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 811-04146
JOHN HANCOCK VARIABLE INSURANCE TRUST
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(Exact name of registrant as specified in charter)
601 CONGRESS STREET, BOSTON, MA 02210-2805
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(Address of principal executive offices) (Zip code)
SALVATORE SCHIAVONE, 601 CONGRESS STREET, BOSTON, MA 02210-2805
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(Name and address of agent for service)
Registrant's telephone number, including area code: (617) 663-4497
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Date of fiscal year end: 12/31
Date of reporting period: 6/30/17
ITEM 1. REPORTS TO STOCKHOLDERS.
The Registrant prepared four semiannual reports to shareholders for the period ended June 30, 2017. The first report applies to 44 of the Registrant’s portfolios, the second report applies to 12 of the Registrant’s portfolios and the third report applies to 5 of the Registrant’s portfolios.
Sector weightings | 3 |
Shareholder expense example | 7 |
Summary portfolio of investments (See below for each Portfolio’s page #) | 13 |
Statements of assets and liabilities | 54 |
Statements of operations | 65 |
Statements of changes in net assets | 76 |
Financial highlights | 84 |
Notes to financial statements | 105 |
Special shareholder meeting | 148 |
Evaluation of advisory and subadvisory agreements by the board of trustees | 149 |
For more information | 167 |
Portfolio | Summary portfolio of investments | |||||
---|---|---|---|---|---|---|
500 Index Trust B | 13 | |||||
Alpha Opportunities Trust | 14 | |||||
American Asset Allocation Trust | 15 | |||||
American Global Growth Trust | 15 | |||||
American Growth Trust | 15 | |||||
American Growth-Income Trust | 15 | |||||
American International Trust | 15 | |||||
American New World Trust | 16 | |||||
Blue Chip Growth Trust | 16 | |||||
Capital Appreciation Trust | 17 | |||||
Capital Appreciation Value Trust | 17 | |||||
Core Strategy Trust | 21 | |||||
Emerging Markets Value Trust | 21 | |||||
Equity Income Trust | 22 | |||||
Financial Industries Trust | 23 | |||||
Fundamental All Cap Core Trust | 24 | |||||
Fundamental Large Cap Value Trust | 25 | |||||
Global Trust | 26 | |||||
Health Sciences Trust | 27 | |||||
International Equity Index Trust B | 28 | |||||
International Growth Stock Trust | 30 | |||||
International Small Company Trust | 31 | |||||
International Value Trust | 32 | |||||
Lifestyle Aggressive PS Series | 33 | |||||
Lifestyle Balanced PS Series | 33 | |||||
Lifestyle Conservative PS Series | 34 | |||||
Lifestyle Growth PS Series | 34 | |||||
Lifestyle Moderate PS Series | 34 | |||||
Mid Cap Index Trust | 34 | |||||
Mid Cap Stock Trust | 36 | |||||
Mid Value Trust | 37 | |||||
Mutual Shares Trust | 37 | |||||
Real Estate Securities Trust | 39 | |||||
Science & Technology Trust | 40 | |||||
Small Cap Growth Trust | 41 | |||||
Small Cap Index Trust | 42 | |||||
Small Cap Opportunities Trust | 43 | |||||
Small Cap Value Trust | 44 | |||||
Small Company Growth Trust | 45 | |||||
Small Company Value Trust | 46 | |||||
Strategic Equity Allocation Trust | 47 | |||||
Total Stock Market Index Trust | 49 | |||||
Utilities Trust | 50 | |||||
Value Trust | 52 |
Sector Composition* | | % of Total | ||||
---|---|---|---|---|---|---|
Information technology | 21.4 | |||||
Financials | 14.0 | |||||
Health care | 13.9 | |||||
Consumer discretionary | 11.8 | |||||
Industrials | 9.9 | |||||
Consumer staples | 8.7 | |||||
Energy | 5.8 | |||||
Utilities | 3.0 | |||||
Real estate | 2.8 | |||||
Materials | 2.7 | |||||
Telecommunication services | 2.0 | |||||
Short-term investments and other | 4.0 |
Sector Composition* | | % of Total | ||||
---|---|---|---|---|---|---|
Information technology | 22.9 | |||||
Financials | 20.6 | |||||
Industrials | 13.3 | |||||
Consumer discretionary | 12.0 | |||||
Health care | 11.0 | |||||
Consumer staples | 4.8 | |||||
Materials | 4.7 | |||||
Energy | 3.6 | |||||
Real estate | 2.2 | |||||
Utilities | 1.5 | |||||
Telecommunication services | 0.8 | |||||
Short-term investments and other | 2.6 |
Portfolio Composition** | | % of Total | ||||
---|---|---|---|---|---|---|
Common stocks | 62.9 | |||||
U.S. Government & Agency obligations | 12.8 | |||||
Corporate bonds | 9.7 | |||||
Collateralized mortgage obligations | 5.7 | |||||
Asset backed securities | 0.7 | |||||
Foreign government obligations | 0.3 | |||||
Short-term investments and other | 7.9 |
Sector Composition** | | % of Total | ||||
---|---|---|---|---|---|---|
Information technology | 30.5 | |||||
Consumer discretionary | 20.3 | |||||
Health care | 13.9 | |||||
Financials | 11.3 | |||||
Consumer staples | 8.3 | |||||
Industrials | 6.5 | |||||
Energy | 2.9 | |||||
Materials | 2.0 | |||||
Telecommunication services | 1.4 | |||||
Short-term investments and other | 2.9 |
Sector Composition** | | % of Total | ||||
---|---|---|---|---|---|---|
Information technology | 30.6 | |||||
Consumer discretionary | 20.8 | |||||
Health care | 14.8 | |||||
Energy | 7.7 | |||||
Financials | 7.7 | |||||
Industrials | 6.2 | |||||
Consumer staples | 2.7 | |||||
Telecommunication services | 1.0 | |||||
Materials | 0.7 | |||||
Real estate | 0.4 | |||||
Utilities | 0.3 | |||||
Short-term investments and other | 7.1 |
Sector Composition** | | % of Total | ||||
---|---|---|---|---|---|---|
Information technology | 17.2 | |||||
Consumer discretionary | 15.7 | |||||
Health care | 15.2 | |||||
Financials | 12.6 | |||||
Industrials | 8.6 | |||||
Consumer staples | 7.7 | |||||
Energy | 6.0 | |||||
Materials | 4.7 | |||||
Telecommunication services | 2.0 | |||||
Real estate | 1.9 | |||||
Utilities | 1.0 | |||||
Short-term investments and other | 7.4 |
Sector Composition** | | % of Total | ||||
---|---|---|---|---|---|---|
Financials | 17.2 | |||||
Information technology | 13.6 | |||||
Consumer discretionary | 13.3 | |||||
Health care | 9.6 | |||||
Consumer staples | 8.5 | |||||
Industrials | 8.1 | |||||
Utilities | 5.9 | |||||
Materials | 5.3 | |||||
Energy | 3.9 | |||||
Telecommunication services | 3.0 | |||||
Real estate | 1.9 | |||||
Short-term investments and other | 9.7 |
Sector Composition** | | % of Total | ||||
---|---|---|---|---|---|---|
Information technology | 26.2 | |||||
Consumer discretionary | 11.3 | |||||
Financials | 10.8 | |||||
Consumer staples | 10.1 | |||||
Energy | 8.6 | |||||
Industrials | 6.4 | |||||
Materials | 5.0 | |||||
Health care | 4.9 | |||||
Utilities | 3.3 | |||||
Telecommunication services | 2.7 | |||||
Real estate | 1.2 | |||||
Short-term investments and other | 9.5 |
Sector Composition* | | % of Total | ||||
---|---|---|---|---|---|---|
Information technology | 37.6 | |||||
Consumer discretionary | 22.9 | |||||
Health care | 17.0 | |||||
Financials | 9.4 | |||||
Industrials | 7.7 | |||||
Consumer staples | 2.1 | |||||
Real estate | 2.1 | |||||
Materials | 0.6 | |||||
Utilities | 0.2 | |||||
Short-term investments and other | 0.4 |
Sector Composition* | | % of Total | ||||
---|---|---|---|---|---|---|
Information technology | 49.2 | |||||
Consumer discretionary | 25.2 | |||||
Health care | 11.5 | |||||
Industrials | 5.0 | |||||
Financials | 3.1 | |||||
Consumer staples | 3.0 | |||||
Real estate | 1.2 | |||||
Materials | 0.9 | |||||
Energy | 0.9 |
Portfolio Composition* | | % of Total | ||||
---|---|---|---|---|---|---|
Common stocks | 61.8 | |||||
Corporate bonds | 20.1 | |||||
Preferred securities | 3.4 | |||||
Term loans | 1.3 | |||||
Asset backed securities | 0.2 | |||||
Short-term investments and other | 13.2 |
Asset Allocation* | | % of Total | ||||
---|---|---|---|---|---|---|
Large blend | 71.0 | |||||
Intermediate bond | 29.0 |
Sector Composition* | | % of Total | ||||
---|---|---|---|---|---|---|
Financials | 29.4 | |||||
Materials | 16.7 | |||||
Energy | 12.1 | |||||
Information technology | 10.3 | |||||
Industrials | 9.4 | |||||
Consumer discretionary | 9.3 | |||||
Real estate | 4.4 | |||||
Consumer staples | 2.9 | |||||
Telecommunication services | 2.5 | |||||
Utilities | 1.4 | |||||
Health care | 0.6 | |||||
Short-term investments and other | 1.0 |
Sector Composition* | | % of Total | ||||
---|---|---|---|---|---|---|
Financials | 25.8 | |||||
Health care | 11.3 | |||||
Industrials | 10.4 | |||||
Information technology | 9.8 | |||||
Energy | 9.5 | |||||
Consumer discretionary | 8.1 | |||||
Utilities | 6.8 | |||||
Consumer staples | 6.3 | |||||
Materials | 4.9 | |||||
Telecommunication services | 2.9 | |||||
Real estate | 2.1 | |||||
Short-term investments and other | 2.1 |
Industry Composition* | | % of Total | ||||
---|---|---|---|---|---|---|
Banks | 56.3 | |||||
Insurance | 15.8 | |||||
Capital markets | 8.7 | |||||
Consumer finance | 4.4 | |||||
Diversified financial services | 3.7 | |||||
Equity real estate investment trusts | 2.8 | |||||
Thrifts and mortgage finance | 1.5 | |||||
Real estate management and development | 0.8 | |||||
Short-term investments and other | 6.0 |
Sector Composition* | | % of Total | ||||
---|---|---|---|---|---|---|
Financials | 25.3 | |||||
Consumer discretionary | 22.4 | |||||
Information technology | 21.4 | |||||
Health care | 7.6 | |||||
Consumer staples | 6.9 | |||||
Energy | 5.8 | |||||
Industrials | 5.3 | |||||
Real estate | 1.9 | |||||
Materials | 1.8 | |||||
Short-term investments and other | 1.6 |
Sector Composition* | | % of Total | ||||
---|---|---|---|---|---|---|
Financials | 32.0 | |||||
Information technology | 14.2 | |||||
Health care | 12.7 | |||||
Energy | 11.5 | |||||
Industrials | 10.6 | |||||
Consumer discretionary | 9.6 | |||||
Consumer staples | 8.6 | |||||
Short-term investments and other | 0.8 |
Sector Composition* | | % of Total | ||||
---|---|---|---|---|---|---|
Financials | 23.3 | |||||
Health care | 17.4 | |||||
Information technology | 15.6 | |||||
Energy | 10.5 | |||||
Consumer discretionary | 10.4 | |||||
Telecommunication services | 5.9 | |||||
Industrials | 4.8 | |||||
Materials | 4.4 | |||||
Consumer staples | 2.3 | |||||
Utilities | 1.5 | |||||
Short-term investments and other | 3.9 |
Industry Composition* | | % of Total | ||||
---|---|---|---|---|---|---|
Biotechnology | 37.1 | |||||
Health care providers and services | 22.9 | |||||
Health care equipment and supplies | 17.2 | |||||
Pharmaceuticals | 15.1 | |||||
Life sciences tools and services | 5.3 | |||||
Food and staples retailing | 1.1 | |||||
Health care technology | 0.6 | |||||
Specialty retail | 0.2 | |||||
Software | 0.1 | |||||
Short-term investments and other | 0.4 |
Sector Composition* | | % of Total | ||||
---|---|---|---|---|---|---|
Financials | 22.4 | |||||
Industrials | 11.6 | |||||
Consumer discretionary | 11.0 | |||||
Information technology | 10.3 | |||||
Consumer staples | 9.6 | |||||
Health care | 7.9 | |||||
Materials | 7.3 | |||||
Energy | 6.2 | |||||
Telecommunication services | 4.2 | |||||
Utilities | 3.1 | |||||
Real estate | 3.0 | |||||
Short-term investments and other | 3.4 |
Sector Composition* | | % of Total | ||||
---|---|---|---|---|---|---|
Financials | 22.1 | |||||
Information technology | 18.8 | |||||
Consumer discretionary | 13.7 | |||||
Industrials | 12.7 | |||||
Consumer staples | 11.7 | |||||
Health care | 7.3 | |||||
Energy | 3.8 | |||||
Materials | 2.4 | |||||
Short-term investments and other | 7.5 |
Sector Composition* | | % of Total | ||||
---|---|---|---|---|---|---|
Industrials | 24.8 | |||||
Consumer discretionary | 16.8 | |||||
Materials | 11.8 | |||||
Financials | 11.2 | |||||
Information technology | 10.1 | |||||
Consumer staples | 6.4 | |||||
Health care | 5.4 | |||||
Energy | 4.2 | |||||
Real estate | 3.7 | |||||
Utilities | 2.9 | |||||
Telecommunication services | 1.5 | |||||
Short-term investments and other | 1.2 |
Sector Composition* | | % of Total | ||||
---|---|---|---|---|---|---|
Financials | 22.4 | |||||
Health care | 16.0 | |||||
Energy | 15.1 | |||||
Information technology | 8.8 | |||||
Materials | 8.7 | |||||
Consumer discretionary | 8.5 | |||||
Industrials | 8.2 | |||||
Telecommunication services | 7.8 | |||||
Consumer staples | 1.9 | |||||
Utilities | 1.1 | |||||
Short-term investments and other | 1.5 |
Asset Allocation*** | | % of Total | ||||
---|---|---|---|---|---|---|
Large blend | 82.6 | |||||
Exchange-traded funds | 17.4 |
Asset Allocation* | | % of Total | ||||
---|---|---|---|---|---|---|
Large blend | 50.0 | |||||
Intermediate bond | 50.0 |
Asset Allocation* | | % of Total | ||||
---|---|---|---|---|---|---|
Intermediate bond | 80.0 | |||||
Large blend | 20.0 |
Asset Allocation* | | % of Total | ||||
---|---|---|---|---|---|---|
Large blend | 70.9 | |||||
Intermediate bond | 29.1 |
Asset Allocation* | | % of Total | ||||
---|---|---|---|---|---|---|
Intermediate bond | 60.0 | |||||
Large blend | 40.0 |
Sector Composition* | | % of Total | ||||
---|---|---|---|---|---|---|
Information technology | 17.3 | |||||
Financials | 16.0 | |||||
Industrials | 14.7 | |||||
Consumer discretionary | 11.4 | |||||
Real estate | 9.6 | |||||
Health care | 8.9 | |||||
Materials | 7.4 | |||||
Utilities | 5.4 | |||||
Consumer staples | 3.6 | |||||
Energy | 2.9 | |||||
Telecommunication services | 0.2 | |||||
Short-term investments and other | 2.6 |
Sector Composition* | | % of Total | ||||
---|---|---|---|---|---|---|
Information technology | 39.2 | |||||
Health care | 17.5 | |||||
Consumer discretionary | 13.4 | |||||
Industrials | 11.1 | |||||
Financials | 7.8 | |||||
Materials | 3.6 | |||||
Consumer staples | 2.5 | |||||
Energy | 2.2 | |||||
Real estate | 1.6 | |||||
Short-term investments and other | 1.1 |
Sector Composition* | | % of Total | ||||
---|---|---|---|---|---|---|
Financials | 21.2 | |||||
Health care | 12.7 | |||||
Consumer staples | 9.3 | |||||
Energy | 9.3 | |||||
Industrials | 8.8 | |||||
Consumer discretionary | 7.9 | |||||
Materials | 7.4 | |||||
Real estate | 7.3 | |||||
Utilities | 4.5 | |||||
Information technology | 2.7 | |||||
Telecommunication services | 0.3 | |||||
Short-term investments and other | 8.6 |
Portfolio Composition* | | % of Total | ||||
---|---|---|---|---|---|---|
Common stocks | 87.8 | |||||
Corporate bonds | 2.9 | |||||
Municipal bonds | 0.9 | |||||
Rights | 0.1 | |||||
Short-term investments and other | 8.3 |
Portfolio Composition* | | % of Total | ||||
---|---|---|---|---|---|---|
Residential REITs | 17.7 | |||||
Retail REITs | 16.5 | |||||
Specialized REITs | 16.3 | |||||
Health care REITs | 13.8 | |||||
Office REITs | 12.1 | |||||
Industrial REITs | 8.8 | |||||
Diversified REITs | 6.3 | |||||
Hotel and resort REITs | 5.5 | |||||
Hotels, resorts and cruise lines | 1.5 | |||||
IT consulting and other services | 1.2 | |||||
Short-term investments and other | 0.3 |
Sector Composition* | | % of Total | ||||
---|---|---|---|---|---|---|
Information technology | 72.8 | |||||
Consumer discretionary | 16.1 | |||||
Health care | 5.5 | |||||
Industrials | 2.0 | |||||
Telecommunication services | 0.5 | |||||
Real estate | 0.2 | |||||
Short-term investments and other | 2.9 |
Sector Composition* | | % of Total | ||||
---|---|---|---|---|---|---|
Information technology | 29.5 | |||||
Health care | 21.4 | |||||
Industrials | 17.7 | |||||
Consumer discretionary | 12.1 | |||||
Financials | 8.7 | |||||
Real estate | 3.1 | |||||
Consumer staples | 2.8 | |||||
Materials | 2.8 | |||||
Energy | 1.2 | |||||
Short-term investments and other | 0.7 |
Sector Composition* | | % of Total | ||||
---|---|---|---|---|---|---|
Financials | 17.7 | |||||
Information technology | 16.5 | |||||
Health care | 14.6 | |||||
Industrials | 14.2 | |||||
Consumer discretionary | 12.1 | |||||
Real estate | 7.3 | |||||
Materials | 4.2 | |||||
Utilities | 3.6 | |||||
Energy | 3.5 | |||||
Consumer staples | 2.6 | |||||
Telecommunication services | 0.8 | |||||
Short-term investments and other | 2.9 |
Sector Composition* | | % of Total | ||||
---|---|---|---|---|---|---|
Financials | 23.0 | |||||
Industrials | 20.3 | |||||
Information technology | 15.8 | |||||
Consumer discretionary | 13.9 | |||||
Health care | 8.4 | |||||
Energy | 6.1 | |||||
Materials | 5.0 | |||||
Consumer staples | 2.3 | |||||
Real estate | 2.1 | |||||
Utilities | 1.1 | |||||
Telecommunication services | 1.0 | |||||
Short-term investments and other | 1.0 |
Sector Composition* | | % of Total | ||||
---|---|---|---|---|---|---|
Industrials | 32.0 | |||||
Financials | 21.5 | |||||
Information technology | 9.4 | |||||
Health care | 7.4 | |||||
Materials | 6.8 | |||||
Real estate | 6.2 | |||||
Energy | 4.2 | |||||
Consumer staples | 3.9 | |||||
Consumer discretionary | 3.4 | |||||
Utilities | 2.3 | |||||
Short-term investments and other | 2.9 |
Sector Composition* | | % of Total | ||||
---|---|---|---|---|---|---|
Information technology | 28.1 | |||||
Health care | 23.0 | |||||
Industrials | 15.6 | |||||
Consumer discretionary | 11.0 | |||||
Financials | 8.9 | |||||
Materials | 4.0 | |||||
Energy | 3.7 | |||||
Real estate | 1.8 | |||||
Consumer staples | 1.6 | |||||
Short-term investments and other | 2.3 |
Sector Composition* | | % of Total | ||||
---|---|---|---|---|---|---|
Financials | 29.6 | |||||
Industrials | 12.9 | |||||
Consumer discretionary | 10.8 | |||||
Information technology | 10.0 | |||||
Real estate | 8.6 | |||||
Health care | 6.9 | |||||
Utilities | 6.6 | |||||
Materials | 4.8 | |||||
Energy | 4.0 | |||||
Consumer staples | 3.7 | |||||
Short-term investments and other | 2.1 |
Sector Composition* | | % of Total | ||||
---|---|---|---|---|---|---|
Financials | 16.5 | |||||
Information technology | 16.0 | |||||
Health care | 12.6 | |||||
Consumer discretionary | 11.8 | |||||
Industrials | 11.8 | |||||
Consumer staples | 9.0 | |||||
Energy | 5.1 | |||||
Materials | 4.7 | |||||
Real estate | 3.7 | |||||
Utilities | 3.3 | |||||
Telecommunication services | 2.5 | |||||
Short-term investments and other | 3.0 |
Sector Composition* | | % of Total | ||||
---|---|---|---|---|---|---|
Information technology | 19.9 | |||||
Financials | 14.3 | |||||
Consumer discretionary | 12.4 | |||||
Health care | 12.4 | |||||
Industrials | 9.8 | |||||
Consumer staples | 8.4 | |||||
Energy | 6.1 | |||||
Real estate | 3.7 | |||||
Materials | 3.1 | |||||
Utilities | 2.9 | |||||
Telecommunication services | 2.0 | |||||
Short-term investments and other | 5.0 |
Sector Composition* | | % of Total | ||||
---|---|---|---|---|---|---|
Utilities | 61.2 | |||||
Energy | 18.3 | |||||
Telecommunication services | 11.8 | |||||
Consumer discretionary | 4.7 | |||||
Real estate | 3.1 | |||||
Industrials | 0.5 | |||||
Short-term investments and other | 0.4 |
Sector Composition* | | % of Total | ||||
---|---|---|---|---|---|---|
Financials | 25.4 | |||||
Industrials | 14.7 | |||||
Information technology | 14.5 | |||||
Consumer discretionary | 9.8 | |||||
Health care | 7.7 | |||||
Real estate | 6.6 | |||||
Energy | 6.3 | |||||
Materials | 5.4 | |||||
Utilities | 4.1 | |||||
Consumer staples | 2.3 | |||||
Short-term investments and other | 3.2 |
* | As a percentage of net assets. |
** | The weightings represent the holdings of the American Funds Insurance Series. For further details, please visit the American Funds website at americanfunds.com/afis. |
*** | As a percentage of total investments. |
Beginning Account Value 1/1/2017 | Ending Account Value 6/30/2017 | Expenses Paid During Period1 1/1/2017– 6/30/2017 | Annualized Expense Ratio | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
500 Index Trust B | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 1,092.00 | $ | 1.56 | 0.30 | % | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,023.30 | 1.51 | 0.30 | % | ||||||||||||||
Series II — Actual | 1,000.00 | 1,091.20 | 2.59 | 0.50 | % | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,022.30 | 2.51 | 0.50 | % | ||||||||||||||
Series NAV — Actual | 1,000.00 | 1,092.30 | 1.30 | 0.25 | % | ||||||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,023.60 | 1.25 | 0.25 | % | ||||||||||||||
Alpha Opportunities Trust | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 1,085.90 | $ | 5.33 | 1.03 | % | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,019.70 | 5.16 | 1.03 | % | ||||||||||||||
Series NAV — Actual | 1,000.00 | 1,085.80 | 5.07 | 0.98 | % | ||||||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,019.90 | 4.91 | 0.98 | % | ||||||||||||||
American Asset Allocation Trust | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 1,080.10 | $ | 3.20 | 0.62 | %2 | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,021.70 | 3.11 | 0.62 | %2 | ||||||||||||||
Series II — Actual | 1,000.00 | 1,078.50 | 3.66 | 0.71 | %2 | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,021.30 | 3.56 | 0.71 | %2 | ||||||||||||||
Series III — Actual | 1,000.00 | 1,081.60 | 1.39 | 0.27 | %2 | ||||||||||||||
Series III — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,023.50 | 1.35 | 0.27 | %2 |
Beginning Account Value 1/1/2017 | Ending Account Value 6/30/2017 | Expenses Paid During Period1 1/1/2017– 6/30/2017 | Annualized Expense Ratio | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
American Global Growth Trust | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 1,183.20 | $ | 3.46 | 0.64 | %2 | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,021.60 | 3.21 | 0.64 | %2 | ||||||||||||||
Series II — Actual | 1,000.00 | 1,183.70 | 3.84 | 0.71 | %2 | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,021.30 | 3.56 | 0.71 | %2 | ||||||||||||||
Series III — Actual | 1,000.00 | 1,185.20 | 1.57 | 0.29 | %2 | ||||||||||||||
Series III — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,023.40 | 1.45 | 0.29 | %2 | ||||||||||||||
American Growth Trust | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 1,148.20 | $ | 3.30 | 0.62 | %2 | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,021.70 | 3.11 | 0.62 | %2 | ||||||||||||||
Series II — Actual | 1,000.00 | 1,147.20 | 3.62 | 0.68 | %2 | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,021.40 | 3.41 | 0.68 | %2 | ||||||||||||||
Series III — Actual | 1,000.00 | 1,149.40 | 1.44 | 0.27 | %2 | ||||||||||||||
Series III — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,023.50 | 1.35 | 0.27 | %2 | ||||||||||||||
American Growth-Income Trust | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 1,096.10 | $ | 3.22 | 0.62 | %2 | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,021.70 | 3.11 | 0.62 | %2 | ||||||||||||||
Series II — Actual | 1,000.00 | 1,095.80 | 3.64 | 0.70 | %2 | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,021.30 | 3.51 | 0.70 | %2 | ||||||||||||||
Series III — Actual | 1,000.00 | 1,098.00 | 1.40 | 0.27 | %2 | ||||||||||||||
Series III — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,023.50 | 1.35 | 0.27 | %2 | ||||||||||||||
American International Trust | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 1,183.50 | $ | 3.36 | 0.62 | %2 | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,021.70 | 3.11 | 0.62 | %2 | ||||||||||||||
Series II — Actual | 1,000.00 | 1,183.10 | 4.06 | 0.75 | %2 | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,021.10 | 3.76 | 0.75 | %2 | ||||||||||||||
Series III — Actual | 1,000.00 | 1,185.80 | 1.46 | 0.27 | %2 | ||||||||||||||
Series III — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,023.50 | 1.35 | 0.27 | %2 | ||||||||||||||
American New World Trust | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 1,142.20 | $ | 3.66 | 0.69 | %2 | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,021.40 | 3.46 | 0.69 | %2 | ||||||||||||||
Series II — Actual | 1,000.00 | 1,141.30 | 4.09 | 0.77 | %2 | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,021.00 | 3.86 | 0.77 | %2 | ||||||||||||||
Series III — Actual | 1,000.00 | 1,144.50 | 1.81 | 0.34 | %2 | ||||||||||||||
Series III — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,023.10 | 1.71 | 0.34 | %2 | ||||||||||||||
Blue Chip Growth Trust | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 1,191.60 | $ | 4.51 | 0.83 | % | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,020.70 | 4.16 | 0.83 | % | ||||||||||||||
Series II — Actual | 1,000.00 | 1,190.40 | 5.59 | 1.03 | % | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,019.70 | 5.16 | 1.03 | % | ||||||||||||||
Series NAV — Actual | 1,000.00 | 1,192.00 | 4.24 | 0.78 | % | ||||||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,020.90 | 3.91 | 0.78 | % | ||||||||||||||
Capital Appreciation Trust | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 1,175.40 | $ | 4.26 | 0.79 | % | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,020.90 | 3.96 | 0.79 | % | ||||||||||||||
Series II — Actual | 1,000.00 | 1,174.40 | 5.34 | 0.99 | % | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,019.90 | 4.96 | 0.99 | % | ||||||||||||||
Series NAV — Actual | 1,000.00 | 1,175.90 | 3.99 | 0.74 | % | ||||||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,021.10 | 3.71 | 0.74 | % | ||||||||||||||
Capital Appreciation Value Trust | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 1,091.20 | $ | 4.56 | 0.88 | % | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,020.40 | 4.41 | 0.88 | % | ||||||||||||||
Series II — Actual | 1,000.00 | 1,089.70 | 5.54 | 1.07 | % | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,019.50 | 5.36 | 1.07 | % | ||||||||||||||
Series NAV — Actual | 1,000.00 | 1,090.40 | 4.25 | 0.82 | % | ||||||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,020.70 | 4.11 | 0.82 | % |
Beginning Account Value 1/1/2017 | Ending Account Value 6/30/2017 | Expenses Paid During Period1 1/1/2017– 6/30/2017 | Annualized Expense Ratio | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Core Strategy Trust | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 1,080.30 | $ | 0.62 | 0.12 | %2 | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,024.20 | 0.60 | 0.12 | %2 | ||||||||||||||
Series II — Actual | 1,000.00 | 1,078.60 | 1.65 | 0.32 | %2 | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,023.20 | 1.61 | 0.32 | %2 | ||||||||||||||
Series NAV — Actual | 1,000.00 | 1,080.30 | 0.36 | 0.07 | %2 | ||||||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,024.40 | 0.35 | 0.07 | %2 | ||||||||||||||
Emerging Markets Value Trust | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 1,168.30 | $ | 5.97 | 1.11 | % | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,019.30 | 5.56 | 1.11 | % | ||||||||||||||
Series II — Actual | 1,000.00 | 1,168.30 | 7.04 | 1.31 | % | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,018.30 | 6.56 | 1.31 | % | ||||||||||||||
Series NAV — Actual | 1,000.00 | 1,168.50 | 5.70 | 1.06 | % | ||||||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,019.50 | 5.31 | 1.06 | % | ||||||||||||||
Equity Income Trust | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 1,055.80 | $ | 3.98 | 0.78 | % | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,020.90 | 3.91 | 0.78 | % | ||||||||||||||
Series II — Actual | 1,000.00 | 1,054.20 | 4.99 | 0.98 | % | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,019.90 | 4.91 | 0.98 | % | ||||||||||||||
Series NAV — Actual | 1,000.00 | 1,055.40 | 3.72 | 0.73 | % | ||||||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,021.20 | 3.66 | 0.73 | % | ||||||||||||||
Financial Industries Trust | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 1,056.20 | $ | 4.38 | 0.86 | % | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,020.50 | 4.31 | 0.86 | % | ||||||||||||||
Series II — Actual | 1,000.00 | 1,055.10 | 5.40 | 1.06 | % | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,019.50 | 5.31 | 1.06 | % | ||||||||||||||
Series NAV — Actual | 1,000.00 | 1,056.40 | 4.13 | 0.81 | % | ||||||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,020.80 | 4.06 | 0.81 | % | ||||||||||||||
Fundamental All Cap Core Trust | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 1,116.90 | $ | 3.94 | 0.75 | % | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,021.10 | 3.76 | 0.75 | % | ||||||||||||||
Series II — Actual | 1,000.00 | 1,115.60 | 4.98 | 0.95 | % | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,020.10 | 4.76 | 0.95 | % | ||||||||||||||
Series NAV — Actual | 1,000.00 | 1,116.80 | 3.67 | 0.70 | % | ||||||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,021.30 | 3.51 | 0.70 | % | ||||||||||||||
Fundamental Large Cap Value Trust | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 1,071.40 | $ | 3.80 | 0.74 | % | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,021.10 | 3.71 | 0.74 | % | ||||||||||||||
Series II — Actual | 1,000.00 | 1,070.40 | 4.83 | 0.94 | % | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,020.10 | 4.71 | 0.94 | % | ||||||||||||||
Series NAV — Actual | 1,000.00 | 1,071.90 | 3.54 | 0.69 | % | ||||||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,021.40 | 3.46 | 0.69 | % | ||||||||||||||
Global Trust | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 1,112.90 | $ | 4.98 | 0.95 | % | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,020.10 | 4.76 | 0.95 | % | ||||||||||||||
Series II — Actual | 1,000.00 | 1,111.80 | 6.02 | 1.15 | % | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,019.10 | 5.76 | 1.15 | % | ||||||||||||||
Series NAV — Actual | 1,000.00 | 1,113.00 | 4.72 | 0.90 | % | ||||||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,020.30 | 4.51 | 0.90 | % | ||||||||||||||
Health Sciences Trust | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 1,193.80 | $ | 5.98 | 1.10 | % | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,019.30 | 5.51 | 1.10 | % | ||||||||||||||
Series II — Actual | 1,000.00 | 1,192.90 | 7.07 | 1.30 | % | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,018.30 | 6.51 | 1.30 | % | ||||||||||||||
Series NAV — Actual | 1,000.00 | 1,194.30 | 5.71 | 1.05 | % | ||||||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,019.60 | 5.26 | 1.05 | % |
Beginning Account Value 1/1/2017 | Ending Account Value 6/30/2017 | Expenses Paid During Period1 1/1/2017– 6/30/2017 | Annualized Expense Ratio | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
International Equity Index Trust B | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 1,149.40 | $ | 2.08 | 0.39 | % | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,022.90 | 1.96 | 0.39 | % | ||||||||||||||
Series II — Actual | 1,000.00 | 1,147.90 | 3.14 | 0.59 | % | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,021.90 | 2.96 | 0.59 | % | ||||||||||||||
Series NAV — Actual | 1,000.00 | 1,149.50 | 1.81 | 0.34 | % | ||||||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,023.10 | 1.71 | 0.34 | % | ||||||||||||||
International Growth Stock Trust | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 1,139.30 | $ | 4.83 | 0.91 | % | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,020.30 | 4.56 | 0.91 | % | ||||||||||||||
Series II — Actual | 1,000.00 | 1,138.00 | 5.83 | 1.10 | % | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,019.30 | 5.51 | 1.10 | % | ||||||||||||||
Series NAV — Actual | 1,000.00 | 1,139.20 | 4.51 | 0.85 | % | ||||||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,020.60 | 4.26 | 0.85 | % | ||||||||||||||
International Small Company Trust | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 1,161.30 | $ | 6.27 | 1.17 | % | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,019.00 | 5.86 | 1.17 | % | ||||||||||||||
Series II — Actual | 1,000.00 | 1,159.00 | 7.33 | 1.37 | % | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,018.00 | 6.85 | 1.37 | % | ||||||||||||||
Series NAV — Actual | 1,000.00 | 1,162.10 | 6.00 | 1.12 | % | ||||||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,019.20 | 5.61 | 1.12 | % | ||||||||||||||
International Value Trust | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 1,108.40 | $ | 4.70 | 0.90 | % | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,020.30 | 4.51 | 0.90 | % | ||||||||||||||
Series II — Actual | 1,000.00 | 1,107.70 | 5.75 | 1.10 | % | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,019.30 | 5.51 | 1.10 | % | ||||||||||||||
Series NAV — Actual | 1,000.00 | 1,109.30 | 4.45 | 0.85 | % | ||||||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,020.60 | 4.26 | 0.85 | % | ||||||||||||||
Lifestyle Aggressive PS Series | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 1,101.50 | $ | 1.09 | 0.21 | %2 | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,023.80 | 1.05 | 0.21 | %2 | ||||||||||||||
Series II — Actual | 1,000.00 | 1,099.90 | 2.13 | 0.41 | %2 | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,022.80 | 2.06 | 0.41 | %2 | ||||||||||||||
Series NAV — Actual | 1,000.00 | 1,101.50 | 0.83 | 0.16 | %2 | ||||||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,024.00 | 0.80 | 0.16 | %2 | ||||||||||||||
Lifestyle Balanced PS Series | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 1,063.90 | $ | 0.61 | 0.12 | %2 | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,024.20 | 0.60 | 0.12 | %2 | ||||||||||||||
Series II — Actual | 1,000.00 | 1,063.00 | 1.64 | 0.32 | %2 | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,023.20 | 1.61 | 0.32 | %2 | ||||||||||||||
Series NAV — Actual | 1,000.00 | 1,063.90 | 0.36 | 0.07 | %2 | ||||||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,024.40 | 0.35 | 0.07 | %2 | ||||||||||||||
Lifestyle Conservative PS Series | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 1,040.30 | $ | 0.66 | 0.13 | %2 | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,024.10 | 0.65 | 0.13 | %2 | ||||||||||||||
Series II — Actual | 1,000.00 | 1,039.40 | 1.67 | 0.33 | %2 | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,023.20 | 1.66 | 0.33 | %2 | ||||||||||||||
Series NAV — Actual | 1,000.00 | 1,041.10 | 0.40 | 0.08 | %2 | ||||||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,024.40 | 0.40 | 0.08 | %2 | ||||||||||||||
Lifestyle Growth PS Series | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 1,079.80 | $ | 0.57 | 0.11 | %2 | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,024.20 | 0.55 | 0.11 | %2 | ||||||||||||||
Series II — Actual | 1,000.00 | 1,079.00 | 1.60 | 0.31 | %2 | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,023.30 | 1.56 | 0.31 | %2 | ||||||||||||||
Series NAV — Actual | 1,000.00 | 1,080.60 | 0.31 | 0.06 | %2 | ||||||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,024.50 | 0.30 | 0.06 | %2 |
Beginning Account Value 1/1/2017 | Ending Account Value 6/30/2017 | Expenses Paid During Period1 1/1/2017– 6/30/2017 | Annualized Expense Ratio | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Lifestyle Moderate PS Series | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 1,055.60 | $ | 0.66 | 0.13 | %2 | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,024.10 | 0.65 | 0.13 | %2 | ||||||||||||||
Series II — Actual | 1,000.00 | 1,054.70 | 1.68 | 0.33 | %2 | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,023.20 | 1.66 | 0.33 | %2 | ||||||||||||||
Series NAV — Actual | 1,000.00 | 1,056.30 | 0.41 | 0.08 | %2 | ||||||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,024.40 | 0.40 | 0.08 | %2 | ||||||||||||||
Mid Cap Index Trust | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 1,058.20 | $ | 2.30 | 0.45 | % | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,022.60 | 2.26 | 0.45 | % | ||||||||||||||
Series II — Actual | 1,000.00 | 1,056.50 | 3.31 | 0.65 | % | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,021.60 | 3.26 | 0.65 | % | ||||||||||||||
Series NAV — Actual | 1,000.00 | 1,058.20 | 2.04 | 0.40 | % | ||||||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,022.80 | 2.01 | 0.40 | % | ||||||||||||||
Mid Cap Stock Trust | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 1,176.60 | $ | 4.97 | 0.92 | % | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,020.20 | 4.61 | 0.92 | % | ||||||||||||||
Series II — Actual | 1,000.00 | 1,175.50 | 6.04 | 1.12 | % | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,019.20 | 5.61 | 1.12 | % | ||||||||||||||
Series NAV — Actual | 1,000.00 | 1,177.50 | 4.70 | 0.87 | % | ||||||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,020.50 | 4.36 | 0.87 | % | ||||||||||||||
Mid Value Trust | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 1,030.10 | $ | 4.98 | 0.99 | % | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,019.90 | 4.96 | 0.99 | % | ||||||||||||||
Series II — Actual | 1,000.00 | 1,029.20 | 5.99 | 1.19 | % | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,018.90 | 5.96 | 1.19 | % | ||||||||||||||
Series NAV — Actual | 1,000.00 | 1,030.30 | 4.73 | 0.94 | % | ||||||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,020.10 | 4.71 | 0.94 | % | ||||||||||||||
Mutual Shares Trust | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 1,057.90 | $ | 5.56 | 1.09 | % | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,019.40 | 5.46 | 1.09 | % | ||||||||||||||
Real Estate Securities Trust | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 1,031.60 | $ | 3.98 | 0.79 | % | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,020.90 | 3.96 | 0.79 | % | ||||||||||||||
Series II — Actual | 1,000.00 | 1,030.50 | 4.98 | 0.99 | % | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,019.90 | 4.96 | 0.99 | % | ||||||||||||||
Series NAV — Actual | 1,000.00 | 1,031.30 | 3.73 | 0.74 | % | ||||||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,021.10 | 3.71 | 0.74 | % | ||||||||||||||
Science & Technology Trust | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 1,214.40 | $ | 5.93 | 1.08 | % | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,019.40 | 5.41 | 1.08 | % | ||||||||||||||
Series II — Actual | 1,000.00 | 1,213.10 | 7.02 | 1.28 | % | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,018.40 | 6.41 | 1.28 | % | ||||||||||||||
Series NAV — Actual | 1,000.00 | 1,214.70 | 5.66 | 1.03 | % | ||||||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,019.70 | 5.16 | 1.03 | % | ||||||||||||||
Small Cap Growth Trust | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 1,133.60 | $ | 6.03 | 1.14 | % | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,019.10 | 5.71 | 1.14 | % | ||||||||||||||
Series II — Actual | 1,000.00 | 1,132.00 | 7.08 | 1.34 | % | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,018.10 | 6.71 | 1.34 | % | ||||||||||||||
Series NAV — Actual | 1,000.00 | 1,134.70 | 5.77 | 1.09 | % | ||||||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,019.40 | 5.46 | 1.09 | % | ||||||||||||||
Small Cap Index Trust | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 1,048.80 | $ | 2.64 | 0.52 | % | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,022.20 | 2.61 | 0.52 | % | ||||||||||||||
Series II — Actual | 1,000.00 | 1,048.40 | 3.66 | 0.72 | % | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,021.20 | 3.61 | 0.72 | % | ||||||||||||||
Series NAV — Actual | 1,000.00 | 1,049.50 | 2.39 | 0.47 | % | ||||||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,022.50 | 2.36 | 0.47 | % |
Beginning Account Value 1/1/2017 | Ending Account Value 6/30/2017 | Expenses Paid During Period1 1/1/2017– 6/30/2017 | Annualized Expense Ratio | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Small Cap Opportunities Trust | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 1,022.90 | $ | 5.12 | 1.02 | % | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,019.70 | 5.11 | 1.02 | % | ||||||||||||||
Series II — Actual | 1,000.00 | 1,021.90 | 6.12 | 1.22 | % | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,018.70 | 6.11 | 1.22 | % | ||||||||||||||
Series NAV — Actual | 1,000.00 | 1,023.60 | 4.87 | 0.97 | % | ||||||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,020.00 | 4.86 | 0.97 | % | ||||||||||||||
Small Cap Value Trust | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 974.00 | $ | 5.43 | 1.11 | % | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,019.30 | 5.56 | 1.11 | % | ||||||||||||||
Series II — Actual | 1,000.00 | 973.40 | 6.41 | 1.31 | % | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,018.30 | 6.56 | 1.31 | % | ||||||||||||||
Series NAV — Actual | 1,000.00 | 974.80 | 5.24 | 1.07 | % | ||||||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,019.50 | 5.36 | 1.07 | % | ||||||||||||||
Small Company Growth Trust | |||||||||||||||||||
Series NAV — Actual | $ | 1,000.00 | $ | 1,105.20 | $ | 5.59 | 1.07 | % | |||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,019.50 | 5.36 | 1.07 | % | ||||||||||||||
Small Company Value Trust | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 1,014.50 | $ | 5.44 | 1.09 | % | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,019.40 | 5.46 | 1.09 | % | ||||||||||||||
Series II — Actual | 1,000.00 | 1,013.80 | 6.44 | 1.29 | % | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,018.40 | 6.46 | 1.29 | % | ||||||||||||||
Series NAV — Actual | 1,000.00 | 1,015.00 | 5.20 | 1.04 | % | ||||||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,019.60 | 5.21 | 1.04 | % | ||||||||||||||
Strategic Equity Allocation Trust | |||||||||||||||||||
Series NAV — Actual | $ | 1,000.00 | $ | 1,103.80 | $ | 2.76 | 0.53 | % | |||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,022.20 | 2.66 | 0.53 | % | ||||||||||||||
Total Stock Market Index Trust | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 1,086.40 | $ | 2.95 | 0.57 | % | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,022.00 | 2.86 | 0.57 | % | ||||||||||||||
Series II — Actual | 1,000.00 | 1,085.60 | 3.98 | 0.77 | % | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,021.00 | 3.86 | 0.77 | % | ||||||||||||||
Series NAV — Actual | 1,000.00 | 1,087.00 | 2.69 | 0.52 | % | ||||||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,022.20 | 2.61 | 0.52 | % | ||||||||||||||
Utilities Trust | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 1,100.00 | $ | 4.84 | 0.93 | % | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,020.20 | 4.66 | 0.93 | % | ||||||||||||||
Series II — Actual | 1,000.00 | 1,098.60 | 5.88 | 1.13 | % | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,019.20 | 5.66 | 1.13 | % | ||||||||||||||
Series NAV — Actual | 1,000.00 | 1,100.20 | 4.58 | 0.88 | % | ||||||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,020.40 | 4.41 | 0.88 | % | ||||||||||||||
Value Trust | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 1,019.40 | $ | 4.06 | 0.81 | % | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,020.80 | 4.06 | 0.81 | % | ||||||||||||||
Series II — Actual | 1,000.00 | 1,018.00 | 5.05 | 1.01 | % | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,019.80 | 5.06 | 1.01 | % | ||||||||||||||
Series NAV — Actual | 1,000.00 | 1,019.90 | 3.81 | 0.76 | % | ||||||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,021.00 | 3.81 | 0.76 | % |
1 | Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by the number of days in the period (181), and divided by 365 (to reflect the one-half year period). |
2 | Ratios do not include expenses indirectly incurred from underlying funds and can vary. The range of expense ratios of the underlying funds held by the portfolios for the period ended 6-30-17 was as follows: |
Portfolio | | Range | | Portfolio | | Range | ||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
American Funds | 0.29% – 0.78% | Lifestyle Conservative PS Series | 0.53% – 0.59% | |||||||||||
Core Strategy Trust | 0.53% – 0.59% | Lifestyle Growth PS Series | 0.53% – 0.59% | |||||||||||
Lifestyle Aggressive PS Series | 0.10% – 0.53% | Lifestyle Moderate PS Series | 0.53% – 0.59% | |||||||||||
Lifestyle Balanced PS Series | 0.53% – 0.59% |
Shares or Principal Amount | Value | | % of Net Assets | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMON STOCKS – 96.0% | ||||||||||||||
Consumer discretionary – 11.8% | ||||||||||||||
Amazon.com, Inc. (I) | 86,055 | $ | 83,301,240 | 1.8 | % | |||||||||
Comcast Corp., Class A | 1,026,705 | 39,959,359 | 0.9 | % | ||||||||||
McDonald’s Corp. | 176,765 | 27,073,327 | 0.6 | % | ||||||||||
The Home Depot, Inc. | 259,306 | 39,777,540 | 0.9 | % | ||||||||||
The Priceline Group, Inc. (I) | 10,671 | 19,960,319 | 0.4 | % | ||||||||||
The Walt Disney Company | 315,589 | 33,531,331 | 0.7 | % | ||||||||||
OTHER SECURITIES | 309,134,711 | 6.5 | % | |||||||||||
552,737,827 | ||||||||||||||
Consumer staples – 8.7% | ||||||||||||||
Altria Group, Inc. | 419,009 | 31,203,600 | 0.7 | % | ||||||||||
PepsiCo, Inc. | 309,841 | 35,783,537 | 0.8 | % | ||||||||||
Philip Morris International, Inc. | 336,907 | 39,569,727 | 0.8 | % | ||||||||||
The Coca-Cola Company | 834,066 | 37,407,860 | 0.8 | % | ||||||||||
The Procter & Gamble Company | 554,809 | 48,351,604 | 1.0 | % | ||||||||||
Wal-Mart Stores, Inc. | 320,392 | 24,247,267 | 0.5 | % | ||||||||||
OTHER SECURITIES | 190,857,917 | 4.1 | % | |||||||||||
407,421,512 | ||||||||||||||
Energy – 5.8% | ||||||||||||||
Chevron Corp. | 410,992 | �� | 42,878,795 | 0.9 | % | |||||||||
Exxon Mobil Corp. | 919,189 | 74,206,128 | 1.6 | % | ||||||||||
Schlumberger, Ltd. | 301,158 | 19,828,243 | 0.4 | % | ||||||||||
OTHER SECURITIES | 133,743,087 | 2.9 | % | |||||||||||
270,656,253 | ||||||||||||||
Financials – 14.0% | ||||||||||||||
Bank of America Corp. | 2,158,429 | 52,363,488 | 1.1 | % | ||||||||||
Berkshire Hathaway, Inc., Class B (I) | 412,004 | 69,781,117 | 1.5 | % | ||||||||||
Citigroup, Inc. | 597,173 | 39,938,930 | 0.9 | % | ||||||||||
JPMorgan Chase & Co. | 770,591 | 70,432,017 | 1.5 | % | ||||||||||
State Street Corp. | 76,699 | 6,882,201 | 0.1 | % | ||||||||||
Wells Fargo & Company | 975,183 | 54,034,890 | 1.2 | % | ||||||||||
OTHER SECURITIES | 361,640,495 | 7.7 | % | |||||||||||
655,073,138 | ||||||||||||||
Health care – 13.9% | ||||||||||||||
AbbVie, Inc. | 345,376 | 25,043,214 | 0.5 | % | ||||||||||
Amgen, Inc. | 159,572 | 27,483,086 | 0.6 | % | ||||||||||
Bristol-Myers Squibb Company | 357,346 | 19,911,319 | 0.4 | % | ||||||||||
Celgene Corp. (I) | 169,362 | 21,995,043 | 0.5 | % | ||||||||||
Gilead Sciences, Inc. | 283,437 | 20,061,671 | 0.4 | % | ||||||||||
Johnson & Johnson | 584,317 | 77,299,296 | 1.6 | % | ||||||||||
Medtronic PLC | 296,932 | 26,352,715 | 0.6 | % | ||||||||||
Merck & Company, Inc. | 593,246 | 38,021,136 | 0.8 | % | ||||||||||
Pfizer, Inc. | 1,294,449 | 43,480,542 | 0.9 | % | ||||||||||
UnitedHealth Group, Inc. | 208,993 | 38,751,482 | 0.8 | % | ||||||||||
OTHER SECURITIES | 314,795,735 | 6.8 | % | |||||||||||
653,195,239 | ||||||||||||||
Industrials – 9.9% | ||||||||||||||
3M Company | 129,629 | 26,987,462 | 0.6 | % | ||||||||||
General Electric Company | 1,888,440 | 51,006,764 | 1.1 | % | ||||||||||
Honeywell International, Inc. | 165,367 | 22,041,767 | 0.5 | % | ||||||||||
The Boeing Company | 121,759 | 24,077,842 | 0.5 | % | ||||||||||
United Technologies Corp. | 161,645 | 19,738,471 | 0.4 | % | ||||||||||
OTHER SECURITIES | 319,133,199 | 6.8 | % | |||||||||||
462,985,505 | ||||||||||||||
COMMON STOCKS (continued) | ||||||||||||||
Information technology – 21.4% | ||||||||||||||
Alphabet, Inc., Class A (I) | 64,566 | $ | 60,025,719 | 1.3 | % | |||||||||
Alphabet, Inc., Class C (I) | 64,723 | 58,815,732 | 1.3 | % | ||||||||||
Apple, Inc. | 1,130,924 | 162,875,674 | 3.5 | % | ||||||||||
Broadcom, Ltd. | 87,104 | 20,299,587 | 0.4 | % | ||||||||||
Cisco Systems, Inc. | 1,084,620 | 33,948,606 | 0.7 | % | ||||||||||
Facebook, Inc., Class A (I) | 512,727 | 77,411,522 | 1.7 | % | ||||||||||
IBM Corp. | 185,454 | 28,528,389 | 0.6 | % | ||||||||||
Intel Corp. | 1,021,115 | 34,452,420 | 0.7 | % | ||||||||||
Mastercard, Inc., Class A | 203,424 | 24,705,845 | 0.5 | % | ||||||||||
Microsoft Corp. | 1,674,608 | 115,430,729 | 2.5 | % | ||||||||||
Oracle Corp. | 651,524 | 32,667,413 | 0.7 | % | ||||||||||
Visa, Inc., Class A | 400,418 | 37,551,200 | 0.8 | % | ||||||||||
OTHER SECURITIES | 315,868,985 | 6.7 | % | |||||||||||
1,002,581,821 | ||||||||||||||
Materials – 2.7% | 128,172,721 | 2.7 | % | |||||||||||
Real estate – 2.8% | ||||||||||||||
GGP, Inc. | 125,831 | 2,964,578 | 0.1 | % | ||||||||||
OTHER SECURITIES | 128,796,236 | 2.7 | % | |||||||||||
131,760,814 | ||||||||||||||
Telecommunication services – 2.0% | ||||||||||||||
AT&T, Inc. | 1,333,741 | 50,322,048 | 1.0 | % | ||||||||||
Verizon Communications, Inc. | 884,924 | 39,520,706 | 0.8 | % | ||||||||||
OTHER SECURITIES | 6,621,127 | 0.2 | % | |||||||||||
96,463,881 | ||||||||||||||
Utilities – 3.0% | 142,452,065 | 3.0 | % | |||||||||||
TOTAL COMMON STOCKS (Cost $2,473,599,749) | $ | 4,503,500,776 | ||||||||||||
SECURITIES LENDING COLLATERAL – 0.5% | ||||||||||||||
John Hancock Collateral Trust, 1.1508% (W)(Y) | 2,448,943 | 24,503,878 | 0.5 | % | ||||||||||
TOTAL SECURITIES LENDING COLLATERAL (Cost $24,504,755) | $ | 24,503,878 | ||||||||||||
SHORT-TERM INVESTMENTS – 4.0% | ||||||||||||||
U.S. Government Agency – 1.7% | ||||||||||||||
Federal Home Loan Bank Discount Note 0.810%, 07/07/2017* | $ | 30,000,000 | 29,995,950 | 0.6 | % | |||||||||
Federal Home Loan Bank Discount Note 0.900%, 07/19/2017* | 50,000,000 | 49,977,500 | 1.1 | % | ||||||||||
79,973,450 | ||||||||||||||
Repurchase agreement – 2.3% | ||||||||||||||
Repurchase Agreement with State Street Corp. dated 06/30/2017 at 0.340% to be repurchased at $105,732,996 on 07/03/2017, collateralized by $110,105,000 U.S. Treasury Inflation Indexed Bonds, 0.875% due 02/15/2047 (valued at $107,845,645, including interest) | 105,730,000 | 105,730,000 | 2.3 | % | ||||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $185,703,450) | $ | 185,703,450 | ||||||||||||
Total Investments (500 Index Trust B) (Cost $2,683,807,954) – 100.5% | $ | 4,713,708,104 | 100.5 | % | ||||||||||
Other assets and liabilities, net – (0.5%) | (23,236,620 | ) | (0.5 | )% | ||||||||||
TOTAL NET ASSETS – 100.0% | $ | 4,690,471,484 | 100.0 | % |
(I) | Non-income producing security. | |||||
(W) | Investment is an affiliate of the fund, the advisor and/or subadvisor. This security represents the investment of cash collateral received for securities lending. | |||||
(Y) | The rate shown is the annualized seven-day yield as of 6-30-17. | |||||
* | Yield represents either the annualized yield at the date of purchase, the stated coupon rate or, for floating rate securities, the rate at period end. |
Open Contracts | | Number of Contracts | | Position | | Expiration Date | | Notional Basis* | | Notional Value* | | Unrealized Appreciation (Depreciation) | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
S&P 500 Index E-Mini Futures | 1,634 | Long | Sep 2017 | $ | 198,628,387 | $ | 197,787,530 | ($840,857 | ) | |||||||||||||||||
($840,857 | ) |
* | Notional basis refers to the contractual amount agreed upon at inception of open contracts; notional value represents the current value of the open contract. |
Shares or Principal Amount | Value | | % of Net Assets | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMON STOCKS – 89.2% | ||||||||||||||
Consumer discretionary – 11.3% | ||||||||||||||
Delphi Automotive PLC | 10,356 | $ | 907,703 | 0.6 | % | |||||||||
NIKE, Inc., Class B | 40,193 | 2,371,387 | 1.6 | % | ||||||||||
NVR, Inc. (I) | 683 | 1,646,447 | 1.1 | % | ||||||||||
The Home Depot, Inc. | 5,849 | 897,237 | 0.6 | % | ||||||||||
OTHER SECURITIES | 10,688,891 | 7.4 | % | |||||||||||
16,511,665 | ||||||||||||||
Consumer staples – 4.8% | ||||||||||||||
Colgate-Palmolive Company | 12,840 | 951,829 | 0.6 | % | ||||||||||
Costco Wholesale Corp. | 7,248 | 1,159,173 | 0.8 | % | ||||||||||
Philip Morris International, Inc. | 10,074 | 1,183,191 | 0.8 | % | ||||||||||
Unilever NV – NY Shares | 23,241 | 1,284,530 | 0.9 | % | ||||||||||
OTHER SECURITIES | 2,501,421 | 1.7 | % | |||||||||||
7,080,144 | ||||||||||||||
Energy – 3.6% | ||||||||||||||
Newfield Exploration Company (I) | 37,150 | 1,057,289 | 0.7 | % | ||||||||||
Phillips 66 | 10,753 | 889,166 | 0.6 | % | ||||||||||
Suncor Energy, Inc. | 32,357 | 944,824 | 0.6 | % | ||||||||||
OTHER SECURITIES | 2,441,065 | 1.7 | % | |||||||||||
5,332,344 | ||||||||||||||
Financials – 20.6% | ||||||||||||||
American Express Company | 14,364 | 1,210,023 | 0.8 | % | ||||||||||
American International Group, Inc. | 15,999 | 1,000,257 | 0.7 | % | ||||||||||
Bank of America Corp. | 86,384 | 2,095,676 | 1.4 | % | ||||||||||
BlackRock, Inc. | 4,493 | 1,897,888 | 1.3 | % | ||||||||||
Chubb, Ltd. | 16,330 | 2,374,055 | 1.6 | % | ||||||||||
Citigroup, Inc. | 37,194 | 2,487,535 | 1.7 | % | ||||||||||
Deutsche Bank AG | 18,132 | 322,568 | 0.2 | % | ||||||||||
JPMorgan Chase & Co. | 14,632 | 1,337,365 | 0.9 | % | ||||||||||
M&T Bank Corp. | 10,240 | 1,658,368 | 1.1 | % | ||||||||||
Markel Corp. (I) | 1,569 | 1,531,124 | 1.0 | % | ||||||||||
MetLife, Inc. | 28,092 | 1,543,374 | 1.1 | % | ||||||||||
The PNC Financial Services Group, Inc. | 24,356 | 3,041,334 | 2.1 | % | ||||||||||
Wells Fargo & Company | 19,257 | 1,067,030 | 0.7 | % | ||||||||||
OTHER SECURITIES | 8,567,202 | 6.0 | % | |||||||||||
30,133,799 | ||||||||||||||
Health care – 11.0% | ||||||||||||||
Bristol-Myers Squibb Company | 34,736 | 1,935,490 | 1.3 | % | ||||||||||
Eli Lilly & Company | 13,374 | 1,100,680 | 0.7 | % | ||||||||||
Envision Healthcare Corp. (I) | 17,016 | 1,066,393 | 0.7 | % | ||||||||||
McKesson Corp. | 11,029 | 1,814,712 | 1.2 | % | ||||||||||
COMMON STOCKS (continued) | ||||||||||||||
Health care (continued) | ||||||||||||||
Medtronic PLC | 13,362 | $ | 1,185,878 | 0.8 | % | |||||||||
Merck & Company, Inc. | 21,878 | 1,402,161 | 1.0 | % | ||||||||||
Mylan NV (I) | 29,627 | 1,150,120 | 0.8 | % | ||||||||||
OTHER SECURITIES | 6,412,948 | 4.5 | % | |||||||||||
16,068,382 | ||||||||||||||
Industrials – 12.9% | ||||||||||||||
3M Company | 4,375 | 910,831 | 0.6 | % | ||||||||||
Canadian National Railway Company | 18,046 | 1,464,220 | 1.0 | % | ||||||||||
Genesee & Wyoming, Inc., Class A (I) | 13,579 | 928,668 | 0.6 | % | ||||||||||
IDEX Corp. | 9,079 | 1,026,018 | 0.7 | % | ||||||||||
Lennox International, Inc. | 6,388 | 1,173,092 | 0.8 | % | ||||||||||
Swift Transportation Company (I) | 53,400 | 1,415,100 | 1.0 | % | ||||||||||
Union Pacific Corp. | 15,745 | 1,714,788 | 1.2 | % | ||||||||||
United Parcel Service, Inc., Class B | 9,902 | 1,095,062 | 0.8 | % | ||||||||||
OTHER SECURITIES | 9,156,888 | 6.2 | % | |||||||||||
18,884,667 | ||||||||||||||
Information technology – 16.9% | ||||||||||||||
Facebook, Inc., Class A (I) | 6,352 | 959,025 | 0.6 | % | ||||||||||
Microsoft Corp. | 35,222 | 2,427,852 | 1.7 | % | ||||||||||
QUALCOMM, Inc. | 32,697 | 1,805,528 | 1.2 | % | ||||||||||
Zillow Group, Inc., Class A (I) | 1,470 | 71,795 | 0.0 | % | ||||||||||
Zillow Group, Inc., Class C (I) | 18,103 | 887,228 | 0.6 | % | ||||||||||
OTHER SECURITIES | 18,569,364 | 12.8 | % | |||||||||||
24,720,792 | ||||||||||||||
Materials – 4.7% | ||||||||||||||
International Paper Company | 44,499 | 2,519,088 | 1.7 | % | ||||||||||
Westlake Chemical Corp. | 16,590 | 1,098,424 | 0.7 | % | ||||||||||
OTHER SECURITIES | 3,272,754 | 2.3 | % | |||||||||||
6,890,266 | ||||||||||||||
Real estate – 1.1% | ||||||||||||||
Public Storage | 5,465 | 1,139,616 | 0.8 | % | ||||||||||
WeWork Companies, Inc., Class A (I)(R) | 2,554 | 132,323 | 0.1 | % | ||||||||||
OTHER SECURITIES | 316,642 | 0.2 | % | |||||||||||
1,588,581 | ||||||||||||||
Telecommunication services – 0.8% | ||||||||||||||
Verizon Communications, Inc. | 26,009 | 1,161,562 | 0.8 | % | ||||||||||
Utilities – 1.5% | 2,145,175 | 1.5 | % | |||||||||||
TOTAL COMMON STOCKS (Cost $114,596,136) | $ | 130,517,377 |
Shares or Principal Amount | Value | | % of Net Assets | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
PREFERRED SECURITIES – 8.2% | ||||||||||||||
Consumer discretionary – 0.7% | $ | 1,052,579 | 0.7 | % | ||||||||||
Industrials – 0.4% | 530,281 | 0.4 | % | |||||||||||
Information technology – 6.0% | ||||||||||||||
Pinterest, Inc., Series G (I)(R) | 162,095 | 1,163,695 | 0.8 | % | ||||||||||
Uber Technologies, Inc. (I)(R) | 142,224 | 5,896,607 | 4.0 | % | ||||||||||
OTHER SECURITIES | 1,738,829 | 1.2 | % | |||||||||||
8,799,131 | ||||||||||||||
Real estate – 1.1% | ||||||||||||||
WeWork Companies, Inc., Series D1 (I)(R) | 12,694 | 657,676 | 0.4 | % | ||||||||||
WeWork Companies, Inc., Series D2 (I)(R) | 9,974 | 516,753 | 0.4 | % | ||||||||||
OTHER SECURITIES | 368,331 | 0.3 | % | |||||||||||
1,542,760 | ||||||||||||||
TOTAL PREFERRED SECURITIES (Cost $7,102,100) | $ | 11,924,751 | ||||||||||||
WARRANTS – 0.0% | ||||||||||||||
TOTAL WARRANTS (Cost $75) | $ | 3,735 | ||||||||||||
RIGHTS – 0.0% | ||||||||||||||
TOTAL RIGHTS (Cost $2,856) | $ | 2,694 | ||||||||||||
SHORT-TERM INVESTMENTS – 2.9% | ||||||||||||||
Repurchase agreement – 2.9% | ||||||||||||||
Deutsche Bank Tri-Party Repurchase Agreement dated 06/30/2017 at 1.120% to be repurchased at $4,300,401 on 07/03/2017, collateralized by $4,182,825 U.S. Treasury Inflation Indexed Notes, 1.250% due 07/15/2020 (valued at $4,386,035, including interest) | $ | 4,300,000 | 4,300,000 | 2.9 | % | |||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $4,300,000) | $ | 4,300,000 | ||||||||||||
Total Investments (Alpha Opportunities Trust) (Cost $126,001,167) – 100.3% | $ | 146,748,557 | 100.3 | % | ||||||||||
Other assets and liabilities, net – (0.3%) | (391,474 | ) | (0.3 | )% | ||||||||||
TOTAL NET ASSETS – 100.0% | $ | 146,357,083 | 100.0 | % |
(I) | Non-income producing security. | |||||
(R) | Direct placement securities are restricted as to resale and the fund has limited rights to registration under the Securities Act of 1933. For more information on this security refer to the Notes to financial statements. |
Shares or Principal Amount | Value | | % of Net Assets | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
INVESTMENT COMPANIES – 100.0% | ||||||||||||||
American Funds Insurance Series – 100.0% | ||||||||||||||
American Asset Allocation Fund – Class 1 | 69,516,044 | $ | 1,553,683,584 | 100.0 | % | |||||||||
TOTAL INVESTMENT COMPANIES (Cost $1,087,226,912) | $ | 1,553,683,584 | ||||||||||||
Total Investments (American Asset Allocation Trust) (Cost $1,087,226,912) – 100.0% | $ | 1,553,683,584 | 100.0 | % | ||||||||||
Other assets and liabilities, net – 0.0% | (3,773 | ) | 0.0 | % | ||||||||||
TOTAL NET ASSETS – 100.0% | $ | 1,553,679,811 | 100.0 | % |
Shares or Principal Amount | Value | | % of Net Assets | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
INVESTMENT COMPANIES – 100.0% | ||||||||||||||
American Funds Insurance Series – 100.0% | ||||||||||||||
American Global Growth Fund – Class 1 | 8,263,457 | $ | 228,815,117 | 100.0 | % | |||||||||
TOTAL INVESTMENT COMPANIES (Cost $213,662,682) | $ | 228,815,117 | ||||||||||||
Total Investments (American Global Growth Trust) (Cost $213,662,682) – 100.0% | $ | 228,815,117 | 100.0 | % | ||||||||||
Other assets and liabilities, net – 0.0% | 91,027 | 0.0 | % | |||||||||||
TOTAL NET ASSETS – 100.0% | $ | 228,906,144 | 100.0 | % |
Shares or Principal Amount | Value | | % of Net Assets | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
INVESTMENT COMPANIES – 100.0% | ||||||||||||||
American Funds Insurance Series – 100.0% | ||||||||||||||
American Growth Fund – Class 1 | 12,889,315 | $ | 903,283,188 | 100.0 | % | |||||||||
TOTAL INVESTMENT COMPANIES (Cost $767,010,635) | $ | 903,283,188 | ||||||||||||
Total Investments (American Growth Trust) (Cost $767,010,635) – 100.0% | $ | 903,283,188 | 100.0 | % | ||||||||||
Other assets and liabilities, net – 0.0% | (9,038 | ) | 0.0 | % | ||||||||||
TOTAL NET ASSETS – 100.0% | $ | 903,274,149 | 100.0 | % |
Shares or Principal Amount | Value | | % of Net Assets | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
INVESTMENT COMPANIES – 100.0% | ||||||||||||||
American Funds Insurance Series – 100.0% | ||||||||||||||
American Growth-Income Fund – Class 1 | 23,431,739 | $ | 1,067,784,367 | 100.0 | % | |||||||||
TOTAL INVESTMENT COMPANIES (Cost $949,503,792) | $ | 1,067,784,367 | ||||||||||||
Total Investments (American Growth-Income Trust) (Cost $949,503,792) – 100.0% | $ | 1,067,784,367 | 100.0 | % | ||||||||||
Other assets and liabilities, net – 0.0% | (10,303 | ) | 0.0 | % | ||||||||||
TOTAL NET ASSETS – 100.0% | $ | 1,067,774,064 | 100.0 | % |
Shares or Principal Amount | Value | | % of Net Assets | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
INVESTMENT COMPANIES – 100.0% | ||||||||||||||
American Funds Insurance Series – 100.0% | ||||||||||||||
American International Fund – Class 1 | 27,152,705 | $ | 534,093,702 | 100.0 | % | |||||||||
TOTAL INVESTMENT COMPANIES (Cost $463,950,755) | $ | 534,093,702 | ||||||||||||
Total Investments (American International Trust) (Cost $463,950,755) – 100.0% | $ | 534,093,702 | 100.0 | % | ||||||||||
Other assets and liabilities, net – 0.0% | (9,632 | ) | 0.0 | % | ||||||||||
TOTAL NET ASSETS – 100.0% | $ | 534,084,070 | 100.0 | % |
Shares or Principal Amount | Value | | % of Net Assets | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
INVESTMENT COMPANIES – 100.0% | ||||||||||||||
American Funds Insurance Series – 100.0% | ||||||||||||||
American New World Fund – Class 1 | 3,966,217 | $ | 89,477,857 | 100.0 | % | |||||||||
TOTAL INVESTMENT COMPANIES (Cost $85,774,957) | $ | 89,477,857 | ||||||||||||
Total Investments (American New World Trust) (Cost $85,774,957) – 100.0% | $ | 89,477,857 | 100.0 | % | ||||||||||
Other assets and liabilities, net – 0.0% | (25,457 | ) | 0.0 | % | ||||||||||
TOTAL NET ASSETS – 100.0% | $ | 89,452,400 | 100.0 | % |
Shares or Principal Amount | Value | | % of Net Assets | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMON STOCKS – 99.6% | ||||||||||||||
Consumer discretionary – 22.9% | ||||||||||||||
Amazon.com, Inc. (I) | 150,989 | $ | 146,157,352 | 8.6 | % | |||||||||
Marriott International, Inc., Class A | 124,629 | 12,501,535 | 0.7 | % | ||||||||||
Netflix, Inc. (I) | 105,600 | 15,777,696 | 0.9 | % | ||||||||||
O’Reilly Automotive, Inc. (I) | 44,359 | 9,703,088 | 0.6 | % | ||||||||||
Tesla, Inc. (I)(L) | 45,582 | 16,482,907 | 1.0 | % | ||||||||||
The Home Depot, Inc. | 140,000 | 21,476,000 | 1.3 | % | ||||||||||
The Priceline Group, Inc. (I) | 41,200 | 77,065,424 | 4.5 | % | ||||||||||
Yum! Brands, Inc. | 163,900 | 12,089,264 | 0.7 | % | ||||||||||
OTHER SECURITIES | 77,956,340 | 4.6 | % | |||||||||||
389,209,605 | ||||||||||||||
Consumer staples – 2.1% | ||||||||||||||
Philip Morris International, Inc. | 176,600 | 20,741,670 | 1.2 | % | ||||||||||
Walgreens Boots Alliance, Inc. | 132,800 | 10,399,568 | 0.6 | % | ||||||||||
OTHER SECURITIES | 3,955,993 | 0.3 | % | |||||||||||
35,097,231 | ||||||||||||||
Financials – 9.4% | ||||||||||||||
Intercontinental Exchange, Inc. | 320,600 | 21,133,952 | 1.2 | % | ||||||||||
JPMorgan Chase & Co. | 158,800 | 14,514,320 | 0.9 | % | ||||||||||
Morgan Stanley | 820,200 | 36,548,112 | 2.1 | % | ||||||||||
State Street Corp. | 182,707 | 16,394,299 | 1.0 | % | ||||||||||
TD Ameritrade Holding Corp. | 515,900 | 22,178,541 | 1.3 | % | ||||||||||
OTHER SECURITIES | 49,352,396 | 2.9 | % | |||||||||||
160,121,620 | ||||||||||||||
Health care – 17.0% | ||||||||||||||
Aetna, Inc. | 99,694 | 15,136,540 | 0.9 | % | ||||||||||
Alexion Pharmaceuticals, Inc. (I) | 142,828 | 17,377,883 | 1.0 | % | ||||||||||
Allergan PLC | 58,898 | 14,317,515 | 0.8 | % | ||||||||||
Becton, Dickinson and Company | 107,046 | 20,885,745 | 1.2 | % | ||||||||||
Biogen, Inc. (I) | 43,200 | 11,722,752 | 0.7 | % | ||||||||||
Celgene Corp. (I) | 128,900 | 16,740,243 | 1.0 | % | ||||||||||
Cigna Corp. | 81,200 | 13,592,068 | 0.8 | % | ||||||||||
Danaher Corp. | 294,726 | 24,871,927 | 1.5 | % | ||||||||||
Humana, Inc. | 67,100 | 16,145,602 | 1.0 | % | ||||||||||
Intuitive Surgical, Inc. (I) | 26,900 | 25,161,453 | 1.5 | % | ||||||||||
Stryker Corp. | 163,579 | 22,701,494 | 1.3 | % | ||||||||||
Thermo Fisher Scientific, Inc. | 101,576 | 17,721,965 | 1.1 | % | ||||||||||
UnitedHealth Group, Inc. | 229,100 | 42,479,722 | 2.5 | % | ||||||||||
Vertex Pharmaceuticals, Inc. (I) | 150,100 | 19,343,387 | 1.1 | % | ||||||||||
OTHER SECURITIES | 10,757,837 | 0.6 | % | |||||||||||
288,956,133 | ||||||||||||||
Industrials – 7.7% | ||||||||||||||
Alaska Air Group, Inc. | 165,200 | 14,828,352 | 0.9 | % | ||||||||||
COMMON STOCKS (continued) | ||||||||||||||
Industrials (continued) | ||||||||||||||
American Airlines Group, Inc. | 540,100 | $ | 27,177,832 | 1.6 | % | |||||||||
Fortive Corp. | 210,513 | 13,335,999 | 0.8 | % | ||||||||||
The Boeing Company | 141,900 | 28,060,725 | 1.7 | % | ||||||||||
OTHER SECURITIES | 47,754,237 | 2.7 | % | |||||||||||
131,157,145 | ||||||||||||||
Information technology – 37.6% | ||||||||||||||
Alibaba Group Holding, Ltd., ADR (I) | 365,161 | 51,451,185 | 3.0 | % | ||||||||||
Alphabet, Inc., Class A (I) | 43,566 | 40,502,439 | 2.4 | % | ||||||||||
Alphabet, Inc., Class C (I) | 80,398 | 73,060,075 | 4.3 | % | ||||||||||
Apple, Inc. | 187,700 | 27,032,554 | 1.6 | % | ||||||||||
Broadcom, Ltd. | 70,100 | 16,336,805 | 1.0 | % | ||||||||||
Electronic Arts, Inc. (I) | 108,700 | 11,491,764 | 0.7 | % | ||||||||||
Facebook, Inc., Class A (I) | 580,308 | 87,614,902 | 5.2 | % | ||||||||||
Fiserv, Inc. (I) | 147,300 | 18,020,682 | 1.1 | % | ||||||||||
Intuit, Inc. | 73,500 | 9,761,535 | 0.6 | % | ||||||||||
Mastercard, Inc., Class A | 357,521 | 43,420,925 | 2.5 | % | ||||||||||
Microsoft Corp. | 878,200 | 60,534,326 | 3.6 | % | ||||||||||
PayPal Holdings, Inc. (I) | 324,200 | 17,399,814 | 1.0 | % | ||||||||||
Red Hat, Inc. (I) | 126,387 | 12,101,555 | 0.7 | % | ||||||||||
salesforce.com, Inc. (I) | 334,500 | 28,967,700 | 1.7 | % | ||||||||||
ServiceNow, Inc. (I) | 212,600 | 22,535,600 | 1.3 | % | ||||||||||
Tencent Holdings, Ltd. | 906,700 | 32,527,804 | 1.9 | % | ||||||||||
Visa, Inc., Class A | 564,300 | 52,920,054 | 3.1 | % | ||||||||||
OTHER SECURITIES | 33,208,743 | 1.9 | % | |||||||||||
638,888,462 | ||||||||||||||
Materials – 0.6% | 9,351,706 | 0.6 | % | |||||||||||
Real estate – 2.1% | ||||||||||||||
American Tower Corp. | 215,138 | 28,467,060 | 1.7 | % | ||||||||||
OTHER SECURITIES | 6,121,614 | 0.4 | % | |||||||||||
34,588,674 | ||||||||||||||
Utilities – 0.2% | 3,797,523 | 0.2 | % | |||||||||||
TOTAL COMMON STOCKS (Cost $984,933,118) | $ | 1,691,168,099 | ||||||||||||
SECURITIES LENDING COLLATERAL – 1.0% | ||||||||||||||
John Hancock Collateral Trust, 1.1508% (W)(Y) | 1,777,614 | 17,786,627 | 1.0 | % | ||||||||||
TOTAL SECURITIES LENDING COLLATERAL (Cost $17,786,279) | $ | 17,786,627 | ||||||||||||
SHORT-TERM INVESTMENTS – 0.8% | ||||||||||||||
Money market funds – 0.8% | 13,847,382 | 0.8 | % | |||||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $13,847,382) | $ | 13,847,382 | ||||||||||||
Total Investments (Blue Chip Growth Trust) (Cost $1,016,566,779) – 101.4% | $ | 1,722,802,108 | 101.4 | % | ||||||||||
Other assets and liabilities, net – (1.4%) | (24,585,478 | ) | (1.4 | )% | ||||||||||
TOTAL NET ASSETS – 100.0% | $ | 1,698,216,630 | 100.0 | % |
ADR | American Depositary Receipts | |||||
(I) | Non-income producing security. | |||||
(L) | A portion of this security is on loan as of 6-30-17. | |||||
(W) | Investment is an affiliate of the fund, the advisor and/or subadvisor. This security represents the investment of cash collateral received for securities lending. | |||||
(Y) | The rate shown is the annualized seven-day yield as of 6-30-17. |
Shares or Principal Amount | Value | | % of Net Assets | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMON STOCKS – 100.0% | ||||||||||||||
Consumer discretionary – 25.2% | ||||||||||||||
adidas AG | 81,061 | $ | 15,543,341 | 1.6 | % | |||||||||
Amazon.com, Inc. (I) | 50,746 | 49,122,128 | 5.0 | % | ||||||||||
Charter Communications, Inc., Class A (I) | 47,646 | 16,049,555 | 1.6 | % | ||||||||||
Expedia, Inc. | 56,247 | 8,377,991 | 0.8 | % | ||||||||||
Industria de Diseno Textil SA | 450,556 | 17,303,586 | 1.7 | % | ||||||||||
Marriott International, Inc., Class A | 191,987 | 19,258,216 | 1.9 | % | ||||||||||
McDonald’s Corp. | 99,087 | 15,176,165 | 1.5 | % | ||||||||||
Netflix, Inc. (I) | 213,084 | 31,836,880 | 3.2 | % | ||||||||||
O’Reilly Automotive, Inc. (I) | 48,973 | 10,712,354 | 1.1 | % | ||||||||||
Tesla, Inc. (I)(L) | 42,438 | 15,346,005 | 1.6 | % | ||||||||||
The Home Depot, Inc. | 106,415 | 16,324,061 | 1.7 | % | ||||||||||
The Priceline Group, Inc. (I) | 13,574 | 25,390,438 | 2.6 | % | ||||||||||
Ulta Salon Cosmetics & Fragrance, Inc. (I) | 30,950 | 8,893,173 | 0.9 | % | ||||||||||
249,333,893 | ||||||||||||||
Consumer staples – 3.0% | ||||||||||||||
Costco Wholesale Corp. | 78,648 | 12,578,175 | 1.2 | % | ||||||||||
Monster Beverage Corp. (I) | 238,682 | 11,857,722 | 1.2 | % | ||||||||||
OTHER SECURITIES | 5,716,391 | 0.6 | % | |||||||||||
30,152,288 | ||||||||||||||
Energy – 0.9% | ||||||||||||||
Concho Resources, Inc. (I) | 74,992 | 9,113,778 | 0.9 | % | ||||||||||
Financials – 3.1% | ||||||||||||||
JPMorgan Chase & Co. | 138,438 | 12,653,233 | 1.3 | % | ||||||||||
The Goldman Sachs Group, Inc. | 80,548 | 17,873,601 | 1.8 | % | ||||||||||
30,526,834 | ||||||||||||||
Health care – 11.5% | ||||||||||||||
Allergan PLC | 70,681 | 17,181,844 | 1.7 | % | ||||||||||
BioMarin Pharmaceutical, Inc. (I)(L) | 139,064 | 12,629,792 | 1.3 | % | ||||||||||
Bristol-Myers Squibb Company | 322,829 | 17,988,032 | 1.8 | % | ||||||||||
Celgene Corp. (I) | 183,593 | 23,843,223 | 2.4 | % | ||||||||||
Illumina, Inc. (I) | 57,082 | 9,904,869 | 1.0 | % | ||||||||||
Regeneron Pharmaceuticals, Inc. (I) | 19,659 | 9,655,321 | 1.0 | % | ||||||||||
Shire PLC, ADR | 46,254 | 7,644,399 | 0.8 | % | ||||||||||
Vertex Pharmaceuticals, Inc. (I) | 68,260 | 8,796,666 | 0.9 | % | ||||||||||
OTHER SECURITIES | 6,530,514 | 0.6 | % | |||||||||||
114,174,660 | ||||||||||||||
Industrials – 5.0% | ||||||||||||||
FedEx Corp. | 70,534 | 15,329,154 | 1.6 | % | ||||||||||
Parker-Hannifin Corp. | 82,439 | 13,175,401 | 1.3 | % | ||||||||||
The Boeing Company | 80,774 | 15,973,059 | 1.6 | % | ||||||||||
OTHER SECURITIES | 5,095,968 | 0.5 | % | |||||||||||
49,573,582 | ||||||||||||||
Information technology – 49.2% | ||||||||||||||
Activision Blizzard, Inc. | 333,830 | 19,218,593 | 1.9 | % | ||||||||||
Adobe Systems, Inc. (I) | 167,246 | 23,655,274 | 2.4 | % | ||||||||||
Alibaba Group Holding, Ltd., ADR (I) | 274,806 | 38,720,165 | 3.9 | % | ||||||||||
Alphabet, Inc., Class A (I) | 26,279 | 24,431,061 | 2.5 | % | ||||||||||
Alphabet, Inc., Class C (I) | 26,867 | 24,414,849 | 2.5 | % | ||||||||||
Apple, Inc. | 400,893 | 57,736,610 | 5.8 | % | ||||||||||
Broadcom, Ltd. | 79,704 | 18,575,017 | 1.9 | % | ||||||||||
Facebook, Inc., Class A (I) | 293,887 | 44,371,059 | 4.5 | % | ||||||||||
FleetCor Technologies, Inc. (I) | 81,636 | 11,772,728 | 1.2 | % | ||||||||||
Mastercard, Inc., Class A | 247,240 | 30,027,298 | 3.0 | % | ||||||||||
Microsoft Corp. | 532,788 | 36,725,077 | 3.7 | % | ||||||||||
NVIDIA Corp. | 167,904 | 24,272,202 | 2.4 | % | ||||||||||
QUALCOMM, Inc. | 135,436 | 7,478,776 | 0.8 | % | ||||||||||
Red Hat, Inc. (I) | 114,103 | 10,925,362 | 1.1 | % | ||||||||||
salesforce.com, Inc. (I) | 272,625 | 23,609,325 | 2.4 | % | ||||||||||
Splunk, Inc. (I) | 121,757 | 6,926,756 | 0.7 | % | ||||||||||
Tencent Holdings, Ltd. | 924,775 | 33,176,243 | 3.3 | % | ||||||||||
Texas Instruments, Inc. | 141,270 | 10,867,901 | 1.1 | % | ||||||||||
COMMON STOCKS (continued) | ||||||||||||||
Information technology (continued) | ||||||||||||||
Visa, Inc., Class A | 313,302 | $ | 29,381,462 | 3.0 | % | |||||||||
Workday, Inc., Class A (I) | 116,423 | 11,293,031 | 1.1 | % | ||||||||||
487,578,789 | ||||||||||||||
Materials – 0.9% | ||||||||||||||
Albemarle Corp. | 87,888 | 9,275,700 | 0.9 | % | ||||||||||
Real estate – 1.2% | ||||||||||||||
Crown Castle International Corp. | 121,125 | 12,134,303 | 1.2 | % | ||||||||||
TOTAL COMMON STOCKS (Cost $731,467,819) | $ | 991,863,827 | ||||||||||||
SECURITIES LENDING COLLATERAL – 0.5% | ||||||||||||||
John Hancock Collateral Trust, 1.1508% (W)(Y) | 546,852 | 5,471,742 | 0.5 | % | ||||||||||
TOTAL SECURITIES LENDING COLLATERAL (Cost $5,471,640) | $ | 5,471,742 | ||||||||||||
SHORT-TERM INVESTMENTS – 0.4% | ||||||||||||||
Money market funds – 0.4% | 3,507,662 | 0.4 | % | |||||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $3,507,662) | $ | 3,507,662 | ||||||||||||
Total Investments (Capital Appreciation Trust) (Cost $740,447,121) – 100.9% | $ | 1,000,843,231 | 100.9 | % | ||||||||||
Other assets and liabilities, net – (0.9%) | (9,343,987 | ) | (0.9 | )% | ||||||||||
TOTAL NET ASSETS – 100.0% | $ | 991,499,244 | 100.0 | % |
ADR | American Depositary Receipts | |||||
(I) | Non-income producing security. | |||||
(L) | A portion of this security is on loan as of 6-30-17. | |||||
(W) | Investment is an affiliate of the fund, the advisor and/or subadvisor. This security represents the investment of cash collateral received for securities lending. | |||||
(Y) | The rate shown is the annualized seven-day yield as of 6-30-17. |
Shares or Principal Amount | Value | | % of Net Assets | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMON STOCKS – 61.8% | ||||||||||||||
Consumer discretionary – 9.1% | ||||||||||||||
Adient PLC | 34,427 | $ | 2,250,837 | 0.6 | % | |||||||||
Amazon.com, Inc. (I) | 7,908 | 7,654,944 | 1.9 | % | ||||||||||
Aramark | 113,568 | 4,654,017 | 1.2 | % | ||||||||||
AutoZone, Inc. (I) | 4,574 | 2,609,284 | 0.6 | % | ||||||||||
Lowe’s Companies, Inc. | 41,743 | 3,236,335 | 0.8 | % | ||||||||||
O’Reilly Automotive, Inc. (I) | 25,742 | 5,630,805 | 1.4 | % | ||||||||||
Yum! Brands, Inc. | 60,555 | 4,466,537 | 1.1 | % | ||||||||||
OTHER SECURITIES | 5,966,693 | 1.5 | % | |||||||||||
36,469,452 | ||||||||||||||
Consumer staples – 7.7% | ||||||||||||||
Altria Group, Inc. | 38,131 | 2,839,616 | 0.7 | % | ||||||||||
British American Tobacco PLC | 46,097 | 3,141,182 | 0.8 | % | ||||||||||
Dr. Pepper Snapple Group, Inc. | 58,031 | 5,287,204 | 1.3 | % | ||||||||||
Mondelez International, Inc., Class A | 70,006 | 3,023,559 | 0.8 | % | ||||||||||
PepsiCo, Inc. | 21,975 | 2,537,893 | 0.6 | % | ||||||||||
Philip Morris International, Inc. | 75,800 | 8,902,710 | 2.2 | % | ||||||||||
OTHER SECURITIES | 5,023,097 | 1.3 | % | |||||||||||
30,755,261 | ||||||||||||||
Energy – 1.5% | ||||||||||||||
Canadian Natural Resources, Ltd. | 116,500 | 3,359,860 | 0.9 | % | ||||||||||
TOTAL SA | 50,824 | 2,523,258 | 0.6 | % | ||||||||||
5,883,118 |
Shares or Principal Amount | Value | | % of Net Assets | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMON STOCKS (continued) | ||||||||||||||
Financials – 7.5% | ||||||||||||||
Marsh & McLennan Companies, Inc. | 135,800 | $ | 10,586,968 | 2.6 | % | |||||||||
State Street Corp. | 33,542 | 3,009,724 | 0.8 | % | ||||||||||
The Bank of New York Mellon Corp. | 169,521 | 8,648,961 | 2.2 | % | ||||||||||
The PNC Financial Services Group, Inc. | 21,025 | 2,625,392 | 0.7 | % | ||||||||||
Wells Fargo & Company | 59,900 | 3,319,059 | 0.8 | % | ||||||||||
OTHER SECURITIES | 1,792,358 | 0.4 | % | |||||||||||
29,982,462 | ||||||||||||||
Health care – 15.8% | ||||||||||||||
Abbott Laboratories | 165,594 | 8,049,524 | 2.0 | % | ||||||||||
Aetna, Inc. | 23,513 | 3,569,979 | 0.9 | % | ||||||||||
Anthem, Inc. | 14,800 | 2,784,324 | 0.7 | % | ||||||||||
Becton, Dickinson and Company | 40,426 | 7,887,517 | 2.0 | % | ||||||||||
Cigna Corp. | 19,249 | 3,222,090 | 0.8 | % | ||||||||||
Danaher Corp. | 70,127 | 5,918,018 | 1.5 | % | ||||||||||
Humana, Inc. | 18,425 | 4,433,424 | 1.1 | % | ||||||||||
PerkinElmer, Inc. | 110,235 | 7,511,413 | 1.9 | % | ||||||||||
Thermo Fisher Scientific, Inc. | 22,952 | 4,004,435 | 1.0 | % | ||||||||||
UnitedHealth Group, Inc. | 26,600 | 4,932,172 | 1.2 | % | ||||||||||
Zoetis, Inc. (D) | 90,251 | 5,629,857 | 1.4 | % | ||||||||||
OTHER SECURITIES | 5,374,258 | 1.3 | % | |||||||||||
63,317,011 | ||||||||||||||
Industrials – 4.2% | ||||||||||||||
Johnson Controls International PLC | 111,971 | 4,855,063 | 1.2 | % | ||||||||||
Roper Technologies, Inc. | 12,830 | 2,970,530 | 0.8 | % | ||||||||||
OTHER SECURITIES | 8,866,440 | 2.2 | % | |||||||||||
16,692,033 | ||||||||||||||
Information technology – 11.8% | ||||||||||||||
Alphabet, Inc., Class C (I) | 9,046 | 8,220,372 | 2.0 | % | ||||||||||
Apple, Inc. | 15,500 | 2,232,310 | 0.6 | % | ||||||||||
Fidelity National Information Services, Inc. | 41,337 | 3,530,180 | 0.9 | % | ||||||||||
Fiserv, Inc. (I) | 75,328 | 9,215,628 | 2.3 | % | ||||||||||
Mastercard, Inc., Class A (D) | 29,037 | 3,526,544 | 0.9 | % | ||||||||||
Microsoft Corp. | 125,000 | 8,616,250 | 2.1 | % | ||||||||||
Visa, Inc., Class A | 101,400 | 9,509,292 | 2.4 | % | ||||||||||
OTHER SECURITIES | 2,533,758 | 0.6 | % | |||||||||||
47,384,334 | ||||||||||||||
Materials – 0.5% | 2,139,076 | 0.5 | % | |||||||||||
Real estate – 1.8% | ||||||||||||||
American Tower Corp. | 23,100 | 3,056,592 | 0.8 | % | ||||||||||
SBA Communications Corp. (I) | 30,271 | 4,083,540 | 1.0 | % | ||||||||||
7,140,132 | ||||||||||||||
Utilities – 1.9% | ||||||||||||||
PG&E Corp. | 101,238 | 6,719,166 | 1.7 | % | ||||||||||
OTHER SECURITIES | 1,005,005 | 0.2 | % | |||||||||||
7,724,171 | ||||||||||||||
TOTAL COMMON STOCKS (Cost $204,126,236) | $ | 247,487,050 | ||||||||||||
PREFERRED SECURITIES – 3.4% | ||||||||||||||
Financials – 0.5% | 2,132,371 | 0.5 | % | |||||||||||
Health care – 1.0% | ||||||||||||||
Becton, Dickinson and Company, 6.125% | 71,059 | 3,892,612 | 1.0 | % | ||||||||||
Real estate – 0.6% | ||||||||||||||
American Tower Corp., 5.500% | 19,073 | 2,312,220 | 0.6 | % | ||||||||||
Utilities – 1.3% | 5,257,030 | 1.3 | % | |||||||||||
TOTAL PREFERRED SECURITIES (Cost $12,321,180) | $ | 13,594,233 | ||||||||||||
CORPORATE BONDS – 20.1% | ||||||||||||||
Consumer discretionary – 4.8% | 19,269,454 | 4.8 | % | |||||||||||
Consumer staples – 1.2% | 4,908,737 | 1.2 | % | |||||||||||
CORPORATE BONDS (continued) | ||||||||||||||
Energy – 1.6% | $ | 6,351,490 | 1.6 | % | ||||||||||
Financials – 1.6% | 6,401,501 | 1.6 | % | |||||||||||
Health care – 3.6% | ||||||||||||||
HCA, Inc. 6.500%, 02/15/2020 | $ | 2,140,000 | 2,335,275 | 0.6 | % | |||||||||
OTHER SECURITIES | 12,027,728 | 3.0 | % | |||||||||||
14,363,003 | ||||||||||||||
Industrials – 0.8% | 3,273,409 | 0.8 | % | |||||||||||
Information technology – 2.1% | ||||||||||||||
Microsoft Corp. 3.300%, 02/06/2027 | 3,325,000 | 3,418,775 | 0.9 | % | ||||||||||
NXP BV 3.750%, 06/01/2018 (S) | 2,425,000 | 2,461,375 | 0.6 | % | ||||||||||
OTHER SECURITIES | 2,570,023 | 0.6 | % | |||||||||||
8,450,173 | ||||||||||||||
Materials – 0.6% | 2,227,413 | 0.6 | % | |||||||||||
Real estate – 1.4% | 5,550,149 | 1.4 | % | |||||||||||
Telecommunication services – 1.1% | 4,436,466 | 1.1 | % | |||||||||||
Utilities – 1.3% | 5,130,804 | 1.3 | % | |||||||||||
TOTAL CORPORATE BONDS (Cost $79,150,147) | $ | 80,362,599 | ||||||||||||
TERM LOANS (M) – 1.3% | ||||||||||||||
Consumer discretionary – 0.2% | 646,298 | 0.2 | % | |||||||||||
Consumer staples – 0.0% | 91,396 | 0.0 | % | |||||||||||
Energy – 0.1% | 444,375 | 0.1 | % | |||||||||||
Financials – 0.6% | �� | 2,196,014 | 0.6 | % | ||||||||||
Health care – 0.3% | 1,353,937 | 0.3 | % | |||||||||||
Industrials – 0.1% | 554,813 | 0.1 | % | |||||||||||
Information technology – 0.0% | 74,625 | 0.0 | % | |||||||||||
TOTAL TERM LOANS (Cost $5,359,625) | $ | 5,361,458 | ||||||||||||
ASSET BACKED SECURITIES – 0.2% | ||||||||||||||
TOTAL ASSET BACKED SECURITIES (Cost $882,213) | $ | 894,663 | ||||||||||||
SECURITIES LENDING COLLATERAL – 0.2% | ||||||||||||||
John Hancock Collateral Trust, 1.1508% (W)(Y) | 66,092 | 661,307 | 0.2 | % | ||||||||||
TOTAL SECURITIES LENDING COLLATERAL (Cost $661,302) | $ | 661,307 | ||||||||||||
SHORT-TERM INVESTMENTS – 13.5% | ||||||||||||||
Money market funds – 12.9% | ||||||||||||||
T. Rowe Price Government Money Fund, 0.9816% (Y) | 51,609,088 | 51,609,088 | 12.9 | % | ||||||||||
Repurchase agreement – 0.6% | ||||||||||||||
Repurchase Agreement with State Street Corp. dated 06/30/2017 at 0.340% to be repurchased at $2,426,069 on 07/03/2017, collateralized by $2,515,000 U.S. Treasury Notes, 1.125% due 02/28/2021 (valued at $2,475,675, including interest) | $ | 2,426,000 | 2,426,000 | 0.6 | % | |||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $54,035,088) | $ | 54,035,088 | ||||||||||||
Total Investments (Capital Appreciation Value Trust) (Cost $356,535,791) – 100.5% | $ | 402,396,398 | 100.5 | % | ||||||||||
Other assets and liabilities, net – (0.5%) | (1,920,857 | ) | (0.5 | )% | ||||||||||
TOTAL NET ASSETS – 100.0% | $ | 400,475,541 | 100.0 | % |
(D) | All or a portion of this security is segregated at the custodian as collateral for certain derivatives. | |||||
(I) | Non-income producing security. | |||||
(M) | Term loans are variable rate obligations. The coupon rate shown represents the rate at period end. | |||||
(S) | These securities are exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be resold, normally to qualified institutional buyers, in transactions exempt from registration. | |||||
(W) | Investment is an affiliate of the fund, the advisor and/or subadvisor. This security represents the investment of cash collateral received for securities lending. | |||||
(Y) | The rate shown is the annualized seven-day yield as of 6-30-17. |
Counterparty (OTC)/ Exchange-Traded | | Name of issuer | | Exercise price | | Expiration date | | Number of contracts | | Notional amount | | Premium | | Value | | |||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Calls | ||||||||||||||||||||||||||||||||||||||
Citigroup Global Markets | Alphabet, Inc., Class C | 840.00 | Jan 2018 | 2 | USD | 200 | $ | 8,629 | ($21,330 | ) | ||||||||||||||||||||||||||||
Citigroup Global Markets | Alphabet, Inc., Class C | 840.00 | Jan 2018 | 2 | USD | 200 | 8,544 | (21,330 | ) | |||||||||||||||||||||||||||||
Citigroup Global Markets | Alphabet, Inc., Class C | 860.00 | Jan 2018 | 2 | USD | 200 | 7,294 | (18,590 | ) | |||||||||||||||||||||||||||||
Citigroup Global Markets | Alphabet, Inc., Class C | 860.00 | Jan 2018 | 2 | USD | 200 | 7,144 | (18,590 | ) | |||||||||||||||||||||||||||||
Citigroup Global Markets | Alphabet, Inc., Class C | 880.00 | Jan 2018 | 3 | USD | 300 | 11,556 | (24,180 | ) | |||||||||||||||||||||||||||||
Citigroup Global Markets | Alphabet, Inc., Class C | 880.00 | Jan 2018 | 4 | USD | 400 | 15,037 | (32,240 | ) | |||||||||||||||||||||||||||||
Citigroup Global Markets | Alphabet, Inc., Class C | 880.00 | Jan 2018 | 2 | USD | 200 | 6,134 | (16,120 | ) | |||||||||||||||||||||||||||||
Citigroup Global Markets | Alphabet, Inc., Class C | 880.00 | Jan 2018 | 2 | USD | 200 | 5,944 | (16,120 | ) | |||||||||||||||||||||||||||||
Citigroup Global Markets | Alphabet, Inc., Class C | 900.00 | Jan 2018 | 2 | USD | 200 | 7,314 | (13,770 | ) | |||||||||||||||||||||||||||||
Citigroup Global Markets | Alphabet, Inc., Class C | 900.00 | Jan 2018 | 2 | USD | 200 | 5,094 | (13,770 | ) | |||||||||||||||||||||||||||||
Citigroup Global Markets | Alphabet, Inc., Class C | 900.00 | Jan 2018 | 2 | USD | 200 | 4,844 | (13,770 | ) | |||||||||||||||||||||||||||||
Citigroup Global Markets | Alphabet, Inc., Class C | 900.00 | Jan 2018 | 3 | �� | USD | 300 | 10,161 | (20,655 | ) | ||||||||||||||||||||||||||||
Citigroup Global Markets | Alphabet, Inc., Class C | 920.00 | Jan 2018 | 3 | USD | 300 | 8,256 | (17,550 | ) | |||||||||||||||||||||||||||||
Citigroup Global Markets | Alphabet, Inc., Class C | 920.00 | Jan 2018 | 4 | USD | 400 | 10,388 | (23,400 | ) | |||||||||||||||||||||||||||||
Citigroup Global Markets | Alphabet, Inc., Class C | 920.00 | Jan 2018 | 2 | USD | 200 | 6,154 | (11,700 | ) | |||||||||||||||||||||||||||||
Citigroup Global Markets | Alphabet, Inc., Class C | 920.00 | Jan 2018 | 3 | USD | 300 | 8,481 | (17,550 | ) | |||||||||||||||||||||||||||||
Citigroup Global Markets | Alphabet, Inc., Class C | 940.00 | Jan 2018 | 3 | USD | 300 | 7,063 | (14,925 | ) | |||||||||||||||||||||||||||||
Citigroup Global Markets | Alphabet, Inc., Class C | 940.00 | Jan 2018 | 3 | USD | 300 | 6,441 | (14,925 | ) | |||||||||||||||||||||||||||||
Citigroup Global Markets | Alphabet, Inc., Class C | 940.00 | Jan 2018 | 2 | USD | 200 | 5,174 | (9,950 | ) | |||||||||||||||||||||||||||||
Citigroup Global Markets | Alphabet, Inc., Class C | 940.00 | Jan 2018 | 4 | USD | 400 | 9,388 | (19,900 | ) | |||||||||||||||||||||||||||||
Deutsche Bank AG London | Alphabet, Inc., Class C | 880.00 | Jan 2018 | 3 | USD | 300 | 9,783 | (24,180 | ) | |||||||||||||||||||||||||||||
Deutsche Bank AG London | Alphabet, Inc., Class C | 900.00 | Jan 2018 | 3 | USD | 300 | 10,431 | (20,655 | ) | |||||||||||||||||||||||||||||
Deutsche Bank AG London | Alphabet, Inc., Class C | 900.00 | Jan 2018 | 4 | USD | 400 | 13,148 | (27,540 | ) | |||||||||||||||||||||||||||||
Deutsche Bank AG London | Alphabet, Inc., Class C | 900.00 | Jan 2018 | 2 | USD | 200 | 7,914 | (13,770 | ) | |||||||||||||||||||||||||||||
Deutsche Bank AG London | Alphabet, Inc., Class C | 900.00 | Jan 2018 | 2 | USD | 200 | 5,471 | (13,770 | ) | |||||||||||||||||||||||||||||
Deutsche Bank AG London | Alphabet, Inc., Class C | 920.00 | Jan 2018 | 2 | USD | 200 | 6,734 | (11,700 | ) | |||||||||||||||||||||||||||||
Deutsche Bank AG London | Alphabet, Inc., Class C | 920.00 | Jan 2018 | 2 | USD | 200 | 4,557 | (11,700 | ) | |||||||||||||||||||||||||||||
Deutsche Bank AG London | Alphabet, Inc., Class C | 920.00 | Jan 2018 | 2 | USD | 200 | 5,974 | (11,700 | ) | |||||||||||||||||||||||||||||
Deutsche Bank AG London | Alphabet, Inc., Class C | 920.00 | Jan 2018 | 3 | USD | 300 | 9,501 | (17,550 | ) | |||||||||||||||||||||||||||||
Deutsche Bank AG London | Alphabet, Inc., Class C | 940.00 | Jan 2018 | 2 | USD | 200 | 5,694 | (9,950 | ) | |||||||||||||||||||||||||||||
Deutsche Bank AG London | Alphabet, Inc., Class C | 940.00 | Jan 2018 | 2 | USD | 200 | 4,914 | (9,950 | ) | |||||||||||||||||||||||||||||
Deutsche Bank AG London | Alphabet, Inc., Class C | 940.00 | Jan 2018 | 3 | USD | 300 | 7,821 | (14,925 | ) | |||||||||||||||||||||||||||||
Citigroup Global Markets | Amazon.com, Inc. | 1000.00 | Jan 2018 | 5 | USD | 500 | 23,874 | (31,013 | ) | |||||||||||||||||||||||||||||
Deutsche Bank AG London | Amazon.com, Inc. | 1080.00 | Jan 2018 | 8 | USD | 800 | 37,550 | (27,340 | ) | |||||||||||||||||||||||||||||
Deutsche Bank AG London | Amazon.com, Inc. | 1100.00 | Jan 2018 | 8 | USD | 800 | 32,548 | (23,602 | ) | |||||||||||||||||||||||||||||
Deutsche Bank AG London | Amazon.com, Inc. | 1000.00 | Jan 2018 | 6 | USD | 600 | 28,498 | (37,215 | ) | |||||||||||||||||||||||||||||
Deutsche Bank AG London | Amazon.com, Inc. | 950.00 | Jan 2018 | 5 | USD | 500 | 22,260 | (43,350 | ) | |||||||||||||||||||||||||||||
Deutsche Bank AG London | Amazon.com, Inc. | 950.00 | Jan 2018 | 5 | USD | 500 | 23,161 | (43,350 | ) | |||||||||||||||||||||||||||||
Deutsche Bank AG London | Amazon.com, Inc. | 950.00 | Jan 2018 | 4 | USD | 400 | 21,250 | (34,680 | ) | |||||||||||||||||||||||||||||
Deutsche Bank AG London | Amazon.com, Inc. | 950.00 | Jan 2018 | 5 | USD | 500 | 24,162 | (43,350 | ) | |||||||||||||||||||||||||||||
Citigroup Global Markets | American Tower Corp. | 115.00 | Jan 2018 | 37 | USD | 3,700 | 14,134 | (71,695 | ) | |||||||||||||||||||||||||||||
Citigroup Global Markets | American Tower Corp. | 120.00 | Jan 2018 | 37 | USD | 3,700 | 10,064 | (56,777 | ) | |||||||||||||||||||||||||||||
Citigroup Global Markets | Apple, Inc. | 175.00 | Jan 2018 | 58 | USD | 5,800 | 20,320 | (8,678 | ) | |||||||||||||||||||||||||||||
Citigroup Global Markets | Apple, Inc. | 180.00 | Jan 2018 | 59 | USD | 5,900 | 15,380 | (6,340 | ) | |||||||||||||||||||||||||||||
Citigroup Global Markets | Biogen, Inc. | 350.00 | Jan 2018 | 9 | USD | 900 | 9,214 | (1,508 | ) |
Counterparty (OTC)/ Exchange-Traded | | Name of issuer | | Exercise price | | Expiration date | | Number of contracts | | Notional amount | | Premium | | Value | | ||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Citigroup Global Markets | Biogen, Inc. | 350.00 | Jan 2018 | 5 | USD | 500 | $ | 6,132 | ($838 | ) | |||||||||||||||||||||||||
Citigroup Global Markets | Danaher Corp. | 90.00 | Jan 2018 | 20 | USD | 2,000 | 3,816 | (3,350 | ) | ||||||||||||||||||||||||||
Citigroup Global Markets | Danaher Corp. | 90.00 | Jan 2018 | 6 | USD | 600 | 1,043 | (1,005 | ) | ||||||||||||||||||||||||||
Deutsche Bank AG London | Danaher Corp. | 90.00 | Jan 2018 | 56 | USD | 5,600 | 11,666 | (9,381 | ) | ||||||||||||||||||||||||||
Deutsche Bank AG London | Danaher Corp. | 90.00 | Jan 2018 | 40 | USD | 4,000 | 8,276 | (6,700 | ) | ||||||||||||||||||||||||||
Deutsche Bank AG London | Danaher Corp. | 90.00 | Jan 2018 | 121 | USD | 12,100 | 22,482 | (20,269 | ) | ||||||||||||||||||||||||||
Citigroup Global Markets | Mastercard, Inc. | 120.00 | Jan 2018 | 3 | USD | 300 | 1,514 | (2,324 | ) | ||||||||||||||||||||||||||
Citigroup Global Markets | Mastercard, Inc. | 120.00 | Jan 2018 | 1 | USD | 100 | 504 | (775 | ) | ||||||||||||||||||||||||||
Citigroup Global Markets | Mastercard, Inc. | 125.00 | Jan 2018 | 3 | USD | 300 | 1,044 | (1,560 | ) | ||||||||||||||||||||||||||
Credit Suisse | PNC Financial Services Group | 135.00 | Jan 2018 | 40 | USD | 4,000 | 20,568 | (12,820 | ) | ||||||||||||||||||||||||||
Credit Suisse | PNC Financial Services Group | 135.00 | Jan 2018 | 39 | USD | 3,900 | 20,236 | (12,500 | ) | ||||||||||||||||||||||||||
RBC Capital Markets | PNC Financial Services Group | 135.00 | Jan 2018 | 33 | USD | 3,300 | 9,133 | (10,577 | ) | ||||||||||||||||||||||||||
Merrill Lynch | The Boeing Company | 175.00 | Jan 2018 | 89 | USD | 8,900 | 49,043 | (234,031 | ) | ||||||||||||||||||||||||||
RBC Capital Markets | Unitedhealth Group, Inc. | 180.00 | Jan 2018 | 47 | USD | 4,700 | 23,909 | (63,803 | ) | ||||||||||||||||||||||||||
RBC Capital Markets | Unitedhealth Group, Inc. | 180.00 | Jan 2018 | 17 | USD | 1,700 | 9,524 | (23,078 | ) | ||||||||||||||||||||||||||
RBC Capital Markets | Unitedhealth Group, Inc. | 180.00 | Jan 2018 | 9 | USD | 900 | 5,237 | (12,218 | ) | ||||||||||||||||||||||||||
RBC Capital Markets | Unitedhealth Group, Inc. | 180.00 | Jan 2018 | 25 | USD | 2,500 | 14,557 | (33,938 | ) | ||||||||||||||||||||||||||
Citigroup Global Markets | Visa, Inc. | 90.00 | Jan 2018 | 96 | USD | 9,600 | 36,192 | (73,200 | ) | ||||||||||||||||||||||||||
Citigroup Global Markets | Visa, Inc. | 90.00 | Jan 2018 | 47 | USD | 4,700 | 21,244 | (35,838 | ) | ||||||||||||||||||||||||||
Citigroup Global Markets | Visa, Inc. | 90.00 | Jan 2018 | 34 | USD | 3,400 | 9,758 | (25,925 | ) | ||||||||||||||||||||||||||
Citigroup Global Markets | Visa, Inc. | 105.00 | Jan 2018 | 37 | USD | 3,700 | 7,561 | (4,943 | ) | ||||||||||||||||||||||||||
Citigroup Global Markets | Visa, Inc. | 105.00 | Jan 2018 | 18 | USD | 1,800 | 3,213 | (2,405 | ) | ||||||||||||||||||||||||||
Citigroup Global Markets | Visa, Inc. | 105.00 | Jan 2018 | 9 | USD | 900 | 1,630 | (1,202 | ) | ||||||||||||||||||||||||||
Citigroup Global Markets | Visa, Inc. | 105.00 | Jan 2018 | 9 | USD | 900 | 1,610 | (1,202 | ) | ||||||||||||||||||||||||||
Citigroup Global Markets | Visa, Inc. | 105.00 | Jan 2018 | 28 | USD | 2,800 | 5,151 | (3,741 | ) | ||||||||||||||||||||||||||
Citigroup Global Markets | Visa, Inc. | 95.00 | Jan 2018 | 18 | USD | 1,800 | 6,066 | (8,460 | ) | ||||||||||||||||||||||||||
Citigroup Global Markets | Visa, Inc. | 95.00 | Jan 2018 | 18 | USD | 1,800 | 5,976 | (8,460 | ) | ||||||||||||||||||||||||||
Citigroup Global Markets | Visa, Inc. | 95.00 | Jan 2018 | 79 | USD | 7,900 | 18,486 | (37,130 | ) | ||||||||||||||||||||||||||
Citigroup Global Markets | Visa, Inc. | 95.00 | Jan 2018 | 80 | USD | 8,000 | 20,400 | (37,600 | ) | ||||||||||||||||||||||||||
Citigroup Global Markets | Visa, Inc. | 95.00 | Jan 2018 | 79 | USD | 7,900 | 20,935 | (37,130 | ) | ||||||||||||||||||||||||||
Citigroup Global Markets | Visa, Inc. | 95.00 | Jan 2018 | 67 | USD | 6,700 | 25,929 | (31,490 | ) | ||||||||||||||||||||||||||
Citigroup Global Markets | Visa, Inc. | 110.00 | Jan 2019 | 17 | USD | 1,700 | 7,732 | (6,964 | ) | ||||||||||||||||||||||||||
Citigroup Global Markets | Visa, Inc. | 110.00 | Jan 2019 | 4 | USD | 400 | 1,846 | (1,639 | ) | ||||||||||||||||||||||||||
Citigroup Global Markets | Visa, Inc. | 115.00 | Jan 2019 | 17 | USD | 1,700 | 5,545 | (4,871 | ) | ||||||||||||||||||||||||||
Citigroup Global Markets | Visa, Inc. | 115.00 | Jan 2019 | 4 | USD | 400 | 1,343 | (1,146 | ) | ||||||||||||||||||||||||||
Citigroup Global Markets | Visa, Inc. | 105.00 | Jan 2019 | 17 | USD | 1,700 | 10,509 | (9,350 | ) | ||||||||||||||||||||||||||
Citigroup Global Markets | Visa, Inc. | 105.00 | Jan 2019 | 4 | USD | 400 | 2,451 | (2,200 | ) | ||||||||||||||||||||||||||
J.P. Morgan Clearing | Wells Fargo & Co. | 65.00 | Jan 2018 | 176 | USD | 17,600 | 26,400 | (7,839 | ) | ||||||||||||||||||||||||||
Deutsche Bank AG London | Zoetis, Inc. | 65.00 | Jan 2018 | 84 | USD | 8,400 | 10,783 | (18,901 | ) | ||||||||||||||||||||||||||
Deutsche Bank AG London | Zoetis, Inc. | 62.50 | Jan 2018 | 84 | USD | 8,400 | 18,228 | (28,560 | ) | ||||||||||||||||||||||||||
Deutsche Bank AG London | Zoetis, Inc. | 60.00 | Jan 2018 | 91 | USD | 9,100 | 23,005 | (45,045 | ) | ||||||||||||||||||||||||||
Deutsche Bank AG London | Zoetis, Inc. | 60.00 | Jan 2018 | 90 | USD | 9,000 | 20,718 | (44,550 | ) | ||||||||||||||||||||||||||
Goldman Sachs | Zoetis, Inc. | 62.50 | Jan 2018 | 25 | USD | 2,500 | 5,387 | (8,500 | ) | ||||||||||||||||||||||||||
Goldman Sachs | Zoetis, Inc. | 62.50 | Jan 2018 | 5 | USD | 500 | 1,034 | (1,700 | ) | ||||||||||||||||||||||||||
Goldman Sachs | Zoetis, Inc. | 62.50 | Jan 2018 | 8 | USD | 800 | 1,200 | (2,720 | ) | ||||||||||||||||||||||||||
Goldman Sachs | Zoetis, Inc. | 62.50 | Jan 2018 | 49 | USD | 4,900 | 6,797 | (16,660 | ) | ||||||||||||||||||||||||||
Goldman Sachs | Zoetis, Inc. | 60.00 | Jan 2018 | 25 | USD | 2,500 | 8,103 | (12,375 | ) | ||||||||||||||||||||||||||
Goldman Sachs | Zoetis, Inc. | 60.00 | Jan 2018 | 5 | USD | 500 | 1,564 | (2,475 | ) | ||||||||||||||||||||||||||
Goldman Sachs | Zoetis, Inc. | 60.00 | Jan 2018 | 8 | USD | 800 | 1,640 | (3,960 | ) | ||||||||||||||||||||||||||
Goldman Sachs | Zoetis, Inc. | 60.00 | Jan 2018 | 49 | USD | 4,900 | 9,891 | (24,255 | ) | ||||||||||||||||||||||||||
$ | 1,090,408 | (1,978,256 | ) | ||||||||||||||||||||||||||||||||
Exchange-Traded | Mastercard, Inc. | 120.00 | Jan 2018 | 2 | USD | 200 | $ | 898 | ($1,585 | ) | |||||||||||||||||||||||||
$ | 898 | ($1,585 | ) | ||||||||||||||||||||||||||||||||
$ | 1,091,306 | ($1,979,841 | ) |
OTC | Over-the-counter |
Shares or Principal Amount | Value | | % of Net Assets | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
AFFILIATED INVESTMENT COMPANIES (G) – 100.0% | ||||||||||||||
Equity – 71.0% | ||||||||||||||
Strategic Equity Allocation, Series NAV (JHAM) (A)(1) | 142,419,081 | $ | 2,650,419,097 | 71.0 | % | |||||||||
Fixed income – 29.0% | ||||||||||||||
Bond, Series NAV (JHAM) (A)(1) | 79,418,001 | 1,084,055,718 | 29.0 | % | ||||||||||
TOTAL AFFILIATED INVESTMENT COMPANIES (Cost $3,460,070,623) | $ | 3,734,474,815 | ||||||||||||
COMMON STOCKS – 0.0% | ||||||||||||||
Consumer discretionary – 0.0% | ||||||||||||||
Urbi Desarrollos Urbanos SAB de CV (I) | 6 | 2 | 0.0 | % | ||||||||||
Consumer staples – 0.0% | ||||||||||||||
Chaoda Modern Agriculture Holdings, Ltd. (I) | 28,480 | 504 | 0.0 | % | ||||||||||
Financials – 0.0% | ||||||||||||||
Irish Bank Resolution Corp., Ltd. (I) | 3,621 | 0 | 0.0 | % | ||||||||||
SRH NV (I) | 1,920 | 0 | 0.0 | % | ||||||||||
Health care – 0.0% | ||||||||||||||
MedCath Corp. (I) | 500 | 250 | 0.0 | % | ||||||||||
Industrials – 0.0% | ||||||||||||||
Virgin Australia Holdings, Ltd. (I) | 16,061 | 62 | 0.0 | % | ||||||||||
Materials – 0.0% | ||||||||||||||
China Metal Recycling Holdings, Ltd. (I) | 7,800 | 0 | 0.0 | % | ||||||||||
Timminco, Ltd. (I) | 300 | 0 | 0.0 | % | ||||||||||
TOTAL COMMON STOCKS (Cost $99,056) | $ | 818 | ||||||||||||
Total Investments (Core Strategy Trust) (Cost $3,460,169,679) – 100.0% | $ | 3,734,475,633 | 100.0 | % | ||||||||||
Other assets and liabilities, net – 0.0% | 6,628 | 0.0 | % | |||||||||||
TOTAL NET ASSETS – 100.0% | $ | 3,734,482,261 | 100.0 | % |
JHAM | John Hancock Asset Management | |||||
(A) | The subadvisor is an affiliate of the advisor. | |||||
(G) | The portfolio’s subadvisor is shown parenthetically. | |||||
(I) | Non-income producing security. | |||||
(1) | Manulife Asset Management (US) LLC is doing business as John Hancock Asset Management. |
Shares or Principal Amount | Value | | % of Net Assets | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMON STOCKS – 96.2% | ||||||||||||||
Australia – 0.0% | $ | 14,755 | 0.0 | % | ||||||||||
Brazil – 4.0% | ||||||||||||||
Petroleo Brasileiro SA (I) | 739,442 | 2,946,251 | 0.5 | % | ||||||||||
Petroleo Brasileiro SA, ADR (I) | 239,046 | 1,783,283 | 0.3 | % | ||||||||||
Petroleo Brasileiro SA, ADR (I) | 183,294 | 1,464,519 | 0.2 | % | ||||||||||
Vale SA | 703,920 | 6,161,876 | 1.0 | % | ||||||||||
OTHER SECURITIES | 13,585,665 | 2.0 | % | |||||||||||
25,941,594 | ||||||||||||||
Chile – 1.2% | 7,844,522 | 1.2 | % | |||||||||||
China – 13.6% | ||||||||||||||
Agricultural Bank of China, Ltd., H Shares | 5,914,000 | 2,795,067 | 0.4 | % | ||||||||||
Bank of China, Ltd., H Shares | 15,902,694 | 7,798,155 | 1.2 | % | ||||||||||
China Construction Bank Corp., H Shares | 26,089,000 | 20,288,014 | 3.2 | % | ||||||||||
China Petroleum & Chemical Corp., ADR | 69,045 | 5,426,937 | 0.9 | % | ||||||||||
China Petroleum & Chemical Corp., H Shares | 682,000 | 534,007 | 0.1 | % | ||||||||||
CNOOC, Ltd. | 3,035,000 | 3,330,124 | 0.5 | % | ||||||||||
Industrial & Commercial Bank of China, Ltd., H Shares | 18,879,000 | 12,741,111 | 2.0 | % | ||||||||||
PetroChina Company, Ltd., H Shares | 5,016,000 | 3,068,642 | 0.5 | % | ||||||||||
OTHER SECURITIES | 31,711,549 | 4.8 | % | |||||||||||
87,693,606 | ||||||||||||||
Colombia – 0.5% | 2,981,640 | 0.5 | % | |||||||||||
Czech Republic – 0.3% | 1,711,345 | 0.3 | % | |||||||||||
Greece – 0.1% | 499,199 | 0.1 | % | |||||||||||
Hong Kong – 3.4% | ||||||||||||||
China Overseas Land & Investment, Ltd. | 868,000 | 2,540,266 | 0.4 | % | ||||||||||
China Unicom Hong Kong, Ltd. (I) | 702,000 | 1,042,029 | 0.2 | % | ||||||||||
China Unicom Hong Kong, Ltd., ADR (I) | 133,772 | 2,001,229 | 0.3 | % | ||||||||||
OTHER SECURITIES | 16,428,191 | 2.5 | % | |||||||||||
22,011,715 | ||||||||||||||
Hungary – 0.4% | 2,546,502 | 0.4 | % | |||||||||||
India – 12.7% | ||||||||||||||
Axis Bank, Ltd. | 450,521 | 3,614,218 | 0.6 | % | ||||||||||
Bharti Airtel, Ltd. | 555,095 | 3,271,471 | 0.5 | % | ||||||||||
ICICI Bank, Ltd. | 954,546 | 4,294,803 | 0.7 | % | ||||||||||
Reliance Industries, Ltd., GDR (S) | 273,753 | 11,600,192 | 1.8 | % | ||||||||||
Tata Motors, Ltd. | 504,555 | 3,373,181 | 0.5 | % | ||||||||||
Vedanta, Ltd. | 123,734 | 475,018 | 0.1 | % | ||||||||||
Vedanta, Ltd., ADR | 173,175 | 2,687,676 | 0.4 | % | ||||||||||
Wipro, Ltd. | 660,798 | 2,650,011 | 0.4 | % | ||||||||||
OTHER SECURITIES | 49,934,258 | 7.7 | % | |||||||||||
81,900,828 | ||||||||||||||
Indonesia – 2.8% | ||||||||||||||
Bank Mandiri Persero Tbk PT | 2,734,520 | 2,621,095 | 0.4 | % | ||||||||||
OTHER SECURITIES | 15,707,356 | 2.4 | % | |||||||||||
18,328,451 | ||||||||||||||
Malaysia – 2.8% | 18,386,380 | 2.8 | % | |||||||||||
Malta – 0.0% | 59,859 | 0.0 | % | |||||||||||
Mexico – 4.6% | ||||||||||||||
Cemex SAB de CV, ADR (I) | 644,837 | 6,074,365 | 1.0 | % | ||||||||||
Grupo Financiero Banorte SAB de CV, Series O | 536,136 | 3,401,670 | 0.5 | % | ||||||||||
Grupo Mexico SAB de CV, Series B | 1,551,117 | 4,357,956 | 0.7 | % | ||||||||||
OTHER SECURITIES | 15,996,834 | 2.4 | % | |||||||||||
29,830,825 |
Shares or Principal Amount | Value | | % of Net Assets | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMON STOCKS (continued) | ||||||||||||||
Philippines – 1.3% | $ | 8,473,982 | 1.3 | % | ||||||||||
Poland – 1.7% | 10,757,516 | 1.7 | % | |||||||||||
Russia – 1.8% | ||||||||||||||
Gazprom PJSC, ADR | 1,271,335 | 5,035,344 | 0.7 | % | ||||||||||
LUKOIL PJSC, ADR | 116,601 | 5,683,258 | 0.9 | % | ||||||||||
OTHER SECURITIES | 1,254,438 | 0.2 | % | |||||||||||
11,973,040 | ||||||||||||||
South Africa – 6.7% | ||||||||||||||
Barclays Africa Group, Ltd. | 231,955 | 2,550,453 | 0.4 | % | ||||||||||
MTN Group, Ltd. | 683,979 | 5,962,550 | 0.9 | % | ||||||||||
Sasol, Ltd. | 175,435 | 4,922,280 | 0.8 | % | ||||||||||
Sasol, Ltd., ADR | 39,180 | 1,095,081 | 0.2 | % | ||||||||||
Standard Bank Group, Ltd. | 559,677 | 6,163,530 | 1.0 | % | ||||||||||
Steinhoff International Holdings NV | 743,165 | 3,807,929 | 0.6 | % | ||||||||||
OTHER SECURITIES | 18,652,028 | 2.8 | % | |||||||||||
43,153,851 | ||||||||||||||
South Korea – 17.6% | ||||||||||||||
Hana Financial Group, Inc. | 81,586 | 3,222,036 | 0.5 | % | ||||||||||
Hyundai Motor Company | 69,120 | 9,637,068 | 1.5 | % | ||||||||||
KB Financial Group, Inc. (L) | 12,648 | 638,601 | 0.1 | % | ||||||||||
KB Financial Group, Inc., ADR | 101,254 | 5,112,314 | 0.8 | % | ||||||||||
Kia Motors Corp. | 132,363 | 4,420,352 | 0.7 | % | ||||||||||
LG Display Company, Ltd., ADR | 256,338 | 4,119,352 | 0.7 | % | ||||||||||
LG Electronics, Inc. | 56,809 | 3,985,460 | 0.6 | % | ||||||||||
POSCO | 25,671 | 6,430,382 | 1.0 | % | ||||||||||
POSCO, ADR | 41,892 | 2,622,020 | 0.4 | % | ||||||||||
Shinhan Financial Group Company, Ltd., ADR | 167,866 | 7,300,492 | 1.1 | % | ||||||||||
SK Innovation Company, Ltd. | 30,525 | 4,227,602 | 0.7 | % | ||||||||||
OTHER SECURITIES | 61,905,902 | 9.5 | % | |||||||||||
113,621,581 | ||||||||||||||
Taiwan – 16.9% | ||||||||||||||
AU Optronics Corp., ADR (L) | 570,223 | 2,600,217 | 0.4 | % | ||||||||||
Cathay Financial Holding Company, Ltd. | 2,013,000 | 3,313,453 | 0.5 | % | ||||||||||
China Steel Corp. | 4,603,180 | 3,743,140 | 0.6 | % | ||||||||||
CTBC Financial Holding Company, Ltd. | 7,163,348 | 4,695,330 | 0.7 | % | ||||||||||
First Financial Holding Company, Ltd. | 4,059,633 | 2,714,546 | 0.4 | % | ||||||||||
Fubon Financial Holding Company, Ltd. | 2,592,417 | 4,125,351 | 0.7 | % | ||||||||||
Hon Hai Precision Industry Company, Ltd. | 1,235,310 | 4,748,521 | 0.8 | % | ||||||||||
MediaTek, Inc. | 320,000 | 2,737,638 | 0.4 | % | ||||||||||
Mega Financial Holding Company, Ltd. | 3,377,472 | 2,807,715 | 0.5 | % | ||||||||||
United Microelectronics Corp. | 7,176,794 | 3,483,194 | 0.6 | % | ||||||||||
OTHER SECURITIES | 74,130,807 | 11.3 | % | |||||||||||
109,099,912 | ||||||||||||||
Thailand – 2.6% | ||||||||||||||
PTT PCL, Foreign Shares | 550,800 | 5,994,147 | 0.9 | % | ||||||||||
OTHER SECURITIES | 11,059,777 | 1.7 | % | |||||||||||
17,053,924 | ||||||||||||||
Turkey – 1.2% | 7,985,860 | 1.2 | % | |||||||||||
Ukraine – 0.0% | 242,524 | 0.0 | % | |||||||||||
TOTAL COMMON STOCKS (Cost $580,735,675) | $ | 622,113,411 | ||||||||||||
PREFERRED SECURITIES – 2.8% | ||||||||||||||
Brazil – 2.7% | ||||||||||||||
Petroleo Brasileiro SA (I) | 1,362,007 | 5,085,583 | 0.8 | % | ||||||||||
Vale SA | 1,134,301 | 9,213,692 | 1.4 | % | ||||||||||
OTHER SECURITIES | 3,251,951 | 0.5 | % | |||||||||||
17,551,226 | ||||||||||||||
PREFERRED SECURITIES (continued) | ||||||||||||||
Colombia – 0.1% | $ | 661,436 | 0.1 | % | ||||||||||
India – 0.0% | ||||||||||||||
Vedanta, Ltd. (I) | 494,936 | 63,477 | 0.0 | % | ||||||||||
Panama – 0.0% | 94,575 | 0.0 | % | |||||||||||
TOTAL PREFERRED SECURITIES (Cost $21,795,705) | $ | 18,370,714 | ||||||||||||
RIGHTS – 0.0% | ||||||||||||||
TOTAL RIGHTS (Cost $0) | $ | 1,785 | ||||||||||||
WARRANTS – 0.0% | ||||||||||||||
TOTAL WARRANTS (Cost $0) | $ | 713 | ||||||||||||
SECURITIES LENDING COLLATERAL – 2.3% | ||||||||||||||
John Hancock Collateral Trust, 1.1508% (W)(Y) | 1,481,100 | 14,819,735 | 2.3 | % | ||||||||||
TOTAL SECURITIES LENDING COLLATERAL (Cost $14,820,664) | $ | 14,819,735 | ||||||||||||
Total Investments (Emerging Markets Value Trust) (Cost $617,352,044) – 101.3% | $ | 655,306,358 | 101.3 | % | ||||||||||
Other assets and liabilities, net – (1.3%) | (8,561,760 | ) | (1.3 | )% | ||||||||||
TOTAL NET ASSETS – 100.0% | $ | 646,744,598 | 100.0 | % |
ADR | American Depositary Receipts | |||||
GDR | Global Depositary Receipts | |||||
(I) | Non-income producing security. | |||||
(L) | A portion of this security is on loan as of 6-30-17. | |||||
(S) | These securities are exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be resold, normally to qualified institutional buyers, in transactions exempt from registration. | |||||
(W) | Investment is an affiliate of the fund, the advisor and/or subadvisor. This security represents the investment of cash collateral received for securities lending. | |||||
(Y) | The rate shown is the annualized seven-day yield as of 6-30-17. |
Shares or Principal Amount | Value | | % of Net Assets | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMON STOCKS – 95.8% | ||||||||||||||
Consumer discretionary – 8.1% | ||||||||||||||
Comcast Corp., Class A | 585,600 | $ | 22,791,552 | 1.3 | % | |||||||||
Las Vegas Sands Corp. | 295,500 | 18,879,495 | 1.1 | % | ||||||||||
Twenty-First Century Fox, Inc., Class B | 910,400 | 25,372,848 | 1.4 | % | ||||||||||
OTHER SECURITIES | 76,394,707 | 4.3 | % | |||||||||||
143,438,602 | ||||||||||||||
Consumer staples – 6.3% | ||||||||||||||
Archer-Daniels-Midland Company | 430,600 | 17,818,228 | 1.0 | % | ||||||||||
PepsiCo, Inc. | 180,100 | 20,799,749 | 1.2 | % | ||||||||||
Tyson Foods, Inc., Class A | 291,400 | 18,250,382 | 1.0 | % | ||||||||||
Wal-Mart Stores, Inc. | 223,100 | 16,884,208 | 0.9 | % | ||||||||||
OTHER SECURITIES | 38,270,220 | 2.2 | % | |||||||||||
112,022,787 | ||||||||||||||
Energy – 9.5% | ||||||||||||||
Chevron Corp. | 173,100 | 18,059,523 | 1.0 | % | ||||||||||
Exxon Mobil Corp. | 538,100 | 43,440,813 | 2.5 | % | ||||||||||
Occidental Petroleum Corp. | 344,500 | 20,625,215 | 1.2 | % | ||||||||||
TOTAL SA (L) | 643,274 | 31,936,605 | 1.8 | % | ||||||||||
OTHER SECURITIES | 54,293,133 | 3.0 | % | |||||||||||
168,355,289 |
Shares or Principal Amount | Value | | % of Net Assets | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMON STOCKS (continued) | ||||||||||||||
Financials – 25.8% | ||||||||||||||
Ameriprise Financial, Inc. | 176,200 | $ | 22,428,498 | 1.3 | % | |||||||||
Citigroup, Inc. | 405,100 | 27,093,088 | 1.5 | % | ||||||||||
Fifth Third Bancorp | 819,900 | 21,284,604 | 1.2 | % | ||||||||||
JPMorgan Chase & Co. | 692,375 | 63,283,075 | 3.6 | % | ||||||||||
Loews Corp. | 567,600 | 26,569,356 | 1.5 | % | ||||||||||
Marsh & McLennan Companies, Inc. | 201,000 | 15,669,960 | 0.9 | % | ||||||||||
MetLife, Inc. | 518,700 | 28,497,378 | 1.6 | % | ||||||||||
Morgan Stanley | 831,800 | 37,065,008 | 2.1 | % | ||||||||||
Northern Trust Corp. | 172,500 | 16,768,725 | 0.9 | % | ||||||||||
State Street Corp. | 338,200 | 30,346,686 | 1.7 | % | ||||||||||
The Bank of New York Mellon Corp. | 309,224 | 15,776,608 | 0.9 | % | ||||||||||
The PNC Financial Services Group, Inc. | 133,900 | 16,720,093 | 0.9 | % | ||||||||||
U.S. Bancorp | 438,100 | 22,746,152 | 1.3 | % | ||||||||||
Wells Fargo & Company | 752,400 | 41,690,484 | 2.3 | % | ||||||||||
OTHER SECURITIES | 71,759,131 | 4.1 | % | |||||||||||
457,698,846 | ||||||||||||||
Health care – 10.6% | ||||||||||||||
Anthem, Inc. | 159,674 | 30,039,470 | 1.7 | % | ||||||||||
Bristol-Myers Squibb Company | 287,725 | 16,032,037 | 0.9 | % | ||||||||||
Gilead Sciences, Inc. | 258,100 | 18,268,318 | 1.0 | % | ||||||||||
Johnson & Johnson | 274,000 | 36,247,460 | 2.1 | % | ||||||||||
Medtronic PLC | 212,200 | 18,832,750 | 1.1 | % | ||||||||||
Merck & Company, Inc. | 265,550 | 17,019,100 | 1.0 | % | ||||||||||
Pfizer, Inc. | 808,735 | 27,165,409 | 1.5 | % | ||||||||||
OTHER SECURITIES | 24,062,616 | 1.3 | % | |||||||||||
187,667,160 | ||||||||||||||
Industrials – 10.4% | ||||||||||||||
Emerson Electric Company | 283,300 | 16,890,346 | 0.9 | % | ||||||||||
General Electric Company | 822,300 | 22,210,323 | 1.2 | % | ||||||||||
Illinois Tool Works, Inc. | 149,500 | 21,415,875 | 1.2 | % | ||||||||||
Johnson Controls International PLC | 679,132 | 29,447,167 | 1.7 | % | ||||||||||
The Boeing Company | 171,700 | 33,953,675 | 1.9 | % | ||||||||||
United Parcel Service, Inc., Class B | 180,100 | 19,917,259 | 1.1 | % | ||||||||||
OTHER SECURITIES | 41,141,933 | 2.4 | % | |||||||||||
184,976,578 | ||||||||||||||
Information technology – 9.6% | ||||||||||||||
Applied Materials, Inc. | 451,000 | 18,630,810 | 1.0 | % | ||||||||||
Cisco Systems, Inc. | 685,000 | 21,440,500 | 1.2 | % | ||||||||||
Harris Corp. | 231,724 | 25,276,454 | 1.4 | % | ||||||||||
Microsoft Corp. | 513,125 | 35,369,706 | 2.0 | % | ||||||||||
QUALCOMM, Inc. | 484,200 | 26,737,524 | 1.5 | % | ||||||||||
OTHER SECURITIES | 42,696,353 | 2.5 | % | |||||||||||
170,151,347 | ||||||||||||||
Materials – 4.9% | ||||||||||||||
E.I. du Pont de Nemours & Company | 373,400 | 30,137,114 | 1.7 | % | ||||||||||
International Paper Company | 319,000 | 18,058,590 | 1.0 | % | ||||||||||
OTHER SECURITIES | 39,642,336 | 2.2 | % | |||||||||||
87,838,040 | ||||||||||||||
Real estate – 2.1% | 37,395,616 | 2.1 | % | |||||||||||
Telecommunication services – 2.9% | ||||||||||||||
Verizon Communications, Inc. | 718,285 | 32,078,608 | 1.8 | % | ||||||||||
OTHER SECURITIES | 19,021,018 | 1.1 | % | |||||||||||
51,099,626 | ||||||||||||||
Utilities – 5.6% | ||||||||||||||
Edison International | 214,500 | 16,771,755 | 0.9 | % | ||||||||||
NiSource, Inc. | 712,400 | 18,066,464 | 1.0 | % | ||||||||||
PG&E Corp. | 343,400 | 22,791,458 | 1.3 | % | ||||||||||
OTHER SECURITIES | 42,078,595 | 2.4 | % | |||||||||||
99,708,272 | ||||||||||||||
TOTAL COMMON STOCKS (Cost $1,315,656,170) | $ | 1,700,352,163 | ||||||||||||
PREFERRED SECURITIES – 1.9% | ||||||||||||||
Health care – 0.7% | $ | 12,454,616 | 0.7 | % | ||||||||||
Utilities – 1.2% | 21,514,783 | 1.2 | % | |||||||||||
TOTAL PREFERRED SECURITIES (Cost $31,084,287) | $ | 33,969,399 | ||||||||||||
CORPORATE BONDS – 0.2% | ||||||||||||||
Information technology – 0.2% | 2,949,200 | 0.2 | % | |||||||||||
TOTAL CORPORATE BONDS (Cost $2,488,808) | $ | 2,949,200 | ||||||||||||
SECURITIES LENDING COLLATERAL – 2.6% | ||||||||||||||
John Hancock Collateral Trust, 1.1508% (W)(Y) | 4,682,139 | 46,849,017 | 2.6 | % | ||||||||||
TOTAL SECURITIES LENDING COLLATERAL (Cost $46,851,731) | $ | 46,849,017 | ||||||||||||
SHORT-TERM INVESTMENTS – 2.0% | ||||||||||||||
Money market funds – 2.0% | ||||||||||||||
T. Rowe Price Government Money Fund, 0.9816% (Y) | 31,016,190 | 31,016,190 | 1.8 | % | ||||||||||
OTHER SECURITIES | 3,765,519 | 0.2 | % | |||||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $34,781,709) | $ | 34,781,709 | ||||||||||||
Total Investments (Equity Income Trust) (Cost $1,430,862,705) – 102.5% | $ | 1,818,901,488 | 102.5 | % | ||||||||||
Other assets and liabilities, net – (2.5%) | (44,465,096 | ) | (2.5 | )% | ||||||||||
TOTAL NET ASSETS – 100.0% | $ | 1,774,436,392 | 100.0 | % |
(L) | A portion of this security is on loan as of 6-30-17. | |||||
(W) | Investment is an affiliate of the fund, the advisor and/or subadvisor. This security represents the investment of cash collateral received for securities lending. | |||||
(Y) | The rate shown is the annualized seven-day yield as of 6-30-17. |
Shares or Principal Amount | Value | | % of Net Assets | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMON STOCKS – 92.7% | ||||||||||||||
Financials – 89.1% | ||||||||||||||
1st Source Corp. | 41,178 | $ | 1,974,073 | 0.9 | % | |||||||||
Affiliated Managers Group, Inc. | 20,448 | 3,391,505 | 1.5 | % | ||||||||||
Altamir | 89,116 | 1,658,212 | 0.8 | % | ||||||||||
Ameris Bancorp | 48,740 | 2,349,268 | 1.1 | % | ||||||||||
Aon PLC | 28,480 | 3,786,416 | 1.7 | % | ||||||||||
Assured Guaranty, Ltd. | 112,002 | 4,674,963 | 2.1 | % | ||||||||||
Bank of America Corp. | 218,212 | 5,293,823 | 2.4 | % | ||||||||||
Bank of Ireland (I) | 8,342,203 | 2,191,488 | 1.0 | % | ||||||||||
Bankinter SA | 284,026 | 2,620,126 | 1.2 | % | ||||||||||
Berkshire Hathaway, Inc., Class B (I) | 34,826 | 5,898,480 | 2.7 | % | ||||||||||
BNP Paribas SA | 38,492 | 2,771,143 | 1.3 | % | ||||||||||
Capital One Financial Corp. | 57,657 | 4,763,621 | 2.2 | % | ||||||||||
Chemical Financial Corp. | 46,442 | 2,248,257 | 1.0 | % | ||||||||||
Chubb, Ltd. | 40,223 | 5,847,619 | 2.6 | % | ||||||||||
Citigroup, Inc. | 50,515 | 3,378,443 | 1.5 | % | ||||||||||
Citizens Financial Group, Inc. | 155,990 | 5,565,723 | 2.5 | % | ||||||||||
Close Brothers Group PLC | 98,253 | 1,932,604 | 0.9 | % | ||||||||||
CNO Financial Group, Inc. | 166,675 | 3,480,174 | 1.6 | % | ||||||||||
Comerica, Inc. | 77,032 | 5,641,824 | 2.5 | % | ||||||||||
Danske Bank A/S | 122,774 | 4,723,492 | 2.1 | % | ||||||||||
Discover Financial Services | �� | 79,783 | 4,961,705 | 2.2 | % | |||||||||
First Hawaiian, Inc. | 53,186 | 1,628,555 | 0.7 | % |
Shares or Principal Amount | Value | | % of Net Assets | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMON STOCKS (continued) | ||||||||||||||||||
Financials (continued) | ||||||||||||||||||
First Merchants Corp. | 54,530 | $ | 2,188,834 | 1.0 | % | |||||||||||||
Glacier Bancorp, Inc. | 89,840 | 3,289,042 | 1.5 | % | ||||||||||||||
Great Western Bancorp, Inc. | 44,081 | 1,798,946 | 0.8 | % | ||||||||||||||
Intermediate Capital Group PLC | 178,428 | 1,934,941 | 0.9 | % | ||||||||||||||
Invesco, Ltd. | 124,521 | 4,381,894 | 2.0 | % | ||||||||||||||
James River Group Holdings, Ltd. | 62,793 | 2,494,766 | 1.1 | % | ||||||||||||||
JPMorgan Chase & Co. | 65,392 | 5,976,829 | 2.7 | % | ||||||||||||||
KeyCorp | 239,089 | 4,480,528 | 2.0 | % | ||||||||||||||
Kinsale Capital Group, Inc. | 56,731 | 2,116,634 | 1.0 | % | ||||||||||||||
Lincoln National Corp. | 80,868 | 5,465,059 | 2.5 | % | ||||||||||||||
M&T Bank Corp. | 24,599 | 3,983,808 | 1.8 | % | ||||||||||||||
Marsh & McLennan Companies, Inc. | 35,258 | 2,748,714 | 1.2 | % | ||||||||||||||
MB Financial, Inc. | 43,471 | 1,914,463 | 0.9 | % | ||||||||||||||
Regions Financial Corp. | 399,796 | 5,853,013 | 2.6 | % | ||||||||||||||
Schroders PLC | 54,013 | 2,184,065 | 1.0 | % | ||||||||||||||
SunTrust Banks, Inc. | 99,716 | 5,655,892 | 2.6 | % | ||||||||||||||
SVB Financial Group (I) | 33,051 | 5,810,035 | 2.6 | % | ||||||||||||||
The Blackstone Group LP (L) | 64,860 | 2,163,081 | 1.0 | % | ||||||||||||||
The Hartford Financial Services Group, Inc. | 60,104 | 3,159,667 | 1.4 | % | ||||||||||||||
The PNC Financial Services Group, Inc. | 21,065 | 2,630,387 | 1.2 | % | ||||||||||||||
TriCo Bancshares | 53,715 | 1,888,082 | 0.9 | % | ||||||||||||||
U.S. Bancorp | 115,581 | 6,000,966 | 2.7 | % | ||||||||||||||
Union Bankshares Corp. | 59,297 | 2,010,168 | 0.9 | % | ||||||||||||||
Wells Fargo & Company | 70,794 | 3,922,696 | 1.8 | % | ||||||||||||||
Zions Bancorporation | 124,510 | 5,467,234 | 2.5 | % | ||||||||||||||
OTHER SECURITIES | 27,010,853 | 12.0 | % | |||||||||||||||
197,312,111 | ||||||||||||||||||
Real estate – 3.6% | ||||||||||||||||||
Prologis, Inc. | 52,756 | 3,093,612 | 1.4 | % | ||||||||||||||
OTHER SECURITIES | 4,882,899 | 2.2 | % | |||||||||||||||
7,976,511 | ||||||||||||||||||
TOTAL COMMON STOCKS (Cost $171,484,936) | $ | 205,288,622 | ||||||||||||||||
PREFERRED SECURITIES – 0.2% | ||||||||||||||||||
Financials – 0.2% | 466,617 | 0.2 | % | |||||||||||||||
TOTAL PREFERRED SECURITIES (Cost $483,267) | $ | 466,617 | ||||||||||||||||
CORPORATE BONDS – 1.1% | ||||||||||||||||||
Financials – 1.1% | 2,461,850 | 1.1 | % | |||||||||||||||
TOTAL CORPORATE BONDS (Cost $2,368,291) | $ | 2,461,850 | ||||||||||||||||
SECURITIES LENDING COLLATERAL – 0.6% | ||||||||||||||||||
John Hancock Collateral Trust, 1.1508% (W)(Y) | 125,376 | 1,254,499 | 0.6 | % | ||||||||||||||
TOTAL SECURITIES LENDING COLLATERAL (Cost $1,254,571) | $ | 1,254,499 | ||||||||||||||||
SHORT-TERM INVESTMENTS – 6.1% | ||||||||||||||||||
U.S. Government Agency – 5.3% | ||||||||||||||||||
Federal Home Loan Bank Discount Note 0.650%, 07/03/2017* | $ | 11,605,000 | 11,605,000 | 5.3 | % | |||||||||||||
Repurchase agreement – 0.8% | ||||||||||||||||||
Repurchase Agreement with State Street Corp. dated 06/30/2017 at 0.340% to be repurchased at $1,841,052 on 07/03/2017, collateralized by $1,910,000 U.S. Treasury Notes, 1.125% due 02/28/2021 (valued at $1,880,135, including interest) | 1,841,000 | 1,841,000 | 0.8 | % | ||||||||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $13,445,581) | $ | 13,446,000 | ||||||||||||||||
Total Investments (Financial Industries Trust) (Cost $189,036,646) – 100.7% | $ | 222,917,588 | 100.7 | % | ||||||||||||||
Other assets and liabilities, net – (0.7%) | (1,593,679 | ) | (0.7 | )% | ||||||||||||||
TOTAL NET ASSETS – 100.0% | $ | 221,323,909 | 100.0 | % |
(I) | Non-income producing security. | |||||
(L) | A portion of this security is on loan as of 6-30-17. | |||||
(W) | Investment is an affiliate of the fund, the advisor and/or subadvisor. This security represents the investment of cash collateral received for securities lending. | |||||
(Y) | The rate shown is the annualized seven-day yield as of 6-30-17. | |||||
* | Yield represents either the annualized yield at the date of purchase, the stated coupon rate or, for floating rate securities, the rate at period end. |
Shares or Principal Amount | Value | | % of Net Assets | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMON STOCKS – 98.4% | ||||||||||||||
Consumer discretionary – 22.4% | ||||||||||||||
Amazon.com, Inc. (I) | 119,373 | $ | 115,553,064 | 6.7 | % | |||||||||
CarMax, Inc. (I) | 277,208 | 17,480,736 | 1.0 | % | ||||||||||
Group 1 Automotive, Inc. | 408,428 | 25,861,661 | 1.5 | % | ||||||||||
Lennar Corp., A Shares | 782,628 | 41,729,725 | 2.4 | % | ||||||||||
NVR, Inc. (I) | 14,723 | 35,491,411 | 2.1 | % | ||||||||||
Polaris Industries, Inc. | 997,927 | 92,038,807 | 5.4 | % | ||||||||||
Tempur Sealy International, Inc. (I) | 1,048,618 | 55,985,715 | 3.3 | % | ||||||||||
384,141,119 | ||||||||||||||
Consumer staples – 6.9% | ||||||||||||||
Anheuser-Busch InBev SA, ADR | 170,700 | 18,838,452 | 1.1 | % | ||||||||||
Danone SA | 408,283 | 30,644,715 | 1.8 | % | ||||||||||
Diageo PLC, ADR | 140,093 | 16,787,344 | 1.0 | % | ||||||||||
The Procter & Gamble Company | 592,815 | 51,663,827 | 3.0 | % | ||||||||||
117,934,338 | ||||||||||||||
Energy – 5.8% | ||||||||||||||
Kinder Morgan, Inc. | 1,759,242 | 33,707,077 | 2.0 | % | ||||||||||
National Oilwell Varco, Inc. | 778,365 | 25,639,343 | 1.5 | % | ||||||||||
Schlumberger, Ltd. | 354,970 | 23,371,225 | 1.3 | % | ||||||||||
Suncor Energy, Inc. | 590,520 | 17,243,184 | 1.0 | % | ||||||||||
99,960,829 | ||||||||||||||
Financials – 25.3% | ||||||||||||||
Affiliated Managers Group, Inc. | 454,497 | 75,382,872 | 4.4 | % | ||||||||||
American Express Company | 236,437 | 19,917,453 | 1.2 | % | ||||||||||
Bank of America Corp. | 3,220,897 | 78,138,961 | 4.5 | % | ||||||||||
BlackRock, Inc. | 88,191 | 37,252,760 | 2.2 | % | ||||||||||
Citigroup, Inc. | 1,183,829 | 79,174,484 | 4.6 | % | ||||||||||
FactSet Research Systems, Inc. | 51,597 | 8,574,389 | 0.5 | % | ||||||||||
Morgan Stanley | 1,350,532 | 60,179,706 | 3.5 | % | ||||||||||
The Goldman Sachs Group, Inc. | 344,210 | 76,380,199 | 4.4 | % | ||||||||||
435,000,824 | ||||||||||||||
Health care – 7.6% | ||||||||||||||
Allergan PLC | 110,322 | 26,818,175 | 1.6 | % | ||||||||||
Amgen, Inc. | 307,959 | 53,039,779 | 3.1 | % | ||||||||||
Novartis AG, ADR | 608,959 | 50,829,808 | 2.9 | % | ||||||||||
130,687,762 | ||||||||||||||
Industrials – 5.3% | ||||||||||||||
IHS Markit, Ltd. (I) | 723,050 | 31,843,122 | 1.8 | % | ||||||||||
Regal Beloit Corp. | 208,086 | 16,969,413 | 1.0 | % | ||||||||||
Sensata Technologies Holding NV (I) | 445,236 | 19,020,482 | 1.1 | % | ||||||||||
The Manitowoc Company, Inc. (I) | 608,832 | 3,659,080 | 0.2 | % | ||||||||||
United Rentals, Inc. (I) | 40,883 | 4,607,923 | 0.3 | % | ||||||||||
Welbilt, Inc. (I) | 608,832 | 11,476,483 | 0.7 | % |
Shares or Principal Amount | Value | | % of Net Assets | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMON STOCKS (continued) | ||||||||||||||||||
Industrials (continued) | ||||||||||||||||||
WESCO International, Inc. (I) | 73,310 | $ | 4,200,663 | 0.2 | % | |||||||||||||
91,777,166 | ||||||||||||||||||
Information technology – 21.4% | ||||||||||||||||||
Alphabet, Inc., Class A (I) | 86,492 | 80,409,883 | 4.7 | % | ||||||||||||||
Apple, Inc. | 748,585 | 107,811,212 | 6.3 | % | ||||||||||||||
Facebook, Inc., Class A (I) | 455,192 | 68,724,888 | 4.0 | % | ||||||||||||||
QUALCOMM, Inc. | 396,412 | 21,889,871 | 1.3 | % | ||||||||||||||
Twitter, Inc. (I) | 2,497,524 | 44,630,754 | 2.6 | % | ||||||||||||||
Workday, Inc., Class A (I) | 447,007 | 43,359,679 | 2.5 | % | ||||||||||||||
366,826,287 | ||||||||||||||||||
Materials – 1.8% | ||||||||||||||||||
Louisiana-Pacific Corp. (I) | 1,269,197 | 30,600,340 | 1.8 | % | ||||||||||||||
Real estate – 1.9% | ||||||||||||||||||
American Tower Corp. | 251,439 | 33,270,408 | 1.9 | % | ||||||||||||||
TOTAL COMMON STOCKS (Cost $1,354,429,728) | $ | 1,690,199,073 | ||||||||||||||||
SHORT-TERM INVESTMENTS – 3.0% | ||||||||||||||||||
U.S. Government Agency – 2.7% | ||||||||||||||||||
Federal Home Loan Bank Discount Note 0.500%, 07/03/2017* | $ | 47,089,000 | 47,089,000 | 2.7 | % | |||||||||||||
Repurchase agreement – 0.3% | ||||||||||||||||||
Barclays Tri-Party Repurchase Agreement dated 06/30/2017 at 1.050% to be repurchased at $2,188,191 on 07/03/2017, collateralized by $2,224,300 U.S. Treasury Bonds, 2.750% due 08/15/2042 (valued at $2,231,986, including interest) | 2,188,000 | 2,188,000 | 0.1 | % | ||||||||||||||
Repurchase Agreement with State Street Corp. dated 06/30/2017 at 0.340% to be repurchased at $2,704,077 on 07/03/2017, collateralized by $2,805,000 U.S. Treasury Notes, 1.125% due 02/28/2021 (valued at $2,761,141, including interest) | 2,704,000 | 2,704,000 | 0.2 | % | ||||||||||||||
4,892,000 | ||||||||||||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $51,979,498) | $ | 51,981,000 | ||||||||||||||||
Total Investments (Fundamental All Cap Core Trust) (Cost $1,406,409,226) – 101.4% | $ | 1,742,180,073 | 101.4 | % | ||||||||||||||
Other assets and liabilities, net – (1.4%) | (24,783,478 | ) | (1.4 | )% | ||||||||||||||
TOTAL NET ASSETS – 100.0% | $ | 1,717,396,595 | 100.0 | % |
ADR | American Depositary Receipts | |||||
(I) | Non-income producing security. | |||||
* | Yield represents either the annualized yield at the date of purchase, the stated coupon rate or, for floating rate securities, the rate at period end. |
Shares or Principal Amount | Value | | % of Net Assets | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMON STOCKS – 99.2% | ||||||||||||||
Consumer discretionary – 9.6% | ||||||||||||||
Group 1 Automotive, Inc. | 138,594 | $ | 8,775,772 | 1.1 | % | |||||||||
Lennar Corp., A Shares | 322,942 | 17,219,267 | 2.1 | % | ||||||||||
COMMON STOCKS (continued) | ||||||||||||||
Consumer discretionary (continued) | ||||||||||||||
McDonald’s Corp. | 84,763 | $ | 12,982,301 | 1.6 | % | |||||||||
NVR, Inc. (I) | 4,628 | 11,156,303 | 1.3 | % | ||||||||||
Tempur Sealy International, Inc. (I) | 232,267 | 12,400,735 | 1.5 | % | ||||||||||
Twenty-First Century Fox, Inc., Class A | 581,169 | 16,470,329 | 2.0 | % | ||||||||||
79,004,707 | ||||||||||||||
Consumer staples – 8.6% | ||||||||||||||
Anheuser-Busch InBev SA, ADR | 114,751 | 12,663,920 | 1.6 | % | ||||||||||
Danone SA | 124,552 | 9,348,566 | 1.1 | % | ||||||||||
Heineken Holding NV | 115,420 | 10,579,395 | 1.3 | % | ||||||||||
Imperial Brands PLC | 216,684 | 9,737,155 | 1.2 | % | ||||||||||
Philip Morris International, Inc. | 132,803 | 15,597,712 | 1.9 | % | ||||||||||
The Procter & Gamble Company | 144,751 | 12,615,050 | 1.5 | % | ||||||||||
70,541,798 | ||||||||||||||
Energy – 11.5% | ||||||||||||||
Chevron Corp. | 156,125 | 16,288,521 | 2.0 | % | ||||||||||
Exxon Mobil Corp. | 335,338 | 27,071,837 | 3.3 | % | ||||||||||
Kinder Morgan, Inc. | 910,470 | 17,444,605 | 2.1 | % | ||||||||||
National Oilwell Varco, Inc. | 336,945 | 11,098,968 | 1.3 | % | ||||||||||
Schlumberger, Ltd. | 170,277 | 11,211,038 | 1.4 | % | ||||||||||
Suncor Energy, Inc. | 380,305 | 11,104,906 | 1.4 | % | ||||||||||
94,219,875 | ||||||||||||||
Financials – 32.0% | ||||||||||||||
Affiliated Managers Group, Inc. | 112,389 | 18,640,840 | 2.3 | % | ||||||||||
American Express Company | 257,524 | 21,693,822 | 2.6 | % | ||||||||||
American International Group, Inc. | 189,945 | 11,875,361 | 1.4 | % | ||||||||||
Bank of America Corp. | 1,632,302 | 39,599,647 | 4.8 | % | ||||||||||
CIT Group, Inc. | 337,484 | 16,435,471 | 2.0 | % | ||||||||||
Citigroup, Inc. | 600,434 | 40,157,026 | 4.9 | % | ||||||||||
Invesco, Ltd. | 282,515 | 9,941,703 | 1.2 | % | ||||||||||
JPMorgan Chase & Co. | 413,101 | 37,757,431 | 4.6 | % | ||||||||||
Morgan Stanley | 682,706 | 30,421,379 | 3.7 | % | ||||||||||
The Goldman Sachs Group, Inc. | 165,249 | 36,668,753 | �� | 4.5 | % | |||||||||
263,191,433 | ||||||||||||||
Health care – 12.7% | ||||||||||||||
Allergan PLC | 71,437 | 17,365,620 | 2.1 | % | ||||||||||
Amgen, Inc. | 45,454 | 7,828,542 | 1.0 | % | ||||||||||
Danaher Corp. | 98,079 | 8,276,887 | 1.0 | % | ||||||||||
Gilead Sciences, Inc. | 147,153 | 10,415,489 | 1.3 | % | ||||||||||
Medtronic PLC | 203,554 | 18,065,420 | 2.2 | % | ||||||||||
Merck & Company, Inc. | 210,607 | 13,497,803 | 1.6 | % | ||||||||||
Novartis AG, ADR | 237,304 | 19,807,765 | 2.4 | % | ||||||||||
Patterson Companies, Inc. | 183,747 | 8,626,922 | 1.1 | % | ||||||||||
103,884,448 | ||||||||||||||
Industrials – 10.6% | ||||||||||||||
General Electric Company | 608,872 | 16,445,633 | 2.0 | % | ||||||||||
L3 Technologies, Inc. | 49,322 | 8,240,720 | 1.0 | % | ||||||||||
Nielsen Holdings PLC | 188,459 | 7,285,825 | 0.9 | % | ||||||||||
Union Pacific Corp. | 193,928 | 21,120,698 | 2.6 | % | ||||||||||
United Rentals, Inc. (I) | 106,588 | 12,013,533 | 1.4 | % | ||||||||||
United Technologies Corp. | 180,527 | 22,044,152 | 2.7 | % | ||||||||||
87,150,561 | ||||||||||||||
Information technology – 14.2% | ||||||||||||||
Apple, Inc. | 263,596 | 37,963,096 | 4.6 | % | ||||||||||
Cisco Systems, Inc. | 253,180 | 7,924,534 | 1.0 | % | ||||||||||
eBay, Inc. (I) | 602,708 | 21,046,563 | 2.5 | % | ||||||||||
Microsoft Corp. | 259,205 | 17,867,001 | 2.2 | % | ||||||||||
Oracle Corp. | 301,089 | 15,096,602 | 1.8 | % | ||||||||||
QUALCOMM, Inc. | 308,452 | 17,032,719 | 2.1 | % | ||||||||||
116,930,515 | ||||||||||||||
TOTAL COMMON STOCKS (Cost $720,494,706) | $ | 814,923,337 |
Shares or Principal Amount | Value | | % of Net Assets | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHORT-TERM INVESTMENTS – 1.7% | ||||||||||||||||||
U.S. Government Agency – 1.5% | ||||||||||||||||||
Federal Home Loan Bank Discount Note 0.574%, 07/03/2017* | $ | 12,453,000 | $ | 12,453,000 | 1.5 | % | ||||||||||||
Repurchase agreement – 0.2% | ||||||||||||||||||
Repurchase Agreement with State Street Corp. dated 06/30/2017 at 0.340% to be repurchased at $761,022 on 07/03/2017, collateralized by $790,000 U.S. Treasury Notes, 1.375% due 05/31/2021 (valued at $780,840, including interest) | 761,000 | 761,000 | 0.1 | % | ||||||||||||||
OTHER SECURITIES | 578,000 | 0.1 | % | |||||||||||||||
1,339,000 | ||||||||||||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $13,791,603) | $ | 13,792,000 | ||||||||||||||||
Total Investments (Fundamental Large Cap Value Trust) (Cost $734,286,309) – 100.9% | $ | 828,715,337 | 100.9 | % | ||||||||||||||
Other assets and liabilities, net – (0.9%) | (6,991,656 | ) | (0.9 | )% | ||||||||||||||
TOTAL NET ASSETS – 100.0% | $ | 821,723,681 | 100.0 | % |
ADR | American Depositary Receipts | |||||
(I) | Non-income producing security. | |||||
* | Yield represents either the annualized yield at the date of purchase, the stated coupon rate or, for floating rate securities, the rate at period end. |
Shares or Principal Amount | Value | | % of Net Assets | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMON STOCKS – 95.5% | ||||||||||||||
Canada – 2.5% | $ | 5,852,198 | 2.5 | % | ||||||||||
China – 3.4% | ||||||||||||||
Baidu, Inc., ADR (I) | 16,160 | 2,890,378 | 1.2 | % | ||||||||||
China Life Insurance Company, Ltd., H Shares | 979,710 | 2,994,050 | 1.3 | % | ||||||||||
OTHER SECURITIES | 2,188,291 | 0.9 | % | |||||||||||
8,072,719 | ||||||||||||||
France – 5.2% | ||||||||||||||
AXA SA | 132,235 | 3,621,045 | 1.5 | % | ||||||||||
BNP Paribas SA | 43,238 | 3,112,828 | 1.3 | % | ||||||||||
Credit Agricole SA | 174,838 | 2,816,358 | 1.2 | % | ||||||||||
Sanofi | 24,574 | 2,354,685 | 1.0 | % | ||||||||||
OTHER SECURITIES | 317,349 | 0.2 | % | |||||||||||
12,222,265 | ||||||||||||||
Germany – 4.9% | ||||||||||||||
Innogy SE (S) | 82,020 | 3,228,025 | 1.4 | % | ||||||||||
Merck KGaA | 20,692 | 2,503,711 | 1.1 | % | ||||||||||
Siemens AG | 17,059 | 2,346,538 | 1.0 | % | ||||||||||
OTHER SECURITIES | 3,475,239 | 1.4 | % | |||||||||||
11,553,513 | ||||||||||||||
Hong Kong – 1.5% | 3,655,076 | 1.5 | % | |||||||||||
India – 1.1% | ||||||||||||||
Hero MotoCorp, Ltd. | 46,360 | 2,641,250 | 1.1 | % | ||||||||||
Ireland – 2.1% | ||||||||||||||
Perrigo Company PLC | 32,350 | 2,443,071 | 1.0 | % | ||||||||||
OTHER SECURITIES | 2,527,825 | 1.1 | % | |||||||||||
4,970,896 | ||||||||||||||
Israel – 2.1% | ||||||||||||||
Teva Pharmaceutical Industries, Ltd., ADR | 150,160 | 4,988,315 | 2.1 | % | ||||||||||
COMMON STOCKS (continued) | ||||||||||||||
Italy – 1.4% | ||||||||||||||
Eni SpA | 224,262 | $ | 3,370,188 | 1.4 | % | |||||||||
Japan – 4.3% | ||||||||||||||
Nissan Motor Company, Ltd. | 231,950 | 2,316,005 | 1.0 | % | ||||||||||
Panasonic Corp. | 228,570 | 3,114,326 | 1.3 | % | ||||||||||
SoftBank Group Corp. | 41,360 | 3,362,160 | 1.4 | % | ||||||||||
OTHER SECURITIES | 1,414,743 | 0.6 | % | |||||||||||
10,207,234 | ||||||||||||||
Luxembourg – 0.5% | 1,157,760 | 0.5 | % | |||||||||||
Netherlands – 5.8% | ||||||||||||||
Akzo Nobel NV | 33,082 | 2,877,102 | 1.2 | % | ||||||||||
Royal Dutch Shell PLC, B Shares | 204,205 | 5,482,200 | 2.3 | % | ||||||||||
OTHER SECURITIES | 5,372,099 | 2.3 | % | |||||||||||
13,731,401 | ||||||||||||||
Portugal – 1.0% | ||||||||||||||
Galp Energia SGPS SA | 158,856 | 2,407,271 | 1.0 | % | ||||||||||
Russia – 0.6% | 1,369,279 | 0.6 | % | |||||||||||
Singapore – 2.5% | ||||||||||||||
Singapore Telecommunications, Ltd. | 1,315,750 | 3,715,784 | 1.6 | % | ||||||||||
OTHER SECURITIES | 2,100,938 | 0.9 | % | |||||||||||
5,816,722 | ||||||||||||||
South Korea – 5.9% | ||||||||||||||
Hyundai Motor Company | 23,450 | 3,269,520 | 1.4 | % | ||||||||||
KB Financial Group, Inc., ADR | 79,678 | 4,022,942 | 1.7 | % | ||||||||||
Samsung Electronics Company, Ltd. | 3,230 | 6,727,515 | 2.8 | % | ||||||||||
14,019,977 | ||||||||||||||
Spain – 0.7% | 1,735,390 | 0.7 | % | |||||||||||
Sweden – 2.0% | ||||||||||||||
Getinge AB, B Shares | 121,594 | 2,381,572 | 1.0 | % | ||||||||||
Telefonaktiebolaget LM Ericsson, B Shares | 325,867 | 2,343,026 | 1.0 | % | ||||||||||
4,724,598 | ||||||||||||||
Switzerland – 2.5% | ||||||||||||||
Roche Holding AG | 12,842 | 3,281,323 | 1.4 | % | ||||||||||
UBS Group AG (I) | 148,460 | 2,524,694 | 1.1 | % | ||||||||||
5,806,017 | ||||||||||||||
Taiwan – 0.4% | 935,835 | 0.4 | % | |||||||||||
Thailand – 0.8% | 1,957,802 | 0.8 | % | |||||||||||
Turkey – 0.3% | 732,711 | 0.3 | % | |||||||||||
United Kingdom – 9.9% | ||||||||||||||
BAE Systems PLC | 359,934 | 2,971,371 | 1.3 | % | ||||||||||
BP PLC | 552,738 | 3,190,516 | 1.4 | % | ||||||||||
HSBC Holdings PLC | 359,799 | 3,342,673 | 1.4 | % | ||||||||||
Sky PLC | 261,019 | 3,380,510 | 1.4 | % | ||||||||||
Standard Chartered PLC (I) | 414,528 | 4,198,448 | 1.8 | % | ||||||||||
OTHER SECURITIES | 6,328,627 | 2.6 | % | |||||||||||
23,412,145 | ||||||||||||||
United States – 34.1% | ||||||||||||||
Allergan PLC | 15,948 | 3,876,799 | 1.6 | % | ||||||||||
Alphabet, Inc., Class A (I) | 4,040 | 3,755,907 | 1.6 | % | ||||||||||
American International Group, Inc. | 54,670 | 3,417,968 | 1.4 | % | ||||||||||
AmerisourceBergen Corp. | 26,710 | 2,524,896 | 1.1 | % | ||||||||||
Amgen, Inc. | 25,580 | 4,405,643 | 1.9 | % | ||||||||||
Apple, Inc. | 28,440 | 4,095,929 | 1.7 | % | ||||||||||
Capital One Financial Corp. | 31,060 | 2,566,177 | 1.1 | % | ||||||||||
Cardinal Health, Inc. | 32,700 | 2,547,984 | 1.1 | % | ||||||||||
Citigroup, Inc. | 91,280 | 6,104,806 | 2.6 | % | ||||||||||
Comcast Corp., Class A | 98,180 | 3,821,166 | 1.6 | % | ||||||||||
ConocoPhillips | 59,440 | 2,612,982 | 1.1 | % | ||||||||||
Eli Lilly & Company | 30,870 | 2,540,601 | 1.1 | % | ||||||||||
Gilead Sciences, Inc. | 46,960 | 3,323,829 | 1.4 | % |
Shares or Principal Amount | Value | | % of Net Assets | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMON STOCKS (continued) | ||||||||||||||
United States (continued) | ||||||||||||||
JPMorgan Chase & Co. | 26,710 | $ | 2,441,294 | 1.0 | % | |||||||||
Microsoft Corp. | 50,190 | 3,459,597 | 1.5 | % | ||||||||||
Navistar International Corp. (I) | 95,570 | 2,506,801 | 1.1 | % | ||||||||||
Oracle Corp. | 141,570 | 7,098,320 | 3.0 | % | ||||||||||
OTHER SECURITIES | 19,555,766 | 8.2 | % | |||||||||||
80,656,465 | ||||||||||||||
TOTAL COMMON STOCKS (Cost $199,706,893) | $ | 225,997,027 | ||||||||||||
CORPORATE BONDS – 0.6% | ||||||||||||||
United States – 0.6% | 1,408,590 | 0.6 | % | |||||||||||
TOTAL CORPORATE BONDS (Cost $1,297,486) | $ | 1,408,590 | ||||||||||||
SECURITIES LENDING COLLATERAL – 0.7% | ||||||||||||||
John Hancock Collateral Trust, 1.1508% (W)(Y) | 163,704 | 1,638,006 | 0.7 | % | ||||||||||
TOTAL SECURITIES LENDING COLLATERAL (Cost $1,638,083) | $ | 1,638,006 | ||||||||||||
SHORT-TERM INVESTMENTS – 3.8% | ||||||||||||||
U.S. Government Agency – 3.8% | ||||||||||||||
Federal Home Loan Bank Discount Note 0.650%, 07/03/2017* | $ | 9,100,000 | 9,100,000 | 3.8 | % | |||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $9,099,671) | $ | 9,100,000 | ||||||||||||
Total Investments (Global Trust) (Cost $211,742,133) – 100.6% | $ | 238,143,623 | 100.6 | % | ||||||||||
Other assets and liabilities, net – (0.6%) | (1,436,634 | ) | (0.6 | )% | ||||||||||
TOTAL NET ASSETS – 100.0% | $ | 236,706,989 | 100.0 | % |
ADR | American Depositary Receipts | |||||
(I) | Non-income producing security. | |||||
(S) | These securities are exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be resold, normally to qualified institutional buyers, in transactions exempt from registration. | |||||
(W) | Investment is an affiliate of the fund, the advisor and/or subadvisor. This security represents the investment of cash collateral received for securities lending. | |||||
(Y) | The rate shown is the annualized seven-day yield as of 6-30-17. | |||||
* | Yield represents either the annualized yield at the date of purchase, the stated coupon rate or, for floating rate securities, the rate at period end. |
Shares or Principal Amount | Value | | % of Net Assets | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMON STOCKS – 98.7% | ||||||||||||||
Consumer discretionary – 0.1% | $ | 125,775 | 0.1 | % | ||||||||||
Consumer staples – 1.1% | ||||||||||||||
Walgreens Boots Alliance, Inc. | 34,121 | 2,672,016 | 0.9 | % | ||||||||||
OTHER SECURITIES | 563,219 | 0.2 | % | |||||||||||
3,235,235 | ||||||||||||||
Health care – 97.5% | ||||||||||||||
AbbVie, Inc. | 28,216 | 2,045,942 | 0.7 | % | ||||||||||
Acadia Healthcare Company, Inc. (I) | 40,200 | 1,985,076 | 0.7 | % | ||||||||||
Aetna, Inc. | 32,381 | 4,916,407 | 1.7 | % | ||||||||||
Agilent Technologies, Inc. | 105,600 | 6,263,136 | 2.2 | % | ||||||||||
Alexion Pharmaceuticals, Inc. (I) | 65,354 | 7,951,621 | 2.8 | % | ||||||||||
Alkermes PLC (I) | 48,191 | 2,793,632 | 1.0 | % | ||||||||||
Allergan PLC | 35,260 | 8,571,353 | 3.0 | % | ||||||||||
Alnylam Pharmaceuticals, Inc. (I) | 33,860 | 2,700,674 | 0.9 | % | ||||||||||
COMMON STOCKS (continued) | ||||||||||||||
Health Care (continued) | ||||||||||||||
Amgen, Inc. | 18,000 | $ | 3,100,140 | 1.1 | % | |||||||||
Anthem, Inc. | 27,900 | 5,248,827 | 1.8 | % | ||||||||||
AstraZeneca PLC, ADR | 106,700 | 3,637,403 | 1.3 | % | ||||||||||
Becton, Dickinson and Company | 56,821 | 11,086,345 | 3.9 | % | ||||||||||
Biogen, Inc. (I) | 19,355 | 5,252,173 | 1.8 | % | ||||||||||
BioMarin Pharmaceutical, Inc. (I) | 26,213 | 2,380,665 | 0.8 | % | ||||||||||
Bluebird Bio, Inc. (I) | 21,744 | 2,284,207 | 0.8 | % | ||||||||||
Bristol-Myers Squibb Company | 65,744 | 3,663,256 | 1.3 | % | ||||||||||
Celgene Corp. (I) | 15,532 | 2,017,141 | 0.7 | % | ||||||||||
Centene Corp. (I) | 68,681 | 5,486,238 | 1.9 | % | ||||||||||
Cigna Corp. | 46,800 | 7,833,852 | 2.7 | % | ||||||||||
Clovis Oncology, Inc. (I) | 21,176 | 1,982,709 | 0.7 | % | ||||||||||
Danaher Corp. | 32,500 | 2,742,675 | 1.0 | % | ||||||||||
DaVita, Inc. (I) | 32,000 | 2,072,320 | 0.7 | % | ||||||||||
Eli Lilly & Company | 55,154 | 4,539,174 | 1.6 | % | ||||||||||
Gilead Sciences, Inc. | 50,467 | 3,572,054 | 1.2 | % | ||||||||||
HCA Healthcare, Inc. (I) | 55,407 | 4,831,490 | 1.7 | % | ||||||||||
Hologic, Inc. (I) | 86,600 | 3,929,908 | 1.4 | % | ||||||||||
Humana, Inc. | 30,431 | 7,322,307 | 2.5 | % | ||||||||||
Incyte Corp. (I) | 53,700 | 6,761,367 | 2.4 | % | ||||||||||
Intuitive Surgical, Inc. (I) | 10,714 | 10,021,554 | 3.5 | % | ||||||||||
Ironwood Pharmaceuticals, Inc. (I) | 121,170 | 2,287,690 | 0.8 | % | ||||||||||
Kite Pharma, Inc. (I) | 28,854 | 2,991,294 | 1.0 | % | ||||||||||
Medtronic PLC | 32,893 | 2,919,254 | 1.0 | % | ||||||||||
Merck & Company, Inc. | 81,200 | 5,204,108 | 1.8 | % | ||||||||||
Neurocrine Biosciences, Inc. (I) | 75,400 | 3,468,400 | 1.2 | % | ||||||||||
Prothena Corp. PLC (I) | 37,198 | 2,013,156 | 0.7 | % | ||||||||||
Puma Biotechnology, Inc. (I) | 38,859 | 3,396,277 | 1.2 | % | ||||||||||
Radius Health, Inc. (I) | 46,513 | 2,103,783 | 0.7 | % | ||||||||||
Regeneron Pharmaceuticals, Inc. (I) | 10,900 | 5,353,426 | 1.9 | % | ||||||||||
Roche Holding AG | 9,487 | 2,424,069 | 0.8 | % | ||||||||||
Sage Therapeutics, Inc. (I) | 29,863 | 2,378,289 | 0.8 | % | ||||||||||
Sanofi | 25,313 | 2,425,489 | 0.8 | % | ||||||||||
Shire PLC, ADR | 32,680 | 5,401,024 | 1.9 | % | ||||||||||
Stryker Corp. | 44,156 | 6,127,970 | 2.1 | % | ||||||||||
TESARO, Inc. (I) | 33,310 | 4,658,737 | 1.6 | % | ||||||||||
The Cooper Companies, Inc. | 8,435 | 2,019,508 | 0.7 | % | ||||||||||
Thermo Fisher Scientific, Inc. | 31,800 | 5,548,146 | 1.9 | % | ||||||||||
UnitedHealth Group, Inc. | 87,400 | 16,205,708 | 5.6 | % | ||||||||||
Vertex Pharmaceuticals, Inc. (I) | 56,772 | 7,316,208 | 2.5 | % | ||||||||||
West Pharmaceutical Services, Inc. | 20,900 | 1,975,468 | 0.7 | % | ||||||||||
OTHER SECURITIES | 57,430,374 | 20.0 | % | |||||||||||
280,642,024 | ||||||||||||||
TOTAL COMMON STOCKS (Cost $227,623,289) | $ | 284,003,034 | ||||||||||||
PREFERRED SECURITIES – 0.7% | ||||||||||||||
Consumer discretionary – 0.1% | 280,855 | 0.1 | % | |||||||||||
Health care – 0.5% | ||||||||||||||
Allergan PLC, 5.500% | 1,111 | 964,437 | 0.3 | % | ||||||||||
Becton, Dickinson and Company, 6.125% | 10,507 | 575,573 | 0.2 | % | ||||||||||
OTHER SECURITIES | 15,953 | 0.0 | % | |||||||||||
1,555,963 | ||||||||||||||
Information technology – 0.1% | 195,356 | 0.1 | % | |||||||||||
TOTAL PREFERRED SECURITIES (Cost $2,036,363) | $ | 2,032,174 | ||||||||||||
CONVERTIBLE BONDS – 0.2% | ||||||||||||||
Health care – 0.2% | ||||||||||||||
Ironwood Pharmaceuticals, Inc. 2.250%, 06/15/2022 | $ | 376,000 | 503,135 | 0.2 | % | |||||||||
TOTAL CONVERTIBLE BONDS (Cost $376,000) | $ | 503,135 |
Shares or Principal Amount | Value | | % of Net Assets | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
RIGHTS – 0.0% | ||||||||||||||
TOTAL RIGHTS (Cost $8,750) | $ | 5,250 | ||||||||||||
SHORT-TERM INVESTMENTS – 0.2% | ||||||||||||||
Money market funds – 0.2% | 475,649 | 0.2 | % | |||||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $475,649) | $ | 475,649 | ||||||||||||
Total Investments (Health Sciences Trust) (Cost $230,520,051) – 99.8% | $ | 287,019,242 | 99.8 | % | ||||||||||
Other assets and liabilities, net – 0.2% | 695,488 | 0.2 | % | |||||||||||
TOTAL NET ASSETS – 100.0% | $ | 287,714,730 | 100.0 | % |
ADR | American Depositary Receipts | |||||
(I) | Non-income producing security. |
Shares or Principal Amount | Value | | % of Net Assets | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMON STOCKS – 95.5% | ||||||||||||||
Australia – 4.8% | ||||||||||||||
Australia & New Zealand Banking Group, Ltd. (L) | 99,342 | $ | 2,192,641 | 0.3 | % | |||||||||
Commonwealth Bank of Australia (L) | 58,080 | 3,694,825 | 0.5 | % | ||||||||||
Westpac Banking Corp. (L) | 113,360 | 2,654,198 | 0.4 | % | ||||||||||
OTHER SECURITIES | 24,568,067 | 3.6 | % | |||||||||||
33,109,731 | ||||||||||||||
Austria – 0.2% | 1,114,602 | 0.2 | % | |||||||||||
Belgium – 0.8% | ||||||||||||||
Anheuser-Busch InBev SA | 25,516 | 2,818,210 | 0.4 | % | ||||||||||
OTHER SECURITIES | 2,657,745 | 0.4 | % | |||||||||||
5,475,955 | ||||||||||||||
Brazil – 1.0% | 6,743,224 | 1.0 | % | |||||||||||
Canada – 6.6% | ||||||||||||||
Canadian National Railway Company | 26,000 | 2,109,593 | 0.3 | % | ||||||||||
Enbridge, Inc. | 55,800 | 2,222,878 | 0.3 | % | ||||||||||
Manulife Financial Corp. (O) | 67,700 | 1,269,114 | 0.2 | % | ||||||||||
Royal Bank of Canada | 50,400 | 3,659,519 | 0.5 | % | ||||||||||
The Bank of Nova Scotia | 41,200 | 2,478,418 | 0.4 | % | ||||||||||
The Toronto-Dominion Bank | 63,600 | 3,205,012 | 0.5 | % | ||||||||||
OTHER SECURITIES | 30,665,777 | 4.4 | % | |||||||||||
45,610,311 | ||||||||||||||
Chile – 0.3% | 1,781,496 | 0.3 | % | |||||||||||
China – 5.5% | ||||||||||||||
Alibaba Group Holding, Ltd., ADR (I) | 38,400 | 5,410,560 | 0.8 | % | ||||||||||
China Construction Bank Corp., H Shares | 2,823,914 | 2,196,006 | 0.3 | % | ||||||||||
Tencent Holdings, Ltd. | 192,900 | 6,920,280 | 1.0 | % | ||||||||||
OTHER SECURITIES | 23,566,467 | 3.4 | % | |||||||||||
38,093,313 | ||||||||||||||
Colombia – 0.1% | 759,994 | 0.1 | % | |||||||||||
Czech Republic – 0.0% | 256,405 | 0.0 | % | |||||||||||
Denmark – 1.2% | ||||||||||||||
Novo Nordisk A/S, B Shares | 60,275 | 2,589,853 | 0.4 | % | ||||||||||
OTHER SECURITIES | 5,723,479 | 0.8 | % | |||||||||||
8,313,332 | ||||||||||||||
Egypt – 0.0% | 187,177 | 0.0 | % | |||||||||||
Finland – 0.7% | 4,893,071 | 0.7 | % | |||||||||||
France – 6.9% | ||||||||||||||
BNP Paribas SA | 38,394 | 2,764,095 | 0.4 | % | ||||||||||
LVMH Moet Hennessy Louis Vuitton SE | 9,546 | 2,387,034 | 0.4 | % | ||||||||||
COMMON STOCKS (continued) | ||||||||||||||
France (continued) | ||||||||||||||
Sanofi | 39,689 | $ | 3,803,007 | 0.6 | % | |||||||||
TOTAL SA (L) | 79,551 | 3,949,478 | 0.6 | % | ||||||||||
OTHER SECURITIES | 35,250,714 | 4.9 | % | |||||||||||
48,154,328 | ||||||||||||||
Germany – 6.1% | ||||||||||||||
Allianz SE | 15,490 | 3,056,836 | 0.4 | % | ||||||||||
BASF SE | 31,136 | 2,889,710 | 0.4 | % | ||||||||||
Bayer AG | 27,993 | 3,628,186 | 0.5 | % | ||||||||||
Daimler AG | 32,692 | 2,371,112 | 0.4 | % | ||||||||||
SAP SE | 33,276 | 3,483,051 | 0.5 | % | ||||||||||
Siemens AG | 25,896 | 3,562,105 | 0.5 | % | ||||||||||
OTHER SECURITIES | 23,335,753 | 3.4 | % | |||||||||||
42,326,753 | ||||||||||||||
Greece – 0.1% | 738,197 | 0.1 | % | |||||||||||
Hong Kong – 3.1% | ||||||||||||||
AIA Group, Ltd. | 404,200 | 2,957,273 | 0.4 | % | ||||||||||
China Mobile, Ltd. | 206,030 | 2,184,290 | 0.3 | % | ||||||||||
OTHER SECURITIES | 16,722,938 | 2.4 | % | |||||||||||
21,864,501 | ||||||||||||||
Hungary – 0.1% | 549,357 | 0.1 | % | |||||||||||
India – 2.1% | 14,321,430 | 2.1 | % | |||||||||||
Indonesia – 0.5% | 3,815,627 | 0.5 | % | |||||||||||
Ireland – 0.4% | 2,978,522 | 0.4 | % | |||||||||||
Israel – 0.4% | 3,069,264 | 0.4 | % | |||||||||||
Italy – 1.4% | 9,462,367 | 1.4 | % | |||||||||||
Japan – 15.9% | ||||||||||||||
Mitsubishi UFJ Financial Group, Inc. | 408,500 | 2,755,352 | 0.4 | % | ||||||||||
SoftBank Group Corp. | 27,600 | 2,243,608 | 0.3 | % | ||||||||||
Toyota Motor Corp. | 88,280 | 4,640,306 | 0.7 | % | ||||||||||
OTHER SECURITIES | 100,629,819 | 14.5 | % | |||||||||||
110,269,085 | ||||||||||||||
Jersey, Channel Islands – 0.0% | 299,130 | 0.0 | % | |||||||||||
Jordan – 0.0% | 110,754 | 0.0 | % | |||||||||||
Luxembourg – 0.2% | 1,551,638 | 0.2 | % | |||||||||||
Macau – 0.1% | 591,304 | 0.1 | % | |||||||||||
Malaysia – 0.6% | 3,935,993 | 0.6 | % | |||||||||||
Malta – 0.0% | 70,070 | 0.0 | % | |||||||||||
Mexico – 0.9% | 6,192,399 | 0.9 | % | |||||||||||
Netherlands – 2.9% | ||||||||||||||
ING Groep NV | 132,880 | 2,293,882 | 0.3 | % | ||||||||||
Royal Dutch Shell PLC, A Shares | 151,647 | 4,029,085 | 0.6 | % | ||||||||||
Royal Dutch Shell PLC, B Shares | 126,839 | 3,405,189 | 0.5 | % | ||||||||||
OTHER SECURITIES | 10,418,542 | 1.5 | % | |||||||||||
20,146,698 | ||||||||||||||
New Zealand – 0.1% | 752,983 | 0.1 | % | |||||||||||
Norway – 0.4% | 2,960,779 | 0.4 | % | |||||||||||
Peru – 0.1% | 509,531 | 0.1 | % | |||||||||||
Philippines – 0.3% | 1,825,786 | 0.3 | % | |||||||||||
Poland – 0.3% | 2,075,332 | 0.3 | % | |||||||||||
Portugal – 0.1% | 649,841 | 0.1 | % | |||||||||||
Romania – 0.0% | 99,285 | 0.0 | % | |||||||||||
Russia – 0.7% | 4,901,507 | 0.7 | % | |||||||||||
Singapore – 0.9% | 6,092,809 | 0.9 | % | |||||||||||
South Africa – 1.5% | ||||||||||||||
Naspers, Ltd., N Shares | 14,694 | 2,893,731 | 0.4 | % | ||||||||||
OTHER SECURITIES | 7,907,331 | 1.1 | % | |||||||||||
10,801,062 |
Shares or Principal Amount | Value | | % of Net Assets | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMON STOCKS (continued) | ||||||||||||||
South Korea – 3.4% | ||||||||||||||
Samsung Electronics Company, Ltd. | 3,325 | $ | 6,925,383 | 1.0 | % | |||||||||
OTHER SECURITIES | 16,830,015 | 2.4 | % | |||||||||||
23,755,398 | ||||||||||||||
Spain – 2.3% | ||||||||||||||
Banco Santander SA | 21,368 | 129,063 | 0.0 | % | ||||||||||
Banco Santander SA | 495,904 | 3,292,750 | 0.5 | % | ||||||||||
OTHER SECURITIES | 12,875,918 | 1.8 | % | |||||||||||
16,297,731 | ||||||||||||||
Sweden – 2.0% | 13,705,615 | 2.0 | % | |||||||||||
Switzerland – 6.1% | ||||||||||||||
Nestle SA | 105,023 | 9,159,862 | 1.3 | % | ||||||||||
Novartis AG | 75,431 | 6,300,496 | 0.9 | % | ||||||||||
Roche Holding AG | 23,733 | 6,064,136 | 0.9 | % | ||||||||||
UBS Group AG (I) | 123,141 | 2,094,122 | 0.3 | % | ||||||||||
OTHER SECURITIES | 18,791,011 | 2.7 | % | |||||||||||
42,409,627 | ||||||||||||||
Taiwan – 2.5% | ||||||||||||||
Taiwan Semiconductor Manufacturing Company, Ltd. | 818,227 | 5,590,301 | 0.8 | % | ||||||||||
OTHER SECURITIES | 11,984,554 | 1.7 | % | |||||||||||
17,574,855 | ||||||||||||||
Thailand – 0.5% | 3,352,223 | 0.5 | % | |||||||||||
Turkey – 0.3% | 1,821,686 | 0.3 | % | |||||||||||
United Kingdom – 10.7% | ||||||||||||||
AstraZeneca PLC | 42,892 | 2,873,072 | 0.4 | % | ||||||||||
BP PLC | 661,138 | 3,816,223 | 0.6 | % | ||||||||||
British American Tobacco PLC | 63,052 | 4,296,569 | 0.6 | % | ||||||||||
Diageo PLC | 85,439 | 2,524,887 | 0.4 | % | ||||||||||
GlaxoSmithKline PLC | 165,474 | 3,522,506 | 0.5 | % | ||||||||||
HSBC Holdings PLC | 671,019 | 6,228,407 | 0.9 | % | ||||||||||
Reckitt Benckiser Group PLC | 22,589 | 2,289,929 | 0.3 | % | ||||||||||
Unilever NV | 55,673 | 3,073,256 | 0.5 | % | ||||||||||
Unilever PLC | 43,575 | 2,358,198 | 0.3 | % | ||||||||||
Vodafone Group PLC | 903,317 | 2,565,391 | 0.4 | % | ||||||||||
OTHER SECURITIES | 40,616,246 | 5.8 | % | |||||||||||
74,164,684 | ||||||||||||||
United States – 0.4% | 2,895,527 | 0.4 | % | |||||||||||
TOTAL COMMON STOCKS (Cost $516,355,812) | $ | 663,432,289 | ||||||||||||
PREFERRED SECURITIES – 1.1% | ||||||||||||||
Brazil – 0.6% | $ | 4,137,748 | 0.6 | % | ||||||||||
Germany – 0.3% | 2,495,830 | 0.3 | % | |||||||||||
South Korea – 0.2% | ||||||||||||||
Samsung Electronics Company, Ltd. | 616 | 1,004,387 | 0.2 | % | ||||||||||
OTHER SECURITIES | 268,898 | 0.0 | % | |||||||||||
1,273,285 | ||||||||||||||
Spain – 0.0% | 18,052 | 0.0 | % | |||||||||||
TOTAL PREFERRED SECURITIES (Cost $7,602,517) | $ | 7,924,915 | ||||||||||||
RIGHTS – 0.0% | ||||||||||||||
TOTAL RIGHTS (Cost $12,138) | $ | 11,797 | ||||||||||||
SECURITIES LENDING COLLATERAL – 2.9% | ||||||||||||||
John Hancock Collateral Trust, 1.1508% (W)(Y) | 1,983,750 | 19,849,200 | 2.9 | % | ||||||||||
TOTAL SECURITIES LENDING COLLATERAL (Cost $19,850,249) | $ | 19,849,200 | ||||||||||||
SHORT-TERM INVESTMENTS – 2.1% | ||||||||||||||
Money market funds – 2.1% | ||||||||||||||
Fidelity Institutional Money Market Government Portfolio, Institutional Class, 0.8014% (Y) | 14,276,353 | 14,276,353 | 2.1 | % | ||||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $14,276,353) | $ | 14,276,353 | ||||||||||||
Total Investments (International Equity Index Trust B) (Cost $558,097,069) – 101.6% | $ | 705,494,554 | 101.6 | % | ||||||||||
Other assets and liabilities, net – (1.6%) | (10,816,131 | ) | (1.6 | )% | ||||||||||
TOTAL NET ASSETS – 100.0% | $ | 694,678,423 | 100.0 | % |
ADR | American Depositary Receipts | |||||
(I) | Non-income producing security. | |||||
(L) | A portion of this security is on loan as of 6-30-17. | |||||
(O) | The investment is an affiliate of the fund, the advisor and/or the subadvisor. | |||||
(W) | Investment is an affiliate of the fund, the advisor and/or subadvisor. This security represents the investment of cash collateral received for securities lending. | |||||
(Y) | The rate shown is the annualized seven-day yield as of 6-30-17. |
Open contracts | | Number of contracts | | Position | | Expiration date | | Notional basis* | | Notional value* | | Unrealized appreciation (depreciation) | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
MINI MSCI Emerging Markets Index Futures | 106 | Long | Sep 2017 | $ | 5,346,356 | $ | 5,343,990 | ($2,366 | ) | |||||||||||||||||
MINI MSCI EAFE Index Futures | 160 | Long | Sep 2017 | 15,168,526 | 15,116,800 | (51,726 | ) | |||||||||||||||||||
MSCI Taiwan Index Futures | 57 | Long | Jul 2017 | 2,214,727 | 2,196,210 | (18,517 | ) | |||||||||||||||||||
($72,609 | ) |
Shares or Principal Amount | Value | | % of Net Assets | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMON STOCKS – 92.5% | �� | |||||||||||||
Australia – 4.2% | ||||||||||||||
Amcor, Ltd. | 726,083 | $ | 9,045,330 | 2.4 | % | |||||||||
CSL, Ltd. | 36,477 | 3,871,286 | 1.0 | % | ||||||||||
OTHER SECURITIES | 3,267,900 | 0.8 | % | |||||||||||
16,184,516 | ||||||||||||||
Brazil – 4.8% | ||||||||||||||
B3 SA – Brasil Bolsa Balcao | 1,154,334 | 6,881,613 | 1.8 | % | ||||||||||
Banco Bradesco SA, ADR | 442,856 | 3,764,276 | 1.0 | % | ||||||||||
Cielo SA | 873,589 | 6,486,851 | 1.7 | % | ||||||||||
OTHER SECURITIES | 1,372,014 | 0.3 | % | |||||||||||
18,504,754 | ||||||||||||||
Canada – 8.4% | ||||||||||||||
Canadian National Railway Company | 52,370 | 4,249,207 | 1.1 | % | ||||||||||
CGI Group, Inc., Class A (I) | 174,701 | 8,926,348 | 2.3 | % | ||||||||||
Fairfax Financial Holdings, Ltd. | 9,154 | 3,967,180 | 1.0 | % | ||||||||||
PrairieSky Royalty, Ltd. | 176,072 | 4,009,413 | 1.1 | % | ||||||||||
Suncor Energy, Inc. | 183,130 | 5,350,706 | 1.4 | % | ||||||||||
OTHER SECURITIES | 5,690,678 | 1.5 | % | |||||||||||
32,193,532 | ||||||||||||||
China – 0.9% | 3,331,983 | 0.9 | % | |||||||||||
Denmark – 2.2% | ||||||||||||||
Carlsberg A/S, B Shares | 77,490 | 8,281,003 | 2.2 | % | ||||||||||
France – 4.1% | ||||||||||||||
Publicis Groupe SA | 53,164 | 3,962,483 | 1.0 | % | ||||||||||
Schneider Electric SE (I) | 83,440 | 6,412,335 | 1.7 | % | ||||||||||
OTHER SECURITIES | 5,419,117 | 1.4 | % | |||||||||||
15,793,935 | ||||||||||||||
Germany – 9.6% | ||||||||||||||
Allianz SE | 36,439 | 7,190,965 | 1.9 | % | ||||||||||
Deutsche Boerse AG | 101,194 | 10,689,156 | 2.8 | % | ||||||||||
Deutsche Post AG | 104,910 | 3,938,146 | 1.0 | % | ||||||||||
ProSiebenSat.1 Media SE | 103,378 | 4,336,662 | 1.1 | % | ||||||||||
SAP SE | 100,993 | 10,571,096 | 2.8 | % | ||||||||||
36,726,025 | ||||||||||||||
Hong Kong – 3.7% | ||||||||||||||
CK Hutchison Holdings, Ltd. | 670,968 | 8,420,343 | 2.2 | % | ||||||||||
Galaxy Entertainment Group, Ltd. | 954,000 | 5,790,117 | 1.5 | % | ||||||||||
14,210,460 | ||||||||||||||
Israel – 1.8% | ||||||||||||||
Teva Pharmaceutical Industries, Ltd., ADR | 206,204 | 6,850,097 | 1.8 | % | ||||||||||
Italy – 1.0% | ||||||||||||||
Intesa Sanpaolo SpA | 1,242,323 | 3,951,604 | 1.0 | % | ||||||||||
Japan – 6.1% | ||||||||||||||
Japan Tobacco, Inc. | 198,400 | 6,973,384 | 1.8 | % | ||||||||||
Kao Corp. | 57,300 | 3,406,963 | 0.9 | % | ||||||||||
Yahoo Japan Corp. | 1,214,700 | 5,280,576 | 1.4 | % | ||||||||||
OTHER SECURITIES | 7,693,084 | 2.0 | % | |||||||||||
23,354,007 | ||||||||||||||
Mexico – 3.2% | ||||||||||||||
Fomento Economico Mexicano SAB de CV, ADR | 91,062 | 8,955,037 | 2.3 | % | ||||||||||
OTHER SECURITIES | 3,396,593 | 0.9 | % | |||||||||||
12,351,630 | ||||||||||||||
Netherlands – 1.8% | ||||||||||||||
Wolters Kluwer NV | 99,240 | 4,197,163 | 1.1 | % | ||||||||||
OTHER SECURITIES | 2,757,167 | 0.7 | % | |||||||||||
6,954,330 | ||||||||||||||
Singapore – 1.3% | ||||||||||||||
United Overseas Bank, Ltd. | 291,200 | 4,888,852 | 1.3 | % | ||||||||||
COMMON STOCKS (continued) | ||||||||||||||
South Korea – 2.3% | ||||||||||||||
NAVER Corp. | 8,806 | $ | 6,455,069 | 1.7 | % | |||||||||
OTHER SECURITIES | 2,474,392 | 0.6 | % | |||||||||||
8,929,461 | ||||||||||||||
Spain – 1.5% | ||||||||||||||
Amadeus IT Group SA | 94,058 | 5,622,398 | 1.5 | % | ||||||||||
Sweden – 3.3% | ||||||||||||||
Investor AB, B Shares | 173,193 | 8,355,962 | 2.2 | % | ||||||||||
OTHER SECURITIES | 4,313,692 | 1.1 | % | |||||||||||
12,669,654 | ||||||||||||||
Switzerland – 7.1% | ||||||||||||||
Cie Financiere Richemont SA | 55,265 | 4,573,115 | 1.2 | % | ||||||||||
Julius Baer Group, Ltd. (I) | 119,337 | 6,305,318 | 1.6 | % | ||||||||||
Roche Holding AG | 18,752 | 4,791,416 | 1.3 | % | ||||||||||
UBS Group AG (I) | 381,367 | 6,485,484 | 1.7 | % | ||||||||||
OTHER SECURITIES | 4,887,732 | 1.3 | % | |||||||||||
27,043,065 | ||||||||||||||
Taiwan – 2.4% | ||||||||||||||
Taiwan Semiconductor Manufacturing Company, Ltd. | 1,346,000 | 9,196,159 | 2.4 | % | ||||||||||
Thailand – 1.7% | ||||||||||||||
Kasikornbank PCL, NVDR | 1,102,100 | 6,434,104 | 1.7 | % | ||||||||||
Turkey – 1.1% | ||||||||||||||
Akbank TAS | 1,435,984 | 3,999,814 | 1.1 | % | ||||||||||
United Kingdom – 17.6% | ||||||||||||||
British American Tobacco PLC | 123,470 | 8,413,649 | 2.2 | % | ||||||||||
Compass Group PLC | 338,184 | 7,138,274 | 1.9 | % | ||||||||||
Informa PLC | 531,968 | 4,640,052 | 1.2 | % | ||||||||||
Lloyds Banking Group PLC | 6,458,944 | 5,566,194 | 1.4 | % | ||||||||||
Next PLC | 82,752 | 4,156,146 | 1.1 | % | ||||||||||
RELX PLC | 502,536 | 10,863,376 | 2.8 | % | ||||||||||
Sky PLC | 674,797 | 8,739,432 | 2.3 | % | ||||||||||
Smith & Nephew PLC | 233,770 | 4,036,878 | 1.1 | % | ||||||||||
Unilever NV | 115,171 | 6,357,659 | 1.7 | % | ||||||||||
WPP PLC | 211,667 | 4,457,028 | 1.2 | % | ||||||||||
OTHER SECURITIES | 2,853,996 | 0.7 | % | |||||||||||
67,222,684 | ||||||||||||||
United States – 2.4% | ||||||||||||||
Broadcom, Ltd. | 38,486 | 8,969,162 | 2.4 | % | ||||||||||
TOTAL COMMON STOCKS (Cost $299,799,934) | $ | 353,663,229 | ||||||||||||
SHORT-TERM INVESTMENTS – 7.3% | ||||||||||||||
Money market funds – 7.3% | ||||||||||||||
JPMorgan U.S. Treasury Plus Money Market Fund, Institutional Class, 0.7986% (Y) | 27,792,186 | 27,792,186 | 7.3 | % | ||||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $27,792,186) | $ | 27,792,186 | ||||||||||||
Total Investments (International Growth Stock Trust) (Cost $327,592,120) – 99.8% | $ | 381,455,415 | 99.8 | % | ||||||||||
Other assets and liabilities, net – 0.2% | 945,017 | 0.2 | % | |||||||||||
TOTAL NET ASSETS – 100.0% | $ | 382,400,432 | 100.0 | % |
ADR | American Depositary Receipts | |||||
NVDR | Non-Voting Depositary Receipt | |||||
(I) | Non-income producing security. | |||||
(Y) | The rate shown is the annualized seven-day yield as of 6-30-17. |
Shares or Principal Amount | Value | | % of Net Assets | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMON STOCKS – 98.5% | ||||||||||||||
Australia – 5.9% | ||||||||||||||
Downer EDI, Ltd. | 43,904 | $ | 216,266 | 0.2 | % | |||||||||
OTHER SECURITIES | 7,751,301 | 5.7 | % | |||||||||||
7,967,567 | ||||||||||||||
Austria – 1.5% | ||||||||||||||
ams AG (I) | 4,783 | 310,378 | 0.2 | % | ||||||||||
OTHER SECURITIES | 1,675,043 | 1.3 | % | |||||||||||
1,985,421 | ||||||||||||||
Belgium – 1.8% | ||||||||||||||
Ackermans & van Haaren NV | 1,580 | 263,801 | 0.2 | % | ||||||||||
Umicore SA (L) | 4,011 | 279,010 | 0.2 | % | ||||||||||
OTHER SECURITIES | 1,877,922 | 1.4 | % | |||||||||||
2,420,733 | ||||||||||||||
Bermuda – 0.2% | ||||||||||||||
Hiscox, Ltd. | 16,221 | 267,835 | 0.2 | % | ||||||||||
Cambodia – 0.0% | 54,624 | 0.0 | % | |||||||||||
Canada – 8.6% | 11,561,609 | 8.6 | % | |||||||||||
China – 0.1% | 86,971 | 0.1 | % | |||||||||||
Denmark – 2.0% | ||||||||||||||
GN Store Nord A/S | 7,647 | 223,285 | 0.2 | % | ||||||||||
OTHER SECURITIES | 2,476,948 | 1.8 | % | |||||||||||
2,700,233 | ||||||||||||||
Faroe Islands – 0.1% | 82,089 | 0.1 | % | |||||||||||
Finland – 2.6% | ||||||||||||||
Elisa OYJ | 6,236 | 241,908 | 0.2 | % | ||||||||||
Huhtamaki OYJ | 6,103 | 240,341 | 0.2 | % | ||||||||||
Kesko OYJ, A Shares | 690 | 34,389 | 0.0 | % | ||||||||||
Kesko OYJ, B Shares | 3,706 | 188,517 | 0.2 | % | ||||||||||
Nokian Renkaat OYJ | 5,661 | 234,329 | 0.2 | % | ||||||||||
OTHER SECURITIES | 2,485,717 | 1.8 | % | |||||||||||
3,425,201 | ||||||||||||||
France – 5.2% | ||||||||||||||
Ipsen SA | 1,857 | 254,108 | 0.2 | % | ||||||||||
Lagardere SCA | 7,152 | 225,676 | 0.2 | % | ||||||||||
Orpea | 2,429 | 270,804 | 0.2 | % | ||||||||||
Rexel SA | 15,436 | 252,261 | 0.2 | % | ||||||||||
Rubis SCA (L) | 2,775 | 314,748 | 0.2 | % | ||||||||||
Teleperformance | 3,400 | 435,956 | 0.3 | % | ||||||||||
Ubisoft Entertainment SA (I) | 6,350 | 360,498 | 0.3 | % | ||||||||||
OTHER SECURITIES | 4,845,862 | 3.6 | % | |||||||||||
6,959,913 | ||||||||||||||
Gabon – 0.0% | 3,244 | 0.0 | % | |||||||||||
Georgia – 0.1% | 113,323 | 0.1 | % | |||||||||||
Germany – 6.0% | ||||||||||||||
Freenet AG | 8,192 | 261,347 | 0.2 | % | ||||||||||
LANXESS AG | 3,724 | 282,430 | 0.2 | % | ||||||||||
LEG Immobilien AG | 2,491 | 234,476 | 0.2 | % | ||||||||||
MTU Aero Engines AG | 2,479 | 350,251 | 0.3 | % | ||||||||||
OSRAM Licht AG | 2,844 | 227,014 | 0.2 | % | ||||||||||
Rheinmetall AG | 2,634 | 250,714 | 0.2 | % | ||||||||||
STADA Arzneimittel AG (L) | 4,642 | 329,727 | 0.3 | % | ||||||||||
OTHER SECURITIES | 6,062,743 | 4.4 | % | |||||||||||
7,998,702 | ||||||||||||||
Gibraltar – 0.0% | 40,620 | 0.0 | % | |||||||||||
Greece – 0.0% | 155 | 0.0 | % | |||||||||||
Guernsey, Channel Islands – 0.0% | 4,163 | 0.0 | % | |||||||||||
Hong Kong – 3.0% | 3,977,218 | 3.0 | % | |||||||||||
Ireland – 0.9% | ||||||||||||||
Kingspan Group PLC | 8,650 | 297,049 | 0.2 | % | ||||||||||
OTHER SECURITIES | 892,108 | 0.7 | % | |||||||||||
1,189,157 | ||||||||||||||
COMMON STOCKS (continued) | ||||||||||||||
Isle of Man – 0.3% | $ | 426,053 | 0.3 | % | ||||||||||
Israel – 0.8% | 1,046,317 | 0.8 | % | |||||||||||
Italy – 4.1% | ||||||||||||||
Prysmian SpA | 8,789 | 259,219 | 0.2 | % | ||||||||||
Unione di Banche Italiane SpA (L) | 63,162 | 272,137 | 0.2 | % | ||||||||||
OTHER SECURITIES | 4,920,581 | 3.7 | % | |||||||||||
5,451,937 | ||||||||||||||
Japan – 22.8% | 30,598,761 | 22.8 | % | |||||||||||
Jersey, Channel Islands – 0.2% | 322,776 | 0.2 | % | |||||||||||
Liechtenstein – 0.0% | 52,998 | 0.0 | % | |||||||||||
Luxembourg – 0.3% | 332,780 | 0.3 | % | |||||||||||
Macau – 0.0% | 23,464 | 0.0 | % | |||||||||||
Malta – 0.1% | 123,359 | 0.1 | % | |||||||||||
Monaco – 0.0% | 54,932 | 0.0 | % | |||||||||||
Mongolia – 0.0% | 7,892 | 0.0 | % | |||||||||||
Netherlands – 2.2% | ||||||||||||||
Aalberts Industries NV | 5,614 | 223,394 | 0.2 | % | ||||||||||
OTHER SECURITIES | 2,748,881 | 2.0 | % | |||||||||||
2,972,275 | ||||||||||||||
New Zealand – 0.9% | 1,222,339 | 0.9 | % | |||||||||||
Norway – 0.8% | 1,125,740 | 0.8 | % | |||||||||||
Peru – 0.0% | 59,092 | 0.0 | % | |||||||||||
Portugal – 0.3% | 424,957 | 0.3 | % | |||||||||||
Russia – 0.0% | 35,340 | 0.0 | % | |||||||||||
Singapore – 1.1% | 1,507,455 | 1.1 | % | |||||||||||
South Africa – 0.1% | 80,531 | 0.1 | % | |||||||||||
Spain – 2.3% | 3,040,232 | 2.3 | % | |||||||||||
Sweden – 3.2% | 4,243,646 | 3.2 | % | |||||||||||
Switzerland – 5.0% | ||||||||||||||
Flughafen Zuerich AG | 1,355 | 332,788 | 0.3 | % | ||||||||||
Georg Fischer AG | 265 | 257,045 | 0.2 | % | ||||||||||
Helvetia Holding AG | 463 | 265,533 | 0.2 | % | ||||||||||
Logitech International SA | 1,671 | 61,264 | 0.1 | % | ||||||||||
Logitech International SA (SIX Swiss Exchange) | 5,484 | 201,794 | 0.2 | % | ||||||||||
Temenos Group AG (I) | 3,524 | 315,268 | 0.2 | % | ||||||||||
OTHER SECURITIES | 5,199,895 | 3.8 | % | |||||||||||
6,633,587 | ||||||||||||||
Taiwan – 0.0% | 0 | 0.0 | % | |||||||||||
United Arab Emirates – 0.0% | 44,123 | 0.0 | % | |||||||||||
United Kingdom – 15.7% | ||||||||||||||
BBA Aviation PLC | 65,305 | 261,440 | 0.2 | % | ||||||||||
Beazley PLC | 34,635 | 220,291 | 0.2 | % | ||||||||||
Bellway PLC | 9,586 | 371,987 | 0.3 | % | ||||||||||
Close Brothers Group PLC | 11,851 | 233,107 | 0.2 | % | ||||||||||
Dialog Semiconductor PLC (I) | 5,144 | 219,779 | 0.2 | % | ||||||||||
DS Smith PLC | 64,440 | 397,716 | 0.3 | % | ||||||||||
Electrocomponents PLC | 34,806 | 261,807 | 0.2 | % | ||||||||||
Halma PLC | 21,707 | 311,071 | 0.2 | % | ||||||||||
Howden Joinery Group PLC | 46,341 | 245,831 | 0.2 | % | ||||||||||
Inchcape PLC | 25,976 | 255,342 | 0.2 | % | ||||||||||
Pennon Group PLC | 22,238 | 238,990 | 0.2 | % | ||||||||||
Rentokil Initial PLC | 92,797 | 330,225 | 0.3 | % | ||||||||||
Rightmove PLC | 5,015 | 277,498 | 0.2 | % | ||||||||||
RPC Group PLC | 28,931 | 283,543 | 0.2 | % | ||||||||||
Spectris PLC | 9,067 | 298,092 | 0.2 | % | ||||||||||
Spirax-Sarco Engineering PLC | 4,229 | 294,944 | 0.2 | % | ||||||||||
OTHER SECURITIES | 16,577,752 | 12.2 | % | |||||||||||
21,079,415 |
Shares or Principal Amount | Value | | % of Net Assets | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMON STOCKS (continued) | ||||||||||||||||||
United States – 0.3% | $ | 406,523 | 0.3 | % | ||||||||||||||
TOTAL COMMON STOCKS (Cost $116,859,059) | $ | 132,155,302 | ||||||||||||||||
PREFERRED SECURITIES – 0.3% | ||||||||||||||||||
Germany – 0.3% | 445,348 | 0.3 | % | |||||||||||||||
TOTAL PREFERRED SECURITIES (Cost $323,146) | $ | 445,348 | ||||||||||||||||
RIGHTS – 0.0% | ||||||||||||||||||
TOTAL RIGHTS (Cost $0) | $ | 3,042 | ||||||||||||||||
WARRANTS – 0.0% | ||||||||||||||||||
TOTAL WARRANTS (Cost $0) | $ | 14 | ||||||||||||||||
SECURITIES LENDING COLLATERAL – 9.4% | ||||||||||||||||||
John Hancock Collateral Trust, 1.1508% (W)(Y) | 1,257,769 | 12,585,115 | 9.4 | % | ||||||||||||||
TOTAL SECURITIES LENDING COLLATERAL (Cost $12,585,946) | $ | 12,585,115 | ||||||||||||||||
Total Investments (International Small Company Trust) (Cost $129,768,151) – 108.2% | $ | 145,188,821 | 108.2 | % | ||||||||||||||
Other assets and liabilities, net – (8.2%) | (11,021,798 | ) | (8.2 | )% | ||||||||||||||
TOTAL NET ASSETS – 100.0% | $ | 134,167,023 | 100.0 | % |
(I) | Non-income producing security. | |||||
(L) | A portion of this security is on loan as of 6-30-17. | |||||
(W) | Investment is an affiliate of the fund, the advisor and/or subadvisor. This security represents the investment of cash collateral received for securities lending. | |||||
(Y) | The rate shown is the annualized seven-day yield as of 6-30-17. |
Shares or Principal Amount | Value | | % of Net Assets | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMON STOCKS – 98.5% | ||||||||||||||
Canada – 9.0% | ||||||||||||||
Alamos Gold, Inc., Class A | 1,211,600 | $ | 8,699,288 | 1.0 | % | |||||||||
Barrick Gold Corp. | 671,980 | 10,691,202 | 1.2 | % | ||||||||||
Precision Drilling Corp. (I) | 2,150,100 | 7,344,959 | 0.9 | % | ||||||||||
Wheaton Precious Metals Corp. | 1,095,700 | 21,765,293 | 2.5 | % | ||||||||||
OTHER SECURITIES | 29,769,716 | 3.4 | % | |||||||||||
78,270,458 | ||||||||||||||
China – 7.1% | ||||||||||||||
Baidu, Inc., ADR (I) | 112,760 | 20,168,254 | 2.3 | % | ||||||||||
China Life Insurance Company, Ltd., H Shares | 2,512,000 | 7,676,815 | 0.9 | % | ||||||||||
China Telecom Corp., Ltd., H Shares | 23,712,427 | 11,260,160 | 1.3 | % | ||||||||||
Shanghai Pharmaceuticals Holding Company, Ltd., H Shares | 2,581,800 | 7,689,278 | 0.9 | % | ||||||||||
Sinopharm Group Company, Ltd., H Shares | 1,836,400 | 8,296,693 | 0.9 | % | ||||||||||
OTHER SECURITIES | 6,908,285 | 0.8 | % | |||||||||||
61,999,485 | ||||||||||||||
France – 6.6% | ||||||||||||||
AXA SA | 377,021 | 10,324,119 | 1.2 | % | ||||||||||
BNP Paribas SA | 226,534 | 16,308,835 | 1.8 | % | ||||||||||
Sanofi | 183,389 | 17,572,365 | 2.0 | % | ||||||||||
TOTAL SA (L) | 173,308 | 8,604,243 | 1.0 | % | ||||||||||
OTHER SECURITIES | 5,097,380 | 0.6 | % | |||||||||||
57,906,942 | ||||||||||||||
Germany – 6.8% | ||||||||||||||
Bayer AG | 108,063 | 14,006,095 | 1.6 | % | ||||||||||
COMMON STOCKS (continued) | ||||||||||||||
Germany (continued) | �� | |||||||||||||
Gerresheimer AG | 102,650 | $ | 8,261,661 | 0.9 | % | |||||||||
Innogy SE (S) | 235,963 | 9,286,692 | 1.1 | % | ||||||||||
MorphoSys AG (I)(L) | 116,936 | 8,299,619 | 1.0 | % | ||||||||||
OTHER SECURITIES | 19,763,532 | 2.2 | % | |||||||||||
59,617,599 | ||||||||||||||
Hong Kong – 3.8% | ||||||||||||||
China Mobile, Ltd. | 729,500 | 7,734,015 | 0.9 | % | ||||||||||
CK Hutchison Holdings, Ltd. | 1,045,500 | 13,120,550 | 1.5 | % | ||||||||||
OTHER SECURITIES | 12,502,053 | 1.4 | % | |||||||||||
33,356,618 | ||||||||||||||
India – 0.9% | 7,747,118 | 0.9 | % | |||||||||||
Israel – 2.4% | ||||||||||||||
Teva Pharmaceutical Industries, Ltd., ADR | 618,354 | 20,541,720 | 2.4 | % | ||||||||||
Italy – 1.5% | ||||||||||||||
Eni SpA | 872,182 | 13,107,069 | 1.5 | % | ||||||||||
Japan – 10.7% | ||||||||||||||
Astellas Pharma, Inc. | 762,000 | 9,339,606 | 1.1 | % | ||||||||||
Kirin Holdings Company, Ltd. | 380,300 | 7,757,588 | 0.9 | % | ||||||||||
Nissan Motor Company, Ltd. | 1,698,500 | 16,959,409 | 1.9 | % | ||||||||||
SoftBank Group Corp. | 298,000 | 24,224,463 | 2.8 | % | ||||||||||
Sumitomo Rubber Industries, Ltd. | 494,400 | 8,372,921 | 1.0 | % | ||||||||||
Suntory Beverage & Food, Ltd. | 188,900 | 8,780,228 | 1.0 | % | ||||||||||
OTHER SECURITIES | 17,354,476 | 2.0 | % | |||||||||||
92,788,691 | ||||||||||||||
Luxembourg – 1.2% | 10,759,678 | 1.2 | % | |||||||||||
Malta – 0.0% | 38,859 | 0.0 | % | |||||||||||
Netherlands – 8.9% | ||||||||||||||
Aegon NV | 2,759,076 | 14,120,732 | 1.6 | % | ||||||||||
ING Groep NV | 552,756 | 9,542,119 | 1.1 | % | ||||||||||
QIAGEN NV (I) | 390,229 | 12,984,406 | 1.5 | % | ||||||||||
Royal Dutch Shell PLC, B Shares | 787,485 | 21,141,255 | 2.4 | % | ||||||||||
SBM Offshore NV (L) | 1,021,165 | 16,357,721 | 1.9 | % | ||||||||||
OTHER SECURITIES | 3,446,177 | 0.4 | % | |||||||||||
77,592,410 | ||||||||||||||
Norway – 1.5% | 13,163,404 | 1.5 | % | |||||||||||
Singapore – 2.4% | ||||||||||||||
Singapore Telecommunications, Ltd. | 3,813,700 | 10,770,195 | 1.3 | % | ||||||||||
Singapore Telecommunications, Ltd., ADR | 4,800 | 135,768 | 0.0 | % | ||||||||||
United Overseas Bank, Ltd. | 586,900 | 9,853,254 | 1.1 | % | ||||||||||
20,759,217 | ||||||||||||||
South Korea – 10.9% | ||||||||||||||
Hana Financial Group, Inc. | 365,755 | 14,444,582 | 1.7 | % | ||||||||||
Hyundai Mobis Company, Ltd. | 49,336 | 10,785,433 | 1.2 | % | ||||||||||
KB Financial Group, Inc., ADR | 336,451 | 16,987,411 | 2.0 | % | ||||||||||
Samsung Electronics Company, Ltd. | 15,085 | 31,419,368 | 3.6 | % | ||||||||||
OTHER SECURITIES | 21,385,854 | 2.4 | % | |||||||||||
95,022,648 | ||||||||||||||
Sweden – 0.6% | 5,131,639 | 0.6 | % | |||||||||||
Switzerland – 4.7% | ||||||||||||||
Roche Holding AG | 78,364 | 20,023,171 | 2.3 | % | ||||||||||
UBS Group AG (I) | 563,206 | 9,577,817 | 1.1 | % | ||||||||||
OTHER SECURITIES | 10,969,694 | 1.3 | % | |||||||||||
40,570,682 | ||||||||||||||
Taiwan – 2.9% | ||||||||||||||
Catcher Technology Company, Ltd. | 970,000 | 11,560,878 | 1.3 | % | ||||||||||
OTHER SECURITIES | 13,381,181 | 1.6 | % | |||||||||||
24,942,059 |
Shares or Principal Amount | Value | | % of Net Assets | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMON STOCKS (continued) | ||||||||||||||
Thailand – 1.5% | ||||||||||||||
Bangkok Bank PCL, Foreign Shares | 253,600 | $ | 1,469,641 | 0.2 | % | |||||||||
Bangkok Bank PCL, NVDR | 1,236,700 | 6,729,833 | 0.8 | % | ||||||||||
OTHER SECURITIES | 4,891,695 | 0.5 | % | |||||||||||
13,091,169 | ||||||||||||||
United Kingdom – 14.5% | ||||||||||||||
Aviva PLC | 1,489,826 | 10,219,321 | 1.2 | % | ||||||||||
BAE Systems PLC | 1,286,644 | 10,621,660 | 1.2 | % | ||||||||||
Barclays PLC | 3,113,258 | 8,233,904 | 1.0 | % | ||||||||||
BP PLC | 4,129,044 | 23,833,680 | 2.7 | % | ||||||||||
HSBC Holdings PLC | 1,879,932 | 17,449,553 | 2.0 | % | ||||||||||
Kingfisher PLC | 2,220,704 | 8,698,357 | 1.0 | % | ||||||||||
Standard Chartered PLC (I) | 2,004,091 | 20,297,959 | 2.3 | % | ||||||||||
OTHER SECURITIES | 26,727,838 | 3.1 | % | |||||||||||
126,082,272 | ||||||||||||||
United States – 0.6% | 5,198,597 | 0.6 | % | |||||||||||
TOTAL COMMON STOCKS (Cost $795,570,015) | $ | 857,688,334 | ||||||||||||
RIGHTS – 0.0% | ||||||||||||||
TOTAL RIGHTS (Cost $30,354) | $ | 30,628 | ||||||||||||
SECURITIES LENDING COLLATERAL – 1.6% | ||||||||||||||
John Hancock Collateral Trust, 1.1508% (W)(Y) | 1,362,161 | 13,629,644 | 1.6 | % | ||||||||||
TOTAL SECURITIES LENDING COLLATERAL (Cost $13,630,026) | $ | 13,629,644 | ||||||||||||
SHORT-TERM INVESTMENTS – 1.8% | ||||||||||||||
U.S. Government Agency – 1.8% | ||||||||||||||
Federal Home Loan Bank Discount Note 0.650%, 07/03/2017* | $ | 16,200,000 | 16,200,000 | 1.8 | % | |||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $16,199,415) | $ | 16,200,000 | ||||||||||||
Total Investments (International Value Trust) (Cost $825,429,810) – 101.9% | $ | 887,548,606 | 101.9 | % | ||||||||||
Other assets and liabilities, net – (1.9%) | (16,618,949 | ) | (1.9 | )% | ||||||||||
TOTAL NET ASSETS – 100.0% | $ | 870,929,657 | 100.0 | % |
ADR | American Depositary Receipts | |||||
NVDR | Non-Voting Depositary Receipt | |||||
(I) | Non-income producing security. | |||||
(L) | A portion of this security is on loan as of 6-30-17. | |||||
(S) | These securities are exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be resold, normally to qualified institutional buyers, in transactions exempt from registration. | |||||
(W) | Investment is an affiliate of the fund, the advisor and/or subadvisor. This security represents the investment of cash collateral received for securities lending. | |||||
(Y) | The rate shown is the annualized seven-day yield as of 6-30-17. | |||||
* | Yield represents either the annualized yield at the date of purchase, the stated coupon rate or, for floating rate securities, the rate at period end. |
Shares or Principal Amount | Value | | % of Net Assets | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
AFFILIATED INVESTMENT COMPANIES (G) – 82.6% | ||||||||||||||
Equity – 82.6% | ||||||||||||||
Strategic Equity Allocation, Series NAV (JHAM) (A)(1) | 1,271,931 | $ | 23,670,642 | 82.6 | % | |||||||||
TOTAL AFFILIATED INVESTMENT COMPANIES (Cost $21,485,507) | $ | 23,670,642 | ||||||||||||
UNAFFILIATED INVESTMENT COMPANIES – 17.5% | ||||||||||||||
Exchange-traded funds – 17.5% | ||||||||||||||
Financial Select Sector SPDR Fund | 20,955 | 516,960 | 1.8 | % | ||||||||||
Vanguard Energy ETF | 4,033 | 356,920 | 1.3 | % | ||||||||||
Vanguard FTSE Emerging Markets ETF | 36,707 | 1,498,746 | 5.2 | % | ||||||||||
Vanguard Health Care ETF | 1,340 | 197,476 | 0.7 | % | ||||||||||
Vanguard Information Technology ETF | 4,921 | 693,074 | 2.4 | % | ||||||||||
Vanguard Materials ETF | 983 | 119,533 | 0.4 | % | ||||||||||
Vanguard Mid-Cap ETF | 6,094 | 868,517 | 3.0 | % | ||||||||||
Vanguard REIT ETF | 3,384 | 281,650 | 1.0 | % | ||||||||||
Vanguard Small-Cap ETF | 3,459 | 468,833 | 1.7 | % | ||||||||||
TOTAL UNAFFILIATED INVESTMENT COMPANIES (Cost $4,523,544) | $ | 5,001,709 | ||||||||||||
Total Investments (Lifestyle Aggressive PS Series) (Cost $26,009,051) – 100.1% | $ | 28,672,351 | 100.1 | % | ||||||||||
Other assets and liabilities, net – (0.1%) | (15,517 | ) | (0.1 | )% | ||||||||||
TOTAL NET ASSETS – 100.0% | $ | 28,656,834 | 100.0 | % |
JHAM | John Hancock Asset Management | |||||
(A) | The subadvisor is an affiliate of the advisor. | |||||
(G) | The portfolio’s subadvisor is shown parenthetically. | |||||
(1) | Manulife Asset Management (US) LLC is doing business as John Hancock Asset Management. |
Shares or Principal Amount | Value | | % of Net Assets | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
AFFILIATED INVESTMENT COMPANIES (G) – 100.0% | ||||||||||||||
Equity – 50.0% | ||||||||||||||
Strategic Equity Allocation, Series NAV (JHAM) (A)(1) | 27,795,421 | $ | 517,272,792 | 50.0 | % | |||||||||
Fixed income – 50.0% | ||||||||||||||
Bond, Series NAV (JHAM) (A)(1) | 37,878,777 | 517,045,313 | 50.0 | % | ||||||||||
TOTAL AFFILIATED INVESTMENT COMPANIES (Cost $981,632,903) | $ | 1,034,318,105 | ||||||||||||
Total Investments (Lifestyle Balanced PS Series) (Cost $981,632,903) – 100.0% | $ | 1,034,318,105 | 100.0 | % | ||||||||||
Other assets and liabilities, net – 0.0% | (38,833 | ) | 0.0 | % | ||||||||||
TOTAL NET ASSETS – 100.0% | $ | 1,034,279,272 | 100.0 | % |
JHAM | John Hancock Asset Management | |||||
(A) | The subadvisor is an affiliate of the advisor. | |||||
(G) | The portfolio’s subadvisor is shown parenthetically. | |||||
(1) | Manulife Asset Management (US) LLC is doing business as John Hancock Asset Management. |
Shares or Principal Amount | Value | | % of Net Assets | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
AFFILIATED INVESTMENT COMPANIES (G) – 100.0% | ||||||||||||||
Equity – 20.0% | ||||||||||||||
Strategic Equity Allocation, Series NAV (JHAM) (A)(1) | 2,006,747 | $ | 37,345,565 | 20.0 | % | |||||||||
Fixed income – 80.0% | ||||||||||||||
Bond, Series NAV (JHAM) (A)(1) | 10,963,040 | 149,645,503 | 80.0 | % | ||||||||||
TOTAL AFFILIATED INVESTMENT COMPANIES (Cost $182,781,469) | $ | 186,991,068 | ||||||||||||
Total Investments (Lifestyle Conservative PS Series) (Cost $182,781,469) – 100.0% | $ | 186,991,068 | 100.0 | % | ||||||||||
Other assets and liabilities, net – 0.0% | (21,437 | ) | 0.0 | % | ||||||||||
TOTAL NET ASSETS – 100.0% | $ | 186,969,631 | 100.0 | % |
JHAM | John Hancock Asset Management | |||||
(A) | The subadvisor is an affiliate of the advisor. | |||||
(G) | The portfolio’s subadvisor is shown parenthetically. | |||||
(1) | Manulife Asset Management (US) LLC is doing business as John Hancock Asset Management. |
Shares or Principal Amount | Value | | % of Net Assets | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
AFFILIATED INVESTMENT COMPANIES (G) – 100.0% | ||||||||||||||
Equity – 70.9% | �� | |||||||||||||
Strategic Equity Allocation, Series NAV (JHAM) (A)(1) | 122,869,632 | $ | 2,286,603,859 | 70.9 | % | |||||||||
Fixed income – 29.1% | ||||||||||||||
Bond, Series NAV (JHAM) (A)(1) | 68,770,258 | 938,714,020 | 29.1 | % | ||||||||||
TOTAL AFFILIATED INVESTMENT COMPANIES (Cost $2,989,013,321) | $ | 3,225,317,879 | ||||||||||||
COMMON STOCKS – 0.0% | ||||||||||||||
Information technology – 0.0% | ||||||||||||||
CEVA Holdings LLC (I) | 1,115 | 228,589 | 0.0 | % | ||||||||||
TOTAL COMMON STOCKS (Cost $362,398) | $ | 228,589 | ||||||||||||
PREFERRED SECURITIES – 0.0% | ||||||||||||||
Information technology – 0.0% | ||||||||||||||
CEVA Holdings LLC, Series A1 (I) | 31 | 11,703 | 0.0 | % | ||||||||||
CEVA Holdings LLC, Series A2 (I) | 1,068 | 234,986 | 0.0 | % | ||||||||||
TOTAL PREFERRED SECURITIES (Cost $355,664) | $ | 246,689 | ||||||||||||
SHORT-TERM INVESTMENTS – 0.0% | ||||||||||||||
Money market funds – 0.0% | ||||||||||||||
State Street Institutional Treasury Money Market Fund, Premier Class, 0.8262% (Y) | 20 | 20 | 0.0 | % | ||||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $20) | $ | 20 | ||||||||||||
Total Investments (Lifestyle Growth PS Series) (Cost $2,989,731,403) – 100.0% | $ | 3,225,793,177 | 100.0 | % | ||||||||||
Other assets and liabilities, net – 0.0% | 3,698 | 0.0 | % | |||||||||||
TOTAL NET ASSETS – 100.0% | $ | 3,225,796,875 | 100.0 | % |
JHAM | John Hancock Asset Management | |||||
(A) | The subadvisor is an affiliate of the advisor. | |||||
(G) | The portfolio’s subadvisor is shown parenthetically. | |||||
(I) | Non-income producing security. | |||||
(Y) | The rate shown is the annualized seven-day yield as of 6-30-17. | |||||
(1) | Manulife Asset Management (US) LLC is doing business as John Hancock Asset Management. |
Shares or Principal Amount | Value | | % of Net Assets | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
AFFILIATED INVESTMENT COMPANIES (G) – 100.0% | ||||||||||||||
Equity – 40.0% | ||||||||||||||
Strategic Equity Allocation, Series NAV (JHAM) (A)(1) | 6,967,483 | $ | 129,664,866 | 40.0 | % | |||||||||
Fixed income – 60.0% | ||||||||||||||
Bond, Series NAV (JHAM) (A)(1) | 14,238,003 | 194,348,735 | 60.0 | % | ||||||||||
TOTAL AFFILIATED INVESTMENT COMPANIES (Cost $310,227,416) | $ | 324,013,601 | ||||||||||||
Total Investments (Lifestyle Moderate PS Series) (Cost $310,227,416) – 100.0% | $ | 324,013,601 | 100.0 | % | ||||||||||
Other assets and liabilities, net – 0.0% | (22,435 | ) | 0.0 | % | ||||||||||
TOTAL NET ASSETS – 100.0% | $ | 323,991,166 | 100.0 | % |
JHAM | John Hancock Asset Management | |||||
(A) | The subadvisor is an affiliate of the advisor. | |||||
(G) | The portfolio’s subadvisor is shown parenthetically. | |||||
(1) | Manulife Asset Management (US) LLC is doing business as John Hancock Asset Management. |
Shares or Principal Amount | Value | | % of Net Assets | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMON STOCKS – 97.4% | ||||||||||||||
Consumer discretionary – 11.4% | ||||||||||||||
Domino’s Pizza, Inc. | 30,698 | $ | 6,493,548 | 0.6 | % | |||||||||
NVR, Inc. (I) | 2,225 | 5,363,607 | 0.5 | % | ||||||||||
Panera Bread Company, Class A (I) | 13,618 | 4,284,768 | 0.4 | % | ||||||||||
OTHER SECURITIES | 107,309,943 | 9.9 | % | |||||||||||
123,451,866 | ||||||||||||||
Consumer staples – 3.6% | ||||||||||||||
Ingredion, Inc. | 45,753 | 5,454,215 | 0.5 | % | ||||||||||
OTHER SECURITIES | 33,816,150 | 3.1 | % | |||||||||||
39,270,365 | ||||||||||||||
Energy – 2.9% | 31,285,633 | 2.9 | % | |||||||||||
Financials – 16.0% | ||||||||||||||
Alleghany Corp. (I) | 9,855 | 5,861,754 | 0.5 | % | ||||||||||
American Financial Group, Inc. | 46,992 | 4,669,595 | 0.4 | % | ||||||||||
East West Bancorp, Inc. | 92,228 | 5,402,716 | 0.5 | % | ||||||||||
MarketAxess Holdings, Inc. | 23,992 | 4,824,791 | 0.4 | % | ||||||||||
MSCI, Inc. | 57,797 | 5,952,513 | 0.6 | % | ||||||||||
Reinsurance Group of America, Inc. | 41,103 | 5,277,214 | 0.5 | % | ||||||||||
SEI Investments Company | 85,096 | 4,576,463 | 0.4 | % | ||||||||||
Signature Bank (I) | 34,267 | 4,918,343 | 0.5 | % | ||||||||||
SVB Financial Group (I) | 33,509 | 5,890,547 | 0.5 | % | ||||||||||
W.R. Berkley Corp. | 61,903 | 4,281,831 | 0.4 | % | ||||||||||
OTHER SECURITIES | 121,384,030 | 11.3 | % | |||||||||||
173,039,797 | ||||||||||||||
Health care – 8.9% | ||||||||||||||
ResMed, Inc. | 90,526 | 7,049,260 | 0.7 | % | ||||||||||
STERIS PLC | 54,215 | 4,418,523 | 0.4 | % | ||||||||||
Teleflex, Inc. | 28,712 | 5,965,205 | 0.5 | % | ||||||||||
VCA, Inc. (I) | 51,873 | 4,788,397 | 0.4 | % | ||||||||||
WellCare Health Plans, Inc. (I) | 28,401 | 5,099,684 | 0.5 | % | ||||||||||
West Pharmaceutical Services, Inc. | 46,951 | 4,437,809 | 0.4 | % | ||||||||||
OTHER SECURITIES | 64,458,790 | 6.0 | % | |||||||||||
96,217,668 |
Shares or Principal Amount | Value | | % of Net Assets | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMON STOCKS (continued) | ||||||||||||||
Industrials – 14.7% | ||||||||||||||
AO Smith Corp. | 94,009 | $ | 5,295,527 | 0.5 | % | |||||||||
Huntington Ingalls Industries, Inc. | 29,376 | 5,468,636 | 0.5 | % | ||||||||||
IDEX Corp. | 48,709 | 5,504,604 | 0.5 | % | ||||||||||
JetBlue Airways Corp. (I) | 212,989 | 4,862,539 | 0.5 | % | ||||||||||
Lennox International, Inc. | 24,516 | 4,502,118 | 0.4 | % | ||||||||||
ManpowerGroup, Inc. | 42,815 | 4,780,295 | 0.4 | % | ||||||||||
The Toro Company | 68,673 | 4,758,352 | 0.4 | % | ||||||||||
Wabtec Corp. (L) | 55,130 | 5,044,395 | 0.5 | % | ||||||||||
OTHER SECURITIES | 118,952,973 | 11.0 | % | |||||||||||
159,169,439 | ||||||||||||||
Information technology – 17.3% | ||||||||||||||
Arrow Electronics, Inc. (I) | 56,712 | 4,447,355 | 0.4 | % | ||||||||||
Broadridge Financial Solutions, Inc. | 75,052 | 5,670,929 | 0.5 | % | ||||||||||
Cadence Design Systems, Inc. (I) | 178,475 | 5,977,128 | 0.6 | % | ||||||||||
CDK Global, Inc. | 92,680 | 5,751,721 | 0.5 | % | ||||||||||
Cognex Corp. | 55,308 | 4,695,649 | 0.4 | % | ||||||||||
Jack Henry & Associates, Inc. | 49,566 | 5,148,420 | 0.5 | % | ||||||||||
Keysight Technologies, Inc. (I) | 117,897 | 4,589,730 | 0.4 | % | ||||||||||
Leidos Holdings, Inc. | 91,589 | 4,734,235 | 0.4 | % | ||||||||||
Take-Two Interactive Software, Inc. (I) | 66,284 | 4,863,920 | 0.5 | % | ||||||||||
Trimble, Inc. (I) | 161,428 | 5,758,137 | 0.5 | % | ||||||||||
OTHER SECURITIES | 135,881,467 | 12.6 | % | |||||||||||
187,518,691 | ||||||||||||||
Materials – 7.4% | ||||||||||||||
Packaging Corp. of America | 60,134 | 6,698,326 | 0.6 | % | ||||||||||
RPM International, Inc. | 85,268 | 4,651,369 | 0.4 | % | ||||||||||
Steel Dynamics, Inc. | 154,339 | 5,526,880 | 0.5 | % | ||||||||||
The Chemours Company | 117,748 | 4,465,004 | 0.4 | % | ||||||||||
OTHER SECURITIES | 58,878,666 | 5.5 | % | |||||||||||
80,220,245 | ||||||||||||||
Real estate – 9.6% | ||||||||||||||
Camden Property Trust | 55,943 | 4,783,686 | 0.4 | % | ||||||||||
Duke Realty Corp. | 226,983 | 6,344,175 | 0.6 | % | ||||||||||
Kilroy Realty Corp. | 62,735 | 4,714,535 | 0.4 | % | ||||||||||
OTHER SECURITIES | 88,058,916 | 8.2 | % | |||||||||||
103,901,312 | ||||||||||||||
COMMON STOCKS (continued) | ||||||||||||||
Telecommunication services – 0.2% | $ | 2,530,099 | ||||||||||||
Utilities – 5.4% | ||||||||||||||
Atmos Energy Corp. | 67,212 | 5,575,235 | 0.5 | % | ||||||||||
OGE Energy Corp. | 127,475 | 4,434,855 | 0.4 | % | ||||||||||
UGI Corp. | 110,507 | 5,349,644 | 0.5 | % | ||||||||||
Westar Energy, Inc. | 90,670 | 4,807,323 | 0.4 | % | ||||||||||
OTHER SECURITIES | 37,810,718 | 3.6 | % | |||||||||||
57,977,775 | ||||||||||||||
TOTAL COMMON STOCKS (Cost $765,501,377) | $ | 1,054,582,890 | ||||||||||||
RIGHTS – 0.0% | ||||||||||||||
TOTAL RIGHTS (Cost $8,929) | $ | 2,679 | ||||||||||||
SECURITIES LENDING COLLATERAL – 4.0% | ||||||||||||||
John Hancock Collateral Trust, 1.1508% (W)(Y) | 4,298,888 | 43,014,239 | 4.0 | % | ||||||||||
TOTAL SECURITIES LENDING COLLATERAL (Cost $43,016,645) | $ | 43,014,239 | ||||||||||||
SHORT-TERM INVESTMENTS – 2.8% | ||||||||||||||
Repurchase agreement – 2.8% | ||||||||||||||
Repurchase Agreement with State Street Corp. dated 06/30/2017 at 0.340% to be repurchased at $29,870,846 on 07/03/2017, collateralized by $31,110,000 U.S. Treasury Inflation Indexed Bonds, 0.875% due 02/15/2047 (valued at $30,471,623, including interest) | $ | 29,870,000 | 29,870,000 | 2.8 | % | |||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $29,870,000) | $ | 29,870,000 | ||||||||||||
Total Investments (Mid Cap Index Trust) (Cost $838,396,951) – 104.2% | $ | 1,127,469,808 | 104.2 | % | ||||||||||
Other assets and liabilities, net – (4.2%) | (45,111,701 | ) | (4.2 | )% | ||||||||||
TOTAL NET ASSETS – 100.0% | $ | 1,082,358,107 | 100.0 | % |
(I) | Non-income producing security. | |||||
(L) | A portion of this security is on loan as of 6-30-17. | |||||
(W) | Investment is an affiliate of the fund, the advisor and/or subadvisor. This security represents the investment of cash collateral received for securities lending. | |||||
(Y) | The rate shown is the annualized seven-day yield as of 6-30-17. |
Open contracts | | Number of contracts | | Position | | Expiration date | | Notional basis* | | Notional value* | | Unrealized appreciation (depreciation) | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
S&P Mid 400 Index E-Mini Futures | 174 | Long | Sep 2017 | $ | 30,461,459 | $ | 30,382,140 | ($79,319 | ) | |||||||||||||||||
($79,319 | ) |
Shares or Principal Amount | Value | | % of Net Assets | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMON STOCKS – 88.5% | ||||||||||||||
Consumer discretionary – 12.3% | ||||||||||||||
Dave & Buster’s Entertainment, Inc. (I) | 109,732 | $ | 7,298,275 | 1.0 | % | |||||||||
Hilton Worldwide Holdings, Inc. | 270,143 | 16,708,345 | 2.3 | % | ||||||||||
Melco Resorts & Entertainment, Ltd., ADR | 503,610 | 11,306,045 | 1.6 | % | ||||||||||
Netflix, Inc. (I) | 54,812 | 8,189,461 | 1.2 | % | ||||||||||
Tesla, Inc. (I)(L) | 19,155 | 6,926,640 | 1.0 | % | ||||||||||
Ulta Salon Cosmetics & Fragrance, Inc. (I) | 83,186 | 23,902,665 | 3.3 | % | ||||||||||
Wayfair, Inc., Class A (I) | 170,400 | 13,100,352 | 1.8 | % | ||||||||||
OTHER SECURITIES | 1,071,465 | 0.1 | % | |||||||||||
88,503,248 | ||||||||||||||
Consumer staples – 2.5% | ||||||||||||||
Monster Beverage Corp. (I) | 356,060 | 17,689,061 | 2.5 | % | ||||||||||
Energy – 2.2% | ||||||||||||||
Baker Hughes, Inc. | 122,288 | 6,665,919 | 0.9 | % | ||||||||||
OTHER SECURITIES | 8,941,077 | 1.3 | % | |||||||||||
15,606,996 | ||||||||||||||
Financials – 5.8% | ||||||||||||||
Synchrony Financial | 285,127 | 8,502,487 | 1.2 | % | ||||||||||
TD Ameritrade Holding Corp. | 390,471 | 16,786,348 | 2.3 | % | ||||||||||
OTHER SECURITIES | 16,670,002 | 2.3 | % | |||||||||||
41,958,837 | ||||||||||||||
Health care – 17.5% | ||||||||||||||
ABIOMED, Inc. (I) | 52,691 | 7,550,620 | 1.0 | % | ||||||||||
Align Technology, Inc. (I) | 67,302 | 10,103,376 | 1.4 | % | ||||||||||
DexCom, Inc. (I)(L) | 99,177 | 7,254,798 | 1.0 | % | ||||||||||
Edwards Lifesciences Corp. (I) | 125,818 | 14,876,720 | 2.1 | % | ||||||||||
Exact Sciences Corp. (I)(L) | 207,209 | 7,328,982 | 1.0 | % | ||||||||||
Hologic, Inc. (I) | 312,934 | 14,200,945 | 2.0 | % | ||||||||||
Insulet Corp. (I) | 275,265 | 14,123,847 | 1.9 | % | ||||||||||
Intuitive Surgical, Inc. (I) | 15,489 | 14,487,946 | 2.0 | % | ||||||||||
Ionis Pharmaceuticals, Inc. (I)(L) | 139,077 | 7,074,847 | 1.0 | % | ||||||||||
Veeva Systems, Inc., Class A (I) | 117,980 | 7,233,354 | 1.0 | % | ||||||||||
OTHER SECURITIES | 22,037,068 | 3.1 | % | |||||||||||
126,272,503 | ||||||||||||||
Industrials – 10.6% | ||||||||||||||
AerCap Holdings NV (I) | 141,563 | 6,572,768 | 0.9 | % | ||||||||||
Clean Harbors, Inc. (I) | 161,045 | 8,991,142 | 1.2 | % | ||||||||||
Fastenal Company | 216,119 | 9,407,660 | 1.3 | % | ||||||||||
Rockwell Automation, Inc. | 47,967 | 7,768,735 | 1.1 | % | ||||||||||
The Middleby Corp. (I) | 121,596 | 14,775,130 | 2.0 | % | ||||||||||
TransUnion (I) | 264,887 | 11,472,256 | 1.6 | % | ||||||||||
OTHER SECURITIES | 17,738,410 | 2.5 | % | |||||||||||
76,726,101 | ||||||||||||||
Information technology – 33.9% | ||||||||||||||
Advanced Micro Devices, Inc. (I)(L) | 1,373,171 | 17,137,174 | 2.4 | % | ||||||||||
Applied Materials, Inc. | 171,267 | 7,075,040 | 1.0 | % | ||||||||||
Arista Networks, Inc. (I)(L) | 112,421 | 16,839,542 | 2.3 | % | ||||||||||
Autodesk, Inc. (I) | 157,522 | 15,881,368 | 2.2 | % | ||||||||||
CoStar Group, Inc. (I) | 63,911 | 16,846,940 | 2.3 | % | ||||||||||
Global Payments, Inc. | 90,095 | 8,137,380 | 1.1 | % | ||||||||||
GoDaddy, Inc., Class A (I) | 246,866 | 10,472,056 | 1.5 | % | ||||||||||
Guidewire Software, Inc. (I) | 225,555 | 15,497,884 | 2.1 | % | ||||||||||
Microchip Technology, Inc. | 191,052 | 14,745,393 | 2.0 | % | ||||||||||
Micron Technology, Inc. (I) | 222,439 | 6,642,029 | 0.9 | % | ||||||||||
NVIDIA Corp. | 83,610 | 12,086,662 | 1.7 | % | ||||||||||
ServiceNow, Inc. (I) | 238,524 | 25,283,544 | 3.5 | % | ||||||||||
The Ultimate Software Group, Inc. (I)(L) | 62,897 | �� | 13,212,144 | 1.8 | % | |||||||||
Workday, Inc., Class A (I) | 261,555 | 25,370,835 | 3.5 | % | ||||||||||
Zebra Technologies Corp., Class A (I) | 69,010 | 6,936,885 | 1.0 | % | ||||||||||
Zillow Group, Inc., Class C (I)(L) | 412,668 | 20,224,859 | 2.8 | % | ||||||||||
OTHER SECURITIES | 12,677,017 | 1.8 | % | |||||||||||
245,066,752 | ||||||||||||||
COMMON STOCKS (continued) | ||||||||||||||
Materials – 3.6% | ||||||||||||||
International Paper Company | 186,219 | $ | 10,541,858 | 1.5 | % | |||||||||
Packaging Corp. of America | 67,896 | 7,562,935 | 1.0 | % | ||||||||||
Platform Specialty Products Corp. (I) | 635,923 | 8,063,504 | 1.1 | % | ||||||||||
26,168,297 | ||||||||||||||
Real estate – 0.1% | ||||||||||||||
WeWork Companies, Inc., Class A (I)(R) | 18,198 | 942,838 | 0.1 | % | ||||||||||
TOTAL COMMON STOCKS (Cost $535,309,337) | $ | 638,934,633 | ||||||||||||
PREFERRED SECURITIES – 8.4% | ||||||||||||||
Consumer discretionary – 1.1% | 7,649,861 | 1.1 | % | |||||||||||
Industrials – 0.5% | 3,774,642 | 0.5 | % | |||||||||||
Information technology – 5.3% | ||||||||||||||
Uber Technologies, Inc. (I)(R) | 584,504 | 24,233,536 | 3.4 | % | ||||||||||
OTHER SECURITIES | 13,705,646 | 1.9 | % | |||||||||||
37,939,182 | ||||||||||||||
Real estate – 1.5% | ||||||||||||||
WeWork Companies, Inc., Series D1 (I)(R) | 90,446 | 4,686,007 | 0.6 | % | ||||||||||
WeWork Companies, Inc., Series D2 (I)(R) | 71,065 | 3,681,878 | 0.5 | % | ||||||||||
OTHER SECURITIES | 2,607,517 | 0.4 | % | |||||||||||
10,975,402 | ||||||||||||||
TOTAL PREFERRED SECURITIES (Cost $36,568,573) | $ | 60,339,087 | ||||||||||||
EXCHANGE-TRADED FUNDS – 2.0% | ||||||||||||||
iShares Russell Mid-Cap Growth ETF | 136,245 | 14,723,997 | 2.0 | % | ||||||||||
TOTAL EXCHANGE-TRADED FUNDS (Cost $14,681,748) | $ | 14,723,997 | ||||||||||||
SECURITIES LENDING COLLATERAL – 8.7% | ||||||||||||||
John Hancock Collateral Trust, 1.1508% (W)(Y) | 6,307,615 | 63,113,363 | 8.7 | % | ||||||||||
TOTAL SECURITIES LENDING COLLATERAL (Cost $63,113,726) | $ | 63,113,363 | ||||||||||||
SHORT-TERM INVESTMENTS – 2.4% | ||||||||||||||
Repurchase agreement – 2.4% | ||||||||||||||
Deutsche Bank Tri-Party Repurchase Agreement dated 06/30/2017 at 1.120% to be repurchased at $17,501,633 on 07/03/2017, collateralized by $16,705,400 U.S. Treasury Notes, 3.625% due 02/15/2020 (valued at $17,850,031, including interest) | $ | 17,500,000 | 17,500,000 | 2.4 | % | |||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $17,500,000) | $ | 17,500,000 | ||||||||||||
Total Investments (Mid Cap Stock Trust) (Cost $667,173,384) – 110.0% | $ | 794,611,080 | 110.0 | % | ||||||||||
Other assets and liabilities, net – (10.0%) | (72,265,699 | ) | (10.0 | )% | ||||||||||
TOTAL NET ASSETS – 100.0% | $ | 722,345,381 | 100.0 | % |
ADR | American Depositary Receipts | |||||
(I) | Non-income producing security. | |||||
(L) | A portion of this security is on loan as of 6-30-17. | |||||
(R) | Direct placement securities are restricted as to resale, and the fund has limited rights to registration under the Securities Act of 1933. For more information on this security refer to the Notes to financial statements. | |||||
(W) | Investment is an affiliate of the fund, the advisor and/or subadvisor. This security represents the investment of cash collateral received for securities lending. | |||||
(Y) | The rate shown is the annualized seven-day yield as of 6-30-17. |
Shares or Principal Amount | Value | | % of Net Assets | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMON STOCKS – 91.4% | ||||||||||||||
Consumer discretionary – 7.9% | ||||||||||||||
Mattel, Inc. | 399,000 | $ | 8,590,470 | 1.1 | % | |||||||||
News Corp., Class A | 984,900 | 13,493,130 | 1.6 | % | ||||||||||
Ralph Lauren Corp. | 91,082 | 6,721,852 | 0.8 | % | ||||||||||
Strayer Education, Inc. | 91,079 | 8,490,384 | 1.0 | % | ||||||||||
Viacom, Inc., Class B | 443,100 | 14,874,867 | 1.8 | % | ||||||||||
OTHER SECURITIES | 13,105,351 | 1.6 | % | |||||||||||
65,276,054 | ||||||||||||||
Consumer staples – 9.3% | ||||||||||||||
Archer-Daniels-Midland Company | 180,500 | 7,469,090 | 0.9 | % | ||||||||||
Bunge, Ltd. | 250,510 | 18,688,046 | 2.3 | % | ||||||||||
Carlsberg A/S, Class B | 97,495 | 10,418,838 | 1.3 | % | ||||||||||
Edgewell Personal Care Company (I) | 115,532 | 8,782,743 | 1.1 | % | ||||||||||
Flowers Foods, Inc. | 434,772 | 7,525,903 | 0.9 | % | ||||||||||
The Kroger Company | 339,700 | 7,921,804 | 0.9 | % | ||||||||||
OTHER SECURITIES | 16,056,404 | 1.9 | % | |||||||||||
76,862,828 | ||||||||||||||
Energy – 9.3% | ||||||||||||||
Apache Corp. | 260,000 | 12,461,800 | 1.5 | % | ||||||||||
EQT Corp. | 288,200 | 16,885,638 | 2.1 | % | ||||||||||
Hess Corp. | 315,783 | 13,853,400 | 1.7 | % | ||||||||||
Murphy Oil Corp. | 497,588 | 12,753,180 | 1.5 | % | ||||||||||
OTHER SECURITIES | 20,405,815 | 2.5 | % | |||||||||||
76,359,833 | ||||||||||||||
Financials – 21.2% | ||||||||||||||
Ally Financial, Inc. | 302,141 | 6,314,747 | 0.8 | % | ||||||||||
Brown & Brown, Inc. | 170,559 | 7,345,976 | 0.9 | % | ||||||||||
CNA Financial Corp. | 213,956 | 10,430,355 | 1.3 | % | ||||||||||
Fifth Third Bancorp | 546,410 | 14,184,804 | 1.7 | % | ||||||||||
First Horizon National Corp. | 571,311 | 9,952,238 | 1.2 | % | ||||||||||
Lazard, Ltd., Class A (L) | 134,400 | 6,226,752 | 0.8 | % | ||||||||||
Leucadia National Corp. | 648,067 | 16,953,433 | 2.0 | % | ||||||||||
Loews Corp. | 257,168 | 12,038,034 | 1.5 | % | ||||||||||
Marsh & McLennan Companies, Inc. | 111,400 | 8,684,744 | 1.0 | % | ||||||||||
Northern Trust Corp. | 142,200 | 13,823,262 | 1.7 | % | ||||||||||
Synchrony Financial | 440,195 | 13,126,615 | 1.6 | % | ||||||||||
The Progressive Corp. | 174,428 | 7,690,531 | 0.9 | % | ||||||||||
Voya Financial, Inc. | 172,300 | 6,356,147 | 0.8 | % | ||||||||||
White Mountains Insurance Group, Ltd. | 10,628 | 9,231,800 | 1.1 | % | ||||||||||
OTHER SECURITIES | 32,211,452 | 3.9 | % | |||||||||||
174,570,890 | ||||||||||||||
Health care – 12.7% | ||||||||||||||
Alkermes PLC (I) | 191,305 | 11,089,951 | 1.4 | % | ||||||||||
Baxter International, Inc. | 233,524 | 14,137,543 | 1.7 | % | ||||||||||
Hologic, Inc. (I) | 269,993 | 12,252,282 | 1.5 | % | ||||||||||
Perrigo Company PLC | 172,700 | 13,042,304 | 1.6 | % | ||||||||||
Select Medical Holdings Corp. (I) | 686,088 | 10,531,451 | 1.3 | % | ||||||||||
Zimmer Biomet Holdings, Inc. | 50,700 | 6,509,880 | 0.8 | % | ||||||||||
Zoetis, Inc. | 137,140 | 8,554,793 | 1.0 | % | ||||||||||
OTHER SECURITIES | 28,521,504 | 3.4 | % | |||||||||||
104,639,708 | ||||||||||||||
Industrial – 8.8% | ||||||||||||||
C.H. Robinson Worldwide, Inc. (L) | 261,058 | 17,929,462 | 2.2 | % | ||||||||||
Textron, Inc. | 419,035 | 19,736,549 | 2.4 | % | ||||||||||
Xylem, Inc. | 135,200 | 7,494,136 | 0.9 | % | ||||||||||
OTHER SECURITIES | 27,769,006 | 3.3 | % | |||||||||||
72,929,153 | ||||||||||||||
Information technology – 2.7% | ||||||||||||||
Marvell Technology Group, Ltd. | 561,483 | 9,275,699 | 1.1 | % | ||||||||||
OTHER SECURITIES | 12,928,436 | 1.6 | % | |||||||||||
22,204,135 | ||||||||||||||
Materials – 7.4% | ||||||||||||||
Franco-Nevada Corp. | 163,813 | 11,819,851 | 1.4 | % | ||||||||||
COMMON STOCKS (continued) | ||||||||||||||
Materials (continued) | ||||||||||||||
Newmont Mining Corp. | 524,673 | $ | 16,994,158 | 2.1 | % | |||||||||
Vulcan Materials Company | 93,007 | 11,782,127 | 1.4 | % | ||||||||||
OTHER SECURITIES | 20,459,202 | 2.5 | % | |||||||||||
61,055,338 | ||||||||||||||
Real estate – 7.3% | ||||||||||||||
Equity Commonwealth (I) | 240,862 | 7,611,239 | 0.9 | % | ||||||||||
Equity Residential | 106,400 | 7,004,312 | 0.9 | % | ||||||||||
Rayonier, Inc. | 532,300 | 15,314,271 | 1.9 | % | ||||||||||
Realogy Holdings Corp. | 307,700 | 9,984,865 | 1.2 | % | ||||||||||
OTHER SECURITIES | 20,274,321 | 2.4 | % | |||||||||||
60,189,008 | ||||||||||||||
Telecommunication services – 0.3% | 2,523,474 | 0.3 | % | |||||||||||
Utilities – 4.5% | ||||||||||||||
FirstEnergy Corp. | 638,872 | 18,629,508 | 2.3 | % | ||||||||||
NRG Energy, Inc. | 733,800 | 12,636,036 | 1.5 | % | ||||||||||
OTHER SECURITIES | 6,242,523 | 0.7 | % | |||||||||||
37,508,067 | ||||||||||||||
TOTAL COMMON STOCKS (Cost $641,357,811) | $ | 754,118,488 | ||||||||||||
SECURITIES LENDING COLLATERAL – 3.3% | ||||||||||||||
John Hancock Collateral Trust, 1.1508% (W)(Y) | 2,709,123 | 27,107,211 | 3.3 | % | ||||||||||
TOTAL SECURITIES LENDING COLLATERAL (Cost $27,108,473) | $ | 27,107,211 | ||||||||||||
SHORT-TERM INVESTMENTS – 9.1% | ||||||||||||||
Money market funds – 9.1% | ||||||||||||||
T. Rowe Price Government Money Fund, 0.9816% (Y) | 72,717,347 | 72,717,347 | 8.8 | % | ||||||||||
OTHER SECURITIES | 2,500,009 | 0.3 | % | |||||||||||
75,217,356 | ||||||||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $75,217,356) | $ | 75,217,356 | ||||||||||||
Total Investments (Mid Value Trust) (Cost $743,683,640) – 103.8% | $ | 856,443,055 | 103.8 | % | ||||||||||
Other assets and liabilities, net – (3.8%) | (31,080,389 | ) | (3.8 | )% | ||||||||||
TOTAL NET ASSETS – 100.0% | $ | 825,362,666 | 100.0 | % |
(I) | Non-income producing security. | |||||
(L) | A portion of this security is on loan as of 6-30-17. | |||||
(W) | Investment is an affiliate of the fund, the advisor and/or subadvisor. This security represents the investment of cash collateral received for securities lending. | |||||
(Y) | The rate shown is the annualized seven-day yield as of 6-30-17. |
Shares or Principal Amount | Value | | % of Net Assets | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMON STOCKS – 87.8% | ||||||||||||||
Consumer discretionary – 7.7% | ||||||||||||||
Charter Communications, Inc., Class A (I) | 9,108 | $ | 3,068,030 | 1.8 | % | |||||||||
DISH Network Corp., Class A (I) | 30,442 | 1,910,540 | 1.1 | % | ||||||||||
General Motors Company | 62,259 | 2,174,707 | 1.3 | % | ||||||||||
Sky PLC | 134,119 | 1,736,992 | 1.0 | % | ||||||||||
Time Warner, Inc. | 35,343 | 3,548,791 | 2.0 | % | ||||||||||
OTHER SECURITIES | 959,094 | 0.5 | % | |||||||||||
13,398,154 |
Shares or Principal Amount | Value | | % of Net Assets | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMON STOCKS (continued) | |||||||||||||||||
Consumer staples – 9.3% | |||||||||||||||||
British American Tobacco PLC | 46,369 | $ | 3,159,717 | 1.8 | % | ||||||||||||
CVS Health Corp. | 33,608 | 2,704,100 | 1.6 | % | |||||||||||||
Reynolds American, Inc. | 33,096 | 2,152,564 | 1.2 | % | |||||||||||||
The Kroger Company | 86,775 | 2,023,593 | 1.2 | % | |||||||||||||
Walgreens Boots Alliance, Inc. | 25,416 | 1,990,327 | 1.1 | % | |||||||||||||
OTHER SECURITIES | 4,080,807 | 2.4 | % | ||||||||||||||
16,111,108 | |||||||||||||||||
Energy – 8.7% | |||||||||||||||||
Baker Hughes, Inc. | 39,587 | 2,157,887 | 1.3 | % | |||||||||||||
Kinder Morgan, Inc. | 128,151 | 2,455,373 | 1.4 | % | |||||||||||||
Royal Dutch Shell PLC, A Shares | 34,560 | 918,214 | 0.5 | % | |||||||||||||
Royal Dutch Shell PLC, A Shares (Amsterdam Stock Exchange) | 76,297 | 2,028,729 | 1.2 | % | |||||||||||||
The Williams Companies, Inc. | 71,784 | 2,173,620 | 1.3 | % | |||||||||||||
OTHER SECURITIES | 5,358,504 | 3.0 | % | ||||||||||||||
15,092,327 | |||||||||||||||||
Financials – 21.4% | |||||||||||||||||
Alleghany Corp. (I) | 4,232 | 2,517,194 | 1.5 | % | |||||||||||||
American International Group, Inc. | 53,465 | 3,342,632 | 1.9 | % | |||||||||||||
Chubb, Ltd. | 12,553 | 1,824,955 | 1.1 | % | |||||||||||||
Citigroup, Inc. | 35,995 | 2,407,346 | 1.4 | % | |||||||||||||
Citizens Financial Group, Inc. | 75,154 | 2,681,495 | 1.5 | % | |||||||||||||
FCB Financial Holdings, Inc., Class A (I) | 60,504 | 2,889,066 | 1.7 | % | |||||||||||||
JPMorgan Chase & Co. | 30,286 | 2,768,140 | 1.6 | % | |||||||||||||
MetLife, Inc. | 38,150 | 2,095,961 | 1.2 | % | |||||||||||||
The PNC Financial Services Group, Inc. | 21,601 | 2,697,317 | 1.6 | % | |||||||||||||
Wells Fargo & Company | 27,410 | 1,518,788 | 0.9 | % | |||||||||||||
White Mountains Insurance Group, Ltd. | 2,676 | 2,324,454 | 1.3 | % | |||||||||||||
XL Group, Ltd. | 65,310 | 2,860,578 | 1.6 | % | |||||||||||||
OTHER SECURITIES | 7,158,357 | 4.1 | % | ||||||||||||||
37,086,283 | |||||||||||||||||
Health care – 13.1% | |||||||||||||||||
Eli Lilly & Company | 48,749 | 4,012,043 | 2.3 | % | |||||||||||||
Medtronic PLC | 67,515 | 5,991,956 | 3.4 | % | |||||||||||||
Merck & Company, Inc. | 73,050 | 4,681,775 | 2.7 | % | |||||||||||||
Novartis AG, ADR | 41,063 | 3,427,529 | 2.0 | % | |||||||||||||
Stryker Corp. | 19,632 | 2,724,529 | 1.6 | % | |||||||||||||
Teva Pharmaceutical Industries, Ltd., ADR | 58,161 | 1,932,108 | 1.1 | % | |||||||||||||
22,769,940 | |||||||||||||||||
Industrials – 6.0% | |||||||||||||||||
Caterpillar, Inc. | 17,963 | 1,930,304 | 1.1 | % | |||||||||||||
General Electric Company | 94,100 | 2,541,641 | 1.4 | % | |||||||||||||
RELX PLC | 67,492 | 1,458,974 | 0.8 | % | |||||||||||||
Sensata Technologies Holding NV (I)(L) | 44,107 | 1,884,246 | 1.1 | % | |||||||||||||
OTHER SECURITIES | 2,692,518 | 1.6 | % | ||||||||||||||
10,507,683 | |||||||||||||||||
Information technology – 11.9% | |||||||||||||||||
CA, Inc. | 55,437 | 1,910,913 | 1.1 | % | |||||||||||||
Cisco Systems, Inc. | 89,632 | 2,805,482 | 1.6 | % | |||||||||||||
Cognizant Technology Solutions Corp., Class A | 33,368 | 2,215,635 | 1.3 | % | |||||||||||||
Microsoft Corp. | 51,238 | 3,531,835 | 2.0 | % | |||||||||||||
Nokia OYJ | 140,573 | 861,955 | 0.5 | % | |||||||||||||
Nokia OYJ, ADR | 129,511 | 797,788 | 0.5 | % | |||||||||||||
Samsung Electronics Company, Ltd. | 1,231 | 2,563,952 | 1.5 | % | |||||||||||||
Symantec Corp. | 125,457 | 3,544,160 | 2.0 | % | |||||||||||||
OTHER SECURITIES | 2,351,823 | 1.4 | % | ||||||||||||||
20,583,543 | |||||||||||||||||
COMMON STOCKS (continued) | |||||||||||||||||
Materials – 5.1% | |||||||||||||||||
International Paper Company | 38,924 | $ | 2,203,488 | 1.3 | % | ||||||||||||
Monsanto Company | 15,930 | 1,885,475 | 1.1 | % | |||||||||||||
OTHER SECURITIES | 4,700,303 | 2.7 | % | ||||||||||||||
8,789,266 | |||||||||||||||||
Real estate – 1.5% | 2,620,178 | 1.5 | % | ||||||||||||||
Telecommunication services – 1.2% | 2,020,927 | 1.2 | % | ||||||||||||||
Utilities – 1.9% | |||||||||||||||||
Vistra Energy Corp. (L) | 195,183 | 3,277,123 | 1.9 | % | |||||||||||||
TOTAL COMMON STOCKS (Cost $131,721,132) | $ | 152,256,532 | |||||||||||||||
CORPORATE BONDS – 2.9% | |||||||||||||||||
Consumer discretionary – 1.8% | |||||||||||||||||
iHeartCommunications, Inc. 9.000%, 12/15/2019 | $ | 3,977,000 | 3,121,945 | 1.8 | % | ||||||||||||
OTHER SECURITIES | — | 0.0 | % | ||||||||||||||
3,121,945 | |||||||||||||||||
Health care – 0.5% | 777,778 | 0.5 | % | ||||||||||||||
Materials – 0.0% | 68 | 0.0 | % | ||||||||||||||
Telecommunication services – 0.6% | 1,046,326 | 0.6 | % | ||||||||||||||
TOTAL CORPORATE BONDS (Cost $6,721,940) | $ | 4,946,117 | |||||||||||||||
MUNICIPAL BONDS – 0.9% | |||||||||||||||||
Commonwealth of Puerto Rico, Series A 8.000%, 07/01/2035 (H) | 2,626,000 | 1,592,013 | 0.9 | % | |||||||||||||
TOTAL MUNICIPAL BONDS (Cost $2,314,824) | $ | 1,592,013 | |||||||||||||||
ESCROW CERTIFICATES – 0.0% | |||||||||||||||||
Information technology – 0.0% | 10,320 | 0.0 | % | ||||||||||||||
TOTAL ESCROW CERTIFICATES (Cost $3,316) | $ | 10,320 | |||||||||||||||
RIGHTS – 0.1% | |||||||||||||||||
TOTAL RIGHTS (Cost $864,691) | $ | 204,942 | |||||||||||||||
SECURITIES LENDING COLLATERAL – 2.3% | |||||||||||||||||
John Hancock Collateral Trust, 1.1508% (W)(Y) | 402,765 | 4,030,024 | 2.3 | % | |||||||||||||
TOTAL SECURITIES LENDING COLLATERAL (Cost $4,029,978) | $ | 4,030,024 | |||||||||||||||
SHORT-TERM INVESTMENTS – 7.1% | |||||||||||||||||
U.S. Government – 3.5% | |||||||||||||||||
U.S. Treasury Bills 0.600%, 07/27/2017* | $ | 5,000,000 | 4,997,265 | 2.9 | % | ||||||||||||
U.S. Treasury Bills 0.615%, 08/10/2017* | 1,000,000 | 999,087 | 0.6 | % | |||||||||||||
5,996,352 | |||||||||||||||||
U.S. Government Agency – 3.6% | |||||||||||||||||
Federal Home Loan Bank Discount Note 0.900%, 07/03/2017* | 6,300,000 | 6,299,931 | 3.6 | % | |||||||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $12,296,858) | $ | 12,296,283 | |||||||||||||||
Total Investments (Mutual Shares Trust) (Cost $157,952,739) – 101.1% | $ | 175,336,231 | 101.1 | % | |||||||||||||
Other assets and liabilities, net – (1.1%) | (1,881,960 | ) | (1.1 | )% | |||||||||||||
TOTAL NET ASSETS – 100.0% | $ | 173,454,271 | 100.0 | % |
ADR | American Depositary Receipts | |||||
(H) | Non-income producing — Issuer is in default. | |||||
(I) | Non-income producing security. | |||||
(L) | A portion of this security is on loan as of 6-30-17. | |||||
(W) | Investment is an affiliate of the fund, the advisor and/or subadvisor. This security represents the investment of cash collateral received for securities lending. | |||||
(Y) | The rate shown is the annualized seven-day yield as of 6-30-17. | |||||
* | Yield represents either the annualized yield at the date of purchase, the stated coupon rate or, for floating rate securities, the rate at period end. |
Contract to buy | Contract to sell | | Counterparty (OTC) | | Contractual settlement date | | Unrealized appreciation | | Unrealized depreciation | | ||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
EUR | 17,895 | USD | 20,455 | Bank of America, N.A. | 8/18/2017 | $ | 29 | — | ||||||||||||||||||||||||
EUR | 17,898 | USD | 20,468 | State Street Bank and Trust Company | 8/18/2017 | 20 | — | |||||||||||||||||||||||||
EUR | 26,529 | USD | 30,322 | UBS AG | 8/18/2017 | 46 | — | |||||||||||||||||||||||||
EUR | 17,891 | USD | 20,439 | HSBC Bank PLC | 8/18/2017 | 42 | — | |||||||||||||||||||||||||
GBP | 301,439 | USD | 383,444 | Bank of America, N.A. | 7/13/2017 | 9,269 | — | |||||||||||||||||||||||||
GBP | 160,709 | USD | 206,529 | State Street Bank and Trust Company | 7/13/2017 | 2,842 | — | |||||||||||||||||||||||||
GBP | 94,825 | USD | 121,608 | UBS AG | 7/13/2017 | 1,930 | — | |||||||||||||||||||||||||
GBP | 62,509 | USD | 79,633 | HSBC Bank PLC | 7/13/2017 | 1,803 | — | |||||||||||||||||||||||||
KRW | 190,418,823 | USD | 168,664 | UBS AG | 7/14/2017 | — | ($2,220 | ) | ||||||||||||||||||||||||
KRW | 686,457,627 | USD | 610,784 | HSBC Bank PLC | 7/14/2017 | — | (10,751 | ) | ||||||||||||||||||||||||
USD | 9,355 | EUR | 8,320 | Bank of America, N.A. | 8/18/2017 | — | (170 | ) | ||||||||||||||||||||||||
USD | 3,483,843 | EUR | 3,114,136 | State Street Bank and Trust Company | 8/18/2017 | — | (80,994 | ) | ||||||||||||||||||||||||
USD | 3,399,435 | EUR | 3,038,134 | HSBC Bank PLC | 8/18/2017 | — | (78,401 | ) | ||||||||||||||||||||||||
USD | 132,966 | GBP | 102,104 | Bank of America, N.A. | 7/13/2017 | — | (54 | ) | ||||||||||||||||||||||||
USD | 9,440,818 | GBP | 7,240,366 | State Street Bank and Trust Company | 7/13/2017 | 8,140 | — | |||||||||||||||||||||||||
USD | 172,285 | GBP | 132,143 | UBS AG | 7/13/2017 | 129 | — | |||||||||||||||||||||||||
USD | 171,515 | GBP | 131,688 | HSBC Bank PLC | 7/13/2017 | — | (46 | ) | ||||||||||||||||||||||||
USD | 1,541,365 | KRW | 1,751,246,650 | UBS AG | 7/14/2017 | 10,600 | — | |||||||||||||||||||||||||
USD | 1,742,564 | KRW | 1,970,126,120 | HSBC Bank PLC | 7/14/2017 | 20,477 | — | |||||||||||||||||||||||||
$ | 55,327 | ($172,636 | ) |
EUR | Euro | |||||
GBP | British Pound | |||||
KRW | South Korean Won | |||||
USD | United States Dollar |
OTC | Over-the-counter |
Shares or Principal Amount | Value | | % of Net Assets | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMON STOCKS – 99.7% | ||||||||||||||
Consumer discretionary – 1.5% | ||||||||||||||
Extended Stay America, Inc. | 287,050 | $ | 5,557,288 | 1.5 | % | |||||||||
Information technology – 1.2% | ||||||||||||||
InterXion Holding NV (I) | 99,852 | 4,571,225 | 1.2 | % | ||||||||||
Real estate – 97.0% | ||||||||||||||
Agree Realty Corp. | 151,097 | 6,930,819 | 1.8 | % | ||||||||||
Alexandria Real Estate Equities, Inc. | 121,149 | 14,594,820 | 3.9 | % | ||||||||||
AvalonBay Communities, Inc. | 111,174 | 21,364,308 | 5.7 | % | ||||||||||
BGP Holdings PLC (I) | 194,291 | 3,551 | 0.0 | % | ||||||||||
Brixmor Property Group, Inc. | 341,831 | 6,111,938 | 1.6 | % | ||||||||||
Camden Property Trust | 154,386 | 13,201,547 | 3.5 | % | ||||||||||
CareTrust REIT, Inc. | 235,648 | 4,368,914 | 1.2 | % | ||||||||||
Colony NorthStar, Inc., Class A | 602,364 | 8,487,309 | 2.3 | % | ||||||||||
CoreSite Realty Corp. | 91,709 | 9,494,633 | 2.5 | % | ||||||||||
Corporate Office Properties Trust | 136,538 | 4,782,926 | 1.3 | % | ||||||||||
DiamondRock Hospitality Company | 104,626 | 1,145,655 | 0.3 | % | ||||||||||
Duke Realty Corp. | 473,526 | 13,235,052 | 3.5 | % | ||||||||||
EastGroup Properties, Inc. | 105,452 | 8,836,878 | 2.3 | % | ||||||||||
Empire State Realty Trust, Inc., Class A | 359,898 | 7,475,081 | 2.0 | % | ||||||||||
Equinix, Inc. | 41,118 | 17,646,201 | 4.7 | % | ||||||||||
COMMON STOCKS (continued) | ||||||||||||||
Real estate (continued) | ||||||||||||||
Equity LifeStyle Properties, Inc. | 102,922 | $ | 8,886,285 | 2.4 | % | |||||||||
Essex Property Trust, Inc. | 66,480 | 17,103,310 | 4.5 | % | ||||||||||
Four Corners Property Trust, Inc. | 311,463 | 7,820,836 | 2.1 | % | ||||||||||
Gaming and Leisure Properties, Inc. | 231,420 | 8,717,591 | 2.3 | % | ||||||||||
GGP, Inc. | 508,679 | 11,984,477 | 3.2 | % | ||||||||||
Healthcare Realty Trust, Inc. | 167,894 | 5,733,580 | 1.5 | % | ||||||||||
Hudson Pacific Properties, Inc. | 306,650 | 10,484,364 | 2.8 | % | ||||||||||
Invitation Homes, Inc. | 276,452 | 5,979,657 | 1.6 | % | ||||||||||
MGM Growth Properties LLC, Class A | 208,873 | 6,097,003 | 1.6 | % | ||||||||||
Pebblebrook Hotel Trust | 146,464 | 4,721,999 | 1.3 | % | ||||||||||
Pennsylvania Real Estate Investment Trust | 151,662 | 1,716,814 | 0.5 | % | ||||||||||
Piedmont Office Realty Trust, Inc., Class A | 213,033 | 4,490,736 | 1.2 | % | ||||||||||
Prologis, Inc. | 33,588 | 1,969,600 | 0.5 | % | ||||||||||
Public Storage | 85,147 | 17,755,704 | 4.7 | % | ||||||||||
Retail Properties of America, Inc., Class A | 461,046 | 5,629,372 | 1.5 | % | ||||||||||
Rexford Industrial Realty, Inc. | 336,850 | 9,243,164 | 2.5 | % |
Shares or Principal Amount | Value | | % of Net Assets | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMON STOCKS (continued) | ||||||||||||||
Real estate (continued) | ||||||||||||||
Senior Housing Properties Trust | 264,564 | $ | 5,407,688 | 1.4 | % | |||||||||
Simon Property Group, Inc. | 65,114 | 10,532,841 | 2.8 | % | ||||||||||
Sunstone Hotel Investors, Inc. | 549,529 | 8,858,407 | 2.3 | % | ||||||||||
The Macerich Company | 122,706 | 7,124,310 | 1.9 | % | ||||||||||
Urban Edge Properties | 270,617 | 6,421,741 | 1.7 | % | ||||||||||
Ventas, Inc. | 182,272 | 12,664,259 | 3.4 | % | ||||||||||
VEREIT, Inc. | 949,337 | 7,727,601 | 2.0 | % | ||||||||||
Vornado Realty Trust | 117,722 | 11,054,096 | 2.9 | % | ||||||||||
Weingarten Realty Investors | 192,407 | 5,791,451 | 1.5 | % | ||||||||||
Welltower, Inc. | 318,189 | 23,816,447 | 6.3 | % | ||||||||||
365,412,965 | ||||||||||||||
TOTAL COMMON STOCKS (Cost $368,031,960) | $ | 375,541,478 | ||||||||||||
SHORT-TERM INVESTMENTS – 0.3% | ||||||||||||||
Money market funds – 0.3% | ||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class, 0.8844% (Y) | 973,450 | 973,450 | 0.3 | % | ||||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $973,450) | $ | 973,450 | ||||||||||||
Total Investments (Real Estate Securities Trust) (Cost $369,005,410) – 100.0% | $ | 376,514,928 | 100.0 | % | ||||||||||
Other assets and liabilities, net – 0.0% | 14,676 | 0.0 | % | |||||||||||
TOTAL NET ASSETS – 100.0% | $ | 376,529,604 | 100.0 | % |
(I) | Non-income producing security. | |||||
(Y) | The rate shown is the annualized seven-day yield as of 6-30-17. |
Shares or Principal Amount | Value | | % of Net Assets | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMON STOCKS – 96.4% | ||||||||||||||
Consumer discretionary – 16.0% | ||||||||||||||
Amazon.com, Inc. (I) | 42,670 | $ | 41,304,560 | 6.6 | % | |||||||||
Ctrip.com International, Ltd., ADR (I) | 70,887 | 3,817,974 | 0.6 | % | ||||||||||
Liberty Global PLC, Series C (I) | 373,441 | 11,643,890 | 1.8 | % | ||||||||||
Netflix, Inc. (I) | 32,425 | 4,844,619 | 0.8 | % | ||||||||||
News Corp., Class A | 387,500 | 5,308,750 | 0.8 | % | ||||||||||
The Priceline Group, Inc. (I) | 8,850 | 16,554,102 | 2.6 | % | ||||||||||
Twenty-First Century Fox, Inc., Class A | 238,130 | 6,748,604 | 1.1 | % | ||||||||||
Zalando SE (I) | 84,483 | 3,863,152 | 0.6 | % | ||||||||||
OTHER SECURITIES | 6,920,031 | 1.1 | % | |||||||||||
101,005,682 | ||||||||||||||
Health care – 5.5% | ||||||||||||||
Intuitive Surgical, Inc. (I) | 4,800 | 4,489,776 | 0.7 | % | ||||||||||
Roche Holding AG | 27,472 | 7,019,504 | 1.1 | % | ||||||||||
Shire PLC, ADR | 53,500 | 8,841,945 | 1.4 | % | ||||||||||
Smith & Nephew PLC | 270,422 | 4,669,778 | 0.7 | % | ||||||||||
OTHER SECURITIES | 9,637,221 | 1.6 | % | |||||||||||
34,658,224 | ||||||||||||||
Industrials – 2.0% | ||||||||||||||
Sensata Technologies Holding NV (I)(L) | 133,500 | 5,703,120 | 0.9 | % | ||||||||||
OTHER SECURITIES | 6,614,933 | 1.1 | % | |||||||||||
12,318,053 | ||||||||||||||
Information technology – 72.2% | ||||||||||||||
58.com, Inc., ADR (I)(L) | 173,167 | 7,638,396 | 1.2 | % | ||||||||||
Adobe Systems, Inc. (I) | 55,505 | 7,850,627 | 1.2 | % | ||||||||||
COMMON STOCKS (continued) | ||||||||||||||
Information technology (continued) | ||||||||||||||
Alibaba Group Holding, Ltd., ADR (I) | 70,235 | $ | 9,896,112 | 1.6 | % | |||||||||
Alphabet, Inc., Class A (I) | 6,857 | 6,374,816 | 1.0 | % | ||||||||||
Alphabet, Inc., Class C (I) | 16,051 | 14,586,025 | 2.3 | % | ||||||||||
Altaba, Inc. (I) | 264,100 | 14,388,168 | 2.3 | % | ||||||||||
Apple, Inc. | 149,525 | 21,534,591 | 3.4 | % | ||||||||||
Applied Materials, Inc. | 184,810 | 7,634,501 | 1.2 | % | ||||||||||
Baidu, Inc., ADR (I) | 35,400 | 6,331,644 | 1.0 | % | ||||||||||
Broadcom, Ltd. | 38,295 | 8,924,643 | 1.4 | % | ||||||||||
DXC Technology Company | 109,750 | 8,420,020 | 1.3 | % | ||||||||||
Facebook, Inc., Class A (I) | 209,870 | 31,686,173 | 5.0 | % | ||||||||||
Intuit, Inc. | 54,901 | 7,291,402 | 1.2 | % | ||||||||||
Lam Research Corp. | 50,140 | 7,091,300 | 1.1 | % | ||||||||||
Marvell Technology Group, Ltd. | 254,175 | 4,198,971 | 0.7 | % | ||||||||||
Microchip Technology, Inc. | 79,755 | 6,155,491 | 1.0 | % | ||||||||||
Micron Technology, Inc. (I) | 463,755 | 13,847,724 | 2.2 | % | ||||||||||
Microsoft Corp. | 508,730 | 35,066,759 | 5.6 | % | ||||||||||
NetApp, Inc. | 182,400 | 7,305,120 | 1.2 | % | ||||||||||
NVIDIA Corp. | 34,810 | 5,032,134 | 0.8 | % | ||||||||||
NXP Semiconductors NV (I) | 124,660 | 13,644,037 | 2.2 | % | ||||||||||
Oracle Corp. | 123,555 | 6,195,048 | 1.0 | % | ||||||||||
Palo Alto Networks, Inc. (I) | 53,005 | 7,092,599 | 1.1 | % | ||||||||||
Paycom Software, Inc. (I) | 84,485 | 5,779,619 | 0.9 | % | ||||||||||
PayPal Holdings, Inc. (I) | 98,700 | 5,297,229 | 0.8 | % | ||||||||||
Proofpoint, Inc. (I)(L) | 81,150 | 7,046,255 | 1.1 | % | ||||||||||
QUALCOMM, Inc. | 277,000 | 15,295,940 | 2.4 | % | ||||||||||
Red Hat, Inc. (I) | 246,274 | 23,580,736 | 3.7 | % | ||||||||||
Sabre Corp. | 240,600 | 5,237,862 | 0.8 | % | ||||||||||
salesforce.com, Inc. (I) | 167,778 | 14,529,575 | 2.3 | % | ||||||||||
Samsung Electronics Company, Ltd. | 5,005 | 10,424,516 | 1.7 | % | ||||||||||
ServiceNow, Inc. (I) | 101,055 | 10,711,830 | 1.7 | % | ||||||||||
Skyworks Solutions, Inc. | 57,435 | 5,510,888 | 0.9 | % | ||||||||||
Square, Inc., Class A (I)(L) | 391,775 | 9,191,042 | 1.5 | % | ||||||||||
Tableau Software, Inc., Class A (I) | 84,080 | 5,151,582 | 0.8 | % | ||||||||||
Workday, Inc., Class A (I) | 76,500 | 7,420,500 | 1.2 | % | ||||||||||
OTHER SECURITIES | 71,499,691 | 11.4 | % | |||||||||||
454,863,566 | ||||||||||||||
Real estate – 0.2% | 1,587,892 | 0.2 | % | |||||||||||
Telecommunication services – 0.5% | 3,040,250 | 0.5 | % | |||||||||||
TOTAL COMMON STOCKS (Cost $502,729,385) | $ | 607,473,667 | ||||||||||||
PREFERRED SECURITIES – 0.5% | ||||||||||||||
Consumer discretionary – 0.1% | 466,654 | 0.1 | % | |||||||||||
Information technology – 0.4% | 2,705,564 | 0.4 | % | |||||||||||
TOTAL PREFERRED SECURITIES (Cost $2,445,650) | $ | 3,172,218 | ||||||||||||
CORPORATE BONDS – 0.2% | ||||||||||||||
Information technology – 0.2% | 1,625,599 | 0.2 | % | |||||||||||
TOTAL CORPORATE BONDS (Cost $1,363,309) | $ | 1,625,599 | ||||||||||||
SECURITIES LENDING COLLATERAL – 4.0% | ||||||||||||||
John Hancock Collateral Trust, 1.1508% (W)(Y) | 2,513,484 | 25,149,668 | 4.0 | % | ||||||||||
TOTAL SECURITIES LENDING COLLATERAL (Cost $25,149,624) | $ | 25,149,668 | ||||||||||||
SHORT-TERM INVESTMENTS – 3.7% | ||||||||||||||
Money market funds – 2.0% | ||||||||||||||
T. Rowe Price Government Money Fund, 0.9816% (Y) | 11,721,260 | 11,721,260 | 1.9 | % | ||||||||||
OTHER SECURITIES | 544,495 | 0.1 | % | |||||||||||
12,265,755 |
Shares or Principal Amount | Value | | % of Net Assets | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHORT-TERM INVESTMENTS (continued) | ||||||||||||||
Repurchase agreement – 1.7% | ||||||||||||||
Repurchase Agreement with State Street Corp. dated 06/30/2017 at 0.340% to be repurchased at $10,858,308 on 07/03/2017, collateralized by $11,255,000 U.S. Treasury Notes, 1.125% due 02/28/2021 (valued at $11,079,017, including interest) | $ | 10,858,000 | $ | 10,858,000 | 1.7 | % | ||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $23,123,755) | $ | 23,123,755 | ||||||||||||
Total Investments (Science & Technology Trust) (Cost $554,811,723) – 104.8% | $ | 660,544,907 | 104.8 | % | ||||||||||
Other assets and liabilities, net – (4.8%) | (30,532,797 | ) | (4.8 | )% | ||||||||||
TOTAL NET ASSETS – 100.0% | $ | 630,012,110 | 100.0 | % |
ADR | American Depositary Receipts | |||||
(I) | Non-income producing security. | |||||
(L) | A portion of this security is on loan as of 6-30-17. | |||||
(W) | Investment is an affiliate of the fund, the advisor and/or subadvisor. This security represents the investment of cash collateral received for securities lending. | |||||
(Y) | The rate shown is the annualized seven-day yield as of 6-30-17. |
Shares or Principal Amount | Value | | % of Net Assets | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMON STOCKS – 95.4% | ||||||||||||||
Consumer discretionary – 11.9% | ||||||||||||||
Marriott Vacations Worldwide Corp. | 44,193 | $ | 5,203,726 | 1.3 | % | |||||||||
Oxford Industries, Inc. | 73,337 | 4,582,829 | 1.2 | % | ||||||||||
Planet Fitness, Inc., Class A | 297,962 | 6,954,433 | 1.8 | % | ||||||||||
Wayfair, Inc., Class A (I) | 65,459 | 5,032,488 | 1.3 | % | ||||||||||
Wingstop, Inc. (L) | 134,649 | 4,160,654 | 1.0 | % | ||||||||||
Wolverine World Wide, Inc. | 192,428 | 5,389,908 | 1.4 | % | ||||||||||
OTHER SECURITIES | 15,603,599 | 3.9 | % | |||||||||||
46,927,637 | ||||||||||||||
Consumer staples – 2.8% | ||||||||||||||
Calavo Growers, Inc. | 54,176 | 3,740,853 | 0.9 | % | ||||||||||
Performance Food Group Company (I) | 161,016 | 4,411,838 | 1.1 | % | ||||||||||
OTHER SECURITIES | 3,031,260 | 0.8 | % | |||||||||||
11,183,951 | ||||||||||||||
Energy – 1.2% | ||||||||||||||
Centennial Resource Development, Inc., Class A (I)(L) | 280,683 | 4,440,405 | 1.1 | % | ||||||||||
OTHER SECURITIES | 200,745 | 0.1 | % | |||||||||||
4,641,150 | ||||||||||||||
Financials – 6.7% | ||||||||||||||
FNB Corp. | 347,203 | 4,916,394 | 1.3 | % | ||||||||||
MB Financial, Inc. | 127,856 | 5,630,778 | 1.4 | % | ||||||||||
Sterling Bancorp | 252,337 | 5,866,835 | 1.5 | % | ||||||||||
Western Alliance Bancorp (I) | 86,384 | 4,250,093 | 1.1 | % | ||||||||||
OTHER SECURITIES | 5,660,070 | 1.4 | % | |||||||||||
26,324,170 | ||||||||||||||
Health care – 21.4% | ||||||||||||||
Acadia Healthcare Company, Inc. (I)(L) | 136,655 | 6,748,024 | 1.7 | % | ||||||||||
Aerie Pharmaceuticals, Inc. (I) | 90,192 | 4,739,590 | 1.2 | % | ||||||||||
Align Technology, Inc. (I) | 27,185 | 4,081,012 | 1.0 | % | ||||||||||
Exact Sciences Corp. (I) | 111,293 | 3,936,433 | 1.0 | % | ||||||||||
COMMON STOCKS (continued) | ||||||||||||||
Health care (continued) | ||||||||||||||
Insulet Corp. (I) | 150,017 | $ | 7,697,372 | 2.0 | % | |||||||||
Veeva Systems, Inc., Class A (I) | 77,070 | 4,725,162 | 1.2 | % | ||||||||||
OTHER SECURITIES | 52,760,428 | 13.3 | % | |||||||||||
84,688,021 | ||||||||||||||
Industrials – 17.7% | ||||||||||||||
Altra Industrial Motion Corp. | 117,796 | 4,688,281 | 1.2 | % | ||||||||||
Casella Waste Systems, Inc., Class A (I) | 275,323 | 4,518,050 | 1.1 | % | ||||||||||
Clean Harbors, Inc. (I) | 66,756 | 3,726,987 | 0.9 | % | ||||||||||
JELD-WEN Holding, Inc. (I) | 116,585 | 3,784,349 | 1.0 | % | ||||||||||
Knight Transportation, Inc. | 177,510 | 6,576,746 | 1.7 | % | ||||||||||
Masonite International Corp. (I) | 52,216 | 3,942,308 | 1.0 | % | ||||||||||
Milacron Holdings Corp. (I) | 239,961 | 4,220,914 | 1.1 | % | ||||||||||
Regal Beloit Corp. | 59,140 | 4,822,867 | 1.2 | % | ||||||||||
Rexnord Corp. (I) | 201,822 | 4,692,362 | 1.2 | % | ||||||||||
Swift Transportation Company (I) | 193,822 | 5,136,283 | 1.3 | % | ||||||||||
The Brink’s Company | 75,417 | 5,052,939 | 1.3 | % | ||||||||||
OTHER SECURITIES | 18,808,088 | 4.7 | % | |||||||||||
69,970,174 | ||||||||||||||
Information technology – 27.8% | ||||||||||||||
2U, Inc. (I)(L) | 103,622 | 4,861,944 | 1.2 | % | ||||||||||
Arista Networks, Inc. (I)(L) | 25,918 | 3,882,257 | 1.0 | % | ||||||||||
Blackhawk Network Holdings, Inc. (I) | 109,849 | 4,789,416 | 1.2 | % | ||||||||||
CoStar Group, Inc. (I) | 21,693 | 5,718,275 | 1.5 | % | ||||||||||
EPAM Systems, Inc. (I) | 46,512 | 3,911,194 | 1.0 | % | ||||||||||
Fair Isaac Corp. | 48,549 | 6,768,216 | 1.7 | % | ||||||||||
GoDaddy, Inc., Class A (I) | 95,425 | 4,047,929 | 1.0 | % | ||||||||||
HubSpot, Inc. (I)(L) | 72,862 | 4,790,677 | 1.2 | % | ||||||||||
MACOM Technology Solutions Holdings, Inc. (I)(L) | 87,768 | 4,894,821 | 1.2 | % | ||||||||||
Mimecast, Ltd. (I) | 182,410 | 4,884,940 | 1.2 | % | ||||||||||
Telogis, Inc. (I) | 473,646 | 1,439,884 | 0.4 | % | ||||||||||
The Trade Desk, Inc., Class A (I) | 79,694 | 3,993,466 | 1.0 | % | ||||||||||
Tower Semiconductor, Ltd. (I)(L) | 272,240 | 6,492,924 | 1.6 | % | ||||||||||
Zebra Technologies Corp., Class A (I) | 58,894 | 5,920,025 | 1.5 | % | ||||||||||
OTHER SECURITIES | 43,417,459 | 11.1 | % | |||||||||||
109,813,427 | ||||||||||||||
Materials – 2.8% | ||||||||||||||
Platform Specialty Products Corp. (I)(L) | 441,395 | 5,596,889 | 1.4 | % | ||||||||||
OTHER SECURITIES | 5,564,876 | 1.4 | % | |||||||||||
11,161,765 | ||||||||||||||
Real estate – 3.1% | ||||||||||||||
CoreSite Realty Corp. | 41,902 | 4,338,114 | 1.1 | % | ||||||||||
Kennedy-Wilson Holdings, Inc. (L) | 220,387 | 4,198,372 | 1.0 | % | ||||||||||
LaSalle Hotel Properties | 132,439 | 3,946,682 | 1.0 | % | ||||||||||
12,483,168 | ||||||||||||||
TOTAL COMMON STOCKS (Cost $317,725,395) | $ | 377,193,463 | ||||||||||||
PREFERRED SECURITIES – 1.9% | ||||||||||||||
Consumer discretionary – 0.2% | 809,698 | 0.2 | % | |||||||||||
Information technology – 1.7% | ||||||||||||||
Telogis, Inc. (I)(R) | 645,027 | 2,767,166 | 0.7 | % | ||||||||||
OTHER SECURITIES | 3,829,850 | 1.0 | % | |||||||||||
6,597,016 | ||||||||||||||
TOTAL PREFERRED SECURITIES (Cost $7,203,571) | $ | 7,406,714 | ||||||||||||
EXCHANGE-TRADED FUNDS – 2.0% | ||||||||||||||
iShares Russell 2000 Growth ETF | 47,676 | 8,046,279 | 2.0 | % | ||||||||||
TOTAL EXCHANGE-TRADED FUNDS (Cost $7,811,570) | $ | 8,046,279 |
Shares or Principal Amount | Value | | % of Net Assets | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SECURITIES LENDING COLLATERAL – 14.9% | ||||||||||||||
John Hancock Collateral Trust, 1.1508% (W)(Y) | 5,868,796 | $ | 58,722,583 | 14.9 | % | |||||||||
TOTAL SECURITIES LENDING COLLATERAL (Cost $58,724,417) | $ | 58,722,583 | ||||||||||||
SHORT-TERM INVESTMENTS – 1.8% | ||||||||||||||
Repurchase agreement – 1.8% | ||||||||||||||
Societe Generale SA Tri-Party Repurchase Agreement dated 06/30/2017 at 1.100% to be repurchased at $7,200,660 on 07/03/2017, collateralized by $4,220,500 U.S. Treasury Bonds, 3.625% – 3.750% due 11/15/2043 to 02/15/2044 (valued at $4,945,851, including interest) and $2,405,800 U.S. Treasury Notes, 1.375% due 05/31/2020 (valued at $2,398,167, including interest), | $ | 7,200,000 | 7,200,000 | 1.8 | % | |||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $7,200,000) | $ | 7,200,000 | ||||||||||||
Total Investments (Small Cap Growth Trust) (Cost $398,664,953) – 116.0% | $ | 458,569,039 | 116.0 | % | ||||||||||
Other assets and liabilities, net – (16.0%) | (63,370,268 | ) | (16.0 | )% | ||||||||||
TOTAL NET ASSETS – 100.0% | $ | 395,198,771 | 100.0 | % |
(I) | Non-income producing security. | |||||
(L) | A portion of this security is on loan as of 6-30-17. | |||||
(R) | Direct placement securities are restricted as to resale and the fund has limited rights to registration under the Securities Act of 1933. For more information on this security refer to the Notes to financial statements. | |||||
(W) | Investment is an affiliate of the fund, the advisor and/or subadvisor. This security represents the investment of cash collateral received for securities lending. | |||||
(Y) | The investment represents the investment of securities lending collateral and the rate shown is the annualized seven-day yield as of 6-30-17. |
Shares or Principal Amount | Value | | % of Net Assets | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMON STOCKS – 97.1% | ||||||||||||||
Consumer discretionary – 12.1% | ||||||||||||||
Grand Canyon Education, Inc. (I) | 13,274 | $ | 1,040,814 | 0.2 | % | |||||||||
OTHER SECURITIES | 67,455,663 | 11.9 | % | |||||||||||
68,496,477 | ||||||||||||||
Consumer staples – 2.6% | 14,681,932 | 2.6 | % | |||||||||||
Energy – 3.5% | 19,767,646 | 3.5 | % | |||||||||||
Financials – 17.7% | ||||||||||||||
CNO Financial Group, Inc. | 48,239 | 1,007,230 | 0.2 | % | ||||||||||
Hancock Holding Company | 23,651 | 1,158,899 | 0.2 | % | ||||||||||
IBERIABANK Corp. | 14,074 | 1,147,031 | 0.2 | % | ||||||||||
MGIC Investment Corp. (I) | 104,578 | 1,171,274 | 0.2 | % | ||||||||||
Radian Group, Inc. | 61,072 | 998,527 | 0.2 | % | ||||||||||
Texas Capital Bancshares, Inc. (I) | 14,086 | 1,090,256 | 0.2 | % | ||||||||||
Umpqua Holdings Corp. | 61,634 | 1,131,600 | 0.2 | % | ||||||||||
United Bankshares, Inc. (L) | 27,758 | 1,088,114 | 0.2 | % | ||||||||||
Wintrust Financial Corp. | 15,394 | 1,176,717 | 0.2 | % | ||||||||||
OTHER SECURITIES | 90,204,220 | 15.9 | % | |||||||||||
100,173,868 | ||||||||||||||
COMMON STOCKS (continued) | ||||||||||||||
Health care – 14.6% | ||||||||||||||
Bluebird Bio, Inc. (I) | 11,620 | $ | 1,220,681 | 0.2 | % | |||||||||
Catalent, Inc. (I) | 35,510 | 1,246,401 | 0.2 | % | ||||||||||
Clovis Oncology, Inc. (I) | 11,156 | 1,044,536 | 0.2 | % | ||||||||||
Exact Sciences Corp. (I) | 31,114 | 1,100,502 | 0.2 | % | ||||||||||
HealthSouth Corp. | 24,918 | 1,206,031 | 0.2 | % | ||||||||||
Kite Pharma, Inc. (I)(L) | 13,863 | 1,437,177 | 0.3 | % | ||||||||||
Masimo Corp. (I) | 12,658 | 1,154,156 | 0.2 | % | ||||||||||
Medidata Solutions, Inc. (I) | 15,938 | 1,246,352 | 0.2 | % | ||||||||||
NuVasive, Inc. (I) | 14,279 | 1,098,341 | 0.2 | % | ||||||||||
PAREXEL International Corp. (I) | 14,145 | 1,229,342 | 0.2 | % | ||||||||||
OTHER SECURITIES | 70,440,704 | 12.5 | % | |||||||||||
82,424,223 | ||||||||||||||
Industrials – 14.2% | ||||||||||||||
Curtiss-Wright Corp. | 12,329 | 1,131,556 | 0.2 | % | ||||||||||
EMCOR Group, Inc. | 16,581 | 1,084,066 | 0.2 | % | ||||||||||
Woodward, Inc. | 14,844 | 1,003,158 | 0.2 | % | ||||||||||
OTHER SECURITIES | 76,845,081 | 13.6 | % | |||||||||||
80,063,861 | ||||||||||||||
Information technology – 16.5% | ||||||||||||||
Aspen Technology, Inc. (I) | 21,145 | 1,168,440 | 0.2 | % | ||||||||||
Blackbaud, Inc. | 13,481 | 1,155,996 | 0.2 | % | ||||||||||
Ciena Corp. (I) | 39,715 | 993,669 | 0.2 | % | ||||||||||
Cirrus Logic, Inc. (I) | 18,043 | 1,131,657 | 0.2 | % | ||||||||||
Ellie Mae, Inc. (I) | 9,470 | 1,040,848 | 0.2 | % | ||||||||||
EPAM Systems, Inc. (I) | 13,760 | 1,157,078 | 0.2 | % | ||||||||||
Fair Isaac Corp. | 8,575 | 1,195,441 | 0.2 | % | ||||||||||
GrubHub, Inc. (I) | 24,306 | 1,059,742 | 0.2 | % | ||||||||||
j2 Global, Inc. | 13,122 | 1,116,551 | 0.2 | % | ||||||||||
Littelfuse, Inc. | 6,315 | 1,041,975 | 0.2 | % | ||||||||||
MAXIMUS, Inc. | 18,021 | 1,128,655 | 0.2 | % | ||||||||||
MKS Instruments, Inc. | 15,169 | 1,020,874 | 0.2 | % | ||||||||||
Monolithic Power Systems, Inc. | 11,218 | 1,081,415 | 0.2 | % | ||||||||||
Proofpoint, Inc. (I) | 12,136 | 1,053,769 | 0.2 | % | ||||||||||
Tech Data Corp. (I) | 9,841 | 993,941 | 0.2 | % | ||||||||||
ViaSat, Inc. (I) | 15,044 | 995,913 | 0.2 | % | ||||||||||
OTHER SECURITIES | 76,075,583 | 13.3 | % | |||||||||||
93,411,547 | ||||||||||||||
Materials – 4.2% | 23,951,490 | 4.2 | % | |||||||||||
Real estate – 7.3% | ||||||||||||||
Cousins Properties, Inc. | 118,140 | 1,038,451 | 0.2 | % | ||||||||||
Gramercy Property Trust | 42,631 | 1,266,567 | 0.2 | % | ||||||||||
Healthcare Realty Trust, Inc. | 32,132 | 1,097,308 | 0.2 | % | ||||||||||
The GEO Group, Inc. | 34,642 | 1,024,364 | 0.2 | % | ||||||||||
OTHER SECURITIES | 36,668,306 | 6.5 | % | |||||||||||
41,094,996 | ||||||||||||||
Telecommunication services – 0.8% | 4,761,396 | 0.8 | % | |||||||||||
Utilities – 3.6% | ||||||||||||||
ALLETE, Inc. | 14,312 | 1,025,884 | 0.2 | % | ||||||||||
Black Hills Corp. | 15,047 | 1,015,221 | 0.2 | % | ||||||||||
IDACORP, Inc. | 14,119 | 1,205,057 | 0.2 | % | ||||||||||
ONE Gas, Inc. | 14,285 | 997,236 | 0.2 | % | ||||||||||
Portland General Electric Company | 24,875 | 1,136,539 | 0.2 | % | ||||||||||
WGL Holdings, Inc. | 14,173 | 1,182,453 | 0.2 | % | ||||||||||
OTHER SECURITIES | 13,520,254 | 2.4 | % | |||||||||||
20,082,644 | ||||||||||||||
TOTAL COMMON STOCKS (Cost $403,127,735) | $ | 548,910,080 | ||||||||||||
WARRANTS – 0.0% | ||||||||||||||
TOTAL WARRANTS (Cost $0) | $ | 26 |
Shares or Principal Amount | Value | | % of Net Assets | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SECURITIES LENDING COLLATERAL – 8.7% | |||||||||||||||||
John Hancock Collateral Trust, 1.1508% (W)(Y) | 4,936,499 | $ | 49,394,116 | 8.7 | % | ||||||||||||
TOTAL SECURITIES LENDING COLLATERAL (Cost $49,396,929) | $ | 49,394,116 | |||||||||||||||
SHORT-TERM INVESTMENTS – 2.9% | |||||||||||||||||
Repurchase agreement – 2.9% | |||||||||||||||||
Repurchase Agreement with State Street Corp. dated 06/30/2017 at 0.340% to be repurchased at $16,590,470 on 07/03/2017, collateralized by $17,280,000 U.S. Treasury Inflation Indexed Bonds, 0.875% due 02/15/2047 (valued at $16,925,414, including interest) | $ | 16,590,000 | 16,590,000 | 2.9 | % | ||||||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $16,590,000) | $ | 16,590,000 | |||||||||||||||
Total Investments (Small Cap Index Trust) (Cost $469,114,664) – 108.7% | $ | 614,894,222 | 108.7 | % | |||||||||||||
Other assets and liabilities, net – (8.7%) | (49,292,800 | ) | (8.7 | )% | |||||||||||||
TOTAL NET ASSETS – 100.0% | $ | 565,601,422 | 100.0 | % |
(I) | Non-income producing security. | |||||
(L) | A portion of this security is on loan as of 6-30-17. | |||||
(W) | Investment is an affiliate of the fund, the advisor and/or subadvisor. This security represents the investment of cash collateral received for securities lending. | |||||
(Y) | The rate shown is the annualized seven-day yield as of 6-30-17. |
Open contracts | | Number of contracts | | Position | | Expiration date | | Notional basis* | | Notional value* | | Unrealized appreciation (depreciation) | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Russell 2000 Mini Index Futures | 264 | Long | Sep 2017 | $ | 18,884,930 | $ | 18,668,760 | ($216,170 | ) | |||||||||||||||||
($216,170 | ) |
Shares or Principal Amount | Value | | % of Net Assets | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMON STOCKS – 99.0% | ||||||||||||||
Consumer discretionary – 13.9% | ||||||||||||||
Boyd Gaming Corp. | 58,659 | $ | 1,455,330 | 0.7 | % | |||||||||
Cooper Tire & Rubber Company (L) | 32,164 | 1,161,120 | 0.5 | % | ||||||||||
Helen of Troy, Ltd. (I) | 14,114 | 1,328,127 | 0.6 | % | ||||||||||
La-Z-Boy, Inc. | 42,787 | 1,390,578 | 0.7 | % | ||||||||||
Penn National Gaming, Inc. (I) | 51,851 | 1,109,611 | 0.5 | % | ||||||||||
ServiceMaster Global Holdings, Inc. (I) | 28,269 | 1,107,862 | 0.5 | % | ||||||||||
Visteon Corp. (I) | 11,862 | 1,210,636 | 0.6 | % | ||||||||||
OTHER SECURITIES | 21,479,475 | 9.8 | % | |||||||||||
30,242,739 | ||||||||||||||
Consumer staples – 2.3% | 5,024,560 | 2.3 | % | |||||||||||
Energy – 6.1% | ||||||||||||||
RSP Permian, Inc. (I) | 43,041 | 1,388,933 | 0.6 | % | ||||||||||
OTHER SECURITIES | 11,849,188 | 5.5 | % | |||||||||||
13,238,121 | ||||||||||||||
Financials – 23.0% | ||||||||||||||
American Financial Group, Inc. | 14,713 | 1,462,031 | 0.7 | % | ||||||||||
Aspen Insurance Holdings, Ltd. | 28,141 | 1,402,829 | �� | 0.7 | % | |||||||||
Bank of the Ozarks, Inc. | 25,478 | 1,194,154 | 0.6 | % | ||||||||||
CNO Financial Group, Inc. | 75,605 | 1,578,632 | 0.7 | % | ||||||||||
E*TRADE Financial Corp. (I) | 38,697 | 1,471,647 | 0.7 | % | ||||||||||
Great Western Bancorp, Inc. | 36,587 | 1,493,115 | 0.7 | % | ||||||||||
Horace Mann Educators Corp. | 30,472 | 1,151,842 | 0.5 | % | ||||||||||
IBERIABANK Corp. | 19,369 | 1,578,574 | 0.7 | % | ||||||||||
Lazard, Ltd., Class A | 25,435 | 1,178,404 | 0.6 | % | ||||||||||
Pinnacle Financial Partners, Inc. | 18,860 | 1,184,386 | 0.6 | % | ||||||||||
Synovus Financial Corp. | 32,833 | 1,452,532 | 0.7 | % | ||||||||||
The Hanover Insurance Group, Inc. | 17,238 | 1,527,804 | 0.7 | % | ||||||||||
Webster Financial Corp. | 27,257 | 1,423,361 | 0.7 | % | ||||||||||
COMMON STOCKS (continued) | ||||||||||||||
Financials (continued) | ||||||||||||||
Western Alliance Bancorp (I) | 27,865 | $ | 1,370,958 | 0.6 | % | |||||||||
OTHER SECURITIES | 30,763,805 | 13.8 | % | |||||||||||
50,234,074 | ||||||||||||||
Health care – 8.4% | ||||||||||||||
Acadia Healthcare Company, Inc. (I)(L) | 22,591 | 1,115,544 | 0.5 | % | ||||||||||
Cambrex Corp. (I) | 19,364 | 1,156,999 | 0.5 | % | ||||||||||
Hill-Rom Holdings, Inc. | 15,376 | 1,224,083 | 0.6 | % | ||||||||||
Supernus Pharmaceuticals, Inc. (I) | 40,824 | 1,759,514 | 0.8 | % | ||||||||||
Tivity Health, Inc. (I) | 30,633 | 1,220,725 | 0.6 | % | ||||||||||
Wright Medical Group NV (I) | 50,062 | 1,376,204 | 0.6 | % | ||||||||||
OTHER SECURITIES | 10,402,811 | 4.8 | % | |||||||||||
18,255,880 | ||||||||||||||
Industrials – 20.3% | ||||||||||||||
ABM Industries, Inc. | 32,684 | 1,357,040 | 0.6 | % | ||||||||||
Albany International Corp., Class A | 31,965 | 1,706,931 | 0.8 | % | ||||||||||
Apogee Enterprises, Inc. | 22,478 | 1,277,650 | 0.6 | % | ||||||||||
BWX Technologies, Inc. | 26,912 | 1,311,960 | 0.6 | % | ||||||||||
Forward Air Corp. | 22,955 | 1,223,042 | 0.6 | % | ||||||||||
Old Dominion Freight Line, Inc. | 12,317 | 1,173,071 | 0.5 | % | ||||||||||
Orbital ATK, Inc. | 12,981 | 1,276,811 | 0.6 | % | ||||||||||
SPX Corp. (I) | 58,468 | 1,471,055 | 0.7 | % | ||||||||||
Waste Connections, Inc. | 22,571 | 1,453,992 | 0.7 | % | ||||||||||
OTHER SECURITIES | 32,011,043 | 14.6 | % | |||||||||||
44,262,595 | ||||||||||||||
Information technology – 15.8% | ||||||||||||||
Blackbaud, Inc. | 17,831 | 1,529,008 | 0.7 | % | ||||||||||
Coherent, Inc. (I) | 8,841 | 1,989,137 | 0.9 | % | ||||||||||
Jack Henry & Associates, Inc. | 13,319 | 1,383,445 | 0.6 | % |
Shares or Principal Amount | Value | | % of Net Assets | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMON STOCKS (continued) | ||||||||||||||
Information technology (continued) | ||||||||||||||
MACOM Technology Solutions Holdings, Inc. (I) | 23,072 | $ | 1,286,725 | 0.6 | % | |||||||||
Microsemi Corp. (I) | 31,085 | 1,454,778 | 0.7 | % | ||||||||||
Take-Two Interactive Software, Inc. (I) | 28,385 | 2,082,891 | 1.0 | % | ||||||||||
Tech Data Corp. (I) | 15,770 | 1,592,770 | 0.7 | % | ||||||||||
Zebra Technologies Corp., Class A (I) | 16,110 | 1,619,377 | 0.8 | % | ||||||||||
OTHER SECURITIES | 21,454,860 | 9.8 | % | |||||||||||
34,392,991 | ||||||||||||||
Materials – 5.0% | ||||||||||||||
Graphic Packaging Holding Company | 118,729 | 1,636,086 | 0.8 | % | ||||||||||
Minerals Technologies, Inc. | 18,510 | 1,354,932 | 0.6 | % | ||||||||||
PolyOne Corp. | 29,391 | 1,138,607 | 0.5 | % | ||||||||||
OTHER SECURITIES | 6,869,687 | 3.1 | % | |||||||||||
10,999,312 | ||||||||||||||
Real estate – 2.1% | 4,612,831 | 2.1 | % | |||||||||||
Telecommunication services – 1.0% | ||||||||||||||
Iridium Communications, Inc. (I)(L) | 129,848 | 1,434,820 | 0.7 | % | ||||||||||
OTHER SECURITIES | 856,272 | 0.3 | % | |||||||||||
2,291,092 | ||||||||||||||
Utilities – 1.1% | ||||||||||||||
UGI Corp. | 30,532 | 1,478,054 | 0.7 | % | ||||||||||
OTHER SECURITIES | 943,567 | 0.4 | % | |||||||||||
2,421,621 | ||||||||||||||
TOTAL COMMON STOCKS (Cost $182,477,009) | $ | 215,975,816 | ||||||||||||
SECURITIES LENDING COLLATERAL – 4.3% | ||||||||||||||
John Hancock Collateral Trust, 1.1508% (W)(Y) | 934,318 | 9,348,694 | 4.3 | % | ||||||||||
TOTAL SECURITIES LENDING COLLATERAL (Cost $9,348,981) | $ | 9,348,694 | ||||||||||||
SHORT-TERM INVESTMENTS – 0.2% | ||||||||||||||
Money market funds – 0.2% | 477,602 | 0.2 | % | |||||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $477,602) | $ | 477,602 | ||||||||||||
Total Investments (Small Cap Opportunities Trust) (Cost $192,303,592) – 103.5% | $ | 225,802,112 | 103.5 | % | ||||||||||
Other assets and liabilities, net – (3.5%) | (7,683,642 | ) | (3.5 | )% | ||||||||||
TOTAL NET ASSETS – 100.0% | $ | 218,118,470 | 100.0 | % |
(I) | Non-income producing security. | |||||
(L) | A portion of this security is on loan as of 6-30-17. | |||||
(W) | Investment is an affiliate of the fund, the advisor and/or subadvisor. This security represents the investment of cash collateral received for securities lending. | |||||
(Y) | The investment represents the investment of securities lending collateral and the rate shown is the annualized seven-day yield as of 6-30-17. |
Shares or Principal Amount | Value | | % of Net Assets | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMON STOCKS – 97.1% | ||||||||||||||
Consumer discretionary – 3.4% | ||||||||||||||
Fred’s, Inc., Class A (L) | 601,572 | $ | 5,552,510 | 0.8 | % | |||||||||
Helen of Troy, Ltd. (I) | 48,870 | 4,598,667 | 0.7 | % | ||||||||||
Stage Stores, Inc. (L) | 317,309 | 660,003 | 0.1 | % | ||||||||||
The Cato Corp., Class A | 255,906 | 4,501,387 | 0.7 | % | ||||||||||
TRI Pointe Group, Inc. (I) | 527,030 | 6,951,526 | 1.1 | % | ||||||||||
22,264,093 | ||||||||||||||
Consumer staples – 3.9% | ||||||||||||||
C&C Group PLC | 2,129,443 | 7,829,035 | 1.2 | % | ||||||||||
Cranswick PLC | 256,056 | 9,357,803 | 1.4 | % | ||||||||||
Post Holdings, Inc. (I) | 14,030 | 1,089,430 | 0.1 | % | ||||||||||
Smart & Final Stores, Inc. (I)(L) | 868,162 | 7,900,274 | 1.2 | % | ||||||||||
26,176,542 | ||||||||||||||
Energy – 4.2% | ||||||||||||||
Diamondback Energy, Inc. (I) | 11,466 | 1,018,295 | 0.1 | % | ||||||||||
Dorian LPG, Ltd. (I)(L) | 454,500 | 3,717,810 | 0.5 | % | ||||||||||
Era Group, Inc. (I) | 271,117 | 2,564,767 | 0.4 | % | ||||||||||
Resolute Energy Corp. (I)(L) | 150,930 | 4,493,186 | 0.7 | % | ||||||||||
RSP Permian, Inc. (I) | 16,870 | 544,395 | 0.1 | % | ||||||||||
Scorpio Tankers, Inc. | 1,516,670 | 6,021,180 | 0.9 | % | ||||||||||
SEACOR Holdings, Inc. (I) | 149,818 | 5,138,757 | 0.8 | % | ||||||||||
SEACOR Marine Holdings, Inc. (I) | 159,458 | 3,246,565 | 0.5 | % | ||||||||||
Tesco Corp. (I) | 326,398 | 1,452,471 | 0.2 | % | ||||||||||
28,197,426 | ||||||||||||||
Financials – 21.5% | ||||||||||||||
1st Source Corp. | 125,880 | 6,034,687 | 0.9 | % | ||||||||||
Alleghany Corp. (I) | 2,348 | 1,396,590 | 0.2 | % | ||||||||||
Ares Capital Corp. (L) | 36,876 | 604,029 | 0.1 | % | ||||||||||
Assured Guaranty, Ltd. | 19,290 | 805,165 | 0.1 | % | ||||||||||
Banc of California, Inc. (L) | 301,850 | 6,489,775 | 1.0 | % | ||||||||||
FCB Financial Holdings, Inc., Class A (I) | 87,440 | 4,175,260 | 0.6 | % | ||||||||||
First Busey Corp. | 272,423 | 7,987,442 | 1.2 | % | ||||||||||
First Midwest Bancorp, Inc. | 637,211 | 14,853,388 | 2.2 | % | ||||||||||
Flushing Financial Corp. | 297,996 | 8,400,507 | 1.3 | % | ||||||||||
Great Western Bancorp, Inc. | 303,726 | 12,395,058 | 1.9 | % | ||||||||||
Hancock Holding Company | 333,250 | 16,329,250 | 2.5 | % | ||||||||||
International Bancshares Corp. | 424,454 | 14,877,113 | 2.2 | % | ||||||||||
Kemper Corp. | 217,050 | 8,378,130 | 1.3 | % | ||||||||||
MB Financial, Inc. | 310,098 | 13,656,716 | 2.0 | % | ||||||||||
Northwest Bancshares, Inc. | 823,590 | 12,856,240 | 1.9 | % | ||||||||||
Reinsurance Group of America, Inc. | 12,240 | 1,571,494 | 0.2 | % | ||||||||||
Solar Capital, Ltd. | 325,964 | 7,128,833 | 1.1 | % | ||||||||||
State National Companies, Inc. | 132,471 | 2,434,817 | 0.4 | % | ||||||||||
Webster Financial Corp. | 25,720 | 1,343,098 | 0.2 | % | ||||||||||
White Mountains Insurance Group, Ltd. | 1,320 | 1,146,592 | 0.2 | % | ||||||||||
142,864,184 | ||||||||||||||
Health care – 7.4% | ||||||||||||||
Allscripts Healthcare Solutions, Inc. (I) | 897,127 | 11,447,341 | 1.7 | % | ||||||||||
CorVel Corp. (I) | 134,840 | 6,398,158 | 1.0 | % | ||||||||||
Envision Healthcare Corp. (I) | 19,140 | 1,199,504 | 0.2 | % | ||||||||||
Haemonetics Corp. (I) | 277,950 | 10,976,246 | 1.6 | % | ||||||||||
ICU Medical, Inc. (I) | 52,366 | 9,033,135 | 1.4 | % | ||||||||||
Natus Medical, Inc. (I) | 114,630 | 4,275,699 | 0.6 | % | ||||||||||
Phibro Animal Health Corp., Class A | 106,090 | 3,930,635 | 0.6 | % | ||||||||||
STERIS PLC | 22,030 | 1,795,445 | 0.3 | % | ||||||||||
49,056,163 | ||||||||||||||
Industrials – 32.0% | ||||||||||||||
ACCO Brands Corp. (I) | 775,770 | 9,037,721 | 1.4 | % | ||||||||||
Albany International Corp., Class A | 306,214 | 16,351,828 | 2.5 | % | ||||||||||
Babcock & Wilcox Enterprises, Inc. (I) | 359,030 | 4,222,193 | 0.6 | % | ||||||||||
CIRCOR International, Inc. | 137,832 | 8,184,464 | 1.2 | % | ||||||||||
Clean Harbors, Inc. (I) | 13,780 | 769,337 | 0.1 | % |
Shares or Principal Amount | Value | | % of Net Assets | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMON STOCKS (continued) | ||||||||||||||
Industrials (continued) | ||||||||||||||
Cubic Corp. | 289,670 | $ | 13,411,721 | 2.0 | % | |||||||||
ESCO Technologies, Inc. | 241,592 | 14,410,963 | 2.2 | % | ||||||||||
Essendant, Inc. | 405,778 | 6,017,688 | 0.9 | % | ||||||||||
Forward Air Corp. | 142,120 | 7,572,154 | 1.1 | % | ||||||||||
FTI Consulting, Inc. (I) | 315,615 | 11,033,900 | 1.7 | % | ||||||||||
GATX Corp. (L) | 164,440 | 10,568,559 | 1.6 | % | ||||||||||
Huron Consulting Group, Inc. (I) | 182,911 | 7,901,755 | 1.2 | % | ||||||||||
ICF International, Inc. (I) | 83,520 | 3,933,792 | 0.6 | % | ||||||||||
Luxfer Holdings PLC, ADR | 469,655 | 6,006,887 | 0.9 | % | ||||||||||
Matthews International Corp., Class A | 183,520 | 11,240,600 | 1.7 | % | ||||||||||
Mistras Group, Inc. (I) | 364,103 | 7,999,343 | 1.2 | % | ||||||||||
Mueller Industries, Inc. | 503,860 | 15,342,537 | 2.3 | % | ||||||||||
Primoris Services Corp. | 357,590 | 8,918,295 | 1.3 | % | ||||||||||
SP Plus Corp. (I) | 354,468 | 10,828,997 | 1.6 | % | ||||||||||
Steelcase, Inc., Class A | 389,410 | 5,451,740 | 0.8 | % | ||||||||||
Thermon Group Holdings, Inc. (I) | 477,850 | 9,160,381 | 1.4 | % | ||||||||||
TriMas Corp. (I) | 632,601 | 13,189,731 | 2.0 | % | ||||||||||
Tyman PLC | 2,390,219 | 11,046,641 | 1.7 | % | ||||||||||
212,601,227 | ||||||||||||||
Information technology – 9.4% | ||||||||||||||
Belden, Inc. | 256,189 | 19,324,336 | 2.9 | % | ||||||||||
CTS Corp. | 319,030 | 6,891,048 | 1.0 | % | ||||||||||
Diebold Nixdorf, Inc. (L) | 321,240 | 8,994,720 | 1.4 | % | ||||||||||
Forrester Research, Inc. | 259,923 | 10,175,985 | 1.5 | % | ||||||||||
Keysight Technologies, Inc. (I) | 32,220 | 1,254,325 | 0.2 | % | ||||||||||
ScanSource, Inc. (I) | 155,860 | 6,281,158 | 0.9 | % | ||||||||||
WNS Holdings, Ltd., ADR (I) | 280,089 | 9,623,858 | 1.5 | % | ||||||||||
62,545,430 | ||||||||||||||
Materials – 6.8% | ||||||||||||||
Deltic Timber Corp. | 145,686 | 10,876,917 | 1.6 | % | ||||||||||
Greif, Inc., Class A | 246,240 | 13,735,267 | 2.1 | % | ||||||||||
Neenah Paper, Inc. | 76,160 | 6,111,840 | 0.9 | % | ||||||||||
Orion Engineered Carbons SA | 6,500 | 129,675 | 0.0 | % | ||||||||||
Sensient Technologies Corp. | 179,280 | 14,437,418 | 2.2 | % | ||||||||||
45,291,117 | ||||||||||||||
Real estate – 6.2% | ||||||||||||||
Corporate Office Properties Trust | 237,427 | 8,317,068 | 1.3 | % | ||||||||||
DiamondRock Hospitality Company | 564,398 | 6,180,158 | 0.9 | % | ||||||||||
Education Realty Trust, Inc. | 193,033 | 7,480,029 | 1.1 | % | ||||||||||
Ramco-Gershenson Properties Trust | 730,900 | 9,428,610 | 1.4 | % | ||||||||||
Summit Hotel Properties, Inc. | 520,159 | 9,700,965 | 1.5 | % | ||||||||||
41,106,830 | ||||||||||||||
Utilities – 2.3% | ||||||||||||||
New Jersey Resources Corp. | 122,208 | 4,851,658 | 0.7 | % | ||||||||||
Spire, Inc. | 108,040 | 7,535,790 | 1.2 | % | ||||||||||
UGI Corp. | 24,210 | 1,172,006 | 0.2 | % | ||||||||||
Westar Energy, Inc. | 8,780 | 465,516 | 0.1 | % | ||||||||||
WGL Holdings, Inc. | 10,710 | 893,535 | 0.1 | % | ||||||||||
14,918,505 | ||||||||||||||
TOTAL COMMON STOCKS (Cost $523,991,403) | $ | 645,021,517 | ||||||||||||
SECURITIES LENDING COLLATERAL – 4.6% | ||||||||||||||
John Hancock Collateral Trust, 1.1508% (W)(Y) | 3,030,538 | 30,323,265 | 4.6 | % | ||||||||||
TOTAL SECURITIES LENDING COLLATERAL (Cost $30,324,010) | $ | 30,323,265 | ||||||||||||
SHORT-TERM INVESTMENTS – 2.7% | ||||||||||||||
Repurchase agreement – 2.7% | ||||||||||||||
Bank of America Tri-Party Repurchase Agreement dated 06/30/2017 at 1.090% to be repurchased at $18,301,662 on 07/03/2017, collateralized by $17,922,948 Government National Mortgage Association, 3.500% due 03/20/2047 (valued at $18,666,001, including interest) | $ | 18,300,000 | $ | 18,300,000 | 2.7 | % | ||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $18,300,000) | $ | 18,300,000 | ||||||||||||
Total Investments (Small Cap Value Trust) (Cost $572,615,413) – 104.4% | $ | 693,644,782 | 104.4 | % | ||||||||||
Other assets and liabilities, net – (4.4%) | (29,399,143 | ) | (4.4 | )% | ||||||||||
TOTAL NET ASSETS – 100.0% | $ | 664,245,639 | 100.0 | % |
ADR | American Depositary Receipts | |||||
(I) | Non-income producing security. | |||||
(L) | A portion of this security is on loan as of 6-30-17. | |||||
(W) | Investment is an affiliate of the fund, the advisor and/or subadvisor. This security represents the investment of cash collateral received for securities lending. | |||||
(Y) | The rate shown is the annualized seven-day yield as of 6-30-17. |
Shares or Principal Amount | Value | | % of Net Assets | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMON STOCKS – 97.7% | ||||||||||||||
Consumer discretionary – 11.0% | ||||||||||||||
Brunswick Corp. | 17,892 | $ | 1,122,365 | 0.9 | % | |||||||||
Penn National Gaming, Inc. (I) | 53,875 | 1,152,925 | 0.9 | % | ||||||||||
Pool Corp. | 11,344 | 1,333,714 | 1.1 | % | ||||||||||
Texas Roadhouse, Inc. | 21,260 | 1,083,197 | 0.9 | % | ||||||||||
OTHER SECURITIES | 8,994,140 | 7.2 | % | |||||||||||
13,686,341 | ||||||||||||||
Consumer staples – 1.6% | 1,989,704 | 1.6 | % | |||||||||||
Energy – 3.7% | 4,558,484 | 3.7 | % | |||||||||||
Financials – 8.9% | ||||||||||||||
American Financial Group, Inc. | 11,299 | 1,122,782 | 0.9 | % | ||||||||||
Cathay General Bancorp | 30,451 | 1,155,615 | 0.9 | % | ||||||||||
Cullen/Frost Bankers, Inc. | 12,349 | 1,159,695 | 0.9 | % | ||||||||||
MarketAxess Holdings, Inc. | 6,048 | 1,216,254 | 1.0 | % | ||||||||||
MB Financial, Inc. | 24,436 | 1,076,161 | 0.9 | % | ||||||||||
OTHER SECURITIES | 5,307,408 | 4.3 | % | |||||||||||
11,037,915 | ||||||||||||||
Health care – 23.0% | ||||||||||||||
Align Technology, Inc. (I) | 7,895 | 1,185,197 | 1.0 | % | ||||||||||
Bio-Techne Corp. | 9,675 | 1,136,813 | 0.9 | % | ||||||||||
Exelixis, Inc. (I) | 58,997 | 1,453,096 | 1.2 | % | ||||||||||
Halozyme Therapeutics, Inc. (I)(L) | 86,206 | 1,105,161 | 0.9 | % | ||||||||||
HealthEquity, Inc. (I) | 31,690 | 1,579,113 | 1.3 | % | ||||||||||
Hill-Rom Holdings, Inc. | 13,300 | 1,058,813 | 0.9 | % | ||||||||||
Integra LifeSciences Holdings Corp. (I) | 20,997 | 1,144,546 | 0.9 | % | ||||||||||
NxStage Medical, Inc. (I) | 44,998 | 1,128,100 | 0.9 | % | ||||||||||
PerkinElmer, Inc. | 18,356 | 1,250,778 | 1.0 | % | ||||||||||
OTHER SECURITIES | 17,421,939 | 14.0 | % | |||||||||||
28,463,556 |
Shares or Principal Amount | Value | | % of Net Assets | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMON STOCKS (continued) | ||||||||||||||
Industrials – 15.6% | ||||||||||||||
Acuity Brands, Inc. (L) | 5,611 | $ | 1,140,604 | 0.9 | % | |||||||||
AO Smith Corp. | 22,111 | 1,245,513 | 1.0 | % | ||||||||||
BWX Technologies, Inc. | 22,632 | 1,103,310 | 0.9 | % | ||||||||||
John Bean Technologies Corp. | 12,824 | 1,256,752 | 1.0 | % | ||||||||||
Knight Transportation, Inc. | 38,963 | 1,443,579 | 1.2 | % | ||||||||||
Lincoln Electric Holdings, Inc. | 11,491 | 1,058,206 | 0.9 | % | ||||||||||
Old Dominion Freight Line, Inc. | 14,242 | 1,356,408 | 1.1 | % | ||||||||||
The Brink’s Company | 18,203 | 1,219,601 | 1.0 | % | ||||||||||
TransDigm Group, Inc. | 3,932 | 1,057,197 | 0.8 | % | ||||||||||
Wabtec Corp. (L) | 12,106 | 1,107,699 | 0.9 | % | ||||||||||
OTHER SECURITIES | 7,360,973 | 5.9 | % | |||||||||||
19,349,842 | ||||||||||||||
Information technology – 28.1% | ||||||||||||||
Aspen Technology, Inc. (I) | 23,627 | 1,305,628 | 1.0 | % | ||||||||||
Booz Allen Hamilton Holding Corp. | 36,720 | 1,194,869 | 1.0 | % | ||||||||||
Cognex Corp. | 14,618 | 1,241,068 | 1.0 | % | ||||||||||
CommVault Systems, Inc. (I) | 19,995 | 1,128,718 | 0.9 | % | ||||||||||
CoStar Group, Inc. (I) | 5,787 | 1,525,453 | 1.2 | % | ||||||||||
Euronet Worldwide, Inc. (I) | 14,676 | 1,282,242 | 1.0 | % | ||||||||||
Fair Isaac Corp. | 10,128 | 1,411,944 | 1.1 | % | ||||||||||
Guidewire Software, Inc. (I) | 19,336 | 1,328,577 | 1.1 | % | ||||||||||
Littelfuse, Inc. | 6,925 | 1,142,625 | 0.9 | % | ||||||||||
MicroStrategy, Inc., Class A (I) | 5,689 | 1,090,411 | 0.9 | % | ||||||||||
Monolithic Power Systems, Inc. | 12,779 | 1,231,896 | 1.0 | % | ||||||||||
Power Integrations, Inc. | 15,168 | 1,105,747 | 0.9 | % | ||||||||||
Q2 Holdings, Inc. (I) | 30,706 | 1,134,587 | 0.9 | % | ||||||||||
Silicon Laboratories, Inc. (I) | 17,438 | 1,191,887 | 1.0 | % | ||||||||||
Take-Two Interactive Software, Inc. (I) | 25,535 | 1,873,758 | 1.5 | % | ||||||||||
The Ultimate Software Group, Inc. (I) | 6,335 | 1,330,730 | 1.1 | % | ||||||||||
Trimble, Inc. (I) | 30,301 | 1,080,837 | 0.9 | % | ||||||||||
Zebra Technologies Corp., Class A (I) | 13,107 | 1,317,516 | 1.1 | % | ||||||||||
OTHER SECURITIES | 11,952,001 | 9.6 | % | |||||||||||
34,870,494 | ||||||||||||||
Materials – 4.0% | ||||||||||||||
Berry Global Group, Inc. (I) | 25,262 | 1,440,187 | 1.1 | % | ||||||||||
Martin Marietta Materials, Inc. | 6,798 | 1,513,099 | 1.2 | % | ||||||||||
PolyOne Corp. | 27,623 | 1,070,115 | 0.9 | % | ||||||||||
OTHER SECURITIES | 969,601 | 0.8 | % | |||||||||||
4,993,002 | ||||||||||||||
Real estate – 1.8% | 2,282,976 | 1.8 | % | |||||||||||
TOTAL COMMON STOCKS (Cost $94,715,424) | $ | 121,232,314 | ||||||||||||
SECURITIES LENDING COLLATERAL – 7.7% | ||||||||||||||
John Hancock Collateral Trust, 1.1508% (W)(Y) | 950,890 | 9,514,515 | 7.7 | % | ||||||||||
TOTAL SECURITIES LENDING COLLATERAL (Cost $9,514,873) | $ | 9,514,515 | ||||||||||||
SHORT-TERM INVESTMENTS – 2.5% | ||||||||||||||
Money market funds – 2.5% | ||||||||||||||
State Street Institutional Treasury Money Market Fund, Premier Class, 0.8262% (Y) | 3,093,510 | 3,093,510 | 2.5 | % | ||||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $3,093,510) | $ | 3,093,510 | ||||||||||||
Total Investments (Small Company Growth Trust) (Cost $107,323,807) – 107.9% | $ | 133,840,339 | 107.9 | % | ||||||||||
Other assets and liabilities, net – (7.9%) | (9,814,565 | ) | (7.9 | )% | ||||||||||
TOTAL NET ASSETS – 100.0% | $ | 124,025,774 | 100.0 | % |
(I) | Non-income producing security. | |||||
(L) | A portion of this security is on loan as of 6-30-17. | |||||
(W) | Investment is an affiliate of the fund, the advisor and/or subadvisor. This security represents the investment of cash collateral received for securities lending. | |||||
(Y) | The rate shown is the annualized seven-day yield as of 6-30-17. |
Shares or Principal Amount | Value | | % of Net Assets | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMON STOCKS – 97.9% | ||||||||||||||
Consumer discretionary – 10.8% | ||||||||||||||
Aaron’s, Inc. | 70,600 | $ | 2,746,340 | 1.0 | % | |||||||||
Capella Education Company | 25,500 | 2,182,800 | 0.8 | % | ||||||||||
Cavco Industries, Inc. (I) | 15,100 | 1,957,715 | 0.7 | % | ||||||||||
Dorman Products, Inc. (I) | 31,200 | 2,582,424 | 0.9 | % | ||||||||||
LCI Industries | 24,200 | 2,478,080 | 0.9 | % | ||||||||||
Pool Corp. | 24,900 | 2,927,493 | 1.1 | % | ||||||||||
OTHER SECURITIES | 14,996,329 | 5.4 | % | |||||||||||
29,871,181 | ||||||||||||||
Consumer staples – 3.7% | ||||||||||||||
Nomad Foods, Ltd. (I) | 177,700 | 2,507,347 | 0.9 | % | ||||||||||
OTHER SECURITIES | 7,816,544 | 2.8 | % | |||||||||||
10,323,891 | ||||||||||||||
Energy – 4.0% | ||||||||||||||
Matador Resources Company (I)(L) | 89,000 | 1,901,930 | 0.7 | % | ||||||||||
OTHER SECURITIES | 9,003,273 | 3.3 | % | |||||||||||
10,905,203 | ||||||||||||||
Financials – 29.6% | ||||||||||||||
BankUnited, Inc. | 89,100 | 3,003,561 | 1.1 | % | ||||||||||
CBOE Holdings, Inc. | 21,740 | 1,987,036 | 0.7 | % | ||||||||||
Columbia Banking System, Inc. | 74,700 | 2,976,795 | 1.1 | % | ||||||||||
East West Bancorp, Inc. | 87,300 | 5,114,034 | 1.9 | % | ||||||||||
Glacier Bancorp, Inc. | 70,700 | 2,588,327 | 0.9 | % | ||||||||||
Green Dot Corp., Class A (I) | 59,300 | 2,284,829 | 0.8 | % | ||||||||||
Home BancShares, Inc. | 216,000 | 5,378,400 | 1.9 | % | ||||||||||
National Bank Holdings Corp., Class A | 71,400 | 2,364,054 | 0.9 | % | ||||||||||
Popular, Inc. | 64,700 | 2,698,637 | 1.0 | % | ||||||||||
ProAssurance Corp. | 51,700 | 3,143,360 | 1.1 | % | ||||||||||
Prosperity Bancshares, Inc. | 47,100 | 3,025,704 | 1.1 | % | ||||||||||
Radian Group, Inc. | 130,600 | 2,135,310 | 0.8 | % | ||||||||||
SVB Financial Group (I) | 20,600 | 3,621,274 | 1.3 | % | ||||||||||
Texas Capital Bancshares, Inc. (I) | 27,400 | 2,120,760 | 0.8 | % | ||||||||||
Towne Bank | 89,900 | 2,768,920 | 1.0 | % | ||||||||||
Webster Financial Corp. | 42,450 | 2,216,739 | 0.8 | % | ||||||||||
Wintrust Financial Corp. | 30,700 | 2,346,708 | 0.9 | % | ||||||||||
OTHER SECURITIES | 31,913,592 | 11.5 | % | |||||||||||
81,688,040 | ||||||||||||||
Health care – 6.9% | ||||||||||||||
Atrion Corp. | 5,485 | 3,528,501 | 1.3 | % | ||||||||||
Haemonetics Corp. (I) | 48,000 | 1,895,520 | 0.7 | % | ||||||||||
Halyard Health, Inc. (I) | 57,100 | 2,242,888 | 0.8 | % | ||||||||||
WellCare Health Plans, Inc. (I) | 12,400 | 2,226,544 | 0.8 | % | ||||||||||
West Pharmaceutical Services, Inc. | 35,900 | 3,393,268 | 1.2 | % | ||||||||||
OTHER SECURITIES | 5,812,284 | 2.1 | % | |||||||||||
�� | 19,099,005 | |||||||||||||
Industrials – 12.9% | ||||||||||||||
Beacon Roofing Supply, Inc. (I) | 44,300 | 2,170,700 | 0.8 | % | ||||||||||
ESCO Technologies, Inc. | 45,400 | 2,708,110 | 1.0 | % | ||||||||||
Landstar System, Inc. | 50,000 | 4,280,000 | 1.5 | % | ||||||||||
OTHER SECURITIES | 26,473,477 | 9.6 | % | |||||||||||
35,632,287 |
Shares or Principal Amount | Value | | % of Net Assets | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMON STOCKS (continued) | ||||||||||||||
Information technology – 10.0% | ||||||||||||||
Advanced Energy Industries, Inc. (I) | 28,800 | $ | 1,863,072 | 0.7 | % | |||||||||
Belden, Inc. | 50,400 | 3,801,672 | 1.4 | % | ||||||||||
Knowles Corp. (I)(L) | 116,300 | 1,967,796 | 0.7 | % | ||||||||||
Littelfuse, Inc. | 24,576 | 4,055,040 | 1.5 | % | ||||||||||
SYNNEX Corp. | 18,600 | 2,231,256 | 0.8 | % | ||||||||||
OTHER SECURITIES | 13,575,402 | 4.9 | % | |||||||||||
27,494,238 | ||||||||||||||
Materials – 4.8% | ||||||||||||||
KMG Chemicals, Inc. | 40,700 | 1,980,869 | 0.7 | % | ||||||||||
Minerals Technologies, Inc. | 30,500 | 2,232,600 | 0.8 | % | ||||||||||
Myers Industries, Inc. | 115,100 | 2,066,045 | 0.8 | % | ||||||||||
OTHER SECURITIES | 6,959,939 | 2.5 | % | |||||||||||
13,239,453 | ||||||||||||||
Real estate – 8.6% | ||||||||||||||
Cedar Realty Trust, Inc. | 424,400 | 2,058,340 | 0.8 | % | ||||||||||
EastGroup Properties, Inc. | 32,600 | 2,731,880 | 1.0 | % | ||||||||||
Potlatch Corp. | 40,700 | 1,859,990 | 0.7 | % | ||||||||||
PS Business Parks, Inc. | 15,700 | 2,078,523 | 0.8 | % | ||||||||||
OTHER SECURITIES | 14,927,447 | 5.3 | % | |||||||||||
23,656,180 | ||||||||||||||
Utilities – 6.6% | ||||||||||||||
Chesapeake Utilities Corp. | 34,300 | 2,570,785 | 0.9 | % | ||||||||||
NorthWestern Corp. | 37,800 | 2,306,556 | 0.8 | % | ||||||||||
ONE Gas, Inc. | 44,400 | 3,099,564 | 1.1 | % | ||||||||||
PNM Resources, Inc. | 85,800 | 3,281,850 | 1.2 | % | ||||||||||
OTHER SECURITIES | 6,972,725 | 2.6 | % | |||||||||||
18,231,480 | ||||||||||||||
TOTAL COMMON STOCKS (Cost $181,019,285) | $ | 270,140,958 | ||||||||||||
SECURITIES LENDING COLLATERAL – 2.6% | ||||||||||||||
John Hancock Collateral Trust, 1.1508% (W)(Y) | 730,719 | 7,311,503 | 2.6 | % | ||||||||||
TOTAL SECURITIES LENDING COLLATERAL (Cost $7,311,683) | $ | 7,311,503 | ||||||||||||
SHORT-TERM INVESTMENTS – 1.8% | ||||||||||||||
Money market funds – 1.8% | ||||||||||||||
T. Rowe Price Government Money Fund, 0.9816% (Y) | 4,526,280 | 4,526,280 | 1.7 | % | ||||||||||
OTHER SECURITIES | 327,106 | 0.1 | % | |||||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $4,853,386) | $ | 4,853,386 | ||||||||||||
Total Investments (Small Company Value Trust) (Cost $193,184,354) – 102.3% | $ | 282,305,847 | 102.3 | % | ||||||||||
Other assets and liabilities, net – (2.3%) | (6,298,368 | ) | (2.3 | )% | ||||||||||
TOTAL NET ASSETS – 100.0% | $ | 276,007,479 | 100.0 | % |
(I) | Non-income producing security. | |||||
(L) | A portion of this security is on loan as of 6-30-17. | |||||
(W) | Investment is an affiliate of the fund, the advisor and/or subadvisor. This security represents the investment of cash collateral received for securities lending. | |||||
(Y) | The investment represents the investment of securities lending collateral and the rate shown is the annualized seven-day yield as of 6-30-17. |
Shares or Principal Amount | Value | | % of Net Assets | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMON STOCKS – 96.8% | ||||||||||||||
Consumer discretionary – 11.7% | ||||||||||||||
Amazon.com, Inc. (I) | 119,546 | $ | 115,720,528 | 1.0 | % | |||||||||
Comcast Corp., Class A | 1,426,156 | 55,505,992 | 0.5 | % | ||||||||||
McDonald’s Corp. (L) | 245,619 | 37,619,006 | 0.4 | % | ||||||||||
The Home Depot, Inc. | 360,270 | 55,265,418 | 0.5 | % | ||||||||||
The Walt Disney Company | 438,356 | 46,575,325 | 0.4 | % | ||||||||||
Toyota Motor Corp. | 670,800 | 35,259,572 | 0.3 | % | ||||||||||
OTHER SECURITIES | 981,014,961 | 8.6 | % | |||||||||||
1,326,960,802 | ||||||||||||||
Consumer staples – 8.9% | ||||||||||||||
Altria Group, Inc. | 582,100 | 43,348,987 | 0.4 | % | ||||||||||
British American Tobacco PLC | 479,135 | 32,649,638 | 0.3 | % | ||||||||||
Nestle SA | 799,862 | 69,762,084 | 0.6 | % | ||||||||||
PepsiCo, Inc. | 430,453 | 49,713,017 | 0.5 | % | ||||||||||
Philip Morris International, Inc. | 468,022 | 54,969,184 | 0.5 | % | ||||||||||
The Coca-Cola Company | 1,158,723 | 51,968,727 | 0.5 | % | ||||||||||
The Procter & Gamble Company | 770,651 | 67,162,235 | 0.6 | % | ||||||||||
Wal-Mart Stores, Inc. | 445,146 | 33,688,649 | 0.3 | % | ||||||||||
OTHER SECURITIES | 602,263,280 | 5.2 | % | |||||||||||
1,005,525,801 | ||||||||||||||
Energy – 5.1% | ||||||||||||||
Chevron Corp. | 570,994 | 59,571,804 | 0.5 | % | ||||||||||
Exxon Mobil Corp. | 1,276,966 | 103,089,465 | 0.9 | % | ||||||||||
Royal Dutch Shell PLC, A Shares | 1,138,124 | 30,238,475 | 0.3 | % | ||||||||||
Royal Dutch Shell PLC, B Shares | 962,430 | 25,837,777 | 0.2 | % | ||||||||||
OTHER SECURITIES | 362,145,881 | 3.2 | % | |||||||||||
580,883,402 | ||||||||||||||
Financials – 16.5% | ||||||||||||||
Bank of America Corp. | 2,998,917 | 72,753,726 | 0.7 | % | ||||||||||
Berkshire Hathaway, Inc., Class B (I) | 572,393 | 96,946,202 | 0.9 | % | ||||||||||
Citigroup, Inc. | 829,711 | 55,491,072 | 0.5 | % | ||||||||||
HSBC Holdings PLC | 5,104,579 | 47,380,516 | 0.4 | % | ||||||||||
JPMorgan Chase & Co. | 1,070,587 | 97,851,652 | 0.9 | % | ||||||||||
State Street Corp. | 106,597 | 9,564,949 | 0.1 | % | ||||||||||
Wells Fargo & Company | 1,355,196 | 75,091,410 | 0.7 | % | ||||||||||
OTHER SECURITIES | 1,416,922,794 | 12.3 | % | |||||||||||
1,872,002,321 | ||||||||||||||
Health care – 12.6% | ||||||||||||||
AbbVie, Inc. | 479,606 | 34,776,231 | 0.3 | % | ||||||||||
Amgen, Inc. | 221,759 | 38,193,553 | 0.4 | % | ||||||||||
Johnson & Johnson | 811,756 | 107,387,201 | 1.0 | % | ||||||||||
Medtronic PLC | 412,543 | 36,613,191 | 0.3 | % | ||||||||||
Merck & Company, Inc. | 824,226 | 52,824,644 | 0.5 | % | ||||||||||
Novartis AG | 573,901 | 47,936,004 | 0.4 | % | ||||||||||
Pfizer, Inc. | 1,798,368 | 60,407,181 | 0.5 | % | ||||||||||
Roche Holding AG | 180,559 | 46,135,505 | 0.4 | % | ||||||||||
UnitedHealth Group, Inc. | 290,378 | 53,841,889 | 0.5 | % | ||||||||||
OTHER SECURITIES | 952,366,547 | 8.3 | % | |||||||||||
1,430,481,946 | ||||||||||||||
Industrials – 11.8% | ||||||||||||||
3M Company | 180,064 | 37,487,524 | 0.3 | % | ||||||||||
General Electric Company | 2,624,298 | 70,882,289 | 0.6 | % | ||||||||||
Honeywell International, Inc. | 229,729 | 30,620,578 | 0.3 | % | ||||||||||
The Boeing Company | 169,148 | 33,449,017 | 0.3 | % | ||||||||||
OTHER SECURITIES | 1,161,982,044 | 10.3 | % | |||||||||||
1,334,421,452 | ||||||||||||||
Information technology – 16.0% | ||||||||||||||
Alphabet, Inc., Class A (I) | 89,687 | 83,380,210 | 0.8 | % | ||||||||||
Alphabet, Inc., Class C (I) | 89,920 | 81,713,002 | 0.7 | % | ||||||||||
Apple, Inc. | 1,571,168 | 226,279,615 | 2.0 | % | ||||||||||
Cisco Systems, Inc. | 1,506,719 | 47,160,305 | 0.4 | % |
Shares or Principal Amount | Value | | % of Net Assets | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMON STOCKS (continued) | ||||||||||||||
Information technology (continued) | ||||||||||||||
Facebook, Inc., Class A (I) | 712,296 | $ | 107,542,450 | 1.0 | % | |||||||||
IBM Corp. | 257,625 | 39,630,454 | 0.4 | % | ||||||||||
Intel Corp. | 1,418,957 | 47,875,609 | 0.4 | % | ||||||||||
Mastercard, Inc., Class A | 282,624 | 34,324,685 | 0.3 | % | ||||||||||
Microsoft Corp. | 2,326,495 | 160,365,300 | 1.4 | % | ||||||||||
Oracle Corp. | 905,130 | 45,383,218 | 0.4 | % | ||||||||||
Visa, Inc., Class A | 556,298 | 52,169,626 | 0.5 | % | ||||||||||
OTHER SECURITIES | 890,571,379 | 7.7 | % | |||||||||||
1,816,395,853 | ||||||||||||||
Materials – 4.7% | 531,410,411 | 4.7 | % | |||||||||||
Real estate – 3.7% | ||||||||||||||
GGP, Inc. | 175,475 | 4,134,191 | 0.1 | % | ||||||||||
OTHER SECURITIES | 414,954,840 | 3.6 | % | |||||||||||
419,089,031 | ||||||||||||||
Telecommunication services – 2.5% | ||||||||||||||
AT&T, Inc. | 1,852,634 | 69,899,881 | 0.6 | % | ||||||||||
Verizon Communications, Inc. | 1,229,289 | 54,900,047 | 0.5 | % | ||||||||||
OTHER SECURITIES | 164,502,133 | 1.4 | % | |||||||||||
289,302,061 | ||||||||||||||
Utilities – 3.3% | 375,880,485 | 3.3 | % | |||||||||||
TOTAL COMMON STOCKS (Cost $7,717,885,473) | $ | 10,982,353,565 | ||||||||||||
PREFERRED SECURITIES – 0.2% | ||||||||||||||
Consumer discretionary – 0.1% | 11,288,479 | 0.1 | % | |||||||||||
Consumer staples – 0.1% | 6,300,087 | 0.1 | % | |||||||||||
Materials – 0.0% | 965,574 | 0.0 | % | |||||||||||
TOTAL PREFERRED SECURITIES (Cost $16,609,866) | $ | 18,554,140 | ||||||||||||
RIGHTS – 0.0% | ||||||||||||||
TOTAL RIGHTS (Cost $62,999) | $ | 52,135 | ||||||||||||
SECURITIES LENDING COLLATERAL – 1.7% | ||||||||||||||
John Hancock Collateral Trust, 1.1508% (W)(Y) | 19,411,874 | 194,233,269 | 1.7 | % | ||||||||||
TOTAL SECURITIES LENDING COLLATERAL (Cost $194,239,525) | $ | 194,233,269 | ||||||||||||
SHORT-TERM INVESTMENTS – 2.6% | ||||||||||||||
U.S. Government Agency – 0.9% | ||||||||||||||
Federal Home Loan Bank Discount Note 0.900%, 07/19/2017* | $ | 25,600,000 | $ | 25,588,480 | 0.2 | % | ||||||||
Federal Home Loan Bank Discount Note 1.000%, 08/21/2017* | 80,000,000 | 79,886,667 | 0.7 | % | ||||||||||
105,475,147 | ||||||||||||||
Repurchase agreement – 1.7% | ||||||||||||||
Repurchase Agreement with State Street Corp. dated 06/30/2017 at 0.340% to be repurchased at $193,125,472 on 07/03/2017, collateralized by $64,070,000 U.S. Treasury Inflation Indexed Bonds, 0.875% due 02/15/2047 (valued at $62,755,284, including interest) and by $129,185,000 U.S. Treasury Bonds, 3.000% due 05/15/2045 (valued at $134,237,684, including interest) | 193,120,000 | 193,120,000 | 1.7 | % | ||||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $298,595,147) | $ | 298,595,147 | ||||||||||||
Total Investments (Strategic Equity Allocation Trust) (Cost $8,227,393,010) – 101.3% | $ | 11,493,788,256 | 101.3 | % | ||||||||||
Other assets and liabilities, net – (1.3%) | (143,627,444 | ) | (1.3 | )% | ||||||||||
TOTAL NET ASSETS – 100.0% | $ | 11,350,160,812 | 100.0 | % |
(I) | Non-income producing security. | |||||
(L) | A portion of this security is on loan as of 6-30-17. | |||||
(W) | Investment is an affiliate of the fund, the advisor and/or subadvisor. This security represents the investment of cash collateral received for securities lending. | |||||
(Y) | The rate shown is the annualized seven-day yield as of 6-30-17. | |||||
* | Yield represents either the annualized yield at the date of purchase, the stated coupon rate or, for floating rate securities, the rate at period end. |
Open Contracts | | Number of Contracts | | Position | | Expiration Date | | Notional Basis* | | Notional Value* | | Unrealized Appreciation (Depreciation) | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Mini MSCI EAFE Index Futures | 1,462 | Long | Sep 2017 | $ | 138,874,195 | $ | 138,129,760 | ($744,435 | ) | |||||||||||||||||
Russell 2000 Mini Index Futures | 159 | Long | Sep 2017 | 11,308,114 | 11,243,685 | (64,429 | ) | |||||||||||||||||||
S&P 500 Index E-Mini Futures | 1,304 | Long | Sep 2017 | 158,460,751 | 157,842,680 | (618,071 | ) | |||||||||||||||||||
S&P Mid 400 Index E-Mini Futures | 224 | Long | Sep 2017 | 39,214,769 | 39,112,640 | (102,129 | ) | |||||||||||||||||||
($1,529,064 | ) |
Shares or Principal Amount | Value | | % of Net Assets | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMON STOCKS – 95.0% | ||||||||||||||
Consumer discretionary – 12.4% | ||||||||||||||
Amazon.com, Inc. (I) | 12,860 | $ | 12,448,480 | 1.6 | % | |||||||||
Comcast Corp., Class A | 129,370 | 5,035,080 | 0.7 | % | ||||||||||
McDonald’s Corp. | 22,481 | 3,443,190 | 0.5 | % | ||||||||||
NIKE, Inc., Class B | 45,080 | 2,659,720 | 0.4 | % | ||||||||||
The Home Depot, Inc. | 32,962 | 5,056,371 | 0.7 | % | ||||||||||
The Priceline Group, Inc. (I) | 1,338 | 2,502,756 | 0.3 | % | ||||||||||
The Walt Disney Company | 42,986 | 4,567,263 | 0.6 | % | ||||||||||
OTHER SECURITIES | 60,311,951 | 7.6 | % | |||||||||||
96,024,811 | ||||||||||||||
Consumer staples – 8.4% | ||||||||||||||
Altria Group, Inc. | 52,725 | 3,926,431 | 0.5 | % | ||||||||||
PepsiCo, Inc. | 38,746 | 4,474,776 | 0.6 | % | ||||||||||
Philip Morris International, Inc. | 41,946 | 4,926,558 | 0.6 | % | ||||||||||
Reynolds American, Inc. | 38,580 | 2,509,243 | 0.3 | % | ||||||||||
The Coca-Cola Company | 116,588 | 5,228,972 | 0.7 | % | ||||||||||
The Kraft Heinz Company | 32,941 | 2,821,067 | 0.4 | % | ||||||||||
The Procter & Gamble Company | 72,355 | 6,305,738 | 0.8 | % | ||||||||||
Wal-Mart Stores, Inc. | 83,146 | 6,292,489 | 0.8 | % | ||||||||||
OTHER SECURITIES | 28,675,104 | 3.7 | % | |||||||||||
65,160,378 | ||||||||||||||
Energy – 6.1% | ||||||||||||||
Chevron Corp. | 51,021 | 5,323,021 | 0.7 | % | ||||||||||
Exxon Mobil Corp. | 112,080 | 9,048,218 | 1.2 | % | ||||||||||
OTHER SECURITIES | 32,843,543 | 4.2 | % | |||||||||||
47,214,782 | ||||||||||||||
Financials – 14.3% | ||||||||||||||
Bank of America Corp. | 273,324 | 6,630,840 | 0.9 | % | ||||||||||
Berkshire Hathaway, Inc., Class B (I) | 66,670 | 11,291,898 | 1.5 | % | ||||||||||
Citigroup, Inc. | 77,160 | 5,160,461 | 0.7 | % | ||||||||||
JPMorgan Chase & Co. | 96,684 | 8,836,918 | 1.2 | % | ||||||||||
State Street Corp. | 10,409 | 934,000 | 0.1 | % | ||||||||||
Wells Fargo & Company | 135,569 | 7,511,878 | 1.0 | % | ||||||||||
OTHER SECURITIES | 69,825,123 | 8.9 | % | |||||||||||
110,191,118 | ||||||||||||||
Health care – 12.4% | ||||||||||||||
AbbVie, Inc. | 44,146 | 3,201,026 | 0.4 | % | ||||||||||
Amgen, Inc. | 20,151 | 3,470,607 | 0.5 | % | ||||||||||
Bristol-Myers Squibb Company | 45,239 | 2,520,717 | 0.3 | % | ||||||||||
Celgene Corp. (I) | 21,003 | 2,727,660 | 0.4 | % | ||||||||||
Gilead Sciences, Inc. | 35,677 | 2,525,218 | 0.4 | % | ||||||||||
Johnson & Johnson | 73,550 | 9,729,930 | 1.3 | % | ||||||||||
Merck & Company, Inc. | 74,614 | 4,782,011 | 0.6 | % | ||||||||||
Pfizer, Inc. | 164,224 | 5,516,284 | 0.7 | % | ||||||||||
UnitedHealth Group, Inc. | 26,026 | 4,825,741 | 0.6 | % | ||||||||||
OTHER SECURITIES | 56,039,727 | 7.2 | % | |||||||||||
95,338,921 | ||||||||||||||
Industrials – 9.8% | ||||||||||||||
3M Company | 16,248 | 3,382,671 | 0.5 | % | ||||||||||
General Electric Company | 239,176 | 6,460,144 | 0.9 | % | ||||||||||
Honeywell International, Inc. | 20,584 | 2,743,641 | 0.4 | % | ||||||||||
The Boeing Company | 16,760 | 3,314,290 | 0.4 | % | ||||||||||
United Parcel Service, Inc., Class B | 23,583 | 2,608,044 | 0.4 | % | ||||||||||
United Technologies Corp. | 22,250 | 2,716,948 | 0.4 | % | ||||||||||
OTHER SECURITIES | 54,728,653 | 6.8 | % | |||||||||||
75,954,391 | ||||||||||||||
Information technology – 19.9% | ||||||||||||||
Alphabet, Inc., Class C (I) | 18,652 | 16,949,632 | 2.2 | % | ||||||||||
Apple, Inc. | 144,236 | 20,772,868 | 2.7 | % | ||||||||||
Cisco Systems, Inc. | 135,730 | 4,248,349 | 0.6 | % | ||||||||||
Facebook, Inc., Class A (I) | 78,003 | 11,776,893 | 1.5 | % | ||||||||||
COMMON STOCKS (continued) | ||||||||||||||
Information technology (continued) | ||||||||||||||
IBM Corp. | 25,701 | $ | 3,953,585 | 0.5 | % | |||||||||
Intel Corp. | 128,154 | 4,323,916 | 0.6 | % | ||||||||||
Mastercard, Inc., Class A | 29,475 | 3,579,739 | 0.5 | % | ||||||||||
Microsoft Corp. | 210,345 | 14,499,081 | 1.9 | % | ||||||||||
Oracle Corp. | 111,048 | 5,567,947 | 0.7 | % | ||||||||||
Visa, Inc., Class A | 57,604 | 5,402,103 | 0.7 | % | ||||||||||
OTHER SECURITIES | 62,446,691 | 8.0 | % | |||||||||||
153,520,804 | ||||||||||||||
Materials – 3.1% | 23,545,253 | 3.1 | % | |||||||||||
Real estate – 3.7% | 28,474,883 | 3.7 | % | |||||||||||
Telecommunication services – 2.0% | ||||||||||||||
AT&T, Inc. | 165,991 | 6,262,840 | 0.8 | % | ||||||||||
Verizon Communications, Inc. | 110,127 | 4,918,272 | 0.7 | % | ||||||||||
OTHER SECURITIES | 4,123,256 | 0.5 | % | |||||||||||
15,304,368 | ||||||||||||||
Utilities – 2.9% | 22,107,615 | 2.9 | % | |||||||||||
TOTAL COMMON STOCKS (Cost $417,962,223) | $ | 732,837,324 | ||||||||||||
CONVERTIBLE BONDS – 0.0% | ||||||||||||||
Health care – 0.0% | 522 | 0.0 | % | |||||||||||
TOTAL CONVERTIBLE BONDS (Cost $779) | $ | 522 | ||||||||||||
WARRANTS – 0.0% | ||||||||||||||
TOTAL WARRANTS (Cost $19,102) | $ | 1,299 | ||||||||||||
SECURITIES LENDING COLLATERAL – 2.2% | ||||||||||||||
John Hancock Collateral Trust, 1.1508% (W)(Y) | 1,646,876 | 16,478,478 | 2.2 | % | ||||||||||
TOTAL SECURITIES LENDING COLLATERAL (Cost $16,479,429) | $ | 16,478,478 | ||||||||||||
SHORT-TERM INVESTMENTS – 5.4% | ||||||||||||||
Repurchase agreement – 5.4% | ||||||||||||||
Repurchase Agreement with State Street Corp. dated 06/30/2017 at 0.340% to be repurchased at $41,671,181 on 07/03/2017, collateralized by $39,330,000 U.S. Treasury Bonds, 3.000% due 05/15/2045 (valued at $40,868,275, including interest) and $1,670,000 U.S. Treasury Inflation Indexed Bonds, 0.875% due 02/15/2047 (valued at $1,635,732, including interest) | $ | 41,670,000 | 41,670,000 | 5.4 | % | |||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $41,670,000) | $ | 41,670,000 | ||||||||||||
Total Investments (Total Stock Market Index Trust) (Cost $476,131,533) – 102.6% | $ | 790,987,623 | 102.6 | % | ||||||||||
Other assets and liabilities, net – (2.6%) | (19,736,974 | ) | (2.6 | )% | ||||||||||
TOTAL NET ASSETS – 100.0% | $ | 771,250,649 | 100.0 | % |
(I) | Non-income producing security. | |||||
(W) | Investment is an affiliate of the fund, the advisor and/or subadvisor. This security represents the investment of cash collateral received for securities lending. | |||||
(Y) | The rate shown is the annualized seven-day yield as of 6-30-17. |
Open contracts | | Number of contracts | | Position | | Expiration date | | Notional basis* | | Notional value* | | Unrealized appreciation (depreciation) | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Russell 2000 Mini Index Futures | 79 | Long | Sep 2017 | $ | 5,661,022 | $ | 5,586,485 | ($74,537 | ) | |||||||||||||||||
S&P 500 Index Futures | 60 | Long | Sep 2017 | 36,455,896 | 36,313,500 | (142,396 | ) | |||||||||||||||||||
S&P Mid 400 Index E-Mini Futures | 14 | Long | Sep 2017 | 2,450,886 | 2,444,540 | (6,346 | ) | |||||||||||||||||||
($223,279 | ) |
* | Notional basis refers to the contractual amount agreed upon at inception of open contracts; notional value represents the current value of the open contract. |
Shares or Principal Amount | Value | | % of Net Assets | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMON STOCKS – 94.3% | ||||||||||||||
Consumer discretionary – 4.7% | ||||||||||||||
Altice USA, Inc., Class A (I) | 83,677 | $ | 2,702,767 | 0.8 | % | |||||||||
Charter Communications, Inc., Class A (I) | 12,101 | 4,076,222 | 1.3 | % | ||||||||||
Comcast Corp., Class A | 160,897 | 6,262,111 | 1.9 | % | ||||||||||
OTHER SECURITIES | 2,327,967 | 0.7 | % | |||||||||||
15,369,067 | ||||||||||||||
Energy – 17.5% | ||||||||||||||
Cheniere Energy, Inc. (I) | 73,842 | 3,596,844 | 1.1 | % | ||||||||||
Enbridge, Inc. | 148,163 | 5,902,298 | 1.8 | % | ||||||||||
Energy Transfer Partners LP (L) | 346,677 | 7,068,744 | 2.2 | % | ||||||||||
Enterprise Products Partners LP | 281,261 | 7,616,548 | 2.3 | % | ||||||||||
EQT Midstream Partners LP | 60,689 | 4,529,220 | 1.4 | % | ||||||||||
Plains GP Holdings LP, Class A | 111,450 | 2,915,532 | 0.9 | % | ||||||||||
Targa Resources Corp. | 52,916 | 2,391,803 | 0.7 | % | ||||||||||
The Williams Companies, Inc. | 108,470 | 3,284,472 | 1.0 | % | ||||||||||
TransCanada Corp. | 92,117 | 4,391,327 | 1.4 | % | ||||||||||
Williams Partners LP (L) | 71,580 | 2,871,074 | 0.9 | % | ||||||||||
OTHER SECURITIES | 12,235,124 | 3.8 | % | |||||||||||
56,802,986 | ||||||||||||||
Industrials – 0.5% | 1,679,040 | 0.5 | % | |||||||||||
Real estate – 2.5% | ||||||||||||||
American Tower Corp. | 55,438 | 7,335,556 | 2.2 | % | ||||||||||
OTHER SECURITIES | 828,691 | 0.3 | % | |||||||||||
8,164,247 | ||||||||||||||
Telecommunication services – 11.5% | ||||||||||||||
Cellnex Telecom SA (S) | 158,895 | 3,283,800 | 1.0 | % | ||||||||||
Com Hem Holding AB | 585,824 | 8,142,106 | 2.5 | % | ||||||||||
Hellenic Telecommunications Organization SA | 209,127 | 2,517,192 | 0.8 | % | ||||||||||
KDDI Corp. | 91,600 | 2,422,602 | 0.7 | % | ||||||||||
Koninklijke KPN NV | 1,089,859 | 3,488,161 | 1.1 | % | ||||||||||
Mobile TeleSystems PJSC, ADR | 281,114 | 2,355,735 | 0.7 | % | ||||||||||
Orange SA | 169,048 | 2,690,383 | 0.8 | % | ||||||||||
TDC A/S | 401,565 | 2,335,257 | 0.7 | % | ||||||||||
OTHER SECURITIES | 10,274,107 | 3.2 | % | |||||||||||
37,509,343 | ||||||||||||||
Utilities – 57.6% | ||||||||||||||
AES Corp. | 433,166 | 4,812,474 | 1.5 | % | ||||||||||
Ameren Corp. | 51,963 | 2,840,817 | 0.9 | % | ||||||||||
American Electric Power Company, Inc. | 114,387 | 7,946,465 | 2.4 | % | ||||||||||
Avangrid, Inc. | 67,840 | 2,995,136 | 0.9 | % | ||||||||||
Calpine Corp. (I) | 530,926 | 7,183,429 | 2.2 | % | ||||||||||
China Resources Gas Group, Ltd. | 924,000 | 3,151,193 | 1.0 | % | ||||||||||
DTE Energy Company | 25,819 | 2,731,392 | 0.8 | % | ||||||||||
Duke Energy Corp. | 66,573 | 5,564,837 | 1.7 | % | ||||||||||
Common stocks (continued) | ||||||||||||||
Utilities (continued) | ||||||||||||||
Dynegy, Inc. (I) | 359,224 | $ | 2,970,782 | 0.9 | % | |||||||||
Edison International | 50,205 | 3,925,529 | 1.2 | % | ||||||||||
EDP – Energias de Portugal SA | 1,391,949 | 4,553,371 | 1.4 | % | ||||||||||
EDP Renovaveis SA | 1,604,071 | 12,750,406 | 3.9 | % | ||||||||||
Enel SpA | 1,954,846 | 10,484,800 | 3.2 | % | ||||||||||
Exelon Corp. | 597,659 | 21,557,560 | 6.6 | % | ||||||||||
Great Plains Energy, Inc. | 64,598 | 1,891,429 | 0.6 | % | ||||||||||
Iberdrola SA | 639,280 | 5,065,920 | 1.6 | % | ||||||||||
NextEra Energy Partners LP | 115,021 | 4,254,627 | 1.3 | % | ||||||||||
NextEra Energy, Inc. | 101,852 | 14,272,521 | 4.4 | % | ||||||||||
NRG Energy, Inc. | 329,607 | 5,675,833 | 1.7 | % | ||||||||||
NRG Yield, Inc., Class A | 144,768 | 2,469,742 | 0.8 | % | ||||||||||
NRG Yield, Inc., Class C (L) | 128,504 | 2,261,670 | 0.7 | % | ||||||||||
PG&E Corp. | 143,338 | 9,513,343 | 2.9 | % | ||||||||||
PPL Corp. | 340,612 | 13,168,060 | 4.0 | % | ||||||||||
Public Service Enterprise Group, Inc. | 72,053 | 3,099,000 | 1.0 | % | ||||||||||
Sempra Energy | 105,634 | 11,910,234 | 3.7 | % | ||||||||||
SSE PLC | 222,962 | 4,218,727 | 1.3 | % | ||||||||||
Suez | 146,745 | 2,717,195 | 0.8 | % | ||||||||||
OTHER SECURITIES | 13,450,744 | 4.2 | % | |||||||||||
187,437,236 | ||||||||||||||
TOTAL COMMON STOCKS (Cost $293,189,981) | $ | 306,961,919 | ||||||||||||
PREFERRED SECURITIES – 5.3% | ||||||||||||||
Energy – 0.8% | ||||||||||||||
Anadarko Petroleum Corp., 7.500% (L) | 60,689 | 2,493,650 | 0.8 | % | ||||||||||
Real estate – 0.6% | ||||||||||||||
American Tower Corp., 5.500% | 16,325 | 1,979,080 | 0.6 | % | ||||||||||
Telecommunication services – 0.3% | 998,340 | 0.3 | % | |||||||||||
Utilities – 3.6% | ||||||||||||||
Dominion Energy, Inc., 6.750% | 52,196 | 2,626,503 | 0.8 | % | ||||||||||
Dynegy, Inc., 5.375% | 44,486 | 1,289,204 | 0.4 | % | ||||||||||
Dynegy, Inc., 7.000% | 14,168 | 854,755 | 0.3 | % | ||||||||||
Great Plains Energy, Inc., 7.000% | 31,421 | 1,666,570 | 0.5 | % | ||||||||||
NextEra Energy, Inc., 6.123% | 66,445 | 3,588,694 | 1.1 | % | ||||||||||
NextEra Energy, Inc., 6.371% | 26,778 | 1,717,541 | 0.5 | % | ||||||||||
11,743,267 | ||||||||||||||
TOTAL PREFERRED SECURITIES (Cost $22,109,696) | $ | 17,214,337 | ||||||||||||
SECURITIES LENDING COLLATERAL – 3.1% | ||||||||||||||
John Hancock Collateral Trust, 1.1508% (W)(Y) | 1,010,223 | 10,108,192 | 3.1 | % | ||||||||||
TOTAL SECURITIES LENDING COLLATERAL (Cost $10,108,207) | $ | 10,108,192 |
Shares or Principal Amount | Value | | % of Net Assets | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHORT-TERM INVESTMENTS – 0.8% | |||||||||||||||||
U.S. Government Agency – 0.6% | $ | 1,988,000 | 0.6 | % | |||||||||||||
Repurchase agreement – 0.2% | 522,000 | 0.2 | % | ||||||||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $2,509,950) | $ | 2,510,000 | �� | ||||||||||||||
Total Investments (Utilities Trust) (Cost $327,917,834) – 103.5% | $ | 336,794,448 | 103.5 | % | |||||||||||||
Other assets and liabilities, net – (3.5%) | (11,372,998 | ) | (3.5 | )% | |||||||||||||
TOTAL NET ASSETS – 100.0% | $ | 325,421,450 | 100.0 | % |
ADR | American Depositary Receipts | |||||
(I) | Non-income producing security. | |||||
(L) | A portion of this security is on loan as of 6-30-17. | |||||
(S) | These securities are exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be resold, normally to qualified institutional buyers, in transactions exempt from registration. | |||||
(W) | Investment is an affiliate of the fund, the advisor and/or subadvisor. This security represents the investment of cash collateral received for securities lending. | |||||
(Y) | The rate shown is the annualized seven-day yield as of 6-30-17. |
Contract to buy | Contract to sell | | Counterparty (OTC) | | Contractual settlement date | | Unrealized appreciation | | Unrealized depreciation | | ||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CAD | 92,647 | USD | 69,992 | Barclays Bank PLC Wholesale | 8/10/2017 | $ | 1,497 | — | ||||||||||||||||||||||||
CAD | 71,015 | USD | 53,582 | Deutsche Bank AG London | 8/10/2017 | 1,215 | — | |||||||||||||||||||||||||
CAD | 90,315 | USD | 68,328 | Goldman Sachs International | 8/10/2017 | 1,361 | — | |||||||||||||||||||||||||
CAD | 31,222 | USD | 23,973 | JPMorgan Chase Bank N.A. | 8/10/2017 | 119 | — | |||||||||||||||||||||||||
CAD | 218,898 | USD | 166,004 | Morgan Stanley Capital Services, Inc. | 8/10/2017 | 2,905 | — | |||||||||||||||||||||||||
EUR | 254,683 | USD | 285,968 | BNP Paribas SA | 8/10/2017 | 5,454 | — | |||||||||||||||||||||||||
EUR | 68,606 | USD | 77,005 | Deutsche Bank AG London | 8/10/2017 | 1,498 | — | |||||||||||||||||||||||||
EUR | 98,954 | USD | 110,651 | JPMorgan Chase Bank N.A. | 8/10/2017 | 2,577 | — | |||||||||||||||||||||||||
EUR | 235,708 | USD | 265,924 | Morgan Stanley Capital Services, Inc. | 8/10/2017 | 3,787 | — | |||||||||||||||||||||||||
GBP | 146,791 | USD | 191,155 | BNP Paribas SA | 8/10/2017 | 249 | — | |||||||||||||||||||||||||
GBP | 1,856 | USD | 2,370 | UBS AG | 8/10/2017 | 49 | — | |||||||||||||||||||||||||
USD | 19,071 | CAD | 25,389 | BNP Paribas SA | 8/10/2017 | — | ($519 | ) | ||||||||||||||||||||||||
USD | 118,560 | CAD | 156,739 | Deutsche Bank AG London | 8/10/2017 | — | (2,384 | ) | ||||||||||||||||||||||||
USD | 363,019 | CAD | 488,299 | Goldman Sachs International | 8/10/2017 | — | (13,766 | ) | ||||||||||||||||||||||||
USD | 264,604 | CAD | 352,999 | JPMorgan Chase Bank N.A. | 8/10/2017 | — | (7,780 | ) | ||||||||||||||||||||||||
USD | 7,014,374 | CAD | 9,444,363 | Merrill Lynch International | 8/10/2017 | — | (273,148 | ) | ||||||||||||||||||||||||
USD | 636,671 | EUR | 578,000 | Barclays Bank PLC Wholesale | 7/19/2017 | — | (23,965 | ) | ||||||||||||||||||||||||
USD | 518,708 | EUR | 471,000 | BNP Paribas SA | 7/19/2017 | — | (19,631 | ) | ||||||||||||||||||||||||
USD | 4,648,047 | EUR | 4,160,182 | Morgan Stanley Capital Services, Inc. | 7/19/2017 | — | (106,910 | ) | ||||||||||||||||||||||||
USD | 916,303 | EUR | 812,594 | BNP Paribas SA | 8/10/2017 | — | (13,514 | ) | ||||||||||||||||||||||||
USD | 220,768 | EUR | 195,307 | Citibank N.A. | 8/10/2017 | — | (2,714 | ) | ||||||||||||||||||||||||
USD | 832,292 | EUR | 741,000 | Deutsche Bank AG London | 8/10/2017 | — | (15,602 | ) | ||||||||||||||||||||||||
USD | 875,863 | EUR | 774,586 | HSBC Bank USA | 8/10/2017 | — | (10,462 | ) | ||||||||||||||||||||||||
USD | 23,056,974 | EUR | 20,394,764 | JPMorgan Chase Bank N.A. | 8/10/2017 | — | (279,863 | ) | ||||||||||||||||||||||||
USD | 1,816,353 | EUR | 1,606,113 | Morgan Stanley Capital Services, Inc. | 8/10/2017 | — | (21,452 | ) | ||||||||||||||||||||||||
USD | 4,853,402 | GBP | 3,759,340 | Merrill Lynch International | 8/10/2017 | — | (48,482 | ) | ||||||||||||||||||||||||
$ | 20,711 | $ | (840,192 | ) |
CAD | Canadian Dollar | |||||
EUR | Euro | |||||
GBP | British Pound | |||||
USD | United States Dollar |
OTC | Over-the-counter |
Shares or Principal Amount | Value | | % of Net Assets | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMON STOCKS – 96.8% | ||||||||||||||
Consumer discretionary – 9.8% | ||||||||||||||
Advance Auto Parts, Inc. | 75,435 | $ | 8,794,967 | 1.8 | % | |||||||||
Regal Entertainment Group, Class A | 419,767 | 8,588,433 | 1.7 | % | ||||||||||
Royal Caribbean Cruises, Ltd. | 168,570 | 18,412,901 | 3.8 | % | ||||||||||
Scripps Networks Interactive, Inc., Class A | 183,183 | 12,513,231 | 2.5 | % | ||||||||||
48,309,532 | ||||||||||||||
Consumer staples – 2.3% | ||||||||||||||
Conagra Brands, Inc. | 318,140 | 11,376,686 | 2.3 | % | ||||||||||
Energy – 6.3% | ||||||||||||||
Devon Energy Corp. | 417,369 | 13,343,287 | 2.7 | % | ||||||||||
Marathon Oil Corp. | 683,303 | 8,097,141 | 1.7 | % | ||||||||||
TechnipFMC PLC (I) | 344,829 | 9,379,349 | 1.9 | % | ||||||||||
30,819,777 | ||||||||||||||
Financials – 25.4% | ||||||||||||||
Arthur J. Gallagher & Company | 236,514 | 13,540,427 | 2.8 | % | ||||||||||
Comerica, Inc. | 261,901 | 19,181,629 | 3.9 | % | ||||||||||
KeyCorp | 1,013,238 | 18,988,080 | 3.9 | % | ||||||||||
Stifel Financial Corp. (I) | 274,656 | 12,628,683 | 2.6 | % | ||||||||||
Voya Financial, Inc. | 352,012 | 12,985,723 | 2.6 | % | ||||||||||
Willis Towers Watson PLC | 108,478 | 15,779,210 | 3.2 | % | ||||||||||
Wintrust Financial Corp. | 199,261 | 15,231,511 | 3.1 | % | ||||||||||
Zions Bancorporation | 367,138 | 16,121,030 | 3.3 | % | ||||||||||
124,456,293 | ||||||||||||||
Health care – 7.7% | ||||||||||||||
AmerisourceBergen Corp. | 127,605 | 12,062,501 | 2.5 | % | ||||||||||
HealthSouth Corp. | 266,616 | 12,904,214 | 2.6 | % | ||||||||||
Mylan NV (I) | 328,869 | 12,766,695 | 2.6 | % | ||||||||||
37,733,410 | ||||||||||||||
Industrials – 14.7% | ||||||||||||||
Babcock & Wilcox Enterprises, Inc. (I) | 105,257 | 1,237,822 | 0.2 | % | ||||||||||
Clean Harbors, Inc. (I) | 73,122 | 4,082,401 | 0.8 | % | ||||||||||
Fluor Corp. | 247,346 | 11,323,500 | 2.3 | % | ||||||||||
Ingersoll-Rand PLC | 110,719 | 10,118,609 | 2.1 | % | ||||||||||
Johnson Controls International PLC | 271,797 | 11,785,118 | 2.4 | % | ||||||||||
Kirby Corp. (I) | 146,174 | 9,771,732 | 2.0 | % | ||||||||||
Ryder System, Inc. | 76,146 | 5,480,989 | 1.1 | % | ||||||||||
Textron, Inc. | 390,869 | 18,409,930 | 3.8 | % | ||||||||||
72,210,101 | ||||||||||||||
Information technology – 14.5% | ||||||||||||||
ARRIS International PLC (I) | 245,514 | 6,879,302 | 1.4 | % | ||||||||||
Ciena Corp. (I) | 645,667 | 16,154,588 | 3.3 | % | ||||||||||
Citrix Systems, Inc. (I) | 28,300 | 2,252,114 | 0.4 | % | ||||||||||
Diebold Nixdorf, Inc. | 379,923 | 10,637,844 | 2.2 | % | ||||||||||
Keysight Technologies, Inc. (I) | 398,793 | 15,525,011 | 3.2 | % | ||||||||||
Teradata Corp. (I) | 329,464 | 9,715,893 | 2.0 | % | ||||||||||
Zebra Technologies Corp., Class A (I) | 98,429 | 9,894,083 | 2.0 | % | ||||||||||
71,058,835 | ||||||||||||||
COMMON STOCKS (continued) | ||||||||||||||
Materials – 5.4% | ||||||||||||||
Eastman Chemical Company | 202,003 | $ | 16,966,232 | 3.4 | % | |||||||||
W.R. Grace & Company | 134,518 | 9,686,641 | 2.0 | % | ||||||||||
26,652,873 | ||||||||||||||
Real estate – 6.6% | ||||||||||||||
Forest City Realty Trust, Inc., Class A | 500,462 | 12,096,167 | 2.5 | % | ||||||||||
Liberty Property Trust | 244,961 | 9,972,362 | 2.0 | % | ||||||||||
Life Storage, Inc. | 135,943 | 10,073,376 | 2.1 | % | ||||||||||
32,141,905 | ||||||||||||||
Utilities – 4.1% | ||||||||||||||
Edison International | 126,096 | 9,859,446 | 2.0 | % | ||||||||||
FirstEnergy Corp. | 346,920 | 10,116,187 | 2.1 | % | ||||||||||
19,975,633 | ||||||||||||||
TOTAL COMMON STOCKS (Cost $411,280,697) | $ | 474,735,045 | ||||||||||||
SHORT-TERM INVESTMENTS – 2.4% | ||||||||||||||
Money market funds – 2.4% | ||||||||||||||
State Street Institutional Treasury Money Market Fund, Premier Class, 0.8262% (Y) | 11,820,598 | 11,820,598 | 2.4 | % | ||||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $11,820,598) | $ | 11,820,598 | ||||||||||||
Total Investments (Value Trust) (Cost $423,101,295) – 99.2% | $ | 486,555,643 | 99.2 | % | ||||||||||
Other assets and liabilities, net – 0.8% | 3,688,638 | 0.8 | % | |||||||||||
TOTAL NET ASSETS – 100.0% | $ | 490,244,281 | 100.0 | % |
(I) | Non-income producing security. | |||||
(Y) | The rate shown is the annualized seven-day yield as of 6-30-17. |
Alpha Opportunities Trust | |||||||
United States | 88.0 | % | |||||
Switzerland | 2.2 | % | |||||
Canada | 2.0 | % | |||||
United Kingdom | 1.8 | % | |||||
Ireland | 1.4 | % | |||||
China | 1.0 | % | |||||
Other countries | 3.6 | % | |||||
Total | 100.0 | % | |||||
Capital Appreciation Trust | |||||||
United States | 88.6 | % | |||||
China | 7.3 | % | |||||
Spain | 1.7 | % | |||||
Germany | 1.6 | % | |||||
Other countries | 0.8 | % | |||||
Total | 100.0 | % | |||||
Financial Industries Trust | |||||||
United States | 79.7 | % | |||||
United Kingdom | 4.9 | % | |||||
Bermuda | 3.2 | % | |||||
Switzerland | 2.6 | % | |||||
Denmark | 2.1 | % | |||||
France | 2.0 | % | |||||
Ireland | 1.8 | % | |||||
Spain | 1.5 | % | |||||
Norway | 1.2 | % | |||||
Other countries | 1.0 | % | |||||
Total | 100.0 | % | |||||
Fundamental Large Cap Value Trust | |||||||
United States | 88.9 | % | |||||
Switzerland | 2.4 | % | |||||
Ireland | 2.2 | % | |||||
Belgium | 1.5 | % | |||||
Canada | 1.4 | % | |||||
Netherlands | 1.3 | % | |||||
United Kingdom | 1.2 | % | |||||
France | 1.1 | % | |||||
Total | 100.0 | % | |||||
Health Sciences Trust | |||||||
United States | 88.2 | % | |||||
Ireland | 4.8 | % | |||||
United Kingdom | 2.0 | % | |||||
France | 1.2 | % | |||||
Other countries | 3.8 | % | |||||
Total | 100.0 | % | |||||
Mid Value Trust | |||||||
United States | 89.7 | % | |||||
Ireland | 2.9 | % | |||||
Canada | 2.3 | % | |||||
Bermuda | 1.9 | % | |||||
Denmark | 1.3 | % | |||||
Other countries | 1.9 | % | |||||
Total | 100.0 | % | |||||
Mutual Shares Trust | |||||||
United States | 77.1 | % | |||||
United Kingdom | 6.6 | % | |||||
Switzerland | 3.7 | % | |||||
Ireland | 3.4 | % | |||||
Netherlands | 2.3 | % | |||||
Bermuda | 1.6 | % | |||||
South Korea | 1.5 | % | |||||
Israel | 1.1 | % | |||||
Finland | 1.0 | % | |||||
Other countries | 1.7 | % | |||||
Total | 100.0 | % | |||||
Science & Technology Trust | |||||||
United States | 81.4 | % | |||||
China | 5.4 | % | |||||
United Kingdom | 3.0 | % | |||||
Netherlands | 2.2 | % | |||||
Switzerland | 2.0 | % | |||||
South Korea | 1.7 | % | |||||
Ireland | 1.4 | % | |||||
Other countries | 2.9 | % | |||||
Total | 100.0 | % | |||||
Strategic Equity Allocation Trust | |||||||
United States | 67.5 | % | |||||
Japan | 7.3 | % | |||||
United Kingdom | 5.3 | % | |||||
Switzerland | 3.3 | % | |||||
France | 3.2 | % | |||||
Germany | 2.9 | % | |||||
Australia | 2.2 | % | |||||
Netherlands | 1.3 | % | |||||
Spain | 1.1 | % | |||||
Hong Kong | 1.0 | % | |||||
Other countries | 4.9 | % | |||||
Total | 100.0 | % | |||||
Utilities Trust | |||||||
United States | 67.4 | % | |||||
Spain | 6.5 | % | |||||
Canada | 3.7 | % | |||||
Italy | 3.2 | % | |||||
Sweden | 2.5 | % | |||||
United Kingdom | 2.1 | % | |||||
Portugal | 2.1 | % | |||||
France | 1.7 | % | |||||
Brazil | 1.6 | % | |||||
Netherlands | 1.1 | % | |||||
Other countries | 8.1 | % | |||||
Total | 100.0 | % |
Assets | | 500 Index Trust B | | Alpha Opportunities Trust | | American Asset Allocation Trust | | American Global Growth Trust | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Unaffiliated investments, at value | $ | 4,583,474,226 | $ | 142,448,557 | $ | 1,553,683,584 | $ | 228,815,117 | |||||||||||
Affiliated investments, at value | 24,503,878 | — | — | — | |||||||||||||||
Repurchase agreements, at value | 105,730,000 | 4,300,000 | — | — | |||||||||||||||
Total investments, at value | 4,713,708,104 | 146,748,557 | 1,553,683,584 | 228,815,117 | |||||||||||||||
Cash | 54,685 | 52,640 | — | 107,415 | |||||||||||||||
Foreign currency, at value | — | 8,503 | — | — | |||||||||||||||
Cash held at broker for futures contracts | 7,620,000 | — | — | — | |||||||||||||||
Receivable for investments sold | — | 775,995 | 812,242 | 4,016,018 | |||||||||||||||
Receivable for fund shares sold | — | — | 114,336 | — | |||||||||||||||
Dividends and interest receivable | 4,503,597 | 183,556 | — | — | |||||||||||||||
Receivable for securities lending income | 7,601 | — | — | — | |||||||||||||||
Receivable for futures variation margin | 71,313 | — | — | — | |||||||||||||||
Receivable due from advisor | 37,345 | — | — | — | |||||||||||||||
Other assets | 10,155 | — | 2,453 | 330 | |||||||||||||||
Total assets | 4,726,012,800 | 147,769,251 | 1,554,612,615 | 232,938,880 | |||||||||||||||
Liabilities | |||||||||||||||||||
Payable for investments purchased | — | 1,342,225 | — | — | |||||||||||||||
Payable for fund shares repurchased | 10,716,350 | 9,528 | 846,488 | 4,004,585 | |||||||||||||||
Payable upon return of securities loaned | 24,506,061 | — | — | — | |||||||||||||||
Payable to affiliates | |||||||||||||||||||
Accounting and legal services fees | 182,833 | 4,275 | 59,830 | 9,117 | |||||||||||||||
Trustees’ fees | 1,449 | 789 | 818 | — | |||||||||||||||
Other liabilities and accrued expenses | 134,623 | 55,351 | 25,668 | 19,034 | |||||||||||||||
Total liabilities | 35,541,316 | 1,412,168 | 932,804 | 4,032,736 | |||||||||||||||
Net assets | $ | 4,690,471,484 | $ | 146,357,083 | $ | 1,553,679,811 | $ | 228,906,144 | |||||||||||
Net assets consist of | |||||||||||||||||||
Paid-in capital | $ | 2,570,358,041 | $ | 100,095,907 | $ | 914,158,288 | $ | 187,539,354 | |||||||||||
Undistributed net investment income (loss) | �� | 58,733,861 | 598,991 | (108,462 | ) | (430,938 | ) | ||||||||||||
Accumulated undistributed net realized gain (loss) on investments | 32,306,352 | 24,912,628 | 173,173,313 | 26,645,293 | |||||||||||||||
Net unrealized appreciation (depreciation) on investments | 2,029,073,230 | 20,749,557 | 466,456,672 | 15,152,435 | |||||||||||||||
Net assets | $ | 4,690,471,484 | $ | 146,357,083 | $ | 1,553,679,811 | $ | 228,906,144 | |||||||||||
Unaffiliated investments, including repurchase agreements, at cost | $ | 2,659,303,199 | $ | 126,001,167 | $ | 1,087,226,912 | $ | 213,662,682 | |||||||||||
Affiliated investments, at cost | $ | 24,504,755 | — | — | — | ||||||||||||||
Foreign currency, at cost | — | $ | 8,499 | — | — | ||||||||||||||
Securities loaned, unaffiliated investments, at value | $ | 23,952,803 | — | — | — | ||||||||||||||
Net asset value per share | |||||||||||||||||||
The portfolios have an unlimited number of shares authorized with par value of $0.01 per share. Net asset value is calculated by dividing the net assets of each class of shares by the number of outstanding shares in the class. | |||||||||||||||||||
Series I | |||||||||||||||||||
Net assets | $ | 2,872,893,478 | $ | 453,925 | $ | 267,637,482 | $ | 16,261,527 | |||||||||||
Shares outstanding | 96,392,829 | 41,275 | 18,551,957 | 1,023,212 | |||||||||||||||
Net asset value, offering price and redemption price per share | $ | 29.80 | $ | 11.00 | $ | 14.43 | $ | 15.89 | |||||||||||
Series II | |||||||||||||||||||
Net assets | $ | 68,303,309 | — | $ | 1,146,255,741 | $ | 180,800,185 | ||||||||||||
Shares outstanding | 2,292,133 | — | 79,475,722 | 11,408,390 | |||||||||||||||
Net asset value, offering price and redemption price per share | $ | 29.80 | — | $ | 14.42 | $ | 15.85 | ||||||||||||
Series III | |||||||||||||||||||
Net assets | — | — | $ | 139,786,588 | $ | 31,844,432 | |||||||||||||
Shares outstanding | — | — | 9,674,090 | 2,006,151 | |||||||||||||||
Net asset value, offering price and redemption price per share | — | — | $ | 14.45 | $ | 15.87 | |||||||||||||
Series NAV | |||||||||||||||||||
Net assets | $ | 1,749,274,697 | $ | 145,903,158 | — | — | |||||||||||||
Shares outstanding | 58,689,000 | 13,246,506 | — | — | |||||||||||||||
Net asset value, offering price and redemption price per share | $ | 29.81 | $ | 11.01 | — | — |
Assets | | American Growth Trust | | American Growth- Income Trust | | American International Trust | | American New World Trust | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Unaffiliated investments, at value | $ | 903,283,188 | $ | 1,067,784,367 | $ | 534,093,702 | $ | 89,477,857 | |||||||||||
Total investments, at value | 903,283,188 | 1,067,784,367 | 534,093,702 | 89,477,857 | |||||||||||||||
Cash | — | — | — | 49,376 | |||||||||||||||
Receivable for investments sold | 7,189,068 | — | 10,437,876 | — | |||||||||||||||
Receivable for fund shares sold | — | 2,666,228 | 644,840 | 113,368 | |||||||||||||||
Receivable due from advisor | — | — | — | 297 | |||||||||||||||
Other assets | 1,408 | 1,732 | 787 | 176 | |||||||||||||||
Total assets | 910,473,664 | 1,070,452,327 | 545,177,205 | 89,641,074 | |||||||||||||||
Liabilities | |||||||||||||||||||
Payable for investments purchased | — | 2,163,618 | — | 75,505 | |||||||||||||||
Payable for fund shares repurchased | 7,144,221 | 453,288 | 11,053,393 | 33,275 | |||||||||||||||
Payable to affiliates | |||||||||||||||||||
Accounting and legal services fees | 35,303 | 40,416 | 20,864 | 3,607 | |||||||||||||||
Trustees’ fees | 371 | 503 | 97 | — | |||||||||||||||
Other liabilities and accrued expenses | 19,620 | 20,438 | 18,781 | 76,287 | |||||||||||||||
Total liabilities | 7,199,515 | 2,678,263 | 11,093,135 | 188,674 | |||||||||||||||
Net assets | $ | 903,274,149 | $ | 1,067,774,064 | $ | 534,084,070 | $ | 89,452,400 | |||||||||||
Net assets consist of | |||||||||||||||||||
Paid-in capital | $ | 549,267,834 | $ | 704,651,733 | $ | 459,961,100 | $ | 93,192,641 | |||||||||||
Undistributed net investment income (loss) | (1,359,022 | ) | (183,995 | ) | 74,191 | (156,697 | ) | ||||||||||||
Accumulated undistributed net realized gain (loss) on investments | 219,092,784 | 245,025,751 | 3,905,832 | (7,286,444 | ) | ||||||||||||||
Net unrealized appreciation (depreciation) on investments | 136,272,553 | 118,280,575 | 70,142,947 | 3,702,900 | |||||||||||||||
Net assets | $ | 903,274,149 | $ | 1,067,774,064 | $ | 534,084,070 | $ | 89,452,400 | |||||||||||
Unaffiliated investments, including repurchase agreements, at cost | $ | 767,010,635 | $ | 949,503,792 | $ | 463,950,755 | $ | 85,774,957 | |||||||||||
Net asset value per share | |||||||||||||||||||
The portfolios have an unlimited number of shares authorized with par value of $0.01 per share. Net asset value is calculated by dividing the net assets of each class of shares by the number of outstanding shares in the class. | |||||||||||||||||||
Series I | |||||||||||||||||||
Net assets | $ | 124,146,753 | $ | 258,839,082 | $ | 116,048,753 | $ | 43,780,905 | |||||||||||
Shares outstanding | 5,806,612 | 13,431,244 | 5,536,048 | 3,450,877 | |||||||||||||||
Net asset value, offering price and redemption price per share | $ | 21.38 | $ | 19.27 | $ | 20.96 | $ | 12.69 | |||||||||||
Series II | |||||||||||||||||||
Net assets | $ | 682,120,887 | $ | 587,917,668 | $ | 374,955,879 | $ | 43,982,588 | |||||||||||
Shares outstanding | 32,066,605 | 30,593,930 | 17,908,535 | 3,468,688 | |||||||||||||||
Net asset value, offering price and redemption price per share | $ | 21.27 | $ | 19.22 | $ | 20.94 | $ | 12.68 | |||||||||||
Series III | |||||||||||||||||||
Net assets | $ | 97,006,509 | $ | 221,017,314 | $ | 43,079,438 | $ | 1,688,907 | |||||||||||
Shares outstanding | 4,551,230 | 11,471,502 | 2,058,607 | 133,320 | |||||||||||||||
Net asset value, offering price and redemption price per share | $ | 21.31 | $ | 19.27 | $ | 20.93 | $ | 12.67 |
Assets | | Blue Chip Growth Trust | | Capital Appreciation Trust | | Capital Appreciation Value Trust | | Core Strategy Trust | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Unaffiliated investments, at value | $ | 1,705,015,481 | $ | 995,371,489 | $ | 399,309,091 | $ | 818 | |||||||||||
Affiliated investments, at value | 17,786,627 | 5,471,742 | 661,307 | 3,734,474,815 | |||||||||||||||
Repurchase agreements, at value | — | — | 2,426,000 | — | |||||||||||||||
Total investments, at value | 1,722,802,108 | 1,000,843,231 | 402,396,398 | 3,734,475,633 | |||||||||||||||
Cash | — | — | 271 | — | |||||||||||||||
Foreign currency, at value | 71,959 | — | 45 | — | |||||||||||||||
Receivable for investments sold | 6,253,607 | 3,374,439 | 2,781,997 | 1,282,040 | |||||||||||||||
Receivable for fund shares sold | 102,092 | — | 90,731 | 26,242 | |||||||||||||||
Dividends and interest receivable | 720,019 | 175,556 | 1,387,703 | 84,096 | |||||||||||||||
Receivable for securities lending income | 33,883 | 8,401 | 604 | — | |||||||||||||||
Other assets | 3,120 | 2,135 | 647 | 6,016 | |||||||||||||||
Total assets | 1,729,986,788 | 1,004,403,762 | 406,658,396 | 3,735,874,027 | |||||||||||||||
Liabilities | |||||||||||||||||||
Due to custodian | 345,013 | — | — | — | |||||||||||||||
Payable for investments purchased | 12,694,559 | 6,975,987 | 3,177,744 | — | |||||||||||||||
Payable for fund shares repurchased | 797,270 | 365,189 | 311,946 | 1,219,072 | |||||||||||||||
Payable upon return of securities loaned | 17,794,951 | 5,474,000 | 661,700 | — | |||||||||||||||
Written options, at value | — | — | 1,979,841 | — | |||||||||||||||
Payable to affiliates | |||||||||||||||||||
Accounting and legal services fees | 66,903 | 39,750 | 15,505 | 144,615 | |||||||||||||||
Trustees’ fees | 946 | 315 | — | 2,388 | |||||||||||||||
Other liabilities and accrued expenses | 70,516 | 49,277 | 36,119 | 25,691 | |||||||||||||||
Total liabilities | 31,770,158 | 12,904,518 | 6,182,855 | 1,391,766 | |||||||||||||||
Net assets | $ | 1,698,216,630 | $ | 991,499,244 | $ | 400,475,541 | $ | 3,734,482,261 | |||||||||||
Net assets consist of | |||||||||||||||||||
Paid-in capital | $ | 762,843,199 | $ | 557,806,629 | $ | 320,928,366 | $ | 3,354,245,640 | |||||||||||
Undistributed net investment income (loss) | 1,910,405 | 1,917,771 | 3,557,862 | (5,471,470 | ) | ||||||||||||||
Accumulated undistributed net realized gain (loss) on investments | 227,227,782 | 171,377,628 | 31,017,990 | 111,402,362 | |||||||||||||||
Net unrealized appreciation (depreciation) on investments | 706,235,244 | 260,397,216 | 44,971,323 | 274,305,729 | |||||||||||||||
Net assets | $ | 1,698,216,630 | $ | 991,499,244 | $ | 400,475,541 | $ | 3,734,482,261 | |||||||||||
Unaffiliated investments, including repurchase agreements, at cost | $ | 998,780,500 | $ | 734,975,481 | $ | 355,874,489 | $ | 99,056 | |||||||||||
Affiliated investments, at cost | $ | 17,786,279 | $ | 5,471,640 | $ | 661,302 | $ | 3,460,070,623 | |||||||||||
Foreign currency, at cost | $ | 72,110 | — | $ | 45 | — | |||||||||||||
Premiums received on written options | — | — | $ | 1,091,306 | — | ||||||||||||||
Securities loaned, unaffiliated investments, at value | $ | 17,439,637 | $ | 5,365,235 | $ | 646,458 | — | ||||||||||||
Net asset value per share | |||||||||||||||||||
The portfolios have an unlimited number of shares authorized with par value of $0.01 per share. Net asset value is calculated by dividing the net assets of each class of shares by the number of outstanding shares in the class. | |||||||||||||||||||
Series I | |||||||||||||||||||
Net assets | $ | 300,776,940 | $ | 178,377,103 | $ | 4,534,107 | $ | 127,879,466 | |||||||||||
Shares outstanding | 9,194,493 | 12,980,702 | 375,171 | 8,343,227 | |||||||||||||||
Net asset value, offering price and redemption price per share | $ | 32.71 | $ | 13.74 | $ | 12.09 | $ | 15.33 | |||||||||||
Series II | |||||||||||||||||||
Net assets | $ | 127,713,031 | $ | 64,520,886 | $ | 308,467,901 | $ | 3,418,074,421 | |||||||||||
Shares outstanding | 3,990,096 | 4,840,175 | 25,639,187 | 222,349,510 | |||||||||||||||
Net asset value, offering price and redemption price per share | $ | 32.01 | $ | 13.33 | $ | 12.03 | $ | 15.37 | |||||||||||
Series NAV | |||||||||||||||||||
Net assets | $ | 1,269,726,659 | $ | 748,601,255 | $ | 87,473,533 | $ | 188,528,374 | |||||||||||
Shares outstanding | 38,806,782 | 54,368,528 | 7,251,574 | 12,286,082 | |||||||||||||||
Net asset value, offering price and redemption price per share | $ | 32.72 | $ | 13.77 | $ | 12.06 | $ | 15.34 |
Assets | | Emerging Markets Value Trust | | Equity Income Trust | | Financial Industries Trust | | Fundamental All Cap Core Trust | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Unaffiliated investments, at value | $ | 640,486,623 | $ | 1,772,052,471 | $ | 219,822,089 | $ | 1,737,288,073 | |||||||||||
Affiliated investments, at value | 14,819,735 | 46,849,017 | 1,254,499 | — | |||||||||||||||
Repurchase agreements, at value | — | — | 1,841,000 | 4,892,000 | |||||||||||||||
Total investments, at value | 655,306,358 | 1,818,901,488 | 222,917,588 | 1,742,180,073 | |||||||||||||||
Cash | 3,866,354 | — | 630 | 960 | |||||||||||||||
Foreign currency, at value | 1,758,527 | 174,202 | 41 | — | |||||||||||||||
Receivable for investments sold | 360,104 | 2,531,469 | 454,711 | — | |||||||||||||||
Receivable for fund shares sold | 500 | 9,591 | 287,517 | — | |||||||||||||||
Dividends and interest receivable | 2,488,816 | 3,938,379 | 253,506 | 833,493 | |||||||||||||||
Receivable for securities lending income | 34,664 | 58,892 | 1,397 | — | |||||||||||||||
Other assets | 489 | 4,074 | 820 | 3,623 | |||||||||||||||
Total assets | 663,815,812 | 1,825,618,095 | 223,916,210 | 1,743,018,149 | |||||||||||||||
Liabilities | |||||||||||||||||||
Foreign capital gains tax payable | 188,269 | — | — | — | |||||||||||||||
Payable for investments purchased | 310,272 | 2,838,993 | 926,047 | 24,526,999 | |||||||||||||||
Payable for fund shares repurchased | 1,574,359 | 1,351,127 | 382,986 | 961,398 | |||||||||||||||
Payable upon return of securities loaned | 14,811,037 | 46,857,393 | 1,254,600 | — | |||||||||||||||
Payable to affiliates | |||||||||||||||||||
Accounting and legal services fees | 24,784 | 68,120 | 8,093 | 66,274 | |||||||||||||||
Trustees’ fees | 302 | 718 | — | 785 | |||||||||||||||
Other liabilities and accrued expenses | 162,191 | 65,352 | 20,575 | 66,098 | |||||||||||||||
Total liabilities | 17,071,214 | 51,181,703 | 2,592,301 | 25,621,554 | |||||||||||||||
Net assets | $ | 646,744,598 | $ | 1,774,436,392 | $ | 221,323,909 | $ | 1,717,396,595 | |||||||||||
Net assets consist of | |||||||||||||||||||
Paid-in capital | $ | 675,441,511 | $ | 1,121,425,403 | $ | 180,838,178 | $ | 1,200,142,968 | |||||||||||
Undistributed net investment income (loss) | 5,491,818 | 30,815,205 | 2,203,598 | 11,814,699 | |||||||||||||||
Accumulated undistributed net realized gain (loss) on investments | (71,963,865 | ) | 234,092,482 | 4,396,693 | 169,665,962 | ||||||||||||||
Net unrealized appreciation (depreciation) on investments | �� | 37,775,134 | 388,103,302 | 33,885,440 | 335,772,966 | ||||||||||||||
Net assets | $ | 646,744,598 | $ | 1,774,436,392 | $ | 221,323,909 | $ | 1,717,396,595 | |||||||||||
Unaffiliated investments, including repurchase agreements, at cost | $ | 602,531,380 | $ | 1,384,010,974 | $ | 187,782,075 | $ | 1,406,409,226 | |||||||||||
Affiliated investments, at cost | $ | 14,820,664 | $ | 46,851,731 | $ | 1,254,571 | — | ||||||||||||
Foreign currency, at cost | $ | 1,759,541 | $ | 170,604 | $ | 41 | — | ||||||||||||
Securities loaned, unaffiliated investments, at value | $ | 13,823,119 | $ | 44,865,525 | $ | 1,227,663 | — | ||||||||||||
Net asset value per share | |||||||||||||||||||
The portfolios have an unlimited number of shares authorized with par value of $0.01 per share. Net asset value is calculated by dividing the net assets of each class of shares by the number of outstanding shares in the class. | |||||||||||||||||||
Series I | |||||||||||||||||||
Net assets | $ | 3,198,134 | $ | 268,633,608 | $ | 159,826,786 | $ | 157,702,376 | |||||||||||
Shares outstanding | 336,130 | 15,262,873 | 11,496,826 | 6,762,633 | |||||||||||||||
Net asset value, offering price and redemption price per share | $ | 9.51 | $ | 17.60 | $ | 13.90 | $ | 23.32 | |||||||||||
Series II | |||||||||||||||||||
Net assets | $ | 104,387 | $ | 142,039,170 | $ | 19,597,500 | $ | 50,364,104 | |||||||||||
Shares outstanding | 10,980 | 8,109,812 | 1,420,888 | 2,166,288 | |||||||||||||||
Net asset value, offering price and redemption price per share | $ | 9.51 | $ | 17.51 | $ | 13.79 | $ | 23.25 | |||||||||||
Series NAV | |||||||||||||||||||
Net assets | $ | 643,442,077 | $ | 1,363,763,614 | $ | 41,899,623 | $ | 1,509,330,115 | |||||||||||
Shares outstanding | 67,714,995 | 77,783,634 | 3,021,125 | 64,406,753 | |||||||||||||||
Net asset value, offering price and redemption price per share | $ | 9.50 | $ | 17.53 | $ | 13.87 | $ | 23.43 |
Assets | | Fundamental Large Cap Value Trust | | Global Trust | | Health Sciences Trust | | International Equity Index Trust B | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Unaffiliated investments, at value | $ | 827,376,337 | $ | 236,505,617 | $ | 287,019,242 | $ | 684,376,240 | |||||||||||
Affiliated investments, at value | — | 1,638,006 | — | 21,118,314 | |||||||||||||||
Repurchase agreements, at value | 1,339,000 | — | — | — | |||||||||||||||
Total investments, at value | 828,715,337 | 238,143,623 | 287,019,242 | 705,494,554 | |||||||||||||||
Cash | 749 | 774,439 | — | — | |||||||||||||||
Foreign currency, at value | 72,954 | 330,675 | 17,469 | 5,650,087 | |||||||||||||||
Cash held at broker for futures contracts | — | — | — | 5,350,349 | |||||||||||||||
Receivable for investments sold | — | 796,337 | 1,228,674 | 2,010,090 | |||||||||||||||
Receivable for fund shares sold | 569,975 | 8,650 | 105,116 | — | |||||||||||||||
Dividends and interest receivable | 607,623 | 482,227 | 121,200 | 2,274,932 | |||||||||||||||
Receivable for securities lending income | — | 4,004 | — | 21,928 | |||||||||||||||
Receivable for futures variation margin | — | — | — | 33,881 | |||||||||||||||
Receivable due from advisor | — | — | — | 4,848 | |||||||||||||||
Other assets | 659 | — | 300 | 641 | |||||||||||||||
Total assets | 829,967,297 | 240,539,955 | 288,492,001 | 720,841,310 | |||||||||||||||
Liabilities | |||||||||||||||||||
Foreign capital gains tax payable | — | 11,833 | — | 42,754 | |||||||||||||||
Payable for investments purchased | 6,808,519 | 1,412,575 | 588,952 | 4,423,430 | |||||||||||||||
Payable for fund shares repurchased | 1,318,646 | 689,170 | 150,421 | 1,683,600 | |||||||||||||||
Payable upon return of securities loaned | — | 1,626,968 | — | 19,836,407 | |||||||||||||||
Payable to affiliates | |||||||||||||||||||
Accounting and legal services fees | 27,152 | 8,107 | 10,618 | 27,439 | |||||||||||||||
Trustees’ fees | 1,642 | 527 | — | 100 | |||||||||||||||
Other liabilities and accrued expenses | 87,657 | 83,786 | 27,280 | 149,157 | |||||||||||||||
Total liabilities | 8,243,616 | 3,832,966 | 777,271 | 26,162,887 | |||||||||||||||
Net assets | $ | 821,723,681 | $ | 236,706,989 | $ | 287,714,730 | $ | 694,678,423 | |||||||||||
Net assets consist of | |||||||||||||||||||
Paid-in capital | $ | 812,799,326 | $ | 229,299,643 | $ | 189,030,690 | $ | 541,847,155 | |||||||||||
Undistributed net investment income (loss) | 9,881,375 | 2,685,465 | (468,991 | ) | 11,353,981 | ||||||||||||||
Accumulated undistributed net realized gain (loss) on investments | (95,386,065 | ) | (21,678,101 | ) | 42,674,833 | (5,769,077 | ) | ||||||||||||
Net unrealized appreciation (depreciation) on investments | 94,429,045 | 26,399,982 | 56,478,198 | 147,246,364 | |||||||||||||||
Net assets | $ | 821,723,681 | $ | 236,706,989 | $ | 287,714,730 | $ | 694,678,423 | |||||||||||
Unaffiliated investments, including repurchase agreements, at cost | $ | 734,286,309 | $ | 210,104,050 | $ | 230,520,051 | $ | 536,969,330 | |||||||||||
Affiliated investments, at cost | — | $ | 1,638,083 | — | $ | 21,127,739 | |||||||||||||
Foreign currency, at cost | $ | 72,817 | $ | 326,407 | $ | 17,694 | $ | 5,719,694 | |||||||||||
Securities loaned, unaffiliated investments, at value | — | $ | 1,567,751 | — | $ | 18,843,126 | |||||||||||||
Net asset value per share | |||||||||||||||||||
The portfolios have an unlimited number of shares authorized with par value of $0.01 per share. Net asset value is calculated by dividing the net assets of each class of shares by the number of outstanding shares in the class. | |||||||||||||||||||
Series I | |||||||||||||||||||
Net assets | $ | 531,393,253 | $ | 147,153,973 | $ | 106,165,302 | $ | 345,161,151 | |||||||||||
Shares outstanding | 26,821,423 | 7,041,869 | 4,074,199 | 20,307,940 | |||||||||||||||
Net asset value, offering price and redemption price per share | $ | 19.81 | $ | 20.90 | $ | 26.06 | $ | 17.00 | |||||||||||
Series II | |||||||||||||||||||
Net assets | $ | 203,785,477 | $ | 43,862,916 | $ | 78,352,969 | $ | 16,352,830 | |||||||||||
Shares outstanding | 10,224,857 | 2,109,694 | 3,207,886 | 961,735 | |||||||||||||||
Net asset value, offering price and redemption price per share | $ | 19.93 | $ | 20.79 | $ | 24.43 | $ | 17.00 | |||||||||||
Series NAV | |||||||||||||||||||
Net assets | $ | 86,544,951 | $ | 45,690,100 | $ | 103,196,459 | $ | 333,164,442 | |||||||||||
Shares outstanding | 4,365,716 | 2,188,414 | 3,913,889 | 19,603,619 | |||||||||||||||
Net asset value, offering price and redemption price per share | $ | 19.82 | $ | 20.88 | $ | 26.37 | $ | 17.00 |
Assets | | International Growth Stock Trust | | International Small Company Trust | | International Value Trust | | Lifestyle Aggressive PS Series | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Unaffiliated investments, at value | $ | 381,455,415 | $ | 132,603,706 | $ | 873,918,962 | $ | 5,001,709 | |||||||||||
Affiliated investments, at value | — | 12,585,115 | 13,629,644 | 23,670,642 | |||||||||||||||
Total investments, at value | 381,455,415 | 145,188,821 | 887,548,606 | 28,672,351 | |||||||||||||||
Cash | — | 851,414 | 1,116,827 | 10,939 | |||||||||||||||
Foreign currency, at value | 714,457 | 476,735 | 1,512,531 | — | |||||||||||||||
Receivable for investments sold | 1,455,843 | 272,249 | 2,592,844 | 598 | |||||||||||||||
Receivable for fund shares sold | 570 | — | 82,438 | — | |||||||||||||||
Dividends and interest receivable | 1,300,947 | 228,013 | 3,028,877 | 3,192 | |||||||||||||||
Receivable for securities lending income | — | 18,982 | 23,879 | — | |||||||||||||||
Receivable due from advisor | — | — | — | 495 | |||||||||||||||
Other assets | 750 | 266 | 2,046 | 66 | |||||||||||||||
Total assets | 384,927,982 | 147,036,480 | 895,908,048 | 28,687,641 | |||||||||||||||
Liabilities | |||||||||||||||||||
Payable for investments purchased | 2,098,692 | 163,884 | 11,246,316 | 7,429 | |||||||||||||||
Payable for fund shares repurchased | 349,350 | 25,509 | 9,073 | 2,742 | |||||||||||||||
Payable upon return of securities loaned | — | 12,588,080 | 13,605,058 | — | |||||||||||||||
Payable to affiliates | |||||||||||||||||||
Accounting and legal services fees | 15,282 | 5,047 | 33,775 | 1,131 | |||||||||||||||
Trustees’ fees | 39 | — | 102 | — | |||||||||||||||
Other liabilities and accrued expenses | 64,187 | 86,937 | 84,067 | 19,505 | |||||||||||||||
Total liabilities | 2,527,550 | 12,869,457 | 24,978,391 | 30,807 | |||||||||||||||
Net assets | $ | 382,400,432 | $ | 134,167,023 | $ | 870,929,657 | $ | 28,656,834 | |||||||||||
Net assets consist of | |||||||||||||||||||
Paid-in capital | $ | 308,743,827 | $ | 279,545,650 | $ | 1,082,173,293 | $ | 25,670,833 | |||||||||||
Undistributed net investment income (loss) | 4,727,708 | 1,464,559 | 12,697,022 | (291 | ) | ||||||||||||||
Accumulated undistributed net realized gain (loss) on investments | 15,046,369 | (162,268,019 | ) | (286,121,351 | ) | 322,992 | |||||||||||||
Net unrealized appreciation (depreciation) on investments | 53,882,528 | 15,424,833 | 62,180,693 | 2,663,300 | |||||||||||||||
Net assets | $ | 382,400,432 | $ | 134,167,023 | $ | 870,929,657 | $ | 28,656,834 | |||||||||||
Unaffiliated investments, including repurchase agreements, at cost | $ | 327,592,120 | $ | 117,182,205 | $ | 811,799,784 | $ | 4,523,544 | |||||||||||
Affiliated investments, at cost | — | $ | 12,585,946 | $ | 13,630,026 | $ | 21,485,507 | ||||||||||||
Foreign currency, at cost | $ | 712,947 | $ | 476,480 | $ | 1,512,486 | — | ||||||||||||
Securities loaned, unaffiliated investments, at value | — | $ | 11,657,328 | $ | 12,907,479 | — | |||||||||||||
Net asset value per share | |||||||||||||||||||
The portfolios have an unlimited number of shares authorized with par value of $0.01 per share. Net asset value is calculated by dividing the net assets of each class of shares by the number of outstanding shares in the class. | |||||||||||||||||||
Series I | |||||||||||||||||||
Net assets | $ | 5,464,794 | $ | 34,476,553 | $ | 114,667,386 | $ | 4,486,539 | |||||||||||
Shares outstanding | 310,932 | 2,383,293 | 8,307,897 | 318,008 | |||||||||||||||
Net asset value, offering price and redemption price per share | $ | 17.58 | $ | 14.47 | $ | 13.80 | $ | 14.11 | |||||||||||
Series II | |||||||||||||||||||
Net assets | $ | 18,999,582 | $ | 19,240,788 | $ | 71,910,948 | $ | 19,084,687 | |||||||||||
Shares outstanding | 1,081,354 | 1,332,989 | 5,219,330 | 1,354,023 | |||||||||||||||
Net asset value, offering price and redemption price per share | $ | 17.57 | $ | 14.43 | $ | 13.78 | $ | 14.09 | |||||||||||
Series NAV | |||||||||||||||||||
Net assets | $ | 357,936,056 | $ | 80,449,682 | $ | 684,351,323 | $ | 5,085,608 | |||||||||||
Shares outstanding | 20,352,138 | 5,557,412 | 49,945,079 | 360,480 | |||||||||||||||
Net asset value, offering price and redemption price per share | $ | 17.59 | $ | 14.48 | $ | 13.70 | $ | 14.11 |
Assets | | Lifestyle Balanced PS Series | | Lifestyle Conservative PS Series | | Lifestyle Growth PS Series | | Lifestyle Moderate PS Series | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Unaffiliated investments, at value | — | — | $ | 475,298 | — | ||||||||||||||
Affiliated investments, at value | $ | 1,034,318,105 | $ | 186,991,068 | 3,225,317,879 | $ | 324,013,601 | ||||||||||||
Total investments, at value | 1,034,318,105 | 186,991,068 | 3,225,793,177 | 324,013,601 | |||||||||||||||
Cash | — | 2,548 | — | 3,786 | |||||||||||||||
Receivable for investments sold | 530,096 | 144,009 | 468,893 | 90,797 | |||||||||||||||
Receivable for fund shares sold | 102,221 | — | 324,095 | 5,304 | |||||||||||||||
Dividends and interest receivable | — | — | 79,094 | — | |||||||||||||||
Receivable due from advisor | — | 249 | — | 228 | |||||||||||||||
Other assets | 1,944 | 307 | 12,640 | 503 | |||||||||||||||
Total assets | 1,034,952,366 | 187,138,181 | 3,226,677,899 | 324,114,219 | |||||||||||||||
Liabilities | |||||||||||||||||||
Payable for fund shares repurchased | 609,974 | 139,835 | 721,349 | 88,998 | |||||||||||||||
Payable to affiliates | |||||||||||||||||||
Accounting and legal services fees | 39,926 | 7,238 | 126,251 | 12,483 | |||||||||||||||
Trustees’ fees | 378 | — | — | — | |||||||||||||||
Other liabilities and accrued expenses | 22,816 | 21,477 | 33,424 | 21,572 | |||||||||||||||
Total liabilities | 673,094 | 168,550 | 881,024 | 123,053 | |||||||||||||||
Net assets | $ | 1,034,279,272 | $ | 186,969,631 | $ | 3,225,796,875 | $ | 323,991,166 | |||||||||||
Net assets consist of | |||||||||||||||||||
Paid-in capital | $ | 968,748,997 | $ | 182,500,638 | $ | 2,955,293,904 | $ | 307,489,925 | |||||||||||
Undistributed net investment income (loss) | (1,490,193 | ) | (290,212 | ) | (4,670,522 | ) | (493,621 | ) | |||||||||||
Accumulated undistributed net realized gain (loss) on investments | 14,335,266 | 549,606 | 39,109,855 | 3,208,677 | |||||||||||||||
Net unrealized appreciation (depreciation) on investments | 52,685,202 | 4,209,599 | 236,063,638 | 13,786,185 | |||||||||||||||
Net assets | $ | 1,034,279,272 | $ | 186,969,631 | $ | 3,225,796,875 | $ | 323,991,166 | |||||||||||
Unaffiliated investments, including repurchase agreements, at cost | — | — | $ | 718,082 | — | ||||||||||||||
Affiliated investments, at cost | $ | 981,632,903 | $ | 182,781,469 | $ | 2,989,013,321 | $ | 310,227,416 | |||||||||||
Net asset value per share | |||||||||||||||||||
The portfolios have an unlimited number of shares authorized with par value of $0.01 per share. Net asset value is calculated by dividing the net assets of each class of shares by the number of outstanding shares in the class. | |||||||||||||||||||
Series I | |||||||||||||||||||
Net assets | $ | 30,439,356 | $ | 9,598,422 | $ | 100,602,724 | $ | 10,562,918 | |||||||||||
Shares outstanding | 2,076,378 | 714,545 | 6,409,991 | 741,249 | |||||||||||||||
Net asset value, offering price and redemption price per share | $ | 14.66 | $ | 13.43 | $ | 15.69 | $ | 14.25 | |||||||||||
Series II | |||||||||||||||||||
Net assets | $ | 931,232,057 | $ | 174,057,502 | $ | 2,998,452,007 | $ | 296,660,135 | |||||||||||
Shares outstanding | 63,460,002 | 12,952,746 | 191,010,859 | 20,797,382 | |||||||||||||||
Net asset value, offering price and redemption price per share | $ | 14.67 | $ | 13.44 | $ | 15.70 | $ | 14.26 | |||||||||||
Series NAV | |||||||||||||||||||
Net assets | $ | 72,607,859 | $ | 3,313,707 | $ | 126,742,144 | $ | 16,768,113 | |||||||||||
Shares outstanding | 4,955,957 | 246,809 | 8,077,972 | 1,176,803 | |||||||||||||||
Net asset value, offering price and redemption price per share | $ | 14.65 | $ | 13.43 | $ | 15.69 | $ | 14.25 |
Assets | | Mid Cap Index Trust | | Mid Cap Stock Trust | | Mid Value Trust | | Mutual Shares Trust | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Unaffiliated investments, at value | $ | 1,054,585,569 | $ | 713,997,717 | $ | 829,335,844 | $ | 171,306,207 | |||||||||||
Affiliated investments, at value | 43,014,239 | 63,113,363 | 27,107,211 | 4,030,024 | |||||||||||||||
Repurchase agreements, at value | 29,870,000 | 17,500,000 | — | — | |||||||||||||||
Total investments, at value | 1,127,469,808 | 794,611,080 | 856,443,055 | 175,336,231 | |||||||||||||||
Cash | 22,567 | 44,869 | — | 73,093 | |||||||||||||||
Foreign currency, at value | — | 37,872 | 55,607 | 49,850 | |||||||||||||||
Cash held at broker for futures contracts | 1,846,000 | — | — | — | |||||||||||||||
Receivable for investments sold | — | 9,144,524 | 1,570,684 | 636,584 | |||||||||||||||
Unrealized appreciation on forward foreign currency contracts | — | — | — | 55,327 | |||||||||||||||
Receivable for fund shares sold | 887,269 | — | — | 1,282,541 | |||||||||||||||
Dividends and interest receivable | 1,085,729 | 43,259 | 784,273 | 300,464 | |||||||||||||||
Receivable for securities lending income | 21,012 | 35,644 | 12,471 | 1,331 | |||||||||||||||
Receivable for futures variation margin | 20,475 | — | — | — | |||||||||||||||
Other assets | 2,263 | 933 | 1,640 | — | |||||||||||||||
Total assets | 1,131,355,123 | 803,918,181 | 858,867,730 | 177,735,421 | |||||||||||||||
Liabilities | |||||||||||||||||||
Payable for investments purchased | 2,644,600 | 17,183,990 | 4,836,290 | 18,599 | |||||||||||||||
Unrealized depreciation on forward foreign currency contracts | — | — | — | 172,636 | |||||||||||||||
Payable for fund shares repurchased | 3,248,026 | 1,197,755 | 1,492,500 | — | |||||||||||||||
Payable upon return of securities loaned | 43,018,435 | 63,112,575 | 27,102,012 | 4,030,427 | |||||||||||||||
Payable to affiliates | |||||||||||||||||||
Accounting and legal services fees | 41,726 | 28,178 | 31,207 | 5,412 | |||||||||||||||
Trustees’ fees | 120 | 286 | 148 | 492 | |||||||||||||||
Other liabilities and accrued expenses | 44,109 | 50,016 | 42,907 | 53,584 | |||||||||||||||
Total liabilities | 48,997,016 | 81,572,800 | 33,505,064 | 4,281,150 | |||||||||||||||
Net assets | $ | 1,082,358,107 | $ | 722,345,381 | $ | 825,362,666 | $ | 173,454,271 | |||||||||||
Net assets consist of | |||||||||||||||||||
Paid-in capital | $ | 670,476,507 | $ | 540,068,370 | $ | 604,415,878 | $ | 71,907,610 | |||||||||||
Undistributed net investment income (loss) | 8,360,972 | (1,744,462 | ) | 8,282,343 | 9,566,507 | ||||||||||||||
Accumulated undistributed net realized gain (loss) on investments | 114,521,081 | 56,584,001 | 99,901,990 | 74,711,172 | |||||||||||||||
Net unrealized appreciation (depreciation) on investments | 288,999,547 | 127,437,472 | 112,762,455 | 17,268,982 | |||||||||||||||
Net assets | $ | 1,082,358,107 | $ | 722,345,381 | $ | 825,362,666 | $ | 173,454,271 | |||||||||||
Unaffiliated investments, including repurchase agreements, at cost | $ | 795,380,306 | $ | 604,059,658 | $ | 716,575,167 | $ | 153,922,761 | |||||||||||
Affiliated investments, at cost | $ | 43,016,645 | $ | 63,113,726 | $ | 27,108,473 | $ | 4,029,978 | |||||||||||
Foreign currency, at cost | — | $ | 38,004 | $ | 55,593 | $ | 49,724 | ||||||||||||
Securities loaned, unaffiliated investments, at value | $ | 42,062,655 | $ | 61,071,552 | $ | 26,433,182 | $ | 3,899,784 | |||||||||||
Net asset value per share | |||||||||||||||||||
The portfolios have an unlimited number of shares authorized with par value of $0.01 per share. Net asset value is calculated by dividing the net assets of each class of shares by the number of outstanding shares in the class. | |||||||||||||||||||
Series I | |||||||||||||||||||
Net assets | $ | 861,118,838 | $ | 162,695,629 | $ | 326,770,171 | $ | 173,454,271 | |||||||||||
Shares outstanding | 38,173,162 | 9,764,308 | 27,306,687 | 14,022,848 | |||||||||||||||
Net asset value, offering price and redemption price per share | $ | 22.56 | $ | 16.66 | $ | 11.97 | $ | 12.37 | |||||||||||
Series II | |||||||||||||||||||
Net assets | $ | 66,036,737 | $ | 83,555,700 | $ | 64,124,900 | — | ||||||||||||
Shares outstanding | 2,942,515 | 5,284,010 | 5,358,879 | — | |||||||||||||||
Net asset value, offering price and redemption price per share | $ | 22.44 | $ | 15.81 | $ | 11.97 | — | ||||||||||||
Series NAV | |||||||||||||||||||
Net assets | $ | 155,202,532 | $ | 476,094,052 | $ | 434,467,595 | — | ||||||||||||
Shares outstanding | 6,879,218 | 28,254,221 | 36,479,237 | — | |||||||||||||||
Net asset value, offering price and redemption price per share | $ | 22.56 | $ | 16.85 | $ | 11.91 | — |
Assets | | Real Estate Securities Trust | | Science & Technology Trust | | Small Cap Growth Trust | | Small Cap Index Trust | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Unaffiliated investments, at value | $ | 376,514,928 | $ | 624,537,239 | $ | 392,646,456 | $ | 548,910,106 | |||||||||||
Affiliated investments, at value | — | 25,149,668 | 58,722,583 | 49,394,116 | |||||||||||||||
Repurchase agreements, at value | — | 10,858,000 | 7,200,000 | 16,590,000 | |||||||||||||||
Total investments, at value | 376,514,928 | 660,544,907 | 458,569,039 | 614,894,222 | |||||||||||||||
Cash | — | 645,538 | 47,075 | — | |||||||||||||||
Foreign currency, at value | — | 641,113 | 11 | — | |||||||||||||||
Cash held at broker for futures contracts | — | — | — | 1,424,000 | |||||||||||||||
Receivable for investments sold | 2,826,607 | 5,430,568 | 3,960,946 | 577,652 | |||||||||||||||
Receivable for fund shares sold | 94,685 | 112,597 | — | 21,761 | |||||||||||||||
Dividends and interest receivable | 1,445,322 | 131,426 | 221,155 | 605,480 | |||||||||||||||
Receivable for securities lending income | — | 61,978 | 21,447 | 54,796 | |||||||||||||||
Other assets | 614 | 1,103 | 536 | 1,454 | |||||||||||||||
Total assets | 380,882,156 | 667,569,230 | 462,820,209 | 617,579,365 | |||||||||||||||
Liabilities | |||||||||||||||||||
Due to custodian | — | — | — | 495,180 | |||||||||||||||
Payable for investments purchased | 4,141,376 | 9,069,858 | 8,477,414 | — | |||||||||||||||
Payable for fund shares repurchased | 157,125 | 3,267,411 | 370,337 | 2,027,453 | |||||||||||||||
Payable upon return of securities loaned | — | 25,153,930 | 58,724,651 | 49,356,119 | |||||||||||||||
Payable for futures variation margin | — | — | — | 48,643 | |||||||||||||||
Payable to affiliates | |||||||||||||||||||
Accounting and legal services fees | 13,782 | 25,874 | 15,298 | 21,643 | |||||||||||||||
Trustees’ fees | 22 | 28 | 9 | — | |||||||||||||||
Other liabilities and accrued expenses | 40,247 | 40,019 | 33,729 | 28,905 | |||||||||||||||
Total liabilities | 4,352,552 | 37,557,120 | 67,621,438 | 51,977,943 | |||||||||||||||
Net assets | $ | 376,529,604 | $ | 630,012,110 | $ | 395,198,771 | $ | 565,601,422 | |||||||||||
Net assets consist of | |||||||||||||||||||
Paid-in capital | $ | 555,576,516 | $ | 455,526,153 | $ | 339,814,454 | $ | 371,249,731 | |||||||||||
Undistributed net investment income (loss) | 5,543,163 | (179,513 | ) | (1,076,370 | ) | 4,166,873 | |||||||||||||
Accumulated undistributed net realized gain (loss) on investments | (192,099,587 | ) | 68,914,036 | (3,443,520 | ) | 44,620,608 | |||||||||||||
Net unrealized appreciation (depreciation) on investments | 7,509,512 | 105,751,434 | 59,904,207 | 145,564,210 | |||||||||||||||
Net assets | $ | 376,529,604 | $ | 630,012,110 | $ | 395,198,771 | $ | 565,601,422 | |||||||||||
Unaffiliated investments, including repurchase agreements, at cost | $ | 369,005,410 | $ | 529,662,099 | $ | 339,940,536 | $ | 419,717,735 | |||||||||||
Affiliated investments, at cost | — | $ | 25,149,624 | $ | 58,724,417 | $ | 49,396,929 | ||||||||||||
Foreign currency, at cost | — | $ | 622,673 | $ | 11 | — | |||||||||||||
Securities loaned, unaffiliated investments, at value | — | $ | 24,131,569 | $ | 56,577,659 | $ | 48,205,792 | ||||||||||||
Net asset value per share | |||||||||||||||||||
The portfolios have an unlimited number of shares authorized with par value of $0.01 per share. Net asset value is calculated by dividing the net assets of each class of shares by the number of outstanding shares in the class. | |||||||||||||||||||
Series I | |||||||||||||||||||
Net assets | $ | 79,469,388 | $ | 538,568,972 | $ | 84,372,907 | $ | 398,570,203 | |||||||||||
Shares outstanding | 4,130,389 | 19,727,666 | 9,292,684 | 25,780,771 | |||||||||||||||
Net asset value, offering price and redemption price per share | $ | 19.24 | $ | 27.30 | $ | 9.08 | $ | 15.46 | |||||||||||
Series II | |||||||||||||||||||
Net assets | $ | 47,960,470 | $ | 51,045,578 | $ | 29,828,229 | $ | 41,903,329 | |||||||||||
Shares outstanding | 2,490,894 | 1,940,858 | 3,444,385 | 2,726,629 | |||||||||||||||
Net asset value, offering price and redemption price per share | $ | 19.25 | $ | 26.30 | $ | 8.66 | $ | 15.37 | |||||||||||
Series NAV | |||||||||||||||||||
Net assets | $ | 249,099,746 | $ | 40,397,560 | $ | 280,997,635 | $ | 125,127,890 | |||||||||||
Shares outstanding | 13,025,621 | 1,466,371 | 30,618,196 | 8,083,902 | |||||||||||||||
Net asset value, offering price and redemption price per share | $ | 19.12 | $ | 27.55 | $ | 9.18 | $ | 15.48 |
Assets | | Small Cap Opportunities Trust | | Small Cap Value Trust | | Small Company Growth Trust | | Small Company Value Trust | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Unaffiliated investments, at value | $ | 216,453,418 | $ | 645,021,517 | $ | 124,325,824 | $ | 274,994,344 | |||||||||||
Affiliated investments, at value | 9,348,694 | 30,323,265 | 9,514,515 | 7,311,503 | |||||||||||||||
Repurchase agreements, at value | — | 18,300,000 | — | — | |||||||||||||||
Total investments, at value | 225,802,112 | 693,644,782 | 133,840,339 | 282,305,847 | |||||||||||||||
Cash | 454,740 | 85,546 | 6,497 | — | |||||||||||||||
Foreign currency, at value | — | 23 | — | — | |||||||||||||||
Receivable for investments sold | 904,141 | 758,173 | 482,115 | 761,324 | |||||||||||||||
Receivable for fund shares sold | 231,801 | 3,699 | — | 95,621 | |||||||||||||||
Dividends and interest receivable | 157,488 | 1,306,644 | 54,257 | 230,922 | |||||||||||||||
Receivable for securities lending income | 4,049 | 65,494 | 3,386 | 9,441 | |||||||||||||||
Other assets | 378 | 1,515 | 230 | 414 | |||||||||||||||
Total assets | 227,554,709 | 695,865,876 | 134,386,824 | 283,403,569 | |||||||||||||||
Liabilities | |||||||||||||||||||
Payable for investments purchased | 47,898 | 169,280 | 610,077 | 31,897 | |||||||||||||||
Payable for fund shares repurchased | 2,454 | 1,066,297 | 208,467 | 12,718 | |||||||||||||||
Payable upon return of securities loaned | 9,349,475 | 30,319,481 | 9,514,718 | 7,312,293 | |||||||||||||||
Payable to affiliates | |||||||||||||||||||
Accounting and legal services fees | 8,128 | 25,265 | 4,920 | 10,315 | |||||||||||||||
Trustees’ fees | — | 101 | — | — | |||||||||||||||
Other liabilities and accrued expenses | 28,284 | 39,813 | 22,868 | 28,867 | |||||||||||||||
Total liabilities | 9,436,239 | 31,620,237 | 10,361,050 | 7,396,090 | |||||||||||||||
Net assets | $ | 218,118,470 | $ | 664,245,639 | $ | 124,025,774 | $ | 276,007,479 | |||||||||||
Net assets consist of | |||||||||||||||||||
Paid-in capital | $ | 163,790,724 | $ | 447,072,521 | $ | 82,112,132 | $ | 139,322,458 | |||||||||||
Undistributed net investment income (loss) | 1,024,751 | 7,197,816 | (200,258 | ) | 1,471,579 | ||||||||||||||
Accumulated undistributed net realized gain (loss) on investments | 19,804,475 | 88,941,556 | 15,597,368 | 46,091,949 | |||||||||||||||
Net unrealized appreciation (depreciation) on investments | 33,498,520 | 121,033,746 | 26,516,532 | 89,121,493 | |||||||||||||||
Net assets | $ | 218,118,470 | $ | 664,245,639 | $ | 124,025,774 | $ | 276,007,479 | |||||||||||
Unaffiliated investments, including repurchase agreements, at cost | $ | 182,954,611 | $ | 542,291,403 | $ | 97,808,934 | $ | 185,872,671 | |||||||||||
Affiliated investments, at cost | $ | 9,348,981 | $ | 30,324,010 | $ | 9,514,873 | $ | 7,311,683 | |||||||||||
Foreign currency, at cost | — | $ | 22 | — | — | ||||||||||||||
Securities loaned, unaffiliated investments, at value | $ | 9,143,108 | $ | 29,370,500 | $ | 9,169,511 | $ | 7,091,315 | |||||||||||
Net asset value per share | |||||||||||||||||||
The portfolios have an unlimited number of shares authorized with par value of $0.01 per share. Net asset value is calculated by dividing the net assets of each class of shares by the number of outstanding shares in the class. | |||||||||||||||||||
Series I | |||||||||||||||||||
Net assets | $ | 94,011,611 | $ | 332,363,961 | — | $ | 64,681,857 | ||||||||||||
Shares outstanding | 2,958,714 | 15,860,905 | — | 2,889,626 | |||||||||||||||
Net asset value, offering price and redemption price per share | $ | 31.77 | $ | 20.95 | — | $ | 22.38 | ||||||||||||
Series II | |||||||||||||||||||
Net assets | $ | 37,545,421 | $ | 35,205,533 | — | $ | 54,129,496 | ||||||||||||
Shares outstanding | 1,201,389 | 1,690,402 | — | 2,459,496 | |||||||||||||||
Net asset value, offering price and redemption price per share | $ | 31.25 | $ | 20.83 | — | $ | 22.01 | ||||||||||||
Series NAV | |||||||||||||||||||
Net assets | $ | 86,561,438 | $ | 296,676,145 | $ | 124,025,774 | $ | 157,196,126 | |||||||||||
Shares outstanding | 2,737,077 | 14,196,254 | 4,373,221 | 7,038,838 | |||||||||||||||
Net asset value, offering price and redemption price per share | $ | 31.63 | $ | 20.90 | $ | 28.36 | $ | 22.33 |
Assets | | Strategic Equity Allocation Trust | | Total Stock Market Index Trust | | Utilities Trust | | Value Trust | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Unaffiliated investments, at value | $ | 11,106,434,987 | $ | 732,839,145 | $ | 326,164,256 | $ | 486,555,643 | |||||||||||
Affiliated investments, at value | 194,233,269 | 16,478,478 | 10,108,192 | — | |||||||||||||||
Repurchase agreements, at value | 193,120,000 | 41,670,000 | 522,000 | — | |||||||||||||||
Total investments, at value | 11,493,788,256 | 790,987,623 | 336,794,448 | 486,555,643 | |||||||||||||||
Cash | 725,640 | 24,202 | 30,565 | 51,194 | |||||||||||||||
Cash segregated at custodian for OTC derivatives | — | — | 391,000 | — | |||||||||||||||
Foreign currency, at value | 6,872,688 | — | — | — | |||||||||||||||
Cash held at broker for futures contracts | 24,250,000 | 2,225,000 | — | — | |||||||||||||||
Receivable for investments sold | 92,281 | 143 | 1,666,625 | 4,297,918 | |||||||||||||||
Unrealized appreciation on forward foreign currency contracts | — | — | 20,711 | — | |||||||||||||||
Receivable for fund shares sold | — | 252,262 | 13,023 | — | |||||||||||||||
Dividends and interest receivable | 24,723,453 | 741,570 | 695,052 | 680,837 | |||||||||||||||
Receivable for securities lending income | 263,502 | 15,915 | 14,384 | — | |||||||||||||||
Receivable for futures variation margin | 168,820 | 565 | — | — | |||||||||||||||
Other assets | 27,292 | 1,425 | 529 | 846 | |||||||||||||||
Total assets | 11,550,911,932 | 794,248,705 | 339,626,337 | 491,586,438 | |||||||||||||||
Liabilities | |||||||||||||||||||
Foreign currency overdraft, at value | — | — | 151,385 | — | |||||||||||||||
Payable for investments purchased | 1,976,562 | — | 1,392,412 | — | |||||||||||||||
Unrealized depreciation on forward foreign currency contracts | — | — | 840,192 | — | |||||||||||||||
Payable for fund shares repurchased | 3,565,270 | 6,427,432 | 1,651,146 | 1,220,157 | |||||||||||||||
Payable upon return of securities loaned | 194,298,286 | 16,481,088 | 10,122,065 | — | |||||||||||||||
Payable to affiliates | |||||||||||||||||||
Accounting and legal services fees | 445,726 | 33,459 | 12,685 | 18,143 | |||||||||||||||
Trustees’ fees | 5,438 | — | — | 102 | |||||||||||||||
Other liabilities and accrued expenses | 459,838 | 56,077 | 35,002 | 103,755 | |||||||||||||||
Total liabilities | 200,751,120 | 22,998,056 | 14,204,887 | 1,342,157 | |||||||||||||||
Net assets | $ | 11,350,160,812 | $ | 771,250,649 | $ | 325,421,450 | $ | 490,244,281 | |||||||||||
Net assets consist of | |||||||||||||||||||
Paid-in capital | $ | 7,629,667,831 | $ | 432,139,636 | $ | 314,689,287 | $ | 391,386,982 | |||||||||||
Undistributed net investment income (loss) | 157,065,506 | 8,059,687 | 10,937,524 | 6,562,922 | |||||||||||||||
Accumulated undistributed net realized gain (loss) on investments | 298,159,558 | 16,417,723 | (8,262,946 | ) | 28,840,029 | ||||||||||||||
Net unrealized appreciation (depreciation) on investments | 3,265,267,917 | 314,633,603 | 8,057,585 | 63,454,348 | |||||||||||||||
Net assets | $ | 11,350,160,812 | $ | 771,250,649 | $ | 325,421,450 | $ | 490,244,281 | |||||||||||
Unaffiliated investments, including repurchase agreements, at cost | $ | 8,033,153,485 | $ | 459,652,104 | $ | 317,809,627 | $ | 423,101,295 | |||||||||||
Affiliated investments, at cost | $ | 194,239,525 | $ | 16,479,429 | $ | 10,108,207 | — | ||||||||||||
Foreign currency, at cost | $ | 6,761,845 | — | — | — | ||||||||||||||
Securities loaned, unaffiliated investments, at value | $ | 186,244,591 | $ | 16,110,200 | $ | 9,815,854 | — | ||||||||||||
Net asset value per share | |||||||||||||||||||
The portfolios have an unlimited number of shares authorized with par value of $0.01 per share. Net asset value is calculated by dividing the net assets of each class of shares by the number of outstanding shares in the class. | |||||||||||||||||||
Series I | |||||||||||||||||||
Net assets | — | $ | 576,306,432 | $ | 280,261,412 | $ | 436,678,636 | ||||||||||||
Shares outstanding | — | 27,607,577 | 20,227,766 | 20,239,332 | |||||||||||||||
Net asset value, offering price and redemption price per share | — | $ | 20.87 | $ | 13.86 | $ | 21.58 | ||||||||||||
Series II | |||||||||||||||||||
Net assets | — | $ | 43,278,306 | $ | 14,887,526 | $ | 23,968,139 | ||||||||||||
Shares outstanding | — | 2,082,169 | 1,086,489 | 1,117,268 | |||||||||||||||
Net asset value, offering price and redemption price per share | — | $ | 20.79 | $ | 13.70 | $ | 21.45 | ||||||||||||
Series NAV | |||||||||||||||||||
Net assets | $ | 11,350,160,812 | ��$ | 151,665,911 | $ | 30,272,512 | $ | 29,597,506 | |||||||||||
Shares outstanding | 609,739,274 | 7,265,634 | 2,187,371 | 1,373,626 | |||||||||||||||
Net asset value, offering price and redemption price per share | $ | 18.61 | $ | 20.87 | $ | 13.84 | $ | 21.55 |
Investment income | | 500 Index Trust B | | Alpha Opportunities Trust | | American Asset Allocation Trust | | American Global Growth Trust | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Dividends | $ | 46,939,694 | $ | 1,083,183 | $ | 4,926,142 | $ | 278,208 | |||||||||||
Interest | 140,351 | 17,694 | — | — | |||||||||||||||
Securities lending | 44,438 | — | — | — | |||||||||||||||
Less foreign taxes withheld | (1,896 | ) | (12,616 | ) | — | — | |||||||||||||
Total investment income | 47,122,587 | 1,088,261 | 4,926,142 | 278,208 | |||||||||||||||
Expenses | |||||||||||||||||||
Investment management fees | 10,373,027 | 688,961 | — | — | |||||||||||||||
Series I distribution and service fees | 682,594 | 125 | 772,060 | 42,978 | |||||||||||||||
Series II distribution and service fees | 83,359 | — | 4,294,205 | 654,174 | |||||||||||||||
Series III distribution and service fees | — | — | 173,271 | 40,095 | |||||||||||||||
Accounting and legal services fees | 381,702 | 13,350 | 130,625 | 19,056 | |||||||||||||||
Professional fees | 48,535 | (18,378 | )1 | 25,692 | 14,424 | ||||||||||||||
Printing and postage | 45,281 | (165 | )1 | 16,278 | 5,825 | ||||||||||||||
Custodian fees | 246,629 | 24,173 | 3,886 | 5,828 | |||||||||||||||
Trustees’ fees | 36,070 | 1,949 | 13,710 | 2,098 | |||||||||||||||
Other | 28,068 | 7,564 | 8,950 | 3,277 | |||||||||||||||
Total expenses before reductions | 11,925,265 | 717,579 | 5,438,677 | 787,755 | |||||||||||||||
Less expense reductions | (5,534,556 | ) | (26,751 | ) | (404,073 | ) | (78,458 | ) | |||||||||||
Net expenses | 6,390,709 | 690,828 | 5,034,604 | 709,297 | |||||||||||||||
Net investment income (loss) | 40,731,878 | 397,433 | (108,462 | ) | (431,089 | ) | |||||||||||||
Realized and unrealized gain (loss) | |||||||||||||||||||
Net realized gain (loss) on | |||||||||||||||||||
Unaffiliated investments and foreign currency transactions | 25,933,209 | 7,328,761 | 45,334,002 | 4,591,921 | |||||||||||||||
Affiliated investments | (1,107 | ) | — | — | — | ||||||||||||||
Capital gain distributions received from unaffiliated funds | — | — | 70,363,947 | 6,848,816 | |||||||||||||||
Futures contracts | 13,463,110 | — | — | — | |||||||||||||||
39,395,212 | 7,328,761 | 115,697,949 | 11,440,737 | ||||||||||||||||
Change in net unrealized appreciation (depreciation) of | |||||||||||||||||||
Unaffiliated investments and translation of assets and liabilities in foreign currencies | 313,500,467 | 3,885,177 | 2,696,641 | 26,172,860 | |||||||||||||||
Affiliated investments | (363 | ) | — | — | — | ||||||||||||||
Futures contracts | (101,460 | ) | — | — | — | ||||||||||||||
313,398,644 | 3,885,177 | 2,696,641 | 26,172,860 | ||||||||||||||||
Net realized and unrealized gain (loss) | 352,793,856 | 11,213,938 | 118,394,590 | 37,613,597 | |||||||||||||||
Increase (decrease) in net assets from operations | $ | 393,525,734 | $ | 11,611,371 | $ | 118,286,128 | $ | 37,182,508 |
1 | During the period ended June 30, 2017, the portfolio reversed expenses accrued in the prior year related to a reorganization which did not occur. As a result, the portfolio reflects negative Professional fees and Printing and postage in the current reporting period. Fees accrued prior to these reversals for the period ended June 30, 2017 were $29,239 for Professional fees and $5,370 for Printing and Postage. |
Investment income | | American Growth Trust | | American Growth-Income Trust | | American International Trust | | American New World Trust | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Dividends | $ | 1,454,479 | $ | 2,967,348 | $ | 1,862,099 | $ | 150,789 | |||||||||||
Total investment income | 1,454,479 | 2,967,348 | 1,862,099 | 150,789 | |||||||||||||||
Expenses | |||||||||||||||||||
Series I distribution and service fees | 353,041 | 764,403 | 304,459 | 120,953 | |||||||||||||||
Series II distribution and service fees | 2,553,699 | 2,214,523 | 1,403,985 | 160,420 | |||||||||||||||
Series III distribution and service fees | 121,808 | 276,376 | 53,956 | 2,050 | |||||||||||||||
Accounting and legal services fees | 76,366 | 89,886 | 44,495 | 7,364 | |||||||||||||||
Professional fees | 18,914 | 20,502 | 15,883 | 57,751 | |||||||||||||||
Printing and postage | 11,462 | 13,106 | 8,062 | 17,298 | |||||||||||||||
Custodian fees | 5,828 | 5,497 | 5,828 | 5,828 | |||||||||||||||
Trustees’ fees | 7,960 | 9,603 | 4,598 | 994 | |||||||||||||||
Other | 6,253 | 7,023 | 4,596 | 2,691 | |||||||||||||||
Total expenses before reductions | 3,155,331 | 3,400,919 | 1,845,862 | 375,349 | |||||||||||||||
Less expense reductions | (341,650 | ) | (248,575 | ) | (57,836 | ) | (67,863 | ) | |||||||||||
Net expenses | 2,813,681 | 3,152,344 | 1,788,026 | 307,486 | |||||||||||||||
Net investment income (loss) | (1,359,202 | ) | (184,996 | ) | 74,073 | (156,697 | ) | ||||||||||||
Realized and unrealized gain (loss) | |||||||||||||||||||
Net realized gain (loss) on | |||||||||||||||||||
Unaffiliated investments and foreign currency transactions | 47,038,161 | 37,269,352 | 10,614,716 | (260,029 | ) | ||||||||||||||
Capital gain distributions received from unaffiliated funds | 86,701,137 | 68,446,831 | 6,243,510 | — | |||||||||||||||
133,739,298 | 105,716,183 | 16,858,226 | (260,029 | ) | |||||||||||||||
Change in net unrealized appreciation (depreciation) of | |||||||||||||||||||
Unaffiliated investments and translation of assets and liabilities in foreign currencies | (8,903,381 | ) | (7,039,917 | ) | 70,210,865 | 11,513,518 | |||||||||||||
(8,903,381 | ) | (7,039,917 | ) | 70,210,865 | 11,513,518 | ||||||||||||||
Net realized and unrealized gain (loss) | 124,835,917 | 98,676,266 | 87,069,091 | 11,253,489 | |||||||||||||||
Increase (decrease) in net assets from operations | $ | 123,476,715 | $ | 98,491,270 | $ | 87,143,164 | $ | 11,096,792 |
Investment income | | Blue Chip Growth Trust | | Capital Appreciation Trust | | Capital Appreciation Value Trust | | Core Strategy Trust | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Dividends | $ | 6,995,416 | $ | 4,822,623 | $ | 2,126,188 | $ | 546 | |||||||||||
Interest | 32,516 | 12,593 | 1,953,752 | 7,281 | |||||||||||||||
Securities lending | 115,208 | 70,055 | 2,933 | — | |||||||||||||||
Less foreign taxes withheld | (8,352 | ) | (58,687 | ) | (17,554 | ) | — | ||||||||||||
Total investment income | 7,134,788 | 4,846,584 | 4,065,319 | 7,827 | |||||||||||||||
Expenses | |||||||||||||||||||
Investment management fees | 6,463,750 | 3,484,437 | 1,597,318 | 762,795 | |||||||||||||||
Series I distribution and service fees | 72,071 | 43,812 | 992 | 31,219 | |||||||||||||||
Series II distribution and service fees | 154,087 | 78,354 | 383,767 | 4,234,023 | |||||||||||||||
Accounting and legal services fees | 141,835 | 84,436 | 33,438 | 313,768 | |||||||||||||||
Professional fees | 30,621 | 27,122 | 27,594 | 48,676 | |||||||||||||||
Printing and postage | 19,613 | 11,223 | 7,446 | 35,384 | |||||||||||||||
Custodian fees | 93,795 | 59,809 | 27,047 | 4,475 | |||||||||||||||
Trustees’ fees | 13,879 | 8,100 | 3,565 | 32,582 | |||||||||||||||
Other | 13,450 | 16,250 | 5,404 | 16,375 | |||||||||||||||
Total expenses before reductions | 7,003,101 | 3,813,543 | 2,086,571 | 5,479,297 | |||||||||||||||
Less expense reductions | (312,959 | ) | (38,898 | ) | (79,787 | ) | — | ||||||||||||
Net expenses | 6,690,142 | 3,774,645 | 2,006,784 | (5,479,297 | ) | ||||||||||||||
Net investment income (loss) | 444,646 | 1,071,939 | 2,058,535 | (5,471,470 | ) | ||||||||||||||
Realized and unrealized gain (loss) | |||||||||||||||||||
Net realized gain (loss) on | |||||||||||||||||||
Unaffiliated investments and foreign currency transactions | 116,725,125 | 91,103,770 | �� | 12,762,238 | 25,272 | ||||||||||||||
Affiliated investments | (2,167 | ) | (523 | ) | (362 | ) | 25,481,121 | ||||||||||||
Written options | — | — | 627,175 | — | |||||||||||||||
116,722,958 | 91,103,247 | 13,389,051 | 25,506,393 | ||||||||||||||||
Change in net unrealized appreciation (depreciation) of | |||||||||||||||||||
Unaffiliated investments and translation of assets and liabilities in foreign currencies | 173,676,540 | 68,698,641 | 19,608,096 | 371 | |||||||||||||||
Affiliated investments | 894 | 685 | 24 | 262,512,280 | |||||||||||||||
Written options | — | — | (948,377 | ) | — | ||||||||||||||
173,677,434 | 68,699,326 | 18,659,743 | 262,512,651 | ||||||||||||||||
Net realized and unrealized gain (loss) | 290,400,392 | 159,802,573 | 32,048,794 | 288,019,044 | |||||||||||||||
Increase (decrease) in net assets from operations | $ | 290,845,038 | $ | 160,874,512 | $ | 34,107,329 | $ | 282,547,574 |
Investment income | | Emerging Markets Value Trust | | Equity Income Trust | | Financial Industries Trust | | Fundamental All Cap Core Trust | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Dividends | $ | 8,915,697 | $ | 24,965,802 | $ | 2,327,708 | $ | 12,408,128 | |||||||||||
Interest | 37,343 | 230,527 | 109,102 | 121,416 | |||||||||||||||
Securities lending | 165,326 | 107,804 | 2,776 | — | |||||||||||||||
Less foreign taxes withheld | (984,687 | ) | (278,799 | ) | (70,602 | ) | (473,055 | ) | |||||||||||
Total investment income | 8,133,679 | 25,025,334 | 2,368,984 | 12,056,489 | |||||||||||||||
Expenses | |||||||||||||||||||
Investment management fees | 3,001,493 | 6,500,131 | 833,863 | 5,612,290 | |||||||||||||||
Series I distribution and service fees | 767 | 67,319 | 41,815 | 38,347 | |||||||||||||||
Series II distribution and service fees | 124 | 180,606 | 25,129 | 62,423 | |||||||||||||||
Accounting and legal services fees | 53,763 | 150,630 | 18,061 | 141,812 | |||||||||||||||
Professional fees | 32,021 | 31,586 | 19,346 | 31,057 | |||||||||||||||
Printing and postage | 11,275 | 20,487 | 4,612 | 16,851 | |||||||||||||||
Custodian fees | 253,994 | 103,756 | 12,168 | 96,770 | |||||||||||||||
Trustees’ fees | 5,436 | 15,257 | 1,723 | 13,701 | |||||||||||||||
Other | 18,439 | 20,588 | 4,442 | 13,317 | |||||||||||||||
Total expenses before reductions | 3,377,312 | 7,090,360 | 961,159 | 6,026,568 | |||||||||||||||
Less expense reductions | (24,746 | ) | (293,542 | ) | (8,587 | ) | (65,335 | ) | |||||||||||
Net expenses | 3,352,566 | 6,796,818 | 952,572 | 5,961,233 | |||||||||||||||
Net investment income (loss) | 4,781,113 | 18,228,516 | 1,416,412 | 6,095,256 | |||||||||||||||
Realized and unrealized gain (loss) | |||||||||||||||||||
Net realized gain (loss) on | |||||||||||||||||||
Unaffiliated investments and foreign currency transactions | �� | (204,390 | ) | 110,707,876 | 9,114,937 | 125,325,399 | |||||||||||||
Affiliated investments | (1,101 | ) | (2,462 | ) | (38 | ) | — | ||||||||||||
(205,491 | ) | 110,705,414 | 9,114,899 | 125,325,399 | |||||||||||||||
Change in net unrealized appreciation (depreciation) of | |||||||||||||||||||
Unaffiliated investments and translation of assets and liabilities in foreign currencies | 94,187,095 | (29,637,120 | ) | 748,515 | 52,411,111 | ||||||||||||||
Affiliated investments | (134 | ) | (2,605 | ) | (72 | ) | — | ||||||||||||
94,186,961 | (29,639,725 | ) | 748,443 | 52,411,111 | |||||||||||||||
Net realized and unrealized gain (loss) | 93,981,470 | 81,065,689 | 9,863,342 | 177,736,510 | |||||||||||||||
Increase (decrease) in net assets from operations | $ | 98,762,583 | $ | 99,294,205 | $ | 11,279,754 | $ | 183,831,766 |
Investment income | | Fundamental Large Cap Value Trust | | Global Trust | | Health Sciences Trust | | International Equity Index Trust B | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Dividends | $ | 8,793,026 | $ | 3,812,549 | $ | 1,238,722 | $ | 12,432,716 | |||||||||||
Interest | 45,285 | 126,199 | 8,623 | 27,154 | |||||||||||||||
Securities lending | — | 41,814 | — | 140,874 | |||||||||||||||
Less foreign taxes withheld | (256,943 | ) | (261,290 | ) | (25,135 | ) | (1,263,408 | ) | |||||||||||
Total investment income | 8,581,368 | 3,719,272 | 1,222,210 | 11,337,336 | |||||||||||||||
Expenses | |||||||||||||||||||
Investment management fees | 2,659,940 | 940,743 | 1,439,705 | 1,697,117 | |||||||||||||||
Series I distribution and service fees | 133,628 | 36,122 | 24,936 | 77,238 | |||||||||||||||
Series II distribution and service fees | 254,813 | 53,796 | 94,066 | 19,321 | |||||||||||||||
Accounting and legal services fees | 72,974 | 20,724 | 23,220 | 55,335 | |||||||||||||||
Professional fees | 30,074 | 25,746 | 26,446 | 31,589 | |||||||||||||||
Printing and postage | 15,171 | 7,722 | 5,687 | 13,348 | |||||||||||||||
Custodian fees | 65,399 | 56,641 | 17,057 | 140,993 | |||||||||||||||
Trustees’ fees | 8,475 | 2,440 | 2,574 | 5,235 | |||||||||||||||
Other | 12,298 | 7,160 | 7,361 | 10,358 | |||||||||||||||
Total expenses before reductions | 3,252,772 | 1,151,094 | 1,641,052 | 2,050,534 | |||||||||||||||
Less expense reductions | (44,660 | ) | (25,983 | ) | (85,222 | ) | (869,316 | ) | |||||||||||
Net expenses | 3,208,112 | 1,125,111 | 1,555,830 | 1,181,218 | |||||||||||||||
Net investment income (loss) | 5,373,256 | 2,594,161 | (333,620 | ) | 10,156,118 | ||||||||||||||
Realized and unrealized gain (loss) | |||||||||||||||||||
Net realized gain (loss) on | |||||||||||||||||||
Unaffiliated investments and foreign currency transactions | 27,844,293 | 6,841,319 | 14,130,585 | 3,079,250 | |||||||||||||||
Affiliated investments | — | (293 | ) | — | (1,355 | ) | |||||||||||||
Futures contracts | — | — | — | 2,321,177 | |||||||||||||||
Written options | — | — | 37,429 | — | |||||||||||||||
27,844,293 | 6,841,026 | 14,168,014 | 5,399,072 | ||||||||||||||||
Change in net unrealized appreciation (depreciation) of | |||||||||||||||||||
Unaffiliated investments and translation of assets and liabilities in foreign currencies | 23,887,580 | 15,406,563 | 34,641,364 | 72,351,693 | |||||||||||||||
Affiliated investments | — | 41 | — | 62,653 | |||||||||||||||
Futures contracts | — | — | — | 28,973 | |||||||||||||||
Written options | — | — | (37,117 | ) | — | ||||||||||||||
23,887,580 | 15,406,604 | 34,604,247 | 72,443,319 | ||||||||||||||||
Net realized and unrealized gain (loss) | 51,731,873 | 22,247,630 | 48,772,261 | 77,842,391 | |||||||||||||||
Increase (decrease) in net assets from operations | $ | 57,105,129 | $ | 24,841,791 | $ | 48,438,641 | $ | 87,998,509 |
Investment income | | International Growth Stock Trust | | International Small Company Trust | | International Value Trust | | Lifestyle Aggressive PS Series | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Dividends | $ | 6,525,771 | $ | 2,025,897 | $ | 17,759,883 | $ | 38,766 | |||||||||||
Securities lending | — | 95,961 | 254,702 | — | |||||||||||||||
Interest | 74,362 | 4,612 | 68,083 | — | |||||||||||||||
Less foreign taxes withheld | (552,262 | ) | (190,866 | ) | (1,629,176 | ) | — | ||||||||||||
Total investment income | 6,047,871 | 1,935,604 | 16,453,492 | 38,766 | |||||||||||||||
Expenses | |||||||||||||||||||
Investment management fees | 1,494,508 | 559,170 | 3,481,534 | 16,362 | |||||||||||||||
Series I distribution and service fees | 1,165 | 8,298 | 28,506 | 1,074 | |||||||||||||||
Series II distribution and service fees | 23,169 | 22,997 | 90,913 | 23,124 | |||||||||||||||
Accounting and legal services fees | 32,572 | 10,159 | 75,242 | 2,335 | |||||||||||||||
Professional fees | 26,919 | 24,360 | 28,699 | 19,208 | |||||||||||||||
Printing and postage | 6,771 | 4,153 | 16,270 | 3,511 | |||||||||||||||
Custodian fees | 61,446 | 58,661 | 129,238 | 5,828 | |||||||||||||||
Trustees’ fees | 3,306 | 1,249 | 7,413 | 572 | |||||||||||||||
Other | 7,275 | 4,342 | 10,354 | 2,446 | |||||||||||||||
Total expenses before reductions | 1,657,131 | 693,389 | 3,868,169 | 74,460 | |||||||||||||||
Less expense reductions | (14,888 | ) | (4,629 | ) | (34,190 | ) | (28,442 | ) | |||||||||||
Net expenses | 1,642,243 | 688,760 | 3,833,979 | 46,018 | |||||||||||||||
Net investment income | 4,405,628 | 1,246,844 | 12,619,513 | (7,252 | ) | ||||||||||||||
Realized and unrealized gain (loss) | |||||||||||||||||||
Net realized gain (loss) on | |||||||||||||||||||
Unaffiliated investments and foreign currency transactions | 16,806,026 | 1,767,103 | (4,722,146 | ) | 26,031 | ||||||||||||||
Affiliated investments | — | (409 | ) | (3,901 | ) | 41,725 | |||||||||||||
16,806,026 | 1,766,694 | (4,726,047 | ) | 67,756 | |||||||||||||||
Change in net unrealized appreciation (depreciation) of | |||||||||||||||||||
Unaffiliated investments and translation of assets and liabilities in foreign currencies | 28,604,148 | 14,486,207 | 82,890,848 | 362,357 | |||||||||||||||
Affiliated investments | — | (614 | ) | 515 | 2,177,546 | ||||||||||||||
28,604,148 | 14,485,593 | 82,891,363 | 2,539,903 | ||||||||||||||||
Net realized and unrealized gain (loss) | 45,410,174 | 16,252,287 | 78,165,316 | 2,607,659 | |||||||||||||||
Increase (decrease) in net assets from operations | $ | 49,815,802 | $ | 17,499,131 | $ | 90,784,829 | $ | 2,600,407 |
Investment income | | Lifestyle Balanced PS Series | | Lifestyle Conservative PS Series | | Lifestyle Growth PS Series | | Lifestyle Moderate PS Series | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Interest | — | — | $ | 29 | — | ||||||||||||||
Total investment income | — | — | 29 | — | |||||||||||||||
Expenses | |||||||||||||||||||
Investment management fees | 209,175 | 38,246 | 652,824 | 65,940 | |||||||||||||||
Series I distribution and service fees | 7,502 | 2,269 | 24,098 | 2,544 | |||||||||||||||
Series II distribution and service fees | 1,149,230 | 217,265 | 3,692,805 | 369,025 | |||||||||||||||
Accounting and legal services fees | 86,423 | 15,894 | 267,970 | 27,248 | |||||||||||||||
Professional fees | 27,541 | 21,608 | 36,630 | 22,616 | |||||||||||||||
Printing and postage | 15,147 | 6,308 | 36,312 | 7,386 | |||||||||||||||
Custodian fees | 5,564 | 5,828 | 6,214 | 5,564 | |||||||||||||||
Trustees’ fees | 8,982 | 1,947 | 21,290 | 3,068 | |||||||||||||||
Other | 6,058 | 3,220 | 11,602 | 3,554 | |||||||||||||||
Total expenses before reductions | 1,515,622 | 312,585 | 4,749,745 | 506,945 | |||||||||||||||
Less expense reductions | (25,429 | ) | (22,261 | ) | (79,194 | ) | (13,324 | ) | |||||||||||
Net expenses | 1,490,193 | 290,324 | 4,670,551 | 493,621 | |||||||||||||||
Net investment income (loss) | (1,490,193 | ) | (290,324 | ) | (4,670,522 | ) | (493,621 | ) | |||||||||||
Realized and unrealized gain (loss) | |||||||||||||||||||
Net realized gain (loss) on | |||||||||||||||||||
Unaffiliated investments and foreign currency transactions | — | — | 537 | — | |||||||||||||||
Affiliated investments | 3,544,503 | 223,109 | 9,227,412 | 726,648 | |||||||||||||||
3,544,503 | 223,109 | 9,227,949 | 726,648 | ||||||||||||||||
Change in net unrealized appreciation (depreciation) of | |||||||||||||||||||
Unaffiliated investments and translation of assets and liabilities in foreign currencies | — | — | 5,696 | — | |||||||||||||||
Affiliated investments | 60,559,676 | 7,316,607 | 237,069,103 | 17,022,104 | |||||||||||||||
60,559,676 | 7,316,607 | 237,074,799 | 17,022,104 | ||||||||||||||||
Net realized and unrealized gain (loss) | 64,104,179 | 7,539,716 | 246,302,748 | 17,748,752 | |||||||||||||||
Increase (decrease) in net assets from operations | $ | 62,613,986 | $ | 7,249,392 | $ | 241,632,226 | $ | 17,255,131 |
Investment income | | Mid Cap Index Trust | | Mid Cap Stock Trust | | Mid Value Trust | | Mutual Shares Trust | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Dividends | $ | 7,970,508 | $ | 1,501,965 | $ | 9,742,204 | $ | 2,061,467 | |||||||||||
Interest | 38,690 | — | 216,222 | 427,388 | |||||||||||||||
Securities lending | 123,296 | 165,781 | 90,459 | 10,537 | |||||||||||||||
Less foreign taxes withheld | (3,071 | ) | (10,773 | ) | (86,387 | ) | (103,289 | ) | |||||||||||
Total investment income | 8,129,423 | 1,656,973 | 9,962,498 | 2,396,103 | |||||||||||||||
Expenses | |||||||||||||||||||
Investment management fees | 2,504,676 | 2,938,375 | 3,947,776 | 830,065 | |||||||||||||||
Series I distribution and service fees | 211,864 | 39,302 | 84,633 | 43,233 | |||||||||||||||
Series II distribution and service fees | 83,941 | 100,673 | 81,737 | — | |||||||||||||||
Accounting and legal services fees | 89,865 | 60,445 | 69,494 | 15,682 | |||||||||||||||
Professional fees | 24,901 | 27,775 | 24,277 | 30,355 | |||||||||||||||
Printing and postage | 13,249 | 9,462 | 11,387 | 5,003 | |||||||||||||||
Custodian fees | 56,412 | 42,358 | 49,570 | 17,962 | |||||||||||||||
Trustees’ fees | 8,785 | 6,439 | 7,324 | 2,065 | |||||||||||||||
Other | 11,625 | 9,266 | 8,154 | 5,946 | |||||||||||||||
Total expenses before reductions | 3,005,318 | 3,234,095 | 4,284,352 | 950,311 | |||||||||||||||
Less expense reductions | (572,746 | ) | (27,732 | ) | (220,667 | ) | (6,791 | ) | |||||||||||
Net expenses | 2,432,572 | 3,206,363 | 4,063,685 | 943,520 | |||||||||||||||
Net investment income (loss) | 5,696,851 | (1,549,390 | ) | 5,898,813 | 1,452,583 | ||||||||||||||
Realized and unrealized gain (loss) | |||||||||||||||||||
Net realized gain (loss) on | |||||||||||||||||||
Unaffiliated investments and foreign currency transactions | 50,244,738 | 43,247,463 | 35,910,106 | 4,883,050 | |||||||||||||||
Affiliated investments | (1,450 | ) | (3,997 | ) | (1,914 | ) | (386 | ) | |||||||||||
Futures contracts | 1,240,643 | — | — | — | |||||||||||||||
51,483,931 | 43,243,466 | 35,908,192 | 4,882,664 | ||||||||||||||||
Change in net unrealized appreciation (depreciation) of | |||||||||||||||||||
Unaffiliated investments and translation of assets and liabilities in foreign currencies | 1,352,279 | 73,905,576 | (17,265,392 | ) | 2,819,045 | ||||||||||||||
Affiliated investments | (873 | ) | 795 | (584 | ) | 134 | |||||||||||||
Futures contracts | 666,976 | — | — | — | |||||||||||||||
2,018,382 | 73,906,371 | (17,265,976 | ) | 2,819,179 | |||||||||||||||
Net realized and unrealized gain (loss) | 53,502,313 | 117,149,837 | 18,642,216 | 7,701,843 | |||||||||||||||
Increase (decrease) in net assets from operations | $ | 59,199,164 | $ | 115,600,447 | $ | 24,541,029 | $ | 9,154,426 |
Investment income | | Real Estate Securities Trust | | Science & Technology Trust | | Small Cap Growth Trust | | Small Cap Index Trust | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Dividends | $ | 7,067,236 | $ | 2,385,503 | $ | 871,324 | $ | 3,888,242 | |||||||||||
Interest | 653 | 175,350 | 25,155 | 18,395 | |||||||||||||||
Securities lending | — | 114,000 | 187,227 | 445,690 | |||||||||||||||
Less foreign taxes withheld | — | (30,936 | ) | — | (1,817 | ) | |||||||||||||
Total investment income | 7,067,889 | 2,643,917 | 1,083,706 | 4,350,510 | |||||||||||||||
Expenses | |||||||||||||||||||
Investment management fees | 1,349,516 | 2,933,709 | 2,021,666 | 1,321,738 | |||||||||||||||
Series I distribution and service fees | 20,407 | 122,302 | 20,384 | 96,870 | |||||||||||||||
Series II distribution and service fees | 61,536 | 59,904 | 36,562 | 53,941 | |||||||||||||||
Accounting and legal services fees | 32,121 | 50,620 | 32,907 | 46,284 | |||||||||||||||
Professional fees | 26,010 | 24,797 | 22,994 | 21,045 | |||||||||||||||
Printing and postage | 7,894 | 7,951 | 6,820 | 8,570 | |||||||||||||||
Custodian fees | 21,526 | 49,126 | 22,803 | 29,436 | |||||||||||||||
Trustees’ fees | 3,695 | 4,555 | 3,534 | 4,429 | |||||||||||||||
Other | 6,523 | 6,948 | 7,534 | 6,046 | |||||||||||||||
Total expenses before reductions | 1,529,228 | 3,259,912 | 2,175,204 | 1,588,359 | |||||||||||||||
Less expense reductions | (15,138 | ) | (129,085 | ) | (15,128 | ) | (158,449 | ) | |||||||||||
Net expenses | 1,514,090 | 3,130,827 | 2,160,076 | 1,429,910 | |||||||||||||||
Net investment income (loss) | 5,553,799 | (486,910 | ) | (1,076,370 | ) | 2,920,600 | |||||||||||||
Realized and unrealized gain (loss) | |||||||||||||||||||
Net realized gain (loss) on | |||||||||||||||||||
Unaffiliated investments and foreign currency transactions | 1,535,278 | 39,292,898 | 24,011,742 | 25,377,311 | |||||||||||||||
Affiliated investments | — | (1,121 | ) | (1,580 | ) | (2,593 | ) | ||||||||||||
Futures contracts | — | — | — | 672,527 | |||||||||||||||
1,535,278 | 39,291,777 | 24,010,162 | 26,047,245 | ||||||||||||||||
Change in net unrealized appreciation (depreciation) of | |||||||||||||||||||
Unaffiliated investments and translation of assets and liabilities in foreign currencies | 5,048,194 | 69,015,321 | 25,595,825 | (2,609,172 | ) | ||||||||||||||
Affiliated investments | — | 823 | (283 | ) | (989 | ) | |||||||||||||
Futures contracts | — | — | — | 184,243 | |||||||||||||||
5,048,194 | 69,016,144 | 25,595,542 | (2,425,918 | ) | |||||||||||||||
Net realized and unrealized gain (loss) | 6,583,472 | 108,307,921 | 49,605,704 | 23,621,327 | |||||||||||||||
Increase (decrease) in net assets from operations | $ | 12,137,271 | $ | 107,821,011 | $ | 48,529,334 | $ | 26,541,927 |
Investment income | | Small Cap Opportunities Trust | | Small Cap Value Trust | | Small Company Growth Trust | | Small Company Value Trust | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Dividends | $ | 1,277,668 | $ | 9,632,179 | $ | 416,126 | $ | 2,071,937 | |||||||||||
Interest | 6,628 | 78,463 | 9,151 | 13,628 | |||||||||||||||
Securities lending | 21,798 | 218,990 | 17,882 | 49,947 | |||||||||||||||
Less foreign taxes withheld | (1,365 | ) | (61 | ) | — | (4,287 | ) | ||||||||||||
Total investment income | 1,304,729 | 9,929,571 | 443,159 | 2,131,225 | |||||||||||||||
Expenses | |||||||||||||||||||
Investment management fees | 1,073,100 | 3,583,145 | 603,369 | 1,451,121 | |||||||||||||||
Series I distribution and service fees | 23,919 | 88,787 | — | 16,893 | |||||||||||||||
Series II distribution and service fees | 47,557 | 47,465 | — | 68,469 | |||||||||||||||
Accounting and legal services fees | 18,323 | 57,934 | 10,309 | 23,291 | |||||||||||||||
Professional fees | 19,763 | 22,807 | 18,981 | 20,281 | |||||||||||||||
Printing and postage | 5,669 | 9,862 | 3,470 | 6,088 | |||||||||||||||
Custodian fees | 20,730 | 41,255 | 6,918 | 16,171 | |||||||||||||||
Trustees’ fees | 2,208 | 6,155 | 1,316 | 2,718 | |||||||||||||||
Other | 5,105 | 7,383 | 3,796 | 4,968 | |||||||||||||||
Total expenses before reductions | 1,216,374 | 3,864,793 | 648,159 | 1,610,000 | |||||||||||||||
Less expense reductions | (90,533 | ) | (27,297 | ) | (4,742 | ) | (85,807 | ) | |||||||||||
Net expenses | 1,125,841 | 3,837,496 | 643,417 | 1,524,193 | |||||||||||||||
Net investment income (loss) | 178,888 | 6,092,075 | (200,258 | ) | 607,032 | ||||||||||||||
Realized and unrealized gain (loss) | |||||||||||||||||||
Net realized gain (loss) on | |||||||||||||||||||
Unaffiliated investments and foreign currency transactions | 6,379,443 | 46,374,029 | 6,397,056 | 10,288,556 | |||||||||||||||
Affiliated investments | (455 | ) | (1,320 | ) | (296 | ) | (628 | ) | |||||||||||
6,378,988 | 46,372,709 | 6,396,760 | 10,287,928 | ||||||||||||||||
Change in net unrealized appreciation (depreciation) of | |||||||||||||||||||
Unaffiliated investments and translation of assets and liabilities in foreign currencies | (1,479,312 | ) | (70,715,246 | ) | 5,921,658 | (6,749,113 | ) | ||||||||||||
Affiliated investments | (59 | ) | 155 | (94 | ) | 126 | |||||||||||||
(1,479,371 | ) | (70,715,091 | ) | 5,921,564 | (6,748,987 | ) | |||||||||||||
Net realized and unrealized gain (loss) | 4,899,617 | (24,342,382 | ) | 12,318,324 | 3,538,941 | ||||||||||||||
Increase (decrease) in net assets from operations | $ | 5,078,505 | ($18,250,307 | ) | $ | 12,118,066 | $ | 4,145,973 |
Investment income | | Strategic Equity Allocation Trust | | Total Stock Market Index Trust | | Utilities Trust | | Value Trust | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Dividends | $ | 155,370,600 | $ | 7,125,612 | $ | 6,593,803 | $ | 3,239,614 | |||||||||||
Interest | 248,154 | 27,909 | 32,603 | 43,024 | |||||||||||||||
Securities lending | 1,446,360 | 128,281 | 86,111 | — | |||||||||||||||
Less foreign taxes withheld | (7,132,226 | ) | (2,638 | ) | (252,101 | ) | — | ||||||||||||
Total investment income | 149,932,888 | 7,279,164 | 6,460,416 | 3,282,638 | |||||||||||||||
Expenses | |||||||||||||||||||
Investment management fees | 34,916,248 | 1,666,989 | 1,345,190 | 1,794,053 | |||||||||||||||
Series I distribution and service fees | — | 130,086 | 70,521 | 114,107 | |||||||||||||||
Series II distribution and service fees | — | 48,381 | 18,513 | 31,655 | |||||||||||||||
Accounting and legal services fees | 952,562 | 61,137 | 27,756 | 42,548 | |||||||||||||||
Professional fees | 108,717 | 38,579 | 21,001 | 67,828 | |||||||||||||||
Printing and postage | 96,308 | 18,099 | 6,953 | 32,294 | |||||||||||||||
Custodian fees | 1,029,350 | 38,170 | 33,703 | 29,052 | |||||||||||||||
Trustees’ fees | 91,604 | 5,887 | 3,047 | 4,847 | |||||||||||||||
Other | 78,183 | 7,390 | 5,598 | 6,737 | |||||||||||||||
Total expenses before reductions | 37,272,972 | 2,014,718 | 1,532,282 | 2,123,121 | |||||||||||||||
Less expense reductions | (7,230,804 | ) | (27,443 | ) | (12,811 | ) | (20,133 | ) | |||||||||||
Net expenses | 30,042,168 | 1,987,275 | 1,519,471 | 2,102,988 | |||||||||||||||
Net investment income (loss) | 119,890,720 | 5,291,889 | 4,940,945 | 1,179,650 | |||||||||||||||
Realized and unrealized gain (loss) | |||||||||||||||||||
Net realized gain (loss) on | |||||||||||||||||||
Unaffiliated investments and foreign currency transactions | 172,360,627 | 2,869,380 | (1,791,686 | ) | 25,634,670 | ||||||||||||||
Affiliated investments | (11,896 | ) | (597 | ) | (562 | ) | — | ||||||||||||
Futures contracts | 30,151,687 | 2,061,209 | — | — | |||||||||||||||
202,500,418 | 4,929,992 | (1,792,248 | ) | 25,634,670 | |||||||||||||||
Change in net unrealized appreciation (depreciation) of | |||||||||||||||||||
Unaffiliated investments and translation of assets and liabilities in foreign currencies | 798,881,037 | 46,898,593 | 28,040,385 | (16,721,368 | ) | ||||||||||||||
Affiliated investments | (3,120 | ) | (462 | ) | 130 | — | |||||||||||||
Futures contracts | 191,444 | 65,220 | — | — | |||||||||||||||
799,069,361 | 46,963,351 | 28,040,515 | (16,721,368 | ) | |||||||||||||||
Net realized and unrealized gain (loss) | 1,001,569,779 | 51,893,343 | 26,248,267 | 8,913,302 | |||||||||||||||
Increase (decrease) in net assets from operations | $ | 1,121,460,499 | $ | 57,185,232 | $ | 31,189,212 | $ | 10,092,952 |
500 Index Trust B | Alpha Opportunities Trust | American Asset Allocation Trust | |||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Increase (decrease) in net assets | | Six months ended 6-30-17 (unaudited) | | Year ended 12-31-16 | | Six months ended 6-30-17 (unaudited) | | Year ended 12-31-16 | | Six months ended 6-30-17 (unaudited) | | Year ended 12-31-16 | |||||||||||||||
From operations | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 40,731,878 | $ | 72,559,857 | $ | 397,433 | $ | 2,487,363 | ($108,462 | ) | $ | 17,314,954 | |||||||||||||||
Net realized gain (loss) | 39,395,212 | 71,159,329 | 7,328,761 | 32,255,177 | 115,697,949 | 102,472,982 | |||||||||||||||||||||
Change in net unrealized appreciation (depreciation) | 313,398,644 | 286,147,974 | 3,885,177 | (8,502,489 | ) | 2,696,641 | 8,499,453 | ||||||||||||||||||||
Increase (decrease) in net assets resulting from operations | 393,525,734 | 429,867,160 | 11,611,371 | 26,240,051 | 118,286,128 | 128,287,389 | |||||||||||||||||||||
Distributions to shareholders | |||||||||||||||||||||||||||
From net investment income | |||||||||||||||||||||||||||
Series I | — | (40,487,027 | ) | — | (10,934 | ) | — | (2,991,828 | ) | ||||||||||||||||||
Series II | — | (890,122 | ) | — | — | — | (12,163,591 | ) | |||||||||||||||||||
Series III | — | — | — | — | — | (2,166,169 | ) | ||||||||||||||||||||
Series NAV | — | (27,323,731 | ) | — | (3,163,592 | ) | — | — | |||||||||||||||||||
From net realized gain | |||||||||||||||||||||||||||
Series I | — | (35,780,069 | ) | — | (99,095 | ) | — | (29,989,253 | ) | ||||||||||||||||||
Series II | — | (832,975 | ) | — | — | — | (146,313,436 | ) | |||||||||||||||||||
Series III | — | — | — | — | — | (17,374,646 | ) | ||||||||||||||||||||
Series NAV | — | (23,902,109 | ) | — | (63,908,638 | ) | — | — | |||||||||||||||||||
Total distributions | — | (129,216,033 | ) | — | (67,182,259 | ) | — | (210,998,923 | ) | ||||||||||||||||||
From portfolio share transactions | |||||||||||||||||||||||||||
Portfolio share transactions | 62,713,298 | 279,502,098 | (789,243 | ) | (487,341,314 | ) | (78,063,544 | ) | 70,170,231 | ||||||||||||||||||
Issued in reorganization | — | 136,713,455 | — | — | — | — | |||||||||||||||||||||
Total from portfolio share transactions | 62,713,298 | 416,215,553 | (789,243 | ) | (487,341,314 | ) | (78,063,544 | ) | 70,170,231 | ||||||||||||||||||
Total increase (decrease) | 456,239,032 | 716,866,680 | 10,822,128 | (528,283,522 | ) | 40,222,584 | (12,541,303 | ) | |||||||||||||||||||
Net assets | |||||||||||||||||||||||||||
Beginning of period | 4,234,232,452 | 3,517,365,772 | 135,534,955 | 663,818,477 | 1,513,457,227 | 1,525,998,530 | |||||||||||||||||||||
End of period | $ | 4,690,471,484 | $ | 4,234,232,452 | $ | 146,357,083 | $ | 135,534,955 | $ | 1,553,679,811 | $ | 1,513,457,227 | |||||||||||||||
Undistributed net investment income (loss) | $ | 58,733,861 | $ | 18,001,983 | $ | 598,991 | $ | 201,558 | ($108,462 | ) | — |
American Global Growth Trust | American Growth Trust | American Growth-Income Trust | |||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Increase (decrease) in net assets | | Six months ended 6-30-17 (unaudited) | | Year ended 12-31-16 | | Six months ended 6-30-17 (unaudited) | | Year ended 12-31-16 | | Six months ended 6-30-17 (unaudited) | | Year ended 12-31-16 | |||||||||||||||
From operations | |||||||||||||||||||||||||||
Net investment income (loss) | ($431,089 | ) | $ | 1,094,275 | ($1,359,202 | ) | $ | 3,255,041 | ($184,996 | ) | $ | 11,502,978 | |||||||||||||||
Net realized gain (loss) | 11,440,737 | 26,621,979 | 133,739,298 | 147,135,836 | 105,716,183 | 183,112,084 | |||||||||||||||||||||
Change in net unrealized appreciation (depreciation) | 26,172,860 | (27,635,668 | ) | (8,903,381 | ) | (75,699,108 | ) | (7,039,917 | ) | (83,814,424 | ) | ||||||||||||||||
Increase (decrease) in net assets resulting from operations | 37,182,508 | 80,586 | 123,476,715 | 74,691,769 | 98,491,270 | 110,800,638 | |||||||||||||||||||||
Distributions to shareholders | |||||||||||||||||||||||||||
From net investment income | |||||||||||||||||||||||||||
Series I | — | (73,208 | ) | — | (410,212 | ) | — | (2,573,946 | ) | ||||||||||||||||||
Series II | — | (742,996 | ) | — | (2,106,901 | ) | — | (5,790,353 | ) | ||||||||||||||||||
Series III | — | (278,000 | ) | — | (737,748 | ) | — | (3,139,651 | ) | ||||||||||||||||||
From net realized gain | |||||||||||||||||||||||||||
Series I | — | (1,446,652 | ) | — | (31,586,550 | ) | — | (59,907,797 | ) | ||||||||||||||||||
Series II | — | (22,651,078 | ) | — | (199,971,990 | ) | — | (149,767,021 | ) | ||||||||||||||||||
Series III | — | (4,026,618 | ) | — | (27,937,823 | ) | — | (54,483,092 | ) | ||||||||||||||||||
Total distributions | — | (29,218,552 | ) | — | (262,751,224 | ) | — | (275,661,860 | ) | ||||||||||||||||||
From portfolio share transactions | |||||||||||||||||||||||||||
Portfolio share transactions | (17,532,266 | ) | 1,881,095 | (80,649,935 | ) | 143,509,709 | (80,646,780 | ) | 127,382,300 | ||||||||||||||||||
Total from portfolio share transactions | (17,532,266 | ) | 1,881,095 | (80,649,935 | ) | 143,509,709 | (80,646,780 | ) | 127,382,300 | ||||||||||||||||||
Total increase (decrease) | 19,650,242 | (27,256,871 | ) | 42,826,780 | (44,549,746 | ) | 17,844,490 | (37,478,922 | ) | ||||||||||||||||||
Net assets | |||||||||||||||||||||||||||
Beginning of period | 209,255,902 | 236,512,773 | 860,447,369 | 904,997,115 | 1,049,929,574 | 1,087,408,496 | |||||||||||||||||||||
End of period | $ | 228,906,144 | $ | 209,255,902 | $ | 903,274,149 | $ | 860,447,369 | $ | 1,067,774,064 | $ | 1,049,929,574 | |||||||||||||||
Undistributed net investment income (loss) | ($430,938 | ) | $ | 151 | ($1,359,022 | ) | $ | 180 | ($183,995 | ) | $ | 1,001 |
American International Trust | American New World Trust | Blue Chip Growth Trust | |||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Increase (decrease) in net assets | | Six months ended 6-30-17 (unaudited) | | Year ended 12-31-16 | | Six months ended 6-30-17 (unaudited) | | Year ended 12-31-16 | | Six months ended 6-30-17 (unaudited) | | Year ended 12-31-16 | |||||||||||||||
From operations | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 74,073 | $ | 4,518,920 | ($156,697 | ) | $ | 247,170 | $ | 444,646 | $ | 1,465,334 | |||||||||||||||
Net realized gain (loss) | 16,858,226 | 73,180,009 | (260,029 | ) | (1,210,932 | ) | 116,722,958 | 111,600,279 | |||||||||||||||||||
Change in net unrealized appreciation (depreciation) | 70,210,865 | (62,226,234 | ) | 11,513,518 | 4,325,653 | 173,677,434 | (105,379,645 | ) | |||||||||||||||||||
Increase (decrease) in net assets resulting from operations | 87,143,164 | 15,472,695 | 11,096,792 | 3,361,891 | 290,845,038 | 7,685,968 | |||||||||||||||||||||
Distributions to shareholders | |||||||||||||||||||||||||||
From net investment income | |||||||||||||||||||||||||||
Series I | — | (938,390 | ) | — | (138,561 | ) | — | (32,414 | ) | ||||||||||||||||||
Series II | — | (3,040,326 | ) | — | (97,995 | ) | — | — | |||||||||||||||||||
Series III | — | (540,086 | ) | — | (11,579 | ) | — | — | |||||||||||||||||||
Series NAV | — | — | — | — | — | (612,790 | ) | ||||||||||||||||||||
From net realized gain | |||||||||||||||||||||||||||
Series I | — | — | — | (1,298,749 | ) | — | (45,261,849 | ) | |||||||||||||||||||
Series II | — | — | — | (1,644,878 | ) | — | (19,601,019 | ) | |||||||||||||||||||
Series III | — | — | — | (60,077 | ) | — | — | ||||||||||||||||||||
Series NAV | — | — | — | — | — | (191,061,679 | ) | ||||||||||||||||||||
Total distributions | — | (4,518,802 | ) | — | (3,251,839 | ) | — | (256,569,751 | ) | ||||||||||||||||||
From portfolio share transactions | |||||||||||||||||||||||||||
Portfolio share transactions | (48,556,012 | ) | (51,264,340 | ) | 57,698 | 1,165,122 | (159,947,302 | ) | 108,612,111 | ||||||||||||||||||
Total from portfolio share transactions | (48,556,012 | ) | (51,264,340 | ) | 57,698 | 1,165,122 | (159,947,302 | ) | 108,612,111 | ||||||||||||||||||
Total increase (decrease) | 38,587,152 | (40,310,447 | ) | 11,154,490 | 1,275,174 | 130,897,736 | (140,271,672 | ) | |||||||||||||||||||
Net assets | |||||||||||||||||||||||||||
Beginning of period | 495,496,918 | 535,807,365 | 78,297,910 | 77,022,736 | 1,567,318,894 | 1,707,590,566 | |||||||||||||||||||||
End of period | $ | 534,084,070 | $ | 495,496,918 | $ | 89,452,400 | $ | 78,297,910 | $ | 1,698,216,630 | $ | 1,567,318,894 | |||||||||||||||
Undistributed net investment income (loss) | $ | 74,191 | $ | 118 | ($156,697 | ) | — | $ | 1,910,405 | $ | 1,465,759 |
Capital Appreciation Trust | Capital Appreciation Value Trust | Core Strategy Trust | |||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Increase (decrease) in net assets | | Six months ended 6-30-17 (unaudited) | | Year ended 12-31-16 | | Six months ended 6-30-17 (unaudited) | | Year ended 12-31-16 | | Six months ended 6-30-17 (unaudited) | | Year ended 12-31-16 | |||||||||||||||
From operations | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 1,071,939 | $ | 846,036 | $ | 2,058,535 | $ | 4,827,749 | ($5,471,470 | ) | $ | 64,756,881 | |||||||||||||||
Net realized gain (loss) | 91,103,247 | 80,949,847 | 13,389,051 | 18,675,111 | 25,506,393 | 89,409,941 | |||||||||||||||||||||
Change in net unrealized appreciation (depreciation) | 68,699,326 | (93,199,161 | ) | 18,659,743 | 4,863,550 | 262,512,651 | 85,041,069 | ||||||||||||||||||||
Increase (decrease) in net assets resulting from operations | 160,874,512 | (11,403,278 | ) | 34,107,329 | 28,366,410 | 282,547,574 | 239,207,891 | ||||||||||||||||||||
Distributions to shareholders | |||||||||||||||||||||||||||
From net investment income | |||||||||||||||||||||||||||
Series I | — | — | — | (38,228 | ) | — | (2,402,957 | ) | |||||||||||||||||||
Series II | — | — | — | (3,421,005 | ) | — | (58,936,660 | ) | |||||||||||||||||||
Series NAV | — | (61,905 | ) | — | (964,910 | ) | — | (3,423,677 | ) | ||||||||||||||||||
From net realized gain | |||||||||||||||||||||||||||
Series I | — | (28,245,718 | ) | — | (276,563 | ) | — | (5,047,483 | ) | ||||||||||||||||||
Series II | — | (10,272,633 | ) | — | (29,887,132 | ) | — | (137,807,481 | ) | ||||||||||||||||||
Series NAV | — | (107,655,442 | ) | — | (6,269,515 | ) | — | (6,802,461 | ) | ||||||||||||||||||
Total distributions | — | (146,235,698 | ) | — | (40,857,353 | ) | — | (214,420,719 | ) | ||||||||||||||||||
From portfolio share transactions | |||||||||||||||||||||||||||
Portfolio share transactions | (109,219,049 | ) | 144,235,453 | (15,894,369 | ) | 33,066,475 | (169,300,161 | ) | (52,102,831 | ) | |||||||||||||||||
Total from portfolio share transactions | (109,219,049 | ) | �� | 144,235,453 | (15,894,369 | ) | 33,066,475 | (169,300,161 | ) | (52,102,831 | ) | ||||||||||||||||
Total increase (decrease) | 51,655,463 | (13,403,523 | ) | 18,212,960 | 20,575,532 | 113,247,413 | (27,315,659 | ) | |||||||||||||||||||
Net assets | |||||||||||||||||||||||||||
Beginning of period | 939,843,781 | 953,247,304 | 382,262,581 | 361,687,049 | 3,621,234,848 | 3,648,550,507 | |||||||||||||||||||||
End of period | $ | 991,499,244 | $ | 939,843,781 | $ | 400,475,541 | $ | 382,262,581 | $ | 3,734,482,261 | $ | 3,621,234,848 | |||||||||||||||
Undistributed net investment income (loss) | $ | 1,917,771 | $ | 845,832 | $ | 3,557,862 | $ | 1,499,327 | ($5,471,470 | ) | — |
Emerging Markets Value Trust | Equity Income Trust | Financial Industries Trust | |||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Increase (decrease) in net assets | | Six months ended 6-30-17 (unaudited) | | Year ended 12-31-16 | | Six months ended 6-30-17 (unaudited) | | Year ended 12-31-16 | | Six months ended 6-30-17 (unaudited) | | Year ended 12-31-16 | |||||||||||||||
From operations | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 4,781,113 | $ | 11,674,785 | $ | 18,228,516 | $ | 42,707,055 | $ | 1,416,412 | $ | 2,509,199 | |||||||||||||||
Net realized gain (loss) | (205,491 | ) | (35,765,146 | ) | 110,705,414 | 134,937,684 | 9,114,899 | (4,479,536 | ) | ||||||||||||||||||
Change in net unrealized appreciation (depreciation) | 94,186,961 | 143,535,736 | (29,639,725 | ) | 112,851,110 | 748,443 | 29,698,810 | ||||||||||||||||||||
Increase (decrease) in net assets resulting from operations | 98,762,583 | 119,445,375 | 99,294,205 | 290,495,849 | 11,279,754 | 27,728,473 | |||||||||||||||||||||
Distributions to shareholders | |||||||||||||||||||||||||||
From net investment income | |||||||||||||||||||||||||||
Series I | — | (54,595 | ) | — | (5,684,739 | ) | — | (1,724,018 | ) | ||||||||||||||||||
Series II | — | (1,652 | ) | — | (2,831,978 | ) | — | (206,573 | ) | ||||||||||||||||||
Series NAV | — | (14,248,128 | ) | — | (29,374,009 | ) | — | (321,862 | ) | ||||||||||||||||||
From net realized gain | |||||||||||||||||||||||||||
Series I | — | — | — | (24,904,798 | ) | — | — | ||||||||||||||||||||
Series II | — | — | — | (13,529,605 | ) | — | — | ||||||||||||||||||||
Series NAV | — | — | — | (118,118,087 | ) | — | — | ||||||||||||||||||||
Total distributions | — | (14,304,375 | ) | — | (194,443,216 | ) | — | (2,252,453 | ) | ||||||||||||||||||
From portfolio share transactions | |||||||||||||||||||||||||||
Portfolio share transactions | (62,612,933 | ) | (157,038,472 | ) | (144,176,595 | ) | 53,129,423 | 1,343,240 | 15,900,728 | ||||||||||||||||||
Total from portfolio share transactions | (62,612,933 | ) | (157,038,472 | ) | (144,176,595 | ) | 53,129,423 | 1,343,240 | 15,900,728 | ||||||||||||||||||
Total increase (decrease) | 36,149,650 | (51,897,472 | ) | (44,882,390 | ) | 149,182,056 | 12,622,994 | 41,376,748 | |||||||||||||||||||
Net assets | |||||||||||||||||||||||||||
Beginning of period | 610,594,948 | 662,492,420 | 1,819,318,782 | 1,670,136,726 | 208,700,915 | 167,324,167 | |||||||||||||||||||||
End of period | $ | 646,744,598 | $ | 610,594,948 | $ | 1,774,436,392 | $ | 1,819,318,782 | $ | 221,323,909 | $ | 208,700,915 | |||||||||||||||
Undistributed net investment income (loss) | $ | 5,491,818 | $ | 710,705 | $ | 30,815,205 | $ | 12,586,689 | $ | 2,203,598 | $ | 787,186 |
Fundamental All Cap Core Trust | Fundamental Large Cap Value Trust | Global Trust | |||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Increase (decrease) in net assets | | Six months ended 6-30-17 (unaudited) | | Year ended 12-31-16 | | Six months ended 6-30-17 (unaudited) | | Year ended 12-31-16 | | Six months ended 6-30-17 (unaudited) | | Year ended 12-31-16 | |||||||||||||||
From operations | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 6,095,256 | $ | 11,714,408 | $ | 5,373,256 | $ | 19,629,517 | $ | 2,594,161 | $ | 10,212,424 | |||||||||||||||
Net realized gain (loss) | 125,325,399 | 42,737,826 | 27,844,293 | 64,126,683 | 6,841,026 | (8,219,904 | ) | ||||||||||||||||||||
Change in net unrealized appreciation (depreciation) | 52,411,111 | 66,663,955 | 23,887,580 | (8,619,116 | ) | 15,406,604 | 32,002,771 | ||||||||||||||||||||
Increase (decrease) in net assets resulting from operations | 183,831,766 | 121,116,189 | 57,105,129 | 75,137,084 | 24,841,791 | 33,995,291 | |||||||||||||||||||||
Distributions to shareholders | |||||||||||||||||||||||||||
From net investment income | |||||||||||||||||||||||||||
Series I | — | (823,963 | ) | — | (11,465,810 | ) | — | (6,227,844 | ) | ||||||||||||||||||
Series II | — | (86,593 | ) | — | (4,097,304 | ) | — | (1,800,551 | ) | ||||||||||||||||||
Series NAV | — | (8,798,669 | ) | — | (3,791,037 | ) | — | (2,450,175 | ) | ||||||||||||||||||
From net realized gain | |||||||||||||||||||||||||||
Series I | — | (20,217,350 | ) | — | — | — | — | ||||||||||||||||||||
Series II | — | (6,509,319 | ) | — | — | — | — | ||||||||||||||||||||
Series NAV | — | (179,191,530 | ) | — | — | — | — | ||||||||||||||||||||
Total distributions | — | (215,627,424 | ) | — | (19,354,151 | ) | — | (10,478,570 | ) | ||||||||||||||||||
From portfolio share transactions | |||||||||||||||||||||||||||
Portfolio share transactions | (64,463,486 | ) | 66,641,182 | (65,844,355 | ) | (788,045,777 | ) | (14,787,784 | ) | (379,254,991 | ) | ||||||||||||||||
Total from portfolio share transactions | (64,463,486 | ) | 66,641,182 | (65,844,355 | ) | (788,045,777 | ) | (14,787,784 | ) | (379,254,991 | ) | ||||||||||||||||
Total increase (decrease) | 119,368,280 | (27,870,053 | ) | (8,739,226 | ) | (732,262,844 | ) | 10,054,007 | (355,738,270 | ) | |||||||||||||||||
Net assets | |||||||||||||||||||||||||||
Beginning of period | 1,598,028,315 | 1,625,898,368 | 830,462,907 | 1,562,725,751 | 226,652,982 | 582,391,252 | |||||||||||||||||||||
End of period | $ | 1,717,396,595 | $ | 1,598,028,315 | $ | 821,723,681 | $ | 830,462,907 | $ | 236,706,989 | $ | 226,652,982 | |||||||||||||||
Undistributed net investment income (loss) | $ | 11,814,699 | $ | 5,719,443 | $ | 9,881,375 | $ | 4,508,119 | $ | 2,685,465 | $ | 91,304 |
Health Sciences Trust | International Equity Index Trust B | International Growth Stock Trust | |||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Increase (decrease) in net assets | | Six months ended 6-30-17 (unaudited) | | Year ended 12-31-16 | | Six months ended 6-30-17 (unaudited) | | Year ended 12-31-16 | | Six months ended 6-30-17 (unaudited) | | Year ended 12-31-16 | |||||||||||||||
From operations | |||||||||||||||||||||||||||
Net investment income (loss) | ($333,620 | ) | ($1,118,230 | ) | $ | 10,156,118 | $ | 15,396,528 | $ | 4,405,628 | $ | 6,394,691 | |||||||||||||||
Net realized gain (loss) | 14,168,014 | 29,987,769 | 5,399,072 | (1,074,876 | ) | 16,806,026 | 6,908,904 | ||||||||||||||||||||
Change in net unrealized appreciation (depreciation) | 34,604,247 | (67,091,177 | ) | 72,443,319 | 11,426,822 | 28,604,148 | (18,332,115 | ) | |||||||||||||||||||
Increase (decrease) in net assets resulting from operations | 48,438,641 | (38,221,638 | ) | 87,998,509 | 25,748,474 | 49,815,802 | (5,028,520 | ) | |||||||||||||||||||
Distributions to shareholders | |||||||||||||||||||||||||||
From net investment income | |||||||||||||||||||||||||||
Series I | — | (70,652 | ) | — | (7,281,119 | ) | — | (67,675 | ) | ||||||||||||||||||
Series II | — | — | — | (350,454 | ) | — | (275,435 | ) | |||||||||||||||||||
Series NAV | — | (106,656 | ) | — | (7,868,001 | ) | — | (6,540,418 | ) | ||||||||||||||||||
From net realized gain | |||||||||||||||||||||||||||
Series I | — | (25,415,578 | ) | — | — | — | — | ||||||||||||||||||||
Series II | — | (19,977,664 | ) | — | — | — | — | ||||||||||||||||||||
Series NAV | — | (24,002,914 | ) | — | — | — | — | ||||||||||||||||||||
Total distributions | — | (69,573,464 | ) | — | (15,499,574 | ) | — | (6,883,528 | ) | ||||||||||||||||||
From portfolio share transactions | |||||||||||||||||||||||||||
Portfolio share transactions | (21,576,155 | ) | 2,932,414 | 17,919,025 | 6,278,935 | (39,680,187 | ) | (34,437,452 | ) | ||||||||||||||||||
Total from portfolio share transactions | (21,576,155 | ) | 2,932,414 | 17,919,025 | 6,278,935 | (39,680,187 | ) | (34,437,452 | ) | ||||||||||||||||||
Total increase (decrease) | 26,862,486 | (104,862,688 | ) | 105,917,534 | 16,527,835 | 10,135,615 | (46,349,500 | ) | |||||||||||||||||||
Net assets | |||||||||||||||||||||||||||
Beginning of period | 260,852,244 | 365,714,932 | 588,760,889 | 572,233,054 | 372,264,817 | 418,614,317 | |||||||||||||||||||||
End of period | $ | 287,714,730 | $ | 260,852,244 | $ | 694,678,423 | $ | 588,760,889 | $ | 382,400,432 | $ | 372,264,817 | |||||||||||||||
Undistributed net investment income (loss) | ($468,991 | ) | ($135,371 | ) | $ | 11,353,981 | $ | 1,197,863 | $ | 4,727,708 | $ | 322,080 |
International Small Company Trust | International Value Trust | Lifestyle Aggressive PS Series | |||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Increase (decrease) in net assets | | Six months ended 6-30-17 (unaudited) | | Year ended 12-31-16 | | Six months ended 6-30-17 (unaudited) | | Year ended 12-31-16 | | Six months ended 6-30-17 (unaudited) | | Year ended 12-31-16 | |||||||||||||||
From operations | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 1,246,844 | $ | 2,093,850 | $ | 12,619,513 | $ | 17,161,707 | ($7,252 | ) | $ | 370,522 | |||||||||||||||
Net realized gain (loss) | 1,766,694 | 2,510,656 | (4,726,047 | ) | 4,990,376 | 67,756 | 314,255 | ||||||||||||||||||||
Change in net unrealized appreciation (depreciation) | 14,485,593 | 573,641 | 82,891,363 | 74,918,713 | 2,539,903 | 1,295,980 | |||||||||||||||||||||
Increase (decrease) in net assets resulting from operations | 17,499,131 | 5,178,147 | 90,784,829 | 97,070,796 | 2,600,407 | 1,980,757 | |||||||||||||||||||||
Distributions to shareholders | |||||||||||||||||||||||||||
From net investment income | |||||||||||||||||||||||||||
Series I | — | (645,735 | ) | — | (2,234,481 | ) | — | (65,276 | ) | ||||||||||||||||||
Series II | — | (313,103 | ) | — | (1,322,703 | ) | — | (254,937 | ) | ||||||||||||||||||
Series NAV | — | (1,170,659 | ) | — | (14,670,334 | ) | — | (43,334 | ) | ||||||||||||||||||
From net realized gain | |||||||||||||||||||||||||||
Series I | — | — | — | — | — | (112,166 | ) | ||||||||||||||||||||
Series II | — | — | — | — | — | (642,599 | ) | ||||||||||||||||||||
Series NAV | — | — | — | — | — | (82,686 | ) | ||||||||||||||||||||
Total distributions | — | (2,129,497 | ) | — | (18,227,518 | ) | — | (1,200,998 | ) | ||||||||||||||||||
From portfolio share transactions | |||||||||||||||||||||||||||
Portfolio share transactions | 8,879,717 | (2,555,418 | ) | (79,030,468 | ) | (120,205,233 | ) | 1,513,179 | 2,886,613 | ||||||||||||||||||
Issued in reorganization | — | — | — | 80,352,281 | — | — | |||||||||||||||||||||
Total from portfolio share transactions | 8,879,717 | (2,555,418 | ) | (79,030,468 | ) | (39,852,952 | ) | 1,513,179 | 2,886,613 | ||||||||||||||||||
Total increase (decrease) | 26,378,848 | 493,232 | 11,754,361 | 38,990,326 | 4,113,586 | 3,666,372 | |||||||||||||||||||||
Net assets | |||||||||||||||||||||||||||
Beginning of period | 107,788,175 | 107,294,943 | 859,175,296 | 820,184,970 | 24,543,248 | 20,876,876 | |||||||||||||||||||||
End of period | $ | 134,167,023 | $ | 107,788,175 | $ | 870,929,657 | $ | 859,175,296 | $ | 28,656,834 | $ | 24,543,248 | |||||||||||||||
Undistributed net investment income (loss) | $ | 1,464,559 | $ | 217,715 | $ | 12,697,022 | $ | 77,509 | ($291 | ) | $ | 6,961 |
Lifestyle Balanced PS Series | Lifestyle Conservative PS Series | Lifestyle Growth PS Series | |||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Increase (decrease) in net assets | | Six months ended 6-30-17 (unaudited) | | Year ended 12-31-16 | | Six months ended 6-30-17 (unaudited) | | Year ended 12-31-16 | | Six months ended 6-30-17 (unaudited) | | Year ended 12-31-16 | |||||||||||||||
From operations | |||||||||||||||||||||||||||
Net investment income (loss) | ($1,490,193 | ) | $ | 20,586,968 | ($290,324 | ) | $ | 4,835,080 | ($4,670,522 | ) | $ | 51,844,349 | |||||||||||||||
Net realized gain (loss) | 3,544,503 | 11,129,660 | 223,109 | 504,079 | 9,227,949 | 30,904,537 | |||||||||||||||||||||
Change in net unrealized appreciation (depreciation) | 60,559,676 | 24,015,918 | 7,316,607 | 3,071,353 | 237,074,799 | 67,901,232 | |||||||||||||||||||||
Increase (decrease) in net assets resulting from operations | 62,613,986 | 55,732,546 | 7,249,392 | 8,410,512 | 241,632,226 | 150,650,118 | |||||||||||||||||||||
Distributions to shareholders | |||||||||||||||||||||||||||
From net investment income | |||||||||||||||||||||||||||
Series I | — | (695,193 | ) | — | (241,760 | ) | — | (1,718,439 | ) | ||||||||||||||||||
Series II | — | (18,467,209 | ) | — | (4,511,323 | ) | — | (48,061,618 | ) | ||||||||||||||||||
Series NAV | — | (1,425,599 | ) | — | (81,816 | ) | — | (2,067,847 | ) | ||||||||||||||||||
From net realized gain | |||||||||||||||||||||||||||
Series I | — | (720,336 | ) | — | (95,310 | ) | — | (1,335,939 | ) | ||||||||||||||||||
Series II | — | (20,944,091 | ) | — | (2,082,277 | ) | — | (58,126,533 | ) | ||||||||||||||||||
Series NAV | — | (1,296,147 | ) | — | (27,316 | ) | — | (1,350,059 | ) | ||||||||||||||||||
Total distributions | — | (43,548,575 | ) | — | (7,039,802 | ) | — | (112,660,435 | ) | ||||||||||||||||||
From portfolio share transactions | |||||||||||||||||||||||||||
Portfolio share transactions | (31,182,867 | ) | 15,835,712 | (10,126,319 | ) | (1,283,368 | ) | (106,850,272 | ) | 42,076,054 | |||||||||||||||||
Issued in reorganization | — | — | — | — | — | 1,037,262,449 | |||||||||||||||||||||
Total from portfolio share transactions | (31,182,867 | ) | 15,835,712 | (10,126,319 | ) | (1,283,368 | ) | (106,850,272 | ) | 1,079,338,503 | |||||||||||||||||
Total increase (decrease) | 31,431,119 | 28,019,683 | (2,876,927 | ) | 87,342 | 134,781,954 | 1,117,328,186 | ||||||||||||||||||||
Net assets | |||||||||||||||||||||||||||
Beginning of period | 1,002,848,153 | 974,828,470 | 189,846,558 | 189,759,216 | 3,091,014,921 | 1,973,686,735 | |||||||||||||||||||||
End of period | $ | 1,034,279,272 | $ | 1,002,848,153 | $ | 186,969,631 | $ | 189,846,558 | $ | 3,225,796,875 | $ | 3,091,014,921 | |||||||||||||||
Undistributed net investment income (loss) | �� | ($1,490,193 | ) | — | ($290,212 | ) | $ | 112 | ($4,670,522 | ) | — |
Lifestyle Moderate PS Series | Mid Cap Index Trust | Mid Cap Stock Trust | |||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Increase (decrease) in net assets | | Six months ended 6-30-17 (unaudited) | | Year ended 12-31-16 | | Six months ended 6-30-17 (unaudited) | | Year ended 12-31-16 | | Six months ended 6-30-17 (unaudited) | | Year ended 12-31-16 | |||||||||||||||
From operations | |||||||||||||||||||||||||||
Net investment income (loss) | ($493,621 | ) | $ | 7,038,984 | $ | 5,696,851 | $ | 10,977,627 | ($1,549,390 | ) | ($1,790,400 | ) | |||||||||||||||
Net realized gain (loss) | 726,648 | 2,577,053 | 51,483,931 | 66,059,647 | 43,243,466 | 14,813,458 | |||||||||||||||||||||
Change in net unrealized appreciation (depreciation) | 17,022,104 | 6,975,004 | 2,018,382 | 88,965,778 | 73,906,371 | (10,268,263 | ) | ||||||||||||||||||||
Increase (decrease) in net assets resulting from operations | 17,255,131 | 16,591,041 | 59,199,164 | 166,003,052 | 115,600,447 | 2,754,795 | |||||||||||||||||||||
Distributions to shareholders | |||||||||||||||||||||||||||
From net investment income | |||||||||||||||||||||||||||
Series I | — | (236,798 | ) | — | (8,742,444 | ) | — | — | |||||||||||||||||||
Series II | — | (6,463,183 | ) | — | (624,772 | ) | — | — | |||||||||||||||||||
Series NAV | — | (340,698 | ) | — | (1,521,001 | ) | — | — | |||||||||||||||||||
From net realized gain | |||||||||||||||||||||||||||
Series I | — | (190,998 | ) | — | (65,355,865 | ) | — | (11,515,782 | ) | ||||||||||||||||||
Series II | — | (6,052,996 | ) | — | (5,679,363 | ) | — | (6,135,831 | ) | ||||||||||||||||||
Series NAV | — | (240,496 | ) | — | (10,596,434 | ) | — | (34,798,213 | ) | ||||||||||||||||||
Total distributions | — | (13,525,169 | ) | — | (92,519,879 | ) | — | (52,449,826 | ) | ||||||||||||||||||
From portfolio share transactions | |||||||||||||||||||||||||||
Portfolio share transactions | (12,549,316 | ) | (4,361,027 | ) | 16,872,034 | 104,947,186 | (69,117,702 | ) | (41,212,767 | ) | |||||||||||||||||
Total from portfolio share transactions | (12,549,316 | ) | (4,361,027 | ) | 16,872,034 | 104,947,186 | (69,117,702 | ) | (41,212,767 | ) | |||||||||||||||||
Total increase (decrease) | 4,705,815 | (1,295,155 | ) | 76,071,198 | 178,430,359 | 46,482,745 | (90,907,798 | ) | |||||||||||||||||||
Net assets | |||||||||||||||||||||||||||
Beginning of period | 319,285,351 | 320,580,506 | 1,006,286,909 | 827,856,550 | 675,862,636 | 766,770,434 | |||||||||||||||||||||
End of period | $ | 323,991,166 | $ | 319,285,351 | $ | 1,082,358,107 | $ | 1,006,286,909 | $ | 722,345,381 | $ | 675,862,636 | |||||||||||||||
Undistributed net investment income (loss) | ($493,621 | ) | — | $ | 8,360,972 | $ | 2,664,121 | ($1,744,462 | ) | ($195,072 | ) |
Mid Value Trust | Mutual Shares Trust | Real Estate Securities Trust | |||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Increase (decrease) in net assets | | Six months ended 6-30-17 (unaudited) | | Year ended 12-31-16 | | Six months ended 6-30-17 (unaudited) | | Year ended 12-31-16 | | Six months ended 6-30-17 (unaudited) | | Year ended 12-31-16 | |||||||||||||||
From operations | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 5,898,813 | $ | 7,987,487 | $ | 1,452,583 | $ | 10,385,686 | $ | 5,553,799 | $ | 9,666,776 | |||||||||||||||
Net realized gain (loss) | 35,908,192 | 70,554,765 | 4,882,664 | 77,776,252 | 1,535,278 | 29,802,647 | |||||||||||||||||||||
Change in net unrealized appreciation (depreciation) | (17,265,976 | ) | 86,975,264 | 2,819,179 | (33,512,894 | ) | 5,048,194 | (11,657,792 | ) | ||||||||||||||||||
Increase (decrease) in net assets resulting from operations | 24,541,029 | 165,517,516 | 9,154,426 | 54,649,044 | 12,137,271 | 27,811,631 | |||||||||||||||||||||
Distributions to shareholders | |||||||||||||||||||||||||||
From net investment income | |||||||||||||||||||||||||||
Series I | — | (3,479,927 | ) | — | (11,050,494 | ) | — | (2,951,550 | ) | ||||||||||||||||||
Series II | — | (589,738 | ) | — | — | — | (1,655,649 | ) | |||||||||||||||||||
Series NAV | — | (4,749,333 | ) | — | (7,080,269 | ) | — | (9,299,342 | ) | ||||||||||||||||||
From net realized gain | |||||||||||||||||||||||||||
Series I | — | (36,209,625 | ) | — | (15,111,098 | ) | — | — | |||||||||||||||||||
Series II | — | (7,590,125 | ) | — | — | — | — | ||||||||||||||||||||
Series NAV | — | (48,578,949 | ) | — | (30,237,499 | ) | — | — | |||||||||||||||||||
Total distributions | — | (101,197,697 | ) | — | (63,479,360 | ) | — | (13,906,541 | ) | ||||||||||||||||||
From portfolio share transactions | |||||||||||||||||||||||||||
Portfolio share transactions | (29,474,411 | ) | 22,815,219 | (8,392,240 | ) | (340,827,747 | ) | (38,234,792 | ) | (26,114,171 | ) | ||||||||||||||||
Total from portfolio share transactions | (29,474,411 | ) | 22,815,219 | (8,392,240 | ) | (340,827,747 | ) | (38,234,792 | ) | (26,114,171 | ) | ||||||||||||||||
Total increase (decrease) | (4,933,382 | ) | 87,135,038 | 762,186 | (349,658,063 | ) | (26,097,521 | ) | (12,209,081 | ) | |||||||||||||||||
Net assets | |||||||||||||||||||||||||||
Beginning of period | 830,296,048 | 743,161,010 | 172,692,085 | 522,350,148 | 402,627,125 | 414,836,206 | |||||||||||||||||||||
End of period | $ | 825,362,666 | $ | 830,296,048 | $ | 173,454,271 | $ | 172,692,085 | $ | 376,529,604 | $ | 402,627,125 | |||||||||||||||
Undistributed net investment income (loss) | $ | 8,282,343 | $ | 2,383,530 | $ | 9,566,507 | $ | 8,113,924 | $ | 5,543,163 | ($10,636 | ) |
Science & Technology Trust | Small Cap Growth Trust | Small Cap Index Trust | |||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Increase (decrease) in net assets | | Six months ended 6-30-17 (unaudited) | | Year ended 12-31-16 | | Six months ended 6-30-17 (unaudited) | | Year ended 12-31-16 | | Six months ended 6-30-17 (unaudited) | | Year ended 12-31-16 | |||||||||||||||
From operations | |||||||||||||||||||||||||||
Net investment income (loss) | ($486,910 | ) | $ | 386,346 | ($1,076,370 | ) | ($976,652 | ) | $ | 2,920,600 | $ | 5,061,066 | |||||||||||||||
Net realized gain (loss) | 39,291,777 | 37,998,907 | 24,010,162 | (24,022,471 | ) | 26,047,245 | 23,468,396 | ||||||||||||||||||||
Change in net unrealized appreciation (depreciation) | 69,016,144 | 703,469 | 25,595,542 | 32,928,276 | (2,425,918 | ) | 57,894,408 | ||||||||||||||||||||
Increase (decrease) in net assets resulting from operations | 107,821,011 | 39,088,722 | 48,529,334 | 7,929,153 | 26,541,927 | 86,423,870 | |||||||||||||||||||||
Distributions to shareholders | |||||||||||||||||||||||||||
From net investment income | |||||||||||||||||||||||||||
Series I | — | — | — | — | — | (3,531,183 | ) | ||||||||||||||||||||
Series II | — | — | — | — | — | (377,899 | ) | ||||||||||||||||||||
Series NAV | — | — | — | — | — | (1,178,676 | ) | ||||||||||||||||||||
From net realized gain | |||||||||||||||||||||||||||
Series I | — | (57,150,948 | ) | — | (7,536,179 | ) | — | (22,955,410 | ) | ||||||||||||||||||
Series II | — | (5,803,630 | ) | — | (2,635,244 | ) | — | (3,025,078 | ) | ||||||||||||||||||
Series NAV | — | (4,240,765 | ) | — | (26,168,107 | ) | — | (7,258,161 | ) | ||||||||||||||||||
Total distributions | — | (67,195,343 | ) | — | (36,339,530 | ) | — | (38,326,407 | ) | ||||||||||||||||||
From portfolio share transactions | |||||||||||||||||||||||||||
Portfolio share transactions | 21,007,589 | 18,205,943 | (27,316,436 | ) | (23,124,524 | ) | 14,002,279 | 63,231,404 | |||||||||||||||||||
Total from portfolio share transactions | 21,007,589 | 18,205,943 | (27,316,436 | ) | (23,124,524 | ) | 14,002,279 | 63,231,404 | |||||||||||||||||||
Total increase (decrease) | 128,828,600 | (9,900,678 | ) | 21,212,898 | (51,534,901 | ) | 40,544,206 | 111,328,867 | |||||||||||||||||||
Net assets | |||||||||||||||||||||||||||
Beginning of period | 501,183,510 | 511,084,188 | 373,985,873 | 425,520,774 | 525,057,216 | 413,728,349 | |||||||||||||||||||||
End of period | $ | 630,012,110 | $ | 501,183,510 | $ | 395,198,771 | $ | 373,985,873 | $ | 565,601,422 | $ | 525,057,216 | |||||||||||||||
Undistributed net investment income (loss) | ($179,513 | ) | $ | 307,397 | ($1,076,370 | ) | — | $ | 4,166,873 | $ | 1,246,273 |
Small Cap Opportunities Trust | Small Cap Value Trust | Small Company Growth Trust | |||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Increase (decrease) in net assets | | Six months ended 6-30-17 (unaudited) | | Year ended 12-31-16 | | Six months ended 6-30-17 (unaudited) | | Year ended 12-31-16 | | Six months ended 6-30-17 (unaudited) | | Year ended 12-31-16 | |||||||||||||||
From operations | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 178,888 | $ | 882,084 | $ | 6,092,075 | $ | 4,616,895 | ($200,258 | ) | ($138,574 | ) | |||||||||||||||
Net realized gain (loss) | 6,378,988 | 14,782,208 | 46,372,709 | 52,685,058 | 6,396,760 | 9,575,922 | |||||||||||||||||||||
Change in net unrealized appreciation (depreciation) | (1,479,371 | ) | 22,467,906 | (70,715,091 | ) | 81,260,577 | 5,921,564 | 2,481,773 | |||||||||||||||||||
Increase (decrease) in net assets resulting from operations | 5,078,505 | 38,132,198 | (18,250,307 | ) | 138,562,530 | 12,118,066 | 11,919,121 | ||||||||||||||||||||
Distributions to shareholders | |||||||||||||||||||||||||||
From net investment income | |||||||||||||||||||||||||||
Series I | — | (421,387 | ) | — | (2,280,806 | ) | — | — | |||||||||||||||||||
Series II | — | (93,928 | ) | — | (177,059 | ) | — | — | |||||||||||||||||||
Series NAV | — | (441,909 | ) | — | (2,160,425 | ) | — | — | |||||||||||||||||||
From net realized gain | |||||||||||||||||||||||||||
Series I | — | (8,513,523 | ) | — | (45,003,157 | ) | — | — | |||||||||||||||||||
Series II | — | (3,405,336 | ) | — | (4,944,383 | ) | — | — | |||||||||||||||||||
Series NAV | — | (8,038,302 | ) | — | (40,238,829 | ) | — | (16,386,423 | ) | ||||||||||||||||||
Total distributions | — | (20,914,385 | ) | — | (94,804,659 | ) | — | (16,386,423 | ) | ||||||||||||||||||
From portfolio share transactions | |||||||||||||||||||||||||||
Portfolio share transactions | (9,585,797 | ) | (13,094,267 | ) | (44,211,617 | ) | 31,515,646 | (3,816,301 | ) | 8,479,534 | |||||||||||||||||
Total from portfolio share transactions | (9,585,797 | ) | (13,094,267 | ) | (44,211,617 | ) | 31,515,646 | (3,816,301 | ) | 8,479,534 | |||||||||||||||||
Total increase (decrease) | (4,507,292 | ) | 4,123,546 | (62,461,924 | ) | 75,273,517 | 8,301,765 | 4,012,232 | |||||||||||||||||||
Net assets | |||||||||||||||||||||||||||
Beginning of period | 222,625,762 | 218,502,216 | 726,707,563 | 651,434,046 | 115,724,009 | 111,711,777 | |||||||||||||||||||||
End of period | $ | 218,118,470 | $ | 222,625,762 | $ | 664,245,639 | $ | 726,707,563 | $ | 124,025,774 | $ | 115,724,009 | |||||||||||||||
Undistributed net investment income (loss) | $ | 1,024,751 | $ | 845,863 | $ | 7,197,816 | $ | 1,105,741 | ($200,258 | ) | — |
Small Company Value Trust | Strategic Equity Allocation Trust | Total Stock Market Index Trust | |||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Increase (decrease) in net assets | | Six months ended 6-30-17 (unaudited) | | Year ended 12-31-16 | | Six months ended 6-30-17 (unaudited) | | Year ended 12-31-16 | | Six months ended 6-30-17 (unaudited) | | Year ended 12-31-16 | |||||||||||||||
From operations | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 607,032 | $ | 2,392,209 | $ | 119,890,720 | $ | 194,544,041 | $ | 5,291,889 | $ | 9,386,898 | |||||||||||||||
Net realized gain (loss) | 10,287,928 | 40,613,122 | 202,500,418 | 130,255,049 | 4,929,992 | 16,543,490 | |||||||||||||||||||||
Change in net unrealized appreciation (depreciation) | (6,748,987 | ) | 39,820,775 | 799,069,361 | 563,851,710 | 46,963,351 | 43,671,884 | ||||||||||||||||||||
Increase (decrease) in net assets resulting from operations | 4,145,973 | 82,826,106 | 1,121,460,499 | 888,650,800 | 57,185,232 | 69,602,272 | |||||||||||||||||||||
Distributions to shareholders | |||||||||||||||||||||||||||
From net investment income | |||||||||||||||||||||||||||
Series I | — | (481,395 | ) | — | — | — | (6,509,101 | ) | |||||||||||||||||||
Series II | — | (298,143 | ) | — | — | — | (428,085 | ) | |||||||||||||||||||
Series NAV | — | (1,268,947 | ) | — | (187,732,023 | ) | — | (1,743,210 | ) | ||||||||||||||||||
From net realized gain | |||||||||||||||||||||||||||
Series I | — | (9,402,489 | ) | — | — | — | (7,213,776 | ) | |||||||||||||||||||
Series II | — | (8,006,528 | ) | — | — | — | (556,238 | ) | |||||||||||||||||||
Series NAV | — | (28,199,061 | ) | �� | — | (197,781,733 | ) | — | (1,691,399 | ) | |||||||||||||||||
Total distributions | — | (47,656,563 | ) | — | (385,513,756 | ) | — | (18,141,809 | ) | ||||||||||||||||||
From portfolio share transactions | |||||||||||||||||||||||||||
Portfolio share transactions | (13,712,130 | ) | (45,214,634 | ) | (888,753,644 | ) | 668,966,690 | 6,235,518 | 15,921,707 | ||||||||||||||||||
Issued in reorganization | — | — | — | — | 66,577,978 | — | |||||||||||||||||||||
Total from portfolio share transactions | (13,712,130 | ) | (45,214,634 | ) | (888,753,644 | ) | 668,966,690 | 72,813,496 | 15,921,707 | ||||||||||||||||||
Total increase (decrease) | (9,566,157 | ) | (10,045,091 | ) | 232,706,855 | 1,172,103,734 | 129,998,728 | 67,382,170 | |||||||||||||||||||
Net assets | |||||||||||||||||||||||||||
Beginning of period | 285,573,636 | 295,618,727 | 11,117,453,957 | 9,945,350,223 | 641,251,921 | 573,869,751 | |||||||||||||||||||||
End of period | $ | 276,007,479 | $ | 285,573,636 | $ | 11,350,160,812 | $ | 11,117,453,957 | $ | 771,250,649 | $ | 641,251,921 | |||||||||||||||
Undistributed net investment income (loss) | $ | 1,471,579 | $ | 864,547 | $ | 157,065,506 | $ | 37,174,786 | $ | 8,059,687 | $ | 2,767,798 |
Utilities Trust | Value Trust | |||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Increase (decrease) in net assets | | Six months ended 6-30-17 (unaudited) | | Year ended 12-31-16 | | Six months ended 6-30-17 (unaudited) | | Year ended 12-31-16 | | |||||||||||||||||
From operations | ||||||||||||||||||||||||||
Net investment income (loss) | $ | 4,940,945 | $ | 10,374,815 | $ | 1,179,650 | $ | 8,110,869 | ||||||||||||||||||
Net realized gain (loss) | (1,792,248 | ) | (4,227,383 | ) | 25,634,670 | 4,025,743 | ||||||||||||||||||||
Change in net unrealized appreciation (depreciation) | 28,040,515 | 30,979,063 | (16,721,368 | ) | 63,660,465 | |||||||||||||||||||||
Increase (decrease) in net assets resulting from operations | 31,189,212 | 37,126,495 | 10,092,952 | 75,797,077 | ||||||||||||||||||||||
Distributions to shareholders | ||||||||||||||||||||||||||
From net investment income | ||||||||||||||||||||||||||
Series I | — | (13,677,885 | ) | — | (3,366,065 | ) | ||||||||||||||||||||
Series II | — | (672,205 | ) | — | (133,621 | ) | ||||||||||||||||||||
Series NAV | — | (1,325,233 | ) | — | (241,129 | ) | ||||||||||||||||||||
From net realized gain | ||||||||||||||||||||||||||
Series I | — | (5,256,021 | ) | — | (41,422,682 | ) | ||||||||||||||||||||
Series II | — | (267,991 | ) | — | (2,221,442 | ) | ||||||||||||||||||||
Series NAV | — | (492,829 | ) | — | (2,750,630 | ) | ||||||||||||||||||||
Total distributions | — | (21,692,164 | ) | — | (50,135,569 | ) | ||||||||||||||||||||
From portfolio share transactions | ||||||||||||||||||||||||||
Portfolio share transactions | (25,803,356 | ) | (38,640,776 | ) | (48,300,174 | ) | (51,558,938 | ) | ||||||||||||||||||
Total from portfolio share transactions | (25,803,356 | ) | (38,640,776 | ) | (48,300,174 | ) | (51,558,938 | ) | ||||||||||||||||||
Total increase (decrease) | 5,385,856 | (23,206,445 | ) | (38,207,222 | ) | (25,897,430 | ) | |||||||||||||||||||
Net assets | ||||||||||||||||||||||||||
Beginning of period | 320,035,594 | 343,242,039 | 528,451,503 | 554,348,933 | ||||||||||||||||||||||
End of period | $ | 325,421,450 | $ | 320,035,594 | $ | 490,244,281 | $ | 528,451,503 | ||||||||||||||||||
Undistributed net investment income (loss) | $ | 10,937,524 | $ | 5,996,579 | $ | 6,562,922 | $ | 5,383,272 |
Per share operating performance for a share outstanding throughout the period | Ratios and supplemental data | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations | Less distributions | Ratios to average net assets | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Period ended | Net asset value, beginning of period ($) | Net investment income (loss) ($)1 | Net real- ized and unrealized gain (loss) on invest- ments ($) | Total from investment oper- ations ($) | From net investment income ($) | From net realized gain ($) | From tax return of capital ($) | Total distri- butions ($) | Net asset value, end of period ($) | Total return (%)2 | Expenses before reductions (%) | Expenses including reductions (%) | Net investment income (loss) (%) | Net assets, end of period (in millions) | Portfolio turnover (%) | ||||||||||||||||||||||||||||||||||||||||||||||||
500 Index Trust B | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 27.29 | 0.26 | 2.25 | 2.51 | — | — | — | — | 29.80 | 9.20 | 4 | 0.55 | 5 | 0.30 | 5 | 1.79 | 5 | 2,873 | 2 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 25.26 | 0.50 | 2.40 | 2.90 | (0.45 | ) | (0.42 | ) | — | (0.87 | ) | 27.29 | 11.59 | 0.54 | 0.30 | 1.91 | 2,529 | 4 | 7 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 25.68 | 0.48 | (0.20 | ) | 0.28 | (0.44 | ) | (0.26 | ) | — | (0.70 | ) | 25.26 | 1.10 | 0.54 | 0.30 | 1.85 | 2,024 | 4 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 23.34 | 0.42 | 2.68 | 3.10 | (0.39 | ) | (0.37 | ) | — | (0.76 | ) | 25.68 | 13.33 | 0.54 | 0.30 | 1.71 | 1,880 | 2 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 18.01 | 0.37 | 5.38 | 5.75 | (0.38 | ) | (0.04 | ) | — | (0.42 | ) | 23.34 | 32.03 | 0.53 | 0.30 | 1.75 | 1,581 | 4 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-20126 | 17.88 | 0.08 | 0.15 | 0.23 | (0.10 | ) | — | — | (0.10 | ) | 18.01 | 1.32 | 4 | 0.53 | 5 | 0.30 | 5 | 2.94 | 5 | 1,142 | 4 | 7,8 | |||||||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 27.31 | 0.23 | 2.26 | 2.49 | — | — | — | — | 29.80 | 9.12 | 4 | 0.75 | 5 | 0.50 | 5 | 1.60 | 5 | 68 | 2 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 25.29 | 0.45 | 2.39 | 2.84 | (0.40 | ) | (0.42 | ) | — | (0.82 | ) | 27.31 | 11.37 | 0.74 | 0.50 | 1.72 | 64 | 4 | 7 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 25.71 | 0.42 | (0.20 | ) | 0.22 | (0.38 | ) | (0.26 | ) | — | (0.64 | ) | 25.29 | 0.86 | 0.74 | 0.50 | 1.64 | 51 | 4 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 23.36 | 0.37 | 2.69 | 3.06 | (0.34 | ) | (0.37 | ) | — | (0.71 | ) | 25.71 | 13.15 | 0.74 | 0.50 | 1.51 | 55 | 2 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 18.03 | 0.32 | 5.39 | 5.71 | (0.34 | ) | (0.04 | ) | — | (0.38 | ) | 23.36 | 31.76 | 0.73 | 0.50 | 1.55 | 52 | 4 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-20126 | 17.88 | 0.08 | 0.14 | 0.22 | (0.07 | ) | — | — | (0.07 | ) | 18.03 | 1.27 | 4 | 0.73 | 5 | 0.50 | 5 | 2.74 | 5 | 47 | 4 | 7,8 | |||||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 27.29 | 0.26 | 2.26 | 2.52 | — | — | — | — | 29.81 | 9.23 | 4 | 0.50 | 5 | 0.25 | 5 | 1.85 | 5 | 1,749 | 2 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 25.26 | 0.51 | 2.40 | 2.91 | (0.46 | ) | (0.42 | ) | — | (0.88 | ) | 27.29 | 11.64 | 0.49 | 0.25 | 1.96 | 1,641 | 4 | 7 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 25.68 | 0.49 | (0.20 | ) | 0.29 | (0.45 | ) | (0.26 | ) | — | (0.71 | ) | 25.26 | 1.15 | 0.49 | 0.25 | 1.89 | 1,442 | 4 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 23.33 | 0.43 | 2.69 | 3.12 | (0.40 | ) | (0.37 | ) | — | (0.77 | ) | 25.68 | 13.43 | 0.49 | 0.25 | 1.76 | 1,530 | 2 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 18.01 | 0.38 | 5.37 | 5.75 | (0.39 | ) | (0.04 | ) | — | (0.43 | ) | 23.33 | 32.03 | 0.48 | 0.25 | 1.80 | 1,397 | 4 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 15.71 | 0.36 | 2.12 | 2.48 | (0.18 | ) | — | — | (0.18 | ) | 18.01 | 15.80 | 0.49 | 0.25 | 2.07 | 1,121 | 4 | 7 | |||||||||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-17. Unaudited. 4. Not annualized. 5. Annualized. 6. The inception date for Series I and Series II shares is 11-5-12. 7. Excludes merger activity. 8. Portfolio turnover is shown for the period from 1-1-12 to 12-31-12. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Alpha Opportunities Trust | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 10.13 | 0.03 | 0.84 | 0.87 | — | — | — | — | 11.00 | 8.59 | 4 | 1.07 | 5 | 1.03 | 5 | 0.51 | 5 | — | 6 | 46 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 10.94 | 0.04 | 0.56 | 0.60 | (0.17 | ) | (1.24 | ) | — | (1.41 | ) | 10.13 | 5.71 | 1.07 | 1.03 | 0.36 | 1 | 96 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 13.60 | 0.06 | (0.16 | ) | (0.10 | ) | (0.08 | ) | (2.48 | ) | — | (2.56 | ) | 10.94 | — | 7 | 1.05 | 1.02 | 0.50 | 1 | 96 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 16.21 | 0.08 | 1.17 | 1.25 | (0.08 | ) | (3.78 | ) | — | (3.86 | ) | 13.60 | 8.00 | 1.06 | 1.02 | 0.52 | 1 | 109 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 13.36 | 0.08 | 4.56 | 4.64 | (0.12 | ) | (1.67 | ) | — | (1.79 | ) | 16.21 | 35.55 | 1.07 | 1.05 | 0.49 | 1 | 121 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 11.92 | 0.09 | 2.39 | 2.48 | (0.07 | ) | (0.97 | ) | — | (1.04 | ) | 13.36 | 21.33 | 1.06 | 1.06 | 0.71 | 1 | 141 | |||||||||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 10.14 | 0.03 | 0.84 | 0.87 | — | — | — | — | 11.01 | 8.58 | 4 | 1.02 | 5 | 0.98 | 5 | 0.56 | 5 | 146 | 46 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 10.95 | 0.05 | 0.56 | 0.61 | (0.18 | ) | (1.24 | ) | — | (1.42 | ) | 10.14 | 5.75 | 1.02 | 0.98 | 0.45 | 135 | 96 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 13.62 | 0.07 | (0.17 | ) | (0.10 | ) | (0.09 | ) | (2.48 | ) | — | (2.57 | ) | 10.95 | (0.03 | ) | 1.00 | 0.97 | 0.56 | 663 | 96 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 16.22 | 0.08 | 1.19 | 1.27 | (0.09 | ) | (3.78 | ) | — | (3.87 | ) | 13.62 | 8.12 | 1.01 | 0.97 | 0.55 | 780 | 109 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 13.37 | 0.08 | 4.57 | 4.65 | (0.13 | ) | (1.67 | ) | — | (1.80 | ) | 16.22 | 35.58 | 1.02 | 1.00 | 0.55 | 915 | 121 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 11.93 | 0.10 | 2.39 | 2.49 | (0.08 | ) | (0.97 | ) | — | (1.05 | ) | 13.37 | 21.38 | 1.01 | 1.01 | 0.73 | 888 | 141 | |||||||||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-17. Unaudited. 4. Not annualized. 5. Annualized. 6. Less than $500,000. 7. Less than 0.005%. |
Per share operating performance for a share outstanding throughout the period | Ratios and supplemental data | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations | Less distributions | Ratios to average net assets | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Period ended | Net asset value, beginning of period ($) | Net investment income (loss) ($)1 | Net real- ized and unrealized gain (loss) on invest- ments ($) | Total from investment oper- ations ($) | From net investment income ($) | From net realized gain ($) | From tax return of capital ($) | Total distri- butions ($) | Net asset value, end of period ($) | Total return (%)2 | Expenses before reductions (%) | Expenses including reductions (%) | Net investment income (loss) (%) | Net assets, end of period (in millions) | Portfolio turnover (%) | ||||||||||||||||||||||||||||||||||||||||||||||||
American Asset Allocation Trust | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 13.36 | — | 4,5 | 1.07 | 1.07 | — | — | — | — | 14.43 | 8.01 | 6 | 0.63 | 7,8 | 0.62 | 7,8 | 0.04 | 4,8 | 268 | 5 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 14.21 | 0.18 | 4 | 1.06 | 1.24 | (0.17 | ) | (1.92 | ) | — | (2.09 | ) | 13.36 | 8.99 | 0.61 | 7,9 | 0.60 | 7,9 | 1.29 | 4 | 244 | 4 | |||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 15.75 | 0.20 | 4 | (0.10 | ) | 0.10 | (0.19 | ) | (1.45 | ) | — | (1.64 | ) | 14.21 | 1.06 | 0.62 | 7 | 0.61 | 7 | 1.27 | 4 | 220 | 9 | ||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 15.22 | 0.17 | 4 | 0.60 | 0.77 | (0.17 | ) | (0.07 | ) | — | (0.24 | ) | 15.75 | 5.05 | 0.62 | 7 | 0.61 | 7 | 1.11 | 4 | 227 | 7 | |||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 12.47 | 0.15 | 4 | 2.76 | 2.91 | (0.16 | ) | — | — | (0.16 | ) | 15.22 | 23.30 | 0.62 | 7 | 0.62 | 7 | 1.08 | 4 | 221 | 2 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 10.94 | 0.18 | 4 | 1.54 | 1.72 | (0.19 | ) | — | — | (0.19 | ) | 12.47 | 15.76 | 0.62 | 7 | 0.62 | 7 | 1.50 | 4 | 192 | 2 | ||||||||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 13.37 | (0.01 | )4 | 1.06 | 1.05 | — | — | — | — | 14.42 | 7.85 | 6 | 0.78 | 7,8 | 0.71 | 7,8 | (0.07 | )4,8 | 1,146 | 5 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 14.21 | 0.15 | 4 | 1.08 | 1.23 | (0.15 | ) | (1.92 | ) | — | (2.07 | ) | 13.37 | 8.92 | 0.76 | 7,9 | 0.72 | 7,9 | 1.08 | 4 | 1,133 | 4 | |||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 15.75 | 0.16 | 4 | (0.09 | ) | 0.07 | (0.16 | ) | (1.45 | ) | — | (1.61 | ) | 14.21 | 0.91 | 0.77 | 7 | 0.76 | 7 | 1.05 | 4 | 1,168 | 9 | ||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 15.22 | 0.14 | 4 | 0.61 | 0.75 | (0.15 | ) | (0.07 | ) | — | (0.22 | ) | 15.75 | 4.89 | 0.77 | 7 | 0.76 | 7 | 0.90 | 4 | 1,320 | 7 | |||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 12.47 | 0.13 | 4 | 2.75 | 2.88 | (0.13 | ) | — | — | (0.13 | ) | 15.22 | 23.13 | 0.77 | 7 | 0.77 | 7 | 0.90 | 4 | 1,430 | 2 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 10.95 | 0.16 | 4 | 1.54 | 1.70 | (0.18 | ) | — | — | (0.18 | ) | 12.47 | 15.49 | 0.77 | 7 | 0.77 | 7 | 1.36 | 4 | 1,305 | 2 | ||||||||||||||||||||||||||||||||||||||||||
SERIES III | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 13.36 | 0.03 | 4 | 1.06 | 1.09 | — | — | — | — | 14.45 | 8.16 | 6 | 0.28 | 7,8 | 0.27 | 7,8 | 0.37 | 4,8 | 140 | 5 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 14.20 | 0.22 | 4 | 1.08 | 1.30 | (0.22 | ) | (1.92 | ) | — | (2.14 | ) | 13.36 | 9.43 | 0.26 | 7,9 | 0.25 | 7,9 | 1.55 | 4 | 137 | 4 | |||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 15.75 | 0.24 | 4 | (0.10 | ) | 0.14 | (0.24 | ) | (1.45 | ) | — | (1.69 | ) | 14.20 | 1.34 | 0.27 | 7 | 0.26 | 7 | 1.56 | 4 | 138 | 9 | ||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 15.22 | 0.21 | 4 | 0.61 | 0.82 | (0.22 | ) | (0.07 | ) | — | (0.29 | ) | 15.75 | 5.40 | 0.27 | 7 | 0.26 | 7 | 1.37 | 4 | 156 | 7 | |||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 12.46 | 0.20 | 4 | 2.76 | 2.96 | (0.20 | ) | — | — | (0.20 | ) | 15.22 | 23.79 | 0.27 | 7 | 0.27 | 7 | 1.40 | 4 | 173 | 2 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 10.93 | 0.23 | 4 | 1.54 | 1.77 | (0.24 | ) | — | — | (0.24 | ) | 12.46 | 16.16 | 0.27 | 7 | 0.27 | 7 | 1.87 | 4 | 156 | 2 | ||||||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-17. Unaudited. 4. Recognition of net investment income by the portfolio is affected by the timing and frequency of the declaration of dividends by the underlying funds in which the portfolio invests. 5. Less than $0.005 per share. 6. Not annualized. 7. Ratios do not include expenses indirectly incurred from the underlying fund held by the portfolio. The expense ratio of the underlying fund held by the portfolio were 0.29%, 0.30% for 6-30-17, 12-31-16 and 0.31% for all other periods presented. 8. Annualized. 9. Includes reimbursement for overbilling of custody expenses in prior years of 0.01%. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
American Global Growth Trust | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 13.43 | (0.03 | )4 | 2.49 | 2.46 | — | — | — | — | 15.89 | 18.32 | 5 | 0.65 | 6,7 | 0.64 | 6,7 | (0.37 | )4,7 | 16 | 1 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 15.38 | 0.10 | 4 | (0.01 | ) | 0.09 | (0.08 | ) | (1.96 | ) | — | (2.04 | ) | 13.43 | 0.28 | 0.64 | 6 | 0.60 | 6 | 0.69 | 4 | 13 | 14 | ||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 15.86 | 0.14 | 4 | 0.87 | 1.01 | (0.39 | ) | (1.10 | ) | — | (1.49 | ) | 15.38 | 6.64 | 0.64 | 6 | 0.55 | 6 | 0.88 | 4 | 12 | 17 | |||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 15.68 | 0.15 | 4 | 0.16 | 0.31 | (0.13 | ) | — | — | (0.13 | ) | 15.86 | 1.96 | 0.63 | 6 | 0.58 | 6 | 0.97 | 4 | 8 | 13 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 12.29 | 0.16 | 4 | 3.36 | 3.52 | (0.13 | ) | — | — | (0.13 | ) | 15.68 | 28.63 | 0.64 | 6 | 0.63 | 6 | 1.17 | 4 | 5 | 2 | 8 | |||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 10.11 | 0.07 | 4 | 2.17 | 2.24 | (0.06 | ) | — | — | (0.06 | ) | 12.29 | 22.13 | 0.64 | 6 | 0.64 | 6 | 0.59 | 4 | 2 | 5 | ||||||||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 13.39 | (0.03 | )4 | 2.49 | 2.46 | — | — | — | — | 15.85 | 18.37 | 5 | 0.80 | 6,7 | 0.71 | 6,7 | (0.46 | )4,7 | 181 | 1 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 15.35 | 0.06 | 4 | — | 0.06 | (0.06 | ) | (1.96 | ) | — | (2.02 | ) | 13.39 | 0.10 | 0.79 | 6 | 0.70 | 6 | 0.42 | 4 | 166 | 14 | |||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 15.83 | 0.09 | 4 | 0.90 | 0.99 | (0.37 | ) | (1.10 | ) | — | (1.47 | ) | 15.35 | 6.50 | 0.79 | 6 | 0.70 | 6 | 0.55 | 4 | 193 | 17 | |||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 15.65 | 0.10 | 4 | 0.19 | 0.29 | (0.11 | ) | — | — | (0.11 | ) | 15.83 | 1.82 | 0.78 | 6 | 0.74 | 6 | 0.62 | 4 | 203 | 13 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 12.27 | 0.11 | 4 | 3.38 | 3.49 | (0.11 | ) | — | — | (0.11 | ) | 15.65 | 28.43 | 0.79 | 6 | 0.78 | 6 | 0.77 | 4 | 233 | 2 | 8 | |||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 10.09 | 0.04 | 4 | 2.18 | 2.22 | (0.04 | ) | — | — | (0.04 | ) | 12.27 | 22.00 | 0.79 | 6 | 0.79 | 6 | 0.33 | 4 | 165 | 5 | ||||||||||||||||||||||||||||||||||||||||||
SERIES III | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 13.39 | — | 4,9 | 2.48 | 2.48 | — | — | — | — | 15.87 | 18.52 | 5 | 0.30 | 6,7 | 0.29 | 6,7 | (0.04 | )4,7 | 32 | 1 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 15.34 | 0.13 | 4 | 0.01 | 0.14 | (0.13 | ) | (1.96 | ) | — | (2.09 | ) | 13.39 | 0.63 | 0.29 | 6 | 0.24 | 6 | 0.90 | 4 | 31 | 14 | |||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 15.82 | 0.17 | 4 | 0.90 | 1.07 | (0.45 | ) | (1.10 | ) | — | (1.55 | ) | 15.34 | 7.02 | 0.29 | 6 | 0.20 | 6 | 1.02 | 4 | 31 | 17 | |||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 15.64 | 0.18 | 4 | 0.18 | 0.36 | (0.18 | ) | — | — | (0.18 | ) | 15.82 | 2.31 | 0.28 | 6 | 0.24 | 6 | 1.12 | 4 | 36 | 13 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 12.25 | 0.24 | 4 | 3.33 | 3.57 | (0.18 | ) | — | — | (0.18 | ) | 15.64 | 29.12 | 0.29 | 6 | 0.28 | 6 | 1.68 | 4 | 40 | 2 | 8 | |||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 10.08 | 0.10 | 4 | 2.17 | 2.27 | (0.10 | ) | — | — | (0.10 | ) | 12.25 | 22.49 | 0.29 | 6 | 0.29 | 6 | 0.84 | 4 | 4 | 5 | ||||||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-17. Unaudited. 4. Recognition of net investment income by the portfolio is affected by the timing and frequency of the declaration of dividends by the underlying funds in which the portfolio invests. 5. Not annualized. 6. Ratios do not include expenses indirectly incurred from the underlying fund held by the portfolio. The expense ratios of the underlying fund held by the portfolio were as follows: 0.56%, 0.55%, 0.55%, 0.56%, 0.55% and 0.56% for the periods ended 6-30-17, 12-31-16, 12-31-15, 12-31-14, 12-31-13 and 12-31-12, respectively. 7. Annualized. 8. Excludes merger activity. 9. Less than $0.005 per share. |
Per share operating performance for a share outstanding throughout the period | Ratios and supplemental data | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations | Less distributions | Ratios to average net assets | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Period ended | Net asset value, beginning of period ($) | Net investment income (loss) ($)1 | Net real- ized and unrealized gain (loss) on invest- ments ($) | Total from investment oper- ations ($) | From net investment income ($) | From net realized gain ($) | From tax return of capital ($) | Total distri- butions ($) | Net asset value, end of period ($) | Total return (%)2 | Expenses before reductions (%) | Expenses including reductions (%) | Net investment income (loss) (%) | Net assets, end of period (in millions) | Portfolio turnover (%) | ||||||||||||||||||||||||||||||||||||||||||||||||
American Growth Trust | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 18.62 | (0.03 | )4 | 2.79 | 2.76 | — | — | — | — | 21.38 | 14.82 | 5 | 0.63 | 6,7 | 0.62 | 6,7 | (0.29 | )4,7 | 124 | 9 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 24.15 | 0.09 | 4 | 1.89 | 1.98 | (0.07 | ) | (7.44 | ) | — | (7.51 | ) | 18.62 | 9.08 | 0.62 | 6 | 0.62 | 6 | 0.41 | 4 | 109 | 12 | |||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 24.07 | 0.04 | 4 | 1.43 | 1.47 | (0.06 | ) | (1.33 | ) | — | (1.39 | ) | 24.15 | 6.44 | 0.62 | 6 | 0.62 | 6 | 0.18 | 4 | 104 | 21 | |||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 22.44 | 0.20 | 4 | 1.63 | 1.83 | (0.20 | ) | — | — | (0.20 | ) | 24.07 | 8.13 | 0.62 | 6 | 0.61 | 6 | 0.85 | 4 | 118 | 7 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 17.40 | 0.11 | 4 | 5.04 | 5.15 | (0.11 | ) | — | — | (0.11 | ) | 22.44 | 29.60 | 0.62 | 6 | 0.62 | 6 | 0.57 | 4 | 110 | 2 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 14.87 | 0.07 | 4 | 2.53 | 2.60 | (0.07 | ) | — | — | (0.07 | ) | 17.40 | 17.49 | 0.62 | 6 | 0.62 | 6 | 0.40 | 4 | 91 | 4 | ||||||||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 18.54 | (0.04 | )4 | 2.77 | 2.73 | — | — | — | — | 21.27 | 14.72 | 5 | 0.78 | 6,7 | 0.68 | 6,7 | (0.36 | )4,7 | 682 | 9 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 24.08 | 0.07 | 4 | 1.89 | 1.96 | (0.06 | ) | (7.44 | ) | — | (7.50 | ) | 18.54 | 9.03 | 0.77 | 6 | 0.68 | 6 | 0.32 | 4 | 658 | 12 | |||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 23.99 | 0.02 | 4 | 1.42 | 1.44 | (0.02 | ) | (1.33 | ) | — | (1.35 | ) | 24.08 | 6.35 | 0.77 | 6 | 0.72 | 6 | 0.10 | 4 | 707 | 21 | |||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 22.37 | 0.14 | 4 | 1.64 | 1.78 | (0.16 | ) | — | — | (0.16 | ) | 23.99 | 7.96 | 0.77 | 6 | 0.76 | 6 | 0.63 | 4 | 804 | 7 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 17.34 | 0.07 | 4 | 5.04 | 5.11 | (0.08 | ) | — | — | (0.08 | ) | 22.37 | 29.48 | 0.77 | 6 | 0.77 | 6 | 0.36 | 4 | 919 | 2 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 14.83 | 0.04 | 4 | 2.52 | 2.56 | (0.05 | ) | — | — | (0.05 | ) | 17.34 | 17.23 | 0.77 | 6 | 0.77 | 6 | 0.24 | 4 | 902 | 4 | ||||||||||||||||||||||||||||||||||||||||||
SERIES III | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 18.54 | 0.01 | 4 | 2.76 | 2.77 | — | — | — | — | 21.31 | 14.94 | 5 | 0.28 | 6,7 | 0.27 | 6,7 | 0.05 | 4,7 | 97 | 9 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 24.07 | 0.16 | 4 | 1.90 | 2.06 | (0.15 | ) | (7.44 | ) | — | (7.59 | ) | 18.54 | 9.48 | 0.27 | 6 | 0.27 | 6 | 0.75 | 4 | 94 | 12 | |||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 23.98 | 0.14 | 4 | 1.43 | 1.57 | (0.15 | ) | (1.33 | ) | — | (1.48 | ) | 24.07 | 6.87 | 0.27 | 6 | 0.27 | 6 | 0.56 | 4 | 94 | 21 | |||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 22.36 | 0.26 | 4 | 1.64 | 1.90 | (0.28 | ) | — | — | (0.28 | ) | 23.98 | 8.47 | 0.27 | 6 | 0.26 | 6 | 1.14 | 4 | 106 | 7 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 17.33 | 0.17 | 4 | 5.04 | 5.21 | (0.18 | ) | — | — | (0.18 | ) | 22.36 | 30.07 | 0.27 | 6 | 0.27 | 6 | 0.88 | 4 | 116 | 2 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 14.81 | 0.13 | 4 | 2.52 | 2.65 | (0.13 | ) | — | — | (0.13 | ) | 17.33 | 17.89 | 0.27 | 6 | 0.27 | 6 | 0.78 | 4 | 106 | 4 | ||||||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-17. Unaudited. 4. Recognition of net investment income by the portfolio is affected by the timing and frequency of the declaration of dividends by the underlying funds in which the portfolio invests. 5. Not annualized. 6. Ratios do not include expenses indirectly incurred from the underlying fund held by the portfolio. The range of expense ratios of the underlying fund held by the portfolio was as follows: 0.35%, 0.35%, 0.35%, 0.35%, 0.35% and 0.34% for the periods ended 6-30-17, 12-31-16, 12-31-15, 12-31-14, 12-31-13 and 12-31-12, respectively. 7. Annualized. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
American Growth-Income Trust | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 17.58 | (0.01 | )4 | 1.70 | 1.69 | — | — | — | — | 19.27 | 9.61 | 5 | 0.63 | 6,7 | 0.62 | 6,7 | (0.05 | )4,7 | 259 | 7 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 21.16 | 0.22 | 4 | 1.94 | 2.16 | (0.19 | ) | (5.55 | ) | — | (5.74 | ) | 17.58 | 11.10 | 0.62 | 6 | 0.61 | 6 | 1.10 | 4 | 247 | 13 | |||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 24.00 | 0.21 | 4 | (0.07 | ) | 0.14 | (0.20 | ) | (2.78 | ) | — | (2.98 | ) | 21.16 | 1.11 | 0.62 | 6 | 0.61 | 6 | 0.89 | 4 | 240 | 17 | ||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 21.96 | 0.21 | 4 | 2.04 | 2.25 | (0.21 | ) | — | — | (0.21 | ) | 24.00 | 10.25 | 0.62 | 6 | 0.61 | 6 | 0.90 | 4 | 267 | 6 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 16.66 | 0.18 | 4 | 5.32 | 5.50 | (0.20 | ) | — | — | (0.20 | ) | 21.96 | 33.01 | 0.62 | 6 | 0.61 | 6 | 0.96 | 4 | 270 | 2 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 14.40 | 0.22 | 4 | 2.25 | 2.47 | (0.21 | ) | — | — | (0.21 | ) | 16.66 | 17.15 | 0.62 | 6 | 0.62 | 6 | 1.39 | 4 | 232 | 18 | 8 | |||||||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 17.54 | (0.01 | )4 | 1.69 | 1.68 | — | — | — | — | 19.22 | 9.58 | 5 | 0.78 | 6,7 | 0.70 | 6,7 | (0.15 | )4,7 | 588 | 7 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 21.12 | 0.19 | 4 | 1.96 | 2.15 | (0.18 | ) | (5.55 | ) | — | (5.73 | ) | 17.54 | 11.06 | 0.77 | 6 | 0.69 | 6 | 0.97 | 4 | 585 | 13 | |||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 23.96 | 0.18 | 4 | (0.07 | ) | 0.11 | (0.17 | ) | (2.78 | ) | — | (2.95 | ) | 21.12 | 0.96 | 0.77 | 6 | 0.73 | 6 | 0.77 | 4 | 628 | 17 | ||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 21.92 | 0.16 | 4 | 2.06 | 2.22 | (0.18 | ) | — | — | (0.18 | ) | 23.96 | 10.12 | 0.77 | 6 | 0.76 | 6 | 0.68 | 4 | 730 | 6 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 16.63 | 0.14 | 4 | 5.32 | 5.46 | (0.17 | ) | — | — | (0.17 | ) | 21.92 | 32.84 | 0.77 | 6 | 0.76 | 6 | 0.75 | 4 | 831 | 2 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 14.38 | 0.17 | 4 | 2.27 | 2.44 | (0.19 | ) | — | — | (0.19 | ) | 16.63 | 16.94 | 0.77 | 6 | 0.77 | 6 | 1.09 | 4 | 814 | 18 | 8 | |||||||||||||||||||||||||||||||||||||||||
SERIES III | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 17.55 | 0.03 | 4 | 1.69 | 1.72 | — | — | — | — | 19.27 | 9.80 | 5 | 0.28 | 6,7 | 0.27 | 6,7 | 0.29 | 4,7 | 221 | 7 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 21.12 | 0.28 | 4 | 1.96 | 2.24 | (0.26 | ) | (5.55 | ) | — | (5.81 | ) | 17.55 | 11.54 | 0.27 | 6 | 0.26 | 6 | 1.42 | 4 | 218 | 13 | |||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 23.96 | 0.29 | 4 | (0.06 | ) | 0.23 | (0.29 | ) | (2.78 | ) | — | (3.07 | ) | 21.12 | 1.46 | 0.27 | 6 | 0.26 | 6 | 1.24 | 4 | 219 | 17 | ||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 21.92 | 0.27 | 4 | 2.07 | 2.34 | (0.30 | ) | — | — | (0.30 | ) | 23.96 | 10.64 | 0.27 | 6 | 0.26 | 6 | 1.19 | 4 | 252 | 6 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 16.62 | 0.24 | 4 | 5.33 | 5.57 | (0.27 | ) | — | — | (0.27 | ) | 21.92 | 33.50 | 0.27 | 6 | 0.26 | 6 | 1.27 | 4 | 276 | 2 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 14.37 | 0.57 | 4 | 1.94 | 2.51 | (0.26 | ) | — | — | (0.26 | ) | 16.62 | 17.51 | 0.27 | 6 | 0.27 | 6 | 3.53 | 4 | 257 | 18 | 8 | |||||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-17. Unaudited. 4. Recognition of net investment income by the portfolio is affected by the timing and frequency of the declaration of dividends by the underlying funds in which the portfolio invests. 5. Not annualized. 6. Ratios do not include expenses indirectly incurred from the underlying fund held by the portfolio. The expense ratios of the underlying fund held by the portfolio were as follows: 0.29%, 0.29%, 0.29%, 0.29%, 0.29% and 0.28% for the periods ended 6-30-17, 12-31-16, 12-31-15, 12-31-14, 12-31-13 and 12-31-12, respectively. 7. Annualized. 8. Excludes merger activity. |
Per share operating performance for a share outstanding throughout the period | Ratios and supplemental data | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations | Less distributions | Ratios to average net assets | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Period ended | Net asset value, beginning of period ($) | Net investment income (loss) ($)1 | Net real- ized and unrealized gain (loss) on invest- ments ($) | Total from investment oper- ations ($) | From net investment income ($) | From net realized gain ($) | From tax return of capital ($) | Total distri- butions ($) | Net asset value, end of period ($) | Total return (%)2 | Expenses before reductions (%) | Expenses including reductions (%) | Net investment income (loss) (%) | Net assets, end of period (in millions) | Portfolio turnover (%) | ||||||||||||||||||||||||||||||||||||||||||||||||
American International Trust | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 17.71 | 0.01 | 4 | 3.24 | 3.25 | — | — | — | — | 20.96 | 18.35 | 5 | 0.63 | 6,7 | 0.62 | 6,7 | 0.14 | 4,7 | 116 | 4 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 17.35 | 0.17 | 4 | 0.37 | 0.54 | (0.18 | ) | — | — | (0.18 | ) | 17.71 | 3.12 | 0.63 | 6 | 0.62 | 6 | 0.99 | 4 | 93 | 17 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 18.45 | 0.22 | 4 | (1.11 | ) | (0.89 | ) | (0.21 | ) | — | — | (0.21 | ) | 17.35 | (4.82 | ) | 0.63 | 6 | 0.62 | 6 | 1.14 | 4 | 98 | 15 | |||||||||||||||||||||||||||||||||||||||
12-31-2014 | 19.23 | 0.21 | 4 | (0.79 | ) | (0.58 | ) | (0.20 | ) | — | — | (0.20 | ) | 18.45 | (3.05 | ) | 0.62 | 6 | 0.62 | 6 | 1.08 | 4 | 89 | 6 | |||||||||||||||||||||||||||||||||||||||
12-31-2013 | 16.01 | 0.17 | 4 | 3.22 | 3.39 | (0.17 | ) | — | — | (0.17 | ) | 19.23 | 21.20 | 0.63 | 6 | 0.62 | 6 | 1.00 | 4 | 92 | 3 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 13.77 | 0.16 | 4 | 2.25 | 2.41 | (0.17 | ) | — | — | (0.17 | ) | 16.01 | 17.49 | 0.62 | 6 | 0.62 | 6 | 1.06 | 4 | 81 | 5 | ||||||||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 17.70 | — | 4,8 | 3.24 | 3.24 | — | — | — | — | 20.94 | 18.31 | 5 | 0.78 | 6,7 | 0.75 | 6,7 | (0.05 | )4,7 | 375 | 4 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 17.34 | 0.14 | 4 | 0.37 | 0.51 | (0.15 | ) | — | — | (0.15 | ) | 17.70 | 2.97 | 0.78 | 6 | 0.75 | 6 | 0.82 | 4 | 361 | 17 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 18.44 | 0.18 | 4 | (1.10 | ) | (0.92 | ) | (0.18 | ) | — | — | (0.18 | ) | 17.34 | (4.98 | ) | 0.78 | 6 | 0.76 | 6 | 0.93 | 4 | 395 | 15 | |||||||||||||||||||||||||||||||||||||||
12-31-2014 | 19.21 | 0.15 | 4 | (0.75 | ) | (0.60 | ) | (0.17 | ) | — | — | (0.17 | ) | 18.44 | (3.15 | ) | 0.77 | 6 | 0.77 | 6 | 0.79 | 4 | 468 | 6 | |||||||||||||||||||||||||||||||||||||||
12-31-2013 | 16.00 | 0.13 | 4 | 3.23 | 3.36 | (0.15 | ) | — | — | (0.15 | ) | 19.21 | 20.98 | 0.78 | 6 | 0.77 | 6 | 0.76 | 4 | 557 | 3 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 13.77 | 0.13 | 4 | 2.25 | 2.38 | (0.15 | ) | — | — | (0.15 | ) | 16.00 | 17.26 | 0.77 | 6 | 0.77 | 6 | 0.90 | 4 | 563 | 5 | ||||||||||||||||||||||||||||||||||||||||||
SERIES III | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 17.65 | 0.04 | 4 | 3.24 | 3.28 | — | — | — | — | 20.93 | 18.58 | 5 | 0.28 | 6,7 | 0.27 | 6,7 | 0.43 | 4,7 | 43 | 4 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 17.29 | 0.23 | 4 | 0.37 | 0.60 | (0.24 | ) | — | — | (0.24 | ) | 17.65 | 3.49 | 0.28 | 6 | 0.27 | 6 | 1.33 | 4 | 41 | 17 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 18.40 | 0.27 | 4 | (1.10 | ) | (0.83 | ) | (0.28 | ) | — | — | (0.28 | ) | 17.29 | (4.54 | ) | 0.28 | 6 | 0.27 | 6 | 1.44 | 4 | 43 | 15 | |||||||||||||||||||||||||||||||||||||||
12-31-2014 | 19.17 | 0.26 | 4 | (0.77 | ) | (0.51 | ) | (0.26 | ) | — | — | (0.26 | ) | 18.40 | (2.66 | ) | 0.27 | 6 | 0.27 | 6 | 1.33 | 4 | 50 | 6 | |||||||||||||||||||||||||||||||||||||||
12-31-2013 | 15.96 | 0.23 | 4 | 3.21 | 3.44 | (0.23 | ) | — | — | (0.23 | ) | 19.17 | 21.58 | 0.28 | 6 | 0.27 | 6 | 1.31 | 4 | 55 | 3 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 13.72 | 0.22 | 4 | 2.24 | 2.46 | (0.22 | ) | — | — | (0.22 | ) | 15.96 | 17.94 | 0.27 | 6 | 0.27 | 6 | 1.49 | 4 | 51 | 5 | ||||||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-17. Unaudited. 4. Recognition of net investment income by the portfolio is affected by the timing and frequency of the declaration of dividends by the underlying funds in which the portfolio invests. 5. Not annualized. 6. Ratios do not include expenses indirectly incurred from the underlying fund held by the portfolio. The expense ratios of the underlying fund held by the portfolio were as follows: 0.54%, 0.54%, 0.54%, 0.54%, 0.54% and 0.53% for the periods ended 6-30-17, 12-31-16, 12-31-15, 12-31-14, 12-31-13 and 12-31-12, respectively. 7. Annualized. 8. Less than $0.005 per share. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
American New World Trust | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 11.11 | (0.02 | )4 | 1.60 | 1.58 | — | — | — | — | 12.69 | 14.22 | 5 | 0.82 | 6,7 | 0.69 | 6,7 | (0.33 | )4,7 | 44 | 4 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 11.05 | 0.05 | 4 | 0.50 | 0.55 | (0.04 | ) | (0.45 | ) | — | (0.49 | ) | 11.11 | 4.93 | 0.68 | 6 | 0.67 | 6 | 0.45 | 4 | 36 | 9 | |||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 13.22 | 0.02 | 4 | (0.56 | ) | (0.54 | ) | (0.02 | ) | (1.61 | ) | — | (1.63 | ) | 11.05 | (3.66 | ) | 0.68 | 6 | 0.68 | 6 | 0.19 | 4 | 31 | 15 | ||||||||||||||||||||||||||||||||||||||
12-31-2014 | 14.89 | 0.10 | 4 | (1.28 | ) | (1.18 | ) | (0.08 | ) | (0.41 | ) | — | (0.49 | ) | 13.22 | (8.21 | ) | 0.67 | 6 | 0.66 | 6 | 0.68 | 4 | 16 | 20 | ||||||||||||||||||||||||||||||||||||||
12-31-2013 | 13.55 | 0.16 | 4 | 1.31 | 1.47 | (0.13 | ) | — | — | (0.13 | ) | 14.89 | 10.89 | 0.67 | 6 | 0.67 | 6 | 1.16 | 4 | 15 | 11 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 11.61 | 0.08 | 4 | 1.94 | 2.02 | (0.08 | ) | — | — | (0.08 | ) | 13.55 | 17.37 | 0.68 | 6 | 0.68 | 6 | 0.60 | 4 | 10 | 7 | ||||||||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 11.11 | (0.03 | )4 | 1.60 | 1.57 | — | — | — | — | 12.68 | 14.13 | 5 | 0.96 | 6,7 | 0.77 | 6,7 | (0.42 | )4,7 | 44 | 4 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 11.05 | 0.02 | 4 | 0.52 | 0.54 | (0.03 | ) | (0.45 | ) | — | (0.48 | ) | 11.11 | 4.77 | 0.83 | 6 | 0.79 | 6 | 0.22 | 4 | 41 | 9 | |||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 13.21 | — | 4,8 | (0.55 | ) | (0.55 | ) | — | (1.61 | ) | — | (1.61 | ) | 11.05 | (3.73 | ) | 0.83 | 6 | 0.82 | 6 | (0.02 | )4 | 44 | 15 | |||||||||||||||||||||||||||||||||||||||
12-31-2014 | 14.88 | 0.05 | 4 | (1.25 | ) | (1.20 | ) | (0.06 | ) | (0.41 | ) | — | (0.47 | ) | 13.21 | (8.37 | ) | 0.82 | 6 | 0.81 | 6 | 0.37 | 4 | 53 | 20 | ||||||||||||||||||||||||||||||||||||||
12-31-2013 | 13.54 | 0.10 | 4 | 1.35 | 1.45 | (0.11 | ) | — | — | (0.11 | ) | 14.88 | 10.74 | 0.82 | 6 | 0.82 | 6 | 0.75 | 4 | 64 | 11 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 11.61 | 0.05 | 4 | 1.94 | 1.99 | (0.06 | ) | — | — | (0.06 | ) | 13.54 | 17.12 | 0.83 | 6 | 0.83 | 6 | 0.43 | 4 | 68 | 7 | ||||||||||||||||||||||||||||||||||||||||||
SERIES III | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 11.07 | — | 4,8 | 1.60 | 1.60 | — | — | — | — | 12.67 | 14.45 | 5 | 0.46 | 6,7 | 0.34 | 6,7 | 0.01 | 4,7 | 2 | 4 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 11.02 | 0.08 | 4 | 0.50 | 0.58 | (0.08 | ) | (0.45 | ) | — | (0.53 | ) | 11.07 | 5.20 | 0.33 | 6 | 0.32 | 6 | 0.74 | 4 | 2 | 9 | |||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 13.18 | 0.06 | 4 | (0.55 | ) | (0.49 | ) | (0.06 | ) | (1.61 | ) | — | (1.67 | ) | 11.02 | (3.24 | ) | 0.33 | 6 | 0.32 | 6 | 0.47 | 4 | 1 | 15 | ||||||||||||||||||||||||||||||||||||||
12-31-2014 | 14.86 | 0.13 | 4 | (1.27 | ) | (1.14 | ) | (0.13 | ) | (0.41 | ) | — | (0.54 | ) | 13.18 | (7.95 | ) | 0.32 | 6 | 0.31 | 6 | 0.91 | 4 | 2 | 20 | ||||||||||||||||||||||||||||||||||||||
12-31-2013 | 13.51 | 0.16 | 4 | 1.37 | 1.53 | (0.18 | ) | — | — | (0.18 | ) | 14.86 | 11.36 | 0.32 | 6 | 0.32 | 6 | 1.12 | 4 | 2 | 11 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 11.58 | 0.11 | 4 | 1.94 | 2.05 | (0.12 | ) | — | — | (0.12 | ) | 13.51 | 17.71 | 0.33 | 6 | 0.33 | 6 | 0.85 | 4 | 3 | 7 | ||||||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-17. Unaudited. 4. Recognition of net investment income by the portfolio is affected by the timing and frequency of the declaration of dividends by the underlying funds in which the portfolio invests. 5. Not annualized. 6. Ratios do not include expenses indirectly incurred from the underlying fund held by the portfolio. The expense ratios of the underlying fund held by the portfolio were as follows: 0.78%, 0.79%, 0.78%, 0.78%, 0.79% and 0.78% for the periods ended 6-30-17, 12-31-16, 12-31-15, 12-31-14, 12-31-13 and 12-31-12, respectively. 7. Annualized. 8. Less than $0.005 per share. |
Per share operating performance for a share outstanding throughout the period | Ratios and supplemental data | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations | Less distributions | Ratios to average net assets | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Period ended | Net asset value, beginning of period ($) | Net investment income (loss) ($)1 | Net real- ized and unrealized gain (loss) on invest- ments ($) | Total from investment oper- ations ($) | From net investment income ($) | From net realized gain ($) | From tax return of capital ($) | Total distri- butions ($) | Net asset value, end of period ($) | Total return (%)2 | Expenses before reductions (%) | Expenses including reductions (%) | Net investment income (loss) (%) | Net assets, end of period (in millions) | Portfolio turnover (%) | ||||||||||||||||||||||||||||||||||||||||||||||||
Blue Chip Growth Trust | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 27.45 | — | 4 | 5.26 | 5.26 | — | — | — | — | 32.71 | 19.16 | 5 | 0.87 | 6 | 0.83 | 6 | 0.03 | 6 | 301 | 13 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 32.45 | 0.02 | 0.17 | 0.19 | — | 4 | (5.19 | ) | — | (5.19 | ) | 27.45 | 0.81 | 0.85 | 7 | 0.82 | 7 | 0.07 | 270 | 30 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 35.88 | 0.01 | 3.48 | 3.49 | — | (6.92 | ) | — | (6.92 | ) | 32.45 | 11.06 | 0.87 | 0.83 | 0.03 | 311 | 29 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 34.23 | (0.04 | ) | 3.12 | 3.08 | — | (1.43 | ) | — | (1.43 | ) | 35.88 | 9.07 | 0.86 | 0.83 | (0.12 | ) | 313 | 26 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 24.29 | (0.01 | ) | 10.03 | 10.02 | (0.08 | ) | — | — | (0.08 | ) | 34.23 | 41.27 | 0.87 | 0.83 | (0.04 | ) | 337 | 27 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 20.54 | 0.05 | 3.72 | 3.77 | (0.02 | ) | — | — | (0.02 | ) | 24.29 | 18.36 | 0.86 | 0.83 | 0.22 | 274 | 22 | ||||||||||||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 26.89 | (0.02 | ) | 5.14 | 5.12 | — | — | — | — | 32.01 | 19.04 | 5 | 1.07 | 6 | 1.03 | 6 | (0.17 | )6 | 128 | 13 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 31.95 | (0.04 | ) | 0.17 | 0.13 | — | (5.19 | ) | — | (5.19 | ) | 26.89 | 0.62 | 1.05 | 7 | 1.01 | 7 | (0.13 | ) | 115 | 30 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 35.50 | (0.06 | ) | 3.43 | 3.37 | — | (6.92 | ) | — | (6.92 | ) | 31.95 | 10.83 | 1.07 | 1.03 | (0.17 | ) | 136 | 29 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 33.94 | (0.11 | ) | 3.10 | 2.99 | — | (1.43 | ) | — | (1.43 | ) | 35.50 | 8.88 | 1.06 | 1.03 | (0.32 | ) | 132 | 26 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 24.10 | (0.07 | ) | 9.94 | 9.87 | (0.03 | ) | — | — | (0.03 | ) | 33.94 | 40.97 | 1.07 | 1.03 | (0.24 | ) | 149 | 27 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 20.40 | — | 4 | 3.70 | 3.70 | — | — | — | — | 24.10 | 18.14 | 1.06 | 1.03 | 0.02 | 123 | 22 | |||||||||||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 27.45 | 0.01 | 5.26 | 5.27 | — | — | — | — | 32.72 | 19.20 | 5 | 0.82 | 6 | 0.78 | 6 | 0.08 | 6 | 1,270 | 13 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 32.45 | 0.04 | 0.17 | 0.21 | (0.02 | ) | (5.19 | ) | — | (5.21 | ) | 27.45 | 0.85 | 0.80 | 7 | 0.76 | 7 | 0.12 | 1,182 | 30 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 35.86 | 0.03 | 3.48 | 3.51 | — | (6.92 | ) | — | (6.92 | ) | 32.45 | 11.13 | 0.82 | 0.78 | 0.08 | 1,260 | 29 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 34.20 | (0.02 | ) | 3.11 | 3.09 | — | (1.43 | ) | — | (1.43 | ) | 35.86 | 9.11 | 0.81 | 0.78 | (0.07 | ) | 1,314 | 26 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 24.26 | — | 4 | 10.03 | 10.03 | (0.09 | ) | — | — | (0.09 | ) | 34.20 | 41.37 | 0.82 | 0.78 | 0.01 | 1,471 | 27 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 20.51 | 0.07 | 3.71 | 3.78 | (0.03 | ) | — | — | (0.03 | ) | 24.26 | 18.44 | 0.81 | 0.78 | 0.28 | 1,346 | 22 | ||||||||||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-17. Unaudited. 4. Less than $0.005 per share. 5. Not annualized. 6. Annualized. 7. Includes reimbursement for overbilling of custody expenses in prior years of 0.01%. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Capital Appreciation Trust | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 11.69 | 0.01 | 2.04 | 2.05 | — | — | — | — | 13.74 | 17.54 | 4 | 0.80 | 5 | 0.79 | 5 | 0.19 | 5 | 178 | 27 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 14.12 | 0.01 | (0.14 | ) | (0.13 | ) | — | (2.30 | ) | — | (2.30 | ) | 11.69 | (1.08 | ) | 0.77 | 6 | 0.76 | 6 | 0.08 | 164 | 45 | |||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 15.47 | — | 7 | 1.57 | 1.57 | — | (2.92 | ) | — | (2.92 | ) | 14.12 | 11.46 | 0.79 | 0.78 | (0.01 | ) | 192 | 30 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 15.78 | — | 7 | 1.50 | 1.50 | (0.01 | ) | (1.80 | ) | — | (1.81 | ) | 15.47 | 9.65 | 0.78 | 0.78 | (0.01 | ) | 196 | 33 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 11.51 | 0.01 | 4.29 | 4.30 | (0.03 | ) | — | — | (0.03 | ) | 15.78 | 37.41 | 0.79 | 0.79 | 0.04 | 205 | 38 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 9.94 | 0.03 | 1.56 | 1.59 | (0.02 | ) | — | — | (0.02 | ) | 11.51 | 15.98 | 0.79 | 0.78 | 0.27 | 175 | 45 | ||||||||||||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 11.35 | — | 7 | 1.98 | 1.98 | — | — | — | — | 13.33 | 17.44 | 4 | 1.00 | 5 | 0.99 | 5 | (0.01 | )5 | 65 | 27 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 13.80 | (0.02 | ) | (0.13 | ) | (0.15 | ) | — | (2.30 | ) | — | (2.30 | ) | 11.35 | (1.26 | ) | 0.97 | 6 | 0.96 | 6 | (0.12 | ) | 58 | 45 | |||||||||||||||||||||||||||||||||||||||
12-31-2015 | 15.22 | (0.03 | ) | 1.53 | 1.50 | — | (2.92 | ) | — | (2.92 | ) | 13.80 | 11.17 | 0.99 | 0.98 | (0.21 | ) | 70 | 30 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 15.57 | (0.03 | ) | 1.48 | 1.45 | — | (1.80 | ) | — | (1.80 | ) | 15.22 | 9.47 | 0.98 | 0.98 | (0.21 | ) | 73 | 33 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 11.38 | (0.02 | ) | 4.24 | 4.22 | (0.03 | ) | — | — | (0.03 | ) | 15.57 | 37.10 | 0.99 | 0.99 | (0.16 | ) | 77 | 38 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 9.83 | 0.02 | 1.54 | 1.56 | (0.01 | ) | — | — | (0.01 | ) | 11.38 | 15.84 | 0.99 | 0.98 | 0.07 | 71 | 45 | ||||||||||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 11.71 | 0.02 | 2.04 | 2.06 | — | — | — | — | 13.77 | 17.59 | 4 | 0.75 | 5 | 0.74 | 5 | 0.24 | 5 | 749 | 27 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 14.13 | 0.02 | (0.14 | ) | (0.12 | ) | — | 7 | (2.30 | ) | — | (2.30 | ) | 11.71 | (1.00 | ) | 0.72 | 6 | 0.71 | 6 | 0.12 | 718 | 45 | ||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 15.48 | 0.01 | 1.56 | 1.57 | — | 7 | (2.92 | ) | — | (2.92 | ) | 14.13 | 11.48 | 0.74 | 0.73 | 0.04 | 691 | 30 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 15.79 | 0.01 | 1.49 | 1.50 | (0.01 | ) | (1.80 | ) | — | (1.81 | ) | 15.48 | 9.68 | 0.73 | 0.73 | 0.04 | 764 | 33 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 11.51 | 0.01 | 4.30 | 4.31 | (0.03 | ) | — | — | (0.03 | ) | 15.79 | 37.51 | 0.74 | 0.74 | 0.09 | 850 | 38 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 9.94 | 0.04 | 1.55 | 1.59 | (0.02 | ) | — | — | (0.02 | ) | 11.51 | 16.03 | 0.74 | 0.73 | 0.32 | 797 | 45 | ||||||||||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-17. Unaudited. 4. Not annualized. 5. Annualized. 6. Includes reimbursement for overbilling of custody expenses in prior years of 0.03%. 7. Less than $0.005 per share. |
Per share operating performance for a share outstanding throughout the period | Ratios and supplemental data | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations | Less distributions | Ratios to average net assets | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Period ended | Net asset value, beginning of period ($) | Net investment income (loss) ($)1 | Net real- ized and unrealized gain (loss) on invest- ments ($) | Total from investment oper- ations ($) | From net investment income ($) | From net realized gain ($) | From tax return of capital ($) | Total distri- butions ($) | Net asset value, end of period ($) | Total return (%)2 | Expenses before reductions (%) | Expenses including reductions (%) | Net investment income (loss) (%) | Net assets, end of period (in millions) | Portfolio turnover (%) | ||||||||||||||||||||||||||||||||||||||||||||||||
Capital Appreciation Value Trust | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 11.08 | 0.07 | 0.94 | 1.01 | — | — | — | — | 12.09 | 9.12 | 4 | 0.92 | 5 | 0.88 | 5 | 1.20 | 5 | 5 | 28 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 11.47 | 0.17 | 0.76 | 0.93 | (0.15 | ) | (1.17 | ) | — | (1.32 | ) | 11.08 | 8.12 | 0.91 | 0.87 | 1.50 | 3 | 68 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 12.78 | 0.13 | 0.48 | 0.61 | (0.13 | ) | (1.79 | ) | — | (1.92 | ) | 11.47 | 5.28 | 0.91 | 0.87 | 1.02 | 1 | 73 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 13.02 | 0.15 | 1.38 | 1.53 | (0.18 | ) | (1.59 | ) | — | (1.77 | ) | 12.78 | 12.22 | 0.91 | 0.87 | 1.18 | 4 | 69 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 11.75 | 0.14 | 2.44 | 2.58 | (0.16 | ) | (1.15 | ) | — | (1.31 | ) | 13.02 | 22.32 | 0.91 | 0.87 | 1.09 | 1 | 71 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 11.51 | 0.18 | 1.45 | 1.63 | (0.17 | ) | (1.22 | ) | — | (1.39 | ) | 11.75 | 14.59 | 0.92 | 0.88 | 1.50 | 1 | 68 | |||||||||||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 11.04 | 0.06 | 0.93 | 0.99 | — | — | — | — | 12.03 | 8.97 | 4 | 1.11 | 5 | 1.07 | 5 | 0.99 | 5 | 308 | 28 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 11.44 | 0.14 | 0.76 | 0.90 | (0.13 | ) | (1.17 | ) | — | (1.30 | ) | 11.04 | 7.84 | 1.11 | 1.07 | 1.25 | 305 | 68 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 12.75 | 0.11 | 0.48 | 0.59 | (0.11 | ) | (1.79 | ) | — | (1.90 | ) | 11.44 | 5.10 | 1.11 | 1.07 | 0.89 | 316 | 73 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 12.99 | 0.13 | 1.37 | 1.50 | (0.15 | ) | (1.59 | ) | — | (1.74 | ) | 12.75 | 12.04 | 1.11 | 1.07 | 0.98 | 332 | 69 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 11.74 | 0.11 | 2.42 | 2.53 | (0.13 | ) | (1.15 | ) | — | (1.28 | ) | 12.99 | 21.93 | 1.11 | 1.07 | 0.88 | 331 | 71 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 11.49 | 0.15 | 1.47 | 1.62 | (0.15 | ) | (1.22 | ) | — | (1.37 | ) | 11.74 | 14.49 | 1.12 | 1.08 | 1.29 | 306 | 68 | |||||||||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 11.06 | 0.07 | 0.93 | 1.00 | — | — | — | — | 12.06 | 9.04 | 4 | 0.86 | 5 | 0.82 | 5 | 1.24 | 5 | 87 | 28 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 11.45 | 0.18 | 0.75 | 0.93 | (0.15 | ) | (1.17 | ) | — | (1.32 | ) | 11.06 | 8.19 | 0.86 | 0.82 | 1.54 | 75 | 68 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 12.76 | 0.14 | 0.48 | 0.62 | (0.14 | ) | (1.79 | ) | — | (1.93 | ) | 11.45 | 5.27 | 0.86 | 0.82 | 1.16 | 44 | 73 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 13.00 | 0.16 | 1.38 | 1.54 | (0.19 | ) | (1.59 | ) | — | (1.78 | ) | 12.76 | 12.38 | 0.86 | 0.82 | 1.22 | 32 | 69 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 11.74 | 0.15 | 2.42 | 2.57 | (0.16 | ) | (1.15 | ) | — | (1.31 | ) | 13.00 | 22.30 | 0.86 | 0.82 | 1.14 | 32 | 71 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 11.49 | 0.19 | 1.46 | 1.65 | (0.18 | ) | (1.22 | ) | — | (1.40 | ) | 11.74 | 14.76 | 0.87 | 0.83 | 1.56 | 25 | 68 | |||||||||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-17. Unaudited. 4. Not annualized. 5. Annualized. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Core Strategy Trust | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 14.19 | (0.01 | )4 | 1.15 | 1.14 | — | — | — | — | 15.33 | 8.03 | 5 | 0.12 | 6,7 | 0.12 | 6,7 | (0.12 | )4,7 | 128 | — | 11 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 14.09 | 0.28 | 4 | 0.72 | 1.00 | (0.29 | ) | (0.61 | ) | — | (0.90 | ) | 14.19 | 7.11 | 0.11 | 6 | 0.11 | 6 | 1.99 | 4 | 122 | 4 | |||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 14.95 | 0.31 | 4 | (0.34 | ) | (0.03 | ) | (0.31 | ) | (0.52 | ) | — | (0.83 | ) | 14.09 | (0.11 | ) | 0.11 | 6 | 0.11 | 6 | 2.06 | 4 | 122 | 6 | ||||||||||||||||||||||||||||||||||||||
12-31-2014 | 14.48 | 0.29 | 4 | 0.60 | 0.89 | (0.30 | ) | (0.12 | ) | — | (0.42 | ) | 14.95 | 6.11 | 0.11 | 6 | 0.11 | 6 | 1.92 | 4 | 135 | 5 | |||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 13.58 | 0.01 | 4 | 2.55 | 2.56 | (0.08 | ) | (1.58 | ) | — | (1.66 | ) | 14.48 | 19.16 | 0.12 | 6 | 0.12 | 6 | 0.06 | 4 | 142 | 8 | 8 | ||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 12.40 | 0.43 | 4 | 1.12 | 1.55 | (0.35 | ) | (0.02 | ) | — | (0.37 | ) | 13.58 | 12.53 | 0.13 | 6 | 0.13 | 6 | 3.21 | 4 | — | 9 | 110 | 10 | |||||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 14.25 | (0.02 | )4 | 1.14 | 1.12 | — | — | — | — | 15.37 | 7.86 | 5 | 0.32 | 6,7 | 0.32 | 6,7 | (0.32 | )4,7 | 3,418 | — | 11 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 14.14 | 0.26 | 4 | 0.72 | 0.98 | (0.26 | ) | (0.61 | ) | — | (0.87 | ) | 14.25 | 6.96 | 0.31 | 6 | 0.31 | 6 | 1.79 | 4 | 3,329 | 4 | |||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 15.01 | 0.29 | 4 | (0.36 | ) | (0.07 | ) | (0.28 | ) | (0.52 | ) | — | (0.80 | ) | 14.14 | (0.37 | ) | 0.31 | 6 | 0.31 | 6 | 1.88 | 4 | 3,371 | 6 | ||||||||||||||||||||||||||||||||||||||
12-31-2014 | 14.54 | 0.26 | 4 | 0.60 | 0.86 | (0.27 | ) | (0.12 | ) | — | (0.39 | ) | 15.01 | 5.91 | 0.31 | 6 | 0.31 | 6 | 1.75 | 4 | 3,658 | 5 | |||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 13.62 | 0.20 | 4 | 2.35 | 2.55 | (0.05 | ) | (1.58 | ) | — | (1.63 | ) | 14.54 | 19.03 | 0.32 | 6 | 0.32 | 6 | 1.36 | 4 | 3,804 | 8 | 8 | ||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 12.44 | 0.32 | 4 | 1.21 | 1.53 | (0.33 | ) | (0.02 | ) | — | (0.35 | ) | 13.62 | 12.27 | 0.33 | 6 | 0.33 | 6 | 2.36 | 4 | 688 | 110 | 10 | ||||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 14.20 | — | 4 | 1.14 | 1.14 | — | — | — | — | 15.34 | 8.03 | 5 | 0.07 | 6,7 | 0.07 | 6,7 | (0.07 | )4,7 | 189 | — | 11 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 14.10 | 0.30 | 4 | 0.70 | 1.00 | (0.29 | ) | (0.61 | ) | — | (0.90 | ) | 14.20 | 7.16 | 0.06 | 6 | 0.06 | 6 | 2.11 | 4 | 170 | 4 | |||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 14.96 | 0.33 | 4 | (0.35 | ) | (0.02 | ) | (0.32 | ) | (0.52 | ) | — | (0.84 | ) | 14.10 | (0.06 | ) | 0.06 | 6 | 0.06 | 6 | 2.21 | 4 | 156 | 6 | ||||||||||||||||||||||||||||||||||||||
12-31-2014 | 14.49 | 0.32 | 4 | 0.58 | 0.90 | (0.31 | ) | (0.12 | ) | — | (0.43 | ) | 14.96 | 6.15 | 0.06 | 6 | 0.06 | 6 | 2.13 | 4 | 159 | 5 | |||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 13.58 | 0.28 | 4 | 2.30 | 2.58 | (0.09 | ) | (1.58 | ) | — | (1.67 | ) | 14.49 | 19.28 | 0.07 | 6 | 0.07 | 6 | 1.91 | 4 | 133 | 8 | 8 | ||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 12.40 | 0.39 | 4 | 1.17 | 1.56 | (0.36 | ) | (0.02 | ) | — | (0.38 | ) | 13.58 | 12.58 | 0.08 | 6 | 0.08 | 6 | 2.92 | 4 | 51 | 110 | 10 | ||||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-17. Unaudited. 4. Recognition of net investment income by the portfolio is affected by the timing and frequency of the declaration of dividends by the underlying funds in which the portfolio invests. 5. Not annualized. 6. Ratios do not include expenses indirectly incurred from the underlying funds and can vary based on the mix of underlying the funds held by the portfolio. The range of expense ratios of the underlying funds held by the portfolio was as follows: 0.53% - 0.59%, 0.53% - 0.59%, 0.53% - 0.59%, 0.53% - 0.59%, 0.50% - 0.64% and 0.49% - 0.59% for the periods ended 6-30-17, 12-31-16, 12-31-15, 12-31-14, 12-31-13 and 12-31-12, respectively. 7. Annualized. 8. Excludes merger activity. 9. Less than $500,000. 10. Increase in the portfolio turnover is directly attributed to in-kind transactions that are related to the reorganization of the underlying funds held by the Trust. 11. Less than 1%. |
Per share operating performance for a share outstanding throughout the period | Ratios and supplemental data | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations | Less distributions | Ratios to average net assets | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Period ended | Net asset value, beginning of period ($) | Net investment income (loss) ($)1 | Net real- ized and unrealized gain (loss) on invest- ments ($) | Total from investment oper- ations ($) | From net investment income ($) | From net realized gain ($) | From tax return of capital ($) | Total distri- butions ($) | Net asset value, end of period ($) | Total return (%)2 | Expenses before reductions (%) | Expenses including reductions (%) | Net investment income (loss) (%) | Net assets, end of period (in millions) | Portfolio turnover (%) | ||||||||||||||||||||||||||||||||||||||||||||||||
Emerging Markets Value Trust | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 8.14 | 0.07 | 1.30 | 1.37 | — | — | — | — | 9.51 | 16.83 | 4 | 1.12 | 5 | 1.11 | 5 | 1.48 | 5 | 3 | 7 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 7.04 | 0.12 | 1.15 | 1.27 | (0.17 | ) | — | — | (0.17 | ) | 8.14 | 18.00 | 1.13 | 1.12 | 1.51 | 3 | 22 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 8.91 | 0.15 | (1.85 | ) | (1.70 | ) | (0.17 | ) | — | — | (0.17 | ) | 7.04 | (19.08 | ) | 1.10 | 1.09 | 1.73 | 2 | 20 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 9.92 | 0.17 | (0.65 | ) | (0.48 | ) | (0.18 | ) | (0.35 | ) | — | (0.53 | ) | 8.91 | (5.50 | ) | 1.13 | 1.12 | 1.68 | 3 | 17 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 10.74 | 0.13 | (0.46 | ) | (0.33 | ) | (0.13 | ) | �� | (0.36 | ) | — | (0.49 | ) | 9.92 | (3.22 | ) | 1.13 | 1.12 | 1.25 | 4 | 9 | |||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 9.86 | 0.14 | 1.60 | 1.74 | (0.11 | ) | (0.75 | ) | — | (0.86 | ) | 10.74 | 18.53 | 1.13 | 1.13 | 1.31 | 9 | 14 | |||||||||||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 8.14 | 0.07 | 1.30 | 1.37 | — | — | — | — | 9.51 | 16.83 | 4 | 1.32 | 5 | 1.31 | 5 | 1.29 | 5 | — | 7 | 7 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 7.05 | 0.10 | 1.14 | 1.24 | (0.15 | ) | — | — | (0.15 | ) | 8.14 | 17.62 | 1.33 | 1.32 | 1.33 | — | 7 | 22 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-20156 | 9.48 | 0.10 | (2.37 | ) | (2.27 | ) | (0.16 | ) | — | — | (0.16 | ) | 7.05 | (24.01 | )4 | 1.30 | 5 | 1.29 | 5 | 2.13 | 5 | — | 7 | 20 | 8 | ||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 8.13 | 0.07 | 1.30 | 1.37 | — | — | — | — | 9.50 | 16.85 | 4 | 1.07 | 5 | 1.06 | 5 | 1.52 | 5 | 643 | 7 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 7.03 | 0.12 | 1.15 | 1.27 | (0.17 | ) | — | — | (0.17 | ) | 8.13 | 18.08 | 1.07 | 1.06 | 1.67 | 608 | 22 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 8.90 | 0.14 | (1.83 | ) | (1.69 | ) | (0.18 | ) | — | — | (0.18 | ) | 7.03 | (19.05 | ) | 1.05 | 1.04 | 1.72 | 660 | 20 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 9.90 | 0.17 | (0.63 | ) | (0.46 | ) | (0.19 | ) | (0.35 | ) | — | (0.54 | ) | 8.90 | (5.36 | ) | 1.08 | 1.07 | 1.70 | 824 | 17 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 10.72 | 0.14 | (0.47 | ) | (0.33 | ) | (0.13 | ) | (0.36 | ) | — | (0.49 | ) | 9.90 | (3.18 | ) | 1.08 | 1.07 | 1.37 | 1,078 | 9 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 9.85 | 0.14 | 1.59 | 1.73 | (0.11 | ) | (0.75 | ) | — | (0.86 | ) | 10.72 | 18.49 | 1.08 | 1.08 | 1.34 | 1,115 | 14 | |||||||||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-17. Unaudited. 4. Not annualized. 5. Annualized. 6. The inception date for Series II shares is 5-27-15. 7. Less than $500,000. 8. Portfolio turnover is shown for the period from 1-1-15 to 12-31-15. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Equity Income Trust | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 16.67 | 0.17 | 0.76 | 0.93 | — | — | — | — | 17.60 | 5.58 | 4 | 0.81 | 5 | 0.78 | 5 | 2.01 | 5 | 269 | 11 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 15.79 | 0.42 | 2.47 | 2.89 | (0.36 | ) | (1.65 | ) | — | (2.01 | ) | 16.67 | 19.12 | 0.81 | 6 | 0.77 | 6 | 2.59 | 272 | 28 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 19.16 | 0.34 | (1.70 | ) | (1.36 | ) | (0.34 | ) | (1.67 | ) | — | (2.01 | ) | 15.79 | (6.75 | ) | 0.87 | 0.83 | 1.91 | 262 | 34 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 19.82 | 0.36 | 1.09 | 1.45 | (0.35 | ) | (1.76 | ) | — | (2.11 | ) | 19.16 | 7.47 | 0.86 | 0.83 | 1.81 | 326 | 9 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 15.53 | 0.29 | 4.35 | 4.64 | (0.35 | ) | — | — | (0.35 | ) | 19.82 | 29.96 | 0.87 | 0.83 | 1.63 | 348 | 9 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 13.50 | 0.31 | 2.03 | 2.34 | (0.31 | ) | — | — | (0.31 | ) | 15.53 | 17.44 | 0.86 | 0.83 | 2.11 | 311 | 14 | ||||||||||||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 16.61 | 0.15 | 0.75 | 0.90 | — | — | — | — | 17.51 | 5.42 | 4 | 1.01 | 5 | 0.98 | 5 | 1.81 | 5 | 142 | 11 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 15.74 | 0.38 | 2.46 | 2.84 | (0.32 | ) | (1.65 | ) | — | (1.97 | ) | 16.61 | 18.91 | 1.01 | 6 | 0.97 | 6 | 2.39 | 148 | 28 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 19.10 | 0.31 | (1.70 | ) | (1.39 | ) | (0.30 | ) | (1.67 | ) | — | (1.97 | ) | 15.74 | (6.91 | ) | 1.07 | 1.03 | 1.71 | 138 | 34 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 19.77 | 0.32 | 1.09 | 1.41 | (0.32 | ) | (1.76 | ) | — | (2.08 | ) | 19.10 | 7.23 | 1.06 | 1.03 | 1.62 | 172 | 9 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 15.49 | 0.26 | 4.34 | 4.60 | (0.32 | ) | — | — | (0.32 | ) | 19.77 | 29.75 | 1.07 | 1.03 | 1.43 | 193 | 9 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 13.47 | 0.28 | 2.03 | 2.31 | (0.29 | ) | — | — | (0.29 | ) | 15.49 | 17.18 | 1.06 | 1.03 | 1.91 | 173 | 14 | ||||||||||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 16.61 | 0.18 | 0.74 | 0.92 | — | — | — | — | 17.53 | 5.54 | 4 | 0.76 | 5 | 0.73 | 5 | 2.06 | 5 | 1,364 | 11 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 15.74 | 0.42 | 2.46 | 2.88 | (0.36 | ) | (1.65 | ) | — | (2.01 | ) | 16.61 | 19.18 | 0.76 | 6 | 0.72 | 6 | 2.63 | 1,400 | 28 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 19.10 | 0.35 | (1.70 | ) | (1.35 | ) | (0.34 | ) | (1.67 | ) | — | (2.01 | ) | 15.74 | (6.66 | ) | 0.82 | 0.78 | 1.97 | 1,270 | 34 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 19.76 | 0.37 | 1.09 | 1.46 | (0.36 | ) | (1.76 | ) | — | (2.12 | ) | 19.10 | 7.55 | 0.81 | 0.78 | 1.87 | 1,489 | 9 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 15.48 | 0.30 | 4.34 | 4.64 | (0.36 | ) | — | — | (0.36 | ) | 19.76 | 30.05 | 0.82 | 0.78 | 1.68 | 1,579 | 9 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 13.46 | 0.32 | 2.02 | 2.34 | (0.32 | ) | — | — | (0.32 | ) | 15.48 | 17.47 | 0.81 | 0.78 | 2.17 | 1,513 | 14 | ||||||||||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-17. Unaudited. 4. Not annualized. 5. Annualized. 6. Includes reimbursement for overbilling of custody expenses in prior years of 0.03%. |
Per share operating performance for a share outstanding throughout the period | Ratios and supplemental data | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations | Less distributions | Ratios to average net assets | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Period ended | Net asset value, beginning of period ($) | Net investment income (loss) ($)1 | Net real- ized and unrealized gain (loss) on invest- ments ($) | Total from investment oper- ations ($) | From net investment income ($) | From net realized gain ($) | From tax return of capital ($) | Total distri- butions ($) | Net asset value, end of period ($) | Total return (%)2 | Expenses before reductions (%) | Expenses including reductions (%) | Net investment income (loss) (%) | Net assets, end of period (in millions) | Portfolio turnover (%) | ||||||||||||||||||||||||||||||||||||||||||||||||
Financial Industries Trust | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 13.16 | 0.09 | 0.65 | 0.74 | — | — | — | — | 13.90 | 5.62 | 4 | 0.87 | 5 | 0.86 | 5 | 1.30 | 5 | 160 | 19 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 11.18 | 0.18 | 1.97 | 2.15 | (0.17 | ) | — | — | (0.17 | ) | 13.16 | 19.37 | 0.88 | 0.87 | 1.66 | 162 | 45 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 17.10 | 0.23 | (0.75 | ) | (0.52 | ) | (0.13 | ) | (5.27 | ) | — | (5.40 | ) | 11.18 | (2.65 | ) | 0.87 | 0.87 | 1.58 | 126 | 27 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 15.85 | 0.15 | 1.22 | 1.37 | (0.12 | ) | — | — | (0.12 | ) | 17.10 | 8.65 | 0.93 | 0.93 | 0.95 | 132 | 113 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 12.32 | 0.11 | 3.67 | 3.78 | (0.10 | ) | (0.15 | ) | — | (0.25 | ) | 15.85 | 30.75 | 0.91 | 0.90 | 0.78 | 132 | 3 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 10.52 | 0.12 | 1.77 | 1.89 | (0.09 | ) | — | — | (0.09 | ) | 12.32 | 18.05 | 0.91 | 0.91 | 0.99 | 97 | 26 | ||||||||||||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 13.07 | 0.07 | 0.65 | 0.72 | — | — | — | — | 13.79 | 5.51 | 4 | 1.07 | 5 | 1.06 | 5 | 1.09 | 5 | 20 | 19 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 11.10 | 0.16 | 1.96 | 2.12 | (0.15 | ) | — | — | (0.15 | ) | 13.07 | 19.21 | 1.08 | 1.07 | 1.48 | 21 | 45 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 17.02 | 0.20 | (0.75 | ) | (0.55 | ) | (0.10 | ) | (5.27 | ) | — | (5.37 | ) | 11.10 | (2.88 | ) | 1.07 | 1.07 | 1.39 | 19 | 27 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 15.78 | 0.12 | 1.21 | 1.33 | (0.09 | ) | — | — | (0.09 | ) | 17.02 | 8.42 | 1.13 | 1.13 | 0.75 | 23 | 113 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 12.27 | 0.09 | 3.64 | 3.73 | (0.07 | ) | (0.15 | ) | — | (0.22 | ) | 15.78 | 30.49 | 1.11 | 1.10 | 0.60 | 27 | 3 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 10.48 | 0.09 | 1.77 | 1.86 | (0.07 | ) | — | — | (0.07 | ) | 12.27 | 17.82 | 1.11 | 1.11 | 0.79 | 23 | 26 | ||||||||||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 13.13 | 0.09 | 0.65 | 0.74 | — | — | — | — | 13.87 | 5.64 | 4 | 0.82 | 5 | 0.81 | 5 | 1.38 | 5 | 42 | 19 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 11.15 | 0.19 | 1.96 | 2.15 | (0.17 | ) | — | — | (0.17 | ) | 13.13 | 19.47 | 0.83 | 0.82 | 1.72 | 26 | 45 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 17.07 | 0.24 | (0.75 | ) | (0.51 | ) | (0.14 | ) | (5.27 | ) | — | (5.41 | ) | 11.15 | (2.58 | ) | 0.82 | 0.82 | 1.63 | 22 | 27 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 15.83 | 0.16 | 1.21 | 1.37 | (0.13 | ) | — | — | (0.13 | ) | 17.07 | 8.64 | 0.88 | 0.88 | 1.00 | 22 | �� | 113 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 12.30 | 0.12 | 3.66 | 3.78 | (0.10 | ) | (0.15 | ) | — | (0.25 | ) | 15.83 | 30.86 | 0.86 | 0.85 | 0.84 | 24 | 3 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 10.51 | 0.12 | 1.77 | 1.89 | (0.10 | ) | — | — | (0.10 | ) | 12.30 | 18.03 | 0.86 | 0.86 | 1.04 | 18 | 26 | ||||||||||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-17. Unaudited. 4. Not annualized. 5. Annualized. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fundamental All Cap Core Trust | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 20.89 | 0.08 | 2.35 | 2.43 | — | — | — | — | 23.32 | 11.69 | 4 | 0.76 | 5 | 0.75 | 5 | 0.69 | 5 | 158 | 25 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 22.30 | 0.15 | 1.58 | 1.73 | (0.12 | ) | (3.02 | ) | — | (3.14 | ) | 20.89 | 8.34 | 0.75 | 0.75 | 0.73 | 146 | 26 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 22.53 | 0.07 | 0.80 | 0.87 | — | (1.10 | ) | — | (1.10 | ) | 22.30 | 4.01 | 0.76 | 0.75 | 0.30 | 168 | 49 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 20.61 | 0.06 | 6 | 1.95 | 2.01 | (0.09 | ) | — | — | (0.09 | ) | 22.53 | 9.74 | 0.76 | 0.75 | 0.28 | 6 | 156 | 46 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 15.30 | 0.11 | 5.37 | 5.48 | (0.17 | ) | — | — | (0.17 | ) | 20.61 | 35.88 | 0.76 | 0.76 | 0.60 | 159 | 41 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 12.48 | 0.16 | 2.77 | 2.93 | (0.11 | ) | — | — | (0.11 | ) | 15.30 | 23.52 | 0.76 | 0.76 | 1.17 | 131 | 38 | ||||||||||||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 20.84 | 0.05 | 2.36 | 2.41 | — | — | — | — | 23.25 | 11.56 | 4 | 0.96 | 5 | 0.95 | 5 | 0.50 | 5 | 50 | 25 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 22.23 | 0.11 | 1.56 | 1.67 | (0.04 | ) | (3.02 | ) | — | (3.06 | ) | 20.84 | 8.12 | 0.95 | 0.95 | 0.53 | 49 | 26 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 22.50 | 0.02 | 0.81 | 0.83 | — | (1.10 | ) | — | (1.10 | ) | 22.23 | 3.83 | 0.96 | 0.95 | 0.10 | 52 | 49 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 20.58 | 0.02 | 6 | 1.95 | 1.97 | (0.05 | ) | — | — | (0.05 | ) | 22.50 | 9.56 | 0.96 | 0.95 | 0.08 | 6 | 59 | 46 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 15.29 | 0.07 | 5.36 | 5.43 | (0.14 | ) | — | — | (0.14 | ) | 20.58 | 35.55 | 0.96 | 0.96 | 0.40 | 69 | 41 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 12.47 | 0.14 | 2.76 | 2.90 | (0.08 | ) | — | — | (0.08 | ) | 15.29 | 23.31 | 0.96 | 0.96 | 0.98 | 67 | 38 | ||||||||||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 20.98 | 0.08 | 2.37 | 2.45 | — | — | — | — | 23.43 | 11.68 | 4 | 0.71 | 5 | 0.70 | 5 | 0.75 | 5 | 1,509 | 25 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 22.40 | 0.16 | 1.58 | 1.74 | (0.14 | ) | (3.02 | ) | — | (3.16 | ) | 20.98 | 8.40 | 0.71 | 0.70 | 0.78 | 1,403 | 26 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 22.61 | 0.08 | 0.81 | 0.89 | — | (1.10 | ) | — | (1.10 | ) | 22.40 | 4.09 | 0.71 | 0.70 | 0.35 | 1,406 | 49 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 20.68 | 0.07 | 6 | 1.96 | 2.03 | (0.10 | ) | — | — | (0.10 | ) | 22.61 | 9.81 | 0.71 | 0.70 | 0.33 | 6 | 1,449 | 46 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 15.36 | 0.11 | 5.39 | 5.50 | (0.18 | ) | — | — | (0.18 | ) | 20.68 | 35.86 | 0.71 | 0.71 | 0.64 | 1,433 | 41 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 12.52 | 0.17 | 2.79 | 2.96 | (0.12 | ) | — | — | (0.12 | ) | 15.36 | 23.66 | 0.71 | 0.71 | 1.22 | 1,149 | 38 | ||||||||||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-17. Unaudited. 4. Not annualized. 5. Annualized. 6. Net investment income per share and the percentage of average net assets reflect special dividends received by the portfolio, which amounted to $0.05 and 0.21% for all series. |
Per share operating performance for a share outstanding throughout the period | Ratios and supplemental data | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations | Less distributions | Ratios to average net assets | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Period ended | Net asset value, beginning of period ($) | Net investment income (loss) ($)1 | Net real- ized and unrealized gain (loss) on invest- ments ($) | Total from investment oper- ations ($) | From net investment income ($) | From net realized gain ($) | From tax return of capital ($) | Total distri- butions ($) | Net asset value, end of period ($) | Total return (%)2 | Expenses before reductions (%) | Expenses including reductions (%) | Net investment income (loss) (%) | Net assets, end of period (in millions) | Portfolio turnover (%) | ||||||||||||||||||||||||||||||||||||||||||||||||
Fundamental Large Cap Value Trust | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 18.49 | 0.13 | 1.19 | 1.32 | — | — | — | — | 19.81 | 7.14 | 4 | 0.75 | 5 | 0.74 | 5 | 1.35 | 5 | 531 | 15 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 17.15 | 0.25 | 1.48 | 1.73 | (0.39 | ) | — | — | (0.39 | ) | 18.49 | 10.17 | 0.71 | 0.70 | 1.47 | 541 | 28 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 17.52 | 0.20 | (0.39 | ) | (0.19 | ) | (0.18 | ) | — | — | (0.18 | ) | 17.15 | (1.11 | ) | 0.71 | 0.70 | 1.15 | 562 | 9 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 15.94 | 0.17 | 1.52 | 1.69 | (0.11 | ) | — | — | (0.11 | ) | 17.52 | 10.61 | 0.71 | 0.70 | 1.03 | 621 | 29 | 6 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 12.18 | 0.17 | 3.77 | 3.94 | (0.18 | ) | — | — | (0.18 | ) | 15.94 | 32.41 | 0.74 | 0.74 | 1.17 | 273 | 40 | 6 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 9.91 | 0.19 | 2.22 | 2.41 | (0.14 | ) | — | — | (0.14 | ) | 12.18 | 24.42 | 0.76 | 0.75 | 1.67 | 67 | 42 | ||||||||||||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 18.61 | 0.11 | 1.21 | 1.32 | — | — | — | — | 19.93 | 7.04 | 4 | 0.95 | 5 | 0.94 | 5 | 1.15 | 5 | 204 | 15 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 17.27 | 0.21 | 1.49 | 1.70 | (0.36 | ) | — | — | (0.36 | ) | 18.61 | 9.96 | 0.91 | 0.90 | 1.27 | 207 | 28 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 17.64 | 0.17 | (0.40 | ) | (0.23 | ) | (0.14 | ) | — | — | (0.14 | ) | 17.27 | (1.30 | ) | 0.91 | 0.90 | 0.95 | 220 | 9 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 16.05 | 0.13 | 1.54 | 1.67 | (0.08 | ) | — | — | (0.08 | ) | 17.64 | 10.40 | 0.91 | 0.90 | 0.74 | 268 | 29 | 6 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 12.27 | 0.14 | 3.79 | 3.93 | (0.15 | ) | — | — | (0.15 | ) | 16.05 | 32.11 | 0.94 | 0.94 | 0.99 | 44 | 40 | 6 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 9.98 | 0.16 | 2.25 | 2.41 | (0.12 | ) | — | — | (0.12 | ) | 12.27 | 24.23 | 0.96 | 0.95 | 1.46 | 17 | 42 | ||||||||||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 18.49 | 0.13 | 1.20 | 1.33 | — | — | — | — | 19.82 | 7.19 | 4 | 0.70 | 5 | 0.69 | 5 | 1.40 | 5 | 87 | 15 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 17.15 | 0.25 | 1.49 | 1.74 | (0.40 | ) | — | — | (0.40 | ) | 18.49 | 10.22 | 0.65 | 0.65 | 1.48 | 83 | 28 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 17.52 | 0.21 | (0.39 | ) | (0.18 | ) | (0.19 | ) | — | — | (0.19 | ) | 17.15 | (1.06 | ) | 0.66 | 0.65 | 1.20 | 780 | 9 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 15.94 | 0.19 | 1.51 | 1.70 | (0.12 | ) | — | — | (0.12 | ) | 17.52 | 10.66 | 0.66 | 0.65 | 1.12 | 903 | 29 | 6 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 12.18 | 0.18 | 3.77 | 3.95 | (0.19 | ) | — | — | (0.19 | ) | 15.94 | 32.47 | 0.69 | 0.69 | 1.28 | 779 | 40 | 6 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 9.91 | 0.19 | 2.23 | 2.42 | (0.15 | ) | — | — | (0.15 | ) | 12.18 | 24.48 | 0.71 | 0.70 | 1.68 | 441 | 42 | ||||||||||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-17. Unaudited. 4. Not annualized. 5. Annualized. 6. Excludes merger activity. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Global Trust | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 18.78 | 0.22 | 1.90 | 2.12 | — | — | — | — | 20.90 | 11.29 | 4 | 0.97 | 5 | 0.95 | 5 | 2.27 | 5 | 147 | 17 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 17.95 | 0.34 | 1.33 | 1.67 | (0.84 | ) | — | — | (0.84 | ) | 18.78 | 9.47 | 0.89 | 6 | 0.87 | 6 | 1.87 | 142 | 23 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 19.58 | 0.35 | (1.60 | ) | (1.25 | ) | (0.38 | ) | — | — | (0.38 | ) | 17.95 | (6.42 | ) | 0.93 | 0.91 | 1.79 | 147 | 23 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 20.50 | 0.47 | 7 | (0.99 | ) | (0.52 | ) | (0.40 | ) | — | — | (0.40 | ) | 19.58 | (2.60 | ) | 0.95 | 0.94 | 2.27 | 7 | 180 | 17 | 8 | ||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 15.86 | 0.26 | 4.66 | 4.92 | (0.28 | ) | — | — | (0.28 | ) | 20.50 | 31.09 | 0.96 | 0.95 | 1.45 | 176 | 14 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 13.31 | 0.30 | 2.57 | 2.87 | (0.32 | ) | — | — | (0.32 | ) | 15.86 | 21.74 | 0.96 | 0.94 | 2.04 | 156 | 16 | ||||||||||||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 18.70 | 0.22 | 1.87 | 2.09 | — | — | — | — | 20.79 | 11.18 | 4 | 1.17 | 5 | 1.15 | 5 | 2.07 | 5 | 44 | 17 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 17.88 | 0.30 | 1.33 | 1.63 | (0.81 | ) | — | — | (0.81 | ) | 18.70 | 9.24 | 1.09 | 6 | 1.07 | 6 | 1.67 | 43 | 23 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 19.51 | 0.31 | (1.59 | ) | (1.28 | ) | (0.35 | ) | — | — | (0.35 | ) | 17.88 | (6.61 | ) | 1.13 | 1.11 | 1.61 | 46 | 23 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 20.43 | 0.41 | 7 | (0.97 | ) | (0.56 | ) | (0.36 | ) | — | — | (0.36 | ) | 19.51 | (2.80 | ) | 1.15 | 1.14 | 1.97 | 7 | 62 | 17 | 8 | ||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 15.81 | 0.22 | 4.65 | 4.87 | (0.25 | ) | — | — | (0.25 | ) | 20.43 | 30.83 | 1.16 | 1.15 | 1.23 | 34 | 14 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 13.27 | 0.27 | 2.57 | 2.84 | (0.30 | ) | — | — | (0.30 | ) | 15.81 | 21.51 | 1.16 | 1.14 | 1.85 | 30 | 16 | ||||||||||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 18.76 | 0.22 | 1.90 | 2.12 | — | — | — | — | 20.88 | 11.30 | 4 | 0.92 | 5 | 0.90 | 5 | 2.34 | 5 | 46 | 17 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 17.94 | 0.40 | 1.27 | 1.67 | (0.85 | ) | — | — | (0.85 | ) | 18.76 | 9.47 | 0.84 | 6 | 0.83 | 6 | 2.24 | 42 | 23 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 19.56 | 0.36 | (1.59 | ) | (1.23 | ) | (0.39 | ) | — | — | (0.39 | ) | 17.94 | (6.34 | ) | 0.88 | 0.86 | 1.83 | 390 | 23 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 20.47 | 0.48 | 7 | (0.98 | ) | (0.50 | ) | (0.41 | ) | — | — | (0.41 | ) | 19.56 | (2.51 | ) | 0.90 | 0.89 | 2.31 | 7 | 474 | 17 | 8 | ||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 15.85 | 0.27 | 4.64 | 4.91 | (0.29 | ) | — | — | (0.29 | ) | 20.47 | 31.03 | 0.91 | 0.90 | 1.50 | 470 | 14 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 13.30 | 0.30 | 2.58 | 2.88 | (0.33 | ) | — | — | (0.33 | ) | 15.85 | 21.82 | 0.91 | 0.89 | 2.09 | 422 | 16 | ||||||||||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-17. Unaudited. 4. Not annualized. 5. Annualized. 6. Certain expenses are presented unannualized due to a custodian expense reimbursement. 7. Net investment income per share and the percentage of average net assets reflect special dividends received by the portfolio, which amounted to $0.08 and 0.37% for all series, respectively. 8. Excludes merger activity. |
Per share operating performance for a share outstanding throughout the period | Ratios and supplemental data | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations | Less distributions | Ratios to average net assets | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Period ended | Net asset value, beginning of period ($) | Net investment income (loss) ($)1 | Net real- ized and unrealized gain (loss) on invest- ments ($) | Total from investment oper- ations ($) | From net investment income ($) | From net realized gain ($) | From tax return of capital ($) | Total distri- butions ($) | Net asset value, end of period ($) | Total return (%)2 | Expenses before reductions (%) | Expenses including reductions (%) | Net investment income (loss) (%) | Net assets, end of period (in millions) | Portfolio turnover (%) | ||||||||||||||||||||||||||||||||||||||||||||||||
Health Sciences Trust | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 21.83 | (0.02 | ) | 4.25 | 4.23 | — | — | — | — | 26.06 | 19.38 | 4 | 1.16 | 5 | 1.10 | 5 | (0.21 | )5 | 106 | 17 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 31.92 | (0.09 | ) | (3.02 | ) | (3.11 | ) | (0.02 | ) | (6.96 | ) | — | (6.98 | ) | 21.83 | (10.57 | ) | 1.10 | 6 | 1.04 | 6 | (0.34 | ) | 94 | 27 | ||||||||||||||||||||||||||||||||||||||
12-31-2015 | 33.55 | 0.03 | 4.30 | 4.33 | — | (5.96 | ) | — | (5.96 | ) | 31.92 | 12.69 | 1.07 | 1.02 | 0.09 | 146 | 43 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 29.19 | (0.16 | ) | 8.98 | 8.82 | — | (4.46 | ) | — | (4.46 | ) | 33.55 | 31.83 | 1.07 | 1.02 | (0.51 | ) | 135 | 50 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 20.98 | (0.14 | ) | 10.72 | 10.58 | — | (2.37 | ) | — | (2.37 | ) | 29.19 | 51.15 | 1.16 | 1.10 | (0.54 | ) | 106 | 57 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 16.98 | (0.08 | ) | 5.46 | 5.38 | — | (1.38 | ) | — | (1.38 | ) | 20.98 | 31.89 | 1.18 | 1.12 | (0.41 | ) | 69 | 29 | ||||||||||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 20.48 | (0.05 | ) | 4.00 | 3.95 | — | — | — | — | 24.43 | 19.29 | 4 | 1.36 | 5 | 1.30 | 5 | (0.40 | )5 | 78 | 17 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 30.45 | (0.14 | ) | (2.87 | ) | (3.01 | ) | — | (6.96 | ) | — | (6.96 | ) | 20.48 | (10.77 | ) | 1.30 | 6 | 1.24 | 6 | (0.54 | ) | 71 | 27 | |||||||||||||||||||||||||||||||||||||||
12-31-2015 | 32.30 | (0.03 | ) | 4.14 | 4.11 | — | (5.96 | ) | — | (5.96 | ) | 30.45 | 12.49 | 1.27 | 1.22 | (0.10 | ) | 102 | 43 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 28.30 | (0.22 | ) | 8.68 | 8.46 | — | (4.46 | ) | — | (4.46 | ) | 32.30 | 31.54 | 1.27 | 1.22 | (0.71 | ) | 103 | 50 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 20.43 | (0.19 | ) | 10.43 | 10.24 | — | (2.37 | ) | — | (2.37 | ) | 28.30 | �� | 50.86 | 1.36 | 1.30 | (0.74 | ) | 91 | 57 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 16.60 | (0.12 | ) | 5.33 | 5.21 | — | (1.38 | ) | — | (1.38 | ) | 20.43 | 31.59 | 1.38 | 1.32 | (0.61 | ) | 67 | 29 | ||||||||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 22.09 | (0.02 | ) | 4.30 | 4.28 | — | — | — | — | 26.37 | 19.43 | 4 | 1.11 | 5 | 1.05 | 5 | (0.16 | )5 | 103 | 17 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 32.20 | (0.08 | ) | (3.04 | ) | (3.12 | ) | (0.03 | ) | (6.96 | ) | — | (6.99 | ) | 22.09 | (10.54 | ) | 1.06 | 6 | 0.99 | 6 | (0.29 | ) | 96 | 27 | ||||||||||||||||||||||||||||||||||||||
12-31-2015 | 33.78 | 0.05 | 4.33 | 4.38 | — | (5.96 | ) | — | (5.96 | ) | 32.20 | 12.76 | 1.02 | 0.97 | 0.13 | 118 | 43 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 29.36 | (0.15 | ) | 9.03 | 8.88 | — | (4.46 | ) | — | (4.46 | ) | 33.78 | 31.85 | 1.02 | 0.97 | (0.46 | ) | 101 | 50 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 21.08 | (0.13 | ) | 10.78 | 10.65 | — | (2.37 | ) | — | (2.37 | ) | 29.36 | 51.24 | 1.11 | 1.05 | (0.49 | ) | 73 | 57 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 17.05 | (0.07 | ) | 5.48 | 5.41 | — | (1.38 | ) | — | (1.38 | ) | 21.08 | 31.93 | 1.13 | 1.07 | (0.36 | ) | 48 | 29 | ||||||||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-17. Unaudited. 4. Not annualized. 5. Annualized. 6. Includes reimbursement for overbilling of custody expenses in prior years of 0.05%. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
International Equity Index Trust B | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 14.79 | 0.25 | 1.96 | 2.21 | — | — | — | — | 17.00 | 14.94 | 4 | 0.66 | 5 | 0.39 | 5 | 3.19 | 5 | 345 | 3 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 14.54 | 0.39 | 0.25 | 0.64 | (0.39 | ) | — | — | (0.39 | ) | 14.79 | 4.45 | 0.65 | 6 | 0.39 | 6 | 2.65 | 277 | 5 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 15.85 | 0.39 | (1.32 | ) | (0.93 | ) | (0.38 | ) | — | — | (0.38 | ) | 14.54 | (5.91 | ) | 0.66 | 0.39 | 2.42 | 263 | 4 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 17.14 | 0.52 | 7 | (1.28 | ) | (0.76 | ) | (0.53 | ) | — | — | (0.53 | ) | 15.85 | (4.61 | ) | 0.62 | 0.39 | 3.03 | 7 | 277 | 3 | |||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 15.32 | 0.42 | 1.80 | 2.22 | (0.40 | ) | — | — | (0.40 | ) | 17.14 | 14.55 | 0.61 | 0.39 | 2.59 | 293 | 3 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-20128 | 14.62 | 0.03 | 0.84 | 0.87 | (0.17 | ) | — | — | (0.17 | ) | 15.32 | 5.98 | 4 | 0.63 | 5 | 0.39 | 5 | 1.38 | 5 | 254 | 4 | 9,10 | |||||||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 14.81 | 0.25 | 1.94 | 2.19 | — | — | — | — | 17.00 | 14.79 | 4 | 0.86 | 5 | 0.59 | 5 | 2.96 | 5 | 16 | 3 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 14.56 | 0.36 | 0.25 | 0.61 | (0.36 | ) | — | — | (0.36 | ) | 14.81 | 4.24 | 0.85 | 6 | 0.59 | 6 | 2.47 | 14 | 5 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 15.87 | 0.36 | (1.32 | ) | (0.96 | ) | (0.35 | ) | — | — | (0.35 | ) | 14.56 | (6.11 | ) | 0.86 | 0.59 | 2.25 | 16 | 4 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 17.16 | 0.50 | 7 | (1.30 | ) | (0.80 | ) | (0.49 | ) | — | — | (0.49 | ) | 15.87 | (4.80 | ) | 0.82 | 0.59 | 2.88 | 7 | 21 | 3 | |||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 15.34 | 0.39 | 1.80 | 2.19 | (0.37 | ) | — | — | (0.37 | ) | 17.16 | 14.32 | 0.81 | 0.59 | 2.43 | 27 | 3 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-20128 | 14.62 | 0.03 | 0.83 | 0.86 | (0.14 | ) | — | — | (0.14 | ) | 15.34 | 5.95 | 4 | 0.83 | 5 | 0.59 | 5 | 1.17 | 5 | 29 | 4 | 9,10 | |||||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 14.78 | 0.25 | 1.97 | 2.22 | — | — | — | — | 17.00 | 14.95 | 4 | 0.61 | 5 | 0.34 | 5 | 3.20 | 5 | 333 | 3 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 14.54 | 0.39 | 0.25 | 0.64 | (0.40 | ) | — | — | (0.40 | ) | 14.78 | 4.43 | 0.60 | 6 | 0.34 | 6 | 2.70 | 298 | 5 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 15.84 | 0.39 | (1.30 | ) | (0.91 | ) | (0.39 | ) | — | — | (0.39 | ) | 14.54 | (5.80 | ) | 0.61 | 0.34 | 2.46 | 293 | 4 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 17.13 | 0.54 | 7 | (1.29 | ) | (0.75 | ) | (0.54 | ) | — | — | (0.54 | ) | 15.84 | (4.57 | ) | 0.57 | 0.34 | 3.13 | 7 | 322 | 3 | |||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 15.32 | 0.43 | 1.79 | 2.22 | (0.41 | ) | — | — | (0.41 | ) | 17.13 | 14.54 | 0.56 | 0.34 | 2.65 | 373 | 3 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 13.17 | 0.41 | 1.92 | 2.33 | (0.18 | ) | — | — | (0.18 | ) | 15.32 | 17.76 | 0.59 | 5 | 0.34 | 5 | 2.90 | 345 | 4 | 10 | |||||||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-17. Unaudited. 4. Not annualized. 5. Annualized. 6. Includes reimbursement for overbilling of custody expenses in prior years of 0.04%. 7. Net investment income per share and the percentage of average net assets reflect special dividends received by the portfolio, which amounted to $0.03 and 0.33% for all series, respectively. 8. The inception date for Series I and II shares is 11-5-12. 9. Portfolio turnover is shown for the period from 1-1-12 to 12-31-12. 10. Excludes merger activity. |
Per share operating performance for a share outstanding throughout the period | Ratios and supplemental data | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations | Less distributions | Ratios to average net assets | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Period ended | Net asset value, beginning of period ($) | Net investment income (loss) ($)1 | Net real- ized and unrealized gain (loss) on invest- ments ($) | Total from investment oper- ations ($) | From net investment income ($) | From net realized gain ($) | From tax return of capital ($) | Total distri- butions ($) | Net asset value, end of period ($) | Total return (%)2 | Expenses before reductions (%) | Expenses including reductions (%) | Net investment income (loss) (%) | Net assets, end of period (in millions) | Portfolio turnover (%) | ||||||||||||||||||||||||||||||||||||||||||||||||
International Growth Stock Trust | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 15.43 | 0.20 | 1.95 | 2.15 | — | — | — | — | 17.58 | 13.93 | 4 | 0.92 | 5 | 0.91 | 5 | 2.45 | 5 | 5 | 12 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 15.91 | 0.25 | (0.46 | ) | (0.21 | ) | (0.27 | ) | — | — | (0.27 | ) | 15.43 | (1.31 | ) | 0.91 | 0.91 | 1.57 | 4 | 14 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 16.58 | 0.23 | (0.61 | ) | (0.38 | ) | (0.29 | ) | — | — | (0.29 | ) | 15.91 | (2.27 | ) | 0.92 | 0.91 | 1.36 | 3 | 22 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 16.85 | 0.28 | (0.23 | ) | 0.05 | (0.32 | ) | — | — | (0.32 | ) | 16.58 | 0.20 | 0.97 | 0.97 | 1.65 | 2 | 23 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 14.31 | 0.22 | 2.51 | 2.73 | (0.19 | ) | — | — | (0.19 | ) | 16.85 | 19.11 | 0.97 | 0.97 | 1.40 | 3 | 29 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-20126 | 13.84 | — | 7 | 0.56 | 0.56 | (0.09 | ) | — | — | (0.09 | ) | 14.31 | 4.07 | 4 | 1.01 | 5 | 1.01 | 5 | (0.10 | )5 | 3 | 23 | 8,9 | ||||||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 15.44 | 0.20 | 1.93 | 2.13 | — | — | — | — | 17.57 | 13.80 | 4 | 1.11 | 5 | 1.10 | 5 | 2.11 | 5 | 19 | 12 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 15.91 | 0.22 | (0.45 | ) | (0.23 | ) | (0.24 | ) | — | — | (0.24 | ) | 15.44 | (1.45 | ) | 1.11 | 1.10 | 1.38 | 18 | 14 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 16.60 | 0.21 | (0.63 | ) | (0.42 | ) | (0.27 | ) | — | — | (0.27 | ) | 15.91 | (2.53 | ) | 1.12 | 1.11 | 1.26 | 20 | 22 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 16.87 | 0.25 | (0.24 | ) | 0.01 | (0.28 | ) | — | — | (0.28 | ) | 16.60 | — | 1.17 | 1.17 | 1.44 | 21 | 23 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 14.33 | 0.19 | 2.51 | 2.70 | (0.16 | ) | — | — | (0.16 | ) | 16.87 | 18.87 | 1.17 | 1.17 | 1.23 | 23 | 29 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-20126 | 13.84 | (0.01 | ) | 0.57 | 0.56 | (0.07 | ) | — | — | (0.07 | ) | 14.33 | 4.05 | 4 | 1.21 | 5 | 1.21 | 5 | (0.30 | )5 | 23 | 23 | 8,9 | ||||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 15.44 | 0.20 | 1.95 | 2.15 | — | — | — | — | 17.59 | 13.92 | 4 | 0.86 | 5 | 0.85 | 5 | 2.33 | 5 | 358 | 12 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 15.91 | 0.25 | (0.44 | ) | (0.19 | ) | (0.28 | ) | — | — | (0.28 | ) | 15.44 | (1.20 | ) | 0.86 | 0.85 | 1.61 | 351 | 14 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 16.58 | 0.25 | (0.62 | ) | (0.37 | ) | (0.30 | ) | — | — | (0.30 | ) | 15.91 | (2.24 | ) | 0.87 | 0.86 | 1.52 | 395 | 22 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 16.86 | 0.29 | (0.25 | ) | 0.04 | (0.32 | ) | — | — | (0.32 | ) | 16.58 | 0.19 | 0.92 | 0.92 | 1.70 | 479 | 23 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 14.31 | 0.23 | 2.51 | 2.74 | (0.19 | ) | — | — | (0.19 | ) | 16.86 | 19.19 | 0.92 | 0.92 | 1.47 | 550 | 29 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-20126 | 12.48 | 0.15 | 1.80 | 1.95 | (0.10 | ) | (0.02 | ) | — | (0.12 | ) | 14.31 | 15.64 | 0.96 | 0.96 | 1.11 | 479 | 23 | 9 | ||||||||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-17. Unaudited. 4. Not annualized. 5. Annualized. 6. The inception date for Series I and Series II shares is 11-5-12. 7. Less than $0.005 per share. 8. Portfolio turnover is shown for the period from 1-1-12 to 12-31-12. 9. Excludes merger activity. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
International Small Company Trust | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 12.46 | 0.14 | 1.87 | 2.01 | — | — | — | — | 14.47 | 16.13 | 4 | 1.17 | 5 | 1.17 | 5 | 2.11 | 5 | 34 | 6 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 12.11 | 0.24 | 0.35 | 0.59 | (0.24 | ) | — | — | (0.24 | ) | 12.46 | 4.90 | 0.91 | 6 | 0.90 | 6 | 1.96 | 32 | 12 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 11.58 | 0.17 | 0.58 | 0.75 | (0.22 | ) | — | — | (0.22 | ) | 12.11 | 6.54 | 1.22 | 1.22 | 1.40 | 34 | 17 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 12.61 | 0.18 | (1.04 | ) | (0.86 | ) | (0.17 | ) | — | — | (0.17 | ) | 11.58 | (6.89 | ) | 1.19 | 1.18 | 1.46 | 37 | 20 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 10.15 | 0.18 | 2.49 | 2.67 | (0.21 | ) | — | — | (0.21 | ) | 12.61 | 26.34 | 1.17 | 1.17 | 1.61 | 46 | 10 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 8.63 | 0.19 | 1.46 | 1.65 | (0.13 | ) | — | — | (0.13 | ) | 10.15 | 19.19 | 1.18 | 1.04 | 1.97 | 41 | 3 | ||||||||||||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 12.45 | 0.14 | 1.84 | 1.98 | — | — | — | — | 14.43 | 15.90 | 4 | 1.37 | 5 | 1.37 | 5 | 1.90 | 5 | 19 | 6 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 12.10 | 0.22 | 0.35 | 0.57 | (0.22 | ) | — | — | (0.22 | ) | 12.45 | 4.70 | 1.12 | 6 | 1.11 | 6 | 1.79 | 18 | 12 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 11.57 | 0.15 | 0.59 | 0.74 | (0.21 | ) | — | — | (0.21 | ) | 12.10 | 6.39 | 1.42 | 1.42 | 1.21 | 20 | 17 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 12.60 | 0.16 | (1.04 | ) | (0.88 | ) | (0.15 | ) | — | — | (0.15 | ) | 11.57 | (7.10 | ) | 1.39 | 1.38 | 1.26 | 21 | 20 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 10.15 | 0.16 | 2.48 | 2.64 | (0.19 | ) | — | — | (0.19 | ) | 12.60 | 26.02 | 1.37 | 1.37 | 1.42 | 28 | 10 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 8.63 | 0.17 | 1.46 | 1.63 | (0.11 | ) | — | — | (0.11 | ) | 10.15 | 19.00 | 1.38 | 1.24 | 1.78 | 25 | 3 | ||||||||||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 12.46 | 0.14 | 1.88 | 2.02 | — | — | — | — | 14.48 | 16.21 | 4 | 1.12 | 5 | 1.12 | 5 | 2.18 | 5 | 80 | 6 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 12.11 | 0.24 | 0.36 | 0.60 | (0.25 | ) | — | — | (0.25 | ) | 12.46 | 4.95 | 0.87 | 6 | 0.86 | 6 | 2.00 | 58 | 12 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 11.57 | 0.18 | 0.59 | 0.77 | (0.23 | ) | — | — | (0.23 | ) | 12.11 | 6.68 | 1.17 | 1.17 | 1.43 | 53 | 17 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 12.60 | 0.18 | (1.03 | ) | (0.85 | ) | (0.18 | ) | — | — | (0.18 | ) | 11.57 | (6.85 | ) | 1.14 | 1.13 | 1.44 | 46 | 20 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 10.15 | 0.19 | 2.47 | 2.66 | (0.21 | ) | — | — | (0.21 | ) | 12.60 | 26.29 | 1.12 | 1.12 | 1.65 | 44 | 10 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 8.63 | 0.19 | 1.46 | 1.65 | (0.13 | ) | — | — | (0.13 | ) | 10.15 | 19.24 | 1.13 | 0.99 | 1.96 | 31 | 3 | ||||||||||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-17. Unaudited. 4. Not annualized. 5. Annualized. 6. Includes reimbursement for overbilling of custody expenses in prior years of 0.33%. |
Per share operating performance for a share outstanding throughout the period | Ratios and supplemental data | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations | Less distributions | Ratios to average net assets | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Period ended | Net asset value, beginning of period ($) | Net investment income (loss) ($)1 | Net real- ized and unrealized gain (loss) on invest- ments ($) | Total from investment oper- ations ($) | From net investment income ($) | From net realized gain ($) | From tax return of capital ($) | Total distri- butions ($) | Net asset value, end of period ($) | Total return (%)2 | Expenses before reductions (%) | Expenses including reductions (%) | Net investment income (loss) (%) | Net assets, end of period (in millions) | Portfolio turnover (%) | ||||||||||||||||||||||||||||||||||||||||||||||||
International Value Trust | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 12.45 | 0.19 | 1.16 | 1.35 | — | — | — | — | 13.80 | 10.84 | 4 | 0.91 | 5 | 0.90 | 5 | 2.87 | 5 | 115 | 17 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 11.33 | 0.23 | 1.15 | 1.38 | (0.26 | ) | — | — | (0.26 | ) | 12.45 | 12.24 | 0.76 | 6 | 0.75 | 6 | 1.95 | 111 | 27 | 7 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 12.54 | 0.24 | (1.21 | ) | (0.97 | ) | (0.24 | ) | — | — | (0.24 | ) | 11.33 | (7.81 | ) | 0.92 | 0.91 | 1.87 | 77 | 16 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 14.78 | 0.42 | 8 | (2.24 | ) | (1.82 | ) | (0.42 | ) | — | — | (0.42 | ) | 12.54 | (12.51 | ) | 0.97 | 0.96 | 2.91 | 8 | 95 | 34 | |||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 11.91 | 0.25 | 2.86 | 3.11 | (0.24 | ) | — | — | (0.24 | ) | 14.78 | 26.15 | 0.97 | 0.97 | 1.88 | 124 | 31 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 10.25 | 0.28 | 1.68 | 1.96 | (0.30 | ) | — | — | (0.30 | ) | 11.91 | 19.38 | 0.97 | 0.93 | 2.57 | 114 | 19 | ||||||||||||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 12.44 | 0.19 | 1.15 | 1.34 | — | — | — | — | 13.78 | 10.77 | 4 | 1.11 | 5 | 1.10 | 5 | 2.67 | 5 | 72 | 17 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 11.33 | 0.21 | 1.14 | 1.35 | (0.24 | ) | — | — | (0.24 | ) | 12.44 | 11.94 | 0.95 | 6 | 0.94 | 6 | 1.83 | 71 | 27 | 7 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 12.52 | 0.21 | (1.20 | ) | (0.99 | ) | (0.20 | ) | — | — | (0.20 | ) | 11.33 | (7.95 | ) | 1.12 | 1.11 | 1.69 | 59 | 16 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 14.75 | 0.40 | 8 | (2.24 | ) | (1.84 | ) | (0.39 | ) | — | — | (0.39 | ) | 12.52 | (12.65 | ) | 1.17 | 1.16 | 2.74 | 8 | 74 | 34 | |||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 11.89 | 0.22 | 2.85 | 3.07 | (0.21 | ) | — | — | (0.21 | ) | 14.75 | 25.89 | 1.17 | 1.17 | 1.69 | 102 | 31 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 10.24 | 0.26 | 1.67 | 1.93 | (0.28 | ) | — | — | (0.28 | ) | 11.89 | 19.07 | 1.17 | 1.13 | 2.38 | 98 | 19 | ||||||||||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 12.35 | 0.19 | 1.16 | 1.35 | — | — | — | — | 13.70 | 10.93 | 4 | 0.86 | 5 | 0.85 | 5 | 2.93 | 5 | 684 | 17 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 11.25 | 0.25 | 1.11 | 1.36 | (0.26 | ) | — | — | (0.26 | ) | 12.35 | 12.20 | 0.69 | 6 | 0.68 | 6 | 2.16 | 677 | 27 | 7 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 12.45 | 0.24 | (1.19 | ) | (0.95 | ) | (0.25 | ) | — | — | (0.25 | ) | 11.25 | (7.72 | ) | 0.87 | 0.86 | 1.93 | 685 | 16 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 14.68 | 0.43 | 8 | (2.24 | ) | (1.81 | ) | (0.42 | ) | — | — | (0.42 | ) | 12.45 | (12.48 | ) | 0.92 | 0.91 | 2.95 | 8 | 868 | 34 | |||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 11.83 | 0.25 | 2.85 | 3.10 | (0.25 | ) | — | — | (0.25 | ) | 14.68 | 26.21 | 0.92 | 0.92 | 1.90 | 1,044 | 31 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 10.19 | 0.28 | 1.67 | 1.95 | (0.31 | ) | — | — | (0.31 | ) | 11.83 | 19.36 | 0.92 | 0.88 | 2.62 | 854 | 19 | ||||||||||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-17. Unaudited. 4. Not annualized. 5. Annualized. 6. Includes reimbursement for overbilling of custody expenses in prior years of 0.17%. 7. Excludes merger activity. 8. Net investment income per share and the percentage of average net assets reflect special dividends received by the portfolio, which amounted to $0.09 and 0.65% for all series, respectively. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Lifestyle Aggressive PS Series | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 12.81 | — | 4,11 | 1.30 | 1.30 | — | — | — | — | 14.11 | 10.15 | 5 | 0.42 | 6,7 | 0.21 | 6,7 | 0.07 | 4,7 | 4 | 4 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 12.33 | 0.26 | 4 | 0.90 | 1.16 | (0.21 | ) | (0.47 | ) | — | (0.68 | ) | 12.81 | 9.55 | 0.47 | 6 | 0.21 | 6 | 2.05 | 4 | 4 | 9 | |||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 12.78 | 0.24 | 4 | (0.44 | ) | (0.20 | ) | (0.22 | ) | (0.03 | ) | — | (0.25 | ) | 12.33 | (1.56 | ) | 0.45 | 6 | 0.22 | 6 | 1.89 | 4 | 3 | 20 | ||||||||||||||||||||||||||||||||||||||
12-31-2014 | 12.74 | 0.23 | 4 | 0.47 | 0.70 | (0.23 | ) | (0.43 | ) | — | (0.66 | ) | 12.78 | 5.42 | 0.61 | 6 | 0.19 | 6 | 1.79 | 4 | 2 | 38 | |||||||||||||||||||||||||||||||||||||||||
12-31-20138 | 12.50 | 0.13 | 4 | 0.36 | 0.49 | (0.12 | ) | — | (0.13 | ) | (0.25 | ) | 12.74 | 3.91 | 5 | 79.52 | 6,7 | 0.22 | 6,7 | 1.02 | 4,7 | — | 9 | — | 10 | ||||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 12.81 | (0.01 | )4 | 1.29 | 1.28 | — | — | — | — | 14.09 | 9.99 | 5 | 0.62 | 6,7 | 0.41 | 6,7 | (0.13 | )4,7 | 19 | 4 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 12.33 | 0.19 | 4 | 0.95 | 1.14 | (0.19 | ) | (0.47 | ) | — | (0.66 | ) | 12.81 | 9.35 | 0.67 | 6 | 0.41 | 6 | 1.55 | 4 | 18 | 9 | |||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 12.78 | 0.19 | 4 | (0.41 | ) | (0.22 | ) | (0.20 | ) | (0.03 | ) | — | (0.23 | ) | 12.33 | (1.75 | ) | 0.65 | 6 | 0.42 | 6 | 1.45 | 4 | 17 | 20 | ||||||||||||||||||||||||||||||||||||||
12-31-2014 | 12.74 | 0.23 | 4 | 0.44 | 0.67 | (0.20 | ) | (0.43 | ) | — | (0.63 | ) | 12.78 | 5.21 | 0.81 | 6 | 0.39 | 6 | 1.77 | 4 | 19 | 38 | |||||||||||||||||||||||||||||||||||||||||
12-31-20138 | 12.50 | 0.12 | 4 | 0.36 | 0.48 | (0.11 | ) | — | (0.13 | ) | (0.24 | ) | 12.74 | 3.85 | 5 | 79.72 | 6,7 | 0.42 | 6,7 | 0.97 | 4,7 | — | 9 | — | 10 | ||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 12.81 | 0.01 | 4 | 1.29 | 1.30 | — | — | — | — | 14.11 | 10.15 | 5 | 0.37 | 6,7 | 0.16 | 6,7 | 0.15 | 4,7 | 5 | 4 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 12.33 | 0.37 | 4 | 0.80 | 1.17 | (0.22 | ) | (0.47 | ) | — | (0.69 | ) | 12.81 | 9.60 | 0.42 | 6 | 0.16 | 6 | 2.95 | 4 | 2 | 9 | |||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 12.78 | 0.24 | 4 | (0.43 | ) | (0.19 | ) | (0.23 | ) | (0.03 | ) | — | (0.26 | ) | 12.33 | (1.51 | ) | 0.40 | 6 | 0.17 | 6 | 1.89 | 4 | 1 | 20 | ||||||||||||||||||||||||||||||||||||||
12-31-2014 | 12.74 | 0.42 | 4 | 0.28 | 0.70 | (0.23 | ) | (0.43 | ) | — | (0.66 | ) | 12.78 | 5.47 | 0.56 | 6 | 0.14 | 6 | 3.16 | 4 | 1 | 38 | |||||||||||||||||||||||||||||||||||||||||
12-31-20138 | 12.50 | 0.13 | 4 | 0.36 | 0.49 | (0.12 | ) | — | (0.13 | ) | (0.25 | ) | 12.74 | 3.92 | 5 | 79.47 | 6,7 | 0.17 | 6,7 | 1.02 | 4,7 | — | 9 | — | 10 | ||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-17. Unaudited. 4. Recognition of net investment income by the portfolio is affected by the timing and frequency of the declaration of dividends by the underlying funds in which the portfolio invests. 5. Not annualized. 6. Ratios do not include expenses indirectly incurred from the underlying funds and can vary based on the mix of the underlying funds held by the portfolio. The range of expense ratios of the underlying funds held by the portfolio was as follows: 0.10% - 0.53%, 0.08% -0.53%, 0.09% - 0.53%, 0.53% - 0.53% and 0.10% - 0.50% for the periods ended 6-30-17, 12-31-16, 12-31-15, 12-31-14 and 12-31-13, respectively. 7. Annualized. 8. Period from 11-1-13 (commencement of operations) to 12-31-13. 9. Less than $500,000. 10. Less than 1%. 11. Less than $0.005 per share. |
Per share operating performance for a share outstanding throughout the period | Ratios and supplemental data | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations | Less distributions | Ratios to average net assets | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Period ended | Net asset value, beginning of period ($) | Net investment income (loss) ($)1 | Net real- ized and unrealized gain (loss) on invest- ments ($) | Total from investment oper- ations ($) | From net investment income ($) | From net realized gain ($) | From tax return of capital ($) | Total distri- butions ($) | Net asset value, end of period ($) | Total return (%)2 | Expenses before reductions (%) | Expenses including reductions (%) | Net investment income (loss) (%) | Net assets, end of period (in millions) | Portfolio turnover (%) | ||||||||||||||||||||||||||||||||||||||||||||||||
Lifestyle Balanced PS Series | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 13.78 | (0.01 | )4 | 0.89 | 0.88 | — | — | — | — | 14.66 | 6.39 | 5 | 0.12 | 6,7 | 0.12 | 6,7 | (0.12 | )4,6 | 30 | 2 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 13.59 | 0.32 | 4 | 0.51 | 0.83 | (0.31 | ) | (0.33 | ) | — | (0.64 | ) | 13.78 | 6.11 | 0.12 | 7 | 0.11 | 7 | 2.31 | 4 | 31 | 11 | |||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 14.18 | 0.34 | 4 | (0.34 | ) | — | 8 | (0.33 | ) | (0.26 | ) | — | (0.59 | ) | 13.59 | 0.05 | 0.12 | 7 | 0.11 | 7 | 2.35 | 4 | 30 | 9 | |||||||||||||||||||||||||||||||||||||||
12-31-2014 | 13.95 | 0.42 | 4 | 0.41 | 0.83 | (0.34 | ) | (0.26 | ) | — | (0.60 | ) | 14.18 | 5.96 | 0.12 | 7 | 0.11 | 7 | 2.95 | 4 | 28 | 27 | |||||||||||||||||||||||||||||||||||||||||
12-31-20139 | 13.99 | 0.16 | 4 | 0.09 | 0.25 | (0.26 | ) | (0.03 | ) | — | (0.29 | ) | 13.95 | 1.77 | 5 | 0.14 | 6,7 | 0.12 | 6,7 | 1.12 | 4,5 | — | 10 | 37 | 11 | ||||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 13.80 | (0.02 | )4 | 0.89 | 0.87 | — | — | — | — | 14.67 | 6.30 | 5 | 0.32 | 6,7 | 0.32 | 6,7 | (0.32 | )4,6 | 931 | 2 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 13.61 | 0.29 | 4 | 0.52 | 0.81 | (0.29 | ) | (0.33 | ) | — | (0.62 | ) | 13.80 | 5.89 | 0.32 | 7 | 0.31 | 7 | 2.06 | 4 | 909 | 11 | |||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 14.21 | 0.30 | 4 | (0.33 | ) | (0.03 | ) | (0.31 | ) | (0.26 | ) | — | (0.57 | ) | 13.61 | (0.22 | ) | 0.32 | 7 | 0.31 | 7 | 2.11 | 4 | 901 | 9 | ||||||||||||||||||||||||||||||||||||||
12-31-2014 | 13.98 | 0.35 | 4 | 0.45 | 0.80 | (0.31 | ) | (0.26 | ) | — | (0.57 | ) | 14.21 | 5.74 | 0.32 | 7 | 0.31 | 7 | 2.48 | 4 | 932 | 27 | |||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 12.92 | 0.25 | 4 | 1.38 | 1.63 | (0.23 | ) | (0.34 | ) | — | (0.57 | ) | 13.98 | 12.68 | 0.35 | 7 | 0.34 | 7 | 1.79 | 4 | 213 | 37 | |||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 11.80 | 0.13 | 4 | 1.11 | 1.24 | (0.10 | ) | (0.02 | ) | — | (0.12 | ) | 12.92 | 10.54 | 0.40 | 7,12 | 0.40 | 7 | 1.06 | 4 | 170 | 31 | |||||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 13.77 | — | 4,8 | 0.88 | 0.88 | — | — | — | — | 14.65 | 6.39 | 5 | 0.07 | 6,7 | 0.07 | 6,7 | (0.07 | )4,6 | 73 | 2 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 13.58 | 0.36 | 4 | 0.48 | 0.84 | (0.32 | ) | (0.33 | ) | — | (0.65 | ) | 13.77 | 6.16 | 0.07 | 7 | 0.06 | 7 | 2.58 | 4 | 63 | 11 | |||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 14.17 | 0.39 | 4 | (0.38 | ) | 0.01 | (0.34 | ) | (0.26 | ) | — | (0.60 | ) | 13.58 | 0.10 | 0.07 | 7 | 0.06 | 7 | 2.76 | 4 | 44 | 9 | ||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 13.95 | 0.47 | 4 | 0.36 | 0.83 | (0.35 | ) | (0.26 | ) | — | (0.61 | ) | 14.17 | 5.94 | 0.07 | 7 | 0.06 | 7 | 3.31 | 4 | 30 | 27 | |||||||||||||||||||||||||||||||||||||||||
12-31-20139 | 13.99 | 0.21 | 4 | 0.04 | 0.25 | (0.26 | ) | (0.03 | ) | — | (0.29 | ) | 13.95 | 1.82 | 5 | 0.10 | 6,7 | 0.08 | 6,7 | 1.49 | 4,5 | — | 10 | 37 | 11 | ||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-17. Unaudited. 4. Recognition of net investment income by the portfolio is affected by the timing and frequency of the declaration of dividends by the underlying funds in which the portfolio invests. 5. Not annualized. 6. Annualized. 7. Ratios do not include expenses indirectly incurred from the underlying funds and can vary based on the mix of the underlying funds held by the portfolio. The range of expense ratios of the underlying funds held by the portfolio was as follows: 0.53% - 0.59%, 0.53% - 0.59%, 0.53% - 0.59%, 0.53% - 0.59%, 0.50%–0.63%, and 0.49%–1.10% for the periods ended 6-30-17, 12-31-16, 12-31-15, 12-31-14, 12-31-13, and 12-31-12, respectively. 8. Less than $0.005 per share. 9. The inception date for Series I and Series NAV shares is 11-1-13. 10. Less than $500,000. 11. Portfolio turnover is shown for the period from 1-1-13 to 12-31-13. 12. Expense ratio has been revised to conform with current year presentation of expense recapture and net expense reductions. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Lifestyle Conservative PS Series | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 12.91 | (0.01 | )4 | 0.53 | 0.52 | — | — | — | — | 13.43 | 4.03 | 5 | 0.15 | 6,7 | 0.13 | 6,7 | (0.13 | )4,7 | 10 | 5 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 12.85 | 0.35 | 4 | 0.21 | 0.56 | (0.36 | ) | (0.14 | ) | — | (0.50 | ) | 12.91 | 4.39 | 0.14 | 6 | 0.13 | 6 | 2.65 | 4 | 9 | 19 | |||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 13.33 | 0.39 | 4 | (0.37 | ) | 0.02 | (0.36 | ) | (0.14 | ) | — | (0.50 | ) | 12.85 | 0.17 | 0.14 | 6 | 0.13 | 6 | 2.87 | 4 | 8 | 17 | ||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 13.18 | 0.53 | 4 | 0.20 | 0.73 | (0.38 | ) | (0.20 | ) | — | (0.58 | ) | 13.33 | 5.55 | 0.15 | 6 | 0.13 | 6 | 3.96 | 4 | 8 | 56 | |||||||||||||||||||||||||||||||||||||||||
12-31-20138 | 13.48 | 0.23 | 4 | (0.20 | ) | 0.03 | (0.28 | ) | (0.05 | ) | — | (0.33 | ) | 13.18 | 0.20 | 5 | 0.27 | 6,7 | 0.12 | 6,7 | 1.74 | 4,5 | — | 9 | 22 | 10 | |||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 12.93 | (0.02 | )4 | 0.53 | 0.51 | — | — | — | — | 13.44 | 3.94 | 5 | 0.35 | 6,7 | 0.33 | 6,7 | (0.33 | )4,7 | 174 | 5 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 12.87 | 0.31 | 4 | 0.23 | 0.54 | (0.34 | ) | (0.14 | ) | — | (0.48 | ) | 12.93 | 4.17 | 0.34 | 6 | 0.33 | 6 | 2.37 | 4 | 178 | 19 | |||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 13.35 | 0.33 | 4 | (0.33 | ) | — | 11 | (0.34 | ) | (0.14 | ) | — | (0.48 | ) | 12.87 | (0.03 | ) | 0.34 | 6 | 0.33 | 6 | 2.44 | 4 | 181 | 17 | ||||||||||||||||||||||||||||||||||||||
12-31-2014 | 13.19 | 0.40 | 4 | 0.31 | 0.71 | (0.35 | ) | (0.20 | ) | — | (0.55 | ) | 13.35 | 5.41 | 0.35 | 6 | 0.33 | 6 | 2.99 | 4 | 188 | 56 | |||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 13.15 | 0.23 | 4 | 0.28 | 0.51 | (0.25 | ) | (0.22 | ) | — | (0.47 | ) | 13.19 | 3.86 | 0.43 | 6 | 0.38 | 6 | 1.75 | 4 | 50 | 22 | |||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 12.36 | 0.17 | 4 | 0.76 | 0.93 | (0.14 | ) | — | 11 | — | (0.14 | ) | 13.15 | 7.53 | 0.45 | 6 | 0.40 | 6 | 1.34 | 4 | 59 | 16 | |||||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 12.90 | (0.01 | )4 | 0.54 | 0.53 | — | — | — | — | 13.43 | 4.11 | 5 | 0.10 | 6,7 | 0.08 | 6,7 | (0.08 | )4,7 | 3 | 5 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 12.85 | 0.61 | 4 | (0.05 | ) | 0.56 | (0.37 | ) | (0.14 | ) | — | (0.51 | ) | 12.90 | 4.36 | 0.10 | 6 | 0.08 | 6 | 4.67 | 4 | 3 | 19 | ||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 13.33 | 0.46 | 4 | (0.43 | ) | 0.03 | (0.37 | ) | (0.14 | ) | — | (0.51 | ) | 12.85 | 0.22 | 0.09 | 6 | 0.08 | 6 | 3.44 | 4 | 1 | 17 | ||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 13.17 | 0.60 | 4 | 0.15 | 0.75 | (0.39 | ) | (0.20 | ) | — | (0.59 | ) | 13.33 | 5.68 | 0.10 | 6 | 0.08 | 6 | 4.44 | 4 | — | 9 | 56 | ||||||||||||||||||||||||||||||||||||||||
12-31-20138 | 13.48 | 0.23 | 4 | (0.21 | ) | 0.02 | (0.28 | ) | (0.05 | ) | — | (0.33 | ) | 13.17 | 0.18 | 5 | 0.22 | 6,7 | 0.08 | 6,7 | 1.74 | 4,5 | — | 9 | 22 | 10 | |||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-17. Unaudited. 4. Recognition of net investment income by the portfolio is affected by the timing and frequency of the declaration of dividends by the underlying funds in which the portfolio invests. 5. Not annualized. 6. Ratios do not include expenses indirectly incurred from the underlying funds and can vary based on the mix of the underlying funds held by the portfolio. The range of expense ratios of the underlying funds held by the portfolio was as follows: 0.53% - 0.59%, 0.53% - 0.59%, 0.53% - 0.59%, 0.53% - 0.59%, 0.50%–0.63% and 0.49%–1.10% for the periods ended 6-30-17, 12-31-16, 12-31-15, 12-31-14, 12-31-13 and 12-31-12, respectively. 7. Annualized. 8. The inception date for Series I and Series NAV shares is 11-1-13. 9. Less than $500,000. 10. Portfolio turnover is shown for the period from 1-1-13 to 12-31-13. 11. Less than $0.005 per share. |
Per share operating performance for a share outstanding throughout the period | Ratios and supplemental data | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations | Less distributions | Ratios to average net assets | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Period ended | Net asset value, beginning of period ($) | Net investment income (loss) ($)1 | Net real- ized and unrealized gain (loss) on invest- ments ($) | Total from investment oper- ations ($) | From net investment income ($) | From net realized gain ($) | From tax return of capital ($) | Total distri- butions ($) | Net asset value, end of period ($) | Total return (%)2 | Expenses before reductions (%) | Expenses including reductions (%) | Net investment income (loss) (%) | Net assets, end of period (in millions) | Portfolio turnover (%) | ||||||||||||||||||||||||||||||||||||||||||||||||
Lifestyle Growth PS Series | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 14.53 | (0.01 | )4 | 1.17 | 1.16 | — | — | — | — | 15.69 | 7.98 | 5 | 0.12 | 6,7 | 0.11 | 6,7 | (0.11 | )4,6 | 101 | — | 8 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 14.23 | 0.46 | 4 | 0.56 | 1.02 | (0.27 | ) | (0.45 | ) | — | (0.72 | ) | 14.53 | 7.23 | 0.11 | 7 | 0.11 | 7 | 3.16 | 4 | 93 | 12 | 9 | ||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 14.85 | 0.32 | 4 | (0.34 | ) | (0.02 | ) | (0.32 | ) | (0.28 | ) | — | (0.60 | ) | 14.23 | (0.12 | ) | 0.11 | 7 | 0.11 | 7 | 2.11 | 4 | 39 | 9 | ||||||||||||||||||||||||||||||||||||||
12-31-2014 | 14.51 | 0.39 | 4 | 0.51 | 0.90 | (0.32 | ) | (0.24 | ) | — | (0.56 | ) | 14.85 | 6.17 | 0.11 | 7 | 0.11 | 7 | 2.61 | 4 | 37 | 18 | |||||||||||||||||||||||||||||||||||||||||
12-31-201310 | 14.31 | 0.02 | 4 | 0.39 | 11 | 0.41 | (0.19 | ) | (0.02 | ) | — | (0.21 | ) | 14.51 | 2.88 | 5 | 0.14 | 6,7 | 0.12 | 6,7 | 0.11 | 4,5 | 4 | 46 | 12 | ||||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 14.55 | (0.02 | )4 | 1.17 | 1.15 | — | — | — | — | 15.70 | 7.90 | 5 | 0.32 | 6,7 | 0.31 | 6,7 | (0.31 | )4,6 | 2,998 | — | 8 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 14.25 | 0.34 | 4 | 0.66 | 1.00 | (0.25 | ) | (0.45 | ) | — | (0.70 | ) | 14.55 | 7.02 | 0.31 | 7 | 0.31 | 7 | 2.35 | 4 | 2,889 | 12 | 9 | ||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 14.86 | 0.29 | 4 | (0.33 | ) | (0.04 | ) | (0.29 | ) | (0.28 | ) | — | (0.57 | ) | 14.25 | (0.25 | ) | 0.31 | 7 | 0.31 | 7 | 1.93 | 4 | 1,904 | 9 | ||||||||||||||||||||||||||||||||||||||
12-31-2014 | 14.53 | 0.34 | 4 | 0.52 | 0.86 | (0.29 | ) | (0.24 | ) | — | (0.53 | ) | 14.86 | 5.88 | 0.31 | 7 | 0.31 | 7 | 2.31 | 4 | 1,873 | 18 | |||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 12.75 | 0.23 | 4 | 2.16 | 2.39 | (0.17 | ) | (0.44 | ) | — | (0.61 | ) | 14.53 | 18.86 | 0.34 | 7 | 0.34 | 7 | 1.65 | 4 | 297 | 46 | |||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 11.44 | 0.09 | 4 | 1.33 | 1.42 | (0.08 | ) | (0.03 | ) | — | (0.11 | ) | 12.75 | 12.45 | 0.39 | 7,13 | 0.39 | 7 | 0.75 | 4 | 175 | 45 | 14 | ||||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 14.52 | — | 4,15 | 1.17 | 1.17 | — | — | — | — | 15.69 | 8.06 | 5 | 0.07 | 6,7 | 0.06 | 6,7 | (0.06 | )4,6 | 127 | — | 8 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 14.23 | 0.52 | 4 | 0.50 | 1.02 | (0.28 | ) | (0.45 | ) | — | (0.73 | ) | 14.52 | 7.21 | 0.06 | 7 | 0.06 | 7 | 3.59 | 4 | 109 | 12 | 9 | ||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 14.84 | 0.43 | 4 | (0.43 | ) | — | 15 | (0.33 | ) | (0.28 | ) | — | (0.61 | ) | 14.23 | — | 16 | 0.06 | 7 | 0.06 | 7 | 2.93 | 4 | 30 | 9 | ||||||||||||||||||||||||||||||||||||||
12-31-2014 | 14.50 | 0.75 | 4 | 0.16 | 0.91 | (0.33 | ) | (0.24 | ) | — | (0.57 | ) | 14.84 | 6.22 | 0.06 | 7 | 0.06 | 7 | 5.02 | 4 | 12 | 18 | |||||||||||||||||||||||||||||||||||||||||
12-31-201310 | 14.31 | 0.19 | 4 | 0.22 | 11 | 0.41 | (0.20 | ) | (0.02 | ) | — | (0.22 | ) | 14.50 | 2.86 | 5 | 0.09 | 6,7 | 0.08 | 6,7 | 1.33 | 4,5 | — | 17 | 46 | 12 | |||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-17. Unaudited. 4. Recognition of net investment income by the portfolio is affected by the timing and frequency of the declaration of dividends by the underlying funds in which the portfolio invests. 5. Not annualized. 6. Annualized. 7. Ratios do not include expenses indirectly incurred from the underlying funds and can vary based on the mix of the underlying funds held by the portfolio. The range of expense ratios of the underlying funds held by the portfolio was as follows: 0.53%-0.59%, 0.53%-0.59%, 0.53%-0.59%, 0.53%-0.59%, 0.50%–0.63% and 0.49%–1.10% for the periods ended 6-30-17, 12-31-16, 12-31-15, 12-31-14, 2-31-13 and 12-31-12, respectively. 8. Less than 1%. 9. Excludes merger activity. 10. The inception date for Series I and Series NAV shares is 11-1-13. 11. The amount shown for a share outstanding does not correspond with the aggregate net gain (loss) on investments for the period due to the timing of sales and repurchases of shares in relation to fluctuating market values of the investments of the portfolio. 12. Portfolio turnover is shown for the period from 1-1-13 to 12-31-13. 13. Expense ratio has been revised to conform with current year presentation of expense recapture and net expense reductions. 14. Increase in the portfolio turnover is directly attributed to in-kind transactions that are related to the reorganization of the underlying funds held by the Trust. 15. Less than $0.005 per share. 16. Less than 0.005%. 17. Less than $500,000. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Lifestyle Moderate PS Series | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 13.50 | (0.01 | )6 | 0.76 | 0.75 | — | — | — | — | 14.25 | 5.56 | 4 | 0.13 | 5,8 | 0.13 | 5,8 | (0.13 | )5,8 | 11 | 2 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 13.37 | 0.34 | 6 | 0.40 | 0.74 | (0.33 | ) | (0.28 | ) | — | (0.61 | ) | 13.50 | 5.50 | 0.13 | 8 | 0.12 | 8 | 2.48 | 6 | 10 | 14 | |||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 13.95 | 0.35 | 6 | (0.34 | ) | 0.01 | (0.34 | ) | (0.25 | ) | — | (0.59 | ) | 13.37 | 0.10 | 0.13 | 8 | 0.12 | 8 | 2.47 | 6 | 9 | 11 | ||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 13.82 | 0.43 | 6 | 0.38 | 0.81 | (0.36 | ) | (0.32 | ) | — | (0.68 | ) | 13.95 | 5.91 | 0.13 | 8 | 0.13 | 8 | 3.03 | 6 | 8 | 38 | |||||||||||||||||||||||||||||||||||||||||
12-31-20137 | 13.95 | 0.18 | 6 | (0.01 | ) | 0.17 | (0.26 | ) | (0.04 | ) | — | (0.30 | ) | 13.82 | 1.23 | 4 | 0.21 | 5,8 | 0.12 | 5,8 | 1.34 | 4,6 | — | 9 | 36 | 10 | |||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 13.52 | (0.02 | )6 | 0.76 | 0.74 | — | — | — | — | 14.26 | 5.47 | 4 | 0.33 | 5,8 | 0.33 | 5,8 | (0.33 | )5,6 | 297 | 2 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 13.39 | 0.29 | 6 | 0.42 | 0.71 | (0.30 | ) | (0.28 | ) | — | (0.58 | ) | 13.52 | 5.28 | 0.33 | 8 | 0.32 | 8 | 2.14 | 6 | 295 | 14 | |||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 13.97 | 0.30 | 6 | (0.32 | ) | (0.02 | ) | (0.31 | ) | (0.25 | ) | — | (0.56 | ) | 13.39 | (0.10 | ) | 0.33 | 8 | 0.32 | 8 | 2.17 | 6 | 304 | 11 | ||||||||||||||||||||||||||||||||||||||
12-31-2014 | 13.85 | 0.37 | 6 | 0.40 | 0.77 | (0.33 | ) | (0.32 | ) | — | (0.65 | ) | 13.97 | 5.61 | 0.33 | 8 | 0.33 | 8 | 2.64 | 6 | 323 | 38 | |||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 13.06 | 0.24 | 6 | 1.08 | 1.32 | (0.24 | ) | (0.29 | ) | — | (0.53 | ) | 13.85 | 10.12 | 0.40 | 8 | 0.38 | 8 | 1.75 | 6 | 92 | 36 | |||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 12.04 | 0.15 | 6 | 1.00 | 1.15 | (0.12 | ) | (0.01 | ) | — | (0.13 | ) | 13.06 | 9.55 | 0.42 | 8 | 0.40 | 8 | 1.21 | 6 | 84 | 25 | |||||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 13.49 | (0.01 | )6 | 0.77 | 0.76 | — | — | — | — | 14.25 | 5.63 | 4 | 0.08 | 5,8 | 0.08 | 5,8 | (0.08 | )5,6 | 17 | 2 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 13.36 | 0.41 | 6 | 0.34 | 0.75 | (0.34 | ) | (0.28 | ) | — | (0.62 | ) | 13.49 | 5.55 | 0.08 | 8 | 0.08 | 8 | 3.00 | 6 | 14 | 14 | |||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 13.94 | 0.47 | 6 | (0.45 | ) | 0.02 | (0.35 | ) | (0.25 | ) | — | (0.60 | ) | 13.36 | 0.15 | 0.08 | 8 | 0.07 | 8 | 3.36 | 6 | 8 | 11 | ||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 13.82 | 0.83 | 6 | (0.02 | ) | 0.81 | (0.37 | ) | (0.32 | ) | — | (0.69 | ) | 13.94 | 5.88 | 0.08 | 8 | 0.08 | 8 | 5.89 | 6 | 3 | 38 | ||||||||||||||||||||||||||||||||||||||||
12-31-20137 | 13.95 | 0.22 | 6 | (0.04 | ) | 0.18 | (0.27 | ) | (0.04 | ) | — | (0.31 | ) | 13.82 | 1.28 | 4 | 0.16 | 5,8 | 0.08 | 5,8 | 1.60 | 4,6 | — | 9 | 36 | 10 | |||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-17. Unaudited. 4. Not annualized. 5. Annualized. 6. Recognition of net investment income by the portfolio is affected by the timing and frequency of the declaration of dividends by the underlying funds in which the portfolio invests. 7. The inception date for Series I and Series NAV shares is 11-1-13. 8. Ratios do not include expenses indirectly incurred from the underlying funds and can vary based on the mix of the underlying funds held by the portfolio. The range of expense ratios of the underlying funds held by the portfolio was as follows: 0.53% - 0.59%, 0.53% - 0.59%, 0.53% - 0.59%, 0.53% - 0.59%, 0.50% - 0.63% and 0.49% - 1.10% for the periods ended 6-30-17, 21-31-16, 12-31-15, 12-31-14, 12-31-13 and 12-31-12, respectively. 9. Less than $500,000. 10. Portfolio turnover is shown for the period from 1-1-13 to 12-31-13. |
Per share operating performance for a share outstanding throughout the period | Ratios and supplemental data | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations | Less distributions | Ratios to average net assets | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Period ended | Net asset value, beginning of period ($) | Net investment income (loss) ($)1 | Net real- ized and unrealized gain (loss) on invest- ments ($) | Total from investment oper- ations ($) | From net investment income ($) | From net realized gain ($) | From tax return of capital ($) | Total distri- butions ($) | Net asset value, end of period ($) | Total return (%)2 | Expenses before reductions (%) | Expenses including reductions (%) | Net investment income (loss) (%) | Net assets, end of period (in millions) | Portfolio turnover (%) | ||||||||||||||||||||||||||||||||||||||||||||||||
Mid Cap Index Trust | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 21.32 | 0.12 | 1.12 | 1.24 | — | — | — | — | 22.56 | 5.82 | 4 | 0.56 | 5 | 0.45 | 5 | 1.08 | 5 | 861 | 12 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 19.66 | 0.25 | 3.56 | 3.81 | (0.24 | ) | (1.91 | ) | — | (2.15 | ) | 21.32 | 20.11 | 0.56 | 0.45 | 1.24 | 805 | 22 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 22.29 | 0.24 | (0.83 | ) | (0.59 | ) | (0.22 | ) | (1.82 | ) | — | (2.04 | ) | 19.66 | (2.59 | ) | 0.56 | 0.45 | 1.10 | 661 | 23 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 21.82 | 0.23 | 1.79 | 2.02 | (0.22 | ) | (1.33 | ) | — | (1.55 | ) | 22.29 | 9.35 | 0.56 | 0.46 | 1.05 | 679 | 14 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 17.45 | 0.21 | 5.50 | 5.71 | (0.22 | ) | (1.12 | ) | — | (1.34 | ) | 21.82 | 33.03 | 0.55 | 0.45 | 1.02 | 657 | 14 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 16.75 | 0.16 | 2.65 | 2.81 | (0.25 | ) | (1.86 | ) | — | (2.11 | ) | 17.45 | 17.48 | 0.55 | 0.49 | 0.91 | 453 | 8 | |||||||||||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 21.24 | 0.10 | 1.10 | 1.20 | — | — | — | — | 22.44 | 5.65 | 4 | 0.76 | 5 | 0.65 | 5 | 0.87 | 5 | 66 | 12 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 19.58 | 0.21 | 3.56 | 3.77 | (0.20 | ) | (1.91 | ) | — | (2.11 | ) | 21.24 | 19.92 | 0.76 | 0.65 | 1.03 | 68 | 22 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 22.22 | 0.20 | (0.84 | ) | (0.64 | ) | (0.18 | ) | (1.82 | ) | — | (2.00 | ) | 19.58 | (2.80 | ) | 0.76 | 0.65 | 0.89 | 63 | 23 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 21.76 | 0.19 | 1.77 | 1.96 | (0.17 | ) | (1.33 | ) | — | (1.50 | ) | 22.22 | 9.12 | 0.76 | 0.66 | 0.84 | 71 | 14 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 17.41 | 0.16 | 5.49 | 5.65 | (0.18 | ) | (1.12 | ) | — | (1.30 | ) | 21.76 | 32.76 | 0.75 | 0.65 | 0.81 | 82 | 14 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 16.71 | 0.12 | 2.66 | 2.78 | (0.22 | ) | (1.86 | ) | — | (2.08 | ) | 17.41 | 17.30 | 0.75 | 0.70 | 0.69 | 74 | 8 | |||||||||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 21.32 | 0.12 | 1.12 | 1.24 | — | — | — | — | 22.56 | 5.82 | 4 | 0.51 | 5 | 0.40 | 5 | 1.14 | 5 | 155 | 12 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 19.65 | 0.26 | 3.57 | 3.83 | (0.25 | ) | (1.91 | ) | — | (2.16 | ) | 21.32 | 20.17 | 0.51 | 0.40 | 1.30 | 134 | 22 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 22.29 | 0.25 | (0.84 | ) | (0.59 | ) | (0.23 | ) | (1.82 | ) | — | (2.05 | ) | 19.65 | (2.54 | ) | 0.51 | 0.40 | 1.15 | 105 | 23 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 21.82 | 0.25 | 1.78 | 2.03 | (0.23 | ) | (1.33 | ) | — | (1.56 | ) | 22.29 | 9.40 | 0.51 | 0.41 | 1.11 | 106 | 14 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 17.45 | 0.22 | 5.50 | 5.72 | (0.23 | ) | (1.12 | ) | — | (1.35 | ) | 21.82 | 33.09 | 0.50 | 0.40 | 1.06 | 88 | 14 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 16.75 | 0.12 | 2.70 | 2.82 | (0.26 | ) | (1.86 | ) | — | (2.12 | ) | 17.45 | 17.54 | 0.50 | 0.47 | 0.66 | 59 | 8 | |||||||||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-17. Unaudited. 4. Not annualized. 5. Annualized. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Mid Cap Stock Trust | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 14.16 | (0.03 | ) | 2.53 | 2.50 | — | — | — | — | 16.66 | 17.66 | 4 | 0.93 | 5 | 0.92 | 5 | (0.45 | )5 | 163 | 36 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 15.17 | (0.04 | ) | 0.16 | 0.12 | — | (1.13 | ) | — | (1.13 | ) | 14.16 | 0.59 | 0.90 | 6 | 0.89 | 6 | (0.27 | ) | 150 | 85 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 18.61 | (0.05 | ) | 0.55 | 0.50 | — | (3.94 | ) | — | (3.94 | ) | 15.17 | 3.00 | 0.92 | 0.91 | (0.28 | ) | 170 | 78 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 21.07 | (0.08 | ) | 1.68 | 1.60 | (0.02 | ) | (4.04 | ) | — | (4.06 | ) | 18.61 | 8.02 | 0.92 | 0.91 | (0.37 | ) | 188 | 103 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 15.68 | (0.05 | ) | 5.80 | 5.75 | (0.01 | ) | (0.35 | ) | — | (0.36 | ) | 21.07 | 36.82 | 0.92 | 0.92 | (0.27 | ) | 207 | 116 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 12.83 | — | 2.85 | 2.85 | — | — | — | — | 15.68 | 22.21 | 0.93 | 0.92 | 0.01 | 178 | 115 | ||||||||||||||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 13.45 | (0.05 | ) | 2.41 | 2.36 | — | — | — | — | 15.81 | 17.55 | 4 | 1.13 | 5 | 1.12 | 5 | (0.65 | )5 | 84 | 36 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 14.49 | (0.06 | ) | 0.15 | 0.09 | — | (1.13 | ) | — | (1.13 | ) | 13.45 | 0.41 | 1.10 | 6 | 1.09 | 6 | (0.47 | ) | 76 | 85 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 17.99 | (0.08 | ) | 0.52 | 0.44 | — | (3.94 | ) | — | (3.94 | ) | 14.49 | 2.75 | 1.12 | 1.11 | (0.48 | ) | 91 | 78 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 20.51 | (0.11 | ) | 1.63 | 1.52 | — | (4.04 | ) | — | (4.04 | ) | 17.99 | 7.82 | 1.12 | 1.11 | (0.58 | ) | 99 | 103 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 15.30 | (0.08 | ) | 5.64 | 5.56 | — | (0.35 | ) | — | (0.35 | ) | 20.51 | 36.51 | 1.12 | 1.12 | (0.47 | ) | 121 | 116 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 12.54 | (0.03 | ) | 2.79 | 2.76 | — | — | — | — | 15.30 | 22.01 | 1.13 | 1.12 | (0.19 | ) | 108 | 115 | ||||||||||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 14.31 | (0.03 | ) | 2.57 | 2.54 | — | — | — | — | 16.85 | 17.75 | 4 | 0.88 | 5 | 0.87 | 5 | (0.40 | )5 | 476 | 36 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 15.32 | (0.03 | ) | 0.15 | 0.12 | — | (1.13 | ) | — | (1.13 | ) | 14.31 | 0.58 | 0.85 | 6 | 0.84 | 6 | (0.22 | ) | 449 | 85 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 18.75 | (0.04 | ) | 0.55 | 0.51 | — | (3.94 | ) | — | (3.94 | ) | 15.32 | 3.04 | 0.87 | 0.86 | (0.23 | ) | 506 | 78 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 21.19 | (0.07 | ) | 1.70 | 1.63 | (0.03 | ) | (4.04 | ) | — | (4.07 | ) | 18.75 | 8.12 | 0.87 | 0.86 | (0.32 | ) | 562 | 103 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 15.77 | (0.04 | ) | 5.82 | 5.78 | (0.01 | ) | (0.35 | ) | — | (0.36 | ) | 21.19 | 36.84 | 0.87 | 0.87 | (0.23 | ) | 615 | 116 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 12.90 | 0.01 | 2.86 | 2.87 | — | — | — | — | 15.77 | 22.25 | 0.88 | 0.87 | 0.07 | 456 | 115 | ||||||||||||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-17. Unaudited. 4. Not annualized. 5. Annualized. 6. Includes reimbursement for overbilling of custody expenses in prior years of 0.03%. |
Per share operating performance for a share outstanding throughout the period | Ratios and supplemental data | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations | Less distributions | Ratios to average net assets | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Period ended | Net asset value, beginning of period ($) | Net investment income (loss) ($)1 | Net real- ized and unrealized gain (loss) on invest- ments ($) | Total from investment oper- ations ($) | From net investment income ($) | From net realized gain ($) | From tax return of capital ($) | Total distri- butions ($) | Net asset value, end of period ($) | Total return (%)2 | Expenses before reductions (%) | Expenses including reductions (%) | Net investment income (loss) (%) | Net assets, end of period (in millions) | Portfolio turnover (%) | ||||||||||||||||||||||||||||||||||||||||||||||||
Mid Value Trust | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 11.62 | 0.08 | 0.27 | 0.35 | — | — | — | — | 11.97 | 3.01 | 4 | 1.04 | 5 | 0.99 | 5 | 1.41 | 5 | 327 | 19 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 10.72 | 0.12 | 2.35 | 2.47 | (0.13 | ) | (1.44 | ) | — | (1.57 | ) | 11.62 | 24.02 | 1.02 | 6 | 0.96 | 6 | 1.03 | 339 | 56 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 13.96 | 0.13 | (0.68 | ) | (0.55 | ) | (0.14 | ) | (2.55 | ) | — | (2.69 | ) | 10.72 | (3.43 | ) | 1.04 | 0.98 | 0.99 | 276 | 47 | 7 | |||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 13.99 | 0.11 | 1.37 | 1.48 | (0.10 | ) | (1.41 | ) | — | (1.51 | ) | 13.96 | 10.60 | 1.04 | 0.98 | 0.77 | 347 | 32 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 11.49 | 0.09 | 3.47 | 3.56 | (0.13 | ) | (0.93 | ) | — | (1.06 | ) | 13.99 | 31.39 | 1.04 | 0.99 | 0.67 | 347 | 37 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 10.50 | 0.14 | 1.85 | 1.99 | (0.10 | ) | (0.90 | ) | — | (1.00 | ) | 11.49 | 19.42 | 1.04 | 0.99 | 1.21 | 284 | 38 | |||||||||||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 11.63 | 0.07 | 0.27 | 0.34 | — | — | — | — | 11.97 | 2.92 | 4 | 1.24 | 5 | 1.19 | 5 | 1.22 | 5 | 64 | 19 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 10.73 | 0.09 | 2.36 | 2.45 | (0.11 | ) | (1.44 | ) | — | (1.55 | ) | 11.63 | 23.77 | 1.21 | 6 | 1.16 | 6 | 0.83 | 67 | 56 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 13.97 | 0.10 | (0.67 | ) | (0.57 | ) | (0.12 | ) | (2.55 | ) | — | (2.67 | ) | 10.73 | (3.64 | ) | 1.24 | 1.18 | 0.79 | 59 | 47 | 7 | |||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 14.00 | 0.08 | 1.38 | 1.46 | (0.08 | ) | (1.41 | ) | — | (1.49 | ) | 13.97 | 10.39 | 1.24 | 1.18 | 0.57 | 76 | 32 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 11.50 | 0.06 | 3.48 | 3.54 | (0.11 | ) | (0.93 | ) | — | (1.04 | ) | 14.00 | 31.14 | 1.24 | 1.19 | 0.47 | 86 | 37 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 10.50 | 0.11 | 1.86 | 1.97 | (0.07 | ) | (0.90 | ) | — | (0.97 | ) | 11.50 | 19.29 | 1.24 | 1.19 | 0.99 | 80 | 38 | |||||||||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 11.56 | 0.09 | 0.26 | 0.35 | — | — | — | — | 11.91 | 3.03 | 4 | 0.99 | 5 | 0.94 | 5 | 1.45 | 5 | 434 | 19 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 10.67 | 0.12 | 2.34 | 2.46 | (0.13 | ) | (1.44 | ) | — | (1.57 | ) | 11.56 | 24.09 | 0.97 | 6 | 0.91 | 6 | 1.09 | 425 | 56 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 13.91 | 0.13 | (0.67 | ) | (0.54 | ) | (0.15 | ) | (2.55 | ) | — | (2.70 | ) | 10.67 | (3.40 | ) | 0.99 | 0.93 | 1.04 | 408 | 47 | 7 | |||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 13.94 | 0.12 | 1.37 | 1.49 | (0.11 | ) | (1.41 | ) | — | (1.52 | ) | 13.91 | 10.70 | 0.99 | 0.93 | 0.82 | 481 | 32 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 11.45 | 0.09 | 3.47 | 3.56 | (0.14 | ) | (0.93 | ) | — | (1.07 | ) | 13.94 | 31.47 | 0.99 | 0.94 | 0.72 | 532 | 37 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 10.47 | 0.14 | 1.84 | 1.98 | (0.10 | ) | (0.90 | ) | — | (1.00 | ) | 11.45 | 19.43 | 0.99 | 0.94 | 1.26 | 387 | 38 | |||||||||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-17. Unaudited. 4. Not annualized. 5. Annualized. 6. Includes reimbursement for overbilling of custody expenses in prior years of 0.02%. 7. The portfolio turnover rate for the year ended 12-31-15 has been revised from what was previously reported to exclude the effect of certain short-term investments in a collateral management vehicle. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Mutual Shares Trust | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 11.74 | 0.10 | 0.53 | 0.63 | — | — | — | — | 12.37 | 5.37 | 4 | 1.10 | 5 | 1.09 | 5 | 1.68 | 5 | 173 | 9 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 11.76 | 0.28 | 1.56 | 1.84 | (0.76 | ) | (1.10 | ) | — | (1.86 | ) | 11.74 | 16.71 | 1.06 | 1.05 | 2.35 | 173 | 26 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 14.02 | 0.24 | (0.90 | ) | (0.66 | ) | (0.29 | ) | (1.31 | ) | — | (1.60 | ) | 11.76 | (4.68 | ) | 1.06 | 1.05 | 1.74 | 172 | 22 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 13.75 | 0.37 | 6 | 0.63 | 1.00 | (0.47 | ) | (0.26 | ) | — | (0.73 | ) | 14.02 | 7.21 | 1.03 | 1.03 | 2.62 | 6 | 200 | 19 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 10.86 | 0.20 | 2.87 | 3.07 | (0.18 | ) | — | — | (0.18 | ) | 13.75 | 28.32 | 1.03 | 1.02 | 1.63 | 220 | 27 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 9.65 | 0.18 | 1.18 | 1.36 | (0.15 | ) | — | — | (0.15 | ) | 10.86 | 14.13 | 1.06 | 1.05 | 1.73 | 203 | 28 | ||||||||||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-17. Unaudited. 4. Not annualized. 5. Annualized. 6. Net investment income per share and the percentage of average net assets reflect special dividends received by the portfolio, which amounted to $0.10 and 0.74%, respectively. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Real Estate Securities Trust | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 18.65 | 0.27 | 0.32 | 0.59 | — | — | — | — | 19.24 | 3.16 | 4 | 0.80 | 5 | 0.79 | 5 | 2.87 | 5 | 79 | 93 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 18.08 | 0.44 | 0.78 | 1.22 | (0.65 | ) | — | — | (0.65 | ) | 18.65 | 6.92 | 0.74 | 6 | 0.74 | 6 | 2.32 | 85 | 147 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 17.95 | 0.36 | 0.11 | 0.47 | (0.34 | ) | — | — | (0.34 | ) | 18.08 | 2.68 | 0.79 | 0.79 | 2.02 | 90 | 152 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 13.84 | 0.30 | 4.08 | 4.38 | (0.27 | ) | — | — | (0.27 | ) | 17.95 | 31.73 | 0.79 | 0.79 | 1.88 | 104 | 131 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 14.13 | 0.30 | (0.31 | ) | (0.01 | ) | (0.28 | ) | — | — | (0.28 | ) | 13.84 | (0.10 | ) | 0.80 | 0.79 | 2.02 | 83 | 104 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 12.26 | 0.21 | 1.90 | 2.11 | (0.24 | ) | — | — | (0.24 | ) | 14.13 | 17.26 | 0.79 | 0.79 | 1.58 | 95 | 99 | ||||||||||||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 18.68 | 0.25 | 0.32 | 0.57 | — | — | — | — | 19.25 | 3.05 | 4 | 1.00 | 5 | 0.99 | 5 | 2.68 | 5 | 48 | 93 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 18.11 | 0.40 | 0.78 | 1.18 | (0.61 | ) | — | — | (0.61 | ) | 18.68 | 6.69 | 0.94 | 6 | 0.93 | 6 | 2.11 | 51 | 147 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 17.97 | 0.32 | 0.13 | 0.45 | (0.31 | ) | — | — | (0.31 | ) | 18.11 | 2.46 | 0.99 | 0.99 | 1.80 | 55 | 152 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 13.86 | 0.27 | 4.08 | 4.35 | (0.24 | ) | — | — | (0.24 | ) | 17.97 | 31.52 | 0.99 | 0.99 | 1.65 | 66 | 131 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 14.16 | 0.27 | (0.32 | ) | (0.05 | ) | (0.25 | ) | — | — | (0.25 | ) | 13.86 | (0.38 | ) | 1.00 | 0.99 | 1.80 | 58 | 104 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 12.28 | 0.19 | 1.90 | 2.09 | (0.21 | ) | — | — | (0.21 | ) | 14.16 | 17.09 | 0.99 | 0.99 | 1.37 | 72 | 99 | ||||||||||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 18.53 | 0.27 | 0.32 | 0.59 | — | — | — | — | 19.12 | 3.13 | 4 | 0.75 | 5 | 0.74 | 5 | 2.92 | 5 | 249 | 93 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 17.97 | 0.45 | 0.77 | 1.22 | (0.66 | ) | — | — | (0.66 | ) | 18.53 | 6.96 | 0.69 | 6 | 0.69 | 6 | 2.37 | 267 | 147 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 17.84 | 0.38 | 0.10 | 0.48 | (0.35 | ) | — | — | (0.35 | ) | 17.97 | 2.80 | 0.74 | 0.74 | 2.12 | 271 | 152 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 13.76 | 0.31 | 4.05 | 4.36 | (0.28 | ) | — | — | (0.28 | ) | 17.84 | 31.75 | 0.74 | 0.74 | 1.93 | 283 | 131 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 14.05 | 0.31 | (0.31 | ) | — | 7 | (0.29 | ) | — | — | (0.29 | ) | 13.76 | (0.05 | ) | 0.75 | 0.74 | 2.10 | 224 | 104 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 12.19 | 0.22 | 1.88 | 2.10 | (0.24 | ) | — | — | (0.24 | ) | 14.05 | 17.33 | 0.74 | 0.74 | 1.65 | 231 | 99 | ||||||||||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-17. Unaudited. 4. Not annualized. 5. Annualized. 6. Includes reimbursement for overbilling of custody expenses in prior years of 0.06%. 7. Less than $0.005 per share. |
Per share operating performance for a share outstanding throughout the period | Ratios and supplemental data | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations | Less distributions | Ratios to average net assets | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Period ended | Net asset value, beginning of period ($) | Net investment income (loss) ($)1 | Net real- ized and unrealized gain (loss) on invest- ments ($) | Total from investment oper- ations ($) | From net investment income ($) | From net realized gain ($) | From tax return of capital ($) | Total distri- butions ($) | Net asset value, end of period ($) | Total return (%)2 | Expenses before reductions (%) | Expenses including reductions (%) | Net investment income (loss) (%) | Net assets, end of period (in millions) | Portfolio turnover (%) | ||||||||||||||||||||||||||||||||||||||||||||||||
Science & Technology Trust | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 22.48 | (0.02 | ) | 4.84 | 4.82 | — | — | — | — | 27.30 | 21.44 | 4 | 1.12 | 5 | 1.08 | 5 | (0.16 | )5 | 539 | 42 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 23.78 | 0.02 | 1.99 | 2.01 | — | (3.31 | ) | — | (3.31 | ) | 22.48 | 8.39 | 1.12 | 6 | 1.07 | 6 | 0.09 | 425 | 111 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 27.08 | (0.08 | ) | 1.43 | 1.35 | — | (4.65 | ) | — | (4.65 | ) | 23.78 | 6.69 | 1.12 | 1.07 | (0.32 | ) | 437 | 118 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 24.73 | (0.07 | ) | 3.25 | 3.18 | — | (0.83 | ) | — | (0.83 | ) | 27.08 | 12.89 | 1.11 | 1.07 | (0.29 | ) | 420 | 100 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 17.23 | (0.03 | ) | 7.53 | 7.50 | — | — | — | — | 24.73 | 43.53 | 1.13 | 1.10 | (0.15 | ) | 375 | 105 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 15.60 | (0.03 | ) | 1.66 | 1.63 | — | — | — | — | 17.23 | 10.45 | 1.16 | 1.13 | (0.16 | ) | 282 | 89 | ||||||||||||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 21.68 | (0.04 | ) | 4.66 | 4.62 | — | — | — | — | 26.30 | 21.31 | 4 | 1.32 | 5 | 1.28 | 5 | (0.35 | )5 | 51 | 42 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 23.09 | (0.02 | ) | 1.92 | 1.90 | — | (3.31 | ) | — | (3.31 | ) | 21.68 | 8.15 | 1.32 | 6 | 1.27 | 6 | (0.11 | ) | 42 | 111 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 26.48 | �� | (0.13 | ) | 1.39 | 1.26 | — | (4.65 | ) | — | (4.65 | ) | 23.09 | 6.49 | 1.32 | 1.27 | (0.52 | ) | 45 | 118 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 24.24 | (0.12 | ) | 3.19 | 3.07 | — | (0.83 | ) | — | (0.83 | ) | 26.48 | 12.70 | 1.31 | 1.27 | (0.49 | ) | 48 | 100 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 16.92 | (0.07 | ) | 7.39 | 7.32 | — | — | — | — | 24.24 | 43.26 | 1.33 | 1.30 | (0.35 | ) | 49 | 105 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 15.35 | (0.06 | ) | 1.63 | 1.57 | — | — | — | — | 16.92 | 10.23 | 1.36 | 1.33 | (0.37 | ) | 41 | 89 | ||||||||||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 22.68 | (0.01 | ) | 4.88 | 4.87 | — | — | — | — | 27.55 | 21.47 | 4 | 1.07 | 5 | 1.03 | 5 | (0.10 | )5 | 40 | 42 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 23.96 | 0.03 | 2.00 | 2.03 | — | (3.31 | ) | — | (3.31 | ) | 22.68 | 8.41 | 1.07 | 6 | 1.02 | 6 | 0.14 | 34 | 111 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 27.23 | (0.07 | ) | 1.45 | 1.38 | — | (4.65 | ) | — | (4.65 | ) | 23.96 | 6.77 | 1.07 | 1.02 | (0.27 | ) | 29 | 118 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 24.85 | (0.06 | ) | 3.27 | 3.21 | — | (0.83 | ) | — | (0.83 | ) | 27.23 | 12.95 | 1.06 | 1.02 | (0.24 | ) | 23 | 100 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 17.31 | (0.02 | ) | 7.56 | 7.54 | — | — | — | — | 24.85 | 43.56 | 1.08 | 1.05 | (0.10 | ) | 19 | 105 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 15.66 | (0.03 | ) | 1.68 | 1.65 | — | — | — | — | 17.31 | 10.54 | 1.11 | 1.08 | (0.15 | ) | 13 | 89 | ||||||||||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-17. Unaudited. 4. Not annualized. 5. Annualized. 6. Includes reimbursement for overbilling of custody expenses in prior years of 0.01%. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Small Cap Growth Trust | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 8.01 | (0.02 | ) | 1.09 | 1.07 | — | — | — | — | 9.08 | 13.36 | 4 | 1.15 | 5 | 1.14 | 5 | (0.58 | )5 | 84 | 44 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 8.61 | (0.02 | ) | 0.20 | 0.18 | — | (0.78 | ) | — | (0.78 | ) | 8.01 | 2.29 | 1.09 | 6 | 1.08 | 6 | (0.28 | ) | 79 | 95 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 11.68 | (0.05 | ) | (0.87 | ) | (0.92 | ) | — | (2.15 | ) | — | (2.15 | ) | 8.61 | (8.85 | ) | 1.14 | 1.13 | (0.46 | ) | 96 | 87 | |||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 12.82 | (0.10 | ) | 1.00 | 0.90 | — | (2.04 | ) | — | (2.04 | ) | 11.68 | 7.57 | 1.14 | 1.13 | (0.81 | ) | 117 | 83 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 9.29 | (0.08 | ) | 4.13 | 4.05 | — | (0.52 | ) | — | (0.52 | ) | 12.82 | 44.08 | 1.15 | 1.15 | (0.71 | ) | 128 | 114 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 9.18 | (0.03 | ) | 1.51 | 1.48 | — | (1.37 | ) | — | (1.37 | ) | 9.29 | 16.47 | 1.16 | 1.15 | (0.31 | ) | 83 | 132 | ||||||||||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 7.65 | (0.03 | ) | 1.04 | 1.01 | — | — | — | — | 8.66 | 13.20 | 4 | 1.35 | 5 | 1.34 | 5 | (0.78 | )5 | 30 | 44 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 8.27 | (0.04 | ) | 0.20 | 0.16 | — | (0.78 | ) | — | (0.78 | ) | 7.65 | 2.14 | 1.29 | 6 | 1.28 | 6 | (0.47 | ) | 28 | 95 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 11.33 | (0.07 | ) | (0.84 | ) | (0.91 | ) | — | (2.15 | ) | — | (2.15 | ) | 8.27 | (9.06 | ) | 1.34 | 1.33 | (0.66 | ) | 32 | 87 | |||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 12.52 | (0.12 | ) | 0.97 | 0.85 | — | (2.04 | ) | — | (2.04 | ) | 11.33 | 7.34 | 1.34 | 1.33 | (1.01 | ) | 35 | 83 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 9.10 | (0.10 | ) | 4.04 | 3.94 | — | (0.52 | ) | — | (0.52 | ) | 12.52 | 43.79 | 1.35 | 1.35 | (0.91 | ) | 46 | 114 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 9.03 | (0.05 | ) | 1.49 | 1.44 | — | (1.37 | ) | — | (1.37 | ) | 9.10 | 16.29 | 1.36 | 1.35 | (0.51 | ) | 31 | 132 | ||||||||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 8.09 | (0.02 | ) | 1.11 | 1.09 | — | — | — | — | 9.18 | 13.47 | 4 | 1.10 | 5 | 1.09 | 5 | (0.53 | )5 | 281 | 44 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 8.69 | (0.02 | ) | 0.20 | 0.18 | — | (0.78 | ) | — | (0.78 | ) | 8.09 | 2.27 | 1.04 | 6 | 1.03 | 6 | (0.22 | ) | 267 | 95 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 11.76 | (0.04 | ) | (0.88 | ) | (0.92 | ) | — | (2.15 | ) | — | (2.15 | ) | 8.69 | (8.78 | ) | 1.09 | 1.08 | (0.40 | ) | 297 | 87 | |||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 12.89 | (0.09 | ) | 1.00 | 0.91 | — | (2.04 | ) | — | (2.04 | ) | 11.76 | 7.60 | 1.09 | 1.08 | (0.76 | ) | 350 | 83 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 9.33 | (0.07 | ) | 4.15 | 4.08 | — | (0.52 | ) | — | (0.52 | ) | 12.89 | 44.21 | 1.10 | 1.10 | (0.66 | ) | 393 | 114 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 9.21 | (0.02 | ) | 1.51 | 1.49 | — | (1.37 | ) | — | (1.37 | ) | 9.33 | 16.52 | 1.11 | 1.10 | (0.24 | ) | 278 | 132 | ||||||||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-17. Unaudited. 4. Not annualized. 5. Annualized. 6. Includes reimbursement for overbilling of custody expenses in prior years of 0.06%. |
Per share operating performance for a share outstanding throughout the period | Ratios and supplemental data | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations | Less distributions | Ratios to average net assets | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Period ended | Net asset value, beginning of period ($) | Net investment income (loss) ($)1 | Net real- ized and unrealized gain (loss) on invest- ments ($) | Total from investment oper- ations ($) | From net investment income ($) | From net realized gain ($) | From tax return of capital ($) | Total distri- butions ($) | Net asset value, end of period ($) | Total return (%)2 | Expenses before reductions (%) | Expenses including reductions (%) | Net investment income (loss) (%) | Net assets, end of period (in millions) | Portfolio turnover (%) | ||||||||||||||||||||||||||||||||||||||||||||||||
Small Cap Index Trust | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 14.74 | 0.08 | 0.64 | 0.72 | — | — | — | — | 15.46 | 4.88 | 4 | 0.57 | 5 | 0.52 | 5 | 1.07 | 5 | 399 | 15 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 13.28 | 0.16 | 2.51 | 2.67 | (0.15 | ) | (1.06 | ) | — | (1.21 | ) | 14.74 | 20.98 | 0.58 | 0.52 | 1.18 | 366 | 22 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 15.40 | 0.16 | (0.87 | ) | (0.71 | ) | (0.15 | ) | (1.26 | ) | — | (1.41 | ) | 13.28 | (4.58 | ) | 0.58 | 0.52 | 1.06 | 286 | 19 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 15.83 | 0.14 | 0.55 | 0.69 | (0.14 | ) | (0.98 | ) | — | (1.12 | ) | 15.40 | 4.59 | 0.57 | 0.52 | 0.93 | 302 | 20 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 12.39 | 0.15 | 4.57 | 4.72 | (0.22 | ) | (1.06 | ) | — | (1.28 | ) | 15.83 | 38.58 | 0.57 | 0.52 | 1.03 | 317 | 17 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 13.15 | 0.24 | 1.72 | 1.96 | (0.26 | ) | (2.46 | ) | — | (2.72 | ) | 12.39 | 16.10 | 0.56 | 0.54 | 1.77 | 208 | 13 | |||||||||||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 14.66 | 0.06 | 0.65 | 0.71 | — | — | — | — | 15.37 | 4.84 | 4 | 0.77 | 5 | 0.72 | 5 | 0.86 | 5 | 42 | 15 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 13.22 | 0.13 | 2.50 | 2.63 | (0.13 | ) | (1.06 | ) | — | (1.19 | ) | 14.66 | 20.70 | 0.78 | 0.72 | 0.98 | 45 | 22 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 15.34 | 0.13 | (0.87 | ) | (0.74 | ) | (0.12 | ) | (1.26 | ) | — | (1.38 | ) | 13.22 | (4.79 | ) | 0.78 | 0.72 | 0.85 | 40 | 19 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 15.77 | 0.11 | 0.55 | 0.66 | (0.11 | ) | (0.98 | ) | — | (1.09 | ) | 15.34 | 4.41 | 0.77 | 0.72 | 0.72 | 52 | 20 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 12.35 | 0.12 | 4.55 | 4.67 | (0.19 | ) | (1.06 | ) | — | (1.25 | ) | 15.77 | 38.31 | 0.77 | 0.72 | 0.81 | 64 | 17 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 13.12 | 0.21 | 1.72 | 1.93 | (0.24 | ) | (2.46 | ) | — | (2.70 | ) | 12.35 | 15.82 | 0.76 | 0.74 | 1.55 | 60 | 13 | |||||||||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 14.75 | 0.08 | 0.65 | 0.73 | — | — | — | — | 15.48 | 4.95 | 4 | 0.53 | 5 | 0.47 | 5 | 1.12 | 5 | 125 | 15 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 13.29 | 0.17 | 2.51 | 2.68 | (0.16 | ) | (1.06 | ) | — | (1.22 | ) | 14.75 | 21.01 | 0.53 | 0.47 | 1.23 | 115 | 22 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 15.42 | 0.17 | (0.88 | ) | (0.71 | ) | (0.16 | ) | (1.26 | ) | — | (1.42 | ) | 13.29 | (4.59 | ) | 0.53 | 0.47 | 1.12 | 87 | 19 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 15.84 | 0.15 | 0.56 | 0.71 | (0.15 | ) | (0.98 | ) | — | (1.13 | ) | 15.42 | 4.71 | 0.52 | 0.47 | 1.00 | 95 | 20 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 12.39 | 0.16 | 4.57 | 4.73 | (0.22 | ) | (1.06 | ) | — | (1.28 | ) | 15.84 | 38.72 | 0.52 | 0.47 | 1.08 | 76 | 17 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 13.16 | 0.20 | 1.76 | 1.96 | (0.27 | ) | (2.46 | ) | — | (2.73 | ) | 12.39 | 16.06 | 0.51 | 0.49 | 1.42 | 50 | 13 | |||||||||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-17. Unaudited. 4. Not annualized. 5. Annualized. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Small Cap Opportunities Trust | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 31.06 | 0.03 | 0.68 | 0.71 | — | — | — | — | 31.77 | 2.29 | 4 | 1.10 | 5 | 1.02 | 5 | 0.18 | 5 | 94 | 11 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 28.76 | 0.12 | 5.16 | 5.28 | (0.14 | ) | (2.84 | ) | — | (2.98 | ) | 31.06 | 19.47 | 1.08 | 6 | 0.99 | 6 | 0.43 | 99 | 32 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 31.56 | 0.12 | (1.75 | ) | (1.63 | ) | (0.03 | ) | (1.14 | ) | — | (1.17 | ) | 28.76 | (5.17 | ) | 1.10 | 1.00 | 0.39 | 94 | 25 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 30.84 | 0.02 | 0.71 | 0.73 | (0.01 | ) | — | — | (0.01 | ) | 31.56 | 2.38 | 1.10 | 1.00 | 0.08 | 112 | 40 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 22.13 | 0.01 | 8.87 | 8.88 | (0.17 | ) | — | — | (0.17 | ) | 30.84 | 40.16 | 1.11 | 1.02 | 0.05 | 131 | 22 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 18.94 | 0.12 | 3.07 | 3.19 | — | — | — | — | 22.13 | 16.84 | 1.11 | 1.02 | 0.59 | 32 | 25 | ||||||||||||||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 30.58 | — | 7 | 0.67 | 0.67 | — | — | — | — | 31.25 | 2.19 | 4 | 1.30 | 5 | 1.22 | 5 | (0.02 | )5 | 38 | 11 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 28.35 | 0.07 | 5.08 | 5.15 | (0.08 | ) | (2.84 | ) | — | (2.92 | ) | 30.58 | 19.25 | 1.28 | 6 | 1.19 | 6 | 0.23 | 39 | 32 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 31.16 | 0.06 | (1.73 | ) | (1.67 | ) | — | (1.14 | ) | — | (1.14 | ) | 28.35 | (5.34 | ) | 1.30 | 1.20 | 0.19 | 39 | 25 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 30.51 | (0.04 | ) | 0.69 | 0.65 | — | — | — | — | 31.16 | 2.13 | 1.30 | 1.20 | (0.12 | ) | 46 | 40 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 21.90 | (0.04 | ) | 8.78 | 8.74 | (0.13 | ) | — | — | (0.13 | ) | 30.51 | 39.92 | 1.31 | 1.22 | (0.17 | ) | 57 | 22 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 18.78 | 0.08 | 3.04 | 3.12 | — | — | — | — | 21.90 | 16.61 | 1.31 | 1.22 | 0.37 | 32 | 25 | ||||||||||||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 30.90 | 0.04 | 0.69 | 0.73 | — | — | — | — | 31.63 | 2.36 | 4 | 1.05 | 5 | 0.97 | 5 | 0.23 | 5 | 87 | 11 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 28.63 | 0.14 | 5.13 | 5.27 | (0.16 | ) | (2.84 | ) | — | (3.00 | ) | 30.90 | 19.51 | 1.03 | 6 | 0.94 | 6 | 0.48 | 85 | 32 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 31.42 | 0.14 | (1.75 | ) | (1.61 | ) | (0.04 | ) | (1.14 | ) | — | (1.18 | ) | 28.63 | (5.12 | ) | 1.05 | 0.95 | 0.44 | 86 | 25 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 30.70 | 0.04 | 0.70 | 0.74 | (0.02 | ) | — | — | (0.02 | ) | 31.42 | 2.43 | 1.05 | 0.95 | 0.14 | 124 | 40 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 22.02 | 0.02 | 8.84 | 8.86 | (0.18 | ) | — | — | (0.18 | ) | 30.70 | 40.27 | 1.06 | 0.97 | 0.08 | 125 | 22 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 18.84 | 0.13 | 3.05 | 3.18 | — | — | — | — | 22.02 | 16.88 | 1.06 | 0.97 | 0.63 | 91 | 25 | ||||||||||||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-17. Unaudited. 4. Not annualized. 5. Annualized. 6. Includes reimbursement for overbilling of custody expenses in prior years of 0.03%. 7. Less than $0.005 per share. |
Per share operating performance for a share outstanding throughout the period | Ratios and supplemental data | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations | Less distributions | Ratios to average net assets | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Period ended | Net asset value, beginning of period ($) | Net investment income (loss) ($)1 | Net real- ized and unrealized gain (loss) on invest- ments ($) | Total from investment oper- ations ($) | From net investment income ($) | From net realized gain ($) | From tax return of capital ($) | Total distri- butions ($) | Net asset value, end of period ($) | Total return (%)2 | Expenses before reductions (%) | Expenses including reductions (%) | Net investment income (loss) (%) | Net assets, end of period (in millions) | Portfolio turnover (%) | ||||||||||||||||||||||||||||||||||||||||||||||||
Small Cap Value Trust | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 21.51 | 0.18 | (0.74 | ) | (0.56 | ) | — | — | — | — | 20.95 | (2.60 | )4 | 1.12 | 5 | 1.11 | 5 | 1.75 | 5 | 332 | 11 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 20.30 | 0.14 | 4.14 | 4.28 | (0.14 | ) | (2.93 | ) | — | (3.07 | ) | 21.51 | 22.67 | 1.10 | 6 | 1.10 | 6 | 0.69 | 373 | 16 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 24.61 | 0.12 | (0.62 | ) | (0.50 | ) | (0.10 | ) | (3.71 | ) | — | (3.81 | ) | 20.30 | (1.36 | ) | 1.12 | 1.11 | 0.51 | 323 | 22 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 26.09 | 0.16 | 7 | 1.55 | 1.71 | (0.16 | ) | (3.03 | ) | — | (3.19 | ) | 24.61 | 7.18 | 1.12 | 1.12 | 0.63 | 7 | 349 | 22 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 20.70 | 0.06 | 6.79 | 6.85 | (0.13 | ) | (1.33 | ) | — | (1.46 | ) | 26.09 | 33.32 | 1.13 | 1.12 | 0.23 | 376 | 24 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 18.94 | 0.23 | 2.65 | 2.88 | (0.17 | ) | (0.95 | ) | — | (1.12 | ) | 20.70 | 15.63 | 1.13 | 1.13 | 1.17 | 270 | 19 | |||||||||||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 21.40 | 0.16 | (0.73 | ) | (0.57 | ) | — | — | — | — | 20.83 | (2.66 | )4 | 1.32 | 5 | 1.31 | 5 | 1.54 | 5 | 35 | 11 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 20.21 | 0.10 | 4.12 | 4.22 | (0.10 | ) | (2.93 | ) | — | (3.03 | ) | 21.40 | 22.45 | 1.30 | 6 | 1.29 | 6 | 0.49 | 41 | 16 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 24.52 | 0.07 | (0.62 | ) | (0.55 | ) | (0.05 | ) | (3.71 | ) | — | (3.76 | ) | 20.21 | (1.57 | ) | 1.32 | 1.31 | 0.30 | 36 | 22 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 26.01 | 0.11 | 7 | 1.54 | 1.65 | (0.11 | ) | (3.03 | ) | — | (3.14 | ) | 24.52 | 6.96 | 1.32 | 1.32 | 0.43 | 7 | 43 | 22 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 20.66 | 0.01 | 6.77 | 6.78 | (0.10 | ) | (1.33 | ) | — | (1.43 | ) | 26.01 | 33.00 | 1.33 | 1.32 | 0.03 | 49 | 24 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 18.89 | 0.18 | 2.67 | 2.85 | (0.13 | ) | (0.95 | ) | — | (1.08 | ) | 20.66 | 15.50 | 1.33 | 1.33 | 0.90 | 39 | 19 | |||||||||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 21.44 | 0.19 | (0.73 | ) | (0.54 | ) | — | — | — | — | 20.90 | (2.52 | )4 | 1.07 | 5 | 1.07 | 5 | 1.78 | 5 | 297 | 11 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 20.25 | 0.15 | 4.12 | 4.27 | (0.15 | ) | (2.93 | ) | — | (3.08 | ) | 21.44 | 22.68 | 1.05 | 6 | 1.05 | 6 | 0.74 | 313 | 16 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 24.56 | 0.13 | (0.62 | ) | (0.49 | ) | (0.11 | ) | (3.71 | ) | — | (3.82 | ) | 20.25 | (1.31 | ) | 1.07 | 1.06 | 0.56 | 292 | 22 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 26.04 | 0.17 | 7 | 1.55 | 1.72 | (0.17 | ) | (3.03 | ) | — | (3.20 | ) | 24.56 | 7.25 | 1.07 | 1.07 | 0.68 | 7 | 330 | 22 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 20.67 | 0.07 | 6.77 | 6.84 | (0.14 | ) | (1.33 | ) | — | (1.47 | ) | 26.04 | 33.33 | 1.08 | 1.07 | 0.28 | 371 | 24 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 18.90 | 0.24 | 2.66 | 2.90 | (0.18 | ) | (0.95 | ) | — | (1.13 | ) | 20.67 | 15.78 | 1.08 | 1.08 | 1.20 | 314 | 19 | |||||||||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-17. Unaudited. 4. Not annualized. 5. Annualized. 6. Includes reimbursement for overbilling of custody expenses in prior years of 0.02%. 7. Net investment income per share and the percentage of average net assets reflect special dividends received by the portfolio, which amounted to $0.06 and 0.22% for all series, respectively. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Small Company Growth Trust | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 25.66 | (0.04 | ) | 2.74 | 2.70 | — | — | — | — | 28.36 | 10.52 | 4 | 1.07 | 5 | 1.07 | 5 | (0.33 | )5 | 124 | 13 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 27.06 | (0.03 | )6 | 2.94 | 2.91 | — | (4.31 | ) | — | (4.31 | ) | 25.66 | 11.34 | 1.07 | 7 | 1.06 | 7 | (0.13 | )6 | 116 | 36 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 27.63 | (0.08 | ) | (0.40 | ) | (0.48 | ) | — | (0.09 | ) | — | (0.09 | ) | 27.06 | (1.75 | ) | 1.07 | 1.06 | (0.27 | ) | 112 | 30 | |||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 25.62 | (0.02 | )8 | 2.03 | 2.01 | — | — | — | — | 27.63 | 7.85 | 1.06 | 1.05 | (0.08 | )8 | 134 | 30 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 18.34 | (0.04 | ) | 7.37 | 7.33 | (0.05 | ) | — | — | (0.05 | ) | 25.62 | 39.98 | 1.07 | 1.06 | (0.20 | ) | 158 | 32 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 15.50 | 0.04 | 2.80 | 2.84 | — | — | — | — | 18.34 | 18.32 | 1.07 | 1.07 | 0.24 | 106 | 28 | ||||||||||||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-17. Unaudited. 4. Not annualized. 5. Annualized. 6. Net investment income per share and the percentage of average net assets reflect special dividends received by the portfolio, which amounted to $0.09 and 0.36%, respectively. 7. Includes reimbursement for overbilling of custody expenses in prior years of 0.01%. 8. Net investment income per share and the percentage of average net assets reflect special dividends received by the portfolio, which amounted to $0.09 and 0.35%, respectively. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Small Company Value Trust | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 22.06 | 0.05 | 0.27 | 0.32 | — | — | — | — | 22.38 | 1.45 | 4 | 1.15 | 5 | 1.09 | 5 | 0.45 | 5 | 65 | 6 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 19.68 | 0.17 | 5.72 | 5.89 | (0.15 | ) | (3.36 | ) | — | (3.51 | ) | 22.06 | 32.32 | 1.12 | 6 | 1.06 | 6 | 0.83 | 72 | 24 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 24.72 | 0.20 | (1.61 | ) | (1.41 | ) | (0.30 | ) | (3.33 | ) | — | (3.63 | ) | 19.68 | (5.60 | ) | 1.13 | 1.07 | 0.86 | 60 | 35 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 25.26 | 0.14 | (0.12 | ) | 0.02 | (0.01 | ) | (0.55 | ) | — | (0.56 | ) | 24.72 | 0.11 | 1.12 | 1.06 | 0.55 | 74 | 16 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 19.50 | 0.07 | 6.08 | 6.15 | (0.39 | ) | — | — | (0.39 | ) | 25.26 | 31.61 | 1.13 | 1.07 | 0.32 | 88 | 7 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 16.81 | 0.26 | 2.48 | 2.74 | (0.05 | ) | — | — | (0.05 | ) | 19.50 | 16.30 | 1.13 | 1.07 | 1.41 | 79 | 5 | ||||||||||||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 21.71 | 0.03 | 0.27 | 0.30 | — | — | — | — | 22.01 | 1.38 | 4 | 1.35 | 5 | 1.29 | 5 | 0.25 | 5 | 54 | 6 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 19.42 | 0.13 | 5.63 | 5.76 | (0.11 | ) | (3.36 | ) | — | (3.47 | ) | 21.71 | 32.05 | 1.32 | 6 | 1.26 | 6 | 0.63 | 58 | 24 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 24.40 | 0.15 | (1.58 | ) | (1.43 | ) | (0.22 | ) | (3.33 | ) | — | (3.55 | ) | 19.42 | (5.79 | ) | 1.33 | 1.27 | 0.66 | 49 | 35 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 24.99 | 0.08 | (0.12 | ) | (0.04 | ) | — | (0.55 | ) | — | (0.55 | ) | 24.40 | (0.12 | ) | 1.32 | 1.26 | 0.34 | 61 | 16 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 19.32 | 0.03 | 6.02 | 6.05 | (0.38 | ) | — | — | (0.38 | ) | 24.99 | 31.41 | 1.33 | 1.27 | 0.12 | 75 | 7 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 16.66 | 0.22 | 2.46 | 2.68 | (0.02 | ) | — | — | (0.02 | ) | 19.32 | 16.11 | 1.33 | 1.27 | 1.20 | 73 | 5 | ||||||||||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 22.00 | 0.05 | 0.28 | 0.33 | — | — | — | — | 22.33 | 1.50 | 4 | 1.10 | 5 | 1.04 | 5 | 0.50 | 5 | 157 | 6 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 19.64 | 0.17 | 5.71 | 5.88 | (0.16 | ) | (3.36 | ) | — | (3.52 | ) | 22.00 | 32.33 | 1.07 | 6 | 1.01 | 6 | 0.86 | 156 | 24 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 24.69 | 0.21 | (1.60 | ) | (1.39 | ) | (0.33 | ) | (3.33 | ) | — | (3.66 | ) | 19.64 | (5.51 | ) | 1.08 | 1.02 | 0.91 | 187 | 35 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 25.22 | 0.15 | (0.12 | ) | 0.03 | (0.01 | ) | (0.55 | ) | — | (0.56 | ) | 24.69 | 0.14 | 1.07 | 1.01 | 0.60 | 224 | 16 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 19.46 | 0.09 | 6.06 | 6.15 | (0.39 | ) | — | — | (0.39 | ) | 25.22 | 31.68 | 1.08 | 1.02 | 0.38 | 259 | 7 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 16.76 | 0.27 | 2.48 | 2.75 | (0.05 | ) | — | — | (0.05 | ) | 19.46 | 16.41 | 1.08 | 1.02 | 1.49 | 216 | 5 | ||||||||||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-17. Unaudited. 4. Not annualized. 5. Annualized. 6. Includes reimbursement for overbilling of custody expenses in prior years of 0.03%. |
Per share operating performance for a share outstanding throughout the period | Ratios and supplemental data | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations | Less distributions | Ratios to average net assets | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Period ended | Net asset value, beginning of period ($) | Net investment income (loss) ($)1 | Net real- ized and unrealized gain (loss) on invest- ments ($) | Total from investment oper- ations ($) | From net investment income ($) | From net realized gain ($) | From tax return of capital ($) | Total distri- butions ($) | Net asset value, end of period ($) | Total return (%)2 | Expenses before reductions (%) | Expenses including reductions (%) | Net investment income (loss) (%) | Net assets, end of period (in millions) | Portfolio turnover (%) | ||||||||||||||||||||||||||||||||||||||||||||||||
Strategic Equity Allocation Trust | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 16.86 | 0.19 | 1.56 | 1.75 | — | — | — | — | 18.61 | 10.38 | 4 | 0.66 | 5 | 0.53 | 5 | 2.13 | 5 | 11,350 | 3 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 16.09 | 0.32 | 1.08 | 1.40 | (0.29 | ) | (0.34 | ) | — | (0.63 | ) | 16.86 | 8.81 | 0.67 | 0.53 | 1.96 | 11,117 | 14 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 17.14 | 0.31 | (0.39 | ) | (0.08 | ) | (0.32 | ) | (0.65 | ) | — | (0.97 | ) | 16.09 | (0.35 | ) | 0.67 | 0.53 | 1.83 | 9,945 | 7 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 16.85 | 0.33 | 0.75 | 1.08 | (0.32 | ) | (0.47 | ) | — | (0.79 | ) | 17.14 | 6.40 | 0.66 | 0.52 | 1.92 | 11,176 | 13 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 13.27 | 0.27 | 3.60 | 3.87 | (0.25 | ) | (0.04 | ) | — | (0.29 | ) | 16.85 | 29.23 | 0.66 | 0.50 | 1.77 | 11,162 | 19 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-20126 | 12.50 | 0.20 | 0.70 | 0.90 | (0.13 | ) | — | — | (0.13 | ) | 13.27 | 7.26 | 4 | 0.67 | 5 | 0.49 | 5 | 2.22 | 5 | 8,003 | 10 | ||||||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-17. Unaudited. 4. Not annualized. 5. Annualized. 6. Period from 4-16-12 (commencement of operations) to 12-31-12. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total Stock Market Index Trust | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 19.21 | 0.15 | 1.51 | 1.66 | — | — | — | — | 20.87 | 8.64 | 4 | 0.58 | 5 | 0.57 | 5 | 1.52 | 5 | 576 | 1 | 6 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 17.61 | 0.29 | 1.87 | 2.16 | (0.26 | ) | (0.30 | ) | — | (0.56 | ) | 19.21 | 12.38 | 0.57 | 0.57 | 1.61 | 473 | 3 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 18.53 | 0.26 | (0.40 | ) | (0.14 | ) | (0.24 | ) | (0.54 | ) | — | (0.78 | ) | 17.61 | (0.64 | ) | 0.57 | 0.56 | 1.41 | 440 | 4 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 17.08 | 0.24 | 1.71 | 1.95 | (0.21 | ) | (0.29 | ) | — | (0.50 | ) | 18.53 | 11.47 | 0.57 | 0.56 | 1.38 | 465 | 5 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 13.15 | 0.21 | 4.16 | 4.37 | (0.22 | ) | (0.22 | ) | — | (0.44 | ) | 17.08 | 33.39 | 0.56 | 0.56 | 1.38 | 424 | 3 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 11.59 | 0.21 | 1.58 | 1.79 | (0.20 | ) | (0.03 | ) | — | (0.23 | ) | 13.15 | 15.50 | 0.57 | 0.57 | 1.65 | 295 | 6 | |||||||||||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 19.15 | 0.13 | 1.51 | 1.64 | — | — | — | — | 20.79 | 8.56 | 4 | 0.78 | 5 | 0.77 | 5 | 1.32 | 5 | 43 | 1 | 6 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 17.56 | 0.25 | 1.87 | 2.12 | (0.23 | ) | (0.30 | ) | — | (0.53 | ) | 19.15 | 12.15 | 0.77 | 0.77 | 1.41 | 36 | 3 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 18.48 | 0.22 | (0.40 | ) | (0.18 | ) | (0.20 | ) | (0.54 | ) | — | (0.74 | ) | 17.56 | (0.83 | ) | 0.77 | 0.76 | 1.20 | 35 | 4 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 17.03 | 0.21 | 1.71 | 1.92 | (0.18 | ) | (0.29 | ) | — | (0.47 | ) | 18.48 | 11.30 | 0.77 | 0.76 | 1.17 | 42 | 5 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 13.12 | 0.18 | 4.14 | 4.32 | (0.19 | ) | (0.22 | ) | — | (0.41 | ) | 17.03 | 33.09 | 0.76 | 0.76 | 1.19 | 44 | 3 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 11.57 | 0.18 | 1.57 | 1.75 | (0.17 | ) | (0.03 | ) | — | (0.20 | ) | 13.12 | 15.22 | 0.77 | 0.77 | 1.44 | 41 | 6 | |||||||||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 19.20 | 0.16 | 1.51 | 1.67 | — | — | — | — | 20.87 | 8.70 | 4 | 0.53 | 5 | 0.52 | 5 | 1.57 | 5 | 152 | 1 | 6 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 17.61 | 0.30 | 1.86 | 2.16 | (0.27 | ) | (0.30 | ) | — | (0.57 | ) | 19.20 | 12.38 | 0.52 | 0.52 | 1.67 | 132 | 3 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 18.52 | 0.27 | (0.39 | ) | (0.12 | ) | (0.25 | ) | (0.54 | ) | — | (0.79 | ) | 17.61 | (0.53 | ) | 0.52 | 0.51 | 1.46 | 99 | 4 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 17.08 | 0.25 | 1.70 | 1.95 | (0.22 | ) | (0.29 | ) | — | (0.51 | ) | 18.52 | 11.46 | 0.52 | 0.51 | 1.43 | 95 | 5 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 13.15 | 0.22 | 4.16 | 4.38 | (0.23 | ) | (0.22 | ) | — | (0.45 | ) | 17.08 | 33.45 | 0.51 | 0.51 | 1.44 | 88 | 3 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 11.59 | 0.22 | 1.57 | 1.79 | (0.20 | ) | (0.03 | ) | — | (0.23 | ) | 13.15 | 15.56 | 0.52 | 0.52 | 1.71 | 66 | 6 | |||||||||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-17. Unaudited. 4. Not annualized. 5. Annualized. 6. Excludes merger activity. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Utilities Trust | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 12.60 | 0.20 | 1.06 | 1.26 | — | — | — | — | 13.86 | 10.00 | 4 | 0.94 | 5 | 0.93 | 5 | 3.03 | 5 | 280 | 15 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 12.05 | 0.39 | 0.99 | 1.38 | (0.60 | ) | (0.23 | ) | — | (0.83 | ) | 12.60 | 11.36 | 0.89 | 6 | 0.88 | 6 | 3.00 | 278 | 31 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 16.27 | 0.38 | (2.66 | ) | (2.28 | ) | (0.46 | ) | (1.48 | ) | — | (1.94 | ) | 12.05 | (14.76 | ) | 0.92 | 0.92 | 2.51 | 298 | 37 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 15.44 | 0.49 | 7 | 1.48 | 1.97 | (0.51 | ) | (0.63 | ) | — | (1.14 | ) | 16.27 | 12.59 | 0.93 | 0.92 | 2.93 | 7 | 441 | 53 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 13.06 | 0.48 | 2.20 | 2.68 | (0.30 | ) | — | — | (0.30 | ) | 15.44 | 20.57 | 0.95 | 0.95 | 3.25 | 416 | 58 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 11.92 | 0.40 | 1.21 | 1.61 | (0.47 | ) | — | — | (0.47 | ) | 13.06 | 13.65 | 0.97 | 0.97 | 3.17 | 141 | 52 | ||||||||||||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 12.47 | 0.19 | 1.04 | 1.23 | — | — | — | — | 13.70 | 9.86 | 4 | 1.14 | 5 | 1.13 | 5 | 2.84 | 5 | 15 | 15 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 11.93 | 0.36 | 0.98 | 1.34 | (0.57 | ) | (0.23 | ) | — | (0.80 | ) | 12.47 | 11.16 | 1.09 | 6 | 1.08 | 6 | 2.80 | 15 | 31 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 16.14 | 0.34 | (2.64 | ) | (2.30 | ) | (0.43 | ) | (1.48 | ) | — | (1.91 | ) | 11.93 | (15.02 | ) | 1.12 | 1.12 | 2.30 | 15 | 37 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 15.32 | 0.46 | 7 | 1.47 | 1.93 | (0.48 | ) | (0.63 | ) | — | (1.11 | ) | 16.14 | 12.41 | 1.13 | 1.12 | 2.79 | 7 | 23 | 53 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 12.96 | 0.41 | 2.22 | 2.63 | (0.27 | ) | — | — | (0.27 | ) | 15.32 | 20.35 | 1.15 | 1.15 | 2.81 | 25 | 58 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 11.84 | 0.37 | 1.19 | 1.56 | (0.44 | ) | — | — | (0.44 | ) | 12.96 | 13.36 | 1.17 | 1.17 | 2.95 | 25 | 52 | ||||||||||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 12.58 | 0.21 | 1.05 | 1.26 | — | — | — | — | 13.84 | 10.02 | 4 | 0.89 | 5 | 0.88 | 5 | 3.11 | 5 | 30 | 15 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 12.03 | 0.39 | 0.99 | 1.38 | (0.60 | ) | (0.23 | ) | — | (0.83 | ) | 12.58 | 11.43 | 0.84 | 6 | 0.84 | 6 | 3.02 | 28 | 31 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 16.26 | 0.39 | (2.67 | ) | (2.28 | ) | (0.47 | ) | (1.48 | ) | — | (1.95 | ) | 12.03 | (14.79 | ) | 0.87 | 0.87 | 2.58 | 30 | 37 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 15.42 | 0.50 | 7 | 1.49 | 1.99 | (0.52 | ) | (0.63 | ) | — | (1.15 | ) | 16.26 | 12.72 | 0.88 | 0.87 | 2.98 | 7 | 40 | 53 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 13.04 | 0.45 | 2.24 | 2.69 | (0.31 | ) | — | — | (0.31 | ) | 15.42 | 20.65 | 0.90 | 0.90 | 3.06 | 32 | 58 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 11.91 | 0.39 | 1.21 | 1.60 | (0.47 | ) | — | — | (0.47 | ) | 13.04 | 13.64 | 0.92 | 0.92 | 3.14 | 27 | 52 | ||||||||||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-17. Unaudited. 4. Not annualized. 5. Annualized. 6. Includes reimbursement for overbilling of custody expenses in prior years of 0.04%. 7. Net investment income per share and the percentage of average net assets reflects special dividends received by the portfolio, which amounted to $0.09 and 0.52% for all series, respectively. |
Per share operating performance for a share outstanding throughout the period | Ratios and supplemental data | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations | Less distributions | Ratios to average net assets | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Period ended | Net asset value, beginning of period ($) | Net investment income (loss) ($)1 | Net real- ized and unrealized gain (loss) on invest- ments ($) | Total from investment oper- ations ($) | From net investment income ($) | From net realized gain ($) | From tax return of capital ($) | Total distri- butions ($) | Net asset value, end of period ($) | Total return (%)2 | Expenses before reductions (%) | Expenses including reductions (%) | Net investment income (loss) (%) | Net assets, end of period (in millions) | Portfolio turnover (%) | ||||||||||||||||||||||||||||||||||||||||||||||||
Value Trust | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 21.17 | 0.05 | 0.36 | 0.41 | — | — | — | — | 21.58 | 1.94 | 4 | 0.82 | 5 | 0.81 | 5 | 0.47 | 5 | 437 | 23 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 20.16 | 0.31 | 2.74 | 3.05 | (0.15 | ) | (1.89 | ) | — | (2.04 | ) | 21.17 | 15.76 | 0.79 | 0.78 | 1.56 | 471 | 35 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 25.74 | 0.14 | (2.29 | ) | (2.15 | ) | (0.13 | ) | (3.30 | ) | — | (3.43 | ) | 20.16 | (8.89 | ) | 0.78 | 0.77 | 0.57 | 493 | 26 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 25.95 | 0.14 | 2.39 | 2.53 | (0.12 | ) | (2.62 | ) | — | (2.74 | ) | 25.74 | 9.82 | 0.78 | 0.77 | 0.53 | 600 | 49 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 19.31 | 0.15 | 6.68 | 6.83 | (0.19 | ) | — | — | (0.19 | ) | 25.95 | 35.40 | 0.79 | 0.79 | 0.64 | 523 | 42 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 16.58 | 0.20 | 2.68 | 2.88 | (0.15 | ) | — | — | (0.15 | ) | 19.31 | 17.42 | 0.82 | 0.81 | 1.11 | 409 | 24 | ||||||||||||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 21.07 | 0.03 | 0.35 | 0.38 | — | — | — | — | 21.45 | 1.80 | 4 | 1.02 | 5 | 1.01 | 5 | 0.27 | 5 | 24 | 23 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 20.07 | 0.28 | 2.72 | 3.00 | (0.11 | ) | (1.89 | ) | — | (2.00 | ) | 21.07 | 15.57 | 0.99 | 0.98 | 1.38 | 26 | 35 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 25.65 | 0.09 | (2.29 | ) | (2.20 | ) | (0.08 | ) | (3.30 | ) | — | (3.38 | ) | 20.07 | (9.12 | ) | 0.98 | 0.97 | 0.37 | 26 | 26 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 25.87 | 0.09 | 2.38 | 2.47 | (0.07 | ) | (2.62 | ) | — | (2.69 | ) | 25.65 | 9.61 | 0.98 | 0.97 | 0.33 | 33 | 49 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 19.26 | 0.10 | 6.66 | 6.76 | (0.15 | ) | — | — | (0.15 | ) | 25.87 | 35.10 | 0.99 | 0.99 | 0.44 | 36 | 42 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 16.54 | 0.16 | 2.68 | 2.84 | (0.12 | ) | — | — | (0.12 | ) | 19.26 | 17.18 | 1.02 | 1.01 | 0.87 | 30 | 24 | ||||||||||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 21.13 | 0.06 | 0.36 | 0.42 | — | — | — | — | 21.55 | 1.99 | 4 | 0.77 | 5 | 0.76 | 5 | 0.52 | 5 | 30 | 23 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 20.13 | 0.32 | 2.73 | 3.05 | (0.16 | ) | (1.89 | ) | — | (2.05 | ) | 21.13 | 15.78 | 0.74 | 0.73 | 1.58 | 32 | 35 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 25.71 | 0.15 | (2.29 | ) | (2.14 | ) | (0.14 | ) | (3.30 | ) | — | (3.44 | ) | 20.13 | (8.86 | ) | 0.73 | 0.72 | 0.63 | 35 | 26 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 25.92 | 0.15 | 2.39 | 2.54 | (0.13 | ) | (2.62 | ) | — | (2.75 | ) | 25.71 | 9.88 | 0.73 | 0.72 | 0.57 | 31 | 49 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 19.29 | 0.16 | 6.67 | 6.83 | (0.20 | ) | — | — | (0.20 | ) | 25.92 | 35.44 | 0.74 | 0.74 | 0.68 | 33 | 42 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 16.56 | 0.21 | 2.68 | 2.89 | (0.16 | ) | — | — | (0.16 | ) | 19.29 | 17.50 | 0.77 | 0.76 | 1.14 | 24 | 24 | ||||||||||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-17. Unaudited. 4. Not annualized. 5. Annualized. |
Total Value at 6-30-17 | Level 1 Quoted Price | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Alpha Opportunities Trust | |||||||||||||||||||
Common stocks | |||||||||||||||||||
Consumer discretionary | $ | 16,511,665 | $ | 15,769,095 | $ | 597,618 | $ | 144,952 | |||||||||||
Consumer staples | 7,080,144 | 7,004,690 | 75,454 | — | |||||||||||||||
Energy | 5,332,344 | 5,332,344 | — | — | |||||||||||||||
Financials | 30,133,799 | 29,371,292 | 762,507 | — | |||||||||||||||
Health care | 16,068,382 | 15,078,227 | 990,155 | — | |||||||||||||||
Industrials | 18,884,667 | 17,972,436 | 912,231 | — | |||||||||||||||
Information technology | 24,720,792 | 23,276,919 | 1,367,943 | 75,930 | |||||||||||||||
Materials | 6,890,266 | 6,890,266 | — | — | |||||||||||||||
Real estate | 1,588,581 | 1,456,258 | — | 132,323 | |||||||||||||||
Telecommunication services | 1,161,562 | 1,161,562 | — | — | |||||||||||||||
Utilities | 2,145,175 | 2,145,175 | — | — | |||||||||||||||
Preferred securities | 11,924,751 | — | — | 11,924,751 | |||||||||||||||
Warrants | 3,735 | 3,735 | — | — | |||||||||||||||
Rights | 2,694 | 2,694 | — | — | |||||||||||||||
Short-term investments | 4,300,000 | — | 4,300,000 | — | |||||||||||||||
Total investments in securities | $ | 146,748,557 | $ | 125,464,693 | $ | 9,005,908 | $ | 12,277,956 | |||||||||||
Blue Chip Growth Trust | |||||||||||||||||||
Common stocks | |||||||||||||||||||
Consumer discretionary | $ | 389,209,605 | $ | 389,209,605 | — | — | |||||||||||||
Consumer staples | 35,097,231 | 35,097,231 | — | �� | — | ||||||||||||||
Financials | 160,121,620 | 160,121,620 | — | — | |||||||||||||||
Health care | 288,956,133 | 288,956,133 | — | — | |||||||||||||||
Industrials | 131,157,145 | 131,157,145 | — | — | |||||||||||||||
Information technology | 638,888,462 | 606,360,658 | $ | 32,527,804 | — | ||||||||||||||
Materials | 9,351,706 | 9,351,706 | — | — | |||||||||||||||
Real estate | 34,588,674 | 34,588,674 | — | — | |||||||||||||||
Utilities | 3,797,523 | 3,797,523 | — | — | |||||||||||||||
Securities lending collateral | 17,786,627 | 17,786,627 | — | — | |||||||||||||||
Short-term investments | 13,847,382 | 13,847,382 | — | — | |||||||||||||||
Total investments in securities | $ | 1,722,802,108 | $ | 1,690,274,304 | $ | 32,527,804 | — | ||||||||||||
Capital Appreciation Trust | |||||||||||||||||||
Common stocks | |||||||||||||||||||
Consumer discretionary | $ | 249,333,893 | $ | 216,486,966 | $ | 32,846,927 | — | ||||||||||||
Consumer staples | 30,152,288 | 30,152,288 | — | — | |||||||||||||||
Energy | 9,113,778 | 9,113,778 | — | — | |||||||||||||||
Financials | 30,526,834 | 30,526,834 | — | — | |||||||||||||||
Health care | 114,174,660 | 114,174,660 | — | — | |||||||||||||||
Industrials | 49,573,582 | 49,573,582 | — | — | |||||||||||||||
Information technology | 487,578,789 | 454,402,546 | 33,176,243 | — | |||||||||||||||
Materials | 9,275,700 | 9,275,700 | — | — | |||||||||||||||
Real estate | 12,134,303 | 12,134,303 | — | — | |||||||||||||||
Securities lending collateral | 5,471,742 | 5,471,742 | — | — | |||||||||||||||
Short-term investments | 3,507,662 | 3,507,662 | — | — | |||||||||||||||
Total investments in securities | $ | 1,000,843,231 | $ | 934,820,061 | $ | 66,023,170 | — | ||||||||||||
Capital Appreciation Value Trust | |||||||||||||||||||
Common stocks | |||||||||||||||||||
Consumer discretionary | $ | 36,469,452 | $ | 36,469,452 | — | — | |||||||||||||
Consumer staples | 30,755,261 | 27,614,079 | $ | 3,141,182 | — | ||||||||||||||
Energy | 5,883,118 | 3,359,860 | 2,523,258 | — | |||||||||||||||
Financials | 29,982,462 | 29,982,462 | — | — | |||||||||||||||
Health care | 63,317,011 | 61,932,893 | 1,384,118 | — |
Total Value at 6-30-17 | Level 1 Quoted Price | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Capital Appreciation Value Trust (continued) | |||||||||||||||||||
Industrials | $ | 16,692,033 | $ | 14,689,630 | $ | 2,002,403 | — | ||||||||||||
Information technology | 47,384,334 | 47,384,334 | — | — | |||||||||||||||
Materials | 2,139,076 | 2,139,076 | — | — | |||||||||||||||
Real estate | 7,140,132 | 7,140,132 | — | — | |||||||||||||||
Utilities | 7,724,171 | 7,724,171 | — | — | |||||||||||||||
Preferred securities | 13,594,233 | 13,594,233 | — | — | |||||||||||||||
Corporate bonds | 80,362,599 | — | 80,362,599 | — | |||||||||||||||
Term loans | 5,361,458 | — | 5,361,458 | — | |||||||||||||||
Asset backed securities | 894,663 | — | 894,663 | — | |||||||||||||||
Securities lending collateral | 661,307 | 661,307 | — | — | |||||||||||||||
Short-term investments | 54,035,088 | 51,609,088 | 2,426,000 | — | |||||||||||||||
Total investments in securities | $ | 402,396,398 | $ | 304,300,717 | $ | 98,095,681 | — | ||||||||||||
Other financial instruments: | |||||||||||||||||||
Written options | ($1,979,841 | ) | ($1,585 | ) | ($1,978,256 | ) | — | ||||||||||||
Core Strategy Trust | |||||||||||||||||||
Affiliated investment companies | |||||||||||||||||||
Equity | $ | 2,650,419,097 | $ | 2,650,419,097 | — | — | |||||||||||||
Fixed income | 1,084,055,718 | 1,084,055,718 | — | — | |||||||||||||||
Common stocks | |||||||||||||||||||
Consumer discretionary | 2 | 2 | — | — | |||||||||||||||
Consumer staples | 504 | — | $ | 504 | — | ||||||||||||||
Health care | 250 | — | — | $ | 250 | ||||||||||||||
Industrials | 62 | — | — | 62 | |||||||||||||||
Total investments in securities | $ | 3,734,475,633 | $ | 3,734,474,817 | $ | 504 | $ | 312 | |||||||||||
Emerging Markets Value Trust | |||||||||||||||||||
Common stocks | |||||||||||||||||||
Australia | $ | 14,755 | — | $ | 14,755 | — | |||||||||||||
Brazil | 25,941,594 | $ | 25,941,594 | — | — | ||||||||||||||
Chile | 7,844,522 | 7,844,522 | — | — | |||||||||||||||
China | 87,693,606 | 6,511,933 | 80,751,277 | $ | 430,396 | ||||||||||||||
Colombia | 2,981,640 | 2,981,640 | — | — | |||||||||||||||
Czech Republic | 1,711,345 | — | 1,711,345 | — | |||||||||||||||
Greece | 499,199 | — | 499,199 | — | |||||||||||||||
Hong Kong | 22,011,715 | 2,059,620 | 19,613,284 | 338,811 | |||||||||||||||
Hungary | 2,546,502 | — | 2,546,502 | — | |||||||||||||||
India | 81,900,828 | 2,687,676 | 78,973,713 | 239,439 | |||||||||||||||
Indonesia | 18,328,451 | — | 18,314,820 | 13,631 | |||||||||||||||
Malaysia | 18,386,380 | — | 18,386,380 | — | |||||||||||||||
Malta | 59,859 | — | 59,859 | — | |||||||||||||||
Mexico | 29,830,825 | 29,830,825 | — | — | |||||||||||||||
Philippines | 8,473,982 | — | 8,473,865 | 117 | |||||||||||||||
Poland | 10,757,516 | — | 10,757,516 | — | |||||||||||||||
Russia | 11,973,040 | — | 11,973,040 | — | |||||||||||||||
South Africa | 43,153,851 | 4,215,305 | 38,938,546 | — | |||||||||||||||
South Korea | 113,621,581 | 19,158,220 | 94,341,929 | 121,432 | |||||||||||||||
Taiwan | 109,099,912 | 2,600,217 | 106,499,695 | — | |||||||||||||||
Thailand | 17,053,924 | — | 17,048,870 | 5,054 | |||||||||||||||
Turkey | 7,985,860 | — | 7,982,586 | 3,274 | |||||||||||||||
Ukraine | 242,524 | — | 242,524 | — | |||||||||||||||
Preferred securities | |||||||||||||||||||
Brazil | 17,551,226 | 17,551,226 | — | — | |||||||||||||||
Colombia | 661,436 | 661,436 | — | — | |||||||||||||||
India | 63,477 | — | — | 63,477 | |||||||||||||||
Panama | 94,575 | 94,575 | — | — | |||||||||||||||
Rights | 1,785 | 143 | 1,642 | — | |||||||||||||||
Warrants | 713 | 713 | — | — | |||||||||||||||
Securities lending collateral | 14,819,735 | 14,819,735 | — | — | |||||||||||||||
Total investments in securities | $ | 655,306,358 | $ | 136,959,380 | $ | 517,131,347 | $ | 1,215,631 |
Total Value at 6-30-17 | Level 1 Quoted Price | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Equity Income Trust | |||||||||||||||||||
Common stocks | |||||||||||||||||||
Consumer discretionary | $ | 143,438,602 | $ | 143,438,602 | — | — | |||||||||||||
Consumer staples | 112,022,787 | 102,884,058 | $ | 9,138,729 | — | ||||||||||||||
Energy | 168,355,289 | 136,418,684 | 31,936,605 | — | |||||||||||||||
Financials | 457,698,846 | 452,973,213 | 4,725,633 | — | |||||||||||||||
Health care | 187,667,160 | 178,042,684 | 9,624,476 | — | |||||||||||||||
Industrials | 184,976,578 | 184,976,578 | — | — | |||||||||||||||
Information technology | 170,151,347 | 170,151,347 | — | — | |||||||||||||||
Materials | 87,838,040 | 86,094,407 | 1,743,633 | — | |||||||||||||||
Real estate | 37,395,616 | 37,395,616 | — | — | |||||||||||||||
Telecommunication services | 51,099,626 | 39,637,034 | 11,462,592 | — | |||||||||||||||
Utilities | 99,708,272 | 99,708,272 | — | — | |||||||||||||||
Preferred securities | 33,969,399 | 33,969,399 | — | — | |||||||||||||||
Corporate bonds | 2,949,200 | — | 2,949,200 | — | |||||||||||||||
Securities lending collateral | 46,849,017 | 46,849,017 | — | — | |||||||||||||||
Short-term investments | 34,781,709 | 34,781,709 | — | — | |||||||||||||||
Total investments in securities | $ | 1,818,901,488 | $ | 1,747,320,620 | $ | 71,580,868 | — | ||||||||||||
Financial Industries Trust | |||||||||||||||||||
Common stocks | |||||||||||||||||||
Banks | $ | 122,755,444 | $ | 108,160,123 | $ | 14,595,321 | — | ||||||||||||
Capital markets | 19,262,698 | 11,552,876 | 7,709,822 | — | |||||||||||||||
Consumer finance | 9,725,326 | 9,725,326 | — | — | |||||||||||||||
Diversified financial services | 7,211,588 | 5,898,480 | 1,313,108 | — | |||||||||||||||
Insurance | 35,019,551 | 33,774,012 | 1,245,539 | — | |||||||||||||||
Thrifts and mortgage finance | 3,337,504 | 3,337,504 | — | — | |||||||||||||||
Equity real estate investment trusts | 6,097,199 | 4,354,961 | 1,742,238 | — | |||||||||||||||
Real estate management and development | 1,879,312 | 769,029 | 1,110,283 | — | |||||||||||||||
Preferred securities | 466,617 | — | 466,617 | — | |||||||||||||||
Corporate bonds | 2,461,850 | — | 2,461,850 | — | |||||||||||||||
Securities lending collateral | 1,254,499 | 1,254,499 | — | — | |||||||||||||||
Short-term investments | 13,446,000 | — | 13,446,000 | — | |||||||||||||||
Total investments in securities | $ | 222,917,588 | $ | 178,826,810 | $ | 44,090,778 | — | ||||||||||||
Fundamental All Cap Core Trust | |||||||||||||||||||
Common stocks | |||||||||||||||||||
Consumer discretionary | $ | 384,141,119 | $ | 384,141,119 | — | — | |||||||||||||
Consumer staples | 117,934,338 | 87,289,623 | $ | 30,644,715 | — | ||||||||||||||
Energy | 99,960,829 | 99,960,829 | — | — | |||||||||||||||
Financials | 435,000,824 | 435,000,824 | — | — | |||||||||||||||
Health care | 130,687,762 | 130,687,762 | — | — | |||||||||||||||
Industrials | 91,777,166 | 91,777,166 | — | — | |||||||||||||||
Information technology | 366,826,287 | 366,826,287 | — | — | |||||||||||||||
Materials | 30,600,340 | 30,600,340 | — | — | |||||||||||||||
Real estate | 33,270,408 | 33,270,408 | — | — | |||||||||||||||
Short-term investments | 51,981,000 | — | 51,981,000 | — | |||||||||||||||
Total investments in securities | $ | 1,742,180,073 | $ | 1,659,554,358 | $ | 82,625,715 | — | ||||||||||||
Fundamental Large Cap Value Trust | |||||||||||||||||||
Common stocks | |||||||||||||||||||
Consumer discretionary | $ | 79,004,707 | $ | 79,004,707 | — | — | |||||||||||||
Consumer staples | 70,541,798 | 40,876,682 | $ | 29,665,116 | — | ||||||||||||||
Energy | 94,219,875 | 94,219,875 | — | — | |||||||||||||||
Financials | 263,191,433 | 263,191,433 | — | — | |||||||||||||||
Health care | 103,884,448 | 103,884,448 | — | — | |||||||||||||||
Industrials | 87,150,561 | 87,150,561 | — | — | |||||||||||||||
Information technology | 116,930,515 | 116,930,515 | — | — | |||||||||||||||
Short-term investments | 13,792,000 | — | 13,792,000 | — | |||||||||||||||
Total investments in securities | $ | 828,715,337 | $ | 785,258,221 | $ | 43,457,116 | — |
Total Value at 6-30-17 | Level 1 Quoted Price | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Global Trust | |||||||||||||||||||
Common stocks | |||||||||||||||||||
Canada | $ | 5,852,198 | $ | 5,852,198 | — | — | |||||||||||||
China | 8,072,719 | 4,909,190 | $ | 3,163,529 | — | ||||||||||||||
France | 12,222,265 | — | 12,222,265 | — | |||||||||||||||
Germany | 11,553,513 | — | 11,553,513 | — | |||||||||||||||
Hong Kong | 3,655,076 | — | 3,655,076 | — | |||||||||||||||
India | 2,641,250 | — | 2,641,250 | — | |||||||||||||||
Ireland | 4,970,896 | 4,067,196 | 903,700 | — | |||||||||||||||
Israel | 4,988,315 | 4,988,315 | — | — | |||||||||||||||
Italy | 3,370,188 | — | 3,370,188 | — | |||||||||||||||
Japan | 10,207,234 | — | 10,207,234 | — | |||||||||||||||
Luxembourg | 1,157,760 | — | 1,157,760 | — | |||||||||||||||
Netherlands | 13,731,401 | — | 13,731,401 | — | |||||||||||||||
Portugal | 2,407,271 | — | 2,407,271 | — | |||||||||||||||
Russia | 1,369,279 | 1,369,279 | — | — | |||||||||||||||
Singapore | 5,816,722 | — | 5,816,722 | — | |||||||||||||||
South Korea | 14,019,977 | 4,022,942 | 9,997,035 | — | |||||||||||||||
Spain | 1,735,390 | — | 1,735,390 | — | |||||||||||||||
Sweden | 4,724,598 | — | 4,724,598 | — | |||||||||||||||
Switzerland | 5,806,017 | — | 5,806,017 | — | |||||||||||||||
Taiwan | 935,835 | — | 935,835 | — | |||||||||||||||
Thailand | 1,957,802 | — | 1,957,802 | — | |||||||||||||||
Turkey | 732,711 | 732,711 | — | — | |||||||||||||||
United Kingdom | 23,412,145 | — | 23,412,145 | — | |||||||||||||||
United States | 80,656,465 | 80,656,465 | — | — | |||||||||||||||
Corporate bonds | 1,408,590 | — | 1,408,590 | — | |||||||||||||||
Securities lending collateral | 1,638,006 | 1,638,006 | — | — | |||||||||||||||
Short-term investments | 9,100,000 | — | 9,100,000 | — | |||||||||||||||
Total investments in securities | $ | 238,143,623 | $ | 108,236,302 | $ | 129,907,321 | — | ||||||||||||
Health Sciences Trust | |||||||||||||||||||
Common stocks | |||||||||||||||||||
Consumer discretionary | $ | 125,775 | — | — | $ | 125,775 | |||||||||||||
Consumer staples | 3,235,235 | $ | 3,235,235 | — | — | ||||||||||||||
Health care | 280,642,024 | 270,974,758 | $ | 9,202,373 | 464,893 | ||||||||||||||
Preferred securities | |||||||||||||||||||
Consumer discretionary | 280,855 | — | — | 280,855 | |||||||||||||||
Health care | 1,555,963 | 1,540,010 | 15,953 | — | |||||||||||||||
Information technology | 195,356 | — | — | 195,356 | |||||||||||||||
Convertible bonds | 503,135 | — | 503,135 | — | |||||||||||||||
Rights | 5,250 | 5,250 | — | — | |||||||||||||||
Short-term investments | 475,649 | 475,649 | — | — | |||||||||||||||
Total investments in securities | $ | 287,019,242 | $ | 276,230,902 | $ | 9,721,461 | $ | 1,066,879 | |||||||||||
International Equity Index Trust B | |||||||||||||||||||
Common stocks | |||||||||||||||||||
Australia | $ | 33,109,731 | — | $ | 33,109,731 | — | |||||||||||||
Austria | 1,114,602 | — | 1,114,602 | — | |||||||||||||||
Belgium | 5,475,955 | — | 5,475,955 | — | |||||||||||||||
Brazil | 6,743,224 | $ | 6,743,224 | — | — | ||||||||||||||
Canada | 45,610,311 | 45,610,311 | — | — | |||||||||||||||
Chile | 1,781,496 | 1,623,926 | 157,570 | — | |||||||||||||||
China | 38,093,313 | 10,582,761 | 27,510,552 | — | |||||||||||||||
Colombia | 759,994 | 759,994 | — | — | |||||||||||||||
Czech Republic | 256,405 | — | 256,405 | — | |||||||||||||||
Denmark | 8,313,332 | — | 8,313,332 | — | |||||||||||||||
Egypt | 187,177 | — | 187,177 | — | |||||||||||||||
Finland | 4,893,071 | — | 4,893,071 | — | |||||||||||||||
France | 48,154,328 | — | 48,154,328 | — | |||||||||||||||
Germany | 42,326,753 | — | 42,326,753 | — | |||||||||||||||
Greece | 738,197 | — | 738,197 | — |
Total Value at 6-30-17 | Level 1 Quoted Price | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
International Equity Index Trust B (continued) | |||||||||||||||||||
Hong Kong | $ | 21,864,501 | $ | 143,343 | $ | 21,709,353 | $ | 11,805 | |||||||||||
Hungary | 549,357 | — | 549,357 | — | |||||||||||||||
India | 14,321,430 | 2,793,851 | 11,527,579 | — | |||||||||||||||
Indonesia | 3,815,627 | 12,054 | 3,803,573 | — | |||||||||||||||
Ireland | 2,978,522 | 441,861 | 2,536,661 | — | |||||||||||||||
Israel | 3,069,264 | 874,917 | 2,194,347 | — | |||||||||||||||
Italy | 9,462,367 | — | 9,462,367 | — | |||||||||||||||
Japan | 110,269,085 | — | 110,269,085 | — | |||||||||||||||
Jersey, Channel Islands | 299,130 | — | 299,130 | — | |||||||||||||||
Jordan | 110,754 | — | 110,754 | — | |||||||||||||||
Luxembourg | 1,551,638 | — | 1,551,638 | — | |||||||||||||||
Macau | 591,304 | — | 591,304 | — | |||||||||||||||
Malaysia | 3,935,993 | — | 3,935,993 | — | |||||||||||||||
Malta | 70,070 | — | 65,103 | 4,967 | |||||||||||||||
Mexico | 6,192,399 | 6,046,935 | 145,464 | — | |||||||||||||||
Netherlands | 20,146,698 | 1,080,162 | 19,066,536 | — | |||||||||||||||
New Zealand | 752,983 | — | 752,983 | — | |||||||||||||||
Norway | 2,960,779 | — | 2,960,779 | — | |||||||||||||||
Peru | 509,531 | 509,531 | — | — | |||||||||||||||
Philippines | 1,825,786 | — | 1,825,786 | — | |||||||||||||||
Poland | 2,075,332 | — | 2,075,332 | — | |||||||||||||||
Portugal | 649,841 | — | 649,841 | — | |||||||||||||||
Romania | 99,285 | — | 99,285 | — | |||||||||||||||
Russia | 4,901,507 | 3,795,240 | 1,106,267 | — | |||||||||||||||
Singapore | 6,092,809 | — | 6,092,809 | — | |||||||||||||||
South Africa | �� | 10,801,062 | — | 10,801,062 | — | ||||||||||||||
South Korea | 23,755,398 | 270,879 | 23,384,782 | 99,737 | |||||||||||||||
Spain | 16,297,731 | 129,063 | 16,168,668 | — | |||||||||||||||
Sweden | 13,705,615 | — | 13,705,615 | — | |||||||||||||||
Switzerland | 42,409,627 | — | 42,409,627 | — | |||||||||||||||
Taiwan | 17,574,855 | — | 17,574,855 | — | |||||||||||||||
Thailand | 3,352,223 | — | 3,352,223 | — | |||||||||||||||
Turkey | 1,821,686 | — | 1,821,686 | — | |||||||||||||||
United Kingdom | 74,164,684 | 3,786 | 74,160,898 | — | |||||||||||||||
United States | 2,895,527 | 755,718 | 2,139,809 | — | |||||||||||||||
Preferred securities | 7,924,915 | 4,137,748 | 3,787,167 | — | |||||||||||||||
Rights | 11,797 | 5,960 | 5,837 | — | |||||||||||||||
Securities lending collateral | 19,849,200 | 19,849,200 | — | — | |||||||||||||||
Short-term investments | 14,276,353 | 14,276,353 | — | — | |||||||||||||||
Total investments in securities | $ | 705,494,554 | $ | 120,446,817 | $ | 584,931,228 | $ | 116,509 | |||||||||||
Other financial instruments: | |||||||||||||||||||
Futures | ($72,609 | ) | ($72,609 | ) | — | — | |||||||||||||
International Growth Stock Trust | |||||||||||||||||||
Common stocks | |||||||||||||||||||
Australia | $ | 16,184,516 | — | $ | 16,184,516 | — | |||||||||||||
Brazil | 18,504,754 | $ | 18,504,754 | — | — | ||||||||||||||
Canada | 32,193,532 | 32,193,532 | — | — | |||||||||||||||
China | 3,331,983 | 3,331,983 | — | — | |||||||||||||||
Denmark | 8,281,003 | — | 8,281,003 | — | |||||||||||||||
France | 15,793,935 | — | 15,793,935 | — | |||||||||||||||
Germany | 36,726,025 | — | 36,726,025 | — | |||||||||||||||
Hong Kong | 14,210,460 | — | 14,210,460 | — | |||||||||||||||
Israel | 6,850,097 | 6,850,097 | — | — | |||||||||||||||
Italy | 3,951,604 | — | 3,951,604 | — | |||||||||||||||
Japan | 23,354,007 | — | 23,354,007 | — | |||||||||||||||
Mexico | 12,351,630 | 12,351,630 | — | — | |||||||||||||||
Netherlands | 6,954,330 | — | 6,954,330 | — | |||||||||||||||
Singapore | 4,888,852 | — | 4,888,852 | — | |||||||||||||||
South Korea | 8,929,461 | — | 8,929,461 | — | |||||||||||||||
Spain | 5,622,398 | — | 5,622,398 | — |
Total Value at 6-30-17 | Level 1 Quoted Price | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
International Growth Stock Trust (continued) | |||||||||||||||||||
Sweden | $ | 12,669,654 | — | $ | 12,669,654 | — | |||||||||||||
Switzerland | 27,043,065 | — | 27,043,065 | — | |||||||||||||||
Taiwan | 9,196,159 | — | 9,196,159 | — | |||||||||||||||
Thailand | 6,434,104 | — | 6,434,104 | — | |||||||||||||||
Turkey | 3,999,814 | — | 3,999,814 | — | |||||||||||||||
United Kingdom | 67,222,684 | — | 67,222,684 | — | |||||||||||||||
United States | 8,969,162 | $ | 8,969,162 | — | — | ||||||||||||||
Short-term investments | 27,792,186 | 27,792,186 | — | — | |||||||||||||||
Total investments in securities | $ | 381,455,415 | $ | 109,993,344 | $ | 271,462,071 | — | ||||||||||||
International Small Company Trust | |||||||||||||||||||
Common stocks | |||||||||||||||||||
Australia | $ | 7,967,567 | $ | 96,182 | $ | 7,851,943 | $ | 19,442 | |||||||||||
Austria | 1,985,421 | — | 1,985,421 | — | |||||||||||||||
Belgium | 2,420,733 | — | 2,420,733 | — | |||||||||||||||
Bermuda | 267,835 | — | 267,835 | — | |||||||||||||||
Cambodia | 54,624 | — | 54,624 | — | |||||||||||||||
Canada | 11,561,609 | 11,519,734 | 41,585 | 290 | |||||||||||||||
China | 86,971 | 27,559 | 59,412 | — | |||||||||||||||
Denmark | 2,700,233 | — | 2,700,233 | — | |||||||||||||||
Faroe Islands | 82,089 | — | 82,089 | — | |||||||||||||||
Finland | 3,425,201 | — | 3,425,201 | — | |||||||||||||||
France | 6,959,913 | — | 6,959,913 | — | |||||||||||||||
Gabon | 3,244 | — | 3,244 | — | |||||||||||||||
Georgia | 113,323 | — | 113,323 | — | |||||||||||||||
Germany | 7,998,702 | — | 7,998,702 | — | |||||||||||||||
Gibraltar | 40,620 | — | 40,620 | — | |||||||||||||||
Greece | 155 | — | — | 155 | |||||||||||||||
Guernsey, Channel Islands | 4,163 | — | 4,163 | — | |||||||||||||||
Hong Kong | 3,977,218 | — | 3,962,483 | 14,735 | |||||||||||||||
Ireland | 1,189,157 | — | 1,189,157 | — | |||||||||||||||
Isle of Man | 426,053 | — | 426,053 | — | |||||||||||||||
Israel | 1,046,317 | 7,955 | 1,038,362 | — | |||||||||||||||
Italy | 5,451,937 | — | 5,451,937 | — | |||||||||||||||
Japan | 30,598,761 | — | 30,598,761 | — | |||||||||||||||
Jersey, Channel Islands | 322,776 | — | 322,776 | — | |||||||||||||||
Liechtenstein | 52,998 | — | 52,998 | — | |||||||||||||||
Luxembourg | 332,780 | — | 332,780 | — | |||||||||||||||
Macau | 23,464 | — | 23,464 | — | |||||||||||||||
Malta | 123,359 | — | 123,359 | — | |||||||||||||||
Monaco | 54,932 | 54,932 | — | — | |||||||||||||||
Mongolia | 7,892 | — | 7,892 | — | |||||||||||||||
Netherlands | 2,972,275 | — | 2,972,275 | — | |||||||||||||||
New Zealand | 1,222,339 | — | 1,222,339 | — | |||||||||||||||
Norway | 1,125,740 | — | 1,125,740 | — | |||||||||||||||
Peru | 59,092 | — | 59,092 | — | |||||||||||||||
Portugal | 424,957 | — | 424,957 | — | |||||||||||||||
Russia | 35,340 | — | 35,340 | — | |||||||||||||||
Singapore | 1,507,455 | — | 1,506,267 | 1,188 | |||||||||||||||
South Africa | 80,531 | — | 80,531 | — | |||||||||||||||
Spain | 3,040,232 | — | 3,040,232 | — | |||||||||||||||
Sweden | 4,243,646 | — | 4,243,646 | — | |||||||||||||||
Switzerland | 6,633,587 | 61,264 | 6,572,323 | — | |||||||||||||||
United Arab Emirates | 44,123 | — | 44,123 | — | |||||||||||||||
United Kingdom | 21,079,415 | 212,464 | 20,866,213 | 738 | |||||||||||||||
United States | 406,523 | 211,283 | 195,240 | — | |||||||||||||||
Preferred securities | 445,348 | — | 445,348 | — | |||||||||||||||
Rights | 3,042 | 2,692 | — | 350 | |||||||||||||||
Warrants | 14 | — | 14 | — | |||||||||||||||
Securities lending collateral | 12,585,115 | 12,585,115 | — | — | |||||||||||||||
Total investments in securities | $ | 145,188,821 | $ | 24,779,180 | $ | 120,372,743 | $ | 36,898 |
Total Value at 6-30-17 | Level 1 Quoted Price | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
International Value Trust | |||||||||||||||||||
Common stocks | |||||||||||||||||||
Canada | $ | 78,270,458 | $ | 78,270,458 | — | — | |||||||||||||
China | 61,999,485 | 20,168,254 | $ | 41,831,231 | — | ||||||||||||||
France | 57,906,942 | — | 57,906,942 | — | |||||||||||||||
Germany | 59,617,599 | — | 59,617,599 | — | |||||||||||||||
Hong Kong | 33,356,618 | — | 33,356,618 | — | |||||||||||||||
India | 7,747,118 | — | 7,747,118 | — | |||||||||||||||
Israel | 20,541,720 | 20,541,720 | — | — | |||||||||||||||
Italy | 13,107,069 | — | 13,107,069 | — | |||||||||||||||
Japan | 92,788,691 | — | 92,788,691 | — | |||||||||||||||
Luxembourg | 10,759,678 | — | 10,759,678 | — | |||||||||||||||
Malta | 38,859 | — | — | $ | 38,859 | ||||||||||||||
Netherlands | 77,592,410 | — | 77,592,410 | — | |||||||||||||||
Norway | 13,163,404 | — | 13,163,404 | — | |||||||||||||||
Singapore | 20,759,217 | 135,768 | 20,623,449 | — | |||||||||||||||
South Korea | 95,022,648 | 16,987,411 | 78,035,237 | — | |||||||||||||||
Sweden | 5,131,639 | — | 5,131,639 | — | |||||||||||||||
Switzerland | 40,570,682 | — | 40,570,682 | — | |||||||||||||||
Taiwan | 24,942,059 | — | 24,942,059 | — | |||||||||||||||
Thailand | 13,091,169 | — | 13,091,169 | — | |||||||||||||||
United Kingdom | 126,082,272 | — | 126,082,272 | — | |||||||||||||||
United States | 5,198,597 | 5,198,597 | — | — | |||||||||||||||
Rights | 30,628 | — | 30,628 | — | |||||||||||||||
Securities lending collateral | 13,629,644 | 13,629,644 | — | — | |||||||||||||||
Short-term investments | 16,200,000 | — | 16,200,000 | — | |||||||||||||||
Total investments in securities | $ | 887,548,606 | $ | 154,931,852 | $ | 732,577,895 | $ | 38,859 | |||||||||||
Lifestyle Growth PS Series | |||||||||||||||||||
Affiliated investment companies | |||||||||||||||||||
Equity | $ | 2,286,603,859 | $ | 2,286,603,859 | — | — | |||||||||||||
Fixed income | 938,714,020 | 938,714,020 | — | — | |||||||||||||||
Common stocks | 228,589 | — | $ | 228,589 | — | ||||||||||||||
Preferred securities | 246,689 | — | 246,689 | — | |||||||||||||||
Short-term investments | 20 | 20 | — | — | |||||||||||||||
Total investments in securities | $ | 3,225,793,177 | $ | 3,225,317,899 | $ | 475,278 | — | ||||||||||||
Mid Cap Stock Trust | |||||||||||||||||||
Common stocks | |||||||||||||||||||
Consumer discretionary | $ | 88,503,248 | $ | 87,431,783 | — | $ | 1,071,465 | ||||||||||||
Consumer staples | 17,689,061 | 17,689,061 | — | — | |||||||||||||||
Energy | 15,606,996 | 15,606,996 | — | — | |||||||||||||||
Financials | 41,958,837 | 41,958,837 | — | — | |||||||||||||||
Health care | 126,272,503 | 116,396,558 | $ | 9,875,945 | — | ||||||||||||||
Industrials | 76,726,101 | 76,726,101 | — | — | |||||||||||||||
Information technology | 245,066,752 | 244,512,801 | — | 553,951 | |||||||||||||||
Materials | 26,168,297 | 26,168,297 | — | — | |||||||||||||||
Real estate | 942,838 | — | — | 942,838 | |||||||||||||||
Preferred securities | 60,339,087 | — | — | 60,339,087 | |||||||||||||||
Exchange-traded funds | 14,723,997 | 14,723,997 | — | — | |||||||||||||||
Securities lending collateral | 63,113,363 | 63,113,363 | — | — | |||||||||||||||
Short-term investments | 17,500,000 | — | 17,500,000 | — | |||||||||||||||
Total investments in securities | $ | 794,611,080 | $ | 704,327,794 | $ | 27,375,945 | $ | 62,907,341 | |||||||||||
Mid Value Trust | |||||||||||||||||||
Common stocks | |||||||||||||||||||
Consumer discretionary | $ | 65,276,054 | $ | 64,270,533 | $ | 1,005,521 | — | ||||||||||||
Consumer staples | 76,862,828 | 66,443,990 | 10,418,838 | — | |||||||||||||||
Energy | 76,359,833 | 76,359,833 | — | — | |||||||||||||||
Financials | 174,570,890 | 169,186,725 | 5,384,165 | — | |||||||||||||||
Health care | 104,639,708 | 104,639,708 | — | — |
Total Value at 6-30-17 | Level 1 Quoted Price | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Mid Value Trust (continued) | |||||||||||||||||||
Industrials | $ | 72,929,153 | $ | 70,799,751 | $ | 2,129,402 | — | ||||||||||||
Information technology | 22,204,135 | 22,204,135 | — | — | |||||||||||||||
Materials | 61,055,338 | 61,055,338 | — | — | |||||||||||||||
Real estate | 60,189,008 | 60,189,008 | — | — | |||||||||||||||
Telecommunication services | 2,523,474 | 2,523,474 | — | — | |||||||||||||||
Utilities | 37,508,067 | 37,508,067 | — | — | |||||||||||||||
Securities lending collateral | 27,107,211 | 27,107,211 | — | — | |||||||||||||||
Short-term investments | 75,217,356 | 75,217,356 | — | — | |||||||||||||||
Total investments in securities | $ | 856,443,055 | $ | 837,505,129 | $ | 18,937,926 | — | ||||||||||||
Mutual Shares Trust | |||||||||||||||||||
Common stocks | |||||||||||||||||||
Consumer discretionary | $ | 13,398,154 | $ | 11,661,162 | $ | 1,736,992 | — | ||||||||||||
Consumer staples | 16,111,108 | 12,075,387 | 4,035,721 | — | |||||||||||||||
Energy | 15,092,327 | 11,160,288 | 3,932,039 | — | |||||||||||||||
Financials | 37,086,283 | 35,956,992 | 1,129,291 | — | |||||||||||||||
Health care | 22,769,940 | 22,769,940 | — | — | |||||||||||||||
Industrials | 10,507,683 | 7,888,540 | 2,619,143 | — | |||||||||||||||
Information technology | 20,583,543 | 17,157,636 | 3,425,907 | — | |||||||||||||||
Materials | 8,789,266 | 5,540,536 | 3,248,730 | — | |||||||||||||||
Real estate | 2,620,178 | 2,620,178 | — | — | |||||||||||||||
Telecommunication services | 2,020,927 | — | 2,020,927 | — | |||||||||||||||
Utilities | 3,277,123 | 3,277,123 | — | — | |||||||||||||||
Corporate bonds | 4,946,117 | — | 4,946,117 | — | |||||||||||||||
Municipal bonds | 1,592,013 | — | 1,592,013 | — | |||||||||||||||
Escrow certificates | 10,320 | — | 10,320 | — | |||||||||||||||
Rights | 204,942 | — | — | $ | 204,942 | ||||||||||||||
Securities lending collateral | 4,030,024 | 4,030,024 | — | — | |||||||||||||||
Short-term investments | 12,296,283 | — | 12,296,283 | — | |||||||||||||||
Total investments in securities | $ | 175,336,231 | $ | 134,137,806 | $ | 40,993,483 | $ | 204,942 | |||||||||||
Other financial instruments: | |||||||||||||||||||
Forward foreign currency contracts | ($117,309 | ) | — | ($117,309 | ) | — | |||||||||||||
Real Estate Securities Trust | |||||||||||||||||||
Common stocks | |||||||||||||||||||
Hotels, resorts and cruise lines | $ | 5,557,288 | $ | 5,557,288 | — | — | |||||||||||||
IT consulting and other services | 4,571,225 | 4,571,225 | — | — | |||||||||||||||
Diversified REITs | 23,693,542 | 23,689,991 | — | $ | 3,551 | ||||||||||||||
Health care REITs | 51,990,888 | 51,990,888 | — | — | |||||||||||||||
Hotel and resort REITs | 20,823,064 | 20,823,064 | — | — | |||||||||||||||
Industrial REITs | 33,284,694 | 33,284,694 | — | — | |||||||||||||||
Office REITs | 45,406,942 | 45,406,942 | — | — | |||||||||||||||
Residential REITs | 66,535,107 | 66,535,107 | — | — | |||||||||||||||
Retail REITs | 62,243,763 | 62,243,763 | — | — | |||||||||||||||
Specialized REITs | 61,434,965 | 61,434,965 | — | — | |||||||||||||||
Short-term investments | 973,450 | 973,450 | — | — | |||||||||||||||
Total investments in securities | $ | 376,514,928 | $ | 376,511,377 | — | $ | 3,551 | ||||||||||||
Science & Technology Trust | |||||||||||||||||||
Common stocks | |||||||||||||||||||
Consumer discretionary | $ | 101,005,682 | $ | 97,099,354 | $ | 3,863,152 | $ | 43,176 | |||||||||||
Health care | 34,658,224 | 22,968,942 | 11,689,282 | — | |||||||||||||||
Industrials | 12,318,053 | 12,318,053 | — | — | |||||||||||||||
Information technology | 454,863,566 | 435,136,627 | 19,627,304 | 99,635 | |||||||||||||||
Real estate | 1,587,892 | 1,587,892 | — | — | |||||||||||||||
Telecommunication services | 3,040,250 | — | 3,040,250 | — | |||||||||||||||
Preferred securities | 3,172,218 | — | — | 3,172,218 | |||||||||||||||
Corporate bonds | 1,625,599 | — | 1,625,599 | — | |||||||||||||||
Securities lending collateral | 25,149,668 | 25,149,668 | — | — | |||||||||||||||
Short-term investments | 23,123,755 | 12,265,755 | 10,858,000 | — | |||||||||||||||
Total investments in securities | $ | 660,544,907 | $ | 606,526,291 | $ | 50,703,587 | $ | 3,315,029 |
Total Value at 6-30-17 | Level 1 Quoted Price | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Small Cap Growth Trust | |||||||||||||||||||
Common stocks | |||||||||||||||||||
Consumer discretionary | $ | 46,927,637 | $ | 46,927,637 | — | — | |||||||||||||
Consumer staples | 11,183,951 | 11,183,951 | — | — | |||||||||||||||
Energy | 4,641,150 | 4,440,405 | $ | 200,745 | — | ||||||||||||||
Financials | 26,324,170 | 26,324,170 | — | — | |||||||||||||||
Health care | 84,688,021 | 84,688,021 | — | — | |||||||||||||||
Industrials | 69,970,174 | 69,970,174 | — | — | |||||||||||||||
Information technology | 109,813,427 | 106,930,650 | 1,207,357 | $ | 1,675,420 | ||||||||||||||
Materials | 11,161,765 | 11,161,765 | — | — | |||||||||||||||
Real estate | 12,483,168 | 12,483,168 | — | — | |||||||||||||||
Preferred securities | 7,406,714 | — | — | 7,406,714 | |||||||||||||||
Exchange-traded funds | 8,046,279 | 8,046,279 | — | — | |||||||||||||||
Securities lending collateral | 58,722,583 | 58,722,583 | — | — | |||||||||||||||
Short-term investments | 7,200,000 | — | 7,200,000 | — | |||||||||||||||
Total investments in securities | $ | 458,569,039 | $ | 440,878,803 | $ | 8,608,102 | $ | 9,082,134 | |||||||||||
Small Cap Index Trust | |||||||||||||||||||
Common stocks | |||||||||||||||||||
Consumer discretionary | $ | 68,496,477 | $ | 68,436,209 | — | $ | 60,268 | ||||||||||||
Consumer staples | 14,681,932 | 14,681,932 | — | — | |||||||||||||||
Energy | 19,767,646 | 19,767,646 | — | — | |||||||||||||||
Financials | 100,173,868 | 100,173,868 | — | — | |||||||||||||||
Health care | 82,424,223 | 82,338,409 | — | 85,814 | |||||||||||||||
Industrials | 80,063,861 | 80,063,861 | — | — | |||||||||||||||
Information technology | 93,411,547 | 93,411,547 | — | — | |||||||||||||||
Materials | 23,951,490 | 23,951,490 | — | — | |||||||||||||||
Real estate | 41,094,996 | 41,094,996 | — | — | |||||||||||||||
Telecommunication services | 4,761,396 | 4,761,396 | — | — | |||||||||||||||
Utilities | 20,082,644 | 20,082,644 | — | — | |||||||||||||||
Warrants | 26 | — | $ | 26 | — | ||||||||||||||
Securities lending collateral | 49,394,116 | 49,394,116 | — | — | |||||||||||||||
Short-term investments | 16,590,000 | — | 16,590,000 | — | |||||||||||||||
Total investments in securities | $ | 614,894,222 | $ | 598,158,114 | $ | 16,590,026 | $ | 146,082 | |||||||||||
Other financial instruments: | |||||||||||||||||||
Futures | ($216,170 | ) | ($216,170 | ) | — | — | |||||||||||||
Small Cap Opportunities Trust | |||||||||||||||||||
Common stocks | |||||||||||||||||||
Consumer discretionary | $ | 30,242,739 | $ | 30,242,140 | — | $ | 599 | ||||||||||||
Consumer staples | 5,024,560 | 5,024,560 | — | — | |||||||||||||||
Energy | 13,238,121 | 13,238,121 | — | — | |||||||||||||||
Financials | 50,234,074 | 50,234,073 | — | 1 | |||||||||||||||
Health care | 18,255,880 | 18,250,484 | — | 5,396 | |||||||||||||||
Industrials | 44,262,595 | 44,262,595 | — | — | |||||||||||||||
Information technology | 34,392,991 | 34,392,991 | — | — | |||||||||||||||
Materials | 10,999,312 | 10,999,312 | — | — | |||||||||||||||
Real estate | 4,612,831 | 4,612,831 | — | — | |||||||||||||||
Telecommunication services | 2,291,092 | 2,291,092 | — | — | |||||||||||||||
Utilities | 2,421,621 | 2,421,621 | — | — | |||||||||||||||
Securities lending collateral | 9,348,694 | 9,348,694 | — | — | |||||||||||||||
Short-term investments | 477,602 | 477,602 | — | — | |||||||||||||||
Total investments in securities | $ | 225,802,112 | $ | 225,796,116 | — | $ | 5,996 | ||||||||||||
Small Cap Value Trust | |||||||||||||||||||
Common stocks | |||||||||||||||||||
Consumer discretionary | $ | 22,264,093 | $ | 22,264,093 | — | — | |||||||||||||
Consumer staples | 26,176,542 | 8,989,704 | $ | 17,186,838 | — | ||||||||||||||
Energy | 28,197,426 | 28,197,426 | — | — | |||||||||||||||
Financials | 142,864,184 | 142,864,184 | — | — | |||||||||||||||
Health care | 49,056,163 | 49,056,163 | — | — |
Total Value at 6-30-17 | Level 1 Quoted Price | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Small Cap Value Trust (continued) | |||||||||||||||||||
Industrials | $ | 212,601,227 | $ | 201,554,586 | $ | 11,046,641 | — | ||||||||||||
Information technology | 62,545,430 | 62,545,430 | — | — | |||||||||||||||
Materials | 45,291,117 | 45,291,117 | — | — | |||||||||||||||
Real estate | 41,106,830 | 41,106,830 | — | — | |||||||||||||||
Utilities | 14,918,505 | 14,918,505 | — | — | |||||||||||||||
Securities lending collateral | 30,323,265 | 30,323,265 | — | — | |||||||||||||||
Short-term investments | 18,300,000 | — | 18,300,000 | — | |||||||||||||||
Total investments in securities | $ | 693,644,782 | $ | 647,111,303 | $ | 46,533,479 | — | ||||||||||||
Strategic Equity Allocation Trust | |||||||||||||||||||
Common stocks | |||||||||||||||||||
Consumer discretionary | $ | 1,326,960,802 | $ | 914,388,252 | $ | 412,524,810 | $ | 47,740 | |||||||||||
Consumer staples | 1,005,525,801 | 606,334,835 | 399,190,966 | — | |||||||||||||||
Energy | 580,883,402 | 414,301,255 | 166,582,147 | — | |||||||||||||||
Financials | 1,872,002,321 | 1,114,732,596 | 757,269,725 | — | |||||||||||||||
Health care | 1,430,481,946 | 1,049,544,636 | 380,861,936 | 75,374 | |||||||||||||||
Industrials | 1,334,421,452 | 824,877,368 | 509,544,084 | — | |||||||||||||||
Information technology | 1,816,395,853 | 1,619,835,404 | 196,560,449 | — | |||||||||||||||
Materials | 531,410,411 | 256,110,506 | 275,299,905 | — | |||||||||||||||
Real estate | 419,089,031 | 291,529,652 | 127,531,498 | 27,881 | |||||||||||||||
Telecommunication services | 289,302,061 | 139,473,402 | 149,828,659 | — | |||||||||||||||
Utilities | 375,880,485 | 256,266,009 | 119,614,476 | — | |||||||||||||||
Preferred securities | 18,554,140 | — | 18,554,140 | — | |||||||||||||||
Rights | 52,135 | 52,135 | — | — | |||||||||||||||
Securities lending collateral | 194,233,269 | 194,233,269 | — | — | |||||||||||||||
Short-term investments | 298,595,147 | — | 298,595,147 | — | |||||||||||||||
Total investments in securities | $ | 11,493,788,256 | $ | 7,681,679,319 | $ | 3,811,957,942 | $ | 150,995 | |||||||||||
Other financial instruments: | |||||||||||||||||||
Futures | ($1,529,064 | ) | ($1,529,064 | ) | — | — | |||||||||||||
Total Stock Market Index Trust | |||||||||||||||||||
Common stocks | |||||||||||||||||||
Consumer discretionary | $ | 96,024,811 | $ | 96,012,954 | $ | 5,153 | $ | 6,704 | |||||||||||
Consumer staples | 65,160,378 | 65,158,924 | — | 1,454 | |||||||||||||||
Energy | 47,214,782 | 47,214,175 | — | 607 | |||||||||||||||
Financials | 110,191,118 | 110,191,111 | — | 7 | |||||||||||||||
Health care | 95,338,921 | 95,313,469 | — | 25,452 | |||||||||||||||
Industrials | 75,954,391 | 75,953,970 | — | 421 | |||||||||||||||
Information technology | 153,520,804 | 153,520,804 | — | — | |||||||||||||||
Materials | 23,545,253 | 23,545,058 | — | 195 | |||||||||||||||
Real estate | 28,474,883 | 28,466,646 | — | 8,237 | |||||||||||||||
Telecommunication services | 15,304,368 | 15,304,368 | — | — | |||||||||||||||
Utilities | 22,107,615 | 22,107,615 | — | — | |||||||||||||||
Convertible bonds | 522 | — | — | 522 | |||||||||||||||
Warrants | 1,299 | 483 | 816 | — | |||||||||||||||
Securities lending collateral | 16,478,478 | 16,478,478 | — | — | |||||||||||||||
Short-term investments | 41,670,000 | — | 41,670,000 | — | |||||||||||||||
Total investments in securities | $ | 790,987,623 | $ | 749,268,055 | $ | 41,675,969 | $ | 43,599 | |||||||||||
Other financial instruments: | |||||||||||||||||||
Futures | ($223,279 | ) | ($223,279 | ) | — | — |
Total Value at 6-30-17 | Level 1 Quoted Price | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Utilities Trust | |||||||||||||||||||
Common stocks | |||||||||||||||||||
Consumer discretionary | $ | 15,369,067 | $ | 13,041,100 | $ | 2,327,967 | — | ||||||||||||
Energy | 56,802,986 | 56,802,986 | — | — | |||||||||||||||
Industrials | 1,679,040 | 1,679,040 | — | — | |||||||||||||||
Real estate | 8,164,247 | 8,164,247 | — | — | |||||||||||||||
Telecommunication services | 37,509,343 | 3,809,006 | 33,700,337 | — | |||||||||||||||
Utilities | 187,437,236 | 138,542,710 | 48,894,526 | — | |||||||||||||||
Preferred securities | 17,214,337 | 17,214,337 | |||||||||||||||||
Securities lending collateral | 10,108,192 | 10,108,192 | — | — | |||||||||||||||
Short-term investments | 2,510,000 | — | 2,510,000 | — | |||||||||||||||
Total investments in securities | $ | 336,794,448 | $ | 249,361,618 | $ | 87,432,830 | — | ||||||||||||
Other financial instruments: | |||||||||||||||||||
Forward foreign currency contracts | ($819,481 | ) | — | ($819,481 | ) | — |
Portfolio | | Approximate Market Values Transferred | ||||
---|---|---|---|---|---|---|
Emerging Markets Value Trust | $ | 42,757,540 | ||||
International Equity Index Trust B | 9,454,980 | |||||
International Growth Stock Trust | 6,116,030 |
Alpha Opportunities Trust | ||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Common Stock | Preferred Securities | Corporate Bonds | Total | |||||||||||||||||||
Balance as of 12-31-16 | $ | 286,653 | $ | 13,651,840 | 48,473 | $ | 13,986,966 | |||||||||||||||
Realized gain (loss) | — | 232,114 | — | 232,114 | ||||||||||||||||||
Change in unrealized appreciation (depreciation) | 14,606 | (731,687 | ) | — | (717,081 | ) | ||||||||||||||||
Purchases | 51,946 | 48,473 | — | 100,419 | ||||||||||||||||||
Sales | — | (1,275,989 | ) | (48,473 | ) | (1,324,462 | ) | |||||||||||||||
Transfers into Level 3 | — | — | — | — | ||||||||||||||||||
Transfers out of Level 3 | — | — | — | — | ||||||||||||||||||
Balance as of 6-30-17 | $ | 353,205 | $ | 11,924,751 | — | $ | 12,277,956 | |||||||||||||||
Change in unrealized at period end* | $ | 14,606 | ($599,971 | ) | �� | ($585,365 | ) |
Mid Cap Stock Trust | ||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Common Stock | Preferred Securities | Corporate Bonds | Total | |||||||||||||||||||
Balance as of 12-31-16 | $ | 2,084,281 | $ | 68,736,836 | $ | 396,255 | $ | 71,217,372 | ||||||||||||||
Realized gain (loss) | — | (2,690,207 | ) | — | ($2,690,207 | ) | ||||||||||||||||
Change in unrealized appreciation (depreciation) | 105,539 | 1,746,048 | — | 1,851,587 | ||||||||||||||||||
Purchases | 378,434 | 396,255 | — | 774,689 | ||||||||||||||||||
Sales | — | (7,849,845 | ) | (396,255 | ) | (8,246,100 | ) | |||||||||||||||
Transfers into Level 3 | — | — | — | — | ||||||||||||||||||
Transfers out of Level 3 | — | — | — | — | ||||||||||||||||||
Balance as of 6-30-17 | $ | 2,568,254 | $ | 60,339,087 | — | $ | 62,907,341 | |||||||||||||||
Change in unrealized at period end* | $ | 105,539 | ($2,198,889 | ) | — | ($2,093,350 | ) |
Small Cap Growth Trust | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Common Stock | Preferred Securities | Total | ||||||||||||||||
Balance as of 12-31-16 | $ | 1,364,101 | $ | 10,882,957 | $ | 12,247,058 | ||||||||||||
Realized gain (loss) | — | 1,477,686 | 1,477,686 | |||||||||||||||
Change in unrealized appreciation (depreciation) | 159,878 | (433,300 | ) | (273,422 | ) | |||||||||||||
Purchases | 151,441 | — | 151,441 | |||||||||||||||
Sales | — | (4,520,629 | ) | (4,520,629 | ) | |||||||||||||
Transfers into Level 3 | — | — | — | |||||||||||||||
Transfers out of Level 3 | — | — | — | |||||||||||||||
Balance as of 6-30-17 | $ | 1,675,420 | $ | 7,406,714 | $ | 9,082,134 | ||||||||||||
Change in unrealized at period end* | $ | 159,878 | $ | 172,054 | $ | 331,932 |
* | Change in unrealized appreciation (depreciation) attributable to Level 3 securities held at period end. This balance is included in change in unrealized appreciation (depreciation) on the Statements of operations. |
Alpha Opportunities Trust | | Fair Value at 6-30-17 | | Valuation Technique | | Significant Unobservable Inputs | | Input/Range | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Common Stocks | $ | 132,323 | Market Approach | Prior / recent transactions | $51.81 | |||||||||||||
$ | 75,930 | Market Approach | Expected future value | $0.24–$4.95 (weighted average $4.41) | ||||||||||||||
Discount | 20%–27.5% (weighted average 26.6%) | |||||||||||||||||
$ | 144,952 | Market Approach | EV to revenue multiple | 3.43x–3.60x (weighted average 3.57x) | ||||||||||||||
Discount | 17.5% | |||||||||||||||||
$ | 353,205 | |||||||||||||||||
Preferred Securities | $ | 1,732,039 | Market Approach | EV to revenue multiple | 1.37x–7.64x (weighted average 4.01x) | |||||||||||||
Discount | 10%–17.5% (weighted average 13.4%) | |||||||||||||||||
$ | 717,300 | Market Approach | EV to gross profit multiple | 9.03x | ||||||||||||||
Discount | 17.5% | |||||||||||||||||
$ | 479,365 | Market Approach | EV to revenue multiple | 2.02x–4.80x (weighted average 3.04x) | ||||||||||||||
Discount | 17.5%–25% (weighted average 22.2%) | |||||||||||||||||
Allocated using OPM—Volatility | 50%–55% (weighted average 53.2%) | |||||||||||||||||
$ | 2,338,124 | Market Approach | Prior / recent transactions | $7.18–$51.81 (weighted average $29.60) | ||||||||||||||
$ | 5,896,607 | Market Approach | Prior / recent transactions | 48.77x | ||||||||||||||
Discount | 15% | |||||||||||||||||
$ | 530,281 | Market Approach | Expected future value | $4.55 | ||||||||||||||
Discount | 1.76% | |||||||||||||||||
$ | 231,035 | Market Approach | Probability weighted expected future price | $1.98–$2.20 (weighted average $2.14) | ||||||||||||||
$ | 11,924,751 | |||||||||||||||||
Total | $ | 12,277,956 |
Mid Cap Stock Trust | | Fair Value at 6-30-17 | | Valuation Technique | | Significant Unobservable Inputs | | Input/Range | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Common Stocks | $ | 942,838 | Market Approach | Prior / recent transactions | $51.81 | |||||||||||||
$ | 553,951 | Market Approach | Expected future value | 0.24x–4.95x (weighted average 4.42x) | ||||||||||||||
Discount | 20%–27.5% (weighted average 26.7) | |||||||||||||||||
$ | 1,071,465 | Market Approach | EV to revenue multiple | 3.43x–3.60x (weighted average 3.57x) | ||||||||||||||
Discount | 17.5% | |||||||||||||||||
$ | 2,568,254 | |||||||||||||||||
Preferred Securities | $ | 3,484,990 | Market Approach | EV to revenue multiple | 2.02x–4.80x (weighted average 3.06x) | |||||||||||||
Discount | 17.5%–25% (weighted average 22.2%) | |||||||||||||||||
Allocated using OPM—Volatility | 50%–55% (weighted average 53.1%) | |||||||||||||||||
$ | 5,171,250 | Market Approach | EV to gross profit multiple | 9.03x | ||||||||||||||
Discount | 17.5% |
Mid Cap Stock Trust | | Fair Value at 6-30-17 | | Valuation Technique | | Significant Unobservable Inputs | | Input/Range | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Preferred Securities (continued) | $ | 11,410,610 | Market Approach | EV to revenue multiple | 1.37x–6.45x (weighted average 3.67x) | |||||||||||||
Discount | 10%–17.5% (weighted average 13.74%) | |||||||||||||||||
$ | 1,723,559 | Market Approach | Probability weighted expected future price | $1.98–$2.20 (weighted average $2.13) | ||||||||||||||
$ | 10,464,826 | Market Approach | Prior / recent transactions | $7.18–$51.81 (weighted average $42.87) | ||||||||||||||
$ | 24,233,536 | Market Approach | Prior / recent transactions | 48.77x | ||||||||||||||
Discount | 15% | |||||||||||||||||
$ | 3,850,316 | Market Approach | Expected future value | $0.45–$4.55 (weighted average $4.47) | ||||||||||||||
Discount | 1.76%–44% (weighted average 2.59%) | |||||||||||||||||
$ | 60,339,087 | |||||||||||||||||
Total | $ | 62,907,341 |
Small Cap Growth Trust | | Fair Value at 6-30-17 | | Valuation Technique | | Significant Unobservable Inputs | | Input/ Range | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Common Stocks | $ | 1,675,420 | Market Approach | Expected future value | $3.20–$4.95 (weighted average $3.45) | |||||||||||||
Discount | 5%–27.5% (weighted average 8.2%) | |||||||||||||||||
Preferred Securities | $ | 2,565,828 | Market Approach | EV to revenue multiple | 3.60x–6.45x (weighted average 5.55x) | |||||||||||||
Discount | 10%–17.5% (weighted average 12.4%) | |||||||||||||||||
$ | 1,508,148 | Market Approach | EV to revenue multiple | 2.02x | ||||||||||||||
Discount | 25% | |||||||||||||||||
Allocated using OPM—Volatility | 55% | |||||||||||||||||
$ | 2,767,166 | Market Approach | Expected future value | $4.40 | ||||||||||||||
Discount | 2.5% | |||||||||||||||||
$ | 565,572 | Market Approach | Probability weighted expected future price | $2.70–$3.26 (weighted average $2.99) | ||||||||||||||
$ | 7,406,714 | |||||||||||||||||
Total | $ | 9,082,134 |
Significant Unobservable Input | | Impact to Valuation if input increases | | Impact to Valuation if input decreases | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Allocated using Options Pricing Method (OPM) — Volatility | Variable | Variable | ||||||||
Discount | Decrease | Increase | ||||||||
Enterprise value (“EV”) to revenue multiple | Increase | Decrease | ||||||||
Enterprise value (“EV”) to gross profit multiple | Increase | Decrease | ||||||||
Expected future value | Increase | Decrease | ||||||||
Prior/recent transactions | Increase | Decrease | ||||||||
Probability weighted expected future price | Increase | Decrease |
and would likely reduce the value of its assets. Transactions in loan investments typically take a significant amount of time (i.e., seven days or longer) to settle. This could pose a liquidity risk to the portfolio and, if the portfolio’s exposure to such investments is substantial, could impair the portfolio’s ability to meet redemptions. Because term loans may not be rated by independent credit rating agencies, a decision to invest in a particular loan could depend exclusively on the subadvisor’s credit analysis of the borrower and/or term loan agents. There is greater risk that the portfolio may have limited rights to enforce the terms of an underlying loan than for other types of debt instruments.
Portfolio | | Market value of securities on loan | | Cash collateral received | ||||||
---|---|---|---|---|---|---|---|---|---|---|
500 Index Trust B | $ | 23,952,803 | $ | 24,506,061 | ||||||
Blue Chip Growth Trust | 17,439,637 | 17,794,951 | ||||||||
Capital Appreciation Trust | 5,365,235 | 5,474,000 | ||||||||
Capital Appreciation Value Trust | 646,458 | 661,700 | ||||||||
Emerging Markets Value Trust | 13,823,119 | 14,811,037 | ||||||||
Equity Income Trust | 44,865,525 | 46,857,393 | ||||||||
Financial Industries Trust | 1,227,663 | 1,254,600 | ||||||||
Global Trust | 1,567,751 | 1,626,968 | ||||||||
International Equity Index Trust B | 18,843,126 | 19,836,407 | ||||||||
International Small Company Trust | 11,657,328 | 12,588,080 | ||||||||
International Value Trust | 12,907,479 | 13,605,058 | ||||||||
Mid Cap Index Trust | 42,062,655 | 43,018,435 | ||||||||
Mid Cap Stock Trust | 61,071,552 | 63,112,575 | ||||||||
Mid Value Trust | 26,433,182 | 27,102,012 | ||||||||
Mutual Shares Trust | 3,899,784 | 4,030,427 | ||||||||
Science & Technology Trust | 24,131,569 | 25,153,930 | ||||||||
Small Cap Growth Trust | 56,577,659 | 58,724,651 | ||||||||
Small Cap Index Trust | 48,205,792 | 49,356,119 | ||||||||
Small Cap Opportunities Trust | 9,143,108 | 9,349,475 | ||||||||
Small Cap Value Trust | 29,370,500 | 30,319,481 | ||||||||
Small Company Growth Trust | 9,169,511 | 9,514,718 | ||||||||
Small Company Value Trust | 7,091,315 | 7,312,293 | ||||||||
Strategic Equity Allocation Trust | 186,244,591 | 194,298,286 | ||||||||
Total Stock Market Index Trust | 16,110,200 | 16,481,088 | ||||||||
Utilities Trust | 9,815,854 | 10,122,065 |
Portfolio | | Commitment Fee | ||||
---|---|---|---|---|---|---|
500 Index Trust B | $ | 5,708 | ||||
Alpha Opportunities Trust | 1,857 | |||||
American Asset Allocation Trust | 3,021 | |||||
American Global Growth Trust | 1,628 | |||||
American Growth Trust | 2,329 | |||||
American Growth-Income Trust | 2,531 | |||||
American International Trust | 1,943 | |||||
American New World Trust | 1,480 | |||||
Blue Chip Growth Trust | 3,084 | |||||
Capital Appreciation Trust | 2,360 | |||||
Capital Appreciation Value Trust | 1,804 | |||||
Core Strategy Trust | 5,263 | |||||
Emerging Markets Value Trust | 2,137 | |||||
Equity Income Trust | 3,199 | |||||
Financial Industries Trust | 1,564 | |||||
Fundamental All Cap Core Trust | 3,074 | |||||
Fundamental Large Cap Value Trust | 2,577 | |||||
Global Trust | 1,765 | |||||
Health Sciences Trust | 1,699 | |||||
Lifestyle Aggressive PS Series | 1,420 | |||||
Lifestyle Balanced PS Series | 2,475 | |||||
Lifestyle Conservative PS Series | 1,613 | |||||
Lifestyle Growth PS Series | $ | 4,238 | ||||
Lifestyle Moderate PS Series | 1,747 | |||||
International Equity Index Trust B | 2,354 | |||||
International Growth Stock Trust | 1,807 | |||||
International Small Company Trust | 1,511 | |||||
International Value Trust | 2,281 | |||||
Mid Cap Index Trust | 2,410 | |||||
Mid Cap Stock Trust | 2,150 | |||||
Mid Value Trust | 2,250 | |||||
Mutual Shares Trust | 1,727 | |||||
Real Estate Securities Trust | 2,036 | |||||
Science & Technology Trust | 1,960 | |||||
Small Cap Growth Trust | 1,817 | |||||
Small Cap Index Trust | 1,900 | |||||
Small Cap Opportunities Trust | 1,626 | |||||
Small Cap Value Trust | 2,122 | |||||
Small Company Growth Trust | 1,513 | |||||
Small Company Value Trust | 1,715 | |||||
Strategic Equity Allocation Trust | 12,739 | |||||
Total Stock Market Index Trust | 2,048 | |||||
Utilities Trust | 1,758 | |||||
Value Trust | 1,954 |
No Expiration Date | |||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Portfolio | | 2017 | | 2018 | | Short Term | | Long Term | | ||||||||||
American New World Trust | — | — | — | $ | 560,688 | ||||||||||||||
Emerging Markets Value Trust | — | — | — | 71,549,044 | |||||||||||||||
Financial Industries Trust | — | — | — | 4,901,999 | |||||||||||||||
Fundamental Large Cap Value Trust | $ | 122,929,449 | — | — | — | ||||||||||||||
Global Trust | 8,409,554 | $ | 12,321,700 | — | 6,327,512 | ||||||||||||||
International Equity Index Trust B | 623,557 | 1,514,111 | $ | 722,344 | 2,378,035 | ||||||||||||||
International Small Company Trust | 157,081,665 | 6,569,935 | — | — | |||||||||||||||
International Value Trust | 268,676,893 | — | — | 10,517,119 | |||||||||||||||
Real Estate Securities Trust | 189,638,704 | — | — | — | |||||||||||||||
Small Cap Growth Trust | — | — | 25,684,029 | — | |||||||||||||||
Utilities Trust | — | — | 453,390 | 6,649,068 |
Portfolio | | Aggregate cost | | Unrealized appreciation | | Unrealized (depreciation) | | Net unrealized appreciation/(depreciation) | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
500 Index Trust B | $ | 2,751,027,730 | $ | 2,017,749,893 | ($55,069,519 | ) | $ | 1,962,680,374 | ||||||||||
Alpha Opportunities Trust | 129,782,845 | 18,903,347 | (1,937,635 | ) | 16,965,712 | |||||||||||||
American Asset Allocation Trust | 1,131,740,591 | 421,942,993 | — | 421,942,993 | ||||||||||||||
American Global Growth Trust | 217,372,319 | 11,442,798 | — | 11,442,798 | ||||||||||||||
American Growth Trust | 817,395,553 | 85,887,635 | — | 85,887,635 | ||||||||||||||
American Growth-Income Trust | 987,696,102 | 80,088,265 | — | 80,088,265 | ||||||||||||||
American International Trust | 504,885,178 | 29,208,524 | — | 29,208,524 | ||||||||||||||
American New World Trust | 92,240,684 | — | (2,762,827 | ) | (2,762,827 | ) | ||||||||||||
Blue Chip Growth Trust | 1,019,420,132 | 715,195,480 | (11,813,504 | ) | 703,381,976 | |||||||||||||
Capital Appreciation Trust | 743,474,379 | 261,553,765 | (4,184,913 | ) | 257,368,852 | |||||||||||||
Capital Appreciation Value Trust | 357,845,103 | 46,559,986 | (2,008,691 | ) | 44,551,295 | |||||||||||||
Core Strategy Trust | 3,462,780,792 | 287,486,493 | (15,791,652 | ) | 271,694,841 | |||||||||||||
Emerging Markets Value Trust | 621,368,160 | 114,884,213 | (80,946,015 | ) | 33,938,198 | |||||||||||||
Equity Income Trust | 1,440,570,555 | 420,554,310 | (42,223,377 | ) | 378,330,933 | |||||||||||||
Financial Industries Trust | 188,949,201 | 35,159,223 | (1,190,836 | ) | 33,968,387 | |||||||||||||
Fundamental All Cap Core Trust | 1,404,198,210 | 351,730,167 | (13,748,304 | ) | 337,981,863 | |||||||||||||
Fundamental Large Cap Value Trust | 734,587,218 | 110,357,472 | (16,229,353 | ) | 94,128,119 | |||||||||||||
Global Trust | 213,202,494 | 34,982,833 | (10,041,704 | ) | 24,941,129 | |||||||||||||
Health Sciences Trust | 231,029,820 | 65,182,560 | (9,193,138 | ) | 55,989,422 | |||||||||||||
International Equity Index Trust B | 567,149,263 | 200,050,013 | (61,704,722 | ) | 138,345,291 | |||||||||||||
International Growth Stock Trust | 331,671,689 | 64,767,343 | (14,983,617 | ) | 49,783,726 | |||||||||||||
International Small Company Trust | 130,779,740 | 34,336,940 | (19,927,859 | ) | 14,409,081 | |||||||||||||
International Value Trust | 827,667,598 | 113,122,295 | (53,241,287 | ) | 59,881,008 | |||||||||||||
Lifestyle Aggressive PS Series | 26,141,344 | 2,571,940 | (40,933 | ) | 2,531,007 | |||||||||||||
Lifestyle Balanced PS Series | 982,128,825 | 52,189,280 | — | 52,189,280 | ||||||||||||||
Lifestyle Conservative PS Series | 183,471,910 | 3,770,133 | (250,975 | ) | 3,519,158 | |||||||||||||
Lifestyle Growth PS Series | 2,991,010,258 | 241,904,463 | (7,121,544 | ) | 234,782,919 | |||||||||||||
Lifestyle Moderate PS Series | 310,658,998 | 13,354,603 | — | 13,354,603 | ||||||||||||||
Mid Cap Index Trust | 841,349,126 | 329,208,880 | (43,088,198 | ) | 286,120,682 | |||||||||||||
Mid Cap Stock Trust | 669,219,401 | 134,123,918 | (8,732,239 | ) | 125,391,679 | |||||||||||||
Mid Value Trust | 755,131,435 | 122,425,452 | (21,113,832 | ) | 101,311,620 | |||||||||||||
Mutual Shares Trust | 158,721,943 | 30,718,490 | (14,104,202 | ) | 16,614,288 | |||||||||||||
Real Estate Securities Trust | 373,012,206 | 17,271,588 | (13,768,866 | ) | 3,502,722 | |||||||||||||
Science and Technology Trust | 561,031,593 | 106,772,917 | (7,259,603 | ) | 99,513,314 | |||||||||||||
Small Cap Growth Trust | 400,434,606 | 66,641,535 | (8,507,102 | ) | 58,134,433 | |||||||||||||
Small Cap Index Trust | 473,424,683 | 169,160,596 | (27,691,057 | ) | 141,469,539 |
Portfolio | | Aggregate cost | | Unrealized appreciation | | Unrealized (depreciation) | | Net unrealized appreciation/(depreciation) | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Small Cap Opportunities Trust | $ | 193,200,644 | $ | 48,436,134 | ($15,834,666 | ) | $ | 32,601,468 | ||||||||||
Small Cap Value Trust | 580,894,470 | 157,283,122 | (44,532,810 | ) | 112,750,312 | |||||||||||||
Small Company Growth Trust | 107,711,223 | 30,464,271 | (4,335,155 | ) | 26,129,116 | |||||||||||||
Small Company Value Trust | 197,130,605 | 90,918,193 | (5,742,951 | ) | 85,175,242 | |||||||||||||
Strategic Equity Allocation Trust | 8,304,657,967 | 3,503,982,969 | (314,852,680 | ) | 3,189,130,289 | |||||||||||||
Total Stock Market Index Trust | 480,536,095 | 333,766,223 | (23,314,695 | ) | 310,451,528 | |||||||||||||
Utilities Trust | 327,767,970 | 42,228,613 | (33,202,135 | ) | 9,026,478 | |||||||||||||
Value Trust | 424,764,179 | 80,345,246 | (18,553,782 | ) | 61,791,464 |
Portfolio | | Reason | | USD Notional range | ||||||
---|---|---|---|---|---|---|---|---|---|---|
500 Index Trust B | To manage against anticipated changes in securities, gain exposure to certain securities markets, substitute for securities purchased and maintain diversity of the portfolio. | $165.5 million to $210.8 million | ||||||||
International Equity Index Trust B | To gain exposure to certain securities and substitute for securities purchased. | $12.9 million to $22.7 million | ||||||||
Mid Cap Index Trust | To manage against anticipated changes in securities, gain exposure to certain securities markets, substitute for securities purchased and maintain diversity of the portfolio. | $30.4 million to $51.0 million | ||||||||
Small Cap Index Trust | To manage against anticipated changes in securities, gain exposure to certain securities markets, substitute for securities purchased and maintain diversity of the portfolio. | $18.7 million to $23.5 million | ||||||||
Strategic Equity Allocation Trust | To gain exposure to certain securities and substitute for securities purchased. | $333.5 million to $400.3 million | ||||||||
Total Stock Market Index Trust | To manage against anticipated changes in securities, gain exposure to certain securities markets, substitute for securities purchased and maintain diversity of the portfolio. | $26.2 million to $44.3 million |
Portfolio | | Reason | | USD Notional range | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Mutual Shares Trust | To manage against anticipated changes in currency exchange rates and to maintain diversity of the portfolio. | $17.1 million to $21.8 million | ||||||||
Utilities Trust | To manage against anticipated changes in currency exchange rates. | $40.8 million to $47.5 million |
Fund | | Reason | | USD Notional range | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Capital Appreciation Value Trust | To manage against changes in securities and to gain exposure to certain securities. At June 30, 2017, there were no open purchased options. | Up to $123,310 |
Portfolio | | Type | | Reason | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Capital Appreciation Value Trust | Options on securities | To manage against anticipated changes in securities markets. | ||||||||
Health Sciences Trust | Options on securities | To manage against anticipated changes in securities markets. |
Number of contracts | Premiums received | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Capital Appreciation Value Trust | |||||||||||||||
Outstanding, beginning of period | 6,118 | $ | 1,777,849 | ||||||||||||
Options written | 2,093 | 777,770 | |||||||||||||
Options closed | (456 | ) | (199,844 | ) | |||||||||||
Options exercised | (2,337 | ) | (533,356 | ) | |||||||||||
Options expired | (3,153 | ) | (731,113 | ) | |||||||||||
Outstanding, end of period | 2,265 | $ | 1,091,306 |
Number of contracts | Premiums received | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Health Sciences Trust | |||||||||||||||
Outstanding, beginning of period | 25 | $ | 37,429 | ||||||||||||
Options written | — | — | |||||||||||||
Options closed | — | — | |||||||||||||
Options exercised | — | — | |||||||||||||
Options expired | (25 | ) | (37,429 | ) | |||||||||||
Outstanding, end of period | — | — |
Portfolio | | Risk | | Statements of assets and liabilities location | | Financial instruments location | | Asset derivatives fair value | | Liability derivatives fair value | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
500 Index Trust B | Equity | Receivable/payable for futures | Futures† | — | ($840,857 | ) | ||||||||||||||||
— | ($840,857 | ) | ||||||||||||||||||||
Capital Appreciation Value Trust | Equity | Written options, at value | Written options | — | ($1,979,841 | ) | ||||||||||||||||
— | ($1,979,841 | ) | ||||||||||||||||||||
International Equity Index Trust B | Equity | Receivable/payable for futures | Futures† | — | ($72,609 | ) | ||||||||||||||||
— | ($72,609 | ) | ||||||||||||||||||||
Mid Cap Index Trust | Equity | Receivable/payable for futures | Futures† | — | ($79,319 | ) | ||||||||||||||||
— | ($79,319 | ) | ||||||||||||||||||||
Mutual Shares Trust | Foreign currency | Unrealized appreciation/depreciation on forward foreign currency contracts | Forward foreign currency contracts | $ | 55,327 | ($172,636 | ) | |||||||||||||||
$ | 55,327 | ($172,636 | ) | |||||||||||||||||||
Small Cap Index Trust | Equity | Receivable/payable for futures | Futures† | — | ($216,170 | ) | ||||||||||||||||
— | ($216,170 | ) | ||||||||||||||||||||
Strategic Equity Allocation Trust | Equity | Receivable/payable for futures | Futures† | ($1,529,064 | ) | |||||||||||||||||
— | ($1,529,064 | ) | ||||||||||||||||||||
Total Stock Market Index Trust | Equity | Receivable/payable for futures | Futures† | — | ($223,279 | ) | ||||||||||||||||
— | ($223,279 | ) | ||||||||||||||||||||
Utilities Trust | Foreign currency | Unrealized appreciation/depreciation on forward foreign currency contracts | Forward foreign currency contracts | $ | 20,711 | ($840,192 | ) | |||||||||||||||
$ | 20,711 | ($840,192 | ) |
† | Reflects cumulative appreciation/depreciation on futures as disclosed in the Portfolio of investments. Only the period end variation margin is separately disclosed on the Statements of assets and liabilities. |
Statement of Operations Location — Net Realized Gain (Loss) on: | ||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Portfolio | | Risk | | Unaffiliated Investments and Foreign Currency Transactions1 | | Written Options | | Futures Contracts | | Unaffiliated Investments and Foreign Currency Transactions2 | | Total | | |||||||||||||||||
500 Index Trust B | Equity | — | — | $ | 13,463,110 | — | $ | 13,463,110 | ||||||||||||||||||||||
Total | — | — | $ | 13,463,110 | — | $ | 13,463,110 | |||||||||||||||||||||||
Captial Appreciation Value Trust | Equity | $ | 64,327 | $ | 627,175 | — | — | $ | 691,502 | |||||||||||||||||||||
Total | $ | 64,327 | $ | 627,175 | — | — | $ | 691,502 | ||||||||||||||||||||||
Health Sciences Trust | Equity | — | $ | 37,429 | — | — | $ | 37,429 | ||||||||||||||||||||||
Total | — | $ | 37,429 | — | — | $ | 37,429 |
Statement of Operations Location — Net Realized Gain (Loss) on: | ||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Portfolio | | Risk | | Unaffiliated Investments and Foreign Currency Transactions1 | | Written Options | | Futures Contracts | | Unaffiliated Investments and Foreign Currency Transactions2 | | Total | | |||||||||||||||||
International Equity Index Trust B | Equity | — | — | $ | 2,321,177 | — | $ | 2,321,177 | ||||||||||||||||||||||
Total | — | — | $ | 2,321,177 | — | $ | 2,321,177 | |||||||||||||||||||||||
Mid Cap Index Trust | Equity | — | — | $ | 1,240,643 | — | $ | 1,240,643 | ||||||||||||||||||||||
Total | — | — | $ | 1,240,643 | — | $ | 1,240,643 | |||||||||||||||||||||||
Mutual Shares Trust | Foreign currency | — | — | — | ($789,539 | ) | ($789,539 | ) | ||||||||||||||||||||||
Total | — | — | — | ($789,539 | ) | ($789,539 | ) | |||||||||||||||||||||||
Small Cap Index Trust | Equity | — | — | $ | 672,527 | — | $ | 672,527 | ||||||||||||||||||||||
Total | — | — | $ | 672,527 | — | $ | 672,527 | |||||||||||||||||||||||
Strategic Equity Allocation Trust | Credit | — | — | $ | 30,151,687 | — | $ | 30,151,687 | ||||||||||||||||||||||
Total | — | — | $ | 30,151,687 | — | $ | 30,151,687 | |||||||||||||||||||||||
Total Stock Market Index Trust | Equity | — | — | $ | 2,061,209 | — | $ | 2,061,209 | ||||||||||||||||||||||
Total | — | — | $ | 2,061,209 | — | $ | 2,061,209 | |||||||||||||||||||||||
Utilities Trust | Foreign currency | — | — | — | ($1,229,835 | ) | ($1,229,835 | ) | ||||||||||||||||||||||
Total | — | — | — | ($1,229,835 | ) | ($1,229,835 | ) |
1 | Realized gain/loss associated with purchased options is included in this caption on the Statements of operations. |
2 | Realized gain/loss associated with forward foreign currency contracts is included in this caption on the Statements of operations. |
Statement of Operations Location — Change in Unrealized Appreciation (Depreciation) of: | ||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Portfolio | | Risk | | Unaffiliated Investments and Foreign Currency Transactions1 | | Written Options | | Futures Contracts | | Unaffiliated Investments and Foreign Currency Transactions2 | | Total | | |||||||||||||||||
500 Index Trust B | Equity | — | — | ($101,460 | ) | — | ($101,460 | ) | ||||||||||||||||||||||
Total | — | — | ($101,460 | ) | — | ($101,460 | ) | |||||||||||||||||||||||
Captial Appreciation Value Trust | Equity | ($59,724 | ) | ($948,377 | ) | — | — | ($1,008,101 | ) | |||||||||||||||||||||
Total | ($59,724 | ) | ($948,377 | ) | — | — | ($1,008,101 | ) | ||||||||||||||||||||||
Health Sciences Trust | Equity | — | ($37,117 | ) | — | — | ($37,117 | ) | ||||||||||||||||||||||
Total | — | ($37,117 | ) | — | — | ($37,117 | ) | |||||||||||||||||||||||
International Equity Index Trust B | Equity | — | — | $ | 28,973 | — | $ | 28,973 | ||||||||||||||||||||||
Total | — | — | $ | 28,973 | — | $ | 28,973 | |||||||||||||||||||||||
Mid Cap Index Trust | Equity | — | — | $ | 666,976 | — | $ | 666,976 | ||||||||||||||||||||||
Total | — | — | $ | 666,976 | — | $ | 666,976 | |||||||||||||||||||||||
Mutual Shares Trust | Foreign currency | — | — | — | ($306,496 | ) | ($306,496 | ) | ||||||||||||||||||||||
Total | — | — | — | ($306,496 | ) | ($306,496 | ) | |||||||||||||||||||||||
Small Cap Index Trust | Equity | — | — | $ | 184,243 | — | $ | 184,243 | ||||||||||||||||||||||
Total | — | — | $ | 184,243 | — | $ | 184,243 | |||||||||||||||||||||||
Strategic Equity Allocation Trust | Equity | — | — | $ | 191,444 | — | $ | 191,444 | ||||||||||||||||||||||
Total | — | — | $ | 191,444 | — | $ | 191,444 | |||||||||||||||||||||||
Total Stock Market Index Trust | Equity | — | — | $ | 65,220 | — | $ | 65,220 | ||||||||||||||||||||||
Total | — | — | $ | 65,220 | — | $ | 65,220 | |||||||||||||||||||||||
Utilities Trust | Foreign currency | — | — | — | ($1,568,628 | ) | ($1,568,628 | ) | ||||||||||||||||||||||
Total | — | — | — | ($1,568,628 | ) | ($1,568,628 | ) |
• | 500 Index Trust B — a) 0.470% of the first $500 million of average net assets and b) 0.460% of the excess over $500 million of average net assets. |
• | Alpha Opportunities Trust — a) 0.975% of the first $1 billion of aggregate net assets; b) 0.950% of aggregate net assets between $1 billion and $2 billion; and c) 0.900% of the excess over $2 billion of aggregate net assets. |
• | Blue Chip Growth Trust — a) 0.825% of the first $1 billion of aggregate net assets and b) 0.775% of the excess over $1 billion of aggregate net assets. When aggregate net assets exceed $1 billion on any day, the annual rate of advisory fee for that day is 0.800% on the first $1 billion of aggregate net assets. |
• | Capital Appreciation Trust — a) 0.850% of the first $300 million of aggregate net assets; b) 0.800% of aggregate net assets between $300 million and $500 million; c) 0.700% of the aggregate net assets between $500 million and $1 billion; and d) 0.670% of the excess over $1 billion of aggregate net assets. |
• | Capital Appreciation Value Trust — If net aggregate assets are less than $500 million, then the following fee schedule shall apply: a) 0.950% of the first $250 million of aggregate net assets and b) 0.850% of the excess over $250 million of aggregate net assets. If aggregate net assets equals or exceeds $500 million but are less than $2 billion, then the following fee schedule shall apply: a) 0.850% of the first $1 billion of aggregate net assets and b) 0.800% of the excess over $1 billion of aggregate net assets. If aggregate net assets equals or exceeds $2 billion but are less than $3 billion, then the following fee schedule shall apply: a) 0.850% of the first $500 million of aggregate net assets and b) 0.800% of the excess over $500 million of aggregate net assets. If aggregate net assets equals or exceeds $3 billion, then the advisory fee to be paid is 0.800% of aggregate net assets. |
• | Core Strategy Trust — The management fee has two components: a) a fee on net assets invested in affiliated funds (Affiliated fund assets) and b) a fee on net assets not invested in affiliated funds (Other assets). Affiliated funds are any fund of the Trust, John Hancock Funds II (JHF II) and John Hancock Funds III (JHF III) excluding 500 Index Trust B, International Equity Index Trust B and Total Bond Market Trust B. The advisory fee paid on Affiliated fund assets is as follows: a) 0.050% on the first $500 million of aggregate net assets and b) 0.040% of the excess over $500 million in aggregate net assets. The management fee paid on Other assets is as follows: a) 0.500% on the first $500 million of aggregate net assets and b) 0.490% of the excess over $500 million in aggregate net assets. |
• | Emerging Markets Value Trust — a) 1.000% of the first $100 million of aggregate net assets and b) 0.950% of the excess over $100 million of aggregate net assets. |
• | Equity Income Trust — a) 0.825% of the first $100 million of aggregate net assets, b) 0.800% of aggregate net assets between $100 million and $200 million, c) 0.775% of aggregate net assets between $200 million and $500 million, d) 0.750% of aggregate net assets between $500 million and $1.5 billion and e) 0.725% of the excess over $1.5 billion of aggregate net assets. When aggregate net assets exceeds $200 million on any day, the annual rate of advisory fee for that day is 0.800% on the first $200 million of aggregate net assets. When aggregate net assets exceeds $500 million on any day, the annual rate of advisory fee for that day is 0.775% on the first $500 million of aggregate net assets and 0.750% on aggregate net assets over $500 million. When aggregate net assets exceeds $1 billion on any day, the annual rate of advisory fee for that day is 0.750% on the first $1 billion of aggregate net assets. When aggregate net assets exceeds $1.5 billion on any day, the annual rate of advisory fee for that day is 0.725% on the first $1.5 billion of aggregate net assets. |
• | Financial Industries Trust — a) 0.800% of the first $250 million of aggregate net assets; b) 0.775% of aggregate net assets between $250 million and $500 million; c) 0.750% of aggregate net assets between $500 million and $1 billion; and d) 0.725% of the excess over $1 billion of aggregate net assets. |
• | Fundamental All Cap Core Trust — a) 0.675% of the first $2.5 billion of aggregate net assets and b) 0.650% of the excess over $2.5 billion of aggregate net assets. |
• | Fundamental Large Cap Value Trust — a) 0.700% of the first $500 million of aggregate net assets; b) 0.650% of aggregate net assets between $500 million and $1 billion; and c) 0.600% of the excess over $1 billion of aggregate net assets. |
• | Global Trust — Aggregate net assets are the aggregate net assets of International Value Trust, Income Trust, Mutual Shares Trust, JHF II International Value Fund and JHF II International Small Cap Fund. The advisory fees paid are as follows: a) 0.850% of the first $1 billion of aggregate net assets and b) 0.800% of the excess over $1 billion of aggregate net assets. |
• | Health Sciences Trust — a) 1.050% of the first $500 million of aggregate net assets; b) 1.000% of aggregate net assets between $500 million and $750 million; and c) 0.950% of the excess over $750 million of aggregate net assets. When aggregate net assets exceed $750 million, the advisory fee is 0.950% on all net assets. |
• | International Equity Index Trust B — a) 0.550% of the first $100 million of average net assets and b) 0.530% of the excess over $100 million of average net assets. |
• | International Growth Stock Trust — a) 0.850% of the first $250 million of aggregate net assets; b) 0.800% of aggregate net assets between $250 million and $750 million; and c) 0.750% of the excess over $750 million of aggregate net assets. |
• | International Small Company Trust — 0.950% of aggregate net assets. |
• | International Value Trust — Aggregate net assets are the aggregate net assets of Income Trust, International Value Trust, Mutual Shares Trust, JHF II International Small Cap Fund and JHF II International Value Fund. The advisory fees paid are as follows: a) 0.950% of the first $150 million of aggregate net assets; b) 0.850% of aggregate net assets between $150 million and $300 million; and c) 0.800% of the excess over $300 million of aggregate net assets. However, when aggregate net assets exceed $300 million, then the advisory fee rate is 0.800% of aggregate net assets. |
• | Lifestyle PS Series — The advisory fee has two components: a) a fee on net assets invested in affiliated funds (Affiliated fund assets) excluding 500 Index Trust B, International Equity Index Trust B and Total Bond Market Trust B, and b) a fee on net assets not invested in affiliated funds (Other assets). The advisory fee paid on Affiliated fund assets is as follows: a) 0.050% of the first $7.5 billion of aggregate net assets and b) 0.040% of the excess over $7.5 billion in aggregate net assets. The advisory fee paid on Other assets is as follows: a) 0.500% of the first $7.5 billion of aggregate net assets and b) 0.490% of the excess over $7.5 billion in aggregate net assets. |
• | Mid Cap Index Trust and Small Cap Index Trust — a) 0.490% of the first $250 million of average net assets; b) 0.480% of average net assets between $250 million and $500 million; and c) 0.460% of the excess over $500 million of average net assets. |
• | Mid Cap Stock Trust — a) 0.875% of the first $200 million of aggregate net assets; b) 0.850% of aggregate net assets between $200 million and $500 million; and c) 0.825% of the excess over $500 million of aggregate net assets. |
• | Mid Value Trust — a) 1.050% of the first $20 million of aggregate net assets; and b) 0.950% of the excess over $20 million of aggregate net assets. When aggregate net assets exceed $50 million on any day, the advisory fee for that day is 0.950% of all assets of the portfolio. |
• | Mutual Shares Trust — a) 0.960% of the first $750 million of average net assets; and b) 0.920% of the excess over $750 million of average net assets. When Average Net Assets for the Mutual Shares Trust exceed $750 million, the advisory fee is 0.92% on all net assets. |
• | Real Estate Securities Trust — 0.700% of aggregate net assets. |
• | Science & Technology Trust and Small Company Value Trust — a) 1.050% of the first $500 million of aggregate net assets and b) 1.000% of the excess over $500 million of aggregate net assets. |
• | Small Cap Growth Trust — a) 1.100% of the first $100 million of aggregate net assets; and b) 1.050% of aggregate net assets between $100 million and $500 million; and c) 1.000% of the excess over $500 million of aggregate net assets. |
• | Small Cap Opportunities Trust — a) 1.000% of the first $500 million of aggregate net assets; b) 0.950% of aggregate net assets between $500 million and $1 billion; c) 0.900% of aggregate net assets between $1 billion and $2 billion; and d) 0.850% of the excess over $2 billion of aggregate net assets. Aggregate net assets include net assets of the portfolio and the JHF II New Opportunities Fund. |
• | Small Cap Value Trust — a) 1.100% of the first $100 million of aggregate net assets; b) 1.050% of aggregate net assets between $100 million and $600 million; and c) 1.000% of the excess over $600 million of aggregate net assets. |
• | Small Company Growth Trust — a) 1.050% of the first $250 million of aggregate net assets and b) 1.000% of the excess over $250 million of aggregate net assets. When the aggregate net assets of the portfolio, JHF II Small Company Growth Fund, Small Cap Opportunities Trust, JHF II Small Cap Opportunities Fund, International Growth Stock Trust, JHF II International Growth Stock Fund, Value Trust and JHF II Value Fund, exceeds $1 billion, then the advisory rate for Small Company Growth Trust will be 1.000% of aggregate net assets. |
• | Strategic Equity Allocation Trust — a) 0.675% of the first $2.5 billion of aggregate net assets; b) 0.650% of aggregate net assets between $2.5 billion and $7.5 billion; c) 0.625% of aggregate net assets between $7.5 billion and $10 billion; d) 0.600% of aggregate net assets between $10 billion and $15 billion; e) 0.595% of aggregate net assets between $15 billion and $25 billion; and f) 0.590% of the excess over $25 billion of aggregate net assets. |
• | Total Stock Market Index Trust — a) 0.490% of the first $250 million of average net assets; b) 0.480% of average net assets between $250 million and $500 million; and c) 0.460% of the excess over $500 million of average net assets. |
• | Utilities Trust — a) 0.825% of the first $600 million of average net assets; b) 0.800% of average net assets between $600 million and $900 million; c) 0.775% of average net assets between $900 million and $1.5 billion; and d) 0.700% of the excess over $1.5 billion of average net assets. |
• | Value Trust — a) 0.750% of the first $200 million of aggregate net assets; b) 0.725% of aggregate net assets between $200 million and $500 million; and c) 0.650% of the excess over $500 million of aggregate net assets. |
Portfolios | | Subadvisor | ||||
---|---|---|---|---|---|---|
Science & Technology Trust | Allianz Global Investors U.S. LLC; T. Rowe Price Associates, Inc. | |||||
Real Estate Securities Trust | Deutsche Investment Management Americas, Inc. | |||||
Emerging Markets Value Trust | Dimensional Fund Advisors LP | |||||
International Small Company Trust | ||||||
Small Cap Opportunities Trust | Dimensional Fund Advisors LP; Invesco Advisers, Inc. | |||||
Mutual Shares Trust | Franklin Mutual Advisers, LLC | |||||
International Growth Stock Trust | Invesco Advisers, Inc. | |||||
Small Company Growth Trust | ||||||
Value Trust | ||||||
Capital Appreciation Trust | Jennison Associates LLC | |||||
Core Strategy Trust | John Hancock Asset Management a division of Manulife Asset Management (US) LLC and John | |||||
Lifestyle Aggressive PS Series | Hancock Asset Management a division of Manulife Asset Management (North America) | |||||
Lifestyle Balanced PS Series | Limited1,2,3 | |||||
Lifestyle Conservative PS Series | ||||||
Lifestyle Growth PS Series | ||||||
Lifestyle Moderate PS Series | ||||||
Financial Industries Trust | John Hancock Asset Management a division of Manulife Asset Management (US) LLC 1,3 | |||||
Fundamental All Cap Core Trust | ||||||
Fundamental Large Cap Value Trust | ||||||
Strategic Equity Allocation Trust | ||||||
500 Index Trust B | John Hancock Asset Management a division of Manulife Asset Management (North America) | |||||
Mid Cap Index Trust | Limited1,2 | |||||
Small Cap Index Trust | ||||||
Total Stock Market Index Trust | ||||||
Utilities Trust | Massachusetts Financial Services Company | |||||
International Equity Index Trust B | SSGA Funds Management, Inc. | |||||
Blue Chip Growth Trust | T. Rowe Price Associates, Inc. | |||||
Capital Appreciation Value Trust | ||||||
Equity Income Trust | ||||||
Health Sciences Trust | ||||||
Mid Value Trust | ||||||
Small Company Value Trust | ||||||
Global Trust | Templeton Global Advisors Limited |
Portfolios | | Subadvisor | ||||
---|---|---|---|---|---|---|
International Value Trust | Templeton Investment Counsel, LLC | |||||
Alpha Opportunities Trust | Wellington Management Company LLP | |||||
Mid Cap Stock Trust | ||||||
Small Cap Growth Trust | ||||||
Small Cap Value Trust |
Portfolio | | Expense limitation as a percentage of average net assets | ||||
---|---|---|---|---|---|---|
Alpha Opportunities Trust | 0.20% | |||||
American Asset Allocation Trust | 0.10% | |||||
American Global Growth Trust | 0.10% | |||||
American Growth Trust | 0.10% | |||||
American Growth-Income Trust | 0.10% | |||||
American International Trust | 0.10% | |||||
American New World Trust | 0.10% | |||||
Blue Chip Growth Trust | 0.20% | |||||
Capital Appreciation Trust | 0.20% | |||||
Capital Appreciation Value Trust | 0.20% | |||||
Core Strategy Trust | 0.10% | |||||
Emerging Markets Value Trust | 0.25% | |||||
Equity Income Trust | 0.20% | |||||
Financial Industries Trust | 0.20% | |||||
Fundamental All Cap Core Trust | 0.20% | |||||
Fundamental Large Cap Value Trust | 0.20% | |||||
Global Trust | 0.25% | |||||
Health Sciences Trust | 0.20% | |||||
International Growth Stock Trust | 0.25% | |||||
International Small Company Trust | 0.25% | |||||
International Value Trust | 0.25% | |||||
Mid Cap Index Trust | 0.08% | |||||
Mid Cap Stock Trust | 0.20% | |||||
Mid Value Trust | 0.20% | |||||
Mutual Shares Trust | 0.20% | |||||
Real Estate Securities Trust | 0.20% | |||||
Science & Technology Trust | 0.20% | |||||
Small Cap Growth Trust | 0.20% | |||||
Small Cap Index Trust | 0.08% | |||||
Small Cap Opportunities Trust | 0.20% | |||||
Small Cap Value Trust | 0.20% | |||||
Small Company Growth Trust | 0.20% | |||||
Small Company Value Trust | 0.20% | |||||
Strategic Equity Allocation Trust | 0.20% | |||||
Total Stock Market Index Trust | 0.08% | |||||
Utilities Trust | 0.20% | |||||
Value Trust | 0.20% |
April 30, 2018, unless renewed by mutual agreement of the portfolios and the Advisor based upon a determination that this is appropriate under the circumstances at the time.
Portfolio | | Series I | | Series II | | Series III | | Series NAV | | Total | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
500 Index Trust B | $ | 3,359,845 | $ | 81,993 | — | $ | 2,092,718 | $ | 5,534,556 | |||||||||||||
Alpha Opportunities Trust | 95 | — | — | 26,656 | 26,751 | |||||||||||||||||
American Asset Allocation Trust | 10,118 | 44,975 | $ | 5,444 | — | 60,537 | ||||||||||||||||
American Global Growth Trust | 564 | 6,855 | 1,260 | — | 8,679 | |||||||||||||||||
American Growth Trust | 4,629 | 26,749 | 3,828 | — | 35,206 | |||||||||||||||||
American Growth-Income Trust | 10,014 | 23,188 | 8,684 | — | 41,886 | |||||||||||||||||
American International Trust | 3,993 | 14,707 | 1,696 | — | 20,396 | |||||||||||||||||
American New World Trust | 25,807 | 26,079 | 1,004 | — | 52,890 | |||||||||||||||||
Blue Chip Growth Trust | 54,526 | 23,313 | — | 235,120 | 312,959 | |||||||||||||||||
Capital Appreciation Trust | 6,888 | 2,465 | — | 29,545 | 38,898 | |||||||||||||||||
Capital Appreciation Value Trust | 807 | 62,141 | — | 16,839 | 79,787 | |||||||||||||||||
Emerging Markets Value Trust | 121 | 4 | — | 24,621 | 24,746 | |||||||||||||||||
Equity Income Trust | 44,083 | 23,648 | — | 225,811 | 293,542 | |||||||||||||||||
Financial Industries Trust | 6,565 | 789 | — | 1,233 | 8,587 | |||||||||||||||||
Fundamental All Cap Core Trust | 6,027 | 1,961 | — | 57,347 | 65,335 | |||||||||||||||||
Fundamental Large Cap Value Trust | 29,010 | 11,061 | — | 4,589 | 44,660 | |||||||||||||||||
Global Trust | 16,253 | 4,841 | 4,889 | 25,983 | ||||||||||||||||||
Health Sciences Trust | 31,003 | 23,387 | — | 30,832 | 85,222 | |||||||||||||||||
International Equity Index Trust B | 422,061 | 21,090 | — | 426,165 | 869,316 | |||||||||||||||||
International Growth Stock Trust | 184 | 729 | — | 13,975 | 14,888 | |||||||||||||||||
International Small Company Trust | 1,303 | 722 | — | 2,604 | 4,629 | |||||||||||||||||
International Value Trust | 4,479 | 2,857 | — | 26,854 | 34,190 | |||||||||||||||||
Lifestyle Aggressive PS Series | 4,481 | 19,279 | — | 4,682 | 28,442 | |||||||||||||||||
Lifestyle Balanced PS Series | 750 | 22,983 | — | 1,696 | 25,429 | |||||||||||||||||
Lifestyle Conservative PS Series | 1,097 | 20,791 | — | 373 | 22,261 | |||||||||||||||||
Lifestyle Growth PS Series | 2,411 | 73,851 | — | 2,932 | 79,194 | |||||||||||||||||
Lifestyle Moderate PS Series | 427 | 12,243 | — | 654 | 13,324 | |||||||||||||||||
Mid Cap Index Trust | 457,022 | 36,190 | — | 79,534 | 572,746 | |||||||||||||||||
Mid Cap Stock Trust | 6,179 | 3,166 | 18,387 | 27,732 |
Portfolio | | Series I | | Series II | | Series III | | Series NAV | | Total | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Mid Value Trust | $ | 89,853 | $ | 17,357 | — | $ | 113,457 | $ | 220,667 | |||||||||||||
Mutual Shares Trust | 6,791 | — | — | — | 6,791 | |||||||||||||||||
Real Estate Securities Trust | 3,205 | 1,933 | — | 10,000 | 15,138 | |||||||||||||||||
Science & Technology Trust | 109,849 | 10,759 | — | 8,477 | 129,085 | |||||||||||||||||
Small Cap Growth Trust | 3,203 | 1,149 | — | 10,776 | 15,128 | |||||||||||||||||
Small Cap Index Trust | 112,105 | 12,470 | — | 33,874 | 158,449 | |||||||||||||||||
Small Cap Opportunities Trust | 39,667 | 15,774 | — | 35,092 | 90,533 | |||||||||||||||||
Small Cap Value Trust | 13,937 | 1,489 | — | 11,871 | 27,297 | |||||||||||||||||
Small Company Growth Trust | — | — | — | 4,742 | 4,742 | |||||||||||||||||
Small Company Value Trust | 20,917 | 16,969 | — | 47,921 | 85,807 | |||||||||||||||||
Strategic Equity Allocation Trust | — | — | — | 7,230,804 | 7,230,804 | |||||||||||||||||
Total Stock Market Index Trust | 20,468 | 1,521 | — | 5,454 | 27,443 | |||||||||||||||||
Utilities Trust | 11,080 | 582 | — | 1,149 | 12,811 | |||||||||||||||||
Value Trust | 17,919 | 995 | — | 1,219 | 20,133 |
Portfolio | | Annual Effective Rate | ||||
---|---|---|---|---|---|---|
500 Index Trust B | 0.22 | % | ||||
Alpha Opportunities Trust | 0.94 | % | ||||
American Asset Allocation Trust | 0.00 | %* | ||||
American Global Growth Trust | 0.00 | %* | ||||
American Growth Trust | 0.00 | %* | ||||
American Growth-Income Trust | 0.00 | %* | ||||
American International Trust | 0.00 | %* | ||||
American New World Trust | 0.00 | %* | ||||
Blue Chip Growth Trust | 0.74 | % | ||||
Capital Appreciation Trust | 0.70 | % | ||||
Capital Appreciation Value Trust | 0.77 | % | ||||
Core Strategy Trust | 0.04 | % | ||||
Emerging Markets Value Trust | 0.95 | % | ||||
Equity Income Trust | 0.69 | % | ||||
Financial Industries Trust | 0.75 | % | ||||
Fundamental All Cap Core Trust | 0.67 | % | ||||
Fundamental Large Cap Value Trust | 0.65 | % | ||||
Global Trust | 0.79 | % | ||||
Health Sciences Trust | 0.99 | % | ||||
International Equity Index Trust B | 0.26 | % | ||||
International Growth Stock Trust | 0.78 | % | ||||
International Small Company Trust | 0.94 | % | ||||
International Value Trust | 0.79 | % | ||||
Lifestyle Aggressive PS Series | 0.00 | % | ||||
Lifestyle Balanced PS Series | 0.04 | % | ||||
Lifestyle Conservative PS Series | 0.02 | % | ||||
Lifestyle Growth PS Series | 0.04 | % | ||||
Lifestyle Moderate PS Series | 0.03 | % | ||||
Mid Cap Index Trust | 0.36 | % | ||||
Mid Cap Stock Trust | 0.82 | % | ||||
Mid Value Trust | 0.90 | % | ||||
Mutual Shares Trust | 0.95 | % | ||||
Real Estate Securities Trust | 0.69 | % | ||||
Science & Technology Trust | 0.98 | % | ||||
Small Cap Growth Trust | 1.04 | % | ||||
Small Cap Index Trust | 0.42 | % | ||||
Small Cap Opportunities Trust | 0.90 | % | ||||
Small Cap Value Trust | 1.03 | % | ||||
Small Company Growth Trust | 0.99 | % | ||||
Small Company Value Trust | 0.99 | % | ||||
Strategic Equity Allocation Trust | 0.49 | % | ||||
Total Stock Market Index Trust | 0.47 | % | ||||
Utilities Trust | 0.82 | % | ||||
Value Trust | 0.69 | % |
* | The JHVIT Feeder Funds do not incur investment advisory fees. For more information on these portfolios, see Note 1. |
Class | | Rule 12b-1 Fee | ||||
---|---|---|---|---|---|---|
Series I | 0.15 | % | ||||
Series II | 0.35 | % |
Class | | Rule 12b-1 Fee | ||||
---|---|---|---|---|---|---|
Series I | 0.60 | % | ||||
Series II | 0.75 | % | ||||
Series III | 0.25 | % |
Portfolio | | Series II | ||||
---|---|---|---|---|---|---|
American Asset Allocation Trust | $ | 343,536 | ||||
American Global Growth Trust | 69,779 | |||||
American Growth Trust | 306,444 | |||||
American Growth-Income Trust | 206,689 | |||||
American International Trust | 37,440 | |||||
American New World Trust | 14,973 |
Portfolio | | Borrower or Lender | | Weighted Average Loan Balance | | Days Outstanding | | Weighted Average Interest Rate | | Interest Income (Expense) | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Emerging Markets Value Trust | Borrower | $ | 5,232,934 | 19 | 0.855 | % | ($2,362 | ) | ||||||||||||||
International Equity Index Trust B | Borrower | 4,739,358 | 3 | 0.845 | % | (334 | ) | |||||||||||||||
500 Index Trust B | Lender | 4,576,953 | 1 | 0.880 | % | 112 | ||||||||||||||||
Blue Chip Growth Trust | Lender | 3,885,225 | 4 | 0.845 | % | 365 | ||||||||||||||||
Capital Appreciation Value Trust | Lender | 2,024,368 | 3 | 0.845 | % | 143 | ||||||||||||||||
Emerging Markets Value Trust | Lender | 2,760,290 | 1 | 1.020 | % | 78 | ||||||||||||||||
Equity Income Trust | Lender | 22,965,598 | 1 | 0.845 | % | 539 | ||||||||||||||||
Fundamental All Cap Core Trust | Lender | 3,327,458 | 1 | 0.880 | % | 81 | ||||||||||||||||
Fundamental Large Cap Value Trust | Lender | 6,651,914 | 1 | 0.845 | % | 156 | ||||||||||||||||
Health Sciences Trust | Lender | 1,401,312 | 3 | 0.880 | % | 103 | ||||||||||||||||
International Equity Index Trust B | Lender | 2,342,853 | 1 | 0.845 | % | 55 | ||||||||||||||||
Mid Cap Index Trust | Lender | 15,621,217 | 1 | 1.065 | % | 462 | ||||||||||||||||
Mid Value Trust | Lender | 8,418,878 | 4 | 0.845 | % | 790 | ||||||||||||||||
Science & Technology Trust | Lender | 5,532,473 | 1 | 0.845 | % | 130 | ||||||||||||||||
Small Cap Index Trust | Lender | 10,405,320 | 1 | 1.020 | % | 295 | ||||||||||||||||
Strategic Equity Allocation Trust | Lender | 2,206,655 | 1 | 0.880 | % | 54 | ||||||||||||||||
Total Stock Market Index Trust | Lender | 6,353,135 | 1 | 1.065 | % | 188 |
500 Index Trust B | Six months ended 6/30/17 | Year ended 12/31/16 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | ||||||||||||||||
Series I shares | |||||||||||||||||||
Sold | 6,044,039 | $ | 173,991,435 | 10,142,429 | $ | 262,342,983 | |||||||||||||
Issued in reorganization (Note 12) | — | — | 3,726,507 | 98,171,099 | |||||||||||||||
Distributions reinvested | — | — | 2,854,430 | 76,267,096 | |||||||||||||||
Repurchased | (2,299,832 | ) | (67,190,488 | ) | (4,200,069 | ) | (110,171,309 | ) | |||||||||||
Net increase | 3,744,207 | $ | 106,800,947 | 12,523,297 | $ | 326,609,869 | |||||||||||||
Series II shares | |||||||||||||||||||
Sold | 81,144 | $ | 2,337,433 | 241,727 | $ | 6,357,509 | |||||||||||||
Issued in reorganization (Note 12) | — | — | 238,676 | 6,285,277 | |||||||||||||||
Distributions reinvested | — | — | 64,463 | 1,723,097 | |||||||||||||||
Repurchased | (145,379 | ) | (4,193,592 | ) | (223,398 | ) | (5,765,896 | ) | |||||||||||
Net increase (decrease) | (64,235 | ) | ($1,856,159 | ) | 321,468 | $ | 8,599,987 | ||||||||||||
Series NAV shares | |||||||||||||||||||
Sold | 681,736 | $ | 19,810,213 | 3,749,638 | $ | 97,423,917 | |||||||||||||
Issued in reorganization (Note 12) | — | — | 1,224,317 | 32,257,079 | |||||||||||||||
Distributions reinvested | — | — | 1,916,792 | 51,225,840 | |||||||||||||||
Repurchased | (2,144,294 | ) | (62,041,703 | ) | (3,824,848 | ) | (99,901,139 | ) | |||||||||||
Net increase (decrease) | (1,462,558 | ) | ($42,231,490 | ) | 3,065,899 | $ | 81,005,697 | ||||||||||||
Total net increase | 2,217,414 | $ | 62,713,298 | 15,910,664 | $ | 416,215,553 |
Alpha Opportunities Trust | Six months ended 6/30/17 | Year ended 12/31/16 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | ||||||||||||||||
Series I shares | |||||||||||||||||||
Sold | 405 | $ | 4,400 | 44,210 | $ | 474,858 | |||||||||||||
Distributions reinvested | — | — | 10,878 | 110,029 | |||||||||||||||
Repurchased | (22,003 | ) | (234,336 | ) | (50,272 | ) | (503,126 | ) | |||||||||||
Net increase (decrease) | (21,598 | ) | ($229,936 | ) | 4,816 | $ | 81,761 | ||||||||||||
Series NAV shares | |||||||||||||||||||
Sold | 71,206 | $ | 768,972 | 155,042 | $ | 1,585,768 | |||||||||||||
Distributions reinvested | — | — | 6,615,804 | 67,072,230 | |||||||||||||||
Repurchased | (123,028 | ) | (1,328,279 | ) | (54,040,939 | ) | (556,081,073 | ) | |||||||||||
Net decrease | (51,822 | ) | ($559,307 | ) | (47,270,093 | ) | ($487,423,075 | ) | |||||||||||
Total net decrease | (73,420 | ) | ($789,243 | ) | (47,265,277 | ) | ($487,341,314 | ) |
American Asset Allocation Trust | Six months ended 6/30/17 | Year ended 12/31/16 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | ||||||||||||||||
Series I shares | |||||||||||||||||||
Sold | 912,290 | $ | 12,794,830 | 1,063,106 | $ | 14,763,555 | |||||||||||||
Distributions reinvested | — | — | 2,483,006 | 32,981,080 | |||||||||||||||
Repurchased | (627,727 | ) | (8,848,376 | ) | (775,885 | ) | (10,855,846 | ) | |||||||||||
Net increase | 284,563 | $ | 3,946,454 | 2,770,227 | $ | 36,888,789 | |||||||||||||
Series II shares | |||||||||||||||||||
Sold | 66,633 | $ | 936,825 | 71,967 | $ | 1,069,029 | |||||||||||||
Distributions reinvested | — | — | 11,941,117 | 158,477,027 | |||||||||||||||
Repurchased | (5,335,471 | ) | (75,065,723 | ) | (9,457,720 | ) | (132,136,620 | ) | |||||||||||
Net increase (decrease) | (5,268,838 | ) | ($74,128,898 | ) | 2,555,364 | $ | 27,409,436 | ||||||||||||
Series III shares | |||||||||||||||||||
Sold | 279 | $ | 3,976 | 36,375 | $ | 489,265 | |||||||||||||
Distributions reinvested | — | — | 1,468,008 | 19,540,815 | |||||||||||||||
Repurchased | (561,223 | ) | (7,885,076 | ) | (1,002,478 | ) | (14,158,074 | ) | |||||||||||
Net increase (decrease) | (560,944 | ) | ($7,881,100 | ) | 501,905 | $ | 5,872,006 | ||||||||||||
Total net increase (decrease) | (5,545,219 | ) | ($78,063,544 | ) | 5,827,496 | $ | 70,170,231 |
American Global Growth Trust | Six months ended 6/30/17 | Year ended 12/31/16 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | ||||||||||||||||
Series I shares | |||||||||||||||||||
Sold | 139,722 | $ | 2,111,144 | 275,818 | $ | 3,879,925 | |||||||||||||
Distributions reinvested | — | — | 109,637 | 1,519,860 | |||||||||||||||
Repurchased | (70,638 | ) | (1,039,126 | ) | (217,062 | ) | (3,049,448 | ) | |||||||||||
Net increase | 69,084 | $ | 1,072,018 | 168,393 | $ | 2,350,337 | |||||||||||||
Series II shares | |||||||||||||||||||
Sold | 169,862 | $ | 2,548,048 | 393,846 | $ | 5,672,536 | |||||||||||||
Distributions reinvested | — | — | 1,692,289 | 23,394,074 | |||||||||||||||
Repurchased | (1,125,279 | ) | (16,675,347 | ) | (2,297,248 | ) | (32,971,102 | ) | |||||||||||
Net decrease | (955,417 | ) | ($14,127,299 | ) | (211,113 | ) | ($3,904,492 | ) | |||||||||||
Series III shares | |||||||||||||||||||
Sold | 1,538 | $ | 21,392 | 216,094 | $ | 3,039,566 | |||||||||||||
Distributions reinvested | — | — | 310,922 | 4,304,618 | |||||||||||||||
Repurchased | (299,582 | ) | (4,498,377 | ) | (274,280 | ) | (3,908,934 | ) | |||||||||||
Net increase (decrease) | (298,044 | ) | ($4,476,985 | ) | 252,736 | $ | 3,435,250 | ||||||||||||
Total net increase (decrease) | (1,184,377 | ) | ($17,532,266 | ) | 210,016 | $ | 1,881,095 |
American Growth Trust | Six months ended 6/30/17 | Year ended 12/31/16 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | ||||||||||||||||
Series I shares | |||||||||||||||||||
Sold | 255,156 | $ | 5,154,971 | 522,851 | $ | 10,641,419 | |||||||||||||
Distributions reinvested | — | — | 1,761,191 | 31,996,762 | |||||||||||||||
Repurchased | (279,518 | ) | (5,640,652 | ) | (739,584 | ) | (14,897,969 | ) | |||||||||||
Net increase (decrease) | (24,362 | ) | ($485,681 | ) | 1,544,458 | $ | 27,740,212 | ||||||||||||
Series II shares | |||||||||||||||||||
Sold | 9,744 | $ | 189,233 | 479,640 | $ | 10,884,428 | |||||||||||||
Distributions reinvested | — | — | 11,185,375 | 202,078,891 | |||||||||||||||
Repurchased | (3,435,309 | ) | (69,774,115 | ) | (5,552,915 | ) | (117,316,849 | ) | |||||||||||
Net increase (decrease) | (3,425,565 | ) | ($69,584,882 | ) | 6,112,100 | $ | 95,646,470 | ||||||||||||
Series III shares | |||||||||||||||||||
Sold | 3,423 | $ | 65,613 | 83,296 | $ | 1,955,914 | |||||||||||||
Distributions reinvested | — | — | 1,581,295 | 28,675,571 | |||||||||||||||
Repurchased | (521,730 | ) | (10,644,985 | ) | (504,151 | ) | (10,508,458 | ) | |||||||||||
Net increase (decrease) | (518,307 | ) | ($10,579,372 | ) | 1,160,440 | $ | 20,123,027 | ||||||||||||
Total net increase (decrease) | (3,968,234 | ) | ($80,649,935 | ) | 8,816,998 | $ | 143,509,709 |
American Growth-Income Trust | Six months ended 6/30/17 | Year ended 12/31/16 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | ||||||||||||||||
Series I shares | |||||||||||||||||||
Sold | 120,366 | $ | 2,259,600 | 438,537 | $ | 8,045,228 | |||||||||||||
Distributions reinvested | — | — | 3,616,669 | 62,481,743 | |||||||||||||||
Repurchased | (736,377 | ) | (13,779,729 | ) | (1,371,878 | ) | (26,791,131 | ) | |||||||||||
Net increase (decrease) | (616,011 | ) | ($11,520,129 | ) | 2,683,328 | $ | 43,735,840 | ||||||||||||
Series II shares | |||||||||||||||||||
Sold | 143,133 | $ | 2,748,795 | 17,838 | $ | 316,156 | |||||||||||||
Distributions reinvested | — | — | 9,031,065 | 155,557,374 | |||||||||||||||
Repurchased | (2,926,037 | ) | (54,601,725 | ) | (5,394,945 | ) | (104,655,145 | ) | |||||||||||
Net increase (decrease) | (2,782,904 | ) | ($51,852,930 | ) | 3,653,958 | $ | 51,218,385 | ||||||||||||
Series III shares | |||||||||||||||||||
Sold | 6,416 | $ | 115,745 | 30,917 | $ | 651,074 | |||||||||||||
Distributions reinvested | — | — | 3,333,152 | 57,622,743 | |||||||||||||||
Repurchased | (931,022 | ) | (17,389,466 | ) | (1,342,470 | ) | (25,845,742 | ) | |||||||||||
Net increase (decrease) | (924,606 | ) | ($17,273,721 | ) | 2,021,599 | $ | 32,428,075 | ||||||||||||
Total net increase (decrease) | (4,323,521 | ) | ($80,646,780 | ) | 8,358,885 | $ | 127,382,300 |
American International Trust | Six months ended 6/30/17 | Year ended 12/31/16 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | ||||||||||||||||
Series I shares | |||||||||||||||||||
Sold | 927,268 | $ | 18,549,126 | 1,499,923 | $ | 26,247,378 | |||||||||||||
Distributions reinvested | — | — | 53,409 | 938,390 | |||||||||||||||
Repurchased | (661,397 | ) | (12,729,742 | ) | (1,940,608 | ) | (33,768,159 | ) | |||||||||||
Net increase (decrease) | 265,871 | $ | 5,819,384 | (387,276 | ) | ($6,582,391 | ) | ||||||||||||
Series II shares | |||||||||||||||||||
Sold | 21,267 | $ | 405,596 | 1,072,376 | $ | 18,643,128 | |||||||||||||
Distributions reinvested | — | — | 173,139 | 3,040,326 | |||||||||||||||
Repurchased | (2,496,144 | ) | (49,232,340 | ) | (3,640,781 | ) | (63,961,627 | ) | |||||||||||
Net decrease | (2,474,877 | ) | ($48,826,744 | ) | (2,395,266 | ) | ($42,278,173 | ) | |||||||||||
Series III shares | |||||||||||||||||||
Sold | 254 | $ | 4,767 | 152,142 | $ | 2,629,827 | |||||||||||||
Distributions reinvested | — | — | 30,844 | 540,086 | |||||||||||||||
Repurchased | (279,779 | ) | (5,553,419 | ) | (314,880 | ) | (5,573,689 | ) | |||||||||||
Net decrease | (279,525 | ) | ($5,548,652 | ) | (131,894 | ) | ($2,403,776 | ) | |||||||||||
Total net decrease | (2,488,531 | ) | ($48,556,012 | ) | (2,914,436 | ) | ($51,264,340 | ) |
American New World Trust | Six months ended 6/30/17 | Year ended 12/31/16 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | ||||||||||||||||
Series I shares | |||||||||||||||||||
Sold | 259,208 | $ | 3,129,902 | 499,068 | $ | 5,625,545 | |||||||||||||
Distributions reinvested | — | — | 125,770 | 1,437,310 | |||||||||||||||
Repurchased | (31,890 | ) | (385,744 | ) | (225,296 | ) | (2,477,655 | ) | |||||||||||
Net increase | 227,318 | $ | 2,744,158 | 399,542 | $ | 4,585,200 | |||||||||||||
Series II shares | |||||||||||||||||||
Sold | 98,932 | $ | 1,206,169 | 192,156 | $ | 2,184,892 | |||||||||||||
Distributions reinvested | — | — | 152,526 | 1,742,873 | |||||||||||||||
Repurchased | (313,917 | ) | (3,787,882 | ) | (671,625 | ) | (7,418,472 | ) | |||||||||||
Net decrease | (214,985 | ) | ($2,581,713 | ) | (326,943 | ) | ($3,490,707 | ) | |||||||||||
Series III shares | |||||||||||||||||||
Sold | 117 | $ | 1,480 | 8,948 | $ | 100,041 | |||||||||||||
Distributions reinvested | — | — | 6,293 | 71,656 | |||||||||||||||
Repurchased | (8,917 | ) | (106,227 | ) | (9,104 | ) | (101,068 | ) | |||||||||||
Net increase (decrease) | (8,800 | ) | ($104,747 | ) | 6,137 | $ | 70,629 | ||||||||||||
Total net increase | 3,533 | $ | 57,698 | 78,736 | $ | 1,165,122 |
Blue Chip Growth Trust | Six months ended 6/30/17 | Year ended 12/31/16 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | ||||||||||||||||
Series I shares | |||||||||||||||||||
Sold | 88,737 | $ | 2,648,403 | 76,529 | $ | 2,226,202 | |||||||||||||
Distributions reinvested | — | — | 1,670,758 | 45,294,263 | |||||||||||||||
Repurchased | (739,628 | ) | (22,584,676 | ) | (1,486,922 | ) | (43,403,172 | ) | |||||||||||
Net increase (decrease) | (650,891 | ) | ($19,936,273 | ) | 260,365 | $ | 4,117,293 | ||||||||||||
Series II shares | |||||||||||||||||||
Sold | 80,856 | $ | 2,373,617 | 129,042 | $ | 3,806,586 | |||||||||||||
Distributions reinvested | — | — | 737,713 | 19,601,019 | |||||||||||||||
Repurchased | (371,668 | ) | (11,169,189 | ) | (850,905 | ) | (24,552,521 | ) | |||||||||||
Net increase (decrease) | (290,812 | ) | ($8,795,572 | ) | 15,850 | ($1,144,916 | ) | ||||||||||||
Series NAV shares | |||||||||||||||||||
Sold | 113,741 | $ | 3,389,841 | 1,753,670 | $ | 49,428,094 | |||||||||||||
Distributions reinvested | — | — | 7,070,249 | 191,674,469 | |||||||||||||||
Repurchased | (4,366,963 | ) | (134,605,298 | ) | (4,606,701 | ) | (135,462,829 | ) | |||||||||||
Net increase (decrease) | (4,253,222 | ) | ($131,215,457 | ) | 4,217,218 | $ | 105,639,734 | ||||||||||||
Total net increase (decrease) | (5,194,925 | ) | ($159,947,302 | ) | 4,493,433 | $ | 108,612,111 |
Capital Appreciation Trust | Six months ended 6/30/17 | Year ended 12/31/16 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | ||||||||||||||||
Series I shares | |||||||||||||||||||
Sold | 103,905 | $ | 1,273,383 | 92,180 | $ | 1,135,467 | |||||||||||||
Distributions reinvested | — | — | 2,397,769 | 28,245,718 | |||||||||||||||
Repurchased | (1,131,659 | ) | (14,873,012 | ) | (2,058,597 | ) | (26,179,184 | ) | |||||||||||
Net increase (decrease) | (1,027,754 | ) | ($13,599,629 | ) | 431,352 | $ | 3,202,001 | ||||||||||||
Series II shares | |||||||||||||||||||
Sold | 149,332 | $ | 1,833,597 | 162,207 | $ | 2,037,246 | |||||||||||||
Distributions reinvested | — | — | 897,173 | 10,272,633 | |||||||||||||||
Repurchased | (399,018 | ) | (5,065,052 | ) | (1,073,167 | ) | (13,367,542 | ) | |||||||||||
Net decrease | (249,686 | ) | ($3,231,455 | ) | (13,787 | ) | ($1,057,663 | ) | |||||||||||
Series NAV shares | |||||||||||||||||||
Sold | 1,328,516 | $ | 17,176,737 | 8,799,080 | $ | 104,104,826 | |||||||||||||
Distributions reinvested | — | — | 9,128,589 | 107,717,347 | |||||||||||||||
Repurchased | (8,304,040 | ) | (109,564,702 | ) | (5,499,616 | ) | (69,731,058 | ) | |||||||||||
Net increase (decrease) | (6,975,524 | ) | ($92,387,965 | ) | 12,428,053 | $ | 142,091,115 | ||||||||||||
Total net increase (decrease) | (8,252,964 | ) | ($109,219,049 | ) | 12,845,618 | $ | 144,235,453 |
Capital Appreciation Value Trust | Six months ended 6/30/17 | Year ended 12/31/16 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | ||||||||||||||||
Series I shares | |||||||||||||||||||
Sold | 125,195 | $ | 1,433,669 | 152,092 | $ | 1,781,213 | |||||||||||||
Distributions reinvested | — | — | 28,235 | 314,791 | |||||||||||||||
Repurchased | (16,324 | ) | (190,407 | ) | (28,219 | ) | (323,701 | ) | |||||||||||
Net increase | 108,871 | $ | 1,243,262 | 152,108 | $ | 1,772,303 | |||||||||||||
Series II shares | |||||||||||||||||||
Sold | 100,462 | $ | 1,163,761 | 251,189 | $ | 2,818,145 | |||||||||||||
Distributions reinvested | — | — | 3,000,082 | 33,308,137 | |||||||||||||||
Repurchased | (2,042,759 | ) | (23,796,961 | ) | (3,345,809 | ) | (38,296,978 | ) | |||||||||||
Net decrease | (1,942,297 | ) | ($22,633,200 | ) | (94,538 | ) | ($2,170,696 | ) | |||||||||||
Series NAV shares | |||||||||||||||||||
Sold | 1,301,775 | $ | 15,076,465 | 2,841,690 | $ | 32,659,880 | |||||||||||||
Distributions reinvested | — | — | 650,132 | 7,234,425 | |||||||||||||||
Repurchased | (814,348 | ) | (9,580,896 | ) | (560,535 | ) | (6,429,437 | ) | |||||||||||
Net increase | 487,427 | $ | 5,495,569 | 2,931,287 | $ | 33,464,868 | |||||||||||||
Total net increase (decrease) | (1,345,999 | ) | ($15,894,369 | ) | 2,988,857 | $ | 33,066,475 |
Core Strategy Trust | Six months ended 6/30/17 | Year ended 12/31/16 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | ||||||||||||||||
Series I shares | |||||||||||||||||||
Sold | 94,160 | $ | 1,410,317 | 233,759 | $ | 3,355,829 | |||||||||||||
Distributions reinvested | — | — | 521,723 | 7,450,440 | |||||||||||||||
Repurchased | (349,209 | ) | (5,195,379 | ) | (810,772 | ) | (11,529,686 | ) | |||||||||||
Net decrease | (255,049 | ) | ($3,785,062 | ) | (55,290 | ) | ($723,417 | ) | |||||||||||
Series II shares | |||||||||||||||||||
Sold | 404,852 | $ | 5,947,764 | 2,254,060 | $ | 32,433,305 | |||||||||||||
Distributions reinvested | — | — | 13,729,461 | 196,744,141 | |||||||||||||||
Repurchased | (11,737,772 | ) | (176,117,619 | ) | (20,694,706 | ) | (293,848,212 | ) | |||||||||||
Net decrease | (11,332,920 | ) | ($170,169,855 | ) | (4,711,185 | ) | ($64,670,766 | ) | |||||||||||
Series NAV shares | |||||||||||||||||||
Sold | 437,535 | $ | 6,511,479 | 789,276 | $ | 11,256,270 | |||||||||||||
Distributions reinvested | — | — | 715,185 | 10,226,138 | |||||||||||||||
Repurchased | (124,234 | ) | (1,856,723 | ) | (574,665 | ) | (8,191,056 | ) | |||||||||||
Net increase | 313,301 | $ | 4,654,756 | 929,796 | $ | 13,291,352 | |||||||||||||
Total net decrease | (11,274,668 | ) | ($169,300,161 | ) | (3,836,679 | ) | ($52,102,831 | ) |
Emerging Markets Value Trust | Six months ended 6/30/17 | Year ended 12/31/16 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | ||||||||||||||||
Series I shares | |||||||||||||||||||
Sold | 18,266 | $ | 168,035 | 114,871 | $ | 908,981 | |||||||||||||
Distributions reinvested | — | — | 6,665 | 54,595 | |||||||||||||||
Repurchased | (31,254 | ) | (283,746 | ) | (94,359 | ) | (738,390 | ) | |||||||||||
Net increase (decrease) | (12,988 | ) | ($115,711 | ) | 27,177 | $ | 225,186 | ||||||||||||
Series II shares | |||||||||||||||||||
Distributions reinvested | — | — | 202 | $ | 1,652 | ||||||||||||||
Net increase | — | — | 202 | $ | 1,652 | ||||||||||||||
Series NAV shares | |||||||||||||||||||
Sold | 1,119,201 | $ | 10,288,396 | 3,776,348 | $ | 28,827,823 | |||||||||||||
Distributions reinvested | — | — | 1,738,653 | 14,248,128 | |||||||||||||||
Repurchased | (8,191,565 | ) | (72,785,618 | ) | (24,581,537 | ) | (200,341,261 | ) | |||||||||||
Net decrease | (7,072,364 | ) | ($62,497,222 | ) | (19,066,536 | ) | ($157,265,310 | ) | |||||||||||
Total net decrease | (7,085,352 | ) | ($62,612,933 | ) | (19,039,157 | ) | ($157,038,472 | ) |
Equity Income Trust | Six months ended 6/30/17 | Year ended 12/31/16 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | ||||||||||||||||
Series I shares | |||||||||||||||||||
Sold | 52,652 | $ | 902,974 | 67,876 | $ | 1,123,266 | |||||||||||||
Distributions reinvested | — | — | 1,931,878 | 30,589,537 | |||||||||||||||
Repurchased | (1,099,562 | ) | (18,894,419 | ) | (2,285,430 | ) | (36,844,457 | ) | |||||||||||
Net decrease | (1,046,910 | ) | ($17,991,445 | ) | (285,676 | ) | ($5,131,654 | ) | |||||||||||
Series II shares | |||||||||||||||||||
Sold | 26,958 | $ | 466,687 | 319,618 | $ | 5,172,211 | |||||||||||||
Distributions reinvested | — | — | 1,038,810 | 16,361,583 | |||||||||||||||
Repurchased | (805,181 | ) | (13,778,663 | ) | (1,266,568 | ) | (20,337,205 | ) | |||||||||||
Net increase (decrease) | (778,223 | ) | ($13,311,976 | ) | 91,860 | $ | 1,196,589 | ||||||||||||
Series NAV shares | |||||||||||||||||||
Sold | 969,113 | $ | 16,431,104 | 8,224,576 | $ | 134,072,176 | |||||||||||||
Distributions reinvested | — | — | 9,346,534 | 147,492,096 | |||||||||||||||
Repurchased | (7,475,506 | ) | (129,304,278 | ) | (13,957,092 | ) | (224,499,784 | ) | |||||||||||
Net increase (decrease) | (6,506,393 | ) | ($112,873,174 | ) | 3,614,018 | $ | 57,064,488 | ||||||||||||
Total net increase (decrease) | (8,331,526 | ) | ($144,176,595 | ) | 3,420,202 | $ | 53,129,423 |
Financial Industries Trust | Six months ended 6/30/17 | Year ended 12/31/16 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | ||||||||||||||||
Series I shares | |||||||||||||||||||
Sold | 1,614,164 | $ | 21,699,660 | 3,378,025 | $ | 41,542,495 | |||||||||||||
Distributions reinvested | — | — | 144,997 | 1,724,018 | |||||||||||||||
Repurchased | (2,398,471 | ) | (32,246,760 | ) | (2,539,822 | ) | (27,074,864 | ) | |||||||||||
Net increase (decrease) | (784,307 | ) | ($10,547,100 | ) | 983,200 | $ | 16,191,649 | ||||||||||||
Series II shares | |||||||||||||||||||
Sold | 230,347 | $ | 3,116,323 | 380,345 | $ | 4,500,153 | |||||||||||||
Distributions reinvested | — | — | 17,588 | 206,573 | |||||||||||||||
Repurchased | (424,590 | ) | (5,629,054 | ) | (505,738 | ) | (5,423,332 | ) | |||||||||||
Net decrease | (194,243 | ) | ($2,512,731 | ) | (107,805 | ) | ($716,606 | ) | |||||||||||
Series NAV shares | |||||||||||||||||||
Sold | 1,321,965 | $ | 18,121,870 | 312,394 | $ | 3,634,968 | |||||||||||||
Distributions reinvested | — | — | 27,185 | 321,862 | |||||||||||||||
Repurchased | (279,388 | ) | (3,718,799 | ) | (328,283 | ) | (3,531,145 | ) | |||||||||||
Net increase | 1,042,577 | $ | 14,403,071 | 11,296 | $ | 425,685 | |||||||||||||
Total net increase | 64,027 | $ | 1,343,240 | 886,691 | $ | 15,900,728 |
Fundamental All Cap Core Trust | Six months ended 6/30/17 | Year ended 12/31/16 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | ||||||||||||||||
Series I shares | |||||||||||||||||||
Sold | 220,046 | $ | 4,893,728 | 282,133 | $ | 5,844,039 | |||||||||||||
Distributions reinvested | — | — | 1,049,316 | 21,041,313 | |||||||||||||||
Repurchased | (457,881 | ) | (10,292,221 | ) | (1,863,707 | ) | (38,842,264 | ) | |||||||||||
Net decrease | (237,835 | ) | ($5,398,493 | ) | (532,258 | ) | ($11,956,912 | ) | |||||||||||
Series II shares | |||||||||||||||||||
Sold | 56,521 | $ | 1,249,481 | 45,694 | $ | 989,989 | |||||||||||||
Distributions reinvested | — | — | 330,010 | 6,595,912 | |||||||||||||||
Repurchased | (222,301 | ) | (4,947,492 | ) | (395,235 | ) | (8,088,725 | ) | |||||||||||
Net decrease | (165,780 | ) | ($3,698,011 | ) | (19,531 | ) | ($502,824 | ) | |||||||||||
Series NAV shares | |||||||||||||||||||
Sold | 3,281,977 | $ | 75,122,325 | 91,455 | $ | 1,855,339 | |||||||||||||
Distributions reinvested | — | — | 9,327,458 | 187,990,199 | |||||||||||||||
Repurchased | (5,749,412 | ) | (130,489,307 | ) | (5,290,073 | ) | (110,744,620 | ) | |||||||||||
Net increase (decrease) | (2,467,435 | ) | ($55,366,982 | ) | 4,128,840 | $ | 79,100,918 | ||||||||||||
Total net increase (decrease) | (2,871,050 | ) | ($64,463,486 | ) | 3,577,051 | $ | 66,641,182 |
Fundamental Large Cap Value Trust | Six months ended 6/30/17 | Year ended 12/31/16 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | ||||||||||||||||
Series I shares | |||||||||||||||||||
Sold | 131,936 | $ | 2,541,943 | 320,295 | $ | 5,167,987 | |||||||||||||
Distributions reinvested | — | — | 641,213 | 11,465,810 | |||||||||||||||
Repurchased | (2,569,598 | ) | (49,230,134 | ) | (4,468,881 | ) | (75,540,484 | ) | |||||||||||
Net decrease | (2,437,662 | ) | ($46,688,191 | ) | (3,507,373 | ) | ($58,906,687 | ) | |||||||||||
Series II shares | |||||||||||||||||||
Sold | 63,902 | $ | 1,251,409 | 378,897 | $ | 6,133,176 | |||||||||||||
Distributions reinvested | — | — | 227,506 | 4,097,304 | |||||||||||||||
Repurchased | (960,374 | ) | (18,516,172 | ) | (2,248,353 | ) | (38,765,802 | ) | |||||||||||
Net decrease | (896,472 | ) | ($17,264,763 | ) | (1,641,950 | ) | ($28,535,322 | ) | |||||||||||
Series NAV shares | |||||||||||||||||||
Sold | 189,496 | $ | 3,619,398 | 666,398 | $ | 10,969,543 | |||||||||||||
Distributions reinvested | — | — | 213,450 | 3,791,037 | |||||||||||||||
Repurchased | (287,746 | ) | (5,510,799 | ) | (41,906,790 | ) | (715,364,348 | ) | |||||||||||
Net decrease | (98,250 | ) | ($1,891,401 | ) | (41,026,942 | ) | ($700,603,768 | ) | |||||||||||
Total net decrease | (3,432,384 | ) | ($65,844,355 | ) | (46,176,265 | ) | ($788,045,777 | ) |
Global Trust | Six months ended 6/30/17 | Year ended 12/31/16 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | ||||||||||||||||
Series I shares | |||||||||||||||||||
Sold | 18,696 | $ | 376,927 | 131,670 | $ | 2,324,191 | |||||||||||||
Distributions reinvested | — | — | 341,341 | 6,227,844 | |||||||||||||||
Repurchased | (546,234 | ) | (10,904,406 | ) | (1,070,507 | ) | (19,339,272 | ) | |||||||||||
Net decrease | (527,538 | ) | ($10,527,479 | ) | (597,496 | ) | ($10,787,237 | ) | |||||||||||
Series II shares | |||||||||||||||||||
Sold | 15,836 | $ | 310,500 | 79,711 | $ | 1,401,283 | |||||||||||||
Distributions reinvested | — | — | 99,082 | 1,800,551 | |||||||||||||||
Repurchased | (194,651 | ) | (3,838,636 | ) | (455,596 | ) | (8,055,452 | ) | |||||||||||
Net decrease | (178,815 | ) | ($3,528,136 | ) | (276,803 | ) | ($4,853,618 | ) | |||||||||||
Series NAV shares | |||||||||||||||||||
Sold | 61,553 | $ | 1,227,556 | 111,516 | $ | 1,961,014 | |||||||||||||
Distributions reinvested | — | — | 133,710 | 2,450,175 | |||||||||||||||
Repurchased | (98,670 | ) | (1,959,725 | ) | (19,758,155 | ) | (368,025,325 | ) | |||||||||||
Net decrease | (37,117 | ) | ($732,169 | ) | (19,512,929 | ) | ($363,614,136 | ) | |||||||||||
Total net decrease | (743,470 | ) | ($14,787,784 | ) | (20,387,228 | ) | ($379,254,991 | ) |
Health Sciences Trust | Six months ended 6/30/17 | Year ended 12/31/16 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | ||||||||||||||||
Series I shares | |||||||||||||||||||
Sold | 237,689 | $ | 5,851,553 | 207,558 | $ | 5,738,058 | |||||||||||||
Distributions reinvested | — | — | 1,123,236 | 25,486,230 | |||||||||||||||
Repurchased | (448,617 | ) | (10,706,906 | ) | (1,612,250 | ) | (42,745,374 | ) | |||||||||||
Net decrease | (210,928 | ) | ($4,855,353 | ) | (281,456 | ) | ($11,521,086 | ) | |||||||||||
Series II shares | |||||||||||||||||||
Sold | 116,411 | $ | 2,616,341 | 236,246 | $ | 5,957,884 | |||||||||||||
Distributions reinvested | — | — | 937,478 | 19,977,664 | |||||||||||||||
Repurchased | (365,139 | ) | (8,255,565 | ) | (1,064,720 | ) | (26,354,490 | ) | |||||||||||
Net increase (decrease) | (248,728 | ) | ($5,639,224 | ) | 109,004 | ($418,942 | ) | ||||||||||||
Series NAV shares | |||||||||||||||||||
Sold | 94,849 | $ | 2,323,328 | 332,001 | $ | 8,692,793 | |||||||||||||
Distributions reinvested | — | — | 1,050,526 | 24,109,570 | |||||||||||||||
Repurchased | (550,008 | ) | (13,404,906 | ) | (678,680 | ) | (17,929,921 | ) | |||||||||||
Net increase (decrease) | (455,159 | ) | ($11,081,578 | ) | 703,847 | $ | 14,872,442 | ||||||||||||
Total net increase (decrease) | (914,815 | ) | ($21,576,155 | ) | 531,395 | $ | 2,932,414 | �� |
International Equity Index Trust B | Six months ended 6/30/17 | Year ended 12/31/16 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | ||||||||||||||||
Series I shares | |||||||||||||||||||
Sold | 2,073,548 | $ | 33,750,816 | 2,013,185 | $ | 29,078,074 | |||||||||||||
Distributions reinvested | — | — | 495,179 | 7,281,119 | |||||||||||||||
Repurchased | (466,253 | ) | (7,541,055 | ) | (1,912,684 | ) | (28,169,831 | ) | |||||||||||
Net increase | 1,607,295 | $ | 26,209,761 | 595,680 | $ | 8,189,362 | |||||||||||||
Series II shares | |||||||||||||||||||
Sold | 73,494 | $ | 1,185,088 | 53,173 | $ | 777,182 | |||||||||||||
Distributions reinvested | — | — | 23,786 | 350,454 | |||||||||||||||
Repurchased | (86,177 | ) | (1,391,685 | ) | (172,390 | ) | (2,523,755 | ) | |||||||||||
Net decrease | (12,683 | ) | ($206,597 | ) | (95,431 | ) | ($1,396,119 | ) | |||||||||||
Series NAV shares | |||||||||||||||||||
Sold | 761,877 | $ | 12,354,336 | 991,677 | $ | 14,457,482 | |||||||||||||
Distributions reinvested | — | — | 535,353 | 7,868,001 | |||||||||||||||
Repurchased | (1,299,618 | ) | (20,438,475 | ) | (1,560,245 | ) | (22,839,791 | ) | |||||||||||
Net decrease | (537,741 | ) | ($8,084,139 | ) | (33,215 | ) | ($514,308 | ) | |||||||||||
Total net increase | 1,056,871 | $ | 17,919,025 | 467,034 | $ | 6,278,935 |
International Growth Stock Trust | Six months ended 6/30/17 | Year ended 12/31/16 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | ||||||||||||||||
Series I shares | |||||||||||||||||||
Sold | 62,937 | $ | 1,044,378 | 127,913 | $ | 2,027,038 | |||||||||||||
Distributions reinvested | — | — | 4,359 | 67,675 | |||||||||||||||
Repurchased | (8,219 | ) | (138,650 | ) | (88,424 | ) | (1,411,934 | ) | |||||||||||
Net increase | 54,718 | $ | 905,728 | 43,848 | $ | 682,779 | |||||||||||||
Series II shares | |||||||||||||||||||
Sold | 44,781 | $ | 751,635 | 88,478 | $ | 1,379,051 | |||||||||||||
Distributions reinvested | — | — | 17,674 | 275,435 | |||||||||||||||
Repurchased | (107,016 | ) | (1,815,316 | ) | (240,271 | ) | (3,731,726 | ) | |||||||||||
Net decrease | (62,235 | ) | ($1,063,681 | ) | (134,119 | ) | ($2,077,240 | ) | |||||||||||
Series NAV shares | |||||||||||||||||||
Sold | 617,998 | $ | 10,219,346 | 838,313 | $ | 13,213,693 | |||||||||||||
Distributions reinvested | — | — | 420,764 | 6,540,418 | |||||||||||||||
Repurchased | (2,977,566 | ) | (49,741,580 | ) | (3,368,941 | ) | (52,797,102 | ) | |||||||||||
Net decrease | (2,359,568 | ) | ($39,522,234 | ) | (2,109,864 | ) | ($33,042,991 | ) | |||||||||||
Total net decrease | (2,367,085 | ) | ($39,680,187 | ) | (2,200,135 | ) | ($34,437,452 | ) |
International Small Company Trust | Six months ended 6/30/17 | Year ended 12/31/16 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | ||||||||||||||||
Series I shares | |||||||||||||||||||
Sold | 96,388 | $ | 1,301,470 | 184,122 | $ | 2,230,693 | |||||||||||||
Distributions reinvested | — | — | 52,019 | 645,735 | |||||||||||||||
Repurchased | (253,353 | ) | (3,462,616 | ) | (525,495 | ) | (6,405,500 | ) | |||||||||||
Net decrease | (156,965 | ) | ($2,161,146 | ) | (289,354 | ) | ($3,529,072 | ) | |||||||||||
Series II shares | |||||||||||||||||||
Sold | 51,244 | $ | 702,440 | 120,281 | $ | 1,443,729 | |||||||||||||
Distributions reinvested | — | — | 25,224 | 313,103 | |||||||||||||||
Repurchased | (154,801 | ) | (2,080,091 | ) | (364,345 | ) | (4,433,529 | ) | |||||||||||
Net decrease | (103,557 | ) | ($1,377,651 | ) | (218,840 | ) | ($2,676,697 | ) | |||||||||||
Series NAV shares | |||||||||||||||||||
Sold | 1,049,846 | $ | 14,722,492 | 796,465 | $ | 9,665,689 | |||||||||||||
Distributions reinvested | — | — | 94,388 | 1,170,659 | |||||||||||||||
Repurchased | (170,017 | ) | (2,303,978 | ) | (588,239 | ) | (7,185,997 | ) | |||||||||||
Net increase | 879,829 | $ | 12,418,514 | 302,614 | $ | 3,650,351 | |||||||||||||
Total net increase (decrease) | 619,307 | $ | 8,879,717 | (205,580 | ) | ($2,555,418 | ) |
International Value Trust | Six months ended 6/30/17 | Year ended 12/31/16 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | ||||||||||||||||
Series I shares | |||||||||||||||||||
Sold | 26,799 | $ | 355,426 | 200,157 | $ | 2,366,309 | |||||||||||||
Issued in reorganization (Note 12) | — | — | 2,759,267 | 34,455,030 | |||||||||||||||
Distributions reinvested | — | — | 185,056 | 2,234,481 | |||||||||||||||
Repurchased | (666,545 | ) | (8,855,574 | ) | (979,035 | ) | (11,430,725 | ) | |||||||||||
Net increase (decrease) | (639,746 | ) | ($8,500,148 | ) | 2,165,445 | $ | 27,625,095 | ||||||||||||
Series II shares | |||||||||||||||||||
Sold | 39,089 | $ | 517,519 | 282,571 | $ | 3,355,324 | |||||||||||||
Issued in reorganization (Note 12) | — | — | 1,112,508 | 13,864,699 | |||||||||||||||
Distributions reinvested | ��� | — | 109,635 | 1,322,703 | |||||||||||||||
Repurchased | (548,422 | ) | (7,323,260 | ) | (955,796 | ) | (11,118,614 | ) | |||||||||||
Net increase (decrease) | (509,333 | ) | ($6,805,741 | ) | 548,918 | $ | 7,424,112 | ||||||||||||
Series NAV shares | |||||||||||||||||||
Sold | 525,892 | $ | 6,923,206 | 1,514,409 | $ | 16,600,826 | |||||||||||||
Issued in reorganization (Note 12) | — | — | 2,583,724 | 32,032,552 | |||||||||||||||
Distributions reinvested | — | — | 1,223,460 | 14,670,334 | |||||||||||||||
Repurchased | (5,339,506 | ) | (70,647,785 | ) | (11,419,792 | ) | (138,205,871 | ) | |||||||||||
Net decrease | (4,813,614 | ) | ($63,724,579 | ) | (6,098,199 | ) | ($74,902,159 | ) | |||||||||||
Total net decrease | (5,962,693 | ) | ($79,030,468 | ) | (3,383,836 | ) | ($39,852,952 | ) |
Lifestyle Aggressive PS Series | Six months ended 6/30/17 | Year ended 12/31/16 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | ||||||||||||||||
Series I shares | |||||||||||||||||||
Sold | 3,987 | $ | 53,627 | 101,108 | $ | 1,262,631 | |||||||||||||
Distributions reinvested | — | — | 13,934 | 177,442 | |||||||||||||||
Repurchased | (3,981 | ) | (53,929 | ) | (29,028 | ) | (359,361 | ) | |||||||||||
Net increase (decrease) | 6 | ($302 | ) | 86,014 | $ | 1,080,712 | |||||||||||||
Series II shares | |||||||||||||||||||
Sold | 28,605 | $ | 386,903 | 48,600 | $ | 598,883 | |||||||||||||
Distributions reinvested | — | — | 70,558 | 897,536 | |||||||||||||||
Repurchased | (81,749 | ) | (1,101,146 | ) | (103,936 | ) | (1,275,830 | ) | |||||||||||
Net increase (decrease) | (53,144 | ) | ($714,243 | ) | 15,222 | $ | 220,589 | ||||||||||||
Series NAV shares | |||||||||||||||||||
Sold | 176,932 | $ | 2,321,586 | 137,894 | $ | 1,795,437 | |||||||||||||
Distributions reinvested | — | — | 9,893 | 126,020 | |||||||||||||||
Repurchased | (6,875 | ) | (93,862 | ) | (26,628 | ) | (336,145 | ) | |||||||||||
Net increase | 170,057 | $ | 2,227,724 | 121,159 | $ | 1,585,312 | |||||||||||||
Total net increase | 116,919 | $ | 1,513,179 | 222,395 | $ | 2,886,613 |
Lifestyle Balanced PS Series | Six months ended 6/30/17 | Year ended 12/31/16 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | ||||||||||||||||
Series I shares | |||||||||||||||||||
Sold | 192,214 | $ | 2,744,653 | 251,549 | $ | 3,532,517 | |||||||||||||
Distributions reinvested | — | — | 101,624 | 1,415,529 | |||||||||||||||
Repurchased | (379,641 | ) | (5,412,401 | ) | (270,893 | ) | (3,752,634 | ) | |||||||||||
Net increase (decrease) | (187,427 | ) | ($2,667,748 | ) | 82,280 | $ | 1,195,412 | ||||||||||||
Series II shares | |||||||||||||||||||
Sold | 1,073,628 | $ | 15,421,004 | 5,100,448 | $ | 69,854,817 | |||||||||||||
Distributions reinvested | — | — | 2,823,876 | 39,411,300 | |||||||||||||||
Repurchased | (3,464,328 | ) | (49,717,178 | ) | (8,229,629 | ) | (112,332,889 | ) | |||||||||||
Net decrease | (2,390,700 | ) | ($34,296,174 | ) | (305,305 | ) | ($3,066,772 | ) | |||||||||||
Series NAV shares | |||||||||||||||||||
Sold | 478,495 | $ | 6,809,164 | 1,240,875 | $ | 17,263,311 | |||||||||||||
Distributions reinvested | — | — | 195,697 | 2,721,746 | |||||||||||||||
Repurchased | (71,574 | ) | (1,028,109 | ) | (164,521 | ) | (2,277,985 | ) | |||||||||||
Net increase | 406,921 | $ | 5,781,055 | 1,272,051 | $ | 17,707,072 | |||||||||||||
Total net increase (decrease) | (2,171,206 | ) | ($31,182,867 | ) | 1,049,026 | $ | 15,835,712 |
Lifestyle Conservative PS Series | Six months ended 6/30/17 | Year ended 12/31/16 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | ||||||||||||||||
Series I shares | |||||||||||||||||||
Sold | 61,311 | $ | 813,899 | 137,577 | $ | 1,816,883 | |||||||||||||
Distributions reinvested | — | — | 25,834 | 337,070 | |||||||||||||||
Repurchased | (32,909 | ) | (435,524 | ) | (122,943 | ) | (1,620,287 | ) | |||||||||||
Net increase | 28,402 | $ | 378,375 | 40,468 | $ | 533,666 | |||||||||||||
Series II shares | |||||||||||||||||||
Sold | 710,131 | $ | 9,397,705 | 2,303,708 | $ | 30,154,810 | |||||||||||||
Distributions reinvested | — | — | 504,021 | 6,593,600 | |||||||||||||||
Repurchased | (1,527,914 | ) | (20,148,258 | ) | (3,081,301 | ) | (40,916,528 | ) | |||||||||||
Net decrease | (817,783 | ) | ($10,750,553 | ) | (273,572 | ) | ($4,168,118 | ) | |||||||||||
Series NAV shares | |||||||||||||||||||
Sold | 22,211 | $ | 294,189 | 177,821 | $ | 2,396,922 | |||||||||||||
Distributions reinvested | — | — | 8,383 | 109,132 | |||||||||||||||
Repurchased | (3,659 | ) | (48,330 | ) | (11,835 | ) | (154,970 | ) | |||||||||||
Net increase | 18,552 | $ | 245,859 | 174,369 | $ | 2,351,084 | |||||||||||||
Total net decrease | (770,829 | ) | ($10,126,319 | ) | (58,735 | ) | ($1,283,368 | ) |
Lifestyle Growth PS Series | Six months ended 6/30/17 | Year ended 12/31/16 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | ||||||||||||||||
Series I shares | |||||||||||||||||||
Sold | 347,864 | $ | 5,318,222 | 697,163 | $ | 10,136,569 | |||||||||||||
Issued in reorganization (Note 12) | — | — | 2,998,783 | 43,539,274 | |||||||||||||||
Distributions reinvested | — | — | 209,409 | 3,054,378 | |||||||||||||||
Repurchased | (308,942 | ) | (4,724,129 | ) | (308,031 | ) | (4,466,408 | ) | |||||||||||
Net increase | 38,922 | $ | 594,093 | 3,597,324 | $ | 52,263,813 | |||||||||||||
Series II shares | |||||||||||||||||||
Sold | 690,264 | $ | 10,331,642 | 12,339,255 | $ | 177,165,033 | |||||||||||||
Issued in reorganization (Note 12) | — | — | 64,515,968 | 936,346,497 | |||||||||||||||
Distributions reinvested | — | — | 7,270,805 | 106,188,151 | |||||||||||||||
Repurchased | (8,263,817 | ) | (126,510,177 | ) | (19,133,299 | ) | (270,719,421 | ) | |||||||||||
Net increase (decrease) | (7,573,553 | ) | ($116,178,535 | ) | 64,992,729 | $ | 948,980,260 | ||||||||||||
Series NAV shares | |||||||||||||||||||
Sold | 678,474 | $ | 10,317,535 | 1,451,673 | $ | 20,996,363 | |||||||||||||
Issued in reorganization (Note 12) | — | — | 3,952,421 | 57,376,678 | |||||||||||||||
Distributions reinvested | — | — | 234,521 | 3,417,906 | |||||||||||||||
Repurchased | (106,241 | ) | (1,583,365 | ) | (255,753 | ) | (3,696,517 | ) | |||||||||||
Net increase | 572,233 | $ | 8,734,170 | 5,382,862 | $ | 78,094,430 | |||||||||||||
Total net increase (decrease) | (6,962,398 | ) | ($106,850,272 | ) | 73,972,915 | $ | 1,079,338,503 |
Lifestyle Moderate PS Series | Six months ended 6/30/17 | Year ended 12/31/16 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | ||||||||||||||||
Series I shares | |||||||||||||||||||
Sold | 96,937 | $ | 1,348,330 | 169,425 | $ | 2,305,748 | |||||||||||||
Distributions reinvested | — | — | 31,302 | 427,796 | |||||||||||||||
Repurchased | (85,749 | ) | (1,198,626 | ) | (119,434 | ) | (1,610,688 | ) | |||||||||||
Net increase | 11,188 | $ | 149,704 | 81,293 | $ | 1,122,856 | |||||||||||||
Series II shares | |||||||||||||||||||
Sold | 456,600 | $ | 6,355,086 | 2,423,731 | $ | 32,488,564 | |||||||||||||
Distributions reinvested | — | — | 913,725 | 12,516,179 | |||||||||||||||
Repurchased | (1,502,620 | ) | (20,950,383 | ) | (4,218,830 | ) | (57,010,081 | ) | |||||||||||
Net decrease | (1,046,020 | ) | ($14,595,297 | ) | (881,374 | ) | ($12,005,338 | ) | |||||||||||
Series NAV shares | |||||||||||||||||||
Sold | 146,909 | $ | 2,049,105 | 473,229 | $ | 6,530,551 | |||||||||||||
Distributions reinvested | — | — | 42,589 | 581,194 | |||||||||||||||
Repurchased | (11,009 | ) | (152,828 | ) | (43,430 | ) | (590,290 | ) | |||||||||||
Net increase | 135,900 | $ | 1,896,277 | 472,388 | $ | 6,521,455 | |||||||||||||
Total net decrease | (898,932 | ) | ($12,549,316 | ) | (327,693 | ) | ($4,361,027 | ) |
Mid Cap Index Trust | Six months ended 6/30/17 | Year ended 12/31/16 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | ||||||||||||||||
Series I shares | |||||||||||||||||||
Sold | 1,812,151 | $ | 39,771,014 | 3,154,372 | $ | 65,102,303 | |||||||||||||
Distributions reinvested | — | — | 3,660,591 | 74,098,309 | |||||||||||||||
Repurchased | (1,381,912 | ) | (30,769,744 | ) | (2,679,726 | ) | (54,277,199 | ) | |||||||||||
Net increase | 430,239 | $ | 9,001,270 | 4,135,237 | $ | 84,923,413 | |||||||||||||
Series II shares | |||||||||||||||||||
Sold | 31,331 | $ | 686,462 | 127,734 | $ | 2,623,279 | |||||||||||||
Distributions reinvested | — | — | 313,133 | 6,304,135 | |||||||||||||||
Repurchased | (283,663 | ) | (6,244,899 | ) | (440,913 | ) | (8,901,562 | ) | |||||||||||
Net increase (decrease) | (252,332 | ) | ($5,558,437 | ) | (46 | ) | $ | 25,852 | |||||||||||
Series NAV shares | |||||||||||||||||||
Sold | 1,146,596 | $ | 25,232,326 | 2,144,003 | $ | 44,055,772 | |||||||||||||
Distributions reinvested | — | — | 598,482 | 12,117,435 | |||||||||||||||
Repurchased | (534,927 | ) | (11,803,125 | ) | (1,803,831 | ) | (36,175,286 | ) | |||||||||||
Net increase | 611,669 | $ | 13,429,201 | 938,654 | $ | 19,997,921 | |||||||||||||
Total net increase | 789,576 | $ | 16,872,034 | 5,073,845 | $ | 104,947,186 |
Mid Cap Stock Trust | Six months ended 6/30/17 | Year ended 12/31/16 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | ||||||||||||||||
Series I shares | |||||||||||||||||||
Sold | 43,367 | $ | 666,701 | 247,682 | $ | 3,552,613 | |||||||||||||
Distributions reinvested | — | — | 793,098 | 11,515,782 | |||||||||||||||
Repurchased | (893,393 | ) | (13,932,125 | ) | (1,624,460 | ) | (23,187,696 | ) | |||||||||||
Net decrease | (850,026 | ) | ($13,265,424 | ) | (583,680 | ) | ($8,119,301 | ) | |||||||||||
Series II shares | |||||||||||||||||||
Sold | 116,241 | $ | 1,671,221 | 69,652 | $ | 945,848 | |||||||||||||
Distributions reinvested | — | — | 444,625 | 6,135,831 | |||||||||||||||
Repurchased | (493,964 | ) | (7,312,405 | ) | (1,143,348 | ) | (15,505,633 | ) | |||||||||||
Net decrease | (377,723 | ) | ($5,641,184 | ) | (629,071 | ) | ($8,423,954 | ) | |||||||||||
Series NAV shares | |||||||||||||||||||
Sold | 267,434 | $ | 4,159,499 | 361,959 | $ | 5,099,228 | |||||||||||||
Distributions reinvested | — | — | 2,370,450 | 34,798,213 | |||||||||||||||
Repurchased | (3,412,534 | ) | (54,370,593 | ) | (4,355,998 | ) | (64,566,953 | ) | |||||||||||
Net decrease | (3,145,100 | ) | ($50,211,094 | ) | (1,623,589 | ) | ($24,669,512 | ) | |||||||||||
Total net decrease | (4,372,849 | ) | ($69,117,702 | ) | (2,836,340 | ) | ($41,212,767 | ) |
Mid Value Trust | Six months ended 6/30/17 | Year ended 12/31/16 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | ||||||||||||||||
Series I shares | |||||||||||||||||||
Sold | 802,989 | $ | 9,489,750 | 2,837,862 | $ | 32,671,603 | |||||||||||||
Distributions reinvested | — | — | 3,630,231 | 39,689,552 | |||||||||||||||
Repurchased | (2,639,718 | ) | (31,349,949 | ) | (3,092,021 | ) | (34,360,083 | ) | |||||||||||
Net increase (decrease) | (1,836,729 | ) | ($21,860,199 | ) | 3,376,072 | $ | 38,001,072 | ||||||||||||
Series II shares | |||||||||||||||||||
Sold | 82,377 | $ | 979,432 | 347,601 | $ | 4,018,284 | |||||||||||||
Distributions reinvested | — | — | 748,613 | 8,179,863 | |||||||||||||||
Repurchased | (477,563 | ) | (5,666,651 | ) | (877,012 | ) | (9,945,026 | ) | |||||||||||
Net increase (decrease) | (395,186 | ) | ($4,687,219 | ) | 219,202 | $ | 2,253,121 | ||||||||||||
Series NAV shares | |||||||||||||||||||
Sold | 1,842,947 | $ | 21,880,328 | 1,297,866 | $ | 15,133,978 | |||||||||||||
Distributions reinvested | — | — | 4,900,129 | 53,328,282 | |||||||||||||||
Repurchased | (2,094,490 | ) | (24,807,321 | ) | (7,667,902 | ) | (85,901,234 | ) | |||||||||||
Net decrease | (251,543 | ) | ($2,926,993 | ) | (1,469,907 | ) | ($17,438,974 | ) | |||||||||||
Total net increase (decrease) | (2,483,458 | ) | ($29,474,411 | ) | 2,125,367 | $ | 22,815,219 |
Mutual Shares Trust | Six months ended 6/30/17 | Year ended 12/31/16 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | ||||||||||||||||
Series I shares | |||||||||||||||||||
Sold | 183,374 | $ | 2,258,270 | 4,310 | $ | 49,323 | |||||||||||||
Distributions reinvested | — | — | 2,292,328 | 26,161,592 | |||||||||||||||
Repurchased | (874,646 | ) | (10,650,510 | ) | (2,220,828 | ) | (26,121,515 | ) | |||||||||||
Net increase (decrease) | (691,272 | ) | ($8,392,240 | ) | 75,810 | $ | 89,400 | ||||||||||||
Series NAV shares1 | |||||||||||||||||||
Distributions reinvested | — | — | 3,264,897 | 37,317,768 | |||||||||||||||
Repurchased | — | — | (33,032,793 | ) | (378,234,915 | ) | |||||||||||||
Net decrease | — | — | (29,767,896 | ) | ($340,917,147 | ) | |||||||||||||
Total net decrease | (691,272 | ) | ($8,392,240 | ) | (29,692,086 | ) | ($340,827,747 | ) |
Real Estate Securities Trust | Six months ended 6/30/17 | Year ended 12/31/16 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | ||||||||||||||||
Series I shares | |||||||||||||||||||
Sold | 1,907 | $ | 36,366 | 179,729 | $ | 3,499,878 | |||||||||||||
Distributions reinvested | — | — | 162,344 | 2,951,550 | |||||||||||||||
Repurchased | (413,720 | ) | (7,815,109 | ) | (751,211 | ) | (14,080,111 | ) | |||||||||||
Net decrease | (411,813 | ) | ($7,778,743 | ) | (409,138 | ) | ($7,628,683 | ) | |||||||||||
Series II shares | |||||||||||||||||||
Sold | 74,177 | $ | 1,429,335 | 195,829 | $ | 3,751,304 | |||||||||||||
Distributions reinvested | — | — | 90,828 | 1,655,649 | |||||||||||||||
Repurchased | (323,940 | ) | (6,143,987 | ) | (573,737 | ) | (10,855,857 | ) | |||||||||||
Net decrease | (249,763 | ) | ($4,714,652 | ) | (287,080 | ) | ($5,448,904 | ) | |||||||||||
Series NAV shares | |||||||||||||||||||
Sold | 110,105 | $ | 2,074,463 | 408,215 | $ | 7,717,064 | |||||||||||||
Distributions reinvested | — | — | 514,767 | 9,299,342 | |||||||||||||||
Repurchased | (1,473,331 | ) | (27,815,860 | ) | (1,590,433 | ) | (30,052,990 | ) | |||||||||||
Net decrease | (1,363,226 | ) | ($25,741,397 | ) | (667,451 | ) | ($13,036,584 | ) | |||||||||||
Total net decrease | (2,024,802 | ) | ($38,234,792 | ) | (1,363,669 | ) | ($26,114,171 | ) |
Science & Technology Trust | Six months ended 6/30/17 | Year ended 12/31/16 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | ||||||||||||||||
Series I shares | |||||||||||||||||||
Sold | 1,880,639 | $ | 49,098,774 | 1,012,576 | $ | 23,380,744 | |||||||||||||
Distributions reinvested | — | — | 2,533,287 | 57,150,948 | |||||||||||||||
Repurchased | (1,070,192 | ) | (27,524,218 | ) | (3,001,321 | ) | (68,424,922 | ) | |||||||||||
Net increase | 810,447 | $ | 21,574,556 | 544,542 | $ | 12,106,770 | |||||||||||||
Series II shares | |||||||||||||||||||
Sold | 212,114 | $ | 5,179,021 | 117,972 | $ | 2,652,551 | |||||||||||||
Distributions reinvested | — | — | 266,588 | 5,803,630 | |||||||||||||||
Repurchased | (198,110 | ) | (4,893,589 | ) | (401,721 | ) | (8,892,313 | ) | |||||||||||
Net increase (decrease) | 14,004 | $ | 285,432 | (17,161 | ) | ($436,132 | ) | ||||||||||||
Series NAV shares | |||||||||||||||||||
Sold | 103,764 | $ | 2,723,038 | 353,789 | $ | 8,291,233 | |||||||||||||
Distributions reinvested | — | — | 186,407 | 4,240,765 | |||||||||||||||
Repurchased | (138,871 | ) | (3,575,437 | ) | (258,298 | ) | (5,996,693 | ) | |||||||||||
Net increase (decrease) | (35,107 | ) | ($852,399 | ) | 281,898 | $ | 6,535,305 | ||||||||||||
Total net increase | 789,344 | $ | 21,007,589 | 809,279 | $ | 18,205,943 |
Small Cap Growth Trust | Six months ended 6/30/17 | Year ended 12/31/16 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | ||||||||||||||||
Series I shares | |||||||||||||||||||
Sold | 463,553 | $ | 4,001,708 | 653,494 | $ | 5,108,950 | |||||||||||||
Distributions reinvested | — | — | 964,940 | 7,536,179 | |||||||||||||||
Repurchased | (1,006,655 | ) | (8,624,497 | ) | (2,928,154 | ) | (23,103,654 | ) | |||||||||||
Net decrease | (543,102 | ) | ($4,622,789 | ) | (1,309,720 | ) | ($10,458,525 | ) | |||||||||||
Series II shares | |||||||||||||||||||
Sold | 166,239 | $ | 1,361,332 | 307,333 | $ | 2,363,613 | |||||||||||||
Distributions reinvested | — | — | 353,250 | 2,635,244 | |||||||||||||||
Repurchased | (374,372 | ) | (3,109,416 | ) | (911,335 | ) | (6,757,249 | ) | |||||||||||
Net decrease | (208,133 | ) | ($1,748,084 | ) | (250,752 | ) | ($1,758,392 | ) | |||||||||||
Series NAV shares | |||||||||||||||||||
Sold | 1,273,082 | $ | 10,780,284 | 1,313,482 | $ | 10,073,716 | |||||||||||||
Distributions reinvested | — | — | 3,316,617 | 26,168,107 | |||||||||||||||
Repurchased | (3,686,698 | ) | (31,725,847 | ) | (5,816,917 | ) | (47,149,430 | ) | |||||||||||
Net decrease | (2,413,616 | ) | ($20,945,563 | ) | (1,186,818 | ) | ($10,907,607 | ) | |||||||||||
Total net decrease | (3,164,851 | ) | ($27,316,436 | ) | (2,747,290 | ) | ($23,124,524 | ) |
Small Cap Index Trust | Six months ended 6/30/17 | Year ended 12/31/16 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | ||||||||||||||||
Series I shares | |||||||||||||||||||
Sold | 2,184,632 | $ | 32,718,241 | 3,319,467 | $ | 46,244,354 | |||||||||||||
Distributions reinvested | — | — | 1,947,946 | 26,486,593 | |||||||||||||||
Repurchased | (1,214,903 | ) | (18,454,790 | ) | (2,022,185 | ) | (27,005,427 | ) | |||||||||||
Net increase | 969,729 | $ | 14,263,451 | 3,245,228 | $ | 45,725,520 | |||||||||||||
Series II shares | |||||||||||||||||||
Sold | 36,272 | $ | 542,165 | 135,317 | $ | 1,886,498 | |||||||||||||
Distributions reinvested | — | — | 252,069 | 3,402,977 | |||||||||||||||
Repurchased | (360,048 | ) | (5,389,465 | ) | (366,817 | ) | (4,889,321 | ) | |||||||||||
Net increase (decrease) | (323,776 | ) | ($4,847,300 | ) | 20,569 | $ | 400,154 | ||||||||||||
Series NAV shares | |||||||||||||||||||
Sold | 724,349 | $ | 10,876,123 | 1,281,851 | $ | 17,869,332 | |||||||||||||
Distributions reinvested | — | — | 619,790 | 8,436,837 | |||||||||||||||
Repurchased | (417,140 | ) | (6,289,995 | ) | (691,273 | ) | (9,200,439 | ) | |||||||||||
Net increase | 307,209 | $ | 4,586,128 | 1,210,368 | $ | 17,105,730 | |||||||||||||
Total net increase | 953,162 | $ | 14,002,279 | 4,476,165 | $ | 63,231,404 |
Small Cap Opportunities Trust | Six months ended 6/30/17 | Year ended 12/31/16 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | ||||||||||||||||
Series I shares | |||||||||||||||||||
Sold | 19,333 | $ | 605,010 | 57,299 | $ | 1,747,735 | |||||||||||||
Distributions reinvested | — | — | 317,968 | 8,934,910 | |||||||||||||||
Repurchased | (254,870 | ) | (8,041,781 | ) | (445,698 | ) | (12,832,389 | ) | |||||||||||
Net decrease | (235,537 | ) | ($7,436,771 | ) | (70,431 | ) | ($2,149,744 | ) | |||||||||||
Series II shares | |||||||||||||||||||
Sold | 63,566 | $ | 1,974,333 | 44,445 | $ | 1,268,849 | |||||||||||||
Distributions reinvested | — | — | 126,373 | 3,499,264 | |||||||||||||||
Repurchased | (125,438 | ) | (3,865,026 | ) | (271,242 | ) | (7,782,945 | ) | |||||||||||
Net decrease | (61,872 | ) | ($1,890,693 | ) | (100,424 | ) | ($3,014,832 | ) | |||||||||||
Series NAV shares | |||||||||||||||||||
Sold | 110,823 | $ | 3,434,330 | 141,566 | $ | 4,025,029 | |||||||||||||
Distributions reinvested | — | — | 303,298 | 8,480,211 | |||||||||||||||
Repurchased | (117,755 | ) | (3,692,663 | ) | (702,415 | ) | (20,434,931 | ) | |||||||||||
Net decrease | (6,932 | ) | ($258,333 | ) | (257,551 | ) | ($7,929,691 | ) | |||||||||||
Total net decrease | (304,341 | ) | ($9,585,797 | ) | (428,406 | ) | ($13,094,267 | ) |
Small Cap Value Trust | Six months ended 6/30/17 | Year ended 12/31/16 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | ||||||||||||||||
Series I shares | |||||||||||||||||||
Sold | 442,628 | $ | 9,484,594 | 1,000,704 | $ | 20,986,663 | |||||||||||||
Distributions reinvested | — | — | 2,420,012 | 47,283,963 | |||||||||||||||
Repurchased | (1,905,320 | ) | (40,214,149 | ) | (2,030,980 | ) | (40,796,437 | ) | |||||||||||
Net increase (decrease) | (1,462,692 | ) | ($30,729,555 | ) | 1,389,736 | $ | 27,474,189 | ||||||||||||
Series II shares | |||||||||||||||||||
Sold | 30,351 | $ | 644,768 | 233,879 | $ | 4,797,499 | |||||||||||||
Distributions reinvested | — | — | 263,865 | 5,121,442 | |||||||||||||||
Repurchased | (261,334 | ) | (5,500,518 | ) | (357,188 | ) | (7,185,700 | ) | |||||||||||
Net increase (decrease) | (230,983 | ) | ($4,855,750 | ) | 140,556 | $ | 2,733,241 | ||||||||||||
Series NAV shares | |||||||||||||||||||
Sold | 575,843 | $ | 12,025,776 | 679,973 | $ | 14,318,539 | |||||||||||||
Distributions reinvested | — | — | 2,175,408 | 42,399,254 | |||||||||||||||
Repurchased | (976,407 | ) | (20,652,088 | ) | (2,681,226 | ) | (55,409,577 | ) | |||||||||||
Net increase (decrease) | (400,564 | ) | ($8,626,312 | ) | 174,155 | $ | 1,308,216 | ||||||||||||
Total net increase (decrease) | (2,094,239 | ) | ($44,211,617 | ) | 1,704,447 | $ | 31,515,646 |
Small Company Growth Trust | Six months ended 6/30/17 | Year ended 12/31/16 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | ||||||||||||||||
Series NAV shares | |||||||||||||||||||
Sold | 240,629 | $ | 6,497,070 | 425,399 | $ | 10,767,164 | |||||||||||||
Distributions reinvested | — | — | 661,276 | 16,386,423 | |||||||||||||||
Repurchased | (377,767 | ) | (10,313,371 | ) | (704,282 | ) | (18,674,053 | ) | |||||||||||
Net increase (decrease) | (137,138 | ) | ($3,816,301 | ) | 382,393 | $ | 8,479,534 |
Small Company Value Trust | Six months ended 6/30/17 | Year ended 12/31/16 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | ||||||||||||||||
Series I shares | |||||||||||||||||||
Sold | 55,128 | $ | 1,220,410 | 185,715 | $ | 3,816,599 | |||||||||||||
Distributions reinvested | — | — | 504,118 | 9,883,884 | |||||||||||||||
Repurchased | (417,043 | ) | (9,175,002 | ) | (465,746 | ) | (9,370,597 | ) | |||||||||||
Net increase (decrease) | (361,915 | ) | ($7,954,592 | ) | 224,087 | $ | 4,329,886 | ||||||||||||
Series II shares | |||||||||||||||||||
Sold | 31,654 | $ | 684,737 | 135,762 | $ | 2,826,919 | |||||||||||||
Distributions reinvested | — | — | 430,988 | 8,304,671 | |||||||||||||||
Repurchased | (258,329 | ) | (5,620,217 | ) | (407,099 | ) | (8,200,087 | ) | |||||||||||
Net increase (decrease) | (226,675 | ) | ($4,935,480 | ) | 159,651 | $ | 2,931,503 | ||||||||||||
Series NAV shares | |||||||||||||||||||
Sold | 305,323 | $ | 6,620,034 | 177,558 | $ | 3,681,105 | |||||||||||||
Distributions reinvested | — | — | 1,506,818 | 29,468,008 | |||||||||||||||
Repurchased | (336,111 | ) | (7,442,092 | ) | (4,136,310 | ) | (85,625,136 | ) | |||||||||||
Net decrease | (30,788 | ) | ($822,058 | ) | (2,451,934 | ) | ($52,476,023 | ) | |||||||||||
Total net decrease | (619,378 | ) | ($13,712,130 | ) | (2,068,196 | ) | ($45,214,634 | ) |
Strategic Equity Allocation Trust | Six months ended 6/30/17 | Year ended 12/31/16 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | ||||||||||||||||
Series NAV shares | |||||||||||||||||||
Sold | 249,036 | $ | 4,434,520 | 97,913,326 | $ | 1,596,511,395 | |||||||||||||
Distributions reinvested | — | — | 23,230,308 | 385,513,756 | |||||||||||||||
Repurchased | (49,934,937 | ) | (893,188,164 | ) | (79,937,195 | ) | (1,313,058,461 | ) | |||||||||||
Net increase (decrease) | (49,685,901 | ) | ($888,753,644 | ) | 41,206,439 | $ | 668,966,690 |
Total Stock Market Index Trust | Six months ended 6/30/17 | Year ended 12/31/16 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | ||||||||||||||||
Series I shares | |||||||||||||||||||
Sold | 2,278,801 | $ | 46,021,570 | 2,222,161 | $ | 40,397,710 | |||||||||||||
Issued in reorganization (Note 12) | 2,428,390 | 49,754,824 | — | — | |||||||||||||||
Distributions reinvested | — | — | 733,387 | 13,722,877 | |||||||||||||||
Repurchased | (1,748,451 | ) | (35,553,955 | ) | (3,271,245 | ) | (59,210,090 | ) | |||||||||||
Net increase (decrease) | 2,958,740 | $ | 60,222,439 | (315,697 | ) | ($5,089,503 | ) | ||||||||||||
Series II shares | |||||||||||||||||||
Sold | 12,859 | $ | 251,676 | 31,011 | $ | 576,467 | |||||||||||||
Issued in reorganization (Note 12) | 326,253 | 6,658,154 | — | — | |||||||||||||||
Distributions reinvested | — | — | 52,813 | 984,323 | |||||||||||||||
Repurchased | (130,341 | ) | (2,634,310 | ) | (222,712 | ) | (3,995,615 | ) | |||||||||||
Net increase (decrease) | 208,771 | $ | 4,275,520 | (138,888 | ) | ($2,434,825 | ) | ||||||||||||
Series NAV shares | |||||||||||||||||||
Sold | 997,910 | $ | 19,787,350 | 1,543,297 | $ | 28,577,907 | |||||||||||||
Issued in reorganization (Note 12) | 496,179 | 10,165,000 | — | — | |||||||||||||||
Distributions reinvested | — | — | 183,452 | 3,434,609 | |||||||||||||||
Repurchased | (1,098,198 | ) | (21,636,813 | ) | (469,926 | ) | (8,566,481 | ) | |||||||||||
Net increase | 395,891 | $ | 8,315,537 | 1,256,823 | $ | 23,446,035 | |||||||||||||
Total net increase | 3,563,402 | $ | 72,813,496 | 802,238 | $ | 15,921,707 |
Utilities Trust | Six months ended 6/30/17 | Year ended 12/31/16 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | ||||||||||||||||
Series I shares | |||||||||||||||||||
Sold | 373,710 | $ | 5,049,414 | 757,746 | $ | 9,869,284 | |||||||||||||
Distributions reinvested | — | — | 1,473,184 | 18,933,906 | |||||||||||||||
Repurchased | (2,186,900 | ) | (29,414,624 | ) | (4,905,718 | ) | (62,256,739 | ) | |||||||||||
Net decrease | (1,813,190 | ) | ($24,365,210 | ) | (2,674,788 | ) | ($33,453,549 | ) | |||||||||||
Series II shares | |||||||||||||||||||
Sold | 30,499 | $ | 403,996 | 114,783 | $ | 1,481,693 | |||||||||||||
Distributions reinvested | — | — | 73,893 | 940,196 | |||||||||||||||
Repurchased | (116,456 | ) | (1,540,604 | ) | (286,946 | ) | (3,658,363 | ) | |||||||||||
Net decrease | (85,957 | ) | ($1,136,608 | ) | (98,270 | ) | ($1,236,474 | ) | |||||||||||
Series NAV shares | |||||||||||||||||||
Sold | 136,936 | $ | 1,848,237 | 232,278 | $ | 3,014,423 | |||||||||||||
Distributions reinvested | — | — | 141,848 | 1,818,062 | |||||||||||||||
Repurchased | (159,701 | ) | (2,149,775 | ) | (682,614 | ) | (8,783,238 | ) | |||||||||||
Net decrease | (22,765 | ) | ($301,538 | ) | (308,488 | ) | ($3,950,753 | ) | |||||||||||
Total net decrease | (1,921,912 | ) | ($25,803,356 | ) | (3,081,546 | ) | ($38,640,776 | ) |
Value Trust | Six months ended 6/30/17 | Year ended 12/31/16 | ||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | |||||||||||||||||||
Series I shares | ||||||||||||||||||||||
Sold | 90,275 | $ | 1,952,022 | 177,989 | $ | 3,603,993 | ||||||||||||||||
Distributions reinvested | — | — | 2,241,524 | 44,788,747 | ||||||||||||||||||
Repurchased | (2,080,110 | ) | (44,805,765 | ) | (4,671,893 | ) | (94,152,931 | ) | ||||||||||||||
Net decrease | (1,989,835 | ) | ($42,853,743 | ) | (2,252,380 | ) | ($45,760,191 | ) | ||||||||||||||
Series II shares | ||||||||||||||||||||||
Sold | 6,669 | $ | 144,055 | 54,836 | $ | 1,104,221 | ||||||||||||||||
Distributions reinvested | — | — | 118,568 | 2,355,063 | ||||||||||||||||||
Repurchased | (117,010 | ) | (2,504,931 | ) | (229,154 | ) | (4,557,073 | ) | ||||||||||||||
Net decrease | (110,341 | ) | ($2,360,876 | ) | (55,750 | ) | ($1,097,789 | ) | ||||||||||||||
Series NAV shares | ||||||||||||||||||||||
Sold | 35,175 | $ | 752,205 | 159,055 | $ | 3,157,547 | ||||||||||||||||
Distributions reinvested | — | — | 149,863 | 2,991,759 | ||||||||||||||||||
Repurchased | (178,607 | ) | (3,837,760 | ) | (535,974 | ) | (10,850,264 | ) | ||||||||||||||
Net decrease | (143,432 | ) | ($3,085,555 | ) | (227,056 | ) | ($4,700,958 | ) | ||||||||||||||
Total net decrease | (2,243,608 | ) | ($48,300,174 | ) | (2,535,186 | ) | ($51,558,938 | ) |
Purchases | Sales | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Portfolio | | U.S. Government | | Other Issuers | | U.S. Government | | Other Issuers | |||||||||||
500 Index Trust B | — | $ | 191,221,303 | — | $ | 74,298,841 | |||||||||||||
Alpha Opportunities Trust | — | 64,452,223 | — | 62,869,433 | |||||||||||||||
American Asset Allocation Trust | — | 78,579,484 | — | 86,198,068 | |||||||||||||||
American Global Growth Trust | — | 10,084,196 | — | 21,149,535 | |||||||||||||||
American Growth Trust | — | 89,777,361 | — | 85,072,578 | |||||||||||||||
American Growth-Income Trust | — | 73,750,647 | — | 85,713,811 | |||||||||||||||
American International Trust | — | 19,969,724 | — | 62,205,622 | |||||||||||||||
American New World Trust | — | 3,091,481 | — | 3,189,318 | |||||||||||||||
Blue Chip Growth Trust | — | 222,658,780 | — | 375,583,065 | |||||||||||||||
Capital Appreciation Trust | — | 269,658,372 | — | 371,112,155 | |||||||||||||||
Capital Appreciation Value Trust | — | 97,723,875 | — | 124,464,089 | |||||||||||||||
Core Strategy Trust | — | 5,444,374 | — | 180,092,198 | |||||||||||||||
Emerging Markets Value Trust | — | 41,318,675 | — | 102,080,652 | |||||||||||||||
Equity Income Trust | — | 190,512,868 | — | 313,393,736 | |||||||||||||||
Financial Industries Trust | — | 40,403,717 | — | 46,574,078 | |||||||||||||||
Fundamental All Cap Core Trust | — | 408,175,055 | — | 490,224,190 | |||||||||||||||
Fundamental Large Cap Value Trust | — | 122,698,426 | — | 183,306,120 | |||||||||||||||
Global Trust | — | 36,536,191 | — | 36,576,362 | |||||||||||||||
Health Science Trust | — | 47,386,175 | — | 67,727,203 | |||||||||||||||
International Equity Index Trust B | — | 34,937,487 | — | 16,154,880 | |||||||||||||||
International Growth Stock Trust | — | 41,814,765 | — | 84,686,093 | |||||||||||||||
International Small Company Trust | — | 16,969,182 | — | 7,253,304 | |||||||||||||||
International Value Trust | — | 146,934,208 | — | 211,054,193 | |||||||||||||||
Lifestyle Aggressive PS Series | — | 2,702,104 | — | 1,237,159 | |||||||||||||||
Lifestyle Balanced PS Series | — | 17,337,694 | — | 50,004,531 |
Purchases | Sales | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Portfolio | | U.S. Government | | Other Issuers | | U.S. Government | | Other Issuers | |||||||||||
Lifestyle Conservative PS Series | — | $ | 9,533,600 | — | $ | 19,967,188 | |||||||||||||
Lifestyle Growth PS Series | — | 12,029,771 | — | 123,524,391 | |||||||||||||||
Lifestyle Moderate PS Series | — | 7,523,723 | — | 20,583,166 | |||||||||||||||
Mid Cap Index Trust | — | 151,357,517 | — | 124,560,745 | |||||||||||||||
Mid Cap Stock Trust | — | 254,661,537 | — | 331,204,349 | |||||||||||||||
Mid Value Trust | — | 149,201,899 | — | 197,867,456 | |||||||||||||||
Mutual Shares Trust | — | 14,943,116 | — | 26,928,126 | |||||||||||||||
Real Estate Securities Trust | — | 360,445,791 | — | 390,968,040 | |||||||||||||||
Science & Technology Trust | — | 250,885,487 | — | 226,050,454 | |||||||||||||||
Small Cap Growth Trust | — | 168,964,036 | — | 193,617,540 | |||||||||||||||
Small Cap Index Trust | — | 98,598,984 | — | 77,262,092 | |||||||||||||||
Small Cap Opportunities Trust | — | 24,312,968 | — | 33,051,159 | |||||||||||||||
Small Cap Value Trust | — | 74,016,819 | — | 113,915,745 | |||||||||||||||
Small Company Growth Trust | — | 16,405,708 | — | 18,936,697 | |||||||||||||||
Small Company Value Trust | — | 16,078,880 | — | 29,227,693 | |||||||||||||||
Strategic Equity Allocation Trust | — | 325,365,453 | — | 1,078,684,284 | |||||||||||||||
Total Stock Market Index Trust | — | 19,422,000 | — | 7,967,101 | |||||||||||||||
Utilities Trust | — | 47,239,507 | — | 61,262,510 | |||||||||||||||
Value Trust | — | 115,684,341 | — | 170,008,193 |
Portfolio | | Affiliated Concentration | ||||
---|---|---|---|---|---|---|
Alpha Opportunities Trust | 94.9 | % | ||||
Blue Chip Growth Trust | 33.7 | % | ||||
Capital Appreciation Trust | 55.5 | % | ||||
Emerging Markets Value Trust | 81.3 | % | ||||
Equity Income | 52.6 | % | ||||
International Growth Stock Trust | 82.1 | % | ||||
International Value Trust | 57.4 | % | ||||
Mid Cap Stock Trust | 38.1 | % | ||||
Mid Value Trust | 35.5 | % | ||||
Small Cap Growth Trust | 30.9 | % | ||||
Small Cap Opportunities Trust | 28.3 | % | ||||
Small Cap Value Trust | 18.1 | % | ||||
Small Company Growth Trust | 100.0 | % | ||||
Small Company Value Trust | 44.3 | % | ||||
Strategic Equity Allocation Trust | 100.0 | % |
Portfolio | | Affiliate Series NAV | | Percentage of Underlying Portfolio’s Net Assets | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Core Strategy Trust | Strategic Equity Allocation Trust | 23.4 | % | |||||||
Bond Trust | 11.7 | % | ||||||||
Lifestyle Balance PS Series | Bond Trust | 5.6 | % | |||||||
Lifestyle Growth PS Series | Strategic Equity Allocation Trust | 20.1 | % | |||||||
Bond Trust | 10.1 | % |
Dividends and distributions | |||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Portfolio | | Beginning share amount | | Shares purchased | | Shares sold | | Ending share amount | | Income distributions received | | Capital gain distributions received | | Realized gain (loss) | | Ending value | |||||||||||||||||||
Core Strategy Trust | |||||||||||||||||||||||||||||||||||
Bond | 79,011,223 | 406,778 | — | 79,418,001 | — | — | — | $ | 1,084,055,718 | ||||||||||||||||||||||||||
Strategic Equity Allocation | 152,401,534 | — | (9,982,453 | ) | 142,419,081 | — | — | $ | 25,481,121 | 2,650,419,097 | |||||||||||||||||||||||||
— | — | $ | 25,481,121 | $ | 3,734,474,815 | ||||||||||||||||||||||||||||||
Lifestyle Aggressive PS Series | |||||||||||||||||||||||||||||||||||
Strategic Equity Allocation | 1,200,906 | 117,151 | (46,126 | ) | 1,271,931 | — | — | $ | 41,725 | $ | 23,670,642 | ||||||||||||||||||||||||
Lifestyle Balanced PS Series | |||||||||||||||||||||||||||||||||||
Bond | 36,965,409 | 1,189,289 | (275,921 | ) | 37,878,777 | — | — | $ | 24,788 | $ | 517,045,313 | ||||||||||||||||||||||||
Strategic Equity Allocation | 30,300,799 | 71,370 | (2,576,748 | ) | 27,795,421 | — | — | 3,519,414 | 517,272,792 | ||||||||||||||||||||||||||
— | — | $ | 3,544,202 | $ | 1,034,318,105 |
Dividends and distributions | |||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Portfolio | | Beginning share amount | | Shares purchased | | Shares sold | | Ending share amount | | Income distributions received | | Capital gain distributions received | | Realized gain (loss) | | Ending value | |||||||||||||||||||
Lifestyle Conservative PS Series | |||||||||||||||||||||||||||||||||||
Bond | 11,435,535 | 429,162 | (901,657 | ) | 10,963,040 | — | — | ($122,664 | ) | $ | 149,645,503 | ||||||||||||||||||||||||
Strategic Equity Allocation | 2,234,755 | 208,944 | (436,952 | ) | 2,006,747 | — | — | 345,773 | 37,345,565 | ||||||||||||||||||||||||||
— | — | $ | 223,109 | $ | 186,991,068 | ||||||||||||||||||||||||||||||
Lifestyle Growth PS Series | |||||||||||||||||||||||||||||||||||
Bond | 67,874,230 | 896,028 | — | 68,770,258 | — | — | — | $ | 938,714,020 | ||||||||||||||||||||||||||
Strategic Equity Allocation | 129,721,826 | — | (6,852,194 | ) | 122,869,632 | — | — | $ | 9,227,412 | 2,286,603,859 | |||||||||||||||||||||||||
— | — | $ | 9,227,412 | $ | 3,225,317,879 | ||||||||||||||||||||||||||||||
Lifestyle Moderate PS Series | |||||||||||||||||||||||||||||||||||
Bond | 14,414,404 | 381,571 | (557,974 | ) | 14,238,003 | — | — | ($53,225 | ) | $ | 194,348,735 | ||||||||||||||||||||||||
Strategic Equity Allocation | 7,560,424 | 134,487 | (727,428 | ) | 6,967,483 | — | — | 779,696 | 129,664,866 | ||||||||||||||||||||||||||
— | — | $ | 726,471 | $ | 324,013,601 |
Portfolio | | Purchases | | Sales | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Blue Chip Growth Trust | $ | 300,117 | — | |||||||
Capital Appreciation Value Trust | 24,121 | $ | 186,055 | |||||||
Equity Income Trust | — | 163,401 | ||||||||
Health Sciences Trust | 23,077 | 12,857 | ||||||||
Mid Value Trust | 1,427,556 | — | ||||||||
Small Cap Opportunities Trust | — | 1,618,769 | ||||||||
Small Company Growth Trust | 939,687 | 1,272,745 | ||||||||
Small Company Value Trust | — | 345,202 | ||||||||
Utilities Trust | 23,596 | 592,641 |
Portfolio | | Issuer, Description | | Original acquisition date | | Acquisition cost | | Beginning share amount | | Ending share amount | | Value as a percentage of portfolio’s net assets | | Value as of 6-30-17 | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Alpha Opportunities Trust | Coupang LLC | 11/20/2014 | $ | 446,608 | 143,460 | 143,460 | 0.5 | % | $ | 717,300 | ||||||||||||||||||||
Alpha Opportunities Trust | DraftKings, Inc., Series C | 12/4/2014 | 135,907 | 75,450 | 75,450 | 0.1 | % | 165,990 | ||||||||||||||||||||||
Alpha Opportunities Trust | DraftKings, Inc., Series E | 3/8/2017 | 48,473 | — | 32,851 | 0.0 | %* | 65,045 | ||||||||||||||||||||||
Bought: 32,851 shares | ||||||||||||||||||||||||||||||
Alpha Opportunities Trust | Dropbox, Inc., Series C | 1/28/2014 | 208,108 | 10,895 | 10,895 | 0.1 | % | 145,884 | ||||||||||||||||||||||
Alpha Opportunities Trust | Essence Group Holdings Corp. | 5/1/2014 | 321,999 | 203,629 | 203,629 | 0.3 | % | 447,984 | ||||||||||||||||||||||
Alpha Opportunities Trust | Jand, Inc., Class A | 4/23/2015 | 40,141 | 3,495 | 3,495 | 0.0 | %* | 29,568 | ||||||||||||||||||||||
Alpha Opportunities Trust | Jand, Inc., Series D | 4/23/2015 | 89,643 | 7,805 | 7,805 | 0.0 | %* | 66,030 | ||||||||||||||||||||||
Alpha Opportunities Trust | Lithium Technology Corp. | 8/18/2014 | 578,207 | 118,631 | 118,631 | 0.4 | % | 530,281 | ||||||||||||||||||||||
Alpha Opportunities Trust | Lookout, Inc., Series F | 7/31/2014 | 287,565 | 25,174 | 25,174 | 0.1 | % | 176,218 | ||||||||||||||||||||||
Alpha Opportunities Trust | MarkLogic Corp., Series F | 4/27/2015 | 358,170 | 30,839 | 30,839 | 0.2 | % | 303,147 | ||||||||||||||||||||||
Alpha Opportunities Trust | Pinterest, Inc., Series G | 3/16/2015 | 1,163,695 | 162,095 | 162,095 | 0.8 | % | 1,163,695 | ||||||||||||||||||||||
Alpha Opportunities Trust | Redfin Corp. | 12/15/2014 | 257,887 | 78,202 | 78,202 | 0.3 | % | 368,331 | ||||||||||||||||||||||
Alpha Opportunities Trust | The Honest Company, Inc. (Common Stock) | 8/20/2014 | 103,927 | 3,841 | 3,841 | 0.1 | % | 115,384 | ||||||||||||||||||||||
Alpha Opportunities Trust | The Honest Company, Inc. (Preferred Stock) | 8/20/2014 | 242,515 | 8,963 | 8,963 | 0.2 | % | 269,249 | ||||||||||||||||||||||
Alpha Opportunities Trust | Uber Technologies, Inc. | 6/5/2014 | 2,206,328 | 142,224 | 142,224 | 4.0 | % | 5,896,607 | ||||||||||||||||||||||
Alpha Opportunities Trust | WeWork Companies, Inc., Class A | 12/8/2014 | 42,527 | 2,554 | 2,554 | 0.1 | % | 132,323 | ||||||||||||||||||||||
Alpha Opportunities Trust | WeWork Companies, Inc., Series D1 | 12/8/2014 | 211,370 | 12,694 | 12,694 | 0.4 | % | 657,676 | ||||||||||||||||||||||
Alpha Opportunities Trust | WeWork Companies, Inc., Series D2 | 12/8/2014 | 166,079 | 9,974 | 9,974 | 0.4 | % | 516,753 | ||||||||||||||||||||||
Alpha Opportunities Trust | Zuora, Inc., Series F | 1/15/2015 | 379,546 | 99,899 | 99,899 | 0.3 | % | 434,561 | ||||||||||||||||||||||
$ | 12,202,026 | |||||||||||||||||||||||||||||
Health Sciences Trust | Acerta Pharma BV, Class B | 2/8/2016 | $ | 128,018 | 4,276,305 | 4,276,305 | 0.1 | % | $ | 303,190 | ||||||||||||||||||||
Health Sciences Trust | Doximity, Inc. | 4/10/2014 | 152,390 | 31,611 | 31,611 | 0.1 | % | 195,356 | ||||||||||||||||||||||
Health Sciences Trust | Jand, Inc., Class A | 4/23/2015 | 170,752 | 14,867 | 14,867 | 0.0 | %* | 125,775 | ||||||||||||||||||||||
Health Sciences Trust | Jand, Inc., Series D | 4/23/2015 | 381,289 | 33,198 | 33,198 | 0.1 | % | 280,855 | ||||||||||||||||||||||
$ | 905,176 |
Portfolio | | Issuer, Description | | Original acquisition date | | Acquisition cost | | Beginning share amount | | Ending share amount | | Value as a percentage of portfolio’s net assets | | Value as of 6-30-17 | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Mid Cap Stock Trust | Coupang LLC | 11/20/2014 | $ | 3,219,745 | 1,034,250 | 1,034,250 | 0.7 | % | $ | 5,171,250 | ||||||||||||||||||||
Mid Cap Stock Trust | DraftKings, Inc., Series C | 12/4/2014 | 975,827 | 541,740 | 541,740 | 0.2 | % | 1,191,828 | ||||||||||||||||||||||
Mid Cap Stock Trust | DraftKings, Inc., Series E | 3/8/2017 | 396,255 | — | 268,551 | 0.1 | % | 531,731 | ||||||||||||||||||||||
Bought: 268,551 shares | ||||||||||||||||||||||||||||||
Mid Cap Stock Trust | Essence Group Holdings Corp. | 5/1/2014 | 2,308,001 | 1,459,559 | 1,459,559 | 0.4 | % | 3,211,030 | ||||||||||||||||||||||
Mid Cap Stock Trust | Jand, Inc., Class A | 4/23/2015 | 290,613 | 25,303 | 25,303 | 0.0 | %* | 214,063 | ||||||||||||||||||||||
Mid Cap Stock Trust | Jand, Inc., Series D | 4/23/2015 | 648,942 | 56,502 | 56,502 | 0.1 | % | 478,007 | ||||||||||||||||||||||
Mid Cap Stock Trust | Lithium Technology Corp. | 8/18/2014 | 4,115,796 | 844,439 | 844,439 | 0.5 | % | 3,774,642 | ||||||||||||||||||||||
Mid Cap Stock Trust | Lookout, Inc., Series F | 7/31/2014 | 2,122,743 | 185,829 | 185,829 | 0.2 | % | 1,300,803 | ||||||||||||||||||||||
Mid Cap Stock Trust | MarkLogic Corp., Series F | 4/27/2015 | 2,580,629 | 222,196 | 222,196 | 0.3 | % | 2,184,187 | ||||||||||||||||||||||
Mid Cap Stock Trust | Pinterest, Inc., Series G | 3/16/2015 | 2,096,941 | 292,090 | 292,090 | 0.3 | % | 2,096,941 | ||||||||||||||||||||||
Mid Cap Stock Trust | Redfin Corp. | 12/15/2014 | 1,825,650 | 553,613 | 553,613 | 0.4 | % | 2,607,517 | ||||||||||||||||||||||
Mid Cap Stock Trust | The Honest Company, Inc. (Common Stock) | 8/20/2014 | 772,269 | 28,542 | 28,542 | 0.1 | % | 857,402 | ||||||||||||||||||||||
Mid Cap Stock Trust | The Honest Company, Inc. (Preferred Stock) | 8/20/2014 | 1,801,962 | 66,598 | 66,598 | 0.3 | % | 2,000,604 | ||||||||||||||||||||||
Mid Cap Stock Trust | Uber Technologies, Inc. | 6/5/2014 | 9,067,440 | 584,504 | 584,504 | 3.4 | % | 24,233,536 | ||||||||||||||||||||||
Mid Cap Stock Trust | WeWork Companies, Inc., Class A | 12/8/2014 | 303,018 | 18,198 | 18,198 | 0.1 | % | 942,838 | ||||||||||||||||||||||
Mid Cap Stock Trust | WeWork Companies, Inc., Series D1 | 12/8/2014 | 1,506,031 | 90,446 | 90,446 | 0.6 | % | 4,686,007 | ||||||||||||||||||||||
Mid Cap Stock Trust | WeWork Companies, Inc., Series D2 | 12/8/2014 | 1,183,315 | 71,065 | 71,065 | 0.5 | % | 3,681,878 | ||||||||||||||||||||||
Mid Cap Stock Trust | Zuora, Inc., Series F | 1/15/2015 | 2,719,296 | 715,736 | 715,736 | 0.4 | % | 3,113,452 | ||||||||||||||||||||||
$ | 62,277,716 | |||||||||||||||||||||||||||||
Science & Technology Trust | Airbnb, Inc., Series E | 7/14/2015 | $ | 802,846 | 8,624 | 8,624 | 0.1 | % | $ | 905,520 | ||||||||||||||||||||
Science & Technology Trust | Dropbox, Inc., Class B | 5/2/2012 | 67,334 | 7,441 | 7,441 | 0.0 | %* | 99,635 | ||||||||||||||||||||||
Science & Technology Trust | Dropbox, Inc., Series A | 5/2/2012 | 83,623 | 9,241 | 9,241 | 0.0 | %* | 123,737 | ||||||||||||||||||||||
Science & Technology Trust | Dropbox, Inc., Series A1 | 5/2/2012 | 805,424 | 89,006 | 89,006 | 0.2 | % | 1,191,790 | ||||||||||||||||||||||
Science & Technology Trust | Flipkart, Ltd. | 3/19/2015 | 55,860 | 490 | 490 | 0.0 | %* | 43,176 | ||||||||||||||||||||||
Science & Technology Trust | Flipkart, Ltd., Series A | 3/19/2015 | 19,152 | 168 | 168 | 0.0 | %* | 14,803 | ||||||||||||||||||||||
Science & Technology Trust | Flipkart, Ltd., Series C | 3/19/2015 | 33,630 | 295 | 295 | 0.0 | %* | 25,993 | ||||||||||||||||||||||
Science & Technology Trust | Flipkart, Ltd., Series E | 3/19/2015 | 62,586 | 549 | 549 | 0.0 | %* | 48,374 | ||||||||||||||||||||||
Science & Technology Trust | Flipkart, Ltd., Series G | 12/17/2014 | 377,484 | 3,152 | 3,152 | 0.1 | % | 377,484 | ||||||||||||||||||||||
Science & Technology Trust | Xiaoju Kuaizhi, Inc. | 10/19/2015 | 260,905 | 9,513 | 9,513 | 0.1 | % | 484,517 | ||||||||||||||||||||||
$ | 3,315,029 | |||||||||||||||||||||||||||||
Small Cap Growth Trust | DraftKings, Inc., Series D | 7/13/2015 | $ | 544,043 | 100,673 | 100,673 | 0.1 | % | $ | 271,817 | ||||||||||||||||||||
Small Cap Growth Trust | DraftKings, Inc., Series D1 | 8/11/2015 | 690,722 | 90,109 | 90,109 | 0.1 | % | 293,755 | ||||||||||||||||||||||
Small Cap Growth Trust | MarkLogic Corp., Series F | 4/27/2015 | 1,781,885 | 153,423 | 153,423 | 0.4 | % | 1,508,148 | ||||||||||||||||||||||
Small Cap Growth Trust | Telogis, Inc. (Common Stock) | 9/27/2013 | 938,340 | 473,646 | 473,646 | 0.4 | % | 1,439,884 | ||||||||||||||||||||||
Small Cap Growth Trust | Telogis, Inc. (Preferred Stock) | 9/27/2013 | 1,419,833 | 645,027 | 645,027 | 0.7 | % | 2,767,166 | ||||||||||||||||||||||
Small Cap Growth Trust | The Honest Company, Inc. | 8/3/2015 | 1,233,280 | 26,954 | 26,954 | 0.2 | % | 809,698 | ||||||||||||||||||||||
Small Cap Growth Trust | Zuora, Inc., Series F | 1/15/2015 | 1,533,808 | 403,708 | 403,708 | 0.4 | % | 1,756,130 | ||||||||||||||||||||||
$ | 8,846,598 |
* | Less than 0.05% |
Acquiring Portfolio | | Acquired Portfolio | | Net Asset Value of the Acquired Portfolio | | Appreciation of the Acquired Portfolio’s Investments | | Shares Redeemed by the Acquired Portfolio | | Shares Issued by the Acquiring Portfolio | | Acquiring Portfolio Net Assets Prior to Combination | | Acquiring Portfolio Total Net Assets After Combination | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Total Stock Market Index Trust | All Cap Core Trust | $ | 66,577,978 | $ | 874,946 | 2,115,212 | 3,250,822 | $ | 703,280,566 | $ | 769,858,544 |
Acquiring Portfolio | | Acquired Portfolio | | Net Asset Value of the Acquired Portfolio | | Appreciation of the Acquired Portfolio Investments | | Shares Redeemed by the Acquired Portfolio | | Shares Issued by the Acquiring Portfolio | | Acquiring Portfolio Net Assets Prior to Combination | | Acquiring Portfolio Total Net Assets After Combination | ||||||||||||||||
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Lifestyle Growth PS Series | Franklin Templeton Founding Allocation Trust | $ | 1,037,262,449 | $ | 5,824,994 | 86,875,495 | 71,467,172 | $ | 2,006,067,065 | $ | 3,043,329,514 |
Acquiring Portfolio | | Acquired Portfolio | | Net Asset Value of the Acquired Portfolio | | Shares Redeemed by the Acquired Portfolio | | Shares Issued by the Acquiring Portfolio | | Acquiring Portfolio Net Assets Prior to Combination | | Acquiring Portfolio Total Net Assets After Combination | | |||||||||||||||||
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International Value Trust | International Core Trust | $ | 80,352,281 | $ | 10,375,023 | 6,455,499 | $ | 807,137,073 | $ | 887,489,354 |
effective time of the reorganization occurred immediately after the close of regularly scheduled trading on the New York Stock Exchange (NYSE) on October 21, 2016. The following outlines the reorganization:
Acquiring Portfolio | Acquired Portfolio | | Net Asset Value of the Acquired Portfolio | | Shares Redeemed by the Acquired Portfolio | | Shares Issued by the Acquiring Portfolio | | Acquiring Portfolio Net Assets Prior to Combination | | Acquiring Portfolio Total Net Assets After Combination | | ||||||||||||||||||||
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500 Index Trust B | U.S. Equity Trust | $ | 136,713,455 | 14,565,565 | 5,189,500 | $ | 3,884,921,470 | $ | 4,021,634,925 |
Proposal One: | Approval of Agreement and Plan of Reorganization providing for the reorganization of All Cap Core Trust into Total Stock Market Index Trust. |
SHARES VOTED | % of Shares Voted | % of Outstanding Shares | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
For | 5,854,573.912 | 94.305 | % | 94.234 | % | |||||||||
Against | 100,489.039 | 1.619 | % | 1.618 | % | |||||||||
Abstain | 253,096.678 | 4.076 | % | 4.073 | % |
Proposal Two: | Approval of a new subadvisory agreement between John Hancock Investment Management Services, LLC and John Hancock Asset Management a division of Manulife Asset Management (US) LLC, with respect to Money Market Trust. |
SHARES VOTED | % of Shares Voted | % of Outstanding Shares | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
For | 2,228,316,044.452 | 99.482 | % | 99.482 | % | |||||||||
Against | 3,489,911.298 | 0.156 | % | 0.155 | % | |||||||||
Abstain | 8,117,585.936 | 0.362 | % | 0.362 | % |
(1) | information relating to each Subadvisor’s business, including current subadvisory services to the Trust (and other funds in the John Hancock family of funds); |
(2) | the historical and current performance of each Fund and comparative performance information relating to the Fund’s benchmark and comparable funds; |
(3) | the subadvisory fee for each Fund, including any breakpoints, and comparative fee information, where available, prepared by an independent third-party provider of mutual fund data; and |
(4) | information relating to the nature and scope of any material relationships and their significance to the Trust’s Advisor and unaffiliated Subadvisors. |
(1) | Each Subadvisor has extensive experience and demonstrated skills as a manager; |
(2) | Although not without variation, the performance of each Fund managed by a Subadvisor generally has been in line with or outperformed the historical performance of comparable funds and the Fund’s respective benchmarks, with the exceptions noted in Appendix A (with respect to such exceptions, the Board considered the steps the Subadvisor had taken to address performance and concluded that performance is being monitored and reasonably addressed); |
(3) | The subadvisory fees are reasonable in relation to the level and quality of services being provided under the Subadvisory Agreement; and |
(4) | With respect to those Funds that have subadvisory fees that contain breakpoints, certain breakpoints are reflected as breakpoints in the advisory fees for the Funds in order to permit shareholders to benefit from economies of scale if those Funds grow. |
Portfolio (Subadviser) | | Performance as of 12.31.2016 | | Fees and Expenses | | Comments | ||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
500 Index Trust B (Manulife Asset Management (North America)) | Benchmark Index — The Trust underperformed the benchmark index for the one- and three-year periods. Broadridge Category — The Trust outperformed the average for the one- and three-year periods. | The subadviser fees for this Trust are equal to the peer group median. Net management fees for this Trust are lower than the peer group median. Net total expenses for this Trust are lower than the peer group median. | The Board took into account management’s discussion of the factors that contributed to the Trust’s one- and three-year performance relative to the benchmark index. The Board noted the Trust’s favorable performance relative to the peer group average for the one- and three-year periods. The Board noted the Fund’s net management fees and net total expenses are lower than the peer group median. | |||||||||||
Alpha Opportunities Trust (Wellington Management Company LLP) | Benchmark Index — The Trust underperformed the benchmark index for the one-, three- and five-year periods. Broadridge Category — The Trust underperformed the average for the one- and three-year periods and outperformed the average for the five-year period. | Subadviser fee comparative data not provided due to limited size of Broadridge peer group for this purpose. Net management fees for this Trust are higher than the peer group median. Net total expenses for this Trust are lower than the peer group median. | The Board took into account management’s discussion of the factors that contributed to the Trust’s one-, three- and five-year performance relative to the benchmark index and to the peer group average for the one- and three-year periods. The Board noted the Trust’s favorable performance relative to the peer group average for the five-year period. The Board took into account management’s discussion of the Trust’s expenses. The Board noted the Trust’s net total expenses are lower than the peer group median. |
Portfolio (Subadviser) | | Performance as of 12.31.2016 | | Fees and Expenses | | Comments | ||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Blue Chip Growth Trust (T. Rowe Price Associates, Inc.) | Benchmark Index — The Trust underperformed the benchmark index for the one- and three-year periods and outperformed for the five-year period. Broadridge Category — The Trust underperformed the average for the one-year period and outperformed the average for the three- and five-year periods. | Subadviser fees for this Trust are higher than the peer group median. Net management fees for this Trust are higher than the peer group median. Net total expenses for this Trust are lower than the peer group median. | The Board took into account management’s discussion of the factors that contributed to the Trust’s one- and three-year performance relative to the benchmark index and to the peer group average for the one-year period. The Board noted the Trust’s favorable performance relative to the benchmark index for the five-year period and to the peer group average for the three- and five-year periods. The Board took into account management’s discussion of the Trust’s expenses noting that effective July 1, 2017 the management fee will be reduced decreasing the expenses of the Trust. The Board noted the Trust’s net total expenses are lower than the peer group median. | |||||||||||
Capital Appreciation Trust (Jennison Associates LLC) | Benchmark Index — The Trust underperformed the benchmark index for the one-, three- and five-year periods. Broadridge Category — The Trust underperformed the average for the one-year period, and outperformed the average for the three- and five-year periods. | Subadvisory fee comparative data not provided due to limited size of Broadridge peer group for this purpose. Net management fees for this Trust are higher than the peer group median. Net total expenses for this Trust are lower than the peer group median. | The Board took into account management’s discussion of the factors that contributed to the Trust’s one-, three- and five-year performance relative to the benchmark index and to the peer group average for the one-year period. The Board noted the Trust’s favorable performance relative the benchmark index year-to-date and to the peer group average for the three- and five-year periods. The Board took into account management’s discussion of the Fund’s expenses. The Board noted the Fund’s net total expenses are lower than the peer group median. |
Portfolio (Subadviser) | | Performance as of 12.31.2016 | | Fees and Expenses | | Comments | ||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Capital Appreciation Value Trust (T. Rowe Price Associates, Inc.) | Benchmark Index — The Trust underperformed the benchmark index for the one-year period and outperformed the benchmark index for the three- and five-year periods. Broadridge Category — The Trust outperformed the average for the one-, three- and five-year periods. | Subadviser fees for this Trust are higher than the peer group median. Net management fees for this Trust are higher than the peer group median. Net total expenses for this Trust are higher than the peer group median. | The Board took into account management’s discussion of the factors that contributed to the Trust’s one-year performance relative to the benchmark index. The Board noted the Trust’s favorable performance relative to the benchmark index for the three- and five-year periods and to the peer group average for the one-, three- and five-year periods. The Board took into account management’s discussion of the Trust’s expenses. | |||||||||||
Core Strategy Trust (Manulife Asset Management (U.S.)) (Manulife Asset Management (North America)) | Benchmark Index — The Trust underperformed the benchmark index for the one-, three- and five-year periods. Broadridge Category — The Trust outperformed the average for the one- and three-year periods and underperformed the average for the five-year period. | Subadviser fee comparative data not provided due to limited size of Broadridge peer group for this purpose. Net management fees for this Trust are lower than the peer group median. Net total expenses for this Trust are lower than the peer group median. | The Board took into account management’s discussion of the factors that contributed to the Trust’s one-, three- and five-year performance relative to the benchmark index and to the peer group average for the five-year period. The Board noted the Trust’s favorable performance relative to the peer group average for the one- and three-year period. The Board noted the Trust’s net management fees and net total expenses are lower than the peer group median. | |||||||||||
Emerging Markets Value Trust (Dimensional Fund Advisors LP) | Benchmark Index — The Trust outperformed the benchmark index for the one-year period and underperformed the three- and five-year periods. Broadridge Category — The Trust outperformed the average for the one-year period and underperformed for the three- and five-year periods. | Subadviser fee comparative data not provided due to limited size of Broadridge peer group for this purpose. Net management fees for this Trust are lower than the peer group median. Net total expenses for this Trust are lower than the peer group median. | The Board took into account management’s discussion of the factors that contributed to the Trust’s three- and five-year performance relative to the benchmark index and to its peer group average. The Board noted the Trust’s favorable performance relative to its benchmark index and to its peer group average for the one-year period. The Board noted the Trust’s net management fees and net total expenses are lower than the peer group median. |
Portfolio (Subadviser) | | Performance as of 12.31.2016 | | Fees and Expenses | | Comments | ||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Equity Income Trust (T. Rowe Price Associates, Inc.) | Benchmark Index — The Trust outperformed the benchmark index for the one-year period and underperformed the benchmark index for the three-and five-year periods. Broadridge Category — The Trust outperformed the average for the one- and five-year periods and underperformed the average for the three-year period. | Subadviser fees for this Trust are higher than the peer group median. Net management fees for this Trust are higher than the peer group median. Net total expenses for this Trust are lower than the peer group median. | The Board took into account management’s discussion of the factors that contributed to the Trust’s three- and five-year performance relative to the benchmark index and to the peer group average for the three-year period. The Board noted the Trust’s favorable performance relative to the benchmark index for the one-year period and to the peer group average for the one- and five-year periods. The Board took into account management’s discussion of the Trust’s expenses. The Board noted the Trust’s net total expenses are lower than the peer group median. | |||||||||||
Financial Industries Trust (Manulife Asset Management (U.S.)) | Benchmark Index — The Trust underperformed the benchmark index for the one-, three- and five-year periods. Broadridge Category — The Trust underperformed the average for the one-, three- and five-year periods. | Subadviser fee comparative data not provided due to limited size of Broadridge peer group for this purpose. Net management fees for this Trust are higher than the peer group median. Net total expenses for this Trust are higher than the peer group median. | The Board took into account management’s discussion of the factors that contributed to the Trust’s one-, three-, and five-year performance relative to the benchmark index and to the peer group average. The Board took into account management’s discussion of the Fund’s expenses. | |||||||||||
Fundamental All Cap Core Trust (Manulife Asset Management (U.S.)) | Benchmark Index — The Trust underperformed the benchmark index for the one- and three-year periods, and outperformed for the five-year period. Broadridge Category — The Trust outperformed the average for the one-, three- and five-year periods. | The subadviser fees for this Trust are lower than the peer group median. Net management fees for this Trust are lower than the peer group median. Net total expenses for this Trust are lower than the peer group median. | The Board took into account management’s discussion of the factors that contributed to the Trust’s one- and three-year performance relative to the benchmark index. The Board noted the Trust’s favorable performance relative to the benchmark index for the five-year period and to the peer group average for the one-, three- and five-year periods. The Board noted the Trust’s net management fees and net total expenses are lower than the peer group median. |
Portfolio (Subadviser) | | Performance as of 12.31.2016 | | Fees and Expenses | | Comments | ||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Fundamental Large Cap Value Trust (Manulife Asset Management (U.S.)) | Benchmark Index — The Trust underperformed the benchmark index for the one-, three- and five-year periods. Broadridge Category — The Trust outperformed the average for the one- and five-year periods and underperformed for the three-year period. | The subadviser fees for this Trust are lower than the peer group median. Net management fees for this Trust are lower than the peer group median. Net total expenses for this Trust are lower than the peer group median. | The Board took into account management’s discussion of the factors that contributed to the Trust’s one-, three- and five-year performance relative to the benchmark index and to the peer group average for the three-year period. The Board noted the Trust’s favorable performance relative to the peer group average for the one- and five-year periods. The Board noted the Trust’s net management fees and net total expenses are lower than the peer group median. | |||||||||||
Global Trust (Templeton Global Advisors Limited) | Benchmark Index — The Trust outperformed the benchmark index for the one-year period and underperformed the benchmark index for the three- and five-year periods. Broadridge Category — The Trust underperformed the average for the one- and three-year periods and outperformed the average for the five-year period. | Subadviser fee comparative data not provided due to limited size of Broadridge peer group for this purpose. Net management fees for this Trust are higher than the peer group median. Net total expenses for this Trust are lower than the peer group median. | The Board took into account management’s discussion of the factors that contributed to the Trust’s three- and five-year performance relative to the benchmark index and to the peer group average for the one- and three-year periods. The Board noted the Trust’s favorable performance relative to the benchmark index for the one-year period and to the peer group average for the five-year period. The Board took into account management’s discussion of the Trust’s expenses. The Board noted the Trust’s net total expenses are lower than the peer group median. | |||||||||||
Health Sciences Trust (T. Rowe Price Associates, Inc.) | Benchmark Index — The Trust outperformed the benchmark index for the one-, three- and five-year periods. Broadridge Category — The Trust underperformed the average for the one-year period and outperformed the average for the three- and five-year periods. | Subadviser fee comparative data not provided due to limited size of Broadridge peer group for this purpose. Net management fees for this Trust are higher than the peer group median. Net total expenses for this Trust are lower than the peer group median. | The Board took into account management’s discussion of the factors that contributed to the Trust’s one-year performance relative to the peer group average. The Board noted the Trust’s favorable performance relative to the benchmark index for the one-, three- and five-year periods and to the peer group average for the three- and five-year periods. The Board took into account management’s discussion of the Trust’s expenses. The Board noted the Trust’s net total expenses are lower than the peer group median. |
Portfolio (Subadviser) | | Performance as of 12.31.2016 | | Fees and Expenses | | Comments | ||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
International Equity Index Trust B (SSGA Funds Management, Inc.) | Benchmark Index — The Trust underperformed the benchmark index for the one- and three-year periods. Broadridge Category — The Trust outperformed the average for the one- and three-year periods. | The subadviser fees for this Trust are higher than the peer group median. Net management fees for this Trust are lower than the peer group median. Net total expenses for this Trust are lower than the peer group median. | The Board took into account management’s discussion of the factors that contributed to the Trust’s one- and three-year performance relative to the benchmark index. The Board noted the Trust’s favorable performance relative to the peer group average for the one- and three-year periods. The Board noted the Fund’s net management fees and net total expenses are lower than the peer group median. | |||||||||||
International Growth Stock Trust (Invesco Advisers Inc.) | Benchmark Index — The Trust underperformed the benchmark index for the one- and three-year periods. Broadridge Category — The Trust outperformed the average for the one- and three-year periods. | Subadviser fee comparative data not provided due to limited size of Broadridge peer group for this purpose. Net management fees for this Trust are lower than the peer group median. Net total expenses for this Trust are lower than the peer group median. | The Board took into account management’s discussion of the factors that contributed to the Trust’s one- and three-year performance relative to its benchmark index. The Board noted the Trust’s favorable performance relative to its peer group average for the one- and three-year periods. The Board noted the Trust’s favorable performance relative to its peer group average and benchmark index since the Trust’s inception on November 30, 2012 to December 31, 2016. The Board noted the Trust’s net management fees and net total expenses are lower than the peer group median. | |||||||||||
International Small Company Trust (Dimensional Fund Advisors LP) | Benchmark Index — the Trust outperformed the benchmark index for the one- and five-year periods, and underperformed for the three-year period. Broadridge Category — The Trust underperformed the average for the one-, three- and five-year periods. | Subadviser fee comparative data not provided due to limited size of Broadridge peer group for this purpose. Net management fees for this Trust are higher than the peer group median. Net total expenses for this Trust are lower than the peer group median. | The Board took into account management’s discussion of the factors that contributed to the Trust’s three- year performance relative to its benchmark index and to its peer group average for the one-, three- and five-year periods. The Board noted the small size of the peer group. The Board noted the Trust’s favorable performance relative to the benchmark index for the one- and five-year periods. The Board took into account management’s discussion of the Trust’s expenses. The Board noted the Trust’s net total expenses are lower than the peer group median. |
Portfolio (Subadviser) | | Performance as of 12.31.2016 | | Fees and Expenses | | Comments | ||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
International Value Trust (Franklin Templeton Investment Counsel, LLC) | Benchmark Index — The Trust outperformed the benchmark index for the one-year period and underperformed the benchmark index for the three- and five-year periods. Broadridge Category — The Trust outperformed the average for the one-year period and underperformed the average for the three- and five-year periods. | Subadviser fees for this Trust are equal to the peer group median. Net management fees for this Trust are higher than the peer group median. Net total expenses for this Trust are lower than the peer group median. | The Board took into account management’s discussion of the factors that contributed to the Trust’s performance relative to the benchmark index and to the peer group average for the three- and five-year periods. The Board noted the Trust’s favorable performance relative to the benchmark index and to the peer group average for the one-year period. The Board took into account management’s discussion of the Trust’s expenses. The Board noted the Trust’s net total expenses are lower than the peer group median. | |||||||||||
Lifestyle Aggressive PS Series (Manulife Asset Management (U.S.)) (Manulife Asset Management (North America)) | Benchmark Index — The Series outperformed the benchmark index for the one-year period and underperformed for the three-year period. Broadridge Category — The Series outperformed the average for the one- and three-year periods. | Subadviser fee comparative data not provided due to limited size of Broadridge peer group average for this purpose. Net management fees for this Series are lower than the peer group median. Net total expenses for this Series are lower than the peer group median. | The Board took into account management’s discussion of the factors that contributed to the Series’ three-year performance relative to the benchmark index. The Board noted the Series’ favorable performance relative benchmark index for the one-year period and to the peer group average for the one-and three-year periods. The Board noted the Series’ net management fees and net total expenses are lower than the peer group median. | |||||||||||
Lifestyle Balanced PS Series (Manulife Asset Management (U.S.)) (Manulife Asset Management (North America)) | Benchmark Index — The Series underperformed the benchmark index for the one-, three- and five-year periods. Broadridge Category — The Series underperformed the average for the one- and five-year periods and outperformed the average for the three-year period. | Subadviser fee comparative data not provided due to limited size of Broadridge peer group for this purpose. Net management fees for this Series are lower than the peer group median. Net total expenses for this Series are lower than the peer group median. | The Board took into account management’s discussion of the factors that contributed to the Series’ one-, three- and five-year performance relative to the benchmark index and to the peer group average for the one- and five-year periods. The Board noted the Series’ favorable performance relative to the peer group average for the three-year period. The Board noted the Series’ net management fees and net total expenses are lower than the peer group median. |
Portfolio (Subadviser) | | Performance as of 12.31.2016 | | Fees and Expenses | | Comments | ||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Lifestyle Conservative PS Series (Manulife Asset Management (U.S.)) (Manulife Asset Management (North America) | Benchmark Index — The Series outperformed the benchmark index for the one-year period and underperformed for the three- and five-year periods. Broadridge Category — The Series underperformed the average for the one- and five-year periods and outperformed the average for the three-year period. | Subadviser fee comparative data not provided due to limited size of Broadridge peer group for this purpose. Net management fees for this Series are lower than the peer group median. Net total expenses for this Series are equal to the peer group median. | The Board took into account management’s discussion of the factors that contributed to the Series’ three- and five-year performance relative to the benchmark index and to the peer group average for the one- and five-year periods. The Board noted the Series’ favorable performance relative to the benchmark index for the one-year period and to the peer group average for the three-year period. The Board noted the Series’ net management fees are lower than the peer group median. | |||||||||||
Lifestyle Growth PS Series (Manulife Asset Management (U.S.)) (Manulife Asset Management (North America) | Benchmark Index — The Series underperformed the benchmark index for the one-, three- and five-year periods. Broadridge Category — The Series outperformed the average for the one- and three-year periods and underperformed the average for the five-year period. | Subadviser fee comparative data not provided due to limited size of Broadridge peer group for this purpose. Net management fees for this Series are lower than the peer group median. Net total expenses for this Series are lower than the peer group median. | The Board took into account management’s discussion of the factors that contributed to the Series’ one-, three- and five-year performance relative to the benchmark index and to the peer group average for the five-year period. The Board noted the Series’ favorable performance relative to the peer group average for the one- and three-year periods. The Board noted the Series’ net management fees and net total expenses are lower than the peer group median. | |||||||||||
Lifestyle Moderate PS Series (Manulife Asset Management (U.S.)) (Manulife Asset Management (North America) | Benchmark Index — The Series underperformed the benchmark index for the one-, three- and five-year periods. Broadridge Category — The Series underperformed the average for the one- and five-year periods and outperformed the average for the three-year period. | Subadviser fee comparative data not provided due to limited size of Broadridge peer group for this purpose. Net management fees for this Series are lower than the peer group median. Net total expenses for this Series are lower than the peer group median. | The Board took into account management’s discussion of the factors that contributed to the Series’ one-, three- and five-year performance relative to the benchmark index and to the peer group average for the one- and five-year periods. The Board noted the Series’ favorable performance relative to the peer group average for the three-year period. The Board noted the Series’ net management fees and net total expenses are lower than the peer group median. |
Portfolio (Subadviser) | | Performance as of 12.31.2016 | | Fees and Expenses | | Comments | ||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Mid Cap Index Trust (Manulife Asset Management (North America)) | Benchmark Index — The Trust underperformed the benchmark index for the one-, three- and five-year periods. Broadridge Category — The Trust outperformed the average for the one-, three- and five-year periods. | Subadviser fee comparative data not provided due to limited size of Broadridge peer group for this purpose. Net management fees for this Trust are higher than the peer group median. Net total expenses for this Trust are lower than the peer group median. | The Board took into account management’s discussion of the factors that contributed to the Trust’s one-, three- and five-year performance relative to the benchmark index. The Board noted the Trust’s favorable performance relative to the peer group average for the one-, three- and five-year periods and to the Morningstar peer group year-to-date. The Board took into account management’s discussion of the Fund’s expenses. The Board noted the Fund’s net total expenses are lower than the peer group median. | |||||||||||
Mid Cap Stock Trust (Wellington Management Company LLP) | Benchmark Index — The Trust underperformed the benchmark index for the one-, three- and five-year periods. Broadridge Category — The Trust underperformed the average for the one- and three-year periods and outperformed the average for the five-year period. | Subadviser fee comparative data not provided due to limited size of Broadridge peer group for this purpose. Net management fees for this Trust are higher than the peer group median. Net total expenses for this Trust are lower than the peer group median. | The Board took into account management’s discussion of the factors that contributed to the Trust’s one-, three- and five-year performance relative to the benchmark index and to the peer group average for the one- and three-year periods. The Board noted the Trust’s favorable performance relative to the peer group average for the five-year period. The Board took into account management’s discussion of the Trust’s expenses. The Board noted the Trust’s net total expenses are lower than the peer group median. | |||||||||||
Mid Value Trust (T. Rowe Price Associates, Inc.) | Benchmark Index — The Trust outperformed the benchmark index for the one-, three- and five-year periods. Broadridge Category — The Trust outperformed the average for the one-, three- and five-year periods. | Subadviser fee comparative data not provided due to limited size of Broadridge peer group for this purpose. Net management fees for this Trust are higher than the peer group median. Net total expenses for this Trust are lower than the peer group median. | The Board noted the Trust’s favorable performance relative to the benchmark index and to the peer group average for the one-, three- and five-year periods. The Board took into account management’s discussion of the Trust’s expenses. The Board noted the Trust’s net total expenses are lower than the peer group median. |
Portfolio (Subadviser) | | Performance as of 12.31.2016 | | Fees and Expenses | | Comments | ||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Mutual Shares Trust (Franklin Mutual Advisers, LLC) | Benchmark Index — The Trust outperformed the benchmark index for the one-year period and underperformed the benchmark index for the three- and five-year periods. Broadridge Category — The Trust outperformed the average for the one-, three- and five-year periods. | Subadviser fee comparative data not provided due to limited size of Broadridge peer group for this purpose. Net management fees for this Trust are higher than the peer group median. Net total expenses for this Trust are lower than the peer group median. | The Board took into account management’s discussion of the factors that contributed to the Trust’s three- and five-year performance relative to the benchmark index. The Board noted the Trust’s favorable performance relative to the benchmark index for the one-year period and to the peer group average for the one-, three- and five-year periods. The Board took into account management’s discussion of the Trust’s expenses. The Board noted the Trust’s net total expenses are lower than the peer group median. | |||||||||||
Real Estate Securities Trust (Deutsche Investment Management Americas, Inc./RREEF America, LLC) | Benchmark Index — The Trust underperformed the benchmark index for the one-, three- and five-year periods. Broadridge Category — The Trust outperformed the average for the one-, three- and five-year periods. | Subadviser fees for this Trust are lower than the peer group median. Net management fees for this Trust are lower than the peer group median. Net total expenses for this Trust are lower than the peer group median. | The Board took into account management’s discussion of the factors that contributed to the Trust’s one-, three- and five-year performance relative to the benchmark index. The Board noted the Trust’s favorable performance relative to the benchmark year-to-date and to the peer group average for the one-, three- and five-year periods. The Board noted the Fund’s net management fees and net total expenses are lower than the peer group median. | |||||||||||
Science & Technology Trust (Allianz Global Investors U.S. LLC T. Rowe Price Associates, LLC) | Benchmark Index — The Trust underperformed the benchmark index for the one-year period and outperformed the benchmark index for the three- and five-year periods. Broadridge Category — The Trust underperformed the average for the one- and three-year periods and outperformed the average for the five-year period. | Subadviser fee comparative data not provided due to limited size of Broadridge peer group for this purpose. Net management fees for this Trust are higher than the peer group median. Net total expenses for this Trust are lower than the peer group median. | The Board took into account management’s discussion of the factors that contributed to the Trust’s one-year performance relative to the benchmark index and to the peer group average for the one- and three-year periods. The Board noted the Trust’s favorable performance relative to the benchmark index for the three- and five-year periods and to the peer group average for the five-year period. The Board took into account management’s discussion of the Trust’s expenses. The Board noted the Trust’s net total expenses are lower than the peer group median. |
Portfolio (Subadviser) | | Performance as of 12.31.2016 | | Fees and Expenses | | Comments | ||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Small Cap Growth Trust (Wellington Management Company LLP) | Benchmark Index — The Trust underperformed the benchmark index for the one-, three- and five-year periods. Broadridge Category — The Trust underperformed the average for the one-, three- and five-year periods. | Subadviser fees for this Trust are higher than the peer group median. Net management fees for this Trust are higher than the peer group median. Net total expenses for this Trust are lower than the peer group median. | The Board took into account management’s discussion of the factors that contributed to the Trust’s one-, three- and five-year performance relative to the benchmark index and to the peer group average. The Board took into account management’s discussion of the Trust’s expenses noting that effective July 1, 2017 the management fee will be reduced decreasing the expenses of the Trust. The Board noted the Trust’s net total expenses are lower than the peer group median. | |||||||||||
Small Cap Index Trust (Manulife Asset Management (North America)) | Benchmark Index — The Trust underperformed the benchmark index for the one-, three- and five-year periods. Broadridge Category — The Trust underperformed the average for the one-, three- and five-year period. | Subadviser fee comparative data not provided due to limited size of Broadridge peer group for this purpose. Net management fees for this Trust are higher than the peer group median. Net total expenses for this Trust are lower than the peer group median. | The Board took into account management’s discussion of the factors that contributed to the Trust’s one-, three- and five-year performance relative to the benchmark index and to the peer group average. The Board noted the Trust’s favorable performance relative to the Morningstar peer group for the quarter-to-date, three-month and year-to-date periods. The Board took into account management’s discussion of the Fund’s expenses. The Board noted the Fund’s net total expenses are lower than the peer group median. | |||||||||||
Small Cap Opportunities Trust (Invesco Advisers Inc. Dimensional Fund Advisors LP) | Benchmark Index — The Trust underperformed the benchmark index for the one-, three- and five-year periods. Broadridge Category — The Trust underperformed the average for the one-, three-and five-year periods. | Subadviser fee comparative data not provided due to limited size of Broadridge peer group for this purpose. Net management fees for this Trust are higher than the peer group median. Net total expenses for this Trust are lower than the peer group median. | The Board took into account management’s discussion of the factors that contributed to the Trust’s one-, three- and five-year performance relative to its benchmark index and its peer group average. The Board took into account management’s discussion of the Trust’s expenses. The Board noted the Trust’s net total expenses are lower than the peer group median |
Portfolio (Subadviser) | | Performance as of 12.31.2016 | | Fees and Expenses | | Comments | ||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Small Cap Value Trust (Wellington Management Company LLP) | Benchmark Index — The Trust underperformed the benchmark index for the one- and five-year periods and outperformed the benchmark index for the three-year period. Broadridge Category — The Trust underperformed the average for the one-year period and outperformed the average for the three- and five-year periods. | Subadviser fee comparative data not provided due to limited size of Broadridge peer group for this purpose. Net management fees for this Trust are higher than the peer group median. Net total expenses for this Trust are higher than the peer group median. | The Board took into account management’s discussion of the factors that contributed to the Trust’s one- and five-year performance relative to the benchmark index and to the peer group average for the one-year period. The Board noted the Trust’s favorable performance relative to the benchmark index for the three-year period and to the peer group average for the three- and five-year periods. The Board took into account management’s discussion of the Trust’s expenses. | |||||||||||
Small Company Growth Trust (Invesco Advisers Inc.) | Benchmark Index — The Trust outperformed the benchmark index for the one-, three- and five-year periods. Broadridge Category — The Trust outperformed the average for the one-, three- and five-year periods. | Subadviser fee comparative data not provided due to limited size of Broadridge peer group for this purpose. Net management fees for this Trust are higher than the peer group median. Net total expenses for this Trust are higher than the peer group median. | The Board noted the Trust’s favorable performance relative to its benchmark index and to its peer group average for the one-, three- and five-year periods. The Board took into account management’s discussion of the Trust’s expenses. | |||||||||||
Small Company Value Trust (T. Rowe Price Associates, Inc.) | Benchmark Index — The Trust outperformed the benchmark index for one-year period and underperformed the benchmark index for the three- and five-year periods. Broadridge Category — The Trust outperformed the average for the one- and three-year periods and underperformed the average for the five-year period. | Subadviser fee comparative data not provided due to limited size of Broadridge peer group for this purpose. Net management fees for this Trust are higher than the peer group median. Net total expenses for this Trust are higher than the peer group median. | The Board took into account management’s discussion of the factors that contributed to the Trust’s three- and five-year performance relative to the benchmark index and to the peer group average for the five-year period. The Board noted the Trust’s favorable performance relative to the benchmark index for the one-year period and to the peer group average for the one- and three-year periods. The Board took into account management’s discussion of the Trust’s expenses. |
Portfolio (Subadviser) | | Performance as of 12.31.2016 | | Fees and Expenses | | Comments | ||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Strategic Equity Allocation Trust (Manulife Asset Management (U.S.)) | Benchmark Index — The Trust underperformed the benchmark index for the one- and three-year periods. Broadridge Category — The Trust outperformed the average for the one- and three-year periods. | Subadviser fee comparative data not provided due to limited size of Broadridge peer group for this purpose. Net management fees for this Trust are lower than the peer group median. Net total expenses for this Trust are lower than the peer group median. | The Board took into account management’s discussion of the factors that contributed to the Trust’s one- and three-year performance relative to the benchmark index. The Board noted the Trust’s favorable performance relative to the peer group average for the one- and three-year periods. The Board noted the Trust’s net management fees and net total expenses are lower than the peer group median. | |||||||||||
Total Stock Market Index Trust (Manulife Asset Management (North America)) | Benchmark Index — The Trust underperformed the benchmark index for the one-, three- and five-year periods. Broadridge Category — The Trust outperformed the average for the one-, three- and five-year periods. | Subadviser fee comparative data not provided due to limited size of Broadridge peer group for this purpose. Net management fees for this Trust are lower than the peer group median. Net total expenses for this Trust are lower than the peer group median. | The Board took into account management’s discussion of the factors that contributed to the Trust’s one-, three- and five-year performance relative to the benchmark index. The Board noted the Trust’s favorable performance relative to the peer group average for the one-, three- and five-year periods. The Board noted the Trust’s net management fees and net total expenses are lower than the peer group median. The Board took into account management’s discussion of the Trust’s expenses and management’s proposed action to reduce expenses. | |||||||||||
Utilities Trust (Massachusetts Financial Services Company) | Benchmark Index — The Trust underperformed the benchmark index for the one-, three- and five-year periods. Broadridge Category — The Trust outperformed the average for the one-year period and underperformed for the three- and five-year periods. | Subadviser fee comparative data not provided due to limited size of Broadridge peer group for this purpose. Net management fees for this Trust are higher than the peer group median. Net total expenses for this Trust are lower than the peer group median. | The Board took into account management’s discussion of the factors that contributed to the Trust’s one-, three- and five-year performance relative to its benchmark index and to its peer group average for the three- and five-year periods. The Board noted the Trust’s favorable performance relative to its peer group average for the one-year period. The Board took into account management’s discussion of the Trust’s expenses. The Board noted the Trust’s net total expenses are lower than the peer group median. |
Portfolio (Subadviser) | | Performance as of 12.31.2016 | | Fees and Expenses | | Comments | ||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Value Trust (Invesco Advisers Inc.) | Benchmark Index — The Trust underperformed the benchmark index for the one-, three- and five-year periods. Broadridge Category — The Trust underperformed the average for the one-, three- and five-year periods. | The subadviser fees for this Trust are lower than the peer group median. Net management fees for this Trust are lower than the peer group median. Net total expenses for this Trust are lower than the peer group median. | The Board took into account management’s discussion of the factors that contributed to the Trust’s one-, three- and five-year performance relative to its benchmark index and its peer group average. The Board noted the Trust’s net management fee and net total expenses are lower than the peer group median. |
Portfolio compositions | 3 |
Shareholder expense example | 4 |
Summary portfolio of investments (See below for each portfolio’s page #) | 7 |
Statements of assets and liabilities | 41 |
Statements of operations | 44 |
Statements of changes in net assets | 47 |
Financial highlights | 49 |
Notes to financial statements | 55 |
Special shareholder meeting | 77 |
Evaluation of advisory and subadvisory agreements by the board of trustees | 78 |
For more information | 86 |
Portfolio | Summary portfolio of investments | |||||
---|---|---|---|---|---|---|
Active Bond Trust | 7 | |||||
Bond Trust | 9 | |||||
Core Bond Trust | 10 | |||||
Global Bond Trust | 12 | |||||
High Yield Trust | 22 | |||||
Investment Quality Bond Trust | 24 | |||||
Money Market Trust | 28 | |||||
New Income Trust | 29 | |||||
Short Term Government Income Trust | 31 | |||||
Strategic Income Opportunities Trust | 32 | |||||
Total Bond Market Trust B | 36 | |||||
Ultra Short Term Bond Trust | 38 |
Portfolio Composition* | % of Total | |||||
---|---|---|---|---|---|---|
Corporate bonds | 43.2 | |||||
U.S. Government Agency | 21.6 | |||||
Collateralized mortgage obligations | 13.0 | |||||
U.S. Government | 11.0 | |||||
Asset backed securities | 8.6 | |||||
Foreign government obligations | 0.8 | |||||
Municipal bonds | 0.4 | |||||
Capital preferred securities | 0.3 | |||||
Preferred securities | 0.3 | |||||
Term loans | 0.1 | |||||
Short-term investments and other | 0.7 |
Portfolio Composition* | % of Total | |||||
---|---|---|---|---|---|---|
Corporate bonds | 41.1 | |||||
U.S. Government | 19.6 | |||||
U.S. Government Agency | 19.5 | |||||
Asset backed securities | 15.3 | |||||
Collateralized mortgage obligations | 2.0 | |||||
Capital preferred securities | 0.2 | |||||
Short-term investments and other | 2.3 |
Portfolio Composition** | % of Total | |||||
---|---|---|---|---|---|---|
U.S. Government and Agency | 28.6 | |||||
U.S. Government | 25.5 | |||||
Corporate bonds | 22.1 | |||||
Asset backed securities | 14.9 | |||||
Collateralized mortgage obligations | 5.1 | |||||
Foreign government obligations | 2.1 | |||||
Municipal bonds | 0.6 | |||||
Short-term investments | 1.1 |
Portfolio Composition** | % of Total | |||||
---|---|---|---|---|---|---|
Corporate bonds | 32.8 | |||||
Foreign government obligations | 21.0 | |||||
U.S. Government Agency | 8.3 | |||||
Asset backed securities | 8.1 | |||||
Collateralized mortgage obligations | 8.1 | |||||
U.S. Government | 4.0 | |||||
Municipal bonds | 0.7 | |||||
Term loans | 0.2 | |||||
Escrow shares | 0.1 | |||||
Short-term investments | 16.7 |
Portfolio Composition* | % of Total | |||||
---|---|---|---|---|---|---|
Corporate bonds | 85.6 | |||||
Term loans | 3.2 | |||||
Asset backed securities | 2.5 | |||||
Preferred securities | 1.5 | |||||
Common stocks | 1.2 | |||||
Convertible bonds | 0.9 | |||||
Foreign government obligations | 0.9 | |||||
U.S. Government | 0.8 | |||||
Capital preferred securities | 0.4 | |||||
Collateralized mortgage obligations | 0.4 | |||||
Short-term investments and other | 2.6 |
Portfolio Composition** | % of Total | |||||
---|---|---|---|---|---|---|
U.S. Government Agency | 27.7 | |||||
Corporate bonds | 23.7 | |||||
Asset backed securities | 15.1 | |||||
U.S. Government | 14.4 | |||||
Collateralized mortgage obligations | 9.5 | |||||
Term loans | 2.1 | |||||
Foreign government obligations | 1.1 | |||||
Municipal bonds | 1.1 | |||||
Short-term investments | 5.3 |
Portfolio Composition** | % of Total | |||||
---|---|---|---|---|---|---|
U.S. Government Agency | 89.6 | |||||
U.S. Government | 10.4 |
Portfolio Composition* | % of Total | |||||
---|---|---|---|---|---|---|
Corporate bonds | 32.4 | |||||
U.S. Government Agency | 26.4 | |||||
U.S. Government | 13.1 | |||||
Asset backed securities | 11.1 | |||||
Collateralized mortgage obligations | 8.2 | |||||
Term loans | 2.5 | |||||
Municipal bonds | 1.4 | |||||
Foreign government obligations | 1.3 | |||||
Short-term investments and other | 3.6 |
Portfolio Composition* | % of Total | |||||
---|---|---|---|---|---|---|
U.S. Government Agency | 65.7 | |||||
U.S. Government | 27.1 | |||||
Collateralized mortgage obligations | 4.2 | |||||
Short-term investments and other | 3.0 |
Portfolio Composition* | % of Total | |||||
---|---|---|---|---|---|---|
Corporate bonds | 48.9 | |||||
Foreign government obligations | 17.4 | |||||
Term loans | 7.0 | |||||
Preferred securities | 6.5 | |||||
Collateralized mortgage obligations | 5.3 | |||||
Asset backed securities | 4.1 | |||||
Common stocks | 2.7 | |||||
Convertible bonds | 2.3 | |||||
Capital preferred securities | 0.9 | |||||
Purchased options | 0.3 | |||||
Warrants | 0.3 | |||||
Short-term investments and other | 4.3 |
Portfolio Composition* | % of Total | |||||
---|---|---|---|---|---|---|
U.S. Government | 38.5 | |||||
U.S. Government Agency | 29.0 | |||||
Corporate bonds | 26.5 | |||||
Foreign government obligations | 2.1 | |||||
Collateralized mortgage obligations | 1.3 | |||||
Municipal bonds | 0.8 | |||||
Asset backed securities | 0.2 | |||||
Short-term investments and other | 1.6 |
Portfolio Composition* | % of Total | |||||
---|---|---|---|---|---|---|
Corporate bonds | 53.7 | |||||
U.S. Government | 21.6 | |||||
Asset backed securities | 17.2 | |||||
U.S. Government Agency | 3.6 | |||||
Collateralized mortgage obligations | 0.6 | |||||
Short-term investments and other | 3.3 |
* | As a percentage of net assets. |
** | As a percentage of total investments. |
Beginning Account Value 1/1/2017 | Ending Account Value 6/30/2017 | Expenses Paid During Period1 1/1/2017 – 6/30/2017 | Annualized Expense Ratio | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Active Bond Trust | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 1,032.80 | $ | 3.48 | 0.69 | % | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,021.40 | 3.46 | 0.69 | % | ||||||||||||||
Series II — Actual | 1,000.00 | 1,031.70 | 4.48 | 0.89 | % | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,020.40 | 4.46 | 0.89 | % | ||||||||||||||
Series NAV — Actual | 1,000.00 | 1,032.80 | 3.23 | 0.64 | % | ||||||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,021.60 | 3.21 | 0.64 | % | ||||||||||||||
Bond Trust | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 1,025.50 | $ | 3.21 | 0.64 | % | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,021.60 | 3.21 | 0.64 | % | ||||||||||||||
Series II — Actual | 1,000.00 | 1,024.80 | 4.22 | 0.84 | % | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,020.60 | 4.21 | 0.84 | % | ||||||||||||||
Series NAV — Actual | 1,000.00 | 1,025.50 | 2.96 | 0.59 | % | ||||||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,021.90 | 2.96 | 0.59 | % | ||||||||||||||
Core Bond Trust | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 1,022.90 | $ | 3.36 | 0.67 | % | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,021.50 | 3.36 | 0.67 | % | ||||||||||||||
Series II — Actual | 1,000.00 | 1,022.20 | 4.36 | 0.87 | % | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,020.50 | 4.36 | 0.87 | % | ||||||||||||||
Series NAV — Actual | 1,000.00 | 1,023.80 | 3.11 | 0.62 | % | ||||||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,021.70 | 3.11 | 0.62 | % |
Beginning Account Value 1/1/2017 | Ending Account Value 6/30/2017 | Expenses Paid During Period1 1/1/2017 – 6/30/2017 | Annualized Expense Ratio | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Global Bond Trust | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 1,051.00 | $ | 4.07 | 0.80 | % | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,020.80 | 4.01 | 0.80 | % | ||||||||||||||
Series II — Actual | 1,000.00 | 1,050.00 | 5.08 | 1.00 | % | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,019.80 | 5.01 | 1.00 | % | ||||||||||||||
Series NAV — Actual | 1,000.00 | 1,051.20 | 3.81 | 0.75 | % | ||||||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,021.10 | 3.76 | 0.75 | % | ||||||||||||||
High Yield Trust | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 1,047.80 | $ | 4.37 | 0.86 | % | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,020.50 | 4.31 | 0.86 | % | ||||||||||||||
Series II — Actual | 1,000.00 | 1,046.80 | 5.38 | 1.06 | % | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,019.50 | 5.31 | 1.06 | % | ||||||||||||||
Series NAV — Actual | 1,000.00 | 1,046.50 | 4.11 | 0.81 | % | ||||||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,020.80 | 4.06 | 0.81 | % | ||||||||||||||
Investment Quality Bond Trust | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 1,030.90 | $ | 3.58 | 0.71 | % | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,021.30 | 3.56 | 0.71 | % | ||||||||||||||
Series II — Actual | 1,000.00 | 1,029.10 | 4.58 | 0.91 | % | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,020.30 | 4.56 | 0.91 | % | ||||||||||||||
Series NAV — Actual | 1,000.00 | 1,031.10 | 3.27 | 0.65 | % | ||||||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,021.60 | 3.26 | 0.65 | % | ||||||||||||||
Money Market Trust | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 1,002.00 | $ | 1.64 | 0.33 | % | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,023.20 | 1.66 | 0.33 | % | ||||||||||||||
Series II — Actual | 1,000.00 | 1,001.00 | 2.63 | 0.53 | % | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,022.20 | 2.66 | 0.53 | % | ||||||||||||||
Series NAV — Actual | 1,000.00 | 1,002.20 | 1.39 | 0.28 | % | ||||||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,023.40 | 1.40 | 0.28 | % | ||||||||||||||
New Income Trust | |||||||||||||||||||
Series NAV — Actual | $ | 1,000.00 | $ | 1,026.30 | $ | 2.91 | 0.58 | % | |||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,021.90 | 2.91 | 0.58 | % | ||||||||||||||
Short Term Government Income Trust | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 1,007.40 | $ | 3.28 | 0.66 | % | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,021.50 | 3.31 | 0.66 | % | ||||||||||||||
Series II — Actual | 1,000.00 | 1,005.80 | 4.28 | 0.86 | % | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,020.50 | 4.31 | 0.86 | % | ||||||||||||||
Series NAV — Actual | 1,000.00 | 1,007.40 | 3.04 | 0.61 | % | ||||||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,021.80 | 3.06 | 0.61 | % | ||||||||||||||
Strategic Income Opportunities Trust | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 1,035.80 | $ | 3.68 | 0.73 | % | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,021.20 | 3.66 | 0.73 | % | ||||||||||||||
Series II — Actual | 1,000.00 | 1,034.20 | 4.69 | 0.93 | % | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,020.20 | 4.66 | 0.93 | % | ||||||||||||||
Series NAV — Actual | 1,000.00 | 1,035.90 | 3.43 | 0.68 | % | ||||||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,021.40 | 3.41 | 0.68 | % | ||||||||||||||
Total Bond Market Trust B | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 1,020.80 | $ | 1.50 | 0.30 | % | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,023.30 | 1.51 | 0.30 | % | ||||||||||||||
Series II — Actual | 1,000.00 | 1,020.80 | 2.51 | 0.50 | % | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,022.30 | 2.51 | 0.50 | % | ||||||||||||||
Series NAV — Actual | 1,000.00 | 1,021.80 | 1.25 | 0.25 | % | ||||||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,023.60 | 1.25 | 0.25 | % |
Beginning Account Value 1/1/2017 | Ending Account Value 6/30/2017 | Expenses Paid During Period1 1/1/2017 – 6/30/2017 | Annualized Expense Ratio | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Ultra Short Term Bond Trust | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 1,004.30 | $ | 3.23 | 0.65 | % | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,021.60 | 3.26 | 0.65 | % | ||||||||||||||
Series II — Actual | 1,000.00 | 1,003.50 | 4.22 | 0.85 | % | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,020.60 | 4.26 | 0.85 | % | ||||||||||||||
Series NAV — Actual | 1,000.00 | 1,004.30 | 2.98 | 0.60 | % | ||||||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,021.80 | 3.01 | 0.60 | % |
1 | Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by the number of days in the period (181), and divided by 365 (to reflect the one-half year period). |
Shares or Principal Amount | Value | | % of Net Assets | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
U.S. GOVERNMENT AND AGENCY OBLIGATIONS – 32.6% | ||||||||||||||||||
Treasury Inflation Protected Securities – 0.8% | ||||||||||||||||||
0.375%, 07/15/2025 to 01/15/2027 | $ | 6,117,231 | $ | 6,049,492 | 0.8 | % | ||||||||||||
6,049,492 | ||||||||||||||||||
U.S. Treasury Bonds – 5.0% | ||||||||||||||||||
2.500%, 02/15/2045 | 4,501,000 | 4,207,206 | 0.6 | % | ||||||||||||||
2.750%, 11/15/2042 | 9,470,000 | 9,370,120 | 1.2 | % | ||||||||||||||
3.000%, 02/15/2047 | 23,101,000 | 23,871,626 | 3.2 | % | ||||||||||||||
37,448,952 | ||||||||||||||||||
U.S. Treasury Notes – 5.1% | ||||||||||||||||||
2.000%, 07/31/2022 to 02/15/2025 | 3,700,000 | 3,688,622 | 0.5 | % | ||||||||||||||
2.375%, 12/31/2020 to 05/15/2027 | 34,351,000 | 34,616,730 | 4.6 | % | ||||||||||||||
38,305,352 | ||||||||||||||||||
Federal Home Loan Mortgage Corp. – 2.7% | ||||||||||||||||||
3.000%, 03/01/2043 | 1,673,108 | 1,684,800 | 0.2 | % | ||||||||||||||
3.500%, 10/01/2046 | 10,626,558 | 10,978,252 | 1.5 | % | ||||||||||||||
4.000%, 01/01/2041 to 02/01/2044 | 2,847,700 | 3,022,830 | 0.4 | % | ||||||||||||||
4.500%, 09/01/2023 to 10/01/2041 | 3,813,806 | 4,100,554 | 0.6 | % | ||||||||||||||
OTHER SECURITIES | 309,076 | 0.0 | % | |||||||||||||||
20,095,512 | ||||||||||||||||||
Federal National Mortgage Association – 18.4% | ||||||||||||||||||
3.000%, TBA (C) | 54,500,000 | 54,700,326 | 7.4 | % | ||||||||||||||
3.000%, 07/01/2027 to 05/01/2043 | 4,059,897 | 4,090,201 | 0.7 | % | ||||||||||||||
3.500%, TBA (C) | 13,000,000 | 13,345,684 | 1.8 | % | ||||||||||||||
3.500%, 02/01/2026 to 04/01/2045 | 10,847,511 | 11,215,563 | 1.5 | % | ||||||||||||||
4.000%, TBA (C) | 8,000,000 | 8,406,814 | 1.1 | % | ||||||||||||||
4.000%, 10/01/2025 to 07/01/2046 | 17,839,221 | 18,816,774 | 2.5 | % | ||||||||||||||
4.500%, 08/01/2040 to 08/01/2041 | 8,636,239 | 9,318,042 | 1.3 | % | ||||||||||||||
5.000%, 05/01/2018 to 04/01/2041 | 5,477,049 | 5,995,568 | 0.8 | % | ||||||||||||||
5.500%, 02/01/2018 to 11/01/2039 | 4,902,721 | 5,455,836 | 0.7 | % | ||||||||||||||
6.000%, 05/01/2035 to 02/01/2036 | 3,022,273 | 3,436,923 | 0.4 | % | ||||||||||||||
OTHER SECURITIES | 2,052,534 | 0.2 | % | |||||||||||||||
136,834,265 | ||||||||||||||||||
Government National Mortgage Association – 0.6% | ||||||||||||||||||
4.000%, 02/15/2041 | 3,039,696 | 3,243,428 | 0.4 | % | ||||||||||||||
OTHER SECURITIES | 1,335,955 | 0.2 | % | |||||||||||||||
4,579,383 | ||||||||||||||||||
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (Cost $238,883,834) | $ | 243,312,956 | ||||||||||||||||
FOREIGN GOVERNMENT OBLIGATIONS – 0.8% | ||||||||||||||||||
Argentina – 0.3% | $ | 1,845,733 | 0.3 | % | ||||||||||||||
Brazil – 0.1% | 831,492 | 0.1 | % | |||||||||||||||
Germany – 0.2% | ||||||||||||||||||
Federal Republic of Germany 6.250%, 01/04/2030 | EUR | 725,000 | 1,380,716 | 0.2 | % | |||||||||||||
Mexico – 0.1% | 698,683 | 0.1 | % | |||||||||||||||
Panama – 0.1% | 681,950 | 0.1 | % | |||||||||||||||
United Kingdom – 0.0% | 164,930 | 0.0 | % | |||||||||||||||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost $5,264,339) | $ | 5,603,504 | ||||||||||||||||
CORPORATE BONDS – 43.2% | ||||||||||||||||||
Consumer discretionary – 4.4% | 32,734,330 | 4.4 | % | |||||||||||||||
Consumer staples – 2.0% | ||||||||||||||||||
CVS Pass-Through Trust 8.353%, 07/10/2031 (S) | $ | 1,082,686 | 1,396,954 | 0.2 | % | |||||||||||||
OTHER SECURITIES | 13,829,794 | 1.8 | % | |||||||||||||||
15,226,748 | ||||||||||||||||||
Energy – 6.3% | ||||||||||||||||||
Cameron International Corp. 5.950%, 06/01/2041 | 1,178,000 | 1,433,826 | 0.2 | % | ||||||||||||||
OTHER SECURITIES | 45,659,676 | 6.1 | % | |||||||||||||||
47,093,502 | ||||||||||||||||||
Financials – 13.3% | ||||||||||||||||||
AXA SA (6.463% to 12/14/2018, then 3 month LIBOR + 1.449%) 12/14/2018 (Q)(S) | 1,440,000 | 1,480,493 | 0.2 | % | ||||||||||||||
JPMorgan Chase & Co. 4.500%, 01/24/2022 | 1,300,000 | 1,407,557 | 0.2 | % | ||||||||||||||
Leucadia National Corp. 5.500%, 10/18/2023 | 1,490,000 | 1,594,351 | 0.2 | % | ||||||||||||||
Stifel Financial Corp. 4.250%, 07/18/2024 | 1,695,000 | 1,725,788 | 0.2 | % | ||||||||||||||
Willis Towers Watson PLC 5.750%, 03/15/2021 | 1,350,000 | 1,489,215 | 0.2 | % | ||||||||||||||
OTHER SECURITIES | 91,332,001 | 12.3 | % | |||||||||||||||
99,029,405 | ||||||||||||||||||
Health care – 2.7% | ||||||||||||||||||
Mylan NV 3.950%, 06/15/2026 | 1,450,000 | 1,469,340 | 0.2 | % | ||||||||||||||
OTHER SECURITIES | 18,641,477 | 2.5 | % | |||||||||||||||
20,110,817 | ||||||||||||||||||
Industrials – 4.2% | 31,049,796 | 4.2 | % | |||||||||||||||
Information technology – 2.1% | 15,603,156 | 2.1 | % | |||||||||||||||
Materials – 1.5% | 11,414,976 | 1.5 | % | |||||||||||||||
Real estate – 2.6% | 19,327,753 | 2.6 | % | |||||||||||||||
Telecommunication services – 2.1% | 15,677,109 | 2.1 | % | |||||||||||||||
Utilities – 2.0% | ||||||||||||||||||
Broadcom Corp. 3.875%, 01/15/2027 (S) | 1,613,000 | 1,656,561 | 0.2 | % | ||||||||||||||
OTHER SECURITIES | 13,386,210 | 1.8 | % | |||||||||||||||
15,042,771 | ||||||||||||||||||
TOTAL CORPORATE BONDS (Cost $309,275,147) | $ | 322,310,363 |
Shares or Principal Amount | Value | | % of Net Assets | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CAPITAL PREFERRED SECURITIES – 0.3% | ||||||||||||||||||
Financials – 0.3% | $ | 2,386,624 | 0.3 | % | ||||||||||||||
TOTAL CAPITAL PREFERRED SECURITIES (Cost $2,390,188) | $ | 2,386,624 | ||||||||||||||||
CONVERTIBLE BONDS – 0.0% | ||||||||||||||||||
Utilities – 0.0% | 285,891 | 0.0 | % | |||||||||||||||
TOTAL CONVERTIBLE BONDS (Cost $285,000) | $ | 285,891 | ||||||||||||||||
TERM LOANS (M) – 0.1% | ||||||||||||||||||
Financials – 0.1% | 211,926 | 0.1 | % | |||||||||||||||
Industrials – 0.0% | 169,119 | 0.0 | % | |||||||||||||||
Information technology – 0.0% | 119,196 | 0.0 | % | |||||||||||||||
Utilities – 0.0% | 108,469 | 0.0 | % | |||||||||||||||
TOTAL TERM LOANS (Cost $677,663) | $ | 608,710 | ||||||||||||||||
MUNICIPAL BONDS – 0.4% | ||||||||||||||||||
New Jersey State Turnpike Authority 7.414%, 01/01/2040 | $ | 1,885,000 | 2,831,289 | 0.4 | % | |||||||||||||
TOTAL MUNICIPAL BONDS (Cost $2,068,957) | $ | 2,831,289 | ||||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS – 13.0% | ||||||||||||||||||
Commercial and residential – 9.9% | ||||||||||||||||||
Americold 2010 LLC Trust, 6.811%, 01/14/2029 (S) | 1,350,000 | 1,510,306 | 0.2 | % | ||||||||||||||
Americold 2010 LLC Trust, 7.443%, 01/14/2029 (S) | 1,890,000 | 2,121,079 | 0.3 | % | ||||||||||||||
CD Commercial Mortgage Trust (Citigroup/Deutsche Bank), 3.631%, 02/10/2050 | 1,800,000 | 1,873,665 | 0.3 | % | ||||||||||||||
Commercial Mortgage Trust (Bank of America Merrill Lynch/Deutsche Bank AG), 3.424%, 03/10/2031 (S) | 1,400,000 | 1,449,406 | 0.2 | % | ||||||||||||||
Morgan Stanley Capital I Trust, 3.773%, 03/15/2045 | 2,371,500 | 2,478,002 | 0.3 | % | ||||||||||||||
OTHER SECURITIES | 64,552,722 | 8.6 | % | |||||||||||||||
73,985,180 | ||||||||||||||||||
Federal Home Loan Mortgage Corp. – 1.3% | ||||||||||||||||||
3.000%, 02/15/2040 | 1,837,937 | 1,884,385 | 0.3 | % | ||||||||||||||
OTHER SECURITIES | 7,904,338 | 1.0 | % | |||||||||||||||
9,788,723 | ||||||||||||||||||
Federal National Mortgage Association – 1.2% | ||||||||||||||||||
2.000%, 03/25/2041 | 4,320,291 | 4,288,221 | 0.5 | % | ||||||||||||||
OTHER SECURITIES | 4,480,720 | 0.7 | % | |||||||||||||||
8,768,941 | ||||||||||||||||||
Government National Mortgage Association – 0.6% | 4,583,013 | 0.6 | % | |||||||||||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $96,044,819) | $ | 97,125,857 | ||||||||||||||||
ASSET BACKED SECURITIES – 8.6% | ||||||||||||||||||
BA Credit Card Trust, 1.549%, 10/15/2021 (P) | 2,175,000 | 2,186,607 | 0.3 | % | ||||||||||||||
BA Credit Card Trust, 1.950%, 08/15/2022 | 1,735,000 | 1,740,734 | 0.2 | % | ||||||||||||||
Capital One Multi-Asset Execution Trust, 2.000%, 01/17/2023 | 1,490,000 | 1,496,109 | 0.2 | % | ||||||||||||||
Chase Issuance Trust, 1.270%, 07/15/2021 | 1,680,000 | 1,664,688 | 0.2 | % | ||||||||||||||
Citibank Credit Card Issuance Trust, 1.750%, 11/19/2021 | 1,430,000 | 1,428,732 | 0.2 | % | ||||||||||||||
ASSET BACKED SECURITIES (continued) | ||||||||||||||||||
Credit-Based Asset Servicing and Securitization LLC, 6.250%, 10/25/2036 (P)(S) | $ | 2,560,000 | $ | 2,643,344 | 0.4 | % | ||||||||||||
Discover Card Execution Note Trust, 1.640%, 07/15/2021 | 1,625,000 | 1,624,765 | 0.2 | % | ||||||||||||||
Verizon Owner Trust, 1.420%, 01/20/2021 (S) | 2,030,000 | 2,019,947 | 0.3 | % | ||||||||||||||
OTHER SECURITIES | 49,226,605 | 6.6 | % | |||||||||||||||
TOTAL ASSET BACKED SECURITIES (Cost $63,470,927) | $ | 64,031,531 | ||||||||||||||||
PREFERRED SECURITIES – 0.3% | ||||||||||||||||||
Consumer staples – 0.0% | 203,734 | 0.0 | % | |||||||||||||||
Financials – 0.2% | 1,116,612 | 0.2 | % | |||||||||||||||
Industrials – 0.0% | 452 | 0.0 | % | |||||||||||||||
Utilities – 0.1% | 1,025,072 | 0.1 | % | |||||||||||||||
TOTAL PREFERRED SECURITIES (Cost $2,286,113) | $ | 2,345,870 | ||||||||||||||||
SECURITIES LENDING COLLATERAL – 0.8% | ||||||||||||||||||
John Hancock Collateral Trust, 1.1508% (W)(Y) | 589,404 | 5,897,522 | 0.8 | % | ||||||||||||||
TOTAL SECURITIES LENDING COLLATERAL (Cost $5,897,753) | $ | 5,897,522 | ||||||||||||||||
SHORT-TERM INVESTMENTS – 10.3% | ||||||||||||||||||
U.S. Government Agency – 0.7% | ||||||||||||||||||
Federal Home Loan Bank Discount Note 0.456%, 07/03/2017* | $ | 5,564,000 | 5,564,000 | 0.7 | % | |||||||||||||
Money market funds – 9.5% | ||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class, 0.8844% (Y) | 70,529,941 | 70,529,941 | 9.5 | % | ||||||||||||||
Repurchase agreement 0.1% | 1,086,000 | 0.1 | % | |||||||||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $77,179,765) | $ | 77,179,941 | ||||||||||||||||
Total Investments (Active Bond Trust) (Cost $803,724,505) – 110.4% | $ | 823,920,058 | 110.4 | % | ||||||||||||||
Other assets and liabilities, net – (10.4%) | (77,798,598 | ) | (10.4 | )% | ||||||||||||||
TOTAL NET ASSETS – 100.0% | $ | 746,121,460 | 100.0 | % | ||||||||||||||
SALE COMMITMENTS OUTSTANDING – (3.7)% | ||||||||||||||||||
Federal National Mortgage Association – (3.7)% | ||||||||||||||||||
3.000%, TBA (C) | $ | (27,250,000 | ) | $ | (27,495,141 | ) | (3.7 | )% | ||||||||||
TOTAL SALE COMMITMENTS OUTSTANDING (Cost $(27,487,373)) | $ | (27,495,141 | ) |
EUR | Euro |
LIBOR | London Interbank Offered Rate | |||||
TBA | To Be Announced. A forward mortgage-backed securities trade issued by a U.S. Government Agency, to be delivered at an agreed-upon future settlement date. | |||||
(C) | Security purchased or sold on a when-issued or delayed delivery basis. | |||||
(M) | Term loans are variable rate obligations. The coupon rate shown represents the rate at period end. | |||||
(P) | Variable rate obligation. The coupon rate shown represents the rate at period end. |
(Q) | Perpetual bonds have no stated maturity date. Date shown as maturity date is next call date. | |||||
(S) | These securities are exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be resold, normally to qualified institutional buyers, in transactions exempt from registration. Rule 144A securities amounted to $134,342,939 or 18.0% of the fund’s net assets as of 6-30-17. | |||||
(W) | Investment is an affiliate of the fund, the advisor and/or subadvisor. This security represents the investment of cash collateral received for securities lending. | |||||
(Y) | The rate shown is the annualized seven-day yield as of 6-30-17. | |||||
* | Yield represents either the annualized yield at the date of purchase, the stated coupon rate or, for floating rate securities, the rate at period end. |
Shares or Principal Amount | Value | | % of Net Assets | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
U.S. GOVERNMENT AND AGENCY OBLIGATIONS – 39.1% | ||||||||||||||||||
Treasury Inflation Protected Securities – 1.6% | ||||||||||||||||||
0.375%, 07/15/2025 to 01/15/2027 | $ | 146,845,423 | $ | 145,206,691 | 1.6 | % | ||||||||||||
145,206,691 | ||||||||||||||||||
U.S. Treasury Bonds – 8.4% | ||||||||||||||||||
2.750%, 11/15/2042 | 283,305,000 | 280,316,982 | 3.0 | % | ||||||||||||||
3.000%, 02/15/2047 | 445,253,000 | 460,106,196 | 4.9 | % | ||||||||||||||
3.125%, 11/15/2041 | 42,755,000 | 45,326,970 | 0.5 | % | ||||||||||||||
785,750,148 | ||||||||||||||||||
U.S. Treasury Notes – 9.6% | ||||||||||||||||||
0.875%, 09/15/2019 | 136,802,000 | 135,193,482 | 1.5 | % | ||||||||||||||
1.375%, 01/15/2020 to 02/15/2020 | 154,155,000 | 153,699,538 | 1.6 | % | ||||||||||||||
1.500%, 05/15/2020 | 76,905,000 | 76,814,867 | 0.8 | % | ||||||||||||||
1.625%, 03/15/2020 | 56,130,000 | 56,303,217 | 0.6 | % | ||||||||||||||
1.750%, 01/31/2023 | 64,090,000 | 63,283,876 | 0.7 | % | ||||||||||||||
2.375%, 05/15/2027 | 400,904,000 | 403,487,826 | 4.4 | % | ||||||||||||||
888,782,806 | ||||||||||||||||||
Federal Home Loan Bank – 0.2% | 15,982,352 | 0.2 | % | |||||||||||||||
Federal Home Loan Mortgage Corp. – 4.2% | ||||||||||||||||||
3.000%, 02/01/2043 to 05/01/2046 | 117,822,721 | 118,242,967 | 1.4 | % | ||||||||||||||
3.500%, 01/01/2029 to 02/01/2045 | 118,322,588 | 122,467,188 | 1.4 | % | ||||||||||||||
4.000%, 09/01/2041 to 11/01/2043 | 47,025,703 | 49,872,818 | 0.6 | % | ||||||||||||||
4.500%, 08/01/2040 to 10/01/2041 | 62,039,480 | 66,851,883 | 0.6 | % | ||||||||||||||
OTHER SECURITIES | 32,843,380 | 0.2 | % | |||||||||||||||
390,278,236 | ||||||||||||||||||
Federal National Mortgage Association – 14.8% | ||||||||||||||||||
3.000%, 09/01/2027 to 04/01/2043 | 106,673,132 | 107,176,982 | 1.1 | % | ||||||||||||||
3.500%, 02/01/2026 to 04/01/2045 | 354,409,382 | 366,641,675 | 4.0 | % | ||||||||||||||
4.000%, 05/01/2025 to 06/01/2044 | 454,046,503 | 482,738,384 | 5.4 | % | ||||||||||||||
4.500%, 01/01/2027 to 05/01/2042 | 244,109,796 | 263,208,661 | 2.7 | % | ||||||||||||||
5.000%, 02/01/2033 to 12/01/2041 | 101,203,095 | 111,033,414 | 1.2 | % | ||||||||||||||
OTHER SECURITIES | 46,285,430 | 0.4 | % | |||||||||||||||
1,377,084,546 | ||||||||||||||||||
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (continued) | ||||||||||||||||||
Government National Mortgage Association – 0.3% | $ | 24,447,478 | 0.3 | % | ||||||||||||||
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (Cost $3,544,102,222) | $ | 3,627,532,257 | ||||||||||||||||
CORPORATE BONDS – 41.1% | ||||||||||||||||||
Consumer discretionary – 3.6% | ||||||||||||||||||
Ford Motor Credit Company LLC 5.875%, 08/02/2021 | $ | 32,919,000 | 36,705,705 | 0.4 | % | |||||||||||||
OTHER SECURITIES | 302,212,588 | 3.2 | % | |||||||||||||||
338,918,293 | ||||||||||||||||||
Consumer staples – 2.0% | ||||||||||||||||||
Anheuser-Busch InBev Finance, Inc. 4.900%, 02/01/2046 | 30,160,000 | 34,087,797 | 0.4 | % | ||||||||||||||
OTHER SECURITIES | 150,274,786 | 1.6 | % | |||||||||||||||
184,362,583 | ||||||||||||||||||
Energy – 4.8% | ||||||||||||||||||
Shell International Finance BV 4.375%, 05/11/2045 | 26,885,000 | 28,176,582 | 0.3 | % | ||||||||||||||
Williams Partners LP 4.875%, 05/15/2023 to 03/15/2024 | 35,190,000 | 36,770,370 | 0.4 | % | ||||||||||||||
OTHER SECURITIES | 384,526,028 | 4.1 | % | |||||||||||||||
449,472,980 | ||||||||||||||||||
Financials – 15.7% | ||||||||||||||||||
Bank of Montreal 2.100%, 12/12/2019 | 28,170,000 | 28,231,523 | 0.3 | % | ||||||||||||||
HBOS PLC 6.750%, 05/21/2018 (S) | 31,463,000 | 32,725,893 | 0.4 | % | ||||||||||||||
Lloyds Banking Group PLC 4.650%, 03/24/2026 | 31,040,000 | 32,346,412 | 0.4 | % | ||||||||||||||
Morgan Stanley 7.300%, 05/13/2019 | 27,030,000 | 29,552,034 | 0.3 | % | ||||||||||||||
The Goldman Sachs Group, Inc. 2.300%, 12/13/2019 | 30,020,000 | 30,098,262 | 0.3 | % | ||||||||||||||
Wells Fargo & Company (5.875% to 06/15/2025, then 3 month LIBOR + 3.990%) 06/15/2025 (Q) | 32,785,000 | 36,128,086 | 0.4 | % | ||||||||||||||
OTHER SECURITIES | 1,264,837,409 | 13.6 | % | |||||||||||||||
1,453,919,619 | ||||||||||||||||||
Health care – 2.4% | 225,952,344 | 2.4 | % | |||||||||||||||
Industrials – 3.9% | 361,982,918 | 3.9 | % | |||||||||||||||
Information technology – 2.8% | ||||||||||||||||||
Dell International LLC 6.020%, 06/15/2026 (S) | 27,890,000 | 30,723,875 | 0.3 | % | ||||||||||||||
OTHER SECURITIES | 230,354,586 | 2.5 | % | |||||||||||||||
261,078,461 | ||||||||||||||||||
Materials – 0.3% | 28,911,374 | 0.3 | % | |||||||||||||||
Real estate – 2.1% | ||||||||||||||||||
Crown Castle Towers LLC 4.883%, 08/15/2040 (S) | 25,984,000 | 27,725,910 | 0.3 | % | ||||||||||||||
EPR Properties 4.500%, 04/01/2025 to 06/01/2027 | 27,605,000 | 27,885,374 | 0.4 | % | ||||||||||||||
OTHER SECURITIES | 138,134,164 | 1.4 | % | |||||||||||||||
193,745,448 |
Shares or Principal Amount | Value | | % of Net Assets | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS (continued) | ||||||||||||||||||
Telecommunication services – 1.5% | ||||||||||||||||||
AT&T, Inc. 5.450%, 03/01/2047 | $ | 26,080,000 | $ | 28,113,119 | 0.3 | % | ||||||||||||
Verizon Communications, Inc. 4.862%, 08/21/2046 | 29,860,000 | 29,852,595 | 0.3 | % | ||||||||||||||
OTHER SECURITIES | 80,012,280 | 0.9 | % | |||||||||||||||
137,977,994 | ||||||||||||||||||
Utilities – 2.0% | 185,939,457 | 2.0 | % | |||||||||||||||
TOTAL CORPORATE BONDS (Cost $3,791,146,431) | $ | 3,822,261,471 | ||||||||||||||||
CAPITAL PREFERRED SECURITIES – 0.2% | ||||||||||||||||||
Financials – 0.2% | 18,355,546 | 0.2 | % | |||||||||||||||
TOTAL CAPITAL PREFERRED SECURITIES (Cost $15,999,950) | $ | 18,355,546 | ||||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS – 2.0% | ||||||||||||||||||
Commercial and residential – 0.3% | 29,646,511 | 0.3 | % | |||||||||||||||
Federal Home Loan Mortgage Corp. – 0.9% | 81,214,678 | 0.9 | % | |||||||||||||||
Government National Mortgage Association – 0.8% | 71,365,720 | 0.8 | % | |||||||||||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $185,601,685) | $ | 182,226,909 | ||||||||||||||||
ASSET BACKED SECURITIES – 15.3% | ||||||||||||||||||
American Express Credit Account Master Trust, 1.930%, 09/15/2022 | 33,165,000 | 33,237,860 | 0.4 | % | ||||||||||||||
BA Credit Card Trust, 1.950%, 08/15/2022 | 43,335,000 | 43,478,218 | 0.5 | % | ||||||||||||||
Cabela’s Credit Card Master Note Trust, 1.780%, 06/15/2022 | 32,782,500 | 32,730,700 | 0.4 | % | ||||||||||||||
Capital One Multi-Asset Execution Trust, 1.340%, 04/15/2022 | 28,125,000 | 27,912,220 | 0.3 | % | ||||||||||||||
Capital One Multi-Asset Execution Trust, 2.000%, 01/17/2023 | 37,195,000 | 37,347,496 | 0.4 | % | ||||||||||||||
Chase Issuance Trust, 1.270%, 07/15/2021 | 49,755,000 | 49,301,528 | 0.5 | % | ||||||||||||||
Chase Issuance Trust, 1.380%, 11/15/2019 | 31,978,000 | 31,980,846 | 0.3 | % | ||||||||||||||
Chrysler Capital Auto Receivables Trust, 1.550%, 02/18/2020 (S) | 35,345,000 | 35,342,377 | 0.4 | % | ||||||||||||||
Citibank Credit Card Issuance Trust, 1.750%, 11/19/2021 | 34,755,000 | 34,724,190 | 0.4 | % | ||||||||||||||
CNH Equipment Trust, 1.660%, 11/16/2020 | 31,405,000 | 31,417,430 | 0.3 | % | ||||||||||||||
Discover Card Execution Note Trust, 1.640%, 07/15/2021 | 50,115,000 | 50,107,753 | 0.5 | % | ||||||||||||||
Huntington Auto Trust, 1.930%, 04/15/2022 | 29,905,000 | 29,929,205 | 0.3 | % | ||||||||||||||
Nissan Auto Receivables Owner Trust, 1.500%, 09/15/2021 | 42,370,000 | 42,301,835 | 0.5 | % | ||||||||||||||
Nissan Master Owner Trust Receivables, 1.440%, 01/15/2020 | 29,325,000 | 29,309,508 | 0.3 | % | ||||||||||||||
ASSET BACKED SECURITIES (continued) | ||||||||||||||||||
Wendys Funding LLC, 3.371%, 06/15/2045 (S) | $ | 30,442,763 | $ | 30,703,961 | 0.3 | % | ||||||||||||
OTHER SECURITIES | 883,058,394 | 9.5 | % | |||||||||||||||
TOTAL ASSET BACKED SECURITIES (Cost $1,422,385,744) | $ | 1,422,883,521 | ||||||||||||||||
SECURITIES LENDING COLLATERAL – 0.1% | ||||||||||||||||||
John Hancock Collateral Trust, 1.1508% (W)(Y) | 1,435,035 | 14,358,813 | 0.1 | % | ||||||||||||||
TOTAL SECURITIES LENDING COLLATERAL (Cost $14,359,407) | $ | 14,358,813 | ||||||||||||||||
SHORT-TERM INVESTMENTS – 1.8% | ||||||||||||||||||
U.S. Government Agency – 1.6% | ||||||||||||||||||
Federal Home Loan Bank Discount Note 0.574%, 07/03/2017* | $ | 149,849,000 | 149,849,000 | 1.6 | % | |||||||||||||
Repurchase agreement 0.2% | 15,182,000 | 0.2 | % | |||||||||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $165,026,219) | $ | 165,031,000 | ||||||||||||||||
Total Investments (Bond Trust) (Cost $9,138,621,658) – 99.6% | $ | 9,252,649,517 | 99.6 | % | ||||||||||||||
Other assets and liabilities, net – 0.4% | 34,478,203 | 0.4 | % | |||||||||||||||
TOTAL NET ASSETS – 100.0% | $ | 9,287,127,720 | 100.0 | % |
LIBOR | London Interbank Offered Rate | |||||
(Q) | Perpetual bonds have no stated maturity date. Date shown as maturity date is next call date. | |||||
(S) | These securities are exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be resold, normally to qualified institutional buyers, in transactions exempt from registration. Rule 144A securities amounted to $1,182,612,675 or 12.7% of the fund’s net assets as of 6-30-17. | |||||
(W) | Investment is an affiliate of the fund, the advisor and/or subadvisor. This security represents the investment of cash collateral received for securities lending. | |||||
(Y) | The rate shown is the annualized seven-day yield as of 6-30-17. | |||||
* | Yield represents either the annualized yield at the date of purchase, the stated coupon rate or, for floating rate securities, the rate at period end. |
Shares or Principal Amount | Value | | % of Net Assets | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
U.S. GOVERNMENT AND AGENCY OBLIGATIONS – 60.6% | ||||||||||||||||||
U.S. Treasury Bonds – 4.4% | ||||||||||||||||||
2.500%, 02/15/2046 to 05/15/2046 | $ | 21,681,000 | $ | 20,210,755 | 1.6 | % | ||||||||||||
2.875%, 11/15/2046 | 5,579,000 | 5,619,319 | 0.4 | % | ||||||||||||||
3.000%, 11/15/2045 to 05/15/2047 | 28,233,000 | 29,157,225 | 2.4 | % | ||||||||||||||
54,987,299 | ||||||||||||||||||
U.S. Treasury Notes – 24.2% | ||||||||||||||||||
1.250%, 04/30/2019 to 06/30/2019 | 22,967,000 | 22,907,759 | 1.9 | % | ||||||||||||||
1.500%, 05/15/2020 to 06/15/2020 | 64,213,000 | 64,131,213 | 5.2 | % | ||||||||||||||
1.625%, 06/30/2020 to 07/31/2020 | 26,405,000 | 26,440,974 | 2.1 | % |
Shares or Principal Amount | Value | | % of Net Assets | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (continued) | ||||||||||||||||||
U.S. Treasury Notes (continued) | ||||||||||||||||||
1.750%, 05/31/2022 to 06/30/2022 | $ | 31,577,000 | $ | 31,372,561 | 2.5 | % | ||||||||||||
1.875%, 01/31/2022 to 03/31/2022 | 36,147,000 | 36,182,949 | 2.9 | % | ||||||||||||||
2.000%, 10/31/2021 to 11/15/2026 | 70,928,000 | 70,755,863 | 5.7 | % | ||||||||||||||
2.250%, 02/15/2027 | 8,860,000 | 8,820,546 | 0.7 | % | ||||||||||||||
2.375%, 05/15/2027 | 36,259,000 | 36,492,689 | 2.9 | % | ||||||||||||||
OTHER SECURITIES | 3,654,423 | 0.3 | % | |||||||||||||||
300,758,977 | ||||||||||||||||||
Federal Home Loan Mortgage Corp. – 7.1% | ||||||||||||||||||
2.630%, 07/01/2046 (P) | 3,906,148 | 3,966,664 | 0.3 | % | ||||||||||||||
3.000%, TBA (C) | 7,600,000 | 7,581,267 | 0.6 | % | ||||||||||||||
3.500%, 12/01/2025 to 12/01/2045 | 23,923,300 | 25,023,202 | 1.9 | % | ||||||||||||||
4.000%, TBA (C) | 13,700,000 | 14,357,227 | 1.2 | % | ||||||||||||||
4.000%, 10/01/2029 to 06/01/2047 | 13,690,560 | 14,544,517 | 1.2 | % | ||||||||||||||
4.500%, 08/01/2020 to 06/01/2047 | 15,927,295 | 17,210,724 | 1.4 | % | ||||||||||||||
OTHER SECURITIES | 5,844,132 | 0.5 | % | |||||||||||||||
88,527,733 | ||||||||||||||||||
Federal National Mortgage Association – 17.6% | ||||||||||||||||||
1.815%, 10/09/2019 (Z) | 12,445,000 | 11,938,737 | 1.0 | % | ||||||||||||||
3.000%, TBA (C) | 10,300,000 | 10,233,249 | 0.8 | % | ||||||||||||||
3.500%, 08/01/2028 to 08/01/2046 | 22,618,281 | 23,621,431 | 1.9 | % | ||||||||||||||
4.000%, TBA (C) | 22,900,000 | 24,026,988 | 2.0 | % | ||||||||||||||
4.000%, 04/01/2024 to 06/01/2047 | 71,980,746 | 76,439,780 | 5.9 | % | ||||||||||||||
4.500%, 01/01/2020 to 06/01/2047 | 41,713,154 | 45,337,248 | 3.7 | % | ||||||||||||||
4.500%, 05/01/2047 to 06/01/2047 (C) | 3,430,550 | 3,726,307 | 0.3 | % | ||||||||||||||
5.000%, 12/01/2039 to 08/01/2056 | 8,566,513 | 9,424,493 | 0.8 | % | ||||||||||||||
OTHER SECURITIES | 14,919,199 | 1.2 | % | |||||||||||||||
219,667,432 | ||||||||||||||||||
Government National Mortgage Association – 7.3% | ||||||||||||||||||
3.000%, TBA (C) | 17,900,000 | 18,063,601 | 1.5 | % | ||||||||||||||
3.500%, TBA (C) | 38,600,000 | 39,908,112 | 3.3 | % | ||||||||||||||
4.000%, 07/15/2045 to 05/20/2047 | 8,916,386 | 9,402,729 | 0.8 | % | ||||||||||||||
4.000%, 04/20/2047 to 06/20/2047 (C) | 11,920,694 | 12,576,671 | 1.0 | % | ||||||||||||||
4.500%, 03/15/2041 to 04/15/2047 | 6,792,215 | 7,331,982 | 0.6 | % | ||||||||||||||
OTHER SECURITIES | 2,994,043 | 0.1 | % | |||||||||||||||
90,277,138 | ||||||||||||||||||
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (Cost $760,899,669) | $ | 754,218,579 | ||||||||||||||||
FOREIGN GOVERNMENT OBLIGATIONS – 2.4% | ||||||||||||||||||
Canada – 0.1% | 1,810,205 | 0.1 | % | |||||||||||||||
Chile – 0.1% | 636,588 | 0.1 | % | |||||||||||||||
Indonesia – 0.2% | 2,487,111 | 0.2 | % | |||||||||||||||
Israel – 0.1% | 822,758 | 0.1 | % | |||||||||||||||
FOREIGN GOVERNMENT OBLIGATIONS (continued) | ||||||||||||||||||
Japan – 1.0% | ||||||||||||||||||
Japan Bank for International Cooperation 1.500%, 07/21/2021 | $ | 3,986,000 | $ | 3,853,928 | 0.3 | % | ||||||||||||
Japan Bank for International Cooperation 2.250%, 02/24/2020 | 4,404,000 | 4,422,739 | 0.4 | % | ||||||||||||||
OTHER SECURITIES | 4,132,888 | 0.3 | % | |||||||||||||||
12,409,555 | ||||||||||||||||||
Kuwait – 0.1% | 1,791,248 | 0.1 | % | |||||||||||||||
Mexico – 0.4% | 5,355,994 | 0.4 | % | |||||||||||||||
Paraguay – 0.1% | 804,045 | 0.1 | % | |||||||||||||||
Slovenia – 0.3% | 3,434,616 | 0.3 | % | |||||||||||||||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost $29,469,836) | $ | 29,552,120 | ||||||||||||||||
CORPORATE BONDS – 24.8% | ||||||||||||||||||
Consumer discretionary – 2.0% | 24,822,179 | 2.0 | % | |||||||||||||||
Consumer staples – 1.8% | 22,524,552 | 1.8 | % | |||||||||||||||
Energy – 2.5% | 31,240,580 | 2.5 | % | |||||||||||||||
Financials – 7.1% | ||||||||||||||||||
Morgan Stanley 2.625%, 11/17/2021 | 4,655,000 | 4,647,659 | 0.4 | % | ||||||||||||||
The Goldman Sachs Group, Inc. 6.750%, 10/01/2037 | 2,915,000 | 3,792,237 | 0.3 | % | ||||||||||||||
OTHER SECURITIES | 79,325,183 | 6.4 | % | |||||||||||||||
87,765,079 | ||||||||||||||||||
Health care – 1.8% | 22,551,332 | 1.8 | % | |||||||||||||||
Industrials – 1.2% | 15,211,798 | 1.2 | % | |||||||||||||||
Information technology – 3.4% | ||||||||||||||||||
Apple, Inc. 1.800%, 05/11/2020 | 4,425,000 | 4,424,159 | 0.4 | % | ||||||||||||||
Apple, Inc. 2.300%, 05/11/2022 | 4,425,000 | 4,416,393 | 0.4 | % | ||||||||||||||
OTHER SECURITIES | 32,873,682 | 2.6 | % | |||||||||||||||
41,714,234 | ||||||||||||||||||
Materials – 1.1% | 14,240,116 | 1.1 | % | |||||||||||||||
Real estate – 0.7% | 8,621,904 | 0.7 | % | |||||||||||||||
Telecommunication services – 1.3% | 16,745,090 | 1.3 | % | |||||||||||||||
Utilities – 1.9% | 22,990,392 | 1.9 | % | |||||||||||||||
TOTAL CORPORATE BONDS (Cost $303,738,616) | $ | 308,427,256 | ||||||||||||||||
MUNICIPAL BONDS – 0.6% | ||||||||||||||||||
TOTAL MUNICIPAL BONDS (Cost $7,612,209) | $ | 8,214,831 | ||||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS – 5.7% | ||||||||||||||||||
Commercial and residential – 4.2% | 52,866,484 | 4.2 | % | |||||||||||||||
Federal Home Loan Mortgage Corp. – 0.6% | ||||||||||||||||||
4.000%, 09/15/2043 | 4,219,851 | 4,450,014 | 0.4 | % | ||||||||||||||
OTHER SECURITIES | 2,570,631 | 0.2 | % | |||||||||||||||
7,020,645 | ||||||||||||||||||
Federal National Mortgage Association – 0.9% | ||||||||||||||||||
3.500%, 09/25/2043 | 4,314,485 | 4,511,725 | 0.4 | % | ||||||||||||||
OTHER SECURITIES | 7,076,862 | 0.5 | % | |||||||||||||||
11,588,587 | ||||||||||||||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $71,994,346) | $ | 71,475,716 |
Shares or Principal Amount | Value | | % of Net Assets | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
ASSET BACKED SECURITIES – 16.7% | ||||||||||||||||||
Avis Budget Rental Car Funding AESOP LLC, 2.500%, 02/20/2021 (S) | $ | 3,526,000 | $ | 3,516,903 | 0.3 | % | ||||||||||||
Navient Student Loan Trust, 1.916%, 02/25/2070 (P)(S) | 4,540,782 | 4,485,465 | 0.4 | % | ||||||||||||||
Navient Student Loan Trust, 2.366%, 07/26/2066 (P)(S) | 5,087,000 | 5,150,530 | 0.4 | % | ||||||||||||||
Navient Student Loan Trust, 2.266%, 12/27/2066 (P)(S) | 3,591,496 | 3,612,883 | 0.3 | % | ||||||||||||||
SMB Private Education Loan Trust, 2.490%, 06/15/2027 (S) | 3,845,000 | 3,860,202 | 0.3 | % | ||||||||||||||
SMB Private Education Loan Trust, 2.609%, 02/17/2032 (P)(S) | 3,521,000 | 3,615,474 | 0.3 | % | ||||||||||||||
SMB Private Education Loan Trust, 2.340%, 09/15/2034 (S) | 4,003,000 | 3,943,732 | 0.3 | % | ||||||||||||||
SMB Private Education Loan Trust, 2.059%, 09/15/2034 (P)(S) | 6,140,000 | 6,160,247 | 0.5 | % | ||||||||||||||
Verizon Owner Trust, 1.920%, 12/20/2021 (S) | 4,587,000 | 4,586,297 | 0.4 | % | ||||||||||||||
OTHER SECURITIES | 169,272,280 | 13.5 | % | |||||||||||||||
TOTAL ASSET BACKED SECURITIES (Cost $207,525,353) | $ | 208,204,013 | ||||||||||||||||
SECURITIES LENDING COLLATERAL – 0.3% | ||||||||||||||||||
John Hancock Collateral Trust, 1.1508% (W)(Y) | 338,219 | 3,384,188 | 0.3 | % | ||||||||||||||
TOTAL SECURITIES LENDING COLLATERAL (Cost $3,384,180) | $ | 3,384,188 | ||||||||||||||||
SHORT-TERM INVESTMENTS – 0.9% | ||||||||||||||||||
Money market funds – 0.9% | ||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class, 0.8844% (Y) | 11,428,607 | 11,428,607 | 0.9 | % | ||||||||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $11,428,607) | $ | 11,428,607 | ||||||||||||||||
Total Investments (Core Bond Trust) (Cost $1,396,052,816) – 112.0% | $ | 1,394,905,310 | 112.0 | % | ||||||||||||||
Other assets and liabilities, net – (12.0%) | (149,923,504 | ) | (12.0 | )% | ||||||||||||||
TOTAL NET ASSETS – 100.0% | $ | 1,244,981,806 | 100.0 | % | ||||||||||||||
SALE COMMITMENTS OUTSTANDING – (1.3)% | ||||||||||||||||||
Federal National Mortgage Association – (1.3)% | ||||||||||||||||||
3.000%, TBA (C) | $ | (8,000,000 | ) | $ | (7,940,625 | ) | (0.7 | )% | ||||||||||
4.000%, TBA (C) | (7,300,000 | ) | (7,681,142 | ) | (0.6 | )% | ||||||||||||
TOTAL SALE COMMITMENTS OUTSTANDING (Cost $(15,931,648)) | $ | (15,621,767 | ) |
TBA | To Be Announced. A forward mortgage-backed securities trade issued by a U.S. Government Agency, to be delivered at an agreed-upon future settlement date. | |||||
(C) | Security purchased or sold on a when-issued or delayed delivery basis. | |||||
(P) | Variable rate obligation. The coupon rate shown represents the rate at period end. | |||||
(S) | These securities are exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be resold, normally to qualified institutional buyers, in transactions exempt from registration. Rule 144A securities amounted to $172,963,887 or 13.9% of the fund’s net assets as of 6-30-17. | |||||
(W) | Investment is an affiliate of the fund, the advisor and/or subadvisor. This security represents the investment of cash collateral received for securities lending. | |||||
(Y) | The rate shown is the annualized seven-day yield as of 6-30-17. | |||||
(Z) | Zero coupon bonds are issued at a discount from their principal amount in lieu of paying interest periodically. Rate shown is the effective yield at period end. |
Shares or Principal Amount | Value | | % of Net Assets | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
U.S. GOVERNMENT AND AGENCY OBLIGATIONS – 14.8% | ||||||||||||||||||
Treasury Inflation Protected Securities – 4.3% | ||||||||||||||||||
0.125%, 04/15/2022 | $ | 10,656,816 | $ | 10,603,766 | 1.8 | % | ||||||||||||
2.500%, 01/15/2029 (D) | 8,429,015 | 10,131,528 | 1.7 | % | ||||||||||||||
OTHER SECURITIES | 4,329,905 | 0.8 | % | |||||||||||||||
25,065,199 | ||||||||||||||||||
U.S. Treasury Bonds – 0.5% | 3,091,189 | 0.5 | % | |||||||||||||||
Federal Home Loan Mortgage Corp. – 0.2% | 1,046,185 | 0.2 | % | |||||||||||||||
Federal National Mortgage Association – 9.8% | ||||||||||||||||||
3.000%, TBA (C) | 28,400,000 | 28,340,950 | 4.9 | % | ||||||||||||||
3.500%, TBA (C) | 27,000,000 | 27,631,476 | 4.7 | % | ||||||||||||||
OTHER SECURITIES | 1,449,555 | 0.2 | % | |||||||||||||||
57,421,981 | ||||||||||||||||||
Government National Mortgage Association – 0.0% | 78,520 | 0.0 | % | |||||||||||||||
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (Cost $87,794,438) | $ | 86,703,074 | ||||||||||||||||
FOREIGN GOVERNMENT OBLIGATIONS – 25.3% | ||||||||||||||||||
Australia – 0.1% | 332,681 | 0.1 | % | |||||||||||||||
Canada – 2.9% | ||||||||||||||||||
Province of Ontario 3.500%, 06/02/2024 | CAD | 5,100,000 | 4,259,766 | 0.7 | % | |||||||||||||
Province of Quebec 4.250%, 12/01/2021 | 4,500,000 | 3,823,577 | 0.7 | % | ||||||||||||||
OTHER SECURITIES | 9,120,649 | 1.5 | % | |||||||||||||||
17,203,992 | ||||||||||||||||||
Czech Republic – 0.0% | 131,299 | 0.0 | % | |||||||||||||||
France – 2.6% | ||||||||||||||||||
Government of France 1.250%, 05/25/2036 (S) | EUR | 4,600,000 | 5,042,766 | 0.8 | % | |||||||||||||
Government of France 2.000%, 05/25/2048 (S) | 6,600,000 | 7,776,395 | 1.3 | % | ||||||||||||||
OTHER SECURITIES | 2,724,880 | 0.5 | % | |||||||||||||||
15,544,041 | ||||||||||||||||||
Greece – 0.2% | 1,142,567 | 0.2 | % | |||||||||||||||
Italy – 2.5% | ||||||||||||||||||
Republic of Italy 3.450%, 03/01/2048 (S) | 7,700,000 | 8,947,850 | 1.5 | % | ||||||||||||||
OTHER SECURITIES | 5,549,076 | 1.0 | % | |||||||||||||||
14,496,926 | ||||||||||||||||||
Japan – 6.0% | ||||||||||||||||||
Government of Japan 0.500%, 09/20/2046 | JPY | 370,000,000 | 3,009,966 | 0.5 | % | |||||||||||||
Government of Japan 1.600%, 03/20/2033 | 1,610,000,000 | 17,006,624 | 2.9 | % | ||||||||||||||
Government of Japan 2.200%, 09/20/2026 | 500,000,000 | 5,316,501 | 0.9 | % | ||||||||||||||
OTHER SECURITIES | 9,583,335 | 1.7 | % | |||||||||||||||
34,916,426 |
Shares or Principal Amount | Value | | % of Net Assets | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
FOREIGN GOVERNMENT OBLIGATIONS (continued) | |||||||||||||||||||||
Kuwait – 0.9% | |||||||||||||||||||||
State of Kuwait 3.500%, 03/20/2027 (S) | $ | 3,800,000 | $ | 3,882,080 | 0.7 | % | |||||||||||||||
OTHER SECURITIES | 1,204,200 | 0.2 | % | ||||||||||||||||||
5,086,280 | |||||||||||||||||||||
New Zealand – 0.9% | |||||||||||||||||||||
Dominion of New Zealand 5.000%, 03/15/2019 | NZD | 6,300,000 | 4,839,291 | 0.8 | % | ||||||||||||||||
OTHER SECURITIES | 447,828 | 0.1 | % | ||||||||||||||||||
5,287,119 | |||||||||||||||||||||
Norway – 0.1% | 503,780 | 0.1 | % | ||||||||||||||||||
Poland – 0.2% | 1,245,736 | 0.2 | % | ||||||||||||||||||
Qatar – 0.2% | 1,347,444 | 0.2 | % | ||||||||||||||||||
Saudi Arabia – 1.1% | |||||||||||||||||||||
Kingdom of Saudi Arabia 2.375%, 10/26/2021 | $ | 5,500,000 | 5,405,439 | 0.9 | % | ||||||||||||||||
OTHER SECURITIES | 1,194,984 | 0.2 | % | ||||||||||||||||||
6,600,423 | |||||||||||||||||||||
Slovenia – 1.9% | 11,119,644 | 1.9 | % | ||||||||||||||||||
Spain – 2.8% | |||||||||||||||||||||
Kingdom of Spain 1.950%, 04/30/2026 (S) | EUR | 6,100,000 | 7,321,168 | 1.2 | % | ||||||||||||||||
OTHER SECURITIES | 9,158,932 | 1.6 | % | ||||||||||||||||||
16,480,100 | |||||||||||||||||||||
United Kingdom – 2.9% | |||||||||||||||||||||
Government of United Kingdom 3.250%, 01/22/2044 | GBP | 3,700,000 | 6,157,515 | 1.1 | % | ||||||||||||||||
Government of United Kingdom 4.250%, 12/07/2040 | 4,000,000 | 7,529,227 | 1.3 | % | |||||||||||||||||
OTHER SECURITIES | 3,108,584 | 0.5 | % | ||||||||||||||||||
16,795,326 | |||||||||||||||||||||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost $147,876,294) | $ | 148,233,784 | |||||||||||||||||||
CORPORATE BONDS – 39.4% | |||||||||||||||||||||
Australia – 0.4% | 2,312,022 | 0.4 | % | ||||||||||||||||||
Belgium – 0.3% | 1,648,000 | 0.3 | % | ||||||||||||||||||
Brazil – 0.6% | 3,823,633 | 0.6 | % | ||||||||||||||||||
Canada – 0.8% | 4,883,015 | 0.8 | % | ||||||||||||||||||
Cayman Islands – 0.2% | 1,035,800 | 0.2 | % | ||||||||||||||||||
Denmark – 8.4% | |||||||||||||||||||||
Nordea Kredit Realkreditaktieselskab 2.000%, 10/01/2017 to 10/01/2047 | DKK | 30,829,782 | 4,695,197 | 0.8 | % | ||||||||||||||||
Nykredit Realkredit A/S 1.000%, 07/01/2017 to 04/01/2018 | 45,600,000 | 7,032,095 | 1.2 | % | |||||||||||||||||
Nykredit Realkredit A/S 2.000%, 07/01/2017 to 10/01/2047 | 83,431,827 | 12,724,612 | 2.2 | % | |||||||||||||||||
Nykredit Realkredit A/S 2.500%, 10/01/2037 to 10/01/2047 | 63,613,489 | 9,978,512 | 1.7 | % | |||||||||||||||||
Realkredit Danmark A/S 2.000%, 01/01/2018 to 10/01/2047 | 26,938,129 | 4,099,691 | 0.6 | % | |||||||||||||||||
CORPORATE BONDS (continued) | |||||||||||||||||||||
Denmark (continued) | |||||||||||||||||||||
Realkredit Danmark A/S 2.500%, 10/01/2037 to 10/01/2047 | DKK | 33,682,378 | $ | 5,294,957 | 0.9 | % | |||||||||||||||
OTHER SECURITIES | 5,507,270 | 1.0 | % | ||||||||||||||||||
49,332,334 | |||||||||||||||||||||
France – 1.6% | |||||||||||||||||||||
Dexia Credit Local SA 1.875%, 09/15/2021 (S) | $ | 3,100,000 | 3,024,775 | 0.5 | % | ||||||||||||||||
OTHER SECURITIES | 6,089,167 | 1.1 | % | ||||||||||||||||||
9,113,942 | |||||||||||||||||||||
Germany – 0.5% | 2,827,070 | 0.5 | % | ||||||||||||||||||
Greece – 0.0% | 112,502 | 0.0 | % | ||||||||||||||||||
Guernsey, Channel Islands – 0.1% | 412,327 | 0.1 | % | ||||||||||||||||||
Ireland – 0.4% | 2,285,543 | 0.4 | % | ||||||||||||||||||
Italy – 0.7% | |||||||||||||||||||||
Banca Carige SpA 3.875%, 10/24/2018 | EUR | 2,800,000 | 3,317,705 | 0.6 | % | ||||||||||||||||
OTHER SECURITIES | 508,621 | 0.1 | % | ||||||||||||||||||
3,826,326 | |||||||||||||||||||||
Ivory Coast – 0.4% | 2,473,978 | 0.4 | % | ||||||||||||||||||
Japan – 1.5% | |||||||||||||||||||||
Sumitomo Mitsui Financial Group, Inc. 2.058%, 07/14/2021 | 3,100,000 | 3,049,622 | 0.5 | % | |||||||||||||||||
Sumitomo Mitsui Financial Group, Inc. 2.901%, 03/09/2021 (P) | 3,100,000 | 3,193,257 | 0.6 | % | |||||||||||||||||
OTHER SECURITIES | 2,424,981 | 0.4 | % | ||||||||||||||||||
8,667,860 | |||||||||||||||||||||
Jersey, Channel Islands – 0.1% | 786,560 | 0.1 | % | ||||||||||||||||||
Netherlands – 2.4% | |||||||||||||||||||||
ING Bank NV 2.625%, 12/05/2022 | 3,500,000 | 3,529,432 | 0.6 | % | |||||||||||||||||
OTHER SECURITIES | 10,503,726 | 1.8 | % | ||||||||||||||||||
14,033,158 | |||||||||||||||||||||
Norway – 0.3% | 1,509,530 | 0.3 | % | ||||||||||||||||||
Portugal – 0.0% | 279,262 | 0.0 | % | ||||||||||||||||||
Russia – 0.4% | 2,109,249 | 0.4 | % | ||||||||||||||||||
Sweden – 5.7% | |||||||||||||||||||||
Lansforsakringar Hypotek AB 1.250%, 09/20/2023 | SEK | 26,400,000 | 3,156,456 | 0.5 | % | ||||||||||||||||
Nordea Hypotek AB 1.000%, 04/08/2022 | 40,400,000 | 4,867,767 | 0.8 | % | |||||||||||||||||
Stadshypotek AB 1.500%, 12/15/2021 | 32,000,000 | 3,949,617 | 0.7 | % | |||||||||||||||||
Stadshypotek AB 4.500%, 09/21/2022 | 45,000,000 | 6,348,655 | 1.1 | % | |||||||||||||||||
Svenska Handelsbanken AB 2.446%, 03/30/2021 (P) | $ | 3,700,000 | 3,780,075 | 0.6 | % | ||||||||||||||||
Swedbank Hypotek AB 1.000%, 09/15/2021 to 06/15/2022 | SEK | 36,100,000 | 4,351,813 | 0.7 | % | ||||||||||||||||
OTHER SECURITIES | 7,211,384 | 1.3 | % | ||||||||||||||||||
33,665,767 | |||||||||||||||||||||
Switzerland – 1.0% | 5,733,214 | 1.0 | % |
Shares or Principal Amount | Value | | % of Net Assets | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS (continued) | ||||||||||||||||||
United Kingdom – 5.6% | ||||||||||||||||||
Barclays Bank PLC (7.750% to 04/10/2018, then 5 Year U.S. Swap Rate + 6.833%) 04/10/2023 | $ | 5,000,000 | $ | 5,200,000 | 0.9 | % | ||||||||||||
OTHER SECURITIES | 27,853,533 | 4.7 | % | |||||||||||||||
33,053,533 | ||||||||||||||||||
United States – 8.0% | ||||||||||||||||||
Marriott International, Inc. 6.750%, 05/15/2018 | 3,000,000 | 3,126,480 | 0.5 | % | ||||||||||||||
MUFG Americas Holdings Corp. 3.000%, 02/10/2025 | 3,500,000 | 3,441,561 | 0.6 | % | ||||||||||||||
OTHER SECURITIES | 40,050,975 | 6.9 | % | |||||||||||||||
46,619,016 | ||||||||||||||||||
TOTAL CORPORATE BONDS (Cost $225,620,500) | $ | 230,543,641 | ||||||||||||||||
TERM LOANS (M) – 0.2% | ||||||||||||||||||
United States – 0.2% | 1,284,520 | 0.2 | % | |||||||||||||||
TOTAL TERM LOANS (Cost $1,292,983) | $ | 1,284,520 | ||||||||||||||||
MUNICIPAL BONDS – 0.8% | ||||||||||||||||||
TOTAL MUNICIPAL BONDS (Cost $4,769,885) | $ | 4,806,859 | ||||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS – 9.8% | ||||||||||||||||||
Canada – 0.4% | 2,125,640 | 0.4 | % | |||||||||||||||
Italy – 0.1% | 795,521 | 0.1 | % | |||||||||||||||
United Kingdom – 2.4% | ||||||||||||||||||
Mansard Mortgages PLC, Series 2007-2X, Class A1 0.941%, 12/15/2049 (P) | GBP | 4,469,397 | 5,690,310 | 1.0 | % | |||||||||||||
OTHER SECURITIES | 8,261,591 | 1.4 | % | |||||||||||||||
13,951,901 | ||||||||||||||||||
United States – 6.9% | ||||||||||||||||||
JPMorgan Alternative Loan Trust, Series 2006-A5, Class 1A4 1.456%, 10/25/2036 (P) | $ | 3,708,299 | 3,182,968 | 0.6 | % | |||||||||||||
OTHER SECURITIES | 37,322,169 | 6.3 | % | |||||||||||||||
40,505,137 | ||||||||||||||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $58,606,027) | $ | 57,378,199 | ||||||||||||||||
ASSET BACKED SECURITIES – 9.8% | ||||||||||||||||||
WaMu Asset-Backed Certificates, 1.576%, 04/25/2037 (P) | 7,004,086 | 3,417,124 | 0.6 | % | ||||||||||||||
OTHER SECURITIES | 53,799,008 | 9.2 | % | |||||||||||||||
TOTAL ASSET BACKED SECURITIES (Cost $57,128,416) | $ | 57,216,132 | ||||||||||||||||
COMMON STOCKS – 0.0% | ||||||||||||||||||
United States – 0.0% | 43,717 | 0.0 | % | |||||||||||||||
TOTAL COMMON STOCKS (Cost $15,920) | $ | 43,717 | ||||||||||||||||
PREFERRED SECURITIES – 0.1% | ||||||||||||||||||
United Kingdom – 0.0% | 49,005 | 0.0 | % | |||||||||||||||
United States – 0.1% | 248,038 | 0.1 | % | |||||||||||||||
TOTAL PREFERRED SECURITIES (Cost $154,258) | $ | 297,043 | ||||||||||||||||
ESCROW SHARES – 0.1% | ||||||||||||||||||
United States – 0.1% | 673,110 | 0.1 | % | |||||||||||||||
TOTAL ESCROW SHARES (Cost $0) | $ | 673,110 | ||||||||||||||||
PURCHASED OPTIONS – 0.0% | ||||||||||||||||||
Call options – 0.0% | $ | 136,781 | 0.0 | % | ||||||||||||||
Put options – 0.0% | 103,718 | 0.0 | % | |||||||||||||||
TOTAL PURCHASED OPTIONS (Cost $618,431) | $ | 240,499 | ||||||||||||||||
SHORT-TERM INVESTMENTS – 20.1% | ||||||||||||||||||
Certificate of deposit – 0.7% | ||||||||||||||||||
Natixis SA 1.979%, 09/25/2017* | $ | 3,800,000 | 3,805,738 | 0.7 | % | |||||||||||||
3,805,738 | ||||||||||||||||||
Foreign government – 18.1% | ||||||||||||||||||
Japan Treasury Discount Bills (0.146)%, 07/31/2017* | JPY | 1,280,000,000 | 11,380,990 | 2.0 | % | |||||||||||||
Japan Treasury Discount Bills (0.138)%, 08/07/2017* | 1,280,000,000 | 11,381,012 | 2.0 | % | ||||||||||||||
Japan Treasury Discount Bills (0.120)%, 09/04/2017* | 940,000,000 | 8,358,666 | 1.4 | % | ||||||||||||||
Japan Treasury Discount Bills (0.119)%, 08/28/2017* | 1,260,000,000 | 11,204,639 | 1.9 | % | ||||||||||||||
Japan Treasury Discount Bills (0.102)%, 09/19/2017* | 1,720,000,000 | 15,295,223 | 2.6 | % | ||||||||||||||
Japan Treasury Discount Bills (0.096)%, 09/11/2017* | 4,570,000,000 | 40,638,077 | 6.9 | % | ||||||||||||||
Mexico Cetes 6.490%, 03/01/2018* | MXN | 78,900,000 | 4,142,427 | 0.7 | % | |||||||||||||
OTHER SECURITIES | 3,549,320 | 0.6 | % | |||||||||||||||
105,950,354 | ||||||||||||||||||
Repurchase agreement – 1.3% | ||||||||||||||||||
Repurchase Agreement with State Street Corp. dated 06/30/2017 at 0.340% to be repurchased at $7,780,220 on 07/03/2017, collateralized by $8,065,000 U.S. Treasury Notes, 1.125% due 02/28/2021 (valued at $7,938,896, including interest) | $ | 7,780,000 | 7,780,000 | 1.3 | % | |||||||||||||
7,780,000 | ||||||||||||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $118,578,693) | $ | 117,536,092 | ||||||||||||||||
Total Investments (Global Bond Trust) (Cost $702,455,845) – 120.4% | $ | 704,956,670 | 120.4 | % | ||||||||||||||
Other assets and liabilities, net – (20.4%) | (119,278,166 | ) | (20.4 | )% | ||||||||||||||
TOTAL NET ASSETS – 100.0% | $ | 585,678,504 | 100.0 | % |
CAD | Canadian Dollar | |||||
DKK | Danish Krone | |||||
EUR | Euro | |||||
GBP | Pound Sterling | |||||
JPY | Japanese Yen | |||||
MXN | Mexican Peso | |||||
NZD | New Zealand Dollar | |||||
SEK | Swedish Krona |
TBA | To Be Announced. A forward mortgage-backed securities trade issued by a U.S. Government Agency, to be delivered at an agreed-upon future settlement date. | |||||
(C) | Security purchased or sold on a when-issued or delayed delivery basis. | |||||
(D) | All or a portion of this security is segregated at the custodian as collateral for certain derivatives. | |||||
(M) | Term loans are variable rate obligations. The coupon rate shown represents the rate at period end. |
(P) | Variable rate obligation. The coupon rate shown represents the rate at period end. | |||||
(S) | These securities are exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be resold, normally to qualified institutional buyers, in transactions exempt from registration. Rule 144A securities amounted to $122,943,108 or 21.0% of the fund’s net assets as of 6-30-17. | |||||
* | Yield represents either the annualized yield at the date of purchase, the stated coupon rate or, for floating rate securities, the rate at period end. |
Open contracts | | Number of contracts | | Position | | Expiration date | | Notional basis* | | Notional value* | | Unrealized appreciation (depreciation) | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
3-Year Australian Treasury Bond Futures | 14 | Long | Sep 2017 | $ | 1,208,821 | $ | 1,201,430 | ($7,391 | ) | |||||||||||||||||
5-Year U.S. Treasury Note Futures | 1209 | Long | Sep 2017 | 142,787,132 | 142,463,649 | (323,483 | ) | |||||||||||||||||||
10-Year Australian Treasury Bond Futures | 46 | Long | Sep 2017 | 4,641,952 | 4,570,056 | (71,896 | ) | |||||||||||||||||||
10-Year Canada Government Bond Futures | 23 | Long | Sep 2017 | 2,560,615 | 2,492,790 | (67,825 | ) | |||||||||||||||||||
10-Year Japan Government Bond Futures | 11 | Long | Sep 2017 | 14,722,596 | 14,680,685 | (41,911 | ) | |||||||||||||||||||
10-Year U.S. Treasury Note Futures | 1347 | Long | Sep 2017 | 169,572,715 | 169,090,594 | (482,121 | ) | |||||||||||||||||||
Eurodollar Futures | 382 | Long | Sep 2017 | 94,170,333 | 94,205,975 | 35,642 | ||||||||||||||||||||
Eurodollar Futures | 105 | Long | Mar 2018 | 25,862,148 | 25,840,500 | (21,648 | ) | |||||||||||||||||||
German Euro BUND Futures | 62 | Long | Sep 2017 | 11,657,724 | 11,462,545 | (195,179 | ) | |||||||||||||||||||
Ultra U.S. Treasury Bond Futures | 164 | Long | Sep 2017 | 26,699,136 | 27,203,500 | 504,364 | ||||||||||||||||||||
Euro-BTP Italian Government Bond Futures | 97 | Short | Sep 2017 | (14,983,682 | ) | (14,971,960 | ) | 11,722 | ||||||||||||||||||
Euro-Buxl Futures | 17 | Short | Sep 2017 | (3,270,374 | ) | (3,174,993 | ) | 95,381 | ||||||||||||||||||
Eurodollar Futures | 382 | Short | Sep 2018 | (93,691,858 | ) | (93,866,950 | ) | (175,092 | ) | |||||||||||||||||
Eurodollar Futures | 105 | Short | Mar 2019 | (25,647,100 | ) | (25,763,062 | ) | (115,962 | ) | |||||||||||||||||
Euro-OAT Futures | 119 | Short | Sep 2017 | (20,395,087 | ) | (20,180,779 | ) | 214,308 | ||||||||||||||||||
German Euro BOBL Futures | 10 | Short | Sep 2017 | (1,509,741 | ) | (1,504,211 | ) | 5,530 | ||||||||||||||||||
U.S. Treasury Long Bond Futures | 58 | Short | Sep 2017 | (8,844,632 | ) | (8,913,875 | ) | (69,243 | ) | |||||||||||||||||
($704,804 | ) |
* | Notional basis refers to the contractual amount agreed upon at inception of open contracts; notional value represents the current value of the open contract. |
Contract to buy | Contract to sell | | Counterparty (OTC) | | Contractual settlement date | | Unrealized appreciation | | Unrealized depreciation | | ||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
AUD | 3,905,000 | NZD | 4,100,870 | Morgan Stanley Bank, N.A. | 7/5/2017 | — | ($3,735 | ) | ||||||||||||||||||||||||
AUD | 2,056,000 | USD | 1,576,968 | Citibank N.A. | 8/15/2017 | $ | 2,446 | — | ||||||||||||||||||||||||
AUD | 7,007,000 | USD | 5,235,344 | Standard Chartered Bank | 8/15/2017 | 147,416 | — | |||||||||||||||||||||||||
AUD | 2,019,000 | USD | 1,527,816 | UBS AG | 8/15/2017 | 23,175 | — | |||||||||||||||||||||||||
BRL | 16,272,144 | USD | 4,977,410 | BNP Paribas SA | 7/5/2017 | — | (65,658 | ) | ||||||||||||||||||||||||
BRL | 3,652,723 | USD | 1,095,598 | Deutsche Bank AG London | 7/5/2017 | 6,978 | — | |||||||||||||||||||||||||
BRL | 12,260,719 | USD | 3,706,160 | Goldman Sachs Bank USA | 7/5/2017 | — | (5,258 | ) | ||||||||||||||||||||||||
BRL | 9,053,478 | USD | 2,709,000 | HSBC Bank USA | 7/5/2017 | 23,795 | — | |||||||||||||||||||||||||
BRL | 49,412,192 | USD | 15,196,054 | JPMorgan Chase Bank | 7/5/2017 | — | (280,967 | ) | ||||||||||||||||||||||||
BRL | 36,600,000 | USD | 11,063,418 | Morgan Stanley Bank, N.A. | 7/5/2017 | — | (15,696 | ) | ||||||||||||||||||||||||
BRL | 15,387,382 | USD | 4,579,851 | BNP Paribas SA | 8/2/2017 | 37,580 | — | |||||||||||||||||||||||||
CAD | 2,700,000 | USD | 2,040,050 | Bank of America, N.A. | 7/5/2017 | 41,998 | — | |||||||||||||||||||||||||
CAD | 7,700,000 | USD | 5,823,627 | Barclays Bank PLC Wholesale | 7/5/2017 | 114,065 | — | |||||||||||||||||||||||||
CAD | 6,502,000 | USD | 4,831,507 | BNP Paribas SA | 7/5/2017 | 182,374 | — | |||||||||||||||||||||||||
CAD | 78,000 | USD | 59,798 | Royal Bank of Canada | 7/5/2017 | 350 | — | |||||||||||||||||||||||||
CAD | 500,000 | USD | 377,119 | UBS AG | 7/5/2017 | 8,446 | — | |||||||||||||||||||||||||
CAD | 7,422,000 | USD | 5,665,152 | JPMorgan Chase Bank N.A. | 8/2/2017 | 61,111 | — | |||||||||||||||||||||||||
CHF | 3,711,000 | USD | 3,703,810 | Goldman Sachs Bank USA | 8/15/2017 | 176,152 | — | |||||||||||||||||||||||||
CNH | 27,931,780 | USD | 4,039,303 | Morgan Stanley Bank, N.A. | 7/5/2017 | 80,337 | — | |||||||||||||||||||||||||
CNH | 27,931,780 | USD | 4,043,981 | Credit Suisse International | 12/5/2017 | 31,947 | — | |||||||||||||||||||||||||
CZK | 13,433,000 | USD | 535,521 | Morgan Stanley Bank, N.A. | 7/10/2017 | 52,000 | — | |||||||||||||||||||||||||
DKK | 2,875,000 | USD | 414,138 | UBS AG | 7/3/2017 | 27,466 | — | |||||||||||||||||||||||||
DKK | 20,239,000 | USD | 2,974,659 | UBS AG | 10/2/2017 | 149,636 | — | |||||||||||||||||||||||||
DKK | 170,000 | USD | 26,069 | BNP Paribas SA | 4/3/2018 | 461 | — | |||||||||||||||||||||||||
EUR | 2,756,000 | CHF | 3,015,575 | BNP Paribas SA | 7/5/2017 | 2,937 | — |
Contract to buy | Contract to sell | | Counterparty (OTC) | | Contractual settlement date | | Unrealized appreciation | | Unrealized depreciation | | ||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
EUR | 371,747 | CZK | 10,000,000 | Barclays Capital | 9/29/2017 | — | ($13,088 | ) | ||||||||||||||||||||||||
EUR | 4,470,000 | USD | 5,045,544 | Bank of America, N.A. | 8/15/2017 | $ | 70,599 | — | ||||||||||||||||||||||||
EUR | 1,558,000 | USD | 1,754,838 | Goldman Sachs Bank USA | 8/15/2017 | 28,373 | — | |||||||||||||||||||||||||
EUR | 4,327,000 | USD | 4,872,622 | HSBC Bank USA | 8/15/2017 | 79,850 | — | |||||||||||||||||||||||||
EUR | 3,092,200 | USD | 3,412,178 | Royal Bank of Canada | 8/15/2017 | 127,001 | — | |||||||||||||||||||||||||
EUR | 97,142,569 | USD | 106,236,085 | UBS AG | 8/15/2017 | 4,948,528 | — | |||||||||||||||||||||||||
GBP | 3,430,000 | USD | 4,375,461 | Barclays Bank PLC Wholesale | 7/5/2017 | 91,941 | — | |||||||||||||||||||||||||
GBP | 4,906,000 | USD | 6,274,486 | Goldman Sachs Bank USA | 7/5/2017 | 115,332 | — | |||||||||||||||||||||||||
GBP | 3,808,000 | USD | 4,878,524 | JPMorgan Chase Bank N.A. | 7/5/2017 | 81,204 | — | |||||||||||||||||||||||||
GBP | 700,000 | USD | 897,120 | UBS AG | 7/5/2017 | 14,595 | — | |||||||||||||||||||||||||
IDR | 1,921,257,000 | USD | 143,431 | UBS AG | 9/18/2017 | — | (548 | ) | ||||||||||||||||||||||||
IDR | 20,146,206,000 | USD | 1,496,000 | Barclays Capital | 10/13/2017 | — | (2,498 | ) | ||||||||||||||||||||||||
IDR | 5,944,016,000 | USD | 442,000 | BNP Paribas SA | 10/13/2017 | — | (1,351 | ) | ||||||||||||||||||||||||
IDR | 2,314,328,800 | USD | 172,000 | Citibank N.A. | 10/13/2017 | — | (431 | ) | ||||||||||||||||||||||||
IDR | 13,465,000 | USD | 1,000 | Goldman Sachs Bank USA | 10/13/2017 | — | (2 | ) | ||||||||||||||||||||||||
IDR | 9,289,410,000 | USD | 689,000 | JPMorgan Chase Bank | 10/13/2017 | — | (347 | ) | ||||||||||||||||||||||||
ILS | 2,297,532 | USD | 633,949 | Bank of America, N.A. | 7/5/2017 | 24,681 | — | |||||||||||||||||||||||||
INR | 47,720,340 | USD | 732,300 | Goldman Sachs Bank USA | 7/20/2017 | 4,547 | — | |||||||||||||||||||||||||
INR | 192,233,730 | USD | 2,929,276 | Standard Chartered Bank London | 7/20/2017 | 38,994 | — | |||||||||||||||||||||||||
INR | 239,954,070 | USD | 3,643,396 | Goldman Sachs Bank USA | 12/4/2017 | — | (1,977 | ) | ||||||||||||||||||||||||
INR | 51,661,280 | USD | 788,000 | UBS AG | 12/4/2017 | — | (4,015 | ) | ||||||||||||||||||||||||
JPY | 4,220,050,000 | USD | 37,664,860 | BNP Paribas SA | 7/3/2017 | — | (144,967 | ) | ||||||||||||||||||||||||
JPY | 4,220,050,000 | USD | 37,654,643 | Goldman Sachs Bank USA | 7/3/2017 | — | (134,750 | ) | ||||||||||||||||||||||||
JPY | 5,996,700,000 | USD | 52,746,230 | HSBC Bank USA | 8/15/2017 | 661,007 | — | |||||||||||||||||||||||||
JPY | 646,800,000 | USD | 5,705,671 | Standard Chartered Bank | 8/15/2017 | 54,797 | — | |||||||||||||||||||||||||
KRW | 8,237,966,003 | USD | 7,327,196 | Credit Suisse International | 9/18/2017 | — | (119,419 | ) | ||||||||||||||||||||||||
KRW | 1,012,086,900 | USD | 891,000 | Goldman Sachs Bank USA | 4/24/2018 | — | (2,160 | ) | ||||||||||||||||||||||||
KRW | 111,325,500 | USD | 99,000 | BNP Paribas SA | 4/27/2018 | — | (1,224 | ) | ||||||||||||||||||||||||
KRW | 1,129,053,600 | USD | 1,002,000 | JPMorgan Chase Bank | 4/27/2018 | — | (10,360 | ) | ||||||||||||||||||||||||
KRW | 1,124,500 | USD | 1,000 | Morgan Stanley Bank, N.A. | 4/27/2018 | — | (12 | ) | ||||||||||||||||||||||||
MXN | 2,070,000 | USD | 112,681 | Bank of America, N.A. | 8/8/2017 | 763 | — | |||||||||||||||||||||||||
MXN | 89,712,436 | USD | 4,654,194 | BNP Paribas SA | 8/8/2017 | 262,393 | — | |||||||||||||||||||||||||
MXN | 2,107,000 | USD | 117,462 | HSBC Bank USA | 8/8/2017 | — | (1,990 | ) | ||||||||||||||||||||||||
MXN | 44,228,000 | USD | 2,450,465 | JPMorgan Chase Bank N.A. | 8/8/2017 | — | (26,600 | ) | ||||||||||||||||||||||||
MXN | 4,578,035 | USD | 253,000 | Standard Chartered Bank | 8/8/2017 | — | (2,106 | ) | ||||||||||||||||||||||||
MYR | 19,392,185 | USD | 4,548,312 | UBS AG | 9/18/2017 | — | (44,821 | ) | ||||||||||||||||||||||||
NZD | 6,160,000 | USD | 4,472,753 | Bank of America, N.A. | 7/5/2017 | 41,295 | — | |||||||||||||||||||||||||
PEN | 4,838,127 | USD | 1,471,689 | BNP Paribas SA | 8/22/2017 | 11,639 | — | |||||||||||||||||||||||||
PLN | 579,000 | USD | 149,927 | Standard Chartered Bank London | 8/4/2017 | 6,298 | — | |||||||||||||||||||||||||
SEK | 3,003,078 | EUR | 311,000 | Morgan Stanley Bank, N.A. | 7/5/2017 | 1,253 | — | |||||||||||||||||||||||||
SEK | 29,454,516 | EUR | 3,046,000 | UBS AG | 7/5/2017 | 17,222 | — | |||||||||||||||||||||||||
SEK | 16,485,000 | USD | 1,951,480 | Standard Chartered Bank | 8/15/2017 | 9,718 | — | |||||||||||||||||||||||||
THB | 50,420,878 | USD | 1,487,034 | UBS AG | 9/18/2017 | — | (2,708 | ) | ||||||||||||||||||||||||
USD | 4,874,446 | BRL | 16,272,144 | BNP Paribas SA | 7/5/2017 | — | (37,307 | ) | ||||||||||||||||||||||||
USD | 1,105,596 | BRL | 3,652,723 | Deutsche Bank AG London | 7/5/2017 | 3,021 | — | |||||||||||||||||||||||||
USD | 3,690,542 | BRL | 12,260,719 | Goldman Sachs Bank USA | 7/5/2017 | — | (10,360 | ) | ||||||||||||||||||||||||
USD | 2,736,678 | BRL | 9,053,478 | HSBC Bank USA | 7/5/2017 | 3,883 | — | |||||||||||||||||||||||||
USD | 14,476,099 | BRL | 49,412,192 | JPMorgan Chase Bank | 7/5/2017 | — | (438,988 | ) | ||||||||||||||||||||||||
USD | 10,461,626 | BRL | 36,600,000 | Morgan Stanley Bank, N.A. | 7/5/2017 | — | (586,096 | ) | ||||||||||||||||||||||||
USD | 1,089,146 | BRL | 3,652,723 | Deutsche Bank AG London | 8/2/2017 | — | (6,960 | ) | ||||||||||||||||||||||||
USD | 4,560,816 | CAD | 6,158,000 | BNP Paribas SA | 7/5/2017 | — | (187,796 | ) | ||||||||||||||||||||||||
USD | 2,481,042 | CAD | 3,356,000 | Citibank N.A. | 7/5/2017 | — | (106,867 | ) | ||||||||||||||||||||||||
USD | 349,906 | CAD | 466,000 | Goldman Sachs Bank USA | 7/5/2017 | — | (9,440 | ) | ||||||||||||||||||||||||
USD | 5,662,191 | CAD | 7,422,000 | JPMorgan Chase Bank N.A. | 7/5/2017 | — | (61,128 | ) | ||||||||||||||||||||||||
USD | 2,757,305 | CHF | 2,636,000 | Royal Bank of Canada | 8/15/2017 | 1,288 | — | |||||||||||||||||||||||||
USD | 4,088,076 | CNH | 27,931,780 | Credit Suisse International | 7/5/2017 | — | (31,564 | ) | ||||||||||||||||||||||||
USD | 3,849,344 | CNY | 27,191,763 | UBS AG | 12/5/2017 | — | (127,923 | ) | ||||||||||||||||||||||||
USD | 120,785 | CZK | 3,000,000 | Citibank N.A. | 7/24/2017 | — | (10,551 | ) | ||||||||||||||||||||||||
USD | 634,493 | CZK | 16,000,000 | JPMorgan Chase Bank | 8/25/2017 | — | (67,355 | ) | ||||||||||||||||||||||||
USD | 1,092,454 | CZK | 27,000,000 | JPMorgan Chase Bank | 9/29/2017 | — | (94,473 | ) | ||||||||||||||||||||||||
USD | 10,614,964 | DKK | 71,595,447 | Bank of America, N.A. | 7/3/2017 | — | (382,209 | ) | ||||||||||||||||||||||||
USD | 1,622,714 | DKK | 10,550,000 | BNP Paribas SA | 7/3/2017 | 2,217 | — |
Contract to buy | Contract to sell | | Counterparty (OTC) | | Contractual settlement date | | Unrealized appreciation | | Unrealized depreciation | | ||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
USD | 10,169,823 | DKK | 67,020,000 | JPMorgan Chase Bank N.A. | 7/3/2017 | — | ($124,555 | ) | ||||||||||||||||||||||||
USD | 1,625,827 | DKK | 10,740,000 | Morgan Stanley Bank, N.A. | 7/3/2017 | — | (23,854 | ) | ||||||||||||||||||||||||
USD | 721,840 | DKK | 4,885,000 | UBS AG | 7/3/2017 | — | (28,504 | ) | ||||||||||||||||||||||||
USD | 22,381,833 | DKK | 145,090,011 | Bank of America, N.A. | 10/2/2017 | — | (15,710 | ) | ||||||||||||||||||||||||
USD | 5,682 | DKK | 39,000 | BNP Paribas SA | 10/2/2017 | — | (339 | ) | ||||||||||||||||||||||||
USD | 13,923,454 | DKK | 90,924,000 | HSBC Bank USA | 10/2/2017 | — | (112,483 | ) | ||||||||||||||||||||||||
USD | 783,167 | DKK | 5,080,000 | JPMorgan Chase Bank N.A. | 10/2/2017 | — | (1,033 | ) | ||||||||||||||||||||||||
USD | 581,919 | DKK | 3,978,000 | Bank of America, N.A. | 1/2/2018 | — | (35,478 | ) | ||||||||||||||||||||||||
USD | 1,342,618 | DKK | 9,122,000 | Bank of America, N.A. | 4/3/2018 | — | (80,943 | ) | ||||||||||||||||||||||||
USD | 1,775,784 | DKK | 12,056,000 | BNP Paribas SA | 4/3/2018 | — | (105,650 | ) | ||||||||||||||||||||||||
USD | 2,412,762 | DKK | 16,463,000 | Goldman Sachs Bank USA | 4/3/2018 | — | (156,420 | ) | ||||||||||||||||||||||||
USD | 12,703,149 | EUR | 11,279,000 | Bank of America, N.A. | 8/15/2017 | — | (206,241 | ) | ||||||||||||||||||||||||
USD | 1,318,157 | EUR | 1,178,000 | Citibank N.A. | 8/15/2017 | — | (30,124 | ) | ||||||||||||||||||||||||
USD | 10,252,133 | EUR | 9,139,000 | Goldman Sachs Bank USA | 8/15/2017 | — | (207,917 | ) | ||||||||||||||||||||||||
USD | 2,463,718 | EUR | 2,179,000 | JPMorgan Chase Bank N.A. | 8/15/2017 | — | (30,259 | ) | ||||||||||||||||||||||||
USD | 403,722 | EUR | 371,000 | UBS AG | 9/29/2017 | — | (21,936 | ) | ||||||||||||||||||||||||
USD | 5,904,094 | GBP | 4,594,000 | Bank of America, N.A. | 7/5/2017 | — | (79,360 | ) | ||||||||||||||||||||||||
USD | 9,928,031 | GBP | 7,716,000 | Citibank N.A. | 7/5/2017 | — | (121,670 | ) | ||||||||||||||||||||||||
USD | 897,923 | GBP | 700,000 | UBS AG | 8/2/2017 | — | (14,601 | ) | ||||||||||||||||||||||||
USD | 3,698,429 | INR | 239,954,070 | Goldman Sachs Bank USA | 7/20/2017 | — | (6,688 | ) | ||||||||||||||||||||||||
USD | 651,000 | INR | 42,783,720 | BNP Paribas SA | 12/4/2017 | $ | 1,736 | — | ||||||||||||||||||||||||
USD | 1,000 | INR | 65,735 | Citibank N.A. | 12/4/2017 | 2 | — | |||||||||||||||||||||||||
USD | 826,000 | INR | 54,309,500 | JPMorgan Chase Bank | 12/4/2017 | 1,827 | — | |||||||||||||||||||||||||
USD | 77,001,889 | JPY | 8,440,100,000 | Goldman Sachs Bank USA | 7/3/2017 | 1,962,102 | — | |||||||||||||||||||||||||
USD | 11,512,489 | JPY | 1,280,000,000 | Royal Bank of Canada | 7/11/2017 | 129,220 | — | |||||||||||||||||||||||||
USD | 37,688,339 | JPY | 4,220,050,000 | BNP Paribas SA | 7/18/2017 | 147,751 | — | |||||||||||||||||||||||||
USD | 37,678,345 | JPY | 4,220,050,000 | Goldman Sachs Bank USA | 7/18/2017 | 137,757 | — | |||||||||||||||||||||||||
USD | 667,117 | JPY | 73,900,000 | Goldman Sachs Bank USA | 8/15/2017 | 8,956 | — | |||||||||||||||||||||||||
USD | 891,000 | KRW | 1,011,106,800 | UBS AG | 4/24/2018 | 3,020 | — | |||||||||||||||||||||||||
USD | 1,102,000 | KRW | 1,238,648,000 | JPMorgan Chase Bank | 4/27/2018 | 14,104 | — | |||||||||||||||||||||||||
USD | 1,494,222 | MXN | 27,721,000 | Citibank N.A. | 8/8/2017 | — | (24,996 | ) | ||||||||||||||||||||||||
USD | 1,462,000 | MXN | 27,540,753 | JPMorgan Chase Bank N.A. | 8/8/2017 | — | (47,340 | ) | ||||||||||||||||||||||||
USD | 1,115,476 | MXN | 23,000,000 | Global Financial Products, Inc. | 11/30/2017 | — | (123,203 | ) | ||||||||||||||||||||||||
USD | 3,773,007 | MXN | 78,900,000 | BNP Paribas SA | 3/1/2018 | — | (420,617 | ) | ||||||||||||||||||||||||
USD | 686,000 | MYR | 2,977,240 | Credit Suisse International | 9/18/2017 | — | (5,411 | ) | ||||||||||||||||||||||||
USD | 527,000 | MYR | 2,274,005 | Goldman Sachs Bank USA | 9/18/2017 | — | (1,097 | ) | ||||||||||||||||||||||||
USD | 204,000 | MYR | 882,504 | Morgan Stanley Bank, N.A. | 9/18/2017 | — | (946 | ) | ||||||||||||||||||||||||
USD | 4,361,640 | NZD | 6,160,000 | Goldman Sachs Bank USA | 7/5/2017 | — | (152,408 | ) | ||||||||||||||||||||||||
USD | 1,195,781 | NZD | 1,637,000 | JPMorgan Chase Bank N.A. | 7/5/2017 | — | (3,812 | ) | ||||||||||||||||||||||||
USD | 4,470,534 | NZD | 6,160,000 | Bank of America, N.A. | 8/2/2017 | — | (41,317 | ) | ||||||||||||||||||||||||
USD | 1,907,583 | NZD | 2,603,000 | JPMorgan Chase Bank N.A. | 8/2/2017 | 1,033 | — | |||||||||||||||||||||||||
USD | 5,001,505 | SEK | 44,175,000 | Bank of America, N.A. | 8/15/2017 | — | (253,934 | ) | ||||||||||||||||||||||||
USD | 19,767,246 | SEK | 174,290,000 | Goldman Sachs Bank USA | 8/15/2017 | — | (967,801 | ) | ||||||||||||||||||||||||
USD | 712,025 | SEK | 6,165,000 | HSBC Bank USA | 8/15/2017 | — | (21,417 | ) | ||||||||||||||||||||||||
USD | 139,239 | SEK | 1,205,000 | UBS AG | 8/15/2017 | — | (4,118 | ) | ||||||||||||||||||||||||
USD | 1,417,584 | SGD | 1,963,000 | Citibank N.A. | 9/18/2017 | — | (9,897 | ) | ||||||||||||||||||||||||
USD | 9,321,109 | SGD | 12,861,733 | Standard Chartered Bank | 9/18/2017 | — | (31,860 | ) | ||||||||||||||||||||||||
ZAR | 16,807,238 | USD | 1,245,776 | Goldman Sachs Bank USA | 8/4/2017 | 32,392 | — | |||||||||||||||||||||||||
$ | 10,313,009 | ($6,559,644 | ) |
Name of issuer | | Exercise price | | Expiration date | | Number of contracts | | Notional amounts | | Premium | Value | | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Calls | ||||||||||||||||||||||||||||||
Euro FX Futures | $98.75 | Mar 2018 | 327 | EUR | 817,500 | $34,728 | ($12,263) | |||||||||||||||||||||||
10-Year U.S. Treasury Note | 127.50 | Aug 2017 | 38 | USD | 38,000 | 18,703 | (7,719) | |||||||||||||||||||||||
$53,431 | ($19,982) | |||||||||||||||||||||||||||||
Puts | ||||||||||||||||||||||||||||||
Euro BUND Futures | $160.50 | Aug 2017 | 35 | EUR | 35,000 | $21,553 | ($31,579) | |||||||||||||||||||||||
10-Year U.S. Treasury Note | 124.00 | Aug 2017 | 38 | USD | 38,000 | 13,862 | (12,469) | |||||||||||||||||||||||
$35,415 | ($44,048) | |||||||||||||||||||||||||||||
$88,846 | ($64,030) |
Description | | Counterparty (OTC) | | Exercise price | | Expiration date | | Number of contracts | | Notional amount | | Premium | | Value | | ||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Calls | |||||||||||||||||||||||||||||||||||
U.S. Dollar versus Brazilian Real | Credit Suisse International | 6.30 | Jan 2018 | 1,300,000 | USD | 1,300,000 | $ | 69,225 | ($51 | ) | |||||||||||||||||||||||||
$ | 69,225 | ($51 | ) | ||||||||||||||||||||||||||||||||
Puts | |||||||||||||||||||||||||||||||||||
Canadian Dollar versus Japanese Yen | Goldman Sachs Bank USA | 76.70 | Jun 2018 | 2,800,000 | CAD | 2,800,000 | $ | 36,804 | ($29,624 | ) | |||||||||||||||||||||||||
U.S. Dollar versus Korean Won | BNP Paribas SA | 1075.00 | Apr 2017 | 307,000 | USD | 307,000 | 6,493 | (3,156 | ) | ||||||||||||||||||||||||||
U.S. Dollar versus Korean Won | Goldman Sachs Bank USA | 1075.01 | Apr 2017 | 2,587,000 | USD | 2,587,000 | 48,196 | (26,049 | ) | ||||||||||||||||||||||||||
U.S. Dollar versus Korean Won | JPMorgan Chase Bank N.A. | 1075.02 | Apr 2017 | 2,973,000 | USD | 2,973,000 | 60,917 | (30,565 | ) | ||||||||||||||||||||||||||
$ | 152,410 | ($89,394 | ) | ||||||||||||||||||||||||||||||||
$ | 221,635 | ($89,445 | ) |
Description | | Counterparty (OTC) | | Floating rate index | | Pay/ receive floating rate | | Exercise rate | | Expiration date | | Number of contracts | | Notional amount | | Premium | | Value | ||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Puts | ||||||||||||||||||||||||||||||||||||||||||
10-Year Interest Rate Swap | Goldman Sachs Bank USA | 3-Month USD LIBOR | Pay | 2.85% | Sep 2017 | 15,800,000 | USD | 15,800,000 | $ | 45,425 | ($7,821) | |||||||||||||||||||||||||||||||
$ | 45,425 | ($7,821) |
Description | | Counterparty (OTC) | | Initial index | | Exercise index | | Expiration date | | Number of contracts | | Notional amount | | Premium | | Value | ||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Floor- OTC CPURNSA Index | Citibank N.A. | 217.965 | Maximum of ((1+0.0%)10—(Index Final/Index Initial)) or $0 | Sep 2020 | 2,000,000 | USD | 2,000,000 | $ | 25,800 | ($8) | ||||||||||||||||||||||||||||
$ | 25,800 | ($8) |
Centrally cleared | | Notional amount | | Currency | | Payments made | | Payments received | | Fixed payment frequency | | Floating payment frequency | | Maturity date | | Unamortized upfront payment paid (received) | | Unrealized appreciation (depreciation) | | Value | | |||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Centrally cleared | 400,000 | BRL | Fixed 12.8% | BRL-CDI | At Maturity | At Maturity | Jan 2017 | $ | 89 | $ | 7,550 | $ | 7,639 | |||||||||||||||||||||||||||||||||
Centrally cleared | 15,900,000 | BRL | Fixed 10.30% | BRL-CDI | At Maturity | At Maturity | Jan 2017 | 77,550 | (114,277 | ) | (36,727 | ) | ||||||||||||||||||||||||||||||||||
Centrally cleared | 9,200,000 | BRL | Fixed 9.9772% | BRL-CDI | At Maturity | At Maturity | Jan 2017 | — | (50,011 | ) | (50,011 | ) | ||||||||||||||||||||||||||||||||||
Centrally cleared | 26,200,000 | MXN | MXN-TIIE-Banxico | Fixed 7.74% | 28 Days | 28 Days | Feb 2017 | (4,155 | ) | 65,363 | 61,208 | |||||||||||||||||||||||||||||||||||
Centrally cleared | 24,700,000 | MXN | MXN-TIIE-Banxico | Fixed 7.2775% | 28 Days | 28 Days | Mar 2017 | — | 28,025 | 28,025 | ||||||||||||||||||||||||||||||||||||
Centrally cleared | 18,200,000 | MXN | MXN-TIIE-Banxico | Fixed 7.317% | 28 Days | 28 Days | Mar 2017 | — | 22,303 | 22,303 | ||||||||||||||||||||||||||||||||||||
Centrally cleared | 36,900,000 | MXN | MXN-TIIE-Banxico | Fixed 6.08% | 28 Days | 28 Days | Mar 2017 | (201,769 | ) | 60,585 | (141,184 | ) | ||||||||||||||||||||||||||||||||||
Centrally cleared | 650,000,000 | JPY | Fixed .45% | JPY-LIBOR-BBA | Semi-Annual | Semi-Annual | Mar 2017 | (16,581 | ) | (22,015 | ) | (38,596 | ) | |||||||||||||||||||||||||||||||||
Centrally cleared | 56,400,000 | USD | USD-LIBOR-BBA | Fixed 1.00% | Semi-Annual | Quarterly | May 2017 | (195,716 | ) | (18,790 | ) | (214,506 | ) | |||||||||||||||||||||||||||||||||
Centrally cleared | 56,400,000 | USD | Fixed 1.25% | USD-LIBOR-BBA | Semi-Annual | Quarterly | May 2017 | 350,547 | (78,597 | ) | 271,950 | |||||||||||||||||||||||||||||||||||
Centrally cleared | 211,200,000 | USD | USD-LIBOR-BBA | Fixed 1.75% | At Maturity | Quarterly | Jun 2017 | 17,408 | 210,540 | 227,948 | ||||||||||||||||||||||||||||||||||||
Centrally cleared | 211,200,000 | USD | Fixed 2.25% | USD-LIBOR-BBA | At Maturity | Quarterly | Jun 2017 | (14,552 | ) | (407,067 | ) | (421,619 | ) |
Centrally cleared | | Notional amount | | Currency | | Payments made | | Payments received | | Fixed payment frequency | | Floating payment frequency | | Maturity date | | Unamortized upfront payment paid (received) | | Unrealized appreciation (depreciation) | | Value | | |||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Centrally cleared | 107,700,000 | USD | Fixed 1.25% | USD-LIBOR-BBA | Semi-Annual | Quarterly | Jun 2017 | $ | 657,156 | $ | 91,358 | $ | 748,514 | |||||||||||||||||||||||||||||||||
Centrally cleared | 25,500,000 | USD | Fixed 8.5% | USD-LIBOR-BBA | Quarterly | Quarterly | Jun 2017 | (1,900 | ) | (19,744 | ) | (21,644 | ) | |||||||||||||||||||||||||||||||||
Centrally cleared | 7,000,000 | USD | Fiixed 8.375% | USD-LIBOR-BBA | Quarterly | Quarterly | Jun 2017 | — | (5,760 | ) | (5,760 | ) | ||||||||||||||||||||||||||||||||||
Centrally cleared | 4,900,000 | EUR | Fixed 7.0% | IRS USD R 3ML—1ML +7 06-12-17-22 CME | Quarterly | Quarterly | Jun 2017 | — | (488 | ) | (488 | ) | ||||||||||||||||||||||||||||||||||
Centrally cleared | 22,500,000 | GBP | GBP-LIBOR-BBA | Fixed .75% | Semi-Annual | Semi-Annual | Sep 2017 | 34,638 | (38,497 | ) | (3,859 | ) | ||||||||||||||||||||||||||||||||||
Centrally cleared | 21,900,000 | EUR | EUR-EURIBOR-Reuters | Fixed 0.00% | Annual | Semi-Annual | Sep 2017 | 41,677 | (2,061 | ) | 39,616 | |||||||||||||||||||||||||||||||||||
Centrally cleared | 15,900,000 | CAD | CAD-BA-CDOR | Fixed 1.40% | Semi-Annual | Semi-Annual | Sep 2017 | (15,058 | ) | (6,741 | ) | (21,799 | ) | |||||||||||||||||||||||||||||||||
Centrally cleared | 40,500,000 | EUR | EUR-EURIBOR-Reuters | Fixed .25% | Annual | Semi-Annual | Sep 2017 | (89,999 | ) | (93,045 | ) | (183,044 | ) | |||||||||||||||||||||||||||||||||
Centrally cleared | 7,500,000 | GBP | Fixed 1.% | GBP-LIBOR-BBA | Semi-Annual | Semi-Annual | Sep 2017 | 4,997 | 16,332 | 21,329 | ||||||||||||||||||||||||||||||||||||
Centrally cleared | 21,900,000 | GBP | Fixed 1.507% | GBP-LIBOR-BBA | Semi-Annual | Semi-Annual | Sep 2017 | (439,514 | ) | 131,102 | (308,412 | ) | ||||||||||||||||||||||||||||||||||
Centrally cleared | 11,600,000 | EUR | EUR-EURIBOR-Reuters | Fixed 1.% | Annual | Semi-Annual | Sep 2017 | 203,939 | (133,928 | ) | 70,011 | |||||||||||||||||||||||||||||||||||
Centrally cleared | 6,000,000 | EUR | EUR-EURIBOR-Reuters | Fixed 1.% | Annual | Semi-Annual | Sep 2017 | 70,382 | (34,169 | ) | 36,213 | |||||||||||||||||||||||||||||||||||
Centrally cleared | 250,000,000 | JPY | Fixed .30% | JPY-LIBOR-BBA | Semi-Annual | Semi-Annual | Sep 2017 | (2,298 | ) | (2,658 | ) | (4,956 | ) | |||||||||||||||||||||||||||||||||
Centrally cleared | 3,400,000 | CAD | Fixed 1.85% | CAD-BA-CDOR | Semi-Annual | Semi-Annual | Sep 2017 | 49,750 | 16,297 | 66,047 | ||||||||||||||||||||||||||||||||||||
Centrally cleared | 96,400,000 | USD | Fixed 2.25% | USD-LIBOR-BBA | Semi-Annual | Quarterly | Dec 2017 | (1,137,876 | ) | 301,558 | (836,318 | ) | ||||||||||||||||||||||||||||||||||
Centrally cleared | 73,900,000 | USD | Fixed 1.75% | USD-LIBOR-BBA | Semi-Annual | Quarterly | Dec 2017 | 1,763,028 | (335,841 | ) | 1,427,187 | |||||||||||||||||||||||||||||||||||
Centrally cleared | 7,510,000 | USD | Fixed 1.75% | USD-LIBOR-BBA | Semi-Annual | Quarterly | Dec 2017 | (180,801 | ) | 503,124 | 322,323 | |||||||||||||||||||||||||||||||||||
Centrally cleared | 3,900,000 | USD | USD-LIBOR-BBA | Fixed 2.50% | Semi-Annual | Quarterly | Dec 2017 | 62,589 | (15,212 | ) | 47,377 | |||||||||||||||||||||||||||||||||||
Centrally cleared | 9,000,000,000 | JPY | JPY-LIBOR-BBA | Fixed .15% | Semi-Annual | Semi-Annual | Mar 2018 | 9,888 | 85,870 | 95,758 | ||||||||||||||||||||||||||||||||||||
Centrally cleared | 18,600,000 | USD | Fixed 2.0 % | USD-LIBOR-BBA | Semi-Annual | Quarterly | Jun 2023 | 105,400 | (82,405 | ) | 22,995 | |||||||||||||||||||||||||||||||||||
Centrally cleared | 1,400,000 | SEK | SEK-STIBOR-SIDE | Fixed 1.02% | Annual | Quarterly | Jan 2025 | — | 2,335 | 2,335 | ||||||||||||||||||||||||||||||||||||
Centrally cleared | 1,600,000 | SEK | SEK-STIBOR-SIDE | Fixed 1.03% | Annual | Quarterly | Jan 2025 | — | 2,874 | 2,874 | ||||||||||||||||||||||||||||||||||||
Centrally cleared | 1,400,000 | SEK | SEK-STIBOR-SIDE | Fixed 1.03% | Annual | Quarterly | Jan 2025 | — | 2,466 | 2,466 | ||||||||||||||||||||||||||||||||||||
Centrally cleared | 1,700,000 | SEK | SEK-STIBOR-SIDE | Fixed 1.01% | Annual | Quarterly | Jan 2025 | — | 2,677 | 2,677 | ||||||||||||||||||||||||||||||||||||
Centrally cleared | 4,000,000 | SEK | SEK-STIBOR-SIDE | Fixed 1.085% | Annual | Quarterly | Jan 2025 | — | 8,904 | 8,904 | ||||||||||||||||||||||||||||||||||||
Centrally cleared | 3,400,000 | SEK | SEK-STIBOR-SIDE | Fixed 1.080% | Annual | Quarterly | Jan 2025 | — | 7,410 | 7,410 | ||||||||||||||||||||||||||||||||||||
Centrally cleared | 2,500,000 | AUD | Fixed 3.50% | AUD-BBR-BBSW | Semi-Annual | Semi-Annual | Dec 2025 | (54,546 | ) | (47,552 | ) | (102,098 | ) | |||||||||||||||||||||||||||||||||
Centrally cleared | 1,740,000,000 | JPY | JPY-LIBOR-BBA | Fixed 1.50% | Semi-Annual | Semi-Annual | Jun 2033 | 263,173 | 2,162,505 | 2,425,678 | ||||||||||||||||||||||||||||||||||||
Centrally cleared | 2,400,000 | USD | USD-LIBOR-BBA | Fixed 2.50% | Semi-Annual | Quarterly | Jun 2036 | 88,218 | (92,146 | ) | (3,928 | ) | ||||||||||||||||||||||||||||||||||
Centrally cleared | 15,300,000 | USD | Fixed 2.0975% | USD-LIBOR-BBA | Semi-Annual | Quarterly | Jul 2041 | 40,649 | 253,839 | 294,488 | ||||||||||||||||||||||||||||||||||||
Centrally cleared | 10,000,000 | JPY | JPY-LIBOR-BBA | Fixed 1.50% | Semi-Annual | Semi-Annual | Dec 2044 | (3,332 | ) | (12,922 | ) | (16,254 | ) | |||||||||||||||||||||||||||||||||
Centrally cleared | 560,000,000 | JPY | Fixed 1.507% | JPY-LIBOR-BBA | Semi-Annual | Semi-Annual | Dec 2045 | (1,668,660 | ) | 746,524 | (922,136 | ) | ||||||||||||||||||||||||||||||||||
Centrally cleared | 2,500,000 | USD | Fixed 2.250% | USD-LIBOR-BBA | Semi-Annual | Quarterly | Dec 2046 | (230,113 | ) | 398,193 | 168,080 | |||||||||||||||||||||||||||||||||||
Centrally cleared | 500,000 | USD | Fixed 1.75% | USD-LIBOR-BBA | Semi-Annual | Quarterly | Jun 2047 | 98,286 | (9,434 | ) | 88,852 | |||||||||||||||||||||||||||||||||||
Centrally cleared | 1,950,000 | GBP | Fixed 1.75% | GBP-LIBOR-BBA | Semi-Annual | Semi-Annual | Mar 2048 | (107,855 | ) | 39,750 | (68,105 | ) | ||||||||||||||||||||||||||||||||||
Centrally cleared | 15,400,000 | EUR | Fixed 1.507% | EUR-EURIBOR-Reuters | Annual | Semi-Annual | Mar 2048 | (202,573 | ) | 581,328 | 378,755 | |||||||||||||||||||||||||||||||||||
Centrally cleared | 3,800,000 | EUR | EUR-EURIBOR-Reuters | Fixed 1.50% | Annual | Semi-Annual | Mar 2048 | 83,334 | (176,793 | ) | (93,459 | ) | ||||||||||||||||||||||||||||||||||
Centrally cleared | 4,300,000 | USD | Fixed 2.95% | USD-LIBOR-BBA | Semi-Annual | Quarterly | Nov 2049 | — | (261,419 | ) | (261,419 | ) | ||||||||||||||||||||||||||||||||||
Centrally cleared | 1,200,000 | USD | Fixed 2.95250% | USD-LIBOR-BBA | Semi-Annual | Quarterly | Nov 2049 | — | (72,331 | ) | (72,331 | ) | ||||||||||||||||||||||||||||||||||
13,436,660,000 | ($544,600 | ) | $ | 3,614,909 | $ | 3,070,309 |
Counterparty (OTC)/ Centrally cleared | | Reference obligation | | Notional amount | | Currency | | USD notional amount | | Pay fixed rate | | Fixed rate payment frequency | | Maturity date | | Unamortized upfront payment paid (received) | | Unrealized appreciation (depreciation) | | Value | ||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Bank of America N.A. | Computer Sciences Corporation | 2,050,000 | USD | $ | 2,050,000 | (0.970)% | Quarterly | Mar 2018 | — | ($13,762 | ) | ($13,762 | ) | |||||||||||||||||||||||||||||
Bank of America N.A. | Starwood Hotels & Resorts Worldwide, Inc. | 3,000,000 | USD | 3,000,000 | (1.490)% | Quarterly | Jun 2018 | — | (43,433 | ) | (43,433 | ) | ||||||||||||||||||||||||||||||
Barclays Capital | Japan | 800,000 | USD | 800,000 | (1.000)% | Quarterly | Jun 2022 | ($28,309 | ) | (255 | ) | (28,564 | ) | |||||||||||||||||||||||||||||
Barclays Capital | Springleaf Finance Corporation | 1,400,000 | USD | 1,400,000 | (5.000)% | Quarterly | Jun 2020 | (91,499 | ) | (39,375 | ) | (130,874 | ) | |||||||||||||||||||||||||||||
BNP Paribas | COMMERZBANK Aktiengesellschaft | 1,200,000 | EUR | 1,307,340 | (1.000)% | Quarterly | Jun 2022 | 63,367 | (11,601 | ) | 51,766 | |||||||||||||||||||||||||||||||
BNP Paribas | Credit Suisse Group Ltd | 2,700,000 | EUR | 2,933,686 | (1.000)% | Quarterly | Jun 2022 | 43,834 | (64,486 | ) | (20,652 | ) | ||||||||||||||||||||||||||||||
BNP Paribas | Japan | 2,000,000 | USD | 2,000,000 | (1.000)% | Quarterly | Jun 2022 | (70,890 | ) | (512 | ) | (71,402 | ) | |||||||||||||||||||||||||||||
Goldman Sachs International | Japan | 900,000 | USD | 900,000 | (1.000)% | Quarterly | Jun 2022 | (31,791 | ) | (339 | ) | (32,130 | ) | |||||||||||||||||||||||||||||
$ | 14,391,026 | ($115,288 | ) | ($173,763 | ) | ($289,051 | ) |
Counterparty (OTC)/ Centrally cleared | | Reference obligation | | Notional amount | | Currency | | USD notional amount | | Pay fixed rate | | Fixed rate payment frequency | | Maturity date | | Unamortized upfront payment paid (received) | | Unrealized appreciation (depreciation) | | Value | ||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Centrally cleared | Ally Financial Inc. | 1,300,000 | USD | 1,300,000 | (5.000)% | Quarterly | Jun 2018 | ($46,267 | ) | ($13,425 | ) | ($59,692 | ) | |||||||||||||||||||||||||||||
Centrally cleared | Altria Group, Inc. | 1,500,000 | USD | 1,500,000 | (1.000)% | Quarterly | Dec 2017 | (36,904 | ) | (6,039 | ) | (42,943 | ) | |||||||||||||||||||||||||||||
Centrally cleared | BASF SE | 400,000 | EUR | 425,960 | (1.000)% | Quarterly | Dec 2020 | (9,930 | ) | (3,557 | ) | (13,487 | ) | |||||||||||||||||||||||||||||
Centrally cleared | Bayer Aktiengesellschaft | 500,000 | EUR | 534,100 | (1.000)% | Quarterly | Dec 2020 | (9,649 | ) | (6,020 | ) | (15,669 | ) | |||||||||||||||||||||||||||||
Centrally cleared | British American Tobacco PLC | 800,000 | EUR | 860,100 | (1.000)% | Quarterly | Dec 2020 | (14,796 | ) | (6,978 | ) | (21,774 | ) | |||||||||||||||||||||||||||||
Centrally cleared | Fortum Oyj | 200,000 | EUR | 212,510 | (1.000)% | Quarterly | Dec 2020 | (3,087 | ) | (2,044 | ) | (5,131 | ) | |||||||||||||||||||||||||||||
Centrally cleared | iTraxx Europe Series 27 Version 1 | 15,100,000 | EUR | 16,366,249 | (1.000)% | Quarterly | Jun 2022 | (203,194 | ) | (173,239 | ) | (376,433 | ) | |||||||||||||||||||||||||||||
Centrally cleared | Koninklijke DSM N.V. | 1,000,000 | EUR | 1,072,765 | (1.000)% | Quarterly | Dec 2020 | (27,276 | ) | (5,289 | ) | (32,565 | ) | |||||||||||||||||||||||||||||
Centrally cleared | Pfizer Inc. | 1,000,000 | USD | 1,000,000 | (1.000)% | Quarterly | Dec 2020 | (24,717 | ) | (4,305 | ) | (29,022 | ) | |||||||||||||||||||||||||||||
Centrally cleared | Reynolds American Inc. | 1,600,000 | USD | 1,600,000 | (1.000)% | Quarterly | Dec 2020 | (40,420 | ) | (5,441 | ) | (45,861 | ) | |||||||||||||||||||||||||||||
Centrally cleared | Telia Company AB | 300,000 | EUR | 318,225 | (1.000)% | Quarterly | Dec 2020 | (6,303 | ) | (2,088 | ) | (8,391 | ) | |||||||||||||||||||||||||||||
Centrally cleared | United Utilities PLC | 200,000 | EUR | 216,950 | (1.000)% | Quarterly | Dec 2020 | (3,164 | ) | (1,490 | ) | (4,654 | ) | |||||||||||||||||||||||||||||
Centrally cleared | UnitedHealth Group Incorporated | 1,100,000 | USD | 1,100,000 | (1.000)% | Quarterly | Dec 2017 | (25,775 | ) | (7,466 | ) | (33,241 | ) | |||||||||||||||||||||||||||||
$ | 26,506,859 | ($451,482 | ) | ($237,381 | ) | ($688,863 | ) | |||||||||||||||||||||||||||||||||||
$ | 40,897,885 | ($566,770 | ) | ($411,144 | ) | ($977,914 | ) |
Counterparty (OTC)/ Centrally cleared | | Reference obligation | | Implied credit spread | | Notional amount | | Currency | | USD notional amount | | Receive fixed rate | | Fixed rate payment frequency | | Maturity date | | Unamortized upfront payment paid (received) | | Unrealized appreciation (depreciation) | | Value | ||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Citibank N.A | Shire PLC | Baa3 | 200,000 | EUR | $212,750 | 1.000% | Quarterly | Dec 2021 | ($6,752 | ) | $ | 4,543 | ($2,209 | ) | ||||||||||||||||||||||||||||||||
Citibank N.A | Tesco PLC | 1.53% | 3,000,000 | EUR | 3,228,590 | 1.000% | Quarterly | Jun 2022 | (144,771 | ) | 58,287 | (86,484 | ) | |||||||||||||||||||||||||||||||||
Credit Suisse | Exelon Generation Company, LLC | 1.46% | 1,500,000 | USD | 1,500,000 | 1.000% | Quarterly | Jun 2022 | (39,248 | ) | 7,579 | (31,669 | ) | |||||||||||||||||||||||||||||||||
Goldman Sachs International | United Mexican States | 1.13% | 700,000 | USD | 700,000 | 1.000% | Quarterly | Jun 2022 | (10,022 | ) | 5,983 | (4,039 | ) | |||||||||||||||||||||||||||||||||
HSBC | United Mexican States | 1.13% | 1,100,000 | USD | 1,100,000 | 1.000% | Quarterly | Jun 2022 | (15,750.00 | ) | 9,403 | (6,347 | ) | |||||||||||||||||||||||||||||||||
$6,741,340 | ($216,543 | ) | $ | 85,795 | ($130,748 | ) | ||||||||||||||||||||||||||||||||||||||||
Centrally cleared | CDX.NA.IG.27 | 0.52% | 1,200,000 | USD | 1,200,000 | 1.000% | Quarterly | Dec 2021 | 18,338 | 6,732 | 25,070 | |||||||||||||||||||||||||||||||||||
Centrally cleared | CDX.NA.IG.28 | 0.61% | 20,500,000 | USD | 20,500,000 | 1.000% | Quarterly | Jun 2022 | 306,519 | 80,286 | 386,805 | |||||||||||||||||||||||||||||||||||
Centrally cleared | Royal Dutch Shell PLC | 0.93% | 700,000 | EUR | 738,745 | 1.000% | Quarterly | Dec 2026 | (19,429 | ) | 24,492 | 5,063 | ||||||||||||||||||||||||||||||||||
Centrally cleared | Telecom Italia SPA | 1.99% | 400,000 | EUR | 448,600 | 1.000% | Quarterly | Jun 2024 | (30,027 | ) | 924 | (29,103 | ) | |||||||||||||||||||||||||||||||||
$22,887,345 | $ | 275,401 | $ | 112,434 | $ | 387,835 | ||||||||||||||||||||||||||||||||||||||||
$29,628,685 | $ | 58,858 | $ | 198,229 | $ | 257,087 |
Counterparty (OTC) | | Receive | | Pay | | Payment frequency | | Maturity date | | Notional amount of currency received | | Notional amount of currency delivered | | Unamortized upfront payment | | Unrealized appreciation (depreciation) | | Value | | ||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Bank of America | Floating rate equal to 3 Month CAD-LIBOR less 0.1260% based on the notional amount of the currency received | Floating rate equal to 3 Month USD-LIBOR based on the notional amount of the currency delivered | Quarterly | Nov 2018 | CAD | 10,700,000 | 8,167,921 | ($28,563 | ) | $ | 115,976 | $ | 87,413 | ||||||||||||||||||||||||||||||
Bank of America | Floating rate equal to 3 Month GBP-LIBOR less 0.1500% based on the notional amount of the currency received | Floating rate equal to 3 Month USD-LIBOR based on the notional amount of the currency delivered | Quarterly | Mar 2019 | GBP | 4,600,000 | 5,842,000 | (19,318 | ) | 164,467 | 145,149 | ||||||||||||||||||||||||||||||||
Citibank NA | Floating rate equal to 3 Month GBP-LIBOR less 0.1500% based on the notional amount of the currency received | Floating rate equal to 3 Month USD-LIBOR based on the notional amount of the currency delivered | Quarterly | Mar 2020 | GBP | 14,400,000 | 17,611,200 | (34,953 | ) | 1,157,743 | 1,122,790 |
Counterparty (OTC) | | Receive | | Pay | | Payment frequency | | Maturity date | | Notional amount of currency received | | Notional amount of currency delivered | | Unamortized upfront payment | | Unrealized appreciation (depreciation) | | Value | | ||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Deutsche Bank AG | Floating rate equal to 3 Month GBP-LIBOR less 0.0550% based on the notional amount of the currency received | Floating rate equal to 3 Month USD-LIBOR based on the notional amount of the currency delivered | Quarterly | Oct 2026 | GBP | 800,000 | 976,000 | $ | 3,639 | $ | 61,046 | $ | 64,685 | ||||||||||||||||||||||||||||||
Goldman Sachs | Floating rate equal to 3 Month CAD-LIBOR less 0.1260% based on the notional amount of the currency received | Floating rate equal to 3 Month USD-LIBOR based on the notional amount of the currency delivered | Quarterly | Nov 2018 | CAD | 50,900,000 | 38,371,655 | (98,541 | ) | 997,590 | 899,049 | ||||||||||||||||||||||||||||||||
Goldman Sachs | Floating rate equal to 3 Month GBP-LIBOR less 0.1500% based on the notional amount of the currency received | Floating rate equal to 3 Month USD-LIBOR based on the notional amount of the currency delivered | Quarterly | Mar 2020 | GBP | 21,600,000 | 26,416,800 | (34,750 | ) | 1,718,934 | 1,684,184 | ||||||||||||||||||||||||||||||||
Royal Bank of Scotland | Floating rate equal to 3 Month GBP-LIBOR less 0.1500% based on the notional amount of the currency received | Floating rate equal to 3 Month USD-LIBOR based on the notional amount of the currency delivered | Quarterly | Mar 2019 | GBP | 10,600,000 | 13,462,000 | (44,516 | ) | $ | 378,991 | 334,475 | |||||||||||||||||||||||||||||||
Royal Bank of Scotland | Floating rate equal to 3 Month GBP-LIBOR less 0.0550% based on the notional amount of the currency received | Floating rate equal to 3 Month USD-LIBOR based on the notional amount of the currency delivered | Quarterly | Oct 2026 | GBP | 1,500,000 | 1,830,000 | 44,025 | $ | 76,960 | 120,985 | ||||||||||||||||||||||||||||||||
($212,977 | ) | $ | 4,671,707 | $ | 4,458,730 |
Counterparty (OTC) | | Reference entity | | Currency | | Notional amount | | USD notional amount | | Pay/ receive volatility | | Volatility strike rate | | Payment frequency | | Maturity date | | Unamortized upfront payment paid (received) | | Unrealized appreciation (depreciation) | Value | | ||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Deutsche Bank | EUR versus CHF | CHF | 6,000 | $ | 6,088 | Receive | 6.750% | At Maturity | Jun 2019 | — | $ | 6,750 | $6,750 | |||||||||||||||||||||||||||||||||
Deutsche Bank | EUR versus CHF | CHF | 4,000 | 4,033 | Receive | 6.800% | At Maturity | Jun 2019 | — | 4,778 | 4,778 | |||||||||||||||||||||||||||||||||||
Deutsche Bank | USD versus CHF | CHF | 4,000 | 4,033 | Pay | 9.000% | At Maturity | Jun 2019 | — | (3,567 | ) | (3,567) | ||||||||||||||||||||||||||||||||||
Deutsche Bank | USD versus CHF | CHF | 6,000 | 6,088 | Pay | 9.000% | At Maturity | Jun 2019 | — | (5,286 | ) | (5,286) | ||||||||||||||||||||||||||||||||||
$ | 20,242 | — | $ | 2,675 | $2,675 |
AUD | Australian Dollar | |||||
BRL | Brazilian Real | |||||
CAD | Canadian Dollar | |||||
CNH | Chinese Yuan Renminbi (Offshore) | |||||
CNY | Chinese Yuan Renminbi (Onshore) | |||||
COP | Colombian Peso | |||||
CZK | Czech Koruna | |||||
DKK | Danish Krone | |||||
EUR | Euro | |||||
GBP | British Pound | |||||
IDR | Indonesian Rupiah | |||||
ILS | Israeli New 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 | |||||
PLN | Polish Zloty | |||||
RON | Romanian Leu | |||||
RUB | Russian Ruble | |||||
SEK | Swedish Krona | |||||
SGD | Singapore Dollar | |||||
THB | Thai Baht | |||||
TRY | Turkish New Lira | |||||
TWD | Taiwan New Dollar | |||||
USD | United States Dollar | |||||
ZAR | South African Rand |
BBA | British Bankers’ Association | |||||
BBSW | Bank Bill Swap Rate | |||||
CDI | Credit Default Insurance | |||||
CDOR | Canadian dollar offered rate | |||||
CDX | Credit Default Swap Index | |||||
CME | Chicago Mercantile Exchange | |||||
CPURNSA | US CPI Urban Consumers NSA | |||||
EURIBOR | Euro Interbank Offered Rate | |||||
LIBOR | London Interbank Offered Rate | |||||
OTC | Over-the-counter | |||||
STIBOR | Stockholm Interbank Offered Rate | |||||
TIIE | Equilibrium interbank interest rate |
Shares or Principal Amount | Value | | % of Net Assets | |||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
U.S. GOVERNMENT AND AGENCY OBLIGATIONS – 0.8% | ||||||||||||||||||||||
U.S. Government – 0.8% | ||||||||||||||||||||||
U.S. Treasury Notes 1.375%, 09/30/2020 | $ | 2,000,000 | $ | 1,985,077 | 0.8 | % | ||||||||||||||||
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (Cost $1,998,125) | $ | 1,985,077 | ||||||||||||||||||||
FOREIGN GOVERNMENT OBLIGATIONS – 0.9% | ||||||||||||||||||||||
Argentina – 0.5% | 1,210,840 | 0.5 | % | |||||||||||||||||||
Brazil – 0.3% | 638,622 | 0.3 | % | |||||||||||||||||||
Indonesia – 0.0% | 5,977 | 0.0 | % | |||||||||||||||||||
Mexico – 0.1% | 326,257 | 0.1 | % | |||||||||||||||||||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost $2,286,307) | $ | 2,181,696 | ||||||||||||||||||||
CORPORATE BONDS – 85.6% | ||||||||||||||||||||||
Consumer discretionary – 20.9% | ||||||||||||||||||||||
CCO Holdings LLC 5.750%, 02/15/2026 (S) | 1,020,000 | 1,091,400 | 0.4 | % | ||||||||||||||||||
Charter Communications Operating LLC 4.908%, 07/23/2025 | 1,850,000 | 1,998,762 | 0.8 | % | ||||||||||||||||||
DISH DBS Corp. 5.875%, 07/15/2022 to 11/15/2024 | 1,700,000 | 1,818,828 | 0.8 | % | ||||||||||||||||||
DISH DBS Corp. 7.750%, 07/01/2026 | 830,000 | 983,550 | 0.4 | % | ||||||||||||||||||
Netflix, Inc. 5.875%, 02/15/2025 | 1,080,000 | 1,196,100 | 0.5 | % | ||||||||||||||||||
Scientific Games International, Inc. 7.000%, 01/01/2022 (S) | 900,000 | 958,500 | 0.4 | % | ||||||||||||||||||
Shea Homes LP 6.125%, 04/01/2025 (S) | 970,000 | 1,001,525 | 0.4 | % | ||||||||||||||||||
Virgin Media Finance PLC 6.000%, 10/15/2024 (S) | 1,280,000 | 1,356,800 | 0.5 | % | ||||||||||||||||||
OTHER SECURITIES | 41,880,226 | 16.7 | % | |||||||||||||||||||
52,285,691 | ||||||||||||||||||||||
Consumer staples – 4.0% | ||||||||||||||||||||||
Simmons Foods, Inc. 7.875%, 10/01/2021 (S) | 1,160,000 | 1,232,500 | 0.5 | % | ||||||||||||||||||
OTHER SECURITIES | 8,704,933 | 3.5 | % | |||||||||||||||||||
9,937,433 | ||||||||||||||||||||||
Energy – 12.1% | ||||||||||||||||||||||
Extraction Oil & Gas Holdings LLC 7.875%, 07/15/2021 (S) | 1,000,000 | 1,027,500 | 0.4 | % | ||||||||||||||||||
Rockies Express Pipeline LLC 6.875%, 04/15/2040 (S) | 1,250,000 | 1,362,500 | 0.5 | % | ||||||||||||||||||
The Williams Companies, Inc. 7.500%, 01/15/2031 | 880,000 | 1,042,800 | 0.4 | % | ||||||||||||||||||
OTHER SECURITIES | 26,998,083 | 10.8 | % | |||||||||||||||||||
30,430,883 | ||||||||||||||||||||||
Financials – 7.6% | ||||||||||||||||||||||
CIT Group, Inc. 5.000%, 08/15/2022 to 08/01/2023 | 1,110,000 | 1,196,025 | 0.4 | % | ||||||||||||||||||
CIT Group, Inc. 5.375%, 05/15/2020 | 1,020,000 | 1,097,775 | 0.4 | % | ||||||||||||||||||
Citigroup, Inc. (6.300% to 05/15/2024, then 3 month LIBOR + 3.423%) 05/15/2024 (Q) | 1,060,000 | 1,128,900 | 0.5 | % | ||||||||||||||||||
CORPORATE BONDS (continued) | ||||||||||||||||||||||
Financials (continued) | ||||||||||||||||||||||
CNO Financial Group, Inc. 5.250%, 05/30/2025 | $ | 1,010,000 | $ | 1,069,590 | 0.4 | % | ||||||||||||||||
Quicken Loans, Inc. 5.750%, 05/01/2025 (S) | 1,000,000 | 1,032,500 | 0.4 | % | ||||||||||||||||||
OTHER SECURITIES | 13,467,289 | 5.5 | % | |||||||||||||||||||
18,992,079 | ||||||||||||||||||||||
Health care – 7.5% | ||||||||||||||||||||||
Centene Corp. 4.750%, 01/15/2025 | 1,070,000 | 1,099,425 | 0.4 | % | ||||||||||||||||||
HCA, Inc. 5.375%, 02/01/2025 | 1,160,000 | 1,223,568 | 0.5 | % | ||||||||||||||||||
HCA, Inc. 5.500%, 06/15/2047 | 1,220,000 | 1,262,700 | 0.5 | % | ||||||||||||||||||
MPH Acquisition Holdings LLC 7.125%, 06/01/2024 (S) | 1,400,000 | 1,492,750 | 0.6 | % | ||||||||||||||||||
Tenet Healthcare Corp. 8.125%, 04/01/2022 | 1,230,000 | 1,306,875 | 0.5 | % | ||||||||||||||||||
Valeant Pharmaceuticals International, Inc. 5.500%, 03/01/2023 (S) | 1,950,000 | 1,655,043 | 0.7 | % | ||||||||||||||||||
Valeant Pharmaceuticals International, Inc. 7.000%, 10/01/2020 to 03/15/2024 (S) | 1,980,000 | 1,984,951 | 0.8 | % | ||||||||||||||||||
OTHER SECURITIES | 8,758,943 | 3.5 | % | |||||||||||||||||||
18,784,255 | ||||||||||||||||||||||
Industrials – 10.2% | ||||||||||||||||||||||
CBC Ammo LLC 7.250%, 11/15/2021 (S) | 1,210,000 | 1,219,075 | 0.5 | % | ||||||||||||||||||
Flexi-Van Leasing, Inc. 7.875%, 08/15/2018 (S) | 1,130,000 | 1,118,700 | 0.4 | % | ||||||||||||||||||
H&E Equipment Services, Inc. 7.000%, 09/01/2022 | 1,080,000 | 1,123,200 | 0.5 | % | ||||||||||||||||||
Park Aerospace Holdings, Ltd. 5.500%, 02/15/2024 (S) | 1,320,000 | 1,378,740 | 0.6 | % | ||||||||||||||||||
United Rentals North America, Inc. 5.500%, 07/15/2025 to 05/15/2027 | 1,420,000 | 1,466,100 | 0.6 | % | ||||||||||||||||||
West Corp. 5.375%, 07/15/2022 (S) | 1,260,000 | 1,272,600 | 0.5 | % | ||||||||||||||||||
OTHER SECURITIES | 17,935,748 | 7.1 | % | |||||||||||||||||||
25,514,163 | ||||||||||||||||||||||
Information technology – 2.0% | 4,930,629 | 2.0 | % | |||||||||||||||||||
Materials – 8.7% | ||||||||||||||||||||||
Ardagh Packaging Finance PLC 6.000%, 02/15/2025 (S) | 1,070,000 | 1,123,500 | 0.4 | % | ||||||||||||||||||
First Quantum Minerals, Ltd. 7.500%, 04/01/2025 (S) | 1,330,000 | 1,303,400 | 0.5 | % | ||||||||||||||||||
Freeport-McMoRan, Inc. 6.875%, 02/15/2023 | 940,000 | 991,700 | 0.4 | % | ||||||||||||||||||
Pactiv LLC 8.375%, 04/15/2027 | 1,510,000 | 1,732,725 | 0.7 | % | ||||||||||||||||||
OTHER SECURITIES | 16,755,587 | 6.7 | % | |||||||||||||||||||
21,906,912 | ||||||||||||||||||||||
Real estate – 2.0% | 4,896,483 | 2.0 | % | |||||||||||||||||||
Telecommunication services – 8.5% | ||||||||||||||||||||||
Cogent Communications Group, Inc. 5.375%, 03/01/2022 (S) | 1,150,000 | 1,207,500 | 0.5 | % | ||||||||||||||||||
Intelsat Jackson Holdings SA 5.500%, 08/01/2023 (L) | 1,170,000 | 968,175 | 0.4 | % |
Shares or Principal Amount | Value | | % of Net Assets | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS (continued) | ||||||||||||||||||
Telecommunication services (continued) | ||||||||||||||||||
Intelsat Jackson Holdings SA 8.000%, 02/15/2024 (L)(S) | $ | 1,060,000 | $ | 1,142,150 | 0.5 | % | ||||||||||||
SFR Group SA 7.375%, 05/01/2026 (S) | 2,170,000 | 2,354,450 | 0.9 | % | ||||||||||||||
Sprint Capital Corp. 8.750%, 03/15/2032 | 1,600,000 | 2,016,000 | 0.8 | % | ||||||||||||||
Sprint Corp. 7.250%, 09/15/2021 | 1,850,000 | 2,055,813 | 0.8 | % | ||||||||||||||
Sprint Corp. 7.875%, 09/15/2023 | 2,690,000 | 3,093,500 | 1.2 | % | ||||||||||||||
T-Mobile USA, Inc. 6.500%, 01/15/2026 | 1,160,000 | 1,280,350 | 0.5 | % | ||||||||||||||
Telecom Italia SpA 5.303%, 05/30/2024 (S) | 1,350,000 | 1,447,875 | 0.6 | % | ||||||||||||||
OTHER SECURITIES | 5,712,323 | 2.3 | % | |||||||||||||||
21,278,136 | ||||||||||||||||||
Utilities – 2.1% | ||||||||||||||||||
Miran Mid-Atlantic Series C Pass Through Trust 10.060%, 12/30/2028 | 1,558,871 | 1,465,339 | 0.6 | % | ||||||||||||||
Red Oak Power LLC 9.200%, 11/30/2029 | 1,030,000 | 1,107,250 | 0.4 | % | ||||||||||||||
OTHER SECURITIES | 2,764,564 | 1.1 | % | |||||||||||||||
5,337,153 | ||||||||||||||||||
TOTAL CORPORATE BONDS (Cost $212,104,451) | $ | 214,293,817 | ||||||||||||||||
CAPITAL PREFERRED SECURITIES – 0.4% | ||||||||||||||||||
Financials – 0.4% | 952,500 | 0.4 | % | |||||||||||||||
TOTAL CAPITAL PREFERRED SECURITIES (Cost $840,143) | $ | 952,500 | ||||||||||||||||
CONVERTIBLE BONDS – 0.9% | ||||||||||||||||||
Energy – 0.3% | 776,494 | 0.3 | % | |||||||||||||||
Information technology – 0.6% | 1,651,689 | 0.6 | % | |||||||||||||||
TOTAL CONVERTIBLE BONDS (Cost $2,466,052) | $ | 2,428,183 | ||||||||||||||||
TERM LOANS (M) – 3.2% | ||||||||||||||||||
Consumer discretionary – 0.8% | 1,989,557 | 0.8 | % | |||||||||||||||
Energy – 1.2% | ||||||||||||||||||
Eastern Power LLC 5.226%, 10/02/2023 | 997,510 | 992,273 | 0.4 | % | ||||||||||||||
OTHER SECURITIES | 2,084,210 | 0.8 | % | |||||||||||||||
3,076,483 | ||||||||||||||||||
Health care – 0.7% | 1,687,329 | 0.7 | % | |||||||||||||||
Industrials – 0.3% | 702,800 | 0.3 | % | |||||||||||||||
Information technology – 0.2% | 514,498 | 0.2 | % | |||||||||||||||
Materials – 0.0% | 108,767 | 0.0 | % | |||||||||||||||
TOTAL TERM LOANS (Cost $9,001,139) | $ | 8,079,434 | ||||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS – 0.4% | ||||||||||||||||||
Commercial and residential – 0.4% | 933,580 | 0.4 | % | |||||||||||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $1,072,799) | $ | 933,580 | ||||||||||||||||
ASSET BACKED SECURITIES – 2.5% | ||||||||||||||||||
TOTAL ASSET BACKED SECURITIES (Cost $6,117,097) | $ | 6,381,123 | ||||||||||||||||
COMMON STOCKS – 1.2% | ||||||||||||||||||
Consumer discretionary – 0.1% | $ | 266,910 | 0.1 | % | ||||||||||||||
Energy – 1.1% | 2,699,550 | 1.1 | % | |||||||||||||||
Financials – 0.0% | 79,057 | 0.0 | % | |||||||||||||||
Industrials – 0.0% | 62,563 | 0.0 | % | |||||||||||||||
Materials – 0.0% | 2 | 0.0 | % | |||||||||||||||
TOTAL COMMON STOCKS (Cost $10,575,894) | $ | 3,108,082 | ||||||||||||||||
PREFERRED SECURITIES – 1.5% | ||||||||||||||||||
Energy – 0.6% | ||||||||||||||||||
Berry Petroleum Company LLC (I) | 95,736 | 1,029,162 | 0.4 | % | ||||||||||||||
OTHER SECURITIES | 455,962 | 0.2 | % | |||||||||||||||
1,485,124 | ||||||||||||||||||
Financials – 0.5% | ||||||||||||||||||
GMAC Capital Trust I, 6.967% (P) | 51,072 | 1,338,060 | 0.5 | % | ||||||||||||||
Health care – 0.3% | 703,145 | 0.3 | % | |||||||||||||||
Industrials – 0.1% | 194,447 | 0.1 | % | |||||||||||||||
Materials – 0.0% | 14,507 | 0.0 | % | |||||||||||||||
TOTAL PREFERRED SECURITIES (Cost $4,904,591) | $ | 3,735,283 | ||||||||||||||||
ESCROW CERTIFICATES – 0.0% | ||||||||||||||||||
Consumer discretionary – 0.0% | 0 | 0.0 | % | |||||||||||||||
Health care – 0.0% | 500 | 0.0 | % | |||||||||||||||
TOTAL ESCROW CERTIFICATES (Cost $435,127) | $ | 500 | ||||||||||||||||
SECURITIES LENDING COLLATERAL – 3.4% | ||||||||||||||||||
John Hancock Collateral Trust, 1.1508% (W)(Y) | 845,244 | 8,457,426 | 3.4 | % | ||||||||||||||
TOTAL SECURITIES LENDING COLLATERAL (Cost $8,457,745) | $ | 8,457,426 | ||||||||||||||||
SHORT-TERM INVESTMENTS – 0.5% | ||||||||||||||||||
Money market funds – 0.5% | ||||||||||||||||||
State Street Institutional Treasury Plus Money Market Fund, Premier Class, 0.8560% (Y) | 1,224,327 | 1,224,327 | 0.5 | % | ||||||||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $1,224,327) | $ | 1,224,327 | ||||||||||||||||
Total Investments (High Yield Trust) (Cost $261,483,797) – 101.3% | $ | 253,761,028 | 101.3 | % | ||||||||||||||
Other assets and liabilities, net – (1.3%) | (3,348,099 | ) | (1.3 | )% | ||||||||||||||
TOTAL NET ASSETS – 100.0% | $ | 250,412,929 | 100.0 | % |
LIBOR | London Interbank Offered Rate | |||||
(I) | Non-income producing security. | |||||
(L) | A portion of this security is on loan as of 6-30-17. | |||||
(M) | Term loans are variable rate obligations. The coupon rate shown represents the rate at period end. | |||||
(P) | Variable rate obligation. The coupon rate shown represents the rate at period end. | |||||
(Q) | Perpetual bonds have no stated maturity date. Date shown as maturity date is next call date. | |||||
(S) | These securities are exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be resold, normally to qualified institutional buyers, in transactions exempt from registration. Rule 144A securities amounted to $126,590,186 or 50.6% of the fund’s net assets as of 6-30-17. | |||||
(W) | Investment is an affiliate of the fund, the advisor and/or subadvisor. This security represents the investment of cash collateral received for securities lending. | |||||
(Y) | The rate shown is the annualized seven-day yield as of 6-30-17. |
Open contracts | | Number of contracts | | Position | | Expiration date | | Notional basis* | | Notional value* | | Unrealized appreciation (depreciation) | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
5-Year U.S. Treasury Note Futures | 86 | Long | Sep 2017 | $ | 10,156,533 | $ | 10,133,891 | ($22,642 | ) | |||||||||||||||||
Ultra U.S. Treasury Bond Futures | 8 | Long | Sep 2017 | 1,302,037 | 1,327,000 | 24,963 | ||||||||||||||||||||
U.S. Treasury Long Bond Futures | 11 | Short | Sep 2017 | (1,693,987 | ) | (1,690,562 | ) | 3,425 | ||||||||||||||||||
$ | 5,746 |
* | Notional basis refers to the contractual amount agreed upon at inception of open contracts; notional value represents the current value of the open contract. |
Contract to buy | Contract to sell | | Counterparty (OTC) | | Contractual settlement date | | Unrealized appreciation | | Unrealized depreciation | | ||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CAD | 2,322,428 | USD | 1,743,499 | Barclays Bank PLC Wholesale | 7/20/2017 | $ | 47,914 | — | ||||||||||||||||||||||||||
EUR | 351,543 | USD | 374,665 | Barclays Bank PLC Wholesale | 7/20/2017 | 27,158 | — | |||||||||||||||||||||||||||
USD | 672,072 | CAD | 919,260 | Barclays Bank PLC Wholesale | 7/20/2017 | — | ($37,003 | ) | ||||||||||||||||||||||||||
$ | 75,072 | ($37,003 | ) |
CAD | Canadian Dollar | |||||
EUR | Euro | |||||
USD | United States Dollar |
OTC | Over-the-counter |
See Notes to financial statements regarding investment transactions and other derivatives information.
Shares or Principal Amount | Value | | % of Net Assets | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
U.S. GOVERNMENT AND AGENCY OBLIGATIONS – 52.5% | ||||||||||||||||||
Treasury Inflation Protected Securities – 5.7% | ||||||||||||||||||
0.125%, 07/15/2024 | $ | 7,921,559 | $ | 7,780,344 | 2.9 | % | ||||||||||||
0.250%, 01/15/2025 | 7,737,971 | 7,598,564 | 2.8 | % | ||||||||||||||
15,378,908 | ||||||||||||||||||
U.S. Treasury Bonds – 3.9% | ||||||||||||||||||
2.500%, 02/15/2045 | 1,204,000 | 1,125,411 | 0.4 | % | ||||||||||||||
3.000%, 11/15/2044 to 11/15/2045 | 2,305,000 | 2,378,027 | 0.9 | % | ||||||||||||||
4.500%, 02/15/2036 | 3,867,000 | 4,997,645 | 1.9 | % | ||||||||||||||
6.250%, 05/15/2030 | 970,000 | 1,383,121 | 0.5 | % | ||||||||||||||
OTHER SECURITIES | 608,219 | 0.2 | % | |||||||||||||||
10,492,423 | ||||||||||||||||||
U.S. Treasury Notes – 8.4% | ||||||||||||||||||
1.500%, 08/15/2026 | 2,325,000 | 2,175,147 | 0.8 | % | ||||||||||||||
1.625%, 05/15/2026 | 3,317,000 | 3,144,543 | 1.2 | % | ||||||||||||||
1.875%, 02/28/2022 | 3,150,000 | 3,153,446 | 1.2 | % | ||||||||||||||
2.000%, 08/15/2025 (D) | 6,420,000 | 6,309,653 | 2.3 | % | ||||||||||||||
3.125%, 05/15/2021 | 7,350,000 | 7,732,715 | 2.8 | % | ||||||||||||||
OTHER SECURITIES | 323,350 | 0.1 | % | |||||||||||||||
22,838,854 | ||||||||||||||||||
Federal Home Loan Mortgage Corp. – 11.1% | ||||||||||||||||||
3.000%, TBA (C) | 2,300,000 | 2,360,925 | 0.9 | % | ||||||||||||||
3.000%, 01/01/2047 | 6,455,394 | 6,446,038 | 2.4 | % | ||||||||||||||
3.500%, TBA (C) | 9,200,000 | 9,438,709 | 3.4 | % | ||||||||||||||
4.000%, TBA (C) | 8,900,000 | 9,346,944 | 3.5 | % | ||||||||||||||
4.500%, TBA (C) | 2,200,000 | 2,354,969 | 0.8 | % | ||||||||||||||
OTHER SECURITIES | 284,364 | 0.1 | % | |||||||||||||||
30,231,949 | ||||||||||||||||||
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (continued) | ||||||||||||||||||
Federal National Mortgage Association – 18.5% | ||||||||||||||||||
2.500%, 07/01/2030 to 04/01/2045 | $ | 3,542,882 | $ | 3,503,799 | 1.2 | % | ||||||||||||
2.970%, 06/01/2027 to 06/01/2030 | 1,281,000 | 1,276,199 | 0.5 | % | ||||||||||||||
3.000%, TBA (C) | 3,800,000 | 3,898,878 | 1.5 | % | ||||||||||||||
3.500%, TBA (C) | 27,300,000 | 27,995,870 | 10.4 | % | ||||||||||||||
3.500%, 06/01/2046 | 5,024,218 | 5,161,939 | 1.9 | % | ||||||||||||||
4.000%, TBA (C) | 1,000,000 | 1,049,973 | 0.4 | % | ||||||||||||||
4.500%, TBA (C) | 3,100,000 | 3,322,306 | 1.2 | % | ||||||||||||||
5.000%, TBA (C) | 1,800,000 | 1,966,063 | 0.7 | % | ||||||||||||||
OTHER SECURITIES | 1,920,116 | 0.7 | % | |||||||||||||||
50,095,143 | ||||||||||||||||||
Government National Mortgage Association – 4.9% | ||||||||||||||||||
3.000%, TBA (C) | 7,900,000 | 7,976,328 | 2.9 | % | ||||||||||||||
3.500%, TBA (C) | 2,400,000 | 2,483,043 | 1.0 | % | ||||||||||||||
4.500%, TBA (C) | 2,300,000 | 2,443,414 | 0.9 | % | ||||||||||||||
OTHER SECURITIES | 514,294 | 0.1 | % | |||||||||||||||
13,417,079 | ||||||||||||||||||
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (Cost $143,658,907) | $ | 142,454,356 | ||||||||||||||||
FOREIGN GOVERNMENT OBLIGATIONS – 1.4% | ||||||||||||||||||
Brazil – 0.2% | $ | 503,862 | 0.2 | % | ||||||||||||||
Chile – 0.1% | 295,738 | 0.1 | % | |||||||||||||||
Ivory Coast – 0.1% | 201,937 | 0.1 | % | |||||||||||||||
Kuwait – 0.2% | 619,466 | 0.2 | % |
Shares or Principal Amount | Value | | % of Net Assets | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
FOREIGN GOVERNMENT OBLIGATIONS (continued) | ||||||||||||||||||
Mexico – 0.3% | $ | 769,639 | 0.3 | % | ||||||||||||||
Oman – 0.2% | 684,558 | 0.2 | % | |||||||||||||||
Russia – 0.2% | 602,544 | 0.2 | % | |||||||||||||||
Uruguay – 0.1% | 155,359 | 0.1 | % | |||||||||||||||
Venezuela – 0.0% | 30,934 | 0.0 | % | |||||||||||||||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost $3,806,780) | $ | 3,864,037 | ||||||||||||||||
CORPORATE BONDS – 29.5% | ||||||||||||||||||
Consumer discretionary – 2.8% | �� | 7,710,989 | 2.8 | % | ||||||||||||||
Consumer staples – 2.2% | ||||||||||||||||||
Anheuser-Busch InBev Finance, Inc. 4.900%, 02/01/2046 | $ | 810,000 | 915,488 | 0.3 | % | |||||||||||||
OTHER SECURITIES | 5,132,630 | 1.9 | % | |||||||||||||||
6,048,118 | ||||||||||||||||||
Energy – 3.6% | 9,664,218 | 3.6 | % | |||||||||||||||
Financials – 10.7% | ||||||||||||||||||
Citigroup, Inc. 4.450%, 09/29/2027 | 915,000 | 951,721 | 0.4 | % | ||||||||||||||
OTHER SECURITIES | 28,106,855 | 10.3 | % | |||||||||||||||
29,058,576 | ||||||||||||||||||
Health care – 2.8% | ||||||||||||||||||
Allergan Funding SCS 2.350%, 03/12/2018 | 930,000 | 933,896 | 0.4 | % | ||||||||||||||
OTHER SECURITIES | 6,798,362 | 2.4 | % | |||||||||||||||
7,732,258 | ||||||||||||||||||
Industrials – 1.4% | 3,773,165 | 1.4 | % | |||||||||||||||
Information technology – 1.2% | 3,259,121 | 1.2 | % | |||||||||||||||
Materials – 0.4% | 1,164,553 | 0.4 | % | |||||||||||||||
Real estate – 0.5% | 1,241,837 | 0.5 | % | |||||||||||||||
Telecommunication services – 2.2% | 5,858,086 | 2.2 | % | |||||||||||||||
Utilities – 1.7% | 4,602,727 | 1.7 | % | |||||||||||||||
TOTAL CORPORATE BONDS (Cost $78,582,132) | $ | 80,113,648 | ||||||||||||||||
MUNICIPAL BONDS – 1.5% | ||||||||||||||||||
TOTAL MUNICIPAL BONDS (Cost $3,863,530) | $ | 3,883,068 | ||||||||||||||||
TERM LOANS (M) – 2.6% | ||||||||||||||||||
Consumer discretionary – 0.8% | $ | 2,052,693 | 0.8 | % | ||||||||||||||
Consumer staples – 0.3% | 693,677 | 0.3 | % | |||||||||||||||
Energy – 0.1% | 417,716 | 0.1 | % | |||||||||||||||
Financials – 0.2% | 564,288 | 0.2 | % | |||||||||||||||
Health care – 0.3% | 945,708 | 0.3 | % | |||||||||||||||
Industrials – 0.4% | 1,116,162 | 0.4 | % | |||||||||||||||
Information technology – 0.2% | 616,165 | 0.2 | % | |||||||||||||||
Materials – 0.1% | 347,995 | 0.1 | % | |||||||||||||||
Real estate – 0.1% | 137,232 | 0.1 | % | |||||||||||||||
Telecommunication services – 0.1% | 239,809 | 0.1 | % | |||||||||||||||
TOTAL TERM LOANS (Cost $7,230,119) | $ | 7,131,445 | ||||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS – 11.8% | ||||||||||||||||||
Commercial and residential – 11.5% | ||||||||||||||||||
Mortgage Repurchase Agreement Financing Trust, 2.287%, 06/10/2019 (P)(S) | 1,034,000 | 1,032,271 | 0.4 | % | ||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS (continued) | ||||||||||||||||||
Commercial and residential (continued) | ||||||||||||||||||
New Residential Mortgage Loan Trust, 4.000%, 02/25/2057 (P)(S) | $ | 1,344,824 | $ | 1,398,017 | 0.5 | % | ||||||||||||
New Residential Mortgage Loan Trust, 4.000%, 03/25/2057 (P)(S) | 1,230,193 | 1,280,795 | 0.5 | % | ||||||||||||||
New Residential Mortgage Loan Trust, 4.000%, 04/25/2057 (P)(S) | 1,895,367 | 1,968,428 | 0.7 | % | ||||||||||||||
OTHER SECURITIES | 25,393,371 | 9.4 | % | |||||||||||||||
31,072,882 | ||||||||||||||||||
Federal Home Loan Mortgage Corp. – 0.0% | 114,822 | 0.0 | % | |||||||||||||||
Federal National Mortgage Association – 0.3% | 785,737 | 0.3 | % | |||||||||||||||
Government National Mortgage Association – 0.0% | 17,073 | 0.0 | % | |||||||||||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $31,757,120) | $ | 31,990,514 | ||||||||||||||||
ASSET BACKED SECURITIES – 18.8% | ||||||||||||||||||
Apidos CLO XVII, 2.468%, 04/17/2026 (P)(S) | 1,200,000 | 1,200,706 | 0.4 | % | ||||||||||||||
Apidos CLO XVII, 3.008%, 04/17/2026 (P)(S) | 1,145,000 | 1,145,063 | 0.4 | % | ||||||||||||||
Apidos CLO XXI, 2.588%, 07/18/2027 (P)(S) | 1,170,000 | 1,179,867 | 0.4 | % | ||||||||||||||
Avery Point VI CLO, Ltd., 2.621%, 08/05/2027 (P)(S) | 1,230,000 | 1,236,638 | 0.5 | % | ||||||||||||||
Babson CLO, Ltd., 2.586%, 04/20/2027 (P)(S) | 1,205,000 | 1,208,069 | 0.5 | % | ||||||||||||||
BlueMountain CLO, Ltd., 2.636%, 10/20/2027 (P)(S) | 1,040,000 | 1,041,910 | 0.4 | % | ||||||||||||||
Galaxy XV CLO, Ltd., 2.408%, 04/15/2025 (P)(S) | 1,140,000 | 1,140,689 | 0.4 | % | ||||||||||||||
OCP CLO, Ltd., 2.688%, 04/17/2027 (P)(S) | 1,065,000 | 1,065,425 | 0.4 | % | ||||||||||||||
OneMain Financial Issuance Trust, 4.100%, 03/20/2028 (S) | 945,000 | 963,997 | 0.4 | % | ||||||||||||||
OZLM XII, Ltd., 2.620%, 04/30/2027 (P)(S) | 1,025,000 | 1,026,329 | 0.4 | % | ||||||||||||||
Race Point IX CLO, Ltd., 2.668%, 04/15/2027 (P)(S) | 945,000 | 946,222 | 0.4 | % | ||||||||||||||
Shackleton 2015-VIII CLO, Ltd., 2.666%, 10/20/2027 (P)(S) | 1,035,000 | 1,035,538 | 0.4 | % | ||||||||||||||
Towd Point Mortgage Trust, 2.750%, 10/25/2056 (P)(S) | 1,367,440 | 1,377,893 | 0.5 | % | ||||||||||||||
Venture XXI CLO, Ltd., 2.648%, 07/15/2027 (P)(S) | 915,000 | 915,277 | 0.3 | % | ||||||||||||||
OTHER SECURITIES | 35,585,780 | 13.0 | % | |||||||||||||||
TOTAL ASSET BACKED SECURITIES (Cost $50,819,583) | $ | 51,069,403 | ||||||||||||||||
PURCHASED OPTIONS – 0.0% | ||||||||||||||||||
Put options – 0.0% | 28,164 | 0.0 | % | |||||||||||||||
TOTAL PURCHASED OPTIONS (Cost $30,194) | $ | 28,164 | ||||||||||||||||
SECURITIES LENDING COLLATERAL – 0.0% | ||||||||||||||||||
John Hancock Collateral Trust, 1.1508% (W)(Y) | 6,322 | 63,261 | 0.0 | % | ||||||||||||||
TOTAL SECURITIES LENDING COLLATERAL (Cost $63,259) | $ | 63,261 |
Shares or Principal Amount | Value | | % of Net Assets | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHORT-TERM INVESTMENTS – 6.6% | ||||||||||||||||||
Foreign government – 0.5% | $ | 1,464,503 | 0.5 | % | ||||||||||||||
Repurchase agreement – 6.1% | ||||||||||||||||||
Deutsche Bank Tri-Party Repurchase Agreement dated 06/30/2017 at 1.120% to be repurchased at $7,100,663 on 07/03/2017, collateralized by $6,777,700 U.S. Treasury Notes, 3.625% due 02/15/2020 (valued at $7,242,099, including interest) | $ | 7,100,000 | 7,100,000 | 2.6 | % | |||||||||||||
Goldman Sachs Tri-Party Repurchase Agreement dated 06/30/2017 at 1.070% to be repurchased at $9,300,829 on 07/03/2017, collateralized by $5,398,817 Federal Home Loan Mortgage Corp., 2.500%–6.000% due 02/01/2026 to 12/01/2042 (valued at $5,807,254, including interest) and $3,481,447 Federal National Mortgage Association, 2.500%–6.130% due 11/01/2027 to 04/01/2042 (valued at $3,678,746, including interest) | 9,300,000 | 9,300,000 | 3.5 | % | ||||||||||||||
16,400,000 | ||||||||||||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $17,864,839) | $ | 17,864,503 | ||||||||||||||||
Total Investments (Investment Quality Bond Trust) (Cost $337,676,463) – 124.7% | $ | 338,462,399 | 124.7 | % | ||||||||||||||
Other assets and liabilities, net – (24.7%) | (67,051,491 | ) | (24.7 | )% | ||||||||||||||
TOTAL NET ASSETS – 100.0% | $ | 271,410,908 | 100.0 | % |
TBA | To Be Announced. A forward mortgage-backed securities trade issued by a U.S. Government Agency, to be delivered at an agreed-upon future settlement date. | |||||
(C) | Security purchased or sold on a when-issued or delayed delivery basis. | |||||
(D) | All or a portion of this security is segregated at the custodian as collateral for certain derivatives. | |||||
(M) | Term loans are variable rate obligations. The coupon rate shown represents the rate at period end. | |||||
(P) | Variable rate obligation. The coupon rate shown represents the rate at the period end. | |||||
(S) | These securities are exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be resold, normally to qualified institutional buyers, in transactions exempt from registration. Rule 144A securities amounted to $82,426,131 or 30.4% of the fund’s net assets as of 6-30-17. | |||||
(W) | Investment is an affiliate of the fund, the advisor and/or subadvisor. This security represents the investment of cash collateral received for securities lending. | |||||
(Y) | The rate shown is the annualized seven-day yield as of 6-30-17. |
Open contracts | | Number of contracts | | Position | | Expiration date | | Notional basis* | | Notional value* | | Unrealized appreciation (depreciation) | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
5-Year U.S. Treasury Note Futures | 95 | Long | Sep 2017 | $ | 11,218,806 | $ | 11,194,414 | ($24,392 | ) | |||||||||||||||||
U.S. Treasury Long Bond Futures | 36 | Long | Sep 2017 | 5,482,183 | 5,532,750 | 50,567 | ||||||||||||||||||||
Ultra U.S. Treasury Bond Futures | 38 | Long | Sep 2017 | 6,202,226 | 6,303,250 | 101,024 | ||||||||||||||||||||
2-Year U.S. Treasury Note Futures | 41 | Short | Sep 2017 | (8,875,144 | ) | (8,860,484 | ) | 14,660 | ||||||||||||||||||
10-Year Ultra U.S. Treasury Bond Futures | 8 | Short | Sep 2017 | (1,085,610 | ) | (1,078,500 | ) | 7,110 | ||||||||||||||||||
10-Year U.S. Treasury Note Futures | 52 | Short | Sep 2017 | (6,539,326 | ) | (6,527,625 | ) | 11,701 | ||||||||||||||||||
U.K. Long Gilt Bond Futures | 20 | Short | Sep 2017 | (3,329,164 | ) | (3,270,972 | ) | 58,192 | ||||||||||||||||||
$ | 218,862 |
* | Notional basis refers to the contractual amount agreed upon at inception of open contracts; notional value represents the current value of the open contract. |
Contract to buy | Contract to sell | | Counterparty (OTC) | | Contractual settlement date | | Unrealized appreciation | | Unrealized depreciation | | ||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
EGP | 543,000 | USD | 29,272 | Citibank N.A. | 3/6/2018 | — | ($1,132 | ) | ||||||||||||||||||||||||
EGP | 445,000 | USD | 23,455 | Goldman Sachs International | 3/6/2018 | — | (394 | ) | ||||||||||||||||||||||||
EGP | 1,495,000 | USD | 76,159 | Citibank N.A. | 3/29/2018 | $ | 758 | — | ||||||||||||||||||||||||
RON | 1,625,000 | USD | 383,806 | Citibank N.A. | 8/28/2017 | 23,901 | — | |||||||||||||||||||||||||
USD | 161,995 | ARS | 2,728,000 | BNP Paribas SA | 9/20/2017 | 4,326 | — | |||||||||||||||||||||||||
USD | 241,404 | BRL | 799,000 | Goldman Sachs International | 9/5/2017 | 3,306 | — | |||||||||||||||||||||||||
USD | 50,849 | EGP | 988,000 | Goldman Sachs International | 3/6/2018 | — | (353 | ) | ||||||||||||||||||||||||
USD | 76,510 | EGP | 1,495,000 | Goldman Sachs International | 3/29/2018 | — | (407 | ) | ||||||||||||||||||||||||
USD | 500,631 | EUR | 446,000 | Citibank N.A. | 7/31/2017 | — | (9,446 | ) | ||||||||||||||||||||||||
USD | 98,995 | EUR | 88,000 | HSBC Bank USA | 9/20/2017 | — | (1,919 | ) | ||||||||||||||||||||||||
USD | 408,399 | MXN | 7,453,000 | Royal Bank of Canada | 9/20/2017 | 2,660 | — |
Contract to buy | Contract to sell | | Counterparty (OTC) | | Contractual settlement date | | Unrealized appreciation | | Unrealized depreciation | | ||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
USD | 155,513 | RON | 610,000 | BNP Paribas SA | 8/28/2017 | $ | 2,466 | — | ||||||||||||||||||||||||
USD | 259,061 | RON | 1,015,000 | JPMorgan Chase Bank | 8/28/2017 | 4,400 | — | |||||||||||||||||||||||||
$ | 41,817 | ($13,651 | ) |
Counterparty (OTC)/ Centrally cleared | | Notional amount | | Currency | | Payments made | | Payments received | | Fixed payment frequency | | Floating payment frequency | | Maturity date | | Unamortized upfront payment paid (received) | | Unrealized appreciation (depreciation) | | Value | ||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
JPMorgan Chase Bank, N.A. | 5,100,000 | USD | Fixed 4.318 | % | USD-LIBOR-BBA | Semi-Annual | Quarterly | Dec 2028 | — | ($1,047,031 | ) | ($1,047,031 | ) | |||||||||||||||||||||||||||||
JPMorgan Chase Bank, N.A. | 2,100,000 | USD | Fixed 3.425 | % | USD-LIBOR-BBA | Semi-Annual | Quarterly | Jul 2039 | — | (338,880 | ) | (338,880 | ) | |||||||||||||||||||||||||||||
— | ($1,385,911 | ) | ($1,385,911 | ) | ||||||||||||||||||||||||||||||||||||||
Centrally cleared | 1,620,000 | USD | Fixed 1.625 | % | USD-Federal Funds- H.15-OIS-COMPOUND | Annual | Annual | Nov 2026 | — | $ | 38,239 | $ | 38,239 | |||||||||||||||||||||||||||||
Centrally cleared | 2,085,000 | USD | Fixed 2.124 | % | USD-LIBOR-BBA | Semi-Annual | Quarterly | Jun 2027 | — | 25,634 | 25,634 | |||||||||||||||||||||||||||||||
Centrally cleared | 1,831,000 | USD | Fixed 2.117 | % | USD-LIBOR-BBA | Semi-Annual | Quarterly | Jun 2027 | — | 23,680 | 23,680 | |||||||||||||||||||||||||||||||
Centrally cleared | 2,080,000 | USD | Fixed 2.121 | % | USD-LIBOR-BBA | Semi-Annual | Quarterly | Jun 2027 | — | 26,141 | 26,141 | |||||||||||||||||||||||||||||||
Centrally cleared | 1,835,000 | USD | Fixed 2.122 | % | USD-LIBOR-BBA | Semi-Annual | Quarterly | Jun 2027 | — | 22,978 | 22,978 | |||||||||||||||||||||||||||||||
— | $ | 136,672 | $ | 136,672 | ||||||||||||||||||||||||||||||||||||||
— | ($1,249,239 | ) | ($1,249,239 | ) |
Counterparty (OTC)/ Centrally cleared | | Reference obligation | | Notional amount | | Currency | | USD notional amount | | Pay fixed rate | | Fixed rate payment frequency | | Maturity date | | Unamortized upfront payment paid (received) | | Unrealized appreciation (depreciation) | | Value | ||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Goldman Sachs International | Turkey Republic | 308,000 | USD | $ | 308,000 | (1.000)% | Quarterly | Jun 2022 | $ | 16,414 | ($3,220 | ) | $ | 13,194 | ||||||||||||||||||||||||||||
$ | 308,000 | $ | 16,414 | ($3,220 | ) | $ | 13,194 | |||||||||||||||||||||||||||||||||||
Centrally cleared | CDX-NAIGS28V1-5Y | 5,431,000 | USD | 5,431,000 | (1.000)% | Quarterly | Jun 2022 | ($99,645 | ) | ($2,808 | ) | ($102,453 | ) | |||||||||||||||||||||||||||||
Centrally cleared | ITRAXX-EUROPES27V1-5Y | 2,444,000 | EUR | 2,748,697 | (1.000)% | Quarterly | Jun 2022 | (51,363 | ) | (9,557 | ) | (60,920 | ) | |||||||||||||||||||||||||||||
Centrally cleared | ITRAXX-XOVERS27V1-5Y | 480,000 | EUR | 537,493 | (5.000)% | Quarterly | Jun 2022 | (64,441 | ) | 659 | (63,782 | ) | ||||||||||||||||||||||||||||||
Centrally cleared | CDX-NAHYS28V1-5Y | 571,000 | USD | 571,000 | (5.000)% | Quarterly | Jun 2022 | (44,078 | ) | 3,820 | (40,258 | ) | ||||||||||||||||||||||||||||||
$ | 9,288,190 | ($259,527 | ) | ($7,886 | ) | ($267,413 | ) | |||||||||||||||||||||||||||||||||||
$ | 9,596,190 | ($243,113 | ) | ($11,106 | ) | ($254,219 | ) |
Counterparty (OTC)/ Centrally cleared | | Reference obligation | | Implied credit spread | | Notional amount | | Currency | | USD notional amount | | Receive fixed rate | | Fixed rate payment frequency | | Maturity date | | Unamortized upfront payment paid (received) | | Unrealized appreciation (depreciation) | | Value | ||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Bank of America | United Mexican States | 1.129% | 163,000 | USD | $163,000 | 1.000% | Quarterly | Jun 2022 | ($1,364 | ) | $ | 424 | ($940 | ) | ||||||||||||||||||||||||||||||||
Bank of America | Turkey Republic | 1.932% | 150,000 | USD | 150,000 | 1.000% | Quarterly | Jun 2022 | (6,326 | ) | (100 | ) | (6,426 | ) | ||||||||||||||||||||||||||||||||
Bank of America | South Africa Government International Bond | 1.972% | 149,000 | USD | 149,000 | 1.000% | Quarterly | Jun 2022 | (5,890 | ) | (756 | ) | (6,646 | ) | ||||||||||||||||||||||||||||||||
Goldman Sachs International | Brazil Republic | 2.158% | 125,000 | USD | 125,000 | 1.000% | Quarterly | Dec 2021 | (8,878 | ) | 2,879 | (5,999 | ) | |||||||||||||||||||||||||||||||||
Goldman Sachs International | Brazil Republic | 2.158% | 130,000 | USD | 130,000 | 1.000% | Quarterly | Dec 2021 | (9,466 | ) | 3,227 | (6,239 | ) | |||||||||||||||||||||||||||||||||
Morgan Stanley & Co | Anadarko Petroleum Corporation | 1.517% | 355,000 | USD | 355,000 | 1.000% | Quarterly | Jun 2022 | (15,800 | ) | 7,285 | (8,515 | ) | |||||||||||||||||||||||||||||||||
$1,072,000 | ($47,724 | ) | $ | 12,959 | ($34,765 | ) | ||||||||||||||||||||||||||||||||||||||||
Centrally cleared | CDX-EMS27V1-5Y | 2.014.% | 1,746,000 | USD | 1,746,000 | 1.000% | Quarterly | Jun 2022 | (73,194 | ) | (6,154 | ) | (79,348 | ) | ||||||||||||||||||||||||||||||||
$1,746,000 | ($73,194 | ) | ($6,154 | ) | ($79,348 | ) | ||||||||||||||||||||||||||||||||||||||||
$2,818,000 | ($120,918 | ) | $ | 6,805 | ($114,113 | ) |
Counterparty (OTC) | | Receive | | Pay | | Payment frequency | | Maturity date | | Notional amount of currency received | | Notional amount of currency delivered | | Unamortized upfront payment | | Unrealized appreciation (depreciation) | | Value | | ||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Goldman Sachs International | Floating rate equal to 3 Month USD-LIBOR-BBA based on the notional amount of the currency received | Fixed rate equal 4.585% based on the notional amount of the currency received | Quarterly | Sep 2022 | USD | $ | 244,183 | CNY | 1,700,000 | — | ($5,812 | ) | ($5,812) | ||||||||||||||||||||||||||||||||||
— | ($5,812 | ) | ($5,812) |
ARS | Argentine Peso | |||||
BRL | Brazilian Real | |||||
CNY | Yuan Renminbi | |||||
EGP | Egyptian Pound | |||||
EUR | Euro | |||||
MXN | Mexican Peso | |||||
RON | Romanian Leu | |||||
USD | United States Dollar |
BBA | British Bankers’ Association | |||||
CDX | Central Data Exchange | |||||
ITRAXX | Thomson Reuters Eikon | |||||
LIBOR | London Interbank Offered Rate | |||||
OIS | Overnight Indexed Swap | |||||
OTC | Over-the-counter |
See Notes to financial statements regarding investment transactions and other derivatives information.
Shares or Principal Amount | Value | | % of Net Assets | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
U.S. GOVERNMENT AND AGENCY OBLIGATIONS – 102.5% | ||||||||||||||||||
U.S. Treasury Bills – 5.5% | ||||||||||||||||||
0.615%, 07/20/2017 | $ | 75,000,000 | $ | 74,976,013 | 3.6 | % | ||||||||||||
1.019%, 09/21/2017 | 40,000,000 | 39,908,661 | 1.9 | % | ||||||||||||||
114,884,674 | ||||||||||||||||||
U.S. Treasury Notes – 5.1% | ||||||||||||||||||
0.965%, 07/31/2017 | 60,000,000 | 59,977,301 | 2.9 | % | ||||||||||||||
1.174%, 12/31/2017 | 45,000,000 | 45,348,559 | 2.2 | % | ||||||||||||||
105,325,860 | ||||||||||||||||||
Federal Agricultural Mortgage Corp. – 22.8% | ||||||||||||||||||
0.760%, 07/03/2017 | 17,200,000 | 17,199,283 | 0.9 | % | ||||||||||||||
0.893%, 09/01/2017 (F) | 25,000,000 | 25,009,645 | 1.2 | % | ||||||||||||||
0.954%, 03/01/2018 (F) | 75,000,000 | 75,000,000 | 3.6 | % | ||||||||||||||
0.974%, 05/01/2018 (F) | 25,000,000 | 25,000,000 | 1.2 | % | ||||||||||||||
0.989%, 04/03/2018 (F) | 50,000,000 | 50,000,000 | 2.4 | % | ||||||||||||||
1.010%, 08/23/2017 (F) | 15,000,000 | 14,999,782 | 0.7 | % | ||||||||||||||
1.111%, 02/23/2018 to 04/25/2018 (F) | 100,000,000 | 100,000,000 | 4.8 | % | ||||||||||||||
1.141%, 06/26/2018 (F) | 41,000,000 | 41,000,000 | 2.0 | % | ||||||||||||||
1.152%, 07/03/2017 (F) | 75,000,000 | 75,000,000 | 3.6 | % | ||||||||||||||
1.196%, 01/18/2018 (F) | 50,000,000 | 50,000,000 | 2.4 | % | ||||||||||||||
473,208,710 | ||||||||||||||||||
Federal Farm Credit Bank – 7.2% | ||||||||||||||||||
0.760%, 07/03/2017 | 25,000,000 | 24,998,958 | 1.2 | % | ||||||||||||||
1.068%, 10/12/2017 | 25,000,000 | 24,924,896 | 1.2 | % | ||||||||||||||
1.090%, 01/22/2018 (F) | 28,000,000 | 28,030,831 | 1.4 | % | ||||||||||||||
1.146%, 12/18/2017 | 18,297,000 | 18,294,855 | 0.9 | % | ||||||||||||||
1.260%, 11/13/2017 (F) | 20,000,000 | 19,998,879 | 1.0 | % | ||||||||||||||
1.308%, 08/28/2017 (F) | 20,000,000 | 20,000,000 | 1.0 | % | ||||||||||||||
OTHER SECURITIES | 12,131,782 | 0.5 | % | |||||||||||||||
148,380,201 | ||||||||||||||||||
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (continued) | ||||||||||||||||||
Federal Home Loan Bank – 53.0% | ||||||||||||||||||
0.608%, 07/12/2017 to 07/14/2017 | $ | 51,405,000 | $ | 51,393,047 | 2.5 | % | ||||||||||||
0.614%, 07/14/2017 | 70,000,000 | 69,984,706 | 3.4 | % | ||||||||||||||
0.634%, 07/07/2017 to 07/19/2017 | 38,360,000 | 38,351,212 | 1.8 | % | ||||||||||||||
0.645%, 07/28/2017 | 18,265,000 | 18,256,287 | 0.9 | % | ||||||||||||||
0.660%, 08/11/2017 | 12,605,000 | 12,595,669 | 0.6 | % | ||||||||||||||
0.680%, 08/18/2017 | 8,400,000 | 8,392,496 | 0.4 | % | ||||||||||||||
0.893%, 07/14/2017 | 16,170,000 | 16,164,862 | 0.8 | % | ||||||||||||||
0.923%, 07/19/2017 | 40,000,000 | 39,981,800 | 1.9 | % | ||||||||||||||
0.938%, 02/15/2018 (F) | 15,000,000 | 15,010,112 | 0.7 | % | ||||||||||||||
0.939%, 08/09/2017 | 20,000,000 | 19,979,958 | 1.0 | % | ||||||||||||||
0.962%, 08/16/2017 | 50,000,000 | 49,939,433 | 2.4 | % | ||||||||||||||
0.975%, 09/05/2017 | 20,000,000 | 19,964,800 | 1.0 | % | ||||||||||||||
0.985%, 07/09/2018 (F) | 13,400,000 | 13,395,021 | 0.7 | % | ||||||||||||||
1.009%, 07/21/2017 | 15,200,000 | 15,191,598 | 0.7 | % | ||||||||||||||
1.013%, 07/12/2017 | 25,000,000 | 24,992,369 | 1.2 | % | ||||||||||||||
1.014%, 07/07/2017 to 07/14/2017 | 210,111,000 | 210,054,935 | 10.1 | % | ||||||||||||||
1.015%, 07/20/2017 to 08/16/2017 | 38,335,000 | 38,301,756 | 1.9 | % | ||||||||||||||
1.018%, 07/11/2017 to 07/26/2017 | 122,900,000 | 122,815,607 | 5.9 | % | ||||||||||||||
1.024%, 07/12/2017 to 07/14/2017 | 11,640,000 | 11,636,267 | 0.5 | % | ||||||||||||||
1.031%, 12/13/2017 (F) | 48,300,000 | 48,301,046 | 2.3 | % | ||||||||||||||
1.059%, 10/18/2017 (F) | 75,000,000 | 75,000,000 | 3.6 | % | ||||||||||||||
1.065%, 09/15/2017 | 50,000,000 | 49,889,378 | 2.4 | % | ||||||||||||||
1.074%, 12/18/2017 (F) | 10,000,000 | 10,007,063 | 0.5 | % | ||||||||||||||
1.079%, 12/18/2017 (F) | 45,000,000 | 44,998,549 | 2.2 | % | ||||||||||||||
1.142%, 12/22/2017 | 12,176,000 | 12,110,087 | 0.6 | % | ||||||||||||||
OTHER SECURITIES | 62,373,540 | 3.0 | % | |||||||||||||||
1,099,081,598 |
Shares or Principal Amount | Value | | % of Net Assets | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (continued) | |||||||||||||||||||||
Federal Home Loan Mortgage Corp. – 4.2% | |||||||||||||||||||||
0.981%, 01/11/2018 (F) | $ | 75,000,000 | $ | 75,000,000 | 3.6 | % | |||||||||||||||
1.247%, 06/22/2018 | 8,000,000 | 7,985,324 | 0.4 | % | |||||||||||||||||
OTHER SECURITIES | 4,896,966 | 0.2 | % | ||||||||||||||||||
87,882,290 | |||||||||||||||||||||
Federal National Mortgage Association – 4.4% | |||||||||||||||||||||
0.598%, 07/12/2017 | 24,900,000 | 24,895,511 | 1.2 | % | |||||||||||||||||
0.710%, 08/01/2017 | 10,000,000 | 9,993,972 | 0.5 | % | |||||||||||||||||
0.963%, 07/05/2017 | 40,000,000 | 39,997,889 | 1.9 | % | |||||||||||||||||
OTHER SECURITIES | 17,072,631 | 0.8 | % | ||||||||||||||||||
91,960,003 | |||||||||||||||||||||
Private Export Funding Corp. – 0.2% | 5,024,400 | 0.2 | % | ||||||||||||||||||
Tennessee Valley Authority – 0.1% | 1,309,023 | 0.1 | % | ||||||||||||||||||
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (Cost $2,127,056,759) | $ | 2,127,056,759 | |||||||||||||||||||
Total Investments (Money Market Trust) (Cost $2,127,056,759) – 102.5% | $ | 2,127,056,759 | 102.5 | % | |||||||||||||||||
Other assets and liabilities, net – (2.5%) | (52,047,412 | ) | (2.5 | )% | |||||||||||||||||
TOTAL NET ASSETS – 100.0% | $ | 2,075,009,347 | 100.0 | % |
(F) | Variable rate obligation. |
Shares or Principal Amount | Value | | % of Net Assets | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
U.S. GOVERNMENT AND AGENCY OBLIGATIONS – 39.5% | ||||||||||||||||||
Treasury Inflation Protected Securities – 1.5% | ||||||||||||||||||
0.125%, 07/15/2026 | $ | 13,760,070 | $ | 13,269,289 | 1.0 | % | ||||||||||||
0.625%, 01/15/2026 | 7,327,849 | �� | 7,372,776 | 0.5 | % | |||||||||||||
20,642,065 | ||||||||||||||||||
U.S. Treasury Bonds – 6.4% | ||||||||||||||||||
2.500%, 02/15/2045 to 05/15/2046 | 17,335,000 | 16,169,715 | 1.1 | % | ||||||||||||||
2.875%, 11/15/2046 | 13,210,000 | 13,305,469 | 1.0 | % | ||||||||||||||
3.000%, 11/15/2044 to 11/15/2045 | 18,825,000 | 19,432,347 | 1.4 | % | ||||||||||||||
3.125%, 02/15/2043 | 26,395,000 | 27,915,801 | 2.0 | % | ||||||||||||||
5.375%, 02/15/2031 | 7,760,000 | 10,436,292 | 0.7 | % | ||||||||||||||
OTHER SECURITIES | 2,859,757 | 0.2 | % | |||||||||||||||
90,119,381 | ||||||||||||||||||
U.S. Treasury Notes – 5.2% | ||||||||||||||||||
1.250%, 10/31/2018 | 18,715,000 | 18,693,066 | 1.3 | % | ||||||||||||||
1.500%, 05/31/2019 (D) | 18,425,000 | 18,466,032 | 1.3 | % | ||||||||||||||
2.000%, 08/31/2021 | 17,835,000 | 17,990,361 | 1.3 | % | ||||||||||||||
2.250%, 02/15/2027 | 10,995,000 | 10,946,039 | 0.8 | % | ||||||||||||||
OTHER SECURITIES | 6,510,407 | 0.5 | % | |||||||||||||||
72,605,905 | ||||||||||||||||||
Federal Home Loan Mortgage Corp. – 2.7% | ||||||||||||||||||
3.000%, 01/01/2043 to 03/01/2043 | 8,935,728 | 8,962,214 | 0.6 | % | ||||||||||||||
3.500%, 03/01/2043 to 05/01/2046 | 9,690,798 | 9,994,391 | 0.8 | % | ||||||||||||||
4.000%, 05/01/2026 to 02/01/2041 | 8,685,637 | 9,182,190 | 0.7 | % | ||||||||||||||
4.500%, 11/01/2018 to 10/01/2039 | 5,223,098 | 5,631,742 | 0.4 | % | ||||||||||||||
OTHER SECURITIES | 3,904,181 | 0.2 | % | |||||||||||||||
37,674,718 | ||||||||||||||||||
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (continued) | ||||||||||||||||||
Federal National Mortgage Association – 17.1% | ||||||||||||||||||
2.500%, to 01/01/1900 TBA (C) | $ | 5,947,760 | $ | 5,981,001 | 0.5 | % | ||||||||||||
2.500%, 07/01/2030 to 03/01/2043 | 17,864,380 | 17,894,858 | 1.3 | % | ||||||||||||||
3.000%, 01/01/2027 to 01/01/2047 | 70,173,874 | 70,461,685 | 5.2 | % | ||||||||||||||
3.500%, TBA (C) | 6,755,000 | 6,934,623 | 0.5 | % | ||||||||||||||
3.500%, TBA | 6,985,000 | 7,178,651 | 0.5 | % | ||||||||||||||
3.500%, 06/01/2042 to 04/01/2047 | 65,234,510 | 67,120,368 | 5.1 | % | ||||||||||||||
4.000%, TBA (C) | 4,535,000 | 4,765,614 | 0.3 | % | ||||||||||||||
4.000%, 11/01/2025 to 09/01/2046 | 22,825,080 | 24,102,233 | 1.6 | % | ||||||||||||||
4.500%, 05/01/2019 to 09/01/2042 | 7,651,743 | 8,240,519 | 0.6 | % | ||||||||||||||
5.000%, 05/01/2018 to 06/01/2040 | 12,262,986 | 13,436,220 | 0.7 | % | ||||||||||||||
5.500%, 08/01/2017 to 09/01/2041 | 5,563,422 | 6,178,027 | 0.4 | % | ||||||||||||||
6.000%, 09/01/2017 to 09/01/2038 | 5,294,526 | 6,021,728 | 0.4 | % | ||||||||||||||
OTHER SECURITIES | 948,627 | 0.0 | % | |||||||||||||||
239,264,154 | ||||||||||||||||||
Government National Mortgage Association – 6.6% | ||||||||||||||||||
2.500%, 11/20/2042 to 07/20/2043 | 7,987,847 | 7,799,026 | 0.7 | % | ||||||||||||||
3.000%, 10/15/2042 to 11/20/2046 | 9,309,992 | 9,419,610 | 0.7 | % | ||||||||||||||
3.500%, 09/15/2041 to 05/20/2043 | 11,891,867 | 12,374,368 | 1.0 | % | ||||||||||||||
4.000%, 02/15/2041 to 05/20/2047 | 26,785,297 | 28,258,482 | 2.0 | % | ||||||||||||||
4.500%, 01/15/2019 to 04/20/2047 | 23,594,863 | 25,161,909 | 1.8 | % | ||||||||||||||
OTHER SECURITIES | 9,730,866 | 0.4 | % | |||||||||||||||
92,744,261 | ||||||||||||||||||
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (Cost $552,156,223) | $ | 553,050,484 | ||||||||||||||||
FOREIGN GOVERNMENT OBLIGATIONS – 1.3% | ||||||||||||||||||
Bermuda – 0.1% | 2,026,552 | 0.1 | % | |||||||||||||||
Indonesia – 0.1% | 734,963 | 0.1 | % | |||||||||||||||
Israel – 0.3% | 3,640,171 | 0.3 | % | |||||||||||||||
Mexico – 0.7% | ||||||||||||||||||
Government of Mexico 10.000%, 12/05/2024 | MXN | 73,675,000 | 4,836,539 | 0.3 | % | |||||||||||||
OTHER SECURITIES | 5,210,134 | 0.4 | % | |||||||||||||||
10,046,673 | ||||||||||||||||||
Morocco – 0.1% | 1,774,496 | 0.1 | % | |||||||||||||||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost $17,808,435) | $ | 18,222,855 | ||||||||||||||||
CORPORATE BONDS – 32.4% | ||||||||||||||||||
Consumer discretionary – 3.8% | ||||||||||||||||||
Charter Communications Operating LLC 6.484%, 10/23/2045 | $ | 4,345,000 | 5,221,404 | 0.4 | % | |||||||||||||
OTHER SECURITIES | 48,506,290 | 3.4 | % | |||||||||||||||
53,727,694 |
Shares or Principal Amount | Value | | % of Net Assets | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS (continued) | |||||||||||||||||||||
Consumer staples – 1.2% | |||||||||||||||||||||
Anheuser-Busch InBev Finance, Inc. 4.900%, 02/01/2046 | $ | 6,200,000 | $ | 7,007,438 | 0.5 | % | |||||||||||||||
OTHER SECURITIES | 9,851,467 | 0.7 | % | ||||||||||||||||||
16,858,905 | |||||||||||||||||||||
Energy – 2.9% | 41,045,095 | 2.9 | % | ||||||||||||||||||
Financials – 9.8% | |||||||||||||||||||||
Bank of America Corp. 3.300%, 01/11/2023 | 6,955,000 | 7,091,102 | 0.5 | % | |||||||||||||||||
Citigroup, Inc. 3.200%, 10/21/2026 | 4,840,000 | 4,707,505 | 0.3 | % | |||||||||||||||||
JPMorgan Chase & Co. 2.383%, 10/24/2023 (P) | 6,895,000 | 6,998,646 | 0.5 | % | |||||||||||||||||
Morgan Stanley 3.750%, 02/25/2023 | 8,280,000 | 8,609,503 | 0.6 | % | |||||||||||||||||
OTHER SECURITIES | 109,719,225 | 7.9 | % | ||||||||||||||||||
137,125,981 | |||||||||||||||||||||
Health care – 3.5% | |||||||||||||||||||||
Express Scripts Holding Company 4.500%, 02/25/2026 (L) | 4,339,000 | 4,598,936 | 0.3 | % | |||||||||||||||||
OTHER SECURITIES | 44,607,315 | 3.2 | % | ||||||||||||||||||
49,206,251 | |||||||||||||||||||||
Industrials – 2.2% | 30,582,856 | 2.2 | % | ||||||||||||||||||
Information technology – 2.4% | |||||||||||||||||||||
Apple, Inc. 3.000%, 02/09/2024 | 8,230,000 | 8,352,742 | 0.6 | % | |||||||||||||||||
OTHER SECURITIES | 25,171,874 | 1.8 | % | ||||||||||||||||||
33,524,616 | |||||||||||||||||||||
Materials – 1.0% | 14,458,148 | 1.0 | % | ||||||||||||||||||
Real estate – 2.3% | 32,214,309 | 2.3 | % | ||||||||||||||||||
Telecommunication services – 1.5% | |||||||||||||||||||||
Verizon Communications, Inc. 4.272%, 01/15/2036 | 5,495,000 | 5,309,423 | 0.4 | % | |||||||||||||||||
OTHER SECURITIES | 15,851,691 | 1.1 | % | ||||||||||||||||||
21,161,114 | |||||||||||||||||||||
Utilities – 1.8% | 24,461,840 | 1.8 | % | ||||||||||||||||||
TOTAL CORPORATE BONDS (Cost $440,782,159) | $ | 454,366,809 | |||||||||||||||||||
MUNICIPAL BONDS – 1.4% | |||||||||||||||||||||
TOTAL MUNICIPAL BONDS (Cost $17,092,826) | $ | 19,583,352 | |||||||||||||||||||
TERM LOANS (M) – 2.5% | |||||||||||||||||||||
Consumer discretionary – 0.4% | 6,389,128 | 0.4 | % | ||||||||||||||||||
Consumer staples – 0.1% | 780,554 | 0.1 | % | ||||||||||||||||||
Financials – 0.3% | 4,819,968 | 0.3 | % | ||||||||||||||||||
Health care – 0.3% | 4,643,766 | 0.3 | % | ||||||||||||||||||
Industrials – 0.4% | 5,045,291 | 0.4 | % | ||||||||||||||||||
Information technology – 0.5% | 6,925,693 | 0.5 | % | ||||||||||||||||||
Materials – 0.1% | 1,119,395 | 0.1 | % | ||||||||||||||||||
Telecommunication services – 0.3% | 3,676,846 | 0.3 | % | ||||||||||||||||||
Utilities – 0.1% | 1,443,902 | 0.1 | % | ||||||||||||||||||
TOTAL TERM LOANS (Cost $34,881,075) | $ | 34,844,543 | |||||||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS – 8.2% | |||||||||||||||||||||
Commercial and residential – 5.4% | |||||||||||||||||||||
Commercial Mortgage Trust (Cantor Fitzgerald/Deutsche Bank AG), 3.528%, 12/10/2047 | $ | 7,265,000 | $ | 7,499,123 | 0.5 | % | |||||||||||||||
Commercial Mortgage Trust (Deutsche Bank AG), 4.006%, 04/10/2047 | 4,175,000 | 4,433,673 | 0.3 | % | |||||||||||||||||
OTHER SECURITIES | 63,344,258 | 4.6 | % | ||||||||||||||||||
75,277,054 | |||||||||||||||||||||
Federal Home Loan Mortgage Corp. – 1.6% | 22,712,123 | 1.6 | % | ||||||||||||||||||
Federal National Mortgage Association – 1.2% | 16,922,699 | 1.2 | % | ||||||||||||||||||
Government National Mortgage Association – 0.0% | 625,505 | 0.0 | % | ||||||||||||||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $115,085,243) | $ | 115,537,381 | |||||||||||||||||||
ASSET BACKED SECURITIES – 11.1% | |||||||||||||||||||||
Ally Master Owner Trust, 1.630%, 05/15/2020 | 8,360,000 | 8,361,263 | 0.6 | % | |||||||||||||||||
Avis Budget Rental Car Funding AESOP LLC, 2.460%, 07/20/2020 (S) | 5,450,000 | 5,464,459 | 0.4 | % | |||||||||||||||||
Ford Credit Auto Owner Trust, 2.030%, 12/15/2027 (S) | 4,930,000 | 4,893,584 | 0.4 | % | |||||||||||||||||
Kubota Credit Owner Trust, 1.670%, 07/15/2020 (S) | 5,075,000 | 5,078,479 | 0.4 | % | |||||||||||||||||
Synchrony Credit Card Master Note Trust, 2.220%, 01/15/2022 | 5,465,000 | 5,505,797 | 0.4 | % | |||||||||||||||||
OTHER SECURITIES | 126,375,116 | 8.9 | % | ||||||||||||||||||
TOTAL ASSET BACKED SECURITIES (Cost $155,450,785) | $ | 155,678,698 | |||||||||||||||||||
SECURITIES LENDING COLLATERAL – 0.6% | |||||||||||||||||||||
John Hancock Collateral Trust, 1.1508% (W)(Y) | 839,845 | $ | 8,403,401 | 0.6 | % | ||||||||||||||||
TOTAL SECURITIES LENDING COLLATERAL (Cost $8,403,438) | $ | 8,403,401 | |||||||||||||||||||
SHORT-TERM INVESTMENTS – 4.6% | |||||||||||||||||||||
Certificate of deposit – 0.2% | $ | 3,520,610 | 0.2 | % | |||||||||||||||||
Commercial paper – 0.7% | 9,810,611 | 0.7 | % | ||||||||||||||||||
Money market funds – 3.7% | |||||||||||||||||||||
T. Rowe Price Government Money Fund, 0.9816% (Y) | 51,530,024 | 51,530,024 | 3.7 | % | |||||||||||||||||
Repurchase agreement – 0.0% | 123,434 | 0.0 | % | ||||||||||||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $64,976,754) | $ | 64,984,679 | |||||||||||||||||||
Total Investments (New Income Trust) (Cost $1,406,636,938) – 101.6% | $ | 1,424,672,202 | 101.6 | % | |||||||||||||||||
Other assets and liabilities, net – (1.6%) | (22,756,807 | ) | (1.6 | )% | |||||||||||||||||
TOTAL NET ASSETS – 100.0% | $ | 1,401,915,395 | 100.0 | % |
MXN | Mexican Peso |
TBA | To Be Announced. A forward mortgage-backed securities trade issued by a U.S. Government Agency, to be delivered at an agreed-upon future settlement date. | |||||
(C) | Security purchased or sold on a when-issued or delayed delivery basis. | |||||
(D) | All or a portion of this security is segregated at the custodian as collateral for certain derivatives. | |||||
(L) | A portion of this security is on loan as of 6-30-17. | |||||
(M) | Term loans are variable rate obligations. The coupon rate shown represents the rate at period end. | |||||
(P) | Variable rate obligation. The coupon rate shown represents the rate at period end. | |||||
(S) | These securities are exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be resold, normally to qualified institutional buyers, in transactions exempt from registration. Rule 144A securities amounted to $193,327,016 or 13.8% of the fund’s net assets as of 6-30-17. | |||||
(W) | Investment is an affiliate of the fund, the advisor and/or subadvisor. This security represents the investment of cash collateral received for securities lending. | |||||
(Y) | The rate shown is the annualized seven-day yield as of 6-30-17. |
Open contracts | | Number of contracts | | Position | | Expiration date | | Notional basis* | | Notional value* | | Unrealized appreciation (depreciation) | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
2-Year U.S. Treasury Note Futures | 163 | Long | Sep 2017 | $ | 35,254,106 | $ | 35,225,828 | ($28,278 | ) | |||||||||||||||||
5-Year U.S. Treasury Note Futures | 468 | Long | Sep 2017 | 55,191,847 | 55,147,219 | (44,628 | ) | |||||||||||||||||||
10-Year Ultra U.S. Treasury Bond Futures | 418 | Short | Sep 2017 | (56,427,655 | ) | (56,351,626 | ) | 76,029 | ||||||||||||||||||
10-Year U.S. Treasury Note Futures | 12 | Long | Sep 2017 | 1,515,019 | 1,506,375 | (8,644 | ) | |||||||||||||||||||
U.S. Treasury Long Bond Futures | 151 | Long | Sep 2017 | 22,956,961 | 23,206,812 | 249,851 | ||||||||||||||||||||
Ultra U.S. Treasury Bond Futures | 24 | Long | Sep 2017 | 4,022,392 | 3,981,000 | (41,392 | ) | |||||||||||||||||||
$ | 202,938 |
* | Notional basis refers to the contractual amount agreed upon at inception of open contracts; notional value represents the current value of the open contract. |
Contract to buy | Contract to sell | | Counterparty (OTC) | | Contractual settlement date | | Unrealized appreciation | | Unrealized depreciation | | ||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
EUR | 1,275,382 | USD | 1,390,829 | �� | Canadian Imperial Bank of Commerce | 7/21/2017 | $ | 67,041 | — | |||||||||||||||||||||||
USD | 1,401,095 | EUR | 1,275,382 | Royal Bank of Canada (UK) | 7/21/2017 | — | ($56,775 | ) | ||||||||||||||||||||||||
USD | 3,519,252 | ILS | 12,631,107 | HSBC Bank USA | 8/17/2017 | — | (107,579 | ) | ||||||||||||||||||||||||
USD | 1,126,314 | MXN | 21,450,000 | Citibank N.A. | 7/14/2017 | — | (53,893 | ) | ||||||||||||||||||||||||
USD | 2,370,102 | MXN | 43,162,000 | HSBC Bank USA | 7/14/2017 | — | (4,728 | ) | ||||||||||||||||||||||||
$ | 67,041 | ($222,975 | ) |
EUR | Euro | |||||
ILS | Israel Shekel | |||||
MXN | Mexican Peso | |||||
USD | United States Dollar |
OTC | Over-the-counter |
See Notes to financial statements regarding investment transactions and other derivatives information.
Shares or Principal Amount | Value | | % of Net Assets | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
U.S. GOVERNMENT AND AGENCY OBLIGATIONS – 92.8% | ||||||||||||||||||
U.S. Treasury Notes – 27.1% | ||||||||||||||||||
0.875%, 07/15/2018 | $ | 10,395,000 | $ | 10,350,737 | 3.4 | % | ||||||||||||
1.000%, 03/15/2019 | 6,595,000 | 6,554,038 | 2.2 | % | ||||||||||||||
1.125%, 06/30/2021 | 4,533,000 | 4,423,746 | 1.5 | % | ||||||||||||||
1.250%, 12/31/2018 to 03/31/2021 | 24,205,000 | 24,056,284 | 7.8 | % | ||||||||||||||
1.375%, 09/30/2020 | 2,130,000 | 2,114,108 | 0.7 | % | ||||||||||||||
1.500%, 05/15/2020 | 4,935,000 | 4,929,216 | 1.6 | % | ||||||||||||||
1.625%, 06/30/2020 | 22,850,000 | 22,888,388 | 7.5 | % | ||||||||||||||
1.750%, 11/30/2021 | 5,030,000 | 5,016,640 | 1.6 | % | ||||||||||||||
1.875%, 04/30/2022 | 2,415,000 | 2,414,341 | 0.8 | % | ||||||||||||||
82,747,498 | ||||||||||||||||||
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (continued) | ||||||||||||||||||
Federal Agricultural Mortgage Corp. – 15.8% | ||||||||||||||||||
0.970%, 07/26/2019 | $ | 9,580,000 | $ | 9,462,453 | 3.1 | % | ||||||||||||
1.430%, 04/18/2019 | 6,000,000 | 5,996,700 | 2.0 | % | ||||||||||||||
1.640%, 04/17/2020 | 8,100,000 | 8,090,385 | 2.7 | % | ||||||||||||||
1.675%, 02/24/2020 | 5,240,000 | 5,242,258 | 1.7 | % | ||||||||||||||
1.750%, 06/15/2020 | 5,215,000 | 5,216,465 | 1.7 | % | ||||||||||||||
2.000%, 01/15/2021 | 13,945,000 | 14,022,967 | 4.6 | % | ||||||||||||||
48,031,228 | ||||||||||||||||||
Federal Farm Credit Bank – 9.4% | ||||||||||||||||||
1.080%, 07/05/2019 | 4,815,000 | 4,772,517 | 1.6 | % | ||||||||||||||
1.160%, 11/01/2019 | 6,355,000 | 6,299,140 | 2.1 | % |
Shares or Principal Amount | Value | | % of Net Assets | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (continued) | ||||||||||||||||||
Federal Farm Credit Bank – (continued) | ||||||||||||||||||
1.290%, 07/13/2020 | $ | 5,210,000 | $ | 5,142,369 | 1.7 | % | ||||||||||||
1.440%, 08/16/2021 | 6,720,000 | 6,568,269 | 2.1 | % | ||||||||||||||
1.680%, 04/05/2021 | 6,110,000 | 5,956,816 | 1.9 | % | ||||||||||||||
28,739,111 | ||||||||||||||||||
Federal Home Loan Bank – 5.5% | ||||||||||||||||||
1.125%, 10/11/2019 | 4,805,000 | 4,754,696 | 1.6 | % | ||||||||||||||
1.550%, 10/26/2020 | �� | 5,825,000 | 5,750,021 | 1.9 | % | |||||||||||||
1.700%, 04/26/2021 | 6,250,000 | 6,102,813 | 2.0 | % | ||||||||||||||
16,607,530 | ||||||||||||||||||
Federal Home Loan Mortgage Corp. – 11.5% | ||||||||||||||||||
1.250%, 07/26/2019 | 3,975,000 | 3,951,587 | 1.3 | % | ||||||||||||||
1.300%, 08/23/2019 | 6,405,000 | 6,370,804 | 2.1 | % | ||||||||||||||
1.765%, 06/26/2020 | 6,805,000 | 6,784,755 | 2.2 | % | ||||||||||||||
1.800%, 04/28/2020 to 05/28/2020 | 11,605,000 | 11,578,492 | 3.8 | % | ||||||||||||||
3.000%, 07/01/2030 to 11/01/2030 | 4,144,809 | 4,267,715 | 1.4 | % | ||||||||||||||
5.500%, 07/01/2040 | 1,920,249 | 2,177,077 | 0.7 | % | ||||||||||||||
OTHER SECURITIES | 1,197 | 0.0 | % | |||||||||||||||
35,131,627 | ||||||||||||||||||
Federal National Mortgage Association – 14.8% | ||||||||||||||||||
1.250%, 08/23/2019 | 8,255,000 | 8,202,614 | 2.7 | % | ||||||||||||||
1.750%, 02/07/2020 | 6,220,000 | 6,221,518 | 2.0 | % | ||||||||||||||
2.500%, 10/01/2027 | 1,939,435 | 1,958,847 | 0.7 | % | ||||||||||||||
3.000%, 03/01/2028 to 03/01/2031 | 24,624,872 | 25,352,758 | 8.2 | % | ||||||||||||||
3.500%, 12/01/2025 | 1,033,869 | 1,076,452 | 0.4 | % | ||||||||||||||
5.500%, 03/01/2035 to 08/01/2040 | 1,251,587 | 1,390,588 | 0.5 | % | ||||||||||||||
6.500%, 01/01/2039 | 817,823 | 940,453 | 0.3 | % | ||||||||||||||
OTHER SECURITIES | 5,021 | 0.0 | % | |||||||||||||||
45,148,251 | ||||||||||||||||||
Government National Mortgage Association – 0.0% | 399 | 0.0 | % | |||||||||||||||
Tennessee Valley Authority – 8.7% | ||||||||||||||||||
1.750%, 10/15/2018 | 4,635,000 | 4,658,764 | 1.5 | % | ||||||||||||||
3.875%, 02/15/2021 | 13,070,000 | 14,035,991 | 4.6 | % | ||||||||||||||
4.500%, 04/01/2018 | 7,729,000 | 7,909,502 | 2.6 | % | ||||||||||||||
26,604,257 | ||||||||||||||||||
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (Cost $284,502,581) | $ | 283,009,901 | ||||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS – 4.2% | ||||||||||||||||||
Federal Home Loan Mortgage Corp. – 2.3% | ||||||||||||||||||
0.323%, 04/25/2023 | 145,534,337 | 1,556,854 | 0.5 | % | ||||||||||||||
0.767%, 01/25/2022 | 20,936,201 | 527,668 | 0.2 | % | ||||||||||||||
1.337%, 03/25/2024 | 8,566,923 | 552,221 | 0.2 | % | ||||||||||||||
1.386%, 07/25/2022 | 11,871,550 | 616,792 | 0.2 | % | ||||||||||||||
1.508%, 12/25/2021 | 24,519,260 | 1,216,459 | 0.4 | % | ||||||||||||||
2.000%, 04/15/2031 | 946,187 | 949,021 | 0.3 | % | ||||||||||||||
OTHER SECURITIES | 1,372,690 | 0.5 | % | |||||||||||||||
6,791,705 | ||||||||||||||||||
Federal National Mortgage Association – 1.2% | ||||||||||||||||||
3.500%, 08/25/2043 | 1,456,120 | 1,522,622 | 0.5 | % | ||||||||||||||
4.000%, 03/25/2039 | 2,088,809 | 2,171,900 | 0.7 | % | ||||||||||||||
3,694,522 | ||||||||||||||||||
Government National Mortgage Association – 0.7% | 2,128,992 | 0.7 | % | |||||||||||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $12,503,881) | $ | 12,615,219 | ||||||||||||||||
SHORT-TERM INVESTMENTS – 3.4% | ||||||||||||||||||
U.S. Government Agency – 3.1% | ||||||||||||||||||
Federal Home Loan Bank Discount Note 0.500%, 07/03/2017* | $ | 9,499,000 | $ | 9,499,000 | 3.1 | % | ||||||||||||
Repurchase agreement – 0.3% | ||||||||||||||||||
Barclays Tri-Party Repurchase Agreement dated 06/30/2017 at 1.050% to be repurchased at $441,039 on 07/03/2017, collateralized by $447,900 U.S. Treasury Bonds, 2.750% due 08/15/2042 (valued at $449,448, including interest) and $400 U.S. Treasury Inflation Indexed Bonds, 0.625%–1.750% due 01/15/2028 to 02/15/2047 (valued at $428, including interest) | 441,000 | 441,000 | 0.1 | % | ||||||||||||||
Repurchase Agreement with State Street Corp. dated 06/30/2017 at 0.340% to be repurchased at $521,015 on 07/03/2017, collateralized by $540,000 U.S. Treasury Notes, 1.125% due 02/28/2021 (valued at $531,557, including interest) | 521,000 | 521,000 | 0.2 | % | ||||||||||||||
962,000 | ||||||||||||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $10,460,697) | $ | 10,461,000 | ||||||||||||||||
Total Investments (Short Term Government Income Trust) (Cost $307,467,159) – 100.4% | $ | 306,086,120 | 100.4 | % | ||||||||||||||
Other assets and liabilities, net – (0.4%) | (1,116,870 | ) | (0.4 | )% | ||||||||||||||
TOTAL NET ASSETS – 100.0% | $ | 304,969,250 | 100.0 | % |
* | Yield represents either the annualized yield at the date of purchase, the stated coupon rate or, for floating rate securities, the rate at period end. |
Shares or Principal Amount | Value | | % of Net Assets | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
FOREIGN GOVERNMENT OBLIGATIONS – 17.4% | ||||||||||||||||||
Australia – 2.2% | ||||||||||||||||||
New South Wales Treasury Corp. 6.000%, 05/01/2020 to 03/01/2022 | AUD | 5,205,000 | $ | 4,490,852 | 0.7 | % | ||||||||||||
Queensland Treasury Corp. 5.500%, 06/21/2021 | 5,485,000 | 4,718,957 | 0.8 | % | ||||||||||||||
OTHER SECURITIES | 4,701,474 | 0.7 | % | |||||||||||||||
13,911,283 | ||||||||||||||||||
Brazil – 0.4% | ||||||||||||||||||
Federative Republic of Brazil 10.000%, 01/01/2018 | BRL | 8,920,000 | 2,706,506 | 0.4 | % | |||||||||||||
Canada – 1.9% | ||||||||||||||||||
Government of Canada 1.250%, 03/01/2018 | CAD | 4,220,000 | 3,261,193 | 0.5 | % | |||||||||||||
OTHER SECURITIES | 8,579,306 | 1.4 | % | |||||||||||||||
11,840,499 |
Shares or Principal Amount | Value | | % of Net Assets | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
FOREIGN GOVERNMENT OBLIGATIONS (continued) | |||||||||||||||||||||
Colombia – 0.6% | $ | 3,436,093 | 0.6 | % | |||||||||||||||||
Finland – 0.2% | 1,180,618 | 0.2 | % | ||||||||||||||||||
India – 0.8% | �� | ||||||||||||||||||||
Republic of India 7.800%, 04/11/2021 | INR | 200,000,000 | 3,216,399 | 0.5 | % | ||||||||||||||||
OTHER SECURITIES | 1,458,729 | 0.3 | % | ||||||||||||||||||
4,675,128 | |||||||||||||||||||||
Indonesia – 2.3% | |||||||||||||||||||||
Republic of Indonesia 7.000%, 05/15/2022 to 05/15/2027 | IDR | 45,076,000,000 | 3,425,629 | 0.6 | % | ||||||||||||||||
Republic of Indonesia 8.250%, 07/15/2021 | 29,860,000,000 | 2,359,952 | 0.4 | % | |||||||||||||||||
Republic of Indonesia 8.375%, 03/15/2024 to 09/15/2026 | IDR | 49,009,000,000 | 4,025,887 | 0.6 | % | ||||||||||||||||
OTHER SECURITIES | 4,527,051 | 0.7 | % | ||||||||||||||||||
14,338,519 | |||||||||||||||||||||
Mexico – 2.1% | |||||||||||||||||||||
Government of Mexico 6.500%, 06/10/2021 | MXN | 48,740,000 | 2,675,137 | 0.4 | % | ||||||||||||||||
Government of Mexico 8.000%, 06/11/2020 to 12/07/2023 | 50,246,500 | 2,913,526 | 0.5 | % | |||||||||||||||||
Government of Mexico 10.000%, 12/05/2024 | 46,232,000 | 3,034,990 | 0.5 | % | |||||||||||||||||
OTHER SECURITIES | 4,596,694 | 0.7 | % | ||||||||||||||||||
13,220,347 | |||||||||||||||||||||
New Zealand – 2.0% | |||||||||||||||||||||
Dominion of New Zealand 3.000%, 04/15/2020 | NZD | 4,865,000 | 3,632,580 | 0.6 | % | ||||||||||||||||
Dominion of New Zealand 6.000%, 05/15/2021 | 5,990,000 | 4,969,992 | 0.8 | % | |||||||||||||||||
OTHER SECURITIES | 4,036,729 | 0.6 | % | ||||||||||||||||||
12,639,301 | |||||||||||||||||||||
Norway – 0.9% | |||||||||||||||||||||
Government of Norway 3.750%, 05/25/2021 (S) | NOK | 18,230,000 | 2,416,819 | 0.4 | % | ||||||||||||||||
Government of Norway 4.500%, 05/22/2019 (S) | 22,072,000 | 2,835,328 | 0.5 | % | |||||||||||||||||
5,252,147 | |||||||||||||||||||||
Philippines – 1.6% | |||||||||||||||||||||
Republic of Philippines 5.875%, 12/16/2020 to 03/01/2032 | PHP | 157,303,440 | 3,309,314 | 0.5 | % | ||||||||||||||||
OTHER SECURITIES | 6,745,831 | 1.1 | % | ||||||||||||||||||
10,055,145 | |||||||||||||||||||||
Portugal – 0.8% | |||||||||||||||||||||
Republic of Portugal 5.125%, 10/15/2024 (S) | $ | 2,855,000 | 2,912,100 | 0.5 | % | ||||||||||||||||
OTHER SECURITIES | 2,060,247 | 0.3 | % | ||||||||||||||||||
4,972,347 | |||||||||||||||||||||
Singapore – 1.6% | |||||||||||||||||||||
Republic of Singapore 2.500%, 06/01/2019 | SGD | 6,430,000 | 4,782,888 | 0.8 | % | ||||||||||||||||
Republic of Singapore 3.250%, 09/01/2020 | 6,550,000 | 5,031,428 | 0.8 | % | |||||||||||||||||
9,814,316 | |||||||||||||||||||||
South Korea – 0.0% | 215,617 | 0.0 | % | ||||||||||||||||||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost $112,150,230) | $ | 108,257,866 | |||||||||||||||||||
CORPORATE BONDS – 48.9% | |||||||||||||||||||||
Consumer discretionary – 6.8% | |||||||||||||||||||||
New Red Finance, Inc. 4.625%, 01/15/2022 (S) | $ | 2,345,000 | $ | 2,403,625 | 0.4 | % | |||||||||||||||
Viacom, Inc. (6.250% to 02/28/2027, then 3 month LIBOR + 3.899%) 02/28/2057 | 2,285,000 | 2,376,400 | 0.4 | % | |||||||||||||||||
OTHER SECURITIES | 37,521,194 | 6.0 | % | ||||||||||||||||||
42,301,219 | |||||||||||||||||||||
Consumer staples – 4.7% | |||||||||||||||||||||
Anheuser-Busch InBev Finance, Inc. 2.650%, 02/01/2021 | 3,505,000 | 3,551,697 | 0.6 | % | |||||||||||||||||
Anheuser-Busch InBev Finance, Inc. 3.650%, 02/01/2026 | 2,135,000 | 2,199,836 | 0.4 | % | |||||||||||||||||
OTHER SECURITIES | 23,699,847 | 3.7 | % | ||||||||||||||||||
29,451,380 | �� | ||||||||||||||||||||
Energy – 5.2% | |||||||||||||||||||||
Enbridge, Inc. 4.250%, 12/01/2026 | 2,165,000 | 2,260,065 | 0.4 | % | |||||||||||||||||
Williams Partners LP 4.875%, 05/15/2023 | 2,255,000 | 2,339,833 | 0.4 | % | |||||||||||||||||
OTHER SECURITIES | 27,912,368 | 4.4 | % | ||||||||||||||||||
32,512,266 | |||||||||||||||||||||
Financials – 14.6% | |||||||||||||||||||||
American International Group, Inc. (8.175% to 05/15/2038, then 3 month LIBOR + 4.195%) 05/15/2068 | 3,195,000 | 4,313,250 | 0.7 | % | |||||||||||||||||
Bank of America Corp. 2.006%, 09/15/2026 (P) | 2,515,000 | 2,335,992 | 0.4 | % | |||||||||||||||||
Inter-American Development Bank 6.500%, 08/20/2019 | AUD | 2,705,000 | 2,267,463 | 0.4 | % | ||||||||||||||||
International Bank for Reconstruction & Development 4.625%, 02/26/2019 to 10/06/2021 | NZD | 3,825,000 | 2,941,917 | 0.5 | % | ||||||||||||||||
JPMorgan Chase & Co. 4.250%, 11/02/2018 | 3,255,000 | 2,422,114 | 0.4 | % | |||||||||||||||||
KFW 6.000%, 08/20/2020 | AUD | 2,925,000 | 2,492,702 | 0.4 | % | ||||||||||||||||
Stifel Financial Corp. 4.250%, 07/18/2024 | $ | 2,505,000 | 2,550,501 | 0.4 | % | ||||||||||||||||
Synovus Financial Corp. (5.750% to 12/15/2020, then 3 month LIBOR + 4.182%) 12/15/2025 | 2,775,000 | 2,938,031 | 0.5 | % | |||||||||||||||||
OTHER SECURITIES | 68,564,303 | 10.9 | % | ||||||||||||||||||
90,826,273 | |||||||||||||||||||||
Health care – 2.6% | 16,286,572 | 2.6 | % | ||||||||||||||||||
Industrials – 4.5% | |||||||||||||||||||||
AECOM 5.125%, 03/15/2027 | 3,255,000 | 3,267,206 | 0.5 | % | |||||||||||||||||
General Electric Company (5.000% to 01/21/2021, then 3 month LIBOR + 3.330%) 01/21/2021 (Q) | 2,413,000 | 2,561,158 | 0.4 | % | |||||||||||||||||
Huntington Ingalls Industries, Inc. 5.000%, 11/15/2025 (S) | 2,330,000 | 2,501,838 | 0.4 | % |
Shares or Principal Amount | Value | | % of Net Assets | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS (continued) | ||||||||||||||||||
Industrials – (continued) | ||||||||||||||||||
Mexico City Airport Trust 4.250%, 10/31/2026 (S) | $ | 2,820,000 | $ | 2,891,261 | 0.5 | % | ||||||||||||
OTHER SECURITIES | 16,704,246 | 2.7 | % | |||||||||||||||
27,925,709 | ||||||||||||||||||
Information technology – 3.0% | ||||||||||||||||||
Zebra Technologies Corp. 7.250%, 10/15/2022 | 2,810,000 | 2,985,625 | 0.5 | % | ||||||||||||||
OTHER SECURITIES | 15,391,512 | 2.5 | % | |||||||||||||||
18,377,137 | ||||||||||||||||||
Materials – 2.8% | 17,469,594 | 2.8 | % | |||||||||||||||
Real estate – 1.8% | ||||||||||||||||||
CapitaMalls Asia Treasury, Ltd. 3.950%, 08/24/2017 | SGD | 3,250,000 | 2,368,748 | 0.4 | % | |||||||||||||
OTHER SECURITIES | 8,715,348 | 1.4 | % | |||||||||||||||
11,084,096 | ||||||||||||||||||
Telecommunication services – 1.2% | 7,407,563 | 1.2 | % | |||||||||||||||
Utilities – 1.7% | ||||||||||||||||||
Emera US Finance LP 3.550%, 06/15/2026 | $ | 2,415,000 | 2,420,830 | 0.4 | % | |||||||||||||
OTHER SECURITIES | 7,862,245 | 1.3 | % | |||||||||||||||
10,283,075 | ||||||||||||||||||
TOTAL CORPORATE BONDS (Cost $297,881,499) | $ | 303,924,884 | ||||||||||||||||
CAPITAL PREFERRED SECURITIES – 0.9% | ||||||||||||||||||
Financials – 0.9% | 5,460,682 | 0.9 | % | |||||||||||||||
TOTAL CAPITAL PREFERRED SECURITIES (Cost $5,069,651) | $ | 5,460,682 | ||||||||||||||||
CONVERTIBLE BONDS – 2.3% | ||||||||||||||||||
Consumer discretionary – 0.2% | 1,272,604 | 0.2 | % | |||||||||||||||
Consumer staples – 0.1% | 746,194 | 0.1 | % | |||||||||||||||
Financials – 0.5% | 3,057,582 | 0.5 | % | |||||||||||||||
Health care – 0.9% | 5,813,503 | 0.9 | % | |||||||||||||||
Industrials – 0.2% | 1,124,700 | 0.2 | % | |||||||||||||||
Information technology – 0.3% | 1,679,428 | 0.3 | % | |||||||||||||||
Telecommunication services – 0.1% | 754,463 | 0.1 | % | |||||||||||||||
TOTAL CONVERTIBLE BONDS (Cost $11,913,078) | $ | 14,448,474 | ||||||||||||||||
TERM LOANS (M) – 7.0% | ||||||||||||||||||
Consumer discretionary – 2.2% | ||||||||||||||||||
Charter Communications Operating LLC 3.476%, 01/15/2024 | 2,297,550 | 2,304,879 | 0.4 | % | ||||||||||||||
New Red Finance, Inc. 3.504%, 02/16/2024 | 2,957,879 | 2,949,568 | 0.5 | % | ||||||||||||||
OTHER SECURITIES | 8,350,514 | 1.3 | % | |||||||||||||||
13,604,961 | ||||||||||||||||||
Consumer staples – 0.6% | 4,021,238 | 0.6 | % | |||||||||||||||
Energy – 0.6% | 3,790,663 | 0.6 | % | |||||||||||||||
Health care – 0.4% | 2,282,194 | 0.4 | % | |||||||||||||||
Industrials – 0.7% | 4,109,081 | 0.7 | % | |||||||||||||||
Information technology – 1.2% | 7,778,354 | 1.2 | % | |||||||||||||||
Materials – 0.5% | 3,041,191 | 0.5 | % | |||||||||||||||
Telecommunication services – 0.8% | 4,777,428 | 0.8 | % | |||||||||||||||
TOTAL TERM LOANS (Cost $43,712,173) | $ | 43,405,110 | ||||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS – 5.3% | ||||||||||||||||||
Commercial and residential – 4.4% | 27,217,232 | 4.4 | % | |||||||||||||||
Federal Home Loan Mortgage Corp. – 0.4% | 2,932,655 | 0.4 | % | |||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS – (continued) | ||||||||||||||||||
Federal National Mortgage Association – 0.5% | $ | 3,001,862 | 0.5 | % | ||||||||||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $32,196,840) | $ | 33,151,749 | ||||||||||||||||
ASSET BACKED SECURITIES – 4.1% | ||||||||||||||||||
DB Master Finance LLC, 3.980%, 02/20/2045 (S) | $ | 2,629,475 | $ | 2,696,106 | 0.4 | % | ||||||||||||
Taco Bell Funding LLC, 4.970%, 05/25/2046 (S) | 2,788,925 | 2,937,798 | 0.5 | % | ||||||||||||||
OTHER SECURITIES | 20,032,436 | 3.2 | % | |||||||||||||||
TOTAL ASSET BACKED SECURITIES (Cost $25,154,335) | $ | 25,666,340 | ||||||||||||||||
COMMON STOCKS – 2.7% | ||||||||||||||||||
Consumer discretionary – 0.0% | 0 | 0.0 | % | |||||||||||||||
Financials – 2.6% | ||||||||||||||||||
The PNC Financial Services Group, Inc. | 18,510 | 2,311,344 | 0.4 | % | ||||||||||||||
OTHER SECURITIES | 13,793,725 | 2.2 | % | |||||||||||||||
16,105,069 | ||||||||||||||||||
Industrials – 0.1% | 521,615 | 0.1 | % | |||||||||||||||
TOTAL COMMON STOCKS (Cost $11,967,261) | $ | 16,626,684 | ||||||||||||||||
PREFERRED SECURITIES – 6.5% | ||||||||||||||||||
Consumer staples – 0.3% | 2,136,968 | 0.3 | % | |||||||||||||||
Energy – 0.4% | ||||||||||||||||||
Kinder Morgan, Inc., 9.750% | 50,556 | 2,218,397 | 0.4 | % | ||||||||||||||
Financials – 3.3% | ||||||||||||||||||
Huntington Bancshares, Inc., 8.500% | 1,776 | 2,564,544 | 0.4 | % | ||||||||||||||
U.S. Bancorp, 3.500% (P) | 2,829 | 2,499,987 | 0.4 | % | ||||||||||||||
OTHER SECURITIES | 15,383,989 | 2.5 | % | |||||||||||||||
20,448,520 | ||||||||||||||||||
Health care – 0.3% | 1,990,768 | 0.3 | % | |||||||||||||||
Industrials – 0.3% | 1,664,768 | 0.3 | % | |||||||||||||||
Real estate – 0.3% | 2,140,050 | 0.3 | % | |||||||||||||||
Utilities – 1.6% | ||||||||||||||||||
NextEra Energy, Inc., 6.123% | 49,405 | 2,668,364 | 0.4 | % | ||||||||||||||
OTHER SECURITIES | 7,130,622 | 1.2 | % | |||||||||||||||
9,798,986 | ||||||||||||||||||
TOTAL PREFERRED SECURITIES (Cost $37,311,295) | $ | 40,398,457 | ||||||||||||||||
PURCHASED OPTIONS – 0.3% | ||||||||||||||||||
Call options – 0.1% | 331,998 | 0.1 | % | |||||||||||||||
Put options – 0.2% | 1,493,115 | 0.2 | % | |||||||||||||||
TOTAL PURCHASED OPTIONS (Cost $4,132,194) | $ | 1,825,113 | ||||||||||||||||
WARRANTS – 0.3% | ||||||||||||||||||
TOTAL WARRANTS (Cost $1,484,513) | $ | 1,620,274 | ||||||||||||||||
SHORT-TERM INVESTMENTS – 4.3% | ||||||||||||||||||
U.S. Government Agency – 3.8% | ||||||||||||||||||
Federal Home Loan Bank Discount Note 0.574%, 07/03/2017* | $ | 23,485,000 | 23,485,000 | 3.8 | % | |||||||||||||
Repurchase agreement – 0.5% | 3,120,443 | 0.5 | % | |||||||||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $26,604,694) | $ | 26,605,443 | ||||||||||||||||
Total Investments (Strategic Income Opportunities Trust) (Cost $609,577,763) – 100.0% | $ | 621,391,076 | 100.0 | % | ||||||||||||||
Other assets and liabilities, net – 0.0% | 271,852 | 0.0 | % | |||||||||||||||
TOTAL NET ASSETS – 100.0% | $ | 621,662,928 | 100.0 | % |
AUD | Australian Dollar | |||||
BRL | Brazilian Real | |||||
CAD | Canadian Dollar | |||||
IDR | Indonesian Rupiah | |||||
INR | Indian Rupee | |||||
MXN | Mexican Peso | |||||
NOK | Norwegian Krone | |||||
NZD | New Zealand Dollar | |||||
PHP | Philippine Peso | |||||
SGD | Singapore Dollar |
LIBOR | London Interbank Offered Rate | |||||
(M) | Term loans are variable rate obligations. The coupon rate shown represents the rate at period end. | |||||
(P) | Variable rate obligation. The coupon rate shown represents the rate at period end. | |||||
(Q) | Perpetual bonds have no stated maturity date. Date shown as maturity date is next call date. | |||||
(S) | These securities are exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be resold, normally to qualified institutional buyers, in transactions exempt from registration. Rule 144A securities amounted to $135,380,139 or 21.8% of the fund’s net assets as of 6-30-17. | |||||
* | Yield represents either the annualized yield at the date of purchase, the stated coupon rate or, for floating rate securities, the rate at period end. |
Open contracts | | Number of contracts | | Position | | Expiration date | | Notional basis* | | Notional value* | | Unrealized appreciation (depreciation) | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
5-Year U.S. Treasury Note Futures | 331 | Short | Sep 2017 | ($39,081,274 | ) | ($39,003,695 | ) | $ | 77,579 | |||||||||||||||||
10-Year U.S. Treasury Note Futures | 913 | Short | Sep 2017 | (114,808,741 | ) | (114,610,031 | ) | 198,710 | ||||||||||||||||||
U.S. Treasury Long Bond Futures | 56 | Short | Sep 2017 | (8,527,606 | ) | (8,606,500 | ) | (78,894 | ) | |||||||||||||||||
$ | 197,395 |
* | Notional basis refers to the contractual amount agreed upon at inception of open contracts; notional value represents the current value of the open contract. |
Contract to buy | Contract to sell | | Counterparty (OTC) | | Contractual settlement date | | Unrealized appreciation | | Unrealized depreciation | | ||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
AUD | 13,952,427 | CAD | 13,980,611 | Goldman Sachs Bank USA | 9/20/2017 | — | ($80,495 | ) | ||||||||||||||||||||||||
AUD | 15,082,573 | CAD | 15,117,188 | Royal Bank of Canada | 9/20/2017 | — | (90,218 | ) | ||||||||||||||||||||||||
AUD | 8,275,000 | NZD | 8,614,788 | Goldman Sachs Bank USA | 9/20/2017 | $ | 49,999 | — | ||||||||||||||||||||||||
AUD | 26,420,000 | USD | 20,057,298 | Goldman Sachs Bank USA | 9/20/2017 | 229,561 | — | |||||||||||||||||||||||||
CAD | 10,516,028 | AUD | 10,435,000 | Royal Bank of Canada | 9/20/2017 | 106,487 | — | |||||||||||||||||||||||||
CAD | 14,341,284 | GBP | 8,490,000 | Royal Bank of Canada | 9/20/2017 | — | (11,390 | ) | ||||||||||||||||||||||||
CAD | 6,528,885 | NZD | 6,905,000 | Bank of Nova Scotia | 9/20/2017 | — | (12,118 | ) | ||||||||||||||||||||||||
CAD | 19,587,172 | NZD | 20,715,000 | Toronto Dominion Bank | 9/20/2017 | — | (35,952 | ) | ||||||||||||||||||||||||
CAD | 24,263,052 | USD | 18,026,041 | Bank of Nova Scotia | 9/20/2017 | 706,723 | — | |||||||||||||||||||||||||
CAD | 36,394,578 | USD | 27,001,682 | Goldman Sachs Bank USA | 9/20/2017 | 1,097,464 | — | |||||||||||||||||||||||||
CAD | 41,858,737 | USD | 31,331,714 | Royal Bank of Canada | 9/20/2017 | 986,145 | — | |||||||||||||||||||||||||
CAD | 36,394,577 | USD | 27,067,718 | State Street Bank and Trust Company | 9/20/2017 | 1,031,429 | — | |||||||||||||||||||||||||
CAD | 136,469,434 | USD | 102,676,038 | Toronto Dominion Bank | 9/20/2017 | 2,687,865 | — | |||||||||||||||||||||||||
EUR | 6,945,000 | GBP | 6,076,649 | HSBC Bank USA | 9/20/2017 | 30,988 | — | |||||||||||||||||||||||||
EUR | 24,880,000 | GBP | 22,047,075 | Morgan Stanley Capital Services, Inc. | 9/20/2017 | — | (251,771 | ) | ||||||||||||||||||||||||
EUR | 3,485,000 | GBP | 3,032,055 | Toronto Dominion Bank | 9/20/2017 | 38,014 | — | |||||||||||||||||||||||||
EUR | 4,249,102 | USD | 4,753,598 | Royal Bank of Canada | 9/20/2017 | 119,055 | — | |||||||||||||||||||||||||
GBP | 33,975,000 | CAD | 58,484,355 | Royal Bank of Canada | 9/20/2017 | — | (798,973 | ) | ||||||||||||||||||||||||
GBP | 6,905,000 | CAD | 11,588,040 | Toronto Dominion Bank | 9/20/2017 | 67,837 | — | |||||||||||||||||||||||||
GBP | 18,816,932 | EUR | 21,315,000 | HSBC Bank USA | 9/20/2017 | 122,917 | — | |||||||||||||||||||||||||
GBP | 3,142,176 | EUR | 3,555,000 | Morgan Stanley Capital Services, Inc. | 9/20/2017 | 25,479 | — | |||||||||||||||||||||||||
GBP | 9,228,746 | EUR | 10,440,000 | Toronto Dominion Bank | 9/20/2017 | 76,249 | — | |||||||||||||||||||||||||
GBP | 20,895,000 | USD | 26,646,900 | Citibank N.A. | 9/20/2017 | 631,927 | — | |||||||||||||||||||||||||
GBP | 6,890,000 | USD | 8,791,916 | Goldman Sachs Bank USA | 9/20/2017 | 203,113 | — | |||||||||||||||||||||||||
GBP | 13,810,000 | USD | 17,510,403 | Toronto Dominion Bank | 9/20/2017 | 518,819 | — | |||||||||||||||||||||||||
JPY | 397,062,968 | USD | 3,553,766 | Goldman Sachs Bank USA | 9/20/2017 | — | (11,782 | ) | ||||||||||||||||||||||||
MXN | 256,000,800 | USD | 13,885,000 | Standard Chartered Bank | 9/20/2017 | 51,605 | — | |||||||||||||||||||||||||
MXN | 379,625,557 | USD | 20,780,000 | State Street Bank and Trust Company | 9/20/2017 | — | (113,301 | ) | ||||||||||||||||||||||||
NZD | 10,887,829 | AUD | 10,410,000 | Bank of Nova Scotia | 9/20/2017 | — | (26,037 | ) | ||||||||||||||||||||||||
SGD | 4,406,665 | USD | 3,175,000 | Goldman Sachs Bank USA | 9/20/2017 | 29,602 | — | |||||||||||||||||||||||||
USD | 51,388,717 | AUD | 68,245,309 | Australia and New Zealand Banking Group | 9/20/2017 | — | (1,014,118 | ) | ||||||||||||||||||||||||
USD | 23,837,439 | AUD | 31,182,949 | Goldman Sachs Bank USA | 9/20/2017 | — | (106,697 | ) | ||||||||||||||||||||||||
USD | 13,780,000 | CAD | 17,927,711 | Bank of Nova Scotia | 9/20/2017 | — | (61,441 | ) |
Contract to buy | Contract to sell | | Counterparty (OTC) | | Contractual settlement date | | Unrealized appreciation | | Unrealized depreciation | | ||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
USD | 12,675,000 | CAD | 16,739,594 | Royal Bank of Canada | 9/20/2017 | — | ($249,132 | ) | ||||||||||||||||||||||||
USD | 74,080,000 | CAD | 97,804,657 | Toronto Dominion Bank | 9/20/2017 | — | (1,432,003 | ) | ||||||||||||||||||||||||
USD | 1,594,914 | DKK | 10,519,327 | Citibank N.A. | 9/20/2017 | — | (27,809 | ) | ||||||||||||||||||||||||
USD | 4,790,395 | EUR | 4,249,102 | HSBC Bank USA | 9/20/2017 | — | (82,258 | ) | ||||||||||||||||||||||||
USD | 54,331,465 | GBP | 42,285,000 | Citibank N.A. | 9/20/2017 | — | (872,420 | ) | ||||||||||||||||||||||||
USD | 8,831,843 | GBP | 6,890,000 | Goldman Sachs Bank USA | 9/20/2017 | — | (163,185 | ) | ||||||||||||||||||||||||
USD | 44,162,658 | GBP | 34,007,376 | HSBC Bank USA | 9/20/2017 | — | (234,629 | ) | ||||||||||||||||||||||||
USD | 70,250,219 | GBP | 55,160,000 | Toronto Dominion Bank | 9/20/2017 | — | (1,762,228 | ) | ||||||||||||||||||||||||
USD | 20,956,542 | MXN | 384,475,656 | Standard Chartered Bank | 9/20/2017 | $ | 25,805 | — | ||||||||||||||||||||||||
USD | 10,390,000 | MXN | 187,834,576 | State Street Bank and Trust Company | 9/20/2017 | 164,343 | — | |||||||||||||||||||||||||
USD | 14,987,133 | NZD | 20,855,000 | Bank of Nova Scotia | 9/20/2017 | — | (273,927 | ) | ||||||||||||||||||||||||
USD | 5,020,156 | NZD | 6,980,000 | JPMorgan Chase Bank N.A. | 9/20/2017 | — | (87,598 | ) | ||||||||||||||||||||||||
USD | 30,621,932 | NZD | 42,564,158 | State Street Bank and Trust Company | 9/20/2017 | — | (525,235 | ) | ||||||||||||||||||||||||
USD | 1,020,620 | SEK | 8,851,833 | Citibank N.A. | 9/20/2017 | — | (34,643 | ) | ||||||||||||||||||||||||
USD | 3,645,000 | SGD | 5,030,774 | HSBC Bank USA | 9/20/2017 | — | (13,466 | ) | ||||||||||||||||||||||||
USD | 33,263,845 | SGD | 45,937,371 | Standard Chartered Bank | 9/20/2017 | — | (142,600 | ) | ||||||||||||||||||||||||
$ | 9,001,426 | ($8,515,426 | ) |
AUD | Australian Dollar | |||||
CAD | Canadian Dollar | |||||
CHF | Swiss Franc | |||||
DKK | Danish Krone | |||||
EUR | Euro | |||||
GBP | British Pound | |||||
JPY | Japanese Yen | |||||
MXN | Mexican Peso | |||||
NZD | New Zealand Dollar | |||||
SEK | Swedish Krona | |||||
SGD | Singapore Dollar | |||||
USD | United States Dollar |
OTC | Over-the-counter |
See Notes to financial statements regarding investment transactions and other derivatives information.
Shares or Principal Amount | Value | | % of Net Assets | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
U.S. GOVERNMENT AND AGENCY OBLIGATIONS – 67.5% | ||||||||||||||||||
U.S. Treasury Bonds – 8.7% | ||||||||||||||||||
3.000%, 02/15/2047 | $ | 19,185,000 | $ | 19,824,992 | 3.4 | % | ||||||||||||
4.250%, 05/15/2039 to 11/15/2040 | 4,610,000 | 5,784,524 | 1.0 | % | ||||||||||||||
4.375%, 05/15/2041 | 1,830,000 | 2,348,547 | 0.4 | % | ||||||||||||||
4.625%, 02/15/2040 | 5,000,000 | 6,599,805 | 1.2 | % | ||||||||||||||
4.750%, 02/15/2041 | 2,000,000 | 2,695,704 | 0.5 | % | ||||||||||||||
7.875%, 02/15/2021 | 3,400,000 | 4,134,454 | 0.7 | % | ||||||||||||||
8.125%, 08/15/2021 | 1,400,000 | 1,752,187 | 0.3 | % | ||||||||||||||
8.750%, 08/15/2020 | 5,750,000 | 7,000,625 | 1.2 | % | ||||||||||||||
50,140,838 | ||||||||||||||||||
U.S. Treasury Notes – 29.9% | ||||||||||||||||||
0.625%, 08/31/2017 to 04/30/2018 | 9,000,000 | 8,963,542 | 1.5 | % | ||||||||||||||
1.250%, 04/30/2019 to 01/31/2020 | 2,000,000 | 1,991,445 | 0.4 | % | ||||||||||||||
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (continued) | ||||||||||||||||||
U.S. Treasury Notes (continued) | ||||||||||||||||||
1.375%, 09/30/2018 to 10/31/2020 | $ | 31,400,000 | $ | 31,150,161 | 5.3 | % | ||||||||||||
1.500%, 12/31/2018 to 03/31/2019 | 18,200,000 | 18,239,727 | 3.2 | % | ||||||||||||||
1.625%, 06/30/2019 to 07/31/2020 | 30,300,000 | 30,381,611 | 5.4 | % | ||||||||||||||
1.750%, 09/30/2019 | 7,000,000 | 7,050,862 | 1.2 | % | ||||||||||||||
2.000%, 11/15/2021 to 02/15/2022 | 25,400,000 | 25,611,645 | 4.4 | % | ||||||||||||||
2.375%, 05/15/2027 | 19,595,000 | 19,721,290 | 3.4 | % | ||||||||||||||
2.750%, 02/15/2019 | 7,000,000 | 7,155,589 | 1.2 | % | ||||||||||||||
3.125%, 05/15/2021 | 13,100,000 | 13,782,117 | 2.4 | % | ||||||||||||||
4.250%, 11/15/2017 | 7,300,000 | 7,383,308 | 1.3 | % | ||||||||||||||
OTHER SECURITIES | 1,101,583 | 0.2 | % | |||||||||||||||
172,532,880 |
Shares or Principal Amount | Value | | % of Net Assets | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (continued) | |||||||||||||||||||||
Federal Home Loan Bank – 0.0% | $ | 257,958 | 0.0 | % | |||||||||||||||||
Federal Home Loan Mortgage Corp. – 7.4% | |||||||||||||||||||||
2.500%, TBA (C) | $ | 3,000,000 | 3,015,614 | 0.5 | % | ||||||||||||||||
2.500%, 04/01/2031 | 2,547,135 | 2,565,864 | 0.5 | % | |||||||||||||||||
3.000%, TBA (C) | 5,000,000 | 4,987,676 | 0.9 | % | |||||||||||||||||
3.000%, 10/01/2042 to 08/01/2046 | 6,154,434 | 6,158,593 | 1.1 | % | |||||||||||||||||
3.500%, TBA (C) | 4,300,000 | 4,415,517 | 0.8 | % | |||||||||||||||||
3.500%, 12/01/2025 to 03/01/2045 | 5,410,232 | 5,592,197 | 1.0 | % | |||||||||||||||||
4.000%, 02/01/2024 to 12/01/2040 | 1,568,242 | 1,657,825 | 0.3 | % | |||||||||||||||||
4.500%, 05/01/2024 to 11/01/2041 | 2,918,052 | 3,142,407 | 0.7 | % | |||||||||||||||||
5.000%, TBA (C) | 2,300,000 | 2,502,129 | 0.4 | % | |||||||||||||||||
5.500%, 08/23/2017 qato 01/01/2039 | 2,477,045 | 2,592,059 | 0.3 | % | |||||||||||||||||
6.750%, 09/15/2029 | 1,200,000 | 1,691,509 | 0.3 | % | |||||||||||||||||
OTHER SECURITIES | 4,445,054 | 0.6 | % | ||||||||||||||||||
42,766,444 | |||||||||||||||||||||
Federal National Mortgage Association – 14.6% | |||||||||||||||||||||
2.500%, TBA (C) | 4,000,000 | 4,018,943 | 0.7 | % | |||||||||||||||||
3.000%, TBA (C) | 11,400,000 | 11,381,252 | 2.0 | % | |||||||||||||||||
3.000%, 01/01/2027 to 07/01/2046 | 417,424,858 | 17,592,607 | 3.1 | % | |||||||||||||||||
3.500%, TBA (C) | 3,000,000 | 3,079,773 | 0.5 | % | |||||||||||||||||
3.500%, 12/01/2025 to 07/01/2046 | 23,224,890 | 23,967,983 | 4.1 | % | |||||||||||||||||
4.000%, 08/01/2020 to 12/01/2042 | 7,396,198 | 7,816,042 | 1.5 | % | |||||||||||||||||
4.500%, 06/01/2018 to 06/01/2041 | 4,131,120 | 4,439,185 | 0.9 | % | |||||||||||||||||
5.000%, 12/01/2018 to 07/01/2039 | 2,078,000 | 2,271,209 | 0.4 | % | |||||||||||||||||
7.250%, 05/15/2030 | 1,450,000 | 2,149,596 | 0.4 | % | |||||||||||||||||
OTHER SECURITIES | 7,569,409 | 1.0 | % | ||||||||||||||||||
84,285,999 | |||||||||||||||||||||
Government National Mortgage Association – 6.7% | |||||||||||||||||||||
3.000%, TBA (C) | 5,000,000 | 5,050,473 | 0.9 | % | |||||||||||||||||
3.000%, 08/15/2043 | 2,135,242 | 2,169,975 | 0.4 | % | |||||||||||||||||
3.500%, TBA (C) | 2,800,000 | 2,899,072 | 0.5 | % | |||||||||||||||||
3.500%, 04/15/2042 to 07/20/2046 | 15,783,072 | 16,390,140 | 2.9 | % | |||||||||||||||||
4.000%, 11/15/2026 to 08/20/2045 | 5,994,711 | 6,364,319 | 1.3 | % | |||||||||||||||||
4.500%, 05/15/2019 to 10/20/2040 | 2,030,297 | 2,181,026 | 0.4 | % | |||||||||||||||||
5.000%, 05/15/2018 to 07/20/2040 | 1,817,757 | 2,001,641 | 0.3 | % | |||||||||||||||||
OTHER SECURITIES | 1,630,117 | 0.0 | % | ||||||||||||||||||
38,686,763 | |||||||||||||||||||||
Tennessee Valley Authority – 0.1% | 751,736 | 0.1 | % | ||||||||||||||||||
The Financing Corp. – 0.1% | 778,538 | 0.1 | % | ||||||||||||||||||
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (Cost $382,658,528) | $ | 390,201,156 | |||||||||||||||||||
FOREIGN GOVERNMENT OBLIGATIONS – 2.1% | |||||||||||||||||||||
Brazil – 0.3% | 1,694,801 | 0.3 | % | ||||||||||||||||||
Canada – 0.4% | 2,654,708 | 0.4 | % | ||||||||||||||||||
Chile – 0.1% | 537,489 | 0.1 | % | ||||||||||||||||||
FOREIGN GOVERNMENT OBLIGATIONS (continued) | |||||||||||||||||||||
Colombia – 0.1% | $ | 585,200 | 0.1 | % | |||||||||||||||||
Israel – 0.2% | 1,102,778 | 0.2 | % | ||||||||||||||||||
Italy – 0.1% | 351,561 | 0.1 | % | ||||||||||||||||||
Mexico – 0.2% | 1,096,284 | 0.2 | % | ||||||||||||||||||
Panama – 0.1% | 476,375 | 0.1 | % | ||||||||||||||||||
Peru – 0.1% | 460,025 | 0.1 | % | ||||||||||||||||||
Philippines – 0.2% | 1,065,853 | 0.2 | % | ||||||||||||||||||
Poland – 0.0% | 119,548 | 0.0 | % | ||||||||||||||||||
South Africa – 0.1% | 784,311 | 0.1 | % | ||||||||||||||||||
Turkey – 0.2% | 1,244,424 | 0.2 | % | ||||||||||||||||||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost $11,920,862) | $ | 12,173,357 | |||||||||||||||||||
CORPORATE BONDS – 26.5% | |||||||||||||||||||||
Consumer discretionary – 2.4% | 13,954,377 | 2.4 | % | ||||||||||||||||||
Consumer staples – 1.9% | 11,170,346 | 1.9 | % | ||||||||||||||||||
Energy – 2.6% | 14,996,888 | 2.6 | % | ||||||||||||||||||
Financials – 8.3% | |||||||||||||||||||||
Capital One Financial Corp. 3.200%, 02/05/2025 | $ | 2,000,000 | 1,957,898 | 0.3 | % | ||||||||||||||||
European Investment Bank 1.750%, 06/17/2019 | 1,750,000 | 1,755,742 | 0.3 | % | |||||||||||||||||
Wells Fargo & Company 5.375%, 02/07/2035 | 1,500,000 | 1,793,144 | 0.3 | % | |||||||||||||||||
OTHER SECURITIES | 42,456,987 | 7.4 | % | ||||||||||||||||||
47,963,771 | |||||||||||||||||||||
Health care – 2.4% | 14,097,379 | 2.4 | % | ||||||||||||||||||
Industrials – 2.0% | 11,238,691 | 2.0 | % | ||||||||||||||||||
Information technology – 2.5% | 14,354,583 | 2.5 | % | ||||||||||||||||||
Materials – 0.9% | 5,188,335 | 0.9 | % | ||||||||||||||||||
Real estate – 0.4% | 2,186,138 | 0.4 | % | ||||||||||||||||||
Telecommunication services – 1.2% | 7,075,743 | 1.2 | % | ||||||||||||||||||
Utilities – 1.9% | 10,793,455 | 1.9 | % | ||||||||||||||||||
TOTAL CORPORATE BONDS (Cost $146,924,031) | $ | 153,019,706 | |||||||||||||||||||
MUNICIPAL BONDS – 0.8% | |||||||||||||||||||||
TOTAL MUNICIPAL BONDS (Cost $3,854,892) | $ | 4,633,145 | |||||||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS – 1.3% | |||||||||||||||||||||
Commercial and residential – 0.6% | 3,286,241 | 0.6 | % | ||||||||||||||||||
Federal Home Loan Mortgage Corp. – 0.7% | 4,375,748 | 0.7 | % | ||||||||||||||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $7,853,500) | $ | 7,661,989 | |||||||||||||||||||
ASSET BACKED SECURITIES – 0.2% | |||||||||||||||||||||
TOTAL ASSET BACKED SECURITIES (Cost $1,020,157) | $ | 966,685 | |||||||||||||||||||
SECURITIES LENDING COLLATERAL – 0.4% | |||||||||||||||||||||
John Hancock Collateral Trust, 1.1508% (W)(Y) | 203,958 | 2,040,779 | 0.4 | % | |||||||||||||||||
TOTAL SECURITIES LENDING COLLATERAL (Cost $2,040,796) | $ | 2,040,779 |
Shares or Principal Amount | Value | | % of Net Assets | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHORT-TERM INVESTMENTS – 7.6% | ||||||||||||||||||
Money market funds – 7.6% | ||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class, 0.8844% (Y) | 43,854,876 | $ | 43,854,876 | 7.6 | % | |||||||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $43,854,876) | $ | 43,854,876 | ||||||||||||||||
Total Investments (Total Bond Market Trust B) (Cost $600,127,642) – 106.4% | $ | 614,551,693 | 106.4 | % | ||||||||||||||
Other assets and liabilities, net – (6.4%) | (36,928,352 | ) | (6.4 | )% | ||||||||||||||
TOTAL NET ASSETS – 100.0% | $ | 577,623,341 | 100.0 | % |
TBA | To Be Announced. A forward mortgage-backed securities trade issued by a U.S. Government Agency, to be delivered at an agreed-upon future settlement date. | |||||
(C) | Security purchased or sold on a when-issued or delayed delivery basis. | |||||
(W) | Investment is an affiliate of the fund, the advisor and/or subadvisor. This security represents the investment of cash collateral received for securities lending. | |||||
(Y) | The rate shown is the annualized seven-day yield as of June 30, 2017. |
Shares or Principal Amount | Value | | % of Net Assets | |||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
U.S. GOVERNMENT AND AGENCY OBLIGATIONS – 25.2% | ||||||||||||||||||||||
U.S. Treasury Notes – 21.6% | ||||||||||||||||||||||
0.625%, 08/31/2017 to 09/30/2017 | $ | 26,000,000 | $ | 25,978,560 | 10.6 | % | ||||||||||||||||
0.750%, 10/31/2017 | 13,000,000 | 12,985,180 | 5.3 | % | ||||||||||||||||||
0.875%, 07/15/2017 | 14,000,000 | 14,000,000 | 5.7 | % | ||||||||||||||||||
52,963,740 | ||||||||||||||||||||||
Federal Home Loan Mortgage Corp. – 0.9% | 2,305,117 | 0.9 | % | |||||||||||||||||||
Federal National Mortgage Association – 2.4% | 5,765,254 | 2.4 | % | |||||||||||||||||||
Government National Mortgage Association – 0.3% | 760,911 | 0.3 | % | |||||||||||||||||||
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (Cost $61,861,541) | $ | 61,795,022 | ||||||||||||||||||||
CORPORATE BONDS – 53.7% | ||||||||||||||||||||||
Consumer discretionary – 6.4% | ||||||||||||||||||||||
Historic TW, Inc. 6.875%, 06/15/2018 | 3,500,000 | 3,666,002 | 1.5 | % | ||||||||||||||||||
Time Warner Cable LLC 6.750%, 07/01/2018 | 2,000,000 | 2,092,456 | 0.9 | % | ||||||||||||||||||
Toyota Motor Credit Corp. 1.700%, 02/19/2019 | 3,000,000 | 3,003,663 | 1.2 | % | ||||||||||||||||||
OTHER SECURITIES | 6,802,186 | 2.8 | % | |||||||||||||||||||
15,564,307 | ||||||||||||||||||||||
Consumer staples – 4.7% | ||||||||||||||||||||||
Anheuser-Busch InBev Finance, Inc. 1.900%, 02/01/2019 | 4,000,000 | 4,009,076 | 1.7 | % | ||||||||||||||||||
Kraft Heinz Foods Company 2.000%, 07/02/2018 | 2,500,000 | 2,506,355 | 1.0 | % | ||||||||||||||||||
Reynolds American, Inc. 2.300%, 08/21/2017 | 2,500,000 | 2,502,423 | 1.0 | % | ||||||||||||||||||
OTHER SECURITIES | 2,499,908 | 1.0 | % | |||||||||||||||||||
11,517,762 | ||||||||||||||||||||||
CORPORATE BONDS (continued) | ||||||||||||||||||||||
Energy – 3.9% | ||||||||||||||||||||||
Kinder Morgan Energy Partners LP 5.950%, 02/15/2018 | $ | 2,000,000 | $ | 2,049,422 | 0.8 | % | ||||||||||||||||
ONEOK Partners LP 3.200%, 09/15/2018 | 3,000,000 | 3,035,181 | 1.3 | % | ||||||||||||||||||
Shell International Finance BV 2.000%, 11/15/2018 | 3,000,000 | 3,019,311 | 1.2 | % | ||||||||||||||||||
OTHER SECURITIES | 1,566,000 | 0.6 | % | |||||||||||||||||||
9,669,914 | ||||||||||||||||||||||
Financials – 18.9% | ||||||||||||||||||||||
Bank of America Corp. 6.875%, 04/25/2018 | 2,198,000 | 2,287,320 | 1.0 | % | ||||||||||||||||||
BNP Paribas SA 2.450%, 03/17/2019 | 2,000,000 | 2,019,622 | 0.8 | % | ||||||||||||||||||
Capital One NA 1.650%, 02/05/2018 | 3,000,000 | 2,998,806 | 1.2 | % | ||||||||||||||||||
Citigroup, Inc. 1.700%, 04/27/2018 | 2,087,000 | 2,084,926 | 0.9 | % | ||||||||||||||||||
Credit Agricole SA 2.625%, 10/03/2018 (S) | 2,000,000 | 2,018,614 | 0.8 | % | ||||||||||||||||||
Credit Suisse AG 1.750%, 01/29/2018 | 3,000,000 | 3,001,656 | 1.2 | % | ||||||||||||||||||
JPMorgan Chase & Co. 6.000%, 01/15/2018 | 3,000,000 | 3,067,452 | 1.3 | % | ||||||||||||||||||
Lincoln National Corp. 7.000%, 03/15/2018 | 3,000,000 | 3,108,612 | 1.3 | % | ||||||||||||||||||
Morgan Stanley 5.625%, 09/23/2019 | 2,057,000 | 2,209,963 | 0.9 | % | ||||||||||||||||||
PNC Bank NA 2.200%, 01/28/2019 | 2,500,000 | 2,513,528 | 1.0 | % | ||||||||||||||||||
Societe Generale SA 2.625%, 10/01/2018 | 2,000,000 | 2,020,682 | 0.8 | % | ||||||||||||||||||
Sumitomo Mitsui Banking Corp. 2.450%, 01/10/2019 | 2,000,000 | 2,017,320 | 0.8 | % | ||||||||||||||||||
The Goldman Sachs Group, Inc. 2.625%, 01/31/2019 | 3,000,000 | 3,031,176 | 1.3 | % | ||||||||||||||||||
OTHER SECURITIES | 13,865,886 | 5.6 | % | |||||||||||||||||||
46,245,563 | ||||||||||||||||||||||
Health care – 7.3% | ||||||||||||||||||||||
AbbVie, Inc. 1.800%, 05/14/2018 | 3,600,000 | 3,604,576 | 1.5 | % | ||||||||||||||||||
Aetna, Inc. 1.500%, 11/15/2017 | 3,000,000 | 3,000,090 | 1.2 | % | ||||||||||||||||||
GlaxoSmithKline Capital, Inc. 5.650%, 05/15/2018 | 3,000,000 | 3,104,802 | 1.3 | % | ||||||||||||||||||
McKesson Corp. 2.284%, 03/15/2019 | 2,769,000 | 2,784,977 | 1.1 | % | ||||||||||||||||||
Teva Pharmaceutical Finance Netherlands III BV 1.700%, 07/19/2019 | 2,870,000 | 2,844,440 | 1.2 | % | ||||||||||||||||||
UnitedHealth Group, Inc. 6.000%, 02/15/2018 | 2,000,000 | 2,053,390 | 0.8 | % | ||||||||||||||||||
OTHER SECURITIES | 377,458 | 0.2 | % | |||||||||||||||||||
17,769,733 | ||||||||||||||||||||||
Industrials – 2.6% | ||||||||||||||||||||||
Air Lease Corp. 2.625%, 09/04/2018 | 3,000,000 | 3,022,356 | 1.3 | % | ||||||||||||||||||
International Lease Finance Corp. 3.875%, 04/15/2018 | 2,000,000 | 2,030,454 | 0.8 | % | ||||||||||||||||||
OTHER SECURITIES | 1,200,988 | 0.5 | % | |||||||||||||||||||
6,253,798 |
Shares or Principal Amount | Value | | % of Net Assets | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS (continued) | ||||||||||||||||||
Information technology – 4.4% | ||||||||||||||||||
Apple, Inc. 1.700%, 02/22/2019 | $ | 3,000,000 | $ | 3,008,346 | 1.2 | % | ||||||||||||
Dell International LLC 3.480%, 06/01/2019 (S) | 2,000,000 | 2,046,830 | 0.9 | % | ||||||||||||||
IBM Corp. 1.800%, 05/17/2019 | 3,000,000 | 3,007,137 | 1.2 | % | ||||||||||||||
OTHER SECURITIES | 2,783,557 | 1.1 | % | |||||||||||||||
10,845,870 | ||||||||||||||||||
Materials – 0.9% | ||||||||||||||||||
Ecolab, Inc. 1.450%, 12/08/2017 | 2,287,000 | 2,285,600 | 0.9 | % | ||||||||||||||
Real estate – 1.8% | ||||||||||||||||||
Welltower, Inc. 4.700%, 09/15/2017 | 2,900,000 | 2,915,991 | 1.2 | % | ||||||||||||||
OTHER SECURITIES | 1,546,704 | 0.6 | % | |||||||||||||||
4,462,695 | ||||||||||||||||||
Telecommunication services – 2.0% | ||||||||||||||||||
AT&T, Inc. 5.500%, 02/01/2018 | 2,000,000 | 2,042,994 | 0.9 | % | ||||||||||||||
Telefonica Emisiones SAU 6.221%, 07/03/2017 | 2,746,000 | 2,746,000 | 1.1 | % | ||||||||||||||
4,788,994 | ||||||||||||||||||
Utilities – 0.8% | 1,997,384 | 0.8 | % | |||||||||||||||
TOTAL CORPORATE BONDS (Cost $131,252,324) | $ | 131,401,620 | ||||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS – 0.6% | ||||||||||||||||||
Federal National Mortgage Association – 0.6% | 1,389,502 | 0.6 | % | |||||||||||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $1,396,034) | $ | 1,389,502 | ||||||||||||||||
ASSET BACKED SECURITIES – 17.2% | ||||||||||||||||||
Capital One Multi-Asset Execution Trust, 5.750%, 07/15/2020 | 3,000,000 | 3,026,600 | 1.2 | % | ||||||||||||||
Chase Issuance Trust, 1.380%, 11/15/2019 | 4,000,000 | 4,000,356 | 1.6 | % | ||||||||||||||
Citibank Credit Card Issuance Trust, 2.150%, 07/15/2021 | 3,000,000 | 3,024,506 | 1.2 | % | ||||||||||||||
Discover Card Execution Note Trust, 1.670%, 01/18/2022 | 3,000,000 | 2,996,117 | 1.2 | % | ||||||||||||||
Honda Auto Receivables Owner Trust, 1.560%, 10/18/2021 | 3,000,000 | 2,996,594 | 1.2 | % | ||||||||||||||
Mercedes-Benz Auto Receivables Trust, 1.340%, 12/16/2019 | 3,531,601 | 3,528,208 | 1.4 | % | ||||||||||||||
Synchrony Credit Card Master Note Trust, 1.600%, 04/15/2021 | 4,250,000 | 4,250,774 | 1.7 | % | ||||||||||||||
Toyota Auto Receivables Owner Trust, 1.250%, 03/16/2020 | 2,590,000 | 2,583,400 | 1.1 | % | ||||||||||||||
World Omni Auto Receivables Trust, 1.100%, 01/15/2020 | 3,103,171 | 3,098,322 | 1.3 | % | ||||||||||||||
OTHER SECURITIES | 12,760,013 | 5.3 | % | |||||||||||||||
TOTAL ASSET BACKED SECURITIES (Cost $42,392,921) | $ | 42,264,890 | ||||||||||||||||
SHORT-TERM INVESTMENTS – 2.6% | ||||||||||||||||||
U.S. Government Agency – 2.5% | ||||||||||||||||||
Federal Home Loan Bank Discount Note 0.568%, 07/03/2017* | $ | 6,015,000 | $ | 6,015,000 | 2.5 | % | ||||||||||||
Repurchase agreement – 0.1% | 303,000 | 0.1 | % | |||||||||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $6,317,810) | $ | 6,318,000 | ||||||||||||||||
Total Investments (Ultra Short Term Bond Trust) (Cost $243,220,630) – 99.3% | $ | 243,169,034 | 99.3 | % | ||||||||||||||
Other assets and liabilities, net – 0.7% | 1,699,729 | 0.7 | % | |||||||||||||||
TOTAL NET ASSETS – 100.0% | $ | 244,868,763 | 100.0 | % |
(S) | These securities are exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be resold, normally to qualified institutional buyers, in transactions exempt from registration. | |||||
* | Yield represents either the annualized yield at the date of purchase, the stated coupon rate or, for floating rate securities, the rate at period end. |
High Yield Trust | |||||||||||||||
United States | 81.0 | % | |||||||||||||
Canada | 3.9 | % | |||||||||||||
Cayman Islands | 3.8 | % | |||||||||||||
United Kingdom | 2.7 | % | |||||||||||||
Luxembourg | 1.9 | % | |||||||||||||
France | 1.4 | % | |||||||||||||
Ireland | 1.0 | % | |||||||||||||
Netherlands | 1.0 | % | |||||||||||||
Other countries | 3.3 | % | |||||||||||||
Total | 100.0 | % | |||||||||||||
Investment Quality Bond Trust (as a percentage of total investments) | |||||||||||||||
United States | 83.1 | % | |||||||||||||
Cayman Islands | 9.8 | % | |||||||||||||
United Kingdom | 1.6 | % | |||||||||||||
Other countries | 5.5 | % | |||||||||||||
Total | 100.0 | % | |||||||||||||
Strategic Income Opportunities Trust | |||||||||||||||
United States | 71.7 | % | |||||||||||||
Canada | 4.9 | % | |||||||||||||
Mexico | 4.6 | % | |||||||||||||
Indonesia | 3.0 | % | |||||||||||||
Philippines | 2.5 | % | |||||||||||||
Australia | 2.4 | % | |||||||||||||
Singapore | 2.3 | % | |||||||||||||
New Zealand | 2.0 | % | |||||||||||||
India | 1.0 | % | |||||||||||||
Other countries | 5.6 | % | |||||||||||||
Total | 100.0 | % |
Assets | | Active Bond Trust | | Bond Trust | | Core Bond Trust | | Global Bond Trust | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Unaffiliated investments, at value | $ | 816,936,536 | $ | 9,223,108,704 | $ | 1,391,521,122 | $ | 697,176,670 | |||||||||||
Affiliated investments, at value | 5,897,522 | 14,358,813 | 3,384,188 | — | |||||||||||||||
Repurchase agreements, at value | 1,086,000 | 15,182,000 | — | 7,780,000 | |||||||||||||||
Total investments, at value | 823,920,058 | 9,252,649,517 | 1,394,905,310 | 704,956,670 | |||||||||||||||
Cash | 12,142 | 748 | — | — | |||||||||||||||
Foreign currency, at value | 120,881 | — | — | 14,511 | |||||||||||||||
Cash held at broker for futures contracts | — | — | — | 4,820,990 | |||||||||||||||
Receivable for investments sold | 253,052 | 2,453,849 | 16,472,305 | 5,466,174 | |||||||||||||||
Receivable for delayed delivery securities sold | — | — | 142,474,721 | 80,085,182 | |||||||||||||||
Unrealized appreciation on forward foreign currency contracts | — | — | — | 10,313,009 | |||||||||||||||
Receivable for fund shares sold | 2,344,363 | 11,126,898 | — | 601,516 | |||||||||||||||
Dividends and interest receivable | 5,777,299 | 59,824,136 | 5,779,304 | 3,474,263 | |||||||||||||||
Receivable for securities lending income | 8,364 | 31,695 | 9,693 | — | |||||||||||||||
Swap contracts, at value | — | — | — | 4,522,024 | |||||||||||||||
Receivable for centrally cleared swaps | — | — | — | 6,032,040 | |||||||||||||||
Other assets | 1,110 | 53,197 | 1,143 | 69,886 | |||||||||||||||
Total assets | 832,437,269 | 9,326,140,040 | 1,559,642,476 | 820,356,265 | |||||||||||||||
Liabilities | |||||||||||||||||||
Due to custodian | — | — | — | 2,168,850 | |||||||||||||||
Payable for collateral held by portfolio | — | — | — | 7,500,000 | |||||||||||||||
Payable for investments purchased | 3,034,081 | 23,390,000 | 30,110,457 | 7,188,283 | |||||||||||||||
Payable for delayed delivery securities purchased | 49,439,336 | — | 265,203,904 | 146,590,594 | |||||||||||||||
Unrealized depreciation on forward foreign currency contracts | — | — | — | 6,559,644 | |||||||||||||||
Payable for sale-buybacks | — | — | — | 8,229,433 | |||||||||||||||
Payable for open reverse repurchase agreements | — | — | — | 54,979,502 | |||||||||||||||
Payable for fund shares repurchased | 343,483 | 431,702 | 171,759 | 24,703 | |||||||||||||||
Payable upon return of securities loaned | 5,898,403 | 14,359,621 | 3,392,875 | — | |||||||||||||||
Written options, at value | — | — | — | 161,304 | |||||||||||||||
Payable for sale commitments outstanding, at value | 27,495,141 | — | 15,621,767 | — | |||||||||||||||
Swap contracts, at value | — | — | — | 480,418 | |||||||||||||||
Payable for futures variation margin | — | — | — | 679,786 | |||||||||||||||
Payable to affiliates | |||||||||||||||||||
Accounting and legal services fees | 28,703 | 357,567 | 48,046 | 22,564 | |||||||||||||||
Trustees’ fees | 296 | 6,492 | 773 | 219 | |||||||||||||||
Other liabilities and accrued expenses | 76,366 | 466,938 | 111,089 | 92,461 | |||||||||||||||
Total liabilities | 86,315,809 | 39,012,320 | 314,660,670 | 234,677,761 | |||||||||||||||
Net assets | $ | 746,121,460 | $ | 9,287,127,720 | $ | 1,244,981,806 | $ | 585,678,504 | |||||||||||
Net assets consist of | |||||||||||||||||||
Paid-in capital | $ | 720,290,424 | $ | 9,239,917,921 | $ | 1,217,614,565 | $ | 579,635,729 | |||||||||||
Undistributed net investment income (loss) | 18,064,273 | 174,159,690 | 18,106,100 | 18,150,457 | |||||||||||||||
Accumulated undistributed net realized gain (loss) on investments | (12,155,236 | ) | (240,315,224 | ) | 10,098,773 | (19,942,692 | ) | ||||||||||||
Net unrealized appreciation (depreciation) on investments | 19,921,999 | 113,365,333 | (837,632 | ) | 7,835,010 | ||||||||||||||
Net assets | $ | 746,121,460 | $ | 9,287,127,720 | $ | 1,244,981,806 | $ | 585,678,504 | |||||||||||
Unaffiliated investments, including repurchase agreements, at cost | $ | 797,826,752 | $ | 9,124,262,251 | $ | 1,392,668,636 | $ | 702,455,845 | |||||||||||
Affiliated investments, at cost | $ | 5,897,753 | $ | 14,359,407 | $ | 3,384,180 | — | ||||||||||||
Foreign currency, at cost | $ | 379,106 | — | — | $ | 1,269 | |||||||||||||
Proceeds received on sale commitments outstanding | $ | 27,487,373 | — | $ | 15,931,648 | — | |||||||||||||
Premiums received on written options | — | — | — | $ | 381,706 | ||||||||||||||
Net unamortized upfront payment on swaps | — | — | — | ($544,808 | ) | ||||||||||||||
Securities loaned, unaffiliated investments, at value | $ | 5,772,336 | $ | 14,012,553 | $ | 3,314,128 | — | ||||||||||||
Net asset value per share | |||||||||||||||||||
The portfolios have an unlimited number of shares authorized with par value of $0.01 per share. Net asset value is calculated by dividing the net assets of each class of shares by the number of outstanding shares in the class. | |||||||||||||||||||
Series I | |||||||||||||||||||
Net assets | $ | 40,454,225 | $ | 203,070,678 | $ | 112,431,998 | $ | 38,164,446 | |||||||||||
Shares outstanding | 4,143,798 | 14,871,710 | 8,394,719 | 2,985,458 | |||||||||||||||
Net asset value, offering price and redemption price per share | $ | 9.76 | $ | 13.65 | $ | 13.39 | $ | 12.78 | |||||||||||
Series II | |||||||||||||||||||
Net assets | $ | 167,640,559 | $ | 499,502,540 | $ | 104,125,914 | $ | 78,930,276 | |||||||||||
Shares outstanding | 17,155,038 | 36,567,039 | 7,789,400 | 6,265,177 | |||||||||||||||
Net asset value, offering price and redemption price per share | $ | 9.77 | $ | 13.66 | $ | 13.37 | $ | 12.60 | |||||||||||
Series NAV | |||||||||||||||||||
Net assets | $ | 538,026,676 | $ | 8,584,554,502 | $ | 1,028,423,894 | $ | 468,583,782 | |||||||||||
Shares outstanding | 55,067,703 | 628,798,795 | 77,099,562 | 36,774,976 | |||||||||||||||
Net asset value, offering price and redemption price per share | $ | 9.77 | $ | 13.65 | $ | 13.34 | $ | 12.74 |
Assets | | High Yield Trust | | Investment Quality Bond Trust | | Money Market Trust | | New Income Trust | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Unaffiliated investments, at value | $ | 245,303,602 | $ | 321,999,138 | $ | 2,127,056,759 | $ | 1,416,145,367 | |||||||||||
Affiliated investments, at value | 8,457,426 | 63,261 | — | 8,403,401 | |||||||||||||||
Repurchase agreements, at value | — | 16,400,000 | — | 123,434 | |||||||||||||||
Total investments, at value | 253,761,028 | 338,462,399 | 2,127,056,759 | 1,424,672,202 | |||||||||||||||
Cash | 828,776 | 117,711 | 47,734 | 4,348,675 | |||||||||||||||
Foreign currency, at value | 42,092 | 5,997 | — | — | |||||||||||||||
Cash held at broker for futures contracts | 92,028 | — | — | — | |||||||||||||||
Cash segregated at custodian for OTC derivative contracts | 270,923 | — | — | 14 | |||||||||||||||
Receivable for investments sold | 3,850,789 | 9,956,087 | — | 3,788,973 | |||||||||||||||
Receivable for delayed delivery securities sold | — | 23,538,563 | — | 9,302,611 | |||||||||||||||
Unrealized appreciation on forward foreign currency contracts | 75,072 | 41,817 | — | 67,041 | |||||||||||||||
Receivable for fund shares sold | 976,447 | 1,804,002 | — | — | |||||||||||||||
Dividends and interest receivable | 3,996,534 | 1,527,154 | 772,818 | 8,253,288 | |||||||||||||||
Receivable for securities lending income | 9,708 | 297 | — | 2,179 | |||||||||||||||
Swap contracts, at value | — | 13,194 | — | — | |||||||||||||||
Receivable for centrally cleared swaps | — | 28,496 | — | — | |||||||||||||||
Receivable due from advisor | — | — | 7,574 | — | |||||||||||||||
Other assets | 478 | 429 | 3,530 | 1,340 | |||||||||||||||
Total assets | 263,903,875 | 375,496,146 | 2,127,888,415 | 1,450,436,323 | |||||||||||||||
Liabilities | |||||||||||||||||||
Payable for investments purchased | 4,872,963 | 3,889,394 | 39,997,889 | 14,206,730 | |||||||||||||||
Payable for delayed delivery securities purchased | — | 98,596,708 | — | 25,268,174 | |||||||||||||||
Unrealized depreciation on forward foreign currency contracts | 37,003 | 13,651 | — | 222,975 | |||||||||||||||
Payable for fund shares repurchased | 48,005 | — | 12,645,975 | 213,878 | |||||||||||||||
Payable upon return of securities loaned | 8,458,720 | 63,563 | — | 8,403,975 | |||||||||||||||
Swap contracts, at value | — | 1,426,488 | — | — | |||||||||||||||
Payable for futures variation margin | 14,094 | 34,003 | — | 43,779 | |||||||||||||||
Payable to affiliates | |||||||||||||||||||
Accounting and legal services fees | 9,444 | 9,645 | 80,336 | 53,952 | |||||||||||||||
Trustees’ fees | — | — | 1,004 | 864 | |||||||||||||||
Other liabilities and accrued expenses | 50,717 | 51,786 | 153,864 | 106,601 | |||||||||||||||
Total liabilities | 13,490,946 | 104,085,238 | 52,879,068 | 48,520,928 | |||||||||||||||
Net assets | $ | 250,412,929 | $ | 271,410,908 | $ | 2,075,009,347 | $ | 1,401,915,395 | |||||||||||
Net assets consist of | |||||||||||||||||||
Paid-in capital | $ | 561,535,681 | $ | 264,335,813 | $ | 2,074,997,022 | $ | 1,364,613,615 | |||||||||||
Undistributed net investment income (loss) | 10,315,210 | 5,036,315 | (7 | ) | 26,956,248 | ||||||||||||||
Accumulated undistributed net realized gain (loss) on investments | (313,762,155 | ) | 2,271,807 | 12,332 | (7,735,892 | ) | |||||||||||||
Net unrealized appreciation (depreciation) on investments | (7,675,807 | ) | (233,027 | ) | — | 18,081,424 | |||||||||||||
Net assets | $ | 250,412,929 | $ | 271,410,908 | $ | 2,075,009,347 | $ | 1,401,915,395 | |||||||||||
Unaffiliated investments, including repurchase agreements, at cost | $ | 253,026,052 | $ | 337,613,204 | $ | 2,127,056,759 | $ | 1,398,233,500 | |||||||||||
Affiliated investments, at cost | $ | 8,457,745 | $ | 63,259 | — | $ | 8,403,438 | ||||||||||||
Foreign currency, at cost | $ | 40,082 | $ | 6,320 | — | — | |||||||||||||
Net unamortized upfront payment on swaps | — | ($364,032 | ) | — | — | ||||||||||||||
Securities loaned, unaffiliated investments, at value | $ | 8,256,011 | $ | 62,157 | — | $ | 8,207,329 | ||||||||||||
Net asset value per share | |||||||||||||||||||
The portfolios have an unlimited number of shares authorized with par value of $0.01 per share. Net asset value is calculated by dividing the net assets of each class of shares by the number of outstanding shares in the class. | |||||||||||||||||||
Series I | |||||||||||||||||||
Net assets | $ | 86,569,909 | $ | 158,217,771 | $ | 1,498,074,583 | — | ||||||||||||
Shares outstanding | 15,802,330 | 13,968,453 | 1,498,083,302 | — | |||||||||||||||
Net asset value, offering price and redemption price per share | $ | 5.48 | $ | 11.33 | $ | 1.00 | — | ||||||||||||
Series II | |||||||||||||||||||
Net assets | $ | 63,654,925 | $ | 83,139,179 | $ | 192,253,325 | — | ||||||||||||
Shares outstanding | 11,394,066 | 7,341,723 | 192,236,841 | — | |||||||||||||||
Net asset value, offering price and redemption price per share | $ | 5.59 | $ | 11.32 | $ | 1.00 | — | ||||||||||||
Series NAV | |||||||||||||||||||
Net assets | $ | 100,188,095 | $ | 30,053,958 | $ | 384,681,439 | $ | 1,401,915,395 | |||||||||||
Shares outstanding | 18,545,720 | 2,661,231 | 384,677,205 | 108,967,722 | |||||||||||||||
Net asset value, offering price and redemption price per share | $ | 5.40 | $ | 11.29 | $ | 1.00 | $ | 12.87 |
Assets | | Short Term Government Income Trust | | Strategic Income Opportunities Trust | | Total Bond Market Trust B | | Ultra Short Term Bond Trust | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Unaffiliated investments, at value | $ | 305,124,120 | $ | 618,270,633 | $ | 612,510,914 | $ | 242,866,034 | |||||||||||
Affiliated investments, at value | — | — | 2,040,779 | — | |||||||||||||||
Repurchase agreements, at value | 962,000 | 3,120,443 | — | 303,000 | |||||||||||||||
Total investments, at value | 306,086,120 | 621,391,076 | 614,551,693 | 243,169,034 | |||||||||||||||
Cash | 391 | — | — | 872,717 | |||||||||||||||
Foreign currency, at value | — | 1,225,771 | — | — | |||||||||||||||
Cash held at broker for futures contracts | — | 2,421,900 | — | — | |||||||||||||||
Cash segregated at custodian for OTC derivative contracts | — | 870,000 | — | — | |||||||||||||||
Receivable for investments sold | — | 795,448 | — | — | |||||||||||||||
Unrealized appreciation on forward foreign currency contracts | — | 9,001,426 | — | — | |||||||||||||||
Receivable for fund shares sold | 942 | 1,031,315 | 2,964,959 | 4,309 | |||||||||||||||
Dividends and interest receivable | 1,379,850 | 5,403,321 | 3,862,699 | 1,455,288 | |||||||||||||||
Receivable for securities lending income | 120 | — | 3,323 | 15 | |||||||||||||||
Receivable for futures variation margin | — | 345,168 | — | — | |||||||||||||||
Receivable due from advisor | — | — | 4,157 | — | |||||||||||||||
Other assets | 445 | 879 | 871 | 397 | |||||||||||||||
Total assets | 307,467,868 | 642,486,304 | 621,387,702 | 245,501,760 | |||||||||||||||
Liabilities | |||||||||||||||||||
Due to custodian | — | 260,389 | — | — | |||||||||||||||
Foreign capital gains tax payable | — | 25,351 | — | — | |||||||||||||||
Payable for investments purchased | — | 9,942,483 | — | — | |||||||||||||||
Payable for delayed delivery securities purchased | — | — | 41,631,523 | — | |||||||||||||||
Unrealized depreciation on forward foreign currency contracts | — | 8,515,426 | — | — | |||||||||||||||
Payable for fund shares repurchased | 2,433,931 | 1,974,198 | 13,158 | 579,020 | |||||||||||||||
Payable upon return of securities loaned | — | — | 2,043,530 | — | |||||||||||||||
Payable to affiliates | |||||||||||||||||||
Accounting and legal services fees | 11,998 | 23,198 | 22,243 | 9,347 | |||||||||||||||
Trustees’ fees | — | 108 | 45 | — | |||||||||||||||
Other liabilities and accrued expenses | 52,689 | 82,223 | 53,862 | 44,630 | |||||||||||||||
Total liabilities | 2,498,618 | 20,823,376 | 43,764,361 | 632,997 | |||||||||||||||
Net assets | $ | 304,969,250 | $ | 621,662,928 | $ | 577,623,341 | $ | 244,868,763 | |||||||||||
Net assets consist of | |||||||||||||||||||
Paid-in capital | $ | 373,481,201 | $ | 633,910,816 | $ | 558,973,144 | $ | 260,597,328 | |||||||||||
Undistributed net investment income (loss) | 2,704,764 | 15,682,951 | 10,582,323 | 1,523,659 | |||||||||||||||
Accumulated undistributed net realized gain (loss) on investments | (69,835,676 | ) | (40,433,920 | ) | (6,356,177 | ) | (17,200,628 | ) | |||||||||||
Net unrealized appreciation (depreciation) on investments | (1,381,039 | ) | 12,503,081 | 14,424,051 | (51,596 | ) | |||||||||||||
Net assets | $ | 304,969,250 | $ | 621,662,928 | $ | 577,623,341 | $ | 244,868,763 | |||||||||||
Unaffiliated investments, including repurchase agreements, at cost | $ | 307,467,159 | $ | 609,577,763 | $ | 598,086,846 | $ | 243,220,630 | |||||||||||
Affiliated investments, at cost | — | — | $ | 2,040,796 | — | ||||||||||||||
Foreign currency, at cost | — | $ | 1,224,768 | — | — | ||||||||||||||
Securities loaned, unaffiliated investments, at value | — | — | $ | 1,993,956 | — | ||||||||||||||
Net asset value per share | |||||||||||||||||||
The portfolios have an unlimited number of shares authorized with par value of $0.01 per share. Net asset value is calculated by dividing the net assets of each class of shares by the number of outstanding shares in the class. | |||||||||||||||||||
Series I | |||||||||||||||||||
Net assets | $ | 39,135,841 | $ | 484,244,680 | $ | 242,204,918 | $ | 10,350,153 | |||||||||||
Shares outstanding | 3,206,319 | 34,861,171 | 23,532,971 | 894,566 | |||||||||||||||
Net asset value, offering price and redemption price per share | $ | 12.21 | $ | 13.89 | $ | 10.29 | $ | 11.57 | |||||||||||
Series II | |||||||||||||||||||
Net assets | $ | 30,873,621 | $ | 45,262,593 | $ | 64,020,586 | $ | 215,584,127 | |||||||||||
Shares outstanding | 2,530,111 | 3,253,485 | 6,217,789 | 18,653,775 | |||||||||||||||
Net asset value, offering price and redemption price per share | $ | 12.20 | $ | 13.91 | $ | 10.30 | $ | 11.56 | |||||||||||
Series NAV | |||||||||||||||||||
Net assets | $ | 234,959,788 | $ | 92,155,655 | $ | 271,397,837 | $ | 18,934,483 | |||||||||||
Shares outstanding | 19,246,512 | 6,651,626 | 26,372,653 | 1,635,625 | |||||||||||||||
Net asset value, offering price and redemption price per share | $ | 12.21 | $ | 13.85 | $ | 10.29 | $ | 11.58 |
Investment income | | Active Bond Trust | | Bond Trust | | Core Bond Trust | | Global Bond Trust | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Interest | $ | 13,823,997 | $ | 135,267,954 | $ | 15,166,607 | $ | 7,774,593 | |||||||||||
Dividends | 82,946 | — | — | 16,711 | |||||||||||||||
Securities lending | 74,595 | 406,685 | 109,960 | — | |||||||||||||||
Less foreign taxes withheld | (164 | ) | (4,068 | ) | (582 | ) | — | ||||||||||||
Total investment income | 13,981,374 | 135,670,571 | 15,275,985 | 7,791,304 | |||||||||||||||
Expenses | |||||||||||||||||||
Investment management fees | 2,208,156 | 25,787,966 | 3,584,602 | 2,012,447 | |||||||||||||||
Series I distribution and service fees | 10,014 | 50,085 | 28,940 | 9,667 | |||||||||||||||
Series II distribution and service fees | 206,946 | 615,013 | 134,722 | 98,207 | |||||||||||||||
Accounting and legal services fees | 62,850 | 775,657 | 104,804 | 48,909 | |||||||||||||||
Professional fees | 35,614 | 106,937 | 43,364 | 48,733 | |||||||||||||||
Printing and postage | 11,843 | 94,205 | 14,750 | 10,153 | |||||||||||||||
Custodian fees | 62,383 | 608,608 | 74,883 | 95,633 | |||||||||||||||
Trustees’ fees | 6,885 | 82,055 | 11,278 | 5,281 | |||||||||||||||
Interest expense | — | — | — | 21,641 | |||||||||||||||
Other | 11,965 | 59,083 | 16,942 | 11,865 | |||||||||||||||
Total expenses before reductions | 2,616,656 | 28,179,609 | 4,014,285 | 2,362,536 | |||||||||||||||
Less expense reductions | (28,999 | ) | (359,498 | ) | (48,282 | ) | (22,588 | ) | |||||||||||
Net expenses | 2,587,657 | 27,820,111 | 3,966,003 | 2,339,948 | |||||||||||||||
Net investment income (loss) | 11,393,717 | 107,850,460 | 11,309,982 | 5,451,356 | |||||||||||||||
Realized and unrealized gain (loss) | |||||||||||||||||||
Net realized gain (loss) on | |||||||||||||||||||
Unaffiliated investments and foreign currency transactions | 2,439,690 | 12,268,201 | 2,456,887 | 184,058 | |||||||||||||||
Affiliated investments | (1,661 | ) | (4,176 | ) | (6,531 | ) | — | ||||||||||||
Futures contracts | — | — | — | 4,092,917 | |||||||||||||||
Written options | — | — | — | (359,640 | ) | ||||||||||||||
Swap contracts | — | — | — | 5,678,069 | |||||||||||||||
2,438,029 | 12,264,025 | 2,450,356 | 9,595,404 | ||||||||||||||||
Change in net unrealized appreciation (depreciation) of | |||||||||||||||||||
Unaffiliated investments and translation of assets and liabilities in foreign currencies | 10,303,229 | 115,330,760 | 14,846,198 | 16,033,611 | |||||||||||||||
Affiliated investments | 272 | 5,246 | 2,920 | — | |||||||||||||||
Futures contracts | — | — | — | 222,195 | |||||||||||||||
Written options | — | — | — | 582,824 | |||||||||||||||
Swap contracts | — | — | — | (2,901,334 | ) | ||||||||||||||
10,303,501 | 115,336,006 | 14,849,118 | 13,937,296 | ||||||||||||||||
Net realized and unrealized gain (loss) | 12,741,530 | 127,600,031 | 17,299,474 | 23,532,700 | |||||||||||||||
Increase (decrease) in net assets from operations | $ | 24,135,247 | $ | 235,450,491 | $ | 28,609,456 | $ | 28,984,056 |
Investment income | | High Yield Trust | | Investment Quality Bond Trust | | Money Market Trust | | New Income Trust | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Interest | $ | 8,070,237 | $ | 4,231,317 | $ | 7,891,316 | $ | 21,059,938 | |||||||||||
Dividends | 94,123 | — | — | — | |||||||||||||||
Securities lending | 42,342 | 4,129 | — | 13,080 | |||||||||||||||
Less foreign taxes withheld | (29 | ) | — | — | — | ||||||||||||||
Total investment income | 8,206,673 | 4,235,446 | 7,891,316 | 21,073,018 | |||||||||||||||
Expenses | |||||||||||||||||||
Investment management fees | 848,274 | 828,575 | 4,011,210 | 3,772,603 | |||||||||||||||
Series I distribution and service fees | 21,613 | 39,309 | 396,815 | — | |||||||||||||||
Series II distribution and service fees | 80,080 | 102,625 | 248,964 | — | |||||||||||||||
Accounting and legal services fees | 20,977 | 23,072 | 182,527 | 116,999 | |||||||||||||||
Professional fees | 36,983 | 40,418 | 71,422 | 47,398 | |||||||||||||||
Printing and postage | 6,994 | 7,423 | 70,461 | 12,905 | |||||||||||||||
Custodian fees | 16,467 | 20,565 | 143,430 | 101,562 | |||||||||||||||
Trustees’ fees | 2,467 | 2,798 | 20,525 | 12,631 | |||||||||||||||
Other | 81,865 | 7,698 | 16,689 | 13,397 | |||||||||||||||
Total expenses before reductions | 1,115,720 | 1,072,483 | 5,162,043 | 4,077,495 | |||||||||||||||
Less expense reductions | (9,754 | ) | (10,971 | ) | (1,455,295 | ) | (115,967 | ) | |||||||||||
Net expenses | 1,105,966 | 1,061,512 | 3,706,748 | 3,961,528 | |||||||||||||||
Net investment income (loss) | 7,100,707 | 3,173,934 | 4,184,568 | 17,111,490 | |||||||||||||||
Realized and unrealized gain (loss) | |||||||||||||||||||
Net realized gain (loss) on | |||||||||||||||||||
Unaffiliated investments and foreign currency transactions | (397,798 | ) | 1,057,084 | (10,728 | ) | 821,968 | |||||||||||||
Affiliated investments | (569 | ) | (281 | ) | — | (368 | ) | ||||||||||||
Futures contracts | 97,104 | 473,284 | — | (1,163,421 | ) | ||||||||||||||
Written options | 51,682 | 3,610 | — | 19,600 | |||||||||||||||
Swap contracts | (73,983 | ) | 369,105 | — | 33,879 | ||||||||||||||
(323,564 | ) | 1,902,802 | (10,728 | ) | (288,342 | ) | |||||||||||||
Change in net unrealized appreciation (depreciation) of | |||||||||||||||||||
Unaffiliated investments and translation of assets and liabilities in foreign currencies | 4,744,926 | 3,460,399 | — | 18,031,259 | |||||||||||||||
Affiliated investments | (104 | ) | 105 | — | 14 | ||||||||||||||
Futures contracts | 73,025 | 178,932 | — | 645,123 | |||||||||||||||
Swap contracts | — | (295,595 | ) | — | 8,177 | ||||||||||||||
4,817,847 | 3,343,841 | — | 18,684,573 | ||||||||||||||||
Net realized and unrealized gain (loss) | 4,494,283 | 5,246,643 | (10,728 | ) | 18,396,231 | ||||||||||||||
Increase (decrease) in net assets from operations | $ | 11,594,990 | $ | 8,420,577 | $ | 4,173,840 | $ | 35,507,721 |
Investment income | | Short Term Government Income Trust | | Strategic Income Opportunities Trust | | Total Bond Market Trust B | | Ultra Short Term Bond Trust | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Interest | $ | 2,418,898 | $ | 10,722,018 | $ | 7,769,923 | $ | 1,825,340 | |||||||||||
Dividends | — | 1,397,081 | — | — | |||||||||||||||
Securities lending | 16,017 | — | 53,603 | 8,226 | |||||||||||||||
Less foreign taxes withheld | — | (121,717 | ) | (2,180 | ) | — | |||||||||||||
Total investment income | 2,434,915 | 11,997,382 | 7,821,346 | 1,833,566 | |||||||||||||||
Expenses | |||||||||||||||||||
Investment management fees | 884,203 | 1,860,979 | 1,338,550 | 729,499 | |||||||||||||||
Series I distribution and service fees | 9,968 | 118,980 | 57,444 | 3,017 | |||||||||||||||
Series II distribution and service fees | 39,278 | 56,999 | 83,274 | 293,546 | |||||||||||||||
Accounting and legal services fees | 26,801 | 50,303 | 48,425 | 22,123 | |||||||||||||||
Professional fees | 36,494 | 43,258 | 29,377 | 29,637 | |||||||||||||||
Printing and postage | 6,893 | 10,269 | 11,163 | 7,904 | |||||||||||||||
Custodian fees | 19,107 | 62,010 | 34,321 | 17,349 | |||||||||||||||
Trustees’ fees | 3,046 | 5,316 | 5,257 | 2,758 | |||||||||||||||
Other | 5,022 | 7,797 | 6,679 | 5,016 | |||||||||||||||
Total expenses before reductions | 1,030,812 | 2,215,911 | 1,614,490 | 1,110,849 | |||||||||||||||
Less expense reductions | (12,423 | ) | (23,300 | ) | (761,778 | ) | (10,436 | ) | |||||||||||
Net expenses | 1,018,389 | 2,192,611 | 852,712 | 1,100,413 | |||||||||||||||
Net investment income (loss) | 1,416,526 | 9,804,771 | 6,968,634 | 733,153 | |||||||||||||||
Realized and unrealized gain (loss) | |||||||||||||||||||
Net realized gain (loss) on | |||||||||||||||||||
Unaffiliated investments and foreign currency transactions | (313,725 | ) | (2,466,957 | ) | 838,223 | 26,218 | |||||||||||||
Affiliated investments | (1 | ) | — | (2,727 | ) | 599 | |||||||||||||
Futures contracts | — | (2,849,546 | ) | — | — | ||||||||||||||
(313,726 | ) | (5,316,503 | ) | 835,496 | 26,817 | ||||||||||||||
Change in net unrealized appreciation (depreciation) of | |||||||||||||||||||
Unaffiliated investments and translation of assets and liabilities in foreign currencies | 1,181,128 | 16,320,741 | 4,341,845 | 78,578 | |||||||||||||||
Affiliated investments | 150 | — | 847 | — | |||||||||||||||
Futures contracts | — | 254,841 | — | — | |||||||||||||||
1,181,278 | 16,575,582 | 4,342,692 | 78,578 | ||||||||||||||||
Net realized and unrealized gain (loss) | 867,552 | 11,259,079 | 5,178,188 | 105,395 | |||||||||||||||
Increase (decrease) in net assets from operations | $ | 2,284,078 | $ | 21,063,850 | $ | 12,146,822 | $ | 838,548 |
Active Bond Trust | Bond Trust | Core Bond Trust | |||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Increase (decrease) in net assets | | Six months ended 6-30-17 (unaudited) | | Year ended 12-31-16 | | Six months ended 6-30-17 (unaudited) | | Year ended 12-31-16 | | Six months ended 6-30-17 (unaudited) | | Year ended 12-31-16 | |||||||||||||||
From operations | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 11,393,717 | $ | 24,285,618 | $ | 107,850,460 | $ | 204,262,156 | $ | 11,309,982 | $ | 21,113,625 | |||||||||||||||
Net realized gain (loss) | 2,438,029 | 2,814,205 | 12,264,025 | 16,061,888 | 2,450,356 | 16,577,560 | |||||||||||||||||||||
Change in net unrealized appreciation (depreciation) | 10,303,501 | 6,141,912 | 115,336,006 | 58,460,373 | 14,849,118 | (1,324,280 | ) | ||||||||||||||||||||
Increase (decrease) in net assets resulting from operations | 24,135,247 | 33,241,735 | 235,450,491 | 278,784,417 | 28,609,456 | 36,366,905 | |||||||||||||||||||||
Distributions to shareholders | |||||||||||||||||||||||||||
From net investment income | |||||||||||||||||||||||||||
Series I | — | (1,542,926 | ) | — | (5,861,158 | ) | — | (2,569,290 | ) | ||||||||||||||||||
Series II | — | (5,823,984 | ) | — | (13,743,822 | ) | — | (2,154,922 | ) | ||||||||||||||||||
Series NAV | — | (20,167,995 | ) | — | (246,332,663 | ) | — | (20,827,736 | ) | ||||||||||||||||||
From net realized gain | |||||||||||||||||||||||||||
Series I | — | — | — | — | — | (71,155 | ) | ||||||||||||||||||||
Series II | — | — | — | — | — | (67,162 | ) | ||||||||||||||||||||
Series NAV | — | — | — | — | — | (555,786 | ) | ||||||||||||||||||||
Total distributions | — | (27,534,905 | ) | — | (265,937,643 | ) | — | (26,246,051 | ) | ||||||||||||||||||
From portfolio share transactions | |||||||||||||||||||||||||||
Portfolio share transactions | (22,271,007 | ) | (34,665,581 | ) | (90,664,629 | ) | (106,113,260 | ) | (5,242,571 | ) | (106,741,327 | ) | |||||||||||||||
Issued in reorganization | — | — | — | 62,114,922 | — | — | |||||||||||||||||||||
Total from portfolio share transactions | (22,271,007 | ) | (34,665,581 | ) | (90,664,629 | ) | (43,998,338 | ) | (5,242,571 | ) | (106,741,327 | ) | |||||||||||||||
Total increase (decrease) | 1,864,240 | (28,958,751 | ) | 144,785,862 | (31,151,564 | ) | 23,366,885 | (96,620,473 | ) | ||||||||||||||||||
Net assets | |||||||||||||||||||||||||||
Beginning of period | 744,257,220 | 773,215,971 | 9,142,341,858 | 9,173,493,422 | 1,221,614,921 | 1,318,235,394 | |||||||||||||||||||||
End of period | $ | 746,121,460 | $ | 744,257,220 | $ | 9,287,127,720 | $ | 9,142,341,858 | $ | 1,244,981,806 | $ | 1,221,614,921 | |||||||||||||||
Undistributed net investment income (loss) | $ | 18,064,273 | $ | 6,670,556 | $ | 174,159,690 | $ | 66,309,230 | $ | 18,106,100 | $ | 6,796,118 |
Global Bond Trust | High Yield Trust | Investment Quality Bond Trust | |||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Increase (decrease) in net assets | | Six months ended 6-30-17 (unaudited) | | Year ended 12-31-16 | | Six months ended 6-30-17 (unaudited) | | Year ended 12-31-16 | | Six months ended 6-30-17 (unaudited) | | Year ended 12-31-16 | |||||||||||||||
From operations | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 5,451,356 | $ | 13,376,646 | $ | 7,100,707 | $ | 16,232,275 | $ | 3,173,934 | $ | 6,965,797 | |||||||||||||||
Net realized gain (loss) | 9,595,404 | (9,709,927 | ) | (323,564 | ) | (17,199,448 | ) | 1,902,802 | 284,917 | ||||||||||||||||||
Change in net unrealized appreciation (depreciation) | 13,937,296 | 17,698,542 | 4,817,847 | 38,241,102 | 3,343,841 | 4,112,841 | |||||||||||||||||||||
Increase (decrease) in net assets resulting from operations | 28,984,056 | 21,365,261 | 11,594,990 | 37,273,929 | 8,420,577 | 11,363,555 | |||||||||||||||||||||
Distributions to shareholders | |||||||||||||||||||||||||||
From net investment income | |||||||||||||||||||||||||||
Series I | — | — | — | (5,895,173 | ) | — | (3,614,278 | ) | |||||||||||||||||||
Series II | — | — | — | (4,271,567 | ) | — | (1,712,151 | ) | |||||||||||||||||||
Series NAV | — | — | — | (6,490,628 | ) | — | (1,226,362 | ) | |||||||||||||||||||
From net realized gain | |||||||||||||||||||||||||||
Series I | — | — | — | — | — | (974,251 | ) | ||||||||||||||||||||
Series II | — | — | — | — | — | (513,933 | ) | ||||||||||||||||||||
Series NAV | — | — | — | — | — | (320,516 | ) | ||||||||||||||||||||
Total distributions | — | — | — | (16,657,368 | ) | — | (8,361,491 | ) | |||||||||||||||||||
From portfolio share transactions | |||||||||||||||||||||||||||
Portfolio share transactions | (11,010,377 | ) | (78,498,658 | ) | (10,372,739 | ) | (4,727,357 | ) | (33,466,391 | ) | 12,817,819 | ||||||||||||||||
Total from portfolio share transactions | (11,010,377 | ) | (78,498,658 | ) | (10,372,739 | ) | (4,727,357 | ) | (33,466,391 | ) | 12,817,819 | ||||||||||||||||
Total increase (decrease) | 17,973,679 | (57,133,397 | ) | 1,222,251 | 15,889,204 | (25,045,814 | ) | 15,819,883 | |||||||||||||||||||
Net assets | |||||||||||||||||||||||||||
Beginning of period | 567,704,825 | 624,838,222 | 249,190,678 | 233,301,474 | 296,456,722 | 280,636,839 | |||||||||||||||||||||
End of period | $ | 585,678,504 | $ | 567,704,825 | $ | 250,412,929 | $ | 249,190,678 | $ | 271,410,908 | $ | 296,456,722 | |||||||||||||||
Undistributed net investment income (loss) | $ | 18,150,457 | $ | 12,699,101 | $ | 10,315,210 | $ | 3,214,503 | $ | 5,036,315 | $ | 1,862,381 |
Money Market Trust | New Income Trust | Short Term Government Income Trust | |||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Increase (decrease) in net assets | | Six months ended 6-30-17 (unaudited) | | Year ended 12-31-16 | | Six months ended 6-30-17 (unaudited) | | Year ended 12-31-16 | | Six months ended 6-30-17 (unaudited) | | Year ended 12-31-16 | |||||||||||||||
From operations | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 4,184,568 | $ | 1,658,481 | $ | 17,111,490 | $ | 32,731,129 | $ | 1,416,526 | $ | 2,570,602 | |||||||||||||||
Net realized gain (loss) | (10,728 | ) | 42,088 | (288,342 | ) | 2,875,354 | (313,726 | ) | 1,848,493 | ||||||||||||||||||
Change in net unrealized appreciation (depreciation) | — | — | 18,684,573 | 4,068,577 | 1,181,278 | (2,364,951 | ) | ||||||||||||||||||||
Increase (decrease) in net assets resulting from operations | 4,173,840 | 1,700,569 | 35,507,721 | 39,675,060 | 2,284,078 | 2,054,144 | |||||||||||||||||||||
Distributions to shareholders | |||||||||||||||||||||||||||
From net investment income | |||||||||||||||||||||||||||
Series I | (3,104,038 | ) | (1,247,556 | ) | — | — | — | (690,907 | ) | ||||||||||||||||||
Series II | (191,136 | ) | — | — | — | — | (485,869 | ) | |||||||||||||||||||
Series NAV | (889,401 | ) | (410,927 | )1 | — | (40,476,813 | ) | — | (4,248,923 | ) | |||||||||||||||||
From net realized gain | |||||||||||||||||||||||||||
Series NAV | — | — | — | (6,014,484 | ) | — | — | ||||||||||||||||||||
Total distributions | (4,184,575 | ) | (1,658,483 | ) | — | (46,491,297 | ) | — | (5,425,699 | ) | |||||||||||||||||
From portfolio share transactions | |||||||||||||||||||||||||||
Portfolio share transactions | (247,668,319 | ) | (46,056,452 | ) | 11,662,584 | (102,493,634 | ) | (21,759,754 | ) | (333,593 | ) | ||||||||||||||||
Issued in reorganization | — | 401,438,296 | — | — | — | — | |||||||||||||||||||||
Total from portfolio share transactions | (247,668,319 | ) | 355,381,844 | 11,662,584 | (102,493,634 | ) | (21,759,754 | ) | (333,593 | ) | |||||||||||||||||
Total increase (decrease) | (247,679,054 | ) | 355,423,930 | 47,170,305 | (109,309,871 | ) | (19,475,676 | ) | (3,705,148 | ) | |||||||||||||||||
Net assets | |||||||||||||||||||||||||||
Beginning of period | 2,322,688,401 | 1,967,264,471 | 1,354,745,090 | 1,464,054,961 | 324,444,926 | 328,150,074 | |||||||||||||||||||||
End of period | $ | 2,075,009,347 | $ | 2,322,688,401 | $ | 1,401,915,395 | $ | 1,354,745,090 | $ | 304,969,250 | $ | 324,444,926 | |||||||||||||||
Undistributed net investment income (loss) | ($7 | ) | — | $ | 26,956,248 | $ | 9,844,758 | $ | 2,704,764 | $ | 1,288,238 |
1 | The inception date for Class NAV shares is 5-2-16. |
Strategic Income Opportunities Trust | Total Bond Market Trust B | Ultra Short Term Bond Trust | |||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Increase (decrease) in net assets | | Six months ended 6-30-17 (unaudited) | | Year ended 12-31-16 | | Six months ended 6-30-17 (unaudited) | | Year ended 12-31-16 | | Six months ended 6-30-17 (unaudited) | | Year ended 12-31-16 | |||||||||||||||
From operations | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 9,804,771 | $ | 17,566,072 | $ | 6,968,634 | $ | 13,634,831 | $ | 733,153 | $ | 775,730 | |||||||||||||||
Net realized gain (loss) | (5,316,503 | ) | 4,270,306 | 835,496 | 1,397,945 | 26,817 | 58,106 | ||||||||||||||||||||
Change in net unrealized appreciation (depreciation) | 16,575,582 | 8,338,889 | 4,342,692 | (3,472,334 | ) | 78,578 | 336,335 | ||||||||||||||||||||
Increase (decrease) in net assets resulting from operations | 21,063,850 | 30,175,267 | 12,146,822 | 11,560,442 | 838,548 | 1,170,171 | |||||||||||||||||||||
Distributions to shareholders | |||||||||||||||||||||||||||
From net investment income | |||||||||||||||||||||||||||
Series I | — | (11,665,965 | ) | — | (6,096,494 | ) | — | (202,487 | ) | ||||||||||||||||||
Series II | — | (1,040,246 | ) | — | (2,022,600 | ) | — | (3,827,229 | ) | ||||||||||||||||||
Series NAV | — | (1,689,359 | ) | — | (7,543,409 | ) | — | (274,183 | ) | ||||||||||||||||||
Total distributions | — | (14,395,570 | ) | — | (15,662,503 | ) | — | (4,303,899 | ) | ||||||||||||||||||
From portfolio share transactions | |||||||||||||||||||||||||||
Portfolio share transactions | 15,230,800 | (6,804,414 | ) | (14,725,122 | ) | 77,993,877 | (52,628,595 | ) | 40,812,370 | ||||||||||||||||||
Total from portfolio share transactions | 15,230,800 | (6,804,414 | ) | (14,725,122 | ) | 77,993,877 | (52,628,595 | ) | 40,812,370 | ||||||||||||||||||
Total increase (decrease) | 36,294,650 | 8,975,283 | (2,578,300 | ) | 73,891,816 | (51,790,047 | ) | 37,678,642 | |||||||||||||||||||
Net assets | |||||||||||||||||||||||||||
Beginning of period | 585,368,278 | 576,392,995 | 580,201,641 | 506,309,825 | 296,658,810 | 258,980,168 | |||||||||||||||||||||
End of period | $ | 621,662,928 | $ | 585,368,278 | $ | 577,623,341 | $ | 580,201,641 | $ | 244,868,763 | $ | 296,658,810 | |||||||||||||||
Undistributed net investment income (loss) | $ | 15,682,951 | $ | 5,878,180 | $ | 10,582,323 | $ | 3,613,689 | $ | 1,523,659 | $ | 790,506 |
Per share operating performance for a share outstanding throughout the period | Ratios and supplemental data | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations | Less distributions | Ratios to average net assets | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Period ended | Net asset value, beginning of period ($) | Net investment income (loss) ($)1 | Net real- ized and unrealized gain (loss) on invest- ments ($) | Total from investment oper- ations ($) | From net investment income ($) | From net realized gain ($) | From tax return of capital ($) | Total distri- butions ($) | Net asset value, end of period ($) | Total return (%)2 | Expenses before reductions (%) | Expenses including reductions (%) | Net investment income (loss) (%) | Net assets, end of period (in millions) | Portfolio turnover (%) | ||||||||||||||||||||||||||||||||||||||||||||||||
Active Bond Trust | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 9.45 | 0.16 | 0.15 | 0.31 | — | — | — | — | 9.76 | 3.28 | 4 | 0.70 | 5 | 0.69 | 5 | 3.28 | 5 | 40 | 41 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 9.40 | 0.31 | 0.10 | 0.41 | (0.36 | ) | — | — | (0.36 | ) | 9.45 | 4.34 | 0.68 | 6 | 0.68 | 6 | 3.18 | 41 | 84 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 9.88 | 0.33 | (0.31 | ) | 0.02 | (0.50 | ) | — | — | (0.50 | ) | 9.40 | 0.17 | 0.69 | 0.69 | 3.31 | 44 | 60 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 9.60 | 0.31 | 0.34 | 0.65 | (0.37 | ) | — | — | (0.37 | ) | 9.88 | 6.81 | 0.69 | 0.68 | 3.13 | 49 | 62 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 10.16 | 0.36 | (0.33 | ) | 0.03 | (0.59 | ) | — | — | (0.59 | ) | 9.60 | 0.24 | 0.69 | 0.68 | 3.52 | 51 | 82 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 9.72 | 0.40 | 0.54 | 0.94 | (0.43 | ) | (0.07 | ) | — | (0.50 | ) | 10.16 | 9.71 | 0.69 | 0.68 | 3.97 | 60 | 86 | |||||||||||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 9.47 | 0.15 | 0.15 | 0.30 | — | — | — | — | 9.77 | 3.17 | 4 | 0.90 | 5 | 0.89 | 5 | 3.08 | 5 | 168 | 41 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 9.41 | 0.29 | 0.11 | 0.40 | (0.34 | ) | — | — | (0.34 | ) | 9.47 | 4.23 | 0.88 | 6 | 0.88 | 6 | 2.98 | 167 | 84 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 9.90 | 0.31 | (0.32 | ) | (0.01 | ) | (0.48 | ) | — | — | (0.48 | ) | 9.41 | (0.14 | ) | 0.89 | 0.89 | 3.13 | 184 | 60 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 9.62 | 0.29 | 0.34 | 0.63 | (0.35 | ) | — | — | (0.35 | ) | 9.90 | 6.59 | 0.89 | 0.88 | 2.94 | 215 | 62 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 10.18 | 0.34 | (0.33 | ) | 0.01 | (0.57 | ) | — | — | (0.57 | ) | 9.62 | 0.05 | 0.89 | 0.88 | 3.31 | 253 | 82 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 9.74 | 0.38 | 0.54 | 0.92 | (0.41 | ) | (0.07 | ) | — | (0.48 | ) | 10.18 | 9.48 | 0.89 | 0.88 | 3.78 | 279 | 86 | |||||||||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 9.46 | 0.16 | 0.15 | 0.31 | — | — | — | — | 9.77 | 3.28 | 4 | 0.65 | 5 | 0.64 | 5 | 3.33 | 5 | 538 | 41 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 9.40 | 0.31 | 0.11 | 0.42 | (0.36 | ) | — | — | (0.36 | ) | 9.46 | 4.50 | 0.63 | 6 | 0.63 | 6 | 3.23 | 536 | 84 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 9.89 | 0.33 | (0.32 | ) | 0.01 | (0.50 | ) | — | — | (0.50 | ) | 9.40 | 0.12 | 0.64 | 0.64 | 3.35 | 546 | 60 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 9.60 | 0.32 | 0.35 | 0.67 | (0.38 | ) | — | — | (0.38 | ) | 9.89 | 6.97 | 0.64 | 0.63 | 3.17 | 573 | 62 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 10.17 | 0.36 | (0.34 | ) | 0.02 | (0.59 | ) | — | — | (0.59 | ) | 9.60 | 0.19 | 0.64 | 0.63 | 3.54 | 552 | 82 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 9.73 | 0.41 | 0.53 | 0.94 | (0.43 | ) | (0.07 | ) | — | (0.50 | ) | 10.17 | 9.76 | 0.64 | 0.63 | 4.02 | 920 | 86 | |||||||||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-17. Unaudited. 4. Not annualized. 5. Annualized. 6. Includes reimbursement for overbilling of custody expenses in prior years of 0.01%. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Bond Trust | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 13.31 | 0.16 | 0.18 | 0.34 | — | — | — | — | 13.65 | 2.55 | 4 | 0.65 | 5 | 0.64 | 5 | 2.32 | 5 | 203 | 47 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 13.30 | 0.31 | 0.10 | 0.41 | (0.40 | ) | — | — | (0.40 | ) | 13.31 | 3.06 | 0.65 | 0.64 | 2.23 | 203 | 73 | 6 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 13.67 | 0.31 | (0.27 | ) | 0.04 | (0.41 | ) | — | — | (0.41 | ) | 13.30 | 0.24 | 0.65 | 0.64 | 2.23 | 203 | 62 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 13.30 | 0.31 | 0.42 | 0.73 | (0.36 | ) | — | — | (0.36 | ) | 13.67 | 5.53 | 0.64 | 0.64 | 2.23 | 228 | 104 | 6 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 13.99 | 0.27 | (0.46 | ) | (0.19 | ) | (0.40 | ) | (0.10 | ) | — | (0.50 | ) | 13.30 | (1.36 | ) | 0.65 | 0.64 | 1.97 | 249 | 104 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 13.62 | 0.31 | 0.55 | 0.86 | (0.39 | ) | (0.10 | ) | — | (0.49 | ) | 13.99 | 6.34 | 0.65 | 0.64 | 2.23 | 244 | 114 | |||||||||||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 13.33 | 0.14 | 0.19 | 0.33 | — | — | — | — | 13.66 | 2.48 | 4 | 0.85 | 5 | 0.84 | 5 | 2.12 | 5 | 500 | 47 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 13.32 | 0.28 | 0.10 | 0.38 | (0.37 | ) | — | — | (0.37 | ) | 13.33 | 2.85 | 0.85 | 0.84 | 2.03 | 506 | 73 | 6 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 13.69 | 0.28 | (0.27 | ) | 0.01 | (0.38 | ) | — | — | (0.38 | ) | 13.32 | 0.04 | 0.85 | 0.84 | 2.03 | 511 | 62 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 13.31 | 0.28 | 0.44 | 0.72 | (0.34 | ) | — | — | (0.34 | ) | 13.69 | 5.40 | 0.84 | 0.84 | 2.03 | 558 | 104 | 6 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 14.01 | 0.24 | (0.46 | ) | (0.22 | ) | (0.38 | ) | (0.10 | ) | — | (0.48 | ) | 13.31 | (1.63 | ) | 0.85 | 0.84 | 1.77 | 629 | 104 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 13.64 | 0.29 | 0.54 | 0.83 | (0.36 | ) | (0.10 | ) | — | (0.46 | ) | 14.01 | 6.12 | 0.85 | 0.84 | 2.03 | 634 | 114 | |||||||||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 13.31 | 0.16 | 0.18 | 0.34 | — | — | — | — | 13.65 | 2.55 | 4 | 0.60 | 5 | 0.59 | 5 | 2.37 | 5 | 8,585 | 47 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 13.29 | 0.31 | 0.12 | 0.43 | (0.41 | ) | — | — | (0.41 | ) | 13.31 | 3.19 | 0.60 | 0.59 | 2.28 | 8,433 | 73 | 6 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 13.66 | 0.31 | (0.27 | ) | 0.04 | (0.41 | ) | — | — | (0.41 | ) | 13.29 | 0.29 | 0.60 | 0.59 | 2.28 | 8,459 | 62 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 13.29 | 0.31 | 0.43 | 0.74 | (0.37 | ) | — | — | (0.37 | ) | 13.66 | 5.59 | 0.59 | 0.59 | 2.25 | 9,854 | 104 | 6 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 13.98 | 0.28 | (0.46 | ) | (0.18 | ) | (0.41 | ) | (0.10 | ) | — | (0.51 | ) | 13.29 | (1.32 | ) | 0.60 | 0.59 | 2.03 | 7,366 | 104 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 13.62 | 0.32 | 0.54 | 0.86 | (0.40 | ) | (0.10 | ) | — | (0.50 | ) | 13.98 | 6.31 | 0.60 | 0.59 | 2.26 | 7,070 | 114 | |||||||||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-17. Unaudited. 4. Not annualized. 5. Annualized. 6. Excludes merger activity. |
Per share operating performance for a share outstanding throughout the period | Ratios and supplemental data | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations | Less distributions | Ratios to average net assets | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Period ended | Net asset value, beginning of period ($) | Net investment income (loss) ($)1 | Net real- ized and unrealized gain (loss) on invest- ments ($) | Total from investment oper- ations ($) | From net investment income ($) | From net realized gain ($) | From tax return of capital ($) | Total distri- butions ($) | Net asset value, end of period ($) | Total return (%)2 | Expenses before reductions (%) | Expenses including reductions (%) | Net investment income (loss) (%) | Net assets, end of period (in millions) | Portfolio turnover (%) | ||||||||||||||||||||||||||||||||||||||||||||||||
Core Bond Trust | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 13.09 | 0.12 | 0.18 | 0.30 | — | — | — | — | 13.39 | 2.29 | 4 | 0.68 | 5 | 0.67 | 5 | 1.81 | 5 | 112 | 194 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 13.01 | 0.22 | 0.14 | 0.36 | (0.27 | ) | (0.01 | ) | — | (0.28 | ) | 13.09 | 2.74 | 0.67 | 0.66 | 1.63 | 121 | 486 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 13.22 | 0.21 | (0.17 | ) | 0.04 | (0.22 | ) | (0.03 | ) | — | (0.25 | ) | 13.01 | 0.31 | 0.68 | 0.67 | 1.57 | 141 | 425 | 6 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 12.85 | 0.21 | 0.55 | 0.76 | (0.39 | ) | — | — | (0.39 | ) | 13.22 | 5.93 | 0.67 | 0.67 | 1.59 | 1 | 356 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 13.96 | 0.21 | (0.50 | ) | (0.29 | ) | (0.29 | ) | (0.53 | ) | — | (0.82 | ) | 12.85 | (2.16 | ) | 0.67 | 0.66 | 1.54 | 1 | 326 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 13.83 | 0.25 | 0.64 | 0.89 | (0.39 | ) | (0.37 | ) | — | (0.76 | ) | 13.96 | 6.47 | 0.67 | 0.67 | 1.79 | 2 | 367 | |||||||||||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 13.08 | 0.11 | 0.18 | 0.29 | — | — | — | — | 13.37 | 2.22 | 4 | 0.88 | 5 | 0.87 | 5 | 1.61 | 5 | 104 | 194 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 13.00 | 0.19 | 0.14 | 0.33 | (0.24 | ) | (0.01 | ) | — | (0.25 | ) | 13.08 | 2.54 | 0.87 | 0.86 | 1.43 | 114 | 486 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 13.21 | 0.18 | (0.16 | ) | 0.02 | (0.20 | ) | (0.03 | ) | — | (0.23 | ) | 13.00 | 0.11 | 0.88 | 0.87 | 1.36 | 128 | 425 | 6 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 12.84 | 0.18 | 0.55 | 0.73 | (0.36 | ) | — | — | (0.36 | ) | 13.21 | 5.73 | 0.87 | 0.87 | 1.40 | 8 | 356 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 13.95 | 0.18 | (0.50 | ) | (0.32 | ) | (0.26 | ) | (0.53 | ) | — | (0.79 | ) | 12.84 | (2.35 | ) | 0.87 | 0.86 | 1.34 | 9 | 326 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 13.82 | 0.23 | 0.63 | 0.86 | (0.36 | ) | (0.37 | ) | — | (0.73 | ) | 13.95 | 6.27 | 0.87 | 0.87 | 1.60 | 12 | 367 | |||||||||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 13.03 | 0.12 | 0.19 | 0.31 | — | — | — | — | 13.34 | 2.38 | 4 | 0.63 | 5 | 0.62 | 5 | 1.87 | 5 | 1,028 | 194 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 12.96 | 0.22 | 0.14 | 0.36 | (0.28 | ) | (0.01 | ) | — | (0.29 | ) | 13.03 | 2.72 | 0.62 | 0.61 | 1.68 | 987 | 486 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 13.17 | 0.21 | (0.16 | ) | 0.05 | (0.23 | ) | (0.03 | ) | — | (0.26 | ) | 12.96 | 0.36 | 0.63 | 0.62 | 1.60 | 1,049 | 425 | 6 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 12.80 | 0.22 | 0.55 | 0.77 | (0.40 | ) | — | — | (0.40 | ) | 13.17 | 6.01 | 0.62 | 0.62 | 1.65 | 1,018 | 356 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 13.91 | 0.22 | (0.51 | ) | (0.29 | ) | (0.29 | ) | (0.53 | ) | — | (0.82 | ) | 12.80 | (2.11 | ) | 0.62 | 0.61 | 1.60 | 1,690 | 326 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 13.78 | 0.26 | 0.63 | 0.89 | (0.39 | ) | (0.37 | ) | — | (0.76 | ) | 13.91 | 6.54 | 0.62 | 0.62 | 1.84 | 1,734 | 367 | |||||||||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-17. Unaudited. 4. Not annualized. 5. Annualized. 6. Excludes merger activity. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Global Bond Trust | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 12.16 | 0.12 | 0.50 | 0.62 | — | — | — | — | 12.78 | 5.10 | 4 | 0.81 | 5 | 0.80 | 5 | 1.87 | 5 | 38 | 28 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 11.80 | 0.28 | 0.08 | 0.36 | — | — | — | — | 12.16 | 3.05 | 0.81 | 6 | 0.80 | 6 | 2.18 | 40 | 57 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 12.54 | 0.24 | (0.66 | ) | (0.42 | ) | (0.32 | ) | — | — | (0.32 | ) | 11.80 | (3.50 | ) | 0.83 | 0.82 | 1.95 | 42 | 81 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 12.39 | 0.31 | (0.04 | ) | 0.27 | (0.12 | ) | — | — | (0.12 | ) | 12.54 | 2.28 | 0.83 | 0.83 | 2.43 | 52 | 69 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 13.16 | 0.27 | (0.98 | ) | (0.71 | ) | (0.06 | ) | — | — | (0.06 | ) | 12.39 | (5.42 | ) | 0.85 | 0.85 | 2.11 | 60 | 123 | |||||||||||||||||||||||||||||||||||||||||||
12-31-20127 | 13.23 | 0.36 | 0.55 | 0.91 | (0.98 | ) | — | — | (0.98 | ) | 13.16 | 7.03 | 0.86 | 0.86 | 2.71 | 75 | 131 | ||||||||||||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 12.00 | 0.10 | 0.50 | 0.60 | — | — | — | — | 12.60 | 5.00 | 4 | 1.01 | 5 | 1.00 | 5 | 1.67 | 5 | 79 | 28 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 11.66 | 0.25 | 0.09 | 0.34 | — | — | — | — | 12.00 | 2.92 | 1.01 | 6 | 1.00 | 6 | 1.98 | 81 | 57 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 12.42 | 0.21 | (0.66 | ) | (0.45 | ) | (0.31 | ) | — | — | (0.31 | ) | 11.66 | (3.73 | ) | 1.03 | 1.02 | 1.75 | 88 | 81 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 12.27 | 0.28 | (0.03 | ) | 0.25 | (0.10 | ) | — | — | (0.10 | ) | 12.42 | 2.13 | 1.03 | 1.03 | 2.23 | 113 | 69 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 13.04 | 0.24 | (0.98 | ) | (0.74 | ) | (0.03 | ) | — | — | (0.03 | ) | 12.27 | (5.67 | ) | 1.05 | 1.05 | 1.91 | 137 | 123 | |||||||||||||||||||||||||||||||||||||||||||
12-31-20127 | 13.14 | 0.33 | 0.55 | 0.88 | (0.98 | ) | — | — | (0.98 | ) | 13.04 | 6.81 | 1.06 | 1.06 | 2.51 | 164 | 131 | ||||||||||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 12.12 | 0.12 | 0.50 | 0.62 | — | — | — | — | 12.74 | 5.12 | 4 | 0.76 | 5 | 0.75 | 5 | 1.92 | 5 | 469 | 28 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 11.75 | 0.28 | 0.09 | 0.37 | — | — | — | — | 12.12 | 3.15 | 0.76 | 6 | 0.75 | 6 | 2.22 | 446 | 57 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 12.49 | 0.24 | (0.66 | ) | (0.42 | ) | (0.32 | ) | — | — | (0.32 | ) | 11.75 | (3.50 | ) | 0.78 | 0.77 | 2.00 | 495 | 81 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 12.33 | 0.32 | (0.03 | ) | 0.29 | (0.13 | ) | — | — | (0.13 | ) | 12.49 | 2.42 | 0.78 | 0.78 | 2.48 | 557 | 69 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 13.12 | 0.27 | (1.00 | ) | (0.73 | ) | (0.06 | ) | — | — | (0.06 | ) | 12.33 | (5.54 | ) | 0.80 | 0.80 | 2.17 | 683 | 123 | |||||||||||||||||||||||||||||||||||||||||||
12-31-20127 | 13.18 | 0.37 | 0.55 | 0.92 | (0.98 | ) | — | — | (0.98 | ) | 13.12 | 7.15 | 0.81 | 0.81 | 2.76 | 724 | 131 | ||||||||||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-17. Unaudited. 4. Not annualized. 5. Annualized. 6. Includes reimbursement for overbilling of custody expenses in prior years of 0.02%. 7. In accordance with Accounting Standards Update 2011-03, Reconsideration of Effective Control for Repurchase Agreements, the portfolio now recognizes sale-buybacks as secured borrowings and not as purchases and sales of securities. Accordingly, the portfolio has excluded these transactions from its portfolio turnover calculation. Had these transactions been included, the portfolio turnover rate would have been 202%. The portfolio also recorded additional income and expenses which were offset by corresponding adjustments to realized and unrealized gain/loss. These adjustments had no overall impact to the per share net asset value but did increase the net investment income per share by $0.02, the ratio of net investment income to average net assets by 0.14% and the ratio of expenses to average net assets by 0.02%. |
Per share operating performance for a share outstanding throughout the period | Ratios and supplemental data | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations | Less distributions | Ratios to average net assets | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Period ended | Net asset value, beginning of period ($) | Net investment income (loss) ($)1 | Net real- ized and unrealized gain (loss) on invest- ments ($) | Total from investment oper- ations ($) | From net investment income ($) | From net realized gain ($) | From tax return of capital ($) | Total distri- butions ($) | Net asset value, end of period ($) | Total return (%)2 | Expenses before reductions (%) | Expenses including reductions (%) | Net investment income (loss) (%) | Net assets, end of period (in millions) | Portfolio turnover (%) | ||||||||||||||||||||||||||||||||||||||||||||||||
High Yield Trust | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 5.23 | 0.16 | 0.09 | 0.25 | — | — | — | — | 5.48 | 4.78 | 4 | 0.87 | 5 | 0.86 | 5 | 6.06 | 5 | 87 | 36 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 4.81 | 0.34 | 0.45 | 0.79 | (0.37 | ) | — | — | (0.37 | ) | 5.23 | 16.26 | 0.75 | 6 | 0.74 | 6 | 6.74 | 88 | 61 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 5.70 | 0.37 | (0.84 | ) | (0.47 | ) | (0.42 | ) | — | — | (0.42 | ) | 4.81 | (8.32 | ) | 0.80 | 0.79 | 6.51 | 83 | 74 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 6.09 | 0.39 | (0.36 | ) | 0.03 | (0.42 | ) | — | — | (0.42 | ) | 5.70 | 0.28 | 0.78 | 0.77 | 6.33 | 105 | 72 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 6.01 | 0.40 | 0.10 | 0.50 | (0.42 | ) | — | — | (0.42 | ) | 6.09 | 8.35 | 0.79 | 0.78 | 6.44 | 122 | 99 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 5.46 | 0.44 | 0.58 | 1.02 | (0.47 | ) | — | — | (0.47 | ) | 6.01 | 18.99 | 0.77 | 0.77 | 7.39 | 75 | 80 | ||||||||||||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 5.34 | 0.16 | 0.09 | 0.25 | — | — | — | — | 5.59 | 4.68 | 4 | 1.07 | 5 | 1.06 | 5 | 5.85 | 5 | 64 | 36 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 4.91 | 0.34 | 0.45 | 0.79 | (0.36 | ) | — | — | (0.36 | ) | 5.34 | 16.16 | 0.95 | 6 | 0.94 | 6 | 6.54 | 65 | 61 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 5.80 | 0.36 | (0.84 | ) | (0.48 | ) | (0.41 | ) | — | — | (0.41 | ) | 4.91 | (8.55 | ) | 1.00 | 0.99 | 6.32 | 69 | 74 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 6.19 | 0.39 | (0.37 | ) | 0.02 | (0.41 | ) | — | — | (0.41 | ) | 5.80 | 0.08 | 0.98 | 0.97 | 6.12 | 90 | 72 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 6.11 | 0.40 | 0.09 | 0.49 | (0.41 | ) | — | — | (0.41 | ) | 6.19 | 8.01 | 0.99 | 0.98 | 6.24 | 116 | 99 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 5.54 | 0.43 | 0.60 | 1.03 | (0.46 | ) | — | — | (0.46 | ) | 6.11 | 18.87 | 0.97 | 0.97 | 7.20 | 82 | 80 | ||||||||||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 5.16 | 0.16 | 0.08 | 0.24 | — | — | — | — | 5.40 | 4.65 | 4 | 0.82 | 5 | 0.81 | 5 | 6.11 | 5 | 100 | 36 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 4.75 | 0.34 | 0.44 | 0.78 | (0.37 | ) | — | — | (0.37 | ) | 5.16 | 16.56 | 0.70 | 6 | 0.70 | 6 | 6.77 | 97 | 61 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 5.63 | 0.36 | (0.81 | ) | (0.45 | ) | (0.43 | ) | — | — | (0.43 | ) | 4.75 | (8.38 | ) | 0.75 | 0.74 | 6.56 | 81 | 74 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 6.02 | 0.39 | (0.36 | ) | 0.03 | (0.42 | ) | — | — | (0.42 | ) | 5.63 | 0.33 | 0.73 | 0.72 | 6.38 | 90 | 72 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 5.95 | 0.40 | 0.09 | 0.49 | (0.42 | ) | — | — | (0.42 | ) | 6.02 | 8.31 | 0.74 | 0.73 | 6.46 | 97 | 99 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 5.41 | 0.44 | 0.57 | 1.01 | (0.47 | ) | — | — | (0.47 | ) | 5.95 | 19.06 | 0.72 | 0.72 | 7.44 | 100 | 80 | ||||||||||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-17. Unaudited. 4. Not annualized. 5. Annualized. 6. Includes reimbursement for overbilling of custody expenses in prior years of 0.06%. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Quality Bond Trust | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 10.99 | 0.13 | 0.21 | 0.34 | — | — | — | — | 11.33 | 3.09 | 4 | 0.72 | 5 | 0.71 | 5 | 2.33 | 5 | 158 | 33 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 10.84 | 0.27 | 0.20 | 0.47 | (0.25 | ) | (0.07 | ) | — | (0.32 | ) | 10.99 | 4.29 | 0.67 | 6 | 0.66 | 6 | 2.44 | 161 | 60 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 11.65 | 0.26 | (0.36 | ) | (0.10 | ) | (0.21 | ) | (0.50 | ) | — | (0.71 | ) | 10.84 | (0.82 | ) | 0.69 | 0.69 | 2.28 | 166 | 97 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 11.41 | 0.31 | 0.31 | 0.62 | (0.35 | ) | (0.03 | ) | — | (0.38 | ) | 11.65 | 5.47 | 0.69 | 0.69 | 2.60 | 190 | 109 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 12.34 | 0.32 | (0.55 | ) | (0.23 | ) | (0.47 | ) | (0.23 | ) | — | (0.70 | ) | 11.41 | (1.93 | ) | 0.69 | 0.68 | 2.68 | 205 | 79 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 11.71 | 0.32 | 0.57 | 0.89 | (0.26 | ) | — | — | (0.26 | ) | 12.34 | 7.59 | 0.68 | 0.68 | 2.66 | 220 | 77 | ||||||||||||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 11.00 | 0.12 | 0.20 | 0.32 | — | — | — | — | 11.32 | 2.91 | 4 | 0.92 | 5 | 0.91 | 5 | 2.13 | 5 | 83 | 33 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 10.85 | 0.25 | 0.20 | 0.45 | (0.23 | ) | (0.07 | ) | — | (0.30 | ) | 11.00 | 4.08 | 0.87 | 6 | 0.86 | 6 | 2.25 | 84 | 60 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 11.66 | 0.24 | (0.36 | ) | (0.12 | ) | (0.19 | ) | (0.50 | ) | — | (0.69 | ) | 10.85 | (1.02 | ) | 0.89 | 0.89 | 2.08 | 91 | 97 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 11.42 | 0.28 | 0.32 | 0.60 | (0.33 | ) | (0.03 | ) | — | (0.36 | ) | 11.66 | 5.26 | 0.89 | 0.89 | 2.40 | 107 | 109 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 12.35 | 0.30 | (0.56 | ) | (0.26 | ) | (0.44 | ) | (0.23 | ) | — | (0.67 | ) | 11.42 | (2.12 | ) | 0.89 | 0.88 | 2.48 | 116 | 79 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 11.72 | 0.30 | 0.56 | 0.86 | (0.23 | ) | — | — | (0.23 | ) | 12.35 | 7.37 | 0.88 | 0.88 | 2.46 | 137 | 77 | ||||||||||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 10.95 | 0.13 | 0.21 | 0.34 | — | — | — | — | 11.29 | 3.11 | 4 | 0.66 | 5 | 0.65 | 5 | 2.35 | 5 | 30 | 33 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 10.81 | 0.27 | 0.20 | 0.47 | (0.26 | ) | (0.07 | ) | — | (0.33 | ) | 10.95 | 4.26 | 0.63 | 6 | 0.62 | 6 | 2.44 | 52 | 60 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 11.61 | 0.27 | (0.35 | ) | (0.08 | ) | (0.22 | ) | (0.50 | ) | — | (0.72 | ) | 10.81 | (0.68 | ) | 0.64 | 0.64 | 2.35 | 24 | 97 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 11.37 | 0.31 | 0.32 | 0.63 | (0.36 | ) | (0.03 | ) | — | (0.39 | ) | 11.61 | 5.54 | 0.64 | 0.64 | 2.63 | 19 | 109 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 12.30 | 0.33 | (0.56 | ) | (0.23 | ) | (0.47 | ) | (0.23 | ) | — | (0.70 | ) | 11.37 | (1.88 | ) | 0.64 | 0.63 | 2.71 | 17 | 79 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 11.67 | 0.33 | 0.56 | 0.89 | (0.26 | ) | — | — | (0.26 | ) | 12.30 | 7.66 | 0.63 | 0.63 | 2.69 | 26 | 77 | ||||||||||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-17. Unaudited. 4. Not annualized. 5. Annualized. 6. Includes reimbursement for overbilling of custody expenses in prior years of 0.02%. |
Per share operating performance for a share outstanding throughout the period | Ratios and supplemental data | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations | Less distributions | Ratios to average net assets | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Period ended | Net asset value, beginning of period ($) | Net investment income (loss) ($)1 | Net real- ized and unrealized gain (loss) on invest- ments ($) | Total from investment oper- ations ($) | From net investment income ($) | From net realized gain ($) | From tax return of capital ($) | Total distri- butions ($) | Net asset value, end of period ($) | Total return (%)2 | Expenses before reductions (%) | Expenses including reductions (%) | Net investment income (loss) (%) | Net assets, end of period (in millions) | Portfolio turnover (%) | ||||||||||||||||||||||||||||||||||||||||||||||||
Money Market Trust | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 1.00 | — | 4 | — | 4 | — | 4 | — | 4 | — | — | — | 4 | 1.00 | 0.20 | 6 | 0.46 | 7 | 0.33 | 7 | 0.39 | 7 | 1,498 | — | |||||||||||||||||||||||||||||||||||||||
12-31-2016 | 1.00 | — | 4 | — | 4 | — | 4 | — | 4 | — | — | — | 4 | 1.00 | 0.07 | 0.48 | 0.35 | 0.07 | 1,718 | — | |||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 1.00 | — | — | 4 | — | 4 | — | — | 4 | — | — | 4 | 1.00 | 0.00 | 5 | 0.56 | 0.17 | — | 1,714 | — | |||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 1.00 | — | — | 4 | — | 4 | — | — | 4 | — | — | 4 | 1.00 | 0.00 | 5 | 0.56 | 0.16 | — | 1,794 | — | |||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 1.00 | — | — | 4 | — | 4 | — | — | 4 | — | — | 4 | 1.00 | 0.01 | 0.56 | 0.24 | — | 2,110 | — | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 1.00 | — | — | 4 | — | 4 | — | — | 4 | — | — | 4 | 1.00 | 0.01 | 0.55 | 0.30 | — | 2,599 | — | ||||||||||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 1.00 | — | 4 | — | 4 | — | 4 | — | 4 | — | — | — | 4 | 1.00 | 0.10 | 6 | 0.66 | 7 | 0.53 | 7 | 0.19 | 7 | 192 | — | |||||||||||||||||||||||||||||||||||||||
12-31-2016 | 1.00 | — | — | 4 | — | 4 | — | — | — | — | 1.00 | 0.00 | 5 | 0.68 | 0.42 | — | 211 | — | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 1.00 | — | — | 4 | — | 4 | — | — | 4 | — | — | 4 | 1.00 | 0.00 | 5 | 0.76 | 0.17 | — | 253 | — | |||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 1.00 | — | — | 4 | — | 4 | — | — | 4 | — | — | 4 | 1.00 | 0.00 | 0.76 | 0.16 | — | 315 | — | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 1.00 | — | — | 4 | — | 4 | — | — | 4 | — | — | 4 | 1.00 | 0.01 | 0.76 | 0.24 | — | 436 | — | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 1.00 | — | — | 4 | — | 4 | — | — | 4 | — | — | 4 | 1.00 | 0.01 | 0.75 | 0.30 | — | 701 | — | ||||||||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 1.00 | — | 4 | — | 4 | — | 4 | — | 4 | — | — | — | 4 | 1.00 | 0.22 | 6 | 0.41 | 7 | 0.28 | 7 | 0.44 | 7 | 385 | — | |||||||||||||||||||||||||||||||||||||||
12-31-20168 | 1.00 | — | 4 | — | 4 | — | 4 | — | 4 | — | — | — | 4 | 1.00 | 0.11 | 6 | 0.43 | 7 | 0.34 | 7 | 0.16 | 7 | 394 | — | |||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-17. Unaudited. 4. Less than $0.005 per share 5. Less than 0.005% 6. Not annualized. 7. Annualized. 8. After the close of business on April 29, 2016, holders of Series NAV shares of Money Market Trust B became owners of an equal number of full and fractional Series NAV shares of Money Market Trust. These shares were first offered on 5-2-16. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
New Income Trust | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 12.54 | 0.16 | 0.17 | 0.33 | — | — | — | — | 12.87 | 2.63 | 4 | 0.59 | 5 | 0.58 | 5 | 2.49 | 5 | 1,402 | 31 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 12.63 | 0.30 | 0.05 | 0.35 | (0.38 | ) | (0.06 | ) | — | (0.44 | ) | 12.54 | 2.73 | 0.57 | 6 | 0.56 | 6 | 2.34 | 1,355 | 51 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 13.04 | 0.31 | (0.28 | ) | 0.03 | (0.40 | ) | (0.04 | ) | — | (0.44 | ) | 12.63 | 0.22 | 0.59 | 0.57 | 2.38 | 1,464 | 47 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 12.90 | 0.33 | 0.42 | 0.75 | (0.61 | ) | — | — | (0.61 | ) | 13.04 | 5.83 | 0.62 | 0.60 | 2.52 | 1,734 | 54 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 13.80 | 0.33 | (0.62 | ) | (0.29 | ) | (0.43 | ) | (0.18 | ) | — | (0.61 | ) | 12.90 | (2.12 | ) | 0.65 | 0.63 | 2.40 | 2,783 | 57 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 13.55 | 0.36 | 0.43 | 0.79 | (0.47 | ) | (0.07 | ) | — | (0.54 | ) | 13.80 | 5.91 | 0.65 | 0.63 | 2.60 | 2,853 | 77 | |||||||||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-17. Unaudited. 4. Not annualized. 5. Annualized. 6. Includes reimbursement for overbilling of custody expenses in prior years of 0.02%. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Short Term Government Income Trust | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 12.12 | 0.05 | 0.04 | 0.09 | — | — | — | — | 12.21 | 0.74 | 4 | 0.67 | 5 | 0.66 | 5 | 0.88 | 5 | 39 | 25 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 12.25 | 0.09 | (0.02 | ) | 0.07 | (0.20 | ) | — | — | (0.20 | ) | 12.12 | 0.57 | 0.64 | 7 | 0.64 | 7 | 0.76 | 41 | 71 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 12.39 | 0.09 | (0.01 | ) | 0.08 | (0.22 | ) | — | — | (0.22 | ) | 12.25 | 0.64 | 0.66 | 0.65 | 0.70 | 45 | 43 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 12.50 | 0.08 | 0.06 | 0.14 | (0.25 | ) | — | — | (0.25 | ) | 12.39 | 1.15 | 0.66 | 0.65 | 0.64 | 51 | 46 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 12.87 | 0.08 | (0.19 | ) | (0.11 | ) | (0.26 | ) | — | — | (0.26 | ) | 12.50 | (0.86 | ) | 0.65 | 0.65 | 0.62 | 63 | 55 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 12.93 | 0.14 | 0.02 | 0.16 | (0.22 | ) | — | — | (0.22 | ) | 12.87 | 1.21 | 0.65 | 0.65 | 1.10 | 76 | 71 | ||||||||||||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 12.13 | 0.04 | 0.03 | 0.07 | — | — | — | — | 12.20 | 0.58 | 4 | 0.87 | 5 | 0.86 | 5 | 0.68 | 5 | 31 | 25 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 12.25 | 0.07 | (0.01 | ) | 0.06 | (0.18 | ) | — | — | (0.18 | ) | 12.13 | 0.45 | 0.84 | 7 | 0.84 | 7 | 0.56 | 33 | 71 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 12.40 | 0.06 | (0.01 | ) | 0.05 | (0.20 | ) | — | — | (0.20 | ) | 12.25 | 0.36 | 0.86 | 0.85 | 0.50 | 36 | 43 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 12.51 | 0.06 | 0.06 | 0.12 | (0.23 | ) | — | — | (0.23 | ) | 12.40 | 0.94 | 0.86 | 0.85 | 0.44 | 38 | 46 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 12.88 | 0.05 | (0.19 | ) | (0.14 | ) | (0.23 | ) | — | — | (0.23 | ) | 12.51 | (1.06 | ) | 0.85 | 0.85 | 0.43 | 49 | 55 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 12.94 | 0.12 | 0.01 | 0.13 | (0.19 | ) | — | — | (0.19 | ) | 12.88 | 1.01 | 0.85 | 0.85 | 0.90 | 61 | 71 | ||||||||||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 12.12 | 0.06 | 0.03 | 0.09 | — | — | — | — | 12.21 | 0.74 | 4 | 0.62 | 5 | 0.61 | 5 | 0.93 | 5 | 235 | 25 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 12.25 | 0.10 | (0.02 | ) | 0.08 | (0.21 | ) | — | — | (0.21 | ) | 12.12 | 0.62 | 0.59 | 7 | 0.59 | 7 | 0.81 | 251 | 71 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 12.39 | 0.09 | — | 6 | 0.09 | (0.23 | ) | — | — | (0.23 | ) | 12.25 | 0.69 | 0.61 | 0.60 | 0.75 | 247 | 43 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 12.50 | 0.09 | 0.06 | 0.15 | (0.26 | ) | — | — | (0.26 | ) | 12.39 | 1.20 | 0.61 | 0.60 | 0.69 | 303 | 46 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 12.86 | 0.09 | (0.18 | ) | (0.09 | ) | (0.27 | ) | — | — | (0.27 | ) | 12.50 | (0.74 | ) | 0.60 | 0.60 | 0.67 | 311 | 55 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 12.93 | 0.15 | — | 6 | 0.15 | (0.22 | ) | — | — | (0.22 | ) | 12.86 | 1.18 | 0.60 | 0.60 | 1.14 | 417 | 71 | |||||||||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-17. Unaudited. 4. Not annualized. 5. Annualized. 6. Less than $0.005 per share. 7. Includes reimbursement for overbilling of custody expenses in prior years of 0.02%. |
Per share operating performance for a share outstanding throughout the period | Ratios and supplemental data | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations | Less distributions | Ratios to average net assets | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Period ended | Net asset value, beginning of period ($) | Net investment income (loss) ($)1 | Net real- ized and unrealized gain (loss) on invest- ments ($) | Total from investment oper- ations ($) | From net investment income ($) | From net realized gain ($) | From tax return of capital ($) | Total distri- butions ($) | Net asset value, end of period ($) | Total return (%)2 | Expenses before reductions (%) | Expenses including reductions (%) | Net investment income (loss) (%) | Net assets, end of period (in millions) | Portfolio turnover (%) | ||||||||||||||||||||||||||||||||||||||||||||||||
Strategic Income Opportunities Trust | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 13.41 | 0.22 | 0.26 | 0.48 | — | — | — | — | 13.89 | 3.58 | 4 | 0.74 | 5 | 0.73 | 5 | 3.31 | 5 | 484 | 27 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 13.07 | 0.40 | 0.27 | 0.67 | (0.33 | ) | — | — | (0.33 | ) | 13.41 | 5.12 | 0.72 | 6 | 0.71 | 6 | 2.95 | 473 | 42 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 13.24 | 0.43 | (0.27 | ) | 0.16 | (0.33 | ) | — | — | (0.33 | ) | 13.07 | 1.22 | 0.74 | 0.74 | 3.18 | 441 | 49 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 13.17 | 0.56 | 0.11 | 0.67 | (0.60 | ) | — | — | (0.60 | ) | 13.24 | 5.14 | 0.75 | 0.74 | 4.13 | 415 | 50 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 13.44 | 0.65 | (0.15 | ) | 0.50 | (0.77 | ) | — | — | (0.77 | ) | 13.17 | 3.74 | 0.78 | 0.78 | 4.75 | 380 | 45 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 12.75 | 0.80 | 0.82 | 1.62 | (0.93 | ) | — | — | (0.93 | ) | 13.44 | 12.86 | 0.79 | 0.79 | 5.91 | 359 | 44 | ||||||||||||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 13.45 | 0.21 | 0.25 | 0.46 | — | — | — | — | 13.91 | 3.42 | 4 | 0.94 | 5 | 0.93 | 5 | 3.11 | 5 | 45 | 27 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 13.10 | 0.37 | 0.28 | 0.65 | (0.30 | ) | — | — | (0.30 | ) | 13.45 | 4.98 | 0.92 | 6 | 0.91 | 6 | 2.74 | 46 | 42 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 13.27 | 0.40 | (0.26 | ) | 0.14 | (0.31 | ) | — | — | (0.31 | ) | 13.10 | 1.01 | 0.94 | 0.94 | 2.98 | 51 | 49 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 13.20 | 0.53 | 0.12 | 0.65 | (0.58 | ) | — | — | (0.58 | ) | 13.27 | 4.92 | 0.95 | 0.94 | 3.94 | 57 | 50 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 13.47 | 0.63 | (0.16 | ) | 0.47 | (0.74 | ) | — | — | (0.74 | ) | 13.20 | 3.53 | 0.98 | 0.98 | 4.56 | 65 | 45 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 12.78 | 0.77 | 0.82 | 1.59 | (0.90 | ) | — | — | (0.90 | ) | 13.47 | 12.61 | 0.99 | 0.99 | 5.72 | 73 | 44 | ||||||||||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 13.37 | 0.23 | 0.25 | 0.48 | — | — | — | — | 13.85 | 3.59 | 4 | 0.69 | 5 | 0.68 | 5 | 3.38 | 5 | 92 | 27 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 13.03 | 0.40 | 0.27 | 0.67 | (0.33 | ) | — | — | (0.33 | ) | 13.37 | 5.19 | 0.67 | 6 | 0.66 | 6 | 2.98 | 66 | 42 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 13.20 | 0.43 | (0.26 | ) | 0.17 | (0.34 | ) | — | — | (0.34 | ) | 13.03 | 1.27 | 0.69 | 0.69 | 3.22 | 84 | 49 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 13.13 | 0.56 | 0.12 | 0.68 | (0.61 | ) | — | — | (0.61 | ) | 13.20 | 5.21 | 0.70 | 0.69 | 4.18 | 53 | 50 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 13.41 | 0.65 | (0.15 | ) | 0.50 | (0.78 | ) | — | — | (0.78 | ) | 13.13 | 3.72 | 0.73 | 0.73 | 4.79 | 51 | 45 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 12.72 | 0.80 | 0.82 | 1.62 | (0.93 | ) | — | — | (0.93 | ) | 13.41 | 12.95 | 0.74 | 0.74 | 5.95 | 33 | 44 | ||||||||||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-17. Unaudited. 4. Not annualized. 5. Annualized. 6. Includes reimbursement for overbilling of custody expenses in prior years of 0.02%. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total Bond Market Trust B | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 10.08 | 0.12 | 0.09 | 0.21 | — | — | — | — | 10.29 | 2.08 | 4 | 0.57 | 5 | 0.30 | 5 | 2.45 | 5 | 242 | 23 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 10.11 | 0.25 | (0.01 | ) | 0.24 | (0.27 | ) | — | — | (0.27 | ) | 10.08 | 2.39 | 0.56 | 0.30 | 2.38 | 227 | 54 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 10.37 | 0.26 | (0.23 | ) | 0.03 | (0.29 | ) | — | — | (0.29 | ) | 10.11 | 0.25 | 0.56 | 0.30 | 2.53 | 172 | 67 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 10.09 | 0.29 | 0.32 | 0.61 | (0.33 | ) | — | — | (0.33 | ) | 10.37 | 6.11 | 0.56 | 0.30 | 2.76 | 135 | 64 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 10.71 | 0.27 | (0.53 | ) | (0.26 | ) | (0.36 | ) | — | — | (0.36 | ) | 10.09 | (2.49 | ) | 0.54 | 0.30 | 2.55 | 106 | 62 | |||||||||||||||||||||||||||||||||||||||||||
12-31-20126 | 10.82 | 0.01 | (0.02 | ) | (0.01 | ) | (0.10 | ) | — | — | (0.10 | ) | 10.71 | (0.14 | )4 | 0.56 | 5 | 0.30 | 5 | 0.62 | 5 | 127 | 29 | 7,8 | |||||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 10.09 | 0.11 | 0.10 | 0.21 | — | — | — | — | 10.30 | 2.08 | 4 | 0.77 | 5 | 0.50 | 5 | 2.24 | 5 | 64 | 23 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 10.12 | 0.23 | (0.01 | ) | 0.22 | (0.25 | ) | — | — | (0.25 | ) | 10.09 | 2.19 | 0.76 | 0.50 | 2.18 | 73 | 54 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 10.38 | 0.24 | (0.23 | ) | 0.01 | (0.27 | ) | — | — | (0.27 | ) | 10.12 | 0.05 | 0.76 | 0.50 | 2.33 | 68 | 67 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 10.10 | 0.27 | 0.32 | 0.59 | (0.31 | ) | — | — | (0.31 | ) | 10.38 | 5.90 | 0.76 | 0.50 | 2.56 | 69 | 64 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 10.73 | 0.25 | (0.54 | ) | (0.29 | ) | (0.34 | ) | — | — | (0.34 | ) | 10.10 | (2.77 | ) | 0.74 | 0.50 | 2.33 | 79 | 62 | |||||||||||||||||||||||||||||||||||||||||||
12-31-20126 | 10.82 | 0.01 | (0.02 | ) | (0.01 | ) | (0.08 | ) | — | — | (0.08 | ) | 10.73 | (0.11 | ) | 0.76 | 5 | 0.50 | 5 | 0.42 | 5 | 145 | 29 | 7,8 | |||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 10.07 | 0.13 | 0.09 | 0.22 | — | — | — | — | 10.29 | 2.18 | 4 | 0.52 | 5 | 0.25 | 5 | 2.50 | 5 | 271 | 23 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 10.10 | 0.25 | — | 9 | 0.25 | (0.28 | ) | — | — | (0.28 | ) | 10.07 | 2.45 | 0.51 | 0.25 | 2.43 | 280 | 54 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 10.36 | 0.27 | (0.24 | ) | 0.03 | (0.29 | ) | — | — | (0.29 | ) | 10.10 | 0.30 | 0.51 | 0.25 | 2.58 | 266 | 67 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 10.09 | 0.29 | 0.32 | 0.61 | (0.34 | ) | — | — | (0.34 | ) | 10.36 | 6.06 | 0.51 | 0.25 | 2.82 | 284 | 64 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 10.71 | 0.27 | (0.53 | ) | (0.26 | ) | (0.36 | ) | — | — | (0.36 | ) | 10.09 | (2.44 | ) | 0.49 | 0.25 | 2.60 | 286 | 62 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 10.46 | 0.34 | 0.09 | 0.43 | (0.18 | ) | — | — | (0.18 | ) | 10.71 | 4.08 | 0.52 | 0.25 | 3.16 | 297 | 29 | 7 | |||||||||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-17. Unaudited. 4. Not annualized. 5. Annualized. 6. The inception date for Series I and Series II shares is 11-5-12. 7. Excludes merger activity. 8. Portfolio turnover is shown for the period from 1-1-12 to 12-31-12. 9. Less than $0.005 per share. |
Per share operating performance for a share outstanding throughout the period | Ratios and supplemental data | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations | Less distributions | Ratios to average net assets | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Period ended | Net asset value, beginning of period ($) | Net investment income (loss) ($)1 | Net real- ized and unrealized gain (loss) on invest- ments ($) | Total from investment oper- ations ($) | From net investment income ($) | From net realized gain ($) | From tax return of capital ($) | Total distri- butions ($) | Net asset value, end of period ($) | Total return (%)2 | Expenses before reductions (%) | Expenses including reductions (%) | Net investment income (loss) (%) | Net assets, end of period (in millions) | Portfolio turnover (%) | ||||||||||||||||||||||||||||||||||||||||||||||||
Ultra Short Term Bond Trust | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 11.52 | 0.04 | 0.01 | 0.05 | — | — | — | — | 11.57 | 0.43 | 4 | 0.66 | 5 | 0.65 | 5 | 0.73 | 5 | 10 | 37 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 11.64 | 0.05 | 0.01 | 0.06 | (0.18 | ) | — | — | (0.18 | ) | 11.52 | 0.52 | 0.65 | 0.64 | 0.43 | 12 | 86 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 11.80 | 0.01 | (0.01 | ) | — | 6 | (0.16 | ) | — | — | (0.16 | ) | 11.64 | (0.04 | ) | 0.66 | 0.65 | 0.12 | 10 | 86 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 11.98 | 0.01 | (0.01 | ) | — | 6 | (0.18 | ) | — | — | (0.18 | ) | 11.80 | (0.02 | ) | 0.66 | 0.65 | 0.05 | 9 | 69 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 12.13 | 0.02 | (0.03 | ) | (0.01 | ) | (0.14 | ) | — | — | (0.14 | ) | 11.98 | (0.07 | ) | 0.67 | 0.67 | 0.15 | 11 | 135 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 12.20 | 0.04 | 0.03 | 0.07 | (0.14 | ) | — | — | (0.14 | ) | 12.13 | 0.54 | 0.70 | 0.69 | 0.34 | 8 | 196 | ||||||||||||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 11.52 | 0.03 | 0.01 | 0.04 | — | — | — | — | 11.56 | 0.35 | 4 | 0.86 | 5 | 0.85 | 5 | 0.52 | 5 | 216 | 37 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 11.64 | 0.03 | 0.01 | 0.04 | (0.16 | ) | — | — | (0.16 | ) | 11.52 | 0.32 | 0.85 | 0.84 | 0.23 | 268 | 86 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 11.79 | (0.01 | ) | (0.01 | ) | (0.02 | ) | (0.13 | ) | — | — | (0.13 | ) | 11.64 | (0.15 | ) | 0.86 | 0.85 | (0.07 | ) | 235 | 86 | |||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 11.98 | (0.02 | ) | (0.02 | ) | (0.04 | ) | (0.15 | ) | — | — | (0.15 | ) | 11.79 | (0.30 | ) | 0.86 | 0.85 | (0.14 | ) | 214 | 69 | |||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 12.13 | (0.01 | ) | (0.02 | ) | (0.03 | ) | (0.12 | ) | — | — | (0.12 | ) | 11.98 | (0.27 | ) | 0.87 | 0.87 | (0.08 | ) | 202 | 135 | |||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 12.20 | 0.02 | 0.03 | 0.05 | (0.12 | ) | — | — | (0.12 | ) | 12.13 | 0.37 | 0.90 | 0.89 | 0.15 | 127 | 196 | ||||||||||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20173 | 11.53 | 0.04 | 0.01 | 0.05 | — | — | — | — | 11.58 | 0.43 | 4 | 0.61 | 5 | 0.60 | 5 | 0.78 | 5 | 19 | 37 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2016 | 11.64 | 0.06 | 0.02 | 0.08 | (0.19 | ) | — | — | (0.19 | ) | 11.53 | 0.66 | 0.60 | 0.59 | 0.48 | 17 | 86 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 11.80 | 0.02 | (0.02 | ) | — | 6 | (0.16 | ) | — | — | (0.16 | ) | 11.64 | 0.01 | 0.61 | 0.60 | 0.18 | 14 | 86 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 11.98 | 0.01 | (0.01 | ) | — | 6 | (0.18 | ) | — | — | (0.18 | ) | 11.80 | 0.03 | 0.61 | 0.60 | 0.12 | 14 | 69 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 12.13 | 0.02 | (0.02 | ) | — | 6 | (0.15 | ) | — | — | (0.15 | ) | 11.98 | (0.02 | ) | 0.62 | 0.62 | 0.17 | 9 | 135 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 12.19 | 0.05 | 0.03 | 0.08 | (0.14 | ) | — | — | (0.14 | ) | 12.13 | 0.66 | 0.65 | 0.64 | 0.39 | 4 | 196 | ||||||||||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-17. Unaudited. 4. Not annualized. 5. Annualized. 6. Less than $0.005 per share. |
Total Value at 6-30-17 | Level 1 Quoted Price | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Active Bond Trust | |||||||||||||||||||
U.S. Government and Agency obligations | $ | 243,312,956 | — | $ | 243,312,956 | — | |||||||||||||
Foreign government obligations | 5,603,504 | — | 5,603,504 | — | |||||||||||||||
Corporate bonds | 322,310,363 | — | 322,310,363 | — | |||||||||||||||
Capital preferred securities | 2,386,624 | — | 2,386,624 | — | |||||||||||||||
Convertible bonds | 285,891 | — | 285,891 | — | |||||||||||||||
Term loans | 608,710 | — | 608,710 | — | |||||||||||||||
Municipal bonds | 2,831,289 | — | 2,831,289 | — | |||||||||||||||
Collateralized mortgage obligations | 97,125,857 | — | 97,125,857 | — | |||||||||||||||
Asset backed securities | 64,031,531 | — | 64,031,531 | — | |||||||||||||||
Preferred securities | 2,345,870 | $ | 2,141,684 | 203,734 | $ | 452 | |||||||||||||
Securities lending collateral | 5,897,522 | 5,897,522 | — | — | |||||||||||||||
Short-term investments | 77,179,941 | 70,529,941 | 6,650,000 | — | |||||||||||||||
Total investments in securities | $ | 823,920,058 | $ | 78,569,147 | $ | 745,350,459 | $ | 452 | |||||||||||
Sale commitments outstanding | ($27,495,141 | ) | — | ($27,495,141 | ) | — | |||||||||||||
Global Bond Trust | |||||||||||||||||||
U.S. Government and Agency obligations | $ | 86,703,074 | — | $ | 86,703,074 | — | |||||||||||||
Foreign government obligations | 148,233,784 | — | 148,233,784 | — | |||||||||||||||
Corporate bonds | 230,543,641 | — | 230,543,641 | — | |||||||||||||||
Term loans | 1,284,520 | — | 1,284,520 | — | |||||||||||||||
Municipal bonds | 4,806,859 | — | 4,806,859 | — | |||||||||||||||
Collateralized mortgage obligations | 57,378,199 | — | 57,378,199 | — | |||||||||||||||
Asset backed securities | 57,216,132 | — | 57,216,132 | — | |||||||||||||||
Common stocks | 43,717 | $ | 43,717 | — | — | ||||||||||||||
Preferred securities | 297,043 | 297,043 | — | — | |||||||||||||||
Escrow shares | 673,110 | — | 673,110 | — | |||||||||||||||
Purchased options | 240,499 | 30,857 | 209,642 | — | |||||||||||||||
Short-term investments | 117,536,092 | — | 117,536,092 | — | |||||||||||||||
Total investments in securities | $ | 704,956,670 | $ | 371,617 | $ | 704,585,053 | — | ||||||||||||
Other financial instruments: | |||||||||||||||||||
Futures | ($704,804 | ) | ($704,804 | ) | — | — | |||||||||||||
Forward foreign currency contracts | 3,753,365 | — | $ | 3,753,365 | — | ||||||||||||||
Written options | (161,304 | ) | (64,030 | ) | (97,274 | ) | — | ||||||||||||
Interest rate swaps | 3,070,309 | — | 3,070,309 | — | |||||||||||||||
Credit default swaps | (720,827 | ) | — | (720,827 | ) | — | |||||||||||||
Currency swaps | 4,458,730 | — | 4,458,730 | — | |||||||||||||||
Volatility swaps | 2,675 | — | 2,675 | — | |||||||||||||||
High Yield Trust | |||||||||||||||||||
U.S. Government and Agency obligations | $ | 1,985,077 | — | $ | 1,985,077 | — | |||||||||||||
Foreign government obligations | 2,181,696 | — | 2,181,696 | — | |||||||||||||||
Corporate bonds | 214,293,817 | — | 213,478,494 | $ | 815,323 | ||||||||||||||
Capital preferred securities | 952,500 | — | 952,500 | — | |||||||||||||||
Convertible bonds | 2,428,183 | — | 2,428,183 | — | |||||||||||||||
Term loans | 8,079,434 | — | 7,896,983 | 182,451 | |||||||||||||||
Collateralized mortgage obligations | 933,580 | — | 933,580 | — | |||||||||||||||
Asset backed securities | 6,381,123 | — | 6,381,123 | — | |||||||||||||||
Common stocks | 3,108,082 | $ | 1,016,944 | — | 2,091,138 | ||||||||||||||
Preferred securities | 3,735,283 | 2,041,205 | 1,499,631 | 194,447 | |||||||||||||||
Escrow certificates | 500 | — | — | 500 | |||||||||||||||
Securities lending collateral | 8,457,426 | 8,457,426 | — | — | |||||||||||||||
Short-term investments | 1,224,327 | 1,224,327 | — | — | |||||||||||||||
Total investments in securities | $ | 253,761,028 | $ | 12,739,902 | $ | 237,737,267 | $ | 3,283,859 | |||||||||||
Other financial instruments: | |||||||||||||||||||
Futures | $ | 5,746 | $ | 5,746 | — | — | |||||||||||||
Forward foreign currency contracts | 38,069 | — | $ | 38,069 | — | ||||||||||||||
Investment Quality Bond Trust | |||||||||||||||||||
U.S. Government and Agency obligations | $ | 142,454,356 | — | $ | 142,454,356 | — | |||||||||||||
Foreign government obligations | 3,864,037 | — | 3,864,037 | — | |||||||||||||||
Corporate bonds | 80,113,648 | — | 80,113,648 | — | |||||||||||||||
Municipal bonds | 3,883,068 | — | 3,883,068 | — | |||||||||||||||
Term loans | 7,131,445 | — | 7,131,445 | — | |||||||||||||||
Collateralized mortgage obligations | 31,990,514 | — | 31,408,118 | $ | 582,396 | ||||||||||||||
Asset backed securities | 51,069,403 | — | 51,069,403 | — | |||||||||||||||
Purchased options | 28,164 | — | 28,164 | — |
Total Value at 6-30-17 | Level 1 Quoted Price | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Investment Quality Bond Trust (continued) | |||||||||||||||||||
Securities lending collateral | $ | 63,261 | $ | 63,261 | — | — | |||||||||||||
Short-term investments | 17,864,503 | — | $ | 17,864,503 | — | ||||||||||||||
Total investments in securities | $ | 338,462,399 | $ | 63,261 | $ | 337,816,742 | $ | 582,396 | |||||||||||
Other financial instruments: | |||||||||||||||||||
Futures | $ | 218,862 | $ | 218,862 | |||||||||||||||
Forward foreign currency contracts | 28,166 | — | $ | 28,166 | — | ||||||||||||||
Interest rate swaps | (1,249,239 | ) | — | (1,249,239 | ) | — | |||||||||||||
Credit default swaps | (368,332 | ) | — | (368,332 | ) | — | |||||||||||||
Currency swaps | (5,812 | ) | — | (5,812 | ) | — | |||||||||||||
Strategic Income Opportunities Trust | |||||||||||||||||||
Foreign government obligations | $ | 108,257,866 | — | $ | 108,257,866 | — | |||||||||||||
Corporate bonds | 303,924,884 | — | 303,924,884 | — | |||||||||||||||
Capital preferred securities | 5,460,682 | — | 5,460,682 | — | |||||||||||||||
Convertible bonds | 14,448,474 | — | 14,448,474 | — | |||||||||||||||
Term loans | 43,405,110 | — | 43,405,110 | — | |||||||||||||||
Collateralized mortgage obligations | 33,151,749 | — | 33,151,749 | — | |||||||||||||||
Asset backed securities | 25,666,340 | — | 25,666,340 | — | |||||||||||||||
Common stocks | 16,626,684 | $ | 16,626,684 | — | — | ||||||||||||||
Preferred securities | 40,398,457 | 38,642,385 | 1,756,072 | — | |||||||||||||||
Purchased options | 1,825,113 | — | 1,825,113 | — | |||||||||||||||
Warrants | 1,620,274 | 1,620,274 | — | — | |||||||||||||||
Short-term investments | 26,605,443 | — | 26,605,443 | — | |||||||||||||||
Total investments in securities | $ | 621,391,076 | $ | 56,889,343 | $ | 564,501,733 | — | ||||||||||||
Other financial instruments: | |||||||||||||||||||
Futures | $ | 197,395 | $ | 197,395 | — | — | |||||||||||||
Forward foreign currency contracts | 486,000 | — | $ | 486,000 | — |
High Yield Trust | ||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Corporate Bonds | Term Loans | Common Stocks | Preferred Securities | Escrow Certificates | Warrants | Total | ||||||||||||||||||||||||||
Balance as of 12-31-16 | $ | 715,749 | — | $ | 2,566,983 | — | $ | 500 | — | $ | 3,283,232 | |||||||||||||||||||||
Realized gain (loss) | — | — | — | — | — | $ | 800 | 800 | ||||||||||||||||||||||||
Change in unrealized appreciation (depreciation) | 21,143 | ($1,843 | ) | (433,399 | ) | ($1,187,908 | ) | — | — | (1,602,007 | ) | |||||||||||||||||||||
Purchases | 78,431 | 7,195 | 1,686,109 | 1,382,355 | — | — | 3,154,090 | |||||||||||||||||||||||||
Sales | — | — | (1,728,555 | ) | — | — | (800 | ) | (1,729,355 | ) | ||||||||||||||||||||||
Transfers into Level 3 | — | 177,099 | — | — | — | — | 177,099 | |||||||||||||||||||||||||
Balance as of 6-30-17 | $ | 815,323 | $ | 182,451 | $ | 2,091,138 | $ | 194,447 | $ | 500 | — | $ | 3,283,859 | |||||||||||||||||||
Change in unrealized at period end* | $ | 16,006 | ($2,642 | ) | ($1,855,323 | ) | ($1,187,908 | ) | — | — | ($1,607,943 | ) |
* | Change in unrealized appreciation (depreciation) attributable to level 3 securities held at the period end. This balance is included in the change in unrealized appreciation (depreciation) on the Statements of operations. |
High Yield Trust | | Fair Value at 6-30-17 | | Valuation Technique | | Significant Unobservable Inputs | | Input/Range | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Common Stocks | $ | 1,288,666 | Market Approach | EV/EBITDA multiple Discount | 6.06x–10.95x (weighted average 10.02x) 17.5%–25% (weighted average 24.1%) | |||||||||||||
$ | 17,343 | Market Approach | Estimated liquidation value | $0.38 | ||||||||||||||
$ | 1,306,009 | |||||||||||||||||
Preferred Securities | $ | 194,447 | Market Approach | Prior / recent transactions | $0.01 | |||||||||||||
Corporate Bonds | 815,323 | Market Approach | Yield | 8.77% | ||||||||||||||
Escrow certificates | $ | 500 | Market Approach | Estimated liquidation value | $0.03 | |||||||||||||
Total | $ | 2,316,279 | * |
* | These amounts exclude valuations provided by a broker, which amounted to $967,580. |
Significant Unobservable Input | | Impact to Valuation if input increases | | Impact to Valuation if input decreases | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Discount | Decrease | Increase | ||||||||
Enterprise value to earnings before interest, taxes, depreciation and amortization (“EV/EBITDA”) multiple | Increase | Decrease | ||||||||
Estimated liquidation value | Increase | Decrease | ||||||||
Prior/recent transactions | Increase | Decrease | ||||||||
Yield | Decrease | Increase |
Portfolio | | Counterparty | | Borrowing rate | | Settlement date | | Maturity date | | Borrowing amount | | Payable for reverse repurchase agreements | | USD Payable for reverse repurchase agreements | | ||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Global Bond Trust | BNP Paribas SA1 | –0.300 | % | 5/8/2017 | 8/3/2017 | EUR | 390,599 | EUR | 390,426 | $ | 445,925 | ||||||||||||||||||||||||||||
Global Bond Trust | BNP Paribas SA2 | –0.300 | % | 5/22/2017 | 8/3/2017 | EUR | 294,444 | EUR | 294,348 | 336,190 | |||||||||||||||||||||||||||||
Global Bond Trust | BNP Paribas SA3 | –0.400 | % | 4/26/2017 | 7/27/2017 | EUR | 1,737,372 | EUR | 1,736,118 | 1,982,906 | |||||||||||||||||||||||||||||
Global Bond Trust | BNP Paribas SA4 | 0.470 | % | 5/10/2017 | 7/20/2017 | GBP | 3,376,264 | GBP | 3,378,512 | 4,400,342 | |||||||||||||||||||||||||||||
Global Bond Trust | BNP Paribas SA5 | 0.470 | % | 5/11/2017 | 7/20/2017 | GBP | 649,668 | GBP | 650,092 | 846,712 | |||||||||||||||||||||||||||||
Global Bond Trust | Merrill Lynch6 | 0.750 | % | 6/20/2017 | 7/14/2017 | CAD | 559,000 | CAD | 559,116 | 431,151 | |||||||||||||||||||||||||||||
Global Bond Trust | Merrill Lynch7 | 0.850 | % | 6/14/2017 | 7/14/2017 | CAD | 5,028,750 | CAD | 5,030,650 | 3,879,280 | |||||||||||||||||||||||||||||
Global Bond Trust | Merrill Lynch8 | 0.850 | % | 6/14/2017 | 7/14/2017 | CAD | 2,754,000 | CAD | 2,755,040 | 2,124,491 | |||||||||||||||||||||||||||||
Global Bond Trust | Merrill Lynch9 | 0.850 | % | 6/14/2017 | 7/14/2017 | CAD | 2,693,250 | CAD | 2,694,267 | 2,077,628 | |||||||||||||||||||||||||||||
Global Bond Trust | Morgan Stanley10 | –0.350 | % | 5/4/2017 | 8/3/2017 | EUR | 1,547,585 | EUR | 1,546,728 | 1,766,595 | |||||||||||||||||||||||||||||
Global Bond Trust | Morgan Stanley11 | –0.350 | % | 5/4/2017 | 8/3/2017 | EUR | 2,597,334 | EUR | 2,595,895 | 2,964,900 | |||||||||||||||||||||||||||||
Global Bond Trust | Morgan Stanley12 | –0.350 | % | 6/14/2017 | 8/3/2017 | EUR | 198,562 | EUR | 198,531 | 226,752 | |||||||||||||||||||||||||||||
Global Bond Trust | Morgan Stanley13 | –0.350 | % | 6/14/2017 | 8/3/2017 | EUR | 267,506 | EUR | 267,464 | 305,484 | |||||||||||||||||||||||||||||
Global Bond Trust | Morgan Stanley14 | –0.500 | % | 5/23/2017 | 7/27/2017 | EUR | 2,404,906 | EUR | 2,403,637 | 2,745,313 | |||||||||||||||||||||||||||||
Global Bond Trust | Morgan Stanley15 | 0.300 | % | 6/12/2017 | 7/20/2017 | GBP | 3,340,447 | GBP | 3,340,948 | 4,351,417 | |||||||||||||||||||||||||||||
Global Bond Trust | Morgan Stanley16 | 0.400 | % | 5/4/2017 | 7/20/2017 | GBP | 1,516,814 | GBP | 1,517,775 | 1,976,825 | |||||||||||||||||||||||||||||
Global Bond Trust | Royal Bank of Scotland17 | 1.150 | % | 6/14/2017 | 7/6/2017 | USD | 10,653,000 | USD | 10,658,445 | 10,658,445 | |||||||||||||||||||||||||||||
Global Bond Trust | The Bank of Nova Scotia18 | 1.300 | % | 6/23/2017 | 7/24/2017 | USD | 1,128,304 | USD | 1,128,589 | 1,128,589 | |||||||||||||||||||||||||||||
Global Bond Trust | UBS AG19 | –0.300 | % | 4/27/2017 | 8/3/2017 | EUR | 3,798,611 | EUR | 3,796,585 | 4,336,268 | |||||||||||||||||||||||||||||
Global Bond Trust | UBS AG20 | –0.430 | % | 5/25/2017 | 7/27/2017 | EUR | 4,296,390 | EUR | 4,294,543 | 4,905,010 | |||||||||||||||||||||||||||||
Global Bond Trust | UBS AG21 | –0.450 | % | 4/27/2017 | 7/27/2017 | EUR | 2,706,959 | EUR | 2,704,794 | 3,089,279 | |||||||||||||||||||||||||||||
$ | 54,979,502 |
1 | Reverse repurchase agreement with BNP Paribas SA dated 5/8/2017 at –0.300% to be repurchased at EUR 390,316 on 8/3/2017, collateralized by EUR 400,000 Republic of Italy, 2.450% due 9/1/2033 (valued at EUR 385,727, including interest) |
2 | Reverse repurchase agreement with BNP Paribas SA dated 5/22/2017 at –0.300% to be repurchased at EUR 294,265 on 8/3/2017, collateralized by EUR 300,000 Republic of Italy, 2.450% due 9/1/2033 (valued at EUR 289,295, including interest) |
3 | Reverse repurchase agreement with BNP Paribas SA dated 4/26/2017 at –0.400% to be repurchased at EUR 1,735,596 on 7/27/2017, collateralized by EUR 1,800,000 Government of France, 1.250% due 5/25/2036 (valued at EUR 1,727,669, including interest) |
4 | Reverse repurchase agreement with BNP Paribas SA dated 5/10/2017 at 0.470% to be repurchased at GBP 3,379,393 on 7/20/2017, collateralized by GBP 2,300,000 Government of United Kingdom, 4.250% due 12/7/2040 (valued at GBP 3,323,972, including interest) |
5 | Reverse repurchase agreement with BNP Paribas SA dated 5/11/2017 at 0.470% to be repurchased at GBP 650,254 on 7/20/2017, collateralized by GBP 500,000 Government of United Kingdom, 3.250% due 1/22/2044 (valued at GBP 638,871, including interest) |
6 | Reverse repurchase agreement with Merrill Lynch dated 6/20/2017 at 0.750% to be repurchased at CAD 559,276 on 7/14/2017, collateralized by CAD 450,576 Government of Canada, 1.500% due 12/1/2044 (valued at CAD 553,704, including interest) |
7 | Reverse repurchase agreement with Merrill Lynch dated 6/14/2017 at 0.850% to be repurchased at CAD 5,032,263 on 7/14/2017, collateralized by CAD 4,500,000 Province of Quebec, 4.250% due 12/1/2021 (valued at CAD 4,958,415, including interest) |
8 | Reverse repurchase agreement with Merrill Lynch dated 6/14/2017 at 0.850% to be repurchased at CAD 2,755,924 on 7/14/2017, collateralized by CAD 2,700,000 Province of Alberta, 2.350% due 6/1/2025 (valued at CAD 2,696,139, including interest) |
9 | Reverse repurchase agreement with Merrill Lynch dated 6/14/2017 at 0.850% to be repurchased at CAD 2,695,132 on 7/14/2017, collateralized by CAD 2,700,000 Province of Alberta, 1.250% due 6/1/2020 (valued at CAD 2,677,563, including interest) |
10 | Reverse repurchase agreement with Morgan Stanley dated 5/4/2017 at –0.350% to be repurchased at EUR 1,546,216 on 8/3/2017, collateralized by EUR 1,600,000 Republic of Italy, 2.450% due 9/1/2033 (valued at EUR 1,542,909, including interest) |
11 | Reverse repurchase agreement with Morgan Stanley dated 5/4/2017 at –0.350% to be repurchased at EUR 2,595,036 on 8/3/2017, collateralized by EUR 2,500,000 Kingdom of Spain, 1.950% due 4/30/2026 (valued at EUR 2,627,045, including interest) |
12 | Reverse repurchase agreement with Morgan Stanley dated 6/14/2017 at –0.350% to be repurchased at EUR 198,465 on 8/3/2017, collateralized by EUR 200,000 Government of France, 3.250% due 9/1/2046 (valued at EUR 199,050, including interest) |
13 | Reverse repurchase agreement with Morgan Stanley dated 6/14/2017 at –0.350% to be repurchased at EUR 267,376 on 8/3/2017, collateralized by EUR 300,000 Republic of Italy, 2.700% due 3/1/2047 (valued at EUR 267,480, including interest) |
14 | Reverse repurchase agreement with Morgan Stanley dated 5/23/2017 at –0.500% to be repurchased at EUR 2,402,735 on 7/27/2017, collateralized by EUR 1,800,000 Government of France, 3.250% due 5/25/2045 (valued at EUR 2,385,747, including interest) |
15 | Reverse repurchase agreement with Morgan Stanley dated 6/12/2017 at 0.300% to be repurchased at GBP 3,341,490 on 7/20/2017, collateralized by GBP 2,500,000 Government of United Kingdom, 3.250% due 1/22/2044 (valued at GBP 3,194,353, including interest) |
16 | Reverse repurchase agreement with Morgan Stanley dated 5/4/2017 at 0.400% to be repurchased at GBP 1,518,094 on 7/20/2017, collateralized by GBP 1,100,000 Government of United Kingdom, 3.500% due 1/22/2045 (valued at GBP 1,476,261, including interest) |
17 | Reverse repurchase agreement with Royal Bank of Scotland dated 6/14/2017 at 1.150% to be repurchased at $10,660,487 on 7/6/2017, collateralized by $10,647,382 U.S. Treasury Inflation Indexed Bonds, 0.125% due 4/15/2022 (valued at $10,594,379, including interest) |
18 | Reverse repurchase agreement with The Bank of Nova Scotia dated 6/23/2017 at 1.300% to be repurchased at $1,129,567 on 7/24/2017, collateralized by $922,561 U.S. Treasury Inflation Indexed Bonds, 2.500% due 1/15/2029 (valued at $1,108,909, including interest) |
19 | Reverse repurchase agreement with UBS AG dated 4/27/2017 at –0.300% to be repurchased at EUR 3,795,509 on 8/3/2017, collateralized by EUR 3,600,000 Kingdom of Spain, 1.950% due 4/30/2026 (valued at EUR 3,782,945, including interest) |
20 | Reverse repurchase agreement with UBS AG dated 5/25/2017 at –0.430% to be repurchased at EUR 4,293,157 on 7/27/2017, collateralized by EUR 4,200,000 Government of France, 2.000% due 5/25/2048 (valued at EUR 4,332,720, including interest) |
21 | Reverse repurchase agreement with UBS AG dated 4/27/2017 at –0.450% to be repurchased at EUR 2,703,880 on 7/27/2017, collateralized by EUR 2,800,000 Government of France, 1.250% due 5/25/2036 (valued at EUR 2,687,485, including interest) |
Fund | | Counterparty | | Collateral Paid/ (Received) | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Global Bond Trust | Morgan Stanley & Co. Inc. | ($390,000 | ) |
Fund | | Average Borrowing | | Weighted average interest rate | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Global Bond Trust | $ | 7,705,515 | 0.26 | % |
Fund | | Counterparty | | Payable for funds borrowed | | Market value of securities | | Net exposure | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Global Bond Trust | BNP Paribas | ($8,229,433 | ) | $ | 8,028,814 | ($200,619 | ) |
Portfolio | | Market Value of Securities on Loan | | Cash Collateral Received | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Active Bond Trust | $ | 5,772,336 | $ | 5,898,403 | ||||||
Bond Trust | 14,012,553 | 14,359,621 | ||||||||
Core Bond Trust | 3,314,128 | 3,392,875 | ||||||||
High Yield Trust | 8,256,011 | 8,458,720 | ||||||||
Investment Quality Bond Trust | 62,157 | 63,563 | ||||||||
New Income Trust | 8,207,329 | 8,403,975 | ||||||||
Total Bond Market Trust B | 1,993,956 | 2,043,530 |
transaction. The effect of changes in foreign currency exchange rates on the value of securities is reflected as a component of the realized and unrealized gains (losses) on investments.
Portfolio | | Amount | ||||
---|---|---|---|---|---|---|
Active Bond Trust | $ | 2,214 | ||||
Bond Trust | 11,097 | |||||
Core Bond Trust | 3,587 | |||||
Global Bond Trust | 2,041 | |||||
High Yield Trust | 1,664 | |||||
Investment Quality Bond Trust | 1,722 | |||||
Money Market Trust | $ | 3,939 | ||||
New Income Trust | 2,868 | |||||
Short Term Government Income Trust | 1,754 | |||||
Strategic Income Opportunities Trust | 2,044 | |||||
Total Bond Market Trust B | 2,041 | |||||
Ultra Short Term Bond Trust | 1,732 |
| No Expiration Date | | ||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Portfolio | | 2017 | | 2018 | | Short Term | | Long Term | | |||||||||||||||||||||||||
Active Bond Trust | — | — | — | $ | 8,722,279 | |||||||||||||||||||||||||||||
Bond Trust | $ | 3,252,860 | — | $ | 85,741,977 | 86,376,983 | ||||||||||||||||||||||||||||
Global Bond Trust | 15,094,818 | — | 11,359,691 | 2,163,227 |
| No Expiration Date | | ||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Portfolio | | 2017 | | 2018 | | Short Term | | Long Term | | |||||||||||||||||||||||||
High Yield Trust | $ | 255,192,811 | — | $ | 5,872,582 | $ | 51,404,872 | |||||||||||||||||||||||||||
New Income Trust | — | — | — | 3,315,948 | ||||||||||||||||||||||||||||||
Short Term Government Income Trust | 49,933,390 | — | 3,178,745 | 12,875,218 | ||||||||||||||||||||||||||||||
Strategic Income Opportunities Trust | 29,809,523 | — | — | — | ||||||||||||||||||||||||||||||
Total Bond Market Trust B | 886,914 | — | 763,005 | 874,126 | ||||||||||||||||||||||||||||||
Ultra Short Term Bond Trust | — | $ | 59,426 | 6,055,366 | 9,277,820 |
Portfolio | | Aggregate cost | | Unrealized appreciation | | Unrealized (depreciation) | | Net unrealized appreciation/ (depreciation) | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Active Bond Trust | $ | 809,497,530 | $ | 22,764,449 | ($8,341,921 | ) | $ | 14,422,528 | ||||||||||
Bond Trust | 9,213,306,581 | 131,939,752 | (92,596,816 | ) | 39,342,936 | |||||||||||||
Core Bond Trust | 1,404,222,494 | 7,492,139 | (16,809,323 | ) | (9,317,184 | ) | ||||||||||||
Global Bond Trust | 705,151,171 | 12,795,051 | (12,989,552 | ) | (194,501 | ) | ||||||||||||
High Yield Trust | 262,413,558 | 11,453,057 | (20,105,587 | ) | (8,652,530 | ) | ||||||||||||
Investment Quality Bond Trust | 338,292,494 | 3,655,645 | (3,485,740 | ) | 169,905 | |||||||||||||
Money Market Trust | 2,127,056,759 | — | — | — | ||||||||||||||
New Income Trust | 1,410,511,120 | 23,921,751 | (9,760,669 | ) | 14,161,082 | |||||||||||||
Short Term Government Income Trust | 309,518,925 | 659,221 | (4,092,026 | ) | (3,432,805 | ) | ||||||||||||
Strategic Income Opportunities Trust | 613,747,362 | 22,830,958 | (15,187,244 | ) | 7,643,714 | |||||||||||||
Total Bond Market Trust B | 605,390,435 | 15,124,338 | (5,963,080 | ) | 9,161,258 | |||||||||||||
Ultra Short Term Bond Trust | 244,809,859 | 74,543 | (1,715,368 | ) | (1,640,825 | ) |
Fund | | Reason | | USD Notional range | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Global Bond Trust | To manage against anticipated interest rate changes, gain exposure to foreign bond markets, gain exposure to treasuries market, maintain diversity, manage duration and as a substitute for securities purchased. | $580 million to $856.1 million | ||||||||
High Yield Trust | To manage against anticipated interest rate changes. | $11.9 million to $42.8 million | ||||||||
Investment Quality Bond Trust | To manage against anticipated interest rate changes, gain exposure to foreign bond markets, gain exposure to treasuries market, manage duration of the portfolio and as a substitute for securities purchased. | $42.8 million to $99.9 million | ||||||||
New Income Trust | To manage against anticipated interest rate changes, gain exposure to treasuries market, maintain diversity of the portfolio, manage duration of the portfolio and as a substitute for securities purchased. | $175.4 million to $299.8 million | ||||||||
Strategic Income Opportunities Trust | To manage duration of the portfolio. | $123.2 million to $165.5 million |
Fund | | Reason | | USD Notional range | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Global Bond Trust | To manage against anticipated changes in currency exchange rates, manage currency exposure and maintain diversity. | $605.5 million to $817.2 million | ||||||||
High Yield Trust | To manage against anticipated changes in currency exchange rates. | $2.1 million to $2.8 million | ||||||||
Investment Quality Bond Trust | To manage against anticipated changes in currency exchange rates and manage currency exposure. | $2.5 million to $12.3 million | ||||||||
New Income Trust | To manage against anticipated changes in currency exchange rates and manage currency exposure. | $9.5 million to $12.7 million | ||||||||
Strategic Income Opportunities Trust | To manage against anticipated changes in currency exchange rates and enhance potential gain/income. | $402.6 million to $1.0 billion |
the portfolio realizes a gain or loss, depending on whether proceeds from the closing sale are greater or less than the original cost. When a portfolio writes an option, the premium received is included as a liability and subsequently “marked-to-market” to reflect the current market value of the option written. Premiums received from writing options that expire unexercised are recorded as realized gains. Premiums received from writing options which are exercised or are closed are added to or offset against the proceeds or amount paid on the transaction to determine the realized gain or loss. If a put option on a security is exercised, the premium received reduces the cost basis of the securities purchased by the portfolio.
Fund | | Reason | | Market Value | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Global Bond Trust | To gain exposure to the bond market, maintain diversity and as a substitute for securities purchased. | $223,337 to $1.5 million | ||||||||
High Yield Trust | To manage against potential credit events. At June 30, 2017, there were no open purchased option contracts. | Up to $2,274 | ||||||||
Investment Quality Bond Trust | To manage against anticipated currency exchange rates. | Up to $28,164 | ||||||||
New Income Trust | To manage duration of the portfolio. At June 30, 2017, there were no open purchased option contracts. | Up to $97,500 | ||||||||
Strategic Income Opportunities Trust | To manage against anticipated currency exchange rates. | $1.1 million to $2.4 million |
Portfolio | | Type | | Reason | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Global Bond Fund | Exchange-Traded Futures | To manage duration of the portfolio, manage against anticipated interest rate changes, and to maintain diversity of the portfolio .. | ||||||||
Foreign Currency | To manage against anticipated currency exchange rates, gain exposure to foreign currency, and as a substitute for securities purchased. | |||||||||
Inflation Floors | To manage duration of the portfolio, manage against anticipated interest rate changes, and as a substitute for securities purchased. | |||||||||
Interest Rate Swaptions | To manage duration of the portfolio, manage against anticipated interest rate changes, and maintain diversity of the portfolio. | |||||||||
High Yield Trust | Interest Rate Swaptions | To manage against potential credit events. At June 30, 2017, there were no open written option contracts. | ||||||||
Investment Quality Bond Trust | Foreign Currency | To manage against anticipated currency exchange rates. At June 30, 2017, there were no open written option contracts. | ||||||||
New Income Trust | Credit Default Swaptions | To gain exposure to security or credit index and substitute for securities purchased. At June 30, 2017, there were no open written option contracts. |
CAD Notional Amount | EUR Notional Amount | GBP Notional Amount | JPY Notional Amount | USD Notional Amount | Premiums Received | |||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Global Bond Trust | ||||||||||||||||||||||||||||||
Outstanding, beginning of period | — | 2,314,000 | 11,321,000 | 1,040,000,000 | 64,700,000 | $ | 1,328,536 | |||||||||||||||||||||||
Options written | 8,969,000 | 6,944,500 | — | — | 37,543,000 | 502,084 | ||||||||||||||||||||||||
Options closed | (6,169,000 | ) | — | — | — | (73,500,000 | ) | (1,215,611 | ) | |||||||||||||||||||||
Options exercised | — | (3,046,000 | ) | — | (1,040,000,000 | ) | — | (21,693 | ) | |||||||||||||||||||||
Options expired | — | (5,360,000 | ) | (11,321,000 | ) | — | (3,700,000 | ) | (211,610 | ) | ||||||||||||||||||||
Outstanding, end of period | 2,800,000 | 852,500 | — | — | 25,043,000 | $ | 381,706 |
Contract | Premiums Received | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
High Yield Trust | ||||||||||
Outstanding, beginning of period | — | — | ||||||||
Options written | 16,671,600 | $ | 51,682 | |||||||
Options closed | — | — | ||||||||
Options exercised | — | — | ||||||||
Options expired | (16,671,600 | ) | (51,682 | ) | ||||||
Outstanding, end of period | — | — |
Contract | Premiums Received | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Investment Quality Bond Trust | ||||||||||
Outstanding, beginning of period | — | — | ||||||||
Options written | 477,000 | $ | 3,611 | |||||||
Options closed | — | — | ||||||||
Options exercised | — | — | ||||||||
Options expired | (477,000 | ) | (3,611 | ) | ||||||
Outstanding, end of period | — | — |
Contract | Premiums Received | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
New Income Trust | ||||||||||
Outstanding, beginning of period | — | — | ||||||||
Options written | 56,000,000 | $ | 106,750 | |||||||
Options closed | (56,000,000 | ) | (106,750 | ) | ||||||
Options exercised | — | — | ||||||||
Options expired | — | — | ||||||||
Outstanding, end of period | — | — |
Fund | | Reason | | USD Notional range | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Global Bond Trust | To manage duration of the portfolio, manage against anticipated interest rate changes, gain exposure to treasury markets and as a substitute for securities purchased. | $713.3 million to $1.5 billion | ||||||||
Investment Quality Bond Trust | To manage duration of the portfolio. | $9.0 million to $16.7 million |
Fund | | Reason | | USD Notional range | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Global Bond Trust | To manage against potential credit events, to gain exposure to a security or credit index, and as a substitute for securities purchased. | $40.9 million to $251.2 million | ||||||||
High Yield Trust | To manage against potential credit events. At June 30, 2017, there were no open credit default swap contracts. | Up to $4.9 million | ||||||||
Investment Quality Bond Trust | To manage against potential credit events, to gain exposure to security or credit index and, as a substitute for securities purchased. | Up to $9.3 million | ||||||||
New Income Trust | To manage against potential credit events. At June 30, 2017, there were no open credit default swap contracts. | Up to $3.4 million |
Fund | | Reason | | USD Notional range | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Global Bond Trust | To take a long position in the exposure of the benchmark credit, gain exposure to a security or credit index and substitute for securities purchased. | $10.9 million to $31.5 million | ||||||||
Investment Quality Bond Trust | To take a long position in the exposure of the benchmark credit, gain exposure to a security or credit index and temporarily substitute for securities purchased. | $2.8 million to $19.6 million | ||||||||
New Income Trust | To take a long position in the exposure of the benchmark credit. | Up to $0.9 million |
Fund | | Reason | | USD Notional range | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Global Bond Trust | To manage against anticipated currency exchange rates, maintain diversity of the portfolio, and to gain exposure to foreign currencies. | $112.7 million to $175.6 million | ||||||||
Investment Quality Bond Trust | To express a view on the differential between rates in two different markets. | Up to $244,183 |
Fund | | Risk | | Statement of assets and liabilities location | | Financial instruments location | | Asset derivatives fair value | | Liability derivatives fair value | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Global Bond Trust | Interest rate | Receivable/payable for futures | Futures† | $ | 866,947 | ($1,571,751 | ) | |||||||||||||||
Foreign currency | Unrealized appreciation/depreciation on forward foreign currency contracts | Forward foreign currency contracts | 10,313,009 | (6,559,644 | ) | |||||||||||||||||
Foreign currency | Unaffiliated investments, at value* | Purchased options | 169,093 | — | ||||||||||||||||||
Interest rate | Unaffiliated investments, at value* | Purchased options | 71,406 | — | ||||||||||||||||||
Foreign currency | Written options, at value | Written options | — | (89,445 | ) | |||||||||||||||||
Interest rate | Written options, at value | Written options | — | (71,859 | ) | |||||||||||||||||
Credit | Swap contracts, at value | Credit default swapsˆ | 468,704 | (1,189,531 | ) | |||||||||||||||||
Foreign currency | Swap contracts, at value | Volatility swapsˆ | 11,528 | (8,853 | ) | |||||||||||||||||
Foreign currency | Swap contracts, at value | Currency swapsˆ | 4,458,730 | — | ||||||||||||||||||
Interest rate | Swap contracts, at value | Interest rate swapsˆ | 6,898,962 | (3,828,653 | ) | |||||||||||||||||
$ | 23,258,379 | ($13,319,736 | ) |
Fund | | Risk | | Statement of assets and liabilities location | | Financial instruments location | | Asset derivatives fair value | | Liability derivatives fair value | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
High Yield Trust | Interest rate | Receivable/payable for futures | Futures† | $ | 28,388 | ($22,642 | ) | |||||||||||||||
Foreign currency | Unrealized appreciation/depreciation on forward foreign currency contracts | Forward foreign currency contracts | 75,072 | (37,003 | ) | |||||||||||||||||
$ | 103,460 | ($59,645 | ) | |||||||||||||||||||
Investment Quality Bond Trust | Interest rate | Receivable/payable for futures | Futures† | $ | 243,254 | ($24,392 | ) | |||||||||||||||
Foreign currency | Unrealized appreciation/depreciation on forward foreign currency contracts | Forward foreign currency contracts | 41,817 | (13,651 | ) | |||||||||||||||||
Foreign currency | Unaffiliated investments, at value* | Purchased options | 28,164 | — | ||||||||||||||||||
Credit | Swap contracts, at value | Credit default swapsˆ | 13,194 | (381,526 | ) | |||||||||||||||||
Foreign currency | Swap contracts, at value | Currency swapsˆ | — | (5,812 | ) | |||||||||||||||||
Interest rate | Swap contracts, at value | Interest rate swapsˆ | 136,672 | (1,385,911 | ) | |||||||||||||||||
$ | 463,101 | ($1,811,292 | ) | |||||||||||||||||||
New Income Trust | Interest rate | Receivable/payable for futures | Futures† | $ | 325,880 | ($122,942 | ) | |||||||||||||||
Foreign currency | Unrealized appreciation/depreciation on forward foreign currency contracts | Forward foreign currency contracts | 67,041 | (222,975 | ) | |||||||||||||||||
$ | 392,921 | ($345,917 | ) | |||||||||||||||||||
Strategic Income Opportunities Trust | Interest rate | Receivable/payable for futures | Futures† | $ | 276,289 | ($78,894 | ) | |||||||||||||||
Foreign currency | Unrealized appreciation/depreciation on forward foreign currency contracts | Forward foreign currency contracts | 9,001,426 | (8,515,426 | ) | |||||||||||||||||
Foreign currency | Unaffiliated investments, at value* | Purchased options | 1,825,113 | — | ||||||||||||||||||
$ | 11,102,828 | ($8,594,320 | ) |
† | Reflects cumulative appreciation/depreciation on futures as disclosed in the Portfolio of investments. Only the year end variation margin is separately disclosed on the Statements of assets and liabilities. |
* | Purchased options are included in the Portfolio of investments |
ˆ | Reflects cumulative value of swap contracts. Receivable/Payable for centrally cleared swaps, which includes value and margin, and swap contracts at value, which represents OTC swaps, are shown separately on the Statements of assets and liabilities. |
Other Financial Instruments | | Asset | | Liability | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Global Bond Trust | |||||||||||||||
Credit default swaps | $ | 51,766 | ($471,565 | ) | |||||||||||
Currency swaps | 4,458,730 | — | |||||||||||||
Forward foreign currency contracts | 10,313,009 | (6,559,644 | ) | ||||||||||||
Purchased options | 209,642 | — | |||||||||||||
Volatility swaps | 11,528 | (8,853 | ) | ||||||||||||
Written options | — | (97,274 | ) | ||||||||||||
$ | 15,044,675 | ($7,137,336 | ) | ||||||||||||
Strategic Income Opportunities Trust | |||||||||||||||
Forward foreign currency contracts | $ | 9,001,426 | ($8,515,426 | ) | |||||||||||
Purchased options | 1,825,113 | — | |||||||||||||
$ | 10,826,539 | ($8,515,426 | ) |
Counterparty | | Total Market Value of OTC Derivatives | | Collateral Posted by Counterparty | | Collateral Posted by Portfolio | | Net Exposure | | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Global Bond Trust | ||||||||||||||||||||||
Bank of America, N.A. | ($696,047 | ) | — | $ | 696,047 | — | ||||||||||||||||
Barclays Capital | 40,747 | — | — | $ | 40,747 | |||||||||||||||||
BNP Paribas SA | (359,265 | ) | — | 307,266 | (51,999 | ) | ||||||||||||||||
Citibank N.A. | 732,001 | — | 332,450 | 1,064,451 | ||||||||||||||||||
Credit Suisse | (156,167 | ) | — | — | (156,167 | ) | ||||||||||||||||
Deutsche Bank AG | 106,158 | — | — | 106,158 | ||||||||||||||||||
Goldman Sachs Bank | 3,432,306 | $ | 640,343 | — | 2,791,963 | |||||||||||||||||
Goldman Sachs International | (36,169 | ) | — | — | (36,169 | ) |
Counterparty | | Total Market Value of OTC Derivatives | | Collateral Posted by Counterparty | | Collateral Posted by Portfolio | | Net Exposure | | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
HSBC Bank USA | $ | 626,298 | $ | 626,298 | — | — | ||||||||||||||||
JPMorgan Chase Bank N.A. | (1,058,503 | ) | — | $ | 1,058,503 | — | ||||||||||||||||
Morgan Stanley Bank, N.A. | (496,749 | ) | — | 425,636 | ($71,113 | ) | ||||||||||||||||
Morgan Stanley Capital Services, Inc. | 16,442 | 16,442 | — | — | ||||||||||||||||||
Nomura Global Financial Products, Inc. | (123,203 | ) | — | 114,287 | (8,916 | ) | ||||||||||||||||
Royal Bank of Canada | 257,859 | — | — | 257,859 | ||||||||||||||||||
Royal Bank of Scotland | 455,460 | 10,091 | — | 445,369 | ||||||||||||||||||
Standard Chartered Bank | 223,257 | 223,257 | — | — | ||||||||||||||||||
UBS AG | 4,942,914 | 4,942,914 | — | — | ||||||||||||||||||
Totals | $ | 7,907,339 | $ | 6,459,345 | $ | 2,934,189 | $ | 4,382,183 | ||||||||||||||
Strategic Income Opportunities Trust | ||||||||||||||||||||||
Australia and New Zealand Banking Group | ($1,014,118 | ) | — | $ | 840,000 | ($174,118 | ) | |||||||||||||||
Bank of Nova Scotia | 333,200 | $ | 266,663 | — | 66,537 | |||||||||||||||||
Canadian Imperial Bank | 33,840 | 33,840 | — | — | ||||||||||||||||||
Citibank N.A. | (302,945 | ) | — | — | (302,945 | ) | ||||||||||||||||
Goldman Sachs Bank USA | 2,067,857 | 1,080,000 | — | 987,857 | ||||||||||||||||||
HSBC Bank USA | (176,440 | ) | — | — | (176,440 | ) | ||||||||||||||||
JPMorgan Chase Bank N.A. | 373,100 | — | — | 373,100 | ||||||||||||||||||
Morgan Stanley & Company, Inc. | (196,440 | ) | — | 30,000 | (166,440 | ) | ||||||||||||||||
RBC Dominion Securities, Inc. | 211,359 | 211,359 | — | — | ||||||||||||||||||
Royal Bank of Canada | 61,974 | — | — | 61,974 | ||||||||||||||||||
Standard Chartered Bank | (11,374 | ) | — | — | (11,374 | ) | ||||||||||||||||
State Street Bank and Trust Company | 557,236 | 557,236 | — | — | ||||||||||||||||||
Toronto Dominion Bank | 252,836 | 252,836 | — | — | ||||||||||||||||||
UBS Securities LLC | 7,477 | — | — | 7,477 | ||||||||||||||||||
U.S. Bank | 113,551 | 113,551 | — | — | ||||||||||||||||||
Totals | $ | 2,311,113 | $ | 2,515,485 | $ | 870,000 | $ | 665,628 |
Statements of operations Location—Net realized gain (loss) on: | |||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Fund | | Risk | | Unaffiliated Investments and Foreign Currency Transactions1 | | Written Options | | Futures Contracts | | Swap Contracts | | Unaffiliated Investments and Foreign Currency Transactions2 | | Total | |||||||||||||||||
Global Bond Trust | Credit | — | — | — | ($1,022,108 | ) | — | ($1,022,108 | ) | ||||||||||||||||||||||
Foreign currency | ($64,067 | ) | $ | 291,434 | — | (2,860,159 | ) | ($2,601,651 | ) | (5,234,443 | ) | ||||||||||||||||||||
Interest rate | 282,459 | (651,074 | ) | $ | 4,092,917 | 9,560,336 | — | 13,284,638 | |||||||||||||||||||||||
$ | 218,392 | ($359,640 | ) | $ | 4,092,917 | $ | 5,678,069 | ($2,601,651 | ) | $ | 7,028,087 | ||||||||||||||||||||
High Yield Trust | Credit | ($53,349 | ) | $ | 51,682 | — | ($73,983 | ) | — | ($75,650 | ) | ||||||||||||||||||||
Foreign currency | — | — | — | — | $ | 17,708 | 17,708 | ||||||||||||||||||||||||
Interest rate | — | — | $ | 97,104 | — | — | 97,104 | ||||||||||||||||||||||||
($53,349 | ) | $ | 51,682 | $ | 97,104 | ($73,983 | ) | $ | 17,708 | $ | 39,162 | ||||||||||||||||||||
Investment Quality Bond Trust | Credit | — | — | — | $ | 489,478 | — | $ | 489,478 | ||||||||||||||||||||||
Foreign currency | $ | 15,011 | $ | 3,610 | — | — | ($46,676 | ) | (28,055 | ) | |||||||||||||||||||||
Interest rate | — | — | $ | 473,284 | (120,373 | ) | — | 352,911 | |||||||||||||||||||||||
$ | 15,011 | $ | 3,610 | $ | 473,284 | $ | 369,105 | ($46,676 | ) | $ | 814,334 | ||||||||||||||||||||
New Income Trust | Interest rate | ($43,894 | ) | $ | 19,600 | ($1,163,421 | ) | — | — | ($1,187,715 | ) | ||||||||||||||||||||
Credit | — | — | — | $ | 33,879 | — | 33,879 | ||||||||||||||||||||||||
Foreign currency | — | — | — | — | $ | 37,366 | 37,366 | ||||||||||||||||||||||||
($43,894 | ) | $ | 19,600 | ($1,163,421 | ) | $ | 33,879 | $ | 37,366 | ($1,116,470 | ) | ||||||||||||||||||||
Strategic Income Opportunities Trust | Foreign currency | ($360,306 | ) | — | — | — | ($1,204,026 | ) | ($1,564,332 | ) | |||||||||||||||||||||
Interest rate | — | — | ($2,849,546 | ) | — | — | (2,849,546 | ) | |||||||||||||||||||||||
($360,306 | ) | — | ($2,849,546 | ) | — | ($1,204,026 | ) | ($4,413,878 | ) |
1 | Realized gain/loss associated with purchased options is included in this caption on the Statements of operations. |
2 | Realized gain/loss associated with forward foreign currency contracts is included in this caption on the Statements of operations. |
Statements of operations Location—Change in unrealized appreciation (depreciation) of: | |||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Fund | | Risk | | Unaffiliated Investments and Foreign Currency Transactions1 | | Written Options | | Futures Contracts | | Swap Contracts | | Unaffiliated Investments and Foreign Currency Transactions2 | | Total | |||||||||||||||||