers for those securities. Securities that may be traded over-the-counter include equity securities, fixed-income
securities, non-exchange-listed foreign securities, and certain derivative instruments. Fixed-income securities may be valued using prices provided directly from one or more broker-dealers, market makers, or independent third-party pricing services which may use matrix pricing and valuation models, as well as recent market transactions for the same or similar assets, to derive values when such prices are believed to reflect fair market values of such securities. Such prices may be determined by taking into account securities prices, yields, maturities, call features, ratings, prepayment speeds, credit risks, cash flows, institutional size trading in similar groups of securities and developments related to specific securities. Fixed-income securities maturing within a relatively short period, less than 60 days, are valued at amortized cost when it approximates fair value.
Foreign equity securities are generally priced at the closing price or last sales price reported on the foreign exchange on which they are principally traded. If there have been no sales for that day on the primary exchange, then the value is determined with reference to the last sale price on any other exchange. If there have been no sales of the security for that day on any exchange, the security will be valued at fair value pursuant to the Trust’s fair value procedures. Spot and forward foreign currency exchange contracts generally are valued using an independent pricing service. The value of assets denominated in foreign currencies is converted into U.S. dollars using exchange rates deemed appropriate by NTI as Investment Adviser. Any use of a different rate from the rates used by the index provider may adversely affect the Fund’s ability to track its Underlying Index. The index provider determines the composition and relative weightings of the securities in the Underlying Index and publishes information regarding the market value of the Underlying Index.
Exchange-traded financial futures and options thereon are valued at the settlement price as established by the exchange on which they are traded. Over-the-counter options are valued at broker-provided bid prices, as are swaps. The foregoing prices may be obtained from one or more independent pricing services or, as needed or applicable, independent broker-dealers. If there was no sale on that day, and for other non-exchange traded derivatives, the contract
FLEXSHARES ANNUAL REPORT | 403 |
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Notes to the Financial Statements (cont.)
is valued at fair value pursuant to the Trust’s fair value procedures.
Each Fund relies on various sources to calculate its NAV. The ability of the Funds’ administrator to calculate the NAV per share of the Funds is subject to operational risks associated with processing or human errors, systems or technology failures, and errors caused by third party service providers, data sources, or trading counterparties. Such failures may result in delays in the calculation of the Funds’ NAVs and/or the inability to calculate NAV over extended time periods. The Funds may be unable to recover any losses associated with such failures, and it may be necessary for alternative procedures to be followed to price portfolio securities when determining the Funds’ NAVs.
Various inputs are used in determining the value of each Fund’s investments. These inputs are summarized in three levels listed below:
• | Level 1—Quoted prices in active markets for identical assets on the measurement date. |
• | Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). |
• | Level 3—Significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For example, short-term debt securities may be valued at amortized cost, as long as amortized cost approximates the current fair value of a security, but since the valuation is not obtained from a quoted price in an active market, such securities are reflected as Level 2.
The following is a summary of the valuations as of October 31, 2020 for each Fund based upon the three levels defined above. Please refer to the Schedules of Investments to view equity and debt securities segregated by industry type, where applicable.
Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | Level 3 — Significant Unobservable Inputs | Total | |||||||||||||
FlexShares US Quality Low Volatility Index Fund |
| |||||||||||||||
Investments |
| |||||||||||||||
Common Stocks* | $ | 110,161,466 | $ | — | $ | — | $ | 110,161,466 | ||||||||
Short-Term Investments | — | 44,991 | — | 44,991 | ||||||||||||
Total Investments | $ | 110,161,466 | $ | 44,991 | $ | — | $ | 110,206,457 | ||||||||
Other Financial Instruments |
| |||||||||||||||
Liabilities | ||||||||||||||||
Futures Contracts | $ | (6,049 | ) | $ | — | $ | — | $ | (6,049 | ) | ||||||
Total Other Financial Instruments | $ | (6,049 | ) | $ | — | $ | — | $ | (6,049 | ) | ||||||
404 | FLEXSHARES ANNUAL REPORT |
Table of Contents
Notes to the Financial Statements (cont.)
Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | Level 3 — Significant Unobservable Inputs | Total | |||||||||||||
FlexShares Developed Markets ex-US Quality Low Volatility Index Fund |
| |||||||||||||||
Investments |
| |||||||||||||||
Common Stocks* | $ | 65,001,076 | $ | — | $ | — | $ | 65,001,076 | ||||||||
Total Investments | $ | 65,001,076 | $ | — | $ | — | $ | 65,001,076 | ||||||||
Other Financial Instruments |
| |||||||||||||||
Assets | ||||||||||||||||
Forward Foreign Currency Contracts | $ | — | $ | 6,717 | $ | — | $ | 6,717 | ||||||||
Liabilities | ||||||||||||||||
Futures Contracts | (29,407 | ) | — | — | (29,407 | ) | ||||||||||
Forward Foreign Currency Contracts | — | (4,996 | ) | — | (4,996 | ) | ||||||||||
Total Other Financial Instruments | $ | (29,407 | ) | $ | 1,721 | $ | — | $ | (27,686 | ) | ||||||
Level 1 — Quoted | Level 2 — Other Significant Observable Inputs | Level 3 — Significant Unobservable Inputs | Total | |||||||||||||
FlexShares Emerging Markets Quality Low Volatility Index Fund |
| |||||||||||||||
Investments |
| |||||||||||||||
Common Stocks | ||||||||||||||||
Banks | $ | 1,138,448 | $ | 7,382 | $ | — | $ | 1,145,830 | ||||||||
Independent Power and Renewable Electricity Producers | 49,654 | 3,196 | — | 52,850 | ||||||||||||
Multiline Retail | 53,784 | 375 | — | 54,159 | ||||||||||||
Specialty Retail | 129,209 | 1,258 | — | 130,467 | ||||||||||||
Other* | 8,078,168 | — | — | 8,078,168 | ||||||||||||
Corporate Bonds* | — | 1 | — | 1 | ||||||||||||
Total Investments | $ | 9,449,263 | $ | 12,212 | $ | — | $ | 9,461,475 | ||||||||
Other Financial Instruments |
| |||||||||||||||
Assets | ||||||||||||||||
Futures Contracts | $ | 1,716 | $ | — | $ | — | $ | 1,716 | ||||||||
Total Other Financial Instruments | $ | 1,716 | $ | — | $ | — | $ | 1,716 | ||||||||
FLEXSHARES ANNUAL REPORT | 405 |
Table of Contents
Notes to the Financial Statements (cont.)
Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | Level 3 — Significant Unobservable Inputs | Total | |||||||||||||
FlexShares Morningstar US Market Factor Tilt Index Fund |
| |||||||||||||||
Investments |
| |||||||||||||||
Common Stocks | ||||||||||||||||
Health Care Technology | $ | 3,956,731 | $ | 189,808 | $ | — | $ | 4,146,539 | ||||||||
Other* | 1,159,948,339 | — | — | 1,159,948,339 | ||||||||||||
Rights | — | — | 27,946 | 27,946 | ||||||||||||
Warrants | 10,537 | — | — | 10,537 | ||||||||||||
Securities Lending Reinvestments | ||||||||||||||||
Certificates of Deposit | — | 29,000,799 | — | 29,000,799 | ||||||||||||
Repurchase Agreements | — | 73,634,886 | — | 73,634,886 | ||||||||||||
Total Investments | $ | 1,163,915,607 | $ | 102,825,493 | $ | 27,946 | $ | 1,266,769,046 | ||||||||
Other Financial Instruments |
| |||||||||||||||
Assets | ||||||||||||||||
Futures Contracts | $ | 6,567 | $ | — | $ | — | $ | 6,567 | ||||||||
Liabilities | ||||||||||||||||
Futures Contracts | (179,573 | ) | — | — | (179,573 | ) | ||||||||||
Total Other Financial Instruments | $ | (173,006 | ) | $ | — | $ | — | $ | (173,006 | ) | ||||||
406 | FLEXSHARES ANNUAL REPORT |
Table of Contents
Notes to the Financial Statements (cont.)
Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | Level 3 — Significant Unobservable Inputs | Total | |||||||||||||
FlexShares Morningstar Developed Markets ex-US Factor Tilt Index Fund |
| |||||||||||||||
Investments |
| |||||||||||||||
Closed End Funds | $ | 16,649 | $ | — | $ | — | $ | 16,649 | ||||||||
Common Stocks | ||||||||||||||||
Beverages | 4,980,299 | 72,032 | — | 5,052,331 | ||||||||||||
Construction & Engineering | 11,046,726 | — | 417 | 11,047,143 | ||||||||||||
Consumer Finance | 2,238,872 | 188,171 | — | 2,427,043 | ||||||||||||
Diversified Financial Services | 5,882,385 | 96,504 | — | 5,978,889 | ||||||||||||
Food Products | 13,574,790 | — | 6,925 | 13,581,715 | ||||||||||||
Health Care Providers & Services | 2,719,865 | 275,023 | — | 2,994,888 | ||||||||||||
Interactive Media & Services | 1,066,276 | 85,391 | — | 1,151,667 | ||||||||||||
Pharmaceuticals | 21,535,027 | 7 | — | 21,535,034 | ||||||||||||
Other* | 425,561,312 | — | — | 425,561,312 | ||||||||||||
Rights | 87,867 | 384 | — | 88,251 | ||||||||||||
Securities Lending Reinvestments | ||||||||||||||||
Repurchase Agreements | — | 5,133,487 | — | 5,133,487 | ||||||||||||
Total Investments | $ | 488,710,068 | $ | 5,850,999 | $ | 7,342 | $ | 494,568,409 | ||||||||
Other Financial Instruments |
| |||||||||||||||
Assets | ||||||||||||||||
Futures Contracts | $ | 2,541 | $ | — | $ | — | $ | 2,541 | ||||||||
Forward Foreign Currency Contracts | — | 80,939 | — | 80,939 | ||||||||||||
Liabilities | ||||||||||||||||
Futures Contracts | (580,949 | ) | — | — | (580,949 | ) | ||||||||||
Forward Foreign Currency Contracts | — | (141,140 | ) | — | (141,140 | ) | ||||||||||
Total Other Financial Instruments | $ | (578,408 | ) | $ | (60,201 | ) | $ | — | $ | (638,609 | ) | |||||
FLEXSHARES ANNUAL REPORT | 407 |
Table of Contents
Notes to the Financial Statements (cont.)
Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | Level 3 — Significant Unobservable Inputs | Total | |||||||||||||
FlexShares Morningstar Emerging Markets Factor Tilt Index Fund |
| |||||||||||||||
Investments |
| |||||||||||||||
Common Stocks | ||||||||||||||||
Banks | $ | 29,295,507 | $ | 149,232 | $ | — | $ | 29,444,739 | ||||||||
Biotechnology | 1,153,767 | — | 20,170 | 1,173,937 | ||||||||||||
Electronic Equipment, Instruments & Components | 6,944,998 | — | 1,645 | 6,946,643 | ||||||||||||
Equity Real Estate Investment Trusts (REITs) | 2,213,303 | 25,752 | — | 2,239,055 | ||||||||||||
Food & Staples Retailing | 1,777,452 | 461 | — | 1,777,913 | ||||||||||||
Hotels, Restaurants & Leisure | 1,222,735 | 1,011 | 11,753 | 1,235,499 | ||||||||||||
Oil, Gas & Consumable Fuels | 10,841,519 | 1,185 | — | 10,842,704 | ||||||||||||
Pharmaceuticals | 3,399,294 | 5,074 | — | 3,404,368 | ||||||||||||
Real Estate Management & Development | 11,568,466 | — | 6,178 | 11,574,644 | ||||||||||||
Transportation Infrastructure | 1,728,593 | 89,661 | — | 1,818,254 | ||||||||||||
Other* | 152,283,825 | — | — | 152,283,825 | ||||||||||||
Corporate Bonds* | — | 9,763 | — | 9,763 | ||||||||||||
Rights | — | 6,505 | — | 6,505 | ||||||||||||
Warrants | — | 3,001 | — | 3,001 | ||||||||||||
Securities Lending Reinvestments | ||||||||||||||||
Repurchase Agreements | — | 1,750,628 | — | 1,750,628 | ||||||||||||
Total Investments | $ | 222,429,459 | $ | 2,042,273 | $ | 39,746 | $ | 224,511,478 | ||||||||
Other Financial Instruments |
| |||||||||||||||
Assets | ||||||||||||||||
Futures Contracts | $ | 54,869 | $ | — | $ | — | $ | 54,869 | ||||||||
Forward Foreign Currency Contracts | — | 28,633 | — | 28,633 | ||||||||||||
Liabilities | ||||||||||||||||
Forward Foreign Currency Contracts | — | (16,417 | ) | — | (16,417 | ) | ||||||||||
Total Other Financial Instruments | $ | 54,869 | $ | 12,216 | $ | — | $ | 67,085 | ||||||||
Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | Level 3 — Significant Unobservable Inputs | Total | |||||||||||||
FlexShares Currency Hedged Morningstar DM ex-US Factor Tilt Index Fund |
| |||||||||||||||
Investments |
| |||||||||||||||
Exchange Traded Funds | $ | 6,119,717 | $ | — | $ | — | $ | 6,119,717 | ||||||||
Total Investments | $ | 6,119,717 | $ | — | $ | — | $ | 6,119,717 | ||||||||
Other Financial Instruments |
| |||||||||||||||
Assets | ||||||||||||||||
Forward Foreign Currency Contracts | $ | — | $ | 24,874 | $ | — | $ | 24,874 | ||||||||
Liabilities | ||||||||||||||||
Forward Foreign Currency Contracts | — | (15,404 | ) | — | (15,404 | ) | ||||||||||
Total Other Financial Instruments | $ | — | $ | 9,470 | $ | — | $ | 9,470 |
408 | FLEXSHARES ANNUAL REPORT |
Table of Contents
Notes to the Financial Statements (cont.)
Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | Level 3 — Significant Unobservable Inputs | Total | |||||||||||||
FlexShares Currency Hedged Morningstar EM Factor Tilt Index Fund |
| |||||||||||||||
Investments |
| |||||||||||||||
Exchange Traded Funds | $ | 3,331,202 | $ | — | $ | — | $ | 3,331,202 | ||||||||
Total Investments | $ | 3,331,202 | $ | — | $ | — | $ | 3,331,202 | ||||||||
Other Financial Instruments |
| |||||||||||||||
Assets | ||||||||||||||||
Futures Contracts | $ | 618 | $ | — | $ | — | $ | 618 | ||||||||
Forward Foreign Currency Contracts | — | 12,710 | — | 12,710 | ||||||||||||
Liabilities | ||||||||||||||||
Forward Foreign Currency Contracts | — | (7,969 | ) | — | (7,969 | ) | ||||||||||
Total Other Financial Instruments | $ | 618 | $ | 4,741 | $ | — | $ | 5,359 | ||||||||
Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | Level 3 — Significant Unobservable Inputs | Total | |||||||||||||
FlexShares US Quality Large Cap Index Fund |
| |||||||||||||||
Investments |
| |||||||||||||||
Common Stocks* | $ | 71,063,888 | $ | — | $ | — | $ | 71,063,888 | ||||||||
Total Investments | $ | 71,063,888 | $ | — | $ | — | $ | 71,063,888 | ||||||||
Other Financial Instruments |
| |||||||||||||||
Liabilities | ||||||||||||||||
Futures Contracts | $ | (12,982 | ) | $ | — | $ | — | $ | (12,982 | ) | ||||||
Total Other Financial Instruments | $ | (12,982 | ) | $ | — | $ | — | $ | (12,982 | ) | ||||||
Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | Level 3 — Significant Unobservable Inputs | Total | |||||||||||||
FlexShares STOXX® US ESG Impact Index Fund |
| |||||||||||||||
Investments |
| |||||||||||||||
Common Stocks* | $ | 88,086,104 | $ | — | $ | — | $ | 88,086,104 | ||||||||
Securities Lending Reinvestments | ||||||||||||||||
Repurchase Agreements | — | 41,799 | — | 41,799 | ||||||||||||
Total Investments | $ | 88,086,104 | $ | 41,799 | $ | — | $ | 88,127,903 | ||||||||
Other Financial Instruments |
| |||||||||||||||
Liabilities | ||||||||||||||||
Futures Contracts | $ | (15,208 | ) | $ | — | $ | — | $ | (15,208 | ) | ||||||
Total Other Financial Instruments | $ | (15,208 | ) | $ | — | $ | — | $ | (15,208 | ) |
FLEXSHARES ANNUAL REPORT | 409 |
Table of Contents
Notes to the Financial Statements (cont.)
Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | Level 3 — Significant Unobservable Inputs | Total | |||||||||||||
FlexShares STOXX® Global ESG Impact Index Fund |
| |||||||||||||||
Investments |
| |||||||||||||||
Common Stocks | ||||||||||||||||
Interactive Media & Services | $ | 5,829,144 | $ | 11,737 | $ | — | $ | 5,840,881 | ||||||||
Other* | 104,188,619 | — | — | 104,188,619 | ||||||||||||
Securities Lending Reinvestments | ||||||||||||||||
Repurchase Agreements | $ | — | $ | 204,571 | $ | — | $ | 204,571 | ||||||||
Total Investments | $ | 110,017,763 | $ | 216,308 | $ | — | $ | 110,234,071 | ||||||||
Other Financial Instruments |
| |||||||||||||||
Assets | ||||||||||||||||
Forward Foreign Currency Contracts | $ | — | $ | 3,761 | $ | — | $ | 3,761 | ||||||||
Liabilities | ||||||||||||||||
Futures Contracts | (40,939 | ) | — | — | (40,939 | ) | ||||||||||
Forward Foreign Currency Contracts | — | (630 | ) | — | (630 | ) | ||||||||||
Total Other Financial Instruments | $ | (40,939 | ) | $ | 3,131 | $ | — | $ | (37,808 | ) | ||||||
Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | Level 3 — Significant Unobservable Inputs | Total | |||||||||||||
FlexShares Morningstar Global Upstream Natural Resources Index Fund |
| |||||||||||||||
Investments |
| |||||||||||||||
Common Stocks* | $ | 2,899,179,362 | $ | — | $ | — | $ | 2,899,179,362 | ||||||||
Securities Lending Reinvestments | ||||||||||||||||
Certificates of Deposit | — | 21,999,861 | — | 21,999,861 | ||||||||||||
Repurchase Agreements | — | 93,622,028 | — | 93,622,028 | ||||||||||||
Total Investments | $ | 2,899,179,362 | $ | 115,621,889 | $ | — | $ | 3,014,801,251 | ||||||||
Other Financial Instruments |
| |||||||||||||||
Assets | ||||||||||||||||
Futures Contracts | $ | 120,824 | $ | — | $ | — | $ | 120,824 | ||||||||
Forward Foreign Currency Contracts | — | 466,912 | — | 466,912 | ||||||||||||
Liabilities | ||||||||||||||||
Futures Contracts | (948,066 | ) | — | — | (948,066 | ) | ||||||||||
Forward Foreign Currency Contracts | — | (391,266 | ) | — | (391,266 | ) | ||||||||||
Total Other Financial Instruments | $ | (827,242 | ) | $ | 75,646 | $ | — | $ | (751,596 | ) | ||||||
410 | FLEXSHARES ANNUAL REPORT |
Table of Contents
Notes to the Financial Statements (cont.)
Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | Level 3 — Significant Unobservable Inputs | Total | |||||||||||||
FlexShares STOXX® Global Broad Infrastructure Index Fund |
| |||||||||||||||
Investments |
| |||||||||||||||
Common Stocks* | $ | 1,838,425,278 | $ | — | $ | — | $ | 1,838,425,278 | ||||||||
Securities Lending Reinvestments | ||||||||||||||||
Repurchase Agreements | — | 7,466,835 | — | 7,466,835 | ||||||||||||
Total Investments | $ | 1,838,425,278 | $ | 7,466,835 | $ | — | $ | 1,845,892,113 | ||||||||
Other Financial Instruments |
| |||||||||||||||
Assets | ||||||||||||||||
Forward Foreign Currency Contracts | $ | — | $ | 32,311 | $ | — | $ | 32,311 | ||||||||
Liabilities | ||||||||||||||||
Futures Contracts | (739,173 | ) | — | — | (739,173 | ) | ||||||||||
Forward Foreign Currency Contracts | — | (58,686 | ) | — | (58,686 | ) | ||||||||||
Total Other Financial Instruments | $ | (739,173 | ) | $ | (26,375 | ) | $ | — | $ | (765,548 | ) | |||||
Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | Level 3 — Significant Unobservable Inputs | Total | |||||||||||||
FlexShares Global Quality Real Estate Index Fund |
| |||||||||||||||
Investments |
| |||||||||||||||
Common Stocks* | $ | 261,480,423 | $ | — | $ | — | $ | 261,480,423 | ||||||||
Securities Lending Reinvestments | ||||||||||||||||
Repurchase Agreements | — | 2,552,626 | — | 2,552,626 | ||||||||||||
Total Investments | $ | 261,480,423 | $ | 2,552,626 | $ | — | $ | 264,033,049 | ||||||||
Other Financial Instruments |
| |||||||||||||||
Assets | ||||||||||||||||
Futures Contracts | $ | 29,579 | $ | — | $ | — | $ | 29,579 | ||||||||
Forward Foreign Currency Contracts | — | 5,451 | — | 5,451 | ||||||||||||
Liabilities | ||||||||||||||||
Futures Contracts | (50,880 | ) | — | — | (50,880 | ) | ||||||||||
Forward Foreign Currency Contracts | — | (6,069 | ) | — | (6,069 | ) | ||||||||||
Total Other Financial Instruments | $ | (21,301 | ) | $ | (618 | ) | $ | — | $ | (21,919 | ) | |||||
FLEXSHARES ANNUAL REPORT | 411 |
Table of Contents
Notes to the Financial Statements (cont.)
Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | Level 3 — Significant Unobservable Inputs | Total | |||||||||||||
FlexShares Real Assets Allocation Index Fund |
| |||||||||||||||
Investments |
| |||||||||||||||
Exchange Traded Funds | $ | 4,502,232 | $ | — | $ | — | $ | 4,502,232 | ||||||||
Total Investments | $ | 4,502,232 | $ | — | $ | — | $ | 4,502,232 | ||||||||
Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | Level 3 — Significant Unobservable Inputs | Total | |||||||||||||
FlexShares Quality Dividend Index Fund |
| |||||||||||||||
Investments |
| |||||||||||||||
Common Stocks* | $ | 1,260,093,412 | $ | — | $ | — | $ | 1,260,093,412 | ||||||||
Securities Lending Reinvestments | ||||||||||||||||
Certificates of Deposit | — | 14,001,203 | — | 14,001,203 | ||||||||||||
Repurchase Agreements | — | 52,620,170 | — | 52,620,170 | ||||||||||||
Total Investments | $ | 1,260,093,412 | $ | 66,621,373 | $ | — | $ | 1,326,714,785 | ||||||||
Other Financial Instruments |
| |||||||||||||||
Liabilities | ||||||||||||||||
Futures Contracts | $ | (121,870 | ) | $ | — | $ | — | $ | (121,870 | ) | ||||||
Total Other Financial Instruments | $ | (121,870 | ) | $ | — | $ | — | $ | (121,870 | ) | ||||||
Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | Level 3 — Significant Unobservable Inputs | Total | |||||||||||||
FlexShares Quality Dividend Defensive Index Fund |
| |||||||||||||||
Investments |
| |||||||||||||||
Common Stocks* | $ | 409,511,135 | $ | — | $ | — | $ | 409,511,135 | ||||||||
Securities Lending Reinvestments | ||||||||||||||||
Repurchase Agreements | — | 8,102,111 | — | 8,102,111 | ||||||||||||
Total Investments | $ | 409,511,135 | $ | 8,102,111 | $ | — | $ | 417,613,246 | ||||||||
Other Financial Instruments |
| |||||||||||||||
Liabilities | ||||||||||||||||
Futures Contracts | $ | (34,182 | ) | $ | — | $ | — | $ | (34,182 | ) | ||||||
Total Other Financial Instruments | $ | (34,182 | ) | $ | — | $ | — | $ | (34,182 | ) | ||||||
412 | FLEXSHARES ANNUAL REPORT |
Table of Contents
Notes to the Financial Statements (cont.)
Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | Level 3 — Significant Unobservable Inputs | Total | |||||||||||||
FlexShares Quality Dividend Dynamic Index Fund |
| |||||||||||||||
Investments |
| |||||||||||||||
Common Stocks* | $ | 13,089,045 | $ | — | $ | — | $ | 13,089,045 | ||||||||
Securities Lending Reinvestments | ||||||||||||||||
Repurchase Agreements | — | 77,040 | — | 77,040 | ||||||||||||
Total Investments | $ | 13,089,045 | $ | 77,040 | $ | — | $ | 13,166,085 | ||||||||
Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | Level 3 — Significant Unobservable Inputs | Total | |||||||||||||
FlexShares International Quality Dividend Index Fund |
| |||||||||||||||
Investments |
| |||||||||||||||
Common Stocks* | $ | 441,232,391 | $ | — | $ | — | $ | 441,232,391 | ||||||||
Securities Lending Reinvestments | ||||||||||||||||
Repurchase Agreements | — | 121,447 | — | 121,447 | ||||||||||||
Total Investments | $ | 441,232,391 | $ | 121,447 | $ | — | $ | 441,353,838 | ||||||||
Other Financial Instruments |
| |||||||||||||||
Assets | ||||||||||||||||
Futures Contracts | $ | 35,979 | $ | — | $ | — | $ | 35,979 | ||||||||
Forward Foreign Currency Contracts | — | 290,451 | — | 290,451 | ||||||||||||
Liabilities | ||||||||||||||||
Futures Contracts | (624,331 | ) | — | — | (624,331 | ) | ||||||||||
Forward Foreign Currency Contracts | — | (255,646 | ) | — | (255,646 | ) | ||||||||||
Total Other Financial Instruments | $ | (588,352 | ) | $ | 34,805 | $ | — | $ | (553,547 | ) | ||||||
FLEXSHARES ANNUAL REPORT | 413 |
Table of Contents
Notes to the Financial Statements (cont.)
Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | Level 3 — Significant Unobservable Inputs | Total | |||||||||||||
FlexShares International Quality Dividend Defensive Index Fund |
| |||||||||||||||
Investments |
| |||||||||||||||
Common Stocks* | $ | 58,308,553 | $ | — | $ | — | $ | 58,308,553 | ||||||||
Securities Lending Reinvestments | ||||||||||||||||
Repurchase Agreements | — | 108,136 | — | 108,136 | ||||||||||||
Total Investments | $ | 58,308,553 | $ | 108,136 | $ | — | $ | 58,416,689 | ||||||||
Other Financial Instruments |
| |||||||||||||||
Assets | ||||||||||||||||
Futures Contracts | $ | 2,999 | $ | — | $ | — | $ | 2,999 | ||||||||
Forward Foreign Currency Contracts | — | 9,675 | — | 9,675 | ||||||||||||
Liabilities | ||||||||||||||||
Futures Contracts | (52,893 | ) | — | — | (52,893 | ) | ||||||||||
Forward Foreign Currency Contracts | $ | — | $ | (8,594 | ) | $ | — | $ | (8,594 | ) | ||||||
Total Other Financial Instruments | $ | (49,894 | ) | $ | 1,081 | $ | — | $ | (48,813 | ) | ||||||
Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | Level 3 — Significant Unobservable Inputs | Total | |||||||||||||
FlexShares International Quality Dividend Dynamic Index Fund |
| |||||||||||||||
Investments |
| |||||||||||||||
Common Stocks* | $ | 21,972,511 | $ | — | $ | — | $ | 21,972,511 | ||||||||
Securities Lending Reinvestments | ||||||||||||||||
Repurchase Agreements | — | 33,903 | — | 33,903 | ||||||||||||
Total Investments | $ | 21,972,511 | $ | 33,903 | $ | — | $ | 22,006,414 | ||||||||
Other Financial Instruments |
| |||||||||||||||
Assets | ||||||||||||||||
Futures Contracts | $ | 2,286 | $ | — | $ | — | $ | 2,286 | ||||||||
Forward Foreign Currency Contracts | — | 2,369 | — | 2,369 | ||||||||||||
Liabilities | ||||||||||||||||
Futures Contracts | (15,771 | ) | — | — | (15,771 | ) | ||||||||||
Forward Foreign Currency Contracts | — | (2,177 | ) | — | (2,177 | ) | ||||||||||
Total Other Financial Instruments | $ | (13,485 | ) | $ | 192 | $ | — | $ | (13,293 | ) | ||||||
414 | FLEXSHARES ANNUAL REPORT |
Table of Contents
Notes to the Financial Statements (cont.)
Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | Level 3 — Significant Unobservable Inputs | Total | |||||||||||||
FlexShares iBoxx 3-Year Target Duration TIPS Index Fund |
| |||||||||||||||
Investments |
| |||||||||||||||
U.S. Treasury Obligations | $ | — | $ | 1,427,232,294 | $ | — | $ | 1,427,232,294 | ||||||||
Total Investments | $ | — | $ | 1,427,232,294 | $ | — | $ | 1,427,232,294 | ||||||||
Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | Level 3 — Significant Unobservable Inputs | Total | |||||||||||||
FlexShares iBoxx 5-Year Target Duration TIPS Index Fund |
| |||||||||||||||
Investments |
| |||||||||||||||
U.S. Treasury Obligations | $ | — | $ | 595,127,791 | $ | — | $ | 595,127,791 | ||||||||
Total Investments | $ | — | $ | 595,127,791 | $ | — | $ | 595,127,791 | ||||||||
Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | Level 3 — Significant Unobservable Inputs | Total | |||||||||||||
FlexShares Disciplined Duration MBS Index Fund |
| |||||||||||||||
Investments |
| |||||||||||||||
Mortgage-Backed Securities | $ | — | $ | 99,462,691 | $ | — | $ | 99,462,691 | ||||||||
Total Investments | $ | — | $ | 99,462,691 | $ | — | $ | 99,462,691 | ||||||||
Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | Level 3 — Significant Unobservable Inputs | Total | |||||||||||||
FlexShares Credit-Scored US Corporate Bond Index Fund |
| |||||||||||||||
Investments |
| |||||||||||||||
Corporate Bonds* | $ | — | $ | 200,083,895 | $ | — | $ | 200,083,895 | ||||||||
Total Investments | $ | — | $ | 200,083,895 | $ | — | $ | 200,083,895 | ||||||||
FLEXSHARES ANNUAL REPORT | 415 |
Table of Contents
Notes to the Financial Statements (cont.)
Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | Level 3 — Significant Unobservable Inputs | Total | |||||||||||||
FlexShares Credit-Scored US Long Corporate Bond Index Fund |
| |||||||||||||||
Investments |
| |||||||||||||||
Corporate Bonds* | $ | — | $ | 45,871,567 | $ | — | $ | 45,871,567 | ||||||||
Total Investments | $ | — | $ | 45,871,567 | $ | — | $ | 45,871,567 | ||||||||
Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | Level 3 — Significant Unobservable Inputs | Total | |||||||||||||
FlexShares High Yield Value-Scored Bond Index Fund |
| |||||||||||||||
Investments |
| |||||||||||||||
Common Stocks* | $ | 11 | $ | — | $ | — | $ | 11 | ||||||||
Corporate Bonds* | — | 184,334,452 | — | 184,334,452 | ||||||||||||
Total Investments | $ | 11 | $ | 184,334,452 | $ | — | $ | 184,334,463 | ||||||||
Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | Level 3 — Significant Unobservable Inputs | Total | |||||||||||||
FlexShares Ready Access Variable Income Fund |
| |||||||||||||||
Investments |
| |||||||||||||||
Asset-Backed Securities | $ | — | $ | 31,204,820 | $ | — | $ | 31,204,820 | ||||||||
Corporate Bonds* | — | 395,506,500 | — | 395,506,500 | ||||||||||||
Municipal Bonds | — | 3,145,999 | — | 3,145,999 | ||||||||||||
Supranational | — | 3,701,280 | — | 3,701,280 | ||||||||||||
U.S. Government Agency Securities | — | 2,002,849 | — | 2,002,849 | ||||||||||||
Foreign Government Securities | — | 3,825,200 | — | 3,825,200 | ||||||||||||
U.S. Treasury Obligations | — | 18,018,378 | — | 18,018,378 | ||||||||||||
Short-Term Investments | — | 9,682,545 | — | 9,682,545 | ||||||||||||
Total Investments | $ | — | $ | 467,087,571 | $ | — | $ | 467,087,571 | ||||||||
Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | Level 3 — Significant Unobservable Inputs | Total | |||||||||||||
FlexShares Core Select Bond Fund |
| |||||||||||||||
Investments |
| |||||||||||||||
Exchange Traded Funds | $ | 108,981,854 | $ | — | $ | — | $ | 108,981,854 | ||||||||
Total Investments | $ | 108,981,854 | $ | — | $ | — | $ | 108,981,854 |
* | See Schedules of Investments for segregation by industry type. |
416 | FLEXSHARES ANNUAL REPORT |
Table of Contents
Notes to the Financial Statements (cont.)
Foreign Securities
The FlexShares Developed Markets ex-US Quality Low Volatility Index Fund, FlexShares Emerging Markets Quality Low Volatility Index Fund, FlexShares Morningstar Developed Markets ex-US Factor Tilt Index Fund, FlexShares Morningstar Emerging Markets Factor Tilt Index Fund, FlexShares Currency Hedged Morningstar DM ex-US Factor Tilt Index Fund (through its investment in its Underlying Fund), FlexShares Currency Hedged Morningstar EM Factor Tilt Index Fund (through its investment in its Underlying Fund), FlexShares STOXX® Global ESG Impact Index Fund, FlexShares Morningstar Global Upstream Natural Resources Index Fund, FlexShares STOXX® Global Broad Infrastructure Index Fund, FlexShares Global Quality Real Estate Index Fund, FlexShares Real Assets Allocation Index Fund (through its investment in its Underlying Funds), FlexShares International Quality Dividend Index Fund, FlexShares International Quality Dividend Defensive Index Fund, and the FlexShares International Quality Dividend Dynamic Index Fund invest in publicly-traded equity securities of issuers in countries other than the United States of America (“U.S.”). Such investments include direct investments in non-U.S. dollar denominated securities traded outside the U.S. The Funds’ investments in foreign securities also may be in the form of ADRs and Global Depositary Receipts (“GDRs”) (collectively, “Depositary Receipts”) based on securities in their Underlying Indexes. ADRs are receipts that are traded in the United States evidencing ownership of the underlying foreign securities and are denominated in U.S. dollars. GDRs are receipts issued by a non-U.S. financial institution evidencing ownership of underlying foreign or U.S. securities and usually are denominated in foreign currencies. GDRs may not be denominated in the same currency as the securities they represent. Generally, GDRs are designed for use in foreign securities markets.
In addition to investment risks associated with the underlying issuer, ADRs and GDRs expose a Fund to risk associated with non-uniform terms that apply to ADR and GDR programs, credit exposure to the depository bank and to the sponsors and other parties with whom the depository bank establishes the programs, currency and liquidity risk. ADRs and GDRs are generally subject to the same risks as the
foreign securities that they evidence or into which they may be converted.
To the extent a Fund invests in ADRs, such ADRs will be listed on a national securities exchange. To the extent a Fund invests in GDRs, such GDRs will be listed on a foreign exchange. A Fund will not invest in any unlisted Depositary Receipt, any Depositary Receipt that NTI deems to be illiquid or any Depositary Receipt for which market quotations are not readily available. Generally, all Depositary Receipts must be sponsored.
The FlexShares Credit-Scored US Corporate Bond Index Fund, FlexShares Credit-Scored US Long Corporate Bond Index Fund and the FlexShares High Yield Value-Scored Bond Index Fund may invest in U.S. dollar denominated bonds of non-U.S. corporations to the extent such bonds are included in each Fund’s Underlying Index. The FlexShares Core Select Bond Fund may invest in U.S. dollar denominated bonds of non-U.S. corporations, either directly or indirectly through Underlying Funds, to achieve its investment objective.
The FlexShares Ready Access Variable Income Fund may invest, without limitation, in fixed-income securities and instruments of foreign issuers in developed and emerging markets, including debt securities of foreign governments.
Investing in foreign securities, including Depositary Receipts, may result in a Fund experiencing more rapid and extreme changes in value than a fund that invests exclusively in U.S. securities, due to less liquid markets, and adverse economic, political, diplomatic, financial, and regulatory factors. Foreign governments also may impose taxes and limits on investment and repatriation. Any of these events could cause the value of a Fund’s foreign investment to decline. To the extent that a Fund’s assets are significantly invested in a single country or geographic region, a Fund will be subject to the risks associated with that particular country or region.
The FlexShares Emerging Markets Quality Low Volatility Fund, FlexShares Morningstar Emerging Markets Factor Tilt Index Fund and the FlexShares Currency Hedged Morningstar EM Factor Tilt Index Fund (through its investment in its Underlying Fund) will invest primarily in emerging market
FLEXSHARES ANNUAL REPORT | 417 |
Table of Contents
Notes to the Financial Statements (cont.)
countries. In addition, the FlexShares Morningstar Global Upstream Natural Resources Index Fund, FlexShares STOXX® Global Broad Infrastructure Index Fund, FlexShares Global Quality Real Estate Index Fund, FlexShares Real Assets Allocation Index Fund (through its investment in its Underlying Funds), FlexShares International Quality Dividend Index Fund, FlexShares International Quality Dividend Defensive Index Fund, and the FlexShares International Quality Dividend Dynamic Index Fund may invest its assets in emerging market countries. The FlexShares Ready Access Variable Income Fund may invest up to 20% of its total assets in fixed-income securities and instruments of issuers in emerging markets. The markets of emerging market countries are less developed and less liquid, subject to greater price volatility and generally subject to increased economic, political, regulatory and other uncertainties than more developed foreign markets. The risks of foreign investment are increased when the issuer is located in a country with an emerging economy or securities market.
Inflation-Indexed Securities
The FlexShares iBoxx 3-Year Target Duration TIPS Index Fund and the FlexShares iBoxx 5-Year Target Duration TIPS Index Fund invest primarily in U.S. Treasury Inflation-Protected Securities (“TIPS”). The FlexShares Ready Access Variable Income Fund and the FlexShares Core Select Bond Fund (directly or through its Underlying Funds) may invest in inflation-indexed securities.
TIPS issued by the U.S. Treasury have varying maturities and pay interest on a semiannual basis equal to a fixed percentage of the inflation-adjusted principal amount. If the periodic adjustment rate measuring inflation falls, the principal value of TIPS will be adjusted downward, and consequently the interest payable on these securities (calculated with respect to a smaller principal amount) will be reduced. Repayment of the original bond principal upon maturity (as adjusted for inflation) is guaranteed in the case of TIPS, even during a period of deflation.
The value of TIPS is expected to change in response to changes in real interest rates. Real interest rates in turn are tied to the relationship between nominal interest rates and the rate of inflation. Therefore, if the rate of inflation rises at
a faster rate than nominal interest rates, real interest rates might decline, leading to an increase in value of TIPS. In contrast, if nominal interest rates increase at a faster rate than inflation, real interest rates might rise, leading to a decrease in value of TIPS. Any increase in the principal amount of TIPS will be considered taxable ordinary income, even though investors do not receive their principal until maturity.
While these securities are expected to be protected from long-term inflationary trends, short-term increases in inflation may lead to a decline in value. If interest rates rise due to reasons other than inflation, investors in these securities may not be protected to the extent that the increase is not reflected in the TIPS’ inflation measure.
The periodic adjustment of TIPS is tied to the Consumer Price Index for Urban Consumers (“CPI-U”), which is calculated monthly by the U.S. Bureau of Labor Statistics. The CPI-U is a measurement of changes in the cost of living, made up of components such as housing, food, transportation and energy. There can be no assurance that the CPI-U will accurately measure the real rate of inflation in the prices of goods and services.
Mortgage-Backed Pass-Through Securities
The FlexShares Disciplined Duration MBS Index Fund invests primarily in U.S. agency mortgage-backed pass-through securities (“MBS”), a category of pass-through securities backed by pools of mortgages and issued by one of the following U.S. government agencies: the Federal National Mortgage Association (FNMA or Fannie Mae), the Federal Home Loan Mortgage Corporation (FHLMC or Freddie Mac) or the Government National Mortgage Association (GNMA or Ginnie Mae) (each a “US Agency”). Under normal circumstances, the Fund will invest at least 80% of its total assets in the securities of its Underlying Index and in “to-be announced transactions” (“TBA transactions”) that represent securities in its Underlying Index. In a TBA transaction, the buyer and seller agree upon general trade parameters such as agency, coupon rate, settlement date, par amount and price. The actual pools delivered generally are determined two days prior to settlement.
418 | FLEXSHARES ANNUAL REPORT |
Table of Contents
Notes to the Financial Statements (cont.)
Pending settlement of such TBA contracts, the FlexShares Disciplined Duration MBS Index Fund will invest in liquid, short-term instruments. The FlexShares Core Select Bond Fund may also invest either directly or through its Underlying Funds in MBS, including TBA transactions.
Mortgage Dollar Rolls
The FlexShares Disciplined Duration MBS Index Fund and the FlexShares Core Select Bond Fund (directly or through its Underlying Funds) may enter into mortgage dollar roll transactions. A mortgage dollar roll involves the sale by the Fund of securities for delivery in the future (generally within 30 days). The Fund simultaneously contracts with the same counterparty to repurchase substantially similar (same type, coupon and maturity) but not identical securities on a specified future date. During the roll period, the Fund will not be entitled to accrue interest and receive principal payments on the securities sold. However, the Fund benefits to the extent of any difference between (a) the price received for the securities sold and (b) the lower forward price for the future purchase and/or fee income plus the interest earned on the cash proceeds of the securities sold. Successful use of mortgage dollar rolls depends upon the Investment Adviser’s ability to predict correctly interest rates and mortgage prepayments. The use of this technique may diminish the investment performance of the Fund compared with what such performance would have been without the use of mortgage dollar rolls.
For financial reporting and tax purposes, a Fund treats mortgage dollar rolls as two separate transactions: one involving the purchase of a security and a separate transaction involving a sale. The Fund currently does not intend to enter into mortgage dollar rolls that are accounted for as financing and does not treat them as borrowings.
Repurchase Agreements
To the extent consistent with its investment policies, each Fund may enter into repurchase agreements under which it purchases securities (collateral) for cash from a seller and agrees to resell those securities to the same seller within a specified time at a specified price. During the term of a repurchase agreement, the market value of the underlying
collateral, including accrued interest, is required to equal or exceed the market value of the repurchase agreement. The underlying collateral for tri-party repurchase agreements is held in accounts at JPMorgan Chase, the Fund’s custodian, and is not reflected in the assets of the Funds, at the Bank of New York or JPMorgan Chase which, in turn, holds securities through the book-entry system at the Federal Reserve Bank of New York. The Fund is subject to credit risk on repurchase agreements to the extent that the counterparty fails to perform under the agreement and the value of the collateral received falls below the agreed repurchase price.
The Northern Trust Company, the parent of NTI, currently is a party to various Master Repurchase Agreements with a number of different counterparties, and acts as agent on behalf of various disclosed principals, including the Funds and various other accounts managed by NTI, in entering into repurchase agreements under the Master Repurchase Agreements. NTI administers and manages these repurchase agreements in accordance with and as part of its duties under its investment advisory agreement with the Funds and does not collect any additional fees from the Funds for such services. As of October 31, 2020, none of the Funds presented in these financial statements had repurchase agreements outstanding except as discussed below.
As of October 31, 2020, the FlexShares Morningstar US Market Factor Tilt Index Fund, FlexShares Morningstar Developed Markets ex-US Factor Tilt Index Fund, FlexShares Morningstar Emerging Markets Factor Tilt Index Fund, FlexShares STOXX® US ESG Impact Index Fund, FlexShares STOXX® Global ESG Impact Index Fund, FlexShares Morningstar Global Upstream Natural Resources Index Fund, FlexShares STOXX® Global Broad Infrastructure Index Fund, FlexShares Global Quality Real Estate Index Fund, FlexShares Quality Dividend Index Fund, FlexShares Quality Dividend Defensive Index Fund, FlexShares Quality Dividend Dynamic Index Fund, FlexShares International Quality Dividend Index Fund, FlexShares International Quality Dividend Dynamic Index Fund, and the FlexShares International Quality Dividend Defensive Index Fund, invested cash collateral for loans of portfolio securities in repurchase agreements, as reflected in the respective Schedule of Investments under the caption “Securities Lending Reinvestments.”
FLEXSHARES ANNUAL REPORT | 419 |
Table of Contents
Notes to the Financial Statements (cont.)
Securities Lending
Each Fund may lend securities to banks, brokers and dealers or other qualified institutions. In exchange, the Fund is required to receive minimum initial collateral value as follows:
Type of Loan | Minimum Initial Collateral Requirement | |||
U.S. dollar denominated securities secured by U.S. dollar denominated government securities or cash collateral | 102 | % | ||
U.S. dollar denominated securities secured by non-U.S. dollar denominated government securities or cash collateral | 105 | % | ||
Non-U.S. dollar denominated securities secured by government securities or cash collateral in the same denomination as the lent securities | 102 | % | ||
Non-U.S. dollar denominated securities secured by government securities or cash collateral in the different denomination from the lent securities | 105 | % | ||
U.S. dollar and Non-U.S. dollar denominated securities secured by equity securities collateral | 105 | % |
The collateral is maintained thereafter, at a value equal to at least 100% of the value of the securities loaned. The collateral amount is valued at the beginning of each business day and is compared to the market value of the loaned securities from the prior business day to determine if additional collateral is required. If additional collateral is required, a request is sent to the borrower.
Securities lending may represent no more than one-third of the value of a Fund’s total assets (including the loan collateral). JPMorgan Chase Bank, N.A. (the “Securities Lending Agent”) serves as the securities lending agent for the securities lending program of a Fund.
Collateral for loans of portfolio securities made by a Fund may consist of cash, cash equivalents, securities issued or guaranteed by the U.S. government or foreign governments or its agencies (or any combination thereof). Any cash collateral received by the Fund in connection with these
loans may be invested in a variety of short-term investments, either directly or indirectly through money market portfolios. The market value of securities on loan and the value of investments made with cash collateral received are disclosed in the Schedules of Investments. Securities lending income includes income from the securities lending program recorded when earned from the Securities Lending Agent and any fees charged to borrowers less expenses associated with the loan. The net amount is reflected in the Statements of Operations under “Securities lending income (net of fees).” The market value of the loaned securities is determined at the close of each business day of the Fund and any additional required collateral is delivered to the Fund, or excess collateral returned by the Fund, on the next business day.
When a Fund lends its securities, it will continue to receive payments equal to the dividends and interest paid on the securities loaned and simultaneously may earn interest on the investment of the cash collateral.
A Fund will have the right to terminate a loan at any time and recall the loaned securities within the normal and customary settlement time for securities transactions. A Fund does not have the right to vote securities on loan, but can terminate the loan and regain the right to vote if a material event affecting the securities occurred. A borrower might become insolvent or refuse to honor its obligation to return the securities. In the event of a default by a borrower with respect to any loan, the Securities Lending Agent will exercise any and all remedies provided under the applicable borrower agreement. These remedies include purchasing replacement securities for the Fund by applying the collateral held from the defaulting borrower against the purchase cost of the replacement securities. If the proceeds from the collateral are less than the purchase cost of the replacement securities, the Securities Lending Agent is responsible for such shortfall, subject to certain limitations that are set forth in detail in the Securities Lending Agency Agreement. In this event, a Fund could experience delays in recovering its securities and possibly may incur a capital loss. Each Fund will be responsible for any loss that might result from its investment of the cash collateral it receives from a borrower.
420 | FLEXSHARES ANNUAL REPORT |
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Notes to the Financial Statements (cont.)
In accordance with guidance presented in FASB Accounting Standard Update (“ASU”) 2014-11, Transfers and Servicing (Topic 860): Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures, liabilities under the outstanding securities lending transactions as of October 31, 2020, which were comprised of cash, were as follows:
Fund | ||||
FlexShares Morningstar US Market Factor Tilt Index Fund | $ | 102,633,369 | ||
FlexShares Morningstar Developed Markets ex-US Factor Tilt Index Fund | 5,133,487 | |||
FlexShares Morningstar Emerging Markets Factor Tilt Index Fund | 1,750,628 | |||
FlexShares STOXX® US ESG Impact Index Fund | 41,799 | |||
FlexShares STOXX® Global ESG Impact Index Fund | 204,571 | |||
FlexShares Morningstar Global Upstream Natural Resources Index Fund | 115,620,769 | |||
FlexShares STOXX® Global Broad Infrastructure Index Fund | 7,466,835 | |||
FlexShares Global Quality Real Estate Index Fund | 2,552,626 | |||
FlexShares Quality Dividend Index Fund | 66,619,988 | |||
FlexShares Quality Dividend Defensive Index Fund | 8,102,111 | |||
FlexShares Quality Dividend Dynamic Index Fund | 77,040 | |||
FlexShares International Quality Dividend Index Fund | 121,447 | |||
FlexShares International Quality Dividend Defensive Index Fund | 108,136 | |||
FlexShares International Quality Dividend Dynamic Index Fund | 33,903 |
At October 31, 2020, the Securities Lending Agency Agreement does not permit the Funds to enforce a netting arrangement. The cash collateral received from securities loaned as disclosed in the Statement of Assets and Liabilities is collateralized by securities on loan as disclosed within the Schedule of Investments and such borrowings have maturities that are overnight and continuous.
Regulations that began to take effect in 2019 will require certain bank-regulated counterparties and certain of their affiliates to include in certain financial contracts, including many securities lending agreements, terms that delay or restrict the rights of counterparties, such as a Fund, to terminate such agreements, foreclose upon collateral, exercise other default rights or restrict transfers of credit support in the event that the counterparty and/or its affiliates are subject to certain types of resolution or insolvency proceedings. It is possible that these new requirements, as well as potential additional government regulation and other developments in the market, could adversely affect a Fund’s ability to terminate existing securities lending agreements or to realize amounts to be received under such agreements.
Derivative Contracts
Futures Contracts
All of the Index Funds may invest in futures contracts to help track the price and yield performance of their Underlying Indexes. At the time a Fund enters into a futures contract, it is generally required to make a margin deposit with the custodian of a specified amount of liquid assets. Subsequent payments to be made or received by the Funds equal to the change in contract value are recorded as variation margin payable or receivable and offset in unrealized gains or losses. Futures are marked to market each day with the change in value reflected in the unrealized gains or losses. A Fund recognizes a realized gain or loss when a contract is closed or expires. The Statements of Operations reflect unrealized gains or losses on open futures contracts, as “Net change in unrealized appreciation (depreciation) on futures contracts”, and any realized gains (losses) on closed futures contracts as “Net realized gain (loss) from Expiration or closing of futures contracts”.
The FlexShares Core Select Bond Fund may take long or short positions in futures to manage the Fund’s exposure to interest rate risk. When applicable, the Fund seeks to mitigate the potential impact of interest rates on the performance of bonds by entering into short positions in U.S. Treasury futures or transactions in interest rate swaps. The Fund’s short positions in U.S. Treasury futures and interest rate swaps are not intended to mitigate credit spread risk or other factors influencing the price of bonds, which may have
FLEXSHARES ANNUAL REPORT | 421 |
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Notes to the Financial Statements (cont.)
a greater impact than interest rates. In addition, when interest rates fall, long-only bond investments will perform better than the Fund’s investments. As of October 31, 2020, the FlexShares Core Select Bond Fund did not hold swaps.
As of October 31, 2020, the FlexShares US Quality Low Volatility Index Fund, FlexShares Developed Markets ex-US Quality Low Volatility Index Fund, FlexShares Emerging Markets Quality Low Volatility Index Fund, FlexShares Morningstar US Market Factor Tilt Index Fund, FlexShares Morningstar Developed Markets ex-US Factor Tilt Index Fund, FlexShares Morningstar Emerging Markets Factor Tilt Index Fund, FlexShares Currency Hedged Morningstar EM Factor Tilt Index Fund, FlexShares US Quality Large Cap Index Fund, FlexShares STOXX® US ESG Impact Index Fund, FlexShares STOXX® Global ESG Impact Index Fund, FlexShares Morningstar Global Upstream Natural Resources Index Fund, FlexShares STOXX® Global Broad Infrastructure Index Fund, FlexShares Global Quality Real Estate Index Fund, FlexShares Quality Dividend Index Fund, FlexShares Quality Dividend Defensive Index Fund, FlexShares International Quality Dividend Index Fund, FlexShares International Quality Dividend Defensive Index Fund, and the FlexShares International Quality Dividend Dynamic Index Fund had open futures contracts.
The use of futures contracts involves, to varying degrees, elements of market and counterparty risk, which may exceed the amounts recognized in the Statements of Assets and Liabilities. Futures contracts present the following risks: imperfect correlation between the change in market value of a Fund’s securities and the price of futures contracts; the possible inability to close a futures contract when desired; losses due to unanticipated market movements, which potentially are unlimited; and the possible inability of NTI to correctly predict the direction of securities prices, interest rates, currency exchange rates and other economic factors. Futures markets are highly volatile and the use of futures may increase the volatility of a Fund’s NAV. As a result of the low margin deposits normally required in futures trading, a relatively small price movement in a futures contract may result in substantial losses to a Fund. Futures contracts may be illiquid, and exchanges may limit fluctuations in futures contract prices during a single day. Foreign exchanges or boards of trade generally do not offer the same protection as U.S. exchanges.
Foreign Currency Translations
Values of investments denominated in foreign currencies are converted into U.S. dollars using the prevailing market rates on the date of valuation as quoted by one or more banks or dealers that make a two-way market in such currencies (or a data service provider based on quotations received from such banks or dealers). Any use of a rate different from the rates used by an Index Fund’s index provider may affect a Fund’s ability to track its Underlying Index. The cost of purchases and proceeds from sales of investments, interest and dividend income are translated into U.S. dollars using the spot market rate of exchange prevailing on the respective dates of such transactions. “Net realized gain (loss) on foreign currency transactions” on the Statements of Operations include the effect of changes in exchange rates between trade date and settlement date on investment security transactions, foreign currency transactions and interest and dividends received, and the portion of foreign currency gains and losses related to fluctuation in exchange rates between the initial purchase trade date and subsequent sale trade date is included in “Net realized gain (loss) on investment in securities” on the Statements of Operations. Unrealized gains and losses on assets and liabilities, other than investments in securities, which result from changes in foreign currency exchange rates have been included in “Net change in unrealized appreciation (depreciation) on translation of other assets and liabilities denominated in foreign currencies” on the Statements of Operations.
Forward Foreign Currency Exchange Contracts
The FlexShares Currency Hedged Morningstar DM ex-US Factor Tilt Index Fund and FlexShares Currency Hedged Morningstar EM Factor Tilt Index Fund intend to use forward foreign currency contracts to hedge the currency exposure resulting from investments in foreign securities, to facilitate local settlements or to protect against currency exposure in connection with their distributions to shareholders. The FlexShares Developed Markets ex-US Quality Low Volatility Index Fund, FlexShares Emerging Markets Quality Low Volatility Index Fund, FlexShares Morningstar Developed Markets ex-US Factor Tilt Index Fund, FlexShares Morningstar Emerging Markets Factor Tilt Index Fund, FlexShares STOXX® Global ESG Impact Index Fund,
422 | FLEXSHARES ANNUAL REPORT |
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Notes to the Financial Statements (cont.)
FlexShares Morningstar Global Upstream Natural Resources Index Fund, FlexShares STOXX® Global Broad Infrastructure Index Fund, FlexShares Global Quality Real Estate Index Fund, FlexShares Real Assets Allocation Index Fund, FlexShares International Quality Dividend Index Fund, FlexShares International Quality Dividend Defensive Index Fund, FlexShares International Quality Dividend Dynamic Index Fund, and the FlexShares Ready Access Variable Income Fund may enter into forward foreign currency exchange contracts to facilitate local settlements or to protect against currency exposure in connection with its distributions to shareholders. The Index Funds, however, do not expect to engage in currency transactions for speculative purposes (e.g., for potential income or capital gain). The FlexShares Ready Access Variable Income Fund also may engage in forward foreign currency transactions for hedging purposes in order to protect against uncertainty in the level of future foreign currency exchange rates. The Fund, however, does not expect to engage in currency transactions for speculative purposes. All forward foreign currency exchange contracts held are “marked-to-market” daily at the applicable exchange rates and any resulting unrealized gains or losses are recorded. The Funds record realized gains or losses at the time the forward foreign currency exchange contract is offset by entering into a closing transaction or extinguished by delivery of the currency. The difference between the future foreign currency exchange rates at the date of entry into the contract and the rates at the reporting date are included in “Net change in unrealized appreciation (depreciation) on forward foreign currency contracts” in the Statements of Operations. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in U.S. Dollars without the delivery of foreign currency.
There are several risks associated with these contracts. One risk is the potential inability of counterparties to meet the terms of their contracts, and unanticipated movements in the value of a foreign currency relative to the U.S. dollar. The contractual amounts of forward foreign currency exchange contracts do not necessarily represent the amounts potentially subject to risk. The measurement of the risks associated with these instruments is meaningful only when all related and offsetting transactions are considered. The
Statements of Operations reflect (i) realized gains or losses, if any, in “Net realized gain (loss) from settlement of forward foreign currency contracts” and (ii) unrealized gains or losses in “Net change in unrealized appreciation (depreciation) on forward foreign currency contracts”. Forward foreign currency exchange contracts are privately negotiated transactions and can have substantial price volatility. As a result, they offer less protection against default by the other party than is available for instruments traded on an exchange. The institutions that deal in forward foreign currency exchange contracts are not required to continue to make markets in the currencies they trade, and these markets can experience periods of illiquidity.
As of October 31, 2020, the FlexShares Developed Markets ex-US Quality Low Volatility Index Fund, FlexShares Morningstar Developed Markets ex-US Factor Tilt Index Fund, FlexShares Morningstar Emerging Markets Factor Tilt Index Fund, FlexShares Currency Hedged Morningstar DM ex-US Factor Tilt Index Fund, FlexShares Currency Hedged Morningstar EM Factor Tilt Index Fund, FlexShares STOXX® Global ESG Impact Index Fund, FlexShares Morningstar Global Upstream Natural Resources Index Fund, FlexShares STOXX® Global Broad Infrastructure Index Fund, FlexShares Global Quality Real Estate Index Fund, FlexShares International Quality Dividend Index Fund, FlexShares International Quality Dividend Defensive Index Fund, and the FlexShares International Quality Dividend Dynamic Index Fund had open forward foreign currency contracts.
Offsetting of Financial Assets and Derivative Assets
The Funds’ accounting policy with respect to balance sheet offsetting is that, absent an event of default by the counterparty or a termination of the agreement, the International Swaps and Derivatives Association (ISDA) Master Agreement or similar agreement does not result in an offset of reported amounts of financial assets and financial liabilities in the Statements of Assets and Liabilities across transactions between the Fund and the applicable counterparty. In the event of a default, the agreement provides the right for the non-defaulting party to liquidate the collateral and calculate the net exposure to the defaulting party or request additional collateral. The Funds’ right to setoff may be restricted
FLEXSHARES ANNUAL REPORT | 423 |
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Notes to the Financial Statements (cont.)
or prohibited by the bankruptcy or insolvency laws of the particular jurisdiction to which a specific master netting agreement counterparty is subject.
For financial reporting purposes, the Trust can offset financial assets and financial liabilities of the FlexShares Developed Markets ex-US Quality Low Volatility Index Fund, FlexShares Morningstar Developed Markets ex-US Factor Tilt Index Fund, FlexShares Morningstar Emerging Markets Factor Tilt Index Fund, FlexShares Currency Hedged Morningstar DM ex-US Factor Tilt Index Fund, FlexShares Currency Hedged Morningstar EM Factor Tilt Index Fund, FlexShares STOXX® Global ESG Impact Index Fund, Flex-
Shares Morningstar Global Upstream Natural Resources Index Fund, FlexShares STOXX® Global Broad Infrastructure Index Fund, FlexShares Global Quality Real Estate Index Fund, FlexShares International Quality Dividend Index Fund, FlexShares International Quality Dividend Defensive Index Fund, and the FlexShares International Quality Dividend Dynamic Index Fund that are subject to master netting arrangements or similar agreements in the Statements of Assets and Liabilities. The following table presents the gross and net amounts of these assets and liabilities:
Gross Amounts Not Offset in the Statement of Assets and Liabilities | ||||||||||||||||||
Gross Amounts of Assets presented in | Financial Instruments | Cash Collateral Received | Net Amount | |||||||||||||||
FlexShares Developed Markets ex-US Quality Low Volatility Index Fund | ||||||||||||||||||
Foreign Currency Contracts — BNP Paribas SA | $ | 1,893 | $ | — | $ — | $ | 1,893 | |||||||||||
Foreign Currency Contracts — BNY Mellon Capital Markets LLC | 136 | — | — | 136 | ||||||||||||||
Foreign Currency Contracts — Citibank NA | 1,815 | — | — | 1,815 | ||||||||||||||
Foreign Currency Contracts — Morgan Stanley | 1,690 | (1,551) | — | 139 | ||||||||||||||
Foreign Currency Contracts — Toronto-Dominion Bank (The) | 1,183 | (1,183) | — | — | ||||||||||||||
Total | $ | 6,717 | $ | (2,734) | $ — | $ | 3,983 | |||||||||||
FlexShares Morningstar Developed Markets ex-US Factor Tilt Index Fund | ||||||||||||||||||
Foreign Currency Contracts — Citibank NA | $ | 744 | $ | (744) | $ — | $ | — | |||||||||||
Foreign Currency Contracts — JPMorgan Chase Bank | 4,072 | (4,072) | — | — | ||||||||||||||
Foreign Currency Contracts — Morgan Stanley | 47,632 | (23,229) | — | 24,403 | ||||||||||||||
Foreign Currency Contracts — Toronto-Dominion Bank (The) | 19,256 | (19,256) | — | — | ||||||||||||||
Foreign Currency Contracts — UBS AG | 9,235 | (5) | — | 9,230 | ||||||||||||||
Total | $ | 80,939 | $ | (47,306) | $ — | $ | 33,633 | |||||||||||
FlexShares Morningstar Emerging Markets Factor Tilt Index Fund | ||||||||||||||||||
Foreign Currency Contracts — Citibank NA | $ | 13,529 | $ | (10,617) | $ — | $ | 2,912 | |||||||||||
Foreign Currency Contracts — Goldman Sachs & Co. | 14,946 | (402) | — | 14,544 | ||||||||||||||
Foreign Currency Contracts — Morgan Stanley | 128 | — | — | 128 | ||||||||||||||
Foreign Currency Contracts — UBS AG | 30 | — | — | 30 | ||||||||||||||
Total | $ | 28,633 | $ | (11,019) | $ — | $ | 17,614 | |||||||||||
FlexShares Currency Hedged Morningstar DM ex-US Factor Tilt Index Fund | ||||||||||||||||||
Foreign Currency Contracts — Morgan Stanley | $ | 24,874 | $ | (15,404) | $ — | $ | 9,470 | |||||||||||
Total | $ | 24,874 | $ | (15,404) | $ — | $ | 9,470 |
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Notes to the Financial Statements (cont.)
Gross Amounts Not Offset in the Statement of Assets and Liabilities | ||||||||||||||||||
Gross Amounts of Assets presented in | Financial Instruments | Cash Collateral Received | Net Amount | |||||||||||||||
FlexShares Currency Hedged Morningstar EM Factor Tilt Index Fund | ||||||||||||||||||
Foreign Currency Contracts — Citibank NA | $ | 6,013 | $ | (832) | $ — | $ | 5,181 | |||||||||||
Foreign Currency Contracts — Goldman Sachs & Co. | 2,106 | — | — | 2,106 | ||||||||||||||
Foreign Currency Contracts — JPMorgan Chase Bank | 998 | (344) | — | 654 | ||||||||||||||
Foreign Currency Contracts — Morgan Stanley | 3,593 | (3,265) | — | 328 | ||||||||||||||
Total | $ | 12,710 | $ | (4,441) | $ — | $ | 8,269 | |||||||||||
FlexShares STOXX® Global ESG Impact Index Fund | ||||||||||||||||||
Foreign Currency Contracts — Citibank NA | $ | 3,761 | $ | — | $ — | $ | 3,761 | |||||||||||
Total | $ | 3,761 | $ | — | $ — | $ | 3,761 | |||||||||||
FlexShares Morningstar Global Upstream Natural Resources Index Fund | ||||||||||||||||||
Foreign Currency Contracts — Bank of New York | $ | 2,624 | $ | — | $ — | $ | 2,624 | |||||||||||
Foreign Currency Contracts — BNP Paribas SA | 16,613 | (2,115) | — | 14,498 | ||||||||||||||
Foreign Currency Contracts — Citibank NA | 101,919 | (101,919) | — | — | ||||||||||||||
Foreign Currency Contracts — Goldman Sachs & Co. | 107,765 | — | — | 107,765 | ||||||||||||||
Foreign Currency Contracts — JPMorgan Chase Bank | 118,132 | (93,588) | — | 24,544 | ||||||||||||||
Foreign Currency Contracts — Morgan Stanley | 2,892 | (2,892) | — | — | ||||||||||||||
Foreign Currency Contracts — Toronto-Dominion Bank (The) | 116,925 | (53,504) | — | 63,421 | ||||||||||||||
Foreign Currency Contracts — UBS AG | 42 | (42) | — | |||||||||||||||
Total | $ | 466,912 | $ | (254,060) | $ — | $ | 212,852 | |||||||||||
FlexShares STOXX® Global Broad Infrastructure Index Fund | Foreign Currency Contracts — JPMorgan Chase Bank | $ | 2,310 | $ | (2,310) | $ — | $ | — | ||||||||||
Foreign Currency Contracts — Morgan Stanley | 19,609 | (19,609) | — | — | ||||||||||||||
Foreign Currency Contracts — Toronto-Dominion Bank (The) | 10,381 | (10,381) | — | — | ||||||||||||||
Foreign Currency Contracts — UBS AG | 11 | — | — | 11 | ||||||||||||||
Total | $ | 32,311 | $ | (32,300) | $ — | $ | 11 | |||||||||||
FlexShares Global Quality Real Estate Index Fund | Foreign Currency Contracts — Citibank NA | $ | 4,925 | $ | — | $ — | $ | 4,925 | ||||||||||
Foreign Currency Contracts — JPMorgan Chase Bank | 194 | (22) | — | 172 | ||||||||||||||
Foreign Currency Contracts — Morgan Stanley | 176 | (176) | — | — | ||||||||||||||
Foreign Currency Contracts — Toronto-Dominion Bank (The) | 151 | (151) | — | — | ||||||||||||||
Foreign Currency Contracts — UBS AG | 5 | — | — | 5 | ||||||||||||||
Total | $ | 5,451 | $ | (349) | $ — | $ | 5,102 |
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Notes to the Financial Statements (cont.)
Gross Amounts Not Offset in the Statement of Assets and Liabilities | ||||||||||||||||||
Gross Amounts of Assets presented in | Financial Instruments | Cash Collateral Received | Net Amount | |||||||||||||||
FlexShares International Quality Dividend Index Fund | ||||||||||||||||||
Foreign Currency Contracts — BNP Paribas SA | $ | 23 | $ | — | $ | — | $ | 23 | ||||||||||
Foreign Currency Contracts — Citibank NA | 127,889 | (127,889) | — | — | ||||||||||||||
Foreign Currency Contracts — Goldman Sachs & Co. | 64,264 | (11,381) | — | 52,883 | ||||||||||||||
Foreign Currency Contracts — JPMorgan Chase Bank | 14,754 | (14,754) | — | — | ||||||||||||||
Foreign Currency Contracts — Morgan Stanley | 48,660 | (4,896) | — | 43,764 | ||||||||||||||
Foreign Currency Contracts — Toronto-Dominion Bank (The) | 21,125 | (1,850) | — | 19,275 | ||||||||||||||
Foreign Currency Contracts — UBS AG | 13,736 | (941) | — | 12,795 | ||||||||||||||
Total | $ | 290,451 | $ | (161,711) | $ | — | $ | 128,740 | ||||||||||
FlexShares International Quality Dividend Defensive Index Fund | Foreign Currency Contracts — Citibank NA | $ | 2,819 | $ | — | $ | — | $ | 2,819 | |||||||||
Foreign Currency Contracts — Goldman Sachs & Co. | 1,408 | (1,408) | — | — | ||||||||||||||
Foreign Currency Contracts — JPMorgan Chase Bank | 5,448 | — | — | 5,448 | ||||||||||||||
Total | $ | 9,675 | $ | (1,408) | $ | — | $ | 8,267 | ||||||||||
FlexShares International Quality Dividend Dynamic Index Fund | Foreign Currency Contracts — Citibank NA | $ | 916 | $ | — | $ | — | $ | 916 | |||||||||
Foreign Currency Contracts — JPMorgan Chase Bank | 1,425 | — | — | 1,425 | ||||||||||||||
Foreign Currency Contracts — Morgan Stanley | 1 | (1) | — | — | ||||||||||||||
Foreign Currency Contracts — Toronto-Dominion Bank (The) | 27 | (27) | — | — | ||||||||||||||
Total | $ | 2,369 | $ | (28) | $ | — | $ | 2,341 |
Gross Amounts Not Offset in the Statement of Assets and Liabilities | ||||||||||||||||||
Gross Amounts of Liabilities presented in | Financial Instruments | Cash Collateral Pledged | Net Amount | |||||||||||||||
FlexShares Developed Markets ex-US Quality Low Volatility Index Fund | ||||||||||||||||||
Foreign Currency Contracts — Morgan Stanley | $ | (1,551) | $ | 1,551 | $ | — | $ | — | ||||||||||
Foreign Currency Contracts — Toronto-Dominion Bank (The) | (3,445) | 1,183 | — | (2,262) | ||||||||||||||
Total | $ | (4,996) | $ | 2,734 | $ | — | $ | (2,262) | ||||||||||
FlexShares Morningstar Developed Markets ex-US Factor Tilt Index Fund | Foreign Currency Contracts — BNP Paribas SA | $ | (200) | $ | — | $ | — | $ | (200) | |||||||||
Foreign Currency Contracts — Citibank NA | (25,120) | 744 | — | (24,376) | ||||||||||||||
Foreign Currency Contracts — JPMorgan Chase Bank | (56,886) | 4,072 | — | (52,814) | ||||||||||||||
Foreign Currency Contracts — Morgan Stanley | (23,229) | 23,229 | — | — | ||||||||||||||
Foreign Currency Contracts — Toronto-Dominion Bank (The) | (35,700) | 19,256 | — | (16,444) | ||||||||||||||
Foreign Currency Contracts — UBS AG | (5) | 5 | — | — | ||||||||||||||
Total | $ | (141,140) | $ | 47,306 | $ | — | $ | (93,834) |
426 | FLEXSHARES ANNUAL REPORT |
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Notes to the Financial Statements (cont.)
Gross Amounts Not Offset in the Statement of Assets and Liabilities | ||||||||||||||||||
Gross Amounts of Liabilities presented in | Financial Instruments | Cash Collateral Received | Net Amount | |||||||||||||||
FlexShares Morningstar Emerging Markets Factor Tilt Index Fund | ||||||||||||||||||
Foreign Currency Contracts — Citibank NA | $ | (10,617) | $ | 10,617 | $ | — | $ | — | ||||||||||
Foreign Currency Contracts — Goldman Sachs & Co. | (402) | 402 | — | — | ||||||||||||||
Foreign Currency Contracts — Toronto-Dominion Bank (The) | (5,398) | — | — | (5,398) | ||||||||||||||
Total | $ | (16,417) | $ | 11,019 | $ | — | $ | (5,398) | ||||||||||
FlexShares Currency Hedged Morningstar DM ex-US Factor Tilt Index Fund | ||||||||||||||||||
Foreign Currency Contracts — Morgan Stanley | $ | (15,404) | $ | 15,404 | $ | — | $ | — | ||||||||||
Total | $ | (15,404) | $ | 15,404 | $ | — | $ | — | ||||||||||
FlexShares Currency Hedged Morningstar EM Factor Tilt Index Fund | ||||||||||||||||||
Foreign Currency Contracts — Citibank NA | $ | (832) | $ | 832 | $ | — | $ | — | ||||||||||
Foreign Currency Contracts — JPMorgan Chase Bank | (344) | 344 | — | — | ||||||||||||||
Foreign Currency Contracts — Morgan Stanley | (3,265) | 3,265 | — | — | ||||||||||||||
Foreign Currency Contracts — Toronto-Dominion Bank (The) | (3,528) | — | — | (3,528) | ||||||||||||||
Total | $ | (7,969) | $ | 4,441 | $ | — | $ | (3,528) | ||||||||||
FlexShares STOXX® Global ESG Impact Index Fund | ||||||||||||||||||
Foreign Currency Contracts — Bank of New York | $ | (630) | $ | — | $ | — | $ | (630) | ||||||||||
Total | $ | (630) | $ | — | $ | — | $ | (630) | ||||||||||
FlexShares Morningstar Global Upstream Natural Resources Index Fund | ||||||||||||||||||
Foreign Currency Contracts — BNP Paribas SA | $ | (2,115) | $ | 2,115 | $ | — | $ | — | ||||||||||
Foreign Currency Contracts — Citibank NA | (172,439) | 101,919 | — | (70,520) | ||||||||||||||
Foreign Currency Contracts — JPMorgan Chase Bank | (93,588) | 93,588 | — | — | ||||||||||||||
Foreign Currency Contracts — Morgan Stanley | (61,329) | 2,892 | — | (58,437) | ||||||||||||||
Foreign Currency Contracts — Toronto-Dominion Bank (The) | (53,504) | 53,504 | — | — | ||||||||||||||
Foreign Currency Contracts — UBS AG | (8,291) | 42 | — | (8,249) | ||||||||||||||
Total | $ | (391,266) | $ | 254,060 | $ | — | $ | (137,206) | ||||||||||
FlexShares STOXX® Global Broad Infrastructure Index Fund | Foreign Currency Contracts — Citibank NA | $ | (3,937) | $ | — | — | $ | (3,937) | ||||||||||
Foreign Currency Contracts — JPMorgan Chase Bank | (15,432) | 2,310 | — | (13,122) | ||||||||||||||
Foreign Currency Contracts — Morgan Stanley | (24,709) | 19,609 | — | (5,100) | ||||||||||||||
Foreign Currency Contracts — Toronto-Dominion Bank (The) | (14,608) | 10,381 | — | (4,227) | ||||||||||||||
Total | $ | (58,686) | $ | 32,300 | $ | — | $ | (26,386) |
FLEXSHARES ANNUAL REPORT | 427 |
Table of Contents
Notes to the Financial Statements (cont.)
Gross Amounts Not Offset in the Statement of Assets and Liabilities | ||||||||||||||||||
Gross Amounts of Liabilities presented in | Financial Instruments | Cash Collateral Received | Net Amount | |||||||||||||||
FlexShares Global Quality Real Estate Index Fund | ||||||||||||||||||
Foreign Currency Contracts — JPMorgan Chase Bank | $ | (22) | $ | 22 | $ | — | $ | — | ||||||||||
Foreign Currency Contracts — Morgan Stanley | (3,424) | 176 | — | (3,248) | ||||||||||||||
Foreign Currency Contracts — Toronto-Dominion Bank (The) | (2,623) | 151 | — | (2,472) | ||||||||||||||
Total | $ | (6,069) | $ | 349 | $ | — | $ | (5,720) | ||||||||||
FlexShares International Quality Dividend Index Fund | Foreign Currency Contracts — Citibank NA | $ | (208,275) | 127,889 | $ | — | $ | (80,386) | ||||||||||
Foreign Currency Contracts — Goldman Sachs & Co. | (11,381) | 11,381 | — | — | ||||||||||||||
Foreign Currency Contracts — JPMorgan Chase Bank | (28,303) | 14,754 | — | (13,549) | ||||||||||||||
Foreign Currency Contracts — Morgan Stanley | (4,896) | 4,896 | — | — | ||||||||||||||
Foreign Currency Contracts — Toronto-Dominion Bank (The) | (1,850) | 1,850 | — | — | ||||||||||||||
Foreign Currency Contracts — UBS AG | (941) | 941 | — | — | ||||||||||||||
Total | $ | (255,646) | $ | 161,711 | $ | — | $ | (93,935) | ||||||||||
FlexShares International Quality Dividend Defensive Index Fund | Foreign Currency Contracts — Goldman Sachs & Co. | $ | (7,086) | $ | 1,408 | $ | — | (5,678) | ||||||||||
Foreign Currency Contracts — Morgan Stanley | (1,117) | — | — | (1,117) | ||||||||||||||
Foreign Currency Contracts — Toronto-Dominion Bank (The) | (391) | — | — | (391) | ||||||||||||||
Total | $ | (8,594) | $ | 1,408 | $ | — | $ | (7,186) | ||||||||||
FlexShares International Quality Dividend Dynamic Index Fund | Foreign Currency Contracts — Morgan Stanley | $ | (763) | 1 | $ | — | $ | (762) | ||||||||||
Foreign Currency Contracts — Toronto-Dominion Bank (The) | (1,037) | 27 | — | (1,010) | ||||||||||||||
Foreign Currency Contracts — UBS AG | (377) | — | — | (377) | ||||||||||||||
Total | $ | (2,177) | $ | 28 | $ | — | $ | (2,149) |
The following tables indicate the location of derivative-related items on the Statements of Assets and Liabilities as well as the effect of derivative instruments on the Statements of Operations during the reporting period.
Fair Value of Derivative Instruments as of October 31, 2020
Derivatives by risk type | Statements of Assets and Liabilities Location | Fund | Value | |||||
Equity Index Futures Contracts | Liabilities — Unrealized depreciation on futures contracts* | FlexShares US Quality Low Volatility Index Fund | $ | (6,049 | ) | |||
Equity Index Futures Contracts | Liabilities — Unrealized depreciation on futures contracts* | FlexShares Developed Markets ex-US Quality Low Volatility Index Fund | (29,407 | ) | ||||
Foreign Currency Contracts | Assets — Unrealized appreciation on forward foreign currency contracts | FlexShares Developed Markets ex-US Quality Low Volatility Index Fund | 6,717 | |||||
Foreign Currency Contracts | Liabilities — Unrealized depreciation on forward foreign currency contracts | FlexShares Developed Markets ex-US Quality Low Volatility Index Fund | (4,996 | ) |
428 | FLEXSHARES ANNUAL REPORT |
Table of Contents
Notes to the Financial Statements (cont.)
Derivatives by risk type | Statements of Assets and Liabilities Location | Fund | Value | |||||
Equity Index Futures Contracts | Assets — Unrealized appreciation on futures contracts* | FlexShares Emerging Markets Quality Low Volatility Index Fund | $ | 1,716 | ||||
Equity Index Futures Contracts | Assets — Unrealized appreciation on futures contracts* | FlexShares Morningstar US Market Factor Tilt Index Fund | 6,567 | |||||
Equity Index Futures Contracts | Liabilities — Unrealized depreciation on futures contracts* | FlexShares Morningstar US Market Factor Tilt Index Fund | (179,573 | ) | ||||
Equity Index Futures Contracts | Assets — Unrealized appreciation on futures contracts* | FlexShares Morningstar Developed Markets ex-US Factor Tilt Index Fund | 2,541 | |||||
Equity Index Futures Contracts | Liabilities — Unrealized depreciation on futures contracts* | FlexShares Morningstar Developed Markets ex-US Factor Tilt Index Fund | (580,949 | ) | ||||
Foreign Currency Contracts | Assets — Unrealized appreciation on forward foreign currency contracts | FlexShares Morningstar Developed Markets ex-US Factor Tilt Index Fund | 80,939 | |||||
Foreign Currency Contracts | Liabilities — Unrealized depreciation on forward foreign currency contracts | FlexShares Morningstar Developed Markets ex-US Factor Tilt Index Fund | (141,140 | ) | ||||
Equity Index Futures Contracts | Assets — Unrealized appreciation on futures contracts* | FlexShares Morningstar Emerging Markets Factor Tilt Index Fund | 54,869 | |||||
Foreign Currency Contracts | Assets — Unrealized appreciation on forward foreign currency contracts | FlexShares Morningstar Emerging Markets Factor Tilt Index Fund | 28,633 | |||||
Foreign Currency Contracts | Liabilities — Unrealized depreciation on forward foreign currency contracts | FlexShares Morningstar Emerging Markets Factor Tilt Index Fund | (16,417 | ) | ||||
Foreign Currency Contracts | Assets — Unrealized appreciation on forward foreign currency contracts | FlexShares Currency Hedged Morningstar DM ex-US Factor Tilt Index Fund | 24,874 | |||||
Foreign Currency Contracts | Liabilities — Unrealized depreciation on forward foreign currency contracts | FlexShares Currency Hedged Morningstar DM ex-US Factor Tilt Index Fund | (15,404 | ) | ||||
Equity Index Futures Contracts | Assets — Unrealized appreciation on futures contracts* | FlexShares Currency Hedged Morningstar EM Factor Tilt Index Fund | 618 | |||||
Foreign Currency Contracts | Assets — Unrealized appreciation on forward foreign currency contracts | FlexShares Currency Hedged Morningstar EM Factor Tilt Index Fund | 12,710 | |||||
Foreign Currency Contracts | Liabilities — Unrealized depreciation on forward foreign currency contracts | FlexShares Currency Hedged Morningstar EM Factor Tilt Index Fund | (7,969 | ) | ||||
Equity Index Futures Contracts | Liabilities — Unrealized depreciation on futures contracts* | FlexShares US Quality Large Cap Index Fund | (12,982 | ) | ||||
Equity Index Futures Contracts | Liabilities — Unrealized depreciation on futures contracts* | FlexShares STOXX® US ESG Impact Index Fund | (15,208 | ) | ||||
Equity Index Futures Contracts | Liabilities — Unrealized depreciation on futures contracts* | FlexShares STOXX® Global ESG Impact Index Fund | (40,939 | ) | ||||
Foreign Currency Contracts | Assets — Unrealized appreciation on forward foreign currency contracts | FlexShares STOXX® Global ESG Impact Index Fund | 3,761 | |||||
Foreign Currency Contracts | Liabilities — Unrealized depreciation on forward foreign currency contracts | FlexShares STOXX® Global ESG Impact Index Fund | (630 | ) |
FLEXSHARES ANNUAL REPORT | 429 |
Table of Contents
Notes to the Financial Statements (cont.)
Derivatives by risk type | Statements of Assets and Liabilities Location | Fund | Value | |||||
Equity Index Futures Contracts | Assets — Unrealized appreciation on futures contracts* | FlexShares Morningstar Global Upstream Natural Resources Index Fund | $ | 120,824 | ||||
Equity Index Futures Contracts | Liabilities — Unrealized depreciation on futures contracts* | FlexShares Morningstar Global Upstream Natural Resources Index Fund | (948,066 | ) | ||||
Foreign Currency Contracts | Assets — Unrealized appreciation on forward foreign currency contracts | FlexShares Morningstar Global Upstream Natural Resources Index Fund | 466,912 | |||||
Foreign Currency Contracts | Liabilities — Unrealized depreciation on forward foreign currency contracts | FlexShares Morningstar Global Upstream Natural Resources Index Fund | (391,266 | ) | ||||
Equity Index Futures Contracts | Liabilities — Unrealized depreciation on futures contracts* | FlexShares STOXX® Global Broad Infrastructure Index Fund | (739,173 | ) | ||||
Foreign Currency Contracts | Assets — Unrealized appreciation on forward foreign currency contracts | FlexShares STOXX® Global Broad Infrastructure Index Fund | 32,311 | |||||
Foreign Currency Contracts | Liabilities — Unrealized depreciation on forward foreign currency contracts | FlexShares STOXX® Global Broad Infrastructure Index Fund | (58,686 | ) | ||||
Equity Index Futures Contracts | Assets — Unrealized appreciation on futures contracts* | FlexShares Global Quality Real Estate Index Fund | 29,579 | |||||
Equity Index Futures Contracts | Liabilities — Unrealized depreciation on futures contracts* | FlexShares Global Quality Real Estate Index Fund | (50,880 | ) | ||||
Foreign Currency Contracts | Assets — Unrealized appreciation on forward foreign currency contracts | FlexShares Global Quality Real Estate Index Fund | 5,451 | |||||
Foreign Currency Contracts | Liabilities — Unrealized depreciation on forward foreign currency contracts | FlexShares Global Quality Real Estate Index Fund | (6,069 | ) | ||||
Equity Index Futures Contracts | Liabilities — Unrealized depreciation on futures contracts* | FlexShares Quality Dividend Index Fund | (121,870 | ) | ||||
Equity Index Futures Contracts | Liabilities — Unrealized depreciation on futures contracts* | FlexShares Quality Dividend Defensive Index Fund | (34,182 | ) | ||||
Equity Index Futures Contracts | Assets — Unrealized appreciation on futures contracts* | FlexShares International Quality Dividend Index Fund | 35,979 | |||||
Equity Index Futures Contracts | Liabilities — Unrealized depreciation on futures contracts* | FlexShares International Quality Dividend Index Fund | (624,331 | ) | ||||
Foreign Currency Contracts | Assets — Unrealized appreciation on forward foreign currency contracts | FlexShares International Quality Dividend Index Fund | 290,451 | |||||
Foreign Currency Contracts | Liabilities — Unrealized depreciation on forward foreign currency contracts | FlexShares International Quality Dividend Index Fund | (255,646 | ) | ||||
Equity Index Futures Contracts | Assets — Unrealized appreciation on futures contracts* | FlexShares International Quality Dividend Defensive Index Fund | 2,999 | |||||
Equity Index Futures Contracts | Liabilities — Unrealized depreciation on futures contracts* | FlexShares International Quality Dividend Defensive Index Fund | (52,893 | ) | ||||
Foreign Currency Contracts | Assets — Unrealized appreciation on forward foreign currency contracts | FlexShares International Quality Dividend Defensive Index Fund | 9,675 |
430 | FLEXSHARES ANNUAL REPORT |
Table of Contents
Notes to the Financial Statements (cont.)
Derivatives by risk type | Statements of Assets and Liabilities Location | Fund | Value | |||||
Foreign Currency Contracts | Liabilities — Unrealized depreciation on forward foreign currency contracts | FlexShares International Quality Dividend Defensive Index Fund | $ | (8,594 | ) | |||
Equity Index Futures Contracts | Assets — Unrealized appreciation on futures contracts* | FlexShares International Quality Dividend Dynamic Index Fund | 2,286 | |||||
Equity Index Futures Contracts | Liabilities — Unrealized depreciation on futures contracts* | FlexShares International Quality Dividend Dynamic Index Fund | (15,771 | ) | ||||
Foreign Currency Contracts | Assets — Unrealized appreciation on forward foreign currency contracts | FlexShares International Quality Dividend Dynamic Index Fund | 2,369 | |||||
Foreign Currency Contracts | Liabilities — Unrealized depreciation on forward foreign currency contracts | FlexShares International Quality Dividend Dynamic Index Fund | (2,177 | ) |
* | Includes cumulative appreciation/depreciation on futures contracts as reported in the Schedule of Investments. Current day’s variation margin is reported within the Statement of Assets and Liabilities for futures contracts. |
The Effect of Derivative Instruments on the Statements of Operations for the Year Ended October 31, 2020
Derivatives by risk type | Location of Gain or (Loss) on Derivatives on the Statements of Operations | Fund | Realized Gain or (Loss) on Derivatives | Change in Unrealized Appreciation or (Depreciation) on Derivatives | ||||||||
Equity Index Futures Contracts | Net realized gain (loss) on Futures contracts, Net change in unrealized appreciation (depreciation) on Futures contracts | FlexShares US Quality Low Volatility Index Fund | $ | 42,801 | $ | (6,049 | ) | |||||
Equity Index Futures Contracts | Net realized gain (loss) on Futures contracts, Net change in unrealized appreciation (depreciation) on Futures contracts | FlexShares Developed Markets ex-US Quality Low Volatility Index Fund | 41,774 | (32,340 | ) | |||||||
Foreign Currency Contracts | Net realized gain (loss) on Foreign currency transactions, Net change in unrealized appreciation (depreciation) on Forward foreign currency contracts | FlexShares Developed Markets ex-US Quality Low Volatility Index Fund | (21,539 | ) | 1,721 | |||||||
Equity Index Futures Contracts | Net realized gain (loss) on Futures contracts, Net change in unrealized appreciation (depreciation) on Futures contracts | FlexShares Emerging Markets Quality Low Volatility Index Fund | 19,751 | 1,716 | ||||||||
Equity Index Futures Contracts | Net realized gain (loss) on Futures contracts, Net change in unrealized appreciation (depreciation) on Futures contracts | FlexShares Morningstar US Market Factor Tilt Index Fund | 260,410 | (385,862 | ) |
FLEXSHARES ANNUAL REPORT | 431 |
Table of Contents
Notes to the Financial Statements (cont.)
Derivatives by risk type | Location of Gain or (Loss) on Derivatives on the Statements of Operations | Fund | Realized Gain or (Loss) on Derivatives | Change in Unrealized Appreciation or (Depreciation) on Derivatives | ||||||||
Equity Index Futures Contracts | Net realized gain (loss) on Futures contracts, Net change in unrealized appreciation (depreciation) on Futures contracts | FlexShares Morningstar Developed Markets ex-US Factor Tilt Index Fund | $ | 1,989,450 | $ | (906,795 | ) | |||||
Foreign Currency Contracts | Net realized gain (loss) on Foreign currency transactions, Net change in unrealized appreciation (depreciation) on Forward foreign currency contracts | FlexShares Morningstar Developed Markets ex-US Factor Tilt Index Fund | 103,579 | (128,515 | ) | |||||||
Equity Index Futures Contracts | Net realized gain (loss) on Futures contracts, Net change in unrealized appreciation (depreciation) on Futures contracts | FlexShares Morningstar Emerging Markets Factor Tilt Index Fund | 1,083,960 | 4,119 | ||||||||
Foreign Currency Contracts | Net realized gain (loss) on Foreign currency transactions, Net change in unrealized appreciation (depreciation) on Forward foreign currency contracts | FlexShares Morningstar Emerging Markets Factor Tilt Index Fund | 67,116 | 53,916 | ||||||||
Foreign Currency Contracts | Net realized gain (loss) on Foreign currency transactions, Net change in unrealized appreciation (depreciation) on Forward foreign currency contracts | FlexShares Currency Hedged Morningstar DM ex-US Factor Tilt Index Fund | (135,509 | ) | 24,385 | |||||||
Equity Index Futures Contracts | Net realized gain (loss) on Futures contracts, Net change in unrealized appreciation (depreciation) on Futures contracts | FlexShares Currency Hedged Morningstar EM Factor Tilt Index Fund | 8,668 | (325 | ) | |||||||
Foreign Currency Contracts | Net realized gain (loss) on Foreign currency transactions, Net change in unrealized appreciation (depreciation) on Forward foreign currency contracts | FlexShares Currency Hedged Morningstar EM Factor Tilt Index Fund | 77,574 | 25,847 | ||||||||
Equity Index Futures Contracts | Net realized gain (loss) on Futures contracts, Net change in unrealized appreciation (depreciation) on Futures contracts | FlexShares US Quality Large Cap Index Fund | 56,387 | (15,762 | ) |
432 | FLEXSHARES ANNUAL REPORT |
Table of Contents
Notes to the Financial Statements (cont.)
Derivatives by risk type | Location of Gain or (Loss) on Derivatives on the Statements of Operations | Fund | Realized Gain or (Loss) on Derivatives | Change in Unrealized Appreciation or (Depreciation) on Derivatives | ||||||||
Equity Index Futures Contracts | Net realized gain (loss) on Futures contracts, Net change in unrealized appreciation (depreciation) on Futures contracts | FlexShares STOXX® US ESG Impact Index Fund | $ | 45,351 | $ | (24,946 | ) | |||||
Equity Index Futures Contracts | Net realized gain (loss) on Futures contracts, Net change in unrealized appreciation (depreciation) on Futures contracts | FlexShares STOXX® Global ESG Impact Index Fund | 103,833 | (69,171 | ) | |||||||
Foreign Currency Contracts | Net realized gain (loss) on Foreign currency transactions, Net change in unrealized appreciation (depreciation) on Forward foreign currency contracts | FlexShares STOXX® Global ESG Impact Index Fund | (12,210 | ) | 3,131 | |||||||
Equity Index Futures Contracts | Net realized gain (loss) on Futures contracts, Net change in unrealized appreciation (depreciation) on Futures contracts | FlexShares Morningstar Global Upstream Natural Resources Index Fund | 3,339,709 | (841,890 | ) | |||||||
Foreign Currency Contracts | Net realized gain (loss) on Foreign currency transactions, Net change in unrealized appreciation (depreciation) on Forward foreign currency contracts | FlexShares Morningstar Global Upstream Natural Resources Index Fund | 168,456 | 80,863 | ||||||||
Equity Index Futures Contracts | Net realized gain (loss) on Futures contracts, Net change in unrealized appreciation (depreciation) on Futures contracts | FlexShares STOXX® Global Broad Infrastructure Index Fund | (155,672 | ) | (1,018,490 | ) | ||||||
Foreign Currency Contracts | Net realized gain (loss) on Foreign currency transactions, Net change in unrealized appreciation (depreciation) on Forward foreign currency contracts | FlexShares STOXX® Global Broad Infrastructure Index Fund | 126,871 | (37,898 | ) | |||||||
Equity Index Futures Contracts | Net realized gain (loss) on Futures contracts, Net change in unrealized appreciation (depreciation) on Futures contracts | FlexShares Global Quality Real Estate Index Fund | (181,950 | ) | (77,069 | ) |
FLEXSHARES ANNUAL REPORT | 433 |
Table of Contents
Notes to the Financial Statements (cont.)
Derivatives by risk type | Location of Gain or (Loss) on Derivatives on the Statements of Operations | Fund | Realized Gain or (Loss) on Derivatives | Change in Unrealized Appreciation or (Depreciation) on Derivatives | ||||||||
Foreign Currency Contracts | Net realized gain (loss) on Foreign currency transactions, Net change in unrealized appreciation (depreciation) on Forward foreign currency contracts | FlexShares Global Quality Real Estate Index Fund | $ | 50,673 | $ | 96 | ||||||
Equity Index Futures Contracts | Net realized gain (loss) on Futures contracts, Net change in unrealized appreciation (depreciation) on Futures contracts | FlexShares Quality Dividend Index Fund | (1,049,245 | ) | (444,462 | ) | ||||||
Equity Index Futures Contracts | Net realized gain (loss) on Futures contracts, Net change in unrealized appreciation (depreciation) on Futures contracts | FlexShares Quality Dividend Defensive Index Fund | (215,689 | ) | (145,239 | ) | ||||||
Equity Index Futures Contracts | Net realized gain (loss) on Futures contracts, Net change in unrealized appreciation (depreciation) on Futures contracts | FlexShares Quality Dividend Dynamic Index Fund | (67,362 | ) | (9,379 | ) | ||||||
Equity Index Futures Contracts | Net realized gain (loss) on Futures contracts, Net change in unrealized appreciation (depreciation) on Futures contracts | FlexShares International Quality Dividend Index Fund | (599,470 | ) | (938,934 | ) | ||||||
Foreign Currency Contracts | Net realized gain (loss) on Foreign currency transactions, Net change in unrealized appreciation (depreciation) on Forward foreign currency contracts | FlexShares International Quality Dividend Index Fund | (142,796 | ) | 107,390 | |||||||
Equity Index Futures Contracts | Net realized gain (loss) on Futures contracts, Net change in unrealized appreciation (depreciation) on Futures contracts | FlexShares International Quality Dividend Defensive Index Fund | 100,137 | (75,267 | ) | |||||||
Foreign Currency Contracts | Net realized gain (loss) on Foreign currency transactions, Net change in unrealized appreciation (depreciation) on Forward foreign currency contracts | FlexShares International Quality Dividend Defensive Index Fund | (38,286 | ) | 2,017 |
434 | FLEXSHARES ANNUAL REPORT |
Table of Contents
Notes to the Financial Statements (cont.)
Derivatives by risk type | Location of Gain or (Loss) on Derivatives on the Statements of Operations | Fund | Realized Gain or (Loss) on Derivatives | Change in Unrealized Appreciation or (Depreciation) on Derivatives | ||||||||
Equity Index Futures Contracts | Net realized gain (loss) on Futures contracts, Net change in unrealized appreciation (depreciation) on Futures contracts | FlexShares International Quality Dividend Dynamic Index Fund | $ | 62,887 | $ | (26,865 | ) | |||||
Foreign Currency Contracts | Net realized gain (loss) on Foreign currency transactions, Net change in unrealized appreciation (depreciation) on Forward foreign currency contracts | FlexShares International Quality Dividend Dynamic Index Fund | (5,735 | ) | 192 | |||||||
Interest Rate Futures Contracts | Net realized gain (loss) on Futures contracts, Net change in unrealized appreciation (depreciation) on Futures contracts | FlexShares Core Select Bond Fund | 142,652 | (3,412 | ) |
At October 31, 2020, the volume of derivative activities, which represents activities throughout the period, was as follows:
Foreign Exchange Contracts | Equity Contracts | Interest Rate future | ||||||||||||||||||||||||||||||||||||||
Fund | Number of Trades | Average Notional Amount | Number of Trades Long | Average Notional Balance Long | Number of Trades Short | Average Notional Balance Short | Number of Trades Long | Average Notional Balance Long | Number of Trades Short | Average Notional Balance Short | ||||||||||||||||||||||||||||||
FlexShares US Quality Low Volatility Index Fund | — | $ | — | 7 | $ | 223,159 | — | $ | — | — | $ | — | — | $ | — | |||||||||||||||||||||||||
FlexShares Developed Markets Ex-US Quality Low Volatility Index Fund | 82 | 40,425 | 38 | 124,018 | — | — | — | — | — | — | ||||||||||||||||||||||||||||||
FlexShares Emerging Markets Quality Low Volatility Index Fund | — | — | 11 | 97,219 | — | — | — | — | — | — | ||||||||||||||||||||||||||||||
FlexShares Morningstar US Market Factor Tilt Index Fund | — | — | 184 | 581,777 | — | — | — | — | — | — | ||||||||||||||||||||||||||||||
FlexShares Morningstar Developed Markets ex-US Factor Tilt Index Fund | 231 | 533,183 | 225 | 459,239 | — | — | — | — | — | — | ||||||||||||||||||||||||||||||
FlexShares Morningstar Emerging Markets Factor Tilt Index Fund | 125 | 268,083 | 82 | 318,872 | — | — | — | — | — | — | ||||||||||||||||||||||||||||||
FlexShares Currency Hedged Morningstar DM ex-US Factor Tilt Index Fund | 325 | 525,611 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||
FlexShares Currency Hedged Morningstar EM Factor Tilt Index Fund | 619 | 213,438 | 5 | 49,300 | — | — | — | — | — | — |
FLEXSHARES ANNUAL REPORT | 435 |
Table of Contents
Notes to the Financial Statements (cont.)
Foreign Exchange Contracts | Equity Contracts | Interest Rate future | ||||||||||||||||||||||||||||||||||||||
Fund | Number of Trades | Average Notional Amount | Number of Trades Long | Average Notional Balance Long | Number of Trades Short | Average Notional Balance Short | Number of Trades Long | Average Notional Balance Long | Number of Trades Short | Average Notional Balance Short | ||||||||||||||||||||||||||||||
FlexShares US Quality Large Cap Index Fund | — | $ | — | 21 | $ | 199,759 | — | $ | — | — | $ | — | — | $ | — | |||||||||||||||||||||||||
FlexShares STOXX US ESG Impact Index Fund | — | — | 31 | 210,425 | — | — | — | — | — | — | ||||||||||||||||||||||||||||||
FlexShares STOXX Global ESG Impact Index Fund | 9 | 74,212 | 78 | 140,778 | — | — | — | — | — | — | ||||||||||||||||||||||||||||||
FlexShares Morningstar Global Upstream Natural Resources Index Fund | 369 | 853,163 | 385 | 771,931 | — | — | — | — | — | — | ||||||||||||||||||||||||||||||
FlexShares STOXX Global Broad Infrastructure Index Fund | 116 | 420,567 | 318 | 409,180 | — | — | — | — | — | — | ||||||||||||||||||||||||||||||
FlexShares Global Quality Real Estate Index Fund | 117 | 223,651 | 184 | 217,237 | — | — | — | — | — | — | ||||||||||||||||||||||||||||||
FlexShares Quality Dividend Index Fund | — | — | 105 | 1,130,782 | — | — | — | — | — | — | ||||||||||||||||||||||||||||||
FlexShares Quality Dividend Defensive Index Fund | — | — | 83 | 431,649 | — | — | — | — | — | — | ||||||||||||||||||||||||||||||
FlexShares Quality Dividend Dynamic Index Fund | — | — | 13 | 178,709 | — | — | — | — | — | — | ||||||||||||||||||||||||||||||
FlexShares International Quality Dividend Index Fund | 306 | 423,599 | 265 | 450,234 | — | — | — | — | — | — | ||||||||||||||||||||||||||||||
FlexShares International Quality Dividend Defensive Index Fund | 51 | 72,784 | 81 | 128,233 | — | — | — | — | — | — | ||||||||||||||||||||||||||||||
FlexShares International Quality Dividend Dynamic Index Fund | 29 | 30,894 | 45 | 100,168 | — | — | — | — | — | — | ||||||||||||||||||||||||||||||
FlexShares Core Select Bond Fund | — | — | — | — | — | — | 18 | 1,342,271 | — | — |
Taxes and Distributions
Each Fund has qualified and intends to continue to qualify as a regulated investment company by complying with the requirements under Subchapter M of the Internal Revenue Code of 1986, as amended, which includes distributing substantially all of its net investment income and net capital gains to shareholders. Accordingly, no provision for federal and state income taxes is required in the financial statements.
As of October 31, 2020, management of the Funds has reviewed all open tax years and major jurisdictions and
concluded that there is no tax liability resulting from unrecognized tax benefits relating to uncertain income tax positions taken or expected to be taken in future tax returns. The Funds are also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next 12 months. On an ongoing basis management will monitor the tax positions taken to determine if adjustment to conclusions are necessary based on factors including but not limited to further implementation on guidance expected from FASB and on-going analysis of tax law, regulation, and interpretations thereof.
436 | FLEXSHARES ANNUAL REPORT |
Table of Contents
Notes to the Financial Statements (cont.)
Dividends from net investment income, including any net foreign currency gains, are generally declared and paid by each Fund according to the following schedule:
Dividends from Net Investment Income | ||||||||||||
Fund | Declared And Paid | Declared And Paid | Declared And Paid | |||||||||
FlexShares US Quality Low Volatility Index Fund | x | |||||||||||
FlexShares Developed Markets ex-US Quality Low Volatility Index Fund | x | |||||||||||
FlexShares Emerging Markets Quality Low Volatility Index Fund | x | |||||||||||
FlexShares Morningstar US Market Factor Tilt Index Fund | x | |||||||||||
FlexShares Morningstar Developed Markets ex-US Factor Tilt Index Fund | x | |||||||||||
FlexShares Morningstar Emerging Markets Factor Tilt Index Fund | x | |||||||||||
FlexShares Currency Hedged Morningstar DM ex-US Factor Tilt Index Fund | x | |||||||||||
FlexShares Currency Hedged Morningstar EM Factor Tilt Index Fund | x | |||||||||||
FlexShares US Quality Large Cap Index Fund | x | |||||||||||
FlexShares STOXX® US ESG Impact Index Fund | x | |||||||||||
FlexShares STOXX® Global ESG Impact Index Fund | x |
Dividends from Net Investment Income | ||||||||||||
Fund | Declared And Paid | Declared And Paid | Declared And Paid | |||||||||
FlexShares Morningstar Global Upstream Natural Resources Index Fund | x | |||||||||||
FlexShares STOXX® Global Broad Infrastructure Index Fund | x | |||||||||||
FlexShares Global Quality Real Estate Index Fund | x | |||||||||||
FlexShares Real Assets Allocation Index Fund | �� | x | ||||||||||
FlexShares Quality Dividend Index Fund | x | |||||||||||
FlexShares Quality Dividend Defensive Index Fund | x | |||||||||||
FlexShares Quality Dividend Dynamic Index Fund | x | |||||||||||
FlexShares International Quality Dividend Index Fund | x | |||||||||||
FlexShares International Quality Dividend Defensive Index Fund | x | |||||||||||
FlexShares International Quality Dividend Dynamic Index Fund | x | |||||||||||
FlexShares iBoxx 3-Year Target Duration TIPS Index Fund | x | |||||||||||
FlexShares iBoxx 5-Year Target Duration TIPS Index Fund | x | |||||||||||
FlexShares Disciplined Duration MBS Index Fund | x |
FLEXSHARES ANNUAL REPORT | 437 |
Table of Contents
Notes to the Financial Statements (cont.)
Dividends from Net Investment Income | ||||||||||||
Fund | Declared And Paid | Declared And Paid | Declared And Paid | |||||||||
FlexShares Credit-Scored Scored US Corporate Bond Index Fund | x | |||||||||||
FlexShares Credit-Scored US Long Corporate Bond Index Fund | x | |||||||||||
FlexShares High Yield Value-Scored Bond Index Fund | x | |||||||||||
FlexShares Ready Access Variable Income Fund | x | |||||||||||
FlexShares Core Select Bond Fund | x |
Distribution of net realized securities gains, if any, generally are distributed at least annually. The Trust reserves the right to declare special distributions if, in its reasonable discretion, such action is necessary or advisable to improve tracking error, to preserve its status as a regulated investment company or to avoid imposition of income or excise taxes on undistributed income or realized gains. Tracking error is a measurement of how much the return on a portfolio deviates from the return on its benchmark index.
Dividends and securities gains distributions are distributed in U.S. dollars and cannot be automatically reinvested in additional shares of the Funds. The amount of distributions from net investment income and net realized gains are determined in accordance with federal income tax regulations, which may differ from GAAP. These “book/tax” differences are either considered temporary or permanent in nature. To the extent these differences are permanent in nature, such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales) do not require a reclassification. The Funds may utilize equalization accounting for tax purposes and designate earnings and profits, including net realized gains distributed to shareholders on redemption of shares, as a part of the dividends paid deduction for income tax purposes.
The Funds’ tax year end is October 31st and the tax character of current year distributions and current components of accumulated earnings (deficit) will be determined at the end of the current tax year.
Temporary differences are generally due to different book and tax treatments for the timing of the recognition of gains and losses on certain investment transactions, mark to market of forward foreign currency contracts, mark to market of futures contracts, mark to market of passive foreign investment companies (“PFICs”), non-taxable special dividends, wash sale loss deferrals and capital loss carryforward.
Permanent differences, primarily due to gain (loss) on in-kind redemptions, paydown loss reclassification, foreign currency gains and losses, forward foreign currency gains and losses, PFICs gains and losses, non-taxable special dividends, investments in partnerships, taxable over-distributions, foreign capital gains tax reclassification, perpetual bonds and equalization as of October 31, 2020 (the Funds’ tax year end), among the Funds’ components of net assets are as follows:
Fund | Accumulated undistributed net investment income (loss) | Accumulated net realized gain (loss) on investments | Paid in capital | |||||||||
FlexShares US Quality Low Volatility Index Fund | $ | — | $ | (179,481 ) | $ | 179,481 | ||||||
FlexShares Developed Markets ex-US Quality Low Volatility Index Fund | | 16,727 | | (16,727 ) | — | |||||||
FlexShares Emerging Markets Quality Low Volatility Index Fund | (4,218 ) | (41,239 ) | 45,457 | |||||||||
FlexShares Morningstar US Market Factor Tilt Index Fund | (58,867 ) | (143,941,062 ) | 143,999,929 | |||||||||
FlexShares Morningstar Developed Markets ex-US Factor Tilt Index Fund | 4,023,856 | 8,732,776 | (12,756,632 ) |
438 | FLEXSHARES ANNUAL REPORT |
Table of Contents
Notes to the Financial Statements (cont.)
Fund | Accumulated undistributed net investment income (loss) | Accumulated net realized gain (loss) on investments | Paid in capital | |||||||||
FlexShares Morningstar Emerging Markets Factor Tilt Index Fund | $ | 501,679 | $ | 2,329,698 | $ | (2,831,377 ) | ||||||
FlexShares Currency Hedged Morningstar DM ex-US Factor Tilt Index Fund | 168,773 | 113,923 | (282,696 ) | |||||||||
FlexShares Currency Hedged Morningstar EM Factor Tilt Index Fund | 327 | 64,386 | (64,713 ) | |||||||||
FlexShares US Quality Large Cap Index Fund | (7,636 ) | (1,685,045 ) | 1,692,681 | |||||||||
FlexShares STOXX® US ESG Impact Index Fund | 22 | (301,409 ) | 301,387 | |||||||||
FlexShares STOXX® Global ESG Impact Index Fund | 22,240 | (22,240 ) | — | |||||||||
FlexShares Morningstar Global Upstream Natural Resources Index Fund | 1,628,063 | (157,226,077 ) | 155,598,014 | |||||||||
FlexShares STOXX® Global Broad Infrastructure Index Fund | 233,219 | (13,975,629 ) | 13,742,410 | |||||||||
FlexShares Global Quality Real Estate Index Fund | 2,635,470 | (2,022,926 ) | (612,544 ) | |||||||||
FlexShares Real Assets Allocation Index Fund | 680 | 77,700 | (78,380 ) | |||||||||
FlexShares Quality Dividend Index Fund | (553,097 ) | (72,283,926 ) | 72,837,023 | |||||||||
FlexShares Quality Dividend Defensive Index Fund | (47,369 ) | (29,141,422 ) | 29,188,791 | |||||||||
FlexShares Quality Dividend Dynamic Index Fund | (11,887 ) | (3,189,654 ) | 3,201,541 | |||||||||
FlexShares International Quality Dividend Index Fund | (342,900 ) | 12,012 | 330,888 | |||||||||
FlexShares International Quality Dividend Defensive Index Fund | 50,498 | (645,985 ) | 595,487 | |||||||||
FlexShares International Quality Dividend Dynamic Index Fund | (36,940) | (585,957 ) | 622,897 | |||||||||
FlexShares iBoxx 3-Year Target Duration TIPS Index Fund | — | (3,167,733 ) | 3,167,733 | |||||||||
FlexShares iBoxx 5-Year Target Duration TIPS Index Fund | — | (4,981,712 ) | 4,981,712 | |||||||||
FlexShares Disciplined Duration MBS Index Fund | 859,264 | (859,264 ) | — | |||||||||
FlexShares Credit-Scored US Corporate Bond Index Fund | 62,236 | (69,182 ) | 6,946 | |||||||||
FlexShares Credit-Scored US Long Corporate Bond Index Fund | 2,148 | (3,512 ) | 1,364 | |||||||||
FlexShares High Yield Value-Scored Bond Index Fund | 300,573 | (320,558 ) | 19,985 | |||||||||
FlexShares Ready Access Variable Income Fund | 64,635 | (87,411 ) | 22,776 | |||||||||
FlexShares Core Select Bond Fund | 33,860 | (33,860 ) | — |
As of October 31, 2020, the tax character of distributions paid for the tax year ended October 31, 2020 and October 31, 2019, were as follows:
Year Ended October 31, 2020 | Year Ended October 31, 2019 | |||||||||||||||||||||||||||||||
Fund | Distributions paid from ordinary income | Distributions paid from net long term capital gains | Tax Return of Capital | Total Distributions | Distributions paid from ordinary income | Distributions paid from net long term capital gains | Tax Return of Capital | Total Distributions | ||||||||||||||||||||||||
FlexShares US Quality Low Volatility Index Fund* | $ | 643,733 | $ | — | $ | — | $ | 643,733 | $ | 12,079 | $ | — | $ | — | $ | 12,079 | ||||||||||||||||
FlexShares Developed Markets ex-US Quality Low Volatility Index Fund* | 864,658 | — | — | 864,658 | 17,800 | — | — | 17,800 |
FLEXSHARES ANNUAL REPORT | 439 |
Table of Contents
Notes to the Financial Statements (cont.)
Year Ended October 31, 2020 | Year Ended October 31, 2019 | |||||||||||||||||||||||||||||||
Fund | Distributions paid from ordinary income | Distributions paid from net long term capital gains | Tax Return of Capital | Total Distributions | Distributions paid from ordinary income | Distributions paid from net long term capital gains | Tax Return of Capital | Total Distributions | ||||||||||||||||||||||||
FlexShares Emerging Markets Quality Low Volatility Index Fund* | $ | 168,979 | $ | — | $ | — | $ | 168,979 | $ | 21,259 | $ | — | $ | — | $ | 21,259 | ||||||||||||||||
FlexShares Morningstar US Market Factor Tilt Index Fund | 23,509,426 | — | — | 23,509,426 | 23,379,823 | — | — | 23,379,823 | ||||||||||||||||||||||||
FlexShares Morningstar Developed Markets ex-US Factor Tilt Index Fund | 23,632,565 | — | — | 23,632,565 | 29,033,991 | — | — | 29,033,991 | ||||||||||||||||||||||||
FlexShares Morningstar Emerging Markets Factor Tilt Index Fund | 8,202,693 | — | — | 8,202,693 | 13,630,561 | — | — | 13,630,561 | ||||||||||||||||||||||||
FlexShares Currency Hedged Morningstar DM ex-US Factor Tilt Index Fund | 282,942 | — | — | 282,942 | 247,071 | — | — | 247,071 | ||||||||||||||||||||||||
FlexShares Currency Hedged Morningstar EM Factor Tilt Index Fund | 116,751 | — | — | 116,751 | 152,761 | — | — | 152,761 | ||||||||||||||||||||||||
FlexShares US Quality Large Cap Index Fund | 976,050 | — | — | 976,050 | 1,241,265 | — | — | 1,241,265 | ||||||||||||||||||||||||
FlexShares STOXX® US ESG Impact Index Fund | 1,145,374 | — | — | 1,145,374 | 688,327 | — | — | 688,327 | ||||||||||||||||||||||||
FlexShares STOXX® Global ESG Impact Index Fund | 1,663,474 | — | — | 1,663,474 | 1,626,069 | — | — | 1,626,069 | ||||||||||||||||||||||||
FlexShares Morningstar Global Upstream Natural Resources Index Fund | 122,625,164 | — | — | 122,625,164 | 190,017,355 | — | — | 190,017,355 | ||||||||||||||||||||||||
FlexShares STOXX® Global Broad Infrastructure Index Fund | 40,390,855 | — | — | 40,390,855 | 26,640,580 | — | — | 26,640,580 | ||||||||||||||||||||||||
FlexShares Global Quality Real Estate Index Fund | 14,558,175 | — | 168,159 | 14,726,334 | 9,305,846 | — | — | 9,305,846 | ||||||||||||||||||||||||
FlexShares Real Assets Allocation Index Fund | 278,767 | — | — | 278,767 | 306,154 | — | — | 306,154 | ||||||||||||||||||||||||
FlexShares Quality Dividend Index Fund | 41,958,188 | 9,070,567 | — | 51,028,755 | 45,971,017 | 23,559,180 | — | 69,530,197 | ||||||||||||||||||||||||
FlexShares Quality Dividend Defensive Index Fund | 12,460,723 | 3,670,468 | — | 16,131,191 | 9,711,281 | 12,581,459 | — | 22,292,740 | ||||||||||||||||||||||||
FlexShares Quality Dividend Dynamic Index Fund | 962,948 | — | — | 962,948 | 1,341,578 | — | — | 1,341,578 | ||||||||||||||||||||||||
FlexShares International Quality Dividend Index Fund | 22,159,155 | — | — | 22,159,155 | 38,665,442 | — | — | 38,665,442 | ||||||||||||||||||||||||
FlexShares International Quality Dividend Defensive Index Fund | 2,523,077 | — | — | 2,523,077 | 4,343,474 | — | — | 4,343,474 |
440 | FLEXSHARES ANNUAL REPORT |
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Notes to the Financial Statements (cont.)
Year Ended October 31, 2020 | Year Ended October 31, 2019 | |||||||||||||||||||||||||||||||
Fund | Distributions paid from ordinary income | Distributions paid from net long term capital gains | Tax Return of Capital | Total Distributions | Distributions paid from ordinary income | Distributions paid from net long term capital gains | Tax Return of Capital | Total Distributions | ||||||||||||||||||||||||
FlexShares International Quality Dividend Dynamic Index Fund | $ | 952,482 | $ | — | $ | — | $ | 952,482 | $ | 2,113,234 | $ | — | $ | — | $ | 2,113,234 | ||||||||||||||||
FlexShares iBoxx 3-Year Target Duration TIPS Index Fund | 12,627,726 | — | — | 12,627,726 | 25,965,622 | — | — | 25,965,622 | ||||||||||||||||||||||||
FlexShares iBoxx 5-Year Target Duration TIPS Index Fund | 5,908,902 | — | — | 5,908,902 | 11,908,603 | — | — | 11,908,603 | ||||||||||||||||||||||||
FlexShares Disciplined Duration MBS Index Fund | 1,754,929 | — | — | 1,754,929 | 1,969,840 | — | — | 1,969,840 | ||||||||||||||||||||||||
FlexShares Credit-Scored US Corporate Bond Index Fund | 3,976,789 | — | — | 3,976,789 | 2,860,050 | — | — | 2,860,050 | ||||||||||||||||||||||||
FlexShares Credit-Scored US Long Corporate Bond Index Fund | 1,038,434 | — | — | 1,038,434 | 997,024 | — | — | 997,024 | ||||||||||||||||||||||||
FlexShares High Yield Value-Scored Bond Index Fund | 9,992,636 | — | — | 9,992,636 | 3,203,781 | — | 826,269 | 4,030,050 | ||||||||||||||||||||||||
FlexShares Ready Access Variable Income Fund | 5,343,876 | — | — | 5,343,876 | 6,728,529 | — | — | 6,728,529 | ||||||||||||||||||||||||
FlexShares Core Select Bond Fund | 1,218,108 | — | — | 1,218,108 | 998,241 | — | — | 998,241 |
* | Commencement of operations on July 15, 2019 |
As of October 31, 2020, the components of accumulated earnings (deficit) on a tax basis were as follows:
Fund | Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | Accumulated Capital and Other Losses | Unrealized Appreciated/ (Depreciated) | ||||||||||||
FlexShares US Quality Low Volatility Index Fund | $ | 186,654 | $ | — | $ | (868,724 | ) | $ | 1,351,893 | |||||||
FlexShares Developed Markets ex-US Quality Low Volatility Index Fund | 210,288 | — | (1,708,254 | ) | (1,358,460 | ) | ||||||||||
FlexShares Emerging Markets Quality Low Volatility Index Fund | 3,087 | — | (545,534 | ) | 226,781 | |||||||||||
FlexShares Morningstar US Market Factor Tilt Index Fund | 2,441,895 | — | (79,096,116 | ) | 346,491,531 | |||||||||||
FlexShares Morningstar Developed Markets ex-US Factor Tilt Index Fund | 1,237,942 | — | (117,061,429 | ) | (20,847,816 | ) | ||||||||||
FlexShares Morningstar Emerging Markets Factor Tilt Index Fund | 310,507 | — | (78,011,005 | ) | 23,095,188 | |||||||||||
FlexShares Currency Hedged Morningstar DM ex-US Factor Tilt Index Fund | 168,259 | — | (1,128,408 | ) | (1,199,734 | ) | ||||||||||
FlexShares Currency Hedged Morningstar EM Factor Tilt Index Fund | — | — | (1,656,916 | ) | (513,673 | ) | ||||||||||
FlexShares US Quality Large Cap Index Fund | 133,627 | — | (3,507,400 | ) | 5,186,274 | |||||||||||
FlexShares STOXX® US ESG Impact Index Fund | 169,270 | — | (3,513,747 | ) | 15,503,359 | |||||||||||
FlexShares STOXX® Global ESG Impact Index Fund | 231,332 | — | (5,366,150 | ) | 16,828,960 |
FLEXSHARES ANNUAL REPORT | 441 |
Table of Contents
Notes to the Financial Statements (cont.)
Fund | Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | Accumulated Capital and Other Losses | Unrealized Appreciated/ (Depreciated) | ||||||||||||
FlexShares Morningstar Global Upstream Natural Resources Index Fund | $ | 3,856,377 | $ | — | $ | (977,574,435 | ) | $ | (312,240,280 | ) | ||||||
FlexShares STOXX® Global Broad Infrastructure Index Fund | 6,217,165 | — | (109,020,907 | ) | 66,642,620 | |||||||||||
FlexShares Global Quality Real Estate Index Fund | — | — | �� | (30,565,577 | ) | (20,687,726 | ) | |||||||||
FlexShares Real Assets Allocation Index Fund | — | — | (222,480 | ) | (400,344 | ) | ||||||||||
FlexShares Quality Dividend Index Fund | 3,478,156 | — | (9,917,370 | ) | 121,489,593 | |||||||||||
FlexShares Quality Dividend Defensive Index Fund | 1,413,421 | — | (19,971,345 | ) | 33,172,128 | |||||||||||
FlexShares Quality Dividend Dynamic Index Fund | 38,701 | — | (1,371,429 | ) | 1,148,529 | |||||||||||
FlexShares International Quality Dividend Index Fund | 563,890 | — | (189,294,945 | ) | (13,095,926 | ) | ||||||||||
FlexShares International Quality Dividend Defensive Index Fund | 174,900 | — | (28,653,075 | ) | (849,122 | ) | ||||||||||
FlexShares International Quality Dividend Dynamic Index Fund | 28,131 | — | (15,220,705 | ) | (928,652 | ) | ||||||||||
FlexShares iBoxx 3-Year Target Duration TIPS Index Fund | 4,357,438 | — | (55,778,871 | ) | 53,983,593 | |||||||||||
FlexShares iBoxx 5-Year Target Duration TIPS Index Fund | 1,572,839 | — | (10,210,702 | ) | 37,076,640 | |||||||||||
FlexShares Disciplined Duration MBS Index Fund | 241,890 | — | (3,262,828 | ) | 2,254,423 | |||||||||||
FlexShares Credit-Scored US Corporate Bond Index Fund | 1,142,900 | 2,226,406 | — | 7,354,495 | ||||||||||||
FlexShares Credit-Scored US Long Corporate Bond Index Fund | 564,279 | 1,322,735 | — | 1,866,078 | ||||||||||||
FlexShares High Yield Value-Scored Bond Index Fund | 1,114,591 | — | (4,549,296 | ) | (2,153,967 | ) | ||||||||||
FlexShares Ready Access Variable Income Fund | 474,950 | — | — | 2,914,402 | ||||||||||||
FlexShares Core Select Bond Fund | 437,947 | — | — | 2,150,603 |
Capital loss carry forwards will retain their character as either short-term or long-term capital losses rather than being considered all short-term as permitted under previous law and may be carried forward indefinitely to offset future gains.
For the tax year ended October 31, 2020, the following Funds had available post-enactment capital loss carryforwards to offset future net capital gains to the extent provided by regulations:
Fund | Short-Term | Long-Term | Total | |||||||||
FlexShares US Quality Low Volatility Index Fund | $ | 868,724 | $ | — | $ | 868,724 | ||||||
FlexShares Developed Markets ex-US Quality Low Volatility Index Fund | 1,607,357 | 100,897 | 1,708,254 |
Fund | Short-Term | Long-Term | Total | |||||||||
FlexShares Emerging Markets Quality Low Volatility Index Fund | $ | 453,959 | $ | 91,575 | $ | 545,534 | ||||||
FlexShares Morningstar US Market Factor Tilt Index Fund | 74,336,447 | 4,759,669 | 79,096,116 | |||||||||
FlexShares Morningstar Developed Markets ex-US Factor Tilt Index Fund | 34,291,099 | 82,770,330 | 117,061,429 |
442 | FLEXSHARES ANNUAL REPORT |
Table of Contents
Notes to the Financial Statements (cont.)
Fund | Short-Term | Long-Term | Total | |||||||||
FlexShares Morningstar Emerging Markets Factor Tilt Index Fund | $ | 30,327,169 | $ | 47,683,836 | $ | 78,011,005 | ||||||
FlexShares Currency Hedged Morningstar DM ex-US Factor Tilt Index Fund | 349,195 | 779,213 | 1,128,408 | |||||||||
FlexShares Currency Hedged Morningstar EM Factor Tilt Index Fund | 651,616 | 1,005,300 | 1,656,916 | |||||||||
FlexShares US Quality Large Cap Index Fund | 2,340,354 | 1,167,046 | 3,507,400 | |||||||||
FlexShares STOXX® US ESG Impact Index Fund | 3,337,576 | 176,171 | 3,513,747 | |||||||||
FlexShares STOXX® Global ESG Impact Index Fund | 4,113,294 | 1,252,856 | 5,366,150 | |||||||||
FlexShares Morningstar Global Upstream Natural Resources Index Fund | 228,889,023 | 748,685,412 | 977,574,435 | |||||||||
FlexShares STOXX® Global Broad Infrastructure Index Fund | 44,443,264 | 64,577,643 | 109,020,907 |
Fund | Short-Term | Long-Term | Total | |||||||||
FlexShares Global Quality Real Estate Index Fund | $ | 24,258,483 | $ | 6,307,094 | $ | 30,565,577 | ||||||
FlexShares Real Assets Allocation Index Fund | 37,266 | 185,214 | 222,480 | |||||||||
FlexShares Quality Dividend Index Fund | 9,917,370 | — | 9,917,370 | |||||||||
FlexShares Quality Dividend Defensive Index Fund | 19,971,345 | — | 19,971,345 | |||||||||
FlexShares Quality Dividend Dynamic Index Fund | 1,371,429 | — | 1,371,429 | |||||||||
FlexShares International Quality Dividend Index Fund | 116,530,912 | 72,764,033 | 189,294,945 | |||||||||
FlexShares International Quality Dividend Defensive Index Fund | 17,089,676 | 11,563,399 | 28,653,075 | |||||||||
FlexShares International Quality Dividend Dynamic Index Fund | 9,445,653 | 5,775,052 | 15,220,705 | |||||||||
FlexShares iBoxx 3-Year Target Duration TIPS Index Fund | 45,388,747 | 10,390,124 | 55,778,871 |
FLEXSHARES ANNUAL REPORT | 443 |
Table of Contents
Notes to the Financial Statements (cont.)
Fund | Short-Term | Long-Term | Total | |||||||||
FlexShares iBoxx 5-Year Target Duration TIPS Index Fund | $ | 8,131,316 | $ | 2,079,386 | $ | 10,210,702 | ||||||
FlexShares Disciplined Duration MBS Index Fund | 1,491,912 | 1,770,916 | 3,262,828 | |||||||||
FlexShares High Yield Value-Scored Bond Index Fund | 3,389,690 | 1,159,606 | 4,549,296 |
During the year ended October 31, 2020, the following Funds utilized capital loss carryforwards to offset net capital gains:
Fund | Capital Loss Utilized | |||
FlexShares US Quality Low Volatility Index Fund | $ | 528 | ||
FlexShares Currency Hedged Morningstar EM Factor Tilt Index Fund | 89,849 | |||
FlexShares US Quality Large Cap Index Fund | 657,433 | |||
FlexShares iBoxx 3-Year Target Duration TIPS Index Fund | 8,628,004 | |||
FlexShares iBoxx 5-Year Target Duration TIPS Index Fund | 4,553,288 | |||
FlexShares Credit-Scored US Long Corporate Bond Index Fund | 186,958 | |||
FlexShares Core Select Bond Fund | 372,766 |
The FlexShares US Quality Low Volatility Index Fund, FlexShares Developed Markets ex-US Quality Low Volatility Index Fund, FlexShares Emerging Markets Quality Low Volatility Index Fund, FlexShares Morningstar US Market Factor Tilt Index Fund, FlexShares Morningstar Developed Markets ex-US Factor Tilt Index Fund, FlexShares Morningstar Emerging Markets Factor Tilt Index Fund, FlexShares US Quality Large Cap Index Fund, FlexShares STOXX® Global ESG Impact Index Fund, FlexShares Morningstar Global Upstream Natural Resources Index Fund, FlexShares STOXX® Global Broad Infrastructure Index Fund, FlexShares Global Quality Real Estate Index Fund, FlexShares Quality Dividend Defensive Index Fund, FlexShares Quality Dividend Dynamic Index Fund, FlexShares International Quality Dividend Index Fund, FlexShares
International Quality Dividend Defensive Index Fund, and the FlexShares International Quality Dividend Dynamic Index Fund may be subject to foreign withholding taxes with respect to dividends or interest received from sources in foreign countries. If, at the close of the taxable year, more than 50% in value of a Fund’s assets consists of stock or securities in foreign corporations the Fund will be eligible to make an election to treat a proportionate amount of those taxes as constituting a distribution to each shareholder, which would allow all shareholders to either (1) credit that proportionate amount of taxes against U.S. Federal income tax liability as a foreign tax credit or (2) take that amount as an itemized deduction. If a Fund is not eligible to make this election or is eligible but does not make the election, it will be entitled to deduct such taxes in computing the amounts it is required to distribute.
3. Investment Transactions and Related Income and Expense
Throughout the reporting period, investment transactions are accounted for no later than one business day following the trade date. For financial reporting purposes, investment transactions are accounted for on the trade date on the last business day of the reporting period.
Interest income is recognized on an accrual basis. Bond discount is accreted and premium is amortized using the effective yield method. Dividend income is recorded on the ex-dividend date, or as soon as information is available. Gains or losses realized on sales of securities are determined using the specific identification method by comparing the identified cost of the security lot sold with the net sales proceeds.
Each Fund except the FlexShares iBoxx 3-Year Target Duration TIPs Index Fund, FlexShares iBoxx 5-Year Target Duration TIPs Index Fund and the FlexShares High Yield Value-Scored Bond Index Fund may hold the securities of real estate investment trusts (“REITs”). Distributions from such investments may be comprised of return of capital, capital gains and income. The actual character of amounts received during the year is not known until after the REIT’s fiscal year end. The Fund records the character of distributions received from REITs during the year based on
444 | FLEXSHARES ANNUAL REPORT |
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Notes to the Financial Statements (cont.)
estimates available. The characterization of distributions received by the Fund may be subsequently revised based on information received from the REITs after their tax reporting periods concluded.
All foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign markets in which a Fund invests. These foreign taxes, if any, are paid by the Funds and disclosed in the Statements of Operations. Foreign taxes payable, if any, are reflected in the Funds’ Statements of Assets and Liabilities.
Expenses directly attributable to a Fund are charged to that Fund, while expenses which are attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or another reasonable basis.
4. Investment Advisory Fees
NTI serves as the Investment Adviser of the Funds pursuant to the Investment Advisory Agreement. The Investment Adviser is responsible for making investment decisions for the Funds and for placing purchase and sale orders for portfolio securities, subject to the general supervision of the Board.
As compensation for its advisory services and assumption of certain Fund expenses, NTI is entitled to a unitary management fee (“Management Fee”), computed daily and payable monthly, at the annual rates set forth in the table below (expressed as a percentage of each Fund’s respective average daily net assets).
From the Management Fee, NTI pays most of the expenses of the Fund, including the cost of transfer agency, custody, fund administration, legal, audit and other services (“Covered Expenses”). Covered Expenses do not include the following fees under the Investment Advisory Agreement: interest expenses, brokerage commissions and other trading expenses, fees and expenses of the independent trustees and their independent legal counsel, taxes and other extraordinary costs such as litigation and other expenses not incurred in the ordinary course of business.
The Management Fee rate payable by each Fund is set forth in the following table:
Fund | Unitary Management Fee | |||
FlexShares US Quality Low Volatility Index Fund | 0.22 | % | ||
FlexShares Developed Markets ex-US Quality Low Volatility Index Fund | 0.32 | % | ||
FlexShares Emerging Markets Quality Low Volatility Index Fund | 0.40 | % | ||
FlexShares Morningstar US Market Factor Tilt Index Fund | 0.25 | % | ||
FlexShares Morningstar Developed Markets ex-US Factor Tilt Index Fund | 0.39 | % | ||
FlexShares Morningstar Emerging Markets Factor Tilt Index Fund | 0.59 | % | ||
FlexShares Currency Hedged Morningstar DM ex-US Factor Tilt Index Fund | 0.44 | % | ||
FlexShares Currency Hedged Morningstar EM Factor Tilt Index Fund | 0.64 | % | ||
FlexShares US Quality Large Cap Index Fund | 0.32 | % | ||
FlexShares STOXX® US ESG Impact Index Fund | 0.32 | % | ||
FlexShares STOXX® Global ESG Impact Index Fund | 0.42 | % | ||
FlexShares Morningstar Global Upstream Natural Resources Index Fund | 0.46 | % | ||
FlexShares STOXX® Global Broad Infrastructure Index Fund | 0.47 | % | ||
FlexShares Global Quality Real Estate Index Fund | 0.45 | % | ||
FlexShares Real Assets Allocation Index Fund | 0.57 | % | ||
FlexShares Quality Dividend Index Fund | 0.37 | % | ||
FlexShares Quality Dividend Defensive Index Fund | 0.37 | % | ||
FlexShares Quality Dividend Dynamic Index Fund | 0.37 | % | ||
FlexShares International Quality Dividend Index Fund | 0.47 | % |
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Notes to the Financial Statements (cont.)
Fund | Unitary Management Fee | |||
FlexShares International Quality Dividend Defensive Index Fund | 0.47 | % | ||
FlexShares International Quality Dividend Dynamic Index Fund | 0.47 | % | ||
FlexShares iBoxx 3-Year Target Duration TIPS Index Fund | 0.18 | % | ||
FlexShares iBoxx 5-Year Target Duration TIPS Index Fund | 0.18 | % | ||
FlexShares Disciplined Duration MBS Index Fund | 0.20 | % | ||
FlexShares Credit-Scored US Corporate Bond Index Fund | 0.22 | % | ||
FlexShares Credit-Scored US Long Corporate Bond Index Fund | 0.22 | % | ||
FlexShares High Yield Value-Scored Bond Index Fund | 0.37 | % | ||
FlexShares Ready Access Variable Income Fund | 0.25 | % | ||
FlexShares Core Select Bond Fund | 0.35 | % |
Effective March 1, 2020, the Investment Adviser has contractually agreed until March 1, 2021, to reimburse a portion of the operating expenses for each Fund (other than acquired fund fees and expenses (“AFFE”)) so the “Total Annual Fund Operating Expenses After Expense Reimbursement” do not exceed the Fund’s Management Fee plus (+) .0049%. In the case of the FlexShares Currency Hedged Morningstar DM ex-US Factor Tilt Index Fund, FlexShares Currency Hedged Morningstar EM Factor Tilt Index Fund and FlexShares Real Assets Allocation Index Fund, the Investment Adviser has contractually agreed until March 1, 2021 to waive Management Fees or reimburse certain expenses in an amount equal to AFFE attributable to each Fund’s investments in their respective Underlying Fund(s). In the case of the FlexShares Core Select Bond Fund, the Investment Adviser has contractually agreed until March 1, 2021 to waive Management Fees or reimburse certain expenses in an amount equal to the sum of (a) any AFFE incurred by the Fund that are attributable to the Fund’s investment in Underlying Funds managed by NTI or an investment adviser controlling, controlled by, or under common control with NTI (“Affiliated Funds”); and (b)
0.05% or such lesser amount in AFFE incurred by the Fund that are attributable to the Fund’s investment in Underlying Funds that are not Affiliated Funds. AFFE are expenses incurred indirectly by the Fund through its ownership of shares in other investment companies. Because AFFE are not direct expenses of the Fund, they are not reflected on the Fund’s financial statements. After these dates, the Investment Adviser and a Fund may mutually agree to extend the contractual arrangements. The Board may terminate the contractual arrangements at any time if it determines that it is in the best interest of a Fund and its shareholders. These expenses and the reimbursements are shown as “Investment advisory fees reimbursed” on the Statements of Operations.
In addition, effective October 29, 2018, NTI contractually agreed to reimburse the Funds for certain other fees and
expenses that are not Covered Expenses. These fees and expenses and the reimbursements are shown as Other expenses and Other expenses reimbursed, respectively, in the Statements of Operations.
The Investment Adviser may voluntarily waive or reimburse additional management fees. Amounts waived or reimbursed by the Investment Adviser may not be recouped by the Investment Adviser. These waivers and/or reimbursements are shown as Expenses waived and/or reimbursed by Advisor on the Statements of Operations.
5. Administration Fees
JPMorgan Chase Bank, N.A. (“the Administrator”) serves as administrator of the Funds. The Administrator provides certain administrative services to the Funds. For these services, the Administrator is entitled to certain fees and reasonable out-of-pocket expenses. These fees and expenses are Covered Expenses as defined above.
6. Custodian Fees
JPMorgan Chase Bank, N.A. (the “Custodian”) acts as custodian for the Funds in accordance with a Global Custody Agreement. The Custodian holds cash, securities and other assets of the Funds as required by the 1940 Act. As compensation for the services rendered under the agreement, the Custodian is entitled to fees and reasonable out-of-pocket expenses. These fees and expenses are Covered Expenses as defined above.
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Notes to the Financial Statements (cont.)
7. Trustees Fees
The Trust compensates each Trustee who is not an officer, director or employee of Northern Trust Corporation, or its subsidiaries, for his or her services as a Trustee of the Trust and as a member of Board committees.
From March 1, 2019, or, with respect to the FlexShares US Quality Low Volatility Index Fund, FlexShares Developed Markets ex-US Quality Low Volatility Index Fund, and FlexShares Emerging Markets Quality Low Volatility Index Fund (collectively, the “New Funds”), from June 25, 2019, NTI had contractually agreed to reimburse each Fund its proportionate share of the expenses relating to the administration of the deferred compensation plan (“DC Plan”) for the Trust’s independent trustees allocated to such Fund. These reimbursement arrangements terminated March 1, 2020.
The Trust has adopted a DC Plan for its Trustees who are not officers of Northern Trust or NTI. Under the DC Plan, Independent Trustees may elect to defer all or a portion of their compensation. The amount deferred is adjusted periodically based upon the performance of the investment options selected by the Trustees. The investment options currently under the DC Plan are the FlexShares Morningstar US Market Factor Tilt Index Fund, FlexShares Morningstar Emerging Markets Factor Tilt Index Fund, FlexShares Morningstar Global Upstream Natural Resources Index Fund, FlexShares Global Quality Real Estate Index Fund, FlexShares Quality Dividend Index Fund, FlexShares iBoxx 5-Year Target Duration TIPS Index Fund, and the FlexShares Ready Access Variable Income Fund. Expenses related to the DC Plan are stated on the Statements of Operations.
8. Distribution and Service Plan
Foreside Fund Services, LLC (the “Distributor”) serves as the Funds’ distributor and distributes Creation Units (as described in Note 9) for each Fund on an agency basis. The Distributor does not receive a fee from the Funds for its distribution services. However, it receives compensation from NTI for its services as distributor pursuant to a separate letter agreement between it and NTI.
The Trust has adopted a Distribution and Service Plan (“the Plan”) pursuant to Rule 12b-1 under the 1940 Act. Payments to financial intermediaries under the Plan are tied directly to their own out-of-pocket expenses. The Plan has not been implemented with respect to the Funds. The Plan may not be implemented without further Board approval. The maximum distribution fee is 0.25% of each Fund’s respective average daily net assets under the Plan. The Funds did not pay any 12b-1 fees during the fiscal year.
9. Issuance and Redemption of Fund Shares
Each Fund only issues and redeems shares to Authorized Participants in exchange for the deposit or delivery of a basket of assets (securities and/or cash), in large blocks known as Creation Units, each of which is comprised of a specified number of shares.
Retail investors may only purchase and sell fund shares on a national securities exchange through a broker-dealer and such transactions may be subject to customary commission rates imposed by the broker-dealer.
Authorized Participants may pay transaction fees to offset transfer and other transaction costs associated with the issuance and redemption of Creation Units. The transaction fees are paid directly to the Fund and used to offset Fund custody fees. Certain fees or costs associated with Creation Unit purchases may be paid by NTI in certain circumstances. In addition, the Trust may from time to time waive the standard transaction fee. The net custody fees charged to the Fund are paid for by the Investment Adviser through the Fund’s Unitary Fee. Transaction fees remaining in the Funds were as follows:
Fund | As of October 31, 2020 | As of October 31, 2019 | ||||||
FlexShares US Quality Low Volatility Index Fund | $ | 3,150 | $ | 350 | ||||
FlexShares Developed Markets ex-US Quality Low Volatility Index Fund | 6,750 | — | ||||||
FlexShares Emerging Markets Quality Low Volatility Index Fund | — | — |
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Fund | As of October 31, 2020 | As of October 31, 2019 | ||||||
FlexShares Morningstar US Market Factor Tilt Index Fund | $ | 21,000 | $ | 7,500 | ||||
FlexShares Morningstar Developed Markets ex-US Factor Tilt Index Fund | 80,000 | 40,000 | ||||||
FlexShares Morningstar Emerging Markets Factor Tilt Index Fund | — | 150,000 | ||||||
FlexShares US Quality Large Cap Index Fund | 3,000 | 2,500 | ||||||
FlexShares STOXX® US ESG Impact Index Fund | 1,400 | 1,750 | ||||||
FlexShares STOXX® Global ESG Impact Index Fund | 7,500 | 7,500 | ||||||
FlexShares Morningstar Global Upstream Natural Resources Index Fund | 21,000 | 19,500 | ||||||
FlexShares STOXX® Global Broad Infrastructure Index Fund | 26,000 | 24,000 | ||||||
FlexShares Global Quality Real Estate Index Fund | 12,000 | 6,000 | ||||||
FlexShares Quality Dividend Index Fund | 10,550 | 8,250 | ||||||
FlexShares Quality Dividend Defensive Index Fund | 4,950 | 9,750 | ||||||
FlexShares Quality Dividend Dynamic Index Fund | 1,100 | 1,500 | ||||||
FlexShares International Quality Dividend Index Fund | 15,000 | 30,000 | ||||||
FlexShares International Quality Dividend Defensive Index Fund | 5,000 | 10,000 | ||||||
FlexShares International Quality Dividend Dynamic Index Fund | 5,000 | 5,000 | ||||||
FlexShares Disciplined Duration MBS Index Fund | 4,800 | 800 | ||||||
FlexShares Credit-Scored US Corporate Bond Index Fund | 4,000 | 500 | ||||||
FlexShares Credit-Scored US Long Corporate Bond Index Fund | 500 | 500 | ||||||
FlexShares High Yield Value-Scored Bond Index Fund | 3,000 | 3,000 | ||||||
FlexShares Ready Access Variable Income Fund | 3,675 | 1,225 |
The FlexShares Currency Hedged Morningstar DM ex-US Factor Tilt Index Fund, FlexShares Currency Hedged Morningstar EM Factor Tilt Index Fund, FlexShares Real Assets Allocation Index Fund, FlexShares iBoxx 3-Year Target Duration TIPS Index Fund, FlexShares iBoxx 5-Year Target Duration TIPS Index Fund and the FlexShares Core Select Bond Fund do not charge standard creation unit transaction fees.
10. Investment Transactions
For the year ended October 31, 2020, the FlexShares iBoxx 3-Year Target Duration TIPS Index, FlexShares iBoxx 5-Year Target Duration TIPS Index and FlexShares Disciplined Duration MBS Index Funds invested solely in U.S. Government securities. The cost of securities purchased by each Fund and proceeds from sales of securities, excluding short-term securities, derivatives and in-kind transactions for the year ended October 31, 2020, were as follows:
Fund | Purchases | Sales | ||||||
FlexShares US Quality Low Volatility Index Fund | $ | 25,350,137 | $ | 24,825,417 | ||||
FlexShares Developed Markets ex-US Quality Low Volatility Index Fund | 28,262,893 | 23,720,947 | ||||||
FlexShares Emerging Markets Quality Low Volatility Index Fund | 8,503,274 | 4,964,887 | ||||||
FlexShares Morningstar US Market Factor Tilt Index Fund | 331,376,493 | 331,107,519 | ||||||
FlexShares Morningstar Developed Markets ex-US Factor Tilt Index Fund | 147,496,744 | 228,373,487 | ||||||
FlexShares Morningstar Emerging Markets Factor Tilt Index Fund | 116,040,190 | 249,601,085 | ||||||
FlexShares Currency Hedged Morningstar DM ex-US Factor Tilt Index Fund | 745,976 | 742,222 | ||||||
FlexShares Currency Hedged Morningstar EM Factor Tilt Index Fund | 140,253 | 99,902 | ||||||
FlexShares US Quality Large Cap Index Fund | 27,907,133 | 28,038,516 |
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Notes to the Financial Statements (cont.)
Fund | Purchases | Sales | ||||||
FlexShares STOXX® US ESG Impact Index Fund | $ | 47,251,278 | $ | 46,752,153 | ||||
FlexShares STOXX® Global ESG Impact Index Fund | 57,753,388 | 56,832,871 | ||||||
FlexShares Morningstar Global Upstream Natural Resources Index Fund | 1,125,300,655 | 1,327,898,450 | ||||||
FlexShares STOXX® Global Broad Infrastructure Index Fund | 243,759,523 | 212,364,372 | ||||||
FlexShares Global Quality Real Estate Index Fund | 181,434,887 | 186,378,217 | ||||||
FlexShares Real Assets Allocation Index Fund | 1,252,320 | 1,251,698 | ||||||
FlexShares Quality Dividend Index Fund | 1,087,615,991 | 1,084,591,714 | ||||||
FlexShares Quality Dividend Defensive Index Fund | 345,378,689 | 342,123,106 | ||||||
FlexShares Quality Dividend Dynamic Index Fund | 21,956,408 | 22,136,643 | ||||||
FlexShares International Quality Dividend Index Fund | 415,628,107 | 478,748,180 | ||||||
FlexShares International Quality Dividend Defensive Index Fund | 49,622,583 | 52,562,205 | ||||||
FlexShares International Quality Dividend Dynamic Index Fund | 26,922,410 | 32,671,057 | ||||||
FlexShares iBoxx 3-Year Target Duration TIPS Index Fund | 893,089,589 | 892,429,115 | ||||||
FlexShares iBoxx 5-Year Target Duration TIPS Index Fund | 358,151,064 | 360,562,570 | ||||||
FlexShares Disciplined Duration MBS Index Fund† | 177,612,805 | 114,274,298 |
Fund | Purchases | Sales | ||||||
FlexShares Credit-Scored US Corporate Bond Index Fund | $ | 186,637,601 | $ | 88,126,721 | ||||
FlexShares Credit-Scored US Long Corporate Bond Index Fund†† | 51,406,762 | 24,591,187 | ||||||
FlexShares High Yield Value-Scored Bond Index Fund | 237,905,656 | 146,799,405 | ||||||
FlexShares Ready Access Variable Income Fund††† | 372,797,125 | 226,715,899 | ||||||
FlexShares Core Select Bond Fund | 56,514,471 | 55,578,197 |
† | Include $1,197,984 in purchases and $1,197,938 in sales in U.S. Government Securities. |
†† | Include $107,938 in purchases and $115,051 in sales in U.S. Government Securities. |
††† | Include $87,061,821 in purchases and $74,120,880 in sales in U.S. Government Securities. |
11. In-Kind Transactions
During the year ended October 31, 2020, certain Funds received securities in exchange for subscriptions of shares (subscriptions-in-kind). For the year ended October 31, 2020, the fair value of the securities received for subscriptions for each Fund was as follows:
Fund | Fair Value | |||
FlexShares US Quality Low Volatility Index Fund | $ | 106,699,158 | ||
FlexShares Developed Markets ex-US Quality Low Volatility Index Fund | 58,606,291 | |||
FlexShares Emerging Markets Quality Low Volatility Index Fund | 1,733,696 | |||
FlexShares Morningstar US Market Factor Tilt Index Fund | 27,812,324 | |||
FlexShares US Quality Large Cap Index Fund | 27,118,183 | |||
FlexShares STOXX® US ESG Impact Index Fund | 27,908,362 | |||
FlexShares STOXX® Global ESG Impact Index Fund | 14,203,396 | |||
FlexShares Morningstar Global Upstream Natural Resources Index Fund | 7,243,101 | |||
FlexShares STOXX® Global Broad Infrastructure Index Fund | 615,324,780 |
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Notes to the Financial Statements (cont.)
Fund | Fair Value | |||
FlexShares Global Quality Real Estate Index Fund | $ | 76,762,517 | ||
FlexShares Quality Dividend Index Fund | 143,778,475 | |||
FlexShares Quality Dividend Defensive Index Fund | 118,491,221 | |||
FlexShares International Quality Dividend Index Fund | 7,054,352 | |||
FlexShares International Quality Dividend Defensive Index Fund | 2,698,972 | |||
FlexShares International Quality Dividend Dynamic Index Fund | 7,239,496 | |||
FlexShares iBoxx 3-Year Target Duration TIPS Index Fund | 333,387,716 | |||
FlexShares iBoxx 5-Year Target Duration TIPS Index Fund | 118,726,110 | |||
FlexShares Core Select Bond Fund | 80,334,647 |
During the year ended October 31, 2020, certain Funds delivered securities in exchange for redemption of shares (redemptions-in-kind). For financial reporting purposes, the Funds recorded net realized gains and losses in connection with each transaction. For the year ended October 31, 2020, the fair value and realized gain (losses) of the securities transferred for redemptions for each Fund were as follows:
Fund | Fair Value | Net Realized Gains(Losses) | ||||||
FlexShares US Quality Low Volatility Index Fund | $ | 3,697,294 | $ | 179,563 | ||||
FlexShares Emerging Markets Quality Low Volatility Index Fund | 568,395 | 45,457 | ||||||
FlexShares Morningstar US Market Factor Tilt Index Fund | 301,744,435 | 143,772,323 | ||||||
FlexShares Morningstar Developed Markets ex-US Factor Tilt Index Fund | 236,010,227 | (10,764,876 | ) | |||||
FlexShares Morningstar Emerging Markets Factor Tilt Index Fund | 27,375,549 | (2,553,863 | ) |
Fund | Fair Value | Net Realized Gains(Losses) | ||||||
FlexShares Currency Hedged Morningstar DM ex-US Factor Tilt Index Fund | $ | 1,073,217 | $ | (238,044 | ) | |||
FlexShares Currency Hedged Morningstar EM Factor Tilt Index Fund | 2,046,228 | 6,143 | ||||||
FlexShares US Quality Large Cap Index Fund | 10,269,686 | 1,691,602 | ||||||
FlexShares STOXX® US ESG Impact Index Fund | 1,466,972 | 301,364 | ||||||
FlexShares Morningstar Global Upstream Natural Resources Index Fund | 1,578,732,467 | 163,069,598 | ||||||
FlexShares STOXX® Global Broad Infrastructure Index Fund | 108,745,358 | 13,934,341 | ||||||
FlexShares Global Quality Real Estate Index Fund | 84,338,190 | 774,393 | ||||||
FlexShares Real Assets Allocation Index Fund | 5,501,392 | (48,630 | ) | |||||
FlexShares Quality Dividend Index Fund | 451,381,152 | 72,751,426 | ||||||
FlexShares Quality Dividend Defensive Index Fund | 122,977,357 | 29,212,604 | ||||||
FlexShares Quality Dividend Dynamic Index Fund | 34,437,164 | 3,185,913 | ||||||
FlexShares International Quality Dividend Index Fund | 177,460,423 | 452,131 | ||||||
FlexShares International Quality Dividend Defensive Index Fund | 10,365,532 | 721,519 | ||||||
FlexShares International Quality Dividend Dynamic Index Fund | 22,143,175 | 623,943 | ||||||
FlexShares iBoxx 3-Year Target Duration TIPS Index Fund | 151,042,256 | 3,275,464 | ||||||
FlexShares iBoxx 5-Year Target Duration TIPS Index Fund | 116,424,219 | 5,057,819 |
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Notes to the Financial Statements (cont.)
12. Guarantees and Indemnifications
In the normal course of business each Fund enters into contracts with third-party service providers that contain a variety of representations and warranties and that provide general indemnifications. Additionally, under the Funds’ organizational documents, the officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. The Funds’ maximum exposure under these arrangements is unknown, as it involves possible future claims that may or may not be made against the Funds.
13. New Accounting Pronouncements
In March 2020, the FASB issued Accounting Standards Update (ASU) 2020-04, Reference Rate Reform (Topic 848) “Facilitation of the Effects of Reference Rate Reform on Financial Reporting” (“ASU 2020-04”), which provides optional temporary financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of the London Interbank Offered Rate (“LIBOR”) and other interbank-offered based reference rates as of the end of 2021. The new guidance is effective for certain reference rate-related contract modifications that occur during the period March 12, 2020 through December 31, 2022, and the adoption of ASU 2020-04 is elective. Management is currently evaluating the impact, if any, of applying ASU 2020-04.
On March 30, 2017, the FASB issued Accounting Standards Update (ASU) 2017-08 “Premium Amortization on Purchased Callable Debt Securities”, which amends the amortization period for certain purchased callable debt securities held at premium, shortening such period to the earliest call date. The new guidance requires an entity to amortize the premium on a callable debt security within its scope to the earliest call date, unless the guidance for considering estimated prepayments as described above is applied. If the call option is not exercised at the earliest call date, the yield is reset to the effective yield using the payment terms of the security. If the security has more than one call date and the premium was amortized to a call price greater than the next call price, any excess of the amortized cost basis over the amount repayable at the next call date will be amortized to
that date. If there are no other call dates, any excess of the amortized cost basis over the par amount will be amortized to maturity. The ASU 2017-08 is effective for public business entities for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2018. The Funds have adopted the ASU. The ASU did not have a material impact on the Funds.
14. LIBOR Transition
Certain of the Funds’ investments, payment obligations and financing terms may be based on floating rates, such as LIBOR, Euro Interbank Offered Rate and other similar types of reference rates (each, a “Reference Rate”). On July 27, 2017, the Chief Executive of the UK Financial Conduct Authority (FCA), which regulates LIBOR, announced that the FCA will no longer persuade nor compel banks to submit rates for the calculation of LIBOR and certain other Reference Rates after 2021. Such announcement indicates that the continuation of LIBOR and other Reference Rates on the current basis cannot and will not be guaranteed after 2021. The transition away from Reference Rates may lead to increased volatility and illiquidity in markets that are tied to such Reference Rates and reduced values of Reference Rate-related investments. This announcement and any additional regulatory or market changes may have an adverse impact on a Fund’s investments, performance or financial condition. Until then, the Funds may continue to invest in instruments that reference such rates or otherwise use such Reference Rates due to favorable liquidity or pricing.
15. Legal Proceedings
On or about February 14, 2020, Marc S. Kirschner, as Trustee for NWHI Litigation Trust (the “Trust”), and Wilmington Savings Fund Society, FSB, as successor indenture trustee for various notes issued by Nine West Holdings, Inc. (together with the Trustee, “Plaintiffs”), filed separate complaints in the United States District Court for the Northern District of Illinois (case nos. 20-cv-01129 and 20-cv-01136, respectively) against a group of defendants that includes the FlexShares Morningstar US Market Factor Tilt Index Fund in its capacity as a former public shareholder of The Jones Group Inc. (“Jones Group”). The claims in these actions
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Notes to the Financial Statements (cont.)
stem from a series of merger transactions (“Transactions”) entered into by Jones Group in 2014 that allegedly rendered Jones Group insolvent. The FlexShares Morningstar US Market Factor Tilt Index Fund allegedly received $224,910 as a result of the Transactions. The Plaintiffs seek to clawback these proceeds for the benefit of the Trust and the noteholders on the basis that they allegedly were fraudulent conveyances.
During the quarter ended June 30, 2020, the Judicial Panel on Multidistrict Litigation ordered the transfer of these actions and several substantially similar actions filed in other districts to the Southern District of New York for consolidated pre-trial proceedings. On June 29, 2020, the former public shareholder defendants, including FlexShares Morningstar US Market Factor Tilt Index Fund, filed a motion to dismiss on the basis that the payments made to them in connection with the Transactions were shielded from the fraudulent conveyance claims under Section 546(e) of the Bankruptcy Code. On August 27, 2020, all fraudulent conveyance claims against the former public shareholder defendants were dismissed. Plaintiffs are currently in the process of appealing from that decision.
Since it is presently not possible to determine the outcome of these matters, no provision has been made in the financial statements for their ultimate resolution. In management of the Funds’ opinion, the final resolution of the above legal matters will not have a material adverse effect on the Funds’ financial statements. The Funds intend to vigorously defend these actions.
16. Coronavirus (COVID-19) Pandemic
The outbreak of a respiratory disease caused by a novel coronavirus was first detected in December 2019 and has spread internationally. The outbreak and efforts to contain its spread have resulted in closing borders and quarantines, restricting international and domestic travel, enhanced health screenings, cancellations, disrupted supply chains and customer activity, responses by businesses (including changes to operations and reducing staff), and have produced general concern and uncertainty. The impact of the coronavirus pandemic, and other epidemics and pandemics that may arise in the future could adversely affect national
and global economies, individual companies and the market in general in a manner and for a period of time that cannot be foreseen at the present time and may adversely affect the value, volatility and liquidity of securities held by a Fund. In addition, during periods of market disruption or other abnormal market conditions, the Funds’ exposure to the risks described in their respective prospectuses and statements of additional information will likely increase. In the event of a pandemic or an outbreak, there can be no assurance that the Funds and their service providers will be able to maintain normal business operations for an extended period of time or will not lose the services of key personnel on a temporary or long-term basis due to illness or other reasons, and could otherwise disrupt the ability of the Fund’s service providers to perform essential services. Certain economic and market conditions arising out of a pandemic or outbreak could result in a Fund’s inability to achieve its investment objectives, cause the postponement of reconstitution or rebalance dates for benchmark or underlying indices, adversely affect the prices and liquidity of the securities and other instruments in which a Fund invests, negatively impact a Fund’s performance, and cause losses on your investment in a Fund. Management is monitoring the development of the pandemic, which was ongoing as of the date of the financial statements and is evaluating its impact on the financial position and operating results of the Funds.
17. Subsequent Events
Management has evaluated subsequent events for the Funds through the date the financial statements were issued and has concluded that there are no recognized or non-recognized subsequent events relevant for financial statement disclosure, other than the item noted below.
At a Board meeting held on December 11, 2020, the Board approved the liquidation and termination of the FlexShares Currency Hedged Morningstar DM ex-US Factor Tilt Index Fund and FlexShares Currency Hedged Morningstar EM Factor Tilt Index Fund. These Funds will be liquidated and terminated on or about January 29, 2021. The liquidation date may be changed at the discretion of the Trust’s officers.
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Report of Independent Registered Public Accounting Firm
To the Shareholders and Board of Trustees of FlexShares® Trust
Opinion on the Financial Statements and Financial Highlights
We have audited the accompanying statements of assets and liabilities of FlexShares® Trust, comprising the funds listed in the table below (collectively, the “Funds”), including the schedules of investments, as of October 31, 2020, the related statements of operations, the statements of changes in net assets, and the financial highlights for each of the periods listed in the table below, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of each of the funds constituting FlexShares® Trust as of October 31, 2020, and the results of their operations, the changes in their net assets, and the financial highlights for each of the periods listed in the table below in conformity with accounting principles generally accepted in the United States of America.
Fund Name(s) | Statement of Operations | Statements of Changes in Net Assets | Financial Highlights | |||
FlexShares® Morningstar US Market Factor Tilt Index Fund FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund FlexShares® Morningstar Global Upstream Natural Resources Index Fund FlexShares® STOXX® Global Broad Infrastructure Index Fund FlexShares® Global Quality Real Estate Index Fund FlexShares® Quality Dividend Index Fund FlexShares® Quality Dividend Defensive Index Fund FlexShares® Quality Dividend Dynamic Index Fund FlexShares® International Quality Dividend Index Fund FlexShares® International Quality Dividend Defensive Index Fund FlexShares® International Quality Dividend Dynamic Index Fund FlexShares® iBoxx 3-Year Target Duration TIPS Index Fund FlexShares® iBoxx 5-Year Target Duration TIPS Index Fund FlexShares® Disciplined Duration MBS Index Fund FlexShares® Ready Access Variable Income Fund FlexShares® US Quality Large Cap Index Fund FlexShares® Credit-Scored US Long Corporate Bond Index Fund FlexShares® Credit-Scored US Corporate Bond Index Fund | For the year ended October 31, 2020 | For the years ended October 31, 2020 and 2019 | For the years ended October 31, 2020, 2019, 2018, 2017, and 2016 | |||
FlexShares® Currency Hedged Morningstar DM ex-US Factor Tilt Index Fund FlexShares® Currency Hedged Morningstar EM Factor Tilt Index Fund | For the year ended October 31, 2020 | For the years ended October 31, 2020 and 2019 | For the years ended October 31, 2020, 2019, 2018, 2017 and for the period from November 9, 2015 (commencement of operations) through October 31, 2016 | |||
FlexShares® Real Assets Allocation Index Fund | For the year ended October 31, 2020 | For the years ended October 31, 2020 and 2019 | For the years ended October 31, 2020, 2019, 2018, 2017 and for the period from November 23, 2015 (commencement of operations) through October 31, 2016 |
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Fund Name(s) | Statement of Operations | Statements of Changes in Net Assets | Financial Highlights | |||
FlexShares® STOXX® US ESG Impact Index Fund FlexShares® STOXX® Global ESG Impact Index Fund | For the year ended October 31, 2020 | For the years ended October 31, 2020 and 2019 | For the years ended October 31, 2020, 2019, 2018, 2017 and for the period from July 13, 2016 (commencement of operations) through October 31, 2016 | |||
FlexShares® High Yield Value-Scored Bond Index Fund | For the year ended October 31, 2020 | For the years ended October 31, 2020 and 2019 | For the years ended October 31, 2020, 2019 and for the period from July 17, 2018 (commencement of operations) through October 31, 2018 | |||
FlexShares® Core Select Bond Fund | For the year ended October 31, 2020 | For the years ended October 31, 2020 and 2019 | For the years ended October 31, 2020, 2019, 2018 and for the period from November 18, 2016 (commencement of operations) through October 31, 2017 | |||
FlexShares® US Quality Low Volatility Index Fund FlexShares® Developed Markets ex-US Quality Low Volatility Index Fund FlexShares® Emerging Markets Quality Low Volatility Index Fund | For the year ended October 31, 2020 | For the year ended October 31, 2020 and for the period from July 15, 2019 (commencement of operations) through October 31, 2019 | For the year ended October 31, 2020 and for the period from July 15, 2019 (commencement of operations) through October 31, 2019 |
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion.
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Report of Independent Registered Public Accounting Firm (cont.)
Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of October 31, 2020, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/ DELOITTE & TOUCHE LLP
Chicago, Illinois
December 21, 2020
We have served as the auditor of one or more Northern Trust investment companies since 2002.
FLEXSHARES ANNUAL REPORT | 455 |
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Tax Information October 31, 2020 (Unaudited)
QUALIFIED DIVIDEND INCOME (QDI)
Under the Jobs and Growth Tax Relief Reconciliation Act of 2003 (the “Act”), the following percentages of ordinary dividends paid during the fiscal year ended October 31, 2020 are designated as “qualified dividend income”, as defined in the Act, subject to reduced tax rates in 2020:
Fund | QDI PERCENTAGE | |||
FlexShares US Quality Low Volatility Index Fund | 100.00 | % | ||
FlexShares Developed Markets Ex-US Quality Low Volatility Index Fund | 100.00 | |||
FlexShares Emerging Markets Quality Low Volatility Index Fund | 69.05 | |||
FlexShares Morningstar US Market Factor Tilt Index Fund | 82.24 | |||
FlexShares Morningstar Developed Markets ex-US Factor Tilt Index Fund | 52.12 | |||
FlexShares Morningstar Emerging Markets Factor Tilt Index Fund | 51.83 | |||
FlexShares Currency Hedged Morningstar DM ex-US Factor Tilt Index Fund | 41.90 | |||
FlexShares Currency Hedged Morningstar EM Factor Tilt Index Fund | 47.71 | |||
FlexShares US Quality Large Cap Index Fund | 100.00 | |||
FlexShares STOXX® US ESG Impact Index Fund | 98.47 | |||
FlexShares STOXX® Global ESG Impact Index Fund | 100.00 | |||
FlexShares Morningstar Global Upstream Natural Resources Index Fund | 82.53 | |||
FlexShares STOXX® Global Broad Infrastructure Index Fund | 81.08 | |||
FlexShares Global Quality Real Estate Index Fund | 7.96 | |||
FlexShares Real Assets Allocation Index Fund | 41.24 | |||
FlexShares Quality Dividend Index Fund | 81.07 | |||
FlexShares Quality Dividend Defensive Index Fund | 90.73 | |||
FlexShares Quality Dividend Dynamic Index Fund | 78.17 | |||
FlexShares International Quality Dividend Index Fund | 67.09 |
Fund | QDI PERCENTAGE | |||
FlexShares International Quality Dividend Defensive Index Fund | 72.75 | % | ||
FlexShares International Quality Dividend Dynamic Index Fund | 70.10 |
CORPORATE DIVIDENDS RECEIVED
DEDUCTION (DRD)
A percentage of the dividends distributed during the fiscal year for the following Funds qualifies for the dividends received deduction for corporate shareholders:
Fund | CORPORATE DRD PERCENTAGE | |||
FlexShares US Quality Low Volatility Index Fund | 100.00 | % | ||
FlexShares Emerging Markets Quality Low Volatility Index Fund | 0.01 | |||
FlexShares Morningstar US Market Factor Tilt Index Fund | 78.75 | |||
FlexShares Morningstar Emerging Markets Factor Tilt Index Fund | 0.03 | |||
FlexShares Currency Hedged Morningstar EM Factor Tilt Index Fund | 0.03 | |||
FlexShares US Quality Large Cap Index Fund | 100.00 | |||
FlexShares STOXX® US ESG Impact Index Fund | 95.15 | |||
FlexShares STOXX® Global ESG Impact Index Fund | 61.63 | |||
FlexShares Morningstar Global Upstream Natural Resources Index Fund | 30.51 | |||
FlexShares STOXX® Global Broad Infrastructure Index Fund | 43.06 | |||
FlexShares Global Quality Real Estate Index Fund | 0.13 | |||
FlexShares Real Assets Allocation Index Fund | 18.37 | |||
FlexShares Quality Dividend Index Fund | 79.82 | |||
FlexShares Quality Dividend Defensive Index Fund | 88.98 | |||
FlexShares Quality Dividend Dynamic Index Fund | 75.77 |
456 | FLEXSHARES ANNUAL REPORT |
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Tax Information (cont.)
FOREIGN TAX CREDIT
Each Fund below intends to make an election that will allow its shareholders to treat their proportionate share of foreign taxes paid by the Fund as having been paid by them. The amounts per share, which represent income from sources within, and taxes paid to foreign countries, are as follows:
Fund | TAXES | INCOME | ||||||
FlexShares Developed Markets Ex-US Quality Low Volatility Index Fund | $ | 0.0421 | $ | 0.4149 | ||||
FlexShares Emerging Markets Quality Low Volatility Index Fund | 0.0685 | 0.4444 | ||||||
FlexShares Morningstar Developed Markets ex-US Factor Tilt Index Fund | 0.1335 | 1.9043 | ||||||
FlexShares Morningstar Emerging Markets Factor Tilt Index Fund | 0.1810 | 1.4637 | ||||||
FlexShares Currency Hedged Morningstar DM ex-US Factor Tilt Index Fund | 0.0494 | 0.6629 | ||||||
FlexShares Currency Hedged Morningstar EM Factor Tilt Index Fund | 0.0986 | 0.7074 | ||||||
FlexShares Morningstar Global Upstream Natural Resources Index Fund | 0.0345 | 0.7868 | ||||||
FlexShares STOXX Global Broad Infrastructure Index Fund | 0.0369 | 0.6948 | ||||||
FlexShares Real Assets Allocation Index Fund | 0.0251 | 0.4577 | ||||||
FlexShares International Quality Dividend Index Fund | 0.0724 | 1.0549 | ||||||
FlexShares International Quality Dividend Defensive Index Fund | 0.0754 | 0.8909 | ||||||
FlexShares International Quality Dividend Dynamic Index Fund | 0.0690 | 1.0196 |
FLEXSHARES ANNUAL REPORT | 457 |
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As a shareholder, you incur two types of costs:
(1) Transaction costs for purchasing and selling shares and (2) ongoing costs, including advisory and other Fund expenses. The expense examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other funds.
Actual Expenses
The actual expense examples are based on an investment of $1,000 invested at the beginning of a six month period and held through the period ended October 31, 2020.
The first line under each Fund in the following tables provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The hypothetical expense examples are based on an investment of $1,000 invested at the beginning of a six month period and held through the period ended October 31, 2020.
The second line under each Fund in the following table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as brokerage commissions on purchases or sales of Fund shares. Therefore, the second line for each Fund in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.
Beginning Account Value | Ending Account Value 10/31/20 | Expenses Paid During the Period* | Annualized Expense Ratio During Period | |||||||||||||
FlexShares® US Quality Low Volatility Index Fund |
| |||||||||||||||
Actual | $ | 1,000.00 | $ | 1,090.90 | $ | 1.21 | 0.23 | % | ||||||||
Hypothetical | $ | 1,000.00 | $ | 1,023.98 | $ | 1.17 | 0.23 | % | ||||||||
FlexShares® Developed Markets ex-US Quality Low Volatility Index Fund |
| |||||||||||||||
Actual | $ | 1,000.00 | $ | 1,030.50 | $ | 1.68 | 0.33 | % | ||||||||
Hypothetical | $ | 1,000.00 | $ | 1,023.48 | $ | 1.68 | 0.33 | % | ||||||||
FlexShares® Emerging Markets Quality Low Volatility Index Fund |
| |||||||||||||||
Actual | $ | 1,000.00 | $ | 1,115.90 | $ | 2.18 | 0.41 | % | ||||||||
Hypothetical | $ | 1,000.00 | $ | 1,023.08 | $ | 2.08 | 0.41 | % |
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Fund Expenses (cont.)
Beginning Account Value | Ending Account Value 10/31/20 | Expenses Paid During the Period* | Annualized Expense Ratio During Period | |||||||||||||
FlexShares® Morningstar US Market Factor Tilt Index Fund |
| |||||||||||||||
Actual | $ | 1,000.00 | $ | 1,149.90 | $ | 1.41 | 0.26 | % | ||||||||
Hypothetical | $ | 1,000.00 | $ | 1,023.83 | $ | 1.32 | 0.26 | % | ||||||||
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund |
| |||||||||||||||
Actual | $ | 1,000.00 | $ | 1,087.70 | $ | 2.10 | 0.40 | % | ||||||||
Hypothetical | $ | 1,000.00 | $ | 1,023.13 | $ | 2.03 | 0.40 | % | ||||||||
FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund |
| |||||||||||||||
Actual | $ | 1,000.00 | $ | 1,154.30 | $ | 3.19 | 0.59 | % | ||||||||
Hypothetical | $ | 1,000.00 | $ | 1,022.17 | $ | 3.00 | 0.59 | % | ||||||||
FlexShares® Currency Hedged Morningstar DM ex-US Factor Tilt Index Fund(a) |
| |||||||||||||||
Actual | $ | 1,000.00 | $ | 1,056.00 | $ | 0.31 | 0.06 | % | ||||||||
Hypothetical | $ | 1,000.00 | $ | 1,024.83 | $ | 0.31 | 0.06 | % | ||||||||
FlexShares® Currency Hedged Morningstar EM Factor Tilt Index Fund(a) |
| |||||||||||||||
Actual | $ | 1,000.00 | $ | 1,148.60 | $ | 0.32 | 0.06 | % | ||||||||
Hypothetical | $ | 1,000.00 | $ | 1,024.83 | $ | 0.31 | 0.06 | % | ||||||||
FlexShares® US Quality Large Cap Index Fund |
| |||||||||||||||
Actual | $ | 1,000.00 | $ | 1,105.40 | $ | 1.75 | 0.33 | % | ||||||||
Hypothetical | $ | 1,000.00 | $ | 1,023.48 | $ | 1.68 | 0.33 | % | ||||||||
FlexShares® STOXX® US ESG Impact Index Fund |
| |||||||||||||||
Actual | $ | 1,000.00 | $ | 1,134.50 | $ | 1.77 | 0.33 | % | ||||||||
Hypothetical | $ | 1,000.00 | $ | 1,023.48 | $ | 1.68 | 0.33 | % | ||||||||
FlexShares® STOXX® Global ESG Impact Index Fund |
| |||||||||||||||
Actual | $ | 1,000.00 | $ | 1,120.50 | $ | 2.29 | 0.43 | % | ||||||||
Hypothetical | $ | 1,000.00 | $ | 1,022.97 | $ | 2.19 | 0.43 | % | ||||||||
FlexShares® Morningstar Global Upstream Natural Resources Index Fund |
| |||||||||||||||
Actual | $ | 1,000.00 | $ | 1,042.40 | $ | 2.36 | 0.46 | % | ||||||||
Hypothetical | $ | 1,000.00 | $ | 1,022.82 | $ | 2.34 | 0.46 | % | ||||||||
FlexShares® STOXX® Global Broad Infrastructure Index Fund |
| |||||||||||||||
Actual | $ | 1,000.00 | $ | 1,060.20 | $ | 2.49 | 0.48 | % | ||||||||
Hypothetical | $ | 1,000.00 | $ | 1,022.72 | $ | 2.44 | 0.48 | % | ||||||||
FlexShares® Global Quality Real Estate Index Fund |
| |||||||||||||||
Actual | $ | 1,000.00 | $ | 1,012.80 | $ | 2.33 | 0.46 | % | ||||||||
Hypothetical | $ | 1,000.00 | $ | 1,022.82 | $ | 2.34 | 0.46 | % |
FLEXSHARES ANNUAL REPORT | 459 |
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Fund Expenses (cont.)
Beginning Account Value | Ending Account Value 10/31/20 | Expenses Paid During the Period* | Annualized Expense Ratio During Period | |||||||||||||
FlexShares® Real Assets Allocation Index Fund(a) |
| |||||||||||||||
Actual | $ | 1,000.00 | $ | 1,045.80 | $ | 0.57 | 0.11 | % | ||||||||
Hypothetical | $ | 1,000.00 | $ | 1,024.58 | $ | 0.56 | 0.11 | % | ||||||||
FlexShares® Quality Dividend Index Fund |
| |||||||||||||||
Actual | $ | 1,000.00 | $ | 1,090.10 | $ | 2.00 | 0.38 | % | ||||||||
Hypothetical | $ | 1,000.00 | $ | 1,023.23 | $ | 1.93 | 0.38 | % | ||||||||
FlexShares® Quality Dividend Defensive Index Fund |
| |||||||||||||||
Actual | $ | 1,000.00 | $ | 1,063.80 | $ | 1.97 | 0.38 | % | ||||||||
Hypothetical | $ | 1,000.00 | $ | 1,023.23 | $ | 1.93 | 0.38 | % | ||||||||
FlexShares® Quality Dividend Dynamic Index Fund |
| |||||||||||||||
Actual | $ | 1,000.00 | $ | 1,130.70 | $ | 1.98 | 0.37 | % | ||||||||
Hypothetical | $ | 1,000.00 | $ | 1,023.28 | $ | 1.88 | 0.37 | % | ||||||||
FlexShares® International Quality Dividend Index Fund |
| |||||||||||||||
Actual | $ | 1,000.00 | $ | 1,075.70 | $ | 2.45 | 0.47 | % | ||||||||
Hypothetical | $ | 1,000.00 | $ | 1,022.77 | $ | 2.39 | 0.47 | % | ||||||||
FlexShares® International Quality Dividend Defensive Index Fund |
| |||||||||||||||
Actual | $ | 1,000.00 | $ | 1,072.50 | $ | 2.50 | 0.48 | % | ||||||||
Hypothetical | $ | 1,000.00 | $ | 1,022.72 | $ | 2.44 | 0.48 | % | ||||||||
FlexShares® International Quality Dividend Dynamic Index Fund |
| |||||||||||||||
Actual | $ | 1,000.00 | $ | 1,083.50 | $ | 2.51 | 0.48 | % | ||||||||
Hypothetical | $ | 1,000.00 | $ | 1,022.72 | $ | 2.44 | 0.48 | % | ||||||||
FlexShares® iBoxx 3-Year Target Duration TIPS Index Fund |
| |||||||||||||||
Actual | $ | 1,000.00 | $ | 1,036.40 | $ | 0.97 | 0.19 | % | ||||||||
Hypothetical | $ | 1,000.00 | $ | 1,024.18 | $ | 0.97 | 0.19 | % | ||||||||
FlexShares® iBoxx 5-Year Target Duration TIPS Index Fund |
| |||||||||||||||
Actual | $ | 1,000.00 | $ | 1,041.50 | $ | 0.98 | 0.19 | % | ||||||||
Hypothetical | $ | 1,000.00 | $ | 1,024.18 | $ | 0.97 | 0.19 | % | ||||||||
FlexShares® Disciplined Duration MBS Index Fund |
| |||||||||||||||
Actual | $ | 1,000.00 | $ | 1,012.40 | $ | 1.06 | 0.21 | % | ||||||||
Hypothetical | $ | 1,000.00 | $ | 1,024.08 | $ | 1.07 | 0.21 | % | ||||||||
FlexShares® Credit-Scored US Corporate Bond Index Fund |
| |||||||||||||||
Actual | $ | 1,000.00 | $ | 1,050.70 | $ | 1.19 | 0.23 | % | ||||||||
Hypothetical | $ | 1,000.00 | $ | 1,023.98 | $ | 1.17 | 0.23 | % |
460 | FLEXSHARES ANNUAL REPORT |
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Fund Expenses (cont.)
Beginning Account Value | Ending Account Value 10/31/20 | Expenses Paid During the Period* | Annualized Expense Ratio During Period | |||||||||||||
FlexShares® Credit-Scored US Long Corporate Bond Index Fund |
| |||||||||||||||
Actual | $ | 1,000.00 | $ | 1,055.50 | $ | 1.19 | 0.23 | % | ||||||||
Hypothetical | $ | 1,000.00 | $ | 1,023.98 | $ | 1.17 | 0.23 | % | ||||||||
FlexShares® High Yield Value-Scored Bond Index Fund |
| |||||||||||||||
Actual | $ | 1,000.00 | $ | 1,124.20 | $ | 2.03 | 0.38 | % | ||||||||
Hypothetical | $ | 1,000.00 | $ | 1,023.23 | $ | 1.93 | 0.38 | % | ||||||||
FlexShares® Ready Access Variable Income Fund |
| |||||||||||||||
Actual | $ | 1,000.00 | $ | 1,015.50 | $ | 1.32 | 0.26 | % | ||||||||
Hypothetical | $ | 1,000.00 | $ | 1,023.83 | $ | 1.32 | 0.26 | % | ||||||||
FlexShares® Core Select Bond Fund(a) |
| |||||||||||||||
Actual | $ | 1,000.00 | $ | 1,021.10 | $ | 0.97 | 0.19 | % | ||||||||
Hypothetical | $ | 1,000.00 | $ | 1,024.18 | $ | 0.97 | 0.19 | % |
* | Expenses are equal to the average account value over the period multiplied by the Fund’s annualized expense ratio, multiplied by the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year (to reflect the one half year period). |
(a) | Annualized expense ratio and expenses paid during the period do not include fees and expenses of the Underlying Fund(s) in which the Fund invests. |
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Trustees and Officers (Unaudited)
NON-INTERESTED TRUSTEES | ||||||||||||
Name, Address(1) and Age | Position(s) Held with the Trust | Term of Office and | Principal Occupation(s) During Past 5 Years | Number of Funds in Fund by Trustee | Other Directorships Held by Trustee(4) | |||||||
Sarah N. Garvey Age: 68 | Trustee | July 2011 to present | • Chairman of the Board of Navy Pier from 2011 to 2013 and Member of the Board since 2011; • Member of the Board of Directors of The Civic Federation since 2004; • Member of the Executive Committee and Chairman of the Audit Committee since 2017 and Trustee of the Art Institute of Chicago since 2011. | 29 | None | |||||||
Philip G. Hubbard Age: 69 | Trustee | July 2011 to present | • Managing Partner of Solidian Fund, LP and Solidian Management, LLC (a fund of hedge funds platform for family and friends investments) since 2001; • President of Hubbard Management Group, LLC (a personal investment vehicle) since 2001; • Chairman of the Board of Trustees of the Wheaton College Trust Company, N. A. since 2004; • Member of the Board of Trustees of Wheaton College since 1998; • Chairman of the Board of Directors of the English Language Institute/China (a nonprofit educational organization) since 1993; • Member of the Board of First Cup, LLC (restaurant franchising) since 2014. | 29 | None |
462 | FLEXSHARES ANNUAL REPORT |
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Trustees and Officers (cont.)
Name, Address(1) and Age | Position(s) Held with the Trust | Term of Office and | Principal Occupation(s) During Past 5 Years | Number of Funds in Fund by Trustee | Other Directorships Held by Trustee(4) | |||||||
Eric T. McKissack Age: 66 | Trustee and Chairman | July 2011 to present | • CEO Emeritus and Founder; CEO and Founder from 2004 to 2019 of Channing Capital Management, LLC (an SEC registered investment adviser); • Member of the Board of Trustees, the Investment Committee, and the Finance Committee of the Art Institute of Chicago since 2002; • Member of the Board of Grand Victoria Foundation since 2011; • Member of the Board of the Graham Foundation since 2014. | 29 | Morgan Stanley Pathway Funds (formerly, Consulting Group Capital Markets Funds) (11 Portfolios) Since April 2013 | |||||||
INTERESTED TRUSTEE | ||||||||||||
Darek Wojnar(5) Age: 55 | Trustee | December 2018 to present | • Director and Executive Vice President, Head of Funds and Managed Accounts, Northern Trust Investments Inc. since 2018; • Managing Member of the Wojnar Group LLC (a publishing industry consulting company) since 2013; • Head of Exchange-Traded Funds at Hartford Funds from 2016 to 2017 and Managing Director of Lattice Strategies LLC from 2014 to 2016; • Managing Director and Head of US iShares Product at BlackRock (including Barclays Global Investors acquired by BlackRock) from 2005 to 2013 and the Equity Long/Short Opportunities Fund (formerly, NT Equity Long/Short Strategies Fund) from 2011 to 2019. | 29 | Northern Funds (43 Portfolios) since January 1, 2019 and Northern Institutional Funds (6 Portfolios) since January 1, 2019 |
(1) | Each Non-Interested Trustee may be contacted by writing to the Trustee, c/o Paulita Pike, Ropes & Gray LLP, 191 North Wacker Drive, 32nd Floor, Chicago, IL 60606. Mr. Wojnar may be contacted by writing to him at 50 S. LaSalle St., Chicago, IL 60603. |
(2) | Each Trustee will hold office for an indefinite term until the earliest of: (i) the next meeting of shareholders, if any, called for the purpose of considering the election or re-election of such Trustee and until the election and qualification of his or her successor, if any, elected at such meeting; or (ii) the date a Trustee resigns or retires, or a Trustee is removed by the Board or shareholders, in accordance with the Trust’s Agreement and Declaration of Trust. |
(3) | The “Fund Complex” consists of the Trust. |
(4) | This column includes only directorships of companies required to report to the SEC under the Securities Exchange Act of 1934, as amended (i.e., public companies) or other investment companies registered under the 1940 Act. |
(5) | An “interested person,” as defined by the 1940 Act. Mr. Wojnar is deemed to be an “interested” Trustee because he is an officer of NTI and its parent company. |
The Statement of Additional Information (“SAI”) includes additional information about the Trust’s Trustees and is available, without charge, upon request by contacting the Fund directly at (855) 933-6287.
FLEXSHARES ANNUAL REPORT | 463 |
Table of Contents
Trustees and Officers (cont.)
OFFICERS | ||||||
Name, Address and Age | Position(s) the Trust | Term of Office(1) and Length of Time Served | Principal Occupation(s) During Past 5 Years | |||
Darlene Chappell Age: 57 50 South LaSalle Street Chicago, IL 60603 | Anti-Money Laundering Officer | July 2011 to present | • Anti-Money Laundering Compliance Officer for Northern Trust Investments, Inc., Northern Trust Securities, Inc., Northern Funds, Northern Institutional Funds, and Alpha Core Strategies Fund (formerly NT Alpha Strategies Fund) since 2009, Equity Long/Short Opportunities Fund (formerly NT Equity Long/ Short Strategies Fund) since 2011 and 50 South Capital Advisors, LLC since 2015 and Belvedere Advisors LLC since September 2019; Vice President and Compliance Consultant for The Northern Trust Company since 2006; Anti-Money Laundering Compliance Officer for Northern Trust Company of Connecticut from 2009 to 2013. | |||
Susan W. Yee Age: 50 70 Fargo Street, Boston, MA 02110 | Assistant Secretary | October 2014 to present | • Vice President, Regulatory Services Group, J.P. Morgan Chase Bank, N.A. since 1994, in various positions. | |||
Jonathan Chung Age: 31 50 South LaSalle Street Chicago, IL 60603 | Vice President | June 2020 to present | • Second Vice President – ETF Product Manager, Northern Trust Asset Management, since July 2015; Field Supervisor from April 2015 to July 2015 and Staff Auditor I-II from June 2012 to April 2015, National Futures Association. | |||
Jose J. Del Real Age: 42 50 South LaSalle Street Chicago, IL 60603 | Secretary | December 2018 to present | • Senior Legal Counsel and Senior Vice President, Asset Management Practice Group of the Legal Department of The Northern Trust Company since March 2017; Senior Legal Counsel and Vice President, Asset Management Practice Group of the Legal Department of The Northern Trust Company from August 2015 to March 2017; Assistant Secretary of Northern Trust Investments, Inc. since 2016; Legal Counsel and Vice President, Asset Management Practice Group of the Legal Department of The Northern Trust Company from 2014 until 2015; Secretary of Northern Funds and Northern Institutional Funds since November 2018; Assistant Secretary of Northern Funds and Northern Institutional Funds from 2011 to 2014 and from May 2015 to November 2018; Assistant Secretary of FlexShares Trust from June 2015 to December 2018. | |||
Maya Teufel Age: 48 50 South LaSalle Street Chicago, IL 60603 | Chief Compliance Officer | July 2019 to present | • Chief Compliance Officer of FlexShares Trust since July 2019; Chief Compliance Officer of Northern Trust Investments, Inc. since July 2019; Co-Head of U.S. Regulatory Compliance Group of Goldman Sachs Asset Management, LP from September 2016 to June 2019; General Counsel and Chief Compliance Officer of Emerging Global Advisors, LLC from November 2013 to August 2016; and Vice President and Corporate Counsel of Jennison Associates LLC from July 2005 to November 2013. | |||
Randal E. Rein Age: 50 50 South LaSalle Street Chicago, IL 60603 | Treasurer and Principal Financial Officer | July 2011 to present | • Senior Vice President of Northern Trust Investments, Inc. since 2010; Treasurer of Northern Funds and Northern Institutional Funds since 2008; Treasurer of Alpha Core Strategies Fund from 2008 to 2018; Treasurer of Equity Long/Short Opportunities Fund from 2011 to 2018. |
464 | FLEXSHARES ANNUAL REPORT |
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Trustees and Officers (cont.)
Name, Address and Age | Position(s) the Trust | Term of Office(1) and Length of Time Served | Principal Occupation(s) During Past 5 Years | |||
Peter K. Ewing Age: 61 50 South LaSalle Street Chicago, IL 60603 | President | March 2017 to present | • President of Northern Funds, Northern Institutional Funds and the Trust since March 2017; Vice President of the Trust from July 2011 to February 2017; Director of Product Management, ETFs & Mutual Funds, and Director of Northern Trust Investments, Inc. since March 2017; Senior Vice President, The Northern Trust Company and Northern Trust Investments, Inc., since September 2010; Director of ETF Product Management, Northern Trust Investments, Inc. from September 2010 to February 2017. | |||
Peter J. Flood Age: 62 50 South LaSalle Street Chicago, IL 60603 | Vice President | July 2011 to present | • Director of ETF Investment Strategy, Northern Trust Investments, Inc. since 2010; Portfolio Manager, Northern Trust Investments, Inc. from 2007 to 2014. | |||
Craig R. Carberry, Esq. Age: 59 50 South LaSalle Street Chicago, IL 60603 | Chief Legal Officer | June 2019 to present | • Chief Legal Officer and Secretary of Northern Trust Investments, Inc. since May 2000; Chief Compliance Officer of Northern Trust Investments, Inc. from October 2015 to June 2017; Chief Legal Officer and Secretary of 50 South Capital Advisors, LLC since 2015; Chief Legal Officer and Secretary of Belvedere Advisors LLC since September 2019; Associate General Counsel and Senior Vice President at The Northern Trust Company since June 2015; Assistant General Counsel and U.S. Funds General Counsel at The Northern Trust Company from July 2014 to June 2015; Senior Legal Counsel and U.S. Funds General Counsel at The Northern Trust Company from 2000-2014; Secretary of Alpha Core Strategies Fund (formerly NT Alpha Strategies Fund) since 2004; Secretary of Equity Long/Short Opportunities Fund (formerly NT Equity Long/Short Strategies Fund) from 2011-2109; Secretary of Northern Institutional Funds and Northern Funds from 2010-2018; Secretary of FlexShares Trust from 2011-2018. | |||
Christopher P. Fair Age: 38 50 South LaSalle Street Chicago, IL 60603 | Vice President | June 2019 to present | • Vice President, The Northern Trust Company since March 2020; ETF Services Manager, Northern Trust Investments, Inc. since June 2019; Second Vice President, The Northern Trust Company from November 2015 to March 2020; ETF Product Manager, Northern Trust Investments, Inc. from November 2015 to June 2019; Fund Administration Supervisor, Calamos Investments LLC from February 2015 to November 2015; Senior Mutual Fund Accountant, Calamos Investments LLC from February 2009 to January 2015. |
(1) | Officers hold office at the pleasure of the Board until their successors are duly elected and qualified, or until they die, resign, are removed or become disqualified. |
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Approval of Advisory Agreement (Unaudited)
The Board of Trustees (the “Board”) of the FlexShares Trust (the “Trust”) oversees the management of the Trust and each separate series of the Trust covered in this report (each, a “Fund” and, collectively, the “Funds”) and, as required by law, determines whether to approve the Trust’s investment advisory and ancillary services agreement (the “Advisory Agreement”) with Northern Trust Investments, Inc. (the “Adviser”), an indirect subsidiary of the Northern Trust Corporation.
* * * * *
At a meeting on June 12, 2020 (the “June Meeting”), the Board, including all of the Trustees who are not parties to the Advisory Agreement or interested persons of any such party (the “Independent Trustees”), considered whether to approve the continuation of the Advisory Agreement between the Adviser and the Trust, on behalf of each Fund.1
In advance of, and in preparation for, the Trustees’ consideration of the Advisory Agreement at the June Meeting, the Trustees received written materials relating to the Advisory Agreement and had the opportunity to ask questions and request further information in connection with their consideration. At the June Meeting, the Trustees considered the Adviser’s presentations and discussed all of the information that had been provided. Among other things, the Board considered comparisons with other funds in relevant peer universes and peer groups that had been objectively determined by Broadridge Financial Solutions, Inc. (“Broadridge”), an independent provider of fund data, which included, among other things, the following information: (1) a description of the types of funds chosen by Broadridge to compare to each Fund; (2) comparative performance data for each Fund; (3) data on each Fund’s expenses and fees; and (4) comparative fee data for each Fund’s respective peer group, including comparisons of advisory fees and total expense ratios. In considering the Advisory Agreement, the Independent Trustees met with their independent legal counsel separately from the “interested” Trustee of the Trust and officers and employees of the Adviser. After evaluating all the materials, the
1 | The June Meeting was held via telephonic and video conference in reliance on an exemptive order issued by the Securities and Exchange Commission (the “SEC”) on March 25, 2020. |
Trustees, including the Independent Trustees, concluded that the Advisory Agreement was in the best interest of each of the Funds and their shareholders and approved the continuation of the Advisory Agreement on behalf of the Funds.
The material factors and conclusions that formed the basis for the Trustees reaching their determination to approve the continuation of the Advisory Agreement are separately discussed below.
Nature, Quality and Extent of Services
The Board examined the nature, quality and extent of the services provided by the Adviser to each Fund. The Board also considered the Adviser’s responsibilities under the Advisory Agreement to perform securities trading services and ancillary services including, among other things: (i) filing reports with the SEC, (ii) periodically updating the Trust’s registration statement, (iii) establishing and maintaining the Funds’ website to comply with regulatory requirements, (iv) monitoring anticipated purchases and redemptions of creation units by shareholders and new investors, (v) providing information and assistance as required by the Trust’s administrator and fund accountant in connection with the Trust’s shares, and (vi) providing assistance in connection with the operations of the Trust generally.
The Board also considered the quality of the Adviser’s resources that are made available to the Trust. The Board noted the Adviser’s and its affiliates’ financial position, stability and commitment to growing their exchange-traded funds (“ETFs”) business. The Board also considered the operation and strength of the Adviser’s compliance program.
The Board noted that Foreside Fund Services, LLC, an entity unaffiliated with the Adviser, provides distribution services to the Funds and that JPMorgan Chase Bank, N.A., also an unaffiliated entity, provides custody, transfer agency, securities lending and fund administration support services, and that these service provider arrangements were relevant to the Board’s considerations of the totality of the circumstances surrounding renewal of the Advisory Agreement. The Board concluded that each Fund benefited
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Approval of Advisory Agreement (cont.)
from the services provided under the Advisory Agreement and as a result of the Adviser’s operations, resources, experience, reputation and personnel.
Performance, Fees and Expenses
The Board considered that, unlike FlexShares® Ready Access Variable Income Fund and FlexShares® Core Select Bond Fund (each, an “Active Fund”), the investment objective of each Fund other than the Active Funds (each, an “Index Fund”) is to seek investment results that correspond generally to the price and yield performance, before fees and expenses, of a specified index (each, an “Underlying Index”). The Board considered the Adviser’s explanation that performance information with respect to funds in relevant peer universes and peer groups selected by Broadridge is only one of several comparative data points and that none of the peer funds sought to track an index that was the same as the Index Fund’s Underlying Index. The Board considered the information that the Adviser provided regarding the difference between each Fund’s performance, after fees and expenses, and the performance of its Underlying Index or benchmark index (as applicable) over certain periods of time, including as noted further below, ended March 31, 2020 (the “Tracking Difference”). The Board considered the Adviser’s expectations for the Index Fund’s Tracking Difference and noted the Adviser’s view that all instances of Tracking Difference for the Index Funds reflect results well within appropriate expectations after taking into account (i) all of the factors that affect Tracking Difference and (ii) the ancillary objectives of minimizing portfolio transaction costs and tax-related inefficiencies.
The Board also considered comparative performance, fee and expense information of each Fund provided by Broadridge. The Broadridge comparisons ranked each Fund in various quintiles over certain periods of time, including as noted further below, ended March 31, 2020, with the first quintile being the lowest or best 20% of the funds in terms of fund cost and fund performance, respectively. The Board noted that, in certain cases, the Broadridge peer funds included funds sponsored by an “at cost” service provider and that there were limitations in providing comparable peer funds. Also, in certain instances, the Board considered additional periods as noted below.
The Board considered that, effective March 1, 2020, the Adviser contractually agreed to reimburse the portion of the operating expenses of each Fund until at least March 1, 2021, so that, after such reimbursement, the total annual fund operating expenses of a Fund, excluding any acquired fund fees and expenses, expressed as a percentage of average daily net assets, does not exceed an amount equal to the sum of (i) the Fund’s advisory fee rate and (ii) 0.0049% (the “Expense Reimbursement Agreement”).
In reaching its determinations, the Board considered a large amount of data provided by the Adviser in response to a written request previously submitted by the Independent Trustees to the Adviser. Among the information considered by the Board was the following information:
Index Funds:
FlexShares® Morningstar US Market Factor Tilt Index Fund
The Board considered that the Fund’s performance, after fees and expenses, was above the performance of its Underlying Index for the one- and three-year periods and within six basis points for the five-year period. The Board also considered that the Fund’s performance ranked in the third quintile of its performance universe for the five-year period, the fourth quintile for the two-, three- and four- year periods and the fifth quintile for the one-year period.
The Board noted that the Fund’s advisory fee was lower than its expense group median while its total expense ratio was equal to its expense group median.
FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund
The Board considered that the Fund’s performance, after fees and expenses, was above the performance of its Underlying Index for the one- and three-year periods and within two basis points of its Underlying Index for the five-year period. The Board also considered that the Fund’s performance ranked in the third quintile of its performance universe for the five-year period and the fifth quintile for the one- and three-year periods.
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Approval of Advisory Agreement (cont.)
The Board took into account that the Fund’s total expense ratio was lower than its expense group median while its advisory fee was higher than its expense group median.
FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund
The Board considered that the Fund’s performance, after fees and expenses, was within 65 basis points of its Underlying Index for the one-, three- and five-year periods. The Board noted that the Fund’s gross performance, before fees and expenses, was within six basis points of its Underlying Index for the one-year period, which the Adviser believes is within reasonable tolerances given that the Fund’s portfolio included for the period entails over 2,000 individual emerging market securities and that the Fund’s Underlying Index rebalances quarterly. The Board noted that the Fund’s performance ranked in the fourth quintile of its performance universe for the five-year period and the fifth quintile for the one- and three-year periods.
The Board noted that the Fund’s total expense ratio and advisory fee were higher than its expense group median, but that the Fund’s total expense ratio (which represents the total cost to investors) was within eleven basis points of its expense group median.
FlexShares® Currency Hedged Morningstar DM ex-US Factor Tilt Index Fund
The Board considered that the Fund’s performance, after fees and expenses, had been within 80 basis points of its Underlying Index for the one-year, three-year and since inception periods. The Board also noted, however, the Adviser’s assertion that the Fund’s Tracking Difference was within its expected historical range in light of its unique structure as a fund-of- funds. The Board also considered that the Fund’s performance ranked in the first quintile of its performance universe for the one-year, three-year and since inception periods.
The Board considered that the Fund’s total expense ratio and advisory fee were lower than its expense group median. The Board also considered that the Adviser had agreed to waive a portion of its advisory fee and/or reimburse operating expenses in an amount equal to any acquired fund fees
and expenses incurred by the Fund that were attributable to its investment in other Funds.
FlexShares® Currency Hedged Morningstar EM Factor Tilt Index Fund
The Board considered that the Fund’s performance, after fees and expenses, was below that of its Underlying Index for the one-year, three-year and since inception periods. The Board also noted, however, the Adviser’s assertion that the Fund’s Tracking Difference was within its expected historical range in light of its unique structure as a fund-of-funds. The Board also considered that, while the Fund’s performance ranked in the fourth quintile of its performance universe for the one-year, three-year and since inception periods ended March 31, 2020, its performance ranked in the first and third quintiles, respectively, for the one- and three-year periods ended March 31, 2019.
The Board considered that the Fund’s total expense ratio and advisory fee were lower than its expense group median. The Board also considered that the Adviser had agreed to waive a portion of its advisory fee and/or reimburse operating expenses in an amount equal to any acquired fund fees and expenses incurred by the Fund that were attributable to its investment in other Funds.
FlexShares® US Quality Large Cap Index Fund
The Board considered that the Fund’s performance, after fees and expenses, was within 29 basis points of its Underlying Index for the one-year, three-year and since inception periods and that, gross of expenses, the Fund outperformed its Underlying Index for the one-year period. The Board also considered that the Fund’s performance ranked in the fourth quintile of its performance universe for the one-year, three-year and since inception periods.
The Board considered that the Fund’s total expense ratio and advisory fee were higher than its expense group median, but that the Fund’s total expense ratio (which represents the total cost to investors) was within six basis points of its expense group median.
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Approval of Advisory Agreement (cont.)
FlexShares® STOXX® US ESG Impact Index Fund
The Board considered that the Fund’s performance, after fees and expenses, was above the performance of its Underlying Index for the one-year, three-year and since inception periods. The Board also considered that the Fund’s performance ranked in the second quintile of its performance universe for the one- and three-year periods.
The Board considered that the Fund’s total expense ratio and advisory fee were higher than its expense group median, but that the Fund’s total expense ratio (which represents the total cost to investors) was within two basis points of its expense group median.
FlexShares® STOXX® Global ESG Impact Index Fund
The Board considered that the Fund’s performance, after fees and expenses, was equal to the performance of its Underlying Index for the since inception period and within 15 basis points of its Underlying Index for the one- and three-year periods. The Board also considered that the Fund’s performance ranked in the first quintile of its performance universe for the one- and three- year periods.
The Board considered that the Fund’s total expense ratio and advisory fee were higher than its expense group median, but that the Fund’s total expense ratio (which represents the total cost to investors) was within two basis points of its expense group median.
FlexShares® Morningstar Global Upstream Natural Resources Index Fund
The Board considered that the Fund’s performance, after fees and expenses, was within 43 basis points of its Underlying Index for the one-, three- and five-year periods. The Board also considered that the Fund’s performance ranked in the first quintile of its performance universe for the five-year period and the second quintile for the one- and three-year periods.
The Board took into account that the Fund’s total expense ratio was lower than its expense group median while its advisory fee was equal to its expense group median.
FlexShares® STOXX® Global Broad Infrastructure Index Fund
The Board considered that the Fund’s performance, after fees and expenses, was above the performance of its Underlying Index for the one-, three- and five-year periods. The Board also considered that the Fund’s performance ranked in the second quintile of its performance universe for the five-year period, the third quintile for the three-year period and the fourth quintile for the one-year period.
The Board considered that the Fund’s total expense ratio and advisory fee were higher than its expense group median, but that the Fund’s total expense ratio (which represents the total cost to investors) was within two basis points of its expense group median.
FlexShares® Global Quality Real Estate Index Fund
The Board considered that the Fund’s performance, after fees and expenses, was above the performance of its Underlying Index for the one- and five-year periods and equal to the performance of its Underlying Index for the three-year period. The Board also considered that the Fund’s performance ranked in the third quintile of its performance universe for the five-year period and the fourth quintile for the one- and three-year periods.
The Board considered that the Fund’s total expense ratio was lower than its expense group median while its advisory fee was equal to its expense group median.
FlexShares® Real Assets Allocation Index Fund
The Board considered that the Fund’s performance, after fees and expenses, was within 12 basis points of its Underlying Index for the one-year, three-year and since inception periods. The Board also considered that the Fund’s performance ranked in the second quintile of its performance universe for the three-year and since inception periods and the fourth quintile for the one-year period.
The Board considered that the Fund’s total expense ratio and advisory fee were lower than its expense group median. The Board also considered that the Adviser had agreed to waive a portion of its advisory fee and/or reimburse operating expenses in an amount equal to any acquired fund fees
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Approval of Advisory Agreement (cont.)
and expenses incurred by the Fund that were attributable to its investment in other Funds.
FlexShares® Quality Dividend Index Fund
The Board considered that the Fund’s performance, after fees and expenses, was within 59 basis points of its Underlying Index for the one-, three- and five-year periods. The Board also considered that the Fund’s performance ranked in the third quintile of its performance universe for the three- and five-year periods and the fourth quintile for the one-year period.
The Board considered that the Fund’s total expense ratio and advisory fee were equal to its expense group median.
FlexShares® Quality Dividend Defensive Index Fund
The Board considered that the Fund’s performance, after fees and expenses, was within 64 basis points of its Underlying Index for the one-, three- and five-year periods and that, gross of expenses, the Fund outperformed its Underlying Index for the one-year period. The Board also considered that the Fund’s performance ranked in the second quintile of its performance universe for the three- and five-year periods and the third quintile for the one-year period.
The Board considered that the Fund’s total expense ratio was equal to its expense group median while its advisory fee was higher than its expense group median.
FlexShares® Quality Dividend Dynamic Index Fund
The Board considered that the Fund’s performance, after fees and expenses, was above the performance of its Underlying Index for the one-year period and within 32 basis points of its Underlying Index for the three- and five-year periods. The Board also considered that the Fund’s performance ranked in the third quintile of its performance universe for the three- and five-year periods and the fourth quintile for the one-year period.
The Board considered that the Fund’s total expense ratio and advisory fee were equal to its expense group median.
FlexShares® International Quality Dividend Index Fund
The Board considered that the Fund’s performance, after fees and expenses, was within 33 basis points of its Underlying Index for the one-, three- and five-year periods and that, gross of expenses, the Fund outperformed its Underlying Index for the one-year period. The Board also considered that the Fund’s performance ranked in the fourth quintile for the one-, three- and five- year periods.
The Board took into account that the Fund’s total expense ratio and advisory fee were higher than its expense group median, but that the Fund’s total expense ratio (which represents the total cost to investors) was within two basis points of its expense group median.
FlexShares® International Quality Dividend Defensive Index Fund
The Board considered that the Fund’s performance, after fees and expenses, was within 53 basis points of its Underlying Index for the one-, three- and five-year periods and that, gross of expenses, the Fund outperformed its Underlying Index for the one-year period. The Board also considered that the Fund’s performance ranked in the fourth quintile of its performance universe for the one-, three- and five-year periods.
The Board took into account that the Fund’s total expense ratio and advisory fee were higher than its expense group median, but that the Fund’s total expense ratio (which represents the total cost to investors) was within two basis points of its expense group median.
FlexShares® International Quality Dividend Dynamic Index Fund
The Board considered that the Fund’s performance, after fees and expenses, was within 41 basis points of its Underlying Index for the one-, three- and five-year periods. The Board also considered that the Fund’s performance ranked in the second quintile of its performance universe for the five-year period, the third quintile for the one-year period and the fourth quintile for the three-year period.
The Board took into account that the Fund’s total expense ratio and advisory fee were higher than its expense group
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Approval of Advisory Agreement (cont.)
median, but that the Fund’s total expense ratio (which represents the total cost to investors) was within two basis points of its expense group median.
FlexShares® iBoxx 3-Year Target Duration TIPS Index Fund
The Board considered that the Fund’s performance, after fees and expenses, was within 15 basis points of its Underlying Index for the one-, three- and five-year periods. The Board also considered that the Fund’s performance ranked in the third quintile of its performance universe for the one- and five-year periods and the fourth quintile for the three-year period.
The Board took into account that the Fund’s total expense ratio and advisory fee were higher than its expense group median, but that the Fund’s total expense ratio (which represents the total cost to investors) was within 3.3 basis points of its expense group median. The Board also noted the reduction in the advisory fee rate payable by the Fund, as of November 1, 2017.
FlexShares® iBoxx 5-Year Target Duration TIPS Index Fund
The Board considered that the Fund’s performance, after fees and expenses, was within 21 basis points of its Underlying Index for the one-, three- and five-year periods. The Board also considered that the Fund’s performance ranked in the first quintile of its performance universe for the five-year period and the second quintile for the one- and three-year periods.
The Board took into account that the Fund’s total expense ratio and advisory fee were higher than its expense group median, but that the Fund’s total expense ratio (which represents the total cost to investors) was within 3.3 basis points of its expense group median. The Board also noted the reduction in the advisory fee rate payable by the Fund, as of November 1, 2017.
FlexShares® Disciplined Duration MBS Index Fund
The Board considered that the Fund’s performance, after fees and expenses, was within 51 basis points of its Underlying Index for the one-, three- and five-year periods. The Board also considered that the Fund’s performance ranked
in the first quintile for the one-year period, the third quintile for the three-year period and the fourth quintile for the five-year period.
The Board considered that the Fund’s total expense ratio and advisory fee were higher than its expense group median, but that the Fund’s total expense ratio was within 14 basis points of its expense group median.
FlexShares® Credit-Scored US Corporate Bond Index Fund
The Board considered that the Fund’s performance, after fees and expenses, was within 31 basis points of its Underlying Index for the one-, three- and five-year periods and that, gross of expenses, the Fund outperformed its Underlying Index for the one-year period. The Board also considered that the Fund’s performance ranked in the third quintile for the one-, three- and five- year periods.
The Board considered that the Fund’s total expense ratio and advisory fee were higher than its expense group median, but that the Fund’s total expense ratio (which represents the total cost to investors) was within seven basis points of its expense group median.
FlexShares® Credit-Scored US Long Corporate Bond Index Fund
The Board considered that the Fund’s performance, after fees and expenses, was within 50 basis points of its Underlying Index for the one-year, three-year and since inception periods. The Board also considered that the Fund’s performance ranked in the first quintile of its performance universe for the one-year, three-year and since inception periods.
The Board considered that the Fund’s total expense ratio and advisory fee were higher than its expense group median, but that the Fund’s total expense ratio (which represents the total cost to investors) was within seven basis points of its expense group median.
FlexShares® High Yield Value-Scored Bond Index Fund
The Board considered that the Fund’s performance, after fees and expenses, was within 42 basis points of its Underlying Index for the one-year period and within 68 basis
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Approval of Advisory Agreement (cont.)
points for the period since inception. The Board also considered that the Fund’s performance ranked in the fourth quintile of its performance universe for the one-year period. The Board also noted that the Fund’s performance ranked in the second quintile for the period since inception ended March 31, 2019. Further, the Board considered the Fund’s relatively short performance record.
The Board considered that the Fund’s total expense ratio and advisory fee were higher than its expense group median, but that the Fund’s total expense ratio (which represents the total cost to investors) was within two basis points of its expense group median.
FlexShares® US Quality Low Volatility Index Fund
The Board considered that the Fund’s performance, after fees and expenses, was within 24 basis points of its Underlying Index for the period since inception on July 16, 2019. The Board also considered that the Fund’s performance ranked in the first quintile of its performance for the period since inception on July 16, 2019. Further, the Board considered the Fund’s relatively short performance record.
The Board considered that the Fund’s total expense ratio and advisory fee were lower than its expense group median.
FlexShares® Developed Markets ex-US Quality Low Volatility Index Fund
The Board considered that the Fund’s performance, after fees and expenses, was within 22 basis points of its Underlying Index for the period since inception on July 16, 2019. The Board also considered that the Fund’s performance ranked in the first quintile of its performance for the period since inception on July 16, 2019. Further, the Board considered the Fund’s relatively short performance record.
The Board considered that the Fund’s total expense ratio was lower than its expense group median while its advisory fee was higher than its expense group median.
FlexShares® Emerging Markets Quality Low Volatility Index Fund
The Board considered that the Fund’s performance, after fees and expenses, was within 20 basis points of its Underlying Index for the period since inception on July 16, 2019.
The Board also considered that the Fund’s performance ranked in the second quintile of its performance for the period since inception on July 16, 2019. Further, the Board considered the Fund’s relatively short performance record.
The Board considered that the Fund’s total expense ratio was lower than its expense group median while its advisory fee was equal to its expense group median.
Active Funds:
FlexShares® Ready Access Variable Income Fund
The Board considered that the Fund’s performance ranked in the second quintile of its performance universe for the one-, three- and five-year periods. The Board also considered that the Fund outperformed its benchmark index for the one-, three- and five-year periods.
The Board considered that the Fund’s total expense ratio and advisory fee were higher than its expense group median, but that the Fund’s total expense ratio (which represents the total cost to investors) was within two basis points of its expense group median.
FlexShares® Core Select Bond Fund
The Board considered that the Fund’s performance ranked in the first quintile of its performance universe for the one-year period and the second quintile for the three-year period. The Board also considered that the Fund outperformed its benchmark index for the one-year, three- year and since inception periods.
The Board considered that the Fund’s total expense ratio and advisory fee were equal to its expense group median. The Board also considered that the Adviser had agreed to waive a portion of its advisory fee and/or reimburse operating expenses in an amount equal to any acquired fund fees and expenses incurred by the Fund that were attributable to its investment in other Funds, as well as up to 0.05% of acquired fund fees and expenses attributable to the Fund’s investment in unaffiliated funds.
Costs of Services and Profits of the Adviser
The Board considered the unitary fee structure and the expenses for each Fund and noted that, under the Advisory
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Approval of Advisory Agreement (cont.)
Agreement, the Adviser was responsible for most expenses of the Funds, including the cost of transfer agency, custody, fund administration, legal, audit and other services. The Board considered that the Adviser was not responsible under the Advisory Agreement for certain expenses, including the fees and expenses of the Trust’s Independent Trustees and their independent legal counsel, litigation expenses and other extraordinary expenses. The Board considered the agreement between the Trust and the Adviser, whereby the Adviser had agreed to reimburse certain expenses of the Independent Trustees with respect to each Fund, which terminated March 1, 2020.
The Board considered the advisory fee for each Fund as compared to that of other comparable funds in relation to its respective Broadridge median. The Board considered the Adviser’s explanation that each Index Fund’s contractual advisory fee (which, owing to the unitary fee structure and the existence of the expense reimbursement agreement, is identical to its total expense ratio) compared favorably with its respective Broadridge median contractual advisory fee for comparable funds set forth in the Broadridge report, especially taking into account, among other factors, important differences between the indexes upon which such comparable funds are based and the Index Fund’s Underlying Index, including in certain cases differences between the number of portfolio holdings for comparable funds and the Funds. The Board considered the advisory fee schedules for other accounts with similar investment advisory mandates as those of the Funds, noting that there were no comparable accounts for certain of the Funds. The Board considered (a) the differences in managing ETFs versus separately managed accounts which involve daily purchase and redemption activity along with robust regulatory and governance requirements; and (b) the Funds’ unitary fee structure.
The Board examined the Adviser’s profitability information provided by the Adviser, and the Trustees considered that the Adviser was profitable on a pre-distribution basis and post- distribution basis. The Board considered that the Adviser’s potential for profitability would continue to be subject to financial uncertainties and risks. The Board also considered that the Adviser would continue to develop and offer additional new products in efforts to complete the
overall integrity of the Trust’s product suite, consistent with its product strategy, and that these products may expose the Adviser to additional financial risks and uncertainties.
Economies of Scale
The Board considered whether the Adviser may realize economies of scale in managing and supporting the Funds. The Board reviewed each Fund’s fee arrangements, which did not include breakpoints, and considered that, in light of the unitary fee structure and expense reimbursement agreement, the Adviser’s profitability from its services to the Trust and the significant investment that the Adviser had made and continues to make in the Trust, breakpoints were not necessary at this time. The Board also noted (i) the reduction in the advisory fee rate payable by the FlexShares® iBoxx 3-Year Target Duration TIPS Index and FlexShares® iBoxx 5- Year Target Duration TIPS Index Funds, as of November 1, 2017, and (ii) the Expense Reimbursement Agreement.
Other Benefits to the Adviser
In addition to considering the profits that may be realized by the Adviser, the Board considered information regarding other direct and indirect benefits the Adviser may receive as a result of its relationship with the Funds, including whether any compensation would be paid to its affiliates. The Board also considered that some of the Funds’ shareholders have other client relationships with the Adviser or its affiliates. The Board also reviewed the extent to which the Adviser and its other clients, as well as the Funds, benefit from receipt of the research products and services generated by the Funds.
The Board, including the Independent Trustees, considered the data provided by the Adviser and concluded that sufficient information had been provided to allow them to evaluate the terms of the Advisory Agreement and each Fund’s investment advisory fee. They determined that each Fund’s advisory fee was reasonable in light of the services provided and the performance achieved by the Fund.
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Supplemental Information (Unaudited)
Principal Risks
As with any investment, you could lose all or part of your investment in a Fund, and the Fund’s performance could trail that of other investments. In addition to the discussion of the risks of certain of the Funds’ investments included in Note 2, some of the principal risks of investment in the Funds are summarized below. A more complete description of principal risks is included in each Fund’s Prospectus.
The following risks apply to all of the Funds:
Cyber Security and Operational Risk
Cyber security and operational risk is the risk that the Fund and its service providers may experience disruptions that arise from breaches in cyber security, human error, processing and communications errors, counterparty or third-party errors, technology or systems failures, any of which may have an adverse impact on the Fund. Failures or breaches of the electronic systems of the Fund, the Investment Adviser, distributor, and other service providers, market makers, Authorized Participants or the issuers of securities in which the Fund invests have the ability to cause disruptions and negatively impact the Fund’s business operations, potentially resulting in financial losses to the Fund and its shareholders.
Derivatives Risk
Changes in the value of a derivative instrument may not correlate perfectly with the underlying asset, rate or index, and the Funds could lose more than the principal amount invested.
Market Trading Risk
Each Fund’s shares are listed on a securities exchange, which presents risks including the potential lack of an active market for Fund shares, losses from trading in secondary markets, and disruption in the creation/redemption process of the Funds. Any of these factors may lead to the Funds’ shares trading at a premium or discount to NAV.
Valuation Risk
The sale price the Funds could receive for a security may differ from the Funds’ valuation of the security, particularly for securities that trade in low volume or volatile markets, or that are valued using a fair value methodology.
Authorized Participant Concentration Risk
Only an Authorized Participant may engage in creation or redemption transactions directly with the Funds. The Funds have a limited number of institutions that act as Authorized Participants. To the extent that these institutions exit the business or are unable to proceed with creation and/or redemption orders with respect to the Funds and no other Authorized Participant is able to step forward to create or redeem Creation Units, Fund shares may trade at a discount to NAV and possibly face trading halts and/or delisting. This risk may be heightened for a Fund if it invests in non-U.S. securities or other securities or instruments that are less widely traded. Such securities or instruments often involve greater settlement and operational issues and capital costs for Authorized Participants.
Market Risk
Market risk is the risk that general market conditions, such as real or perceived adverse economic or political conditions, inflation, changes in interest rates, lack of liquidity in the bond markets, volatility in the equities market or adverse investor sentiment could cause the value of your investment in a Fund to decline. Market disruptions caused by local or regional
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events such as war, acts of terrorism, the spread of infectious illness (including epidemics and pandemics) or other public health issues, recessions or other events or adverse investor sentiment could have a significant impact on the Fund and its investments and could result in the Fund’s shares trading at increased premiums or discounts to the Fund’s net asset value. The outbreak of COVID-19, a respiratory disease caused by a novel coronavirus, has negatively affected the worldwide economy, the financial health of individual companies and the market in significant and unforeseen ways. The future impact of COVID-19 is currently unknown. The effects to public health, business and market conditions resulting from the COVID-19 pandemic may have a significant negative impact on the performance of the Fund’s investments. Market risk also includes the risk that a particular style of investing, such as growth or value, may underperform the market generally. The value of the securities in which a Fund invests may go up or down in response to the prospects of individual issuers and/or general economic conditions. Securities markets may experience great short-term volatility and may fall sharply at times. Different markets may behave differently from each other and a foreign market may move in the opposite direction from the U.S. market. Price changes may be temporary or last for extended periods. You could lose money over short periods due to fluctuation in a Fund’s NAV in response to market movements, and over longer periods during market downturns.
The following risk applies only to the Index Funds:
Tracking Error Risk
Tracking error risk is the risk that an Index Fund’s performance may vary substantially from the performance of the Underlying Index it tracks as a result of imperfect correlation between a Fund’s securities and those of the Underlying Index. Imperfect correlation may result from share purchases and redemptions, expenses, changes in the Underlying Indexes, asset valuations, foreign currency valuations, market impact, corporate actions (such as mergers and spinoffs), legal restrictions (such as tax-related diversification requirements that apply to the Funds but not to the Underlying Index) and timing variances, among other factors.
Calculation Methodology Risk
Each of the Index Funds is subject to Calculation Methodology Risk. This is the risk that the Underlying Index’s calculation methodology or sources of information may not provide an accurate assessment of included issuers or correct valuation of securities, nor is the availability or timeliness of the production of the Index guaranteed.
The following risks apply to each Fund, as disclosed:
Concentration Risk
Each of the Funds, except the FlexShares iBoxx 3-Year Target Duration TIPS Index Fund and FlexShares iBoxx 5-Year Target Duration TIPS Index Fund, is subject to Concentration Risk. To the extent that the investments of these Funds are concentrated in the securities of issuers in a particular region, country, market, industry, sector or asset class, the Funds may be subject to increased price volatility and may be more susceptible to adverse economic, market, political or regulatory occurrences affecting that region, country, market, industry, sector or asset class.
Interest Rate/Maturity Risk
The FlexShares iBoxx 3-Year Target Duration TIPS Index Fund, FlexShares iBoxx 5-Year Target Duration TIPS Index Fund, FlexShares Disciplined Duration MBS Index Fund, FlexShares Credit-Scored US Corporate Bond Index Fund, FlexShares Credit-Scored US Long Corporate Bond Index Fund, FlexShares High Yield Value-Scored Bond Index Fund, FlexShares Ready Access Variable Income Fund, and FlexShares Core Select Bond Fund are subject to the risk that the value of the Funds’ fixed-income
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assets will decline because of rising interest rates. The magnitude of this decline will often be greater for longer-term fixed income securities than shorter-term fixed-income securities. Duration is a measure used to determine the sensitivity of a security’s price to changes in interest rates. The longer a security’s duration, the more sensitive it will be to changes in interest rates.
MLP Risk
The FlexShares STOXX® Global Broad Infrastructure Index Fund and FlexShares Real Assets Allocation Index Fund (including through its investment in its Underlying Fund(s)) may invest in Master Limited Partnerships (“MLPs”). The FlexShares STOXX® Global Broad Infrastructure Index Fund may not invest more than 25% of its net assets in MLPs. MLP Risk is the risk that accompanies an investment in MLP units. Investing in MLPs involves certain risks related to investing in the underlying assets of the MLPs and risks associated with pooled investment vehicles. MLPs that concentrate in a particular industry or a particular geographic region are subject to risks associated with such industry or region. MLPs may also be sensitive to changes in interest rates and, during periods of interest rate volatility, may not provide attractive returns. The benefit derived from the Fund’s investment in MLPs is largely dependent on the MLPs being treated as partnerships for federal income tax purposes. If any of the MLPs owned by the Fund were treated as corporations for U.S. federal income tax purposes, the after tax return to the Fund with respect to its investment in such MLPs would be materially reduced, which could cause a decline in the value of the Fund’s shares. The Fund must include its allocable share of the MLP’s taxable income in its taxable income, whether or not it receives a distribution of cash from the MLP. In such case, the Fund may have to liquidate securities to make required distributions to the Fund’s shareholders.
Non-diversification Risk
The FlexShares Currency Hedged Morningstar DM ex-US Factor Tilt Index Fund, FlexShares Currency Hedged Morningstar EM Factor Tilt Index Fund, FlexShares Morningstar Global Upstream Natural Resources Index Fund, FlexShares STOXX® Global Broad Infrastructure Index Fund, FlexShares Global Quality Real Estate Index Fund, FlexShares Real Assets Allocation Index Fund, FlexShares iBoxx 3-Year Target Duration TIPS Index Fund, FlexShares iBoxx 5-Year Target Duration TIPS Index Fund, FlexShares Credit-Scored US Corporate Bond Index Fund, FlexShares Credit-Scored US Long Corporate Bond Index Fund, FlexShares Ready Access Variable Income Fund, FlexShares US Quality Low Volatility Index Fund, FlexShares Developed Markets ex-US Quality Low Volatility Index Fund, and FlexShares Emerging Markets Quality Low Volatility Index Fund are non-diversified series of the Trust, pursuant to the 1940 Act. The performance of these Funds may depend on the performance of a small number of issuers because the Funds may invest a large percentage of its assets in securities issued by or representing a small number of issuers.
Large Cap Risk
The FlexShares US Quality Large Cap Index Fund, FlexShares STOXX® US ESG Impact Index Fund, FlexShares STOXX® Global ESG Impact Index Fund, FlexShares Quality Dividend Index Fund, FlexShares Quality Dividend Defensive Index Fund, FlexShares Quality Dividend Dynamic Index Fund, FlexShares International Quality Dividend Index Fund, FlexShares International Quality Dividend Defensive Index Fund, FlexShares International Quality Dividend Dynamic Index Fund, FlexShares US Quality Low Volatility Index Fund, FlexShares Developed Markets ex-US Quality Low Volatility Index Fund, and FlexShares Emerging Markets Quality Low Volatility Index Fund are subject to the risk that returns on investments in stocks of large U.S. companies could trail the returns on investments in stocks of smaller and mid-sized companies.
Mid Cap Stock Risk
The FlexShares STOXX® US ESG Impact Index Fund, FlexShares STOXX® Global ESG Impact Index Fund, FlexShares US Quality Low Volatility Index Fund, FlexShares Developed Markets ex-US Quality Low Volatility Index Fund, and FlexShares Emerging
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Markets Quality Low Volatility Index Fund may invest in stocks of mid-sized companies which may be subject to more abrupt or erratic market movements than stocks of larger, more established companies. Mid-sized companies may have limited product lines or financial resources, and may be dependent upon a particular niche of the market.
Mid and Small Cap Stock Risk
The FlexShares Morningstar US Market Factor Tilt Index Fund, FlexShares Morningstar Developed Markets ex-US Factor Tilt Index Fund, FlexShares Morningstar Emerging Markets Factor Tilt Index Fund, FlexShares Currency Hedged Morningstar DM ex-US Factor Tilt Index Fund (including through its investment in its Underlying Fund), FlexShares Currency Hedged Morningstar EM Factor Tilt Index Fund (including through its investment in its Underlying Fund), FlexShares Morningstar Global Upstream Natural Resources Index Fund, FlexShares STOXX® Global Broad Infrastructure Index Fund, FlexShares Global Quality Real Estate Index Fund, FlexShares Real Assets Allocation Index Fund (including through its investment in its Underlying Fund(s)), FlexShares International Quality Dividend Index Fund, FlexShares International Quality Dividend Defensive Index Fund, and FlexShares International Quality Dividend Dynamic Index Fund may invest in stocks of smaller companies which may be more volatile than stocks of larger, more established companies. Small companies may have limited product lines or financial resources, or may be dependent upon a small or inexperienced management group, and their securities may trade less frequently and in lower volume than the securities of larger companies, which could lead to higher transaction costs. Generally the smaller the company size, the greater the risk.
Value Investing Risk
The FlexShares Morningstar US Market Factor Tilt Index Fund, FlexShares Morningstar Developed Markets ex-US Factor Tilt Index Fund, FlexShares Morningstar Emerging Markets Factor Tilt Index Fund, FlexShares Currency Hedged Morningstar DM ex-US Factor Tilt Index Fund, FlexShares Currency Hedged Morningstar EM Factor Tilt Index Fund, FlexShares US Quality Large Cap Index Fund, FlexShares Global Quality Real Estate Index Fund, and FlexShares Real Assets Allocation Index Fund’s (including through its investment in its Underlying Fund(s)) investment in companies whose securities are believed to be undervalued, relative to their underlying profitability, may not appreciate in value as anticipated.
ESG Investment Risk
The FlexShares STOXX® US ESG Impact Index Fund and FlexShares STOXX® Global ESG Impact Index Fund are subject to the risk that because the methodology of the Underlying Index selects and assigns weights to securities of issuers for nonfinancial reasons, the Fund may underperform the broader equity market or other funds that do not utilize ESG criteria when selecting investments.
High Portfolio Turnover Risk
The FlexShares STOXX® US ESG Impact Index Fund, FlexShares Ready Access Variable Income Fund, FlexShares Core Select Bond Fund, FlexShares iBoxx 3-Year Target Duration TIPS Index Fund, FlexShares Disciplined Duration MBS Index Fund, FlexShares Credit-Scored US Long Corporate Bond Index Fund, and FlexShares High Yield Value-Scored Bond Index Fund are subject to the risk that active and frequent trading of the Fund’s portfolio securities may result in increased transaction costs to the Fund, including brokerage commissions, dealer mark-ups and other transaction costs, which could reduce the Fund’s return.
Global Natural Resources Industry Risk
The FlexShares Morningstar Global Upstream Natural Resources Index Fund (which is also an Underlying Fund of FlexShares Real Assets Allocation Index Fund) is subject to the risks associated with investment in the global natural resources sector in addition to the general risk of the stock market. The natural resources sector can significantly be affected by events relating to
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U.S. and foreign political and economic developments and environmental and other government regulations, as well as other factors including, but not limited to: commodity price volatility, technological developments and natural or man-made disasters. Declines in the demand for, or prices of, natural resources generally would be expected to contribute to declines in the value of the Fund’s equity securities. Such declines may occur quickly and without warning and may negatively impact the value of the Fund and your investment.
Hedging Risk
The FlexShares Core Select Bond Fund is subject to the risk that the Fund’s short positions in U.S. Treasury futures and transactions in interest rate swaps will not completely eliminate interest rate risk of long positions in bonds. In certain falling interest rate environments, the Fund’s hedging strategy could result in disproportionately larger losses in the short U.S. Treasury futures and interest rate swaps positions as compared to gains in the long bond positions attributable to interest rate changes.
Corporate Bond Risk
The FlexShares Credit-Scored US Corporate Bond Index Fund and FlexShares Credit-Scored US Long Corporate Bond Index Fund invest primarily in bonds issued by corporations. Corporate debt securities are subject to the risk of the issuer’s inability to meet principal and interest payments on the obligation and may also be subject to price volatility due to such factors as interest rate sensitivity, market perception of the creditworthiness of the issuer and general market liquidity. When interest rates rise, the value of corporate debt can be expected to decline. Debt securities with longer maturities tend to be more sensitive to interest rate movements than those with shorter maturities.
Interest Rate Risk
The FlexShares STOXX® Global Broad Infrastructure Index Fund and FlexShares Global Quality Real Estate Index Fund (which is also an Underlying Fund of FlexShares Real Assets Allocation Index Fund) are subject to the risk that rising interest rates may adversely affect the Fund. Increases in interest rates typically lower the present value of a REIT’s future earnings stream, and may make financing property purchases and improvements more costly. Because the market price of REIT stocks may change based upon investors’ collective perceptions of future earnings, the value of the Fund may decline when investors anticipate or experience rising interest rates.
China Investment Risk
The FlexShares Emerging Markets Quality Low Volatility Index Fund, FlexShares Morningstar Emerging Markets Factor Tilt Index Fund, and FlexShares Currency Hedged Morningstar EM Factor Tilt Index Fund expects to have significant investment in securities of Chinese issuers. Investment exposure to China subjects a Fund to risks specific to China. China may be subject to considerable degrees of economic, political and social instability. China is a developing market and demonstrates significantly higher volatility from time to time in comparison to developed markets. Over the past 25 years, the Chinese government has undertaken reform of economic and market practices and expansion of the sphere for private ownership of property in China. However, Chinese markets generally continue to experience inefficiency, volatility and pricing anomalies resulting from governmental influence, a lack of publicly available information and/or political and social instability. Internal social unrest or confrontations with other neighboring countries, including military conflicts in response to such events, may also disrupt economic development in China and result in a greater risk of currency fluctuations, currency convertibility, interest rate fluctuations and higher rates of inflation. Export growth continues to be a major driver of China’s rapid economic growth. Reduction in spending on Chinese products and services, institution of tariffs or other trade barriers, or a downturn in any of the economies of China’s key trading partners may have an adverse impact on the Chinese economy.
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Currency Risk
The FlexShares Morningstar Developed Markets ex-US Factor Tilt Index Fund, FlexShares Morningstar Emerging Markets Factor Tilt Index Fund, FlexShares Currency Hedged Morningstar DM ex-US Factor Tilt Index Fund, FlexShares Currency Hedged Morningstar EM Factor Tilt Index Fund, FlexShares STOXX® Global ESG Impact Index Fund, FlexShares Morningstar Global Upstream Natural Resources Index Fund, FlexShares STOXX ® Global Broad Infrastructure Index Fund, FlexShares Global Quality Real Estate Index Fund, FlexShares Real Assets Allocation Index Fund, FlexShares International Quality Dividend Index Fund, FlexShares International Quality Dividend Defensive Index Fund, FlexShares International Quality Dividend Dynamic Index Fund, FlexShares Ready Access Variable Income Fund, FlexShares Developed Markets ex-US Quality Low Volatility Index Fund and FlexShares Emerging Markets Quality Low Volatility Index Fund may invest in securities denominated in foreign currencies. While each Fund’s investments may be denominated in foreign currencies, the portfolio securities and other assets held by each Fund are valued in U.S. dollars. Price fluctuations may occur in the dollar value of foreign securities because of changing currency exchange rates. Currency exchange rates may fluctuate significantly over short periods of time causing a Fund’s NAV to fluctuate as well. Currency exchange rates can be affected unpredictably by the intervention or the failure to intervene by U.S. or foreign governments or central banks, or by currency controls or political developments in the U.S. or abroad. To the extent that a Fund’s total assets, adjusted to reflect the Fund’s net position after giving effect to currency transactions, are denominated in the currencies of foreign countries, that Fund will be more susceptible to the risk of adverse economic and political developments within those countries.
Foreign Securities Risk
The FlexShares Morningstar Developed Markets ex-US Factor Tilt Index Fund, FlexShares Morningstar Emerging Markets Factor Tilt Index Fund, FlexShares Currency Hedged Morningstar DM ex-US Factor Tilt Index Fund, FlexShares Currency Hedged Morningstar EM Factor Tilt Index Fund, FlexShares STOXX® Global ESG Impact Index Fund, FlexShares Morningstar Global Upstream Natural Resources Index Fund, FlexShares STOXX® Global Broad Infrastructure Index Fund, FlexShares Global Quality Real Estate Index Fund, FlexShares Real Assets Allocation Index Fund, FlexShares International Quality Dividend Index Fund, FlexShares International Quality Dividend Defensive Index Fund, FlexShares International Quality Dividend Dynamic Index Fund, FlexShares Developed Markets ex-US Quality Low Volatility Index Fund, FlexShares Emerging Markets Quality Low Volatility Index Fund, and FlexShares Ready Access Variable Income Fund will invest in foreign securities. Foreign securities include direct investments in non-U.S. dollar-denominated securities traded primarily outside of the United States and dollar-denominated securities of foreign issuers. Foreign securities also include indirect investments such as American Depositary Receipts (“ADRs”) and Global Depositary Receipts (“GDRs”). ADRs are U.S. dollar-denominated receipts representing shares of foreign-based corporations. ADRs are receipts that are traded in the U.S., and entitle the holder to all dividend and capital gain distributions that are paid out on the underlying foreign shares. GDRs are receipts that often trade on foreign exchanges. They represent ownership in an underlying foreign or U.S. security and generally are denominated in a foreign currency.
Emerging Markets Risk
The FlexShares Morningstar Emerging Markets Factor Tilt Index Fund, FlexShares Currency Hedged Morningstar EM Factor Tilt Index Fund, FlexShares Real Assets Allocation Index Fund, FlexShares International Quality Dividend Index Fund, FlexShares International Quality Dividend Defensive Index Fund, FlexShares International Quality Dividend Dynamic Index Fund, FlexShares Emerging Markets Quality Low Volatility Index Fund, FlexShares Morningstar Global Upstream Natural Resources Index Fund, FlexShares STOXX® Global Broad Infrastructure Index Fund, FlexShares Global Quality Real Estate Index Fund, and FlexShares Ready Access Variable Income Fund invest in emerging market countries. The risks of foreign investment are increased when the issuer is located in a country with an emerging economy or securities market. Political and economic structures in
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many of these countries may be undergoing significant evolution and rapid development, and these countries may lack the social, political and economic stability characteristics of developed countries. The securities laws of emerging market countries may be relatively new and unsettled and, consequently, there is a risk of rapid and unpredictable change in laws regarding foreign investment, securities regulation, title to securities and shareholder rights. Global factors and foreign actions may inhibit the flow of foreign capital on which a country is dependent to sustain its growth. In general, securities markets of emerging countries are less liquid, are especially subject to greater price volatility, have smaller market capitalizations, and have problems with securities registration and custody. These securities markets also have less government regulation and are not subject to as extensive and frequent accounting, financial and other reporting requirements as the securities markets of more developed countries. In addition, because the securities settlement procedures are less developed in these countries, a Fund may be required to deliver securities before receiving payment and also may be unable to complete transactions during market disruptions. As a result of these and other risks, investments in these countries generally present a greater risk of loss to a Fund.
Japan Investment Risk
The FlexShares Morningstar Developed Markets ex-US Factor Tilt Index Fund, FlexShares Currency Hedged Morningstar DM ex-US Factor Tilt Index Fund, and FlexShares Developed Markets ex-US Quality Low Volatility Index Fund expects to have significant investment in securities of Japanese issuers. The Japanese economy may be subject to considerable degrees of economic, political and social instability, which could negatively impact Japanese issuers. In recent times, Japan’s economic growth rate has remained low, and it may remain low in the future. In addition, Japan is subject to the risk of natural disasters, such as earthquakes, volcanic eruptions, typhoons and tsunamis, which could negatively affect a Fund. The growth of Japan’s economy has historically lagged that of its Asian neighbors and other major developed economies. The Japanese economy is heavily dependent on international trade and has been adversely affected by trade tariffs, other protectionist measures, competition from emerging economies and the economic conditions of its trading partners. Japan’s relations with its neighbors, particularly China, North Korea, South Korea and Russia, have at times been strained due to territorial disputes, historical animosities and defense concerns. Most recently, the Japanese government has shown concern over the increased nuclear and military activity by North Korea. Strained relations may cause uncertainty in the Japanese markets and adversely affect the overall Japanese economy in times of crisis. China has become an important trading partner with Japan, yet the countries’ political relationship has become strained. Should political tension increase, it could adversely affect the economy, especially the export sector, and destabilize the region as a whole.
U.S. Issuer Risk
The FlexShares Morningstar US Market Factor Tilt Index Fund, FlexShares US Quality Large Cap Index Fund, FlexShares
STOXX US ESG Impact Index Fund, FlexShares STOXX Global ESG Impact Index Fund, FlexShares Morningstar Global
Upstream Natural Resources Index Fund, FlexShares STOXX Global Broad Infrastructure Index Fund, FlexShares Global Quality Real Estate Index Fund, FlexShares Real Assets Allocation Index Fund, FlexShares Quality Dividend Index Fund, FlexShares Quality Dividend Defensive Index Fund, FlexShares Quality Dividend Dynamic Index Fund, FlexShares Disciplined Duration MBS Index Fund, FlexShares Credit-Scored U.S. Corporate Bond Index Fund, FlexShares Credit-Scored US Long Corporate Bond Index Fund, FlexShares High Yield Value-Scored Bond Index Fund, FlexShares US Quality Low Volatility Index Fund, FlexShares Ready Access Variable Income Fund, and FlexShares Core Select Bond Fund has significant exposure to U.S. issuers. Decreasing imports or exports, changes in trade regulations and/or an economic recession in the United States may have a material adverse effect on the U.S. economy. The financial crisis that began in 2007 caused a significant decline in the value and liquidity of issuers in the United States. Policy and legislative changes in the United States are changing many aspects of financial and other regulation and may have a significant effect on the U.S. markets generally, as well as the value of certain securities.
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In addition, a continued rise in the U.S. public debt level or U.S. austerity measures may adversely affect U.S. economic growth and the securities to which the Funds have exposure.
The following risks apply to the FlexShares Quality Dividend Index Fund, FlexShares Quality Dividend Defensive Index Fund, FlexShares Quality Dividend Dynamic Index Fund, FlexShares International Quality Dividend Index Fund, FlexShares International Quality Dividend Defensive Index Fund, and FlexShares International Quality Dividend Dynamic Index Fund:
Dividend Risk
The Fund is subject to the risk that an issuer of stock held by a Fund may choose not to declare a dividend or the dividend rate might not remain at current levels. Dividend paying stocks might not experience the same level of earnings growth or capital appreciation as non-dividend paying stocks. A Fund’s performance during a broad market advance could suffer because dividend paying stocks may not experience the same capital appreciation as non-dividend paying stocks.
Volatility Risk
The Fund is subject to the risk that the actual level of volatility experienced by a Fund may be greater or lower than the targeted overall volatility of the Fund’s Underlying Index. Although a Fund’s Underlying Index is designed to have a targeted overall volatility, there is no guarantee that it will have the targeted overall volatility. A Fund will continue to seek to track the Underlying Index even if the Underlying Index does not have the targeted overall volatility. There is also the risk that a Fund may experience volatility greater or lower than that of the Underlying Index as a result of tracking error. A portfolio of securities with greater volatility is generally considered to have a higher risk profile than a portfolio with lower volatility.
The following risk applies to the FlexShares Global Quality Real Estate Index Fund (which is also an Underlying Fund of the FlexShares Real Assets Allocation Index Fund):
Real Estate Securities Risk
The Fund is subject to the risks associated with investment in the real estate sector in addition to the general risk of the stock market. Investing in securities of real estate companies will make the Fund more susceptible to risks associated with the ownership of real estate and with the real estate industry in general, as well as risks that relate specifically to the way in which real estate companies are organized and operated. Real estate companies may have lower trading volumes and may be subject to more abrupt or erratic price movements than the overall securities markets. The value of real estate securities may underperform other sectors of the economy or broader equity markets. To the extent that the Fund concentrates its investments in the real estate sector, it may be subject to greater risk of loss than if it were diversified across different industry sectors.
The following risk applies to the FlexShares Global Quality Real Estate Index Fund (which is also an Underlying Fund of FlexShares Real Assets Allocation Index Fund) and FlexShares STOXX® Global Broad Infrastructure Index Fund:
Real Estate Investment Trust (REIT) Risk
The Fund is subject to the risk that the Fund’s investments will be affected by factors affecting REITs and the real estate sector generally. Investing in REITs involves certain unique risks in addition to those risks associated with investing in the real estate industry in general. REITs whose underlying properties are concentrated in a particular industry or geographic region are also subject to risks affecting such industries and regions. By investing in REITs through the Fund, a shareholder will bear expenses of the REITs in addition to expenses of the Fund.
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The following risk applies to the FlexShares Currency Hedged Morningstar DM ex-US Factor Tilt Index Fund, FlexShares Currency Hedged Morningstar EM Factor Tilt Index Fund, FlexShares Real Assets Allocation Index Fund, and FlexShares Core Select Bond Fund:
Fund of Funds Risk (or Underlying Funds Risk)
The Fund is subject to the risk that the Fund’s investment performance largely depends on the investment performance of the Underlying Fund(s) in which it primarily invests. The Fund’s NAV will change with changes in the value of the Underlying Fund(s) and other securities in which the Fund invests based on their market valuations.
An investment in the Fund will entail more costs and expenses than direct investments in the Underlying Fund(s). The Fund will indirectly pay a proportional share of the expenses of the Underlying Fund(s) in which it invests (including operating expenses and management fees), in addition to the fees and expenses it pays directly. As the Fund’s allocation to an Underlying Fund changes from time to time, or to the extent that the expense ratio of an Underlying Fund changes, the weighted average operating expenses borne by the Fund may increase or decrease.
The following risk applies to the FlexShares Currency Hedged Morningstar DM ex-US Factor Tilt Index Fund and FlexShares Currency Hedged Morningstar EM Factor Tilt Index Fund:
Currency Hedging Risk
The Fund is subject to the risk that the Fund’s hedging transactions will not be effective. The Fund enters into foreign currency forward contracts designed to offset the Fund’s currency exposure of non-U.S. dollar denominated securities included in the Underlying Index against the U.S. dollar. These contracts may not be successful. To the extent the Fund’s foreign currency contracts are not successful, the U.S. dollar value of your investment in the Fund may go down. Because the Fund’s currency hedge is reset on a monthly basis, currency risk can develop or increase intra-month. Furthermore, while the Fund is designed to hedge against currency fluctuations, it is possible that a degree of currency exposure may remain even at the time a hedging transaction is implemented. Currency exchange rates can be very volatile and can change quickly and unpredictably. Therefore, the value of an investment in the Fund may also go up or down quickly and unpredictably and investors may lose money. In addition, a Fund’s currency hedging activities may involve frequent trading of currency instruments, which may increase transaction costs and cause the Fund’s return to deviate from the Underlying Index.
In seeking to track the performance of the Underlying Index, the Fund will attempt to hedge the currency exposure of non-U.S. dollar denominated securities held in its portfolio by investing in foreign currency forward contracts, which may include non-deliverable foreign currency forward contracts (“NDFs”). NDFs on currencies are often less liquid than deliverable forward currency contracts. A lack of liquidity in NDFs of the hedged currency could result in the Fund being unable to structure its hedging transactions as intended. In addition, NTI may seek to limit the size of the Fund in order to attempt to reduce a situation where the Fund is unable to obtain sufficient liquidity in an underlying currency to implement its investment objective.
The following risks apply to the FlexShares Disciplined Duration MBS Index Fund, FlexShares Credit-Scored US Corporate Bond Index Fund, FlexShares Credit-Scored US Long Corporate Bond Index Fund, FlexShares High Yield Value-Scored Bond Index Fund, FlexShares Ready Access Variable Income Fund, and FlexShares Core Select Bond Fund:
Credit (or Default) Risk
The Fund is subject to the risk that the inability or unwillingness of an issuer or guarantor of a fixed-income security, or a
counterparty to a TBA, repurchase or other transaction, to meet its payment or other financial obligations will adversely affect the value of the Fund’s investments and its returns. Changes in an issuer’s credit rating or the market’s perception of an issu-
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er’s creditworthiness may also adversely affect the value of the Fund’ investment in that issuer. The degree of credit risk depends on the issuer’s or counterparty’s financial condition and on the terms of the securities.
Debt Extension Risk
The Fund is subject to the risk that an issuer will exercise its right to pay principal on an obligation held by the Fund (such as a mortgage-backed security) later than expected. This may happen during a period of rising interest rates. Under these
circumstances, the value of the obligation will decrease and the Fund will suffer from the inability to invest in higher yielding securities.
Liquidity Risk
The Fund is subject to the risk that certain portfolio securities may be less liquid than others, which may make them difficult or impossible to sell at the time and the price that the Fund would like, adversely affecting the value of the Fund’s investments and its returns.
Prepayment (or Call) Risk
The Fund is subject to the risk that prepayment of the underlying mortgages or other collateral of some fixed-income securities may result in a decreased rate of return and a decline in value of those securities.
U.S. Government Securities Risk
The FlexShares Disciplined Duration MBS Index Fund, FlexShares Ready Access Variable Income Fund and FlexShares Core Select Bond Fund are subject to the risk that the U.S. government will not provide financial support to its agencies,
instrumentalities or sponsored enterprises if it is not obligated to do so by law. Many U.S. government securities that may be purchased by the Fund are not backed by the full faith and credit of the United States. It is possible that the issuers of such securities will not have the funds to meet their payment obligations in the future.
Mortgage-Related and Other Asset-Backed Risks
The FlexShares Ready Access Variable Income Fund and FlexShares Core Select Bond Fund is subject to the risks of investing in mortgage-related and other asset-backed securities, including Interest Rate/Maturity Risk, Debt Extension Risk and Prepayment (or Call) Risk.
The following risk applies to the FlexShares Disciplined Duration MBS Index Fund:
Mortgage Backed Pass-Through Securities Risk
The Fund is subject to the risk of investing in mortgage-backed securities issued by a U.S. Agency. These securities may not be backed by the full faith and credit of the U.S. government. Mortgage-backed securities are subject to Credit (or Default) Risk, Interest Rate/ Maturity Risk, Debt Extension Risk and Prepayment (or Call) Risk. Because of these risks, mortgage-backed securities react differently to changes in interest rates than other bonds. Small movements in interest rates (both increases and decreases) may quickly and significantly reduce the value of certain mortgage-backed securities.
The following risk applies to the FlexShares US Quality Low Volatility Index Fund, FlexShares Developed Markets ex-US Quality Low Volatility Index Fund, and FlexShares Emerging Markets Quality Low Volatility Index Fund:
New Fund Risk
New Fund Risk is the risk that the Fund will not grow to or maintain an economically viable size, in which case it may experience greater tracking error to its Underlying Index than it otherwise would at higher asset levels, or it could ultimately liqui-
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date without shareholder approval. The timing of such liquidation may not be favorable and could have negative tax consequences for shareholders. From time to time, an Authorized Participant, a third-party investor, the Investment Adviser or an affiliate of the Investment Adviser, may invest in the Fund and hold its investment for a specific period of time in order to facilitate commencement of the Fund’s operations or for the Fund to achieve size or scale. There can be no assurance that any such entity would not redeem its investment or that the size of the Fund would be maintained at such levels, which could negatively impact the Fund. The Fund’s distributor does not maintain a secondary market in the shares.
The following risks apply to the FlexShares High Yield Value-Scored Bond Index Fund:
Distressed Securities Risk
Distressed securities risk is the substantial risk of investing in distressed securities that is in addition to the risks of investing in non-investment grade securities generally. NTI defines securities issued by companies whose financial condition is troubled or uncertain and that may be involved in bankruptcy proceedings, reorganizations or financial restructurings as “distressed securities.” Distressed securities are speculative and involve a substantial risk that principal will not be paid. In addition, the Fund will generally not receive interest payments on the distressed securities and may incur costs to protect its investment. These securities may present a substantial risk of default. The Fund may incur additional expenses to the extent it is required to seek recovery upon a default in the payment of principal of or interest on its portfolio holdings. In any reorganization or liquidation proceeding relating to a portfolio company, the Fund may lose its entire investment or may be required to accept cash or securities with a value less than its original investment. Distressed securities and any securities received in an exchange for such securities may be subject to restrictions on resale.
High Yield Securities Risk
High yield securities risk is the risk that the Fund will be subject to greater credit risk, price volatility and risk of loss than if it
invested primarily in investment grade securities, which can adversely impact the Fund’s return and net asset value. High yield securities are considered highly speculative and are subject to increased risk of an issuer’s inability to make principal and interest payments. The Fund’s Underlying Index is designed to be comprised of securities with the potential for higher yields as compared to the overall high yield corporate bond market. As such, the Fund is expected to exhibit greater sensitivity to market fluctuations.
Substantial Volatility Risk
Substantial volatility risk is the risk that the value of the securities in the Fund’s portfolio may fluctuate, sometimes rapidly
and unpredictably at a greater level than the overall market. There is a risk that the Fund could have substantial volatility.
Value Score Risk
Value score risk is the risk that the Fund’s investment in companies whose securities are believed to be undervalued will not appreciate in value as anticipated. Although the Underlying Index is designed to measure a portfolio of bonds of companies with the potential for higher yields and less risk of insolvency relative to the Parent Index, there is no assurance that the Underlying Index or Fund will be comprised of such securities. Accordingly, the Fund may be subject to greater credit risk, price volatility and risk of loss relative to the Parent Index.
The following risk applies to the FlexShares Morningstar US Market Factor Tilt Index Fund, FlexShares Morningstar Developed Markets ex-US Factor Tilt Index Fund, FlexShares Morningstar Emerging Markets Factor Tilt Index Fund, FlexShares Currency Hedged Morningstar DM ex-US Factor Tilt Index Fund, FlexShares Currency Hedged Morningstar EM Factor Tilt Index Fund, FlexShares International Quality Dividend Index Fund, FlexShares International Quality Dividend Defensive Index Fund, Flex-
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Supplemental Information (cont.)
Shares International Quality Dividend Dynamic Index Fund, FlexShares Credit-Scored US Corporate Bond Index Fund, FlexShares Credit-Scored US Long Corporate Bond Index Fund, FlexShares Ready Access Variable Income Fund, FlexShares Core Select Bond Fund, FlexShares US Quality Low Volatility Index Fund, FlexShares Developed Markets ex-US Quality Low Volatility Index Fund, and FlexShares Emerging Markets Quality Low Volatility Index Fund:
Financial Sector Risk
The Fund is subject to the risk that the Fund will be impacted by events affecting the U.S. and/or non-U.S. financial sectors if it invests a relatively large percentage of its assets in those sectors, adversely affecting the Fund’s performance. The U.S. and non-U.S. financial sectors can be significantly affected by changes in interest rates, government regulation, the rate of corporate and consumer debt defaulted, price competitions and the availability and cost of capital funds. In 2008 and 2009, the U.S. financial sector was significantly impacted by bankruptcies and consolidations of major financial firms. Events affecting the U.S. and non-U.S. financial sectors have had, and may continue to have, a significant negative impact on the valuations and stock prices of companies in this sector and have increased the volatility of investments in those sectors.
The following risk applies to the FlexShares US Quality Low Volatility Index Fund, FlexShares Morningstar US Market Factor Tilt Index Fund, FlexShares US Quality Large Cap Index Fund, FlexShares STOXX US ESG Impact Index Fund, FlexShares STOXX Global ESG Impact Index Fund, FlexShares Quality Dividend Index Fund, FlexShares Quality Dividend Defensive Index Fund, and FlexShares Quality Dividend Dynamic Index Fund:
Information Technology Sector Risk
The Fund is subject to the risk that the Fund will be impacted by events affecting the U.S. information technology sector if it invests a relatively large percentage of its assets in that sector, adversely affecting the Fund’s price.
The following risk applies to the FlexShares US Quality Low Volatility Index Fund, FlexShares Developed Markets ex-US Quality Low Volatility Index Fund, FlexShares Emerging Markets Quality Low Volatility Index Fund, FlexShares Morningstar US Market Factor Tilt Index Fund, FlexShares Morningstar Developed Markets ex-US Factor Tilt Index Fund, FlexShares Morningstar Emerging Markets Factor Tilt Index Fund, FlexShares Currency Hedged Morningstar DM ex-US Factor Tilt Index Fund, FlexShares Currency Hedged Morningstar EM Factor Tilt Index Fund, FlexShares US Quality Large Cap Index Fund, FlexShares STOXX US ESG Impact Index Fund, FlexShares STOXX Global ESG Impact Index Fund, FlexShares Morningstar Global Upstream Natural Resources Index Fund, FlexShares STOXX Global Broad Infrastructure Index Fund, FlexShares Global Quality Real Estate Index Fund, FlexShares Real Assets Allocation Index Fund, FlexShares Quality Dividend Index Fund, FlexShares Quality Dividend Defensive Index Fund, FlexShares Quality Dividend Dynamic Index Fund, FlexShares International Quality Dividend Index Fund, FlexShares International Quality Dividend Defensive Index Fund, and FlexShares International Quality Dividend Dynamic Index Fund:
Equity Securities Risk
Each Fund invests in equity securities, primarily in the form of common stocks. Each of these Funds may also invest in preferred stocks and REITs. Preferred stocks are securities that represent an ownership interest providing the holder with claims on the issuer’s earnings and assets before common stock owners but after bond owners. REITs are pooled investment vehicles that invest primarily in real estate or real estate related loans.
Equity securities are subject to changes in value that may be attributable to market perception of a particular issuer, general stock market fluctuations that affect all issuers, or as a result of such factors as a company’s business performance, investor perceptions, stock market trends and general economic conditions. The equity securities owned by a Fund may be more volatile and underperform other asset classes and the general securities markets.
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Supplemental Information (cont.)
The following risks apply to the FlexShares US Quality Low Volatility Index Fund, FlexShares Developed Markets ex-US Quality Low Volatility Index Fund, and FlexShares Emerging Markets Quality Low Volatility Index Fund:
Large Shareholder Risk
Certain shareholders, including other funds advised by the Investment Adviser, may from time to time own a substantial
amount of the Fund’s shares. In addition, a third party investor, the Investment Adviser or an affiliate of the Investment
Adviser, an authorized participant, a lead market maker, or another entity may invest in the Fund and hold its investment for a limited period of time solely to facilitate commencement of the Fund or to facilitate the Fund’s achieving a specified size or scale. There can be no assurance that any large shareholder would not redeem its investment, that the size of the Fund would be maintained at such levels or that the Fund would continue to meet applicable listing requirements. Redemptions by large shareholders could have a significant negative impact on the Fund. In addition, transactions by large shareholders may account for a large percentage of the trading volume on Fund’s listing exchange and may, therefore, have a material upward or downward effect on the market price of the shares.
To the extent a significant percentage of the shares of a Fund are owned or controlled by a small number of account shareholders (or a single account shareholder), including funds or accounts over which the Investment Adviser or an affiliate of the Investment Adviser has investment discretion, the Fund is subject to the risk that those shareholders may purchase or redeem Fund shares in significant amounts rapidly or unexpectedly, including as a result of an asset allocation decision made by the Investment Adviser or an affiliate of the Investment Adviser and may adversely affect a Fund’s performance if the Investment Adviser is forced to sell portfolio securities or invest cash when the Investment Adviser would not otherwise choose to do so. Redemptions of a large number of shares may affect the liquidity of a Fund’s portfolio, increase the Fund’s transaction costs, and accelerate the realization of taxable income and/or gains.
Low Volatility Risk
Although the Underlying Index is designed to have overall volatility that is lower than that of the Parent Index, there is no
guarantee it will be successful. Securities or other assets in the Fund’s portfolio may be subject to price volatility and the prices may not be any less volatile than the market as a whole and could be more volatile. Events or financial circumstances affecting individual securities or sectors may increase the volatility of a Fund. The price of a security may fluctuate due to factors affecting markets generally or particular industries. The market prices of the securities or other assets in a Fund’s portfolio may fluctuate, sometimes rapidly and unpredictably. The Fund will continue to seek to track the Underlying Index even if the Underlying Index does not have lower overall volatility than the Parent Index. There is also the risk that a Fund may experience volatility greater than that of its Parent Index as a result of tracking error. A portfolio of securities with greater volatility is generally considered to have a higher risk profile than a portfolio with lower volatility.
Passive Investment Risk
The FlexShares US Quality Low Volatility Index Fund, FlexShares Developed Markets ex-US Quality Low Volatility Index Fund, FlexShares Emerging Markets Quality Low Volatility Index Fund, FlexShares Morningstar US Market Factor Tilt Index Fund, FlexShares Morningstar Developed Markets ex-US Factor Tilt Index Fund, FlexShares Morningstar Emerging Markets Factor Tilt Index Fund, FlexShares Currency Hedged Morningstar DM ex-US Factor Tilt Index Fund, FlexShares Currency Hedged Morningstar EM Factor Tilt Index Fund, FlexShares US Quality Large Cap Index Fund, FlexShares STOXX US ESG Impact Index Fund, FlexShares STOXX Global ESG Impact Index Fund, FlexShares Morningstar Global Upstream Natural Resources Index Fund, FlexShares STOXX Global Broad Infrastructure Index Fund, FlexShares Global Quality Real Estate Index Fund, FlexShares Real Assets Allocation Index Fund, FlexShares Quality Dividend Index Fund, FlexShares Quality Dividend Defensive Index Fund, FlexShares Quality Dividend Dynamic Index Fund, FlexShares International Quality Dividend Index Fund, FlexShares Interna-
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Supplemental Information (cont.)
tional Quality Dividend Defensive Index Fund, FlexShares International Quality Dividend Dynamic Index Fund, FlexShares iBoxx 3-Year Target Duration TIPS Index Fund, FlexShares iBoxx 5-Year Target Duration TIPS Index Fund, FlexShares Disciplined Duration MBS Index Fund, FlexShares Credit-Scored U.S. Corporate Bond Index Fund, FlexShares Credit-Scored US Long Corporate Bond Index Fund, and FlexShares High Yield Value-Scored Bond Index Fund are not actively managed. Each Fund may be affected by a general decline in the market segments relating to its Underlying Index. Each Fund invests in securities included in, or representative of, its Underlying Index regardless of their investment merit. NTI does not attempt to take defensive positions in any market conditions, including declining markets.
Premium/Discount Information
Information about the differences between the daily market prices on secondary markets for shares of the Funds and the Funds’ net asset values for various time periods, as applicable, is available by visiting the Funds’ website at www.flexshares.com.
FLEXSHARES ANNUAL REPORT | 487 |
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For More Information (Unaudited)
Portfolio Holdings
FlexShares® Trust files its complete schedule of portfolio holdings with the Securities and Exchange Commission (“SEC”) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT and, for periods prior to July 31, 2019, on Form N-Q. The Funds’ Forms N-Q and Forms N-PORT are available on the SEC’s Web site at www.sec.gov.
Proxy Voting
FlexShares® Trust Proxy Voting Policies and Procedures are available upon request and without charge by calling 1-855-FLEXETF (1-855-353-9383) or by visiting the Funds’ Web site www.flexshares.com or the SEC’s Web site at sec.gov. Each Fund’s portfolio securities voting record for the 12-month period ended June 30 is available upon request and without charge by calling 1-855-FLEXETF (1-855-353-9383) or by visiting the SEC’s website at www.sec.gov.
488 | FLEXSHARES ANNUAL REPORT |
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FlexShares® Trust
50 S. LaSalle Street
Chicago, IL 60603
800.595.9111
www.flexshares.com
FlexShares® is a registered trademark of NTI. Morningstar® is a registered trademark of Morningstar, Inc. (“Morningstar”). Morningstar® US Market Factor Tilt IndexSM, Morningstar® Developed Markets ex-US Factor Tilt IndexSM, Morningstar® Emerging Markets Factor Tilt IndexSM, Morningstar® Developed Markets ex-US Factor Tilt Hedged IndexSM, Morningstar® Emerging Markets Factor Tilt Hedged IndexSM and Morningstar® Global Upstream Natural Resources IndexSM are service marks of Morningstar, Inc. STOXX and its licensors (the “Licensors”) have no relationship to FlexShares® Trust other than the licensing of the STOXX® USA ESG Impact Index, STOXX® Global ESG Impact Index and STOXX® Global Broad Infrastructure Index and the related trademarks for use in connection with the FlexShares® STOXX® US ESG Impact Index Fund, FlexShares® STOXX® Global ESG Impact Index Fund and FlexShares® STOXX® Global Broad Infrastructure Index Fund, respectively. The iBoxx 3-Year Target Duration TIPS Index and iBoxx 5-Year Target Duration TIPS Index are each the property of Markit North America, Inc. (“Markit”) and have been licensed for use in connection the FlexShares iBoxx 3-Year Target Duration TIPS Index Fund and the FlexShares iBoxx 5-Year Target Duration TIPS Index Fund, respectively. Northern Trust Quality Low Volatility IndexSM, Northern Trust Developed Markets ex-US Quality Low Volatility IndexSM, Northern Trust Emerging Markets Quality Low Volatility IndexSM, Northern Trust Quality Large Cap IndexSM, Northern Trust Quality Dividend IndexSM, Northern Trust Quality Dividend Dynamic IndexSM, Northern Trust Quality Dividend Defensive IndexSM, Northern Trust International Quality Dividend IndexSM, Northern Trust Quality Dividend Dynamic IndexSM, Northern Trust International Quality Dividend Defensive IndexSM, Northern Trust Global Quality Real Estate IndexSM, Northern Trust Credit-Scored US Corporate Bond IndexSM, Northern Trust Credit-Scored US Long Corporate Bond IndexSM, Northern Trust Real Assets Allocation IndexSM, Northern Trust High Yield US Corporate Bond IndexSM, and Northern Trust High Yield Value-Scored US Corporate Bond IndexSM are service marks of NTI and have been licensed for use by FlexShares Trust. The ICE® BofAML® Constrained Duration US Mortgage Backed Securities IndexSM are trademarks of ICE Data Indices, LLC or its affiliates (“ICE”) and have been licensed for use by NTI.
FS00058-1220
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Item 2. Code Of Ethics.
(a) | As of the end of the period, October 31, 2020, the Registrant has adopted a code of ethics that applies to its principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the Registrant or a third party (the “Code of Ethics”). |
(b) | Not Applicable. |
(c) | The Registrant has not amended its Code of Ethics during the period covered by this report. |
(d) | The Registrant has not granted any waivers, including an implicit waiver, from any provisions of its Code of Ethics during the period covered by this report. |
(e) | Not Applicable. |
(f) | A copy of the Registrant’s Code of Ethics is attached as exhibit 13(a)(1) to this Form N-CSR. |
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Item 3. Audit Committee Financial Expert.
The Registrant’s Board of Trustees has determined that the Registrant has at least one “audit committee financial expert” (as defined in Item 3 of Form N-CSR), serving on its audit committee. Philip G. Hubbard is the “audit committee financial expert” and is “independent” (as each term is defined in Item 3 of Form N-CSR).
Under applicable securities laws and regulations, a person who is determined to be an audit committee financial expert will not be deemed an “expert” for any purpose, including without limitation for purposes of Section 11 of the Securities Act of 1933, as amended, as a result of being designated or identified as an audit committee financial expert. The designation or identification of a person as an audit committee financial expert does not impose on such person any duties, obligations, or liability that are greater than the duties, obligations, and liability imposed on such person as a member of the Registrant’s Audit Committee and Board of Trustees in the absence of such designation or identification. The designation or identification of a person as an audit committee financial expert does not affect the duties, obligations or liability of any other member of the Registrant’s Audit Committee or Board of Trustees.
Item 4. Principal Accountant Fees and Services.
In response to Items 4(a)-4(d), aggregate fees for professional services rendered for FlexShares® Trust by Deloitte & Touche, LLP (“Deloitte”) for the fiscal years ended October 31, 2020 and October 31, 2019 were:
2020 | ||||||||
All fees and services to the Trust that were pre-approved | All fees and services to Service Affiliates(a) that were pre- approved | |||||||
Audit Fees | $ | 652,500 | N/A | |||||
Audit Related Fees(b) | $ | 0 | $ | 0 | ||||
Tax Fees(c) | $ | 72,500 | $ | 0 | ||||
All Other Fees(d) | $ | 0 | $ | 0 | ||||
|
|
|
| |||||
Total: | $ | 725,000 | $ | 0 | ||||
|
|
|
|
2019 | ||||||||
All fees and services to the Trust that were pre-approved | All fees and services to Service Affiliates(a) that were pre- approved | |||||||
Audit Fees | $ | 652,500 | N/A | |||||
Audit Related Fees(b) | $ | 0 | $ | 0 | ||||
Tax Fees(c) | $ | 72,500 | (1) | $ | 0 | |||
All Other Fees(d) | $ | 0 | $ | 0 | ||||
|
|
|
| |||||
Total: | $ | 725,000 | $ | 0 | ||||
|
|
|
|
(1) | Amounts relate to tax fees for the review of federal income tax returns, excise tax returns and year end distribution calculations. |
(a) | “Service affiliates” as it relates to the aggregate “Audit Fees,” “Audit-Related Fees,” “Tax Fees” and “All Other Fees” that were billed by Deloitte for the periods ended October 31, 2020 and October 31, 2019 are Northern Trust Investments, Inc. (“NTI”) and entities controlling, controlled by or under common control with NTI that provide ongoing services to the Registrant. |
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(b) | “Audit-Related Fees” are fees for assurance and related services rendered by Deloitte that are reasonably related to the performance of the audit or review of the Registrant’s financial statements, but not reported as “Audit Fees.” |
(c) | “Tax Fees” are fees for professional services rendered by Deloitte for tax compliance, tax advice and tax planning. |
(d) | “All Other Fees” are for products and services provided by Deloitte other than those reported as Audit, Audit-Related or Tax Fees. |
(e)(1) | The Registrant’s Audit Committee Charter provides that the Audit Committee is responsible for the approval of, prior to the appointment of, the engagement of the principal accountant to annually audit the Registrant’s financial statements. The Audit Committee must also pre-approve the engagement of the principal accountant to provide non-audit services to the Registrant, NTI or to any entity controlling, controlled by or under common control with NTI that provides ongoing services to the Registrant, if the engagement has a direct impact on the operations or financial reporting of the Registrant. The pre-approvals may be delegated to a designated representative (or representatives) of the audit committee and such pre-approvals and approvals must be reported to the full Audit Committee at its next meeting. Each designated representative must be a member of the Audit Committee. |
(e)(2) | No percentage of the principal accountant’s fees or services were approved pursuant to the waiver provision of paragraph (c)(7)(i)(C) or (c)(7)(ii) of Rule 2-01 of Regulation S-X. |
(f) | Not Applicable. |
(g) | The aggregate non-audit fees and services billed by Deloitte for services rendered to the Registrant and Service Affiliates for the periods ended October 31, 2020 and October 31, 2019, respectively, were $5,610,208 and $4,411,047. |
(h) | The Registrant’s Audit Committee has considered whether the provision of non-audit services to Service Affiliates, not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, is compatible with maintaining the registered public accountant’s independence in performing audit services. |
Item 5. Audit Committee of Listed Registrants.
(a) | The Registrant has a separately-designated standing Audit Committee in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934. All of the Board’s independent Trustees, Philip G. Hubbard, Eric T. McKissack and Sarah N. Garvey, are members of the Audit Committee. |
(b) | Not Applicable. |
Item 6. Investments
(a) | Schedule I – Investments in Securities of Unaffiliated Issuers. |
The complete schedule of investments is included in the report to shareholders in Item 1 of this Form N-CSR.
(b) | Securities Divested of in accordance with Section 13(c) of the Investment Company Act of 1940. |
Not Applicable.
Item 7. Disclosure Of Proxy Voting Policies And Procedures For Closed-End Management Investment Companies.
Not Applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not Applicable.
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Item 9. Purchase Of Equity Securities By Closed-End Management Investment Company And Affiliated Purchasers.
Not Applicable.
Item 10. Submission Of Matters To A Vote Of Security Holders.
There were no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board of Trustees.
Item 11. Controls And Procedures.
(a) | The Registrant’s principal executive officer and principal financial officer, or persons performing similar functions, have concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “1940 Act”)) are effective, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 as of a date within 90 days of the filing date of this report. |
(b) | There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a - 3(d) under the 1940 Act) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not Applicable.
Item 13. Exhibits.
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SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
FlexShares® Trust | ||
By: | /s/ Peter K. Ewing | |
Peter K. Ewing | ||
President and Principal Executive Officer | ||
January 6, 2021 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ Peter K. Ewing | |
Peter K. Ewing | ||
President and Principal Executive Officer | ||
January 6, 2021 | ||
By: | /s/ Randal E. Rein | |
Randal E. Rein | ||
Treasurer and Principal Financial Officer | ||
January 6, 2021 |