All Market Real Return Portfolio
Consolidated Portfolio of Investments
January 31, 2024 (unaudited)
Company | Shares | U.S. $ Value | ||||||
COMMON STOCKS – 69.7% |
| |||||||
Equity Real Estate Investment Trusts (REITs) – 25.8% |
| |||||||
Data Center REITs – 2.8% |
| |||||||
Digital Realty Trust, Inc. | 53,360 | $ | 7,494,946 | |||||
Equinix, Inc. | 15,950 | 13,234,831 | ||||||
|
| |||||||
20,729,777 | ||||||||
|
| |||||||
Diversified REITs – 1.8% |
| |||||||
Alexander & Baldwin, Inc. | 66,780 | 1,156,630 | ||||||
Essential Properties Realty Trust, Inc. | 109,670 | 2,731,880 | ||||||
KDX Realty Investment Corp. | 1,154 | 1,251,792 | ||||||
Land Securities Group PLC | 323,140 | 2,724,297 | ||||||
LXI REIT PLC(a) (b) | 379,120 | 505,632 | ||||||
Merlin Properties Socimi SA | 180,980 | 1,842,959 | ||||||
Sekisui House Reit, Inc. | 1,485 | 789,854 | ||||||
Stockland | 799,550 | 2,361,159 | ||||||
|
| |||||||
13,364,203 | ||||||||
|
| |||||||
Health Care REITs – 1.8% |
| |||||||
Physicians Realty Trust | 50,990 | 624,118 | ||||||
Ventas, Inc. | 115,070 | 5,338,097 | ||||||
Welltower, Inc. | 86,000 | 7,439,860 | ||||||
|
| |||||||
13,402,075 | ||||||||
|
| |||||||
Hotel & Resort REITs – 1.0% |
| |||||||
Invincible Investment Corp. | 950 | 390,546 | ||||||
Japan Hotel REIT Investment Corp. | 3,538 | 1,818,172 | ||||||
Park Hotels & Resorts, Inc. | 140,310 | 2,115,875 | ||||||
RLJ Lodging Trust | 151,870 | 1,758,655 | ||||||
Ryman Hospitality Properties, Inc. | 15,510 | 1,704,549 | ||||||
|
| |||||||
7,787,797 | ||||||||
|
| |||||||
Industrial REITs – 5.6% |
| |||||||
CapitaLand Ascendas REIT | 1,069,100 | 2,316,982 | ||||||
Centuria Industrial REIT(a) | 677,780 | 1,435,844 | ||||||
Dream Industrial Real Estate Investment Trust | 201,004 | 2,006,377 | ||||||
LondonMetric Property PLC | 803,770 | 1,963,927 | ||||||
Mapletree Logistics Trust | 1,329,963 | 1,529,292 | ||||||
Mitsui Fudosan Logistics Park, Inc.(a) | 475 | 1,424,017 | ||||||
Nippon Prologis REIT, Inc. | 942 | 1,676,008 | ||||||
Plymouth Industrial REIT, Inc. | 87,146 | 1,929,413 | ||||||
Prologis, Inc. | 150,741 | 19,097,377 | ||||||
Rexford Industrial Realty, Inc. | 74,960 | 3,942,146 | ||||||
STAG Industrial, Inc. | 61,490 | 2,271,441 | ||||||
Tritax Big Box REIT PLC | 1,033,730 | 2,164,204 | ||||||
|
| |||||||
41,757,028 | ||||||||
|
| |||||||
Multi-Family Residential REITs – 2.6% |
| |||||||
Apartment Income REIT Corp. | 88,370 | 2,888,815 | ||||||
AvalonBay Communities, Inc. | 26,730 | 4,784,937 | ||||||
Comforia Residential REIT, Inc.(a) | 358 | 750,307 | ||||||
Equity Residential | 102,940 | 6,195,959 | ||||||
Killam Apartment Real Estate Investment Trust | 195,730 | 2,726,783 | ||||||
UNITE Group PLC (The) | 164,480 | 2,101,369 | ||||||
|
| |||||||
19,448,170 | ||||||||
|
|
1
Company | Shares | U.S. $ Value | ||||||
Office REITs – 1.9% |
| |||||||
Alexandria Real Estate Equities, Inc. | 35,740 | $ | 4,320,966 | |||||
Boston Properties, Inc. | 55,480 | 3,689,420 | ||||||
COPT Defense Properties | 56,450 | 1,329,962 | ||||||
Daiwa Office Investment Corp. | 274 | 1,168,065 | ||||||
Dexus | 260,400 | 1,317,797 | ||||||
Japan Real Estate Investment Corp. | 190 | 728,373 | ||||||
Nippon Building Fund, Inc. | 430 | 1,739,827 | ||||||
|
| |||||||
14,294,410 | ||||||||
|
| |||||||
Other Specialized REITs – 0.7% |
| |||||||
VICI Properties, Inc. | 173,890 | 5,237,567 | ||||||
|
| |||||||
Retail REITs – 4.8% |
| |||||||
Acadia Realty Trust | 129,970 | 2,217,288 | ||||||
AEON REIT Investment Corp.(a) | 474 | 446,642 | ||||||
Brixmor Property Group, Inc. | 146,630 | 3,290,377 | ||||||
CapitaLand Integrated Commercial Trust | 1,019,160 | 1,519,329 | ||||||
Crombie Real Estate Investment Trust | 94,800 | 958,260 | ||||||
Frasers Centrepoint Trust | 645,600 | 1,104,248 | ||||||
Japan Metropolitan Fund Invest | 982 | 666,624 | ||||||
Kite Realty Group Trust | 114,290 | 2,445,806 | ||||||
Klepierre SA | 78,600 | 2,035,007 | ||||||
Link REIT | 710,060 | 3,561,435 | ||||||
NETSTREIT Corp. | 117,346 | 2,132,177 | ||||||
Phillips Edison & Co., Inc. | 49,380 | 1,713,980 | ||||||
Realty Income Corp. | 90,470 | 4,920,663 | ||||||
Simon Property Group, Inc. | 44,054 | 6,106,325 | ||||||
Vicinity Ltd. | 1,874,760 | 2,488,568 | ||||||
|
| |||||||
35,606,729 | ||||||||
|
| |||||||
Self-Storage REITs – 1.5% |
| |||||||
Extra Space Storage, Inc. | 36,360 | 5,251,838 | ||||||
Public Storage | 21,530 | 6,097,081 | ||||||
|
| |||||||
11,348,919 | ||||||||
|
| |||||||
Single-Family Residential REITs – 1.3% |
| |||||||
American Homes 4 Rent - Class A | 59,640 | 2,090,382 | ||||||
Equity LifeStyle Properties, Inc. | 15,170 | 1,026,857 | ||||||
Invitation Homes, Inc. | 91,850 | 3,024,621 | ||||||
Sun Communities, Inc. | 26,427 | 3,312,624 | ||||||
|
| |||||||
9,454,484 | ||||||||
|
| |||||||
192,431,159 | ||||||||
|
| |||||||
Energy – 9.9% |
| |||||||
Coal & Consumable Fuels – 0.3% |
| |||||||
Cameco Corp. | 38,897 | 1,857,250 | ||||||
Paladin Energy Ltd.(c) | 285,879 | 239,518 | ||||||
Uranium Energy Corp.(c) | 69,977 | 534,624 | ||||||
|
| |||||||
2,631,392 | ||||||||
|
| |||||||
Integrated Oil & Gas – 6.2% |
| |||||||
Chevron Corp. | 33,483 | 4,936,399 | ||||||
Eni SpA | 272,376 | 4,342,038 | ||||||
Exxon Mobil Corp. | 121,050 | 12,445,151 | ||||||
Gazprom PJSC(c) (d) (e) | 818,956 | 0 | ||||||
Imperial Oil Ltd. | 18,928 | 1,091,797 |
2
Company | Shares | U.S. $ Value | ||||||
LUKOIL PJSC(d) (e) (f) | 20,541 | $ | 0 | |||||
Repsol SA | 245,196 | 3,621,123 | ||||||
Shell PLC | 419,671 | 13,010,769 | ||||||
TotalEnergies SE | 107,078 | 6,946,748 | ||||||
|
| |||||||
46,394,025 | ||||||||
|
| |||||||
Oil & Gas Equipment & Services – 0.4% |
| |||||||
Saipem SpA(c) | 739,844 | 1,061,246 | ||||||
Vallourec SACA(c) | 113,442 | 1,622,923 | ||||||
|
| |||||||
2,684,169 | ||||||||
|
| |||||||
Oil & Gas Exploration & Production – 2.4% |
| |||||||
ConocoPhillips | 53,312 | 5,964,014 | ||||||
Coterra Energy, Inc. | 41,762 | 1,039,039 | ||||||
Enerplus Corp. | 73,867 | 1,072,471 | ||||||
EOG Resources, Inc. | 43,500 | 4,949,865 | ||||||
Hess Corp. | 22,476 | 3,158,552 | ||||||
Woodside Energy Group Ltd. | 80,489 | 1,683,525 | ||||||
|
| |||||||
17,867,466 | ||||||||
|
| |||||||
Oil & Gas Refining & Marketing – 0.6% |
| |||||||
Ampol Ltd. | 42,507 | 1,005,396 | ||||||
Cosan SA | 69,300 | 255,553 | ||||||
HF Sinclair Corp. | 16,685 | 942,536 | ||||||
Neste Oyj | 4,319 | 148,895 | ||||||
Parkland Corp. | 35,034 | 1,195,552 | ||||||
REX American Resources Corp.(c) | 17,485 | 723,704 | ||||||
|
| |||||||
4,271,636 | ||||||||
|
| |||||||
73,848,688 | ||||||||
|
| |||||||
Materials – 7.3% |
| |||||||
Aluminum – 0.2% |
| |||||||
Norsk Hydro ASA | 257,962 | 1,511,787 | ||||||
|
| |||||||
Commodity Chemicals – 0.5% |
| |||||||
Corteva, Inc. | 46,373 | 2,109,044 | ||||||
Enchem Co., Ltd.(c) | 3,803 | 461,217 | ||||||
Guangzhou Tinci Materials Technology Co., Ltd. - Class A | 89,300 | 232,413 | ||||||
LG Chem Ltd. | 1,038 | 336,608 | ||||||
Mitsubishi Chemical Group Corp. | 73,200 | 441,377 | ||||||
|
| |||||||
3,580,659 | ||||||||
|
| |||||||
Construction Materials – 0.2% |
| |||||||
GCC SAB de CV | 112,207 | 1,302,948 | ||||||
|
| |||||||
Copper – 0.5% |
| |||||||
Antofagasta PLC | 104,534 | 2,278,344 | ||||||
Capstone Mining Corp.(c) | 286,537 | 1,410,893 | ||||||
|
| |||||||
3,689,237 | ||||||||
|
| |||||||
Diversified Chemicals – 0.1% |
| |||||||
BASF SE | 5,431 | 259,624 | ||||||
Sumitomo Chemical Co., Ltd. | 177,100 | 416,996 | ||||||
|
| |||||||
676,620 | ||||||||
|
|
3
Company | Shares | U.S. $ Value | ||||||
Diversified Metals & Mining – 2.1% |
| |||||||
Anglo American PLC | 84,001 | $ | 2,002,389 | |||||
CMOC Group Ltd. - Class H | 375,000 | 205,408 | ||||||
Glencore PLC | 717,239 | 3,794,882 | ||||||
MMC Norilsk Nickel PJSC (ADR)(c) (d) (e) | 66,074 | 0 | ||||||
Rio Tinto PLC | 106,047 | 7,340,511 | ||||||
Teck Resources Ltd. - Class B | 53,827 | 2,153,618 | ||||||
|
| |||||||
15,496,808 | ||||||||
|
| |||||||
Fertilizers & Agricultural Chemicals – 0.6% |
| |||||||
CF Industries Holdings, Inc. | 35,393 | 2,672,525 | ||||||
FMC Corp. | 8,137 | 457,300 | ||||||
Nutrien Ltd. | 23,531 | 1,173,491 | ||||||
|
| |||||||
4,303,316 | ||||||||
|
| |||||||
Gold – 0.8% |
| |||||||
Agnico Eagle Mines Ltd. | 41,291 | 2,029,461 | ||||||
Barrick Gold Corp. | 121,137 | 1,889,737 | ||||||
Endeavour Mining PLC | 105,643 | 1,876,632 | ||||||
|
| |||||||
5,795,830 | ||||||||
|
| |||||||
Industrial Gases – 0.2% |
| |||||||
Air Liquide SA | 2,986 | 558,780 | ||||||
Air Products and Chemicals, Inc. | 2,380 | 608,590 | ||||||
Linde PLC | 1,324 | 535,995 | ||||||
|
| |||||||
1,703,365 | ||||||||
|
| |||||||
Specialty Chemicals – 0.7% |
| |||||||
Albemarle Corp.(a) | 4,609 | 528,837 | ||||||
CNGR Advanced Material Co., Ltd. - Class A | 61,300 | 371,754 | ||||||
DSM-Firmenich AG | 1,973 | 208,606 | ||||||
Ecolab, Inc. | 2,674 | 530,040 | ||||||
Ganfeng Lithium Group Co., Ltd - Class A | 102,780 | 487,578 | ||||||
Givaudan SA (REG) | 81 | 336,841 | ||||||
Johnson Matthey PLC | 20,176 | 416,008 | ||||||
Novozymes A/S - Class B | 5,740 | 294,122 | ||||||
Shanghai Putailai New Energy Technology Co., Ltd. - Class A | 103,319 | 236,789 | ||||||
Sherwin-Williams Co. (The) | 4,340 | 1,321,009 | ||||||
SK IE Technology Co., Ltd.(b) (c) | 3,817 | 211,565 | ||||||
Symrise AG | 2,094 | 216,046 | ||||||
Umicore SA | 11,461 | 260,697 | ||||||
Wacker Chemie AG | 2,551 | 276,581 | ||||||
|
| |||||||
5,696,473 | ||||||||
|
| |||||||
Steel – 1.4% |
| |||||||
APERAM SA | 38,757 | 1,194,341 | ||||||
ArcelorMittal SA | 116,917 | 3,219,896 | ||||||
BlueScope Steel Ltd. | 38,533 | 588,334 | ||||||
Fortescue Ltd. | 60,820 | 1,175,453 | ||||||
Schnitzer Steel Industries, Inc. - Class A | 23,150 | 609,539 | ||||||
Sims Ltd. | 38,048 | 356,382 | ||||||
Steel Dynamics, Inc. | 10,516 | 1,269,176 |
4
Company | Shares | U.S. $ Value | ||||||
Vale SA (Sponsored ADR) | 148,799 | $ | 2,037,058 | |||||
|
| |||||||
10,450,179 | ||||||||
|
| |||||||
54,207,222 | ||||||||
|
| |||||||
Real Estate Management & Development – 4.5% |
| |||||||
Diversified Real Estate Activities – 1.5% |
| |||||||
City Developments Ltd. | 113,700 | 516,060 | ||||||
Daito Trust Construction Co., Ltd. | 5,800 | 659,753 | ||||||
Mitsui Fudosan Co., Ltd. | 282,200 | 7,084,283 | ||||||
Sumitomo Realty & Development Co., Ltd. | 82,100 | 2,581,974 | ||||||
|
| |||||||
10,842,070 | ||||||||
|
| |||||||
Real Estate Development – 0.6% |
| |||||||
CK Asset Holdings Ltd. | 609,000 | 2,748,015 | ||||||
Sino Land Co., Ltd. | 1,382,000 | 1,443,587 | ||||||
|
| |||||||
4,191,602 | ||||||||
|
| |||||||
Real Estate Operating Companies – 2.0% |
| |||||||
Capitaland Investment Ltd./Singapore(a) | 389,700 | 855,504 | ||||||
Castellum AB(c) | 160,940 | 2,071,923 | ||||||
CTP NV(b) | 80,699 | 1,377,055 | ||||||
Fastighets AB Balder - Class B(c) | 184,140 | 1,222,191 | ||||||
LEG Immobilien SE(c) | 18,170 | 1,507,740 | ||||||
PSP Swiss Property AG (REG) | 18,560 | 2,470,281 | ||||||
Shurgard Self Storage Ltd. | 25,900 | 1,201,290 | ||||||
TAG Immobilien AG(c) | 111,500 | 1,560,647 | ||||||
Vonovia SE | 76,074 | 2,369,884 | ||||||
Wihlborgs Fastigheter AB | 64,340 | 575,177 | ||||||
|
| |||||||
15,211,692 | ||||||||
|
| |||||||
Real Estate Services – 0.4% |
| |||||||
Stem, Inc.(a) (c) | 158,709 | 469,779 | ||||||
Unibail-Rodamco-Westfield(c) | 35,950 | 2,574,189 | ||||||
|
| |||||||
3,043,968 | ||||||||
|
| |||||||
33,289,332 | ||||||||
|
| |||||||
Capital Goods – 4.1% |
| |||||||
Aerospace & Defense – 0.2% |
| |||||||
BAE Systems PLC | 19,453 | 289,781 | ||||||
Rheinmetall AG | 2,588 | 906,242 | ||||||
|
| |||||||
1,196,023 | ||||||||
|
| |||||||
Agricultural & Farm Machinery – 0.2% |
| |||||||
AGCO Corp. | 5,642 | 690,186 | ||||||
CNH Industrial NV | 11,769 | 139,873 | ||||||
Deere & Co. | 1,332 | 524,248 | ||||||
|
| |||||||
1,354,307 | ||||||||
|
| |||||||
Building Products – 0.7% |
| |||||||
A O Smith Corp. | 8,458 | 656,425 | ||||||
Advanced Drainage Systems, Inc. | 5,282 | 688,879 | ||||||
Builders FirstSource, Inc.(c) | 7,317 | 1,271,183 | ||||||
Kingspan Group PLC | 3,444 | 279,710 |
5
Company | Shares | U.S. $ Value | ||||||
Lennox International, Inc. | 1,402 | $ | 600,280 | |||||
Masco Corp. | 17,583 | 1,183,160 | ||||||
Nibe Industrier AB - Class B(a) | 10,320 | 61,664 | ||||||
Owens Corning | 5,076 | 769,166 | ||||||
|
| |||||||
5,510,467 | ||||||||
|
| |||||||
Construction & Engineering – 0.1% |
| |||||||
MasTec, Inc.(c) | 8,501 | 558,261 | ||||||
Quanta Services, Inc. | 2,901 | 562,939 | ||||||
|
| |||||||
1,121,200 | ||||||||
|
| |||||||
Construction Machinery & Heavy Transportation Equipment – 0.3% |
| |||||||
Alstom SA | 13,043 | 164,477 | ||||||
Cummins, Inc. | 3,189 | 763,128 | ||||||
Volvo AB - Class B | 52,059 | 1,247,611 | ||||||
|
| |||||||
2,175,216 | ||||||||
|
| |||||||
Electrical Components & Equipment – 1.4% |
| |||||||
ABB Ltd. (REG) | 8,908 | 376,914 | ||||||
Acuity Brands, Inc. | 5,120 | 1,219,379 | ||||||
Array Technologies, Inc.(c) | 50,173 | 664,291 | ||||||
Contemporary Amperex Technology Co., Ltd. - Class A | 14,160 | 299,247 | ||||||
Doosan Fuel Cell Co., Ltd.(c) | 13,832 | 213,916 | ||||||
Ecopro BM Co., Ltd.(c) | 2,093 | 332,226 | ||||||
Eve Energy Co., Ltd. - Class A | 61,900 | 300,393 | ||||||
Fluence Energy, Inc.(c) | 32,581 | 647,385 | ||||||
FuelCell Energy, Inc.(c) | 380,709 | 456,851 | ||||||
GoodWe Technologies Co., Ltd. - Class A | 19,043 | 247,419 | ||||||
Gotion High-tech Co., Ltd. - Class A(c) | 48,000 | 124,958 | ||||||
GS Yuasa Corp. | 43,600 | 628,832 | ||||||
Legrand SA | 3,194 | 309,548 | ||||||
Nexans SA | 3,719 | 338,497 | ||||||
NEXTracker, Inc. - Class A(c) | 16,009 | 724,727 | ||||||
Ningbo Ronbay New Energy Technology Co., Ltd. - Class A | 90,578 | 358,968 | ||||||
Plug Power, Inc.(a) (c) | 137,520 | 611,964 | ||||||
Prysmian SpA | 15,254 | 671,326 | ||||||
Schneider Electric SE | 1,577 | 309,802 | ||||||
Signify NV(b) | 11,725 | 351,570 | ||||||
Sungrow Power Supply Co., Ltd. - Class A | 38,000 | 414,986 | ||||||
SunPower Corp.(a) (c) | 134,515 | 407,580 | ||||||
Sunrun, Inc.(c) | 34,973 | 506,409 | ||||||
|
| |||||||
10,517,188 | ||||||||
|
| |||||||
Heavy Electrical Equipment – 0.4% |
| |||||||
Bloom Energy Corp. - Class A(a) (c) | 48,051 | 543,937 | ||||||
BWX Technologies, Inc. | 8,146 | 663,736 | ||||||
Goldwind Science & Technology Co., Ltd. - Class A | 433,100 | 420,999 | ||||||
NARI Technology Co., Ltd. - Class A | 122,070 | 357,048 | ||||||
NEL ASA(c) | 61,252 | 30,580 | ||||||
Nordex SE(c) | 14,151 | 144,387 | ||||||
Siemens Energy AG(c) | 10,237 | 152,091 |
6
Company | Shares | U.S. $ Value | ||||||
Titan Wind Energy Suzhou Co., Ltd. - Class A(c) | 214,500 | $ | 266,649 | |||||
Vestas Wind Systems A/S(c) | 8,432 | 237,740 | ||||||
|
| |||||||
2,817,167 | ||||||||
|
| |||||||
Industrial Conglomerates – 0.3% |
| |||||||
DCC PLC | 12,241 | 889,912 | ||||||
General Electric Co. | 5,027 | 665,676 | ||||||
Hitachi Ltd. | 2,600 | 204,231 | ||||||
Siemens AG (REG) | 1,858 | 332,626 | ||||||
|
| |||||||
2,092,445 | ||||||||
|
| |||||||
Industrial Machinery & Supplies & Components – 0.3% |
| |||||||
Chart Industries, Inc.(a) (c) | 4,040 | 471,549 | ||||||
Energy Recovery, Inc.(c) | 29,505 | 457,623 | ||||||
McPhy Energy SA(c) | 4,666 | 13,764 | ||||||
NGK Insulators Ltd. | 27,000 | 337,304 | ||||||
Snap-on, Inc. | 778 | 225,565 | ||||||
Xylem, Inc./NY | 4,466 | 502,157 | ||||||
|
| |||||||
2,007,962 | ||||||||
|
| |||||||
Trading Companies & Distributors – 0.2% |
| |||||||
Brenntag SE | 3,386 | 299,356 | ||||||
Fastenal Co. | 18,680 | 1,274,537 | ||||||
|
| |||||||
1,573,893 | ||||||||
|
| |||||||
30,365,868 | ||||||||
|
| |||||||
Software & Services – 2.0% |
| |||||||
Application Software – 0.9% |
| |||||||
Autodesk, Inc.(c) | 5,274 | 1,338,594 | ||||||
Cadence Design Systems, Inc.(c) | 4,782 | 1,379,416 | ||||||
Constellation Software, Inc./Canada(a) | 86 | 237,691 | ||||||
DocuSign, Inc.(c) | 5,816 | 354,311 | ||||||
Dropbox, Inc. - Class A(c) | 37,497 | 1,187,905 | ||||||
Manhattan Associates, Inc.(c) | 5,467 | 1,326,075 | ||||||
Salesforce, Inc.(c) | 1,425 | 400,553 | ||||||
Synopsys, Inc.(c) | 520 | 277,342 | ||||||
|
| |||||||
6,501,887 | ||||||||
|
| |||||||
Internet Services & Infrastructure – 0.1% |
| |||||||
VeriSign, Inc.(c) | 5,851 | 1,163,647 | ||||||
|
| |||||||
Systems Software – 1.0% |
| |||||||
Microsoft Corp. | 14,854 | 5,905,654 | ||||||
ServiceNow, Inc.(c) | 2,028 | 1,552,231 | ||||||
|
| |||||||
7,457,885 | ||||||||
|
| |||||||
15,123,419 | ||||||||
|
| |||||||
Utilities – 1.7% |
| |||||||
Electric Utilities – 0.4% |
| |||||||
Elia Group SA/NV | 1,569 | 188,916 | ||||||
Enel SpA | 132,300 | 902,733 | ||||||
Iberdrola SA(c) | 49,380 | 594,579 |
7
Company | Shares | U.S. $ Value | ||||||
Orsted AS | 950 | $ | 53,546 | |||||
Redeia Corp. SA | 19,052 | 317,028 | ||||||
SSE PLC | 13,934 | 296,765 | ||||||
Terna - Rete Elettrica Nazionale | 40,222 | 339,154 | ||||||
Verbund AG | 7,419 | 603,301 | ||||||
|
| |||||||
3,296,022 | ||||||||
|
| |||||||
Gas Utilities – 0.2% |
| |||||||
APA Group | 214,300 | 1,185,313 | ||||||
|
| |||||||
Independent Power Producers & Energy Traders – 0.2% |
| |||||||
ERG SpA(a) | 9,733 | 285,396 | ||||||
Vistra Corp. | 30,095 | 1,234,798 | ||||||
|
| |||||||
1,520,194 | ||||||||
|
| |||||||
Multi-Utilities – 0.2% |
| |||||||
E.ON SE | 22,961 | 310,646 | ||||||
National Grid PLC | 22,490 | 299,547 | ||||||
Public Service Enterprise Group, Inc. | 20,562 | 1,192,390 | ||||||
|
| |||||||
1,802,583 | ||||||||
|
| |||||||
Renewable Electricity – 0.7% |
| |||||||
Altus Power, Inc.(c) | 98,434 | 530,559 | ||||||
Boralex, Inc. - Class A(a) | 22,803 | 550,040 | ||||||
Brookfield Renewable Corp. - Class A(a) | 22,703 | 634,255 | ||||||
China Longyuan Power Group Corp., Ltd. - Class H | 598,000 | 360,720 | ||||||
Corp. ACCIONA Energias Renovables SA | 7,574 | 196,811 | ||||||
EDP Renovaveis SA(a) | 9,894 | 160,216 | ||||||
Encavis AG(c) | 17,149 | 238,754 | ||||||
Neoen SA(b) | 8,196 | 236,971 | ||||||
NextEra Energy Partners LP | 23,317 | 696,013 | ||||||
Ormat Technologies, Inc. | 8,808 | 569,702 | ||||||
RENOVA, Inc.(c) | 22,500 | 193,310 | ||||||
Solaria Energia y Medio Ambiente SA(a) (c) | 17,221 | 254,253 | ||||||
Sunnova Energy International, Inc.(a) (c) | 44,364 | 466,709 | ||||||
|
| |||||||
5,088,313 | ||||||||
|
| |||||||
12,892,425 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment – 1.6% |
| |||||||
Semiconductor Materials & Equipment – 0.6% |
| |||||||
Applied Materials, Inc. | 1,886 | 309,870 | ||||||
BE Semiconductor Industries NV(a) | 8,111 | 1,218,907 | ||||||
Enphase Energy, Inc.(c) | 5,551 | 578,026 | ||||||
GCL Technology Holdings Ltd. | 2,717,000 | 312,626 | ||||||
KLA Corp. | 2,364 | 1,404,310 | ||||||
SolarEdge Technologies, Inc.(a) (c) | 6,690 | 444,885 | ||||||
Xinyi Solar Holdings Ltd. | 1,122,000 | 515,157 | ||||||
|
| |||||||
4,783,781 | ||||||||
|
| |||||||
Semiconductors – 1.0% |
| |||||||
Broadcom, Inc. | 623 | 735,140 | ||||||
First Solar, Inc.(c) | 4,019 | 587,980 | ||||||
JA Solar Technology Co., Ltd. - Class A | 195,500 | 465,489 |
8
Company | Shares | U.S. $ Value | ||||||
LONGi Green Energy Technology Co., Ltd. - Class A | 205,132 | $ | 553,006 | |||||
Maxeon Solar Technologies Ltd.(a) (c) | 8,763 | 39,696 | ||||||
NVIDIA Corp. | 5,825 | 3,583,948 | ||||||
Shanghai Aiko Solar Energy Co., Ltd. - Class A | 204,500 | 394,238 | ||||||
Universal Display Corp. | 3,474 | 589,781 | ||||||
Wolfspeed, Inc.(c) | 15,971 | 519,856 | ||||||
|
| |||||||
7,469,134 | ||||||||
|
| |||||||
12,252,915 | ||||||||
|
| |||||||
Technology Hardware & Equipment – 1.4% |
| |||||||
Communications Equipment – 0.1% |
| |||||||
Motorola Solutions, Inc. | 3,972 | 1,269,054 | ||||||
|
| |||||||
Electronic Components – 0.1% |
| |||||||
Samsung SDI Co., Ltd. | 999 | 277,246 | ||||||
Shoals Technologies Group, Inc. - Class A(c) | 38,171 | 502,712 | ||||||
|
| |||||||
779,958 | ||||||||
|
| |||||||
Electronic Equipment & Instruments – 0.1% |
| |||||||
Itron, Inc.(c) | 8,184 | 590,394 | ||||||
Landis+Gyr Group AG | 759 | 62,235 | ||||||
|
| |||||||
652,629 | ||||||||
|
| |||||||
Technology Distributors – 0.1% |
| |||||||
CDW Corp./DE | 2,159 | 489,488 | ||||||
|
| |||||||
Technology Hardware, Storage & Peripherals – 1.0% |
| |||||||
Apple, Inc. | 35,076 | 6,468,015 | ||||||
NetApp, Inc. | 13,936 | 1,215,219 | ||||||
|
| |||||||
7,683,234 | ||||||||
|
| |||||||
10,874,363 | ||||||||
|
| |||||||
Pharmaceuticals & Biotechnology – 1.2% |
| |||||||
Biotechnology – 0.6% |
| |||||||
AbbVie, Inc. | 7,017 | 1,153,595 | ||||||
Amgen, Inc. | 2,819 | 885,899 | ||||||
Gilead Sciences, Inc. | 5,735 | 448,821 | ||||||
Incyte Corp.(c) | 9,028 | 530,575 | ||||||
Neurocrine Biosciences, Inc.(c) | 4,003 | 559,499 | ||||||
United Therapeutics Corp.(c) | 2,420 | 519,768 | ||||||
Vertex Pharmaceuticals, Inc.(c) | 1,722 | 746,280 | ||||||
|
| |||||||
4,844,437 | ||||||||
|
| |||||||
Pharmaceuticals – 0.6% |
| |||||||
Eli Lilly & Co. | 3,551 | 2,292,561 | ||||||
Jazz Pharmaceuticals PLC(c) | 1,087 | 133,397 | ||||||
Novo Nordisk A/S - Class B | 17,754 | 2,029,360 | ||||||
|
| |||||||
4,455,318 | ||||||||
|
| |||||||
9,299,755 | ||||||||
|
|
9
Company | Shares | U.S. $ Value | ||||||
Media & Entertainment – 1.1% |
| |||||||
Broadcasting – 0.1% |
| |||||||
Fox Corp. - Class B | 40,635 | $ | 1,219,457 | |||||
|
| |||||||
Interactive Home Entertainment – 0.2% |
| |||||||
Electronic Arts, Inc. | 8,973 | 1,234,505 | ||||||
|
| |||||||
Interactive Media & Services – 0.7% |
| |||||||
Alphabet, Inc. - Class A(c) | 12,392 | 1,736,119 | ||||||
Alphabet, Inc. - Class C(c) | 10,860 | 1,539,948 | ||||||
Meta Platforms, Inc. - Class A(c) | 4,421 | 1,724,809 | ||||||
|
| |||||||
5,000,876 | ||||||||
|
| |||||||
Movies & Entertainment – 0.1% |
| |||||||
Live Nation Entertainment, Inc.(c) | 5,852 | 519,950 | ||||||
|
| |||||||
7,974,788 | ||||||||
|
| |||||||
Consumer Discretionary Distribution & Retail – 1.0% |
| |||||||
Apparel Retail – 0.2% |
| |||||||
Industria de Diseno Textil SA | 29,982 | 1,281,952 | ||||||
|
| |||||||
Broadline Retail – 0.4% |
| |||||||
Amazon.com, Inc.(c) | 19,243 | 2,986,514 | ||||||
Next PLC | 2,282 | 243,618 | ||||||
|
| |||||||
3,230,132 | ||||||||
|
| |||||||
Broadline Retail – 0.2% |
| |||||||
MercadoLibre, Inc.(c) | 816 | 1,396,837 | ||||||
|
| |||||||
Home Improvement Retail – 0.2% |
| |||||||
Home Depot, Inc. (The) | 5,367 | 1,894,336 | ||||||
|
| |||||||
7,803,257 | ||||||||
|
| |||||||
Financial Services – 1.0% |
| |||||||
Asset Management & Custody Banks – 0.2% |
| |||||||
Ameriprise Financial, Inc. | 3,369 | 1,303,230 | ||||||
Ares Management Corp. - Class A | 688 | 83,578 | ||||||
|
| |||||||
1,386,808 | ||||||||
|
| |||||||
Consumer Finance – 0.0% |
| |||||||
Synchrony Financial | 9,388 | 364,912 | ||||||
|
| |||||||
Diversified Capital Markets – 0.2% |
| |||||||
UBS Group AG (REG) | 47,037 | 1,407,940 | ||||||
|
| |||||||
Financial Exchanges & Data – 0.2% |
| |||||||
Moody’s Corp. | 3,321 | 1,301,965 | ||||||
|
| |||||||
Transaction & Payment Processing Services – 0.4% |
| |||||||
Mastercard, Inc. - Class A | 4,504 | 2,023,332 | ||||||
Visa, Inc. - Class A | 3,578 | 977,724 | ||||||
|
| |||||||
3,001,056 | ||||||||
|
| |||||||
7,462,681 | ||||||||
|
| |||||||
Insurance – 0.9% |
| |||||||
Life & Health Insurance – 0.6% |
| |||||||
iA Financial Corp., Inc. | 13,323 | 905,740 | ||||||
Japan Post Holdings Co., Ltd. | 132,400 | 1,267,423 |
10
Company | Shares | U.S. $ Value | ||||||
Japan Post Insurance Co., Ltd. | 64,500 | $ | 1,207,561 | |||||
Legal & General Group PLC | 167,993 | 540,340 | ||||||
Manulife Financial Corp. | 21,849 | 482,988 | ||||||
Sun Life Financial, Inc. | 4,511 | 233,829 | ||||||
|
| |||||||
4,637,881 | ||||||||
|
| |||||||
Property & Casualty Insurance – 0.1% |
| |||||||
Erie Indemnity Co. - Class A | 1,362 | 471,020 | ||||||
|
| |||||||
Reinsurance – 0.2% |
| |||||||
Everest Group Ltd. | 3,216 | 1,238,063 | ||||||
Swiss Re AG | 4,488 | 513,878 | ||||||
|
| |||||||
1,751,941 | ||||||||
|
| |||||||
6,860,842 | ||||||||
|
| |||||||
Health Care Equipment & Services – 0.9% |
| |||||||
Health Care Distributors – 0.2% |
| |||||||
Cardinal Health, Inc. | 11,297 | 1,233,519 | ||||||
Cencora, Inc. | 1,040 | 241,987 | ||||||
McKesson Corp. | 684 | 341,925 | ||||||
|
| |||||||
1,817,431 | ||||||||
|
| |||||||
Health Care Equipment – 0.5% |
| |||||||
Demant A/S(c) | 3,353 | 151,887 | ||||||
GE Healthcare, Inc. | 13,296 | 975,395 | ||||||
IDEXX Laboratories, Inc.(c) | 2,419 | 1,245,978 | ||||||
Sonova Holding AG (REG) | 3,688 | 1,178,672 | ||||||
|
| |||||||
3,551,932 | ||||||||
|
| |||||||
Health Care Services – 0.0% |
| |||||||
ABIOMED, Inc. (CVR)(c) (d) (e) | 1,321 | 1,348 | ||||||
|
| |||||||
Managed Health Care – 0.2% |
| |||||||
Humana, Inc. | 784 | 296,399 | ||||||
Molina Healthcare, Inc.(c) | 3,096 | 1,103,538 | ||||||
|
| |||||||
1,399,937 | ||||||||
|
| |||||||
6,770,648 | ||||||||
|
| |||||||
Commercial & Professional Services – 0.9% |
| |||||||
Commercial Printing – 0.1% |
| |||||||
TOPPAN Holdings, Inc. | 41,900 | 1,154,950 | ||||||
|
| |||||||
Diversified Support Services – 0.1% |
| |||||||
Cintas Corp. | 1,356 | 819,797 | ||||||
|
| |||||||
Environmental & Facilities Services – 0.3% |
| |||||||
Casella Waste Systems, Inc. - Class A(c) | 5,289 | 451,363 | ||||||
Clean Harbors, Inc.(c) | 3,718 | 624,475 | ||||||
Rollins, Inc. | 26,963 | 1,167,768 | ||||||
|
| |||||||
2,243,606 | ||||||||
|
| |||||||
Human Resource & Employment Services – 0.2% |
| |||||||
Automatic Data Processing, Inc. | 185 | 45,470 | ||||||
Robert Half, Inc. | 14,582 | 1,159,852 | ||||||
|
| |||||||
1,205,322 | ||||||||
|
|
11
Company | Shares | U.S. $ Value | ||||||
Research & Consulting Services – 0.2% |
| |||||||
Verisk Analytics, Inc. | 5,150 | $ | 1,243,879 | |||||
|
| |||||||
6,667,554 | ||||||||
|
| |||||||
Food Beverage & Tobacco – 0.8% |
| |||||||
Agricultural Products & Services – 0.2% |
| |||||||
Darling Ingredients, Inc.(c) | 24,689 | 1,069,034 | ||||||
|
| |||||||
Brewers – 0.1% |
| |||||||
Heineken Holding NV | 12,438 | 1,043,643 | ||||||
|
| |||||||
Packaged Foods & Meats – 0.5% |
| |||||||
Associated British Foods PLC | 11,207 | 331,944 | ||||||
Beyond Meat, Inc.(a) (c) | 67,944 | 449,789 | ||||||
Kerry Group PLC - Class A | 1,138 | 101,435 | ||||||
Lamb Weston Holdings, Inc. | 10,794 | 1,105,737 | ||||||
Maple Leaf Foods, Inc.(a) | 40,589 | 774,073 | ||||||
Mowi ASA | 43,202 | 777,650 | ||||||
|
| |||||||
3,540,628 | ||||||||
|
| |||||||
5,653,305 | ||||||||
|
| |||||||
Consumer Services – 0.7% |
| |||||||
Casinos & Gaming – 0.0% |
| |||||||
La Francaise des Jeux SAEM | 5,337 | 216,328 | ||||||
|
| |||||||
Hotels, Resorts & Cruise Lines – 0.7% |
| |||||||
Airbnb, Inc. - Class A(c) | 9,537 | 1,374,663 | ||||||
Booking Holdings, Inc.(c) | 409 | 1,434,555 | ||||||
Expedia Group, Inc.(c) | 8,232 | 1,221,053 | ||||||
Hyatt Hotels Corp. - Class A | 9,430 | 1,210,529 | ||||||
|
| |||||||
5,240,800 | ||||||||
|
| |||||||
5,457,128 | ||||||||
|
| |||||||
Banks – 0.6% |
| |||||||
Diversified Banks – 0.6% |
| |||||||
Banco Bilbao Vizcaya Argentaria SA | 143,608 | 1,344,090 | ||||||
First Citizens BancShares, Inc./NC - Class A | 854 | 1,289,540 | ||||||
Skandinaviska Enskilda Banken AB - Class A | 90,863 | 1,290,449 | ||||||
UniCredit SpA | 31,875 | 933,684 | ||||||
|
| |||||||
4,857,763 | ||||||||
|
| |||||||
Automobiles & Components – 0.6% |
| |||||||
Automobile Manufacturers – 0.6% |
| |||||||
BYD Co., Ltd. - Class H | 18,500 | 414,218 | ||||||
Li Auto, Inc. - Class A(c) | 52,400 | 724,321 | ||||||
Lucid Group, Inc.(a) (c) | 157,312 | 531,714 | ||||||
Nissan Motor Co., Ltd. | 307,500 | 1,207,191 | ||||||
Rivian Automotive, Inc. - Class A(c) | 27,260 | 417,351 | ||||||
Tesla, Inc.(c) | 6,260 | 1,172,436 | ||||||
|
| |||||||
4,467,231 | ||||||||
|
| |||||||
Consumer Durables & Apparel – 0.6% |
| |||||||
Apparel, Accessories & Luxury Goods – 0.3% |
| |||||||
Lululemon Athletica, Inc.(c) | 2,045 | 928,062 |
12
Company | Shares | U.S. $ Value | ||||||
Pandora A/S | 8,194 | $ | 1,197,282 | |||||
|
| |||||||
2,125,344 | ||||||||
|
| |||||||
Consumer Electronics – 0.1% |
| |||||||
Panasonic Holdings Corp. | 32,000 | 301,401 | ||||||
|
| |||||||
Footwear – 0.0% |
| |||||||
Deckers Outdoor Corp.(c) | 267 | 201,246 | ||||||
|
| |||||||
Homebuilding – 0.2% |
| |||||||
Desarrolladora Homex SAB de CV(c) | 1,590 | 1 | ||||||
PulteGroup, Inc. | 15,520 | 1,622,771 | ||||||
Urbi Desarrollos Urbanos SAB de CV(c) | 9 | 4 | ||||||
|
| |||||||
1,622,776 | ||||||||
|
| |||||||
4,250,767 | ||||||||
|
| |||||||
Consumer Staples Distribution & Retail – 0.4% |
| |||||||
Consumer Staples Merchandise Retail – 0.0% |
| |||||||
Costco Wholesale Corp. | 477 | 331,458 | ||||||
|
| |||||||
Food Distributors – 0.2% |
| |||||||
Sysco Corp. | 16,073 | 1,300,788 | ||||||
|
| |||||||
Food Retail – 0.2% |
| |||||||
J Sainsbury PLC | 321,471 | 1,097,553 | ||||||
|
| |||||||
2,729,799 | ||||||||
|
| |||||||
Transportation – 0.3% |
| |||||||
Airport Services – 0.2% |
| |||||||
Aena SME SA | 6,709 | 1,186,870 | ||||||
|
| |||||||
Cargo Ground Transportation – 0.1% |
| |||||||
Old Dominion Freight Line, Inc. | 2,191 | 856,725 | ||||||
|
| |||||||
Rail Transportation – 0.0% |
| |||||||
MTR Corp., Ltd. | 85,000 | 276,531 | ||||||
|
| |||||||
2,320,126 | ||||||||
|
| |||||||
Telecommunication Services – 0.3% |
| |||||||
Integrated Telecommunication Services – 0.1% |
| |||||||
Sirius XM Holdings, Inc.(a) | 184,329 | 938,235 | ||||||
|
| |||||||
Wireless Telecommunication Services – 0.2% |
| |||||||
SoftBank Corp. | 83,500 | 1,109,368 | ||||||
|
| |||||||
2,047,603 | ||||||||
|
| |||||||
Household & Personal Products – 0.1% |
| |||||||
Household Products – 0.1% |
| |||||||
Kimberly-Clark Corp. | 7,701 | 931,590 | ||||||
|
| |||||||
Total Common Stocks | 520,840,228 | |||||||
|
| |||||||
INVESTMENT COMPANIES – 0.9% |
| |||||||
Funds and Investment Trusts – 0.9% |
| |||||||
iShares MSCI Global Metals & Mining Producers ETF(a) (g) | 156,590 | 6,338,763 | ||||||
|
|
13
Company | Shares | U.S. $ Value | ||||||
WARRANTS – 0.0% |
| |||||||
Constellation Software, Inc., expiring 03/31/2040(a) (c) (d) (e) | 421 | $ | 0 | |||||
|
| |||||||
SHORT-TERM INVESTMENTS – 26.6% |
| |||||||
Investment Companies – 26.6% |
| |||||||
AB Fixed Income Shares, Inc. - Government Money Market Portfolio - Class AB, 5.24%(g) (h) (i) | 198,777,809 | 198,777,809 | ||||||
|
| |||||||
Total Investments Before Security Lending Collateral for Securities Loaned – 97.2% |
| 725,956,800 | ||||||
|
| |||||||
INVESTMENTS OF CASH COLLATERAL FOR SECURITIES LOANED – 1.1% |
| |||||||
Investment Companies – 1.1% |
| |||||||
AB Fixed Income Shares, Inc. - Government Money Market Portfolio - Class AB, 5.24%(g) (h) (i) | 8,441,736 | 8,441,736 | ||||||
|
| |||||||
Total Investments – 98.3% |
| 734,398,536 | ||||||
Other assets less liabilities – 1.7% | 12,348,770 | |||||||
|
| |||||||
Net Assets – 100.0% | $ | 746,747,306 | ||||||
|
|
FUTURES
Description | Number of Contracts | Expiration Month | Current Notional | Value and Unrealized Appreciation (Depreciation) | ||||||||||||||||
Purchased Contracts |
| |||||||||||||||||||
Brent Crude Futures | 193 | March 2024 | $ | 15,492,110 | $ | 417,326 | ||||||||||||||
Coffee Robusta Futures | 58 | March 2024 | 1,916,900 | 389,775 | ||||||||||||||||
Coffee ‘C’ Futures | 98 | May 2024 | 7,017,413 | 869,827 | ||||||||||||||||
Copper Futures | 125 | March 2024 | 12,206,250 | 219,323 | ||||||||||||||||
Corn Futures | 414 | May 2024 | 9,490,950 | (671,120 | ) | |||||||||||||||
Cotton No.2 Futures | 93 | May 2024 | 4,018,065 | 150,649 | ||||||||||||||||
Euro STOXX 50 Index Futures | 40 | March 2024 | 2,016,587 | 4,262 | ||||||||||||||||
FTSE 100 Index Futures | 5 | March 2024 | 483,412 | (292 | ) | |||||||||||||||
Gasoline RBOB Futures | 40 | February 2024 | 3,748,416 | (11,382 | ) | |||||||||||||||
Gold 100 OZ Futures | 188 | April 2024 | 38,867,120 | 326,637 | ||||||||||||||||
KC HRW Wheat Futures | 97 | May 2024 | 3,008,213 | (195,911 | ) | |||||||||||||||
Lean Hogs Futures | 129 | February 2024 | 3,939,660 | (108,649 | ) | |||||||||||||||
Live Cattle Futures | 80 | April 2024 | 5,782,400 | (31,507 | ) | |||||||||||||||
LME Lead Futures | 29 | March 2024 | 1,587,257 | 108,356 | ||||||||||||||||
LME Nickel Futures | 30 | March 2024 | 2,907,360 | 19,535 | ||||||||||||||||
LME Primary Aluminum Futures | 174 | March 2024 | 9,852,402 | (18,965 | ) | |||||||||||||||
LME Zinc Futures | 70 | March 2024 | 4,408,863 | (30,211 | ) | |||||||||||||||
Low SU Gasoil Futures | 75 | March 2024 | 6,277,500 | 96,865 | ||||||||||||||||
MSCI Emerging Markets Futures | 113 | March 2024 | 5,541,520 | (15,393 | ) | |||||||||||||||
Natural Gas Futures | 412 | February 2024 | 8,652,000 | (4,954,907 | ) | |||||||||||||||
NY Harbor ULSD Futures | 42 | February 2024 | 4,913,093 | (56,767 | ) | |||||||||||||||
S&P 500 E-Mini Futures | 38 | March 2024 | 9,253,950 | (88,793 | ) |
14
Description | Number of Contracts | Expiration Month | Current Notional | Value and Unrealized Appreciation (Depreciation) | ||||||||||||||||
S&P/TSX 60 Index Futures | 2 | March 2024 | $ | 378,088 | $ (1,432 | ) | ||||||||||||||
Silver Futures | 79 | March 2024 | 9,151,755 | (464,082 | ) | |||||||||||||||
Soybean Futures | 173 | May 2024 | 10,663,288 | (1,051,229 | ) | |||||||||||||||
Soybean Meal Futures | 158 | May 2024 | 5,752,780 | (510,099 | ) | |||||||||||||||
Soybean Oil Futures | 207 | May 2024 | 5,780,268 | (356,545 | ) | |||||||||||||||
SPI 200 Futures | 4 | March 2024 | 501,419 | 6,488 | ||||||||||||||||
Sugar 11 (World) Futures | 260 | April 2024 | 6,770,400 | (886,115 | ) | |||||||||||||||
TOPIX Index Futures | 5 | March 2024 | 867,475 | 18,865 | ||||||||||||||||
Wheat (CBT) Futures | 156 | May 2024 | 4,720,950 | (34,122 | ) | |||||||||||||||
WTI Crude Futures | 218 | February 2024 | 16,535,300 | (987,533 | ) | |||||||||||||||
Sold Contracts |
| |||||||||||||||||||
Bloomberg Commodity Index Futures | 2,821 | March 2024 | 27,803,776 | 89,947 | ||||||||||||||||
LME Lead Futures | 2 | March 2024 | 109,466 | (2,585 | ) | |||||||||||||||
LME Nickel Futures | 2 | March 2024 | 193,824 | (2,970 | ) | |||||||||||||||
LME Primary Aluminum Futures | 14 | March 2024 | 792,722 | (42,716 | ) | |||||||||||||||
LME Zinc Futures | 6 | March 2024 | 377,903 | (8,846 | ) | |||||||||||||||
|
| |||||||||||||||||||
$ (7,814,316 | ) | |||||||||||||||||||
|
|
FORWARD CURRENCY EXCHANGE CONTRACTS
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||||
Bank of America, NA | BRL | 17,309 | USD | 3,494 | 02/02/2024 | $ | 635 | |||||||||||||||||||||||
Bank of America, NA | USD | 3,501 | BRL | 17,309 | 02/02/2024 | (7,703 | ) | |||||||||||||||||||||||
Bank of America, NA | ZAR | 52,878 | USD | 2,875 | 02/07/2024 | 52,087 | ||||||||||||||||||||||||
Bank of America, NA | NOK | 53,059 | USD | 5,108 | 02/16/2024 | 61,299 | ||||||||||||||||||||||||
Bank of America, NA | SEK | 40,424 | USD | 3,944 | 02/16/2024 | 57,442 | ||||||||||||||||||||||||
Bank of America, NA | SEK | 34,704 | USD | 3,328 | 02/16/2024 | (8,387 | ) | |||||||||||||||||||||||
Bank of America, NA | USD | 9,322 | NOK | 101,585 | 02/16/2024 | 340,611 | ||||||||||||||||||||||||
Bank of America, NA | CZK | 16,116 | USD | 712 | 02/22/2024 | 10,743 | ||||||||||||||||||||||||
Bank of America, NA | HUF | 1,097,109 | USD | 3,152 | 02/22/2024 | 68,978 | ||||||||||||||||||||||||
Bank of America, NA | PLN | 17,463 | USD | 4,347 | 02/22/2024 | (13,375 | ) | |||||||||||||||||||||||
Bank of America, NA | USD | 3,544 | CZK | 80,737 | 02/22/2024 | (31,938 | ) | |||||||||||||||||||||||
Bank of America, NA | TWD | 258,464 | USD | 8,371 | 02/26/2024 | 86,014 | ||||||||||||||||||||||||
Bank of America, NA | TWD | 342,211 | USD | 10,893 | 02/26/2024 | (76,568 | ) | |||||||||||||||||||||||
Bank of America, NA | USD | 4,676 | TWD | 146,064 | 02/26/2024 | 5,688 | ||||||||||||||||||||||||
Bank of America, NA | USD | 7,561 | TWD | 232,878 | 02/26/2024 | (96,290 | ) | |||||||||||||||||||||||
Bank of America, NA | BRL | 7,884 | USD | 1,600 | 03/04/2024 | 12,335 | ||||||||||||||||||||||||
Bank of America, NA | NZD | 5,398 | USD | 3,367 | 03/07/2024 | 67,576 | ||||||||||||||||||||||||
Bank of America, NA | USD | 2,408 | NZD | 3,926 | 03/07/2024 | (8,094 | ) | |||||||||||||||||||||||
Bank of America, NA | JPY | 1,546,872 | USD | 10,781 | 03/08/2024 | 213,522 | ||||||||||||||||||||||||
Bank of America, NA | JPY | 134,267 | USD | 913 | 03/08/2024 | (3,861 | ) | |||||||||||||||||||||||
Bank of America, NA | INR | 343,469 | USD | 4,126 | 03/14/2024 | (2,105 | ) | |||||||||||||||||||||||
Bank of America, NA | USD | 5,411 | INR | 452,402 | 03/14/2024 | 26,039 | ||||||||||||||||||||||||
Bank of America, NA | CAD | 10,918 | USD | 8,172 | 03/15/2024 | 46,586 | ||||||||||||||||||||||||
Bank of America, NA | COP | 11,890,396 | USD | 2,984 | 03/15/2024 | (46,476 | ) | |||||||||||||||||||||||
Bank of America, NA | MXN | 13,318 | USD | 762 | 03/15/2024 | (6,872 | ) | |||||||||||||||||||||||
Bank of America, NA | PEN | 15,887 | USD | 4,273 | 03/15/2024 | 101,206 | ||||||||||||||||||||||||
Bank of America, NA | USD | 4,673 | CAD | 6,253 | 03/15/2024 | (19,597 | ) | |||||||||||||||||||||||
Bank of America, NA | USD | 8,230 | KRW | 10,804,529 | 04/18/2024 | (98,699 | ) | |||||||||||||||||||||||
Bank of America, NA | GBP | 2,967 | USD | 3,783 | 04/19/2024 | 20,920 | ||||||||||||||||||||||||
Bank of America, NA | USD | 4,464 | IDR | 70,434,193 | 04/25/2024 | (6,057 | ) | |||||||||||||||||||||||
Bank of America, NA | USD | 397 | PHP | 22,339 | 04/25/2024 | 256 | ||||||||||||||||||||||||
Bank of America, NA | USD | 1,357 | PHP | 76,278 | 04/25/2024 | (1,587 | ) | |||||||||||||||||||||||
Barclays Bank PLC | BRL | 30,288 | USD | 6,130 | 02/02/2024 | 16,596 | ||||||||||||||||||||||||
Barclays Bank PLC | USD | 6,166 | BRL | 30,288 | 02/02/2024 | (52,921 | ) | |||||||||||||||||||||||
Barclays Bank PLC | USD | 9,890 | ZAR | 188,936 | 02/07/2024 | 197,353 | ||||||||||||||||||||||||
Barclays Bank PLC | CHF | 2,284 | USD | 2,631 | 02/15/2024 | (19,181 | ) | |||||||||||||||||||||||
Barclays Bank PLC | NOK | 100,344 | USD | 9,587 | 02/16/2024 | 42,731 | ||||||||||||||||||||||||
Barclays Bank PLC | SEK | 27,226 | USD | 2,606 | 02/16/2024 | (12,080 | ) | |||||||||||||||||||||||
Barclays Bank PLC | USD | 1,459 | NOK | 15,857 | 02/16/2024 | 48,979 |
15
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||||
Barclays Bank PLC | USD | 1,620 | SEK | 16,869 | 02/16/2024 | $ | 2,310 | |||||||||||||||||||||||
Barclays Bank PLC | USD | 19,274 | SEK | 197,414 | 02/16/2024 | (292,981 | ) | |||||||||||||||||||||||
Barclays Bank PLC | HUF | 997,646 | USD | 2,845 | 02/22/2024 | 42,090 | ||||||||||||||||||||||||
Barclays Bank PLC | PLN | 2,489 | USD | 614 | 02/22/2024 | (7,639 | ) | |||||||||||||||||||||||
Barclays Bank PLC | USD | 5,939 | PLN | 23,482 | 02/22/2024 | (76,287 | ) | |||||||||||||||||||||||
Barclays Bank PLC | TWD | 39,628 | USD | 1,281 | 02/26/2024 | 11,038 | ||||||||||||||||||||||||
Barclays Bank PLC | USD | 892 | TWD | 27,760 | 02/26/2024 | (2,453 | ) | |||||||||||||||||||||||
Barclays Bank PLC | CNH | 116,710 | USD | 16,343 | 03/07/2024 | 75,832 | ||||||||||||||||||||||||
Barclays Bank PLC | USD | 3,833 | NZD | 6,311 | 03/07/2024 | 24,381 | ||||||||||||||||||||||||
Barclays Bank PLC | USD | 1,763 | NZD | 2,879 | 03/07/2024 | (2,939 | ) | |||||||||||||||||||||||
Barclays Bank PLC | USD | 5,845 | JPY | 847,298 | 03/08/2024 | (56,769 | ) | |||||||||||||||||||||||
Barclays Bank PLC | MYR | 46,035 | USD | 9,929 | 03/11/2024 | 149,174 | ||||||||||||||||||||||||
Barclays Bank PLC | USD | 13,308 | MYR | 62,751 | 03/11/2024 | 23,606 | ||||||||||||||||||||||||
Barclays Bank PLC | USD | 686 | ILS | 2,563 | 03/13/2024 | 17,330 | ||||||||||||||||||||||||
Barclays Bank PLC | USD | 9,299 | EUR | 8,485 | 03/14/2024 | (113,826 | ) | |||||||||||||||||||||||
Barclays Bank PLC | USD | 8,515 | INR | 709,950 | 03/14/2024 | 16,515 | ||||||||||||||||||||||||
Barclays Bank PLC | PEN | 4,652 | USD | 1,253 | 03/15/2024 | 31,073 | ||||||||||||||||||||||||
Barclays Bank PLC | USD | 2,644 | CAD | 3,568 | 03/15/2024 | 11,301 | ||||||||||||||||||||||||
Barclays Bank PLC | USD | 4,127 | CAD | 5,514 | 03/15/2024 | (23,243 | ) | |||||||||||||||||||||||
Barclays Bank PLC | USD | 1,644 | CLP | 1,512,564 | 03/15/2024 | (22,263 | ) | |||||||||||||||||||||||
Barclays Bank PLC | USD | 1,852 | COP | 7,304,866 | 03/15/2024 | 9,872 | ||||||||||||||||||||||||
Barclays Bank PLC | USD | 14,893 | MXN | 257,664 | 03/15/2024 | (26,388 | ) | |||||||||||||||||||||||
Barclays Bank PLC | USD | 2,457 | KRW | 3,248,230 | 04/18/2024 | (12,840 | ) | |||||||||||||||||||||||
Barclays Bank PLC | GBP | 3,275 | USD | 4,166 | 04/19/2024 | 13,751 | ||||||||||||||||||||||||
Barclays Bank PLC | PHP | 238,302 | USD | 4,221 | 04/25/2024 | (14,199 | ) | |||||||||||||||||||||||
Barclays Bank PLC | USD | 16,639 | IDR | 260,290,967 | 04/25/2024 | (163,258 | ) | |||||||||||||||||||||||
Barclays Bank PLC | USD | 3,357 | PHP | 187,523 | 04/25/2024 | (23,673 | ) | |||||||||||||||||||||||
BNP Paribas SA | USD | 1,210 | CNH | 8,661 | 03/07/2024 | (2,747 | ) | |||||||||||||||||||||||
BNP Paribas SA | CAD | 9,990 | USD | 7,414 | 03/15/2024 | (20,530 | ) | |||||||||||||||||||||||
Brown Brothers Harriman & Co. | USD | 2,320 | JPY | 342,045 | 03/08/2024 | 16,586 | ||||||||||||||||||||||||
Citibank, NA | USD | 2,323 | CHF | 2,020 | 02/15/2024 | 21,506 | ||||||||||||||||||||||||
Citibank, NA | USD | 1,076 | NOK | 11,322 | 02/16/2024 | 1,073 | ||||||||||||||||||||||||
Citibank, NA | USD | 920 | JPY | 134,267 | 03/08/2024 | (2,966 | ) | |||||||||||||||||||||||
Deutsche Bank AG | ZAR | 49,628 | USD | 2,587 | 02/07/2024 | (62,747 | ) | |||||||||||||||||||||||
Deutsche Bank AG | CHF | 882 | USD | 1,028 | 02/15/2024 | 3,915 | ||||||||||||||||||||||||
Deutsche Bank AG | USD | 2,098 | CHF | 1,801 | 02/15/2024 | (7,990 | ) | |||||||||||||||||||||||
Deutsche Bank AG | SEK | 6,423 | USD | 628 | 02/16/2024 | 10,559 | ||||||||||||||||||||||||
Deutsche Bank AG | SEK | 26,727 | USD | 2,550 | 02/16/2024 | (19,850 | ) | |||||||||||||||||||||||
Deutsche Bank AG | USD | 670 | SEK | 6,695 | 02/16/2024 | (26,684 | ) | |||||||||||||||||||||||
Deutsche Bank AG | CZK | 29,240 | USD | 1,309 | 02/22/2024 | 36,910 | ||||||||||||||||||||||||
Deutsche Bank AG | HUF | 569,293 | USD | 1,601 | 02/22/2024 | 1,091 | ||||||||||||||||||||||||
Deutsche Bank AG | HUF | 726,415 | USD | 2,033 | 02/22/2024 | (8,020 | ) | |||||||||||||||||||||||
Deutsche Bank AG | USD | 846 | CZK | 19,432 | 02/22/2024 | (936 | ) | |||||||||||||||||||||||
Deutsche Bank AG | USD | 530 | PLN | 2,138 | 02/22/2024 | 3,643 | ||||||||||||||||||||||||
Deutsche Bank AG | USD | 1,161 | PLN | 4,576 | 02/22/2024 | (18,327 | ) | |||||||||||||||||||||||
Deutsche Bank AG | USD | 4,193 | TWD | 130,580 | 02/26/2024 | (7,093 | ) | |||||||||||||||||||||||
Deutsche Bank AG | USD | 2,061 | CNH | 14,841 | 03/07/2024 | 7,305 | ||||||||||||||||||||||||
Deutsche Bank AG | USD | 2,468 | CNH | 17,600 | 03/07/2024 | (14,849 | ) | |||||||||||||||||||||||
Deutsche Bank AG | EUR | 4,296 | USD | 4,663 | 03/14/2024 | 12,573 | ||||||||||||||||||||||||
Deutsche Bank AG | USD | 2,451 | INR | 204,039 | 03/14/2024 | 985 | ||||||||||||||||||||||||
Deutsche Bank AG | MXN | 36,230 | USD | 2,103 | 03/15/2024 | 12,747 | ||||||||||||||||||||||||
Deutsche Bank AG | MXN | 11,919 | USD | 688 | 03/15/2024 | (27 | ) | |||||||||||||||||||||||
Deutsche Bank AG | USD | 1,623 | COP | 6,492,724 | 03/15/2024 | 32,015 | ||||||||||||||||||||||||
Deutsche Bank AG | IDR | 150,152,341 | USD | 9,634 | 04/25/2024 | 130,159 | ||||||||||||||||||||||||
Deutsche Bank AG | USD | 6,224 | PHP | 350,728 | 04/25/2024 | 9,872 | ||||||||||||||||||||||||
Goldman Sachs Bank USA | BRL | 4,107 | USD | 829 | 02/02/2024 | 151 | ||||||||||||||||||||||||
Goldman Sachs Bank USA | USD | 836 | BRL | 4,107 | 02/02/2024 | (6,701 | ) | |||||||||||||||||||||||
Goldman Sachs Bank USA | ZAR | 17,723 | USD | 966 | 02/07/2024 | 19,998 | ||||||||||||||||||||||||
Goldman Sachs Bank USA | CHF | 984 | USD | 1,122 | 02/15/2024 | (20,256 | ) | |||||||||||||||||||||||
Goldman Sachs Bank USA | SEK | 42,598 | USD | 4,073 | 02/16/2024 | (22,639 | ) | |||||||||||||||||||||||
Goldman Sachs Bank USA | USD | 4,317 | SEK | 43,719 | 02/16/2024 | (113,839 | ) | |||||||||||||||||||||||
Goldman Sachs Bank USA | PLN | 2,167 | USD | 543 | 02/22/2024 | 1,917 | ||||||||||||||||||||||||
Goldman Sachs Bank USA | BRL | 4,107 | USD | 833 | 03/04/2024 | 6,578 | ||||||||||||||||||||||||
Goldman Sachs Bank USA | JPY | 1,276,553 | USD | 8,847 | 03/08/2024 | 126,193 | ||||||||||||||||||||||||
Goldman Sachs Bank USA | USD | 3,367 | JPY | 496,069 | 03/08/2024 | 22,455 | ||||||||||||||||||||||||
Goldman Sachs Bank USA | USD | 2,456 | JPY | 354,303 | 03/08/2024 | (35,024 | ) | |||||||||||||||||||||||
Goldman Sachs Bank USA | EUR | 2,597 | USD | 2,851 | 03/14/2024 | 39,632 | ||||||||||||||||||||||||
Goldman Sachs Bank USA | USD | 15,101 | EUR | 13,749 | 03/14/2024 | (216,753 | ) |
16
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||||
Goldman Sachs Bank USA | USD | 667 | COP | 2,667,227 | 03/15/2024 | $ | 13,039 | |||||||||||||||||||||||
Goldman Sachs Bank USA | KRW | 1,007,580 | USD | 756 | 04/18/2024 | (2,351 | ) | |||||||||||||||||||||||
HSBC Bank USA | PLN | 2,298 | USD | 567 | 02/22/2024 | (6,585 | ) | |||||||||||||||||||||||
JPMorgan Chase Bank, NA | CHF | 3,897 | USD | 4,545 | 02/15/2024 | 23,259 | ||||||||||||||||||||||||
JPMorgan Chase Bank, NA | NOK | 28,142 | USD | 2,738 | 02/16/2024 | 61,560 | ||||||||||||||||||||||||
JPMorgan Chase Bank, NA | SEK | 23,662 | USD | 2,313 | 02/16/2024 | 38,458 | ||||||||||||||||||||||||
JPMorgan Chase Bank, NA | CZK | 199,154 | USD | 8,929 | 02/22/2024 | 266,280 | ||||||||||||||||||||||||
JPMorgan Chase Bank, NA | USD | 3,313 | HUF | 1,163,152 | 02/22/2024 | (44,544 | ) | |||||||||||||||||||||||
JPMorgan Chase Bank, NA | USD | 510 | TWD | 15,786 | 02/26/2024 | (4,348 | ) | |||||||||||||||||||||||
JPMorgan Chase Bank, NA | CNH | 9,615 | USD | 1,341 | 03/07/2024 | 895 | ||||||||||||||||||||||||
JPMorgan Chase Bank, NA | USD | 670 | JPY | 98,411 | 03/08/2024 | 2,156 | ||||||||||||||||||||||||
JPMorgan Chase Bank, NA | EUR | 1,734 | USD | 1,892 | 03/14/2024 | 14,616 | ||||||||||||||||||||||||
JPMorgan Chase Bank, NA | USD | 2,877 | EUR | 2,646 | 03/14/2024 | (12,902 | ) | |||||||||||||||||||||||
JPMorgan Chase Bank, NA | USD | 6,795 | INR | 567,380 | 03/14/2024 | 23,554 | ||||||||||||||||||||||||
JPMorgan Chase Bank, NA | USD | 1,077 | COP | 4,273,458 | 03/15/2024 | 12,481 | ||||||||||||||||||||||||
JPMorgan Chase Bank, NA | USD | 1,516 | PEN | 5,687 | 03/15/2024 | (22,982 | ) | |||||||||||||||||||||||
JPMorgan Chase Bank, NA | USD | 4,400 | AUD | 6,685 | 04/18/2024 | (4,081 | ) | |||||||||||||||||||||||
JPMorgan Chase Bank, NA | USD | 1,070 | PHP | 59,916 | 04/25/2024 | (4,577 | ) | |||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | BRL | 27,732 | USD | 5,671 | 02/02/2024 | 73,079 | ||||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | USD | 5,598 | BRL | 27,732 | 02/02/2024 | (1,017 | ) | |||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | USD | 1,071 | ZAR | 20,163 | 02/07/2024 | 5,717 | ||||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | ZAR | 34,720 | USD | 1,833 | 02/07/2024 | (20,785 | ) | |||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | CHF | 1,715 | USD | 1,983 | 02/15/2024 | (7,434 | ) | |||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | DKK | 13,713 | USD | 1,992 | 02/16/2024 | 2,598 | ||||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | NOK | 37,927 | USD | 3,633 | 02/16/2024 | 25,328 | ||||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | NOK | 6,495 | USD | 595 | 02/16/2024 | (22,756 | ) | |||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | SEK | 25,819 | USD | 2,478 | 02/16/2024 | (4,083 | ) | |||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | HUF | 184,742 | USD | 528 | 02/22/2024 | 8,458 | ||||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | PLN | 8,627 | USD | 2,164 | 02/22/2024 | 10,268 | ||||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | PLN | 3,249 | USD | 806 | 02/22/2024 | (5,392 | ) | |||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | USD | 2,315 | CZK | 52,693 | 02/22/2024 | (22,916 | ) | |||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | USD | 3,007 | HUF | 1,055,743 | 02/22/2024 | (40,433 | ) | |||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | CNH | 6,358 | USD | 889 | 03/07/2024 | 3,058 | ||||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | CNH | 12,204 | USD | 1,698 | 03/07/2024 | (2,961 | ) | |||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | NZD | 22,767 | USD | 14,217 | 03/07/2024 | 300,216 | ||||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | USD | 1,031 | NZD | 1,652 | 03/07/2024 | (21,228 | ) |
17
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | JPY | 218,338 | USD | 1,487 | 03/08/2024 | $ (4,145 | ) | |||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | USD | 398 | MYR | 1,874 | 03/11/2024 | 89 | ||||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | INR | 902,918 | USD | 10,842 | 03/14/2024 | (9,333 | ) | |||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | USD | 611 | INR | 51,003 | 03/14/2024 | 1,773 | ||||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | CLP | 10,737,108 | USD | 11,664 | 03/15/2024 | 153,433 | ||||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | MXN | 10,157 | USD | 587 | 03/15/2024 | 1,135 | ||||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | MXN | 32,438 | USD | 1,867 | 03/15/2024 | (4,201 | ) | |||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | PEN | 18,452 | USD | 4,966 | 03/15/2024 | 120,484 | ||||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | USD | 7,420 | CAD | 9,990 | 03/15/2024 | 14,880 | ||||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | USD | 2,296 | CLP | 2,090,817 | 03/15/2024 | (54,965 | ) | |||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | KRW | 3,258,262 | USD | 2,443 | 04/18/2024 | (8,987 | ) | |||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | USD | 6,241 | GBP | 4,925 | 04/19/2024 | 3,490 | ||||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | USD | 658 | GBP | 517 | 04/19/2024 | (2,410 | ) | |||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | IDR | 14,177,043 | USD | 901 | 04/25/2024 | 3,398 | ||||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | PHP | 351,658 | USD | 6,259 | 04/25/2024 | 8,986 | ||||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | USD | 409 | IDR | 6,420,808 | 04/25/2024 | (2,798 | ) | |||||||||||||||||||||||
NatWest Markets PLC | EUR | 1,939 | USD | 2,133 | 03/14/2024 | 34,027 | ||||||||||||||||||||||||
State Street Bank & Trust Co. | CHF | 605 | USD | 699 | 02/15/2024 | (3,301 | ) | |||||||||||||||||||||||
State Street Bank & Trust Co. | SEK | 4,785 | USD | 458 | 02/16/2024 | (2,083 | ) | |||||||||||||||||||||||
State Street Bank & Trust Co. | USD | 495 | NOK | 5,119 | 02/16/2024 | (7,811 | ) | |||||||||||||||||||||||
State Street Bank & Trust Co. | PLN | 1,651 | USD | 411 | 02/22/2024 | (1,514 | ) | |||||||||||||||||||||||
State Street Bank & Trust Co. | USD | 455 | HUF | 160,082 | 02/22/2024 | (5,485 | ) | |||||||||||||||||||||||
State Street Bank & Trust Co. | NZD | 484 | USD | 302 | 03/07/2024 | 6,085 | ||||||||||||||||||||||||
State Street Bank & Trust Co. | THB | 115,574 | USD | 3,308 | 03/07/2024 | 42,030 | ||||||||||||||||||||||||
State Street Bank & Trust Co. | THB | 87,556 | USD | 2,464 | 03/07/2024 | (9,956 | ) | |||||||||||||||||||||||
State Street Bank & Trust Co. | USD | 508 | THB | 18,063 | 03/07/2024 | 2,161 | ||||||||||||||||||||||||
State Street Bank & Trust Co. | USD | 7,718 | THB | 267,637 | 03/07/2024 | (154,551 | ) | |||||||||||||||||||||||
State Street Bank & Trust Co. | JPY | 134,070 | USD | 910 | 03/08/2024 | (5,970 | ) | |||||||||||||||||||||||
State Street Bank & Trust Co. | USD | 1,283 | JPY | 189,149 | 03/08/2024 | 9,250 | ||||||||||||||||||||||||
State Street Bank & Trust Co. | USD | 13 | EUR | 12 | 03/14/2024 | (39 | ) | |||||||||||||||||||||||
State Street Bank & Trust Co. | USD | 810 | HKD | 6,310 | 03/14/2024 | (2,249 | ) | |||||||||||||||||||||||
State Street Bank & Trust Co. | CAD | 115 | USD | 86 | 03/15/2024 | 420 | ||||||||||||||||||||||||
State Street Bank & Trust Co. | USD | 173 | SGD | 232 | 03/15/2024 | (87 | ) | |||||||||||||||||||||||
State Street Bank & Trust Co. | AUD | 1,974 | USD | 1,301 | 04/18/2024 | 2,358 | ||||||||||||||||||||||||
State Street Bank & Trust Co. | USD | 688 | AUD | 1,044 | 04/18/2024 | (1,725 | ) | |||||||||||||||||||||||
State Street Bank & Trust Co. | USD | 964 | GBP | 761 | 04/19/2024 | 803 | ||||||||||||||||||||||||
UBS AG | CHF | 1,211 | USD | 1,396 | 02/15/2024 | (9,326 | ) | |||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
$ | 1,212,716 | |||||||||||||||||||||||||||||
|
|
18
INFLATION (CPI) SWAPS
Rate Type | ||||||||||||||||||||||||||||
Swap Counterparty | Notional Amount (000) | Termination Date | Payments made by the Fund | Payments received by the Fund | Payment Frequency Paid Received | Market Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||
Goldman Sachs International | USD | 110,190 | 04/25/2030 | 1.900% | CPI# | Maturity | $ | 2,607,620 | $ | — | $ | 2,607,620 | ||||||||||||||||
Goldman Sachs International | USD | 46,980 | 03/16/2031 | 2.289% | CPI# | Maturity | 426,293 | — | 426,293 | |||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | 3,033,913 | $ | — | $ | 3,033,913 | |||||||||||||||||||||||
|
|
|
|
|
|
# | Variable interest rate based on the rate of inflation as determined by the Consumer Price Index (CPI). |
TOTAL RETURN SWAPS
Counterparty & Referenced Obligation | Rate Paid/ Received | Payment Frequency | Current Notional (000) | Maturity Date | Unrealized Appreciation (Depreciation) | |||||||||||||||
Receive Total Return on Reference Obligation |
| |||||||||||||||||||
Bank of America, NA |
| |||||||||||||||||||
MLABGLIN(1) | SOFR plus 0.25% | Quarterly | USD | 44,650 | 04/15/2024 | $ (665,927 | ) | |||||||||||||
Citibank, NA |
| |||||||||||||||||||
Bloomberg Commodity Index | 0.00% | Maturity | USD | 8,283 | 03/15/2024 | 136,114 | ||||||||||||||
Merrill Lynch International |
| |||||||||||||||||||
Bloomberg Commodity Index | 0.00% | Maturity | USD | 22,430 | 03/15/2024 | (166,808 | ) | |||||||||||||
Pay Total Return on Reference Obligation |
| |||||||||||||||||||
Bank of America, NA |
| |||||||||||||||||||
FTSE EPRA/NAREIT Developed Real Estate Index | FedFundEffective plus 0.40% | Quarterly | USD | 14,072 | 09/16/2024 | 32,648 | ||||||||||||||
UBS AG |
| |||||||||||||||||||
FTSE EPRA/NAREIT Developed Real Estate Index | OBFR plus 0.48% | Quarterly | USD | 25,910 | 09/16/2024 | 960,052 | ||||||||||||||
FTSE EPRA/NAREIT Developed Real Estate Index | OBFR plus 0.42% | Quarterly | USD | 7,385 | 02/18/2025 | 22,162 | ||||||||||||||
|
| |||||||||||||||||||
$ 318,241 | ||||||||||||||||||||
|
|
(a) | Represents entire or partial securities out on loan. |
(b) | Security is exempt from registration under Rule 144A or Regulation S of the Securities Act of 1933. These securities are considered restricted, but liquid and may be resold in transactions exempt from registration. At January 31, 2024, the aggregate market value of these securities amounted to $2,682,793 or 0.4% of net assets. |
(c) | Non-income producing security. |
(d) | Fair valued by the Adviser. |
(e) | Security in which significant unobservable inputs (Level 3) were used in determining fair value. |
(f) | Restricted and illiquid security. |
19
Restricted & Illiquid Securities | Acquisition Date | Cost | Market Value | Percentage of Net Assets | ||||||||
LUKOIL PJSC | 01/07/2021-08/19/2022 | $ | 1,631,127 | $ | 0 | 0.00% |
(g) | To obtain a copy of the fund’s shareholder report, please go to the Securities and Exchange Commission’s website at www.sec.gov. Additionally, shareholder reports for AB funds can be obtained by calling AB at (800) 227-4618. |
(h) | Affiliated investments. |
(i) | The rate shown represents the 7-day yield as of period end. |
(j) | As of January 31, 2024, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $75,187,960 and gross unrealized depreciation of investments was $(37,615,010), resulting in net unrealized appreciation of $37,572,950. |
Currency Abbreviations:
AUD – Australian Dollar
BRL – Brazilian Real
CAD – Canadian Dollar
CHF – Swiss Franc
CLP – Chilean Peso
CNH – Chinese Yuan Renminbi (Offshore)
COP – Colombian Peso
CZK – Czech Koruna
DKK – Danish Krone
EUR – Euro
GBP – Great British Pound
HKD – Hong Kong Dollar
HUF – Hungarian Forint
IDR – Indonesian Rupiah
ILS – Israeli Shekel
INR – Indian Rupee
JPY – Japanese Yen
KRW – South Korean Won
MXN – Mexican Peso
MYR – Malaysian Ringgit
NOK – Norwegian Krone
NZD – New Zealand Dollar
PEN – Peruvian Sol
PHP – Philippine Peso
PLN – Polish Zloty
SEK – Swedish Krona
SGD – Singapore Dollar
THB – Thailand Baht
TWD – New Taiwan Dollar
USD – United States Dollar
ZAR – South African Rand
Glossary:
ADR – American Depositary Receipt
CBT – Chicago Board of Trade
CVR – Contingent Value Right
EPRA – European Public Real Estate Association
ETF – Exchange Traded Fund
FedFundEffective – Federal Funds Effective Rate
FTSE – Financial Times Stock Exchange
KC HRW – Kansas City Hard Red Winter
LME – London Metal Exchange
MSCI – Morgan Stanley Capital International
NAREIT – National Association of Real Estate Investment Trusts
OBFR – Overnight Bank Funding Rate
PJSC – Public Joint Stock Company
20
RBOB – Reformulated Gasoline Blend-Stock for Oxygen Blending (Unleaded Gas)
REG – Registered Shares
REIT – Real Estate Investment Trust
SOFR – Secured Overnight Financing Rate
SPI – Share Price Index
TOPIX – Tokyo Price Index
TSX – Toronto Stock Exchange
ULSD – Ultra-Low Sulfur Diesel
WTI – West Texas Intermediate
(1) The following table represents the 50 largest equity basket holdings underlying the total return swap in MLABGLIN as of January 31, 2024.
Security Description | Shares | Current Notional | Percent of Basket’s Value | ||||||||||||
Enbridge, Inc. | 74,371 | USD 3,032,638 | 6.8 | % | |||||||||||
American Tower Corp. | 12,576 | 2,809,435 | 5.8 | % | |||||||||||
Vinci SA | 22,369 | 2,518,232 | 5.5 | % | |||||||||||
National Grid PLC | 1,486 | 1,940,023 | 4.3 | % | |||||||||||
TC Energy Corp. | 37,342 | 1,602,358 | 3.6 | % | |||||||||||
Crown Castle, Inc. | 9,412 | 1,394,045 | 3.0 | % | |||||||||||
Sempra | 16,394 | 1,314,231 | 2.8 | % | |||||||||||
Williams Cos., Inc. (The) | 36,915 | 1,190,130 | 2.8 | % | |||||||||||
ONEOK, Inc. | 16,640 | 1,139,534 | 2.7 | % | |||||||||||
Transurban Group | 123,912 | 1,131,207 | 2.6 | % | |||||||||||
Energy Transfer LP | 84,224 | 1,118,495 | 2.6 | % | |||||||||||
Cheniere Energy, Inc. | 7,276 | 1,111,697 | 2.5 | % | |||||||||||
Enterprise Products Partners LP | 41,707 | 1,067,711 | 2.5 | % | |||||||||||
PG&E Corp. | 66,709 | 1,060,673 | 2.4 | % | |||||||||||
Exelon Corp. | 23,700 | 999,906 | 2.3 | % | |||||||||||
Kinder Morgan, Inc. | 51,895 | 949,677 | 2.1 | % | |||||||||||
Cellnex Telecom SA | 23,008 | 896,719 | 2.1 | % | |||||||||||
Consolidated Edison, Inc. | 9,219 | 878,665 | 1.9 | % | |||||||||||
Fortis, Inc. (Canada) | 19,268 | 788,425 | 1.8 | % | |||||||||||
Edison International | 11,084 | 763,681 | 1.7 | % | |||||||||||
SBA Communications Corp. | 2,546 | 757,650 | 1.6 | % | |||||||||||
Pembina Pipeline Corp. | 20,924 | 739,367 | 1.6 | % | |||||||||||
Ferrovial SE | 24,748 | 726,908 | 1.6 | % | |||||||||||
American Water Works Co., Inc. | 4,575 | 715,988 | 1.5 | % | |||||||||||
Eversource Energy | 7,449 | 613,264 | 1.3 | % | |||||||||||
Targa Resources Corp. | 7,075 | 530,752 | 1.3 | % | |||||||||||
Aena SME SA | 3,474 | 518,873 | 1.1 | % | |||||||||||
CenterPoint Energy, Inc. | 16,736 | 504,090 | 1.1 | % | |||||||||||
Atmos Energy Corp. | 4,065 | 477,769 | 1.1 | % | |||||||||||
Terna - Rete Elettrica Naziona | 57,470 | 452,716 | 1.1 | % | |||||||||||
Snam SpA | 80,570 | 409,063 | 0.9 | % | |||||||||||
Hydro One Ltd. | 13,540 | 368,697 | 0.9 | % | |||||||||||
Tokyo Gas Co., Ltd. | 19,483 | 362,409 | 0.9 | % | |||||||||||
MPLX LP | 10,132 | 353,794 | 0.9 | % | |||||||||||
United Utilities Group PLC | 262 | 353,015 | 0.8 | % | |||||||||||
Severn Trent PLC | 97 | 346,925 | 0.8 | % | |||||||||||
Hong Kong & China Gas Co., Ltd. | 320,803 | 322,557 | 0.7 | % | |||||||||||
NiSource, Inc. | 11,094 | 307,846 | 0.7 | % | |||||||||||
APA Group | 41,638 | 290,662 | 0.6 | % | |||||||||||
Auckland International Airport Ltd. | 54,310 | 284,162 | 0.6 | % | |||||||||||
Brookfield Infrastructure Partners LP | 7,830 | 276,728 | 0.6 | % | |||||||||||
Grupo Aeroportuario del Pacifico SAB de CV | 1,530 | 264,020 | 0.6 | % | |||||||||||
Essential Utilities, Inc. | 5,602 | 261,780 | 0.6 | % | |||||||||||
Redeia Corporacion SA | 14,756 | 260,312 | 0.6 | % | |||||||||||
Getlink SE | 13,605 | 229,501 | 0.5 | % | |||||||||||
Keyera Corp. | 9,515 | 216,137 | 0.5 | % | |||||||||||
ENN Energy Holdings Ltd. | 14,182 | 214,080 | 0.5 | % | |||||||||||
Naturgy Energy Group SA | 7,578 | 214,014 | 0.5 | % |
21
Grupo Aeroportuario del Sureste | 755 | 205,332 | 0.5 | % | |||||||||||
Cia de Saneamento Basico do Estado de Sao Paulo | 18,217 | 200,564 | 0.4 | % | |||||||||||
Other Long | 2,600,577 | 5,272,892 | 11.8 | % |
COUNTRY BREAKDOWN1
January 31, 2024 (unaudited)
43.1 | % | United States | ||
4.5 | % | United Kingdom | ||
4.3 | % | Japan | ||
3.1 | % | Canada | ||
2.9 | % | Australia | ||
2.1 | % | France | ||
1.5 | % | Spain | ||
1.2 | % | Germany | ||
1.2 | % | Italy | ||
1.1 | % | China | ||
1.1 | % | Hong Kong | ||
1.1 | % | Singapore | ||
0.9 | % | Sweden | ||
4.5 | % | Other | ||
27.4 | % | Short-Term Investments | ||
|
| |||
100.0 | % | Total Investments | ||
|
|
1 | The Fund’s country breakdown is expressed as a percentage of total investments (excluding security lending collateral) and may vary over time. The Fund also enters into derivative transactions, which may be used for hedging or investment purposes (see “Portfolio of Investments” section of the report for additional details). “Other” country weightings represent 0.8% or less in the following: Austria, Belgium, Brazil, Chile, Denmark, Finland, Ireland, Luxembourg, Mexico, Netherlands, Norway, Russia, South Africa, South Korea and Switzerland. |
22
All Market Real Return Portfolio
January 31, 2024 (unaudited)
In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. U.S. GAAP establishes a framework for measuring fair value, and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability (including those valued based on their market values). Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Fund. Unobservable inputs reflect the Fund’s own assumptions about the assumptions that market participants would use in pricing the asset or liability based on the best information available in the circumstances. Each investment is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.
• | Level 1 - quoted prices in active markets for identical investments |
• | Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
• | Level 3 - significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
The fair value of debt instruments, such as bonds, and over-the-counter derivatives is generally based on market price quotations, recently executed market transactions (where observable) or industry recognized modeling techniques and are generally classified as Level 2. Pricing vendor inputs to Level 2 valuations may include quoted prices for similar investments in active markets, interest rate curves, coupon rates, currency rates, yield curves, option adjusted spreads, default rates, credit spreads and other unique security features in order to estimate the relevant cash flows which is then discounted to calculate fair values. If these inputs are unobservable and significant to the fair value, these investments will be classified as Level 3.
Where readily available market prices or relevant bid prices are not available for certain equity investments, such investments may be valued based on similar publicly traded investments, movements in relevant indices since last available prices or based upon underlying company fundamentals and comparable company data (such as multiples to earnings or other multiples to equity). Where an investment is valued using an observable input, by pricing vendors, such as another publicly traded security, the investment will be classified as Level 2. If management determines that an adjustment is appropriate based on restrictions on resale, illiquidity or uncertainty, and such adjustment is a significant component of the valuation, the investment will be classified as Level 3. An investment will also be classified as Level 3 where management uses company fundamentals and other significant inputs to determine the valuation.
The following table summarizes the valuation of the Fund’s investments by the above fair value hierarchy levels as of January 31, 2024:
Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: |
| |||||||||||||||
Common Stocks: | ||||||||||||||||
Equity Real Estate Investment Trusts (REITs) | $ | 148,608,883 | $ | 43,822,276 | $ | — | $ | 192,431,159 | ||||||||
Energy | 40,166,507 | 33,682,181 | 0 | (a) | 73,848,688 |
Materials | 23,055,269 | 31,151,953 | 0 | (a) | 54,207,222 | |||||||||||
Real Estate Management & Development | 469,779 | 32,819,553 | — | 33,289,332 | ||||||||||||
Capital Goods | 18,311,221 | 12,054,647 | — | 30,365,868 | ||||||||||||
Software & Services | 15,123,419 | — | — | 15,123,419 | ||||||||||||
Utilities | 5,874,466 | 7,017,959 | — | 12,892,425 | ||||||||||||
Semiconductors & Semiconductor Equipment | 8,793,492 | 3,459,423 | — | 12,252,915 | ||||||||||||
Technology Hardware & Equipment | 10,534,882 | 339,481 | — | 10,874,363 | ||||||||||||
Pharmaceuticals & Biotechnology | 7,270,395 | 2,029,360 | — | 9,299,755 | ||||||||||||
Media & Entertainment | 7,974,788 | — | — | 7,974,788 | ||||||||||||
Consumer Discretionary Distribution & Retail | 6,277,687 | 1,525,570 | — | 7,803,257 | ||||||||||||
Financial Services | 6,054,741 | 1,407,940 | — | 7,462,681 | ||||||||||||
Insurance | 3,331,640 | 3,529,202 | — | 6,860,842 | ||||||||||||
Health Care Equipment & Services | 5,438,741 | 1,330,559 | 1,348 | 6,770,648 | ||||||||||||
Commercial & Professional Services | 5,512,604 | 1,154,950 | — | 6,667,554 | ||||||||||||
Food Beverage & Tobacco | 3,398,633 | 2,254,672 | — | 5,653,305 | ||||||||||||
Consumer Services | 5,240,800 | 216,328 | — | 5,457,128 | ||||||||||||
Banks | 1,289,540 | 3,568,223 | — | 4,857,763 | ||||||||||||
Automobiles & Components | 2,121,501 | 2,345,730 | — | 4,467,231 | ||||||||||||
Consumer Durables & Apparel | 2,752,084 | 1,498,683 | — | 4,250,767 | ||||||||||||
Consumer Staples Distribution & Retail | 1,632,246 | 1,097,553 | — | 2,729,799 | ||||||||||||
Transportation | 856,725 | 1,463,401 | — | 2,320,126 | ||||||||||||
Telecommunication Services | 938,235 | 1,109,368 | — | 2,047,603 | ||||||||||||
Household & Personal Products | 931,590 | — | — | 931,590 | ||||||||||||
Investment Companies | 6,338,763 | — | — | 6,338,763 | ||||||||||||
Warrants | — | — | 0 | (a) | — | |||||||||||
Short-Term Investments | 198,777,809 | — | — | 198,777,809 | ||||||||||||
Investments of Cash Collateral for Securities Loaned in Affiliated Money Market Fund | 8,441,736 | — | — | 8,441,736 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | 545,518,176 | 188,879,012 | 1,348 | (a) | 734,398,536 | |||||||||||
Other Financial Instruments(b): | ||||||||||||||||
Assets: |
| |||||||||||||||
Futures | 2,717,855 | — | — | 2,717,855 | ||||||||||||
Forward Currency Exchange Contracts | — | 3,713,554 | — | 3,713,554 | ||||||||||||
Inflation (CPI) Swaps | — | 3,033,913 | — | 3,033,913 | ||||||||||||
Total Return Swaps | — | 1,150,976 | — | 1,150,976 | ||||||||||||
Liabilities: |
| |||||||||||||||
Futures | (10,532,171 | ) | — | — | (10,532,171 | ) | ||||||||||
Forward Currency Exchange Contracts | — | (2,500,838 | ) | — | (2,500,838 | ) | ||||||||||
Total Return Swaps | — | (832,735 | ) | — | (832,735 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 537,703,860 | $ | 193,443,882 | $ | 1,348 | (a) | $ | 731,149,090 | |||||||
|
|
|
|
|
|
|
|
(a) | The Fund held securities with zero market value at period end. |
(b) | Other financial instruments are derivative instruments, such as futures, forwards and swaps, which are valued at the unrealized appreciation (depreciation) on the instrument. Other financial instruments may also include swaps with upfront premiums, written options and written swaptions which are valued at market value. |
A summary of the Fund’s transactions in AB mutual funds for the three months ended January 31, 2024 is as follows:
Fund | Market Value 10/31/2023 (000) | Purchases at Cost (000) | Sales Proceeds (000) | Market Value 01/31/2024 (000) | Dividend Income (000) | |||||||||||||||
Government Money Market Portfolio | $ | 278,916 | $ | 112,191 | $ | 192,329 | $ | 198,778 | $ | 2,829 | ||||||||||
Government Money Market Portfolio* | 8,078 | 28,084 | 27,720 | 8,442 | 130 | |||||||||||||||
Total | $ | 286,994 | $ | 140,275 | $ | 220,049 | $ | 207,220 | $ | 2,959 |
* | Investments of cash collateral for securities lending transactions. |