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)
200 Berkeley Street, BOSTON, MA 02116
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(Address of principal executive offices) (Zip code)
SALVATORE SCHIAVONE, 200 Berkeley Street, BOSTON, MA 02116
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(Name and address of agent for service)
Registrant's telephone number, including area code: (617) 663-4497
Date of fiscal year end: 12/31
Date of reporting period: 6/30/21
ITEM 1. REPORTS TO STOCKHOLDERS.
The Registrant prepared three semiannual reports to shareholders for the period ended June 30, 2021. The first report applies to 35 of the Registrant's portfolios, the second report applies to 11 of the Registrant's portfolios and the third report applies to 4 of the Registrant's portfolios
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6 | |
11 | |
49 | |
58 | |
67 | |
73 | |
91 | |
135 | |
136 | |
140 | |
152 | |
153 |
Portfolio | Summary Portfolio of investments | |
11 | ||
12 | ||
12 | ||
12 | ||
12 | ||
13 | ||
13 | ||
13 | ||
14 | ||
21 | ||
22 | ||
24 | ||
25 | ||
25 | ||
26 | ||
27 | ||
28 | ||
29 |
Portfolio | Summary Portfolio of investments | |
31 | ||
33 | ||
33 | ||
33 | ||
33 | ||
34 | ||
35 | ||
36 | ||
37 | ||
37 | ||
38 | ||
40 | ||
41 | ||
42 | ||
43 | ||
44 | ||
45 |
2 |
Sector Composition (% of net assets) | |
Information technology | 26.8 |
Health care | 12.7 |
Consumer discretionary | 12.0 |
Financials | 11.0 |
Communication services | 10.9 |
Industrials | 8.3 |
Consumer staples | 5.7 |
Energy | 2.8 |
Materials | 2.5 |
Real estate | 2.5 |
Utilities | 2.4 |
Short-term investments and other | 2.4 |
Portfolio Composition (% of net assets)* | |
Common stocks | 70.3 |
Corporate bonds | 11.8 |
U.S. Government and Agency obligations | 7.5 |
Collateralized mortgage obligations | 5.5 |
Asset backed securities | 1.0 |
Foreign government obligations | 0.2 |
Municipal bonds | 0.1 |
Short-term investments and other | 3.6 |
Sector Composition (% of net assets)* | |
Information technology | 31.9 |
Consumer discretionary | 18.3 |
Health care | 13.8 |
Communication services | 9.7 |
Financials | 8.8 |
Consumer staples | 5.5 |
Industrials | 3.5 |
Materials | 1.8 |
Energy | 1.1 |
Real estate | 0.4 |
Utilities | 0.2 |
Short-term investments and other | 5.0 |
Sector Composition (% of net assets)* | |
Information technology | 22.5 |
Communication services | 20.4 |
Consumer discretionary | 17.5 |
Health care | 12.7 |
Industrials | 8.6 |
Financials | 6.4 |
Consumer staples | 3.2 |
Materials | 2.9 |
Energy | 2.2 |
Utilities | 0.6 |
Real estate | 0.2 |
Short-term investments and other | 2.8 |
Sector Composition (% of net assets)* | |
Information technology | 22.6 |
Communication services | 16.8 |
Health care | 11.9 |
Industrials | 10.3 |
Financials | 10.1 |
Consumer discretionary | 8.9 |
Materials | 4.9 |
Consumer staples | 4.4 |
Energy | 3.0 |
Real estate | 2.5 |
Utilities | 2.3 |
Short-term investments and other | 2.3 |
Sector Composition (% of net assets)* | |
Financials | 20.0 |
Health care | 13.3 |
Industrials | 12.5 |
Consumer discretionary | 12.0 |
Information technology | 10.5 |
Energy | 8.5 |
Materials | 7.7 |
Communication services | 6.7 |
Consumer staples | 2.9 |
Utilities | 2.7 |
Real estate | 0.2 |
Short-term investments and other | 3.0 |
Sector Composition (% of net assets) | |
Information technology | 38.4 |
Communication services | 27.0 |
Consumer discretionary | 18.3 |
Health care | 10.6 |
Financials | 2.8 |
Industrials | 2.0 |
Materials | 0.5 |
Short-term investments and other | 0.4 |
Sector Composition (% of net assets) | |
Information technology | 43.9 |
Consumer discretionary | 26.0 |
Communication services | 17.6 |
Health care | 4.5 |
Industrials | 3.6 |
Consumer staples | 3.0 |
Financials | 1.3 |
Short-term investments and other | 0.1 |
Portfolio Composition (% of net assets) | |
Common stocks | 71.1 |
Term loans | 8.5 |
Corporate bonds | 7.7 |
Preferred securities | 1.2 |
Asset backed securities | 0.3 |
Short-term investments and other | 11.2 |
Sector Composition (% of net assets) | |
Industrials | 22.2 |
Financials | 20.5 |
Consumer discretionary | 11.1 |
Materials | 10.8 |
Health care | 9.8 |
Information technology | 5.9 |
Energy | 5.3 |
Consumer staples | 5.0 |
Communication services | 4.8 |
Real estate | 1.3 |
Utilities | 0.9 |
Short-term investments and other | 2.4 |
Sector Composition (% of net assets) | |
Financials | 26.3 |
Materials | 14.7 |
Information technology | 11.5 |
Industrials | 10.0 |
Consumer discretionary | 9.8 |
Energy | 9.6 |
Real estate | 5.8 |
Communication services | 3.4 |
Health care | 2.8 |
Consumer staples | 2.8 |
Utilities | 1.6 |
Short-term investments and other | 1.7 |
Sector Composition (% of net assets) | |
Financials | 22.7 |
Health care | 14.8 |
Industrials | 11.9 |
Information technology | 8.9 |
Utilities | 8.2 |
Consumer staples | 6.9 |
Energy | 6.2 |
Materials | 5.8 |
Communication services | 5.0 |
Consumer discretionary | 4.4 |
Real estate | 4.1 |
Short-term investments and other | 1.1 |
Industry Composition (% of net assets) | |
Banks | 45.0 |
Insurance | 16.3 |
Capital markets | 15.6 |
Consumer finance | 7.6 |
IT services | 4.8 |
Diversified financial services | 4.0 |
Equity real estate investment trusts | 3.6 |
Thrifts and mortgage finance | 1.0 |
Real estate management and development | 0.5 |
Short-term investments and other | 1.6 |
Sector Composition (% of net assets) | |
Consumer discretionary | 19.2 |
Financials | 17.3 |
Communication services | 16.4 |
Information technology | 12.6 |
Industrials | 8.7 |
Consumer staples | 7.6 |
Health care | 6.7 |
Energy | 5.3 |
Real estate | 3.9 |
Materials | 0.9 |
Short-term investments and other | 1.4 |
Sector Composition (% of net assets) | |
Financials | 23.8 |
Health care | 13.4 |
Industrials | 12.3 |
Communication services | 9.9 |
Energy | 9.7 |
Consumer staples | 9.1 |
Consumer discretionary | 8.0 |
Information technology | 8.0 |
Real estate | 2.4 |
Materials | 1.0 |
Short-term investments and other | 2.4 |
Sector Composition (% of net assets) | |
Industrials | 14.1 |
Information technology | 13.9 |
Communication services | 13.8 |
Financials | 13.1 |
Health care | 12.7 |
Consumer staples | 11.9 |
Consumer discretionary | 11.8 |
Materials | 5.2 |
Energy | 1.4 |
Real estate | 0.9 |
Short-term investments and other | 1.2 |
Industry Composition (% of net assets) | |
Biotechnology | 34.1 |
Health care equipment and supplies | 21.6 |
Health care providers and services | 17.9 |
Life sciences tools and services | 11.3 |
Pharmaceuticals | 10.6 |
Health care technology | 2.8 |
Specialty retail | 0.3 |
Capital markets | 0.3 |
Insurance | 0.3 |
Diversified consumer services | 0.1 |
Short-term investments and other | 0.7 |
Sector Composition (% of net assets) | |
Financials | 17.8 |
Consumer discretionary | 13.4 |
Information technology | 12.7 |
Industrials | 11.6 |
Health care | 9.0 |
Consumer staples | 8.3 |
Materials | 8.0 |
Communication services | 6.4 |
Energy | 4.6 |
Utilities | 3.0 |
Real estate | 2.5 |
Short-term investments and other | 2.7 |
Sector Composition (% of net assets) | |
Industrials | 23.9 |
Consumer discretionary | 12.9 |
Financials | 12.6 |
Materials | 11.1 |
Information technology | 10.7 |
Health care | 5.7 |
Consumer staples | 5.4 |
Real estate | 4.8 |
Communication services | 4.3 |
Energy | 4.0 |
Utilities | 3.3 |
Short-term investments and other | 1.3 |
Asset Allocation (% of net assets) | |
Equity | 50.0 |
Fixed income | 50.0 |
Asset Allocation (% of net assets) | |
Fixed income | 80.0 |
Equity | 20.0 |
Asset Allocation (% of net assets) | |
Equity | 70.0 |
Fixed income | 30.0 |
Asset Allocation (% of net assets) | |
Fixed income | 60.1 |
Equity | 39.9 |
Sector Composition (% of net assets) | |
Industrials | 17.0 |
Financials | 14.3 |
Consumer discretionary | 14.0 |
Information technology | 13.6 |
Health care | 10.0 |
Real estate | 9.1 |
Materials | 6.0 |
Consumer staples | 3.3 |
Utilities | 3.1 |
Energy | 2.0 |
Communication services | 1.7 |
Short-term investments and other | 5.9 |
Sector Composition (% of net assets) | |
Consumer discretionary | 32.1 |
Information technology | 22.3 |
Health care | 20.9 |
Communication services | 8.6 |
Industrials | 7.7 |
Financials | 4.4 |
Consumer staples | 2.5 |
Real estate | 0.1 |
Short-term investments and other | 1.4 |
Sector Composition (% of net assets) | |
Health care | 16.5 |
Financials | 16.2 |
Energy | 12.7 |
Materials | 9.5 |
Consumer staples | 8.5 |
Utilities | 6.9 |
Industrials | 6.6 |
Real estate | 6.1 |
Communication services | 4.7 |
Consumer discretionary | 2.7 |
Information technology | 2.4 |
Short-term investments and other | 7.2 |
Portfolio Composition (% of net assets) | |
Specialized REITs | 26.0 |
Residential REITs | 20.8 |
Industrial REITs | 14.6 |
Retail REITs | 11.8 |
Health care REITs | 8.0 |
Office REITs | 7.0 |
Real estate services | 3.3 |
Hotel and resort REITs | 3.0 |
Health care facilities | 2.3 |
Hotels, resorts and cruise lines | 1.4 |
Casinos and gaming | 1.3 |
Short-term investments and other | 0.5 |
Sector Composition (% of net assets) | |
Information technology | 55.2 |
Consumer discretionary | 23.8 |
Communication services | 15.3 |
Industrials | 0.7 |
Health care | 0.7 |
Short-term investments and other | 4.3 |
Sector Composition (% of net assets) | |
Health care | 20.2 |
Financials | 14.1 |
Industrials | 13.5 |
Information technology | 13.0 |
Consumer discretionary | 11.4 |
Real estate | 6.5 |
Energy | 4.1 |
Materials | 3.6 |
Communication services | 3.4 |
Consumer staples | 3.0 |
Utilities | 2.3 |
Short-term investments and other | 4.9 |
Sector Composition (% of net assets) | |
Financials | 20.5 |
Industrials | 18.6 |
Consumer discretionary | 14.0 |
Health care | 13.0 |
Information technology | 12.5 |
Materials | 6.8 |
Energy | 5.8 |
Consumer staples | 4.1 |
Communication services | 2.1 |
Real estate | 1.5 |
Utilities | 0.6 |
Short-term investments and other | 0.5 |
Sector Composition (% of net assets) | |
Information technology | 28.5 |
Health care | 27.7 |
Consumer discretionary | 19.6 |
Industrials | 11.1 |
Communication services | 3.9 |
Financials | 3.8 |
Real estate | 3.4 |
Consumer staples | 1.4 |
Materials | 0.6 |
Sector Composition (% of net assets) | |
Industrials | 24.2 |
Financials | 23.4 |
Real estate | 9.2 |
Information technology | 7.4 |
Materials | 7.1 |
Health care | 7.1 |
Consumer staples | 5.8 |
Consumer discretionary | 5.4 |
Utilities | 3.9 |
Energy | 3.5 |
Short-term investments and other | 3.0 |
Sector Composition (% of net assets) | |
Financials | 25.9 |
Industrials | 16.1 |
Consumer discretionary | 10.7 |
Real estate | 8.7 |
Health care | 8.3 |
Information technology | 6.7 |
Energy | 6.5 |
Materials | 5.7 |
Utilities | 4.0 |
Consumer staples | 3.0 |
Communication services | 2.4 |
Short-term investments and other | 2.0 |
Sector Composition (% of net assets) | |
Information technology | 19.0 |
Financials | 12.8 |
Health care | 12.4 |
Consumer discretionary | 12.0 |
Industrials | 11.1 |
Communication services | 7.7 |
Consumer staples | 6.7 |
Materials | 4.4 |
Real estate | 3.3 |
Energy | 2.9 |
Utilities | 2.7 |
Short-term investments and other | 5.0 |
Sector Composition (% of net assets) | |
Information technology | 25.2 |
Health care | 12.4 |
Consumer discretionary | 12.4 |
Financials | 11.1 |
Communication services | 10.7 |
Industrials | 8.7 |
Consumer staples | 5.6 |
Real estate | 3.1 |
Energy | 3.0 |
Materials | 2.3 |
Utilities | 2.1 |
Short-term investments and other | 3.4 |
* | The weightings represent the holdings of the American Funds Insurance Series. For further details, please visit the American Funds website at americanfunds.com/afis. |
Account value on 1-1-2021 | Ending value on 6-30-2021 | Expenses paid during period ended 6-30-20211 | Annualized expense ratio | ||
500 Index Trust | |||||
Series I | Actual expenses/actual returns | $1,000.00 | $1,150.60 | $1.60 | 0.30% |
Hypothetical example | 1,000.00 | 1,023.30 | 1.51 | 0.30% | |
Series II | Actual expenses/actual returns | 1,000.00 | 1,149.70 | 2.67 | 0.50% |
Hypothetical example | 1,000.00 | 1,022.30 | 2.51 | 0.50% | |
Series NAV | Actual expenses/actual returns | 1,000.00 | 1,151.10 | 1.33 | 0.25% |
Hypothetical example | 1,000.00 | 1,023.60 | 1.25 | 0.25% | |
American Asset Allocation Trust | |||||
Series I | Actual expenses/actual returns | $1,000.00 | $1,098.70 | $3.23 | 0.62%2 |
Hypothetical example | 1,000.00 | 1,021.70 | 3.11 | 0.62%2 | |
Series II | Actual expenses/actual returns | 1,000.00 | 1,098.70 | 3.69 | 0.71%2 |
Hypothetical example | 1,000.00 | 1,021.30 | 3.56 | 0.71%2 | |
Series III | Actual expenses/actual returns | 1,000.00 | 1,101.10 | 1.41 | 0.27%2 |
Hypothetical example | 1,000.00 | 1,023.50 | 1.35 | 0.27%2 | |
American Global Growth Trust | |||||
Series I | Actual expenses/actual returns | $1,000.00 | $1,113.90 | $3.30 | 0.63%2 |
Hypothetical example | 1,000.00 | 1,021.70 | 3.16 | 0.63%2 | |
Series II | Actual expenses/actual returns | 1,000.00 | 1,113.90 | 3.67 | 0.70%2 |
Hypothetical example | 1,000.00 | 1,021.30 | 3.51 | 0.70%2 | |
Series III | Actual expenses/actual returns | 1,000.00 | 1,115.90 | 1.47 | 0.28%2 |
Hypothetical example | 1,000.00 | 1,023.40 | 1.40 | 0.28%2 |
Account value on 1-1-2021 | Ending value on 6-30-2021 | Expenses paid during period ended 6-30-20211 | Annualized expense ratio | ||
American Growth Trust | |||||
Series I | Actual expenses/actual returns | $1,000.00 | $1,127.00 | $3.27 | 0.62%2 |
Hypothetical example | 1,000.00 | 1,021.70 | 3.11 | 0.62%2 | |
Series II | Actual expenses/actual returns | 1,000.00 | 1,126.60 | 3.59 | 0.68%2 |
Hypothetical example | 1,000.00 | 1,021.40 | 3.41 | 0.68%2 | |
Series III | Actual expenses/actual returns | 1,000.00 | 1,128.90 | 1.43 | 0.27%2 |
Hypothetical example | 1,000.00 | 1,023.50 | 1.35 | 0.27%2 | |
American Growth-Income Trust | |||||
Series I | Actual expenses/actual returns | $1,000.00 | $1,139.30 | $3.29 | 0.62%2 |
Hypothetical example | 1,000.00 | 1,021.70 | 3.11 | 0.62%2 | |
Series II | Actual expenses/actual returns | 1,000.00 | 1,138.70 | 3.71 | 0.70%2 |
Hypothetical example | 1,000.00 | 1,021.30 | 3.51 | 0.70%2 | |
Series III | Actual expenses/actual returns | 1,000.00 | 1,141.50 | 1.43 | 0.27%2 |
Hypothetical example | 1,000.00 | 1,023.50 | 1.35 | 0.27%2 | |
American International Trust | |||||
Series I | Actual expenses/actual returns | $1,000.00 | $1,043.90 | $3.14 | 0.62%2 |
Hypothetical example | 1,000.00 | 1,021.70 | 3.11 | 0.62%2 | |
Series II | Actual expenses/actual returns | 1,000.00 | 1,043.50 | 3.80 | 0.75%2 |
Hypothetical example | 1,000.00 | 1,021.10 | 3.76 | 0.75%2 | |
Series III | Actual expenses/actual returns | 1,000.00 | 1,045.50 | 1.37 | 0.27%2 |
Hypothetical example | 1,000.00 | 1,023.50 | 1.35 | 0.27%2 | |
Blue Chip Growth Trust | |||||
Series I | Actual expenses/actual returns | $1,000.00 | $1,124.10 | $4.11 | 0.78% |
Hypothetical example | 1,000.00 | 1,020.90 | 3.91 | 0.78% | |
Series II | Actual expenses/actual returns | 1,000.00 | 1,122.70 | 5.16 | 0.98% |
Hypothetical example | 1,000.00 | 1,019.90 | 4.91 | 0.98% | |
Series NAV | Actual expenses/actual returns | 1,000.00 | 1,124.20 | 3.84 | 0.73% |
Hypothetical example | 1,000.00 | 1,021.20 | 3.66 | 0.73% | |
Capital Appreciation Trust | |||||
Series I | Actual expenses/actual returns | $1,000.00 | $1,101.30 | $4.06 | 0.78% |
Hypothetical example | 1,000.00 | 1,020.90 | 3.91 | 0.78% | |
Series II | Actual expenses/actual returns | 1,000.00 | 1,100.50 | 5.10 | 0.98% |
Hypothetical example | 1,000.00 | 1,019.90 | 4.91 | 0.98% | |
Series NAV | Actual expenses/actual returns | 1,000.00 | 1,100.50 | 3.80 | 0.73% |
Hypothetical example | 1,000.00 | 1,021.20 | 3.66 | 0.73% | |
Capital Appreciation Value Trust | |||||
Series I | Actual expenses/actual returns | $1,000.00 | $1,097.80 | $4.58 | 0.88% |
Hypothetical example | 1,000.00 | 1,020.40 | 4.41 | 0.88% | |
Series II | Actual expenses/actual returns | 1,000.00 | 1,096.80 | 5.61 | 1.08% |
Hypothetical example | 1,000.00 | 1,019.40 | 5.41 | 1.08% | |
Series NAV | Actual expenses/actual returns | 1,000.00 | 1,098.10 | 4.32 | 0.83% |
Hypothetical example | 1,000.00 | 1,020.70 | 4.16 | 0.83% | |
Disciplined Value International Trust | |||||
Series I | Actual expenses/actual returns | $1,000.00 | $1,118.00 | $4.78 | 0.91% |
Hypothetical example | 1,000.00 | 1,020.30 | 4.56 | 0.91% | |
Series II | Actual expenses/actual returns | 1,000.00 | 1,116.60 | 5.83 | 1.11% |
Hypothetical example | 1,000.00 | 1,019.30 | 5.56 | 1.11% | |
Series NAV | Actual expenses/actual returns | 1,000.00 | 1,118.20 | 4.52 | 0.86% |
Hypothetical example | 1,000.00 | 1,020.50 | 4.31 | 0.86% | |
Emerging Markets Value Trust | |||||
Series I | Actual expenses/actual returns | $1,000.00 | $1,161.30 | $5.84 | 1.09% |
Hypothetical example | 1,000.00 | 1,019.40 | 5.46 | 1.09% | |
Series II | Actual expenses/actual returns | 1,000.00 | 1,160.30 | 6.91 | 1.29% |
Hypothetical example | 1,000.00 | 1,018.40 | 6.46 | 1.29% | |
Series NAV | Actual expenses/actual returns | 1,000.00 | 1,160.50 | 5.57 | 1.04% |
Hypothetical example | 1,000.00 | 1,019.60 | 5.21 | 1.04% |
Account value on 1-1-2021 | Ending value on 6-30-2021 | Expenses paid during period ended 6-30-20211 | Annualized expense ratio | ||
Equity Income Trust | |||||
Series I | Actual expenses/actual returns | $1,000.00 | $1,182.70 | $4.00 | 0.74% |
Hypothetical example | 1,000.00 | 1,021.10 | 3.71 | 0.74% | |
Series II | Actual expenses/actual returns | 1,000.00 | 1,181.80 | 5.09 | 0.94% |
Hypothetical example | 1,000.00 | 1,020.10 | 4.71 | 0.94% | |
Series NAV | Actual expenses/actual returns | 1,000.00 | 1,183.20 | 3.74 | 0.69% |
Hypothetical example | 1,000.00 | 1,021.40 | 3.46 | 0.69% | |
Financial Industries Trust | |||||
Series I | Actual expenses/actual returns | $1,000.00 | $1,183.00 | $4.87 | 0.90% |
Hypothetical example | 1,000.00 | 1,020.30 | 4.51 | 0.90% | |
Series II | Actual expenses/actual returns | 1,000.00 | 1,181.50 | 5.95 | 1.10% |
Hypothetical example | 1,000.00 | 1,019.30 | 5.51 | 1.10% | |
Series NAV | Actual expenses/actual returns | 1,000.00 | 1,182.00 | 4.60 | 0.85% |
Hypothetical example | 1,000.00 | 1,020.60 | 4.26 | 0.85% | |
Fundamental All Cap Core Trust | |||||
Series I | Actual expenses/actual returns | $1,000.00 | $1,201.00 | $4.09 | 0.75% |
Hypothetical example | 1,000.00 | 1,021.10 | 3.76 | 0.75% | |
Series II | Actual expenses/actual returns | 1,000.00 | 1,199.60 | 5.18 | 0.95% |
Hypothetical example | 1,000.00 | 1,020.10 | 4.76 | 0.95% | |
Series NAV | Actual expenses/actual returns | 1,000.00 | 1,201.00 | 3.82 | 0.70% |
Hypothetical example | 1,000.00 | 1,021.30 | 3.51 | 0.70% | |
Fundamental Large Cap Value Trust | |||||
Series I | Actual expenses/actual returns | $1,000.00 | $1,221.10 | $4.19 | 0.76% |
Hypothetical example | 1,000.00 | 1,021.00 | 3.81 | 0.76% | |
Series II | Actual expenses/actual returns | 1,000.00 | 1,219.90 | 5.28 | 0.96% |
Hypothetical example | 1,000.00 | 1,020.00 | 4.81 | 0.96% | |
Series NAV | Actual expenses/actual returns | 1,000.00 | 1,221.40 | 3.91 | 0.71% |
Hypothetical example | 1,000.00 | 1,021.30 | 3.56 | 0.71% | |
Global Equity Trust | |||||
Series I | Actual expenses/actual returns | $1,000.00 | $1,131.20 | $4.97 | 0.94% |
Hypothetical example | 1,000.00 | 1,020.10 | 4.71 | 0.94% | |
Series II | Actual expenses/actual returns | 1,000.00 | 1,129.30 | 6.02 | 1.14% |
Hypothetical example | 1,000.00 | 1,019.10 | 5.71 | 1.14% | |
Series NAV | Actual expenses/actual returns | 1,000.00 | 1,130.80 | 4.70 | 0.89% |
Hypothetical example | 1,000.00 | 1,020.40 | 4.46 | 0.89% | |
Health Sciences Trust | |||||
Series I | Actual expenses/actual returns | $1,000.00 | $1,084.60 | $5.22 | 1.01% |
Hypothetical example | 1,000.00 | 1,019.80 | 5.06 | 1.01% | |
Series II | Actual expenses/actual returns | 1,000.00 | 1,083.70 | 6.25 | 1.21% |
Hypothetical example | 1,000.00 | 1,018.80 | 6.06 | 1.21% | |
Series NAV | Actual expenses/actual returns | 1,000.00 | 1,084.90 | 4.96 | 0.96% |
Hypothetical example | 1,000.00 | 1,020.00 | 4.81 | 0.96% | |
International Equity Index Trust | |||||
Series I | Actual expenses/actual returns | $1,000.00 | $1,092.10 | $2.02 | 0.39% |
Hypothetical example | 1,000.00 | 1,022.90 | 1.96 | 0.39% | |
Series II | Actual expenses/actual returns | 1,000.00 | 1,090.90 | 3.06 | 0.59% |
Hypothetical example | 1,000.00 | 1,021.90 | 2.96 | 0.59% | |
Series NAV | Actual expenses/actual returns | 1,000.00 | 1,092.10 | 1.76 | 0.34% |
Hypothetical example | 1,000.00 | 1,023.10 | 1.71 | 0.34% | |
International Small Company Trust | |||||
Series I | Actual expenses/actual returns | $1,000.00 | $1,118.10 | $5.72 | 1.09% |
Hypothetical example | 1,000.00 | 1,019.40 | 5.46 | 1.09% | |
Series II | Actual expenses/actual returns | 1,000.00 | 1,116.90 | 6.77 | 1.29% |
Hypothetical example | 1,000.00 | 1,018.40 | 6.46 | 1.29% | |
Series NAV | Actual expenses/actual returns | 1,000.00 | 1,118.70 | 5.46 | 1.04% |
Hypothetical example | 1,000.00 | 1,019.60 | 5.21 | 1.04% |
Account value on 1-1-2021 | Ending value on 6-30-2021 | Expenses paid during period ended 6-30-20211 | Annualized expense ratio | ||
Lifestyle Balanced Portfolio | |||||
Series I | Actual expenses/actual returns | $1,000.00 | $1,059.10 | $0.56 | 0.11%2 |
Hypothetical example | 1,000.00 | 1,024.20 | 0.55 | 0.11%2 | |
Series II | Actual expenses/actual returns | 1,000.00 | 1,057.80 | 1.58 | 0.31%2 |
Hypothetical example | 1,000.00 | 1,023.30 | 1.56 | 0.31%2 | |
Series NAV | Actual expenses/actual returns | 1,000.00 | 1,059.20 | 0.31 | 0.06%2 |
Hypothetical example | 1,000.00 | 1,024.50 | 0.30 | 0.06%2 | |
Lifestyle Conservative Portfolio | |||||
Series I | Actual expenses/actual returns | $1,000.00 | $1,017.30 | $0.65 | 0.13%2 |
Hypothetical example | 1,000.00 | 1,024.10 | 0.65 | 0.13%2 | |
Series II | Actual expenses/actual returns | 1,000.00 | 1,015.90 | 1.65 | 0.33%2 |
Hypothetical example | 1,000.00 | 1,023.20 | 1.66 | 0.33%2 | |
Series NAV | Actual expenses/actual returns | 1,000.00 | 1,017.30 | 0.40 | 0.08%2 |
Hypothetical example | 1,000.00 | 1,024.40 | 0.40 | 0.08%2 | |
Lifestyle Growth Portfolio | |||||
Series I | Actual expenses/actual returns | $1,000.00 | $1,088.30 | $0.57 | 0.11%2 |
Hypothetical example | 1,000.00 | 1,024.20 | 0.55 | 0.11%2 | |
Series II | Actual expenses/actual returns | 1,000.00 | 1,087.00 | 1.60 | 0.31%2 |
Hypothetical example | 1,000.00 | 1,023.30 | 1.56 | 0.31%2 | |
Series NAV | Actual expenses/actual returns | 1,000.00 | 1,088.90 | 0.31 | 0.06%2 |
Hypothetical example | 1,000.00 | 1,024.50 | 0.30 | 0.06%2 | |
Lifestyle Moderate Portfolio | |||||
Series I | Actual expenses/actual returns | $1,000.00 | $1,045.10 | $0.66 | 0.13%2 |
Hypothetical example | 1,000.00 | 1,024.10 | 0.65 | 0.13%2 | |
Series II | Actual expenses/actual returns | 1,000.00 | 1,043.80 | 1.67 | 0.33%2 |
Hypothetical example | 1,000.00 | 1,023.20 | 1.66 | 0.33%2 | |
Series NAV | Actual expenses/actual returns | 1,000.00 | 1,045.10 | 0.41 | 0.08%2 |
Hypothetical example | 1,000.00 | 1,024.40 | 0.40 | 0.08%2 | |
Mid Cap Index Trust | |||||
Series I | Actual expenses/actual returns | $1,000.00 | $1,173.90 | $2.43 | 0.45% |
Hypothetical example | 1,000.00 | 1,022.60 | 2.26 | 0.45% | |
Series II | Actual expenses/actual returns | 1,000.00 | 1,172.10 | 3.50 | 0.65% |
Hypothetical example | 1,000.00 | 1,021.60 | 3.26 | 0.65% | |
Series NAV | Actual expenses/actual returns | 1,000.00 | 1,173.90 | 2.16 | 0.40% |
Hypothetical example | 1,000.00 | 1,022.80 | 2.01 | 0.40% | |
Mid Cap Stock Trust | |||||
Series I | Actual expenses/actual returns | $1,000.00 | $1,080.90 | $4.70 | 0.91% |
Hypothetical example | 1,000.00 | 1,020.30 | 4.56 | 0.91% | |
Series II | Actual expenses/actual returns | 1,000.00 | 1,080.20 | 5.73 | 1.11% |
Hypothetical example | 1,000.00 | 1,019.30 | 5.56 | 1.11% | |
Series NAV | Actual expenses/actual returns | 1,000.00 | 1,081.60 | 4.44 | 0.86% |
Hypothetical example | 1,000.00 | 1,020.50 | 4.31 | 0.86% | |
Mid Value Trust | |||||
Series I | Actual expenses/actual returns | $1,000.00 | $1,195.50 | $5.39 | 0.99% |
Hypothetical example | 1,000.00 | 1,019.90 | 4.96 | 0.99% | |
Series II | Actual expenses/actual returns | 1,000.00 | 1,194.30 | 6.47 | 1.19% |
Hypothetical example | 1,000.00 | 1,018.90 | 5.96 | 1.19% | |
Series NAV | Actual expenses/actual returns | 1,000.00 | 1,194.90 | 5.12 | 0.94% |
Hypothetical example | 1,000.00 | 1,020.10 | 4.71 | 0.94% | |
Real Estate Securities Trust | |||||
Series I | Actual expenses/actual returns | $1,000.00 | $1,226.70 | $4.42 | 0.80% |
Hypothetical example | 1,000.00 | 1,020.80 | 4.01 | 0.80% | |
Series II | Actual expenses/actual returns | 1,000.00 | 1,225.20 | 5.52 | 1.00% |
Hypothetical example | 1,000.00 | 1,019.80 | 5.01 | 1.00% | |
Series NAV | Actual expenses/actual returns | 1,000.00 | 1,227.20 | 4.14 | 0.75% |
Hypothetical example | 1,000.00 | 1,021.10 | 3.76 | 0.75% |
Account value on 1-1-2021 | Ending value on 6-30-2021 | Expenses paid during period ended 6-30-20211 | Annualized expense ratio | ||
Science & Technology Trust | |||||
Series I | Actual expenses/actual returns | $1,000.00 | $1,100.10 | $5.52 | 1.06% |
Hypothetical example | 1,000.00 | 1,019.50 | 5.31 | 1.06% | |
Series II | Actual expenses/actual returns | 1,000.00 | 1,099.00 | 6.56 | 1.26% |
Hypothetical example | 1,000.00 | 1,018.50 | 6.31 | 1.26% | |
Series NAV | Actual expenses/actual returns | 1,000.00 | 1,100.40 | 5.26 | 1.01% |
Hypothetical example | 1,000.00 | 1,019.80 | 5.06 | 1.01% | |
Small Cap Index Trust | |||||
Series I | Actual expenses/actual returns | $1,000.00 | $1,174.10 | $2.75 | 0.51% |
Hypothetical example | 1,000.00 | 1,022.30 | 2.56 | 0.51% | |
Series II | Actual expenses/actual returns | 1,000.00 | 1,172.20 | 3.82 | 0.71% |
Hypothetical example | 1,000.00 | 1,021.30 | 3.56 | 0.71% | |
Series NAV | Actual expenses/actual returns | 1,000.00 | 1,174.50 | 2.48 | 0.46% |
Hypothetical example | 1,000.00 | 1,022.50 | 2.31 | 0.46% | |
Small Cap Opportunities Trust | |||||
Series I | Actual expenses/actual returns | $1,000.00 | $1,238.90 | $5.05 | 0.91% |
Hypothetical example | 1,000.00 | 1,020.30 | 4.56 | 0.91% | |
Series II | Actual expenses/actual returns | 1,000.00 | 1,237.80 | 6.16 | 1.11% |
Hypothetical example | 1,000.00 | 1,019.30 | 5.56 | 1.11% | |
Series NAV | Actual expenses/actual returns | 1,000.00 | 1,238.90 | 4.77 | 0.86% |
Hypothetical example | 1,000.00 | 1,020.50 | 4.31 | 0.86% | |
Small Cap Stock Trust | |||||
Series I | Actual expenses/actual returns | $1,000.00 | $1,045.30 | $5.53 | 1.09% |
Hypothetical example | 1,000.00 | 1,019.40 | 5.46 | 1.09% | |
Series II | Actual expenses/actual returns | 1,000.00 | 1,045.00 | 6.54 | 1.29% |
Hypothetical example | 1,000.00 | 1,018.40 | 6.46 | 1.29% | |
Series NAV | Actual expenses/actual returns | 1,000.00 | 1,046.00 | 5.28 | 1.04% |
Hypothetical example | 1,000.00 | 1,019.60 | 5.21 | 1.04% | |
Small Cap Value Trust | |||||
Series I | Actual expenses/actual returns | $1,000.00 | $1,204.10 | $5.57 | 1.02% |
Hypothetical example | 1,000.00 | 1,019.70 | 5.11 | 1.02% | |
Series II | Actual expenses/actual returns | 1,000.00 | 1,203.00 | 6.66 | 1.22% |
Hypothetical example | 1,000.00 | 1,018.70 | 6.11 | 1.22% | |
Series NAV | Actual expenses/actual returns | 1,000.00 | 1,205.10 | 5.30 | 0.97% |
Hypothetical example | 1,000.00 | 1,020.00 | 4.86 | 0.97% | |
Small Company Value Trust | |||||
Series I | Actual expenses/actual returns | $1,000.00 | $1,161.10 | $5.95 | 1.11% |
Hypothetical example | 1,000.00 | 1,019.30 | 5.56 | 1.11% | |
Series II | Actual expenses/actual returns | 1,000.00 | 1,160.20 | 7.02 | 1.31% |
Hypothetical example | 1,000.00 | 1,018.30 | 6.56 | 1.31% | |
Series NAV | Actual expenses/actual returns | 1,000.00 | 1,162.20 | 5.68 | 1.06% |
Hypothetical example | 1,000.00 | 1,019.50 | 5.31 | 1.06% | |
Strategic Equity Allocation Trust | |||||
Series NAV | Actual expenses/actual returns | $1,000.00 | $1,132.00 | $2.80 | 0.53% |
Hypothetical example | 1,000.00 | 1,022.20 | 2.66 | 0.53% | |
Total Stock Market Index Trust | |||||
Series I | Actual expenses/actual returns | $1,000.00 | $1,150.00 | $2.61 | 0.49% |
Hypothetical example | 1,000.00 | 1,022.40 | 2.46 | 0.49% | |
Series II | Actual expenses/actual returns | 1,000.00 | 1,148.90 | 3.68 | 0.69% |
Hypothetical example | 1,000.00 | 1,021.40 | 3.46 | 0.69% | |
Series NAV | Actual expenses/actual returns | 1,000.00 | 1,150.50 | 2.35 | 0.44% |
Hypothetical example | 1,000.00 | 1,022.60 | 2.21 | 0.44% |
1 | Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
2 | Ratios do not include expenses indirectly incurred by the underlying funds and can vary based on the mix of underlying funds held by the portfolios. |
Shares or Principal Amount | Value | % of Net Assets | |||||
COMMON STOCKS - 97.6% | |||||||
Communication services - 10.9% | |||||||
Alphabet, Inc., Class A (A) | 62,420 | $ | 152,416,532 | 2.0% | |||
Alphabet, Inc., Class C (A) | 59,205 | 148,386,676 | 1.9% | ||||
AT&T, Inc. | 1,476,336 | 42,488,950 | 0.6% | ||||
Comcast Corp., Class A | 946,901 | 53,992,295 | 0.7% | ||||
Facebook, Inc., Class A (A) | 499,325 | 173,620,296 | 2.3% | ||||
Netflix, Inc. (A) | 91,957 | 48,572,607 | 0.6% | ||||
The Walt Disney Company (A) | 376,832 | 66,235,761 | 0.9% | ||||
Verizon Communications, Inc. | 858,032 | 48,075,533 | 0.6% | ||||
OTHER SECURITIES | 106,877,216 | 1.3% | |||||
840,665,866 | |||||||
Consumer discretionary - 12.0% | |||||||
Amazon.com, Inc. (A) | 88,852 | 305,665,096 | 4.0% | ||||
McDonald's Corp. | 155,101 | 35,826,780 | 0.5% | ||||
NIKE, Inc., Class B | 263,591 | 40,722,174 | 0.5% | ||||
Tesla, Inc. (A) | 159,392 | 108,338,742 | 1.4% | ||||
The Home Depot, Inc. | 223,381 | 71,233,967 | 0.9% | ||||
OTHER SECURITIES | 366,063,205 | 4.7% | |||||
927,849,964 | |||||||
Consumer staples - 5.7% | |||||||
Costco Wholesale Corp. | 91,846 | 36,340,707 | 0.5% | ||||
PepsiCo, Inc. | 286,324 | 42,424,627 | 0.6% | ||||
Philip Morris International, Inc. | 321,906 | 31,904,104 | 0.4% | ||||
The Coca-Cola Company | 805,444 | 43,582,575 | 0.6% | ||||
The Procter & Gamble Company | 511,221 | 68,979,050 | 0.9% | ||||
Walmart, Inc. | 287,090 | 40,485,432 | 0.5% | ||||
OTHER SECURITIES | 178,786,021 | 2.2% | |||||
442,502,516 | |||||||
Energy - 2.8% | |||||||
Chevron Corp. | 400,967 | 41,997,284 | 0.5% | ||||
Exxon Mobil Corp. | 880,280 | 55,528,062 | 0.7% | ||||
OTHER SECURITIES | 116,665,874 | 1.6% | |||||
214,191,220 | |||||||
Financials - 11.0% | |||||||
Bank of America Corp. | 1,575,766 | 64,968,832 | 0.8% | ||||
Berkshire Hathaway, Inc., Class B (A) | 395,716 | 109,977,391 | 1.4% | ||||
JPMorgan Chase & Co. | 633,220 | 98,491,039 | 1.3% | ||||
Wells Fargo & Company | 859,895 | 38,944,645 | 0.5% | ||||
OTHER SECURITIES | 540,552,567 | 7.0% | |||||
852,934,474 | |||||||
Health care - 12.7% | |||||||
Abbott Laboratories | 367,222 | 42,572,046 | 0.6% | ||||
AbbVie, Inc. | 367,530 | 41,398,579 | 0.5% | ||||
Danaher Corp. | 131,642 | 35,327,447 | 0.5% | ||||
Eli Lilly & Company | 165,283 | 37,935,754 | 0.5% | ||||
Johnson & Johnson | 545,691 | 89,897,135 | 1.2% | ||||
Medtronic PLC | 280,237 | 34,785,819 | 0.5% | ||||
Merck & Company, Inc. | 524,216 | 40,768,278 | 0.5% | ||||
Pfizer, Inc. | 1,157,117 | 45,312,702 | 0.6% | ||||
Thermo Fisher Scientific, Inc. | 81,729 | 41,229,829 | 0.5% | ||||
UnitedHealth Group, Inc. | 196,238 | 78,581,545 | 1.0% | ||||
OTHER SECURITIES | 491,857,404 | 6.3% | |||||
979,666,538 |
Shares or Principal Amount | Value | % of Net Assets | |||||
COMMON STOCKS (continued) | |||||||
Industrials - 8.3% | $ | 644,428,067 | 8.3% | ||||
Information technology - 26.8% | |||||||
Accenture PLC, Class A | 131,905 | 38,884,275 | 0.5% | ||||
Adobe, Inc. (A) | 99,421 | 58,224,914 | 0.8% | ||||
Apple, Inc. | 3,260,758 | 446,593,414 | 5.8% | ||||
Broadcom, Inc. | 84,730 | 40,402,653 | 0.5% | ||||
Cisco Systems, Inc. | 875,489 | 46,400,917 | 0.6% | ||||
Intel Corp. | 843,347 | 47,345,501 | 0.6% | ||||
Mastercard, Inc., Class A | 181,953 | 66,429,221 | 0.9% | ||||
Microsoft Corp. | 1,565,667 | 424,139,190 | 5.5% | ||||
NVIDIA Corp. | 128,862 | 103,102,486 | 1.3% | ||||
PayPal Holdings, Inc. (A) | 243,074 | 70,851,210 | 0.9% | ||||
QUALCOMM, Inc. | 235,434 | 33,650,582 | 0.4% | ||||
salesforce.com, Inc. (A) | 190,467 | 46,525,374 | 0.6% | ||||
Texas Instruments, Inc. | 191,180 | 36,763,914 | 0.5% | ||||
Visa, Inc., Class A | 351,979 | 82,299,730 | 1.1% | ||||
OTHER SECURITIES | 527,361,988 | 6.8% | |||||
2,068,975,369 | |||||||
Materials - 2.5% | 196,524,004 | 2.5% | |||||
Real estate - 2.5% | 192,931,003 | 2.5% | |||||
Utilities - 2.4% | 184,321,858 | 2.4% | |||||
TOTAL COMMON STOCKS (Cost $2,797,694,221) | $ | 7,544,990,879 | |||||
SHORT-TERM INVESTMENTS - 2.4% | |||||||
U.S. Government - 0.6% | |||||||
U.S. Cash Management Bill, 0.013%, 09/21/2021 * | $ | 48,000,000 | 47,994,752 | 0.6% | |||
U.S. Government Agency - 1.7% | |||||||
Federal Home Loan Bank Discount Note, 0.009%, 07/30/2021 * | 20,000,000 | 19,999,517 | 0.3% | ||||
Federal Home Loan Bank Discount Note, 0.014%, 08/06/2021 * | 48,000,000 | 47,998,080 | 0.6% | ||||
Federal Home Loan Bank Discount Note, 0.015%, 07/14/2021 * | 12,500,000 | 12,499,865 | 0.2% | ||||
Federal Home Loan Bank Discount Note, 0.020%, 07/13/2021 * | 7,000,000 | 6,999,930 | 0.1% | ||||
Federal Home Loan Bank Discount Note, 0.020%, 07/16/2021 * | 8,000,000 | 7,999,900 | 0.1% | ||||
Federal Home Loan Bank Discount Note, 0.035%, 08/25/2021 * | 10,000,000 | 9,999,389 | 0.1% | ||||
Federal Home Loan Bank Discount Note, 0.040%, 07/19/2021 * | 14,000,000 | 13,999,790 | 0.2% | ||||
Federal Home Loan Bank Discount Note, 0.040%, 07/27/2021 * | 10,000,000 | 9,999,783 | 0.1% | ||||
129,496,254 | |||||||
Short-term funds - 0.0% | |||||||
John Hancock Collateral Trust, 0.0324% (B)(C) | 103,598 | 1,036,455 | 0.0% | ||||
Repurchase agreement - 0.1% | 9,525,000 | 0.1% | |||||
TOTAL SHORT-TERM INVESTMENTS (Cost $188,058,311) | $ | 188,052,461 | |||||
Total Investments (500 Index Trust) (Cost $2,985,752,532) - 100.0% | $ | 7,733,043,340 | 100.0% | ||||
Other assets and liabilities, net - (0.0)% | (549,759) | (0.0)% | |||||
TOTAL NET ASSETS - 100.0% | $ | 7,732,493,581 | 100.0% |
The accompanying notes are an integral part of the financial statements. | 11 |
Security Abbreviations and Legend | |
(A) | Non-income producing security. |
(B) | The rate shown is the annualized seven-day yield as of 6-30-21. |
(C) | Investment is an affiliate of the fund, the advisor and/or subadvisor. This security represents the investment of cash collateral received for securities lending. |
* | 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 | 939 | Long | Sep 2021 | $198,554,359 | $201,349,770 | $2,795,411 |
$2,795,411 |
Shares or Principal Amount | Value | % of Net Assets | |||||
INVESTMENT COMPANIES - 100.0% | |||||||
American Funds Insurance Series - 100.0% | |||||||
American Asset Allocation Fund - Class 1 | 51,073,901 | $ | 1,438,751,803 | 100.0% | |||
TOTAL INVESTMENT COMPANIES (Cost $1,011,849,344) | $ | 1,438,751,803 | |||||
Total Investments (American Asset Allocation Trust) (Cost $1,011,849,344) - 100.0% | $ | 1,438,751,803 | 100.0% | ||||
Other assets and liabilities, net - (0.0)% | (43,292) | (0.0)% | |||||
TOTAL NET ASSETS - 100.0% | $ | 1,438,708,511 | 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 | 5,796,611 | $ | 253,080,024 | 100.0% | |||
TOTAL INVESTMENT COMPANIES (Cost $164,531,438) | $ | 253,080,024 | |||||
Total Investments (American Global Growth Trust) (Cost $164,531,438) - 100.0% | $ | 253,080,024 | 100.0% | ||||
Other assets and liabilities, net - (0.0)% | (23,734) | (0.0)% | |||||
TOTAL NET ASSETS - 100.0% | $ | 253,056,290 | 100.0% |
American Growth Trust
Shares or Principal Amount | Value | % of Net Assets | |||||
INVESTMENT COMPANIES - 100.0% | |||||||
American Funds Insurance Series - 100.0% | |||||||
American Growth Fund - Class 1 | 9,257,106 | $ | 1,095,023,124 | 100.0% | |||
TOTAL INVESTMENT COMPANIES (Cost $710,267,808) | $ | 1,095,023,124 | |||||
Total Investments (American Growth Trust) (Cost $710,267,808) - 100.0% | $ | 1,095,023,124 | 100.0% | ||||
Other assets and liabilities, net - (0.0)% | (35,604) | (0.0)% | |||||
TOTAL NET ASSETS - 100.0% | $ | 1,094,987,520 | 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 | 17,333,123 | $ | 1,082,280,216 | 100.0% | |||
TOTAL INVESTMENT COMPANIES (Cost $806,832,320) | $ | 1,082,280,216 | |||||
Total Investments (American Growth-Income Trust) (Cost $806,832,320) - 100.0% | $ | 1,082,280,216 | 100.0% | ||||
Other assets and liabilities, net - (0.0)% | (38,722) | (0.0)% | |||||
TOTAL NET ASSETS - 100.0% | $ | 1,082,241,494 | 100.0% |
The accompanying notes are an integral part of the financial statements. | 12 |
American International Trust
Shares or Principal Amount | Value | % of Net Assets | |||||
INVESTMENT COMPANIES - 100.0% | |||||||
American Funds Insurance Series - 100.0% | |||||||
American International Fund - Class 1 | 20,712,368 | $ | 512,423,975 | 100.0% | |||
TOTAL INVESTMENT COMPANIES (Cost $386,433,398) | $ | 512,423,975 | |||||
Total Investments (American International Trust) (Cost $386,433,398) - 100.0% | $ | 512,423,975 | 100.0% | ||||
Other assets and liabilities, net - (0.0)% | (26,633) | (0.0)% | |||||
TOTAL NET ASSETS - 100.0% | $ | 512,397,342 | 100.0% |
Shares or Principal Amount | Value | % of Net Assets | |||||
COMMON STOCKS - 99.6% | |||||||
Communication services - 27.0% | |||||||
Alphabet, Inc., Class A (A) | 15,868 | $ | 38,746,324 | 1.6% | |||
Alphabet, Inc., Class C (A) | 69,346 | 173,803,267 | 7.1% | ||||
Facebook, Inc., Class A (A) | 533,183 | 185,393,061 | 7.5% | ||||
Match Group, Inc. (A) | 155,093 | 25,008,746 | 1.0% | ||||
Netflix, Inc. (A) | 78,634 | 41,535,265 | 1.7% | ||||
Pinterest, Inc., Class A (A) | 265,528 | 20,963,436 | 0.9% | ||||
Sea, Ltd., ADR (A) | 173,791 | 47,723,009 | 1.9% | ||||
Snap, Inc., Class A (A) | 689,970 | 47,014,556 | 1.9% | ||||
Tencent Holdings, Ltd. | 617,100 | 46,462,985 | 1.9% | ||||
OTHER SECURITIES | 37,986,096 | 1.5% | |||||
664,636,745 | |||||||
Consumer discretionary - 18.3% | |||||||
Alibaba Group Holding, Ltd., ADR (A) | 88,603 | 20,093,388 | 0.8% | ||||
Amazon.com, Inc. (A) | 79,917 | 274,927,264 | 11.2% | ||||
Booking Holdings, Inc. (A) | 7,817 | 17,104,300 | 0.7% | ||||
Carvana Company (A) | 38,866 | 11,730,536 | 0.5% | ||||
Chipotle Mexican Grill, Inc. (A) | 11,118 | 17,236,680 | 0.7% | ||||
Dollar General Corp. | 82,170 | 17,780,766 | 0.7% | ||||
Lululemon Athletica, Inc. (A) | 50,001 | 18,248,865 | 0.7% | ||||
NIKE, Inc., Class B | 79,783 | 12,325,676 | 0.5% | ||||
Ross Stores, Inc. | 151,489 | 18,784,636 | 0.8% | ||||
OTHER SECURITIES | 41,269,377 | 1.7% | |||||
449,501,488 | |||||||
Consumer staples - 0.0% | 859,134 | 0.0% | |||||
Financials - 2.8% | |||||||
S&P Global, Inc. | 50,725 | 20,820,076 | 0.9% | ||||
The Goldman Sachs Group, Inc. | 71,605 | 27,176,246 | 1.1% | ||||
OTHER SECURITIES | 20,687,045 | 0.8% | |||||
68,683,367 | |||||||
Health care - 10.6% | |||||||
Anthem, Inc. | 36,316 | 13,865,449 | 0.6% | ||||
Cigna Corp. | 105,237 | 24,948,536 | 1.0% | ||||
Danaher Corp. | 96,830 | 25,985,299 | 1.1% | ||||
HCA Healthcare, Inc. | 83,995 | 17,365,126 | 0.7% | ||||
Intuitive Surgical, Inc. (A) | 41,205 | 37,893,766 | 1.5% | ||||
Stryker Corp. | 114,208 | 29,663,244 | 1.2% | ||||
Thermo Fisher Scientific, Inc. | 24,396 | 12,307,050 | 0.5% | ||||
UnitedHealth Group, Inc. | 117,600 | 47,091,744 | 1.9% | ||||
Zoetis, Inc. | 70,782 | 13,190,934 | 0.5% | ||||
OTHER SECURITIES | 38,671,424 | 1.6% | |||||
260,982,572 | |||||||
Industrials - 2.0% | 47,739,969 | 2.0% |
Shares or Principal Amount | Value | % of Net Assets | |||||
COMMON STOCKS (continued) | |||||||
Information technology - 38.4% | |||||||
Advanced Micro Devices, Inc. (A) | 194,925 | $ | 18,309,305 | 0.7% | |||
Apple, Inc. | 817,130 | 111,914,125 | 4.6% | ||||
ASML Holding NV, NYRS | 27,000 | 18,652,680 | 0.8% | ||||
DocuSign, Inc. (A) | 49,297 | 13,781,962 | 0.6% | ||||
Fidelity National Information Services, Inc. | 95,767 | 13,567,311 | 0.6% | ||||
Fiserv, Inc. (A) | 181,877 | 19,440,833 | 0.8% | ||||
Fortinet, Inc. (A) | 49,400 | 11,766,586 | 0.5% | ||||
Global Payments, Inc. | 227,770 | 42,715,986 | 1.7% | ||||
Intuit, Inc. | 139,867 | 68,558,607 | 2.8% | ||||
Marvell Technology, Inc. | 258,829 | 15,097,496 | 0.6% | ||||
Mastercard, Inc., Class A | 141,211 | 51,554,724 | 2.1% | ||||
Microsoft Corp. | 538,255 | 145,813,280 | 5.9% | ||||
MongoDB, Inc. (A) | 32,256 | 11,661,189 | 0.5% | ||||
NVIDIA Corp. | 48,200 | 38,564,820 | 1.6% | ||||
PayPal Holdings, Inc. (A) | 231,432 | 67,457,799 | 2.7% | ||||
salesforce.com, Inc. (A) | 185,925 | 45,415,900 | 1.8% | ||||
ServiceNow, Inc. (A) | 94,887 | 52,145,151 | 2.1% | ||||
Shopify, Inc., Class A (A) | 10,265 | 14,996,960 | 0.6% | ||||
Synopsys, Inc. (A) | 74,613 | 20,577,519 | 0.8% | ||||
Texas Instruments, Inc. | 59,625 | 11,465,888 | 0.5% | ||||
Visa, Inc., Class A | 335,971 | 78,556,739 | 3.2% | ||||
Zoom Video Communications, Inc., Class A (A) | 54,720 | 21,178,282 | 0.9% | ||||
OTHER SECURITIES | 50,961,979 | 2.0% | |||||
944,155,121 | |||||||
Materials - 0.5% | 12,275,615 | 0.5% | |||||
TOTAL COMMON STOCKS (Cost $1,284,531,572) | $ | 2,448,834,011 | |||||
SHORT-TERM INVESTMENTS - 0.6% | |||||||
Short-term funds - 0.6% | |||||||
John Hancock Collateral Trust, 0.0324% (B)(C) | 615,495 | 6,157,780 | 0.2% | ||||
OTHER SECURITIES | 9,886,227 | 0.4% | |||||
16,044,007 | |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $16,044,250) | $ | 16,044,007 | |||||
Total Investments (Blue Chip Growth Trust) (Cost $1,300,575,822) - 100.2% | $ | 2,464,878,018 | 100.2% | ||||
Other assets and liabilities, net - (0.2)% | (6,128,459) | (0.2)% | |||||
TOTAL NET ASSETS - 100.0% | $ | 2,458,749,559 | 100.0% |
Security Abbreviations and Legend | |
ADR | American Depositary Receipt |
NYRS | New York Registry Shares |
(A) | Non-income producing security. |
(B) | The rate shown is the annualized seven-day yield as of 6-30-21. |
(C) | Investment is an affiliate of the fund, the advisor and/or subadvisor. This security represents the investment of cash collateral received for securities lending. |
Shares or Principal Amount | Value | % of Net Assets | |||||
COMMON STOCKS - 99.9% | |||||||
Communication services - 17.6% | |||||||
Alphabet, Inc., Class A (A) | 8,998 | $ | 21,971,226 | 2.9% | |||
Alphabet, Inc., Class C (A) | 8,565 | 21,466,631 | 2.8% |
The accompanying notes are an integral part of the financial statements. | 13 |
Shares or Principal Amount | Value | % of Net Assets | |||||
COMMON STOCKS (continued) | |||||||
Communication services (continued) | |||||||
Facebook, Inc., Class A (A) | 87,670 | $ | 30,483,736 | 4.0% | |||
Match Group, Inc. (A) | 95,372 | 15,378,735 | 2.0% | ||||
Netflix, Inc. (A) | 33,906 | 17,909,488 | 2.3% | ||||
ROBLOX Corp., Class A (A) | 53,099 | 4,777,848 | 0.6% | ||||
Snap, Inc., Class A (A) | 206,711 | 14,085,288 | 1.9% | ||||
Spotify Technology SA (A) | 30,935 | 8,525,377 | 1.1% | ||||
134,598,329 | |||||||
Consumer discretionary - 26.0% | |||||||
Airbnb, Inc., Class A (A) | 47,427 | 7,262,971 | 0.9% | ||||
Amazon.com, Inc. (A) | 15,818 | 54,416,452 | 7.1% | ||||
Carvana Company (A) | 30,074 | 9,076,935 | 1.2% | ||||
Chipotle Mexican Grill, Inc. (A) | 5,686 | 8,815,233 | 1.2% | ||||
Kering SA | 13,935 | 12,210,086 | 1.6% | ||||
Lululemon Athletica, Inc. (A) | 25,380 | 9,262,939 | 1.2% | ||||
LVMH Moet Hennessy Louis Vuitton SE | 19,830 | 15,599,404 | 2.0% | ||||
MercadoLibre, Inc. (A) | 3,613 | 5,628,295 | 0.7% | ||||
NIKE, Inc., Class B | 85,141 | 13,153,433 | 1.7% | ||||
Target Corp. | 47,669 | 11,523,504 | 1.5% | ||||
Tesla, Inc. (A) | 55,079 | 37,437,196 | 4.9% | ||||
The TJX Companies, Inc. | 133,997 | 9,034,078 | 1.2% | ||||
OTHER SECURITIES | 5,774,650 | 0.8% | |||||
199,195,176 | |||||||
Consumer staples - 3.0% | |||||||
Costco Wholesale Corp. | 22,165 | 8,770,026 | 1.1% | ||||
The Estee Lauder Companies, Inc., Class A | 45,507 | 14,474,867 | 1.9% | ||||
23,244,893 | |||||||
Financials - 1.3% | |||||||
S&P Global, Inc. | 14,776 | 6,064,809 | 0.8% | ||||
The Goldman Sachs Group, Inc. | 10,740 | 4,076,152 | 0.5% | ||||
10,140,961 | |||||||
Health care - 4.5% | |||||||
Danaher Corp. | 30,487 | 8,181,491 | 1.1% | ||||
DexCom, Inc. (A) | 11,481 | 4,902,387 | 0.6% | ||||
Eli Lilly & Company | 50,688 | 11,633,910 | 1.5% | ||||
UnitedHealth Group, Inc. | 14,202 | 5,687,049 | 0.8% | ||||
OTHER SECURITIES | 3,925,943 | 0.5% | |||||
34,330,780 | |||||||
Industrials - 3.6% | |||||||
Safran SA | 44,579 | 6,186,804 | 0.8% | ||||
Uber Technologies, Inc. (A) | 278,777 | 13,972,303 | 1.8% | ||||
Union Pacific Corp. | 34,274 | 7,537,881 | 1.0% | ||||
27,696,988 | |||||||
Information technology - 43.9% | |||||||
Adobe, Inc. (A) | 44,637 | 26,141,213 | 3.4% | ||||
Adyen NV (A)(B) | 5,726 | 14,042,038 | 1.8% | ||||
Apple, Inc. | 254,241 | 34,820,847 | 4.6% | ||||
Atlassian Corp. PLC, Class A (A) | 26,171 | 6,722,283 | 0.9% | ||||
Crowdstrike Holdings, Inc., Class A (A) | 50,640 | 12,726,338 | 1.7% | ||||
DocuSign, Inc. (A) | 28,171 | 7,875,766 | 1.0% | ||||
Mastercard, Inc., Class A | 37,285 | 13,612,381 | 1.8% | ||||
Microsoft Corp. | 113,917 | 30,860,115 | 4.0% | ||||
NVIDIA Corp. | 42,261 | 33,813,026 | 4.4% | ||||
PayPal Holdings, Inc. (A) | 60,932 | 17,760,459 | 2.3% | ||||
RingCentral, Inc., Class A (A) | 13,835 | 4,020,174 | 0.5% | ||||
salesforce.com, Inc. (A) | 53,959 | 13,180,565 | 1.7% | ||||
Shopify, Inc., Class A (A) | 24,545 | 35,859,754 | 4.7% | ||||
Snowflake, Inc., Class A (A) | 18,273 | 4,418,411 | 0.6% |
Shares or Principal Amount | Value | % of Net Assets | |||||
COMMON STOCKS (continued) | |||||||
Information technology (continued) | |||||||
Square, Inc., Class A (A) | 60,323 | $ | 14,706,747 | 1.9% | |||
Taiwan Semiconductor Manufacturing Company, Ltd., ADR | 108,106 | 12,990,017 | 1.7% | ||||
The Trade Desk, Inc., Class A (A) | 96,200 | 7,442,032 | 1.0% | ||||
Twilio, Inc., Class A (A) | 44,675 | 17,609,098 | 2.3% | ||||
Visa, Inc., Class A | 86,488 | 20,222,624 | 2.6% | ||||
Workday, Inc., Class A (A) | 20,532 | 4,901,810 | 0.6% | ||||
OTHER SECURITIES | 2,825,809 | 0.4% | |||||
336,551,507 | |||||||
TOTAL COMMON STOCKS (Cost $488,565,219) | $ | 765,758,634 | |||||
SHORT-TERM INVESTMENTS - 0.1% | |||||||
Short-term funds - 0.1% | 1,055,530 | 0.1% | |||||
TOTAL SHORT-TERM INVESTMENTS (Cost $1,055,530) | $ | 1,055,530 | |||||
Total Investments (Capital Appreciation Trust) (Cost $489,620,749) - 100.0% | $ | 766,814,164 | 100.0% | ||||
Other assets and liabilities, net - 0.0% | 95,491 | 0.0% | |||||
TOTAL NET ASSETS - 100.0% | $ | 766,909,655 | 100.0% |
Security Abbreviations and Legend | |
ADR | American Depositary Receipt |
(A) | Non-income producing security. |
(B) | 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. |
Shares or Principal Amount | Value | % of Net Assets | |||||
COMMON STOCKS - 71.1% | |||||||
Communication services - 4.6% | |||||||
Alphabet, Inc., Class A (A)(B) | 1,082 | $ | 2,642,017 | 0.5% | |||
Alphabet, Inc., Class C (A)(B) | 5,841 | 14,639,415 | 3.1% | ||||
Facebook, Inc., Class A (B) | 13,891 | 4,830,040 | 1.0% | ||||
22,111,472 | |||||||
Consumer discretionary - 9.7% | |||||||
Amazon.com, Inc. (A)(B) | 7,699 | 26,485,792 | 5.6% | ||||
Hilton Worldwide Holdings, Inc. (A)(B) | 25,222 | 3,042,278 | 0.6% | ||||
Marriott International, Inc., Class A (A)(B) | 21,643 | 2,954,702 | 0.6% | ||||
Yum! Brands, Inc. | 110,242 | 12,681,137 | 2.7% | ||||
OTHER SECURITIES | 1,216,457 | 0.2% | |||||
46,380,366 | |||||||
Consumer staples - 1.5% | |||||||
Keurig Dr. Pepper, Inc. | 110,597 | 3,897,438 | 0.8% | ||||
OTHER SECURITIES | 3,138,773 | 0.7% | |||||
7,036,211 | |||||||
Financials - 9.3% | |||||||
Arthur J. Gallagher & Company | 21,648 | 3,032,452 | 0.6% | ||||
Bank of America Corp. (A) | 133,050 | 5,485,652 | 1.2% | ||||
Intercontinental Exchange, Inc. | 33,466 | 3,972,414 | 0.8% | ||||
Marsh & McLennan Companies, Inc. (A) | 116,334 | 16,365,867 | 3.4% | ||||
The PNC Financial Services Group, Inc. | 76,748 | 14,640,448 | 3.1% |
The accompanying notes are an integral part of the financial statements. | 14 |
Shares or Principal Amount | Value | % of Net Assets | |||||
COMMON STOCKS (continued) | |||||||
Financials (continued) | |||||||
OTHER SECURITIES | $ | 808,213 | 0.2% | ||||
44,305,046 | |||||||
Health care - 14.2% | |||||||
Becton, Dickinson and Company | 19,082 | 4,640,552 | 1.0% | ||||
Danaher Corp. (A) | 54,362 | 14,588,586 | 3.1% | ||||
Humana, Inc. (A) | 29,495 | 13,058,026 | 2.8% | ||||
PerkinElmer, Inc. | 43,566 | 6,727,026 | 1.4% | ||||
Thermo Fisher Scientific, Inc. | 27,367 | 13,805,830 | 2.9% | ||||
UnitedHealth Group, Inc. | 33,750 | 13,514,850 | 2.8% | ||||
OTHER SECURITIES | 1,133,412 | 0.2% | |||||
67,468,282 | |||||||
Industrials - 7.9% | |||||||
General Electric Company | 1,519,644 | 20,454,408 | 4.3% | ||||
Ingersoll Rand, Inc. (B) | 71,054 | 3,468,146 | 0.7% | ||||
Roper Technologies, Inc. | 7,148 | 3,360,990 | 0.7% | ||||
Teledyne Technologies, Inc. (B) | 3,593 | 1,504,856 | 0.3% | ||||
Waste Connections, Inc. | 52,361 | 6,253,474 | 1.3% | ||||
OTHER SECURITIES | 2,658,264 | 0.6% | |||||
37,700,138 | |||||||
Information technology - 15.9% | |||||||
Cisco Systems, Inc. | 29,700 | 1,574,100 | 0.3% | ||||
Fiserv, Inc. (A)(B) | 73,760 | 7,884,206 | 1.7% | ||||
FleetCor Technologies, Inc. (B) | 18,682 | 4,783,713 | 1.0% | ||||
Global Payments, Inc. (A) | 32,163 | 6,031,849 | 1.3% | ||||
Microsoft Corp. (A) | 112,442 | 30,460,529 | 6.4% | ||||
salesforce.com, Inc. (B) | 29,242 | 7,142,943 | 1.5% | ||||
TE Connectivity, Ltd. | 31,191 | 4,217,335 | 0.9% | ||||
Visa, Inc., Class A (A) | 53,323 | 12,467,984 | 2.6% | ||||
OTHER SECURITIES | 925,740 | 0.2% | |||||
75,488,399 | |||||||
Real estate - 0.2% | 693,720 | 0.2% | |||||
Utilities - 7.8% | |||||||
Ameren Corp. | 96,617 | 7,733,225 | 1.6% | ||||
American Electric Power Company, Inc. | 127,874 | 10,816,862 | 2.3% | ||||
CMS Energy Corp. | 31,376 | 1,853,694 | 0.4% | ||||
Exelon Corp. | 138,638 | 6,143,050 | 1.3% | ||||
NiSource, Inc. | 173,525 | 4,251,363 | 0.9% | ||||
Public Service Enterprise Group, Inc. | 109,185 | 6,522,712 | 1.3% | ||||
OTHER SECURITIES | 13,031 | 0.0% | |||||
37,333,937 | |||||||
TOTAL COMMON STOCKS (Cost $257,289,758) | $ | 338,517,571 | |||||
PREFERRED SECURITIES - 1.2% | |||||||
Financials - 0.0% | 25,370 | 0.0% | |||||
Utilities - 1.2% | |||||||
American Electric Power Company, Inc., 6.125% | 12,402 | 609,310 | 0.1% | ||||
CMS Energy Corp., 5.875% | 41,200 | 1,125,172 | 0.2% | ||||
CMS Energy Corp., 5.875% | 50,000 | 1,386,000 | 0.3% | ||||
NiSource, Inc., 7.750% | 7,708 | 792,305 | 0.2% | ||||
NiSource, Inc. (6.500% to 3-15-24, then 5 Year CMT + 3.632%) | 20,000 | 573,200 | 0.1% | ||||
OTHER SECURITIES | 1,356,966 | 0.3% | |||||
5,842,953 | |||||||
TOTAL PREFERRED SECURITIES (Cost $5,510,445) | $ | 5,868,323 |
Shares or Principal Amount | Value | % of Net Assets | |||||
CORPORATE BONDS - 7.7% | |||||||
Communication services - 2.9% | |||||||
CCO Holdings LLC 4.000%, 03/01/2023 (C) | $ | 416,000 | $ | 419,640 | 0.1% | ||
CCO Holdings LLC 5.000%, 02/01/2028 (C) | 2,095,000 | 2,197,131 | 0.5% | ||||
CCO Holdings LLC 5.125%, 05/01/2027 (C) | 1,341,000 | 1,406,575 | 0.3% | ||||
Netflix, Inc. 4.375%, 11/15/2026 | 1,260,000 | 1,432,897 | 0.3% | ||||
Netflix, Inc. 4.875%, 04/15/2028 | 1,790,000 | 2,080,875 | 0.5% | ||||
Netflix, Inc. 4.875%, 06/15/2030 (C) | 40,000 | 47,572 | 0.0% | ||||
Netflix, Inc. 5.500%, 02/15/2022 | 45,000 | 46,125 | 0.0% | ||||
Netflix, Inc. 5.875%, 02/15/2025 | 405,000 | 468,010 | 0.1% | ||||
Netflix, Inc. 5.875%, 11/15/2028 | 2,405,000 | 2,951,969 | 0.6% | ||||
Netflix, Inc. 6.375%, 05/15/2029 | 1,165,000 | 1,487,996 | 0.3% | ||||
OTHER SECURITIES | 1,204,891 | 0.2% | |||||
13,743,681 | |||||||
Consumer discretionary - 2.0% | |||||||
KFC Holding Company/Pizza Hut Holdings LLC/Taco Bell of America LLC 4.750%, 06/01/2027 (C) | 1,657,000 | 1,733,636 | 0.4% | ||||
Marriott International, Inc. 3.125%, 06/15/2026 | 120,000 | 127,412 | 0.0% | ||||
Six Flags Entertainment Corp. 4.875%, 07/31/2024 (C) | 1,195,000 | 1,206,950 | 0.3% | ||||
Six Flags Entertainment Corp. 5.500%, 04/15/2027 (C) | 511,000 | 527,010 | 0.1% | ||||
Yum! Brands, Inc. 3.750%, 11/01/2021 | 975,000 | 976,219 | 0.2% | ||||
Yum! Brands, Inc. 3.875%, 11/01/2023 | 440,000 | 462,000 | 0.1% | ||||
Yum! Brands, Inc. 4.750%, 01/15/2030 (C) | 2,000 | 2,165 | 0.0% | ||||
Yum! Brands, Inc. 5.350%, 11/01/2043 | 579,000 | 615,188 | 0.1% | ||||
Yum! Brands, Inc. 6.875%, 11/15/2037 | 367,000 | 455,080 | 0.1% | ||||
Yum! Brands, Inc. 7.750%, 04/01/2025 (C) | 90,000 | 97,875 | 0.0% | ||||
OTHER SECURITIES | 3,539,503 | 0.7% | |||||
9,743,038 | |||||||
Financials - 1.0% | |||||||
HUB International, Ltd. 7.000%, 05/01/2026 (C) | 1,380,000 | 1,431,184 | 0.3% | ||||
State Street Corp. (3 month LIBOR + 3.597%) 3.716%, 09/15/2021 (D)(E) | 145,000 | 145,116 | 0.0% | ||||
The PNC Financial Services Group, Inc. (5.000% to 11-1-26, then 3 month LIBOR + 3.300%) 11/01/2026 (D) | 390,000 | 433,875 | 0.1% | ||||
USI, Inc. 6.875%, 05/01/2025 (C) | 654,000 | 662,195 | 0.1% | ||||
OTHER SECURITIES | 1,911,973 | 0.5% | |||||
4,584,343 | |||||||
Health care - 0.2% | 1,225,226 | 0.2% |
The accompanying notes are an integral part of the financial statements. | 15 |
Shares or Principal Amount | Value | % of Net Assets | |||||
CORPORATE BONDS (continued) | |||||||
Industrials - 1.3% | |||||||
General Electric Company (3 month LIBOR + 3.330%) 3.449%, 09/15/2021 (D)(E) | $ | 2,990,000 | $ | 2,930,200 | 0.6% | ||
OTHER SECURITIES | 3,150,751 | 0.7% | |||||
6,080,951 | |||||||
Information technology - 0.1% | 324,286 | 0.1% | |||||
Real estate - 0.1% | 541,109 | 0.1% | |||||
Utilities - 0.1% | |||||||
NiSource, Inc. (5.650% to 6-15-23, then 5 Year CMT + 2.843%) 06/15/2023 (D) | 575,000 | 613,094 | 0.1% | ||||
TOTAL CORPORATE BONDS (Cost $33,998,087) | $ | 36,855,728 | |||||
TERM LOANS (F) - 8.5% | |||||||
Communication services - 0.2% | 1,018,777 | 0.2% | |||||
Consumer discretionary - 0.5% | 2,344,220 | 0.5% | |||||
Consumer staples - 0.3% | 1,316,378 | 0.3% | |||||
Financials - 2.9% | |||||||
Alliant Holdings Intermediate LLC, 2020 Term Loan B3 (1 month LIBOR + 3.750%) 4.250%, 10/08/2027 | 666,374 | 666,927 | 0.1% | ||||
Alliant Holdings Intermediate LLC, 2018 Term Loan B (1 month LIBOR + 3.250%) 3.354%, 05/09/2025 | 807,488 | 798,315 | 0.2% | ||||
Alliant Holdings Intermediate LLC, Term Loan B (1 month LIBOR + 3.250%) 3.354%, 05/09/2025 | 233,105 | 230,425 | 0.0% | ||||
HUB International, Ltd., 2018 Term Loan B (3 month LIBOR + 2.750%) 2.926%, 04/25/2025 | 6,602,113 | 6,525,462 | 1.4% | ||||
HUB International, Ltd., 2021 Term Loan B (3 month LIBOR + 3.250%) 4.000%, 04/25/2025 | 2,623,733 | 2,621,896 | 0.5% | ||||
USI, Inc., 2017 Repriced Term Loan (3 month LIBOR + 3.000%) 3.147%, 05/16/2024 | 1,431,266 | 1,417,182 | 0.3% | ||||
USI, Inc., 2019 Incremental Term Loan B (3 month LIBOR + 3.250%) 3.397%, 12/02/2026 | 825,984 | 817,873 | 0.2% | ||||
OTHER SECURITIES | 741,227 | 0.2% | |||||
13,819,307 | |||||||
Health care - 1.3% | |||||||
Heartland Dental LLC, 2018 1st Lien Term Loan (1 month LIBOR + 3.500%) 3.604%, 04/30/2025 | 1,621,298 | 1,601,032 | 0.3% | ||||
OTHER SECURITIES | 4,341,889 | 1.0% | |||||
5,942,921 |
Shares or Principal Amount | Value | % of Net Assets | |||||
TERM LOANS (continued) | |||||||
Industrials - 1.1% | |||||||
Mileage Plus Holdings LLC, 2020 Term Loan B (3 month LIBOR + 5.250%) 6.250%, 06/21/2027 | $ | 1,765,000 | $ | 1,883,537 | 0.4% | ||
OTHER SECURITIES | 3,255,261 | 0.7% | |||||
5,138,798 | |||||||
Information technology - 2.2% | |||||||
CCC Information Services, Inc., 2017 1st Lien Term Loan (1 month LIBOR + 3.000%) 4.000%, 04/29/2024 | 3,546,383 | 3,544,433 | 0.8% | ||||
UKG, Inc., 2021 Incremental Term Loan (3 month LIBOR + 3.250%) 4.000%, 05/04/2026 | 2,586,286 | 2,587,786 | 0.5% | ||||
UKG, Inc., Term Loan B (1 month LIBOR + 3.750%) 3.854%, 05/04/2026 | 162,113 | 162,129 | 0.0% | ||||
OTHER SECURITIES | 4,276,717 | 0.9% | |||||
10,571,065 | |||||||
Materials - 0.0% | 132,353 | 0.0% | |||||
TOTAL TERM LOANS (Cost $40,115,337) | $ | 40,283,819 | |||||
ASSET BACKED SECURITIES - 0.3% | 1,270,728 | 0.3% | |||||
TOTAL ASSET BACKED SECURITIES (Cost $1,188,422) | $ | 1,270,728 | |||||
SHORT-TERM INVESTMENTS - 13.0% | |||||||
Short-term funds - 12.3% | |||||||
T. Rowe Price Government Reserve Fund, 0.0295% (G) | 58,548,700 | 58,548,700 | 12.3% | ||||
Repurchase agreement - 0.7% | |||||||
Repurchase Agreement with State Street Corp. dated 6-30-21 at 0.000% to be repurchased at $3,649,000 on 7-1-21, collateralized by $3,450,600 U.S. Treasury Notes, 2.375% due 5-15-27 (valued at $3,722,065) | $ | 3,649,000 | 3,649,000 | 0.7% | |||
TOTAL SHORT-TERM INVESTMENTS (Cost $62,197,700) | $ | 62,197,700 | |||||
Total Investments (Capital Appreciation Value Trust) (Cost $400,299,749) - 101.8% | $ | 484,993,869 | 101.8% | ||||
Other assets and liabilities, net - (1.8)% | (8,649,155) | (1.8)% | |||||
TOTAL NET ASSETS - 100.0% | $ | 476,344,714 | 100.0% |
Security Abbreviations and Legend | |
CMT | Constant Maturity Treasury |
LIBOR | London Interbank Offered Rate |
(A) | All or a portion of this security is segregated at the custodian as collateral for certain derivatives. |
(B) | Non-income producing security. |
(C) | 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. |
(D) | Perpetual bonds have no stated maturity date. Date shown as maturity date is next call date. |
(E) | Variable rate obligation. The coupon rate shown represents the rate at period end. |
The accompanying notes are an integral part of the financial statements. | 16 |
(F) | Term loans are variable rate obligations. The coupon rate shown represents the rate at period end. |
(G) | The rate shown is the annualized seven-day yield as of 6-30-21. |
Options on securities | ||||||||
Counterparty (OTC)/ Exchange- traded | Name of issuer | Currency | Exercise price | Expiration date | Number of contracts | Notional amount | Premium | Value |
Calls | ||||||||
GSI | Alphabet, Inc., Class A | USD | 1,960.00 | Sep 2022 | 1 | 100 | $18,442 | $(59,259) |
GSI | Alphabet, Inc., Class A | USD | 1,960.00 | Sep 2022 | 1 | 100 | 24,090 | (59,259) |
GSI | Alphabet, Inc., Class A | USD | 1,980.00 | Sep 2022 | 1 | 100 | 17,800 | (57,760) |
GSI | Alphabet, Inc., Class A | USD | 2,000.00 | Sep 2022 | 1 | 100 | 17,130 | (56,280) |
GSI | Alphabet, Inc., Class A | USD | 2,100.00 | Sep 2022 | 1 | 100 | 14,073 | (49,189) |
SFG | Alphabet, Inc., Class A | USD | 2,450.00 | Sep 2022 | 1 | 100 | 26,747 | (28,755) |
GSI | Alphabet, Inc., Class C | USD | 1,760.00 | Jan 2022 | 5 | 500 | 50,362 | (384,948) |
GSI | Alphabet, Inc., Class C | USD | 1,780.00 | Jan 2022 | 5 | 500 | 47,406 | (375,510) |
GSI | Alphabet, Inc., Class C | USD | 1,800.00 | Jan 2022 | 4 | 400 | 35,760 | (292,890) |
GSI | Alphabet, Inc., Class C | USD | 1,980.00 | Jun 2022 | 1 | 100 | 21,210 | (61,170) |
GSI | Alphabet, Inc., Class C | USD | 2,000.00 | Jun 2022 | 1 | 100 | 20,353 | (59,562) |
GSI | Alphabet, Inc., Class C | USD | 2,100.00 | Jun 2022 | 1 | 100 | 16,634 | (51,811) |
SFG | Alphabet, Inc., Class C | USD | 2,550.00 | Jun 2022 | 1 | 100 | 22,096 | (24,237) |
CSFB | Amazon.com, Inc. | USD | 3,800.00 | Jan 2022 | 1 | 100 | 33,115 | (14,303) |
CSFB | Amazon.com, Inc. | USD | 3,800.00 | Jan 2022 | 1 | 100 | 34,542 | (14,303) |
CSFB | Amazon.com, Inc. | USD | 3,900.00 | Jan 2022 | 1 | 100 | 30,277 | (11,627) |
CSFB | Amazon.com, Inc. | USD | 3,900.00 | Jan 2022 | 1 | 100 | 38,338 | (11,627) |
RBC | Amazon.com, Inc. | USD | 3,900.00 | Jan 2022 | 1 | 100 | 23,997 | (11,627) |
CITI | Amazon.com, Inc. | USD | 4,000.00 | Jan 2022 | 1 | 100 | 27,327 | (9,389) |
CSFB | Amazon.com, Inc. | USD | 4,000.00 | Jan 2022 | 1 | 100 | 27,686 | (9,389) |
CSFB | Amazon.com, Inc. | USD | 4,000.00 | Jan 2022 | 1 | 100 | 35,706 | (9,389) |
RBC | Amazon.com, Inc. | USD | 4,000.00 | Jan 2022 | 1 | 100 | 21,797 | (9,389) |
CITI | Amazon.com, Inc. | USD | 4,100.00 | Jan 2022 | 1 | 100 | 25,167 | (7,543) |
RBC | Amazon.com, Inc. | USD | 4,100.00 | Jan 2022 | 1 | 100 | 19,697 | (7,543) |
CITI | Amazon.com, Inc. | USD | 4,200.00 | Jan 2022 | 1 | 100 | 23,127 | (6,049) |
RBC | Amazon.com, Inc. | USD | 4,200.00 | Jan 2022 | 1 | 100 | 17,827 | (6,049) |
CITI | Amazon.com, Inc. | USD | 4,300.00 | Jan 2022 | 2 | 200 | 42,614 | (9,698) |
JPM | American Electric Power Company, Inc. | USD | 90.00 | Jan 2022 | 63 | 6,300 | 22,934 | (10,954) |
JPM | American Electric Power Company, Inc. | USD | 90.00 | Jan 2022 | 11 | 1,100 | 3,946 | (1,913) |
JPM | American Electric Power Company, Inc. | USD | 90.00 | Jan 2022 | 7 | 700 | 2,418 | (1,217) |
JPM | American Electric Power Company, Inc. | USD | 95.00 | Jan 2022 | 63 | 6,300 | 13,893 | (4,707) |
JPM | American Electric Power Company, Inc. | USD | 95.00 | Jan 2022 | 22 | 2,200 | 4,975 | (1,644) |
JPM | American Electric Power Company, Inc. | USD | 95.00 | Jan 2022 | 14 | 1,400 | 2,930 | (1,046) |
JPM | American Electric Power Company, Inc. | USD | 97.50 | Jan 2022 | 30 | 3,000 | 2,930 | (1,433) |
JPM | American Electric Power Company, Inc. | USD | 100.00 | Jan 2022 | 30 | 3,000 | 1,813 | (911) |
CITI | American Tower Corp. | USD | 210.00 | Jan 2022 | 6 | 600 | 14,982 | (37,334) |
CITI | American Tower Corp. | USD | 220.00 | Jan 2022 | 6 | 600 | 11,982 | (31,846) |
CITI | American Tower Corp. | USD | 230.00 | Jan 2022 | 7 | 700 | 11,039 | (31,042) |
CITI | American Tower Corp. | USD | 230.00 | Jan 2022 | 2 | 200 | 4,641 | (8,869) |
CITI | American Tower Corp. | USD | 240.00 | Jan 2022 | 2 | 200 | 3,811 | (7,238) |
CITI | American Tower Corp. | USD | 250.00 | Jan 2022 | 2 | 200 | 3,041 | (5,754) |
CSFB | Bank of America Corp. | USD | 30.00 | Jan 2022 | 250 | 25,000 | 52,500 | (288,400) |
SFG | Bank of America Corp. | USD | 30.00 | Jan 2022 | 413 | 41,300 | 106,143 | (476,434) |
CSFB | Bank of America Corp. | USD | 32.00 | Jan 2022 | 129 | 12,900 | 31,631 | (125,100) |
CSFB | Bank of America Corp. | USD | 35.00 | Jan 2022 | 259 | 25,900 | 40,559 | (184,966) |
RBC | Bank of America Corp. | USD | 37.00 | Jan 2022 | 190 | 19,000 | 52,947 | (106,972) |
CSFB | Bank of America Corp. | USD | 40.00 | Jan 2022 | 39 | 3,900 | 13,323 | (14,556) |
CSFB | Bank of America Corp. | USD | 45.00 | Jan 2022 | 38 | 3,800 | 7,138 | (6,179) |
JPM | Cisco Systems, Inc. | USD | 45.00 | Jan 2022 | 48 | 4,800 | 22,416 | (41,199) |
JPM | Cisco Systems, Inc. | USD | 45.00 | Jan 2022 | 25 | 2,500 | 11,425 | (21,458) |
JPM | Cisco Systems, Inc. | USD | 45.00 | Jan 2022 | 26 | 2,600 | 11,102 | (22,316) |
JPM | Cisco Systems, Inc. | USD | 47.50 | Jan 2022 | 48 | 4,800 | 17,136 | (31,648) |
JPM | Cisco Systems, Inc. | USD | 47.50 | Jan 2022 | 25 | 2,500 | 8,675 | (16,483) |
JPM | Cisco Systems, Inc. | USD | 47.50 | Jan 2022 | 26 | 2,600 | 8,502 | (17,143) |
JPM | Cisco Systems, Inc. | USD | 50.00 | Jan 2022 | 48 | 4,800 | 12,816 | (23,268) |
JPM | Cisco Systems, Inc. | USD | 50.00 | Jan 2022 | 25 | 2,500 | 6,550 | (12,119) |
JPM | Cisco Systems, Inc. | USD | 50.00 | Jan 2022 | 26 | 2,600 | 6,292 | (12,604) |
JPM | CME Group, Inc. | USD | 220.00 | Jan 2022 | 19 | 1,900 | 20,869 | (16,974) |
The accompanying notes are an integral part of the financial statements. | 17 |
Options on securities (continued) | ||||||||
Counterparty (OTC)/ Exchange- traded | Name of issuer | Currency | Exercise price | Expiration date | Number of contracts | Notional amount | Premium | Value |
Calls (continued) | ||||||||
JPM | CME Group, Inc. | USD | 230.00 | Jan 2022 | 19 | 1,900 | $16,115 | $(10,299) |
CSFB | Danaher Corp. | USD | 250.00 | Jan 2022 | 40 | 4,000 | 76,280 | (119,736) |
CSFB | Danaher Corp. | USD | 270.00 | Jan 2022 | 4 | 400 | 6,485 | (7,405) |
CSFB | Danaher Corp. | USD | 280.00 | Jan 2022 | 4 | 400 | 5,280 | (5,645) |
CSFB | Danaher Corp. | USD | 280.00 | Jan 2022 | 6 | 600 | 7,557 | (8,468) |
CSFB | Danaher Corp. | USD | 290.00 | Jan 2022 | 6 | 600 | 5,707 | (6,321) |
GSI | Envista Holdings Corp. | USD | 49.00 | Dec 2021 | 30 | 3,000 | 10,034 | (5,310) |
GSI | Envista Holdings Corp. | USD | 50.00 | Dec 2021 | 30 | 3,000 | 8,906 | (4,568) |
CITI | Exelon Corp. | USD | 40.00 | Jan 2022 | 16 | 1,600 | 7,712 | (8,361) |
CITI | Exelon Corp. | USD | 40.00 | Jan 2022 | 5 | 500 | 2,092 | (2,613) |
CITI | Exelon Corp. | USD | 43.00 | Jan 2022 | 16 | 1,600 | 5,312 | (5,132) |
CITI | Exelon Corp. | USD | 43.00 | Jan 2022 | 5 | 500 | 1,420 | (1,604) |
CITI | Exelon Corp. | USD | 45.00 | Jan 2022 | 16 | 1,600 | 3,984 | (3,456) |
CITI | Exelon Corp. | USD | 45.00 | Jan 2022 | 5 | 500 | 1,040 | (1,080) |
CITI | Exelon Corp. | USD | 47.00 | Jan 2022 | 95 | 9,500 | 16,161 | (13,061) |
CITI | Exelon Corp. | USD | 47.00 | Jan 2022 | 30 | 3,000 | 4,823 | (4,124) |
CITI | Exelon Corp. | USD | 50.00 | Jan 2022 | 30 | 3,000 | 2,341 | (1,903) |
JPM | Facebook, Inc., Class A | USD | 340.00 | Jan 2022 | 12 | 1,200 | 30,925 | (43,614) |
JPM | Facebook, Inc., Class A | USD | 345.00 | Jan 2022 | 12 | 1,200 | 28,983 | (40,503) |
JPM | Facebook, Inc., Class A | USD | 380.00 | Jan 2022 | 4 | 400 | 7,756 | (7,690) |
JPM | Facebook, Inc., Class A | USD | 400.00 | Jan 2022 | 50 | 5,000 | 107,635 | (68,007) |
JPM | Facebook, Inc., Class A | USD | 345.00 | Sep 2022 | 6 | 600 | 23,363 | (31,530) |
JPM | Facebook, Inc., Class A | USD | 360.00 | Sep 2022 | 6 | 600 | 20,104 | (27,460) |
GSI | Fiserv, Inc. | USD | 130.00 | Jan 2022 | 13 | 1,300 | 6,634 | (1,918) |
GSI | Fiserv, Inc. | USD | 135.00 | Jan 2022 | 13 | 1,300 | 4,869 | (1,384) |
JPM | FleetCor Technologies, Inc. | USD | 300.00 | Jan 2022 | 5 | 500 | 9,985 | (2,254) |
JPM | FleetCor Technologies, Inc. | USD | 310.00 | Jan 2022 | 3 | 300 | 4,791 | (897) |
JPM | General Electric Company | USD | 12.00 | Jan 2022 | 160 | 16,000 | 24,437 | (35,252) |
JPM | General Electric Company | USD | 12.00 | Jan 2022 | 159 | 15,900 | 25,825 | (35,032) |
JPM | General Electric Company | USD | 15.00 | Jan 2022 | 160 | 16,000 | 13,309 | (13,323) |
JPM | General Electric Company | USD | 15.00 | Jan 2022 | 159 | 15,900 | 13,361 | (13,239) |
SFG | General Electric Company | USD | 15.00 | Jan 2022 | 636 | 63,600 | 69,324 | (52,957) |
GSI | Global Payments, Inc. | USD | 230.00 | Jan 2022 | 9 | 900 | 5,500 | (2,752) |
GSI | Global Payments, Inc. | USD | 240.00 | Jan 2022 | 9 | 900 | 4,445 | (2,031) |
CITI | Hilton Worldwide Holdings, Inc. | USD | 125.00 | Jan 2022 | 8 | 800 | 8,222 | (6,790) |
CITI | Hilton Worldwide Holdings, Inc. | USD | 125.00 | Jan 2022 | 4 | 400 | 3,927 | (3,395) |
CITI | Hilton Worldwide Holdings, Inc. | USD | 125.00 | Jan 2022 | 5 | 500 | 5,015 | (4,244) |
CITI | Hilton Worldwide Holdings, Inc. | USD | 130.00 | Jan 2022 | 8 | 800 | 6,917 | (5,325) |
CITI | Hilton Worldwide Holdings, Inc. | USD | 130.00 | Jan 2022 | 4 | 400 | 3,288 | (2,663) |
CITI | Hilton Worldwide Holdings, Inc. | USD | 130.00 | Jan 2022 | 5 | 500 | 4,196 | (3,328) |
CITI | Hilton Worldwide Holdings, Inc. | USD | 130.00 | Jan 2022 | 12 | 1,200 | 17,773 | (7,988) |
CITI | Hilton Worldwide Holdings, Inc. | USD | 135.00 | Jan 2022 | 12 | 1,200 | 15,717 | (6,188) |
GSI | Hilton Worldwide Holdings, Inc. | USD | 135.00 | Jan 2022 | 38 | 3,800 | 53,311 | (19,595) |
GSI | Hilton Worldwide Holdings, Inc. | USD | 140.00 | Jan 2022 | 38 | 3,800 | 45,916 | (15,006) |
CSFB | Humana, Inc. | USD | 480.00 | Jan 2022 | 2 | 200 | 6,018 | (3,346) |
CSFB | Humana, Inc. | USD | 500.00 | Jan 2022 | 2 | 200 | 4,724 | (2,277) |
JPM | Intercontinental Exchange, Inc. | USD | 125.00 | Jan 2022 | 15 | 1,500 | 4,761 | (6,196) |
JPM | Intercontinental Exchange, Inc. | USD | 130.00 | Jan 2022 | 16 | 1,600 | 9,747 | (4,087) |
JPM | Intercontinental Exchange, Inc. | USD | 130.00 | Jan 2022 | 16 | 1,600 | 3,208 | (4,087) |
JPM | Intercontinental Exchange, Inc. | USD | 135.00 | Jan 2022 | 16 | 1,600 | 7,294 | (2,369) |
SFG | Keurig Dr. Pepper, Inc. | USD | 32.00 | Dec 2021 | 95 | 9,500 | 20,710 | (38,408) |
JPM | Lockheed Martin Corp. | USD | 340.00 | Jan 2022 | 9 | 900 | 28,233 | (40,683) |
JPM | Lockheed Martin Corp. | USD | 360.00 | Jan 2022 | 9 | 900 | 20,583 | (27,620) |
JPM | Lockheed Martin Corp. | USD | 375.00 | Jan 2022 | 9 | 900 | 15,993 | (19,651) |
CSFB | Marriott International, Inc., Class A | USD | 145.00 | Jan 2022 | 15 | 1,500 | 18,440 | (13,056) |
CSFB | Marriott International, Inc., Class A | USD | 145.00 | Jan 2022 | 2 | 200 | 2,376 | (1,741) |
CSFB | Marriott International, Inc., Class A | USD | 145.00 | Jan 2022 | 8 | 800 | 10,193 | (6,963) |
CSFB | Marriott International, Inc., Class A | USD | 150.00 | Jan 2022 | 15 | 1,500 | 16,180 | (10,515) |
CSFB | Marriott International, Inc., Class A | USD | 150.00 | Jan 2022 | 2 | 200 | 2,097 | (1,402) |
CSFB | Marriott International, Inc., Class A | USD | 150.00 | Jan 2022 | 8 | 800 | 8,956 | (5,608) |
CSFB | Marriott International, Inc., Class A | USD | 155.00 | Jan 2022 | 13 | 1,300 | 14,757 | (7,278) |
CSFB | Marriott International, Inc., Class A | USD | 160.00 | Jan 2022 | 13 | 1,300 | 12,430 | (5,770) |
CSFB | Marriott International, Inc., Class A | USD | 165.00 | Jan 2022 | 9 | 900 | 15,242 | (3,147) |
CSFB | Marriott International, Inc., Class A | USD | 170.00 | Jan 2022 | 9 | 900 | 13,778 | (2,467) |
The accompanying notes are an integral part of the financial statements. | 18 |
Options on securities (continued) | ||||||||
Counterparty (OTC)/ Exchange- traded | Name of issuer | Currency | Exercise price | Expiration date | Number of contracts | Notional amount | Premium | Value |
Calls (continued) | ||||||||
GSI | Marsh & McLennan Companies, Inc. | USD | 150.00 | Oct 2021 | 25 | 2,500 | $4,440 | $(5,075) |
GSI | Marsh & McLennan Companies, Inc. | USD | 155.00 | Oct 2021 | 25 | 2,500 | 2,408 | (2,905) |
CITI | McDonald's Corp. | USD | 210.00 | Jan 2022 | 8 | 800 | 15,192 | (20,097) |
RBC | McDonald's Corp. | USD | 210.00 | Jan 2022 | 6 | 600 | 10,902 | (15,072) |
CITI | McDonald's Corp. | USD | 220.00 | Jan 2022 | 8 | 800 | 11,416 | (14,169) |
RBC | McDonald's Corp. | USD | 220.00 | Jan 2022 | 7 | 700 | 9,709 | (12,397) |
CITI | McDonald's Corp. | USD | 230.00 | Jan 2022 | 8 | 800 | 8,456 | (9,291) |
RBC | McDonald's Corp. | USD | 230.00 | Jan 2022 | 6 | 600 | 6,132 | (6,968) |
CSFB | Medtronic PLC | USD | 115.00 | Jan 2022 | 13 | 1,300 | 15,756 | (17,147) |
CSFB | Medtronic PLC | USD | 125.00 | Jan 2022 | 13 | 1,300 | 9,711 | (9,276) |
CSFB | Medtronic PLC | USD | 130.00 | Jan 2022 | 12 | 1,200 | 6,684 | (5,889) |
SFG | Microsoft Corp. | USD | 250.00 | Jan 2022 | 21 | 2,100 | 27,447 | (64,377) |
SFG | Microsoft Corp. | USD | 255.00 | Jan 2022 | 21 | 2,100 | 24,717 | (57,217) |
SFG | Microsoft Corp. | USD | 260.00 | Jan 2022 | 21 | 2,100 | 22,197 | (50,524) |
SFG | Microsoft Corp. | USD | 265.00 | Jan 2022 | 16 | 1,600 | 23,712 | (33,772) |
BOA | Microsoft Corp. | USD | 270.00 | Jan 2022 | 9 | 900 | 12,085 | (16,558) |
SFG | Microsoft Corp. | USD | 270.00 | Jan 2022 | 17 | 1,700 | 22,559 | (31,277) |
BOA | Microsoft Corp. | USD | 275.00 | Jan 2022 | 9 | 900 | 10,565 | (14,335) |
SFG | Microsoft Corp. | USD | 275.00 | Jan 2022 | 16 | 1,600 | 19,472 | (25,485) |
BOA | Microsoft Corp. | USD | 280.00 | Jan 2022 | 9 | 900 | 9,182 | (12,321) |
CITI | Microsoft Corp. | USD | 280.00 | Jan 2022 | 65 | 6,500 | 133,380 | (88,986) |
SFG | Microsoft Corp. | USD | 300.00 | Jan 2023 | 31 | 3,100 | 56,637 | (65,409) |
SFG | Microsoft Corp. | USD | 300.00 | Jan 2023 | 32 | 3,200 | 60,224 | (67,519) |
CITI | Mondelez International, Inc., Class A | USD | 57.50 | Jan 2022 | 26 | 2,600 | 12,272 | (16,196) |
CITI | Mondelez International, Inc., Class A | USD | 60.00 | Jan 2022 | 26 | 2,600 | 9,152 | (11,513) |
CITI | Mondelez International, Inc., Class A | USD | 62.50 | Jan 2022 | 26 | 2,600 | 5,122 | (7,659) |
CSFB | Northrop Grumman Corp. | USD | 300.00 | Jan 2022 | 5 | 500 | 13,835 | (33,696) |
CSFB | Northrop Grumman Corp. | USD | 300.00 | Jan 2022 | 5 | 500 | 13,485 | (33,696) |
CSFB | Northrop Grumman Corp. | USD | 315.00 | Jan 2022 | 5 | 500 | 10,285 | (27,246) |
CSFB | Northrop Grumman Corp. | USD | 315.00 | Jan 2022 | 5 | 500 | 10,835 | (27,246) |
CSFB | Northrop Grumman Corp. | USD | 325.00 | Jan 2022 | 5 | 500 | 8,785 | (23,244) |
CSFB | Northrop Grumman Corp. | USD | 325.00 | Jan 2022 | 5 | 500 | 9,085 | (23,244) |
JPM | NXP Semiconductors NV | USD | 195.00 | Jan 2022 | 8 | 800 | 14,105 | (20,110) |
JPM | NXP Semiconductors NV | USD | 195.00 | Jan 2022 | 7 | 700 | 13,563 | (17,596) |
JPM | NXP Semiconductors NV | USD | 200.00 | Jan 2022 | 8 | 800 | 13,168 | (17,858) |
JPM | NXP Semiconductors NV | USD | 200.00 | Jan 2022 | 7 | 700 | 12,245 | (15,626) |
JPM | NXP Semiconductors NV | USD | 210.00 | Jan 2022 | 8 | 800 | 11,205 | (13,864) |
JPM | NXP Semiconductors NV | USD | 210.00 | Jan 2022 | 7 | 700 | 10,451 | (12,131) |
SFG | PepsiCo, Inc. | USD | 140.00 | Jan 2022 | 13 | 1,300 | 14,781 | (15,327) |
SFG | PepsiCo, Inc. | USD | 140.00 | Jan 2022 | 14 | 1,400 | 15,218 | (16,506) |
SFG | PepsiCo, Inc. | USD | 145.00 | Jan 2022 | 13 | 1,300 | 11,856 | (11,053) |
SFG | PepsiCo, Inc. | USD | 145.00 | Jan 2022 | 14 | 1,400 | 11,998 | (11,904) |
SFG | PepsiCo, Inc. | USD | 155.00 | Jan 2022 | 12 | 1,200 | 6,504 | (4,525) |
SFG | PepsiCo, Inc. | USD | 155.00 | Jan 2022 | 14 | 1,400 | 7,028 | (5,280) |
JPM | Roper Technologies, Inc. | USD | 480.00 | Aug 2021 | 13 | 1,300 | 15,990 | (14,025) |
JPM | Roper Technologies, Inc. | USD | 490.00 | Nov 2021 | 3 | 300 | 3,190 | (4,996) |
JPM | Roper Technologies, Inc. | USD | 500.00 | Nov 2021 | 3 | 300 | 1,824 | (3,913) |
CSFB | Ross Stores, Inc. | USD | 130.00 | Jan 2022 | 6 | 600 | 6,143 | (4,394) |
BOA | Ross Stores, Inc. | USD | 135.00 | Jan 2022 | 3 | 300 | 3,132 | (1,662) |
CSFB | Ross Stores, Inc. | USD | 135.00 | Jan 2022 | 6 | 600 | 5,599 | (3,325) |
BOA | Ross Stores, Inc. | USD | 140.00 | Jan 2022 | 3 | 300 | 2,596 | (1,238) |
JPM | Teledyne Technologies, Inc. | USD | 410.00 | Sep 2021 | 1 | 100 | 2,194 | (2,450) |
JPM | Teledyne Technologies, Inc. | USD | 410.00 | Sep 2021 | 2 | 200 | 4,661 | (4,901) |
JPM | Teledyne Technologies, Inc. | USD | 420.00 | Sep 2021 | 1 | 100 | 1,885 | (1,896) |
JPM | Teledyne Technologies, Inc. | USD | 420.00 | Sep 2021 | 2 | 200 | 3,945 | (3,793) |
JPM | Teledyne Technologies, Inc. | USD | 470.00 | Dec 2021 | 3 | 300 | 6,092 | (3,365) |
JPM | Teledyne Technologies, Inc. | USD | 480.00 | Dec 2021 | 3 | 300 | 5,137 | (2,688) |
CSFB | The Coca-Cola Company | USD | 50.00 | Jan 2022 | 38 | 3,800 | 15,630 | (19,511) |
CSFB | The Coca-Cola Company | USD | 50.00 | Jan 2022 | 52 | 5,200 | 16,224 | (26,699) |
CSFB | The Coca-Cola Company | USD | 52.50 | Jan 2022 | 38 | 3,800 | 11,420 | (12,941) |
CSFB | The Coca-Cola Company | USD | 52.50 | Jan 2022 | 52 | 5,200 | 11,544 | (17,709) |
CSFB | The Coca-Cola Company | USD | 55.00 | Jan 2022 | 39 | 3,900 | 8,341 | (8,216) |
CSFB | The Coca-Cola Company | USD | 55.00 | Jan 2022 | 52 | 5,200 | 8,164 | (10,954) |
CITI | The PNC Financial Services Group, Inc. | USD | 175.00 | Jan 2022 | 12 | 1,200 | 14,316 | (26,832) |
The accompanying notes are an integral part of the financial statements. | 19 |
Options on securities (continued) | ||||||||
Counterparty (OTC)/ Exchange- traded | Name of issuer | Currency | Exercise price | Expiration date | Number of contracts | Notional amount | Premium | Value |
Calls (continued) | ||||||||
CITI | The PNC Financial Services Group, Inc. | USD | 180.00 | Jan 2022 | 12 | 1,200 | $12,237 | $(22,852) |
CITI | The PNC Financial Services Group, Inc. | USD | 180.00 | Jan 2022 | 13 | 1,300 | 17,112 | (24,756) |
CITI | The PNC Financial Services Group, Inc. | USD | 185.00 | Jan 2022 | 12 | 1,200 | 10,459 | (19,209) |
CITI | The PNC Financial Services Group, Inc. | USD | 185.00 | Jan 2022 | 13 | 1,300 | 14,782 | (20,810) |
CITI | The PNC Financial Services Group, Inc. | USD | 190.00 | Jan 2022 | 13 | 1,300 | 12,714 | (17,267) |
CITI | The PNC Financial Services Group, Inc. | USD | 195.00 | Jan 2022 | 19 | 1,900 | 17,331 | (20,668) |
CITI | The PNC Financial Services Group, Inc. | USD | 195.00 | Jan 2022 | 18 | 1,800 | 16,358 | (19,580) |
CITI | The PNC Financial Services Group, Inc. | USD | 200.00 | Jan 2022 | 19 | 1,900 | 14,489 | (16,709) |
CITI | The PNC Financial Services Group, Inc. | USD | 200.00 | Jan 2022 | 18 | 1,800 | 12,214 | (15,829) |
CITI | Thermo Fisher Scientific, Inc. | USD | 580.00 | Jan 2022 | 3 | 300 | 8,122 | (3,316) |
CITI | Thermo Fisher Scientific, Inc. | USD | 580.00 | Jan 2022 | 5 | 500 | 14,180 | (5,527) |
CITI | Thermo Fisher Scientific, Inc. | USD | 600.00 | Jan 2022 | 3 | 300 | 6,712 | (2,382) |
CITI | Thermo Fisher Scientific, Inc. | USD | 600.00 | Jan 2022 | 5 | 500 | 11,735 | (3,970) |
CITI | Union Electric Company | USD | 90.00 | Dec 2021 | 21 | 2,100 | 3,760 | (1,551) |
CITI | Union Electric Company | USD | 95.00 | Dec 2021 | 21 | 2,100 | 1,642 | (442) |
CITI | UnitedHealth Group, Inc. | USD | 400.00 | Jan 2022 | 6 | 600 | 14,447 | (15,816) |
CITI | UnitedHealth Group, Inc. | USD | 410.00 | Jan 2022 | 6 | 600 | 11,921 | (12,870) |
CITI | UnitedHealth Group, Inc. | USD | 420.00 | Jan 2022 | 6 | 600 | 10,918 | (10,300) |
CITI | UnitedHealth Group, Inc. | USD | 460.00 | Jan 2022 | 3 | 300 | 4,789 | (1,773) |
CITI | UnitedHealth Group, Inc. | USD | 470.00 | Jan 2022 | 3 | 300 | 3,917 | (1,304) |
JPM | Visa, Inc., Class A | USD | 220.00 | Jan 2022 | 19 | 1,900 | 26,638 | (43,966) |
CSFB | Visa, Inc., Class A | USD | 225.00 | Jan 2022 | 22 | 2,200 | 29,373 | (43,843) |
GSI | Visa, Inc., Class A | USD | 225.00 | Jan 2022 | 7 | 700 | 8,344 | (13,950) |
GSI | Visa, Inc., Class A | USD | 225.00 | Jan 2022 | 6 | 600 | 8,082 | (11,957) |
GSI | Visa, Inc., Class A | USD | 225.00 | Jan 2022 | 14 | 1,400 | 18,239 | (27,900) |
JPM | Visa, Inc., Class A | USD | 225.00 | Jan 2022 | 18 | 1,800 | 22,176 | (35,871) |
CSFB | Visa, Inc., Class A | USD | 230.00 | Jan 2022 | 22 | 2,200 | 25,978 | (37,355) |
GSI | Visa, Inc., Class A | USD | 230.00 | Jan 2022 | 7 | 700 | 7,154 | (11,886) |
GSI | Visa, Inc., Class A | USD | 230.00 | Jan 2022 | 6 | 600 | 7,032 | (10,188) |
GSI | Visa, Inc., Class A | USD | 230.00 | Jan 2022 | 14 | 1,400 | 16,317 | (23,771) |
JPM | Visa, Inc., Class A | USD | 230.00 | Jan 2022 | 19 | 1,900 | 20,463 | (32,261) |
CSFB | Visa, Inc., Class A | USD | 235.00 | Jan 2022 | 22 | 2,200 | 22,406 | (31,469) |
CSFB | Visa, Inc., Class A | USD | 240.00 | Jan 2022 | 12 | 1,200 | 15,050 | (14,293) |
CSFB | Visa, Inc., Class A | USD | 245.00 | Jan 2022 | 12 | 1,200 | 13,240 | (11,761) |
CSFB | Visa, Inc., Class A | USD | 245.00 | Jan 2022 | 17 | 1,700 | 17,798 | (16,662) |
CITI | Visa, Inc., Class A | USD | 250.00 | Jan 2022 | 43 | 4,300 | 36,712 | (34,260) |
CSFB | Visa, Inc., Class A | USD | 250.00 | Jan 2022 | 17 | 1,700 | 14,730 | (13,545) |
GSI | Visa, Inc., Class A | USD | 250.00 | Jan 2022 | 13 | 1,300 | 15,886 | (10,358) |
CSFB | Visa, Inc., Class A | USD | 255.00 | Jan 2022 | 6 | 600 | 5,060 | (3,839) |
CSFB | Visa, Inc., Class A | USD | 255.00 | Jan 2022 | 17 | 1,700 | 12,085 | (10,878) |
CSFB | Visa, Inc., Class A | USD | 260.00 | Jan 2022 | 6 | 600 | 4,257 | (3,046) |
GSI | Visa, Inc., Class A | USD | 260.00 | Jan 2022 | 13 | 1,300 | 12,181 | (6,600) |
CSFB | Visa, Inc., Class A | USD | 265.00 | Jan 2022 | 6 | 600 | 3,574 | (2,388) |
GSI | Visa, Inc., Class A | USD | 270.00 | Jan 2022 | 13 | 1,300 | 9,256 | (4,010) |
CSFB | Waste Management, Inc. | USD | 115.00 | Jan 2022 | 6 | 600 | 4,812 | (15,946) |
CSFB | Waste Management, Inc. | USD | 115.00 | Jan 2022 | 7 | 700 | 5,649 | (18,604) |
CSFB | Waste Management, Inc. | USD | 120.00 | Jan 2022 | 6 | 600 | 4,482 | (13,274) |
CSFB | Waste Management, Inc. | USD | 120.00 | Jan 2022 | 7 | 700 | 5,089 | (15,486) |
CSFB | Waste Management, Inc. | USD | 130.00 | Jan 2022 | 6 | 600 | 2,502 | (8,445) |
CSFB | Waste Management, Inc. | USD | 130.00 | Jan 2022 | 7 | 700 | 2,639 | (9,852) |
JPM | Yum! Brands, Inc. | USD | 105.00 | Jan 2022 | 7 | 700 | 7,854 | (8,902) |
JPM | Yum! Brands, Inc. | USD | 110.00 | Jan 2022 | 7 | 700 | 6,209 | (6,479) |
JPM | Yum! Brands, Inc. | USD | 120.00 | Jan 2022 | 22 | 2,200 | 9,424 | (9,107) |
JPM | Yum! Brands, Inc. | USD | 120.00 | Jan 2022 | 6 | 600 | 2,742 | (2,484) |
JPM | Yum! Brands, Inc. | USD | 120.00 | Jan 2022 | 14 | 1,400 | 6,398 | (5,795) |
JPM | Yum! Brands, Inc. | USD | 120.00 | Jan 2022 | 19 | 1,900 | 9,063 | (7,865) |
JPM | Yum! Brands, Inc. | USD | 125.00 | Jan 2022 | 25 | 2,500 | 8,050 | (6,316) |
$3,823,947 | $(6,141,041) |
Derivatives Currency Abbreviations | |
USD | U.S. Dollar |
Derivatives Abbreviations | |
BOA | Bank of America, N.A. |
The accompanying notes are an integral part of the financial statements. | 20 |
CITI | Citibank, N.A. |
CSFB | Credit Suisse First Boston International |
GSI | Goldman Sachs International |
JPM | JPMorgan Chase Bank, N.A. |
OTC | Over-the-counter |
RBC | Royal Bank of Canada |
SFG | Susquehanna Financial Group, LLLP |
Shares or Principal Amount | Value | % of Net Assets | |||||
COMMON STOCKS - 96.1% | |||||||
Australia - 0.9% | $ | 2,802,836 | 0.9% | ||||
Austria - 0.9% | 2,889,656 | 0.9% | |||||
Bermuda - 1.5% | |||||||
Everest Re Group, Ltd. | 19,423 | 4,894,790 | 1.5% | ||||
Canada - 3.0% | |||||||
Cenovus Energy, Inc. | 521,991 | 4,994,202 | 1.6% | ||||
OTHER SECURITIES | 4,783,513 | 1.4% | |||||
9,777,715 | |||||||
China - 1.5% | 4,765,104 | 1.5% | |||||
Finland - 2.6% | |||||||
Metso Outotec OYJ | 261,262 | 3,035,721 | 0.9% | ||||
Sampo OYJ, A Shares | 68,608 | 3,154,901 | 1.0% | ||||
OTHER SECURITIES | 2,293,654 | 0.7% | |||||
8,484,276 | |||||||
France - 13.9% | |||||||
Airbus SE (A) | 28,648 | 3,691,368 | 1.2% | ||||
BNP Paribas SA | 72,814 | 4,569,770 | 1.4% | ||||
Cie de Saint-Gobain | 51,801 | 3,418,643 | 1.1% | ||||
Eiffage SA | 48,677 | 4,958,066 | 1.5% | ||||
Rexel SA (A) | 156,178 | 3,270,072 | 1.0% | ||||
Sanofi | 81,428 | 8,555,018 | 2.7% | ||||
TotalEnergies SE | 144,938 | 6,565,937 | 2.0% | ||||
OTHER SECURITIES | 9,828,251 | 3.0% | |||||
44,857,125 | |||||||
Germany - 7.5% | |||||||
Allianz SE | 19,855 | 4,954,942 | 1.5% | ||||
Deutsche Post AG | 52,351 | 3,565,342 | 1.1% | ||||
Deutsche Telekom AG | 273,558 | 5,785,740 | 1.8% | ||||
Hannover Rueck SE | 19,392 | 3,246,369 | 1.0% | ||||
Siemens AG | 22,801 | 3,620,307 | 1.1% | ||||
OTHER SECURITIES | 3,064,019 | 1.0% | |||||
24,236,719 | |||||||
Greece - 0.6% | 1,859,047 | 0.6% | |||||
Hong Kong - 1.4% | |||||||
WH Group, Ltd. (B) | 3,143,500 | 2,821,614 | 0.9% | ||||
OTHER SECURITIES | 1,569,327 | 0.5% | |||||
4,390,941 | |||||||
India - 0.4% | 1,139,283 | 0.4% | |||||
Ireland - 1.0% | |||||||
CRH PLC | 62,465 | 3,158,930 | 1.0% | ||||
Isle of Man - 0.7% | 2,220,006 | 0.7% | |||||
Italy - 0.8% | 2,714,675 | 0.8% | |||||
Japan - 16.2% | |||||||
Hitachi, Ltd. | 74,800 | 4,286,577 | 1.3% | ||||
Honda Motor Company, Ltd. | 177,900 | 5,721,841 | 1.8% | ||||
Komatsu, Ltd. | 170,400 | 4,221,415 | 1.3% | ||||
Resona Holdings, Inc. | 1,044,500 | 4,027,229 | 1.3% | ||||
Sony Group Corp. | 39,500 | 3,830,207 | 1.2% |
Shares or Principal Amount | Value | % of Net Assets | |||||
COMMON STOCKS (continued) | |||||||
Japan (continued) | |||||||
Sumitomo Heavy Industries, Ltd. | 119,800 | $ | 3,312,715 | 1.0% | |||
Sumitomo Mitsui Financial Group, Inc. | 186,700 | 6,435,918 | 2.0% | ||||
Yamaha Motor Company, Ltd. | 157,200 | 4,269,894 | 1.3% | ||||
OTHER SECURITIES | 16,121,818 | 5.0% | |||||
52,227,614 | |||||||
Macau - 0.5% | 1,752,209 | 0.5% | |||||
Malta - 0.0% | 0 | 0.0% | |||||
Netherlands - 4.7% | |||||||
ING Groep NV | 341,509 | 4,533,300 | 1.4% | ||||
Royal Dutch Shell PLC, A Shares | 228,254 | 4,576,001 | 1.4% | ||||
Stellantis NV | 312,958 | 6,154,863 | 1.9% | ||||
15,264,164 | |||||||
Norway - 1.5% | 4,808,205 | 1.5% | |||||
Singapore - 0.6% | 2,062,971 | 0.6% | |||||
South Korea - 7.5% | |||||||
Hana Financial Group, Inc. | 108,791 | 4,458,408 | 1.4% | ||||
KB Financial Group, Inc. | 83,139 | 4,126,192 | 1.3% | ||||
Samsung Electronics Company, Ltd. | 80,925 | 5,793,110 | 1.8% | ||||
SK Telecom Company, Ltd. | 20,191 | 5,737,929 | 1.8% | ||||
OTHER SECURITIES | 4,049,159 | 1.2% | |||||
24,164,798 | |||||||
Spain - 0.6% | 1,867,295 | 0.6% | |||||
Sweden - 3.5% | |||||||
Svenska Handelsbanken AB, A Shares | 382,038 | 4,312,425 | 1.3% | ||||
Volvo AB, B Shares (C) | 294,044 | 7,086,292 | 2.2% | ||||
11,398,717 | |||||||
Switzerland - 11.6% | |||||||
Adecco Group AG | 52,959 | 3,603,425 | 1.1% | ||||
Glencore PLC (A) | 1,527,430 | 6,555,859 | 2.0% | ||||
Novartis AG | 75,248 | 6,864,618 | 2.1% | ||||
Roche Holding AG | 24,350 | 9,176,011 | 2.9% | ||||
STMicroelectronics NV | 117,636 | 4,278,011 | 1.3% | ||||
UBS Group AG | 452,897 | 6,937,125 | 2.2% | ||||
37,415,049 | |||||||
United Kingdom - 9.2% | |||||||
Coca-Cola Europacific Partners PLC | 87,954 | 5,217,431 | 1.6% | ||||
IMI PLC | 185,666 | 4,418,775 | 1.4% | ||||
Tesco PLC | 1,306,466 | 4,035,906 | 1.2% | ||||
Travis Perkins PLC (A) | 179,820 | 4,207,299 | 1.3% | ||||
OTHER SECURITIES | 11,862,529 | 3.7% | |||||
29,741,940 | |||||||
United States - 3.5% | |||||||
Applied Materials, Inc. | 21,666 | 3,085,238 | 0.9% |
The accompanying notes are an integral part of the financial statements. | 21 |
Shares or Principal Amount | Value | % of Net Assets | |||||
COMMON STOCKS (continued) | |||||||
United States (continued) | |||||||
Envista Holdings Corp. (A) | 109,968 | $ | 4,751,717 | 1.5% | |||
FMC Corp. | 31,879 | 3,449,308 | 1.1% | ||||
11,286,263 | |||||||
TOTAL COMMON STOCKS (Cost $269,528,013) | $ | 310,180,328 | |||||
PREFERRED SECURITIES - 1.5% | |||||||
Germany - 1.5% | |||||||
Volkswagen AG | 18,848 | 4,725,776 | 1.5% | ||||
TOTAL PREFERRED SECURITIES (Cost $3,970,939) | $ | 4,725,776 | |||||
SHORT-TERM INVESTMENTS - 4.4% | |||||||
Short-term funds - 4.4% | |||||||
Fidelity Institutional Money Market Government Portfolio, Institutional Class, 0.0100% (D) | 4,811,413 | 4,811,413 | 1.5% | ||||
John Hancock Collateral Trust, 0.0324% (D)(E) | 953,970 | 9,544,085 | 2.9% | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $14,355,626) | $ | 14,355,498 | |||||
Total Investments (Disciplined Value International Trust) (Cost $287,854,578) - 102.0% | $ | 329,261,602 | 102.0% | ||||
Other assets and liabilities, net - (2.0)% | (6,509,802) | (2.0)% | |||||
TOTAL NET ASSETS - 100.0% | $ | 322,751,800 | 100.0% |
Security Abbreviations and Legend | |
(A) | Non-income producing security. |
(B) | 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. |
(C) | All or a portion of this security is on loan as of 6-30-21. |
(D) | The rate shown is the annualized seven-day yield as of 6-30-21. |
(E) | Investment is an affiliate of the fund, the advisor and/or subadvisor. This security represents the investment of cash collateral received for securities lending. |
Shares or Principal Amount | Value | % of Net Assets | |||||
COMMON STOCKS - 96.5% | |||||||
Australia - 0.0% | $ | 124,754 | 0.0% | ||||
Belgium - 0.0% | 34,390 | 0.0% | |||||
Brazil - 3.6% | |||||||
Banco Bradesco SA | 59,872 | 263,139 | 0.1% | ||||
Petroleo Brasileiro SA | 403,347 | 2,456,347 | 0.9% | ||||
Vale SA | 247,149 | 5,627,412 | 2.1% | ||||
OTHER SECURITIES | 1,188,718 | 0.5% | |||||
9,535,616 | |||||||
Canada - 0.1% | 130,103 | 0.1% | |||||
Chile - 0.4% | 1,140,928 | 0.4% | |||||
China - 24.6% | |||||||
Baidu, Inc., ADR (A) | 14,801 | 3,017,924 | 1.1% | ||||
Bank of China, Ltd., H Shares | 5,614,694 | 2,016,027 | 0.8% | ||||
China Construction Bank Corp., H Shares | 6,962,000 | 5,463,107 | 2.1% | ||||
China Merchants Bank Company, Ltd., H Shares | 350,500 | 2,985,627 | 1.1% |
Shares or Principal Amount | Value | % of Net Assets | |||||
COMMON STOCKS (continued) | |||||||
China (continued) | |||||||
Country Garden Holdings Company, Ltd. | 912,471 | $ | 1,021,301 | 0.4% | |||
Industrial & Commercial Bank of China, Ltd., H Shares | 5,463,000 | 3,201,422 | 1.2% | ||||
Longfor Group Holdings, Ltd. (B) | 201,500 | 1,122,387 | 0.4% | ||||
PetroChina Company, Ltd., ADR (C) | 1,761 | 86,342 | 0.0% | ||||
PetroChina Company, Ltd., H Shares | 2,098,000 | 1,027,411 | 0.4% | ||||
Ping An Insurance Group Company of China, Ltd., H Shares | 261,000 | 2,551,379 | 1.0% | ||||
Sunac China Holdings, Ltd. | 291,000 | 997,851 | 0.4% | ||||
Trip.com Group, Ltd., ADR (A) | 35,226 | 1,249,114 | 0.5% | ||||
Yum China Holdings, Inc. | 28,049 | 1,858,246 | 0.7% | ||||
ZTO Express Cayman, Inc., ADR | 34,890 | 1,058,912 | 0.4% | ||||
OTHER SECURITIES | 38,157,174 | 14.1% | |||||
65,814,224 | |||||||
Colombia - 0.1% | 247,216 | 0.1% | |||||
Czech Republic - 0.1% | 355,671 | 0.1% | |||||
Greece - 0.3% | 681,007 | 0.3% | |||||
Hong Kong - 5.7% | |||||||
China Resources Land, Ltd. | 366,000 | 1,478,202 | 0.6% | ||||
Geely Automobile Holdings, Ltd. | 602,000 | 1,890,737 | 0.7% | ||||
OTHER SECURITIES | 11,901,403 | 4.4% | |||||
15,270,342 | |||||||
Hungary - 0.2% | 428,722 | 0.2% | |||||
India - 12.1% | |||||||
Axis Bank, Ltd. (A) | 119,271 | 1,204,145 | 0.5% | ||||
ICICI Bank, Ltd. | 220,375 | 1,877,782 | 0.7% | ||||
ICICI Bank, Ltd., ADR (A) | 17,653 | 301,866 | 0.1% | ||||
Larsen & Toubro, Ltd. | 49,161 | 993,529 | 0.4% | ||||
Reliance Industries, Ltd., GDR (B) | 121,829 | 6,891,972 | 2.6% | ||||
Tata Motors, Ltd. (A) | 220,218 | 1,011,227 | 0.4% | ||||
Wipro, Ltd. | 158,426 | 1,163,640 | 0.4% | ||||
OTHER SECURITIES | 19,011,563 | 7.0% | |||||
32,455,724 | |||||||
Indonesia - 1.2% | 3,221,580 | 1.2% | |||||
Malaysia - 1.5% | 4,136,872 | 1.5% | |||||
Mexico - 2.3% | |||||||
Grupo Financiero Banorte SAB de CV, Series O | 163,262 | 1,051,285 | 0.4% | ||||
Grupo Mexico SAB de CV, Series B | 242,225 | 1,141,741 | 0.4% | ||||
OTHER SECURITIES | 3,902,271 | 1.5% | |||||
6,095,297 | |||||||
Philippines - 0.8% | 2,126,470 | 0.8% | |||||
Poland - 0.7% | 1,885,612 | 0.7% | |||||
Qatar - 0.5% | 1,272,818 | 0.5% | |||||
Russia - 1.4% | |||||||
Gazprom PJSC, ADR (London Stock Exchange) | 196,506 | 1,500,057 | 0.6% | ||||
LUKOIL PJSC, ADR | 22,853 | 2,121,042 | 0.8% | ||||
OTHER SECURITIES | 228,328 | 0.0% | |||||
3,849,427 |
The accompanying notes are an integral part of the financial statements. | 22 |
Shares or Principal Amount | Value | % of Net Assets | |||||
COMMON STOCKS (continued) | |||||||
Saudi Arabia - 2.0% | |||||||
Saudi Basic Industries Corp. | 47,599 | $ | 1,547,436 | 0.6% | |||
OTHER SECURITIES | 3,907,274 | 1.4% | |||||
5,454,710 | |||||||
South Africa - 3.9% | |||||||
MTN Group, Ltd. (A) | 193,966 | 1,401,325 | 0.5% | ||||
OTHER SECURITIES | 9,161,724 | 3.4% | |||||
10,563,049 | |||||||
South Korea - 14.7% | |||||||
Hana Financial Group, Inc. | 35,399 | 1,450,701 | 0.6% | ||||
Hyundai Mobis Company, Ltd. | 4,537 | 1,176,586 | 0.5% | ||||
Hyundai Motor Company | 9,379 | 1,995,674 | 0.8% | ||||
KB Financial Group, Inc. | 5,839 | 289,790 | 0.1% | ||||
KB Financial Group, Inc., ADR | 39,288 | 1,936,898 | 0.7% | ||||
Kia Corp. | 18,836 | 1,501,095 | 0.6% | ||||
LG Electronics, Inc. | 12,336 | 1,786,061 | 0.7% | ||||
POSCO | 5,983 | 1,849,044 | 0.7% | ||||
Samsung Electronics Company, Ltd. | 31,700 | 2,269,281 | 0.9% | ||||
Shinhan Financial Group Company, Ltd. | 2,494 | 90,045 | 0.0% | ||||
Shinhan Financial Group Company, Ltd., ADR | 44,055 | 1,579,372 | 0.6% | ||||
SK Hynix, Inc. | 11,934 | 1,346,974 | 0.5% | ||||
OTHER SECURITIES | 22,151,617 | 8.0% | |||||
39,423,138 | |||||||
Taiwan - 17.2% | |||||||
Cathay Financial Holding Company, Ltd. (A) | 751,423 | 1,452,833 | 0.6% | ||||
China Steel Corp. | 836,180 | 1,187,504 | 0.5% | ||||
CTBC Financial Holding Company, Ltd. | 2,092,348 | 1,703,870 | 0.6% | ||||
Evergreen Marine Corp. Taiwan, Ltd. (A) | 250,655 | 1,770,491 | 0.7% | ||||
Fubon Financial Holding Company, Ltd. | 711,417 | 1,886,018 | 0.7% | ||||
Hon Hai Precision Industry Company, Ltd. | 792,448 | 3,181,684 | 1.2% | ||||
Taiwan Cement Corp. | 632,318 | 1,157,352 | 0.4% | ||||
United Microelectronics Corp. | 1,098,794 | 2,083,646 | 0.8% | ||||
Yuanta Financial Holding Company, Ltd. | 1,154,371 | 1,111,545 | 0.4% | ||||
OTHER SECURITIES | 30,395,600 | 11.3% | |||||
45,930,543 | |||||||
Thailand - 1.9% | |||||||
PTT PCL | 938,700 | 1,151,940 | 0.4% | ||||
OTHER SECURITIES | 3,861,088 | 1.5% | |||||
5,013,028 |
Shares or Principal Amount | Value | % of Net Assets | |||||
COMMON STOCKS (continued) | |||||||
Turkey - 0.5% | $ | 1,395,510 | 0.5% | ||||
Ukraine - 0.0% | 111,168 | 0.0% | |||||
United Arab Emirates - 0.6% | 1,496,727 | 0.6% | |||||
United States - 0.1% | 132,018 | 0.1% | |||||
TOTAL COMMON STOCKS (Cost $221,704,938) | $ | 258,326,664 | |||||
PREFERRED SECURITIES - 1.8% | |||||||
Brazil - 1.8% | |||||||
Banco Bradesco SA | 142,969 | 739,595 | 0.3% | ||||
Petroleo Brasileiro SA | 510,144 | 3,018,525 | 1.2% | ||||
OTHER SECURITIES | 893,019 | 0.3% | |||||
4,651,139 | |||||||
Colombia - 0.0% | 101,164 | 0.0% | |||||
Philippines - 0.0% | 16,487 | 0.0% | |||||
TOTAL PREFERRED SECURITIES (Cost $4,446,829) | $ | 4,768,790 | |||||
WARRANTS - 0.0% | 986 | 0.0% | |||||
TOTAL WARRANTS (Cost $0) | $ | 986 | |||||
SHORT-TERM INVESTMENTS - 1.0% | |||||||
Short-term funds - 1.0% | |||||||
John Hancock Collateral Trust, 0.0324% (D)(E) | 254,590 | 2,547,070 | 1.0% | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $2,547,135) | $ | 2,547,070 | |||||
Total Investments (Emerging Markets Value Trust) (Cost $228,698,902) - 99.3% | $ | 265,643,510 | 99.3% | ||||
Other assets and liabilities, net - 0.7% | 1,948,379 | 0.7% | |||||
TOTAL NET ASSETS - 100.0% | $ | 267,591,889 | 100.0% |
Security Abbreviations and Legend | |
ADR | American Depositary Receipt |
GDR | Global Depositary Receipt |
(A) | Non-income producing security. |
(B) | 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. |
(C) | All or a portion of this security is on loan as of 6-30-21. |
(D) | The rate shown is the annualized seven-day yield as of 6-30-21. |
(E) | Investment is an affiliate of the fund, the advisor and/or subadvisor. This security represents the investment of cash collateral received for securities lending. |
Open contracts | Number of contracts | Position | Expiration date | Notional basis^ | Notional value^ | Unrealized appreciation (depreciation) |
Mini MSCI Emerging Markets Index Futures | 30 | Long | Sep 2021 | $2,056,668 | $2,047,200 | $(9,468) |
$(9,468) |
The accompanying notes are an integral part of the financial statements. | 23 |
Shares or Principal Amount | Value | % of Net Assets | |||||
COMMON STOCKS - 97.4% | |||||||
Communication services - 5.0% | |||||||
Comcast Corp., Class A | 502,481 | $ | 28,651,467 | 1.7% | |||
News Corp., Class A | 801,465 | 20,653,753 | 1.2% | ||||
The Walt Disney Company (A) | 81,896 | 14,394,860 | 0.9% | ||||
OTHER SECURITIES | 19,724,201 | 1.2% | |||||
83,424,281 | |||||||
Consumer discretionary - 4.4% | |||||||
Las Vegas Sands Corp. (A) | 278,470 | 14,672,584 | 0.9% | ||||
Volkswagen AG, ADR | 775,705 | 19,423,653 | 1.2% | ||||
OTHER SECURITIES | 38,256,709 | 2.3% | |||||
72,352,946 | |||||||
Consumer staples - 6.9% | |||||||
Conagra Brands, Inc. | 537,475 | 19,553,341 | 1.2% | ||||
Kimberly-Clark Corp. | 149,778 | 20,037,301 | 1.2% | ||||
Philip Morris International, Inc. | 213,526 | 21,162,562 | 1.3% | ||||
Tyson Foods, Inc., Class A | 375,229 | 27,676,891 | 1.7% | ||||
OTHER SECURITIES | 26,349,313 | 1.5% | |||||
114,779,408 | |||||||
Energy - 6.2% | |||||||
EOG Resources, Inc. | 225,006 | 18,774,501 | 1.1% | ||||
Exxon Mobil Corp. | 238,889 | 15,069,118 | 0.9% | ||||
TotalEnergies SE | 630,852 | 28,578,724 | 1.7% | ||||
TotalEnergies SE, ADR | 108,235 | 4,898,716 | 0.3% | ||||
OTHER SECURITIES | 35,887,463 | 2.2% | |||||
103,208,522 | |||||||
Financials - 22.7% | |||||||
American International Group, Inc. | 730,856 | 34,788,746 | 2.1% | ||||
Chubb, Ltd. | 186,629 | 29,662,813 | 1.8% | ||||
Equitable Holdings, Inc. | 607,788 | 18,507,145 | 1.1% | ||||
Fifth Third Bancorp | 678,393 | 25,934,964 | 1.5% | ||||
JPMorgan Chase & Co. | 95,738 | 14,891,089 | 0.9% | ||||
Loews Corp. | 475,451 | 25,983,397 | 1.6% | ||||
MetLife, Inc. | 573,815 | 34,342,828 | 2.1% | ||||
Morgan Stanley | 272,143 | 24,952,792 | 1.5% | ||||
The Goldman Sachs Group, Inc. | 36,883 | 13,998,205 | 0.8% | ||||
The PNC Financial Services Group, Inc. | 77,176 | 14,722,094 | 0.9% | ||||
Wells Fargo & Company | 1,389,893 | 62,948,256 | 3.8% | ||||
OTHER SECURITIES | 76,289,112 | 4.6% | |||||
377,021,441 | |||||||
Health care - 14.4% | |||||||
AbbVie, Inc. | 240,467 | 27,086,203 | 1.6% | ||||
Anthem, Inc. | 85,730 | 32,731,714 | 2.0% | ||||
Becton, Dickinson and Company | 101,092 | 24,584,563 | 1.5% | ||||
CVS Health Corp. | 254,678 | 21,250,332 | 1.3% | ||||
Johnson & Johnson | 122,761 | 20,223,647 | 1.2% | ||||
Medtronic PLC | 205,258 | 25,478,676 | 1.5% | ||||
Pfizer, Inc. | 376,479 | 14,742,918 | 0.9% | ||||
OTHER SECURITIES | 72,939,495 | 4.4% | |||||
239,037,548 | |||||||
Industrials - 11.9% | |||||||
General Electric Company | 3,590,595 | 48,329,409 | 2.9% | ||||
L3Harris Technologies, Inc. | 119,161 | 25,756,650 | 1.6% | ||||
The Boeing Company (A) | 78,858 | 18,891,222 | 1.1% | ||||
United Parcel Service, Inc., Class B | 205,139 | 42,662,758 | 2.6% | ||||
OTHER SECURITIES | 61,427,125 | 3.7% | |||||
197,067,164 | |||||||
Information technology - 8.9% | |||||||
Applied Materials, Inc. | 151,740 | 21,607,776 | 1.3% |
Shares or Principal Amount | Value | % of Net Assets | |||||
COMMON STOCKS (continued) | |||||||
Information technology (continued) | |||||||
Cisco Systems, Inc. | 291,060 | $ | 15,426,180 | 0.9% | |||
Citrix Systems, Inc. | 122,485 | 14,363,816 | 0.9% | ||||
Microsoft Corp. | 87,553 | 23,718,108 | 1.4% | ||||
QUALCOMM, Inc. | 291,103 | 41,607,352 | 2.5% | ||||
Texas Instruments, Inc. | 95,691 | 18,401,379 | 1.1% | ||||
OTHER SECURITIES | 12,146,306 | 0.8% | |||||
147,270,917 | |||||||
Materials - 5.8% | |||||||
CF Industries Holdings, Inc. | 568,573 | 29,253,081 | 1.8% | ||||
International Flavors & Fragrances, Inc. | 120,307 | 17,973,866 | 1.1% | ||||
International Paper Company | 502,988 | 30,838,194 | 1.8% | ||||
OTHER SECURITIES | 18,478,509 | 1.1% | |||||
96,543,650 | |||||||
Real estate - 4.1% | |||||||
Equity Residential | 294,350 | 22,664,950 | 1.4% | ||||
Weyerhaeuser Company | 741,396 | 25,518,850 | 1.5% | ||||
OTHER SECURITIES | 19,908,135 | 1.2% | |||||
68,091,935 | |||||||
Utilities - 7.1% | |||||||
NextEra Energy, Inc. | 123,398 | 9,042,605 | 0.5% | ||||
NiSource, Inc. | 835,395 | 20,467,178 | 1.2% | ||||
Sempra Energy | 184,037 | 24,381,222 | 1.5% | ||||
The Southern Company | 635,241 | 38,438,433 | 2.3% | ||||
OTHER SECURITIES | 25,969,908 | 1.6% | |||||
118,299,346 | |||||||
TOTAL COMMON STOCKS (Cost $1,178,702,307) | $ | 1,617,097,158 | |||||
PREFERRED SECURITIES - 1.5% | |||||||
Health care - 0.4% | |||||||
Becton, Dickinson and Company, 6.000% (B) | 115,427 | 6,176,499 | 0.4% | ||||
Utilities - 1.1% | |||||||
NextEra Energy, Inc., 5.279% | 98,770 | 4,835,779 | 0.3% | ||||
NiSource, Inc., 7.750% | 47,031 | 4,834,316 | 0.3% | ||||
Sempra Energy, 6.750% | 24,765 | 2,446,039 | 0.1% | ||||
The Southern Company, 6.750% | 134,102 | 6,789,584 | 0.4% | ||||
18,905,718 | |||||||
TOTAL PREFERRED SECURITIES (Cost $24,559,464) | $ | 25,082,217 | |||||
SHORT-TERM INVESTMENTS - 1.6% | |||||||
Short-term funds - 1.6% | |||||||
John Hancock Collateral Trust, 0.0324% (C)(D) | 662,848 | 6,631,528 | 0.4% | ||||
T. Rowe Price Government Reserve Fund, 0.0295% (C) | 17,191,975 | 17,191,975 | 1.0% | ||||
OTHER SECURITIES | 3,000,066 | 0.2% | |||||
26,823,569 | |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $26,823,781) | $ | 26,823,569 | |||||
Total Investments (Equity Income Trust) (Cost $1,230,085,552) - 100.5% | $ | 1,669,002,944 | 100.5% | ||||
Other assets and liabilities, net - (0.5)% | (8,183,938) | (0.5)% | |||||
TOTAL NET ASSETS - 100.0% | $ | 1,660,819,006 | 100.0% |
Security Abbreviations and Legend | |
ADR | American Depositary Receipt |
(A) | Non-income producing security. |
(B) | All or a portion of this security is on loan as of 6-30-21. |
The accompanying notes are an integral part of the financial statements. | 24 |
(C) | The rate shown is the annualized seven-day yield as of 6-30-21. |
(D) | Investment is an affiliate of the fund, the advisor and/or subadvisor. This security represents the investment of cash collateral received for securities lending. |
Shares or Principal Amount | Value | % of Net Assets | |||||
COMMON STOCKS - 98.4% | |||||||
Financials - 89.5% | |||||||
3i Group PLC | 137,548 | $ | 2,232,248 | 1.3% | |||
American Express Company | 31,480 | 5,201,440 | 3.1% | ||||
Ameris Bancorp | 35,317 | 1,788,100 | 1.0% | ||||
Ares Management Corp., Class A | 61,684 | 3,922,486 | 2.3% | ||||
Arthur J. Gallagher & Company | 23,899 | 3,347,772 | 2.0% | ||||
Atlantic Union Bankshares Corp. | 49,292 | 1,785,356 | 1.0% | ||||
Bank of America Corp. | 125,976 | 5,193,990 | 3.0% | ||||
Berkshire Hathaway, Inc., Class B (A) | 7,017 | 1,950,165 | 1.1% | ||||
BlackRock, Inc. | 2,952 | 2,582,911 | 1.5% | ||||
Brookfield Asset Management, Inc., Class A | 80,153 | 4,086,200 | 2.4% | ||||
Brown & Brown, Inc. | 48,581 | 2,581,594 | 1.5% | ||||
CaixaBank SA | 542,320 | 1,669,643 | 1.0% | ||||
Capital One Financial Corp. | 28,670 | 4,434,962 | 2.6% | ||||
Chubb, Ltd. | 14,830 | 2,357,080 | 1.4% | ||||
Citizens Financial Group, Inc. | 111,360 | 5,108,084 | 3.0% | ||||
Close Brothers Group PLC | 84,193 | 1,764,483 | 1.0% | ||||
Danske Bank A/S | 92,918 | 1,636,371 | 1.0% | ||||
Discover Financial Services | 27,206 | 3,218,198 | 1.9% | ||||
Equitable Holdings, Inc. | 103,746 | 3,159,066 | 1.9% | ||||
Eurazeo SE | 18,774 | 1,636,855 | 1.0% | ||||
First Horizon Corp. | 144,107 | 2,490,169 | 1.5% | ||||
First Merchants Corp. | 38,163 | 1,590,252 | 0.9% | ||||
Huntington Bancshares, Inc. | 143,746 | 2,051,255 | 1.2% | ||||
JPMorgan Chase & Co. | 30,804 | 4,791,254 | 2.8% | ||||
Kinsale Capital Group, Inc. | 12,057 | 1,986,632 | 1.2% | ||||
KKR & Company, Inc. | 69,358 | 4,108,768 | 2.4% | ||||
Live Oak Bancshares, Inc. | 23,229 | 1,370,511 | 0.8% | ||||
Markel Corp. (A) | 2,150 | 2,551,427 | 1.5% | ||||
Marsh & McLennan Companies, Inc. | 16,700 | 2,349,356 | 1.4% | ||||
Nordea Bank ABP | 130,570 | 1,454,015 | 0.9% | ||||
Onex Corp. | 37,065 | 2,691,369 | 1.6% | ||||
Pinnacle Financial Partners, Inc. | 49,972 | 4,412,028 | 2.6% | ||||
Stock Yards Bancorp, Inc. | 35,133 | 1,787,918 | 1.0% | ||||
SVB Financial Group (A) | 7,089 | 3,944,532 | 2.3% | ||||
Synovus Financial Corp. | 71,151 | 3,122,106 | 1.8% | ||||
The Blackstone Group, Inc. | 42,964 | 4,173,523 | 2.4% | ||||
The Hanover Insurance Group, Inc. | 12,586 | 1,707,165 | 1.0% | ||||
The Hartford Financial Services Group, Inc. | 68,382 | 4,237,633 | 2.5% | ||||
Tradeweb Markets, Inc., Class A | 21,290 | 1,800,282 | 1.1% | ||||
Trean Insurance Group, Inc. (A) | 87,457 | 1,318,852 | 0.8% | ||||
TriCo Bancshares | 50,411 | 2,146,500 | 1.3% | ||||
U.S. Bancorp | 67,156 | 3,825,877 | 2.2% | ||||
Unum Group | 129,386 | 3,674,562 | 2.2% | ||||
Western Alliance Bancorp | 48,282 | �� | 4,482,984 | 2.6% | |||
Zions Bancorp NA | 54,790 | 2,896,199 | 1.7% | ||||
OTHER SECURITIES | 22,020,229 | 12.8% | |||||
152,642,402 |
Shares or Principal Amount | Value | % of Net Assets | |||||
COMMON STOCKS (continued) | |||||||
Information technology - 4.8% | |||||||
FleetCor Technologies, Inc. (A) | 9,109 | $ | 2,332,451 | 1.4% | |||
Visa, Inc., Class A | 22,648 | 5,295,555 | 3.1% | ||||
OTHER SECURITIES | 581,506 | 0.3% | |||||
8,209,512 | |||||||
Real estate - 4.1% | |||||||
Prologis, Inc. | 19,566 | 2,338,724 | 1.4% | ||||
Rexford Industrial Realty, Inc. | 29,152 | 1,660,206 | 1.0% | ||||
OTHER SECURITIES | 2,935,528 | 1.7% | |||||
6,934,458 | |||||||
TOTAL COMMON STOCKS (Cost $130,912,001) | $ | 167,786,372 | |||||
SHORT-TERM INVESTMENTS - 1.6% | |||||||
Repurchase agreement - 1.6% | |||||||
Repurchase Agreement with State Street Corp. dated 6-30-21 at 0.000% to be repurchased at $2,751,000 on 7-1-21, collateralized by $2,804,300 U.S. Treasury Notes, 0.099% due 1-31-23 (valued at $2,806,097) | $ | 2,751,000 | 2,751,000 | 1.6% | |||
TOTAL SHORT-TERM INVESTMENTS (Cost $2,751,000) | $ | 2,751,000 | |||||
Total Investments (Financial Industries Trust) (Cost $133,663,001) - 100.0% | $ | 170,537,372 | 100.0% | ||||
Other assets and liabilities, net - 0.0% | 1,076 | 0.0% | |||||
TOTAL NET ASSETS - 100.0% | $ | 170,538,448 | 100.0% |
Security Abbreviations and Legend | |
(A) | Non-income producing security. |
Shares or Principal Amount | Value | % of Net Assets | |||||
COMMON STOCKS - 98.6% | |||||||
Communication services - 16.4% | |||||||
Alphabet, Inc., Class A (A) | 60,841 | $ | 148,560,945 | 5.9% | |||
CarGurus, Inc. (A) | 1,460,541 | 38,309,990 | 1.5% | ||||
Facebook, Inc., Class A (A) | 383,760 | 133,437,190 | 5.3% | ||||
Liberty Broadband Corp., Series A (A) | 97,107 | 16,330,484 | 0.6% | ||||
Liberty Media Corp.-Liberty Formula One, Series C (A) | 1,405,169 | 67,743,197 | 2.7% | ||||
OTHER SECURITIES | 9,058,180 | 0.4% | |||||
413,439,986 | |||||||
Consumer discretionary - 19.2% | |||||||
Amazon.com, Inc. (A) | 51,157 | 175,988,265 | 7.0% | ||||
Dufry AG (A) | 485,666 | 28,818,588 | 1.1% | ||||
Group 1 Automotive, Inc. | 277,994 | 42,930,613 | 1.7% | ||||
Lennar Corp., A Shares | 1,151,295 | 114,381,158 | 4.5% | ||||
NVR, Inc. (A) | 4,853 | 24,135,425 | 0.9% | ||||
Polaris, Inc. | 552,844 | 75,717,514 | 3.0% | ||||
Salvatore Ferragamo SpA (A) | 1,150,855 | 24,677,109 | 1.0% | ||||
486,648,672 | |||||||
Consumer staples - 7.6% | |||||||
Anheuser-Busch InBev SA/NV, ADR | 372,801 | 26,845,400 | 1.1% | ||||
Diageo PLC, ADR | 114,873 | 22,020,005 | 0.9% | ||||
Heineken NV | 170,848 | 20,740,840 | 0.8% | ||||
Post Holdings, Inc. (A) | 713,217 | 77,362,647 | 3.0% |
The accompanying notes are an integral part of the financial statements. | 25 |
Shares or Principal Amount | Value | % of Net Assets | |||||
COMMON STOCKS (continued) | |||||||
Consumer staples (continued) | |||||||
The Hain Celestial Group, Inc. (A) | 812,593 | $ | 32,601,231 | 1.3% | |||
U.S. Foods Holding Corp. (A) | 356,896 | 13,690,531 | 0.5% | ||||
193,260,654 | |||||||
Energy - 5.3% | |||||||
Baker Hughes Company | 979,557 | 22,402,469 | 0.9% | ||||
Cheniere Energy, Inc. (A) | 773,930 | 67,130,688 | 2.7% | ||||
Valero Energy Corp. | 427,962 | 33,415,273 | 1.3% | ||||
OTHER SECURITIES | 11,048,995 | 0.4% | |||||
133,997,425 | |||||||
Financials - 17.3% | |||||||
American Express Company | 238,809 | 39,458,411 | 1.6% | ||||
Bank of America Corp. | 2,092,864 | 86,288,783 | 3.4% | ||||
First Hawaiian, Inc. | 2,898,865 | 82,153,834 | 3.2% | ||||
KKR & Company, Inc. | 767,089 | 45,442,352 | 1.8% | ||||
Morgan Stanley | 1,174,196 | 107,662,031 | 4.2% | ||||
Synchrony Financial | 402,103 | 19,510,038 | 0.8% | ||||
The Goldman Sachs Group, Inc. | 152,605 | 57,918,176 | 2.3% | ||||
438,433,625 | |||||||
Health care - 6.7% | |||||||
Alnylam Pharmaceuticals, Inc. (A) | 215,838 | 36,588,858 | 1.5% | ||||
Anthem, Inc. | 68,547 | 26,171,245 | 1.0% | ||||
Change Healthcare, Inc. (A) | 681,036 | 15,691,069 | 0.6% | ||||
Hologic, Inc. (A) | 791,530 | 52,810,882 | 2.1% | ||||
Moderna, Inc. (A) | 158,756 | 37,304,485 | 1.5% | ||||
168,566,539 | |||||||
Industrials - 8.7% | |||||||
IHS Markit, Ltd. | 519,818 | 58,562,696 | 2.3% | ||||
Parker-Hannifin Corp. | 112,984 | 34,698,516 | 1.4% | ||||
Regal Beloit Corp. | 161,347 | 21,541,438 | 0.9% | ||||
Roper Technologies, Inc. | 97,275 | 45,738,705 | 1.8% | ||||
Sensata Technologies Holding PLC (A) | 313,430 | 18,169,537 | 0.7% | ||||
United Rentals, Inc. (A) | 126,573 | 40,378,053 | 1.6% | ||||
219,088,945 | |||||||
Information technology - 12.6% | |||||||
Analog Devices, Inc. | 149,698 | 25,772,008 | 1.0% | ||||
Apple, Inc. | 648,680 | 88,843,213 | 3.5% | ||||
NVIDIA Corp. | 85,702 | 68,570,170 | 2.7% | ||||
salesforce.com, Inc. (A) | 214,047 | 52,285,261 | 2.1% | ||||
Samsung Electronics Company, Ltd. | 410,202 | 29,364,773 | 1.2% | ||||
Workday, Inc., Class A (A) | 220,319 | 52,598,958 | 2.1% | ||||
317,434,383 | |||||||
Materials - 0.9% | |||||||
Axalta Coating Systems, Ltd. (A) | 783,540 | 23,890,135 | 0.9% | ||||
Real estate - 3.9% | |||||||
American Tower Corp. | 203,854 | 55,069,120 | 2.2% | ||||
Crown Castle International Corp. | 122,855 | 23,969,011 | 0.9% | ||||
Five Point Holdings LLC, Class A (A) | 2,386,395 | 19,282,072 | 0.8% | ||||
98,320,203 | |||||||
TOTAL COMMON STOCKS (Cost $1,308,056,443) | $ | 2,493,080,567 |
Shares or Principal Amount | Value | % of Net Assets | |||||
SHORT-TERM INVESTMENTS - 1.4% | |||||||
Repurchase agreement - 1.4% | |||||||
Repurchase Agreement with State Street Corp. dated 6-30-21 at 0.000% to be repurchased at $35,082,000 on 7-1-21, collateralized by $33,173,800 U.S. Treasury Notes, 2.375% due 5-15-27 (valued at $35,783,641) | $ | 35,082,000 | $ | 35,082,000 | 1.4% | ||
TOTAL SHORT-TERM INVESTMENTS (Cost $35,082,000) | $ | 35,082,000 | |||||
Total Investments (Fundamental All Cap Core Trust) (Cost $1,343,138,443) - 100.0% | $ | 2,528,162,567 | 100.0% | ||||
Other assets and liabilities, net - (0.0)% | (540,244) | (0.0)% | |||||
TOTAL NET ASSETS - 100.0% | $ | 2,527,622,323 | 100.0% |
Security Abbreviations and Legend | |
ADR | American Depositary Receipt |
(A) | Non-income producing security. |
Shares or Principal Amount | Value | % of Net Assets | |||||
COMMON STOCKS - 97.6% | |||||||
Communication services - 9.9% | |||||||
Alphabet, Inc., Class A (A) | 10,019 | $ | 24,464,294 | 3.0% | |||
Comcast Corp., Class A | 619,178 | 35,305,530 | 4.4% | ||||
Fox Corp., Class B | 307,834 | 10,835,757 | 1.4% | ||||
Liberty Broadband Corp., Series A (A) | 54,560 | 9,175,355 | 1.1% | ||||
79,780,936 | |||||||
Consumer discretionary - 8.0% | |||||||
CarMax, Inc. (A) | 62,265 | 8,041,525 | 1.0% | ||||
eBay, Inc. | 310,545 | 21,803,364 | 2.7% | ||||
Group 1 Automotive, Inc. | 53,759 | 8,302,002 | 1.0% | ||||
Lennar Corp., A Shares | 269,386 | 26,763,499 | 3.3% | ||||
64,910,390 | |||||||
Consumer staples - 9.1% | |||||||
Anheuser-Busch InBev SA/NV, ADR | 215,540 | 15,521,035 | 1.9% | ||||
Danone SA | 217,834 | 15,325,689 | 1.9% | ||||
Heineken Holding NV | 121,876 | 12,298,357 | 1.5% | ||||
Post Holdings, Inc. (A) | 165,539 | 17,956,015 | 2.2% | ||||
Walmart, Inc. | 87,976 | 12,406,376 | 1.6% | ||||
73,507,472 | |||||||
Energy - 9.7% | |||||||
ChampionX Corp. (A) | 296,050 | 7,593,683 | 0.9% | ||||
Cheniere Energy, Inc. (A) | 293,933 | 25,495,748 | 3.2% | ||||
Chevron Corp. | 133,407 | 13,973,049 | 1.7% | ||||
Kinder Morgan, Inc. | 438,599 | 7,995,660 | 1.0% | ||||
Suncor Energy, Inc. | 634,892 | 15,218,361 | 1.9% | ||||
Valero Energy Corp. | 103,773 | 8,102,596 | 1.0% | ||||
78,379,097 | |||||||
Financials - 23.8% | |||||||
American Express Company | 87,871 | 14,518,925 | 1.8% | ||||
Bank of America Corp. | 365,644 | 15,075,502 | 1.9% | ||||
Berkshire Hathaway, Inc., Class B (A) | 59,819 | 16,624,896 | 2.1% | ||||
Citigroup, Inc. | 353,630 | 25,019,323 | 3.1% | ||||
JPMorgan Chase & Co. | 124,379 | 19,345,910 | 2.4% | ||||
KKR & Company, Inc. | 309,381 | 18,327,730 | 2.3% |
The accompanying notes are an integral part of the financial statements. | 26 |
Shares or Principal Amount | Value | % of Net Assets | |||||
COMMON STOCKS (continued) | |||||||
Financials (continued) | |||||||
Morgan Stanley | 154,865 | $ | 14,199,572 | 1.7% | |||
Nasdaq, Inc. | 112,157 | 19,717,201 | 2.4% | ||||
State Street Corp. | 165,872 | 13,647,948 | 1.7% | ||||
The Goldman Sachs Group, Inc. | 33,209 | 12,603,812 | 1.6% | ||||
Wells Fargo & Company | 499,950 | 22,642,736 | 2.8% | ||||
191,723,555 | |||||||
Health care - 13.4% | |||||||
Anthem, Inc. | 97,756 | 37,323,243 | 4.6% | ||||
Danaher Corp. | 56,406 | 15,137,114 | 1.9% | ||||
Gilead Sciences, Inc. | 91,807 | 6,321,830 | 0.8% | ||||
HCA Healthcare, Inc. | 30,985 | 6,405,839 | 0.8% | ||||
Hologic, Inc. (A) | 121,690 | 8,119,157 | 1.0% | ||||
Merck & Company, Inc. | 142,218 | 11,060,294 | 1.3% | ||||
UnitedHealth Group, Inc. | 30,432 | 12,186,190 | 1.5% | ||||
OTHER SECURITIES | 11,690,438 | 1.5% | |||||
108,244,105 | |||||||
Industrials - 12.3% | |||||||
Fortive Corp. | 111,656 | 7,786,889 | 0.9% | ||||
General Dynamics Corp. | 85,901 | 16,171,722 | 2.0% | ||||
L3Harris Technologies, Inc. | 36,436 | 7,875,641 | 1.0% | ||||
Parker-Hannifin Corp. | 85,855 | 26,366,929 | 3.3% | ||||
Raytheon Technologies Corp. | 261,785 | 22,332,878 | 2.8% | ||||
United Rentals, Inc. (A) | 59,299 | 18,916,974 | 2.3% | ||||
99,451,033 | |||||||
Information technology - 8.0% | |||||||
Analog Devices, Inc. | 49,175 | 8,465,968 | 1.1% | ||||
Microsoft Corp. | 66,716 | 18,073,364 | 2.2% | ||||
Oracle Corp. | 217,958 | 16,965,851 | 2.1% | ||||
Samsung Electronics Company, Ltd. | 157,290 | 11,259,782 | 1.4% | ||||
Vontier Corp. | 301,431 | 9,820,622 | 1.2% | ||||
64,585,587 | |||||||
Materials - 1.0% | |||||||
LyondellBasell Industries NV, Class A | 75,586 | 7,775,532 | 1.0% | ||||
Real estate - 2.4% | |||||||
American Tower Corp. | 72,396 | 19,557,055 | 2.4% | ||||
TOTAL COMMON STOCKS (Cost $545,721,942) | $ | 787,914,762 | |||||
SHORT-TERM INVESTMENTS - 2.8% | |||||||
Repurchase agreement - 2.8% | |||||||
Repurchase Agreement with State Street Corp. dated 6-30-21 at 0.000% to be repurchased at $22,470,000 on 7-1-21, collateralized by $21,247,800 U.S. Treasury Notes, 2.375% due 5-15-27 (valued at $22,919,402) | $ | 22,470,000 | 22,470,000 | 2.8% | |||
TOTAL SHORT-TERM INVESTMENTS (Cost $22,470,000) | $ | 22,470,000 | |||||
Total Investments (Fundamental Large Cap Value Trust) (Cost $568,191,942) - 100.4% | $ | 810,384,762 | 100.4% | ||||
Other assets and liabilities, net - (0.4)% | (3,583,698) | (0.4)% | |||||
TOTAL NET ASSETS - 100.0% | $ | 806,801,064 | 100.0% |
Security Abbreviations and Legend | |
ADR | American Depositary Receipt |
(A) | Non-income producing security. |
Shares or Principal Amount | Value | % of Net Assets | |||||
COMMON STOCKS - 95.9% | |||||||
China - 1.1% | |||||||
Alibaba Group Holding, Ltd., ADR (A) | 17,039 | $ | 3,864,104 | 1.1% | |||
France - 8.7% | |||||||
Capgemini SE | 43,166 | 8,301,387 | 2.4% | ||||
Cie Generale des Etablissements Michelin SCA | 47,524 | 7,584,593 | 2.1% | ||||
Sanofi | 93,084 | 9,779,625 | 2.8% | ||||
TotalEnergies SE | 109,830 | 4,975,485 | 1.4% | ||||
30,641,090 | |||||||
Germany - 1.3% | |||||||
Deutsche Post AG | 70,136 | 4,776,582 | 1.3% | ||||
Ireland - 2.0% | |||||||
CRH PLC | 139,685 | 7,064,039 | 2.0% | ||||
Japan - 4.1% | |||||||
FANUC Corp. | 19,471 | 4,669,103 | 1.3% | ||||
Mitsubishi Estate Company, Ltd. | 193,469 | 3,127,151 | 0.9% | ||||
Sumitomo Mitsui Financial Group, Inc. | 189,600 | 6,535,887 | 1.9% | ||||
14,332,141 | |||||||
Netherlands - 9.7% | |||||||
Akzo Nobel NV | 35,479 | 4,393,031 | 1.2% | ||||
ING Groep NV | 507,728 | 6,739,745 | 1.9% | ||||
Koninklijke Ahold Delhaize NV | 210,966 | 6,282,462 | 1.8% | ||||
Koninklijke Philips NV | 145,391 | 7,216,347 | 2.0% | ||||
Stellantis NV | 496,277 | 9,763,429 | 2.8% | ||||
34,395,014 | |||||||
Switzerland - 4.2% | |||||||
Chubb, Ltd. | 32,310 | 5,135,351 | 1.5% | ||||
Roche Holding AG | 25,791 | 9,719,032 | 2.7% | ||||
14,854,383 | |||||||
United Kingdom - 8.3% | |||||||
Associated British Foods PLC | 202,791 | 6,225,037 | 1.8% | ||||
Ferguson PLC | 40,872 | 5,686,402 | 1.6% | ||||
RELX PLC | 273,449 | 7,250,955 | 2.0% | ||||
Tesco PLC | 1,672,166 | 5,165,619 | 1.5% | ||||
Unilever PLC | 88,233 | 5,155,764 | 1.4% | ||||
29,483,777 | |||||||
United States - 56.5% | |||||||
Alexion Pharmaceuticals, Inc. (A) | 52,923 | 9,722,484 | 2.8% | ||||
Alphabet, Inc., Class A (A) | 7,006 | 17,107,181 | 4.8% | ||||
Apple, Inc. | 84,624 | 11,590,103 | 3.3% | ||||
Arthur J. Gallagher & Company | 48,585 | 6,805,787 | 1.9% | ||||
AutoZone, Inc. (A) | 7,383 | 11,017,060 | 3.1% | ||||
Bank of America Corp. | 230,168 | 9,489,827 | 2.7% | ||||
Comcast Corp., Class A | 157,086 | 8,957,044 | 2.5% | ||||
Corteva, Inc. | 158,161 | 7,014,440 | 2.0% | ||||
Electronic Arts, Inc. | 30,858 | 4,438,306 | 1.3% | ||||
Facebook, Inc., Class A (A) | 37,876 | 13,169,864 | 3.7% | ||||
Huntington Bancshares, Inc. | 392,544 | 5,601,603 | 1.6% | ||||
Johnson & Johnson | 52,520 | 8,652,145 | 2.4% | ||||
Johnson Controls International PLC | 83,282 | 5,715,644 | 1.6% | ||||
Kimberly-Clark Corp. | 34,379 | 4,599,223 | 1.3% | ||||
Lennar Corp., A Shares | 48,715 | 4,839,835 | 1.4% | ||||
Microsoft Corp. | 46,856 | 12,693,290 | 3.6% | ||||
Northrop Grumman Corp. | 24,251 | 8,813,541 | 2.5% | ||||
Oracle Corp. | 77,658 | 6,044,899 | 1.7% |
The accompanying notes are an integral part of the financial statements. | 27 |
Shares or Principal Amount | Value | % of Net Assets | |||||
COMMON STOCKS (continued) | |||||||
United States (continued) | |||||||
Philip Morris International, Inc. | 147,177 | $ | 14,586,712 | 4.1% | |||
Stanley Black & Decker, Inc. | 28,666 | 5,876,243 | 1.7% | ||||
The Home Depot, Inc. | 14,216 | 4,533,340 | 1.3% | ||||
T-Mobile US, Inc. (A) | 36,574 | 5,297,012 | 1.5% | ||||
Waste Management, Inc. | 50,517 | 7,077,937 | 2.0% | ||||
Wells Fargo & Company | 133,168 | 6,031,179 | 1.7% | ||||
199,674,699 | |||||||
TOTAL COMMON STOCKS (Cost $273,907,703) | $ | 339,085,829 | |||||
PREFERRED SECURITIES - 2.9% | |||||||
South Korea - 2.9% | |||||||
Samsung Electronics Company, Ltd. | 159,654 | 10,449,367 | 2.9% | ||||
TOTAL PREFERRED SECURITIES (Cost $6,281,297) | $ | 10,449,367 |
Shares or Principal Amount | Value | % of Net Assets | |||||
SHORT-TERM INVESTMENTS - 1.3% | |||||||
Short-term funds - 1.3% | |||||||
Federated Government Obligations Fund, Institutional Class, 0.0100% (B) | 4,524,300 | $ | 4,524,300 | 1.3% | |||
TOTAL SHORT-TERM INVESTMENTS (Cost $4,524,300) | $ | 4,524,300 | |||||
Total Investments (Global Equity Trust) (Cost $284,713,300) - 100.1% | $ | 354,059,496 | 100.1% | ||||
Other assets and liabilities, net - (0.1)% | (474,138) | (0.1)% | |||||
TOTAL NET ASSETS - 100.0% | $ | 353,585,358 | 100.0% |
Security Abbreviations and Legend | |
ADR | American Depositary Receipt |
(A) | Non-income producing security. |
(B) | The rate shown is the annualized seven-day yield as of 6-30-21. |
Contract to buy | Contract to sell | Counterparty (OTC) | Contractual settlement date | Unrealized appreciation | Unrealized depreciation | ||
EUR | 8,692,132 | USD | 10,630,034 | GSI | 7/21/2021 | — | $(319,180) |
USD | 10,591,719 | EUR | 8,692,132 | RBCD | 7/21/2021 | $280,865 | — |
$280,865 | $(319,180) |
Derivatives Currency Abbreviations | |
EUR | Euro |
USD | U.S. Dollar |
Derivatives Abbreviations | |
GSI | Goldman Sachs International |
OTC | Over-the-counter |
RBCD | RBC Dominion Securities, Inc. |
Shares or Principal Amount | Value | % of Net Assets | |||||
COMMON STOCKS - 98.5% | |||||||
Consumer discretionary - 0.2% | $ | 544,627 | 0.2% | ||||
Consumer staples - 0.0% | 32,592 | 0.0% | |||||
Financials - 0.6% | 2,114,429 | 0.6% | |||||
Health care - 97.7% | |||||||
10X Genomics, Inc., Class A (A) | 9,307 | 1,822,497 | 0.5% | ||||
AbbVie, Inc. | 51,094 | 5,755,228 | 1.7% | ||||
Acceleron Pharma, Inc. (A) | 26,083 | 3,273,156 | 1.0% | ||||
Agilent Technologies, Inc. | 39,844 | 5,889,342 | 1.7% | ||||
Alnylam Pharmaceuticals, Inc. (A) | 19,267 | 3,266,142 | 1.0% | ||||
Amgen, Inc. | 15,508 | 3,780,075 | 1.1% | ||||
Anthem, Inc. | 14,282 | 5,452,868 | 1.6% | ||||
Argenx SE, ADR (A) | 15,031 | 4,525,383 | 1.3% | ||||
Ascendis Pharma A/S, ADR (A) | 13,323 | 1,752,641 | 0.5% | ||||
AstraZeneca PLC, ADR | 93,760 | 5,616,224 | 1.7% | ||||
Avantor, Inc. (A) | 72,058 | 2,558,780 | 0.8% |
Shares or Principal Amount | Value | % of Net Assets | |||||
COMMON STOCKS (continued) | |||||||
Health care (continued) | |||||||
Becton, Dickinson and Company | 17,277 | $ | 4,201,594 | 1.2% | |||
Biogen, Inc. (A) | 10,185 | 3,526,760 | 1.0% | ||||
BioNTech SE, ADR (A) | 27,532 | 6,163,864 | 1.8% | ||||
Bruker Corp. | 34,931 | 2,654,057 | 0.8% | ||||
Centene Corp. (A) | 82,925 | 6,047,720 | 1.8% | ||||
Cigna Corp. | 26,466 | 6,274,295 | 1.9% | ||||
Danaher Corp. | 43,522 | 11,679,564 | 3.5% | ||||
Denali Therapeutics, Inc. (A) | 28,647 | 2,247,071 | 0.7% | ||||
DexCom, Inc. (A) | 5,303 | 2,264,381 | 0.7% | ||||
Doximity, Inc., Class A (A) | 10,171 | 591,952 | 0.2% | ||||
Doximity, Inc., Class B (A)(B) | 63,222 | 3,412,807 | 1.0% | ||||
Eli Lilly & Company | 51,965 | 11,927,007 | 3.5% | ||||
Exact Sciences Corp. (A) | 27,175 | 3,378,124 | 1.0% | ||||
Exelixis, Inc. (A) | 102,725 | 1,871,650 | 0.6% | ||||
HCA Healthcare, Inc. | 20,376 | 4,212,534 | 1.2% | ||||
Hologic, Inc. (A) | 47,489 | 3,168,466 | 0.9% | ||||
Humana, Inc. | 14,022 | 6,207,820 | 1.8% | ||||
Incyte Corp. (A) | 45,661 | 3,841,460 | 1.1% |
The accompanying notes are an integral part of the financial statements. | 28 |
Shares or Principal Amount | Value | % of Net Assets | |||||
COMMON STOCKS (continued) | |||||||
Health care (continued) | |||||||
Intuitive Surgical, Inc. (A) | 13,392 | $ | 12,315,819 | 3.6% | |||
Kodiak Sciences, Inc. (A) | 21,111 | 1,963,323 | 0.6% | ||||
Merck & Company, Inc. | 62,313 | 4,846,082 | 1.4% | ||||
Mirati Therapeutics, Inc. (A) | 11,094 | 1,792,014 | 0.5% | ||||
Moderna, Inc. (A) | 24,256 | 5,699,675 | 1.7% | ||||
Molina Healthcare, Inc. (A) | 11,839 | 2,995,977 | 0.9% | ||||
Novocure, Ltd. (A) | 11,724 | 2,600,618 | 0.8% | ||||
Pacific Biosciences of California, Inc. (A) | 51,594 | 1,804,242 | 0.5% | ||||
Penumbra, Inc. (A) | 10,493 | 2,875,712 | 0.9% | ||||
Regeneron Pharmaceuticals, Inc. (A) | 8,356 | 4,667,160 | 1.4% | ||||
Roche Holding AG | 8,260 | 3,112,681 | 0.9% | ||||
Seagen, Inc. (A) | 17,739 | 2,800,633 | 0.8% | ||||
Shockwave Medical, Inc. (A) | 15,493 | 2,939,487 | 0.9% | ||||
Stryker Corp. | 30,619 | 7,952,673 | 2.3% | ||||
Teleflex, Inc. | 6,780 | 2,724,136 | 0.8% | ||||
Thermo Fisher Scientific, Inc. | 25,077 | 12,650,594 | 3.7% | ||||
Ultragenyx Pharmaceutical, Inc. (A) | 26,048 | 2,483,677 | 0.7% | ||||
UnitedHealth Group, Inc. | 51,699 | 20,702,343 | 6.1% | ||||
Veeva Systems, Inc., Class A (A) | 10,139 | 3,152,722 | 0.9% | ||||
Vertex Pharmaceuticals, Inc. (A) | 38,112 | 7,684,523 | 2.3% | ||||
West Pharmaceutical Services, Inc. | 10,799 | 3,877,921 | 1.1% | ||||
OTHER SECURITIES | 91,770,079 | 27.3% | |||||
330,775,553 | |||||||
TOTAL COMMON STOCKS (Cost $206,796,964) | $ | 333,467,201 | |||||
PREFERRED SECURITIES - 0.8% | |||||||
Consumer discretionary - 0.2% | 814,367 | 0.2% | |||||
Health care - 0.6% | |||||||
Sartorius AG | 3,704 | 1,927,961 | 0.6% | ||||
TOTAL PREFERRED SECURITIES (Cost $933,774) | $ | 2,742,328 | |||||
WARRANTS - 0.0% | 53,446 | 0.0% | |||||
TOTAL WARRANTS (Cost $7,214) | $ | 53,446 | |||||
SHORT-TERM INVESTMENTS - 0.7% | |||||||
Short-term funds - 0.7% | 2,310,929 | 0.7% | |||||
TOTAL SHORT-TERM INVESTMENTS (Cost $2,310,929) | $ | 2,310,929 | |||||
Total Investments (Health Sciences Trust) (Cost $210,048,881) - 100.0% | $ | 338,573,904 | 100.0% | ||||
Other assets and liabilities, net - 0.0% | 162,546 | 0.0% | |||||
TOTAL NET ASSETS - 100.0% | $ | 338,736,450 | 100.0% |
Security Abbreviations and Legend | |
ADR | American Depositary Receipt |
(A) | Non-income producing security. |
(B) | Restricted security as to resale, excluding 144A securities. For more information on this security refer to the Notes to financial statements. |
Shares or Principal Amount | Value | % of Net Assets | |||||
COMMON STOCKS - 96.3% | |||||||
Argentina - 0.0% | $ | 29,484 | 0.0% |
Shares or Principal Amount | Value | % of Net Assets | |||||
COMMON STOCKS (continued) | |||||||
Australia - 4.5% | |||||||
BHP Group, Ltd. | 97,792 | $ | 3,557,709 | 0.4% | |||
Commonwealth Bank of Australia | 58,894 | 4,410,146 | 0.5% | ||||
CSL, Ltd. | 15,105 | 3,230,490 | 0.4% | ||||
OTHER SECURITIES | 31,437,767 | 3.2% | |||||
42,636,112 | |||||||
Austria - 0.1% | 1,235,558 | 0.1% | |||||
Belgium - 0.6% | 5,167,275 | 0.6% | |||||
Brazil - 1.1% | |||||||
Vale SA | 130,797 | 2,978,158 | 0.3% | ||||
OTHER SECURITIES | 7,717,390 | 0.8% | |||||
10,695,548 | |||||||
Canada - 7.0% | |||||||
Enbridge, Inc. | 68,500 | 2,742,542 | 0.3% | ||||
Manulife Financial Corp. (A) | 66,100 | 1,301,097 | 0.2% | ||||
Royal Bank of Canada | 47,300 | 4,792,197 | 0.5% | ||||
Shopify, Inc., Class A (B) | 3,700 | 5,411,116 | 0.6% | ||||
The Bank of Nova Scotia | 40,200 | 2,614,492 | 0.3% | ||||
The Toronto-Dominion Bank | 60,272 | 4,223,805 | 0.5% | ||||
OTHER SECURITIES | 44,365,209 | 4.6% | |||||
65,450,458 | |||||||
Chile - 0.1% | 866,551 | 0.1% | |||||
China - 10.2% | |||||||
Alibaba Group Holding, Ltd., ADR (B) | 63,000 | 14,287,140 | 1.5% | ||||
China Construction Bank Corp., Class A | 15,400 | 15,849 | 0.0% | ||||
China Construction Bank Corp., H Shares | 3,209,914 | 2,518,831 | 0.3% | ||||
Meituan, Class B (B)(C) | 120,300 | 4,962,515 | 0.6% | ||||
Tencent Holdings, Ltd. | 191,200 | 14,395,928 | 1.6% | ||||
OTHER SECURITIES | 59,959,287 | 6.2% | |||||
96,139,550 | |||||||
Colombia - 0.0% | 249,684 | 0.0% | |||||
Czech Republic - 0.0% | 323,205 | 0.0% | |||||
Denmark - 1.6% | |||||||
Novo Nordisk A/S, B Shares | 58,071 | 4,861,045 | 0.5% | ||||
OTHER SECURITIES | 10,179,387 | 1.1% | |||||
15,040,432 | |||||||
Egypt - 0.0% | 172,646 | 0.0% | |||||
Finland - 0.8% | 7,542,565 | 0.8% | |||||
France - 6.9% | |||||||
Air Liquide SA | 15,910 | 2,789,813 | 0.3% | ||||
Airbus SE (B) | 19,831 | 2,555,275 | 0.3% | ||||
L'Oreal SA | 8,487 | 3,790,234 | 0.4% | ||||
LVMH Moet Hennessy Louis Vuitton SE | 9,362 | 7,364,666 | 0.8% | ||||
Sanofi | 38,211 | 4,014,538 | 0.4% | ||||
Schneider Electric SE | 17,545 | 2,765,867 | 0.3% | ||||
Schneider Electric SE (Euronext London Exchange) | 623 | 98,041 | 0.0% | ||||
TotalEnergies SE | 85,421 | 3,869,716 | 0.4% | ||||
OTHER SECURITIES | 37,603,711 | 4.0% | |||||
64,851,861 | |||||||
Germany - 5.4% | |||||||
Allianz SE | 13,687 | 3,415,678 | 0.4% | ||||
Daimler AG | 28,412 | 2,538,852 | 0.3% | ||||
SAP SE | 35,216 | 4,946,420 | 0.5% | ||||
Siemens AG | 25,395 | 4,032,178 | 0.4% |
The accompanying notes are an integral part of the financial statements. | 29 |
Shares or Principal Amount | Value | % of Net Assets | |||||
COMMON STOCKS (continued) | |||||||
Germany (continued) | |||||||
OTHER SECURITIES | $ | 35,502,879 | 3.8% | ||||
50,436,007 | |||||||
Greece - 0.1% | 467,992 | 0.1% | |||||
Hong Kong - 2.6% | |||||||
AIA Group, Ltd. | 404,000 | 5,011,854 | 0.6% | ||||
OTHER SECURITIES | 19,440,480 | 2.0% | |||||
24,452,334 | |||||||
Hungary - 0.1% | 615,167 | 0.1% | |||||
India - 2.9% | |||||||
Infosys, Ltd., ADR | 133,708 | 2,833,273 | 0.3% | ||||
Reliance Industries, Ltd. | 7,646 | 217,564 | 0.0% | ||||
Reliance Industries, Ltd., GDR (C) | 44,280 | 2,504,967 | 0.3% | ||||
OTHER SECURITIES | 21,647,714 | 2.3% | |||||
27,203,518 | |||||||
Indonesia - 0.3% | 3,029,179 | 0.3% | |||||
Ireland - 0.7% | 6,141,934 | 0.7% | |||||
Isle of Man - 0.1% | 469,450 | 0.1% | |||||
Israel - 0.4% | 3,613,956 | 0.4% | |||||
Italy - 1.3% | |||||||
Enel SpA | 277,869 | 2,582,196 | 0.3% | ||||
OTHER SECURITIES | 9,544,476 | 1.0% | |||||
12,126,672 | |||||||
Japan - 14.3% | |||||||
Keyence Corp. | 6,396 | 3,221,175 | 0.4% | ||||
SoftBank Group Corp. | 41,400 | 2,887,311 | 0.3% | ||||
Sony Group Corp. | 42,500 | 4,121,109 | 0.5% | ||||
Toyota Motor Corp. | 71,480 | 6,248,360 | 0.7% | ||||
OTHER SECURITIES | 117,732,116 | 12.4% | |||||
134,210,071 | |||||||
Jordan - 0.0% | 194,218 | 0.0% | |||||
Luxembourg - 0.2% | 1,813,979 | 0.2% | |||||
Macau - 0.0% | 438,384 | 0.0% | |||||
Malaysia - 0.4% | 3,609,058 | 0.4% | |||||
Mexico - 0.5% | 4,773,368 | 0.5% | |||||
Netherlands - 3.5% | |||||||
ASML Holding NV | 13,926 | 9,613,363 | 1.0% | ||||
Royal Dutch Shell PLC, A Shares | 138,310 | 2,772,818 | 0.3% | ||||
Royal Dutch Shell PLC, B Shares | 124,526 | 2,417,395 | 0.3% | ||||
OTHER SECURITIES | 17,802,751 | 1.9% | |||||
32,606,327 | |||||||
New Zealand - 0.2% | 1,801,378 | 0.2% | |||||
Norway - 0.4% | 3,907,913 | 0.4% | |||||
Peru - 0.1% | 552,617 | 0.1% | |||||
Philippines - 0.2% | 1,780,398 | 0.2% | |||||
Poland - 0.2% | 2,208,918 | 0.2% | |||||
Portugal - 0.1% | 824,051 | 0.1% | |||||
Romania - 0.0% | 106,424 | 0.0% | |||||
Russia - 0.9% | 8,627,078 | 0.9% | |||||
Saudi Arabia - 0.8% | 7,883,363 | 0.8% | |||||
Singapore - 0.7% | 6,430,049 | 0.7% | |||||
South Africa - 1.1% | |||||||
Naspers, Ltd., N Shares | 14,633 | 3,085,324 | 0.3% | ||||
OTHER SECURITIES | 6,760,061 | 0.8% | |||||
9,845,385 |
Shares or Principal Amount | Value | % of Net Assets | |||||
COMMON STOCKS (continued) | |||||||
South Korea - 3.6% | |||||||
Samsung Electronics Company, Ltd. | 158,644 | $ | 11,356,714 | 1.2% | |||
OTHER SECURITIES | 22,399,678 | 2.4% | |||||
33,756,392 | |||||||
Spain - 1.5% | 14,537,348 | 1.5% | |||||
Sweden - 2.2% | 20,518,477 | 2.2% | |||||
Switzerland - 6.3% | |||||||
Nestle SA | 95,776 | 11,938,199 | 1.3% | ||||
Novartis AG | 74,879 | 6,830,955 | 0.7% | ||||
Roche Holding AG | 23,693 | 8,928,426 | 1.0% | ||||
Roche Holding AG, Bearer Shares | 1,064 | 432,729 | 0.1% | ||||
OTHER SECURITIES | 31,061,301 | 3.2% | |||||
59,191,610 | |||||||
Taiwan - 4.0% | |||||||
Taiwan Semiconductor Manufacturing Company, Ltd. | 813,227 | 17,515,289 | 1.9% | ||||
OTHER SECURITIES | 20,427,593 | 2.1% | |||||
37,942,882 | |||||||
Thailand - 0.4% | 4,196,116 | 0.4% | |||||
Turkey - 0.1% | 722,292 | 0.1% | |||||
United Arab Emirates - 0.0% | 1,685 | 0.0% | |||||
United Kingdom - 7.7% | |||||||
AstraZeneca PLC | 44,092 | 5,297,392 | 0.6% | ||||
BP PLC | 683,369 | 2,996,839 | 0.3% | ||||
British American Tobacco PLC | 72,353 | 2,809,144 | 0.3% | ||||
Diageo PLC | 78,828 | 3,778,105 | 0.4% | ||||
GlaxoSmithKline PLC | 169,205 | 3,326,413 | 0.4% | ||||
HSBC Holdings PLC | 686,857 | 3,964,196 | 0.4% | ||||
Rio Tinto PLC | 37,839 | 3,125,025 | 0.3% | ||||
Unilever PLC | 37,651 | 2,200,080 | 0.2% | ||||
Unilever PLC (Euronext Amsterdam Exchange) | 49,466 | 2,899,146 | 0.3% | ||||
OTHER SECURITIES | 42,249,078 | 4.5% | |||||
72,645,418 | |||||||
United States - 0.1% | 473,306 | 0.1% | |||||
Uruguay - 0.0% | 263,016 | 0.0% | |||||
TOTAL COMMON STOCKS (Cost $594,987,579) | $ | 904,818,659 | |||||
PREFERRED SECURITIES - 1.0% | |||||||
Brazil - 0.4% | 3,624,589 | 0.4% | |||||
Germany - 0.4% | 3,775,183 | 0.4% | |||||
South Korea - 0.2% | |||||||
Samsung Electronics Company, Ltd. | 27,037 | 1,769,574 | 0.2% | ||||
OTHER SECURITIES | 282,312 | 0.0% | |||||
2,051,886 | |||||||
TOTAL PREFERRED SECURITIES (Cost $6,919,013) | $ | 9,451,658 | |||||
CORPORATE BONDS - 0.0% | |||||||
India - 0.0% | 1,428 | 0.0% | |||||
TOTAL CORPORATE BONDS (Cost $1,439) | $ | 1,428 | |||||
RIGHTS - 0.0% | 14,843 | 0.0% | |||||
TOTAL RIGHTS (Cost $16,086) | $ | 14,843 | |||||
WARRANTS - 0.0% | 1,281 | 0.0% | |||||
TOTAL WARRANTS (Cost $0) | $ | 1,281 |
The accompanying notes are an integral part of the financial statements. | 30 |
Shares or Principal Amount | Value | % of Net Assets | |||||
SHORT-TERM INVESTMENTS - 2.1% | |||||||
Short-term funds - 2.1% | |||||||
Fidelity Institutional Money Market Government Portfolio, Institutional Class, 0.0100% (D) | 12,319,307 | $ | 12,319,307 | 1.3% | |||
John Hancock Collateral Trust, 0.0324% (D)(E) | 737,106 | 7,374,447 | 0.8% | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $19,693,909) | $ | 19,693,754 | |||||
Total Investments (International Equity Index Trust) (Cost $621,618,026) - 99.4% | $ | 933,981,623 | 99.4% | ||||
Other assets and liabilities, net - 0.6% | 6,087,993 | 0.6% | |||||
TOTAL NET ASSETS - 100.0% | $ | 940,069,616 | 100.0% |
Security Abbreviations and Legend | |
ADR | American Depositary Receipt |
GDR | Global Depositary Receipt |
(A) | Investment is an affiliate of the fund, the advisor and/or subadvisor. |
(B) | Non-income producing security. |
(C) | 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. |
(D) | The rate shown is the annualized seven-day yield as of 6-30-21. |
(E) | Investment is an affiliate of the fund, the advisor and/or subadvisor. This security represents the investment of cash collateral received for securities lending. |
Open contracts | Number of contracts | Position | Expiration date | Notional basis^ | Notional value^ | Unrealized appreciation (depreciation) |
Mini MSCI EAFE Index Futures | 17 | Long | Sep 2021 | $2,008,004 | $1,958,655 | $(49,349) |
Mini MSCI Emerging Markets Index Futures | 350 | Long | Sep 2021 | 23,989,098 | 23,884,000 | (105,098) |
$(154,447) |
Shares or Principal Amount | Value | % of Net Assets | |||||
COMMON STOCKS - 98.4% | |||||||
Australia - 6.6% | |||||||
OZ Minerals, Ltd. | 18,111 | $ | 304,481 | 0.3% | |||
OTHER SECURITIES | 8,243,900 | 6.3% | |||||
8,548,381 | |||||||
Austria - 1.6% | |||||||
ams AG (A) | 10,399 | 208,909 | 0.2% | ||||
Wienerberger AG | 5,497 | 211,888 | 0.2% | ||||
OTHER SECURITIES | 1,668,692 | 1.2% | |||||
2,089,489 | |||||||
Belgium - 1.5% | 1,878,936 | 1.5% | |||||
Bermuda - 0.1% | 95,981 | 0.1% | |||||
Cambodia - 0.0% | 38,576 | 0.0% | |||||
Canada - 10.5% | |||||||
ARC Resources, Ltd. | 28,718 | 244,413 | 0.2% | ||||
BlackBerry, Ltd. (A) | 6,480 | 79,197 | 0.1% | ||||
BlackBerry, Ltd. (New York Stock Exchange) (A) | 14,111 | 172,436 | 0.1% | ||||
Finning International, Inc. | 8,181 | 214,161 | 0.2% | ||||
Stantec, Inc. | 5,278 | 235,500 | 0.2% | ||||
TFI International, Inc. | 2,725 | 248,780 | 0.2% | ||||
OTHER SECURITIES | 12,351,586 | 9.5% | |||||
13,546,073 | |||||||
China - 0.1% | 82,511 | 0.1% | |||||
Denmark - 2.1% | |||||||
Royal Unibrew A/S | 2,377 | 302,884 | 0.2% | ||||
SimCorp A/S | 1,846 | 231,862 | 0.2% |
Shares or Principal Amount | Value | % of Net Assets | |||||
COMMON STOCKS (continued) | |||||||
Denmark (continued) | |||||||
OTHER SECURITIES | $ | 2,161,407 | 1.7% | ||||
2,696,153 | |||||||
Finland - 2.4% | |||||||
Huhtamaki OYJ | 4,496 | 213,254 | 0.2% | ||||
Nokian Renkaat OYJ | 5,747 | 232,166 | 0.2% | ||||
Orion OYJ, Class A | 982 | 42,151 | 0.0% | ||||
Orion OYJ, Class B | 4,360 | 187,455 | 0.2% | ||||
Valmet OYJ | 6,269 | 273,762 | 0.2% | ||||
OTHER SECURITIES | 2,169,914 | 1.6% | |||||
3,118,702 | |||||||
France - 4.2% | |||||||
Faurecia SE | 4,730 | 232,528 | 0.2% | ||||
Rexel SA (A) | 15,736 | 329,482 | 0.3% | ||||
SCOR SE (B) | 6,780 | 215,842 | 0.2% | ||||
SOITEC (A) | 1,176 | 259,687 | 0.2% | ||||
OTHER SECURITIES | 4,321,309 | 3.3% | |||||
5,358,848 | |||||||
Gabon - 0.0% | 3,382 | 0.0% | |||||
Georgia - 0.0% | 61,571 | 0.0% | |||||
Germany - 6.2% | |||||||
Commerzbank AG (A) | 30,403 | 215,912 | 0.2% | ||||
GEA Group AG | 7,088 | 287,206 | 0.2% | ||||
LANXESS AG | 4,346 | 298,261 | 0.2% | ||||
ProSiebenSat.1 Media SE | 10,428 | 207,928 | 0.2% | ||||
Rheinmetall AG | 2,219 | 219,266 | 0.2% | ||||
TAG Immobilien AG | 7,456 | 236,329 | 0.2% |
The accompanying notes are an integral part of the financial statements. | 31 |
Shares or Principal Amount | Value | % of Net Assets | |||||
COMMON STOCKS (continued) | |||||||
Germany (continued) | |||||||
OTHER SECURITIES | $ | 6,596,342 | 5.0% | ||||
8,061,244 | |||||||
Gibraltar - 0.1% | 84,282 | 0.1% | |||||
Greece - 0.0% | 72 | 0.0% | |||||
Guernsey, Channel Islands - 0.0% | 2,097 | 0.0% | |||||
Hong Kong - 2.5% | |||||||
SITC International Holdings Company, Ltd. | 51,000 | 213,126 | 0.2% | ||||
OTHER SECURITIES | 3,029,669 | 2.3% | |||||
3,242,795 | |||||||
Ireland - 0.8% | 996,317 | 0.8% | |||||
Isle of Man - 0.1% | 123,308 | 0.1% | |||||
Israel - 1.5% | 1,922,097 | 1.5% | |||||
Italy - 3.2% | |||||||
Banco BPM SpA | 92,714 | 298,829 | 0.2% | ||||
OTHER SECURITIES | 3,851,157 | 3.0% | |||||
4,149,986 | |||||||
Japan - 22.1% | 28,487,782 | 22.1% | |||||
Jersey, Channel Islands - 0.2% | 195,963 | 0.2% | |||||
Liechtenstein - 0.0% | 64,058 | 0.0% | |||||
Luxembourg - 0.6% | 745,518 | 0.6% | |||||
Macau - 0.0% | 19,545 | 0.0% | |||||
Malaysia - 0.2% | 197,698 | 0.2% | |||||
Malta - 0.1% | 185,709 | 0.1% | |||||
Netherlands - 2.8% | |||||||
Aalberts NV | 4,827 | 259,980 | 0.2% | ||||
ASR Nederland NV | 6,907 | 267,449 | 0.2% | ||||
BE Semiconductor Industries NV | 3,676 | 313,260 | 0.3% | ||||
Euronext NV (C) | 2,271 | 247,058 | 0.2% | ||||
IMCD NV | 2,557 | 407,419 | 0.3% | ||||
Signify NV (C) | 5,815 | 369,123 | 0.3% | ||||
OTHER SECURITIES | 1,711,718 | 1.3% | |||||
3,576,007 | |||||||
New Zealand - 0.6% | 743,603 | 0.6% | |||||
Norway - 0.8% | 1,072,502 | 0.8% | |||||
Peru - 0.0% | 35,121 | 0.0% | |||||
Portugal - 0.3% | 336,002 | 0.3% | |||||
Russia - 0.0% | 51,214 | 0.0% | |||||
Singapore - 1.3% | 1,630,735 | 1.3% | |||||
South Africa - 0.1% | 170,853 | 0.1% | |||||
Spain - 2.0% | 2,571,715 | 2.0% | |||||
Sweden - 3.6% | 4,678,666 | 3.6% | |||||
Switzerland - 6.4% | |||||||
Belimo Holding AG | 500 | 228,983 | 0.2% | ||||
Bucher Industries AG | 428 | 224,121 | 0.2% | ||||
Georg Fischer AG | 202 | 299,972 | 0.2% | ||||
PSP Swiss Property AG | 2,294 | 291,290 | 0.2% |
Shares or Principal Amount | Value | % of Net Assets | |||||
COMMON STOCKS (continued) | |||||||
Switzerland (continued) | |||||||
Siegfried Holding AG (A) | 220 | $ | 206,459 | 0.2% | |||
Swiss Prime Site AG | 2,097 | 208,121 | 0.2% | ||||
VAT Group AG (C) | 1,510 | 502,164 | 0.4% | ||||
OTHER SECURITIES | 6,251,314 | 4.8% | |||||
8,212,424 | |||||||
Taiwan - 0.0% | 0 | 0.0% | |||||
United Arab Emirates - 0.0% | 27,195 | 0.0% | |||||
United Kingdom - 13.2% | |||||||
Bellway PLC | 5,109 | 228,889 | 0.2% | ||||
Dialog Semiconductor PLC (A) | 4,280 | 332,886 | 0.3% | ||||
Diploma PLC | 5,901 | 237,387 | 0.2% | ||||
Games Workshop Group PLC | 1,599 | 252,167 | 0.2% | ||||
IG Group Holdings PLC | 18,323 | 214,714 | 0.2% | ||||
IMI PLC | 13,430 | 319,629 | 0.3% | ||||
Inchcape PLC | 19,909 | 211,882 | 0.2% | ||||
Royal Mail PLC (A) | 44,161 | 353,104 | 0.3% | ||||
Spectris PLC | 5,368 | 240,765 | 0.2% | ||||
Tate & Lyle PLC | 23,148 | 236,755 | 0.2% | ||||
Travis Perkins PLC (A) | 11,685 | 273,397 | 0.2% | ||||
OTHER SECURITIES | 14,138,177 | 10.7% | |||||
17,039,752 | |||||||
United States - 0.6% | 770,989 | 0.6% | |||||
TOTAL COMMON STOCKS (Cost $114,421,777) | $ | 126,913,852 | |||||
PREFERRED SECURITIES - 0.3% | |||||||
Germany - 0.3% | 418,380 | 0.3% | |||||
TOTAL PREFERRED SECURITIES (Cost $290,628) | $ | 418,380 | |||||
RIGHTS - 0.0% | 433 | 0.0% | |||||
TOTAL RIGHTS (Cost $0) | $ | 433 | |||||
SHORT-TERM INVESTMENTS - 1.6% | |||||||
Short-term funds - 1.6% | |||||||
John Hancock Collateral Trust, 0.0324% (D)(E) | 197,422 | 1,975,132 | 1.6% | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $1,975,197) | $ | 1,975,132 | |||||
Total Investments (International Small Company Trust) (Cost $116,687,602) - 100.3% | $ | 129,307,797 | 100.3% | ||||
Other assets and liabilities, net - (0.3)% | (329,385) | (0.3)% | |||||
TOTAL NET ASSETS - 100.0% | $ | 128,978,412 | 100.0% |
Security Abbreviations and Legend | |
(A) | Non-income producing security. |
(B) | All or a portion of this security is on loan as of 6-30-21. |
(C) | 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. |
(D) | The rate shown is the annualized seven-day yield as of 6-30-21. |
(E) | Investment is an affiliate of the fund, the advisor and/or subadvisor. This security represents the investment of cash collateral received for securities lending. |
The accompanying notes are an integral part of the financial statements. | 32 |
Open contracts | Number of contracts | Position | Expiration date | Notional basis^ | Notional value^ | Unrealized appreciation (depreciation) |
Mini MSCI EAFE Index Futures | 7 | Long | Sep 2021 | $826,892 | $806,505 | $(20,387) |
$(20,387) |
Shares or Principal Amount | Value | % of Net Assets | |||||
AFFILIATED INVESTMENT COMPANIES (A) - 100.0% | |||||||
Equity - 50.0% | |||||||
Strategic Equity Allocation, Series NAV, JHVIT (MIM US) (B) | 25,293,976 | $ | 600,731,941 | 50.0% | |||
Fixed income - 50.0% | |||||||
Select Bond, Series NAV, JHVIT (MIM US) (B) | 41,563,537 | 600,177,477 | 50.0% | ||||
TOTAL AFFILIATED INVESTMENT COMPANIES (Cost $1,015,316,897) | $ | 1,200,909,418 | |||||
Total Investments (Lifestyle Balanced Portfolio) (Cost $1,015,316,897) - 100.0% | $ | 1,200,909,418 | 100.0% | ||||
Other assets and liabilities, net - (0.0)% | (72,108) | (0.0)% | |||||
TOTAL NET ASSETS - 100.0% | $ | 1,200,837,310 | 100.0% |
Security Abbreviations and Legend | |
JHVIT | John Hancock Variable Insurance Trust |
MIM US | Manulife Investment Management (US) LLC |
(A) | The underlying portfolios' subadvisor is shown parenthetically. |
(B) | The subadvisor is an affiliate of the advisor. |
Shares or Principal Amount | Value | % of Net Assets | |||||
AFFILIATED INVESTMENT COMPANIES (A) - 100.0% | |||||||
Equity - 20.0% | |||||||
Strategic Equity Allocation, Series NAV, JHVIT (MIM US) (B) | 1,976,707 | $ | 46,946,802 | 20.0% | |||
Fixed income - 80.0% | |||||||
Select Bond, Series NAV, JHVIT (MIM US) (B) | 13,014,924 | 187,935,500 | 80.0% | ||||
TOTAL AFFILIATED INVESTMENT COMPANIES (Cost $216,921,550) | $ | 234,882,302 | |||||
Total Investments (Lifestyle Conservative Portfolio) (Cost $216,921,550) - 100.0% | $ | 234,882,302 | 100.0% | ||||
Other assets and liabilities, net - (0.0)% | (37,883) | (0.0)% | |||||
TOTAL NET ASSETS - 100.0% | $ | 234,844,419 | 100.0% |
Security Abbreviations and Legend | |
JHVIT | John Hancock Variable Insurance Trust |
MIM US | Manulife Investment Management (US) LLC |
(A) | The underlying portfolios' subadvisor is shown parenthetically. |
(B) | The subadvisor is an affiliate of the advisor. |
Shares or Principal Amount | Value | % of Net Assets | |||||
AFFILIATED INVESTMENT COMPANIES (A) - 100.0% | |||||||
Equity - 70.0% | |||||||
Strategic Equity Allocation, Series NAV, JHVIT (MIM US) (B) | 189,836,764 | $ | 4,508,623,135 | 70.0% | |||
Fixed income - 30.0% | |||||||
Select Bond, Series NAV, JHVIT (MIM US) (B) | 133,813,508 | 1,932,267,058 | 30.0% | ||||
TOTAL AFFILIATED INVESTMENT COMPANIES (Cost $5,133,729,602) | $ | 6,440,890,193 | |||||
Total Investments (Lifestyle Growth Portfolio) (Cost $5,133,729,602) - 100.0% | $ | 6,440,890,193 | 100.0% | ||||
Other assets and liabilities, net - (0.0)% | (273,947) | (0.0)% | |||||
TOTAL NET ASSETS - 100.0% | $ | 6,440,616,246 | 100.0% |
Security Abbreviations and Legend | |
JHVIT | John Hancock Variable Insurance Trust |
MIM US | Manulife Investment Management (US) LLC |
(A) | The underlying portfolios' subadvisor is shown parenthetically. |
(B) | The subadvisor is an affiliate of the advisor. |
Shares or Principal Amount | Value | % of Net Assets | |||||
AFFILIATED INVESTMENT COMPANIES (A) - 100.0% | |||||||
Equity - 39.9% | |||||||
Strategic Equity Allocation, Series NAV, JHVIT (MIM US) (B) | 6,138,183 | $ | 145,781,842 | 39.9% | |||
Fixed income - 60.1% | |||||||
Select Bond, Series NAV, JHVIT (MIM US) (B) | 15,192,726 | 219,382,960 | 60.1% | ||||
TOTAL AFFILIATED INVESTMENT COMPANIES (Cost $319,477,076) | $ | 365,164,802 | |||||
Total Investments (Lifestyle Moderate Portfolio) (Cost $319,477,076) - 100.0% | $ | 365,164,802 | 100.0% | ||||
Other assets and liabilities, net - (0.0)% | (42,556) | (0.0)% | |||||
TOTAL NET ASSETS - 100.0% | $ | 365,122,246 | 100.0% |
Security Abbreviations and Legend | |
JHVIT | John Hancock Variable Insurance Trust |
MIM US | Manulife Investment Management (US) LLC |
(A) | The underlying portfolios' subadvisor is shown parenthetically. |
(B) | The subadvisor is an affiliate of the advisor. |
The accompanying notes are an integral part of the financial statements. | 33 |
Shares or Principal Amount | Value | % of Net Assets | |||||
COMMON STOCKS - 94.1% | |||||||
Communication services - 1.7% | |||||||
Cable One, Inc. | 3,214 | $ | 6,147,771 | 0.4% | |||
OTHER SECURITIES | 18,817,205 | 1.3% | |||||
24,964,976 | |||||||
Consumer discretionary - 14.0% | |||||||
Deckers Outdoor Corp. (A) | 16,459 | 6,321,408 | 0.4% | ||||
Five Below, Inc. (A) | 33,134 | 6,403,808 | 0.4% | ||||
Lear Corp. | 32,384 | 5,676,268 | 0.4% | ||||
Lithia Motors, Inc. | 17,609 | 6,051,157 | 0.4% | ||||
RH (A) | 9,956 | 6,760,124 | 0.5% | ||||
Williams-Sonoma, Inc. | 45,088 | 7,198,299 | 0.5% | ||||
OTHER SECURITIES | 166,779,985 | 11.4% | |||||
205,191,049 | |||||||
Consumer staples - 3.3% | |||||||
Darling Ingredients, Inc. (A) | 96,558 | 6,517,665 | 0.4% | ||||
The Boston Beer Company, Inc., Class A (A) | 5,504 | 5,618,483 | 0.4% | ||||
OTHER SECURITIES | 35,432,771 | 2.5% | |||||
47,568,919 | |||||||
Energy - 2.0% | |||||||
Targa Resources Corp. | 135,308 | 6,014,441 | 0.4% | ||||
OTHER SECURITIES | 22,612,158 | 1.6% | |||||
28,626,599 | |||||||
Financials - 14.3% | |||||||
Brown & Brown, Inc. | 138,432 | 7,356,276 | 0.5% | ||||
East West Bancorp, Inc. | 83,949 | 6,018,304 | 0.4% | ||||
FactSet Research Systems, Inc. | 22,399 | 7,517,328 | 0.5% | ||||
First Horizon Corp. | 326,872 | 5,648,348 | 0.4% | ||||
Signature Bank | 34,100 | 8,376,665 | 0.6% | ||||
OTHER SECURITIES | 174,926,908 | 11.9% | |||||
209,843,829 | |||||||
Health care - 10.0% | |||||||
Bio-Techne Corp. | 23,015 | 10,362,745 | 0.7% | ||||
Jazz Pharmaceuticals PLC (A) | 35,563 | 6,317,411 | 0.4% | ||||
Masimo Corp. (A) | 29,943 | 7,259,680 | 0.5% | ||||
Molina Healthcare, Inc. (A) | 34,559 | 8,745,501 | 0.6% | ||||
Repligen Corp. (A) | 30,216 | 6,031,718 | 0.4% | ||||
OTHER SECURITIES | 108,661,974 | 7.4% | |||||
147,379,029 | |||||||
Industrials - 17.0% | |||||||
Axon Enterprise, Inc. (A) | 38,277 | 6,767,374 | 0.5% | ||||
Carlisle Companies, Inc. | 30,885 | 5,910,771 | 0.4% | ||||
Graco, Inc. | 100,264 | 7,589,985 | 0.5% | ||||
Hubbell, Inc. | 32,142 | 6,005,411 | 0.4% | ||||
Lennox International, Inc. | 20,343 | 7,136,324 | 0.5% | ||||
Nordson Corp. | 31,979 | 7,019,710 | 0.5% | ||||
Owens Corning | 61,816 | 6,051,786 | 0.4% | ||||
The Middleby Corp. (A) | 32,921 | 5,703,892 | 0.4% | ||||
The Toro Company | 63,355 | 6,961,447 | 0.5% | ||||
Trex Company, Inc. (A) | 68,266 | 6,977,468 | 0.5% | ||||
XPO Logistics, Inc. (A) | 60,156 | 8,415,223 | 0.6% | ||||
OTHER SECURITIES | 175,637,651 | 11.8% | |||||
250,177,042 | |||||||
Information technology - 13.6% | |||||||
Ceridian HCM Holding, Inc. (A) | 77,715 | 7,454,423 | 0.5% | ||||
Cognex Corp. | 104,509 | 8,783,981 | 0.6% | ||||
Cree, Inc. (A) | 68,331 | 6,691,655 | 0.5% | ||||
Fair Isaac Corp. (A) | 17,029 | 8,560,138 | 0.6% | ||||
MKS Instruments, Inc. | 32,758 | 5,829,286 | 0.4% | ||||
SolarEdge Technologies, Inc. (A) | 30,757 | 8,500,312 | 0.6% |
Shares or Principal Amount | Value | % of Net Assets | |||||
COMMON STOCKS (continued) | |||||||
Information technology (continued) | |||||||
Universal Display Corp. | 25,385 | $ | 5,643,847 | 0.4% | |||
OTHER SECURITIES | 148,804,606 | 10.0% | |||||
200,268,248 | |||||||
Materials - 6.0% | |||||||
Cleveland-Cliffs, Inc. (A)(B) | 271,883 | 5,861,797 | 0.4% | ||||
Reliance Steel & Aluminum Company | 37,700 | 5,688,930 | 0.4% | ||||
RPM International, Inc. | 76,639 | 6,796,347 | 0.5% | ||||
Steel Dynamics, Inc. | 118,741 | 7,076,964 | 0.5% | ||||
OTHER SECURITIES | 62,334,792 | 4.2% | |||||
87,758,830 | |||||||
Real estate - 9.1% | |||||||
Camden Property Trust | 57,805 | 7,668,989 | 0.5% | ||||
Jones Lang LaSalle, Inc. (A) | 30,361 | 5,934,361 | 0.4% | ||||
Medical Properties Trust, Inc. | 348,072 | 6,996,247 | 0.5% | ||||
OTHER SECURITIES | 113,466,360 | 7.7% | |||||
134,065,957 | |||||||
Utilities - 3.1% | |||||||
Essential Utilities, Inc. | 132,279 | 6,045,150 | 0.4% | ||||
UGI Corp. | 123,501 | 5,719,331 | 0.4% | ||||
OTHER SECURITIES | 34,141,756 | 2.3% | |||||
45,906,237 | |||||||
TOTAL COMMON STOCKS (Cost $993,572,945) | $ | 1,381,750,715 | |||||
SHORT-TERM INVESTMENTS - 5.6% | |||||||
U.S. Government - 1.6% | |||||||
U.S. Cash Management Bill, 0.013%, 09/21/2021 * | $ | 23,000,000 | 22,997,485 | 1.6% | |||
U.S. Government Agency - 3.2% | |||||||
Federal Home Loan Bank Discount Note, 0.003%, 07/06/2021 * | 47,000,000 | 46,999,804 | 3.2% | ||||
Short-term funds - 0.4% | |||||||
John Hancock Collateral Trust, 0.0324% (C)(D) | 609,581 | 6,098,615 | 0.4% | ||||
Repurchase agreement - 0.4% | |||||||
Repurchase Agreement with State Street Corp. dated 6-30-21 at 0.000% to be repurchased at $6,487,000 on 7-1-21, collateralized by $6,837,000 U.S. Treasury Notes, 0.500% due 5-31-27 (valued at $6,616,800) | $ | 6,487,000 | 6,487,000 | 0.4% | |||
TOTAL SHORT-TERM INVESTMENTS (Cost $82,584,920) | $ | 82,582,904 | |||||
Total Investments (Mid Cap Index Trust) (Cost $1,076,157,865) - 99.7% | $ | 1,464,333,619 | 99.7% | ||||
Other assets and liabilities, net - 0.3% | 4,451,737 | 0.3% | |||||
TOTAL NET ASSETS - 100.0% | $ | 1,468,785,356 | 100.0% |
Security Abbreviations and Legend | |
(A) | Non-income producing security. |
(B) | All or a portion of this security is on loan as of 6-30-21. |
(C) | The rate shown is the annualized seven-day yield as of 6-30-21. |
(D) | Investment is an affiliate of the fund, the advisor and/or subadvisor. This security represents the investment of cash collateral received for securities lending. |
* | 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. |
The accompanying notes are an integral part of the financial statements. | 34 |
Open contracts | Number of contracts | Position | Expiration date | Notional basis^ | Notional value^ | Unrealized appreciation (depreciation) |
S&P Mid 400 Index E-Mini Futures | 306 | Long | Sep 2021 | $83,364,510 | $82,387,440 | $(977,070) |
$(977,070) |
Shares or Principal Amount | Value | % of Net Assets | |||||
COMMON STOCKS - 97.8% | |||||||
Communication services - 8.6% | |||||||
IronSource, Ltd., Class A (A) | 664,068 | $ | 6,972,714 | 0.7% | |||
Match Group, Inc. (A) | 159,716 | 25,754,205 | 2.7% | ||||
Snap, Inc., Class A (A) | 303,235 | 20,662,433 | 2.1% | ||||
Spotify Technology SA (A) | 109,007 | 30,041,239 | 3.1% | ||||
83,430,591 | |||||||
Consumer discretionary - 32.1% | |||||||
2U, Inc. (A) | 284,284 | 11,846,114 | 1.2% | ||||
Chegg, Inc. (A) | 284,018 | 23,604,736 | 2.4% | ||||
Chipotle Mexican Grill, Inc. (A) | 20,372 | 31,583,526 | 3.2% | ||||
Coupang, Inc., A Shares (A)(B) | 707,162 | 28,723,276 | 2.9% | ||||
DraftKings, Inc., Class A (A) | 477,352 | 24,903,454 | 2.6% | ||||
Five Below, Inc. (A) | 114,872 | 22,201,311 | 2.3% | ||||
Floor & Decor Holdings, Inc., Class A (A) | 209,674 | 22,162,542 | 2.3% | ||||
Lennar Corp., A Shares | 184,111 | 18,291,428 | 1.9% | ||||
Lululemon Athletica, Inc. (A) | 112,872 | 41,194,892 | 4.2% | ||||
Ollie's Bargain Outlet Holdings, Inc. (A) | 275,775 | 23,200,951 | 2.4% | ||||
Penn National Gaming, Inc. (A) | 117,824 | 9,012,358 | 0.9% | ||||
Planet Fitness, Inc., Class A (A) | 152,165 | 11,450,416 | 1.2% | ||||
Polaris, Inc. | 104,151 | 14,264,521 | 1.5% | ||||
Ross Stores, Inc. | 111,238 | 13,793,512 | 1.4% | ||||
Thor Industries, Inc. | 142,691 | 16,124,083 | 1.7% | ||||
312,357,120 | |||||||
Consumer staples - 2.5% | |||||||
The Boston Beer Company, Inc., Class A (A) | 21,298 | 21,740,998 | 2.2% | ||||
OTHER SECURITIES | 2,452,671 | 0.3% | |||||
24,193,669 | |||||||
Financials - 4.4% | |||||||
Ares Management Corp., Class A | 195,040 | 12,402,594 | 1.3% | ||||
Tradeweb Markets, Inc., Class A | 246,674 | 20,858,753 | 2.1% | ||||
OTHER SECURITIES | 10,060,698 | 1.0% | |||||
43,322,045 | |||||||
Health care - 20.9% | |||||||
ABIOMED, Inc. (A) | 60,362 | 18,839,584 | 1.9% | ||||
Agilent Technologies, Inc. | 82,792 | 12,237,486 | 1.3% | ||||
Align Technology, Inc. (A) | 67,017 | 40,947,387 | 4.2% | ||||
DexCom, Inc. (A) | 65,236 | 27,855,772 | 2.9% | ||||
Elanco Animal Health, Inc. (A) | 280,582 | 9,733,390 | 1.0% | ||||
Exact Sciences Corp. (A) | 105,833 | 13,156,100 | 1.3% | ||||
GoodRx Holdings, Inc., Class A (A)(C) | 448,955 | 16,166,870 | 1.7% |
Shares or Principal Amount | Value | % of Net Assets | |||||
COMMON STOCKS (continued) | |||||||
Health care (continued) | |||||||
Insulet Corp. (A) | 53,282 | $ | 14,626,442 | 1.5% | |||
Kodiak Sciences, Inc. (A) | 70,109 | 6,520,137 | 0.7% | ||||
Multiplan Corp. (A)(C) | 1,331,324 | 12,674,204 | 1.3% | ||||
Oak Street Health, Inc. (A) | 300,561 | 17,603,858 | 1.8% | ||||
OTHER SECURITIES | 13,009,881 | 1.3% | |||||
203,371,111 | |||||||
Industrials - 7.7% | |||||||
Copart, Inc. (A) | 116,049 | 15,298,740 | 1.6% | ||||
CoStar Group, Inc. (A) | 350,810 | 29,054,084 | 3.0% | ||||
Leidos Holdings, Inc. | 174,951 | 17,687,546 | 1.8% | ||||
The Middleby Corp. (A) | 76,893 | 13,322,481 | 1.3% | ||||
75,362,851 | |||||||
Information technology - 21.6% | |||||||
Arista Networks, Inc. (A) | 42,034 | 15,229,339 | 1.6% | ||||
Fair Isaac Corp. (A) | 52,302 | 26,291,169 | 2.7% | ||||
Guidewire Software, Inc. (A) | 171,064 | 19,282,334 | 2.0% | ||||
Marvell Technology, Inc. | 248,473 | 14,493,430 | 1.5% | ||||
MKS Instruments, Inc. | 62,549 | 11,130,595 | 1.1% | ||||
MongoDB, Inc. (A) | 46,006 | 16,632,089 | 1.7% | ||||
Paycom Software, Inc. (A) | 60,925 | 22,144,410 | 2.3% | ||||
RingCentral, Inc., Class A (A) | 84,074 | 24,430,223 | 2.5% | ||||
SolarEdge Technologies, Inc. (A) | 47,450 | 13,113,757 | 1.4% | ||||
Universal Display Corp. | 57,828 | 12,856,899 | 1.3% | ||||
Varonis Systems, Inc. (A) | 271,007 | 15,615,423 | 1.6% | ||||
Workday, Inc., Class A (A) | 74,970 | 17,898,338 | 1.8% | ||||
OTHER SECURITIES | 965,640 | 0.1% | |||||
210,083,646 | |||||||
TOTAL COMMON STOCKS (Cost $700,640,209) | $ | 952,121,033 | |||||
PREFERRED SECURITIES - 0.8% | |||||||
Consumer discretionary - 0.0% | 48,431 | 0.0% | |||||
Information technology - 0.7% | 6,839,067 | 0.7% | |||||
Real estate - 0.1% | 1,072,477 | 0.1% | |||||
TOTAL PREFERRED SECURITIES (Cost $7,951,358) | $ | 7,959,975 | |||||
SHORT-TERM INVESTMENTS - 4.5% | |||||||
Short-term funds - 3.1% | |||||||
John Hancock Collateral Trust, 0.0324% (D)(E) | 2,996,018 | 29,973,961 | 3.1% |
The accompanying notes are an integral part of the financial statements. | 35 |
Shares or Principal Amount | Value | % of Net Assets | |||||
SHORT-TERM INVESTMENTS (continued) | |||||||
Repurchase agreement - 1.4% | |||||||
Deutsche Bank Tri-Party Repurchase Agreement dated 6-30-21 at 0.050% to be repurchased at $13,800,019 on 7-1-21, collateralized by $13,567,217 Federal National Mortgage Association, 2.500% due 12-1-50 (valued at $14,076,000) | $ | 13,800,000 | $ | 13,800,000 | 1.4% | ||
TOTAL SHORT-TERM INVESTMENTS (Cost $43,774,462) | $ | 43,773,961 | |||||
Total Investments (Mid Cap Stock Trust) (Cost $752,366,029) - 103.1% | $ | 1,003,854,969 | 103.1% | ||||
Other assets and liabilities, net - (3.1)% | (30,378,760) | (3.1)% | |||||
TOTAL NET ASSETS - 100.0% | $ | 973,476,209 | 100.0% |
Security Abbreviations and Legend | |
(A) | Non-income producing security. |
(B) | Restricted security as to resale. For more information on this security refer to the Notes to financial statements. |
(C) | All or a portion of this security is on loan as of 6-30-21. |
(D) | The rate shown is the annualized seven-day yield as of 6-30-21. |
(E) | Investment is an affiliate of the fund, the advisor and/or subadvisor. This security represents the investment of cash collateral received for securities lending. |
Shares or Principal Amount | Value | % of Net Assets | |||||
COMMON STOCKS - 92.5% | |||||||
Communication services - 4.7% | |||||||
News Corp., Class A | 562,162 | $ | 14,486,915 | 2.2% | |||
OTHER SECURITIES | 17,306,001 | 2.5% | |||||
31,792,916 | |||||||
Consumer discretionary - 2.7% | |||||||
Ralph Lauren Corp. | 53,041 | 6,248,760 | 0.9% | ||||
OTHER SECURITIES | 11,696,032 | 1.8% | |||||
17,944,792 | |||||||
Consumer staples - 8.4% | |||||||
Bunge, Ltd. | 160,551 | 12,547,061 | 1.9% | ||||
Campbell Soup Company | 141,276 | 6,440,773 | 1.0% | ||||
Flowers Foods, Inc. | 563,284 | 13,631,473 | 2.0% | ||||
Sysco Corp. | 122,711 | 9,540,780 | 1.4% | ||||
The Kraft Heinz Company | 147,059 | 5,997,066 | 0.9% | ||||
OTHER SECURITIES | 7,925,557 | 1.2% | |||||
56,082,710 | |||||||
Energy - 12.5% | |||||||
Cameco Corp. | 557,369 | 10,690,337 | 1.6% | ||||
Canadian Natural Resources, Ltd. | 241,590 | 8,764,885 | 1.3% | ||||
EQT Corp. (A) | 783,636 | 17,443,737 | 2.6% | ||||
Imperial Oil, Ltd. | 528,268 | 16,059,347 | 2.4% | ||||
TechnipFMC PLC (A) | 902,858 | 8,170,865 | 1.2% | ||||
OTHER SECURITIES | 22,772,301 | 3.4% | |||||
83,901,472 | |||||||
Financials - 16.2% | |||||||
Brighthouse Financial, Inc. (A) | 128,985 | 5,873,977 | 0.9% | ||||
Brown & Brown, Inc. | 145,130 | 7,712,208 | 1.1% | ||||
CNA Financial Corp. | 159,545 | 7,257,702 | 1.1% |
Shares or Principal Amount | Value | % of Net Assets | |||||
COMMON STOCKS (continued) | |||||||
Financials (continued) | |||||||
Fifth Third Bancorp | 344,783 | $ | 13,181,054 | 2.0% | |||
Groupe Bruxelles Lambert SA | 62,496 | 6,997,757 | 1.0% | ||||
Lazard, Ltd., Class A | 109,351 | 4,948,133 | 0.7% | ||||
Loews Corp. | 240,193 | 13,126,547 | 2.0% | ||||
Northern Trust Corp. | 79,862 | 9,233,644 | 1.4% | ||||
RenaissanceRe Holdings, Ltd. | 34,049 | 5,067,172 | 0.8% | ||||
State Street Corp. | 147,600 | 12,144,528 | 1.8% | ||||
Westamerica Bancorporation | 96,310 | 5,588,869 | 0.8% | ||||
OTHER SECURITIES | 17,312,637 | 2.6% | |||||
108,444,228 | |||||||
Health care - 16.5% | |||||||
Alkermes PLC (A) | 200,806 | 4,923,763 | 0.7% | ||||
Baxter International, Inc. | 127,028 | 10,225,754 | 1.5% | ||||
Cardinal Health, Inc. | 286,942 | 16,381,519 | 2.4% | ||||
Dentsply Sirona, Inc. | 154,242 | 9,757,349 | 1.5% | ||||
Patterson Companies, Inc. | 329,430 | 10,011,378 | 1.5% | ||||
Perrigo Company PLC | 165,346 | 7,581,114 | 1.1% | ||||
Select Medical Holdings Corp. | 369,994 | 15,635,946 | 2.3% | ||||
Zimmer Biomet Holdings, Inc. | 56,240 | 9,044,517 | 1.4% | ||||
OTHER SECURITIES | 27,232,579 | 4.1% | |||||
110,793,919 | |||||||
Industrials - 6.6% | |||||||
CH Robinson Worldwide, Inc. | 61,541 | 5,764,545 | 0.9% | ||||
PACCAR, Inc. | 94,338 | 8,419,667 | 1.3% | ||||
Textron, Inc. | 206,847 | 14,224,868 | 2.1% | ||||
OTHER SECURITIES | 15,992,766 | 2.3% | |||||
44,401,846 | |||||||
Information technology - 2.4% | |||||||
Applied Materials, Inc. | 54,323 | 7,735,595 | 1.2% | ||||
National Instruments Corp. | 132,985 | 5,622,606 | 0.8% | ||||
OTHER SECURITIES | 2,641,853 | 0.4% | |||||
16,000,054 | |||||||
Materials - 9.5% | |||||||
Corteva, Inc. | 192,053 | 8,517,551 | 1.3% | ||||
Franco-Nevada Corp. | 92,836 | 13,472,304 | 2.0% | ||||
Freeport-McMoRan, Inc. | 205,261 | 7,617,236 | 1.1% | ||||
Fresnillo PLC | 463,435 | 4,955,411 | 0.7% | ||||
Summit Materials, Inc., Class A (A) | 218,008 | 7,597,579 | 1.1% | ||||
OTHER SECURITIES | 21,370,857 | 3.3% | |||||
63,530,938 | |||||||
Real estate - 6.1% | |||||||
Rayonier, Inc. | 284,394 | 10,218,276 | 1.5% | ||||
Regency Centers Corp. | 99,981 | 6,405,783 | 1.0% | ||||
Weyerhaeuser Company | 296,059 | 10,190,351 | 1.5% | ||||
OTHER SECURITIES | 14,479,780 | 2.1% | |||||
41,294,190 | |||||||
Utilities - 6.9% | |||||||
CenterPoint Energy, Inc. | 218,405 | 5,355,291 | 0.8% | ||||
FirstEnergy Corp. | 398,318 | 14,821,413 | 2.2% | ||||
National Fuel Gas Company | 97,316 | 5,084,761 | 0.7% | ||||
PG&E Corp. (A) | 1,011,699 | 10,288,979 | 1.5% | ||||
Vistra Corp. | 426,620 | 7,913,801 | 1.2% | ||||
OTHER SECURITIES | 3,191,540 | 0.5% | |||||
46,655,785 | |||||||
TOTAL COMMON STOCKS (Cost $464,575,186) | $ | 620,842,850 | |||||
PREFERRED SECURITIES - 0.1% | |||||||
Consumer staples - 0.1% | |||||||
Bunge, Ltd., 4.875% | 8,102 | 941,695 | 0.1% | ||||
TOTAL PREFERRED SECURITIES (Cost $917,915) | $ | 941,695 |
The accompanying notes are an integral part of the financial statements. | 36 |
Shares or Principal Amount | Value | % of Net Assets | |||||
CORPORATE BONDS - 0.2% | |||||||
Energy - 0.2% | $ | 1,484,080 | 0.2% | ||||
TOTAL CORPORATE BONDS (Cost $1,078,583) | $ | 1,484,080 | |||||
TERM LOANS (B) - 0.0% | |||||||
Energy - 0.0% | 88,000 | 0.0% | |||||
TOTAL TERM LOANS (Cost $63,800) | $ | 88,000 | |||||
SHORT-TERM INVESTMENTS - 7.4% | |||||||
Short-term funds - 7.4% | |||||||
John Hancock Collateral Trust, 0.0324% (C)(D) | 282,737 | 2,828,667 | 0.4% | ||||
T. Rowe Price Government Reserve Fund, 0.0295% (C) | 44,548,983 | 44,548,983 | 6.7% | ||||
OTHER SECURITIES | 2,014,063 | 0.3% | |||||
49,391,713 | |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $49,391,727) | $ | 49,391,713 | |||||
Total Investments (Mid Value Trust) (Cost $516,027,211) - 100.2% | $ | 672,748,338 | 100.2% | ||||
Other assets and liabilities, net - (0.2)% | (1,438,238) | (0.2)% | |||||
TOTAL NET ASSETS - 100.0% | $ | 671,310,100 | 100.0% |
Security Abbreviations and Legend | |
(A) | Non-income producing security. |
(B) | Term loans are variable rate obligations. The coupon rate shown represents the rate at period end. |
(C) | The rate shown is the annualized seven-day yield as of 6-30-21. |
(D) | Investment is an affiliate of the fund, the advisor and/or subadvisor. This security represents the investment of cash collateral received for securities lending. |
Shares or Principal Amount | Value | % of Net Assets | |||||
COMMON STOCKS - 99.5% | |||||||
Consumer discretionary - 2.7% | |||||||
Caesars Entertainment, Inc. (A) | 45,675 | $ | 4,738,781 | 1.3% | |||
Playa Hotels & Resorts NV (A) | 723,783 | 5,377,708 | 1.4% | ||||
10,116,489 | |||||||
Health care - 2.3% | |||||||
Brookdale Senior Living, Inc. (A) | 491,232 | 3,880,733 | 1.1% | ||||
HCA Healthcare, Inc. | 22,330 | 4,616,504 | 1.2% | ||||
8,497,237 | |||||||
Real estate - 94.5% | |||||||
Acadia Realty Trust | 250,706 | 5,505,504 | 1.5% | ||||
Alexandria Real Estate Equities, Inc. | 19,199 | 3,493,066 | 0.9% | ||||
American Homes 4 Rent, Class A | 154,847 | 6,015,806 | 1.6% | ||||
American Tower Corp. | 56,280 | 15,203,479 | 4.1% | ||||
AvalonBay Communities, Inc. | 74,867 | 15,623,994 | 4.2% | ||||
Brixmor Property Group, Inc. | 657,381 | 15,047,451 | 4.0% | ||||
Camden Property Trust | 87,101 | 11,555,690 | 3.1% | ||||
Colliers International Group, Inc. (New York Stock Exchange) | 55,860 | 6,255,203 | 1.7% | ||||
Crown Castle International Corp. | 51,095 | 9,968,635 | 2.7% | ||||
Douglas Emmett, Inc. | 196,504 | 6,606,464 | 1.8% | ||||
Equinix, Inc. | 20,915 | 16,786,379 | 4.5% |
Shares or Principal Amount | Value | % of Net Assets | |||||
COMMON STOCKS (continued) | |||||||
Real estate (continued) | |||||||
Extra Space Storage, Inc. | 126,812 | $ | 20,774,342 | 5.6% | |||
First Industrial Realty Trust, Inc. | 95,022 | 4,962,999 | 1.3% | ||||
Healthpeak Properties, Inc. | 299,480 | 9,969,689 | 2.7% | ||||
Independence Realty Trust, Inc. | 452,122 | 8,242,184 | 2.2% | ||||
Innovative Industrial Properties, Inc. | 20,666 | 3,947,619 | 1.1% | ||||
Invitation Homes, Inc. | 296,241 | 11,046,827 | 3.0% | ||||
Jones Lang LaSalle, Inc. (A) | 30,869 | 6,033,655 | 1.6% | ||||
Kilroy Realty Corp. | 89,740 | 6,249,494 | 1.7% | ||||
Life Storage, Inc. | 111,921 | 12,014,719 | 3.2% | ||||
Pebblebrook Hotel Trust | 240,171 | 5,656,027 | 1.5% | ||||
PotlatchDeltic Corp. | 74,785 | 3,974,823 | 1.1% | ||||
Prologis, Inc. | 291,673 | 34,863,674 | 9.4% | ||||
Public Storage | 19,255 | 5,789,786 | 1.5% | ||||
Retail Opportunity Investments Corp. | 396,734 | 7,006,322 | 1.9% | ||||
Rexford Industrial Realty, Inc. | 185,166 | 10,545,204 | 2.8% | ||||
Ryman Hospitality Properties, Inc. (A) | 70,723 | 5,584,288 | 1.5% | ||||
Simon Property Group, Inc. | 86,725 | 11,315,878 | 3.0% | ||||
SL Green Realty Corp. | 119,006 | 9,520,480 | 2.6% | ||||
Sun Communities, Inc. | 65,918 | 11,298,345 | 3.0% | ||||
UDR, Inc. | 282,464 | 13,835,087 | 3.7% | ||||
VICI Properties, Inc. | 401,302 | 12,448,388 | 3.3% | ||||
Weingarten Realty Investors | 160,228 | 5,138,512 | 1.4% | ||||
Welltower, Inc. | 236,113 | 19,620,990 | 5.3% | ||||
351,901,003 | |||||||
TOTAL COMMON STOCKS (Cost $301,846,349) | $ | 370,514,729 | |||||
SHORT-TERM INVESTMENTS - 0.4% | |||||||
Short-term funds - 0.4% | |||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class, 0.0250% (B) | 1,573,727 | 1,573,727 | 0.4% | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $1,573,727) | $ | 1,573,727 | |||||
Total Investments (Real Estate Securities Trust) (Cost $303,420,076) - 99.9% | $ | 372,088,456 | 99.9% | ||||
Other assets and liabilities, net - 0.1% | 235,099 | 0.1% | |||||
TOTAL NET ASSETS - 100.0% | $ | 372,323,555 | 100.0% |
Security Abbreviations and Legend | |
(A) | Non-income producing security. |
(B) | The rate shown is the annualized seven-day yield as of 6-30-21. |
Shares or Principal Amount | Value | % of Net Assets | |||||
COMMON STOCKS - 95.7% | |||||||
Communication services - 15.3% | |||||||
Alphabet, Inc., Class A (A) | 3,060 | $ | 7,471,877 | 0.6% | |||
Alphabet, Inc., Class C (A) | 25,283 | 63,367,289 | 5.4% | ||||
Baidu, Inc., ADR (A) | 50,029 | 10,200,913 | 0.9% | ||||
Facebook, Inc., Class A (A) | 168,957 | 58,748,038 | 5.0% | ||||
Mail.Ru Group, Ltd., GDR (A) | 642,468 | 14,605,071 | 1.2% | ||||
Pinterest, Inc., Class A (A) | 120,639 | 9,524,449 | 0.8% | ||||
OTHER SECURITIES | 15,282,210 | 1.4% | |||||
179,199,847 |
The accompanying notes are an integral part of the financial statements. | 37 |
Shares or Principal Amount | Value | % of Net Assets | |||||
COMMON STOCKS (continued) | |||||||
Consumer discretionary - 23.8% | |||||||
Alibaba Group Holding, Ltd., ADR (A) | 129,189 | $ | 29,297,481 | 2.5% | |||
Amazon.com, Inc. (A) | 19,422 | 66,814,782 | 5.7% | ||||
Booking Holdings, Inc. (A) | 11,388 | 24,917,969 | 2.1% | ||||
Delivery Hero SE (A)(B) | 94,121 | 12,435,842 | 1.1% | ||||
Etsy, Inc. (A) | 77,738 | 16,001,590 | 1.4% | ||||
Expedia Group, Inc. (A) | 48,680 | 7,969,403 | 0.7% | ||||
Naspers, Ltd., N Shares | 39,178 | 8,260,559 | 0.7% | ||||
Trip.com Group, Ltd., ADR (A) | 829,503 | 29,414,176 | 2.5% | ||||
Wayfair, Inc., Class A (A)(C) | 20,888 | 6,594,550 | 0.6% | ||||
Zalando SE (A)(B) | 277,791 | 33,596,025 | 2.9% | ||||
OTHER SECURITIES | 43,454,960 | 3.6% | |||||
278,757,337 | |||||||
Health care - 0.7% | |||||||
Intuitive Surgical, Inc. (A) | 7,959 | 7,319,415 | 0.6% | ||||
OTHER SECURITIES | 1,173,836 | 0.1% | |||||
8,493,251 | |||||||
Industrials - 0.7% | |||||||
Lyft, Inc., Class A (A) | 118,905 | 7,191,374 | 0.6% | ||||
OTHER SECURITIES | 1,461,704 | 0.1% | |||||
8,653,078 | |||||||
Information technology - 55.2% | |||||||
Apple, Inc. | 158,705 | 21,736,237 | 1.9% | ||||
Applied Materials, Inc. | 140,742 | 20,041,661 | 1.7% | ||||
Asana, Inc., Class A (A) | 212,680 | 13,192,540 | 1.1% | ||||
Citrix Systems, Inc. | 213,251 | 25,007,945 | 2.1% | ||||
Crowdstrike Holdings, Inc., Class A (A) | 65,000 | 16,335,150 | 1.4% | ||||
HubSpot, Inc. (A) | 40,928 | 23,849,564 | 2.0% | ||||
Intuit, Inc. | 27,129 | 13,297,822 | 1.1% | ||||
Lam Research Corp. | 21,120 | 13,742,784 | 1.2% | ||||
Mastercard, Inc., Class A | 19,580 | 7,148,462 | 0.6% | ||||
Micron Technology, Inc. (A) | 359,523 | 30,552,265 | 2.6% | ||||
Microsoft Corp. | 157,633 | 42,702,780 | 3.6% | ||||
MongoDB, Inc. (A) | 51,995 | 18,797,232 | 1.6% | ||||
NVIDIA Corp. | 8,430 | 6,744,843 | 0.6% | ||||
NXP Semiconductors NV | 33,780 | 6,949,222 | 0.6% | ||||
Paycom Software, Inc. (A) | 32,675 | 11,876,382 | 1.0% | ||||
PayPal Holdings, Inc. (A) | 61,370 | 17,888,128 | 1.5% | ||||
Pure Storage, Inc., Class A (A) | 907,249 | 17,718,573 | 1.5% | ||||
QUALCOMM, Inc. | 67,620 | 9,664,927 | 0.8% | ||||
salesforce.com, Inc. (A) | 173,394 | 42,354,952 | 3.6% | ||||
Samsung Electronics Company, Ltd. | 304,625 | 21,806,924 | 1.9% | ||||
Samsung SDI Company, Ltd. | 16,386 | 10,145,191 | 0.9% | ||||
SK Hynix, Inc. | 63,941 | 7,216,928 | 0.6% | ||||
Square, Inc., Class A (A) | 53,295 | 12,993,321 | 1.1% | ||||
Taiwan Semiconductor Manufacturing Company, Ltd., ADR | 83,695 | 10,056,791 | 0.9% | ||||
Twilio, Inc., Class A (A) | 49,450 | 19,491,212 | 1.7% | ||||
Visa, Inc., Class A | 36,909 | 8,630,062 | 0.7% | ||||
Western Digital Corp. (A) | 126,940 | 9,034,320 | 0.8% | ||||
Workday, Inc., Class A (A) | 36,120 | 8,623,289 | 0.7% | ||||
Xilinx, Inc. | 111,396 | 16,112,317 | 1.4% | ||||
Zoom Video Communications, Inc., Class A (A) | 57,609 | 22,296,411 | 1.9% | ||||
Zscaler, Inc. (A) | 65,592 | 14,171,808 | 1.2% | ||||
OTHER SECURITIES | 126,748,403 | 10.9% | |||||
646,928,446 | |||||||
TOTAL COMMON STOCKS (Cost $856,806,172) | $ | 1,122,031,959 |
Shares or Principal Amount | Value | % of Net Assets | |||||
SHORT-TERM INVESTMENTS - 5.1% | |||||||
Short-term funds - 3.4% | |||||||
John Hancock Collateral Trust, 0.0324% (D)(E) | 969,251 | $ | 9,696,971 | 0.8% | |||
T. Rowe Price Government Reserve Fund, 0.0295% (D) | 29,834,099 | 29,834,099 | 2.6% | ||||
OTHER SECURITIES | 483,827 | 0.0% | |||||
40,014,897 | |||||||
Repurchase agreement - 1.7% | |||||||
Repurchase Agreement with State Street Corp. dated 6-30-21 at 0.000% to be repurchased at $19,536,000 on 7-1-21, collateralized by $19,914,000 U.S. Treasury Notes, 0.099% due 1-31-23 (valued at $19,926,760) | $ | 19,536,000 | 19,536,000 | 1.7% | |||
TOTAL SHORT-TERM INVESTMENTS (Cost $59,551,122) | $ | 59,550,897 | |||||
Total Investments (Science & Technology Trust) (Cost $916,357,294) - 100.8% | $ | 1,181,582,856 | 100.8% | ||||
Other assets and liabilities, net - (0.8)% | (9,129,922) | (0.8)% | |||||
TOTAL NET ASSETS - 100.0% | $ | 1,172,452,934 | 100.0% |
Security Abbreviations and Legend | |
ADR | American Depositary Receipt |
GDR | Global Depositary Receipt |
(A) | Non-income producing security. |
(B) | 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. |
(C) | All or a portion of this security is on loan as of 6-30-21. |
(D) | The rate shown is the annualized seven-day yield as of 6-30-21. |
(E) | Investment is an affiliate of the fund, the advisor and/or subadvisor. This security represents the investment of cash collateral received for securities lending. |
Shares or Principal Amount | Value | % of Net Assets | |||||
COMMON STOCKS - 95.1% | |||||||
Communication services - 3.4% | |||||||
AMC Entertainment Holdings, Inc., Class A (A) | 91,052 | $ | 5,160,819 | 0.7% | |||
OTHER SECURITIES | 19,369,307 | 2.7% | |||||
24,530,126 | |||||||
Consumer discretionary - 11.4% | |||||||
American Eagle Outfitters, Inc. | 33,819 | 1,269,227 | 0.2% | ||||
Crocs, Inc. (A) | 14,433 | 1,681,733 | 0.2% | ||||
Fox Factory Holding Corp. (A) | 9,440 | 1,469,430 | 0.2% | ||||
Helen of Troy, Ltd. (A) | 5,437 | 1,240,288 | 0.2% | ||||
Macy's, Inc. (A) | 70,165 | 1,330,328 | 0.2% | ||||
Scientific Games Corp. (A) | 21,522 | 1,666,664 | 0.2% | ||||
Texas Roadhouse, Inc. | 15,661 | 1,506,588 | 0.2% | ||||
OTHER SECURITIES | 70,679,213 | 10.0% | |||||
80,843,471 | |||||||
Consumer staples - 3.0% | |||||||
BJ's Wholesale Club Holdings, Inc. (A) | 30,519 | 1,452,094 | 0.2% | ||||
Performance Food Group Company (A) | 29,525 | 1,431,667 | 0.2% |
The accompanying notes are an integral part of the financial statements. | 38 |
Shares or Principal Amount | Value | % of Net Assets | |||||
COMMON STOCKS (continued) | |||||||
Consumer staples (continued) | |||||||
OTHER SECURITIES | $ | 18,677,317 | 2.6% | ||||
21,561,078 | |||||||
Energy - 4.1% | |||||||
Ovintiv, Inc. | 58,589 | 1,843,796 | 0.3% | ||||
OTHER SECURITIES | 27,297,465 | 3.8% | |||||
29,141,261 | |||||||
Financials - 14.1% | |||||||
First Financial Bankshares, Inc. | 28,372 | 1,393,916 | 0.2% | ||||
South State Corp. | 15,612 | 1,276,437 | 0.2% | ||||
OTHER SECURITIES | 97,833,856 | 13.7% | |||||
100,504,209 | |||||||
Health care - 20.2% | |||||||
Arrowhead Pharmaceuticals, Inc. (A) | 22,700 | 1,880,014 | 0.3% | ||||
Beam Therapeutics, Inc. (A)(B) | 10,548 | 1,357,633 | 0.2% | ||||
Bridgebio Pharma, Inc. (A) | 24,107 | 1,469,563 | 0.2% | ||||
Denali Therapeutics, Inc. (A) | 20,407 | 1,600,725 | 0.2% | ||||
Fate Therapeutics, Inc. (A) | 17,974 | 1,559,963 | 0.2% | ||||
Halozyme Therapeutics, Inc. (A) | 31,611 | 1,435,456 | 0.2% | ||||
HealthEquity, Inc. (A) | 18,282 | 1,471,335 | 0.2% | ||||
Intellia Therapeutics, Inc. (A) | 14,320 | 2,318,551 | 0.3% | ||||
Invitae Corp. (A)(B) | 44,846 | 1,512,656 | 0.2% | ||||
LHC Group, Inc. (A) | 6,822 | 1,366,174 | 0.2% | ||||
Nevro Corp. (A) | 7,719 | 1,279,733 | 0.2% | ||||
Omnicell, Inc. (A) | 9,600 | 1,453,920 | 0.2% | ||||
Pacific Biosciences of California, Inc. (A) | 43,541 | 1,522,629 | 0.2% | ||||
Shockwave Medical, Inc. (A) | 7,558 | 1,433,979 | 0.2% | ||||
STAAR Surgical Company (A) | 10,526 | 1,605,215 | 0.2% | ||||
Tenet Healthcare Corp. (A) | 23,742 | 1,590,477 | 0.2% | ||||
Twist Bioscience Corp. (A) | 10,588 | 1,410,851 | 0.2% | ||||
OTHER SECURITIES | 117,295,678 | 16.6% | |||||
143,564,552 | |||||||
Industrials - 13.5% | |||||||
EMCOR Group, Inc. | 12,021 | 1,480,867 | 0.2% | ||||
Rexnord Corp. | 26,648 | 1,333,466 | 0.2% | ||||
Saia, Inc. (A) | 5,923 | 1,240,809 | 0.2% | ||||
Tetra Tech, Inc. | 12,002 | 1,464,724 | 0.2% | ||||
Upwork, Inc. (A) | 26,102 | 1,521,486 | 0.2% | ||||
OTHER SECURITIES | 89,387,354 | 12.5% | |||||
96,428,706 | |||||||
Information technology - 13.0% | |||||||
Blackline, Inc. (A) | 12,001 | 1,335,351 | 0.2% | ||||
Digital Turbine, Inc. (A) | 18,910 | 1,437,727 | 0.2% | ||||
II-VI, Inc. (A) | 23,365 | 1,696,065 | 0.2% | ||||
j2 Global, Inc. (A) | 9,657 | 1,328,320 | 0.2% | ||||
Lattice Semiconductor Corp. (A) | 30,272 | 1,700,681 | 0.2% | ||||
Q2 Holdings, Inc. (A) | 12,233 | 1,254,861 | 0.2% | ||||
Silicon Laboratories, Inc. (A) | 9,861 | 1,511,198 | 0.2% | ||||
Synaptics, Inc. (A) | 7,869 | 1,224,259 | 0.2% | ||||
Varonis Systems, Inc. (A) | 23,714 | 1,366,401 | 0.2% | ||||
OTHER SECURITIES | 79,340,205 | 11.2% | |||||
92,195,068 |
Shares or Principal Amount | Value | % of Net Assets | |||||
COMMON STOCKS (continued) | |||||||
Materials - 3.6% | $ | 25,907,340 | 3.6% | ||||
Real estate - 6.5% | |||||||
EastGroup Properties, Inc. | 8,649 | 1,422,328 | 0.2% | ||||
Redfin Corp. (A) | 22,791 | 1,445,177 | 0.2% | ||||
STAG Industrial, Inc. | 35,482 | 1,328,091 | 0.2% | ||||
OTHER SECURITIES | 42,218,615 | 5.9% | |||||
46,414,211 | |||||||
Utilities - 2.3% | 16,100,776 | 2.3% | |||||
TOTAL COMMON STOCKS (Cost $459,598,278) | $ | 677,190,798 | |||||
RIGHTS - 0.0% | 74,897 | 0.0% | |||||
TOTAL RIGHTS (Cost $26,845) | $ | 74,897 | |||||
WARRANTS - 0.0% | 6,680 | 0.0% | |||||
TOTAL WARRANTS (Cost $0) | $ | 6,680 | |||||
SHORT-TERM INVESTMENTS - 5.4% | |||||||
U.S. Government Agency - 3.2% | |||||||
Federal Home Loan Bank Discount Note, 0.020%, 07/16/2021 * | $ | 13,000,000 | 12,999,838 | 1.8% | |||
Federal Home Loan Bank Discount Note, 0.035%, 08/25/2021 * | 3,000,000 | 2,999,817 | 0.4% | ||||
Federal Home Loan Bank Discount Note, 0.040%, 07/19/2021 * | 7,000,000 | 6,999,895 | 1.0% | ||||
22,999,550 | |||||||
Short-term funds - 0.8% | |||||||
John Hancock Collateral Trust, 0.0324% (C)(D) | 569,583 | 5,698,446 | 0.8% | ||||
Repurchase agreement - 1.4% | |||||||
Repurchase Agreement with State Street Corp. dated 6-30-21 at 0.000% to be repurchased at $9,600,000 on 7-1-21, collateralized by $10,117,900 U.S. Treasury Notes, 0.500% due 5-31-27 (valued at $9,792,031) | $ | 9,600,000 | 9,600,000 | 1.4% | |||
TOTAL SHORT-TERM INVESTMENTS (Cost $38,298,272) | $ | 38,297,996 | |||||
Total Investments (Small Cap Index Trust) (Cost $497,923,395) - 100.5% | $ | 715,570,371 | 100.5% | ||||
Other assets and liabilities, net - (0.5)% | (3,382,037) | (0.5)% | |||||
TOTAL NET ASSETS - 100.0% | $ | 712,188,334 | 100.0% |
Security Abbreviations and Legend | |
(A) | Non-income producing security. |
(B) | All or a portion of this security is on loan as of 6-30-21. |
(C) | The rate shown is the annualized seven-day yield as of 6-30-21. |
(D) | Investment is an affiliate of the fund, the advisor and/or subadvisor. This security represents the investment of cash collateral received for securities lending. |
* | 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. |
The accompanying notes are an integral part of the financial statements. | 39 |
Open contracts | Number of contracts | Position | Expiration date | Notional basis^ | Notional value^ | Unrealized appreciation (depreciation) |
Russell 2000 E-Mini Index Futures | 311 | Long | Sep 2021 | $35,881,066 | $35,886,290 | $5,224 |
$5,224 |
Shares or Principal Amount | Value | % of Net Assets | |||||
COMMON STOCKS - 99.4% | |||||||
Communication services - 2.1% | |||||||
Liberty Media Corp.-Liberty Formula One, Series A (A) | 2,022 | $ | 86,198 | 0.1% | |||
Liberty Media Corp.-Liberty Formula One, Series C (A) | 11,028 | 531,660 | 0.3% | ||||
OTHER SECURITIES | 2,956,297 | 1.7% | |||||
3,574,155 | |||||||
Consumer discretionary - 14.0% | |||||||
Churchill Downs, Inc. | 3,372 | 668,533 | 0.4% | ||||
Chuy's Holdings, Inc. (A) | 19,971 | 744,119 | 0.5% | ||||
Five Below, Inc. (A) | 4,102 | 792,794 | 0.5% | ||||
Fox Factory Holding Corp. (A) | 9,005 | 1,401,696 | 0.8% | ||||
Grand Canyon Education, Inc. (A) | 8,923 | 802,802 | 0.5% | ||||
Lithia Motors, Inc. | 3,368 | 1,157,380 | 0.7% | ||||
OTHER SECURITIES | 17,784,192 | 10.6% | |||||
23,351,516 | |||||||
Consumer staples - 4.1% | |||||||
Darling Ingredients, Inc. (A) | 10,424 | 703,620 | 0.4% | ||||
Performance Food Group Company (A) | 12,763 | 618,878 | 0.4% | ||||
OTHER SECURITIES | 5,607,801 | 3.3% | |||||
6,930,299 | |||||||
Energy - 5.8% | 9,630,556 | 5.8% | |||||
Financials - 20.5% | |||||||
Ameris Bancorp | 15,901 | 805,068 | 0.5% | ||||
Athene Holding, Ltd., Class A (A) | 9,251 | 624,443 | 0.4% | ||||
Houlihan Lokey, Inc. | 11,483 | 939,195 | 0.6% | ||||
Invesco, Ltd. | 24,463 | 653,896 | 0.4% | ||||
Pinnacle Financial Partners, Inc. | 11,251 | 993,351 | 0.6% | ||||
Stifel Financial Corp. | 11,157 | 723,643 | 0.4% | ||||
OTHER SECURITIES | 29,480,380 | 17.6% | |||||
34,219,976 | |||||||
Health care - 13.0% | |||||||
Acadia Healthcare Company, Inc. (A) | 17,173 | 1,077,606 | 0.7% | ||||
AtriCure, Inc. (A) | 10,886 | 863,586 | 0.5% | ||||
Biohaven Pharmaceutical Holding Company, Ltd. (A) | 6,705 | 650,921 | 0.4% | ||||
Castle Biosciences, Inc. (A) | 8,959 | 656,963 | 0.4% | ||||
Globus Medical, Inc., Class A (A) | 11,443 | 887,176 | 0.5% | ||||
Halozyme Therapeutics, Inc. (A) | 13,800 | 626,658 | 0.4% | ||||
HealthEquity, Inc. (A) | 9,212 | 741,382 | 0.4% | ||||
Integra LifeSciences Holdings Corp. (A) | 9,133 | 623,236 | 0.4% |
Shares or Principal Amount | Value | % of Net Assets | |||||
COMMON STOCKS (continued) | |||||||
Health care (continued) | |||||||
LHC Group, Inc. (A) | 3,724 | $ | 745,768 | 0.5% | |||
Medpace Holdings, Inc. (A) | 4,496 | 794,128 | 0.5% | ||||
Syneos Health, Inc. (A) | 10,775 | 964,255 | 0.6% | ||||
Vericel Corp. (A) | 14,267 | 749,018 | 0.5% | ||||
OTHER SECURITIES | 12,376,040 | 7.2% | |||||
21,756,737 | |||||||
Industrials - 18.5% | |||||||
Alamo Group, Inc. | 5,076 | 775,004 | 0.5% | ||||
CACI International, Inc., Class A (A) | 3,008 | 767,401 | 0.5% | ||||
Exponent, Inc. | 7,667 | 683,973 | 0.4% | ||||
Gibraltar Industries, Inc. (A) | 12,472 | 951,738 | 0.6% | ||||
Knight-Swift Transportation Holdings, Inc. | 15,069 | 685,037 | 0.4% | ||||
RBC Bearings, Inc. (A) | 3,872 | 772,154 | 0.5% | ||||
Ritchie Brothers Auctioneers, Inc. | 14,579 | 864,243 | 0.5% | ||||
SiteOne Landscape Supply, Inc. (A) | 6,303 | 1,066,846 | 0.6% | ||||
The Shyft Group, Inc. | 30,536 | 1,142,352 | 0.7% | ||||
Woodward, Inc. | 5,227 | 642,294 | 0.4% | ||||
OTHER SECURITIES | 22,510,634 | 13.4% | |||||
30,861,676 | |||||||
Information technology - 12.5% | |||||||
Arrow Electronics, Inc. (A) | 6,456 | 734,886 | 0.4% | ||||
Brooks Automation, Inc. | 10,256 | 977,192 | 0.6% | ||||
Cerence, Inc. (A) | 12,238 | 1,305,917 | 0.8% | ||||
Endava PLC, ADR (A) | 10,726 | 1,216,114 | 0.7% | ||||
Entegris, Inc. | 7,052 | 867,184 | 0.5% | ||||
Paylocity Holding Corp. (A) | 5,250 | 1,001,700 | 0.6% | ||||
Rapid7, Inc. (A) | 12,338 | 1,167,545 | 0.7% | ||||
Rogers Corp. (A) | 3,815 | 766,052 | 0.5% | ||||
The Descartes Systems Group, Inc. (A) | 9,290 | 642,496 | 0.4% | ||||
Viavi Solutions, Inc. (A) | 49,842 | 880,210 | 0.5% | ||||
OTHER SECURITIES | 11,262,381 | 6.8% | |||||
20,821,677 | |||||||
Materials - 6.8% | |||||||
Avient Corp. | 16,610 | 816,548 | 0.5% | ||||
Steel Dynamics, Inc. | 10,944 | 652,262 | 0.4% | ||||
OTHER SECURITIES | 9,877,843 | 5.9% | |||||
11,346,653 | |||||||
Real estate - 1.5% | |||||||
STAG Industrial, Inc. | 17,092 | 639,754 | 0.4% | ||||
OTHER SECURITIES | 1,812,669 | 1.1% | |||||
2,452,423 | |||||||
Utilities - 0.6% | 1,081,479 | 0.6% | |||||
TOTAL COMMON STOCKS (Cost $121,599,844) | $ | 166,027,147 |
The accompanying notes are an integral part of the financial statements. | 40 |
Shares or Principal Amount | Value | % of Net Assets | |||||
PREFERRED SECURITIES - 0.1% | |||||||
Consumer discretionary - 0.0% | $ | 22,300 | 0.0% | ||||
Industrials - 0.1% | 46,551 | 0.1% | |||||
TOTAL PREFERRED SECURITIES (Cost $63,266) | $ | 68,851 | |||||
WARRANTS - 0.0% | 2,380 | 0.0% | |||||
TOTAL WARRANTS (Cost $0) | $ | 2,380 | |||||
SHORT-TERM INVESTMENTS - 0.4% | |||||||
Short-term funds - 0.4% | |||||||
John Hancock Collateral Trust, 0.0324% (B)(C) | 43,773 | 437,936 | 0.2% | ||||
OTHER SECURITIES | 336,102 | 0.2% | |||||
774,038 | |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $774,053) | $ | 774,038 | |||||
Total Investments (Small Cap Opportunities Trust) (Cost $122,437,163) - 99.9% | $ | 166,872,416 | 99.9% | ||||
Other assets and liabilities, net - 0.1% | 98,627 | 0.1% | |||||
TOTAL NET ASSETS - 100.0% | $ | 166,971,043 | 100.0% |
Security Abbreviations and Legend | |
ADR | American Depositary Receipt |
(A) | Non-income producing security. |
(B) | The rate shown is the annualized seven-day yield as of 6-30-21. |
(C) | Investment is an affiliate of the fund, the advisor and/or subadvisor. This security represents the investment of cash collateral received for securities lending. |
Shares or Principal Amount | Value | % of Net Assets | |||||
COMMON STOCKS - 100.0% | |||||||
Communication services - 3.9% | |||||||
Bandwidth, Inc., Class A (A) | 34,928 | $ | 4,817,270 | 1.1% | |||
Cardlytics, Inc. (A) | 60,608 | 7,692,973 | 1.7% | ||||
Criteo SA, ADR (A) | 106,605 | 4,821,744 | 1.1% | ||||
17,331,987 | |||||||
Consumer discretionary - 19.6% | |||||||
2U, Inc. (A) | 131,350 | 5,473,355 | 1.3% | ||||
Cavco Industries, Inc. (A) | 19,993 | 4,442,245 | 1.0% | ||||
Chegg, Inc. (A) | 98,336 | 8,172,705 | 1.9% | ||||
Five Below, Inc. (A) | 38,633 | 7,466,600 | 1.7% | ||||
Floor & Decor Holdings, Inc., Class A (A) | 48,145 | 5,088,927 | 1.2% | ||||
Ollie's Bargain Outlet Holdings, Inc. (A) | 92,337 | 7,768,312 | 1.8% | ||||
Planet Fitness, Inc., Class A (A) | 103,860 | 7,815,465 | 1.8% | ||||
Porch Group, Inc. (A)(B) | 61,660 | 1,192,504 | 0.3% | ||||
Porch.com, Inc. (A)(C) | 148,379 | 2,791,670 | 0.6% | ||||
Skyline Champion Corp. (A) | 109,562 | 5,839,655 | 1.3% | ||||
Wingstop, Inc. | 30,933 | 4,875,969 | 1.1% | ||||
YETI Holdings, Inc. (A) | 78,105 | 7,171,601 | 1.6% | ||||
OTHER SECURITIES | 17,684,740 | 4.0% | |||||
85,783,748 | |||||||
Consumer staples - 1.4% | |||||||
The Boston Beer Company, Inc., Class A (A) | 5,216 | 5,324,493 | 1.2% | ||||
OTHER SECURITIES | 874,909 | 0.2% | |||||
6,199,402 | |||||||
Financials - 3.8% | 16,555,543 | 3.8% |
Shares or Principal Amount | Value | % of Net Assets | |||||
COMMON STOCKS (continued) | |||||||
Health care - 27.7% | |||||||
Accolade, Inc. (A) | 103,562 | $ | 5,624,452 | 1.3% | |||
Globus Medical, Inc., Class A (A) | 51,998 | 4,031,405 | 0.9% | ||||
Health Catalyst, Inc. (A) | 77,215 | 4,286,205 | 1.0% | ||||
Hill-Rom Holdings, Inc. | 38,639 | 4,389,004 | 1.0% | ||||
Integra LifeSciences Holdings Corp. (A) | 71,774 | 4,897,858 | 1.1% | ||||
LHC Group, Inc. (A) | 30,639 | 6,135,766 | 1.4% | ||||
Medpace Holdings, Inc. (A) | 28,941 | 5,111,849 | 1.2% | ||||
Multiplan Corp. (A)(B) | 522,868 | 4,977,703 | 1.1% | ||||
Oak Street Health, Inc. (A) | 75,027 | 4,394,331 | 1.0% | ||||
OTHER SECURITIES | 77,549,490 | 17.7% | |||||
121,398,063 | |||||||
Industrials - 11.1% | |||||||
Altra Industrial Motion Corp. | 94,511 | 6,145,105 | 1.4% | ||||
Applied Industrial Technologies, Inc. | 67,014 | 6,102,295 | 1.4% | ||||
Builders FirstSource, Inc. (A) | 111,100 | 4,739,526 | 1.1% | ||||
Colfax Corp. (A) | 88,868 | 4,071,043 | 0.9% | ||||
Curtiss-Wright Corp. | 35,399 | 4,203,985 | 1.0% | ||||
The Middleby Corp. (A) | 29,661 | 5,139,065 | 1.2% | ||||
OTHER SECURITIES | 18,223,146 | 4.1% | |||||
48,624,165 | |||||||
Information technology - 28.5% | |||||||
Calix, Inc. (A) | 87,505 | 4,156,488 | 1.0% | ||||
Digital Turbine, Inc. (A) | 106,904 | 8,127,911 | 1.9% | ||||
II-VI, Inc. (A) | 113,220 | 8,218,640 | 1.9% | ||||
j2 Global, Inc. (A) | 42,551 | 5,852,890 | 1.3% | ||||
Jamf Holding Corp. (A) | 126,013 | 4,230,256 | 1.0% | ||||
Manhattan Associates, Inc. (A) | 40,292 | 5,835,893 | 1.3% | ||||
Mimecast, Ltd. (A) | 85,276 | 4,523,892 | 1.0% | ||||
MKS Instruments, Inc. | 25,082 | 4,463,342 | 1.0% | ||||
Novanta, Inc. (A) | 30,413 | 4,098,456 | 0.9% | ||||
PAR Technology Corp. (A) | 74,022 | 5,177,099 | 1.2% | ||||
Perficient, Inc. (A) | 105,864 | 8,513,583 | 1.9% | ||||
Rapid7, Inc. (A) | 99,423 | 9,408,401 | 2.2% | ||||
Repay Holdings Corp. (A) | 186,299 | 4,478,628 | 1.0% | ||||
Telos Corp. (A) | 129,363 | 4,399,636 | 1.0% | ||||
Tower Semiconductor, Ltd. (A) | 261,684 | 7,701,360 | 1.8% | ||||
Varonis Systems, Inc. (A) | 155,361 | 8,951,901 | 2.0% | ||||
Verra Mobility Corp. (A) | 326,058 | 5,011,511 | 1.2% | ||||
OTHER SECURITIES | 21,734,955 | 4.9% | |||||
124,884,842 | |||||||
Materials - 0.6% | 2,775,736 | 0.6% | |||||
Real estate - 3.4% | |||||||
Essential Properties Realty Trust, Inc. | 149,567 | 4,044,292 | 0.9% | ||||
Ryman Hospitality Properties, Inc. (A) | 57,797 | 4,563,651 | 1.0% | ||||
Xenia Hotels & Resorts, Inc. (A) | 223,064 | 4,177,989 | 1.0% | ||||
OTHER SECURITIES | 2,274,770 | 0.5% | |||||
15,060,702 | |||||||
TOTAL COMMON STOCKS (Cost $374,309,779) | $ | 438,614,188 |
The accompanying notes are an integral part of the financial statements. | 41 |
Shares or Principal Amount | Value | % of Net Assets | |||||
SHORT-TERM INVESTMENTS - 2.5% | |||||||
Short-term funds - 2.1% | |||||||
John Hancock Collateral Trust, 0.0324% (D)(E) | 923,740 | $ | 9,241,650 | 2.1% | |||
Repurchase agreement - 0.4% | 1,800,000 | 0.4% | |||||
TOTAL SHORT-TERM INVESTMENTS (Cost $11,041,788) | $ | 11,041,650 | |||||
Total Investments (Small Cap Stock Trust) (Cost $385,351,567) - 102.5% | $ | 449,655,838 | 102.5% | ||||
Other assets and liabilities, net - (2.5)% | (11,151,125) | (2.5)% | |||||
TOTAL NET ASSETS - 100.0% | $ | 438,504,713 | 100.0% |
Security Abbreviations and Legend | |
ADR | American Depositary Receipt |
(A) | Non-income producing security. |
(B) | All or a portion of this security is on loan as of 6-30-21. |
(C) | Restricted security as to resale. For more information on this security refer to the Notes to financial statements. |
(D) | The rate shown is the annualized seven-day yield as of 6-30-21. |
(E) | Investment is an affiliate of the fund, the advisor and/or subadvisor. This security represents the investment of cash collateral received for securities lending. |
Shares or Principal Amount | Value | % of Net Assets | |||||
COMMON STOCKS - 97.0% | |||||||
Consumer discretionary - 5.4% | |||||||
Kontoor Brands, Inc. | 147,785 | $ | 8,336,552 | 1.5% | |||
Tri Pointe Homes, Inc. (A) | 306,021 | 6,558,030 | 1.2% | ||||
OTHER SECURITIES | 15,344,755 | 2.7% | |||||
30,239,337 | |||||||
Consumer staples - 5.8% | |||||||
Cranswick PLC | 128,148 | 7,050,109 | 1.3% | ||||
Hostess Brands, Inc. (A) | 412,515 | 6,678,618 | 1.2% | ||||
Spectrum Brands Holdings, Inc. | 151,091 | 12,848,777 | 2.3% | ||||
OTHER SECURITIES | 5,884,698 | 1.0% | |||||
32,462,202 | |||||||
Energy - 3.5% | |||||||
Dorian LPG, Ltd. (A) | 443,042 | 6,255,753 | 1.1% | ||||
Magnolia Oil & Gas Corp., Class A (A) | 569,355 | 8,899,019 | 1.6% | ||||
OTHER SECURITIES | 4,635,307 | 0.8% | |||||
19,790,079 | |||||||
Financials - 23.4% | |||||||
Atlantic Union Bankshares Corp. | 202,988 | 7,352,225 | 1.3% | ||||
Banc of California, Inc. | 492,023 | 8,630,083 | 1.5% | ||||
First Busey Corp. | 242,765 | 5,986,585 | 1.1% | ||||
First Midwest Bancorp, Inc. | 418,814 | 8,305,082 | 1.5% | ||||
Flushing Financial Corp. | 305,069 | 6,537,629 | 1.2% | ||||
Great Western Bancorp, Inc. | 265,433 | 8,703,548 | 1.5% | ||||
Hancock Whitney Corp. | 178,260 | 7,921,874 | 1.4% | ||||
International Bancshares Corp. | 200,012 | 8,588,515 | 1.5% | ||||
Kemper Corp. | 133,841 | 9,890,850 | 1.8% | ||||
Synovus Financial Corp. | 202,575 | 8,888,991 | 1.6% | ||||
White Mountains Insurance Group, Ltd. | 6,589 | 7,564,370 | 1.3% | ||||
OTHER SECURITIES | 43,446,191 | 7.7% | |||||
131,815,943 |
Shares or Principal Amount | Value | % of Net Assets | |||||
COMMON STOCKS (continued) | |||||||
Health care - 7.1% | |||||||
Allscripts Healthcare Solutions, Inc. (A) | 492,349 | $ | 9,113,380 | 1.6% | |||
Lantheus Holdings, Inc. (A) | 461,759 | 12,763,019 | 2.3% | ||||
OTHER SECURITIES | 17,896,411 | 3.2% | |||||
39,772,810 | |||||||
Industrials - 24.2% | |||||||
ACCO Brands Corp. | 752,178 | 6,491,296 | 1.2% | ||||
American Woodmark Corp. (A) | 88,101 | 7,196,971 | 1.3% | ||||
CBIZ, Inc. (A) | 253,716 | 8,314,273 | 1.5% | ||||
Forrester Research, Inc. (A) | 127,906 | 5,858,095 | 1.0% | ||||
GATX Corp. | 67,629 | 5,983,138 | 1.1% | ||||
Hexcel Corp. (A) | 111,193 | 6,938,443 | 1.2% | ||||
Huron Consulting Group, Inc. (A) | 162,893 | 8,006,191 | 1.4% | ||||
ICF International, Inc. | 79,357 | 6,972,306 | 1.2% | ||||
Luxfer Holdings PLC | 389,027 | 8,655,851 | 1.5% | ||||
Mueller Industries, Inc. | 152,806 | 6,618,028 | 1.2% | ||||
Primoris Services Corp. | 220,376 | 6,485,666 | 1.2% | ||||
Science Applications International Corp. | 81,961 | 7,190,439 | 1.3% | ||||
SP Plus Corp. (A) | 190,175 | 5,817,453 | 1.0% | ||||
TriMas Corp. (A) | 361,013 | 10,949,524 | 1.9% | ||||
Tyman PLC | 1,942,876 | 12,088,196 | 2.1% | ||||
OTHER SECURITIES | 22,528,606 | 4.1% | |||||
136,094,476 | |||||||
Information technology - 7.4% | |||||||
Belden, Inc. | 198,423 | 10,034,251 | 1.8% | ||||
CTS Corp. | 222,291 | 8,260,334 | 1.5% | ||||
WNS Holdings, Ltd., ADR (A) | 84,309 | 6,733,760 | 1.2% | ||||
OTHER SECURITIES | 16,790,916 | 2.9% | |||||
41,819,261 | |||||||
Materials - 7.1% | |||||||
Element Solutions, Inc. | 488,438 | 11,419,680 | 2.0% | ||||
Neenah, Inc. | 171,520 | 8,605,158 | 1.5% | ||||
Orion Engineered Carbons SA (A) | 392,396 | 7,451,600 | 1.3% | ||||
OTHER SECURITIES | 12,551,133 | 2.3% | |||||
40,027,571 | |||||||
Real estate - 9.2% | |||||||
Alexander & Baldwin, Inc. | 403,352 | 7,389,409 | 1.3% | ||||
Brandywine Realty Trust | 526,183 | 7,213,969 | 1.3% | ||||
Physicians Realty Trust | 397,439 | 7,340,698 | 1.3% | ||||
Piedmont Office Realty Trust, Inc., Class A | 391,413 | 7,229,398 | 1.3% | ||||
RPT Realty | 759,532 | 9,858,725 | 1.8% | ||||
OTHER SECURITIES | 12,826,942 | 2.2% | |||||
51,859,141 | |||||||
Utilities - 3.9% | |||||||
New Jersey Resources Corp. | 140,167 | 5,546,408 | 1.0% | ||||
Portland General Electric Company | 196,017 | 9,032,463 | 1.6% | ||||
Spire, Inc. | 86,620 | 6,260,027 | 1.1% | ||||
OTHER SECURITIES | 1,143,116 | 0.2% | |||||
21,982,014 | |||||||
TOTAL COMMON STOCKS (Cost $422,931,967) | $ | 545,862,834 | |||||
SHORT-TERM INVESTMENTS - 2.8% | |||||||
Short-term funds - 0.0% | |||||||
John Hancock Collateral Trust, 0.0324% (B)(C) | 21,812 | 218,223 | 0.0% |
The accompanying notes are an integral part of the financial statements. | 42 |
Shares or Principal Amount | Value | % of Net Assets | |||||
SHORT-TERM INVESTMENTS (continued) | |||||||
Repurchase agreement - 2.8% | |||||||
Bank of America Tri-Party Repurchase Agreement dated 6-30-21 at 0.050% to be repurchased at $15,700,022 on 7-1-21, collateralized by $14,180,158 Government National Mortgage Association, 1.967% - 1.993% due 5-20-71 (valued at $16,014,001) | $ | 15,700,000 | $ | 15,700,000 | 2.8% | ||
TOTAL SHORT-TERM INVESTMENTS (Cost $15,918,225) | $ | 15,918,223 | |||||
Total Investments (Small Cap Value Trust) (Cost $438,850,192) - 99.8% | $ | 561,781,057 | 99.8% | ||||
Other assets and liabilities, net - 0.2% | 1,029,721 | 0.2% | |||||
TOTAL NET ASSETS - 100.0% | $ | 562,810,778 | 100.0% |
Security Abbreviations and Legend | |
ADR | American Depositary Receipt |
(A) | Non-income producing security. |
(B) | The rate shown is the annualized seven-day yield as of 6-30-21. |
(C) | Investment is an affiliate of the fund, the advisor and/or subadvisor. This security represents the investment of cash collateral received for securities lending. |
Shares or Principal Amount | Value | % of Net Assets | |||||
COMMON STOCKS - 98.0% | |||||||
Communication services - 2.4% | |||||||
Cable One, Inc. | 654 | $ | 1,250,978 | 0.7% | |||
OTHER SECURITIES | 2,933,340 | 1.7% | |||||
4,184,318 | |||||||
Consumer discretionary - 10.7% | |||||||
Cavco Industries, Inc. (A) | 6,012 | 1,335,806 | 0.8% | ||||
Steven Madden, Ltd. | 31,261 | 1,367,981 | 0.8% | ||||
Strategic Education, Inc. | 19,551 | 1,487,049 | 0.9% | ||||
OTHER SECURITIES | 14,434,986 | 8.2% | |||||
18,625,822 | |||||||
Consumer staples - 3.0% | |||||||
Nomad Foods, Ltd. (A) | 61,213 | 1,730,492 | 1.0% | ||||
OTHER SECURITIES | 3,448,474 | 2.0% | |||||
5,178,966 | |||||||
Energy - 6.5% | |||||||
Cactus, Inc., Class A | 37,198 | 1,365,911 | 0.8% | ||||
ChampionX Corp. (A) | 77,190 | 1,979,924 | 1.1% | ||||
Devon Energy Corp. | 62,250 | 1,817,078 | 1.1% | ||||
Liberty Oilfield Services, Inc., Class A (A) | 90,520 | 1,281,763 | 0.7% | ||||
Magnolia Oil & Gas Corp., Class A (A) | 89,023 | 1,391,429 | 0.8% | ||||
Matador Resources Company | 59,231 | 2,132,908 | 1.2% | ||||
OTHER SECURITIES | 1,313,912 | 0.8% | |||||
11,282,925 | |||||||
Financials - 25.9% | |||||||
BankUnited, Inc. | 45,717 | 1,951,659 | 1.1% | ||||
Columbia Banking System, Inc. | 31,504 | 1,214,794 | 0.7% | ||||
FB Financial Corp. | 31,472 | 1,174,535 | 0.7% | ||||
Glacier Bancorp, Inc. | 23,492 | 1,293,939 | 0.7% |
Shares or Principal Amount | Value | % of Net Assets | |||||
COMMON STOCKS (continued) | |||||||
Financials (continued) | |||||||
Hannon Armstrong Sustainable Infrastructure Capital, Inc. | 32,136 | $ | 1,804,436 | 1.0% | |||
Home BancShares, Inc. | 86,792 | 2,142,027 | 1.2% | ||||
Houlihan Lokey, Inc. | 16,188 | 1,324,017 | 0.8% | ||||
Live Oak Bancshares, Inc. | 27,716 | 1,635,244 | 0.9% | ||||
Pinnacle Financial Partners, Inc. | 26,864 | 2,371,823 | 1.4% | ||||
Popular, Inc. | 17,442 | 1,309,022 | 0.8% | ||||
Radian Group, Inc. | 55,530 | 1,235,543 | 0.7% | ||||
Towne Bank | 45,524 | 1,384,840 | 0.8% | ||||
Virtus Investment Partners, Inc. | 5,614 | 1,559,401 | 0.9% | ||||
Webster Financial Corp. | 23,812 | 1,270,132 | 0.7% | ||||
Western Alliance Bancorp | 30,009 | 2,786,336 | 1.6% | ||||
WSFS Financial Corp. | 40,732 | 1,897,704 | 1.1% | ||||
OTHER SECURITIES | 18,736,025 | 10.8% | |||||
45,091,477 | |||||||
Health care - 8.3% | |||||||
Select Medical Holdings Corp. | 49,408 | 2,087,982 | 1.2% | ||||
OTHER SECURITIES | 12,411,225 | 7.1% | |||||
14,499,207 | |||||||
Industrials - 16.1% | |||||||
Beacon Roofing Supply, Inc. (A) | 28,167 | 1,499,893 | 0.9% | ||||
ESCO Technologies, Inc. | 12,951 | 1,214,933 | 0.7% | ||||
Helios Technologies, Inc. | 19,112 | 1,491,692 | 0.9% | ||||
Korn Ferry | 18,659 | 1,353,710 | 0.8% | ||||
Landstar System, Inc. | 7,313 | 1,155,600 | 0.7% | ||||
Stericycle, Inc. (A) | 17,525 | 1,253,914 | 0.7% | ||||
Triumph Group, Inc. (A) | 81,330 | 1,687,598 | 1.0% | ||||
UFP Industries, Inc. | 29,337 | 2,180,913 | 1.3% | ||||
OTHER SECURITIES | 16,122,423 | 9.1% | |||||
27,960,676 | |||||||
Information technology - 6.7% | |||||||
Belden, Inc. | 40,895 | 2,068,055 | 1.2% | ||||
Harmonic, Inc. (A) | 174,042 | 1,482,838 | 0.8% | ||||
Littelfuse, Inc. | 9,089 | 2,315,786 | 1.3% | ||||
OTHER SECURITIES | 5,837,642 | 3.4% | |||||
11,704,321 | |||||||
Materials - 5.7% | |||||||
Constellium SE (A) | 89,510 | 1,696,215 | 1.0% | ||||
OTHER SECURITIES | 8,110,874 | 4.7% | |||||
9,807,089 | |||||||
Real estate - 8.7% | |||||||
EastGroup Properties, Inc. | 8,500 | 1,397,825 | 0.8% | ||||
JBG SMITH Properties | 40,454 | 1,274,706 | 0.7% | ||||
PotlatchDeltic Corp. | 24,450 | 1,299,518 | 0.7% | ||||
Saul Centers, Inc. | 25,254 | 1,147,794 | 0.7% | ||||
Sunstone Hotel Investors, Inc. (A) | 124,867 | 1,550,848 | 0.9% | ||||
Terreno Realty Corp. | 27,065 | 1,746,234 | 1.0% | ||||
The St. Joe Company | 36,936 | 1,647,715 | 0.9% | ||||
OTHER SECURITIES | 5,130,058 | 3.0% | |||||
15,194,698 | |||||||
Utilities - 4.0% | |||||||
Chesapeake Utilities Corp. | 16,647 | 2,003,134 | 1.2% | ||||
ONE Gas, Inc. | 16,378 | 1,213,937 | 0.7% | ||||
OTHER SECURITIES | 3,647,536 | 2.1% | |||||
6,864,607 | |||||||
TOTAL COMMON STOCKS (Cost $116,400,499) | $ | 170,394,106 | |||||
WARRANTS - 0.0% | 11,710 | 0.0% | |||||
TOTAL WARRANTS (Cost $6,099) | $ | 11,710 |
The accompanying notes are an integral part of the financial statements. | 43 |
Shares or Principal Amount | Value | % of Net Assets | |||||
SHORT-TERM INVESTMENTS - 2.3% | |||||||
Short-term funds - 2.3% | |||||||
John Hancock Collateral Trust, 0.0324% (B)(C) | 51,594 | $ | 516,177 | 0.3% | |||
T. Rowe Price Government Reserve Fund, 0.0295% (B) | 2,985,047 | 2,985,047 | 1.7% | ||||
OTHER SECURITIES | 500,063 | 0.3% | |||||
4,001,287 | |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $4,001,292) | $ | 4,001,287 | |||||
Total Investments (Small Company Value Trust) (Cost $120,407,890) - 100.3% | $ | 174,407,103 | 100.3% | ||||
Other assets and liabilities, net - (0.3)% | (588,980) | (0.3)% | |||||
TOTAL NET ASSETS - 100.0% | $ | 173,818,123 | 100.0% |
Security Abbreviations and Legend | |
(A) | Non-income producing security. |
(B) | The rate shown is the annualized seven-day yield as of 6-30-21. |
(C) | Investment is an affiliate of the fund, the advisor and/or subadvisor. This security represents the investment of cash collateral received for securities lending. |
Shares or Principal Amount | Value | % of Net Assets | |||||
COMMON STOCKS - 94.8% | |||||||
Communication services - 7.7% | |||||||
Alphabet, Inc., Class A (A) | 40,860 | $ | 99,771,539 | 1.1% | |||
Alphabet, Inc., Class C (A) | 38,687 | 96,962,002 | 1.1% | ||||
AT&T, Inc. | 970,059 | 27,918,298 | 0.3% | ||||
Comcast Corp., Class A | 622,909 | 35,518,271 | 0.4% | ||||
Facebook, Inc., Class A (A) | 325,533 | 113,191,079 | 1.2% | ||||
Netflix, Inc. (A) | 60,242 | 31,820,427 | 0.4% | ||||
The Walt Disney Company (A) | 246,853 | 43,389,352 | 0.5% | ||||
Verizon Communications, Inc. | 562,480 | 31,515,754 | 0.4% | ||||
OTHER SECURITIES | 234,461,545 | 2.3% | |||||
714,548,267 | |||||||
Consumer discretionary - 11.9% | |||||||
Amazon.com, Inc. (A) | 58,241 | 200,358,359 | 2.2% | ||||
LVMH Moet Hennessy Louis Vuitton SE | 45,154 | 35,520,700 | 0.4% | ||||
NIKE, Inc., Class B | 173,219 | 26,760,603 | 0.3% | ||||
Tesla, Inc. (A) | 104,704 | 71,167,309 | 0.8% | ||||
The Home Depot, Inc. | 144,457 | 46,065,893 | 0.5% | ||||
Toyota Motor Corp. | 345,000 | 30,157,842 | 0.3% | ||||
OTHER SECURITIES | 700,712,441 | 7.4% | |||||
1,110,743,147 | |||||||
Consumer staples - 6.6% | |||||||
Nestle SA | 468,594 | 58,408,863 | 0.6% | ||||
PepsiCo, Inc. | 187,712 | 27,813,287 | 0.3% | ||||
The Coca-Cola Company | 527,216 | 28,527,658 | 0.3% | ||||
The Procter & Gamble Company | 332,623 | 44,880,821 | 0.5% | ||||
Walmart, Inc. | 186,546 | 26,306,717 | 0.3% | ||||
OTHER SECURITIES | 430,483,549 | 4.6% | |||||
616,420,895 | |||||||
Energy - 2.9% | |||||||
Chevron Corp. | 262,590 | 27,503,677 | 0.3% | ||||
Exxon Mobil Corp. | 575,180 | 36,282,354 | 0.4% | ||||
Royal Dutch Shell PLC, A Shares | 667,069 | 13,373,310 | 0.2% |
Shares or Principal Amount | Value | % of Net Assets | |||||
COMMON STOCKS (continued) | |||||||
Energy (continued) | |||||||
Royal Dutch Shell PLC, B Shares | 602,809 | $ | 11,702,201 | 0.1% | |||
OTHER SECURITIES | 176,245,527 | 1.9% | |||||
265,107,069 | |||||||
Financials - 12.8% | |||||||
Bank of America Corp. | 1,024,540 | 42,241,784 | 0.5% | ||||
Berkshire Hathaway, Inc., Class B (A) | 257,508 | 71,566,623 | 0.8% | ||||
JPMorgan Chase & Co. | 411,273 | 63,969,402 | 0.7% | ||||
Wells Fargo & Company | 561,597 | 25,434,728 | 0.3% | ||||
OTHER SECURITIES | 992,637,542 | 10.5% | |||||
1,195,850,079 | |||||||
Health care - 12.4% | |||||||
Abbott Laboratories | 241,403 | 27,985,850 | 0.3% | ||||
AbbVie, Inc. | 239,963 | 27,029,432 | 0.3% | ||||
AstraZeneca PLC | 213,510 | 25,651,972 | 0.3% | ||||
Johnson & Johnson | 357,780 | 58,940,677 | 0.7% | ||||
Merck & Company, Inc. | 344,012 | 26,753,813 | 0.3% | ||||
Novartis AG | 361,140 | 32,945,552 | 0.4% | ||||
Pfizer, Inc. | 760,517 | 29,781,846 | 0.3% | ||||
Roche Holding AG | 114,271 | 43,061,636 | 0.5% | ||||
Roche Holding AG, Bearer Shares | 5,205 | 2,116,875 | 0.0% | ||||
Thermo Fisher Scientific, Inc. | 53,398 | 26,937,689 | 0.3% | ||||
UnitedHealth Group, Inc. | 128,214 | 51,342,014 | 0.6% | ||||
OTHER SECURITIES | 804,343,611 | 8.4% | |||||
1,156,890,967 | |||||||
Industrials - 11.1% | 1,036,815,210 | 11.1% | |||||
Information technology - 19.0% | |||||||
Accenture PLC, Class A | 86,361 | 25,458,359 | 0.3% | ||||
Adobe, Inc. (A) | 64,942 | 38,032,633 | 0.4% | ||||
Apple, Inc. | 2,131,190 | 291,887,782 | 3.2% | ||||
ASML Holding NV | 68,231 | 47,101,175 | 0.5% | ||||
Broadcom, Inc. | 55,473 | 26,451,745 | 0.3% | ||||
Cisco Systems, Inc. | 572,553 | 30,345,309 | 0.3% | ||||
Intel Corp. | 548,613 | 30,799,134 | 0.3% | ||||
Mastercard, Inc., Class A | 118,851 | 43,391,312 | 0.5% | ||||
Microsoft Corp. | 1,023,259 | 277,200,863 | 3.0% | ||||
NVIDIA Corp. | 84,642 | 67,722,064 | 0.7% | ||||
PayPal Holdings, Inc. (A) | 159,602 | 46,520,791 | 0.5% | ||||
salesforce.com, Inc. (A) | 125,809 | 30,731,364 | 0.3% | ||||
Visa, Inc., Class A | 229,853 | 53,744,228 | 0.6% | ||||
OTHER SECURITIES | 756,989,896 | 8.1% | |||||
1,766,376,655 | |||||||
Materials - 4.4% | 406,073,292 | 4.4% | |||||
Real estate - 3.3% | 307,219,805 | 3.3% | |||||
Utilities - 2.7% | 248,209,746 | 2.7% | |||||
TOTAL COMMON STOCKS (Cost $4,317,023,094) | $ | 8,824,255,132 | |||||
PREFERRED SECURITIES - 0.2% | |||||||
Consumer discretionary - 0.1% | 11,074,129 | 0.1% | |||||
Consumer staples - 0.1% | 3,060,375 | 0.1% | |||||
Health care - 0.0% | 2,218,925 | 0.0% | |||||
Materials - 0.0% | 550,102 | 0.0% | |||||
TOTAL PREFERRED SECURITIES (Cost $9,941,317) | $ | 16,903,531 | |||||
RIGHTS - 0.0% | 99,495 | 0.0% | |||||
TOTAL RIGHTS (Cost $73,641) | $ | 99,495 | |||||
WARRANTS - 0.0% | 147,509 | 0.0% | |||||
TOTAL WARRANTS (Cost $15,655) | $ | 147,509 |
The accompanying notes are an integral part of the financial statements. | 44 |
Shares or Principal Amount | Value | % of Net Assets | |||||
SHORT-TERM INVESTMENTS - 4.8% | |||||||
U.S. Government - 1.7% | |||||||
U.S. Treasury Bill, 0.040%, 08/03/2021 * | $ | 136,000,000 | $ | 135,994,166 | 1.5% | ||
OTHER SECURITIES | 17,798,054 | 0.2% | |||||
153,792,220 | |||||||
U.S. Government Agency - 2.4% | |||||||
Federal Home Loan Bank Discount Note, 0.008%, 08/27/2021 * | 11,000,000 | 10,999,303 | 0.1% | ||||
Federal Home Loan Bank Discount Note, 0.009%, 07/30/2021 * | 5,700,000 | 5,699,862 | 0.1% | ||||
Federal Home Loan Bank Discount Note, 0.015%, 07/09/2021 * | 4,300,000 | 4,299,971 | 0.0% | ||||
Federal Home Loan Bank Discount Note, 0.015%, 08/27/2021 * | 13,000,000 | 12,999,177 | 0.1% | ||||
Federal Home Loan Bank Discount Note, 0.020%, 07/16/2021 * | 4,700,000 | 4,699,941 | 0.0% | ||||
Federal Home Loan Bank Discount Note, 0.020%, 09/03/2021 * | 100,000,000 | 99,991,111 | 1.1% | ||||
Federal Home Loan Bank Discount Note, 0.035%, 08/25/2021 * | 7,000,000 | 6,999,572 | 0.1% |
Shares or Principal Amount | Value | % of Net Assets | |||||
SHORT-TERM INVESTMENTS (continued) | |||||||
U.S. Government Agency (continued) | |||||||
Federal Home Loan Bank Discount Note, 0.040%, 07/27/2021 * | $ | 80,000,000 | $ | 79,998,266 | 0.9% | ||
225,687,203 | |||||||
Short-term funds - 0.5% | |||||||
John Hancock Collateral Trust, 0.0324% (B)(C) | 4,731,904 | 47,340,809 | 0.5% | ||||
Repurchase agreement - 0.2% | 20,230,000 | 0.2% | |||||
TOTAL SHORT-TERM INVESTMENTS (Cost $447,059,167) | $ | 447,050,232 | |||||
Total Investments (Strategic Equity Allocation Trust) (Cost $4,774,112,874) - 99.8% | $ | 9,288,455,899 | 99.8% | ||||
Other assets and liabilities, net - 0.2% | 22,565,222 | 0.2% | |||||
TOTAL NET ASSETS - 100.0% | $ | 9,311,021,121 | 100.0% |
Security Abbreviations and Legend | |
(A) | Non-income producing security. |
(B) | The rate shown is the annualized seven-day yield as of 6-30-21. |
(C) | Investment is an affiliate of the fund, the advisor and/or subadvisor. This security represents the investment of cash collateral received for securities lending. |
* | 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) |
MSCI EAFE Index Futures | 1,727 | Long | Sep 2021 | $202,574,804 | $198,959,035 | $(3,615,769) |
Russell 2000 E-Mini Index Futures | 215 | Long | Sep 2021 | 24,789,411 | 24,808,850 | 19,439 |
S&P 500 Index E-Mini Futures | 976 | Long | Sep 2021 | 204,663,158 | 209,283,680 | 4,620,522 |
S&P Mid 400 Index E-Mini Futures | 105 | Long | Sep 2021 | 28,618,181 | 28,270,200 | (347,981) |
$676,211 |
Shares or Principal Amount | Value | % of Net Assets | |||||
COMMON STOCKS - 96.6% | |||||||
Communication services - 10.7% | |||||||
Alphabet, Inc., Class C (A) | 12,262 | $ | 30,732,487 | 3.4% | |||
AT&T, Inc. | 130,688 | 3,761,201 | 0.4% | ||||
Comcast Corp., Class A | 84,640 | 4,826,173 | 0.5% | ||||
Facebook, Inc., Class A (A) | 51,931 | 18,056,928 | 2.0% | ||||
Netflix, Inc. (A) | 8,118 | 4,288,009 | 0.5% | ||||
The Walt Disney Company (A) | 33,435 | 5,876,870 | 0.7% | ||||
T-Mobile US, Inc. (A) | 23,046 | 3,337,752 | 0.4% | ||||
Verizon Communications, Inc. | 75,245 | 4,215,977 | 0.5% | ||||
OTHER SECURITIES | 21,918,386 | 2.3% | |||||
97,013,783 | |||||||
Consumer discretionary - 12.4% | |||||||
Amazon.com, Inc. (A) | 9,239 | 31,783,638 | 3.5% | ||||
NIKE, Inc., Class B | 28,917 | 4,467,387 | 0.5% |
Shares or Principal Amount | Value | % of Net Assets | |||||
COMMON STOCKS (continued) | |||||||
Consumer discretionary (continued) | |||||||
Tesla, Inc. (A) | 17,704 | $ | 12,033,409 | 1.3% | |||
The Home Depot, Inc. | 19,456 | 6,204,324 | 0.7% | ||||
OTHER SECURITIES | 57,982,085 | 6.4% | |||||
112,470,843 | |||||||
Consumer staples - 5.6% | |||||||
Costco Wholesale Corp. | 8,015 | 3,171,295 | 0.4% | ||||
PepsiCo, Inc. | 25,092 | 3,717,882 | 0.4% | ||||
The Coca-Cola Company | 78,888 | 4,268,630 | 0.5% | ||||
The Procter & Gamble Company | 44,679 | 6,028,537 | 0.7% | ||||
Walmart, Inc. | 51,237 | 7,225,442 | 0.8% | ||||
OTHER SECURITIES | 27,002,581 | 2.8% | |||||
51,414,367 |
The accompanying notes are an integral part of the financial statements. | 45 |
Shares or Principal Amount | Value | % of Net Assets | |||||
COMMON STOCKS (continued) | |||||||
Energy - 3.0% | |||||||
Chevron Corp. | 35,846 | $ | 3,754,510 | 0.4% | |||
Exxon Mobil Corp. | 78,073 | 4,924,845 | 0.6% | ||||
OTHER SECURITIES | 18,667,988 | 2.0% | |||||
27,347,343 | |||||||
Financials - 11.1% | |||||||
Bank of America Corp. | 157,031 | 6,474,388 | 0.7% | ||||
Berkshire Hathaway, Inc., Class B (A) | 41,557 | 11,549,521 | 1.3% | ||||
JPMorgan Chase & Co. | 55,188 | 8,583,942 | 1.0% | ||||
Morgan Stanley | 34,141 | 3,130,388 | 0.4% | ||||
State Street Corp. | 6,290 | 517,541 | 0.1% | ||||
Wells Fargo & Company | 75,236 | 3,407,438 | 0.4% | ||||
OTHER SECURITIES | 67,074,088 | 7.2% | |||||
100,737,306 | |||||||
Health care - 12.4% | |||||||
Abbott Laboratories | 32,646 | 3,784,651 | 0.4% | ||||
AbbVie, Inc. | 32,840 | 3,699,098 | 0.4% | ||||
Danaher Corp. | 12,992 | 3,486,533 | 0.4% | ||||
Eli Lilly & Company | 17,620 | 4,044,142 | 0.5% | ||||
Johnson & Johnson | 48,087 | 7,921,852 | 0.9% | ||||
Merck & Company, Inc. | 46,028 | 3,579,598 | 0.4% | ||||
Pfizer, Inc. | 102,379 | 4,009,162 | 0.5% | ||||
Thermo Fisher Scientific, Inc. | 7,126 | 3,594,853 | 0.4% | ||||
UnitedHealth Group, Inc. | 17,336 | 6,942,028 | 0.8% | ||||
OTHER SECURITIES | 72,058,324 | 7.7% | |||||
113,120,241 | |||||||
Industrials - 8.7% | |||||||
United Parcel Service, Inc., Class B | 16,108 | 3,349,981 | 0.4% | ||||
OTHER SECURITIES | 75,451,176 | 8.3% | |||||
78,801,157 | |||||||
Information technology - 25.2% | |||||||
Adobe, Inc. (A) | 8,784 | 5,144,262 | 0.6% | ||||
Apple, Inc. | 305,741 | 41,874,287 | 4.6% | ||||
Broadcom, Inc. | 7,470 | 3,561,995 | 0.4% | ||||
Cisco Systems, Inc. | 76,920 | 4,076,760 | 0.5% | ||||
Intel Corp. | 73,458 | 4,123,932 | 0.5% | ||||
Mastercard, Inc., Class A | 18,201 | 6,645,003 | 0.7% | ||||
Microsoft Corp. | 137,927 | 37,364,424 | 4.1% | ||||
NVIDIA Corp. | 11,439 | 9,152,344 | 1.0% | ||||
Oracle Corp. | 52,513 | 4,087,612 | 0.5% | ||||
PayPal Holdings, Inc. (A) | 21,633 | 6,305,587 | 0.7% | ||||
salesforce.com, Inc. (A) | 17,153 | 4,189,963 | 0.5% | ||||
Texas Instruments, Inc. | 16,691 | 3,209,679 | 0.4% | ||||
Visa, Inc., Class A | 35,691 | 8,345,270 | 0.9% | ||||
OTHER SECURITIES | 90,764,142 | 9.8% | |||||
228,845,260 | |||||||
Materials - 2.3% | 20,852,238 | 2.3% | |||||
Real estate - 3.1% | 28,110,783 | 3.1% | |||||
Utilities - 2.1% | 19,365,093 | 2.1% | |||||
TOTAL COMMON STOCKS (Cost $333,173,911) | $ | 878,078,414 | |||||
PREFERRED SECURITIES - 0.0% | |||||||
Consumer discretionary - 0.0% | 28,145 | 0.0% |
Shares or Principal Amount | Value | % of Net Assets | |||||
PREFERRED SECURITIES (continued) | |||||||
Energy - 0.0% | $ | 2,652 | 0.0% | ||||
Industrials - 0.0% | 11,929 | 0.0% | |||||
TOTAL PREFERRED SECURITIES (Cost $84,689) | $ | 42,726 | |||||
CORPORATE BONDS - 0.0% | |||||||
Financials - 0.0% | 886 | 0.0% | |||||
TOTAL CORPORATE BONDS (Cost $886) | $ | 886 | |||||
RIGHTS - 0.0% | 6,147 | 0.0% | |||||
TOTAL RIGHTS (Cost $6,508) | $ | 6,147 | |||||
WARRANTS - 0.0% | 3,323 | 0.0% | |||||
TOTAL WARRANTS (Cost $139,061) | $ | 3,323 | |||||
SHORT-TERM INVESTMENTS - 4.3% | |||||||
U.S. Government - 0.5% | |||||||
U.S. Treasury Bill, 0.023%, 09/09/2021 * | $ | 5,000,000 | 4,999,538 | 0.5% | |||
U.S. Government Agency - 1.7% | |||||||
Federal Home Loan Bank Discount Note, 0.011%, 08/06/2021 * | 3,000,000 | 2,999,880 | 0.4% | ||||
Federal Home Loan Bank Discount Note, 0.035%, 08/25/2021 * | 12,000,000 | 11,999,267 | 1.3% | ||||
14,999,147 | |||||||
Short-term funds - 1.0% | |||||||
John Hancock Collateral Trust, 0.0324% (B)(C) | 922,812 | 9,232,360 | 1.0% | ||||
Repurchase agreement - 1.1% | |||||||
Repurchase Agreement with State Street Corp. dated 6-30-21 at 0.000% to be repurchased at $9,597,000 on 7-1-21, collateralized by $10,114,800 U.S. Treasury Notes, 0.500% due 5-31-27 (valued at $9,789,031) | $ | 9,597,000 | 9,597,000 | 1.1% | |||
TOTAL SHORT-TERM INVESTMENTS (Cost $38,828,673) | $ | 38,828,045 | |||||
Total Investments (Total Stock Market Index Trust) (Cost $372,233,728) - 100.9% | $ | 916,959,541 | 100.9% | ||||
Other assets and liabilities, net - (0.9)% | (8,502,794) | (0.9)% | |||||
TOTAL NET ASSETS - 100.0% | $ | 908,456,747 | 100.0% |
Security Abbreviations and Legend | |
(A) | Non-income producing security. |
(B) | The rate shown is the annualized seven-day yield as of 6-30-21. |
(C) | Investment is an affiliate of the fund, the advisor and/or subadvisor. This security represents the investment of cash collateral received for securities lending. |
* | 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. |
The accompanying notes are an integral part of the financial statements. | 46 |
Open contracts | Number of contracts | Position | Expiration date | Notional basis^ | Notional value^ | Unrealized appreciation (depreciation) |
Russell 2000 E-Mini Index Futures | 46 | Long | Sep 2021 | $5,286,243 | $5,307,940 | $21,697 |
S&P 500 Index E-Mini Futures | 124 | Long | Sep 2021 | 26,254,712 | 26,589,320 | 334,608 |
$356,305 |
The accompanying notes are an integral part of the financial statements. | 47 |
United States | 83.4% |
Canada | 5.9% |
France | 4.4% |
Netherlands | 1.8% |
Taiwan | 1.7% |
Sweden | 1.1% |
Other countries | 1.7% |
TOTAL | 100.0% |
United States | 86.1% |
Canada | 4.6% |
United Kingdom | 2.7% |
Switzerland | 1.4% |
Spain | 1.0% |
France | 1.0% |
Denmark | 1.0% |
Other countries | 2.2% |
TOTAL | 100.0% |
United States | 87.4% |
Germany | 3.2% |
United Kingdom | 2.0% |
Switzerland | 1.8% |
Netherlands | 1.6% |
China | 1.3% |
Denmark | 1.0% |
Other countries | 1.7% |
TOTAL | 100.0% |
United States | 81.0% |
Canada | 7.4% |
United Kingdom | 2.3% |
Ireland | 1.9% |
Belgium | 1.3% |
Germany | 1.0% |
Other countries | 5.1% |
TOTAL | 100.0% |
United States | 77.6% |
China | 6.5% |
Germany | 5.1% |
South Korea | 3.8% |
Russia | 1.2% |
United Kingdom | 1.0% |
Other countries | 4.8% |
TOTAL | 100.0% |
United States | 68.7% |
Japan | 6.9% |
United Kingdom | 4.2% |
France | 3.3% |
Switzerland | 3.2% |
Germany | 2.8% |
Australia | 2.2% |
Netherlands | 1.8% |
Ireland | 1.1% |
Sweden | 1.0% |
Other countries | 4.8% |
TOTAL | 100.0% |
The accompanying notes are an integral part of the financial statements. | 48 |
Assets | 500 Index Trust | American Asset Allocation Trust | American Global Growth Trust | American Growth Trust |
Unaffiliated investments, at value (including securities loaned) | $7,722,481,885 | $1,438,751,803 | $253,080,024 | $1,095,023,124 |
Affiliated investments, at value | 1,036,455 | — | — | — |
Repurchase agreements, at value | 9,525,000 | — | — | — |
Total investments, at value | 7,733,043,340 | 1,438,751,803 | 253,080,024 | 1,095,023,124 |
Receivable for futures variation margin | 309,234 | — | — | — |
Cash | 6,730 | — | — | — |
Collateral held at broker for futures contracts | 10,406,000 | — | — | — |
Dividends and interest receivable | 4,358,056 | — | — | — |
Receivable for fund shares sold | 5,240 | — | 993 | 5,820 |
Receivable for investments sold | — | 957,967 | 2,136,417 | 12,947,169 |
Receivable for securities lending income | 875 | — | — | — |
Receivable from affiliates | 68,319 | — | — | — |
Other assets | 157,904 | 30,955 | 8,113 | 23,525 |
Total assets | 7,748,355,698 | 1,439,740,725 | 255,225,547 | 1,107,999,638 |
Liabilities | ||||
Due to custodian | — | 1,052 | 167 | 693 |
Payable for fund shares repurchased | 13,842,446 | 933,578 | 2,133,263 | 12,934,844 |
Payable upon return of securities loaned | 1,036,485 | — | — | — |
Payable to affiliates | ||||
Accounting and legal services fees | 316,573 | 60,107 | 10,273 | 43,387 |
Other liabilities and accrued expenses | 666,613 | 37,477 | 25,554 | 33,194 |
Total liabilities | 15,862,117 | 1,032,214 | 2,169,257 | 13,012,118 |
Net assets | $7,732,493,581 | $1,438,708,511 | $253,056,290 | $1,094,987,520 |
Net assets consist of | ||||
Paid-in capital | $2,578,521,625 | $861,944,383 | $131,480,499 | $466,654,075 |
Total distributable earnings (loss) | 5,153,971,956 | 576,764,128 | 121,575,791 | 628,333,445 |
Net assets | $7,732,493,581 | $1,438,708,511 | $253,056,290 | $1,094,987,520 |
Unaffiliated investments, including repurchase agreements, at cost | $2,984,716,046 | $1,011,849,344 | $164,531,438 | $710,267,808 |
Affiliated investments, at cost | $1,036,486 | — | — | — |
Securities loaned, at value | $1,016,056 | — | — | — |
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 | $4,912,173,287 | $363,766,094 | $45,056,185 | $242,545,856 |
Shares outstanding | 99,098,236 | 26,997,532 | 2,047,721 | 9,233,370 |
Net asset value, offering price and redemption price per share | $49.57 | $13.47 | $22.00 | $26.27 |
Series II | ||||
Net assets | $90,157,078 | $944,747,649 | $174,885,553 | $746,571,971 |
Shares outstanding | 1,819,883 | 70,142,234 | 7,985,349 | 28,726,672 |
Net asset value, offering price and redemption price per share | $49.54 | $13.47 | $21.90 | $25.99 |
Series III | ||||
Net assets | — | $130,194,768 | $33,114,552 | $105,869,693 |
Shares outstanding | — | 9,638,860 | 1,502,278 | 4,043,903 |
Net asset value, offering price and redemption price per share | — | $13.51 | $22.04 | $26.18 |
Series NAV | ||||
Net assets | $2,730,163,216 | — | — | — |
Shares outstanding | 55,068,544 | — | — | — |
Net asset value, offering price and redemption price per share | $49.58 | — | — | — |
The accompanying notes are an integral part of the financial statements. | 49 |
Assets | American Growth-Income Trust | American International Trust | Blue Chip Growth Trust | Capital Appreciation Trust |
Unaffiliated investments, at value (including securities loaned) | $1,082,280,216 | $512,423,975 | $2,458,720,238 | $766,814,164 |
Affiliated investments, at value | — | — | 6,157,780 | — |
Total investments, at value | 1,082,280,216 | 512,423,975 | 2,464,878,018 | 766,814,164 |
Dividends and interest receivable | — | — | 169,423 | 140,773 |
Receivable for fund shares sold | — | — | — | 37,239 |
Receivable for investments sold | 7,969,847 | 704,225 | 3,802,519 | 783,005 |
Receivable for securities lending income | — | — | 5,710 | 1,838 |
Other assets | 23,465 | 13,413 | 57,421 | 22,566 |
Total assets | 1,090,273,528 | 513,141,613 | 2,468,913,091 | 767,799,585 |
Liabilities | ||||
Due to custodian | 760 | 367 | — | — |
Payable for investments purchased | — | — | 2,075,490 | 207,629 |
Payable for fund shares repurchased | 7,953,094 | 695,166 | 1,563,727 | 552,560 |
Payable upon return of securities loaned | — | — | 6,158,223 | — |
Payable to affiliates | ||||
Accounting and legal services fees | 44,796 | 20,764 | 96,863 | 28,247 |
Other liabilities and accrued expenses | 33,384 | 27,974 | 269,229 | 101,494 |
Total liabilities | 8,032,034 | 744,271 | 10,163,532 | 889,930 |
Net assets | $1,082,241,494 | $512,397,342 | $2,458,749,559 | $766,909,655 |
Net assets consist of | ||||
Paid-in capital | $724,768,326 | $388,817,541 | $769,663,189 | $283,033,443 |
Total distributable earnings (loss) | 357,473,168 | 123,579,801 | 1,689,086,370 | 483,876,212 |
Net assets | $1,082,241,494 | $512,397,342 | $2,458,749,559 | $766,909,655 |
Unaffiliated investments, including repurchase agreements, at cost | $806,832,320 | $386,433,398 | $1,294,417,799 | $489,620,749 |
Affiliated investments, at cost | — | — | $6,158,023 | — |
Securities loaned, at value | — | — | $6,028,963 | — |
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 | $325,207,537 | $161,924,813 | $404,511,099 | $274,030,916 |
Shares outstanding | 17,984,126 | 7,243,483 | 8,950,102 | 32,759,147 |
Net asset value, offering price and redemption price per share | $18.08 | $22.35 | $45.20 | $8.37 |
Series II | ||||
Net assets | $541,662,983 | $312,810,561 | $152,715,224 | $88,533,424 |
Shares outstanding | 30,121,772 | 14,015,446 | 3,534,749 | 12,249,426 |
Net asset value, offering price and redemption price per share | $17.98 | $22.32 | $43.20 | $7.23 |
Series III | ||||
Net assets | $215,370,974 | $37,661,968 | — | — |
Shares outstanding | 11,917,137 | 1,687,891 | — | — |
Net asset value, offering price and redemption price per share | $18.07 | $22.31 | — | — |
Series NAV | ||||
Net assets | — | — | $1,901,523,236 | $404,345,315 |
Shares outstanding | — | — | 42,003,304 | 47,957,658 |
Net asset value, offering price and redemption price per share | — | — | $45.27 | $8.43 |
The accompanying notes are an integral part of the financial statements. | 50 |
Assets | Capital Appreciation Value Trust | Disciplined Value International Trust | Emerging Markets Value Trust | Equity Income Trust |
Unaffiliated investments, at value (including securities loaned) | $481,344,869 | $319,717,517 | $263,096,440 | $1,662,371,416 |
Affiliated investments, at value | — | 9,544,085 | 2,547,070 | 6,631,528 |
Repurchase agreements, at value | 3,649,000 | — | — | — |
Total investments, at value | 484,993,869 | 329,261,602 | 265,643,510 | 1,669,002,944 |
Cash | 849 | — | 1,533,055 | — |
Foreign currency, at value | — | 901,726 | 1,439,548 | — |
Collateral held at broker for futures contracts | — | — | 128,790 | — |
Dividends and interest receivable | 676,849 | 1,282,042 | 1,528,184 | 2,537,999 |
Receivable for fund shares sold | 9,721 | 1,312,199 | 144,893 | — |
Receivable for investments sold | 547,612 | 942 | 626,651 | — |
Receivable for securities lending income | — | 4,238 | — | 1,865 |
Interfund lending receivable | 3,780 | — | — | — |
Other assets | 13,884 | 13,321 | 11,034 | 47,623 |
Total assets | 486,246,564 | 332,776,070 | 271,055,665 | 1,671,590,431 |
Liabilities | ||||
Written options, at value | 6,141,041 | — | — | — |
Payable for futures variation margin | — | — | 14,700 | — |
Foreign capital gains tax payable | — | — | 13,502 | — |
Payable for investments purchased | 3,532,208 | 286,607 | 733,164 | 3,520,457 |
Payable for fund shares repurchased | 124,651 | 148,056 | 90,921 | 330,232 |
Payable upon return of securities loaned | — | 9,544,107 | 2,539,215 | 6,669,672 |
Payable to affiliates | ||||
Accounting and legal services fees | 19,809 | 13,659 | 10,823 | 71,349 |
Trustees' fees | — | 275 | 219 | — |
Other liabilities and accrued expenses | 84,141 | 31,566 | 61,232 | 179,715 |
Total liabilities | 9,901,850 | 10,024,270 | 3,463,776 | 10,771,425 |
Net assets | $476,344,714 | $322,751,800 | $267,591,889 | $1,660,819,006 |
Net assets consist of | ||||
Paid-in capital | $308,291,397 | $290,283,609 | $274,632,682 | $1,083,527,375 |
Total distributable earnings (loss) | 168,053,317 | 32,468,191 | (7,040,793) | 577,291,631 |
Net assets | $476,344,714 | $322,751,800 | $267,591,889 | $1,660,819,006 |
Unaffiliated investments, including repurchase agreements, at cost | $400,299,749 | $278,310,365 | $226,151,767 | $1,223,453,812 |
Affiliated investments, at cost | — | $9,544,213 | $2,547,135 | $6,631,740 |
Foreign currency, at cost | — | $907,642 | $1,442,484 | — |
Premiums received on written options | $3,823,947 | — | — | — |
Securities loaned, at value | — | $11,428,106 | $4,868,824 | $6,533,050 |
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 | $10,067,619 | $81,097,422 | $7,026,380 | $254,745,899 |
Shares outstanding | 684,707 | 5,558,514 | 625,815 | 15,615,777 |
Net asset value, offering price and redemption price per share | $14.70 | $14.59 | $11.23 | $16.31 |
Series II | ||||
Net assets | $284,476,383 | $47,661,755 | $35,746,314 | $134,158,891 |
Shares outstanding | 19,471,232 | 3,273,002 | 3,186,339 | 8,284,980 |
Net asset value, offering price and redemption price per share | $14.61 | $14.56 | $11.22 | $16.19 |
Series NAV | ||||
Net assets | $181,800,712 | $193,992,623 | $224,819,195 | $1,271,914,216 |
Shares outstanding | 12,398,025 | 13,406,389 | 20,052,252 | 78,458,951 |
Net asset value, offering price and redemption price per share | $14.66 | $14.47 | $11.21 | $16.21 |
The accompanying notes are an integral part of the financial statements. | 51 |
Assets | Financial Industries Trust | Fundamental All Cap Core Trust | Fundamental Large Cap Value Trust | Global Equity Trust |
Unaffiliated investments, at value (including securities loaned) | $167,786,372 | $2,493,080,567 | $787,914,762 | $354,059,496 |
Repurchase agreements, at value | 2,751,000 | 35,082,000 | 22,470,000 | — |
Total investments, at value | 170,537,372 | 2,528,162,567 | 810,384,762 | 354,059,496 |
Unrealized appreciation on forward foreign currency contracts | — | — | — | 280,865 |
Cash | 9,622 | 450 | 52 | — |
Foreign currency, at value | 55 | 28 | — | 167,840 |
Collateral segregated at custodian for OTC derivative contracts | — | — | — | 490,000 |
Dividends and interest receivable | 264,266 | 307,652 | 403,597 | 828,250 |
Receivable for fund shares sold | 2,123 | — | — | — |
Receivable for investments sold | 1,219,044 | — | 10,455,213 | 167,116 |
Other assets | 6,996 | 54,037 | 20,322 | 14,947 |
Total assets | 172,039,478 | 2,528,524,734 | 821,263,946 | 356,008,514 |
Liabilities | ||||
Unrealized depreciation on forward foreign currency contracts | — | — | — | 319,180 |
Payable for investments purchased | 1,228,109 | — | 11,841,726 | 166,462 |
Payable for fund shares repurchased | 216,034 | 561,158 | 2,484,045 | 1,855,777 |
Payable to affiliates | ||||
Accounting and legal services fees | 7,529 | 102,304 | 33,805 | 15,836 |
Trustees' fees | — | — | — | 298 |
Other liabilities and accrued expenses | 49,358 | 238,949 | 103,306 | 65,603 |
Total liabilities | 1,501,030 | 902,411 | 14,462,882 | 2,423,156 |
Net assets | $170,538,448 | $2,527,622,323 | $806,801,064 | $353,585,358 |
Net assets consist of | ||||
Paid-in capital | $117,911,057 | $1,065,528,346 | $410,693,936 | $282,896,993 |
Total distributable earnings (loss) | 52,627,391 | 1,462,093,977 | 396,107,128 | 70,688,365 |
Net assets | $170,538,448 | $2,527,622,323 | $806,801,064 | $353,585,358 |
Unaffiliated investments, including repurchase agreements, at cost | $133,663,001 | $1,343,138,443 | $568,191,942 | $284,713,300 |
Foreign currency, at cost | $55 | $28 | — | $167,848 |
Securities loaned, at value | — | — | — | — |
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 | $117,473,130 | $132,075,764 | $473,272,621 | $276,603,041 |
Shares outstanding | 7,766,201 | 3,647,679 | 15,442,890 | 11,707,613 |
Net asset value, offering price and redemption price per share | $15.13 | $36.21 | $30.65 | $23.63 |
Series II | ||||
Net assets | $21,414,750 | $58,671,806 | $180,730,741 | $28,970,519 |
Shares outstanding | 1,430,934 | 1,627,152 | 5,860,362 | 1,233,327 |
Net asset value, offering price and redemption price per share | $14.97 | $36.06 | $30.84 | $23.49 |
Series NAV | ||||
Net assets | $31,650,568 | $2,336,874,753 | $152,797,702 | $48,011,798 |
Shares outstanding | 2,099,577 | 64,118,084 | 4,982,557 | 2,034,265 |
Net asset value, offering price and redemption price per share | $15.07 | $36.45 | $30.67 | $23.60 |
The accompanying notes are an integral part of the financial statements. | 52 |
Assets | Health Sciences Trust | International Equity Index Trust | International Small Company Trust | Lifestyle Balanced Portfolio |
Unaffiliated investments, at value (including securities loaned) | $338,573,904 | $925,306,079 | $127,332,665 | — |
Affiliated investments, at value | — | 8,675,544 | 1,975,132 | $1,200,909,418 |
Total investments, at value | 338,573,904 | 933,981,623 | 129,307,797 | 1,200,909,418 |
Cash | — | 16,704 | 1,088,791 | — |
Foreign currency, at value | 4,716 | 11,658,868 | 232,162 | — |
Collateral held at broker for futures contracts | — | 1,593,586 | 50,456 | — |
Dividends and interest receivable | 226,046 | 3,137,417 | 500,611 | — |
Receivable for fund shares sold | 342,059 | 239,609 | 39 | 391,646 |
Receivable for investments sold | 783,841 | — | 39,371 | — |
Receivable for securities lending income | — | 12,279 | — | — |
Receivable from affiliates | — | 10,597 | — | — |
Other assets | 11,071 | 31,042 | 6,206 | 25,159 |
Total assets | 339,941,637 | 950,681,725 | 131,225,433 | 1,201,326,223 |
Liabilities | ||||
Payable for futures variation margin | — | 167,059 | 6,440 | — |
Foreign capital gains tax payable | — | 436,485 | — | — |
Payable for investments purchased | 1,074,275 | 1,713,457 | — | 381,731 |
Payable for fund shares repurchased | 45,576 | 778,698 | 187,028 | 1,769 |
Payable upon return of securities loaned | — | 7,364,452 | 1,979,678 | — |
Payable to affiliates | ||||
Accounting and legal services fees | 13,054 | 38,380 | 5,424 | 49,209 |
Trustees' fees | — | 773 | 109 | — |
Other liabilities and accrued expenses | 72,282 | 112,805 | 68,342 | 56,204 |
Total liabilities | 1,205,187 | 10,612,109 | 2,247,021 | 488,913 |
Net assets | $338,736,450 | $940,069,616 | $128,978,412 | $1,200,837,310 |
Net assets consist of | ||||
Paid-in capital | $164,509,642 | $600,332,862 | $106,783,635 | $956,901,534 |
Total distributable earnings (loss) | 174,226,808 | 339,736,754 | 22,194,777 | 243,935,776 |
Net assets | $338,736,450 | $940,069,616 | $128,978,412 | $1,200,837,310 |
Unaffiliated investments, including repurchase agreements, at cost | $210,048,881 | $613,000,965 | $114,712,405 | — |
Affiliated investments, at cost | — | $8,617,061 | $1,975,197 | $1,015,316,897 |
Foreign currency, at cost | $4,742 | $11,811,666 | $234,797 | — |
Securities loaned, at value | — | $13,941,022 | $3,126,802 | — |
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 | $81,201,894 | $392,515,485 | $27,391,894 | $41,043,089 |
Shares outstanding | 2,409,002 | 18,380,383 | 1,662,863 | 2,363,478 |
Net asset value, offering price and redemption price per share | $33.71 | $21.36 | $16.47 | $17.37 |
Series II | ||||
Net assets | $80,074,026 | $24,857,794 | $15,462,875 | $1,007,146,751 |
Shares outstanding | 2,643,041 | 1,163,603 | 940,968 | 57,944,577 |
Net asset value, offering price and redemption price per share | $30.30 | $21.36 | $16.43 | $17.38 |
Series NAV | ||||
Net assets | $177,460,530 | $522,696,337 | $86,123,643 | $152,647,470 |
Shares outstanding | 5,162,303 | 24,478,389 | 5,223,760 | 8,796,685 |
Net asset value, offering price and redemption price per share | $34.38 | $21.35 | $16.49 | $17.35 |
The accompanying notes are an integral part of the financial statements. | 53 |
Assets | Lifestyle Conservative Portfolio | Lifestyle Growth Portfolio | Lifestyle Moderate Portfolio | Mid Cap Index Trust |
Unaffiliated investments, at value (including securities loaned) | — | — | — | $1,451,748,004 |
Affiliated investments, at value | $234,882,302 | $6,440,890,193 | $365,164,802 | 6,098,615 |
Repurchase agreements, at value | — | — | — | 6,487,000 |
Total investments, at value | 234,882,302 | 6,440,890,193 | 365,164,802 | 1,464,333,619 |
Receivable for futures variation margin | — | — | — | 85,747 |
Cash | — | — | — | 8,842 |
Collateral held at broker for futures contracts | — | — | — | 5,142,000 |
Dividends and interest receivable | — | — | — | 1,102,979 |
Receivable for fund shares sold | 2,458 | 45,234 | 62,294 | — |
Receivable for investments sold | 298,339 | 1,424,955 | — | 6,334,461 |
Receivable for securities lending income | — | — | — | 930 |
Receivable from affiliates | 1,379 | — | 1,591 | — |
Other assets | 7,854 | 129,607 | 10,111 | 33,905 |
Total assets | 235,192,332 | 6,442,489,989 | 365,238,798 | 1,477,042,483 |
Liabilities | ||||
Due to custodian | — | 719 | — | — |
Payable for investments purchased | — | — | 56,924 | — |
Payable for fund shares repurchased | 300,501 | 1,424,808 | 4,469 | 1,944,898 |
Payable upon return of securities loaned | — | — | — | 6,098,610 |
Payable to affiliates | ||||
Accounting and legal services fees | 9,545 | 267,901 | 15,005 | 61,229 |
Other liabilities and accrued expenses | 37,867 | 180,315 | 40,154 | 152,390 |
Total liabilities | 347,913 | 1,873,743 | 116,552 | 8,257,127 |
Net assets | $234,844,419 | $6,440,616,246 | $365,122,246 | $1,468,785,356 |
Net assets consist of | ||||
Paid-in capital | $211,467,534 | $4,586,703,943 | $302,487,061 | $890,204,565 |
Total distributable earnings (loss) | 23,376,885 | 1,853,912,303 | 62,635,185 | 578,580,791 |
Net assets | $234,844,419 | $6,440,616,246 | $365,122,246 | $1,468,785,356 |
Unaffiliated investments, including repurchase agreements, at cost | — | — | — | $1,070,059,246 |
Affiliated investments, at cost | $216,921,550 | $5,133,729,602 | $319,477,076 | $6,098,619 |
Securities loaned, at value | — | — | — | $6,588,372 |
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 | $18,559,906 | $250,651,237 | $16,057,395 | $1,107,492,705 |
Shares outstanding | 1,264,419 | 12,945,911 | 976,222 | 44,218,004 |
Net asset value, offering price and redemption price per share | $14.68 | $19.36 | $16.45 | $25.05 |
Series II | ||||
Net assets | $206,297,842 | $5,638,720,844 | $307,698,491 | $74,741,572 |
Shares outstanding | 14,050,957 | 291,244,901 | 18,688,744 | 3,006,231 |
Net asset value, offering price and redemption price per share | $14.68 | $19.36 | $16.46 | $24.86 |
Series NAV | ||||
Net assets | $9,986,671 | $551,244,165 | $41,366,360 | $286,551,079 |
Shares outstanding | 680,807 | 28,479,211 | 2,515,127 | 11,438,976 |
Net asset value, offering price and redemption price per share | $14.67 | $19.36 | $16.45 | $25.05 |
The accompanying notes are an integral part of the financial statements. | 54 |
Assets | Mid Cap Stock Trust | Mid Value Trust | Real Estate Securities Trust | Science & Technology Trust |
Unaffiliated investments, at value (including securities loaned) | $960,081,008 | $669,919,671 | $372,088,456 | $1,152,349,885 |
Affiliated investments, at value | 29,973,961 | 2,828,667 | — | 9,696,971 |
Repurchase agreements, at value | 13,800,000 | — | — | 19,536,000 |
Total investments, at value | 1,003,854,969 | 672,748,338 | 372,088,456 | 1,181,582,856 |
Cash | 29,458 | — | — | 809 |
Foreign currency, at value | — | 126,203 | — | 687,597 |
Unrealized appreciation on unfunded commitments | 2,117,102 | — | — | — |
Dividends and interest receivable | 66,766 | 1,141,692 | 792,535 | 280,107 |
Receivable for fund shares sold | 97,301 | — | 71,255 | — |
Receivable for investments sold | 106,381 | 2,666,808 | — | 3,454,812 |
Receivable for securities lending income | 9,793 | 133 | — | 15,074 |
Other assets | 40,564 | 19,016 | 11,298 | 28,843 |
Total assets | 1,006,322,334 | 676,702,190 | 372,963,544 | 1,186,050,098 |
Liabilities | ||||
Payable for investments purchased | 2,694,786 | 913,349 | 348,640 | 2,511,096 |
Payable for fund shares repurchased | — | 1,524,257 | 201,866 | 1,190,677 |
Payable upon return of securities loaned | 29,974,300 | 2,828,683 | — | 9,697,384 |
Payable to affiliates | ||||
Accounting and legal services fees | 36,835 | 28,574 | 15,231 | 44,334 |
Trustees' fees | 7,789 | — | — | — |
Other liabilities and accrued expenses | 132,415 | 97,227 | 74,252 | 153,673 |
Total liabilities | 32,846,125 | 5,392,090 | 639,989 | 13,597,164 |
Net assets | $973,476,209 | $671,310,100 | $372,323,555 | $1,172,452,934 |
Net assets consist of | ||||
Paid-in capital | $320,343,325 | $449,034,782 | $292,097,527 | $507,082,809 |
Total distributable earnings (loss) | 653,132,884 | 222,275,318 | 80,226,028 | 665,370,125 |
Net assets | $973,476,209 | $671,310,100 | $372,323,555 | $1,172,452,934 |
Unaffiliated investments, including repurchase agreements, at cost | $722,391,567 | $513,198,530 | $303,420,076 | $906,660,098 |
Affiliated investments, at cost | $29,974,462 | $2,828,681 | — | $9,697,196 |
Foreign currency, at cost | — | $126,494 | — | $611,280 |
Securities loaned, at value | $29,108,796 | $2,741,647 | — | $9,489,636 |
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 | $235,499,516 | $254,949,576 | $70,758,059 | $929,451,554 |
Shares outstanding | 8,311,829 | 20,950,811 | 3,040,328 | 20,177,851 |
Net asset value, offering price and redemption price per share | $28.33 | $12.17 | $23.27 | $46.06 |
Series II | ||||
Net assets | $114,333,865 | $56,741,048 | $38,076,717 | $83,613,727 |
Shares outstanding | 4,419,713 | 4,661,751 | 1,638,982 | 1,946,448 |
Net asset value, offering price and redemption price per share | $25.87 | $12.17 | $23.23 | $42.96 |
Series NAV | ||||
Net assets | $623,642,828 | $359,619,476 | $263,488,779 | $159,387,653 |
Shares outstanding | 21,583,458 | 29,766,021 | 11,398,366 | 3,404,034 |
Net asset value, offering price and redemption price per share | $28.89 | $12.08 | $23.12 | $46.82 |
The accompanying notes are an integral part of the financial statements. | 55 |
Assets | Small Cap Index Trust | Small Cap Opportunities Trust | Small Cap Stock Trust | Small Cap Value Trust |
Unaffiliated investments, at value (including securities loaned) | $700,271,925 | $166,434,480 | $438,614,188 | $545,862,834 |
Affiliated investments, at value | 5,698,446 | 437,936 | 9,241,650 | 218,223 |
Repurchase agreements, at value | 9,600,000 | — | 1,800,000 | 15,700,000 |
Total investments, at value | 715,570,371 | 166,872,416 | 449,655,838 | 561,781,057 |
Receivable for futures variation margin | 49,531 | — | — | — |
Cash | 7,824 | — | 68,163 | 57 |
Foreign currency, at value | — | — | 9 | 54 |
Collateral held at broker for futures contracts | 2,891,600 | — | — | — |
Dividends and interest receivable | 477,560 | 96,754 | 68,312 | 697,200 |
Receivable for fund shares sold | 4,823 | 93,472 | 21,569 | 41,787 |
Receivable for investments sold | — | 638,655 | 1,094,131 | 2,908,982 |
Receivable for securities lending income | 12,783 | 10 | 15,141 | — |
Other assets | 18,362 | 7,079 | 13,636 | 15,555 |
Total assets | 719,032,854 | 167,708,386 | 450,936,799 | 565,444,692 |
Liabilities | ||||
Due to custodian | — | 42,450 | — | — |
Unrealized depreciation on unfunded commitments | — | — | 70,880 | — |
Payable for investments purchased | 169,380 | 197,778 | 2,838,632 | 2,010,032 |
Payable for fund shares repurchased | 876,427 | 6,236 | 186,364 | 306,570 |
Payable upon return of securities loaned | 5,679,303 | 435,768 | 9,255,746 | 218,225 |
Payable to affiliates | ||||
Accounting and legal services fees | 28,532 | 7,342 | 16,770 | 23,695 |
Other liabilities and accrued expenses | 90,878 | 47,769 | 63,694 | 75,392 |
Total liabilities | 6,844,520 | 737,343 | 12,432,086 | 2,633,914 |
Net assets | $712,188,334 | $166,971,043 | $438,504,713 | $562,810,778 |
Net assets consist of | ||||
Paid-in capital | $383,992,614 | $104,624,954 | $236,363,519 | $405,919,780 |
Total distributable earnings (loss) | 328,195,720 | 62,346,089 | 202,141,194 | 156,890,998 |
Net assets | $712,188,334 | $166,971,043 | $438,504,713 | $562,810,778 |
Unaffiliated investments, including repurchase agreements, at cost | $492,224,715 | $121,999,212 | $376,109,779 | $438,631,967 |
Affiliated investments, at cost | $5,698,680 | $437,951 | $9,241,788 | $218,225 |
Foreign currency, at cost | — | — | $9 | $55 |
Securities loaned, at value | $16,168,899 | $425,948 | $8,980,464 | $213,065 |
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 | $505,657,558 | $94,673,736 | $129,133,160 | $192,135,640 |
Shares outstanding | 26,410,814 | 2,912,572 | 10,354,956 | 10,852,913 |
Net asset value, offering price and redemption price per share | $19.15 | $32.51 | $12.47 | $17.70 |
Series II | ||||
Net assets | $39,750,449 | $37,270,234 | $39,562,502 | $28,521,749 |
Shares outstanding | 2,092,688 | 1,175,732 | 3,479,306 | 1,625,613 |
Net asset value, offering price and redemption price per share | $18.99 | $31.70 | $11.37 | $17.55 |
Series NAV | ||||
Net assets | $166,780,327 | $35,027,073 | $269,809,051 | $342,153,389 |
Shares outstanding | 8,697,474 | 1,085,653 | 21,186,377 | 19,411,521 |
Net asset value, offering price and redemption price per share | $19.18 | $32.26 | $12.74 | $17.63 |
The accompanying notes are an integral part of the financial statements. | 56 |
Assets | Small Company Value Trust | Strategic Equity Allocation Trust | Total Stock Market Index Trust |
Unaffiliated investments, at value (including securities loaned) | $173,890,926 | $9,220,885,090 | $898,130,181 |
Affiliated investments, at value | 516,177 | 47,340,809 | 9,232,360 |
Repurchase agreements, at value | — | 20,230,000 | 9,597,000 |
Total investments, at value | 174,407,103 | 9,288,455,899 | 916,959,541 |
Receivable for futures variation margin | — | — | 47,282 |
Cash | — | 16,478 | 12,606 |
Foreign currency, at value | — | 5,827,848 | 110 |
Collateral held at broker for futures contracts | — | 50,740,868 | 1,865,800 |
Dividends and interest receivable | 74,431 | 14,056,951 | 490,949 |
Receivable for fund shares sold | — | — | 255,427 |
Receivable for investments sold | 746,699 | 2,923,636 | — |
Receivable for securities lending income | 786 | 59,360 | 16,838 |
Other assets | 7,583 | 239,131 | 22,812 |
Total assets | 175,236,602 | 9,362,320,171 | 919,671,365 |
Liabilities | |||
Payable for futures variation margin | — | 1,159,975 | — |
Payable for investments purchased | 804,632 | 391 | — |
Payable for fund shares repurchased | 45,968 | 1,187,535 | 1,820,333 |
Payable upon return of securities loaned | 515,526 | 47,332,776 | 9,228,874 |
Payable to affiliates | |||
Accounting and legal services fees | 7,246 | 386,708 | 36,846 |
Other liabilities and accrued expenses | 45,107 | 1,231,665 | 128,565 |
Total liabilities | 1,418,479 | 51,299,050 | 11,214,618 |
Net assets | $173,818,123 | $9,311,021,121 | $908,456,747 |
Net assets consist of | |||
Paid-in capital | $105,039,843 | $3,073,102,031 | $269,087,374 |
Total distributable earnings (loss) | 68,778,280 | 6,237,919,090 | 639,369,373 |
Net assets | $173,818,123 | $9,311,021,121 | $908,456,747 |
Unaffiliated investments, including repurchase agreements, at cost | $119,891,708 | $4,726,771,289 | $363,001,161 |
Affiliated investments, at cost | $516,182 | $47,341,585 | $9,232,567 |
Foreign currency, at cost | — | $5,862,225 | $110 |
Securities loaned, at value | $504,188 | $62,510,668 | $8,911,447 |
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 | $61,018,197 | — | $614,271,453 |
Shares outstanding | 4,976,595 | — | 20,340,214 |
Net asset value, offering price and redemption price per share | $12.26 | — | $30.20 |
Series II | |||
Net assets | $46,189,143 | — | $51,144,513 |
Shares outstanding | 3,958,817 | — | 1,703,429 |
Net asset value, offering price and redemption price per share | $11.67 | — | $30.02 |
Series NAV | |||
Net assets | $66,610,783 | $9,311,021,121 | $243,040,781 |
Shares outstanding | 5,467,565 | 392,103,338 | 8,047,166 |
Net asset value, offering price and redemption price per share | $12.18 | $23.75 | $30.20 |
The accompanying notes are an integral part of the financial statements. | 57 |
Investment income | 500 Index Trust | American Asset Allocation Trust | American Global Growth Trust | American Growth Trust |
Dividends from unaffiliated investments | $51,508,076 | $4,756,907 | $691,233 | $1,331,612 |
Interest | 35,665 | — | — | — |
Securities lending | 22,294 | — | — | — |
Less foreign taxes withheld | (4,846) | — | — | — |
Total investment income | 51,561,189 | 4,756,907 | 691,233 | 1,331,612 |
Expenses | ||||
Investment management fees | 16,636,605 | — | — | — |
Distribution and service fees | 1,252,420 | 4,776,343 | 821,378 | 3,555,611 |
Accounting and legal services fees | 492,725 | 94,912 | 16,512 | 70,196 |
Trustees' fees | 66,754 | 13,861 | 2,472 | 10,189 |
Custodian fees | 369,174 | 5,951 | 5,951 | 5,951 |
Printing and postage | 45,172 | 16,217 | 7,377 | 13,586 |
Professional fees | 75,281 | 21,945 | 11,580 | 18,962 |
Other | 100,957 | 17,390 | 7,032 | 13,816 |
Total expenses | 19,039,088 | 4,946,619 | 872,302 | 3,688,311 |
Less expense reductions | (8,758,320) | (348,039) | (80,931) | (376,424) |
Net expenses | 10,280,768 | 4,598,580 | 791,371 | 3,311,887 |
Net investment income (loss) | 41,280,421 | 158,327 | (100,138) | (1,980,275) |
Realized and unrealized gain (loss) | ||||
Net realized gain (loss) on | ||||
Unaffiliated investments and foreign currency transactions | 31,971,075 | 63,069,706 | 7,720,256 | 37,979,051 |
Affiliated investments | (998) | — | — | — |
Capital gain distributions received from unaffiliated investments | — | 46,915,865 | 12,090,724 | 137,834,946 |
Futures contracts | 33,576,833 | — | — | — |
65,546,910 | 109,985,571 | 19,810,980 | 175,813,997 | |
Change in net unrealized appreciation (depreciation) of | ||||
Unaffiliated investments and translation of assets and liabilities in foreign currencies | 918,727,677 | 25,450,917 | 7,271,269 | (45,985,764) |
Affiliated investments | 649 | — | — | — |
Futures contracts | (2,455,966) | — | — | — |
916,272,360 | 25,450,917 | 7,271,269 | (45,985,764) | |
Net realized and unrealized gain (loss) | 981,819,270 | 135,436,488 | 27,082,249 | 129,828,233 |
Increase in net assets from operations | $1,023,099,691 | $135,594,815 | $26,982,111 | $127,847,958 |
The accompanying notes are an integral part of the financial statements. | 58 |
Investment income | American Growth-Income Trust | American International Trust | Blue Chip Growth Trust | Capital Appreciation Trust |
Dividends from unaffiliated investments | $4,346,275 | $294,889 | $4,229,416 | $1,211,362 |
Interest | — | — | 2,479 | 372 |
Securities lending | — | — | 8,833 | 300 |
Less foreign taxes withheld | — | — | (7,792) | (63,012) |
Total investment income | 4,346,275 | 294,889 | 4,232,936 | 1,149,022 |
Expenses | ||||
Investment management fees | — | — | 8,645,833 | 2,550,689 |
Distribution and service fees | 3,197,140 | 1,728,658 | 281,096 | 173,265 |
Accounting and legal services fees | 70,513 | 33,716 | 155,132 | 47,553 |
Trustees' fees | 10,176 | 5,183 | 22,667 | 7,059 |
Custodian fees | 5,951 | 5,951 | 144,803 | 50,581 |
Printing and postage | 13,411 | 9,171 | 20,694 | 9,794 |
Professional fees | 18,507 | 13,826 | 40,313 | 24,842 |
Other | 14,049 | 9,276 | 42,385 | 18,383 |
Total expenses | 3,329,747 | 1,805,781 | 9,352,923 | 2,882,166 |
Less expense reductions | (233,175) | (54,017) | (407,924) | (31,827) |
Net expenses | 3,096,572 | 1,751,764 | 8,944,999 | 2,850,339 |
Net investment income (loss) | 1,249,703 | (1,456,875) | (4,712,063) | (1,701,317) |
Realized and unrealized gain (loss) | ||||
Net realized gain (loss) on | ||||
Unaffiliated investments and foreign currency transactions | 19,171,941 | 7,548,408 | 211,608,845 | 86,154,788 |
Affiliated investments | — | — | (209) | (647) |
Capital gain distributions received from unaffiliated investments | 10,426,556 | — | — | — |
29,598,497 | 7,548,408 | 211,608,636 | 86,154,141 | |
Change in net unrealized appreciation (depreciation) of | ||||
Unaffiliated investments and translation of assets and liabilities in foreign currencies | 107,968,279 | 16,408,383 | 74,012,232 | (14,638,030) |
Affiliated investments | — | — | (232) | 946 |
107,968,279 | 16,408,383 | 74,012,000 | (14,637,084) | |
Net realized and unrealized gain (loss) | 137,566,776 | 23,956,791 | 285,620,636 | 71,517,057 |
Increase in net assets from operations | $138,816,479 | $22,499,916 | $280,908,573 | $69,815,740 |
The accompanying notes are an integral part of the financial statements. | 59 |
Investment income | Capital Appreciation Value Trust | Disciplined Value International Trust | Emerging Markets Value Trust | Equity Income Trust |
Dividends from unaffiliated investments | $2,003,135 | $8,539,676 | $4,509,338 | $20,018,040 |
Interest | 1,628,298 | 310 | 687 | 99,253 |
Securities lending | — | 55,445 | 46,718 | 14,801 |
Less foreign taxes withheld | (4,444) | (913,083) | (432,305) | (478,277) |
Total investment income | 3,626,989 | 7,682,348 | 4,124,438 | 19,653,817 |
Expenses | ||||
Investment management fees | 1,884,180 | 1,230,682 | 1,125,081 | 5,532,511 |
Distribution and service fees | 358,391 | 80,136 | 45,323 | 223,431 |
Accounting and legal services fees | 30,844 | 21,393 | 17,092 | 110,816 |
Trustees' fees | 4,462 | 3,506 | 2,746 | 15,503 |
Custodian fees | 31,498 | 62,712 | 117,698 | 83,646 |
Printing and postage | 8,556 | 7,701 | 8,685 | 15,643 |
Professional fees | 27,427 | 36,445 | 31,796 | 34,706 |
Other | 15,346 | 14,785 | 16,216 | 38,069 |
Total expenses | 2,360,704 | 1,457,360 | 1,364,637 | 6,054,325 |
Less expense reductions | (97,634) | (13,869) | (11,017) | (242,804) |
Net expenses | 2,263,070 | 1,443,491 | 1,353,620 | 5,811,521 |
Net investment income | 1,363,919 | 6,238,857 | 2,770,818 | 13,842,296 |
Realized and unrealized gain (loss) | ||||
Net realized gain (loss) on | ||||
Unaffiliated investments and foreign currency transactions | 31,954,247 | 24,838,348 | 3,280,343 | 87,827,226 |
Affiliated investments | (15) | (623) | (733) | (1,655) |
Futures contracts | — | — | 41,438 | — |
Written options | 1,488,551 | — | — | — |
33,442,783 | 24,837,725 | 3,321,048 | 87,825,571 | |
Change in net unrealized appreciation (depreciation) of | ||||
Unaffiliated investments and translation of assets and liabilities in foreign currencies | 8,125,381 | 4,112,109 | 31,251,948 | 169,910,778 |
Affiliated investments | 7 | (71) | 131 | 250 |
Futures contracts | — | — | (50,998) | — |
Written options | 241,853 | — | — | — |
8,367,241 | 4,112,038 | 31,201,081 | 169,911,028 | |
Net realized and unrealized gain (loss) | 41,810,024 | 28,949,763 | 34,522,129 | 257,736,599 |
Increase in net assets from operations | $43,173,943 | $35,188,620 | $37,292,947 | $271,578,895 |
The accompanying notes are an integral part of the financial statements. | 60 |
Investment income | Financial Industries Trust | Fundamental All Cap Core Trust | Fundamental Large Cap Value Trust | Global Equity Trust |
Dividends from unaffiliated investments | $1,498,652 | $10,484,339 | $6,311,047 | $6,817,819 |
Interest | 39 | 2,702 | 951 | — |
Securities lending | 54 | — | — | — |
Less foreign taxes withheld | (17,832) | (255,931) | (224,888) | (316,692) |
Total investment income | 1,480,913 | 10,231,110 | 6,087,110 | 6,501,127 |
Expenses | ||||
Investment management fees | 605,727 | 7,927,810 | 2,557,029 | 1,373,984 |
Distribution and service fees | 50,243 | 98,866 | 325,037 | 102,588 |
Accounting and legal services fees | 11,192 | 160,386 | 52,049 | 22,102 |
Trustees' fees | 1,522 | 21,509 | 6,955 | 3,789 |
Custodian fees | 12,928 | 129,108 | 42,358 | 54,439 |
Printing and postage | 6,570 | 17,931 | 9,917 | 37,428 |
Professional fees | 23,463 | 35,822 | 24,741 | 43,483 |
Other | 10,625 | 37,468 | 17,760 | 11,749 |
Total expenses | 722,270 | 8,428,900 | 3,035,846 | 1,649,562 |
Less expense reductions | (6,867) | (102,588) | (43,923) | (15,022) |
Net expenses | 715,403 | 8,326,312 | 2,991,923 | 1,634,540 |
Net investment income | 765,510 | 1,904,798 | 3,095,187 | 4,866,587 |
Realized and unrealized gain (loss) | ||||
Net realized gain (loss) on | ||||
Unaffiliated investments and foreign currency transactions | 14,301,727 | 77,776,051 | 59,545,477 | 36,175,672 |
Affiliated investments | 12 | — | — | — |
Forward foreign currency contracts | (625,234) | — | — | (252,021) |
13,676,505 | 77,776,051 | 59,545,477 | 35,923,651 | |
Change in net unrealized appreciation (depreciation) of | ||||
Unaffiliated investments and translation of assets and liabilities in foreign currencies | 9,378,704 | 351,706,588 | 84,466,396 | 1,260,160 |
Forward foreign currency contracts | 656,480 | — | — | 451,011 |
10,035,184 | 351,706,588 | 84,466,396 | 1,711,171 | |
Net realized and unrealized gain (loss) | 23,711,689 | 429,482,639 | 144,011,873 | 37,634,822 |
Increase in net assets from operations | $24,477,199 | $431,387,437 | $147,107,060 | $42,501,409 |
The accompanying notes are an integral part of the financial statements. | 61 |
Investment income | Health Sciences Trust | International Equity Index Trust | International Small Company Trust | Lifestyle Balanced Portfolio |
Dividends from unaffiliated investments | $1,038,625 | $14,368,917 | $1,792,881 | — |
Dividends from affiliated investments | — | 25,258 | — | — |
Securities lending | — | 64,670 | 52,493 | — |
Less foreign taxes withheld | (19,415) | (1,462,694) | (192,401) | — |
Total investment income | 1,019,461 | 12,996,151 | 1,653,692 | — |
Expenses | ||||
Investment management fees | 1,540,677 | 2,355,775 | 545,632 | $240,231 |
Distribution and service fees | 120,786 | 124,874 | 26,136 | 1,237,416 |
Accounting and legal services fees | 21,226 | 60,438 | 8,487 | 78,009 |
Trustees' fees | 3,262 | 9,732 | 1,429 | 11,107 |
Custodian fees | 24,730 | 186,369 | 46,256 | 10,283 |
Printing and postage | 7,651 | 11,030 | 6,423 | 14,874 |
Professional fees | 30,593 | 37,780 | 31,071 | 25,594 |
Other | 11,348 | 24,275 | 8,966 | 16,611 |
Total expenses | 1,760,273 | 2,810,273 | 674,400 | 1,634,125 |
Less expense reductions | (88,235) | (1,142,923) | (5,404) | (29,102) |
Net expenses | 1,672,038 | 1,667,350 | 668,996 | 1,605,023 |
Net investment income (loss) | (652,577) | 11,328,801 | 984,696 | (1,605,023) |
Realized and unrealized gain (loss) | ||||
Net realized gain (loss) on | ||||
Unaffiliated investments and foreign currency transactions | 15,332,901 | 4,667,159 | 4,655,560 | — |
Affiliated investments | — | 25,350 | (1,951) | 12,930,554 |
Futures contracts | — | 2,234,455 | 120,747 | — |
15,332,901 | 6,926,964 | 4,774,356 | 12,930,554 | |
Change in net unrealized appreciation (depreciation) of | ||||
Unaffiliated investments and translation of assets and liabilities in foreign currencies | 12,008,119 | 62,038,728 | 7,900,571 | — |
Affiliated investments | — | 97,285 | 1,363 | 55,137,468 |
Futures contracts | — | (766,735) | (29,902) | — |
12,008,119 | 61,369,278 | 7,872,032 | 55,137,468 | |
Net realized and unrealized gain (loss) | 27,341,020 | 68,296,242 | 12,646,388 | 68,068,022 |
Increase in net assets from operations | $26,688,443 | $79,625,043 | $13,631,084 | $66,462,999 |
The accompanying notes are an integral part of the financial statements. | 62 |
Investment income | Lifestyle Conservative Portfolio | Lifestyle Growth Portfolio | Lifestyle Moderate Portfolio | Mid Cap Index Trust |
Dividends from unaffiliated investments | — | — | — | $9,341,588 |
Interest | — | — | — | 5,441 |
Securities lending | — | — | — | 6,149 |
Total investment income | — | — | — | 9,353,178 |
Expenses | ||||
Investment management fees | $48,397 | $1,316,799 | $73,924 | 3,338,587 |
Distribution and service fees | 263,546 | 7,103,636 | 383,600 | 362,585 |
Accounting and legal services fees | 15,419 | 424,113 | 23,853 | 96,801 |
Trustees' fees | 2,347 | 61,634 | 3,533 | 13,446 |
Custodian fees | 10,292 | 17,392 | 10,292 | 71,539 |
Printing and postage | 7,249 | 46,946 | 7,958 | 13,302 |
Professional fees | 18,450 | 69,236 | 19,350 | 29,907 |
Other | 7,972 | 58,690 | 9,018 | 25,707 |
Total expenses | 373,672 | 9,098,446 | 531,528 | 3,951,874 |
Less expense reductions | (20,688) | (159,579) | (11,317) | (774,473) |
Net expenses | 352,984 | 8,938,867 | 520,211 | 3,177,401 |
Net investment income (loss) | (352,984) | (8,938,867) | (520,211) | 6,175,777 |
Realized and unrealized gain (loss) | ||||
Net realized gain (loss) on | ||||
Unaffiliated investments and foreign currency transactions | — | — | — | 99,119,565 |
Affiliated investments | 2,420,072 | 148,563,871 | 4,855,629 | (263) |
Futures contracts | — | — | — | 7,814,383 |
2,420,072 | 148,563,871 | 4,855,629 | 106,933,685 | |
Change in net unrealized appreciation (depreciation) of | ||||
Unaffiliated investments and translation of assets and liabilities in foreign currencies | — | — | — | 110,713,335 |
Affiliated investments | 1,704,534 | 398,910,729 | 11,206,385 | 462 |
Futures contracts | — | — | — | (1,396,824) |
1,704,534 | 398,910,729 | 11,206,385 | 109,316,973 | |
Net realized and unrealized gain (loss) | 4,124,606 | 547,474,600 | 16,062,014 | 216,250,658 |
Increase in net assets from operations | $3,771,622 | $538,535,733 | $15,541,803 | $222,426,435 |
The accompanying notes are an integral part of the financial statements. | 63 |
Investment income | Mid Cap Stock Trust | Mid Value Trust | Real Estate Securities Trust | Science & Technology Trust |
Dividends from unaffiliated investments | $824,137 | $6,122,867 | $4,212,057 | $2,444,018 |
Interest | 2,199 | 117,734 | 499 | 17,269 |
Securities lending | 23,207 | 678 | — | 21,580 |
Less foreign taxes withheld | — | (156,385) | (419) | (241,550) |
Total investment income | 849,543 | 6,084,894 | 4,212,137 | 2,241,317 |
Expenses | ||||
Investment management fees | 4,073,416 | 3,114,919 | 1,183,993 | 5,939,242 |
Distribution and service fees | 204,706 | 126,940 | 59,254 | 336,005 |
Accounting and legal services fees | 63,120 | 44,699 | 23,073 | 75,553 |
Trustees' fees | 11,512 | 6,280 | 3,272 | 11,135 |
Custodian fees | 59,908 | 34,279 | 21,719 | 90,889 |
Printing and postage | 11,196 | 9,360 | 7,742 | 11,717 |
Professional fees | 34,878 | 25,217 | 35,822 | 32,066 |
Other | 23,591 | 17,249 | 11,500 | 21,494 |
Total expenses | 4,482,327 | 3,378,943 | 1,346,375 | 6,518,101 |
Less expense reductions | (42,715) | (178,447) | (14,774) | (311,075) |
Net expenses | 4,439,612 | 3,200,496 | 1,331,601 | 6,207,026 |
Net investment income (loss) | (3,590,069) | 2,884,398 | 2,880,536 | (3,965,709) |
Realized and unrealized gain (loss) | ||||
Net realized gain (loss) on | ||||
Unaffiliated investments and foreign currency transactions | 142,172,217 | 55,580,379 | 15,265,583 | 196,256,045 |
Affiliated investments | (1,673) | (507) | — | (932) |
142,170,544 | 55,579,872 | 15,265,583 | 196,255,113 | |
Change in net unrealized appreciation (depreciation) of | ||||
Unaffiliated investments and translation of assets and liabilities in foreign currencies | (62,305,417) | 56,924,871 | 51,617,170 | (81,668,337) |
Affiliated investments | (214) | 154 | — | 19 |
Unfunded commitments | 2,117,102 | — | — | — |
(60,188,529) | 56,925,025 | 51,617,170 | (81,668,318) | |
Net realized and unrealized gain (loss) | 81,982,015 | 112,504,897 | 66,882,753 | 114,586,795 |
Increase in net assets from operations | $78,391,946 | $115,389,295 | $69,763,289 | $110,621,086 |
The accompanying notes are an integral part of the financial statements. | 64 |
Investment income | Small Cap Index Trust | Small Cap Opportunities Trust | Small Cap Stock Trust | Small Cap Value Trust |
Dividends from unaffiliated investments | $3,329,554 | $1,092,861 | $489,855 | $4,215,957 |
Interest | — | 133 | 1,006 | 2,230 |
Securities lending | 111,318 | 9,574 | 64,275 | — |
Less foreign taxes withheld | (6,751) | (1,982) | — | — |
Total investment income | 3,434,121 | 1,100,586 | 555,136 | 4,218,187 |
Expenses | ||||
Investment management fees | 1,657,853 | 808,378 | 2,282,131 | 2,584,827 |
Distribution and service fees | 171,829 | 67,723 | 86,899 | 80,335 |
Accounting and legal services fees | 46,863 | 11,461 | 29,629 | 38,245 |
Trustees' fees | 6,348 | 1,576 | 4,325 | 5,140 |
Custodian fees | 37,037 | 18,499 | 25,759 | 25,805 |
Printing and postage | 9,146 | 6,530 | 7,926 | 8,297 |
Professional fees | 25,802 | 20,488 | 25,384 | 25,268 |
Other | 16,893 | 9,688 | 13,479 | 14,092 |
Total expenses | 1,971,771 | 944,343 | 2,475,532 | 2,782,009 |
Less expense reductions | (203,733) | (174,702) | (19,768) | (24,097) |
Net expenses | 1,768,038 | 769,641 | 2,455,764 | 2,757,912 |
Net investment income (loss) | 1,666,083 | 330,945 | (1,900,628) | 1,460,275 |
Realized and unrealized gain (loss) | ||||
Net realized gain (loss) on | ||||
Unaffiliated investments and foreign currency transactions | 58,522,004 | 14,046,608 | 78,089,275 | 37,090,160 |
Affiliated investments | (2,653) | (214) | (2,781) | (1) |
Futures contracts | 3,060,469 | — | — | — |
61,579,820 | 14,046,394 | 78,086,494 | 37,090,159 | |
Change in net unrealized appreciation (depreciation) of | ||||
Unaffiliated investments and translation of assets and liabilities in foreign currencies | 41,486,042 | 18,638,152 | (56,422,295) | 61,965,353 |
Affiliated investments | 1,096 | 132 | 1,027 | 65 |
Futures contracts | (498,550) | — | — | — |
Unfunded commitments | — | — | (2,760,688) | — |
40,988,588 | 18,638,284 | (59,181,956) | 61,965,418 | |
Net realized and unrealized gain (loss) | 102,568,408 | 32,684,678 | 18,904,538 | 99,055,577 |
Increase in net assets from operations | $104,234,491 | $33,015,623 | $17,003,910 | $100,515,852 |
The accompanying notes are an integral part of the financial statements. | 65 |
Investment income | Small Company Value Trust | Strategic Equity Allocation Trust | Total Stock Market Index Trust |
Dividends from unaffiliated investments | $942,529 | $97,925,423 | $5,907,443 |
Interest | 461 | 56,620 | — |
Securities lending | 15,640 | 396,467 | 73,942 |
Less foreign taxes withheld | (1,500) | (4,859,012) | (353) |
Total investment income | 957,130 | 93,519,498 | 5,981,032 |
Expenses | |||
Investment management fees | 888,668 | 29,068,871 | 2,041,008 |
Distribution and service fees | 72,442 | — | 206,272 |
Accounting and legal services fees | 11,532 | 615,219 | 58,080 |
Trustees' fees | 1,683 | 91,901 | 8,175 |
Custodian fees | 12,661 | 699,151 | 49,286 |
Printing and postage | 6,596 | 32,697 | 10,412 |
Professional fees | 20,411 | 123,868 | 32,395 |
Other | 8,889 | 173,493 | 20,805 |
Total expenses | 1,022,882 | 30,805,200 | 2,426,433 |
Less expense reductions | (53,795) | (6,142,277) | (338,698) |
Net expenses | 969,087 | 24,662,923 | 2,087,735 |
Net investment income (loss) | (11,957) | 68,856,575 | 3,893,297 |
Realized and unrealized gain (loss) | |||
Net realized gain (loss) on | |||
Unaffiliated investments and foreign currency transactions | 11,014,678 | 781,773,986 | 44,109,205 |
Affiliated investments | (259) | (11,754) | (2,552) |
Futures contracts | — | 56,772,531 | 3,366,758 |
11,014,419 | 838,534,763 | 47,473,411 | |
Change in net unrealized appreciation (depreciation) of | |||
Unaffiliated investments and translation of assets and liabilities in foreign currencies | 13,734,051 | 267,960,864 | 69,360,044 |
Affiliated investments | 58 | 7,389 | 1,575 |
Futures contracts | — | (6,262,112) | 82,404 |
13,734,109 | 261,706,141 | 69,444,023 | |
Net realized and unrealized gain (loss) | 24,748,528 | 1,100,240,904 | 116,917,434 |
Increase in net assets from operations | $24,736,571 | $1,169,097,479 | $120,810,731 |
The accompanying notes are an integral part of the financial statements. | 66 |
500 Index Trust | American Asset Allocation Trust | American Global Growth Trust | ||||
Increase (decrease) in net assets | Six months ended 6-30-21 (unaudited) | Year ended 12-31-20 | Six months ended 6-30-21 (unaudited) | Year ended 12-31-20 | Six months ended 6-30-21 (unaudited) | Year ended 12-31-20 |
From operations | ||||||
Net investment income (loss) | $41,280,421 | $104,892,811 | $158,327 | $16,204,161 | $(100,138) | $(114,069) |
Net realized gain | 65,546,910 | 314,620,752 | 109,985,571 | 76,404,734 | 19,810,980 | 14,084,057 |
Change in net unrealized appreciation (depreciation) | 916,272,360 | 635,702,117 | 25,450,917 | 57,474,962 | 7,271,269 | 44,474,367 |
Increase in net assets resulting from operations | 1,023,099,691 | 1,055,215,680 | 135,594,815 | 150,083,857 | 26,982,111 | 58,444,355 |
Distributions to shareholders | ||||||
From earnings | ||||||
Series I | — | (140,819,888) | — | (40,739,656) | — | (2,575,727) |
Series II | — | (2,486,486) | — | (117,374,226) | — | (12,658,629) |
Series III | — | — | — | (15,804,385) | — | (2,331,770) |
Series NAV | — | (81,922,505) | — | — | — | — |
Total distributions | — | (225,228,879) | — | (173,918,267) | — | (17,566,126) |
From portfolio share transactions | ||||||
Portfolio share transactions | (115,798,731) | (109,030,580) | (108,483,554) | 40,213,411 | (16,660,659) | (16,785,527) |
Total increase | 907,300,960 | 720,956,221 | 27,111,261 | 16,379,001 | 10,321,452 | 24,092,702 |
Net assets | ||||||
Beginning of period | 6,825,192,621 | 6,104,236,400 | 1,411,597,250 | 1,395,218,249 | 242,734,838 | 218,642,136 |
End of period | $7,732,493,581 | $6,825,192,621 | $1,438,708,511 | $1,411,597,250 | $253,056,290 | $242,734,838 |
American Growth Trust | American Growth-Income Trust | American International Trust | ||||
Increase (decrease) in net assets | Six months ended 6-30-21 (unaudited) | Year ended 12-31-20 | Six months ended 6-30-21 (unaudited) | Year ended 12-31-20 | Six months ended 6-30-21 (unaudited) | Year ended 12-31-20 |
From operations | ||||||
Net investment income (loss) | $(1,980,275) | $(692,765) | $1,249,703 | $9,441,547 | $(1,456,875) | $1,104,542 |
Net realized gain | 175,813,997 | 69,900,078 | 29,598,497 | 56,616,393 | 7,548,408 | 1,862,061 |
Change in net unrealized appreciation (depreciation) | (45,985,764) | 318,533,109 | 107,968,279 | 59,521,872 | 16,408,383 | 67,764,966 |
Increase in net assets resulting from operations | 127,847,958 | 387,740,422 | 138,816,479 | 125,579,812 | 22,499,916 | 70,731,569 |
Distributions to shareholders | ||||||
From earnings | ||||||
Series I | — | (23,055,381) | — | (40,231,022) | — | (7,212,201) |
Series II | — | (82,362,899) | — | (71,054,364) | — | (13,936,196) |
Series III | — | (11,683,658) | — | (28,815,935) | — | (1,844,291) |
Total distributions | — | (117,101,938) | — | (140,101,321) | — | (22,992,688) |
From portfolio share transactions | ||||||
Portfolio share transactions | (79,298,805) | (81,404,474) | (90,781,113) | 39,829,353 | (34,618,052) | (7,499,038) |
Total increase (decrease) | 48,549,153 | 189,234,010 | 48,035,366 | 25,307,844 | (12,118,136) | 40,239,843 |
Net assets | ||||||
Beginning of period | 1,046,438,367 | 857,204,357 | 1,034,206,128 | 1,008,898,284 | 524,515,478 | 484,275,635 |
End of period | $1,094,987,520 | $1,046,438,367 | $1,082,241,494 | $1,034,206,128 | $512,397,342 | $524,515,478 |
The accompanying notes are an integral part of the financial statements. | 67 |
Blue Chip Growth Trust | Capital Appreciation Trust | Capital Appreciation Value Trust | ||||
Increase (decrease) in net assets | Six months ended 6-30-21 (unaudited) | Year ended 12-31-20 | Six months ended 6-30-21 (unaudited) | Year ended 12-31-20 | Six months ended 6-30-21 (unaudited) | Year ended 12-31-20 |
From operations | ||||||
Net investment income (loss) | $(4,712,063) | $(5,383,839) | $(1,701,317) | $(1,926,451) | $1,363,919 | $3,104,613 |
Net realized gain | 211,608,636 | 322,305,420 | 86,154,141 | 125,477,722 | 33,442,783 | 51,104,771 |
Change in net unrealized appreciation (depreciation) | 74,012,000 | 313,551,191 | (14,637,084) | 154,413,870 | 8,367,241 | 12,366,653 |
Increase in net assets resulting from operations | 280,908,573 | 630,472,772 | 69,815,740 | 277,965,141 | 43,173,943 | 66,576,037 |
Distributions to shareholders | ||||||
From earnings | ||||||
Series I | — | (48,329,550) | — | (24,024,161) | — | (514,065) |
Series II | — | (19,738,173) | — | (9,104,998) | — | (24,625,527) |
Series NAV | — | (224,760,504) | — | (32,189,382) | — | (13,130,202) |
Total distributions | — | (292,828,227) | — | (65,318,541) | — | (38,269,794) |
From portfolio share transactions | ||||||
Portfolio share transactions | (178,583,825) | (148,073,453) | (46,546,925) | (11,808,364) | (16,586,358) | 8,649,106 |
Total increase | 102,324,748 | 189,571,092 | 23,268,815 | 200,838,236 | 26,587,585 | 36,955,349 |
Net assets | ||||||
Beginning of period | 2,356,424,811 | 2,166,853,719 | 743,640,840 | 542,802,604 | 449,757,129 | 412,801,780 |
End of period | $2,458,749,559 | $2,356,424,811 | $766,909,655 | $743,640,840 | $476,344,714 | $449,757,129 |
Disciplined Value International Trust | Emerging Markets Value Trust | Equity Income Trust | ||||
Increase (decrease) in net assets | Six months ended 6-30-21 (unaudited) | Year ended 12-31-20 | Six months ended 6-30-21 (unaudited) | Year ended 12-31-20 | Six months ended 6-30-21 (unaudited) | Year ended 12-31-20 |
From operations | ||||||
Net investment income | $6,238,857 | $4,909,470 | $2,770,818 | $4,048,530 | $13,842,296 | $32,758,634 |
Net realized gain (loss) | 24,837,725 | (31,087,609) | 3,321,048 | (8,768,567) | 87,825,571 | 29,573,412 |
Change in net unrealized appreciation (depreciation) | 4,112,038 | 34,521,907 | 31,201,081 | 11,590,976 | 169,911,028 | (63,406,738) |
Increase (decrease) in net assets resulting from operations | 35,188,620 | 8,343,768 | 37,292,947 | 6,870,939 | 271,578,895 | (1,074,692) |
Distributions to shareholders | ||||||
From earnings | ||||||
Series I | — | (1,438,637) | — | (124,789) | — | (21,710,712) |
Series II | — | (793,702) | — | (638,953) | — | (11,464,344) |
Series NAV | — | (3,461,172) | — | (4,060,113) | — | (115,622,593) |
Total distributions | — | (5,693,511) | — | (4,823,855) | — | (148,797,649) |
From portfolio share transactions | ||||||
Portfolio share transactions | (13,198,893) | (11,562,583) | (2,377,630) | (3,045,711) | (95,102,564) | (61,379,085) |
Total increase (decrease) | 21,989,727 | (8,912,326) | 34,915,317 | (998,627) | 176,476,331 | (211,251,426) |
Net assets | ||||||
Beginning of period | 300,762,073 | 309,674,399 | 232,676,572 | 233,675,199 | 1,484,342,675 | 1,695,594,101 |
End of period | $322,751,800 | $300,762,073 | $267,591,889 | $232,676,572 | $1,660,819,006 | $1,484,342,675 |
The accompanying notes are an integral part of the financial statements. | 68 |
Financial Industries Trust | Fundamental All Cap Core Trust | Fundamental Large Cap Value Trust | ||||
Increase (decrease) in net assets | Six months ended 6-30-21 (unaudited) | Year ended 12-31-20 | Six months ended 6-30-21 (unaudited) | Year ended 12-31-20 | Six months ended 6-30-21 (unaudited) | Year ended 12-31-20 |
From operations | ||||||
Net investment income | $765,510 | $1,416,874 | $1,904,798 | $5,376,497 | $3,095,187 | $5,408,098 |
Net realized gain (loss) | 13,676,505 | (71,593) | 77,776,051 | 195,851,821 | 59,545,477 | 89,604,524 |
Change in net unrealized appreciation (depreciation) | 10,035,184 | (1,530,180) | 351,706,588 | 268,581,806 | 84,466,396 | (23,932,139) |
Increase (decrease) in net assets resulting from operations | 24,477,199 | (184,899) | 431,387,437 | 469,810,124 | 147,107,060 | 71,080,483 |
Distributions to shareholders | ||||||
From earnings | ||||||
Series I | — | (9,295,325) | — | (3,553,697) | — | (10,560,919) |
Series II | — | (1,427,577) | — | (1,417,804) | — | (4,060,006) |
Series NAV | — | (2,408,134) | — | (58,278,006) | — | (3,300,686) |
Total distributions | — | (13,131,036) | — | (63,249,507) | — | (17,921,611) |
From portfolio share transactions | ||||||
Portfolio share transactions | 13,720,592 | (12,036,094) | (91,531,239) | (86,683,252) | (15,032,589) | (42,419,712) |
Total increase (decrease) | 38,197,791 | (25,352,029) | 339,856,198 | 319,877,365 | 132,074,471 | 10,739,160 |
Net assets | ||||||
Beginning of period | 132,340,657 | 157,692,686 | 2,187,766,125 | 1,867,888,760 | 674,726,593 | 663,987,433 |
End of period | $170,538,448 | $132,340,657 | $2,527,622,323 | $2,187,766,125 | $806,801,064 | $674,726,593 |
Global Equity Trust | Health Sciences Trust | International Equity Index Trust | ||||
Increase (decrease) in net assets | Six months ended 6-30-21 (unaudited) | Year ended 12-31-20 | Six months ended 6-30-21 (unaudited) | Year ended 12-31-20 | Six months ended 6-30-21 (unaudited) | Year ended 12-31-20 |
From operations | ||||||
Net investment income (loss) | $4,866,587 | $1,919,867 | $(652,577) | $(976,841) | $11,328,801 | $15,700,364 |
Net realized gain (loss) | 35,923,651 | (28,388,335) | 15,332,901 | 33,957,148 | 6,926,964 | 12,164,506 |
Change in net unrealized appreciation (depreciation) | 1,711,171 | 48,902,939 | 12,008,119 | 37,615,827 | 61,369,278 | 51,362,168 |
Increase in net assets resulting from operations | 42,501,409 | 22,434,471 | 26,688,443 | 70,596,134 | 79,625,043 | 79,227,038 |
Distributions to shareholders | ||||||
From earnings | ||||||
Series I | — | (2,134,483) | — | (7,609,149) | — | (10,938,135) |
Series II | — | (478,485) | — | (8,601,256) | — | (656,853) |
Series NAV | — | (843,353) | — | (14,689,821) | — | (14,838,122) |
From tax return of capital | ||||||
Series I | — | (121,470) | — | — | — | — |
Series II | — | (25,337) | — | — | — | — |
Series NAV | — | (48,744) | — | — | — | — |
Total distributions | — | (3,651,872) | — | (30,900,226) | — | (26,433,110) |
From portfolio share transactions | ||||||
Portfolio share transactions | (25,300,825) | (15,896,815) | (13,548,687) | 12,117,856 | (7,833,893) | (24,807,678) |
Issued in reorganization | — | 144,970,081 | — | — | — | — |
Total from portfolio share transactions | (25,300,825) | 129,073,266 | (13,548,687) | 12,117,856 | (7,833,893) | (24,807,678) |
Total increase | 17,200,584 | 147,855,865 | 13,139,756 | 51,813,764 | 71,791,150 | 27,986,250 |
Net assets | ||||||
Beginning of period | 336,384,774 | 188,528,909 | 325,596,694 | 273,782,930 | 868,278,466 | 840,292,216 |
End of period | $353,585,358 | $336,384,774 | $338,736,450 | $325,596,694 | $940,069,616 | $868,278,466 |
The accompanying notes are an integral part of the financial statements. | 69 |
International Small Company Trust | Lifestyle Balanced Portfolio | Lifestyle Conservative Portfolio | ||||
Increase (decrease) in net assets | Six months ended 6-30-21 (unaudited) | Year ended 12-31-20 | Six months ended 6-30-21 (unaudited) | Year ended 12-31-20 | Six months ended 6-30-21 (unaudited) | Year ended 12-31-20 |
From operations | ||||||
Net investment income (loss) | $984,696 | $1,207,405 | $(1,605,023) | $22,823,570 | $(352,984) | $5,730,835 |
Net realized gain | 4,774,356 | 4,161,555 | 12,930,554 | 49,360,186 | 2,420,072 | 4,536,059 |
Change in net unrealized appreciation (depreciation) | 7,872,032 | 3,191,445 | 55,137,468 | 45,469,432 | 1,704,534 | 11,512,733 |
Increase in net assets resulting from operations | 13,631,084 | 8,560,405 | 66,462,999 | 117,653,188 | 3,771,622 | 21,779,627 |
Distributions to shareholders | ||||||
From earnings | ||||||
Series I | — | (1,259,454) | — | (2,212,734) | — | (771,879) |
Series II | — | (658,088) | — | (50,051,973) | — | (9,455,527) |
Series NAV | — | (3,580,074) | — | (7,473,357) | — | (411,202) |
Total distributions | — | (5,497,616) | — | (59,738,064) | — | (10,638,608) |
From portfolio share transactions | ||||||
Portfolio share transactions | (1,177,785) | (2,159,041) | (2,651,084) | 68,275,435 | (2,584,607) | 36,115,091 |
Total increase | 12,453,299 | 903,748 | 63,811,915 | 126,190,559 | 1,187,015 | 47,256,110 |
Net assets | ||||||
Beginning of period | 116,525,113 | 115,621,365 | 1,137,025,395 | 1,010,834,836 | 233,657,404 | 186,401,294 |
End of period | $128,978,412 | $116,525,113 | $1,200,837,310 | $1,137,025,395 | $234,844,419 | $233,657,404 |
Lifestyle Growth Portfolio | Lifestyle Moderate Portfolio | Mid Cap Index Trust | ||||
Increase (decrease) in net assets | Six months ended 6-30-21 (unaudited) | Year ended 12-31-20 | Six months ended 6-30-21 (unaudited) | Year ended 12-31-20 | Six months ended 6-30-21 (unaudited) | Year ended 12-31-20 |
From operations | ||||||
Net investment income (loss) | $(8,938,867) | $115,184,750 | $(520,211) | $7,610,247 | $6,175,777 | $12,618,585 |
Net realized gain | 148,563,871 | 420,503,917 | 4,855,629 | 13,671,068 | 106,933,685 | 76,656,409 |
Change in net unrealized appreciation (depreciation) | 398,910,729 | 185,420,595 | 11,206,385 | 13,934,298 | 109,316,973 | 51,889,019 |
Increase in net assets resulting from operations | 538,535,733 | 721,109,262 | 15,541,803 | 35,215,613 | 222,426,435 | 141,164,013 |
Distributions to shareholders | ||||||
From earnings | ||||||
Series I | — | (16,683,731) | — | (741,472) | — | (105,191,983) |
Series II | — | (388,074,250) | — | (15,517,113) | — | (6,949,314) |
Series NAV | — | (33,722,560) | — | (1,848,646) | — | (24,385,729) |
Total distributions | — | (438,480,541) | — | (18,107,231) | — | (136,527,026) |
From portfolio share transactions | ||||||
Portfolio share transactions | (438,494,741) | (186,581,265) | (6,604,920) | 27,590,853 | (57,606,401) | (45,273,599) |
Issued in reorganization | 39,049,320 | — | — | — | — | — |
Total from portfolio share transactions | (399,445,421) | (186,581,265) | (6,604,920) | 27,590,853 | (57,606,401) | (45,273,599) |
Total increase (decrease) | 139,090,312 | 96,047,456 | 8,936,883 | 44,699,235 | 164,820,034 | (40,636,612) |
Net assets | ||||||
Beginning of period | 6,301,525,934 | 6,205,478,478 | 356,185,363 | 311,486,128 | 1,303,965,322 | 1,344,601,934 |
End of period | $6,440,616,246 | $6,301,525,934 | $365,122,246 | $356,185,363 | $1,468,785,356 | $1,303,965,322 |
The accompanying notes are an integral part of the financial statements. | 70 |
Mid Cap Stock Trust | Mid Value Trust | Real Estate Securities Trust | ||||
Increase (decrease) in net assets | Six months ended 6-30-21 (unaudited) | Year ended 12-31-20 | Six months ended 6-30-21 (unaudited) | Year ended 12-31-20 | Six months ended 6-30-21 (unaudited) | Year ended 12-31-20 |
From operations | ||||||
Net investment income (loss) | $(3,590,069) | $(4,800,188) | $2,884,398 | $8,709,333 | $2,880,536 | $6,065,632 |
Net realized gain (loss) | 142,170,544 | 267,262,561 | 55,579,872 | 16,286,876 | 15,265,583 | (10,494,729) |
Change in net unrealized appreciation (depreciation) | (60,188,529) | 159,368,656 | 56,925,025 | 20,570,677 | 51,617,170 | (17,796,519) |
Increase (decrease) in net assets resulting from operations | 78,391,946 | 421,831,029 | 115,389,295 | 45,566,886 | 69,763,289 | (22,225,616) |
Distributions to shareholders | ||||||
From earnings | ||||||
Series I | — | (26,323,767) | — | (7,529,965) | — | (8,384,536) |
Series II | — | (14,718,135) | — | (1,603,282) | — | (4,452,874) |
Series NAV | — | (68,553,560) | — | (13,009,168) | — | (30,449,623) |
Total distributions | — | (109,595,462) | — | (22,142,415) | — | (43,287,033) |
From portfolio share transactions | ||||||
Portfolio share transactions | (93,804,160) | (112,326,130) | (46,846,066) | (90,745,338) | (11,659,325) | 9,001,484 |
Total increase (decrease) | (15,412,214) | 199,909,437 | 68,543,229 | (67,320,867) | 58,103,964 | (56,511,165) |
Net assets | ||||||
Beginning of period | 988,888,423 | 788,978,986 | 602,766,871 | 670,087,738 | 314,219,591 | 370,730,756 |
End of period | $973,476,209 | $988,888,423 | $671,310,100 | $602,766,871 | $372,323,555 | $314,219,591 |
Science & Technology Trust | Small Cap Index Trust | Small Cap Opportunities Trust | ||||
Increase (decrease) in net assets | Six months ended 6-30-21 (unaudited) | Year ended 12-31-20 | Six months ended 6-30-21 (unaudited) | Year ended 12-31-20 | Six months ended 6-30-21 (unaudited) | Year ended 12-31-20 |
From operations | ||||||
Net investment income (loss) | $(3,965,709) | $(1,576,163) | $1,666,083 | $3,834,516 | $330,945 | $631,092 |
Net realized gain | 196,255,113 | 219,714,657 | 61,579,820 | 48,623,054 | 14,046,394 | 3,401,396 |
Change in net unrealized appreciation (depreciation) | (81,668,318) | 213,312,865 | 40,988,588 | 45,051,515 | 18,638,284 | 7,941,889 |
Increase in net assets resulting from operations | 110,621,086 | 431,451,359 | 104,234,491 | 97,509,085 | 33,015,623 | 11,974,377 |
Distributions to shareholders | ||||||
From earnings | ||||||
Series I | — | (80,848,453) | — | (29,595,245) | — | (4,400,886) |
Series II | — | (7,556,916) | — | (2,524,960) | — | (1,638,867) |
Series NAV | — | (11,723,381) | — | (12,565,959) | — | (1,594,913) |
Total distributions | — | (100,128,750) | — | (44,686,164) | — | (7,634,666) |
From portfolio share transactions | ||||||
Portfolio share transactions | (104,891,800) | 25,856,791 | 1,762,270 | (43,859,861) | (7,074,873) | (2,886,064) |
Total increase | 5,729,286 | 357,179,400 | 105,996,761 | 8,963,060 | 25,940,750 | 1,453,647 |
Net assets | ||||||
Beginning of period | 1,166,723,648 | 809,544,248 | 606,191,573 | 597,228,513 | 141,030,293 | 139,576,646 |
End of period | $1,172,452,934 | $1,166,723,648 | $712,188,334 | $606,191,573 | $166,971,043 | $141,030,293 |
The accompanying notes are an integral part of the financial statements. | 71 |
Small Cap Stock Trust | Small Cap Value Trust | Small Company Value Trust | ||||
Increase (decrease) in net assets | Six months ended 6-30-21 (unaudited) | Year ended 12-31-20 | Six months ended 6-30-21 (unaudited) | Year ended 12-31-20 | Six months ended 6-30-21 (unaudited) | Year ended 12-31-20 |
From operations | ||||||
Net investment income (loss) | $(1,900,628) | $(2,016,006) | $1,460,275 | $2,329,324 | $(11,957) | $426,320 |
Net realized gain | 78,086,494 | 64,963,415 | 37,090,159 | 1,044,286 | 11,014,419 | 4,982,527 |
Change in net unrealized appreciation (depreciation) | (59,181,956) | 81,253,023 | 61,965,418 | (37,056,292) | 13,734,109 | 8,539,393 |
Increase (decrease) in net assets resulting from operations | 17,003,910 | 144,200,432 | 100,515,852 | (33,682,682) | 24,736,571 | 13,948,240 |
Distributions to shareholders | ||||||
From earnings | ||||||
Series I | — | (12,335,008) | — | (19,033,726) | — | (3,126,866) |
Series II | — | (4,351,340) | — | (2,483,074) | — | (2,547,886) |
Series NAV | — | (23,599,592) | — | (27,951,600) | — | (3,377,586) |
Total distributions | — | (40,285,940) | — | (49,468,400) | — | (9,052,338) |
From portfolio share transactions | ||||||
Portfolio share transactions | (18,325,328) | 16,577,986 | (26,047,772) | 54,460,728 | (6,078,954) | 3,173,528 |
Total increase (decrease) | (1,321,418) | 120,492,478 | 74,468,080 | (28,690,354) | 18,657,617 | 8,069,430 |
Net assets | ||||||
Beginning of period | 439,826,131 | 319,333,653 | 488,342,698 | 517,033,052 | 155,160,506 | 147,091,076 |
End of period | $438,504,713 | $439,826,131 | $562,810,778 | $488,342,698 | $173,818,123 | $155,160,506 |
Strategic Equity Allocation Trust | Total Stock Market Index Trust | |||
Increase (decrease) in net assets | Six months ended 6-30-21 (unaudited) | Year ended 12-31-20 | Six months ended 6-30-21 (unaudited) | Year ended 12-31-20 |
From operations | ||||
Net investment income | $68,856,575 | $139,889,747 | $3,893,297 | $10,151,243 |
Net realized gain | 838,534,763 | 853,833,223 | 47,473,411 | 41,921,240 |
Change in net unrealized appreciation (depreciation) | 261,706,141 | 177,343,603 | 69,444,023 | 93,057,920 |
Increase in net assets resulting from operations | 1,169,097,479 | 1,171,066,573 | 120,810,731 | 145,130,403 |
Distributions to shareholders | ||||
From earnings | ||||
Series I | — | — | — | (50,331,351) |
Series II | — | — | — | (4,117,932) |
Series NAV | — | (831,491,356) | — | (19,905,047) |
Total distributions | — | (831,491,356) | — | (74,354,330) |
From portfolio share transactions | ||||
Portfolio share transactions | (1,241,432,158) | (729,980,309) | (28,692,725) | (11,038,834) |
Total increase (decrease) | (72,334,679) | (390,405,092) | 92,118,006 | 59,737,239 |
Net assets | ||||
Beginning of period | 9,383,355,800 | 9,773,760,892 | 816,338,741 | 756,601,502 |
End of period | $9,311,021,121 | $9,383,355,800 | $908,456,747 | $816,338,741 |
The accompanying notes are an integral part of the financial statements. | 72 |
Per share operating performance for a share outstanding throughout each period | Ratios and supplemental data | ||||||||||||||||||
Income (loss) from investment operations | Less distributions | Ratios to average net assets | |||||||||||||||||
Period ended | Net asset value, beginning of period ($) | Net investment income (loss) ($)1 | Net realized and unrealized gain (loss) on investments ($) | Total from investment operations ($) | From net investment income ($) | From net realized gain ($) | From tax return of capital ($) | Total distributions ($) | Net asset value, end of period ($) | 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 | |||||||||||||||||||
Series I | |||||||||||||||||||
06-30-20213 | 43.08 | 0.26 | 6.23 | 6.49 | — | — | — | — | 49.57 | 15.064 | 0.545 | 0.305 | 1.135 | 4,912 | 1 | ||||
12-31-2020 | 37.84 | 0.65 | 6.05 | 6.70 | (0.71) | (0.75) | — | (1.46) | 43.08 | 18.11 | 0.55 | 0.30 | 1.73 | 4,313 | 4 | ||||
12-31-2019 | 29.81 | 0.64 | 8.52 | 9.16 | (0.60) | (0.53) | — | (1.13) | 37.84 | 31.05 | 0.55 | 0.30 | 1.84 | 3,797 | 36 | ||||
12-31-2018 | 32.20 | 0.60 | (2.02) | (1.42) | (0.44) | (0.53) | — | (0.97) | 29.81 | (4.69) | 0.55 | 0.30 | 1.81 | 3,026 | 4 | ||||
12-31-2017 | 27.29 | 0.50 | 5.31 | 5.81 | (0.52) | (0.38) | — | (0.90) | 32.20 | 21.52 | 0.55 | 0.30 | 1.69 | 3,135 | 3 | ||||
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 | 47 | ||||
Series II | |||||||||||||||||||
06-30-20213 | 43.09 | 0.21 | 6.24 | 6.45 | — | — | — | — | 49.54 | 14.974 | 0.745 | 0.505 | 0.935 | 90 | 1 | ||||
12-31-2020 | 37.87 | 0.58 | 6.02 | 6.60 | (0.63) | (0.75) | — | (1.38) | 43.09 | 17.83 | 0.75 | 0.50 | 1.53 | 79 | 4 | ||||
12-31-2019 | 29.83 | 0.57 | 8.53 | 9.10 | (0.53) | (0.53) | — | (1.06) | 37.87 | 30.83 | 0.75 | 0.50 | 1.64 | 78 | 36 | ||||
12-31-2018 | 32.22 | 0.53 | (2.01) | (1.48) | (0.38) | (0.53) | — | (0.91) | 29.83 | (4.88) | 0.75 | 0.50 | 1.61 | 66 | 4 | ||||
12-31-2017 | 27.31 | 0.45 | 5.30 | 5.75 | (0.46) | (0.38) | — | (0.84) | 32.22 | 21.28 | 0.75 | 0.50 | 1.50 | 74 | 3 | ||||
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 | 47 | ||||
Series NAV | |||||||||||||||||||
06-30-20213 | 43.07 | 0.27 | 6.24 | 6.51 | — | — | — | — | 49.58 | 15.114 | 0.495 | 0.255 | 1.185 | 2,730 | 1 | ||||
12-31-2020 | 37.84 | 0.67 | 6.03 | 6.70 | (0.72) | (0.75) | — | (1.47) | 43.07 | 18.14 | 0.50 | 0.25 | 1.78 | 2,433 | 4 | ||||
12-31-2019 | 29.80 | 0.66 | 8.52 | 9.18 | (0.61) | (0.53) | — | (1.14) | 37.84 | 31.16 | 0.50 | 0.25 | 1.90 | 2,229 | 36 | ||||
12-31-2018 | 32.19 | 0.61 | (2.01) | (1.40) | (0.46) | (0.53) | — | (0.99) | 29.80 | (4.65) | 0.50 | 0.25 | 1.86 | 1,721 | 4 | ||||
12-31-2017 | 27.29 | 0.52 | 5.29 | 5.81 | (0.53) | (0.38) | — | (0.91) | 32.19 | 21.54 | 0.50 | 0.25 | 1.75 | 1,892 | 3 | ||||
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 | 47 | ||||
1 Based on average daily shares outstanding. 2 Total returns exclude insurance-related fees and expenses and would have been lower had certain expenses not been reduced during the applicable periods. 3 Six months ended 6-30-21. Unaudited. 4 Not annualized. 5 Annualized. 6 Excludes in-kind transactions. 7 Excludes merger activity. | |||||||||||||||||||
American Asset Allocation Trust | |||||||||||||||||||
Series I | |||||||||||||||||||
06-30-20213 | 12.26 | —4, 5 | 1.21 | 1.21 | — | — | — | — | 13.47 | 9.876 | 0.627, 8 | 0.627, 8 | 0.075, 7 | 364 | 4 | ||||
12-31-2020 | 12.58 | 0.165 | 1.22 | 1.38 | (0.16) | (1.54) | — | (1.70) | 12.26 | 12.02 | 0.638 | 0.628 | 1.305 | 334 | 3 | ||||
12-31-2019 | 11.84 | 0.195 | 2.16 | 2.35 | (0.16) | (1.45) | — | (1.61) | 12.58 | 20.78 | 0.638 | 0.628 | 1.525 | 306 | 7 | ||||
12-31-2018 | 14.29 | 0.185 | (0.76) | (0.58) | (0.16) | (1.71) | — | (1.87) | 11.84 | (4.91) | 0.638 | 0.628 | 1.275 | 262 | 6 | ||||
12-31-2017 | 13.36 | 0.175 | 1.89 | 2.06 | (0.16) | (0.97) | — | (1.13) | 14.29 | 15.79 | 0.638 | 0.628 | 1.175 | 283 | 6 | ||||
12-31-2016 | 14.21 | 0.185 | 1.06 | 1.24 | (0.17) | (1.92) | — | (2.09) | 13.36 | 8.99 | 0.618, 9 | 0.608, 9 | 1.295 | 244 | 4 | ||||
Series II | |||||||||||||||||||
06-30-20213 | 12.26 | —4, 5 | 1.21 | 1.21 | — | — | — | — | 13.47 | 9.876 | 0.777, 8 | 0.717, 8 | (0.05)5, 7 | 945 | 4 | ||||
12-31-2020 | 12.58 | 0.145 | 1.23 | 1.37 | (0.15) | (1.54) | — | (1.69) | 12.26 | 11.92 | 0.788 | 0.718 | 1.155 | 953 | 3 | ||||
12-31-2019 | 11.84 | 0.175 | 2.17 | 2.34 | (0.15) | (1.45) | — | (1.60) | 12.58 | 20.67 | 0.788 | 0.718 | 1.365 | 967 | 7 | ||||
12-31-2018 | 14.30 | 0.155 | (0.75) | (0.60) | (0.15) | (1.71) | — | (1.86) | 11.84 | (5.06) | 0.788 | 0.718 | 1.115 | 934 | 6 | ||||
12-31-2017 | 13.37 | 0.145 | 1.91 | 2.05 | (0.15) | (0.97) | — | (1.12) | 14.30 | 15.69 | 0.788 | 0.718 | 1.005 | 1,141 | 6 | ||||
12-31-2016 | 14.21 | 0.155 | 1.08 | 1.23 | (0.15) | (1.92) | — | (2.07) | 13.37 | 8.92 | 0.768, 9 | 0.728, 9 | 1.085 | 1,133 | 4 | ||||
Series III | |||||||||||||||||||
06-30-20213 | 12.27 | 0.035 | 1.21 | 1.24 | — | — | — | — | 13.51 | 10.116 | 0.277, 8 | 0.277, 8 | 0.415, 7 | 130 | 4 | ||||
12-31-2020 | 12.58 | 0.205 | 1.23 | 1.43 | (0.20) | (1.54) | — | (1.74) | 12.27 | 12.45 | 0.288 | 0.278 | 1.615 | 125 | 3 | ||||
12-31-2019 | 11.84 | 0.235 | 2.17 | 2.40 | (0.21) | (1.45) | — | (1.66) | 12.58 | 21.16 | 0.288 | 0.278 | 1.815 | 122 | 7 | ||||
12-31-2018 | 14.30 | 0.225 | (0.76) | (0.54) | (0.21) | (1.71) | — | (1.92) | 11.84 | (4.62) | 0.288 | 0.278 | 1.565 | 116 | 6 | ||||
12-31-2017 | 13.36 | 0.215 | 1.91 | 2.12 | (0.21) | (0.97) | — | (1.18) | 14.30 | 16.25 | 0.288 | 0.278 | 1.455 | 141 | 6 | ||||
12-31-2016 | 14.20 | 0.225 | 1.08 | 1.30 | (0.22) | (1.92) | — | (2.14) | 13.36 | 9.43 | 0.268, 9 | 0.258, 9 | 1.555 | 137 | 4 | ||||
1 Based on average daily shares outstanding. 2 Total returns exclude insurance-related fees and expenses and would have been lower had certain expenses not been reduced during the applicable periods. 3 Six months ended 6-30-21. Unaudited. 4 Less than $0.005 per share. 5 Net investment income is affected by the timing and frequency of the declaration of dividends by the underlying funds in which the portfolio invests. 6 Not annualized. 7 Annualized. 8 Ratios do not include expenses indirectly incurred from underlying funds and can vary based on the mix of underlying funds held by the portfolio. 9 Includes reimbursement for overbilling of custody expenses in prior years of 0.01%. |
The accompanying notes are an integral part of the financial statements. | 73 |
Per share operating performance for a share outstanding throughout each period | Ratios and supplemental data | ||||||||||||||||||
Income (loss) from investment operations | Less distributions | Ratios to average net assets | |||||||||||||||||
Period ended | Net asset value, beginning of period ($) | Net investment income (loss) ($)1 | Net realized and unrealized gain (loss) on investments ($) | Total from investment operations ($) | From net investment income ($) | From net realized gain ($) | From tax return of capital ($) | Total distributions ($) | Net asset value, end of period ($) | Total return (%)2 | Expenses before reductions (%) | Expenses including reductions (%) | Net investment income (loss) (%) | Net assets, end of period (in millions) | Portfolio turnover (%) | ||||
American Global Growth Trust | |||||||||||||||||||
Series I | |||||||||||||||||||
06-30-20213 | 19.75 | (0.01)4 | 2.26 | 2.25 | — | — | — | — | 22.00 | 11.395 | 0.646, 7 | 0.636, 7 | (0.06)4, 6 | 45 | 7 | ||||
12-31-2020 | 16.49 | —4, 8 | 4.76 | 4.76 | (0.01) | (1.49) | — | (1.50) | 19.75 | 29.96 | 0.657 | 0.647 | (0.02)4 | 39 | 6 | ||||
12-31-2019 | 13.68 | 0.124 | 4.43 | 4.55 | (0.10) | (1.64) | — | (1.74) | 16.49 | 34.71 | 0.657 | 0.647 | 0.794 | 27 | 9 | ||||
12-31-2018 | 16.10 | 0.054 | (1.43) | (1.38) | (0.04) | (1.00) | — | (1.04) | 13.68 | (9.37) | 0.647 | 0.647 | 0.294 | 17 | 11 | ||||
12-31-2017 | 13.43 | 0.054 | 4.00 | 4.05 | (0.04) | (1.34) | — | (1.38) | 16.10 | 30.91 | 0.657 | 0.647 | 0.334 | 19 | 9 | ||||
12-31-2016 | 15.38 | 0.104 | (0.01) | 0.09 | (0.08) | (1.96) | — | (2.04) | 13.43 | 0.28 | 0.647 | 0.607 | 0.694 | 13 | 14 | ||||
Series II | |||||||||||||||||||
06-30-20213 | 19.66 | (0.02)4 | 2.26 | 2.24 | — | — | — | — | 21.90 | 11.395 | 0.796, 7 | 0.706, 7 | (0.15)4, 6 | 175 | 7 | ||||
12-31-2020 | 16.44 | (0.02)4 | 4.74 | 4.72 | (0.01) | (1.49) | — | (1.50) | 19.66 | 29.80 | 0.807 | 0.717 | (0.13)4 | 172 | 6 | ||||
12-31-2019 | 13.64 | 0.094 | 4.44 | 4.53 | (0.09) | (1.64) | — | (1.73) | 16.44 | 34.66 | 0.807 | 0.717 | 0.604 | 161 | 9 | ||||
12-31-2018 | 16.06 | 0.034 | (1.42) | (1.39) | (0.03) | (1.00) | — | (1.03) | 13.64 | (9.46) | 0.797 | 0.717 | 0.164 | 144 | 11 | ||||
12-31-2017 | 13.39 | 0.034 | 4.01 | 4.04 | (0.03) | (1.34) | — | (1.37) | 16.06 | 30.92 | 0.807 | 0.717 | 0.164 | 185 | 9 | ||||
12-31-2016 | 15.35 | 0.064 | — | 0.06 | (0.06) | (1.96) | — | (2.02) | 13.39 | 0.10 | 0.797 | 0.707 | 0.424 | 166 | 14 | ||||
Series III | |||||||||||||||||||
06-30-20213 | 19.75 | 0.034 | 2.26 | 2.29 | — | — | — | — | 22.04 | 11.595 | 0.296, 7 | 0.286, 7 | 0.284, 6 | 33 | 7 | ||||
12-31-2020 | 16.43 | 0.054 | 4.77 | 4.82 | (0.01) | (1.49) | — | (1.50) | 19.75 | 30.44 | 0.307 | 0.297 | 0.304 | 32 | 6 | ||||
12-31-2019 | 13.63 | 0.164 | 4.43 | 4.59 | (0.15) | (1.64) | — | (1.79) | 16.43 | 35.17 | 0.307 | 0.297 | 1.034 | 30 | 9 | ||||
12-31-2018 | 16.05 | 0.104 | (1.43) | (1.33) | (0.09) | (1.00) | — | (1.09) | 13.63 | (9.04) | 0.297 | 0.297 | 0.604 | 27 | 11 | ||||
12-31-2017 | 13.39 | 0.094 | 4.00 | 4.09 | (0.09) | (1.34) | — | (1.43) | 16.05 | 31.34 | 0.307 | 0.297 | 0.564 | 32 | 9 | ||||
12-31-2016 | 15.34 | 0.134 | 0.01 | 0.14 | (0.13) | (1.96) | — | (2.09) | 13.39 | 0.63 | 0.297 | 0.247 | 0.904 | 31 | 14 | ||||
1 Based on average daily shares outstanding. 2 Total returns exclude insurance-related fees and expenses and would have been lower had certain expenses not been reduced during the applicable periods. 3 Six months ended 6-30-21. Unaudited. 4 Net investment income 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 underlying funds and can vary based on the mix of underlying funds held by the portfolio. 8 Less than $0.005 per share. | |||||||||||||||||||
American Growth Trust | |||||||||||||||||||
Series I | |||||||||||||||||||
06-30-20213 | 23.31 | (0.04)4 | 3.00 | 2.96 | — | — | — | — | 26.27 | 12.705 | 0.636, 7 | 0.626, 7 | (0.36)4, 6 | 243 | 8 | ||||
12-31-2020 | 17.56 | (0.01)4 | 8.58 | 8.57 | (0.02) | (2.80) | — | (2.82) | 23.31 | 51.52 | 0.637 | 0.627 | (0.06)4 | 215 | 4 | ||||
12-31-2019 | 16.55 | 0.074 | 4.50 | 4.57 | (0.04) | (3.52) | — | (3.56) | 17.56 | 30.30 | 0.637 | 0.637 | 0.384 | 148 | 12 | ||||
12-31-2018 | 20.17 | 0.014 | 0.32 | 0.33 | — | (3.95) | — | (3.95) | 16.55 | (0.66) | 0.637 | 0.627 | 0.064 | 121 | 13 | ||||
12-31-2017 | 18.62 | 0.034 | 4.86 | 4.89 | (0.02) | (3.32) | — | (3.34) | 20.17 | 27.87 | 0.637 | 0.627 | 0.134 | 130 | 11 | ||||
12-31-2016 | 24.15 | 0.094 | 1.89 | 1.98 | (0.07) | (7.44) | — | (7.51) | 18.62 | 9.08 | 0.627 | 0.627 | 0.414 | 109 | 12 | ||||
Series II | |||||||||||||||||||
06-30-20213 | 23.07 | (0.05)4 | 2.97 | 2.92 | — | — | — | — | 25.99 | 12.665 | 0.786, 7 | 0.686, 7 | (0.43)4, 6 | 747 | 8 | ||||
12-31-2020 | 17.41 | (0.03)4 | 8.51 | 8.48 | (0.02) | (2.80) | — | (2.82) | 23.07 | 51.46 | 0.787 | 0.687 | (0.13)4 | 729 | 4 | ||||
12-31-2019 | 16.44 | 0.054 | 4.47 | 4.52 | (0.03) | (3.52) | — | (3.55) | 17.41 | 30.20 | 0.787 | 0.697 | 0.284 | 619 | 12 | ||||
12-31-2018 | 20.06 | (0.01)4 | 0.33 | 0.32 | — | (3.94) | — | (3.94) | 16.44 | (0.71) | 0.787 | 0.687 | (0.03)4 | 574 | 13 | ||||
12-31-2017 | 18.54 | 0.014 | 4.84 | 4.85 | (0.01) | (3.32) | — | (3.33) | 20.06 | 27.74 | 0.787 | 0.687 | 0.044 | 688 | 11 | ||||
12-31-2016 | 24.08 | 0.074 | 1.89 | 1.96 | (0.06) | (7.44) | — | (7.50) | 18.54 | 9.03 | 0.777 | 0.687 | 0.324 | 658 | 12 | ||||
Series III | |||||||||||||||||||
06-30-20213 | 23.19 | —4, 8 | 2.99 | 2.99 | — | — | — | — | 26.18 | 12.895 | 0.286, 7 | 0.276, 7 | (0.02)4, 6 | 106 | 8 | ||||
12-31-2020 | 17.43 | 0.054 | 8.53 | 8.58 | (0.02) | (2.80) | — | (2.82) | 23.19 | 51.98 | 0.287 | 0.277 | 0.284 | 103 | 4 | ||||
12-31-2019 | 16.44 | 0.124 | 4.49 | 4.61 | (0.10) | (3.52) | — | (3.62) | 17.43 | 30.80 | 0.287 | 0.287 | 0.704 | 91 | 12 | ||||
12-31-2018 | 20.06 | 0.084 | 0.32 | 0.40 | (0.05) | (3.97) | — | (4.02) | 16.44 | (0.28) | 0.287 | 0.277 | 0.384 | 83 | 13 | ||||
12-31-2017 | 18.54 | 0.094 | 4.84 | 4.93 | (0.09) | (3.32) | — | (3.41) | 20.06 | 28.22 | 0.287 | 0.277 | 0.444 | 98 | 11 | ||||
12-31-2016 | 24.07 | 0.164 | 1.90 | 2.06 | (0.15) | (7.44) | — | (7.59) | 18.54 | 9.48 | 0.277 | 0.277 | 0.754 | 94 | 12 | ||||
1 Based on average daily shares outstanding. 2 Total returns exclude insurance-related fees and expenses and would have been lower had certain expenses not been reduced during the applicable periods. 3 Six months ended 6-30-21. Unaudited. 4 Net investment income 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 underlying funds and can vary based on the mix of underlying funds held by the portfolio. 8 Less than $0.005 per share. |
The accompanying notes are an integral part of the financial statements. | 74 |
Per share operating performance for a share outstanding throughout each period | Ratios and supplemental data | ||||||||||||||||||
Income (loss) from investment operations | Less distributions | Ratios to average net assets | |||||||||||||||||
Period ended | Net asset value, beginning of period ($) | Net investment income (loss) ($)1 | Net realized and unrealized gain (loss) on investments ($) | Total from investment operations ($) | From net investment income ($) | From net realized gain ($) | From tax return of capital ($) | Total distributions ($) | Net asset value, end of period ($) | Total return (%)2 | Expenses before reductions (%) | Expenses including reductions (%) | Net investment income (loss) (%) | Net assets, end of period (in millions) | Portfolio turnover (%) | ||||
American Growth-Income Trust | |||||||||||||||||||
Series I | |||||||||||||||||||
06-30-20213 | 15.87 | 0.024 | 2.19 | 2.21 | — | — | — | — | 18.08 | 13.935 | 0.636, 7 | 0.626, 7 | 0.224, 6 | 325 | 1 | ||||
12-31-2020 | 16.38 | 0.154 | 1.75 | 1.90 | (0.16) | (2.25) | — | (2.41) | 15.87 | 13.11 | 0.637 | 0.627 | 0.974 | 298 | 8 | ||||
12-31-2019 | 15.03 | 0.214 | 3.45 | 3.66 | (0.17) | (2.14) | — | (2.31) | 16.38 | 25.70 | 0.637 | 0.627 | 1.284 | 288 | 13 | ||||
12-31-2018 | 17.69 | 0.174 | (0.32) | (0.15) | (0.17) | (2.34) | — | (2.51) | 15.03 | (2.18) | 0.637 | 0.627 | 0.974 | 240 | 11 | ||||
12-31-2017 | 17.58 | 0.184 | 3.37 | 3.55 | (0.17) | (3.27) | — | (3.44) | 17.69 | 22.03 | 0.637 | 0.627 | 1.004 | 275 | 8 | ||||
12-31-2016 | 21.16 | 0.224 | 1.94 | 2.16 | (0.19) | (5.55) | — | (5.74) | 17.58 | 11.10 | 0.627 | 0.617 | 1.104 | 247 | 13 | ||||
Series II | |||||||||||||||||||
06-30-20213 | 15.79 | 0.014 | 2.18 | 2.19 | — | — | — | — | 17.98 | 13.875 | 0.786, 7 | 0.706, 7 | 0.124, 6 | 542 | 1 | ||||
12-31-2020 | 16.31 | 0.144 | 1.74 | 1.88 | (0.15) | (2.25) | — | (2.40) | 15.79 | 13.02 | 0.787 | 0.707 | 0.884 | 528 | 8 | ||||
12-31-2019 | 14.97 | 0.184 | 3.46 | 3.64 | (0.16) | (2.14) | — | (2.30) | 16.31 | 25.64 | 0.787 | 0.707 | 1.134 | 518 | 13 | ||||
12-31-2018 | 17.63 | 0.154 | (0.31) | (0.16) | (0.16) | (2.34) | — | (2.50) | 14.97 | (2.27) | 0.787 | 0.707 | 0.854 | 492 | 11 | ||||
12-31-2017 | 17.54 | 0.164 | 3.35 | 3.51 | (0.15) | (3.27) | — | (3.42) | 17.63 | 21.89 | 0.787 | 0.707 | 0.874 | 594 | 8 | ||||
12-31-2016 | 21.12 | 0.194 | 1.96 | 2.15 | (0.18) | (5.55) | — | (5.73) | 17.54 | 11.06 | 0.777 | 0.697 | 0.974 | 585 | 13 | ||||
Series III | |||||||||||||||||||
06-30-20213 | 15.83 | 0.054 | 2.19 | 2.24 | — | — | — | — | 18.07 | 14.155 | 0.286, 7 | 0.276, 7 | 0.564, 6 | 215 | 1 | ||||
12-31-2020 | 16.34 | 0.214 | 1.74 | 1.95 | (0.21) | (2.25) | — | (2.46) | 15.83 | 13.47 | 0.287 | 0.277 | 1.324 | 208 | 8 | ||||
12-31-2019 | 14.99 | 0.264 | 3.46 | 3.72 | (0.23) | (2.14) | — | (2.37) | 16.34 | 26.16 | 0.287 | 0.277 | 1.584 | 202 | 13 | ||||
12-31-2018 | 17.65 | 0.234 | (0.32) | (0.09) | (0.23) | (2.34) | — | (2.57) | 14.99 | (1.82) | 0.287 | 0.277 | 1.304 | 189 | 11 | ||||
12-31-2017 | 17.55 | 0.244 | 3.36 | 3.60 | (0.23) | (3.27) | — | (3.50) | 17.65 | 22.39 | 0.287 | 0.277 | 1.304 | 222 | 8 | ||||
12-31-2016 | 21.12 | 0.284 | 1.96 | 2.24 | (0.26) | (5.55) | — | (5.81) | 17.55 | 11.54 | 0.277 | 0.267 | 1.424 | 218 | 13 | ||||
1 Based on average daily shares outstanding. 2 Total returns exclude insurance-related fees and expenses and would have been lower had certain expenses not been reduced during the applicable periods. 3 Six months ended 6-30-21. Unaudited. 4 Net investment income 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 underlying funds and can vary based on the mix of underlying funds held by the portfolio. | |||||||||||||||||||
American International Trust | |||||||||||||||||||
Series I | |||||||||||||||||||
06-30-20213 | 21.41 | (0.06)4 | 1.00 | 0.94 | — | — | — | — | 22.35 | 4.395 | 0.636, 7 | 0.626, 7 | (0.51)4, 6 | 162 | 2 | ||||
12-31-2020 | 19.83 | 0.064 | 2.46 | 2.52 | (0.07) | (0.87) | — | (0.94) | 21.41 | 13.56 | 0.647 | 0.637 | 0.324 | 170 | 10 | ||||
12-31-2019 | 17.67 | 0.224 | 3.56 | 3.78 | (0.18) | (1.44) | — | (1.62) | 19.83 | 22.40 | 0.647 | 0.637 | 1.124 | 137 | 10 | ||||
12-31-2018 | 21.93 | 0.284 | (3.14) | (2.86) | (0.27) | (1.13) | — | (1.40) | 17.67 | (13.46) | 0.637 | 0.627 | 1.324 | 119 | 20 | ||||
12-31-2017 | 17.71 | 0.194 | 5.34 | 5.53 | (0.18) | (1.13) | — | (1.31) | 21.93 | 31.65 | 0.637 | 0.627 | 0.904 | 132 | 9 | ||||
12-31-2016 | 17.35 | 0.174 | 0.37 | 0.54 | (0.18) | — | — | (0.18) | 17.71 | 3.12 | 0.637 | 0.627 | 0.994 | 93 | 17 | ||||
Series II | |||||||||||||||||||
06-30-20213 | 21.39 | (0.07)4 | 1.00 | 0.93 | — | — | — | — | 22.32 | 4.355 | 0.786, 7 | 0.756, 7 | (0.64)4, 6 | 313 | 2 | ||||
12-31-2020 | 19.82 | 0.034 | 2.46 | 2.49 | (0.05) | (0.87) | — | (0.92) | 21.39 | 13.40 | 0.797 | 0.767 | 0.164 | 317 | 10 | ||||
12-31-2019 | 17.66 | 0.174 | 3.59 | 3.76 | (0.16) | (1.44) | — | (1.60) | 19.82 | 22.27 | 0.797 | 0.767 | 0.884 | 310 | 10 | ||||
12-31-2018 | 21.92 | 0.244 | (3.13) | (2.89) | (0.24) | (1.13) | — | (1.37) | 17.66 | (13.59) | 0.787 | 0.757 | 1.114 | 300 | 20 | ||||
12-31-2017 | 17.70 | 0.144 | 5.36 | 5.50 | (0.15) | (1.13) | — | (1.28) | 21.92 | 31.49 | 0.787 | 0.757 | 0.694 | 381 | 9 | ||||
12-31-2016 | 17.34 | 0.144 | 0.37 | 0.51 | (0.15) | — | — | (0.15) | 17.70 | 2.97 | 0.787 | 0.757 | 0.824 | 361 | 17 | ||||
Series III | |||||||||||||||||||
06-30-20213 | 21.34 | (0.02)4 | 0.99 | 0.97 | — | — | — | — | 22.31 | 4.555 | 0.286, 7 | 0.276, 7 | (0.16)4, 6 | 38 | 2 | ||||
12-31-2020 | 19.75 | 0.124 | 2.47 | 2.59 | (0.13) | (0.87) | — | (1.00) | 21.34 | 13.98 | 0.297 | 0.287 | 0.644 | 38 | 10 | ||||
12-31-2019 | 17.59 | 0.264 | 3.59 | 3.85 | (0.25) | (1.44) | — | (1.69) | 19.75 | 22.89 | 0.297 | 0.287 | 1.384 | 37 | 10 | ||||
12-31-2018 | 21.86 | 0.344 | (3.14) | (2.80) | (0.34) | (1.13) | — | (1.47) | 17.59 | (13.20) | 0.287 | 0.277 | 1.614 | 35 | 20 | ||||
12-31-2017 | 17.65 | 0.244 | 5.35 | 5.59 | (0.25) | (1.13) | — | (1.38) | 21.86 | 32.12 | 0.287 | 0.277 | 1.164 | 43 | 9 | ||||
12-31-2016 | 17.29 | 0.234 | 0.37 | 0.60 | (0.24) | — | — | (0.24) | 17.65 | 3.49 | 0.287 | 0.277 | 1.334 | 41 | 17 | ||||
1 Based on average daily shares outstanding. 2 Total returns exclude insurance-related fees and expenses and would have been lower had certain expenses not been reduced during the applicable periods. 3 Six months ended 6-30-21. Unaudited. 4 Net investment income 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 underlying funds and can vary based on the mix of underlying funds held by the portfolio. |
The accompanying notes are an integral part of the financial statements. | 75 |
Per share operating performance for a share outstanding throughout each 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 realized and unrealized gain (loss) on investments ($) | Total from investment operations ($) | From net investment income ($) | From net realized gain ($) | From tax return of capital ($) | Total distributions ($) | 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 | |||||||||||||||||||
06-30-20213 | 40.21 | (0.09) | 5.08 | 4.99 | — | — | — | — | 45.20 | 12.414 | 0.825 | 0.785 | (0.43)5 | 405 | 16 | ||||
12-31-2020 | 34.45 | (0.11) | 11.57 | 11.46 | — | (5.70) | — | (5.70) | 40.21 | 34.30 | 0.83 | 0.80 | (0.28) | 383 | 24 | ||||
12-31-2019 | 30.96 | (0.02) | 8.82 | 8.80 | — | (5.31) | — | (5.31) | 34.45 | 29.80 | 0.84 | 0.81 | (0.04) | 325 | 29 | ||||
12-31-2018 | 34.92 | (0.01) | 1.32 | 1.31 | (0.01) | (5.26) | — | (5.27) | 30.96 | 1.97 | 0.84 | 0.80 | (0.02) | 289 | 35 | ||||
12-31-2017 | 27.45 | (0.01) | 9.74 | 9.73 | (0.02) | (2.24) | — | (2.26) | 34.92 | 36.28 | 0.85 | 0.82 | (0.02) | 323 | 25 | ||||
12-31-2016 | 32.45 | 0.02 | 0.17 | 0.19 | —6 | (5.19) | — | (5.19) | 27.45 | 0.81 | 0.857 | 0.827 | 0.07 | 270 | 30 | ||||
Series II | |||||||||||||||||||
06-30-20213 | 38.48 | (0.12) | 4.84 | 4.72 | — | — | — | — | 43.20 | 12.274 | 1.025 | 0.985 | (0.63)5 | 153 | 16 | ||||
12-31-2020 | 33.22 | (0.17) | 11.13 | 10.96 | — | (5.70) | — | (5.70) | 38.48 | 34.06 | 1.03 | 1.00 | (0.48) | 150 | 24 | ||||
12-31-2019 | 30.07 | (0.08) | 8.54 | 8.46 | — | (5.31) | — | (5.31) | 33.22 | 29.53 | 1.04 | 1.01 | (0.24) | 134 | 29 | ||||
12-31-2018 | 34.10 | (0.08) | 1.31 | 1.23 | — | (5.26) | — | (5.26) | 30.07 | 1.78 | 1.04 | 1.00 | (0.22) | 123 | 35 | ||||
12-31-2017 | 26.89 | (0.07) | 9.52 | 9.45 | — | (2.24) | — | (2.24) | 34.10 | 35.96 | 1.05 | 1.02 | (0.22) | 132 | 25 | ||||
12-31-2016 | 31.95 | (0.04) | 0.17 | 0.13 | — | (5.19) | — | (5.19) | 26.89 | 0.62 | 1.057 | 1.017 | (0.13) | 115 | 30 | ||||
Series NAV | |||||||||||||||||||
06-30-20213 | 40.27 | (0.08) | 5.08 | 5.00 | — | — | — | — | 45.27 | 12.424 | 0.775 | 0.735 | (0.38)5 | 1,902 | 16 | ||||
12-31-2020 | 34.47 | (0.09) | 11.59 | 11.50 | — | (5.70) | — | (5.70) | 40.27 | 34.40 | 0.78 | 0.75 | (0.23) | 1,823 | 24 | ||||
12-31-2019 | 30.97 | —6 | 8.81 | 8.81 | —6 | (5.31) | — | (5.31) | 34.47 | 29.83 | 0.79 | 0.76 | 0.01 | 1,708 | 29 | ||||
12-31-2018 | 34.92 | 0.01 | 1.32 | 1.33 | (0.02) | (5.26) | — | (5.28) | 30.97 | 2.03 | 0.79 | 0.75 | 0.04 | 1,512 | 35 | ||||
12-31-2017 | 27.45 | 0.01 | 9.74 | 9.75 | (0.04) | (2.24) | — | (2.28) | 34.92 | 36.34 | 0.80 | 0.77 | 0.03 | 1,342 | 25 | ||||
12-31-2016 | 32.45 | 0.04 | 0.17 | 0.21 | (0.02) | (5.19) | — | (5.21) | 27.45 | 0.85 | 0.807 | 0.767 | 0.12 | 1,182 | 30 | ||||
1 Based on average daily shares outstanding. 2 Total returns exclude insurance-related fees and expenses and would have been lower had certain expenses not been reduced during the applicable periods. 3 Six months ended 6-30-21. 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 0.01%. | |||||||||||||||||||
Capital Appreciation Trust | |||||||||||||||||||
Series I | |||||||||||||||||||
06-30-20213 | 7.60 | (0.02) | 0.79 | 0.77 | — | — | — | — | 8.37 | 10.134 | 0.795 | 0.785 | (0.47)5 | 274 | 24 | ||||
12-31-2020 | 5.39 | (0.02) | 2.96 | 2.94 | — | (0.73) | — | (0.73) | 7.60 | 56.04 | 0.80 | 0.79 | (0.32) | 272 | 56 | ||||
12-31-2019 | 12.09 | (0.01) | 2.92 | 2.91 | (0.01) | (9.60) | — | (9.61) | 5.39 | 32.89 | 0.81 | 0.81 | (0.06) | 195 | 40 | ||||
12-31-2018 | 14.65 | 0.02 | 0.23 | 0.25 | (0.04) | (2.77) | — | (2.81) | 12.09 | (0.80) | 0.80 | 0.79 | 0.13 | 169 | 37 | ||||
12-31-2017 | 11.69 | —6 | 4.15 | 4.15 | (0.01) | (1.18) | — | (1.19) | 14.65 | 36.53 | 0.80 | 0.79 | 0.03 | 192 | 47 | ||||
12-31-2016 | 14.12 | 0.01 | (0.14) | (0.13) | — | (2.30) | — | (2.30) | 11.69 | (1.08) | 0.777 | 0.767 | 0.08 | 164 | 45 | ||||
Series II | |||||||||||||||||||
06-30-20213 | 6.57 | (0.02) | 0.68 | 0.66 | — | — | — | — | 7.23 | 10.054 | 0.995 | 0.985 | (0.67)5 | 89 | 24 | ||||
12-31-2020 | 4.74 | (0.03) | 2.59 | 2.56 | — | (0.73) | — | (0.73) | 6.57 | 55.70 | 1.00 | 0.99 | (0.52) | 89 | 56 | ||||
12-31-2019 | 11.61 | (0.02) | 2.75 | 2.73 | —6 | (9.60) | — | (9.60) | 4.74 | 32.65 | 1.01 | 1.01 | (0.26) | 66 | 40 | ||||
12-31-2018 | 14.16 | (0.01) | 0.24 | 0.23 | (0.01) | (2.77) | — | (2.78) | 11.61 | (0.99) | 1.00 | 0.99 | (0.07) | 58 | 37 | ||||
12-31-2017 | 11.35 | (0.02) | 4.01 | 3.99 | — | (1.18) | — | (1.18) | 14.16 | 36.20 | 1.00 | 0.99 | (0.17) | 66 | 47 | ||||
12-31-2016 | 13.80 | (0.02) | (0.13) | (0.15) | — | (2.30) | — | (2.30) | 11.35 | (1.26) | 0.977 | 0.967 | (0.12) | 58 | 45 | ||||
Series NAV | |||||||||||||||||||
06-30-20213 | 7.66 | (0.02) | 0.79 | 0.77 | — | — | — | — | 8.43 | 10.054 | 0.745 | 0.735 | (0.42)5 | 404 | 24 | ||||
12-31-2020 | 5.42 | (0.02) | 2.99 | 2.97 | — | (0.73) | — | (0.73) | 7.66 | 56.29 | 0.75 | 0.74 | (0.27) | 382 | 56 | ||||
12-31-2019 | 12.11 | —6 | 2.92 | 2.92 | (0.01) | (9.60) | — | (9.61) | 5.42 | 32.88 | 0.76 | 0.76 | (0.01) | 282 | 40 | ||||
12-31-2018 | 14.67 | 0.03 | 0.23 | 0.26 | (0.05) | (2.77) | — | (2.82) | 12.11 | (0.72) | 0.75 | 0.74 | 0.20 | 281 | 37 | ||||
12-31-2017 | 11.71 | 0.01 | 4.15 | 4.16 | (0.02) | (1.18) | — | (1.20) | 14.67 | 36.51 | 0.75 | 0.74 | 0.08 | 798 | 47 | ||||
12-31-2016 | 14.13 | 0.02 | (0.14) | (0.12) | —6 | (2.30) | — | (2.30) | 11.71 | (1.00) | 0.727 | 0.717 | 0.12 | 718 | 45 | ||||
1 Based on average daily shares outstanding. 2 Total returns exclude insurance-related fees and expenses and would have been lower had certain expenses not been reduced during the applicable periods. 3 Six months ended 6-30-21. Unaudited. 4 Not annualized. 5 Annualized. 6 Less than $0.005 per share. 7 Includes reimbursement for overbilling of custody expenses in prior years of 0.03%. |
The accompanying notes are an integral part of the financial statements. | 76 |
Per share operating performance for a share outstanding throughout each period | Ratios and supplemental data | ||||||||||||||||||
Income (loss) from investment operations | Less distributions | Ratios to average net assets | |||||||||||||||||
Period ended | Net asset value, beginning of period ($) | Net investment income (loss) ($)1 | Net realized and unrealized gain (loss) on investments ($) | Total from investment operations ($) | From net investment income ($) | From net realized gain ($) | From tax return of capital ($) | Total distributions ($) | Net asset value, end of period ($) | 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 | |||||||||||||||||||
06-30-20213 | 13.39 | 0.05 | 1.26 | 1.31 | — | — | — | — | 14.70 | 9.784 | 0.925 | 0.885 | 0.715 | 10 | 34 | ||||
12-31-2020 | 12.55 | 0.11 | 1.98 | 2.09 | (0.15) | (1.10) | — | (1.25) | 13.39 | 17.40 | 0.94 | 0.90 | 0.85 | 6 | 88 | ||||
12-31-2019 | 10.92 | 0.16 | 2.44 | 2.60 | (0.17) | (0.80) | — | (0.97) | 12.55 | 24.31 | 0.93 | 0.89 | 1.33 | 8 | 45 | ||||
12-31-2018 | 11.98 | 0.286 | (0.18) | 0.10 | (0.25) | (0.91) | — | (1.16) | 10.92 | 0.39 | 0.92 | 0.88 | 2.356 | 4 | 78 | ||||
12-31-2017 | 11.08 | 0.13 | 1.52 | 1.65 | (0.17) | (0.58) | — | (0.75) | 11.98 | 15.15 | 0.92 | 0.88 | 1.12 | 4 | 64 | ||||
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 | ||||
Series II | |||||||||||||||||||
06-30-20213 | 13.32 | 0.03 | 1.26 | 1.29 | — | — | — | — | 14.61 | 9.684 | 1.125 | 1.085 | 0.505 | 284 | 34 | ||||
12-31-2020 | 12.49 | 0.09 | 1.96 | 2.05 | (0.12) | (1.10) | — | (1.22) | 13.32 | 17.19 | 1.14 | 1.10 | 0.68 | 287 | 88 | ||||
12-31-2019 | 10.87 | 0.14 | 2.42 | 2.56 | (0.14) | (0.80) | — | (0.94) | 12.49 | 24.10 | 1.13 | 1.09 | 1.17 | 278 | 45 | ||||
12-31-2018 | 11.94 | 0.266 | (0.19) | 0.07 | (0.23) | (0.91) | — | (1.14) | 10.87 | 0.11 | 1.12 | 1.08 | 2.156 | 259 | 78 | ||||
12-31-2017 | 11.04 | 0.11 | 1.52 | 1.63 | (0.15) | (0.58) | — | (0.73) | 11.94 | 14.99 | 1.12 | 1.08 | 0.92 | 305 | 64 | ||||
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 | ||||
Series NAV | |||||||||||||||||||
06-30-20213 | 13.35 | 0.05 | 1.26 | 1.31 | — | — | — | — | 14.66 | 9.814 | 0.875 | 0.835 | 0.755 | 182 | 34 | ||||
12-31-2020 | 12.52 | 0.12 | 1.96 | 2.08 | (0.15) | (1.10) | — | (1.25) | 13.35 | 17.42 | 0.89 | 0.85 | 0.93 | 156 | 88 | ||||
12-31-2019 | 10.89 | 0.17 | 2.43 | 2.60 | (0.17) | (0.80) | — | (0.97) | 12.52 | 24.44 | 0.88 | 0.84 | 1.41 | 127 | 45 | ||||
12-31-2018 | 11.95 | 0.296 | (0.18) | 0.11 | (0.26) | (0.91) | — | (1.17) | 10.89 | 0.45 | 0.87 | 0.83 | 2.406 | 91 | 78 | ||||
12-31-2017 | 11.06 | 0.14 | 1.51 | 1.65 | (0.18) | (0.58) | — | (0.76) | 11.95 | 15.14 | 0.87 | 0.83 | 1.17 | 92 | 64 | ||||
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 | ||||
1 Based on average daily shares outstanding. 2 Total returns exclude insurance-related fees and expenses and would have been lower had certain expenses not been reduced during the applicable periods. 3 Six months ended 6-30-21. Unaudited. 4 Not annualized. 5 Annualized. 6 Net investment income (loss) per share and ratio of net investment income (loss) to average net assets reflect a special dividend received by the portfolio, which amounted to $0.12 and 1.00%, respectively. | |||||||||||||||||||
Disciplined Value International Trust | |||||||||||||||||||
Series I | |||||||||||||||||||
06-30-20213 | 13.05 | 0.28 | 1.26 | 1.54 | — | — | — | — | 14.59 | 11.804 | 0.925 | 0.915 | 3.555 | 81 | 36 | ||||
12-31-2020 | 12.92 | 0.21 | 0.17 | 0.38 | (0.25) | — | — | (0.25) | 13.05 | 3.27 | 0.94 | 0.94 | 1.85 | 77 | 1906 | ||||
12-31-2019 | 11.84 | 0.30 | 1.13 | 1.43 | (0.35) | — | — | (0.35) | 12.92 | 12.33 | 0.94 | 0.94 | 2.39 | 83 | 36 | ||||
12-31-2018 | 14.33 | 0.26 | (2.41) | (2.15) | (0.34) | — | — | (0.34) | 11.84 | (15.03) | 0.92 | 0.91 | 1.87 | 84 | 34 | ||||
12-31-2017 | 12.45 | 0.25 | 1.89 | 2.14 | (0.26) | — | — | (0.26) | 14.33 | 17.14 | 0.93 | 0.92 | 1.84 | 113 | 27 | ||||
12-31-2016 | 11.33 | 0.23 | 1.15 | 1.38 | (0.26) | — | — | (0.26) | 12.45 | 12.24 | 0.767 | 0.757 | 1.95 | 111 | 278 | ||||
Series II | |||||||||||||||||||
06-30-20213 | 13.04 | 0.26 | 1.26 | 1.52 | — | — | — | — | 14.56 | 11.664 | 1.125 | 1.115 | 3.365 | 48 | 36 | ||||
12-31-2020 | 12.91 | 0.19 | 0.17 | 0.36 | (0.23) | — | — | (0.23) | 13.04 | 3.07 | 1.14 | 1.14 | 1.65 | 46 | 1906 | ||||
12-31-2019 | 11.83 | 0.27 | 1.14 | 1.41 | (0.33) | — | — | (0.33) | 12.91 | 12.13 | 1.14 | 1.14 | 2.19 | 50 | 36 | ||||
12-31-2018 | 14.32 | 0.23 | (2.40) | (2.17) | (0.32) | — | — | (0.32) | 11.83 | (15.17) | 1.12 | 1.11 | 1.67 | 50 | 34 | ||||
12-31-2017 | 12.44 | 0.23 | 1.88 | 2.11 | (0.23) | — | — | (0.23) | 14.32 | 16.88 | 1.13 | 1.12 | 1.65 | 69 | 27 | ||||
12-31-2016 | 11.33 | 0.21 | 1.14 | 1.35 | (0.24) | — | — | (0.24) | 12.44 | 11.94 | 0.957 | 0.947 | 1.83 | 71 | 278 | ||||
Series NAV | |||||||||||||||||||
06-30-20213 | 12.94 | 0.28 | 1.25 | 1.53 | — | — | — | — | 14.47 | 11.824 | 0.875 | 0.865 | 3.615 | 194 | 36 | ||||
12-31-2020 | 12.82 | 0.21 | 0.16 | 0.37 | (0.25) | — | — | (0.25) | 12.94 | 3.27 | 0.89 | 0.89 | 1.90 | 178 | 1906 | ||||
12-31-2019 | 11.75 | 0.30 | 1.13 | 1.43 | (0.36) | — | — | (0.36) | 12.82 | 12.41 | 0.89 | 0.89 | 2.41 | 177 | 36 | ||||
12-31-2018 | 14.22 | 0.27 | (2.39) | (2.12) | (0.35) | — | — | (0.35) | 11.75 | (14.96) | 0.87 | 0.86 | 1.98 | 167 | 34 | ||||
12-31-2017 | 12.35 | 0.26 | 1.87 | 2.13 | (0.26) | — | — | (0.26) | 14.22 | 17.25 | 0.88 | 0.87 | 1.89 | 686 | 27 | ||||
12-31-2016 | 11.25 | 0.25 | 1.11 | 1.36 | (0.26) | — | — | (0.26) | 12.35 | 12.20 | 0.697 | 0.687 | 2.16 | 677 | 278 | ||||
1 Based on average daily shares outstanding. 2 Total returns exclude insurance-related fees and expenses and would have been lower had certain expenses not been reduced during the applicable periods. 3 Six months ended 6-30-21. Unaudited. 4 Not annualized. 5 Annualized. 6 Increase in portfolio turnover rate resulted from repositioning of the portfolio during the period in accordance with investment policy changes approved by the Board of Trustees. 7 Includes reimbursement for overbilling of custody expenses in prior years of 0.17%. 8 Excludes merger activity. |
The accompanying notes are an integral part of the financial statements. | 77 |
Per share operating performance for a share outstanding throughout each 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) ($)1 | Net realized and unrealized gain (loss) on investments ($) | Total from investment operations ($) | From net investment income ($) | From net realized gain ($) | From tax return of capital ($) | Total distributions ($) | Net asset value, end of period ($) | 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 | |||||||||||||||||||
06-30-20213 | 9.67 | 0.11 | 1.45 | 1.56 | — | — | — | — | 11.23 | 16.134 | 1.105 | 1.095 | 2.175 | 7 | 10 | ||||
12-31-2020 | 9.57 | 0.16 | 0.14 | 0.30 | (0.20) | — | — | (0.20) | 9.67 | 3.56 | 1.21 | 1.20 | 1.99 | 6 | 26 | ||||
12-31-2019 | 8.93 | 0.16 | 0.78 | 0.94 | (0.30) | — | — | (0.30) | 9.57 | 10.94 | 1.18 | 1.17 | 1.79 | 6 | 23 | ||||
12-31-2018 | 10.63 | 0.19 | (1.63) | (1.44) | (0.26) | — | — | (0.26) | 8.93 | (13.60) | 1.12 | 1.12 | 1.91 | 7 | 14 | ||||
12-31-2017 | 8.14 | 0.13 | 2.52 | 2.65 | (0.16) | — | — | (0.16) | 10.63 | 32.70 | 1.12 | 1.12 | 1.30 | 8 | 286 | ||||
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 | ||||
Series II | |||||||||||||||||||
06-30-20213 | 9.67 | 0.10 | 1.45 | 1.55 | — | — | — | — | 11.22 | 16.034 | 1.305 | 1.295 | 1.945 | 36 | 10 | ||||
12-31-2020 | 9.57 | 0.15 | 0.14 | 0.29 | (0.19) | — | — | (0.19) | 9.67 | 3.36 | 1.41 | 1.40 | 1.82 | 33 | 26 | ||||
12-31-2019 | 8.93 | 0.15 | 0.77 | 0.92 | (0.28) | — | — | (0.28) | 9.57 | 10.71 | 1.38 | 1.37 | 1.64 | 35 | 23 | ||||
12-31-2018 | 10.63 | 0.17 | (1.63) | (1.46) | (0.24) | — | — | (0.24) | 8.93 | (13.79) | 1.32 | 1.32 | 1.72 | 35 | 14 | ||||
12-31-2017 | 8.14 | (0.02) | 2.65 | 2.63 | (0.14) | — | — | (0.14) | 10.63 | 32.47 | 1.32 | 1.32 | (0.19) | 48 | 286 | ||||
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 | ||||
Series NAV | |||||||||||||||||||
06-30-20213 | 9.65 | 0.12 | 1.44 | 1.56 | — | — | — | — | 11.21 | 16.054 | 1.055 | 1.045 | 2.245 | 225 | 10 | ||||
12-31-2020 | 9.55 | 0.17 | 0.14 | 0.31 | (0.21) | — | — | (0.21) | 9.65 | 3.72 | 1.16 | 1.15 | 2.07 | 194 | 26 | ||||
12-31-2019 | 8.92 | 0.17 | 0.76 | 0.93 | (0.30) | — | — | (0.30) | 9.55 | 10.89 | 1.13 | 1.12 | 1.87 | 193 | 23 | ||||
12-31-2018 | 10.61 | 0.21 | (1.63) | (1.42) | (0.27) | — | — | (0.27) | 8.92 | (13.48) | 1.07 | 1.07 | 2.04 | 168 | 14 | ||||
12-31-2017 | 8.13 | 0.16 | 2.49 | 2.65 | (0.17) | — | — | (0.17) | 10.61 | 32.67 | 1.07 | 1.07 | 1.68 | 724 | 286 | ||||
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 | ||||
1 Based on average daily shares outstanding. 2 Total returns exclude insurance-related fees and expenses and would have been lower had certain expenses not been reduced during the applicable periods. 3 Six months ended 6-30-21. Unaudited. 4 Not annualized. 5 Annualized. 6 Excludes merger activity. 7 Less than $500,000. | |||||||||||||||||||
Equity Income Trust | |||||||||||||||||||
Series I | |||||||||||||||||||
06-30-20213 | 13.79 | 0.13 | 2.39 | 2.52 | — | — | — | — | 16.31 | 18.274 | 0.775 | 0.745 | 1.695 | 255 | 13 | ||||
12-31-2020 | 15.35 | 0.30 | (0.40) | (0.10) | (0.41) | (1.05) | — | (1.46) | 13.79 | 1.02 | 0.79 | 0.76 | 2.32 | 225 | 28 | ||||
12-31-2019 | 13.65 | 0.35 | 3.07 | 3.42 | (0.31) | (1.41) | — | (1.72) | 15.35 | 26.34 | 0.80 | 0.77 | 2.30 | 255 | 186 | ||||
12-31-2018 | 17.50 | 0.35 | (1.74) | (1.39) | (0.30) | (2.16) | — | (2.46) | 13.65 | (9.58) | 0.81 | 0.78 | 2.12 | 215 | 18 | ||||
12-31-2017 | 16.67 | 0.32 | 2.24 | 2.56 | (0.39) | (1.34) | — | (1.73) | 17.50 | 16.29 | 0.82 | 0.78 | 1.88 | 276 | 21 | ||||
12-31-2016 | 15.79 | 0.42 | 2.47 | 2.89 | (0.36) | (1.65) | — | (2.01) | 16.67 | 19.12 | 0.817 | 0.777 | 2.59 | 272 | 28 | ||||
Series II | |||||||||||||||||||
06-30-20213 | 13.70 | 0.11 | 2.38 | 2.49 | — | — | — | — | 16.19 | 18.184 | 0.975 | 0.945 | 1.485 | 134 | 13 | ||||
12-31-2020 | 15.27 | 0.27 | (0.40) | (0.13) | (0.39) | (1.05) | — | (1.44) | 13.70 | 0.75 | 0.99 | 0.96 | 2.11 | 120 | 28 | ||||
12-31-2019 | 13.58 | 0.31 | 3.07 | 3.38 | (0.28) | (1.41) | — | (1.69) | 15.27 | 26.17 | 1.00 | 0.97 | 2.10 | 137 | 186 | ||||
12-31-2018 | 17.42 | 0.32 | (1.73) | (1.41) | (0.27) | (2.16) | — | (2.43) | 13.58 | (9.75) | 1.01 | 0.98 | 1.92 | 111 | 18 | ||||
12-31-2017 | 16.61 | 0.29 | 2.21 | 2.50 | (0.35) | (1.34) | — | (1.69) | 17.42 | 16.00 | 1.02 | 0.98 | 1.68 | 145 | 21 | ||||
12-31-2016 | 15.74 | 0.38 | 2.46 | 2.84 | (0.32) | (1.65) | — | (1.97) | 16.61 | 18.91 | 1.017 | 0.977 | 2.39 | 148 | 28 | ||||
Series NAV | |||||||||||||||||||
06-30-20213 | 13.70 | 0.13 | 2.38 | 2.51 | — | — | — | — | 16.21 | 18.324 | 0.725 | 0.695 | 1.735 | 1,272 | 13 | ||||
12-31-2020 | 15.27 | 0.31 | (0.41) | (0.10) | (0.42) | (1.05) | — | (1.47) | 13.70 | 1.01 | 0.74 | 0.71 | 2.38 | 1,139 | 28 | ||||
12-31-2019 | 13.58 | 0.35 | 3.07 | 3.42 | (0.32) | (1.41) | — | (1.73) | 15.27 | 26.47 | 0.75 | 0.72 | 2.34 | 1,304 | 186 | ||||
12-31-2018 | 17.42 | 0.36 | (1.73) | (1.37) | (0.31) | (2.16) | — | (2.47) | 13.58 | (9.52) | 0.76 | 0.73 | 2.18 | 1,149 | 18 | ||||
12-31-2017 | 16.61 | 0.33 | 2.22 | 2.55 | (0.40) | (1.34) | — | (1.74) | 17.42 | 16.28 | 0.77 | 0.73 | 1.93 | 1,393 | 21 | ||||
12-31-2016 | 15.74 | 0.42 | 2.46 | 2.88 | (0.36) | (1.65) | — | (2.01) | 16.61 | 19.18 | 0.767 | 0.727 | 2.63 | 1,400 | 28 | ||||
1 Based on average daily shares outstanding. 2 Total returns exclude insurance-related fees and expenses and would have been lower had certain expenses not been reduced during the applicable periods. 3 Six months ended 6-30-21. Unaudited. 4 Not annualized. 5 Annualized. 6 Excludes merger activity. 7 Includes reimbursement for overbilling of custody expenses in prior years of 0.03%. |
The accompanying notes are an integral part of the financial statements. | 78 |
Per share operating performance for a share outstanding throughout each 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) ($)1 | Net realized and unrealized gain (loss) on investments ($) | Total from investment operations ($) | From net investment income ($) | From net realized gain ($) | From tax return of capital ($) | Total distributions ($) | Net asset value, end of period ($) | 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 | |||||||||||||||||||
06-30-20213 | 12.79 | 0.07 | 2.27 | 2.34 | — | — | — | — | 15.13 | 18.304 | 0.915 | 0.905 | 0.995 | 117 | 35 | ||||
12-31-2020 | 14.08 | 0.14 | (0.06) | 0.08 | (0.17) | (1.20) | — | (1.37) | 12.79 | 2.17 | 0.94 | 0.93 | 1.15 | 93 | 44 | ||||
12-31-2019 | 11.90 | 0.21 | 3.39 | 3.60 | (0.60) | (0.82) | — | (1.42) | 14.08 | 31.79 | 0.91 | 0.90 | 1.53 | 113 | 28 | ||||
12-31-2018 | 14.99 | 0.20 | (2.15) | (1.95) | (0.18) | (0.96) | — | (1.14) | 11.90 | (14.49) | 0.89 | 0.88 | 1.34 | 120 | 25 | ||||
12-31-2017 | 13.16 | 0.17 | 1.83 | 2.00 | (0.17) | — | — | (0.17) | 14.99 | 15.28 | 0.88 | 0.87 | 1.20 | 170 | 42 | ||||
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 | ||||
Series II | |||||||||||||||||||
06-30-20213 | 12.67 | 0.06 | 2.24 | 2.30 | — | — | — | — | 14.97 | 18.154 | 1.115 | 1.105 | 0.805 | 21 | 35 | ||||
12-31-2020 | 13.96 | 0.11 | (0.05) | 0.06 | (0.15) | (1.20) | — | (1.35) | 12.67 | 1.99 | 1.14 | 1.13 | 0.95 | 15 | 44 | ||||
12-31-2019 | 11.79 | 0.18 | 3.36 | 3.54 | (0.55) | (0.82) | — | (1.37) | 13.96 | 31.51 | 1.11 | 1.10 | 1.32 | 17 | 28 | ||||
12-31-2018 | 14.88 | 0.17 | (2.13) | (1.96) | (0.17) | (0.96) | — | (1.13) | 11.79 | (14.62) | 1.09 | 1.08 | 1.14 | 15 | 25 | ||||
12-31-2017 | 13.07 | 0.14 | 1.81 | 1.95 | (0.14) | — | — | (0.14) | 14.88 | 15.02 | 1.08 | 1.07 | 0.99 | 19 | 42 | ||||
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 | ||||
Series NAV | |||||||||||||||||||
06-30-20213 | 12.75 | 0.07 | 2.25 | 2.32 | — | — | — | — | 15.07 | 18.204 | 0.865 | 0.855 | 1.045 | 32 | 35 | ||||
12-31-2020 | 14.03 | 0.14 | (0.04) | 0.10 | (0.18) | (1.20) | — | (1.38) | 12.75 | 2.31 | 0.89 | 0.88 | 1.20 | 25 | 44 | ||||
12-31-2019 | 11.88 | 0.21 | 3.38 | 3.59 | (0.62) | (0.82) | — | (1.44) | 14.03 | 31.71 | 0.86 | 0.85 | 1.57 | 28 | 28 | ||||
12-31-2018 | 14.95 | 0.21 | (2.14) | (1.93) | (0.18) | (0.96) | — | (1.14) | 11.88 | (14.38) | 0.84 | 0.83 | 1.39 | 29 | 25 | ||||
12-31-2017 | 13.13 | 0.17 | 1.83 | 2.00 | (0.18) | — | — | (0.18) | 14.95 | 15.29 | 0.83 | 0.82 | 1.25 | 48 | 42 | ||||
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 | ||||
1 Based on average daily shares outstanding. 2 Total returns exclude insurance-related fees and expenses and would have been lower had certain expenses not been reduced during the applicable periods. 3 Six months ended 6-30-21. Unaudited. 4 Not annualized. 5 Annualized. | |||||||||||||||||||
Fundamental All Cap Core Trust | |||||||||||||||||||
Series I | |||||||||||||||||||
06-30-20213 | 30.15 | 0.02 | 6.04 | 6.06 | — | — | — | — | 36.21 | 20.104 | 0.765 | 0.755 | 0.125 | 132 | 5 | ||||
12-31-2020 | 24.56 | 0.06 | 6.42 | 6.48 | (0.10) | (0.79) | — | (0.89) | 30.15 | 26.87 | 0.76 | 0.76 | 0.26 | 120 | 19 | ||||
12-31-2019 | 19.64 | 0.11 | 6.79 | 6.90 | (0.10) | (1.88) | — | (1.98) | 24.56 | 36.45 | 0.77 | 0.76 | 0.48 | 119 | 15 | ||||
12-31-2018 | 25.83 | 0.09 | (2.79) | (2.70) | (0.10) | (3.39) | — | (3.49) | 19.64 | (13.16) | 0.76 | 0.76 | 0.36 | 122 | 24 | ||||
12-31-2017 | 20.89 | 0.11 | 5.58 | 5.69 | (0.18) | (0.57) | — | (0.75) | 25.83 | 27.70 | 0.76 | 0.76 | 0.46 | 172 | 42 | ||||
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 | ||||
Series II | |||||||||||||||||||
06-30-20213 | 30.06 | (0.01) | 6.01 | 6.00 | — | — | — | — | 36.06 | 19.964 | 0.965 | 0.955 | (0.08)5 | 59 | 5 | ||||
12-31-2020 | 24.49 | 0.01 | 6.40 | 6.41 | (0.05) | (0.79) | — | (0.84) | 30.06 | 26.65 | 0.96 | 0.96 | 0.05 | 51 | 19 | ||||
12-31-2019 | 19.59 | 0.06 | 6.78 | 6.84 | (0.06) | (1.88) | — | (1.94) | 24.49 | 36.18 | 0.97 | 0.96 | 0.28 | 49 | 15 | ||||
12-31-2018 | 25.77 | 0.04 | (2.78) | (2.74) | (0.05) | (3.39) | — | (3.44) | 19.59 | (13.34) | 0.96 | 0.96 | 0.17 | 41 | 24 | ||||
12-31-2017 | 20.84 | 0.06 | 5.58 | 5.64 | (0.14) | (0.57) | — | (0.71) | 25.77 | 27.43 | 0.96 | 0.96 | 0.27 | 54 | 42 | ||||
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 | ||||
Series NAV | |||||||||||||||||||
06-30-20213 | 30.34 | 0.03 | 6.08 | 6.11 | — | — | — | — | 36.45 | 20.104 | 0.715 | 0.705 | 0.175 | 2,337 | 5 | ||||
12-31-2020 | 24.71 | 0.08 | 6.45 | 6.53 | (0.11) | (0.79) | — | (0.90) | 30.34 | 26.97 | 0.71 | 0.71 | 0.30 | 2,017 | 19 | ||||
12-31-2019 | 19.74 | 0.12 | 6.84 | 6.96 | (0.11) | (1.88) | — | (1.99) | 24.71 | 36.58 | 0.72 | 0.71 | 0.52 | 1,700 | 15 | ||||
12-31-2018 | 25.96 | 0.11 | (2.82) | (2.71) | (0.12) | (3.39) | — | (3.51) | 19.74 | (13.16) | 0.71 | 0.71 | 0.42 | 1,347 | 24 | ||||
12-31-2017 | 20.98 | 0.12 | 5.62 | 5.74 | (0.19) | (0.57) | — | (0.76) | 25.96 | 27.77 | 0.71 | 0.71 | 0.51 | 1,662 | 42 | ||||
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 | ||||
1 Based on average daily shares outstanding. 2 Total returns exclude insurance-related fees and expenses and would have been lower had certain expenses not been reduced during the applicable periods. 3 Six months ended 6-30-21. Unaudited. 4 Not annualized. 5 Annualized. |
The accompanying notes are an integral part of the financial statements. | 79 |
Per share operating performance for a share outstanding throughout each 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 realized and unrealized gain (loss) on investments ($) | Total from investment operations ($) | From net investment income ($) | From net realized gain ($) | From tax return of capital ($) | Total distributions ($) | 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 | |||||||||||||||||||
06-30-20213 | 25.10 | 0.12 | 5.43 | 5.55 | — | — | — | — | 30.65 | 22.114 | 0.775 | 0.765 | 0.865 | 473 | 22 | ||||
12-31-2020 | 23.13 | 0.21 | 2.44 | 2.65 | (0.24) | (0.44) | — | (0.68) | 25.10 | 11.96 | 0.79 | 0.78 | 0.95 | 391 | 44 | ||||
12-31-2019 | 17.51 | 0.25 | 5.97 | 6.22 | (0.25) | (0.35) | — | (0.60) | 23.13 | 35.85 | 0.78 | 0.77 | 1.17 | 403 | 13 | ||||
12-31-2018 | 21.36 | 0.25 | (3.87) | (3.62) | (0.23) | — | — | (0.23) | 17.51 | (17.03) | 0.75 | 0.74 | 1.18 | 366 | 31 | ||||
12-31-2017 | 18.49 | 0.23 | 2.97 | 3.20 | (0.33) | — | — | (0.33) | 21.36 | 17.43 | 0.74 | 0.73 | 1.19 | 525 | 30 | ||||
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 | ||||
Series II | |||||||||||||||||||
06-30-20213 | 25.28 | 0.09 | 5.47 | 5.56 | — | — | — | — | 30.84 | 21.994 | 0.975 | 0.965 | 0.665 | 181 | 22 | ||||
12-31-2020 | 23.29 | 0.16 | 2.47 | 2.63 | (0.20) | (0.44) | — | (0.64) | 25.28 | 11.75 | 0.99 | 0.98 | 0.75 | 160 | 44 | ||||
12-31-2019 | 17.63 | 0.21 | 6.00 | 6.21 | (0.20) | (0.35) | — | (0.55) | 23.29 | 35.59 | 0.98 | 0.97 | 0.97 | 164 | 13 | ||||
12-31-2018 | 21.51 | 0.21 | (3.90) | (3.69) | (0.19) | — | — | (0.19) | 17.63 | (17.23) | 0.95 | 0.94 | 0.98 | 150 | 31 | ||||
12-31-2017 | 18.61 | 0.20 | 2.99 | 3.19 | (0.29) | — | — | (0.29) | 21.51 | 17.20 | 0.94 | 0.93 | 0.99 | 205 | 30 | ||||
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 | ||||
Series NAV | |||||||||||||||||||
06-30-20213 | 25.11 | 0.13 | 5.43 | 5.56 | — | — | — | — | 30.67 | 22.144 | 0.725 | 0.715 | 0.915 | 153 | 22 | ||||
12-31-2020 | 23.14 | 0.21 | 2.45 | 2.66 | (0.25) | (0.44) | — | (0.69) | 25.11 | 12.01 | 0.74 | 0.73 | 0.99 | 125 | 44 | ||||
12-31-2019 | 17.51 | 0.25 | 5.99 | 6.24 | (0.26) | (0.35) | — | (0.61) | 23.14 | 35.97 | 0.73 | 0.72 | 1.21 | 97 | 13 | ||||
12-31-2018 | 21.37 | 0.26 | (3.88) | (3.62) | (0.24) | — | — | (0.24) | 17.51 | (17.03) | 0.70 | 0.69 | 1.23 | 79 | 31 | ||||
12-31-2017 | 18.49 | 0.24 | 2.98 | 3.22 | (0.34) | — | — | (0.34) | 21.37 | 17.54 | 0.69 | 0.68 | 1.23 | 92 | 30 | ||||
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 | ||||
1 Based on average daily shares outstanding. 2 Total returns exclude insurance-related fees and expenses and would have been lower had certain expenses not been reduced during the applicable periods. 3 Six months ended 6-30-21. Unaudited. 4 Not annualized. 5 Annualized. | |||||||||||||||||||
Global Equity Trust | |||||||||||||||||||
Series I | |||||||||||||||||||
06-30-20213 | 20.89 | 0.31 | 2.43 | 2.74 | — | — | — | — | 23.63 | 13.124 | 0.955 | 0.945 | 2.405 | 277 | 41 | ||||
12-31-2020 | 20.04 | 0.18 | 1.09 | 1.27 | (0.23) | (0.17) | (0.02) | (0.42) | 20.89 | 6.60 | 1.06 | 1.05 | 0.96 | 265 | 1206, 7 | ||||
12-31-2019 | 18.37 | 0.49 | 2.32 | 2.81 | (0.42) | (0.72) | — | (1.14) | 20.04 | 16.04 | 1.00 | 0.95 | 2.51 | 115 | 20 | ||||
12-31-2018 | 21.93 | 0.41 | (3.58) | (3.17) | (0.39) | — | — | (0.39) | 18.37 | (14.49) | 0.98 | 0.95 | 1.91 | 115 | 30 | ||||
12-31-2017 | 18.78 | 0.41 | 3.14 | 3.55 | (0.40) | — | — | (0.40) | 21.93 | 18.88 | 0.96 | 0.94 | 2.00 | 148 | 28 | ||||
12-31-2016 | 17.95 | 0.34 | 1.33 | 1.67 | (0.84) | — | — | (0.84) | 18.78 | 9.47 | 0.898 | 0.878 | 1.87 | 142 | 23 | ||||
Series II | |||||||||||||||||||
06-30-20213 | 20.79 | 0.29 | 2.41 | 2.70 | — | — | — | — | 23.49 | 12.934 | 1.155 | 1.145 | 2.195 | 29 | 41 | ||||
12-31-2020 | 19.95 | 0.18 | 1.04 | 1.22 | (0.19) | (0.17) | (0.02) | (0.38) | 20.79 | 6.42 | 1.26 | 1.25 | 0.96 | 27 | 1206, 7 | ||||
12-31-2019 | 18.29 | 0.45 | 2.31 | 2.76 | (0.38) | (0.72) | — | (1.10) | 19.95 | 15.83 | 1.20 | 1.15 | 2.31 | 31 | 20 | ||||
12-31-2018 | 21.83 | 0.37 | (3.56) | (3.19) | (0.35) | — | — | (0.35) | 18.29 | (14.65) | 1.18 | 1.15 | 1.72 | 31 | 30 | ||||
12-31-2017 | 18.70 | 0.39 | 3.10 | 3.49 | (0.36) | — | — | (0.36) | 21.83 | 18.63 | 1.16 | 1.14 | 1.80 | 44 | 28 | ||||
12-31-2016 | 17.88 | 0.30 | 1.33 | 1.63 | (0.81) | — | — | (0.81) | 18.70 | 9.24 | 1.098 | 1.078 | 1.67 | 43 | 23 | ||||
Series NAV | |||||||||||||||||||
06-30-20213 | 20.87 | 0.32 | 2.41 | 2.73 | — | — | — | — | 23.60 | 13.084 | 0.905 | 0.895 | 2.445 | 48 | 41 | ||||
12-31-2020 | 20.01 | 0.22 | 1.07 | 1.29 | (0.24) | (0.17) | (0.02) | (0.43) | 20.87 | 6.71 | 1.01 | 1.00 | 1.20 | 44 | 1206, 7 | ||||
12-31-2019 | 18.35 | 0.49 | 2.32 | 2.81 | (0.43) | (0.72) | — | (1.15) | 20.01 | 16.06 | 0.95 | 0.90 | 2.53 | 43 | 20 | ||||
12-31-2018 | 21.90 | 0.42 | (3.56) | (3.14) | (0.41) | — | — | (0.41) | 18.35 | (14.42) | 0.93 | 0.90 | 1.94 | 38 | 30 | ||||
12-31-2017 | 18.76 | 0.42 | 3.13 | 3.55 | (0.41) | — | — | (0.41) | 21.90 | 18.90 | 0.91 | 0.89 | 2.05 | 48 | 28 | ||||
12-31-2016 | 17.94 | 0.40 | 1.27 | 1.67 | (0.85) | — | — | (0.85) | 18.76 | 9.47 | 0.848 | 0.838 | 2.24 | 42 | 23 | ||||
1 Based on average daily shares outstanding. 2 Total returns exclude insurance-related fees and expenses and would have been lower had certain expenses not been reduced during the applicable periods. 3 Six months ended 6-30-21. Unaudited. 4 Not annualized. 5 Annualized. 6 Increase in portfolio turnover rate resulted from repositioning of the portfolio during the period in accordance with investment policy changes approved by the Board of Trustees. 7 Excludes merger activity. 8 Includes reimbursement for overbilling of custody expenses in prior years of 0.04%. |
The accompanying notes are an integral part of the financial statements. | 80 |
Per share operating performance for a share outstanding throughout each 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) ($)1 | Net realized and unrealized gain (loss) on investments ($) | Total from investment operations ($) | From net investment income ($) | From net realized gain ($) | From tax return of capital ($) | Total distributions ($) | Net asset value, end of period ($) | 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 | |||||||||||||||||||
06-30-20213 | 31.07 | (0.06) | 2.70 | 2.64 | — | — | — | — | 33.71 | 8.464 | 1.065 | 1.015 | (0.38)5 | 81 | 14 | ||||
12-31-2020 | 27.18 | (0.09) | 7.18 | 7.09 | — | (3.20) | — | (3.20) | 31.07 | 27.17 | 1.15 | 1.09 | (0.32) | 80 | 38 | ||||
12-31-2019 | 22.87 | (0.08) | 6.36 | 6.28 | — | (1.97) | — | (1.97) | 27.18 | 28.68 | 1.16 | 1.10 | (0.32) | 72 | 34 | ||||
12-31-2018 | 25.03 | (0.07) | 0.57 | 0.50 | — | (2.66) | — | (2.66) | 22.87 | 0.69 | 1.16 | 1.09 | (0.27) | 99 | 42 | ||||
12-31-2017 | 21.83 | (0.08) | 5.91 | 5.83 | — | (2.63) | — | (2.63) | 25.03 | 27.51 | 1.16 | 1.10 | (0.31) | 107 | 39 | ||||
12-31-2016 | 31.92 | (0.09) | (3.02) | (3.11) | (0.02) | (6.96) | — | (6.98) | 21.83 | (10.57) | 1.106 | 1.046 | (0.34) | 94 | 27 | ||||
Series II | |||||||||||||||||||
06-30-20213 | 27.95 | (0.08) | 2.43 | 2.35 | — | — | — | — | 30.30 | 8.374 | 1.265 | 1.215 | (0.58)5 | 80 | 14 | ||||
12-31-2020 | 24.78 | (0.13) | 6.50 | 6.37 | — | (3.20) | — | (3.20) | 27.95 | 26.89 | 1.35 | 1.29 | (0.52) | 84 | 38 | ||||
12-31-2019 | 21.05 | (0.12) | 5.82 | 5.70 | — | (1.97) | — | (1.97) | 24.78 | 28.40 | 1.36 | 1.30 | (0.53) | 71 | 34 | ||||
12-31-2018 | 23.26 | (0.11) | 0.56 | 0.45 | — | (2.66) | — | (2.66) | 21.05 | 0.52 | 1.36 | 1.29 | (0.47) | 66 | 42 | ||||
12-31-2017 | 20.48 | (0.12) | 5.53 | 5.41 | — | (2.63) | — | (2.63) | 23.26 | 27.26 | 1.36 | 1.30 | (0.51) | 75 | 39 | ||||
12-31-2016 | 30.45 | (0.14) | (2.87) | (3.01) | — | (6.96) | — | (6.96) | 20.48 | (10.77) | 1.306 | 1.246 | (0.54) | 71 | 27 | ||||
Series NAV | |||||||||||||||||||
06-30-20213 | 31.68 | (0.05) | 2.75 | 2.70 | — | — | — | — | 34.38 | 8.494 | 1.015 | 0.965 | (0.33)5 | 177 | 14 | ||||
12-31-2020 | 27.64 | (0.08) | 7.32 | 7.24 | — | (3.20) | — | (3.20) | 31.68 | 27.26 | 1.10 | 1.04 | (0.27) | 162 | 38 | ||||
12-31-2019 | 23.22 | (0.08) | 6.47 | 6.39 | — | (1.97) | — | (1.97) | 27.64 | 28.67 | 1.11 | 1.05 | (0.29) | 130 | 34 | ||||
12-31-2018 | 25.37 | (0.06) | 0.57 | 0.51 | — | (2.66) | — | (2.66) | 23.22 | 0.76 | 1.11 | 1.04 | (0.22) | 107 | 42 | ||||
12-31-2017 | 22.09 | (0.07) | 5.98 | 5.91 | — | (2.63) | — | (2.63) | 25.37 | 27.61 | 1.11 | 1.05 | (0.26) | 108 | 39 | ||||
12-31-2016 | 32.20 | (0.08) | (3.04) | (3.12) | (0.03) | (6.96) | — | (6.99) | 22.09 | (10.54) | 1.066 | 0.996 | (0.29) | 96 | 27 | ||||
1 Based on average daily shares outstanding. 2 Total returns exclude insurance-related fees and expenses and would have been lower had certain expenses not been reduced during the applicable periods. 3 Six months ended 6-30-21. Unaudited. 4 Not annualized. 5 Annualized. 6 Includes reimbursement for overbilling of custody expenses in prior years of 0.05%. | |||||||||||||||||||
International Equity Index Trust | |||||||||||||||||||
Series I | |||||||||||||||||||
06-30-20213 | 19.55 | 0.26 | 1.55 | 1.81 | — | — | — | — | 21.36 | 9.214 | 0.645 | 0.395 | 2.485 | 393 | 2 | ||||
12-31-2020 | 18.30 | 0.35 | 1.51 | 1.86 | (0.44) | (0.17) | — | (0.61) | 19.55 | 10.64 | 0.66 | 0.39 | 2.07 | 361 | 5 | ||||
12-31-2019 | 15.44 | 0.50 | 2.77 | 3.27 | (0.41) | — | — | (0.41) | 18.30 | 21.37 | 0.67 | 0.39 | 2.92 | 359 | 56 | ||||
12-31-2018 | 18.44 | 0.45 | (3.02) | (2.57) | (0.42) | (0.01) | — | (0.43) | 15.44 | (14.09) | 0.66 | 0.39 | 2.55 | 334 | 2 | ||||
12-31-2017 | 14.79 | 0.40 | 3.63 | 4.03 | (0.38) | — | — | (0.38) | 18.44 | 27.30 | 0.68 | 0.39 | 2.33 | 399 | 3 | ||||
12-31-2016 | 14.54 | 0.39 | 0.25 | 0.64 | (0.39) | — | — | (0.39) | 14.79 | 4.45 | 0.657 | 0.397 | 2.65 | 277 | 5 | ||||
Series II | |||||||||||||||||||
06-30-20213 | 19.58 | 0.24 | 1.54 | 1.78 | — | — | — | — | 21.36 | 9.094 | 0.845 | 0.595 | 2.285 | 25 | 2 | ||||
12-31-2020 | 18.32 | 0.32 | 1.51 | 1.83 | (0.40) | (0.17) | — | (0.57) | 19.58 | 10.48 | 0.86 | 0.59 | 1.87 | 23 | 5 | ||||
12-31-2019 | 15.46 | 0.44 | 2.80 | 3.24 | (0.38) | — | — | (0.38) | 18.32 | 21.11 | 0.87 | 0.59 | 2.55 | 22 | 56 | ||||
12-31-2018 | 18.46 | 0.42 | (3.03) | (2.61) | (0.38) | (0.01) | — | (0.39) | 15.46 | (14.27) | 0.86 | 0.59 | 2.37 | 14 | 2 | ||||
12-31-2017 | 14.81 | 0.36 | 3.63 | 3.99 | (0.34) | — | — | (0.34) | 18.46 | 27.04 | 0.88 | 0.59 | 2.14 | 18 | 3 | ||||
12-31-2016 | 14.56 | 0.36 | 0.25 | 0.61 | (0.36) | — | — | (0.36) | 14.81 | 4.24 | 0.857 | 0.597 | 2.47 | 14 | 5 | ||||
Series NAV | |||||||||||||||||||
06-30-20213 | 19.55 | 0.26 | 1.54 | 1.80 | — | — | — | — | 21.35 | 9.214 | 0.595 | 0.345 | 2.535 | 523 | 2 | ||||
12-31-2020 | 18.29 | 0.36 | 1.51 | 1.87 | (0.44) | (0.17) | — | (0.61) | 19.55 | 10.76 | 0.61 | 0.34 | 2.11 | 484 | 5 | ||||
12-31-2019 | 15.43 | 0.50 | 2.78 | 3.28 | (0.42) | — | — | (0.42) | 18.29 | 21.44 | 0.62 | 0.34 | 2.91 | 458 | 56 | ||||
12-31-2018 | 18.44 | 0.46 | (3.03) | (2.57) | (0.43) | (0.01) | — | (0.44) | 15.43 | (14.10) | 0.61 | 0.34 | 2.58 | 331 | 2 | ||||
12-31-2017 | 14.78 | 0.41 | 3.63 | 4.04 | (0.38) | — | — | (0.38) | 18.44 | 27.45 | 0.63 | 0.34 | 2.39 | 377 | 3 | ||||
12-31-2016 | 14.54 | 0.39 | 0.25 | 0.64 | (0.40) | — | — | (0.40) | 14.78 | 4.43 | 0.607 | 0.347 | 2.70 | 298 | 5 | ||||
1 Based on average daily shares outstanding. 2 Total returns exclude insurance-related fees and expenses and would have been lower had certain expenses not been reduced during the applicable periods. 3 Six months ended 6-30-21. Unaudited. 4 Not annualized. 5 Annualized. 6 Excludes merger activity. 7 Includes reimbursement for overbilling of custody expenses in prior years of 0.04%. |
The accompanying notes are an integral part of the financial statements. | 81 |
Per share operating performance for a share outstanding throughout each 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 realized and unrealized gain (loss) on investments ($) | Total from investment operations ($) | From net investment income ($) | From net realized gain ($) | From tax return of capital ($) | Total distributions ($) | 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 Small Company Trust | |||||||||||||||||||
Series I | |||||||||||||||||||
06-30-20213 | 14.73 | 0.12 | 1.62 | 1.74 | — | — | — | — | 16.47 | 11.814 | 1.105 | 1.095 | 1.565 | 27 | 13 | ||||
12-31-2020 | 14.38 | 0.15 | 0.93 | 1.08 | (0.28) | (0.45) | — | (0.73) | 14.73 | 8.37 | 1.23 | 1.22 | 1.20 | 27 | 14 | ||||
12-31-2019 | 12.55 | 0.24 | 2.47 | 2.71 | (0.30) | (0.58) | — | (0.88) | 14.38 | 22.60 | 1.20 | 1.19 | 1.76 | 28 | 12 | ||||
12-31-2018 | 15.95 | 0.24 | (3.45) | (3.21) | (0.19) | — | — | (0.19) | 12.55 | (20.09) | 1.15 | 1.14 | 1.55 | 25 | 20 | ||||
12-31-2017 | 12.46 | 0.20 | 3.50 | 3.70 | (0.21) | — | — | (0.21) | 15.95 | 29.46 | 1.18 | 1.17 | 1.42 | 38 | 14 | ||||
12-31-2016 | 12.11 | 0.24 | 0.35 | 0.59 | (0.24) | — | — | (0.24) | 12.46 | 4.90 | 0.916 | 0.906 | 1.96 | 32 | 12 | ||||
Series II | |||||||||||||||||||
06-30-20213 | 14.71 | 0.11 | 1.61 | 1.72 | — | — | — | — | 16.43 | 11.694 | 1.305 | 1.295 | 1.375 | 15 | 13 | ||||
12-31-2020 | 14.36 | 0.13 | 0.92 | 1.05 | (0.25) | (0.45) | — | (0.70) | 14.71 | 8.17 | 1.43 | 1.42 | 0.99 | 15 | 14 | ||||
12-31-2019 | 12.51 | 0.21 | 2.47 | 2.68 | (0.25) | (0.58) | — | (0.83) | 14.36 | 22.35 | 1.40 | 1.39 | 1.55 | 15 | 12 | ||||
12-31-2018 | 15.93 | 0.20 | (3.43) | (3.23) | (0.19) | — | — | (0.19) | 12.51 | (20.27) | 1.35 | 1.34 | 1.34 | 14 | 20 | ||||
12-31-2017 | 12.45 | 0.18 | 3.48 | 3.66 | (0.18) | — | — | (0.18) | 15.93 | 29.17 | 1.38 | 1.37 | 1.22 | 21 | 14 | ||||
12-31-2016 | 12.10 | 0.22 | 0.35 | 0.57 | (0.22) | — | — | (0.22) | 12.45 | 4.70 | 1.126 | 1.116 | 1.79 | 18 | 12 | ||||
Series NAV | |||||||||||||||||||
06-30-20213 | 14.74 | 0.13 | 1.62 | 1.75 | — | — | — | — | 16.49 | 11.874 | 1.055 | 1.045 | 1.645 | 86 | 13 | ||||
12-31-2020 | 14.39 | 0.16 | 0.92 | 1.08 | (0.28) | (0.45) | — | (0.73) | 14.74 | 8.41 | 1.18 | 1.17 | 1.25 | 75 | 14 | ||||
12-31-2019 | 12.56 | 0.25 | 2.48 | 2.73 | (0.32) | (0.58) | — | (0.90) | 14.39 | 22.70 | 1.15 | 1.14 | 1.81 | 73 | 12 | ||||
12-31-2018 | 15.96 | 0.24 | (3.44) | (3.20) | (0.20) | — | — | (0.20) | 12.56 | (20.08) | 1.10 | 1.09 | 1.58 | 74 | 20 | ||||
12-31-2017 | 12.46 | 0.21 | 3.50 | 3.71 | (0.21) | — | — | (0.21) | 15.96 | 29.60 | 1.13 | 1.12 | 1.42 | 93 | 14 | ||||
12-31-2016 | 12.11 | 0.24 | 0.36 | 0.60 | (0.25) | — | — | (0.25) | 12.46 | 4.95 | 0.876 | 0.866 | 2.00 | 58 | 12 | ||||
1 Based on average daily shares outstanding. 2 Total returns exclude insurance-related fees and expenses and would have been lower had certain expenses not been reduced during the applicable periods. 3 Six months ended 6-30-21. Unaudited. 4 Not annualized. 5 Annualized. 6 Includes reimbursement for overbilling of custody expenses in prior years of 0.33%. | |||||||||||||||||||
Lifestyle Balanced Portfolio | |||||||||||||||||||
Series I | |||||||||||||||||||
06-30-20213 | 16.40 | (0.01)4 | 0.98 | 0.97 | — | — | — | — | 17.37 | 5.915 | 0.126, 7 | 0.116, 7 | (0.11)4, 6 | 41 | 4 | ||||
12-31-2020 | 15.43 | 0.384 | 1.53 | 1.91 | (0.37) | (0.57) | — | (0.94) | 16.40 | 12.69 | 0.127 | 0.127 | 2.454 | 41 | 15 | ||||
12-31-2019 | 13.76 | 0.334 | 2.09 | 2.42 | (0.30) | (0.45) | — | (0.75) | 15.43 | 17.73 | 0.127 | 0.127 | 2.194 | 37 | 11 | ||||
12-31-2018 | 14.98 | 0.324 | (0.96) | (0.64) | (0.33) | (0.25) | — | (0.58) | 13.76 | (4.36) | 0.127 | 0.127 | 2.134 | 32 | 8 | ||||
12-31-2017 | 13.78 | 0.334 | 1.36 | 1.69 | (0.33) | (0.16) | — | (0.49) | 14.98 | 12.31 | 0.127 | 0.127 | 2.224 | 35 | 6 | ||||
12-31-2016 | 13.59 | 0.324 | 0.51 | 0.83 | (0.31) | (0.33) | — | (0.64) | 13.78 | 6.11 | 0.127 | 0.117 | 2.314 | 31 | 11 | ||||
Series II | |||||||||||||||||||
06-30-20213 | 16.43 | (0.03)4 | 0.98 | 0.95 | — | — | — | — | 17.38 | 5.785 | 0.326, 7 | 0.316, 7 | (0.31)4, 6 | 1,007 | 4 | ||||
12-31-2020 | 15.46 | 0.354 | 1.53 | 1.88 | (0.34) | (0.57) | — | (0.91) | 16.43 | 12.47 | 0.327 | 0.327 | 2.264 | 960 | 15 | ||||
12-31-2019 | 13.78 | 0.294 | 2.11 | 2.40 | (0.27) | (0.45) | — | (0.72) | 15.46 | 17.56 | 0.327 | 0.327 | 1.944 | 860 | 11 | ||||
12-31-2018 | 15.01 | 0.274 | (0.95) | (0.68) | (0.30) | (0.25) | — | (0.55) | 13.78 | (4.63) | 0.327 | 0.327 | 1.844 | 781 | 8 | ||||
12-31-2017 | 13.80 | 0.294 | 1.38 | 1.67 | (0.30) | (0.16) | — | (0.46) | 15.01 | 12.16 | 0.327 | 0.327 | 1.974 | 942 | 6 | ||||
12-31-2016 | 13.61 | 0.294 | 0.52 | 0.81 | (0.29) | (0.33) | — | (0.62) | 13.80 | 5.89 | 0.327 | 0.317 | 2.064 | 909 | 11 | ||||
Series NAV | |||||||||||||||||||
06-30-20213 | 16.38 | (0.01)4 | 0.98 | 0.97 | — | — | — | — | 17.35 | 5.925 | 0.076, 7 | 0.066, 7 | (0.06)4, 6 | 153 | 4 | ||||
12-31-2020 | 15.42 | 0.404 | 1.51 | 1.91 | (0.38) | (0.57) | — | (0.95) | 16.38 | 12.68 | 0.077 | 0.077 | 2.574 | 136 | 15 | ||||
12-31-2019 | 13.74 | 0.344 | 2.09 | 2.43 | (0.30) | (0.45) | — | (0.75) | 15.42 | 17.89 | 0.077 | 0.077 | 2.294 | 113 | 11 | ||||
12-31-2018 | 14.97 | 0.344 | (0.98) | (0.64) | (0.34) | (0.25) | — | (0.59) | 13.74 | (4.39) | 0.077 | 0.077 | 2.284 | 89 | 8 | ||||
12-31-2017 | 13.77 | 0.344 | 1.35 | 1.69 | (0.33) | (0.16) | — | (0.49) | 14.97 | 12.38 | 0.077 | 0.077 | 2.404 | 83 | 6 | ||||
12-31-2016 | 13.58 | 0.364 | 0.48 | 0.84 | (0.32) | (0.33) | — | (0.65) | 13.77 | 6.16 | 0.077 | 0.067 | 2.584 | 63 | 11 | ||||
1 Based on average daily shares outstanding. 2 Total returns exclude insurance-related fees and expenses and would have been lower had certain expenses not been reduced during the applicable periods. 3 Six months ended 6-30-21. Unaudited. 4 Net investment income 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 underlying funds and can vary based on the mix of underlying funds held by the portfolio. |
The accompanying notes are an integral part of the financial statements. | 82 |
Per share operating performance for a share outstanding throughout each 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) ($)1 | Net realized and unrealized gain (loss) on investments ($) | Total from investment operations ($) | From net investment income ($) | From net realized gain ($) | From tax return of capital ($) | Total distributions ($) | Net asset value, end of period ($) | Total return (%)2 | Expenses before reductions (%) | Expenses including reductions (%) | Net investment income (loss) (%) | Net assets, end of period (in millions) | Portfolio turnover (%) | ||||
Lifestyle Conservative Portfolio | |||||||||||||||||||
Series I | |||||||||||||||||||
06-30-20213 | 14.43 | (0.01)4 | 0.26 | 0.25 | — | — | — | — | 14.68 | 1.735 | 0.146, 7 | 0.136, 7 | (0.13)4, 6 | 19 | 9 | ||||
12-31-2020 | 13.68 | 0.454 | 1.01 | 1.46 | (0.40) | (0.31) | — | (0.71) | 14.43 | 10.75 | 0.157 | 0.137 | 3.194 | 16 | 21 | ||||
12-31-2019 | 12.67 | 0.324 | 1.25 | 1.57 | (0.30) | (0.26) | — | (0.56) | 13.68 | 12.46 | 0.157 | 0.137 | 2.364 | 12 | 21 | ||||
12-31-2018 | 13.39 | 0.334 | (0.59) | (0.26) | (0.32) | (0.14) | — | (0.46) | 12.67 | (1.97) | 0.167 | 0.127 | 2.484 | 11 | 21 | ||||
12-31-2017 | 12.91 | 0.344 | 0.56 | 0.90 | (0.34) | (0.08) | — | (0.42) | 13.39 | 6.96 | 0.167 | 0.137 | 2.694 | 12 | 12 | ||||
12-31-2016 | 12.85 | 0.354 | 0.21 | 0.56 | (0.36) | (0.14) | — | (0.50) | 12.91 | 4.39 | 0.147 | 0.137 | 2.654 | 9 | 19 | ||||
Series II | |||||||||||||||||||
06-30-20213 | 14.45 | (0.02)4 | 0.25 | 0.23 | — | — | — | — | 14.68 | 1.595 | 0.346, 7 | 0.336, 7 | (0.33)4, 6 | 206 | 9 | ||||
12-31-2020 | 13.70 | 0.384 | 1.05 | 1.43 | (0.37) | (0.31) | — | (0.68) | 14.45 | 10.53 | 0.357 | 0.337 | 2.714 | 208 | 21 | ||||
12-31-2019 | 12.69 | 0.304 | 1.25 | 1.55 | (0.28) | (0.26) | — | (0.54) | 13.70 | 12.22 | 0.357 | 0.337 | 2.204 | 170 | 21 | ||||
12-31-2018 | 13.41 | 0.304 | (0.58) | (0.28) | (0.30) | (0.14) | — | (0.44) | 12.69 | (2.17) | 0.367 | 0.327 | 2.294 | 164 | 21 | ||||
12-31-2017 | 12.93 | 0.304 | 0.58 | 0.88 | (0.32) | (0.08) | — | (0.40) | 13.41 | 6.74 | 0.367 | 0.337 | 2.214 | 166 | 12 | ||||
12-31-2016 | 12.87 | 0.314 | 0.23 | 0.54 | (0.34) | (0.14) | — | (0.48) | 12.93 | 4.17 | 0.347 | 0.337 | 2.374 | 178 | 19 | ||||
Series NAV | |||||||||||||||||||
06-30-20213 | 14.42 | (0.01)4 | 0.26 | 0.25 | — | — | — | — | 14.67 | 1.735 | 0.096, 7 | 0.086, 7 | (0.08)4, 6 | 10 | 9 | ||||
12-31-2020 | 13.67 | 0.574 | 0.89 | 1.46 | (0.40) | (0.31) | — | (0.71) | 14.42 | 10.80 | 0.107 | 0.087 | 4.034 | 9 | 21 | ||||
12-31-2019 | 12.66 | 0.314 | 1.27 | 1.58 | (0.31) | (0.26) | — | (0.57) | 13.67 | 12.52 | 0.107 | 0.087 | 2.294 | 4 | 21 | ||||
12-31-2018 | 13.38 | 0.364 | (0.61) | (0.25) | (0.33) | (0.14) | — | (0.47) | 12.66 | (1.92) | 0.117 | 0.077 | 2.704 | 5 | 21 | ||||
12-31-2017 | 12.90 | 0.354 | 0.56 | 0.91 | (0.35) | (0.08) | — | (0.43) | 13.38 | 7.01 | 0.117 | 0.087 | 2.754 | 4 | 12 | ||||
12-31-2016 | 12.85 | 0.614 | (0.05) | 0.56 | (0.37) | (0.14) | — | (0.51) | 12.90 | 4.36 | 0.107 | 0.087 | 4.674 | 3 | 19 | ||||
1 Based on average daily shares outstanding. 2 Total returns exclude insurance-related fees and expenses and would have been lower had certain expenses not been reduced during the applicable periods. 3 Six months ended 6-30-21. Unaudited. 4 Net investment income 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 underlying funds and can vary based on the mix of underlying funds held by the portfolio. | |||||||||||||||||||
Lifestyle Growth Portfolio | |||||||||||||||||||
Series I | |||||||||||||||||||
06-30-20213 | 17.79 | (0.01)4 | 1.58 | 1.57 | — | — | — | — | 19.36 | 8.835 | 0.116, 7 | 0.116, 7 | (0.11)4, 6 | 251 | 28 | ||||
12-31-2020 | 16.92 | 0.364 | 1.84 | 2.20 | (0.37) | (0.96) | — | (1.33) | 17.79 | 13.58 | 0.127 | 0.117 | 2.194 | 236 | 13 | ||||
12-31-2019 | 14.86 | 0.324 | 2.81 | 3.13 | (0.30) | (0.77) | — | (1.07) | 16.92 | 21.45 | 0.127 | 0.117 | 1.964 | 224 | 7 | ||||
12-31-2018 | 16.41 | 0.304 | (1.28) | (0.98) | (0.32) | (0.25) | — | (0.57) | 14.86 | (6.12) | 0.117 | 0.117 | 1.854 | 207 | 5 | ||||
12-31-2017 | 14.53 | 0.454 | 1.88 | 2.33 | (0.30) | (0.15) | — | (0.45) | 16.41 | 16.13 | 0.127 | 0.117 | 3.344 | 242 | 48 | ||||
12-31-2016 | 14.23 | 0.464 | 0.56 | 1.02 | (0.27) | (0.45) | — | (0.72) | 14.53 | 7.23 | 0.117 | 0.117 | 3.164 | 93 | 128 | ||||
Series II | |||||||||||||||||||
06-30-20213 | 17.81 | (0.03)4 | 1.58 | 1.55 | — | — | — | — | 19.36 | 8.705 | 0.316, 7 | 0.316, 7 | (0.31)4, 6 | 5,639 | 28 | ||||
12-31-2020 | 16.94 | 0.334 | 1.84 | 2.17 | (0.34) | (0.96) | — | (1.30) | 17.81 | 13.37 | 0.327 | 0.317 | 1.974 | 5,588 | 13 | ||||
12-31-2019 | 14.88 | 0.294 | 2.81 | 3.10 | (0.27) | (0.77) | — | (1.04) | 16.94 | 21.20 | 0.327 | 0.317 | 1.754 | 5,567 | 7 | ||||
12-31-2018 | 16.43 | 0.274 | (1.29) | (1.02) | (0.28) | (0.25) | — | (0.53) | 14.88 | (6.31) | 0.317 | 0.317 | 1.624 | 5,225 | 5 | ||||
12-31-2017 | 14.55 | 0.404 | 1.90 | 2.30 | (0.27) | (0.15) | — | (0.42) | 16.43 | 15.90 | 0.327 | 0.317 | 2.894 | 6,456 | 48 | ||||
12-31-2016 | 14.25 | 0.344 | 0.66 | 1.00 | (0.25) | (0.45) | — | (0.70) | 14.55 | 7.02 | 0.317 | 0.317 | 2.354 | 2,889 | 128 | ||||
Series NAV | |||||||||||||||||||
06-30-20213 | 17.78 | (0.01)4 | 1.59 | 1.58 | — | — | — | — | 19.36 | 8.895 | 0.066, 7 | 0.066, 7 | (0.06)4, 6 | 551 | 28 | ||||
12-31-2020 | 16.91 | 0.384 | 1.83 | 2.21 | (0.38) | (0.96) | — | (1.34) | 17.78 | 13.63 | 0.077 | 0.067 | 2.304 | 477 | 13 | ||||
12-31-2019 | 14.85 | 0.344 | 2.80 | 3.14 | (0.31) | (0.77) | — | (1.08) | 16.91 | 21.52 | 0.077 | 0.067 | 2.104 | 415 | 7 | ||||
12-31-2018 | 16.40 | 0.334 | (1.31) | (0.98) | (0.32) | (0.25) | — | (0.57) | 14.85 | (6.07) | 0.067 | 0.067 | 2.004 | 339 | 5 | ||||
12-31-2017 | 14.52 | 0.464 | 1.88 | 2.34 | (0.31) | (0.15) | — | (0.46) | 16.40 | 16.20 | 0.077 | 0.067 | 3.614 | 346 | 48 | ||||
12-31-2016 | 14.23 | 0.524 | 0.50 | 1.02 | (0.28) | (0.45) | — | (0.73) | 14.52 | 7.21 | 0.067 | 0.067 | 3.594 | 109 | 128 | ||||
1 Based on average daily shares outstanding. 2 Total returns exclude insurance-related fees and expenses and would have been lower had certain expenses not been reduced during the applicable periods. 3 Six months ended 6-30-21. Unaudited. 4 Net investment income 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 underlying funds and can vary based on the mix of underlying funds held by the portfolio. 8 Excludes merger activity. |
The accompanying notes are an integral part of the financial statements. | 83 |
Per share operating performance for a share outstanding throughout each 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 realized and unrealized gain (loss) on investments ($) | Total from investment operations ($) | From net investment income ($) | From net realized gain ($) | From tax return of capital ($) | Total distributions ($) | 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 Moderate Portfolio | |||||||||||||||||||
Series I | |||||||||||||||||||
06-30-20213 | 15.74 | (0.01)4 | 0.72 | 0.71 | — | — | — | — | 16.45 | 4.515 | 0.136, 7 | 0.136, 7 | (0.13)4, 6 | 16 | 5 | ||||
12-31-2020 | 14.85 | 0.404 | 1.36 | 1.76 | (0.38) | (0.49) | — | (0.87) | 15.74 | 12.09 | 0.147 | 0.137 | 2.644 | 14 | 17 | ||||
12-31-2019 | 13.38 | 0.334 | 1.79 | 2.12 | (0.29) | (0.36) | — | (0.65) | 14.85 | 15.97 | 0.147 | 0.137 | 2.284 | 12 | 15 | ||||
12-31-2018 | 14.44 | 0.314 | (0.81) | (0.50) | (0.33) | (0.23) | — | (0.56) | 13.38 | (3.58) | 0.147 | 0.137 | 2.174 | 10 | 8 | ||||
12-31-2017 | 13.50 | 0.334 | 1.07 | 1.40 | (0.33) | (0.13) | — | (0.46) | 14.44 | 10.43 | 0.147 | 0.137 | 2.354 | 11 | 7 | ||||
12-31-2016 | 13.37 | 0.344 | 0.40 | 0.74 | (0.33) | (0.28) | — | (0.61) | 13.50 | 5.50 | 0.137 | 0.127 | 2.484 | 10 | 14 | ||||
Series II | |||||||||||||||||||
06-30-20213 | 15.77 | (0.03)4 | 0.72 | 0.69 | — | — | — | — | 16.46 | 4.385 | 0.336, 7 | 0.336, 7 | (0.33)4, 6 | 308 | 5 | ||||
12-31-2020 | 14.88 | 0.374 | 1.36 | 1.73 | (0.35) | (0.49) | — | (0.84) | 15.77 | 11.87 | 0.347 | 0.337 | 2.434 | 307 | 17 | ||||
12-31-2019 | 13.41 | 0.294 | 1.80 | 2.09 | (0.26) | (0.36) | — | (0.62) | 14.88 | 15.72 | 0.347 | 0.337 | 2.004 | 269 | 15 | ||||
12-31-2018 | 14.47 | 0.284 | (0.81) | (0.53) | (0.30) | (0.23) | — | (0.53) | 13.41 | (3.77) | 0.347 | 0.337 | 1.944 | 247 | 8 | ||||
12-31-2017 | 13.52 | 0.304 | 1.08 | 1.38 | (0.30) | (0.13) | — | (0.43) | 14.47 | 10.28 | 0.347 | 0.337 | 2.044 | 295 | 7 | ||||
12-31-2016 | 13.39 | 0.294 | 0.42 | 0.71 | (0.30) | (0.28) | — | (0.58) | 13.52 | 5.28 | 0.337 | 0.327 | 2.144 | 295 | 14 | ||||
Series NAV | |||||||||||||||||||
06-30-20213 | 15.74 | (0.01)4 | 0.72 | 0.71 | — | — | — | — | 16.45 | 4.515 | 0.086, 7 | 0.086, 7 | (0.08)4, 6 | 41 | 5 | ||||
12-31-2020 | 14.84 | 0.404 | 1.38 | 1.78 | (0.39) | (0.49) | — | (0.88) | 15.74 | 12.22 | 0.097 | 0.087 | 2.674 | 35 | 17 | ||||
12-31-2019 | 13.38 | 0.354 | 1.77 | 2.12 | (0.30) | (0.36) | — | (0.66) | 14.84 | 15.95 | 0.097 | 0.087 | 2.394 | 30 | 15 | ||||
12-31-2018 | 14.44 | 0.354 | (0.85) | (0.50) | (0.33) | (0.23) | — | (0.56) | 13.38 | (3.53) | 0.097 | 0.087 | 2.464 | 22 | 8 | ||||
12-31-2017 | 13.49 | 0.354 | 1.07 | 1.42 | (0.34) | (0.13) | — | (0.47) | 14.44 | 10.56 | 0.097 | 0.087 | 2.594 | 20 | 7 | ||||
12-31-2016 | 13.36 | 0.414 | 0.34 | 0.75 | (0.34) | (0.28) | — | (0.62) | 13.49 | 5.55 | 0.087 | 0.087 | 3.004 | 14 | 14 | ||||
1 Based on average daily shares outstanding. 2 Total returns exclude insurance-related fees and expenses and would have been lower had certain expenses not been reduced during the applicable periods. 3 Six months ended 6-30-21. Unaudited. 4 Net investment income 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 underlying funds and can vary based on the mix of underlying funds held by the portfolio. | |||||||||||||||||||
Mid Cap Index Trust | |||||||||||||||||||
Series I | |||||||||||||||||||
06-30-20213 | 21.34 | 0.10 | 3.61 | 3.71 | — | — | — | — | 25.05 | 17.394 | 0.555 | 0.455 | 0.875 | 1,107 | 9 | ||||
12-31-2020 | 21.39 | 0.21 | 2.19 | 2.40 | (0.32) | (2.13) | — | (2.45) | 21.34 | 13.22 | 0.56 | 0.46 | 1.10 | 996 | 14 | ||||
12-31-2019 | 18.83 | 0.26 | 4.36 | 4.62 | (0.24) | (1.82) | — | (2.06) | 21.39 | 25.59 | 0.56 | 0.45 | 1.22 | 1,047 | 15 | ||||
12-31-2018 | 23.00 | 0.27 | (2.60) | (2.33) | (0.25) | (1.59) | — | (1.84) | 18.83 | (11.46) | 0.56 | 0.45 | 1.17 | 1,029 | 15 | ||||
12-31-2017 | 21.32 | 0.24 | 2.95 | 3.19 | (0.11) | (1.40) | — | (1.51) | 23.00 | 15.81 | 0.56 | 0.45 | 1.07 | 1,277 | 196, 7 | ||||
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 | ||||
Series II | |||||||||||||||||||
06-30-20213 | 21.21 | 0.08 | 3.57 | 3.65 | — | — | — | — | 24.86 | 17.214 | 0.755 | 0.655 | 0.675 | 75 | 9 | ||||
12-31-2020 | 21.28 | 0.17 | 2.17 | 2.34 | (0.28) | (2.13) | — | (2.41) | 21.21 | 12.98 | 0.76 | 0.66 | 0.90 | 67 | 14 | ||||
12-31-2019 | 18.73 | 0.21 | 4.36 | 4.57 | (0.20) | (1.82) | — | (2.02) | 21.28 | 25.43 | 0.76 | 0.65 | 1.02 | 70 | 15 | ||||
12-31-2018 | 22.89 | 0.22 | (2.58) | (2.36) | (0.21) | (1.59) | — | (1.80) | 18.73 | (11.66) | 0.76 | 0.65 | 0.96 | 66 | 15 | ||||
12-31-2017 | 21.24 | 0.19 | 2.93 | 3.12 | (0.07) | (1.40) | — | (1.47) | 22.89 | 15.51 | 0.76 | 0.65 | 0.85 | 90 | 196, 7 | ||||
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 | ||||
Series NAV | |||||||||||||||||||
06-30-20213 | 21.34 | 0.11 | 3.60 | 3.71 | — | — | — | — | 25.05 | 17.394 | 0.505 | 0.405 | 0.935 | 287 | 9 | ||||
12-31-2020 | 21.39 | 0.22 | 2.19 | 2.41 | (0.33) | (2.13) | — | (2.46) | 21.34 | 13.27 | 0.51 | 0.41 | 1.15 | 242 | 14 | ||||
12-31-2019 | 18.82 | 0.27 | 4.37 | 4.64 | (0.25) | (1.82) | — | (2.07) | 21.39 | 25.72 | 0.51 | 0.40 | 1.28 | 228 | 15 | ||||
12-31-2018 | 23.00 | 0.28 | (2.60) | (2.32) | (0.27) | (1.59) | — | (1.86) | 18.82 | (11.45) | 0.51 | 0.40 | 1.23 | 174 | 15 | ||||
12-31-2017 | 21.32 | 0.24 | 2.96 | 3.20 | (0.12) | (1.40) | — | (1.52) | 23.00 | 15.86 | 0.51 | 0.40 | 1.10 | 198 | 196, 7 | ||||
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 | ||||
1 Based on average daily shares outstanding. 2 Total returns exclude insurance-related fees and expenses and would have been lower had certain expenses not been reduced during the applicable periods. 3 Six months ended 6-30-21. Unaudited. 4 Not annualized. 5 Annualized. 6 Excludes in-kind transactions. 7 Excludes merger activity. |
The accompanying notes are an integral part of the financial statements. | 84 |
Per share operating performance for a share outstanding throughout each 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) ($)1 | Net realized and unrealized gain (loss) on investments ($) | Total from investment operations ($) | From net investment income ($) | From net realized gain ($) | From tax return of capital ($) | Total distributions ($) | Net asset value, end of period ($) | Total return (%)2 | Expenses before reductions (%) | Expenses including reductions (%) | Net investment income (loss) (%) | Net assets, end of period (in millions) | Portfolio turnover (%) | ||||
Mid Cap Stock Trust | |||||||||||||||||||
Series I | |||||||||||||||||||
06-30-20213 | 26.19 | (0.10) | 2.24 | 2.14 | — | — | — | — | 28.33 | 8.094 | 0.925 | 0.915 | (0.74)5 | 235 | 39 | ||||
12-31-2020 | 18.07 | (0.13) | 11.50 | 11.37 | — | (3.25) | — | (3.25) | 26.19 | 65.39 | 0.93 | 0.92 | (0.61) | 234 | 98 | ||||
12-31-2019 | 15.79 | (0.10) | 5.44 | 5.34 | — | (3.06) | — | (3.06) | 18.07 | 34.53 | 0.93 | 0.93 | (0.54) | 168 | 64 | ||||
12-31-2018 | 17.82 | (0.08) | 0.15 | 0.07 | — | (2.10) | — | (2.10) | 15.79 | (1.56) | 0.93 | 0.92 | (0.41) | 142 | 69 | ||||
12-31-2017 | 14.16 | (0.03) | 4.04 | 4.01 | — | (0.35) | — | (0.35) | 17.82 | 28.54 | 0.93 | 0.92 | (0.16) | 166 | 71 | ||||
12-31-2016 | 15.17 | (0.04) | 0.16 | 0.12 | — | (1.13) | — | (1.13) | 14.16 | 0.59 | 0.906 | 0.896 | (0.27) | 150 | 85 | ||||
Series II | |||||||||||||||||||
06-30-20213 | 23.93 | (0.12) | 2.06 | 1.94 | — | — | — | — | 25.87 | 8.024 | 1.125 | 1.115 | (0.94)5 | 114 | 39 | ||||
12-31-2020 | 16.74 | (0.16) | 10.60 | 10.44 | — | (3.25) | — | (3.25) | 23.93 | 65.02 | 1.13 | 1.12 | (0.81) | 120 | 98 | ||||
12-31-2019 | 14.83 | (0.13) | 5.10 | 4.97 | — | (3.06) | — | (3.06) | 16.74 | 34.25 | 1.13 | 1.13 | (0.74) | 86 | 64 | ||||
12-31-2018 | 16.87 | (0.11) | 0.17 | 0.06 | — | (2.10) | — | (2.10) | 14.83 | (1.71) | 1.13 | 1.12 | (0.61) | 73 | 69 | ||||
12-31-2017 | 13.45 | (0.06) | 3.83 | 3.77 | — | (0.35) | — | (0.35) | 16.87 | 28.26 | 1.13 | 1.12 | (0.36) | 85 | 71 | ||||
12-31-2016 | 14.49 | (0.06) | 0.15 | 0.09 | — | (1.13) | — | (1.13) | 13.45 | 0.41 | 1.106 | 1.096 | (0.47) | 76 | 85 | ||||
Series NAV | |||||||||||||||||||
06-30-20213 | 26.70 | (0.10) | 2.29 | 2.19 | — | — | — | — | 28.89 | 8.164 | 0.875 | 0.865 | (0.69)5 | 624 | 39 | ||||
12-31-2020 | 18.37 | (0.12) | 11.70 | 11.58 | — | (3.25) | — | (3.25) | 26.70 | 65.47 | 0.88 | 0.87 | (0.55) | 635 | 98 | ||||
12-31-2019 | 16.00 | (0.09) | 5.52 | 5.43 | — | (3.06) | — | (3.06) | 18.37 | 34.63 | 0.88 | 0.88 | (0.49) | 535 | 64 | ||||
12-31-2018 | 18.03 | (0.07) | 0.14 | 0.07 | — | (2.10) | — | (2.10) | 16.00 | (1.54) | 0.88 | 0.87 | (0.35) | 454 | 69 | ||||
12-31-2017 | 14.31 | (0.02) | 4.09 | 4.07 | — | (0.35) | — | (0.35) | 18.03 | 28.66 | 0.88 | 0.87 | (0.12) | 501 | 71 | ||||
12-31-2016 | 15.32 | (0.03) | 0.15 | 0.12 | — | (1.13) | — | (1.13) | 14.31 | 0.58 | 0.856 | 0.846 | (0.22) | 449 | 85 | ||||
1 Based on average daily shares outstanding. 2 Total returns exclude insurance-related fees and expenses and would have been lower had certain expenses not been reduced during the applicable periods. 3 Six months ended 6-30-21. Unaudited. 4 Not annualized. 5 Annualized. 6 Includes reimbursement for overbilling of custody expenses in prior years of 0.03%. | |||||||||||||||||||
Mid Value Trust | |||||||||||||||||||
Series I | |||||||||||||||||||
06-30-20213 | 10.18 | 0.05 | 1.94 | 1.99 | — | — | — | — | 12.17 | 19.554 | 1.045 | 0.995 | 0.885 | 255 | 16 | ||||
12-31-2020 | 9.68 | 0.14 | 0.73 | 0.87 | (0.15) | (0.22) | — | (0.37) | 10.18 | 9.60 | 1.05 | 1.00 | 1.55 | 210 | 36 | ||||
12-31-2019 | 9.47 | 0.15 | 1.54 | 1.69 | (0.11) | (1.37) | — | (1.48) | 9.68 | 19.54 | 1.05 | 1.00 | 1.50 | 239 | 33 | ||||
12-31-2018 | 11.60 | 0.09 | (1.20) | (1.11) | (0.09) | (0.93) | — | (1.02) | 9.47 | (10.84) | 1.05 | 0.99 | 0.80 | 241 | 35 | ||||
12-31-2017 | 11.62 | 0.11 | 1.10 | 1.21 | (0.11) | (1.12) | — | (1.23) | 11.60 | 11.43 | 1.04 | 0.99 | 0.96 | 312 | 32 | ||||
12-31-2016 | 10.72 | 0.12 | 2.35 | 2.47 | (0.13) | (1.44) | — | (1.57) | 11.62 | 24.02 | 1.026 | 0.966 | 1.03 | 339 | 56 | ||||
Series II | |||||||||||||||||||
06-30-20213 | 10.19 | 0.04 | 1.94 | 1.98 | — | — | — | — | 12.17 | 19.434 | 1.245 | 1.195 | 0.675 | 57 | 16 | ||||
12-31-2020 | 9.69 | 0.12 | 0.74 | 0.86 | (0.14) | (0.22) | — | (0.36) | 10.19 | 9.38 | 1.25 | 1.20 | 1.36 | 47 | 36 | ||||
12-31-2019 | 9.49 | 0.13 | 1.53 | 1.66 | (0.09) | (1.37) | — | (1.46) | 9.69 | 19.15 | 1.25 | 1.20 | 1.30 | 50 | 33 | ||||
12-31-2018 | 11.61 | 0.07 | (1.19) | (1.12) | (0.07) | (0.93) | — | (1.00) | 9.49 | (10.93) | 1.25 | 1.19 | 0.60 | 48 | 35 | ||||
12-31-2017 | 11.63 | 0.09 | 1.10 | 1.19 | (0.09) | (1.12) | — | (1.21) | 11.61 | 11.21 | 1.24 | 1.19 | 0.76 | 62 | 32 | ||||
12-31-2016 | 10.73 | 0.09 | 2.36 | 2.45 | (0.11) | (1.44) | — | (1.55) | 11.63 | 23.77 | 1.216 | 1.166 | 0.83 | 67 | 56 | ||||
Series NAV | |||||||||||||||||||
06-30-20213 | 10.11 | 0.05 | 1.92 | 1.97 | — | — | — | — | 12.08 | 19.494 | 0.995 | 0.945 | 0.915 | 360 | 16 | ||||
12-31-2020 | 9.61 | 0.14 | 0.74 | 0.88 | (0.16) | (0.22) | — | (0.38) | 10.11 | 9.72 | 1.00 | 0.95 | 1.59 | 345 | 36 | ||||
12-31-2019 | 9.42 | 0.15 | 1.53 | 1.68 | (0.12) | (1.37) | — | (1.49) | 9.61 | 19.49 | 1.00 | 0.95 | 1.56 | 381 | 33 | ||||
12-31-2018 | 11.53 | 0.10 | (1.18) | (1.08) | (0.10) | (0.93) | — | (1.03) | 9.42 | (10.68) | 1.00 | 0.94 | 0.86 | 359 | 35 | ||||
12-31-2017 | 11.56 | 0.11 | 1.10 | 1.21 | (0.12) | (1.12) | — | (1.24) | 11.53 | 11.46 | 0.99 | 0.94 | 0.99 | 434 | 32 | ||||
12-31-2016 | 10.67 | 0.12 | 2.34 | 2.46 | (0.13) | (1.44) | — | (1.57) | 11.56 | 24.09 | 0.976 | 0.916 | 1.09 | 425 | 56 | ||||
1 Based on average daily shares outstanding. 2 Total returns exclude insurance-related fees and expenses and would have been lower had certain expenses not been reduced during the applicable periods. 3 Six months ended 6-30-21. Unaudited. 4 Not annualized. 5 Annualized. 6 Includes reimbursement for overbilling of custody expenses in prior years of 0.02%. |
The accompanying notes are an integral part of the financial statements. | 85 |
Per share operating performance for a share outstanding throughout each 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 realized and unrealized gain (loss) on investments ($) | Total from investment operations ($) | From net investment income ($) | From net realized gain ($) | From tax return of capital ($) | Total distributions ($) | 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 (%) | ||||
Real Estate Securities Trust | |||||||||||||||||||
Series I | |||||||||||||||||||
06-30-20213 | 18.97 | 0.18 | 4.12 | 4.30 | — | — | — | — | 23.27 | 22.674 | 0.815 | 0.805 | 1.685 | 71 | 42 | ||||
12-31-2020 | 23.55 | 0.40 | (1.97) | (1.57) | (0.43) | (2.58) | — | (3.01) | 18.97 | (5.64) | 0.82 | 0.82 | 1.96 | 61 | 180 | ||||
12-31-2019 | 18.72 | 0.42 | 5.07 | 5.49 | (0.48) | (0.18) | — | (0.66) | 23.55 | 29.40 | 0.81 | 0.81 | 1.90 | 73 | 129 | ||||
12-31-2018 | 19.71 | 0.43 | (1.09) | (0.66) | (0.33) | — | — | (0.33) | 18.72 | (3.46) | 0.81 | 0.81 | 2.21 | 64 | 164 | ||||
12-31-2017 | 18.65 | 0.40 | 0.76 | 1.16 | (0.10) | — | — | (0.10) | 19.71 | 6.24 | 0.81 | 0.80 | 2.08 | 77 | 166 | ||||
12-31-2016 | 18.08 | 0.44 | 0.78 | 1.22 | (0.65) | — | — | (0.65) | 18.65 | 6.92 | 0.746 | 0.746 | 2.32 | 85 | 147 | ||||
Series II | |||||||||||||||||||
06-30-20213 | 18.96 | 0.15 | 4.12 | 4.27 | — | — | — | — | 23.23 | 22.524 | 1.015 | 1.005 | 1.495 | 38 | 42 | ||||
12-31-2020 | 23.53 | 0.36 | (1.96) | (1.60) | (0.39) | (2.58) | — | (2.97) | 18.96 | (5.80) | 1.02 | 1.02 | 1.75 | 32 | 180 | ||||
12-31-2019 | 18.72 | 0.38 | 5.05 | 5.43 | (0.44) | (0.18) | — | (0.62) | 23.53 | 29.08 | 1.01 | 1.01 | 1.70 | 40 | 129 | ||||
12-31-2018 | 19.74 | 0.38 | (1.08) | (0.70) | (0.32) | — | — | (0.32) | 18.72 | (3.64) | 1.01 | 1.01 | 2.00 | 35 | 164 | ||||
12-31-2017 | 18.68 | 0.36 | 0.77 | 1.13 | (0.07) | — | — | (0.07) | 19.74 | 6.06 | 1.01 | 1.00 | 1.88 | 45 | 166 | ||||
12-31-2016 | 18.11 | 0.40 | 0.78 | 1.18 | (0.61) | — | — | (0.61) | 18.68 | 6.69 | 0.946 | 0.936 | 2.11 | 51 | 147 | ||||
Series NAV | |||||||||||||||||||
06-30-20213 | 18.84 | 0.18 | 4.10 | 4.28 | — | — | — | — | 23.12 | 22.724 | 0.765 | 0.755 | 1.745 | 263 | 42 | ||||
12-31-2020 | 23.41 | 0.41 | (1.96) | (1.55) | (0.44) | (2.58) | — | (3.02) | 18.84 | (5.58) | 0.77 | 0.77 | 2.01 | 221 | 180 | ||||
12-31-2019 | 18.61 | 0.43 | 5.04 | 5.47 | (0.49) | (0.18) | — | (0.67) | 23.41 | 29.47 | 0.76 | 0.76 | 1.96 | 257 | 129 | ||||
12-31-2018 | 19.59 | 0.43 | (1.08) | (0.65) | (0.33) | — | — | (0.33) | 18.61 | (3.43) | 0.76 | 0.76 | 2.26 | 204 | 164 | ||||
12-31-2017 | 18.53 | 0.41 | 0.76 | 1.17 | (0.11) | — | — | (0.11) | 19.59 | 6.26 | 0.76 | 0.75 | 2.15 | 254 | 166 | ||||
12-31-2016 | 17.97 | 0.45 | 0.77 | 1.22 | (0.66) | — | — | (0.66) | 18.53 | 6.96 | 0.696 | 0.696 | 2.37 | 267 | 147 | ||||
1 Based on average daily shares outstanding. 2 Total returns exclude insurance-related fees and expenses and would have been lower had certain expenses not been reduced during the applicable periods. 3 Six months ended 6-30-21. Unaudited. 4 Not annualized. 5 Annualized. 6 Includes reimbursement for overbilling of custody expenses in prior years of 0.06%. | |||||||||||||||||||
Science & Technology Trust | |||||||||||||||||||
Series I | |||||||||||||||||||
06-30-20213 | 41.87 | (0.15) | 4.34 | 4.19 | — | — | — | — | 46.06 | 10.014 | 1.115 | 1.065 | (0.67)5 | 929 | 48 | ||||
12-31-2020 | 29.43 | (0.06)6 | 16.39 | 16.33 | — | (3.89) | — | (3.89) | 41.87 | 57.46 | 1.11 | 1.07 | (0.16)6 | 938 | 114 | ||||
12-31-2019 | 25.80 | 0.01 | 9.31 | 9.32 | (0.03) | (5.66) | — | (5.69) | 29.43 | 38.06 | 1.13 | 1.08 | 0.04 | 662 | 87 | ||||
12-31-2018 | 29.97 | (0.11) | 0.68 | 0.57 | — | (4.74) | — | (4.74) | 25.80 | (0.61) | 1.12 | 1.08 | (0.35) | 594 | 108 | ||||
12-31-2017 | 22.48 | (0.09) | 9.17 | 9.08 | (0.02) | (1.57) | — | (1.59) | 29.97 | 41.13 | 1.12 | 1.08 | (0.34) | 617 | 91 | ||||
12-31-2016 | 23.78 | 0.02 | 1.99 | 2.01 | — | (3.31) | — | (3.31) | 22.48 | 8.39 | 1.127 | 1.077 | 0.09 | 425 | 111 | ||||
Series II | |||||||||||||||||||
06-30-20213 | 39.08 | (0.18) | 4.06 | 3.88 | — | — | — | — | 42.96 | 9.904 | 1.315 | 1.265 | (0.87)5 | 84 | 48 | ||||
12-31-2020 | 27.71 | (0.11)6 | 15.37 | 15.26 | — | (3.89) | — | (3.89) | 39.08 | 57.15 | 1.31 | 1.27 | (0.35)6 | 84 | 114 | ||||
12-31-2019 | 24.58 | (0.05) | 8.84 | 8.79 | — | (5.66) | — | (5.66) | 27.71 | 37.74 | 1.33 | 1.28 | (0.17) | 59 | 87 | ||||
12-31-2018 | 28.79 | (0.17) | 0.70 | 0.53 | — | (4.74) | — | (4.74) | 24.58 | (0.78) | 1.32 | 1.28 | (0.55) | 49 | 108 | ||||
12-31-2017 | 21.68 | (0.14) | 8.82 | 8.68 | — | (1.57) | — | (1.57) | 28.79 | 40.81 | 1.32 | 1.28 | (0.54) | 53 | 91 | ||||
12-31-2016 | 23.09 | (0.02) | 1.92 | 1.90 | — | (3.31) | — | (3.31) | 21.68 | 8.15 | 1.327 | 1.277 | (0.11) | 42 | 111 | ||||
Series NAV | |||||||||||||||||||
06-30-20213 | 42.55 | (0.14) | 4.41 | 4.27 | — | — | — | — | 46.82 | 10.044 | 1.065 | 1.015 | (0.62)5 | 159 | 48 | ||||
12-31-2020 | 29.84 | (0.05)6 | 16.65 | 16.60 | — | (3.89) | — | (3.89) | 42.55 | 57.58 | 1.06 | 1.02 | (0.14)6 | 145 | 114 | ||||
12-31-2019 | 26.10 | 0.03 | 9.42 | 9.45 | (0.05) | (5.66) | — | (5.71) | 29.84 | 38.09 | 1.08 | 1.03 | 0.10 | 89 | 87 | ||||
12-31-2018 | 30.26 | (0.10) | 0.68 | 0.58 | — | (4.74) | — | (4.74) | 26.10 | (0.57) | 1.07 | 1.03 | (0.31) | 64 | 108 | ||||
12-31-2017 | 22.68 | (0.08) | 9.26 | 9.18 | (0.03) | (1.57) | — | (1.60) | 30.26 | 41.21 | 1.07 | 1.03 | (0.29) | 48 | 91 | ||||
12-31-2016 | 23.96 | 0.03 | 2.00 | 2.03 | — | (3.31) | — | (3.31) | 22.68 | 8.41 | 1.077 | 1.027 | 0.14 | 34 | 111 | ||||
1 Based on average daily shares outstanding. 2 Total returns exclude insurance-related fees and expenses and would have been lower had certain expenses not been reduced during the applicable periods. 3 Six months ended 6-30-21. Unaudited. 4 Not annualized. 5 Annualized. 6 Net investment income (loss) per share and ratio of net investment income (loss) to average net assets reflect a special dividend received by the portfolio, which amounted to $0.18 and 0.51%, respectively. 7 Includes reimbursement for overbilling of custody expenses in prior years of 0.01%. |
The accompanying notes are an integral part of the financial statements. | 86 |
Per share operating performance for a share outstanding throughout each period | Ratios and supplemental data | ||||||||||||||||||
Income (loss) from investment operations | Less distributions | Ratios to average net assets | |||||||||||||||||
Period ended | Net asset value, beginning of period ($) | Net investment income (loss) ($)1 | Net realized and unrealized gain (loss) on investments ($) | Total from investment operations ($) | From net investment income ($) | From net realized gain ($) | From tax return of capital ($) | Total distributions ($) | Net asset value, end of period ($) | 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 | |||||||||||||||||||
06-30-20213 | 16.31 | 0.04 | 2.80 | 2.84 | — | — | — | — | 19.15 | 17.414 | 0.575 | 0.515 | 0.485 | 506 | 16 | ||||
12-31-2020 | 14.94 | 0.10 | 2.50 | 2.60 | (0.20) | (1.03) | — | (1.23) | 16.31 | 19.29 | 0.59 | 0.53 | 0.74 | 427 | 16 | ||||
12-31-2019 | 13.36 | 0.16 | 3.01 | 3.17 | (0.15) | (1.44) | — | (1.59) | 14.94 | 25.04 | 0.58 | 0.53 | 1.11 | 404 | 14 | ||||
12-31-2018 | 16.09 | 0.17 | (1.78) | (1.61) | (0.15) | (0.97) | — | (1.12) | 13.36 | (11.42) | 0.58 | 0.52 | 1.04 | 365 | 24 | ||||
12-31-2017 | 14.74 | 0.15 | 1.89 | 2.04 | (0.07) | (0.62) | — | (0.69) | 16.09 | 14.39 | 0.58 | 0.52 | 0.97 | 416 | 22 | ||||
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 | ||||
Series II | |||||||||||||||||||
06-30-20213 | 16.20 | 0.03 | 2.76 | 2.79 | — | — | — | — | 18.99 | 17.224 | 0.775 | 0.715 | 0.285 | 40 | 16 | ||||
12-31-2020 | 14.85 | 0.07 | 2.48 | 2.55 | (0.17) | (1.03) | — | (1.20) | 16.20 | 19.05 | 0.79 | 0.73 | 0.54 | 36 | 16 | ||||
12-31-2019 | 13.29 | 0.13 | 2.99 | 3.12 | (0.12) | (1.44) | — | (1.56) | 14.85 | 24.78 | 0.78 | 0.73 | 0.90 | 35 | 14 | ||||
12-31-2018 | 16.00 | 0.13 | (1.75) | (1.62) | (0.12) | (0.97) | — | (1.09) | 13.29 | (11.55) | 0.78 | 0.72 | 0.82 | 32 | 24 | ||||
12-31-2017 | 14.66 | 0.11 | 1.89 | 2.00 | (0.04) | (0.62) | — | (0.66) | 16.00 | 14.18 | 0.78 | 0.72 | 0.75 | 42 | 22 | ||||
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 | ||||
Series NAV | |||||||||||||||||||
06-30-20213 | 16.33 | 0.05 | 2.80 | 2.85 | — | — | — | — | 19.18 | 17.454 | 0.525 | 0.465 | 0.535 | 167 | 16 | ||||
12-31-2020 | 14.96 | 0.11 | 2.49 | 2.60 | (0.20) | (1.03) | — | (1.23) | 16.33 | 19.32 | 0.54 | 0.48 | 0.78 | 144 | 16 | ||||
12-31-2019 | 13.38 | 0.18 | 3.00 | 3.18 | (0.16) | (1.44) | — | (1.60) | 14.96 | 25.07 | 0.53 | 0.48 | 1.19 | 158 | 14 | ||||
12-31-2018 | 16.10 | 0.18 | (1.77) | (1.59) | (0.16) | (0.97) | — | (1.13) | 13.38 | (11.30) | 0.53 | 0.47 | 1.09 | 124 | 24 | ||||
12-31-2017 | 14.75 | 0.16 | 1.89 | 2.05 | (0.08) | (0.62) | — | (0.70) | 16.10 | 14.43 | 0.53 | 0.47 | 1.02 | 137 | 22 | ||||
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 | ||||
1 Based on average daily shares outstanding. 2 Total returns exclude insurance-related fees and expenses and would have been lower had certain expenses not been reduced during the applicable periods. 3 Six months ended 6-30-21. Unaudited. 4 Not annualized. 5 Annualized. | |||||||||||||||||||
Small Cap Opportunities Trust | |||||||||||||||||||
Series I | |||||||||||||||||||
06-30-20213 | 26.24 | 0.07 | 6.20 | 6.27 | — | — | — | — | 32.51 | 23.894 | 1.135 | 0.915 | 0.445 | 95 | 21 | ||||
12-31-2020 | 25.52 | 0.13 | 2.07 | 2.20 | (0.16) | (1.32) | — | (1.48) | 26.24 | 9.88 | 1.17 | 1.00 | 0.58 | 81 | 28 | ||||
12-31-2019 | 22.37 | 0.14 | 5.29 | 5.43 | (0.11) | (2.17) | — | (2.28) | 25.52 | 25.54 | 1.16 | 0.98 | 0.58 | 83 | 16 | ||||
12-31-2018 | 32.01 | 0.11 | (3.10) | (2.99) | (0.14) | (6.51) | — | (6.65) | 22.37 | (13.84) | 1.14 | 0.96 | 0.36 | 74 | 23 | ||||
12-31-2017 | 31.06 | 0.09 | 3.08 | 3.17 | (0.13) | (2.09) | — | (2.22) | 32.01 | 11.07 | 1.10 | 1.02 | 0.29 | 97 | 41 | ||||
12-31-2016 | 28.76 | 0.12 | 5.16 | 5.28 | (0.14) | (2.84) | — | (2.98) | 31.06 | 19.47 | 1.086 | 0.996 | 0.43 | 99 | 32 | ||||
Series II | |||||||||||||||||||
06-30-20213 | 25.61 | 0.03 | 6.06 | 6.09 | — | — | — | — | 31.70 | 23.784 | 1.335 | 1.115 | 0.235 | 37 | 21 | ||||
12-31-2020 | 24.96 | 0.08 | 2.01 | 2.09 | (0.12) | (1.32) | — | (1.44) | 25.61 | 9.65 | 1.37 | 1.20 | 0.38 | 30 | 28 | ||||
12-31-2019 | 21.91 | 0.09 | 5.18 | 5.27 | (0.05) | (2.17) | — | (2.22) | 24.96 | 25.26 | 1.36 | 1.18 | 0.38 | 31 | 16 | ||||
12-31-2018 | 31.48 | 0.05 | (3.03) | (2.98) | (0.08) | (6.51) | — | (6.59) | 21.91 | (14.02) | 1.34 | 1.16 | 0.16 | 29 | 23 | ||||
12-31-2017 | 30.58 | 0.03 | 3.04 | 3.07 | (0.08) | (2.09) | — | (2.17) | 31.48 | 10.86 | 1.30 | 1.22 | 0.09 | 39 | 41 | ||||
12-31-2016 | 28.35 | 0.07 | 5.08 | 5.15 | (0.08) | (2.84) | — | (2.92) | 30.58 | 19.25 | 1.286 | 1.196 | 0.23 | 39 | 32 | ||||
Series NAV | |||||||||||||||||||
06-30-20213 | 26.04 | 0.08 | 6.14 | 6.22 | — | — | — | — | 32.26 | 23.894 | 1.085 | 0.865 | 0.505 | 35 | 21 | ||||
12-31-2020 | 25.34 | 0.14 | 2.06 | 2.20 | (0.18) | (1.32) | — | (1.50) | 26.04 | 9.92 | 1.12 | 0.95 | 0.63 | 30 | 28 | ||||
12-31-2019 | 22.23 | 0.15 | 5.25 | 5.40 | (0.12) | (2.17) | — | (2.29) | 25.34 | 25.60 | 1.11 | 0.93 | 0.62 | 26 | 16 | ||||
12-31-2018 | 31.85 | 0.13 | (3.09) | (2.96) | (0.15) | (6.51) | — | (6.66) | 22.23 | (13.81) | 1.09 | 0.91 | 0.42 | 23 | 23 | ||||
12-31-2017 | 30.90 | 0.11 | 3.08 | 3.19 | (0.15) | (2.09) | — | (2.24) | 31.85 | 11.19 | 1.05 | 0.97 | 0.34 | 29 | 41 | ||||
12-31-2016 | 28.63 | 0.14 | 5.13 | 5.27 | (0.16) | (2.84) | — | (3.00) | 30.90 | 19.51 | 1.036 | 0.946 | 0.48 | 85 | 32 | ||||
1 Based on average daily shares outstanding. 2 Total returns exclude insurance-related fees and expenses and would have been lower had certain expenses not been reduced during the applicable periods. 3 Six months ended 6-30-21. Unaudited. 4 Not annualized. 5 Annualized. 6 Includes reimbursement for overbilling of custody expenses in prior years of 0.03%. |
The accompanying notes are an integral part of the financial statements. | 87 |
Per share operating performance for a share outstanding throughout each 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 realized and unrealized gain (loss) on investments ($) | Total from investment operations ($) | From net investment income ($) | From net realized gain ($) | From tax return of capital ($) | Total distributions ($) | 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 Stock Trust | |||||||||||||||||||
Series I | |||||||||||||||||||
06-30-20213 | 11.92 | (0.05) | 0.60 | 0.55 | — | — | — | — | 12.47 | 4.534 | 1.105 | 1.095 | (0.85)5 | 129 | 67 | ||||
12-31-2020 | 8.88 | (0.06) | 4.37 | 4.31 | — | (1.27) | — | (1.27) | 11.92 | 51.54 | 1.12 | 1.11 | (0.65) | 137 | 113 | ||||
12-31-2019 | 9.08 | (0.05) | 3.21 | 3.16 | — | (3.36) | — | (3.36) | 8.88 | 38.02 | 1.13 | 1.12 | (0.51) | 98 | 81 | ||||
12-31-2018 | 10.13 | (0.06) | (0.33) | (0.39) | — | (0.66) | — | (0.66) | 9.08 | (5.19) | 1.11 | 1.10 | (0.59) | 81 | 88 | ||||
12-31-2017 | 8.01 | (0.06) | 2.18 | 2.12 | — | — | — | — | 10.13 | 26.47 | 1.13 | 1.12 | (0.61) | 89 | 102 | ||||
12-31-2016 | 8.61 | (0.02) | 0.20 | 0.18 | — | (0.78) | — | (0.78) | 8.01 | 2.29 | 1.096 | 1.086 | (0.28) | 79 | 95 | ||||
Series II | |||||||||||||||||||
06-30-20213 | 10.88 | (0.06) | 0.55 | 0.49 | — | — | — | — | 11.37 | 4.504 | 1.305 | 1.295 | (1.05)5 | 40 | 67 | ||||
12-31-2020 | 8.21 | (0.07) | 4.01 | 3.94 | — | (1.27) | — | (1.27) | 10.88 | 51.23 | 1.32 | 1.31 | (0.85) | 42 | 113 | ||||
12-31-2019 | 8.61 | (0.07) | 3.03 | 2.96 | — | (3.36) | — | (3.36) | 8.21 | 37.74 | 1.33 | 1.32 | (0.71) | 35 | 81 | ||||
12-31-2018 | 9.66 | (0.08) | (0.31) | (0.39) | — | (0.66) | — | (0.66) | 8.61 | (5.44) | 1.31 | 1.30 | (0.78) | 28 | 88 | ||||
12-31-2017 | 7.65 | (0.07) | 2.08 | 2.01 | — | — | — | — | 9.66 | 26.27 | 1.33 | 1.32 | (0.81) | 31 | 102 | ||||
12-31-2016 | 8.27 | (0.04) | 0.20 | 0.16 | — | (0.78) | — | (0.78) | 7.65 | 2.14 | 1.296 | 1.286 | (0.47) | 28 | 95 | ||||
Series NAV | |||||||||||||||||||
06-30-20213 | 12.17 | (0.05) | 0.62 | 0.57 | — | — | — | — | 12.74 | 4.604 | 1.055 | 1.045 | (0.80)5 | 270 | 67 | ||||
12-31-2020 | 9.04 | (0.06) | 4.46 | 4.40 | — | (1.27) | — | (1.27) | 12.17 | 51.62 | 1.07 | 1.06 | (0.60) | 261 | 113 | ||||
12-31-2019 | 9.19 | (0.05) | 3.26 | 3.21 | — | (3.36) | — | (3.36) | 9.04 | 38.10 | 1.08 | 1.07 | (0.46) | 186 | 81 | ||||
12-31-2018 | 10.25 | (0.06) | (0.34) | (0.40) | — | (0.66) | — | (0.66) | 9.19 | (5.22) | 1.06 | 1.05 | (0.57) | 147 | 88 | ||||
12-31-2017 | 8.09 | (0.05) | 2.21 | 2.16 | — | — | — | — | 10.25 | 26.70 | 1.08 | 1.07 | (0.56) | 335 | 102 | ||||
12-31-2016 | 8.69 | (0.02) | 0.20 | 0.18 | — | (0.78) | — | (0.78) | 8.09 | 2.27 | 1.046 | 1.036 | (0.22) | 267 | 95 | ||||
1 Based on average daily shares outstanding. 2 Total returns exclude insurance-related fees and expenses and would have been lower had certain expenses not been reduced during the applicable periods. 3 Six months ended 6-30-21. Unaudited. 4 Not annualized. 5 Annualized. 6 Includes reimbursement for overbilling of custody expenses in prior years of 0.06%. | |||||||||||||||||||
Small Cap Value Trust | |||||||||||||||||||
Series I | |||||||||||||||||||
06-30-20213 | 14.70 | 0.04 | 2.96 | 3.00 | — | — | — | — | 17.70 | 20.414 | 1.035 | 1.025 | 0.515 | 192 | 15 | ||||
12-31-2020 | 18.19 | 0.08 | (1.73) | (1.65) | (0.15) | (1.69) | — | (1.84) | 14.70 | (6.70) | 1.07 | 1.06 | 0.57 | 167 | 34 | ||||
12-31-2019 | 15.60 | 0.13 | 3.82 | 3.95 | (0.10) | (1.26) | — | (1.36) | 18.19 | 26.52 | 1.09 | 1.08 | 0.75 | 218 | 19 | ||||
12-31-2018 | 20.25 | 0.14 | (2.16) | (2.02) | (0.13) | (2.50) | — | (2.63) | 15.60 | (12.50) | 1.11 | 1.10 | 0.69 | 211 | 13 | ||||
12-31-2017 | 21.51 | 0.23 | 0.36 | 0.59 | (0.19) | (1.66) | — | (1.85) | 20.25 | 3.73 | 1.13 | 1.12 | 1.10 | 309 | 19 | ||||
12-31-2016 | 20.30 | 0.14 | 4.14 | 4.28 | (0.14) | (2.93) | — | (3.07) | 21.51 | 22.67 | 1.106 | 1.106 | 0.69 | 373 | 16 | ||||
Series II | |||||||||||||||||||
06-30-20213 | 14.58 | 0.03 | 2.94 | 2.97 | — | — | — | — | 17.55 | 20.304 | 1.235 | 1.225 | 0.325 | 29 | 15 | ||||
12-31-2020 | 18.07 | 0.05 | (1.73) | (1.68) | (0.12) | (1.69) | — | (1.81) | 14.58 | (6.95) | 1.27 | 1.26 | 0.37 | 23 | 34 | ||||
12-31-2019 | 15.50 | 0.10 | 3.80 | 3.90 | (0.07) | (1.26) | — | (1.33) | 18.07 | 26.33 | 1.29 | 1.28 | 0.56 | 28 | 19 | ||||
12-31-2018 | 20.13 | 0.10 | (2.14) | (2.04) | (0.09) | (2.50) | — | (2.59) | 15.50 | (12.66) | 1.31 | 1.30 | 0.49 | 25 | 13 | ||||
12-31-2017 | 21.40 | 0.19 | 0.35 | 0.54 | (0.15) | (1.66) | — | (1.81) | 20.13 | 3.50 | 1.33 | 1.32 | 0.89 | 35 | 19 | ||||
12-31-2016 | 20.21 | 0.10 | 4.12 | 4.22 | (0.10) | (2.93) | — | (3.03) | 21.40 | 22.45 | 1.306 | 1.296 | 0.49 | 41 | 16 | ||||
Series NAV | |||||||||||||||||||
06-30-20213 | 14.63 | 0.05 | 2.95 | 3.00 | — | — | — | — | 17.63 | 20.514 | 0.985 | 0.975 | 0.565 | 342 | 15 | ||||
12-31-2020 | 18.12 | 0.09 | (1.73) | (1.64) | (0.16) | (1.69) | — | (1.85) | 14.63 | (6.68) | 1.02 | 1.01 | 0.64 | 298 | 34 | ||||
12-31-2019 | 15.54 | 0.14 | 3.81 | 3.95 | (0.11) | (1.26) | — | (1.37) | 18.12 | 26.62 | 1.04 | 1.03 | 0.81 | 271 | 19 | ||||
12-31-2018 | 20.18 | 0.15 | (2.15) | (2.00) | (0.14) | (2.50) | — | (2.64) | 15.54 | (12.45) | 1.06 | 1.05 | 0.75 | 249 | 13 | ||||
12-31-2017 | 21.44 | 0.23 | 0.37 | 0.60 | (0.20) | (1.66) | — | (1.86) | 20.18 | 3.79 | 1.08 | 1.07 | 1.12 | 312 | 19 | ||||
12-31-2016 | 20.25 | 0.15 | 4.12 | 4.27 | (0.15) | (2.93) | — | (3.08) | 21.44 | 22.68 | 1.056 | 1.056 | 0.74 | 313 | 16 | ||||
1 Based on average daily shares outstanding. 2 Total returns exclude insurance-related fees and expenses and would have been lower had certain expenses not been reduced during the applicable periods. 3 Six months ended 6-30-21. Unaudited. 4 Not annualized. 5 Annualized. 6 Includes reimbursement for overbilling of custody expenses in prior years of 0.02%. |
The accompanying notes are an integral part of the financial statements. | 88 |
Per share operating performance for a share outstanding throughout each 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) ($)1 | Net realized and unrealized gain (loss) on investments ($) | Total from investment operations ($) | From net investment income ($) | From net realized gain ($) | From tax return of capital ($) | Total distributions ($) | Net asset value, end of period ($) | Total return (%)2 | Expenses before reductions (%) | Expenses including reductions (%) | Net investment income (loss) (%) | Net assets, end of period (in millions) | Portfolio turnover (%) | ||||
Small Company Value Trust | |||||||||||||||||||
Series I | |||||||||||||||||||
06-30-20213 | 10.55 | —4 | 1.71 | 1.71 | — | — | — | — | 12.26 | 16.115 | 1.176 | 1.116 | 0.026 | 61 | 14 | ||||
12-31-2020 | 10.36 | 0.03 | 0.80 | 0.83 | (0.03) | (0.61) | — | (0.64) | 10.55 | 9.24 | 1.19 | 1.13 | 0.38 | 54 | 30 | ||||
12-31-2019 | 16.62 | 0.04 | 3.25 | 3.29 | (0.17) | (9.38) | — | (9.55) | 10.36 | 25.53 | 1.19 | 1.13 | 0.25 | 56 | 30 | ||||
12-31-2018 | 20.86 | 0.15 | (2.46) | (2.31) | (0.08) | (1.85) | — | (1.93) | 16.62 | (12.94) | 1.15 | 1.09 | 0.74 | 50 | 23 | ||||
12-31-2017 | 22.06 | 0.07 | 2.07 | 2.14 | (0.05) | (3.29) | — | (3.34) | 20.86 | 11.49 | 1.15 | 1.09 | 0.34 | 66 | 19 | ||||
12-31-2016 | 19.68 | 0.17 | 5.72 | 5.89 | (0.15) | (3.36) | — | (3.51) | 22.06 | 32.32 | 1.127 | 1.067 | 0.83 | 72 | 24 | ||||
Series II | |||||||||||||||||||
06-30-20213 | 10.05 | (0.01) | 1.63 | 1.62 | — | — | — | — | 11.67 | 16.025 | 1.376 | 1.316 | (0.18)6 | 46 | 14 | ||||
12-31-2020 | 9.90 | 0.02 | 0.75 | 0.77 | (0.01) | (0.61) | — | (0.62) | 10.05 | 9.07 | 1.39 | 1.33 | 0.18 | 43 | 30 | ||||
12-31-2019 | 16.25 | 0.01 | 3.15 | 3.16 | (0.13) | (9.38) | — | (9.51) | 9.90 | 25.22 | 1.39 | 1.33 | 0.05 | 45 | 30 | ||||
12-31-2018 | 20.43 | 0.11 | (2.40) | (2.29) | (0.04) | (1.85) | — | (1.89) | 16.25 | (13.09) | 1.35 | 1.29 | 0.54 | 41 | 23 | ||||
12-31-2017 | 21.71 | 0.03 | 2.02 | 2.05 | (0.04) | (3.29) | — | (3.33) | 20.43 | 11.26 | 1.35 | 1.29 | 0.14 | 55 | 19 | ||||
12-31-2016 | 19.42 | 0.13 | 5.63 | 5.76 | (0.11) | (3.36) | — | (3.47) | 21.71 | 32.05 | 1.327 | 1.267 | 0.63 | 58 | 24 | ||||
Series NAV | |||||||||||||||||||
06-30-20213 | 10.48 | —4 | 1.70 | 1.70 | — | — | — | — | 12.18 | 16.225 | 1.126 | 1.066 | 0.076 | 67 | 14 | ||||
12-31-2020 | 10.30 | 0.04 | 0.78 | 0.82 | (0.03) | (0.61) | — | (0.64) | 10.48 | 9.25 | 1.14 | 1.08 | 0.42 | 58 | 30 | ||||
12-31-2019 | 16.57 | 0.04 | 3.25 | 3.29 | (0.18) | (9.38) | — | (9.56) | 10.30 | 25.65 | 1.14 | 1.08 | 0.30 | 46 | 30 | ||||
12-31-2018 | 20.81 | 0.08 | (2.38) | (2.30) | (0.09) | (1.85) | — | (1.94) | 16.57 | (12.93) | 1.10 | 1.04 | 0.40 | 36 | 23 | ||||
12-31-2017 | 22.00 | 0.08 | 2.07 | 2.15 | (0.05) | (3.29) | — | (3.34) | 20.81 | 11.58 | 1.10 | 1.04 | 0.39 | 178 | 19 | ||||
12-31-2016 | 19.64 | 0.17 | 5.71 | 5.88 | (0.16) | (3.36) | — | (3.52) | 22.00 | 32.33 | 1.077 | 1.017 | 0.86 | 156 | 24 | ||||
1 Based on average daily shares outstanding. 2 Total returns exclude insurance-related fees and expenses and would have been lower had certain expenses not been reduced during the applicable periods. 3 Six months ended 6-30-21. Unaudited. 4 Less than $0.005 per share. 5 Not annualized. 6 Annualized. 7 Includes reimbursement for overbilling of custody expenses in prior years of 0.03%. | |||||||||||||||||||
Strategic Equity Allocation Trust | |||||||||||||||||||
Series NAV | |||||||||||||||||||
06-30-20213 | 20.98 | 0.17 | 2.60 | 2.77 | — | — | — | — | 23.75 | 13.204 | 0.665 | 0.535 | 1.485 | 9,311 | 3 | ||||
12-31-2020 | 20.30 | 0.31 | 2.34 | 2.65 | (0.40) | (1.57) | — | (1.97) | 20.98 | 14.34 | 0.67 | 0.53 | 1.61 | 9,383 | 7 | ||||
12-31-2019 | 17.13 | 0.38 | 4.13 | 4.51 | (0.36) | (0.98) | — | (1.34) | 20.30 | 27.15 | 0.66 | 0.53 | 1.95 | 9,774 | 4 | ||||
12-31-2018 | 19.88 | 0.36 | (1.92) | (1.56) | (0.33) | (0.86) | — | (1.19) | 17.13 | (8.52) | 0.66 | 0.53 | 1.83 | 9,327 | 5 | ||||
12-31-2017 | 16.86 | 0.32 | 3.31 | 3.63 | (0.34) | (0.27) | — | (0.61) | 19.88 | 21.77 | 0.66 | 0.54 | 1.72 | 11,485 | 5 | ||||
12-31-2016 | 16.09 | 0.32 | 1.08 | 1.40 | (0.29) | (0.34) | — | (0.63) | 16.86 | 8.81 | 0.67 | 0.53 | 1.96 | 11,117 | 18 | ||||
1 Based on average daily shares outstanding. 2 Total returns exclude insurance-related fees and expenses and would have been lower had certain expenses not been reduced during the applicable periods. 3 Six months ended 6-30-21. Unaudited. 4 Not annualized. 5 Annualized. |
The accompanying notes are an integral part of the financial statements. | 89 |
Per share operating performance for a share outstanding throughout each period | Ratios and supplemental data | ||||||||||||||||||
Income (loss) from investment operations | Less distributions | Ratios to average net assets | |||||||||||||||||
Period ended | Net asset value, beginning of period ($) | Net investment income (loss) ($)1 | Net realized and unrealized gain (loss) on investments ($) | Total from investment operations ($) | From net investment income ($) | From net realized gain ($) | From tax return of capital ($) | Total distributions ($) | Net asset value, end of period ($) | Total return (%)2 | Expenses before reductions (%) | Expenses including reductions (%) | Net investment income (loss) (%) | Net assets, end of period (in millions) | Portfolio turnover (%) | ||||
Total Stock Market Index Trust | |||||||||||||||||||
Series I | |||||||||||||||||||
06-30-20213 | 26.26 | 0.13 | 3.81 | 3.94 | — | — | — | — | 30.20 | 15.004 | 0.575 | 0.495 | 0.905 | 614 | 2 | ||||
12-31-2020 | 24.04 | 0.34 | 4.49 | 4.83 | (0.44) | (2.17) | — | (2.61) | 26.26 | 21.45 | 0.58 | 0.50 | 1.42 | 554 | 2 | ||||
12-31-2019 | 20.22 | 0.38 | 5.42 | 5.80 | (0.37) | (1.61) | — | (1.98) | 24.04 | 29.63 | 0.58 | 0.50 | 1.67 | 530 | 3 | ||||
12-31-2018 | 22.39 | 0.39 | (1.55) | (1.16) | (0.27) | (0.74) | — | (1.01) | 20.22 | (5.70) | 0.58 | 0.50 | 1.72 | 488 | 2 | ||||
12-31-2017 | 19.21 | 0.31 | 3.58 | 3.89 | (0.28) | (0.43) | — | (0.71) | 22.39 | 20.59 | 0.57 | 0.53 | 1.48 | 584 | 66 | ||||
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 | ||||
Series II | |||||||||||||||||||
06-30-20213 | 26.13 | 0.10 | 3.79 | 3.89 | — | — | — | — | 30.02 | 14.894 | 0.775 | 0.695 | 0.705 | 51 | 2 | ||||
12-31-2020 | 23.94 | 0.29 | 4.46 | 4.75 | (0.39) | (2.17) | — | (2.56) | 26.13 | 21.19 | 0.78 | 0.70 | 1.22 | 46 | 2 | ||||
12-31-2019 | 20.14 | 0.34 | 5.39 | 5.73 | (0.32) | (1.61) | — | (1.93) | 23.94 | 29.40 | 0.78 | 0.70 | 1.48 | 42 | 3 | ||||
12-31-2018 | 22.31 | 0.35 | (1.56) | (1.21) | (0.22) | (0.74) | — | (0.96) | 20.14 | (5.92) | 0.78 | 0.70 | 1.52 | 37 | 2 | ||||
12-31-2017 | 19.15 | 0.27 | 3.56 | 3.83 | (0.24) | (0.43) | — | (0.67) | 22.31 | 20.33 | 0.77 | 0.73 | 1.28 | 45 | 66 | ||||
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 | ||||
Series NAV | |||||||||||||||||||
06-30-20213 | 26.25 | 0.13 | 3.82 | 3.95 | — | — | — | — | 30.20 | 15.054 | 0.525 | 0.445 | 0.955 | 243 | 2 | ||||
12-31-2020 | 24.03 | 0.35 | 4.49 | 4.84 | (0.45) | (2.17) | — | (2.62) | 26.25 | 21.50 | 0.53 | 0.45 | 1.47 | 216 | 2 | ||||
12-31-2019 | 20.21 | 0.40 | 5.41 | 5.81 | (0.38) | (1.61) | — | (1.99) | 24.03 | 29.70 | 0.53 | 0.45 | 1.74 | 185 | 3 | ||||
12-31-2018 | 22.38 | 0.40 | (1.55) | (1.15) | (0.28) | (0.74) | — | (1.02) | 20.21 | (5.66) | 0.53 | 0.45 | 1.77 | 137 | 2 | ||||
12-31-2017 | 19.20 | 0.32 | 3.58 | 3.90 | (0.29) | (0.43) | — | (0.72) | 22.38 | 20.65 | 0.52 | 0.48 | 1.53 | 165 | 66 | ||||
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 | ||||
1 Based on average daily shares outstanding. 2 Total returns exclude insurance-related fees and expenses and would have been lower had certain expenses not been reduced during the applicable periods. 3 Six months ended 6-30-21. Unaudited. 4 Not annualized. 5 Annualized. 6 Excludes merger activity. |
The accompanying notes are an integral part of the financial statements. | 90 |
The portfolios use a three-tier hierarchy to prioritize the pricing assumptions, referred to as inputs, used in valuation techniques to measure fair value. Level 1 includes securities valued using quoted prices in active markets for identical securities, including registered investment companies. Level 2 includes securities valued using other significant observable inputs. Observable inputs may include quoted prices for similar securities, interest rates, prepayment speeds and credit risk. Prices for securities valued using these inputs are received from independent pricing vendors and brokers and are based on an evaluation of the inputs described. Level 3 includes securities valued using significant unobservable inputs when market prices are not readily available or reliable, including the portfolios' own assumptions in determining the fair value of investments. Factors used in determining value may include market or issuer specific events or trends, changes in interest rates and credit quality. The inputs or methodology used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. Changes in valuation techniques and related inputs may result in transfers into or out of an assigned level within the disclosure hierarchy.
Total value at 6-30-21 | Level 1 quoted price | Level 2 significant observable inputs | Level 3 significant unobservable inputs | |
500 Index Trust | ||||
Investments in securities: | ||||
Assets | ||||
Common stocks | $7,544,990,879 | $7,544,990,879 | — | — |
Short-term investments | 188,052,461 | 1,036,455 | $187,016,006 | — |
Total investments in securities | $7,733,043,340 | $7,546,027,334 | $187,016,006 | — |
Derivatives: | ||||
Assets | ||||
Futures | $2,795,411 | $2,795,411 | — | — |
American Asset Allocation Trust | ||||
Investments in securities: | ||||
Assets | ||||
Investment companies | $1,438,751,803 | $1,438,751,803 | — | — |
Total investments in securities | $1,438,751,803 | $1,438,751,803 | — | — |
American Global Growth Trust | ||||
Investments in securities: | ||||
Assets | ||||
Investment companies | $253,080,024 | $253,080,024 | — | — |
Total investments in securities | $253,080,024 | $253,080,024 | — | — |
American Growth Trust | ||||
Investments in securities: | ||||
Assets | ||||
Investment companies | $1,095,023,124 | $1,095,023,124 | — | — |
Total investments in securities | $1,095,023,124 | $1,095,023,124 | — | — |
American Growth-Income Trust | ||||
Investments in securities: | ||||
Assets | ||||
Investment companies | $1,082,280,216 | $1,082,280,216 | — | — |
Total investments in securities | $1,082,280,216 | $1,082,280,216 | — | — |
American International Trust | ||||
Investments in securities: | ||||
Assets | ||||
Investment companies | $512,423,975 | $512,423,975 | — | — |
Total investments in securities | $512,423,975 | $512,423,975 | — | — |
Total value at 6-30-21 | Level 1 quoted price | Level 2 significant observable inputs | Level 3 significant unobservable inputs | |
Blue Chip Growth Trust | ||||
Investments in securities: | ||||
Assets | ||||
Common stocks | ||||
Communication services | $664,636,745 | $618,173,760 | $46,462,985 | — |
Consumer discretionary | 449,501,488 | 449,501,488 | — | — |
Consumer staples | 859,134 | 859,134 | — | — |
Financials | 68,683,367 | 68,683,367 | — | — |
Health care | 260,982,572 | 260,982,572 | — | — |
Industrials | 47,739,969 | 47,739,969 | — | — |
Information technology | 944,155,121 | 944,155,121 | — | — |
Materials | 12,275,615 | 12,275,615 | — | — |
Short-term investments | 16,044,007 | 16,044,007 | — | — |
Total investments in securities | $2,464,878,018 | $2,418,415,033 | $46,462,985 | — |
Capital Appreciation Trust | ||||
Investments in securities: | ||||
Assets | ||||
Common stocks | ||||
Communication services | $134,598,329 | $134,598,329 | — | — |
Consumer discretionary | 199,195,176 | 171,385,686 | $27,809,490 | — |
Consumer staples | 23,244,893 | 23,244,893 | — | — |
Financials | 10,140,961 | 10,140,961 | — | — |
Health care | 34,330,780 | 34,330,780 | — | — |
Industrials | 27,696,988 | 21,510,184 | 6,186,804 | — |
Information technology | 336,551,507 | 322,509,469 | 14,042,038 | — |
Short-term investments | 1,055,530 | 1,055,530 | — | — |
Total investments in securities | $766,814,164 | $718,775,832 | $48,038,332 | — |
Capital Appreciation Value Trust | ||||
Investments in securities: | ||||
Assets | ||||
Common stocks | $338,517,571 | $338,517,571 | — | — |
Preferred securities | 5,868,323 | 5,868,323 | — | — |
Corporate bonds | 36,855,728 | — | $36,855,728 | — |
Term loans | 40,283,819 | — | 40,283,819 | — |
Asset backed securities | 1,270,728 | — | 1,270,728 | — |
Short-term investments | 62,197,700 | 58,548,700 | 3,649,000 | — |
Total investments in securities | $484,993,869 | $402,934,594 | $82,059,275 | — |
Derivatives: | ||||
Liabilities | ||||
Written options | $(6,141,041) | — | $(6,141,041) | — |
Disciplined Value International Trust | ||||
Investments in securities: | ||||
Assets | ||||
Common stocks | ||||
Australia | $2,802,836 | — | $2,802,836 | — |
Austria | 2,889,656 | — | 2,889,656 | — |
Bermuda | 4,894,790 | $4,894,790 | — | — |
Canada | 9,777,715 | 9,777,715 | — | — |
China | 4,765,104 | — | 4,765,104 | — |
Finland | 8,484,276 | — | 8,484,276 | — |
Total value at 6-30-21 | Level 1 quoted price | Level 2 significant observable inputs | Level 3 significant unobservable inputs | |
Disciplined Value International Trust (continued) | ||||
France | $44,857,125 | — | $44,857,125 | — |
Germany | 24,236,719 | — | 24,236,719 | — |
Greece | 1,859,047 | — | 1,859,047 | — |
Hong Kong | 4,390,941 | — | 4,390,941 | — |
India | 1,139,283 | $1,139,283 | — | — |
Ireland | 3,158,930 | — | 3,158,930 | — |
Isle of Man | 2,220,006 | — | 2,220,006 | — |
Italy | 2,714,675 | — | 2,714,675 | — |
Japan | 52,227,614 | — | 52,227,614 | — |
Macau | 1,752,209 | — | 1,752,209 | — |
Netherlands | 15,264,164 | — | 15,264,164 | — |
Norway | 4,808,205 | — | 4,808,205 | — |
Singapore | 2,062,971 | — | 2,062,971 | — |
South Korea | 24,164,798 | 2,121,307 | 22,043,491 | — |
Spain | 1,867,295 | — | 1,867,295 | — |
Sweden | 11,398,717 | — | 11,398,717 | — |
Switzerland | 37,415,049 | — | 37,415,049 | — |
United Kingdom | 29,741,940 | 7,023,573 | 22,718,367 | — |
United States | 11,286,263 | 11,286,263 | — | — |
Preferred securities | 4,725,776 | — | 4,725,776 | — |
Short-term investments | 14,355,498 | 14,355,498 | — | — |
Total investments in securities | $329,261,602 | $50,598,429 | $278,663,173 | — |
Level 3 includes securities valued at $0. Refer to Portfolio of Investments. | ||||
Emerging Markets Value Trust | ||||
Investments in securities: | ||||
Assets | ||||
Common stocks | ||||
Australia | $124,754 | — | $124,754 | — |
Belgium | 34,390 | — | 34,390 | — |
Brazil | 9,535,616 | $9,535,616 | — | — |
Canada | 130,103 | 130,103 | — | — |
Chile | 1,140,928 | 1,140,928 | — | — |
China | 65,814,224 | 9,690,975 | 55,981,487 | $141,762 |
Colombia | 247,216 | 247,216 | — | — |
Czech Republic | 355,671 | — | 355,671 | — |
Greece | 681,007 | — | 681,007 | — |
Hong Kong | 15,270,342 | — | 15,233,797 | 36,545 |
Hungary | 428,722 | — | 428,722 | — |
India | 32,455,724 | 1,170,963 | 31,278,485 | 6,276 |
Indonesia | 3,221,580 | — | 3,178,613 | 42,967 |
Malaysia | 4,136,872 | — | 4,136,872 | — |
Mexico | 6,095,297 | 6,095,297 | — | — |
Philippines | 2,126,470 | — | 2,126,282 | 188 |
Poland | 1,885,612 | — | 1,885,612 | — |
Qatar | 1,272,818 | — | 1,272,818 | — |
Russia | 3,849,427 | — | 3,849,427 | — |
Saudi Arabia | 5,454,710 | — | 5,454,710 | — |
South Africa | 10,563,049 | 577,833 | 9,985,216 | — |
South Korea | 39,423,138 | 4,139,989 | 35,283,149 | — |
Taiwan | 45,930,543 | — | 45,930,543 | — |
Thailand | 5,013,028 | — | 5,013,028 | — |
Turkey | 1,395,510 | — | 1,394,915 | 595 |
Ukraine | 111,168 | — | 111,168 | — |
United Arab Emirates | 1,496,727 | — | 1,496,727 | — |
United States | 132,018 | — | 132,018 | — |
Total value at 6-30-21 | Level 1 quoted price | Level 2 significant observable inputs | Level 3 significant unobservable inputs | |
Emerging Markets Value Trust (continued) | ||||
Preferred securities | ||||
Brazil | $4,651,139 | $4,651,139 | — | — |
Colombia | 101,164 | 101,164 | — | — |
Philippines | 16,487 | — | $16,487 | — |
Warrants | 986 | 986 | — | — |
Short-term investments | 2,547,070 | 2,547,070 | — | — |
Total investments in securities | $265,643,510 | $40,029,279 | $225,385,898 | $228,333 |
Derivatives: | ||||
Liabilities | ||||
Futures | $(9,468) | $(9,468) | — | — |
Level 3 includes securities valued at $0. Refer to Portfolio of Investments. | ||||
Equity Income Trust | ||||
Investments in securities: | ||||
Assets | ||||
Common stocks | ||||
Communication services | $83,424,281 | $83,424,281 | — | — |
Consumer discretionary | 72,352,946 | 72,352,946 | — | — |
Consumer staples | 114,779,408 | 114,779,408 | — | — |
Energy | 103,208,522 | 74,629,798 | $28,578,724 | — |
Financials | 377,021,441 | 377,021,441 | — | — |
Health care | 239,037,548 | 226,086,456 | 12,951,092 | — |
Industrials | 197,067,164 | 196,155,788 | 911,376 | — |
Information technology | 147,270,917 | 147,270,917 | — | — |
Materials | 96,543,650 | 90,805,299 | 5,738,351 | — |
Real estate | 68,091,935 | 68,091,935 | — | — |
Utilities | 118,299,346 | 118,299,346 | — | — |
Preferred securities | 25,082,217 | 25,082,217 | — | — |
Short-term investments | 26,823,569 | 26,823,569 | — | — |
Total investments in securities | $1,669,002,944 | $1,620,823,401 | $48,179,543 | — |
Financial Industries Trust | ||||
Investments in securities: | ||||
Assets | ||||
Common stocks | ||||
Financials | ||||
Banks | $77,351,102 | $70,826,590 | $6,524,512 | — |
Capital markets | 26,598,851 | 24,366,603 | 2,232,248 | — |
Consumer finance | 12,854,600 | 12,854,600 | — | — |
Diversified financial services | 6,746,086 | 5,109,231 | 1,636,855 | — |
Insurance | 27,447,726 | 27,447,726 | — | — |
Thrifts and mortgage finance | 1,644,037 | 1,644,037 | — | — |
Information technology | ||||
IT services | 8,209,512 | 8,209,512 | — | — |
Real estate | ||||
Equity real estate investment trusts | 5,989,604 | 5,652,512 | 337,092 | — |
Real estate management and development | 944,854 | — | 944,854 | — |
Short-term investments | 2,751,000 | — | 2,751,000 | — |
Total investments in securities | $170,537,372 | $156,110,811 | $14,426,561 | — |
Total value at 6-30-21 | Level 1 quoted price | Level 2 significant observable inputs | Level 3 significant unobservable inputs | |
Fundamental All Cap Core Trust | ||||
Investments in securities: | ||||
Assets | ||||
Common stocks | ||||
Communication services | $413,439,986 | $413,439,986 | — | — |
Consumer discretionary | 486,648,672 | 433,152,975 | $53,495,697 | — |
Consumer staples | 193,260,654 | 172,519,814 | 20,740,840 | — |
Energy | 133,997,425 | 133,997,425 | — | — |
Financials | 438,433,625 | 438,433,625 | — | — |
Health care | 168,566,539 | 168,566,539 | — | — |
Industrials | 219,088,945 | 219,088,945 | — | — |
Information technology | 317,434,383 | 288,069,610 | 29,364,773 | — |
Materials | 23,890,135 | 23,890,135 | — | — |
Real estate | 98,320,203 | 98,320,203 | — | — |
Short-term investments | 35,082,000 | — | 35,082,000 | — |
Total investments in securities | $2,528,162,567 | $2,389,479,257 | $138,683,310 | — |
Fundamental Large Cap Value Trust | ||||
Investments in securities: | ||||
Assets | ||||
Common stocks | ||||
Communication services | $79,780,936 | $79,780,936 | — | — |
Consumer discretionary | 64,910,390 | 64,910,390 | — | — |
Consumer staples | 73,507,472 | 45,883,426 | $27,624,046 | — |
Energy | 78,379,097 | 78,379,097 | — | — |
Financials | 191,723,555 | 191,723,555 | — | — |
Health care | 108,244,105 | 108,244,105 | — | — |
Industrials | 99,451,033 | 99,451,033 | — | — |
Information technology | 64,585,587 | 53,325,805 | 11,259,782 | — |
Materials | 7,775,532 | 7,775,532 | — | — |
Real estate | 19,557,055 | 19,557,055 | — | — |
Short-term investments | 22,470,000 | — | 22,470,000 | — |
Total investments in securities | $810,384,762 | $749,030,934 | $61,353,828 | — |
Global Equity Trust | ||||
Investments in securities: | ||||
Assets | ||||
Common stocks | ||||
China | $3,864,104 | $3,864,104 | — | — |
France | 30,641,090 | — | $30,641,090 | — |
Germany | 4,776,582 | — | 4,776,582 | — |
Ireland | 7,064,039 | — | 7,064,039 | — |
Japan | 14,332,141 | — | 14,332,141 | — |
Netherlands | 34,395,014 | — | 34,395,014 | — |
Switzerland | 14,854,383 | 5,135,351 | 9,719,032 | — |
United Kingdom | 29,483,777 | — | 29,483,777 | — |
United States | 199,674,699 | 199,674,699 | — | — |
Preferred securities | 10,449,367 | — | 10,449,367 | — |
Short-term investments | 4,524,300 | 4,524,300 | — | — |
Total investments in securities | $354,059,496 | $213,198,454 | $140,861,042 | — |
Derivatives: | ||||
Assets | ||||
Forward foreign currency contracts | $280,865 | — | $280,865 | — |
Total value at 6-30-21 | Level 1 quoted price | Level 2 significant observable inputs | Level 3 significant unobservable inputs | |
Global Equity Trust (continued) | ||||
Liabilities | ||||
Forward foreign currency contracts | $(319,180) | — | $(319,180) | — |
Health Sciences Trust | ||||
Investments in securities: | ||||
Assets | ||||
Common stocks | ||||
Consumer discretionary | $544,627 | $179,931 | — | $364,696 |
Consumer staples | 32,592 | 32,592 | — | — |
Financials | 2,114,429 | 2,114,429 | — | — |
Health care | 330,775,553 | 315,609,591 | $15,156,939 | 9,023 |
Preferred securities | ||||
Consumer discretionary | 814,367 | — | — | 814,367 |
Health care | 1,927,961 | — | 1,927,961 | — |
Warrants | 53,446 | 53,446 | — | — |
Short-term investments | 2,310,929 | 2,310,929 | — | — |
Total investments in securities | $338,573,904 | $320,300,918 | $17,084,900 | $1,188,086 |
International Equity Index Trust | ||||
Investments in securities: | ||||
Assets | ||||
Common stocks | ||||
Argentina | $29,484 | $29,484 | — | — |
Australia | 42,636,112 | — | $42,636,112 | — |
Austria | 1,235,558 | — | 1,235,558 | — |
Belgium | 5,167,275 | — | 5,167,275 | — |
Brazil | 10,695,548 | 10,695,548 | — | — |
Canada | 65,450,458 | 65,022,264 | 428,194 | — |
Chile | 866,551 | 603,064 | 263,487 | — |
China | 96,139,550 | 30,775,221 | 65,318,699 | $45,630 |
Colombia | 249,684 | 249,684 | — | — |
Czech Republic | 323,205 | — | 323,205 | — |
Denmark | 15,040,432 | — | 15,040,432 | — |
Egypt | 172,646 | — | 172,646 | — |
Finland | 7,542,565 | — | 7,542,565 | — |
France | 64,851,861 | — | 64,851,861 | — |
Germany | 50,436,007 | — | 50,436,007 | — |
Greece | 467,992 | — | 464,668 | 3,324 |
Hong Kong | 24,452,334 | 498,121 | 23,942,342 | 11,871 |
Hungary | 615,167 | — | 615,167 | — |
India | 27,203,518 | 4,515,688 | 22,687,830 | — |
Indonesia | 3,029,179 | 7,758 | 3,021,421 | — |
Ireland | 6,141,934 | — | 6,141,934 | — |
Isle of Man | 469,450 | — | 469,450 | — |
Israel | 3,613,956 | 1,244,681 | 2,369,275 | — |
Italy | 12,126,672 | — | 12,126,672 | — |
Japan | 134,210,071 | — | 134,210,071 | — |
Jordan | 194,218 | — | 194,218 | — |
Luxembourg | 1,813,979 | — | 1,813,979 | — |
Macau | 438,384 | — | 438,384 | — |
Malaysia | 3,609,058 | — | 3,609,058 | — |
Mexico | 4,773,368 | 4,773,368 | — | — |
Netherlands | 32,606,327 | — | 32,606,327 | — |
New Zealand | 1,801,378 | — | 1,801,378 | — |
Norway | 3,907,913 | — | 3,907,913 | — |
Total value at 6-30-21 | Level 1 quoted price | Level 2 significant observable inputs | Level 3 significant unobservable inputs | |
International Equity Index Trust (continued) | ||||
Peru | $552,617 | $552,617 | — | — |
Philippines | 1,780,398 | — | $1,780,398 | — |
Poland | 2,208,918 | — | 2,208,918 | — |
Portugal | 824,051 | — | 824,051 | — |
Romania | 106,424 | — | 106,424 | — |
Russia | 8,627,078 | 6,770,998 | 1,856,080 | — |
Saudi Arabia | 7,883,363 | — | 7,883,363 | — |
Singapore | 6,430,049 | 137,300 | 6,292,749 | — |
South Africa | 9,845,385 | — | 9,845,385 | — |
South Korea | 33,756,392 | 105,777 | 33,650,615 | — |
Spain | 14,537,348 | 86,567 | 14,450,781 | — |
Sweden | 20,518,477 | — | 20,518,477 | — |
Switzerland | 59,191,610 | — | 59,191,610 | — |
Taiwan | 37,942,882 | — | 37,942,882 | — |
Thailand | 4,196,116 | — | 4,196,116 | — |
Turkey | 722,292 | — | 722,292 | — |
United Arab Emirates | 1,685 | — | 1,685 | — |
United Kingdom | 72,645,418 | — | 72,645,418 | — |
United States | 473,306 | 473,306 | — | — |
Uruguay | 263,016 | 263,016 | — | — |
Preferred securities | ||||
Brazil | 3,624,589 | 3,624,589 | — | — |
Germany | 3,775,183 | — | 3,775,183 | — |
South Korea | 2,051,886 | — | 2,051,886 | — |
Corporate bonds | 1,428 | — | 1,428 | — |
Rights | 14,843 | 14,843 | — | — |
Warrants | 1,281 | 1,281 | — | — |
Short-term investments | 19,693,754 | 19,693,754 | — | — |
Total investments in securities | $933,981,623 | $150,138,929 | $783,781,869 | $60,825 |
Derivatives: | ||||
Liabilities | ||||
Futures | $(154,447) | $(154,447) | — | — |
Level 3 includes securities valued at $0. Refer to Portfolio of Investments. | ||||
International Small Company Trust | ||||
Investments in securities: | ||||
Assets | ||||
Common stocks | ||||
Australia | $8,548,381 | $60,475 | $8,482,512 | $5,394 |
Austria | 2,089,489 | — | 2,089,489 | — |
Belgium | 1,878,936 | 21,660 | 1,857,276 | — |
Bermuda | 95,981 | — | 95,981 | — |
Cambodia | 38,576 | — | 38,576 | — |
Canada | 13,546,073 | 13,546,072 | — | 1 |
China | 82,511 | — | 82,511 | — |
Denmark | 2,696,153 | — | 2,696,153 | — |
Finland | 3,118,702 | — | 3,118,702 | — |
France | 5,358,848 | — | 5,356,530 | 2,318 |
Gabon | 3,382 | — | 3,382 | — |
Georgia | 61,571 | — | 61,571 | — |
Germany | 8,061,244 | — | 8,061,244 | — |
Gibraltar | 84,282 | — | 84,282 | — |
Greece | 72 | — | — | 72 |
Guernsey, Channel Islands | 2,097 | — | 2,097 | — |
Hong Kong | 3,242,795 | — | 3,217,075 | 25,720 |
Total value at 6-30-21 | Level 1 quoted price | Level 2 significant observable inputs | Level 3 significant unobservable inputs | |
International Small Company Trust (continued) | ||||
Ireland | $996,317 | — | $996,317 | — |
Isle of Man | 123,308 | — | 123,308 | — |
Israel | 1,922,097 | $123,507 | 1,798,590 | — |
Italy | 4,149,986 | — | 4,149,986 | — |
Japan | 28,487,782 | — | 28,487,782 | — |
Jersey, Channel Islands | 195,963 | — | 195,963 | — |
Liechtenstein | 64,058 | — | 64,058 | — |
Luxembourg | 745,518 | — | 745,518 | — |
Macau | 19,545 | — | 19,545 | — |
Malaysia | 197,698 | — | 197,698 | — |
Malta | 185,709 | — | 185,709 | — |
Netherlands | 3,576,007 | — | 3,576,007 | — |
New Zealand | 743,603 | — | 743,603 | — |
Norway | 1,072,502 | — | 1,072,502 | — |
Peru | 35,121 | — | 35,121 | — |
Portugal | 336,002 | — | 336,002 | — |
Russia | 51,214 | — | 51,214 | — |
Singapore | 1,630,735 | — | 1,584,162 | $46,573 |
South Africa | 170,853 | — | 170,853 | — |
Spain | 2,571,715 | — | 2,571,715 | — |
Sweden | 4,678,666 | — | 4,678,666 | — |
Switzerland | 8,212,424 | — | 8,212,424 | — |
United Arab Emirates | 27,195 | — | 27,195 | — |
United Kingdom | 17,039,752 | 194,281 | 16,840,759 | 4,712 |
United States | 770,989 | 294,380 | 476,609 | — |
Preferred securities | 418,380 | — | 418,380 | — |
Rights | 433 | 433 | — | — |
Short-term investments | 1,975,132 | 1,975,132 | — | — |
Total investments in securities | $129,307,797 | $16,215,940 | $113,007,067 | $84,790 |
Derivatives: | ||||
Liabilities | ||||
Futures | $(20,387) | $(20,387) | — | — |
Level 3 includes securities valued at $0. Refer to Portfolio of Investments. | ||||
Lifestyle Balanced Portfolio | ||||
Investments in securities: | ||||
Assets | ||||
Affiliated investment companies | $1,200,909,418 | $1,200,909,418 | — | — |
Total investments in securities | $1,200,909,418 | $1,200,909,418 | — | — |
Lifestyle Conservative Portfolio | ||||
Investments in securities: | ||||
Assets | ||||
Affiliated investment companies | $234,882,302 | $234,882,302 | — | — |
Total investments in securities | $234,882,302 | $234,882,302 | — | — |
Lifestyle Growth Portfolio | ||||
Investments in securities: | ||||
Assets | ||||
Affiliated investment companies | $6,440,890,193 | $6,440,890,193 | — | — |
Total investments in securities | $6,440,890,193 | $6,440,890,193 | — | — |
Total value at 6-30-21 | Level 1 quoted price | Level 2 significant observable inputs | Level 3 significant unobservable inputs | |
Lifestyle Moderate Portfolio | ||||
Investments in securities: | ||||
Assets | ||||
Affiliated investment companies | $365,164,802 | $365,164,802 | — | — |
Total investments in securities | $365,164,802 | $365,164,802 | — | — |
Mid Cap Index Trust | ||||
Investments in securities: | ||||
Assets | ||||
Common stocks | $1,381,750,715 | $1,381,750,715 | — | — |
Short-term investments | 82,582,904 | 6,098,615 | $76,484,289 | — |
Total investments in securities | $1,464,333,619 | $1,387,849,330 | $76,484,289 | — |
Derivatives: | ||||
Liabilities | ||||
Futures | $(977,070) | $(977,070) | — | — |
Mid Cap Stock Trust | ||||
Investments in securities: | ||||
Assets | ||||
Common stocks | ||||
Communication services | $83,430,591 | $83,430,591 | — | — |
Consumer discretionary | 312,357,120 | 283,633,844 | $28,723,276 | — |
Consumer staples | 24,193,669 | 21,740,998 | 2,452,671 | — |
Financials | 43,322,045 | 43,322,045 | — | — |
Health care | 203,371,111 | 203,371,111 | — | — |
Industrials | 75,362,851 | 75,362,851 | — | — |
Information technology | 210,083,646 | 209,118,006 | 894,790 | $70,850 |
Preferred securities | 7,959,975 | — | — | 7,959,975 |
Short-term investments | 43,773,961 | 29,973,961 | 13,800,000 | — |
Total investments in securities | $1,003,854,969 | $949,953,407 | $45,870,737 | $8,030,825 |
Unrealized appreciation on unfunded commitments | $2,117,102 | — | — | $2,117,102 |
Mid Value Trust | ||||
Investments in securities: | ||||
Assets | ||||
Common stocks | ||||
Communication services | $31,792,916 | $31,792,916 | — | — |
Consumer discretionary | 17,944,792 | 14,875,998 | $3,068,794 | — |
Consumer staples | 56,082,710 | 51,718,510 | 4,364,200 | — |
Energy | 83,901,472 | 80,485,531 | 3,415,941 | — |
Financials | 108,444,228 | 101,446,471 | 6,997,757 | — |
Health care | 110,793,919 | 105,822,560 | 4,971,359 | — |
Industrials | 44,401,846 | 41,193,141 | 3,208,705 | — |
Information technology | 16,000,054 | 16,000,054 | — | — |
Materials | 63,530,938 | 58,575,527 | 4,955,411 | — |
Real estate | 41,294,190 | 41,294,190 | — | — |
Utilities | 46,655,785 | 46,655,785 | — | — |
Preferred securities | 941,695 | 941,695 | — | — |
Corporate bonds | 1,484,080 | — | 1,484,080 | — |
Term loans | 88,000 | — | 88,000 | — |
Short-term investments | 49,391,713 | 49,391,713 | — | — |
Total investments in securities | $672,748,338 | $640,194,091 | $32,554,247 | — |
Total value at 6-30-21 | Level 1 quoted price | Level 2 significant observable inputs | Level 3 significant unobservable inputs | |
Real Estate Securities Trust | ||||
Investments in securities: | ||||
Assets | ||||
Common stocks | $370,514,729 | $370,514,729 | — | — |
Short-term investments | 1,573,727 | 1,573,727 | — | — |
Total investments in securities | $372,088,456 | $372,088,456 | — | — |
Science & Technology Trust | ||||
Investments in securities: | ||||
Assets | ||||
Common stocks | ||||
Communication services | $179,199,847 | $158,690,020 | $20,509,827 | — |
Consumer discretionary | 278,757,337 | 207,987,159 | 70,770,178 | — |
Health care | 8,493,251 | 8,493,251 | — | — |
Industrials | 8,653,078 | 8,653,078 | — | — |
Information technology | 646,928,446 | 589,188,382 | 57,740,064 | — |
Short-term investments | 59,550,897 | 40,014,897 | 19,536,000 | — |
Total investments in securities | $1,181,582,856 | $1,013,026,787 | $168,556,069 | — |
Small Cap Index Trust | ||||
Investments in securities: | ||||
Assets | ||||
Common stocks | ||||
Communication services | $24,530,126 | $24,530,126 | — | — |
Consumer discretionary | 80,843,471 | 80,816,814 | $26,657 | — |
Consumer staples | 21,561,078 | 21,561,078 | — | — |
Energy | 29,141,261 | 29,141,261 | — | — |
Financials | 100,504,209 | 100,503,297 | — | $912 |
Health care | 143,564,552 | 143,401,724 | — | 162,828 |
Industrials | 96,428,706 | 96,428,706 | — | — |
Information technology | 92,195,068 | 92,195,068 | — | — |
Materials | 25,907,340 | 25,907,340 | — | — |
Real estate | 46,414,211 | 46,414,211 | — | — |
Utilities | 16,100,776 | 16,100,776 | — | — |
Rights | 74,897 | 74,897 | — | — |
Warrants | 6,680 | 6,680 | — | — |
Short-term investments | 38,297,996 | 5,698,446 | 32,599,550 | — |
Total investments in securities | $715,570,371 | $682,780,424 | $32,626,207 | $163,740 |
Derivatives: | ||||
Assets | ||||
Futures | $5,224 | $5,224 | — | — |
Level 3 includes securities valued at $0. Refer to Portfolio of Investments. | ||||
Small Cap Opportunities Trust | ||||
Investments in securities: | ||||
Assets | ||||
Common stocks | ||||
Communication services | $3,574,155 | $3,574,155 | — | — |
Consumer discretionary | 23,351,516 | 23,351,516 | — | — |
Consumer staples | 6,930,299 | 6,930,299 | — | — |
Energy | 9,630,556 | 9,630,556 | — | — |
Financials | 34,219,976 | 34,219,393 | — | $583 |
Health care | 21,756,737 | 21,731,102 | — | 25,635 |
Total value at 6-30-21 | Level 1 quoted price | Level 2 significant observable inputs | Level 3 significant unobservable inputs | |
Small Cap Opportunities Trust (continued) | ||||
Industrials | $30,861,676 | $30,861,676 | — | — |
Information technology | 20,821,677 | 20,821,677 | — | — |
Materials | 11,346,653 | 11,346,653 | — | — |
Real estate | 2,452,423 | 2,452,423 | — | — |
Utilities | 1,081,479 | 1,081,479 | — | — |
Preferred securities | 68,851 | 68,851 | — | — |
Warrants | 2,380 | 2,380 | — | — |
Short-term investments | 774,038 | 774,038 | — | — |
Total investments in securities | $166,872,416 | $166,846,198 | — | $26,218 |
Small Cap Stock Trust | ||||
Investments in securities: | ||||
Assets | ||||
Common stocks | ||||
Communication services | $17,331,987 | $17,331,987 | — | — |
Consumer discretionary | 85,783,748 | 82,992,078 | $2,791,670 | — |
Consumer staples | 6,199,402 | 5,324,493 | 874,909 | — |
Financials | 16,555,543 | 16,555,543 | — | — |
Health care | 121,398,063 | 121,398,063 | — | — |
Industrials | 48,624,165 | 48,624,165 | — | — |
Information technology | 124,884,842 | 121,271,352 | 3,570,532 | $42,958 |
Materials | 2,775,736 | 2,775,736 | — | — |
Real estate | 15,060,702 | 15,060,702 | — | — |
Short-term investments | 11,041,650 | 9,241,650 | 1,800,000 | — |
Total investments in securities | $449,655,838 | $440,575,769 | $9,037,111 | $42,958 |
Unrealized appreciation on unfunded commitments | $(70,880) | — | — | $(70,880) |
Small Cap Value Trust | ||||
Investments in securities: | ||||
Assets | ||||
Common stocks | ||||
Consumer discretionary | $30,239,337 | $30,239,337 | — | — |
Consumer staples | 32,462,202 | 20,257,724 | $12,204,478 | — |
Energy | 19,790,079 | 19,790,079 | — | — |
Financials | 131,815,943 | 131,815,943 | — | — |
Health care | 39,772,810 | 39,772,810 | — | — |
Industrials | 136,094,476 | 124,006,280 | 12,088,196 | — |
Information technology | 41,819,261 | 41,819,261 | — | — |
Materials | 40,027,571 | 40,027,571 | — | — |
Real estate | 51,859,141 | 51,859,141 | — | — |
Utilities | 21,982,014 | 21,982,014 | — | — |
Short-term investments | 15,918,223 | 218,223 | 15,700,000 | — |
Total investments in securities | $561,781,057 | $521,788,383 | $39,992,674 | — |
Small Company Value Trust | ||||
Investments in securities: | ||||
Assets | ||||
Common stocks | $170,394,106 | $170,394,106 | — | — |
Warrants | 11,710 | 11,710 | — | — |
Short-term investments | 4,001,287 | 4,001,287 | — | — |
Total investments in securities | $174,407,103 | $174,407,103 | — | — |
Total value at 6-30-21 | Level 1 quoted price | Level 2 significant observable inputs | Level 3 significant unobservable inputs | |
Strategic Equity Allocation Trust | ||||
Investments in securities: | ||||
Assets | ||||
Common stocks | ||||
Communication services | $714,548,267 | $580,403,014 | $134,145,253 | — |
Consumer discretionary | 1,110,743,147 | 762,203,826 | 348,539,321 | — |
Consumer staples | 616,420,895 | 331,310,068 | 285,110,827 | — |
Energy | 265,107,069 | 176,153,579 | 88,953,490 | — |
Financials | 1,195,850,079 | 730,685,819 | 465,163,615 | $645 |
Health care | 1,156,890,967 | 818,560,777 | 338,219,928 | 110,262 |
Industrials | 1,036,815,210 | 609,571,103 | 427,244,107 | — |
Information technology | 1,766,376,655 | 1,520,875,374 | 245,501,281 | — |
Materials | 406,073,292 | 188,435,487 | 217,637,805 | — |
Real estate | 307,219,805 | 223,941,872 | 83,277,933 | — |
Utilities | 248,209,746 | 154,390,275 | 93,819,471 | — |
Preferred securities | 16,903,531 | — | 16,903,531 | — |
Rights | 99,495 | 99,495 | — | — |
Warrants | 147,509 | 147,509 | — | — |
Short-term investments | 447,050,232 | 47,340,809 | 399,709,423 | — |
Total investments in securities | $9,288,455,899 | $6,144,119,007 | $3,144,225,985 | $110,907 |
Derivatives: | ||||
Assets | ||||
Futures | $4,639,961 | $4,639,961 | — | — |
Liabilities | ||||
Futures | (3,963,750) | (3,963,750) | — | — |
Level 3 includes securities valued at $0. Refer to Portfolio of Investments. | ||||
Total Stock Market Index Trust | ||||
Investments in securities: | ||||
Assets | ||||
Common stocks | ||||
Communication services | $97,013,783 | $97,012,918 | $797 | $68 |
Consumer discretionary | 112,470,843 | 112,465,447 | 5,367 | 29 |
Consumer staples | 51,414,367 | 51,414,367 | — | — |
Energy | 27,347,343 | 27,347,343 | — | — |
Financials | 100,737,306 | 100,737,184 | — | 122 |
Health care | 113,120,241 | 113,103,295 | — | 16,946 |
Industrials | 78,801,157 | 78,801,157 | — | — |
Information technology | 228,845,260 | 228,845,260 | — | — |
Materials | 20,852,238 | 20,852,043 | — | 195 |
Real estate | 28,110,783 | 28,103,344 | — | 7,439 |
Utilities | 19,365,093 | 19,365,093 | — | — |
Preferred securities | 42,726 | 42,726 | — | — |
Corporate bonds | 886 | — | 886 | — |
Rights | 6,147 | 6,147 | — | — |
Warrants | 3,323 | 2,677 | 634 | 12 |
Short-term investments | 38,828,045 | 9,232,360 | 29,595,685 | — |
Total investments in securities | $916,959,541 | $887,331,361 | $29,603,369 | $24,811 |
Derivatives: | ||||
Assets | ||||
Futures | $356,305 | $356,305 | — | — |
Level 3 includes securities valued at $0. Refer to Portfolio of Investments. |
The following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value. Transfers into or out of Level 3, if any, represent the beginning value of any security or instrument where a change in the level has occurred from the beginning to the end of the period and in all cases were transferred into or out of Level 2.
Mid Cap Stock Trust | Common stocks | Preferred securities | Unfunded commitments | Total |
Balance as of 12-31-20 | $816,142 | $20,108,657 | — | $20,924,799 |
Realized gain (loss) | 360,889 | 928,273 | — | 1,289,162 |
Change in unrealized appreciation (depreciation) | (399,749) | (6,055,952) | $2,117,102 | (4,338,599) |
Purchases | — | — | — | — |
Sales | (706,432) | (7,021,003) | — | (7,727,435) |
Transfers into Level 3 | — | — | — | — |
Transfers out of Level 3 | — | — | — | — |
Balance as of 6-30-21 | $70,850 | $7,959,975 | $2,117,102 | $10,147,927 |
Change in unrealized at period end1 | — | $636,531 | $2,117,102 | $2,753,633 |
1 | 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. |
Mid Cap Stock Trust | Fair Value at 6-30-21 | Valuation technique | Significant unobservable inputs | Input/Range* |
Common Stocks | $70,850 | Recovery Value | Expected future value Discount | $0.33 15% |
Preferred Securities | $5,056,092 | Market Comparable | EV to revenue multiple Discount OPM - Volatility | 1.84x 17.5% |
$1,782,975 | Market Comparable and Option Model | EV to revenue multiple Discount OPM - Volatility | 7.35x 25% 45% | |
$1,072,477 | Transactions Indicative of Value | Adjusted prior/recent transactions Exchange Ratio Discount Probability Weightings | $11.50 0.83 7.5% 90% | |
$48,431 | Recovery Value | Expected future value Discount | $0.355 55% | |
$7,959,975 | ||||
Unrealized appreciation on unfunded commitments | $2,289,515 | Transaction Indicative of Value | Prior/recent transactions Discount | $15.02 10% |
$(172,413) | Transaction Indicative of Value | Prior/recent transactions Probability weighting Discount | $10.31 90% 10% | |
$2,117,102 | ||||
Total | $10,147,927 |
Significant Unobservable Input | Impact to Valuation if input had increased | Impact to Valuation if input had decreased |
Adjusted prior/recent transactions or prior/recent transactions | Increase | Decrease |
Discount | Decrease | Increase |
Enterprise value (“EV”) to revenue multiple | Increase | Decrease |
Exchange Ratio | Increase | Decrease |
Expected future value | Increase | Decrease |
Options Pricing Method (OPM) - Volatility | Variable | Variable |
Probability weighting | Variable | Variable |
collateral held is in an amount not less than the principal amount of the repurchase agreement plus any accrued interest. Collateral received by the portfolio for repurchase agreements is disclosed in the Portfolios of investments as part of the caption related to the repurchase agreement.
Portfolio | Market value of securities on loan | Cash collateral received | Non-cash collateral |
500 Index Trust | $1,016,056 | $1,036,485 | — |
Blue Chip Growth Trust | 6,028,963 | 6,158,223 | — |
Disciplined Value International Trust | 11,428,106 | 9,544,107 | $2,469,521 |
Emerging Markets Value Trust | 4,868,824 | 2,539,215 | 2,856,292 |
Equity Income Trust | 6,533,050 | 6,669,672 | — |
International Equity Index Trust | 13,941,022 | 7,364,452 | 7,508,761 |
International Small Company Trust | 3,126,802 | 1,979,678 | 1,448,179 |
Mid Cap Index Trust | 6,588,372 | 6,098,610 | 643,215 |
Mid Cap Stock Trust | 29,108,796 | 29,974,300 | — |
Mid Value Trust | 2,741,647 | 2,828,683 | — |
Science & Technology Trust | 9,489,636 | 9,697,384 | — |
Small Cap Index Trust | 16,168,899 | 5,679,303 | 11,286,970 |
Small Cap Opportunities Trust | 425,948 | 435,768 | — |
Small Cap Stock Trust | 8,980,464 | 9,255,746 | — |
Small Cap Value Trust | 213,065 | 218,225 | — |
Small Company Value Trust | 504,188 | 515,526 | — |
Strategic Equity Allocation Trust | 62,510,668 | 47,332,776 | 16,948,761 |
Total Stock Market Index Trust | 8,911,447 | 9,228,874 | — |
Portfolio | Commitment fee |
500 Index Trust | $21,832 |
American Asset Allocation Trust | 6,631 |
American Global Growth Trust | 3,510 |
Portfolio | Commitment fee |
American Growth Trust | $5,635 |
American Growth-Income Trust | 5,647 |
American International Trust | 4,221 |
Portfolio | Commitment fee |
Blue Chip Growth Trust | $9,019 |
Capital Appreciation Trust | 4,741 |
Capital Appreciation Value Trust | 4,077 |
Disciplined Value International Trust | 3,688 |
Emerging Markets Value Trust | 3,509 |
Equity Income Trust | 7,144 |
Financial Industries Trust | 3,277 |
Fundamental All Cap Core Trust | 9,005 |
Fundamental Large Cap Value Trust | 4,835 |
Global Equity Trust | 3,767 |
Health Sciences Trust | 3,700 |
International Equity Index Trust | 5,199 |
International Small Company Trust | 3,184 |
Lifestyle Balanced Portfolio | 5,915 |
Lifestyle Conservative Portfolio | 3,476 |
Portfolio | Commitment fee |
Lifestyle Growth Portfolio | $19,662 |
Lifestyle Moderate Portfolio | 3,802 |
Mid Cap Index Trust | 6,574 |
Mid Cap Stock Trust | 5,372 |
Mid Value Trust | 4,586 |
Real Estate Securities Trust | 3,614 |
Science & Technology Trust | 5,842 |
Small Cap Index Trust | 4,634 |
Small Cap Opportunities Trust | 3,288 |
Small Cap Stock Trust | 4,003 |
Small Cap Value Trust | 4,286 |
Small Company Value Trust | 3,302 |
Strategic Equity Allocation Trust | 27,461 |
Total Stock Market Index Trust | 5,111 |
No Expiration Date | ||
Portfolio | Short Term | Long Term |
Disciplined Value International Trust | $17,239,773 | $19,812,805 |
Emerging Markets Value Trust | — | 50,093,565 |
Global Equity Trust | — | 39,676,162 |
Real Estate Securities Trust | 10,482,649 | — |
Portfolio | Aggregate cost | Unrealized appreciation | Unrealized (depreciation) | Net unrealized appreciation/ (depreciation) |
500 Index Trust | $3,040,113,990 | $4,772,094,524 | $(76,369,763) | $4,695,724,761 |
American Asset Allocation Trust | 1,049,359,819 | 389,391,984 | — | 389,391,984 |
American Global Growth Trust | 165,574,564 | 87,505,460 | — | 87,505,460 |
American Growth Trust | 710,619,039 | 384,404,085 | — | 384,404,085 |
American Growth-Income Trust | 809,194,495 | 273,085,721 | — | 273,085,721 |
American International Trust | 395,863,050 | 116,560,925 | — | 116,560,925 |
Blue Chip Growth Trust | 1,303,347,229 | 1,164,866,478 | (3,335,689) | 1,161,530,789 |
Capital Appreciation Trust | 490,859,296 | 279,064,749 | (3,109,881) | 275,954,868 |
Capital Appreciation Value Trust | 398,109,725 | 83,508,594 | (2,765,491) | 80,743,103 |
Disciplined Value International Trust | 293,057,519 | 41,934,815 | (5,730,732) | 36,204,083 |
Emerging Markets Value Trust | 230,405,002 | 62,560,364 | (27,331,324) | 35,229,040 |
Equity Income Trust | 1,238,923,626 | 440,837,059 | (10,757,741) | 430,079,318 |
Financial Industries Trust | 135,411,603 | 36,216,335 | (1,090,566) | 35,125,769 |
Fundamental All Cap Core Trust | 1,343,929,780 | 1,195,214,672 | (10,981,885) | 1,184,232,787 |
Fundamental Large Cap Value Trust | 568,754,114 | 244,951,301 | (3,320,653) | 241,630,648 |
Global Equity Trust | 284,939,544 | 72,175,771 | (3,094,134) | 69,081,637 |
Health Sciences Trust | 212,316,290 | 131,712,913 | (5,455,299) | 126,257,614 |
International Equity Index Trust | 633,331,863 | 365,780,164 | (65,284,851) | 300,495,313 |
International Small Company Trust | 118,122,959 | 32,408,965 | (21,244,514) | 11,164,451 |
Portfolio | Aggregate cost | Unrealized appreciation | Unrealized (depreciation) | Net unrealized appreciation/ (depreciation) |
Lifestyle Balanced Portfolio | $1,017,887,314 | $183,022,104 | — | $183,022,104 |
Lifestyle Conservative Portfolio | 218,925,877 | 15,956,425 | — | 15,956,425 |
Lifestyle Growth Portfolio | 5,141,999,413 | 1,298,890,780 | — | 1,298,890,780 |
Lifestyle Moderate Portfolio | 320,740,657 | 44,424,145 | — | 44,424,145 |
Mid Cap Index Trust | 1,079,536,023 | 419,340,267 | $(35,519,741) | 383,820,526 |
Mid Cap Stock Trust | 755,046,644 | 262,235,394 | (13,427,069) | 248,808,325 |
Mid Value Trust | 545,653,852 | 141,684,723 | (14,590,237) | 127,094,486 |
Real Estate Securities Trust | 305,736,366 | 66,518,379 | (166,289) | 66,352,090 |
Science & Technology Trust | 931,472,222 | 261,602,239 | (11,491,605) | 250,110,634 |
Small Cap Index Trust | 501,310,953 | 245,587,323 | (31,322,681) | 214,264,642 |
Small Cap Opportunities Trust | 123,017,936 | 51,829,249 | (7,974,769) | 43,854,480 |
Small Cap Stock Trust | 386,449,334 | 79,588,688 | (16,382,184) | 63,206,504 |
Small Cap Value Trust | 448,964,497 | 122,405,554 | (9,588,994) | 112,816,560 |
Small Company Value Trust | 121,429,561 | 55,182,748 | (2,205,206) | 52,977,542 |
Strategic Equity Allocation Trust | 4,882,912,373 | 4,607,137,565 | (200,917,828) | 4,406,219,737 |
Total Stock Market Index Trust | 375,417,123 | 563,259,720 | (21,360,997) | 541,898,723 |
risk of loss up to the notional value of the futures contracts. Use of short futures contracts subjects the portfolios to unlimited risk of loss.
Portfolio | Reason | USD Notional range |
500 Index Trust | To manage against changes in certain securities markets and gain exposure to certain securities markets. | $201.3 million to $246.2 million |
Emerging Markets Value Trust | To gain exposure to certain securities markets. | $1.5 million to $2.1 million |
International Equity Index Trust | To gain exposure to certain securities markets. | $18.5 million to $25.8 million |
International Small Company Trust | To gain exposure to certain securities markets. | $767,000 to $959,000 |
Mid Cap Index Trust | To manage against changes in certain securities markets and gain exposure to certain securities markets. | $20.7 million to $82.4 million |
Small Cap Index Trust | To manage against changes in certain securities markets and gain exposure to certain securities markets. | $20.2 million to $47.9 million |
Strategic Equity Allocation Trust | To manage against changes in certain securities markets and gain exposure to certain securities markets. | $289.8 million to $461.3 million |
Total Stock Market Index Trust | To manage against changes in certain securities markets and gain exposure to certain securities markets. | $12.7 million to $31.9 million |
Portfolio | Reason | USD Notional range |
Financial Industries Trust | To manage against changes in foreign currency exchange rates. | Up to $26.6 million |
Global Equity Trust | To manage against changes in foreign currency exchange rates. | $21.2 million to $22.4 million |
Portfolio | Reason | Market value range |
Capital Appreciation Value Trust | To generate potential income from options premiums. | $4.2 million to $6.1 million |
Fair value of derivative instruments by risk category
Portfolio | Risk | Statements of assets and liabilities location | Financial instruments location | Assets derivatives fair value | Liabilities derivatives fair value |
500 Index Trust | Equity | Receivable/payable for futures variation margin1 | Futures | $2,795,411 | — |
$2,795,411 | — | ||||
Capital Appreciation Value Trust | Equity | Written options, at value | Written options | — | $(6,141,041) |
— | $(6,141,041) | ||||
Emerging Markets Value Trust | Equity | Receivable/payable for futures variation margin1 | Futures | — | $(9,468) |
— | $(9,468) | ||||
Global Equity Trust | Currency | Unrealized appreciation (depreciation) on forward foreign currency contracts | Forward foreign currency contracts | $280,865 | $(319,180) |
$280,865 | $(319,180) | ||||
International Equity Index Trust | Equity | Receivable/payable for futures variation margin1 | Futures | — | $(154,447) |
— | $(154,447) | ||||
International Small Company Trust | Equity | Receivable/payable for futures variation margin1 | Futures | — | $(20,387) |
— | $(20,387) | ||||
Mid Cap Index Trust | Equity | Receivable/payable for futures variation margin1 | Futures | — | $(977,070) |
— | $(977,070) | ||||
Small Cap Index Trust | Equity | Receivable/payable for futures variation margin1 | Futures | $5,224 | — |
$5,224 | — | ||||
Strategic Equity Allocation Trust | Equity | Receivable/payable for futures variation margin1 | Futures | $4,639,961 | $(3,963,750) |
$4,639,961 | $(3,963,750) | ||||
Total Stock Market Index Trust | Equity | Receivable/payable for futures variation margin1 | Futures | $356,305 | — |
$356,305 | — |
1 | Reflects cumulative appreciation/depreciation on open futures as disclosed in the Derivatives section of the Portfolios of investments. Only the period end variation margin receivable/payable is separately reported on the Statements of assets and liabilities. |
Statements of operations location - Net realized gain (loss) on: | |||||
Portfolio | Risk | Futures contracts | Forward foreign currency contracts | Written options | Total |
500 Index Trust | Equity | $33,576,833 | — | — | $33,576,833 |
Capital Appreciation Value Trust | Equity | — | — | $1,488,551 | $1,488,551 |
Emerging Markets Value Trust | Equity | $41,438 | — | — | $41,438 |
Financial Industries Trust | Currency | — | $(625,234) | — | $(625,234) |
Global Equity Trust | Currency | — | $(252,021) | — | $(252,021) |
International Equity Index Trust | Equity | $2,234,455 | — | — | $2,234,455 |
International Small Company Trust | Equity | $120,747 | — | — | $120,747 |
Mid Cap Index Trust | Equity | $7,814,383 | — | — | $7,814,383 |
Small Cap Index Trust | Equity | $3,060,469 | — | — | $3,060,469 |
Strategic Equity Allocation Trust | Equity | $56,772,531 | — | — | $56,772,531 |
Total Stock Market Index Trust | Equity | $3,366,758 | — | — | $3,366,758 |
The table below summarizes the net change in unrealized appreciation (depreciation) included in the net increase (decrease) in net assets from operations, classified by derivative instrument and risk category, for the six months ended June 30, 2021:
Statements of operations location - Change in net unrealized appreciation (depreciation) of: | |||||
Portfolio | Risk | Futures contracts | Forward foreign currency contracts | Written options | Total |
500 Index Trust | Equity | $(2,455,966) | — | — | $(2,455,966) |
Capital Appreciation Value Trust | Equity | — | — | $241,853 | $241,853 |
Emerging Markets Value Trust | Equity | $(50,998) | — | — | $(50,998) |
Financial Industries Trust | Currency | — | $656,480 | — | $656,480 |
Global Equity Trust | Currency | — | $451,011 | — | $451,011 |
International Equity Index Trust | Equity | $(766,735) | — | — | $(766,735) |
International Small Company Trust | Equity | $(29,902) | — | — | $(29,902) |
Mid Cap Index Trust | Equity | $(1,396,824) | — | — | $(1,396,824) |
Small Cap Index Trust | Equity | $(498,550) | — | — | $(498,550) |
Strategic Equity Allocation Trust | Equity | $(6,262,112) | — | — | $(6,262,112) |
Total Stock Market Index Trust | Equity | $82,404 | — | — | $82,404 |
Portfolio | Subadvisor(s) |
Science & Technology Trust | Allianz Global Investors U.S. LLC and T. Rowe Price Associates, Inc. |
Disciplined Value International Trust | Boston Partners Global Investors, Inc. |
Emerging Markets Value Trust International Small Company Trust | Dimensional Fund Advisors LP |
Small Cap Opportunities Trust | Dimensional Fund Advisors LP and GW&K Investment Management, LLC |
Portfolio | Subadvisor(s) |
Capital Appreciation Trust | Jennison Associates LLC |
Financial Industries Trust Fundamental All Cap Core Trust Fundamental Large Cap Value Trust Global Equity Trust Lifestyle Balanced Portfolio Lifestyle Conservative Portfolio Lifestyle Growth Portfolio Lifestyle Moderate Portfolio Strategic Equity Allocation Trust | Manulife Investment Management (US) LLC1 |
500 Index Trust Mid Cap Index Trust Small Cap Index Trust Total Stock Market Index Trust | Manulife Investment Management (North America) Limited1 |
International Equity Index Trust | SSGA Funds Management, Inc. |
Blue Chip Growth Trust Capital Appreciation Value Trust Equity Income Trust Health Sciences Trust Mid Value Trust Small Company Value Trust | T. Rowe Price Associates, Inc. |
Mid Cap Stock Trust Real Estate Securities Trust Small Cap Stock Trust Small Cap Value Trust | Wellington Management Company LLP |
Portfolio | Expense limitation as a percentage of average net assets |
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% |
Blue Chip Growth Trust | 0.20% |
Capital Appreciation Trust | 0.20% |
Capital Appreciation Value Trust | 0.20% |
Disciplined Value International Trust | 0.25% |
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 Equity Trust | 0.25% |
Portfolio | Expense limitation as a percentage of average net assets |
Health Sciences Trust | 0.20% |
International Small Company Trust | 0.25% |
Mid Cap Index Trust | 0.08% |
Mid Cap Stock Trust | 0.20% |
Mid Value Trust | 0.20% |
Real Estate Securities Trust | 0.20% |
Science & Technology Trust | 0.20% |
Small Cap Index Trust | 0.08% |
Small Cap Opportunities Trust | 0.20% |
Small Cap Stock Trust | 0.20% |
Small Cap Value Trust | 0.20% |
Small Company Value Trust | 0.20% |
Strategic Equity Allocation Trust | 0.20% |
Total Stock Market Index Trust | 0.08% |
The Advisor has contractually agreed to reimburse expenses for the Lifestyle Portfolios so that certain other expenses do not exceed 0.04% of average net assets of the Lifestyle Portfolios. This waiver includes all expenses except taxes, brokerage commissions, interest expense, litigation and indemnification expenses and other extraordinary expenses not incurred in the ordinary course of the portfolios’ business, management fees, Rule 12b-1 fees, underlying fund expenses and short dividends. This expense reimbursement will remain in effect until April 30, 2022, and may terminate at any time thereafter.
Expense reimbursement by class | |||||
Portfolio | Series I | Series II | Series III | Series NAV | Total |
500 Index Trust | $5,562,727 | $102,424 | — | $3,093,169 | $8,758,320 |
American Asset Allocation Trust | 15,209 | 41,511 | $5,548 | — | 62,268 |
American Global Growth Trust | 1,801 | 7,635 | 1,422 | — | 10,858 |
American Growth Trust | 9,822 | 31,968 | 4,531 | — | 46,321 |
American Growth-Income Trust | 13,484 | 23,310 | 9,253 | — | 46,047 |
American International Trust | 7,340 | 13,667 | 1,641 | — | 22,648 |
Blue Chip Growth Trust | 66,336 | 25,612 | — | 315,976 | 407,924 |
Capital Appreciation Trust | 11,500 | 3,736 | — | 16,591 | 31,827 |
Capital Appreciation Value Trust | 1,668 | 60,459 | — | 35,507 | 97,634 |
Disciplined Value International Trust | 3,520 | 2,091 | — | 8,258 | 13,869 |
Emerging Markets Value Trust | 291 | 1,521 | — | 9,205 | 11,017 |
Equity Income Trust | 36,655 | 19,413 | — | 186,736 | 242,804 |
Financial Industries Trust | 4,815 | 796 | — | 1,256 | 6,867 |
Fundamental All Cap Core Trust | 5,362 | 2,379 | — | 94,847 | 102,588 |
Fundamental Large Cap Value Trust | 25,564 | 10,135 | — | 8,224 | 43,923 |
Global Equity Trust | 11,807 | 1,218 | — | 1,997 | 15,022 |
Health Sciences Trust | 21,330 | 22,004 | — | 44,901 | 88,235 |
International Equity Index Trust | 478,518 | 30,394 | — | 634,011 | 1,142,923 |
International Small Company Trust | 1,181 | 676 | — | 3,547 | 5,404 |
Lifestyle Balanced Portfolio | 1,010 | 24,545 | — | 3,547 | 29,102 |
Expense reimbursement by class | |||||
Portfolio | Series I | Series II | Series III | Series NAV | Total |
Lifestyle Conservative Portfolio | $1,539 | $18,287 | — | $862 | $20,688 |
Lifestyle Growth Portfolio | 6,017 | 140,859 | — | 12,703 | 159,579 |
Lifestyle Moderate Portfolio | 488 | 9,602 | — | 1,227 | 11,317 |
Mid Cap Index Trust | 590,023 | 39,681 | — | 144,769 | 774,473 |
Mid Cap Stock Trust | 10,172 | 5,097 | — | 27,446 | 42,715 |
Mid Value Trust | 65,284 | 14,607 | — | 98,556 | 178,447 |
Real Estate Securities Trust | 2,837 | 1,502 | — | 10,435 | 14,774 |
Science & Technology Trust | 248,985 | 21,807 | — | 40,283 | 311,075 |
Small Cap Index Trust | 144,237 | 11,510 | — | 47,986 | 203,733 |
Small Cap Opportunities Trust | 99,092 | 38,356 | — | 37,254 | 174,702 |
Small Cap Stock Trust | 6,032 | 1,817 | — | 11,919 | 19,768 |
Small Cap Value Trust | 8,149 | 1,178 | — | 14,770 | 24,097 |
Small Company Value Trust | 18,746 | 14,666 | — | 20,383 | 53,795 |
Strategic Equity Allocation Trust | — | — | — | 6,142,277 | 6,142,277 |
Total Stock Market Index Trust | 229,866 | 18,979 | — | 89,853 | 338,698 |
Portfolio | Net Annual Effective Rate |
500 Index Trust | 0.22% |
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%* |
Blue Chip Growth Trust | 0.70% |
Capital Appreciation Trust | 0.69% |
Capital Appreciation Value Trust | 0.78% |
Disciplined Value International Trust | 0.77% |
Emerging Markets Value Trust | 0.88% |
Equity Income Trust | 0.65% |
Financial Industries Trust | 0.76% |
Fundamental All Cap Core Trust | 0.67% |
Fundamental Large Cap Value Trust | 0.67% |
Global Equity Trust | 0.79% |
Health Sciences Trust | 0.90% |
International Equity Index Trust | 0.27% |
Portfolio | Net Annual Effective Rate |
International Small Company Trust | 0.87% |
Lifestyle Balanced Portfolio | 0.04% |
Lifestyle Conservative Portfolio | 0.02% |
Lifestyle Growth Portfolio | 0.04% |
Lifestyle Moderate Portfolio | 0.03% |
Mid Cap Index Trust | 0.36% |
Mid Cap Stock Trust | 0.82% |
Mid Value Trust | 0.90% |
Real Estate Securities Trust | 0.69% |
Science & Technology Trust | 0.96% |
Small Cap Index Trust | 0.42% |
Small Cap Opportunities Trust | 0.78% |
Small Cap Stock Trust | 1.00% |
Small Cap Value Trust | 0.93% |
Small Company Value Trust | 0.99% |
Strategic Equity Allocation Trust | 0.49% |
Total Stock Market Index Trust | 0.40% |
* | The JHVIT Feeder Funds do not directly 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% |
Class | Rule 12b-1 Fee |
Series II | 0.75% |
Series III | 0.25% |
Distribution and service fees by class | ||||
Portfolio | Series l | Series ll | Series lll | Total |
500 Index Trust | $1,146,856 | $105,564 | $— | $1,252,420 |
American Asset Allocation Trust | 1,045,213 | 3,572,133 | 158,997 | 4,776,343 |
American Global Growth Trust | 123,671 | 656,934 | 40,773 | 821,378 |
American Growth Trust | 674,766 | 2,750,860 | 129,985 | 3,555,611 |
American Growth-Income Trust | 926,919 | 2,004,940 | 265,281 | 3,197,140 |
American International Trust | 505,199 | 1,176,356 | 47,103 | 1,728,658 |
Blue Chip Growth Trust | 95,896 | 185,200 | — | 281,096 |
Capital Appreciation Trust | 66,000 | 107,265 | — | 173,265 |
Capital Appreciation Value Trust | 1,958 | 356,433 | — | 358,391 |
Disciplined Value International Trust | 20,176 | 59,960 | — | 80,136 |
Emerging Markets Value Trust | 1,669 | 43,654 | — | 45,323 |
Equity Income Trust | 61,240 | 162,191 | — | 223,431 |
Financial Industries Trust | 27,540 | 22,703 | — | 50,243 |
Fundamental All Cap Core Trust | 30,736 | 68,130 | — | 98,866 |
Fundamental Large Cap Value Trust | 108,900 | 216,137 | — | 325,037 |
Global Equity Trust | 67,679 | 34,909 | — | 102,588 |
Health Sciences Trust | 19,606 | 101,180 | — | 120,786 |
International Equity Index Trust | 94,778 | 30,096 | — | 124,874 |
International Small Company Trust | 6,773 | 19,363 | — | 26,136 |
Lifestyle Balanced Portfolio | 10,104 | 1,227,312 | — | 1,237,416 |
Lifestyle Conservative Portfolio | 4,353 | 259,193 | — | 263,546 |
Lifestyle Growth Portfolio | 60,160 | 7,043,476 | — | 7,103,636 |
Lifestyle Moderate Portfolio | 3,864 | 379,736 | — | 383,600 |
Mid Cap Index Trust | 271,358 | 91,227 | — | 362,585 |
Mid Cap Stock Trust | 58,373 | 146,333 | — | 204,706 |
Mid Value Trust | 59,919 | 67,021 | — | 126,940 |
Real Estate Securities Trust | 16,247 | 43,007 | — | 59,254 |
Science & Technology Trust | 233,705 | 102,300 | — | 336,005 |
Small Cap Index Trust | 122,803 | 49,026 | — | 171,829 |
Small Cap Opportunities Trust | 23,072 | 44,651 | — | 67,723 |
Small Cap Stock Trust | 34,684 | 52,215 | — | 86,899 |
Small Cap Value Trust | 46,674 | 33,661 | — | 80,335 |
Small Company Value Trust | 14,745 | 57,697 | — | 72,442 |
Total Stock Market Index Trust | 146,008 | 60,264 | — | 206,272 |
Portfolio | Series ll |
American Asset Allocation Trust | $285,771 |
American Global Growth Trust | 70,073 |
American Growth Trust | 330,103 |
American Growth-Income Trust | 187,128 |
American International Trust | 31,369 |
Portfolio | Borrower or Lender | Weighted Average Loan Balance | Days Outstanding | Weighted Average Interest Rate | Interest Income (Expense) |
Small Cap Opportunities Trust | Borrower | $12,300,000 | 2 | 0.655% | $(448) |
Portfolio | Borrower or Lender | Weighted Average Loan Balance | Days Outstanding | Weighted Average Interest Rate | Interest Income (Expense) |
Strategic Equity Allocation Trust | Borrower | 16,000,000 | 1 | 0.660 | (293) |
500 Index Trust | Lender | 3,400,000 | 1 | 0.660 | 62 |
Blue Chip Growth Trust | Lender | 14,000,000 | 1 | 0.660 | 257 |
Capital Appreciation Trust | Lender | 2,400,000 | 1 | 0.670 | 45 |
Capital Appreciation Value Trust | Lender | 12,100,000 | 2 | 0.658 | 443 |
Disciplined Value International Trust | Lender | 4,000,000 | 1 | 0.655 | 73 |
Emerging Markets Value Trust | Lender | 1,400,000 | 1 | 0.660 | 26 |
Equity Income Trust | Lender | 13,700,000 | 2 | 0.666 | 507 |
Health Sciences Trust | Lender | 1,200,000 | 1 | 0.655 | 22 |
International Equity Index Trust | Lender | 9,778,877 | 4 | 0.659 | 716 |
International Small Company Trust | Lender | 900,000 | 1 | 0.665 | 17 |
Mid Cap Index Trust | Lender | 4,100,000 | 1 | 0.660 | 75 |
Mid Cap Stock Trust | Lender | 3,700,000 | 3 | 0.660 | 203 |
Mid Value Trust | Lender | 1,100,000 | 3 | 0.660 | 61 |
Real Estate Securities Trust | Lender | 2,800,000 | 1 | 0.660 | 51 |
Science & Technology Trust | Lender | 5,320,000 | 2 | 0.667 | 197 |
Small Cap Index Trust | Lender | 2,870,563 | 1 | 0.660 | 53 |
Small Cap Opportunities Trust | Lender | 1,900,000 | 1 | 0.650 | 34 |
Small Cap Stock Trust | Lender | 2,700,000 | 1 | 0.660 | 50 |
Small Cap Value Trust | Lender | 8,000,000 | 1 | 0.660 | 147 |
Small Company Value Trust | Lender | 2,650,000 | 2 | 0.587 | 86 |
Strategic Equity Allocation Trust | Lender | 5,400,000 | 3 | 0.660 | 297 |
Total Stock Market Index Trust | Lender | 3,681,528 | 1 | 0.660 | 68 |
500 Index Trust | Six Months Ended 6-30-21 | Year Ended 12-31-20 | ||
Shares | Amount | Shares | Amount | |
Series I shares | ||||
Sold | 3,423,500 | $158,649,195 | 5,921,233 | $218,381,029 |
Distributions reinvested | — | — | 3,620,049 | 140,819,888 |
Repurchased | (4,448,479) | (208,361,570) | (9,756,329) | (365,725,383) |
Net decrease | (1,024,979) | $(49,712,375) | (215,047) | $(6,524,466) |
Series II shares | ||||
Sold | 124,952 | $5,785,744 | 278,601 | $10,159,140 |
Distributions reinvested | — | — | 63,871 | 2,486,486 |
Repurchased | (136,947) | (6,508,687) | (573,009) | (20,761,569) |
Net decrease | (11,995) | $(722,943) | (230,537) | $(8,115,943) |
Series NAV shares | ||||
Sold | 678,255 | $31,259,889 | 2,481,106 | $89,192,287 |
Distributions reinvested | — | — | 2,106,519 | 81,922,505 |
Repurchased | (2,104,603) | (96,623,302) | (6,996,982) | (265,504,963) |
Net decrease | (1,426,348) | $(65,363,413) | (2,409,357) | $(94,390,171) |
Total net decrease | (2,463,322) | $(115,798,731) | (2,854,941) | $(109,030,580) |
American Asset Allocation Trust | Six Months Ended 6-30-21 | Year Ended 12-31-20 | ||
Shares | Amount | Shares | Amount | |
Series I shares | ||||
Sold | 527,300 | $6,739,609 | 1,019,869 | $12,392,769 |
Distributions reinvested | — | — | 3,555,563 | 40,739,656 |
Repurchased | (729,570) | (9,492,004) | (1,692,942) | (20,650,720) |
Net increase (decrease) | (202,270) | $(2,752,395) | 2,882,490 | $32,481,705 |
Series II shares | ||||
Sold | 3,818 | $46,585 | 48,549 | $606,953 |
Distributions reinvested | — | — | 10,249,020 | 117,374,226 |
Repurchased | (7,601,800) | (98,829,214) | (9,405,795) | (114,753,634) |
Net increase (decrease) | (7,597,982) | $(98,782,629) | 891,774 | $3,227,545 |
American Asset Allocation Trust, Cont'd | Six Months Ended 6-30-21 | Year Ended 12-31-20 | ||
Shares | Amount | Shares | Amount | |
Series III shares | ||||
Sold | 25,732 | $319,857 | 3,781 | $48,472 |
Distributions reinvested | — | — | 1,372,797 | 15,804,385 |
Repurchased | (561,096) | (7,268,387) | (920,846) | (11,348,696) |
Net increase (decrease) | (535,364) | $(6,948,530) | 455,732 | $4,504,161 |
Total net increase (decrease) | (8,335,616) | $(108,483,554) | 4,229,996 | $40,213,411 |
American Global Growth Trust | Six Months Ended 6-30-21 | Year Ended 12-31-20 | ||
Shares | Amount | Shares | Amount | |
Series I shares | ||||
Sold | 222,275 | $4,656,932 | 310,211 | $5,619,188 |
Distributions reinvested | — | — | 146,182 | 2,575,727 |
Repurchased | (126,989) | (2,648,200) | (169,318) | (2,780,771) |
Net increase | 95,286 | $2,008,732 | 287,075 | $5,414,144 |
Series II shares | ||||
Sold | 116,365 | $2,419,979 | 227,622 | $3,274,179 |
Distributions reinvested | — | — | 721,701 | 12,658,629 |
Repurchased | (889,778) | (18,661,507) | (2,012,493) | (34,683,183) |
Net decrease | (773,413) | $(16,241,528) | (1,063,170) | $(18,750,375) |
Series III shares | ||||
Sold | 475 | $10,333 | 16,897 | $235,937 |
Distributions reinvested | — | — | 132,412 | 2,331,770 |
Repurchased | (115,579) | (2,438,196) | (341,858) | (6,017,003) |
Net decrease | (115,104) | $(2,427,863) | (192,549) | $(3,449,296) |
Total net decrease | (793,231) | $(16,660,659) | (968,644) | $(16,785,527) |
American Growth Trust | Six Months Ended 6-30-21 | Year Ended 12-31-20 | ||
Shares | Amount | Shares | Amount | |
Series I shares | ||||
Sold | 444,895 | $10,959,644 | 821,756 | $15,732,978 |
Distributions reinvested | — | — | 1,156,818 | 23,055,381 |
Repurchased | (423,122) | (10,422,686) | (1,203,164) | (22,705,775) |
Net increase | 21,773 | $536,958 | 775,410 | $16,082,584 |
Series II shares | ||||
Sold | 34,720 | $868,971 | 346,084 | $5,659,635 |
Distributions reinvested | — | — | 4,176,618 | 82,362,899 |
Repurchased | (2,906,860) | (71,212,788) | (8,441,352) | (169,764,408) |
Net decrease | (2,872,140) | $(70,343,817) | (3,918,650) | $(81,741,874) |
Series III shares | ||||
Sold | 4,864 | $117,961 | 1,274 | $24,568 |
Distributions reinvested | — | — | 589,786 | 11,683,659 |
Repurchased | (387,758) | (9,609,907) | (1,359,161) | (27,453,411) |
Net decrease | (382,894) | $(9,491,946) | (768,101) | $(15,745,184) |
Total net decrease | (3,233,261) | $(79,298,805) | (3,911,341) | $(81,404,474) |
American Growth-Income Trust | Six Months Ended 6-30-21 | Year Ended 12-31-20 | ||
Shares | Amount | Shares | Amount | |
Series I shares | ||||
Sold | 119,528 | $2,077,361 | 183,326 | $2,819,280 |
Distributions reinvested | — | — | 2,764,183 | 40,231,022 |
Repurchased | (937,697) | (15,790,999) | (1,756,412) | (27,399,881) |
Net increase (decrease) | (818,169) | $(13,713,638) | 1,191,097 | $15,650,421 |
Series II shares | ||||
Sold | 55,292 | $947,055 | 1,974,037 | $26,190,185 |
Distributions reinvested | — | — | 4,911,020 | 71,054,364 |
Repurchased | (3,394,313) | (57,478,718) | (5,204,133) | (81,022,078) |
Net increase (decrease) | (3,339,021) | $(56,531,663) | 1,680,924 | $16,222,471 |
American Growth-Income Trust, Cont'd | Six Months Ended 6-30-21 | Year Ended 12-31-20 | ||
Shares | Amount | Shares | Amount | |
Series III shares | ||||
Sold | 23,265 | $403,131 | 573,376 | $7,554,893 |
Distributions reinvested | — | — | 1,975,364 | 28,815,935 |
Repurchased | (1,225,762) | (20,938,943) | (1,812,495) | (28,414,367) |
Net increase (decrease) | (1,202,497) | $(20,535,812) | 736,245 | $7,956,461 |
Total net increase (decrease) | (5,359,687) | $(90,781,113) | 3,608,266 | $39,829,353 |
American International Trust | Six Months Ended 6-30-21 | Year Ended 12-31-20 | ||
Shares | Amount | Shares | Amount | |
Series I shares | ||||
Sold | 318,377 | $6,927,077 | 1,438,799 | $26,075,864 |
Distributions reinvested | — | — | 396,009 | 7,212,200 |
Repurchased | (1,018,029) | (22,309,176) | (805,159) | (14,834,306) |
Net increase (decrease) | (699,652) | $(15,382,099) | 1,029,649 | $18,453,758 |
Series II shares | ||||
Sold | 271,054 | $5,721,691 | 1,542,713 | $23,168,571 |
Distributions reinvested | — | — | 769,296 | 13,936,196 |
Repurchased | (1,055,049) | (23,112,877) | (3,167,568) | (60,331,815) |
Net decrease | (783,995) | $(17,391,186) | (855,559) | $(23,227,048) |
Series III shares | ||||
Sold | 31,993 | $674,101 | 180,478 | $2,688,570 |
Distributions reinvested | — | — | 100,503 | 1,844,292 |
Repurchased | (115,392) | (2,518,868) | (376,456) | (7,258,610) |
Net decrease | (83,399) | $(1,844,767) | (95,475) | $(2,725,748) |
Total net increase (decrease) | (1,567,046) | $(34,618,052) | 78,615 | $(7,499,038) |
Blue Chip Growth Trust | Six Months Ended 6-30-21 | Year Ended 12-31-20 | ||
Shares | Amount | Shares | Amount | |
Series I shares | ||||
Sold | 106,739 | $4,416,567 | 103,392 | $4,005,098 |
Distributions reinvested | — | — | 1,276,533 | 48,329,550 |
Repurchased | (693,356) | (28,991,789) | (1,275,024) | (47,690,215) |
Net increase (decrease) | (586,617) | $(24,575,222) | 104,901 | $4,644,433 |
Series II shares | ||||
Sold | 14,922 | $601,958 | 142,636 | $5,254,705 |
Distributions reinvested | — | — | 544,652 | 19,738,173 |
Repurchased | (387,709) | (15,564,740) | (816,093) | (28,963,362) |
Net decrease | (372,787) | $(14,962,782) | (128,805) | $(3,970,484) |
Series NAV shares | ||||
Sold | 1,326,443 | $55,448,020 | 1,689,367 | $59,372,907 |
Distributions reinvested | — | — | 5,928,792 | 224,760,504 |
Repurchased | (4,583,862) | (194,493,841) | (11,896,286) | (432,880,813) |
Net decrease | (3,257,419) | $(139,045,821) | (4,278,127) | $(148,747,402) |
Total net decrease | (4,216,823) | $(178,583,825) | (4,302,031) | $(148,073,453) |
Capital Appreciation Trust | Six Months Ended 6-30-21 | Year Ended 12-31-20 | ||
Shares | Amount | Shares | Amount | |
Series I shares | ||||
Sold | 131,558 | $998,675 | 922,678 | $5,895,320 |
Distributions reinvested | — | — | 3,527,777 | 24,024,161 |
Repurchased | (3,136,166) | (24,538,953) | (4,901,499) | (30,940,634) |
Net decrease | (3,004,608) | $(23,540,278) | (451,044) | $(1,021,153) |
Series II shares | ||||
Sold | 403,522 | $2,791,639 | 1,232,228 | $6,883,127 |
Distributions reinvested | — | — | 1,545,840 | 9,104,998 |
Repurchased | (1,749,032) | (11,667,485) | (3,025,254) | (16,804,159) |
Net decrease | (1,345,510) | $(8,875,846) | (247,186) | $(816,034) |
Capital Appreciation Trust, Cont'd | Six Months Ended 6-30-21 | Year Ended 12-31-20 | ||
Shares | Amount | Shares | Amount | |
Series NAV shares | ||||
Sold | 1,631,066 | $12,875,201 | 5,259,711 | $34,080,171 |
Distributions reinvested | — | — | 4,692,330 | 32,189,382 |
Repurchased | (3,605,369) | (27,006,002) | (12,080,769) | (76,240,730) |
Net decrease | (1,974,303) | $(14,130,801) | (2,128,728) | $(9,971,177) |
Total net decrease | (6,324,421) | $(46,546,925) | (2,826,958) | $(11,808,364) |
Capital Appreciation Value Trust | Six Months Ended 6-30-21 | Year Ended 12-31-20 | ||
Shares | Amount | Shares | Amount | |
Series I shares | ||||
Sold | 242,669 | $3,489,974 | 103,645 | $1,297,857 |
Distributions reinvested | — | — | 41,423 | 514,065 |
Repurchased | (32,885) | (473,347) | (269,017) | (3,161,091) |
Net increase (decrease) | 209,784 | $3,016,627 | (123,949) | $(1,349,169) |
Series II shares | ||||
Sold | 237,090 | $3,302,525 | 214,189 | $2,803,112 |
Distributions reinvested | — | — | 1,993,970 | 24,625,527 |
Repurchased | (2,304,102) | (32,398,424) | (2,930,899) | (36,750,743) |
Net decrease | (2,067,012) | $(29,095,899) | (722,740) | $(9,322,104) |
Series NAV shares | ||||
Sold | 1,090,163 | $15,280,440 | 1,440,088 | $18,173,546 |
Distributions reinvested | — | — | 1,061,455 | 13,130,202 |
Repurchased | (407,976) | (5,787,526) | (953,562) | (11,983,369) |
Net increase | 682,187 | $9,492,914 | 1,547,981 | $19,320,379 |
Total net increase (decrease) | (1,175,041) | $(16,586,358) | 701,292 | $8,649,106 |
Disciplined Value International Trust | Six Months Ended 6-30-21 | Year Ended 12-31-20 | ||
Shares | Amount | Shares | Amount | |
Series I shares | ||||
Sold | 54,292 | $785,323 | 160,080 | $1,770,429 |
Distributions reinvested | — | — | 130,430 | 1,438,637 |
Repurchased | (405,208) | (5,738,599) | (810,267) | (9,167,346) |
Net decrease | (350,916) | $(4,953,276) | (519,757) | $(5,958,280) |
Series II shares | ||||
Sold | 41,581 | $603,438 | 197,958 | $2,235,610 |
Distributions reinvested | — | — | 71,958 | 793,702 |
Repurchased | (306,428) | (4,366,161) | (601,995) | (6,890,451) |
Net decrease | (264,847) | $(3,762,723) | (332,079) | $(3,861,139) |
Series NAV shares | ||||
Sold | 438,665 | $6,332,648 | 939,068 | $9,869,347 |
Distributions reinvested | — | — | 316,378 | 3,461,172 |
Repurchased | (753,055) | (10,815,542) | (1,316,739) | (15,073,683) |
Net decrease | (314,390) | $(4,482,894) | (61,293) | $(1,743,164) |
Total net decrease | (930,153) | $(13,198,893) | (913,129) | $(11,562,583) |
Emerging Markets Value Trust | Six Months Ended 6-30-21 | Year Ended 12-31-20 | ||
Shares | Amount | Shares | Amount | |
Series I shares | ||||
Sold | 94,720 | $1,001,813 | 49,767 | $392,560 |
Distributions reinvested | — | — | 15,181 | 124,789 |
Repurchased | (87,645) | (946,085) | (78,579) | (672,630) |
Net increase (decrease) | 7,075 | $55,728 | (13,631) | $(155,281) |
Series II shares | ||||
Sold | 255,038 | $2,642,381 | 397,541 | $2,947,587 |
Distributions reinvested | — | — | 77,731 | 638,953 |
Repurchased | (454,766) | (4,815,322) | (707,653) | (5,949,846) |
Net decrease | (199,728) | $(2,172,941) | (232,381) | $(2,363,306) |
Emerging Markets Value Trust, Cont'd | Six Months Ended 6-30-21 | Year Ended 12-31-20 | ||
Shares | Amount | Shares | Amount | |
Series NAV shares | ||||
Sold | 989,490 | $10,486,031 | 3,074,065 | $25,601,816 |
Distributions reinvested | — | — | 495,136 | 4,060,113 |
Repurchased | (1,024,192) | (10,746,448) | (3,681,539) | (30,189,053) |
Net decrease | (34,702) | $(260,417) | (112,338) | $(527,124) |
Total net decrease | (227,355) | $(2,377,630) | (358,350) | $(3,045,711) |
Equity Income Trust | Six Months Ended 6-30-21 | Year Ended 12-31-20 | ||
Shares | Amount | Shares | Amount | |
Series I shares | ||||
Sold | 208,043 | $3,370,015 | 193,014 | $2,401,652 |
Distributions reinvested | — | — | 1,847,720 | 21,710,712 |
Repurchased | (945,310) | (14,545,309) | (2,281,367) | (30,245,963) |
Net decrease | (737,267) | $(11,175,294) | (240,633) | $(6,133,599) |
Series II shares | ||||
Sold | 263,364 | $4,279,206 | 286,348 | $3,459,695 |
Distributions reinvested | — | — | 981,536 | 11,464,344 |
Repurchased | (720,459) | (11,209,665) | (1,499,805) | (19,362,150) |
Net decrease | (457,095) | $(6,930,459) | (231,921) | $(4,438,111) |
Series NAV shares | ||||
Sold | 3,508,493 | $52,090,179 | 9,349,611 | $108,715,328 |
Distributions reinvested | — | — | 9,907,677 | 115,622,593 |
Repurchased | (8,209,216) | (129,086,990) | (21,503,462) | (275,145,296) |
Net decrease | (4,700,723) | $(76,996,811) | (2,246,174) | $(50,807,375) |
Total net decrease | (5,895,085) | $(95,102,564) | (2,718,728) | $(61,379,085) |
Financial Industries Trust | Six Months Ended 6-30-21 | Year Ended 12-31-20 | ||
Shares | Amount | Shares | Amount | |
Series I shares | ||||
Sold | 1,252,013 | $18,275,908 | 877,874 | $10,042,802 |
Distributions reinvested | — | — | 845,030 | 9,295,328 |
Repurchased | (753,403) | (11,040,218) | (2,474,960) | (29,795,596) |
Net increase (decrease) | 498,610 | $7,235,690 | (752,056) | $(10,457,466) |
Series II shares | ||||
Sold | 356,482 | $5,248,962 | 99,663 | $1,101,630 |
Distributions reinvested | — | — | 130,970 | 1,427,577 |
Repurchased | (87,855) | (1,263,813) | (264,244) | (3,067,024) |
Net increase (decrease) | 268,627 | $3,985,149 | (33,611) | $(537,817) |
Series NAV shares | ||||
Sold | 276,248 | $4,047,486 | 126,550 | $1,528,459 |
Distributions reinvested | — | — | 219,720 | 2,408,134 |
Repurchased | (108,397) | (1,547,733) | (418,969) | (4,977,404) |
Net increase (decrease) | 167,851 | $2,499,753 | (72,699) | $(1,040,811) |
Total net increase (decrease) | 935,088 | $13,720,592 | (858,366) | $(12,036,094) |
Fundamental All Cap Core Trust | Six Months Ended 6-30-21 | Year Ended 12-31-20 | ||
Shares | Amount | Shares | Amount | |
Series I shares | ||||
Sold | 143,551 | $4,880,660 | 187,477 | $4,449,273 |
Distributions reinvested | — | — | 134,814 | 3,553,697 |
Repurchased | (462,799) | (15,005,315) | (1,211,487) | (29,521,410) |
Net decrease | (319,248) | $(10,124,655) | (889,196) | $(21,518,440) |
Series II shares | ||||
Sold | 67,678 | $2,333,932 | 41,530 | $961,810 |
Distributions reinvested | — | — | 53,929 | 1,417,804 |
Repurchased | (148,885) | (4,966,340) | (372,864) | (9,505,554) |
Net decrease | (81,207) | $(2,632,408) | (277,405) | $(7,125,940) |
Fundamental All Cap Core Trust, Cont'd | Six Months Ended 6-30-21 | Year Ended 12-31-20 | ||
Shares | Amount | Shares | Amount | |
Series NAV shares | ||||
Sold | 7,805 | $273,039 | 385,095 | $8,567,156 |
Distributions reinvested | — | — | 2,196,683 | 58,278,006 |
Repurchased | (2,352,043) | (79,047,215) | (4,910,060) | (124,884,034) |
Net decrease | (2,344,238) | $(78,774,176) | (2,328,282) | $(58,038,872) |
Total net decrease | (2,744,693) | $(91,531,239) | (3,494,883) | $(86,683,252) |
Fundamental Large Cap Value Trust | Six Months Ended 6-30-21 | Year Ended 12-31-20 | ||
Shares | Amount | Shares | Amount | |
Series I shares | ||||
Sold | 565,209 | $16,518,875 | 260,365 | $5,407,923 |
Distributions reinvested | — | — | 489,839 | 10,560,919 |
Repurchased | (682,292) | (19,301,484) | (2,625,547) | (56,668,522) |
Net decrease | (117,083) | $(2,782,609) | (1,875,343) | $(40,699,680) |
Series II shares | ||||
Sold | 197,355 | $5,789,463 | 285,956 | $5,309,493 |
Distributions reinvested | — | — | 186,839 | 4,060,006 |
Repurchased | (647,310) | (18,628,942) | (1,194,985) | (26,215,465) |
Net decrease | (449,955) | $(12,839,479) | (722,190) | $(16,845,966) |
Series NAV shares | ||||
Sold | 325,561 | $9,328,523 | 1,300,305 | $26,713,513 |
Distributions reinvested | — | — | 153,022 | 3,300,686 |
Repurchased | (307,518) | (8,739,024) | (679,102) | (14,888,265) |
Net increase | 18,043 | $589,499 | 774,225 | $15,125,934 |
Total net decrease | (548,995) | $(15,032,589) | (1,823,308) | $(42,419,712) |
Global Equity Trust | Six Months Ended 6-30-21 | Year Ended 12-31-20 | ||
Shares | Amount | Shares | Amount | |
Series I shares | ||||
Sold | 10,871 | $257,654 | 182,495 | $2,986,832 |
Issued in reorganization (Note 13) | — | — | 7,506,500 | 144,970,081 |
Distributions reinvested | — | — | 120,446 | 2,255,953 |
Repurchased | (1,008,983) | (22,548,978) | (818,580) | (15,582,367) |
Net increase (decrease) | (998,112) | $(22,291,324) | 6,990,861 | $134,630,499 |
Series II shares | ||||
Sold | 13,848 | $307,827 | 26,836 | $508,580 |
Distributions reinvested | — | — | 27,029 | 503,822 |
Repurchased | (88,664) | (1,960,335) | (301,261) | (5,486,252) |
Net decrease | (74,816) | $(1,652,508) | (247,396) | $(4,473,850) |
Series NAV shares | ||||
Sold | 29,469 | $641,052 | 116,006 | $2,128,612 |
Distributions reinvested | — | — | 47,706 | 892,097 |
Repurchased | (89,264) | (1,998,045) | (217,447) | (4,104,092) |
Net decrease | (59,795) | $(1,356,993) | (53,735) | $(1,083,383) |
Total net increase (decrease) | (1,132,723) | $(25,300,825) | 6,689,730 | $129,073,266 |
Health Sciences Trust | Six Months Ended 6-30-21 | Year Ended 12-31-20 | ||
Shares | Amount | Shares | Amount | |
Series I shares | ||||
Sold | 30,808 | $998,394 | 200,168 | $5,431,964 |
Distributions reinvested | — | — | 267,269 | 7,609,149 |
Repurchased | (207,112) | (6,585,591) | (542,151) | (15,438,390) |
Net decrease | (176,304) | $(5,587,197) | (74,714) | $(2,397,277) |
Series II shares | ||||
Sold | 39,096 | $1,151,713 | 232,708 | $5,820,723 |
Distributions reinvested | — | — | 335,724 | 8,601,256 |
Repurchased | (388,857) | (11,104,934) | (447,561) | (11,330,166) |
Net increase (decrease) | (349,761) | $(9,953,221) | 120,871 | $3,091,813 |
Health Sciences Trust, Cont'd | Six Months Ended 6-30-21 | Year Ended 12-31-20 | ||
Shares | Amount | Shares | Amount | |
Series NAV shares | ||||
Sold | 235,447 | $7,635,305 | 360,720 | $10,488,088 |
Distributions reinvested | — | — | 506,196 | 14,689,821 |
Repurchased | (175,252) | (5,643,574) | (479,739) | (13,754,589) |
Net increase | 60,195 | $1,991,731 | 387,177 | $11,423,320 |
Total net increase (decrease) | (465,870) | $(13,548,687) | 433,334 | $12,117,856 |
International Equity Index Trust | Six Months Ended 6-30-21 | Year Ended 12-31-20 | ||
Shares | Amount | Shares | Amount | |
Series I shares | ||||
Sold | 849,528 | $17,655,874 | 930,796 | $15,948,275 |
Distributions reinvested | — | — | 644,937 | 10,938,135 |
Repurchased | (944,977) | (19,568,755) | (2,744,009) | (45,556,909) |
Net decrease | (95,449) | $(1,912,881) | (1,168,276) | $(18,670,499) |
Series II shares | ||||
Sold | 44,501 | $913,886 | 92,935 | $1,554,558 |
Distributions reinvested | — | — | 38,661 | 656,853 |
Repurchased | (46,566) | (965,648) | (192,743) | (3,157,110) |
Net decrease | (2,065) | $(51,762) | (61,147) | $(945,699) |
Series NAV shares | ||||
Sold | 545,280 | $11,348,036 | 1,487,526 | $25,201,951 |
Distributions reinvested | — | — | 875,406 | 14,838,122 |
Repurchased | (841,344) | (17,217,286) | (2,644,943) | (45,231,553) |
Net decrease | (296,064) | $(5,869,250) | (282,011) | $(5,191,480) |
Total net decrease | (393,578) | $(7,833,893) | (1,511,434) | $(24,807,678) |
International Small Company Trust | Six Months Ended 6-30-21 | Year Ended 12-31-20 | ||
Shares | Amount | Shares | Amount | |
Series I shares | ||||
Sold | 21,395 | $355,480 | 39,450 | $474,755 |
Distributions reinvested | — | — | 100,036 | 1,259,454 |
Repurchased | (159,155) | (2,509,728) | (257,699) | (3,259,266) |
Net decrease | (137,760) | $(2,154,248) | (118,213) | $(1,525,057) |
Series II shares | ||||
Sold | 36,536 | $584,484 | 89,275 | $1,185,643 |
Distributions reinvested | — | — | 52,312 | 658,088 |
Repurchased | (107,932) | (1,733,477) | (164,676) | (2,044,024) |
Net decrease | (71,396) | $(1,148,993) | (23,089) | $(200,293) |
Series NAV shares | ||||
Sold | 581,025 | $9,306,638 | 573,793 | $6,819,431 |
Distributions reinvested | — | — | 284,133 | 3,580,074 |
Repurchased | (451,969) | (7,181,182) | (849,215) | (10,833,196) |
Net increase (decrease) | 129,056 | $2,125,456 | 8,711 | $(433,691) |
Total net decrease | (80,100) | $(1,177,785) | (132,591) | $(2,159,041) |
Lifestyle Balanced Portfolio | Six Months Ended 6-30-21 | Year Ended 12-31-20 | ||
Shares | Amount | Shares | Amount | |
Series I shares | ||||
Sold | 233,541 | $3,920,314 | 359,279 | $5,657,155 |
Distributions reinvested | — | — | 139,133 | 2,212,734 |
Repurchased | (348,987) | (5,855,836) | (434,863) | (6,537,668) |
Net increase (decrease) | (115,446) | $(1,935,522) | 63,549 | $1,332,221 |
Series II shares | ||||
Sold | 2,105,338 | $35,319,837 | 8,138,103 | $124,512,209 |
Distributions reinvested | — | — | 3,147,016 | 50,051,972 |
Repurchased | (2,627,112) | (44,403,873) | (8,461,923) | (122,726,712) |
Net increase (decrease) | (521,774) | $(9,084,036) | 2,823,196 | $51,837,469 |
Lifestyle Balanced Portfolio, Cont'd | Six Months Ended 6-30-21 | Year Ended 12-31-20 | ||
Shares | Amount | Shares | Amount | |
Series NAV shares | ||||
Sold | 703,628 | $11,882,665 | 942,803 | $14,741,841 |
Distributions reinvested | — | — | 470,145 | 7,473,357 |
Repurchased | (209,607) | (3,514,191) | (456,097) | (7,109,453) |
Net increase | 494,021 | $8,368,474 | 956,851 | $15,105,745 |
Total net increase (decrease) | (143,199) | $(2,651,084) | 3,843,596 | $68,275,435 |
Lifestyle Conservative Portfolio | Six Months Ended 6-30-21 | Year Ended 12-31-20 | ||
Shares | Amount | Shares | Amount | |
Series I shares | ||||
Sold | 319,061 | $4,604,533 | 520,129 | $7,319,025 |
Distributions reinvested | — | — | 53,824 | 771,879 |
Repurchased | (196,700) | (2,835,945) | (334,619) | (4,659,629) |
Net increase | 122,361 | $1,768,588 | 239,334 | $3,431,275 |
Series II shares | ||||
Sold | 1,253,834 | $18,106,248 | 4,057,176 | $56,829,785 |
Distributions reinvested | — | — | 659,031 | 9,455,527 |
Repurchased | (1,608,013) | (23,222,755) | (2,705,610) | (38,146,901) |
Net increase (decrease) | (354,179) | $(5,116,507) | 2,010,597 | $28,138,411 |
Series NAV shares | ||||
Sold | 171,184 | $2,464,267 | 524,681 | $7,533,847 |
Distributions reinvested | — | — | 28,676 | 411,202 |
Repurchased | (118,715) | (1,700,955) | (237,820) | (3,399,644) |
Net increase | 52,469 | $763,312 | 315,537 | $4,545,405 |
Total net increase (decrease) | (179,349) | $(2,584,607) | 2,565,468 | $36,115,091 |
Lifestyle Growth Portfolio | Six Months Ended 6-30-21 | Year Ended 12-31-20 | ||
Shares | Amount | Shares | Amount | |
Series I shares | ||||
Sold | 274,956 | $5,160,600 | 478,268 | $7,983,782 |
Issued in reorganization (Note 13) | 170,489 | 3,248,951 | — | — |
Distributions reinvested | — | — | 988,609 | 16,683,731 |
Repurchased | (762,965) | (14,146,317) | (1,437,751) | (23,610,633) |
Net increase (decrease) | (317,520) | $(5,736,766) | 29,126 | $1,056,880 |
Series II shares | ||||
Sold | 184,130 | $3,105,863 | 6,116,415 | $101,042,598 |
Issued in reorganization (Note 13) | 866,692 | 16,521,890 | — | — |
Distributions reinvested | — | — | 23,030,720 | 388,074,250 |
Repurchased | (23,645,656) | (444,264,749) | (43,922,767) | (716,089,958) |
Net decrease | (22,594,834) | $(424,636,996) | (14,775,632) | $(226,973,110) |
Series NAV shares | ||||
Sold | 1,428,461 | $27,056,177 | 1,568,699 | $26,088,516 |
Issued in reorganization (Note 13) | 1,012,011 | 19,278,479 | — | — |
Distributions reinvested | — | — | 1,997,743 | 33,722,560 |
Repurchased | (808,980) | (15,406,315) | (1,243,416) | (20,476,111) |
Net increase | 1,631,492 | $30,928,341 | 2,323,026 | $39,334,965 |
Total net decrease | (21,280,862) | $(399,445,421) | (12,423,480) | $(186,581,265) |
Lifestyle Moderate Portfolio | Six Months Ended 6-30-21 | Year Ended 12-31-20 | ||
Shares | Amount | Shares | Amount | |
Series I shares | ||||
Sold | 186,024 | $2,970,576 | 204,658 | $3,075,944 |
Distributions reinvested | — | — | 48,127 | 741,472 |
Repurchased | (129,963) | (2,089,657) | (152,179) | (2,217,252) |
Net increase | 56,061 | $880,919 | 100,606 | $1,600,164 |
Series II shares | ||||
Sold | 688,031 | $11,043,015 | 3,415,787 | $51,266,722 |
Distributions reinvested | — | — | 1,006,770 | 15,517,113 |
Repurchased | (1,436,779) | (23,029,559) | (3,072,543) | (43,987,991) |
Net increase (decrease) | (748,748) | $(11,986,544) | 1,350,014 | $22,795,844 |
Lifestyle Moderate Portfolio, Cont'd | Six Months Ended 6-30-21 | Year Ended 12-31-20 | ||
Shares | Amount | Shares | Amount | |
Series NAV shares | ||||
Sold | 412,754 | $6,577,879 | 419,117 | $6,367,573 |
Distributions reinvested | — | — | 120,007 | 1,848,646 |
Repurchased | (130,507) | (2,077,174) | (339,395) | (5,021,374) |
Net increase | 282,247 | $4,500,705 | 199,729 | $3,194,845 |
Total net increase (decrease) | (410,440) | $(6,604,920) | 1,650,349 | $27,590,853 |
Mid Cap Index Trust | Six Months Ended 6-30-21 | Year Ended 12-31-20 | ||
Shares | Amount | Shares | Amount | |
Series I shares | ||||
Sold | 1,127,548 | $27,632,176 | 612,824 | $10,117,174 |
Distributions reinvested | — | — | 5,773,435 | 105,191,983 |
Repurchased | (3,557,022) | (85,543,694) | (8,678,002) | (167,035,907) |
Net decrease | (2,429,474) | $(57,911,518) | (2,291,743) | $(51,726,750) |
Series II shares | ||||
Sold | 39,545 | $964,073 | 44,091 | $694,714 |
Distributions reinvested | — | — | 383,728 | 6,949,314 |
Repurchased | (183,378) | (4,384,331) | (562,204) | (10,661,059) |
Net decrease | (143,833) | $(3,420,258) | (134,385) | $(3,017,031) |
Series NAV shares | ||||
Sold | 1,429,102 | $34,875,648 | 1,980,024 | $37,546,279 |
Distributions reinvested | — | — | 1,338,404 | 24,385,729 |
Repurchased | (1,307,220) | (31,150,273) | (2,646,056) | (52,461,826) |
Net increase | 121,882 | $3,725,375 | 672,372 | $9,470,182 |
Total net decrease | (2,451,425) | $(57,606,401) | (1,753,756) | $(45,273,599) |
Mid Cap Stock Trust | Six Months Ended 6-30-21 | Year Ended 12-31-20 | ||
Shares | Amount | Shares | Amount | |
Series I shares | ||||
Sold | 52,244 | $1,451,302 | 98,756 | $2,052,636 |
Distributions reinvested | — | — | 1,136,605 | 26,323,767 |
Repurchased | (693,449) | (18,875,573) | (1,579,565) | (34,220,879) |
Net decrease | (641,205) | $(17,424,271) | (344,204) | $(5,844,476) |
Series II shares | ||||
Sold | 33,026 | $836,608 | 166,453 | $3,272,229 |
Distributions reinvested | — | — | 694,907 | 14,718,135 |
Repurchased | (620,134) | (15,341,352) | (982,712) | (19,296,684) |
Net decrease | (587,108) | $(14,504,744) | (121,352) | $(1,306,320) |
Series NAV shares | ||||
Sold | 883,237 | $24,125,398 | 2,745,766 | $52,818,802 |
Distributions reinvested | — | — | 2,903,582 | 68,553,560 |
Repurchased | (3,068,571) | (86,000,543) | (11,001,058) | (226,547,696) |
Net decrease | (2,185,334) | $(61,875,145) | (5,351,710) | $(105,175,334) |
Total net decrease | (3,413,647) | $(93,804,160) | (5,817,266) | $(112,326,130) |
Mid Value Trust | Six Months Ended 6-30-21 | Year Ended 12-31-20 | ||
Shares | Amount | Shares | Amount | |
Series I shares | ||||
Sold | 1,864,597 | $22,157,441 | 447,317 | $4,046,977 |
Distributions reinvested | — | — | 855,678 | 7,529,965 |
Repurchased | (1,580,753) | (18,403,645) | (5,297,461) | (46,155,571) |
Net increase (decrease) | 283,844 | $3,753,796 | (3,994,466) | $(34,578,629) |
Series II shares | ||||
Sold | 576,239 | $7,027,207 | 76,233 | $596,114 |
Distributions reinvested | — | — | 181,778 | 1,603,282 |
Repurchased | (554,962) | (6,553,247) | (792,572) | (6,794,326) |
Net increase (decrease) | 21,277 | $473,960 | (534,561) | $(4,594,930) |
Mid Value Trust, Cont'd | Six Months Ended 6-30-21 | Year Ended 12-31-20 | ||
Shares | Amount | Shares | Amount | |
Series NAV shares | ||||
Sold | 450,829 | $5,380,343 | 4,439,383 | $33,012,684 |
Distributions reinvested | — | — | 1,488,463 | 13,009,167 |
Repurchased | (4,823,676) | (56,454,165) | (11,448,285) | (97,593,630) |
Net decrease | (4,372,847) | $(51,073,822) | (5,520,439) | $(51,571,779) |
Total net decrease | (4,067,726) | $(46,846,066) | (10,049,466) | $(90,745,338) |
Real Estate Securities Trust | Six Months Ended 6-30-21 | Year Ended 12-31-20 | ||
Shares | Amount | Shares | Amount | |
Series I shares | ||||
Sold | 26,412 | $610,184 | 123,621 | $2,813,924 |
Distributions reinvested | — | — | 476,394 | 8,384,536 |
Repurchased | (217,283) | (4,529,989) | (478,981) | (9,519,121) |
Net increase (decrease) | (190,871) | $(3,919,805) | 121,034 | $1,679,339 |
Series II shares | ||||
Sold | 88,130 | $2,023,296 | 106,885 | $2,137,414 |
Distributions reinvested | — | — | 253,148 | 4,452,874 |
Repurchased | (149,705) | (3,191,563) | (380,052) | (7,521,677) |
Net decrease | (61,575) | $(1,168,267) | (20,019) | $(931,389) |
Series NAV shares | ||||
Sold | 140,374 | $3,042,245 | 603,549 | $11,525,082 |
Distributions reinvested | — | — | 1,741,969 | 30,449,623 |
Repurchased | (456,406) | (9,613,498) | (1,612,099) | (33,721,171) |
Net increase (decrease) | (316,032) | $(6,571,253) | 733,419 | $8,253,534 |
Total net increase (decrease) | (568,478) | $(11,659,325) | 834,434 | $9,001,484 |
Science & Technology Trust | Six Months Ended 6-30-21 | Year Ended 12-31-20 | ||
Shares | Amount | Shares | Amount | |
Series I shares | ||||
Sold | 343,019 | $15,236,683 | 2,182,944 | $74,009,543 |
Distributions reinvested | — | — | 2,221,111 | 80,848,453 |
Repurchased | (2,578,869) | (112,514,179) | (4,503,526) | (147,635,681) |
Net increase (decrease) | (2,235,850) | $(97,277,496) | (99,471) | $7,222,315 |
Series II shares | ||||
Sold | 119,454 | $4,862,007 | 427,671 | $13,551,802 |
Distributions reinvested | — | — | 222,328 | 7,556,916 |
Repurchased | (310,543) | (12,468,692) | (625,532) | (19,389,051) |
Net increase (decrease) | (191,089) | $(7,606,685) | 24,467 | $1,719,667 |
Series NAV shares | ||||
Sold | 137,912 | $6,146,556 | 692,480 | $24,440,429 |
Distributions reinvested | — | — | 317,019 | 11,723,380 |
Repurchased | (137,993) | (6,154,175) | (571,759) | (19,249,000) |
Net increase (decrease) | (81) | $(7,619) | 437,740 | $16,914,809 |
Total net increase (decrease) | (2,427,020) | $(104,891,800) | 362,736 | $25,856,791 |
Small Cap Index Trust | Six Months Ended 6-30-21 | Year Ended 12-31-20 | ||
Shares | Amount | Shares | Amount | |
Series I shares | ||||
Sold | 2,373,781 | $44,247,503 | 1,435,525 | $18,707,386 |
Distributions reinvested | — | — | 2,233,603 | 29,595,245 |
Repurchased | (2,115,086) | (38,869,951) | (4,578,414) | (60,901,980) |
Net increase (decrease) | 258,695 | $5,377,552 | (909,286) | $(12,599,349) |
Series II shares | ||||
Sold | 82,248 | $1,511,625 | 60,163 | $688,288 |
Distributions reinvested | — | — | 191,866 | 2,524,960 |
Repurchased | (202,818) | (3,718,208) | (381,841) | (5,281,043) |
Net decrease | (120,570) | $(2,206,583) | (129,812) | $(2,067,795) |
Small Cap Index Trust, Cont'd | Six Months Ended 6-30-21 | Year Ended 12-31-20 | ||
Shares | Amount | Shares | Amount | |
Series NAV shares | ||||
Sold | 1,178,328 | $21,802,579 | 1,410,892 | $18,063,257 |
Distributions reinvested | — | — | 947,659 | 12,565,960 |
Repurchased | (1,279,176) | (23,211,278) | (4,136,301) | (59,821,934) |
Net decrease | (100,848) | $(1,408,699) | (1,777,750) | $(29,192,717) |
Total net increase (decrease) | 37,277 | $1,762,270 | (2,816,848) | $(43,859,861) |
Small Cap Opportunities Trust | Six Months Ended 6-30-21 | Year Ended 12-31-20 | ||
Shares | Amount | Shares | Amount | |
Series I shares | ||||
Sold | 48,725 | $1,520,412 | 44,823 | $837,166 |
Distributions reinvested | — | — | 203,462 | 4,400,886 |
Repurchased | (235,484) | (7,264,870) | (386,450) | (8,505,166) |
Net decrease | (186,759) | $(5,744,458) | (138,165) | $(3,267,114) |
Series II shares | ||||
Sold | 157,138 | $4,846,728 | 49,408 | $908,419 |
Distributions reinvested | — | — | 77,598 | 1,638,867 |
Repurchased | (151,847) | (4,628,353) | (212,108) | (4,685,305) |
Net increase (decrease) | 5,291 | $218,375 | (85,102) | $(2,138,019) |
Series NAV shares | ||||
Sold | 540,825 | $17,447,346 | 177,026 | $3,606,736 |
Distributions reinvested | — | — | 74,320 | 1,594,913 |
Repurchased | (596,947) | (18,996,136) | (120,645) | (2,682,580) |
Net increase (decrease) | (56,122) | $(1,548,790) | 130,701 | $2,519,069 |
Total net decrease | (237,590) | $(7,074,873) | (92,566) | $(2,886,064) |
Small Cap Stock Trust | Six Months Ended 6-30-21 | Year Ended 12-31-20 | ||
Shares | Amount | Shares | Amount | |
Series I shares | ||||
Sold | 1,033,203 | $13,077,081 | 1,964,872 | $19,501,951 |
Distributions reinvested | — | — | 1,254,833 | 12,335,008 |
Repurchased | (2,154,931) | (26,747,976) | (2,805,463) | (24,221,348) |
Net increase (decrease) | (1,121,728) | $(13,670,895) | 414,242 | $7,615,611 |
Series II shares | ||||
Sold | 155,628 | $1,793,926 | 256,688 | $2,254,350 |
Distributions reinvested | — | — | 484,559 | 4,351,340 |
Repurchased | (561,926) | (6,329,996) | (1,074,533) | (8,912,272) |
Net decrease | (406,298) | $(4,536,070) | (333,286) | $(2,306,582) |
Series NAV shares | ||||
Sold | 2,931,521 | $38,803,452 | 1,335,450 | $13,980,624 |
Distributions reinvested | — | — | 2,350,557 | 23,599,592 |
Repurchased | (3,176,114) | (38,921,815) | (2,877,928) | (26,311,259) |
Net increase (decrease) | (244,593) | $(118,363) | 808,079 | $11,268,957 |
Total net increase (decrease) | (1,772,619) | $(18,325,328) | 889,035 | $16,577,986 |
Small Cap Value Trust | Six Months Ended 6-30-21 | Year Ended 12-31-20 | ||
Shares | Amount | Shares | Amount | |
Series I shares | ||||
Sold | 765,726 | $13,288,111 | 575,380 | $7,511,713 |
Distributions reinvested | — | — | 1,595,451 | 19,033,726 |
Repurchased | (1,288,963) | (21,558,747) | (2,791,403) | (38,320,748) |
Net decrease | (523,237) | $(8,270,636) | (620,572) | $(11,775,309) |
Series II shares | ||||
Sold | 358,867 | $6,135,501 | 210,747 | $2,684,744 |
Distributions reinvested | — | — | 209,719 | 2,483,074 |
Repurchased | (287,292) | (4,884,274) | (394,590) | (5,369,034) |
Net increase (decrease) | 71,575 | $1,251,227 | 25,876 | $(201,216) |
Small Cap Value Trust, Cont'd | Six Months Ended 6-30-21 | Year Ended 12-31-20 | ||
Shares | Amount | Shares | Amount | |
Series NAV shares | ||||
Sold | 1,534,601 | $24,948,031 | 7,518,846 | $96,121,210 |
Distributions reinvested | — | — | 2,352,828 | 27,951,600 |
Repurchased | (2,522,692) | (43,976,394) | (4,435,738) | (57,635,557) |
Net increase (decrease) | (988,091) | $(19,028,363) | 5,435,936 | $66,437,253 |
Total net increase (decrease) | (1,439,753) | $(26,047,772) | 4,841,240 | $54,460,728 |
Small Company Value Trust | Six Months Ended 6-30-21 | Year Ended 12-31-20 | ||
Shares | Amount | Shares | Amount | |
Series I shares | ||||
Sold | 220,429 | $2,698,033 | 131,706 | $1,136,409 |
Distributions reinvested | — | — | 354,922 | 3,126,866 |
Repurchased | (351,876) | (4,167,966) | (784,978) | (7,120,221) |
Net decrease | (131,447) | $(1,469,933) | (298,350) | $(2,856,946) |
Series II shares | ||||
Sold | 65,588 | $762,303 | 81,940 | $587,391 |
Distributions reinvested | — | — | 303,681 | 2,547,886 |
Repurchased | (390,854) | (4,420,808) | (684,570) | (5,809,205) |
Net decrease | (325,266) | $(3,658,505) | (298,949) | $(2,673,928) |
Series NAV shares | ||||
Sold | 306,648 | $3,649,644 | 1,101,417 | $8,710,384 |
Distributions reinvested | — | — | 386,010 | 3,377,586 |
Repurchased | (390,909) | (4,600,160) | (373,545) | (3,383,568) |
Net increase (decrease) | (84,261) | $(950,516) | 1,113,882 | $8,704,402 |
Total net increase (decrease) | (540,974) | $(6,078,954) | 516,583 | $3,173,528 |
Strategic Equity Allocation Trust | Six Months Ended 6-30-21 | Year Ended 12-31-20 | ||
Shares | Amount | Shares | Amount | |
Series NAV shares | ||||
Sold | 35,068 | $769,445 | 21,176,427 | $346,232,324 |
Distributions reinvested | — | — | 44,896,942 | 831,491,357 |
Repurchased | (55,234,313) | (1,242,201,603) | (100,319,007) | (1,907,703,990) |
Net decrease | (55,199,245) | $(1,241,432,158) | (34,245,638) | $(729,980,309) |
Total net decrease | (55,199,245) | $(1,241,432,158) | (34,245,638) | $(729,980,309) |
Total Stock Market Index Trust | Six Months Ended 6-30-21 | Year Ended 12-31-20 | ||
Shares | Amount | Shares | Amount | |
Series I shares | ||||
Sold | 692,586 | $19,668,299 | 1,177,504 | $27,244,563 |
Distributions reinvested | — | — | 2,159,217 | 50,331,351 |
Repurchased | (1,457,845) | (41,482,855) | (4,279,332) | (100,050,186) |
Net decrease | (765,259) | $(21,814,556) | (942,611) | $(22,474,272) |
Series II shares | ||||
Sold | 75,917 | $2,130,532 | 41,003 | $921,078 |
Distributions reinvested | — | — | 177,421 | 4,117,933 |
Repurchased | (122,086) | (3,434,330) | (205,885) | (4,918,636) |
Net increase (decrease) | (46,169) | $(1,303,798) | 12,539 | $120,375 |
Series NAV shares | ||||
Sold | 110,309 | $3,083,652 | 809,667 | $18,270,330 |
Distributions reinvested | — | — | 853,927 | 19,905,047 |
Repurchased | (307,754) | (8,658,023) | (1,121,765) | (26,860,314) |
Net increase (decrease) | (197,445) | $(5,574,371) | 541,829 | $11,315,063 |
Total net decrease | (1,008,873) | $(28,692,725) | (388,243) | $(11,038,834) |
Portfolio | Purchases | Sales |
500 Index Trust | $58,374,667 | $53,684,597 |
American Asset Allocation Trust | 53,037,280 | 114,313,247 |
American Global Growth Trust | 16,709,958 | 21,360,689 |
American Growth Trust | 141,633,805 | 85,030,435 |
American Growth-Income Trust | 15,499,998 | 94,455,936 |
American International Trust | 9,345,601 | 45,389,823 |
Blue Chip Growth Trust | 379,176,827 | 564,043,217 |
Capital Appreciation Trust | 172,209,710 | 215,754,041 |
Capital Appreciation Value Trust | 132,974,269 | 136,515,548 |
Disciplined Value International Trust | 110,619,399 | 120,944,627 |
Emerging Markets Value Trust | 25,197,973 | 27,612,168 |
Equity Income Trust | 207,698,022 | 286,198,473 |
Financial Industries Trust | 68,023,898 | 53,185,540 |
Fundamental All Cap Core Trust | 114,336,574 | 192,328,044 |
Fundamental Large Cap Value Trust | 155,349,486 | 170,394,235 |
Global Equity Trust | 140,241,311 | 163,511,354 |
Health Sciences Trust | 46,623,699 | 61,697,794 |
International Equity Index Trust | 20,049,052 | 25,959,172 |
International Small Company Trust | 16,348,790 | 16,319,657 |
Lifestyle Balanced Portfolio | 51,355,607 | 55,574,553 |
Lifestyle Conservative Portfolio | 22,115,166 | 25,031,052 |
Lifestyle Growth Portfolio | 135,070,590 | 582,380,152 |
Lifestyle Moderate Portfolio | 19,136,879 | 26,238,216 |
Mid Cap Index Trust | 115,922,459 | 230,031,421 |
Mid Cap Stock Trust | 377,765,626 | 457,209,881 |
Mid Value Trust | 96,299,572 | 177,755,794 |
Real Estate Securities Trust | 141,028,425 | 145,730,081 |
Science & Technology Trust | 543,344,947 | 655,998,709 |
Small Cap Index Trust | 104,086,581 | 115,385,932 |
Small Cap Opportunities Trust | 33,155,232 | 40,196,648 |
Small Cap Stock Trust | 296,310,820 | 305,171,365 |
Small Cap Value Trust | 79,094,576 | 105,215,692 |
Small Company Value Trust | 22,711,926 | 30,792,589 |
Strategic Equity Allocation Trust | 258,662,963 | 1,562,033,575 |
Total Stock Market Index Trust | 17,111,913 | 62,968,004 |
Portfolio | Affiliated Class NAV | Percentage of underlying fund net assets |
Lifestyle Balanced Portfolio | Select Bond Trust | 7.5% |
Strategic Equity Allocation Trust | 6.5% | |
Lifestyle Growth Portfolio | Strategic Equity Allocation Trust | 48.4% |
Select Bond Trust | 24.0% |
Dividends and distributions | |||||||||
Affiliate | Ending share amount | Beginning value | Cost of purchases | Proceeds from shares sold | Realized gain (loss) | Change in unrealized appreciation (depreciation) | Income distributions received | Capital gain distributions received | Ending value |
500 Index Trust | |||||||||
John Hancock Collateral Trust* | 103,598 | $5,359,566 | $14,675,790 | $(18,998,552) | $(998) | $649 | $22,294 | — | $1,036,455 |
Dividends and distributions | |||||||||
Affiliate | Ending share amount | Beginning value | Cost of purchases | Proceeds from shares sold | Realized gain (loss) | Change in unrealized appreciation (depreciation) | Income distributions received | Capital gain distributions received | Ending value |
Blue Chip Growth Trust | |||||||||
John Hancock Collateral Trust* | 615,495 | $675,961 | $37,832,167 | $(32,349,907) | $(209) | $(232) | $8,833 | — | $6,157,780 |
Capital Appreciation Trust | |||||||||
John Hancock Collateral Trust* | — | $11,474,585 | $22,391,223 | $(33,866,107) | $(647) | $946 | $300 | — | — |
Capital Appreciation Value Trust | |||||||||
John Hancock Collateral Trust* | — | $140,752 | $3,869,246 | $(4,009,990) | $(15) | $7 | — | — | — |
Disciplined Value International Trust | |||||||||
John Hancock Collateral Trust* | 953,970 | $1,737,079 | $62,192,533 | $(54,384,833) | $(623) | $(71) | $55,445 | — | $9,544,085 |
Emerging Markets Value Trust | |||||||||
John Hancock Collateral Trust* | 254,590 | $3,968,006 | $14,688,344 | $(16,108,678) | $(733) | $131 | $46,718 | — | $2,547,070 |
Equity Income Trust | |||||||||
John Hancock Collateral Trust* | 662,848 | $9,267,717 | $57,579,004 | $(60,213,788) | $(1,655) | $250 | $14,801 | — | $6,631,528 |
Financial Industries Trust | |||||||||
John Hancock Collateral Trust* | — | $191,525 | $359,550 | $(551,087) | $12 | — | $54 | — | — |
International Equity Index Trust | |||||||||
John Hancock Collateral Trust* | 737,106 | $20,951,501 | $76,144,414 | $(89,719,451) | $(3,984) | $1,967 | $64,670 | — | $7,374,447 |
International Small Company Trust | |||||||||
John Hancock Collateral Trust* | 197,422 | $7,803,195 | $8,480,651 | $(14,308,126) | $(1,951) | $1,363 | $52,493 | — | $1,975,132 |
Lifestyle Balanced Portfolio | |||||||||
Select Bond | 41,563,537 | $562,356,901 | $48,332,095 | $(5,207,549) | $286,946 | $(5,590,916) | — | — | $600,177,477 |
Strategic Equity Allocation | 25,293,976 | 574,703,440 | 3,023,512 | (50,367,003) | 12,643,608 | 60,728,384 | — | — | 600,731,941 |
$12,930,554 | $55,137,468 | — | — | $1,200,909,418 | |||||
Lifestyle Conservative Portfolio | |||||||||
Select Bond | 13,014,924 | $186,813,798 | $15,959,763 | $(12,958,131) | $447,505 | $(2,327,435) | — | — | $187,935,500 |
Strategic Equity Allocation | 1,976,707 | 46,859,783 | 6,155,403 | (12,072,920) | 1,972,567 | 4,031,969 | — | — | 46,946,802 |
$2,420,072 | $1,704,534 | — | — | $234,882,302 | |||||
Lifestyle Growth Portfolio | |||||||||
Select Bond | 133,813,508 | $1,805,768,365 | $146,557,985 | $(2,793,581) | $156,704 | $(17,422,415) | — | — | $1,932,267,058 |
Strategic Equity Allocation | 189,836,764 | 4,495,884,799 | 22,722,397 | (579,586,267) | 148,407,167 | 421,195,039 | — | — | 4,508,623,135 |
$148,563,871 | $403,772,624** | — | — | $6,440,890,193 | |||||
Lifestyle Moderate Portfolio | |||||||||
Select Bond | 15,192,726 | $212,440,006 | $17,473,252 | $(8,517,936) | $481,892 | $(2,494,254) | — | — | $219,382,960 |
Strategic Equity Allocation | 6,138,183 | 143,764,119 | 1,663,627 | (17,720,280) | 4,373,737 | 13,700,639 | — | — | 145,781,842 |
$4,855,629 | $11,206,385 | — | — | $365,164,802 | |||||
Mid Cap Index Trust | |||||||||
John Hancock Collateral Trust* | 609,581 | $7,178,283 | $32,279,375 | $(33,359,242) | $(263) | $462 | $6,149 | — | $6,098,615 |
Mid Cap Stock Trust | |||||||||
John Hancock Collateral Trust* | 2,996,018 | $7,783,323 | $168,756,873 | $(146,564,348) | $(1,673) | $(214) | $23,207 | — | $29,973,961 |
Mid Value Trust | |||||||||
John Hancock Collateral Trust* | 282,737 | $3,002,702 | $29,932,465 | $(30,106,147) | $(507) | $154 | $678 | — | $2,828,667 |
Science & Technology Trust | |||||||||
John Hancock Collateral Trust* | 969,251 | $9,895,989 | $76,306,611 | $(76,504,716) | $(932) | $19 | $21,580 | — | $9,696,971 |
Dividends and distributions | |||||||||
Affiliate | Ending share amount | Beginning value | Cost of purchases | Proceeds from shares sold | Realized gain (loss) | Change in unrealized appreciation (depreciation) | Income distributions received | Capital gain distributions received | Ending value |
Small Cap Index Trust | |||||||||
John Hancock Collateral Trust* | 569,583 | $9,853,849 | $47,473,941 | $(51,627,787) | $(2,653) | $1,096 | $111,318 | — | $5,698,446 |
Small Cap Opportunities Trust | |||||||||
John Hancock Collateral Trust* | 43,773 | $1,188,093 | $5,614,690 | $(6,364,765) | $(214) | $132 | $9,574 | — | $437,936 |
Small Cap Stock Trust | |||||||||
John Hancock Collateral Trust* | 923,740 | $19,198,246 | $79,257,598 | $(89,212,440) | $(2,781) | $1,027 | $64,275 | — | $9,241,650 |
Small Cap Value Trust | |||||||||
John Hancock Collateral Trust* | 21,812 | $884,316 | $2,720,452 | $(3,386,609) | $(1) | $65 | — | — | $218,223 |
Small Company Value Trust | |||||||||
John Hancock Collateral Trust* | 51,594 | $1,312,799 | $14,208,354 | $(15,004,775) | $(259) | $58 | $15,640 | — | $516,177 |
Strategic Equity Allocation Trust | |||||||||
John Hancock Collateral Trust* | 4,731,904 | $93,350,730 | $366,679,081 | $(412,684,637) | $(11,754) | $7,389 | $396,467 | — | $47,340,809 |
Total Stock Market Index Trust | |||||||||
John Hancock Collateral Trust* | 922,812 | $10,477,471 | $36,184,945 | $(37,429,079) | $(2,552) | $1,575 | $73,942 | — | $9,232,360 |
* | Refer to the Securities lending note within Note 2 for details regarding this investment. |
** | Includes unrealized appreciation of investments received in reorganization. See Reorganization note following. |
Dividends and distributions | |||||||||
Affiliate | Ending share amount | Beginning value | Cost of purchases | Proceeds from shares sold | Realized gain (loss) | Change in unrealized appreciation (depreciation) | Income distributions received | Capital gain distributions received | Ending value |
International Equity Index Trust | |||||||||
Manulife Financial Corp. | 66,100 | $1,224,228 | $27,664 | $(75,447) | $29,334 | $95,318 | $25,258 | — | $1,301,097 |
Portfolio | Affiliated Concentration |
Blue Chip Growth Trust | 27.8% |
Equity Income Trust | 47.3% |
Mid Cap Stock Trust | 21.2% |
Mid Value Trust | 33.1% |
Small Cap Value Trust | 27.1% |
Strategic Equity Allocation Trust | 100.0% |
Portfolio | Purchases | Sales |
Capital Appreciation Value Trust | $- | $427,135 |
Small Company Value Trust | - | 229,140 |
Issuer, Description | Original acquisition date | Acquisition cost | Beginning share amount | Shares purchased | Shares sold | Ending share amount | Value as a percentage of net assets | Ending value |
Health Sciences Trust | ||||||||
Acerta Pharma BV | 2-8-16 | $679,277 | 679,2771 | — | — | 679,277 | 0.2% | $679,277 |
Doximity, Inc., Class B | 4-10-14 | 152,390 | 63,2221 | — | — | 63,222 | 1.0% | 3,412,807 |
JAND, Inc., Class A | 4-23-15 | 170,752 | 14,867 | — | — | 14,867 | 0.1% | 364,696 |
JAND, Inc., Series D | 4-23-15 | 381,289 | 33,198 | — | — | 33,198 | 0.2% | 814,367 |
$5,271,147 | ||||||||
Mid Cap Stock Trust | ||||||||
Coupang, Inc., A Shares | 11-20-14 | $3,902,615 | 707,162 | — | — | 707,162 | 2.9% | $28,723,276 |
Essence Group Holdings Corp. | 5-1-14 | 2,731,549 | 1,663,188 | — | — | 1,663,188 | 0.5% | 5,056,092 |
Lookout, Inc., Series F | 7-31-14 | 2,338,736 | 211,003 | — | — | 211,003 | 0.2% | 1,782,975 |
Payoneer, Inc. | 6-28-21 | 932,000 | — | 93,200 | — | 93,200 | 0.1% | 894,790 |
The Honest Company, Inc. | 8-20-14 | 2,080,622 | 159,7251 | — | — | 159,725 | 0.3% | 2,452,671 |
WeWork Companies, Inc., Series D1 | 12-8-14 | 1,983,758 | 92,333 | — | (48,210) | 44,123 | 0.0%2 | 378,077 |
WeWork Companies, Inc., Series D2 | 12-8-14 | 1,700,068 | 81,039 | — | — | 81,039 | 0.1% | 694,400 |
$39,982,281 | ||||||||
Science & Technology Trust | ||||||||
DiDi Chuxing, Inc. | 10-19-15 | $260,905 | 9,513 | — | — | 9,513 | 0.0%2 | $497,701 |
Small Cap Stock Trust | ||||||||
Latch, Inc. | 6-7-21 | $2,713,180 | — | 271,318 | — | 271,318 | 0.7% | $3,115,456 |
Payoneer, Inc. | 6-28-21 | 474,000 | — | 47,400 | — | 47,400 | 0.1% | 455,076 |
Porch.com, Inc. | 12-24-20 | 1,483,790 | 216,863 | — | (68,484) | 148,379 | 0.7% | 2,791,670 |
The Honest Company, Inc. | 8-3-15 | 1,233,280 | 56,9761 | — | — | 56,976 | 0.2% | 874,909 |
$7,237,111 |
1 | Two-for-one stock split and/or share conversion. |
2 | 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 |
Lifestyle Growth Portfolio | Lifestyle Aggressive Portfolio | $39,049,320 | $4,861,895 | 2,670,510 | 2,049,192 | $6,517,387,239 | $6,556,436,559 |
The Agreement provided for (a) the acquisition of all the assets, subject to all of the liabilities, of the Acquired Portfolio in exchange for shares of the Acquiring Portfolio with a value equal to the net assets transferred; (b) the liquidation of the Acquired Portfolio; and (c) the distribution to Acquired Portfolio's shareholders of such Acquiring Portfolio’s shares. The reorganization was intended to achieve a more consistent long-term performance record and stronger prospects for growth and achieve potential opportunities for economies of scale. As a result of the reorganization, the Acquiring Portfolio is the legal and accounting survivor.
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 |
Global Equity Trust (formerly Global Trust) | Global Equity Trust | $144,970,081 | $19,686,904 | $25,577,990 | $7,506,500 | $170,945,040 | $315,915,121 |
Total Stock Market Index Trust are approximately $600,000, $30.5 million, $1.8 million, and $114,000, respectively. In addition, a group of Tribune creditors filed fifty three actions in various state and federal courts against former Tribune shareholders asserting state law constructive fraudulent conveyance claims arising out of the 2007 LBO (the “SLCFC Actions”). The FitzSimons Action and the SLCFC Actions have been consolidated with the other LBO-related lawsuits in a multidistrict litigation proceeding captioned in re Tribune Company Fraudulent Conveyance Litigation, No.11-md-2696 (S.D.N.Y.).
PROPOSAL PASSED ON APRIL 6, 2021. | |||||
SHARES VOTED | % OF SHARES VOTED | % OF OUTSTANDING SHARES | |||
For | 1,814,104.305 | 85.385% | 80.855% | ||
Against | 146,368.410 | 6.889% | 6.524% | ||
Abstain | 164,161.785 | 7.726% | 7.316% |
(The Funds that are not Participating Portfolios as of the date of this annual report are each of the funds of funds of the Trust and John Hancock Funds II and John Hancock Collateral Trust. These funds of funds also benefit from such overall management fee waiver through their investment in underlying portfolios that include certain of the Participating Portfolios, which are subject to the Reimbursement.)
(1) | information relating to the Subadvisor’s business, including current subadvisory services to the Trust (and other funds in the John Hancock group of funds); |
(2) | the historical and current performance of the fund and comparative performance information relating to the Fund’s benchmark and comparable funds based on the median percentile; |
(3) | the subadvisory fee for each Fund, including any breakpoints, and comparative fee information, where available, prepared by an independent third-party provider of fund data; and |
(4) | information relating to the nature and scope of any material relationships and their significance to the Trust’s Advisor and 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 based on the median percentile, with the exceptions noted in Appendix A (with respect to such exceptions, the Board considered the steps the Subadvisor had taken or plans to take to address performance and concluded that performance is being monitored and reasonably being 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 12/31/2020 | Fees and Expenses | Comments |
500 Index Trust(Manulife Investment Management (North America) Limited) | Benchmark Index – The Trust underperformed the benchmark index for the one-, three-, five- and ten-year periods.Broadridge Category – The Trust outperformed the peer group median for the one-, three-, five- and ten-year periods. | The 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 for the one-, three-, five-and ten-year periods relative to the benchmark index.The Board noted the Trust’s favorable performance relative to the peer group median for the one-, three-, five- and ten-year periods.The Board also noted the Trust’s low performance dispersion relative to its benchmark index.The Board took into account management’s discussion of the Trust’s expenses. The Board noted the Trust’s total net expenses are lower than the peer group median. |
Blue Chip Growth Trust(T. Rowe Price Associates, Inc.) | Benchmark Index – The Trust outperformed the benchmark index for the one-, three-, five- and ten-year periods.Broadridge Category – The Trust underperformed the peer group median for the one- and three-year periods and outperformed the peer group median for the five- and ten-year periods. | The 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 performance for the one- and three-year periods relative to the peer group median.The Board noted the Trust’s favorable performance relative to the benchmark index for the one-, three-, five- and ten-year periods and to the peer group median for the five- and ten-year periods.The Board took into account management’s discussion of the Trust’s expenses. The Board noted the Trust’s total net expenses are lower than the peer group median. |
Capital Appreciation Trust(Jennison Associates LLC) | Benchmark Index – The Trust outperformed the benchmark index for the one-, three-, five- and ten-year periods.Broadridge Category – The Trust outperformed the peer group median for the one-, three-, five- and ten-year periods. | Limited comparative subadviser fee data was provided due to the limited number of Broadridge peer funds.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 median for the one-, three-, five- and ten-year periods.The Board took into account management’s discussion of the Trust’s expenses. The Board noted the Trust’s total net expenses are lower than the peer group median. |
Portfolio (Subadviser) | Performance as of 12/31/2020 | Fees and Expenses | Comments |
Capital Appreciation Value Trust(T. Rowe Price Associates, Inc.) | Benchmark Index – The Trust outperformed the benchmark index for the one-, three-, five- and ten-year periods.Broadridge Category – The Trust outperformed the peer group median for the one-, three-, five- and ten-year periods. | The 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 noted the Trust’s favorable performance relative to the benchmark index and to the peer group median for the one-, three-, five- and ten-year periods.The Board took into account management’s discussion of the Trust’s expenses. |
Disciplined Value International Trust(Boston Partners Global Investors, Inc.) | Benchmark Index – The Trust underperformed the benchmark index for the one-, three-, five- and ten-year periods.Broadridge Category – The Trust outperformed the peer group median for the one- and five-year periods and underperformed the peer group median for the three- and ten-year periods. | The 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 performance for the one-, three-, five- and ten- periods relative to the benchmark index and to the peer group median for the three- and ten-year periods.The Board noted the Trust’s favorable performance relative to the peer group median 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 total net expenses are lower than the peer group median.The Board noted that the Trust outperformed its Morningstar peer group and benchmark index for the year-to-date period ended April 30, 2021. |
Emerging Markets Value Trust(Dimensional Fund Advisors LP) | Benchmark Index – The Trust underperformed the benchmark index for the one-, three-, five- and ten-year periods.Broadridge Category – The Trust underperformed the peer group median for the one-, three-, five- and ten-year periods. | The subadviser fees for this Trust are lower 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 to the peer group median. | The Board took into account management’s discussion of the factors that contributed to the Trust’s performance for the one-, three-, five- and ten-year periods relative to the benchmark index and to the peer group median including the impact of past and current market conditions on the Trust’s strategy and management’s plans for the Trust.The Board noted that the Trust outperformed its Morningstar peer group and benchmark index for the year-to-date period ended April 30, 2021.The Board took into account management’s discussion of the Trust’s expenses. |
Portfolio (Subadviser) | Performance as of 12/31/2020 | Fees and Expenses | Comments |
Equity Income Trust(T. Rowe Price Associates, Inc.) | Benchmark Index – The Trust underperformed the benchmark index for the one-, three- and ten-year periods and outperformed the benchmark index for the five-year period.Broadridge Category – The Trust underperformed the peer group median for the one-, three- and ten-year periods and outperformed the peer group median for the five-year period. | Limited comparative subadviser fee data was provided due to the limited number of Broadridge peer funds.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 for the one-, three- and ten-year periods relative to the benchmark index and to the peer group median including the impact of past and current market conditions on the Fund’s strategy and management’s outlook for the Fund.The Board noted the Trust’s favorable performance relative to the benchmark index and to the peer group median for the five-year period.The Board noted that the Trust outperformed its Morningstar peer group and benchmark index for the year-to-date period ended April 30, 2021.The Board took into account management’s discussion of the Trust’s expenses. The Board noted the Trust’s total net expenses are lower than the peer group median. |
Financial Industries Trust(Manulife Investment Management (US) LLC) | Benchmark Index – The Trust outperformed the benchmark index for the one- and three-year periods and underperformed the benchmark index for the five- and ten-year periods.Broadridge Category – The Trust outperformed the peer group median for the one-, three- and five-year periods and underperformed the peer group median for the ten-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 performance for the five- and ten-year periods relative to the benchmark index and to the peer group median for the ten-year period.The Board noted the Trust’s favorable performance relative to the benchmark index for the one- and three-year periods and to the peer group median for the one-, three- and five-year periods.The Board took into account management’s discussion of the Trust’s expenses. |
Portfolio (Subadviser) | Performance as of 12/31/2020 | Fees and Expenses | Comments |
Fundamental All Cap Core Trust(Manulife Investment Management (US) LLC) | Benchmark Index – The Trust outperformed the benchmark index for the one-, three-, five- and ten-year periods.Broadridge Category – The Trust underperformed the peer group median for the one-, three-, five- and ten-year periods. | The 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 performance for the one-, three-, five- and ten-year periods relative to the peer group.The Board noted the Trust’s favorable performance relative to the benchmark index for the one-, three-, five- and ten-year periods.The Board noted that the Trust outperformed its Morningstar peer group and benchmark index for the year-to-date period ended April 30, 2021.The Board took into account management’s discussion of the Trust’s expenses. The Board noted the Trust’s total net expenses are lower than the peer group median. |
Fundamental Large Cap Value Trust(Manulife Investment Management (US) LLC) | Benchmark Index – The Trust outperformed the benchmark index for the one-, three-, five- and ten-year periods.Broadridge Category – The Trust outperformed the peer group median for the one-, three-, five- and ten-year periods. | Limited comparative subadviser fee data was provided due to the limited number of Broadridge peer funds.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 median for the one-, three-, five- and ten-year periods.The Board took into account management’s discussion of the Trust’s expenses. The Board noted the Trust’s total net expenses are lower than the peer group median. |
Global Equity Trust (formerly Global Trust)(Manulife Investment Management (US) LLC) | Benchmark Index – The Trust underperformed the benchmark index for the one-, three-, five- and ten-year periods.Broadridge Category – The Trust underperformed the peer group median for the one-, three-, five- and ten-year periods. | Limited comparative subadviser fee data was provided due to the limited number of Broadridge peer funds.Net management fees for this Trust are higher than the peer group median.Net total expenses for this Trust are equal to the peer group median. | The Board took into account management’s discussion of the factors that contributed to the Trust’s performance for the one-, three-, five- and ten-year periods relative to the benchmark index and to the peer group median including the impact of past and current market conditions on the Fund’s strategy and management’s outlook for the Fund.The Board took into account management’s discussion of the Trust’s expenses. The Board noted the Trust’s total net expenses are equal to the peer group median. |
Portfolio (Subadviser) | Performance as of 12/31/2020 | Fees and Expenses | Comments |
Health Sciences Trust(T. Rowe Price Associates, Inc.) | Benchmark Index – The Trust underperformed the benchmark index for the one-, three- and five-year periods and outperformed the index for the ten-year period.Broadridge Category – The Trust outperformed the peer group median for the one-, three-, five- and ten-year periods. | Limited comparative subadviser fee data was provided due to the limited number of Broadridge peer funds.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 performance for the one-, three- and five-year periods relative to the benchmark index.The Board noted the Trust’s favorable performance relative to the benchmark index for the ten-year period and to the peer group median for the one-, three-, five- and ten-year periods.The Board noted that the Trust outperformed its benchmark index for the year-to-date period ended April 30, 2021.The Board took into account management’s discussion of the Trust’s expenses. |
International Equity Index Trust(SSGA Funds Management, Inc.) | Benchmark Index – The Trust underperformed the benchmark index for the one- and ten-year periods and equaled the benchmark index for the three- and five-year periods.Broadridge Category – The Trust outperformed the peer group median for the one-, three- and five-year periods and underperformed the peer group median for the ten-year period. | 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 performance for the one- and ten-year periods relative to the benchmark index and to the peer group median for the ten-year period.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 median for the one-, three- and five-year periods.The Board also noted the Trust’s low performance dispersion relative to its benchmark index.The Board noted the Trust’s net management fees and net total expenses are lower than the peer group |
Portfolio (Subadviser) | Performance as of 12/31/2020 | Fees and Expenses | Comments |
International Small Company Trust(Dimensional Fund Advisors LP) | Benchmark Index – The Trust underperformed the benchmark index for the one-, three-, five- and ten-year periods.Broadridge Category – The Trust underperformed the peer group median for the one- and ten-year periods, and outperformed the peer group median for the three- and five-year periods. | Limited comparative subadviser fee data was provided due to the limited number of Broadridge peer funds.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 performance for the one-, three-, five- and ten-year periods relative to the benchmark index, and the one- and ten-year periods relative to the peer group median.The Board noted the Trust’s favorable performance relative to the peer group median for the three- and five-year periods.The Board noted that the Trust outperformed its benchmark index for the year-to-date period ended April 30, 2021.The Board took into account management’s discussion of the Trust’s expenses. |
Lifestyle Balanced Portfolio(Manulife Investment Management (US) LLC) | Benchmark Index – The Trust underperformed the benchmark index for the one-, three- and five-year periods.Broadridge Category – The Trust outperformed the peer group median for the one-, three- and five-year periods. | Limited comparative subadviser fee data was provided due to the limited number of Broadridge peer funds.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 performance for the one-, three- and five-year periods relative to the benchmark index.The Board noted the Trust’s favorable performance relative to the peer group median for the one-, three- and five-year periods.The Board noted that the Trust outperformed its Morningstar peer group and benchmark index for the year-to-date period ended April 30, 2021.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 12/31/2020 | Fees and Expenses | Comments |
Lifestyle Conservative Portfolio(Manulife Investment Management (US) 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 peer group median for the one-, three- and five-year periods. | Limited comparative subadviser fee data was provided due to the limited number of Broadridge peer funds.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 performance for the three- and five-year periods 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 median for the one-, three- and five-year periods.The Board noted that the Trust outperformed its benchmark index for the year-to-date period ended April 30, 2021.The Board noted the Trust’s net management fees and net total expenses are lower than the peer group median. |
Lifestyle Growth Portfolio(Manulife Investment Management (US) LLC) | Benchmark Index – The Trust underperformed the benchmark index for the one-, three- and five-year periods.Broadridge Category – The Trust outperformed the peer group median for the one-, three- and five-year periods. | Limited comparative subadviser fee data was provided due to the limited number of Broadridge peer funds.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 performance for the one-, three- and five-year periods relative to the benchmark index.The Board noted the Trust’s favorable performance relative to the peer group median for the one-, three- and five-year periods.The Board noted that the Trust outperformed its Morningstar peer group and benchmark index for the year-to-date period ended April 30, 2021.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 12/31/2020 | Fees and Expenses | Comments |
Lifestyle Moderate Portfolio(Manulife Investment Management (US) LLC) | Benchmark Index – The Trust underperformed the benchmark index for the one-, three- and five-year periods.Broadridge Category – The Trust outperformed the peer group median for the one-, three- and five-year periods. | Limited comparative subadviser fee data was provided due to the limited number of Broadridge peer funds.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 performance for the one-, three-, and five-year periods relative to the benchmark index.The Board noted the Trust’s favorable performance relative to the peer group median for the one-, three- and five-year periods.The Board noted that the Trust outperformed its benchmark index for the year-to-date period ended April 30, 2021.The Board noted the Trust’s net management fees and net total expenses are lower than the peer group median. |
Mid Cap Index Trust(Manulife Investment Management (North America) Limited) | Benchmark Index – The Trust underperformed the benchmark index for the one-, three-, five- and ten-year periods.Broadridge Category – The Trust outperformed the peer group median for the one-, three-, five- and ten-year periods. | The 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 for the one-, three-, five-and ten-year periods relative to the benchmark index.The Board noted the Trust’s favorable performance relative to the peer group median for the one-, three-, five- and ten-year periods.The Board noted that the Trust outperformed its Morningstar peer group for the year-to-date period ended April 30, 2021.The Board also noted the Trust’s low performance dispersion relative to its benchmark index.The Board took into account management’s discussion of the Trust’s expenses. The Board noted the Trust’s total net expenses are lower than the peer group median. |
Portfolio (Subadviser) | Performance as of 12/31/2020 | Fees and Expenses | Comments |
Mid Cap Stock Trust(Wellington Management Company LLP) | Benchmark Index – The Trust outperformed the benchmark index for the one-, three-, five- and ten-year periods.Broadridge Category – The Trust outperformed the peer group median for the one-, three-, five- and ten-year periods. | The 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 noted the Trust’s favorable performance relative to the benchmark index and to the peer group median for the one-, three-, five- and ten-year periods.The Board took into account management’s discussion of the Trust’s expenses. The Board noted the Trust’s total net expenses are lower than the peer group median.The Board noted that the Trust outperformed its Morningstar peer group and benchmark index for the year-to-date period ended April 30, 2021. |
Mid Value Trust(T. Rowe Price Associates, Inc.) | Benchmark Index – The Trust outperformed the benchmark index for one- and five-year periods underperformed the benchmark index for the three- and ten-year periods.Broadridge Category – The Trust outperformed the peer group median for the one-, three-, five- and ten-year periods. | Limited comparative subadviser fee data was provided due to the limited number of Broadridge peer funds.Net management fees for this Trust are higher than the peer group median.Net total expenses for this Trust are equal to the peer group median. | The Board took into account management’s discussion of the factors that contributed to the Trust’s performance for the three- and ten-year periods relative to the benchmark index.The Board noted the Trust’s favorable performance relative to the benchmark index for the one-and five-year periods and to the peer group median for the one-, three-, five- and ten-year periods.The Board took into account management’s discussion of the Trust’s expenses. The Board noted the Trust’s total net expenses are equal to the peer group median. |
Real Estate Securities Trust(Wellington Management Company LLP) | Benchmark Index – The Trust outperformed the benchmark index for the one-, three-, five- and ten-year periods.Broadridge Category – The Trust outperformed the peer group median for the three-, five- and ten-year periods and underperformed the peer group median for the one-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 performance for the one-year period relative to the peer group median.The Board noted the Trust’s favorable performance relative to the benchmark index for the one-, three-, five- and ten-year periods and to the peer group median for the three-, five, and ten-year periods.The Board noted that the Trust outperformed its Morningstar peer group for the year-to-date period ended April 30, 2021.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 12/31/2020 | Fees and Expenses | Comments |
Science & Technology Trust(Allianz Global Investors U.S. LLC and T. Rowe Price Associates, Inc.) | Benchmark Index – The Trust outperformed the benchmark index for the one-, three-, five- and ten-year periods.Broadridge Category – The Trust outperformed the peer group median for the one-, three-, five- and ten-year periods. | Limited comparative subadviser fee data was provided due to the limited number of Broadridge peer funds.Net management fees for this Trust are higher than the peer group median.Net total expenses for this Trust are equal to the peer group median. | The Board noted the Trust’s favorable performance relative to the benchmark index and to the peer group median for the one-, three, five- and ten-year periods.The Board took into account management’s discussion of the Trust’s expenses. The Board noted the Trust’s net management fees are equal to than the peer group median. |
Small Cap Index Trust(Manulife Investment Management (North America) Limited) | Benchmark Index – The Trust underperformed the benchmark index for the one-, three-, five- and ten-year periods.Broadridge Category – The Trust outperformed the peer group median for the one-, three-, five- and ten-year periods. | The 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 for the one-, three-, five-and ten-year periods relative to the benchmark index.The Board noted the Trust’s favorable performance relative to the peer group median for the one-, three-, five- and ten-year periods.The Board also noted the Trust’s low performance dispersion relative to its benchmark index.The Board took into account management’s discussion of the Trust’s expenses. The Board noted the Trust’s total net expenses are lower than the peer group median. |
Small Cap Opportunities Trust(GW&K Investment Management, LLC and Dimensional Fund Advisors LP) | Benchmark Index – The Trust underperformed the benchmark index for the one-, three-, five- and ten-year periods.Broadridge Category – The Trust underperformed the peer group median for the one-, three-, five- and ten-year periods. | Limited comparative subadviser fee data was provided due to the limited number of Broadridge peer funds.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 for the one-, three-, five- and ten-year periods relative to the benchmark index and to the peer group median including the impact of past and current market conditions on the Trust’s strategy and management’s outlook for the Trust.The Board noted that the Trust outperformed its Morningstar peer group and benchmark index for the year-to-date period ended April 30, 2021.The Board took into account management’s discussion of the Trust’s expenses. The Board noted the Trust’s total net expenses are lower than the peer group median. |
Portfolio (Subadviser) | Performance as of 12/31/2020 | Fees and Expenses | Comments |
Small Cap Stock Trust(Wellington Management Company LLP) | Benchmark Index – The Trust outperformed the benchmark index for the one-, three-, five- and ten-year periods.Broadridge Category – The Trust outperformed the peer group median for the one-, three-, five- and ten-year periods. | The 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 equal to the peer group median. | The Board noted the Trust’s favorable performance relative to the benchmark index and to the peer group median for the one-, three-, five- and ten-year periods.The Board took into account management’s discussion of the Trust’s expenses. The Board noted the Trust’s total net expenses are equal to the peer group median. |
Small Cap Value Trust(Wellington Management Company LLP) | Benchmark Index – The Trust underperformed the benchmark index for the one-, three-, five- and ten-year periods.Broadridge Category – The Trust underperformed the peer group median for the one-, three-, five- and ten-year periods. | Limited comparative subadviser fee data was provided due to the limited number of Broadridge peer funds.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 performance for the one-, three-, five- and ten-year periods relative to the benchmark index and to the peer group median including the impact of past and current market conditions on the Fund’s strategy and management’s plans for the Fund.The Board took into account management’s discussion of the Trust’s expenses, including the impact of the Trust’s investments in business development companies on the Trust’s expenses. |
Small Company Value Trust(T. Rowe Price Associates, Inc.) | Benchmark Index – The Trust outperformed the benchmark index for the one-, three-, five- and ten-year periods.Broadridge Category – The Trust underperformed the peer group median for the one-, three- and ten-year periods and outperformed the peer group median for the five-year period. | Limited comparative subadviser fee data was provided due to the limited number of Broadridge peer funds.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 performance for the one-, three- and ten-year periods relative to the peer group median.The Board noted the Trust’s favorable performance relative to the benchmark index for the one-, three-, five- and ten-year periods and to the peer group median for the five-year period.The Board took into account management’s discussion of the Trust’s expenses, including the impact of the Trust’s investments in business development companies on the Trust’s expenses. |
Portfolio (Subadviser) | Performance as of 12/31/2020 | Fees and Expenses | Comments |
Strategic Equity Allocation Trust(Manulife Investment Management (US) LLC) | Benchmark Index – The Trust underperformed the benchmark index for the one-, three- and five-year periods.Broadridge Category – The Trust underperformed the peer group median for the one-year period and outperformed the peer group median for the three- and five-year periods. | Limited comparative subadviser fee data was provided due to the limited number of Broadridge peer funds.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 performance for the one-, three- and five-year periods relative to the benchmark index and to the peer group median for the one-year period.The Board noted the Trust’s favorable performance relative to the peer group median for the three- and five-year periods.The Board noted that the Trust outperformed its Morningstar peer group and benchmark index for the year-to-date period ended April 30, 2021.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 Investment Management (North America) Limited) | Benchmark Index – The Trust outperformed the benchmark index for the one-year period and underperformed the benchmark index for the three-, five- and ten-year periods.Broadridge Category – The Trust outperformed the peer group median for the one-, three-, five- and ten-year periods. | The 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 for the three-, five- and ten-year periods 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 median for the one-, three-, five- and ten-year periods.The Board also noted the Trust’s low performance dispersion relative to its benchmark index.The Board took into account management’s discussion of the Trust’s expenses. The Board noted the Trust’s total net expenses are lower than the peer group median. |
• | The Fund’s investment strategy remained appropriate for an open-end fund structure; |
• | The Fund was able to meet requests for redemption without significant dilution of remaining investors’ interests in the Fund; |
• | The Fund did not report any breaches of the 15% limit on illiquid investments that would require reporting to the Securities and Exchange Commission; |
• | The Fund continued to qualify as a Primarily Highly Liquid Fund under the Liquidity Rule and therefore is not required to establish a HLIM; and |
• | The Chief Compliance Officer’s office performed audit testing of the LRMP which resulted in an assessment that the LRMP’s control environment was deemed to be operating effectively and in compliance with the Board approved procedures. |
Steven R. Pruchansky, Vice Chairperson
Andrew G. Arnott†
Charles L. Bardelis*
James R. Boyle
Peter S. Burgess*
William H. Cunningham
Grace K. Fey
Marianne Harrison†
Deborah C. Jackson
Frances G. Rathke*,1
Gregory A. Russo
Charles A. Rizzo, Chief Financial Officer
Salvatore Schiavone, Treasurer
Christopher (Kit) Sechler, Secretary and Chief Legal Officer
Trevor Swanberg2, Chief Compliance Officer
* | Member of the Audit Committee |
† | Non-Independent Trustee |
1 | Appointed as Independent Trustee effective as of September 15, 2020 |
2 | Effective July 31, 2020 |
Boston, Massachusetts
JHT0SA | 6/30 |
3 | |
4 | |
6 | |
37 | |
40 | |
43 | |
45 | |
51 | |
73 | |
77 | |
82 | |
83 |
Portfolio | Summary Portfolio of investments | |
6 | ||
8 | ||
9 | ||
12 | ||
16 | ||
18 |
Portfolio | Summary Portfolio of investments | |
25 | ||
27 | ||
28 | ||
32 | ||
33 |
2 |
Portfolio Composition (% of net assets) | |
Corporate bonds | 48.4 |
U.S. Government Agency | 17.9 |
U.S. Government | 14.1 |
Collateralized mortgage obligations | 7.5 |
Asset backed securities | 6.3 |
Foreign government obligations | 0.7 |
Municipal bonds | 0.6 |
Preferred securities | 0.2 |
Capital preferred securities | 0.2 |
Common stocks | 0.1 |
Short-term investments and other | 4.0 |
Portfolio Composition (% of total investments) | |
U.S. Government | 32.6 |
Corporate bonds | 26.0 |
U.S. Government Agency | 22.9 |
Asset backed securities | 7.7 |
Collateralized mortgage obligations | 7.3 |
Foreign government obligations | 1.1 |
Municipal bonds | 0.4 |
Short-term investments | 2.0 |
Portfolio Composition (% of net assets) | |
Corporate bonds | 79.7 |
Term loans | 7.9 |
Asset backed securities | 4.8 |
Convertible bonds | 1.4 |
Preferred securities | 1.0 |
Common stocks | 0.9 |
Foreign government obligations | 0.6 |
Short-term investments and other | 3.7 |
Portfolio Composition (% of total investments) | |
U.S. Government Agency | 28.8 |
Corporate bonds | 23.3 |
U.S. Government | 20.4 |
Collateralized mortgage obligations | 11.4 |
Asset backed securities | 6.4 |
Foreign government obligations | 4.0 |
Term loans | 2.4 |
Municipal bonds | 1.6 |
Short-term investments | 1.7 |
Portfolio Composition (% of total investments) | |
U.S. Government Agency | 72.2 |
U.S. Government | 27.0 |
Repurchase agreement | 0.8 |
Portfolio Composition (% of net assets) | |
Foreign government obligations | 42.6 |
Corporate bonds | 20.0 |
Collateralized mortgage obligations | 8.7 |
Term loans | 8.6 |
Exchange-traded funds | 5.1 |
Asset backed securities | 4.2 |
Municipal bonds | 3.4 |
Convertible bonds | 1.6 |
U.S. Government | 0.4 |
Short-term investments and other | 5.4 |
Portfolio Composition (% of net assets) | |
Corporate bonds | 40.5 |
U.S. Government Agency | 17.6 |
Asset backed securities | 16.3 |
U.S. Government | 14.2 |
Collateralized mortgage obligations | 8.0 |
Municipal bonds | 1.5 |
Foreign government obligations | 0.5 |
Preferred securities | 0.1 |
Short-term investments and other | 1.3 |
Portfolio Composition (% of net assets) | |
U.S. Government Agency | 63.1 |
U.S. Government | 29.8 |
Municipal bonds | 4.6 |
Collateralized mortgage obligations | 1.3 |
Short-term investments and other | 1.2 |
Portfolio Composition (% of net assets) | |
Corporate bonds | 58.5 |
Foreign government obligations | 19.8 |
U.S. Government | 4.8 |
Preferred securities | 3.2 |
Common stocks | 3.2 |
Convertible bonds | 3.1 |
Term loans | 3.0 |
Asset backed securities | 1.5 |
Collateralized mortgage obligations | 0.6 |
Capital preferred securities | 0.3 |
Short-term investments and other | 2.0 |
Portfolio Composition (% of net assets) | |
U.S. Government | 36.4 |
Corporate bonds | 28.9 |
U.S. Government Agency | 28.1 |
Collateralized mortgage obligations | 2.4 |
Foreign government obligations | 1.0 |
Municipal bonds | 0.7 |
Short-term investments and other | 2.5 |
Portfolio Composition (% of net assets) | |
Corporate bonds | 51.7 |
Asset backed securities | 11.5 |
Collateralized mortgage obligations | 1.1 |
U.S. Government Agency | 1.0 |
Municipal bonds | 0.7 |
Short-term investments and other | 34.0 |
Account value on 1-1-2021 | Ending value on 6-30-2021 | Expenses paid during period ended 6-30-20211 | Annualized expense ratio | ||
Active Bond Trust | |||||
Series I | Actual expenses/actual returns | $1,000.00 | $993.20 | $3.41 | 0.69% |
Hypothetical example | 1,000.00 | 1,021.40 | 3.46 | 0.69% | |
Series II | Actual expenses/actual returns | 1,000.00 | 992.30 | 4.40 | 0.89% |
Hypothetical example | 1,000.00 | 1,020.40 | 4.46 | 0.89% | |
Series NAV | Actual expenses/actual returns | 1,000.00 | 994.20 | 3.16 | 0.64% |
Hypothetical example | 1,000.00 | 1,021.60 | 3.21 | 0.64% | |
Core Bond Trust | |||||
Series I | Actual expenses/actual returns | $1,000.00 | $983.10 | $3.20 | 0.65% |
Hypothetical example | 1,000.00 | 1,021.60 | 3.26 | 0.65% | |
Series II | Actual expenses/actual returns | 1,000.00 | 981.70 | 4.18 | 0.85% |
Hypothetical example | 1,000.00 | 1,020.60 | 4.26 | 0.85% | |
Series NAV | Actual expenses/actual returns | 1,000.00 | 982.40 | 2.95 | 0.60% |
Hypothetical example | 1,000.00 | 1,021.80 | 3.01 | 0.60% | |
High Yield Trust | |||||
Series I | Actual expenses/actual returns | $1,000.00 | $1,041.70 | $4.20 | 0.83% |
Hypothetical example | 1,000.00 | 1,020.70 | 4.16 | 0.83% | |
Series II | Actual expenses/actual returns | 1,000.00 | 1,040.70 | 5.21 | 1.03% |
Hypothetical example | 1,000.00 | 1,019.70 | 5.16 | 1.03% | |
Series NAV | Actual expenses/actual returns | 1,000.00 | 1,042.50 | 3.95 | 0.78% |
Hypothetical example | 1,000.00 | 1,020.90 | 3.91 | 0.78% | |
Investment Quality Bond Trust | |||||
Series I | Actual expenses/actual returns | $1,000.00 | $987.70 | $3.60 | 0.73% |
Hypothetical example | 1,000.00 | 1,021.20 | 3.66 | 0.73% | |
Series II | Actual expenses/actual returns | 1,000.00 | 986.00 | 4.58 | 0.93% |
Hypothetical example | 1,000.00 | 1,020.20 | 4.66 | 0.93% | |
Series NAV | Actual expenses/actual returns | 1,000.00 | 986.80 | 3.35 | 0.68% |
Hypothetical example | 1,000.00 | 1,021.40 | 3.41 | 0.68% |
Account value on 1-1-2021 | Ending value on 6-30-2021 | Expenses paid during period ended 6-30-20211 | Annualized expense ratio | ||
Money Market Trust | |||||
Series I | Actual expenses/actual returns | $1,000.00 | $1,000.00 | $0.35 | 0.07% |
Hypothetical example | 1,000.00 | 1,024.40 | 0.35 | 0.07% | |
Series II | Actual expenses/actual returns | 1,000.00 | 1,000.00 | 0.35 | 0.07% |
Hypothetical example | 1,000.00 | 1,024.40 | 0.35 | 0.07% | |
Series NAV | Actual expenses/actual returns | 1,000.00 | 1,000.00 | 0.35 | 0.07% |
Hypothetical example | 1,000.00 | 1,024.40 | 0.35 | 0.07% | |
Opportunistic Fixed Income Trust | |||||
Series I | Actual expenses/actual returns | $1,000.00 | $997.80 | $4.11 | 0.83% |
Hypothetical example | 1,000.00 | 1,020.70 | 4.16 | 0.83% | |
Series II | Actual expenses/actual returns | 1,000.00 | 996.20 | 5.10 | 1.03% |
Hypothetical example | 1,000.00 | 1,019.70 | 5.16 | 1.03% | |
Series NAV | Actual expenses/actual returns | 1,000.00 | 997.80 | 3.86 | 0.78% |
Hypothetical example | 1,000.00 | 1,020.90 | 3.91 | 0.78% | |
Select Bond Trust | |||||
Series I | Actual expenses/actual returns | $1,000.00 | $990.40 | $3.01 | 0.61% |
Hypothetical example | 1,000.00 | 1,021.80 | 3.06 | 0.61% | |
Series II | Actual expenses/actual returns | 1,000.00 | 989.00 | 3.99 | 0.81% |
Hypothetical example | 1,000.00 | 1,020.80 | 4.06 | 0.81% | |
Series NAV | Actual expenses/actual returns | 1,000.00 | 990.40 | 2.81 | 0.57% |
Hypothetical example | 1,000.00 | 1,022.00 | 2.86 | 0.57% | |
Short Term Government Income Trust | |||||
Series I | Actual expenses/actual returns | $1,000.00 | $992.70 | $3.46 | 0.70% |
Hypothetical example | 1,000.00 | 1,021.30 | 3.51 | 0.70% | |
Series II | Actual expenses/actual returns | 1,000.00 | 991.90 | 4.44 | 0.90% |
Hypothetical example | 1,000.00 | 1,020.30 | 4.51 | 0.90% | |
Series NAV | Actual expenses/actual returns | 1,000.00 | 992.70 | 3.21 | 0.65% |
Hypothetical example | 1,000.00 | 1,021.60 | 3.26 | 0.65% | |
Strategic Income Opportunities Trust | |||||
Series I | Actual expenses/actual returns | $1,000.00 | $1,013.90 | $3.75 | 0.75% |
Hypothetical example | 1,000.00 | 1,021.10 | 3.76 | 0.75% | |
Series II | Actual expenses/actual returns | 1,000.00 | 1,012.40 | 4.74 | 0.95% |
Hypothetical example | 1,000.00 | 1,020.10 | 4.76 | 0.95% | |
Series NAV | Actual expenses/actual returns | 1,000.00 | 1,013.90 | 3.50 | 0.70% |
Hypothetical example | 1,000.00 | 1,021.30 | 3.51 | 0.70% | |
Total Bond Market Trust | |||||
Series I | Actual expenses/actual returns | $1,000.00 | $981.60 | $1.47 | 0.30% |
Hypothetical example | 1,000.00 | 1,023.30 | 1.51 | 0.30% | |
Series II | Actual expenses/actual returns | 1,000.00 | 980.80 | 2.46 | 0.50% |
Hypothetical example | 1,000.00 | 1,022.30 | 2.51 | 0.50% | |
Series NAV | Actual expenses/actual returns | 1,000.00 | 981.60 | 1.23 | 0.25% |
Hypothetical example | 1,000.00 | 1,023.60 | 1.25 | 0.25% | |
Ultra Short Term Bond Trust | |||||
Series I | Actual expenses/actual returns | $1,000.00 | $1,000.00 | $2.93 | 0.59% |
Hypothetical example | 1,000.00 | 1,021.90 | 2.96 | 0.59% | |
Series II | Actual expenses/actual returns | 1,000.00 | 999.10 | 3.92 | 0.79% |
Hypothetical example | 1,000.00 | 1,020.90 | 3.96 | 0.79% | |
Series NAV | Actual expenses/actual returns | 1,000.00 | 1,000.00 | 2.68 | 0.54% |
Hypothetical example | 1,000.00 | 1,022.10 | 2.71 | 0.54% |
1 | Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
Shares or Principal Amount | Value | % of Net Assets | |||||
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 32.0% | |||||||
U.S. Treasury Bonds - 7.2% | |||||||
1.250%, 05/15/2050 | $ | 2,000,000 | $ | 1,633,047 | 0.2% | ||
1.625%, 11/15/2050 | 6,500,000 | 5,837,813 | 0.8% | ||||
1.875%, 02/15/2041 to 02/15/2051 | 12,499,300 | 12,076,207 | 1.6% | ||||
2.250%, 05/15/2041 | 7,634,000 | 7,942,938 | 1.1% | ||||
2.500%, 02/15/2045 | 12,428,000 | 13,446,513 | 1.8% | ||||
2.875%, 05/15/2049 | 3,000,000 | 3,512,930 | 0.5% | ||||
3.000%, 02/15/2047 | 3,420,000 | 4,062,853 | 0.6% | ||||
3.125%, 11/15/2041 | 3,886,000 | 4,632,233 | 0.6% | ||||
53,144,534 | |||||||
U.S. Treasury Notes - 6.9% | |||||||
0.250%, 03/15/2024 | 1,738,000 | 1,731,075 | 0.2% | ||||
0.875%, 06/30/2026 | 2,456,000 | 2,454,849 | 0.3% | ||||
1.125%, 02/15/2031 | 3,000,000 | 2,912,344 | 0.4% | ||||
1.250%, 03/31/2028 to 06/30/2028 | 16,104,000 | 16,156,252 | 2.2% | ||||
1.625%, 05/15/2031 | 12,916,000 | 13,113,776 | 1.8% | ||||
2.375%, 05/15/2027 | 6,000,000 | 6,459,141 | 0.9% | ||||
2.875%, 08/15/2028 | 7,000,000 | 7,785,039 | 1.1% | ||||
50,612,476 | |||||||
Federal Home Loan Mortgage Corp. - 2.6% | |||||||
3.000%, 03/01/2043 to 12/01/2049 | 6,639,008 | 7,035,519 | 0.9% | ||||
3.500%, 10/01/2046 to 11/01/2048 | 8,724,527 | 9,351,960 | 1.3% | ||||
4.500%, 09/01/2023 to 10/01/2041 | 1,546,097 | 1,715,908 | 0.2% | ||||
OTHER SECURITIES | 1,308,738 | 0.2% | |||||
19,412,125 | |||||||
Federal National Mortgage Association - 15.0% | |||||||
2.000%, 09/01/2050 to 10/01/2050 | 4,471,227 | 4,532,947 | 0.6% | ||||
2.000%, TBA (A) | 4,298,000 | 4,342,722 | 0.6% | ||||
2.500%, TBA (A) | 1,753,000 | 1,813,122 | 0.2% | ||||
3.000%, 01/01/2043 to 11/01/2049 | 7,644,417 | 8,118,636 | 1.2% | ||||
3.000%, TBA (A) | 26,250,000 | 27,365,630 | 3.7% | ||||
3.500%, 06/01/2042 to 09/01/2049 | 8,031,658 | 8,632,267 | 1.2% | ||||
3.500%, TBA (A) | 25,000,000 | 26,312,488 | 3.6% | ||||
4.000%, 10/01/2025 to 11/01/2045 | 4,251,142 | 4,625,202 | 0.6% | ||||
4.000%, TBA (A) | 16,000,000 | 17,036,248 | 2.3% | ||||
5.000%, 01/01/2022 to 02/01/2036 | 1,297,848 | 1,470,215 | 0.2% | ||||
5.500%, 09/01/2034 to 01/01/2037 | 1,669,480 | 1,928,120 | 0.3% | ||||
6.000%, 05/01/2035 to 02/01/2036 | 1,296,294 | 1,519,812 | 0.2% |
Shares or Principal Amount | Value | % of Net Assets | |||||
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (continued) | |||||||
Federal National Mortgage Association (continued) | |||||||
OTHER SECURITIES | $ | 2,818,638 | 0.3% | ||||
110,516,047 | |||||||
Government National Mortgage Association - 0.3% | 1,752,282 | 0.3% | |||||
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (Cost $230,962,120) | $ | 235,437,464 | |||||
FOREIGN GOVERNMENT OBLIGATIONS - 0.7% | |||||||
Argentina - 0.1% | 438,003 | 0.1% | |||||
Germany - 0.2% | 1,357,456 | 0.2% | |||||
Mexico - 0.1% | 623,353 | 0.1% | |||||
Panama - 0.1% | 665,862 | 0.1% | |||||
Qatar - 0.1% | 797,415 | 0.1% | |||||
Saudi Arabia - 0.1% | 797,518 | 0.1% | |||||
United Kingdom - 0.0% | 163,808 | 0.0% | |||||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost $4,636,793) | $ | 4,843,415 | |||||
CORPORATE BONDS - 48.4% | |||||||
Communication services - 5.5% | |||||||
Verizon Communications, Inc. 4.272%, 01/15/2036 | $ | 1,311,000 | 1,559,861 | 0.2% | |||
OTHER SECURITIES | 38,834,710 | 5.3% | |||||
40,394,571 | |||||||
Consumer discretionary - 4.9% | |||||||
Expedia Group, Inc. 5.000%, 02/15/2026 | 1,315,000 | 1,500,119 | 0.2% | ||||
OTHER SECURITIES | 34,315,086 | 4.7% | |||||
35,815,205 | |||||||
Consumer staples - 2.1% | |||||||
Sysco Corp. 6.600%, 04/01/2050 | 1,000,000 | 1,553,363 | 0.2% | ||||
OTHER SECURITIES | 13,462,330 | 1.9% | |||||
15,015,693 | |||||||
Energy - 4.7% | |||||||
Cameron International Corp. 5.950%, 06/01/2041 | 1,178,000 | 1,503,870 | 0.2% | ||||
OTHER SECURITIES | 33,082,928 | 4.5% | |||||
34,586,798 | |||||||
Financials - 11.2% | |||||||
Markel Corp. 5.000%, 03/30/2043 | 1,270,000 | 1,536,018 | 0.2% | ||||
Stifel Financial Corp. 4.250%, 07/18/2024 | 1,300,000 | 1,424,302 | 0.2% | ||||
OTHER SECURITIES | 79,694,578 | 10.8% | |||||
82,654,898 | |||||||
Health care - 3.5% | |||||||
AbbVie, Inc. 3.200%, 11/21/2029 | 2,344,000 | 2,545,688 | 0.3% | ||||
OTHER SECURITIES | 23,442,840 | 3.2% | |||||
25,988,528 | |||||||
Industrials - 5.6% | |||||||
Huntington Ingalls Industries, Inc. 4.200%, 05/01/2030 | 1,379,000 | 1,574,972 | 0.2% | ||||
OTHER SECURITIES | 39,845,608 | 5.4% | |||||
41,420,580 |
The accompanying notes are an integral part of the financial statements. | 6 |
Shares or Principal Amount | Value | % of Net Assets | |||||
CORPORATE BONDS (continued) | |||||||
Information technology - 3.9% | |||||||
Broadcom, Inc. 4.750%, 04/15/2029 | $ | 1,594,000 | $ | 1,854,232 | 0.3% | ||
Dell International LLC 5.300%, 10/01/2029 | 1,309,000 | 1,579,481 | 0.2% | ||||
Micron Technology, Inc. 5.327%, 02/06/2029 | 1,673,000 | 2,020,764 | 0.3% | ||||
PayPal Holdings, Inc. 2.850%, 10/01/2029 | 1,818,000 | 1,960,647 | 0.3% | ||||
OTHER SECURITIES | 21,531,251 | 2.8% | |||||
28,946,375 | |||||||
Materials - 1.9% | 14,029,941 | 1.9% | |||||
Real estate - 3.1% | 22,616,635 | 3.1% | |||||
Utilities - 2.0% | |||||||
Arizona Public Service Company 5.500%, 09/01/2035 | 1,118,000 | 1,455,474 | 0.2% | ||||
OTHER SECURITIES | 13,087,032 | 1.8% | |||||
14,542,506 | |||||||
TOTAL CORPORATE BONDS (Cost $326,819,534) | $ | 356,011,730 | |||||
CAPITAL PREFERRED SECURITIES - 0.2% | |||||||
Financials - 0.2% | 1,464,863 | 0.2% | |||||
TOTAL CAPITAL PREFERRED SECURITIES (Cost $1,389,217) | $ | 1,464,863 | |||||
MUNICIPAL BONDS - 0.6% | |||||||
The School District of Philadelphia (Pennsylvania), GO 6.765%, 06/01/2040 | 1,010,000 | 1,409,593 | 0.2% | ||||
OTHER SECURITIES | 3,380,315 | 0.4% | |||||
TOTAL MUNICIPAL BONDS (Cost $4,392,167) | $ | 4,789,908 | |||||
TERM LOANS (B) - 0.0% | |||||||
Information technology - 0.0% | 303,933 | 0.0% | |||||
TOTAL TERM LOANS (Cost $303,482) | $ | 303,933 | |||||
COLLATERALIZED MORTGAGE OBLIGATIONS - 7.5% | |||||||
Commercial and residential - 5.4% | |||||||
Commercial Mortgage Trust (Bank of America Merrill Lynch/Deutsche Bank AG) Series 2013-WWP, Class A2, 3.424%, 03/10/2031 (C) | 1,400,000 | 1,462,137 | 0.2% | ||||
OTHER SECURITIES | 38,455,180 | 5.2% | |||||
39,917,317 | |||||||
Federal Home Loan Mortgage Corp. - 0.3% | 2,332,487 | 0.3% | |||||
Federal National Mortgage Association - 0.7% | 5,433,005 | 0.7% | |||||
Government National Mortgage Association - 1.1% | 7,757,325 | 1.1% | |||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $58,789,683) | $ | 55,440,134 | |||||
ASSET BACKED SECURITIES - 6.3% | |||||||
Capital One Multi-Asset Execution Trust Series 2016-A7, Class A7 (1 month LIBOR + 0.510%), 0.583%, 09/16/2024 (D) | 3,123,000 | 3,129,254 | 0.4% |
Shares or Principal Amount | Value | % of Net Assets | |||||
ASSET BACKED SECURITIES (continued) | |||||||
Citibank Credit Card Issuance Trust Series 2017-A7, Class A7 (1 month LIBOR + 0.370%), 0.451%, 08/08/2024 (D) | $ | 3,000,000 | $ | 3,011,239 | 0.4% | ||
Credit-Based Asset Servicing & Securitization LLC Series 2006-MH1, Class B1, 6.250%, 10/25/2036 (C) | 2,560,000 | 2,631,155 | 0.4% | ||||
Domino's Pizza Master Issuer LLC Series 2021-1A, Class A2I, 2.662%, 04/25/2051 (C) | 1,323,000 | 1,368,895 | 0.2% | ||||
OTHER SECURITIES | 35,841,321 | 4.9% | |||||
TOTAL ASSET BACKED SECURITIES (Cost $44,967,716) | $ | 45,981,864 | |||||
COMMON STOCKS - 0.1% | |||||||
Energy - 0.0% | 9,348 | 0.0% | |||||
Utilities - 0.1% | 458,100 | 0.1% | |||||
TOTAL COMMON STOCKS (Cost $467,553) | $ | 467,448 | |||||
PREFERRED SECURITIES - 0.2% | |||||||
Communication services - 0.0% | 222,116 | 0.0% | |||||
Consumer staples - 0.0% | 206,088 | 0.0% | |||||
Financials - 0.0% | 151,317 | 0.0% | |||||
Information technology - 0.1% | 421,004 | 0.1% | |||||
Utilities - 0.1% | 519,653 | 0.1% | |||||
TOTAL PREFERRED SECURITIES (Cost $1,314,456) | $ | 1,520,178 | |||||
WARRANTS - 0.0% | 23,793 | 0.0% | |||||
TOTAL WARRANTS (Cost $6,962) | $ | 23,793 | |||||
SHORT-TERM INVESTMENTS - 13.8% | |||||||
Short-term funds - 12.5% | |||||||
John Hancock Collateral Trust, 0.0324% (E)(F) | 340,971 | 3,411,275 | 0.5% | ||||
State Street Institutional U.S. Government Money Market Fund, Premier Class, 0.0250% (E) | 88,333,936 | 88,333,936 | 12.0% | ||||
91,745,211 | |||||||
Repurchase agreement - 1.3% | |||||||
Repurchase Agreement with State Street Corp. dated 6-30-21 at 0.000% to be repurchased at $9,688,000 on 7-1-21, collateralized by $10,061,500 U.S. Treasury Notes, 0.375% due 11-30-25 (valued at $9,881,836) | $ | 9,688,000 | 9,688,000 | 1.3% | |||
TOTAL SHORT-TERM INVESTMENTS (Cost $101,433,296) | $ | 101,433,211 | |||||
Total Investments (Active Bond Trust) (Cost $775,482,979) - 109.8% | $ | 807,717,941 | 109.8% | ||||
Other assets and liabilities, net - (9.8)% | (71,835,373) | (9.8%) | |||||
TOTAL NET ASSETS - 100.0% | $ | 735,882,568 | 100.0% |
Security Abbreviations and Legend | |
GO | General Obligation |
LIBOR | London Interbank Offered Rate |
The accompanying notes are an integral part of the financial statements. | 7 |
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. |
(A) | Security purchased or sold on a when-issued or delayed delivery basis. |
(B) | Term loans are variable rate obligations. The coupon rate shown represents the rate at period end. |
(C) | 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 $149,491,187 or 20.3% of the fund's net assets as of 6-30-21. |
(D) | Variable rate obligation. The coupon rate shown represents the rate at period end. |
(E) | The rate shown is the annualized seven-day yield as of 6-30-21. |
(F) | Investment is an affiliate of the fund, the advisor and/or subadvisor. This security represents the investment of cash collateral received for securities lending. |
Shares or Principal Amount | Value | % of Net Assets | |||||
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 60.1% | |||||||
U.S. Treasury Bonds - 8.1% | |||||||
1.125%, 05/15/2040 to 08/15/2040 | $ | 27,484,000 | $ | 23,683,785 | 2.3% | ||
1.375%, 11/15/2040 to 08/15/2050 | 22,203,000 | 19,659,659 | 1.9% | ||||
1.625%, 11/15/2050 | 5,045,000 | 4,531,041 | 0.4% | ||||
1.875%, 02/15/2041 to 02/15/2051 | 21,641,000 | 21,032,195 | 2.1% | ||||
2.250%, 05/15/2041 | 8,188,000 | 8,519,358 | 0.8% | ||||
2.375%, 05/15/2051 | 3,812,000 | 4,069,906 | 0.4% | ||||
OTHER SECURITIES | 2,629,146 | 0.2% | |||||
84,125,090 | |||||||
U.S. Treasury Notes - 27.2% | |||||||
0.125%, 05/31/2022 to 01/15/2024 | 71,589,000 | 71,452,381 | 7.0% | ||||
0.250%, 06/15/2023 to 10/31/2025 | 52,983,000 | 52,436,006 | 5.0% | ||||
0.375%, 04/15/2024 to 12/31/2025 | 29,539,000 | 29,013,121 | 2.8% | ||||
0.500%, 02/28/2026 to 10/31/2027 | 24,234,000 | 23,629,163 | 2.3% | ||||
0.750%, 05/31/2026 to 01/31/2028 | 20,846,000 | 20,594,943 | 2.0% | ||||
0.875%, 06/30/2026 | 33,176,000 | 33,160,449 | 3.2% | ||||
1.500%, 11/30/2024 | 6,252,000 | 6,451,038 | 0.6% | ||||
1.625%, 05/15/2031 | 11,419,000 | 11,593,853 | 1.1% | ||||
1.875%, 02/28/2022 | 10,979,000 | 11,111,091 | 1.1% | ||||
2.000%, 02/15/2022 | 8,231,000 | 8,330,672 | 0.8% | ||||
2.875%, 10/31/2023 | 6,200,000 | 6,568,125 | 0.6% | ||||
OTHER SECURITIES | 6,981,137 | 0.7% | |||||
281,321,979 | |||||||
Federal Home Loan Mortgage Corp. - 1.8% | |||||||
2.500%, 01/01/2036 | 2,937,091 | 3,099,708 | 0.3% | ||||
4.000%, 01/01/2035 to 07/01/2049 | 5,854,211 | 6,370,229 | 0.6% | ||||
4.500%, 06/01/2039 to 08/01/2049 | 4,122,552 | 4,549,272 | 0.4% | ||||
OTHER SECURITIES | 4,645,798 | 0.5% | |||||
18,665,007 | |||||||
Federal National Mortgage Association - 18.7% | |||||||
2.000%, 05/01/2031 to 04/01/2051 | 8,950,763 | 9,131,618 | 0.9% |
Shares or Principal Amount | Value | % of Net Assets | |||||
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (continued) | |||||||
Federal National Mortgage Association (continued) | |||||||
2.000%, TBA (A) | $ | 32,400,000 | $ | 33,157,956 | 3.2% | ||
2.500%, 12/01/2035 to 10/01/2050 | 29,235,400 | 30,661,512 | 3.0% | ||||
2.500%, TBA (A) | 43,200,000 | 44,597,332 | 4.3% | ||||
3.000%, 01/01/2043 to 07/01/2060 | 16,433,021 | 17,511,599 | 1.7% | ||||
4.000%, 09/01/2033 to 08/01/2059 | 14,181,625 | 15,616,415 | 1.6% | ||||
4.500%, 05/01/2034 to 01/01/2059 | 18,564,521 | 20,684,341 | 1.8% | ||||
5.000%, 07/01/2044 to 11/01/2049 | 14,227,914 | 16,038,331 | 1.6% | ||||
5.500%, 12/01/2048 to 06/01/2049 | 2,938,807 | 3,377,184 | 0.3% | ||||
OTHER SECURITIES | 2,366,068 | 0.3% | |||||
193,142,356 | |||||||
Government National Mortgage Association - 4.3% | |||||||
2.500%, 06/20/2051 | 17,419,000 | 18,048,490 | 1.8% | ||||
2.500%, TBA (A) | 3,100,000 | 3,208,203 | 0.3% | ||||
4.000%, 06/20/2047 to 07/20/2049 | 8,871,206 | 9,531,974 | 0.9% | ||||
4.500%, 08/15/2047 to 05/20/2049 | 2,964,010 | 3,228,576 | 0.2% | ||||
5.000%, 12/20/2039 to 03/20/2049 | 8,572,095 | 9,309,005 | 1.0% | ||||
OTHER SECURITIES | 923,489 | 0.1% | |||||
44,249,737 | |||||||
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (Cost $623,027,271) | $ | 621,504,169 | |||||
FOREIGN GOVERNMENT OBLIGATIONS - 1.2% | |||||||
Chile - 0.1% | 799,491 | 0.1% | |||||
Colombia - 0.1% | 1,000,839 | 0.1% | |||||
Italy - 0.1% | 814,535 | 0.1% | |||||
Japan - 0.1% | 843,426 | 0.1% | |||||
Mexico - 0.4% | 4,844,087 | 0.4% | |||||
Paraguay - 0.1% | 1,459,633 | 0.1% | |||||
Peru - 0.3% | 3,061,548 | 0.3% | |||||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost $12,628,385) | $ | 12,823,559 | |||||
CORPORATE BONDS - 28.1% | |||||||
Communication services - 2.5% | |||||||
T-Mobile USA, Inc. 2.250%, 02/15/2026 (B) | 3,839,000 | 3,867,793 | 0.4% | ||||
OTHER SECURITIES | 22,086,240 | 2.1% | |||||
25,954,033 | |||||||
Consumer discretionary - 2.4% | 24,733,506 | 2.4% | |||||
Consumer staples - 1.5% | 15,727,452 | 1.5% | |||||
Energy - 2.2% | 23,058,618 | 2.2% | |||||
Financials - 7.6% | |||||||
Bank of America Corp. (2.687% to 4-22-31, then SOFR + 1.320%) 04/22/2032 | 3,212,000 | 3,304,488 | 0.3% |
The accompanying notes are an integral part of the financial statements. | 8 |
Shares or Principal Amount | Value | % of Net Assets | |||||
CORPORATE BONDS (continued) | |||||||
Financials (continued) | |||||||
Bank of America Corp. (1.658% to 3-11-26, then SOFR + 0.910%) 03/11/2027 | $ | 3,285,000 | $ | 3,311,101 | 0.3% | ||
JPMorgan Chase & Co. (1.040% to 2-4-26, then SOFR + 0.695%) 02/04/2027 | 3,263,000 | 3,209,365 | 0.3% | ||||
Morgan Stanley (0.790% to 5-30-24, then SOFR + 0.525%) 05/30/2025 | 3,370,000 | 3,358,106 | 0.3% | ||||
OTHER SECURITIES | 65,622,727 | 6.4% | |||||
78,805,787 | |||||||
Health care - 2.5% | 26,005,171 | 2.5% | |||||
Industrials - 2.2% | 22,555,932 | 2.2% | |||||
Information technology - 2.1% | 21,274,780 | 2.1% | |||||
Materials - 0.6% | 6,307,049 | 0.6% | |||||
Real estate - 1.7% | 17,713,132 | 1.7% | |||||
Utilities - 2.8% | 28,648,854 | 2.8% | |||||
TOTAL CORPORATE BONDS (Cost $284,775,382) | $ | 290,784,314 | |||||
MUNICIPAL BONDS - 0.4% | 3,999,553 | 0.4% | |||||
TOTAL MUNICIPAL BONDS (Cost $3,491,228) | $ | 3,999,553 | |||||
COLLATERALIZED MORTGAGE OBLIGATIONS - 7.9% | |||||||
Commercial and residential - 3.6% | 36,887,206 | 3.6% | |||||
Federal Home Loan Mortgage Corp. - 1.2% | 12,482,407 | 1.2% | |||||
Federal National Mortgage Association - 2.6% | |||||||
Series 2021-27, Class EC, 1.500%, 05/25/2051 | 2,958,494 | 2,978,696 | 0.3% | ||||
Series 2016-57, Class PC, 1.750%, 06/25/2046 | 4,070,520 | 4,119,164 | 0.4% | ||||
Series 2020-48, Class DA, 2.000%, 07/25/2050 | 2,651,489 | 2,694,064 | 0.3% | ||||
OTHER SECURITIES | 16,956,856 | 1.6% | |||||
26,748,780 | |||||||
Government National Mortgage Association - 0.5% | 5,386,311 | 0.5% | |||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $80,001,003) | $ | 81,504,704 | |||||
ASSET BACKED SECURITIES - 8.3% | |||||||
Navient Private Education Loan Trust Series 2020-IA, Class A1A, 1.330%, 04/15/2069 (B) | 2,667,938 | 2,662,461 | 0.3% | ||||
Navient Private Education Refi Loan Trust Series 2021-CA, Class A, 1.060%, 10/15/2069 (B) | 3,456,000 | 3,463,297 | 0.3% | ||||
Nelnet Student Loan Trust Series 2005-1, Class A5 (3 month LIBOR + 0.110%), 0.286%, 10/25/2033 (C) | 3,392,462 | 3,341,439 | 0.3% | ||||
Nelnet Student Loan Trust Series 2005-2, Class A5 (3 month LIBOR + 0.100%), 0.235%, 03/23/2037 (C) | 3,296,713 | 3,244,171 | 0.3% |
Shares or Principal Amount | Value | % of Net Assets | |||||
ASSET BACKED SECURITIES (continued) | |||||||
SLM Student Loan Trust Series 2007-2, Class A4 (3 month LIBOR + 0.060%), 0.236%, 07/25/2022 (C) | $ | 2,862,462 | $ | 2,787,550 | 0.3% | ||
SMB Private Education Loan Trust Series 2020-PTB, Class A2A, 1.600%, 09/15/2054 (B) | 4,469,000 | 4,502,403 | 0.4% | ||||
SMB Private Education Loan Trust Series 2021-A, Class APT1, 1.070%, 01/15/2053 (B) | 3,993,093 | 3,933,012 | 0.4% | ||||
OTHER SECURITIES | 62,164,855 | 6.0% | |||||
TOTAL ASSET BACKED SECURITIES (Cost $85,618,217) | $ | 86,099,188 | |||||
SHORT-TERM INVESTMENTS - 2.1% | |||||||
Short-term funds - 2.1% | |||||||
John Hancock Collateral Trust, 0.0324% (D)(E) | 163,840 | 1,639,149 | 0.1% | ||||
State Street Institutional U.S. Government Money Market Fund, Premier Class, 0.0250% (D) | 20,468,469 | 20,468,469 | 2.0% | ||||
22,107,618 | |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $22,107,626) | $ | 22,107,618 | |||||
Total Investments (Core Bond Trust) (Cost $1,111,649,112) - 108.1% | $ | 1,118,823,105 | 108.1% | ||||
Other assets and liabilities, net - (8.1)% | (83,963,369) | (8.1%) | |||||
TOTAL NET ASSETS - 100.0% | $ | 1,034,859,736 | 100.0% |
Security Abbreviations and Legend | |
LIBOR | London Interbank Offered Rate |
SOFR | Secured Overnight Financing 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. |
(A) | Security purchased or sold on a when-issued or delayed delivery basis. |
(B) | 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 $142,451,030 or 13.8% of the fund's net assets as of 6-30-21. |
(C) | Variable rate obligation. The coupon rate shown represents the rate at period end. |
(D) | The rate shown is the annualized seven-day yield as of 6-30-21. |
(E) | Investment is an affiliate of the fund, the advisor and/or subadvisor. This security represents the investment of cash collateral received for securities lending. |
Shares or Principal Amount | Value | % of Net Assets | |||||
FOREIGN GOVERNMENT OBLIGATIONS - 0.6% | |||||||
Argentina - 0.3% | $ | 707,776 | 0.3% |
The accompanying notes are an integral part of the financial statements. | 9 |
Shares or Principal Amount | Value | % of Net Assets | |||||
FOREIGN GOVERNMENT OBLIGATIONS (continued) | |||||||
Brazil - 0.3% | $ | 587,052 | 0.3% | ||||
Indonesia - 0.0% | 5,643 | 0.0% | |||||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost $2,208,328) | $ | 1,300,471 | |||||
CORPORATE BONDS - 79.7% | |||||||
Communication services - 12.7% | |||||||
Allen Media LLC 10.500%, 02/15/2028 (A) | $ | 810,000 | 860,625 | 0.4% | |||
CCO Holdings LLC 4.500%, 05/01/2032 | 820,000 | 849,725 | 0.4% | ||||
CCO Holdings LLC 5.125%, 05/01/2027 (A) | 1,060,000 | 1,111,834 | 0.5% | ||||
Clear Channel Outdoor Holdings, Inc. 7.500%, 06/01/2029 (A) | 760,000 | 786,856 | 0.4% | ||||
CSC Holdings LLC 6.500%, 02/01/2029 (A) | 800,000 | 886,080 | 0.4% | ||||
DISH DBS Corp. 7.750%, 07/01/2026 | 1,530,000 | 1,732,725 | 0.8% | ||||
Netflix, Inc. 6.375%, 05/15/2029 | 700,000 | 894,075 | 0.4% | ||||
Sprint Corp. 7.875%, 09/15/2023 | 1,170,000 | 1,329,209 | 0.6% | ||||
Vmed O2 UK Financing I PLC 4.750%, 07/15/2031 (A) | 910,000 | 923,650 | 0.4% | ||||
OTHER SECURITIES | 17,374,666 | 8.4% | |||||
26,749,445 | |||||||
Consumer discretionary - 14.9% | |||||||
Adtalem Global Education, Inc. 5.500%, 03/01/2028 (A) | 980,000 | 995,239 | 0.5% | ||||
American News Company LLC (8.500% Cash or 10.000% PIK) 8.500%, 09/01/2026 (A) | 986,955 | 1,105,390 | 0.5% | ||||
Ford Motor Company 9.000%, 04/22/2025 | 670,000 | 826,023 | 0.4% | ||||
Ford Motor Credit Company LLC 5.113%, 05/03/2029 | 1,100,000 | 1,231,428 | 0.6% | ||||
L Brands, Inc. 5.250%, 02/01/2028 | 1,020,000 | 1,141,125 | 0.5% | ||||
NCL Corp., Ltd. 12.250%, 05/15/2024 (A) | 790,000 | 954,083 | 0.4% | ||||
Viking Cruises, Ltd. 7.000%, 02/15/2029 (A) | 800,000 | 832,344 | 0.4% | ||||
Viking Cruises, Ltd. 13.000%, 05/15/2025 (A) | 910,000 | 1,070,560 | 0.5% | ||||
VOC Escrow, Ltd. 5.000%, 02/15/2028 (A) | 1,525,000 | 1,541,775 | 0.7% | ||||
WW International, Inc. 4.500%, 04/15/2029 (A) | 800,000 | 806,000 | 0.4% | ||||
OTHER SECURITIES | 21,005,797 | 10.0% | |||||
31,509,764 | |||||||
Consumer staples - 1.1% | 2,207,990 | 1.1% | |||||
Energy - 10.4% | |||||||
Berry Petroleum Company LLC 7.000%, 02/15/2026 (A) | 1,290,000 | 1,309,350 | 0.6% | ||||
Colgate Energy Partners III LLC 5.875%, 07/01/2029 (A) | 1,020,000 | 1,058,250 | 0.5% |
Shares or Principal Amount | Value | % of Net Assets | |||||
CORPORATE BONDS (continued) | |||||||
Energy (continued) | |||||||
MEG Energy Corp. 7.125%, 02/01/2027 (A) | $ | 1,130,000 | $ | 1,203,817 | 0.6% | ||
Oasis Petroleum, Inc. 6.375%, 06/01/2026 (A) | 990,000 | 1,032,303 | 0.5% | ||||
OTHER SECURITIES | 17,336,515 | 8.2% | |||||
21,940,235 | |||||||
Financials - 8.3% | |||||||
Global Aircraft Leasing Company, Ltd. (6.500% Cash or 7.250% PIK) 6.500%, 09/15/2024 (A) | 2,201,318 | 2,212,299 | 1.1% | ||||
OTHER SECURITIES | 15,277,545 | 7.2% | |||||
17,489,844 | |||||||
Health care - 7.3% | |||||||
Bausch Health Americas, Inc. 9.250%, 04/01/2026 (A) | 810,000 | 881,037 | 0.4% | ||||
Bausch Health Companies, Inc. 6.250%, 02/15/2029 (A) | 1,060,000 | 1,048,393 | 0.5% | ||||
Community Health Systems, Inc. 6.125%, 04/01/2030 (A) | 860,000 | 872,900 | 0.4% | ||||
Community Health Systems, Inc. 6.625%, 02/15/2025 (A) | 810,000 | 856,567 | 0.4% | ||||
Community Health Systems, Inc. 6.875%, 04/15/2029 (A) | 760,000 | 795,317 | 0.4% | ||||
HCA, Inc. 5.625%, 09/01/2028 | 800,000 | 948,000 | 0.4% | ||||
OTHER SECURITIES | 10,113,235 | 4.8% | |||||
15,515,449 | |||||||
Industrials - 10.6% | |||||||
Legends Hospitality Holding Company LLC 5.000%, 02/01/2026 (A) | 850,000 | 886,125 | 0.4% | ||||
Madison IAQ LLC 5.875%, 06/30/2029 (A) | 900,000 | 915,750 | 0.4% | ||||
Prime Security Services Borrower LLC 6.250%, 01/15/2028 (A) | 920,000 | 978,650 | 0.5% | ||||
SRM Escrow Issuer LLC 6.000%, 11/01/2028 (A) | 770,000 | 816,200 | 0.4% | ||||
TransDigm, Inc. 4.625%, 01/15/2029 (A) | 890,000 | 890,312 | 0.4% | ||||
OTHER SECURITIES | 17,997,852 | 8.5% | |||||
22,484,889 | |||||||
Information technology - 4.6% | |||||||
CommScope, Inc. 8.250%, 03/01/2027 (A) | 1,260,000 | 1,346,688 | 0.6% | ||||
Gartner, Inc. 3.625%, 06/15/2029 (A) | 820,000 | 832,300 | 0.4% | ||||
OTHER SECURITIES | 7,618,194 | 3.6% | |||||
9,797,182 | |||||||
Materials - 4.4% | |||||||
Ardagh Metal Packaging Finance USA LLC 4.000%, 09/01/2029 (A) | 800,000 | 793,260 | 0.4% | ||||
First Quantum Minerals, Ltd. 6.875% 03/01/2026 to 10/15/2027 (A) | 1,450,000 | 1,536,911 | 0.7% | ||||
Greif, Inc. 6.500%, 03/01/2027 (A) | 840,000 | 885,948 | 0.4% |
The accompanying notes are an integral part of the financial statements. | 10 |
Shares or Principal Amount | Value | % of Net Assets | |||||
CORPORATE BONDS (continued) | |||||||
Materials (continued) | |||||||
OTHER SECURITIES | $ | 6,063,025 | 2.9% | ||||
9,279,144 | |||||||
Real estate - 4.6% | |||||||
Diversified Healthcare Trust 4.750%, 02/15/2028 | $ | 930,000 | 916,050 | 0.4% | |||
Five Point Operating Company LP 7.875%, 11/15/2025 (A) | 1,060,000 | 1,119,572 | 0.5% | ||||
OTHER SECURITIES | 7,601,093 | 3.7% | |||||
9,636,715 | |||||||
Utilities - 0.8% | 1,755,693 | 0.8% | |||||
TOTAL CORPORATE BONDS (Cost $163,930,522) | $ | 168,366,350 | |||||
CONVERTIBLE BONDS - 1.4% | |||||||
Communication services - 0.4% | 739,733 | 0.4% | |||||
Consumer discretionary - 0.2% | 332,987 | 0.2% | |||||
Energy - 0.4% | |||||||
Cheniere Energy, Inc. 4.250%, 03/15/2045 | 990,000 | 833,786 | 0.4% | ||||
Financials - 0.2% | 501,900 | 0.2% | |||||
Industrials - 0.0% | 85,779 | 0.0% | |||||
Information technology - 0.0% | 76,800 | 0.0% | |||||
Real estate - 0.1% | 191,371 | 0.1% | |||||
Utilities - 0.1% | 89,685 | 0.1% | |||||
TOTAL CONVERTIBLE BONDS (Cost $2,780,665) | $ | 2,852,041 | |||||
TERM LOANS (B) - 7.9% | |||||||
Communication services - 0.7% | 1,492,949 | 0.7% | |||||
Consumer discretionary - 2.7% | |||||||
Adtalem Global Education, Inc., 2021 Term Loan B 02/11/2028 TBD (C) | 830,000 | 827,718 | 0.4% | ||||
Petco Health & Wellness Company, Inc., 2021 Term Loan B (3 month LIBOR + 3.250%) 4.000%, 03/03/2028 | 1,296,750 | 1,293,742 | 0.6% | ||||
OTHER SECURITIES | 3,544,938 | 1.7% | |||||
5,666,398 | |||||||
Financials - 0.5% | 1,113,210 | 0.5% | |||||
Health care - 1.1% | 2,277,380 | 1.1% | |||||
Industrials - 1.2% | |||||||
United Airlines, Inc., 2021 Term Loan B (3 month LIBOR + 3.750%) 4.500%, 04/21/2028 | 1,127,175 | 1,140,949 | 0.6% | ||||
OTHER SECURITIES | 1,372,253 | 0.6% | |||||
2,513,202 | |||||||
Information technology - 1.5% | |||||||
Dcert Buyer, Inc., 2021 2nd Lien Term Loan (1 month LIBOR + 7.000%) 7.104%, 02/16/2029 | 820,000 | 825,642 | 0.4% | ||||
OTHER SECURITIES | 2,367,543 | 1.1% | |||||
3,193,185 | |||||||
Materials - 0.2% | 441,696 | 0.2% | |||||
TOTAL TERM LOANS (Cost $16,566,055) | $ | 16,698,020 |
Shares or Principal Amount | Value | % of Net Assets | |||||
ASSET BACKED SECURITIES - 4.8% | |||||||
OZLM XIX, Ltd. Series 2017-19A, Class C (3 month LIBOR + 3.100%), 3.341%, 11/22/2030 (A)(D) | $ | 810,000 | $ | 796,975 | 0.4% | ||
OTHER SECURITIES | 9,425,605 | 4.4% | |||||
TOTAL ASSET BACKED SECURITIES (Cost $10,193,321) | $ | 10,222,580 | |||||
COMMON STOCKS - 0.9% | |||||||
Communication services - 0.0% | 0 | 0.0% | |||||
Consumer discretionary - 0.1% | 132,243 | 0.1% | |||||
Energy - 0.8% | |||||||
Oasis Petroleum, Inc. | 8,771 | 881,924 | 0.4% | ||||
OTHER SECURITIES | 864,854 | 0.4% | |||||
1,746,778 | |||||||
TOTAL COMMON STOCKS (Cost $9,868,729) | $ | 1,879,021 | |||||
PREFERRED SECURITIES - 1.0% | |||||||
Energy - 0.5% | 1,056,276 | 0.5% | |||||
Financials - 0.5% | 1,052,537 | 0.5% | |||||
TOTAL PREFERRED SECURITIES (Cost $1,978,171) | $ | 2,108,813 | |||||
ESCROW CERTIFICATES - 0.0% | 0 | 0.0% | |||||
TOTAL ESCROW CERTIFICATES (Cost $342,202) | $ | 0 | |||||
SHORT-TERM INVESTMENTS - 4.6% | |||||||
Short-term funds - 4.6% | |||||||
John Hancock Collateral Trust, 0.0324% (E)(F) | 345,094 | 3,452,532 | 1.6% | ||||
State Street Institutional Treasury Plus Money Market Fund, Premier Class, 0.0101% (E) | 6,349,558 | 6,349,558 | 3.0% | ||||
9,802,090 | |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $9,802,174) | $ | 9,802,090 | |||||
Total Investments (High Yield Trust) (Cost $217,670,167) - 100.9% | $ | 213,229,386 | 100.9% | ||||
Other assets and liabilities, net - (0.9)% | (1,978,848) | (0.9%) | |||||
TOTAL NET ASSETS - 100.0% | $ | 211,250,538 | 100.0% |
Security Abbreviations and Legend | |
LIBOR | London Interbank Offered Rate |
PIK | Pay-in-Kind Security - Represents a payment-in-kind which may pay interest in additional par and/or cash. Rates shown are the current rate and most recent payment rate. |
(A) | 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 $141,021,057 or 66.8% of the fund's net assets as of 6-30-21. |
(B) | Term loans are variable rate obligations. The coupon rate shown represents the rate at period end. |
(C) | This position represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate, which is disclosed as TBD (To Be Determined). |
(D) | Variable rate obligation. The coupon rate shown represents the rate at period end. |
(E) | The rate shown is the annualized seven-day yield as of 6-30-21. |
The accompanying notes are an integral part of the financial statements. | 11 |
(F) | Investment is an affiliate of the fund, the advisor and/or subadvisor. This security represents the investment of cash collateral received for securities lending. |
Open contracts | Number of contracts | Position | Expiration date | Notional basis^ | Notional value^ | Unrealized appreciation (depreciation) |
5-Year U.S. Treasury Note Futures | 81 | Long | Sep 2021 | $10,011,021 | $9,997,805 | $(13,216) |
$(13,216) |
Contract to buy | Contract to sell | Counterparty (OTC) | Contractual settlement date | Unrealized appreciation | Unrealized depreciation | ||
EUR | 442,617 | USD | 527,870 | BNP | 7/19/2021 | — | $(2,850) |
MXN | 1,174,325 | USD | 57,761 | MSCS | 7/19/2021 | $1,027 | — |
USD | 587,521 | CAD | 724,887 | JPM | 7/19/2021 | 2,753 | — |
$3,780 | $(2,850) |
Credit default swaps - Seller | |||||||||||
Counterparty (OTC)/ Centrally cleared | Reference obligation | Implied credit spread | Notional amount | Currency | USD notional amount | Received fixed rate | Fixed payment frequency | Maturity date | Unamortized upfront payment paid (received) | Unrealized appreciation (depreciation) | Value |
Centrally cleared | Ford Motor Credit Company LLC | 1.163% | 300,000 | USD | $300,000 | 5.000% | Quarterly | Jun 2023 | $(12,872) | $35,863 | $22,991 |
Centrally cleared | Occidental Petroleum Corp. | 1.900% | 750,000 | USD | 750,000 | 1.000% | Quarterly | Jun 2026 | (34,369) | 2,950 | (31,419) |
$1,050,000 | $(47,241) | $38,813 | $(8,428) |
Derivatives Currency Abbreviations | |
CAD | Canadian Dollar |
EUR | Euro |
MXN | Mexican Peso |
USD | U.S. Dollar |
Derivatives Abbreviations | |
BNP | BNP Paribas |
JPM | JPMorgan Chase Bank, N.A. |
MSCS | Morgan Stanley Capital Services LLC |
OTC | Over-the-counter |
Shares or Principal Amount | Value | % of Net Assets | |||||
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 67.0% | |||||||
U.S. Treasury Bonds - 17.4% | |||||||
1.250%, 05/15/2050 | $ | 1,335,000 | $ | 1,090,059 | 0.4% | ||
1.875%, 02/15/2051 | 2,545,000 | 2,428,884 | 0.9% | ||||
2.250%, 05/15/2041 to 08/15/2046 | 6,380,000 | 6,622,855 | 2.4% | ||||
2.500%, 02/15/2045 (A) | 1,204,000 | 1,302,672 | 0.5% | ||||
2.875%, 05/15/2043 | 1,170,000 | 1,345,591 | 0.5% | ||||
3.000%, 11/15/2044 to 02/15/2048 | 9,220,000 | 10,921,628 | 4.0% | ||||
3.125%, 08/15/2044 (A) | 5,535,000 | 6,642,649 | 2.4% | ||||
3.125%, 05/15/2048 | 3,205,000 | 3,908,723 | 1.4% |
Shares or Principal Amount | Value | % of Net Assets | |||||
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (continued) | |||||||
U.S. Treasury Bonds (continued) | |||||||
3.375%, 05/15/2044 | $ | 1,690,000 | $ | 2,107,285 | 0.8% | ||
3.625%, 08/15/2043 | 680,000 | 875,819 | 0.3% | ||||
3.750%, 11/15/2043 (A) | 2,908,000 | 3,817,204 | 1.4% | ||||
4.375%, 11/15/2039 | 1,170,000 | 1,627,625 | 0.6% | ||||
6.500%, 11/15/2026 | 3,135,000 | 4,050,028 | 1.5% | ||||
OTHER SECURITIES | 706,046 | 0.3% | |||||
47,447,068 | |||||||
U.S. Treasury Inflation Protected Securities - 1.0% | |||||||
0.875%, 02/15/2047 | 1,000,939 | 1,287,041 | 0.5% |
The accompanying notes are an integral part of the financial statements. | 12 |
Shares or Principal Amount | Value | % of Net Assets | |||||
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (continued) | |||||||
U.S. Treasury Inflation Protected Securities (continued) | |||||||
OTHER SECURITIES | $ | 1,539,340 | 0.5% | ||||
2,826,381 | |||||||
U.S. Treasury Notes - 9.3% | |||||||
0.250%, 06/30/2025 | $ | 3,705,000 | 3,639,294 | 1.3% | |||
0.375%, 01/31/2026 | 1,610,000 | 1,577,737 | 0.6% | ||||
0.625%, 05/15/2030 (A) | 8,095,000 | 7,566,612 | 2.8% | ||||
0.625%, 08/15/2030 | 1,590,000 | 1,481,309 | 0.5% | ||||
0.875%, 11/15/2030 | 1,425,000 | 1,355,086 | 0.5% | ||||
1.625%, 05/15/2031 | 2,120,000 | 2,152,959 | 0.8% | ||||
2.750%, 02/15/2028 | 6,865,000 | 7,564,104 | 2.8% | ||||
25,337,101 | |||||||
Federal Home Loan Mortgage Corp. - 0.7% | |||||||
3.500%, 03/01/2048 to 06/01/2048 | 1,227,356 | 1,292,304 | 0.5% | ||||
OTHER SECURITIES | 519,799 | 0.2% | |||||
1,812,103 | |||||||
Federal National Mortgage Association - 27.7% | |||||||
1.500%, TBA (B) | 4,000,000 | 4,046,059 | 1.5% | ||||
2.000%, TBA (B) | 39,890,000 | 40,415,688 | 14.8% | ||||
2.500%, 07/01/2030 to 04/01/2045 | 919,585 | 957,304 | 0.3% | ||||
2.500%, TBA (B) | 3,000,000 | 3,099,960 | 1.2% | ||||
2.660%, 03/01/2027 | 796,952 | 856,783 | 0.3% | ||||
3.000%, TBA (B) | 8,600,000 | 8,985,826 | 3.3% | ||||
3.500%, 06/01/2046 to 05/01/2048 | 4,325,920 | 4,575,760 | 1.7% | ||||
4.000%, TBA (B) | 5,800,000 | 6,175,640 | 2.3% | ||||
4.500%, TBA (B) | 3,300,000 | 3,550,333 | 1.3% | ||||
5.000%, TBA (B) | 1,800,000 | 1,971,886 | 0.7% | ||||
OTHER SECURITIES | 773,359 | 0.3% | |||||
75,408,598 | |||||||
Government National Mortgage Association - 10.9% | |||||||
2.000%, TBA (B) | 4,200,000 | 4,278,857 | 1.6% | ||||
3.000%, TBA (B) | 11,500,000 | 11,997,070 | 4.4% | ||||
3.500%, TBA (B) | 5,400,000 | 5,673,331 | 2.1% | ||||
4.000%, TBA (B) | 2,600,000 | 2,744,976 | 1.0% | ||||
4.500%, TBA (B) | 4,600,000 | 4,903,447 | 1.8% | ||||
OTHER SECURITIES | 230,226 | 0.0% | |||||
29,827,907 | |||||||
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (Cost $180,573,835) | $ | 182,659,158 | |||||
FOREIGN GOVERNMENT OBLIGATIONS - 5.4% | |||||||
Angola - 0.2% | 413,300 | 0.2% | |||||
Argentina - 0.0% | 51,139 | 0.0% | |||||
Australia - 0.1% | 304,525 | 0.1% | |||||
Bermuda - 0.1% | 199,500 | 0.1% | |||||
Brazil - 0.4% | |||||||
Federative Republic of Brazil 10.000%, 01/01/2031 | BRL | 5,476,000 | 1,159,621 | 0.4% | |||
Chile - 0.1% | 240,240 | 0.1% | |||||
Colombia - 0.2% | 642,407 | 0.2% | |||||
Croatia - 0.2% | 635,723 | 0.2% | |||||
Dominican Republic - 0.2% | 456,875 | 0.2% | |||||
Egypt - 0.1% | 222,621 | 0.1% | |||||
Ghana - 0.1% | 200,884 | 0.1% | |||||
Hungary - 0.1% | 245,879 | 0.1% |
Shares or Principal Amount | Value | % of Net Assets | |||||
FOREIGN GOVERNMENT OBLIGATIONS (continued) | |||||||
Indonesia - 0.2% | $ | 613,277 | 0.2% | ||||
Macedonia - 0.2% | 607,155 | 0.2% | |||||
Mexico - 1.3% | |||||||
Government of Mexico 7.750%, 05/29/2031 | MXN | 35,584,600 | 1,884,267 | 0.7% | |||
OTHER SECURITIES | 1,693,466 | 0.6% | |||||
3,577,733 | |||||||
Panama - 0.3% | 818,158 | 0.3% | |||||
Peru - 0.1% | 371,505 | 0.1% | |||||
Philippines - 0.2% | 633,018 | 0.2% | |||||
Romania - 0.5% | 1,294,896 | 0.5% | |||||
Saudi Arabia - 0.3% | 665,443 | 0.3% | |||||
Senegal - 0.2% | 515,347 | 0.2% | |||||
Serbia - 0.1% | 382,588 | 0.1% | |||||
Tunisia - 0.1% | 217,408 | 0.1% | |||||
United Arab Emirates - 0.1% | 282,741 | 0.1% | |||||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost $14,727,088) | $ | 14,751,983 | |||||
CORPORATE BONDS - 31.7% | |||||||
Communication services - 3.7% | |||||||
AT&T, Inc. 3.550%, 09/15/2055 (C) | $ | 798,000 | 800,676 | 0.3% | |||
OTHER SECURITIES | 9,242,445 | 3.4% | |||||
10,043,121 | |||||||
Consumer discretionary - 1.7% | 4,523,634 | 1.7% | |||||
Consumer staples - 1.5% | 4,084,616 | 1.5% | |||||
Energy - 2.1% | 5,805,730 | 2.1% | |||||
Financials - 8.4% | |||||||
Bank of America Corp. (3.366% to 1-23-25, then 3 month LIBOR + 0.810%) 01/23/2026 | 740,000 | 797,864 | 0.3% | ||||
OTHER SECURITIES | 22,150,001 | 8.1% | |||||
22,947,865 | |||||||
Health care - 3.1% | 8,390,664 | 3.1% | |||||
Industrials - 2.2% | 6,110,576 | 2.2% | |||||
Information technology - 3.9% | |||||||
Black Knight InfoServ LLC 3.625%, 09/01/2028 (C) | 824,000 | 819,847 | 0.3% | ||||
OTHER SECURITIES | 9,836,264 | 3.6% | |||||
10,656,111 | |||||||
Materials - 1.3% | 3,407,272 | 1.3% | |||||
Real estate - 0.7% | 1,945,942 | 0.7% | |||||
Utilities - 3.1% | 8,518,161 | 3.1% | |||||
TOTAL CORPORATE BONDS (Cost $81,865,694) | $ | 86,433,692 | |||||
MUNICIPAL BONDS - 2.3% | |||||||
Metropolitan Transportation Authority (New York) 5.175%, 11/15/2049 | 705,000 | 951,726 | 0.4% | ||||
New York Transportation Development Corp. 4.248%, 09/01/2035 | 785,000 | 869,652 | 0.3% |
The accompanying notes are an integral part of the financial statements. | 13 |
Shares or Principal Amount | Value | % of Net Assets | |||||
MUNICIPAL BONDS (continued) | |||||||
Philadelphia Authority for Industrial Development (Pennsylvania) 6.550%, 10/15/2028 | $ | 675,000 | $ | 877,283 | 0.3% | ||
OTHER SECURITIES | 3,477,589 | 1.3% | |||||
TOTAL MUNICIPAL BONDS (Cost $5,492,732) | $ | 6,176,250 | |||||
TERM LOANS (D) - 3.3% | |||||||
Communication services - 0.2% | 469,436 | 0.2% | |||||
Consumer discretionary - 0.6% | 1,706,238 | 0.6% | |||||
Consumer staples - 0.2% | 464,779 | 0.2% | |||||
Financials - 0.1% | 353,703 | 0.1% | |||||
Health care - 0.5% | 1,204,557 | 0.5% | |||||
Industrials - 0.8% | 2,250,215 | 0.8% | |||||
Information technology - 0.8% | 2,190,691 | 0.8% | |||||
Materials - 0.1% | 340,173 | 0.1% | |||||
TOTAL TERM LOANS (Cost $8,999,778) | $ | 8,979,792 | |||||
COLLATERALIZED MORTGAGE OBLIGATIONS - 15.5% | |||||||
Commercial and residential - 12.3% | |||||||
BBCMS Mortgage Trust Series 2017-DELC, Class A (1 month LIBOR + 0.850%), 0.951%, 08/15/2036 (C)(E) | 949,000 | 949,879 | 0.4% | ||||
Commercial Mortgage Trust (Bank of America Merrill Lynch/Deutsche Bank AG) Series 2013-WWP, Class A2, 3.424%, 03/10/2031 (C) | 800,000 | 835,507 | 0.3% | ||||
OTHER SECURITIES | 31,861,302 | 11.6% | |||||
33,646,688 | |||||||
Federal Home Loan Mortgage Corp. - 1.1% | 2,899,471 | 1.1% | |||||
Federal National Mortgage Association - 2.0% | 5,549,866 | 2.0% | |||||
Government National Mortgage Association - 0.1% | 154,655 | 0.1% | |||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $41,666,492) | $ | 42,250,680 | |||||
ASSET BACKED SECURITIES - 8.7% | |||||||
BlueMountain CLO XXXI, Ltd. Series 2021-31A, Class A1 (3 month LIBOR + 1.150%), 1.330%, 04/19/2034 (C)(E) | 810,000 | 809,997 | 0.3% | ||||
CIFC Funding, Ltd. Series 2017-2A, Class AR (3 month LIBOR + 0.950%), 1.118%, 04/20/2030 (C)(E) | 900,000 | 900,024 | 0.3% | ||||
Shackleton VIII CLO, Ltd. Series 2015-8A, Class A1R (3 month LIBOR + 0.920%), 1.108%, 10/20/2027 (C)(E) | 1,004,529 | 1,004,561 | 0.4% | ||||
OTHER SECURITIES | 20,948,582 | 7.7% | |||||
TOTAL ASSET BACKED SECURITIES (Cost $23,647,755) | $ | 23,663,164 |
Shares or Principal Amount | Value | % of Net Assets | |||||
COMMON STOCKS - 0.0% | |||||||
Energy - 0.0% | $ | 8,039 | 0.0% | ||||
TOTAL COMMON STOCKS (Cost $119,522) | $ | 8,039 | |||||
PURCHASED OPTIONS - 0.1% | |||||||
Puts - 0.1% | 91,675 | 0.1% | |||||
TOTAL PURCHASED OPTIONS (Cost $297,615) | $ | 91,675 | |||||
SHORT-TERM INVESTMENTS - 2.3% | |||||||
Short-term funds - 0.2% | |||||||
John Hancock Collateral Trust, 0.0324% (F)(G) | 61,096 | 611,242 | 0.2% | ||||
Repurchase agreement - 2.1% | |||||||
Deutsche Bank Tri-Party Repurchase Agreement dated 6-30-21 at 0.050% to be repurchased at $5,700,008 on 7-1-21, collateralized by $5,527,463 Federal National Mortgage Association, 2.500% due 11-1-50 (valued at $5,814,000) | $ | 5,700,000 | 5,700,000 | 2.1% | |||
TOTAL SHORT-TERM INVESTMENTS (Cost $6,311,256) | $ | 6,311,242 | |||||
Total Investments (Investment Quality Bond Trust) (Cost $363,701,767) - 136.3% | $ | 371,325,675 | 136.3% | ||||
Other assets and liabilities, net - (36.3)% | (98,835,107) | (36.3%) | |||||
TOTAL NET ASSETS - 100.0% | $ | 272,490,568 | 100.0% |
Currency Abbreviations | |
BRL | Brazilian Real |
MXN | Mexican Peso |
Security Abbreviations and Legend | |
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. |
(A) | All or a portion of this security is segregated at the custodian as collateral for certain derivatives. |
(B) | Security purchased or sold on a when-issued or delayed delivery basis. |
(C) | 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 $78,245,277 or 28.7% of the fund's net assets as of 6-30-21. |
(D) | Term loans are variable rate obligations. The coupon rate shown represents the rate at period end. |
(E) | Variable rate obligation. The coupon rate shown represents the rate at period end. |
(F) | The rate shown is the annualized seven-day yield as of 6-30-21. |
(G) | Investment is an affiliate of the fund, the advisor and/or subadvisor. This security represents the investment of cash collateral received for securities lending. |
The accompanying notes are an integral part of the financial statements. | 14 |
Open contracts | Number of contracts | Position | Expiration date | Notional basis^ | Notional value^ | Unrealized appreciation (depreciation) |
2-Year U.S. Treasury Note Futures | 55 | Long | Sep 2021 | $12,136,686 | $12,117,617 | $(19,069) |
Euro-OAT Futures | 18 | Long | Sep 2021 | 3,381,668 | 3,394,471 | 12,803 |
10-Year Australian Treasury Bond Futures | 19 | Short | Sep 2021 | (2,011,112) | (2,013,425) | (2,313) |
10-Year U.S. Treasury Note Futures | 89 | Short | Sep 2021 | (11,748,883) | (11,792,500) | (43,617) |
5-Year U.S. Treasury Note Futures | 151 | Short | Sep 2021 | (18,682,572) | (18,637,853) | 44,719 |
Euro-BTP Italian Government Bond Futures | 18 | Short | Sep 2021 | (3,209,934) | (3,231,620) | (21,686) |
Euro-Buxl Futures | 4 | Short | Sep 2021 | (948,690) | (963,967) | (15,277) |
German Euro BUND Futures | 29 | Short | Sep 2021 | (5,904,318) | (5,935,498) | (31,180) |
U.K. Long Gilt Bond Futures | 19 | Short | Sep 2021 | (3,345,590) | (3,366,814) | (21,224) |
U.S. Treasury Long Bond Futures | 44 | Short | Sep 2021 | (6,879,154) | (7,073,000) | (193,846) |
Ultra U.S. Treasury Bond Futures | 72 | Short | Sep 2021 | (10,440,765) | (10,598,625) | (157,860) |
Ultra U.S. Treasury Bond Futures | 30 | Short | Sep 2021 | (5,540,570) | (5,780,625) | (240,055) |
$(688,605) |
Contract to buy | Contract to sell | Counterparty (OTC) | Contractual settlement date | Unrealized appreciation | Unrealized depreciation | ||
USD | 349,239 | AUD | 450,000 | MSI | 9/15/2021 | $11,656 | — |
USD | 589,641 | BRL | 3,010,000 | CITI | 9/15/2021 | — | $(10,053) |
USD | 136,284 | EUR | 114,000 | BNP | 7/30/2021 | 1,030 | — |
USD | 5,732,129 | EUR | 4,706,000 | CITI | 9/15/2021 | 143,495 | — |
USD | 213,473 | EUR | 175,000 | DB | 9/15/2021 | 5,651 | — |
USD | 229,266 | EUR | 188,000 | JPM | 9/15/2021 | 6,006 | — |
USD | 1,287,283 | MXN | 25,710,000 | GSI | 9/15/2021 | 9,471 | — |
$177,309 | $(10,053) |
Interest rate swaptions | |||||||||
Description | Counterparty (OTC) | Floating rate index | Pay/receive floating rate | Exercise rate | Expiration date | Notional amount* | Premium | Value | |
Puts | |||||||||
5-Year Interest Rate Swap | BOA | 3 month USD LIBOR | Pay | 1.500% | Mar 2022 | USD | 8,705,000 | $87,050 | $(49,147) |
5-Year Interest Rate Swap | CITI | 3 month USD LIBOR | Pay | 1.500% | Mar 2022 | USD | 8,370,000 | 92,070 | (47,252) |
$179,120 | $(96,399) | ||||||||
* For this type of option, notional amounts are equivalent to number of contracts. |
Interest rate swaps | ||||||||||
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 |
Centrally cleared | 2,155,000 | USD | Fixed 0.075% | USD Compounded SOFR | Annual | Annual | Aug 2025 | $(207) | $46,696 | $46,489 |
Centrally cleared | 4,935,000 | USD | Fixed 0.750% | USD LIBOR BBA | Semi-Annual | Quarterly | Dec 2030 | (16,744) | 303,678 | 286,934 |
Centrally cleared | 2,460,000 | USD | Fixed 1.160% | USD LIBOR BBA | Semi-Annual | Quarterly | Dec 2040 | — | 234,108 | 234,108 |
Centrally cleared | 1,605,000 | USD | Fixed 0.810% | USD LIBOR BBA | Semi-Annual | Quarterly | Sep 2050 | 4,899 | 356,478 | 361,377 |
$(12,052) | $940,960 | $928,908 |
The accompanying notes are an integral part of the financial statements. | 15 |
Credit default swaps - Buyer | ||||||||||
Counterparty (OTC)/ Centrally cleared | Reference obligation | Notional amount | Currency | USD notional amount | Pay fixed rate | Fixed payment frequency | Maturity date | Unamortized upfront payment paid (received) | Unrealized appreciation (depreciation) | Value |
Centrally cleared | CDX.NA.HY.36 | 1,145,000 | USD | $1,145,000 | 5.000% | Quarterly | Jun 2026 | $(113,875) | $(4,505) | $(118,380) |
$1,145,000 | $(113,875) | $(4,505) | $(118,380) |
Credit default swaps - Seller | |||||||||||
Counterparty (OTC)/ Centrally cleared | Reference obligation | Implied credit spread | Notional amount | Currency | USD notional amount | Received fixed rate | Fixed payment frequency | Maturity date | Unamortized upfront payment paid (received) | Unrealized appreciation (depreciation) | Value |
DB | CMBX.NA.BBB-.6 | 31.098% | 110,000 | USD | $110,000 | 3.000% | Monthly | May 2063 | $(17,262) | $(11,567) | $(28,829) |
GSI | CMBX.NA.BBB-.6 | 31.098% | 140,000 | USD | 140,000 | 3.000% | Monthly | May 2063 | (21,819) | (14,873) | (36,692) |
GSI | CMBX.NA.BBB-.6 | 31.098% | 1,335,000 | USD | 1,335,000 | 3.000% | Monthly | May 2063 | (79,940) | (273,167) | (353,107) |
GSI | CMBX.NA.BBB-.6 | 31.098% | 1,390,000 | USD | 1,390,000 | 3.000% | Monthly | May 2063 | (84,112) | (283,543) | (367,655) |
MSI | CMBX.NA.BBB-.6 | 31.098% | 255,000 | USD | 255,000 | 3.000% | Monthly | May 2063 | (38,679) | (28,152) | (66,831) |
MSI | CMBX.NA.BBB-.6 | 31.098% | 130,000 | USD | 130,000 | 3.000% | Monthly | May 2063 | (20,048) | (14,023) | (34,071) |
MSI | CMBX.NA.BBB-.6 | 31.098% | 115,000 | USD | 115,000 | 3.000% | Monthly | May 2063 | (18,073) | (12,067) | (30,140) |
MSI | CMBX.NA.BBB-.6 | 31.098% | 69,000 | USD | 69,000 | 3.000% | Monthly | May 2063 | (10,849) | (7,235) | (18,084) |
$3,544,000 | $(290,782) | $(644,627) | $(935,409) | ||||||||
Centrally cleared | CDX.EM.35 | 1.549% | 1,315,000 | USD | 1,315,000 | 1.000% | Quarterly | Jun 2026 | (45,593) | 11,774 | (33,819) |
Centrally cleared | CDX.NA.IG.36 | 0.479% | 490,000 | USD | 490,000 | 1.000% | Quarterly | Jun 2026 | 10,267 | 2,336 | 12,603 |
Centrally cleared | Federative Republic of Brazil | 1.620% | 150,000 | USD | 150,000 | 1.000% | Quarterly | Jun 2026 | (4,630) | 209 | (4,421) |
Centrally cleared | Government of Mexico | 0.929% | 160,000 | USD | 160,000 | 1.000% | Quarterly | Jun 2026 | 106 | 494 | 600 |
Centrally cleared | Republic of Colombia | 1.362% | 915,000 | USD | 915,000 | 1.000% | Quarterly | Jun 2026 | (11,668) | (4,047) | (15,715) |
Centrally cleared | Republic of Indonesia | 0.749% | 665,000 | USD | 665,000 | 1.000% | Quarterly | Jun 2026 | 3,584 | 4,759 | 8,343 |
Centrally cleared | Republic of Panama | 0.666% | 210,000 | USD | 210,000 | 1.000% | Quarterly | Jun 2026 | 1,787 | 1,714 | 3,501 |
Centrally cleared | Republic of Peru | 0.821% | 445,000 | USD | 445,000 | 1.000% | Quarterly | Jun 2026 | 3,003 | 1,018 | 4,021 |
Centrally cleared | Russian Federation | 0.832% | 145,000 | USD | 145,000 | 1.000% | Quarterly | Jun 2026 | 350 | 884 | 1,234 |
$4,495,000 | $(42,794) | $19,141 | $(23,653) | ||||||||
$8,039,000 | $(333,576) | $(625,486) | $(959,062) |
Derivatives Currency Abbreviations | |
AUD | Australian Dollar |
BRL | Brazilian Real |
EUR | Euro |
MXN | Mexican Peso |
USD | U.S. Dollar |
Derivatives Abbreviations | |
BBA | The British Banker's Association |
BNP | BNP Paribas |
BOA | Bank of America, N.A. |
CITI | Citibank, N.A. |
DB | Deutsche Bank AG |
GSI | Goldman Sachs International |
JPM | JPMorgan Chase Bank, N.A. |
LIBOR | London Interbank Offered Rate |
MSI | Morgan Stanley & Co. International PLC |
OTC | Over-the-counter |
SOFR | Secured Overnight Financing Rate |
Shares or Principal Amount | Value | % of Net Assets | |||||
U.S. GOVERNMENT - 27.0% | |||||||
U.S. Treasury Bills - 19.5% | |||||||
0.010%, 08/26/2021 | $ | 86,720,300 | $ | 86,718,951 | 4.1% | ||
0.010%, 08/12/2021 | 34,815,100 | 34,814,694 | 1.6% |
Shares or Principal Amount | Value | % of Net Assets | |||||
U.S. GOVERNMENT (continued) | |||||||
U.S. Treasury Bills (continued) | |||||||
0.010%, 08/19/2021 | $ | 69,590,800 | $ | 69,589,853 | 3.3% | ||
0.030%, 07/27/2021 | 155,354,500 | 155,351,134 | 7.3% |
The accompanying notes are an integral part of the financial statements. | 16 |
Shares or Principal Amount | Value | % of Net Assets | |||||
U.S. GOVERNMENT (continued) | |||||||
U.S. Treasury Bills (continued) | |||||||
0.035%, 09/23/2021 | $ | 34,522,400 | $ | 34,519,581 | 1.6% | ||
0.041%, 07/20/2021 | 34,550,000 | 34,549,271 | 1.6% | ||||
415,543,484 | |||||||
U.S. Treasury Notes - 7.5% | |||||||
0.048%, 08/31/2021 | 28,372,600 | 28,464,385 | 1.3% | ||||
0.051%, 04/30/2022 | 17,338,200 | 17,598,455 | 0.8% | ||||
0.077%, 08/15/2021 | 49,241,800 | 49,405,437 | 2.3% | ||||
0.090%, (3 month USBMMY + 0.055%), 07/31/2022 (A) | 27,763,300 | 27,768,169 | 1.3% | ||||
0.095%, 03/31/2022 | 17,810,500 | 17,847,606 | 0.9% | ||||
OTHER SECURITIES | 17,288,074 | 0.9% | |||||
158,372,126 | |||||||
TOTAL U.S. GOVERNMENT (Cost $573,915,610) | $ | 573,915,610 | |||||
U.S. GOVERNMENT AGENCY - 72.2% | |||||||
Federal Agricultural Mortgage Corp. - 15.1% | |||||||
0.010%, 07/01/2021 | 69,050,000 | 69,050,000 | 3.2% | ||||
0.010%, 08/16/2021 | 20,875,000 | 20,874,733 | 1.0% | ||||
0.024%, (3 month LIBOR - 0.120%), 12/22/2021 (A) | 55,657,000 | 55,654,698 | 2.6% | ||||
0.033%, (3 month LIBOR - 0.130%), 08/13/2021 (A) | 20,817,000 | 20,816,934 | 1.0% | ||||
0.050%, 10/29/2021 | 17,451,000 | 17,451,000 | 0.8% | ||||
0.091%, (SOFR + 0.040%), 09/28/2021 (A) | 40,000,000 | 40,000,000 | 1.9% | ||||
0.096%, (1 month LIBOR), 07/28/2021 (A) | 36,845,000 | 36,845,000 | 1.7% | ||||
OTHER SECURITIES | 61,282,499 | 2.9% | |||||
321,974,864 | |||||||
Federal Farm Credit Bank - 15.3% | |||||||
0.005%, (1 month LIBOR - 0.070%), 08/11/2021 (A) | 17,700,000 | 17,700,000 | 0.8% | ||||
0.064%, (1 month LIBOR), 12/22/2021 (A) | 24,588,000 | 24,591,356 | 1.2% | ||||
0.117%, 01/06/2022 | 17,520,000 | 17,517,590 | 0.8% | ||||
0.142%, (SOFR + 0.090%), 07/15/2021 (A) | 18,472,000 | 18,472,000 | 0.9% | ||||
0.157%, (Prime rate - 3.095%), 04/20/2022 (A) | 28,319,000 | 28,319,000 | 1.3% | ||||
0.198%, (U.S. Federal Funds Effective Rate + 0.095%), 07/26/2021 (A) | 15,093,000 | 15,093,000 | 0.7% | ||||
0.265%, (3 month USBMMY + 0.290%), 04/11/2022 (A) | 15,382,000 | 15,391,509 | 0.7% | ||||
OTHER SECURITIES | 187,585,152 | 8.9% | |||||
324,669,607 | |||||||
Federal Home Loan Bank - 34.1% | |||||||
0.007%, (3 month LIBOR - 0.095%), 09/13/2021 (A) | 30,430,000 | 30,431,071 | 1.4% | ||||
0.008%, 07/28/2021 | 16,000,000 | 15,999,904 | 0.8% | ||||
0.010%, 07/30/2021 | 51,912,000 | 51,911,582 | 2.4% | ||||
0.010%, 08/11/2021 | 21,830,000 | 21,829,744 | 1.0% | ||||
0.010%, 08/16/2021 | 17,289,000 | 17,288,779 | 0.8% | ||||
0.015%, 08/06/2021 | 40,164,000 | 40,163,398 | 1.9% | ||||
0.018%, 07/16/2021 | 35,115,000 | 35,114,737 | 1.7% | ||||
0.018%, 08/04/2021 | 23,089,000 | 23,088,619 | 1.1% | ||||
0.023%, 09/03/2021 | 17,305,000 | 17,304,743 | 0.8% | ||||
0.025%, 09/20/2021 | 17,316,000 | 17,315,026 | 0.8% | ||||
0.029%, 07/14/2021 | 15,945,000 | 15,951,199 | 0.8% |
Shares or Principal Amount | Value | % of Net Assets | |||||
U.S. GOVERNMENT AGENCY (continued) | |||||||
Federal Home Loan Bank (continued) | |||||||
0.030%, (1 month LIBOR - 0.020%), 12/17/2021 (A) | $ | 50,260,000 | $ | 50,267,715 | 2.4% | ||
0.031%, 07/21/2021 | 45,590,000 | 45,589,231 | 2.1% | ||||
0.037%, (3 month LIBOR - 0.105%), 08/04/2021 (A) | 47,400,000 | 47,401,534 | 2.2% | ||||
0.041%, 08/25/2021 | 15,466,000 | 15,465,055 | 0.7% | ||||
0.044%, 09/29/2021 | 44,489,000 | 44,484,218 | 2.1% | ||||
0.046%, 09/29/2021 | 21,000,000 | 20,999,692 | 1.0% | ||||
0.046%, 08/18/2021 | 34,550,000 | 34,547,927 | 1.6% | ||||
0.056%, 08/02/2021 | 17,545,000 | 17,544,907 | 0.8% | ||||
0.059%, (1 month LIBOR - 0.025%), 08/27/2021 (A) | 36,835,000 | 36,835,706 | 1.7% | ||||
0.066%, (SOFR + 0.015%), 12/10/2021 (A) | 18,015,000 | 18,015,000 | 0.9% | ||||
0.112%, (SOFR + 0.060%), 11/23/2022 (A) | 18,370,000 | 18,370,000 | 0.9% | ||||
OTHER SECURITIES | 90,290,427 | 4.2% | |||||
726,210,214 | |||||||
Federal Home Loan Mortgage Corp. - 1.3% | 28,312,742 | 1.3% | |||||
Federal National Mortgage Association - 1.4% | |||||||
0.243%, (SOFR + 0.190%), 05/19/2022 (A) | 14,746,000 | 14,746,000 | 0.7% | ||||
OTHER SECURITIES | 14,906,074 | 0.7% | |||||
29,652,074 | |||||||
Tennessee Valley Authority - 4.8% | |||||||
0.048%, 07/28/2021 | 102,324,000 | 102,320,361 | 4.8% | ||||
U.S. Department of Housing and Urban Development - 0.2% | 4,796,916 | 0.2% | |||||
TOTAL U.S. GOVERNMENT AGENCY (Cost $1,537,936,778) | $ | 1,537,936,778 | |||||
REPURCHASE AGREEMENT - 0.8% | |||||||
Barclays Tri-Party Repurchase Agreement dated 6-30-21 at 0.050% to be repurchased at $16,900,023 on 7-1-21, collateralized by $15,858,736 U.S. Treasury Inflation Indexed Notes, 0.125% due 4-15-26 (valued at $17,238,075) | 16,900,000 | 16,900,000 | 0.8% | ||||
TOTAL REPURCHASE AGREEMENT (Cost $16,900,000) | $ | 16,900,000 | |||||
Total Investments (Money Market Trust) (Cost $2,128,752,388) - 100.0% | $ | 2,128,752,388 | 100.0% | ||||
Other assets and liabilities, net - (0.0)% | (73,428) | (0.0%) | |||||
TOTAL NET ASSETS - 100.0% | $ | 2,128,678,960 | 100.0% |
Security Abbreviations and Legend | |
LIBOR | London Interbank Offered Rate |
SOFR | Secured Overnight Financing Rate |
USBMMY | U.S. Treasury Bill Money Market Yield |
(A) | Variable rate obligation. |
The accompanying notes are an integral part of the financial statements. | 17 |
Shares or Principal Amount | Value | % of Net Assets | |||||
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 0.4% | |||||||
U.S. Treasury Inflation Protected Securities - 0.4% | |||||||
0.125%, 02/15/2051 (A) | $ | 758,848 | $ | 832,974 | 0.4% | ||
832,974 | |||||||
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (Cost $816,815) | $ | 832,974 | |||||
FOREIGN GOVERNMENT OBLIGATIONS - 42.6% | |||||||
Argentina - 0.2% | 498,814 | 0.2% | |||||
Australia - 2.1% | |||||||
Commonwealth of Australia 3.000%, 03/21/2047 | AUD | 5,175,000 | 4,440,282 | 2.1% | |||
Bermuda - 0.1% | 199,500 | 0.1% | |||||
Brazil - 2.4% | |||||||
10.000% 01/01/2025 to 01/01/2029 | BRL | 23,357,000 | 4,982,546 | 2.4% | |||
Bulgaria - 0.2% | 412,713 | 0.2% | |||||
Canada - 1.0% | |||||||
Government of Canada 2.750%, 12/01/2048 | CAD | 1,180,000 | 1,142,409 | 0.5% | |||
OTHER SECURITIES | 951,789 | 0.5% | |||||
2,094,198 | |||||||
Chile - 0.5% | 1,074,540 | 0.5% | |||||
Colombia - 0.9% | |||||||
Republic of Colombia 3.875%, 03/22/2026 | EUR | 670,000 | 886,461 | 0.4% | |||
OTHER SECURITIES | 916,636 | 0.5% | |||||
1,803,097 | |||||||
Croatia - 0.2% | 370,324 | 0.2% | |||||
Czech Republic - 0.2% | 366,665 | 0.2% | |||||
Dominican Republic - 0.1% | 281,650 | 0.1% | |||||
Egypt - 0.1% | 121,715 | 0.1% | |||||
Germany - 2.1% | |||||||
Federal Republic of Germany, Inflation Linked Bond 0.500%, 04/15/2030 | 3,055,215 | 4,369,003 | 2.1% | ||||
Ghana - 0.1% | 252,433 | 0.1% | |||||
Greece - 0.6% | |||||||
Republic of Greece, GDP-Linked Note 4.397%, 10/15/2042 (B)* | 409,185,000 | 1,310,016 | 0.6% | ||||
Honduras - 0.1% | 156,975 | 0.1% | |||||
Hungary - 0.7% | |||||||
Republic of Hungary 1.625%, 04/28/2032 | 520,000 | 655,676 | 0.3% | ||||
OTHER SECURITIES | 860,597 | 0.4% | |||||
1,516,273 | |||||||
Iceland - 1.8% | |||||||
Republic of Iceland 5.000%, 11/15/2028 | ISK | 433,770,000 | 3,872,057 | 1.8% | |||
Indonesia - 2.1% | |||||||
Republic of Indonesia 8.375%, 03/15/2034 | IDR | 33,135,000,000 | 2,526,761 | 1.2% | |||
Republic of Indonesia 9.000%, 03/15/2029 | 11,324,000,000 | 903,832 | 0.4% | ||||
OTHER SECURITIES | 944,119 | 0.5% | |||||
4,374,712 |
Shares or Principal Amount | Value | % of Net Assets | |||||
FOREIGN GOVERNMENT OBLIGATIONS (continued) | |||||||
Israel - 1.7% | |||||||
State of Israel 3.750%, 03/31/2047 | ILS | 8,740,000 | $ | 3,473,588 | 1.7% | ||
Ivory Coast - 0.1% | 236,762 | 0.1% | |||||
Japan - 4.6% | |||||||
Government of Japan, CPI Linked Bond 0.100%, 03/10/2028 | JPY | 1,047,885,084 | 9,668,142 | 4.6% | |||
Jordan - 0.1% | 207,808 | 0.1% | |||||
Kazakhstan - 0.3% | 703,631 | 0.3% | |||||
Macedonia - 0.2% | 447,674 | 0.2% | |||||
Malaysia - 0.3% | |||||||
Government of Malaysia 3.899%, 11/16/2027 | MYR | 2,680,000 | 680,883 | 0.3% | |||
Mexico - 1.3% | |||||||
Government of Mexico 3.625%, 04/09/2029 | EUR | 550,000 | 762,810 | 0.3% | |||
Government of Mexico 4.000%, 11/15/2040 | MXN | 19,342,262 | 1,046,165 | 0.5% | |||
Government of Mexico 7.500%, 06/03/2027 | 16,859,300 | 881,430 | 0.4% | ||||
OTHER SECURITIES | 150,788 | 0.1% | |||||
2,841,193 | |||||||
Morocco - 0.3% | 635,974 | 0.3% | |||||
New Zealand - 0.9% | |||||||
2.500% 09/20/2035 to 09/20/2040 | NZD | 1,459,226 | 1,385,182 | 0.7% | |||
OTHER SECURITIES | 471,393 | 0.2% | |||||
1,856,575 | |||||||
Norway - 2.3% | |||||||
Kingdom of Norway 1.375%, 08/19/2030 (C) | NOK | 20,150,000 | 2,348,326 | 1.1% | |||
Kingdom of Norway 1.750%, 09/06/2029 (C) | 21,131,000 | 2,539,311 | 1.2% | ||||
4,887,637 | |||||||
Oman - 0.1% | 198,750 | 0.1% | |||||
Panama - 0.9% | |||||||
4.500% 04/16/2050 to 04/01/2056 | $ | 1,560,000 | 1,765,520 | 0.8% | |||
OTHER SECURITIES | 203,970 | 0.1% | |||||
1,969,490 | |||||||
Paraguay - 0.1% | 235,000 | 0.1% | |||||
Peru - 0.2% | 433,364 | 0.2% | |||||
Philippines - 0.3% | 578,442 | 0.3% | |||||
Poland - 0.5% | |||||||
Republic of Poland 3.250%, 07/25/2025 | PLN | 2,580,000 | 736,631 | 0.3% | |||
OTHER SECURITIES | 387,876 | 0.2% | |||||
1,124,507 | |||||||
Qatar - 0.1% | 242,409 | 0.1% | |||||
Romania - 0.9% | |||||||
Republic of Romania 2.625%, 12/02/2040 (C) | EUR | 540,000 | 633,978 | 0.3% | |||
Republic of Romania 3.875%, 10/29/2035 | 520,000 | 723,331 | 0.4% | ||||
OTHER SECURITIES | 478,919 | 0.2% | |||||
1,836,228 | |||||||
Russia - 3.0% | |||||||
Government of Russia 6.900%, 05/23/2029 | RUB | 240,040,000 | 3,269,796 | 1.6% |
The accompanying notes are an integral part of the financial statements. | 18 |
Shares or Principal Amount | Value | % of Net Assets | |||||
FOREIGN GOVERNMENT OBLIGATIONS (continued) | |||||||
Russia (continued) | |||||||
Government of Russia 7.050%, 01/19/2028 | RUB | 82,055,000 | $ | 1,129,256 | 0.5% | ||
Government of Russia 7.650%, 04/10/2030 | 84,090,000 | 1,196,614 | 0.6% | ||||
OTHER SECURITIES | 620,117 | 0.3% | |||||
6,215,783 | |||||||
Saudi Arabia - 0.7% | |||||||
Kingdom of Saudi Arabia 2.000%, 07/09/2039 | EUR | 680,000 | 831,116 | 0.4% | |||
Kingdom of Saudi Arabia 2.250%, 02/02/2033 (C) | $ | 667,000 | 647,957 | 0.3% | |||
1,479,073 | |||||||
Senegal - 0.2% | 412,059 | 0.2% | |||||
Serbia - 0.1% | 115,936 | 0.1% | |||||
Slovenia - 0.2% | 368,745 | 0.2% | |||||
South Africa - 0.3% | |||||||
Republic of South Africa 7.000%, 02/28/2031 | ZAR | 11,880,000 | 713,051 | 0.3% | |||
South Korea - 5.8% | |||||||
1.375% 12/10/2029 to 06/10/2030 | KRW | 12,813,320,000 | 10,785,517 | 5.1% | |||
Republic of Korea, Inflation Linked Bond 1.750%, 06/10/2028 | 1,474,094,515 | 1,394,735 | 0.7% | ||||
12,180,252 | |||||||
Thailand - 1.3% | |||||||
Kingdom of Thailand 2.875%, 12/17/2028 | THB | 80,250,000 | 2,767,088 | 1.3% | |||
Turkey - 0.1% | 145,091 | 0.1% | |||||
Ukraine - 0.1% | 209,978 | 0.1% | |||||
United Arab Emirates - 0.1% | 186,203 | 0.1% | |||||
Uruguay - 0.0% | 15,911 | 0.0% | |||||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost $91,248,679) | $ | 89,564,740 | |||||
CORPORATE BONDS - 20.0% | |||||||
Canada - 0.3% | 624,629 | 0.3% | |||||
Cayman Islands - 0.1% | 254,668 | 0.1% | |||||
Chile - 0.2% | 436,369 | 0.2% | |||||
China - 0.4% | 894,533 | 0.4% | |||||
Finland - 0.5% | |||||||
Nokia OYJ 6.625%, 05/15/2039 | $ | 825,000 | 1,068,375 | 0.5% | |||
1,068,375 | |||||||
France - 0.2% | 475,979 | 0.2% | |||||
Indonesia - 0.1% | 252,500 | 0.1% | |||||
Ireland - 0.1% | 90,384 | 0.1% | |||||
Italy - 0.1% | 97,232 | 0.1% | |||||
Japan - 0.2% | 423,750 | 0.2% | |||||
Luxembourg - 0.3% | 629,246 | 0.3% | |||||
Malaysia - 0.1% | 204,218 | 0.1% | |||||
Morocco - 0.1% | 216,957 | 0.1% | |||||
Netherlands - 0.4% | 792,487 | 0.4% | |||||
Norway - 0.0% | 48,884 | 0.0% | |||||
Spain - 0.1% | 241,874 | 0.1% | |||||
United Arab Emirates - 0.2% | 433,898 | 0.2% | |||||
United Kingdom - 0.3% | 590,982 | 0.3% |
Shares or Principal Amount | Value | % of Net Assets | |||||
CORPORATE BONDS (continued) | |||||||
United States - 16.3% | |||||||
Black Knight InfoServ LLC 3.625%, 09/01/2028 (C) | $ | 675,000 | $ | 671,598 | 0.3% | ||
Booz Allen Hamilton, Inc. 3.875%, 09/01/2028 (C) | 640,000 | 652,800 | 0.3% | ||||
CDW LLC 3.250%, 02/15/2029 | 649,000 | 657,567 | 0.3% | ||||
FirstCash, Inc. 4.625%, 09/01/2028 (C) | 696,000 | 727,564 | 0.4% | ||||
Home Point Capital, Inc. 5.000%, 02/01/2026 (C) | 729,000 | 679,793 | 0.3% | ||||
MSCI, Inc. 3.875%, 02/15/2031 (C) | 980,013 | 1,016,980 | 0.5% | ||||
Reynolds American, Inc. 5.850%, 08/15/2045 | 580,000 | 710,184 | 0.3% | ||||
The William Carter Company 5.625%, 03/15/2027 (C) | 618,000 | 650,260 | 0.3% | ||||
United Wholesale Mortgage LLC 5.500%, 11/15/2025 to 04/15/2029 (C) | 931,000 | 934,827 | 0.5% | ||||
Viper Energy Partners LP 5.375%, 11/01/2027 (C) | 640,000 | 666,694 | 0.3% | ||||
OTHER SECURITIES | 26,834,453 | 12.8% | |||||
34,202,720 | |||||||
TOTAL CORPORATE BONDS (Cost $40,760,154) | $ | 41,979,685 | |||||
CONVERTIBLE BONDS - 1.6% | |||||||
Israel - 0.0% | 25,050 | 0.0% | |||||
Italy - 0.1% | 146,418 | 0.1% | |||||
Spain - 0.0% | 115,848 | 0.0% | |||||
United Kingdom - 0.2% | 452,520 | 0.2% | |||||
United States - 1.3% | 2,681,158 | 1.3% | |||||
TOTAL CONVERTIBLE BONDS (Cost $3,188,728) | $ | 3,420,994 | |||||
MUNICIPAL BONDS - 3.4% | |||||||
Commonwealth of Massachusetts, GO 2.514%, 07/01/2041 | 625,000 | 630,414 | 0.3% | ||||
OTHER SECURITIES | 6,521,228 | 3.1% | |||||
TOTAL MUNICIPAL BONDS (Cost $6,801,342) | $ | 7,151,642 | |||||
TERM LOANS (D) - 8.6% | |||||||
France - 0.1% | 164,967 | 0.1% | |||||
Germany - 0.0% | 99,958 | 0.0% | |||||
Israel - 0.0% | 99,240 | 0.0% | |||||
Luxembourg - 0.2% | 403,880 | 0.2% | |||||
Netherlands - 0.2% | 379,972 | 0.2% | |||||
Sweden - 0.2% | 401,814 | 0.2% | |||||
United Kingdom - 0.1% | 213,488 | 0.1% | |||||
United States - 7.8% | |||||||
Deerfield Dakota Holding LLC, 2020 USD Term Loan B (1 month LIBOR + 3.750%) 4.750%, 04/09/2027 | 697,950 | 700,567 | 0.3% | ||||
OTHER SECURITIES | 15,678,073 | 7.5% | |||||
16,378,640 | |||||||
TOTAL TERM LOANS (Cost $17,689,920) | $ | 18,141,959 |
The accompanying notes are an integral part of the financial statements. | 19 |
Shares or Principal Amount | Value | % of Net Assets | |||||
COLLATERALIZED MORTGAGE OBLIGATIONS - 8.7% | |||||||
Cayman Islands - 0.0% | $ | 99,489 | 0.0% | ||||
United States - 8.7% | 18,303,102 | 8.7% | |||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $17,661,776) | $ | 18,402,591 | |||||
ASSET BACKED SECURITIES - 4.2% | |||||||
Cayman Islands - 2.4% | 5,102,344 | 2.4% | |||||
United States - 1.8% | 3,749,066 | 1.8% | |||||
TOTAL ASSET BACKED SECURITIES (Cost $8,735,394) | $ | 8,851,410 | |||||
PREFERRED SECURITIES - 0.0% | |||||||
United States - 0.0% | 41,852 | 0.0% | |||||
TOTAL PREFERRED SECURITIES (Cost $40,158) | $ | 41,852 | |||||
EXCHANGE-TRADED FUNDS - 5.1% | |||||||
United States - 5.1% | |||||||
iShares JP Morgan USD Emerging Markets Bond ETF | 83,900 | 9,435,394 | 4.5% | ||||
SPDR Blackstone Senior Loan ETF | 15,000 | 694,350 | 0.3% | ||||
SPDR Bloomberg Barclays Convertible Securities ETF | 7,600 | 659,148 | 0.3% | ||||
10,788,892 | |||||||
TOTAL EXCHANGE-TRADED FUNDS (Cost $10,734,246) | $ | 10,788,892 | |||||
SHORT-TERM INVESTMENTS - 4.0% | |||||||
Short-term funds - 4.0% | |||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class (E) | 8,342,089 | 8,342,089 | 4.0% | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $8,342,089) | $ | 8,342,089 | |||||
Total Investments (Opportunistic Fixed Income Trust) (Cost $206,019,301) - 98.6% | $ | 207,518,828 | 98.6% | ||||
Other assets and liabilities, net - 1.4% | 2,908,994 | 1.4% | |||||
TOTAL NET ASSETS - 100.0% | $ | 210,427,822 | 100.0% |
Currency Abbreviations | |
AUD | Australian Dollar |
BRL | Brazilian Real |
CAD | Canadian Dollar |
EUR | Euro |
IDR | Indonesian Rupiah |
ILS | Israeli New Shekel |
ISK | Icelandic Krona |
JPY | Japanese Yen |
KRW | Korean Won |
MXN | Mexican Peso |
MYR | Malaysian Ringgit |
NOK | Norwegian Krone |
NZD | New Zealand Dollar |
PLN | Polish Zloty |
RUB | Russian Ruble |
THB | Thai Bhat |
ZAR | South African Rand |
Security Abbreviations and Legend | |
CPI | Consumer Price Index |
LIBOR | London Interbank Offered Rate |
GO | General Obligation |
(A) | All or a portion of this security is segregated at the custodian as collateral for certain derivatives. |
(B) | Non-income producing security. |
(C) | 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 $51,745,253 or 24.6% of the fund's net assets as of 6-30-21. |
(D) | Term loans are variable rate obligations. The coupon rate shown represents the rate at period end. |
(E) | The rate shown is the annualized seven-day yield as of 6-30-21. |
* | 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) |
10-Year Australian Treasury Bond Futures | 52 | Long | Sep 2021 | $5,495,449 | $5,510,425 | $14,976 |
10-Year U.S. Treasury Note Futures | 123 | Long | Sep 2021 | 16,233,283 | 16,297,500 | 64,217 |
5-Year U.S. Treasury Note Futures | 66 | Long | Sep 2021 | 8,155,125 | 8,146,359 | (8,766) |
Euro SCHATZ Futures | 1 | Long | Sep 2021 | 132,995 | 132,970 | (25) |
Ultra U.S. Treasury Bond Futures | 8 | Long | Sep 2021 | 1,159,924 | 1,177,625 | 17,701 |
Ultra U.S. Treasury Bond Futures | 24 | Long | Sep 2021 | 4,432,125 | 4,624,500 | 192,375 |
10-Year Canada Government Bond Futures | 8 | Short | Sep 2021 | (928,157) | (939,142) | (10,985) |
10-Year Mini Japan Government Bond Futures | 16 | Short | Sep 2021 | (2,181,730) | (2,185,661) | (3,931) |
2-Year U.S. Treasury Note Futures | 40 | Short | Sep 2021 | (8,825,762) | (8,812,812) | 12,950 |
Euro-Buxl Futures | 12 | Short | Sep 2021 | (2,859,115) | (2,891,902) | (32,787) |
German Euro BOBL Futures | 8 | Short | Sep 2021 | (1,271,744) | (1,272,547) | (803) |
German Euro BUND Futures | 69 | Short | Sep 2021 | (14,052,718) | (14,122,391) | (69,673) |
U.K. Long Gilt Bond Futures | 4 | Short | Sep 2021 | (704,343) | (708,803) | (4,460) |
U.S. Treasury Long Bond Futures | 76 | Short | Sep 2021 | (11,978,863) | (12,217,000) | (238,137) |
$(67,348) |
The accompanying notes are an integral part of the financial statements. | 20 |
Contract to buy | Contract to sell | Counterparty (OTC) | Contractual settlement date | Unrealized appreciation | Unrealized depreciation | ||
AUD | 665,000 | USD | 504,428 | GSI | 7/30/2021 | — | $(5,641) |
BRL | 21,224,000 | USD | 4,303,762 | JPM | 7/2/2021 | — | (36,602) |
BRL | 21,224,000 | USD | 4,242,933 | MSI | 7/2/2021 | $24,227 | — |
BRL | 6,560,000 | USD | 1,327,156 | GSI | 7/30/2021 | — | (12,140) |
CAD | 299,000 | USD | 242,736 | JPM | 7/30/2021 | — | (1,533) |
CHF | 918,000 | USD | 999,361 | BOA | 7/30/2021 | — | (6,459) |
CLP | 1,128,458,000 | USD | 1,546,680 | SSB | 7/30/2021 | — | (11,135) |
COP | 7,021,523,000 | USD | 1,855,175 | CITI | 7/30/2021 | 13,261 | — |
CZK | 26,351,000 | USD | 1,238,776 | BOA | 7/30/2021 | — | (13,709) |
EUR | 1,164,000 | USD | 1,390,092 | GSI | 7/30/2021 | — | (9,078) |
EUR | 4,305,000 | USD | 5,143,750 | JPM | 7/30/2021 | — | (36,136) |
GBP | 4,161,000 | USD | 5,809,239 | JPM | 7/30/2021 | — | (52,839) |
IDR | 46,731,000,000 | USD | 3,216,616 | JPM | 7/30/2021 | — | (17,736) |
INR | 240,402,000 | USD | 3,230,558 | JPM | 7/30/2021 | — | (8,009) |
JPY | 920,011,000 | USD | 8,302,562 | MSI | 7/30/2021 | — | (19,361) |
MXN | 61,730,000 | USD | 3,069,800 | BARC | 7/30/2021 | 16,319 | — |
NOK | 12,580,000 | USD | 1,477,833 | MSI | 7/30/2021 | — | (16,558) |
NZD | 1,422,000 | USD | 1,004,700 | MSI | 7/30/2021 | — | (10,784) |
PLN | 3,778,000 | USD | 996,290 | JPM | 7/30/2021 | — | (5,329) |
PLN | 4,305,000 | USD | 1,140,379 | MSI | 7/30/2021 | — | (11,187) |
RUB | 256,880,000 | USD | 3,540,633 | BARC | 7/30/2021 | — | (44,585) |
SGD | 2,755,000 | USD | 2,051,613 | BOA | 7/30/2021 | — | (2,829) |
TRY | 12,126,000 | USD | 1,370,991 | BARC | 7/30/2021 | 1,441 | — |
USD | 7,344,923 | AUD | 9,683,000 | GSI | 7/30/2021 | 82,134 | — |
USD | 4,242,933 | BRL | 21,224,000 | JPM | 7/2/2021 | — | (24,227) |
USD | 4,011,567 | BRL | 21,224,000 | MSI | 7/2/2021 | — | (255,592) |
USD | 4,290,364 | BRL | 21,224,000 | JPM | 8/3/2021 | 37,676 | — |
USD | 5,552,895 | CAD | 6,840,000 | JPM | 7/30/2021 | 35,067 | — |
USD | 20,955,950 | EUR | 17,533,000 | JPM | 7/30/2021 | 154,141 | — |
USD | 645,006 | GBP | 462,000 | JPM | 7/30/2021 | 5,867 | — |
USD | 2,313,623 | HUF | 678,358,000 | BOA | 7/30/2021 | 25,361 | — |
USD | 1,084,332 | IDR | 15,753,176,000 | JPM | 7/30/2021 | 5,979 | — |
USD | 3,546,532 | ILS | 11,533,000 | BARC | 7/30/2021 | 8,175 | — |
USD | 9,478,470 | JPY | 1,050,314,000 | MSI | 7/30/2021 | 22,104 | — |
USD | 13,234,164 | KRW | 14,971,148,000 | BOA | 7/30/2021 | — | (13,592) |
USD | 1,052,388 | MXN | 20,952,000 | GSI | 7/30/2021 | 4,917 | — |
USD | 8,087,317 | NOK | 68,843,000 | MSI | 7/30/2021 | 90,614 | — |
USD | 4,988,879 | NZD | 7,061,000 | MSI | 7/30/2021 | 53,548 | — |
USD | 5,214,301 | RUB | 378,308,000 | BARC | 7/30/2021 | 65,661 | — |
USD | 3,216,688 | SEK | 27,247,000 | MSI | 7/30/2021 | 32,095 | — |
USD | 3,188,750 | SGD | 4,282,000 | BOA | 7/30/2021 | 4,396 | — |
USD | 717,685 | THB | 22,920,000 | JPM | 7/30/2021 | 2,607 | — |
USD | 2,895,328 | ZAR | 41,237,000 | JPM | 7/30/2021 | 17,562 | — |
$703,152 | $(615,061) |
Interest rate swaps | ||||||||||
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 |
BOA | 26,670,000 | CNY | CNY CNREPOFIX Reuters | Fixed 2.340% | Quarterly | Quarterly | Sep 2025 | $(4,053) | $(61,570) | $(65,623) |
BOA | 4,140,000 | USD | Fixed 2.535% | USA CPI All Urban Consumers | At Maturity | At Maturity | Jun 2026 | — | 27,724 | 27,724 |
BOA | 1,170,000 | USD | Fixed 1.635% | USA CPI All Urban Consumers | At Maturity | At Maturity | Feb 2050 | — | 309,662 | 309,662 |
CITI | 10,560,000 | CNY | CNY CNREPOFIX Reuters | Fixed 2.390% | Quarterly | Quarterly | Jun 2025 | — | (57,650) | (57,650) |
CITI | 41,170,000 | CNY | CNY CNREPOFIX Reuters | Fixed 2.340% | Quarterly | Quarterly | Sep 2025 | (79,001) | (22,231) | (101,232) |
CITI | 27,880,000 | CNY | CNY CNREPOFIX Reuters | Fixed 2.340% | Quarterly | Quarterly | Sep 2025 | (44,115) | (24,126) | (68,241) |
CITI | 1,830,000 | ILS | ILS TELBOR Reuters | Fixed 1.493% | Annual | Quarterly | Sep 2031 | — | 13,345 | 13,345 |
CITI | 3,460,000 | ILS | ILS TELBOR Reuters | Fixed 1.442% | Annual | Quarterly | Sep 2031 | — | 20,076 | 20,076 |
JPM | 2,330,000 | USD | Fixed 1.830% | USA CPI All Urban Consumers | At Maturity | At Maturity | Feb 2050 | (57,889) | 532,114 | 474,225 |
$(185,058) | $737,344 | $552,286 | ||||||||
Centrally cleared | 2,550,000 | CAD | CAD CORRA Compounded OIS | Fixed 0.013% | Semi-Annual | Semi-Annual | Sep 2026 | — | 3,471 | 3,471 |
The accompanying notes are an integral part of the financial statements. | 21 |
Interest rate swaps (continued) | ||||||||||
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 |
Centrally cleared | 2,550,000 | CAD | CAD CORRA Compounded OIS | Fixed 0.013% | Semi-Annual | Semi-Annual | Sep 2026 | — | $2,720 | $2,720 |
Centrally cleared | 2,935,000 | CAD | CAD CORRA Compounded OIS | Fixed 1.283% | Semi-Annual | Semi-Annual | Nov 2026 | — | (2,428) | (2,428) |
Centrally cleared | 2,415,000 | CAD | CAD CORRA Compounded OIS | Fixed 1.266% | Semi-Annual | Semi-Annual | Nov 2026 | — | (3,268) | (3,268) |
Centrally cleared | 7,270,000 | PLN | Fixed 0.880% | PLN WIBOR WIBO | Annual | Semi-Annual | Sep 2030 | $1,233 | 123,038 | 124,271 |
Centrally cleared | 92,659,200 | MXN | MXN TIIE Banxico | Fixed 7.130% | Monthly | Monthly | Jun 2031 | 32,015 | 18,372 | 50,387 |
Centrally cleared | 84,380,000 | MXN | MXN TIIE Banxico | Fixed 6.940% | Monthly | Monthly | Sep 2031 | (1,514) | (44,203) | (45,717) |
Centrally cleared | 350,000 | GBP | Fixed 0.800% | GBP SONIA Compounded OIS | Annual | Annual | Jun 2071 | — | (22,627) | (22,627) |
Centrally cleared | 720,000 | GBP | Fixed 0.840% | GBP SONIA Compounded OIS | Annual | Annual | Sep 2071 | (28,042) | (34,182) | (62,224) |
Centrally cleared | 390,000 | GBP | Fixed 0.710% | GBP SONIA Compounded OIS | Annual | Annual | Sep 2071 | (151) | (4,523) | (4,674) |
$3,541 | $36,370 | $39,911 | ||||||||
$(181,517) | $773,714 | $592,197 |
Credit default swaps - Buyer | ||||||||||
Counterparty (OTC)/ Centrally cleared | Reference obligation | Notional amount | Currency | USD notional amount | Pay fixed rate | Fixed payment frequency | Maturity date | Unamortized upfront payment paid (received) | Unrealized appreciation (depreciation) | Value |
BARC | Government of Malaysia | 1,900,000 | USD | $1,900,000 | 1.000% | Quarterly | Dec 2025 | $(36,349) | $(19,355) | $(55,704) |
CITI | Government of Malaysia | 330,000 | USD | 330,000 | 1.000% | Quarterly | Dec 2025 | (6,188) | (3,487) | (9,675) |
CITI | Republic of Peru | 345,000 | USD | 345,000 | 1.000% | Quarterly | Dec 2025 | (5,931) | 943 | (4,988) |
CITI | Federative Republic of Brazil | 760,000 | USD | 760,000 | 1.000% | Quarterly | Jun 2026 | 21,211 | (920) | 20,291 |
CITI | Federative Republic of Brazil | 765,000 | USD | 765,000 | 1.000% | Quarterly | Jun 2026 | 20,923 | 1,435 | 22,358 |
CITI | Republic of South Africa | 780,000 | USD | 780,000 | 1.000% | Quarterly | Jun 2026 | 29,570 | 908 | 30,478 |
GSI | People's Republic of China | 3,880,000 | USD | 3,880,000 | 1.000% | Quarterly | Dec 2024 | (76,246) | (37,848) | (114,094) |
GSI | CMBX.NA.AAA.12 | 1,380,000 | USD | 1,380,000 | 0.500% | Monthly | Aug 2061 | (11,495) | (1,720) | (13,215) |
GSI | CMBX.NA.AAA.12 | 1,380,000 | USD | 1,380,000 | 0.500% | Monthly | Aug 2061 | (11,977) | (1,238) | (13,215) |
GSI | CMBX.NA.AAA.13 | 1,380,000 | USD | 1,380,000 | 0.500% | Monthly | Dec 2072 | (2,827) | (6,723) | (9,550) |
GSI | CMBX.NA.AAA.13 | 1,390,000 | USD | 1,390,000 | 0.500% | Monthly | Dec 2072 | (2,266) | (7,353) | (9,619) |
GSI | CMBX.NA.AAA.13 | 1,400,000 | USD | 1,400,000 | 0.500% | Monthly | Dec 2072 | (5,688) | (3,981) | (9,669) |
GSI | CMBX.NA.AAA.13 | 1,405,000 | USD | 1,405,000 | 0.500% | Monthly | Dec 2072 | (6,771) | (2,952) | (9,723) |
JPM | Republic of Korea | 9,630,000 | USD | 9,630,000 | 1.000% | Quarterly | Dec 2024 | (229,452) | (90,640) | (320,092) |
JPM | Republic of South Africa | 390,000 | USD | 390,000 | 1.000% | Quarterly | Jun 2026 | 15,945 | (1,692) | 14,253 |
MSI | Government of Japan | 9,570,000 | USD | 9,570,000 | 1.000% | Quarterly | Dec 2024 | (242,870) | (81,872) | (324,742) |
MSI | Government of Malaysia | 1,715,000 | USD | 1,715,000 | 1.000% | Quarterly | Dec 2025 | (32,963) | (17,317) | (50,280) |
MSI | Government of Malaysia | 1,840,000 | USD | 1,840,000 | 1.000% | Quarterly | Dec 2025 | (52,617) | (1,328) | (53,945) |
MSI | People's Republic of China | 680,000 | USD | 680,000 | 1.000% | Quarterly | Dec 2025 | (14,689) | (7,585) | (22,274) |
MSI | Federative Republic of Brazil | 770,000 | USD | 770,000 | 1.000% | Quarterly | Jun 2026 | 23,216 | (2,658) | 20,558 |
MSI | Federative Republic of Brazil | 775,000 | USD | 775,000 | 1.000% | Quarterly | Jun 2026 | 23,007 | (357) | 22,650 |
MSI | Republic of South Africa | 775,000 | USD | 775,000 | 1.000% | Quarterly | Jun 2026 | 33,317 | (4,994) | 28,323 |
MSI | Republic of South Africa | 770,000 | USD | 770,000 | 1.000% | Quarterly | Jun 2026 | 29,261 | (1,120) | 28,141 |
MSI | CMBX.NA.BBB-.7 | 2,030,000 | USD | 2,030,000 | 3.000% | Monthly | Jan 2047 | 44,685 | 310,967 | 355,652 |
MSI | CMBX.NA.BBB-.8 | 2,080,000 | USD | 2,080,000 | 3.000% | Monthly | Oct 2057 | 97,622 | 187,815 | 285,437 |
MSI | CMBX.NA.AAA.12 | 1,380,000 | USD | 1,380,000 | 0.500% | Monthly | Aug 2061 | (11,609) | (1,606) | (13,215) |
MSI | CMBX.NA.AAA.12 | 1,385,000 | USD | 1,385,000 | 0.500% | Monthly | Aug 2061 | (12,958) | (305) | (13,263) |
MSI | CMBX.NA.BBB-.12 | 250,000 | USD | 250,000 | 3.000% | Monthly | Aug 2061 | 17,181 | (8,889) | 8,292 |
MSI | CMBX.NA.AAA.13 | 1,390,000 | USD | 1,390,000 | 0.500% | Monthly | Dec 2072 | (4,567) | (5,052) | (9,619) |
The accompanying notes are an integral part of the financial statements. | 22 |
Credit default swaps - Buyer (continued) | ||||||||||
Counterparty (OTC)/ Centrally cleared | Reference obligation | Notional amount | Currency | USD notional amount | Pay fixed rate | Fixed payment frequency | Maturity date | Unamortized upfront payment paid (received) | Unrealized appreciation (depreciation) | Value |
MSI | CMBX.NA.AAA.13 | 1,480,000 | USD | $1,480,000 | 0.500% | Monthly | Dec 2072 | $(7,571) | $(2,671) | $(10,242) |
MSI | CMBX.NA.AAA.13 | 1,480,000 | USD | 1,480,000 | 0.500% | Monthly | Dec 2072 | (8,163) | (2,079) | (10,242) |
$55,485,000 | $(427,259) | $186,326 | $(240,933) | |||||||
Centrally cleared | iTraxx Europe Crossover Series 35 Version 1 | 265,000 | EUR | 312,077 | 5.000% | Quarterly | Jun 2026 | (36,327) | (3,177) | (39,504) |
Centrally cleared | iTraxx Europe Series 35 Version 1 | 4,790,000 | EUR | 5,793,886 | 1.000% | Quarterly | Jun 2026 | (151,348) | (1,674) | (153,022) |
Centrally cleared | iTraxx Europe Sub Financials Series 35 Version 1 | 3,375,000 | EUR | 4,066,585 | 1.000% | Quarterly | Jun 2026 | 12,445 | (7,506) | 4,939 |
$10,172,548 | $(175,230) | $(12,357) | $(187,587) | |||||||
$65,657,548 | $(602,489) | $173,969 | $(428,520) |
Credit default swaps - Seller | |||||||||||
Counterparty (OTC)/ Centrally cleared | Reference obligation | Implied credit spread | Notional amount | Currency | USD notional amount | Received fixed rate | Fixed payment frequency | Maturity date | Unamortized upfront payment paid (received) | Unrealized appreciation (depreciation) | Value |
BARC | Republic of Panama | 0.665% | 125,000 | USD | $125,000 | 1.000% | Quarterly | Jun 2026 | $1,206 | $1,192 | $2,398 |
CITI | Republic of Columbia | 1.360% | 280,000 | USD | 280,000 | 1.000% | Quarterly | Jun 2026 | (3,330) | (723) | (4,053) |
CITI | Republic of Panama | 0.665% | 125,000 | USD | 125,000 | 1.000% | Quarterly | Jun 2026 | 1,513 | 885 | 2,398 |
CITI | Republic of Peru | 0.820% | 115,000 | USD | 115,000 | 1.000% | Quarterly | Jun 2026 | 1,279 | 54 | 1,333 |
CITI | Republic of Peru | 0.820% | 100,000 | USD | 100,000 | 1.000% | Quarterly | Jun 2026 | 819 | 341 | 1,160 |
GSI | Republic of Columbia | 1.360% | 215,000 | USD | 215,000 | 1.000% | Quarterly | Jun 2026 | (2,554) | (558) | (3,112) |
GSI | Republic of Columbia | 1.360% | 215,000 | USD | 215,000 | 1.000% | Quarterly | Jun 2026 | (2,554) | (558) | (3,112) |
GSI | Republic of Columbia | 1.360% | 250,000 | USD | 250,000 | 1.000% | Quarterly | Jun 2026 | (3,027) | (592) | (3,619) |
GSI | Republic of Columbia | 1.360% | 125,000 | USD | 125,000 | 1.000% | Quarterly | Jun 2026 | (1,322) | (487) | (1,809) |
GSI | Republic of Columbia | 1.360% | 140,000 | USD | 140,000 | 1.000% | Quarterly | Jun 2026 | (1,036) | (990) | (2,026) |
GSI | Republic of Columbia | 1.360% | 255,000 | USD | 255,000 | 1.000% | Quarterly | Jun 2026 | (1,705) | (1,986) | (3,691) |
GSI | Republic of Panama | 0.665% | 110,000 | USD | 110,000 | 1.000% | Quarterly | Jun 2026 | 1,116 | 994 | 2,110 |
GSI | Republic of Peru | 0.820% | 110,000 | USD | 110,000 | 1.000% | Quarterly | Jun 2026 | 1,224 | 51 | 1,275 |
GSI | Republic of Peru | 0.820% | 65,000 | USD | 65,000 | 1.000% | Quarterly | Jun 2026 | 532 | 222 | 754 |
JPM | Republic of Columbia | 1.360% | 235,000 | USD | 235,000 | 1.000% | Quarterly | Jun 2026 | (1,906) | (1,496) | (3,402) |
MSI | Republic of Panama | 0.665% | 120,000 | USD | 120,000 | 1.000% | Quarterly | Jun 2026 | 1,216 | 1,086 | 2,302 |
MSI | Republic of Peru | 0.820% | 95,000 | USD | 95,000 | 1.000% | Quarterly | Jun 2026 | 824 | 278 | 1,102 |
$2,680,000 | $(7,705) | $(2,287) | $(9,992) |
Total return swaps | ||||||||||
Pay/ receive total return* | Reference entity | Floating/ fixed rate | Payment frequency | Currency | Notional amount | Maturity date | Counterparty (OTC) | Unamortized upfront payment paid (received) | Unrealized appreciation (depreciation) | Value |
Pay | iBoxx $ Liquid High Yield Index | 3-Month USD LIBOR | At Maturity | USD | 710,000 | Sep 2021 | GSI | — | $(14,033) | $(14,033) |
Pay | iBoxx $ Liquid High Yield Index | 3-Month USD LIBOR | At Maturity | USD | 1,420,000 | Dec 2021 | GSI | — | (32,943) | (32,943) |
Pay | iBoxx $ Liquid High Yield Index | 3-Month USD LIBOR | At Maturity | USD | 13,540,000 | Dec 2021 | GSI | — | (95,231) | (95,231) |
Pay | iBoxx $ Liquid High Yield Index | 3-Month USD LIBOR | At Maturity | USD | 750,000 | Dec 2021 | GSI | — | (6,496) | (6,496) |
Pay | iBoxx $ Liquid Investment Grade Index | 3-Month USD LIBOR | At Maturity | USD | 14,950,000 | Dec 2021 | GSI | — | (212,846) | (212,846) |
Pay | iBoxx $ Liquid High Yield Index | 3-Month USD LIBOR | At Maturity | USD | 705,000 | Sep 2021 | JPM | — | (9,475) | (9,475) |
Pay | iBoxx $ Liquid High Yield Index | 3-Month USD LIBOR | At Maturity | USD | 2,130,000 | Dec 2021 | JPM | — | (14,982) | (14,982) |
Pay | iBoxx $ Liquid Investment Grade Index | 3-Month USD LIBOR | At Maturity | USD | 5,580,000 | Sep 2021 | MSI | — | (285,342) | (285,342) |
Pay | iBoxx $ Liquid Investment Grade Index | 3-Month USD LIBOR | At Maturity | USD | 5,340,000 | Dec 2021 | MSI | — | (67,219) | (67,219) |
The accompanying notes are an integral part of the financial statements. | 23 |
Total return swaps | ||||||||||
Pay/ receive total return* | Reference entity | Floating/ fixed rate | Payment frequency | Currency | Notional amount | Maturity date | Counterparty (OTC) | Unamortized upfront payment paid (received) | Unrealized appreciation (depreciation) | Value |
Receive | iBoxx $ Liquid Leveraged Loan Index | 3-Month USD LIBOR | At Maturity | USD | 2,020,000 | Sep 2021 | JPM | — | $18,223 | $18,223 |
Receive | iBoxx $ Liquid Leveraged Loan Index | 3-Month USD LIBOR | At Maturity | USD | 2,420,000 | Sep 2021 | MSI | — | 8,413 | 8,413 |
— | $(711,931) | $(711,931) |
Derivatives Currency Abbreviations | |
AUD | Australian Dollar |
BRL | Brazilian Real |
CAD | Canadian Dollar |
CHF | Swiss Franc |
CLP | Chilean Peso |
CNY | Chinese Yuan Renminbi |
COP | Colombian Peso |
CZK | Czech Republic Koruna |
EUR | Euro |
GBP | Pound Sterling |
HUF | Hungarian Forint |
IDR | Indonesian Rupiah |
ILS | Israeli New Shekel |
INR | Indian Rupee |
JPY | Japanese Yen |
KRW | Korean Won |
MXN | Mexican Peso |
NOK | Norwegian Krone |
NZD | New Zealand Dollar |
PLN | Polish Zloty |
RUB | Russian Ruble |
SEK | Swedish Krona |
SGD | Singapore Dollar |
THB | Thai Bhat |
TRY | Turkish Lira |
USD | U.S. Dollar |
ZAR | South African Rand |
Derivatives Abbreviations | |
BARC | Barclays Bank PLC |
BOA | Bank of America, N.A. |
CITI | Citibank, N.A. |
CNREPOFIX | China Fixing Repo Rate |
CORRA | Canadian Overnight Repo Rate Average |
CPI | Consumer Price Index |
GSI | Goldman Sachs International |
JPM | JPMorgan Chase Bank, N.A. |
LIBOR | London Interbank Offered Rate |
MSI | Morgan Stanley & Co. International PLC |
OIS | Overnight Index Swap |
OTC | Over-the-counter |
SONIA | Sterling Overnight Interbank Average Rate |
SSB | State Street Bank and Trust Company |
TELBOR | Tel Aviv Interbank Offered Rate |
TIIE | Tasa de Interes Interbancario de Equilibrio (Interbank Equilibrium Interest Rate) |
WIBOR | Warsaw Interbank Offered Rate |
The accompanying notes are an integral part of the financial statements. | 24 |
Shares or Principal Amount | Value | % of Net Assets | |||||
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 31.8% | |||||||
U.S. Treasury Bonds - 6.1% | |||||||
1.875%, 02/15/2051 | $ | 103,472,600 | $ | 98,751,663 | 1.2% | ||
2.250%, 05/15/2041 | 138,933,000 | 144,555,445 | 1.8% | ||||
2.500%, 02/15/2045 | 115,800,000 | 125,290,171 | 1.5% | ||||
3.000%, 02/15/2047 | 37,979,000 | 45,117,865 | 0.6% | ||||
3.125%, 11/15/2041 | 65,949,000 | 78,613,269 | 1.0% | ||||
492,328,413 | |||||||
U.S. Treasury Notes - 8.1% | |||||||
0.750%, 05/31/2026 | 108,023,000 | 107,406,932 | 1.3% | ||||
0.875%, 06/30/2026 | 121,315,000 | 121,258,134 | 1.5% | ||||
1.250%, 03/31/2028 to 06/30/2028 | 275,070,000 | 275,919,449 | 3.5% | ||||
1.625%, 05/15/2031 | 145,873,000 | 148,106,680 | 1.8% | ||||
652,691,195 | |||||||
Federal Home Loan Mortgage Corp. - 4.1% | |||||||
2.500%, 08/01/2050 | 69,012,874 | 71,998,495 | 0.9% | ||||
3.000%, 03/01/2043 to 12/01/2049 | 135,069,210 | 143,251,934 | 1.9% | ||||
3.500%, 04/01/2044 to 04/01/2047 | 79,141,009 | 85,614,196 | 1.0% | ||||
4.000%, 03/01/2048 to 08/01/2048 | 22,310,667 | 24,054,919 | 0.3% | ||||
324,919,544 | |||||||
Federal National Mortgage Association - 13.4% | |||||||
2.000%, 09/01/2050 to 02/01/2051 | 87,463,396 | 88,648,228 | 1.1% | ||||
2.000%, TBA (A) | 168,333,000 | 170,084,572 | 2.1% | ||||
2.500%, 09/01/2050 to 12/01/2050 | 74,956,670 | 77,794,221 | 0.9% | ||||
2.500%, TBA (A) | 83,389,000 | 86,248,976 | 1.1% | ||||
3.000%, 01/01/2043 to 11/01/2049 | 168,550,839 | 178,669,502 | 2.1% | ||||
3.500%, 06/01/2042 to 09/01/2049 | 193,538,342 | 207,296,574 | 2.5% | ||||
4.000%, 09/01/2040 to 07/01/2049 | 191,905,223 | 210,282,770 | 2.8% | ||||
4.500%, 12/01/2040 to 05/01/2042 | 46,866,599 | 52,050,419 | 0.7% | ||||
OTHER SECURITIES | 8,869,281 | 0.1% | |||||
1,079,944,543 | |||||||
Government National Mortgage Association - 0.1% | 3,849,279 | 0.1% | |||||
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (Cost $2,513,411,630) | $ | 2,553,732,974 | |||||
FOREIGN GOVERNMENT OBLIGATIONS - 0.5% | |||||||
Qatar - 0.3% | 23,876,703 | 0.3% | |||||
Saudi Arabia - 0.2% | 17,251,380 | 0.2% | |||||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost $35,529,031) | $ | 41,128,083 | |||||
CORPORATE BONDS - 40.5% | |||||||
Communication services - 3.9% | |||||||
Charter Communications Operating LLC 5.750%, 04/01/2048 | 16,696,000 | 21,249,680 | 0.3% | ||||
Comcast Corp. 4.150%, 10/15/2028 (B) | 20,678,000 | 23,935,962 | 0.3% | ||||
NBN Company, Ltd. 1.450%, 05/05/2026 (C) | 20,683,000 | 20,729,537 | 0.3% | ||||
Telefonica Emisiones SA 5.213%, 03/08/2047 | 16,102,000 | 20,099,718 | 0.2% |
Shares or Principal Amount | Value | % of Net Assets | |||||
CORPORATE BONDS (continued) | |||||||
Communication services (continued) | |||||||
Verizon Communications, Inc. 4.329%, 09/21/2028 | $ | 17,379,000 | $ | 20,221,167 | 0.3% | ||
OTHER SECURITIES | 206,377,332 | 2.5% | |||||
312,613,396 | |||||||
Consumer discretionary - 3.2% | |||||||
General Motors Financial Company, Inc. 3.600%, 06/21/2030 | 20,346,000 | 22,029,659 | 0.3% | ||||
OTHER SECURITIES | 237,736,498 | 2.9% | |||||
259,766,157 | |||||||
Consumer staples - 0.6% | 48,202,582 | 0.6% | |||||
Energy - 3.0% | |||||||
Energy Transfer LP 5.250%, 04/15/2029 | 17,785,000 | 21,007,103 | 0.3% | ||||
OTHER SECURITIES | 221,209,219 | 2.7% | |||||
242,216,322 | |||||||
Financials - 10.8% | |||||||
Bank of America Corp. (4.271% to 7-23-28, then 3 month LIBOR + 1.310%) 07/23/2029 | 17,187,000 | 19,744,242 | 0.2% | ||||
Bank of America Corp. (2.687% to 4-22-31, then SOFR + 1.320%) 04/22/2032 | 19,364,000 | 19,921,577 | 0.2% | ||||
Citigroup, Inc. 4.600%, 03/09/2026 | 17,394,000 | 19,797,857 | 0.2% | ||||
GE Capital International Funding Company 4.418%, 11/15/2035 | 17,822,000 | 21,359,337 | 0.3% | ||||
Morgan Stanley (2.188% to 4-28-25, then SOFR + 1.990%) 04/28/2026 | 22,984,000 | 23,864,326 | 0.3% | ||||
Prudential Financial, Inc. (3.700% to 7-1-30, then 5 Year CMT + 3.035%) 10/01/2050 | 23,831,000 | 24,843,818 | 0.3% | ||||
The Goldman Sachs Group, Inc. 3.850%, 01/26/2027 | 19,136,000 | 21,086,204 | 0.3% | ||||
The Goldman Sachs Group, Inc. (2.615% to 4-22-31, then SOFR + 1.281%) 04/22/2032 | 22,533,000 | 23,018,974 | 0.3% | ||||
Wells Fargo & Company 3.550%, 09/29/2025 | 18,013,000 | 19,798,139 | 0.2% | ||||
Wells Fargo & Company (5.875% to 6-15-25, then 3 month LIBOR + 3.990%) 06/15/2025 (D) | 21,439,000 | 24,009,750 | 0.3% | ||||
Wells Fargo & Company (2.393% to 6-2-27, then SOFR + 2.100%) 06/02/2028 | 19,183,000 | 19,894,601 | 0.2% | ||||
OTHER SECURITIES | 628,536,602 | 8.0% | |||||
865,875,427 | |||||||
Health care - 2.9% | |||||||
AbbVie, Inc. 3.200%, 11/21/2029 | 33,371,000 | 36,242,387 | 0.4% |
The accompanying notes are an integral part of the financial statements. | 25 |
Shares or Principal Amount | Value | % of Net Assets | |||||
CORPORATE BONDS (continued) | |||||||
Health care (continued) | |||||||
OTHER SECURITIES | $ | 193,020,764 | 2.5% | ||||
229,263,151 | |||||||
Industrials - 5.1% | 406,052,773 | 5.1% | |||||
Information technology - 5.4% | |||||||
Broadcom, Inc. 4.750%, 04/15/2029 | $ | 36,324,000 | 42,254,144 | 0.5% | |||
Micron Technology, Inc. 4.185%, 02/15/2027 | 22,492,000 | 25,370,507 | 0.3% | ||||
Micron Technology, Inc. 5.327%, 02/06/2029 | 19,168,000 | 23,152,420 | 0.3% | ||||
Microsoft Corp. 2.525%, 06/01/2050 | 24,775,000 | 24,340,965 | 0.3% | ||||
OTHER SECURITIES | 319,142,232 | 4.0% | |||||
434,260,268 | |||||||
Materials - 1.1% | |||||||
Colonial Enterprises, Inc. 3.250%, 05/15/2030 (C) | 21,491,000 | 23,230,356 | 0.3% | ||||
OTHER SECURITIES | 64,635,731 | 0.8% | |||||
87,866,087 | |||||||
Real estate - 2.9% | |||||||
SBA Tower Trust 2.328%, 01/15/2028 (C) | 21,448,000 | 22,224,911 | 0.3% | ||||
OTHER SECURITIES | 211,902,745 | 2.6% | |||||
234,127,656 | |||||||
Utilities - 1.6% | |||||||
NiSource, Inc. 1.700%, 02/15/2031 | 27,237,000 | 25,737,056 | 0.3% | ||||
OTHER SECURITIES | 106,847,327 | 1.3% | |||||
132,584,383 | |||||||
TOTAL CORPORATE BONDS (Cost $3,075,254,601) | $ | 3,252,828,202 | |||||
MUNICIPAL BONDS - 1.5% | 124,037,528 | 1.5% | |||||
TOTAL MUNICIPAL BONDS (Cost $120,904,252) | $ | 124,037,528 | |||||
COLLATERALIZED MORTGAGE OBLIGATIONS - 8.0% | |||||||
Commercial and residential - 6.7% | 541,289,158 | 6.7% | |||||
Federal Home Loan Mortgage Corp. - 0.1% | 5,896,807 | 0.1% | |||||
Government National Mortgage Association - 1.2% | 93,752,098 | 1.2% | |||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $674,116,194) | $ | 640,938,063 | |||||
ASSET BACKED SECURITIES - 16.3% | |||||||
Ford Credit Auto Owner Trust Series 2018-1, Class A, 3.190%, 07/15/2031 (C) | 26,635,000 | 28,734,166 | 0.4% | ||||
Toyota Auto Loan Extended Note Trust Series 2019-1A, Class A, 2.560%, 11/25/2031 (C) | 22,220,000 | 23,429,990 | 0.3% | ||||
Tricon American Homes Trust Series 2020-SFR1, Class A, 1.499%, 07/17/2038 (C) | 20,189,698 | 20,164,616 | 0.3% | ||||
OTHER SECURITIES | 1,239,657,911 | 15.3% | |||||
TOTAL ASSET BACKED SECURITIES (Cost $1,296,294,324) | $ | 1,311,986,683 |
Shares or Principal Amount | Value | % of Net Assets | |||||
COMMON STOCKS - 0.0% | |||||||
Utilities - 0.0% | $ | 1,254,418 | 0.0% | ||||
TOTAL COMMON STOCKS (Cost $1,291,497) | $ | 1,254,418 | |||||
PREFERRED SECURITIES - 0.1% | |||||||
Utilities - 0.1% | 7,647,023 | 0.1% | |||||
TOTAL PREFERRED SECURITIES (Cost $7,618,288) | $ | 7,647,023 | |||||
SHORT-TERM INVESTMENTS - 4.7% | |||||||
Short-term funds - 0.2% | |||||||
John Hancock Collateral Trust, 0.0324% (E)(F) | 1,341,364 | 13,419,808 | 0.2% | ||||
Repurchase agreement - 4.5% | |||||||
Repurchase Agreement with State Street Corp. dated 6-30-21 at 0.000% to be repurchased at $366,701,000 on 7-1-21, collateralized by $160,194,700 U.S. Treasury Inflation Indexed Notes, 0.375% due 1-15-27 (valued at $195,979,514), $167,711,400 U.S. Treasury Notes, 0.375% - 2.375% due 11-30-25 to 5-15-27 (valued at 178,055,530) | $ | 366,701,000 | 366,701,000 | 4.5% | |||
TOTAL SHORT-TERM INVESTMENTS (Cost $380,121,269) | $ | 380,120,808 | |||||
Total Investments (Select Bond Trust) (Cost $8,104,541,086) - 103.4% | $ | 8,313,673,782 | 103.4% | ||||
Other assets and liabilities, net - (3.4)% | (270,683,744) | (3.4%) | �� | ||||
TOTAL NET ASSETS - 100.0% | $ | 8,042,990,038 | 100.0% |
Security Abbreviations and Legend | |
CMT | Constant Maturity Treasury |
LIBOR | London Interbank Offered Rate |
SOFR | Secured Overnight Financing 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. |
(A) | Security purchased or sold on a when-issued or delayed delivery basis. |
(B) | All or a portion of this security is on loan as of 6-30-21. |
(C) | 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 $2,315,349,469 or 28.8% of the fund's net assets as of 6-30-21. |
(D) | Perpetual bonds have no stated maturity date. Date shown as maturity date is next call date. |
(E) | The rate shown is the annualized seven-day yield as of 6-30-21. |
(F) | Investment is an affiliate of the fund, the advisor and/or subadvisor. This security represents the investment of cash collateral received for securities lending. |
The accompanying notes are an integral part of the financial statements. | 26 |
Shares or Principal Amount | Value | % of Net Assets | |||||
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 92.9% | |||||||
U.S. Treasury Inflation Protected Securities - 0.8% | |||||||
0.625%, 04/15/2023 | $ | 1,397,292 | $ | 1,478,046 | 0.8% | ||
1,478,046 | |||||||
U.S. Treasury Notes - 29.0% | |||||||
0.125%, 05/15/2023 | 3,000,000 | 2,994,375 | 1.6% | ||||
0.250%, 04/15/2023 | 9,000,000 | 9,004,922 | 4.9% | ||||
1.375%, 02/15/2023 | 1,770,000 | 1,804,017 | 1.0% | ||||
1.500%, 09/15/2022 | 4,000,000 | 4,065,781 | 2.2% | ||||
1.875%, 07/31/2022 | 4,610,000 | 4,697,878 | 2.6% | ||||
2.000%, 05/31/2024 | 4,500,000 | 4,702,676 | 2.6% | ||||
2.125%, 03/31/2024 | 2,700,000 | 2,826,773 | 1.5% | ||||
2.625%, 06/30/2023 | 5,485,000 | 5,743,823 | 3.1% | ||||
2.750%, 07/31/2023 | 3,215,000 | 3,381,025 | 1.8% | ||||
2.875%, 11/30/2023 | 13,345,000 | 14,161,338 | 7.7% | ||||
53,382,608 | |||||||
Federal Farm Credit Bank - 9.1% | |||||||
0.500%, 12/23/2025 to 02/04/2026 | 10,000,000 | 9,792,384 | 5.4% | ||||
0.680%, 01/13/2027 | 6,000,000 | 5,864,806 | 3.2% | ||||
1.980%, 06/02/2031 | 1,000,000 | 998,095 | 0.5% | ||||
16,655,285 | |||||||
Federal Home Loan Bank - 19.4% | |||||||
0.625%, 11/27/2024 | 2,000,000 | 1,991,194 | 1.1% | ||||
0.650%, 02/26/2026 | 6,000,000 | 5,939,126 | 3.2% | ||||
0.700%, 01/28/2026 | 7,000,000 | 6,958,204 | 3.8% | ||||
0.900%, 02/26/2027 | 2,000,000 | 1,981,389 | 1.1% | ||||
1.000%, 03/23/2026 | 1,950,000 | 1,949,514 | 1.1% | ||||
1.375%, 02/17/2023 | 8,000,000 | 8,153,903 | 4.4% | ||||
1.500%, 08/15/2024 | 2,770,000 | 2,857,897 | 1.5% | ||||
2.875%, 09/13/2024 | 5,500,000 | 5,908,573 | 3.2% | ||||
35,739,800 | |||||||
Federal Home Loan Mortgage Corp. - 14.7% | |||||||
0.250%, 09/08/2023 | 2,000,000 | 1,998,277 | 1.1% | ||||
0.375%, 09/23/2025 | 3,060,000 | 3,012,104 | 1.6% | ||||
0.640%, 11/24/2025 | 2,000,000 | 1,985,590 | 1.1% | ||||
0.650%, 10/22/2025 | 2,000,000 | 1,983,706 | 1.1% | ||||
0.700%, 12/23/2025 | 2,000,000 | 1,982,784 | 1.1% | ||||
0.800%, 10/27/2026 | 2,000,000 | 1,976,896 | 1.1% | ||||
1.500%, 02/12/2025 | 6,000,000 | 6,190,374 | 3.3% | ||||
2.049%, (12 month LIBOR + 1.619%), 05/01/2045 (A) | 513,192 | 537,806 | 0.3% | ||||
2.500%, 09/01/2034 | 2,450,559 | 2,562,498 | 1.4% | ||||
3.000%, 07/01/2030 to 12/01/2032 | 3,144,347 | 3,317,372 | 1.8% | ||||
3.500%, 04/01/2032 | 1,313,302 | 1,410,243 | 0.8% | ||||
OTHER SECURITIES | 520 | 0.0% | |||||
26,958,170 | |||||||
Federal National Mortgage Association - 19.9% | |||||||
0.375%, 08/25/2025 | 5,000,000 | 4,925,933 | 2.7% | ||||
0.625%, 04/22/2025 | 4,000,000 | 3,995,063 | 2.2% | ||||
0.650%, 12/17/2025 | 2,000,000 | 1,986,940 | 1.1% | ||||
2.500%, 10/01/2027 to 09/01/2034 | 3,187,950 | 3,332,497 | 1.8% | ||||
2.875%, 09/12/2023 | 7,005,000 | 7,404,276 | 4.0% | ||||
3.000%, 03/01/2028 to 09/01/2034 | 8,524,395 | 9,009,799 | 4.9% | ||||
3.500%, 07/01/2031 to 06/01/2034 | 5,158,600 | 5,542,840 | 3.0% | ||||
6.500%, 01/01/2039 | 346,584 | 411,534 | 0.2% |
Shares or Principal Amount | Value | % of Net Assets | |||||
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (continued) | |||||||
Federal National Mortgage Association (continued) | |||||||
OTHER SECURITIES | $ | 2,188 | 0.0% | ||||
36,611,070 | |||||||
Government National Mortgage Association - 0.0% | 214 | 0.0% | |||||
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (Cost $168,988,326) | $ | 170,825,193 | |||||
MUNICIPAL BONDS - 4.6% | |||||||
City of Houston (Texas) 3.628%, 05/15/2024 | $ | 1,000,000 | 1,086,919 | 0.6% | |||
City of Houston (Texas) 2.110%, 03/01/2025 | 1,000,000 | 1,041,240 | 0.6% | ||||
City of New York 3.250%, 03/01/2024 | 1,000,000 | 1,070,382 | 0.6% | ||||
City of New York 1.990%, 10/01/2026 | 1,000,000 | 1,040,863 | 0.6% | ||||
County of Orange (Florida) 2.280%, 01/01/2026 | 1,000,000 | 1,029,570 | 0.5% | ||||
Los Angeles Unified School District (California) 1.540%, 09/15/2025 | 1,000,000 | 1,019,873 | 0.5% | ||||
New York State Urban Development Corp. 3.080%, 03/15/2024 | 1,000,000 | 1,065,203 | 0.6% | ||||
State of California 2.375%, 10/01/2026 | 1,000,000 | 1,060,917 | 0.6% | ||||
TOTAL MUNICIPAL BONDS (Cost $8,140,098) | $ | 8,414,967 | |||||
COLLATERALIZED MORTGAGE OBLIGATIONS - 1.3% | |||||||
Federal Home Loan Mortgage Corp. - 0.4% | |||||||
Series K030, Class X1 IO, 0.385%, 04/25/2023 | 128,059,572 | 319,854 | 0.2% | ||||
OTHER SECURITIES | 364,722 | 0.2% | |||||
684,576 | |||||||
Government National Mortgage Association - 0.9% | 1,644,516 | 0.9% | |||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $2,984,521) | $ | 2,329,092 | |||||
SHORT-TERM INVESTMENTS - 0.9% | |||||||
Repurchase agreement - 0.9% | |||||||
Repurchase Agreement with State Street Corp. dated 6-30-21 at 0.000% to be repurchased at $1,666,000 on 7-1-21, collateralized by $1,730,300 U.S. Treasury Notes, 0.375% due 11-30-25 (valued at $1,699,403) | 1,666,000 | 1,666,000 | 0.9% | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $1,666,000) | $ | 1,666,000 | |||||
Total Investments (Short Term Government Income Trust) (Cost $181,778,945) - 99.7% | $ | 183,235,252 | 99.7% | ||||
Other assets and liabilities, net - 0.3% | 622,640 | 0.3% | |||||
TOTAL NET ASSETS - 100.0% | $ | 183,857,892 | 100.0% |
Security Abbreviations and Legend | |
IO | Interest-Only Security - (Interest Tranche of Stripped Mortgage Pool). Rate shown is the annualized yield at the end of the period. |
The accompanying notes are an integral part of the financial statements. | 27 |
LIBOR | London Interbank Offered Rate |
(A) | Variable rate obligation. The coupon rate shown represents the rate at period end. |
Shares or Principal Amount | Value | % of Net Assets | |||||
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 4.8% | |||||||
U.S. Treasury Bonds - 3.4% | |||||||
2.000%, 02/15/2050 | $ | 1,800,000 | $ | 1,768,359 | 0.4% | ||
3.000%, 02/15/2049 | 6,200,000 | 7,422,771 | 1.6% | ||||
4.375%, 02/15/2038 | 3,920,000 | 5,395,972 | 1.2% | ||||
OTHER SECURITIES | 1,120,424 | 0.2% | |||||
15,707,526 | |||||||
U.S. Treasury Inflation Protected Securities - 0.6% | |||||||
0.125%, 01/15/2030 | 2,282,918 | 2,505,829 | 0.6% | ||||
2,505,829 | |||||||
U.S. Treasury Notes - 0.8% | 3,830,449 | 0.8% | |||||
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (Cost $20,013,749) | $ | 22,043,804 | |||||
FOREIGN GOVERNMENT OBLIGATIONS - 19.8% | |||||||
Australia - 0.9% | 4,144,837 | 0.9% | |||||
Austria - 0.3% | 1,379,373 | 0.3% | |||||
Brazil - 1.0% | |||||||
Federative Republic of Brazil 10.000% 01/01/2023 to 01/01/2025 | BRL | 20,880,000 | 4,400,435 | 1.0% | |||
Canada - 3.0% | |||||||
Province of Ontario 1.350%, 12/02/2030 | CAD | 8,165,000 | 6,232,235 | 1.4% | |||
OTHER SECURITIES | 7,622,052 | 1.6% | |||||
13,854,287 | |||||||
China - 0.9% | |||||||
People's Republic of China 1.990%, 04/09/2025 | CNY | 12,420,000 | 1,859,338 | 0.4% | |||
People's Republic of China 2.880%, 11/05/2023 | 14,670,000 | 2,278,083 | 0.5% | ||||
4,137,421 | |||||||
Colombia - 0.9% | 4,076,925 | 0.9% | |||||
Greece - 0.8% | 3,567,819 | 0.8% | |||||
India - 0.1% | 663,028 | 0.1% | |||||
Indonesia - 2.8% | |||||||
Republic of Indonesia 6.500%, 06/15/2025 | IDR | 27,798,000,000 | 2,009,743 | 0.4% | |||
OTHER SECURITIES | 10,954,338 | 2.4% | |||||
12,964,081 | |||||||
Ireland - 0.3% | 1,374,961 | 0.3% | |||||
Italy - 0.6% | |||||||
Republic of Italy 1.850%, 07/01/2025 (A) | EUR | 1,710,000 | 2,179,459 | 0.5% | |||
OTHER SECURITIES | 731,756 | 0.1% | |||||
2,911,215 | |||||||
Japan - 0.9% | |||||||
Government of Japan 0.100%, 06/20/2025 | JPY | 447,900,000 | 4,068,272 | 0.9% | |||
Malaysia - 1.3% | 5,832,780 | 1.3% | |||||
Mexico - 1.1% | |||||||
Government of Mexico 7.500%, 06/03/2027 | MXN | 44,140,000 | 2,307,707 | 0.5% |
Shares or Principal Amount | Value | % of Net Assets | |||||
FOREIGN GOVERNMENT OBLIGATIONS (continued) | |||||||
Mexico (continued) | |||||||
Government of Mexico 7.750%, 05/29/2031 | MXN | 32,570,000 | $ | 1,724,638 | 0.4% | ||
OTHER SECURITIES | 1,175,916 | 0.2% | |||||
5,208,261 | |||||||
New Zealand - 0.1% | 350,040 | 0.1% | |||||
Norway - 0.8% | |||||||
Kingdom of Norway 2.000%, 05/24/2023 (A) | NOK | 30,260,000 | 3,603,678 | 0.8% | |||
Philippines - 0.6% | |||||||
Republic of the Philippines 0.875%, 05/17/2027 | EUR | 1,465,000 | 1,766,963 | 0.4% | |||
OTHER SECURITIES | 1,051,618 | 0.2% | |||||
2,818,581 | |||||||
Portugal - 1.2% | |||||||
Republic of Portugal 0.475%, 10/18/2030 (A) | 2,270,000 | 2,741,770 | 0.6% | ||||
Republic of Portugal 5.125%, 10/15/2024 (A) | $ | 1,905,000 | 2,161,985 | 0.5% | |||
OTHER SECURITIES | 542,228 | 0.1% | |||||
5,445,983 | |||||||
Qatar - 0.3% | 1,459,849 | 0.3% | |||||
Singapore - 0.4% | 1,629,773 | 0.4% | |||||
Spain - 0.5% | 2,137,604 | 0.5% | |||||
Sweden - 0.3% | 1,146,148 | 0.3% | |||||
United Arab Emirates - 0.5% | 2,232,524 | 0.5% | |||||
United Kingdom - 0.2% | 1,112,646 | 0.2% | |||||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost $89,825,550) | $ | 90,520,521 | |||||
CORPORATE BONDS - 58.5% | |||||||
Communication services - 8.5% | |||||||
Netflix, Inc. 3.625%, 06/15/2025 (A) | 1,920,000 | 2,061,773 | 0.4% | ||||
News Corp. 3.875%, 05/15/2029 (A) | 1,685,000 | 1,701,850 | 0.4% | ||||
WMG Acquisition Corp. 3.000%, 02/15/2031 (A) | 1,910,000 | 1,809,649 | 0.4% | ||||
OTHER SECURITIES | 33,378,272 | 7.3% | |||||
38,951,544 | |||||||
Consumer discretionary - 6.1% | |||||||
New Red Finance, Inc. 4.000%, 10/15/2030 (A) | 2,124,000 | 2,054,970 | 0.4% | ||||
Yum! Brands, Inc. 3.625%, 03/15/2031 | 1,795,000 | 1,786,025 | 0.4% | ||||
Yum! Brands, Inc. 4.750%, 01/15/2030 (A) | 2,173,000 | 2,352,294 | 0.5% | ||||
OTHER SECURITIES | 21,610,219 | 4.8% | |||||
27,803,508 | |||||||
Consumer staples - 3.5% | |||||||
Kraft Heinz Foods Company 4.250%, 03/01/2031 | 1,525,000 | 1,732,383 | 0.4% | ||||
Kraft Heinz Foods Company 6.875%, 01/26/2039 | 1,220,000 | 1,752,420 | 0.4% | ||||
Post Holdings, Inc. 5.750%, 03/01/2027 (A) | 1,955,000 | 2,045,419 | 0.4% | ||||
OTHER SECURITIES | 10,563,532 | 2.3% | |||||
16,093,754 | |||||||
Energy - 6.3% | |||||||
Cenovus Energy, Inc. 6.750%, 11/15/2039 | 2,136,000 | 2,899,284 | 0.6% |
The accompanying notes are an integral part of the financial statements. | 28 |
Shares or Principal Amount | Value | % of Net Assets | |||||
CORPORATE BONDS (continued) | |||||||
Energy (continued) | |||||||
Continental Resources, Inc. 5.750%, 01/15/2031 (A) | $ | 2,205,000 | $ | 2,640,488 | 0.6% | ||
EQT Corp. 3.625%, 05/15/2031 (A) | 2,235,000 | 2,329,988 | 0.5% | ||||
OTHER SECURITIES | 21,099,570 | 4.6% | |||||
28,969,330 | |||||||
Financials - 11.8% | |||||||
American International Group, Inc. (8.175% to 5-15-38, then 3 month LIBOR + 4.195%) 05/15/2058 | 1,700,000 | 2,458,121 | 0.5% | ||||
MSCI, Inc. 3.625% 09/01/2030 to 11/01/2031 (A) | 2,374,000 | 2,430,361 | 0.5% | ||||
Popular, Inc. 6.125%, 09/14/2023 | 1,625,000 | 1,753,375 | 0.4% | ||||
Swiss Insured Brazil Power Finance Sarl 9.850%, 07/16/2032 (A) | BRL | 8,696,049 | 1,813,935 | 0.4% | |||
U.S. Bancorp 0.850%, 06/07/2024 | EUR | 2,560,000 | 3,118,846 | 0.7% | |||
OTHER SECURITIES | 42,171,261 | 9.3% | |||||
53,745,899 | |||||||
Health care - 5.0% | |||||||
Centene Corp. 3.000%, 10/15/2030 | $ | 1,795,000 | 1,843,968 | 0.4% | |||
Centene Corp. 3.375%, 02/15/2030 | 1,765,000 | 1,844,990 | 0.4% | ||||
DH Europe Finance II Sarl 0.450%, 03/18/2028 | EUR | 1,630,000 | 1,946,863 | 0.4% | |||
HCA, Inc. 3.500%, 09/01/2030 | $ | 2,943,000 | 3,135,384 | 0.7% | |||
OTHER SECURITIES | 13,819,735 | 3.1% | |||||
22,590,940 | |||||||
Industrials - 6.1% | |||||||
Delta Air Lines, Inc. 4.750%, 10/20/2028 (A) | 2,762,000 | 3,070,675 | 0.7% | ||||
The Boeing Company 5.150%, 05/01/2030 | 2,625,000 | 3,108,407 | 0.7% | ||||
OTHER SECURITIES | 21,821,818 | 4.7% | |||||
28,000,900 | |||||||
Information technology - 1.7% | 7,834,725 | 1.7% | |||||
Materials - 6.0% | |||||||
FMG Resources August 2006 Pty, Ltd. 4.375%, 04/01/2031 (A) | 3,053,000 | 3,266,191 | 0.7% | ||||
Freeport-McMoRan, Inc. 5.450%, 03/15/2043 | 1,905,000 | 2,328,520 | 0.5% | ||||
OTHER SECURITIES | 21,643,280 | 4.8% | |||||
27,237,991 | |||||||
Real estate - 1.3% | |||||||
SBA Communications Corp. 3.875%, 02/15/2027 | 1,900,000 | 1,951,120 | 0.4% | ||||
OTHER SECURITIES | 3,872,352 | 0.9% | |||||
5,823,472 | |||||||
Utilities - 2.2% | |||||||
FirstEnergy Corp. 7.375%, 11/15/2031 | 1,355,000 | 1,855,686 | 0.4% |
Shares or Principal Amount | Value | % of Net Assets | |||||
CORPORATE BONDS (continued) | |||||||
Utilities (continued) | |||||||
OTHER SECURITIES | $ | 8,009,047 | 1.8% | ||||
9,864,733 | |||||||
TOTAL CORPORATE BONDS (Cost $257,588,737) | $ | 266,916,796 | |||||
CONVERTIBLE BONDS - 3.1% | |||||||
Communication services - 0.8% | 3,777,669 | 0.8% | |||||
Consumer discretionary - 0.5% | 2,321,737 | 0.5% | |||||
Energy - 0.2% | 1,138,246 | 0.2% | |||||
Industrials - 1.4% | |||||||
American Airlines Group, Inc. 6.500%, 07/01/2025 | $ | 1,395,000 | 2,186,663 | 0.5% | |||
Uber Technologies, Inc., Zero Coupon 0.000%, 12/15/2025 (A) | 1,965,000 | 1,992,510 | 0.4% | ||||
OTHER SECURITIES | 2,159,853 | 0.5% | |||||
6,339,026 | |||||||
Information technology - 0.2% | 755,300 | 0.2% | |||||
TOTAL CONVERTIBLE BONDS (Cost $12,979,341) | $ | 14,331,978 | |||||
CAPITAL PREFERRED SECURITIES - 0.3% | |||||||
Financials - 0.3% | 1,307,790 | 0.3% | |||||
TOTAL CAPITAL PREFERRED SECURITIES (Cost $1,152,158) | $ | 1,307,790 | |||||
TERM LOANS (B) - 3.0% | |||||||
Consumer discretionary - 1.0% | 4,572,536 | 1.0% | |||||
Health care - 0.9% | |||||||
ICON Luxembourg Sarl, Term Loan B 06/16/2028 TBD (C) | 2,401,140 | 2,404,526 | 0.5% | ||||
OTHER SECURITIES | 1,595,673 | 0.4% | |||||
4,000,199 | |||||||
Industrials - 0.4% | 1,915,778 | 0.4% | |||||
Information technology - 0.5% | |||||||
Dell International LLC, 2021 Term Loan B 09/19/2025 TBD (C) | 2,376,000 | 2,374,931 | 0.5% | ||||
Materials - 0.2% | 570,952 | 0.2% | |||||
TOTAL TERM LOANS (Cost $13,440,187) | $ | 13,434,396 | |||||
COLLATERALIZED MORTGAGE OBLIGATIONS - 0.6% | |||||||
Commercial and residential - 0.6% | 2,751,722 | 0.6% | |||||
Federal Home Loan Mortgage Corp. - 0.0% | 144,120 | 0.0% | |||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $2,689,330) | $ | 2,895,842 | |||||
ASSET BACKED SECURITIES - 1.5% | 6,660,552 | 1.5% | |||||
TOTAL ASSET BACKED SECURITIES (Cost $6,403,523) | $ | 6,660,552 | |||||
COMMON STOCKS - 3.2% | |||||||
Communication services - 0.0% | 0 | 0.0% | |||||
Consumer discretionary - 0.3% | 1,224,582 | 0.3% | |||||
Financials - 1.2% | 5,563,457 | 1.2% | |||||
Industrials - 0.7% | |||||||
The Boeing Company (D) | 8,021 | 1,921,511 | 0.4% | ||||
OTHER SECURITIES | 1,074,103 | 0.3% | |||||
2,995,614 |
The accompanying notes are an integral part of the financial statements. | 29 |
Shares or Principal Amount | Value | % of Net Assets | |||||
COMMON STOCKS (continued) | |||||||
Real estate - 0.4% | $ | 1,748,704 | 0.4% | ||||
Utilities - 0.6% | |||||||
Dominion Energy, Inc. | 18,000 | 1,748,340 | 0.4% | ||||
OTHER SECURITIES | 1,246,413 | 0.2% | |||||
2,994,753 | |||||||
TOTAL COMMON STOCKS (Cost $14,811,050) | $ | 14,527,110 | |||||
PREFERRED SECURITIES - 3.2% | |||||||
Communication services - 0.1% | 598,538 | 0.1% | |||||
Financials - 0.5% | 2,139,180 | 0.5% | |||||
Health care - 0.3% | 1,605,792 | 0.3% | |||||
Industrials - 0.3% | 1,255,592 | 0.3% | |||||
Information technology - 0.4% | 1,663,547 | 0.4% | |||||
Utilities - 1.6% | 7,597,154 | 1.6% | |||||
TOTAL PREFERRED SECURITIES (Cost $13,926,538) | $ | 14,859,803 | |||||
PURCHASED OPTIONS - 0.0% | |||||||
Puts - 0.0% | 52,389 | 0.0% | |||||
TOTAL PURCHASED OPTIONS (Cost $142,384) | $ | 52,389 | |||||
SHORT-TERM INVESTMENTS - 3.5% | |||||||
Short-term funds - 0.8% | |||||||
John Hancock Collateral Trust, 0.0324% (E)(F) | 341,886 | 3,420,435 | 0.8% | ||||
Repurchase agreement - 2.7% | |||||||
Repurchase Agreement with State Street Corp. dated 6-30-21 at 0.000% to be repurchased at $12,414,000 on 7-1-21, collateralized by $12,654,200 U.S. Treasury Notes, 0.099% due 1-31-23 (valued at $12,662,308) | $ | 12,414,000 | 12,414,000 | 2.7% | |||
TOTAL SHORT-TERM INVESTMENTS (Cost $15,834,553) | $ | 15,834,435 | |||||
Total Investments (Strategic Income Opportunities Trust) (Cost $448,807,100) - 101.5% | $ | 463,385,416 | 101.5% | ||||
Other assets and liabilities, net - (1.5)% | (6,746,867) | (1.5%) | |||||
TOTAL NET ASSETS - 100.0% | $ | 456,638,549 | 100.0% |
Currency Abbreviations | |
BRL | Brazilian Real |
CAD | Canadian Dollar |
CNY | Chinese Yuan Renminbi |
EUR | Euro |
IDR | Indonesian Rupiah |
JPY | Japanese Yen |
MXN | Mexican Peso |
NOK | Norwegian Krone |
Security Abbreviations and Legend | |
LIBOR | London Interbank Offered Rate |
(A) | 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 $176,687,392 or 38.7% of the fund's net assets as of 6-30-21. |
(B) | Term loans are variable rate obligations. The coupon rate shown represents the rate at period end. |
(C) | This position represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate, which is disclosed as TBD (To Be Determined). |
(D) | Non-income producing security. |
(E) | The rate shown is the annualized seven-day yield as of 6-30-21. |
(F) | Investment is an affiliate of the fund, the advisor and/or subadvisor. This security represents the investment of cash collateral received for securities lending. |
Open contracts | Number of contracts | Position | Expiration date | Notional basis^ | Notional value^ | Unrealized appreciation (depreciation) |
Euro-BTP Italian Government Bond Futures | 27 | Long | Sep 2021 | $4,817,824 | $4,847,445 | $29,621 |
10-Year U.S. Treasury Note Futures | 96 | Short | Sep 2021 | (12,654,115) | (12,720,000) | (65,885) |
Euro-Buxl Futures | 4 | Short | Sep 2021 | (962,647) | (963,967) | (1,320) |
German Euro BUND Futures | 33 | Short | Sep 2021 | (6,720,073) | (6,754,187) | (34,114) |
U.S. Treasury Long Bond Futures | 442 | Short | Sep 2021 | (69,007,363) | (71,051,500) | (2,044,137) |
Ultra U.S. Treasury Bond Futures | 7 | Short | Sep 2021 | (1,012,364) | (1,030,422) | (18,058) |
$(2,133,893) |
The accompanying notes are an integral part of the financial statements. | 30 |
Contract to buy | Contract to sell | Counterparty (OTC) | Contractual settlement date | Unrealized appreciation | Unrealized depreciation | ||
CAD | 2,472,179 | GBP | 1,441,250 | MSCS | 9/15/2021 | $258 | — |
CAD | 2,464,235 | GBP | 1,441,250 | RBC | 9/15/2021 | — | $(6,150) |
CAD | 1,475,000 | JPY | 132,702,800 | ANZ | 9/15/2021 | — | (5,385) |
CAD | 1,475,000 | JPY | 132,297,323 | RBC | 9/15/2021 | — | (1,733) |
CAD | 3,528,035 | USD | 2,880,000 | CITI | 9/15/2021 | — | (33,985) |
CAD | 3,568,435 | USD | 2,880,500 | GSI | 9/15/2021 | — | (1,894) |
CAD | 3,568,209 | USD | 2,882,500 | HUS | 9/15/2021 | — | (4,076) |
CAD | 9,112,637 | USD | 7,390,534 | JPM | 9/15/2021 | — | (39,499) |
CAD | 3,549,538 | USD | 2,877,500 | MSCS | 9/15/2021 | — | (14,138) |
CAD | 1,765,175 | USD | 1,440,000 | RBC | 9/15/2021 | — | (16,058) |
EUR | 6,700,851 | CAD | 9,882,730 | RBC | 9/15/2021 | — | (14,629) |
EUR | 2,882,020 | GBP | 2,479,090 | SSB | 9/15/2021 | — | (7,339) |
EUR | 2,932,500 | USD | 3,481,877 | SCB | 9/15/2021 | 628 | — |
GBP | 2,882,500 | CAD | 4,930,199 | JPM | 9/15/2021 | 10,905 | — |
GBP | 2,485,546 | EUR | 2,882,020 | UBS | 9/15/2021 | 16,272 | — |
GBP | 2,065,000 | USD | 2,861,726 | BARC | 9/15/2021 | — | (4,735) |
GBP | 2,065,000 | USD | 2,915,727 | SSB | 9/15/2021 | — | (58,736) |
JPY | 266,790,419 | CAD | 2,950,000 | CIBC | 9/15/2021 | 23,244 | — |
SGD | 4,615,797 | USD | 3,440,216 | BARC | 9/15/2021 | — | (7,667) |
SGD | 216,768 | USD | 161,240 | CITI | 9/15/2021 | — | (40) |
USD | 3,080,055 | AUD | 4,103,949 | CITI | 9/15/2021 | 1,331 | — |
USD | 6,040,608 | BRL | 30,697,025 | CITI | 9/15/2021 | — | (75,280) |
USD | 755,766 | BRL | 3,741,798 | SSB | 9/15/2021 | 10,273 | — |
USD | 8,642,500 | CAD | 10,567,184 | MSCS | 9/15/2021 | 118,102 | — |
USD | 1,583,102 | CAD | 1,911,966 | RBC | 9/15/2021 | 40,746 | — |
USD | 4,465,602 | CAD | 5,425,924 | SSB | 9/15/2021 | 88,586 | — |
USD | 8,425,636 | EUR | 7,065,242 | GSI | 9/15/2021 | 35,274 | — |
USD | 3,484,180 | EUR | 2,932,500 | MSCS | 9/15/2021 | 1,674 | — |
USD | 4,152,160 | GBP | 2,984,014 | CIBC | 9/15/2021 | 23,686 | — |
USD | 1,278,430 | GBP | 919,014 | HUS | 9/15/2021 | 6,947 | — |
USD | 1,071,894 | JPY | 117,207,264 | UBS | 9/15/2021 | 16,215 | — |
USD | 788,148 | NZD | 1,134,068 | ANZ | 9/15/2021 | — | (4,388) |
USD | 736,543 | NZD | 1,058,464 | GSI | 9/15/2021 | — | (3,158) |
USD | 2,044,840 | SGD | 2,743,562 | HUS | 9/15/2021 | 4,583 | — |
USD | 2,044,840 | SGD | 2,745,903 | JPM | 9/15/2021 | 2,842 | — |
USD | 2,044,840 | SGD | 2,744,687 | MSCS | 9/15/2021 | 3,747 | — |
USD | 3,649,168 | SGD | 4,832,565 | SSB | 9/15/2021 | 55,420 | — |
$460,733 | $(298,890) |
Foreign currency options | |||||||
Description | Counterparty (OTC) | Currency | Exercise price | Expiration date | Notional amount* | Premium | Value |
Calls | |||||||
Euro vs. U.S. Dollar | CITI | EUR | 1.22 | Aug 2021 | 8,885,000 | $124,574 | $(8,523) |
Euro vs. U.S. Dollar | UBS | EUR | 1.19 | Aug 2021 | 8,895,000 | 87,620 | (58,632) |
$212,194 | $(67,155) | ||||||
Puts | |||||||
U.S. Dollar vs. Canadian Dollar | GSI | USD | 1.22 | Oct 2021 | 7,675,000 | 174,069 | (49,573) |
$174,069 | $(49,573) | ||||||
$386,263 | $(116,728) | ||||||
* For this type of option, notional amounts are equivalent to number of contracts. |
Derivatives Currency Abbreviations | |
AUD | Australian Dollar |
BRL | Brazilian Real |
CAD | Canadian Dollar |
EUR | Euro |
GBP | Pound Sterling |
JPY | Japanese Yen |
NZD | New Zealand Dollar |
SGD | Singapore Dollar |
USD | U.S. Dollar |
The accompanying notes are an integral part of the financial statements. | 31 |
Derivatives Abbreviations | |
ANZ | Australia and New Zealand Banking Group Limited |
BARC | Barclays Bank PLC |
CIBC | Canadian Imperial Bank of Commerce |
CITI | Citibank, N.A. |
GSI | Goldman Sachs International |
HUS | HSBC Bank USA, N.A. |
JPM | JPMorgan Chase Bank, N.A. |
MSCS | Morgan Stanley Capital Services LLC |
OTC | Over-the-counter |
RBC | Royal Bank of Canada |
SCB | Standard Chartered Bank |
SSB | State Street Bank and Trust Company |
UBS | UBS AG |
Shares or Principal Amount | Value | % of Net Assets | |||||
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 64.5% | |||||||
U.S. Treasury Bonds - 9.8% | |||||||
1.250%, 05/15/2050 | $ | 8,000,000 | $ | 6,532,188 | 0.9% | ||
2.000%, 02/15/2050 | 3,000,000 | 2,947,266 | 0.4% | ||||
2.750%, 08/15/2047 | 3,000,000 | 3,412,500 | 0.4% | ||||
3.000%, 02/15/2047 to 02/15/2049 | 28,635,000 | 34,083,005 | 4.6% | ||||
4.250%, 05/15/2039 to 11/15/2040 | 4,610,000 | 6,316,910 | 0.8% | ||||
4.375%, 05/15/2041 | 1,830,000 | 2,571,079 | 0.3% | ||||
4.625%, 02/15/2040 | 5,000,000 | 7,177,344 | 1.0% | ||||
4.750%, 02/15/2041 | 2,000,000 | 2,932,891 | 0.4% | ||||
OTHER SECURITIES | 7,200,212 | 1.0% | |||||
73,173,395 | |||||||
U.S. Treasury Notes - 26.6% | |||||||
0.125%, 10/31/2022 to 02/28/2023 | 16,000,000 | 15,989,844 | 2.1% | ||||
0.250%, 11/15/2023 to 10/31/2025 | 32,000,000 | 31,620,625 | 4.2% | ||||
0.375%, 07/31/2027 | 4,000,000 | 3,833,750 | 0.5% | ||||
0.500%, 10/31/2027 | 12,000,000 | 11,537,344 | 1.6% | ||||
0.625%, 03/31/2027 to 05/15/2030 | 16,000,000 | 15,217,422 | 2.1% | ||||
0.750%, 03/31/2026 | 4,000,000 | 3,982,031 | 0.5% | ||||
1.250%, 08/31/2024 | 5,000,000 | 5,117,969 | 0.7% | ||||
1.375%, 08/31/2026 | 5,000,000 | 5,118,555 | 0.7% | ||||
1.500%, 01/31/2027 | 5,000,000 | 5,140,039 | 0.7% | ||||
1.625%, 08/15/2029 | 8,000,000 | 8,182,188 | 1.1% | ||||
1.750%, 07/31/2021 to 12/31/2024 | 13,000,000 | 13,261,399 | 1.8% | ||||
2.000%, 11/15/2021 to 02/15/2022 | 29,400,000 | 29,634,680 | 3.9% | ||||
2.125%, 05/31/2026 | 3,000,000 | 3,181,641 | 0.4% | ||||
2.250%, 11/15/2027 | 20,595,000 | 22,030,214 | 3.0% | ||||
2.375%, 05/15/2029 | 5,000,000 | 5,395,508 | 0.7% | ||||
2.625%, 02/28/2023 | 3,000,000 | 3,121,055 | 0.4% | ||||
2.750%, 04/30/2023 | 3,500,000 | 3,660,645 | 0.5% | ||||
2.875%, 11/30/2023 to 05/15/2028 | 9,300,000 | 10,206,774 | 1.4% | ||||
OTHER SECURITIES | 2,191,094 | 0.3% | |||||
198,422,777 | |||||||
Federal Home Loan Bank - 0.3% | 2,485,868 | 0.3% | |||||
Federal Home Loan Mortgage Corp. - 4.0% | |||||||
2.500%, 04/01/2031 to 08/01/2050 | 5,501,649 | 5,703,942 | 0.8% |
Shares or Principal Amount | Value | % of Net Assets | |||||
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (continued) | |||||||
Federal Home Loan Mortgage Corp. (continued) | |||||||
3.000%, 07/01/2032 to 08/01/2046 | $ | 5,066,716 | $ | 5,369,956 | 0.7% | ||
3.500%, 12/01/2025 to 06/01/2048 | 4,068,867 | 4,343,509 | 0.7% | ||||
4.500%, 05/01/2024 to 11/01/2048 | 3,141,869 | 3,417,592 | 0.4% | ||||
OTHER SECURITIES | 10,689,039 | 1.4% | |||||
29,524,038 | |||||||
Federal National Mortgage Association - 17.6% | |||||||
2.000%, 02/01/2035 to 11/01/2050 | 13,037,127 | 13,257,919 | 1.8% | ||||
2.000%, TBA (A) | 16,700,000 | 16,873,770 | 2.3% | ||||
2.500%, 05/01/2028 to 11/01/2050 | 15,826,755 | 16,400,532 | 2.2% | ||||
2.500%, TBA (A) | 4,000,000 | 4,171,252 | 0.6% | ||||
3.000%, 01/01/2027 to 12/01/2049 | 13,492,834 | 14,261,468 | 2.1% | ||||
3.000%, TBA (A) | 16,400,000 | 17,097,003 | 2.3% | ||||
3.500%, 12/01/2025 to 10/01/2049 | 13,153,927 | 14,018,584 | 1.9% | ||||
3.500%, TBA (A) | 8,000,000 | 8,419,996 | 1.1% | ||||
4.000%, 03/01/2024 to 09/01/2049 | 11,931,846 | 12,802,739 | 1.8% | ||||
4.500%, 08/01/2024 to 09/01/2048 | 2,575,976 | 2,828,632 | 0.3% | ||||
OTHER SECURITIES | 11,238,685 | 1.2% | |||||
131,370,580 | |||||||
Government National Mortgage Association - 6.2% | |||||||
2.500%, TBA (A) | 8,000,000 | 8,279,233 | 1.1% | ||||
3.000%, 08/15/2043 to 08/20/2050 | 8,137,745 | 8,568,520 | 1.1% | ||||
3.000%, TBA (A) | 5,000,000 | 5,206,743 | 0.7% | ||||
3.500%, 04/15/2042 to 04/20/2050 | 8,407,671 | 8,984,667 | 1.3% | ||||
3.500%, TBA (A) | 2,800,000 | 2,926,962 | 0.4% | ||||
4.000%, 11/15/2026 to 08/20/2048 | 4,761,231 | 5,125,725 | 0.7% | ||||
4.500%, 06/15/2023 to 04/20/2050 | 2,555,210 | 2,769,980 | 0.5% |
The accompanying notes are an integral part of the financial statements. | 32 |
Shares or Principal Amount | Value | % of Net Assets | |||||
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (continued) | |||||||
Government National Mortgage Association (continued) | |||||||
OTHER SECURITIES | $ | 4,049,118 | 0.4% | ||||
45,910,948 | |||||||
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (Cost $463,814,695) | $ | 480,887,606 | |||||
FOREIGN GOVERNMENT OBLIGATIONS - 1.0% | |||||||
Brazil - 0.2% | 1,739,574 | 0.2% | |||||
Canada - 0.2% | 1,506,055 | 0.2% | |||||
Israel - 0.1% | 506,356 | 0.1% | |||||
Italy - 0.0% | 339,720 | 0.0% | |||||
Japan - 0.1% | 843,323 | 0.1% | |||||
Mexico - 0.2% | 1,165,662 | 0.2% | |||||
Panama - 0.1% | 501,905 | 0.1% | |||||
Peru - 0.0% | 344,065 | 0.0% | |||||
Turkey - 0.1% | 777,615 | 0.1% | |||||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost $7,389,898) | $ | 7,724,275 | |||||
CORPORATE BONDS - 28.9% | |||||||
Communication services - 2.7% | 20,182,465 | 2.7% | |||||
Consumer discretionary - 1.7% | 12,814,779 | 1.7% | |||||
Consumer staples - 1.6% | 11,858,888 | 1.6% | |||||
Energy - 2.5% | 18,539,355 | 2.5% | |||||
Financials - 7.3% | 54,430,578 | 7.3% | |||||
Health care - 3.8% | 28,438,881 | 3.8% | |||||
Industrials - 2.9% | 21,406,401 | 2.9% | |||||
Information technology - 2.6% | 18,932,917 | 2.6% | |||||
Materials - 0.9% | 6,761,050 | 0.9% | |||||
Real estate - 0.6% | 4,527,571 | 0.6% | |||||
Utilities - 2.3% | 17,085,108 | 2.3% | |||||
TOTAL CORPORATE BONDS (Cost $196,625,485) | $ | 214,977,993 | |||||
MUNICIPAL BONDS - 0.7% | 4,874,874 | 0.7% | |||||
TOTAL MUNICIPAL BONDS (Cost $3,741,630) | $ | 4,874,874 | |||||
COLLATERALIZED MORTGAGE OBLIGATIONS - 2.4% | |||||||
Commercial and residential - 2.1% | |||||||
GS Mortgage Securities Trust Series 2016-GS4, Class A3, 3.178%, 11/10/2049 | $ | 3,000,000 | 3,161,885 | 0.4% | |||
GS Mortgage Securities Trust Series 2017-GS5, Class A3, 3.409%, 03/10/2050 | 3,000,000 | 3,284,152 | 0.4% | ||||
OTHER SECURITIES | 9,356,851 | 1.3% | |||||
15,802,888 | |||||||
Federal Home Loan Mortgage Corp. - 0.3% | 2,279,491 | 0.3% | |||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $17,556,718) | $ | 18,082,379 |
Shares or Principal Amount | Value | % of Net Assets | |||||
COMMON STOCKS - 0.0% | |||||||
Energy - 0.0% | $ | 940 | 0.0% | ||||
TOTAL COMMON STOCKS (Cost $508) | $ | 940 | |||||
WARRANTS - 0.0% | 2,379 | 0.0% | |||||
TOTAL WARRANTS (Cost $696) | $ | 2,379 | |||||
SHORT-TERM INVESTMENTS - 11.4% | |||||||
Short-term funds - 11.4% | |||||||
John Hancock Collateral Trust, 0.0324% (B)(C) | 397,568 | 3,977,512 | 0.6% | ||||
State Street Institutional U.S. Government Money Market Fund, Premier Class, 0.0250% (B) | 80,575,403 | 80,575,403 | 10.8% | ||||
84,552,915 | |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $84,553,035) | $ | 84,552,915 | |||||
Total Investments (Total Bond Market Trust) (Cost $773,682,665) - 108.9% | $ | 811,103,361 | 108.9% | ||||
Other assets and liabilities, net - (8.9)% | (66,019,603) | (8.9%) | |||||
TOTAL NET ASSETS - 100.0% | $ | 745,083,758 | 100.0% |
Security Abbreviations and Legend | |
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. |
(A) | Security purchased or sold on a when-issued or delayed delivery basis. |
(B) | The rate shown is the annualized seven-day yield as of 6-30-21. |
(C) | Investment is an affiliate of the fund, the advisor and/or subadvisor. This security represents the investment of cash collateral received for securities lending. |
Shares or Principal Amount | Value | % of Net Assets | |||||
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 1.0% | |||||||
Federal Home Loan Mortgage Corp. - 0.4% | $ | 1,025,760 | 0.4% | ||||
Federal National Mortgage Association - 0.5% | 1,579,301 | 0.5% | |||||
Government National Mortgage Association - 0.1% | 247,980 | 0.1% | |||||
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (Cost $2,862,952) | $ | 2,853,041 | |||||
CORPORATE BONDS - 51.7% | |||||||
Communication services - 2.9% | |||||||
AT&T, Inc. 3.000%, 06/30/2022 | $ | 3,200,000 | 3,272,095 | 1.1% | |||
Verizon Communications, Inc. 0.750%, 03/22/2024 | 3,000,000 | 3,012,893 | 1.1% | ||||
OTHER SECURITIES | 2,070,578 | 0.7% | |||||
8,355,566 | |||||||
Consumer discretionary - 4.3% | |||||||
eBay, Inc. 2.750%, 01/30/2023 | 3,000,000 | 3,104,512 | 1.1% | ||||
Volkswagen Group of America Finance LLC 3.125%, 05/12/2023 (A) | 3,000,000 | 3,132,656 | 1.1% | ||||
OTHER SECURITIES | 6,070,453 | 2.1% | |||||
12,307,621 |
The accompanying notes are an integral part of the financial statements. | 33 |
Shares or Principal Amount | Value | % of Net Assets | |||||
CORPORATE BONDS (continued) | |||||||
Consumer staples - 1.0% | |||||||
The Kroger Company 2.800%, 08/01/2022 | $ | 2,791,000 | $ | 2,858,377 | 1.0% | ||
Energy - 3.3% | |||||||
Energy Transfer Operating LP 4.500%, 11/01/2023 | 3,000,000 | 3,219,715 | 1.1% | ||||
Halliburton Company 3.250%, 11/15/2021 | 3,000,000 | 3,010,353 | 1.1% | ||||
The Williams Companies, Inc. 4.500%, 11/15/2023 | 3,000,000 | 3,247,615 | 1.1% | ||||
9,477,683 | |||||||
Financials - 25.5% | |||||||
Alexander Funding Trust 1.841%, 11/15/2023 (A) | 3,000,000 | 3,054,802 | 1.1% | ||||
Athene Global Funding 0.950%, 01/08/2024 (A) | 3,000,000 | 3,002,406 | 1.0% | ||||
Capital One Financial Corp. 3.750%, 04/24/2024 | 3,176,000 | 3,431,164 | 1.2% | ||||
Citigroup, Inc. (2.876% to 7-24-22, then 3 month LIBOR + 0.950%) 2.876%, 07/24/2023 | 3,000,000 | 3,077,024 | 1.1% | ||||
Credit Suisse Group Funding Guernsey, Ltd. 3.800%, 09/15/2022 | 3,000,000 | 3,121,745 | 1.1% | ||||
Five Corners Funding Trust 4.419%, 11/15/2023 (A) | 3,000,000 | 3,270,569 | 1.1% | ||||
JPMorgan Chase & Co. (1.514% to 6-1-23, then SOFR + 1.455%) 1.514%, 06/01/2024 | 5,000,000 | 5,098,582 | 1.8% | ||||
Metropolitan Life Global Funding I 3.375%, 01/11/2022 (A) | 3,000,000 | 3,050,020 | 1.1% | ||||
Morgan Stanley (3.737% to 4-24-23, then 3 month LIBOR + 0.847%) 3.737%, 04/24/2024 | 3,000,000 | 3,172,817 | 1.1% | ||||
NatWest Markets PLC 3.625%, 09/29/2022 (A) | 5,000,000 | 5,200,117 | 1.8% | ||||
Santander Holdings USA, Inc. 3.244%, 10/05/2026 | 3,000,000 | 3,204,362 | 1.1% | ||||
The Bank of New York Mellon Corp. 3.450%, 08/11/2023 | 3,000,000 | 3,195,125 | 1.1% | ||||
The Bank of Nova Scotia 1.950%, 02/01/2023 | 3,000,000 | 3,075,714 | 1.1% | ||||
Truist Bank 2.625%, 01/15/2022 | 3,000,000 | 3,033,128 | 1.1% | ||||
Wells Fargo & Company 3.750%, 01/24/2024 | 3,000,000 | 3,226,348 | 1.1% | ||||
OTHER SECURITIES | 22,027,550 | 7.6% | |||||
73,241,473 | |||||||
Health care - 3.5% | |||||||
Abbott Laboratories 2.550%, 03/15/2022 | 3,000,000 | 3,049,000 | 1.1% | ||||
Cigna Corp. 0.613%, 03/15/2024 | 3,000,000 | 2,998,461 | 1.0% | ||||
OTHER SECURITIES | 4,019,116 | 1.4% | |||||
10,066,577 |
Shares or Principal Amount | Value | % of Net Assets | |||||
CORPORATE BONDS (continued) | |||||||
Industrials - 3.1% | |||||||
CNH Industrial Capital LLC 4.375%, 04/05/2022 | $ | 2,500,000 | $ | 2,571,733 | 0.9% | ||
OTHER SECURITIES | 6,197,201 | 2.2% | |||||
8,768,934 | |||||||
Information technology - 4.0% | |||||||
IBM Corp. 2.850%, 05/13/2022 | 2,835,000 | 2,900,099 | 1.0% | ||||
NXP BV 4.875%, 03/01/2024 (A) | 3,000,000 | 3,302,406 | 1.2% | ||||
Oracle Corp. 2.625%, 02/15/2023 | 3,000,000 | 3,100,572 | 1.1% | ||||
OTHER SECURITIES | 2,086,950 | 0.7% | |||||
11,390,027 | |||||||
Materials - 2.1% | |||||||
Georgia-Pacific LLC 0.625%, 05/15/2024 (A) | 3,000,000 | 2,987,676 | 1.1% | ||||
Graphic Packaging International LLC 0.821%, 04/15/2024 (A) | 3,000,000 | 2,977,798 | 1.0% | ||||
5,965,474 | |||||||
Utilities - 2.0% | 5,857,699 | 2.0% | |||||
TOTAL CORPORATE BONDS (Cost $147,053,541) | $ | 148,289,431 | |||||
MUNICIPAL BONDS - 0.7% | 2,025,452 | 0.7% | |||||
TOTAL MUNICIPAL BONDS (Cost $2,000,000) | $ | 2,025,452 | |||||
COLLATERALIZED MORTGAGE OBLIGATIONS - 1.1% | |||||||
Commercial and residential - 0.8% | 2,319,687 | 0.8% | |||||
Federal National Mortgage Association - 0.3% | 698,151 | 0.3% | |||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $2,999,366) | $ | 3,017,838 | |||||
ASSET BACKED SECURITIES - 11.5% | |||||||
Ally Auto Receivables Trust Series 2019-4, Class A3, 1.840%, 06/17/2024 | 2,706,250 | 2,730,788 | 1.0% | ||||
American Tower Trust Series 2013, Class 2A, 3.070%, 03/15/2048 (A) | 2,500,000 | 2,512,161 | 0.9% | ||||
Nissan Auto Receivables Owner Trust Series 2018-A, Class A4, 2.890%, 06/17/2024 | 3,477,424 | 3,510,776 | 1.2% | ||||
Nissan Auto Receivables Owner Trust Series 2019-B, Class A3, 2.500%, 11/15/2023 | 2,172,061 | 2,201,690 | 0.8% | ||||
OTHER SECURITIES | 22,086,415 | 7.6% | |||||
TOTAL ASSET BACKED SECURITIES (Cost $33,269,310) | $ | 33,041,830 | |||||
SHORT-TERM INVESTMENTS - 33.3% | |||||||
Commercial paper - 13.8% | |||||||
Apple, Inc., 0.020%, 09/08/2021 * | 3,000,000 | 2,999,749 | 1.0% | ||||
Chariot Acquisition LLC, 0.070%, 09/13/2021 * | 3,000,000 | 2,999,438 | 1.0% | ||||
Cooperative Centrale, 0.050%, 08/03/2021 * | 3,000,000 | 2,999,802 | 1.0% | ||||
Lime Funding LLC, 0.110%, 07/21/2021 * | 3,000,000 | 2,999,843 | 1.0% |
The accompanying notes are an integral part of the financial statements. | 34 |
Shares or Principal Amount | Value | % of Net Assets | |||||
SHORT-TERM INVESTMENTS (continued) | |||||||
Commercial paper (continued) | |||||||
Manhattan Asset Funding Company LLC, 0.080%, 08/24/2021 * | $ | 3,000,000 | $ | 2,999,510 | 1.0% | ||
MUFG Bank, Ltd., 0.050%, 07/20/2021 * | 3,000,000 | 2,999,893 | 1.1% | ||||
National Rural Utilities Cooperative Finance Corp., 0.070%, 07/01/2021 * | 3,000,000 | 2,999,994 | 1.1% | ||||
Novartis AG, 0.020%, 07/30/2021 * | 3,000,000 | 2,999,850 | 1.0% | ||||
Salt River Project Agricultural Improvement & Power District, 0.070%, 08/17/2021 * | 3,000,000 | 2,999,633 | 1.0% | ||||
The University of Chicago, 0.030%, 07/15/2021 * | 3,000,000 | 2,999,928 | 1.1% | ||||
OTHER SECURITIES | 9,549,028 | 3.5% | |||||
39,546,668 | |||||||
U.S. Government - 16.4% | |||||||
U.S. Treasury Bill, 0.009%, 07/08/2021 * | 13,000,000 | 12,999,902 | 4.5% | ||||
U.S. Treasury Bill, 0.041%, 07/22/2021 * | 11,000,000 | 10,999,694 | 3.9% | ||||
U.S. Treasury Bill, 0.048%, 08/10/2021 * | 15,000,000 | 14,999,204 | 5.2% | ||||
U.S. Treasury Bill, 0.050%, 08/24/2021 * | 8,000,000 | 7,999,460 | 2.8% | ||||
46,998,260 | |||||||
Short-term funds - 3.1% | |||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class, 0.0250% (B) | 8,816,874 | 8,816,874 | 3.1% | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $95,362,860) | $ | 95,361,802 | |||||
Total Investments (Ultra Short Term Bond Trust) (Cost $283,548,029) - 99.3% | $ | 284,589,394 | 99.3% | ||||
Other assets and liabilities, net - 0.7% | 2,052,150 | 0.7% | |||||
TOTAL NET ASSETS - 100.0% | $ | 286,641,544 | 100.0% |
Security Abbreviations and Legend | |
LIBOR | London Interbank Offered Rate |
SOFR | Secured Overnight Financing Rate |
(A) | 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 $53,427,039 or 18.6% of the fund's net assets as of 6-30-21. |
(B) | The rate shown is the annualized seven-day yield as of 6-30-21. |
* | 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. |
The accompanying notes are an integral part of the financial statements. | 35 |
United States | 81.5% |
Cayman Islands | 6.0% |
Canada | 3.8% |
United Kingdom | 1.5% |
Luxembourg | 1.1% |
Other countries | 6.1% |
TOTAL | 100.0% |
United States | 88.2% |
Cayman Islands | 3.2% |
Mexico | 1.0% |
Other countries | 7.6% |
TOTAL | 100.0% |
United States | 55.8% |
Canada | 6.8% |
Indonesia | 3.6% |
Luxembourg | 3.5% |
United Kingdom | 2.4% |
Supranational | 1.8% |
France | 1.7% |
Mexico | 1.6% |
Australia | 1.6% |
Brazil | 1.6% |
Other countries | 19.6% |
TOTAL | 100.0% |
United States | 89.8% |
United Kingdom | 3.3% |
Netherlands | 1.9% |
Canada | 1.8% |
Guernsey, Channel Islands | 1.1% |
Other countries | 2.1% |
TOTAL | 100.0% |
The accompanying notes are an integral part of the financial statements. | 36 |
Assets | Active Bond Trust | Core Bond Trust | High Yield Trust | Investment Quality Bond Trust |
Unaffiliated investments, at value (including securities loaned) | $794,618,666 | $1,117,183,956 | $209,776,854 | $365,014,433 |
Affiliated investments, at value | 3,411,275 | 1,639,149 | 3,452,532 | 611,242 |
Repurchase agreements, at value | 9,688,000 | — | — | 5,700,000 |
Total investments, at value | 807,717,941 | 1,118,823,105 | 213,229,386 | 371,325,675 |
Receivable for centrally cleared swaps | — | — | 698,903 | — |
Unrealized appreciation on forward foreign currency contracts | — | — | 3,780 | 177,309 |
Cash | 1,236,635 | 761,200 | 79,248 | 49,737 |
Foreign currency, at value | — | — | 46,979 | — |
Collateral held at broker for futures contracts | — | — | 114,141 | — |
Collateral segregated at custodian for OTC derivative contracts | — | — | 40,000 | 60,000 |
Dividends and interest receivable | 4,870,243 | 3,564,829 | 2,767,717 | 1,464,889 |
Receivable for fund shares sold | 3,680,048 | 42,229 | 1,030,128 | 3,407,309 |
Receivable for investments sold | 529,844 | 24,022,853 | 918,444 | 203,505 |
Receivable for delayed delivery securities sold | — | 76,480,395 | — | 24,124,052 |
Receivable for securities lending income | 1,386 | 185 | 4,307 | 651 |
Other assets | 21,667 | 29,712 | 8,358 | 9,481 |
Total assets | 818,057,764 | 1,223,724,508 | 218,941,391 | 400,822,608 |
Liabilities | ||||
Unrealized depreciation on forward foreign currency contracts | — | — | 2,850 | 10,053 |
Written options, at value | — | — | — | 96,399 |
Swap contracts, at value | — | — | — | 935,409 |
Payable for centrally cleared swaps | — | — | — | 33,293 |
Payable for futures variation margin | — | — | 13,076 | 164,949 |
Payable for collateral on sale commitments | — | 30,000 | — | — |
Payable for investments purchased | 1,514,995 | 26,731,351 | 4,122,587 | 4,362,511 |
Payable for delayed delivery securities purchased | 77,085,558 | 160,112,368 | — | 122,003,841 |
Payable for fund shares repurchased | — | 145,012 | 2,192 | — |
Payable upon return of securities loaned | 3,400,955 | 1,645,625 | 3,456,328 | 609,048 |
Payable to affiliates | ||||
Accounting and legal services fees | 30,092 | 42,850 | 8,361 | 11,251 |
Other liabilities and accrued expenses | 143,596 | 157,566 | 85,459 | 105,286 |
Total liabilities | 82,175,196 | 188,864,772 | 7,690,853 | 128,332,040 |
Net assets | $735,882,568 | $1,034,859,736 | $211,250,538 | $272,490,568 |
Net assets consist of | ||||
Paid-in capital | $674,560,708 | $973,303,398 | $267,401,943 | $251,765,587 |
Total distributable earnings (loss) | 61,321,860 | 61,556,338 | (56,151,405) | 20,724,981 |
Net assets | $735,882,568 | $1,034,859,736 | $211,250,538 | $272,490,568 |
Unaffiliated investments, including repurchase agreements, at cost | $772,071,619 | $1,110,009,955 | $214,217,551 | $363,090,511 |
Affiliated investments, at cost | $3,411,360 | $1,639,157 | $3,452,616 | $611,256 |
Foreign currency, at cost | — | — | $45,259 | — |
Premiums received on written options | — | — | — | $179,120 |
Net unamortized upfront payment on OTC swaps | — | — | — | $(290,782) |
Securities loaned, at value | $3,321,238 | $1,607,286 | $3,369,747 | $560,534 |
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 | $35,038,225 | $88,165,930 | $65,822,898 | $138,515,124 |
Shares outstanding | 3,411,438 | 6,303,432 | 11,984,593 | 11,529,103 |
Net asset value, offering price and redemption price per share | $10.27 | $13.99 | $5.49 | $12.01 |
Series II | ||||
Net assets | $152,717,163 | $80,809,177 | $52,110,630 | $77,138,268 |
Shares outstanding | 14,855,010 | 5,790,246 | 9,255,909 | 6,423,133 |
Net asset value, offering price and redemption price per share | $10.28 | $13.96 | $5.63 | $12.01 |
Series NAV | ||||
Net assets | $548,127,180 | $865,884,629 | $93,317,010 | $56,837,176 |
Shares outstanding | 53,318,646 | 62,185,936 | 17,288,384 | 4,747,474 |
Net asset value, offering price and redemption price per share | $10.28 | $13.92 | $5.40 | $11.97 |
The accompanying notes are an integral part of the financial statements. | 37 |
Assets | Money Market Trust | Opportunistic Fixed Income Trust | Select Bond Trust | Short Term Government Income Trust |
Unaffiliated investments, at value (including securities loaned) | $2,111,852,388 | $207,518,828 | $7,933,552,974 | $181,569,252 |
Affiliated investments, at value | — | — | 13,419,808 | — |
Repurchase agreements, at value | 16,900,000 | — | 366,701,000 | 1,666,000 |
Total investments, at value | 2,128,752,388 | 207,518,828 | 8,313,673,782 | 183,235,252 |
Swap contracts, at value | — | 1,722,933 | — | — |
Receivable for centrally cleared swaps | — | 1,502,104 | — | — |
Unrealized appreciation on forward foreign currency contracts | — | 703,152 | — | — |
Cash | 51,949 | 420,196 | 284 | 704 |
Foreign currency, at value | — | 512,497 | — | — |
Collateral held at broker for futures contracts | — | 1,340,000 | — | — |
Collateral segregated at custodian for OTC derivative contracts | — | 517,000 | — | — |
Dividends and interest receivable | 1,275,481 | 1,613,547 | 41,537,194 | 703,788 |
Receivable for fund shares sold | 2,035,159 | 935,300 | 14,657,948 | — |
Receivable for investments sold | — | 1,403,621 | 35,586,164 | — |
Receivable for securities lending income | — | — | 3,178 | — |
Receivable from affiliates | 14,687 | 584 | 161 | — |
Other assets | 50,437 | 9,969 | 217,832 | 8,657 |
Total assets | 2,132,180,101 | 218,199,731 | 8,405,676,543 | 183,948,401 |
Liabilities | ||||
Unrealized depreciation on forward foreign currency contracts | — | 615,061 | — | — |
Swap contracts, at value | — | 2,133,503 | — | — |
Payable for futures variation margin | — | 49,044 | — | — |
Payable for collateral on OTC derivatives | — | 960,000 | — | — |
Payable for investments purchased | — | 3,200,771 | 88,666,212 | — |
Payable for delayed delivery securities purchased | — | 555,688 | 256,288,114 | — |
Payable for fund shares repurchased | 3,104,340 | 78,709 | 3,147,193 | 7,606 |
Payable upon return of securities loaned | — | — | 13,385,881 | — |
Payable to affiliates | ||||
Accounting and legal services fees | 90,494 | 8,519 | 331,973 | 7,714 |
Other liabilities and accrued expenses | 306,307 | 170,614 | 867,132 | 75,189 |
Total liabilities | 3,501,141 | 7,771,909 | 362,686,505 | 90,509 |
Net assets | $2,128,678,960 | $210,427,822 | $8,042,990,038 | $183,857,892 |
Net assets consist of | ||||
Paid-in capital | $2,128,628,534 | $194,283,375 | $7,613,777,621 | $205,541,771 |
Total distributable earnings (loss) | 50,426 | 16,144,447 | 429,212,417 | (21,683,879) |
Net assets | $2,128,678,960 | $210,427,822 | $8,042,990,038 | $183,857,892 |
Unaffiliated investments, including repurchase agreements, at cost | $2,128,752,388 | $206,019,301 | $8,091,120,817 | $181,778,945 |
Affiliated investments, at cost | — | — | $13,420,269 | — |
Foreign currency, at cost | — | $511,870 | — | — |
Net unamortized upfront payment on OTC swaps | — | $(620,022) | — | — |
Collateral held at broker for centrally cleared swaps | — | $1,575,000 | — | — |
Securities loaned, at value | — | — | $13,119,110 | — |
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 | $1,587,828,397 | $31,703,567 | $179,601,345 | $32,190,750 |
Shares outstanding | 1,587,841,665 | 2,360,684 | 12,432,291 | 2,637,880 |
Net asset value, offering price and redemption price per share | $1.00 | $13.43 | $14.45 | $12.20 |
Series II | ||||
Net assets | $87,900,209 | $58,561,497 | $424,402,709 | $21,792,857 |
Shares outstanding | 87,879,852 | 4,434,986 | 29,370,684 | 1,786,623 |
Net asset value, offering price and redemption price per share | $1.00 | $13.20 | $14.45 | $12.20 |
Series NAV | ||||
Net assets | $452,950,354 | $120,162,758 | $7,438,985,984 | $129,874,285 |
Shares outstanding | 452,946,236 | 8,980,969 | 515,139,417 | 10,642,293 |
Net asset value, offering price and redemption price per share | $1.00 | $13.38 | $14.44 | $12.20 |
The accompanying notes are an integral part of the financial statements. | 38 |
Assets | Strategic Income Opportunities Trust | Total Bond Market Trust | Ultra Short Term Bond Trust |
Unaffiliated investments, at value (including securities loaned) | $447,550,981 | $807,125,849 | $284,589,394 |
Affiliated investments, at value | 3,420,435 | 3,977,512 | — |
Repurchase agreements, at value | 12,414,000 | — | — |
Total investments, at value | 463,385,416 | 811,103,361 | 284,589,394 |
Unrealized appreciation on forward foreign currency contracts | 460,733 | — | — |
Cash | 4,686 | 264,527 | 158,641 |
Foreign currency, at value | 766,652 | — | — |
Collateral held at broker for futures contracts | 2,586,000 | — | — |
Collateral segregated at custodian for OTC derivative contracts | 10,000 | — | — |
Dividends and interest receivable | 4,323,804 | 3,672,354 | 1,267,008 |
Receivable for fund shares sold | 615,605 | 2,128,082 | 760,116 |
Receivable for investments sold | 1,346,495 | — | — |
Receivable for securities lending income | 950 | 1,163 | 255 |
Receivable from affiliates | — | 7,544 | — |
Other assets | 15,294 | 21,568 | 10,457 |
Total assets | 473,515,635 | 817,198,599 | 286,785,871 |
Liabilities | |||
Unrealized depreciation on forward foreign currency contracts | 298,890 | — | — |
Written options, at value | 116,728 | — | — |
Payable for futures variation margin | 310,857 | — | — |
Payable for investments purchased | 11,903,396 | 1,655 | — |
Payable for delayed delivery securities purchased | — | 67,305,813 | — |
Payable for fund shares repurchased | 672,067 | 705,818 | 57,117 |
Payable upon return of securities loaned | 3,421,310 | 3,950,812 | — |
Payable to affiliates | |||
Accounting and legal services fees | 19,031 | 30,716 | 12,499 |
Other liabilities and accrued expenses | 134,807 | 120,027 | 74,711 |
Total liabilities | 16,877,086 | 72,114,841 | 144,327 |
Net assets | $456,638,549 | $745,083,758 | $286,641,544 |
Net assets consist of | |||
Paid-in capital | $424,502,690 | $702,889,313 | $305,173,352 |
Total distributable earnings (loss) | 32,135,859 | 42,194,445 | (18,531,808) |
Net assets | $456,638,549 | $745,083,758 | $286,641,544 |
Unaffiliated investments, including repurchase agreements, at cost | $445,386,547 | $769,705,033 | $283,548,029 |
Affiliated investments, at cost | $3,420,553 | $3,977,632 | — |
Foreign currency, at cost | $772,798 | — | — |
Premiums received on written options | $386,263 | — | — |
Securities loaned, at value | $3,348,590 | $3,847,934 | — |
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 | $321,702,918 | $354,775,439 | $12,798,940 |
Shares outstanding | 21,987,331 | 33,173,995 | 1,116,920 |
Net asset value, offering price and redemption price per share | $14.63 | $10.69 | $11.46 |
Series II | |||
Net assets | $43,136,122 | $67,224,730 | $237,285,264 |
Shares outstanding | 2,943,364 | 6,283,813 | 20,729,960 |
Net asset value, offering price and redemption price per share | $14.66 | $10.70 | $11.45 |
Series NAV | |||
Net assets | $91,799,509 | $323,083,589 | $36,557,340 |
Shares outstanding | 6,292,513 | 30,213,368 | 3,188,603 |
Net asset value, offering price and redemption price per share | $14.59 | $10.69 | $11.47 |
The accompanying notes are an integral part of the financial statements. | 39 |
Investment income | Active Bond Trust | Core Bond Trust | High Yield Trust | Investment Quality Bond Trust |
Interest | $11,138,395 | $7,502,038 | $5,616,592 | $3,431,339 |
Dividends from unaffiliated investments | 41,738 | — | 76,551 | — |
Securities lending | 7,347 | 4,409 | 11,807 | 3,706 |
Less foreign taxes withheld | — | — | (44) | — |
Total investment income | 11,187,480 | 7,506,447 | 5,704,906 | 3,435,045 |
Expenses | ||||
Investment management fees | 2,175,676 | 2,914,646 | 690,219 | 794,227 |
Distribution and service fees | 193,827 | 123,570 | 75,063 | 130,484 |
Accounting and legal services fees | 47,356 | 67,483 | 13,084 | 17,547 |
Trustees' fees | 7,256 | 10,218 | 2,033 | 2,680 |
Custodian fees | 57,559 | 63,842 | 18,779 | 34,967 |
Printing and postage | 10,498 | 11,715 | 7,110 | 7,526 |
Professional fees | 37,020 | 40,826 | 42,598 | 43,694 |
Other | 29,425 | 23,815 | 8,543 | 10,504 |
Total expenses | 2,558,617 | 3,256,115 | 857,429 | 1,041,629 |
Less expense reductions | (31,603) | (44,683) | (8,599) | (11,543) |
Net expenses | 2,527,014 | 3,211,432 | 848,830 | 1,030,086 |
Net investment income | 8,660,466 | 4,295,015 | 4,856,076 | 2,404,959 |
Realized and unrealized gain (loss) | ||||
Net realized gain (loss) on | ||||
Unaffiliated investments and foreign currency transactions | 3,063,681 | (240,719) | 3,898,329 | 613,866 |
Affiliated investments | (571) | (498) | (742) | (249) |
Futures contracts | — | — | (106,006) | 2,004,732 |
Forward foreign currency contracts | — | — | (6,366) | 202,305 |
Swap contracts | — | — | 118,739 | 105,687 |
3,063,110 | (241,217) | 3,903,954 | 2,926,341 | |
Change in net unrealized appreciation (depreciation) of | ||||
Unaffiliated investments and translation of assets and liabilities in foreign currencies | (16,624,431) | (22,198,707) | (346,886) | (8,585,478) |
Affiliated investments | 113 | 202 | 124 | 106 |
Futures contracts | — | — | (38,579) | (857,309) |
Forward foreign currency contracts | — | — | (11,944) | 227,888 |
Written options | — | — | — | 82,721 |
Swap contracts | — | — | (50,023) | 361,107 |
(16,624,318) | (22,198,505) | (447,308) | (8,770,965) | |
Net realized and unrealized gain (loss) | (13,561,208) | (22,439,722) | 3,456,646 | (5,844,624) |
Increase (decrease) in net assets from operations | $(4,900,742) | $(18,144,707) | $8,312,722 | $(3,439,665) |
The accompanying notes are an integral part of the financial statements. | 40 |
Investment income | Money Market Trust | Opportunistic Fixed Income Trust | Select Bond Trust | Short Term Government Income Trust |
Interest | $913,211 | $3,762,670 | $102,684,495 | $1,701,875 |
Dividends from unaffiliated investments | — | 148,769 | 262,730 | — |
Securities lending | — | 189 | — | 1,443 |
Less foreign taxes withheld | — | (96,699) | (4,285) | — |
Total investment income | 913,211 | 3,814,929 | 102,942,940 | 1,703,318 |
Expenses | ||||
Investment management fees | 3,958,823 | 645,705 | 22,255,272 | 539,431 |
Distribution and service fees | 543,222 | 79,980 | 565,532 | 42,009 |
Accounting and legal services fees | 141,224 | 13,273 | 522,428 | 12,308 |
Trustees' fees | 22,515 | 2,041 | 76,556 | 1,985 |
Custodian fees | 159,447 | 54,058 | 415,671 | 16,881 |
Printing and postage | 21,833 | 8,672 | 51,812 | 7,031 |
Professional fees | 40,602 | 61,341 | 102,431 | 37,317 |
Other | 31,872 | 14,677 | 132,217 | 9,251 |
Total expenses | 4,919,538 | 879,747 | 24,121,919 | 666,213 |
Less expense reductions | (4,082,358) | (29,117) | (1,159,290) | (8,245) |
Net expenses | 837,180 | 850,630 | 22,962,629 | 657,968 |
Net investment income | 76,031 | 2,964,299 | 79,980,311 | 1,045,350 |
Realized and unrealized gain (loss) | ||||
Net realized gain (loss) on | ||||
Unaffiliated investments and foreign currency transactions | 564 | 1,554,820 | 32,630,742 | 281,680 |
Affiliated investments | — | (47) | (5,451) | — |
Futures contracts | — | (764,848) | — | — |
Forward foreign currency contracts | — | 1,310,679 | — | — |
Swap contracts | — | 1,229,850 | — | — |
564 | 3,330,454 | 32,625,291 | 281,680 | |
Change in net unrealized appreciation (depreciation) of | ||||
Unaffiliated investments and translation of assets and liabilities in foreign currencies | — | (6,449,262) | (189,924,788) | (2,665,899) |
Affiliated investments | — | 5 | 799 | — |
Futures contracts | — | 6,663 | — | — |
Forward foreign currency contracts | — | 135,295 | — | — |
Swap contracts | — | (454,342) | — | — |
— | (6,761,641) | (189,923,989) | (2,665,899) | |
Net realized and unrealized gain (loss) | 564 | (3,431,187) | (157,298,698) | (2,384,219) |
Increase (decrease) in net assets from operations | $76,595 | $(466,888) | $(77,318,387) | $(1,338,869) |
The accompanying notes are an integral part of the financial statements. | 41 |
Investment income | Strategic Income Opportunities Trust | Total Bond Market Trust | Ultra Short Term Bond Trust |
Interest | $7,044,056 | $7,265,085 | $1,705,602 |
Dividends from unaffiliated investments | 678,672 | — | — |
Securities lending | 1,805 | 5,004 | 7,946 |
Less foreign taxes withheld | (95,414) | — | — |
Total investment income | 7,629,119 | 7,270,089 | 1,713,548 |
Expenses | |||
Investment management fees | 1,448,655 | 1,780,826 | 828,548 |
Distribution and service fees | 130,689 | 183,129 | 322,248 |
Accounting and legal services fees | 29,937 | 48,920 | 19,714 |
Trustees' fees | 4,573 | 7,550 | 3,004 |
Custodian fees | 54,543 | 51,550 | 23,805 |
Printing and postage | 8,594 | 10,802 | 7,809 |
Professional fees | 46,228 | 33,258 | 31,058 |
Other | 15,523 | 21,570 | 10,538 |
Total expenses | 1,738,742 | 2,137,605 | 1,246,724 |
Less expense reductions | (19,786) | (1,002,818) | (104,207) |
Net expenses | 1,718,956 | 1,134,787 | 1,142,517 |
Net investment income | 5,910,163 | 6,135,302 | 571,031 |
Realized and unrealized gain (loss) | |||
Net realized gain (loss) on | |||
Unaffiliated investments and foreign currency transactions | 8,872,206 | 400,081 | 35,989 |
Affiliated investments | (581) | (686) | (871) |
Futures contracts | 3,715,540 | — | — |
Forward foreign currency contracts | 1,050,121 | — | — |
Written options | 270,618 | — | — |
13,907,904 | 399,395 | 35,118 | |
Change in net unrealized appreciation (depreciation) of | |||
Unaffiliated investments and translation of assets and liabilities in foreign currencies | (11,797,898) | (21,427,037) | (938,383) |
Affiliated investments | 96 | 110 | — |
Futures contracts | (2,274,444) | — | — |
Forward foreign currency contracts | 51,193 | — | — |
Written options | 386,582 | — | — |
(13,634,471) | (21,426,927) | (938,383) | |
Net realized and unrealized gain (loss) | 273,433 | (21,027,532) | (903,265) |
Increase (decrease) in net assets from operations | $6,183,596 | $(14,892,230) | $(332,234) |
The accompanying notes are an integral part of the financial statements. | 42 |
Active Bond Trust | Core Bond Trust | High Yield Trust | ||||
Increase (decrease) in net assets | Six months ended 6-30-21 (unaudited) | Year ended 12-31-20 | Six months ended 6-30-21 (unaudited) | Year ended 12-31-20 | Six months ended 6-30-21 (unaudited) | Year ended 12-31-20 |
From operations | ||||||
Net investment income | $8,660,466 | $18,813,771 | $4,295,015 | $14,670,631 | $4,856,076 | $10,155,187 |
Net realized gain (loss) | 3,063,110 | 16,158,179 | (241,217) | 53,171,903 | 3,903,954 | (3,031,540) |
Change in net unrealized appreciation (depreciation) | (16,624,318) | 26,070,803 | (22,198,505) | 14,550,900 | (447,308) | 3,195,230 |
Increase (decrease) in net assets resulting from operations | (4,900,742) | 61,042,753 | (18,144,707) | 82,393,434 | 8,312,722 | 10,318,877 |
Distributions to shareholders | ||||||
From earnings | ||||||
Series I | — | (1,058,278) | — | (2,137,004) | — | (3,851,839) |
Series II | — | (3,994,890) | — | (1,780,118) | — | (2,622,957) |
Series NAV | — | (16,637,458) | — | (20,093,057) | — | (5,066,715) |
Total distributions | — | (21,690,626) | — | (24,010,179) | — | (11,541,511) |
From portfolio share transactions | ||||||
Portfolio share transactions | (10,692,259) | (12,099,874) | 8,127,333 | (103,337,742) | 6,290,558 | (8,637,096) |
Total increase (decrease) | (15,593,001) | 27,252,253 | (10,017,374) | (44,954,487) | 14,603,280 | (9,859,730) |
Net assets | ||||||
Beginning of period | 751,475,569 | 724,223,316 | 1,044,877,110 | 1,089,831,597 | 196,647,258 | 206,506,988 |
End of period | $735,882,568 | $751,475,569 | $1,034,859,736 | $1,044,877,110 | $211,250,538 | $196,647,258 |
Investment Quality Bond Trust | Money Market Trust | Opportunistic Fixed Income Trust | ||||
Increase (decrease) in net assets | Six months ended 6-30-21 (unaudited) | Year ended 12-31-20 | Six months ended 6-30-21 (unaudited) | Year ended 12-31-20 | Six months ended 6-30-21 (unaudited) | Year ended 12-31-20 |
From operations | ||||||
Net investment income | $2,404,959 | $5,335,105 | $76,031 | $6,248,184 | $2,964,299 | $4,225,763 |
Net realized gain (loss) | 2,926,341 | 5,573,094 | 564 | 24,370 | 3,330,454 | 15,829,213 |
Change in net unrealized appreciation (depreciation) | (8,770,965) | 11,154,675 | — | — | (6,761,641) | 3,083,291 |
Increase (decrease) in net assets resulting from operations | (3,439,665) | 22,062,874 | 76,595 | 6,272,554 | (466,888) | 23,138,267 |
Distributions to shareholders | ||||||
From earnings | ||||||
Series I | — | (3,163,148) | (58,160) | (4,603,716) | — | (1,186,256) |
Series II | — | (1,625,848) | (3,156) | (280,622) | — | (2,097,869) |
Series NAV | — | (1,081,930) | (14,715) | (1,363,845) | — | (3,929,619) |
Total distributions | — | (5,870,926) | (76,031) | (6,248,183) | — | (7,213,744) |
From portfolio share transactions | ||||||
Portfolio share transactions | 9,781,375 | (6,736,992) | (273,510,892) | 472,254,153 | 13,400,376 | (16,255,271) |
Total increase (decrease) | 6,341,710 | 9,454,956 | (273,510,328) | 472,278,524 | 12,933,488 | (330,748) |
Net assets | ||||||
Beginning of period | 266,148,858 | 256,693,902 | 2,402,189,288 | 1,929,910,764 | 197,494,334 | 197,825,082 |
End of period | $272,490,568 | $266,148,858 | $2,128,678,960 | $2,402,189,288 | $210,427,822 | $197,494,334 |
The accompanying notes are an integral part of the financial statements. | 43 |
Select Bond Trust | Short Term Government Income Trust | Strategic Income Opportunities Trust | ||||
Increase (decrease) in net assets | Six months ended 6-30-21 (unaudited) | Year ended 12-31-20 | Six months ended 6-30-21 (unaudited) | Year ended 12-31-20 | Six months ended 6-30-21 (unaudited) | Year ended 12-31-20 |
From operations | ||||||
Net investment income | $79,980,311 | $180,753,914 | $1,045,350 | $2,504,951 | $5,910,163 | $11,272,920 |
Net realized gain (loss) | 32,625,291 | 275,679,040 | 281,680 | 1,008,203 | 13,907,904 | 4,583,320 |
Change in net unrealized appreciation (depreciation) | (189,923,989) | 177,690,579 | (2,665,899) | 2,917,176 | (13,634,471) | 18,644,594 |
Increase (decrease) in net assets resulting from operations | (77,318,387) | 634,123,533 | (1,338,869) | 6,430,330 | 6,183,596 | 34,500,834 |
Distributions to shareholders | ||||||
From earnings | ||||||
Series I | — | (5,078,662) | — | (586,755) | — | (5,373,280) |
Series II | — | (11,829,321) | — | (459,125) | — | (509,859) |
Series NAV | — | (211,716,697) | — | (2,286,164) | — | (1,399,714) |
Total distributions | — | (228,624,680) | — | (3,332,044) | — | (7,282,853) |
From portfolio share transactions | ||||||
Portfolio share transactions | 292,862,858 | (879,797,390) | (8,731,088) | 12,592,605 | (6,896,316) | (46,338,927) |
Total increase (decrease) | 215,544,471 | (474,298,537) | (10,069,957) | 15,690,891 | (712,720) | (19,120,946) |
Net assets | ||||||
Beginning of period | 7,827,445,567 | 8,301,744,104 | 193,927,849 | 178,236,958 | 457,351,269 | 476,472,215 |
End of period | $8,042,990,038 | $7,827,445,567 | $183,857,892 | $193,927,849 | $456,638,549 | $457,351,269 |
Total Bond Market Trust | Ultra Short Term Bond Trust | |||
Increase (decrease) in net assets | Six months ended 6-30-21 (unaudited) | Year ended 12-31-20 | Six months ended 6-30-21 (unaudited) | Year ended 12-31-20 |
From operations | ||||
Net investment income | $6,135,302 | $14,320,136 | $571,031 | $3,098,210 |
Net realized gain (loss) | 399,395 | 2,669,029 | 35,118 | 587,737 |
Change in net unrealized appreciation (depreciation) | (21,426,927) | 31,529,798 | (938,383) | 408,486 |
Increase (decrease) in net assets resulting from operations | (14,892,230) | 48,518,963 | (332,234) | 4,094,433 |
Distributions to shareholders | ||||
From earnings | ||||
Series I | — | (9,152,472) | — | (251,265) |
Series II | — | (1,636,397) | — | (4,521,502) |
Series NAV | — | (7,042,157) | — | (669,716) |
Total distributions | — | (17,831,026) | — | (5,442,483) |
From portfolio share transactions | ||||
Portfolio share transactions | (38,405,618) | 128,642,451 | (17,276,255) | 28,949,288 |
Total increase (decrease) | (53,297,848) | 159,330,388 | (17,608,489) | 27,601,238 |
Net assets | ||||
Beginning of period | 798,381,606 | 639,051,218 | 304,250,033 | 276,648,795 |
End of period | $745,083,758 | $798,381,606 | $286,641,544 | $304,250,033 |
The accompanying notes are an integral part of the financial statements. | 44 |
Per share operating performance for a share outstanding throughout each period | Ratios and supplemental data | |||||||||||||||||
Income (loss) from investment operations | Less distributions | Ratios to average net assets | ||||||||||||||||
Period ended | Net asset value, beginning of period ($) | Net investment income (loss) ($)1 | Net realized and unrealized gain (loss) on investments ($) | Total from investment operations ($) | From net investment income ($) | From net realized gain ($) | Total distributions ($) | 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 | ||||||||||||||||||
06-30-20213 | 10.34 | 0.12 | (0.19) | (0.07) | — | — | — | 10.27 | (0.68)4 | 0.705 | 0.695 | 2.395 | 35 | 53 | ||||
12-31-2020 | 9.79 | 0.26 | 0.60 | 0.86 | (0.31) | — | (0.31) | 10.34 | 8.79 | 0.70 | 0.70 | 2.56 | 36 | 98 | ||||
12-31-2019 | 9.21 | 0.29 | 0.56 | 0.85 | (0.27) | — | (0.27) | 9.79 | 9.25 | 0.70 | 0.70 | 2.96 | 37 | 88 | ||||
12-31-2018 | 9.57 | 0.30 | (0.36) | (0.06) | (0.30) | — | (0.30) | 9.21 | (0.60) | 0.70 | 0.70 | 3.18 | 35 | 63 | ||||
12-31-2017 | 9.45 | 0.29 | 0.17 | 0.46 | (0.34) | — | (0.34) | 9.57 | 4.84 | 0.70 | 0.69 | 3.01 | 38 | 86 | ||||
12-31-2016 | 9.40 | 0.31 | 0.10 | 0.41 | (0.36) | — | (0.36) | 9.45 | 4.34 | 0.686 | 0.686 | 3.18 | 41 | 84 | ||||
Series II | ||||||||||||||||||
06-30-20213 | 10.36 | 0.11 | (0.19) | (0.08) | — | — | — | 10.28 | (0.77)4 | 0.905 | 0.895 | 2.195 | 153 | 53 | ||||
12-31-2020 | 9.81 | 0.24 | 0.60 | 0.84 | (0.29) | — | (0.29) | 10.36 | 8.57 | 0.90 | 0.90 | 2.36 | 156 | 98 | ||||
12-31-2019 | 9.23 | 0.27 | 0.56 | 0.83 | (0.25) | — | (0.25) | 9.81 | 9.03 | 0.90 | 0.90 | 2.76 | 145 | 88 | ||||
12-31-2018 | 9.59 | 0.28 | (0.36) | (0.08) | (0.28) | — | (0.28) | 9.23 | (0.80) | 0.90 | 0.90 | 2.98 | 141 | 63 | ||||
12-31-2017 | 9.47 | 0.28 | 0.16 | 0.44 | (0.32) | — | (0.32) | 9.59 | 4.63 | 0.90 | 0.89 | 2.81 | 167 | 86 | ||||
12-31-2016 | 9.41 | 0.29 | 0.11 | 0.40 | (0.34) | — | (0.34) | 9.47 | 4.23 | 0.886 | 0.886 | 2.98 | 167 | 84 | ||||
Series NAV | ||||||||||||||||||
06-30-20213 | 10.34 | 0.12 | (0.18) | (0.06) | — | — | — | 10.28 | (0.58)4 | 0.655 | 0.645 | 2.445 | 548 | 53 | ||||
12-31-2020 | 9.80 | 0.27 | 0.58 | 0.85 | (0.31) | — | (0.31) | 10.34 | 8.73 | 0.65 | 0.65 | 2.61 | 560 | 98 | ||||
12-31-2019 | 9.22 | 0.29 | 0.57 | 0.86 | (0.28) | — | (0.28) | 9.80 | 9.30 | 0.65 | 0.65 | 3.01 | 542 | 88 | ||||
12-31-2018 | 9.58 | 0.30 | (0.36) | (0.06) | (0.30) | — | (0.30) | 9.22 | (0.55) | 0.65 | 0.65 | 3.24 | 502 | 63 | ||||
12-31-2017 | 9.46 | 0.30 | 0.16 | 0.46 | (0.34) | — | (0.34) | 9.58 | 4.89 | 0.65 | 0.64 | 3.06 | 535 | 86 | ||||
12-31-2016 | 9.40 | 0.31 | 0.11 | 0.42 | (0.36) | — | (0.36) | 9.46 | 4.50 | 0.636 | 0.636 | 3.23 | 536 | 84 | ||||
1. Based on average daily shares outstanding. 2. Total returns exclude insurance-related fees and expenses and would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-21. Unaudited. 4. Not annualized. 5. Annualized. 6. Includes reimbursement for overbilling of custody expenses in prior years of 0.01%. | ||||||||||||||||||
Core Bond Trust | ||||||||||||||||||
Series I | ||||||||||||||||||
06-30-20213 | 14.23 | 0.06 | (0.30) | (0.24) | — | — | — | 13.99 | (1.69)4 | 0.665 | 0.655 | 0.815 | 88 | 154 | ||||
12-31-2020 | 13.41 | 0.20 | 0.95 | 1.15 | (0.33) | — | (0.33) | 14.23 | 8.62 | 0.67 | 0.66 | 1.40 | 93 | 354 | ||||
12-31-2019 | 12.68 | 0.32 | 0.74 | 1.06 | (0.33) | — | (0.33) | 13.41 | 8.32 | 0.67 | 0.66 | 2.42 | 92 | 446 | ||||
12-31-2018 | 13.08 | 0.31 | (0.39) | (0.08) | (0.32) | — | (0.32) | 12.68 | (0.59) | 0.68 | 0.67 | 2.39 | 93 | 336 | ||||
12-31-2017 | 13.09 | 0.24 | 0.20 | 0.44 | (0.28) | (0.17) | (0.45) | 13.08 | 3.40 | 0.67 | 0.67 | 1.83 | 108 | 332 | ||||
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 | ||||
Series II | ||||||||||||||||||
06-30-20213 | 14.22 | 0.04 | (0.30) | (0.26) | — | — | — | 13.96 | (1.83)4 | 0.865 | 0.855 | 0.615 | 81 | 154 | ||||
12-31-2020 | 13.39 | 0.17 | 0.97 | 1.14 | (0.31) | — | (0.31) | 14.22 | 8.50 | 0.87 | 0.86 | 1.20 | 85 | 354 | ||||
12-31-2019 | 12.67 | 0.29 | 0.73 | 1.02 | (0.30) | — | (0.30) | 13.39 | 8.04 | 0.87 | 0.86 | 2.23 | 81 | 446 | ||||
12-31-2018 | 13.07 | 0.28 | (0.39) | (0.11) | (0.29) | — | (0.29) | 12.67 | (0.79) | 0.88 | 0.87 | 2.18 | 82 | 336 | ||||
12-31-2017 | 13.08 | 0.22 | 0.20 | 0.42 | (0.26) | (0.17) | (0.43) | 13.07 | 3.21 | 0.87 | 0.87 | 1.63 | 101 | 332 | ||||
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 | ||||
Series NAV | ||||||||||||||||||
06-30-20213 | 14.17 | 0.06 | (0.31) | (0.25) | — | — | — | 13.92 | (1.76)4 | 0.615 | 0.605 | 0.865 | 866 | 154 | ||||
12-31-2020 | 13.34 | 0.20 | 0.97 | 1.17 | (0.34) | — | (0.34) | 14.17 | 8.80 | 0.62 | 0.61 | 1.46 | 867 | 354 | ||||
12-31-2019 | 12.62 | 0.33 | 0.72 | 1.05 | (0.33) | — | (0.33) | 13.34 | 8.34 | 0.62 | 0.61 | 2.47 | 918 | 446 | ||||
12-31-2018 | 13.02 | 0.31 | (0.39) | (0.08) | (0.32) | — | (0.32) | 12.62 | (0.54) | 0.63 | 0.62 | 2.44 | 889 | 336 | ||||
12-31-2017 | 13.03 | 0.25 | 0.20 | 0.45 | (0.29) | (0.17) | (0.46) | 13.02 | 3.47 | 0.62 | 0.62 | 1.88 | 1,037 | 332 | ||||
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 | ||||
1. Based on average daily shares outstanding. 2. Total returns exclude insurance-related fees and expenses and would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-21. Unaudited. 4. Not annualized. 5. Annualized. |
The accompanying notes are an integral part of the financial statements. | 45 |
Per share operating performance for a share outstanding throughout each 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) ($)1 | Net realized and unrealized gain (loss) on investments ($) | Total from investment operations ($) | From net investment income ($) | From net realized gain ($) | Total distributions ($) | 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 | ||||||||||||||||||
06-30-20213 | 5.27 | 0.13 | 0.09 | 0.22 | — | — | — | 5.49 | 4.174 | 0.845 | 0.835 | 4.955 | 66 | 42 | ||||
12-31-2020 | 5.31 | 0.28 | 0.01 | 0.29 | (0.33) | — | (0.33) | 5.27 | 5.81 | 0.85 | 0.85 | 5.47 | 65 | 96 | ||||
12-31-2019 | 4.84 | 0.30 | 0.46 | 0.76 | (0.29) | — | (0.29) | 5.31 | 15.66 | 0.806 | 0.796 | 5.62 | 68 | 57 | ||||
12-31-2018 | 5.32 | 0.31 | (0.47) | (0.16) | (0.32) | — | (0.32) | 4.84 | (3.01) | 0.83 | 0.82 | 5.89 | 67 | 54 | ||||
12-31-2017 | 5.23 | 0.30 | 0.09 | 0.39 | (0.30) | — | (0.30) | 5.32 | 7.50 | 0.85 | 0.84 | 5.62 | 81 | 61 | ||||
12-31-2016 | 4.81 | 0.34 | 0.45 | 0.79 | (0.37) | — | (0.37) | 5.23 | 16.26 | 0.756 | 0.746 | 6.74 | 88 | 61 | ||||
Series II | ||||||||||||||||||
06-30-20213 | 5.41 | 0.13 | 0.09 | 0.22 | — | — | — | 5.63 | 4.074 | 1.045 | 1.035 | 4.755 | 52 | 42 | ||||
12-31-2020 | 5.44 | 0.28 | 0.01 | 0.29 | (0.32) | — | (0.32) | 5.41 | 5.67 | 1.05 | 1.05 | 5.27 | 47 | 96 | ||||
12-31-2019 | 4.96 | 0.29 | 0.47 | 0.76 | (0.28) | — | (0.28) | 5.44 | 15.50 | 1.006 | 0.996 | 5.42 | 52 | 57 | ||||
12-31-2018 | 5.43 | 0.31 | (0.47) | (0.16) | (0.31) | — | (0.31) | 4.96 | (3.15) | 1.03 | 1.02 | 5.69 | 50 | 54 | ||||
12-31-2017 | 5.34 | 0.30 | 0.08 | 0.38 | (0.29) | — | (0.29) | 5.43 | 7.13 | 1.05 | 1.04 | 5.42 | 62 | 61 | ||||
12-31-2016 | 4.91 | 0.34 | 0.45 | 0.79 | (0.36) | — | (0.36) | 5.34 | 16.16 | 0.956 | 0.946 | 6.54 | 65 | 61 | ||||
Series NAV | ||||||||||||||||||
06-30-20213 | 5.18 | 0.13 | 0.09 | 0.22 | — | — | — | 5.40 | 4.254 | 0.795 | 0.785 | 5.005 | 93 | 42 | ||||
12-31-2020 | 5.23 | 0.28 | —7 | 0.28 | (0.33) | — | (0.33) | 5.18 | 5.77 | 0.80 | 0.80 | 5.52 | 84 | 96 | ||||
12-31-2019 | 4.77 | 0.29 | 0.46 | 0.75 | (0.29) | — | (0.29) | 5.23 | 15.99 | 0.756 | 0.746 | 5.66 | 86 | 57 | ||||
12-31-2018 | 5.24 | 0.31 | (0.46) | (0.15) | (0.32) | — | (0.32) | 4.77 | (3.02) | 0.78 | 0.77 | 5.94 | 80 | 54 | ||||
12-31-2017 | 5.16 | 0.30 | 0.08 | 0.38 | (0.30) | — | (0.30) | 5.24 | 7.46 | 0.80 | 0.79 | 5.67 | 88 | 61 | ||||
12-31-2016 | 4.75 | 0.34 | 0.44 | 0.78 | (0.37) | — | (0.37) | 5.16 | 16.56 | 0.706 | 0.706 | 6.77 | 97 | 61 | ||||
1. Based on average daily shares outstanding. 2. Total returns exclude insurance-related fees and expenses and would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-21. 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. | ||||||||||||||||||
Investment Quality Bond Trust | ||||||||||||||||||
Series I | ||||||||||||||||||
06-30-20213 | 12.17 | 0.11 | (0.27) | (0.16) | — | — | — | 12.01 | (1.23)4 | 0.745 | 0.735 | 1.865 | 139 | 22 | ||||
12-31-2020 | 11.39 | 0.26 | 0.80 | 1.06 | (0.27) | (0.01) | (0.28) | 12.17 | 9.37 | 0.75 | 0.74 | 2.15 | 142 | 51 | ||||
12-31-2019 | 10.68 | 0.30 | 0.70 | 1.00 | (0.29) | — | (0.29) | 11.39 | 9.36 | 0.75 | 0.74 | 2.70 | 139 | 45 | ||||
12-31-2018 | 11.15 | 0.29 | (0.38) | (0.09) | (0.30) | (0.08) | (0.38) | 10.68 | (0.82) | 0.73 | 0.72 | 2.66 | 135 | 44 | ||||
12-31-2017 | 10.99 | 0.25 | 0.25 | 0.50 | (0.29) | (0.05) | (0.34) | 11.15 | 4.60 | 0.72 | 0.71 | 2.24 | 156 | 72 | ||||
12-31-2016 | 10.84 | 0.27 | 0.20 | 0.47 | (0.25) | (0.07) | (0.32) | 10.99 | 4.29 | 0.676 | 0.666 | 2.44 | 161 | 60 | ||||
Series II | ||||||||||||||||||
06-30-20213 | 12.18 | 0.10 | (0.27) | (0.17) | — | — | — | 12.01 | (1.40)4 | 0.945 | 0.935 | 1.665 | 77 | 22 | ||||
12-31-2020 | 11.40 | 0.23 | 0.81 | 1.04 | (0.25) | (0.01) | (0.26) | 12.18 | 9.15 | 0.95 | 0.94 | 1.95 | 80 | 51 | ||||
12-31-2019 | 10.69 | 0.28 | 0.70 | 0.98 | (0.27) | — | (0.27) | 11.40 | 9.15 | 0.95 | 0.94 | 2.49 | 76 | 45 | ||||
12-31-2018 | 11.15 | 0.27 | (0.37) | (0.10) | (0.28) | (0.08) | (0.36) | 10.69 | (0.93) | 0.93 | 0.92 | 2.46 | 71 | 44 | ||||
12-31-2017 | 11.00 | 0.23 | 0.24 | 0.47 | (0.27) | (0.05) | (0.32) | 11.15 | 4.30 | 0.92 | 0.91 | 2.04 | 83 | 72 | ||||
12-31-2016 | 10.85 | 0.25 | 0.20 | 0.45 | (0.23) | (0.07) | (0.30) | 11.00 | 4.08 | 0.876 | 0.866 | 2.25 | 84 | 60 | ||||
Series NAV | ||||||||||||||||||
06-30-20213 | 12.13 | 0.11 | (0.27) | (0.16) | — | — | — | 11.97 | (1.32)4 | 0.695 | 0.685 | 1.925 | 57 | 22 | ||||
12-31-2020 | 11.35 | 0.26 | 0.81 | 1.07 | (0.28) | (0.01) | (0.29) | 12.13 | 9.46 | 0.70 | 0.69 | 2.19 | 44 | 51 | ||||
12-31-2019 | 10.65 | 0.31 | 0.68 | 0.99 | (0.29) | — | (0.29) | 11.35 | 9.35 | 0.70 | 0.69 | 2.74 | 41 | 45 | ||||
12-31-2018 | 11.11 | 0.30 | (0.38) | (0.08) | (0.30) | (0.08) | (0.38) | 10.65 | (0.68) | 0.68 | 0.67 | 2.72 | 39 | 44 | ||||
12-31-2017 | 10.95 | 0.26 | 0.25 | 0.51 | (0.30) | (0.05) | (0.35) | 11.11 | 4.68 | 0.67 | 0.66 | 2.28 | 35 | 72 | ||||
12-31-2016 | 10.81 | 0.27 | 0.20 | 0.47 | (0.26) | (0.07) | (0.33) | 10.95 | 4.26 | 0.636 | 0.626 | 2.44 | 52 | 60 | ||||
1. Based on average daily shares outstanding. 2. Total returns exclude insurance-related fees and expenses and would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-21. Unaudited. 4. Not annualized. 5. Annualized. 6. Includes reimbursement for overbilling of custody expenses in prior years of 0.02%. |
The accompanying notes are an integral part of the financial statements. | 46 |
Per share operating performance for a share outstanding throughout each 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) ($)1 | Net realized and unrealized gain (loss) on investments ($) | Total from investment operations ($) | From net investment income ($) | From net realized gain ($) | Total distributions ($) | 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 | ||||||||||||||||||
06-30-20213 | 1.00 | —4 | —4 | —4 | — | — | — | 1.00 | 0.005 | 0.446 | 0.076 | 0.016 | 1,588 | — | ||||
12-31-2020 | 1.00 | 0.003 | —4 | 0.003 | (0.003) | — | (0.003) | 1.00 | 0.31 | 0.44 | 0.24 | 0.26 | 1,835 | — | ||||
12-31-2019 | 1.00 | 0.019 | —4 | 0.019 | (0.019) | — | (0.019) | 1.00 | 1.93 | 0.46 | 0.33 | 1.91 | 1,420 | — | ||||
12-31-2018 | 1.00 | 0.015 | —4 | 0.015 | (0.015) | — | (0.015) | 1.00 | 1.54 | 0.47 | 0.33 | 1.53 | 1,415 | — | ||||
12-31-2017 | 1.00 | 0.006 | —4 | 0.006 | (0.006) | —4 | (0.006) | 1.00 | 0.59 | 0.46 | 0.33 | 0.58 | 1,372 | — | ||||
12-31-2016 | 1.00 | 0.001 | —4 | 0.001 | (0.001) | — | (0.001) | 1.00 | 0.07 | 0.48 | 0.35 | 0.07 | 1,718 | — | ||||
Series II | ||||||||||||||||||
06-30-20213 | 1.00 | —4 | —4 | —4 | — | — | — | 1.00 | 0.005 | 0.646 | 0.076 | 0.016 | 88 | — | ||||
12-31-2020 | 1.00 | 0.003 | (0.001) | 0.002 | (0.002) | — | (0.002) | 1.00 | 0.24 | 0.64 | 0.32 | 0.26 | 100 | — | ||||
12-31-2019 | 1.00 | 0.017 | —4 | 0.017 | (0.017) | — | (0.017) | 1.00 | 1.73 | 0.66 | 0.53 | 1.73 | 120 | — | ||||
12-31-2018 | 1.00 | 0.013 | —4 | 0.013 | (0.013) | — | (0.013) | 1.00 | 1.34 | 0.67 | 0.53 | 1.31 | 140 | — | ||||
12-31-2017 | 1.00 | 0.004 | —4 | 0.004 | (0.004) | —4 | (0.004) | 1.00 | 0.39 | 0.66 | 0.53 | 0.38 | 173 | — | ||||
12-31-2016 | 1.00 | — | —4 | —4 | — | — | — | 1.00 | 0.00 | 0.68 | 0.42 | — | 211 | — | ||||
Series NAV | ||||||||||||||||||
06-30-20213 | 1.00 | —4 | —4 | —4 | — | — | — | 1.00 | 0.005 | 0.396 | 0.076 | 0.016 | 453 | — | ||||
12-31-2020 | 1.00 | 0.003 | —4 | 0.003 | (0.003) | — | (0.003) | 1.00 | 0.33 | 0.39 | 0.22 | 0.31 | 467 | — | ||||
12-31-2019 | 1.00 | 0.020 | —4 | 0.020 | (0.020) | — | (0.020) | 1.00 | 1.98 | 0.41 | 0.28 | 1.97 | 390 | — | ||||
12-31-2018 | 1.00 | 0.016 | —4 | 0.016 | (0.016) | — | (0.016) | 1.00 | 1.59 | 0.42 | 0.28 | 1.59 | 444 | — | ||||
12-31-2017 | 1.00 | 0.006 | —4 | 0.006 | (0.006) | —4 | (0.006) | 1.00 | 0.64 | 0.41 | 0.28 | 0.63 | 398 | — | ||||
12-31-20167 | 1.00 | 0.001 | —4 | 0.001 | (0.001) | — | (0.001) | 1.00 | 0.115 | 0.436 | 0.346 | 0.166 | 394 | — | ||||
1. Based on average daily shares outstanding. 2. Total returns exclude insurance-related fees and expenses and would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-21. Unaudited. 4. Less than $0.0005 per share. 5. Not annualized. 6. Annualized. 7. 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. | ||||||||||||||||||
Opportunistic Fixed Income Trust | ||||||||||||||||||
Series I | ||||||||||||||||||
06-30-20213 | 13.47 | 0.20 | (0.24) | (0.04) | — | — | — | 13.43 | (0.22)4 | 0.865 | 0.835 | 3.015 | 32 | 71 | ||||
12-31-2020 | 12.30 | 0.30 | 1.39 | 1.69 | (0.52) | — | (0.52) | 13.47 | 13.79 | 0.926 | 0.856 | 2.34 | 32 | 3267 | ||||
12-31-2019 | 12.34 | 0.28 | 0.50 | 0.78 | (0.82) | — | (0.82) | 12.30 | 6.38 | 1.166 | 1.126 | 2.23 | 31 | 45 | ||||
12-31-2018 | 12.93 | 0.29 | (0.53) | (0.24) | (0.35) | — | (0.35) | 12.34 | (1.90) | 0.84 | 0.82 | 2.31 | 32 | 35 | ||||
12-31-2017 | 12.16 | 0.24 | 0.82 | 1.06 | (0.29) | — | (0.29) | 12.93 | 8.75 | 0.83 | 0.82 | 1.87 | 37 | 47 | ||||
12-31-2016 | 11.80 | 0.28 | 0.08 | 0.36 | — | — | — | 12.16 | 3.05 | 0.818 | 0.808 | 2.18 | 40 | 57 | ||||
Series II | ||||||||||||||||||
06-30-20213 | 13.25 | 0.18 | (0.23) | (0.05) | — | — | — | 13.20 | (0.38)4 | 1.065 | 1.035 | 2.815 | 59 | 71 | ||||
12-31-2020 | 12.11 | 0.27 | 1.37 | 1.64 | (0.50) | — | (0.50) | 13.25 | 13.63 | 1.126 | 1.056 | 2.11 | 59 | 3267 | ||||
12-31-2019 | 12.17 | 0.25 | 0.49 | 0.74 | (0.80) | — | (0.80) | 12.11 | 6.08 | 1.366 | 1.326 | 2.03 | 60 | 45 | ||||
12-31-2018 | 12.77 | 0.26 | (0.52) | (0.26) | (0.34) | — | (0.34) | 12.17 | (2.03) | 1.04 | 1.02 | 2.10 | 62 | 35 | ||||
12-31-2017 | 12.00 | 0.21 | 0.81 | 1.02 | (0.25) | — | (0.25) | 12.77 | 8.48 | 1.03 | 1.02 | 1.67 | 80 | 47 | ||||
12-31-2016 | 11.66 | 0.25 | 0.09 | 0.34 | — | — | — | 12.00 | 2.92 | 1.018 | 1.008 | 1.98 | 81 | 57 | ||||
Series NAV | ||||||||||||||||||
06-30-20213 | 13.41 | 0.20 | (0.23) | (0.03) | — | — | — | 13.38 | (0.22)4 | 0.815 | 0.785 | 3.075 | 120 | 71 | ||||
12-31-2020 | 12.25 | 0.30 | 1.39 | 1.69 | (0.53) | — | (0.53) | 13.41 | 13.90 | 0.876 | 0.806 | 2.35 | 106 | 3267 | ||||
12-31-2019 | 12.30 | 0.28 | 0.50 | 0.78 | (0.83) | — | (0.83) | 12.25 | 6.37 | 1.116 | 1.076 | 2.28 | 107 | 45 | ||||
12-31-2018 | 12.88 | 0.27 | (0.50) | (0.23) | (0.35) | — | (0.35) | 12.30 | (1.74) | 0.79 | 0.77 | 2.11 | 108 | 35 | ||||
12-31-2017 | 12.12 | 0.24 | 0.82 | 1.06 | (0.30) | — | (0.30) | 12.88 | 8.71 | 0.78 | 0.77 | 1.92 | 472 | 47 | ||||
12-31-2016 | 11.75 | 0.28 | 0.09 | 0.37 | — | — | — | 12.12 | 3.15 | 0.768 | 0.758 | 2.22 | 446 | 57 | ||||
1. Based on average daily shares outstanding. 2. Total returns exclude insurance-related fees and expenses and would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-21. Unaudited. 4. Not annualized. 5. Annualized. 6. Includes interest expense of 0.01% and 0.25% for the year ended December 31, 2020 and the year ended December 31, 2019, respectively. 7. Increase in portfolio turnover rate resulted from repositioning of the portfolio during the period in accordance with investment policy changes approved by the Board of Trustees. 8. Includes reimbursement for overbilling of custody expenses in prior years of 0.02%. |
The accompanying notes are an integral part of the financial statements. | 47 |
Per share operating performance for a share outstanding throughout each 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) ($)1 | Net realized and unrealized gain (loss) on investments ($) | Total from investment operations ($) | From net investment income ($) | From net realized gain ($) | Total distributions ($) | 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 (%) | ||||
Select Bond Trust | ||||||||||||||||||
Series I | ||||||||||||||||||
06-30-20213 | 14.59 | 0.14 | (0.28) | (0.14) | — | — | — | 14.45 | (0.96)4 | 0.655 | 0.615 | 2.015 | 180 | 82 | ||||
12-31-2020 | 13.79 | 0.34 | 0.91 | 1.25 | (0.45) | — | (0.45) | 14.59 | 9.08 | 0.65 | 0.62 | 2.36 | 179 | 118 | ||||
12-31-2019 | 12.99 | 0.35 | 0.81 | 1.16 | (0.36) | — | (0.36) | 13.79 | 8.95 | 0.65 | 0.62 | 2.55 | 176 | 137 | ||||
12-31-2018 | 13.42 | 0.34 | (0.40) | (0.06) | (0.37) | — | (0.37) | 12.99 | (0.43) | 0.65 | 0.62 | 2.61 | 173 | 83 | ||||
12-31-2017 | 13.31 | 0.31 | 0.18 | 0.49 | (0.38) | — | (0.38) | 13.42 | 3.67 | 0.65 | 0.63 | 2.28 | 201 | 92 | ||||
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 | 736 | ||||
Series II | ||||||||||||||||||
06-30-20213 | 14.61 | 0.13 | (0.29) | (0.16) | — | — | — | 14.45 | (1.10)4 | 0.855 | 0.815 | 1.815 | 424 | 82 | ||||
12-31-2020 | 13.81 | 0.31 | 0.91 | 1.22 | (0.42) | — | (0.42) | 14.61 | 8.86 | 0.85 | 0.82 | 2.18 | 437 | 118 | ||||
12-31-2019 | 13.01 | 0.32 | 0.82 | 1.14 | (0.34) | — | (0.34) | 13.81 | 8.73 | 0.85 | 0.82 | 2.35 | 423 | 137 | ||||
12-31-2018 | 13.44 | 0.32 | (0.41) | (0.09) | (0.34) | — | (0.34) | 13.01 | (0.63) | 0.85 | 0.82 | 2.42 | 513 | 83 | ||||
12-31-2017 | 13.33 | 0.28 | 0.18 | 0.46 | (0.35) | — | (0.35) | 13.44 | 3.46 | 0.85 | 0.83 | 2.08 | 491 | 92 | ||||
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 | 736 | ||||
Series NAV | ||||||||||||||||||
06-30-20213 | 14.58 | 0.15 | (0.29) | (0.14) | — | — | — | 14.44 | (0.96)4 | 0.605 | 0.575 | 2.055 | 7,439 | 82 | ||||
12-31-2020 | 13.78 | 0.35 | 0.90 | 1.25 | (0.45) | — | (0.45) | 14.58 | 9.14 | 0.60 | 0.58 | 2.40 | 7,212 | 118 | ||||
12-31-2019 | 12.98 | 0.35 | 0.82 | 1.17 | (0.37) | — | (0.37) | 13.78 | 9.01 | 0.60 | 0.58 | 2.60 | 7,703 | 137 | ||||
12-31-2018 | 13.41 | 0.35 | (0.41) | (0.06) | (0.37) | — | (0.37) | 12.98 | (0.38) | 0.60 | 0.57 | 2.66 | 7,528 | 83 | ||||
12-31-2017 | 13.31 | 0.32 | 0.16 | 0.48 | (0.38) | — | (0.38) | 13.41 | 3.65 | 0.60 | 0.58 | 2.33 | 8,625 | 92 | ||||
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 | 736 | ||||
1. Based on average daily shares outstanding. 2. Total returns exclude insurance-related fees and expenses and would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-21. Unaudited. 4. Not annualized. 5. Annualized. 6. Excludes merger activity. | ||||||||||||||||||
Short Term Government Income Trust | ||||||||||||||||||
Series I | ||||||||||||||||||
06-30-20213 | 12.29 | 0.07 | (0.16) | (0.09) | — | — | — | 12.20 | (0.73)4 | 0.715 | 0.705 | 1.105 | 32 | 16 | ||||
12-31-2020 | 12.07 | 0.16 | 0.27 | 0.43 | (0.21) | — | (0.21) | 12.29 | 3.60 | 0.71 | 0.71 | 1.30 | 33 | 38 | ||||
12-31-2019 | 11.87 | 0.15 | 0.25 | 0.40 | (0.20) | — | (0.20) | 12.07 | 3.39 | 0.71 | 0.71 | 1.25 | 36 | 54 | ||||
12-31-2018 | 12.02 | 0.15 | (0.05) | 0.10 | (0.25) | — | (0.25) | 11.87 | 0.84 | 0.68 | 0.67 | 1.26 | 35 | 28 | ||||
12-31-2017 | 12.12 | 0.11 | (0.04) | 0.07 | (0.17) | — | (0.17) | 12.02 | 0.57 | 0.67 | 0.66 | 0.88 | 38 | 47 | ||||
12-31-2016 | 12.25 | 0.09 | (0.02) | 0.07 | (0.20) | — | (0.20) | 12.12 | 0.57 | 0.646 | 0.646 | 0.76 | 41 | 71 | ||||
Series II | ||||||||||||||||||
06-30-20213 | 12.30 | 0.05 | (0.15) | (0.10) | — | — | — | 12.20 | (0.81)4 | 0.915 | 0.905 | 0.895 | 22 | 16 | ||||
12-31-2020 | 12.08 | 0.14 | 0.27 | 0.41 | (0.19) | — | (0.19) | 12.30 | 3.39 | 0.91 | 0.91 | 1.10 | 29 | 38 | ||||
12-31-2019 | 11.88 | 0.13 | 0.25 | 0.38 | (0.18) | — | (0.18) | 12.08 | 3.18 | 0.91 | 0.91 | 1.05 | 23 | 54 | ||||
12-31-2018 | 12.02 | 0.13 | (0.05) | 0.08 | (0.22) | — | (0.22) | 11.88 | 0.64 | 0.88 | 0.87 | 1.05 | 26 | 28 | ||||
12-31-2017 | 12.13 | 0.08 | (0.04) | 0.04 | (0.15) | — | (0.15) | 12.02 | 0.37 | 0.87 | 0.86 | 0.68 | 28 | 47 | ||||
12-31-2016 | 12.25 | 0.07 | (0.01) | 0.06 | (0.18) | — | (0.18) | 12.13 | 0.45 | 0.846 | 0.846 | 0.56 | 33 | 71 | ||||
Series NAV | ||||||||||||||||||
06-30-20213 | 12.29 | 0.07 | (0.16) | (0.09) | — | — | — | 12.20 | (0.73)4 | 0.665 | 0.655 | 1.155 | 130 | 16 | ||||
12-31-2020 | 12.07 | 0.17 | 0.27 | 0.44 | (0.22) | — | (0.22) | 12.29 | 3.65 | 0.66 | 0.66 | 1.35 | 131 | 38 | ||||
12-31-2019 | 11.87 | 0.16 | 0.25 | 0.41 | (0.21) | — | (0.21) | 12.07 | 3.44 | 0.66 | 0.66 | 1.30 | 120 | 54 | ||||
12-31-2018 | 12.02 | 0.15 | (0.05) | 0.10 | (0.25) | — | (0.25) | 11.87 | 0.89 | 0.63 | 0.62 | 1.28 | 115 | 28 | ||||
12-31-2017 | 12.12 | 0.11 | (0.03) | 0.08 | (0.18) | — | (0.18) | 12.02 | 0.62 | 0.62 | 0.61 | 0.93 | 237 | 47 | ||||
12-31-2016 | 12.25 | 0.10 | (0.02) | 0.08 | (0.21) | — | (0.21) | 12.12 | 0.62 | 0.596 | 0.596 | 0.81 | 251 | 71 | ||||
1. Based on average daily shares outstanding. 2. Total returns exclude insurance-related fees and expenses and would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-21. Unaudited. 4. Not annualized. 5. Annualized. 6. Includes reimbursement for overbilling of custody expenses in prior years of 0.02%. |
The accompanying notes are an integral part of the financial statements. | 48 |
Per share operating performance for a share outstanding throughout each 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) ($)1 | Net realized and unrealized gain (loss) on investments ($) | Total from investment operations ($) | From net investment income ($) | From net realized gain ($) | Total distributions ($) | 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 | ||||||||||||||||||
06-30-20213 | 14.44 | 0.19 | — | 0.19 | — | — | — | 14.63 | 1.394 | 0.765 | 0.755 | 2.615 | 322 | 45 | ||||
12-31-2020 | 13.52 | 0.35 | 0.80 | 1.15 | (0.23) | — | (0.23) | 14.44 | 8.59 | 0.76 | 0.76 | 2.54 | 333 | 73 | ||||
12-31-2019 | 12.53 | 0.40 | 0.96 | 1.36 | (0.37) | — | (0.37) | 13.52 | 10.91 | 0.76 | 0.76 | 3.03 | 361 | 95 | ||||
12-31-2018 | 13.72 | 0.49 | (1.17) | (0.68) | (0.51) | — | (0.51) | 12.53 | (5.03) | 0.74 | 0.73 | 3.63 | 371 | 61 | ||||
12-31-2017 | 13.41 | 0.46 | 0.29 | 0.75 | (0.44) | — | (0.44) | 13.72 | 5.59 | 0.73 | 0.73 | 3.36 | 477 | 40 | ||||
12-31-2016 | 13.07 | 0.40 | 0.27 | 0.67 | (0.33) | — | (0.33) | 13.41 | 5.12 | 0.726 | 0.716 | 2.95 | 473 | 42 | ||||
Series II | ||||||||||||||||||
06-30-20213 | 14.47 | 0.17 | 0.02 | 0.19 | — | — | — | 14.66 | 1.244 | 0.965 | 0.955 | 2.425 | 43 | 45 | ||||
12-31-2020 | 13.56 | 0.32 | 0.80 | 1.12 | (0.21) | — | (0.21) | 14.47 | 8.36 | 0.96 | 0.96 | 2.34 | 38 | 73 | ||||
12-31-2019 | 12.56 | 0.38 | 0.97 | 1.35 | (0.35) | — | (0.35) | 13.56 | 10.75 | 0.96 | 0.96 | 2.83 | 36 | 95 | ||||
12-31-2018 | 13.76 | 0.46 | (1.18) | (0.72) | (0.48) | — | (0.48) | 12.56 | (5.29) | 0.94 | 0.93 | 3.43 | 36 | 61 | ||||
12-31-2017 | 13.45 | 0.44 | 0.28 | 0.72 | (0.41) | — | (0.41) | 13.76 | 5.37 | 0.93 | 0.93 | 3.16 | 45 | 40 | ||||
12-31-2016 | 13.10 | 0.37 | 0.28 | 0.65 | (0.30) | — | (0.30) | 13.45 | 4.98 | 0.926 | 0.916 | 2.74 | 46 | 42 | ||||
Series NAV | ||||||||||||||||||
06-30-20213 | 14.39 | 0.19 | 0.01 | 0.20 | — | — | — | 14.59 | 1.394 | 0.715 | 0.705 | 2.675 | 92 | 45 | ||||
12-31-2020 | 13.48 | 0.35 | 0.80 | 1.15 | (0.24) | — | (0.24) | 14.39 | 8.60 | 0.71 | 0.71 | 2.59 | 87 | 73 | ||||
12-31-2019 | 12.49 | 0.41 | 0.96 | 1.37 | (0.38) | — | (0.38) | 13.48 | 11.00 | 0.71 | 0.71 | 3.08 | 80 | 95 | ||||
12-31-2018 | 13.68 | 0.49 | (1.16) | (0.67) | (0.52) | — | (0.52) | 12.49 | (5.00) | 0.69 | 0.68 | 3.68 | 79 | 61 | ||||
12-31-2017 | 13.37 | 0.47 | 0.28 | 0.75 | (0.44) | — | (0.44) | 13.68 | 5.66 | 0.68 | 0.68 | 3.42 | 96 | 40 | ||||
12-31-2016 | 13.03 | 0.40 | 0.27 | 0.67 | (0.33) | — | (0.33) | 13.37 | 5.19 | 0.676 | 0.666 | 2.98 | 66 | 42 | ||||
1. Based on average daily shares outstanding. 2. Total returns exclude insurance-related fees and expenses and would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-21. Unaudited. 4. Not annualized. 5. Annualized. 6. Includes reimbursement for overbilling of custody expenses in prior years of 0.02%. | ||||||||||||||||||
Total Bond Market Trust | ||||||||||||||||||
Series I | ||||||||||||||||||
06-30-20213 | 10.89 | 0.09 | (0.29) | (0.20) | — | — | — | 10.69 | (1.84)4 | 0.575 | 0.305 | 1.625 | 355 | 17 | ||||
12-31-2020 | 10.39 | 0.21 | 0.54 | 0.75 | (0.25) | — | (0.25) | 10.89 | 7.23 | 0.57 | 0.30 | 1.93 | 389 | 40 | ||||
12-31-2019 | 9.82 | 0.26 | 0.55 | 0.81 | (0.24) | — | (0.24) | 10.39 | 8.24 | 0.57 | 0.30 | 2.49 | 311 | 36 | ||||
12-31-2018 | 10.11 | 0.25 | (0.27) | (0.02) | (0.27) | — | (0.27) | 9.82 | (0.19) | 0.57 | 0.30 | 2.57 | 256 | 22 | ||||
12-31-2017 | 10.08 | 0.24 | 0.08 | 0.32 | (0.29) | — | (0.29) | 10.11 | 3.18 | 0.57 | 0.30 | 2.39 | 247 | 46 | ||||
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 | 58 | ||||
Series II | ||||||||||||||||||
06-30-20213 | 10.91 | 0.08 | (0.29) | (0.21) | — | — | — | 10.70 | (1.92)4 | 0.775 | 0.505 | 1.425 | 67 | 17 | ||||
12-31-2020 | 10.40 | 0.19 | 0.55 | 0.74 | (0.23) | — | (0.23) | 10.91 | 7.11 | 0.77 | 0.50 | 1.73 | 81 | 40 | ||||
12-31-2019 | 9.83 | 0.24 | 0.55 | 0.79 | (0.22) | — | (0.22) | 10.40 | 8.02 | 0.77 | 0.50 | 2.29 | 57 | 36 | ||||
12-31-2018 | 10.13 | 0.23 | (0.28) | (0.05) | (0.25) | — | (0.25) | 9.83 | (0.49) | 0.77 | 0.50 | 2.37 | 57 | 22 | ||||
12-31-2017 | 10.09 | 0.23 | 0.08 | 0.31 | (0.27) | — | (0.27) | 10.13 | 3.08 | 0.77 | 0.50 | 2.19 | 61 | 46 | ||||
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 | 58 | ||||
Series NAV | ||||||||||||||||||
06-30-20213 | 10.89 | 0.09 | (0.29) | (0.20) | — | — | — | 10.69 | (1.84)4 | 0.525 | 0.255 | 1.675 | 323 | 17 | ||||
12-31-2020 | 10.38 | 0.22 | 0.54 | 0.76 | (0.25) | — | (0.25) | 10.89 | 7.39 | 0.52 | 0.25 | 1.99 | 329 | 40 | ||||
12-31-2019 | 9.81 | 0.26 | 0.55 | 0.81 | (0.24) | — | (0.24) | 10.38 | 8.30 | 0.52 | 0.25 | 2.54 | 271 | 36 | ||||
12-31-2018 | 10.11 | 0.26 | (0.29) | (0.03) | (0.27) | — | (0.27) | 9.81 | (0.24) | 0.52 | 0.25 | 2.62 | 252 | 22 | ||||
12-31-2017 | 10.07 | 0.26 | 0.08 | 0.34 | (0.30) | — | (0.30) | 10.11 | 3.34 | 0.52 | 0.25 | 2.45 | 264 | 46 | ||||
12-31-2016 | 10.10 | 0.25 | —6 | 0.25 | (0.28) | — | (0.28) | 10.07 | 2.45 | 0.51 | 0.25 | 2.43 | 280 | 58 | ||||
1. Based on average daily shares outstanding. 2. Total returns exclude insurance-related fees and expenses and would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-21. Unaudited. 4. Not annualized. 5. Annualized. 6. Less than $0.005 per share. |
The accompanying notes are an integral part of the financial statements. | 49 |
Per share operating performance for a share outstanding throughout each period | Ratios and supplemental data | |||||||||||||||||
Income (loss) from investment operations | Less distributions | Ratios to average net assets | ||||||||||||||||
Period ended | Net asset value, beginning of period ($) | Net investment income (loss) ($)1 | Net realized and unrealized gain (loss) on investments ($) | Total from investment operations ($) | From net investment income ($) | From net realized gain ($) | Total distributions ($) | 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 | ||||||||||||||||||
06-30-20213 | 11.46 | 0.03 | (0.03) | — | — | — | — | 11.46 | 0.004 | 0.665 | 0.595 | 0.545 | 13 | 26 | ||||
12-31-2020 | 11.51 | 0.14 | 0.03 | 0.17 | (0.22) | — | (0.22) | 11.46 | 1.47 | 0.67 | 0.60 | 1.21 | 15 | 71 | ||||
12-31-2019 | 11.37 | 0.23 | 0.12 | 0.35 | (0.21) | — | (0.21) | 11.51 | 3.12 | 0.67 | 0.62 | 2.02 | 12 | 64 | ||||
12-31-2018 | 11.41 | 0.16 | —6 | 0.16 | (0.20) | — | (0.20) | 11.37 | 1.40 | 0.68 | 0.65 | 1.42 | 12 | 59 | ||||
12-31-2017 | 11.52 | 0.09 | (0.01) | 0.08 | (0.19) | — | (0.19) | 11.41 | 0.66 | 0.66 | 0.65 | 0.82 | 11 | 53 | ||||
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 | ||||
Series II | ||||||||||||||||||
06-30-20213 | 11.46 | 0.02 | (0.03) | (0.01) | — | — | — | 11.45 | (0.09)4 | 0.865 | 0.795 | 0.345 | 237 | 26 | ||||
12-31-2020 | 11.51 | 0.12 | 0.03 | 0.15 | (0.20) | — | (0.20) | 11.46 | 1.28 | 0.87 | 0.80 | 1.02 | 255 | 71 | ||||
12-31-2019 | 11.37 | 0.21 | 0.12 | 0.33 | (0.19) | — | (0.19) | 11.51 | 2.91 | 0.87 | 0.82 | 1.82 | 234 | 64 | ||||
12-31-2018 | 11.41 | 0.14 | —6 | 0.14 | (0.18) | — | (0.18) | 11.37 | 1.19 | 0.88 | 0.85 | 1.21 | 193 | 59 | ||||
12-31-2017 | 11.52 | 0.07 | (0.02) | 0.05 | (0.16) | — | (0.16) | 11.41 | 0.46 | 0.86 | 0.85 | 0.62 | 205 | 53 | ||||
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 | ||||
Series NAV | ||||||||||||||||||
06-30-20213 | 11.47 | 0.03 | (0.03) | — | — | — | — | 11.47 | 0.004 | 0.615 | 0.545 | 0.595 | 37 | 26 | ||||
12-31-2020 | 11.51 | 0.15 | 0.04 | 0.19 | (0.23) | — | (0.23) | 11.47 | 1.61 | 0.62 | 0.55 | 1.27 | 34 | 71 | ||||
12-31-2019 | 11.38 | 0.24 | 0.11 | 0.35 | (0.22) | — | (0.22) | 11.51 | 3.08 | 0.62 | 0.57 | 2.07 | 31 | 64 | ||||
12-31-2018 | 11.41 | 0.17 | —6 | 0.17 | (0.20) | — | (0.20) | 11.38 | 1.53 | 0.63 | 0.60 | 1.46 | 31 | 59 | ||||
12-31-2017 | 11.53 | 0.10 | (0.03) | 0.07 | (0.19) | — | (0.19) | 11.41 | 0.62 | 0.61 | 0.60 | 0.89 | 29 | 53 | ||||
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 | ||||
1. Based on average daily shares outstanding. 2. Total returns exclude insurance-related fees and expenses and would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-21. Unaudited. 4. Not annualized. 5. Annualized. 6. Less than $0.005 per share. |
The accompanying notes are an integral part of the financial statements. | 50 |
issuer specific events or trends, changes in interest rates and credit quality. The inputs or methodology used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. Changes in valuation techniques and related inputs may result in transfers into or out of an assigned level within the disclosure hierarchy.
Total value at 6-30-21 | Level 1 quoted price | Level 2 significant observable inputs | Level 3 significant unobservable inputs | |
Active Bond Trust | ||||
Investments in securities: | ||||
Assets | ||||
U.S. Government and Agency obligations | $235,437,464 | — | $235,437,464 | — |
Foreign government obligations | 4,843,415 | — | 4,843,415 | — |
Corporate bonds | 356,011,730 | — | 356,011,730 | — |
Capital preferred securities | 1,464,863 | — | 1,464,863 | — |
Municipal bonds | 4,789,908 | — | 4,789,908 | — |
Term loans | 303,933 | — | 303,933 | — |
Collateralized mortgage obligations | 55,440,134 | — | 55,440,134 | — |
Asset backed securities | 45,981,864 | — | 45,981,864 | — |
Common stocks | 467,448 | $467,448 | — | — |
Preferred securities | 1,520,178 | 1,314,090 | 206,088 | — |
Warrants | 23,793 | 23,793 | — | — |
Short-term investments | 101,433,211 | 91,745,211 | 9,688,000 | — |
Total investments in securities | $807,717,941 | $93,550,542 | $714,167,399 | — |
Level 3 includes securities valued at $0. Refer to Portfolio of Investments. | ||||
Core Bond Trust | ||||
Investments in securities: | ||||
Assets | ||||
U.S. Government and Agency obligations | $621,504,169 | — | $621,504,169 | — |
Foreign government obligations | 12,823,559 | — | 12,823,559 | — |
Corporate bonds | 290,784,314 | — | 290,784,314 | — |
Municipal bonds | 3,999,553 | — | 3,999,553 | — |
Collateralized mortgage obligations | 81,504,704 | — | 81,504,704 | — |
Asset backed securities | 86,099,188 | — | 86,099,188 | — |
Short-term investments | 22,107,618 | $22,107,618 | — | — |
Total investments in securities | $1,118,823,105 | $22,107,618 | $1,096,715,487 | — |
High Yield Trust | ||||
Investments in securities: | ||||
Assets | ||||
Foreign government obligations | $1,300,471 | — | $1,300,471 | — |
Corporate bonds | 168,366,350 | — | 168,366,350 | — |
Convertible bonds | 2,852,041 | — | 2,852,041 | — |
Term loans | 16,698,020 | — | 16,256,324 | $441,696 |
Asset backed securities | 10,222,580 | — | 10,222,580 | — |
Common stocks | 1,879,021 | $1,852,285 | — | 26,736 |
Preferred securities | 2,108,813 | 1,052,537 | 505,368 | 550,908 |
Short-term investments | 9,802,090 | 9,802,090 | — | — |
Total investments in securities | $213,229,386 | $12,706,912 | $199,503,134 | $1,019,340 |
Derivatives: | ||||
Assets | ||||
Forward foreign currency contracts | $3,780 | — | $3,780 | — |
Swap contracts | 22,991 | — | 22,991 | — |
Liabilities | ||||
Futures | (13,216) | $(13,216) | — | — |
Forward foreign currency contracts | (2,850) | — | (2,850) | — |
Swap contracts | (31,419) | — | (31,419) | — |
Total value at 6-30-21 | Level 1 quoted price | Level 2 significant observable inputs | Level 3 significant unobservable inputs | |
High Yield Trust (continued) | ||||
Level 3 includes securities valued at $0. Refer to Portfolio of Investments. | ||||
Investment Quality Bond Trust | ||||
Investments in securities: | ||||
Assets | ||||
U.S. Government and Agency obligations | $182,659,158 | — | $182,659,158 | — |
Foreign government obligations | 14,751,983 | — | 14,751,983 | — |
Corporate bonds | 86,433,692 | — | 86,433,692 | — |
Municipal bonds | 6,176,250 | — | 6,176,250 | — |
Term loans | 8,979,792 | — | 8,979,792 | — |
Collateralized mortgage obligations | 42,250,680 | — | 42,250,680 | — |
Asset backed securities | 23,663,164 | — | 23,663,164 | — |
Common stocks | 8,039 | — | 8,039 | — |
Purchased options | 91,675 | — | 91,675 | — |
Short-term investments | 6,311,242 | $611,242 | 5,700,000 | — |
Total investments in securities | $371,325,675 | $611,242 | $370,714,433 | — |
Derivatives: | ||||
Assets | ||||
Futures | $57,522 | $57,522 | — | — |
Forward foreign currency contracts | 177,309 | — | $177,309 | — |
Swap contracts | 959,210 | — | 959,210 | — |
Liabilities | ||||
Futures | (746,127) | (746,127) | — | — |
Forward foreign currency contracts | (10,053) | — | (10,053) | — |
Written options | (96,399) | — | (96,399) | — |
Swap contracts | (1,107,744) | — | (1,107,744) | — |
Money Market Trust | ||||
Investments in securities: | ||||
Assets | ||||
U.S. Government | $573,915,610 | — | $573,915,610 | — |
U.S. Government Agency | 1,537,936,778 | — | 1,537,936,778 | — |
Repurchase agreement | 16,900,000 | — | 16,900,000 | — |
Total investments in securities | $2,128,752,388 | — | $2,128,752,388 | — |
Opportunistic Fixed Income Trust | ||||
Investments in securities: | ||||
Assets | ||||
U.S. Government and Agency obligations | $832,974 | — | $832,974 | — |
Foreign government obligations | 89,564,740 | — | 89,564,740 | — |
Corporate bonds | 41,979,685 | — | 41,979,685 | — |
Convertible bonds | 3,420,994 | — | 3,420,994 | — |
Municipal bonds | 7,151,642 | — | 7,151,642 | — |
Term loans | 18,141,959 | — | 18,141,959 | — |
Collateralized mortgage obligations | 18,402,591 | — | 18,402,591 | — |
Asset backed securities | 8,851,410 | — | 8,851,410 | — |
Preferred securities | 41,852 | $36,547 | 5,305 | — |
Exchange-traded funds | 10,788,892 | 10,788,892 | — | — |
Short-term investments | 8,342,089 | 8,342,089 | — | — |
Total investments in securities | $207,518,828 | $19,167,528 | $188,351,300 | — |
Derivatives: | ||||
Assets | ||||
Futures | $302,219 | $302,219 | — | — |
Total value at 6-30-21 | Level 1 quoted price | Level 2 significant observable inputs | Level 3 significant unobservable inputs | |
Opportunistic Fixed Income Trust (continued) | ||||
Forward foreign currency contracts | $703,152 | — | $703,152 | — |
Swap contracts | 1,908,721 | — | 1,908,721 | — |
Liabilities | ||||
Futures | (369,567) | $(369,567) | — | — |
Forward foreign currency contracts | (615,061) | — | (615,061) | — |
Swap contracts | (2,466,967) | — | (2,466,967) | — |
Select Bond Trust | ||||
Investments in securities: | ||||
Assets | ||||
U.S. Government and Agency obligations | $2,553,732,974 | — | $2,553,732,974 | — |
Foreign government obligations | 41,128,083 | — | 41,128,083 | — |
Corporate bonds | 3,252,828,202 | — | 3,252,828,202 | — |
Municipal bonds | 124,037,528 | — | 124,037,528 | — |
Collateralized mortgage obligations | 640,938,063 | — | 640,938,063 | — |
Asset backed securities | 1,311,986,683 | — | 1,311,986,683 | — |
Common stocks | 1,254,418 | $1,254,418 | — | — |
Preferred securities | 7,647,023 | 7,647,023 | — | — |
Short-term investments | 380,120,808 | 13,419,808 | 366,701,000 | — |
Total investments in securities | $8,313,673,782 | $22,321,249 | $8,291,352,533 | — |
Short Term Government Income Trust | ||||
Investments in securities: | ||||
Assets | ||||
U.S. Government and Agency obligations | $170,825,193 | — | $170,825,193 | — |
Municipal bonds | 8,414,967 | — | 8,414,967 | — |
Collateralized mortgage obligations | 2,329,092 | — | 2,329,092 | — |
Short-term investments | 1,666,000 | — | 1,666,000 | — |
Total investments in securities | $183,235,252 | — | $183,235,252 | — |
Strategic Income Opportunities Trust | ||||
Investments in securities: | ||||
Assets | ||||
U.S. Government and Agency obligations | $22,043,804 | — | $22,043,804 | — |
Foreign government obligations | 90,520,521 | — | 90,520,521 | — |
Corporate bonds | 266,916,796 | — | 266,916,796 | — |
Convertible bonds | 14,331,978 | — | 14,331,978 | — |
Capital preferred securities | 1,307,790 | — | 1,307,790 | — |
Term loans | 13,434,396 | — | 13,434,396 | — |
Collateralized mortgage obligations | 2,895,842 | — | 2,895,842 | — |
Asset backed securities | 6,660,552 | — | 6,660,552 | — |
Common stocks | 14,527,110 | $12,709,275 | 1,817,835 | — |
Preferred securities | 14,859,803 | 14,261,265 | 598,538 | — |
Purchased options | 52,389 | — | 52,389 | — |
Short-term investments | 15,834,435 | 3,420,435 | 12,414,000 | — |
Total investments in securities | $463,385,416 | $30,390,975 | $432,994,441 | — |
Derivatives: | ||||
Assets | ||||
Futures | $29,621 | $29,621 | — | — |
Forward foreign currency contracts | 460,733 | — | $460,733 | — |
Liabilities | ||||
Futures | (2,163,514) | (2,163,514) | — | — |
Forward foreign currency contracts | (298,890) | — | (298,890) | — |
Total value at 6-30-21 | Level 1 quoted price | Level 2 significant observable inputs | Level 3 significant unobservable inputs | |
Strategic Income Opportunities Trust (continued) | ||||
Written options | $(116,728) | — | $(116,728) | — |
Level 3 includes securities valued at $0. Refer to Portfolio of Investments. | ||||
Total Bond Market Trust | ||||
Investments in securities: | ||||
Assets | ||||
U.S. Government and Agency obligations | $480,887,606 | — | $480,887,606 | — |
Foreign government obligations | 7,724,275 | — | 7,724,275 | — |
Corporate bonds | 214,977,993 | — | 214,977,993 | — |
Municipal bonds | 4,874,874 | — | 4,874,874 | — |
Collateralized mortgage obligations | 18,082,379 | — | 18,082,379 | — |
Common stocks | 940 | $940 | — | — |
Warrants | 2,379 | 2,379 | — | — |
Short-term investments | 84,552,915 | 84,552,915 | — | — |
Total investments in securities | $811,103,361 | $84,556,234 | $726,547,127 | — |
Ultra Short Term Bond Trust | ||||
Investments in securities: | ||||
Assets | ||||
U.S. Government and Agency obligations | $2,853,041 | — | $2,853,041 | — |
Corporate bonds | 148,289,431 | — | 148,289,431 | — |
Municipal bonds | 2,025,452 | — | 2,025,452 | — |
Collateralized mortgage obligations | 3,017,838 | — | 3,017,838 | — |
Asset backed securities | 33,041,830 | — | 33,041,830 | — |
Short-term investments | 95,361,802 | $8,816,874 | 86,544,928 | — |
Total investments in securities | $284,589,394 | $8,816,874 | $275,772,520 | — |
Portfolios | Counterparty | Collateral Paid/ (Received) |
Core Bond Trust | Goldman Sachs | $(30,000) |
among individual loans. During periods of infrequent trading, valuing a term loan can be more difficult and buying and selling a term loan at an acceptable price can be more difficult and delayed, which could result in a loss.
compensation from fees earned from borrowers of the securities. Securities lending income received by the portfolios is net of fees retained by the securities lending agent. Net income received from JHCT is a component of securities lending income as recorded on the Statements of operations.
Portfolio | Market value of securities on loan | Cash collateral received | Non-cash collateral |
Active Bond Trust | $3,321,238 | $3,400,955 | — |
Core Bond Trust | 1,607,286 | 1,645,625 | — |
High Yield Trust | 3,369,747 | 3,456,328 | — |
Investment Quality Bond Trust | 560,534 | 609,048 | — |
Select Bond Trust | 13,119,110 | 13,385,881 | — |
Strategic Income Opportunities Trust | 3,348,590 | 3,421,310 | — |
Total Bond Market Trust | 3,847,934 | 3,950,812 | — |
Portfolio | Commitment fee |
Active Bond Trust | $4,786 |
Core Bond Trust | 5,812 |
High Yield Trust | 3,379 |
Investment Quality Bond Trust | 3,561 |
Money Market Trust | 8,878 |
Opportunistic Fixed Income Trust | 3,384 |
Portfolio | Commitment fee |
Select Bond Trust | $23,635 |
Short Term Government Income Trust | 3,365 |
Strategic Income Opportunities Trust | 4,064 |
Total Bond Market Trust | 4,875 |
Ultra Short Term Bond Trust | 3,672 |
Federal income taxes. Each portfolio intends to continue to qualify as a regulated investment company by complying with the applicable provisions of the Internal Revenue Code and will not be subject to federal income tax on taxable income that is distributed to shareholders. Therefore, no federal income tax provision is required.
No Expiration Date | ||
Portfolio | Short Term | Long Term |
High Yield Trust | $2,459,230 | $61,556,259 |
Short Term Government Income Trust | 3,473,689 | 21,310,457 |
Strategic Income Opportunities Trust | 9,319,694 | 182,038 |
Total Bond Market Trust | — | 3,335,099 |
Ultra Short Term Bond Trust | 6,280,453 | 14,388,831 |
Portfolio | Aggregate cost | Unrealized appreciation | Unrealized (depreciation) | Net unrealized appreciation/ (depreciation) |
Active Bond Trust | $778,006,191 | $38,564,274 | $(8,852,524) | $29,711,750 |
Core Bond Trust | 1,114,681,719 | 11,220,397 | (7,079,011) | 4,141,386 |
High Yield Trust | 218,132,327 | 10,895,906 | (15,819,561) | (4,923,655) |
Investment Quality Bond Trust | 364,923,513 | 9,634,058 | (3,998,178) | 5,635,880 |
Money Market Trust | 2,128,752,388 | — | — | — |
Opportunistic Fixed Income Trust | 210,683,606 | 4,959,199 | (8,661,480) | (3,702,281) |
Select Bond Trust | 8,125,814,324 | 255,003,768 | (67,144,310) | 187,859,458 |
Short Term Government Income Trust | 182,489,759 | 2,959,538 | (2,214,045) | 745,493 |
Strategic Income Opportunities Trust | 453,827,452 | 14,575,294 | (7,106,108) | 7,469,186 |
Total Bond Market Trust | 778,345,962 | 40,260,587 | (7,503,188) | 32,757,399 |
Ultra Short Term Bond Trust | 285,483,857 | 701,617 | (1,596,080) | (894,463) |
for the benefit of the portfolios and can be in the form of cash or debt securities issued by the U.S. government or related agencies; collateral posted by the portfolios, if any, for OTC transactions is held in a segregated account at the portfolios' custodian and is noted in the accompanying portfolio of investments, or if cash is posted, on the Statements of assets and liabilities. The portfolios' risk of loss due to counterparty risk is equal to the asset value of outstanding contracts offset by collateral received.
Portfolio | Reason | USD Notional range |
High Yield Trust | To manage against changes in interest rates, gain exposure to certain bond markets and manage duration of the portfolio. | From $10.0 million to $10.2 million |
Investment Quality Bond Trust | To manage against changes in interest rates, gain exposure to certain bond markets and manage duration of the portfolio. | From $43.8 million to $84.9 million |
Opportunistic Fixed Income Trust | To manage against changes in interest rates, gain exposure to certain bond markets and manage duration of the portfolio. | From $66.9 million to $84.8 million |
Strategic Income Opportunities Trust | To manage duration of the portfolio. | From $51.3 million to $97.4 million |
Portfolio | Reason | USD Notional range |
High Yield Trust | To manage against changes in foreign currency exchange rates and to gain exposure to foreign currencies. | From $1.1 million to $1.2 million |
Investment Quality Bond Trust | To manage against changes in foreign currency exchange rates and to gain exposure to foreign currencies. | From $5.5 million to $9.1 million |
Opportunistic Fixed Income Trust | To manage against changes in foreign currency exchange rates and to gain exposure to foreign currencies. | From $163.3 million to $173.8 million |
Strategic Income Opportunities Trust | To manage against changes in foreign currency exchange rates and to gain exposure to foreign currencies. | From $71.1 million to $526.3 million |
exchange and movements in underlying security values, and for written options, potential losses in excess of the amounts recognized on the Statements of assets and liabilities. In addition, OTC options are subject to the risks of all OTC derivatives contracts.
Portfolio | Reason | Market value range |
Investment Quality Bond Trust | To gain exposure to the bond market and foreign currency, manage against anticipated currency exchange rates and interest rate changes, and manage duration of the portfolio. | Up to $372,000 |
Opportunistic Fixed Income Trust | To gain exposure to the bond market and foreign currency, manage against anticipated currency exchange rates and interest rate changes, manage duration of the portfolio. At June 30, 2021, there were no open purchased options contracts. | Up to $43,000 |
Strategic Income Opportunities Trust | To manage against changes in foreign currency exchange rates. | From $9,000 to $152,000 |
Portfolio | Reason | Market value range |
Investment Quality Bond Trust | To gain exposure to the bond market and foreign currency, manage against anticipated currency exchange rates and interest rate changes, and manage duration of the portfolio. | Up to $224,000 |
Strategic Income Opportunities Trust | To manage against changes in foreign currency exchange rates. | From $110,000 to $388,000 |
Portfolio | Reason | USD Notional range |
Investment Quality Bond Trust | To manage against changes in interest rates and to manage duration of the portfolio. | From $11.2 million to $14.3 million |
Opportunistic Fixed Income Trust | To manage against changes in interest rates and to manage duration of the portfolio. | From $27.7 million to $45.8 million |
Credit default swaps — Buyer
Portfolio | Reason | USD Notional range |
Investment Quality Bond Trust | To manage against potential credit events. | Up to $4.7 million |
Opportunistic Fixed Income Trust | To manage against potential credit events. | From $48.6 million to $67.3 million |
Portfolio | Reason | USD Notional range |
High Yield Trust | To gain credit exposure to an issuer or index. | From $1.1 million to $1.3 million |
Investment Quality Bond Trust | To gain credit exposure to an issuer or index. | From $8.0 million to $10.2 million |
Opportunistic Fixed Income Trust | To gain credit exposure to an issuer or index. | From $1.4 million to $28.1 million |
Portfolio | Reason | USD Notional range |
Opportunistic Fixed Income Trust | To gain exposure to a security or market without investing directly in such security or market and to exchange the risk/return of one market with another. | From $34.5 million to $50.8 million |
Portfolio | Risk | Statements of assets and liabilities location | Financial instruments location | Assets derivatives fair value | Liabilities derivatives fair value |
High Yield Trust | Interest rate | Receivable/payable for futures variation margin1 | Futures | — | $(13,216) |
Currency | Unrealized appreciation (depreciation) on forward foreign currency contracts | Forward foreign currency contracts | $3,780 | (2,850) | |
Credit | Swap contracts, at value2 | Credit default swaps | 22,991 | (31,419) | |
$26,771 | $(47,485) |
Portfolio | Risk | Statements of assets and liabilities location | Financial instruments location | Assets derivatives fair value | Liabilities derivatives fair value |
Investment Quality Bond Trust | Interest rate | Receivable/payable for futures variation margin1 | Futures | $57,522 | $(746,127) |
Currency | Unrealized appreciation (depreciation) on forward foreign currency contracts | Forward foreign currency contracts | 177,309 | (10,053) | |
Interest rate | Unaffiliated investments, at value3 | Purchased options | 91,675 | — | |
Interest rate | Written options, at value | Written options | — | (96,399) | |
Credit | Swap contracts, at value2 | Credit default swaps | 30,302 | (1,107,744) | |
Interest rate | Swap contracts, at value2 | Interest rate swaps | 928,908 | — | |
$1,285,716 | $(1,960,323) | ||||
Opportunistic Fixed Income Trust | Interest rate | Receivable/payable for futures variation margin1 | Futures | $302,219 | $(369,567) |
Currency | Unrealized appreciation (depreciation) on forward foreign currency contracts | Forward foreign currency contracts | 703,152 | (615,061) | |
Credit | Swap contracts, at value2 | Credit default swaps | 856,204 | (1,294,716) | |
Interest rate | Swap contracts, at value | Total return swaps | 26,636 | (738,567) | |
Interest rate | Swap contracts, at value2 | Interest rate swaps | 1,025,881 | (433,684) | |
$2,914,092 | $(3,451,595) | ||||
Strategic Income Opportunities Trust | Interest rate | Receivable/payable for futures variation margin1 | Futures | $29,621 | $(2,163,514) |
Currency | Unrealized appreciation (depreciation) on forward foreign currency contracts | Forward foreign currency contracts | 460,733 | (298,890) | |
Currency | Unaffiliated investments, at value3 | Purchased options | 52,389 | — | |
Currency | Written options, at value | Written options | — | (116,728) | |
$542,743 | $(2,579,132) |
1 | Reflects cumulative appreciation/depreciation on open futures as disclosed in the Derivatives section of the Portfolios of investments. Only the period end variation margin receivable/payable is separately reported on the Statements of assets and liabilities. |
2 | Reflects cumulative value of swap contracts. Receivable/payable for centrally cleared swaps, which includes value and margin, are shown separately on the Statements of assets and liabilities. |
3 | Purchased options are included in the Portfolios of investments. |
OTC Financial Instruments | Asset | Liability |
Opportunistic Fixed Income Trust | ||
Forward foreign currency contracts | $703,152 | $(615,061) |
Swap contracts | 1,722,933 | (2,133,503) |
Totals | $2,426,085 | $(2,748,564) |
Opportunistic Fixed Income Trust |
Counterparty | Assets | Liabilities | Total Market Value of OTC Derivatives | Collateral Posted by Counterparty1 | Collateral Posted by Portfolio1 | Net Exposure |
Bank of America, N.A. | $367,143 | $(102,212) | $264,931 | $264,931 | — | — |
Barclays Bank PLC | 93,994 | (100,289) | (6,295) | — | $6,295 | — |
Citibank, N.A. | 124,700 | (245,839) | (121,139) | — | 89,000 | $(32,139) |
Goldman Sachs International | 91,190 | (584,862) | (493,672) | — | 428,000 | (65,672) |
JPMorgan Chase Bank, N.A. | 765,600 | (530,362) | 235,238 | 235,238 | — | — |
Morgan Stanley & Co. International PLC | 983,458 | (1,173,865) | (190,407) | — | — | (190,407) |
State Street Bank and Trust Company | — | (11,135) | (11,135) | — | 11,135 | — |
Totals | $2,426,085 | $(2,748,564) | $(322,479) | $500,169 | $534,430 | $(288,218) |
1 Reflects collateral posted by the counterparty or posted by the portfolio, excluding any excess collateral amounts. |
Effect of derivative instruments on the Statements of operations
Statements of operations location - Net realized gain (loss) on: | |||||||
Portfolio | Risk | Unaffiliated investments and foreign currency transactions1 | Futures contracts | Forward foreign currency contracts | Written options | Swap contracts | Total |
High Yield Trust | Interest rate | — | $(106,006) | — | — | — | $(106,006) |
Currency | — | — | $(6,366) | — | — | (6,366) | |
Credit | — | — | — | — | $118,739 | 118,739 | |
Total | — | $(106,006) | $(6,366) | — | $118,739 | $6,367 | |
Investment Quality Bond Trust | Interest rate | — | $2,004,732 | — | — | $(91,770) | $1,912,962 |
Currency | — | — | $202,305 | — | — | 202,305 | |
Credit | — | — | — | — | 197,457 | 197,457 | |
Total | — | $2,004,732 | $202,305 | — | $105,687 | $2,312,724 | |
Opportunistic Fixed Income Trust | Interest rate | $(117,335) | $(764,848) | — | — | $881,154 | $(1,029) |
Currency | — | — | $1,310,679 | — | — | 1,310,679 | |
Credit | — | — | — | — | 348,696 | 348,696 | |
Total | $(117,335) | $(764,848) | $1,310,679 | — | $1,229,850 | $1,658,346 | |
Strategic Income Opportunities Trust | Interest rate | — | $3,715,540 | — | — | — | $3,715,540 |
Currency | $(48,816) | — | $1,050,121 | $270,618 | — | 1,271,923 | |
Total | $(48,816) | $3,715,540 | $1,050,121 | $270,618 | — | $4,987,463 |
1 | Realized gain/loss associated with purchased options is included in this caption on the Statements of operations. |
Statements of operations location - Change in net unrealized appreciation (depreciation) of: | |||||||
Portfolio | Risk | Unaffiliated investments and translation of assets and liabilities in foreign currencies1 | Futures contracts | Forward foreign currency contracts | Written options | Swap contracts | Total |
High Yield Trust | Interest rate | — | $(38,579) | — | — | — | $(38,579) |
Currency | — | — | $(11,944) | — | — | (11,944) | |
Credit | — | — | — | — | $(50,023) | (50,023) | |
Total | — | $(38,579) | $(11,944) | — | $(50,023) | $(100,546) | |
Investment Quality Bond Trust | Interest rate | $(205,940) | $(857,309) | — | $82,721 | $531,950 | $(448,578) |
Currency | — | — | $227,888 | — | — | 227,888 | |
Credit | — | — | — | — | (170,843) | (170,843) | |
Total | $(205,940) | $(857,309) | $227,888 | $82,721 | $361,107 | $(391,533) | |
Opportunistic Fixed Income Trust | Interest rate | $74,822 | $6,663 | — | — | $(10,383) | $71,102 |
Currency | — | — | $135,295 | — | — | 135,295 | |
Credit | — | — | — | — | (443,959) | (443,959) | |
Total | $74,822 | $6,663 | $135,295 | — | $(454,342) | $(237,562) | |
Strategic Income Opportunities Trust | Interest rate | — | $(2,274,444) | — | — | — | $(2,274,444) |
Currency | $(7,497) | — | $51,193 | $386,582 | — | 430,278 | |
Total | $(7,497) | $(2,274,444) | $51,193 | $386,582 | — | $(1,844,166) |
1 | Change in unrealized appreciation/depreciation associated with purchased options is included in this caption on the Statements of operations. |
Portfolio | Subadvisor(s) |
Active Bond Trust Money Market Trust Select Bond Trust Short Term Government Income Trust Strategic Income Opportunities Trust Total Bond Market Trust Ultra Short Term Bond Trust | Manulife Investment Management (US) LLC 1 |
Investment Quality Bond Trust Opportunistic Fixed Income Trust | Wellington Management Company LLP |
Core Bond Trust | Wells Capital Management, Incorporated |
High Yield Trust | Western Asset Management Company LLC, (Sub-Subadvisor is Western Asset Management Company Limited) |
costs, prime brokerage fees, litigation and indemnification expenses and extraordinary expenses not incurred in the ordinary course of the portfolio’s business. This agreement expires on April 30, 2022, unless renewed by mutual agreement of the advisor and the portfolio based upon a determination that this is appropriate under the circumstances at that time.
Expense reimbursement by class | ||||
Portfolio | Series I | Series II | Series NAV | Total |
Active Bond Trust | $1,484 | $6,465 | $23,654 | $31,603 |
Core Bond Trust | 3,866 | 3,533 | 37,284 | 44,683 |
High Yield Trust | 2,787 | 2,061 | 3,751 | 8,599 |
Investment Quality Bond Trust | 5,962 | 3,354 | 2,227 | 11,543 |
Money Market Trust | 3,112,148 | 263,894 | 706,316 | 4,082,358 |
Opportunistic Fixed Income Trust | 4,709 | 8,662 | 15,746 | 29,117 |
Select Bond Trust | 33,588 | 80,909 | 1,044,793 | 1,159,290 |
Short Term Government Income Trust | 1,422 | 1,176 | 5,647 | 8,245 |
Strategic Income Opportunities Trust | 14,202 | 1,720 | 3,864 | 19,786 |
Total Bond Market Trust | 485,481 | 96,671 | 420,666 | 1,002,818 |
Ultra Short Term Bond Trust | 4,630 | 87,644 | 11,933 | 104,207 |
Portfolio | Net Annual Effective Rate |
Active Bond Trust | 0.59% |
Core Bond Trust | 0.56% |
High Yield Trust | 0.69% |
Investment Quality Bond Trust | 0.59% |
Money Market Trust | 0.06% |
Opportunistic Fixed Income Trust | 0.62% |
Portfolio | Net Annual Effective Rate |
Select Bond Trust | 0.54% |
Short Term Government Income Trust | 0.56% |
Strategic Income Opportunities Trust | 0.63% |
Total Bond Market Trust | 0.21% |
Ultra Short Term Bond Trust | 0.48% |
Class | Rule 12b-1 Fee |
Series I | 0.15% |
Series II | 0.35% |
Distribution and service fees for the six months ended June 30, 2021 were:
Distribution and service fees by class | |||
Portfolio | Series l | Series ll | Total |
Active Bond Trust | $8,512 | $185,315 | $193,827 |
Core Bond Trust | 22,192 | 101,378 | 123,570 |
High Yield Trust | 16,000 | 59,063 | 75,063 |
Investment Quality Bond Trust | 34,215 | 96,269 | 130,484 |
Money Market Trust | 426,506 | 116,716 | 543,222 |
Opportunistic Fixed Income Trust | 7,871 | 72,109 | 79,980 |
Select Bond Trust | 43,351 | 522,181 | 565,532 |
Short Term Government Income Trust | 8,159 | 33,850 | 42,009 |
Strategic Income Opportunities Trust | 81,509 | 49,180 | 130,689 |
Total Bond Market Trust | 91,756 | 91,373 | 183,129 |
Ultra Short Term Bond Trust | 3,377 | 318,871 | 322,248 |
Portfolio | Borrower or Lender | Weighted Average Loan Balance | Days Outstanding | Weighted Average Interest Rate | Interest Income (Expense) |
Active Bond Trust | Lender | $9,620,794 | 3 | 0.655% | $525 |
Investment Quality Bond Trust | Lender | 12,800,000 | 2 | 0.662% | 471 |
Opportunistic Fixed Income Trust | Lender | 5,000,000 | 2 | 0.663% | 184 |
Active Bond Trust | Six Months Ended 6-30-21 | Year Ended 12-31-20 | ||
Shares | Amount | Shares | Amount | |
Series I shares | ||||
Sold | 150,798 | $1,541,438 | 377,811 | $3,840,908 |
Distributions reinvested | — | — | 104,161 | 1,058,278 |
Repurchased | (197,492) | (2,013,404) | (802,352) | (8,129,546) |
Net decrease | (46,694) | $(471,966) | (320,380) | $(3,230,360) |
Series II shares | ||||
Sold | 940,401 | $9,571,549 | 3,298,924 | $33,951,838 |
Distributions reinvested | — | — | 392,040 | 3,994,890 |
Repurchased | (1,100,816) | (11,230,970) | (3,489,948) | (35,089,999) |
Net increase (decrease) | (160,415) | $(1,659,421) | 201,016 | $2,856,729 |
Series NAV shares | ||||
Sold | 471,643 | $4,811,259 | 2,374,872 | $24,106,386 |
Distributions reinvested | — | — | 1,635,935 | 16,637,458 |
Repurchased | (1,310,746) | (13,372,131) | (5,180,050) | (52,470,087) |
Net decrease | (839,103) | $(8,560,872) | (1,169,243) | $(11,726,243) |
Total net decrease | (1,046,212) | $(10,692,259) | (1,288,607) | $(12,099,874) |
Core Bond Trust | Six Months Ended 6-30-21 | Year Ended 12-31-20 | ||
Shares | Amount | Shares | Amount | |
Series I shares | ||||
Sold | 266,837 | $3,730,685 | 484,277 | $6,839,341 |
Distributions reinvested | — | — | 151,668 | 2,137,004 |
Repurchased | (482,402) | (6,729,351) | (960,187) | (13,426,171) |
Net decrease | (215,565) | $(2,998,666) | (324,242) | $(4,449,826) |
Series II shares | ||||
Sold | 298,235 | $4,142,846 | 923,227 | $12,973,086 |
Distributions reinvested | — | — | 126,519 | 1,780,118 |
Repurchased | (491,567) | (6,836,958) | (1,079,957) | (15,037,578) |
Net decrease | (193,332) | $(2,694,112) | (30,211) | $(284,374) |
Core Bond Trust, Cont'd | Six Months Ended 6-30-21 | Year Ended 12-31-20 | ||
Shares | Amount | Shares | Amount | |
Series NAV shares | ||||
Sold | 2,843,289 | $39,532,268 | 5,352,084 | $75,771,073 |
Distributions reinvested | — | — | 1,433,171 | 20,093,057 |
Repurchased | (1,855,654) | (25,712,157) | (14,344,082) | (194,467,672) |
Net increase (decrease) | 987,635 | $13,820,111 | (7,558,827) | $(98,603,542) |
Total net increase (decrease) | 578,738 | $8,127,333 | (7,913,280) | $(103,337,742) |
High Yield Trust | Six Months Ended 6-30-21 | Year Ended 12-31-20 | ||
Shares | Amount | Shares | Amount | |
Series I shares | ||||
Sold | 476,283 | $2,567,316 | 1,124,470 | $5,613,642 |
Distributions reinvested | — | — | 770,368 | 3,851,840 |
Repurchased | (828,511) | (4,431,439) | (2,379,389) | (12,036,465) |
Net decrease | (352,228) | $(1,864,123) | (484,551) | $(2,570,983) |
Series II shares | ||||
Sold | 1,176,096 | $6,537,801 | 993,567 | $5,156,969 |
Distributions reinvested | — | — | 511,298 | 2,622,957 |
Repurchased | (654,708) | (3,595,067) | (2,334,900) | (12,126,379) |
Net increase (decrease) | 521,388 | $2,942,734 | (830,035) | $(4,346,453) |
Series NAV shares | ||||
Sold | 2,618,953 | $13,837,037 | 3,036,613 | $14,769,315 |
Distributions reinvested | — | — | 1,031,917 | 5,066,715 |
Repurchased | (1,641,484) | (8,625,090) | (4,274,403) | (21,555,690) |
Net increase (decrease) | 977,469 | $5,211,947 | (205,873) | $(1,719,660) |
Total net increase (decrease) | 1,146,629 | $6,290,558 | (1,520,459) | $(8,637,096) |
Investment Quality Bond Trust | Six Months Ended 6-30-21 | Year Ended 12-31-20 | ||
Shares | Amount | Shares | Amount | |
Series I shares | ||||
Sold | 625,998 | $7,436,823 | 1,444,120 | $17,484,546 |
Distributions reinvested | — | — | 264,036 | 3,163,148 |
Repurchased | (803,803) | (9,602,025) | (2,236,762) | (26,125,785) |
Net decrease | (177,805) | $(2,165,202) | (528,606) | $(5,478,091) |
Series II shares | ||||
Sold | 522,157 | $6,234,348 | 1,240,005 | $14,914,036 |
Distributions reinvested | — | — | 135,600 | 1,625,848 |
Repurchased | (670,639) | (8,013,024) | (1,490,545) | (17,469,317) |
Net decrease | (148,482) | $(1,778,676) | (114,940) | $(929,433) |
Series NAV shares | ||||
Sold | 1,285,814 | $15,343,521 | 1,060,742 | $12,533,806 |
Distributions reinvested | — | — | 90,690 | 1,081,930 |
Repurchased | (135,137) | (1,618,268) | (1,175,521) | (13,945,204) |
Net increase (decrease) | 1,150,677 | $13,725,253 | (24,089) | $(329,468) |
Total net increase (decrease) | 824,390 | $9,781,375 | (667,635) | $(6,736,992) |
Money Market Trust | Six Months Ended 6-30-21 | Year Ended 12-31-20 | ||
Shares | Amount | Shares | Amount | |
Series I shares | ||||
Sold | 80,985,312 | $80,985,312 | 913,281,032 | $913,281,032 |
Distributions reinvested | 58,159 | 58,159 | 4,603,713 | 4,603,713 |
Repurchased | (328,377,051) | (328,377,051) | (502,746,109) | (502,746,109) |
Net increase (decrease) | (247,333,580) | $(247,333,580) | 415,138,636 | $415,138,636 |
Series II shares | ||||
Sold | 2,127,914 | $2,127,914 | 1,357,271 | $1,357,273 |
Distributions reinvested | 3,157 | 3,157 | 280,623 | 280,622 |
Repurchased | (14,059,895) | (14,059,895) | (21,886,914) | (21,886,914) |
Net decrease | (11,928,824) | $(11,928,824) | (20,249,020) | $(20,249,019) |
Money Market Trust, Cont'd | Six Months Ended 6-30-21 | Year Ended 12-31-20 | ||
Shares | Amount | Shares | Amount | |
Series NAV shares | ||||
Sold | 184,792,665 | $184,792,665 | 346,735,235 | $346,735,235 |
Distributions reinvested | 14,714 | 14,714 | 1,363,842 | 1,363,842 |
Repurchased | (199,055,867) | (199,055,867) | (270,734,541) | (270,734,541) |
Net increase (decrease) | (14,248,488) | $(14,248,488) | 77,364,536 | $77,364,536 |
Total net increase (decrease) | (273,510,892) | $(273,510,892) | 472,254,152 | $472,254,153 |
Opportunistic Fixed Income Trust | Six Months Ended 6-30-21 | Year Ended 12-31-20 | ||
Shares | Amount | Shares | Amount | |
Series I shares | ||||
Sold | 153,631 | $2,061,795 | 180,426 | $2,320,461 |
Distributions reinvested | — | — | 90,762 | 1,186,256 |
Repurchased | (168,188) | (2,250,837) | (387,972) | (5,012,361) |
Net decrease | (14,557) | $(189,042) | (116,784) | $(1,505,644) |
Series II shares | ||||
Sold | 292,462 | $3,823,994 | 541,474 | $7,135,933 |
Distributions reinvested | — | — | 163,005 | 2,097,869 |
Repurchased | (322,469) | (4,236,129) | (1,226,900) | (15,106,497) |
Net decrease | (30,007) | $(412,135) | (522,421) | $(5,872,695) |
Series NAV shares | ||||
Sold | 1,305,664 | $17,362,642 | 1,389,078 | $18,244,137 |
Distributions reinvested | — | — | 301,814 | 3,929,619 |
Repurchased | (251,921) | (3,361,089) | (2,478,638) | (31,050,688) |
Net increase (decrease) | 1,053,743 | $14,001,553 | (787,746) | $(8,876,932) |
Total net increase (decrease) | 1,009,179 | $13,400,376 | (1,426,951) | $(16,255,271) |
Select Bond Trust | Six Months Ended 6-30-21 | Year Ended 12-31-20 | ||
Shares | Amount | Shares | Amount | |
Series I shares | ||||
Sold | 847,989 | $12,096,234 | 1,837,289 | $26,888,465 |
Distributions reinvested | — | — | 353,421 | 5,078,662 |
Repurchased | (688,799) | (9,882,019) | (2,672,067) | (37,636,685) |
Net increase (decrease) | 159,190 | $2,214,215 | (481,357) | $(5,669,558) |
Series II shares | ||||
Sold | 2,838,087 | $40,640,042 | 21,572,760 | $309,340,365 |
Distributions reinvested | — | — | 821,481 | 11,829,321 |
Repurchased | (3,354,544) | (48,183,444) | (23,161,295) | (332,138,240) |
Net decrease | (516,457) | $(7,543,402) | (767,054) | $(10,968,554) |
Series NAV shares | ||||
Sold | 30,567,252 | $440,320,376 | 38,729,754 | $563,616,117 |
Distributions reinvested | — | — | 14,743,503 | 211,716,697 |
Repurchased | (9,922,596) | (142,128,331) | (117,881,934) | (1,638,492,092) |
Net increase (decrease) | 20,644,656 | $298,192,045 | (64,408,677) | $(863,159,278) |
Total net increase (decrease) | 20,287,389 | $292,862,858 | (65,657,088) | $(879,797,390) |
Short Term Government Income Trust | Six Months Ended 6-30-21 | Year Ended 12-31-20 | ||
Shares | Amount | Shares | Amount | |
Series I shares | ||||
Sold | 272,998 | $3,345,712 | 891,254 | $11,053,867 |
Distributions reinvested | — | — | 47,820 | 586,755 |
Repurchased | (348,758) | (4,271,171) | (1,196,993) | (14,761,294) |
Net decrease | (75,760) | $(925,459) | (257,919) | $(3,120,672) |
Series II shares | ||||
Sold | 570,798 | $6,998,622 | 2,060,581 | $25,499,697 |
Distributions reinvested | — | — | 37,388 | 459,125 |
Repurchased | (1,152,471) | (14,104,866) | (1,611,679) | (19,982,613) |
Net increase (decrease) | (581,673) | $(7,106,244) | 486,290 | $5,976,209 |
Short Term Government Income Trust, Cont'd | Six Months Ended 6-30-21 | Year Ended 12-31-20 | ||
Shares | Amount | Shares | Amount | |
Series NAV shares | ||||
Sold | 1,066,335 | $13,046,718 | 2,452,147 | $30,378,810 |
Distributions reinvested | — | — | 186,321 | 2,286,164 |
Repurchased | (1,121,569) | (13,746,103) | (1,852,254) | (22,927,906) |
Net increase (decrease) | (55,234) | $(699,385) | 786,214 | $9,737,068 |
Total net increase (decrease) | (712,667) | $(8,731,088) | 1,014,585 | $12,592,605 |
Strategic Income Opportunities Trust | Six Months Ended 6-30-21 | Year Ended 12-31-20 | ||
Shares | Amount | Shares | Amount | |
Series I shares | ||||
Sold | 988,343 | $14,348,349 | 1,246,259 | $17,242,252 |
Distributions reinvested | — | — | 385,734 | 5,373,280 |
Repurchased | (2,062,406) | (29,995,958) | (5,248,378) | (70,202,164) |
Net decrease | (1,074,063) | $(15,647,609) | (3,616,385) | $(47,586,632) |
Series II shares | ||||
Sold | 435,247 | $6,337,110 | 326,428 | $4,549,357 |
Distributions reinvested | — | — | 36,497 | 509,859 |
Repurchased | (83,652) | (1,218,392) | (442,161) | (5,901,876) |
Net increase (decrease) | 351,595 | $5,118,718 | (79,236) | $(842,660) |
Series NAV shares | ||||
Sold | 300,580 | $4,344,003 | 451,481 | $6,245,267 |
Distributions reinvested | — | — | 100,844 | 1,399,714 |
Repurchased | (49,228) | (711,428) | (413,451) | (5,554,616) |
Net increase | 251,352 | $3,632,575 | 138,874 | $2,090,365 |
Total net decrease | (471,116) | $(6,896,316) | (3,556,747) | $(46,338,927) |
Total Bond Market Trust | Six Months Ended 6-30-21 | Year Ended 12-31-20 | ||
Shares | Amount | Shares | Amount | |
Series I shares | ||||
Sold | 1,359,487 | $14,594,185 | 10,439,481 | $113,757,910 |
Distributions reinvested | — | — | 846,667 | 9,152,472 |
Repurchased | (3,907,626) | (41,593,394) | (5,510,706) | (59,795,492) |
Net increase (decrease) | (2,548,139) | $(26,999,209) | 5,775,442 | $63,114,890 |
Series II shares | ||||
Sold | 681,100 | $7,257,501 | 4,117,759 | $44,648,520 |
Distributions reinvested | — | — | 151,099 | 1,636,397 |
Repurchased | (1,781,941) | (18,956,576) | (2,398,056) | (25,986,110) |
Net increase (decrease) | (1,100,841) | $(11,699,075) | 1,870,802 | $20,298,807 |
Series NAV shares | ||||
Sold | 1,874,925 | $19,890,769 | 8,502,670 | $92,540,560 |
Distributions reinvested | — | — | 651,448 | 7,042,157 |
Repurchased | (1,838,509) | (19,598,103) | (5,037,829) | (54,353,963) |
Net increase | 36,416 | $292,666 | 4,116,289 | $45,228,754 |
Total net increase (decrease) | (3,612,564) | $(38,405,618) | 11,762,533 | $128,642,451 |
Ultra Short Term Bond Trust | Six Months Ended 6-30-21 | Year Ended 12-31-20 | ||
Shares | Amount | Shares | Amount | |
Series I shares | ||||
Sold | 276,633 | $3,170,551 | 1,094,958 | $12,620,460 |
Distributions reinvested | — | — | 21,925 | 251,265 |
Repurchased | (429,709) | (4,925,093) | (873,030) | (10,117,045) |
Net increase (decrease) | (153,076) | $(1,754,542) | 243,853 | $2,754,680 |
Series II shares | ||||
Sold | 7,178,230 | $82,217,942 | 12,634,587 | $145,807,629 |
Distributions reinvested | — | — | 394,546 | 4,521,502 |
Repurchased | (8,719,006) | (99,861,526) | (11,082,158) | (127,761,657) |
Net increase (decrease) | (1,540,776) | $(17,643,584) | 1,946,975 | $22,567,474 |
Ultra Short Term Bond Trust, Cont'd | Six Months Ended 6-30-21 | Year Ended 12-31-20 | ||
Shares | Amount | Shares | Amount | |
Series NAV shares | ||||
Sold | 372,327 | $4,268,396 | 892,871 | $10,288,662 |
Distributions reinvested | — | — | 58,439 | 669,716 |
Repurchased | (187,195) | (2,146,525) | (634,001) | (7,331,244) |
Net increase | 185,132 | $2,121,871 | 317,309 | $3,627,134 |
Total net increase (decrease) | (1,508,720) | $(17,276,255) | 2,508,137 | $28,949,288 |
Purchases | Sales | |||
Portfolio | U.S. Government | Other issuers | U.S. Government | Other issuers |
Active Bond Trust | $151,685,338 | $222,383,669 | $122,666,398 | $251,470,243 |
Core Bond Trust | 1,157,996,556 | 488,138,319 | 1,099,895,569 | 551,066,802 |
High Yield Trust | — | 92,330,541 | — | 82,452,979 |
Investment Quality Bond Trust | 31,400,362 | 65,251,523 | 15,236,595 | 62,751,305 |
Opportunistic Fixed Income Trust | 1,995,428 | 151,586,253 | 1,308,639 | 136,978,842 |
Select Bond Trust | 4,252,552,589 | 2,534,361,235 | 3,984,650,676 | 2,430,861,910 |
Short Term Government Income Trust | — | 31,023,002 | 11,323,431 | 26,274,006 |
Strategic Income Opportunities Trust | 2,989,726 | 201,799,822 | 12,484,141 | 190,243,156 |
Total Bond Market Trust | 13,845,391 | 112,831,095 | 20,500,000 | 156,502,705 |
Ultra Short Term Bond Trust | — | 59,809,138 | — | 124,793,090 |
Dividends and distributions | |||||||||
Affiliate | Ending share amount | Beginning value | Cost of purchases | Proceeds from shares sold | Realized gain (loss) | Change in unrealized appreciation (depreciation) | Income distributions received | Capital gain distributions received | Ending value |
Active Bond Trust | |||||||||
John Hancock Collateral Trust* | 340,971 | $2,498,620 | $38,198,622 | $(37,285,509) | $(571) | $113 | $7,347 | — | $3,411,275 |
Core Bond Trust | |||||||||
John Hancock Collateral Trust* | 163,840 | $2,343,146 | $35,276,524 | $(35,980,225) | $(498) | $202 | $4,409 | — | $1,639,149 |
High Yield Trust | |||||||||
John Hancock Collateral Trust* | 345,094 | $3,208,593 | $11,970,914 | $(11,726,357) | $(742) | $124 | $11,807 | — | $3,452,532 |
Investment Quality Bond Trust | |||||||||
John Hancock Collateral Trust* | 61,096 | $1,125,357 | $2,679,848 | $(3,193,820) | $(249) | $106 | $3,706 | — | $611,242 |
Opportunistic Fixed Income Trust | |||||||||
John Hancock Collateral Trust* | — | $56,869 | $233,349 | $(290,176) | $(47) | $5 | $189 | — | — |
Select Bond Trust | |||||||||
John Hancock Collateral Trust* | 1,341,364 | $13,200,540 | $256,656,415 | $(256,432,495) | $(5,451) | $799 | — | — | $13,419,808 |
Short Term Government Income Trust | |||||||||
John Hancock Collateral Trust* | — | — | $5,049,001 | $(5,049,001) | — | — | $1,443 | — | — |
Strategic Income Opportunities Trust | |||||||||
John Hancock Collateral Trust* | 341,886 | $2,919,409 | $17,820,083 | $(17,318,572) | $(581) | $96 | $1,805 | — | $3,420,435 |
Total Bond Market Trust |
Dividends and distributions | |||||||||
Affiliate | Ending share amount | Beginning value | Cost of purchases | Proceeds from shares sold | Realized gain (loss) | Change in unrealized appreciation (depreciation) | Income distributions received | Capital gain distributions received | Ending value |
John Hancock Collateral Trust* | 397,568 | $2,699,062 | $15,890,294 | $(14,611,268) | $(686) | $110 | $5,004 | — | $3,977,512 |
Ultra Short Term Bond Trust | |||||||||
John Hancock Collateral Trust* | — | $104,000 | $39,848,120 | $(39,951,249) | $(871) | — | $7,946 | — | — |
* | Refer to the Securities lending note within Note 2 for details regarding this investment. |
Portfolio | Affiliated Concentration |
Core Bond Trust | 58.6% |
Select Bond Trust | 91.9% |
Portfolio | Purchases | Sales |
Active Bond Trust | $- | $5,320,364 |
Issuer, Description | Original acquisition date | Acquisition cost | Beginning share amount | Shares purchased | Shares sold | Ending share amount | Value as a percentage of net assets | Ending value |
High Yield Trust | ||||||||
KCAD Holdings I, Ltd. | 3-21-11 | $1,353,651 | 165,553,563 | — | — | 165,553,563 | 0.0%1 | $166 |
MWO Holdings LLC | 8-30-16 | 438,156 | 445 | — | — | 445 | 0.0%1 | 3,369 |
New Cotai, Inc., Class B | 4-12-13 | — | 3 | — | — | 3 | 0.0% | — |
$3,535 |
1 | Less than 0.05%. |
(The Funds that are not Participating Portfolios as of the date of this annual report are each of the funds of funds of the Trust and John Hancock Funds II and John Hancock Collateral Trust. These funds of funds also benefit from such overall management fee waiver through their investment in underlying portfolios that include certain of the Participating Portfolios, which are subject to the Reimbursement.)
(1) | information relating to the Subadvisor’s business, including current subadvisory services to the Trust (and other funds in the John Hancock group of funds); |
(2) | the historical and current performance of each Fund and comparative performance information relating to the Fund’s benchmark and comparable funds based on the median percentile; |
(3) | the subadvisory fee for each Fund, including any breakpoints, and comparative fee information, where available, prepared by an independent third-party provider of fund data; and |
(4) | information relating to the nature and scope of any material relationships and their significance to the Trust’s Advisor and 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 based on the median percentile, with the exceptions noted in Appendix A (with respect to such exceptions, the Board considered the steps the Subadvisor had taken or plans to take to address performance and concluded that performance is being monitored and reasonably being 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 12/31/2020 | Fees and Expenses | Comments |
Active Bond Trust(Manulife Investment Management (US) LLC) | Benchmark Index – The Trust outperformed the benchmark index for the one-, three-, five- and ten-year periods.Broadridge Category – The Trust outperformed the peer group median for the one-, five- and ten-year periods and underperformed the peer group median 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 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 for the three-year period relative to the peer group median.The Board noted the Trust’s favorable performance relative to the benchmark index for the one-, three-, five- and ten-year periods and to the peer group median for the one-, five- and ten-year periods.The Board noted that the Trust outperformed its Morningstar peer group and benchmark index for the year-to-date period ended April 30, 2021.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. |
Core Bond Trust(Wells Capital Management, Incorporated) | Benchmark Index – The Trust outperformed the benchmark index for the one-, three- and ten-year periods and equaled the benchmark index for the five-year period.Broadridge Category – The Trust outperformed the peer group median for the one-, three- and ten-year periods and underperformed the peer group median for the five-year period. | The subadviser fees for this Trust are lower 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 performance for the five-year period relative to the peer group median.The Board noted the Trust’s favorable performance relative to the benchmark index for the one-, three-, five- and ten-year periods and to the period group median for the one-, three- and ten-year periods.The Board took into account management’s discussion of the Trust’s expenses. The Board noted the Trust’s total net expenses are lower than the peer group median. |
Portfolio (Subadviser) | Performance as of 12/31/2020 | Fees and Expenses | Comments |
High Yield Trust(Western Asset Management Company, LLC) | Benchmark Index – The Trust underperformed the benchmark index for the one-, three-, five- and ten-year periods.Broadridge Category – The Trust outperformed the peer group median for the one-, three- and five-year periods and underperformed the peer group median for the ten-year period. | The subadviser fees for this Trust are lower 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 performance for the one-, three-, five- and ten- periods relative to the benchmark index and to the peer group median for the ten-year period.The Board noted the Trust’s favorable performance relative to the peer group median for the one-, three-, and five-year periods.The Board noted that the Trust outperformed its Morningstar peer group and benchmark index for the year-to-date period ended April 30, 2021.The Board took into account management’s discussion of the Trust’s expenses. The Board noted the Trust’s total net expenses are lower than the peer group median. |
Investment Quality Bond Trust(Wellington Management Company LLP) | Benchmark Index – The Trust outperformed the benchmark index for the one-, three-, five- and ten-year periods.Broadridge Category – The Trust outperformed the peer group median for the one-, three-, five- and ten-year periods. | The 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 noted the Trust’s favorable performance relative to the benchmark index and to the peer group median for the one-, three-, five- and ten-year periods.The Board took into account management’s discussion of the Trust’s expenses. The Board noted the Trust’s total net expenses are lower than the peer group median. |
Money Market Trust(Manulife Investment Management (US) LLC) | Benchmark Index – The Trust underperformed the benchmark index for the one-, three-, five- and ten-year periods.Broadridge Category – The Trust outperformed the peer group median for the one-, three-, five- and ten-year periods. | The subadviser fees for this Trust are lower 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 performance for the one-, three-, five- and ten-periods relative to the benchmark index.The Board noted the Trust’s favorable performance relative to the peer group median for the one-, three-, five- and ten-year periods.The Board noted that the Trust outperformed its Morningstar peer group and benchmark index for the year-to-date period ended April 30, 2021.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 12/31/2020 | Fees and Expenses | Comments |
Opportunistic Fixed Income Trust(Wellington Management Company LLP) | Benchmark Index – The Trust outperformed the benchmark index for the one-, three- and five-year periods and underperformed the benchmark index for the ten-year period.Broadridge Category – The Trust outperformed the peer group median for the one-, three-, five- and ten-year periods. | Limited comparative subadviser fee data was provided due to the limited number of Broadridge peer funds.Net management fees for this Trust are equal to 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 performance for the ten-year period relative to the benchmark index.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 median for the one-, three-, five- and ten-year periods.The Board took into account management’s discussion of the Trust’s expenses. The Board noted the Trust’s net management fees are equal to the peer group median. |
Select Bond Trust(Manulife Investment Management (US) LLC) | Benchmark Index – The Trust outperformed the benchmark index for the one-, three- and five-year periods and underperformed the benchmark index for the ten-year period.Broadridge Category – The Trust outperformed the peer group median for the one-, three-, five- and ten-year periods. | Limited comparative subadviser fee data was provided due to the limited number of Broadridge peer funds.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 performance for the ten-year period relative to the benchmark index.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 median for the one-, three-, five- and ten-year periods.The Board noted that the Trust outperformed its Morningstar peer group and benchmark index for the year-to-date period ended April 30, 2021.The Board took into account management’s discussion of the Trust’s expenses. |
Portfolio (Subadviser) | Performance as of 12/31/2020 | Fees and Expenses | Comments |
Short Term Government Income Trust(Manulife Investment Management (US) LLC) | Benchmark Index – The Trust underperformed the benchmark index for the one-, three-, five- and ten-year periods.Broadridge Category – The Trust underperformed the peer group median for the one-, three-, five- and ten-year periods. | Limited comparative subadviser fee data was provided due to the limited number of Broadridge peer funds.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 for the one-, three-, five- and ten-year periods relative to the benchmark index and to the peer group median including the impact of past and current market conditions on the Trust’s strategy and management’s outlook for the Trust.The Board noted that the Trust outperformed its Morningstar peer group for the year-to-date period ended April 30, 2021.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. |
Strategic Income Opportunities Trust(Manulife Investment Management (US) LLC) | Benchmark Index – The Trust outperformed the benchmark index for the one-, five- and ten-year periods and underperformed the benchmark index for the three-year period.Broadridge Category – The Trust outperformed the peer group median for the one-and ten-year periods and underperformed the peer group median for the 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 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 for the three-year period relative to the benchmark index and to the peer group median for the three- and five-year periods.The Board noted the Trust’s favorable performance relative to the benchmark index for the one-, five- and ten-year periods and to the peer group median for the one- and ten-year periods.The Board noted that the Trust outperformed its Morningstar peer group for the year-to-date period ended April 30, 2021.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 12/31/2020 | Fees and Expenses | Comments |
Total Bond Market Trust(Manulife Investment Management (US) LLC) | Benchmark Index – The Trust underperformed the benchmark index for the one-, three-, five- and ten-year periods.Broadridge Category – The Trust underperformed the peer group median for the one-, three-, five- and ten-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 performance for the one-, three-, five- and ten-year periods relative to the benchmark index and to the peer group median including the impact of past and current market conditions on the Fund’s strategy and management’s outlook for the Fund.The Board noted the Trust’s net management fees and net total expenses are lower than the peer group median. |
Ultra Short Term Bond Trust(Manulife Investment Management (US) LLC) | Benchmark Index – The Trust outperformed the benchmark index for the one-year period and underperformed the benchmark index for the three-, five- and ten-year periods.Broadridge Category – The Trust outperformed the peer group median for the one- and three-year periods and underperformed the peer group median for the five- and ten-year periods. | Limited comparative subadviser fee data was provided due to the limited number of Broadridge peer funds.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 performance for the three-, five- and ten-year periods relative to the benchmark index and to the peer group median for the five- and ten-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 median for the one- and three-year periods.The Board took into account management’s discussion of the Trust’s expenses. |
• | The Fund’s investment strategy remained appropriate for an open-end fund structure; |
• | The Fund was able to meet requests for redemption without significant dilution of remaining investors’ interests in the Fund; |
• | The Fund did not report any breaches of the 15% limit on illiquid investments that would require reporting to the Securities and Exchange Commission; |
• | The Fund continued to qualify as a Primarily Highly Liquid Fund under the Liquidity Rule and therefore is not required to establish a HLIM; and |
• | The Chief Compliance Officer’s office performed audit testing of the LRMP which resulted in an assessment that the LRMP’s control environment was deemed to be operating effectively and in compliance with the Board approved procedures. |
Steven R. Pruchansky, Vice Chairperson
Andrew G. Arnott†
Charles L. Bardelis*
James R. Boyle
Peter S. Burgess*
William H. Cunningham
Grace K. Fey
Marianne Harrison†
Deborah C. Jackson
Frances G. Rathke*,1
Gregory A. Russo
Charles A. Rizzo, Chief Financial Officer
Salvatore Schiavone, Treasurer
Christopher (Kit) Sechler, Secretary and Chief Legal Officer
Trevor Swanberg2, Chief Compliance Officer
* | Member of the Audit Committee |
† | Non-Independent Trustee |
1 | Appointed as Independent Trustee effective as of September 15, 2020 |
2 | Effective July 31, 2020 |
Boston, Massachusetts
JHTBSA | 6/30 |
3 | |
4 | |
6 | |
11 | |
12 | |
13 | |
14 | |
16 | |
28 | |
29 | |
33 | |
35 | |
36 |
Portfolio | Portfolio of investments | |
6 | ||
7 |
Portfolio | Portfolio of investments | |
8 | ||
9 |
2 |
ASSET ALLOCATION (% of net assets) | |
Affiliated investment companies | 97.0 |
Equity | 68.2 |
Large Blend | 31.0 |
U.S. Large Cap | 17.2 |
Emerging-Market Equity | 7.0 |
U.S. Mid Cap | 6.0 |
U.S. Small Cap | 4.0 |
International Equity | 3.0 |
Fixed income | 28.8 |
Intermediate Bond | 28.8 |
Unaffiliated investment companies | 2.1 |
Equity | 2.1 |
U.S. Government Agency | 0.1 |
Short-term investments and other | 0.8 |
ASSET ALLOCATION (% of net assets) | |
Affiliated investment companies | 97.4 |
Equity | 48.2 |
Large Blend | 22.0 |
U.S. Large Cap | 13.7 |
Emerging-Market Equity | 4.3 |
U.S. Mid Cap | 3.7 |
U.S. Small Cap | 2.8 |
International Equity | 1.7 |
Fixed income | 49.2 |
Intermediate Bond | 49.2 |
Unaffiliated investment companies | 1.7 |
Equity | 1.7 |
U.S. Government Agency | 0.1 |
Short-term investments and other | 0.8 |
ASSET ALLOCATION (% of net assets) | |
Affiliated investment companies | 97.4 |
Equity | 38.1 |
Large Blend | 18.1 |
U.S. Large Cap | 12.0 |
Emerging-Market Equity | 2.7 |
U.S. Mid Cap | 2.6 |
U.S. Small Cap | 1.8 |
International Equity | 0.9 |
Fixed income | 59.3 |
Intermediate Bond | 59.3 |
Unaffiliated investment companies | 1.7 |
Equity | 1.7 |
U.S. Government Agency | 0.2 |
Short-term investments and other | 0.7 |
ASSET ALLOCATION (% of net assets) | |
Affiliated investment companies | 98.5 |
Equity | 19.1 |
Large Blend | 9.0 |
U.S. Large Cap | 6.5 |
Emerging-Market Equity | 1.3 |
U.S. Mid Cap | 1.3 |
U.S. Small Cap | 1.0 |
Fixed income | 79.4 |
Intermediate Bond | 79.4 |
Unaffiliated investment companies | 0.8 |
Equity | 0.8 |
U.S. Government Agency | 0.2 |
Short-term investments and other | 0.5 |
Account value on 1-1-2021 | Ending value on 6-30-2021 | Expenses paid during period ended 6-30-20211 | Annualized expense ratio2 | ||
Managed Volatility Growth Portfolio | |||||
Series I | Actual expenses/actual returns | $1,000.00 | $1,091.40 | $0.78 | 0.15% |
Hypothetical example | 1,000.00 | 1,024.10 | 0.75 | 0.15% | |
Series II | Actual expenses/actual returns | 1,000.00 | 1,090.20 | 1.81 | 0.35% |
Hypothetical example | 1,000.00 | 1,023.10 | 1.76 | 0.35% | |
Series NAV | Actual expenses/actual returns | 1,000.00 | 1,091.30 | 0.52 | 0.10% |
Hypothetical example | 1,000.00 | 1,024.30 | 0.50 | 0.10% | |
Managed Volatility Balanced Portfolio | |||||
Series I | Actual expenses/actual returns | $1,000.00 | $1,069.50 | $0.77 | 0.15% |
Hypothetical example | 1,000.00 | 1,024.10 | 0.75 | 0.15% | |
Series II | Actual expenses/actual returns | 1,000.00 | 1,068.30 | 1.79 | 0.35% |
Hypothetical example | 1,000.00 | 1,023.10 | 1.76 | 0.35% | |
Series NAV | Actual expenses/actual returns | 1,000.00 | 1,070.10 | 0.51 | 0.10% |
Hypothetical example | 1,000.00 | 1,024.30 | 0.50 | 0.10% | |
Managed Volatility Moderate Portfolio | |||||
Series I | Actual expenses/actual returns | $1,000.00 | $1,055.90 | $0.71 | 0.14% |
Hypothetical example | 1,000.00 | 1,024.10 | 0.70 | 0.14% | |
Series II | Actual expenses/actual returns | 1,000.00 | 1,055.60 | 1.73 | 0.34% |
Hypothetical example | 1,000.00 | 1,023.10 | 1.71 | 0.34% | |
Series NAV | Actual expenses/actual returns | 1,000.00 | 1,055.90 | 0.46 | 0.09% |
Hypothetical example | 1,000.00 | 1,024.30 | 0.45 | 0.09% |
Account value on 1-1-2021 | Ending value on 6-30-2021 | Expenses paid during period ended 6-30-20211 | Annualized expense ratio2 | ||
Managed Volatility Conservative Portfolio | |||||
Series I | Actual expenses/actual returns | $1,000.00 | $1,023.20 | $0.75 | 0.15% |
Hypothetical example | 1,000.00 | 1,024.10 | 0.75 | 0.15% | |
Series II | Actual expenses/actual returns | 1,000.00 | 1,021.70 | 1.75 | 0.35% |
Hypothetical example | 1,000.00 | 1,023.10 | 1.76 | 0.35% | |
Series NAV | Actual expenses/actual returns | 1,000.00 | 1,023.20 | 0.50 | 0.10% |
Hypothetical example | 1,000.00 | 1,024.30 | 0.50 | 0.10% |
1 | Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
2 | Ratios do not include expenses indirectly incurred by the underlying funds and can vary based on the mix of underlying funds held by the portfolios. |
Shares or Principal Amount | Value | ||||
AFFILIATED INVESTMENT COMPANIES (A) - 97.0% | |||||
Equity - 68.2% | |||||
Blue Chip Growth, Series NAV, JHVIT (T. Rowe Price) | 8,141,085 | $ | 368,546,905 | ||
Emerging Markets Equity, Class NAV, JHIT (MIM US) (B) | 23,170,369 | 364,238,204 | |||
Equity Income, Series NAV, JHVIT (T. Rowe Price) | 25,814,929 | 418,459,994 | |||
Fundamental Large Cap Core, Class NAV, JHIT (MIM US) (B) | 6,687,778 | 505,662,862 | |||
Mid Cap Stock, Series NAV, JHVIT (Wellington) | 4,558,759 | 131,748,138 | |||
Mid Value, Series NAV, JHVIT (T. Rowe Price) | 11,621,855 | 140,392,003 | |||
Multifactor Developed International ETF, JHETF (DFA) | 6,662,886 | 224,805,774 | |||
Multifactor Emerging Markets ETF, JHETF (DFA) | 4,897,104 | 155,166,699 | |||
Multifactor Mid Cap ETF, JHETF (DFA) | 3,280,957 | 170,084,811 | |||
Multifactor Small Cap ETF, JHETF (DFA) | 4,514,404 | 157,462,412 | |||
Small Cap Growth, Class NAV, JHF II (Redwood) | 2,194,767 | 58,468,606 | |||
Small Cap Value, Series NAV, JHVIT (Wellington) | 4,860,331 | 85,687,637 | |||
Strategic Equity Allocation, Series NAV, JHVIT (MIM US) (B) | 97,776,274 | 2,322,186,513 | |||
5,102,910,558 | |||||
Fixed income - 28.8% | |||||
Bond, Class NAV, JHSB (MIM US) (B) | 33,422,017 | 551,129,060 | |||
Core Bond, Series NAV, JHVIT (Wells Capital) | 13,793,187 | 192,001,163 | |||
Select Bond, Series NAV, JHVIT (MIM US) (B) | 97,943,062 | 1,414,297,819 | |||
2,157,428,042 | |||||
TOTAL AFFILIATED INVESTMENT COMPANIES (Cost $5,769,117,277) | $ | 7,260,338,600 | |||
UNAFFILIATED INVESTMENT COMPANIES - 2.1% | |||||
Equity - 2.1% | |||||
Fidelity 500 Index Fund | 720,089 | 107,718,168 | |||
Fidelity International Index Fund | 1,023,202 | 50,730,373 | |||
TOTAL UNAFFILIATED INVESTMENT COMPANIES (Cost $138,991,651) | $ | 158,448,541 | |||
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 0.1% | |||||
U.S. Government Agency - 0.1% | |||||
Federal Agricultural Mortgage Corp. 0.076%, (3 month LIBOR - 0.100%), 01/25/2022 (C) | $ | 7,500,000 | 7,499,328 | ||
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (Cost $7,500,357) | $ | 7,499,328 |
Shares or Principal Amount | Value | ||||
SHORT-TERM INVESTMENTS - 0.4% | |||||
Commercial paper - 0.2% | |||||
PSP Capital, Inc. 0.040%, 08/20/2021 * | $ | 3,100,000 | $ | 3,099,649 | |
Salt River Project Agricultural Improvement & Power District 0.070%, 08/17/2021 * | 2,000,000 | 1,999,755 | |||
The Toronto-Dominion Bank 0.030%, 08/02/2021 * | 1,500,000 | 1,499,876 | |||
Yale University 0.060%, 08/17/2021 * | 5,000,000 | 4,999,467 | |||
11,598,747 | |||||
U.S. Government Agency - 0.0% | |||||
Federal Home Loan Bank Discount Note 0.008%, 07/28/2021 * | 3,000,000 | 2,999,933 | |||
Short-term funds - 0.2% | |||||
State Street Institutional U.S. Government Money Market Fund, Premier Class, 0.0250% (D) | 12,557,809 | 12,557,809 | |||
TOTAL SHORT-TERM INVESTMENTS (Cost $27,157,004) | $ | 27,156,489 | |||
Total Investments (Managed Volatility Growth Portfolio) (Cost $5,942,766,289) - 99.6% | $ | 7,453,442,958 | |||
Other assets and liabilities, net - 0.4% | 32,238,840 | ||||
TOTAL NET ASSETS - 100.0% | $ | 7,485,681,798 |
Security Abbreviations and Legend | |
JHETF | John Hancock Exchange-Traded Fund Trust |
JHF II | John Hancock Funds II |
JHIT | John Hancock Investment Trust |
JHSB | John Hancock Sovereign Bond Fund |
JHVIT | John Hancock Variable Insurance Trust |
LIBOR | London Interbank Offered Rate |
(A) | The underlying portfolios' subadvisor is shown parenthetically. |
(B) | The subadvisor is an affiliate of the advisor. |
(C) | Variable rate obligation. The coupon rate shown represents the rate at period end. |
(D) | The rate shown is the annualized seven-day yield as of 6-30-21. |
* | 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) |
Euro Currency Futures | 272 | Long | Sep 2021 | $41,473,967 | $40,341,000 | $(1,132,967) |
Euro STOXX 50 Index Futures | 844 | Long | Sep 2021 | 41,249,163 | 40,586,353 | (662,810) |
FTSE 100 Index Futures | 135 | Long | Sep 2021 | 13,239,294 | 13,035,769 | (203,525) |
Japanese Yen Currency Futures | 193 | Long | Sep 2021 | 22,058,196 | 21,729,388 | (328,808) |
MSCI Emerging Markets Index Futures | 866 | Long | Sep 2021 | 59,460,054 | 59,095,840 | (364,214) |
Nikkei 225 Index Futures | 84 | Long | Sep 2021 | 21,905,953 | 21,745,713 | (160,240) |
Pound Sterling Currency Futures | 151 | Long | Sep 2021 | 13,390,729 | 13,028,469 | (362,260) |
Russell 2000 E-Mini Index Futures | 162 | Long | Sep 2021 | 18,879,520 | 18,693,180 | (186,340) |
S&P 500 Index E-Mini Futures | 1,184 | Long | Sep 2021 | 250,710,722 | 253,885,120 | 3,174,398 |
The accompanying notes are an integral part of the financial statements. | 6 |
FUTURES (continued)
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 2021 | $47,742,577 | $46,847,760 | $(894,817) |
$(1,121,583) |
Shares or Principal Amount | Value | ||||
AFFILIATED INVESTMENT COMPANIES (A) - 97.4% | |||||
Equity - 48.2% | |||||
Blue Chip Growth, Series NAV, JHVIT (T. Rowe Price) | 5,267,112 | $ | 238,442,180 | ||
Emerging Markets Equity, Class NAV, JHIT (MIM US) (B) | 11,185,768 | 175,840,280 | |||
Equity Income, Series NAV, JHVIT (T. Rowe Price) | 16,923,520 | 274,330,259 | |||
Fundamental Large Cap Core, Class NAV, JHIT (MIM US) (B) | 3,938,303 | 297,775,057 | |||
Mid Cap Stock, Series NAV, JHVIT (Wellington) | 2,032,674 | 58,744,292 | |||
Mid Value, Series NAV, JHVIT (T. Rowe Price) | 5,401,884 | 65,254,761 | |||
Multifactor Developed International ETF, JHETF (DFA) | 3,035,462 | 102,416,488 | |||
Multifactor Emerging Markets ETF, JHETF (DFA) | 2,376,571 | 75,302,603 | |||
Multifactor Mid Cap ETF, JHETF (DFA) | 1,871,244 | 97,005,289 | |||
Multifactor Small Cap ETF, JHETF (DFA) | 2,150,173 | 74,998,034 | |||
Small Cap Growth, Class NAV, JHF II (Redwood) | 1,237,518 | 32,967,468 | |||
Small Cap Value, Series NAV, JHVIT (Wellington) | 3,148,326 | 55,504,996 | |||
Strategic Equity Allocation, Series NAV, JHVIT (MIM US) (B) | 54,795,317 | 1,301,388,774 | |||
2,849,970,481 | |||||
Fixed income - 49.2% | |||||
Bond, Class NAV, JHSB (MIM US) (B) | 45,209,020 | 745,496,739 | |||
Core Bond, Series NAV, JHVIT (Wells Capital) | 18,623,008 | 259,232,272 | |||
Select Bond, Series NAV, JHVIT (MIM US) (B) | 131,758,119 | 1,902,587,232 | |||
2,907,316,243 | |||||
TOTAL AFFILIATED INVESTMENT COMPANIES (Cost $4,831,239,838) | $ | 5,757,286,724 | |||
UNAFFILIATED INVESTMENT COMPANIES - 1.7% | |||||
Equity - 1.7% | |||||
Fidelity 500 Index Fund | 656,357 | 98,184,423 | |||
TOTAL UNAFFILIATED INVESTMENT COMPANIES (Cost $81,975,623) | $ | 98,184,423 | |||
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 0.1% | |||||
U.S. Government Agency - 0.1% | |||||
Federal Agricultural Mortgage Corp. 0.076%, (3 month LIBOR - 0.100%), 01/25/2022 (C) | $ | 7,500,000 | 7,499,328 | ||
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (Cost $7,500,275) | $ | 7,499,328 |
Shares or Principal Amount | Value | ||||
SHORT-TERM INVESTMENTS - 0.4% | |||||
Commercial paper - 0.2% | |||||
Lime Funding LLC 0.140%, 07/08/2021 * | $ | 1,000,000 | $ | 999,982 | |
Salt River Project Agricultural Improvement & Power District | |||||
0.060%, 08/04/2021 * | 3,000,000 | 2,999,685 | |||
0.070%, 08/17/2021 * | 3,000,000 | 2,999,633 | |||
Swedbank 0.030%, 07/08/2021 * | 1,500,000 | 1,499,973 | |||
Yale University 0.060%, 08/17/2021 * | 2,000,000 | 1,999,787 | |||
10,499,060 | |||||
U.S. Government Agency - 0.1% | |||||
Federal Home Loan Bank Discount Note 0.008%, 07/28/2021 * | 4,000,000 | 3,999,910 | |||
Short-term funds - 0.1% | |||||
State Street Institutional U.S. Government Money Market Fund, Premier Class, 0.0250% (D) | 7,488,304 | 7,488,304 | |||
TOTAL SHORT-TERM INVESTMENTS (Cost $21,987,643) | $ | 21,987,274 | |||
Total Investments (Managed Volatility Balanced Portfolio) (Cost $4,942,703,379) - 99.6% | $ | 5,884,957,749 | |||
Other assets and liabilities, net - 0.4% | 22,318,360 | ||||
TOTAL NET ASSETS - 100.0% | $ | 5,907,276,109 |
Security Abbreviations and Legend | |
JHETF | John Hancock Exchange-Traded Fund Trust |
JHF II | John Hancock Funds II |
JHIT | John Hancock Investment Trust |
JHSB | John Hancock Sovereign Bond Fund |
JHVIT | John Hancock Variable Insurance Trust |
LIBOR | London Interbank Offered Rate |
(A) | The underlying portfolios' subadvisor is shown parenthetically. |
(B) | The subadvisor is an affiliate of the advisor. |
(C) | Variable rate obligation. The coupon rate shown represents the rate at period end. |
(D) | The rate shown is the annualized seven-day yield as of 6-30-21. |
* | 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. |
The accompanying notes are an integral part of the financial statements. | 7 |
Open contracts | Number of contracts | Position | Expiration date | Notional basis^ | Notional value^ | Unrealized appreciation (depreciation) |
Euro Currency Futures | 156 | Long | Sep 2021 | $23,711,013 | $23,136,750 | $(574,263) |
Euro STOXX 50 Index Futures | 478 | Long | Sep 2021 | 23,338,995 | 22,986,110 | (352,885) |
FTSE 100 Index Futures | 75 | Long | Sep 2021 | 7,337,416 | 7,242,094 | (95,322) |
Japanese Yen Currency Futures | 107 | Long | Sep 2021 | 12,217,544 | 12,046,863 | (170,681) |
MSCI Emerging Markets Index Futures | 457 | Long | Sep 2021 | 31,250,563 | 31,185,680 | (64,883) |
Nikkei 225 Index Futures | 46 | Long | Sep 2021 | 11,958,020 | 11,908,367 | (49,653) |
Pound Sterling Currency Futures | 84 | Long | Sep 2021 | 7,426,831 | 7,247,625 | (179,206) |
Russell 2000 E-Mini Index Futures | 93 | Long | Sep 2021 | 10,797,877 | 10,731,270 | (66,607) |
S&P 500 Index E-Mini Futures | 749 | Long | Sep 2021 | 158,428,871 | 160,608,070 | 2,179,199 |
S&P Mid 400 Index E-Mini Futures | 102 | Long | Sep 2021 | 27,842,645 | 27,462,480 | (380,165) |
$245,534 |
Shares or Principal Amount | Value | ||||
AFFILIATED INVESTMENT COMPANIES (A) - 97.4% | |||||
Equity - 38.1% | |||||
Blue Chip Growth, Series NAV, JHVIT (T. Rowe Price) | 1,295,222 | $ | 58,634,711 | ||
Emerging Markets Equity, Class NAV, JHIT (MIM US) (B) | 2,043,314 | 32,120,900 | |||
Equity Income, Series NAV, JHVIT (T. Rowe Price) | 4,354,808 | 70,591,438 | |||
Fundamental Large Cap Core, Class NAV, JHIT (MIM US) (B) | 944,862 | 71,440,979 | |||
Mid Cap Stock, Series NAV, JHVIT (Wellington) | 555,552 | 16,055,445 | |||
Mid Value, Series NAV, JHVIT (T. Rowe Price) | 1,361,962 | 16,452,507 | |||
Multifactor Developed International ETF, JHETF (DFA) | 445,412 | 15,028,201 | |||
Multifactor Emerging Markets ETF, JHETF (DFA) | 436,914 | 13,843,795 | |||
Multifactor Mid Cap ETF, JHETF (DFA) | 241,876 | 12,538,852 | |||
Multifactor Small Cap ETF, JHETF (DFA) | 293,689 | 10,243,872 | |||
Small Cap Growth, Class NAV, JHF II (Redwood) | 288,762 | 7,692,629 | |||
Small Cap Value, Series NAV, JHVIT (Wellington) | 655,356 | 11,553,931 | |||
Strategic Equity Allocation, Series NAV, JHVIT (MIM US) (B) | 12,739,862 | 302,571,734 | |||
638,768,994 | |||||
Fixed income - 59.3% | |||||
Bond, Class NAV, JHSB (MIM US) (B) | 15,439,348 | 254,594,851 | |||
Core Bond, Series NAV, JHVIT (Wells Capital) | 6,361,070 | 88,546,092 | |||
Select Bond, Series NAV, JHVIT (MIM US) (B) | 45,040,726 | 650,388,079 | |||
993,529,022 | |||||
TOTAL AFFILIATED INVESTMENT COMPANIES (Cost $1,409,216,463) | $ | 1,632,298,016 | |||
UNAFFILIATED INVESTMENT COMPANIES - 1.7% | |||||
Equity - 1.7% | |||||
Fidelity 500 Index Fund | 191,853 | 28,699,335 | |||
TOTAL UNAFFILIATED INVESTMENT COMPANIES (Cost $23,349,735) | $ | 28,699,335 |
Shares or Principal Amount | Value | ||||
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 0.2% | |||||
U.S. Government Agency - 0.2% | |||||
Federal Home Loan Bank 0.080%, (1 month LIBOR + 0.005%), 08/16/2021 (C) | $ | 3,000,000 | $ | 3,000,023 | |
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (Cost $3,000,450) | $ | 3,000,023 | |||
SHORT-TERM INVESTMENTS - 0.4% | |||||
Commercial paper - 0.2% | |||||
The University of Chicago 0.030%, 07/15/2021 * | 1,000,000 | 999,976 | |||
Yale University 0.060%, 08/17/2021 * | 1,900,000 | 1,899,797 | |||
2,899,773 | |||||
U.S. Government Agency - 0.1% | |||||
Federal Home Loan Bank Discount Note 0.008%, 07/28/2021 * | 1,000,000 | 999,978 | |||
Short-term funds - 0.1% | |||||
State Street Institutional U.S. Government Money Market Fund, Premier Class, 0.0250% (D) | 2,076,613 | 2,076,613 | |||
TOTAL SHORT-TERM INVESTMENTS (Cost $5,976,446) | $ | 5,976,364 | |||
Total Investments (Managed Volatility Moderate Portfolio) (Cost $1,441,543,094) - 99.7% | $ | 1,669,973,738 | |||
Other assets and liabilities, net - 0.3% | 5,431,084 | ||||
TOTAL NET ASSETS - 100.0% | $ | 1,675,404,822 |
Security Abbreviations and Legend | |
JHETF | John Hancock Exchange-Traded Fund Trust |
JHF II | John Hancock Funds II |
JHIT | John Hancock Investment Trust |
JHSB | John Hancock Sovereign Bond Fund |
JHVIT | John Hancock Variable Insurance Trust |
LIBOR | London Interbank Offered Rate |
(A) | The underlying portfolios' subadvisor is shown parenthetically. |
(B) | The subadvisor is an affiliate of the advisor. |
(C) | Variable rate obligation. The coupon rate shown represents the rate at period end. |
(D) | The rate shown is the annualized seven-day yield as of 6-30-21. |
The accompanying notes are an integral part of the financial statements. | 8 |
* | 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) |
Euro Currency Futures | 35 | Long | Sep 2021 | $5,317,022 | $5,190,938 | $(126,084) |
Euro STOXX 50 Index Futures | 107 | Long | Sep 2021 | 5,223,702 | 5,145,426 | (78,276) |
FTSE 100 Index Futures | 16 | Long | Sep 2021 | 1,564,574 | 1,544,980 | (19,594) |
Japanese Yen Currency Futures | 23 | Long | Sep 2021 | 2,625,601 | 2,589,513 | (36,088) |
MSCI Emerging Markets Index Futures | 91 | Long | Sep 2021 | 6,222,983 | 6,209,840 | (13,143) |
Nikkei 225 Index Futures | 10 | Long | Sep 2021 | 2,603,089 | 2,588,775 | (14,314) |
Pound Sterling Currency Futures | 18 | Long | Sep 2021 | 1,591,096 | 1,553,063 | (38,033) |
Russell 2000 E-Mini Index Futures | 20 | Long | Sep 2021 | 2,321,490 | 2,307,800 | (13,690) |
S&P 500 Index E-Mini Futures | 185 | Long | Sep 2021 | 39,123,359 | 39,669,550 | 546,191 |
S&P Mid 400 Index E-Mini Futures | 22 | Long | Sep 2021 | 6,001,211 | 5,923,280 | (77,931) |
$129,038 |
Shares or Principal Amount | Value | ||||
AFFILIATED INVESTMENT COMPANIES (A) - 98.5% | |||||
Equity - 19.1% | |||||
Blue Chip Growth, Series NAV, JHVIT (T. Rowe Price) | 407,069 | $ | 18,428,030 | ||
Emerging Markets Equity, Class NAV, JHIT (MIM US) (B) | 573,782 | 9,019,853 | |||
Equity Income, Series NAV, JHVIT (T. Rowe Price) | 1,373,589 | 22,265,886 | |||
Fundamental Large Cap Core, Class NAV, JHIT (MIM US) (B) | 267,972 | 20,261,392 | |||
Multifactor Developed International ETF, JHETF (DFA) | 12,290 | 414,665 | |||
Multifactor Emerging Markets ETF, JHETF (DFA) | 119,556 | 3,788,180 | |||
Multifactor Mid Cap ETF, JHETF (DFA) | 229,398 | 11,891,992 | |||
Multifactor Small Cap ETF, JHETF (DFA) | 260,033 | 9,069,951 | |||
Strategic Equity Allocation, Series NAV, JHVIT (MIM US) (B) | 3,546,254 | 84,223,534 | |||
179,363,483 | |||||
Fixed income - 79.4% | |||||
Bond, Class NAV, JHSB (MIM US) (B) | 11,604,800 | 191,363,149 | |||
Core Bond, Series NAV, JHVIT (Wells Capital) | 4,765,720 | 66,338,822 | |||
Select Bond, Series NAV, JHVIT (MIM US) (B) | 33,759,838 | 487,492,061 | |||
745,194,032 | |||||
TOTAL AFFILIATED INVESTMENT COMPANIES (Cost $835,868,200) | $ | 924,557,515 | |||
UNAFFILIATED INVESTMENT COMPANIES - 0.8% | |||||
Equity - 0.8% | |||||
Fidelity 500 Index Fund | 52,410 | 7,840,077 | |||
TOTAL UNAFFILIATED INVESTMENT COMPANIES (Cost $6,365,171) | $ | 7,840,077 |
Shares or Principal Amount | Value | ||||
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 0.2% | |||||
U.S. Government Agency - 0.2% | |||||
Federal Home Loan Bank 0.080%, (1 month LIBOR + 0.005%), 08/16/2021 (C) | $ | 2,000,000 | $ | 2,000,015 | |
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (Cost $2,000,300) | $ | 2,000,015 | |||
SHORT-TERM INVESTMENTS - 0.3% | |||||
Commercial paper - 0.2% | |||||
The University of California 0.040%, 08/17/2021 * | 2,000,000 | 1,999,862 | |||
Short-term funds - 0.1% | |||||
State Street Institutional U.S. Government Money Market Fund, Premier Class, 0.0250% (D) | 646,660 | 646,660 | |||
TOTAL SHORT-TERM INVESTMENTS (Cost $2,646,556) | $ | 2,646,522 | |||
Total Investments (Managed Volatility Conservative Portfolio) (Cost $846,880,227) - 99.8% | $ | 937,044,129 | |||
Other assets and liabilities, net - 0.2% | 2,001,687 | ||||
TOTAL NET ASSETS - 100.0% | $ | 939,045,816 |
Security Abbreviations and Legend | |
JHETF | John Hancock Exchange-Traded Fund Trust |
JHIT | John Hancock Investment Trust |
JHSB | John Hancock Sovereign Bond Fund |
JHVIT | John Hancock Variable Insurance Trust |
LIBOR | London Interbank Offered Rate |
(A) | The underlying portfolios' subadvisor is shown parenthetically. |
(B) | The subadvisor is an affiliate of the advisor. |
(C) | Variable rate obligation. The coupon rate shown represents the rate at period end. |
(D) | The rate shown is the annualized seven-day yield as of 6-30-21. |
* | 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. |
The accompanying notes are an integral part of the financial statements. | 9 |
Open contracts | Number of contracts | Position | Expiration date | Notional basis^ | Notional value^ | Unrealized appreciation (depreciation) |
Euro Currency Futures | 7 | Long | Sep 2021 | $1,057,494 | $1,038,188 | $(19,306) |
Euro STOXX 50 Index Futures | 23 | Long | Sep 2021 | 1,122,143 | 1,106,026 | (16,117) |
FTSE 100 Index Futures | 3 | Long | Sep 2021 | 292,676 | 289,684 | (2,992) |
Japanese Yen Currency Futures | 4 | Long | Sep 2021 | 456,391 | 450,350 | (6,041) |
MSCI Emerging Markets Index Futures | 20 | Long | Sep 2021 | 1,364,835 | 1,364,800 | (35) |
Nikkei 225 Index Futures | 2 | Long | Sep 2021 | 521,570 | 517,755 | (3,815) |
Pound Sterling Currency Futures | 3 | Long | Sep 2021 | 264,325 | 258,844 | (5,481) |
Russell 2000 E-Mini Index Futures | 4 | Long | Sep 2021 | 463,056 | 461,560 | (1,496) |
S&P 500 Index E-Mini Futures | 45 | Long | Sep 2021 | 9,508,701 | 9,649,350 | 140,649 |
S&P Mid 400 Index E-Mini Futures | 6 | Long | Sep 2021 | 1,628,630 | 1,615,440 | (13,190) |
$72,176 |
Subadvisors of Affiliated Underlying Funds | |
Dimensional Fund Advisors, LP | (DFA) |
Manulife Investment Management (US) LLC | (MIM US) |
Redwood Investments, LLC | (Redwood) |
T. Rowe Price Associates, Inc. | (T. Rowe Price) |
Wellington Management Company, LLP | (Wellington) |
Wells Capital Management, Incorporated | (Wells Capital) |
The accompanying notes are an integral part of the financial statements. | 10 |
Assets | Managed Volatility Growth Portfolio | Managed Volatility Balanced Portfolio | Managed Volatility Moderate Portfolio | Managed Volatility Conservative Portfolio |
Unaffiliated investments, at value | $193,104,358 | $127,671,025 | $37,675,722 | $12,486,614 |
Affiliated investments, at value | 7,260,338,600 | 5,757,286,724 | 1,632,298,016 | 924,557,515 |
Total investments, at value | 7,453,442,958 | 5,884,957,749 | 1,669,973,738 | 937,044,129 |
Foreign currency, at value | 6,755,973 | 4,214,721 | 871,729 | 216,102 |
Collateral held at broker for futures contracts | 27,250,000 | 19,000,000 | 4,720,000 | 1,870,000 |
Dividends and interest receivable | 1,517,073 | 1,936,820 | 655,322 | 488,126 |
Receivable for fund shares sold | — | — | 54,269 | 76,226 |
Receivable for investments sold | 3,447,272 | 3,902,835 | 185,960 | 1,286,187 |
Other assets | 155,384 | 122,309 | 37,366 | 23,304 |
Total assets | 7,492,568,660 | 5,914,134,434 | 1,676,498,384 | 941,004,074 |
Liabilities | ||||
Payable for futures variation margin | 700,909 | 351,364 | 66,019 | 10,769 |
Due to custodian | — | — | 377 | 1,400 |
Payable for investments purchased | 2,145,697 | 2,374,967 | 640,413 | 482,904 |
Payable for fund shares repurchased | 3,382,921 | 3,672,076 | 226,519 | 1,353,583 |
Payable to affiliates | ||||
Accounting and legal services fees | 318,932 | 244,459 | 69,444 | 39,365 |
Other liabilities and accrued expenses | 338,403 | 215,459 | 90,790 | 70,237 |
Total liabilities | 6,886,862 | 6,858,325 | 1,093,562 | 1,958,258 |
Net assets | $7,485,681,798 | $5,907,276,109 | $1,675,404,822 | $939,045,816 |
Net assets consist of | ||||
Paid-in capital | $6,413,997,532 | $5,187,311,827 | $1,498,043,287 | $882,571,276 |
Total distributable earnings (loss) | 1,071,684,266 | 719,964,282 | 177,361,535 | 56,474,540 |
Net assets | $7,485,681,798 | $5,907,276,109 | $1,675,404,822 | $939,045,816 |
Unaffiliated investments, at cost | $173,649,012 | $111,463,541 | $32,326,631 | $11,012,027 |
Affiliated investments, at cost | $5,769,117,277 | $4,831,239,838 | $1,409,216,463 | $835,868,200 |
Foreign currency, at cost | $6,857,541 | $4,293,980 | $888,247 | $220,216 |
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 | $610,677,356 | $490,694,493 | $204,385,677 | $153,048,281 |
Shares outstanding | 46,518,824 | 39,361,730 | 16,925,033 | 12,875,453 |
Net asset value, offering price and redemption price per share | $13.13 | $12.47 | $12.08 | $11.89 |
Series II | ||||
Net assets | $5,816,040,440 | $4,153,218,983 | $1,331,697,996 | $723,879,461 |
Shares outstanding | 445,331,544 | 336,054,443 | 111,297,861 | 61,479,026 |
Net asset value, offering price and redemption price per share | $13.06 | $12.36 | $11.97 | $11.77 |
Series NAV | ||||
Net assets | $1,058,964,002 | $1,263,362,633 | $139,321,149 | $62,118,074 |
Shares outstanding | 80,506,476 | 100,995,298 | 11,520,201 | 5,210,093 |
Net asset value, offering price and redemption price per share | $13.15 | $12.51 | $12.09 | $11.92 |
The accompanying notes are an integral part of the financial statements. | 11 |
Investment income | Managed Volatility Growth Portfolio | Managed Volatility Balanced Portfolio | Managed Volatility Moderate Portfolio | Managed Volatility Conservative Portfolio |
Dividends from affiliated investments | $14,393,030 | $14,358,684 | $4,369,989 | $3,125,595 |
Dividends from unaffiliated investments | 417,339 | 288,994 | 84,451 | 24,668 |
Interest | 21,283 | 16,097 | 5,245 | 3,003 |
Total investment income | 14,831,652 | 14,663,775 | 4,459,685 | 3,153,266 |
Expenses | ||||
Investment management fees | 6,709,799 | 5,109,185 | 1,377,771 | 801,023 |
Distribution and service fees | 7,445,664 | 5,364,931 | 1,733,897 | 974,505 |
Accounting and legal services fees | 485,741 | 387,013 | 109,903 | 62,127 |
Trustees' fees | 72,404 | 59,030 | 16,973 | 9,857 |
Custodian fees | 17,884 | 17,152 | 17,123 | 17,366 |
Printing and postage | 49,080 | 43,187 | 16,467 | 12,296 |
Professional fees | 81,751 | 70,578 | 30,866 | 24,401 |
Other | 111,306 | 86,537 | 28,622 | 16,760 |
Total expenses | 14,973,629 | 11,137,613 | 3,331,622 | 1,918,335 |
Less expense reductions | (3,918,950) | (2,953,122) | (804,587) | (467,295) |
Net expenses | 11,054,679 | 8,184,491 | 2,527,035 | 1,451,040 |
Net investment income | 3,776,973 | 6,479,284 | 1,932,650 | 1,702,226 |
Realized and unrealized gain (loss) | ||||
Net realized gain (loss) on | ||||
Unaffiliated investments and foreign currency transactions | 1,794,666 | 4,154,695 | 1,350,656 | 480,341 |
Affiliated investments | 218,483,476 | 146,707,680 | 39,784,589 | 16,050,741 |
Futures contracts | (5,362,767) | 35,465,633 | 11,704,921 | 3,772,483 |
214,915,375 | 186,328,008 | 52,840,166 | 20,303,565 | |
Change in net unrealized appreciation (depreciation) of | ||||
Unaffiliated investments and translation of assets and liabilities in foreign currencies | 12,930,991 | 6,883,854 | 2,010,134 | 456,350 |
Affiliated investments | 406,192,134 | 201,456,020 | 35,396,476 | (1,228,747) |
Futures contracts | (7,377,152) | (5,426,464) | (1,213,973) | (367,779) |
411,745,973 | 202,913,410 | 36,192,637 | (1,140,176) | |
Net realized and unrealized gain (loss) | 626,661,348 | 389,241,418 | 89,032,803 | 19,163,389 |
Increase in net assets from operations | $630,438,321 | $395,720,702 | $90,965,453 | $20,865,615 |
The accompanying notes are an integral part of the financial statements. | 12 |
Managed Volatility Growth Portfolio | Managed Volatility Balanced Portfolio | Managed Volatility Moderate Portfolio | ||||
Increase (decrease) in net assets | Six months ended 6-30-21 (unaudited) | Year ended 12-31-20 | Six months ended 6-30-21 (unaudited) | Year ended 12-31-20 | Six months ended 6-30-21 (unaudited) | Year ended 12-31-20 |
From operations | ||||||
Net investment income | $3,776,973 | $114,041,111 | $6,479,284 | $117,870,020 | $1,932,650 | $36,583,564 |
Net realized gain (loss) | 214,915,375 | (602,778,222) | 186,328,008 | (364,942,505) | 52,840,166 | (91,822,127) |
Change in net unrealized appreciation (depreciation) | 411,745,973 | 283,548,062 | 202,913,410 | 301,405,870 | 36,192,637 | 98,618,295 |
Increase (decrease) in net assets resulting from operations | 630,438,321 | (205,189,049) | 395,720,702 | 54,333,385 | 90,965,453 | 43,379,732 |
Distributions to shareholders | ||||||
From earnings | ||||||
Series I | — | (42,879,993) | — | (37,912,138) | — | (15,203,973) |
Series II | — | (458,312,536) | — | (321,920,292) | — | (97,917,019) |
Series NAV | — | (60,339,840) | — | (91,761,085) | — | (9,895,427) |
Total distributions | — | (561,532,369) | — | (451,593,515) | — | (123,016,419) |
From portfolio share transactions | ||||||
Portfolio share transactions | (694,848,759) | (592,255,161) | (491,259,876) | (373,811,019) | (141,499,602) | (117,606,330) |
Issued in reorganization | 348,985,371 | — | — | — | — | — |
Total from portfolio share transactions | (345,863,388) | (592,255,161) | (491,259,876) | (373,811,019) | (141,499,602) | (117,606,330) |
Total increase (decrease) | 284,574,933 | (1,358,976,579) | (95,539,174) | (771,071,149) | (50,534,149) | (197,243,017) |
Net assets | ||||||
Beginning of period | 7,201,106,865 | 8,560,083,444 | 6,002,815,283 | 6,773,886,432 | 1,725,938,971 | 1,923,181,988 |
End of period | $7,485,681,798 | $7,201,106,865 | $5,907,276,109 | $6,002,815,283 | $1,675,404,822 | $1,725,938,971 |
Managed Volatility Conservative Portfolio | ||
Increase (decrease) in net assets | Six months ended 6-30-21 (unaudited) | Year ended 12-31-20 |
From operations | ||
Net investment income | $1,702,226 | $24,959,928 |
Net realized gain (loss) | 20,303,565 | (46,843,130) |
Change in net unrealized appreciation (depreciation) | (1,140,176) | 51,671,293 |
Increase (decrease) in net assets resulting from operations | 20,865,615 | 29,788,091 |
Distributions to shareholders | ||
From earnings | ||
Series I | — | (6,678,632) |
Series II | — | (33,603,380) |
Series NAV | — | (2,588,280) |
Total distributions | — | (42,870,292) |
From portfolio share transactions | ||
Portfolio share transactions | (88,134,134) | (90,955,045) |
Issued in reorganization | — | — |
Total from portfolio share transactions | (88,134,134) | (90,955,045) |
Total increase (decrease) | (67,268,519) | (104,037,246) |
Net assets | ||
Beginning of period | 1,006,314,335 | 1,110,351,581 |
End of period | $939,045,816 | $1,006,314,335 |
The accompanying notes are an integral part of the financial statements. | 13 |
Per share operating performance for a share outstanding throughout each period | Ratios and supplemental data | |||||||||||||||||
Income (loss) from investment operations | Less distributions | Ratios to average net assets | ||||||||||||||||
Period ended | Net asset value, beginning of period ($) | Net investment income (loss) ($)1, 2 | Net realized and unrealized gain (loss) on investments ($) | Total from investment operations ($) | From net investment income ($) | From net realized gain ($) | Total distributions ($) | Net asset value, end of period ($) | Total return (%)3 | Expenses before reductions (%)4 | Expenses including reductions (%)4 | Net investment income (loss) (%)2 | Net assets, end of period (in millions) | Portfolio turnover (%) | ||||
Managed Volatility Growth Portfolio | ||||||||||||||||||
Series I | ||||||||||||||||||
06-30-20215 | 12.03 | 0.02 | 1.08 | 1.10 | — | — | — | 13.13 | 9.146 | 0.267 | 0.157 | 0.277 | 611 | 58 | ||||
12-31-2020 | 13.28 | 0.21 | (0.46) | (0.25) | (0.24) | (0.76) | (1.00) | 12.03 | (1.42) | 0.28 | 0.15 | 1.75 | 545 | 13 | ||||
12-31-2019 | 12.20 | 0.24 | 2.06 | 2.30 | (0.21) | (1.01) | (1.22) | 13.28 | 19.56 | 0.27 | 0.13 | 1.85 | 627 | 8 | ||||
12-31-2018 | 14.55 | 0.24 | (1.08) | (0.84) | (0.23) | (1.28) | (1.51) | 12.20 | (6.54) | 0.15 | 0.10 | 1.67 | 591 | 37 | ||||
12-31-2017 | 12.99 | 0.23 | 2.14 | 2.37 | (0.24) | (0.57) | (0.81) | 14.55 | 18.59 | 0.13 | 0.09 | 1.67 | 709 | 9 | ||||
12-31-2016 | 13.17 | 0.22 | 0.23 | 0.45 | (0.23) | (0.40) | (0.63) | 12.99 | 3.34 | 0.12 | 0.10 | 1.72 | 676 | 26 | ||||
Series II | ||||||||||||||||||
06-30-20215 | 11.98 | —9 | 1.08 | 1.08 | — | — | — | 13.06 | 9.026 | 0.467 | 0.357 | 0.057 | 5,816 | 58 | ||||
12-31-2020 | 13.23 | 0.18 | (0.46) | (0.28) | (0.21) | (0.76) | (0.97) | 11.98 | (1.60) | 0.48 | 0.35 | 1.53 | 5,886 | 13 | ||||
12-31-2019 | 12.16 | 0.21 | 2.06 | 2.27 | (0.19) | (1.01) | (1.20) | 13.23 | 19.32 | 0.47 | 0.33 | 1.64 | 7,116 | 8 | ||||
12-31-2018 | 14.51 | 0.21 | (1.07) | (0.86) | (0.21) | (1.28) | (1.49) | 12.16 | (6.70) | 0.35 | 0.30 | 1.45 | 6,931 | 37 | ||||
12-31-2017 | 12.95 | 0.20 | 2.14 | 2.34 | (0.21) | (0.57) | (0.78) | 14.51 | 18.35 | 0.33 | 0.29 | 1.46 | 8,532 | 9 | ||||
12-31-2016 | 13.14 | 0.19 | 0.22 | 0.41 | (0.20) | (0.40) | (0.60) | 12.95 | 3.15 | 0.32 | 0.30 | 1.49 | 8,177 | 26 | ||||
Series NAV | ||||||||||||||||||
06-30-20215 | 12.05 | 0.02 | 1.08 | 1.10 | — | — | — | 13.15 | 9.136 | 0.217 | 0.107 | 0.347 | 1,059 | 58 | ||||
12-31-2020 | 13.30 | 0.22 | (0.47) | (0.25) | (0.24) | (0.76) | (1.00) | 12.05 | (1.37) | 0.23 | 0.10 | 1.85 | 769 | 13 | ||||
12-31-2019 | 12.21 | 0.26 | 2.06 | 2.32 | (0.22) | (1.01) | (1.23) | 13.30 | 19.68 | 0.22 | 0.08 | 1.95 | 817 | 8 | ||||
12-31-2018 | 14.57 | 0.25 | (1.09) | (0.84) | (0.24) | (1.28) | (1.52) | 12.21 | (6.55) | 0.10 | 0.05 | 1.76 | 703 | 37 | ||||
12-31-2017 | 13.00 | 0.25 | 2.14 | 2.39 | (0.25) | (0.57) | (0.82) | 14.57 | 18.71 | 0.08 | 0.04 | 1.77 | 778 | 9 | ||||
12-31-2016 | 13.19 | 0.24 | 0.21 | 0.45 | (0.24) | (0.40) | (0.64) | 13.00 | 3.38 | 0.07 | 0.05 | 1.81 | 677 | 26 | ||||
1. Based on average daily shares outstanding. 2. Net investment income is affected by the timing and frequency of the declaration of dividends by the underlying funds in which the portfolio invests. 3. Total returns exclude insurance-related fees and expenses and would have been lower had certain expenses not been reduced during the applicable periods. 4. Ratios do not include expenses indirectly incurred from underlying funds and can vary based on the mix of underlying funds held by the portfolio. 5. Six months ended 6-30-21. Unaudited. 6. Not annualized. 7. Annualized. 8. Excludes merger activity. 9. Less than $0.005 per share. | ||||||||||||||||||
Managed Volatility Balanced Portfolio | ||||||||||||||||||
Series I | ||||||||||||||||||
06-30-20215 | 11.66 | 0.02 | 0.79 | 0.81 | — | — | — | 12.47 | 6.956 | 0.257 | 0.157 | 0.357 | 491 | 4 | ||||
12-31-2020 | 12.41 | 0.25 | (0.07) | 0.18 | (0.27) | (0.66) | (0.93) | 11.66 | 1.81 | 0.26 | 0.15 | 2.11 | 498 | 12 | ||||
12-31-2019 | 11.23 | 0.25 | 1.73 | 1.98 | (0.23) | (0.57) | (0.80) | 12.41 | 17.92 | 0.26 | 0.13 | 2.07 | 556 | 8 | ||||
12-31-2018 | 12.96 | 0.25 | (0.82) | (0.57) | (0.25) | (0.91) | (1.16) | 11.23 | (4.89) | 0.15 | 0.10 | 1.95 | 531 | 36 | ||||
12-31-2017 | 12.05 | 0.24 | 1.44 | 1.68 | (0.25) | (0.52) | (0.77) | 12.96 | 14.13 | 0.13 | 0.09 | 1.91 | 642 | 7 | ||||
12-31-2016 | 12.24 | 0.24 | 0.35 | 0.59 | (0.25) | (0.53) | (0.78) | 12.05 | 4.79 | 0.12 | 0.09 | 1.97 | 629 | 17 | ||||
Series II | ||||||||||||||||||
06-30-20215 | 11.57 | 0.01 | 0.78 | 0.79 | — | — | — | 12.36 | 6.836 | 0.457 | 0.357 | 0.157 | 4,153 | 4 | ||||
12-31-2020 | 12.33 | 0.22 | (0.08) | 0.14 | (0.24) | (0.66) | (0.90) | 11.57 | 1.55 | 0.46 | 0.35 | 1.89 | 4,288 | 12 | ||||
12-31-2019 | 11.16 | 0.22 | 1.72 | 1.94 | (0.20) | (0.57) | (0.77) | 12.33 | 17.73 | 0.46 | 0.33 | 1.86 | 4,957 | 8 | ||||
12-31-2018 | 12.89 | 0.22 | (0.82) | (0.60) | (0.22) | (0.91) | (1.13) | 11.16 | (5.04) | 0.35 | 0.30 | 1.73 | 4,900 | 36 | ||||
12-31-2017 | 11.99 | 0.21 | 1.43 | 1.64 | (0.22) | (0.52) | (0.74) | 12.89 | 13.82 | 0.33 | 0.29 | 1.68 | 5,985 | 7 | ||||
12-31-2016 | 12.18 | 0.21 | 0.35 | 0.56 | (0.22) | (0.53) | (0.75) | 11.99 | 4.61 | 0.32 | 0.29 | 1.75 | 6,054 | 17 | ||||
Series NAV | ||||||||||||||||||
06-30-20215 | 11.69 | 0.02 | 0.80 | 0.82 | — | — | — | 12.51 | 7.016 | 0.207 | 0.107 | 0.407 | 1,263 | 4 | ||||
12-31-2020 | 12.45 | 0.26 | (0.09) | 0.17 | (0.27) | (0.66) | (0.93) | 11.69 | 1.77 | 0.21 | 0.10 | 2.20 | 1,217 | 12 | ||||
12-31-2019 | 11.26 | 0.26 | 1.73 | 1.99 | (0.23) | (0.57) | (0.80) | 12.45 | 18.02 | 0.21 | 0.08 | 2.16 | 1,261 | 8 | ||||
12-31-2018 | 12.99 | 0.26 | (0.83) | (0.57) | (0.25) | (0.91) | (1.16) | 11.26 | (4.82) | 0.10 | 0.05 | 2.04 | 1,133 | 36 | ||||
12-31-2017 | 12.08 | 0.25 | 1.44 | 1.69 | (0.26) | (0.52) | (0.78) | 12.99 | 14.15 | 0.08 | 0.04 | 1.99 | 1,272 | 7 | ||||
12-31-2016 | 12.26 | 0.25 | 0.35 | 0.60 | (0.25) | (0.53) | (0.78) | 12.08 | 4.92 | 0.07 | 0.04 | 2.06 | 1,183 | 17 | ||||
1. Based on average daily shares outstanding. 2. Net investment income is affected by the timing and frequency of the declaration of dividends by the underlying funds in which the portfolio invests. 3. Total returns exclude insurance-related fees and expenses and would have been lower had certain expenses not been reduced during the applicable periods. 4. Ratios do not include expenses indirectly incurred from underlying funds and can vary based on the mix of underlying funds held by the portfolio. 5. Six months ended 6-30-21. Unaudited. 6. Not annualized. 7. Annualized. |
The accompanying notes are an integral part of the financial statements. | 14 |
Per share operating performance for a share outstanding throughout each 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) ($)1, 2 | Net realized and unrealized gain (loss) on investments ($) | Total from investment operations ($) | From net investment income ($) | From net realized gain ($) | Total distributions ($) | Net asset value, end of period ($) | Total return (%)3 | Expenses before reductions (%)4 | Expenses including reductions (%)4 | Net investment income (loss) (%)2 | Net assets, end of period (in millions) | Portfolio turnover (%) | ||||
Managed Volatility Moderate Portfolio | ||||||||||||||||||
Series I | ||||||||||||||||||
06-30-20215 | 11.44 | 0.02 | 0.62 | 0.64 | — | — | — | 12.08 | 5.596 | 0.247 | 0.147 | 0.397 | 204 | 4 | ||||
12-31-2020 | 11.94 | 0.26 | 0.10 | 0.36 | (0.28) | (0.58) | (0.86) | 11.44 | 3.31 | 0.25 | 0.14 | 2.29 | 208 | 11 | ||||
12-31-2019 | 10.84 | 0.26 | 1.53 | 1.79 | (0.24) | (0.45) | (0.69) | 11.94 | 16.72 | 0.25 | 0.13 | 2.18 | 234 | 8 | ||||
12-31-2018 | 12.33 | 0.26 | (0.71) | (0.45) | (0.26) | (0.78) | (1.04) | 10.84 | (3.99) | 0.14 | 0.09 | 2.12 | 230 | 35 | ||||
12-31-2017 | 11.65 | 0.25 | 1.12 | 1.37 | (0.26) | (0.43) | (0.69) | 12.33 | 11.88 | 0.13 | 0.09 | 2.05 | 266 | 9 | ||||
12-31-2016 | 11.72 | 0.25 | 0.38 | 0.63 | (0.25) | (0.45) | (0.70) | 11.65 | 5.29 | 0.12 | 0.09 | 2.07 | 259 | 13 | ||||
Series II | ||||||||||||||||||
06-30-20215 | 11.34 | 0.01 | 0.62 | 0.63 | — | — | — | 11.97 | 5.566 | 0.447 | 0.347 | 0.187 | 1,332 | 4 | ||||
12-31-2020 | 11.85 | 0.23 | 0.10 | 0.33 | (0.26) | (0.58) | (0.84) | 11.34 | 3.05 | 0.45 | 0.34 | 2.06 | 1,379 | 11 | ||||
12-31-2019 | 10.77 | 0.23 | 1.52 | 1.75 | (0.22) | (0.45) | (0.67) | 11.85 | 16.43 | 0.45 | 0.33 | 1.97 | 1,552 | 8 | ||||
12-31-2018 | 12.25 | 0.23 | (0.69) | (0.46) | (0.24) | (0.78) | (1.02) | 10.77 | (4.12) | 0.34 | 0.29 | 1.89 | 1,557 | 35 | ||||
12-31-2017 | 11.58 | 0.22 | 1.11 | 1.33 | (0.23) | (0.43) | (0.66) | 12.25 | 11.65 | 0.33 | 0.29 | 1.80 | 1,891 | 9 | ||||
12-31-2016 | 11.65 | 0.22 | 0.38 | 0.60 | (0.22) | (0.45) | (0.67) | 11.58 | 5.12 | 0.32 | 0.29 | 1.83 | 1,966 | 13 | ||||
Series NAV | ||||||||||||||||||
06-30-20215 | 11.45 | 0.03 | 0.61 | 0.64 | — | — | — | 12.09 | 5.596 | 0.197 | 0.097 | 0.447 | 139 | 4 | ||||
12-31-2020 | 11.96 | 0.27 | 0.08 | 0.35 | (0.28) | (0.58) | (0.86) | 11.45 | 3.27 | 0.20 | 0.09 | 2.38 | 139 | 11 | ||||
12-31-2019 | 10.85 | 0.27 | 1.54 | 1.81 | (0.25) | (0.45) | (0.70) | 11.96 | 16.85 | 0.20 | 0.08 | 2.29 | 137 | 8 | ||||
12-31-2018 | 12.34 | 0.26 | (0.70) | (0.44) | (0.27) | (0.78) | (1.05) | 10.85 | (3.94) | 0.09 | 0.04 | 2.15 | 119 | 35 | ||||
12-31-2017 | 11.65 | 0.26 | 1.12 | 1.38 | (0.26) | (0.43) | (0.69) | 12.34 | 12.02 | 0.08 | 0.04 | 2.11 | 134 | 9 | ||||
12-31-2016 | 11.73 | 0.26 | 0.36 | 0.62 | (0.25) | (0.45) | (0.70) | 11.65 | 5.25 | 0.07 | 0.04 | 2.15 | 116 | 13 | ||||
1. Based on average daily shares outstanding. 2. Net investment income is affected by the timing and frequency of the declaration of dividends by the underlying funds in which the portfolio invests. 3. Total returns exclude insurance-related fees and expenses and would have been lower had certain expenses not been reduced during the applicable periods. 4. Ratios do not include expenses indirectly incurred from underlying funds and can vary based on the mix of underlying funds held by the portfolio. 5. Six months ended 6-30-21. Unaudited. 6. Not annualized. 7. Annualized. | ||||||||||||||||||
Managed Volatility Conservative Portfolio | ||||||||||||||||||
Series I | ||||||||||||||||||
06-30-20215 | 11.62 | 0.03 | 0.24 | 0.27 | — | — | — | 11.89 | 2.326 | 0.257 | 0.157 | 0.517 | 153 | 2 | ||||
12-31-2020 | 11.75 | 0.30 | 0.09 | 0.39 | (0.33) | (0.19) | (0.52) | 11.62 | 3.39 | 0.26 | 0.14 | 2.57 | 154 | 10 | ||||
12-31-2019 | 10.61 | 0.29 | 1.13 | 1.42 | (0.26) | (0.02) | (0.28) | 11.75 | 13.38 | 0.25 | 0.14 | 2.50 | 166 | 8 | ||||
12-31-2018 | 11.48 | 0.27 | (0.51) | (0.24) | (0.28) | (0.35) | (0.63) | 10.61 | (2.18) | 0.15 | 0.09 | 2.43 | 155 | 34 | ||||
12-31-2017 | 11.12 | 0.26 | 0.60 | 0.86 | (0.27) | (0.23) | (0.50) | 11.48 | 7.82 | 0.13 | 0.08 | 2.26 | 177 | 8 | ||||
12-31-2016 | 11.14 | 0.27 | 0.24 | 0.51 | (0.27) | (0.26) | (0.53) | 11.12 | 4.58 | 0.12 | 0.09 | 2.38 | 188 | 11 | ||||
Series II | ||||||||||||||||||
06-30-20215 | 11.52 | 0.02 | 0.23 | 0.25 | — | — | — | 11.77 | 2.176 | 0.457 | 0.357 | 0.317 | 724 | 2 | ||||
12-31-2020 | 11.66 | 0.27 | 0.09 | 0.36 | (0.31) | (0.19) | (0.50) | 11.52 | 3.13 | 0.46 | 0.34 | 2.36 | 794 | 10 | ||||
12-31-2019 | 10.53 | 0.25 | 1.14 | 1.39 | (0.24) | (0.02) | (0.26) | 11.66 | 13.18 | 0.45 | 0.34 | 2.23 | 888 | 8 | ||||
12-31-2018 | 11.40 | 0.25 | (0.52) | (0.27) | (0.25) | (0.35) | (0.60) | 10.53 | (2.39) | 0.35 | 0.29 | 2.19 | 908 | 34 | ||||
12-31-2017 | 11.04 | 0.23 | 0.61 | 0.84 | (0.25) | (0.23) | (0.48) | 11.40 | 7.67 | 0.33 | 0.28 | 2.03 | 1,112 | 8 | ||||
12-31-2016 | 11.07 | 0.24 | 0.24 | 0.48 | (0.25) | (0.26) | (0.51) | 11.04 | 4.31 | 0.32 | 0.29 | 2.10 | 1,236 | 11 | ||||
Series NAV | ||||||||||||||||||
06-30-20215 | 11.65 | 0.03 | 0.24 | 0.27 | — | — | — | 11.92 | 2.326 | 0.207 | 0.107 | 0.567 | 62 | 2 | ||||
12-31-2020 | 11.78 | 0.31 | 0.09 | 0.40 | (0.34) | (0.19) | (0.53) | 11.65 | 3.43 | 0.21 | 0.09 | 2.71 | 59 | 10 | ||||
12-31-2019 | 10.64 | 0.29 | 1.14 | 1.43 | (0.27) | (0.02) | (0.29) | 11.78 | 13.50 | 0.20 | 0.09 | 2.55 | 56 | 8 | ||||
12-31-2018 | 11.51 | 0.27 | (0.51) | (0.24) | (0.28) | (0.35) | (0.63) | 10.64 | (2.21) | 0.10 | 0.04 | 2.42 | 51 | 34 | ||||
12-31-2017 | 11.14 | 0.32 | 0.56 | 0.88 | (0.28) | (0.23) | (0.51) | 11.51 | 7.94 | 0.08 | 0.03 | 2.73 | 64 | 8 | ||||
12-31-2016 | 11.17 | 0.28 | 0.23 | 0.51 | (0.28) | (0.26) | (0.54) | 11.14 | 4.53 | 0.07 | 0.04 | 2.42 | 50 | 11 | ||||
1. Based on average daily shares outstanding. 2. Net investment income is affected by the timing and frequency of the declaration of dividends by the underlying funds in which the portfolio invests. 3. Total returns exclude insurance-related fees and expenses and would have been lower had certain expenses not been reduced during the applicable periods. 4. Ratios do not include expenses indirectly incurred from underlying funds and can vary based on the mix of underlying funds held by the portfolio. 5. Six months ended 6-30-21. Unaudited. 6. Not annualized. 7. Annualized. |
The accompanying notes are an integral part of the financial statements. | 15 |
The portfolios use a three-tier hierarchy to prioritize the pricing assumptions, referred to as inputs, used in valuation techniques to measure fair value. Level 1 includes securities valued using quoted prices in active markets for identical securities, including registered investment companies. Level 2 includes securities valued using other significant observable inputs. Observable inputs may include quoted prices for similar securities, interest rates, prepayment speeds and credit risk. Prices for securities valued using these inputs are received from independent pricing vendors and brokers and are based on an evaluation of the inputs described. Level 3 includes securities valued using significant unobservable inputs when market prices are not readily available or reliable, including the portfolios' own assumptions in determining the fair value of investments. Factors used in determining value may include market or issuer specific events or trends, changes in interest rates and credit quality. The inputs or methodology used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. Changes in valuation techniques and related inputs may result in transfers into or out of an assigned level within the disclosure hierarchy.
Total value at 6-30-21 | Level 1 quoted price | Level 2 significant observable inputs | Level 3 significant unobservable inputs | |
Managed Volatility Growth Portfolio | ||||
Investments in securities: | ||||
Assets | ||||
Affiliated investment companies | $7,260,338,600 | $7,260,338,600 | — | — |
Unaffiliated investment companies | 158,448,541 | 158,448,541 | — | — |
U.S. Government and Agency obligations | 7,499,328 | — | $7,499,328 | — |
Short-term investments | 27,156,489 | 12,557,809 | 14,598,680 | — |
Total investments in securities | $7,453,442,958 | $7,431,344,950 | $22,098,008 | — |
Derivatives: | ||||
Assets | ||||
Futures | $3,174,398 | $3,174,398 | — | — |
Liabilities | ||||
Futures | (4,295,981) | (4,295,981) | — | — |
Managed Volatility Balanced Portfolio | ||||
Investments in securities: | ||||
Assets | ||||
Affiliated investment companies | $5,757,286,724 | $5,757,286,724 | — | — |
Unaffiliated investment companies | 98,184,423 | 98,184,423 | — | — |
U.S. Government and Agency obligations | 7,499,328 | — | $7,499,328 | — |
Short-term investments | 21,987,274 | 7,488,304 | 14,498,970 | — |
Total investments in securities | $5,884,957,749 | $5,862,959,451 | $21,998,298 | — |
Derivatives: | ||||
Assets | ||||
Futures | $2,179,199 | $2,179,199 | — | — |
Liabilities | ||||
Futures | (1,933,665) | (1,933,665) | — | — |
Managed Volatility Moderate Portfolio | ||||
Investments in securities: | ||||
Assets | ||||
Affiliated investment companies | $1,632,298,016 | $1,632,298,016 | — | — |
Unaffiliated investment companies | 28,699,335 | 28,699,335 | — | — |
U.S. Government and Agency obligations | 3,000,023 | — | $3,000,023 | — |
Short-term investments | 5,976,364 | 2,076,613 | 3,899,751 | — |
Total investments in securities | $1,669,973,738 | $1,663,073,964 | $6,899,774 | — |
Derivatives: | ||||
Assets | ||||
Futures | $546,191 | $546,191 | — | — |
Liabilities | ||||
Futures | (417,153) | (417,153) | — | — |
Total value at 6-30-21 | Level 1 quoted price | Level 2 significant observable inputs | Level 3 significant unobservable inputs | |
Managed Volatility Conservative Portfolio | ||||
Investments in securities: | ||||
Assets | ||||
Affiliated investment companies | $924,557,515 | $924,557,515 | — | — |
Unaffiliated investment companies | 7,840,077 | 7,840,077 | — | — |
U.S. Government and Agency obligations | 2,000,015 | — | $2,000,015 | — |
Short-term investments | 2,646,522 | 646,660 | 1,999,862 | — |
Total investments in securities | $937,044,129 | $933,044,252 | $3,999,877 | — |
Derivatives: | ||||
Assets | ||||
Futures | $140,649 | $140,649 | — | — |
Liabilities | ||||
Futures | (68,473) | (68,473) | — | — |
Portfolio | Commitment fee |
Managed Volatility Growth Portfolio | $22,179 |
Managed Volatility Balanced Portfolio | 18,491 |
Managed Volatility Moderate Portfolio | 7,328 |
Managed Volatility Conservative Portfolio | 5,422 |
Federal income taxes. Each portfolio intends to continue to qualify as a regulated investment company by complying with the applicable provisions of the Internal Revenue Code and will not be subject to federal income tax on taxable income that is distributed to shareholders. Therefore, no federal income tax provision is required.
No Expiration Date | ||
Portfolio | Short Term | Long Term |
Managed Volatility Growth Portfolio | $439,194,280 | $125,903,723 |
Managed Volatility Balanced Portfolio | 260,787,255 | 76,673,901 |
Managed Volatility Moderate Portfolio | 60,373,826 | 21,740,924 |
Managed Volatility Conservative Portfolio | 29,053,111 | 16,205,216 |
Portfolio | Aggregate cost | Unrealized appreciation | Unrealized (depreciation) | Net unrealized appreciation/ (depreciation) |
Managed Volatility Growth Portfolio | $6,042,853,949 | $1,410,590,554 | $(1,123,128) | $1,409,467,426 |
Managed Volatility Balanced Portfolio | 5,027,189,567 | 858,015,042 | (1,326) | 858,013,716 |
Managed Volatility Moderate Portfolio | 1,467,324,720 | 202,778,566 | (510) | 202,778,056 |
Managed Volatility Conservative Portfolio | 858,888,584 | 78,228,039 | (318) | 78,227,721 |
Portfolio | Reason | USD Notional range |
Managed Volatility Growth Portfolio | To manage volatility of returns and gain exposure to foreign currencies. | $86.2 million to $529.0 million |
Managed Volatility Balanced Portfolio | To manage volatility of returns and gain exposure to foreign currencies. | $314.6 million to $349.1 million |
Managed Volatility Moderate Portfolio | To manage volatility of returns and gain exposure to foreign currencies. | $72.7 million to $101.0 million |
Managed Volatility Conservative Portfolio | To manage volatility of returns and gain exposure to foreign currencies. | $16.8 million to $28.2 million |
Portfolio | Risk | Statements of assets and liabilities location | Financial instruments location | Assets derivatives fair value | Liabilities derivatives fair value |
Managed Volatility Growth Portfolio | Currency | Receivable/payable for futures variation margin1 | Futures | — | $(1,824,035) |
Equity | Receivable/payable for futures variation margin1 | Futures | $3,174,398 | (2,471,946) | |
$3,174,398 | $(4,295,981) | ||||
Managed Volatility Balanced Portfolio | Currency | Receivable/payable for futures variation margin1 | Futures | — | $(924,150) |
Equity | Receivable/payable for futures variation margin1 | Futures | $2,179,199 | (1,009,515) | |
$2,179,199 | $(1,933,665) | ||||
Managed Volatility Moderate Portfolio | Currency | Receivable/payable for futures variation margin1 | Futures | — | $(200,205) |
Equity | Receivable/payable for futures variation margin1 | Futures | $546,191 | (216,948) | |
$546,191 | $(417,153) | ||||
Managed Volatility Conservative Portfolio | Currency | Receivable/payable for futures variation margin1 | Futures | — | $(30,828) |
Equity | Receivable/payable for futures variation margin1 | Futures | $140,649 | (37,645) | |
$140,649 | $(68,473) |
1 | Reflects cumulative appreciation/depreciation on open futures as disclosed in the Derivatives section of the Portfolios of investments. Only the period end variation margin receivable/payable is separately reported on the Statements of assets and liabilities. |
Statements of operations location - Net realized gain (loss) on: | ||
Portfolio | Risk | Futures contracts |
Managed Volatility Growth Portfolio | Currency | $1,299,489 |
Equity | (6,662,256) | |
Total | $(5,362,767) | |
Managed Volatility Balanced Portfolio | Currency | $548,177 |
Equity | 34,917,456 | |
Total | $35,465,633 | |
Managed Volatility Moderate Portfolio | Currency | $(96,192) |
Equity | 11,801,113 | |
Total | $11,704,921 | |
Managed Volatility Conservative Portfolio | Currency | $(41,877) |
Equity | 3,814,360 | |
Total | $3,772,483 |
Statements of operations location - Change in net unrealized appreciation (depreciation) of: | ||
Portfolio | Risk | Futures contracts |
Managed Volatility Growth Portfolio | Currency | $(2,031,813) |
Equity | (5,345,339) | |
Total | $(7,377,152) |
Statements of operations location - Change in net unrealized appreciation (depreciation) of: | ||
Portfolio | Risk | Futures contracts |
Managed Volatility Balanced Portfolio | Currency | $(1,400,428) |
Equity | (4,026,036) | |
Total | $(5,426,464) | |
Managed Volatility Moderate Portfolio | Currency | $(299,653) |
Equity | (914,320) | |
Total | $(1,213,973) | |
Managed Volatility Conservative Portfolio | Currency | $(56,330) |
Equity | (311,449) | |
Total | $(367,779) |
First $7.5 billion of aggregate net assets | Excess over $7.5 billion of aggregate net assets | |
Affiliated Funds Assets | 0.050% | 0.040% |
Other assets | 0.500% | 0.490% |
Expense reimbursement by class | ||||
Portfolio | Series I | Series II | Series NAV | Total |
Managed Volatility Growth Portfolio | $304,013 | $3,148,519 | $466,418 | $3,918,950 |
Managed Volatility Balanced Portfolio | 244,180 | 2,095,252 | 613,690 | 2,953,122 |
Managed Volatility Moderate Portfolio | 97,302 | 642,657 | 64,628 | 804,587 |
Managed Volatility Conservative Portfolio | 73,125 | 364,908 | 29,262 | 467,295 |
Portfolio | Net Annual Effective Rate |
Managed Volatility Growth Portfolio | 0.08% |
Managed Volatility Balanced Portfolio | 0.07% |
Managed Volatility Moderate Portfolio | 0.07% |
Managed Volatility Conservative Portfolio | 0.07% |
Class | Rule 12b-1 Fee |
Series I | 0.15% |
Series II | 0.35% |
Distribution and service fees by class | |||
Portfolio | Series l | Series ll | Total |
Managed Volatility Growth Portfolio | $141,847 | $7,303,817 | $7,445,664 |
Managed Volatility Balanced Portfolio | 122,304 | 5,242,627 | 5,364,931 |
Managed Volatility Moderate Portfolio | 50,987 | 1,682,910 | 1,733,897 |
Managed Volatility Conservative Portfolio | 37,664 | 936,841 | 974,505 |
Managed Volatility Growth Portfolio | Six Months Ended 6-30-21 | Year Ended 12-31-20 | ||
Shares | Amount | Shares | Amount | |
Series I shares | ||||
Sold | 805,880 | $10,361,618 | 751,837 | $9,112,977 |
Issued in reorganization (Note 9) | 3,852,981 | 49,740,247 | — | — |
Distributions reinvested | — | — | 3,737,245 | 42,879,993 |
Repurchased | (3,486,466) | (43,858,290) | (6,364,253) | (76,880,544) |
Net increase (decrease) | 1,172,395 | $16,243,575 | (1,875,171) | $(24,887,574) |
Series II shares | ||||
Sold | — | — | 280,592 | $3,250,936 |
Issued in reorganization (Note 9) | 4,486,392 | $57,641,045 | — | — |
Distributions reinvested | — | — | 40,224,840 | 458,312,536 |
Repurchased | (50,551,362) | (636,045,852) | (87,101,027) | (1,054,091,709) |
Net decrease | (46,064,970) | $(578,404,807) | (46,595,595) | $(592,528,237) |
Series NAV shares | ||||
Sold | 495,590 | $6,325,400 | 1,183,423 | $14,080,731 |
Issued in reorganization (Note 9) | 18,679,577 | 241,604,079 | — | — |
Distributions reinvested | — | — | 5,248,195 | 60,339,840 |
Repurchased | (2,497,622) | (31,631,635) | (4,072,673) | (49,259,921) |
Net increase | 16,677,545 | $216,297,844 | 2,358,945 | $25,160,650 |
Total net decrease | (28,215,030) | $(345,863,388) | (46,111,821) | $(592,255,161) |
Managed Volatility Balanced Portfolio | Six Months Ended 6-30-21 | Year Ended 12-31-20 | ||
Shares | Amount | Shares | Amount | |
Series I shares | ||||
Sold | 114,062 | $1,375,627 | 259,740 | $2,987,816 |
Distributions reinvested | — | — | 3,362,749 | 37,912,138 |
Repurchased | (3,433,268) | (41,257,316) | (5,722,420) | (66,457,834) |
Net decrease | (3,319,206) | $(39,881,689) | (2,099,931) | $(25,557,880) |
Managed Volatility Balanced Portfolio, Cont'd | Six Months Ended 6-30-21 | Year Ended 12-31-20 | ||
Shares | Amount | Shares | Amount | |
Series II shares | ||||
Sold | 7,258 | $85,718 | — | — |
Distributions reinvested | — | — | 28,825,582 | $321,920,292 |
Repurchased | (34,641,232) | (414,128,574) | (60,178,564) | (699,755,865) |
Net decrease | (34,633,974) | $(414,042,856) | (31,352,982) | $(377,835,573) |
Series NAV shares | ||||
Sold | 353,464 | $4,236,901 | 469,378 | $5,587,926 |
Distributions reinvested | — | — | 8,107,681 | 91,761,085 |
Repurchased | (3,444,490) | (41,572,232) | (5,786,057) | (67,766,577) |
Net increase (decrease) | (3,091,026) | $(37,335,331) | 2,791,002 | $29,582,434 |
Total net decrease | (41,044,206) | $(491,259,876) | (30,661,911) | $(373,811,019) |
Managed Volatility Moderate Portfolio | Six Months Ended 6-30-21 | Year Ended 12-31-20 | ||
Shares | Amount | Shares | Amount | |
Series I shares | ||||
Sold | 257,506 | $3,014,802 | 578,999 | $6,707,558 |
Distributions reinvested | — | — | 1,364,133 | 15,203,973 |
Repurchased | (1,561,920) | (18,252,341) | (3,346,067) | (38,069,656) |
Net decrease | (1,304,414) | $(15,237,539) | (1,402,935) | $(16,158,125) |
Series II shares | ||||
Sold | 145,449 | $1,663,329 | 207,390 | $2,261,393 |
Distributions reinvested | — | — | 8,867,532 | 97,917,019 |
Repurchased | (10,403,418) | (121,100,295) | (18,422,012) | (208,844,582) |
Net decrease | (10,257,969) | $(119,436,966) | (9,347,090) | $(108,666,170) |
Series NAV shares | ||||
Sold | 280,276 | $3,290,339 | 501,846 | $5,695,282 |
Distributions reinvested | — | — | 886,180 | 9,895,427 |
Repurchased | (869,971) | (10,115,436) | (731,279) | (8,372,744) |
Net increase (decrease) | (589,695) | $(6,825,097) | 656,747 | $7,217,965 |
Total net decrease | (12,152,078) | $(141,499,602) | (10,093,278) | $(117,606,330) |
Managed Volatility Conservative Portfolio | Six Months Ended 6-30-21 | Year Ended 12-31-20 | ||
Shares | Amount | Shares | Amount | |
Series I shares | ||||
Sold | 515,966 | $6,026,897 | 1,373,715 | $15,916,373 |
Distributions reinvested | — | — | 578,759 | 6,678,632 |
Repurchased | (864,061) | (10,098,242) | (2,816,339) | (32,393,462) |
Net decrease | (348,095) | $(4,071,345) | (863,865) | $(9,798,457) |
Series II shares | ||||
Sold | 182,259 | $2,115,988 | 1,608,725 | $18,277,388 |
Distributions reinvested | — | — | 2,937,722 | 33,603,380 |
Repurchased | (7,589,047) | (87,843,194) | (11,877,146) | (136,298,742) |
Net decrease | (7,406,788) | $(85,727,206) | (7,330,699) | $(84,417,974) |
Series NAV shares | ||||
Sold | 362,163 | $4,230,379 | 496,360 | $5,765,396 |
Distributions reinvested | — | — | 223,584 | 2,588,280 |
Repurchased | (220,187) | (2,565,962) | (436,453) | (5,092,290) |
Net increase | 141,976 | $1,664,417 | 283,491 | $3,261,386 |
Total net decrease | (7,612,907) | $(88,134,134) | (7,911,073) | $(90,955,045) |
Portfolio | Purchases | Sales |
Managed Volatility Growth Portfolio | $343,013,396 | $1,043,821,649 |
Managed Volatility Balanced Portfolio | 245,067,044 | 709,665,705 |
Managed Volatility Moderate Portfolio | 64,806,131 | 194,817,239 |
Managed Volatility Conservative Portfolio | 19,432,015 | 100,825,642 |
Portfolio | Affiliated Class NAV | Percentage of underlying fund net assets |
Managed Volatility Growth Portfolio | ||
Equity Income Trust | 25.2% | |
Strategic Equity Allocation Trust | 24.9% | |
Mid Value Trust | 20.9% | |
Core Bond Trust | 18.6% | |
Select Bond Trust | 17.6% | |
Emerging Markets Equity Fund | 16.2% | |
Small Cap Value Trust | 15.2% | |
Blue Chip Growth Trust | 15.0% | |
Mid Cap Stock Trust | 13.5% | |
Small Cap Growth Fund | 8.4% | |
Fundamental Large Cap Core Fund | 8.3% | |
Managed Volatility Balanced Portfolio | ||
Core Bond Trust | 25.0% | |
Select Bond Trust | 23.7% | |
Equity Income Trust | 16.5% | |
Strategic Equity Allocation Trust | 14.0% | |
Small Cap Value Trust | 9.9% | |
Mid Value Trust | 9.7% | |
Blue Chip Growth Trust | 9.7% | |
Emerging Markets Equity Fund | 7.8% | |
Mid Cap Stock Trust | 6.0% | |
Managed Volatility Moderate Portfolio | ||
Core Bond Trust | 8.6% | |
Select Bond Trust | 8.1% | |
Managed Volatility Conservative Portfolio | ||
Core Bond Trust | 6.4% | |
Select Bond Trust | 6.1% |
Dividends and distributions | |||||||||
Affiliate | Ending share amount | Beginning value | Cost of purchases | Proceeds from shares sold | Realized gain (loss) | Change in unrealized appreciation (depreciation) | Income distributions received | Capital gain distributions received | Ending value |
Managed Volatility Growth Portfolio | |||||||||
Blue Chip Growth | 8,141,085 | $344,827,830 | $38,804,483 | $(60,142,267) | $9,188,264 | $35,868,595 | — | — | $368,546,905 |
Bond | 33,422,017 | 514,317,333 | 64,747,701 | (18,148,137) | 1,359,771 | (11,147,608) | $8,157,317 | — | 551,129,060 |
Core Bond | 13,793,187 | 179,232,257 | 20,514,988 | (4,589,511) | 232,652 | (3,389,223) | — | — | 192,001,163 |
Emerging Markets Equity | 23,170,369 | 357,317,257 | 30,050,210 | (53,840,329) | 17,696,944 | 13,014,122 | — | — | 364,238,204 |
Equity Income | 25,814,929 | 346,851,677 | 40,029,850 | (38,365,568) | 1,018,904 | 68,925,131 | — | — | 418,459,994 |
Fundamental Large Cap Core | 6,687,778 | 455,639,051 | 41,579,609 | (89,075,581) | 20,959,628 | 76,560,155 | — | — | 505,662,862 |
Mid Cap Stock | 4,558,759 | 130,122,015 | 10,367,972 | (21,774,741) | 7,254,463 | 5,778,429 | — | — | 131,748,138 |
Mid Value | 11,621,855 | 133,072,442 | 5,888,617 | (25,957,226) | 1,684,310 | 25,703,860 | — | — | 140,392,003 |
Multifactor Developed International ETF | 6,662,886 | 223,570,716 | 9,568,435 | (29,401,464) | 6,224,577 | 14,843,510 | 3,775,227 | — | 224,805,774 |
Multifactor Emerging Markets ETF | 4,897,104 | 152,609,186 | 7,064,608 | (19,172,267) | 4,784,547 | 9,880,625 | 1,196,460 | — | 155,166,699 |
Multifactor Large Cap ETF | — | 215,170,584 | 542 | (225,123,537) | 63,425,038 | (53,472,627) | — | — | — |
Dividends and distributions | |||||||||
Affiliate | Ending share amount | Beginning value | Cost of purchases | Proceeds from shares sold | Realized gain (loss) | Change in unrealized appreciation (depreciation) | Income distributions received | Capital gain distributions received | Ending value |
Multifactor Mid Cap ETF | 3,280,957 | $163,704,741 | $5,464,233 | $(25,711,551) | $7,840,843 | $18,786,545 | $498,067 | — | $170,084,811 |
Multifactor Small Cap ETF | 4,514,404 | 151,375,502 | 4,833,638 | (21,694,003) | 4,984,496 | 17,962,779 | 765,959 | — | 157,462,412 |
Select Bond | 97,943,062 | 1,318,958,454 | 146,429,561 | (38,920,622) | 2,521,799 | (14,691,373) | — | — | 1,414,297,819 |
Small Cap Growth | 2,194,767 | 56,028,528 | 1,876,940 | (9,473,239) | 1,963,267 | 8,073,110 | — | — | 58,468,606 |
Small Cap Value | 4,860,331 | 76,257,185 | 8,137,075 | (16,216,771) | (1,937,130) | 19,447,278 | — | — | 85,687,637 |
Strategic Equity Allocation | 97,776,274 | 2,262,230,619 | 87,934,325 | (327,559,900) | 69,281,103 | 230,300,366 | — | — | 2,322,186,513 |
$218,483,476 | $462,443,674* | $14,393,030 | — | $7,260,338,600 | |||||
Managed Volatility Balanced Portfolio | |||||||||
Blue Chip Growth | 5,267,112 | $244,860,729 | $14,845,391 | $(49,527,760) | $7,312,702 | $20,951,118 | — | — | $238,442,180 |
Bond | 45,209,020 | 746,505,054 | 34,197,721 | (20,786,038) | 1,556,790 | (15,976,788) | $11,408,208 | — | 745,496,739 |
Core Bond | 18,623,008 | 258,812,225 | 9,612,904 | (4,548,559) | (36,864) | (4,607,434) | — | — | 259,232,272 |
Emerging Markets Equity | 11,185,768 | 183,595,560 | 13,741,905 | (34,453,815) | 11,387,115 | 1,569,515 | — | — | 175,840,280 |
Equity Income | 16,923,520 | 244,494,276 | 17,855,905 | (33,432,534) | (1,034,467) | 46,447,079 | — | — | 274,330,259 |
Fundamental Large Cap Core | 3,938,303 | 286,586,286 | 16,347,362 | (59,591,795) | 13,661,337 | 40,771,867 | — | — | 297,775,057 |
Mid Cap Stock | 2,032,674 | 63,168,332 | 2,931,515 | (12,515,662) | 4,705,029 | 455,078 | — | — | 58,744,292 |
Mid Value | 5,401,884 | 64,442,311 | 1,139,045 | (12,497,190) | 927,586 | 11,243,009 | — | — | 65,254,761 |
Multifactor Developed International ETF | 3,035,462 | 108,379,177 | 696,251 | (15,561,799) | 3,278,637 | 5,624,222 | 1,717,291 | — | 102,416,488 |
Multifactor Emerging Markets ETF | 2,376,571 | 78,926,753 | 1,428,947 | (11,628,124) | 2,904,161 | 3,670,866 | 584,636 | — | 75,302,603 |
Multifactor Large Cap ETF | — | 130,841,907 | 495 | (136,816,140) | 39,739,631 | (33,765,893) | — | — | — |
Multifactor Mid Cap ETF | 1,871,244 | 99,427,006 | 379,740 | (17,044,921) | 5,022,015 | 9,221,449 | 283,729 | — | 97,005,289 |
Multifactor Small Cap ETF | 2,150,173 | 76,628,967 | 637,087 | (12,425,375) | 2,838,375 | 7,318,980 | 364,820 | — | 74,998,034 |
Select Bond | 131,758,119 | 1,898,131,139 | 63,956,288 | (40,883,870) | 1,512,060 | (20,128,385) | — | — | 1,902,587,232 |
Small Cap Growth | 1,237,518 | 33,766,015 | 381,476 | (6,605,925) | 2,065,336 | 3,360,566 | — | — | 32,967,468 |
Small Cap Value | 3,148,326 | 51,422,434 | 4,292,379 | (11,287,422) | (434,321) | 11,511,926 | — | — | 55,504,996 |
Strategic Equity Allocation | 54,795,317 | 1,351,829,731 | 702,320 | (216,234,680) | 51,302,558 | 113,788,845 | — | — | 1,301,388,774 |
$146,707,680 | $201,456,020 | $14,358,684 | — | $5,757,286,724 | |||||
Managed Volatility Moderate Portfolio | |||||||||
Blue Chip Growth | 1,295,222 | $62,879,020 | $5,430,841 | $(16,709,016) | $2,403,360 | $4,630,506 | — | — | $58,634,711 |
Bond | 15,439,348 | 260,488,386 | 8,751,928 | (9,645,098) | 736,725 | (5,737,090) | $3,923,457 | — | 254,594,851 |
Core Bond | 6,361,070 | 90,110,484 | 2,636,149 | (2,588,666) | (57,671) | (1,554,204) | — | — | 88,546,092 |
Emerging Markets Equity | 2,043,314 | 33,770,614 | 4,550,380 | (8,585,026) | 2,903,001 | (518,069) | — | — | 32,120,900 |
Equity Income | 4,354,808 | 62,653,757 | 3,806,541 | (7,509,014) | 161 | 11,639,993 | — | — | 70,591,438 |
Fundamental Large Cap Core | 944,862 | 68,994,145 | 5,037,954 | (15,677,029) | 3,595,874 | 9,490,035 | — | — | 71,440,979 |
Mid Cap Stock | 555,552 | 16,887,423 | 986,346 | (3,212,299) | 1,235,163 | 158,812 | — | — | 16,055,445 |
Mid Value | 1,361,962 | 17,201,567 | 73,803 | (4,030,675) | 252,201 | 2,955,611 | — | — | 16,452,507 |
Multifactor Developed International ETF | 445,412 | 16,193,552 | 38,324 | (2,529,317) | 541,208 | 784,434 | 253,230 | — | 15,028,201 |
Dividends and distributions | |||||||||
Affiliate | Ending share amount | Beginning value | Cost of purchases | Proceeds from shares sold | Realized gain (loss) | Change in unrealized appreciation (depreciation) | Income distributions received | Capital gain distributions received | Ending value |
Multifactor Emerging Markets ETF | 436,914 | $14,625,784 | $352,821 | $(2,356,593) | $589,960 | $631,823 | $106,747 | — | $13,843,795 |
Multifactor Large Cap ETF | — | 32,612,602 | — | (34,121,898) | 10,333,725 | (8,824,429) | — | — | — |
Multifactor Mid Cap ETF | 241,876 | 12,962,782 | 55,930 | (2,331,363) | 703,166 | 1,148,337 | 36,725 | — | 12,538,852 |
Multifactor Small Cap ETF | 293,689 | 10,665,142 | 119,093 | (1,947,527) | 444,793 | 962,371 | 49,830 | — | 10,243,872 |
Select Bond | 45,040,726 | 663,003,003 | 15,166,711 | (21,290,265) | 881,809 | (7,373,179) | — | — | 650,388,079 |
Small Cap Growth | 288,762 | 7,964,232 | 291,986 | (1,843,686) | 587,058 | 693,039 | — | — | 7,692,629 |
Small Cap Value | 655,356 | 11,212,994 | 477,351 | (2,515,550) | (24,968) | 2,404,104 | — | — | 11,553,931 |
Strategic Equity Allocation | 12,739,862 | 316,195,187 | 1,242,965 | (53,429,824) | 14,659,024 | 23,904,382 | — | — | 302,571,734 |
$39,784,589 | $35,396,476 | $4,369,989 | — | $1,632,298,016 | |||||
Managed Volatility Conservative Portfolio | |||||||||
Blue Chip Growth | 407,069 | $20,647,348 | $2,146,990 | $(6,615,683) | $1,606,014 | $643,361 | — | — | $18,428,030 |
Bond | 11,604,800 | 204,462,129 | 3,883,195 | (13,050,202) | 992,995 | (4,924,968) | $3,009,828 | — | 191,363,149 |
Core Bond | 4,765,720 | 70,821,213 | 360,173 | (3,574,584) | (28,511) | (1,239,469) | — | — | 66,338,822 |
Emerging Markets Equity | 573,782 | 9,805,081 | 1,701,833 | (3,191,161) | 1,239,418 | (535,318) | — | — | 9,019,853 |
Equity Income | 1,373,589 | 20,685,340 | 1,540,741 | (3,631,281) | (6,006) | 3,677,092 | — | — | 22,265,886 |
Fundamental Large Cap Core | 267,972 | 20,218,591 | 1,748,350 | (5,477,565) | 2,297,629 | 1,474,387 | — | — | 20,261,392 |
Multifactor Developed International ETF | 12,290 | 458,476 | 4,043 | (85,269) | 18,449 | 18,966 | 6,987 | — | 414,665 |
Multifactor Emerging Markets ETF | 119,556 | 4,115,506 | 242,010 | (912,930) | 210,688 | 132,906 | 29,404 | — | 3,788,180 |
Multifactor Large Cap ETF | — | 9,038,161 | 199 | (9,446,958) | 2,954,596 | (2,545,998) | — | — | — |
Multifactor Mid Cap ETF | 229,398 | 12,862,274 | 302,443 | (3,076,267) | 923,078 | 880,464 | 35,016 | — | 11,891,992 |
Multifactor Small Cap ETF | 260,033 | 9,634,844 | 398,226 | (2,240,280) | 516,443 | 760,718 | 44,360 | — | 9,069,951 |
Select Bond | 33,759,838 | 520,319,852 | 1,773,325 | (29,412,384) | 1,067,391 | (6,256,123) | — | — | 487,492,061 |
Strategic Equity Allocation | 3,546,254 | 90,828,236 | 1,001,474 | (18,549,968) | 4,258,557 | 6,685,235 | — | — | 84,223,534 |
$16,050,741 | $(1,228,747) | $3,125,595 | — | $924,557,515 |
* | Includes unrealized appreciation of investments received in reorganization. See Reorganization note following. |
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 |
Managed Volatility Growth Portfolio | Managed Volatility Aggressive Portfolio | $348,985,371 | $56,251,540 | 32,140,529 | 27,018,950 | $7,295,547,690 | $7,644,533,061 |
PROPOSAL PASSED ON APRIL 6, 2021. | |||||
SHARES VOTED | % OF SHARES VOTED | % OF OUTSTANDING SHARES | |||
For | 31,708,517.935 | 94.729% | 94.729% | ||
Against | 448,834.196 | 1.341% | 1.340% | ||
Abstain | 1,315,679.611 | 3.930% | 3.930% |
(The Funds that are not Participating Portfolios as of the date of this annual report are each Fund and each of the other funds of funds of the Trust and John Hancock Funds II and John Hancock Collateral Trust. These funds of funds also benefit from such overall management fee waiver through their investment in underlying portfolios that include certain of the Participating Portfolios, which are subject to the Reimbursement.)
(1) | information relating to the Subadvisor’s business, including current subadvisory services to the Trust (and other funds in the John Hancock group of funds); |
(2) | the historical and current performance of each Fund and comparative performance information relating to the Fund’s benchmark and comparable funds based on the median percentile; and |
(3) | the subadvisory fee for each Fund, including any breakpoints, and comparative fee information, where available, prepared by an independent third-party provider of fund data. |
(1) | The Subadvisor has extensive experience and demonstrated skills as a manager; |
(2) | Although each Fund has underperformed the historical performance of comparable funds based on the median percentile, the Board considered the steps the Subadvisor had taken or plans to take to address performance and concluded that performance is being monitored and reasonably being addressed; |
(3) | The subadvisory fees are reasonable in relation to the level and quality of services being provided under the Subadvisory Agreement; and |
(4) | The subadvisory fees are paid by the Advisor and not the Funds and that the subadvisory fee breakpoints are reflected as breakpoints in the advisory fees for the Funds in order to permit shareholders to benefit from economies of scale if the Funds grow. |
Portfolio (Subadviser) | Performance as of 12/31/2020 | Fees and Expenses | Comments |
Managed Volatility Balanced Portfolio(Manulife Investment Management (US) LLC) | Benchmark Index – The Trust underperformed the benchmark index for the one-, three-, five- and ten-year periods.Broadridge Category – The Trust underperformed the peer group median for the one-, three-, five- and ten-year periods. | Limited comparative subadviser fee data was provided due to the limited number of Broadridge peer funds.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 performance for the one-, three-, five- and ten-year periods relative to the benchmark index and to the peer group median including the impact of past and current market conditions on the Trust’s strategy and management’s outlook for the Trust.The Board noted that the Trust outperformed its benchmark index for the year-to-date period ended April 30, 2021.The Board noted the Trust’s net management fees and net total expenses are lower than the peer group median. |
Managed Volatility Conservative Portfolio(Manulife Investment Management (US) LLC) | Benchmark Index – The Trust underperformed the benchmark index for the one-, three-, five- and ten-year periods.Broadridge Category – The Trust underperformed the peer group median for the one-, three-, five- and ten-year periods. | Limited comparative subadviser fee data was provided due to the limited number of Broadridge peer funds.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 performance for the one-, three-, five- and ten-year periods relative to the benchmark index and to the peer group median including the impact of past and current market conditions on the Trust’s strategy and management’s outlook for the Trust.The Board noted that the Trust outperformed its benchmark index for the year-to-date period ended April 30, 2021.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 12/31/2020 | Fees and Expenses | Comments |
Managed Volatility Growth Portfolio(Manulife Investment Management (US) LLC) | Benchmark Index – The Trust underperformed the benchmark index for the one-, three-, five- and ten-year periods.Broadridge Category – The Trust underperformed the peer group median for the one-, three-, five- and ten-year periods. | Limited comparative subadviser fee data was provided due to the limited number of Broadridge peer funds.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 performance for the one-, three-, five- and ten-year periods relative to the benchmark index and to the peer group median including the impact of past and current market conditions on the Trust’s strategy and management’s outlook for the Trust.The Board noted that the Trust outperformed its Morningstar peer group and benchmark index for the year-to-date period ended April 30, 2021.The Board noted the Trust’s net management fees and net total expenses are lower than the peer group median. |
Managed Volatility Moderate Portfolio(Manulife Investment Management (US) LLC) | Benchmark Index – The Trust underperformed the benchmark index for the one-, three-, five- and ten-year periods.Broadridge Category – The Trust underperformed the peer group median for the one-, three-, five- and ten-year periods. | Limited comparative subadviser fee data was provided due to the limited number of Broadridge peer funds.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 performance for the one-, three-, five- and ten-year periods relative to the benchmark index and to the peer group median including the impact of past and current market conditions on the Trust’s strategy and management’s outlook for the Trust.The Board noted that the Trust outperformed its Morningstar peer group and benchmark index for the year-to-date period ended April 30, 2021.The Board noted the Trust’s net management fees and net total expenses are lower than the peer group median. |
• | The Fund’s investment strategy remained appropriate for an open-end fund structure; |
• | The Fund was able to meet requests for redemption without significant dilution of remaining investors’ interests in the Fund; |
• | The Fund did not report any breaches of the 15% limit on illiquid investments that would require reporting to the Securities and Exchange Commission; |
• | The Fund continued to qualify as a Primarily Highly Liquid Fund under the Liquidity Rule and therefore is not required to establish a HLIM; and |
• | The Chief Compliance Officer’s office performed audit testing of the LRMP which resulted in an assessment that the LRMP’s control environment was deemed to be operating effectively and in compliance with the Board approved procedures. |
Steven R. Pruchansky, Vice Chairperson
Andrew G. Arnott†
Charles L. Bardelis*
James R. Boyle
Peter S. Burgess*
William H. Cunningham
Grace K. Fey
Marianne Harrison†
Deborah C. Jackson
Frances G. Rathke*,1
Gregory A. Russo
Charles A. Rizzo, Chief Financial Officer
Salvatore Schiavone, Treasurer
Christopher (Kit) Sechler, Secretary and Chief Legal Officer
Trevor Swanberg2, Chief Compliance Officer
* | Member of the Audit Committee |
† | Non-Independent Trustee |
1 | Appointed as Independent Trustee effective as of September 15, 2020 |
2 | Effective July 31, 2020 |
Boston, Massachusetts
JHTLSA | 6/30 |
ITEM 2. CODE OF ETHICS.
(a)Not Applicable
(b)Not Applicable
(c)Not Applicable
(d)Not Applicable
(e)Not Applicable
(f)Not Applicable
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not Applicable
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a)Not Applicable
(b)Not Applicable
(c)Not Applicable
(d)Not Applicable
(e)Not Applicable
(f)Not Applicable.
(g)Not Applicable
(h)Not Applicable
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS
Not Applicable.
ITEM 6. SCHEDULE OF INVESTMENTS.
(a) 1.Main Portfolio of Investments
2.Bond Portfolio of Investments
Shares or Principal Amount | Value | ||||
COMMON STOCKS – 97.6% | |||||
Communication services – 10.9% | |||||
Diversified telecommunication services – 1.2% | |||||
AT&T, Inc. | 1,476,336 | $ | 42,488,950 | ||
Lumen Technologies, Inc. | 208,597 | 2,834,833 | |||
Verizon Communications, Inc. | 858,032 | 48,075,533 | |||
93,399,316 | |||||
Entertainment – 1.9% | |||||
Activision Blizzard, Inc. | 160,872 | 15,353,624 | |||
Electronic Arts, Inc. | 60,072 | 8,640,156 | |||
Live Nation Entertainment, Inc. (A) | 30,014 | 2,628,926 | |||
Netflix, Inc. (A) | 91,957 | 48,572,607 | |||
Take-Two Interactive Software, Inc. (A) | 24,146 | 4,274,325 | |||
The Walt Disney Company (A) | 376,832 | 66,235,761 | |||
145,705,399 | |||||
Interactive media and services – 6.3% | |||||
Alphabet, Inc., Class A (A) | 62,420 | 152,416,532 | |||
Alphabet, Inc., Class C (A) | 59,205 | 148,386,676 | |||
Facebook, Inc., Class A (A) | 499,325 | 173,620,296 | |||
Twitter, Inc. (A) | 164,632 | 11,328,328 | |||
485,751,832 | |||||
Media – 1.3% | |||||
Charter Communications, Inc., Class A (A) | 29,378 | 21,194,758 | |||
Comcast Corp., Class A | 946,901 | 53,992,295 | |||
Discovery, Inc., Series A (A)(B) | 33,828 | 1,037,843 | |||
Discovery, Inc., Series C (A) | 60,255 | 1,746,190 | |||
DISH Network Corp., Class A (A) | 52,099 | 2,177,738 | |||
Fox Corp., Class A | 68,021 | 2,525,620 | |||
Fox Corp., Class B | 33,080 | 1,164,416 | |||
News Corp., Class A | 82,154 | 2,117,109 | |||
News Corp., Class B | 25,708 | 625,990 | |||
Omnicom Group, Inc. | 45,376 | 3,629,626 | |||
The Interpublic Group of Companies, Inc. | 82,343 | 2,675,324 | |||
ViacomCBS, Inc., Class B | 117,803 | 5,324,696 | |||
98,211,605 | |||||
Wireless telecommunication services – 0.2% | |||||
T-Mobile US, Inc. (A) | 121,506 | 17,597,714 | |||
840,665,866 | |||||
Consumer discretionary – 12.0% | |||||
Auto components – 0.2% | |||||
Aptiv PLC (A) | 55,969 | 8,805,603 | |||
BorgWarner, Inc. | 47,404 | 2,300,990 | |||
11,106,593 | |||||
Automobiles – 1.8% | |||||
Ford Motor Company (A) | 810,845 | 12,049,157 | |||
General Motors Company (A) | 262,151 | 15,511,475 | |||
Tesla, Inc. (A) | 159,392 | 108,338,742 | |||
135,899,374 | |||||
Distributors – 0.1% | |||||
Genuine Parts Company | 30,465 | 3,852,909 | |||
LKQ Corp. (A) | 59,119 | 2,909,837 | |||
Pool Corp. | 8,463 | 3,881,640 | |||
10,644,386 | |||||
Hotels, restaurants and leisure – 2.0% | |||||
Booking Holdings, Inc. (A) | 8,521 | 18,644,715 | |||
Caesars Entertainment, Inc. (A) | 43,249 | 4,487,084 | |||
Carnival Corp. (A) | 165,435 | 4,360,867 | |||
Chipotle Mexican Grill, Inc. (A) | 5,813 | 9,012,126 | |||
Darden Restaurants, Inc. | 27,470 | 4,010,345 | |||
Domino's Pizza, Inc. | 7,732 | 3,606,901 | |||
Expedia Group, Inc. (A) | 28,658 | 4,691,601 | |||
Hilton Worldwide Holdings, Inc. (A) | 57,320 | 6,913,938 | |||
Las Vegas Sands Corp. (A) | 67,110 | 3,536,026 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Hotels, restaurants and leisure (continued) | |||||
Marriott International, Inc., Class A (A) | 55,166 | $ | 7,531,262 | ||
McDonald's Corp. | 155,101 | 35,826,780 | |||
MGM Resorts International | 86,461 | 3,687,562 | |||
Norwegian Cruise Line Holdings, Ltd. (A) | 75,206 | 2,211,808 | |||
Penn National Gaming, Inc. (A) | 30,865 | 2,360,864 | |||
Royal Caribbean Cruises, Ltd. (A) | 45,409 | 3,872,480 | |||
Starbucks Corp. | 244,224 | 27,306,685 | |||
Wynn Resorts, Ltd. (A) | 21,994 | 2,689,866 | |||
Yum! Brands, Inc. | 62,442 | 7,182,703 | |||
151,933,613 | |||||
Household durables – 0.4% | |||||
D.R. Horton, Inc. | 68,073 | 6,151,757 | |||
Garmin, Ltd. | 31,500 | 4,556,160 | |||
Leggett & Platt, Inc. | 27,959 | 1,448,556 | |||
Lennar Corp., A Shares | 55,918 | 5,555,453 | |||
Mohawk Industries, Inc. (A) | 12,629 | 2,427,168 | |||
Newell Brands, Inc. | 79,746 | 2,190,623 | |||
NVR, Inc. (A) | 735 | 3,655,376 | |||
PulteGroup, Inc. | 56,633 | 3,090,463 | |||
Whirlpool Corp. | 13,155 | 2,868,053 | |||
31,943,609 | |||||
Internet and direct marketing retail – 4.1% | |||||
Amazon.com, Inc. (A) | 88,852 | 305,665,096 | |||
eBay, Inc. | 132,594 | 9,309,425 | |||
Etsy, Inc. (A) | 26,198 | 5,392,596 | |||
320,367,117 | |||||
Leisure products – 0.0% | |||||
Hasbro, Inc. | 26,911 | 2,543,628 | |||
Multiline retail – 0.5% | |||||
Dollar General Corp. | 50,979 | 11,031,346 | |||
Dollar Tree, Inc. (A) | 48,896 | 4,865,152 | |||
Target Corp. | 104,195 | 25,188,099 | |||
41,084,597 | |||||
Specialty retail – 2.2% | |||||
Advance Auto Parts, Inc. | 13,797 | 2,830,317 | |||
AutoZone, Inc. (A) | 4,588 | 6,846,305 | |||
Best Buy Company, Inc. | 47,394 | 5,449,362 | |||
CarMax, Inc. (A) | 32,853 | 4,242,965 | |||
L Brands, Inc. | 49,295 | 3,552,198 | |||
Lowe's Companies, Inc. | 151,293 | 29,346,303 | |||
O'Reilly Automotive, Inc. (A) | 14,530 | 8,227,031 | |||
Ross Stores, Inc. | 73,944 | 9,169,056 | |||
The Gap, Inc. | 43,392 | 1,460,141 | |||
The Home Depot, Inc. | 223,381 | 71,233,967 | |||
The TJX Companies, Inc. | 249,656 | 16,831,808 | |||
Tractor Supply Company | 24,544 | 4,566,657 | |||
Ulta Beauty, Inc. (A) | 11,894 | 4,112,588 | |||
167,868,698 | |||||
Textiles, apparel and luxury goods – 0.7% | |||||
Hanesbrands, Inc. | 73,524 | 1,372,693 | |||
NIKE, Inc., Class B | 263,591 | 40,722,174 | |||
PVH Corp. (A) | 14,980 | 1,611,698 | |||
Ralph Lauren Corp. | 10,171 | 1,198,246 | |||
Tapestry, Inc. (A) | 58,336 | 2,536,449 | |||
Under Armour, Inc., Class A (A) | 39,815 | 842,087 | |||
Under Armour, Inc., Class C (A) | 41,065 | 762,577 | |||
VF Corp. | 65,973 | 5,412,425 | |||
54,458,349 | |||||
927,849,964 | |||||
Consumer staples – 5.7% | |||||
Beverages – 1.4% | |||||
Brown-Forman Corp., Class B | 38,545 | 2,888,562 |
The accompanying notes are an integral part of the financial statements. | 1 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Beverages (continued) | |||||
Constellation Brands, Inc., Class A | 35,482 | $ | 8,298,885 | ||
Molson Coors Beverage Company, Class B (A) | 39,713 | 2,132,191 | |||
Monster Beverage Corp. (A) | 76,518 | 6,989,919 | |||
PepsiCo, Inc. | 286,324 | 42,424,627 | |||
The Coca-Cola Company | 805,444 | 43,582,575 | |||
106,316,759 | |||||
Food and staples retailing – 1.3% | |||||
Costco Wholesale Corp. | 91,846 | 36,340,707 | |||
Sysco Corp. | 105,637 | 8,213,277 | |||
The Kroger Company | 160,095 | 6,133,239 | |||
Walgreens Boots Alliance, Inc. | 148,678 | 7,821,950 | |||
Walmart, Inc. | 287,090 | 40,485,432 | |||
98,994,605 | |||||
Food products – 0.9% | |||||
Archer-Daniels-Midland Company | 114,706 | 6,951,184 | |||
Campbell Soup Company | 42,753 | 1,949,109 | |||
Conagra Brands, Inc. | 99,512 | 3,620,247 | |||
General Mills, Inc. | 126,813 | 7,726,716 | |||
Hormel Foods Corp. | 59,256 | 2,829,474 | |||
Kellogg Company | 53,588 | 3,447,316 | |||
Lamb Weston Holdings, Inc. | 30,687 | 2,475,213 | |||
McCormick & Company, Inc. | 52,348 | 4,623,375 | |||
Mondelez International, Inc., Class A | 293,175 | 18,305,847 | |||
The Hershey Company | 30,266 | 5,271,732 | |||
The J.M. Smucker Company | 22,403 | 2,902,757 | |||
The Kraft Heinz Company | 133,071 | 5,426,635 | |||
Tyson Foods, Inc., Class A | 60,152 | 4,436,812 | |||
69,966,417 | |||||
Household products – 1.3% | |||||
Church & Dwight Company, Inc. | 49,678 | 4,233,559 | |||
Colgate-Palmolive Company | 175,659 | 14,289,860 | |||
Kimberly-Clark Corp. | 70,812 | 9,473,229 | |||
The Clorox Company | 26,017 | 4,680,718 | |||
The Procter & Gamble Company | 511,221 | 68,979,050 | |||
101,656,416 | |||||
Personal products – 0.2% | |||||
The Estee Lauder Companies, Inc., Class A | 47,854 | 15,221,400 | |||
Tobacco – 0.6% | |||||
Altria Group, Inc. | 386,804 | 18,442,815 | |||
Philip Morris International, Inc. | 321,906 | 31,904,104 | |||
50,346,919 | |||||
442,502,516 | |||||
Energy – 2.8% | |||||
Energy equipment and services – 0.3% | |||||
Baker Hughes Company | 153,365 | 3,507,458 | |||
Halliburton Company | 185,514 | 4,289,084 | |||
NOV, Inc. (A) | 81,997 | 1,256,194 | |||
Schlumberger NV | 287,462 | 9,201,659 | |||
18,254,395 | |||||
Oil, gas and consumable fuels – 2.5% | |||||
APA Corp. | 79,711 | 1,724,149 | |||
Cabot Oil & Gas Corp. | 84,171 | 1,469,626 | |||
Chevron Corp. | 400,967 | 41,997,284 | |||
ConocoPhillips | 282,672 | 17,214,725 | |||
Devon Energy Corp. | 122,048 | 3,562,581 | |||
Diamondback Energy, Inc. | 37,272 | 3,499,468 | |||
EOG Resources, Inc. | 120,497 | 10,054,270 | |||
Exxon Mobil Corp. | 880,280 | 55,528,062 | |||
Hess Corp. | 55,437 | 4,840,759 | |||
Kinder Morgan, Inc. | 402,209 | 7,332,270 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Oil, gas and consumable fuels (continued) | |||||
Marathon Oil Corp. | 166,711 | $ | 2,270,604 | ||
Marathon Petroleum Corp. | 134,300 | 8,114,406 | |||
Occidental Petroleum Corp. | 176,783 | 5,528,004 | |||
ONEOK, Inc. | 89,644 | 4,987,792 | |||
Phillips 66 | 90,294 | 7,749,031 | |||
Pioneer Natural Resources Company | 42,463 | 6,901,087 | |||
The Williams Companies, Inc. | 250,317 | 6,645,916 | |||
Valero Energy Corp. | 83,463 | 6,516,791 | |||
195,936,825 | |||||
214,191,220 | |||||
Financials – 11.0% | |||||
Banks – 4.2% | |||||
Bank of America Corp. | 1,575,766 | 64,968,832 | |||
Citigroup, Inc. | 433,233 | 30,651,235 | |||
Citizens Financial Group, Inc. | 86,473 | 3,966,517 | |||
Comerica, Inc. | 29,362 | 2,094,685 | |||
Fifth Third Bancorp | 145,653 | 5,568,314 | |||
First Republic Bank | 36,347 | 6,803,068 | |||
Huntington Bancshares, Inc. | 214,834 | 3,065,681 | |||
JPMorgan Chase & Co. | 633,220 | 98,491,039 | |||
KeyCorp | 197,883 | 4,086,284 | |||
M&T Bank Corp. | 27,090 | 3,936,448 | |||
People's United Financial, Inc. | 89,701 | 1,537,475 | |||
Regions Financial Corp. | 192,883 | 3,892,379 | |||
SVB Financial Group (A) | 10,931 | 6,082,336 | |||
The PNC Financial Services Group, Inc. | 88,019 | 16,790,504 | |||
Truist Financial Corp. | 279,836 | 15,530,898 | |||
U.S. Bancorp | 285,014 | 16,237,248 | |||
Wells Fargo & Company | 859,895 | 38,944,645 | |||
Zions Bancorp NA | 34,628 | 1,830,436 | |||
324,478,024 | |||||
Capital markets – 3.0% | |||||
Ameriprise Financial, Inc. | 24,564 | 6,113,488 | |||
BlackRock, Inc. | 29,584 | 25,885,112 | |||
Cboe Global Markets, Inc. | 22,967 | 2,734,221 | |||
CME Group, Inc. | 74,746 | 15,896,979 | |||
Franklin Resources, Inc. | 56,488 | 1,807,051 | |||
Intercontinental Exchange, Inc. | 116,886 | 13,874,368 | |||
Invesco, Ltd. | 79,512 | 2,125,356 | |||
MarketAxess Holdings, Inc. | 7,788 | 3,610,439 | |||
Moody's Corp. | 33,592 | 12,172,733 | |||
Morgan Stanley | 311,352 | 28,547,865 | |||
MSCI, Inc. | 17,229 | 9,184,435 | |||
Nasdaq, Inc. | 24,281 | 4,268,600 | |||
Northern Trust Corp. | 43,945 | 5,080,921 | |||
Raymond James Financial, Inc. | 25,779 | 3,348,692 | |||
S&P Global, Inc. | 50,115 | 20,569,702 | |||
State Street Corp. | 72,595 | 5,973,117 | |||
T. Rowe Price Group, Inc. | 47,073 | 9,319,042 | |||
The Bank of New York Mellon Corp. | 168,904 | 8,652,952 | |||
The Charles Schwab Corp. | 310,276 | 22,591,196 | |||
The Goldman Sachs Group, Inc. | 71,647 | 27,192,186 | |||
228,948,455 | |||||
Consumer finance – 0.6% | |||||
American Express Company | 135,738 | 22,427,990 | |||
Capital One Financial Corp. | 95,047 | 14,702,820 | |||
Discover Financial Services | 63,208 | 7,476,874 | |||
Synchrony Financial | 110,714 | 5,371,843 | |||
49,979,527 | |||||
Diversified financial services – 1.4% | |||||
Berkshire Hathaway, Inc., Class B (A) | 395,716 | 109,977,391 | |||
Insurance – 1.8% | |||||
Aflac, Inc. | 132,092 | 7,088,057 |
The accompanying notes are an integral part of the financial statements. | 2 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Insurance (continued) | |||||
American International Group, Inc. | 178,533 | $ | 8,498,171 | ||
Aon PLC, Class A | 46,673 | 11,143,645 | |||
Arthur J. Gallagher & Company | 40,441 | 5,664,975 | |||
Assurant, Inc. | 11,085 | 1,731,255 | |||
Chubb, Ltd. | 93,942 | 14,931,141 | |||
Cincinnati Financial Corp. | 31,591 | 3,684,142 | |||
Everest Re Group, Ltd. | 8,441 | 2,127,216 | |||
Globe Life, Inc. | 19,308 | 1,839,087 | |||
Lincoln National Corp. | 38,361 | 2,410,605 | |||
Loews Corp. | 47,418 | 2,591,394 | |||
Marsh & McLennan Companies, Inc. | 105,568 | 14,851,306 | |||
MetLife, Inc. | 155,891 | 9,330,076 | |||
Principal Financial Group, Inc. | 50,440 | 3,187,304 | |||
Prudential Financial, Inc. | 81,754 | 8,377,332 | |||
The Allstate Corp. | 63,254 | 8,250,852 | |||
The Hartford Financial Services Group, Inc. | 71,995 | 4,461,530 | |||
The Progressive Corp. | 121,880 | 11,969,835 | |||
The Travelers Companies, Inc. | 52,525 | 7,863,518 | |||
Unum Group | 42,987 | 1,220,831 | |||
W.R. Berkley Corp. | 29,696 | 2,210,273 | |||
Willis Towers Watson PLC | 26,600 | 6,118,532 | |||
139,551,077 | |||||
852,934,474 | |||||
Health care – 12.7% | |||||
Biotechnology – 1.7% | |||||
AbbVie, Inc. | 367,530 | 41,398,579 | |||
Alexion Pharmaceuticals, Inc. (A) | 45,465 | 8,352,375 | |||
Amgen, Inc. | 119,871 | 29,218,556 | |||
Biogen, Inc. (A) | 31,224 | 10,811,934 | |||
Gilead Sciences, Inc. | 261,008 | 17,973,011 | |||
Incyte Corp. (A) | 39,257 | 3,302,691 | |||
Regeneron Pharmaceuticals, Inc. (A) | 21,811 | 12,182,316 | |||
Vertex Pharmaceuticals, Inc. (A) | 54,128 | 10,913,829 | |||
134,153,291 | |||||
Health care equipment and supplies – 3.5% | |||||
Abbott Laboratories | 367,222 | 42,572,046 | |||
ABIOMED, Inc. (A) | 9,513 | 2,969,102 | |||
Align Technology, Inc. (A) | 14,890 | 9,097,790 | |||
Baxter International, Inc. | 104,277 | 8,394,299 | |||
Becton, Dickinson and Company | 60,362 | 14,679,435 | |||
Boston Scientific Corp. (A) | 292,552 | 12,509,524 | |||
Danaher Corp. | 131,642 | 35,327,447 | |||
Dentsply Sirona, Inc. | 46,141 | 2,918,880 | |||
DexCom, Inc. (A) | 19,851 | 8,476,377 | |||
Edwards Lifesciences Corp. (A) | 129,668 | 13,429,715 | |||
Hologic, Inc. (A) | 52,931 | 3,531,556 | |||
IDEXX Laboratories, Inc. (A) | 17,685 | 11,168,962 | |||
Intuitive Surgical, Inc. (A) | 24,473 | 22,506,350 | |||
Medtronic PLC | 280,237 | 34,785,819 | |||
ResMed, Inc. | 29,984 | 7,391,656 | |||
STERIS PLC | 17,961 | 3,705,354 | |||
Stryker Corp. | 68,049 | 17,674,367 | |||
Teleflex, Inc. | 9,823 | 3,946,783 | |||
The Cooper Companies, Inc. | 9,999 | 3,962,304 | |||
West Pharmaceutical Services, Inc. | 15,594 | 5,599,805 | |||
Zimmer Biomet Holdings, Inc. | 42,853 | 6,891,619 | |||
271,539,190 | |||||
Health care providers and services – 2.6% | |||||
AmerisourceBergen Corp. | 31,039 | 3,553,655 | |||
Anthem, Inc. | 50,822 | 19,403,840 | |||
Cardinal Health, Inc. | 61,757 | 3,525,707 | |||
Centene Corp. (A) | 120,248 | 8,769,687 | |||
Cigna Corp. | 73,047 | 17,317,252 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Health care providers and services (continued) | |||||
CVS Health Corp. | 272,382 | $ | 22,727,554 | ||
DaVita, Inc. (A) | 14,743 | 1,775,499 | |||
HCA Healthcare, Inc. | 54,879 | 11,345,684 | |||
Henry Schein, Inc. (A) | 30,149 | 2,236,754 | |||
Humana, Inc. | 26,732 | 11,834,791 | |||
Laboratory Corp. of America Holdings (A) | 19,927 | 5,496,863 | |||
McKesson Corp. | 33,385 | 6,384,547 | |||
Quest Diagnostics, Inc. | 28,362 | 3,742,933 | |||
UnitedHealth Group, Inc. | 196,238 | 78,581,545 | |||
Universal Health Services, Inc., Class B | 16,409 | 2,402,770 | |||
199,099,081 | |||||
Health care technology – 0.1% | |||||
Cerner Corp. | 64,490 | 5,040,538 | |||
Life sciences tools and services – 1.3% | |||||
Agilent Technologies, Inc. | 63,653 | 9,408,550 | |||
Bio-Rad Laboratories, Inc., Class A (A) | 4,517 | 2,910,258 | |||
Charles River Laboratories International, Inc. (A) | 10,631 | 3,932,620 | |||
Illumina, Inc. (A) | 30,376 | 14,374,227 | |||
IQVIA Holdings, Inc. (A) | 39,650 | 9,607,988 | |||
Mettler-Toledo International, Inc. (A) | 4,753 | 6,584,521 | |||
PerkinElmer, Inc. | 23,613 | 3,646,083 | |||
Thermo Fisher Scientific, Inc. | 81,729 | 41,229,829 | |||
Waters Corp. (A) | 13,077 | 4,519,542 | |||
96,213,618 | |||||
Pharmaceuticals – 3.5% | |||||
Bristol-Myers Squibb Company | 465,046 | 31,074,374 | |||
Catalent, Inc. (A) | 34,663 | 3,747,764 | |||
Eli Lilly & Company | 165,283 | 37,935,754 | |||
Johnson & Johnson | 545,691 | 89,897,135 | |||
Merck & Company, Inc. | 524,216 | 40,768,278 | |||
Organon & Company (A) | 52,421 | 1,586,259 | |||
Perrigo Company PLC | 28,821 | 1,321,443 | |||
Pfizer, Inc. | 1,157,117 | 45,312,702 | |||
Viatris, Inc. | 247,514 | 3,536,975 | |||
Zoetis, Inc. | 98,949 | 18,440,136 | |||
273,620,820 | |||||
979,666,538 | |||||
Industrials – 8.3% | |||||
Aerospace and defense – 1.6% | |||||
General Dynamics Corp. | 48,236 | 9,080,909 | |||
Howmet Aerospace, Inc. (A) | 82,893 | 2,857,322 | |||
Huntington Ingalls Industries, Inc. | 8,551 | 1,802,123 | |||
L3Harris Technologies, Inc. | 42,594 | 9,206,693 | |||
Lockheed Martin Corp. | 51,285 | 19,403,680 | |||
Northrop Grumman Corp. | 32,274 | 11,729,340 | |||
Raytheon Technologies Corp. | 316,075 | 26,964,358 | |||
Teledyne Technologies, Inc. (A) | 7,785 | 3,260,592 | |||
Textron, Inc. | 44,378 | 3,051,875 | |||
The Boeing Company (A) | 113,847 | 27,273,187 | |||
TransDigm Group, Inc. (A) | 11,232 | 7,270,361 | |||
121,900,440 | |||||
Air freight and logistics – 0.7% | |||||
CH Robinson Worldwide, Inc. | 28,472 | 2,666,972 | |||
Expeditors International of Washington, Inc. | 35,406 | 4,482,400 | |||
FedEx Corp. | 50,312 | 15,009,579 | |||
United Parcel Service, Inc., Class B | 149,862 | 31,166,800 | |||
53,325,751 | |||||
Airlines – 0.3% | |||||
Alaska Air Group, Inc. (A) | 26,110 | 1,574,694 | |||
American Airlines Group, Inc. (A) | 135,186 | 2,867,295 | |||
Delta Air Lines, Inc. (A) | 131,545 | 5,690,637 |
The accompanying notes are an integral part of the financial statements. | 3 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Airlines (continued) | |||||
Southwest Airlines Company (A) | 121,733 | $ | 6,462,805 | ||
United Airlines Holdings, Inc. (A) | 65,955 | 3,448,787 | |||
20,044,218 | |||||
Building products – 0.5% | |||||
A.O. Smith Corp. | 28,588 | 2,060,051 | |||
Allegion PLC | 17,768 | 2,475,082 | |||
Carrier Global Corp. | 168,529 | 8,190,509 | |||
Fortune Brands Home & Security, Inc. | 29,174 | 2,906,022 | |||
Johnson Controls International PLC | 150,495 | 10,328,472 | |||
Masco Corp. | 51,557 | 3,037,223 | |||
Trane Technologies PLC | 49,610 | 9,135,185 | |||
38,132,544 | |||||
Commercial services and supplies – 0.4% | |||||
Cintas Corp. | 18,360 | 7,013,520 | |||
Copart, Inc. (A) | 43,630 | 5,751,743 | |||
Republic Services, Inc. | 44,391 | 4,883,454 | |||
Rollins, Inc. | 46,720 | 1,597,824 | |||
Waste Management, Inc. | 80,776 | 11,317,525 | |||
30,564,066 | |||||
Construction and engineering – 0.0% | |||||
Quanta Services, Inc. | 29,147 | 2,639,844 | |||
Electrical equipment – 0.5% | |||||
AMETEK, Inc. | 47,383 | 6,325,631 | |||
Eaton Corp. PLC | 82,979 | 12,295,828 | |||
Emerson Electric Company | 124,414 | 11,973,603 | |||
Generac Holdings, Inc. (A) | 13,024 | 5,406,914 | |||
Rockwell Automation, Inc. | 23,962 | 6,853,611 | |||
42,855,587 | |||||
Industrial conglomerates – 1.2% | |||||
3M Company | 120,021 | 23,839,771 | |||
General Electric Company | 1,822,944 | 24,536,826 | |||
Honeywell International, Inc. | 144,293 | 31,650,670 | |||
Roper Technologies, Inc. | 21,805 | 10,252,711 | |||
90,279,978 | |||||
Machinery – 1.6% | |||||
Caterpillar, Inc. | 113,175 | 24,630,275 | |||
Cummins, Inc. | 30,604 | 7,461,561 | |||
Deere & Company | 65,279 | 23,024,556 | |||
Dover Corp. | 29,330 | 4,417,098 | |||
Fortive Corp. | 69,301 | 4,833,052 | |||
IDEX Corp. | 15,946 | 3,508,917 | |||
Illinois Tool Works, Inc. | 60,045 | 13,423,660 | |||
Ingersoll Rand, Inc. (A) | 78,385 | 3,825,972 | |||
Otis Worldwide Corp. | 83,983 | 6,867,290 | |||
PACCAR, Inc. | 71,607 | 6,390,925 | |||
Parker-Hannifin Corp. | 26,674 | 8,191,852 | |||
Pentair PLC | 35,036 | 2,364,580 | |||
Snap-on, Inc. | 11,502 | 2,569,892 | |||
Stanley Black & Decker, Inc. | 32,999 | 6,764,465 | |||
Wabtec Corp. | 37,776 | 3,108,965 | |||
Xylem, Inc. | 38,003 | 4,558,840 | |||
125,941,900 | |||||
Professional services – 0.4% | |||||
Equifax, Inc. | 24,978 | 5,982,481 | |||
IHS Markit, Ltd. | 77,293 | 8,707,829 | |||
Jacobs Engineering Group, Inc. | 26,277 | 3,505,877 | |||
Leidos Holdings, Inc. | 28,226 | 2,853,649 | |||
Nielsen Holdings PLC | 75,338 | 1,858,588 | |||
Robert Half International, Inc. | 24,208 | 2,153,786 | |||
Verisk Analytics, Inc. | 33,630 | 5,875,834 | |||
30,938,044 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Road and rail – 0.9% | |||||
CSX Corp. | 477,843 | $ | 15,329,203 | ||
JB Hunt Transport Services, Inc. | 17,602 | 2,868,246 | |||
Kansas City Southern | 18,312 | 5,189,071 | |||
Norfolk Southern Corp. | 52,092 | 13,825,738 | |||
Old Dominion Freight Line, Inc. | 19,653 | 4,987,931 | |||
Union Pacific Corp. | 138,972 | 30,564,112 | |||
72,764,301 | |||||
Trading companies and distributors – 0.2% | |||||
Fastenal Company | 118,516 | 6,162,832 | |||
United Rentals, Inc. (A) | 15,222 | 4,855,970 | |||
W.W. Grainger, Inc. | 9,184 | 4,022,592 | |||
15,041,394 | |||||
644,428,067 | |||||
Information technology – 26.8% | |||||
Communications equipment – 0.8% | |||||
Arista Networks, Inc. (A) | 11,106 | 4,023,815 | |||
Cisco Systems, Inc. | 875,489 | 46,400,917 | |||
F5 Networks, Inc. (A) | 12,918 | 2,411,274 | |||
Juniper Networks, Inc. | 70,058 | 1,916,086 | |||
Motorola Solutions, Inc. | 35,078 | 7,606,664 | |||
62,358,756 | |||||
Electronic equipment, instruments and components – 0.6% | |||||
Amphenol Corp., Class A | 124,040 | 8,485,576 | |||
CDW Corp. | 28,823 | 5,033,937 | |||
Corning, Inc. | 160,696 | 6,572,466 | |||
IPG Photonics Corp. (A) | 7,535 | 1,588,152 | |||
Keysight Technologies, Inc. (A) | 38,474 | 5,940,770 | |||
TE Connectivity, Ltd. | 68,576 | 9,272,161 | |||
Trimble, Inc. (A) | 51,229 | 4,192,069 | |||
Zebra Technologies Corp., Class A (A) | 10,921 | 5,782,560 | |||
46,867,691 | |||||
IT services – 5.0% | |||||
Accenture PLC, Class A | 131,905 | 38,884,275 | |||
Akamai Technologies, Inc. (A) | 34,360 | 4,006,376 | |||
Automatic Data Processing, Inc. | 88,128 | 17,503,983 | |||
Broadridge Financial Solutions, Inc. | 24,320 | 3,928,410 | |||
Cognizant Technology Solutions Corp., Class A | 108,530 | 7,516,788 | |||
DXC Technology Company (A) | 53,680 | 2,090,299 | |||
Fidelity National Information Services, Inc. | 129,121 | 18,292,572 | |||
Fiserv, Inc. (A) | 119,415 | 12,764,269 | |||
FleetCor Technologies, Inc. (A) | 17,287 | 4,426,509 | |||
Gartner, Inc. (A) | 17,709 | 4,289,120 | |||
Global Payments, Inc. | 61,193 | 11,476,135 | |||
IBM Corp. | 185,426 | 27,181,597 | |||
Jack Henry & Associates, Inc. | 15,371 | 2,513,312 | |||
Mastercard, Inc., Class A | 181,953 | 66,429,221 | |||
Paychex, Inc. | 66,285 | 7,112,381 | |||
PayPal Holdings, Inc. (A) | 243,074 | 70,851,210 | |||
The Western Union Company | 86,795 | 1,993,681 | |||
VeriSign, Inc. (A) | 20,742 | 4,722,746 | |||
Visa, Inc., Class A | 351,979 | 82,299,730 | |||
388,282,614 | |||||
Semiconductors and semiconductor equipment – 5.6% | |||||
Advanced Micro Devices, Inc. (A) | 250,317 | 23,512,276 | |||
Analog Devices, Inc. | 76,878 | 13,235,316 | |||
Applied Materials, Inc. | 190,083 | 27,067,819 | |||
Broadcom, Inc. | 84,730 | 40,402,653 | |||
Enphase Energy, Inc. (A) | 26,769 | 4,915,591 | |||
Intel Corp. | 843,347 | 47,345,501 | |||
KLA Corp. | 32,133 | 10,417,840 | |||
Lam Research Corp. | 29,597 | 19,258,768 | |||
Maxim Integrated Products, Inc. | 56,380 | 5,940,197 |
The accompanying notes are an integral part of the financial statements. | 4 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Semiconductors and semiconductor equipment (continued) | |||||
Microchip Technology, Inc. | 55,828 | $ | 8,359,685 | ||
Micron Technology, Inc. (A) | 231,692 | 19,689,186 | |||
Monolithic Power Systems, Inc. | 8,697 | 3,247,895 | |||
NVIDIA Corp. | 128,862 | 103,102,486 | |||
NXP Semiconductors NV | 57,438 | 11,816,145 | |||
Qorvo, Inc. (A) | 23,309 | 4,560,406 | |||
QUALCOMM, Inc. | 235,434 | 33,650,582 | |||
Skyworks Solutions, Inc. | 34,395 | 6,595,241 | |||
Teradyne, Inc. | 35,062 | 4,696,906 | |||
Texas Instruments, Inc. | 191,180 | 36,763,914 | |||
Xilinx, Inc. | 50,740 | 7,339,034 | |||
431,917,441 | |||||
Software – 8.7% | |||||
Adobe, Inc. (A) | 99,421 | 58,224,914 | |||
ANSYS, Inc. (A) | 17,740 | 6,156,844 | |||
Autodesk, Inc. (A) | 45,755 | 13,355,885 | |||
Cadence Design Systems, Inc. (A) | 57,841 | 7,913,806 | |||
Citrix Systems, Inc. | 25,084 | 2,941,601 | |||
Fortinet, Inc. (A) | 28,366 | 6,756,498 | |||
Intuit, Inc. | 56,819 | 27,850,969 | |||
Microsoft Corp. | 1,565,667 | 424,139,190 | |||
NortonLifeLock, Inc. | 124,806 | 3,397,219 | |||
Oracle Corp. | 385,225 | 29,985,914 | |||
Paycom Software, Inc. (A) | 10,034 | 3,647,058 | |||
PTC, Inc. (A) | 23,077 | 3,259,857 | |||
salesforce.com, Inc. (A) | 190,467 | 46,525,374 | |||
ServiceNow, Inc. (A) | 40,504 | 22,258,973 | |||
Synopsys, Inc. (A) | 32,049 | 8,838,794 | |||
Tyler Technologies, Inc. (A) | 8,498 | 3,844,240 | |||
669,097,136 | |||||
Technology hardware, storage and peripherals – 6.1% | |||||
Apple, Inc. | 3,260,758 | 446,593,414 | |||
Hewlett Packard Enterprise Company | 271,657 | 3,960,759 | |||
HP, Inc. | 260,023 | 7,850,094 | |||
NetApp, Inc. | 46,883 | 3,835,967 | |||
Seagate Technology Holdings PLC | 41,677 | 3,664,659 | |||
Western Digital Corp. (A) | 63,887 | 4,546,838 | |||
470,451,731 | |||||
2,068,975,369 | |||||
Materials – 2.5% | |||||
Chemicals – 1.7% | |||||
Air Products & Chemicals, Inc. | 46,023 | 13,239,897 | |||
Albemarle Corp. | 24,100 | 4,059,886 | |||
Celanese Corp. | 23,983 | 3,635,823 | |||
CF Industries Holdings, Inc. | 45,166 | 2,323,791 | |||
Corteva, Inc. | 154,765 | 6,863,828 | |||
Dow, Inc. | 154,100 | 9,751,448 | |||
DuPont de Nemours, Inc. | 112,723 | 8,725,887 | |||
Eastman Chemical Company | 28,583 | 3,337,065 | |||
Ecolab, Inc. | 51,678 | 10,644,118 | |||
FMC Corp. | 27,361 | 2,960,460 | |||
International Flavors & Fragrances, Inc. | 51,188 | 7,647,487 | |||
Linde PLC | 108,402 | 31,339,018 | |||
LyondellBasell Industries NV, Class A | 52,830 | 5,434,622 | |||
PPG Industries, Inc. | 48,926 | 8,306,167 | |||
The Mosaic Company | 72,850 | 2,324,644 | |||
The Sherwin-Williams Company | 50,064 | 13,639,937 | |||
134,234,078 | |||||
Construction materials – 0.1% | |||||
Martin Marietta Materials, Inc. | 13,150 | 4,626,302 | |||
Vulcan Materials Company | 27,028 | 4,704,764 | |||
9,331,066 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Containers and packaging – 0.3% | |||||
Amcor PLC | 319,858 | $ | 3,665,573 | ||
Avery Dennison Corp. | 17,625 | 3,705,480 | |||
Ball Corp. | 67,530 | 5,471,281 | |||
International Paper Company | 80,384 | 4,928,343 | |||
Packaging Corp. of America | 20,027 | 2,712,056 | |||
Sealed Air Corp. | 32,875 | 1,947,844 | |||
Westrock Company | 54,829 | 2,917,999 | |||
25,348,576 | |||||
Metals and mining – 0.4% | |||||
Freeport-McMoRan, Inc. | 301,362 | 11,183,544 | |||
Newmont Corp. | 167,196 | 10,596,882 | |||
Nucor Corp. | 60,772 | 5,829,858 | |||
27,610,284 | |||||
196,524,004 | |||||
Real estate – 2.5% | |||||
Equity real estate investment trusts – 2.4% | |||||
Alexandria Real Estate Equities, Inc. | 25,719 | 4,679,315 | |||
American Tower Corp. | 92,576 | 25,008,481 | |||
AvalonBay Communities, Inc. | 28,919 | 6,035,106 | |||
Boston Properties, Inc. | 29,909 | 3,427,272 | |||
Crown Castle International Corp. | 89,878 | 17,535,198 | |||
Digital Realty Trust, Inc. | 58,298 | 8,771,517 | |||
Duke Realty Corp. | 78,255 | 3,705,374 | |||
Equinix, Inc. | 18,513 | 14,858,534 | |||
Equity Residential | 70,120 | 5,399,240 | |||
Essex Property Trust, Inc. | 13,232 | 3,969,732 | |||
Extra Space Storage, Inc. | 27,257 | 4,465,242 | |||
Federal Realty Investment Trust | 14,536 | 1,703,183 | |||
Healthpeak Properties, Inc. | 109,414 | 3,642,392 | |||
Host Hotels & Resorts, Inc. (A) | 148,936 | 2,545,316 | |||
Iron Mountain, Inc. | 60,850 | 2,575,172 | |||
Kimco Realty Corp. | 91,336 | 1,904,356 | |||
Mid-America Apartment Communities, Inc. | 24,151 | 4,067,511 | |||
Prologis, Inc. | 154,035 | 18,411,804 | |||
Public Storage | 31,542 | 9,484,364 | |||
Realty Income Corp. | 77,177 | 5,150,793 | |||
Regency Centers Corp. | 33,314 | 2,134,428 | |||
SBA Communications Corp. | 22,363 | 7,127,088 | |||
Simon Property Group, Inc. | 68,047 | 8,878,773 | |||
UDR, Inc. | 62,311 | 3,051,993 | |||
Ventas, Inc. | 78,788 | 4,498,795 | |||
Vornado Realty Trust | 33,101 | 1,544,824 | |||
Welltower, Inc. | 86,175 | 7,161,143 | |||
Weyerhaeuser Company | 153,772 | 5,292,832 | |||
187,029,778 | |||||
Real estate management and development – 0.1% | |||||
CBRE Group, Inc., Class A (A) | 68,835 | 5,901,225 | |||
192,931,003 | |||||
Utilities – 2.4% | |||||
Electric utilities – 1.5% | |||||
Alliant Energy Corp. | 52,719 | 2,939,611 | |||
American Electric Power Company, Inc. | 103,212 | 8,730,703 | |||
Duke Energy Corp. | 159,317 | 15,727,774 | |||
Edison International | 77,804 | 4,498,627 | |||
Entergy Corp. | 40,990 | 4,086,703 | |||
Evergy, Inc. | 47,901 | 2,894,657 | |||
Eversource Energy | 70,847 | 5,684,763 | |||
Exelon Corp. | 202,740 | 8,983,409 | |||
FirstEnergy Corp. | 114,481 | 4,259,838 | |||
NextEra Energy, Inc. | 408,117 | 29,906,814 | |||
NRG Energy, Inc. | 51,556 | 2,077,707 | |||
Pinnacle West Capital Corp. | 23,769 | 1,948,345 | |||
PPL Corp. | 157,606 | 4,408,240 |
The accompanying notes are an integral part of the financial statements. | 5 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Electric utilities (continued) | |||||
The Southern Company | 219,931 | $ | 13,308,025 | ||
Xcel Energy, Inc. | 112,306 | 7,398,719 | |||
116,853,935 | |||||
Gas utilities – 0.0% | |||||
Atmos Energy Corp. | 26,050 | 2,503,666 | |||
Independent power and renewable electricity producers – 0.1% | |||||
The AES Corp. | 140,460 | 3,661,792 | |||
Multi-utilities – 0.7% | |||||
Ameren Corp. | 52,178 | 4,176,327 | |||
CenterPoint Energy, Inc. | 115,054 | 2,821,124 | |||
CMS Energy Corp. | 60,456 | 3,571,740 | |||
Consolidated Edison, Inc. | 70,638 | 5,066,157 | |||
Dominion Energy, Inc. | 166,972 | 12,284,130 | |||
DTE Energy Company | 40,684 | 5,272,646 | |||
NiSource, Inc. | 80,885 | 1,981,683 | |||
Public Service Enterprise Group, Inc. | 104,537 | 6,245,040 | |||
Sempra Energy | 62,789 | 8,318,287 | |||
WEC Energy Group, Inc. | 65,208 | 5,800,252 | |||
55,537,386 | |||||
Water utilities – 0.1% | |||||
American Water Works Company, Inc. | 37,404 | 5,765,079 | |||
184,321,858 | |||||
TOTAL COMMON STOCKS (Cost $2,797,694,221) | $ | 7,544,990,879 | |||
SHORT-TERM INVESTMENTS – 2.4% | |||||
U.S. Government – 0.6% | |||||
U.S. Cash Management Bill 0.013%, 09/21/2021 * | $ | 48,000,000 | 47,994,752 | ||
U.S. Government Agency – 1.7% | |||||
Federal Home Loan Bank Discount Note | |||||
0.009%, 07/30/2021 * | 20,000,000 | 19,999,517 | |||
0.014%, 08/06/2021 * | 48,000,000 | 47,998,080 | |||
0.015%, 07/14/2021 * | 12,500,000 | 12,499,865 |
Shares or Principal Amount | Value | ||||
SHORT-TERM INVESTMENTS (continued) | |||||
U.S. Government Agency (continued) | |||||
Federal Home Loan Bank Discount Note (continued) | |||||
0.020%, 07/13/2021 * | $ | 7,000,000 | $ | 6,999,930 | |
0.020%, 07/16/2021 * | 8,000,000 | 7,999,900 | |||
0.035%, 08/25/2021 * | 10,000,000 | 9,999,389 | |||
0.040%, 07/19/2021 * | 14,000,000 | 13,999,790 | |||
0.040%, 07/27/2021 * | 10,000,000 | 9,999,783 | |||
129,496,254 | |||||
Short-term funds – 0.0% | |||||
John Hancock Collateral Trust, 0.0324% (C)(D) | 103,598 | 1,036,455 | |||
Repurchase agreement – 0.1% | |||||
Repurchase Agreement with State Street Corp. dated 6-30-21 at 0.000% to be repurchased at $9,525,000 on 7-1-21, collateralized by $10,038,900 U.S. Treasury Notes, 0.500% due 5-31-27 (valued at $9,715,576) | $ | 9,525,000 | 9,525,000 | ||
TOTAL SHORT-TERM INVESTMENTS (Cost $188,058,311) | $ | 188,052,461 | |||
Total Investments (500 Index Trust) (Cost $2,985,752,532) – 100.0% | $ | 7,733,043,340 | |||
Other assets and liabilities, net – (0.0%) | (549,759) | ||||
TOTAL NET ASSETS – 100.0% | $ | 7,732,493,581 |
Security Abbreviations and Legend | |
(A) | Non-income producing security. |
(B) | All or a portion of this security is on loan as of 6-30-21. |
(C) | The rate shown is the annualized seven-day yield as of 6-30-21. |
(D) | Investment is an affiliate of the fund, the advisor and/or subadvisor. This security represents the investment of cash collateral received for securities lending. |
* | 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 | 939 | Long | Sep 2021 | $198,554,359 | $201,349,770 | $2,795,411 |
$2,795,411 |
Shares or Principal Amount | Value | ||||
INVESTMENT COMPANIES - 100.0% | |||||
American Funds Insurance Series - 100.0% | |||||
American Asset Allocation Fund - Class 1 | 51,073,901 | $ | 1,438,751,803 | ||
TOTAL INVESTMENT COMPANIES (Cost $1,011,849,344) | $ | 1,438,751,803 | |||
Total Investments (American Asset Allocation Trust) (Cost $1,011,849,344) - 100.0% | $ | 1,438,751,803 | |||
Other assets and liabilities, net - (0.0%) | (43,292) | ||||
TOTAL NET ASSETS - 100.0% | $ | 1,438,708,511 |
The accompanying notes are an integral part of the financial statements. | 6 |
American Global Growth Trust
Shares or Principal Amount | Value | ||||
INVESTMENT COMPANIES - 100.0% | |||||
American Funds Insurance Series - 100.0% | |||||
American Global Growth Fund - Class 1 | 5,796,611 | $ | 253,080,024 | ||
TOTAL INVESTMENT COMPANIES (Cost $164,531,438) | $ | 253,080,024 | |||
Total Investments (American Global Growth Trust) (Cost $164,531,438) - 100.0% | $ | 253,080,024 | |||
Other assets and liabilities, net - (0.0%) | (23,734) | ||||
TOTAL NET ASSETS - 100.0% | $ | 253,056,290 |
Shares or Principal Amount | Value | ||||
INVESTMENT COMPANIES - 100.0% | |||||
American Funds Insurance Series - 100.0% | |||||
American Growth Fund - Class 1 | 9,257,106 | $ | 1,095,023,124 | ||
TOTAL INVESTMENT COMPANIES (Cost $710,267,808) | $ | 1,095,023,124 | |||
Total Investments (American Growth Trust) (Cost $710,267,808) - 100.0% | $ | 1,095,023,124 | |||
Other assets and liabilities, net - (0.0%) | (35,604) | ||||
TOTAL NET ASSETS - 100.0% | $ | 1,094,987,520 |
Shares or Principal Amount | Value | ||||
INVESTMENT COMPANIES - 100.0% | |||||
American Funds Insurance Series - 100.0% | |||||
American Growth-Income Fund - Class 1 | 17,333,123 | $ | 1,082,280,216 | ||
TOTAL INVESTMENT COMPANIES (Cost $806,832,320) | $ | 1,082,280,216 | |||
Total Investments (American Growth-Income Trust) (Cost $806,832,320) - 100.0% | $ | 1,082,280,216 | |||
Other assets and liabilities, net - (0.0%) | (38,722) | ||||
TOTAL NET ASSETS - 100.0% | $ | 1,082,241,494 |
Shares or Principal Amount | Value | ||||
INVESTMENT COMPANIES - 100.0% | |||||
American Funds Insurance Series - 100.0% | |||||
American International Fund - Class 1 | 20,712,368 | $ | 512,423,975 | ||
TOTAL INVESTMENT COMPANIES (Cost $386,433,398) | $ | 512,423,975 | |||
Total Investments (American International Trust) (Cost $386,433,398) - 100.0% | $ | 512,423,975 | |||
Other assets and liabilities, net - (0.0%) | (26,633) | ||||
TOTAL NET ASSETS - 100.0% | $ | 512,397,342 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS – 99.6% | |||||
Communication services – 27.0% | |||||
Entertainment – 4.7% | |||||
Live Nation Entertainment, Inc. (A) | 52,900 | $ | 4,633,511 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Entertainment (continued) | |||||
Netflix, Inc. (A) | 78,634 | $ | 41,535,265 | ||
ROBLOX Corp., Class A (A) | 8,666 | 779,767 | |||
Roku, Inc. (A) | 11,900 | 5,465,075 | |||
Sea, Ltd., ADR (A) | 173,791 | 47,723,009 | |||
Spotify Technology SA (A) | 38,048 | 10,485,648 | |||
The Walt Disney Company (A) | 22,518 | 3,957,989 | |||
114,580,264 | |||||
Interactive media and services – 22.1% | |||||
Alphabet, Inc., Class A (A) | 15,868 | 38,746,324 | |||
Alphabet, Inc., Class C (A) | 69,346 | 173,803,267 | |||
Facebook, Inc., Class A (A) | 533,183 | 185,393,061 | |||
IAC/InterActiveCorp (A) | 29,451 | 4,540,461 | |||
Match Group, Inc. (A) | 155,093 | 25,008,746 | |||
Pinterest, Inc., Class A (A) | 265,528 | 20,963,436 | |||
Snap, Inc., Class A (A) | 689,970 | 47,014,556 | |||
Tencent Holdings, Ltd. | 617,100 | 46,462,985 | |||
Vimeo, Inc. (A) | 46,032 | 2,255,568 | |||
544,188,404 | |||||
Wireless telecommunication services – 0.2% | |||||
T-Mobile US, Inc. (A) | 40,517 | 5,868,077 | |||
664,636,745 | |||||
Consumer discretionary – 18.3% | |||||
Auto components – 0.1% | |||||
Aptiv PLC (A) | 18,595 | 2,925,551 | |||
Hotels, restaurants and leisure – 2.0% | |||||
Booking Holdings, Inc. (A) | 7,817 | 17,104,300 | |||
Chipotle Mexican Grill, Inc. (A) | 11,118 | 17,236,680 | |||
Expedia Group, Inc. (A) | 4,600 | 753,066 | |||
Hilton Worldwide Holdings, Inc. (A) | 31,907 | 3,848,622 | |||
Marriott International, Inc., Class A (A) | 10,722 | 1,463,767 | |||
McDonald's Corp. | 6,765 | 1,562,647 | |||
Starbucks Corp. | 23,835 | 2,664,991 | |||
Yum! Brands, Inc. | 35,290 | 4,059,409 | |||
48,693,482 | |||||
Internet and direct marketing retail – 12.8% | |||||
Alibaba Group Holding, Ltd., ADR (A) | 88,603 | 20,093,388 | |||
Amazon.com, Inc. (A) | 79,917 | 274,927,264 | |||
Coupang, Inc. (A)(B) | 3,573 | 149,423 | |||
DoorDash, Inc., Class A (A) | 61,435 | 10,955,704 | |||
Etsy, Inc. (A) | 30,674 | 6,313,936 | |||
JD.com, Inc., ADR (A) | 21,153 | 1,688,221 | |||
Pinduoduo, Inc., ADR (A) | 9,649 | 1,225,616 | |||
Wayfair, Inc., Class A (A) | 800 | 252,568 | |||
315,606,120 | |||||
Multiline retail – 0.7% | |||||
Dollar General Corp. | 82,170 | 17,780,766 | |||
Specialty retail – 1.4% | |||||
Carvana Company (A) | 38,866 | 11,730,536 | |||
Ross Stores, Inc. | 151,489 | 18,784,636 | |||
The TJX Companies, Inc. | 50,517 | 3,405,856 | |||
33,921,028 | |||||
Textiles, apparel and luxury goods – 1.3% | |||||
Lululemon Athletica, Inc. (A) | 50,001 | 18,248,865 | |||
NIKE, Inc., Class B | 79,783 | 12,325,676 | |||
30,574,541 | |||||
449,501,488 | |||||
Consumer staples – 0.0% | |||||
Personal products – 0.0% | |||||
The Estee Lauder Companies, Inc., Class A | 2,701 | 859,134 | |||
Financials – 2.8% |
The accompanying notes are an integral part of the financial statements. | 7 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Capital markets – 2.6% | |||||
Morgan Stanley | 21,092 | $ | 1,933,925 | ||
MSCI, Inc. | 4,800 | 2,558,784 | |||
S&P Global, Inc. | 50,725 | 20,820,076 | |||
The Charles Schwab Corp. | 149,954 | 10,918,151 | |||
The Goldman Sachs Group, Inc. | 71,605 | 27,176,246 | |||
63,407,182 | |||||
Insurance – 0.2% | |||||
Chubb, Ltd. | 4,845 | 770,064 | |||
Marsh & McLennan Companies, Inc. | 32,031 | 4,506,121 | |||
5,276,185 | |||||
68,683,367 | |||||
Health care – 10.6% | |||||
Biotechnology – 0.2% | |||||
Exact Sciences Corp. (A) | 1,343 | 166,948 | |||
Incyte Corp. (A) | 57,275 | 4,818,546 | |||
Vertex Pharmaceuticals, Inc. (A) | 6,139 | 1,237,807 | |||
6,223,301 | |||||
Health care equipment and supplies – 4.2% | |||||
Align Technology, Inc. (A) | 5,492 | 3,355,612 | |||
Danaher Corp. | 96,830 | 25,985,299 | |||
Dentsply Sirona, Inc. | 103,001 | 6,515,843 | |||
Intuitive Surgical, Inc. (A) | 41,205 | 37,893,766 | |||
Stryker Corp. | 114,208 | 29,663,244 | |||
103,413,764 | |||||
Health care providers and services – 4.6% | |||||
Anthem, Inc. | 36,316 | 13,865,449 | |||
Centene Corp. (A) | 97,913 | 7,140,795 | |||
Cigna Corp. | 105,237 | 24,948,536 | |||
HCA Healthcare, Inc. | 83,995 | 17,365,126 | |||
Humana, Inc. | 4,690 | 2,076,357 | |||
UnitedHealth Group, Inc. | 117,600 | 47,091,744 | |||
112,488,007 | |||||
Health care technology – 0.3% | |||||
Veeva Systems, Inc., Class A (A) | 22,690 | 7,055,456 | |||
Life sciences tools and services – 0.5% | |||||
Thermo Fisher Scientific, Inc. | 24,396 | 12,307,050 | |||
Pharmaceuticals – 0.8% | |||||
AstraZeneca PLC, ADR (B) | 97,503 | 5,840,430 | |||
Eli Lilly & Company | 2,020 | 463,630 | |||
Zoetis, Inc. | 70,782 | 13,190,934 | |||
19,494,994 | |||||
260,982,572 | |||||
Industrials – 2.0% | |||||
Commercial services and supplies – 0.2% | |||||
Cintas Corp. | 8,142 | 3,110,244 | |||
Copart, Inc. (A) | 11,544 | 1,521,846 | |||
4,632,090 | |||||
Electrical equipment – 0.2% | |||||
Generac Holdings, Inc. (A) | 13,273 | 5,510,286 | |||
Industrial conglomerates – 0.8% | |||||
General Electric Company | 598,965 | 8,062,069 | |||
Roper Technologies, Inc. | 24,195 | 11,376,489 | |||
19,438,558 | |||||
Professional services – 0.8% | |||||
CoStar Group, Inc. (A) | 134,810 | 11,164,964 | |||
Equifax, Inc. | 13,810 | 3,307,633 | |||
TransUnion | 31,400 | 3,448,034 | |||
17,920,631 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Road and rail – 0.0% | |||||
Union Pacific Corp. | 1,084 | $ | 238,404 | ||
47,739,969 | |||||
Information technology – 38.4% | |||||
Electronic equipment, instruments and components – 0.2% | |||||
TE Connectivity, Ltd. | 29,914 | 4,044,672 | |||
IT services – 12.5% | |||||
Automatic Data Processing, Inc. | 902 | 179,155 | |||
Fidelity National Information Services, Inc. | 95,767 | 13,567,311 | |||
Fiserv, Inc. (A) | 181,877 | 19,440,833 | |||
Global Payments, Inc. | 227,770 | 42,715,986 | |||
Mastercard, Inc., Class A | 141,211 | 51,554,724 | |||
MongoDB, Inc. (A) | 32,256 | 11,661,189 | |||
PayPal Holdings, Inc. (A) | 231,432 | 67,457,799 | |||
Shopify, Inc., Class A (A) | 10,265 | 14,996,960 | |||
Snowflake, Inc., Class A (A) | 5,025 | 1,215,045 | |||
Square, Inc., Class A (A) | 6,309 | 1,538,134 | |||
Twilio, Inc., Class A (A) | 10,858 | 4,279,789 | |||
Visa, Inc., Class A | 335,971 | 78,556,739 | |||
307,163,664 | |||||
Semiconductors and semiconductor equipment – 4.5% | |||||
Advanced Micro Devices, Inc. (A) | 194,925 | 18,309,305 | |||
ASML Holding NV, NYRS | 27,000 | 18,652,680 | |||
Marvell Technology, Inc. | 258,829 | 15,097,496 | |||
Maxim Integrated Products, Inc. | 22,309 | 2,350,476 | |||
Microchip Technology, Inc. | 35,841 | 5,366,831 | |||
Monolithic Power Systems, Inc. | 1,482 | 553,453 | |||
NVIDIA Corp. | 48,200 | 38,564,820 | |||
Taiwan Semiconductor Manufacturing Company, Ltd., ADR | 1,300 | 156,208 | |||
Texas Instruments, Inc. | 59,625 | 11,465,888 | |||
110,517,157 | |||||
Software – 16.7% | |||||
Atlassian Corp. PLC, Class A (A) | 28,185 | 7,239,599 | |||
Coupa Software, Inc. (A) | 18,347 | 4,808,932 | |||
Crowdstrike Holdings, Inc., Class A (A) | 11,573 | 2,908,411 | |||
Datadog, Inc., Class A (A) | 35,400 | 3,684,432 | |||
DocuSign, Inc. (A) | 49,297 | 13,781,962 | |||
Fortinet, Inc. (A) | 49,400 | 11,766,586 | |||
Intuit, Inc. | 139,867 | 68,558,607 | |||
Microsoft Corp. | 538,255 | 145,813,280 | |||
Paycom Software, Inc. (A) | 5,909 | 2,147,744 | |||
salesforce.com, Inc. (A) | 185,925 | 45,415,900 | |||
ServiceNow, Inc. (A) | 94,887 | 52,145,151 | |||
Splunk, Inc. (A) | 34,207 | 4,945,648 | |||
Synopsys, Inc. (A) | 74,613 | 20,577,519 | |||
Workday, Inc., Class A (A) | 21,427 | 5,115,482 | |||
Zendesk, Inc. (A) | 2,965 | 427,968 | |||
Zoom Video Communications, Inc., Class A (A) | 54,720 | 21,178,282 | |||
410,515,503 | |||||
Technology hardware, storage and peripherals – 4.5% | |||||
Apple, Inc. | 817,130 | 111,914,125 | |||
944,155,121 | |||||
Materials – 0.5% | |||||
Chemicals – 0.3% | |||||
Linde PLC | 21,195 | 6,127,475 | |||
The Sherwin-Williams Company | 6,186 | 1,685,376 | |||
7,812,851 | |||||
Containers and packaging – 0.2% | |||||
Avery Dennison Corp. | 21,227 | 4,462,764 | |||
12,275,615 | |||||
TOTAL COMMON STOCKS (Cost $1,284,531,572) | $ | 2,448,834,011 |
The accompanying notes are an integral part of the financial statements. | 8 |
Shares or Principal Amount | Value | ||||
SHORT-TERM INVESTMENTS – 0.6% | |||||
Short-term funds – 0.6% | |||||
John Hancock Collateral Trust, 0.0324% (C)(D) | 615,495 | $ | 6,157,780 | ||
State Street Institutional U.S. Government Money Market Fund, Premier Class, 0.0250% (C) | 1,138,666 | 1,138,666 | |||
T. Rowe Price Government Reserve Fund, 0.0295% (C) | 8,747,561 | 8,747,561 | |||
TOTAL SHORT-TERM INVESTMENTS (Cost $16,044,250) | $ | 16,044,007 | |||
Total Investments (Blue Chip Growth Trust) (Cost $1,300,575,822) – 100.2% | $ | 2,464,878,018 | |||
Other assets and liabilities, net – (0.2%) | (6,128,459) | ||||
TOTAL NET ASSETS – 100.0% | $ | 2,458,749,559 |
Security Abbreviations and Legend | |
ADR | American Depositary Receipt |
NYRS | New York Registry Shares |
(A) | Non-income producing security. |
(B) | All or a portion of this security is on loan as of 6-30-21. |
(C) | The rate shown is the annualized seven-day yield as of 6-30-21. |
(D) | Investment is an affiliate of the fund, the advisor and/or subadvisor. This security represents the investment of cash collateral received for securities lending. |
Shares or Principal Amount | Value | ||||
COMMON STOCKS – 99.9% | |||||
Communication services – 17.6% | |||||
Entertainment – 4.1% | |||||
Netflix, Inc. (A) | 33,906 | $ | 17,909,488 | ||
ROBLOX Corp., Class A (A) | 53,099 | 4,777,848 | |||
Spotify Technology SA (A) | 30,935 | 8,525,377 | |||
31,212,713 | |||||
Interactive media and services – 13.5% | |||||
Alphabet, Inc., Class A (A) | 8,998 | 21,971,226 | |||
Alphabet, Inc., Class C (A) | 8,565 | 21,466,631 | |||
Facebook, Inc., Class A (A) | 87,670 | 30,483,736 | |||
Match Group, Inc. (A) | 95,372 | 15,378,735 | |||
Snap, Inc., Class A (A) | 206,711 | 14,085,288 | |||
103,385,616 | |||||
134,598,329 | |||||
Consumer discretionary – 26.0% | |||||
Automobiles – 4.9% | |||||
Tesla, Inc. (A) | 55,079 | 37,437,196 | |||
Hotels, restaurants and leisure – 2.4% | |||||
Airbnb, Inc., Class A (A) | 47,427 | 7,262,971 | |||
Chipotle Mexican Grill, Inc. (A) | 5,686 | 8,815,233 | |||
Marriott International, Inc., Class A (A) | 16,357 | 2,233,058 | |||
18,311,262 | |||||
Internet and direct marketing retail – 7.8% | |||||
Amazon.com, Inc. (A) | 15,818 | 54,416,452 | |||
MercadoLibre, Inc. (A) | 3,613 | 5,628,295 | |||
60,044,747 | |||||
Multiline retail – 1.5% | |||||
Target Corp. | 47,669 | 11,523,504 | |||
Specialty retail – 2.8% | |||||
Carvana Company (A) | 30,074 | 9,076,935 | |||
The Home Depot, Inc. | 11,106 | 3,541,592 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Specialty retail (continued) | |||||
The TJX Companies, Inc. | 133,997 | $ | 9,034,078 | ||
21,652,605 | |||||
Textiles, apparel and luxury goods – 6.6% | |||||
Kering SA | 13,935 | 12,210,086 | |||
Lululemon Athletica, Inc. (A) | 25,380 | 9,262,939 | |||
LVMH Moet Hennessy Louis Vuitton SE | 19,830 | 15,599,404 | |||
NIKE, Inc., Class B | 85,141 | 13,153,433 | |||
50,225,862 | |||||
199,195,176 | |||||
Consumer staples – 3.0% | |||||
Food and staples retailing – 1.1% | |||||
Costco Wholesale Corp. | 22,165 | 8,770,026 | |||
Personal products – 1.9% | |||||
The Estee Lauder Companies, Inc., Class A | 45,507 | 14,474,867 | |||
23,244,893 | |||||
Financials – 1.3% | |||||
Capital markets – 1.3% | |||||
S&P Global, Inc. | 14,776 | 6,064,809 | |||
The Goldman Sachs Group, Inc. | 10,740 | 4,076,152 | |||
10,140,961 | |||||
Health care – 4.5% | |||||
Health care equipment and supplies – 2.2% | |||||
Danaher Corp. | 30,487 | 8,181,491 | |||
DexCom, Inc. (A) | 11,481 | 4,902,387 | |||
Intuitive Surgical, Inc. (A) | 4,269 | 3,925,943 | |||
17,009,821 | |||||
Health care providers and services – 0.8% | |||||
UnitedHealth Group, Inc. | 14,202 | 5,687,049 | |||
Pharmaceuticals – 1.5% | |||||
Eli Lilly & Company | 50,688 | 11,633,910 | |||
34,330,780 | |||||
Industrials – 3.6% | |||||
Aerospace and defense – 0.8% | |||||
Safran SA | 44,579 | 6,186,804 | |||
Road and rail – 2.8% | |||||
Uber Technologies, Inc. (A) | 278,777 | 13,972,303 | |||
Union Pacific Corp. | 34,274 | 7,537,881 | |||
21,510,184 | |||||
27,696,988 | |||||
Information technology – 43.9% | |||||
IT services – 18.4% | |||||
Adyen NV (A)(B) | 5,726 | 14,042,038 | |||
Mastercard, Inc., Class A | 37,285 | 13,612,381 | |||
Okta, Inc. (A) | 11,549 | 2,825,809 | |||
PayPal Holdings, Inc. (A) | 60,932 | 17,760,459 | |||
Shopify, Inc., Class A (A) | 24,545 | 35,859,754 | |||
Snowflake, Inc., Class A (A) | 18,273 | 4,418,411 | |||
Square, Inc., Class A (A) | 60,323 | 14,706,747 | |||
Twilio, Inc., Class A (A) | 44,675 | 17,609,098 | |||
Visa, Inc., Class A | 86,488 | 20,222,624 | |||
141,057,321 | |||||
Semiconductors and semiconductor equipment – 6.1% | |||||
NVIDIA Corp. | 42,261 | 33,813,026 | |||
Taiwan Semiconductor Manufacturing Company, Ltd., ADR | 108,106 | 12,990,017 | |||
46,803,043 | |||||
Software – 14.9% | |||||
Adobe, Inc. (A) | 44,637 | 26,141,213 |
The accompanying notes are an integral part of the financial statements. | 9 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Software (continued) | |||||
Atlassian Corp. PLC, Class A (A) | 26,171 | $ | 6,722,283 | ||
Crowdstrike Holdings, Inc., Class A (A) | 50,640 | 12,726,338 | |||
DocuSign, Inc. (A) | 28,171 | 7,875,766 | |||
Microsoft Corp. | 113,917 | 30,860,115 | |||
RingCentral, Inc., Class A (A) | 13,835 | 4,020,174 | |||
salesforce.com, Inc. (A) | 53,959 | 13,180,565 | |||
The Trade Desk, Inc., Class A (A) | 96,200 | 7,442,032 | |||
Workday, Inc., Class A (A) | 20,532 | 4,901,810 | |||
113,870,296 | |||||
Technology hardware, storage and peripherals – 4.5% | |||||
Apple, Inc. | 254,241 | 34,820,847 | |||
336,551,507 | |||||
TOTAL COMMON STOCKS (Cost $488,565,219) | $ | 765,758,634 | |||
SHORT-TERM INVESTMENTS – 0.1% | |||||
Short-term funds – 0.1% | |||||
State Street Institutional U.S. Government Money Market Fund, Premier Class, 0.0250% (C) | 1,055,530 | 1,055,530 | |||
TOTAL SHORT-TERM INVESTMENTS (Cost $1,055,530) | $ | 1,055,530 | |||
Total Investments (Capital Appreciation Trust) (Cost $489,620,749) – 100.0% | $ | 766,814,164 | |||
Other assets and liabilities, net – 0.0% | 95,491 | ||||
TOTAL NET ASSETS – 100.0% | $ | 766,909,655 |
Security Abbreviations and Legend | |
ADR | American Depositary Receipt |
(A) | Non-income producing security. |
(B) | 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. |
(C) | The rate shown is the annualized seven-day yield as of 6-30-21. |
Shares or Principal Amount | Value | ||||
COMMON STOCKS – 71.1% | |||||
Communication services – 4.6% | |||||
Interactive media and services – 4.6% | |||||
Alphabet, Inc., Class A (A)(B) | 1,082 | $ | 2,642,017 | ||
Alphabet, Inc., Class C (A)(B) | 5,841 | 14,639,415 | |||
Facebook, Inc., Class A (B) | 13,891 | 4,830,040 | |||
22,111,472 | |||||
Consumer discretionary – 9.7% | |||||
Hotels, restaurants and leisure – 4.1% | |||||
Hilton Worldwide Holdings, Inc. (A)(B) | 25,222 | 3,042,278 | |||
Marriott International, Inc., Class A (A)(B) | 21,643 | 2,954,702 | |||
McDonald's Corp. | 4,300 | 993,257 | |||
Yum! Brands, Inc. | 110,242 | 12,681,137 | |||
19,671,374 | |||||
Internet and direct marketing retail – 5.6% | |||||
Amazon.com, Inc. (A)(B) | 7,699 | 26,485,792 | |||
Specialty retail – 0.0% | |||||
Ross Stores, Inc. (A) | 1,800 | 223,200 | |||
46,380,366 | |||||
Consumer staples – 1.5% | |||||
Beverages – 1.4% | |||||
Keurig Dr. Pepper, Inc. | 110,597 | 3,897,438 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Beverages (continued) | |||||
PepsiCo, Inc. | 8,000 | $ | 1,185,360 | ||
The Coca-Cola Company (A) | 27,100 | 1,466,381 | |||
6,549,179 | |||||
Food products – 0.1% | |||||
Mondelez International, Inc., Class A | 7,800 | 487,032 | |||
7,036,211 | |||||
Financials – 9.3% | |||||
Banks – 4.2% | |||||
Bank of America Corp. (A) | 133,050 | 5,485,652 | |||
Huntington Bancshares, Inc. | 2 | 29 | |||
The PNC Financial Services Group, Inc. | 76,748 | 14,640,448 | |||
20,126,129 | |||||
Capital markets – 1.0% | |||||
CME Group, Inc. | 3,800 | 808,184 | |||
Intercontinental Exchange, Inc. | 33,466 | 3,972,414 | |||
4,780,598 | |||||
Insurance – 4.1% | |||||
Arthur J. Gallagher & Company | 21,648 | 3,032,452 | |||
Marsh & McLennan Companies, Inc. (A) | 116,334 | 16,365,867 | |||
19,398,319 | |||||
44,305,046 | |||||
Health care – 14.2% | |||||
Health care equipment and supplies – 4.3% | |||||
Becton, Dickinson and Company | 19,082 | 4,640,552 | |||
Danaher Corp. (A) | 54,362 | 14,588,586 | |||
Envista Holdings Corp. (A)(B) | 15,314 | 661,718 | |||
Medtronic PLC (A) | 3,800 | 471,694 | |||
20,362,550 | |||||
Health care providers and services – 5.6% | |||||
Humana, Inc. (A) | 29,495 | 13,058,026 | |||
UnitedHealth Group, Inc. | 33,750 | 13,514,850 | |||
26,572,876 | |||||
Life sciences tools and services – 4.3% | |||||
PerkinElmer, Inc. | 43,566 | 6,727,026 | |||
Thermo Fisher Scientific, Inc. | 27,367 | 13,805,830 | |||
20,532,856 | |||||
67,468,282 | |||||
Industrials – 7.9% | |||||
Aerospace and defense – 0.8% | |||||
Lockheed Martin Corp. | 2,700 | 1,021,545 | |||
Northrop Grumman Corp. (A) | 3,000 | 1,090,290 | |||
Teledyne Technologies, Inc. (B) | 3,593 | 1,504,856 | |||
3,616,691 | |||||
Commercial services and supplies – 1.4% | |||||
Waste Connections, Inc. | 52,361 | 6,253,474 | |||
Waste Management, Inc. (A) | 3,900 | 546,429 | |||
6,799,903 | |||||
Industrial conglomerates – 5.0% | |||||
General Electric Company | 1,519,644 | 20,454,408 | |||
Roper Technologies, Inc. | 7,148 | 3,360,990 | |||
23,815,398 | |||||
Machinery – 0.7% | |||||
Ingersoll Rand, Inc. (B) | 71,054 | 3,468,146 | |||
37,700,138 | |||||
Information technology – 15.9% | |||||
Communications equipment – 0.3% | |||||
Cisco Systems, Inc. | 29,700 | 1,574,100 | |||
Electronic equipment, instruments and components – 0.9% | |||||
TE Connectivity, Ltd. | 31,191 | 4,217,335 |
The accompanying notes are an integral part of the financial statements. | 10 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
IT services – 6.6% | |||||
Fiserv, Inc. (A)(B) | 73,760 | $ | 7,884,206 | ||
FleetCor Technologies, Inc. (B) | 18,682 | 4,783,713 | |||
Global Payments, Inc. (A) | 32,163 | 6,031,849 | |||
Visa, Inc., Class A (A) | 53,323 | 12,467,984 | |||
31,167,752 | |||||
Semiconductors and semiconductor equipment – 0.2% | |||||
NXP Semiconductors NV | 4,500 | 925,740 | |||
Software – 7.9% | |||||
Microsoft Corp. (A) | 112,442 | 30,460,529 | |||
salesforce.com, Inc. (B) | 29,242 | 7,142,943 | |||
37,603,472 | |||||
75,488,399 | |||||
Real estate – 0.2% | |||||
Equity real estate investment trusts – 0.2% | |||||
American Tower Corp. | 2,568 | 693,720 | |||
Utilities – 7.8% | |||||
Electric utilities – 3.5% | |||||
American Electric Power Company, Inc. | 127,874 | 10,816,862 | |||
Duke Energy Corp. | 132 | 13,031 | |||
Exelon Corp. | 138,638 | 6,143,050 | |||
16,972,943 | |||||
Multi-utilities – 4.3% | |||||
Ameren Corp. | 96,617 | 7,733,225 | |||
CMS Energy Corp. | 31,376 | 1,853,694 | |||
NiSource, Inc. | 173,525 | 4,251,363 | |||
Public Service Enterprise Group, Inc. | 109,185 | 6,522,712 | |||
20,360,994 | |||||
37,333,937 | |||||
TOTAL COMMON STOCKS (Cost $257,289,758) | $ | 338,517,571 | |||
PREFERRED SECURITIES – 1.2% | |||||
Financials – 0.0% | |||||
Capital markets – 0.0% | |||||
The Charles Schwab Corp., 5.950% | 1,000 | 25,370 | |||
Utilities – 1.2% | |||||
Electric utilities – 0.3% | |||||
Alabama Power Company, 5.000% | 3,379 | 90,828 | |||
American Electric Power Company, Inc., 6.125% | 12,402 | 609,310 | |||
Duke Energy Corp., 5.625% | 4,698 | 129,524 | |||
SCE Trust III (5.750% to 3-15-24, then 3 month LIBOR + 2.990%) | 657 | 16,655 | |||
SCE Trust IV (5.375% to 9-15-25, then 3 month LIBOR + 3.132%) | 27,553 | 686,070 | |||
1,532,387 | |||||
Multi-utilities – 0.9% | |||||
CMS Energy Corp., 5.875% | 41,200 | 1,125,172 | |||
CMS Energy Corp., 5.875% | 50,000 | 1,386,000 | |||
DTE Energy Company, 5.250% | 16,367 | 433,889 | |||
NiSource, Inc. (6.500% to 3-15-24, then 5 Year CMT + 3.632%) | 20,000 | 573,200 | |||
NiSource, Inc., 7.750% | 7,708 | 792,305 | |||
4,310,566 | |||||
5,842,953 | |||||
TOTAL PREFERRED SECURITIES (Cost $5,510,445) | $ | 5,868,323 | |||
CORPORATE BONDS - 7.7% | |||||
Communication services - 2.9% | |||||
Altice Financing SA 7.500%, 05/15/2026 (C) | $ | 425,000 | 442,553 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Communication services (continued) | |||||
Altice France Holding SA 10.500%, 05/15/2027 (C) | $ | 450,000 | $ | 500,063 | |
CCO Holdings LLC | |||||
4.000%, 03/01/2023 (C) | 416,000 | 419,640 | |||
5.000%, 02/01/2028 (C) | 2,095,000 | 2,197,131 | |||
5.125%, 05/01/2027 (C) | 1,341,000 | 1,406,575 | |||
Netflix, Inc. | |||||
4.375%, 11/15/2026 | 1,260,000 | 1,432,897 | |||
4.875%, 04/15/2028 | 1,790,000 | 2,080,875 | |||
4.875%, 06/15/2030 (C) | 40,000 | 47,572 | |||
5.500%, 02/15/2022 | 45,000 | 46,125 | |||
5.875%, 02/15/2025 to 11/15/2028 | 2,810,000 | 3,419,979 | |||
6.375%, 05/15/2029 | 1,165,000 | 1,487,996 | |||
Photo Holdings Merger Sub, Inc. 8.500%, 10/01/2026 (C) | 136,000 | 149,090 | |||
Sirius XM Radio, Inc. | |||||
3.875%, 08/01/2022 (C) | 45,000 | 45,081 | |||
5.000%, 08/01/2027 (C) | 65,000 | 68,104 | |||
13,743,681 | |||||
Consumer discretionary - 2.0% | |||||
Cedar Fair LP | |||||
5.250%, 07/15/2029 | 384,000 | 395,520 | |||
5.375%, 06/01/2024 to 04/15/2027 | 1,441,000 | 1,468,823 | |||
5.500%, 05/01/2025 (C) | 105,000 | 109,594 | |||
6.500%, 10/01/2028 (C) | 345,000 | 371,738 | |||
Clarios Global LP | |||||
6.250%, 05/15/2026 (C) | 122,000 | 129,968 | |||
6.750%, 05/15/2025 (C) | 62,000 | 66,029 | |||
8.500%, 05/15/2027 (C) | 80,000 | 87,216 | |||
KFC Holding Company/Pizza Hut Holdings LLC/Taco Bell of America LLC 4.750%, 06/01/2027 (C) | 1,657,000 | 1,733,636 | |||
Life Time, Inc. 5.750%, 01/15/2026 (C) | 365,000 | 378,231 | |||
Marriott International, Inc. 3.125%, 06/15/2026 | 120,000 | 127,412 | |||
Six Flags Entertainment Corp. | |||||
4.875%, 07/31/2024 (C) | 1,195,000 | 1,206,950 | |||
5.500%, 04/15/2027 (C) | 511,000 | 527,010 | |||
Six Flags Theme Parks, Inc. 7.000%, 07/01/2025 (C) | 494,000 | 532,384 | |||
Yum! Brands, Inc. | |||||
3.750%, 11/01/2021 | 975,000 | 976,219 | |||
3.875%, 11/01/2023 | 440,000 | 462,000 | |||
4.750%, 01/15/2030 (C) | 2,000 | 2,165 | |||
5.350%, 11/01/2043 | 579,000 | 615,188 | |||
6.875%, 11/15/2037 | 367,000 | 455,080 | |||
7.750%, 04/01/2025 (C) | 90,000 | 97,875 | |||
9,743,038 | |||||
Financials - 1.0% | |||||
Acrisure LLC 7.000%, 11/15/2025 (C) | 775,000 | 790,500 | |||
AmWINS Group, Inc. 7.750%, 07/01/2026 (C) | 630,000 | 668,210 | |||
HUB International, Ltd. 7.000%, 05/01/2026 (C) | 1,380,000 | 1,431,184 | |||
State Street Corp. (3 month LIBOR + 3.597%) 3.716%, 09/15/2021 (D)(E) | 145,000 | 145,116 | |||
The Bank of New York Mellon Corp. (3 month LIBOR + 3.420%) 3.555%, 09/20/2021 (D)(E) | 450,000 | 453,263 |
The accompanying notes are an integral part of the financial statements. | 11 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Financials (continued) | |||||
The PNC Financial Services Group, Inc. (5.000% to 11-1-26, then 3 month LIBOR + 3.300%) 11/01/2026 (D) | $ | 390,000 | $ | 433,875 | |
USI, Inc. 6.875%, 05/01/2025 (C) | 654,000 | 662,195 | |||
4,584,343 | |||||
Health care - 0.2% | |||||
Avantor Funding, Inc. 4.625%, 07/15/2028 (C) | 45,000 | 47,510 | |||
Elanco Animal Health, Inc. 4.912%, 08/27/2021 | 416,000 | 417,612 | |||
Hadrian Merger Sub, Inc. 8.500%, 05/01/2026 (C) | 280,000 | 291,900 | |||
Surgery Center Holdings, Inc. 10.000%, 04/15/2027 (C) | 150,000 | 164,625 | |||
Teleflex, Inc. 4.625%, 11/15/2027 | 285,000 | 303,579 | |||
1,225,226 | |||||
Industrials - 1.3% | |||||
Continental Airlines 2012-1 Class A Pass Through Trust 4.150%, 04/11/2024 | 151,563 | 159,899 | |||
Delta Air Lines, Inc. | |||||
4.500%, 10/20/2025 (C) | 700,000 | 752,235 | |||
4.750%, 10/20/2028 (C) | 390,000 | 433,585 | |||
General Electric Company (3 month LIBOR + 3.330%) 3.449%, 09/15/2021 (D)(E) | 2,990,000 | 2,930,200 | |||
Korn Ferry 4.625%, 12/15/2027 (C) | 90,000 | 93,488 | |||
Lennox International, Inc. 3.000%, 11/15/2023 | 90,000 | 94,325 | |||
Mileage Plus Holdings LLC 6.500%, 06/20/2027 (C) | 280,000 | 308,280 | |||
Sensata Technologies BV | |||||
4.875%, 10/15/2023 (C) | 110,000 | 117,921 | |||
5.000%, 10/01/2025 (C) | 325,000 | 361,969 | |||
5.625%, 11/01/2024 (C) | 90,000 | 100,013 | |||
US Airways 2010-1 Class A Pass Through Trust 6.250%, 04/22/2023 | 90,374 | 92,633 | |||
US Airways 2012-2 Class A Pass Through Trust 4.625%, 06/03/2025 | 12,418 | 12,418 | |||
US Airways 2013-1 Class A Pass Through Trust 3.950%, 11/15/2025 | 136,333 | 135,651 | |||
US Airways 2013-1 Class B Pass Through Trust 5.375%, 11/15/2021 | 48,595 | 48,593 | |||
Welbilt, Inc. 9.500%, 02/15/2024 | 362,000 | 379,086 | |||
Xylem, Inc. 4.875%, 10/01/2021 | 60,000 | 60,655 | |||
6,080,951 | |||||
Information technology - 0.1% | |||||
Clarivate Science Holdings Corp. | |||||
3.875%, 06/30/2028 (C) | 240,000 | 242,186 | |||
4.875%, 06/30/2029 (C) | 80,000 | 82,100 | |||
324,286 | |||||
Real estate - 0.1% | |||||
SBA Communications Corp. | |||||
3.875%, 02/15/2027 | 195,000 | 200,246 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Real estate (continued) | |||||
SBA Communications Corp. (continued) | |||||
4.875%, 09/01/2024 | $ | 335,000 | $ | 340,863 | |
541,109 | |||||
Utilities - 0.1% | |||||
NiSource, Inc. (5.650% to 6-15-23, then 5 Year CMT + 2.843%) 06/15/2023 (D) | 575,000 | 613,094 | |||
TOTAL CORPORATE BONDS (Cost $33,998,087) | $ | 36,855,728 | |||
TERM LOANS (F) – 8.5% | |||||
Communication services – 0.2% | |||||
Delta 2 Lux Sarl, 2018 USD Term Loan (1 month LIBOR + 2.500%) 3.500%, 02/01/2024 | 895,000 | 889,549 | |||
Eagle Broadband Investments LLC, Term Loan (3 month LIBOR + 3.000%) 4.000%, 11/12/2027 | 129,350 | 129,228 | |||
1,018,777 | |||||
Consumer discretionary – 0.5% | |||||
Four Seasons Hotels, Ltd., New 1st Lien Term Loan (1 month LIBOR + 2.000%) 2.104%, 11/30/2023 | 518,217 | 516,274 | |||
IRB Holding Corp., 2020 4th Amendment Incremental Term Loan (3 month LIBOR + 3.250%) 4.250%, 12/15/2027 | 532,699 | 532,369 | |||
IRB Holding Corp., 2020 Term Loan B (3 month LIBOR + 2.750%) 3.750%, 02/05/2025 | 74,871 | 74,691 | |||
Life Time, Inc., 2021 Term Loan B (3 month LIBOR + 4.750%) 5.750%, 12/16/2024 | 719,011 | 720,808 | |||
SeaWorld Parks & Entertainment, Inc., Term Loan B5 (1 month LIBOR + 3.000%) 3.750%, 03/31/2024 | 303,017 | 300,744 | |||
Woof Holdings, Inc., 1st Lien Term Loan (3 month LIBOR + 3.750%) 4.500%, 12/21/2027 | 199,500 | 199,334 | |||
2,344,220 | |||||
Consumer staples – 0.3% | |||||
Prestige Brands, Inc., Term Loan B4 (1 month LIBOR + 2.000%) 2.104%, 01/26/2024 | 19,218 | 19,221 | |||
Sunshine Luxembourg VII Sarl, 2021 Term Loan B3 (3 month LIBOR + 3.750%) 4.500%, 10/01/2026 | 1,293,200 | 1,297,157 | |||
1,316,378 | |||||
Financials – 2.9% | |||||
Alliant Holdings Intermediate LLC, 2020 Term Loan B3 (1 month LIBOR + 3.750%) 4.250%, 10/08/2027 | 666,374 | 666,927 | |||
Alliant Holdings Intermediate LLC, 2018 Term Loan B (1 month LIBOR + 3.250%) 3.354%, 05/09/2025 | 807,488 | 798,315 | |||
Alliant Holdings Intermediate LLC, Term Loan B (1 month LIBOR + 3.250%) 3.354%, 05/09/2025 | 233,105 | 230,425 | |||
HUB International, Ltd., 2018 Term Loan B (3 month LIBOR + 2.750%) 2.926%, 04/25/2025 | 6,602,113 | 6,525,462 |
The accompanying notes are an integral part of the financial statements. | 12 |
Shares or Principal Amount | Value | ||||
TERM LOANS (F)(continued) | |||||
Financials (continued) | |||||
HUB International, Ltd., 2021 Term Loan B (3 month LIBOR + 3.250%) 4.000%, 04/25/2025 | $ | 2,623,733 | $ | 2,621,896 | |
Hyperion Refinance Sarl, 2020 Incremental Term Loan B (1 month LIBOR + 3.750%) 4.750%, 11/12/2027 | 472,174 | 473,354 | |||
Ryan Specialty Group LLC, Term Loan (1 month LIBOR + 3.000%) 3.750%, 09/01/2027 | 268,125 | 267,873 | |||
USI, Inc., 2017 Repriced Term Loan (3 month LIBOR + 3.000%) 3.147%, 05/16/2024 | 1,431,266 | 1,417,182 | |||
USI, Inc., 2019 Incremental Term Loan B (3 month LIBOR + 3.250%) 3.397%, 12/02/2026 | 825,984 | 817,873 | |||
13,819,307 | |||||
Health care – 1.3% | |||||
ADMI Corp., 2021 Incremental Term Loan B3 TBD 12/23/2027 (G) | 615,000 | 613,850 | |||
ADMI Corp., 2021 Term Loan B2 (1 month LIBOR + 2.750%) 3.250%, 12/23/2027 | 588,525 | 581,539 | |||
CPI Holdco LLC, 2021 Term Loan (1 month LIBOR + 3.750%) 3.854%, 11/04/2026 | 203,221 | 203,331 | |||
Dino Grandparent, Inc., 2019 Term Loan A3 (1 month LIBOR + 2.250%) 2.354%, 02/20/2023 | 850,000 | 841,500 | |||
Heartland Dental LLC, 2018 1st Lien Term Loan (1 month LIBOR + 3.500%) 3.604%, 04/30/2025 | 1,621,298 | 1,601,032 | |||
Heartland Dental LLC, 2021 Incremental Term Loan (1 month LIBOR + 4.000%) 4.073%, 04/30/2025 | 150,000 | 149,625 | |||
Loire Finco Luxembourg Sarl, Term Loan (1 month LIBOR + 3.000%) 3.104%, 04/21/2027 | 1,153,394 | 1,133,209 | |||
Pacific Dental Services, Inc., 2021 Term Loan (1 month LIBOR + 3.500%) 4.250%, 05/05/2028 | 145,000 | 145,273 | |||
PetVet Care Centers LLC, 2018 1st Lien Term Loan (1 month LIBOR + 2.750%) 2.854%, 02/14/2025 | 84,131 | 82,927 | |||
PetVet Care Centers LLC, 2018 Incremental Term Loan (1 month LIBOR + 3.250%) 3.343%, 02/14/2025 | 199,106 | 197,697 | |||
PetVet Care Centers LLC, 2021 Term Loan B3 (1 month LIBOR + 3.500%) 4.250%, 02/14/2025 | 392,349 | 392,938 | |||
5,942,921 | |||||
Industrials – 1.1% | |||||
Camelot Finance SA, 2020 Incremental Term Loan B (1 month LIBOR + 3.000%) 4.000%, 10/30/2026 | 950,225 | 950,225 | |||
Filtration Group Corp., 2018 1st Lien Term Loan (1 month LIBOR + 3.000%) 3.104%, 03/29/2025 | 253,312 | 251,042 | |||
Filtration Group Corp., 2018 EUR Term Loan (3 month EURIBOR + 3.500%) 3.500%, 03/29/2025 | EUR | 517,923 | 609,263 |
Shares or Principal Amount | Value | ||||
TERM LOANS (F)(continued) | |||||
Industrials (continued) | |||||
Filtration Group Corp., 2020 Incremental Term Loan (1 month LIBOR + 3.750%) 4.500%, 03/29/2025 | $ | 89,325 | $ | 89,325 | |
Mileage Plus Holdings LLC, 2020 Term Loan B (3 month LIBOR + 5.250%) 6.250%, 06/21/2027 | 1,765,000 | 1,883,537 | |||
SkyMiles IP, Ltd., 2020 SkyMiles Term Loan B (3 month LIBOR + 3.750%) 4.750%, 10/20/2027 | 865,000 | 913,172 | |||
TK Elevator U.S. Newco, Inc., USD Term Loan B (6 month LIBOR + 4.250%) 4.478%, 07/30/2027 | 268,652 | 268,765 | |||
Welbilt, Inc., 2018 Term Loan B (1 month LIBOR + 2.500%) 2.604%, 10/23/2025 | 175,000 | 173,469 | |||
5,138,798 | |||||
Information technology – 2.2% | |||||
Applied Systems, Inc., 2017 1st Lien Term Loan (1 month LIBOR + 3.250% and Prime rate + 2.250%) 3.774%, 09/19/2024 | 934,023 | 931,576 | |||
Applied Systems, Inc., 2021 2nd Lien Term Loan (3 month LIBOR + 5.500%) 6.250%, 09/19/2025 | 163,488 | 165,368 | |||
Ascend Learning LLC, 2017 Term Loan B (1 month LIBOR + 3.000%) 4.000%, 07/12/2024 | 49,613 | 49,562 | |||
Azalea Topco, Inc., Term Loan (1 and 3 month LIBOR + 3.500%) 3.685%, 07/24/2026 | 915,420 | 909,699 | |||
CCC Information Services, Inc., 2017 1st Lien Term Loan (1 month LIBOR + 3.000%) 4.000%, 04/29/2024 | 3,546,383 | 3,544,433 | |||
Celestial Saturn Parent, Inc., 2nd Lien Term Loan (1 month LIBOR + 6.500%) 7.000%, 04/13/2029 | 80,000 | 80,400 | |||
CoreLogic, Inc., Term Loan (1 month LIBOR + 3.500%) 4.000%, 06/02/2028 | 830,000 | 827,095 | |||
Press Ganey Holdings, Inc., 2021 Term Loan B TBD 07/24/2026 (G) | 25,000 | 25,031 | |||
Project Boost Purchaser LLC, 2021 Incremental Term Loan TBD 06/01/2026 (G) | 50,000 | 49,907 | |||
RealPage, Inc., 1st Lien Term Loan (1 month LIBOR + 3.250%) 3.750%, 04/24/2028 | 1,165,000 | 1,160,923 | |||
RealPage, Inc., 2nd Lien Term Loan (1 month LIBOR + 6.500%) 7.250%, 04/22/2029 | 75,000 | 77,156 | |||
UKG, Inc., 2021 Incremental Term Loan (3 month LIBOR + 3.250%) 4.000%, 05/04/2026 | 2,586,286 | 2,587,786 | |||
UKG, Inc., Term Loan B (1 month LIBOR + 3.750%) 3.854%, 05/04/2026 | 162,113 | 162,129 | |||
10,571,065 | |||||
Materials – 0.0% | |||||
HB Fuller Company, 2017 Term Loan B (1 month LIBOR + 2.000%) 2.093%, 10/20/2024 | 132,409 | 132,353 | |||
TOTAL TERM LOANS (Cost $40,115,337) | $ | 40,283,819 |
The accompanying notes are an integral part of the financial statements. | 13 |
Shares or Principal Amount | Value | ||||
ASSET BACKED SECURITIES - 0.3% | |||||
Domino's Pizza Master Issuer LLC Series 2017-1A, Class A23 4.118%, 07/25/2047 (C) | $ | 503,100 | $ | 542,865 | |
Domino's Pizza Master Issuer LLC Series 2018-1A, Class A2I 4.116%, 07/25/2048 (C) | 477,750 | 498,217 | |||
Domino's Pizza Master Issuer LLC Series 2019-1A, Class A2 3.668%, 10/25/2049 (C) | 212,313 | 229,646 | |||
TOTAL ASSET BACKED SECURITIES (Cost $1,188,422) | $ | 1,270,728 | |||
SHORT-TERM INVESTMENTS – 13.0% | |||||
Short-term funds – 12.3% | |||||
T. Rowe Price Government Reserve Fund, 0.0295% (H) | 58,548,700 | 58,548,700 | |||
Repurchase agreement – 0.7% | |||||
Repurchase Agreement with State Street Corp. dated 6-30-21 at 0.000% to be repurchased at $3,649,000 on 7-1-21, collateralized by $3,450,600 U.S. Treasury Notes, 2.375% due 5-15-27 (valued at $3,722,065) | $ | 3,649,000 | 3,649,000 | ||
TOTAL SHORT-TERM INVESTMENTS (Cost $62,197,700) | $ | 62,197,700 | |||
Total Investments (Capital Appreciation Value Trust) (Cost $400,299,749) – 101.8% | $ | 484,993,869 | |||
Other assets and liabilities, net – (1.8%) | (8,649,155) | ||||
TOTAL NET ASSETS – 100.0% | $ | 476,344,714 |
Currency Abbreviations | |
EUR | Euro |
Security Abbreviations and Legend | |
CMT | Constant Maturity Treasury |
EURIBOR | Euro Interbank Offered Rate |
LIBOR | London Interbank Offered Rate |
(A) | All or a portion of this security is segregated at the custodian as collateral for certain derivatives. |
(B) | Non-income producing security. |
(C) | 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. |
(D) | Perpetual bonds have no stated maturity date. Date shown as maturity date is next call date. |
(E) | Variable rate obligation. The coupon rate shown represents the rate at period end. |
(F) | Term loans are variable rate obligations. The coupon rate shown represents the rate at period end. |
(G) | This position represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate, which is disclosed as TBD (To Be Determined). |
(H) | The rate shown is the annualized seven-day yield as of 6-30-21. |
Options on securities | ||||||||
Counterparty (OTC)/ Exchange- traded | Name of issuer | Currency | Exercise price | Expiration date | Number of contracts | Notional amount | Premium | Value |
Calls | ||||||||
GSI | Alphabet, Inc., Class A | USD | 1,960.00 | Sep 2022 | 1 | 100 | $18,442 | $(59,259) |
GSI | Alphabet, Inc., Class A | USD | 1,960.00 | Sep 2022 | 1 | 100 | 24,090 | (59,259) |
GSI | Alphabet, Inc., Class A | USD | 1,980.00 | Sep 2022 | 1 | 100 | 17,800 | (57,760) |
GSI | Alphabet, Inc., Class A | USD | 2,000.00 | Sep 2022 | 1 | 100 | 17,130 | (56,280) |
GSI | Alphabet, Inc., Class A | USD | 2,100.00 | Sep 2022 | 1 | 100 | 14,073 | (49,189) |
SFG | Alphabet, Inc., Class A | USD | 2,450.00 | Sep 2022 | 1 | 100 | 26,747 | (28,755) |
GSI | Alphabet, Inc., Class C | USD | 1,760.00 | Jan 2022 | 5 | 500 | 50,362 | (384,948) |
GSI | Alphabet, Inc., Class C | USD | 1,780.00 | Jan 2022 | 5 | 500 | 47,406 | (375,510) |
GSI | Alphabet, Inc., Class C | USD | 1,800.00 | Jan 2022 | 4 | 400 | 35,760 | (292,890) |
GSI | Alphabet, Inc., Class C | USD | 1,980.00 | Jun 2022 | 1 | 100 | 21,210 | (61,170) |
GSI | Alphabet, Inc., Class C | USD | 2,000.00 | Jun 2022 | 1 | 100 | 20,353 | (59,562) |
GSI | Alphabet, Inc., Class C | USD | 2,100.00 | Jun 2022 | 1 | 100 | 16,634 | (51,811) |
SFG | Alphabet, Inc., Class C | USD | 2,550.00 | Jun 2022 | 1 | 100 | 22,096 | (24,237) |
CSFB | Amazon.com, Inc. | USD | 3,800.00 | Jan 2022 | 1 | 100 | 33,115 | (14,303) |
CSFB | Amazon.com, Inc. | USD | 3,800.00 | Jan 2022 | 1 | 100 | 34,542 | (14,303) |
CSFB | Amazon.com, Inc. | USD | 3,900.00 | Jan 2022 | 1 | 100 | 30,277 | (11,627) |
CSFB | Amazon.com, Inc. | USD | 3,900.00 | Jan 2022 | 1 | 100 | 38,338 | (11,627) |
RBC | Amazon.com, Inc. | USD | 3,900.00 | Jan 2022 | 1 | 100 | 23,997 | (11,627) |
CITI | Amazon.com, Inc. | USD | 4,000.00 | Jan 2022 | 1 | 100 | 27,327 | (9,389) |
CSFB | Amazon.com, Inc. | USD | 4,000.00 | Jan 2022 | 1 | 100 | 27,686 | (9,389) |
CSFB | Amazon.com, Inc. | USD | 4,000.00 | Jan 2022 | 1 | 100 | 35,706 | (9,389) |
RBC | Amazon.com, Inc. | USD | 4,000.00 | Jan 2022 | 1 | 100 | 21,797 | (9,389) |
CITI | Amazon.com, Inc. | USD | 4,100.00 | Jan 2022 | 1 | 100 | 25,167 | (7,543) |
RBC | Amazon.com, Inc. | USD | 4,100.00 | Jan 2022 | 1 | 100 | 19,697 | (7,543) |
CITI | Amazon.com, Inc. | USD | 4,200.00 | Jan 2022 | 1 | 100 | 23,127 | (6,049) |
RBC | Amazon.com, Inc. | USD | 4,200.00 | Jan 2022 | 1 | 100 | 17,827 | (6,049) |
CITI | Amazon.com, Inc. | USD | 4,300.00 | Jan 2022 | 2 | 200 | 42,614 | (9,698) |
JPM | American Electric Power Company, Inc. | USD | 90.00 | Jan 2022 | 63 | 6,300 | 22,934 | (10,954) |
The accompanying notes are an integral part of the financial statements. | 14 |
Options on securities (continued) | ||||||||
Counterparty (OTC)/ Exchange- traded | Name of issuer | Currency | Exercise price | Expiration date | Number of contracts | Notional amount | Premium | Value |
Calls (continued) | ||||||||
JPM | American Electric Power Company, Inc. | USD | 90.00 | Jan 2022 | 11 | 1,100 | $3,946 | $(1,913) |
JPM | American Electric Power Company, Inc. | USD | 90.00 | Jan 2022 | 7 | 700 | 2,418 | (1,217) |
JPM | American Electric Power Company, Inc. | USD | 95.00 | Jan 2022 | 63 | 6,300 | 13,893 | (4,707) |
JPM | American Electric Power Company, Inc. | USD | 95.00 | Jan 2022 | 22 | 2,200 | 4,975 | (1,644) |
JPM | American Electric Power Company, Inc. | USD | 95.00 | Jan 2022 | 14 | 1,400 | 2,930 | (1,046) |
JPM | American Electric Power Company, Inc. | USD | 97.50 | Jan 2022 | 30 | 3,000 | 2,930 | (1,433) |
JPM | American Electric Power Company, Inc. | USD | 100.00 | Jan 2022 | 30 | 3,000 | 1,813 | (911) |
CITI | American Tower Corp. | USD | 210.00 | Jan 2022 | 6 | 600 | 14,982 | (37,334) |
CITI | American Tower Corp. | USD | 220.00 | Jan 2022 | 6 | 600 | 11,982 | (31,846) |
CITI | American Tower Corp. | USD | 230.00 | Jan 2022 | 7 | 700 | 11,039 | (31,042) |
CITI | American Tower Corp. | USD | 230.00 | Jan 2022 | 2 | 200 | 4,641 | (8,869) |
CITI | American Tower Corp. | USD | 240.00 | Jan 2022 | 2 | 200 | 3,811 | (7,238) |
CITI | American Tower Corp. | USD | 250.00 | Jan 2022 | 2 | 200 | 3,041 | (5,754) |
CSFB | Bank of America Corp. | USD | 30.00 | Jan 2022 | 250 | 25,000 | 52,500 | (288,400) |
SFG | Bank of America Corp. | USD | 30.00 | Jan 2022 | 413 | 41,300 | 106,143 | (476,434) |
CSFB | Bank of America Corp. | USD | 32.00 | Jan 2022 | 129 | 12,900 | 31,631 | (125,100) |
CSFB | Bank of America Corp. | USD | 35.00 | Jan 2022 | 259 | 25,900 | 40,559 | (184,966) |
RBC | Bank of America Corp. | USD | 37.00 | Jan 2022 | 190 | 19,000 | 52,947 | (106,972) |
CSFB | Bank of America Corp. | USD | 40.00 | Jan 2022 | 39 | 3,900 | 13,323 | (14,556) |
CSFB | Bank of America Corp. | USD | 45.00 | Jan 2022 | 38 | 3,800 | 7,138 | (6,179) |
JPM | Cisco Systems, Inc. | USD | 45.00 | Jan 2022 | 48 | 4,800 | 22,416 | (41,199) |
JPM | Cisco Systems, Inc. | USD | 45.00 | Jan 2022 | 25 | 2,500 | 11,425 | (21,458) |
JPM | Cisco Systems, Inc. | USD | 45.00 | Jan 2022 | 26 | 2,600 | 11,102 | (22,316) |
JPM | Cisco Systems, Inc. | USD | 47.50 | Jan 2022 | 48 | 4,800 | 17,136 | (31,648) |
JPM | Cisco Systems, Inc. | USD | 47.50 | Jan 2022 | 25 | 2,500 | 8,675 | (16,483) |
JPM | Cisco Systems, Inc. | USD | 47.50 | Jan 2022 | 26 | 2,600 | 8,502 | (17,143) |
JPM | Cisco Systems, Inc. | USD | 50.00 | Jan 2022 | 48 | 4,800 | 12,816 | (23,268) |
JPM | Cisco Systems, Inc. | USD | 50.00 | Jan 2022 | 25 | 2,500 | 6,550 | (12,119) |
JPM | Cisco Systems, Inc. | USD | 50.00 | Jan 2022 | 26 | 2,600 | 6,292 | (12,604) |
JPM | CME Group, Inc. | USD | 220.00 | Jan 2022 | 19 | 1,900 | 20,869 | (16,974) |
JPM | CME Group, Inc. | USD | 230.00 | Jan 2022 | 19 | 1,900 | 16,115 | (10,299) |
CSFB | Danaher Corp. | USD | 250.00 | Jan 2022 | 40 | 4,000 | 76,280 | (119,736) |
CSFB | Danaher Corp. | USD | 270.00 | Jan 2022 | 4 | 400 | 6,485 | (7,405) |
CSFB | Danaher Corp. | USD | 280.00 | Jan 2022 | 4 | 400 | 5,280 | (5,645) |
CSFB | Danaher Corp. | USD | 280.00 | Jan 2022 | 6 | 600 | 7,557 | (8,468) |
CSFB | Danaher Corp. | USD | 290.00 | Jan 2022 | 6 | 600 | 5,707 | (6,321) |
GSI | Envista Holdings Corp. | USD | 49.00 | Dec 2021 | 30 | 3,000 | 10,034 | (5,310) |
GSI | Envista Holdings Corp. | USD | 50.00 | Dec 2021 | 30 | 3,000 | 8,906 | (4,568) |
CITI | Exelon Corp. | USD | 40.00 | Jan 2022 | 16 | 1,600 | 7,712 | (8,361) |
CITI | Exelon Corp. | USD | 40.00 | Jan 2022 | 5 | 500 | 2,092 | (2,613) |
CITI | Exelon Corp. | USD | 43.00 | Jan 2022 | 16 | 1,600 | 5,312 | (5,132) |
CITI | Exelon Corp. | USD | 43.00 | Jan 2022 | 5 | 500 | 1,420 | (1,604) |
CITI | Exelon Corp. | USD | 45.00 | Jan 2022 | 16 | 1,600 | 3,984 | (3,456) |
CITI | Exelon Corp. | USD | 45.00 | Jan 2022 | 5 | 500 | 1,040 | (1,080) |
CITI | Exelon Corp. | USD | 47.00 | Jan 2022 | 95 | 9,500 | 16,161 | (13,061) |
CITI | Exelon Corp. | USD | 47.00 | Jan 2022 | 30 | 3,000 | 4,823 | (4,124) |
CITI | Exelon Corp. | USD | 50.00 | Jan 2022 | 30 | 3,000 | 2,341 | (1,903) |
JPM | Facebook, Inc., Class A | USD | 340.00 | Jan 2022 | 12 | 1,200 | 30,925 | (43,614) |
JPM | Facebook, Inc., Class A | USD | 345.00 | Jan 2022 | 12 | 1,200 | 28,983 | (40,503) |
JPM | Facebook, Inc., Class A | USD | 380.00 | Jan 2022 | 4 | 400 | 7,756 | (7,690) |
JPM | Facebook, Inc., Class A | USD | 400.00 | Jan 2022 | 50 | 5,000 | 107,635 | (68,007) |
JPM | Facebook, Inc., Class A | USD | 345.00 | Sep 2022 | 6 | 600 | 23,363 | (31,530) |
JPM | Facebook, Inc., Class A | USD | 360.00 | Sep 2022 | 6 | 600 | 20,104 | (27,460) |
GSI | Fiserv, Inc. | USD | 130.00 | Jan 2022 | 13 | 1,300 | 6,634 | (1,918) |
GSI | Fiserv, Inc. | USD | 135.00 | Jan 2022 | 13 | 1,300 | 4,869 | (1,384) |
JPM | FleetCor Technologies, Inc. | USD | 300.00 | Jan 2022 | 5 | 500 | 9,985 | (2,254) |
JPM | FleetCor Technologies, Inc. | USD | 310.00 | Jan 2022 | 3 | 300 | 4,791 | (897) |
JPM | General Electric Company | USD | 12.00 | Jan 2022 | 160 | 16,000 | 24,437 | (35,252) |
JPM | General Electric Company | USD | 12.00 | Jan 2022 | 159 | 15,900 | 25,825 | (35,032) |
JPM | General Electric Company | USD | 15.00 | Jan 2022 | 160 | 16,000 | 13,309 | (13,323) |
JPM | General Electric Company | USD | 15.00 | Jan 2022 | 159 | 15,900 | 13,361 | (13,239) |
SFG | General Electric Company | USD | 15.00 | Jan 2022 | 636 | 63,600 | 69,324 | (52,957) |
GSI | Global Payments, Inc. | USD | 230.00 | Jan 2022 | 9 | 900 | 5,500 | (2,752) |
GSI | Global Payments, Inc. | USD | 240.00 | Jan 2022 | 9 | 900 | 4,445 | (2,031) |
The accompanying notes are an integral part of the financial statements. | 15 |
Options on securities (continued) | ||||||||
Counterparty (OTC)/ Exchange- traded | Name of issuer | Currency | Exercise price | Expiration date | Number of contracts | Notional amount | Premium | Value |
Calls (continued) | ||||||||
CITI | Hilton Worldwide Holdings, Inc. | USD | 125.00 | Jan 2022 | 8 | 800 | $8,222 | $(6,790) |
CITI | Hilton Worldwide Holdings, Inc. | USD | 125.00 | Jan 2022 | 4 | 400 | 3,927 | (3,395) |
CITI | Hilton Worldwide Holdings, Inc. | USD | 125.00 | Jan 2022 | 5 | 500 | 5,015 | (4,244) |
CITI | Hilton Worldwide Holdings, Inc. | USD | 130.00 | Jan 2022 | 8 | 800 | 6,917 | (5,325) |
CITI | Hilton Worldwide Holdings, Inc. | USD | 130.00 | Jan 2022 | 4 | 400 | 3,288 | (2,663) |
CITI | Hilton Worldwide Holdings, Inc. | USD | 130.00 | Jan 2022 | 5 | 500 | 4,196 | (3,328) |
CITI | Hilton Worldwide Holdings, Inc. | USD | 130.00 | Jan 2022 | 12 | 1,200 | 17,773 | (7,988) |
CITI | Hilton Worldwide Holdings, Inc. | USD | 135.00 | Jan 2022 | 12 | 1,200 | 15,717 | (6,188) |
GSI | Hilton Worldwide Holdings, Inc. | USD | 135.00 | Jan 2022 | 38 | 3,800 | 53,311 | (19,595) |
GSI | Hilton Worldwide Holdings, Inc. | USD | 140.00 | Jan 2022 | 38 | 3,800 | 45,916 | (15,006) |
CSFB | Humana, Inc. | USD | 480.00 | Jan 2022 | 2 | 200 | 6,018 | (3,346) |
CSFB | Humana, Inc. | USD | 500.00 | Jan 2022 | 2 | 200 | 4,724 | (2,277) |
JPM | Intercontinental Exchange, Inc. | USD | 125.00 | Jan 2022 | 15 | 1,500 | 4,761 | (6,196) |
JPM | Intercontinental Exchange, Inc. | USD | 130.00 | Jan 2022 | 16 | 1,600 | 9,747 | (4,087) |
JPM | Intercontinental Exchange, Inc. | USD | 130.00 | Jan 2022 | 16 | 1,600 | 3,208 | (4,087) |
JPM | Intercontinental Exchange, Inc. | USD | 135.00 | Jan 2022 | 16 | 1,600 | 7,294 | (2,369) |
SFG | Keurig Dr. Pepper, Inc. | USD | 32.00 | Dec 2021 | 95 | 9,500 | 20,710 | (38,408) |
JPM | Lockheed Martin Corp. | USD | 340.00 | Jan 2022 | 9 | 900 | 28,233 | (40,683) |
JPM | Lockheed Martin Corp. | USD | 360.00 | Jan 2022 | 9 | 900 | 20,583 | (27,620) |
JPM | Lockheed Martin Corp. | USD | 375.00 | Jan 2022 | 9 | 900 | 15,993 | (19,651) |
CSFB | Marriott International, Inc., Class A | USD | 145.00 | Jan 2022 | 15 | 1,500 | 18,440 | (13,056) |
CSFB | Marriott International, Inc., Class A | USD | 145.00 | Jan 2022 | 2 | 200 | 2,376 | (1,741) |
CSFB | Marriott International, Inc., Class A | USD | 145.00 | Jan 2022 | 8 | 800 | 10,193 | (6,963) |
CSFB | Marriott International, Inc., Class A | USD | 150.00 | Jan 2022 | 15 | 1,500 | 16,180 | (10,515) |
CSFB | Marriott International, Inc., Class A | USD | 150.00 | Jan 2022 | 2 | 200 | 2,097 | (1,402) |
CSFB | Marriott International, Inc., Class A | USD | 150.00 | Jan 2022 | 8 | 800 | 8,956 | (5,608) |
CSFB | Marriott International, Inc., Class A | USD | 155.00 | Jan 2022 | 13 | 1,300 | 14,757 | (7,278) |
CSFB | Marriott International, Inc., Class A | USD | 160.00 | Jan 2022 | 13 | 1,300 | 12,430 | (5,770) |
CSFB | Marriott International, Inc., Class A | USD | 165.00 | Jan 2022 | 9 | 900 | 15,242 | (3,147) |
CSFB | Marriott International, Inc., Class A | USD | 170.00 | Jan 2022 | 9 | 900 | 13,778 | (2,467) |
GSI | Marsh & McLennan Companies, Inc. | USD | 150.00 | Oct 2021 | 25 | 2,500 | 4,440 | (5,075) |
GSI | Marsh & McLennan Companies, Inc. | USD | 155.00 | Oct 2021 | 25 | 2,500 | 2,408 | (2,905) |
CITI | McDonald's Corp. | USD | 210.00 | Jan 2022 | 8 | 800 | 15,192 | (20,097) |
RBC | McDonald's Corp. | USD | 210.00 | Jan 2022 | 6 | 600 | 10,902 | (15,072) |
CITI | McDonald's Corp. | USD | 220.00 | Jan 2022 | 8 | 800 | 11,416 | (14,169) |
RBC | McDonald's Corp. | USD | 220.00 | Jan 2022 | 7 | 700 | 9,709 | (12,397) |
CITI | McDonald's Corp. | USD | 230.00 | Jan 2022 | 8 | 800 | 8,456 | (9,291) |
RBC | McDonald's Corp. | USD | 230.00 | Jan 2022 | 6 | 600 | 6,132 | (6,968) |
CSFB | Medtronic PLC | USD | 115.00 | Jan 2022 | 13 | 1,300 | 15,756 | (17,147) |
CSFB | Medtronic PLC | USD | 125.00 | Jan 2022 | 13 | 1,300 | 9,711 | (9,276) |
CSFB | Medtronic PLC | USD | 130.00 | Jan 2022 | 12 | 1,200 | 6,684 | (5,889) |
SFG | Microsoft Corp. | USD | 250.00 | Jan 2022 | 21 | 2,100 | 27,447 | (64,377) |
SFG | Microsoft Corp. | USD | 255.00 | Jan 2022 | 21 | 2,100 | 24,717 | (57,217) |
SFG | Microsoft Corp. | USD | 260.00 | Jan 2022 | 21 | 2,100 | 22,197 | (50,524) |
SFG | Microsoft Corp. | USD | 265.00 | Jan 2022 | 16 | 1,600 | 23,712 | (33,772) |
BOA | Microsoft Corp. | USD | 270.00 | Jan 2022 | 9 | 900 | 12,085 | (16,558) |
SFG | Microsoft Corp. | USD | 270.00 | Jan 2022 | 17 | 1,700 | 22,559 | (31,277) |
BOA | Microsoft Corp. | USD | 275.00 | Jan 2022 | 9 | 900 | 10,565 | (14,335) |
SFG | Microsoft Corp. | USD | 275.00 | Jan 2022 | 16 | 1,600 | 19,472 | (25,485) |
BOA | Microsoft Corp. | USD | 280.00 | Jan 2022 | 9 | 900 | 9,182 | (12,321) |
CITI | Microsoft Corp. | USD | 280.00 | Jan 2022 | 65 | 6,500 | 133,380 | (88,986) |
SFG | Microsoft Corp. | USD | 300.00 | Jan 2023 | 31 | 3,100 | 56,637 | (65,409) |
SFG | Microsoft Corp. | USD | 300.00 | Jan 2023 | 32 | 3,200 | 60,224 | (67,519) |
CITI | Mondelez International, Inc., Class A | USD | 57.50 | Jan 2022 | 26 | 2,600 | 12,272 | (16,196) |
CITI | Mondelez International, Inc., Class A | USD | 60.00 | Jan 2022 | 26 | 2,600 | 9,152 | (11,513) |
CITI | Mondelez International, Inc., Class A | USD | 62.50 | Jan 2022 | 26 | 2,600 | 5,122 | (7,659) |
CSFB | Northrop Grumman Corp. | USD | 300.00 | Jan 2022 | 5 | 500 | 13,835 | (33,696) |
CSFB | Northrop Grumman Corp. | USD | 300.00 | Jan 2022 | 5 | 500 | 13,485 | (33,696) |
CSFB | Northrop Grumman Corp. | USD | 315.00 | Jan 2022 | 5 | 500 | 10,285 | (27,246) |
CSFB | Northrop Grumman Corp. | USD | 315.00 | Jan 2022 | 5 | 500 | 10,835 | (27,246) |
CSFB | Northrop Grumman Corp. | USD | 325.00 | Jan 2022 | 5 | 500 | 8,785 | (23,244) |
CSFB | Northrop Grumman Corp. | USD | 325.00 | Jan 2022 | 5 | 500 | 9,085 | (23,244) |
JPM | NXP Semiconductors NV | USD | 195.00 | Jan 2022 | 8 | 800 | 14,105 | (20,110) |
JPM | NXP Semiconductors NV | USD | 195.00 | Jan 2022 | 7 | 700 | 13,563 | (17,596) |
The accompanying notes are an integral part of the financial statements. | 16 |
Options on securities (continued) | ||||||||
Counterparty (OTC)/ Exchange- traded | Name of issuer | Currency | Exercise price | Expiration date | Number of contracts | Notional amount | Premium | Value |
Calls (continued) | ||||||||
JPM | NXP Semiconductors NV | USD | 200.00 | Jan 2022 | 8 | 800 | $13,168 | $(17,858) |
JPM | NXP Semiconductors NV | USD | 200.00 | Jan 2022 | 7 | 700 | 12,245 | (15,626) |
JPM | NXP Semiconductors NV | USD | 210.00 | Jan 2022 | 8 | 800 | 11,205 | (13,864) |
JPM | NXP Semiconductors NV | USD | 210.00 | Jan 2022 | 7 | 700 | 10,451 | (12,131) |
SFG | PepsiCo, Inc. | USD | 140.00 | Jan 2022 | 13 | 1,300 | 14,781 | (15,327) |
SFG | PepsiCo, Inc. | USD | 140.00 | Jan 2022 | 14 | 1,400 | 15,218 | (16,506) |
SFG | PepsiCo, Inc. | USD | 145.00 | Jan 2022 | 13 | 1,300 | 11,856 | (11,053) |
SFG | PepsiCo, Inc. | USD | 145.00 | Jan 2022 | 14 | 1,400 | 11,998 | (11,904) |
SFG | PepsiCo, Inc. | USD | 155.00 | Jan 2022 | 12 | 1,200 | 6,504 | (4,525) |
SFG | PepsiCo, Inc. | USD | 155.00 | Jan 2022 | 14 | 1,400 | 7,028 | (5,280) |
JPM | Roper Technologies, Inc. | USD | 480.00 | Aug 2021 | 13 | 1,300 | 15,990 | (14,025) |
JPM | Roper Technologies, Inc. | USD | 490.00 | Nov 2021 | 3 | 300 | 3,190 | (4,996) |
JPM | Roper Technologies, Inc. | USD | 500.00 | Nov 2021 | 3 | 300 | 1,824 | (3,913) |
CSFB | Ross Stores, Inc. | USD | 130.00 | Jan 2022 | 6 | 600 | 6,143 | (4,394) |
BOA | Ross Stores, Inc. | USD | 135.00 | Jan 2022 | 3 | 300 | 3,132 | (1,662) |
CSFB | Ross Stores, Inc. | USD | 135.00 | Jan 2022 | 6 | 600 | 5,599 | (3,325) |
BOA | Ross Stores, Inc. | USD | 140.00 | Jan 2022 | 3 | 300 | 2,596 | (1,238) |
JPM | Teledyne Technologies, Inc. | USD | 410.00 | Sep 2021 | 1 | 100 | 2,194 | (2,450) |
JPM | Teledyne Technologies, Inc. | USD | 410.00 | Sep 2021 | 2 | 200 | 4,661 | (4,901) |
JPM | Teledyne Technologies, Inc. | USD | 420.00 | Sep 2021 | 1 | 100 | 1,885 | (1,896) |
JPM | Teledyne Technologies, Inc. | USD | 420.00 | Sep 2021 | 2 | 200 | 3,945 | (3,793) |
JPM | Teledyne Technologies, Inc. | USD | 470.00 | Dec 2021 | 3 | 300 | 6,092 | (3,365) |
JPM | Teledyne Technologies, Inc. | USD | 480.00 | Dec 2021 | 3 | 300 | 5,137 | (2,688) |
CSFB | The Coca-Cola Company | USD | 50.00 | Jan 2022 | 38 | 3,800 | 15,630 | (19,511) |
CSFB | The Coca-Cola Company | USD | 50.00 | Jan 2022 | 52 | 5,200 | 16,224 | (26,699) |
CSFB | The Coca-Cola Company | USD | 52.50 | Jan 2022 | 38 | 3,800 | 11,420 | (12,941) |
CSFB | The Coca-Cola Company | USD | 52.50 | Jan 2022 | 52 | 5,200 | 11,544 | (17,709) |
CSFB | The Coca-Cola Company | USD | 55.00 | Jan 2022 | 39 | 3,900 | 8,341 | (8,216) |
CSFB | The Coca-Cola Company | USD | 55.00 | Jan 2022 | 52 | 5,200 | 8,164 | (10,954) |
CITI | The PNC Financial Services Group, Inc. | USD | 175.00 | Jan 2022 | 12 | 1,200 | 14,316 | (26,832) |
CITI | The PNC Financial Services Group, Inc. | USD | 180.00 | Jan 2022 | 12 | 1,200 | 12,237 | (22,852) |
CITI | The PNC Financial Services Group, Inc. | USD | 180.00 | Jan 2022 | 13 | 1,300 | 17,112 | (24,756) |
CITI | The PNC Financial Services Group, Inc. | USD | 185.00 | Jan 2022 | 12 | 1,200 | 10,459 | (19,209) |
CITI | The PNC Financial Services Group, Inc. | USD | 185.00 | Jan 2022 | 13 | 1,300 | 14,782 | (20,810) |
CITI | The PNC Financial Services Group, Inc. | USD | 190.00 | Jan 2022 | 13 | 1,300 | 12,714 | (17,267) |
CITI | The PNC Financial Services Group, Inc. | USD | 195.00 | Jan 2022 | 19 | 1,900 | 17,331 | (20,668) |
CITI | The PNC Financial Services Group, Inc. | USD | 195.00 | Jan 2022 | 18 | 1,800 | 16,358 | (19,580) |
CITI | The PNC Financial Services Group, Inc. | USD | 200.00 | Jan 2022 | 19 | 1,900 | 14,489 | (16,709) |
CITI | The PNC Financial Services Group, Inc. | USD | 200.00 | Jan 2022 | 18 | 1,800 | 12,214 | (15,829) |
CITI | Thermo Fisher Scientific, Inc. | USD | 580.00 | Jan 2022 | 3 | 300 | 8,122 | (3,316) |
CITI | Thermo Fisher Scientific, Inc. | USD | 580.00 | Jan 2022 | 5 | 500 | 14,180 | (5,527) |
CITI | Thermo Fisher Scientific, Inc. | USD | 600.00 | Jan 2022 | 3 | 300 | 6,712 | (2,382) |
CITI | Thermo Fisher Scientific, Inc. | USD | 600.00 | Jan 2022 | 5 | 500 | 11,735 | (3,970) |
CITI | Union Electric Company | USD | 90.00 | Dec 2021 | 21 | 2,100 | 3,760 | (1,551) |
CITI | Union Electric Company | USD | 95.00 | Dec 2021 | 21 | 2,100 | 1,642 | (442) |
CITI | UnitedHealth Group, Inc. | USD | 400.00 | Jan 2022 | 6 | 600 | 14,447 | (15,816) |
CITI | UnitedHealth Group, Inc. | USD | 410.00 | Jan 2022 | 6 | 600 | 11,921 | (12,870) |
CITI | UnitedHealth Group, Inc. | USD | 420.00 | Jan 2022 | 6 | 600 | 10,918 | (10,300) |
CITI | UnitedHealth Group, Inc. | USD | 460.00 | Jan 2022 | 3 | 300 | 4,789 | (1,773) |
CITI | UnitedHealth Group, Inc. | USD | 470.00 | Jan 2022 | 3 | 300 | 3,917 | (1,304) |
JPM | Visa, Inc., Class A | USD | 220.00 | Jan 2022 | 19 | 1,900 | 26,638 | (43,966) |
CSFB | Visa, Inc., Class A | USD | 225.00 | Jan 2022 | 22 | 2,200 | 29,373 | (43,843) |
GSI | Visa, Inc., Class A | USD | 225.00 | Jan 2022 | 7 | 700 | 8,344 | (13,950) |
GSI | Visa, Inc., Class A | USD | 225.00 | Jan 2022 | 6 | 600 | 8,082 | (11,957) |
GSI | Visa, Inc., Class A | USD | 225.00 | Jan 2022 | 14 | 1,400 | 18,239 | (27,900) |
JPM | Visa, Inc., Class A | USD | 225.00 | Jan 2022 | 18 | 1,800 | 22,176 | (35,871) |
CSFB | Visa, Inc., Class A | USD | 230.00 | Jan 2022 | 22 | 2,200 | 25,978 | (37,355) |
GSI | Visa, Inc., Class A | USD | 230.00 | Jan 2022 | 7 | 700 | 7,154 | (11,886) |
GSI | Visa, Inc., Class A | USD | 230.00 | Jan 2022 | 6 | 600 | 7,032 | (10,188) |
GSI | Visa, Inc., Class A | USD | 230.00 | Jan 2022 | 14 | 1,400 | 16,317 | (23,771) |
JPM | Visa, Inc., Class A | USD | 230.00 | Jan 2022 | 19 | 1,900 | 20,463 | (32,261) |
CSFB | Visa, Inc., Class A | USD | 235.00 | Jan 2022 | 22 | 2,200 | 22,406 | (31,469) |
CSFB | Visa, Inc., Class A | USD | 240.00 | Jan 2022 | 12 | 1,200 | 15,050 | (14,293) |
CSFB | Visa, Inc., Class A | USD | 245.00 | Jan 2022 | 12 | 1,200 | 13,240 | (11,761) |
The accompanying notes are an integral part of the financial statements. | 17 |
Options on securities (continued) | ||||||||
Counterparty (OTC)/ Exchange- traded | Name of issuer | Currency | Exercise price | Expiration date | Number of contracts | Notional amount | Premium | Value |
Calls (continued) | ||||||||
CSFB | Visa, Inc., Class A | USD | 245.00 | Jan 2022 | 17 | 1,700 | $17,798 | $(16,662) |
CITI | Visa, Inc., Class A | USD | 250.00 | Jan 2022 | 43 | 4,300 | 36,712 | (34,260) |
CSFB | Visa, Inc., Class A | USD | 250.00 | Jan 2022 | 17 | 1,700 | 14,730 | (13,545) |
GSI | Visa, Inc., Class A | USD | 250.00 | Jan 2022 | 13 | 1,300 | 15,886 | (10,358) |
CSFB | Visa, Inc., Class A | USD | 255.00 | Jan 2022 | 6 | 600 | 5,060 | (3,839) |
CSFB | Visa, Inc., Class A | USD | 255.00 | Jan 2022 | 17 | 1,700 | 12,085 | (10,878) |
CSFB | Visa, Inc., Class A | USD | 260.00 | Jan 2022 | 6 | 600 | 4,257 | (3,046) |
GSI | Visa, Inc., Class A | USD | 260.00 | Jan 2022 | 13 | 1,300 | 12,181 | (6,600) |
CSFB | Visa, Inc., Class A | USD | 265.00 | Jan 2022 | 6 | 600 | 3,574 | (2,388) |
GSI | Visa, Inc., Class A | USD | 270.00 | Jan 2022 | 13 | 1,300 | 9,256 | (4,010) |
CSFB | Waste Management, Inc. | USD | 115.00 | Jan 2022 | 6 | 600 | 4,812 | (15,946) |
CSFB | Waste Management, Inc. | USD | 115.00 | Jan 2022 | 7 | 700 | 5,649 | (18,604) |
CSFB | Waste Management, Inc. | USD | 120.00 | Jan 2022 | 6 | 600 | 4,482 | (13,274) |
CSFB | Waste Management, Inc. | USD | 120.00 | Jan 2022 | 7 | 700 | 5,089 | (15,486) |
CSFB | Waste Management, Inc. | USD | 130.00 | Jan 2022 | 6 | 600 | 2,502 | (8,445) |
CSFB | Waste Management, Inc. | USD | 130.00 | Jan 2022 | 7 | 700 | 2,639 | (9,852) |
JPM | Yum! Brands, Inc. | USD | 105.00 | Jan 2022 | 7 | 700 | 7,854 | (8,902) |
JPM | Yum! Brands, Inc. | USD | 110.00 | Jan 2022 | 7 | 700 | 6,209 | (6,479) |
JPM | Yum! Brands, Inc. | USD | 120.00 | Jan 2022 | 22 | 2,200 | 9,424 | (9,107) |
JPM | Yum! Brands, Inc. | USD | 120.00 | Jan 2022 | 6 | 600 | 2,742 | (2,484) |
JPM | Yum! Brands, Inc. | USD | 120.00 | Jan 2022 | 14 | 1,400 | 6,398 | (5,795) |
JPM | Yum! Brands, Inc. | USD | 120.00 | Jan 2022 | 19 | 1,900 | 9,063 | (7,865) |
JPM | Yum! Brands, Inc. | USD | 125.00 | Jan 2022 | 25 | 2,500 | 8,050 | (6,316) |
$3,823,947 | $(6,141,041) |
Derivatives Currency Abbreviations | |
USD | U.S. Dollar |
Derivatives Abbreviations | |
BOA | Bank of America, N.A. |
CITI | Citibank, N.A. |
CSFB | Credit Suisse First Boston International |
GSI | Goldman Sachs International |
JPM | JPMorgan Chase Bank, N.A. |
OTC | Over-the-counter |
RBC | Royal Bank of Canada |
SFG | Susquehanna Financial Group, LLLP |
Shares or Principal Amount | Value | ||||
COMMON STOCKS - 96.1% | |||||
Australia - 0.9% | |||||
Rio Tinto, Ltd. | 29,564 | $ | 2,802,836 | ||
Austria - 0.9% | |||||
ams AG (A) | 75,914 | 1,525,059 | |||
ANDRITZ AG | 24,263 | 1,364,597 | |||
2,889,656 | |||||
Bermuda - 1.5% | |||||
Everest Re Group, Ltd. | 19,423 | 4,894,790 | |||
Canada - 3.0% | |||||
Cenovus Energy, Inc. | 521,991 | 4,994,202 | |||
Enerplus Corp. | 145,377 | 1,044,941 | |||
Kinross Gold Corp. | 323,086 | 2,051,596 | |||
West Fraser Timber Company, Ltd. | 23,499 | 1,686,976 | |||
9,777,715 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
China - 1.5% | |||||
Alibaba Group Holding, Ltd. (A) | 54,200 | $ | 1,536,778 | ||
Angang Steel Company, Ltd., H Shares (B) | 2,816,000 | 1,782,814 | |||
Topsports International Holdings, Ltd. (C) | 884,000 | 1,445,512 | |||
4,765,104 | |||||
Finland - 2.6% | |||||
Metso Outotec OYJ | 261,262 | 3,035,721 | |||
Nordea Bank ABP | 205,969 | 2,293,654 | |||
Sampo OYJ, A Shares | 68,608 | 3,154,901 | |||
8,484,276 | |||||
France - 13.9% | |||||
Airbus SE (A) | 28,648 | 3,691,368 | |||
AXA SA | 103,807 | 2,635,897 | |||
BNP Paribas SA | 72,814 | 4,569,770 | |||
Capgemini SE (B) | 12,453 | 2,394,875 | |||
Cie de Saint-Gobain | 51,801 | 3,418,643 |
The accompanying notes are an integral part of the financial statements. | 18 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
France (continued) | |||||
Eiffage SA | 48,677 | $ | 4,958,066 | ||
Imerys SA | 50,209 | 2,350,134 | |||
Klepierre SA | 94,992 | 2,447,345 | |||
Rexel SA (A) | 156,178 | 3,270,072 | |||
Sanofi | 81,428 | 8,555,018 | |||
TotalEnergies SE | 144,938 | 6,565,937 | |||
44,857,125 | |||||
Germany - 7.5% | |||||
Allianz SE | 19,855 | 4,954,942 | |||
Deutsche Post AG | 52,351 | 3,565,342 | |||
Deutsche Telekom AG | 273,558 | 5,785,740 | |||
Hannover Rueck SE | 19,392 | 3,246,369 | |||
HeidelbergCement AG | 21,108 | 1,812,256 | |||
Rheinmetall AG | 12,668 | 1,251,763 | |||
Siemens AG | 22,801 | 3,620,307 | |||
24,236,719 | |||||
Greece - 0.6% | |||||
Hellenic Telecommunications Organization SA | 110,699 | 1,859,047 | |||
Hong Kong - 1.4% | |||||
CK Asset Holdings, Ltd. | 228,000 | 1,569,327 | |||
WH Group, Ltd. (C) | 3,143,500 | 2,821,614 | |||
4,390,941 | |||||
India - 0.4% | |||||
HDFC Bank, Ltd., ADR (A) | 15,581 | 1,139,283 | |||
Ireland - 1.0% | |||||
CRH PLC | 62,465 | 3,158,930 | |||
Isle of Man - 0.7% | |||||
Entain PLC (A) | 91,874 | 2,220,006 | |||
Italy - 0.8% | |||||
Enel SpA | 292,125 | 2,714,675 | |||
Japan - 16.2% | |||||
Asahi Group Holdings, Ltd. | 48,500 | 2,266,828 | |||
Fuji Corp. | 98,700 | 2,260,840 | |||
Hitachi, Ltd. | 74,800 | 4,286,577 | |||
Honda Motor Company, Ltd. | 177,900 | 5,721,841 | |||
Komatsu, Ltd. | 170,400 | 4,221,415 | |||
Kyudenko Corp. | 54,800 | 1,763,657 | |||
Mitsubishi Gas Chemical Company, Inc. | 100,500 | 2,129,582 | |||
Nihon Unisys, Ltd. | 67,100 | 2,019,204 | |||
Resona Holdings, Inc. | 1,044,500 | 4,027,229 | |||
Sanwa Holdings Corp. | 104,400 | 1,283,998 | |||
Sony Group Corp. | 39,500 | 3,830,207 | |||
Sumitomo Heavy Industries, Ltd. | 119,800 | 3,312,715 | |||
Sumitomo Mitsui Financial Group, Inc. | 186,700 | 6,435,918 | |||
Tosoh Corp. | 151,600 | 2,614,011 | |||
TS Tech Company, Ltd. | 115,200 | 1,783,698 | |||
Yamaha Motor Company, Ltd. | 157,200 | 4,269,894 | |||
52,227,614 | |||||
Macau - 0.5% | |||||
Wynn Macau, Ltd. (A) | 1,114,000 | 1,752,209 | |||
Malta - 0.0% | |||||
BGP Holdings PLC (A)(D) | 2,126,418 | 0 | |||
Netherlands - 4.7% | |||||
ING Groep NV | 341,509 | 4,533,300 | |||
Royal Dutch Shell PLC, A Shares | 228,254 | 4,576,001 | |||
Stellantis NV | 312,958 | 6,154,863 | |||
15,264,164 | |||||
Norway - 1.5% | |||||
DNB ASA | 102,188 | 2,227,108 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Norway (continued) | |||||
Norsk Hydro ASA | 404,282 | $ | 2,581,097 | ||
4,808,205 | |||||
Singapore - 0.6% | |||||
DBS Group Holdings, Ltd. | 92,729 | 2,062,971 | |||
South Korea - 7.5% | |||||
Hana Financial Group, Inc. | 108,791 | 4,458,408 | |||
KB Financial Group, Inc. | 83,139 | 4,126,192 | |||
KT Corp., ADR | 152,065 | 2,121,307 | |||
POSCO | 6,238 | 1,927,852 | |||
Samsung Electronics Company, Ltd. | 80,925 | 5,793,110 | |||
SK Telecom Company, Ltd. | 20,191 | 5,737,929 | |||
24,164,798 | |||||
Spain - 0.6% | |||||
Applus Services SA (A) | 191,132 | 1,867,295 | |||
Sweden - 3.5% | |||||
Svenska Handelsbanken AB, A Shares | 382,038 | 4,312,425 | |||
Volvo AB, B Shares (B) | 294,044 | 7,086,292 | |||
11,398,717 | |||||
Switzerland - 11.6% | |||||
Adecco Group AG | 52,959 | 3,603,425 | |||
Glencore PLC (A) | 1,527,430 | 6,555,859 | |||
Novartis AG | 75,248 | 6,864,618 | |||
Roche Holding AG | 24,350 | 9,176,011 | |||
STMicroelectronics NV | 117,636 | 4,278,011 | |||
UBS Group AG | 452,897 | 6,937,125 | |||
37,415,049 | |||||
United Kingdom - 9.2% | |||||
BAE Systems PLC | 244,790 | 1,768,855 | |||
Coca-Cola Europacific Partners PLC | 87,954 | 5,217,431 | |||
GlaxoSmithKline PLC | 119,257 | 2,344,482 | |||
IMI PLC | 185,666 | 4,418,775 | |||
JET2 PLC (A) | 61,082 | 1,000,151 | |||
Melrose Industries PLC | 1,170,390 | 2,519,289 | |||
Nomad Foods, Ltd. (A) | 63,889 | 1,806,142 | |||
Persimmon PLC | 59,165 | 2,423,610 | |||
Tesco PLC | 1,306,466 | 4,035,906 | |||
Travis Perkins PLC (A) | 179,820 | 4,207,299 | |||
29,741,940 | |||||
United States - 3.5% | |||||
Applied Materials, Inc. | 21,666 | 3,085,238 | |||
Envista Holdings Corp. (A) | 109,968 | 4,751,717 | |||
FMC Corp. | 31,879 | 3,449,308 | |||
11,286,263 | |||||
TOTAL COMMON STOCKS (Cost $269,528,013) | $ | 310,180,328 | |||
PREFERRED SECURITIES - 1.5% | |||||
Germany - 1.5% | |||||
Volkswagen AG | 18,848 | 4,725,776 | |||
TOTAL PREFERRED SECURITIES (Cost $3,970,939) | $ | 4,725,776 | |||
SHORT-TERM INVESTMENTS - 4.4% | |||||
Short-term funds - 4.4% | |||||
Fidelity Institutional Money Market Government Portfolio, Institutional Class, 0.0100% (E) | 4,811,413 | 4,811,413 | |||
John Hancock Collateral Trust, 0.0324% (E)(F) | 953,970 | 9,544,085 | |||
TOTAL SHORT-TERM INVESTMENTS (Cost $14,355,626) | $ | 14,355,498 | |||
Total Investments (Disciplined Value International Trust) (Cost $287,854,578) - 102.0% | $ | 329,261,602 | |||
Other assets and liabilities, net - (2.0%) | (6,509,802) | ||||
TOTAL NET ASSETS - 100.0% | $ | 322,751,800 |
The accompanying notes are an integral part of the financial statements. | 19 |
Security Abbreviations and Legend | |
ADR | American Depositary Receipt |
(A) | Non-income producing security. |
(B) | All or a portion of this security is on loan as of 6-30-21. |
(C) | 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. |
(D) | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. Refer to Note 2 to the financial statements. |
(E) | The rate shown is the annualized seven-day yield as of 6-30-21. |
(F) | Investment is an affiliate of the fund, the advisor and/or subadvisor. This security represents the investment of cash collateral received for securities lending. |
Shares or Principal Amount | Value | ||||
COMMON STOCKS - 96.5% | |||||
Australia - 0.0% | �� | ||||
MMG, Ltd. (A) | 284,000 | $ | 124,754 | ||
Belgium - 0.0% | |||||
Titan Cement International SA (A) | 1,772 | 34,390 | |||
Brazil - 3.6% | |||||
Banco Bradesco SA | 59,872 | 263,139 | |||
Banco do Brasil SA | 67,483 | 435,930 | |||
Banco Santander Brasil SA | 17,518 | 142,643 | |||
Camil Alimentos SA | 10,600 | 20,331 | |||
Cogna Educacao (A) | 186,166 | 162,069 | |||
Enauta Participacoes SA | 16,860 | 61,050 | |||
International Meal Company Alimentacao SA (A) | 26,670 | 21,824 | |||
Iochpe Maxion SA (A) | 11,411 | 36,776 | |||
JBS SA | 10,100 | 59,092 | |||
JHSF Participacoes SA | 28,427 | 41,551 | |||
Marisa Lojas SA (A) | 14,758 | 27,476 | |||
Petroleo Brasileiro SA | 403,347 | 2,456,347 | |||
Restoque Comercio e Confeccoes de Roupas SA (A) | 3,836 | 3,270 | |||
Sao Carlos Empreendimentos e Participacoes SA | 5,205 | 44,936 | |||
Trisul SA | 13,137 | 25,752 | |||
Tupy SA (A) | 9,951 | 47,496 | |||
Usinas Siderurgicas de Minas Gerais SA | 14,738 | 58,522 | |||
Vale SA | 247,149 | 5,627,412 | |||
9,535,616 | |||||
Canada - 0.1% | |||||
Atlas Corp. | 9,130 | 130,103 | |||
Chile - 0.4% | |||||
Camanchaca SA (A) | 214,992 | 14,128 | |||
CAP SA | 5,458 | 93,643 | |||
Cementos BIO BIO SA | 16,447 | 16,349 | |||
Cencosud SA | 133,449 | 265,502 | |||
Cristalerias de Chile SA | 3,626 | 13,626 | |||
Empresa Nacional de Telecomunicaciones SA | 15,564 | 85,620 | |||
Empresas CMPC SA | 53,560 | 127,630 | |||
Empresas COPEC SA | 21,339 | 210,080 | |||
Empresas Hites SA (A) | 46,731 | 9,519 | |||
Grupo Security SA | 147,513 | 24,789 | |||
Hortifrut SA | 9,101 | 11,153 | |||
Inversiones Aguas Metropolitanas SA | 42,648 | 23,287 | |||
Itau CorpBanca Chile SA (A) | 10,081,598 | 27,730 | |||
Masisa SA (A) | 321,066 | 6,186 | |||
PAZ Corp. SA | 16,523 | 11,137 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Chile (continued) | |||||
Ripley Corp. SA (A) | 137,631 | $ | 35,420 | ||
Salfacorp SA | 54,622 | 29,751 | |||
Sigdo Koppers SA | 50,989 | 48,601 | |||
SMU SA | 43,046 | 5,108 | |||
Sociedad Matriz SAAM SA | 670,600 | 47,666 | |||
Socovesa SA | 113,429 | 24,254 | |||
SONDA SA | 17,248 | 9,749 | |||
1,140,928 | |||||
China - 24.6% | |||||
361 Degrees International, Ltd. (A) | 140,000 | 76,313 | |||
3SBio, Inc. (A)(B) | 146,500 | 181,161 | |||
AAC Technologies Holdings, Inc. | 79,500 | 594,776 | |||
Agile Group Holdings, Ltd. | 183,000 | 237,156 | |||
Agricultural Bank of China, Ltd., H Shares | 2,201,000 | 763,758 | |||
Air China, Ltd., H Shares (A) | 152,000 | 111,766 | |||
Alibaba Group Holding, Ltd. (A) | 11,200 | 317,563 | |||
Aluminum Corp. of China, Ltd., H Shares (A) | 372,000 | 220,548 | |||
Angang Steel Company, Ltd., H Shares (C) | 193,800 | 122,695 | |||
Anhui Conch Cement Company, Ltd., H Shares | 137,000 | 726,192 | |||
Anton Oilfield Services Group (A)(C) | 284,000 | 19,016 | |||
Asia Cement China Holdings Corp. | 65,000 | 50,923 | |||
AsiaInfo Technologies, Ltd. (B) | 17,200 | 29,209 | |||
AviChina Industry & Technology Company, Ltd., H Shares | 230,000 | 152,230 | |||
BAIC Motor Corp., Ltd., H Shares (B) | 207,000 | 77,019 | |||
Baidu, Inc., ADR (A) | 14,801 | 3,017,924 | |||
BAIOO Family Interactive, Ltd. (B) | 126,000 | 26,430 | |||
Bank of China, Ltd., H Shares | 5,614,694 | 2,016,027 | |||
Bank of Chongqing Company, Ltd., H Shares | 69,500 | 46,280 | |||
Bank of Communications Company, Ltd., H Shares | 705,876 | 474,157 | |||
Bank of Tianjin Company, Ltd., H Shares (A) | 74,000 | 34,581 | |||
Baoye Group Company, Ltd., H Shares (A) | 22,000 | 12,404 | |||
BBMG Corp., H Shares (C) | 220,000 | 41,335 | |||
Beijing Capital International Airport Company, Ltd., H Shares (A) | 236,000 | 156,732 | |||
Beijing North Star Company, Ltd., H Shares | 132,000 | 24,637 | |||
Beijing Urban Construction Design & Development Group Company, Ltd., H Shares (B) | 35,000 | 9,232 | |||
Boyaa Interactive International, Ltd. (A) | 63,000 | 4,625 | |||
BYD Electronic International Company, Ltd. (C) | 70,000 | 460,118 | |||
C&D Property Management Group Company, Ltd. (A) | 14,000 | 8,649 | |||
Cabbeen Fashion, Ltd. | 40,000 | 17,346 | |||
Central China Management Company, Ltd. (A) | 113,732 | 33,544 | |||
Central China Real Estate, Ltd. | 113,732 | 29,598 | |||
Chaowei Power Holdings, Ltd. | 88,000 | 27,503 | |||
Cheetah Mobile, Inc., ADR (A) | 4,594 | 10,888 | |||
China Aoyuan Group, Ltd. | 134,000 | 113,169 | |||
China BlueChemical, Ltd., H Shares | 264,000 | 77,208 | |||
China Cinda Asset Management Company, Ltd., H Shares | 1,012,000 | 192,801 | |||
China CITIC Bank Corp., Ltd., H Shares | 730,775 | 345,992 | |||
China Coal Energy Company, Ltd., H Shares | 178,000 | 106,019 | |||
China Communications Services Corp., Ltd., H Shares | 217,200 | 108,461 |
The accompanying notes are an integral part of the financial statements. | 20 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
China (continued) | |||||
China Conch Venture Holdings, Ltd. | 100,500 | $ | 422,860 | ||
China Construction Bank Corp., H Shares | 6,962,000 | 5,463,107 | |||
China Development Bank Financial Leasing Company, Ltd., H Shares (B) | 122,000 | 18,849 | |||
China Dili Group (A) | 190,600 | 51,453 | |||
China Dongxiang Group Company, Ltd. | 530,000 | 93,617 | |||
China Eastern Airlines Corp., Ltd., H Shares | 276,000 | 116,965 | |||
China Electronics Optics Valley Union Holding Company, Ltd. | 308,000 | 22,157 | |||
China Energy Engineering Corp., Ltd., H Shares | 380,000 | 38,123 | |||
China Everbright Bank Company, Ltd., H Shares | 353,000 | 144,112 | |||
China Evergrande Group (C) | 202,000 | 262,717 | |||
China Galaxy Securities Company, Ltd., H Shares | 301,000 | 179,343 | |||
China Hanking Holdings, Ltd. | 61,000 | 10,376 | |||
China Harmony Auto Holding, Ltd. | 105,500 | 46,402 | |||
China Hongqiao Group, Ltd. | 249,000 | 337,171 | |||
China Huarong Asset Management Company, Ltd., H Shares (B)(D) | 1,070,000 | 84,340 | |||
China Huiyuan Juice Group, Ltd. (A)(D) | 212,500 | 13,821 | |||
China International Capital Corp., Ltd., H Shares (B) | 8,400 | 22,589 | |||
China International Marine Containers Group Company, Ltd., H Shares | 64,700 | 142,631 | |||
China Kepei Education Group, Ltd. | 68,000 | 49,104 | |||
China Lesso Group Holdings, Ltd. | 133,000 | 328,333 | |||
China Life Insurance Company, Ltd., H Shares | 315,000 | 624,525 | |||
China Lilang, Ltd. | 72,000 | 46,710 | |||
China Literature, Ltd. (A)(B) | 14,400 | 160,361 | |||
China Machinery Engineering Corp., H Shares | 115,000 | 53,310 | |||
China Maple Leaf Educational Systems, Ltd. (A)(C) | 222,000 | 59,948 | |||
China Medical System Holdings, Ltd. | 146,000 | 383,750 | |||
China Merchants Bank Company, Ltd., H Shares | 350,500 | 2,985,627 | |||
China Merchants Securities Company, Ltd., H Shares (B) | 46,080 | 64,073 | |||
China Minsheng Banking Corp., Ltd., H Shares (C) | 489,900 | 234,521 | |||
China Modern Dairy Holdings, Ltd. (C) | 171,000 | 37,828 | |||
China Molybdenum Company, Ltd., H Shares | 213,000 | 126,216 | |||
China National Building Material Company, Ltd., H Shares | 567,450 | 666,320 | |||
China New Higher Education Group, Ltd. (B) | 88,000 | 60,286 | |||
China Oilfield Services, Ltd., H Shares | 182,000 | 163,044 | |||
China Oriental Group Company, Ltd. | 164,000 | 52,945 | |||
China Pacific Insurance Group Company, Ltd., H Shares | 271,800 | 853,796 | |||
China Petroleum & Chemical Corp., ADR | 6,198 | 316,160 | |||
China Petroleum & Chemical Corp., H Shares | 1,262,000 | 641,424 | |||
China Railway Group, Ltd., H Shares | 379,000 | 197,563 | |||
China Railway Signal & Communication Corp., Ltd., H Shares (B) | 207,000 | 76,462 | |||
China Reinsurance Group Corp., H Shares | 554,000 | 56,348 | |||
China Resources Medical Holdings Company, Ltd. | 103,000 | 125,151 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
China (continued) | |||||
China Resources Pharmaceutical Group, Ltd. (B) | 195,500 | $ | 121,749 | ||
China Sanjiang Fine Chemicals Company, Ltd. | 105,000 | 42,598 | |||
China SCE Group Holdings, Ltd. | 266,200 | 109,386 | |||
China Shanshui Cement Group, Ltd. (A) | 117,000 | 31,397 | |||
China Shenhua Energy Company, Ltd., H Shares | 372,000 | 728,676 | |||
China Shineway Pharmaceutical Group, Ltd. | 32,000 | 32,773 | |||
China Silver Group, Ltd. (A) | 94,000 | 8,567 | |||
China Southern Airlines Company, Ltd., H Shares (A) | 228,000 | 141,506 | |||
China Sunshine Paper Holdings Company, Ltd. (A) | 31,500 | 7,492 | |||
China Taifeng Beddings Holdings, Ltd. (A)(D) | 204,000 | 12,769 | |||
China Tower Corp., Ltd., H Shares (B) | 3,192,000 | 439,551 | |||
China Vanke Company, Ltd., H Shares | 188,900 | 590,410 | |||
China XLX Fertiliser, Ltd. | 94,000 | 53,727 | |||
China Yongda Automobiles Services Holdings, Ltd. | 101,000 | 180,761 | |||
China ZhengTong Auto Services Holdings, Ltd. (A) | 160,000 | 16,498 | |||
China Zheshang Bank Company, Ltd., H Shares (A)(C) | 42,000 | 21,560 | |||
China Zhongwang Holdings, Ltd. (A) | 196,800 | 45,820 | |||
Chinasoft International, Ltd. (A) | 100,000 | 181,887 | |||
Chongqing Rural Commercial Bank Company, Ltd., H Shares | 311,000 | 122,902 | |||
CIFI Holdings Group Company, Ltd. | 341,380 | 266,286 | |||
CITIC Securities Company, Ltd., H Shares | 123,500 | 309,449 | |||
CITIC, Ltd. | 460,130 | 495,464 | |||
Cogobuy Group (A)(B) | 74,000 | 26,694 | |||
Colour Life Services Group Company, Ltd. (A)(C) | 6,169 | 2,422 | |||
Consun Pharmaceutical Group, Ltd. | 19,000 | 12,378 | |||
COSCO SHIPPING Development Company, Ltd., H Shares | 434,000 | 92,683 | |||
COSCO SHIPPING Energy Transportation Company, Ltd., H Shares | 168,000 | 78,230 | |||
COSCO SHIPPING Holdings Company, Ltd., H Shares (A) | 110,000 | 276,416 | |||
Cosmo Lady China Holdings Company, Ltd. (A)(B) | 29,000 | 4,441 | |||
Country Garden Holdings Company, Ltd. | 912,471 | 1,021,301 | |||
CPMC Holdings, Ltd. | 76,000 | 44,532 | |||
CSPC Pharmaceutical Group, Ltd. | 234,000 | 338,002 | |||
CT Environmental Group, Ltd. (A)(D) | 164,000 | 6,463 | |||
DaFa Properties Group, Ltd. | 27,000 | 21,731 | |||
Dali Foods Group Company, Ltd. (B) | 180,500 | 107,567 | |||
Dexin China Holdings Company, Ltd. (A)(C) | 66,000 | 25,103 | |||
Dongfang Electric Corp., Ltd., H Shares | 29,000 | 23,216 | |||
Dongfeng Motor Group Company, Ltd., H Shares | 210,000 | 188,503 | |||
Dongyue Group, Ltd. | 143,000 | 119,585 | |||
DouYu International Holdings, Ltd., ADR (A) | 3,398 | 23,242 | |||
E-Commodities Holdings, Ltd. (A) | 348,000 | 17,262 | |||
E-House China Enterprise Holdings, Ltd. | 17,700 | 15,112 | |||
Everbright Securities Company, Ltd., H Shares (B) | 25,600 | 21,882 | |||
Fang Holdings, Ltd., ADR (A) | 10 | 119 |
The accompanying notes are an integral part of the financial statements. | 21 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
China (continued) | |||||
Fantasia Holdings Group Company, Ltd. (A) | 172,500 | $ | 19,536 | ||
FinVolution Group, ADR | 6,795 | 64,688 | |||
First Tractor Company, Ltd., H Shares | 36,000 | 23,314 | |||
Fosun International, Ltd. | 195,460 | 280,931 | |||
Fu Shou Yuan International Group, Ltd. | 103,000 | 100,650 | |||
Fufeng Group, Ltd. (A) | 270,200 | 86,559 | |||
Fuyao Glass Industry Group Company, Ltd., H Shares (B) | 9,600 | 67,584 | |||
GDS Holdings, Ltd., Class A (A) | 1,800 | 17,681 | |||
Genertec Universal Medical Group Company, Ltd. (B) | 99,000 | 96,729 | |||
GF Securities Company, Ltd., H Shares | 119,800 | 155,077 | |||
GOME Retail Holdings, Ltd. (A) | 434,000 | 55,683 | |||
Grand Baoxin Auto Group, Ltd. (A) | 219,500 | 36,642 | |||
Great Wall Motor Company, Ltd., H Shares | 88,500 | 285,194 | |||
Greatview Aseptic Packaging Company, Ltd. | 44,000 | 19,860 | |||
Greenland Hong Kong Holdings, Ltd. | 88,000 | 28,359 | |||
Greentown China Holdings, Ltd. | 102,500 | 158,154 | |||
Guangshen Railway Company, Ltd., ADR (A) | 3,552 | 34,703 | |||
Guangshen Railway Company, Ltd., H Shares (A) | 34,000 | 6,610 | |||
Guangzhou Automobile Group Company, Ltd., H Shares | 234,000 | 210,029 | |||
Guangzhou Baiyunshan Pharmaceutical Holdings Company, Ltd., H Shares | 24,000 | 75,818 | |||
Guangzhou R&F Properties Company, Ltd., H Shares | 201,600 | 230,241 | |||
Guorui Properties, Ltd. | 84,000 | 4,328 | |||
Guotai Junan Securities Company, Ltd., H Shares (B) | 34,600 | 49,141 | |||
Haichang Ocean Park Holdings, Ltd. (A)(B) | 181,000 | 12,573 | |||
Haier Smart Home Company, Ltd., H Shares (A) | 81,600 | 284,587 | |||
Hainan Meilan International Airport Company, Ltd., H Shares (A) | 17,000 | 70,860 | |||
Haitian International Holdings, Ltd. | 70,000 | 234,419 | |||
Haitong Securities Company, Ltd., H Shares | 188,000 | 164,626 | |||
Harbin Bank Company, Ltd., H Shares (A)(B) | 74,000 | 9,243 | |||
Harbin Electric Company, Ltd., H Shares (A) | 128,000 | 34,782 | |||
HC Group, Inc. (A)(C) | 98,000 | 12,494 | |||
Hengan International Group Company, Ltd. | 70,000 | 468,405 | |||
Hiroca Holdings, Ltd. | 8,000 | 18,947 | |||
Hisense Home Appliances Group Company, Ltd., H Shares | 39,000 | 53,802 | |||
Honghua Group, Ltd. (A) | 367,000 | 13,000 | |||
Honworld Group, Ltd. (B)(D) | 56,000 | 19,928 | |||
Hope Education Group Company, Ltd. (B) | 174,000 | 41,871 | |||
Hua Hong Semiconductor, Ltd. (A)(B) | 27,000 | 149,059 | |||
Huatai Securities Company, Ltd., H Shares (B) | 112,800 | 165,462 | |||
Huishang Bank Corp., Ltd., H Shares | 63,300 | 20,869 | |||
iDreamSky Technology Holdings, Ltd. (A)(B) | 32,000 | 20,480 | |||
Industrial & Commercial Bank of China, Ltd., H Shares | 5,463,000 | 3,201,422 | |||
Inke, Ltd. (A) | 75,000 | 21,254 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
China (continued) | |||||
Inner Mongolia Yitai Coal Company, Ltd., H Shares | 25,700 | $ | 17,886 | ||
JD.com, Inc., Class A (A) | 13,650 | 543,585 | |||
Jiangxi Copper Company, Ltd., H Shares | 99,000 | 202,176 | |||
Jingrui Holdings, Ltd. (A) | 69,000 | 19,763 | |||
JinkoSolar Holding Company, Ltd., ADR (A)(C) | 5,541 | 310,407 | |||
JNBY Design, Ltd. | 19,000 | 33,742 | |||
JOYY, Inc., ADR | 5,041 | 332,555 | |||
Kaisa Group Holdings, Ltd. (A) | 294,857 | 111,493 | |||
Kaisa Prosperity Holdings, Ltd. (A) | 4,000 | 15,540 | |||
Kangda International Environmental Company, Ltd. (A)(B) | 140,000 | 12,450 | |||
Kasen International Holdings, Ltd. (A) | 119,000 | 13,468 | |||
Kingsoft Corp., Ltd. | 58,000 | 347,356 | |||
KWG Group Holdings, Ltd. | 177,013 | 236,735 | |||
KWG Living Group Holdings, Ltd. (A) | 88,506 | 113,252 | |||
Legend Holdings Corp., H Shares (B) | 66,200 | 108,781 | |||
Lenovo Group, Ltd. | 762,000 | 875,082 | |||
LexinFintech Holdings, Ltd., ADR (A) | 14,967 | 183,346 | |||
Liaoning Port Company, Ltd., H Shares | 204,000 | 20,230 | |||
Livzon Pharmaceutical Group, Inc., H Shares | 17,400 | 85,707 | |||
Logan Group Company, Ltd. | 166,000 | 248,303 | |||
Longfor Group Holdings, Ltd. (B) | 201,500 | 1,122,387 | |||
Lonking Holdings, Ltd. | 277,000 | 89,532 | |||
Luye Pharma Group, Ltd. (A)(B) | 235,000 | 154,446 | |||
Maanshan Iron & Steel Company, Ltd., H Shares | 108,000 | 46,824 | |||
Metallurgical Corp. of China, Ltd., H Shares | 185,000 | 43,107 | |||
Minth Group, Ltd. | 88,000 | 417,350 | |||
MOBI Development Company, Ltd. (A) | 70,000 | 4,684 | |||
Modern Land China Company, Ltd. | 88,000 | 8,722 | |||
Momo, Inc., ADR | 17,548 | 268,660 | |||
Nature Home Holding Company, Ltd. (A) | 59,000 | 9,498 | |||
NetDragon Websoft Holdings, Ltd. | 17,000 | 45,286 | |||
New China Life Insurance Company, Ltd., H Shares | 86,800 | 295,968 | |||
NVC International Holdings, Ltd. (A) | 267,000 | 6,873 | |||
Orient Securities Company, Ltd., H Shares (B) | 66,400 | 48,145 | |||
PetroChina Company, Ltd., ADR (C) | 1,761 | 86,342 | |||
PetroChina Company, Ltd., H Shares | 2,098,000 | 1,027,411 | |||
PICC Property & Casualty Company, Ltd., H Shares | 624,000 | 545,829 | |||
Ping An Insurance Group Company of China, Ltd., H Shares | 261,000 | 2,551,379 | |||
Postal Savings Bank of China Company, Ltd., H Shares (B) | 745,000 | 501,007 | |||
Powerlong Real Estate Holdings, Ltd. | 178,000 | 152,553 | |||
Q Technology Group Company, Ltd. | 37,000 | 75,768 | |||
Qingdao Port International Company, Ltd., H Shares (B) | 19,000 | 10,471 | |||
Qingling Motors Company, Ltd., H Shares | 128,000 | 27,165 | |||
Qunxing Paper Holdings Company, Ltd. (A)(D) | 634,371 | 0 | |||
Red Star Macalline Group Corp., Ltd., H Shares (A)(B) | 62,480 | 43,955 | |||
Redco Properties Group, Ltd. (B) | 96,000 | 31,145 | |||
Redsun Properties Group, Ltd. | 93,000 | 30,925 | |||
Ronshine China Holdings, Ltd. (A) | 61,500 | 35,457 | |||
Sany Heavy Equipment International Holdings Company, Ltd. | 99,000 | 100,269 | |||
Seazen Group, Ltd. (A) | 240,000 | 226,970 |
The accompanying notes are an integral part of the financial statements. | 22 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
China (continued) | |||||
Shandong Chenming Paper Holdings, Ltd., H Shares | 41,000 | $ | 25,543 | ||
Shandong Gold Mining Company, Ltd., H Shares (B)(C) | 63,500 | 112,258 | |||
Shandong Weigao Group Medical Polymer Company, Ltd., H Shares | 252,000 | 587,813 | |||
Shanghai Electric Group Company, Ltd., H Shares (A) | 158,000 | 42,138 | |||
Shanghai Fosun Pharmaceutical Group Company, Ltd., H Shares | 32,500 | 262,320 | |||
Shanghai Jin Jiang Capital Company, Ltd., H Shares | 244,000 | 52,445 | |||
Shanghai Pharmaceuticals Holding Company, Ltd., H Shares | 91,200 | 199,173 | |||
Shengjing Bank Company, Ltd., H Shares (A)(B) | 17,500 | 15,537 | |||
Shenguan Holdings Group, Ltd. | 90,000 | 4,861 | |||
Shenwan Hongyuan Group Company, Ltd., H Shares (B) | 143,200 | 38,368 | |||
Shui On Land, Ltd. (A) | 390,961 | 63,442 | |||
Sihuan Pharmaceutical Holdings Group, Ltd. | 177,000 | 75,622 | |||
Sino-Ocean Group Holding, Ltd. | 333,973 | 73,167 | |||
Sinopec Engineering Group Company, Ltd., H Shares | 129,000 | 83,495 | |||
Sinopec Oilfield Service Corp., H Shares (A) | 550,000 | 50,970 | |||
Sinopec Shanghai Petrochemical Company, Ltd., H Shares | 300,000 | 69,825 | |||
Sinopharm Group Company, Ltd., H Shares | 156,800 | 465,185 | |||
Sinosoft Technology Group, Ltd. | 104,000 | 19,828 | |||
Sinotrans, Ltd., H Shares | 242,000 | 100,729 | |||
Sinotruk Hong Kong, Ltd. | 100,500 | 215,371 | |||
Skyfame Realty Holdings, Ltd. | 286,000 | 34,973 | |||
SOHO China, Ltd. (A) | 247,000 | 132,604 | |||
Sun King Technology Group, Ltd. (A) | 108,000 | 41,558 | |||
Sunac China Holdings, Ltd. | 291,000 | 997,851 | |||
Sunac Services Holdings, Ltd. (B) | 7,400 | 27,466 | |||
Sunshine 100 China Holdings, Ltd. (B) | 77,000 | 12,209 | |||
TAL Education Group, ADR (A) | 2,919 | 73,646 | |||
Ten Pao Group Holdings, Ltd. | 80,000 | 21,631 | |||
Tencent Music Entertainment Group, ADR (A) | 18,956 | 293,439 | |||
Tenwow International Holdings, Ltd. (A)(D) | 121,000 | 4,441 | |||
The People's Insurance Company Group of China, Ltd., H Shares | 514,000 | 171,387 | |||
Tian Ge Interactive Holdings, Ltd. (A)(B) | 44,000 | 6,180 | |||
Tiangong International Company, Ltd. (C) | 108,000 | 46,022 | |||
Tianjin Capital Environmental Protection Group Company, Ltd., H Shares | 24,000 | 10,691 | |||
Tianli Education International Holdings, Ltd. (A) | 21,000 | 7,986 | |||
Tianneng Power International, Ltd. (C) | 78,000 | 136,361 | |||
Tianyun International Holdings, Ltd. (A) | 54,000 | 11,337 | |||
Tingyi Cayman Islands Holding Corp. | 212,000 | 423,243 | |||
Tong Ren Tang Technologies Company, Ltd., H Shares | 62,000 | 56,920 | |||
Tongcheng-Elong Holdings, Ltd. (A) | 74,000 | 185,196 | |||
TravelSky Technology, Ltd., H Shares | 88,000 | 189,603 | |||
Trigiant Group, Ltd. (A) | 158,000 | 14,645 | |||
Trip.com Group, Ltd., ADR (A) | 35,226 | 1,249,114 | |||
Tsingtao Brewery Company, Ltd., H Shares | 16,000 | 172,067 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
China (continued) | |||||
Uni-President China Holdings, Ltd. | 120,000 | $ | 132,401 | ||
Viomi Technology Company, Ltd., ADR (A)(C) | 4,620 | 39,224 | |||
Vipshop Holdings, Ltd., ADR (A) | 17,059 | 342,545 | |||
Virscend Education Company, Ltd. (B) | 59,000 | 8,291 | |||
Want Want China Holdings, Ltd. | 439,000 | 310,839 | |||
Weibo Corp., ADR (A) | 1,290 | 67,880 | |||
Weichai Power Company, Ltd., H Shares | 217,000 | 481,804 | |||
Weiqiao Textile Company, H Shares | 73,500 | 24,050 | |||
West China Cement, Ltd. | 380,000 | 58,227 | |||
Wisdom Education International Holdings Company, Ltd. | 122,000 | 33,324 | |||
Xiabuxiabu Catering Management China Holdings Company, Ltd. (A)(B) | 35,500 | 37,200 | |||
Xiamen International Port Company, Ltd., H Shares | 260,000 | 31,757 | |||
Xingda International Holdings, Ltd. | 135,930 | 32,709 | |||
Xingfa Aluminium Holdings, Ltd. | 29,000 | 47,610 | |||
Xinhua Winshare Publishing and Media Company, Ltd., H Shares | 51,000 | 36,489 | |||
Xinjiang Goldwind Science & Technology Company, Ltd., H Shares (C) | 47,000 | 73,434 | |||
Xinyi Solar Holdings, Ltd. | 22,000 | 47,353 | |||
Xinyuan Real Estate Company, Ltd., ADR | 6,010 | 15,927 | |||
Xtep International Holdings, Ltd. | 151,231 | 284,944 | |||
Yangtze Optical Fibre and Cable Joint Stock, Ltd. Company, H Shares (B) | 15,500 | 19,701 | |||
Yanzhou Coal Mining Company, Ltd., H Shares | 262,000 | 351,835 | |||
YiChang HEC ChangJiang Pharmaceutical Company, Ltd., H Shares (B) | 33,400 | 36,842 | |||
Yiren Digital, Ltd., ADR (A) | 7,156 | 43,008 | |||
Yum China Holdings, Inc. | 28,049 | 1,858,246 | |||
Yuzhou Group Holdings Company, Ltd. | 297,024 | 76,195 | |||
Zhaojin Mining Industry Company, Ltd., H Shares | 122,500 | 116,492 | |||
Zhejiang Glass Company, Ltd., H Shares (A)(D) | 162,000 | 0 | |||
Zhengzhou Coal Mining Machinery Group Company, Ltd., H Shares | 25,400 | 32,314 | |||
Zhenro Properties Group, Ltd. | 131,000 | 73,180 | |||
Zhong An Group, Ltd. (A) | 409,000 | 20,314 | |||
Zhongsheng Group Holdings, Ltd. | 13,500 | 112,298 | |||
Zhou Hei Ya International Holdings Company, Ltd. (A)(B) | 58,000 | 69,492 | |||
Zhuzhou CRRC Times Electric Company, Ltd., H Shares (A) | 47,900 | 282,923 | |||
Zijin Mining Group Company, Ltd., H Shares | 46,000 | 61,727 | |||
Zoomlion Heavy Industry Science and Technology Company, Ltd., H Shares | 112,000 | 117,233 | |||
ZTE Corp., H Shares | 62,400 | 194,730 | |||
ZTO Express Cayman, Inc., ADR | 34,890 | 1,058,912 | |||
65,814,224 | |||||
Colombia - 0.1% | |||||
Cementos Argos SA | 24,726 | 35,248 | |||
Grupo Argos SA | 36,406 | 97,005 | |||
Grupo de Inversiones Suramericana SA | 23,322 | 114,963 | |||
247,216 | |||||
Czech Republic - 0.1% | |||||
CEZ AS | 9,077 | 269,179 | |||
Komercni banka AS (A) | 2,458 | 86,492 | |||
355,671 |
The accompanying notes are an integral part of the financial statements. | 23 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Greece - 0.3% | |||||
Alpha Services and Holdings SA (A) | 98,073 | $ | 125,516 | ||
Bank of Greece | 667 | 11,976 | |||
Ellaktor SA (A) | 17,133 | 30,688 | |||
Eurobank Ergasias Services and Holdings SA (A) | 179,251 | 180,929 | |||
Fourlis Holdings SA (A) | 3,756 | 19,875 | |||
Hellenic Petroleum SA | 6,586 | 47,966 | |||
Mytilineos SA | 7,106 | 129,255 | |||
National Bank of Greece SA (A) | 46,051 | 131,254 | |||
Piraeus Financial Holdings SA (A) | 2,005 | 3,548 | |||
681,007 | |||||
Hong Kong - 5.7% | |||||
Ajisen China Holdings, Ltd. | 147,000 | 33,637 | |||
Anxin-China Holdings, Ltd. (A)(D) | 1,648,000 | 0 | |||
APT Satellite Holdings, Ltd. | 28,000 | 8,321 | |||
Asian Citrus Holdings, Ltd. (A)(C) | 249,000 | 10,107 | |||
Ausnutria Dairy Corp., Ltd. (A) | 70,000 | 93,688 | |||
Beijing Energy International Holding Company, Ltd. (A) | 814,000 | 29,851 | |||
Beijing Enterprises Clean Energy Group, Ltd. (A) | 600,000 | 8,645 | |||
Beijing Enterprises Holdings, Ltd. | 63,500 | 225,291 | |||
Beijing Enterprises Water Group, Ltd. (A) | 532,000 | 201,563 | |||
Bosideng International Holdings, Ltd. | 394,000 | 281,528 | |||
Brilliance China Automotive Holdings, Ltd. | 216,000 | 134,568 | |||
C C Land Holdings, Ltd. | 125,126 | 30,605 | |||
C&D International Investment Group, Ltd. (A) | 14,000 | 25,099 | |||
CA Cultural Technology Group, Ltd. (A)(C) | 35,000 | 13,487 | |||
CECEP COSTIN New Materials Group, Ltd. (A)(D) | 348,000 | 0 | |||
CGN New Energy Holdings Company, Ltd. (C) | 150,000 | 61,949 | |||
China Aerospace International Holdings, Ltd. | 190,000 | 17,110 | |||
China Aircraft Leasing Group Holdings, Ltd. (C) | 23,000 | 17,974 | |||
China Boton Group Company, Ltd. (A)(C) | 20,000 | 11,059 | |||
China Education Group Holdings, Ltd. | 36,000 | 80,298 | |||
China Everbright Greentech, Ltd. (B)(C) | 43,000 | 16,385 | |||
China Everbright, Ltd. | 76,000 | 89,355 | |||
China Fiber Optic Network System Group, Ltd. (A)(D) | 150,800 | 5,438 | |||
China Foods, Ltd. | 74,000 | 26,886 | |||
China Gas Holdings, Ltd. | 254,000 | 773,760 | |||
China Grand Pharmaceutical and Healthcare Holdings, Ltd. | 86,000 | 80,379 | |||
China High Precision Automation Group, Ltd. (A)(D) | 18,000 | 2,156 | |||
China High Speed Transmission Equipment Group Company, Ltd. (A) | 45,000 | 28,559 | |||
China Jinmao Holdings Group, Ltd. | 500,000 | 167,295 | |||
China Longevity Group Company, Ltd. (A)(D) | 93,000 | 4,923 | |||
China Lumena New Materials Corp. (A)(D) | 2,036,000 | 0 | |||
China Mengniu Dairy Company, Ltd. (A) | 56,000 | 338,310 | |||
China Merchants Land, Ltd. (A) | 260,000 | 36,493 | |||
China Merchants Port Holdings Company, Ltd. | 136,622 | 199,530 | |||
China New Town Development Company, Ltd. | 300,165 | 4,447 | |||
China Oil & Gas Group, Ltd. (A) | 600,000 | 32,457 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Hong Kong (continued) | |||||
China Overseas Grand Oceans Group, Ltd. | 191,500 | $ | 111,524 | ||
China Overseas Land & Investment, Ltd. | 421,000 | 954,670 | |||
China Resources Cement Holdings, Ltd. | 282,000 | 267,939 | |||
China Resources Gas Group, Ltd. | 98,000 | 587,725 | |||
China Resources Land, Ltd. | 366,000 | 1,478,202 | |||
China South City Holdings, Ltd. | 498,000 | 54,502 | |||
China Taiping Insurance Holdings Company, Ltd. | 178,600 | 296,902 | |||
China Traditional Chinese Medicine Holdings Company, Ltd. (A) | 336,000 | 230,190 | |||
China Travel International Investment Hong Kong, Ltd. (A) | 314,000 | 52,120 | |||
China Vast Industrial Urban Development Company, Ltd. (B) | 36,000 | 13,926 | |||
Chu Kong Shipping Enterprises Group Company, Ltd. | 26,000 | 3,547 | |||
CIMC Enric Holdings, Ltd. | 94,000 | 97,661 | |||
CITIC Resources Holdings, Ltd. (A) | 488,000 | 24,475 | |||
Concord New Energy Group, Ltd. | 690,000 | 52,438 | |||
COSCO SHIPPING International Hong Kong Company, Ltd. | 59,625 | 18,944 | |||
COSCO SHIPPING Ports, Ltd. | 162,371 | 126,774 | |||
CP Pokphand Company, Ltd. | 870,000 | 95,213 | |||
Dawnrays Pharmaceutical Holdings, Ltd. | 117,000 | 27,105 | |||
Digital China Holdings, Ltd. | 73,000 | 48,218 | |||
Far East Horizon, Ltd. | 183,000 | 191,485 | |||
GCL-Poly Energy Holdings, Ltd. (A)(C) | 2,057,000 | 329,120 | |||
Geely Automobile Holdings, Ltd. | 602,000 | 1,890,737 | |||
Gemdale Properties & Investment Corp., Ltd. | 778,000 | 99,124 | |||
Glorious Property Holdings, Ltd. (A) | 88,000 | 2,609 | |||
Glory Sun Financial Group, Ltd. (A)(C) | 612,000 | 16,451 | |||
Goldlion Holdings, Ltd. | 36,000 | 8,306 | |||
Goldpac Group, Ltd. | 46,000 | 10,493 | |||
Health & Happiness H&H International Holdings, Ltd. | 24,500 | 102,735 | |||
Hi Sun Technology China, Ltd. (A) | 372,000 | 62,660 | |||
Hopson Development Holdings, Ltd. | 90,000 | 412,470 | |||
Hua Han Health Industry Holdings, Ltd. (A)(D) | 880,000 | 24,028 | |||
Jiayuan International Group, Ltd. | 111,625 | 47,469 | |||
Joy City Property, Ltd. | 328,000 | 19,252 | |||
Ju Teng International Holdings, Ltd. | 130,000 | 27,290 | |||
Kingboard Holdings, Ltd. | 88,130 | 488,620 | |||
Kingboard Laminates Holdings, Ltd. | 111,000 | 249,246 | |||
Kunlun Energy Company, Ltd. | 438,000 | 403,218 | |||
Lee & Man Paper Manufacturing, Ltd. | 129,000 | 98,186 | |||
Lee's Pharmaceutical Holdings, Ltd. | 54,000 | 33,776 | |||
Lifestyle China Group, Ltd. (A) | 42,000 | 6,687 | |||
LVGEM China Real Estate Investment Company, Ltd. (A) | 60,000 | 15,683 | |||
Min Xin Holdings, Ltd. | 24,000 | 11,735 | |||
Mingyuan Medicare Development Company, Ltd. (A)(D) | 1,300,000 | 0 | |||
Minmetals Land, Ltd. | 118,000 | 12,741 | |||
Mobvista, Inc. (A)(B) | 18,000 | 23,120 | |||
New World Department Store China, Ltd. (A) | 34,000 | 6,529 | |||
Nine Dragons Paper Holdings, Ltd. | 185,000 | 237,219 | |||
Overseas Chinese Town Asia Holdings, Ltd. (A) | 52,000 | 10,436 | |||
PAX Global Technology, Ltd. | 104,000 | 119,812 | |||
Poly Property Group Company, Ltd. | 266,453 | 69,366 | |||
Pou Sheng International Holdings, Ltd. (A) | 223,000 | 52,515 | |||
Prinx Chengshan Cayman Holding, Ltd. | 18,000 | 20,166 |
The accompanying notes are an integral part of the financial statements. | 24 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Hong Kong (continued) | |||||
Shanghai Industrial Holdings, Ltd. | 37,000 | $ | 54,563 | ||
Shanghai Industrial Urban Development Group, Ltd. | 359,400 | 33,838 | |||
Shanghai Zendai Property, Ltd. (A) | 765,000 | 5,883 | |||
Shenzhen International Holdings, Ltd. | 135,199 | 186,808 | |||
Shenzhen Investment, Ltd. | 373,271 | 115,007 | |||
Shimao Group Holdings, Ltd. | 150,000 | 367,456 | |||
Shoucheng Holdings, Ltd. | 128,000 | 30,681 | |||
Shougang Fushan Resources Group, Ltd. | 272,565 | 80,380 | |||
Silver Grant International Holdings Group, Ltd. (A) | 160,000 | 12,380 | |||
Sino Biopharmaceutical, Ltd. | 326,000 | 319,393 | |||
Sinofert Holdings, Ltd. (A) | 300,000 | 43,266 | |||
Sinopec Kantons Holdings, Ltd. | 160,000 | 59,937 | |||
Skyworth Group, Ltd. (A) | 207,190 | 58,144 | |||
Solargiga Energy Holdings, Ltd. (A) | 243,000 | 13,919 | |||
SSY Group, Ltd. | 182,000 | 162,421 | |||
Symphony Holdings, Ltd. | 20,000 | 2,319 | |||
TCL Electronics Holdings, Ltd. (A) | 114,600 | 68,339 | |||
Texhong Textile Group, Ltd. | 24,000 | 38,784 | |||
The Wharf Holdings, Ltd. | 107,000 | 408,130 | |||
Tian An China Investment Company, Ltd. | 54,000 | 32,698 | |||
Tianjin Port Development Holdings, Ltd. | 478,000 | 37,525 | |||
Tomson Group, Ltd. | 45,714 | 11,109 | |||
Tongda Group Holdings, Ltd. (A) | 590,000 | 36,133 | |||
United Energy Group, Ltd. | 220,000 | 31,732 | |||
Vinda International Holdings, Ltd. | 39,000 | 120,071 | |||
Wasion Holdings, Ltd. | 90,000 | 28,129 | |||
Yuexiu Property Company, Ltd. | 165,908 | 174,785 | |||
15,270,342 | |||||
Hungary - 0.2% | |||||
MOL Hungarian Oil & Gas PLC (A) | 53,879 | 428,722 | |||
India - 12.1% | |||||
ACC, Ltd. | 5,847 | 158,795 | |||
Adani Enterprises, Ltd. (A) | 21,676 | 440,303 | |||
Adani Green Energy, Ltd. (A) | 14,863 | 223,271 | |||
Adani Ports & Special Economic Zone, Ltd. | 47,493 | 450,923 | |||
Adani Total Gas, Ltd. | 1,936 | 26,618 | |||
Adani Transmission, Ltd. (A) | 9,644 | 137,687 | |||
Aditya Birla Capital, Ltd. (A) | 55,560 | 87,377 | |||
Allcargo Logistics, Ltd. | 10,467 | 22,421 | |||
Ambuja Cements, Ltd. | 55,925 | 256,351 | |||
Apollo Tyres, Ltd. (A) | 28,578 | 86,689 | |||
Arvind Fashions, Ltd. (A) | 4,879 | 8,974 | |||
Arvind, Ltd. (A) | 12,009 | 12,729 | |||
Aster DM Healthcare, Ltd. (A)(B) | 4,365 | 9,062 | |||
Aurobindo Pharma, Ltd. | 33,905 | 440,687 | |||
Axis Bank, Ltd. (A) | 119,271 | 1,204,145 | |||
Bajaj Holdings & Investment, Ltd. (A) | 3,955 | 192,129 | |||
Balmer Lawrie & Company, Ltd. | 11,041 | 20,870 | |||
Balrampur Chini Mills, Ltd. | 17,968 | 86,554 | |||
Bank of Baroda (A) | 88,922 | 103,057 | |||
BEML, Ltd. | 1,822 | 32,934 | |||
Bharat Electronics, Ltd. | 59,808 | 143,812 | |||
Bharat Heavy Electricals, Ltd. (A) | 72,839 | 64,241 | |||
Bharti Airtel, Ltd. | 9,061 | 64,455 | |||
Birla Corp., Ltd. | 2,709 | 44,233 | |||
Birlasoft, Ltd. | 13,384 | 72,007 | |||
Brigade Enterprises, Ltd. (A) | 12,969 | 48,903 | |||
BSE, Ltd. | 724 | 8,791 | |||
Cadila Healthcare, Ltd. (A) | 5,367 | 46,632 | |||
Canara Bank (A) | 9,205 | 18,871 | |||
Ceat, Ltd. (A) | 2,623 | 47,957 | |||
Chambal Fertilizers & Chemicals, Ltd. | 19,376 | 79,654 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
India (continued) | |||||
Chennai Super Kings Cricket, Ltd. (A)(D) | 207,315 | $ | 6,276 | ||
Cholamandalam Financial Holdings, Ltd. (A) | 5,037 | 44,701 | |||
Cipla, Ltd. (A) | 35,701 | 466,686 | |||
Container Corp. of India, Ltd. | 14,589 | 137,624 | |||
Cyient, Ltd. | 5,147 | 59,855 | |||
Dalmia Bharat, Ltd. (A) | 2,887 | 73,823 | |||
DB Corp., Ltd. (A) | 6,129 | 8,344 | |||
DCB Bank, Ltd. (A) | 23,624 | 33,021 | |||
DCM Shriram, Ltd. | 6,717 | 82,372 | |||
Dishman Carbogen Amcis, Ltd. (A) | 5,361 | 15,391 | |||
DLF, Ltd. | 42,524 | 161,150 | |||
Edelweiss Financial Services, Ltd. | 46,814 | 45,865 | |||
EID Parry India, Ltd. (A) | 12,265 | 70,567 | |||
Exide Industries, Ltd. | 26,285 | 64,476 | |||
Federal Bank, Ltd. (A) | 191,615 | 225,313 | |||
Finolex Industries, Ltd. (A) | 25,360 | 63,082 | |||
Firstsource Solutions, Ltd. | 16,189 | 41,103 | |||
Fortis Healthcare, Ltd. (A) | 23,713 | 78,004 | |||
GAIL India, Ltd. | 193,496 | 390,500 | |||
General Insurance Corp. of India (A)(B) | 8,025 | 22,507 | |||
GHCL, Ltd. | 6,390 | 23,252 | |||
Glenmark Pharmaceuticals, Ltd. | 13,855 | 121,543 | |||
Granules India, Ltd. | 18,738 | 84,100 | |||
Grasim Industries, Ltd. | 22,248 | 449,549 | |||
Gujarat Alkalies & Chemicals, Ltd. | 3,130 | 16,966 | |||
Gujarat Ambuja Exports, Ltd. (A) | 15,820 | 36,900 | |||
Gujarat Fluorochemicals, Ltd. (A) | 4,397 | 68,986 | |||
Gujarat Narmada Valley Fertilizers & Chemicals, Ltd. | 10,255 | 52,267 | |||
Gujarat Pipavav Port, Ltd. | 15,449 | 23,436 | |||
Gujarat State Petronet, Ltd. | 22,857 | 103,142 | |||
Hero MotoCorp., Ltd. | 389 | 15,215 | |||
HFCL, Ltd. (A) | 95,724 | 87,527 | |||
Hindalco Industries, Ltd. | 140,404 | 705,450 | |||
ICICI Bank, Ltd. | 220,375 | 1,877,782 | |||
ICICI Bank, Ltd., ADR (A) | 17,653 | 301,866 | |||
IDFC First Bank, Ltd. (A) | 126,067 | 92,365 | |||
IDFC, Ltd. (A) | 67,378 | 49,070 | |||
IIFL Finance, Ltd. | 28,316 | 96,995 | |||
IIFL Securities, Ltd. | 47,890 | 48,357 | |||
IIFL Wealth Management, Ltd. | 1,561 | 24,390 | |||
Indiabulls Housing Finance, Ltd. | 33,338 | 117,023 | |||
Indiabulls Real Estate, Ltd. (A) | 28,092 | 44,641 | |||
Indian Bank (A) | 13,953 | 26,970 | |||
Indus Towers, Ltd. | 32,463 | 104,674 | |||
IndusInd Bank, Ltd. | 8,509 | 116,532 | |||
Jagran Prakashan, Ltd. (A) | 12,700 | 11,186 | |||
Jindal Saw, Ltd. | 29,627 | 46,525 | |||
Jindal Steel & Power, Ltd. (A) | 52,794 | 283,298 | |||
JK Cement, Ltd. (A) | 1,702 | 65,317 | |||
JK Tyre & Industries, Ltd. | 8,887 | 16,529 | |||
JM Financial, Ltd. | 33,116 | 39,722 | |||
JSW Energy, Ltd. | 51,942 | 117,750 | |||
JSW Steel, Ltd. | 103,888 | 960,024 | |||
Jubilant Ingrevia, Ltd. (A) | 11,603 | 81,820 | |||
Jubilant Pharmova, Ltd. (A) | 11,603 | 114,442 | |||
Just Dial, Ltd. (A) | 1,950 | 25,230 | |||
Jyothy Labs, Ltd. (A) | 5,194 | 10,866 | |||
Kalpataru Power Transmission, Ltd. | 9,196 | 52,844 | |||
Kaveri Seed Company, Ltd. | 1,661 | 16,308 | |||
Kiri Industries, Ltd. | 2,637 | 21,213 | |||
KPIT Technologies, Ltd. (A) | 13,384 | 47,225 | |||
KPR Mill, Ltd. | 4,562 | 93,396 | |||
KRBL, Ltd. (A) | 2,618 | 8,333 |
The accompanying notes are an integral part of the financial statements. | 25 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
India (continued) | |||||
L&T Finance Holdings, Ltd. (A) | 74,021 | $ | 92,735 | ||
Larsen & Toubro, Ltd. | 49,161 | 993,529 | |||
Laurus Labs, Ltd. (B) | 14,325 | 133,479 | |||
LIC Housing Finance, Ltd. | 39,247 | 248,774 | |||
Linde India, Ltd. | 3,319 | 73,667 | |||
Lupin, Ltd. | 23,401 | 362,020 | |||
Maharashtra Scooters, Ltd. (A) | 404 | 20,316 | |||
Maharashtra Seamless, Ltd. | 4,212 | 16,734 | |||
Mahindra & Mahindra Financial Services, Ltd. (A) | 59,708 | 126,597 | |||
Mahindra & Mahindra, Ltd. | 68,622 | 722,512 | |||
Mahindra CIE Automotive, Ltd. (A) | 17,673 | 56,180 | |||
Mahindra Lifespace Developers, Ltd. (A) | 3,463 | 27,891 | |||
Manappuram Finance, Ltd. | 27,778 | 63,217 | |||
Max Healthcare Institute, Ltd. (A) | 21,489 | 73,497 | |||
MOIL, Ltd. | 14,559 | 37,651 | |||
Mphasis, Ltd. | 7,042 | 202,616 | |||
MRF, Ltd. | 99 | 106,706 | |||
NCC, Ltd. | 25,675 | 30,144 | |||
NIIT, Ltd. | 6,437 | 24,850 | |||
Nilkamal, Ltd. | 1,287 | 38,459 | |||
NMDC, Ltd. | 40,445 | 100,544 | |||
Oberoi Realty, Ltd. (A) | 6,103 | 51,556 | |||
Omaxe, Ltd. (A) | 5,567 | 5,974 | |||
Persistent Systems, Ltd. | 6,112 | 245,513 | |||
Phillips Carbon Black, Ltd. | 7,735 | 23,807 | |||
Piramal Enterprises, Ltd. | 7,847 | 255,499 | |||
PNB Housing Finance, Ltd. (A)(B) | 3,409 | 31,531 | |||
Polyplex Corp., Ltd. | 2,563 | 47,740 | |||
Power Finance Corp., Ltd. | 90,707 | 158,325 | |||
Prestige Estates Projects, Ltd. (A) | 20,468 | 80,163 | |||
PTC India, Ltd. | 31,315 | 43,791 | |||
Punjab National Bank (A) | 97,317 | 55,495 | |||
Quess Corp., Ltd. (B) | 1,882 | 20,739 | |||
Rain Industries, Ltd. | 22,684 | 59,591 | |||
Rajesh Exports, Ltd. | 8,931 | 67,819 | |||
Ramco Industries, Ltd. | 4,270 | 15,582 | |||
Raymond, Ltd. (A) | 1,181 | 6,584 | |||
RBL Bank, Ltd. (A)(B) | 21,550 | 61,199 | |||
REC, Ltd. | 89,160 | 178,816 | |||
Redington India, Ltd. (A) | 40,574 | 146,527 | |||
Reliance Industries, Ltd., GDR (B) | 121,829 | 6,891,972 | |||
Sharda Cropchem, Ltd. | 2,311 | 10,730 | |||
Shriram City Union Finance, Ltd. | 2,480 | 57,131 | |||
Shriram Transport Finance Company, Ltd. | 13,889 | 251,463 | |||
Sobha, Ltd. | 5,289 | 33,639 | |||
State Bank of India | 109,237 | 617,283 | |||
Steel Authority of India, Ltd. | 106,244 | 187,243 | |||
Strides Pharma Science, Ltd. | 2,675 | 27,348 | |||
Sun Pharmaceutical Industries, Ltd. | 54,244 | 492,460 | |||
Sun TV Network, Ltd. | 7,964 | 56,794 | |||
TAKE Solutions, Ltd. (A) | 7,707 | 6,586 | |||
Tata Chemicals, Ltd. | 6,889 | 67,117 | |||
Tata Consumer Products, Ltd. | 31,789 | 323,687 | |||
Tata Motors, Ltd. (A) | 220,218 | 1,011,227 | |||
Tata Steel, Ltd. | 34,913 | 548,555 | |||
Tech Mahindra, Ltd. | 8,219 | 121,416 | |||
Techno Electric & Engineering Company, Ltd. | 7,028 | 31,325 | |||
The Great Eastern Shipping Company, Ltd. (A) | 12,279 | 64,266 | |||
The India Cements, Ltd. | 20,619 | 53,306 | |||
The Karnataka Bank, Ltd. (A) | 7,142 | 5,997 | |||
The Karur Vysya Bank, Ltd. (A) | 24,026 | 16,793 | |||
The South Indian Bank, Ltd. (A) | 134,442 | 23,925 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
India (continued) | |||||
Transport Corp. of India, Ltd. | 3,182 | $ | 17,774 | ||
Trident, Ltd. | 171,050 | 37,666 | |||
Tube Investments of India, Ltd. | 1,822 | 28,643 | |||
TV18 Broadcast, Ltd. (A) | 95,709 | 55,562 | |||
Uflex, Ltd. | 7,789 | 60,142 | |||
Unichem Laboratories, Ltd. | 4,453 | 19,017 | |||
UPL, Ltd. | 31,035 | 332,102 | |||
Vardhman Textiles, Ltd. (A) | 3,223 | 59,326 | |||
Vedanta, Ltd., ADR | 61,204 | 869,097 | |||
Vodafone Idea, Ltd. (A) | 275,824 | 37,346 | |||
Welspun Corp., Ltd. | 14,025 | 27,043 | |||
Welspun Enterprises, Ltd. (A) | 9,451 | 14,246 | |||
Welspun India, Ltd. | 12,315 | 15,988 | |||
Wipro, Ltd. | 158,426 | 1,163,640 | |||
Wockhardt, Ltd. (A) | 4,216 | 29,419 | |||
Yes Bank, Ltd. (A) | 196,614 | 36,004 | |||
Zee Entertainment Enterprises, Ltd. | 73,055 | 211,259 | |||
32,455,724 | |||||
Indonesia - 1.2% | |||||
Adaro Energy Tbk PT | 1,772,000 | 147,487 | |||
Adhi Karya Persero Tbk PT (A) | 235,600 | 12,281 | |||
AKR Corporindo Tbk PT | 49,400 | 10,749 | |||
Alam Sutera Realty Tbk PT (A) | 1,741,800 | 19,243 | |||
Astra Agro Lestari Tbk PT | 49,555 | 26,003 | |||
Astra International Tbk PT | 892,500 | 304,604 | |||
Astrindo Nusantara Infrastructure Tbk PT (A) | 5,572,200 | 19,214 | |||
Bakrie Telecom Tbk PT (A)(D) | 17,557,300 | 30,271 | |||
Bank Mandiri Persero Tbk PT | 1,126,640 | 459,327 | |||
Bank Negara Indonesia Persero Tbk PT | 591,381 | 189,217 | |||
Bank Pan Indonesia Tbk PT (A) | 695,197 | 37,424 | |||
Bank Pembangunan Daerah Jawa Barat Dan Banten Tbk PT | 284,100 | 23,734 | |||
Bank Pembangunan Daerah Jawa Timur Tbk PT | 625,600 | 30,440 | |||
Bank Tabungan Negara Persero Tbk PT (A) | 376,361 | 35,643 | |||
Barito Pacific Tbk PT | 229,300 | 13,541 | |||
Bekasi Fajar Industrial Estate Tbk PT (A) | 817,800 | 7,728 | |||
BISI International Tbk PT | 290,800 | 22,572 | |||
Blue Bird Tbk PT (A) | 5,500 | 459 | |||
Buana Lintas Lautan Tbk PT (A) | 1,186,800 | 23,096 | |||
Bukit Asam Tbk PT | 380,100 | 52,488 | |||
Bumi Serpong Damai Tbk PT (A) | 499,400 | 33,151 | |||
Ciputra Development Tbk PT | 1,290,744 | 82,891 | |||
Delta Dunia Makmur Tbk PT (A) | 610,700 | 14,247 | |||
Elnusa Tbk PT | 742,600 | 13,647 | |||
Erajaya Swasembada Tbk PT | 1,113,500 | 53,101 | |||
Gudang Garam Tbk PT (A) | 21,300 | 64,980 | |||
Indah Kiat Pulp & Paper Tbk PT | 279,700 | 143,951 | |||
Indika Energy Tbk PT (A) | 225,300 | 20,214 | |||
Indo Tambangraya Megah Tbk PT | 34,600 | 33,930 | |||
Indofood Sukses Makmur Tbk PT | 483,100 | 205,875 | |||
Intiland Development Tbk PT (A) | 1,316,300 | 16,274 | |||
Japfa Comfeed Indonesia Tbk PT | 499,770 | 59,718 | |||
Jaya Real Property Tbk PT | 215,500 | 7,377 | |||
Kawasan Industri Jababeka Tbk PT (A) | 2,384,099 | 27,969 | |||
Lippo Karawaci Tbk PT (A) | 4,020,148 | 42,733 | |||
Malindo Feedmill Tbk PT (A) | 128,500 | 6,299 | |||
Medco Energi Internasional Tbk PT (A) | 1,194,526 | 52,896 | |||
Media Nusantara Citra Tbk PT (A) | 718,600 | 46,192 | |||
MNC Vision Networks Tbk PT (A) | 614,600 | 11,106 | |||
Pabrik Kertas Tjiwi Kimia Tbk PT | 60,500 | 32,581 | |||
Panin Financial Tbk PT (A) | 949,400 | 12,321 | |||
Paninvest Tbk PT (A) | 116,800 | 6,203 |
The accompanying notes are an integral part of the financial statements. | 26 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Indonesia (continued) | |||||
Perusahaan Perkebunan London Sumatra Indonesia Tbk PT | 318,000 | $ | 22,500 | ||
PP Persero Tbk PT (A) | 292,600 | 18,508 | |||
Puradelta Lestari Tbk PT | 1,584,700 | 21,030 | |||
Salim Ivomas Pratama Tbk PT (A) | 670,100 | 20,167 | |||
Semen Indonesia Persero Tbk PT | 164,600 | 108,006 | |||
Siloam International Hospitals Tbk PT | 36,900 | 21,243 | |||
Sri Rejeki Isman Tbk PT (D) | 1,260,900 | 12,696 | |||
Suryainti Permata Tbk PT (A)(D) | 1,446,000 | 0 | |||
Trias Sentosa Tbk PT | 512,800 | 17,857 | |||
Truba Alam Manunggal Engineering PT (A)(D) | 11,991,500 | 0 | |||
Tunas Baru Lampung Tbk PT | 484,800 | 26,778 | |||
United Tractors Tbk PT | 202,200 | 282,886 | |||
Vale Indonesia Tbk PT | 224,100 | 71,353 | |||
Waskita Beton Precast Tbk PT (A) | 1,406,800 | 14,656 | |||
Waskita Karya Persero Tbk PT (A) | 533,700 | 32,428 | |||
Wijaya Karya Persero Tbk PT (A) | 349,400 | 23,915 | |||
XL Axiata Tbk PT | 403,300 | 74,380 | |||
3,221,580 | |||||
Malaysia - 1.5% | |||||
Aeon Company M BHD | 28,600 | 8,886 | |||
AFFIN Bank BHD | 92,555 | 39,051 | |||
Alliance Bank Malaysia BHD | 129,100 | 74,976 | |||
AMMB Holdings BHD | 204,262 | 145,196 | |||
Batu Kawan BHD | 3,100 | 14,385 | |||
Berjaya Assets BHD (A) | 77,400 | 4,759 | |||
Berjaya Corp. BHD (A)(C) | 439,496 | 28,069 | |||
Berjaya Land BHD (A) | 244,400 | 14,132 | |||
BIMB Holdings BHD | 26,300 | 24,591 | |||
Boustead Holdings BHD (A) | 116,088 | 18,349 | |||
Cahya Mata Sarawak BHD | 52,100 | 14,320 | |||
CIMB Group Holdings BHD | 541,917 | 602,187 | |||
Cypark Resources BHD (A) | 54,200 | 12,149 | |||
DRB-Hicom BHD | 93,400 | 36,687 | |||
Eco World Development Group BHD | 84,300 | 14,214 | |||
Ekovest BHD | 146,600 | 14,485 | |||
Gamuda BHD (A) | 99,430 | 75,002 | |||
Genting BHD | 183,000 | 217,395 | |||
Genting Malaysia BHD | 219,300 | 146,390 | |||
Hengyuan Refining Company BHD | 28,800 | 33,509 | |||
HeveaBoard BHD | 105,300 | 12,309 | |||
Hong Leong Financial Group BHD | 27,099 | 116,298 | |||
IJM Corp. BHD | 264,060 | 113,951 | |||
Insas BHD | 88,369 | 18,639 | |||
JAKS Resources BHD (A) | 177,060 | 20,485 | |||
Jaya Tiasa Holdings BHD (A) | 58,826 | 8,087 | |||
Keck Seng Malaysia BHD (A) | 11,300 | 9,607 | |||
Land & General BHD (A) | 437,820 | 12,152 | |||
Lotte Chemical Titan Holding BHD (B) | 30,231 | 20,263 | |||
Magnum BHD | 132,714 | 63,310 | |||
Mah Sing Group BHD | 192,300 | 39,223 | |||
Malayan Banking BHD | 346,747 | 677,520 | |||
Malaysia Airports Holdings BHD (A) | 36,700 | 53,077 | |||
Malaysia Building Society BHD | 184,128 | 26,857 | |||
Malaysian Resources Corp. BHD | 207,000 | 20,205 | |||
Matrix Concepts Holdings BHD | 17,400 | 8,260 | |||
MBM Resources BHD | 11,400 | 8,629 | |||
MISC BHD | 106,200 | 173,572 | |||
MKH BHD | 49,230 | 15,302 | |||
MMC Corp. BHD | 68,600 | 29,947 | |||
MNRB Holdings BHD | 36,891 | 11,387 | |||
Muhibbah Engineering M BHD | 69,300 | 15,450 | |||
Oriental Holdings BHD | 44,420 | 54,543 | |||
OSK Holdings BHD | 111,397 | 22,826 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Malaysia (continued) | |||||
Pos Malaysia BHD (A) | 30,900 | $ | 5,959 | ||
PPB Group BHD | 30,500 | 134,473 | |||
RHB Bank BHD | 140,789 | 183,196 | |||
Sapura Energy BHD (A) | 1,155,500 | 34,949 | |||
Sime Darby BHD | 307,400 | 161,431 | |||
Sime Darby Property BHD | 271,300 | 39,247 | |||
SP Setia BHD Group (A) | 173,900 | 44,366 | |||
Sunway BHD | 140,407 | 58,906 | |||
Ta Ann Holdings BHD | 50,348 | 30,813 | |||
Tan Chong Motor Holdings BHD | 6,300 | 1,775 | |||
Tropicana Corp. BHD (A) | 161,380 | 34,178 | |||
UEM Edgenta BHD (A) | 32,900 | 13,392 | |||
UEM Sunrise BHD (A) | 372,300 | 34,996 | |||
UMW Holdings BHD (C) | 48,800 | 37,143 | |||
United Malacca BHD | 11,900 | 14,472 | |||
UOA Development BHD (C) | 106,900 | 42,202 | |||
Velesto Energy BHD (A) | 428,800 | 16,055 | |||
Vivocom International Holdings BHD (A) | 51,766 | 7,090 | |||
WCT Holdings BHD (A) | 194,484 | 24,138 | |||
Yinson Holdings BHD | 16,500 | 19,923 | |||
YNH Property BHD | 34,619 | 22,786 | |||
YTL Corp. BHD (A) | 536,837 | 84,751 | |||
4,136,872 | |||||
Mexico - 2.3% | |||||
Alfa SAB de CV, Class A | 370,181 | 277,069 | |||
Alpek SAB de CV | 49,200 | 60,519 | |||
Alterna Asesoria Internacional SAB de CV (A) | 16,024 | 755 | |||
Arca Continental SAB de CV | 25,987 | 150,389 | |||
Banco del Bajio SA (B) | 68,070 | 122,215 | |||
Cemex SAB de CV, Series CPO (A) | 807,431 | 679,678 | |||
Coca-Cola Femsa SAB de CV | 23,422 | 123,960 | |||
Consorcio ARA SAB de CV (A) | 25,993 | 5,998 | |||
Controladora Nemak SAB de CV (A) | 242,555 | 39,424 | |||
Corp. Actinver SAB de CV | 16,024 | 7,838 | |||
Credito Real SAB de CV (A) | 47,738 | 23,924 | |||
El Puerto de Liverpool SAB de CV, Series C1 | 13,794 | 61,068 | |||
Fomento Economico Mexicano SAB de CV | 4,256 | 35,999 | |||
Gentera SAB de CV (A) | 115,192 | 67,610 | |||
Grupo Carso SAB de CV, Series A1 | 34,769 | 108,245 | |||
Grupo Cementos de Chihuahua SAB de CV | 14,906 | 119,845 | |||
Grupo Comercial Chedraui SA de CV | 28,776 | 46,079 | |||
Grupo Elektra SAB de CV | 714 | 57,796 | |||
Grupo Financiero Banorte SAB de CV, Series O | 163,262 | 1,051,285 | |||
Grupo Financiero Inbursa SAB de CV, Series O (A) | 145,540 | 143,393 | |||
Grupo KUO SAB de CV, Series B (A) | 47,192 | 111,268 | |||
Grupo Mexico SAB de CV, Series B | 242,225 | 1,141,741 | |||
Grupo Pochteca SAB de CV (A) | 9,600 | 3,708 | |||
Grupo Sanborns SAB de CV (A) | 116,721 | 114,238 | |||
Grupo Televisa SAB, Series CPO | 202,588 | 578,881 | |||
Industrias Bachoco SAB de CV, Series B | 14,121 | 53,299 | |||
Industrias CH SAB de CV, Series B (A) | 21,296 | 185,878 | |||
Industrias Penoles SAB de CV (A) | 8,071 | 111,745 | |||
Minera Frisco SAB de CV, Series A1 (A)(C) | 168,003 | 34,470 | |||
Nemak SAB de CV (A)(B) | 122,637 | 43,004 | |||
Orbia Advance Corp. SAB de CV | 82,670 | 216,110 | |||
Organizacion Cultiba SAB de CV | 17,095 | 9,871 | |||
Organizacion Soriana SAB de CV, Series B (A) | 201,350 | 182,219 |
The accompanying notes are an integral part of the financial statements. | 27 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Mexico (continued) | |||||
Promotora y Operadora de Infraestructura SAB de CV | 6,552 | $ | 52,317 | ||
Promotora y Operadora de Infraestructura SAB de CV, L Shares | 3,141 | 16,074 | |||
Unifin Financiera SAB de CV (A) | 32,326 | 49,460 | |||
Vitro SAB de CV, Series A | 6,357 | 7,925 | |||
6,095,297 | |||||
Philippines - 0.8% | |||||
Alliance Global Group, Inc. | 382,700 | 79,534 | |||
Ayala Corp. | 9,390 | 153,913 | |||
Bank of the Philippine Islands | 74,260 | 134,842 | |||
BDO Unibank, Inc. | 154,227 | 357,585 | |||
Cebu Air, Inc. (A) | 27,720 | 30,747 | |||
China Banking Corp. | 75,528 | 39,453 | |||
Cosco Capital, Inc. | 388,900 | 42,578 | |||
DMCI Holdings, Inc. | 144,200 | 18,565 | |||
East West Banking Corp. (A) | 74,300 | 15,829 | |||
EEI Corp. (A) | 43,000 | 6,777 | |||
Filinvest Development Corp. | 119,475 | 19,677 | |||
Filinvest Land, Inc. | 937,500 | 21,116 | |||
First Philippine Holdings Corp. | 29,660 | 48,048 | |||
Global Ferronickel Holdings, Inc. | 283,424 | 14,953 | |||
GT Capital Holdings, Inc. | 4,619 | 57,456 | |||
JG Summit Holdings, Inc. | 207,282 | 264,025 | |||
LT Group, Inc. | 159,800 | 42,212 | |||
Megaworld Corp. | 839,700 | 55,574 | |||
Metropolitan Bank & Trust Company | 130,973 | 130,644 | |||
Petron Corp. (A) | 289,400 | 19,743 | |||
Philex Mining Corp. | 161,300 | 21,326 | |||
Philippine National Bank (A) | 65,310 | 30,237 | |||
Philtown Properties, Inc. (A)(D) | 3,844 | 121 | |||
Phoenix Petroleum Philippines, Inc. (A) | 22,200 | 5,904 | |||
PNB Holdings Corp. (A)(D) | 10,246 | 67 | |||
Premium Leisure Corp. | 815,000 | 7,086 | |||
RFM Corp. | 133,500 | 12,289 | |||
Rizal Commercial Banking Corp. | 62,703 | 29,022 | |||
Robinsons Land Corp. | 285,768 | 101,224 | |||
Robinsons Retail Holdings, Inc. | 16,680 | 18,356 | |||
San Miguel Corp. | 60,640 | 145,879 | |||
Security Bank Corp. | 15,410 | 37,228 | |||
Top Frontier Investment Holdings, Inc. (A) | 18,024 | 51,256 | |||
Union Bank of the Philippines | 43,950 | 68,903 | |||
Vista Land & Lifescapes, Inc. | 569,000 | 44,301 | |||
2,126,470 | |||||
Poland - 0.7% | |||||
Alior Bank SA (A) | 8,706 | 76,167 | |||
Asseco Poland SA | 3,962 | 80,182 | |||
Bank Millennium SA (A) | 57,979 | 70,928 | |||
Ciech SA | 2,826 | 35,959 | |||
Develia SA | 22,340 | 19,616 | |||
Enea SA (A) | 24,198 | 53,946 | |||
Famur SA (A) | 24,204 | 14,495 | |||
Grupa Azoty SA (A) | 4,728 | 40,923 | |||
Grupa Lotos SA | 6,032 | 85,041 | |||
Jastrzebska Spolka Weglowa SA (A) | 2,583 | 23,862 | |||
KGHM Polska Miedz SA | 8,275 | 407,155 | |||
Lubelski Wegiel Bogdanka SA (A) | 2,164 | 16,147 | |||
mBank SA (A) | 914 | 78,031 | |||
PGE Polska Grupa Energetyczna SA (A) | 63,994 | 157,946 | |||
PKP Cargo SA (A) | 5,709 | 31,448 | |||
Polski Koncern Naftowy ORLEN SA | 30,903 | 623,050 | |||
Stalexport Autostrady SA | 15,820 | 14,597 | |||
Tauron Polska Energia SA (A) | 64,088 | 56,119 | |||
1,885,612 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Qatar - 0.5% | |||||
Aamal Company | 210,501 | $ | 56,874 | ||
Alijarah Holding Company QPSC | 77,548 | 24,898 | |||
Baladna | 72,138 | 30,122 | |||
Barwa Real Estate Company | 145,829 | 119,475 | |||
Commercial Bank PSQC | 142,087 | 205,600 | |||
Doha Bank QPSC | 82,047 | 63,635 | |||
Doha Insurance Company QSC | 25,407 | 13,606 | |||
Gulf International Services QSC (A) | 102,379 | 42,004 | |||
Gulf Warehousing Company | 19,525 | 27,749 | |||
Investment Holding Group (A) | 88,748 | 27,029 | |||
Mannai Corp. QSC | 5,422 | 5,679 | |||
Mesaieed Petrochemical Holding Company | 223,749 | 115,723 | |||
Ooredoo QPSC | 66,911 | 134,126 | |||
Qatar Fuel QSC | 23,560 | 114,663 | |||
Qatar Insurance Company SAQ (A) | 67,880 | 46,319 | |||
Qatar National Cement Company QSC | 23,781 | 32,598 | |||
Qatar Navigation QSC | 32,522 | 65,821 | |||
United Development Company QSC | 177,150 | 70,771 | |||
Vodafone Qatar QSC | 145,471 | 64,574 | |||
Widam Food Company | 9,520 | 11,552 | |||
1,272,818 | |||||
Russia - 1.4% | |||||
Gazprom PJSC, ADR (London Stock Exchange) | 196,506 | 1,500,057 | |||
LUKOIL PJSC, ADR | 22,853 | 2,121,042 | |||
Rosneft Oil Company PJSC, GDR (London Stock Exchange) | 3,675 | 28,503 | |||
RusHydro PJSC, ADR | 74,896 | 84,957 | |||
VTB Bank PJSC, GDR | 86,297 | 114,868 | |||
3,849,427 | |||||
Saudi Arabia - 2.0% | |||||
Al Babtain Power & Telecommunication Company | 2,665 | 28,703 | |||
Al Jouf Cement Company (A) | 7,491 | 28,857 | |||
Al-Etihad Cooperative Insurance Company (A) | 3,266 | 21,365 | |||
Alinma Bank | 71,276 | 400,055 | |||
Arab National Bank | 29,954 | 181,359 | |||
Arabian Cement Company | 4,196 | 50,784 | |||
Aseer Trading Tourism & Manufacturing Company (A) | 3,891 | 27,964 | |||
AXA Cooperative Insurance Company (A) | 2,090 | 21,828 | |||
Bank Al-Jazira (A) | 5,756 | 28,420 | |||
Banque Saudi Fransi | 20,790 | 212,902 | |||
Dar Al Arkan Real Estate Development Company (A) | 31,473 | 88,798 | |||
Eastern Province Cement Company | 2,857 | 37,212 | |||
Etihad Etisalat Company | 31,820 | 281,369 | |||
Jazan Energy and Development Company (A) | 3,513 | 25,160 | |||
Middle East Healthcare Company (A) | 2,179 | 22,755 | |||
Mobile Telecommunications Company Saudi Arabia (A) | 36,192 | 140,349 | |||
Najran Cement Company | 7,837 | 50,476 | |||
National Industrialization Company (A) | 17,952 | 92,553 | |||
Riyad Bank | 83,418 | 589,514 | |||
Sahara International Petrochemical Company | 27,366 | 223,780 | |||
Saudi Arabian Mining Company (A) | 792 | 13,366 | |||
Saudi Basic Industries Corp. | 47,599 | 1,547,436 | |||
Saudi Chemical Company Holding | 3,283 | 35,872 | |||
Saudi Kayan Petrochemical Company (A) | 58,307 | 281,014 | |||
Tabuk Cement Company (A) | 4,675 | 30,238 | |||
The Saudi British Bank (A) | 36,504 | 306,849 | |||
The Saudi Investment Bank | 5,091 | 23,025 |
The accompanying notes are an integral part of the financial statements. | 28 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Saudi Arabia (continued) | |||||
The Saudi National Bank | 33,557 | $ | 515,434 | ||
Walaa Cooperative Insurance Company (A) | 2,461 | 16,874 | |||
Yamama Cement Company (A) | 8,393 | 76,750 | |||
Yanbu Cement Company | 4,521 | 53,649 | |||
5,454,710 | |||||
South Africa - 3.9% | |||||
Absa Group, Ltd. (A) | 53,337 | 506,645 | |||
AECI, Ltd. | 11,686 | 79,906 | |||
African Rainbow Minerals, Ltd. | 10,677 | 189,951 | |||
Alexander Forbes Group Holdings, Ltd. | 120,790 | 35,160 | |||
Alviva Holdings, Ltd. | 22,754 | 21,988 | |||
AngloGold Ashanti, Ltd. | 4,187 | 77,717 | |||
Aspen Pharmacare Holdings, Ltd. (A) | 24,524 | 277,970 | |||
Astral Foods, Ltd. | 4,628 | 51,045 | |||
Balwin Properties, Ltd. | 6,271 | 1,877 | |||
Barloworld, Ltd. | 29,177 | 218,567 | |||
Blue Label Telecoms, Ltd. (A) | 44,582 | 13,102 | |||
Caxton & CTP Publishers & Printers, Ltd. (A) | 19,879 | 12,009 | |||
DataTec, Ltd. (A) | 17,642 | 34,101 | |||
Discovery, Ltd. (A) | 28,018 | 247,043 | |||
Exxaro Resources, Ltd. | 21,211 | 250,312 | |||
FirstRand, Ltd. | 137,017 | 514,072 | |||
Gold Fields, Ltd., ADR | 64,925 | 577,833 | |||
Grindrod, Ltd. (A) | 45,556 | 15,475 | |||
Harmony Gold Mining Company, Ltd. | 10,790 | 39,767 | |||
Hudaco Industries, Ltd. | 5,065 | 45,431 | |||
Impala Platinum Holdings, Ltd. | 47,215 | 776,570 | |||
Imperial Logistics, Ltd. | 19,928 | 66,133 | |||
Investec, Ltd. | 25,084 | 95,838 | |||
KAP Industrial Holdings, Ltd. (A) | 320,850 | 92,894 | |||
Lewis Group, Ltd. | 14,408 | 34,207 | |||
Liberty Holdings, Ltd. (A) | 15,664 | 67,527 | |||
Life Healthcare Group Holdings, Ltd. (A) | 120,405 | 192,218 | |||
Long4Life, Ltd. (A) | 31,563 | 9,330 | |||
Massmart Holdings, Ltd. (A) | 5,538 | 24,362 | |||
Metair Investments, Ltd. | 28,785 | 45,402 | |||
Momentum Metropolitan Holdings | 112,808 | 153,934 | |||
Motus Holdings, Ltd. | 14,065 | 92,011 | |||
Mpact, Ltd. | 23,460 | 42,636 | |||
MTN Group, Ltd. (A) | 193,966 | 1,401,325 | |||
Murray & Roberts Holdings, Ltd. (A) | 60,191 | 43,669 | |||
Nedbank Group, Ltd. (A) | 29,166 | 348,913 | |||
Ninety One, Ltd. | 12,542 | 37,612 | |||
Oceana Group, Ltd. | 2,614 | 11,960 | |||
Old Mutual, Ltd. | 238,727 | 225,604 | |||
Omnia Holdings, Ltd. (A) | 19,012 | 73,601 | |||
Pepkor Holdings, Ltd. (A)(B) | 42,396 | 59,764 | |||
PPC, Ltd. (A) | 168,790 | 45,995 | |||
PSG Group, Ltd. | 5,957 | 33,201 | |||
Raubex Group, Ltd. | 25,287 | 57,543 | |||
RCL Foods, Ltd. | 35,643 | 24,125 | |||
Reunert, Ltd. | 22,587 | 80,036 | |||
Royal Bafokeng Platinum, Ltd. | 6,534 | 46,757 | |||
Sanlam, Ltd. | 33,478 | 143,950 | |||
Sappi, Ltd. (A) | 61,862 | 178,813 | |||
Sasol, Ltd. (A) | 38,091 | 580,283 | |||
Sibanye Stillwater, Ltd. | 79,031 | 329,353 | |||
Standard Bank Group, Ltd. | 110,671 | 988,360 | |||
Super Group, Ltd. (A) | 49,845 | 108,805 | |||
Telkom SA SOC, Ltd. | 37,622 | 122,433 | |||
The Bidvest Group, Ltd. | 15,088 | 201,530 | |||
The Foschini Group, Ltd. (A) | 30,762 | 341,209 | |||
Tiger Brands, Ltd. | 7,082 | 103,566 | |||
Trencor, Ltd. | 40,666 | 11,390 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
South Africa (continued) | |||||
Wilson Bayly Holmes-Ovcon, Ltd. (A) | 7,646 | $ | 60,219 | ||
10,563,049 | |||||
South Korea - 14.7% | |||||
Aekyung Petrochemical Company, Ltd. | 2,084 | 21,630 | |||
AJ Networks Company, Ltd. | 2,832 | 15,316 | |||
AK Holdings, Inc. | 743 | 21,504 | |||
Asia Cement Company, Ltd. | 32 | 3,646 | |||
ASIA Holdings Company, Ltd. | 241 | 27,835 | |||
BNK Financial Group, Inc. | 31,490 | 216,540 | |||
Bookook Securities Company, Ltd. | 501 | 11,344 | |||
Busan City Gas Company, Ltd. | 58 | 3,185 | |||
Chosun Refractories Company, Ltd. | 338 | 27,311 | |||
CJ CheilJedang Corp. | 1,034 | 423,245 | |||
CJ Corp. | 2,236 | 212,255 | |||
CJ Logistics Corp. (A) | 826 | 129,713 | |||
Dae Han Flour Mills Company, Ltd. | 232 | 37,210 | |||
Dae Won Kang Up Company, Ltd. | 4,385 | 16,529 | |||
Daedong Corp. | 3,364 | 34,812 | |||
Daesang Corp. | 2,028 | 49,981 | |||
Daesang Holdings Company, Ltd. | 2,310 | 24,112 | |||
Daewoo Engineering & Construction Company, Ltd. (A) | 24,993 | 176,296 | |||
Dahaam E-Tec Company, Ltd. (A) | 2,630 | 120,039 | |||
Daihan Pharmaceutical Company, Ltd. | 563 | 17,349 | |||
Daishin Securities Company, Ltd. | 3,901 | 68,437 | |||
Daou Data Corp. | 1,778 | 25,039 | |||
Daou Technology, Inc. | 3,359 | 84,969 | |||
DB Financial Investment Company, Ltd. | 3,849 | 24,764 | |||
DB Insurance Company, Ltd. | 6,507 | 316,870 | |||
DB, Inc. (A) | 19,825 | 18,573 | |||
Deutsch Motors, Inc. | 3,903 | 28,787 | |||
DGB Financial Group, Inc. | 22,082 | 182,686 | |||
DI Dong Il Corp. | 216 | 37,661 | |||
DL E&C Company, Ltd. (A) | 2,017 | 254,035 | |||
DL Holdings Company, Ltd. | 1,609 | 114,285 | |||
Dongkuk Industries Company, Ltd. | 8,476 | 30,680 | |||
Dongkuk Steel Mill Company, Ltd. | 6,404 | 126,090 | |||
Dongwon Development Company, Ltd. | 5,212 | 28,655 | |||
Dongwon F&B Company, Ltd. | 122 | 24,683 | |||
Dongwon Industries Company, Ltd. | 176 | 41,129 | |||
Doosan Bobcat, Inc. (A) | 4,079 | 174,005 | |||
Doosan Company, Ltd. | 554 | 47,125 | |||
Doosan Infracore Company, Ltd. (A) | 19,096 | 244,598 | |||
DTR Automotive Corp. | 1,179 | 43,654 | |||
Easy Holdings Company, Ltd. | 3,872 | 17,906 | |||
E-MART, Inc. | 1,480 | 210,087 | |||
Eugene Corp. | 6,888 | 35,736 | |||
Eugene Investment & Securities Company, Ltd. | 11,471 | 46,549 | |||
Eusu Holdings Company, Ltd. | 1,407 | 8,925 | |||
Farmsco | 2,687 | 17,109 | |||
GS Engineering & Construction Corp. | 7,532 | 286,781 | |||
GS Global Corp. (A) | 7,813 | 21,099 | |||
GS Holdings Corp. | 6,453 | 265,319 | |||
GS Home Shopping, Inc. | 370 | 50,949 | |||
Gwangju Shinsegae Company, Ltd. | 152 | 26,513 | |||
Halla Holdings Corp. | 837 | 36,471 | |||
Hana Financial Group, Inc. | 35,399 | 1,450,701 | |||
Handsome Company, Ltd. | 1,545 | 58,901 | |||
Hanil Holdings Company, Ltd. | 2,975 | 36,203 | |||
Hanjin Transportation Company, Ltd. | 1,052 | 40,023 | |||
Hankook Tire & Technology Company, Ltd. | 9,820 | 450,583 | |||
Hanshin Construction Company, Ltd. | 1,844 | 42,560 | |||
Hansol Holdings Company, Ltd. | 5,241 | 22,204 |
The accompanying notes are an integral part of the financial statements. | 29 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
South Korea (continued) | |||||
Hansol Paper Company, Ltd. | 2,920 | $ | 42,404 | ||
Hansol Technics Company, Ltd. (A) | 3,325 | 26,965 | |||
Hanwha Aerospace Company, Ltd. | 2,248 | 93,760 | |||
Hanwha Corp. | 4,500 | 126,703 | |||
Hanwha General Insurance Company, Ltd. (A) | 5,427 | 23,516 | |||
Hanwha Investment & Securities Company, Ltd. (A) | 15,071 | 63,855 | |||
Hanwha Life Insurance Company, Ltd. | 34,108 | 114,076 | |||
Hanwha Solutions Corp. (A) | 10,905 | 430,679 | |||
Harim Holdings Company, Ltd. | 5,472 | 50,998 | |||
Heungkuk Fire & Marine Insurance Company, Ltd. (A) | 6,321 | 26,734 | |||
Hitejinro Holdings Company, Ltd. | 995 | 15,093 | |||
Huvis Corp. | 3,715 | 37,460 | |||
Huvitz Company, Ltd. | 1,341 | 11,964 | |||
Hyosung Corp. | 1,035 | 94,641 | |||
Hyosung Heavy Industries Corp. (A) | 742 | 48,055 | |||
Hyundai Construction Equipment Company, Ltd. (A) | 1,613 | 79,365 | |||
Hyundai Corp. | 1,339 | 24,063 | |||
Hyundai Corp. Holdings, Inc. | 1,811 | 23,546 | |||
Hyundai Department Store Company, Ltd. | 1,243 | 96,465 | |||
Hyundai Electric & Energy System Company, Ltd. (A) | 2,220 | 40,554 | |||
Hyundai Engineering & Construction Company, Ltd. | 6,540 | 338,553 | |||
Hyundai Futurenet Company, Ltd. | 8,894 | 36,106 | |||
Hyundai Greenfood Company, Ltd. | 5,234 | 49,975 | |||
Hyundai Heavy Industries Holdings Company, Ltd. | 3,580 | 225,139 | |||
Hyundai Home Shopping Network Corp. | 652 | 52,341 | |||
Hyundai Livart Furniture Company, Ltd. | 1,327 | 23,165 | |||
Hyundai Marine & Fire Insurance Company, Ltd. | 8,489 | 192,259 | |||
Hyundai Mipo Dockyard Company, Ltd. (A) | 1,765 | 137,002 | |||
Hyundai Mobis Company, Ltd. | 4,537 | 1,176,586 | |||
Hyundai Motor Company | 9,379 | 1,995,674 | |||
Hyundai Motor Securities Company, Ltd. | 3,480 | 42,951 | |||
Hyundai Steel Company | 6,801 | 324,686 | |||
Hyundai Wia Corp. | 1,918 | 172,789 | |||
Industrial Bank of Korea | 26,166 | 244,244 | |||
Interpark Corp. | 5,387 | 26,394 | |||
INTOPS Company, Ltd. | 1,374 | 37,398 | |||
Jahwa Electronics Company, Ltd. (A) | 2,057 | 40,848 | |||
JB Financial Group Company, Ltd. | 16,807 | 112,571 | |||
Jeil Savings Bank (A)(D) | 1,820 | 0 | |||
KAON Media Company, Ltd. | 3,214 | 38,908 | |||
KB Financial Group, Inc. | 5,839 | 289,790 | |||
KB Financial Group, Inc., ADR | 39,288 | 1,936,898 | |||
KC Company, Ltd. | 1,496 | 35,874 | |||
KCC Corp. | 347 | 106,018 | |||
KCC Glass Corp. | 939 | 52,285 | |||
Kia Corp. | 18,836 | 1,501,095 | |||
KISCO Corp. | 4,131 | 37,599 | |||
KISCO Holdings Company, Ltd. | 1,536 | 28,438 | |||
KISWIRE, Ltd. | 1,553 | 34,642 | |||
KIWOOM Securities Company, Ltd. | 1,432 | 166,391 | |||
Kolmar Korea Holdings Company, Ltd. | 1,323 | 35,735 | |||
Kolon Corp. | 898 | 27,443 | |||
Kolon Industries, Inc. | 2,219 | 159,020 | |||
Korea Asset In Trust Company, Ltd. | 9,060 | 38,579 | |||
Korea Electric Terminal Company, Ltd. | 561 | 50,342 | |||
Korea Investment Holdings Company, Ltd. | 4,028 | 368,510 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
South Korea (continued) | |||||
Korea Line Corp. (A) | 23,137 | $ | 72,517 | ||
Korea Petrochemical Industrial Company, Ltd. | 441 | 93,214 | |||
Korea Real Estate Investment & Trust Company, Ltd. | 14,635 | 30,672 | |||
Korea Shipbuilding & Offshore Engineering Company, Ltd. (A) | 2,882 | 342,784 | |||
Korea Zinc Company, Ltd. | 845 | 324,036 | |||
Korean Air Lines Company, Ltd. (A) | 16,372 | 457,922 | |||
Korean Reinsurance Company | 9,470 | 82,896 | |||
Kortek Corp. | 1,806 | 17,789 | |||
KPX Chemical Company, Ltd. | 660 | 40,310 | |||
KSS LINE, Ltd. | 3,562 | 39,866 | |||
KT Skylife Company, Ltd. | 1,768 | 16,913 | |||
KT&G Corp. | 2,902 | 217,482 | |||
KTB Investment & Securities Company, Ltd. | 8,806 | 60,853 | |||
Kukdo Chemical Company, Ltd. | 308 | 21,902 | |||
Kumho Tire Company, Inc. (A) | 7,054 | 50,217 | |||
Kyeryong Construction Industrial Company, Ltd. | 1,547 | 49,533 | |||
LF Corp. | 2,312 | 41,782 | |||
LG Corp. | 6,087 | 553,795 | |||
LG Display Company, Ltd., ADR (A)(C) | 58,346 | 623,719 | |||
LG Electronics, Inc. | 12,336 | 1,786,061 | |||
LG Hausys, Ltd. | 659 | 57,466 | |||
LG HelloVision Company, Ltd. | 3,836 | 30,779 | |||
LG International Corp. | 2,902 | 80,394 | |||
LG Uplus Corp. | 18,651 | 254,287 | |||
Lotte Chemical Corp. | 1,193 | 278,022 | |||
Lotte Chilsung Beverage Company, Ltd. | 305 | 39,298 | |||
Lotte Corp. | 2,012 | 71,772 | |||
LOTTE Fine Chemical Company, Ltd. | 1,849 | 108,318 | |||
Lotte Food Company, Ltd. | 34 | 14,288 | |||
LOTTE Himart Company, Ltd. | 1,006 | 32,011 | |||
Lotte Non-Life Insurance Company, Ltd. (A) | 5,459 | 9,808 | |||
Lotte Shopping Company, Ltd. | 1,153 | 118,191 | |||
LS Corp. | 1,793 | 112,581 | |||
LX Holdings Corp. (A) | 2,952 | 29,490 | |||
Meritz Financial Group, Inc. | 4,707 | 88,709 | |||
Meritz Fire & Marine Insurance Company, Ltd. | 7,460 | 135,271 | |||
Meritz Securities Company, Ltd. | 35,902 | 151,017 | |||
Mirae Asset Life Insurance Company, Ltd. | 12,332 | 46,849 | |||
Mirae Asset Securities Company, Ltd. | 33,985 | 284,605 | |||
MK Electron Company, Ltd. | 2,304 | 33,205 | |||
Muhak Company, Ltd. | 2,080 | 16,895 | |||
Namyang Dairy Products Company, Ltd. | 58 | 38,987 | |||
Nexen Corp. | 3,733 | 18,299 | |||
Nexen Tire Corp. | 6,465 | 60,804 | |||
NH Investment & Securities Company, Ltd. | 12,340 | 141,339 | |||
NHN Corp. (A) | 941 | 69,675 | |||
Nong Shim Holdings Company, Ltd. | 402 | 28,978 | |||
NongShim Company, Ltd. | 255 | 70,972 | |||
NS Shopping Company, Ltd. | 1,078 | 13,384 | |||
OCI Company, Ltd. (A) | 1,606 | 167,095 | |||
Orion Holdings Corp. | 2,756 | 41,710 | |||
Paik Kwang Industrial Company, Ltd. | 8,300 | 49,206 | |||
Pan Ocean Company, Ltd. | 26,446 | 200,522 | |||
Paradise Company, Ltd. (A) | 2,760 | 44,348 | |||
Poongsan Corp. | 2,423 | 82,060 | |||
Poongsan Holdings Corp. | 1,129 | 28,377 | |||
POSCO | 5,983 | 1,849,044 |
The accompanying notes are an integral part of the financial statements. | 30 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
South Korea (continued) | |||||
Posco International Corp. | 5,969 | $ | 123,487 | ||
Rayence Company, Ltd. | 1,351 | 16,787 | |||
Sam Young Electronics Company, Ltd. | 938 | 11,690 | |||
Samho Development Company, Ltd. | 4,213 | 24,354 | |||
Sammok S-Form Company, Ltd. (A) | 1,315 | 18,968 | |||
SAMPYO Cement Company, Ltd. | 4,134 | 22,317 | |||
Samsung C&T Corp. | 4,883 | 591,371 | |||
Samsung Card Company, Ltd. | 3,308 | 100,793 | |||
Samsung Electronics Company, Ltd. | 31,700 | 2,269,281 | |||
Samsung Fire & Marine Insurance Company, Ltd. | 3,605 | 706,080 | |||
Samsung Heavy Industries Company, Ltd. (A) | 37,701 | 224,440 | |||
Samsung Life Insurance Company, Ltd. | 5,063 | 359,254 | |||
Samsung Securities Company, Ltd. | 4,810 | 191,896 | |||
SAMT Company, Ltd. | 11,604 | 43,882 | |||
Samyang Corp. | 258 | 14,472 | |||
Samyang Holdings Corp. | 535 | 52,434 | |||
Sangsangin Company, Ltd. (A) | 7,001 | 48,728 | |||
Sebang Company, Ltd. | 1,153 | 15,152 | |||
Sebang Global Battery Company, Ltd. | 921 | 79,257 | |||
Sejong Industrial Company, Ltd. | 1,547 | 13,617 | |||
SGC eTec E&C Company, Ltd. | 137 | 8,484 | |||
Shindaeyang Paper Company, Ltd. | 267 | 21,144 | |||
Shinhan Financial Group Company, Ltd. | 2,494 | 90,045 | |||
Shinhan Financial Group Company, Ltd., ADR | 44,055 | 1,579,372 | |||
Shinsegae Engineering & Construction Company, Ltd. | 621 | 25,261 | |||
Shinsegae Food Company, Ltd. | 268 | 24,161 | |||
Shinsegae, Inc. | 886 | 224,514 | |||
Shinwha Intertek Corp. | 4,441 | 15,527 | |||
Shinyoung Securities Company, Ltd. | 580 | 33,567 | |||
SK Discovery Company, Ltd. | 1,496 | 70,282 | |||
SK Gas, Ltd. | 496 | 54,011 | |||
SK Hynix, Inc. | 11,934 | 1,346,974 | |||
SK Innovation Company, Ltd. (A) | 2,416 | 633,496 | |||
SK Networks Company, Ltd. | 21,423 | 114,363 | |||
SK Securities Company, Ltd. | 27,076 | 24,646 | |||
SK, Inc. | 2,806 | 703,314 | |||
SL Corp. | 1,618 | 51,234 | |||
SNT Holdings Company, Ltd. | 1,460 | 28,575 | |||
SNT Motiv Company, Ltd. | 1,396 | 87,948 | |||
Solus Advanced Materials Company, Ltd. | 1,022 | 46,751 | |||
Sungshin Cement Company, Ltd. | 3,637 | 39,421 | |||
Sungwoo Hitech Company, Ltd. | 2,984 | 19,401 | |||
Sunjin Company, Ltd. | 2,276 | 35,750 | |||
Taekwang Industrial Company, Ltd. | 48 | 49,676 | |||
Taeyoung Engineering & Construction Company, Ltd. | 2,234 | 24,809 | |||
Tongyang Life Insurance Company, Ltd. | 7,644 | 38,085 | |||
Tovis Company, Ltd. (A) | 1,305 | 9,820 | |||
TS Corp. | 12,730 | 39,984 | |||
TY Holdings Company, Ltd. (A) | 2,153 | 55,845 | |||
Unid Company, Ltd. | 746 | 51,375 | |||
Wonik Holdings Company, Ltd. (A) | 5,948 | 35,671 | |||
Woori Financial Group, Inc. | 55,792 | 568,010 | |||
Young Poong Corp. | 51 | 29,307 | |||
Youngone Corp. | 3,192 | 125,911 | |||
Youngone Holdings Company, Ltd. | 920 | 39,471 | |||
Yuanta Securities Korea Company, Ltd. | 11,703 | 50,107 | |||
Zeus Company, Ltd. | 1,798 | 37,907 | |||
39,423,138 | |||||
Taiwan - 17.2% | |||||
AcBel Polytech, Inc. | 12,000 | 11,192 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Taiwan (continued) | |||||
Acer, Inc. (C) | 256,452 | $ | 269,525 | ||
ACES Electronic Company, Ltd. | 18,000 | 33,456 | |||
Advanced International Multitech Company, Ltd. (A) | 13,000 | 39,143 | |||
Advancetek Enterprise Company, Ltd. | 35,186 | 23,981 | |||
AGV Products Corp. (A) | 87,716 | 36,677 | |||
Alpha Networks, Inc. | 31,773 | 32,515 | |||
Altek Corp. | 16,000 | 21,272 | |||
AmTRAN Technology Company, Ltd. (A) | 53,000 | 33,069 | |||
Apacer Technology, Inc. (A) | 11,000 | 19,981 | |||
APCB, Inc. | 37,000 | 26,951 | |||
Apex International Company, Ltd. | 7,000 | 15,195 | |||
Ardentec Corp. | 45,000 | 72,940 | |||
ASE Technology Holding Company, Ltd. | 214,000 | 858,619 | |||
Asia Cement Corp. | 265,805 | 483,641 | |||
Asia Polymer Corp. | 49,615 | 62,369 | |||
Asia Tech Image, Inc. | 12,000 | 25,867 | |||
Asia Vital Components Company, Ltd. | 38,328 | 110,911 | |||
Asustek Computer, Inc. (A) | 68,000 | 906,713 | |||
Audix Corp. | 21,000 | 41,898 | |||
AVY Precision Technology, Inc. | 24,990 | 26,461 | |||
BES Engineering Corp. | 212,700 | 68,264 | |||
Capital Securities Corp. | 229,403 | 139,533 | |||
Career Technology MFG. Company, Ltd. | 61,200 | 68,512 | |||
Catcher Technology Company, Ltd. | 96,000 | 627,034 | |||
Cathay Financial Holding Company, Ltd. (A) | 751,423 | 1,452,833 | |||
Cathay Real Estate Development Company, Ltd. | 46,400 | 32,959 | |||
Central Reinsurance Company, Ltd. (A) | 31,500 | 33,048 | |||
Chang Hwa Commercial Bank, Ltd. (C) | 438,929 | 254,386 | |||
Channel Well Technology Company, Ltd. | 16,000 | 32,324 | |||
CHC Healthcare Group | 21,000 | 27,889 | |||
Chen Full International Company, Ltd. | 15,000 | 22,865 | |||
Cheng Loong Corp. | 68,320 | 118,942 | |||
Cheng Uei Precision Industry Company, Ltd. | 56,629 | 85,839 | |||
Chilisin Electronics Corp. | 24,000 | 87,740 | |||
China Airlines, Ltd. (A) | 264,910 | 181,217 | |||
China Bills Finance Corp. | 95,000 | 55,237 | |||
China Chemical & Pharmaceutical Company, Ltd. | 34,000 | 29,778 | |||
China Development Financial Holding Corp. | 989,208 | 466,513 | |||
China General Plastics Corp. | 35,700 | 48,541 | |||
China Life Insurance Company, Ltd. | 55,682 | 52,637 | |||
China Man-Made Fiber Corp. | 171,552 | 68,295 | |||
China Metal Products Company, Ltd. | 42,513 | 51,958 | |||
China Motor Corp. (A) | 30,250 | 83,378 | |||
China Petrochemical Development Corp. | 275,677 | 138,003 | |||
China Steel Corp. | 836,180 | 1,187,504 | |||
Chin-Poon Industrial Company, Ltd. | 43,571 | 50,928 | |||
Chipbond Technology Corp. | 80,000 | 207,043 | |||
ChipMOS Technologies, Inc. (A) | 66,938 | 114,303 | |||
Chong Hong Construction Company, Ltd. | 10,000 | 28,393 | |||
Chun Yuan Steel Industry Company, Ltd. | 50,874 | 62,332 | |||
Chung Hung Steel Corp. (A) | 38,625 | 84,801 | |||
Chung-Hsin Electric & Machinery Manufacturing Corp. | 46,500 | 84,751 | |||
CMC Magnetics Corp. | 152,470 | 55,507 | |||
Compal Electronics, Inc. | 523,000 | 419,483 | |||
Compeq Manufacturing Company, Ltd. | 111,000 | 167,329 | |||
Continental Holdings Corp. | 49,050 | 48,053 | |||
Coretronic Corp. | 53,000 | 116,607 | |||
CTBC Financial Holding Company, Ltd. | 2,092,348 | 1,703,870 |
The accompanying notes are an integral part of the financial statements. | 31 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Taiwan (continued) | |||||
CTCI Corp. | 8,000 | $ | 11,250 | ||
DA CIN Construction Company, Ltd. | 20,000 | 24,871 | |||
Darfon Electronics Corp. | 16,000 | 26,352 | |||
Darwin Precisions Corp. (A) | 37,000 | 17,916 | |||
Delpha Construction Company, Ltd. | 3,826 | 1,881 | |||
Depo Auto Parts Industrial Company, Ltd. | 21,000 | 44,229 | |||
D-Link Corp. | 16,000 | 10,928 | |||
Dynamic Electronics Company, Ltd. (A) | 66,584 | 54,816 | |||
Dynapack International Technology Corp. (A) | 10,000 | 40,000 | |||
E Ink Holdings, Inc. | 76,000 | 203,538 | |||
E.Sun Financial Holding Company, Ltd. | 76,660 | 72,361 | |||
Edom Technology Company, Ltd. | 34,000 | 41,594 | |||
Elite Semiconductor Microelectronics Technology, Inc. | 35,000 | 204,409 | |||
Elitegroup Computer Systems Company, Ltd. | 42,104 | 33,210 | |||
Ennostar, Inc. (A) | 9,656 | 27,177 | |||
EnTie Commercial Bank Company, Ltd. | �� | 58,000 | 32,770 | ||
Eson Precision Ind Company, Ltd. | 12,000 | 29,866 | |||
Eternal Materials Company, Ltd. | 12,000 | 17,438 | |||
Eva Airways Corp. | 287,725 | 208,194 | |||
Everest Textile Company, Ltd. (A) | 52,085 | 19,651 | |||
Evergreen International Storage & Transport Corp. | 85,600 | 152,247 | |||
Evergreen Marine Corp. Taiwan, Ltd. (A) | 250,655 | 1,770,491 | |||
Everlight Chemical Industrial Corp. | 49,250 | 34,918 | |||
Everlight Electronics Company, Ltd. | 59,000 | 111,526 | |||
Excelsior Medical Company, Ltd. | 16,573 | 34,625 | |||
Far Eastern Department Stores, Ltd. | 148,720 | 121,508 | |||
Far Eastern International Bank | 318,553 | 121,167 | |||
Far Eastern New Century Corp. | 408,249 | 468,794 | |||
Farglory Land Development Company, Ltd. | 28,530 | 54,503 | |||
Federal Corp. (C) | 13,000 | 13,108 | |||
First Financial Holding Company, Ltd. | 894,984 | 728,937 | |||
First Steamship Company, Ltd. | 84,809 | 78,892 | |||
Formosa Advanced Technologies Company, Ltd. | 25,000 | 35,923 | |||
Formosa Chemicals & Fibre Corp. (A) | 184,000 | 559,296 | |||
Formosa Laboratories, Inc. (A) | 19,543 | 56,108 | |||
Formosa Plastics Corp. | 30,000 | 110,862 | |||
Formosa Taffeta Company, Ltd. | 67,000 | 78,393 | |||
Formosan Rubber Group, Inc. | 33,020 | 29,383 | |||
Formosan Union Chemical | 48,812 | 36,617 | |||
Foxconn Technology Company, Ltd. | 74,626 | 175,767 | |||
Froch Enterprise Company, Ltd. | 33,060 | 44,348 | |||
Fubon Financial Holding Company, Ltd. | 711,417 | 1,886,018 | |||
Fulgent Sun International Holding Company, Ltd. | 3,000 | 12,166 | |||
Fulltech Fiber Glass Corp. (A) | 45,000 | 30,875 | |||
G Shank Enterprise Company, Ltd. | 27,535 | 42,877 | |||
Gemtek Technology Corp. (A) | 32,000 | 37,867 | |||
General Interface Solution Holding, Ltd. | 29,000 | 128,494 | |||
Giantplus Technology Company, Ltd. | 31,000 | 14,846 | |||
Ginko International Company, Ltd. | 4,000 | 38,221 | |||
Global Brands Manufacture, Ltd. | 40,806 | 50,837 | |||
Globe Union Industrial Corp. | 51,750 | 32,148 | |||
Gloria Material Technology Corp. | 65,684 | 64,837 | |||
Gold Circuit Electronics, Ltd. (A) | 44,000 | 105,554 | |||
Goldsun Building Materials Company, Ltd. | 123,540 | 112,367 | |||
Grand Ocean Retail Group, Ltd. | 13,000 | 11,314 | |||
Grand Pacific Petrochemical | 77,000 | 82,819 | |||
Great China Metal Industry | 33,000 | 34,706 | |||
Great Wall Enterprise Company, Ltd. | 40,754 | 87,894 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Taiwan (continued) | |||||
Hannstar Board Corp. | 39,750 | $ | 67,909 | ||
HannStar Display Corp. (C) | 320,842 | 254,397 | |||
HannsTouch Solution, Inc. | 64,000 | 27,782 | |||
Hey Song Corp. | 40,000 | 51,106 | |||
Ho Tung Chemical Corp. (A) | 150,399 | 66,144 | |||
Hon Hai Precision Industry Company, Ltd. | 792,448 | 3,181,684 | |||
Hong Pu Real Estate Development Company, Ltd. | 27,000 | 20,979 | |||
Hsing TA Cement Company, Ltd. | 38,000 | 35,455 | |||
Hua Nan Financial Holdings Company, Ltd. | 594,288 | 393,416 | |||
Hung Sheng Construction, Ltd. | 42,240 | 29,482 | |||
IBF Financial Holdings Company, Ltd. | 317,740 | 188,085 | |||
Ichia Technologies, Inc. | 25,000 | 17,270 | |||
Innolux Corp. (A)(C) | 657,561 | 489,164 | |||
Integrated Service Technology, Inc. | 9,000 | 16,855 | |||
International CSRC Investment Holdings Company | 102,383 | 98,646 | |||
Inventec Corp. | 267,000 | 251,521 | |||
Jarllytec Company, Ltd. | 9,000 | 24,520 | |||
Jess-Link Products Company, Ltd. | 13,000 | 17,346 | |||
Kaimei Electronic Corp. | 13,300 | 58,625 | |||
Kenda Rubber Industrial Company, Ltd. | 39,520 | 57,424 | |||
King Yuan Electronics Company, Ltd. | 168,796 | 271,850 | |||
King's Town Bank Company, Ltd. | 113,000 | 161,607 | |||
King's Town Construction Company, Ltd. (A) | 7,300 | 9,289 | |||
Kinpo Electronics, Inc. | 183,269 | 85,110 | |||
Kinsus Interconnect Technology Corp. | 22,000 | 106,468 | |||
Kuo Toong International Company, Ltd. | 18,248 | 16,023 | |||
L&K Engineering Company, Ltd. | 17,000 | 17,894 | |||
Lealea Enterprise Company, Ltd. (A) | 90,124 | 44,183 | |||
Lida Holdings, Ltd. | 4,640 | 5,067 | |||
Lien Hwa Industrial Holdings Corp. | 7,000 | 12,561 | |||
Lingsen Precision Industries, Ltd. (A) | 73,481 | 51,406 | |||
Lite-On Technology Corp. | 164,000 | 338,803 | |||
Longchen Paper & Packaging Company, Ltd. | 100,177 | 104,612 | |||
Macronix International Company, Ltd. | 129,000 | 211,300 | |||
Mega Financial Holding Company, Ltd. (C) | 745,472 | 878,879 | |||
Mercuries & Associates Holding, Ltd. | 47,815 | 38,686 | |||
Mercuries Life Insurance Company, Ltd. (A) | 53,094 | 17,789 | |||
Mitac Holdings Corp. | 58,316 | 57,740 | |||
MPI Corp. | 11,000 | 52,182 | |||
Nan Ya Plastics Corp. | 79,000 | 235,675 | |||
Nanya Technology Corp. | 148,000 | 422,958 | |||
Nishoku Technology, Inc. | 7,800 | 35,851 | |||
O-Bank Company, Ltd. | 52,538 | 13,349 | |||
OptoTech Corp. | 39,439 | 36,155 | |||
Pacific Construction Company | 38,289 | 14,363 | |||
Pan Jit International, Inc. | 13,000 | 40,170 | |||
Pan-International Industrial Corp. | 44,481 | 63,399 | |||
Pegatron Corp. | 250,660 | 618,867 | |||
Pou Chen Corp. | 201,348 | 283,851 | |||
President Securities Corp. | 95,721 | 91,842 | |||
Prince Housing & Development Corp. | 142,555 | 60,847 | |||
Prodisc Technology, Inc. (A)(D) | 762,000 | 0 | |||
Qisda Corp. | 210,280 | 232,387 | |||
Quanta Storage, Inc. | 23,000 | 32,979 | |||
Radium Life Tech Company, Ltd. | 102,621 | 40,313 | |||
Rechi Precision Company, Ltd. | 20,000 | 14,933 | |||
Ritek Corp. (A) | 57,799 | 19,176 | |||
Ruentex Development Company, Ltd. | 70,343 | 142,789 |
The accompanying notes are an integral part of the financial statements. | 32 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Taiwan (continued) | |||||
Ruentex Industries, Ltd. | 33,000 | $ | 104,063 | ||
Sampo Corp. (A) | 43,470 | 46,977 | |||
San Far Property, Ltd. | 27,585 | 14,546 | |||
Sanyang Motor Company, Ltd. | 48,000 | 52,064 | |||
Sesoda Corp. | 42,912 | 62,018 | |||
Shan-Loong Transportation Company, Ltd. (A) | 23,000 | 31,941 | |||
Sheng Yu Steel Company, Ltd. | 22,000 | 38,323 | |||
ShenMao Technology, Inc. | 8,000 | 14,463 | |||
Shihlin Electric & Engineering Corp. | 21,000 | 40,021 | |||
Shin Kong Financial Holding Company, Ltd. | 893,997 | 305,596 | |||
Shining Building Business Company, Ltd. (A) | 55,118 | 23,587 | |||
Shinkong Insurance Company, Ltd. | 34,000 | 48,986 | |||
Shinkong Synthetic Fibers Corp. | 132,239 | 107,954 | |||
Sigurd Microelectronics Corp. | 47,773 | 95,961 | |||
Sincere Navigation Corp. | 24,000 | 46,387 | |||
Sinher Technology, Inc. | 8,000 | 14,516 | |||
Sinon Corp. | 71,650 | 57,843 | |||
SinoPac Financial Holdings Company, Ltd. (A) | 1,133,931 | 559,348 | |||
Sirtec International Company, Ltd. | 23,800 | 25,931 | |||
Siward Crystal Technology Company, Ltd. | 20,000 | 24,627 | |||
Sunplus Technology Company, Ltd. | 58,000 | 66,027 | |||
Sunrex Technology Corp. | 11,678 | 22,284 | |||
Supreme Electronics Company, Ltd. | 13,268 | 19,165 | |||
Sweeten Real Estate Development Company, Ltd. | 25,547 | 22,943 | |||
Syncmold Enterprise Corp. | 6,000 | 17,957 | |||
Synnex Technology International Corp. | 134,000 | 244,735 | |||
TA Chen Stainless Pipe | 85,894 | 183,232 | |||
Ta Ya Electric Wire & Cable | 54,893 | 60,000 | |||
Taichung Commercial Bank Company, Ltd. | 443,266 | 184,543 | |||
Taiflex Scientific Company, Ltd. | 24,100 | 46,261 | |||
Tainan Spinning Company, Ltd. | 135,638 | 143,992 | |||
Taishin Financial Holding Company, Ltd. | 931,233 | 509,588 | |||
Taita Chemical Company, Ltd. | 24,086 | 37,738 | |||
Taiwan Business Bank | 493,028 | 167,237 | |||
Taiwan Cement Corp. | 632,318 | 1,157,352 | |||
Taiwan Chinsan Electronic Industrial Company, Ltd. (A) | 14,420 | 26,138 | |||
Taiwan Cooperative Financial Holding Company, Ltd. | 813,725 | 620,618 | |||
Taiwan Fertilizer Company, Ltd. | 65,000 | 137,382 | |||
Taiwan Fire & Marine Insurance Company, Ltd. | 41,000 | 29,790 | |||
Taiwan FU Hsing Industrial Company, Ltd. (A) | 21,000 | 34,561 | |||
Taiwan Glass Industry Corp. | 112,319 | 150,652 | |||
Taiwan Hon Chuan Enterprise Company, Ltd. | 40,000 | 110,299 | |||
Taiwan Kolin Company, Ltd. (A)(D) | 327,000 | 0 | |||
Taiwan PCB Techvest Company, Ltd. | 36,000 | 60,721 | |||
Taiwan Semiconductor Company, Ltd. | 14,000 | 33,780 | |||
Taiwan Styrene Monomer | 38,000 | 29,454 | |||
Taiwan Surface Mounting Technology Corp. | 26,225 | 113,801 | |||
Taiyen Biotech Company, Ltd. | 26,137 | 30,586 | |||
Tatung Company, Ltd. (A) | 116,000 | 102,730 | |||
Teco Electric & Machinery Company, Ltd. | 132,000 | 157,192 | |||
The Ambassador Hotel (A) | 29,000 | 29,155 | |||
Thye Ming Industrial Company, Ltd. | 31,000 | 42,549 | |||
Ton Yi Industrial Corp. | 119,000 | 67,055 | |||
Tong Yang Industry Company, Ltd. | 40,627 | 52,619 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Taiwan (continued) | |||||
Tong-Tai Machine & Tool Company, Ltd. | 26,588 | $ | 17,377 | ||
TOPBI International Holdings, Ltd. | 8,077 | 4,760 | |||
Topoint Technology Company, Ltd. | 29,190 | 41,778 | |||
TPK Holding Company, Ltd. | 41,000 | 68,538 | |||
Tsann Kuen Enterprise Company, Ltd. | 7,000 | 8,380 | |||
TSRC Corp. | 28,000 | 36,099 | |||
Tung Ho Steel Enterprise Corp. | 109,000 | 205,347 | |||
TXC Corp. | 41,000 | 185,282 | |||
TYC Brother Industrial Company, Ltd. | 15,511 | 12,216 | |||
Tycoons Group Enterprise (A) | 30,371 | 29,013 | |||
Tyntek Corp. | 36,000 | 32,617 | |||
U-Ming Marine Transport Corp. (A) | 67,000 | 213,934 | |||
Unimicron Technology Corp. | 146,000 | 675,271 | |||
Union Bank of Taiwan | 246,021 | 103,327 | |||
Unitech Printed Circuit Board Corp. | 74,194 | 58,700 | |||
United Microelectronics Corp. | 1,098,794 | 2,083,646 | |||
Universal Cement Corp. | 27,483 | 23,041 | |||
Unizyx Holding Corp. (A) | 34,000 | 35,780 | |||
UPC Technology Corp. | 117,751 | 114,990 | |||
USI Corp. | 123,996 | 165,205 | |||
Wah Lee Industrial Corp. | 26,000 | 76,800 | |||
Walsin Lihwa Corp. (A) | 268,000 | 281,385 | |||
Walton Advanced Engineering, Inc. (A) | 72,584 | 48,665 | |||
Wan Hai Lines, Ltd. | 40,050 | 460,874 | |||
Weikeng Industrial Company, Ltd. | 25,000 | 21,352 | |||
Well Shin Technology Company, Ltd. | 15,000 | 27,608 | |||
Winbond Electronics Corp. | 386,793 | 482,886 | |||
Wintek Corp. (A)(D) | 543,000 | 0 | |||
Wisdom Marine Lines Company, Ltd. | 36,343 | 143,808 | |||
Wistron Corp. | 393,291 | 437,334 | |||
Wistron NeWeb Corp. | 13,000 | 35,450 | |||
WPG Holdings, Ltd. | 203,400 | 373,104 | |||
WT Microelectronics Company, Ltd. | 50,174 | 96,671 | |||
Xxentria Technology Materials Corp. | 8,000 | 20,996 | |||
YC INOX Company, Ltd. | 40,104 | 61,818 | |||
Yea Shin International Development Company, Ltd. (A) | 20,906 | 16,838 | |||
Yem Chio Company, Ltd. | 40,324 | 27,432 | |||
Yeong Guan Energy Technology Group Company, Ltd. | 13,553 | 35,374 | |||
YFY, Inc. | 168,202 | 276,004 | |||
Yi Jinn Industrial Company, Ltd. | 51,613 | 36,304 | |||
Yieh Phui Enterprise Company, Ltd. (A) | 150,899 | 179,869 | |||
Youngtek Electronics Corp. | 17,000 | 53,090 | |||
Yuanta Financial Holding Company, Ltd. | 1,154,371 | 1,111,545 | |||
Yuen Chang Stainless Steel Company, Ltd. (A) | 19,007 | 25,359 | |||
Yulon Motor Company, Ltd. (A) | 79,470 | 121,507 | |||
Yungtay Engineering Company, Ltd. | 5,000 | 11,049 | |||
Zeng Hsing Industrial Company, Ltd. (A) | 4,000 | 23,912 | |||
Zenitron Corp. | 45,000 | 47,878 | |||
Zhen Ding Technology Holding, Ltd. | 44,000 | 165,806 | |||
Zig Sheng Industrial Company, Ltd. (A) | 38,908 | 33,364 | |||
45,930,543 | |||||
Thailand - 1.9% | |||||
AAPICO Hitech PCL | 35,352 | 24,841 | |||
AP Thailand PCL | 223,670 | 58,329 | |||
Bangchak Corp. PCL | 91,600 | 70,667 | |||
Bangkok Airways PCL (A) | 116,100 | 38,446 | |||
Bangkok Bank PCL | 12,800 | 45,170 | |||
Bangkok Bank PCL, NVDR | 14,500 | 51,203 | |||
Bangkok Insurance PCL | 4,550 | 39,894 | |||
Bangkok Land PCL | 1,059,200 | 36,364 | |||
Bangkok Life Assurance PCL, NVDR | 55,200 | 50,460 | |||
Bangkok Ranch PCL (A) | 92,300 | 9,623 |
The accompanying notes are an integral part of the financial statements. | 33 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Thailand (continued) | |||||
Banpu PCL | 401,300 | $ | 195,591 | ||
Berli Jucker PCL | 111,800 | 121,391 | |||
Charoen Pokphand Foods PCL | 377,100 | 312,062 | |||
GFPT PCL | 43,900 | 15,760 | |||
Global Green Chemicals PCL | 67,700 | 22,612 | |||
Indorama Ventures PCL | 82,600 | 105,215 | |||
IRPC PCL | 943,100 | 113,257 | |||
Italian-Thai Development PCL (A) | 477,400 | 35,485 | |||
Kasikornbank PCL, NVDR | 101,600 | 374,996 | |||
Khon Kaen Sugar Industry PCL (A) | 192,600 | 22,355 | |||
Kiatnakin Phatra Bank PCL | 19,400 | 33,777 | |||
Krung Thai Bank PCL | 265,400 | 88,754 | |||
LH Financial Group PCL | 709,300 | 25,025 | |||
LPN Development PCL | 52,900 | 8,504 | |||
MBK PCL (A) | 46,800 | 19,583 | |||
Millcon Steel PCL | 152,625 | 6,147 | |||
Polyplex Thailand PCL | 14,000 | 11,367 | |||
Pruksa Holding PCL | 78,800 | 33,937 | |||
PTT Exploration & Production PCL | 127,800 | 467,633 | |||
PTT Global Chemical PCL | 133,900 | 246,919 | |||
PTT PCL | 938,700 | 1,151,940 | |||
Quality Houses PCL | 746,900 | 53,141 | |||
Rojana Industrial Park PCL | 113,100 | 24,547 | |||
Saha-Union PCL | 16,100 | 18,592 | |||
Sansiri PCL | 1,026,866 | 42,710 | |||
SC Asset Corp. PCL | 476,596 | 46,156 | |||
Siam Future Development PCL | 167,749 | 57,645 | |||
Somboon Advance Technology PCL | 51,300 | 35,396 | |||
SPCG PCL | 58,900 | 34,557 | |||
Srithai Superware PCL (A) | 283,000 | 12,284 | |||
STP & I PCL (A) | 21,600 | 3,373 | |||
Supalai PCL | 151,900 | 97,667 | |||
Super Energy Corp. PCL | 743,000 | 21,577 | |||
Syntec Construction PCL | 156,500 | 10,168 | |||
Thai Oil PCL | 85,600 | 145,979 | |||
Thai Stanley Electric PCL | 700 | 4,062 | |||
Thai Union Group PCL | 35,600 | 22,002 | |||
Thaicom PCL | 79,400 | 29,751 | |||
Thanachart Capital PCL | 37,300 | 40,206 | |||
The Siam Commercial Bank PCL | 74,400 | 227,893 | |||
Thitikorn PCL | 100 | 30 | |||
TMBThanachart Bank PCL | 1,334,352 | 46,720 | |||
TPI Polene PCL | 559,900 | 31,286 | |||
TPI Polene Power PCL | 283,200 | 39,068 | |||
True Corp. PCL | 1,139,000 | 113,123 | |||
Univentures PCL | 51,700 | 6,439 | |||
Vinythai PCL | 9,700 | 11,349 | |||
5,013,028 | |||||
Turkey - 0.5% | |||||
Akbank TAS | 287,261 | 174,249 | |||
Anadolu Efes Biracilik Ve Malt Sanayii AS | 14,921 | 38,147 | |||
Arcelik AS | 7,251 | 24,796 | |||
Dogan Sirketler Grubu Holding AS | 52,374 | 17,090 | |||
Eczacibasi Yatirim Holding Ortakligi AS | 1 | 2 | |||
EIS Eczacibasi Ilac ve Sinai ve Finansal Yatirimlar Sanayi ve Ticaret AS | 30,810 | 20,778 | |||
Enka Insaat ve Sanayi AS | 70,950 | 76,270 | |||
Eregli Demir ve Celik Fabrikalari TAS | 66,873 | 138,370 | |||
Goldas Kuyumculuk Sanayi Ithalat Ve Bagli Ortakliklari (A)(D) | 54,846 | 595 | |||
Gozde Girisim Sermayesi Yatirim Ortakligi AS (A) | 28,775 | 17,866 | |||
GSD Holding AS (A) | 78,125 | 16,265 | |||
KOC Holding AS | 34,979 | 73,658 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Turkey (continued) | |||||
Koza Anadolu Metal Madencilik Isletmeleri AS (A) | 15,600 | $ | 25,524 | ||
NET Holding AS (A) | 40,130 | 19,019 | |||
Sekerbank Turk AS (A) | 178,589 | 21,789 | |||
Tekfen Holding AS | 11,038 | 18,579 | |||
Turk Hava Yollari AO (A) | 80,925 | 124,415 | |||
Turkiye Garanti Bankasi AS | 227,810 | 217,514 | |||
Turkiye Halk Bankasi AS (A) | 56,201 | 32,588 | |||
Turkiye Is Bankasi AS, Class C | 131,554 | 77,103 | |||
Turkiye Sinai Kalkinma Bankasi AS | 141,027 | 20,749 | |||
Turkiye Sise ve Cam Fabrikalari AS | 135,139 | 118,602 | |||
Turkiye Vakiflar Bankasi TAO, Class D (A) | 91,535 | 36,811 | |||
Uzel Makina Sanayii AS (A)(D) | 22,930 | 0 | |||
Vestel Elektronik Sanayi ve Ticaret AS (A) | 6,172 | 21,478 | |||
Yapi ve Kredi Bankasi AS | 254,969 | 63,253 | |||
1,395,510 | |||||
Ukraine - 0.0% | |||||
Kernel Holding SA | 7,742 | 111,168 | |||
United Arab Emirates - 0.6% | |||||
Abu Dhabi Commercial Bank PJSC | 222,448 | 416,354 | |||
Aldar Properties PJSC | 344,351 | 358,252 | |||
DAMAC Properties Dubai Company PJSC (A) | 179,521 | 62,619 | |||
Dana Gas PJSC | 87,037 | 19,808 | |||
Deyaar Development PJSC (A) | 246,958 | 20,123 | |||
Dubai Investments PJSC | 195,034 | 90,356 | |||
Emaar Development PJSC (A) | 74,937 | 75,876 | |||
Emaar Properties PJSC | 266,138 | 302,277 | |||
Emirates NBD Bank PJSC | 27,909 | 100,680 | |||
Eshraq Investments PJSC (A) | 223,571 | 21,901 | |||
RAK Properties PJSC (A) | 77,735 | 13,437 | |||
Ras Al Khaimah Ceramics | 24,868 | 15,044 | |||
1,496,727 | |||||
United States - 0.1% | |||||
Nexteer Automotive Group, Ltd. | 95,000 | 132,018 | |||
TOTAL COMMON STOCKS (Cost $221,704,938) | $ | 258,326,664 | |||
PREFERRED SECURITIES - 1.8% | |||||
Brazil - 1.8% | |||||
Banco ABC Brasil SA | 9,841 | 31,420 | |||
Banco Bradesco SA | 142,969 | 739,595 | |||
Banco do Estado do Rio Grande do Sul SA, B Shares | 22,600 | 60,251 | |||
Cia Ferro Ligas da Bahia | 5,956 | 53,096 | |||
Eucatex SA Industria e Comercio | 4,200 | 8,360 | |||
Gerdau SA | 91,576 | 545,170 | |||
Marcopolo SA | 55,200 | 37,623 | |||
Petroleo Brasileiro SA | 510,144 | 3,018,525 | |||
Usinas Siderurgicas de Minas Gerais SA, A Shares | 40,910 | 157,099 | |||
4,651,139 | |||||
Colombia - 0.0% | |||||
Grupo Argos SA | 23,975 | 51,234 | |||
Grupo de Inversiones Suramericana SA | 11,343 | 49,930 | |||
101,164 | |||||
Philippines - 0.0% | |||||
Cebu Air, Inc., 6.000% | 15,189 | 16,487 | |||
TOTAL PREFERRED SECURITIES (Cost $4,446,829) | $ | 4,768,790 | |||
WARRANTS - 0.0% | |||||
MBK PCL (Expiration Date: 5-16-24; Strike Price: THB 3.00) (A) | 1,872 | 602 |
The accompanying notes are an integral part of the financial statements. | 34 |
Shares or Principal Amount | Value | ||||
WARRANTS (continued) | |||||
Millcon Steel PCL (Expiration Date: 5-23-24; Strike Price: THB 1.50) (A) | 28,617 | $ | 384 | ||
TOTAL WARRANTS (Cost $0) | $ | 986 | |||
SHORT-TERM INVESTMENTS - 1.0% | |||||
Short-term funds - 1.0% | |||||
John Hancock Collateral Trust, 0.0324% (E)(F) | 254,590 | 2,547,070 | |||
TOTAL SHORT-TERM INVESTMENTS (Cost $2,547,135) | $ | 2,547,070 | |||
Total Investments (Emerging Markets Value Trust) (Cost $228,698,902) - 99.3% | $ | 265,643,510 | |||
Other assets and liabilities, net - 0.7% | 1,948,379 | ||||
TOTAL NET ASSETS - 100.0% | $ | 267,591,889 |
Currency Abbreviations | |
THB | Thai Bhat |
Security Abbreviations and Legend | |
ADR | American Depositary Receipt |
GDR | Global Depositary Receipt |
NVDR | Non-Voting Depositary Receipt |
(A) | Non-income producing security. |
(B) | 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. |
(C) | All or a portion of this security is on loan as of 6-30-21. |
(D) | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. Refer to Note 2 to the financial statements. |
(E) | The rate shown is the annualized seven-day yield as of 6-30-21. |
(F) | Investment is an affiliate of the fund, the advisor and/or subadvisor. This security represents the investment of cash collateral received for securities lending. |
Open contracts | Number of contracts | Position | Expiration date | Notional basis^ | Notional value^ | Unrealized appreciation (depreciation) |
Mini MSCI Emerging Markets Index Futures | 30 | Long | Sep 2021 | $2,056,668 | $2,047,200 | $(9,468) |
$(9,468) |
Shares or Principal Amount | Value | ||||
COMMON STOCKS – 97.4% | |||||
Communication services – 5.0% | |||||
Diversified telecommunication services – 0.5% | |||||
AT&T, Inc. | 159,530 | $ | 4,591,273 | ||
Verizon Communications, Inc. | 65,433 | 3,666,211 | |||
8,257,484 | |||||
Entertainment – 0.9% | |||||
The Walt Disney Company (A) | 81,896 | 14,394,860 | |||
Media – 3.6% | |||||
Comcast Corp., Class A | 502,481 | 28,651,467 | |||
Fox Corp., Class B | 325,759 | 11,466,717 | |||
News Corp., Class A | 801,465 | 20,653,753 | |||
60,771,937 | |||||
83,424,281 | |||||
Consumer discretionary – 4.4% | |||||
Automobiles – 1.3% | |||||
General Motors Company (A) | 44,700 | 2,644,899 | |||
Volkswagen AG, ADR | 775,705 | 19,423,653 | |||
22,068,552 | |||||
Hotels, restaurants and leisure – 1.1% | |||||
Las Vegas Sands Corp. (A) | 278,470 | 14,672,584 | |||
McDonald's Corp. | 12,976 | 2,997,326 | |||
17,669,910 | |||||
Leisure products – 0.6% | |||||
Mattel, Inc. (A) | 530,506 | 10,663,171 | |||
Multiline retail – 0.8% | |||||
Kohl's Corp. | 227,593 | 12,542,650 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Specialty retail – 0.6% | |||||
The TJX Companies, Inc. | 139,553 | $ | 9,408,663 | ||
72,352,946 | |||||
Consumer staples – 6.9% | |||||
Beverages – 0.6% | |||||
The Coca-Cola Company | 167,337 | 9,054,605 | |||
Food and staples retailing – 0.4% | |||||
Walmart, Inc. | 49,971 | 7,046,910 | |||
Food products – 3.1% | |||||
Bunge, Ltd. | 41,154 | 3,216,185 | |||
Conagra Brands, Inc. | 537,475 | 19,553,341 | |||
Mondelez International, Inc., Class A | 16,165 | 1,009,343 | |||
Tyson Foods, Inc., Class A | 375,229 | 27,676,891 | |||
51,455,760 | |||||
Household products – 1.2% | |||||
Kimberly-Clark Corp. | 149,778 | 20,037,301 | |||
Tobacco – 1.6% | |||||
Altria Group, Inc. | 126,306 | 6,022,270 | |||
Philip Morris International, Inc. | 213,526 | 21,162,562 | |||
27,184,832 | |||||
114,779,408 | |||||
Energy – 6.2% | |||||
Energy equipment and services – 0.4% | |||||
Halliburton Company | 301,839 | 6,978,518 | |||
Oil, gas and consumable fuels – 5.8% | |||||
Chevron Corp. | 34,545 | 3,618,243 | |||
ConocoPhillips | 27,981 | 1,704,043 |
The accompanying notes are an integral part of the financial statements. | 35 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Oil, gas and consumable fuels (continued) | |||||
EOG Resources, Inc. | 225,006 | $ | 18,774,501 | ||
Exxon Mobil Corp. | 238,889 | 15,069,118 | |||
Hess Corp. | 26,634 | 2,325,681 | |||
Occidental Petroleum Corp. | 114,542 | 3,581,728 | |||
Targa Resources Corp. | 110,240 | 4,900,168 | |||
TC Energy Corp. | 258,059 | 12,779,082 | |||
TotalEnergies SE | 630,852 | 28,578,724 | |||
TotalEnergies SE, ADR | 108,235 | 4,898,716 | |||
96,230,004 | |||||
103,208,522 | |||||
Financials – 22.7% | |||||
Banks – 8.7% | |||||
Bank of America Corp. | 161,071 | 6,640,957 | |||
Citizens Financial Group, Inc. | 159,000 | 7,293,330 | |||
Fifth Third Bancorp | 678,393 | 25,934,964 | |||
Huntington Bancshares, Inc. | 894,000 | 12,757,380 | |||
JPMorgan Chase & Co. | 95,738 | 14,891,089 | |||
The PNC Financial Services Group, Inc. | 77,176 | 14,722,094 | |||
Wells Fargo & Company | 1,389,893 | 62,948,256 | |||
145,188,070 | |||||
Capital markets – 4.8% | |||||
Franklin Resources, Inc. | 140,905 | 4,507,551 | |||
Morgan Stanley | 272,143 | 24,952,792 | |||
Raymond James Financial, Inc. | 75,213 | 9,770,169 | |||
State Street Corp. | 108,940 | 8,963,583 | |||
The Bank of New York Mellon Corp. | 172,200 | 8,821,806 | |||
The Charles Schwab Corp. | 117,845 | 8,580,294 | |||
The Goldman Sachs Group, Inc. | 36,883 | 13,998,205 | |||
79,594,400 | |||||
Diversified financial services – 1.1% | |||||
Equitable Holdings, Inc. | 607,788 | 18,507,145 | |||
Insurance – 8.1% | |||||
American International Group, Inc. | 730,856 | 34,788,746 | |||
Chubb, Ltd. | 186,629 | 29,662,813 | |||
Loews Corp. | 475,451 | 25,983,397 | |||
Marsh & McLennan Companies, Inc. | 31,007 | 4,362,065 | |||
MetLife, Inc. | 573,815 | 34,342,828 | |||
The Hartford Financial Services Group, Inc. | 74,100 | 4,591,977 | |||
133,731,826 | |||||
377,021,441 | |||||
Health care – 14.4% | |||||
Biotechnology – 2.3% | |||||
AbbVie, Inc. | 240,467 | 27,086,203 | |||
Biogen, Inc. (A) | 16,707 | 5,785,133 | |||
Gilead Sciences, Inc. | 87,784 | 6,044,806 | |||
38,916,142 | |||||
Health care equipment and supplies – 3.5% | |||||
Becton, Dickinson and Company | 101,092 | 24,584,563 | |||
Medtronic PLC | 205,258 | 25,478,676 | |||
Zimmer Biomet Holdings, Inc. | 52,484 | 8,440,477 | |||
58,503,716 | |||||
Health care providers and services – 4.8% | |||||
Anthem, Inc. | 85,730 | 32,731,714 | |||
Cardinal Health, Inc. | 92,800 | 5,297,952 | |||
Centene Corp. (A) | 62,000 | 4,521,660 | |||
Cigna Corp. | 36,654 | 8,689,564 | |||
CVS Health Corp. | 254,678 | 21,250,332 | |||
UnitedHealth Group, Inc. | 16,600 | 6,647,304 | |||
79,138,526 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Pharmaceuticals – 3.8% | |||||
AstraZeneca PLC, ADR (B) | 67,600 | $ | 4,049,240 | ||
GlaxoSmithKline PLC | 145,995 | 2,870,128 | |||
Johnson & Johnson | 122,761 | 20,223,647 | |||
Merck & Company, Inc. | 101,294 | 7,877,634 | |||
Organon & Company (A) | 7,189 | 217,539 | |||
Pfizer, Inc. | 376,479 | 14,742,918 | |||
Sanofi | 95,952 | 10,080,964 | |||
Sanofi, ADR | 45,900 | 2,417,094 | |||
62,479,164 | |||||
239,037,548 | |||||
Industrials – 11.9% | |||||
Aerospace and defense – 2.7% | |||||
Airbus SE (A) | 7,073 | 911,376 | |||
L3Harris Technologies, Inc. | 119,161 | 25,756,650 | |||
The Boeing Company (A) | 78,858 | 18,891,222 | |||
45,559,248 | |||||
Air freight and logistics – 2.6% | |||||
United Parcel Service, Inc., Class B | 205,139 | 42,662,758 | |||
Airlines – 0.3% | |||||
Alaska Air Group, Inc. (A) | 34,224 | 2,064,049 | |||
Southwest Airlines Company (A) | 67,300 | 3,572,957 | |||
5,637,006 | |||||
Commercial services and supplies – 0.7% | |||||
Stericycle, Inc. (A) | 157,564 | 11,273,704 | |||
Industrial conglomerates – 3.4% | |||||
3M Company | 18,400 | 3,654,792 | |||
General Electric Company | 3,590,595 | 48,329,409 | |||
Siemens AG, ADR | 52,250 | 4,161,138 | |||
56,145,339 | |||||
Machinery – 1.4% | |||||
Caterpillar, Inc. | 18,701 | 4,069,899 | |||
Cummins, Inc. | 7,000 | 1,706,670 | |||
Flowserve Corp. | 39,087 | 1,575,988 | |||
PACCAR, Inc. | 64,335 | 5,741,899 | |||
Snap-on, Inc. | 45,943 | 10,265,044 | |||
23,359,500 | |||||
Professional services – 0.8% | |||||
Nielsen Holdings PLC | 503,835 | 12,429,609 | |||
197,067,164 | |||||
Information technology – 8.9% | |||||
Communications equipment – 0.9% | |||||
Cisco Systems, Inc. | 291,060 | 15,426,180 | |||
Electronic equipment, instruments and components – 0.3% | |||||
TE Connectivity, Ltd. | 37,153 | 5,023,457 | |||
Semiconductors and semiconductor equipment – 5.4% | |||||
Applied Materials, Inc. | 151,740 | 21,607,776 | |||
NXP Semiconductors NV | 34,624 | 7,122,849 | |||
QUALCOMM, Inc. | 291,103 | 41,607,352 | |||
Texas Instruments, Inc. | 95,691 | 18,401,379 | |||
88,739,356 | |||||
Software – 2.3% | |||||
Citrix Systems, Inc. | 122,485 | 14,363,816 | |||
Microsoft Corp. | 87,553 | 23,718,108 | |||
38,081,924 | |||||
147,270,917 | |||||
Materials – 5.8% | |||||
Chemicals – 3.9% | |||||
Akzo Nobel NV | 46,344 | 5,738,351 | |||
CF Industries Holdings, Inc. | 568,573 | 29,253,081 | |||
DuPont de Nemours, Inc. | 128,159 | 9,920,788 |
The accompanying notes are an integral part of the financial statements. | 36 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Chemicals (continued) | |||||
International Flavors & Fragrances, Inc. | 120,307 | $ | 17,973,866 | ||
PPG Industries, Inc. | 16,607 | 2,819,370 | |||
65,705,456 | |||||
Containers and packaging – 1.9% | |||||
International Paper Company | 502,988 | 30,838,194 | |||
96,543,650 | |||||
Real estate – 4.1% | |||||
Equity real estate investment trusts – 4.1% | |||||
CyrusOne, Inc. | 20,300 | 1,451,856 | |||
Equity Residential | 294,350 | 22,664,950 | |||
Rayonier, Inc. | 365,134 | 13,119,265 | |||
Welltower, Inc. | 64,224 | 5,337,014 | |||
Weyerhaeuser Company | 741,396 | 25,518,850 | |||
68,091,935 | |||||
Utilities – 7.1% | |||||
Electric utilities – 3.5% | |||||
Edison International | 121,451 | 7,022,297 | |||
Entergy Corp. | 42,300 | 4,217,310 | |||
NextEra Energy, Inc. | 123,398 | 9,042,605 | |||
The Southern Company | 635,241 | 38,438,433 | |||
58,720,645 | |||||
Multi-utilities – 3.6% | |||||
Ameren Corp. | 119,879 | 9,595,115 | |||
Dominion Energy, Inc. | 69,800 | 5,135,186 | |||
NiSource, Inc. | 835,395 | 20,467,178 | |||
Sempra Energy | 184,037 | 24,381,222 | |||
59,578,701 | |||||
118,299,346 | |||||
TOTAL COMMON STOCKS (Cost $1,178,702,307) | $ | 1,617,097,158 | |||
PREFERRED SECURITIES – 1.5% | |||||
Health care – 0.4% | |||||
Health care equipment and supplies – 0.4% | |||||
Becton, Dickinson and Company, 6.000% (B) | 115,427 | 6,176,499 | |||
Utilities – 1.1% | |||||
Electric utilities – 0.7% | |||||
NextEra Energy, Inc., 5.279% | 98,770 | 4,835,779 | |||
The Southern Company, 6.750% | 134,102 | 6,789,584 | |||
11,625,363 | |||||
Multi-utilities – 0.4% | |||||
NiSource, Inc., 7.750% | 47,031 | 4,834,316 | |||
Sempra Energy, 6.750% | 24,765 | 2,446,039 | |||
7,280,355 | |||||
18,905,718 | |||||
TOTAL PREFERRED SECURITIES (Cost $24,559,464) | $ | 25,082,217 | |||
SHORT-TERM INVESTMENTS – 1.6% | |||||
Short-term funds – 1.6% | |||||
John Hancock Collateral Trust, 0.0324% (C)(D) | 662,848 | 6,631,528 | |||
State Street Institutional U.S. Government Money Market Fund, Premier Class, 0.0250% (C) | 3,000,066 | 3,000,066 | |||
T. Rowe Price Government Reserve Fund, 0.0295% (C) | 17,191,975 | 17,191,975 | |||
TOTAL SHORT-TERM INVESTMENTS (Cost $26,823,781) | $ | 26,823,569 | |||
Total Investments (Equity Income Trust) (Cost $1,230,085,552) – 100.5% | $ | 1,669,002,944 | |||
Other assets and liabilities, net – (0.5%) | (8,183,938) | ||||
TOTAL NET ASSETS – 100.0% | $ | 1,660,819,006 |
Security Abbreviations and Legend | |
ADR | American Depositary Receipt |
(A) | Non-income producing security. |
(B) | All or a portion of this security is on loan as of 6-30-21. |
(C) | The rate shown is the annualized seven-day yield as of 6-30-21. |
(D) | Investment is an affiliate of the fund, the advisor and/or subadvisor. This security represents the investment of cash collateral received for securities lending. |
Shares or Principal Amount | Value | ||||
COMMON STOCKS – 98.4% | |||||
Financials – 89.5% | |||||
Banks – 45.4% | |||||
1st Source Corp. | 21,775 | $ | 1,011,667 | ||
American Business Bank (A) | 21,093 | 890,125 | |||
American River Bankshares | 16,945 | 306,705 | |||
Ameris Bancorp | 35,317 | 1,788,100 | |||
Atlantic Capital Bancshares, Inc. (A) | 2,036 | 51,837 | |||
Atlantic Union Bankshares Corp. | 49,292 | 1,785,356 | |||
Bank of America Corp. | 125,976 | 5,193,990 | |||
Bank of Commerce Holdings | 13,743 | 206,420 | |||
Bank of Marin Bancorp | 21,306 | 679,661 | |||
BayCom Corp. (A) | 25,836 | 463,756 | |||
Berkshire Hills Bancorp, Inc. | 4,465 | 122,386 | |||
Business First Bancshares, Inc. | 28,816 | 661,327 | |||
CaixaBank SA | 542,320 | 1,669,643 | |||
California BanCorp (A) | 20,487 | 383,107 | |||
Cambridge Bancorp | 14,192 | 1,177,794 | |||
Central Valley Community Bancorp | 17,669 | 356,030 | |||
Citizens Community Bancorp, Inc. | 18,655 | 255,200 | |||
Citizens Financial Group, Inc. | 111,360 | 5,108,084 | |||
Close Brothers Group PLC | 84,193 | 1,764,483 | |||
Coastal Financial Corp. (A) | 24,368 | 695,950 | |||
Danske Bank A/S | 92,918 | 1,636,371 | |||
Evans Bancorp, Inc. | 14,977 | 555,647 | |||
Farmers & Merchants Bancorp, Inc. | 3,423 | 74,690 | |||
First Horizon Corp. | 144,107 | 2,490,169 | |||
First Merchants Corp. | 38,163 | 1,590,252 | |||
German American Bancorp, Inc. | 14,501 | 539,437 | |||
Glacier Bancorp, Inc. | 20,632 | 1,136,411 | |||
HBT Financial, Inc. | 33,362 | 580,832 | |||
Heritage Commerce Corp. | 36,144 | 402,283 | |||
Heritage Financial Corp. | 31,630 | 791,383 | |||
Huntington Bancshares, Inc. | 143,746 | 2,051,255 | |||
JPMorgan Chase & Co. | 30,804 | 4,791,254 | |||
Landmark Bancorp, Inc. | 2,470 | 66,715 | |||
Level One Bancorp, Inc. | 13,985 | 381,791 | |||
Limestone Bancorp, Inc. (A) | 773 | 12,863 | |||
Live Oak Bancshares, Inc. | 23,229 | 1,370,511 | |||
Mackinac Financial Corp. | 19,181 | 379,017 | |||
Metrocity Bankshares, Inc. | 13,817 | 241,936 | |||
Mid Penn Bancorp, Inc. | 12,734 | 349,548 | |||
NBT Bancorp, Inc. | 8,197 | 294,846 | |||
Nicolet Bankshares, Inc. (A) | 15,579 | 1,095,827 | |||
Nordea Bank ABP | 130,570 | 1,454,015 | |||
Pacific Premier Bancorp, Inc. | 23,419 | 990,390 | |||
Pinnacle Financial Partners, Inc. | 49,972 | 4,412,028 | |||
Popular, Inc. | 15,818 | 1,187,141 | |||
Sandy Spring Bancorp, Inc. | 9,272 | 409,173 | |||
Shore Bancshares, Inc. | 6,872 | 115,106 | |||
Southern First Bancshares, Inc. (A) | 11,023 | 563,937 | |||
Stock Yards Bancorp, Inc. | 35,133 | 1,787,918 | |||
SVB Financial Group (A) | 7,089 | 3,944,532 | |||
Synovus Financial Corp. | 71,151 | 3,122,106 | |||
The First Bancshares, Inc. | 16,258 | 608,537 |
The accompanying notes are an integral part of the financial statements. | 37 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Banks (continued) | |||||
TriCo Bancshares | 50,411 | $ | 2,146,500 | ||
U.S. Bancorp | 67,156 | 3,825,877 | |||
Western Alliance Bancorp | 48,282 | 4,482,984 | |||
Zions Bancorp NA | 54,790 | 2,896,199 | |||
77,351,102 | |||||
Capital markets – 15.6% | |||||
3i Group PLC | 137,548 | 2,232,248 | |||
Ares Management Corp., Class A | 61,684 | 3,922,486 | |||
BlackRock, Inc. | 2,952 | 2,582,911 | |||
Brookfield Asset Management, Inc., Class A | 80,153 | 4,086,200 | |||
KKR & Company, Inc. | 69,358 | 4,108,768 | |||
Onex Corp. | 37,065 | 2,691,369 | |||
The Blackstone Group, Inc. | 42,964 | 4,173,523 | |||
TMX Group, Ltd. | 9,477 | 1,001,064 | |||
Tradeweb Markets, Inc., Class A | 21,290 | 1,800,282 | |||
26,598,851 | |||||
Consumer finance – 7.5% | |||||
American Express Company | 31,480 | 5,201,440 | |||
Capital One Financial Corp. | 28,670 | 4,434,962 | |||
Discover Financial Services | 27,206 | 3,218,198 | |||
12,854,600 | |||||
Diversified financial services – 3.9% | |||||
Berkshire Hathaway, Inc., Class B (A) | 7,017 | 1,950,165 | |||
Equitable Holdings, Inc. | 103,746 | 3,159,066 | |||
Eurazeo SE | 18,774 | 1,636,855 | |||
6,746,086 | |||||
Insurance – 16.1% | |||||
American Financial Group, Inc. | 228 | 28,436 | |||
American International Group, Inc. | 12,574 | 598,522 | |||
Arthur J. Gallagher & Company | 23,899 | 3,347,772 | |||
Brookfield Asset Management Reinsurance Partners, Ltd., Class A (A) | 553 | 28,756 | |||
Brown & Brown, Inc. | 48,581 | 2,581,594 | |||
Chubb, Ltd. | 14,830 | 2,357,080 | |||
Kinsale Capital Group, Inc. | 12,057 | 1,986,632 | |||
Markel Corp. (A) | 2,150 | 2,551,427 | |||
Marsh & McLennan Companies, Inc. | 16,700 | 2,349,356 | |||
The Hanover Insurance Group, Inc. | 12,586 | 1,707,165 | |||
The Hartford Financial Services Group, Inc. | 68,382 | 4,237,633 | |||
Trean Insurance Group, Inc. (A) | 87,457 | 1,318,852 | |||
Unum Group | 129,386 | 3,674,562 | |||
Willis Towers Watson PLC | 2,956 | 679,939 | |||
27,447,726 | |||||
Thrifts and mortgage finance – 1.0% | |||||
ESSA Bancorp, Inc. | 5,584 | 91,522 | |||
OP Bancorp | 34,853 | 350,621 | |||
Premier Financial Corp. | 42,046 | 1,194,527 | |||
Timberland Bancorp, Inc. | 262 | 7,367 | |||
1,644,037 | |||||
152,642,402 | |||||
Information technology – 4.8% | |||||
IT services – 4.8% | |||||
FleetCor Technologies, Inc. (A) | 9,109 | 2,332,451 | |||
Visa, Inc., Class A | 22,648 | 5,295,555 | |||
WEX, Inc. (A) | 2,999 | 581,506 | |||
8,209,512 | |||||
Real estate – 4.1% | |||||
Equity real estate investment trusts – 3.5% | |||||
Lexington Realty Trust | 69,498 | 830,501 | |||
Monmouth Real Estate Investment Corp. | 43,968 | 823,081 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Equity real estate investment trusts (continued) | |||||
Nippon Prologis REIT, Inc. | 106 | $ | 337,092 | ||
Prologis, Inc. | 19,566 | 2,338,724 | |||
Rexford Industrial Realty, Inc. | 29,152 | 1,660,206 | |||
5,989,604 | |||||
Real estate management and development – 0.6% | |||||
VGP NV | 4,788 | 944,854 | |||
6,934,458 | |||||
TOTAL COMMON STOCKS (Cost $130,912,001) | $ | 167,786,372 | |||
SHORT-TERM INVESTMENTS – 1.6% | |||||
Repurchase agreement – 1.6% | |||||
Repurchase Agreement with State Street Corp. dated 6-30-21 at 0.000% to be repurchased at $2,751,000 on 7-1-21, collateralized by $2,804,300 U.S. Treasury Notes, 0.099% due 1-31-23 (valued at $2,806,097) | $ | 2,751,000 | 2,751,000 | ||
TOTAL SHORT-TERM INVESTMENTS (Cost $2,751,000) | $ | 2,751,000 | |||
Total Investments (Financial Industries Trust) (Cost $133,663,001) – 100.0% | $ | 170,537,372 | |||
Other assets and liabilities, net – 0.0% | 1,076 | ||||
TOTAL NET ASSETS – 100.0% | $ | 170,538,448 |
Security Abbreviations and Legend | |
(A) | Non-income producing security. |
Shares or Principal Amount | Value | ||||
COMMON STOCKS – 98.6% | |||||
Communication services – 16.4% | |||||
Entertainment – 3.0% | |||||
Liberty Media Corp.-Liberty Formula One, Series C (A) | 1,405,169 | $ | 67,743,197 | ||
Madison Square Garden Entertainment Corp. (A) | 107,874 | 9,058,180 | |||
76,801,377 | |||||
Interactive media and services – 12.7% | |||||
Alphabet, Inc., Class A (A) | 60,841 | 148,560,945 | |||
CarGurus, Inc. (A) | 1,460,541 | 38,309,990 | |||
Facebook, Inc., Class A (A) | 383,760 | 133,437,190 | |||
320,308,125 | |||||
Media – 0.7% | |||||
Liberty Broadband Corp., Series A (A) | 97,107 | 16,330,484 | |||
413,439,986 | |||||
Consumer discretionary – 19.2% | |||||
Household durables – 5.5% | |||||
Lennar Corp., A Shares | 1,151,295 | 114,381,158 | |||
NVR, Inc. (A) | 4,853 | 24,135,425 | |||
138,516,583 | |||||
Internet and direct marketing retail – 6.9% | |||||
Amazon.com, Inc. (A) | 51,157 | 175,988,265 | |||
Leisure products – 3.0% | |||||
Polaris, Inc. | 552,844 | 75,717,514 | |||
Specialty retail – 2.8% | |||||
Dufry AG (A) | 485,666 | 28,818,588 | |||
Group 1 Automotive, Inc. | 277,994 | 42,930,613 | |||
71,749,201 |
The accompanying notes are an integral part of the financial statements. | 38 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Textiles, apparel and luxury goods – 1.0% | |||||
Salvatore Ferragamo SpA (A) | 1,150,855 | $ | 24,677,109 | ||
486,648,672 | |||||
Consumer staples – 7.6% | |||||
Beverages – 2.8% | |||||
Anheuser-Busch InBev SA/NV, ADR | 372,801 | 26,845,400 | |||
Diageo PLC, ADR | 114,873 | 22,020,005 | |||
Heineken NV | 170,848 | 20,740,840 | |||
69,606,245 | |||||
Food and staples retailing – 0.5% | |||||
U.S. Foods Holding Corp. (A) | 356,896 | 13,690,531 | |||
Food products – 4.3% | |||||
Post Holdings, Inc. (A) | 713,217 | 77,362,647 | |||
The Hain Celestial Group, Inc. (A) | 812,593 | 32,601,231 | |||
109,963,878 | |||||
193,260,654 | |||||
Energy – 5.3% | |||||
Energy equipment and services – 0.9% | |||||
Baker Hughes Company | 979,557 | 22,402,469 | |||
Oil, gas and consumable fuels – 4.4% | |||||
Cheniere Energy, Inc. (A) | 773,930 | 67,130,688 | |||
Suncor Energy, Inc. | 460,951 | 11,048,995 | |||
Valero Energy Corp. | 427,962 | 33,415,273 | |||
111,594,956 | |||||
133,997,425 | |||||
Financials – 17.3% | |||||
Banks – 6.7% | |||||
Bank of America Corp. | 2,092,864 | 86,288,783 | |||
First Hawaiian, Inc. | 2,898,865 | 82,153,834 | |||
168,442,617 | |||||
Capital markets – 8.3% | |||||
KKR & Company, Inc. | 767,089 | 45,442,352 | |||
Morgan Stanley | 1,174,196 | 107,662,031 | |||
The Goldman Sachs Group, Inc. | 152,605 | 57,918,176 | |||
211,022,559 | |||||
Consumer finance – 2.3% | |||||
American Express Company | 238,809 | 39,458,411 | |||
Synchrony Financial | 402,103 | 19,510,038 | |||
58,968,449 | |||||
438,433,625 | |||||
Health care – 6.7% | |||||
Biotechnology – 2.9% | |||||
Alnylam Pharmaceuticals, Inc. (A) | 215,838 | 36,588,858 | |||
Moderna, Inc. (A) | 158,756 | 37,304,485 | |||
73,893,343 | |||||
Health care equipment and supplies – 2.1% | |||||
Hologic, Inc. (A) | 791,530 | 52,810,882 | |||
Health care providers and services – 1.1% | |||||
Anthem, Inc. | 68,547 | 26,171,245 | |||
Health care technology – 0.6% | |||||
Change Healthcare, Inc. (A) | 681,036 | 15,691,069 | |||
168,566,539 | |||||
Industrials – 8.7% | |||||
Electrical equipment – 1.6% | |||||
Regal Beloit Corp. | 161,347 | 21,541,438 | |||
Sensata Technologies Holding PLC (A) | 313,430 | 18,169,537 | |||
39,710,975 | |||||
Industrial conglomerates – 1.8% | |||||
Roper Technologies, Inc. | 97,275 | 45,738,705 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Machinery – 1.4% | |||||
Parker-Hannifin Corp. | 112,984 | $ | 34,698,516 | ||
Professional services – 2.3% | |||||
IHS Markit, Ltd. | 519,818 | 58,562,696 | |||
Trading companies and distributors – 1.6% | |||||
United Rentals, Inc. (A) | 126,573 | 40,378,053 | |||
219,088,945 | |||||
Information technology – 12.6% | |||||
Semiconductors and semiconductor equipment – 3.7% | |||||
Analog Devices, Inc. | 149,698 | 25,772,008 | |||
NVIDIA Corp. | 85,702 | 68,570,170 | |||
94,342,178 | |||||
Software – 4.2% | |||||
salesforce.com, Inc. (A) | 214,047 | 52,285,261 | |||
Workday, Inc., Class A (A) | 220,319 | 52,598,958 | |||
104,884,219 | |||||
Technology hardware, storage and peripherals – 4.7% | |||||
Apple, Inc. | 648,680 | 88,843,213 | |||
Samsung Electronics Company, Ltd. | 410,202 | 29,364,773 | |||
118,207,986 | |||||
317,434,383 | |||||
Materials – 0.9% | |||||
Chemicals – 0.9% | |||||
Axalta Coating Systems, Ltd. (A) | 783,540 | 23,890,135 | |||
Real estate – 3.9% | |||||
Equity real estate investment trusts – 3.1% | |||||
American Tower Corp. | 203,854 | 55,069,120 | |||
Crown Castle International Corp. | 122,855 | 23,969,011 | |||
79,038,131 | |||||
Real estate management and development – 0.8% | |||||
Five Point Holdings LLC, Class A (A) | 2,386,395 | 19,282,072 | |||
98,320,203 | |||||
TOTAL COMMON STOCKS (Cost $1,308,056,443) | $ | 2,493,080,567 | |||
SHORT-TERM INVESTMENTS – 1.4% | |||||
Repurchase agreement – 1.4% | |||||
Repurchase Agreement with State Street Corp. dated 6-30-21 at 0.000% to be repurchased at $35,082,000 on 7-1-21, collateralized by $33,173,800 U.S. Treasury Notes, 2.375% due 5-15-27 (valued at $35,783,641) | $ | 35,082,000 | 35,082,000 | ||
TOTAL SHORT-TERM INVESTMENTS (Cost $35,082,000) | $ | 35,082,000 | |||
Total Investments (Fundamental All Cap Core Trust) (Cost $1,343,138,443) – 100.0% | $ | 2,528,162,567 | |||
Other assets and liabilities, net – (0.0%) | (540,244) | ||||
TOTAL NET ASSETS – 100.0% | $ | 2,527,622,323 |
Security Abbreviations and Legend | |
ADR | American Depositary Receipt |
(A) | Non-income producing security. |
Shares or Principal Amount | Value | ||||
COMMON STOCKS – 97.6% | |||||
Communication services – 9.9% | |||||
Interactive media and services – 3.0% | |||||
Alphabet, Inc., Class A (A) | 10,019 | $ | 24,464,294 |
The accompanying notes are an integral part of the financial statements. | 39 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Media – 6.9% | |||||
Comcast Corp., Class A | 619,178 | $ | 35,305,530 | ||
Fox Corp., Class B | 307,834 | 10,835,757 | |||
Liberty Broadband Corp., Series A (A) | 54,560 | 9,175,355 | |||
55,316,642 | |||||
79,780,936 | |||||
Consumer discretionary – 8.0% | |||||
Household durables – 3.3% | |||||
Lennar Corp., A Shares | 269,386 | 26,763,499 | |||
Internet and direct marketing retail – 2.7% | |||||
eBay, Inc. | 310,545 | 21,803,364 | |||
Specialty retail – 2.0% | |||||
CarMax, Inc. (A) | 62,265 | 8,041,525 | |||
Group 1 Automotive, Inc. | 53,759 | 8,302,002 | |||
16,343,527 | |||||
64,910,390 | |||||
Consumer staples – 9.1% | |||||
Beverages – 3.5% | |||||
Anheuser-Busch InBev SA/NV, ADR | 215,540 | 15,521,035 | |||
Heineken Holding NV | 121,876 | 12,298,357 | |||
27,819,392 | |||||
Food and staples retailing – 1.5% | |||||
Walmart, Inc. | 87,976 | 12,406,376 | |||
Food products – 4.1% | |||||
Danone SA | 217,834 | 15,325,689 | |||
Post Holdings, Inc. (A) | 165,539 | 17,956,015 | |||
33,281,704 | |||||
73,507,472 | |||||
Energy – 9.7% | |||||
Energy equipment and services – 0.9% | |||||
ChampionX Corp. (A) | 296,050 | 7,593,683 | |||
Oil, gas and consumable fuels – 8.8% | |||||
Cheniere Energy, Inc. (A) | 293,933 | 25,495,748 | |||
Chevron Corp. | 133,407 | 13,973,049 | |||
Kinder Morgan, Inc. | 438,599 | 7,995,660 | |||
Suncor Energy, Inc. | 634,892 | 15,218,361 | |||
Valero Energy Corp. | 103,773 | 8,102,596 | |||
70,785,414 | |||||
78,379,097 | |||||
Financials – 23.8% | |||||
Banks – 10.2% | |||||
Bank of America Corp. | 365,644 | 15,075,502 | |||
Citigroup, Inc. | 353,630 | 25,019,323 | |||
JPMorgan Chase & Co. | 124,379 | 19,345,910 | |||
Wells Fargo & Company | 499,950 | 22,642,736 | |||
82,083,471 | |||||
Capital markets – 9.7% | |||||
KKR & Company, Inc. | 309,381 | 18,327,730 | |||
Morgan Stanley | 154,865 | 14,199,572 | |||
Nasdaq, Inc. | 112,157 | 19,717,201 | |||
State Street Corp. | 165,872 | 13,647,948 | |||
The Goldman Sachs Group, Inc. | 33,209 | 12,603,812 | |||
78,496,263 | |||||
Consumer finance – 1.8% | |||||
American Express Company | 87,871 | 14,518,925 | |||
Diversified financial services – 2.1% | |||||
Berkshire Hathaway, Inc., Class B (A) | 59,819 | 16,624,896 | |||
191,723,555 | |||||
Health care – 13.4% |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Biotechnology – 1.5% | |||||
Gilead Sciences, Inc. | 91,807 | $ | 6,321,830 | ||
Moderna, Inc. (A) | 23,275 | 5,469,160 | |||
11,790,990 | |||||
Health care equipment and supplies – 2.9% | |||||
Danaher Corp. | 56,406 | 15,137,114 | |||
Hologic, Inc. (A) | 121,690 | 8,119,157 | |||
23,256,271 | |||||
Health care providers and services – 6.9% | |||||
Anthem, Inc. | 97,756 | 37,323,243 | |||
HCA Healthcare, Inc. | 30,985 | 6,405,839 | |||
UnitedHealth Group, Inc. | 30,432 | 12,186,190 | |||
55,915,272 | |||||
Pharmaceuticals – 2.1% | |||||
GlaxoSmithKline PLC, ADR | 156,235 | 6,221,278 | |||
Merck & Company, Inc. | 142,218 | 11,060,294 | |||
17,281,572 | |||||
108,244,105 | |||||
Industrials – 12.3% | |||||
Aerospace and defense – 5.8% | |||||
General Dynamics Corp. | 85,901 | 16,171,722 | |||
L3Harris Technologies, Inc. | 36,436 | 7,875,641 | |||
Raytheon Technologies Corp. | 261,785 | 22,332,878 | |||
46,380,241 | |||||
Machinery – 4.2% | |||||
Fortive Corp. | 111,656 | 7,786,889 | |||
Parker-Hannifin Corp. | 85,855 | 26,366,929 | |||
34,153,818 | |||||
Trading companies and distributors – 2.3% | |||||
United Rentals, Inc. (A) | 59,299 | 18,916,974 | |||
99,451,033 | |||||
Information technology – 8.0% | |||||
Electronic equipment, instruments and components – 1.2% | |||||
Vontier Corp. | 301,431 | 9,820,622 | |||
Semiconductors and semiconductor equipment – 1.1% | |||||
Analog Devices, Inc. | 49,175 | 8,465,968 | |||
Software – 4.3% | |||||
Microsoft Corp. | 66,716 | 18,073,364 | |||
Oracle Corp. | 217,958 | 16,965,851 | |||
35,039,215 | |||||
Technology hardware, storage and peripherals – 1.4% | |||||
Samsung Electronics Company, Ltd. | 157,290 | 11,259,782 | |||
64,585,587 | |||||
Materials – 1.0% | |||||
Chemicals – 1.0% | |||||
LyondellBasell Industries NV, Class A | 75,586 | 7,775,532 | |||
Real estate – 2.4% | |||||
Equity real estate investment trusts – 2.4% | |||||
American Tower Corp. | 72,396 | 19,557,055 | |||
TOTAL COMMON STOCKS (Cost $545,721,942) | $ | 787,914,762 |
The accompanying notes are an integral part of the financial statements. | 40 |
Shares or Principal Amount | Value | ||||
SHORT-TERM INVESTMENTS – 2.8% | |||||
Repurchase agreement – 2.8% | |||||
Repurchase Agreement with State Street Corp. dated 6-30-21 at 0.000% to be repurchased at $22,470,000 on 7-1-21, collateralized by $21,247,800 U.S. Treasury Notes, 2.375% due 5-15-27 (valued at $22,919,402) | $ | 22,470,000 | $ | 22,470,000 | |
TOTAL SHORT-TERM INVESTMENTS (Cost $22,470,000) | $ | 22,470,000 | |||
Total Investments (Fundamental Large Cap Value Trust) (Cost $568,191,942) – 100.4% | $ | 810,384,762 | |||
Other assets and liabilities, net – (0.4%) | (3,583,698) | ||||
TOTAL NET ASSETS – 100.0% | $ | 806,801,064 |
Security Abbreviations and Legend | |
ADR | American Depositary Receipt |
(A) | Non-income producing security. |
Shares or Principal Amount | Value | ||||
COMMON STOCKS - 95.9% | |||||
China - 1.1% | |||||
Alibaba Group Holding, Ltd., ADR (A) | 17,039 | $ | 3,864,104 | ||
France - 8.7% | |||||
Capgemini SE | 43,166 | 8,301,387 | |||
Cie Generale des Etablissements Michelin SCA | 47,524 | 7,584,593 | |||
Sanofi | 93,084 | 9,779,625 | |||
TotalEnergies SE | 109,830 | 4,975,485 | |||
30,641,090 | |||||
Germany - 1.3% | |||||
Deutsche Post AG | 70,136 | 4,776,582 | |||
Ireland - 2.0% | |||||
CRH PLC | 139,685 | 7,064,039 | |||
Japan - 4.1% | |||||
FANUC Corp. | 19,471 | 4,669,103 | |||
Mitsubishi Estate Company, Ltd. | 193,469 | 3,127,151 | |||
Sumitomo Mitsui Financial Group, Inc. | 189,600 | 6,535,887 | |||
14,332,141 | |||||
Netherlands - 9.7% | |||||
Akzo Nobel NV | 35,479 | 4,393,031 | |||
ING Groep NV | 507,728 | 6,739,745 | |||
Koninklijke Ahold Delhaize NV | 210,966 | 6,282,462 | |||
Koninklijke Philips NV | 145,391 | 7,216,347 | |||
Stellantis NV | 496,277 | 9,763,429 | |||
34,395,014 | |||||
Switzerland - 4.2% | |||||
Chubb, Ltd. | 32,310 | 5,135,351 | |||
Roche Holding AG | 25,791 | 9,719,032 | |||
14,854,383 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
United Kingdom - 8.3% | |||||
Associated British Foods PLC | 202,791 | $ | 6,225,037 | ||
Ferguson PLC | 40,872 | 5,686,402 | |||
RELX PLC | 273,449 | 7,250,955 | |||
Tesco PLC | 1,672,166 | 5,165,619 | |||
Unilever PLC | 88,233 | 5,155,764 | |||
29,483,777 | |||||
United States - 56.5% | |||||
Alexion Pharmaceuticals, Inc. (A) | 52,923 | 9,722,484 | |||
Alphabet, Inc., Class A (A) | 7,006 | 17,107,181 | |||
Apple, Inc. | 84,624 | 11,590,103 | |||
Arthur J. Gallagher & Company | 48,585 | 6,805,787 | |||
AutoZone, Inc. (A) | 7,383 | 11,017,060 | |||
Bank of America Corp. | 230,168 | 9,489,827 | |||
Comcast Corp., Class A | 157,086 | 8,957,044 | |||
Corteva, Inc. | 158,161 | 7,014,440 | |||
Electronic Arts, Inc. | 30,858 | 4,438,306 | |||
Facebook, Inc., Class A (A) | 37,876 | 13,169,864 | |||
Huntington Bancshares, Inc. | 392,544 | 5,601,603 | |||
Johnson & Johnson | 52,520 | 8,652,145 | |||
Johnson Controls International PLC | 83,282 | 5,715,644 | |||
Kimberly-Clark Corp. | 34,379 | 4,599,223 | |||
Lennar Corp., A Shares | 48,715 | 4,839,835 | |||
Microsoft Corp. | 46,856 | 12,693,290 | |||
Northrop Grumman Corp. | 24,251 | 8,813,541 | |||
Oracle Corp. | 77,658 | 6,044,899 | |||
Philip Morris International, Inc. | 147,177 | 14,586,712 | |||
Stanley Black & Decker, Inc. | 28,666 | 5,876,243 | |||
The Home Depot, Inc. | 14,216 | 4,533,340 | |||
T-Mobile US, Inc. (A) | 36,574 | 5,297,012 | |||
Waste Management, Inc. | 50,517 | 7,077,937 | |||
Wells Fargo & Company | 133,168 | 6,031,179 | |||
199,674,699 | |||||
TOTAL COMMON STOCKS (Cost $273,907,703) | $ | 339,085,829 | |||
PREFERRED SECURITIES - 2.9% | |||||
South Korea - 2.9% | |||||
Samsung Electronics Company, Ltd. | 159,654 | 10,449,367 | |||
TOTAL PREFERRED SECURITIES (Cost $6,281,297) | $ | 10,449,367 | |||
SHORT-TERM INVESTMENTS - 1.3% | |||||
Short-term funds - 1.3% | |||||
Federated Government Obligations Fund, Institutional Class, 0.0100% (B) | 4,524,300 | 4,524,300 | |||
TOTAL SHORT-TERM INVESTMENTS (Cost $4,524,300) | $ | 4,524,300 | |||
Total Investments (Global Equity Trust) (Cost $284,713,300) - 100.1% | $ | 354,059,496 | |||
Other assets and liabilities, net - (0.1%) | (474,138) | ||||
TOTAL NET ASSETS - 100.0% | $ | 353,585,358 |
Security Abbreviations and Legend | |
ADR | American Depositary Receipt |
(A) | Non-income producing security. |
(B) | The rate shown is the annualized seven-day yield as of 6-30-21. |
Contract to buy | Contract to sell | Counterparty (OTC) | Contractual settlement date | Unrealized appreciation | Unrealized depreciation | ||
EUR | 8,692,132 | USD | 10,630,034 | GSI | 7/21/2021 | — | $(319,180) |
The accompanying notes are an integral part of the financial statements. | 41 |
FORWARD FOREIGN CURRENCY CONTRACTS (continued)
Contract to buy | Contract to sell | Counterparty (OTC) | Contractual settlement date | Unrealized appreciation | Unrealized depreciation | ||
USD | 10,591,719 | EUR | 8,692,132 | RBCD | 7/21/2021 | $280,865 | — |
$280,865 | $(319,180) |
Derivatives Currency Abbreviations | |
EUR | Euro |
USD | U.S. Dollar |
Derivatives Abbreviations | |
GSI | Goldman Sachs International |
OTC | Over-the-counter |
RBCD | RBC Dominion Securities, Inc. |
Shares or Principal Amount | Value | ||||
COMMON STOCKS – 98.5% | |||||
Consumer discretionary – 0.2% | |||||
Diversified consumer services – 0.1% | |||||
ATAI Life Sciences NV (A) | 9,726 | $ | 179,931 | ||
Specialty retail – 0.1% | |||||
JAND, Inc., Class A (A)(B)(C) | 14,867 | 364,696 | |||
544,627 | |||||
Consumer staples – 0.0% | |||||
Food products – 0.0% | |||||
Freshpet, Inc. (A) | 200 | 32,592 | |||
Financials – 0.6% | |||||
Capital markets – 0.3% | |||||
BCLS Acquisition Corp., Class A (A) | 12,029 | 126,665 | |||
CM Life Sciences II, Inc. (A) | 10,251 | 137,876 | |||
CM Life Sciences, Inc. (A) | 14,588 | 238,733 | |||
Dynamics Special Purpose Corp., Class A (A) | 18,789 | 186,763 | |||
Eucrates Biomedical Acquisition Corp. (A) | 11,914 | 121,404 | |||
FS Development Corp. II, Class A (A) | 10,438 | 104,380 | |||
Health Sciences Acquisitions Corp. 2 (A) | 13,354 | 136,211 | |||
Helix Acquisition Corp., Class A (A) | 12,247 | 126,512 | |||
1,178,544 | |||||
Insurance – 0.3% | |||||
Bright Health Group, Inc. (A) | 47,020 | 806,863 | |||
Oscar Health, Inc., Class A (A) | 6,001 | 129,022 | |||
935,885 | |||||
2,114,429 | |||||
Health care – 97.7% | |||||
Biotechnology – 34.1% | |||||
AbbVie, Inc. | 51,094 | 5,755,228 | |||
Abcam PLC (A) | 35,266 | 674,393 | |||
ACADIA Pharmaceuticals, Inc. (A) | 26,408 | 644,091 | |||
Acceleron Pharma, Inc. (A) | 26,083 | 3,273,156 | |||
Acerta Pharma BV (A)(B) | 679,277 | 679,277 | |||
ADC Therapeutics SA (A) | 18,726 | 455,978 | |||
Agios Pharmaceuticals, Inc. (A) | 9,938 | 547,683 | |||
Akero Therapeutics, Inc. (A) | 4,936 | 122,462 | |||
Alector, Inc. (A) | 16,204 | 337,529 | |||
Alkermes PLC (A) | 3,287 | 80,597 | |||
Allogene Therapeutics, Inc. (A) | 19,856 | 517,844 | |||
Alnylam Pharmaceuticals, Inc. (A) | 19,267 | 3,266,142 | |||
Amgen, Inc. | 15,508 | 3,780,075 | |||
Amicus Therapeutics, Inc. (A) | 7,300 | 70,372 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Biotechnology (continued) | |||||
Annexon, Inc. (A) | 8,751 | $ | 196,985 | ||
Apellis Pharmaceuticals, Inc. (A) | 27,125 | 1,714,300 | |||
Arcutis Biotherapeutics, Inc. (A) | 5,800 | 158,282 | |||
Ardelyx, Inc. (A) | 22,814 | 172,930 | |||
Argenx SE, ADR (A) | 15,031 | 4,525,383 | |||
Ascendis Pharma A/S, ADR (A) | 13,323 | 1,752,641 | |||
Avidity Biosciences, Inc. (A) | 4,804 | 118,707 | |||
BeiGene, Ltd., ADR (A) | 5,087 | 1,745,808 | |||
Biogen, Inc. (A) | 10,185 | 3,526,760 | |||
BioMarin Pharmaceutical, Inc. (A) | 4,974 | 415,031 | |||
BioNTech SE, ADR (A) | 27,532 | 6,163,864 | |||
Blueprint Medicines Corp. (A) | 12,035 | 1,058,599 | |||
Bridgebio Pharma, Inc. (A) | 9,061 | 552,359 | |||
Burning Rock Biotech, Ltd., ADR (A) | 9,445 | 278,250 | |||
C4 Therapeutics, Inc. (A) | 19,333 | 731,561 | |||
Celldex Therapeutics, Inc. (A) | 6,300 | 210,672 | |||
Centessa Pharmaceuticals PLC, ADR (A) | 18,009 | 399,980 | |||
Cerevel Therapeutics Holdings, Inc. (A) | 11,246 | 288,123 | |||
Chimerix, Inc. (A) | 25,949 | 207,592 | |||
CM Life Sciences III, Inc. (A) | 22,514 | 246,528 | |||
CRISPR Therapeutics AG (A) | 4,952 | 801,679 | |||
Day One Biopharmaceuticals, Inc. (A) | 8,112 | 184,710 | |||
Deciphera Pharmaceuticals, Inc. (A) | 3,307 | 121,069 | |||
Denali Therapeutics, Inc. (A) | 28,647 | 2,247,071 | |||
Design Therapeutics, Inc. (A) | 14,731 | 293,000 | |||
Dicerna Pharmaceuticals, Inc. (A) | 12,778 | 476,875 | |||
Enanta Pharmaceuticals, Inc. (A) | 115 | 5,061 | |||
Exact Sciences Corp. (A) | 27,175 | 3,378,124 | |||
Exelixis, Inc. (A) | 102,725 | 1,871,650 | |||
Fate Therapeutics, Inc. (A) | 18,357 | 1,593,204 | |||
Frontier Acquisition Corp. (A) | 12,607 | 126,070 | |||
F-star Therapeutics, Inc. (A) | 12,596 | 108,200 | |||
Generation Bio Company (A) | 29,400 | 790,860 | |||
Genmab A/S (A) | 3,907 | 1,600,864 | |||
Global Blood Therapeutics, Inc. (A) | 6,332 | 221,747 | |||
Ideaya Biosciences, Inc. (A) | 9,100 | 191,009 | |||
IGM Biosciences, Inc. (A) | 5,782 | 481,062 | |||
Immunocore Holdings PLC, ADR (A) | 5,762 | 225,006 | |||
Incyte Corp. (A) | 45,661 | 3,841,460 | |||
Insmed, Inc. (A) | 41,482 | 1,180,578 | |||
Intellia Therapeutics, Inc. (A) | 10,617 | 1,718,998 | |||
Invitae Corp. (A) | 17,144 | 578,267 | |||
Ionis Pharmaceuticals, Inc. (A) | 23,370 | 932,229 | |||
Iovance Biotherapeutics, Inc. (A) | 26,336 | 685,263 |
The accompanying notes are an integral part of the financial statements. | 42 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Biotechnology (continued) | |||||
IVERIC bio, Inc. (A) | 37,581 | $ | 237,136 | ||
Karuna Therapeutics, Inc. (A) | 7,771 | 885,816 | |||
Kinnate Biopharma, Inc. (A) | 9,888 | 230,193 | |||
Kodiak Sciences, Inc. (A) | 21,111 | 1,963,323 | |||
Kronos Bio, Inc. (A) | 7,495 | 179,505 | |||
Kymera Therapeutics, Inc. (A) | 8,231 | 399,204 | |||
Lyell Immunopharma, Inc. (A) | 15,406 | 250,193 | |||
MaxCyte, Inc. (A) | 11,231 | 139,468 | |||
MeiraGTx Holdings PLC (A) | 10,086 | 156,333 | |||
Mersana Therapeutics, Inc. (A) | 19,088 | 259,215 | |||
Mirati Therapeutics, Inc. (A) | 11,094 | 1,792,014 | |||
Moderna, Inc. (A) | 24,256 | 5,699,675 | |||
Molecular Templates, Inc. (A) | 8,300 | 64,906 | |||
Monte Rosa Therapeutics, Inc. (A) | 9,565 | 217,126 | |||
Morphic Holding, Inc. (A) | 1,883 | 108,065 | |||
Neurocrine Biosciences, Inc. (A) | 10,765 | 1,047,650 | |||
Novavax, Inc. (A) | 3,075 | 652,853 | |||
Nurix Therapeutics, Inc. (A) | 15,120 | 401,134 | |||
Olink Holding AB, ADR (A) | 17,122 | 589,339 | |||
Orion Acquisition Corp. (A) | 12,953 | 128,494 | |||
Precision BioSciences, Inc. (A) | 9,100 | 113,932 | |||
Prelude Therapeutics, Inc. (A) | 6,738 | 192,909 | |||
Progenics Pharmaceuticals, Inc. (A)(C) | 21,900 | 935 | |||
Protagonist Therapeutics, Inc. (A) | 14,560 | 653,453 | |||
Prothena Corp. PLC (A) | 18,560 | 954,170 | |||
PTC Therapeutics, Inc. (A) | 9,074 | 383,558 | |||
Radius Health, Inc. (A) | 11,791 | 215,068 | |||
RAPT Therapeutics, Inc. (A) | 13,742 | 436,858 | |||
Recursion Pharmaceuticals, Inc., Class A (A) | 8,914 | 325,361 | |||
Regeneron Pharmaceuticals, Inc. (A) | 8,356 | 4,667,160 | |||
REGENXBIO, Inc. (A) | 4,203 | 163,287 | |||
Relay Therapeutics, Inc. (A) | 5,385 | 197,037 | |||
Repare Therapeutics, Inc. (A) | 6,100 | 190,198 | |||
Replimune Group, Inc. (A) | 20,181 | 775,354 | |||
Revolution Healthcare Acquisition Corp. (A) | 31,883 | 319,786 | |||
Rocket Pharmaceuticals, Inc. (A) | 18,898 | 836,992 | |||
Sage Therapeutics, Inc. (A) | 7,877 | 447,492 | |||
Sana Biotechnology, Inc. (A) | 7,446 | 146,388 | |||
Sarepta Therapeutics, Inc. (A) | 6,268 | 487,274 | |||
Scholar Rock Holding Corp. (A) | 15,362 | 443,962 | |||
Seagen, Inc. (A) | 17,739 | 2,800,633 | |||
Seres Therapeutics, Inc. (A) | 9,002 | 214,698 | |||
Solid Biosciences, Inc. (A) | 27,976 | 102,392 | |||
SpringWorks Therapeutics, Inc. (A) | 5,481 | 451,689 | |||
Stoke Therapeutics, Inc. (A) | 8,627 | 290,385 | |||
Syndax Pharmaceuticals, Inc. (A) | 6,400 | 109,888 | |||
TG Therapeutics, Inc. (A) | 5,171 | 200,583 | |||
Translate Bio, Inc. (A) | 13,393 | 368,843 | |||
Turning Point Therapeutics, Inc. (A) | 8,840 | 689,697 | |||
Twist Bioscience Corp. (A) | 7,977 | 1,062,935 | |||
Ultragenyx Pharmaceutical, Inc. (A) | 26,048 | 2,483,677 | |||
uniQure NV (A) | 10,600 | 326,480 | |||
Vertex Pharmaceuticals, Inc. (A) | 38,112 | 7,684,523 | |||
Verve Therapeutics, Inc. (A) | 4,213 | 253,833 | |||
Xencor, Inc. (A) | 19,055 | 657,207 | |||
Zai Lab, Ltd., ADR (A) | 6,989 | 1,236,983 | |||
Zeneca, Inc. (A)(C) | 13,151 | 8,088 | |||
Zentalis Pharmaceuticals, Inc. (A) | 14,394 | 765,761 | |||
Zymeworks, Inc. (A) | 6,823 | 236,690 | |||
115,621,039 | |||||
Health care equipment and supplies – 21.0% | |||||
Alcon, Inc. | 10,952 | 768,146 | |||
AtriCure, Inc. (A) | 8,662 | 687,156 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Health care equipment and supplies (continued) | |||||
Becton, Dickinson and Company | 17,277 | $ | 4,201,594 | ||
Danaher Corp. | 43,522 | 11,679,564 | |||
Dentsply Sirona, Inc. | 12,942 | 818,711 | |||
DexCom, Inc. (A) | 5,303 | 2,264,381 | |||
Envista Holdings Corp. (A) | 38,924 | 1,681,906 | |||
Hologic, Inc. (A) | 47,489 | 3,168,466 | |||
ICU Medical, Inc. (A) | 425 | 87,465 | |||
Inari Medical, Inc. (A) | 3,430 | 319,950 | |||
Insulet Corp. (A) | 5,879 | 1,613,844 | |||
Intuitive Surgical, Inc. (A) | 13,392 | 12,315,819 | |||
iRhythm Technologies, Inc. (A) | 4,332 | 287,428 | |||
Lantheus Holdings, Inc. (A) | 18,633 | 515,016 | |||
Nevro Corp. (A) | 6,140 | 1,017,951 | |||
Novocure, Ltd. (A) | 11,724 | 2,600,618 | |||
Ortho Clinical Diagnostics Holdings PLC (A) | 58,896 | 1,260,963 | |||
Outset Medical, Inc. (A) | 18,326 | 915,933 | |||
Penumbra, Inc. (A) | 10,493 | 2,875,712 | |||
Pulmonx Corp. (A) | 3,467 | 152,964 | |||
Quidel Corp. (A) | 9,184 | 1,176,654 | |||
Shockwave Medical, Inc. (A) | 15,493 | 2,939,487 | |||
STERIS PLC | 2,900 | 598,270 | |||
Stryker Corp. | 30,619 | 7,952,673 | |||
Teleflex, Inc. | 6,780 | 2,724,136 | |||
The Cooper Companies, Inc. | 3,858 | 1,528,810 | |||
West Pharmaceutical Services, Inc. | 10,799 | 3,877,921 | |||
Zimmer Biomet Holdings, Inc. | 7,044 | 1,132,816 | |||
71,164,354 | |||||
Health care providers and services – 17.9% | |||||
Accolade, Inc. (A) | 8,870 | 481,730 | |||
Agiliti, Inc. (A) | 28,434 | 621,852 | |||
Agilon Health, Inc. (A) | 17,672 | 716,953 | |||
Alignment Healthcare, Inc. (A) | 46,816 | 1,094,090 | |||
Amedisys, Inc. (A) | 3,532 | 865,093 | |||
Anthem, Inc. | 14,282 | 5,452,868 | |||
Centene Corp. (A) | 82,925 | 6,047,720 | |||
Cigna Corp. | 26,466 | 6,274,295 | |||
Guardant Health, Inc. (A) | 13,940 | 1,731,209 | |||
HCA Healthcare, Inc. | 20,376 | 4,212,534 | |||
Humana, Inc. | 14,022 | 6,207,820 | |||
Innovage Holding Corp. (A) | 7,668 | 163,405 | |||
Molina Healthcare, Inc. (A) | 11,839 | 2,995,977 | |||
Oak Street Health, Inc. (A) | 8,398 | 491,871 | |||
Option Care Health, Inc. (A) | 30,023 | 656,603 | |||
Privia Health Group, Inc. (A) | 11,503 | 510,388 | |||
Surgery Partners, Inc. (A) | 14,903 | 992,838 | |||
The Pennant Group, Inc. (A) | 10,535 | 430,882 | |||
UnitedHealth Group, Inc. | 51,699 | 20,702,343 | |||
60,650,471 | |||||
Health care technology – 2.8% | |||||
Certara, Inc. (A) | 15,731 | 445,659 | |||
Doximity, Inc., Class A (A) | 10,171 | 591,952 | |||
Doximity, Inc., Class B (A)(B) | 63,222 | 3,412,807 | |||
Multiplan Corp. (A) | 32,800 | 312,256 | |||
Phreesia, Inc. (A) | 21,021 | 1,288,587 | |||
Schrodinger, Inc. (A) | 4,954 | 374,572 | |||
Veeva Systems, Inc., Class A (A) | 10,139 | 3,152,722 | |||
9,578,555 | |||||
Life sciences tools and services – 11.3% | |||||
10X Genomics, Inc., Class A (A) | 9,307 | 1,822,497 | |||
Adaptive Biotechnologies Corp. (A) | 21,368 | 873,096 | |||
Agilent Technologies, Inc. | 39,844 | 5,889,342 | |||
Akoya Biosciences, Inc. (A) | 7,645 | 147,854 | |||
Avantor, Inc. (A) | 72,058 | 2,558,780 |
The accompanying notes are an integral part of the financial statements. | 43 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Life sciences tools and services (continued) | |||||
Berkeley Lights, Inc. (A) | 8,531 | $ | 382,274 | ||
Bio-Techne Corp. | 2,300 | 1,035,598 | |||
Bruker Corp. | 34,931 | 2,654,057 | |||
Evotec SE (A) | 18,730 | 849,663 | |||
Lonza Group AG | 1,486 | 1,053,509 | |||
Maravai LifeSciences Holdings, Inc., Class A (A) | 12,522 | 522,543 | |||
Mettler-Toledo International, Inc. (A) | 883 | 1,223,255 | |||
Pacific Biosciences of California, Inc. (A) | 51,594 | 1,804,242 | |||
Quanterix Corp. (A) | 13,174 | 772,787 | |||
Quantum-Si, Inc. (A) | 31,200 | 382,512 | |||
Repligen Corp. (A) | 2,042 | 407,624 | |||
Seer, Inc. (A) | 49,727 | 1,630,051 | |||
Thermo Fisher Scientific, Inc. | 25,077 | 12,650,594 | |||
Waters Corp. (A) | 1,000 | 345,610 | |||
Wuxi Biologics Cayman, Inc. (A)(D) | 57,500 | 1,052,841 | |||
38,058,729 | |||||
Pharmaceuticals – 10.6% | |||||
Arvinas, Inc. (A) | 11,123 | 856,471 | |||
AstraZeneca PLC, ADR | 93,760 | 5,616,224 | |||
Atea Pharmaceuticals, Inc. (A) | 20,887 | 448,653 | |||
Athira Pharma, Inc. (A) | 11,226 | 114,954 | |||
Axsome Therapeutics, Inc. (A) | 7,821 | 527,605 | |||
Cara Therapeutics, Inc. (A) | 9,133 | 130,328 | |||
Catalent, Inc. (A) | 14,481 | 1,565,686 | |||
Eisai Company, Ltd. | 8,900 | 874,667 | |||
Elanco Animal Health, Inc. (A) | 19,393 | 672,743 | |||
Eli Lilly & Company | 51,965 | 11,927,007 | |||
Longboard Pharmaceuticals, Inc. (A) | 9,824 | 89,595 | |||
Merck & Company, Inc. | 62,313 | 4,846,082 | |||
Merck KGaA | 8,432 | 1,617,900 | |||
NGM Biopharmaceuticals, Inc. (A) | 6,500 | 128,180 | |||
Pfizer, Inc. | 28,517 | 1,116,726 | |||
Pliant Therapeutics, Inc. (A) | 3,471 | 101,076 | |||
Reata Pharmaceuticals, Inc., Class A (A) | 4,624 | 654,435 | |||
Roche Holding AG | 8,260 | 3,112,681 | |||
Royalty Pharma PLC, Class A | 31,749 | 1,301,392 | |||
35,702,405 | |||||
330,775,553 | |||||
TOTAL COMMON STOCKS (Cost $206,796,964) | $ | 333,467,201 | |||
PREFERRED SECURITIES – 0.8% | |||||
Consumer discretionary – 0.2% | |||||
Specialty retail – 0.2% | |||||
JAND, Inc., Series D (A)(B)(C) | 33,198 | 814,367 | |||
Health care – 0.6% | |||||
Health care equipment and supplies – 0.6% | |||||
Sartorius AG | 3,704 | 1,927,961 | |||
TOTAL PREFERRED SECURITIES (Cost $933,774) | $ | 2,742,328 | |||
WARRANTS – 0.0% | |||||
Cerevel Therapeutics Holdings, Inc. (Expiration Date: 10-27-25; Strike Price: $11.50) (A) | 3,748 | 53,446 | |||
TOTAL WARRANTS (Cost $7,214) | $ | 53,446 |
Shares or Principal Amount | Value | ||||
SHORT-TERM INVESTMENTS – 0.7% | |||||
Short-term funds – 0.7% | |||||
State Street Institutional U.S. Government Money Market Fund, Premier Class, 0.0250% (E) | 591,841 | $ | 591,841 | ||
T. Rowe Price Government Reserve Fund, 0.0295% (E) | 1,719,088 | 1,719,088 | |||
TOTAL SHORT-TERM INVESTMENTS (Cost $2,310,929) | $ | 2,310,929 | |||
Total Investments (Health Sciences Trust) (Cost $210,048,881) – 100.0% | $ | 338,573,904 | |||
Other assets and liabilities, net – 0.0% | 162,546 | ||||
TOTAL NET ASSETS – 100.0% | $ | 338,736,450 |
Security Abbreviations and Legend | |
ADR | American Depositary Receipt |
(A) | Non-income producing security. |
(B) | Restricted security as to resale, excluding 144A securities. For more information on this security refer to the Notes to financial statements. |
(C) | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. Refer to Note 2 to the financial statements. |
(D) | 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. |
(E) | The rate shown is the annualized seven-day yield as of 6-30-21. |
Shares or Principal Amount | Value | ||||
COMMON STOCKS - 96.3% | |||||
Argentina - 0.0% | |||||
YPF SA, ADR (A) | 6,300 | $ | 29,484 | ||
Australia - 4.5% | |||||
Afterpay, Ltd. (A) | 7,435 | 659,933 | |||
AGL Energy, Ltd. | 24,640 | 151,384 | |||
Ampol, Ltd. | 9,411 | 199,190 | |||
APA Group | 39,169 | 261,361 | |||
Aristocrat Leisure, Ltd. | 20,065 | 647,750 | |||
ASX, Ltd. | 6,626 | 386,268 | |||
Aurizon Holdings, Ltd. | 61,567 | 171,486 | |||
AusNet Services, Ltd. | 86,871 | 113,859 | |||
Australia & New Zealand Banking Group, Ltd. | 96,280 | 2,032,273 | |||
BHP Group PLC | 71,227 | 2,107,673 | |||
BHP Group, Ltd. | 97,792 | 3,557,709 | |||
BlueScope Steel, Ltd. | 18,252 | 299,913 | |||
Brambles, Ltd. | 50,212 | 430,918 | |||
Cochlear, Ltd. | 2,361 | 445,444 | |||
Coles Group, Ltd. | 45,471 | 582,473 | |||
Commonwealth Bank of Australia | 58,894 | 4,410,146 | |||
Computershare, Ltd. | 20,019 | 253,725 | |||
Crown Resorts, Ltd. (A) | 14,067 | 125,562 | |||
CSL, Ltd. | 15,105 | 3,230,490 | |||
Dexus | 39,487 | 314,780 | |||
Domino's Pizza Enterprises, Ltd. | 1,999 | 180,766 | |||
Endeavour Group, Ltd. (A) | 43,228 | 203,915 | |||
Evolution Mining, Ltd. | 56,369 | 190,456 | |||
Fortescue Metals Group, Ltd. | 58,162 | 1,016,029 | |||
Goodman Group | 57,212 | 905,420 | |||
Insurance Australia Group, Ltd. | 88,042 | 340,411 | |||
Lendlease Corp., Ltd. | 25,385 | 218,127 |
The accompanying notes are an integral part of the financial statements. | 44 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Australia (continued) | |||||
Macquarie Group, Ltd. | 11,522 | $ | 1,349,937 | ||
Magellan Financial Group, Ltd. | 4,432 | 178,998 | |||
Medibank Private, Ltd. | 99,625 | 236,194 | |||
Mirvac Group | 141,329 | 308,148 | |||
National Australia Bank, Ltd. | 110,955 | 2,181,248 | |||
Newcrest Mining, Ltd. | 28,639 | 543,105 | |||
Northern Star Resources, Ltd. | 39,419 | 289,499 | |||
Oil Search, Ltd. | 73,917 | 211,174 | |||
Orica, Ltd. | 15,709 | 156,231 | |||
Origin Energy, Ltd. | 58,812 | 198,621 | |||
Qantas Airways, Ltd. (A) | 30,851 | 107,701 | |||
QBE Insurance Group, Ltd. | 49,235 | 397,306 | |||
Ramsay Health Care, Ltd. | 6,659 | 314,177 | |||
REA Group, Ltd. | 1,952 | 247,337 | |||
Reece, Ltd. | 9,597 | 169,951 | |||
Rio Tinto, Ltd. | 12,705 | 1,204,507 | |||
Santos, Ltd. | 64,049 | 340,198 | |||
Scentre Group | 177,637 | 363,503 | |||
SEEK, Ltd. | 11,910 | 296,071 | |||
Sonic Healthcare, Ltd. | 16,282 | 469,174 | |||
South32, Ltd. | 112,851 | 247,481 | |||
South32, Ltd. (London Stock Exchange) | 48,980 | 107,947 | |||
Stockland | 87,409 | 304,381 | |||
Suncorp Group, Ltd. | 43,155 | 359,278 | |||
Sydney Airport (A) | 47,614 | 206,598 | |||
Tabcorp Holdings, Ltd. | 82,609 | 320,519 | |||
Telstra Corp., Ltd. | 142,464 | 401,804 | |||
The GPT Group | 71,628 | 262,026 | |||
Transurban Group | 93,607 | 998,328 | |||
Treasury Wine Estates, Ltd. | 26,341 | 230,650 | |||
Vicinity Centres | 148,057 | 170,704 | |||
Washington H. Soul Pattinson & Company, Ltd. (B) | 3,863 | 97,690 | |||
Wesfarmers, Ltd. | 37,640 | 1,668,699 | |||
Westpac Banking Corp. | 121,785 | 2,356,763 | |||
WiseTech Global, Ltd. | 5,291 | 126,437 | |||
Woodside Petroleum, Ltd. | 32,383 | 539,233 | |||
Woolworths Group, Ltd. | 43,228 | 1,237,033 | |||
42,636,112 | |||||
Austria - 0.1% | |||||
Erste Group Bank AG | 11,010 | 404,742 | |||
OMV AG | 5,543 | 316,325 | |||
Raiffeisen Bank International AG | 4,926 | 111,813 | |||
Verbund AG | 2,442 | 224,959 | |||
voestalpine AG | 4,357 | 177,719 | |||
1,235,558 | |||||
Belgium - 0.6% | |||||
Ageas SA/NV | 6,383 | 354,710 | |||
Anheuser-Busch InBev SA/NV | 26,526 | 1,912,224 | |||
Elia Group SA/NV | 1,076 | 113,579 | |||
Etablissements Franz Colruyt NV | 2,769 | 154,923 | |||
Groupe Bruxelles Lambert SA | 3,809 | 426,498 | |||
KBC Group NV | 8,597 | 656,391 | |||
Proximus SADP | 5,996 | 115,897 | |||
Sofina SA | 537 | 232,013 | |||
Solvay SA | 2,881 | 366,703 | |||
UCB SA | 4,152 | 434,845 | |||
Umicore SA | 6,530 | 399,492 | |||
5,167,275 | |||||
Brazil - 1.1% | |||||
Ambev SA | 157,730 | 541,327 | |||
Atacadao SA | 13,900 | 58,688 | |||
B2W Cia Digital (A) | 8,038 | 107,081 | |||
B3 SA - Brasil Bolsa Balcao | 206,421 | 698,058 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Brazil (continued) | |||||
Banco Bradesco SA | 46,660 | $ | 205,071 | ||
Banco BTG Pactual SA | 638 | 8,864 | |||
Banco BTG Pactual SA, Unit | 8,663 | 212,595 | |||
Banco do Brasil SA | 28,713 | 185,482 | |||
Banco Inter SA | 423 | 2,181 | |||
Banco Inter SA, Unit | 3,400 | 53,176 | |||
Banco Santander Brasil SA | 14,000 | 113,997 | |||
BB Seguridade Participacoes SA | 24,400 | 113,322 | |||
BRF SA (A) | 19,720 | 108,357 | |||
CCR SA | 40,100 | 108,437 | |||
Centrais Eletricas Brasileiras SA | 9,400 | 81,587 | |||
Centrais Eletricas Brasileiras SA, ADR | 1,429 | 12,489 | |||
Cia Brasileira de Distribuicao | 4,938 | 38,382 | |||
Cia Brasileira de Distribuicao, ADR (B) | 628 | 4,892 | |||
Cia de Saneamento Basico do Estado de Sao Paulo | 11,270 | 82,886 | |||
Cia Siderurgica Nacional SA, ADR | 11,800 | 103,604 | |||
Cosan SA | 22,444 | 108,118 | |||
Energisa SA | 6,100 | 57,151 | |||
Engie Brasil Energia SA | 7,275 | 57,263 | |||
Equatorial Energia SA | 30,700 | 153,074 | |||
Hypera SA | 10,908 | 75,596 | |||
JBS SA | 34,073 | 199,349 | |||
Klabin SA (A) | 24,000 | 127,098 | |||
Localiza Rent a Car SA | 20,227 | 260,269 | |||
Lojas Renner SA | 29,260 | 260,197 | |||
Magazine Luiza SA | 92,108 | 391,669 | |||
Natura & Company Holding SA (A) | 26,929 | 307,200 | |||
Notre Dame Intermedica Participacoes SA | 17,255 | 294,637 | |||
Petrobras Distribuidora SA | 25,000 | 134,103 | |||
Petroleo Brasileiro SA | 124,329 | 757,153 | |||
Raia Drogasil SA | 35,900 | 178,352 | |||
Rumo SA (A) | 45,451 | 174,994 | |||
Sendas Distribuidora SA | 4,938 | 85,917 | |||
Sendas Distribuidora SA, ADR | 628 | 10,739 | |||
Suzano SA (A) | 22,263 | 267,713 | |||
Suzano SA, ADR (A) | 3,164 | 38,095 | |||
Telefonica Brasil SA | 9,652 | 81,504 | |||
Telefonica Brasil SA, ADR | 6,017 | 51,145 | |||
TIM SA | 28,020 | 64,954 | |||
TOTVS SA | 16,600 | 125,656 | |||
Ultrapar Participacoes SA | 25,400 | 93,913 | |||
Vale SA | 130,797 | 2,978,158 | |||
Via Varejo SA (A) | 44,400 | 140,954 | |||
WEG SA | 56,116 | 380,101 | |||
10,695,548 | |||||
Canada - 7.0% | |||||
Agnico Eagle Mines, Ltd. | 8,481 | 512,856 | |||
Air Canada (A) | 5,400 | 111,084 | |||
Algonquin Power & Utilities Corp. (B) | 20,241 | 301,590 | |||
Alimentation Couche-Tard, Inc., Class B | 29,500 | 1,083,999 | |||
AltaGas, Ltd. | 11,500 | 241,392 | |||
Atco, Ltd., Class I | 3,400 | 120,574 | |||
B2Gold Corp. | 36,100 | 151,436 | |||
Ballard Power Systems, Inc. (A) | 7,500 | 136,012 | |||
Bank of Montreal | 21,498 | 2,203,562 | |||
Barrick Gold Corp. | 40,477 | 837,230 | |||
Barrick Gold Corp. (London Stock Exchange) | 20,657 | 428,194 | |||
BCE, Inc. | 5,524 | 272,412 | |||
BlackBerry, Ltd. (A) | 21,000 | 256,655 | |||
Brookfield Asset Management Reinsurance Partners, Ltd., Class A (A) | 299 | 15,805 | |||
Brookfield Asset Management, Inc., Class A | 43,372 | 2,212,686 |
The accompanying notes are an integral part of the financial statements. | 45 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Canada (continued) | |||||
CAE, Inc. (A) | 10,400 | $ | 320,323 | ||
Cameco Corp. | 13,200 | 253,011 | |||
Canadian Apartment Properties REIT | 2,900 | 135,970 | |||
Canadian Imperial Bank of Commerce | 15,200 | 1,730,294 | |||
Canadian National Railway Company | 24,000 | 2,532,236 | |||
Canadian Natural Resources, Ltd. | 40,360 | 1,465,150 | |||
Canadian Pacific Railway, Ltd. | 22,100 | 1,699,397 | |||
Canadian Tire Corp., Ltd., Class A | 2,100 | 332,314 | |||
Canadian Utilities, Ltd., Class A | 4,600 | 127,654 | |||
Canopy Growth Corp. (A)(B) | 8,000 | 193,482 | |||
CCL Industries, Inc., Class B | 5,400 | 297,401 | |||
Cenovus Energy, Inc. | 43,800 | 419,061 | |||
CGI, Inc. (A) | 7,900 | 716,264 | |||
Constellation Software, Inc. | 700 | 1,060,170 | |||
Dollarama, Inc. | 10,100 | 462,306 | |||
Emera, Inc. | 8,900 | 403,788 | |||
Empire Company, Ltd., Class A | 6,200 | 195,563 | |||
Enbridge, Inc. | 68,500 | 2,742,542 | |||
Fairfax Financial Holdings, Ltd. | 900 | 394,676 | |||
First Quantum Minerals, Ltd. | 20,154 | 464,505 | |||
FirstService Corp. | 1,500 | 257,273 | |||
Fortis, Inc. | 16,245 | 719,073 | |||
Franco-Nevada Corp. | 6,410 | 930,215 | |||
George Weston, Ltd. | 2,799 | 266,781 | |||
GFL Environmental, Inc. | 6,400 | 204,556 | |||
Gildan Activewear, Inc. | 7,300 | 269,363 | |||
Great-West Lifeco, Inc. | 9,900 | 294,061 | |||
Hydro One, Ltd. (C) | 11,900 | 287,612 | |||
iA Financial Corp., Inc. | 3,600 | 196,002 | |||
IGM Financial, Inc. | 3,000 | 105,905 | |||
Imperial Oil, Ltd. | 8,630 | 263,021 | |||
Intact Financial Corp. | 5,300 | 720,049 | |||
Inter Pipeline, Ltd. | 15,900 | 258,458 | |||
Ivanhoe Mines, Ltd., Class A (A) | 19,900 | 143,679 | |||
Keyera Corp. | 8,500 | 228,408 | |||
Kinross Gold Corp. | 45,229 | 286,786 | |||
Kirkland Lake Gold, Ltd. | 8,700 | 335,269 | |||
Lightspeed POS, Inc. (A) | 3,200 | 267,828 | |||
Loblaw Companies, Ltd. | 6,140 | 377,880 | |||
Lundin Mining Corp. | 22,100 | 199,321 | |||
Magna International, Inc. | 9,800 | 907,346 | |||
Manulife Financial Corp. (D) | 66,100 | 1,301,097 | |||
Metro, Inc. | 8,257 | 395,864 | |||
National Bank of Canada | 11,500 | �� | 860,645 | ||
Northland Power, Inc. | 8,100 | 276,338 | |||
Nutrien, Ltd. | 19,490 | 1,180,941 | |||
Nuvei Corp. (A) | 1,900 | 155,513 | |||
Onex Corp. | 2,700 | 196,053 | |||
Open Text Corp. | 9,700 | 492,590 | |||
Pan American Silver Corp. | 7,300 | 208,470 | |||
Parkland Corp. | 5,400 | 174,511 | |||
Pembina Pipeline Corp. | 18,998 | 603,688 | |||
Power Corp. of Canada | 19,412 | 613,555 | |||
Quebecor, Inc., Class B | 6,400 | 170,687 | |||
Restaurant Brands International, Inc. (B) | 10,046 | 647,285 | |||
RioCan Real Estate Investment Trust (B) | 6,300 | 112,217 | |||
Ritchie Brothers Auctioneers, Inc. | 3,800 | 225,284 | |||
Rogers Communications, Inc., Class B | 12,200 | 648,580 | |||
Royal Bank of Canada | 47,300 | 4,792,197 | |||
Saputo, Inc. | 9,100 | 271,400 | |||
Shaw Communications, Inc., Class B | 16,926 | 490,330 | |||
Shopify, Inc., Class A (A) | 3,700 | 5,411,116 | |||
Sun Life Financial, Inc. | 20,000 | 1,031,300 | |||
Suncor Energy, Inc. | 52,235 | 1,251,095 | |||
TC Energy Corp. | 31,197 | 1,543,743 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Canada (continued) | |||||
Teck Resources, Ltd., Class B | 16,161 | $ | 372,214 | ||
TELUS Corp. (B) | 14,193 | 318,301 | |||
The Bank of Nova Scotia | 40,200 | 2,614,492 | |||
The Toronto-Dominion Bank | 60,272 | 4,223,805 | |||
Thomson Reuters Corp. | 5,954 | 591,413 | |||
TMX Group, Ltd. | 2,000 | 211,262 | |||
Toromont Industries, Ltd. | 2,800 | 243,950 | |||
West Fraser Timber Company, Ltd. | 3,100 | 222,547 | |||
Wheaton Precious Metals Corp. | 15,076 | 664,531 | |||
WSP Global, Inc. | 3,800 | 443,579 | |||
Yamana Gold, Inc. | 33,100 | 139,385 | |||
65,450,458 | |||||
Chile - 0.1% | |||||
Antofagasta PLC | 13,250 | 263,487 | |||
Banco Santander Chile, ADR | 5,508 | 109,444 | |||
Cencosud SA | 61,383 | 122,124 | |||
Enel Americas SA, ADR | 14,968 | 108,069 | |||
Enel Chile SA, ADR (B) | 18,222 | 53,755 | |||
Sociedad Quimica y Minera de Chile SA, ADR | 4,430 | 209,672 | |||
866,551 | |||||
China - 10.2% | |||||
3SBio, Inc. (A)(C) | 40,500 | 50,082 | |||
51job, Inc., ADR (A) | 900 | 69,993 | |||
AAC Technologies Holdings, Inc. | 27,342 | 204,558 | |||
AECC Aviation Power Company, Ltd., Class A | 3,600 | 29,640 | |||
Agile Group Holdings, Ltd. | 54,000 | 69,980 | |||
Agricultural Bank of China, Ltd., Class A | 165,700 | 77,693 | |||
Agricultural Bank of China, Ltd., H Shares | 934,000 | 324,103 | |||
Aier Eye Hospital Group Company, Ltd., Class A | 11,596 | 127,122 | |||
Air China, Ltd., H Shares (A) | 84,534 | 62,158 | |||
Airtac International Group | 4,000 | 154,080 | |||
Alibaba Group Holding, Ltd., ADR (A) | 63,000 | 14,287,140 | |||
A-Living Smart City Services Company, Ltd. (C) | 15,500 | 76,935 | |||
Aluminum Corp. of China, Ltd., A Shares (A) | 29,100 | 23,878 | |||
Aluminum Corp. of China, Ltd., H Shares (A) | 131,220 | 77,796 | |||
Anhui Conch Cement Company, Ltd., Class A | 8,900 | 56,520 | |||
Anhui Conch Cement Company, Ltd., H Shares | 44,290 | 234,767 | |||
Anhui Gujing Distillery Company, Ltd., B Shares | 3,600 | 49,843 | |||
Anhui Gujing Distillery Company, Ltd., Class A | 900 | 33,341 | |||
ANTA Sports Products, Ltd. | 37,000 | 868,417 | |||
Autohome, Inc., ADR | 2,100 | 134,316 | |||
AVIC Industry-Finance Holdings Company, Ltd., Class A | 20,000 | 11,977 | |||
AVIC Jonhon Optronic Technology Company, Ltd., Class A | 2,300 | 28,119 | |||
AVIC Xi'an Aircraft Industry Group Company, Ltd., Class A | 6,200 | 25,245 | |||
AviChina Industry & Technology Company, Ltd., H Shares | 72,000 | 47,655 | |||
Baidu, Inc., ADR (A) | 9,000 | 1,835,100 | |||
Bank of Beijing Company, Ltd., Class A | 47,000 | 35,423 | |||
Bank of China, Ltd., Class A | 78,100 | 37,225 | |||
Bank of China, Ltd., H Shares | 2,682,563 | 963,208 | |||
Bank of Communications Company, Ltd., Class A | 87,300 | 66,195 |
The accompanying notes are an integral part of the financial statements. | 46 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
China (continued) | |||||
Bank of Communications Company, Ltd., H Shares | 292,527 | $ | 196,499 | ||
Bank of Hangzhou Company, Ltd., Class A | 11,400 | 26,025 | |||
Bank of Jiangsu Company, Ltd., Class A | 33,410 | 36,726 | |||
Bank of Nanjing Company, Ltd., Class A | 13,600 | 22,142 | |||
Bank of Ningbo Company, Ltd., Class A | 12,500 | 75,352 | |||
Bank of Shanghai Company, Ltd., Class A | 31,610 | 40,107 | |||
Baoshan Iron & Steel Company, Ltd., Class A | 41,300 | 48,814 | |||
Baozun, Inc., ADR (A) | 1,300 | 46,072 | |||
BeiGene, Ltd., ADR (A) | 1,500 | 514,785 | |||
Beijing Capital International Airport Company, Ltd., H Shares (A) | 52,789 | 35,058 | |||
Beijing Shunxin Agriculture Company, Ltd., Class A | 1,700 | 11,097 | |||
Beijing Yuanliu Hongyuan Electronic Technology Company, Ltd., Class A | 6,700 | 132,706 | |||
Bilibili, Inc., ADR (A) | 4,800 | 584,832 | |||
BOE Technology Group Company, Ltd., Class A | 75,300 | 72,694 | |||
BYD Company, Ltd., Class A | 4,000 | 154,792 | |||
BYD Company, Ltd., H Shares | 26,105 | 783,575 | |||
BYD Electronic International Company, Ltd. (B) | 22,500 | 147,895 | |||
Cansino Biologics, Inc., Class A (A) | 254 | 30,497 | |||
CanSino Biologics, Inc., H Shares (A)(C) | 2,400 | 127,474 | |||
CGN Power Company, Ltd., H Shares (C) | 317,000 | 70,598 | |||
Changchun High & New Technology Industry Group, Inc., Class A | 800 | 47,864 | |||
China Aoyuan Group, Ltd. | 64,000 | 54,051 | |||
China Bohai Bank Company, Ltd., H Shares (C) | 83,000 | 28,731 | |||
China Cinda Asset Management Company, Ltd., H Shares | 304,800 | 58,069 | |||
China CITIC Bank Corp., Ltd., H Shares | 310,800 | 147,151 | |||
China Communications Services Corp., Ltd., H Shares | 129,600 | 64,717 | |||
China Conch Venture Holdings, Ltd. | 57,900 | 243,618 | |||
China Construction Bank Corp., Class A | 15,400 | 15,849 | |||
China Construction Bank Corp., H Shares | 3,209,914 | 2,518,831 | |||
China East Education Holdings, Ltd. (A)(C) | 18,500 | 29,049 | |||
China Eastern Airlines Corp., Ltd., Class A | 15,800 | 12,425 | |||
China Everbright Bank Company, Ltd., Class A (A) | 88,600 | 51,826 | |||
China Everbright Bank Company, Ltd., H Shares | 120,000 | 48,990 | |||
China Evergrande Group (B) | 65,959 | 85,785 | |||
China Feihe, Ltd. (C) | 39,000 | 84,085 | |||
China Fortune Land Development Company, Ltd., Class A | 8,710 | 7,058 | |||
China Galaxy Securities Company, Ltd., H Shares | 129,500 | 77,159 | |||
China Greatwall Technology Group Company, Ltd., Class A | 6,500 | 14,665 | |||
China Hongqiao Group, Ltd. | 57,000 | 77,184 | |||
China Huarong Asset Management Company, Ltd., H Shares (C)(E) | 351,700 | 27,722 | |||
China Huishan Dairy Holdings Company, Ltd. (A)(E) | 225,000 | 0 | |||
China International Capital Corp., Ltd., H Shares (C) | 36,800 | 98,963 | |||
China Lesso Group Holdings, Ltd. | 36,000 | 88,872 | |||
China Life Insurance Company, Ltd., Class A | 4,500 | 23,576 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
China (continued) | |||||
China Life Insurance Company, Ltd., H Shares | 248,624 | $ | 492,927 | ||
China Literature, Ltd. (A)(C) | 10,200 | 113,589 | |||
China Longyuan Power Group Corp., Ltd., H Shares | 99,000 | 170,449 | |||
China Medical System Holdings, Ltd. | 48,300 | 126,953 | |||
China Meidong Auto Holdings, Ltd. | 18,000 | 98,061 | |||
China Merchants Bank Company, Ltd., Class A | 45,900 | 384,708 | |||
China Merchants Bank Company, Ltd., H Shares | 131,823 | 1,122,894 | |||
China Merchants Securities Company, Ltd., Class A | 16,510 | 48,558 | |||
China Merchants Shekou Industrial Zone Holdings Company, Ltd., Class A | 17,600 | 29,824 | |||
China Minsheng Banking Corp., Ltd., Class A | 78,880 | 53,821 | |||
China Minsheng Banking Corp., Ltd., H Shares (B) | 194,496 | 93,108 | |||
China Molybdenum Company, Ltd., Class A (A) | 28,400 | 22,641 | |||
China Molybdenum Company, Ltd., H Shares | 129,000 | 76,441 | |||
China National Building Material Company, Ltd., H Shares | 138,000 | 162,045 | |||
China National Nuclear Power Company, Ltd., Class A | 20,900 | 16,369 | |||
China Oilfield Services, Ltd., H Shares | 56,000 | 50,167 | |||
China Pacific Insurance Group Company, Ltd., Class A | 14,000 | 62,694 | |||
China Pacific Insurance Group Company, Ltd., H Shares | 94,100 | 295,593 | |||
China Petroleum & Chemical Corp., Class A | 56,700 | 38,278 | |||
China Petroleum & Chemical Corp., H Shares | 819,361 | 416,448 | |||
China Railway Group, Ltd., Class A | 30,000 | 24,325 | |||
China Railway Group, Ltd., H Shares | 126,000 | 65,681 | |||
China Resources Pharmaceutical Group, Ltd. (C) | 66,000 | 41,102 | |||
China Shenhua Energy Company, Ltd., Class A (A) | 9,800 | 29,583 | |||
China Shenhua Energy Company, Ltd., H Shares | 113,500 | 222,324 | |||
China Southern Airlines Company, Ltd., Class A (A) | 13,800 | 12,861 | |||
China Southern Airlines Company, Ltd., H Shares (A) | 64,000 | 39,721 | |||
China State Construction Engineering Corp., Ltd., Class A | 93,340 | 67,165 | |||
China Tourism Group Duty Free Corp., Ltd., Class A | 4,300 | 199,449 | |||
China Tower Corp., Ltd., H Shares (C) | 1,496,000 | 206,005 | |||
China Vanke Company, Ltd., Class A | 21,600 | 79,512 | |||
China Vanke Company, Ltd., H Shares | 56,900 | 177,842 | |||
China Yangtze Power Company, Ltd., Class A | 48,900 | 156,209 | |||
Chongqing Rural Commercial Bank Company, Ltd., H Shares | 88,000 | 34,776 | |||
Chongqing Zhifei Biological Products Company, Ltd., Class A | 3,100 | 89,447 | |||
CIFI Holdings Group Company, Ltd. | 133,487 | 104,123 | |||
CITIC Securities Company, Ltd., Class A | 21,900 | 84,462 | |||
CITIC Securities Company, Ltd., H Shares | 75,500 | 189,177 | |||
CITIC, Ltd. | 207,967 | 223,937 |
The accompanying notes are an integral part of the financial statements. | 47 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
China (continued) | |||||
Contemporary Amperex Technology Company, Ltd., Class A | 4,900 | $ | 404,239 | ||
COSCO SHIPPING Holdings Company, Ltd., H Shares (A)(B) | 92,000 | 231,184 | |||
Country Garden Holdings Company, Ltd. | 260,777 | 291,880 | |||
Country Garden Services Holdings Company, Ltd. | 47,000 | 507,130 | |||
CSC Financial Company, Ltd., Class A (A) | 6,200 | 30,118 | |||
CSPC Pharmaceutical Group, Ltd. | 303,120 | 437,843 | |||
Dali Foods Group Company, Ltd. (C) | 73,000 | 43,504 | |||
Daqo New Energy Corp., ADR (A) | 2,500 | 162,550 | |||
Dongfeng Motor Group Company, Ltd., H Shares | 91,220 | 81,882 | |||
East Money Information Company, Ltd., Class A | 21,456 | 108,640 | |||
Ecovacs Robotics Company, Ltd., Class A | 2,300 | 81,112 | |||
ENN Energy Holdings, Ltd. | 26,600 | 505,553 | |||
Eve Energy Company, Ltd., Class A | 4,181 | 67,132 | |||
Ever Sunshine Lifestyle Services Group, Ltd. | 22,000 | 54,619 | |||
Everbright Securities Company, Ltd., Class A | 8,700 | 24,080 | |||
Flat Glass Group Company, Ltd., H Shares (B) | 23,000 | 94,721 | |||
Focus Media Information Technology Company, Ltd., Class A | 32,700 | 47,548 | |||
Foshan Haitian Flavouring & Food Company, Ltd., Class A | 7,800 | 155,484 | |||
Fosun International, Ltd. | 85,000 | 122,169 | |||
Founder Securities Company, Ltd., Class A (A) | 13,200 | 19,106 | |||
Foxconn Industrial Internet Company, Ltd., Class A (A) | 6,400 | 12,285 | |||
Fuyao Glass Industry Group Company, Ltd., Class A | 4,500 | 38,838 | |||
Fuyao Glass Industry Group Company, Ltd., H Shares (C) | 16,800 | 118,271 | |||
GCL System Integration Technology Company, Ltd., Class A (A) | 60,900 | 32,764 | |||
GDS Holdings, Ltd., ADR (A) | 2,100 | 164,829 | |||
Gemdale Corp., Class A | 7,300 | 11,572 | |||
Genscript Biotech Corp. (A) | 28,000 | 122,134 | |||
GF Securities Company, Ltd., Class A | 13,200 | 30,912 | |||
GF Securities Company, Ltd., H Shares | 47,800 | 61,875 | |||
Gigadevice Semiconductor Beijing, Inc., Class A | 1,372 | 39,837 | |||
GoerTek, Inc., Class A | 5,200 | 34,354 | |||
GOME Retail Holdings, Ltd. (A) | 386,127 | 49,541 | |||
Great Wall Motor Company, Ltd., H Shares | 104,500 | 336,755 | |||
Greenland Holdings Corp., Ltd., Class A | 13,100 | 11,052 | |||
Greentown China Holdings, Ltd. | 29,000 | 44,746 | |||
Greentown Service Group Company, Ltd. | 48,000 | 74,614 | |||
GSX Techedu, Inc., ADR (A)(B) | 2,700 | 39,879 | |||
Guangdong Haid Group Company, Ltd., Class A (A) | 3,500 | 44,159 | |||
Guangzhou Automobile Group Company, Ltd., H Shares | 100,310 | 90,034 | |||
Guangzhou Baiyunshan Pharmaceutical Holdings Company, Ltd., Class A | 2,300 | 12,047 | |||
Guangzhou R&F Properties Company, Ltd., H Shares | 43,600 | 49,794 | |||
Guosen Securities Company, Ltd., Class A | 6,600 | 10,974 | |||
Guotai Junan Securities Company, Ltd., Class A | 16,700 | 44,274 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
China (continued) | |||||
Haidilao International Holding, Ltd. (C) | 26,000 | $ | 136,908 | ||
Haier Smart Home Company, Ltd., Class A | 13,600 | 54,542 | |||
Haier Smart Home Company, Ltd., H Shares (A) | 65,400 | 228,088 | |||
Haitian International Holdings, Ltd. | 21,000 | 70,326 | |||
Haitong Securities Company, Ltd., Class A | 18,000 | 32,010 | |||
Haitong Securities Company, Ltd., H Shares | 113,200 | 99,126 | |||
Hangzhou First Applied Material Company, Ltd., Class A | 2,800 | 45,555 | |||
Hangzhou Silan Microelectronics Company, Ltd., Class A | 34,200 | 297,910 | |||
Hangzhou Tigermed Consulting Company, Ltd., A Shares | 1,700 | 50,750 | |||
Hangzhou Tigermed Consulting Company, Ltd., H Shares (C) | 4,100 | 96,092 | |||
Hansoh Pharmaceutical Group Company, Ltd. (C) | 40,000 | 174,786 | |||
Henan Shuanghui Investment & Development Company, Ltd., Class A | 4,400 | 21,636 | |||
Hengan International Group Company, Ltd. | 25,000 | 167,287 | |||
Hengli Petrochemical Company, Ltd., Class A | 9,500 | 38,579 | |||
HengTen Networks Group, Ltd. (A) | 156,000 | 124,659 | |||
Hithink RoyalFlush Information Network Company, Ltd., Class A | 900 | 15,681 | |||
Hua Hong Semiconductor, Ltd. (A)(C) | 17,000 | 93,852 | |||
Huadong Medicine Company, Ltd., Class A | 2,800 | 19,890 | |||
Hualan Biological Engineering, Inc., Class A | 4,030 | 22,858 | |||
Huaneng Power International, Inc., H Shares | 149,436 | 58,449 | |||
Huatai Securities Company, Ltd., Class A | 16,400 | 40,069 | |||
Huatai Securities Company, Ltd., H Shares (C) | 48,800 | 71,583 | |||
Huaxia Bank Company, Ltd., Class A (A) | 28,500 | 27,305 | |||
Huayu Automotive Systems Company, Ltd., Class A | 5,100 | 20,731 | |||
Huazhu Group, Ltd., ADR (A) | 4,700 | 248,207 | |||
Hundsun Technologies, Inc., Class A (A) | 1,690 | 24,348 | |||
Iflytek Company, Ltd., Class A | 9,600 | 100,248 | |||
I-Mab, ADR (A) | 1,100 | 92,345 | |||
Industrial & Commercial Bank of China, Ltd., Class A | 120,000 | 96,029 | |||
Industrial & Commercial Bank of China, Ltd., H Shares | 2,051,735 | 1,202,356 | |||
Industrial Bank Company, Ltd., Class A | 46,200 | 146,881 | |||
Industrial Securities Company, Ltd., Class A | 14,900 | 22,254 | |||
Ingenic Semiconductor Company, Ltd., Class A | 2,800 | 43,695 | |||
Inner Mongolia BaoTou Steel Union Company, Ltd., Class A (A) | 48,800 | 11,702 | |||
Inner Mongolia Yili Industrial Group Company, Ltd., Class A | 13,600 | 77,397 | |||
Innovent Biologics, Inc. (A)(C) | 33,000 | 384,940 | |||
Inspur Electronic Information Industry Company, Ltd., Class A | 3,248 | 14,119 | |||
iQIYI, Inc., ADR (A) | 4,500 | 70,110 | |||
JA Solar Technology Company, Ltd., Class A (A) | 24,100 | 182,432 | |||
JD Health International, Inc. (A)(C) | 9,550 | 136,403 | |||
JD.com, Inc., ADR (A) | 29,100 | 2,322,471 |
The accompanying notes are an integral part of the financial statements. | 48 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
China (continued) | |||||
Jiangsu Expressway Company, Ltd., H Shares | 41,145 | $ | 46,567 | ||
Jiangsu Hengli Hydraulic Company, Ltd., Class A | 2,960 | 39,310 | |||
Jiangsu Hengrui Medicine Company, Ltd., Class A | 14,198 | 149,153 | |||
Jiangsu King's Luck Brewery JSC, Ltd., Class A | 2,800 | 23,462 | |||
Jiangsu Yanghe Brewery Joint-Stock Company, Ltd., Class A (A) | 3,400 | 108,957 | |||
Jiangxi Copper Company, Ltd., H Shares | 39,075 | 79,798 | |||
Jinxin Fertility Group, Ltd. (C) | 44,000 | 110,899 | |||
Jiumaojiu International Holdings, Ltd. (C) | 22,000 | 89,921 | |||
JOYY, Inc., ADR | 2,000 | 131,940 | |||
Kaisa Group Holdings, Ltd. (A) | 56,000 | 21,175 | |||
KE Holdings, Inc., ADR (A) | 6,900 | 328,992 | |||
Kingdee International Software Group Company, Ltd. (A) | 81,000 | 274,336 | |||
Kingsoft Corp., Ltd. | 29,000 | 173,678 | |||
Kuaishou Technology (A)(C) | 6,700 | 168,500 | |||
Kweichow Moutai Company, Ltd., Class A | 2,500 | 795,209 | |||
KWG Group Holdings, Ltd. | 45,000 | 60,182 | |||
Lenovo Group, Ltd. | 257,436 | 295,640 | |||
Lens Technology Company, Ltd., Class A (A) | 7,300 | 33,195 | |||
Lepu Medical Technology Beijing Company, Ltd., Class A | 4,000 | 19,870 | |||
Li Auto, Inc., ADR (A)(B) | 6,300 | 220,122 | |||
Li Ning Company, Ltd. | 70,500 | 859,981 | |||
Lingyi iTech Guangdong Company, Class A | 12,700 | 18,050 | |||
Logan Group Company, Ltd. | 48,000 | 71,798 | |||
Longfor Group Holdings, Ltd. (C) | 60,100 | 334,766 | |||
LONGi Green Energy Technology Company, Ltd., Class A | 32,060 | 439,857 | |||
Lufax Holding, Ltd., ADR (A)(B) | 5,800 | 65,540 | |||
Luxshare Precision Industry Company, Ltd., Class A (A) | 15,495 | 110,259 | |||
Luzhou Laojiao Company, Ltd., Class A | 3,300 | 120,269 | |||
Mango Excellent Media Company, Ltd., Class A | 3,300 | 35,007 | |||
Maxscend Microelectronics Company, Ltd., Class A | 900 | 74,784 | |||
Meinian Onehealth Healthcare Holdings Company, Ltd., Class A (A) | 8,300 | 11,692 | |||
Meituan, Class B (A)(C) | 120,300 | 4,962,515 | |||
Metallurgical Corp. of China, Ltd., A Shares | 28,700 | 13,228 | |||
Microport Scientific Corp. | 25,000 | 224,370 | |||
Ming Yuan Cloud Group Holdings, Ltd. (A) | 13,000 | 64,343 | |||
Minth Group, Ltd. | 26,000 | 123,308 | |||
Momo, Inc., ADR | 5,200 | 79,612 | |||
Muyuan Foods Company, Ltd., Class A | 9,282 | 87,299 | |||
NARI Technology Company, Ltd., Class A | 12,360 | 44,426 | |||
NAURA Technology Group Company, Ltd., Class A (A) | 3,200 | 137,195 | |||
NetEase, Inc., ADR | 14,000 | 1,613,500 | |||
New China Life Insurance Company, Ltd., Class A | 4,600 | 32,659 | |||
New China Life Insurance Company, Ltd., H Shares | 29,500 | 100,588 | |||
New Hope Liuhe Company, Ltd., Class A (A) | 6,800 | 15,431 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
China (continued) | |||||
New Oriental Education & Technology Group, Inc., ADR (A) | 51,000 | $ | 417,690 | ||
NIO, Inc., ADR (A) | 42,100 | 2,239,720 | |||
Noah Holdings, Ltd., ADR (A) | 1,000 | 47,200 | |||
Nongfu Spring Company, Ltd., H Shares (C) | 10,000 | 50,128 | |||
Orient Securities Company, Ltd., Class A (A) | 9,600 | 14,839 | |||
Perfect World Company, Ltd., Class A | 4,350 | 16,076 | |||
PetroChina Company, Ltd., Class A | 36,000 | 29,492 | |||
PetroChina Company, Ltd., H Shares | 712,261 | 348,801 | |||
Pharmaron Beijing Company, Ltd., H Shares (C) | 4,200 | 111,830 | |||
PICC Property & Casualty Company, Ltd., H Shares | 252,363 | 220,749 | |||
Pinduoduo, Inc., ADR (A) | 13,100 | 1,663,962 | |||
Ping An Bank Company, Ltd., Class A | 38,200 | 133,701 | |||
Ping An Healthcare and Technology Company, Ltd. (A)(B)(C) | 17,400 | 216,763 | |||
Ping An Insurance Group Company of China, Ltd., Class A | 24,100 | 239,559 | |||
Ping An Insurance Group Company of China, Ltd., H Shares | 198,790 | 1,943,251 | |||
Poly Developments and Holdings Group Company, Ltd., Class A (A) | 26,500 | 49,363 | |||
Postal Savings Bank of China Company, Ltd., H Shares (C) | 331,000 | 222,595 | |||
Power Construction Corp. of China, Ltd., Class A | 20,500 | 12,272 | |||
Raytron Technology Company, Ltd., Class A | 2,601 | 40,186 | |||
Rongsheng Petrochemical Company, Ltd., Class A | 13,950 | 37,233 | |||
SAIC Motor Corp., Ltd., Class A (A) | 17,300 | 58,781 | |||
Sanan Optoelectronics Company, Ltd., Class A | 6,600 | 32,683 | |||
Sangfor Technologies, Inc., Class A | 700 | 28,053 | |||
Sany Heavy Industry Company, Ltd., Class A | 18,600 | 83,588 | |||
SDIC Capital Company, Ltd., Class A | 11,856 | 15,568 | |||
SDIC Power Holdings Company, Ltd., Class A | 10,900 | 16,209 | |||
Seazen Group, Ltd. (A) | 64,000 | 60,525 | |||
Seazen Holdings Company, Ltd., Class A | 5,000 | 32,140 | |||
SF Holding Company, Ltd., Class A | 3,600 | 37,660 | |||
Shaanxi Coal Industry Company, Ltd., Class A | 13,400 | 24,553 | |||
Shandong Gold Mining Company, Ltd., Class A | 5,880 | 17,492 | |||
Shandong Gold Mining Company, Ltd., H Shares (B)(C) | 21,500 | 38,009 | |||
Shandong Weigao Group Medical Polymer Company, Ltd., H Shares | 80,000 | 186,607 | |||
Shanghai Fosun Pharmaceutical Group Company, Ltd., Class A | 3,200 | 35,695 | |||
Shanghai Fosun Pharmaceutical Group Company, Ltd., H Shares | 17,500 | 141,249 | |||
Shanghai International Airport Company, Ltd., Class A | 1,600 | 11,908 | |||
Shanghai International Port Group Company, Ltd., Class A | 13,700 | 10,108 | |||
Shanghai Lujiazui Finance & Trade Zone Development Company, Ltd., B Shares | 39,240 | 36,450 | |||
Shanghai M&G Stationery, Inc., Class A | 2,000 | 26,139 |
The accompanying notes are an integral part of the financial statements. | 49 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
China (continued) | |||||
Shanghai Pharmaceuticals Holding Company, Ltd., H Shares | 31,100 | $ | 67,920 | ||
Shanghai Pudong Development Bank Company, Ltd., Class A | 65,300 | 101,001 | |||
Shanxi Xinghuacun Fen Wine Factory Company, Ltd., Class A | 1,400 | 96,876 | |||
Shengyi Technology Company, Ltd., Class A | 5,100 | 18,470 | |||
Shennan Circuits Company, Ltd., Class A | 1,120 | 19,245 | |||
Shenwan Hongyuan Group Company, Ltd., Class A | 36,200 | 26,202 | |||
Shenzhen Goodix Technology Company, Ltd., Class A | 800 | 16,030 | |||
Shenzhen Inovance Technology Company, Ltd., Class A | 5,550 | 63,648 | |||
Shenzhen Kangtai Biological Products Company, Ltd., Class A | 1,400 | 32,225 | |||
Shenzhen Mindray Bio-Medical Electronics Company, Ltd., Class A | 700 | 51,907 | |||
Shenzhen Overseas Chinese Town Company, Ltd., Class A | 13,200 | 15,199 | |||
Shenzhen Sunway Communication Company, Ltd., Class A | 2,200 | 10,499 | |||
Shenzhou International Group Holdings, Ltd. | 27,000 | 681,825 | |||
Sichuan Chuantou Energy Company, Ltd., Class A | 9,800 | 18,692 | |||
Silergy Corp. | 2,000 | 271,447 | |||
Sinopharm Group Company, Ltd., H Shares | 42,800 | 126,976 | |||
Sinotruk Hong Kong, Ltd. | 24,500 | 52,503 | |||
Smoore International Holdings, Ltd. (C) | 21,000 | 116,255 | |||
Songcheng Performance Development Company, Ltd., Class A | 5,760 | 14,976 | |||
Spring Airlines Company, Ltd., Class A | 2,000 | 17,607 | |||
Sunac China Holdings, Ltd. | 87,000 | 298,327 | |||
Sungrow Power Supply Company, Ltd., Class A | 9,100 | 161,680 | |||
Suning.com Company, Ltd., Class A (E) | 20,700 | 17,908 | |||
Sunny Optical Technology Group Company, Ltd. | 23,800 | 751,666 | |||
TAL Education Group, ADR (A) | 12,800 | 322,944 | |||
TCL Technology Group Corp., Class A | 21,800 | 25,785 | |||
Tencent Holdings, Ltd. | 191,200 | 14,395,928 | |||
Tencent Music Entertainment Group, ADR (A) | 12,400 | 191,952 | |||
The People's Insurance Company Group of China, Ltd., H Shares | 265,000 | 88,361 | |||
Thunder Software Technology Company, Ltd., Class A | 8,300 | 201,438 | |||
Tianjin Zhonghuan Semiconductor Company, Ltd., Class A | 27,000 | 161,223 | |||
Tingyi Cayman Islands Holding Corp. | 76,000 | 151,729 | |||
Tongcheng-Elong Holdings, Ltd. (A) | 28,800 | 72,076 | |||
Tongwei Company, Ltd., Class A | 6,200 | 41,442 | |||
Topsports International Holdings, Ltd. (C) | 41,000 | 67,043 | |||
TravelSky Technology, Ltd., H Shares | 31,000 | 66,792 | |||
Trip.com Group, Ltd., ADR (A) | 16,000 | 567,360 | |||
Tsingtao Brewery Company, Ltd., H Shares | 12,000 | 129,050 | |||
Unigroup Guoxin Microelectronics Company, Ltd., Class A | 7,200 | 171,633 | |||
Uni-President China Holdings, Ltd. | 46,000 | 50,754 | |||
Unisplendour Corp., Ltd., Class A | 5,320 | 17,997 | |||
Vipshop Holdings, Ltd., ADR (A) | 15,300 | 307,224 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
China (continued) | |||||
Walvax Biotechnology Company, Ltd., Class A | 3,400 | $ | 32,433 | ||
Wanhua Chemical Group Company, Ltd., Class A | 7,000 | 117,803 | |||
Want Want China Holdings, Ltd. | 163,000 | 115,414 | |||
Weibo Corp., ADR (A) | 1,890 | 99,452 | |||
Weichai Power Company, Ltd., Class A | 9,600 | 26,509 | |||
Weichai Power Company, Ltd., H Shares | 64,720 | 143,697 | |||
Weimob, Inc. (A)(B)(C) | 53,000 | 116,957 | |||
Wens Foodstuffs Group Company, Ltd., Class A | 14,160 | 31,477 | |||
Will Semiconductor Company, Ltd., Class A | 3,100 | 154,127 | |||
Wuhu Sanqi Interactive Entertainment Network Technology Group Company, Ltd., Class A | 4,700 | 17,474 | |||
Wuliangye Yibin Company, Ltd., Class A (A) | 8,600 | 395,763 | |||
WUS Printed Circuit Kunshan Company, Ltd., Class A (A) | 3,800 | 9,094 | |||
WuXi AppTec Company, Ltd., Class A | 5,544 | 134,133 | |||
WuXi AppTec Company, Ltd., H Shares (C) | 11,006 | 256,897 | |||
Wuxi Biologics Cayman, Inc. (A)(C) | 111,000 | 2,032,443 | |||
Wuxi Shangji Automation Company, Ltd., Class A | 1,100 | 30,441 | |||
Xiaomi Corp., Class B (A)(C) | 416,400 | 1,448,203 | |||
Xinjiang Goldwind Science & Technology Company, Ltd., Class A | 7,700 | 14,462 | |||
Xinjiang Goldwind Science & Technology Company, Ltd., H Shares (B) | 22,200 | 34,686 | |||
Xinyi Solar Holdings, Ltd. | 137,007 | 294,897 | |||
XPeng, Inc., ADR (A) | 7,000 | 310,940 | |||
Yadea Group Holdings, Ltd. (C) | 34,000 | 73,028 | |||
Yanzhou Coal Mining Company, Ltd., H Shares | 49,990 | 67,131 | |||
Yihai International Holding, Ltd. (A) | 16,000 | 107,457 | |||
Yonghui Superstores Company, Ltd., Class A (A) | 10,200 | 7,462 | |||
Yonyou Network Technology Company, Ltd., Class A | 5,200 | 26,738 | |||
Yum China Holdings, Inc. | 12,700 | 841,375 | |||
Yunda Holding Company, Ltd., Class A (A) | 3,120 | 6,531 | |||
Yunnan Baiyao Group Company, Ltd., Class A | 2,800 | 50,107 | |||
Zai Lab, Ltd., ADR (A) | 2,300 | 407,077 | |||
Zhangzhou Pientzehuang Pharmaceutical Company, Ltd., Class A | 1,000 | 69,324 | |||
Zhaojin Mining Industry Company, Ltd., H Shares | 37,500 | 35,661 | |||
Zhejiang Chint Electrics Company, Ltd., Class A | 4,800 | 24,784 | |||
Zhejiang Dahua Technology Company, Ltd., Class A | 4,800 | 15,663 | |||
Zhejiang Expressway Company, Ltd., H Shares | 49,718 | 44,224 | |||
Zhejiang Jingsheng Mechanical & Electrical Company, Ltd., Class A (A) | 30,300 | 236,522 | |||
Zhejiang Longsheng Group Company, Ltd., Class A | 7,200 | 15,303 | |||
Zhejiang NHU Company, Ltd., Class A | 5,760 | 25,538 | |||
Zhejiang Sanhua Intelligent Controls Company, Ltd., Class A | 8,060 | 29,879 | |||
Zhejiang Supor Company, Ltd., Class A | 1,200 | 11,838 |
The accompanying notes are an integral part of the financial statements. | 50 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
China (continued) | |||||
Zhenro Properties Group, Ltd. | 51,000 | $ | 28,490 | ||
ZhongAn Online P&C Insurance Company, Ltd., H Shares (A)(B)(C) | 12,500 | 70,674 | |||
Zhongsheng Group Holdings, Ltd. | 20,000 | 166,367 | |||
Zhuzhou CRRC Times Electric Company, Ltd., H Shares (A) | 18,000 | 106,318 | |||
Zijin Mining Group Company, Ltd., Class A | 27,800 | 41,586 | |||
Zijin Mining Group Company, Ltd., H Shares | 193,469 | 259,614 | |||
Zoomlion Heavy Industry Science and Technology Company, Ltd., Class A | 14,300 | 20,426 | |||
Zoomlion Heavy Industry Science and Technology Company, Ltd., H Shares | 44,800 | 46,893 | |||
ZTE Corp., Class A | 7,600 | 39,037 | |||
ZTE Corp., H Shares | 25,887 | 80,785 | |||
ZTO Express Cayman, Inc., ADR | 11,400 | 345,990 | |||
96,139,550 | |||||
Colombia - 0.0% | |||||
Bancolombia SA, ADR | 3,847 | 110,794 | |||
Ecopetrol SA, ADR | 9,500 | 138,890 | |||
249,684 | |||||
Czech Republic - 0.0% | |||||
CEZ AS | 6,817 | 202,159 | |||
Komercni banka AS (A) | 3,440 | 121,046 | |||
323,205 | |||||
Denmark - 1.6% | |||||
A.P. Moller - Maersk A/S, Series A | 107 | 297,631 | |||
A.P. Moller - Maersk A/S, Series B | 207 | 595,934 | |||
Ambu A/S, Class B | 5,684 | 218,709 | |||
Carlsberg A/S, Class B | 3,581 | 668,272 | |||
Chr. Hansen Holding A/S | 3,557 | 320,963 | |||
Coloplast A/S, B Shares | 4,136 | 679,062 | |||
Danske Bank A/S | 26,235 | 462,022 | |||
Demant A/S (A) | 5,000 | 281,772 | |||
DSV Panalpina A/S | 7,363 | 1,718,804 | |||
Genmab A/S (A) | 2,265 | 928,068 | |||
GN Store Nord A/S | 4,458 | 389,852 | |||
Novo Nordisk A/S, B Shares | 58,071 | 4,861,045 | |||
Novozymes A/S, B Shares | 7,019 | 529,581 | |||
Orsted A/S (C) | 6,586 | 924,420 | |||
Pandora A/S | 3,372 | 454,930 | |||
Rockwool International A/S, B Shares | 272 | 132,470 | |||
Tryg A/S | 9,749 | 239,462 | |||
Vestas Wind Systems A/S | 34,230 | 1,337,435 | |||
15,040,432 | |||||
Egypt - 0.0% | |||||
Commercial International Bank Egypt SAE (A) | 51,581 | 172,646 | |||
Finland - 0.8% | |||||
Elisa OYJ | 5,862 | 349,818 | |||
Fortum OYJ | 16,798 | 463,396 | |||
Kesko OYJ, B Shares | 9,211 | 340,128 | |||
Kone OYJ, B Shares | 11,833 | 965,739 | |||
Neste OYJ | 14,709 | 902,278 | |||
Nokia OYJ (A) | 140,582 | 753,203 | |||
Nokia OYJ (Euronext Paris Exchange) (A)(B) | 56,247 | 300,956 | |||
Nordea Bank ABP | 109,335 | 1,217,545 | |||
Nordea Bank ABP (London Stock Exchange) | 1,569 | 17,491 | |||
Orion OYJ, Class B | 3,379 | 145,278 | |||
Sampo OYJ, A Shares | 15,885 | 730,463 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Finland (continued) | |||||
Stora Enso OYJ, R Shares | 20,482 | $ | 374,019 | ||
UPM-Kymmene OYJ | 19,972 | 756,096 | |||
Wartsila OYJ ABP | 15,222 | 226,155 | |||
7,542,565 | |||||
France - 6.9% | |||||
Accor SA (A) | 6,145 | 229,845 | |||
Aeroports de Paris (A) | 1,190 | 155,332 | |||
Air Liquide SA | 15,910 | 2,789,813 | |||
Airbus SE (A) | 19,831 | 2,555,275 | |||
Alstom SA | 8,418 | 425,325 | |||
Amundi SA (C) | 2,415 | 213,000 | |||
Arkema SA | 2,540 | 319,237 | |||
Atos SE | 3,698 | 225,180 | |||
AXA SA | 66,841 | 1,697,246 | |||
BioMerieux | 1,432 | 166,385 | |||
BNP Paribas SA | 37,933 | 2,380,656 | |||
Bollore SA | 32,561 | 174,669 | |||
Bouygues SA | 8,158 | 302,171 | |||
Bureau Veritas SA (A) | 10,297 | 326,038 | |||
Capgemini SE (B) | 5,409 | 1,040,222 | |||
Carrefour SA | 20,604 | 405,474 | |||
Cie de Saint-Gobain | 18,075 | 1,192,872 | |||
Cie Generale des Etablissements Michelin SCA | 5,963 | 951,665 | |||
CNP Assurances | 6,491 | 110,629 | |||
Covivio | 2,169 | 185,682 | |||
Credit Agricole SA | 41,519 | 582,078 | |||
Danone SA | 21,340 | 1,501,371 | |||
Dassault Aviation SA | 98 | 115,442 | |||
Dassault Systemes SE | 4,566 | 1,108,148 | |||
Edenred | 8,717 | 497,014 | |||
Eiffage SA | 3,075 | 313,209 | |||
Electricite de France SA | 23,423 | 320,100 | |||
Engie SA | 63,119 | 865,522 | |||
EssilorLuxottica SA | 9,828 | 1,815,554 | |||
Eurazeo SE | 1,144 | 99,742 | |||
Faurecia SE | 3,556 | 174,814 | |||
Faurecia SE (Borsa Italiana Exchange) | 633 | 30,921 | |||
Gecina SA | 1,814 | 277,925 | |||
Getlink SE | 14,784 | 230,884 | |||
Hermes International | 1,094 | 1,596,483 | |||
Iliad SA | 497 | 72,820 | |||
Ipsen SA | 1,496 | 155,669 | |||
Kering SA | 2,546 | 2,230,845 | |||
Klepierre SA | 8,046 | 207,295 | |||
La Francaise des Jeux SAEM (C) | 2,992 | 175,982 | |||
Legrand SA | 9,225 | 977,694 | |||
L'Oreal SA | 8,487 | 3,790,234 | |||
LVMH Moet Hennessy Louis Vuitton SE | 9,362 | 7,364,666 | |||
Natixis SA | 35,715 | 169,675 | |||
Orange SA | 68,945 | 786,853 | |||
Orpea SA | 1,800 | 229,163 | |||
Pernod Ricard SA (B) | 7,039 | 1,564,501 | |||
Publicis Groupe SA | 7,306 | 467,547 | |||
Remy Cointreau SA | 930 | 192,066 | |||
Renault SA (A) | 7,048 | 285,708 | |||
Safran SA | 11,283 | 1,565,884 | |||
Sanofi | 38,211 | 4,014,538 | |||
Sartorius Stedim Biotech | 961 | 454,831 | |||
Schneider Electric SE | 17,545 | 2,765,867 | |||
Schneider Electric SE (Euronext London Exchange) | 623 | 98,041 | |||
SCOR SE (B) | 6,432 | 204,763 | |||
SEB SA | 1,019 | 184,340 | |||
Societe Generale SA | 27,239 | 805,766 |
The accompanying notes are an integral part of the financial statements. | 51 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
France (continued) | |||||
Sodexo SA (A) | 3,211 | $ | 300,098 | ||
Suez SA (B) | 11,179 | 265,964 | |||
Teleperformance | 2,029 | 823,954 | |||
Thales SA | 4,046 | 413,407 | |||
TotalEnergies SE | 85,421 | 3,869,716 | |||
Ubisoft Entertainment SA (A) | 3,042 | 212,537 | |||
Unibail-Rodamco-Westfield (Euronext Amsterdam Exchange) (A) | 3,595 | 311,671 | |||
Unibail-Rodamco-Westfield, CHESS Depositary Interest (A) | 27,093 | 115,174 | |||
Valeo SA | 7,694 | 232,077 | |||
Veolia Environnement SA | 18,107 | 547,389 | |||
Vinci SA | 17,915 | 1,915,071 | |||
Vivendi SE (B) | 23,492 | 789,309 | |||
Wendel SE | 1,176 | 158,254 | |||
Worldline SA (A)(C) | 8,074 | 756,569 | |||
64,851,861 | |||||
Germany - 5.4% | |||||
adidas AG | 6,334 | 2,363,577 | |||
Allianz SE | 13,687 | 3,415,678 | |||
BASF SE | 30,975 | 2,445,154 | |||
Bayer AG | 32,613 | 1,982,710 | |||
Bayerische Motoren Werke AG | 11,166 | 1,183,767 | |||
Bechtle AG | 921 | 171,177 | |||
Beiersdorf AG | 3,796 | 458,199 | |||
Brenntag SE | 5,855 | 544,938 | |||
Carl Zeiss Meditec AG, Bearer Shares | 1,435 | 277,392 | |||
Commerzbank AG (A) | 37,723 | 267,896 | |||
Continental AG | 3,710 | 545,818 | |||
Covestro AG (C) | 7,081 | 457,846 | |||
Daimler AG | 28,412 | 2,538,852 | |||
Delivery Hero SE (A)(C) | 5,213 | 688,772 | |||
Deutsche Bank AG (A) | 68,610 | 894,514 | |||
Deutsche Boerse AG | 6,408 | 1,118,490 | |||
Deutsche Lufthansa AG (A)(B) | 9,922 | 111,579 | |||
Deutsche Post AG | 32,906 | 2,241,049 | |||
Deutsche Telekom AG | 112,403 | 2,377,319 | |||
Deutsche Wohnen SE | 12,352 | 755,794 | |||
E.ON SE | 78,119 | 903,810 | |||
Evonik Industries AG | 6,743 | 226,385 | |||
Fresenius Medical Care AG & Company KGaA | 7,798 | 647,983 | |||
Fresenius SE & Company KGaA | 15,294 | 798,191 | |||
GEA Group AG | 5,093 | 206,369 | |||
Hannover Rueck SE | 2,322 | 388,721 | |||
HeidelbergCement AG | 5,549 | 476,417 | |||
HelloFresh SE (A) | 5,483 | 532,996 | |||
Henkel AG & Company KGaA | 3,884 | 357,674 | |||
Infineon Technologies AG | 43,352 | 1,743,755 | |||
KION Group AG | 2,693 | 287,506 | |||
Knorr-Bremse AG | 2,408 | 277,056 | |||
LANXESS AG | 3,216 | 220,710 | |||
LEG Immobilien SE | 2,555 | 367,809 | |||
Merck KGaA | 4,441 | 852,120 | |||
MTU Aero Engines AG | 1,791 | 444,067 | |||
Muenchener Rueckversicherungs-Gesellschaft AG | 4,871 | 1,334,947 | |||
Nemetschek SE | 2,010 | 153,858 | |||
Puma SE | 3,505 | 418,324 | |||
Rational AG | 173 | 156,734 | |||
RWE AG | 21,604 | 783,299 | |||
SAP SE | 35,216 | 4,946,420 | |||
Scout24 AG (C) | 3,212 | 271,008 | |||
Siemens AG | 25,395 | 4,032,178 | |||
Siemens Energy AG (A) | 13,485 | 406,209 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Germany (continued) | |||||
Siemens Healthineers AG (C) | 9,063 | $ | 555,681 | ||
Symrise AG | 4,417 | 615,538 | |||
TeamViewer AG (A)(C) | 5,340 | 200,554 | |||
Telefonica Deutschland Holding AG | 32,281 | 85,213 | |||
Uniper SE | 7,281 | 268,256 | |||
United Internet AG | 4,503 | 184,159 | |||
Volkswagen AG | 1,264 | 415,432 | |||
Vonovia SE | 19,142 | 1,237,059 | |||
Zalando SE (A)(C) | 6,607 | 799,048 | |||
50,436,007 | |||||
Greece - 0.1% | |||||
Eurobank Ergasias Services and Holdings SA (A) | 85,715 | 86,517 | |||
FF Group (A)(E) | 1,869 | 3,324 | |||
Hellenic Telecommunications Organization SA | 8,503 | 142,797 | |||
JUMBO SA | 5,651 | 95,180 | |||
OPAP SA | 9,294 | 140,174 | |||
467,992 | |||||
Hong Kong - 2.6% | |||||
AIA Group, Ltd. | 404,000 | 5,011,854 | |||
Alibaba Health Information Technology, Ltd. (A) | 134,000 | 296,823 | |||
Alibaba Pictures Group, Ltd. (A) | 500,000 | 69,473 | |||
Beijing Enterprises Holdings, Ltd. | 19,786 | 70,199 | |||
Beijing Enterprises Water Group, Ltd. (A) | 198,000 | 75,018 | |||
BOC Hong Kong Holdings, Ltd. | 132,328 | 448,501 | |||
Bosideng International Holdings, Ltd. | 108,000 | 77,170 | |||
Brilliance China Automotive Holdings, Ltd. | 108,000 | 67,284 | |||
Budweiser Brewing Company APAC, Ltd. (C) | 57,500 | 181,053 | |||
China Common Rich Renewable Energy Investments, Ltd. (A)(E) | 428,695 | 11,871 | |||
China Education Group Holdings, Ltd. | 12,000 | 26,766 | |||
China Everbright Environment Group, Ltd. | 117,851 | 66,785 | |||
China Everbright, Ltd. | 32,216 | 37,877 | |||
China Gas Holdings, Ltd. | 86,800 | 264,419 | |||
China Jinmao Holdings Group, Ltd. | 224,000 | 74,948 | |||
China Mengniu Dairy Company, Ltd. (A) | 93,004 | 561,861 | |||
China Merchants Port Holdings Company, Ltd. | 47,564 | 69,465 | |||
China Overseas Land & Investment, Ltd. | 127,882 | 289,988 | |||
China Overseas Property Holdings, Ltd. | 45,000 | 48,138 | |||
China Power International Development, Ltd. | 88,000 | 19,261 | |||
China Resources Beer Holdings Company, Ltd. | 49,979 | 448,234 | |||
China Resources Cement Holdings, Ltd. | 88,000 | 83,612 | |||
China Resources Gas Group, Ltd. | 30,000 | 179,916 | |||
China Resources Land, Ltd. | 110,964 | 448,162 | |||
China Resources Power Holdings Company, Ltd. | 68,244 | 93,227 | |||
China State Construction International Holdings, Ltd. | 71,250 | 48,579 | |||
China Taiping Insurance Holdings Company, Ltd. | 60,500 | 100,574 | |||
China Traditional Chinese Medicine Holdings Company, Ltd. (A) | 80,000 | 54,807 | |||
China Youzan, Ltd. (A) | 464,000 | 88,310 | |||
Chow Tai Fook Jewellery Group, Ltd. | 66,000 | 150,798 | |||
CK Asset Holdings, Ltd. | 66,546 | 458,037 | |||
CK Hutchison Holdings, Ltd. | 90,163 | 701,902 | |||
CK Infrastructure Holdings, Ltd. | 24,772 | 147,565 | |||
CLP Holdings, Ltd. | 54,900 | 542,568 |
The accompanying notes are an integral part of the financial statements. | 52 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Hong Kong (continued) | |||||
COSCO SHIPPING Ports, Ltd. | 61,511 | $ | 48,026 | ||
ESR Cayman, Ltd. (A)(C) | 66,000 | 222,535 | |||
Far East Horizon, Ltd. | 66,000 | 69,060 | |||
Futu Holdings, Ltd., ADR (A) | 1,700 | 304,453 | |||
Galaxy Entertainment Group, Ltd. (A) | 72,000 | 575,719 | |||
Geely Automobile Holdings, Ltd. | 196,000 | 615,589 | |||
Guangdong Investment, Ltd. | 99,220 | 142,511 | |||
Hang Lung Properties, Ltd. | 74,326 | 180,262 | |||
Hang Seng Bank, Ltd. | 27,319 | 544,952 | |||
Henderson Land Development Company, Ltd. | 55,324 | 261,807 | |||
HK Electric Investments & HK Electric Investments, Ltd. | 88,500 | 89,680 | |||
HKT Trust & HKT, Ltd. | 145,233 | 197,818 | |||
Hong Kong & China Gas Company, Ltd. | 374,091 | 580,860 | |||
Hong Kong Exchanges & Clearing, Ltd. | 40,214 | 2,393,931 | |||
Hongkong Land Holdings, Ltd. | 44,100 | 210,023 | |||
Hopson Development Holdings, Ltd. | 22,000 | 100,826 | |||
Hutchmed China, Ltd., ADR (A) | 1,900 | 74,613 | |||
Jardine Matheson Holdings, Ltd. (B) | 7,400 | 473,004 | |||
Kingboard Holdings, Ltd. | 22,500 | 124,747 | |||
Kingboard Laminates Holdings, Ltd. | 36,500 | 81,959 | |||
Kunlun Energy Company, Ltd. | 118,000 | 108,629 | |||
Lee & Man Paper Manufacturing, Ltd. | 56,000 | 42,623 | |||
Link REIT | 69,137 | 668,924 | |||
Melco Resorts & Entertainment, Ltd., ADR (A) | 7,185 | 119,055 | |||
MTR Corp., Ltd. | 51,605 | 287,336 | |||
New World Development Company, Ltd. | 57,618 | 298,804 | |||
Nine Dragons Paper Holdings, Ltd. | 55,000 | 70,524 | |||
Power Assets Holdings, Ltd. | 46,582 | 285,830 | |||
Shenzhen International Holdings, Ltd. | 38,049 | 52,573 | |||
Shenzhen Investment, Ltd. | 124,008 | 38,208 | |||
Shimao Group Holdings, Ltd. | 41,500 | 101,663 | |||
Sino Biopharmaceutical, Ltd. | 346,500 | 339,477 | |||
Sino Land Company, Ltd. | 128,364 | 202,357 | |||
SJM Holdings, Ltd. (A) | 83,000 | 90,601 | |||
SSY Group, Ltd. | 54,000 | 48,191 | |||
Sun Art Retail Group, Ltd. (B) | 86,000 | 64,040 | |||
Sun Hung Kai Properties, Ltd. | 45,630 | 678,151 | |||
Swire Pacific, Ltd., Class A | 18,163 | 123,065 | |||
Swire Properties, Ltd. | 43,628 | 129,954 | |||
Techtronic Industries Company, Ltd. | 47,500 | 827,781 | |||
The Bank of East Asia, Ltd. | 59,561 | 110,607 | |||
The Wharf Holdings, Ltd. | 51,876 | 197,870 | |||
Vinda International Holdings, Ltd. | 12,000 | 36,945 | |||
WH Group, Ltd. (C) | 319,803 | 287,056 | |||
Wharf Real Estate Investment Company, Ltd. | 56,876 | 330,623 | |||
Xinyi Glass Holdings, Ltd. | 62,000 | 252,616 | |||
Yuexiu Property Company, Ltd. | 48,800 | 51,411 | |||
24,452,334 | |||||
Hungary - 0.1% | |||||
MOL Hungarian Oil & Gas PLC (A) | 12,392 | 98,605 | |||
OTP Bank NYRT (A) | 7,225 | 388,934 | |||
Richter Gedeon NYRT | 4,794 | 127,628 | |||
615,167 | |||||
India - 2.9% | |||||
ACC, Ltd. | 2,508 | 68,113 | |||
Adani Enterprises, Ltd. (A) | 9,077 | 184,381 | |||
Adani Green Energy, Ltd. (A) | 13,172 | 197,869 | |||
Adani Ports & Special Economic Zone, Ltd. | 28,084 | 266,644 | |||
Adani Total Gas, Ltd. | 9,077 | 124,799 | |||
Adani Transmission, Ltd. (A) | 9,077 | 129,592 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
India (continued) | |||||
Ambuja Cements, Ltd. | 22,913 | $ | 105,030 | ||
Apollo Hospitals Enterprise, Ltd. | 3,055 | 148,786 | |||
Asian Paints, Ltd. | 12,960 | 524,106 | |||
Aurobindo Pharma, Ltd. | 9,153 | 118,968 | |||
Avenue Supermarts, Ltd. (A)(C) | 4,471 | 201,661 | |||
Axis Bank, Ltd. (A) | 80,176 | 809,447 | |||
Bajaj Auto, Ltd. (A) | 2,923 | 163,005 | |||
Bajaj Finance, Ltd. (A) | 9,135 | 740,085 | |||
Bajaj Finserv, Ltd. (A) | 1,261 | 205,229 | |||
Balkrishna Industries, Ltd. | 2,904 | 87,932 | |||
Berger Paints India, Ltd. | 8,085 | 87,723 | |||
Bharat Forge, Ltd. (A) | 9,316 | 95,552 | |||
Bharat Petroleum Corp., Ltd. | 27,177 | 171,624 | |||
Bharti Airtel, Ltd. | 81,745 | 581,485 | |||
Biocon, Ltd. (A) | 14,021 | 76,296 | |||
Britannia Industries, Ltd. | 3,618 | 177,957 | |||
Cholamandalam Investment and Finance Company, Ltd. | 13,536 | 93,579 | |||
Cipla, Ltd. (A) | 12,134 | 158,617 | |||
Coal India, Ltd. | 24,417 | 48,125 | |||
Colgate-Palmolive India, Ltd. | 4,075 | 92,523 | |||
Container Corp. of India, Ltd. | 9,153 | 86,344 | |||
Dabur India, Ltd. | 17,709 | 135,427 | |||
Divi's Laboratories, Ltd. (A) | 4,431 | 262,744 | |||
DLF, Ltd. | 20,605 | 78,085 | |||
Dr. Reddy's Laboratories, Ltd., ADR | 3,359 | 246,920 | |||
Eicher Motors, Ltd. (A) | 4,250 | 153,132 | |||
GAIL India, Ltd., GDR | 9,954 | 117,656 | |||
Godrej Consumer Products, Ltd. (A) | 11,997 | 140,634 | |||
Grasim Industries, Ltd. | 10,574 | 213,661 | |||
Havells India, Ltd. | 11,177 | 147,532 | |||
HCL Technologies, Ltd. | 37,954 | 503,808 | |||
Hero MotoCorp., Ltd. | 4,200 | 164,270 | |||
Hindalco Industries, Ltd. | 41,886 | 210,453 | |||
Hindustan Petroleum Corp., Ltd. | 20,412 | 80,712 | |||
Hindustan Unilever, Ltd. | 27,452 | 915,144 | |||
Housing Development Finance Corp., Ltd. | 57,256 | 1,912,704 | |||
ICICI Bank, Ltd. | 82,343 | 701,632 | |||
ICICI Bank, Ltd., ADR (A) | 47,107 | 805,530 | |||
ICICI Lombard General Insurance Company, Ltd. (C) | 4,861 | 102,447 | |||
Indian Oil Corp., Ltd. | 38,494 | 55,966 | |||
Indraprastha Gas, Ltd. | 10,515 | 78,886 | |||
Indus Towers, Ltd. | 15,904 | 51,281 | |||
Info Edge India, Ltd. | 2,389 | 158,645 | |||
Infosys, Ltd., ADR | 133,708 | 2,833,273 | |||
Ipca Laboratories, Ltd. | 2,329 | 63,574 | |||
ITC, Ltd. | 113,026 | 308,690 | |||
JSW Steel, Ltd. | 33,031 | 305,238 | |||
Jubilant Foodworks, Ltd. (A) | 2,527 | 105,008 | |||
Kotak Mahindra Bank, Ltd. (A) | 18,671 | 428,934 | |||
Larsen & Toubro, Ltd. | 23,240 | 469,673 | |||
Lupin, Ltd. | 7,740 | 119,740 | |||
Mahindra & Mahindra, Ltd., GDR | 23,120 | 241,924 | |||
Marico, Ltd. | 14,917 | 106,655 | |||
Maruti Suzuki India, Ltd. | 4,592 | 466,487 | |||
Motherson Sumi Systems, Ltd. (A) | 37,306 | 121,912 | |||
MRF, Ltd. | 64 | 68,982 | |||
Muthoot Finance, Ltd. | 4,018 | 79,983 | |||
Nestle India, Ltd. | 1,140 | 271,944 | |||
NTPC, Ltd. | 146,266 | 229,059 | |||
Oil & Natural Gas Corp., Ltd. | 90,136 | 143,230 | |||
Page Industries, Ltd. | 194 | 77,204 | |||
Petronet LNG, Ltd. | 21,320 | 65,054 | |||
PI Industries, Ltd. | 2,778 | 109,294 |
The accompanying notes are an integral part of the financial statements. | 53 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
India (continued) | |||||
Pidilite Industries, Ltd. (A) | 4,359 | $ | 126,439 | ||
Piramal Enterprises, Ltd. | 3,012 | 98,071 | |||
Power Grid Corp. of India, Ltd. | 55,842 | 174,821 | |||
REC, Ltd. | 22,831 | 45,789 | |||
Reliance Capital, Ltd., GDR (A)(C) | 4,327 | 1,397 | |||
Reliance Industries, Ltd. | 7,646 | 217,564 | |||
Reliance Industries, Ltd., GDR (C) | 44,280 | 2,504,967 | |||
Shree Cement, Ltd. (A) | 276 | 102,601 | |||
Shriram Transport Finance Company, Ltd. | 5,520 | 99,941 | |||
Siemens, Ltd. | 2,378 | 64,837 | |||
State Bank of India, GDR | 5,224 | 292,068 | |||
Sun Pharmaceutical Industries, Ltd. | 29,344 | 266,403 | |||
Tata Consultancy Services, Ltd. | 31,310 | 1,413,217 | |||
Tata Consumer Products, Ltd. | 15,079 | 153,540 | |||
Tata Motors, Ltd., ADR (A) | 8,581 | 195,475 | |||
Tata Steel, Ltd., GDR | 11,000 | 169,632 | |||
Tech Mahindra, Ltd. | 18,378 | 271,490 | |||
Titan Company, Ltd. | 10,263 | 240,190 | |||
Torrent Pharmaceuticals, Ltd. | 1,767 | 68,781 | |||
Trent, Ltd. | 6,052 | 69,239 | |||
UltraTech Cement, Ltd. | 2,054 | 187,293 | |||
UltraTech Cement, Ltd., GDR | 1,026 | 93,531 | |||
United Spirits, Ltd. (A) | 10,125 | 90,307 | |||
UPL, Ltd. | 15,099 | 161,572 | |||
Vedanta, Ltd., ADR | 13,934 | 197,863 | |||
Wipro, Ltd., ADR | 30,298 | 236,627 | |||
Yes Bank, Ltd. (A) | 334,558 | 61,264 | |||
27,203,518 | |||||
Indonesia - 0.3% | |||||
Adaro Energy Tbk PT | 315,000 | 26,218 | |||
Astra International Tbk PT | 679,000 | 231,738 | |||
Bank Central Asia Tbk PT | 360,900 | 750,565 | |||
Bank Mandiri Persero Tbk PT | 715,674 | 291,778 | |||
Bank Negara Indonesia Persero Tbk PT | 276,500 | 88,468 | |||
Bank Rakyat Indonesia Persero Tbk PT | 1,930,000 | 524,758 | |||
Charoen Pokphand Indonesia Tbk PT | 276,000 | 119,096 | |||
Gudang Garam Tbk PT (A) | 26,000 | 79,318 | |||
Indah Kiat Pulp & Paper Tbk PT | 97,300 | 50,076 | |||
Indocement Tunggal Prakarsa Tbk PT | 53,500 | 38,047 | |||
Indofood CBP Sukses Makmur Tbk PT | 114,400 | 64,332 | |||
Indofood Sukses Makmur Tbk PT | 147,500 | 62,858 | |||
Kalbe Farma Tbk PT | 855,000 | 82,658 | |||
Semen Indonesia Persero Tbk PT | 111,000 | 72,835 | |||
Telkom Indonesia Persero Tbk PT | 1,600,100 | 347,791 | |||
Telkom Indonesia Persero Tbk PT, ADR | 358 | 7,758 | |||
Unilever Indonesia Tbk PT | 332,500 | 113,547 | |||
United Tractors Tbk PT | 55,279 | 77,338 | |||
3,029,179 | |||||
Ireland - 0.7% | |||||
CRH PLC | 27,337 | 1,382,465 | |||
DCC PLC | 3,819 | 312,832 | |||
Experian PLC | 31,530 | 1,217,345 | |||
Flutter Entertainment PLC (A) | 5,220 | 950,030 | |||
James Hardie Industries PLC, CHESS Depositary Interest | 15,679 | 532,022 | |||
Kerry Group PLC, Class A (London Stock Exchange) | 5,738 | 796,628 | |||
Kingspan Group PLC | 5,492 | 514,448 | |||
Smurfit Kappa Group PLC | 8,017 | 436,164 | |||
6,141,934 | |||||
Isle of Man - 0.1% | |||||
Entain PLC (A) | 19,428 | 469,450 | |||
Israel - 0.4% | |||||
Azrieli Group, Ltd. | 1,424 | 100,337 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Israel (continued) | |||||
Bank Hapoalim BM (A) | 40,928 | $ | 328,595 | ||
Bank Leumi Le-Israel BM (A) | 54,437 | 413,652 | |||
Check Point Software Technologies, Ltd. (A) | 4,016 | 466,378 | |||
CyberArk Software, Ltd. (A) | 1,300 | 169,351 | |||
Elbit Systems, Ltd. | 787 | 101,953 | |||
ICL Group, Ltd. | 27,153 | 184,246 | |||
Isracard, Ltd. (A) | 1 | 2 | |||
Israel Discount Bank, Ltd., Class A (A) | 41,515 | 197,771 | |||
Mizrahi Tefahot Bank, Ltd. (A) | 5,543 | 170,750 | |||
Nice, Ltd. (A) | 2,200 | 543,034 | |||
Teva Pharmaceutical Industries, Ltd. (A) | 33,126 | 328,935 | |||
Teva Pharmaceutical Industries, Ltd., ADR (A) | 5,800 | 57,420 | |||
Wix.com, Ltd. (A) | 1,900 | 551,532 | |||
3,613,956 | |||||
Italy - 1.3% | |||||
Amplifon SpA | 4,199 | 207,614 | |||
Assicurazioni Generali SpA | 37,206 | 746,972 | |||
Atlantia SpA (A) | 19,839 | 360,236 | |||
Davide Campari-Milano NV | 19,587 | 262,547 | |||
DiaSorin SpA | 876 | 165,753 | |||
Enel SpA | 277,869 | 2,582,196 | |||
Eni SpA | 89,209 | 1,087,593 | |||
Ferrari NV | 4,317 | 891,227 | |||
FinecoBank Banca Fineco SpA (A) | 20,557 | 358,746 | |||
Infrastrutture Wireless Italiane SpA (C) | 8,355 | 94,348 | |||
Intesa Sanpaolo SpA | 577,542 | 1,597,673 | |||
Mediobanca Banca di Credito Finanziario SpA (A) | 22,013 | 257,555 | |||
Moncler SpA | 6,366 | 431,537 | |||
Nexi SpA (A)(C) | 14,507 | 318,794 | |||
Poste Italiane SpA (C) | 21,903 | 289,898 | |||
Prysmian SpA | 8,366 | 300,222 | |||
Recordati Industria Chimica e Farmaceutica SpA | 4,564 | 261,071 | |||
Snam SpA | 68,229 | 394,687 | |||
Telecom Italia SpA | 387,741 | 192,927 | |||
Telecom Italia SpA, Savings Shares | 233,394 | 123,803 | |||
Terna SpA | 47,449 | 353,859 | |||
UniCredit SpA | 71,677 | 847,414 | |||
12,126,672 | |||||
Japan - 14.3% | |||||
ABC-Mart, Inc. | 1,400 | 80,522 | |||
Acom Company, Ltd. | 18,200 | 79,413 | |||
Advantest Corp. | 6,700 | 601,572 | |||
Aeon Company, Ltd. | 22,700 | 609,376 | |||
AGC, Inc. (B) | 6,500 | 272,288 | |||
Aisin Corp. | 6,200 | 265,840 | |||
Ajinomoto Company, Inc. | 16,300 | 423,468 | |||
ANA Holdings, Inc. (A) | 4,100 | 96,359 | |||
Asahi Group Holdings, Ltd. | 15,100 | 705,755 | |||
Asahi Intecc Company, Ltd. | 7,000 | 167,360 | |||
Asahi Kasei Corp. | 43,300 | 475,918 | |||
Astellas Pharma, Inc. | 62,400 | 1,087,424 | |||
Azbil Corp. | 4,200 | 174,034 | |||
Bandai Namco Holdings, Inc. | 6,899 | 477,476 | |||
Bridgestone Corp. (B) | 18,700 | 849,959 | |||
Brother Industries, Ltd. | 8,700 | 173,769 | |||
Canon, Inc. (B) | 33,800 | 763,947 | |||
Capcom Company, Ltd. | 6,000 | 175,372 | |||
Casio Computer Company, Ltd. | 6,700 | 112,424 | |||
Central Japan Railway Company | 4,800 | 729,363 | |||
Chubu Electric Power Company, Inc. | 22,000 | 269,162 | |||
Chugai Pharmaceutical Company, Ltd. | 22,500 | 891,824 |
The accompanying notes are an integral part of the financial statements. | 54 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Japan (continued) | |||||
Concordia Financial Group, Ltd. | 39,100 | $ | 143,684 | ||
Cosmos Pharmaceutical Corp. | 300 | 44,079 | |||
CyberAgent, Inc. | 14,400 | 308,406 | |||
Dai Nippon Printing Company, Ltd. | 8,400 | 177,756 | |||
Daifuku Company, Ltd. | 3,500 | 317,549 | |||
Dai-ichi Life Holdings, Inc. | 37,400 | 688,131 | |||
Daiichi Sankyo Company, Ltd. | 57,500 | 1,240,453 | |||
Daikin Industries, Ltd. | 8,400 | 1,565,338 | |||
Daito Trust Construction Company, Ltd. | 2,300 | 250,936 | |||
Daiwa House Industry Company, Ltd. | 19,700 | 592,349 | |||
Daiwa House REIT Investment Corp. | 78 | 229,528 | |||
Daiwa Securities Group, Inc. | 54,400 | 298,851 | |||
Denso Corp. | 15,000 | 1,022,873 | |||
Dentsu Group, Inc. (B) | 7,500 | 269,083 | |||
Disco Corp. | 1,000 | 304,049 | |||
East Japan Railway Company | 10,400 | 741,666 | |||
Eisai Company, Ltd. | 8,800 | 864,840 | |||
ENEOS Holdings, Inc. | 109,211 | 457,682 | |||
FANUC Corp. | 6,500 | 1,558,686 | |||
Fast Retailing Company, Ltd. | 2,000 | 1,503,377 | |||
Fuji Electric Company, Ltd. | 4,600 | 214,715 | |||
FUJIFILM Holdings Corp. | 12,500 | 924,606 | |||
Fujitsu, Ltd. | 6,800 | 1,272,273 | |||
GLP J-REIT | 127 | 218,813 | |||
GMO Payment Gateway, Inc. | 1,500 | 194,811 | |||
Hakuhodo DY Holdings, Inc. | 9,300 | 144,844 | |||
Hamamatsu Photonics KK | 4,800 | 289,148 | |||
Hankyu Hanshin Holdings, Inc. | 8,400 | 259,290 | |||
Harmonic Drive Systems, Inc. | 1,300 | 71,446 | |||
Hikari Tsushin, Inc. | 800 | 140,597 | |||
Hino Motors, Ltd. | 10,000 | 88,451 | |||
Hirose Electric Company, Ltd. | 1,223 | 178,918 | |||
Hisamitsu Pharmaceutical Company, Inc. | 2,000 | 98,749 | |||
Hitachi Construction Machinery Company, Ltd. | 4,100 | 125,566 | |||
Hitachi Metals, Ltd. (A) | 7,400 | 141,414 | |||
Hitachi, Ltd. | 32,700 | 1,873,945 | |||
Honda Motor Company, Ltd. | 55,100 | 1,772,195 | |||
Hoshizaki Corp. | 1,900 | 161,410 | |||
Hoya Corp. | 12,700 | 1,679,834 | |||
Hulic Company, Ltd. | 10,700 | 120,202 | |||
Ibiden Company, Ltd. | 3,600 | 193,765 | |||
Idemitsu Kosan Company, Ltd. | 7,206 | 174,102 | |||
Iida Group Holdings Company, Ltd. | 5,000 | 128,610 | |||
Inpex Corp. | 36,700 | 274,677 | |||
Isuzu Motors, Ltd. | 19,000 | 252,124 | |||
Ito En, Ltd. | 1,900 | 112,765 | |||
ITOCHU Corp. | 39,200 | 1,131,104 | |||
Itochu Techno-Solutions Corp. | 3,400 | 105,182 | |||
Japan Airlines Company, Ltd. (A) | 4,000 | 86,613 | |||
Japan Exchange Group, Inc. | 18,100 | 403,195 | |||
Japan Metropolitan Fund Investment Corp. | 186 | 201,619 | |||
Japan Post Bank Company, Ltd. | 14,000 | 117,745 | |||
Japan Post Holdings Company, Ltd. (A) | 54,300 | 446,006 | |||
Japan Post Insurance Company, Ltd. | 8,300 | 153,576 | |||
Japan Real Estate Investment Corp. | 47 | 288,650 | |||
Japan Tobacco, Inc. (B) | 40,500 | 765,382 | |||
JFE Holdings, Inc. | 18,300 | 214,694 | |||
JSR Corp. | 6,500 | 197,451 | |||
Kajima Corp. | 16,500 | 209,382 | |||
Kakaku.com, Inc. | 5,000 | 150,421 | |||
Kansai Paint Company, Ltd. | 5,900 | 150,604 | |||
Kao Corp. | 16,300 | 1,005,059 | |||
KDDI Corp. | 54,500 | 1,697,985 | |||
Keio Corp. | 3,700 | 217,803 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Japan (continued) | |||||
Keisei Electric Railway Company, Ltd. | 4,800 | $ | 153,449 | ||
Keyence Corp. | 6,396 | 3,221,175 | |||
Kikkoman Corp. | 5,200 | 342,931 | |||
Kintetsu Group Holdings Company, Ltd. (A) | 6,200 | 217,925 | |||
Kirin Holdings Company, Ltd. | 27,800 | 542,540 | |||
Kobayashi Pharmaceutical Company, Ltd. | 1,800 | 153,908 | |||
Kobe Bussan Company, Ltd. | 4,200 | 132,327 | |||
Koei Tecmo Holdings Company, Ltd. | 1,950 | 94,803 | |||
Koito Manufacturing Company, Ltd. | 3,500 | 217,780 | |||
Komatsu, Ltd. | 29,300 | 725,865 | |||
Konami Holdings Corp. | 3,100 | 185,659 | |||
Kose Corp. | 1,200 | 188,517 | |||
Kubota Corp. (B) | 35,000 | 708,040 | |||
Kurita Water Industries, Ltd. | 3,500 | 168,240 | |||
Kyocera Corp. | 10,800 | 667,228 | |||
Kyowa Kirin Company, Ltd. | 9,473 | 336,912 | |||
Lasertec Corp. | 2,600 | 502,905 | |||
Lawson, Inc. | 1,900 | 88,001 | |||
Lion Corp. | 8,000 | 135,605 | |||
Lixil Corp. | 9,000 | 232,896 | |||
M3, Inc. | 14,900 | 1,085,589 | |||
Makita Corp. | 7,800 | 367,279 | |||
Marubeni Corp. | 57,400 | 499,865 | |||
Mazda Motor Corp. (A) | 20,300 | 191,520 | |||
McDonald's Holdings Company Japan, Ltd. | 2,600 | 114,573 | |||
Medipal Holdings Corp. | 6,090 | 116,432 | |||
MEIJI Holdings Company, Ltd. | 4,100 | 245,692 | |||
Mercari, Inc. (A) | 3,000 | 158,590 | |||
MINEBEA MITSUMI, Inc. | 12,500 | 330,267 | |||
MISUMI Group, Inc. | 9,800 | 331,649 | |||
Mitsubishi Chemical Holdings Corp. | 46,900 | 394,617 | |||
Mitsubishi Corp. | 44,800 | 1,223,768 | |||
Mitsubishi Electric Corp. | 63,000 | 914,586 | |||
Mitsubishi Estate Company, Ltd. | 41,300 | 667,556 | |||
Mitsubishi Gas Chemical Company, Inc. | 5,814 | 123,198 | |||
Mitsubishi HC Capital, Inc. | 17,600 | 94,380 | |||
Mitsubishi Heavy Industries, Ltd. | 11,700 | 345,410 | |||
Mitsubishi UFJ Financial Group, Inc. | 412,200 | 2,220,216 | |||
Mitsui & Company, Ltd. | 54,700 | 1,232,156 | |||
Mitsui Chemicals, Inc. | 6,800 | 235,061 | |||
Mitsui Fudosan Company, Ltd. | 31,400 | 726,083 | |||
Miura Company, Ltd. | 3,100 | 134,611 | |||
Mizuho Financial Group, Inc. | 83,210 | 1,192,608 | |||
MonotaRO Company, Ltd. | 9,000 | 212,082 | |||
MS&AD Insurance Group Holdings, Inc. | 15,500 | 448,139 | |||
Murata Manufacturing Company, Ltd. | 19,400 | 1,477,793 | |||
Nabtesco Corp. | 3,900 | 147,136 | |||
NEC Corp. | 8,800 | 452,799 | |||
Nexon Company, Ltd. | 16,800 | 373,876 | |||
NGK Insulators, Ltd. | 9,000 | 151,468 | |||
NH Foods, Ltd. | 3,119 | 121,243 | |||
Nidec Corp. | 15,100 | 1,736,353 | |||
Nihon M&A Center, Inc. | 10,400 | 269,364 | |||
Nintendo Company, Ltd. | 3,800 | 2,198,957 | |||
Nippon Building Fund, Inc. | 48 | 299,067 | |||
Nippon Express Company, Ltd. | 2,500 | 190,637 | |||
Nippon Paint Holdings Company, Ltd. | 24,500 | 331,439 | |||
Nippon Prologis REIT, Inc. | 66 | 209,888 | |||
Nippon Sanso Holdings Corp. | 4,600 | 94,429 | |||
Nippon Shinyaku Company, Ltd. | 1,700 | 135,248 | |||
Nippon Steel Corp. | 27,900 | 471,739 | |||
Nippon Telegraph & Telephone Corp. | 43,200 | 1,129,472 | |||
Nippon Yusen KK | 5,500 | 279,115 |
The accompanying notes are an integral part of the financial statements. | 55 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Japan (continued) | |||||
Nissan Chemical Corp. | 4,600 | $ | 224,848 | ||
Nissan Motor Company, Ltd. (A) | 77,800 | 387,575 | |||
Nisshin Seifun Group, Inc. | 7,400 | 108,488 | |||
Nissin Foods Holdings Company, Ltd. | 2,200 | 158,415 | |||
Nitori Holdings Company, Ltd. | 2,800 | 494,472 | |||
Nitto Denko Corp. | 5,400 | 402,140 | |||
Nomura Holdings, Inc. | 109,800 | 558,826 | |||
Nomura Real Estate Holdings, Inc. | 4,500 | 113,980 | |||
Nomura Real Estate Master Fund, Inc. | 151 | 241,666 | |||
Nomura Research Institute, Ltd. | 11,146 | 368,115 | |||
NSK, Ltd. | 13,215 | 111,778 | |||
NTT Data Corp. | 22,500 | 351,243 | |||
Obayashi Corp. | 22,500 | 179,387 | |||
Obic Company, Ltd. | 2,200 | 409,154 | |||
Odakyu Electric Railway Company, Ltd. | 10,900 | 275,702 | |||
Oji Holdings Corp. | 30,000 | 172,402 | |||
Olympus Corp. | 39,100 | 777,736 | |||
Omron Corp. | 6,200 | 490,897 | |||
Ono Pharmaceutical Company, Ltd. | 12,500 | 278,752 | |||
Oracle Corp. Japan | 1,500 | 114,613 | |||
Oriental Land Company, Ltd. | 6,900 | 983,013 | |||
ORIX Corp. | 45,600 | 770,713 | |||
Orix JREIT, Inc. | 97 | 186,212 | |||
Osaka Gas Company, Ltd. | 13,800 | 257,493 | |||
Otsuka Corp. | 3,800 | 199,197 | |||
Otsuka Holdings Company, Ltd. (B) | 13,600 | 564,699 | |||
Pan Pacific International Holdings Corp. | 15,000 | 311,925 | |||
Panasonic Corp. | 74,000 | 852,075 | |||
PeptiDream, Inc. (A) | 3,300 | 161,274 | |||
Persol Holdings Company, Ltd. | 6,200 | 122,428 | |||
Pigeon Corp. | 4,100 | 115,636 | |||
Pola Orbis Holdings, Inc. | 3,200 | 84,377 | |||
Rakuten Group, Inc. | 29,700 | 335,347 | |||
Recruit Holdings Company, Ltd. | 44,800 | 2,196,938 | |||
Renesas Electronics Corp. (A) | 26,200 | 282,760 | |||
Resona Holdings, Inc. | 78,000 | 300,741 | |||
Ricoh Company, Ltd. | 24,000 | 270,145 | |||
Rinnai Corp. | 1,200 | 114,219 | |||
Rohm Company, Ltd. | 3,000 | 276,083 | |||
Ryohin Keikaku Company, Ltd. | 9,000 | 188,803 | |||
Santen Pharmaceutical Company, Ltd. | 12,500 | 172,520 | |||
SBI Holdings, Inc. | 8,213 | 193,997 | |||
SCSK Corp. | 1,800 | 107,251 | |||
Secom Company, Ltd. | 7,300 | 556,410 | |||
Seiko Epson Corp. | 9,600 | 168,749 | |||
Sekisui Chemical Company, Ltd. | 13,400 | 229,435 | |||
Sekisui House, Ltd. | 21,400 | 439,444 | |||
Seven & i Holdings Company, Ltd. | 26,000 | 1,245,422 | |||
SG Holdings Company, Ltd. | 10,200 | 267,844 | |||
Sharp Corp. | 7,400 | 122,083 | |||
Shimadzu Corp. | 8,000 | 309,126 | |||
Shimano, Inc. (B) | 2,600 | 618,602 | |||
Shimizu Corp. | 21,600 | 165,996 | |||
Shin-Etsu Chemical Company, Ltd. | 11,900 | 1,990,402 | |||
Shionogi & Company, Ltd. | 9,200 | 479,467 | |||
Shiseido Company, Ltd. | 13,500 | 995,743 | |||
SMC Corp. | 1,900 | 1,124,030 | |||
SoftBank Corp. | 97,600 | 1,276,119 | |||
SoftBank Group Corp. | 41,400 | 2,887,311 | |||
Sohgo Security Services Company, Ltd. | 2,900 | 132,126 | |||
Sompo Holdings, Inc. | 11,600 | 429,644 | |||
Sony Group Corp. | 42,500 | 4,121,109 | |||
Square Enix Holdings Company, Ltd. | 3,400 | 167,909 | |||
Stanley Electric Company, Ltd. | 5,300 | 153,124 | |||
Subaru Corp. | 21,200 | 420,173 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Japan (continued) | |||||
SUMCO Corp. | 8,200 | $ | 200,868 | ||
Sumitomo Chemical Company, Ltd. | 56,000 | 297,633 | |||
Sumitomo Corp. | 41,300 | 553,769 | |||
Sumitomo Dainippon Pharma Company, Ltd. | 5,300 | 111,163 | |||
Sumitomo Electric Industries, Ltd. | 26,200 | 386,972 | |||
Sumitomo Metal Mining Company, Ltd. | 7,800 | 303,348 | |||
Sumitomo Mitsui Financial Group, Inc. | 44,100 | 1,520,214 | |||
Sumitomo Mitsui Trust Holdings, Inc. | 11,000 | 350,902 | |||
Sumitomo Realty & Development Company, Ltd. | 10,700 | 382,683 | |||
Suntory Beverage & Food, Ltd. (B) | 5,000 | 188,462 | |||
Suzuki Motor Corp. | 12,800 | 542,459 | |||
Sysmex Corp. | 5,800 | 688,081 | |||
T&D Holdings, Inc. | 19,900 | 258,240 | |||
Taisei Corp. | 6,600 | 216,615 | |||
Taisho Pharmaceutical Holdings Company, Ltd. | 1,200 | 64,239 | |||
Takeda Pharmaceutical Company, Ltd. | 52,876 | 1,774,549 | |||
TDK Corp. | 4,500 | 544,746 | |||
Terumo Corp. | 22,300 | 903,205 | |||
The Chiba Bank, Ltd. | 21,600 | 130,550 | |||
The Kansai Electric Power Company, Inc. | 24,300 | 231,866 | |||
The Shizuoka Bank, Ltd. | 17,000 | 131,923 | |||
THK Company, Ltd. | 4,200 | 125,339 | |||
TIS, Inc. | 7,800 | 199,066 | |||
Tobu Railway Company, Ltd. | 6,800 | 176,012 | |||
Toho Company, Ltd. | 4,067 | 167,690 | |||
Toho Gas Company, Ltd. | 2,800 | 137,463 | |||
Tohoku Electric Power Company, Inc. | 16,600 | 130,151 | |||
Tokio Marine Holdings, Inc. | 21,200 | 976,478 | |||
Tokyo Century Corp. | 1,500 | 80,646 | |||
Tokyo Electric Power Company Holdings, Inc. (A) | 50,400 | 150,080 | |||
Tokyo Electron, Ltd. | 5,000 | 2,161,922 | |||
Tokyo Gas Company, Ltd. | 13,900 | 262,177 | |||
Tokyu Corp. | 17,900 | 243,620 | |||
TOPPAN, Inc. | 10,300 | 165,643 | |||
Toray Industries, Inc. | 50,800 | 338,631 | |||
Toshiba Corp. | 13,400 | 578,894 | |||
Tosoh Corp. | 9,300 | 160,358 | |||
TOTO, Ltd. | 4,800 | 248,704 | |||
Toyo Suisan Kaisha, Ltd. | 3,100 | 119,482 | |||
Toyota Industries Corp. | 5,200 | 449,671 | |||
Toyota Motor Corp. | 71,480 | 6,248,360 | |||
Toyota Tsusho Corp. | 7,900 | 374,964 | |||
Trend Micro, Inc. | 4,600 | 240,872 | |||
Tsuruha Holdings, Inc. | 1,300 | 151,301 | |||
Unicharm Corp. | 14,000 | 563,924 | |||
United Urban Investment Corp. | 114 | 164,650 | |||
USS Company, Ltd. | 7,770 | 135,823 | |||
Welcia Holdings Company, Ltd. | 3,400 | 111,175 | |||
West Japan Railway Company | 6,000 | 342,870 | |||
Yakult Honsha Company, Ltd. | 4,243 | 240,249 | |||
Yamada Holdings Company, Ltd. | 22,400 | 103,580 | |||
Yamaha Corp. | 4,700 | 255,151 | |||
Yamaha Motor Company, Ltd. | 10,100 | 274,338 | |||
Yamato Holdings Company, Ltd. | 11,000 | 312,554 | |||
Yaskawa Electric Corp. | 8,300 | 405,333 | |||
Yokogawa Electric Corp. | 7,886 | 117,939 | |||
Z Holdings Corp. | 88,900 | 444,897 | |||
ZOZO, Inc. | 2,800 | 94,936 | |||
134,210,071 | |||||
Jordan - 0.0% | |||||
Hikma Pharmaceuticals PLC | 5,739 | 194,218 |
The accompanying notes are an integral part of the financial statements. | 56 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Luxembourg - 0.2% | |||||
ArcelorMittal SA | 24,275 | $ | 747,354 | ||
Aroundtown SA | 37,519 | 292,731 | |||
Eurofins Scientific SE | 4,300 | 491,827 | |||
Reinet Investments SCA | 5,229 | 102,450 | |||
Tenaris SA | 16,418 | 179,617 | |||
1,813,979 | |||||
Macau - 0.0% | |||||
Sands China, Ltd. (A) | 81,200 | 341,784 | |||
Wynn Macau, Ltd. (A) | 61,415 | 96,600 | |||
438,384 | |||||
Malaysia - 0.4% | |||||
AMMB Holdings BHD | 59,087 | 42,001 | |||
Axiata Group BHD | 101,690 | 91,691 | |||
CIMB Group Holdings BHD | 190,691 | 211,899 | |||
Dialog Group BHD | 166,000 | 115,620 | |||
DiGi.Com BHD | 110,800 | 110,280 | |||
Genting BHD | 72,900 | 86,601 | |||
Genting Malaysia BHD | 105,700 | 70,558 | |||
HAP Seng Consolidated BHD | 30,200 | 56,783 | |||
Hartalega Holdings BHD | 60,200 | 106,618 | |||
Hong Leong Bank BHD | 23,269 | 104,961 | |||
Hong Leong Financial Group BHD | 6,104 | 26,196 | |||
IHH Healthcare BHD | 108,100 | 142,508 | |||
IOI Corp. BHD | 114,466 | 103,692 | |||
Kuala Lumpur Kepong BHD | 17,415 | 85,409 | |||
Malayan Banking BHD | 127,999 | 250,101 | |||
Malaysia Airports Holdings BHD (A) | 34,427 | 49,789 | |||
Maxis BHD | 67,200 | 71,082 | |||
MISC BHD | 26,280 | 42,952 | |||
Nestle Malaysia BHD | 2,800 | 89,937 | |||
Petronas Chemicals Group BHD | 99,800 | 193,891 | |||
Petronas Dagangan BHD | 12,200 | 54,686 | |||
Petronas Gas BHD | 21,200 | 79,163 | |||
PPB Group BHD | 21,240 | 93,646 | |||
Press Metal Aluminium Holdings BHD | 120,800 | 139,156 | |||
Public Bank BHD | 486,890 | 482,071 | |||
RHB Bank BHD | 29,167 | 37,952 | |||
Sime Darby BHD | 108,224 | 56,834 | |||
Sime Darby Plantation BHD | 108,786 | 104,356 | |||
Supermax Corp. BHD | 53,155 | 42,251 | |||
Telekom Malaysia BHD | 42,705 | 62,464 | |||
Tenaga Nasional BHD | 101,250 | 238,853 | |||
Top Glove Corp. BHD | 164,400 | 165,057 | |||
3,609,058 | |||||
Mexico - 0.5% | |||||
America Movil SAB de CV, Series L | 1,136,332 | 855,071 | |||
Arca Continental SAB de CV | 16,000 | 92,594 | |||
Cemex SAB de CV, Series CPO (A) | 521,849 | 439,281 | |||
Coca-Cola Femsa SAB de CV | 15,212 | 80,509 | |||
Fibra Uno Administracion SA de CV | 90,200 | 97,286 | |||
Fomento Economico Mexicano SAB de CV | 65,020 | 549,966 | |||
Gruma SAB de CV, Class B | 7,685 | 86,380 | |||
Grupo Aeroportuario del Pacifico SAB de CV, B Shares (A) | 9,700 | 103,851 | |||
Grupo Aeroportuario del Sureste SAB de CV, B Shares | 5,780 | 106,417 | |||
Grupo Bimbo SAB de CV, Series A | 53,084 | 116,905 | |||
Grupo Carso SAB de CV, Series A1 | 9,477 | 29,505 | |||
Grupo Financiero Banorte SAB de CV, Series O | 86,662 | 558,038 | |||
Grupo Financiero Inbursa SAB de CV, Series O (A) | 77,038 | 75,902 | |||
Grupo Mexico SAB de CV, Series B | 104,066 | 490,521 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Mexico (continued) | |||||
Grupo Televisa SAB, Series CPO | 80,326 | $ | 229,526 | ||
Industrias Penoles SAB de CV (A) | 4,883 | 67,606 | |||
Kimberly-Clark de Mexico SAB de CV, Class A | 43,778 | 77,766 | |||
Orbia Advance Corp. SAB de CV | 37,631 | 98,372 | |||
Promotora y Operadora de Infraestructura SAB de CV | 5,800 | 46,312 | |||
Wal-Mart de Mexico SAB de CV | 174,988 | 571,560 | |||
4,773,368 | |||||
Netherlands - 3.5% | |||||
ABN AMRO Bank NV (A)(C) | 15,368 | 186,219 | |||
Adyen NV (A)(C) | 655 | 1,606,273 | |||
Aegon NV | 75,157 | 312,586 | |||
Akzo Nobel NV | 6,657 | 824,274 | |||
Argenx SE (A) | 1,553 | 468,563 | |||
ASM International NV | 1,660 | 547,512 | |||
ASML Holding NV | 13,926 | 9,613,363 | |||
EXOR NV | 3,992 | 320,371 | |||
Heineken Holding NV | 4,217 | 425,531 | |||
Heineken NV | 9,090 | 1,103,519 | |||
ING Groep NV | 132,675 | 1,761,171 | |||
JDE Peet's NV (A) | 3,077 | 111,685 | |||
Just Eat Takeaway.com NV (A)(C) | 5,955 | 550,739 | |||
Koninklijke Ahold Delhaize NV | 37,735 | 1,123,729 | |||
Koninklijke DSM NV (B) | 6,202 | 1,159,356 | |||
Koninklijke KPN NV | 126,323 | 395,094 | |||
Koninklijke Philips NV (B) | 31,501 | 1,563,523 | |||
Koninklijke Vopak NV | 2,830 | 128,645 | |||
NN Group NV (B) | 10,792 | 509,806 | |||
Prosus NV (A) | 16,548 | 1,621,164 | |||
QIAGEN NV (A) | 8,350 | 403,626 | |||
Randstad NV | 4,395 | 336,921 | |||
Royal Dutch Shell PLC, A Shares | 138,310 | 2,772,818 | |||
Royal Dutch Shell PLC, B Shares | 124,526 | 2,417,395 | |||
Stellantis NV | 37,161 | 731,081 | |||
Stellantis NV (Eurnonext Paris Exchange) | 34,423 | 676,988 | |||
Wolters Kluwer NV | 9,296 | 934,375 | |||
32,606,327 | |||||
New Zealand - 0.2% | |||||
a2 Milk Company, Ltd. (A) | 26,028 | 117,114 | |||
Auckland International Airport, Ltd. (A) | 36,599 | 185,935 | |||
Fisher & Paykel Healthcare Corp., Ltd. | 19,921 | 433,368 | |||
Mercury NZ, Ltd. | 22,971 | 107,054 | |||
Meridian Energy, Ltd. | 43,320 | 161,517 | |||
Ryman Healthcare, Ltd. | 12,940 | 118,745 | |||
Spark New Zealand, Ltd. | 67,539 | 226,707 | |||
Xero, Ltd. (A) | 4,384 | 450,938 | |||
1,801,378 | |||||
Norway - 0.4% | |||||
Adevinta ASA (A) | 8,335 | 159,890 | |||
DNB ASA | 35,015 | 763,125 | |||
Equinor ASA | 35,722 | 756,182 | |||
Gjensidige Forsikring ASA | 6,934 | 152,884 | |||
Mowi ASA | 14,928 | 380,060 | |||
Norsk Hydro ASA | 48,185 | 307,632 | |||
Orkla ASA | 29,206 | 297,643 | |||
Schibsted ASA, B Shares | 3,512 | 145,987 | |||
Schibsted ASA, Class A | 2,550 | 123,015 | |||
Telenor ASA | 26,898 | 453,636 | |||
Yara International ASA | 6,981 | 367,859 | |||
3,907,913 | |||||
Peru - 0.1% | |||||
Cia de Minas Buenaventura SAA, ADR (A) | 8,064 | 72,979 |
The accompanying notes are an integral part of the financial statements. | 57 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Peru (continued) | |||||
Credicorp, Ltd. (A) | 2,434 | $ | 294,782 | ||
Southern Copper Corp. | 2,874 | 184,856 | |||
552,617 | |||||
Philippines - 0.2% | |||||
Aboitiz Equity Ventures, Inc. | 85,070 | 73,531 | |||
Ayala Corp. | 8,920 | 146,209 | |||
Ayala Land, Inc. | 253,800 | 187,611 | |||
Bank of the Philippine Islands | 34,118 | 61,952 | |||
BDO Unibank, Inc. | 77,140 | 178,854 | |||
Globe Telecom, Inc. | 970 | 36,547 | |||
GT Capital Holdings, Inc. | 3,464 | 43,089 | |||
International Container Terminal Services, Inc. | 33,760 | 113,172 | |||
JG Summit Holdings, Inc. | 89,355 | 113,816 | |||
Jollibee Foods Corp. | 18,900 | 82,710 | |||
Manila Electric Company | 8,090 | 45,936 | |||
Metro Pacific Investments Corp. | 509,100 | 40,551 | |||
Metropolitan Bank & Trust Company | 65,642 | 65,477 | |||
PLDT, Inc. | 3,730 | 98,598 | |||
SM Investments Corp. | 8,302 | 170,105 | |||
SM Prime Holdings, Inc. | 311,044 | 232,586 | |||
Universal Robina Corp. | 30,280 | 89,654 | |||
1,780,398 | |||||
Poland - 0.2% | |||||
Allegro.eu SA (A)(C) | 8,627 | 148,211 | |||
Bank Polska Kasa Opieki SA (A) | 5,522 | 134,754 | |||
CD Projekt SA | 2,349 | 114,118 | |||
Cyfrowy Polsat SA | 6,360 | 49,963 | |||
Dino Polska SA (A)(C) | 1,719 | 126,274 | |||
InPost SA (A) | 6,603 | 132,873 | |||
KGHM Polska Miedz SA | 5,681 | 279,522 | |||
LPP SA (A) | 42 | 141,709 | |||
Orange Polska SA (A) | 26,179 | 46,071 | |||
PGE Polska Grupa Energetyczna SA (A) | 26,654 | 65,786 | |||
Polski Koncern Naftowy ORLEN SA | 11,432 | 230,486 | |||
Polskie Gornictwo Naftowe i Gazownictwo SA | 62,946 | 110,142 | |||
Powszechna Kasa Oszczednosci Bank Polski SA (A) | 32,873 | 326,151 | |||
Powszechny Zaklad Ubezpieczen SA (A) | 23,000 | 221,483 | |||
Santander Bank Polska SA (A) | 1,219 | 81,375 | |||
2,208,918 | |||||
Portugal - 0.1% | |||||
EDP - Energias de Portugal SA | 91,820 | 487,235 | |||
Galp Energia SGPS SA | 18,673 | 203,025 | |||
Jeronimo Martins SGPS SA | 7,332 | 133,791 | |||
824,051 | |||||
Romania - 0.0% | |||||
NEPI Rockcastle PLC | 15,018 | 106,424 | |||
Russia - 0.9% | |||||
Gazprom PJSC, ADR | 251,662 | 1,922,698 | |||
Gazprom PJSC, ADR (London Stock Exchange) | 3,680 | 28,092 | |||
LUKOIL PJSC, ADR | 23,756 | 2,185,552 | |||
MMC Norilsk Nickel PJSC, ADR | 39,185 | 1,329,155 | |||
Mobile TeleSystems PJSC, ADR | 20,264 | 187,645 | |||
Novatek PJSC, GDR | 3,057 | 670,810 | |||
Rosneft Oil Company PJSC, GDR | 30,000 | 232,678 | |||
Rosneft Oil Company PJSC, GDR (London Stock Exchange) | 9,131 | 70,819 | |||
Sberbank of Russia PJSC, ADR | 40,000 | 667,600 | |||
Sberbank of Russia PJSC, ADR (London Stock Exchange) | 34,900 | 580,050 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Russia (continued) | |||||
Severstal PAO, GDR | 4,250 | $ | 91,471 | ||
Surgutneftegas PJSC, ADR | 22,274 | 138,544 | |||
Surgutneftegas PJSC, ADR (London Stock Exchange) | 23,070 | 114,595 | |||
Tatneft PJSC, ADR | 7,986 | 339,804 | |||
VTB Bank PJSC, GDR | 50,760 | 67,565 | |||
8,627,078 | |||||
Saudi Arabia - 0.8% | |||||
Advanced Petrochemical Company | 3,771 | 72,765 | |||
Al Rajhi Bank | 43,550 | 1,289,672 | |||
Alinma Bank | 34,699 | 194,757 | |||
Almarai Company JSC | 8,852 | 149,680 | |||
Arab National Bank | 21,244 | 128,624 | |||
Bank AlBilad (A) | 13,065 | 127,926 | |||
Bank Al-Jazira (A) | 14,284 | 70,527 | |||
Banque Saudi Fransi | 19,205 | 196,671 | |||
Bupa Arabia for Cooperative Insurance Company | 981 | 32,502 | |||
Dar Al Arkan Real Estate Development Company (A) | 18,814 | 53,082 | |||
Emaar Economic City (A) | 13,598 | 46,402 | |||
Etihad Etisalat Company | 13,413 | 118,605 | |||
Jarir Marketing Company | 2,090 | 117,651 | |||
National Industrialization Company (A) | 11,652 | 60,073 | |||
Rabigh Refining & Petrochemical Company (A) | 7,786 | 48,847 | |||
Riyad Bank | 42,488 | 300,262 | |||
SABIC Agri-Nutrients Company | 5,901 | 188,064 | |||
Sahara International Petrochemical Company | 12,775 | 104,465 | |||
Saudi Arabian Mining Company (A) | 15,250 | 257,368 | |||
Saudi Arabian Oil Company (C) | 76,487 | 715,959 | |||
Saudi Basic Industries Corp. | 26,663 | 866,810 | |||
Saudi Cement Company | 2,665 | 45,192 | |||
Saudi Electricity Company | 29,505 | 189,987 | |||
Saudi Industrial Investment Group | 7,839 | 73,246 | |||
Saudi Kayan Petrochemical Company (A) | 26,130 | 125,935 | |||
Saudi Telecom Company | 20,888 | 733,345 | |||
The Company for Cooperative Insurance | 2,178 | 48,094 | |||
The Saudi British Bank (A) | 25,464 | 214,048 | |||
The Saudi National Bank | 68,407 | 1,050,728 | |||
The Savola Group | 9,302 | 107,078 | |||
Yanbu National Petrochemical Company | 7,999 | 154,998 | |||
7,883,363 | |||||
Singapore - 0.7% | |||||
Ascendas Real Estate Investment Trust | 117,802 | 258,872 | |||
BOC Aviation, Ltd. (C) | 7,400 | 62,429 | |||
CapitaLand Integrated Commercial Trust | 150,007 | 233,549 | |||
CapitaLand, Ltd. | 93,902 | 259,379 | |||
City Developments, Ltd. | 16,600 | 90,148 | |||
DBS Group Holdings, Ltd. | 61,754 | 1,373,860 | |||
Genting Singapore, Ltd. | 226,200 | 140,893 | |||
Keppel Corp., Ltd. | 55,069 | 224,561 | |||
Mapletree Commercial Trust | 74,500 | 119,836 | |||
Mapletree Logistics Trust | 94,359 | 144,249 | |||
Oversea-Chinese Banking Corp., Ltd. | 113,002 | 1,007,045 | |||
Sea, Ltd., ADR (A) | 500 | 137,300 | |||
Singapore Airlines, Ltd. (A) | 57,850 | 208,615 | |||
Singapore Exchange, Ltd. | 28,000 | 233,208 | |||
Singapore Technologies Engineering, Ltd. | 54,000 | 155,813 | |||
Singapore Telecommunications, Ltd. | 294,940 | 502,278 | |||
United Overseas Bank, Ltd. | 40,908 | 787,782 | |||
UOL Group, Ltd. | 20,239 | 110,066 | |||
Venture Corp., Ltd. | 9,700 | 138,768 |
The accompanying notes are an integral part of the financial statements. | 58 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Singapore (continued) | |||||
Wilmar International, Ltd. | 72,000 | $ | 241,398 | ||
6,430,049 | |||||
South Africa - 1.1% | |||||
Absa Group, Ltd. (A) | 25,092 | 238,347 | |||
Anglo American Platinum, Ltd. | 1,548 | 178,783 | |||
AngloGold Ashanti, Ltd. | 14,430 | 267,843 | |||
Aspen Pharmacare Holdings, Ltd. (A) | 13,036 | 147,758 | |||
Bid Corp., Ltd. (A) | 11,078 | 240,235 | |||
Capitec Bank Holdings, Ltd. | 2,672 | 314,972 | |||
Clicks Group, Ltd. | 8,355 | 143,916 | |||
Discovery, Ltd. (A) | 13,271 | 117,014 | |||
Exxaro Resources, Ltd. | 8,997 | 106,174 | |||
FirstRand, Ltd. | 160,204 | 601,066 | |||
Gold Fields, Ltd. | 29,492 | 262,999 | |||
Growthpoint Properties, Ltd. | 109,582 | 114,325 | |||
Harmony Gold Mining Company, Ltd. | 18,873 | 69,557 | |||
Impala Platinum Holdings, Ltd. | 26,847 | 441,567 | |||
Kumba Iron Ore, Ltd. | 2,164 | 96,702 | |||
Mr. Price Group, Ltd. | 8,969 | 131,708 | |||
MTN Group, Ltd. (A) | 59,164 | 427,436 | |||
MultiChoice Group | 15,717 | 128,806 | |||
Naspers, Ltd., N Shares | 14,633 | 3,085,324 | |||
Nedbank Group, Ltd. (A) | 13,031 | 155,890 | |||
Northam Platinum, Ltd. (A) | 12,034 | 181,782 | |||
Old Mutual, Ltd. (B) | 182,601 | 171,267 | |||
Rand Merchant Investment Holdings, Ltd. | 25,734 | 56,499 | |||
Remgro, Ltd. | 17,781 | 142,845 | |||
Sanlam, Ltd. | 59,860 | 257,388 | |||
Sasol, Ltd. (A) | 19,396 | 295,481 | |||
Shoprite Holdings, Ltd. | 16,492 | 179,446 | |||
Sibanye Stillwater, Ltd. | 76,425 | 318,492 | |||
Standard Bank Group, Ltd. | 43,543 | 388,866 | |||
The Bidvest Group, Ltd. | 9,718 | 129,803 | |||
The SPAR Group, Ltd. | 5,706 | 72,306 | |||
Tiger Brands, Ltd. | 5,421 | 79,276 | |||
Vodacom Group, Ltd. | 19,298 | 173,930 | |||
Woolworths Holdings, Ltd. (A) | 33,746 | 127,582 | |||
9,845,385 | |||||
South Korea - 3.6% | |||||
Alteogen, Inc. (A) | 591 | 43,903 | |||
Amorepacific Corp. | 975 | 218,136 | |||
AMOREPACIFIC Group | 770 | 43,786 | |||
BGF retail Company, Ltd. | 90 | 14,354 | |||
Celltrion Healthcare Company, Ltd. (A) | 1,543 | 158,562 | |||
Celltrion Pharm, Inc. (A) | 553 | 77,169 | |||
Celltrion, Inc. (A) | 3,111 | 741,460 | |||
Cheil Worldwide, Inc. | 1,346 | 30,043 | |||
CJ CheilJedang Corp. | 210 | 85,959 | |||
CJ Corp. | 456 | 43,286 | |||
CJ ENM Company, Ltd. | 178 | 28,864 | |||
CJ Logistics Corp. (A) | 312 | 48,996 | |||
Coway Company, Ltd. | 1,211 | 84,500 | |||
DB Insurance Company, Ltd. | 1,122 | 54,638 | |||
Doosan Bobcat, Inc. (A) | 1,103 | 47,052 | |||
Doosan Heavy Industries & Construction Company, Ltd. (A) | 6,498 | 137,241 | |||
E-MART, Inc. | 496 | 70,408 | |||
Fila Holdings Corp. | 1,052 | 54,355 | |||
GS Engineering & Construction Corp. | 1,468 | 55,894 | |||
GS Holdings Corp. | 1,749 | 71,911 | |||
Hana Financial Group, Inc. | 9,428 | 386,373 | |||
Hankook Tire & Technology Company, Ltd. | 1,937 | 88,878 | |||
Hanmi Pharm Company, Ltd. | 145 | 43,056 | |||
Hanon Systems | 4,656 | 68,403 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
South Korea (continued) | |||||
Hanwha Solutions Corp. (A) | 3,439 | $ | 135,819 | ||
HLB, Inc. (A) | 2,702 | 80,029 | |||
HMM Company, Ltd. (A)(B) | 8,540 | 332,934 | |||
Hotel Shilla Company, Ltd. | 1,060 | 91,281 | |||
Hyundai Engineering & Construction Company, Ltd. | 2,649 | 137,129 | |||
Hyundai Glovis Company, Ltd. | 539 | 100,007 | |||
Hyundai Heavy Industries Holdings Company, Ltd. | 1,555 | 97,791 | |||
Hyundai Mobis Company, Ltd. | 2,223 | 576,493 | |||
Hyundai Motor Company | 4,857 | 1,033,478 | |||
Hyundai Steel Company | 2,875 | 137,255 | |||
Industrial Bank of Korea | 5,941 | 55,456 | |||
Kakao Corp. | 8,960 | 1,297,789 | |||
Kangwon Land, Inc. (A) | 3,612 | 86,232 | |||
KB Financial Group, Inc. | 12,769 | 633,726 | |||
KB Financial Group, Inc., ADR | 430 | 21,199 | |||
Kia Corp. | 8,435 | 672,209 | |||
Korea Aerospace Industries, Ltd. | 1,710 | 50,015 | |||
Korea Electric Power Corp. | 6,370 | 140,595 | |||
Korea Electric Power Corp., ADR | 4,277 | 46,192 | |||
Korea Investment Holdings Company, Ltd. | 1,170 | 107,040 | |||
Korea Shipbuilding & Offshore Engineering Company, Ltd. (A) | 1,127 | 134,045 | |||
Korea Zinc Company, Ltd. | 225 | 86,282 | |||
Korean Air Lines Company, Ltd. (A) | 4,016 | 112,327 | |||
KT&G Corp. | 3,571 | 267,619 | |||
Kumho Petrochemical Company, Ltd. | 614 | 119,630 | |||
LG Chem, Ltd. | 1,500 | 1,132,635 | |||
LG Corp. | 2,922 | 265,843 | |||
LG Display Company, Ltd. (A)(B) | 5,471 | 118,930 | |||
LG Display Company, Ltd., ADR (A)(B) | 2,417 | 25,838 | |||
LG Electronics, Inc. | 3,460 | 500,954 | |||
LG Household & Health Care, Ltd. | 295 | 461,415 | |||
LG Innotek Company, Ltd. | 344 | 68,032 | |||
LG Uplus Corp. | 3,050 | 41,584 | |||
Lotte Chemical Corp. | 562 | 130,971 | |||
Lotte Shopping Company, Ltd. | 366 | 37,518 | |||
Meritz Securities Company, Ltd. | 3,655 | 15,374 | |||
Mirae Asset Securities Company, Ltd. | 7,084 | 59,324 | |||
NAVER Corp. | 4,029 | 1,495,036 | |||
NCSoft Corp. | 550 | 400,192 | |||
Netmarble Corp. (C) | 515 | 61,229 | |||
NH Investment & Securities Company, Ltd. | 3,944 | 45,174 | |||
Orion Corp. | 569 | 59,878 | |||
Pan Ocean Company, Ltd. | 9,148 | 69,363 | |||
Pearl Abyss Corp. (A) | 1,020 | 68,451 | |||
POSCO | 2,396 | 740,483 | |||
POSCO Chemical Company, Ltd. | 883 | 112,746 | |||
S-1 Corp. | 252 | 18,320 | |||
Samsung Biologics Company, Ltd. (A)(C) | 550 | 409,802 | |||
Samsung C&T Corp. | 2,732 | 330,867 | |||
Samsung Electro-Mechanics Company, Ltd. | 1,863 | 292,151 | |||
Samsung Electronics Company, Ltd. | 158,644 | 11,356,714 | |||
Samsung Engineering Company, Ltd. (A) | 3,731 | 79,088 | |||
Samsung Fire & Marine Insurance Company, Ltd. | 895 | 175,296 | |||
Samsung Heavy Industries Company, Ltd. (A) | 15,521 | 92,399 | |||
Samsung Life Insurance Company, Ltd. | 2,349 | 166,677 | |||
Samsung SDI Company, Ltd. | 1,792 | 1,109,495 | |||
Samsung SDS Company, Ltd. | 1,018 | 167,193 | |||
Samsung Securities Company, Ltd. | 1,475 | 58,846 |
The accompanying notes are an integral part of the financial statements. | 59 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
South Korea (continued) | |||||
Seegene, Inc. | 947 | $ | 69,510 | ||
Shin Poong Pharmaceutical Company, Ltd. | 983 | 75,229 | |||
Shinhan Financial Group Company, Ltd. | 14,320 | 517,016 | |||
Shinhan Financial Group Company, Ltd., ADR | 350 | 12,548 | |||
Shinsegae, Inc. | 197 | 49,920 | |||
SK Biopharmaceuticals Company, Ltd. (A) | 528 | 57,624 | |||
SK Chemicals Company, Ltd. | 257 | 59,247 | |||
SK Hynix, Inc. | 17,972 | 2,028,475 | |||
SK Innovation Company, Ltd. (A) | 1,818 | 476,695 | |||
SK Telecom Company, Ltd. | 1,232 | 350,113 | |||
SK, Inc. | 1,160 | 290,750 | |||
S-Oil Corp. | 1,203 | 109,547 | |||
Woori Financial Group, Inc. | 16,990 | 172,973 | |||
Yuhan Corp. | 1,234 | 69,128 | |||
33,756,392 | |||||
Spain - 1.5% | |||||
ACS Actividades de Construccion y Servicios SA | 10,608 | 284,383 | |||
Aena SME SA (A)(C) | 2,276 | 373,448 | |||
Amadeus IT Group SA (A) | 15,014 | 1,058,434 | |||
Banco Bilbao Vizcaya Argentaria SA (A) | 228,360 | 1,416,511 | |||
Banco Santander SA (A) | 580,136 | 2,219,047 | |||
Banco Santander SA (Mexican Stock Exchange) (A) | 22,856 | 86,567 | |||
CaixaBank SA | 144,982 | 446,356 | |||
Cellnex Telecom SA (A)(C) | 15,748 | 1,004,425 | |||
EDP Renovaveis SA | 9,513 | 220,718 | |||
Enagas SA | 7,812 | 180,558 | |||
Endesa SA | 12,378 | 300,485 | |||
Ferrovial SA | 16,784 | 493,254 | |||
Grifols SA (B) | 10,824 | 293,512 | |||
Iberdrola SA | 190,693 | 2,325,431 | |||
Industria de Diseno Textil SA | 37,975 | 1,340,773 | |||
Naturgy Energy Group SA | 12,174 | 313,315 | |||
Red Electrica Corp. SA | 15,612 | 289,855 | |||
Repsol SA | 53,970 | 678,002 | |||
Siemens Gamesa Renewable Energy SA | 9,848 | 329,254 | |||
Telefonica SA | 180,178 | 840,975 | |||
Telefonica SA, Interim Shares (A) | 9,008 | 42,045 | |||
14,537,348 | |||||
Sweden - 2.2% | |||||
Alfa Laval AB | 11,168 | 394,736 | |||
Assa Abloy AB, B Shares | 34,362 | 1,035,943 | |||
Atlas Copco AB, A Shares | 22,872 | 1,404,532 | |||
Atlas Copco AB, B Shares | 13,493 | 710,628 | |||
Boliden AB | 9,749 | 375,137 | |||
Electrolux AB, Series B | 7,536 | 208,837 | |||
Embracer Group AB (A) | 8,466 | 228,907 | |||
Epiroc AB, A Shares | 23,037 | 524,406 | |||
Epiroc AB, B Shares | 13,732 | 269,595 | |||
EQT AB | 8,294 | 301,286 | |||
Essity AB, B Shares | 21,531 | 714,187 | |||
Evolution AB (C) | 5,501 | 870,160 | |||
Fastighets AB Balder, B Shares (A) | 3,415 | 214,079 | |||
Hennes & Mauritz AB, B Shares (A) | 28,520 | 677,333 | |||
Hexagon AB, B Shares | 67,634 | 1,002,091 | |||
Husqvarna AB, B Shares | 13,967 | 185,625 | |||
ICA Gruppen AB | 3,982 | 185,366 | |||
Industrivarden AB, A Shares | 3,603 | 140,132 | |||
Industrivarden AB, C Shares | 6,375 | 233,364 | |||
Investment AB Latour, B Shares | 5,154 | 169,217 | |||
Investor AB, B Shares | 62,172 | 1,433,090 | |||
Kinnevik AB, B Shares (A) | 8,775 | 351,386 | |||
L.E. Lundbergforetagen AB, B Shares | 2,546 | 164,320 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Sweden (continued) | |||||
Lundin Energy AB | 6,210 | $ | 220,160 | ||
Nibe Industrier AB, B Shares | 43,424 | 457,576 | |||
Sandvik AB | 38,708 | 989,750 | |||
Securitas AB, B Shares | 10,739 | 169,643 | |||
Sinch AB (A)(C) | 15,030 | 252,913 | |||
Skandinaviska Enskilda Banken AB, A Shares | 57,777 | 746,831 | |||
Skanska AB, B Shares | 11,367 | 301,784 | |||
SKF AB, B Shares | 14,059 | 358,338 | |||
Svenska Cellulosa AB SCA, B Shares | 21,092 | 345,955 | |||
Svenska Handelsbanken AB, A Shares | 55,216 | 623,275 | |||
Swedbank AB, A Shares | 31,626 | 588,779 | |||
Swedish Match AB | 57,080 | 486,785 | |||
Tele2 AB, B Shares (B) | 17,728 | 241,703 | |||
Telefonaktiebolaget LM Ericsson, B Shares | 99,473 | 1,250,764 | |||
Telia Company AB | 82,751 | 367,536 | |||
Volvo AB, A Shares | 6,647 | 164,977 | |||
Volvo AB, B Shares (B) | 48,024 | 1,157,351 | |||
20,518,477 | |||||
Switzerland - 6.3% | |||||
ABB, Ltd. | 57,261 | 1,945,422 | |||
Adecco Group AG | 6,058 | 412,197 | |||
Alcon, Inc. | 16,200 | 1,136,228 | |||
Baloise Holding AG | 1,882 | 293,851 | |||
Banque Cantonale Vaudoise | 1,016 | 91,296 | |||
Barry Callebaut AG | 92 | 213,815 | |||
Chocoladefabriken Lindt & Spruengli AG | 4 | 419,098 | |||
Chocoladefabriken Lindt & Spruengli AG, Participation Certificates | 42 | 418,113 | |||
Cie Financiere Richemont SA, A Shares | 17,877 | 2,167,204 | |||
Clariant AG | 8,258 | 164,436 | |||
Coca-Cola HBC AG | 8,067 | 291,998 | |||
Credit Suisse Group AG | 84,422 | 883,723 | |||
EMS-Chemie Holding AG | 321 | 315,513 | |||
Geberit AG | 1,249 | 938,213 | |||
Givaudan SA | 311 | 1,447,771 | |||
Glencore PLC (A) | 331,742 | 1,423,865 | |||
Holcim, Ltd. (A) | 10,906 | 655,539 | |||
Holcim, Ltd. (Euronext Paris Exchange) (A) | 6,750 | 404,663 | |||
Julius Baer Group, Ltd. | 8,601 | 561,759 | |||
Kuehne + Nagel International AG | 2,065 | 706,765 | |||
Logitech International SA | 5,725 | 695,258 | |||
Lonza Group AG | 2,550 | 1,807,840 | |||
Nestle SA | 95,776 | 11,938,199 | |||
Novartis AG | 74,879 | 6,830,955 | |||
Partners Group Holding AG | 749 | 1,135,444 | |||
Roche Holding AG | 23,693 | 8,928,426 | |||
Roche Holding AG, Bearer Shares | 1,064 | 432,729 | |||
Schindler Holding AG | 806 | 235,848 | |||
Schindler Holding AG, Participation Certificates | 1,582 | 484,148 | |||
SGS SA | 203 | 626,755 | |||
Sika AG | 4,781 | 1,566,437 | |||
Sonova Holding AG | 1,846 | 695,305 | |||
STMicroelectronics NV | 22,367 | 813,410 | |||
Straumann Holding AG | 401 | 639,613 | |||
Swiss Life Holding AG | 1,026 | 499,101 | |||
Swiss Prime Site AG | 3,037 | 301,413 | |||
Swiss Re AG | 9,637 | 870,440 | |||
Swisscom AG | 989 | 565,103 | |||
Temenos AG | 2,330 | 374,605 | |||
The Swatch Group AG | 2,395 | 158,143 | |||
The Swatch Group AG, Bearer Shares | 1,191 | 409,007 | |||
UBS Group AG | 127,628 | 1,954,907 |
The accompanying notes are an integral part of the financial statements. | 60 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Switzerland (continued) | |||||
Vifor Pharma AG | 1,821 | $ | 235,943 | ||
Zurich Insurance Group AG | 5,231 | 2,101,112 | |||
59,191,610 | |||||
Taiwan - 4.0% | |||||
Accton Technology Corp. | 17,000 | 201,307 | |||
Acer, Inc. | 58,018 | 60,976 | |||
Advantech Company, Ltd. | 13,296 | 164,518 | |||
ASE Technology Holding Company, Ltd. | 111,338 | 446,715 | |||
Asia Cement Corp. | 36,863 | 67,074 | |||
Asustek Computer, Inc. (A) | 24,952 | 332,710 | |||
AU Optronics Corp. | 163,827 | 132,480 | |||
Catcher Technology Company, Ltd. | 22,184 | 144,897 | |||
Cathay Financial Holding Company, Ltd. (A) | 268,839 | 519,785 | |||
Chailease Holding Company, Ltd. (A) | 37,148 | 269,876 | |||
Chang Hwa Commercial Bank, Ltd. | 113,718 | 65,906 | |||
Cheng Shin Rubber Industry Company, Ltd. | 43,680 | 73,236 | |||
China Development Financial Holding Corp. | 438,153 | 206,634 | |||
China Life Insurance Company, Ltd. | 79,303 | 74,967 | |||
China Steel Corp. | 363,388 | 516,067 | |||
Chunghwa Telecom Company, Ltd. | 127,148 | 518,849 | |||
Compal Electronics, Inc. | 79,764 | 63,976 | |||
CTBC Financial Holding Company, Ltd. | 586,465 | 477,578 | |||
Delta Electronics, Inc. | 64,866 | 704,695 | |||
E.Sun Financial Holding Company, Ltd. | 322,114 | 304,052 | |||
Eclat Textile Company, Ltd. | 6,259 | 147,370 | |||
Evergreen Marine Corp. Taiwan, Ltd. (A) | 86,566 | 611,455 | |||
Far Eastern New Century Corp. | 64,875 | 74,496 | |||
Far EasTone Telecommunications Company, Ltd. | 45,159 | 104,678 | |||
Feng TAY Enterprise Company, Ltd. | 14,520 | 127,380 | |||
First Financial Holding Company, Ltd. | 343,552 | 279,813 | |||
Formosa Chemicals & Fibre Corp. (A) | 117,212 | 356,283 | |||
Formosa Petrochemical Corp. (A) | 39,720 | 151,794 | |||
Formosa Plastics Corp. | 128,086 | 473,329 | |||
Foxconn Technology Company, Ltd. | 15,513 | 36,538 | |||
Fubon Financial Holding Company, Ltd. | 211,112 | 559,673 | |||
Giant Manufacturing Company, Ltd. | 10,000 | 114,293 | |||
Globalwafers Company, Ltd. | 7,000 | 230,792 | |||
Hiwin Technologies Corp. | 8,303 | 117,567 | |||
Hon Hai Precision Industry Company, Ltd. | 417,368 | 1,675,735 | |||
Hotai Motor Company, Ltd. | 9,000 | 198,298 | |||
Hua Nan Financial Holdings Company, Ltd. | 279,117 | 184,774 | |||
Innolux Corp. (A) | 275,841 | 205,200 | |||
Inventec Corp. | 25,899 | 24,398 | |||
Largan Precision Company, Ltd. | 3,143 | 349,476 | |||
Lite-On Technology Corp. | 39,626 | 81,862 | |||
MediaTek, Inc. | 50,340 | 1,736,037 | |||
Mega Financial Holding Company, Ltd. | 363,134 | 428,119 | |||
Micro-Star International Company, Ltd. | 23,000 | 129,933 | |||
Nan Ya Plastics Corp. | 171,992 | 513,092 | |||
Nanya Technology Corp. | 37,000 | 105,740 | |||
Novatek Microelectronics Corp. | 19,361 | 346,041 | |||
Pegatron Corp. | 66,989 | 165,393 | |||
Phison Electronics Corp. | 5,000 | 85,995 | |||
Pou Chen Corp. | 36,641 | 51,655 | |||
Powertech Technology, Inc. | 13,149 | 50,701 | |||
President Chain Store Corp. | 19,496 | 183,974 | |||
Quanta Computer, Inc. | 92,771 | 291,173 | |||
Realtek Semiconductor Corp. | 15,999 | 289,820 | |||
Shin Kong Financial Holding Company, Ltd. | 389,836 | 133,258 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Taiwan (continued) | |||||
SinoPac Financial Holdings Company, Ltd. (A) | 349,762 | $ | 172,531 | ||
Synnex Technology International Corp. | 24,928 | 45,528 | |||
Taishin Financial Holding Company, Ltd. | 326,730 | 178,793 | |||
Taiwan Business Bank | 193,450 | 65,619 | |||
Taiwan Cement Corp. | 167,824 | 307,174 | |||
Taiwan Cooperative Financial Holding Company, Ltd. | 290,321 | 221,424 | |||
Taiwan High Speed Rail Corp. | 71,000 | 76,164 | |||
Taiwan Mobile Company, Ltd. | 57,257 | 209,592 | |||
Taiwan Semiconductor Manufacturing Company, Ltd. | 813,227 | 17,515,289 | |||
The Shanghai Commercial & Savings Bank, Ltd. | 111,937 | 181,674 | |||
Unimicron Technology Corp. | 41,000 | 189,631 | |||
Uni-President Enterprises Corp. | 161,487 | 424,056 | |||
United Microelectronics Corp. | 388,313 | 736,359 | |||
Vanguard International Semiconductor Corp. | 31,000 | 131,329 | |||
Walsin Technology Corp. | 11,000 | 89,717 | |||
Win Semiconductors Corp. | 11,000 | 148,081 | |||
Winbond Electronics Corp. | 102,000 | 127,340 | |||
Wistron Corp. | 42,598 | 47,368 | |||
Wiwynn Corp. | 3,000 | 107,312 | |||
WPG Holdings, Ltd. | 47,840 | 87,755 | |||
Ya Hsin Industrial Company, Ltd. (A)(E) | 36,000 | 0 | |||
Yageo Corp. (A) | 9,584 | 192,949 | |||
Yang Ming Marine Transport Corp. (A) | 52,000 | 340,380 | |||
Yuanta Financial Holding Company, Ltd. | 324,837 | 312,786 | |||
Zhen Ding Technology Holding, Ltd. | 19,000 | 71,598 | |||
37,942,882 | |||||
Thailand - 0.4% | |||||
Advanced Info Service PCL | 48,400 | 258,385 | |||
Airports of Thailand PCL | 163,100 | 315,901 | |||
Bangkok Bank PCL | 11,700 | 41,288 | |||
Bangkok Bank PCL, NVDR | 2,700 | 9,534 | |||
Bangkok Dusit Medical Services PCL, NVDR | 387,300 | 278,218 | |||
Bangkok Expressway & Metro PCL, NVDR | 354,600 | 90,215 | |||
Berli Jucker PCL, NVDR | 21,300 | 23,127 | |||
BTS Group Holdings PCL, NVDR (B) | 301,600 | 88,030 | |||
Bumrungrad Hospital PCL, NVDR | 15,600 | 62,623 | |||
Central Pattana PCL, NVDR | 64,400 | 105,646 | |||
Central Retail Corp. PCL | 45,441 | 47,538 | |||
Charoen Pokphand Foods PCL | 136,200 | 112,710 | |||
CP ALL PCL | 184,600 | 345,826 | |||
CP ALL PCL, NVDR | 12,300 | 23,043 | |||
Electricity Generating PCL | 7,600 | 41,538 | |||
Electricity Generating PCL, NVDR | 1,400 | 7,652 | |||
Energy Absolute PCL | 56,900 | 108,453 | |||
Gulf Energy Development PCL, NVDR | 79,150 | 84,648 | |||
Home Product Center PCL | 204,400 | 91,918 | |||
Indorama Ventures PCL, NVDR | 54,900 | 69,931 | |||
Intouch Holdings PCL, NVDR | 96,400 | 195,602 | |||
Krung Thai Bank PCL | 164,375 | 54,969 | |||
Land & Houses PCL, NVDR | 393,400 | 97,575 | |||
Minor International PCL, NVDR (A) | 127,100 | 119,137 | |||
Muangthai Capital PCL, NVDR | 11,300 | 20,311 | |||
PTT Exploration & Production PCL | 60,147 | 220,084 | |||
PTT Global Chemical PCL | 87,373 | 161,120 | |||
PTT PCL | 391,000 | 479,821 | |||
PTT PCL, NVDR | 10,500 | 12,885 | |||
Ratch Group PCL, NVDR | 12,800 | 18,279 | |||
Thai Oil PCL | 46,900 | 79,981 |
The accompanying notes are an integral part of the financial statements. | 61 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Thailand (continued) | |||||
Thai Union Group PCL | 95,900 | $ | 59,270 | ||
The Siam Cement PCL | 12,000 | 161,871 | |||
The Siam Cement PCL, NVDR | 14,300 | 192,896 | |||
The Siam Commercial Bank PCL | 23,348 | 71,517 | |||
True Corp. PCL | 448,802 | 44,574 | |||
4,196,116 | |||||
Turkey - 0.1% | |||||
Akbank TAS | 100,286 | 60,833 | |||
Aselsan Elektronik Sanayi Ve Ticaret AS | 14,026 | 23,720 | |||
BIM Birlesik Magazalar AS | 16,428 | 117,287 | |||
Eregli Demir ve Celik Fabrikalari TAS | 49,091 | 101,576 | |||
Ford Otomotiv Sanayi AS | 4,572 | 89,195 | |||
Haci Omer Sabanci Holding AS | 31,762 | 32,428 | |||
KOC Holding AS | 25,423 | 53,535 | |||
Turkcell Iletisim Hizmetleri AS | 38,572 | 71,361 | |||
Turkiye Garanti Bankasi AS | 86,216 | 82,319 | |||
Turkiye Is Bankasi AS, Class C | 60,572 | 35,501 | |||
Turkiye Petrol Rafinerileri AS (A) | 4,998 | 54,537 | |||
722,292 | |||||
United Arab Emirates - 0.0% | |||||
NMC Health PLC (A) | 4,471 | 1,685 | |||
United Kingdom - 7.7% | |||||
3i Group PLC | 32,696 | 530,618 | |||
Admiral Group PLC | 6,635 | 288,703 | |||
Anglo American PLC | 42,988 | 1,710,670 | |||
Ashtead Group PLC | 15,597 | 1,159,297 | |||
Associated British Foods PLC | 11,826 | 363,021 | |||
AstraZeneca PLC | 44,092 | 5,297,392 | |||
Auto Trader Group PLC (A)(C) | 37,238 | 326,130 | |||
AVEVA Group PLC | 4,243 | 217,776 | |||
Aviva PLC | 131,970 | 740,873 | |||
BAE Systems PLC | 111,616 | 806,538 | |||
Barclays PLC | 576,321 | 1,367,653 | |||
Barratt Developments PLC | 33,805 | 325,497 | |||
BP PLC | 683,369 | 2,996,839 | |||
British American Tobacco PLC | 72,353 | 2,809,144 | |||
BT Group PLC (A) | 308,640 | 829,422 | |||
Bunzl PLC | 11,691 | 386,752 | |||
Burberry Group PLC (A) | 13,598 | 388,891 | |||
CNH Industrial NV | 37,712 | 625,553 | |||
Coca-Cola Europacific Partners PLC | 6,887 | 405,454 | |||
Compass Group PLC (A) | 59,219 | 1,247,619 | |||
Croda International PLC | 4,632 | 472,436 | |||
Diageo PLC | 78,828 | 3,778,105 | |||
Direct Line Insurance Group PLC | 53,358 | 210,455 | |||
Evraz PLC | 18,017 | 147,815 | |||
Ferguson PLC | 7,801 | 1,085,330 | |||
GlaxoSmithKline PLC | 169,205 | 3,326,413 | |||
Halma PLC | 13,950 | 519,710 | |||
Hargreaves Lansdown PLC | 11,809 | 259,850 | |||
HSBC Holdings PLC | 686,857 | 3,964,196 | |||
Imperial Brands PLC | 31,799 | 685,673 | |||
Informa PLC (A) | 49,866 | 346,556 | |||
InterContinental Hotels Group PLC (A) | 6,064 | 404,169 | |||
Intertek Group PLC | 5,603 | 428,822 | |||
J Sainsbury PLC | 71,585 | 269,437 | |||
JD Sports Fashion PLC | 17,123 | 217,901 | |||
Johnson Matthey PLC | 7,531 | 320,641 | |||
Kingfisher PLC | 70,070 | 353,650 | |||
Land Securities Group PLC | 25,882 | 241,548 | |||
Legal & General Group PLC | 200,480 | 715,229 | |||
Lloyds Banking Group PLC | 2,378,433 | 1,538,503 | |||
London Stock Exchange Group PLC | 10,980 | 1,213,403 | |||
M&G PLC | 94,053 | 297,951 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
United Kingdom (continued) | |||||
Melrose Industries PLC | 163,234 | $ | 351,365 | ||
Mondi PLC | 13,861 | 364,936 | |||
Mondi PLC (Johannesburg Stock Exchange) | 4,137 | 109,073 | |||
National Grid PLC | 118,276 | 1,504,430 | |||
NatWest Group PLC | 181,551 | 510,934 | |||
Next PLC (A) | 4,895 | 532,741 | |||
Ocado Group PLC (A) | 16,158 | 447,703 | |||
Pearson PLC | 25,020 | 288,128 | |||
Persimmon PLC | 10,716 | 438,966 | |||
Phoenix Group Holdings PLC | 19,903 | 186,312 | |||
Prudential PLC | 87,981 | 1,673,905 | |||
Reckitt Benckiser Group PLC | 23,897 | 2,111,302 | |||
RELX PLC | 40,612 | 1,076,895 | |||
RELX PLC (Euronext Amsterdam Exchange) | 24,534 | 654,304 | |||
Rentokil Initial PLC | 67,951 | 465,408 | |||
Rio Tinto PLC | 37,839 | 3,125,025 | |||
Rolls-Royce Holdings PLC (A) | 275,192 | 376,742 | |||
Schroders PLC | 4,962 | 241,321 | |||
Segro PLC | 40,814 | 617,853 | |||
Severn Trent PLC | 7,990 | 276,595 | |||
Smith & Nephew PLC | 29,419 | 638,016 | |||
Smiths Group PLC | 15,498 | 341,325 | |||
Spirax-Sarco Engineering PLC | 2,625 | 494,410 | |||
SSE PLC | 34,933 | 725,515 | |||
St. James's Place PLC | 20,193 | 412,880 | |||
Standard Chartered PLC | 93,128 | 594,324 | |||
Standard Life Aberdeen PLC | 72,446 | 271,781 | |||
Taylor Wimpey PLC | 125,790 | 276,831 | |||
Tesco PLC | 268,394 | 829,117 | |||
The Berkeley Group Holdings PLC | 4,387 | 278,946 | |||
The British Land Company PLC | 35,353 | 241,836 | |||
The Sage Group PLC | 41,847 | 396,384 | |||
Unilever PLC | 37,651 | 2,200,080 | |||
Unilever PLC (Euronext Amsterdam Exchange) | 49,466 | 2,899,146 | |||
United Utilities Group PLC | 26,873 | 362,710 | |||
Vodafone Group PLC | 904,612 | 1,516,155 | |||
Whitbread PLC (A) | 7,168 | 309,857 | |||
Wm Morrison Supermarkets PLC | 89,522 | 305,550 | |||
WPP PLC | 42,535 | 574,982 | |||
72,645,418 | |||||
United States - 0.1% | |||||
Bausch Health Companies, Inc. (A) | 9,900 | 290,547 | |||
Brookfield Renewable Corp., Class A | 4,350 | 182,759 | |||
473,306 | |||||
Uruguay - 0.0% | |||||
Globant SA (A) | 1,200 | 263,016 | |||
TOTAL COMMON STOCKS (Cost $594,987,579) | $ | 904,818,659 | |||
PREFERRED SECURITIES - 1.0% | |||||
Brazil - 0.4% | |||||
Banco Bradesco SA | 163,048 | 843,462 | |||
Banco BTG Pactual SA | 1 | 6 | |||
Banco Inter SA (C) | 847 | 4,455 | |||
Bradespar SA | 7,600 | 113,577 | |||
Centrais Eletricas Brasileiras SA, B Shares | 5,700 | 49,588 | |||
Cia Energetica de Minas Gerais | 36,287 | 88,495 | |||
Gerdau SA | 36,200 | 215,506 | |||
Itau Unibanco Holding SA | 161,889 | 969,941 | |||
Itausa SA | 147,723 | 331,158 | |||
Lojas Americanas SA | 27,648 | 119,957 |
The accompanying notes are an integral part of the financial statements. | 62 |
Shares or Principal Amount | Value | ||||
PREFERRED SECURITIES (continued) | |||||
Brazil (continued) | |||||
Petroleo Brasileiro SA | 150,151 | $ | 888,444 | ||
3,624,589 | |||||
Germany - 0.4% | |||||
Bayerische Motoren Werke AG | 2,090 | 188,014 | |||
FUCHS PETROLUB SE | 2,735 | 133,097 | |||
Henkel AG & Company KGaA | 6,138 | 648,257 | |||
Porsche Automobil Holding SE | 5,695 | 611,361 | |||
Sartorius AG | 1,201 | 625,129 | |||
Volkswagen AG | 6,259 | 1,569,325 | |||
3,775,183 | |||||
South Korea - 0.2% | |||||
Hyundai Motor Company | 705 | 72,286 | |||
Hyundai Motor Company, 2nd Preferred | 1,197 | 122,238 | |||
LG Chem, Ltd. | 162 | 55,183 | |||
LG Household & Health Care, Ltd. | 48 | 32,605 | |||
Samsung Electronics Company, Ltd. | 27,037 | 1,769,574 | |||
2,051,886 | |||||
TOTAL PREFERRED SECURITIES (Cost $6,919,013) | $ | 9,451,658 | |||
CORPORATE BONDS - 0.0% | |||||
India - 0.0% | |||||
Britannia Industries, Ltd. 5.500%, 06/03/2024 | INR | 104,922 | 1,428 | ||
TOTAL CORPORATE BONDS (Cost $1,439) | $ | 1,428 | |||
RIGHTS - 0.0% | |||||
ACS Actividades de Construccion y Servicios SA (Expiration Date: 7-7-21) (A)(F) | 10,608 | 14,843 | |||
TOTAL RIGHTS (Cost $16,086) | $ | 14,843 | |||
WARRANTS - 0.0% | |||||
Minor International PCL (Expiration Date: 2-15-24; Strike Price: THB 31.00) (A) | 3,972 | 570 | |||
Minor International PCL (Expiration Date: 5-5-23; Strike Price: THB 28.00) (A) | 4,383 | 711 | |||
TOTAL WARRANTS (Cost $0) | $ | 1,281 |
Shares or Principal Amount | Value | ||||
SHORT-TERM INVESTMENTS - 2.1% | |||||
Short-term funds - 2.1% | |||||
Fidelity Institutional Money Market Government Portfolio, Institutional Class, 0.0100% (G) | 12,319,307 | $ | 12,319,307 | ||
John Hancock Collateral Trust, 0.0324% (G)(H) | 737,106 | 7,374,447 | |||
TOTAL SHORT-TERM INVESTMENTS (Cost $19,693,909) | $ | 19,693,754 | |||
Total Investments (International Equity Index Trust) (Cost $621,618,026) - 99.4% | $ | 933,981,623 | |||
Other assets and liabilities, net - 0.6% | 6,087,993 | ||||
TOTAL NET ASSETS - 100.0% | $ | 940,069,616 |
Currency Abbreviations | |
INR | Indian Rupee |
THB | Thai Bhat |
Security Abbreviations and Legend | |
ADR | American Depositary Receipt |
GDR | Global Depositary Receipt |
NVDR | Non-Voting Depositary Receipt |
(A) | Non-income producing security. |
(B) | All or a portion of this security is on loan as of 6-30-21. |
(C) | 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. |
(D) | Investment is an affiliate of the fund, the advisor and/or subadvisor. |
(E) | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. Refer to Note 2 to the financial statements. |
(F) | Strike price and/or expiration date not available. |
(G) | The rate shown is the annualized seven-day yield as of 6-30-21. |
(H) | Investment is an affiliate of the fund, the advisor and/or subadvisor. This security represents the investment of cash collateral received for securities lending. |
Open contracts | Number of contracts | Position | Expiration date | Notional basis^ | Notional value^ | Unrealized appreciation (depreciation) |
Mini MSCI EAFE Index Futures | 17 | Long | Sep 2021 | $2,008,004 | $1,958,655 | $(49,349) |
Mini MSCI Emerging Markets Index Futures | 350 | Long | Sep 2021 | 23,989,098 | 23,884,000 | (105,098) |
$(154,447) |
Shares or Principal Amount | Value | ||||
COMMON STOCKS - 98.4% | |||||
Australia - 6.6% | |||||
A2B Australia, Ltd. (A) | 9,047 | $ | 8,546 | ||
Accent Group, Ltd. | 24,907 | 52,113 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Australia (continued) | |||||
Adairs, Ltd. | 6,590 | $ | 20,978 | ||
Adbri, Ltd. | 19,036 | 49,536 |
The accompanying notes are an integral part of the financial statements. | 63 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Australia (continued) | |||||
Ainsworth Game Technology, Ltd. (A) | 10,192 | $ | 9,445 | ||
Alcidion Group, Ltd. (A) | 35,820 | 10,766 | |||
Alkane Resources, Ltd. (A)(B) | 25,036 | 21,603 | |||
ALS, Ltd. | 4,398 | 42,979 | |||
Altium, Ltd. | 3,451 | 95,003 | |||
AMA Group, Ltd. (A)(B) | 24,887 | 10,722 | |||
AMP, Ltd. | 50,928 | 42,970 | |||
Ansell, Ltd. | 2,530 | 82,530 | |||
Appen, Ltd. | 2,202 | 22,495 | |||
ARB Corp., Ltd. | 3,784 | 122,441 | |||
Ardent Leisure Group, Ltd. (A) | 39,016 | 28,595 | |||
Asaleo Care, Ltd. | 30,182 | 31,689 | |||
AUB Group, Ltd. | 4,241 | 71,112 | |||
Aurelia Metals, Ltd. | 85,331 | 26,258 | |||
Austal, Ltd. | 23,155 | 35,591 | |||
Australian Agricultural Company, Ltd. (A) | 28,065 | 28,830 | |||
Australian Finance Group, Ltd. | 6,698 | 14,320 | |||
Australian Pharmaceutical Industries, Ltd. | 26,584 | 22,224 | |||
Australian Strategic Materials, Ltd. (A)(B) | 950 | 5,563 | |||
Auswide Bank, Ltd. | 625 | 3,045 | |||
Baby Bunting Group, Ltd. | 3,113 | 13,109 | |||
Bank of Queensland, Ltd. | 29,753 | 203,231 | |||
Bapcor, Ltd. | 15,610 | 99,469 | |||
Base Resources, Ltd. | 32,069 | 7,216 | |||
Beach Energy, Ltd. | 60,312 | 56,061 | |||
Bega Cheese, Ltd. | 15,122 | 66,812 | |||
Bendigo & Adelaide Bank, Ltd. | 14,038 | 110,373 | |||
Bigtincan Holdings, Ltd. (A) | 21,740 | 18,494 | |||
Bingo Industries, Ltd. | 8,137 | 20,946 | |||
Blackmores, Ltd. | 400 | 22,023 | |||
Blue Sky Alternative Investments, Ltd. (A)(C) | 2,049 | 242 | |||
Bravura Solutions, Ltd. | 17,457 | 45,924 | |||
Breville Group, Ltd. | 5,143 | 115,326 | |||
Brickworks, Ltd. | 3,876 | 72,876 | |||
BWX, Ltd. | 7,767 | 31,705 | |||
Calix, Ltd. (A) | 10,443 | 20,855 | |||
Capricorn Metals, Ltd. (A) | 6,675 | 9,505 | |||
Cardno, Ltd. | 15,086 | 10,974 | |||
carsales.com, Ltd. | 10,170 | 150,608 | |||
Cash Converters International, Ltd. | 14,501 | 2,395 | |||
Cedar Woods Properties, Ltd. | 2,634 | 13,235 | |||
Centuria Capital Group | 12,668 | 26,425 | |||
Challenger, Ltd. | 18,693 | 75,736 | |||
Champion Iron, Ltd. (A) | 13,921 | 66,584 | |||
City Chic Collective, Ltd. (A) | 5,259 | 21,633 | |||
Cleanaway Waste Management, Ltd. | 44,499 | 88,143 | |||
Clinuvel Pharmaceuticals, Ltd. | 2,335 | 53,707 | |||
Codan, Ltd. | 5,320 | 71,963 | |||
Collins Foods, Ltd. | 5,764 | 49,630 | |||
Cooper Energy, Ltd. (A) | 98,256 | 19,146 | |||
Corporate Travel Management, Ltd. (A) | 3,931 | 63,245 | |||
Costa Group Holdings, Ltd. | 12,590 | 31,251 | |||
Costa Group Holdings, Ltd., Entitlement Offer (A) | 1,989 | 4,937 | |||
Credit Corp. Group, Ltd. | 3,047 | 67,810 | |||
CSR, Ltd. | 25,551 | 110,431 | |||
Data#3, Ltd. | 9,073 | 38,086 | |||
Decmil Group, Ltd. (A) | 1,519 | 524 | |||
Deterra Royalties, Ltd. | 16,722 | 56,335 | |||
Dicker Data, Ltd. (B) | 2,793 | 23,170 | |||
Domain Holdings Australia, Ltd. (A) | 10,969 | 42,514 | |||
Downer EDI, Ltd. | 18,221 | 76,333 | |||
Eagers Automotive, Ltd. | 7,533 | 93,613 | |||
Eclipx Group, Ltd. (A) | 16,681 | 28,356 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Australia (continued) | |||||
Elders, Ltd. | 8,609 | $ | 74,581 | ||
EML Payments, Ltd. (A) | 10,254 | 26,773 | |||
EQT Holdings, Ltd. | 729 | 14,983 | |||
Estia Health, Ltd. (A) | 11,708 | 21,666 | |||
EVENT Hospitality and Entertainment, Ltd. (A) | 4,397 | 41,683 | |||
FAR, Ltd. (A)(B)(C) | 313,905 | 2,590 | |||
Finbar Group, Ltd. | 8,370 | 5,322 | |||
Fleetwood, Ltd. | 8,058 | 14,265 | |||
Flight Centre Travel Group, Ltd. (A)(B) | 4,755 | 52,892 | |||
Freedom Foods Group, Ltd. (A) | 6,482 | 1,784 | |||
G8 Education, Ltd. (A) | 51,376 | 38,720 | |||
Galaxy Resources, Ltd. (A) | 37,250 | 102,382 | |||
Genworth Mortgage Insurance Australia, Ltd. (A) | 18,245 | 30,044 | |||
Gold Road Resources, Ltd. | 43,849 | 41,426 | |||
GrainCorp, Ltd., Class A | 13,614 | 52,704 | |||
GUD Holdings, Ltd. | 3,716 | 33,395 | |||
GWA Group, Ltd. | 12,453 | 25,871 | |||
Hansen Technologies, Ltd. | 11,735 | 54,737 | |||
Healius, Ltd. | 23,643 | 82,062 | |||
HT&E, Ltd. (A) | 20,357 | 26,163 | |||
HUB24, Ltd. | 3,277 | 70,063 | |||
Humm Group, Ltd. (A) | 26,650 | 19,766 | |||
IGO, Ltd. | 24,516 | 139,918 | |||
Iluka Resources, Ltd. | 16,722 | 114,497 | |||
Imdex, Ltd. | 20,483 | 31,296 | |||
Infomedia, Ltd. | 17,584 | 20,244 | |||
Inghams Group, Ltd. | 11,981 | 35,742 | |||
Intega Group, Ltd. | 15,086 | 6,220 | |||
Integral Diagnostics, Ltd. | 6,781 | 26,424 | |||
Integrated Research, Ltd. (B) | 3,367 | 4,909 | |||
InvoCare, Ltd. | 8,212 | 71,257 | |||
IOOF Holdings, Ltd. | 30,144 | 96,402 | |||
IPH, Ltd. | 9,953 | 58,241 | |||
IRESS, Ltd. | 8,152 | 78,908 | |||
IVE Group, Ltd. | 11,452 | 12,489 | |||
Japara Healthcare, Ltd. (A) | 17,906 | 17,199 | |||
Johns Lyng Group, Ltd. | 4,330 | 16,551 | |||
Jumbo Interactive, Ltd. | 2,253 | 29,997 | |||
Jupiter Mines, Ltd. | 116,266 | 25,210 | |||
Karoon Energy, Ltd. (A) | 14,552 | 14,486 | |||
Kogan.com, Ltd. (B) | 1,950 | 16,918 | |||
Lifestyle Communities, Ltd. | 3,310 | 38,860 | |||
Link Administration Holdings, Ltd. | 18,547 | 70,137 | |||
Lovisa Holdings, Ltd. | 3,846 | 43,913 | |||
MA Financial Group, Ltd. | 3,830 | 16,231 | |||
MACA, Ltd. | 23,711 | 13,409 | |||
Macmahon Holdings, Ltd. | 112,440 | 16,011 | |||
Mayne Pharma Group, Ltd. (A) | 99,135 | 23,773 | |||
McMillan Shakespeare, Ltd. | 3,346 | 32,450 | |||
McPherson's, Ltd. | 9,168 | 7,562 | |||
Medusa Mining, Ltd. | 8,127 | 5,087 | |||
Mesoblast, Ltd. (A)(B) | 11,677 | 17,418 | |||
Metals X, Ltd. (A)(B) | 48,765 | 7,835 | |||
Metcash, Ltd. | 51,856 | 155,504 | |||
Mincor Resources NL (A) | 13,218 | 10,694 | |||
Mineral Resources, Ltd. | 686 | 27,554 | |||
MNF Group, Ltd. | 2,522 | 10,103 | |||
Monadelphous Group, Ltd. | 3,790 | 29,693 | |||
Monash IVF Group, Ltd. | 21,798 | 13,885 | |||
Money3 Corp., Ltd. | 8,682 | 21,823 | |||
Mortgage Choice, Ltd. | 6,422 | 9,392 | |||
Mount Gibson Iron, Ltd. | 18,373 | 13,011 | |||
Myer Holdings, Ltd. (A) | 63,302 | 16,862 |
The accompanying notes are an integral part of the financial statements. | 64 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Australia (continued) | |||||
MyState, Ltd. | 5,375 | $ | 18,838 | ||
Nanosonics, Ltd. (A)(B) | 8,226 | 36,210 | |||
Navigator Global Investments, Ltd. | 10,160 | 13,574 | |||
Nearmap, Ltd. (A) | 5,127 | 7,165 | |||
Netwealth Group, Ltd. | 3,669 | 47,201 | |||
New Energy Solar, Ltd. (A) | 16,176 | 10,069 | |||
New Hope Corp., Ltd. (B) | 24,235 | 31,422 | |||
nib holdings, Ltd. | 21,443 | 104,663 | |||
Nick Scali, Ltd. | 5,272 | 46,318 | |||
Nickel Mines, Ltd. | 30,650 | 22,725 | |||
Nine Entertainment Company Holdings, Ltd. | 72,050 | 157,376 | |||
NRW Holdings, Ltd. | 25,786 | 28,304 | |||
Nufarm, Ltd. (A) | 12,991 | 44,598 | |||
OceanaGold Corp. (A) | 31,900 | 60,475 | |||
OFX Group, Ltd. | 14,134 | 14,151 | |||
Omni Bridgeway, Ltd. | 15,737 | 44,217 | |||
oOh!media, Ltd. (A) | 31,712 | 41,555 | |||
Orocobre, Ltd. (A) | 4,396 | 21,282 | |||
Orora, Ltd. | 40,091 | 100,236 | |||
OZ Minerals, Ltd. | 18,111 | 304,481 | |||
Pacific Current Group, Ltd. | 1,717 | 7,478 | |||
Pact Group Holdings, Ltd. | 11,275 | 31,357 | |||
Peet, Ltd. | 13,800 | 12,393 | |||
Pendal Group, Ltd. | 12,114 | 73,183 | |||
Perenti Global, Ltd. | 35,432 | 17,782 | |||
Perpetual, Ltd. | 2,914 | 87,500 | |||
Perseus Mining, Ltd. (A) | 68,083 | 74,538 | |||
Platinum Asset Management, Ltd. | 14,631 | 53,807 | |||
Praemium, Ltd. (A) | 28,131 | 22,980 | |||
Premier Investments, Ltd. | 4,691 | 100,449 | |||
Pro Medicus, Ltd. (B) | 1,815 | 79,941 | |||
Ramelius Resources, Ltd. | 29,377 | 37,312 | |||
Regis Healthcare, Ltd. | 9,267 | 13,560 | |||
Regis Resources, Ltd. | 35,749 | 63,288 | |||
Resolute Mining, Ltd. (A)(B) | 43,558 | 16,519 | |||
Rhipe, Ltd. | 9,365 | 14,650 | |||
Ridley Corp., Ltd. (A) | 19,540 | 16,680 | |||
RPMGlobal Holdings, Ltd. (A) | 6,670 | 8,901 | |||
Sandfire Resources, Ltd. | 8,336 | 42,555 | |||
SeaLink Travel Group, Ltd. | 2,432 | 17,283 | |||
Select Harvests, Ltd. | 6,954 | 35,194 | |||
Senex Energy, Ltd. | 10,923 | 28,065 | |||
Servcorp, Ltd. | 3,171 | 8,334 | |||
Service Stream, Ltd. | 18,170 | 11,850 | |||
Seven West Media, Ltd. (A)(B) | 85,038 | 29,676 | |||
SG Fleet Group, Ltd. | 8,938 | 20,139 | |||
Sigma Healthcare, Ltd. | 86,903 | 38,737 | |||
Silver Lake Resources, Ltd. (A) | 29,625 | 36,902 | |||
SmartGroup Corp., Ltd. | 4,591 | 25,383 | |||
Southern Cross Media Group, Ltd. (A) | 17,291 | 27,095 | |||
Spark Infrastructure Group | 75,397 | 127,134 | |||
SpeedCast International, Ltd. (A)(B)(C) | 17,245 | 0 | |||
St. Barbara, Ltd. | 32,796 | 41,958 | |||
Steadfast Group, Ltd. | 37,803 | 124,628 | |||
Super Retail Group, Ltd. | 7,649 | 73,962 | |||
Superloop, Ltd. (A)(B) | 22,967 | 15,990 | |||
Syrah Resources, Ltd. (A) | 36,700 | 28,468 | |||
Tassal Group, Ltd. | 8,526 | 22,879 | |||
Technology One, Ltd. | 12,347 | 86,121 | |||
The Reject Shop, Ltd. (A) | 2,561 | 10,718 | |||
The Star Entertainment Group, Ltd. (A) | 37,406 | 103,392 | |||
Tiger Resources, Ltd. (A)(C) | 92,816 | 2,562 | |||
United Malt Grp, Ltd. | 15,585 | 52,360 | |||
Uniti Group, Ltd. (A) | 4,249 | 10,548 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Australia (continued) | |||||
Virtus Health, Ltd. | 8,064 | $ | 39,921 | ||
Viva Energy Group, Ltd. (D) | 27,557 | 39,830 | |||
Webjet, Ltd. (A)(B) | 21,997 | 80,865 | |||
West African Resources, Ltd. (A) | 12,571 | 9,382 | |||
Western Areas, Ltd. | 21,598 | 38,626 | |||
Westgold Resources, Ltd. (A) | 16,604 | 23,425 | |||
Whitehaven Coal, Ltd. (A) | 44,790 | 64,982 | |||
Zip Company, Ltd. (A)(B) | 5,273 | 29,947 | |||
8,548,381 | |||||
Austria - 1.6% | |||||
Agrana Beteiligungs AG | 724 | 17,482 | |||
ams AG (A) | 10,399 | 208,909 | |||
ANDRITZ AG | 3,025 | 170,132 | |||
AT&S Austria Technologie & Systemtechnik AG | 1,801 | 78,035 | |||
BAWAG Group AG (D) | 2,332 | 124,186 | |||
DO & Company AG (A) | 278 | 25,147 | |||
EVN AG | 2,014 | 47,463 | |||
FACC AG (A) | 1,116 | 12,444 | |||
Flughafen Wien AG (A) | 265 | 9,220 | |||
IMMOFINANZ AG | 4,356 | 97,936 | |||
Kapsch TrafficCom AG (A)(B) | 191 | 3,334 | |||
Lenzing AG (A) | 693 | 84,910 | |||
Mayr Melnhof Karton AG | 378 | 80,578 | |||
Oesterreichische Post AG (B) | 1,378 | 73,357 | |||
Palfinger AG | 876 | 36,694 | |||
POLYTEC Holding AG (A) | 995 | 13,841 | |||
Porr AG (A) | 648 | 12,295 | |||
Raiffeisen Bank International AG | 1,787 | 40,562 | |||
RHI Magnesita NV | 1,095 | 62,023 | |||
RHI Magnesita NV (London Stock Exchange) | 545 | 30,546 | |||
Rosenbauer International AG | 174 | 10,981 | |||
S IMMO AG | 2,772 | 66,431 | |||
S&T AG (B) | 1,838 | 42,117 | |||
Schoeller-Bleckmann Oilfield Equipment AG (A) | 710 | 29,945 | |||
Semperit AG Holding | 822 | 33,018 | |||
Strabag SE, Bearer Shares | 893 | 38,299 | |||
Telekom Austria AG | 7,836 | 66,903 | |||
UBM Development AG | 411 | 20,243 | |||
UNIQA Insurance Group AG | 6,525 | 56,823 | |||
Vienna Insurance Group AG | 2,128 | 58,429 | |||
voestalpine AG | 4,895 | 199,663 | |||
Wienerberger AG | 5,497 | 211,888 | |||
Zumtobel Group AG (A) | 2,545 | 25,655 | |||
2,089,489 | |||||
Belgium - 1.5% | |||||
Ackermans & van Haaren NV | 1,132 | 191,276 | |||
AGFA-Gevaert NV (A) | 6,780 | 31,511 | |||
Akka Technologies (A) | 603 | 16,847 | |||
Atenor | 211 | 15,122 | |||
Banque Nationale de Belgique | 12 | 25,480 | |||
Barco NV | 3,212 | 87,942 | |||
Bekaert SA | 2,225 | 99,406 | |||
Biocartis Group NV (A)(D) | 2,587 | 12,516 | |||
bpost SA (A) | 4,236 | 50,822 | |||
Celyad Oncology SA (A) | 493 | 2,586 | |||
Cie d'Entreprises CFE | 416 | 43,384 | |||
D'ieteren Group | 1,085 | 131,360 | |||
Econocom Group SA/NV | 6,435 | 24,447 | |||
Elia Group SA/NV | 1,281 | 135,218 | |||
Etablissements Franz Colruyt NV | 695 | 38,885 | |||
Euronav NV | 8,334 | 77,640 | |||
Euronav NV (New York Stock Exchange) | 2,324 | 21,660 |
The accompanying notes are an integral part of the financial statements. | 65 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Belgium (continued) | |||||
EVS Broadcast Equipment SA | 811 | $ | 17,030 | ||
Exmar NV | 1,567 | 7,248 | |||
Fagron | 2,165 | 48,379 | |||
Gimv NV (A) | 1,197 | 76,654 | |||
Immobel SA (B) | 209 | 18,058 | |||
Ion Beam Applications | 1,305 | 25,839 | |||
Kinepolis Group NV (A) | 585 | 31,657 | |||
Lotus Bakeries NV | 13 | 73,584 | |||
Melexis NV | 987 | 102,613 | |||
Ontex Group NV (A) | 3,927 | 48,924 | |||
Orange Belgium SA | 417 | 9,357 | |||
Oxurion NV (A) | 1,612 | 4,781 | |||
Picanol (A) | 88 | 8,039 | |||
Proximus SADP | 5,977 | 115,529 | |||
Recticel SA | 2,296 | 38,717 | |||
Sipef NV | 420 | 23,655 | |||
Telenet Group Holding NV | 1,717 | 64,681 | |||
Tessenderlo Group SA (A) | 904 | 38,195 | |||
Van de Velde NV | 377 | 11,198 | |||
VGP NV | 243 | 47,953 | |||
Viohalco SA | 7,173 | 38,706 | |||
X-Fab Silicon Foundries SE (A)(D) | 2,319 | 22,037 | |||
1,878,936 | |||||
Bermuda - 0.1% | |||||
Hiscox, Ltd. (A) | 8,333 | 95,981 | |||
Cambodia - 0.0% | |||||
NagaCorp, Ltd. | 40,000 | 38,576 | |||
Canada - 10.5% | |||||
5N Plus, Inc. (A) | 3,515 | 8,365 | |||
Absolute Software Corp. | 2,400 | 34,714 | |||
Advantage Energy, Ltd. (A) | 11,500 | 46,943 | |||
Aecon Group, Inc. | 3,200 | 46,467 | |||
Africa Oil Corp. (A)(B) | 34,602 | 33,217 | |||
AG Growth International, Inc. | 1,100 | 34,182 | |||
AGF Management, Ltd., Class B | 4,298 | 27,530 | |||
Aimia, Inc. (A) | 7,777 | 30,616 | |||
AirBoss of America Corp. | 1,500 | 42,957 | |||
Alamos Gold, Inc., Class A | 21,879 | 167,146 | |||
Alaris Equity Partners Income | 2,229 | 30,479 | |||
Alcanna, Inc. (A) | 1,500 | 8,095 | |||
Algoma Central Corp. | 700 | 9,261 | |||
AltaGas, Ltd. | 6,823 | 143,219 | |||
Altius Minerals Corp. | 3,100 | 42,589 | |||
Altus Group, Ltd. | 1,818 | 84,256 | |||
Andrew Peller, Ltd., Class A | 2,300 | 17,608 | |||
ARC Resources, Ltd. | 28,718 | 244,413 | |||
Aritzia, Inc. (A) | 3,100 | 92,730 | |||
Ascot Resources, Ltd. (A) | 13,700 | 14,147 | |||
Atco, Ltd., Class I | 1,804 | 63,975 | |||
Athabasca Oil Corp. (A) | 42,135 | 33,311 | |||
ATS Automation Tooling Systems, Inc. (A) | 3,547 | 101,809 | |||
AutoCanada, Inc. (A) | 1,985 | 79,970 | |||
Badger Infrastructure Solutions, Ltd. | 1,522 | 46,190 | |||
Birch Mountain Resources, Ltd. (A)(C) | 9,200 | 1 | |||
Birchcliff Energy, Ltd. (B) | 15,733 | 65,998 | |||
Bird Construction, Inc. | 4,995 | 35,581 | |||
Black Diamond Group, Ltd. (A) | 2,750 | 8,874 | |||
BlackBerry, Ltd. (A) | 6,480 | 79,197 | |||
BlackBerry, Ltd. (New York Stock Exchange) (A) | 14,111 | 172,436 | |||
BMTC Group, Inc. | 500 | 5,990 | |||
Bombardier, Inc., Class B (A) | 61,505 | 58,052 | |||
Boralex, Inc., Class A | 4,277 | 130,249 | |||
Cameco Corp. | 3,596 | 68,971 | |||
Canaccord Genuity Group, Inc. | 3,431 | 37,587 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Canada (continued) | |||||
Canacol Energy, Ltd. | 7,565 | $ | 20,688 | ||
Canada Goose Holdings, Inc. (A)(B) | 2,213 | 96,725 | |||
Canadian Western Bank | 4,515 | 126,752 | |||
Canfor Corp. (A) | 3,704 | 84,741 | |||
Canfor Pulp Products, Inc. (A) | 2,715 | 17,084 | |||
Capital Power Corp. | 5,927 | 195,798 | |||
Capstone Mining Corp. (A) | 29,467 | 127,890 | |||
Cardinal Energy, Ltd. (A) | 5,530 | 15,569 | |||
Cascades, Inc. | 5,723 | 70,453 | |||
Celestica, Inc. (A) | 5,019 | 39,355 | |||
Celestica, Inc. (New York Stock Exchange) (A) | 3,200 | 25,120 | |||
Centerra Gold, Inc. | 12,177 | 92,438 | |||
CES Energy Solutions Corp. (A) | 18,429 | 28,693 | |||
China Gold International Resources Corp., Ltd. | 18,050 | 48,343 | |||
CI Financial Corp. | 8,900 | 163,339 | |||
Cogeco Communications, Inc. | 563 | 55,051 | |||
Cogeco, Inc. | 445 | 34,513 | |||
Colliers International Group, Inc. | 1,400 | 156,783 | |||
Computer Modelling Group, Ltd. | 4,420 | 18,221 | |||
Copper Mountain Mining Corp. (A) | 8,800 | 25,841 | |||
Corby Spirit and Wine, Ltd. | 700 | 10,176 | |||
Corus Entertainment, Inc., B Shares | 11,806 | 60,573 | |||
Crescent Point Energy Corp. | 9,519 | 43,080 | |||
Crescent Point Energy Corp. (New York Stock Exchange) | 16,800 | 76,104 | |||
Crew Energy, Inc. (A) | 11,300 | 20,146 | |||
Cronos Group, Inc. (A) | 2,170 | 18,696 | |||
Cronos Group, Inc. (Nasdaq Exchange) (A)(B) | 3,612 | 31,063 | |||
Denison Mines Corp. (A)(B) | 33,028 | 40,233 | |||
Dexterra Group, Inc. | 1,621 | 8,958 | |||
DIRTT Environmental Solutions (A)(B) | 3,000 | 12,924 | |||
Doman Building Materials Group, Ltd. | 3,600 | 24,279 | |||
Dorel Industries, Inc., Class B (A) | 1,800 | 22,682 | |||
DREAM Unlimited Corp., Class A | 2,250 | 48,064 | |||
Dundee Precious Metals, Inc. | 7,687 | 46,571 | |||
ECN Capital Corp. | 16,900 | 126,791 | |||
E-L Financial Corp., Ltd. | 100 | 75,730 | |||
Eldorado Gold Corp. (A) | 9,374 | 93,090 | |||
Element Fleet Management Corp. | 17,442 | 203,462 | |||
Endeavour Silver Corp. (A) | 6,945 | 42,524 | |||
Enerflex, Ltd. | 6,400 | 43,317 | |||
Enerplus Corp. | 11,735 | 84,349 | |||
Enghouse Systems, Ltd. | 1,800 | 80,140 | |||
Ensign Energy Services, Inc. (A) | 9,800 | 17,709 | |||
Equitable Group, Inc. | 696 | 74,693 | |||
ERO Copper Corp. (A) | 2,900 | 60,849 | |||
Evertz Technologies, Ltd. | 1,900 | 22,056 | |||
Exchange Income Corp. | 568 | 18,264 | |||
Exco Technologies, Ltd. | 1,500 | 12,609 | |||
Extendicare, Inc. | 6,230 | 42,770 | |||
Fiera Capital Corp. | 3,035 | 26,638 | |||
Finning International, Inc. | 8,181 | 214,161 | |||
Firm Capital Mortgage Investment Corp. | 1,100 | 13,071 | |||
First Majestic Silver Corp. (B) | 7,681 | 121,325 | |||
First Mining Gold Corp. (A)(B) | 39,000 | 14,315 | |||
First National Financial Corp. | 700 | 27,789 | |||
Fission Uranium Corp. (A) | 19,500 | 9,910 | |||
Fortuna Silver Mines, Inc. (A) | 8,867 | 49,428 | |||
Freehold Royalties, Ltd. | 7,229 | 56,976 | |||
Frontera Energy Corp. (A) | 2,200 | 13,595 | |||
Galiano Gold, Inc. (A)(B) | 6,600 | 7,241 | |||
Gamehost, Inc. (A) | 100 | 693 |
The accompanying notes are an integral part of the financial statements. | 66 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Canada (continued) | |||||
Gibson Energy, Inc. | 7,398 | $ | 141,741 | ||
Global Atomic Corp. (A) | 8,700 | 22,038 | |||
goeasy, Ltd. | 672 | 85,995 | |||
GoGold Resources, Inc. (A) | 5,300 | 13,169 | |||
Golden Star Resources, Ltd. (A) | 5,011 | 14,149 | |||
Gran Tierra Energy, Inc. (A) | 25,166 | 18,678 | |||
Great Canadian Gaming Corp. (A) | 2,400 | 86,176 | |||
Guardian Capital Group, Ltd., Class A | 600 | 15,779 | |||
Hanfeng Evergreen, Inc. (A)(C) | 200 | 0 | |||
Headwater Exploration, Inc. (A) | 4,930 | 17,340 | |||
Heroux-Devtek, Inc. (A) | 2,700 | 38,879 | |||
HEXO Corp. (A) | 3,660 | 21,258 | |||
High Liner Foods, Inc. | 1,773 | 19,438 | |||
Home Capital Group, Inc. (A) | 3,379 | 101,403 | |||
Hudbay Minerals, Inc. | 12,257 | 81,575 | |||
I-80 Gold Corp. (A) | 1,651 | 3,343 | |||
iA Financial Corp., Inc. | 2,477 | 134,860 | |||
IAMGOLD Corp. (A) | 29,827 | 87,826 | |||
Imperial Metals Corp. (A) | 5,060 | 18,369 | |||
Information Services Corp. | 800 | 19,684 | |||
Innergex Renewable Energy, Inc. | 6,800 | 118,216 | |||
Inter Pipeline, Ltd. | 11,943 | 194,136 | |||
Interfor Corp. | 3,520 | 88,142 | |||
International Petroleum Corp. (A)(B) | 5,324 | 24,696 | |||
International Tower Hill Mines, Ltd. (A) | 2,300 | 2,394 | |||
Intertape Polymer Group, Inc. | 2,700 | 62,599 | |||
Jamieson Wellness, Inc. (D) | 1,500 | 40,900 | |||
KAB Distribution, Inc. (A)(C) | 7,076 | 0 | |||
K-Bro Linen, Inc. | 600 | 20,978 | |||
Kelt Exploration, Ltd. (A) | 10,445 | 29,744 | |||
Keyera Corp. | 6,187 | 166,254 | |||
Kinaxis, Inc. (A) | 1,068 | 140,496 | |||
Kingsway Financial Services, Inc. (A) | 425 | 2,125 | |||
Knight Therapeutics, Inc. (A) | 5,400 | 22,870 | |||
Labrador Iron Ore Royalty Corp. (B) | 3,218 | 121,934 | |||
Largo Resources, Ltd. (A)(B) | 780 | 12,144 | |||
Lassonde Industries, Inc., Class A | 200 | 27,912 | |||
Laurentian Bank of Canada | 2,414 | 85,082 | |||
Leon's Furniture, Ltd. | 1,883 | 34,178 | |||
LifeWorks, Inc. | 3,098 | 83,523 | |||
Linamar Corp. | 2,366 | 148,400 | |||
Lucara Diamond Corp. (A)(B) | 25,184 | 15,237 | |||
Lundin Gold, Inc. (A)(B) | 2,800 | 23,514 | |||
Magellan Aerospace Corp. | 900 | 7,587 | |||
Mainstreet Equity Corp. (A) | 400 | 33,611 | |||
Major Drilling Group International, Inc. (A) | 6,800 | 47,012 | |||
Maple Leaf Foods, Inc. | 3,940 | 81,781 | |||
Martinrea International, Inc. | 4,603 | 48,533 | |||
Medical Facilities Corp. | 2,104 | 11,898 | |||
MEG Energy Corp. (A) | 13,888 | 100,496 | |||
Melcor Developments, Ltd. | 1,000 | 10,810 | |||
Methanex Corp. | 2,700 | 89,499 | |||
Morguard Corp. | 400 | 45,547 | |||
Mountain Province Diamonds, Inc. (A)(B) | 6,800 | 2,661 | |||
MTY Food Group, Inc. (A) | 742 | 32,665 | |||
Mullen Group, Ltd. | 5,582 | 60,161 | |||
New Gold, Inc. (A) | 28,915 | 52,017 | |||
NFI Group, Inc. | 2,279 | 51,790 | |||
North American Construction Group, Ltd. | 2,100 | 31,985 | |||
NuVista Energy, Ltd. (A) | 15,505 | 49,782 | |||
Osisko Gold Royalties, Ltd. | 7,722 | 105,838 | |||
Pan American Silver Corp., CVR (A) | 19,100 | 16,235 | |||
Paramount Resources, Ltd., Class A (A) | 5,173 | 71,611 | |||
Parex Resources, Inc. (A) | 7,016 | 117,160 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Canada (continued) | |||||
Park Lawn Corp. | 1,792 | $ | 48,197 | ||
Parkland Corp. | 4,835 | 156,252 | |||
Pason Systems, Inc. | 5,636 | 40,601 | |||
Peyto Exploration & Development Corp. | 10,197 | 68,687 | |||
Pizza Pizza Royalty Corp. | 1,729 | 15,106 | |||
Polaris Infrastructure, Inc. | 1,500 | 23,391 | |||
Pollard Banknote, Ltd. | 1,000 | 45,595 | |||
PolyMet Mining Corp. (A) | 1,185 | 4,273 | |||
PrairieSky Royalty, Ltd. | 9,727 | 117,782 | |||
Precision Drilling Corp. (A) | 1,082 | 45,092 | |||
Premium Brands Holdings Corp. | 1,700 | 172,702 | |||
Pretium Resources, Inc. (A) | 8,300 | 79,411 | |||
Quarterhill, Inc. | 9,800 | 20,160 | |||
Questerre Energy Corp., Class A (A)(B) | 19,444 | 2,745 | |||
Real Matters, Inc. (A) | 3,500 | 50,484 | |||
Recipe Unlimited Corp. (A) | 1,300 | 22,285 | |||
RF Capital Group, Inc. (A) | 1,848 | 3,131 | |||
Richelieu Hardware, Ltd. | 3,100 | 100,332 | |||
Rogers Sugar, Inc. | 6,474 | 30,187 | |||
Roxgold, Inc. (A) | 19,200 | 29,274 | |||
Russel Metals, Inc. | 3,846 | 105,086 | |||
Sabina Gold & Silver Corp. (A)(B) | 20,475 | 28,905 | |||
Sandstorm Gold, Ltd. (A) | 10,731 | 84,750 | |||
Savaria Corp. (B) | 2,300 | 37,183 | |||
Seabridge Gold, Inc. (A) | 1,222 | 21,412 | |||
Secure Energy Services, Inc. | 5,954 | 20,221 | |||
ShawCor, Ltd. (A) | 4,173 | 19,895 | |||
Sienna Senior Living, Inc. | 3,606 | 47,824 | |||
Sierra Wireless, Inc. (A) | 2,600 | 49,290 | |||
Sleep Country Canada Holdings, Inc. (D) | 2,113 | 50,575 | |||
SNC-Lavalin Group, Inc. | 6,640 | 172,749 | |||
Spin Master Corp. (A)(D) | 1,400 | 54,460 | |||
Sprott, Inc. | 1,329 | 52,309 | |||
SSR Mining, Inc. | 8,940 | 139,624 | |||
Stantec, Inc. | 5,278 | 235,500 | |||
Stella-Jones, Inc. | 2,400 | 86,409 | |||
Storm Resources, Ltd. (A) | 9,300 | 31,735 | |||
SunOpta, Inc. (A) | 5,608 | 68,630 | |||
Superior Plus Corp. | 9,057 | 111,569 | |||
Surge Energy, Inc. (A) | 21,600 | 11,675 | |||
Tamarack Valley Energy, Ltd. (A) | 20,085 | 41,641 | |||
Taseko Mines, Ltd. (A) | 16,100 | 33,769 | |||
TECSYS, Inc. | 609 | 20,541 | |||
Tervita Corp. (A) | 616 | 2,614 | |||
TFI International, Inc. | 2,725 | 248,780 | |||
The Descartes Systems Group, Inc. (A) | 1,374 | 95,025 | |||
The North West Company, Inc. | 1,606 | 45,591 | |||
Tidewater Midstream and Infrastructure, Ltd. | 6,650 | 7,457 | |||
Timbercreek Financial Corp. | 6,000 | 46,176 | |||
TLC Vision Corp. (A) | 3,400 | 0 | |||
Torex Gold Resources, Inc. (A) | 5,460 | 62,898 | |||
Toromont Industries, Ltd. | 394 | 34,327 | |||
Total Energy Services, Inc. (A) | 3,132 | 11,370 | |||
Tourmaline Oil Corp. | 3,709 | 106,010 | |||
TransAlta Corp. | 15,282 | 152,253 | |||
TransAlta Renewables, Inc. | 6,098 | 102,470 | |||
Transcontinental, Inc., Class A | 3,683 | 69,168 | |||
Trevali Mining Corp. (A) | 37,134 | 6,441 | |||
Trican Well Service, Ltd. (A) | 26,009 | 56,021 | |||
Tricon Residential, Inc. | 5,668 | 65,203 | |||
Trisura Group, Ltd. (A) | 300 | 40,123 | |||
Turquoise Hill Resources, Ltd. (A) | 3,950 | 66,630 | |||
Uni-Select, Inc. (A) | 3,401 | 45,023 | |||
Vecima Networks, Inc. | 479 | 6,279 |
The accompanying notes are an integral part of the financial statements. | 67 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Canada (continued) | |||||
Vermilion Energy, Inc. (A)(B) | 4,600 | $ | 40,300 | ||
Wajax Corp. | 1,300 | 25,232 | |||
Wesdome Gold Mines, Ltd. (A) | 8,000 | 75,895 | |||
Western Forest Products, Inc. | 25,850 | 44,001 | |||
Westshore Terminals Investment Corp. | 1,589 | 21,894 | |||
Whitecap Resources, Inc. | 35,380 | 175,815 | |||
WildBrain, Ltd. (A) | 10,382 | 23,283 | |||
Winpak, Ltd. | 1,577 | 49,195 | |||
Yamana Gold, Inc. | 31,616 | 133,136 | |||
Yellow Pages, Ltd. | 200 | 2,372 | |||
Zenith Capital Corp. (A) | 1,700 | 233 | |||
13,546,073 | |||||
China - 0.1% | |||||
FIH Mobile, Ltd. (A) | 195,000 | 32,152 | |||
Fosun Tourism Group (A)(B)(D) | 2,000 | 3,190 | |||
Goodbaby International Holdings, Ltd. (A) | 71,000 | 16,357 | |||
TK Group Holdings, Ltd. | 26,000 | 9,904 | |||
Yangzijiang Shipbuilding Holdings, Ltd. | 19,900 | 20,908 | |||
82,511 | |||||
Denmark - 2.1% | |||||
ALK-Abello A/S (A) | 301 | 143,660 | |||
Alm. Brand A/S (B) | 2,824 | 20,473 | |||
Amagerbanken A/S (A)(C) | 25,580 | 0 | |||
Asetek A/S (A) | 1,629 | 18,452 | |||
Bang & Olufsen A/S (A) | 7,788 | 41,554 | |||
Bavarian Nordic A/S (A) | 2,737 | 112,917 | |||
Better Collective A/S (A) | 917 | 21,766 | |||
Chemometec A/S | 500 | 67,430 | |||
D/S Norden A/S | 1,788 | 56,919 | |||
Dfds A/S (A) | 1,395 | 78,721 | |||
FLSmidth & Company A/S | 1,871 | 77,954 | |||
H Lundbeck A/S | 1,368 | 43,559 | |||
H+H International A/S, Class B (A) | 1,146 | 35,154 | |||
INVISIO AB | 1,065 | 23,480 | |||
ISS A/S (A) | 4,208 | 99,021 | |||
Jeudan A/S | 380 | 16,196 | |||
Jyske Bank A/S (A) | 2,627 | 127,316 | |||
Lan & Spar Bank A/S | 225 | 20,260 | |||
Matas A/S | 2,910 | 52,702 | |||
Netcompany Group A/S (D) | 1,289 | 146,559 | |||
Nilfisk Holding A/S (A) | 903 | 31,667 | |||
NKT A/S (A) | 2,018 | 92,744 | |||
NNIT A/S (D) | 479 | 9,470 | |||
NTG Nordic Transport Group A/S (A) | 200 | 12,068 | |||
Pandora A/S | 114 | 15,380 | |||
Per Aarsleff Holding A/S | 883 | 39,792 | |||
Ringkjoebing Landbobank A/S | 1,224 | 124,314 | |||
Rockwool International A/S, A Shares | 83 | 35,230 | |||
Rockwool International A/S, B Shares | 133 | 64,774 | |||
Royal Unibrew A/S | 2,377 | 302,884 | |||
Scandinavian Tobacco Group A/S (D) | 2,633 | 53,796 | |||
Schouw & Company A/S | 666 | 73,143 | |||
SimCorp A/S | 1,846 | 231,862 | |||
Solar A/S, B Shares | 410 | 35,654 | |||
SP Group A/S | 203 | 12,588 | |||
Spar Nord Bank A/S | 4,967 | 55,960 | |||
Sydbank AS | 3,132 | 96,513 | |||
The Drilling Company of 1972 A/S (A) | 532 | 22,273 | |||
Tivoli A/S (A) | 102 | 14,444 | |||
Topdanmark AS | 1,791 | 93,197 | |||
United International Enterprises, Ltd. | 128 | 34,293 | |||
Vestjysk Bank A/S (A) | 4,280 | 2,353 | |||
Zealand Pharma A/S (A) | 1,273 | 37,661 | |||
2,696,153 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Finland - 2.4% | |||||
Adapteo OYJ | 1,982 | $ | 38,036 | ||
Aktia Bank OYJ | 2,328 | 29,776 | |||
Alma Media OYJ | 1,962 | 24,054 | |||
BasWare OYJ (A) | 538 | 25,336 | |||
Bittium OYJ | 2,708 | 20,429 | |||
Cargotec OYJ, B Shares | 2,007 | 103,937 | |||
Caverion OYJ | 3,325 | 27,192 | |||
Citycon OYJ | 4,136 | 35,226 | |||
Enento Group OYJ (A)(D) | 860 | 34,562 | |||
Ferratum OYJ (A) | 459 | 2,812 | |||
Finnair OYJ (A) | 44,891 | 37,035 | |||
Fiskars OYJ ABP | 2,196 | 47,742 | |||
F-Secure OYJ | 7,159 | 34,185 | |||
Harvia OYJ | 846 | 51,088 | |||
HKScan OYJ, A Shares | 316 | 884 | |||
Huhtamaki OYJ | 4,496 | 213,254 | |||
Kamux Corp. | 664 | 12,902 | |||
Kemira OYJ | 4,233 | 66,704 | |||
Kojamo OYJ | 3,973 | 90,966 | |||
Konecranes OYJ | 2,937 | 123,800 | |||
Lassila & Tikanoja OYJ | 1,929 | 32,388 | |||
Lehto Group OYJ (A) | 1,738 | 3,350 | |||
Metsa Board OYJ | 7,466 | 76,801 | |||
Metso Outotec OYJ | 10,839 | 125,943 | |||
Musti Group OYJ (A) | 1,222 | 45,227 | |||
Neles OYJ | 6,038 | 87,062 | |||
Nokian Renkaat OYJ | 5,747 | 232,166 | |||
Olvi OYJ, A Shares | 721 | 43,376 | |||
Oriola OYJ, B Shares | 9,290 | 20,294 | |||
Orion OYJ, Class A | 982 | 42,151 | |||
Orion OYJ, Class B | 4,360 | 187,455 | |||
Outokumpu OYJ (A) | 11,683 | 70,099 | |||
Pihlajalinna OYJ | 1,193 | 15,989 | |||
Ponsse OYJ | 543 | 27,314 | |||
QT Group OYJ (A) | 770 | 90,182 | |||
Raisio OYJ, V Shares | 8,267 | 36,913 | |||
Revenio Group OYJ | 950 | 71,994 | |||
Rovio Entertainment OYJ (D) | 1,642 | 13,375 | |||
Sanoma OYJ | 4,094 | 67,865 | |||
Taaleri OYJ | 956 | 12,193 | |||
Terveystalo OYJ (D) | 2,964 | 40,060 | |||
TietoEVRY OYJ | 3,679 | 116,237 | |||
Tokmanni Group Corp. | 1,942 | 53,722 | |||
Uponor OYJ | 2,530 | 73,333 | |||
Vaisala OYJ, A Shares | 952 | 39,111 | |||
Valmet OYJ | 6,269 | 273,762 | |||
Wartsila OYJ ABP | 10,003 | 148,616 | |||
YIT OYJ | 8,449 | 51,804 | |||
3,118,702 | |||||
France - 4.2% | |||||
ABC arbitrage | 1,202 | 10,114 | |||
AKWEL | 725 | 21,180 | |||
Albioma SA | 1,751 | 71,681 | |||
ALD SA (D) | 1,653 | 24,811 | |||
Altamir | 752 | 21,421 | |||
Alten SA | 1,382 | 183,432 | |||
Assystem SA | 763 | 28,252 | |||
Aubay | 399 | 21,054 | |||
Axway Software SA | 531 | 17,841 | |||
Bastide le Confort Medical | 256 | 14,420 | |||
Beneteau SA (A) | 2,839 | 44,881 | |||
Bigben Interactive (A) | 460 | 9,071 | |||
Boiron SA | 274 | 12,561 | |||
Bonduelle SCA | 1,027 | 25,789 | |||
Burelle SA | 15 | 13,490 |
The accompanying notes are an integral part of the financial statements. | 68 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
France (continued) | |||||
Casino Guichard Perrachon SA (A)(B) | 2,173 | $ | 69,008 | ||
Cegedim SA (A) | 186 | 5,431 | |||
CGG SA (A) | 29,813 | 26,666 | |||
Chargeurs SA | 1,491 | 41,440 | |||
Cie des Alpes (A)(B) | 998 | 16,026 | |||
Cie Plastic Omnium SA | 3,159 | 98,785 | |||
Claranova SADIR (A)(B) | 1,250 | 9,975 | |||
Coface SA | 5,646 | 68,520 | |||
DBV Technologies SA (A) | 1,786 | 19,679 | |||
Derichebourg SA (A) | 6,625 | 67,013 | |||
Ekinops SAS (A) | 1,302 | 11,229 | |||
Electricite de Strasbourg SA | 31 | 4,137 | |||
Elior Group SA (A)(D) | 4,760 | 35,603 | |||
Elis SA (A) | 7,872 | 148,539 | |||
Eramet SA (A) | 445 | 29,097 | |||
ESI Group (A) | 197 | 13,609 | |||
Etablissements Maurel et Prom SA (A)(B) | 1,561 | 3,525 | |||
Eurazeo SE | 1,581 | 137,843 | |||
Europcar Mobility Group (A)(D) | 13,804 | 7,828 | |||
Eutelsat Communications SA | 9,105 | 106,516 | |||
Exel Industries SA, A Shares (A) | 89 | 9,704 | |||
Faurecia SE | 4,730 | 232,528 | |||
Fnac Darty SA (A) | 1,052 | 67,771 | |||
Gaztransport Et Technigaz SA | 1,087 | 87,947 | |||
Groupe Crit (A) | 163 | 12,481 | |||
Haulotte Group SA | 962 | 7,303 | |||
ID Logistics Group (A) | 176 | 49,287 | |||
Imerys SA | 1,434 | 67,121 | |||
Infotel SA | 133 | 7,922 | |||
Ipsen SA | 114 | 11,862 | |||
IPSOS | 1,982 | 83,625 | |||
JCDecaux SA (A) | 2,376 | 65,874 | |||
Kaufman & Broad SA | 901 | 42,893 | |||
Korian SA | 3,175 | 117,362 | |||
Lagardere SCA (A) | 3,040 | 75,237 | |||
Laurent-Perrier | 110 | 12,605 | |||
Lectra | 1,346 | 50,967 | |||
LISI | 1,205 | 39,368 | |||
LNA Sante SA | 166 | 10,435 | |||
Lumibird (A) | 632 | 11,986 | |||
Maisons du Monde SA (D) | 1,925 | 47,764 | |||
Manitou BF SA | 880 | 28,184 | |||
Manutan International | 105 | 10,589 | |||
Mersen SA (A) | 1,171 | 45,674 | |||
Metropole Television SA | 1,324 | 27,838 | |||
Neoen SA (A)(D) | 1,095 | 49,234 | |||
Nexans SA | 1,883 | 171,826 | |||
Nexity SA | 1,974 | 98,785 | |||
NRJ Group | 782 | 5,656 | |||
Onxeo SA (A) | 4,617 | 3,508 | |||
Orpea SA | 725 | 92,302 | |||
Plastivaloire | 383 | 3,294 | |||
Quadient SA | 2,721 | 81,826 | |||
Recylex SA (A)(C) | 1,058 | 2,318 | |||
Rexel SA (A) | 15,736 | 329,482 | |||
Robertet SA | 28 | 34,533 | |||
Rothschild & Company | 1,372 | 53,280 | |||
Rubis SCA | 3,860 | 171,753 | |||
Savencia SA | 372 | 31,251 | |||
SCOR SE (B) | 6,780 | 215,842 | |||
SMCP SA (A)(D) | 1,921 | 13,971 | |||
Societe BIC SA (B) | 1,252 | 87,074 | |||
Societe pour l'Informatique Industrielle | 438 | 15,415 | |||
SOITEC (A) | 1,176 | 259,687 | |||
Solocal Group (A)(B) | 6,121 | 13,180 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
France (continued) | |||||
Somfy SA | 326 | $ | 55,338 | ||
Sopra Steria Group SACA | 705 | 135,653 | |||
SPIE SA | 6,716 | 154,724 | |||
Stef SA | 202 | 21,721 | |||
Synergie SE | 557 | 21,628 | |||
Technicolor SA (A) | 685 | 2,662 | |||
Television Francaise 1 | 3,803 | 38,507 | |||
Thermador Groupe | 453 | 47,533 | |||
Tikehau Capital SCA | 1,533 | 48,539 | |||
Trigano SA | 463 | 95,734 | |||
Valeo SA | 830 | 25,036 | |||
Vallourec SA (A)(B) | 2,750 | 24,962 | |||
Valneva SE (A)(B) | 2,831 | 37,325 | |||
Verallia SA (A)(D) | 1,145 | 42,424 | |||
Vetoquinol SA | 155 | 19,072 | |||
Vicat SA | 987 | 47,736 | |||
VIEL & Cie SA | 3,220 | 22,985 | |||
Vilmorin & Cie SA | 614 | 40,819 | |||
Virbac SA | 180 | 61,734 | |||
Wavestone (A) | 331 | 15,705 | |||
5,358,848 | |||||
Gabon - 0.0% | |||||
Total Gabon | 20 | 3,382 | |||
Georgia - 0.0% | |||||
Bank of Georgia Group PLC (A) | 2,491 | 46,343 | |||
Georgia Capital PLC (A) | 1,145 | 11,390 | |||
TBC Bank Group PLC (A) | 239 | 3,838 | |||
61,571 | |||||
Germany - 6.2% | |||||
1&1 AG | 2,192 | 67,100 | |||
7C Solarparken AG | 3,210 | 15,267 | |||
Aareal Bank AG | 2,902 | 67,044 | |||
Adesso SE | 90 | 15,068 | |||
ADVA Optical Networking SE (A) | 3,719 | 51,553 | |||
AIXTRON SE | 4,181 | 113,379 | |||
Allgeier SE | 498 | 14,174 | |||
Amadeus Fire AG | 57 | 10,428 | |||
Atoss Software AG | 218 | 48,232 | |||
Aurubis AG | 1,823 | 169,205 | |||
Basler AG | 162 | 20,054 | |||
BayWa AG | 1,025 | 44,240 | |||
Bechtle AG | 318 | 59,103 | |||
Bertrandt AG | 394 | 26,360 | |||
Bijou Brigitte AG (A) | 340 | 10,203 | |||
Bilfinger SE | 1,781 | 53,335 | |||
Borussia Dortmund GmbH & Company KGaA (A) | 3,564 | 26,301 | |||
CANCOM SE | 1,836 | 111,115 | |||
CECONOMY AG (A) | 8,144 | 39,810 | |||
CENIT AG | 446 | 8,279 | |||
Cewe Stiftung & Company KGAA | 268 | 41,518 | |||
Commerzbank AG (A) | 30,403 | 215,912 | |||
CompuGroup Medical SE & Company KgaA | 1,135 | 88,934 | |||
CropEnergies AG | 1,544 | 19,820 | |||
CTS Eventim AG & Company KGaA (A) | 2,245 | 140,237 | |||
Dermapharm Holding SE | 524 | 41,791 | |||
Deutsche Beteiligungs AG | 1,067 | 43,130 | |||
Deutsche EuroShop AG | 2,527 | 59,956 | |||
Deutsche Lufthansa AG (A)(B) | 3,811 | 42,857 | |||
Deutsche Pfandbriefbank AG (D) | 7,700 | 76,227 | |||
Deutz AG (A) | 7,260 | 58,775 | |||
DIC Asset AG | 3,005 | 51,891 | |||
Dr. Hoenle AG | 420 | 23,327 |
The accompanying notes are an integral part of the financial statements. | 69 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Germany (continued) | |||||
Draegerwerk AG & Company KGaA | 82 | $ | 7,627 | ||
Duerr AG | 2,558 | 97,288 | |||
Eckert & Ziegler Strahlen- und Medizintechnik AG | 653 | 74,678 | |||
Elmos Semiconductor SE | 392 | 16,974 | |||
ElringKlinger AG (A) | 2,576 | 45,910 | |||
Encavis AG (B) | 2,727 | 51,589 | |||
Evotec SE (A) | 2,541 | 115,269 | |||
Fielmann AG (A) | 1,241 | 97,108 | |||
First Sensor AG | 433 | 21,922 | |||
FlatexDEGIRO AG (A) | 821 | 110,518 | |||
Fraport AG Frankfurt Airport Services Worldwide (A) | 1,137 | 77,484 | |||
Freenet AG | 6,277 | 148,412 | |||
FUCHS PETROLUB SE | 1,085 | 42,145 | |||
GEA Group AG | 7,088 | 287,206 | |||
Gerresheimer AG | 1,515 | 167,570 | |||
GFT Technologies SE | 961 | 24,456 | |||
GRENKE AG | 500 | 21,945 | |||
H&R GmbH & Company KGaA (A) | 1,324 | 12,741 | |||
Hamburger Hafen und Logistik AG | 1,330 | 33,461 | |||
Heidelberger Druckmaschinen AG (A) | 18,003 | 42,912 | |||
Hella GmbH & Company KGaA (A)(B) | 1,867 | 127,963 | |||
HOCHTIEF AG | 468 | 35,994 | |||
Hornbach Baumarkt AG | 590 | 25,920 | |||
Hornbach Holding AG & Company KGaA | 497 | 56,678 | |||
HUGO BOSS AG | 3,312 | 180,400 | |||
Hypoport SE (A) | 149 | 77,101 | |||
Indus Holding AG | 975 | 38,617 | |||
Instone Real Estate Group AG (D) | 2,299 | 69,219 | |||
IVU Traffic Technologies AG | 728 | 16,704 | |||
Jenoptik AG | 2,990 | 81,826 | |||
JOST Werke AG (D) | 517 | 30,863 | |||
K+S AG (A) | 8,850 | 120,642 | |||
Kloeckner & Company SE (A) | 5,538 | 75,929 | |||
Koenig & Bauer AG (A) | 912 | 30,449 | |||
Krones AG | 775 | 69,297 | |||
KWS Saat SE & Company KGaA | 607 | 49,973 | |||
LANXESS AG | 4,346 | 298,261 | |||
Leifheit AG | 437 | 24,285 | |||
Leoni AG (A)(B) | 2,398 | 42,894 | |||
LPKF Laser & Electronics AG | 1,100 | 32,066 | |||
Manz AG (A)(B) | 233 | 17,904 | |||
Medigene AG (A) | 760 | 3,558 | |||
Medios AG (A) | 440 | 17,543 | |||
METRO AG | 3,100 | 38,394 | |||
MLP SE | 5,864 | 48,502 | |||
Nagarro SE (A) | 498 | 61,132 | |||
New Work SE | 128 | 40,247 | |||
Nexus AG | 866 | 64,513 | |||
Nordex SE (A) | 4,553 | 110,785 | |||
Norma Group SE | 1,576 | 80,767 | |||
OHB SE | 399 | 17,483 | |||
PATRIZIA AG | 2,719 | 70,911 | |||
Pfeiffer Vacuum Technology AG | 256 | 48,588 | |||
PNE AG | 3,180 | 28,023 | |||
ProSiebenSat.1 Media SE | 10,428 | 207,928 | |||
PSI Software AG | 815 | 32,493 | |||
PVA TePla AG (A) | 629 | 18,475 | |||
q.beyond AG (A) | 6,549 | 14,870 | |||
Rheinmetall AG | 2,219 | 219,266 | |||
SAF-Holland SE (A) | 4,007 | 55,727 | |||
Salzgitter AG (A) | 1,978 | 58,895 | |||
Schaltbau Holding AG (A) | 373 | 16,379 | |||
Scout24 AG (D) | 1,645 | 138,794 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Germany (continued) | |||||
Secunet Security Networks AG | 53 | $ | 23,596 | ||
SGL Carbon SE (A) | 3,072 | 29,478 | |||
Siltronic AG (B) | 981 | 163,490 | |||
Sirius Real Estate, Ltd. | 17,545 | 26,824 | |||
Sixt SE (A) | 694 | 93,506 | |||
SMA Solar Technology AG | 563 | 32,312 | |||
Software AG | 2,610 | 117,418 | |||
STRATEC SE | 407 | 56,841 | |||
Stroeer SE & Company KGaA | 1,454 | 116,478 | |||
Suedzucker AG | 3,535 | 56,617 | |||
SUESS MicroTec SE (A) | 1,803 | 59,268 | |||
TAG Immobilien AG | 7,456 | 236,329 | |||
Takkt AG | 1,848 | 30,728 | |||
Technotrans SE | 530 | 17,165 | |||
thyssenkrupp AG (A) | 14,670 | 153,222 | |||
Traffic Systems SE | 106 | 5,006 | |||
Varta AG (B) | 624 | 96,222 | |||
VERBIO Vereinigte BioEnergie AG | 1,482 | 75,034 | |||
Vossloh AG | 859 | 43,310 | |||
Wacker Chemie AG | 495 | 76,299 | |||
Wacker Neuson SE | 2,039 | 58,714 | |||
Washtec AG | 611 | 37,938 | |||
Westwing Group AG (A) | 385 | 21,032 | |||
Wuestenrot & Wuerttembergische AG | 1,566 | 35,876 | |||
Zeal Network SE | 349 | 17,344 | |||
zooplus AG (A) | 349 | 113,099 | |||
8,061,244 | |||||
Gibraltar - 0.1% | |||||
888 Holdings PLC | 15,858 | 84,282 | |||
Greece - 0.0% | |||||
Alapis Holding Industrial & Commercial SA of Pharmaceutical Chemical Products (A)(C) | 3,303 | 72 | |||
TT Hellenic Postbank SA (A)(C) | 12,594 | 0 | |||
72 | |||||
Guernsey, Channel Islands - 0.0% | |||||
Raven Property Group, Ltd. (A) | 4,994 | 2,097 | |||
Hong Kong - 2.5% | |||||
3D-Gold Jewellery Holdings, Ltd. (A)(C) | 90,000 | 0 | |||
Aidigong Maternal & Child Health, Ltd. (A) | 108,000 | 16,822 | |||
Allied Group, Ltd. | 120,000 | 48,818 | |||
APAC Resources, Ltd. | 15,396 | 2,537 | |||
Apollo Future Mobility Group, Ltd. (A) | 56,000 | 3,028 | |||
Asia Financial Holdings, Ltd. | 14,000 | 6,726 | |||
ASM Pacific Technology, Ltd. | 9,300 | 125,980 | |||
Associated International Hotels, Ltd. | 28,000 | 49,056 | |||
Blue River Holdings, Ltd. (A) | 74,400 | 3,680 | |||
BOE Varitronix, Ltd. | 18,000 | 13,862 | |||
Brightoil Petroleum Holdings, Ltd. (A)(C) | 117,000 | 12,997 | |||
Burwill Holdings, Ltd. (A)(C) | 292,000 | 2,670 | |||
Cafe de Coral Holdings, Ltd. | 18,000 | 37,000 | |||
Cathay Pacific Airways, Ltd. (A) | 28,000 | 23,660 | |||
Chen Hsong Holdings | 10,000 | 3,563 | |||
Cheuk Nang Holdings, Ltd. | 3,708 | 1,324 | |||
China Energy Development Holdings, Ltd. (A) | 634,000 | 9,639 | |||
China Solar Energy Holdings, Ltd. (A)(C) | 42,500 | 0 | |||
China Strategic Holdings, Ltd. (A) | 885,000 | 12,991 | |||
Chinese Estates Holdings, Ltd. | 22,000 | 10,244 | |||
Chong Hing Bank, Ltd. | 10,000 | 26,268 | |||
Chow Sang Sang Holdings International, Ltd. | 22,000 | 38,068 | |||
Chuang's Consortium International, Ltd. | 30,948 | 4,312 |
The accompanying notes are an integral part of the financial statements. | 70 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Hong Kong (continued) | |||||
CITIC Telecom International Holdings, Ltd. | 59,000 | $ | 19,523 | ||
CMBC Capital Holdings, Ltd. | 430,000 | 5,483 | |||
C-Mer Eye Care Holdings, Ltd. | 18,000 | 23,115 | |||
Crystal International Group, Ltd. (D) | 19,000 | 9,754 | |||
CSI Properties, Ltd. | 245,066 | 8,199 | |||
Dah Sing Banking Group, Ltd. | 18,000 | 19,852 | |||
Dah Sing Financial Holdings, Ltd. | 6,520 | 22,273 | |||
Dynamic Holdings, Ltd. | 8,000 | 14,417 | |||
EganaGoldpfeil Holdings, Ltd. (A)(C) | 103,373 | 0 | |||
Emperor Capital Group, Ltd. (A) | 192,000 | 3,233 | |||
Emperor Entertainment Hotel, Ltd. | 40,000 | 5,822 | |||
Emperor International Holdings, Ltd. | 97,333 | 14,215 | |||
Esprit Holdings, Ltd. (A) | 176,850 | 17,310 | |||
Fairwood Holdings, Ltd. | 3,500 | 8,119 | |||
Far East Consortium International, Ltd. | 86,473 | 32,633 | |||
First Pacific Company, Ltd. | 146,000 | 49,848 | |||
Giordano International, Ltd. | 82,000 | 17,845 | |||
Gold-Finance Holdings, Ltd. (A)(C) | 62,000 | 0 | |||
Great Eagle Holdings, Ltd. | 10,197 | 34,630 | |||
G-Resources Group, Ltd. (A) | 33,580 | 13,580 | |||
Guotai Junan International Holdings, Ltd. | 207,000 | 33,038 | |||
Haitong International Securities Group, Ltd. | 114,070 | 31,415 | |||
Hang Lung Group, Ltd. | 31,000 | 79,072 | |||
Hanison Construction Holdings, Ltd. | 27,441 | 4,421 | |||
Harbour Centre Development, Ltd. | 38,000 | 41,584 | |||
HKBN, Ltd. | 36,000 | 43,563 | |||
HKR International, Ltd. | 51,920 | 24,647 | |||
Hong Kong Ferry Holdings Company, Ltd. | 29,000 | 21,853 | |||
Hong Kong Television Network, Ltd. (A) | 28,000 | 35,216 | |||
Hongkong Chinese, Ltd. | 66,000 | 5,689 | |||
Hsin Chong Group Holdings, Ltd. (A)(C) | 170,000 | 7,663 | |||
Hutchison Port Holdings Trust | 161,400 | 36,398 | |||
Hutchison Telecommunications Hong Kong Holdings, Ltd. | 80,000 | 15,764 | |||
Hysan Development Company, Ltd. | 25,000 | 99,618 | |||
Johnson Electric Holdings, Ltd. | 20,500 | 52,822 | |||
K Wah International Holdings, Ltd. | 80,000 | 38,834 | |||
Kerry Logistics Network, Ltd. | 24,000 | 72,817 | |||
Kerry Properties, Ltd. | 28,500 | 93,979 | |||
Kingston Financial Group, Ltd. | 38,000 | 2,636 | |||
Kowloon Development Company, Ltd. | 22,000 | 25,974 | |||
Lai Sun Development Company, Ltd. (A) | 15,320 | 12,258 | |||
Landing International Development, Ltd. (A) | 75,600 | 2,433 | |||
Langham Hospitality Investments and Langham Hospitality Investments, Ltd. (A) | 22,500 | 2,837 | |||
Lifestyle International Holdings, Ltd. (A) | 25,000 | 19,171 | |||
Lippo China Resources, Ltd. | 36,000 | 583 | |||
Liu Chong Hing Investment, Ltd. | 16,000 | 17,174 | |||
Luk Fook Holdings International, Ltd. | 15,000 | 51,780 | |||
Mandarin Oriental International, Ltd. (A) | 8,000 | 16,031 | |||
Mason Group Holdings, Ltd. (A) | 1,548,800 | 5,776 | |||
Melco International Development, Ltd. (A) | 33,000 | 60,517 | |||
MH Development, Ltd. (A)(C) | 16,000 | 2,390 | |||
Midland Holdings, Ltd. (A) | 34,734 | 7,129 | |||
Miramar Hotel & Investment | 15,000 | 29,583 | |||
Modern Dental Group, Ltd. (A) | 20,000 | 18,544 | |||
NewOcean Energy Holdings, Ltd. (A)(B) | 66,000 | 3,822 | |||
NWS Holdings, Ltd. | 52,000 | 55,317 | |||
Oshidori International Holdings, Ltd. (A) | 204,000 | 13,643 | |||
Pacific Andes International Holdings, Ltd. (A)(C) | 328,006 | 0 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Hong Kong (continued) | |||||
Pacific Basin Shipping, Ltd. (A) | 258,000 | $ | 103,946 | ||
Pacific Century Premium Developments, Ltd. (A) | 2,376 | 226 | |||
Pacific Textiles Holdings, Ltd. | 42,000 | 25,268 | |||
Paliburg Holdings, Ltd. (A) | 46,000 | 12,513 | |||
PCCW, Ltd. | 156,590 | 82,012 | |||
Peace Mark Holdings, Ltd. (A)(C) | 164,000 | 0 | |||
Perfect Medical Health Management, Ltd. | 32,000 | 38,632 | |||
Pico Far East Holdings, Ltd. | 60,000 | 10,510 | |||
Public Financial Holdings, Ltd. | 24,000 | 7,843 | |||
Regal Hotels International Holdings, Ltd. (A) | 36,000 | 19,331 | |||
Regina Miracle International Holdings, Ltd. (D) | 17,000 | 6,225 | |||
Shangri-La Asia, Ltd. (A) | 46,000 | 45,027 | |||
Shenwan Hongyuan HK, Ltd. | 20,000 | 2,599 | |||
Shun Tak Holdings, Ltd. (A) | 80,250 | 25,813 | |||
Singamas Container Holdings, Ltd. | 114,000 | 12,916 | |||
SITC International Holdings Company, Ltd. | 51,000 | 213,126 | |||
SJM Holdings, Ltd. (A) | 67,000 | 73,135 | |||
SmarTone Telecommunications Holdings, Ltd. | 31,500 | 18,671 | |||
South China Holdings Company, Ltd. (A) | 640,000 | 8,977 | |||
Stella International Holdings, Ltd. (A) | 20,000 | 30,924 | |||
Summit Ascent Holdings, Ltd. (A)(B) | 90,000 | 7,879 | |||
Sun Hung Kai & Company, Ltd. | 45,000 | 24,147 | |||
SUNeVision Holdings, Ltd. | 18,000 | 18,450 | |||
Tao Heung Holdings, Ltd. | 14,000 | 1,839 | |||
Television Broadcasts, Ltd. (A) | 19,100 | 18,191 | |||
Texhong Textile Group, Ltd. | 4,000 | 6,464 | |||
Texwinca Holdings, Ltd. | 60,000 | 13,289 | |||
The Bank of East Asia, Ltd. | 10,200 | 18,942 | |||
The Hongkong & Shanghai Hotels, Ltd. (A) | 31,903 | 33,566 | |||
The United Laboratories International Holdings, Ltd. | 42,000 | 34,470 | |||
Theme International Holdings, Ltd. (A) | 90,000 | 16,933 | |||
Town Health International Medical Group, Ltd. (A) | 261,361 | 16,337 | |||
Tradelink Electronic Commerce, Ltd. | 50,000 | 7,594 | |||
Transport International Holdings, Ltd. | 11,721 | 22,896 | |||
Upbest Group, Ltd. | 164,000 | 17,759 | |||
Value Partners Group, Ltd. | 40,000 | 25,509 | |||
Vitasoy International Holdings, Ltd. | 26,000 | 96,525 | |||
VSTECS Holdings, Ltd. | 21,200 | 17,113 | |||
VTech Holdings, Ltd. | 6,900 | 72,612 | |||
Wai Kee Holdings, Ltd. | 24,000 | 12,847 | |||
Wealthking Investments, Ltd. (A) | 32,000 | 3,137 | |||
Wing On Company International, Ltd. | 4,000 | 9,170 | |||
Wing Tai Properties, Ltd. | 70,000 | 41,972 | |||
Yue Yuen Industrial Holdings, Ltd. (A) | 30,000 | 73,950 | |||
Yunfeng Financial Group, Ltd. (A)(B) | 26,000 | 9,808 | |||
Zensun Enterprises, Ltd. | 210,000 | 17,585 | |||
Zhaobangji Properties Holdings, Ltd. (A) | 88,000 | 7,030 | |||
3,242,795 | |||||
Ireland - 0.8% | |||||
AIB Group PLC (A) | 9,959 | 25,717 | |||
Bank of Ireland Group PLC (A) | 1,999 | 10,727 | |||
Bank of Ireland Group PLC (London Stock Exchange) (A) | 33,477 | 179,814 | |||
C&C Group PLC (A) | 17,093 | 57,526 | |||
Cairn Homes PLC (A) | 15,034 | 18,947 | |||
Cairn Homes PLC (London Stock Exchange) (A) | 9,684 | 12,266 |
The accompanying notes are an integral part of the financial statements. | 71 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Ireland (continued) | |||||
COSMO Pharmaceuticals NV (A) | 254 | $ | 23,415 | ||
Dalata Hotel Group PLC (A) | 6,155 | 28,049 | |||
FBD Holdings PLC (A) | 778 | 8,340 | |||
Glanbia PLC | 1,213 | 19,756 | |||
Glanbia PLC (London Stock Exchange) | 7,811 | 127,221 | |||
Glenveagh Properties PLC (A)(D) | 13,838 | 15,781 | |||
Grafton Group PLC | 11,437 | 181,768 | |||
Greencore Group PLC (A) | 23,830 | 41,429 | |||
Hostelworld Group PLC (A)(D) | 3,065 | 4,625 | |||
Irish Continental Group PLC | 5,309 | 27,229 | |||
Keywords Studios PLC (A) | 877 | 30,264 | |||
Permanent TSB Group Holdings PLC (A) | 5,786 | 8,793 | |||
UDG Healthcare PLC | 11,802 | 174,650 | |||
996,317 | |||||
Isle of Man - 0.1% | |||||
Hansard Global PLC | 6,816 | 5,421 | |||
Playtech PLC (A) | 15,546 | 91,529 | |||
Strix Group PLC | 6,042 | 26,358 | |||
123,308 | |||||
Israel - 1.5% | |||||
AFI Properties, Ltd. (A) | 603 | 26,112 | |||
Africa Israel Residences, Ltd. | 201 | 9,920 | |||
Airport City, Ltd. (A) | 1,655 | 27,743 | |||
Allot, Ltd. (A) | 2,103 | 41,183 | |||
Alrov Properties and Lodgings, Ltd. (A) | 399 | 18,545 | |||
Ashtrom Group, Ltd. | 2,084 | 47,319 | |||
AudioCodes, Ltd. | 3,343 | 110,620 | |||
Azorim-Investment Development & Construction Company, Ltd. (A) | 3,848 | 15,459 | |||
Bet Shemesh Engines Holdings 1997, Ltd. (A) | 358 | 7,197 | |||
Blue Square Real Estate, Ltd. | 215 | 16,507 | |||
Camtek, Ltd. (A) | 1,035 | 39,362 | |||
Carasso Motors, Ltd. | 2,020 | 10,321 | |||
Cellcom Israel, Ltd. (A) | 2,791 | 12,143 | |||
Clal Insurance Enterprises Holdings, Ltd. (A) | 1,967 | 39,068 | |||
Danel Adir Yeoshua, Ltd. | 134 | 28,079 | |||
Delek Automotive Systems, Ltd. | 1,858 | 24,435 | |||
Delek Group, Ltd. (A) | 92 | 6,175 | |||
Delta Galil Industries, Ltd. | 618 | 25,603 | |||
Electra Consumer Products 1970, Ltd. | 445 | 25,592 | |||
Electra Real Estate, Ltd. | 1,543 | 19,682 | |||
Electra, Ltd. | 91 | 51,620 | |||
Enlight Renewable Energy, Ltd. (A) | 25,384 | 54,461 | |||
Equital, Ltd. (A) | 992 | 26,890 | |||
Evogene, Ltd. (A) | 3,768 | 12,887 | |||
Fattal Holdings 1998, Ltd. (A) | 137 | 13,017 | |||
Formula Systems 1985, Ltd. | 549 | 49,239 | |||
Fox Wizel, Ltd. | 488 | 55,935 | |||
Gav-Yam Lands Corp., Ltd. | 5,000 | 47,864 | |||
Gilat Satellite Networks, Ltd. | 1,452 | 14,714 | |||
Hadera Paper, Ltd. | 244 | 18,188 | |||
Harel Insurance Investments & Financial Services, Ltd. | 4,995 | 49,501 | |||
Hilan, Ltd. | 803 | 38,729 | |||
IDI Insurance Company, Ltd. | 440 | 14,723 | |||
Inrom Construction Industries, Ltd. | 4,264 | 19,625 | |||
Isracard, Ltd. (A) | 6,691 | 27,428 | |||
Israel Land Development - Urban Renewal, Ltd. | 789 | 10,181 | |||
Isras Investment Company, Ltd. | 142 | 32,739 | |||
Kamada, Ltd. (A) | 1,616 | 9,481 | |||
Magic Software Enterprises, Ltd. | 1,349 | 21,758 | |||
Malam - Team, Ltd. | 476 | 16,325 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Israel (continued) | |||||
Matrix IT, Ltd. | 2,095 | $ | 56,645 | ||
Maytronics, Ltd. | 1,808 | 37,685 | |||
Mediterranean Towers, Ltd. | 4,044 | 11,957 | |||
Mega Or Holdings, Ltd. | 757 | 24,377 | |||
Mehadrin, Ltd. (A) | 15 | 659 | |||
Menora Mivtachim Holdings, Ltd. | 1,766 | 34,942 | |||
Migdal Insurance & Financial Holdings, Ltd. (A) | 27,734 | 38,211 | |||
Mivne Real Estate KD, Ltd. | 5,622 | 16,301 | |||
Mivtach Shamir Holdings, Ltd. | 397 | 15,101 | |||
Naphtha Israel Petroleum Corp., Ltd. (A) | 2,030 | 9,461 | |||
Nova Measuring Instruments, Ltd. (A) | 610 | 62,727 | |||
Novolog, Ltd. | 20,186 | 18,566 | |||
Oil Refineries, Ltd. (A) | 102,102 | 26,319 | |||
One Software Technologies, Ltd. | 1,700 | 25,497 | |||
OPC Energy, Ltd. (A) | 1,963 | 19,169 | |||
Partner Communications Company, Ltd. (A) | 6,688 | 30,629 | |||
Paz Oil Company, Ltd. (A) | 525 | 64,452 | |||
Perion Network, Ltd. (A) | 720 | 15,957 | |||
Plasson Industries, Ltd. | 241 | 13,342 | |||
Plus500, Ltd. | 4,106 | 75,898 | |||
Rami Levy Chain Stores Hashikma Marketing 2006, Ltd. | 449 | 29,538 | |||
Sano-Brunos Enterprises, Ltd. | 145 | 14,192 | |||
Scope Metals Group, Ltd. | 377 | 11,412 | |||
Shikun & Binui, Ltd. (A) | 108 | 698 | |||
Shufersal, Ltd. | 1,535 | 12,221 | |||
Summit Real Estate Holdings, Ltd. (A) | 2,363 | 35,604 | |||
Tel Aviv Stock Exchange, Ltd. (B) | 3,160 | 19,519 | |||
The Phoenix Holdings, Ltd. | 5,097 | 47,655 | |||
YH Dimri Construction & Development, Ltd. | 285 | 16,993 | |||
1,922,097 | |||||
Italy - 3.2% | |||||
A2A SpA | 74,015 | 151,398 | |||
ACEA SpA | 2,494 | 57,660 | |||
Anima Holding SpA (D) | 14,880 | 74,052 | |||
Aquafil SpA (A) | 969 | 7,633 | |||
Arnoldo Mondadori Editore SpA (A) | 12,613 | 24,063 | |||
Ascopiave SpA | 4,243 | 17,873 | |||
Avio SpA | 877 | 12,951 | |||
Azimut Holding SpA | 5,291 | 128,668 | |||
Banca Generali SpA (A) | 2,509 | 107,186 | |||
Banca IFIS SpA | 1,607 | 25,562 | |||
Banca Mediolanum SpA | 3,386 | 32,977 | |||
Banca Popolare di Sondrio SCPA | 20,545 | 89,258 | |||
Banca Profilo SpA | 24,032 | 6,046 | |||
Banco BPM SpA | 92,714 | 298,829 | |||
Banco di Desio e della Brianza SpA | 2,610 | 9,788 | |||
BFF Bank SpA (D) | 8,562 | 85,828 | |||
BPER Banca | 48,081 | 104,828 | |||
Brembo SpA | 1,217 | 15,423 | |||
Brunello Cucinelli SpA (A) | 1,411 | 82,652 | |||
Buzzi Unicem SpA | 4,670 | 124,065 | |||
Cairo Communication SpA | 4,712 | 9,500 | |||
Carel Industries SpA (D) | 416 | 10,001 | |||
Cementir Holding NV | 4,165 | 42,515 | |||
Cerved Group SpA (A) | 5,609 | 65,225 | |||
CIR SpA-Compagnie Industriali (A) | 60,979 | 36,564 | |||
Credito Emiliano SpA | 6,238 | 37,385 | |||
Danieli & C Officine Meccaniche SpA | 788 | 20,797 | |||
Danieli & C Officine Meccaniche SpA, Savings Shares | 2,118 | 36,511 | |||
De' Longhi SpA | 2,476 | 107,924 |
The accompanying notes are an integral part of the financial statements. | 72 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Italy (continued) | |||||
DeA Capital SpA (A) | 4,665 | $ | 7,203 | ||
doValue SpA (D) | 1,965 | 21,635 | |||
ERG SpA | 2,919 | 86,576 | |||
Esprinet SpA | 3,554 | 62,467 | |||
Eurotech SpA (A)(B) | 1,562 | 8,508 | |||
Fincantieri SpA (A) | 18,635 | 16,841 | |||
Geox SpA (A)(B) | 8,390 | 10,952 | |||
Gruppo MutuiOnline SpA | 2,096 | 99,968 | |||
Hera SpA | 41,143 | 170,090 | |||
Illimity Bank SpA (A) | 1,649 | 23,026 | |||
IMMSI SpA (A) | 6,756 | 4,303 | |||
Interpump Group SpA | 1,427 | 84,664 | |||
Iren SpA | 30,720 | 87,676 | |||
Italgas SpA | 24,861 | 162,620 | |||
Italmobiliare SpA | 1,039 | 37,538 | |||
Juventus Football Club SpA (A)(B) | 30,558 | 26,182 | |||
Leonardo SpA (A) | 10,796 | 87,354 | |||
Maire Tecnimont SpA | 10,323 | 37,789 | |||
Mediaset SpA (A) | 18,917 | 68,339 | |||
OVS SpA (A)(D) | 9,134 | 17,328 | |||
Piaggio & C SpA | 11,658 | 45,895 | |||
Pirelli & C. SpA (D) | 17,419 | 101,292 | |||
Prima Industrie SpA (A) | 178 | 4,660 | |||
Prysmian SpA | 2,469 | 88,602 | |||
RAI Way SpA (D) | 5,678 | 34,182 | |||
Reno de Medici SpA | 15,969 | 25,994 | |||
Reply SpA | 1,027 | 168,676 | |||
Sabaf SpA | 338 | 10,344 | |||
Safilo Group SpA (A) | 2,378 | 3,786 | |||
Saipem SpA (A)(B) | 30,422 | 73,812 | |||
Salvatore Ferragamo SpA (A) | 455 | 9,756 | |||
Saras SpA (A) | 28,012 | 23,470 | |||
Sesa SpA (A) | 391 | 65,457 | |||
Societa Cattolica Di Assicurazione SPA (A) | 7,555 | 62,814 | |||
Sogefi SpA (A) | 3,551 | 5,776 | |||
SOL SpA | 2,802 | 56,528 | |||
Tamburi Investment Partners SpA | 5,435 | 53,352 | |||
Technogym SpA (D) | 5,419 | 69,240 | |||
Tinexta SpA | 1,069 | 41,627 | |||
Tod's SpA (A) | 590 | 40,109 | |||
Unieuro SpA (D) | 707 | 20,484 | |||
Unipol Gruppo SpA | 18,665 | 101,784 | |||
UnipolSai Assicurazioni SpA | 9,024 | 26,216 | |||
Webuild SpA | 14,544 | 38,630 | |||
Zignago Vetro SpA | 1,669 | 33,279 | |||
4,149,986 | |||||
Japan - 22.1% | |||||
A&D Company, Ltd. | 900 | 8,090 | |||
Access Company, Ltd. (A) | 2,300 | 18,791 | |||
Achilles Corp. | 1,000 | 12,254 | |||
Adastria Company, Ltd. | 920 | 16,853 | |||
ADEKA Corp. | 4,700 | 88,202 | |||
Ad-sol Nissin Corp. | 800 | 16,810 | |||
Advan Company, Ltd. | 1,000 | 8,417 | |||
Aeon Delight Company, Ltd. | 800 | 25,072 | |||
Aeon Fantasy Company, Ltd. | 400 | 8,047 | |||
AEON Financial Service Company, Ltd. | 2,900 | 34,225 | |||
Aeon Hokkaido Corp. | 1,800 | 18,359 | |||
Aeria, Inc. (B) | 700 | 3,127 | |||
Ai Holdings Corp. | 1,900 | 37,454 | |||
Aica Kogyo Company, Ltd. | 1,000 | 35,141 | |||
Aichi Corp. | 3,200 | 23,503 | |||
Aichi Steel Corp. | 700 | 19,203 | |||
Aida Engineering, Ltd. | 4,500 | 40,103 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Japan (continued) | |||||
Aiful Corp. | 15,500 | $ | 53,653 | ||
Ain Holdings, Inc. | 1,100 | 68,541 | |||
Aiphone Company, Ltd. | 600 | 11,056 | |||
Airport Facilities Company, Ltd. | 1,200 | 6,372 | |||
Aisan Industry Company, Ltd. | 2,500 | 19,861 | |||
Aizawa Securities Company, Ltd. | 2,400 | 20,902 | |||
Akatsuki, Inc. | 400 | 12,801 | |||
Akebono Brake Industry Company, Ltd. (A) | 9,400 | 14,652 | |||
Albis Company, Ltd. | 500 | 10,545 | |||
Alconix Corp. | 1,600 | 21,108 | |||
Alpen Company, Ltd. (B) | 1,100 | 29,334 | |||
Alps Alpine Company, Ltd. | 9,700 | 102,656 | |||
Altech Corp. | 1,100 | 19,224 | |||
Amano Corp. | 2,200 | 55,635 | |||
Amuse, Inc. | 400 | 8,489 | |||
Amvis Holdings, Inc. | 300 | 17,357 | |||
Anest Iwata Corp. | 1,800 | 16,395 | |||
Anicom Holdings, Inc. | 3,700 | 29,661 | |||
Anritsu Corp. | 1,500 | 27,940 | |||
AOI TYO Holdings, Inc. | 1,200 | 9,692 | |||
AOKI Holdings, Inc. | 3,100 | 18,594 | |||
Aoyama Trading Company, Ltd. (A) | 2,500 | 17,413 | |||
Aozora Bank, Ltd. (B) | 1,300 | 29,142 | |||
Arakawa Chemical Industries, Ltd. | 1,400 | 15,067 | |||
Arata Corp. | 700 | 27,184 | |||
Arcland Service Holdings Company, Ltd. (B) | 1,000 | 19,757 | |||
Arcs Company, Ltd. | 2,125 | 46,257 | |||
Arealink Company, Ltd. | 500 | 6,002 | |||
Argo Graphics, Inc. | 1,000 | 30,004 | |||
Arisawa Manufacturing Company, Ltd. | 2,900 | 23,409 | |||
ARTERIA Networks Corp. | 1,600 | 25,969 | |||
ArtSpark Holdings, Inc. (B) | 3,200 | 24,037 | |||
Aruhi Corp. | 1,800 | 23,158 | |||
As One Corp. | 400 | 52,204 | |||
Asahi Company, Ltd. | 800 | 10,321 | |||
Asahi Diamond Industrial Company, Ltd. | 3,900 | 18,100 | |||
Asahi Holdings, Inc. | 3,600 | 73,254 | |||
Asahi Yukizai Corp. | 1,200 | 14,457 | |||
Asanuma Corp. | 700 | 28,430 | |||
Asia Pile Holdings Corp. | 3,300 | 13,950 | |||
ASKA Pharmaceutical Holdings Company, Ltd. | 1,600 | 14,202 | |||
ASKUL Corp. | 2,000 | 31,180 | |||
Ateam, Inc. | 800 | 10,939 | |||
Atom Corp. (B) | 5,000 | 34,850 | |||
Atrae, Inc. (A) | 600 | 11,626 | |||
Atsugi Company, Ltd. (A) | 1,200 | 6,736 | |||
Autobacs Seven Company, Ltd. | 3,000 | 39,956 | |||
Aval Data Corp. | 600 | 21,200 | |||
Avant Corp. | 900 | 13,359 | |||
Avex, Inc. | 2,500 | 36,947 | |||
Axell Corp. | 100 | 810 | |||
Axial Retailing, Inc. | 800 | 27,010 | |||
Bando Chemical Industries, Ltd. | 2,500 | 20,053 | |||
Bank of the Ryukyus, Ltd. | 3,000 | 19,400 | |||
Belc Company, Ltd. | 500 | 24,155 | |||
Bell System24 Holdings, Inc. | 2,400 | 37,742 | |||
Belluna Company, Ltd. | 3,300 | 28,981 | |||
Benesse Holdings, Inc. | 3,700 | 91,889 | |||
BeNext-Yumeshin Group Company (B) | 2,185 | 25,075 | |||
Bengo4.com, Inc. (A) | 300 | 26,233 | |||
Bic Camera, Inc. | 3,500 | 35,244 | |||
Biofermin Pharmaceutical Company, Ltd. | 600 | 16,099 |
The accompanying notes are an integral part of the financial statements. | 73 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Japan (continued) | |||||
BML, Inc. | 1,000 | $ | 34,063 | ||
Bourbon Corp. | 500 | 10,234 | |||
Br. Holdings Corp. | 2,300 | 9,832 | |||
BrainPad, Inc. (A) | 300 | 13,229 | |||
Broadleaf Company, Ltd. | 4,600 | 21,388 | |||
Bunka Shutter Company, Ltd. | 5,000 | 49,918 | |||
Business Brain Showa-Ota, Inc. | 700 | 11,187 | |||
C Uyemura & Company, Ltd. | 800 | 34,159 | |||
Can Do Company, Ltd. | 900 | 15,818 | |||
Canon Electronics, Inc. | 1,700 | 26,269 | |||
Carenet, Inc. | 300 | 22,135 | |||
Carlit Holdings Company, Ltd. | 2,100 | 13,651 | |||
Cawachi, Ltd. | 900 | 18,183 | |||
CellSource Company, Ltd. (A) | 200 | 31,469 | |||
Central Glass Company, Ltd. | 1,900 | 36,477 | |||
Central Security Patrols Company, Ltd. | 700 | 19,506 | |||
Central Sports Company, Ltd. | 600 | 13,106 | |||
Change, Inc. (A) | 400 | 10,681 | |||
Charm Care Corp. KK | 1,000 | 10,945 | |||
Chilled & Frozen Logistics Holdings Company, Ltd. | 1,600 | 24,169 | |||
Chino Corp. | 400 | 5,471 | |||
Chiyoda Company, Ltd. | 800 | 6,371 | |||
Chiyoda Corp. (A) | 9,100 | 36,182 | |||
Chiyoda Integre Company, Ltd. | 800 | 12,824 | |||
Chofu Seisakusho Company, Ltd. | 1,700 | 30,652 | |||
Chori Company, Ltd. | 1,200 | 18,597 | |||
Chubu Shiryo Company, Ltd. | 2,000 | 20,277 | |||
Chudenko Corp. | 1,900 | 39,046 | |||
Chuetsu Pulp & Paper Company, Ltd. (A) | 500 | 5,760 | |||
Chugai Ro Company, Ltd. | 500 | 9,020 | |||
Chugoku Marine Paints, Ltd. | 4,000 | 30,918 | |||
CI Takiron Corp. | 3,000 | 15,775 | |||
Citizen Watch Company, Ltd. | 16,000 | 59,096 | |||
CKD Corp. | 2,400 | 50,440 | |||
Cleanup Corp. | 2,100 | 10,173 | |||
CMIC Holdings Company, Ltd. | 1,200 | 17,006 | |||
CMK Corp. | 3,700 | 14,379 | |||
cocokara fine, Inc. (B) | 840 | 62,764 | |||
COLOPL, Inc. | 3,200 | 23,811 | |||
Computer Engineering & Consulting, Ltd. | 1,800 | 25,683 | |||
Comture Corp. | 1,000 | 21,285 | |||
CONEXIO Corp. | 1,300 | 17,600 | |||
COOKPAD, Inc. (A) | 2,700 | 6,096 | |||
Corona Corp. | 300 | 2,486 | |||
Cosel Company, Ltd. | 1,200 | 11,362 | |||
Cosmo Energy Holdings Company, Ltd. | 2,900 | 66,572 | |||
Cota Company, Ltd. | 484 | 6,282 | |||
CRE, Inc. | 800 | 11,805 | |||
Create Restaurants Holdings, Inc. (A) | 5,000 | 41,036 | |||
Create SD Holdings Company, Ltd. | 1,700 | 50,410 | |||
Credit Saison Company, Ltd. | 3,800 | 46,432 | |||
Cresco, Ltd. | 800 | 13,718 | |||
CROOZ, Inc. (A) | 600 | 10,925 | |||
CTS Company, Ltd. | 1,900 | 14,490 | |||
Cybozu, Inc. (B) | 900 | 19,072 | |||
Dai Nippon Toryo Company, Ltd. | 1,200 | 9,099 | |||
Daibiru Corp. | 3,400 | 42,927 | |||
Daicel Corp. | 6,300 | 51,836 | |||
Dai-Dan Company, Ltd. | 1,000 | 22,993 | |||
Daido Metal Company, Ltd. | 1,900 | 10,239 | |||
Daido Steel Company, Ltd. | 1,300 | 64,354 | |||
Daidoh, Ltd. (A) | 2,000 | 3,185 | |||
Daihen Corp. | 1,100 | 45,730 | |||
Daiho Corp. | 800 | 28,978 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Japan (continued) | |||||
Daiichi Jitsugyo Company, Ltd. | 400 | $ | 15,420 | ||
Daiichi Kigenso Kagaku-Kogyo Company, Ltd. | 1,800 | 30,218 | |||
Daiichikosho Company, Ltd. | 1,300 | 49,934 | |||
Daiken Corp. | 1,000 | 18,791 | |||
Daiken Medical Company, Ltd. | 400 | 1,999 | |||
Daiki Aluminium Industry Company, Ltd. | 3,000 | 30,228 | |||
Daikoku Denki Company, Ltd. | 800 | 6,542 | |||
Daikokutenbussan Company, Ltd. | 300 | 21,712 | |||
Daikyonishikawa Corp. | 1,900 | 11,828 | |||
Dainichiseika Color & Chemicals Manufacturing Company, Ltd. | 300 | 6,202 | |||
Daiseki Company, Ltd. | 1,800 | 80,857 | |||
Daishi Hokuetsu Financial Group, Inc. | 2,200 | 47,855 | |||
Daishinku Corp. | 400 | 14,668 | |||
Daito Pharmaceutical Company, Ltd. | 700 | 21,281 | |||
Daiwa Industries, Ltd. | 2,000 | 18,664 | |||
Daiwabo Holdings Company, Ltd. | 4,000 | 68,653 | |||
DCM Holdings Company, Ltd. | 6,500 | 61,959 | |||
DeNA Company, Ltd. | 1,600 | 34,107 | |||
Densan System Company, Ltd. (B) | 700 | 19,021 | |||
Denyo Company, Ltd. | 900 | 15,799 | |||
Dexerials Corp. | 3,500 | 73,664 | |||
Digital Arts, Inc. | 700 | 53,279 | |||
Digital Garage, Inc. | 1,600 | 71,881 | |||
Digital Hearts Holdings Company, Ltd. | 900 | 12,404 | |||
Digital Holdings, Inc. | 600 | 12,129 | |||
Dip Corp. | 1,500 | 46,242 | |||
DKK Company, Ltd. | 1,000 | 19,959 | |||
DKS Company, Ltd. | 400 | 11,671 | |||
DMG Mori Company, Ltd. | 4,600 | 82,720 | |||
Doshisha Company, Ltd. | 1,700 | 26,456 | |||
Doutor Nichires Holdings Company, Ltd. | 2,300 | 35,532 | |||
Dowa Holdings Company, Ltd. | 1,900 | 74,999 | |||
DTS Corp. | 1,800 | 42,932 | |||
Duskin Company, Ltd. | 2,100 | 47,949 | |||
DyDo Group Holdings, Inc. | 700 | 31,404 | |||
Eagle Industry Company, Ltd. | 2,200 | 22,281 | |||
Earth Corp. | 800 | 46,481 | |||
Ebara Jitsugyo Company, Ltd. | 800 | 22,285 | |||
Ebase Company, Ltd. | 1,200 | 9,183 | |||
EDION Corp. | 5,000 | 48,926 | |||
EF-ON, Inc. | 1,500 | 13,471 | |||
eGuarantee, Inc. | 1,300 | 27,377 | |||
E-Guardian, Inc. | 900 | 22,870 | |||
Eiken Chemical Company, Ltd. | 1,800 | 34,807 | |||
Eizo Corp. | 800 | 35,696 | |||
Elan Corp. | 2,800 | 32,240 | |||
Elecom Company, Ltd. | 1,600 | 29,927 | |||
Electric Power Development Company, Ltd. | 700 | 10,015 | |||
Elematec Corp. | 1,400 | 16,510 | |||
Enigmo, Inc. | 2,400 | 30,468 | |||
en-japan, Inc. | 1,200 | 42,608 | |||
Enplas Corp. | 600 | 19,984 | |||
EPS Holdings, Inc. | 1,100 | 17,852 | |||
eRex Company, Ltd. | 1,900 | 46,022 | |||
ESPEC Corp. | 1,600 | 32,231 | |||
Exedy Corp. | 1,900 | 27,874 | |||
FAN Communications, Inc. | 2,000 | 7,126 | |||
FCC Company, Ltd. | 2,200 | 32,038 | |||
Feed One Company, Ltd. | 1,600 | 10,589 | |||
Ferrotec Holdings Corp. | 1,600 | 48,950 | |||
FIDEA Holdings Company, Ltd. | 21,400 | 23,129 | |||
Fields Corp. | 1,500 | 6,514 |
The accompanying notes are an integral part of the financial statements. | 74 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Japan (continued) | |||||
Fixstars Corp. | 2,000 | $ | 15,627 | ||
Foster Electric Company, Ltd. | 2,100 | 18,518 | |||
France Bed Holdings Company, Ltd. | 2,200 | 18,078 | |||
Fudo Tetra Corp. | 1,080 | 17,202 | |||
Fuji Company, Ltd. | 1,400 | 24,676 | |||
Fuji Corp. | 2,100 | 48,103 | |||
Fuji Corp., Ltd. | 1,300 | 7,562 | |||
Fuji Oil Company, Ltd. | 4,400 | 10,528 | |||
Fuji Oil Holdings, Inc. | 1,800 | 42,824 | |||
Fuji Pharma Company, Ltd. | 1,400 | 14,524 | |||
Fuji Seal International, Inc. | 2,100 | 44,097 | |||
Fuji Soft, Inc. | 900 | 45,062 | |||
Fujibo Holdings, Inc. | 700 | 24,410 | |||
Fujicco Company, Ltd. | 1,500 | 25,776 | |||
Fujikura Kasei Company, Ltd. | 2,000 | 9,381 | |||
Fujikura, Ltd. (A) | 11,000 | 51,276 | |||
Fujimi, Inc. | 500 | 22,768 | |||
Fujimori Kogyo Company, Ltd. | 800 | 29,209 | |||
Fujisash Company, Ltd. | 4,900 | 3,489 | |||
Fujitec Company, Ltd. | 1,900 | 42,121 | |||
Fujiya Company, Ltd. | 500 | 9,612 | |||
Fukuda Corp. | 200 | 8,682 | |||
Fukuda Denshi Company, Ltd. | 500 | 40,452 | |||
Fukui Computer Holdings, Inc. | 300 | 11,335 | |||
Fukushima Galilei Company, Ltd. | 500 | 20,088 | |||
Fukuyama Transporting Company, Ltd. | 700 | 26,025 | |||
FULLCAST Holdings Company, Ltd. | 1,000 | 20,778 | |||
Funai Soken Holdings, Inc. | 1,800 | 39,035 | |||
Furukawa Company, Ltd. | 1,900 | 21,365 | |||
Furukawa Electric Company, Ltd. | 2,500 | 62,339 | |||
Furuno Electric Company, Ltd. | 2,400 | 21,717 | |||
Furyu Corp. | 1,300 | 16,460 | |||
Fuso Chemical Company, Ltd. | 1,000 | 36,812 | |||
Fuso Pharmaceutical Industries, Ltd. | 500 | 10,129 | |||
Futaba Corp. | 1,600 | 11,194 | |||
Futaba Industrial Company, Ltd. | 3,400 | 16,020 | |||
Future Corp. | 1,200 | 21,668 | |||
Fuyo General Lease Company, Ltd. | 900 | 56,908 | |||
G-7 Holdings, Inc. | 1,000 | 30,382 | |||
Gakken Holdings Company, Ltd. | 1,600 | 19,466 | |||
GCA Corp. | 1,900 | 16,636 | |||
Gecoss Corp. | 400 | 3,166 | |||
Genki Sushi Company, Ltd. | 500 | 11,331 | |||
Geo Holdings Corp. | 2,700 | 29,932 | |||
Giftee, Inc. (A) | 600 | 19,071 | |||
GLOBERIDE, Inc. | 600 | 24,185 | |||
Glory, Ltd. | 2,100 | 43,615 | |||
GMO Financial Holdings, Inc. | 1,600 | 12,575 | |||
GMO GlobalSign Holdings KK | 500 | 21,074 | |||
GNI Group, Ltd. (A)(B) | 2,100 | 39,524 | |||
Goldcrest Company, Ltd. | 990 | 14,778 | |||
Golf Digest Online, Inc. (B) | 800 | 11,563 | |||
Grace Technology, Inc. | 1,700 | 24,560 | |||
Gree, Inc. | 6,100 | 32,244 | |||
Gremz, Inc. | 800 | 13,759 | |||
GS Yuasa Corp. | 3,000 | 76,717 | |||
G-Tekt Corp. | 1,200 | 16,725 | |||
Gumi, Inc. (B) | 1,700 | 12,894 | |||
Gun-Ei Chemical Industry Company, Ltd. | 400 | 8,843 | |||
GungHo Online Entertainment, Inc. | 2,000 | 39,721 | |||
Gunze, Ltd. | 800 | 33,319 | |||
H.U. Group Holdings, Inc. | 2,200 | 56,768 | |||
H2O Retailing Corp. | 4,900 | 39,855 | |||
Hagihara Industries, Inc. | 800 | 10,230 | |||
Hagiwara Electric Holdings Company, Ltd. | 500 | 10,773 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Japan (continued) | |||||
Hakuto Company, Ltd. | 1,300 | $ | 17,614 | ||
Halows Company, Ltd. | 600 | 14,834 | |||
Hamakyorex Company, Ltd. | 1,000 | 28,737 | |||
Hanwa Company, Ltd. | 1,600 | 46,303 | |||
Happinet Corp. | 1,000 | 13,287 | |||
Hazama Ando Corp. | 10,090 | 74,281 | |||
Heiwa Corp. | 2,700 | 47,806 | |||
Heiwa Real Estate Company, Ltd. | 1,500 | 56,549 | |||
Heiwado Company, Ltd. | 2,000 | 39,947 | |||
Hennge KK (A) | 500 | 16,992 | |||
Hibiya Engineering, Ltd. | 1,500 | 24,508 | |||
HI-LEX Corp. | 600 | 9,000 | |||
Hinokiya Group Company, Ltd. | 300 | 6,694 | |||
Hioki EE Corp. | 500 | 27,294 | |||
Hirano Tecseed Company, Ltd. | 1,100 | 25,210 | |||
Hirata Corp. | 500 | 29,821 | |||
Hirogin Holdings, Inc. | 11,300 | 59,731 | |||
Hiroshima Gas Company, Ltd. | 4,900 | 16,878 | |||
Hisaka Works, Ltd. | 2,000 | 14,591 | |||
Hitachi Zosen Corp. | 9,000 | 58,066 | |||
Hochiki Corp. | 600 | 6,340 | |||
Hodogaya Chemical Company, Ltd. | 700 | 24,880 | |||
Hogy Medical Company, Ltd. | 800 | 24,594 | |||
Hokkaido Electric Power Company, Inc. | 11,100 | 50,317 | |||
Hokkaido Gas Company, Ltd. | 600 | 8,348 | |||
Hokkan Holdings, Ltd. | 1,000 | 12,592 | |||
Hokko Chemical Industry Company, Ltd. | 700 | 6,123 | |||
Hokuetsu Corp. | 7,900 | 41,177 | |||
Hokuetsu Industries Company, Ltd. | 2,000 | 20,335 | |||
Hokuhoku Financial Group, Inc. | 5,900 | 43,211 | |||
Hokuriku Electric Power Company | 9,400 | 51,301 | |||
Hokuto Corp. | 1,600 | 27,663 | |||
H-One Company, Ltd. | 1,000 | 6,819 | |||
Honeys Holdings Company, Ltd. | 1,350 | 12,337 | |||
Hoosiers Holdings | 3,400 | 21,818 | |||
Hosiden Corp. | 3,900 | 34,934 | |||
Hosokawa Micron Corp. | 500 | 26,779 | |||
Ichibanya Company, Ltd. | 800 | 36,620 | |||
Ichigo, Inc. | 15,700 | 49,686 | |||
Ichikoh Industries, Ltd. | 2,300 | 15,017 | |||
Ichinen Holdings Company, Ltd. | 1,900 | 20,829 | |||
Ichiyoshi Securities Company, Ltd. | 2,800 | 14,503 | |||
Icom, Inc. | 500 | 10,782 | |||
Idec Corp. | 1,600 | 30,225 | |||
IDOM, Inc. | 3,900 | 22,934 | |||
Iino Kaiun Kaisha, Ltd. | 7,300 | 28,839 | |||
IJTT Company, Ltd. | 1,200 | 7,947 | |||
Ikegami Tsushinki Company, Ltd. | 400 | 3,031 | |||
I'll, Inc. | 1,100 | 14,106 | |||
Imasen Electric Industrial | 500 | 3,169 | |||
Imuraya Group Company, Ltd. | 300 | 6,276 | |||
Inaba Denki Sangyo Company, Ltd. | 2,700 | 62,925 | |||
Inaba Seisakusho Company, Ltd. | 200 | 2,722 | |||
Inabata & Company, Ltd. | 2,000 | 30,837 | |||
Inageya Company, Ltd. | 900 | 11,936 | |||
Ines Corp. | 900 | 11,193 | |||
i-Net Corp. | 900 | 11,514 | |||
Infocom Corp. | 1,000 | 27,524 | |||
Infomart Corp. | 8,700 | 71,398 | |||
Information Services International-Dentsu, Ltd. | 1,400 | 57,681 | |||
Insource Company, Ltd. | 600 | 12,900 | |||
Intage Holdings, Inc. | 3,100 | 43,232 | |||
Internet Initiative Japan, Inc. | 1,900 | 59,046 | |||
Inui Global Logistics Company, Ltd. | 875 | 10,262 |
The accompanying notes are an integral part of the financial statements. | 75 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Japan (continued) | |||||
I-PEX, Inc. | 500 | $ | 11,052 | ||
IR Japan Holdings, Ltd. | 400 | 50,290 | |||
Iriso Electronics Company, Ltd. | 1,000 | 48,444 | |||
Iseki & Company, Ltd. (A) | 1,200 | 16,006 | |||
Ishihara Sangyo Kaisha, Ltd. | 2,100 | 21,160 | |||
Itfor, Inc. | 1,000 | 7,232 | |||
ITmedia, Inc. | 900 | 16,259 | |||
Itochu Enex Company, Ltd. | 3,800 | 33,851 | |||
Itochu-Shokuhin Company, Ltd. | 300 | 14,281 | |||
Itoham Yonekyu Holdings, Inc. | 5,100 | 32,847 | |||
Itoki Corp. | 2,100 | 6,812 | |||
IwaiCosmo Holdings, Inc. | 900 | 13,347 | |||
J Front Retailing Company, Ltd. | 3,100 | 27,575 | |||
J Trust Company, Ltd. | 4,900 | 16,304 | |||
JAC Recruitment Company, Ltd. | 1,200 | 19,214 | |||
Jaccs Company, Ltd. | 1,600 | 37,462 | |||
JAFCO Group Company, Ltd. | 1,400 | 87,293 | |||
Jalux, Inc. (A) | 500 | 8,245 | |||
Jamco Corp. (A) | 500 | 4,976 | |||
Janome Sewing Machine Company, Ltd. | 1,200 | 8,145 | |||
Japan Asset Marketing Company, Ltd. (A) | 14,200 | 14,320 | |||
Japan Aviation Electronics Industry, Ltd. | 3,000 | 52,980 | |||
Japan Cash Machine Company, Ltd. (A) | 700 | 3,532 | |||
Japan Elevator Service Holdings Company, Ltd. | 2,200 | 51,028 | |||
Japan Investment Adviser Company, Ltd. | 1,000 | 13,479 | |||
Japan Lifeline Company, Ltd. | 2,600 | 31,617 | |||
Japan Material Company, Ltd. | 3,700 | 44,984 | |||
Japan Medical Dynamic Marketing, Inc. | 900 | 17,686 | |||
Japan Petroleum Exploration Company, Ltd. | 2,000 | 36,053 | |||
Japan Property Management Center Company, Ltd. (B) | 800 | 9,486 | |||
Japan Pulp & Paper Company, Ltd. | 600 | 19,087 | |||
Japan Securities Finance Company, Ltd. | 5,500 | 40,120 | |||
Japan Transcity Corp. | 3,100 | 14,969 | |||
Jastec Company, Ltd. | 400 | 4,671 | |||
JBCC Holdings, Inc. | 1,200 | 15,771 | |||
JCU Corp. | 1,300 | 41,884 | |||
Jeol, Ltd. | 1,300 | 75,917 | |||
JGC Holdings Corp. | 1,100 | 10,249 | |||
Jimoto Holdings, Inc. | 980 | 5,661 | |||
JINS Holdings, Inc. | 800 | 61,237 | |||
JM Holdings Company, Ltd. | 600 | 11,900 | |||
JMS Company, Ltd. | 500 | 3,720 | |||
J-Oil Mills, Inc. | 1,200 | 20,311 | |||
Joshin Denki Company, Ltd. | 1,100 | 26,650 | |||
Joyful Honda Company, Ltd. | 1,900 | 23,202 | |||
JSB Company, Ltd. | 400 | 14,007 | |||
JSP Corp. | 800 | 11,498 | |||
JTOWER, Inc. (A) | 400 | 20,226 | |||
Juki Corp. | 1,400 | 10,000 | |||
JVCKenwood Corp. | 9,070 | 19,382 | |||
K&O Energy Group, Inc. | 800 | 9,511 | |||
Kadokawa Corp. | 936 | 38,015 | |||
Kaga Electronics Company, Ltd. | 1,100 | 29,464 | |||
Kagome Company, Ltd. | 1,200 | 31,691 | |||
Kaken Pharmaceutical Company, Ltd. | 1,300 | 55,783 | |||
Kameda Seika Company, Ltd. | 700 | 27,916 | |||
Kamei Corp. | 2,000 | 20,256 | |||
Kamigumi Company, Ltd. | 1,800 | 36,529 | |||
Kanaden Corp. | 1,100 | 10,390 | |||
Kanagawa Chuo Kotsu Company, Ltd. | 700 | 22,366 | |||
Kanamic Network Company, Ltd. | 600 | 3,544 | |||
Kanamoto Company, Ltd. | 1,900 | 43,884 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Japan (continued) | |||||
Kandenko Company, Ltd. | 4,700 | $ | 36,715 | ||
Kaneka Corp. | 1,600 | 64,555 | |||
Kanematsu Corp. | 3,500 | 46,610 | |||
Kanematsu Electronics, Ltd. | 700 | 22,626 | |||
Kanto Denka Kogyo Company, Ltd. | 2,000 | 17,859 | |||
Kasai Kogyo Company, Ltd. (A) | 1,000 | 3,604 | |||
Katakura Industries Company, Ltd. | 1,700 | 22,808 | |||
Katitas Company, Ltd. | 2,100 | 59,041 | |||
Kato Sangyo Company, Ltd. | 1,100 | 33,547 | |||
Kato Works Company, Ltd. | 400 | 3,539 | |||
Kawada Technologies, Inc. | 200 | 6,323 | |||
Kawasaki Kisen Kaisha, Ltd. (A) | 1,100 | 39,576 | |||
KeePer Technical Laboratory Company, Ltd. | 500 | 13,046 | |||
Keihanshin Building Company, Ltd. | 2,000 | 24,515 | |||
Keiyo Company, Ltd. | 3,400 | 24,023 | |||
Kenko Mayonnaise Company, Ltd. | 900 | 12,877 | |||
KFC Holdings Japan, Ltd. | 1,500 | 38,137 | |||
KH Neochem Company, Ltd. | 900 | 20,908 | |||
Kimoto Company, Ltd. | 3,000 | 7,429 | |||
Kintetsu Department Store Company, Ltd. (A) | 400 | 11,013 | |||
Kintetsu World Express, Inc. | 1,600 | 33,711 | |||
Kissei Pharmaceutical Company, Ltd. | 1,100 | 21,377 | |||
Ki-Star Real Estate Company, Ltd. | 600 | 28,559 | |||
Kitanotatsujin Corp. | 3,300 | 14,646 | |||
Kitz Corp. | 4,600 | 31,273 | |||
KLab, Inc. (A) | 2,100 | 13,102 | |||
Koa Corp. | 1,700 | 26,466 | |||
Koatsu Gas Kogyo Company, Ltd. | 3,000 | 17,620 | |||
Kobe Electric Railway Company, Ltd. (A) | 300 | 9,323 | |||
Kobe Steel, Ltd. | 13,000 | 83,503 | |||
Kohnan Shoji Company, Ltd. | 1,200 | 41,396 | |||
Kojima Company, Ltd. | 3,000 | 20,505 | |||
Kokuyo Company, Ltd. (B) | 2,800 | 43,778 | |||
Komatsu Matere Company, Ltd. | 2,000 | 16,240 | |||
KOMEDA Holdings Company, Ltd. | 2,600 | 48,423 | |||
Komeri Company, Ltd. | 1,500 | 35,361 | |||
Komori Corp. | 3,700 | 27,145 | |||
Kondotec, Inc. | 1,300 | 11,760 | |||
Konica Minolta, Inc. | 9,600 | 53,186 | |||
Konishi Company, Ltd. | 2,200 | 32,012 | |||
Konoike Transport Company, Ltd. | 2,600 | 28,417 | |||
Krosaki Harima Corp. | 400 | 15,499 | |||
Kumagai Gumi Company, Ltd. | 1,800 | 45,427 | |||
Kumiai Chemical Industry Company, Ltd. | 2,000 | 15,343 | |||
Kurabo Industries, Ltd. | 1,600 | 27,372 | |||
Kureha Corp. | 800 | 46,332 | |||
Kurimoto, Ltd. | 1,000 | 14,885 | |||
Kusuri no Aoki Holdings Company, Ltd. | 700 | 50,908 | |||
KYB Corp. (A) | 1,000 | 33,828 | |||
Kyodo Printing Company, Ltd. | 500 | 11,937 | |||
Kyoei Steel, Ltd. | 1,800 | 23,413 | |||
Kyokuto Kaihatsu Kogyo Company, Ltd. | 2,300 | 32,721 | |||
Kyokuto Securities Company, Ltd. | 2,300 | 16,793 | |||
Kyokuyo Company, Ltd. | 700 | 18,247 | |||
KYORIN Holdings, Inc. | 1,900 | 31,049 | |||
Kyosan Electric Manufacturing Company, Ltd. | 2,000 | 7,601 | |||
Kyudenko Corp. | 1,700 | 54,712 | |||
Kyushu Financial Group, Inc. | 13,800 | 48,816 | |||
LAC Company, Ltd. | 1,400 | 13,176 | |||
Lacto Japan Company, Ltd. | 800 | 20,143 | |||
LEC, Inc. | 1,600 | 16,262 | |||
Life Corp. | 800 | 25,382 |
The accompanying notes are an integral part of the financial statements. | 76 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Japan (continued) | |||||
LIFULL Company, Ltd. | 3,800 | $ | 12,112 | ||
Link And Motivation, Inc. (B) | 2,300 | 16,180 | |||
Lintec Corp. | 1,900 | 41,194 | |||
Litalico, Inc. | 300 | 15,473 | |||
Locondo, Inc. | 400 | 6,821 | |||
M&A Capital Partners Company, Ltd. (A) | 600 | 29,257 | |||
Macnica Fuji Electronics Holdings, Inc. | 2,650 | 63,645 | |||
Macromill, Inc. | 2,300 | 17,680 | |||
Maeda Corp. | 5,100 | 44,242 | |||
Maeda Kosen Company, Ltd. | 1,100 | 34,532 | |||
Maeda Road Construction Company, Ltd. | 600 | 11,808 | |||
Maezawa Kasei Industries Company, Ltd. (B) | 1,100 | 12,088 | |||
Maezawa Kyuso Industries Company, Ltd. | 1,800 | 16,704 | |||
Makino Milling Machine Company, Ltd. | 1,200 | 48,432 | |||
Management Solutions Company, Ltd. (A) | 1,300 | 32,706 | |||
Mandom Corp. | 700 | 13,043 | |||
Mani, Inc. | 3,200 | 73,374 | |||
MarkLines Company, Ltd. | 400 | 10,520 | |||
Mars Group Holdings Corp. | 700 | 10,250 | |||
Marubun Corp. | 200 | 1,133 | |||
Marudai Food Company, Ltd. | 1,600 | 24,459 | |||
Maruha Nichiro Corp. | 1,500 | 31,940 | |||
Maruichi Steel Tube, Ltd. | 2,200 | 51,722 | |||
Marusan Securities Company, Ltd. | 4,700 | 25,534 | |||
Maruwa Company, Ltd. | 300 | 30,209 | |||
Maruwa Unyu Kikan Company, Ltd. | 1,100 | 15,605 | |||
Maruzen Company, Ltd. | 800 | 15,767 | |||
Maruzen Showa Unyu Company, Ltd. | 800 | 24,047 | |||
Marvelous, Inc. | 1,400 | 9,949 | |||
Matsuda Sangyo Company, Ltd. | 1,400 | 27,038 | |||
Matsui Securities Company, Ltd. | 4,900 | 35,711 | |||
Max Company, Ltd. | 2,000 | 32,817 | |||
Maxell Holdings, Ltd. (A) | 2,200 | 24,597 | |||
Maxvalu Tokai Company, Ltd. | 1,100 | 24,519 | |||
MCJ Company, Ltd. | 3,200 | 35,713 | |||
MEC Company, Ltd. | 1,500 | 43,604 | |||
Media Do Company, Ltd. (B) | 600 | 24,639 | |||
Medical Data Vision Company, Ltd. | 1,700 | 33,691 | |||
Medikit Company, Ltd. | 500 | 14,193 | |||
MedPeer, Inc. (A) | 600 | 23,793 | |||
Megachips Corp. | 1,100 | 31,486 | |||
Megmilk Snow Brand Company, Ltd. | 1,800 | 34,261 | |||
Meidensha Corp. | 1,800 | 35,774 | |||
Meiko Electronics Company, Ltd. | 1,200 | 35,244 | |||
Meiko Network Japan Company, Ltd. | 1,100 | 5,723 | |||
Meisei Industrial Company, Ltd. | 3,000 | 19,775 | |||
Meitec Corp. | 1,300 | 70,384 | |||
Meito Sangyo Company, Ltd. | 900 | 12,653 | |||
Melco Holdings, Inc. | 500 | 23,846 | |||
Members Company, Ltd. | 400 | 12,207 | |||
Menicon Company, Ltd. | 1,100 | 77,059 | |||
METAWATER Company, Ltd. | 1,600 | 30,420 | |||
Micronics Japan Company, Ltd. | 2,100 | 29,142 | |||
Midac Company, Ltd. | 1,000 | 33,768 | |||
Mie Kotsu Group Holdings, Inc. | 3,700 | 15,594 | |||
Milbon Company, Ltd. | 1,112 | 62,857 | |||
Mimasu Semiconductor Industry Company, Ltd. | 1,400 | 34,442 | |||
Ministop Company, Ltd. | 1,100 | 14,025 | |||
Mirait Holdings Corp. | 4,240 | 75,194 | |||
Miroku Jyoho Service Company, Ltd. | 700 | 10,051 | |||
Mitani Corp. | 500 | 31,198 | |||
Mitani Sekisan Company, Ltd. | 600 | 22,770 | |||
Mito Securities Company, Ltd. (B) | 6,300 | 16,661 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Japan (continued) | |||||
Mitsuba Corp. (A) | 2,300 | $ | 16,986 | ||
Mitsubishi Logisnext Company, Ltd. | 1,000 | 9,179 | |||
Mitsubishi Paper Mills, Ltd. (A) | 2,600 | 8,452 | |||
Mitsubishi Pencil Company, Ltd. | 1,500 | 19,442 | |||
Mitsubishi Research Institute, Inc. | 500 | 17,793 | |||
Mitsubishi Shokuhin Company, Ltd. | 600 | 15,188 | |||
Mitsubishi Steel Manufacturing Company, Ltd. (A) | 1,000 | 7,952 | |||
Mitsuboshi Belting, Ltd. | 1,000 | 15,780 | |||
Mitsui DM Sugar Holdings Company, Ltd. | 1,000 | 16,808 | |||
Mitsui E&S Holdings Company, Ltd. (A) | 4,600 | 21,494 | |||
Mitsui High-Tec, Inc. | 900 | 51,577 | |||
Mitsui Matsushima Holdings Company, Ltd. | 1,000 | 8,973 | |||
Mitsui Mining & Smelting Company, Ltd. | 2,500 | 69,363 | |||
Mitsui-Soko Holdings Company, Ltd. | 2,200 | 50,003 | |||
Mitsuuroko Group Holdings Company, Ltd. | 3,200 | 34,057 | |||
Mixi, Inc. | 1,800 | 47,508 | |||
Mizuho Leasing Company, Ltd. | 1,400 | 47,162 | |||
Mizuno Corp. | 1,400 | 29,788 | |||
Mochida Pharmaceutical Company, Ltd. | 900 | 29,552 | |||
Modec, Inc. | 1,700 | 31,481 | |||
Monex Group, Inc. | 8,000 | 53,858 | |||
Morinaga & Company, Ltd. | 1,700 | 54,369 | |||
Morinaga Milk Industry Company, Ltd. | 900 | 46,907 | |||
Morita Holdings Corp. | 2,200 | 31,755 | |||
MrMax Holdings, Ltd. | 1,700 | 10,007 | |||
m-up Holdings, Inc. | 500 | 15,594 | |||
Musashi Seimitsu Industry Company, Ltd. | 2,600 | 57,889 | |||
Nachi-Fujikoshi Corp. | 600 | 21,106 | |||
Nafco Company, Ltd. | 1,100 | 19,857 | |||
Nagaileben Company, Ltd. | 1,000 | 24,094 | |||
Nagase & Company, Ltd. | 3,600 | 53,813 | |||
Nagatanien Holdings Company, Ltd. | 1,000 | 19,246 | |||
Nagawa Company, Ltd. | 300 | 23,224 | |||
Nakamuraya Company, Ltd. | 300 | 10,254 | |||
Nakanishi, Inc. | 1,300 | 28,463 | |||
Nakayama Steel Works, Ltd. | 1,100 | 3,996 | |||
Namura Shipbuilding Company, Ltd. (A) | 3,252 | 5,331 | |||
Nankai Electric Railway Company, Ltd. | 2,100 | 44,915 | |||
Natori Company, Ltd. | 700 | 11,885 | |||
NEC Capital Solutions, Ltd. | 800 | 15,507 | |||
NEC Networks & System Integration Corp. | 2,200 | 34,736 | |||
Neturen Company, Ltd. | 2,300 | 11,593 | |||
Nextage Company, Ltd. | 2,300 | 39,048 | |||
NHK Spring Company, Ltd. | 9,100 | 74,906 | |||
Nice Corp. | 600 | 11,055 | |||
Nichias Corp. | 2,400 | 60,494 | |||
Nichiban Company, Ltd. | 700 | 11,089 | |||
Nichicon Corp. | 3,400 | 36,524 | |||
Nichiden Corp. | 600 | 11,645 | |||
Nichiha Corp. | 1,200 | 30,552 | |||
Nichi-iko Pharmaceutical Company, Ltd. | 3,100 | 24,775 | |||
Nichireki Company, Ltd. | 2,000 | 23,527 | |||
Nichirin Company, Ltd. | 1,040 | 15,181 | |||
Nihon Chouzai Company, Ltd. | 800 | 11,266 | |||
Nihon Flush Company, Ltd. | 1,000 | 11,279 | |||
Nihon House Holdings Company, Ltd. | 1,000 | 3,594 | |||
Nihon Kagaku Sangyo Company, Ltd. | 1,000 | 11,615 | |||
Nihon Nohyaku Company, Ltd. | 4,000 | 18,137 | |||
Nihon Parkerizing Company, Ltd. | 3,900 | 39,072 | |||
Nihon Tokushu Toryo Company, Ltd. | 1,000 | 9,816 | |||
Nikkiso Company, Ltd. | 2,100 | 21,167 |
The accompanying notes are an integral part of the financial statements. | 77 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Japan (continued) | |||||
Nikkon Holdings Company, Ltd. | 2,900 | $ | 63,255 | ||
Nippn Corp. | 2,700 | 38,122 | |||
Nippon Air Conditioning Services Company, Ltd. | 1,600 | 10,288 | |||
Nippon Beet Sugar Manufacturing Company, Ltd. | 900 | 13,667 | |||
Nippon Carbon Company, Ltd. | 500 | 18,857 | |||
Nippon Chemical Industrial Company, Ltd. | 700 | 19,085 | |||
Nippon Chemi-Con Corp. (A) | 1,100 | 26,472 | |||
Nippon Coke & Engineering Company, Ltd. | 18,000 | 16,528 | |||
Nippon Commercial Development Company, Ltd. (B) | 1,100 | 17,235 | |||
Nippon Concrete Industries Company, Ltd. | 2,600 | 7,623 | |||
Nippon Denko Company, Ltd. | 6,530 | 18,078 | |||
Nippon Densetsu Kogyo Company, Ltd. | 2,100 | 34,100 | |||
Nippon Electric Glass Company, Ltd. | 3,400 | 79,840 | |||
Nippon Fine Chemical Company, Ltd. | 800 | 10,806 | |||
Nippon Gas Company, Ltd. | 5,400 | 91,943 | |||
Nippon Hume Corp. | 2,000 | 12,950 | |||
Nippon Kanzai Company, Ltd. | 400 | 8,969 | |||
Nippon Kayaku Company, Ltd. | 3,300 | 31,208 | |||
Nippon Kodoshi Corp. (B) | 800 | 26,438 | |||
Nippon Koei Company, Ltd. | 1,000 | 27,789 | |||
Nippon Light Metal Holdings Company, Ltd. | 2,820 | 47,375 | |||
Nippon Paper Industries Company, Ltd. | 3,600 | 40,382 | |||
Nippon Parking Development Company, Ltd. | 8,400 | 12,776 | |||
Nippon Pillar Packing Company, Ltd. | 1,500 | 29,952 | |||
Nippon Rietec Company, Ltd. | 300 | 4,551 | |||
Nippon Seiki Company, Ltd. | 3,000 | 32,015 | |||
Nippon Sharyo, Ltd. | 600 | 11,353 | |||
Nippon Shokubai Company, Ltd. | 200 | 9,639 | |||
Nippon Signal Company, Ltd. | 3,000 | 24,743 | |||
Nippon Soda Company, Ltd. | 1,200 | 34,766 | |||
Nippon Steel Trading Corp. | 972 | 38,228 | |||
Nippon Suisan Kaisha, Ltd. | 13,000 | 61,994 | |||
Nippon Thompson Company, Ltd. | 4,700 | 25,637 | |||
Nippon Yakin Kogyo Company, Ltd. | 1,000 | 20,472 | |||
Nipro Corp. | 6,000 | 70,885 | |||
Nishikawa Rubber Company, Ltd. | 800 | 10,280 | |||
Nishimatsu Construction Company, Ltd. | 2,300 | 71,710 | |||
Nishimatsuya Chain Company, Ltd. | 1,600 | 21,709 | |||
Nishi-Nippon Financial Holdings, Inc. | 7,000 | 39,994 | |||
Nishi-Nippon Railroad Company, Ltd. | 3,000 | 72,730 | |||
Nishio Rent All Company, Ltd. | 800 | 22,332 | |||
Nissan Shatai Company, Ltd. | 3,400 | 21,942 | |||
Nissei ASB Machine Company, Ltd. | 500 | 22,229 | |||
Nissei Plastic Industrial Company, Ltd. | 1,600 | 20,091 | |||
Nissha Company, Ltd. | 2,300 | 34,623 | |||
Nisshinbo Holdings, Inc. | 6,168 | 53,414 | |||
Nissin Corp. | 1,400 | 18,448 | |||
Nissin Electric Company, Ltd. | 3,400 | 42,944 | |||
Nissin Sugar Company, Ltd. | 1,100 | 16,825 | |||
Nisso Corp. | 2,400 | 17,897 | |||
Nitta Corp. | 1,300 | 30,381 | |||
Nittan Valve Company, Ltd. | 1,200 | 3,159 | |||
Nittetsu Mining Company, Ltd. | 300 | 15,524 | |||
Nitto Boseki Company, Ltd. | 800 | 24,683 | |||
Nitto Kogyo Corp. | 1,600 | 26,252 | |||
Nitto Kohki Company, Ltd. | 1,000 | 16,229 | |||
Nitto Seiko Company, Ltd. | 1,700 | 8,638 | |||
Noevir Holdings Company, Ltd. | 800 | 40,625 | |||
Nohmi Bosai, Ltd. | 1,300 | 24,518 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Japan (continued) | |||||
Nojima Corp. | 1,600 | $ | 39,530 | ||
NOK Corp. | 2,900 | 36,080 | |||
Nomura Company, Ltd. | 3,000 | 25,792 | |||
Nomura Micro Science Company, Ltd. | 600 | 23,140 | |||
Noritake Company, Ltd. | 700 | 26,592 | |||
Noritsu Koki Company, Ltd. | 1,000 | 21,387 | |||
Noritz Corp. | 2,100 | 35,153 | |||
North Pacific Bank, Ltd. | 12,900 | 27,462 | |||
NS Tool Company, Ltd. | 800 | 10,526 | |||
NS United Kaiun Kaisha, Ltd. | 800 | 17,426 | |||
NSD Company, Ltd. | 3,000 | 50,122 | |||
NTN Corp. (A) | 18,400 | 48,098 | |||
Obara Group, Inc. (B) | 600 | 20,581 | |||
Ohsho Food Service Corp. | 700 | 35,291 | |||
Oiles Corp. | 1,380 | 19,214 | |||
Oisix ra daichi, Inc. (A) | 1,200 | 43,955 | |||
Okabe Company, Ltd. | 2,600 | 15,086 | |||
Okamoto Industries, Inc. | 600 | 22,150 | |||
Okamura Corp. | 3,700 | 50,149 | |||
Okasan Securities Group, Inc. | 7,000 | 26,173 | |||
Oki Electric Industry Company, Ltd. | 4,700 | 43,025 | |||
Okinawa Cellular Telephone Company | 400 | 18,476 | |||
OKUMA Corp. | 1,100 | 53,891 | |||
Okumura Corp. | 1,600 | 42,075 | |||
Okura Industrial Company, Ltd. | 800 | 18,016 | |||
Okuwa Company, Ltd. | 1,000 | 9,802 | |||
Onoken Company, Ltd. | 1,500 | 17,151 | |||
Onward Holdings Company, Ltd. | 7,100 | 21,452 | |||
Optim Corp. (A) | 700 | 14,274 | |||
Optorun Company, Ltd. | 1,100 | 24,427 | |||
Organo Corp. | 600 | 33,600 | |||
Orient Corp. | 17,800 | 23,443 | |||
Oriental Shiraishi Corp. (A) | 7,600 | 19,018 | |||
Origin Company, Ltd. | 600 | 7,500 | |||
Oro Company, Ltd. | 700 | 24,826 | |||
Osaka Organic Chemical Industry, Ltd. | 800 | 31,577 | |||
Osaka Soda Company, Ltd. | 800 | 17,536 | |||
Osaka Steel Company, Ltd. | 700 | 7,041 | |||
OSAKA Titanium Technologies Company, Ltd. (A) | 800 | 5,703 | |||
Osaki Electric Company, Ltd. | 3,000 | 16,406 | |||
OSG Corp. | 3,300 | 57,280 | |||
Outsourcing, Inc. | 5,800 | 105,306 | |||
OYO Corp. | 1,300 | 14,604 | |||
Pacific Industrial Company, Ltd. | 3,000 | 32,298 | |||
Pacific Metals Company, Ltd. | 1,100 | 16,831 | |||
PAL GROUP Holdings Company, Ltd. | 1,400 | 21,831 | |||
Paramount Bed Holdings Company, Ltd. | 1,600 | 28,487 | |||
Paris Miki Holdings, Inc. | 1,100 | 2,650 | |||
Pasona Group, Inc. | 1,300 | 25,237 | |||
PC Depot Corp. (B) | 1,700 | 7,312 | |||
Penta-Ocean Construction Company, Ltd. | 12,400 | 86,406 | |||
Pickles Corp. | 400 | 12,683 | |||
Pilot Corp. | 1,200 | 40,721 | |||
Piolax, Inc. | 2,100 | 28,901 | |||
Plenus Company, Ltd. (A) | 900 | 16,465 | |||
Poletowin Pitcrew Holdings, Inc. | 2,000 | 19,647 | |||
Precision System Science Company, Ltd. (A) | 500 | 3,740 | |||
Premium Group Company, Ltd. | 800 | 25,310 | |||
Premium Water Holdings, Inc. (A) | 400 | 13,120 | |||
Press Kogyo Company, Ltd. | 7,000 | 21,880 | |||
Pressance Corp. | 700 | 9,400 | |||
Prestige International, Inc. | 5,000 | 31,575 | |||
Prima Meat Packers, Ltd. | 1,500 | 40,570 |
The accompanying notes are an integral part of the financial statements. | 78 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Japan (continued) | |||||
Pronexus, Inc. | 600 | $ | 5,522 | ||
Prospect Company, Ltd. (A) | 33,000 | 8,897 | |||
Proto Corp. | 400 | 4,732 | |||
PS Mitsubishi Construction Company, Ltd. | 2,600 | 14,452 | |||
Punch Industry Company, Ltd. | 1,300 | 8,344 | |||
Qol Holdings Company, Ltd. | 1,400 | 19,585 | |||
Raccoon Holdings, Inc. | 800 | 16,451 | |||
Raito Kogyo Company, Ltd. | 2,400 | 39,036 | |||
Raiznext Corp. | 3,300 | 34,359 | |||
Raysum Company, Ltd. | 1,600 | 11,989 | |||
Relia, Inc. | 2,100 | 25,627 | |||
Renaissance, Inc. | 500 | 5,506 | |||
Rengo Company, Ltd. | 4,000 | 33,339 | |||
RENOVA, Inc. (A) | 700 | 27,535 | |||
Resorttrust, Inc. | 3,700 | 60,399 | |||
Restar Holdings Corp. | 1,600 | 27,176 | |||
Retail Partners Company, Ltd. | 300 | 3,171 | |||
Rheon Automatic Machinery Company, Ltd. | 1,500 | 19,433 | |||
Ricoh Leasing Company, Ltd. | 800 | 24,805 | |||
Riken Corp. | 600 | 13,788 | |||
Riken Keiki Company, Ltd. | 400 | 9,550 | |||
Riken Technos Corp. | 3,000 | 16,614 | |||
Riken Vitamin Company, Ltd. | 1,400 | 19,616 | |||
Rion Company, Ltd. | 500 | 13,157 | |||
Riso Kagaku Corp. | 500 | 8,001 | |||
Riso Kyoiku Company, Ltd. | 9,300 | 27,806 | |||
Rock Field Company, Ltd. | 1,000 | 13,280 | |||
Rokko Butter Company, Ltd. | 600 | 8,399 | |||
Roland DG Corp. | 900 | 21,612 | |||
Rorze Corp. | 400 | 35,084 | |||
RS Technologies Company, Ltd. | 400 | 23,515 | |||
Ryobi, Ltd. | 1,400 | 19,574 | |||
Ryoden Corp. | 1,500 | 21,974 | |||
Ryosan Company, Ltd. | 1,500 | 27,250 | |||
Ryoyo Electro Corp. | 500 | 11,676 | |||
S Foods, Inc. | 900 | 26,668 | |||
S&B Foods, Inc. | 600 | 24,800 | |||
Sac's Bar Holdings, Inc. | 600 | 3,367 | |||
Saibu Gas Holdings Company, Ltd. | 1,500 | 32,923 | |||
Saint-Care Holding Corp. | 1,900 | 18,109 | |||
Saizeriya Company, Ltd. | 1,100 | 26,421 | |||
Sakai Chemical Industry Company, Ltd. | 1,400 | 23,354 | |||
Sakai Moving Service Company, Ltd. | 500 | 25,892 | |||
Sakata INX Corp. | 3,100 | 28,239 | |||
Sakata Seed Corp. | 200 | 6,566 | |||
Sala Corp. | 3,000 | 15,655 | |||
SAMTY Company, Ltd. | 1,600 | 30,683 | |||
San ju San Financial Group, Inc. | 1,700 | 20,692 | |||
San-A Company, Ltd. | 900 | 34,227 | |||
San-Ai Oil Company, Ltd. | 3,500 | 40,648 | |||
Sangetsu Corp. | 2,100 | 29,296 | |||
Sanken Electric Company, Ltd. (A) | 400 | 19,897 | |||
Sanki Engineering Company, Ltd. | 2,000 | 25,342 | |||
Sankyo Company, Ltd. | 1,900 | 48,586 | |||
Sankyo Seiko Company, Ltd. | 3,200 | 15,669 | |||
Sankyo Tateyama, Inc. | 2,500 | 19,280 | |||
Sanoh Industrial Company, Ltd. | 1,900 | 20,017 | |||
Sansan, Inc. (A) | 600 | 52,746 | |||
Sanshin Electronics Company, Ltd. (B) | 700 | 13,650 | |||
Sanyo Chemical Industries, Ltd. | 600 | 29,273 | |||
Sanyo Denki Company, Ltd. | 400 | 27,644 | |||
Sanyo Electric Railway Company, Ltd. | 1,600 | 27,283 | |||
Sanyo Shokai, Ltd. (A) | 700 | 5,943 | |||
Sanyo Special Steel Company, Ltd. (A) | 1,400 | 20,324 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Japan (continued) | |||||
Sapporo Holdings, Ltd. | 2,700 | $ | 56,309 | ||
Sato Holdings Corp. | 1,700 | 41,713 | |||
Sawada Holdings Company, Ltd. | 1,000 | 8,990 | |||
Sawai Group Holdings Company, Ltd. | 1,800 | 80,309 | |||
SBS Holdings, Inc. | 900 | 27,002 | |||
Seika Corp. | 500 | 7,207 | |||
Seikagaku Corp. | 1,700 | 16,523 | |||
Seikitokyu Kogyo Company, Ltd. | 1,600 | 12,245 | |||
Seiko Holdings Corp. | 1,400 | 27,938 | |||
Seiren Company, Ltd. | 2,700 | 53,239 | |||
Sekisui Jushi Corp. | 1,600 | 30,505 | |||
Sekisui Kasei Company, Ltd. | 2,500 | 13,598 | |||
Senko Group Holdings Company, Ltd. | 4,700 | 45,927 | |||
Senshu Electric Company, Ltd. | 500 | 17,479 | |||
Senshu Ikeda Holdings, Inc. | 17,200 | 24,621 | |||
Senshukai Company, Ltd. (B) | 3,300 | 11,279 | |||
Septeni Holdings Company, Ltd. | 4,800 | 21,167 | |||
Seven Bank, Ltd. | 28,000 | 59,525 | |||
Shibaura Electronics Company, Ltd. | 500 | 24,639 | |||
Shibaura Machine Company, Ltd. | 1,600 | 35,238 | |||
Shibaura Mechatronics Corp. | 300 | 21,985 | |||
Shibuya Corp. | 800 | 22,404 | |||
Shikibo, Ltd. | 1,100 | 9,336 | |||
Shikoku Chemicals Corp. | 3,000 | 35,385 | |||
Shikoku Electric Power Company, Inc. | 5,600 | 38,144 | |||
Shima Seiki Manufacturing, Ltd. | 1,200 | 20,567 | |||
Shinagawa Refractories Company, Ltd. | 600 | 20,308 | |||
Shindengen Electric Manufacturing Company, Ltd. (A) | 500 | 21,181 | |||
Shin-Etsu Polymer Company, Ltd. | 3,000 | 27,733 | |||
Shinko Shoji Company, Ltd. | 1,900 | 13,282 | |||
Shinmaywa Industries, Ltd. | 2,400 | 20,734 | |||
Shinnihon Corp. | 2,500 | 18,918 | |||
Shinoken Group Company, Ltd. | 2,000 | 21,921 | |||
Shinwa Company, Ltd. | 700 | 13,800 | |||
Ship Healthcare Holdings, Inc. | 900 | 21,029 | |||
Shizuoka Gas Company, Ltd. | 4,500 | 40,404 | |||
Shoei Company, Ltd. | 1,200 | 45,322 | |||
Shoei Foods Corp. | 700 | 23,623 | |||
Shofu, Inc. | 600 | 10,670 | |||
Showa Sangyo Company, Ltd. | 1,000 | 26,909 | |||
SIGMAXYZ, Inc. | 900 | 19,177 | |||
Siix Corp. | 1,600 | 20,434 | |||
Sinanen Holdings Company, Ltd. | 800 | 21,908 | |||
Sinfonia Technology Company, Ltd. | 1,600 | 17,981 | |||
Sinko Industries, Ltd. | 1,500 | 25,320 | |||
Sintokogio, Ltd. | 3,400 | 25,163 | |||
SKY Perfect JSAT Holdings, Inc. | 7,800 | 28,459 | |||
Smaregi, Inc. (A) | 200 | 12,051 | |||
SMK Corp. | 300 | 6,657 | |||
SMS Company, Ltd. | 2,400 | 71,718 | |||
Sodick Company, Ltd. | 2,400 | 22,042 | |||
Softcreate Holdings Corp. | 700 | 16,017 | |||
Software Service, Inc. | 200 | 18,718 | |||
Soken Chemical & Engineering Company, Ltd. | 800 | 14,325 | |||
Solasto Corp. | 3,200 | 40,551 | |||
Sotetsu Holdings, Inc. | 3,600 | 71,065 | |||
Sourcenext Corp. | 3,600 | 10,292 | |||
Space Value Holdings Company, Ltd. (A) | 2,000 | 12,923 | |||
Sparx Group Company, Ltd. | 7,400 | 17,021 | |||
S-Pool, Inc. | 5,000 | 45,042 | |||
SRA Holdings | 600 | 14,413 | |||
St. Marc Holdings Company, Ltd. | 800 | 11,476 | |||
Star Mica Holdings Company, Ltd. | 1,100 | 11,871 |
The accompanying notes are an integral part of the financial statements. | 79 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Japan (continued) | |||||
Star Micronics Company, Ltd. | 2,300 | $ | 34,996 | ||
Starts Corp., Inc. | 1,900 | 48,565 | |||
Starzen Company, Ltd. | 600 | 11,374 | |||
Stella Chemifa Corp. | 800 | 20,751 | |||
Strike Company, Ltd. | 700 | 27,901 | |||
Studio Alice Company, Ltd. | 900 | 19,998 | |||
Sugimoto & Company, Ltd. | 700 | 14,182 | |||
Sumida Corp. | 1,600 | 17,401 | |||
Suminoe Textile Company, Ltd. | 500 | 9,182 | |||
Sumitomo Bakelite Company, Ltd. | 1,200 | 53,093 | |||
Sumitomo Densetsu Company, Ltd. | 1,300 | 26,763 | |||
Sumitomo Mitsui Construction Company, Ltd. | 6,000 | 25,505 | |||
Sumitomo Osaka Cement Company, Ltd. | 1,500 | 40,867 | |||
Sumitomo Riko Company, Ltd. | 2,400 | 15,644 | |||
Sumitomo Seika Chemicals Company, Ltd. | 500 | 16,191 | |||
Sun Frontier Fudousan Company, Ltd. | 2,200 | 20,698 | |||
Suruga Bank, Ltd. | 4,200 | 12,593 | |||
SWCC Showa Holdings Company, Ltd. | 2,400 | 37,975 | |||
Systena Corp. | 2,700 | 51,640 | |||
Syuppin Company, Ltd. | 1,200 | 12,154 | |||
T Hasegawa Company, Ltd. | 1,600 | 35,431 | |||
T RAD Company, Ltd. | 500 | 12,015 | |||
T&K Toka Company, Ltd. | 1,600 | 12,213 | |||
Tachibana Eletech Company, Ltd. | 1,360 | 17,605 | |||
Tachi-S Company, Ltd. | 2,400 | 32,222 | |||
Tadano, Ltd. | 5,000 | 52,157 | |||
Taihei Dengyo Kaisha, Ltd. | 1,000 | 23,538 | |||
Taiho Kogyo Company, Ltd. | 1,200 | 10,606 | |||
Taikisha, Ltd. | 900 | 26,858 | |||
Taiko Pharmaceutical Company, Ltd. (B) | 1,200 | 10,997 | |||
Taisei Lamick Company, Ltd. | 500 | 12,118 | |||
Taiyo Holdings Company, Ltd. | 1,000 | 47,268 | |||
Takamatsu Construction Group Company, Ltd. | 1,000 | 18,193 | |||
Takaoka Toko Company, Ltd. | 700 | 8,548 | |||
Takara Leben Company, Ltd. | 6,300 | 19,041 | |||
Takara Standard Company, Ltd. | 2,200 | 30,125 | |||
Takasago International Corp. | 1,200 | 29,206 | |||
Takasago Thermal Engineering Company, Ltd. | 1,700 | 28,368 | |||
Takashimaya Company, Ltd. | 5,600 | 61,052 | |||
Take And Give Needs Company, Ltd. (A) | 200 | 1,773 | |||
Takeei Corp. | 700 | 9,889 | |||
Takeuchi Manufacturing Company, Ltd. | 1,600 | 39,861 | |||
Takihyo Company, Ltd. | 600 | 10,066 | |||
Takuma Company, Ltd. | 3,000 | 45,333 | |||
Tama Home Company, Ltd. | 1,000 | 20,611 | |||
Tamron Company, Ltd. | 1,500 | 32,919 | |||
Tamura Corp. (B) | 6,000 | 45,033 | |||
Tanseisha Company, Ltd. | 1,100 | 8,779 | |||
Tatsuta Electric Wire & Cable Company, Ltd. | 4,200 | 20,816 | |||
Tayca Corp. | 1,500 | 17,335 | |||
TDC Soft, Inc. | 1,200 | 10,781 | |||
TechMatrix Corp. | 1,400 | 23,149 | |||
Techno Horizon Company, Ltd. | 1,400 | 21,541 | |||
Teikoku Electric Manufacturing Company, Ltd. | 1,700 | 19,430 | |||
Teikoku Sen-I Company, Ltd. | 1,200 | 22,599 | |||
Tekken Corp. | 800 | 13,289 | |||
Tenma Corp. | 1,000 | 23,086 | |||
T-Gaia Corp. | 900 | 15,821 | |||
The 77 Bank, Ltd. | 2,800 | 30,805 | |||
The Aichi Bank, Ltd. | 600 | 14,961 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Japan (continued) | |||||
The Akita Bank, Ltd. | 1,100 | $ | 13,824 | ||
The Aomori Bank, Ltd. | 1,700 | 31,421 | |||
The Awa Bank, Ltd. | 2,200 | 39,840 | |||
The Bank of Iwate, Ltd. | 1,100 | 16,882 | |||
The Bank of Nagoya, Ltd. | 1,100 | 24,582 | |||
The Bank of Okinawa, Ltd. | 1,140 | 25,379 | |||
The Bank of Saga, Ltd. | 1,000 | 12,314 | |||
The Chiba Kogyo Bank, Ltd. | 3,200 | 7,477 | |||
The Chugoku Bank, Ltd. | 5,700 | 43,440 | |||
The Chukyo Bank, Ltd. | 900 | 11,525 | |||
The Ehime Bank, Ltd. | 2,100 | 14,783 | |||
The First Bank of Toyama, Ltd. | 2,800 | 6,907 | |||
The Fukui Bank, Ltd. | 1,800 | 21,869 | |||
The Fukushima Bank, Ltd. (A) | 2,100 | 4,453 | |||
The Gunma Bank, Ltd. | 14,200 | 44,881 | |||
The Hachijuni Bank, Ltd. | 14,100 | 45,579 | |||
The Hokkoku Bank, Ltd. | 1,500 | 29,907 | |||
The Hyakugo Bank, Ltd. | 12,500 | 34,476 | |||
The Hyakujushi Bank, Ltd. | 1,700 | 22,336 | |||
The Iyo Bank, Ltd. | 9,200 | 45,337 | |||
The Japan Steel Works, Ltd. | 2,600 | 66,754 | |||
The Japan Wool Textile Company, Ltd. | 4,000 | 34,863 | |||
The Juroku Bank, Ltd. | 1,700 | 29,983 | |||
The Keiyo Bank, Ltd. | 4,400 | 16,140 | |||
The Kinki Sharyo Company, Ltd. | 300 | 3,218 | |||
The Kita-Nippon Bank, Ltd. | 700 | 10,392 | |||
The Kiyo Bank, Ltd. | 3,800 | 49,272 | |||
The Michinoku Bank, Ltd. | 1,400 | 11,720 | |||
The Miyazaki Bank, Ltd. | 1,000 | 17,846 | |||
The Monogatari Corp. | 400 | 26,893 | |||
The Musashino Bank, Ltd. | 1,700 | 25,569 | |||
The Nagano Bank, Ltd. | 800 | 8,192 | |||
The Nanto Bank, Ltd. | 2,000 | 33,114 | |||
The Nippon Road Company, Ltd. | 500 | 34,730 | |||
The Nisshin Oillio Group, Ltd. | 1,200 | 33,182 | |||
The Ogaki Kyoritsu Bank, Ltd. | 1,600 | 26,745 | |||
The Oita Bank, Ltd. | 900 | 13,587 | |||
The Okinawa Electric Power Company, Inc. | 1,990 | 24,837 | |||
The Pack Corp. (B) | 800 | 19,455 | |||
The San-In Godo Bank, Ltd. | 8,000 | 38,938 | |||
The Shibusawa Warehouse Company, Ltd. | 1,000 | 19,054 | |||
The Shiga Bank, Ltd. | 2,200 | 38,578 | |||
The Shikoku Bank, Ltd. | 2,800 | 17,581 | |||
The Shimizu Bank, Ltd. | 500 | 6,605 | |||
The Sumitomo Warehouse Company, Ltd. | 3,324 | 47,859 | |||
The Tochigi Bank, Ltd. | 8,000 | 12,343 | |||
The Toho Bank, Ltd. | 12,000 | 22,054 | |||
The Tohoku Bank, Ltd. | 400 | 3,625 | |||
The Tottori Bank, Ltd. | 400 | 3,987 | |||
The Towa Bank, Ltd. | 2,900 | 13,209 | |||
The Yamagata Bank, Ltd. | 2,000 | 14,953 | |||
The Yamanashi Chuo Bank, Ltd. | 2,000 | 14,576 | |||
Tigers Polymer Corp. | 1,000 | 4,116 | |||
TKC Corp. | 1,200 | 36,315 | |||
Toa Corp. (Hyogo) | 1,400 | 11,236 | |||
Toa Corp. (Tokyo) (B) | 1,200 | 26,559 | |||
Toagosei Company, Ltd. | 4,300 | 43,726 | |||
Tobishima Corp. | 720 | 6,823 | |||
TOC Company, Ltd. | 3,400 | 20,856 | |||
Tocalo Company, Ltd. | 3,200 | 40,263 | |||
Toda Corp. | 1,500 | 10,349 | |||
Toda Kogyo Corp. (A) | 300 | 6,907 | |||
Toenec Corp. | 600 | 19,485 | |||
Toho Company, Ltd. (A) | 600 | 8,635 |
The accompanying notes are an integral part of the financial statements. | 80 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Japan (continued) | |||||
Toho Holdings Company, Ltd. | 2,400 | $ | 38,697 | ||
Toho Titanium Company, Ltd. | 3,000 | 27,955 | |||
Toho Zinc Company, Ltd. | 800 | 13,547 | |||
Tokai Corp. | 1,200 | 26,271 | |||
TOKAI Holdings Corp. | 4,000 | 32,565 | |||
Tokai Rika Company, Ltd. | 2,600 | 41,809 | |||
Tokai Tokyo Financial Holdings, Inc. | 11,500 | 40,788 | |||
Token Corp. | 410 | 37,441 | |||
Tokushu Tokai Paper Company, Ltd. | 600 | 23,185 | |||
Tokuyama Corp. | 2,600 | 52,966 | |||
Tokyo Base Company, Ltd. (A) | 900 | 5,681 | |||
Tokyo Electron Device, Ltd. | 400 | 19,637 | |||
Tokyo Energy & Systems, Inc. | 2,000 | 17,242 | |||
Tokyo Keiki, Inc. | 1,000 | 9,644 | |||
Tokyo Kiraboshi Financial Group, Inc. | 1,936 | 26,117 | |||
Tokyo Rakutenchi Company, Ltd. | 200 | 7,481 | |||
Tokyo Rope Manufacturing Company, Ltd. (A) | 200 | 1,997 | |||
Tokyo Seimitsu Company, Ltd. | 1,800 | 81,262 | |||
Tokyo Steel Manufacturing Company, Ltd. | 5,100 | 50,923 | |||
Tokyo Tekko Company, Ltd. | 800 | 11,142 | |||
Tokyo Theatres Company, Inc. (A) | 900 | 10,271 | |||
Tokyotokeiba Company, Ltd. | 600 | 24,519 | |||
Tokyu Construction Company, Ltd. | 3,900 | 27,654 | |||
Tomato Bank, Ltd. | 1,100 | 10,204 | |||
Tomen Devices Corp. | 200 | 7,319 | |||
Tomoe Corp. | 2,200 | 7,497 | |||
Tomoku Company, Ltd. | 500 | 8,536 | |||
TOMONY Holdings, Inc. | 10,600 | 28,044 | |||
Tomy Company, Ltd. | 4,500 | 38,535 | |||
Tonami Holdings Company, Ltd. | 500 | 20,985 | |||
Topcon Corp. | 4,700 | 69,923 | |||
Toppan Forms Company, Ltd. | 3,400 | 33,084 | |||
Topre Corp. | 2,300 | 33,010 | |||
Topy Industries, Ltd. | 1,300 | 15,178 | |||
Torex Semiconductor, Ltd. | 700 | 19,788 | |||
Toridoll Holdings Corp. | 2,800 | 47,460 | |||
Torii Pharmaceutical Company, Ltd. | 1,100 | 24,074 | |||
Torishima Pump Manufacturing Company, Ltd. | 900 | 6,965 | |||
Tosei Corp. | 2,500 | 24,124 | |||
Toshiba TEC Corp. (A) | 1,100 | 45,232 | |||
Tosho Company, Ltd. | 800 | 13,812 | |||
Totetsu Kogyo Company, Ltd. | 1,000 | 20,282 | |||
Towa Corp. | 1,300 | 26,604 | |||
Towa Pharmaceutical Company, Ltd. | 1,500 | 36,501 | |||
Toyo Construction Company, Ltd. | 3,100 | 15,854 | |||
Toyo Denki Seizo KK | 600 | 6,301 | |||
Toyo Engineering Corp. (A)(B) | 2,200 | 14,053 | |||
Toyo Gosei Company, Ltd. | 300 | 33,218 | |||
Toyo Ink SC Holdings Company, Ltd. | 2,200 | 39,000 | |||
Toyo Kanetsu KK | 400 | 8,869 | |||
Toyo Securities Company, Ltd. | 6,000 | 8,691 | |||
Toyo Tanso Company, Ltd. | 1,000 | 25,242 | |||
Toyo Wharf & Warehouse Company, Ltd. | 600 | 8,362 | |||
Toyobo Company, Ltd. | 4,093 | 49,092 | |||
TPR Company, Ltd. | 1,400 | 18,621 | |||
Trancom Company, Ltd. | 400 | 28,701 | |||
Transaction Company, Ltd. | 1,700 | 23,085 | |||
Transcosmos, Inc. | 800 | 22,106 | |||
Tri Chemical Laboratories, Inc. | 1,200 | 35,447 | |||
Trusco Nakayama Corp. | 2,200 | 56,145 | |||
TS Tech Company, Ltd. | 2,500 | 38,709 | |||
TSI Holdings Company, Ltd. (A) | 5,270 | 15,697 | |||
Tsubaki Nakashima Company, Ltd. | 2,300 | 35,433 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Japan (continued) | |||||
Tsubakimoto Chain Company | 1,600 | $ | 45,687 | ||
Tsugami Corp. | 1,600 | 24,626 | |||
Tsukishima Kikai Company, Ltd. | 2,000 | 20,840 | |||
Tsukuba Bank, Ltd. | 5,700 | 8,839 | |||
Tsumura & Company | 1,200 | 37,720 | |||
Tsurumi Manufacturing Company, Ltd. | 1,000 | 15,620 | |||
TV Asahi Holdings Corp. | 700 | 11,128 | |||
UACJ Corp. (A) | 1,903 | 47,732 | |||
Ube Industries, Ltd. | 4,400 | 89,411 | |||
Ubicom Holdings, Inc. | 500 | 16,313 | |||
Uchida Yoko Company, Ltd. | 400 | 17,723 | |||
Ulvac, Inc. | 1,900 | 96,210 | |||
Uniden Holdings Corp. | 400 | 9,115 | |||
Union Tool Company | 700 | 25,065 | |||
Unipres Corp. | 2,600 | 21,398 | |||
United Arrows, Ltd. (A) | 1,200 | 23,321 | |||
United Super Markets Holdings, Inc. | 2,400 | 23,457 | |||
UNITED, Inc. | 1,300 | 17,857 | |||
Unitika, Ltd. (A) | 5,900 | 18,692 | |||
Universal Entertainment Corp. (A) | 800 | 17,782 | |||
Ushio, Inc. | 5,200 | 95,062 | |||
UT Group Company, Ltd. | 1,500 | 43,772 | |||
UUUM Company, Ltd. (A) | 800 | 11,056 | |||
Uzabase, Inc. (A) | 300 | 7,206 | |||
V Technology Company, Ltd. | 400 | 19,193 | |||
Valor Holdings Company, Ltd. | 1,700 | 34,606 | |||
Valqua, Ltd. | 1,000 | 19,556 | |||
ValueCommerce Company, Ltd. | 900 | 26,125 | |||
Vector, Inc. (A) | 3,100 | 26,852 | |||
Vital KSK Holdings, Inc. | 3,500 | 22,531 | |||
VT Holdings Company, Ltd. | 6,600 | 27,460 | |||
Wacoal Holdings Corp. | 1,900 | 43,037 | |||
Wacom Company, Ltd. | 8,000 | 50,829 | |||
Wakachiku Construction Company, Ltd. | 900 | 12,458 | |||
Wakita & Company, Ltd. | 2,300 | 21,199 | |||
Warabeya Nichiyo Holdings Company, Ltd. | 900 | 17,575 | |||
Watahan & Company, Ltd. | 600 | 6,474 | |||
WDB Holdings Company, Ltd. | 700 | 18,311 | |||
Weathernews, Inc. (B) | 300 | 15,685 | |||
West Holdings Corp. | 1,416 | 49,927 | |||
Will Group, Inc. | 1,200 | 10,940 | |||
WIN-Partners Company, Ltd. | 1,000 | 9,023 | |||
World Company, Ltd. | 700 | 9,235 | |||
World Holdings Company, Ltd. | 600 | 16,392 | |||
Wowow, Inc. | 600 | 13,022 | |||
Xebio Holdings Company, Ltd. | 2,800 | 24,427 | |||
Yahagi Construction Company, Ltd. | 2,000 | 12,805 | |||
Yaizu Suisankagaku Industry Company, Ltd. | 1,100 | 9,644 | |||
YAKUODO Holdings Company, Ltd. | 700 | 14,938 | |||
YAMABIKO Corp. | 2,400 | 26,318 | |||
YAMADA Consulting Group Company, Ltd. | 1,100 | 11,623 | |||
Yamaguchi Financial Group, Inc. | 9,600 | 55,005 | |||
Yamaichi Electronics Company, Ltd. | 1,700 | 25,414 | |||
YA-MAN, Ltd. | 1,700 | 22,811 | |||
Yamato Kogyo Company, Ltd. | 2,100 | 69,372 | |||
Yamazen Corp. | 3,900 | 35,131 | |||
Yaoko Company, Ltd. | 800 | 45,918 | |||
Yasuda Logistics Corp. | 1,400 | 11,899 | |||
Yellow Hat, Ltd. | 2,000 | 35,455 | |||
Yodogawa Steel Works, Ltd. | 1,200 | 24,187 | |||
Yokogawa Bridge Holdings Corp. | 2,100 | 39,813 | |||
Yokohama Reito Company, Ltd. | 2,900 | 23,054 |
The accompanying notes are an integral part of the financial statements. | 81 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Japan (continued) | |||||
Yokowo Company, Ltd. | 1,200 | $ | 27,378 | ||
Yomeishu Seizo Company, Ltd. | 500 | 8,137 | |||
Yondenko Corp. | 600 | 17,717 | |||
Yondoshi Holdings, Inc. | 1,300 | 22,177 | |||
Yorozu Corp. | 1,800 | 19,109 | |||
Yuasa Trading Company, Ltd. | 1,100 | 29,833 | |||
Yurtec Corp. | 2,000 | 12,993 | |||
Yushiro Chemical Industry Company, Ltd. | 1,100 | 11,873 | |||
Zenrin Company, Ltd. | 1,950 | 20,001 | |||
ZERIA Pharmaceutical Company, Ltd. | 1,200 | 22,651 | |||
28,487,782 | |||||
Jersey, Channel Islands - 0.2% | |||||
Atrium European Real Estate, Ltd. (A) | 10,137 | 36,056 | |||
Centamin PLC | 57,981 | 81,329 | |||
JTC PLC (D) | 3,654 | 31,070 | |||
Sanne Group PLC | 4,126 | 47,508 | |||
195,963 | |||||
Liechtenstein - 0.0% | |||||
Liechtensteinische Landesbank AG | 726 | 41,486 | |||
VP Bank AG, Class A | 188 | 22,572 | |||
64,058 | |||||
Luxembourg - 0.6% | |||||
APERAM SA | 2,415 | 124,025 | |||
B&S Group Sarl (D) | 983 | 10,123 | |||
Befesa SA (D) | 1,318 | 101,296 | |||
Corestate Capital Holding SA (A)(B) | 623 | 8,146 | |||
Grand City Properties SA | 5,978 | 161,451 | |||
IVS Group SA (A)(B) | 880 | 6,365 | |||
L'Occitane International SA | 17,000 | 62,257 | |||
RTL Group SA | 241 | 14,352 | |||
SES SA | 13,554 | 103,652 | |||
Shurgard Self Storage SA | 865 | 41,792 | |||
Stabilus SA | 1,221 | 99,459 | |||
Sword Group | 278 | 12,600 | |||
745,518 | |||||
Macau - 0.0% | |||||
MECOM Power and Construction, Ltd. (B) | 39,000 | 19,545 | |||
Malaysia - 0.2% | |||||
Frencken Group, Ltd. | 15,400 | 21,460 | |||
Lynas Rare Earths, Ltd. (A) | 41,228 | 176,238 | |||
197,698 | |||||
Malta - 0.1% | |||||
Catena Media PLC (A) | 3,412 | 27,303 | |||
Kindred Group PLC | 10,097 | 158,406 | |||
185,709 | |||||
Netherlands - 2.8% | |||||
Aalberts NV | 4,827 | 259,980 | |||
Accell Group NV (A) | 1,149 | 61,762 | |||
AMG Advanced Metallurgical Group NV | 1,350 | 46,291 | |||
Amsterdam Commodities NV | 707 | 19,200 | |||
Arcadis NV | 4,501 | 184,554 | |||
ASR Nederland NV | 6,907 | 267,449 | |||
Basic-Fit NV (A)(D) | 2,099 | 90,042 | |||
BE Semiconductor Industries NV | 3,676 | 313,260 | |||
Beter Bed Holding NV (A) | 1,056 | 10,116 | |||
Boskalis Westminster | 3,567 | 114,643 | |||
Brack Capital Properties NV (A) | 230 | 24,529 | |||
Brunel International NV | 1,126 | 14,610 | |||
Corbion NV | 2,691 | 154,102 | |||
Euronext NV (D) | 2,271 | 247,058 | |||
Flow Traders (D) | 1,631 | 70,189 | |||
ForFarmers NV | 2,398 | 14,173 | |||
Fugro NV (A) | 4,034 | 38,663 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Netherlands (continued) | |||||
GrandVision NV (D) | 2,427 | $ | 81,161 | ||
Heijmans NV | 2,129 | 32,589 | |||
Hunter Douglas NV (A) | 312 | 34,120 | |||
IMCD NV | 2,557 | 407,419 | |||
Innoconcepts NV (A)(C) | 10,527 | 0 | |||
Intertrust NV (A)(D) | 3,549 | 63,949 | |||
Kendrion NV | 1,111 | 30,346 | |||
Koninklijke BAM Groep NV (A) | 15,496 | 43,157 | |||
Koninklijke Vopak NV | 767 | 34,866 | |||
Nedap NV | 225 | 15,521 | |||
OCI NV (A) | 2,416 | 58,954 | |||
Ordina NV | 5,537 | 24,891 | |||
PostNL NV (B) | 27,297 | 148,315 | |||
SBM Offshore NV | 6,900 | 104,975 | |||
SIF Holding NV | 504 | 8,837 | |||
Signify NV (D) | 5,815 | 369,123 | |||
Sligro Food Group NV (A) | 1,151 | 33,856 | |||
TKH Group NV | 1,730 | 87,414 | |||
TomTom NV (A) | 3,258 | 27,322 | |||
Van Lanschot Kempen NV | 1,515 | 38,571 | |||
3,576,007 | |||||
New Zealand - 0.6% | |||||
Air New Zealand, Ltd. (A) | 12,658 | 13,714 | |||
Arvida Group, Ltd. | 10,871 | 15,500 | |||
Chorus, Ltd. | 15,573 | 69,659 | |||
Freightways, Ltd. | 5,543 | 48,821 | |||
Genesis Energy, Ltd. | 5,896 | 14,010 | |||
Gentrack Group, Ltd. (A)(B) | 3,060 | 4,404 | |||
Hallenstein Glasson Holdings, Ltd. | 3,354 | 17,459 | |||
Heartland Group Holdings, Ltd. | 17,857 | 25,824 | |||
Infratil, Ltd. | 14,095 | 75,856 | |||
Investore Property, Ltd. | 13,816 | 19,521 | |||
Kathmandu Holdings, Ltd. | 13,663 | 15,379 | |||
NZME, Ltd. (A) | 13,259 | 6,966 | |||
NZX, Ltd. | 13,956 | 19,514 | |||
Oceania Healthcare, Ltd. | 38,728 | 40,310 | |||
Pacific Edge, Ltd. (A) | 25,836 | 22,206 | |||
PGG Wrightson, Ltd. | 819 | 1,948 | |||
Restaurant Brands New Zealand, Ltd. (A) | 886 | 8,886 | |||
Sanford, Ltd. (A)(B) | 2,767 | 9,871 | |||
Scales Corp., Ltd. | 5,176 | 17,331 | |||
Serko, Ltd. (A) | 2,827 | 14,812 | |||
Skellerup Holdings, Ltd. | 7,637 | 26,680 | |||
SKY Network Television, Ltd. (A) | 75,182 | 9,144 | |||
SKYCITY Entertainment Group, Ltd. (A) | 26,675 | 65,458 | |||
Summerset Group Holdings, Ltd. | 7,513 | 70,413 | |||
Synlait Milk, Ltd. (A)(B) | 5,495 | 13,974 | |||
The New Zealand Refining Company, Ltd. (A) | 11,354 | 5,318 | |||
The Warehouse Group, Ltd. | 9,894 | 24,010 | |||
Tourism Holdings, Ltd. (A) | 6,508 | 11,501 | |||
TOWER, Ltd. | 12,717 | 6,579 | |||
Trustpower, Ltd. | 1,665 | 9,415 | |||
Vista Group International, Ltd. (A) | 7,682 | 12,833 | |||
Z Energy, Ltd. | 13,725 | 26,287 | |||
743,603 | |||||
Norway - 0.8% | |||||
ABG Sundal Collier Holding ASA | 13,972 | 15,970 | |||
Akastor ASA (A)(B) | 6,104 | 4,538 | |||
Aker Solutions ASA (A) | 18,496 | 34,456 | |||
American Shipping Company ASA (A) | 1,661 | 5,953 | |||
Atea ASA (A) | 4,256 | 82,795 | |||
Austevoll Seafood ASA | 219 | 2,718 | |||
Axactor SE (A) | 14,729 | 17,700 | |||
B2Holding ASA (A) | 4,699 | 5,380 |
The accompanying notes are an integral part of the financial statements. | 82 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Norway (continued) | |||||
Bonheur ASA | 1,672 | $ | 47,278 | ||
Borregaard ASA | 4,895 | 106,893 | |||
Bouvet ASA | 1,310 | 9,324 | |||
BW Offshore, Ltd. | 4,568 | 16,335 | |||
Crayon Group Holding ASA (A)(D) | 1,229 | 17,964 | |||
DNO ASA (A) | 36,835 | 42,948 | |||
Europris ASA (D) | 8,327 | 52,218 | |||
Fjordkraft Holding ASA (D) | 3,193 | 18,983 | |||
FLEX LNG, Ltd. | 1,570 | 22,699 | |||
Frontline, Ltd. | 5,015 | 45,343 | |||
Grieg Seafood ASA (A) | 2,264 | 23,335 | |||
Hexagon Composites ASA (A) | 6,450 | 27,947 | |||
IDEX Biometrics ASA (A)(B) | 19,564 | 4,877 | |||
Kid ASA (D) | 1,128 | 13,948 | |||
Kitron ASA | 9,158 | 21,129 | |||
Medistim ASA | 349 | 10,331 | |||
Nordic Nanovector ASA (A) | 2,098 | 6,354 | |||
Nordic Semiconductor ASA (A) | 582 | 14,756 | |||
Norway Royal Salmon ASA | 1,038 | 20,802 | |||
Norwegian Finans Holding ASA | 5,444 | 61,325 | |||
Norwegian Property ASA | 9,694 | 16,812 | |||
Ocean Yield ASA (B) | 4,830 | 16,697 | |||
Odfjell Drilling, Ltd. (A) | 4,970 | 13,808 | |||
Olav Thon Eiendomsselskap ASA (A) | 577 | 11,936 | |||
Otello Corp. ASA (A) | 6,623 | 24,683 | |||
PGS ASA (A) | 19,660 | 10,321 | |||
Protector Forsikring ASA | 4,177 | 40,157 | |||
Selvaag Bolig ASA | 1,842 | 12,730 | |||
Sparebank 1 Oestlandet | 758 | 10,477 | |||
SpareBank 1 SR-Bank ASA | 1,360 | 17,964 | |||
TGS ASA | 3,905 | 49,795 | |||
Treasure ASA | 3,110 | 6,015 | |||
Veidekke ASA | 4,419 | 59,135 | |||
Wilh Wilhelmsen Holding ASA, Class A | 862 | 18,218 | |||
XXL ASA (A)(D) | 4,462 | 9,455 | |||
1,072,502 | |||||
Peru - 0.0% | |||||
Hochschild Mining PLC | 16,530 | 35,121 | |||
Portugal - 0.3% | |||||
Altri SGPS SA | 3,125 | 19,433 | |||
Banco Comercial Portugues SA (A) | 381,018 | 61,114 | |||
CTT-Correios de Portugal SA | 8,914 | 51,049 | |||
Mota-Engil SGPS SA (A) | 5,636 | 9,348 | |||
NOS SGPS SA | 13,982 | 48,952 | |||
REN - Redes Energeticas Nacionais SGPS SA | 21,605 | 59,931 | |||
Sonae SGPS SA | 44,348 | 42,174 | |||
The Navigator Company SA | 12,847 | 44,001 | |||
336,002 | |||||
Russia - 0.0% | |||||
Petropavlovsk PLC (A) | 156,141 | 51,214 | |||
Singapore - 1.3% | |||||
Accordia Golf Trust (C) | 40,300 | 21,728 | |||
AEM Holdings, Ltd. | 9,100 | 25,969 | |||
Ascendas India Trust | 45,100 | 46,663 | |||
Banyan Tree Holdings, Ltd. (A) | 19,800 | 5,009 | |||
Best World International, Ltd. (A)(C) | 16,300 | 9,479 | |||
BOC Aviation, Ltd. (D) | 6,100 | 51,461 | |||
Boustead Projects, Ltd. | 3,000 | 2,793 | |||
Boustead Singapore, Ltd. | 10,000 | 8,701 | |||
Bukit Sembawang Estates, Ltd. | 11,000 | 42,851 | |||
BW Energy, Ltd. (A) | 932 | 2,834 | |||
BW LPG, Ltd. (D) | 4,059 | 26,234 | |||
China Aviation Oil Singapore Corp., Ltd. | 14,400 | 11,047 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Singapore (continued) | |||||
Chip Eng Seng Corp., Ltd. | 33,000 | $ | 10,924 | ||
ComfortDelGro Corp., Ltd. | 86,000 | 105,098 | |||
COSCO Shipping International Singapore Company, Ltd. (A) | 58,900 | 12,940 | |||
CSE Global, Ltd. | 34,000 | 13,428 | |||
Delfi, Ltd. | 21,900 | 15,246 | |||
Ezion Holdings, Ltd. (A)(C) | 131,300 | 4,199 | |||
Far East Orchard, Ltd. | 5,000 | 4,061 | |||
First Resources, Ltd. | 19,300 | 19,267 | |||
Fraser and Neave, Ltd. | 8,600 | 9,416 | |||
Gallant Venture, Ltd. (A) | 71,000 | 6,864 | |||
Golden Agri-Resources, Ltd. | 323,200 | 55,391 | |||
GuocoLand, Ltd. | 10,400 | 12,386 | |||
Halcyon Agri Corp., Ltd. (A) | 4,293 | 798 | |||
Haw Par Corp., Ltd. | 4,700 | 47,921 | |||
Ho Bee Land, Ltd. | 11,400 | 24,453 | |||
Hong Fok Corp., Ltd. | 20,100 | 12,417 | |||
Hong Leong Finance, Ltd. | 12,900 | 23,414 | |||
Hyflux, Ltd. (A) | 24,000 | 240 | |||
iFAST Corp., Ltd. | 8,800 | 53,429 | |||
IGG, Inc. | 38,000 | 50,205 | |||
Indofood Agri Resources, Ltd. (A) | 25,000 | 6,335 | |||
Japfa, Ltd. | 22,700 | 13,943 | |||
Kenon Holdings, Ltd. | 787 | 27,159 | |||
Keppel Infrastructure Trust | 157,190 | 64,883 | |||
Metro Holdings, Ltd. | 31,600 | 18,726 | |||
Midas Holdings, Ltd. (A)(C) | 86,000 | 10,437 | |||
NetLink NBN Trust | 91,900 | 64,964 | |||
Oceanus Group, Ltd. (A) | 1,035,500 | 29,332 | |||
OM Holdings, Ltd. (A)(B) | 10,791 | 6,686 | |||
OUE, Ltd. | 11,100 | 10,990 | |||
Oxley Holdings, Ltd. | 26,867 | 4,712 | |||
Raffles Medical Group, Ltd. | 35,758 | 31,407 | |||
Razer, Inc. (A)(D) | 81,000 | 22,016 | |||
Riverstone Holdings, Ltd. | 31,400 | 28,759 | |||
SATS, Ltd. (A) | 13,400 | 39,247 | |||
SBS Transit, Ltd. | 5,000 | 11,235 | |||
Sembcorp Industries, Ltd. | 36,100 | 57,582 | |||
Sembcorp Marine, Ltd. (A) | 325,134 | 29,121 | |||
Sheng Siong Group, Ltd. | 29,900 | 35,141 | |||
SIA Engineering Company, Ltd. | 12,800 | 20,520 | |||
SIIC Environment Holdings, Ltd. | 35,800 | 5,463 | |||
Sinarmas Land, Ltd. | 94,200 | 19,677 | |||
Singapore Land Group, Ltd. | 7,100 | 14,413 | |||
Singapore Post, Ltd. | 66,100 | 35,181 | |||
Singapore Press Holdings, Ltd. | 66,000 | 84,130 | |||
Stamford Land Corp., Ltd. | 59,000 | 23,705 | |||
StarHub, Ltd. | 25,600 | 23,251 | |||
Straits Trading Company, Ltd. | 1,200 | 2,565 | |||
Swiber Holdings, Ltd. (A)(C) | 15,000 | 730 | |||
The Hour Glass, Ltd. | 10,100 | 11,895 | |||
Thomson Medical Group, Ltd. (A) | 212,000 | 13,581 | |||
UMS Holdings, Ltd. | 14,000 | 15,874 | |||
UOB-Kay Hian Holdings, Ltd. | 14,981 | 17,393 | |||
Wing Tai Holdings, Ltd. | 21,205 | 28,425 | |||
XP Power, Ltd. | 824 | 63,610 | |||
Yeo Hiap Seng, Ltd. | 1,129 | 781 | |||
1,630,735 | |||||
South Africa - 0.1% | |||||
Investec PLC | 24,092 | 96,235 | |||
Mediclinic International PLC (A) | 18,139 | 74,618 | |||
170,853 | |||||
Spain - 2.0% | |||||
Acciona SA | 625 | 94,392 | |||
Acerinox SA | 7,380 | 89,361 |
The accompanying notes are an integral part of the financial statements. | 83 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Spain (continued) | |||||
Aedas Homes SA (A)(D) | 426 | $ | 11,788 | ||
Alantra Partners SA | 1,181 | 20,876 | |||
Almirall SA | 2,459 | 42,934 | |||
Amper SA (A) | 82,546 | 17,055 | |||
Applus Services SA (A) | 6,225 | 60,816 | |||
Atresmedia Corp. de Medios de Comunicacion SA (A) | 6,046 | 26,500 | |||
Banco de Sabadell SA (A) | 187,343 | 127,901 | |||
Bankinter SA | 27,501 | 138,358 | |||
Caja de Ahorros del Mediterraneo (A)(C) | 5,428 | 0 | |||
Cia de Distribucion Integral Logista Holdings SA | 1,412 | 29,031 | |||
CIE Automotive SA | 2,718 | 80,486 | |||
Construcciones y Auxiliar de Ferrocarriles SA | 1,139 | 48,094 | |||
Ebro Foods SA | 3,323 | 69,848 | |||
eDreams ODIGEO SA (A) | 4,905 | 39,569 | |||
Elecnor SA | 2,026 | 26,179 | |||
Enagas SA | 8,670 | 200,389 | |||
Ence Energia y Celulosa SA (A) | 6,294 | 25,616 | |||
Ercros SA (A) | 5,006 | 19,935 | |||
Euskaltel SA (D) | 3,494 | 45,510 | |||
Faes Farma SA | 12,916 | 51,561 | |||
Fluidra SA | 2,959 | 117,559 | |||
Fomento de Construcciones y Contratas SA (A) | 2,275 | 26,437 | |||
Gestamp Automocion SA (A)(D) | 2,814 | 14,924 | |||
Global Dominion Access SA (A)(D) | 5,439 | 28,226 | |||
Grupo Catalana Occidente SA | 2,346 | 90,638 | |||
Grupo Empresarial San Jose SA | 2,194 | 13,561 | |||
Iberpapel Gestion SA | 65 | 1,379 | |||
Indra Sistemas SA (A) | 4,996 | 45,649 | |||
Laboratorios Farmaceuticos Rovi SA | 987 | 68,396 | |||
Liberbank SA | 99,251 | 36,457 | |||
Linea Directa Aseguradora SA Cia de Seguros y Reaseguros (A) | 27,501 | 57,621 | |||
Mapfre SA | 20,324 | 42,995 | |||
Mediaset Espana Comunicacion SA (A) | 7,779 | 48,703 | |||
Melia Hotels International SA (A) | 6,008 | 44,558 | |||
Metrovacesa SA (A)(D) | 1,256 | 9,973 | |||
Miquel y Costas & Miquel SA | 1,474 | 28,583 | |||
Neinor Homes SA (A)(D) | 1,978 | 26,746 | |||
Obrascon Huarte Lain SA (A) | 14,644 | 11,463 | |||
Obrascon Huarte Lain SA, Interim Shares (A) | 4,964 | 3,886 | |||
Pharma Mar SA | 664 | 59,852 | |||
Promotora de Informaciones SA, Class A (A) | 11,711 | 10,711 | |||
Prosegur Cia de Seguridad SA | 10,114 | 33,101 | |||
Realia Business SA (A) | 17,710 | 14,793 | |||
Sacyr SA | 21,689 | 55,212 | |||
Sacyr SA, Interim Shares (A) | 542 | 1,380 | |||
Solaria Energia y Medio Ambiente SA (A) | 3,480 | 62,949 | |||
Talgo SA (A)(D) | 4,711 | 26,669 | |||
Tecnicas Reunidas SA (A) | 830 | 10,524 | |||
Tubacex SA (A) | 6,252 | 11,063 | |||
Unicaja Banco SA (D) | 26,995 | 27,702 | |||
Vidrala SA | 788 | 94,096 | |||
Viscofan SA | 1,837 | 128,045 | |||
Zardoya Otis SA | 7,487 | 51,665 | |||
2,571,715 | |||||
Sweden - 3.6% | |||||
AcadeMedia AB (D) | 3,665 | 34,653 | |||
AddLife AB, B Shares | 2,634 | 80,973 | |||
AddNode Group AB | 1,465 | 53,930 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Sweden (continued) | |||||
AddTech AB, B Shares | 8,019 | $ | 133,115 | ||
AFRY AB | 2,696 | 88,719 | |||
Alimak Group AB (D) | 2,141 | 34,936 | |||
Ambea AB (D) | 1,195 | 8,901 | |||
Annehem Fastigheter AB, B Shares (A) | 1,155 | 4,401 | |||
Arjo AB, B Shares | 10,690 | 110,192 | |||
Atrium Ljungberg AB, B Shares | 2,105 | 47,916 | |||
Attendo AB (A)(D) | 5,286 | 24,193 | |||
Beijer Alma AB | 2,393 | 47,673 | |||
Bergman & Beving AB | 2,270 | 35,187 | |||
Betsson AB, B Shares (A) | 5,105 | 41,651 | |||
BHG Group AB (A) | 2,406 | 46,552 | |||
Bilia AB, A Shares | 3,960 | 83,959 | |||
BioGaia AB, B Shares | 901 | 50,147 | |||
Biotage AB | 3,574 | 84,633 | |||
Bonava AB, B Shares | 3,323 | 36,587 | |||
Boozt AB (A)(D) | 993 | 21,829 | |||
Bravida Holding AB (D) | 7,844 | 113,545 | |||
BTS Group AB, B Shares | 346 | 13,186 | |||
Bufab AB | 1,896 | 52,529 | |||
Bulten AB | 717 | 8,612 | |||
Bure Equity AB | 2,728 | 117,929 | |||
Byggmax Group AB | 5,363 | 48,629 | |||
Calliditas Therapeutics AB, B Shares (A) | 1,333 | 19,486 | |||
Catena AB | 1,429 | 76,431 | |||
Cellavision AB | 540 | 23,254 | |||
Clas Ohlson AB, B Shares (A) | 3,185 | 32,847 | |||
Cloetta AB, B Shares | 10,640 | 31,765 | |||
Collector AB (A) | 1,870 | 7,976 | |||
Coor Service Management Holding AB (D) | 1,376 | 10,906 | |||
Corem Property Group AB, B Shares | 22,122 | 50,123 | |||
Dios Fastigheter AB | 3,582 | 37,084 | |||
Duni AB (A) | 2,559 | 33,097 | |||
Dustin Group AB (B)(D) | 4,269 | 56,360 | |||
Electrolux Professional AB, B Shares (A) | 3,716 | 26,344 | |||
Enea AB (A) | 1,522 | 36,658 | |||
Fagerhult AB | 4,609 | 36,951 | |||
FastPartner AB, A Shares | 2,697 | 31,298 | |||
Fingerprint Cards AB, B Shares (A) | 12,246 | 46,769 | |||
G5 Entertainment AB | 330 | 20,307 | |||
GARO AB | 1,075 | 14,820 | |||
Granges AB | 7,040 | 97,781 | |||
Haldex AB (A) | 3,364 | 22,277 | |||
Heba Fastighets AB, Class B | 684 | 10,555 | |||
Hexatronic Group AB | 1,111 | 16,656 | |||
HMS Networks AB | 1,433 | 60,620 | |||
Hoist Finance AB (A)(D) | 2,083 | 8,468 | |||
Hufvudstaden AB, A Shares | 1,371 | 23,310 | |||
Humana AB (A) | 2,641 | 20,733 | |||
Instalco AB | 1,179 | 48,935 | |||
Inwido AB | 3,126 | 54,054 | |||
JM AB | 2,484 | 85,864 | |||
KNOW IT AB | 1,023 | 33,537 | |||
Kungsleden AB | 8,561 | 103,616 | |||
Lagercrantz Group AB, B Shares | 12,207 | 132,767 | |||
LeoVegas AB (D) | 2,160 | 9,596 | |||
Lime Technologies AB | 347 | 13,208 | |||
Lindab International AB | 4,565 | 106,563 | |||
Loomis AB | 2,298 | 71,890 | |||
Medicover AB, B Shares | 1,261 | 34,587 | |||
Mekonomen AB (A) | 2,150 | 35,527 | |||
MIPS AB | 888 | 76,379 | |||
Modern Times Group MTG AB, B Shares (A) | 4,110 | 55,570 | |||
Momentum Group AB, Class B | 2,270 | 46,313 |
The accompanying notes are an integral part of the financial statements. | 84 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Sweden (continued) | |||||
Mycronic AB | 2,326 | $ | 70,205 | ||
NCAB Group AB | 202 | 10,559 | |||
NCC AB, B Shares | 835 | 14,255 | |||
Nederman Holding AB (A) | 887 | 17,566 | |||
Nelly Group AB (A) | 611 | 2,375 | |||
New Wave Group AB, B Shares (A) | 4,353 | 55,207 | |||
Nobia AB | 6,676 | 56,930 | |||
Nobina AB (D) | 4,239 | 38,506 | |||
Nolato AB, B Shares | 9,190 | 90,515 | |||
Nordic Entertainment Group AB, B Shares (A) | 1,137 | 50,152 | |||
Nordic Waterproofing Holding AB | 2,615 | 56,421 | |||
NP3 Fastigheter AB | 1,683 | 32,962 | |||
Nyfosa AB | 9,287 | 125,609 | |||
OEM International AB, B Shares | 3,120 | 46,752 | |||
Pandox AB (A) | 3,303 | 55,015 | |||
Peab AB, Class B | 4,977 | 61,509 | |||
Platzer Fastigheter Holding AB, Series B | 3,454 | 52,354 | |||
Pricer AB, B Shares | 7,930 | 29,359 | |||
Proact IT Group AB | 1,428 | 14,036 | |||
Qliro AB (A) | 611 | 2,697 | |||
Ratos AB, B Shares | 14,845 | 90,061 | |||
RaySearch Laboratories AB (A) | 2,452 | 25,060 | |||
Resurs Holding AB (D) | 6,236 | 30,811 | |||
SAS AB (A)(B) | 203,931 | 50,051 | |||
Scandi Standard AB | 4,648 | 31,131 | |||
Scandic Hotels Group AB (A)(B)(D) | 5,932 | 23,192 | |||
Sectra AB, B Shares (A) | 1,006 | 77,878 | |||
Sensys Gatso Group AB (A) | 23,414 | 3,009 | |||
SkiStar AB (A) | 2,041 | 34,017 | |||
SSAB AB, A Shares (A) | 2,599 | 12,736 | |||
Systemair AB (A) | 901 | 32,602 | |||
Tethys Oil AB | 2,334 | 15,964 | |||
Troax Group AB | 1,308 | 42,731 | |||
VBG Group AB, B Shares | 630 | 12,994 | |||
Vitec Software Group AB, B Shares | 273 | 11,295 | |||
Wihlborgs Fastigheter AB | 5,362 | 116,291 | |||
4,678,666 | |||||
Switzerland - 6.4% | |||||
Allreal Holding AG | 692 | 136,213 | |||
ALSO Holding AG (A) | 324 | 93,527 | |||
APG SGA SA (A) | 84 | 20,594 | |||
Arbonia AG | 2,962 | 56,661 | |||
Aryzta AG (A) | 57,916 | 79,137 | |||
Ascom Holding AG (A) | 1,310 | 21,651 | |||
Autoneum Holding AG (A) | 221 | 41,296 | |||
Bachem Holding AG, Class B | 205 | 121,598 | |||
Baloise Holding AG | 500 | 78,069 | |||
Banque Cantonale de Geneve, Bearer Shares | 142 | 26,485 | |||
Banque Cantonale Vaudoise | 549 | 49,332 | |||
Belimo Holding AG | 500 | 228,983 | |||
Bell Food Group AG | 138 | 42,339 | |||
Bellevue Group AG | 467 | 20,204 | |||
Berner Kantonalbank AG | 242 | 54,023 | |||
BKW AG | 935 | 97,384 | |||
Bobst Group SA (A) | 632 | 50,560 | |||
Bossard Holding AG, Class A | 310 | 94,734 | |||
Bucher Industries AG | 428 | 224,121 | |||
Burckhardt Compression Holding AG | 143 | 57,947 | |||
Burkhalter Holding AG | 218 | 15,794 | |||
Bystronic AG | 74 | 100,107 | |||
Calida Holding AG | 285 | 10,789 | |||
Carlo Gavazzi Holding AG, Bearer Shares (A) | 38 | 10,423 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Switzerland (continued) | |||||
Cembra Money Bank AG | 1,587 | $ | 178,047 | ||
Cie Financiere Tradition SA, Bearer Shares | 104 | 12,934 | |||
Clariant AG | 7,517 | 149,681 | |||
Coltene Holding AG (A) | 198 | 26,850 | |||
Comet Holding AG | 339 | 93,362 | |||
DKSH Holding AG | 1,744 | 133,605 | |||
dormakaba Holding AG | 140 | 95,486 | |||
Dufry AG (A) | 2,523 | 149,711 | |||
EFG International AG (A) | 4,687 | 38,474 | |||
Emmi AG | 107 | 109,800 | |||
Energiedienst Holding AG | 979 | 37,591 | |||
Evolva Holding SA (A)(B) | 72,989 | 13,938 | |||
Feintool International Holding AG (A) | 142 | 9,088 | |||
Fenix Outdoor International AG | 225 | 31,556 | |||
Ferrexpo PLC | 22,757 | 134,997 | |||
Flughafen Zurich AG (A) | 933 | 154,452 | |||
Forbo Holding AG | 47 | 88,974 | |||
Fundamenta Real Estate AG | 1,024 | 21,133 | |||
Galenica AG (D) | 2,038 | 143,882 | |||
GAM Holding AG (A) | 11,204 | 24,354 | |||
Georg Fischer AG | 202 | 299,972 | |||
Gurit Holding AG, Bearer Shares | 22 | 48,022 | |||
Helvetia Holding AG | 1,730 | 186,285 | |||
Hiag Immobilien Holding AG | 420 | 46,260 | |||
HOCHDORF Holding AG (A) | 16 | 995 | |||
Huber + Suhner AG | 586 | 49,549 | |||
Hypothekarbank Lenzburg AG | 3 | 13,877 | |||
Implenia AG (A) | 994 | 25,866 | |||
Ina Invest Holding AG (A) | 199 | 4,009 | |||
Inficon Holding AG | 106 | 122,597 | |||
Interroll Holding AG | 35 | 138,801 | |||
Intershop Holding AG | 76 | 49,929 | |||
Investis Holding SA | 98 | 10,855 | |||
IWG PLC (A) | 38,584 | 160,573 | |||
Jungfraubahn Holding AG (A) | 199 | 31,421 | |||
Kardex Holding AG | 299 | 69,205 | |||
Komax Holding AG (A) | 221 | 55,842 | |||
Kongsberg Automotive ASA (A) | 23,611 | 7,580 | |||
Kudelski SA, Bearer Shares | 2,497 | 11,238 | |||
Landis+Gyr Group AG (A) | 1,111 | 77,594 | |||
LEM Holding SA | 19 | 39,843 | |||
Luzerner Kantonalbank AG | 173 | 80,188 | |||
Medacta Group SA (A)(D) | 127 | 16,685 | |||
Medartis Holding AG (A)(D) | 154 | 14,213 | |||
Metall Zug AG, B Shares | 12 | 26,972 | |||
Mobilezone Holding AG | 2,336 | 27,491 | |||
Mobimo Holding AG | 347 | 114,023 | |||
Novavest Real Estate AG (A) | 212 | 10,538 | |||
OC Oerlikon Corp. AG | 9,769 | 108,489 | |||
Orascom Development Holding AG (A) | 533 | 7,091 | |||
Orior AG | 425 | 38,403 | |||
Phoenix Mecano AG, Bearer Shares | 38 | 18,770 | |||
Plazza AG, Class A | 68 | 23,820 | |||
PSP Swiss Property AG | 2,294 | 291,290 | |||
Rieter Holding AG (A) | 251 | 49,141 | |||
Romande Energie Holding SA (A) | 34 | 49,235 | |||
Schaffner Holding AG | 40 | 13,140 | |||
Schweiter Technologies AG, Bearer Shares | 48 | 70,413 | |||
Sensirion Holding AG (A)(D) | 266 | 21,336 | |||
SFS Group AG | 742 | 106,857 | |||
Siegfried Holding AG (A) | 220 | 206,459 | |||
SIG Combibloc Group AG (A) | 6,040 | 164,460 | |||
Softwareone Holding AG (A) | 2,412 | 57,063 | |||
St. Galler Kantonalbank AG, Class A | 152 | 67,561 | |||
Sulzer AG | 877 | 121,352 |
The accompanying notes are an integral part of the financial statements. | 85 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Switzerland (continued) | |||||
Swiss Prime Site AG | 2,097 | $ | 208,121 | ||
Swiss Steel Holding AG (A) | 39,436 | 19,199 | |||
Swissquote Group Holding SA | 588 | 88,945 | |||
Tecan Group AG | 382 | 189,289 | |||
TX Group AG (A) | 201 | 18,665 | |||
u-blox Holding AG (A) | 431 | 31,704 | |||
Valiant Holding AG | 717 | 71,147 | |||
Valora Holding AG (A) | 244 | 51,348 | |||
VAT Group AG (D) | 1,510 | 502,164 | |||
Vaudoise Assurances Holding SA | 64 | 33,215 | |||
Vetropack Holding AG | 500 | 30,195 | |||
Von Roll Holding AG, Bearer Shares (A) | 7,878 | 7,494 | |||
Vontobel Holding AG | 1,521 | 118,705 | |||
VZ Holding AG | 805 | 68,164 | |||
V-ZUG Holding AG (A) | 120 | 18,467 | |||
Walliser Kantonalbank | 203 | 23,373 | |||
Warteck Invest AG | 8 | 20,743 | |||
Ypsomed Holding AG | 103 | 16,047 | |||
Zehnder Group AG | 615 | 58,724 | |||
Zug Estates Holding AG, B Shares | 16 | 34,414 | |||
Zuger Kantonalbank AG, Bearer Shares | 9 | 67,112 | |||
8,212,424 | |||||
Taiwan - 0.0% | |||||
Ya Hsin Industrial Company, Ltd. (A)(C) | 138,000 | 0 | |||
United Arab Emirates - 0.0% | |||||
Lamprell PLC (A) | 11,610 | 8,033 | |||
Network International Holdings PLC (A)(D) | 3,782 | 19,162 | |||
27,195 | |||||
United Kingdom - 13.2% | |||||
4imprint Group PLC (A) | 1,523 | 56,350 | |||
A.G. Barr PLC (A) | 4,718 | 33,821 | |||
Advanced Medical Solutions Group PLC | 4,440 | 17,479 | |||
Afren PLC (A)(C) | 55,554 | 0 | |||
Aggreko PLC | 12,621 | 150,631 | |||
Airtel Africa PLC (D) | 23,997 | 25,626 | |||
AJ Bell PLC | 6,808 | 40,887 | |||
Alliance Pharma PLC | 16,518 | 22,670 | |||
Anglo Pacific Group PLC | 12,147 | 23,370 | |||
Anglo-Eastern Plantations PLC | 1,225 | 10,334 | |||
AO World PLC (A) | 8,013 | 28,120 | |||
Aptitude Software Group PLC | 2,037 | 16,510 | |||
Arrow Global Group PLC (A) | 4,086 | 17,272 | |||
Ascential PLC (A) | 15,022 | 86,346 | |||
Ashmore Group PLC | 15,764 | 84,016 | |||
Aston Martin Lagonda Global Holdings PLC (A)(D) | 878 | 22,831 | |||
Avon Rubber PLC | 1,565 | 56,774 | |||
Babcock International Group PLC (A) | 22,879 | 91,827 | |||
Bakkavor Group PLC (D) | 5,579 | 9,991 | |||
Balfour Beatty PLC | 34,581 | 146,985 | |||
Beazley PLC (A) | 24,625 | 113,358 | |||
Bellway PLC | 5,109 | 228,889 | |||
Biffa PLC (A)(D) | 7,100 | 31,932 | |||
Bloomsbury Publishing PLC | 2,159 | 10,414 | |||
Bodycote PLC | 9,417 | 110,328 | |||
boohoo Group PLC (A) | 3,748 | 16,092 | |||
Braemar Shipping Services PLC (A) | 1,328 | 5,567 | |||
Brewin Dolphin Holdings PLC | 15,066 | 72,460 | |||
Britvic PLC | 13,590 | 176,418 | |||
Bytes Technology Group PLC (A) | 4,029 | 25,812 | |||
Cairn Energy PLC | 24,079 | 48,637 | |||
Capita PLC (A) | 67,697 | 34,981 | |||
Card Factory PLC (A) | 14,688 | 12,750 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
United Kingdom (continued) | |||||
CareTech Holdings PLC | 4,102 | $ | 34,442 | ||
Carillion PLC (A)(C) | 35,521 | 4,712 | |||
Central Asia Metals PLC | 8,189 | 26,984 | |||
Centrica PLC (A) | 208,824 | 148,845 | |||
Chemring Group PLC | 13,921 | 55,468 | |||
Chesnara PLC | 7,709 | 28,277 | |||
Cineworld Group PLC (A)(B) | 27,060 | 29,031 | |||
Circassia Group PLC (A) | 9,034 | 3,725 | |||
Clarkson PLC | 1,348 | 59,557 | |||
Clinigen Group PLC | 5,031 | 43,097 | |||
Clipper Logistics PLC | 3,406 | 37,944 | |||
Close Brothers Group PLC | 8,356 | 175,122 | |||
CLS Holdings PLC | 10,759 | 35,803 | |||
CMC Markets PLC (D) | 7,009 | 44,498 | |||
Coats Group PLC | 23,020 | 21,694 | |||
Computacenter PLC | 3,949 | 140,739 | |||
Concentric AB | 2,526 | 51,924 | |||
ContourGlobal PLC (D) | 3,601 | 9,623 | |||
Costain Group PLC (A) | 4,797 | 3,848 | |||
Countryside Properties PLC (A)(D) | 23,711 | 155,474 | |||
Cranswick PLC | 2,712 | 149,202 | |||
Crest Nicholson Holdings PLC (A) | 13,693 | 79,560 | |||
CVS Group PLC (A) | 2,750 | 92,144 | |||
Daily Mail & General Trust PLC, Class A | 7,839 | 104,683 | |||
De La Rue PLC (A) | 10,028 | 25,852 | |||
Debenhams PLC (A)(C) | 76,182 | 0 | |||
Devro PLC | 12,253 | 32,650 | |||
DFS Furniture PLC | 12,509 | 48,489 | |||
Dialight PLC (A) | 105 | 471 | |||
Dialog Semiconductor PLC (A) | 4,280 | 332,886 | |||
Dignity PLC (A) | 3,439 | 40,961 | |||
Diploma PLC | 5,901 | 237,387 | |||
DiscoverIE Group PLC | 5,627 | 73,711 | |||
Dixons Carphone PLC (A) | 44,671 | 80,495 | |||
Domino's Pizza Group PLC | 21,324 | 114,718 | |||
dotdigital Group PLC | 12,814 | 40,999 | |||
Drax Group PLC | 21,413 | 125,608 | |||
Dunelm Group PLC | 5,320 | 104,649 | |||
easyJet PLC (A) | 96 | 1,191 | |||
Electrocomponents PLC | 13,316 | 189,714 | |||
Elementis PLC (A) | 35,393 | 73,854 | |||
EMIS Group PLC | 2,542 | 40,443 | |||
Endeavour Mining PLC | 9,047 | 194,281 | |||
EnQuest PLC (A) | 109,392 | 31,491 | |||
Equiniti Group PLC (A)(D) | 10,616 | 26,384 | |||
Esken, Ltd. (A) | 22,446 | 8,079 | |||
Essentra PLC | 14,966 | 64,001 | |||
Euromoney Institutional Investor PLC | 4,334 | 61,146 | |||
FDM Group Holdings PLC | 3,208 | 45,290 | |||
Fevertree Drinks PLC | 5,193 | 184,818 | |||
First Derivatives PLC (A) | 243 | 7,639 | |||
Firstgroup PLC (A) | 78,582 | 89,116 | |||
Forterra PLC (D) | 6,408 | 23,940 | |||
Foxtons Group PLC (A) | 23,551 | 18,455 | |||
Frasers Group PLC (A) | 10,048 | 83,783 | |||
Frontier Developments PLC (A) | 532 | 17,029 | |||
Fuller Smith & Turner PLC, Class A (A) | 1,525 | 17,951 | |||
Funding Circle Holdings PLC (A)(D) | 3,849 | 8,039 | |||
Future PLC | 3,994 | 173,173 | |||
Galliford Try Holdings PLC | 5,675 | 11,018 | |||
Games Workshop Group PLC | 1,599 | 252,167 | |||
Gamesys Group PLC | 3,107 | 79,248 | |||
Gamma Communications PLC | 1,009 | 27,826 | |||
GB Group PLC | 858 | 9,791 | |||
Gem Diamonds, Ltd. | 12,666 | 12,562 |
The accompanying notes are an integral part of the financial statements. | 86 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
United Kingdom (continued) | |||||
Genel Energy PLC | 4,784 | $ | 10,198 | ||
Genuit Group PLC | 12,035 | 102,144 | |||
Genus PLC | 1,119 | 76,850 | |||
Grainger PLC | 32,768 | 129,143 | |||
Greggs PLC (A) | 5,441 | 195,848 | |||
Gulf Keystone Petroleum, Ltd. | 7,420 | 18,959 | |||
Halfords Group PLC (A) | 15,547 | 92,751 | |||
Harbour Energy PLC (A) | 2,628 | 13,763 | |||
Hays PLC (A) | 77,290 | 169,738 | |||
Headlam Group PLC | 6,602 | 40,111 | |||
Helical PLC | 6,424 | 38,641 | |||
Helios Towers PLC (A) | 11,614 | 26,177 | |||
Henry Boot PLC | 5,301 | 18,917 | |||
Hill & Smith Holdings PLC | 4,214 | 87,144 | |||
Hilton Food Group PLC | 3,061 | 46,344 | |||
Hollywood Bowl Group PLC (A) | 8,153 | 27,076 | |||
Hunting PLC | 8,331 | 25,485 | |||
Hyve Group PLC (A) | 12,149 | 22,203 | |||
Ibstock PLC (D) | 19,043 | 56,252 | |||
IG Group Holdings PLC | 18,323 | 214,714 | |||
IMI PLC | 13,430 | 319,629 | |||
Impax Asset Management Group PLC | 2,421 | 37,505 | |||
Inchcape PLC | 19,909 | 211,882 | |||
Indivior PLC (A) | 36,002 | 77,032 | |||
IntegraFin Holdings PLC | 9,972 | 71,142 | |||
International Personal Finance PLC (A) | 12,526 | 23,131 | |||
iomart Group PLC | 2,265 | 8,394 | |||
IP Group PLC | 38,897 | 62,702 | |||
IQE PLC (A) | 9,568 | 6,315 | |||
J.D. Wetherspoon PLC (A) | 3,666 | 59,745 | |||
James Fisher & Sons PLC | 2,814 | 36,086 | |||
James Halstead PLC | 2,706 | 19,489 | |||
JET2 PLC (A) | 4,917 | 80,511 | |||
John Laing Group PLC (D) | 17,773 | 98,378 | |||
John Menzies PLC (A) | 7,323 | 31,625 | |||
John Wood Group PLC (A) | 29,391 | 89,541 | |||
Johnson Service Group PLC (A) | 14,257 | 34,559 | |||
Jupiter Fund Management PLC | 22,824 | 89,075 | |||
Just Group PLC (A) | 37,116 | 47,872 | |||
Kainos Group PLC | 4,099 | 83,643 | |||
Keller Group PLC | 4,206 | 46,530 | |||
Kier Group PLC (A) | 22,531 | 40,918 | |||
Kin & Carta PLC (A) | 3,492 | 12,744 | |||
Lancashire Holdings, Ltd. | 11,586 | 98,294 | |||
Learning Technologies Group PLC | 10,417 | 27,076 | |||
Lookers PLC (A) | 22,449 | 22,008 | |||
LSL Property Services PLC (A) | 6,404 | 38,200 | |||
Luceco PLC (D) | 1,922 | 11,049 | |||
M&C Saatchi PLC (A) | 253 | 559 | |||
Man Group PLC | 73,477 | 182,771 | |||
Marks & Spencer Group PLC (A) | 55,905 | 113,383 | |||
Marshalls PLC | 10,383 | 98,628 | |||
Marston's PLC (A) | 37,566 | 45,755 | |||
McBride PLC (A) | 14,770 | 18,584 | |||
Mears Group PLC (A) | 8,289 | 21,332 | |||
Meggitt PLC (A) | 21,288 | 135,988 | |||
Metro Bank PLC (A) | 674 | 934 | |||
Micro Focus International PLC | 8,470 | 64,132 | |||
Mitchells & Butlers PLC (A) | 16,776 | 64,664 | |||
Mitie Group PLC (A) | 68,528 | 64,523 | |||
MJ Gleeson PLC | 2,770 | 34,269 | |||
Moneysupermarket.com Group PLC | 27,587 | 97,936 | |||
Morgan Advanced Materials PLC | 14,263 | 69,706 | |||
Morgan Sindall Group PLC | 2,381 | 71,157 | |||
Mortgage Advice Bureau Holdings, Ltd. | 1,276 | 20,857 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
United Kingdom (continued) | |||||
MP Evans Group PLC | 203 | $ | 2,018 | ||
N. Brown Group PLC (A) | 9,633 | 7,618 | |||
National Express Group PLC (A) | 23,513 | 86,747 | |||
NCC Group PLC | 13,335 | 54,270 | |||
Next Fifteen Communications Group PLC (A) | 3,756 | 50,419 | |||
Ninety One PLC | 12,803 | 38,977 | |||
Norcros PLC | 6,666 | 30,346 | |||
Numis Corp. PLC | 2,926 | 14,373 | |||
On the Beach Group PLC (A)(D) | 5,451 | 24,151 | |||
OSB Group PLC | 14,757 | 94,787 | |||
Oxford Instruments PLC | 2,839 | 90,818 | |||
PageGroup PLC (A) | 14,252 | 110,353 | |||
Pan African Resources PLC | 85,815 | 20,477 | |||
Paragon Banking Group PLC | 13,704 | 96,673 | |||
PayPoint PLC | 2,581 | 20,219 | |||
Pendragon PLC (A) | 102,667 | 26,279 | |||
Petrofac, Ltd. (A) | 12,318 | 18,793 | |||
Pets at Home Group PLC | 24,400 | 154,235 | |||
Pharos Energy PLC (A) | 16,636 | 5,897 | |||
Photo-Me International PLC (A) | 18,684 | 18,409 | |||
Polar Capital Holdings PLC | 3,830 | 44,064 | |||
Porvair PLC | 2,468 | 19,929 | |||
Premier Foods PLC (A) | 41,106 | 62,381 | |||
Provident Financial PLC (A) | 7,268 | 23,334 | |||
Purplebricks Group PLC (A) | 7,294 | 8,205 | |||
PZ Cussons PLC | 13,141 | 44,544 | |||
QinetiQ Group PLC | 27,714 | 131,916 | |||
Quilter PLC (D) | 84,985 | 174,876 | |||
Rank Group PLC (A) | 7,303 | 16,965 | |||
Rathbone Brothers PLC | 2,988 | 74,928 | |||
Reach PLC | 28,863 | 109,613 | |||
Redcentric PLC | 5,876 | 11,713 | |||
Redde Northgate PLC | 8,929 | 49,321 | |||
Redrow PLC | 14,867 | 126,113 | |||
Renew Holdings PLC | 4,150 | 38,771 | |||
Renewi PLC (A) | 52,764 | 40,179 | |||
Renishaw PLC | 1,194 | 81,402 | |||
Ricardo PLC | 2,982 | 16,898 | |||
RM PLC | 8,752 | 28,726 | |||
Robert Walters PLC | 4,693 | 45,920 | |||
Rotork PLC | 41,331 | 194,933 | |||
Royal Mail PLC (A) | 44,161 | 353,104 | |||
RPS Group PLC (A) | 15,418 | 22,927 | |||
RWS Holdings PLC | 10,029 | 78,210 | |||
Sabre Insurance Group PLC (D) | 5,914 | 20,885 | |||
Saga PLC (A) | 2,378 | 13,108 | |||
Savills PLC | 7,351 | 117,348 | |||
Senior PLC (A) | 21,835 | 45,723 | |||
Serco Group PLC | 8,103 | 15,213 | |||
Severfield PLC | 11,941 | 13,238 | |||
SIG PLC (A) | 64,105 | 46,787 | |||
Smart Metering Systems PLC | 3,350 | 40,285 | |||
Softcat PLC | 6,128 | 150,609 | |||
Spectris PLC | 5,368 | 240,765 | |||
Speedy Hire PLC (A) | 24,369 | 24,276 | |||
Spire Healthcare Group PLC (A)(D) | 12,358 | 42,086 | |||
Spirent Communications PLC | 33,589 | 114,503 | |||
Sportech PLC (A) | 11,390 | 4,603 | |||
SSP Group PLC (A) | 36,801 | 135,792 | |||
St. Modwen Properties PLC | 11,275 | 86,793 | |||
Stagecoach Group PLC (A) | 27,597 | 31,363 | |||
SThree PLC | 8,144 | 52,051 | |||
Stock Spirits Group PLC | 6,082 | 22,011 | |||
Stolt-Nielsen, Ltd. | 2,414 | 35,289 |
The accompanying notes are an integral part of the financial statements. | 87 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
United Kingdom (continued) | |||||
Studio Retail Group PLC (A) | 8,139 | $ | 32,384 | ||
STV Group PLC | 2,712 | 12,767 | |||
Superdry PLC (A) | 3,110 | 18,495 | |||
Synthomer PLC | 17,828 | 121,337 | |||
Tate & Lyle PLC | 23,148 | 236,755 | |||
Tatton Asset Management PLC | 1,955 | 11,638 | |||
Ted Baker PLC (A) | 2,896 | 5,805 | |||
Telecom Plus PLC | 3,652 | 57,441 | |||
Telit Communications PLC (A) | 5,999 | 18,584 | |||
The Go-Ahead Group PLC (A) | 3,096 | 47,919 | |||
The Gym Group PLC (A)(D) | 3,234 | 12,586 | |||
The Restaurant Group PLC (A) | 30,769 | 54,586 | |||
The Vitec Group PLC | 2,842 | 55,061 | |||
Thomas Cook Group PLC (A)(C) | 58,171 | 0 | |||
TI Fluid Systems PLC (D) | 1,686 | 7,183 | |||
Topps Tiles PLC (A) | 15,591 | 15,378 | |||
TP Icap Group PLC | 45,423 | 122,885 | |||
Travis Perkins PLC (A) | 11,685 | 273,397 | |||
Treatt PLC | 1,433 | 23,188 | |||
Trifast PLC (A) | 7,237 | 14,146 | |||
TT Electronics PLC | 14,769 | 52,607 | |||
Tullow Oil PLC (A)(B) | 72,437 | 59,669 | |||
Tyman PLC | 1,546 | 9,619 | |||
U & I Group PLC (A) | 12,008 | 15,773 | |||
Ultra Electronics Holdings PLC | 3,309 | 104,879 | |||
Vectura Group PLC | 30,807 | 58,178 | |||
Vesuvius PLC | 12,719 | 93,109 | |||
Victrex PLC | 4,079 | 143,872 | |||
Virgin Money UK PLC (A) | 35,299 | 97,092 | |||
Vistry Group PLC | 11,609 | 189,004 | |||
Vivo Energy PLC (D) | 4,666 | 6,233 | |||
Volex PLC | 3,136 | 16,166 | |||
Volution Group PLC | 1,861 | 10,790 | |||
VP PLC | 637 | 8,091 | |||
Watches of Switzerland Group PLC (A)(D) | 4,075 | 47,121 | |||
Watkin Jones PLC | 6,905 | 20,571 | |||
WH Smith PLC (A) | 4,243 | 94,541 | |||
Wickes Group PLC (A) | 13,094 | 44,558 | |||
Wilmington PLC | 8,076 | 23,719 | |||
Wincanton PLC | 10,534 | 64,074 | |||
Xaar PLC (A) | 5,629 | 14,204 | |||
Young & Company's Brewery PLC, Class A (A) | 751 | 16,937 | |||
Zotefoams PLC | 1,549 | 9,961 | |||
17,039,752 | |||||
United States - 0.6% | |||||
Argonaut Gold, Inc. (A) | 12,559 | 30,091 | |||
Atlantic Sapphire ASA (A)(B) | 1,333 | 14,079 | |||
Burford Capital, Ltd. | 3,794 | 39,082 | |||
Diversified Energy Company PLC | 12,927 | 18,831 | |||
Energy Fuels, Inc. (A) | 730 | 4,411 | |||
Invesque, Inc. (A)(B) | 2,000 | 5,640 | |||
Ovintiv, Inc. | 3,120 | 98,337 | |||
Primo Water Corp. | 1,600 | 26,768 | |||
Primo Water Corp. (Toronto Stock Exchange) | 6,607 | 110,543 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
United States (continued) | |||||
PureTech Health PLC (A) | 9,879 | $ | 46,542 | ||
REC Silicon ASA (A) | 13,597 | 29,684 | |||
Reliance Worldwide Corp., Ltd. | 32,462 | 127,966 | |||
Samsonite International SA (A)(D) | 22,800 | 46,622 | |||
Sims, Ltd. | 9,104 | 113,207 | |||
Viemed Healthcare, Inc. (A) | 2,600 | 18,590 | |||
Vobile Group, Ltd. (A)(B) | 9,000 | 40,596 | |||
770,989 | |||||
TOTAL COMMON STOCKS (Cost $114,421,777) | $ | 126,913,852 | |||
PREFERRED SECURITIES - 0.3% | |||||
Germany - 0.3% | |||||
Biotest AG | 486 | 19,307 | |||
Draegerwerk AG & Company KGaA | 565 | 53,479 | |||
FUCHS PETROLUB SE | 2,535 | 123,364 | |||
Jungheinrich AG | 2,336 | 114,260 | |||
Sixt SE | 838 | 67,618 | |||
STO SE & Company KGaA | 124 | 27,077 | |||
Villeroy & Boch AG | 625 | 13,275 | |||
418,380 | |||||
TOTAL PREFERRED SECURITIES (Cost $290,628) | $ | 418,380 | |||
RIGHTS - 0.0% | |||||
Costa Group Holdings, Ltd. (Expiration Date: 7-20-21; Strike Price: AUD 3.00) (A) | 1,989 | 433 | |||
TOTAL RIGHTS (Cost $0) | $ | 433 | |||
SHORT-TERM INVESTMENTS - 1.6% | |||||
Short-term funds - 1.6% | |||||
John Hancock Collateral Trust, 0.0324% (E)(F) | 197,422 | 1,975,132 | |||
TOTAL SHORT-TERM INVESTMENTS (Cost $1,975,197) | $ | 1,975,132 | |||
Total Investments (International Small Company Trust) (Cost $116,687,602) - 100.3% | $ | 129,307,797 | |||
Other assets and liabilities, net - (0.3%) | (329,385) | ||||
TOTAL NET ASSETS - 100.0% | $ | 128,978,412 |
Currency Abbreviations | |
AUD | Australian Dollar |
Security Abbreviations and Legend | |
CVR | Contingent Value Right |
(A) | Non-income producing security. |
(B) | All or a portion of this security is on loan as of 6-30-21. |
(C) | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. Refer to Note 2 to the financial statements. |
(D) | 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. |
(E) | The rate shown is the annualized seven-day yield as of 6-30-21. |
(F) | Investment is an affiliate of the fund, the advisor and/or subadvisor. This security represents the investment of cash collateral received for securities lending. |
The accompanying notes are an integral part of the financial statements. | 88 |
Open contracts | Number of contracts | Position | Expiration date | Notional basis^ | Notional value^ | Unrealized appreciation (depreciation) |
Mini MSCI EAFE Index Futures | 7 | Long | Sep 2021 | $826,892 | $806,505 | $(20,387) |
$(20,387) |
Shares or Principal Amount | Value | ||||
AFFILIATED INVESTMENT COMPANIES (A) - 100.0% | |||||
Equity - 50.0% | |||||
Strategic Equity Allocation, Series NAV, JHVIT (MIM US) (B) | 25,293,976 | $ | 600,731,941 | ||
Fixed income - 50.0% | |||||
Select Bond, Series NAV, JHVIT (MIM US) (B) | 41,563,537 | 600,177,477 | |||
TOTAL AFFILIATED INVESTMENT COMPANIES (Cost $1,015,316,897) | $ | 1,200,909,418 | |||
Total Investments (Lifestyle Balanced Portfolio) (Cost $1,015,316,897) - 100.0% | $ | 1,200,909,418 | |||
Other assets and liabilities, net - (0.0%) | (72,108) | ||||
TOTAL NET ASSETS - 100.0% | $ | 1,200,837,310 |
Security Abbreviations and Legend | |
JHVIT | John Hancock Variable Insurance Trust |
MIM US | Manulife Investment Management (US) LLC |
(A) | The underlying portfolios' subadvisor is shown parenthetically. |
(B) | The subadvisor is an affiliate of the advisor. |
Shares or Principal Amount | Value | ||||
AFFILIATED INVESTMENT COMPANIES (A) - 100.0% | |||||
Equity - 20.0% | |||||
Strategic Equity Allocation, Series NAV, JHVIT (MIM US) (B) | 1,976,707 | $ | 46,946,802 | ||
Fixed income - 80.0% | |||||
Select Bond, Series NAV, JHVIT (MIM US) (B) | 13,014,924 | 187,935,500 | |||
TOTAL AFFILIATED INVESTMENT COMPANIES (Cost $216,921,550) | $ | 234,882,302 | |||
Total Investments (Lifestyle Conservative Portfolio) (Cost $216,921,550) - 100.0% | $ | 234,882,302 | |||
Other assets and liabilities, net - (0.0%) | (37,883) | ||||
TOTAL NET ASSETS - 100.0% | $ | 234,844,419 |
Security Abbreviations and Legend | |
JHVIT | John Hancock Variable Insurance Trust |
MIM US | Manulife Investment Management (US) LLC |
(A) | The underlying portfolios' subadvisor is shown parenthetically. |
(B) | The subadvisor is an affiliate of the advisor. |
Shares or Principal Amount | Value | ||||
AFFILIATED INVESTMENT COMPANIES (A) - 100.0% | |||||
Equity - 70.0% | |||||
Strategic Equity Allocation, Series NAV, JHVIT (MIM US) (B) | 189,836,764 | $ | 4,508,623,135 | ||
Fixed income - 30.0% | |||||
Select Bond, Series NAV, JHVIT (MIM US) (B) | 133,813,508 | 1,932,267,058 | |||
TOTAL AFFILIATED INVESTMENT COMPANIES (Cost $5,133,729,602) | $ | 6,440,890,193 | |||
Total Investments (Lifestyle Growth Portfolio) (Cost $5,133,729,602) - 100.0% | $ | 6,440,890,193 | |||
Other assets and liabilities, net - (0.0%) | (273,947) | ||||
TOTAL NET ASSETS - 100.0% | $ | 6,440,616,246 |
Security Abbreviations and Legend | |
JHVIT | John Hancock Variable Insurance Trust |
MIM US | Manulife Investment Management (US) LLC |
(A) | The underlying portfolios' subadvisor is shown parenthetically. |
(B) | The subadvisor is an affiliate of the advisor. |
Shares or Principal Amount | Value | ||||
AFFILIATED INVESTMENT COMPANIES (A) - 100.0% | |||||
Equity - 39.9% | |||||
Strategic Equity Allocation, Series NAV, JHVIT (MIM US) (B) | 6,138,183 | $ | 145,781,842 | ||
Fixed income - 60.1% | |||||
Select Bond, Series NAV, JHVIT (MIM US) (B) | 15,192,726 | 219,382,960 | |||
TOTAL AFFILIATED INVESTMENT COMPANIES (Cost $319,477,076) | $ | 365,164,802 | |||
Total Investments (Lifestyle Moderate Portfolio) (Cost $319,477,076) - 100.0% | $ | 365,164,802 | |||
Other assets and liabilities, net - (0.0%) | (42,556) | ||||
TOTAL NET ASSETS - 100.0% | $ | 365,122,246 |
Security Abbreviations and Legend | |
JHVIT | John Hancock Variable Insurance Trust |
MIM US | Manulife Investment Management (US) LLC |
(A) | The underlying portfolios' subadvisor is shown parenthetically. |
(B) | The subadvisor is an affiliate of the advisor. |
The accompanying notes are an integral part of the financial statements. | 89 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS – 94.1% | |||||
Communication services – 1.7% | |||||
Diversified telecommunication services – 0.2% | |||||
Iridium Communications, Inc. (A) | 69,509 | $ | 2,779,665 | ||
Entertainment – 0.2% | |||||
Cinemark Holdings, Inc. (A) | 64,373 | 1,412,987 | |||
World Wrestling Entertainment, Inc., Class A | 26,784 | 1,550,526 | |||
2,963,513 | |||||
Interactive media and services – 0.3% | |||||
TripAdvisor, Inc. (A) | 58,020 | 2,338,206 | |||
Yelp, Inc. (A) | 41,440 | 1,655,942 | |||
3,994,148 | |||||
Media – 0.9% | |||||
Cable One, Inc. | 3,214 | 6,147,771 | |||
John Wiley & Sons, Inc., Class A | 25,765 | 1,550,538 | |||
TEGNA, Inc. | 130,644 | 2,450,881 | |||
The New York Times Company, Class A | 85,946 | 3,742,948 | |||
13,892,138 | |||||
Wireless telecommunication services – 0.1% | |||||
Telephone & Data Systems, Inc. | 58,937 | 1,335,512 | |||
24,964,976 | |||||
Consumer discretionary – 14.0% | |||||
Auto components – 1.6% | |||||
Adient PLC (A) | 55,748 | 2,519,810 | |||
Dana, Inc. | 85,889 | 2,040,723 | |||
Fox Factory Holding Corp. (A) | 24,833 | 3,865,505 | |||
Gentex Corp. | 142,931 | 4,729,587 | |||
Lear Corp. | 32,384 | 5,676,268 | |||
The Goodyear Tire & Rubber Company (A) | 165,128 | 2,831,945 | |||
Visteon Corp. (A) | 16,547 | 2,001,194 | |||
23,665,032 | |||||
Automobiles – 0.5% | |||||
Harley-Davidson, Inc. | 90,933 | 4,166,550 | |||
Thor Industries, Inc. | 32,763 | 3,702,219 | |||
7,868,769 | |||||
Diversified consumer services – 1.0% | |||||
Adtalem Global Education, Inc. (A) | 29,247 | 1,042,363 | |||
Graham Holdings Company, Class B | 2,390 | 1,515,021 | |||
Grand Canyon Education, Inc. (A) | 27,425 | 2,467,427 | |||
H&R Block, Inc. | 107,363 | 2,520,883 | |||
Service Corp. International | 99,499 | 5,332,151 | |||
Strategic Education, Inc. | 14,587 | 1,109,487 | |||
WW International, Inc. (A) | 28,386 | 1,025,870 | |||
15,013,202 | |||||
Hotels, restaurants and leisure – 2.7% | |||||
Boyd Gaming Corp. (A) | 47,754 | 2,936,393 | |||
Choice Hotels International, Inc. | 17,097 | 2,032,149 | |||
Churchill Downs, Inc. | 20,516 | 4,067,502 | |||
Cracker Barrel Old Country Store, Inc. | 14,040 | 2,084,378 | |||
Jack in the Box, Inc. | 13,154 | 1,465,882 | |||
Marriott Vacations Worldwide Corp. (A) | 25,265 | 4,024,715 | |||
Papa John's International, Inc. | 19,575 | 2,044,413 | |||
Scientific Games Corp. (A) | 33,544 | 2,597,647 | |||
Six Flags Entertainment Corp. (A) | 44,973 | 1,946,431 | |||
Texas Roadhouse, Inc. | 38,795 | 3,732,079 | |||
The Wendy's Company | 104,793 | 2,454,252 | |||
Travel + Leisure Company | 50,999 | 3,031,891 | |||
Wingstop, Inc. | 17,597 | 2,773,815 | |||
Wyndham Hotels & Resorts, Inc. | 55,270 | 3,995,468 | |||
39,187,015 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Household durables – 1.4% | |||||
Helen of Troy, Ltd. (A) | 14,468 | $ | 3,300,440 | ||
KB Home | 52,586 | 2,141,302 | |||
Taylor Morrison Home Corp. (A) | 76,311 | 2,016,137 | |||
Tempur Sealy International, Inc. | 108,389 | 4,247,765 | |||
Toll Brothers, Inc. | 66,438 | 3,840,781 | |||
TopBuild Corp. (A) | 19,564 | 3,869,368 | |||
Tri Pointe Homes, Inc. (A) | 70,078 | 1,501,772 | |||
20,917,565 | |||||
Leisure products – 1.4% | |||||
Brunswick Corp. | 46,097 | 4,592,183 | |||
Callaway Golf Company (A) | 68,847 | 2,322,209 | |||
Mattel, Inc. (A) | 206,391 | 4,148,459 | |||
Polaris, Inc. | 34,066 | 4,665,679 | |||
YETI Holdings, Inc. (A) | 44,398 | 4,076,624 | |||
19,805,154 | |||||
Multiline retail – 0.7% | |||||
Kohl's Corp. | 92,452 | 5,095,030 | |||
Nordstrom, Inc. (A) | 64,419 | 2,355,803 | |||
Ollie's Bargain Outlet Holdings, Inc. (A) | 33,611 | 2,827,693 | |||
10,278,526 | |||||
Specialty retail – 3.0% | |||||
American Eagle Outfitters, Inc. | 89,323 | 3,352,292 | |||
AutoNation, Inc. (A) | 31,909 | 3,025,292 | |||
Dick's Sporting Goods, Inc. | 38,780 | 3,885,368 | |||
Five Below, Inc. (A) | 33,134 | 6,403,808 | |||
Foot Locker, Inc. | 61,116 | 3,766,579 | |||
Lithia Motors, Inc. | 17,609 | 6,051,157 | |||
Murphy USA, Inc. | 14,817 | 1,976,143 | |||
RH (A) | 9,956 | 6,760,124 | |||
Urban Outfitters, Inc. (A) | 40,684 | 1,676,994 | |||
Williams-Sonoma, Inc. | 45,088 | 7,198,299 | |||
44,096,056 | |||||
Textiles, apparel and luxury goods – 1.7% | |||||
Capri Holdings, Ltd. (A) | 89,549 | 5,121,307 | |||
Carter's, Inc. | 26,012 | 2,683,658 | |||
Columbia Sportswear Company | 18,090 | 1,779,332 | |||
Crocs, Inc. (A) | 38,600 | 4,497,672 | |||
Deckers Outdoor Corp. (A) | 16,459 | 6,321,408 | |||
Skechers USA, Inc., Class A (A) | 79,397 | 3,956,353 | |||
24,359,730 | |||||
205,191,049 | |||||
Consumer staples – 3.3% | |||||
Beverages – 0.4% | |||||
The Boston Beer Company, Inc., Class A (A) | 5,504 | 5,618,483 | |||
Food and staples retailing – 0.8% | |||||
BJ's Wholesale Club Holdings, Inc. (A) | 81,150 | 3,861,117 | |||
Casey's General Stores, Inc. | 21,864 | 4,255,609 | |||
Grocery Outlet Holding Corp. (A) | 51,538 | 1,786,307 | |||
Sprouts Farmers Market, Inc. (A) | 69,905 | 1,737,139 | |||
11,640,172 | |||||
Food products – 1.8% | |||||
Darling Ingredients, Inc. (A) | 96,558 | 6,517,665 | |||
Flowers Foods, Inc. | 116,516 | 2,819,687 | |||
Ingredion, Inc. | 39,633 | 3,586,787 | |||
Lancaster Colony Corp. | 11,573 | 2,239,491 | |||
Pilgrim's Pride Corp. (A) | 28,838 | 639,627 | |||
Post Holdings, Inc. (A) | 35,018 | 3,798,402 | |||
Sanderson Farms, Inc. | 11,761 | 2,210,715 | |||
The Hain Celestial Group, Inc. (A) | 48,388 | 1,941,327 | |||
Tootsie Roll Industries, Inc. (B) | 10,415 | 353,173 |
The accompanying notes are an integral part of the financial statements. | 90 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Food products (continued) | |||||
TreeHouse Foods, Inc. (A) | 33,269 | $ | 1,481,136 | ||
25,588,010 | |||||
Household products – 0.1% | |||||
Energizer Holdings, Inc. | 34,388 | 1,477,996 | |||
Personal products – 0.2% | |||||
Coty, Inc., Class A (A) | 167,739 | 1,566,682 | |||
Nu Skin Enterprises, Inc., Class A | 29,613 | 1,677,576 | |||
3,244,258 | |||||
47,568,919 | |||||
Energy – 2.0% | |||||
Energy equipment and services – 0.2% | |||||
ChampionX Corp. (A) | 110,804 | 2,842,123 | |||
Oil, gas and consumable fuels – 1.8% | |||||
Antero Midstream Corp. | 169,488 | 1,760,980 | |||
Cimarex Energy Company | 60,847 | 4,408,365 | |||
CNX Resources Corp. (A) | 130,346 | 1,780,526 | |||
EQT Corp. (A) | 165,163 | 3,676,528 | |||
Equitrans Midstream Corp. | 240,578 | 2,047,319 | |||
HollyFrontier Corp. | 88,437 | 2,909,577 | |||
Murphy Oil Corp. | 85,885 | 1,999,403 | |||
Targa Resources Corp. | 135,308 | 6,014,441 | |||
World Fuel Services Corp. | 37,420 | 1,187,337 | |||
25,784,476 | |||||
28,626,599 | |||||
Financials – 14.3% | |||||
Banks – 6.5% | |||||
Associated Banc-Corp. | 90,425 | 1,851,904 | |||
BancorpSouth Bank | 57,096 | 1,617,530 | |||
Bank of Hawaii Corp. | 23,903 | 2,013,111 | |||
Bank OZK | 71,535 | 3,015,916 | |||
Cathay General Bancorp | 44,317 | 1,744,317 | |||
CIT Group, Inc. | 58,623 | 3,024,361 | |||
Commerce Bancshares, Inc. | 62,331 | 4,647,399 | |||
Cullen/Frost Bankers, Inc. | 33,467 | 3,748,304 | |||
East West Bancorp, Inc. | 83,949 | 6,018,304 | |||
First Financial Bankshares, Inc. (B) | 84,199 | 4,136,697 | |||
First Horizon Corp. | 326,872 | 5,648,348 | |||
FNB Corp. | 188,999 | 2,330,358 | |||
Fulton Financial Corp. | 96,223 | 1,518,399 | |||
Glacier Bancorp, Inc. | 56,516 | 3,112,901 | |||
Hancock Whitney Corp. | 51,365 | 2,282,661 | |||
Home BancShares, Inc. | 89,743 | 2,214,857 | |||
International Bancshares Corp. | 32,994 | 1,416,762 | |||
PacWest Bancorp | 69,186 | 2,847,696 | |||
Pinnacle Financial Partners, Inc. | 45,030 | 3,975,699 | |||
Prosperity Bancshares, Inc. | 54,997 | 3,948,785 | |||
Signature Bank | 34,100 | 8,376,665 | |||
Sterling Bancorp | 113,972 | 2,825,366 | |||
Synovus Financial Corp. | 87,935 | 3,858,588 | |||
Texas Capital Bancshares, Inc. (A) | 29,932 | 1,900,383 | |||
Trustmark Corp. | 37,519 | 1,155,585 | |||
UMB Financial Corp. | 25,728 | 2,394,248 | |||
Umpqua Holdings Corp. | 130,555 | 2,408,740 | |||
United Bankshares, Inc. | 79,394 | 2,897,881 | |||
Valley National Bancorp | 240,186 | 3,225,698 | |||
Webster Financial Corp. | 53,507 | 2,854,063 | |||
Wintrust Financial Corp. | 33,754 | 2,552,815 | |||
95,564,341 | |||||
Capital markets – 2.4% | |||||
Affiliated Managers Group, Inc. | 24,639 | 3,799,580 | |||
Evercore, Inc., Class A | 24,232 | 3,411,139 | |||
FactSet Research Systems, Inc. | 22,399 | 7,517,328 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Capital markets (continued) | |||||
Federated Hermes, Inc. | 55,361 | $ | 1,877,292 | ||
Interactive Brokers Group, Inc., Class A | 47,830 | 3,143,866 | |||
Janus Henderson Group PLC | 100,970 | 3,918,646 | |||
Jefferies Financial Group, Inc. | 118,380 | 4,048,596 | |||
SEI Investments Company | 70,142 | 4,346,700 | |||
Stifel Financial Corp. | 62,188 | 4,033,514 | |||
36,096,661 | |||||
Consumer finance – 0.8% | |||||
FirstCash, Inc. | 24,278 | 1,855,810 | |||
LendingTree, Inc. (A) | 6,537 | 1,385,060 | |||
Navient Corp. | 106,228 | 2,053,387 | |||
PROG Holdings, Inc. (A) | 39,855 | 1,918,221 | |||
SLM Corp. | 191,060 | 4,000,796 | |||
11,213,274 | |||||
Insurance – 3.9% | |||||
Alleghany Corp. (A) | 8,241 | 5,497,324 | |||
American Financial Group, Inc. | 40,790 | 5,087,329 | |||
Brighthouse Financial, Inc. (A) | 50,769 | 2,312,020 | |||
Brown & Brown, Inc. | 138,432 | 7,356,276 | |||
CNO Financial Group, Inc. | 77,856 | 1,838,959 | |||
First American Financial Corp. | 64,940 | 4,049,009 | |||
Kemper Corp. | 35,916 | 2,654,192 | |||
Kinsale Capital Group, Inc. | 12,689 | 2,090,767 | |||
Mercury General Corp. | 15,728 | 1,021,534 | |||
Old Republic International Corp. | 167,715 | 4,177,781 | |||
Primerica, Inc. | 23,338 | 3,573,981 | |||
Reinsurance Group of America, Inc. | 40,231 | 4,586,334 | |||
RenaissanceRe Holdings, Ltd. | 29,374 | 4,371,439 | |||
RLI Corp. | 23,539 | 2,461,944 | |||
Selective Insurance Group, Inc. | 35,520 | 2,882,448 | |||
The Hanover Insurance Group, Inc. | 21,242 | 2,881,265 | |||
56,842,602 | |||||
Thrifts and mortgage finance – 0.7% | |||||
Essent Group, Ltd. | 66,780 | 3,001,761 | |||
MGIC Investment Corp. | 200,793 | 2,730,785 | |||
New York Community Bancorp, Inc. | 275,205 | 3,032,759 | |||
Washington Federal, Inc. | 42,846 | 1,361,646 | |||
10,126,951 | |||||
209,843,829 | |||||
Health care – 10.0% | |||||
Biotechnology – 1.7% | |||||
Arrowhead Pharmaceuticals, Inc. (A) | 61,593 | 5,101,132 | |||
Emergent BioSolutions, Inc. (A) | 26,953 | 1,697,769 | |||
Exelixis, Inc. (A) | 185,449 | 3,378,881 | |||
Halozyme Therapeutics, Inc. (A) | 79,203 | 3,596,608 | |||
Ligand Pharmaceuticals, Inc. (A) | 9,854 | 1,292,746 | |||
Neurocrine Biosciences, Inc. (A) | 55,948 | 5,444,859 | |||
United Therapeutics Corp. (A) | 26,508 | 4,755,800 | |||
25,267,795 | |||||
Health care equipment and supplies – 3.2% | |||||
Envista Holdings Corp. (A) | 95,141 | 4,111,043 | |||
Globus Medical, Inc., Class A (A) | 45,921 | 3,560,255 | |||
Haemonetics Corp. (A) | 30,152 | 2,009,329 | |||
Hill-Rom Holdings, Inc. | 39,332 | 4,467,722 | |||
ICU Medical, Inc. (A) | 11,678 | 2,403,332 | |||
Integra LifeSciences Holdings Corp. (A) | 42,027 | 2,867,922 | |||
LivaNova PLC (A) | 28,911 | 2,431,704 | |||
Masimo Corp. (A) | 29,943 | 7,259,680 | |||
Neogen Corp. (A) | 63,555 | 2,926,072 | |||
NuVasive, Inc. (A) | 30,564 | 2,071,628 | |||
Penumbra, Inc. (A) | 20,077 | 5,502,303 | |||
Quidel Corp. (A) | 22,914 | 2,935,742 |
The accompanying notes are an integral part of the financial statements. | 91 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Health care equipment and supplies (continued) | |||||
STAAR Surgical Company (A) | 27,750 | $ | 4,231,875 | ||
46,778,607 | |||||
Health care providers and services – 2.9% | |||||
Acadia Healthcare Company, Inc. (A) | 53,104 | 3,332,276 | |||
Amedisys, Inc. (A) | 19,275 | 4,721,026 | |||
Chemed Corp. | 9,439 | 4,478,806 | |||
Encompass Health Corp. | 58,905 | 4,596,357 | |||
HealthEquity, Inc. (A) | 49,339 | 3,970,803 | |||
LHC Group, Inc. (A) | 18,739 | 3,752,672 | |||
Molina Healthcare, Inc. (A) | 34,559 | 8,745,501 | |||
Patterson Companies, Inc. | 51,466 | 1,564,052 | |||
Progyny, Inc. (A) | 22,002 | 1,298,118 | |||
R1 RCM, Inc. (A) | 81,791 | 1,819,032 | |||
Tenet Healthcare Corp. (A) | 63,194 | 4,233,366 | |||
42,512,009 | |||||
Life sciences tools and services – 1.7% | |||||
Bio-Techne Corp. | 23,015 | 10,362,745 | |||
Medpace Holdings, Inc. (A) | 16,391 | 2,895,142 | |||
Repligen Corp. (A) | 30,216 | 6,031,718 | |||
Syneos Health, Inc. (A) | 59,921 | 5,362,330 | |||
24,651,935 | |||||
Pharmaceuticals – 0.5% | |||||
Jazz Pharmaceuticals PLC (A) | 35,563 | 6,317,411 | |||
Nektar Therapeutics (A) | 107,883 | 1,851,272 | |||
8,168,683 | |||||
147,379,029 | |||||
Industrials – 17.0% | |||||
Aerospace and defense – 1.0% | |||||
Axon Enterprise, Inc. (A) | 38,277 | 6,767,374 | |||
Curtiss-Wright Corp. | 24,225 | 2,876,961 | |||
Hexcel Corp. (A) | 49,573 | 3,093,355 | |||
Mercury Systems, Inc. (A) | 33,234 | 2,202,750 | |||
14,940,440 | |||||
Air freight and logistics – 0.6% | |||||
XPO Logistics, Inc. (A) | 60,156 | 8,415,223 | |||
Airlines – 0.2% | |||||
JetBlue Airways Corp. (A) | 187,372 | 3,144,102 | |||
Building products – 1.9% | |||||
Builders FirstSource, Inc. (A) | 122,573 | 5,228,964 | |||
Lennox International, Inc. | 20,343 | 7,136,324 | |||
Owens Corning | 61,816 | 6,051,786 | |||
Simpson Manufacturing Company, Inc. | 25,701 | 2,838,418 | |||
Trex Company, Inc. (A) | 68,266 | 6,977,468 | |||
28,232,960 | |||||
Commercial services and supplies – 1.7% | |||||
Clean Harbors, Inc. (A) | 29,706 | 2,766,817 | |||
Healthcare Services Group, Inc. | 44,214 | 1,395,836 | |||
Herman Miller, Inc. | 34,915 | 1,645,893 | |||
IAA, Inc. (A) | 79,742 | 4,349,129 | |||
KAR Auction Services, Inc. (A) | 73,828 | 1,295,681 | |||
MSA Safety, Inc. | 21,555 | 3,569,077 | |||
Stericycle, Inc. (A) | 54,300 | 3,885,165 | |||
Tetra Tech, Inc. | 32,050 | 3,911,382 | |||
The Brink's Company | 29,442 | 2,262,323 | |||
25,081,303 | |||||
Construction and engineering – 1.3% | |||||
AECOM (A) | 86,629 | 5,485,348 | |||
Dycom Industries, Inc. (A) | 18,214 | 1,357,489 | |||
EMCOR Group, Inc. | 32,284 | 3,977,066 | |||
Fluor Corp. (A) | 74,439 | 1,317,570 | |||
MasTec, Inc. (A) | 33,420 | 3,545,862 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Construction and engineering (continued) | |||||
Valmont Industries, Inc. | 12,574 | $ | 2,968,093 | ||
18,651,428 | |||||
Electrical equipment – 1.6% | |||||
Acuity Brands, Inc. | 21,129 | 3,951,757 | |||
EnerSys | 25,346 | 2,477,065 | |||
Hubbell, Inc. | 32,142 | 6,005,411 | |||
nVent Electric PLC | 99,225 | 3,099,789 | |||
Regal Beloit Corp. | 24,043 | 3,209,981 | |||
Sunrun, Inc. (A) | 95,335 | 5,317,786 | |||
24,061,789 | |||||
Industrial conglomerates – 0.4% | |||||
Carlisle Companies, Inc. | 30,885 | 5,910,771 | |||
Machinery – 5.0% | |||||
AGCO Corp. | 36,563 | 4,767,084 | |||
Colfax Corp. (A) | 69,809 | 3,197,950 | |||
Crane Company | 29,379 | 2,713,738 | |||
Donaldson Company, Inc. | 74,635 | 4,741,562 | |||
Flowserve Corp. | 77,115 | 3,109,277 | |||
Graco, Inc. | 100,264 | 7,589,985 | |||
ITT, Inc. | 50,950 | 4,666,511 | |||
Kennametal, Inc. | 49,470 | 1,776,962 | |||
Lincoln Electric Holdings, Inc. | 35,232 | 4,640,407 | |||
Nordson Corp. | 31,979 | 7,019,710 | |||
Oshkosh Corp. | 40,605 | 5,061,007 | |||
Terex Corp. | 41,305 | 1,966,944 | |||
The Middleby Corp. (A) | 32,921 | 5,703,892 | |||
The Timken Company | 40,467 | 3,261,236 | |||
The Toro Company | 63,355 | 6,961,447 | |||
Trinity Industries, Inc. | 47,878 | 1,287,439 | |||
Woodward, Inc. | 34,695 | 4,263,322 | |||
72,728,473 | |||||
Marine – 0.1% | |||||
Kirby Corp. (A) | 35,568 | 2,156,844 | |||
Professional services – 1.5% | |||||
ASGN, Inc. (A) | 31,482 | 3,051,550 | |||
CACI International, Inc., Class A (A) | 13,936 | 3,555,352 | |||
FTI Consulting, Inc. (A) | 20,251 | 2,766,489 | |||
Insperity, Inc. | 21,284 | 1,923,435 | |||
KBR, Inc. | 83,643 | 3,190,980 | |||
ManpowerGroup, Inc. | 32,266 | 3,836,750 | |||
Science Applications International Corp. | 34,303 | 3,009,402 | |||
21,333,958 | |||||
Road and rail – 0.9% | |||||
Avis Budget Group, Inc. (A) | 30,591 | 2,382,733 | |||
Knight-Swift Transportation Holdings, Inc. | 72,477 | 3,294,804 | |||
Landstar System, Inc. | 22,729 | 3,591,637 | |||
Ryder System, Inc. | 31,878 | 2,369,492 | |||
Werner Enterprises, Inc. | 33,760 | 1,502,995 | |||
13,141,661 | |||||
Trading companies and distributors – 0.8% | |||||
GATX Corp. | 20,948 | 1,853,270 | |||
MSC Industrial Direct Company, Inc., Class A | 27,809 | 2,495,302 | |||
Univar Solutions, Inc. (A) | 100,354 | 2,446,631 | |||
Watsco, Inc. | 19,477 | 5,582,887 | |||
12,378,090 | |||||
250,177,042 | |||||
Information technology – 13.6% | |||||
Communications equipment – 0.8% | |||||
Ciena Corp. (A) | 91,700 | 5,216,813 | |||
Lumentum Holdings, Inc. (A) | 44,914 | 3,684,295 | |||
NetScout Systems, Inc. (A) | 43,644 | 1,245,600 |
The accompanying notes are an integral part of the financial statements. | 92 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Communications equipment (continued) | |||||
ViaSat, Inc. (A) | 40,276 | $ | 2,007,356 | ||
12,154,064 | |||||
Electronic equipment, instruments and components – 3.1% | |||||
Arrow Electronics, Inc. (A) | 43,889 | 4,995,885 | |||
Avnet, Inc. | 58,881 | 2,359,950 | |||
Belden, Inc. | 26,475 | 1,338,841 | |||
Cognex Corp. | 104,509 | 8,783,981 | |||
Coherent, Inc. (A) | 14,516 | 3,837,159 | |||
II-VI, Inc. (A) | 62,066 | 4,505,371 | |||
Jabil, Inc. | 79,247 | 4,605,836 | |||
Littelfuse, Inc. | 14,531 | 3,702,353 | |||
National Instruments Corp. | 77,879 | 3,292,724 | |||
SYNNEX Corp. | 24,547 | 2,988,843 | |||
Vishay Intertechnology, Inc. | 78,533 | 1,770,919 | |||
Vontier Corp. | 99,887 | 3,254,318 | |||
45,436,180 | |||||
IT services – 1.6% | |||||
Alliance Data Systems Corp. | 29,425 | 3,065,791 | |||
Concentrix Corp. (A) | 24,642 | 3,962,434 | |||
Genpact, Ltd. | 103,087 | 4,683,242 | |||
LiveRamp Holdings, Inc. (A) | 40,484 | 1,896,675 | |||
MAXIMUS, Inc. | 36,377 | 3,200,085 | |||
Sabre Corp. (A) | 189,045 | 2,359,282 | |||
WEX, Inc. (A) | 26,476 | 5,133,696 | |||
24,301,205 | |||||
Semiconductors and semiconductor equipment – 3.9% | |||||
Amkor Technology, Inc. | 63,579 | 1,504,915 | |||
Brooks Automation, Inc. | 43,966 | 4,189,080 | |||
Cirrus Logic, Inc. (A) | 34,041 | 2,897,570 | |||
CMC Materials, Inc. | 17,311 | 2,609,460 | |||
Cree, Inc. (A) | 68,331 | 6,691,655 | |||
First Solar, Inc. (A) | 50,329 | 4,555,278 | |||
Lattice Semiconductor Corp. (A) | 80,806 | 4,539,681 | |||
MKS Instruments, Inc. | 32,758 | 5,829,286 | |||
Semtech Corp. (A) | 38,420 | 2,643,296 | |||
Silicon Laboratories, Inc. (A) | 26,481 | 4,058,213 | |||
SolarEdge Technologies, Inc. (A) | 30,757 | 8,500,312 | |||
Synaptics, Inc. (A) | 20,831 | 3,240,887 | |||
Universal Display Corp. | 25,385 | 5,643,847 | |||
56,903,480 | |||||
Software – 3.8% | |||||
ACI Worldwide, Inc. (A) | 69,907 | 2,596,346 | |||
Aspen Technology, Inc. (A) | 40,248 | 5,535,710 | |||
Blackbaud, Inc. (A) | 28,889 | 2,212,031 | |||
CDK Global, Inc. | 72,061 | 3,580,711 | |||
Ceridian HCM Holding, Inc. (A) | 77,715 | 7,454,423 | |||
CommVault Systems, Inc. (A) | 27,236 | 2,129,038 | |||
Envestnet, Inc. (A) | 32,205 | 2,443,071 | |||
Fair Isaac Corp. (A) | 17,029 | 8,560,138 | |||
j2 Global, Inc. (A) | 25,111 | 3,454,018 | |||
Manhattan Associates, Inc. (A) | 37,646 | 5,452,647 | |||
Paylocity Holding Corp. (A) | 22,244 | 4,244,155 | |||
Qualys, Inc. (A) | 19,920 | 2,005,745 | |||
Sailpoint Technologies Holdings, Inc. (A) | 54,634 | 2,790,158 | |||
Teradata Corp. (A) | 64,857 | 3,240,904 | |||
55,699,095 | |||||
Technology hardware, storage and peripherals – 0.4% | |||||
NCR Corp. (A) | 77,461 | 3,532,996 | |||
Xerox Holdings Corp. | 95,412 | 2,241,228 | |||
5,774,224 | |||||
200,268,248 | |||||
Materials – 6.0% |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Chemicals – 2.5% | |||||
Ashland Global Holdings, Inc. | 32,332 | $ | 2,829,050 | ||
Avient Corp. | 54,026 | 2,655,918 | |||
Cabot Corp. | 33,514 | 1,907,952 | |||
Ingevity Corp. (A) | 23,687 | 1,927,174 | |||
Minerals Technologies, Inc. | 19,960 | 1,570,253 | |||
NewMarket Corp. | 4,333 | 1,395,139 | |||
Olin Corp. | 84,790 | 3,922,385 | |||
RPM International, Inc. | 76,639 | 6,796,347 | |||
Sensient Technologies Corp. | 25,020 | 2,165,731 | |||
The Chemours Company | 97,951 | 3,408,695 | |||
The Scotts Miracle-Gro Company | 24,063 | 4,618,171 | |||
Valvoline, Inc. | 107,154 | 3,478,219 | |||
36,675,034 | |||||
Construction materials – 0.2% | |||||
Eagle Materials, Inc. | 25,079 | 3,563,977 | |||
Containers and packaging – 0.8% | |||||
AptarGroup, Inc. | 38,887 | 5,476,845 | |||
Greif, Inc., Class A | 15,696 | 950,393 | |||
Silgan Holdings, Inc. | 46,384 | 1,924,936 | |||
Sonoco Products Company | 59,539 | 3,983,159 | |||
12,335,333 | |||||
Metals and mining – 2.2% | |||||
Cleveland-Cliffs, Inc. (A)(B) | 271,883 | 5,861,797 | |||
Commercial Metals Company | 71,313 | 2,190,735 | |||
Compass Minerals International, Inc. | 20,120 | 1,192,311 | |||
Reliance Steel & Aluminum Company | 37,700 | 5,688,930 | |||
Royal Gold, Inc. | 38,823 | 4,429,704 | |||
Steel Dynamics, Inc. | 118,741 | 7,076,964 | |||
United States Steel Corp. | 159,574 | 3,829,776 | |||
Worthington Industries, Inc. | 20,696 | 1,266,181 | |||
31,536,398 | |||||
Paper and forest products – 0.3% | |||||
Louisiana-Pacific Corp. | 60,509 | 3,648,088 | |||
87,758,830 | |||||
Real estate – 9.1% | |||||
Equity real estate investment trusts – 8.7% | |||||
American Campus Communities, Inc. | 81,583 | 3,811,558 | |||
Apartment Income REIT Corp. | 92,803 | 4,401,646 | |||
Brixmor Property Group, Inc. | 175,726 | 4,022,368 | |||
Camden Property Trust | 57,805 | 7,668,989 | |||
CoreSite Realty Corp. | 25,437 | 3,423,820 | |||
Corporate Office Properties Trust | 66,470 | 1,860,495 | |||
Cousins Properties, Inc. | 87,967 | 3,235,426 | |||
CyrusOne, Inc. | 72,512 | 5,186,058 | |||
Douglas Emmett, Inc. | 97,606 | 3,281,514 | |||
EastGroup Properties, Inc. | 23,683 | 3,894,669 | |||
EPR Properties (A) | 44,245 | 2,330,827 | |||
First Industrial Realty Trust, Inc. | 76,412 | 3,990,999 | |||
Healthcare Realty Trust, Inc. | 83,828 | 2,531,606 | |||
Highwoods Properties, Inc. | 61,576 | 2,781,388 | |||
Hudson Pacific Properties, Inc. | 89,326 | 2,485,049 | |||
JBG SMITH Properties | 65,365 | 2,059,651 | |||
Kilroy Realty Corp. | 62,708 | 4,366,985 | |||
Lamar Advertising Company, Class A | 51,299 | 5,356,642 | |||
Life Storage, Inc. | 45,480 | 4,882,278 | |||
Medical Properties Trust, Inc. | 348,072 | 6,996,247 | |||
National Retail Properties, Inc. | 103,901 | 4,870,879 | |||
National Storage Affiliates Trust | 40,799 | 2,062,797 | |||
Omega Healthcare Investors, Inc. | 139,276 | 5,054,326 | |||
Park Hotels & Resorts, Inc. (A) | 139,945 | 2,884,266 | |||
Pebblebrook Hotel Trust | 77,748 | 1,830,965 | |||
Physicians Realty Trust | 127,506 | 2,355,036 | |||
PotlatchDeltic Corp. | 39,673 | 2,108,620 |
The accompanying notes are an integral part of the financial statements. | 93 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Equity real estate investment trusts (continued) | |||||
PS Business Parks, Inc. | 11,892 | $ | 1,760,967 | ||
Rayonier, Inc. | 82,272 | 2,956,033 | |||
Rexford Industrial Realty, Inc. | 79,332 | 4,517,957 | |||
Sabra Health Care REIT, Inc. | 127,778 | 2,325,560 | |||
SL Green Realty Corp. | 41,041 | 3,283,280 | |||
Spirit Realty Capital, Inc. | 68,030 | 3,254,555 | |||
STORE Capital Corp. | 144,060 | 4,971,511 | |||
The Macerich Company | 98,989 | 1,806,549 | |||
Urban Edge Properties | 65,096 | 1,243,334 | |||
Weingarten Realty Investors | 70,993 | 2,276,746 | |||
128,131,596 | |||||
Real estate management and development – 0.4% | |||||
Jones Lang LaSalle, Inc. (A) | 30,361 | 5,934,361 | |||
134,065,957 | |||||
Utilities – 3.1% | |||||
Electric utilities – 1.0% | |||||
ALLETE, Inc. | 30,883 | 2,161,192 | |||
Hawaiian Electric Industries, Inc. | 64,609 | 2,731,669 | |||
IDACORP, Inc. | 29,893 | 2,914,568 | |||
OGE Energy Corp. | 118,455 | 3,986,011 | |||
PNM Resources, Inc. | 50,793 | 2,477,175 | |||
14,270,615 | |||||
Gas utilities – 1.2% | |||||
National Fuel Gas Company | 53,952 | 2,818,992 | |||
New Jersey Resources Corp. | 57,010 | 2,255,886 | |||
ONE Gas, Inc. | 31,508 | 2,335,373 | |||
Southwest Gas Holdings, Inc. | 34,323 | 2,271,839 | |||
Spire, Inc. | 30,582 | 2,210,161 | |||
UGI Corp. | 123,501 | 5,719,331 | |||
17,611,582 | |||||
Multi-utilities – 0.5% | |||||
Black Hills Corp. | 37,205 | 2,441,764 | |||
MDU Resources Group, Inc. | 119,059 | 3,731,309 | |||
NorthWestern Corp. | 29,987 | 1,805,817 | |||
7,978,890 | |||||
Water utilities – 0.4% | |||||
Essential Utilities, Inc. | 132,279 | 6,045,150 | |||
45,906,237 | |||||
TOTAL COMMON STOCKS (Cost $993,572,945) | $ | 1,381,750,715 |
Shares or Principal Amount | Value | ||||
SHORT-TERM INVESTMENTS – 5.6% | |||||
U.S. Government – 1.6% | |||||
U.S. Cash Management Bill 0.013%, 09/21/2021 * | $ | 23,000,000 | $ | 22,997,485 | |
U.S. Government Agency – 3.2% | |||||
Federal Home Loan Bank Discount Note 0.003%, 07/06/2021 * | 47,000,000 | 46,999,804 | |||
Short-term funds – 0.4% | |||||
John Hancock Collateral Trust, 0.0324% (C)(D) | 609,581 | 6,098,615 | |||
Repurchase agreement – 0.4% | |||||
Repurchase Agreement with State Street Corp. dated 6-30-21 at 0.000% to be repurchased at $6,487,000 on 7-1-21, collateralized by $6,837,000 U.S. Treasury Notes, 0.500% due 5-31-27 (valued at $6,616,800) | $ | 6,487,000 | 6,487,000 | ||
TOTAL SHORT-TERM INVESTMENTS (Cost $82,584,920) | $ | 82,582,904 | |||
Total Investments (Mid Cap Index Trust) (Cost $1,076,157,865) – 99.7% | $ | 1,464,333,619 | |||
Other assets and liabilities, net – 0.3% | 4,451,737 | ||||
TOTAL NET ASSETS – 100.0% | $ | 1,468,785,356 |
Security Abbreviations and Legend | |
(A) | Non-income producing security. |
(B) | All or a portion of this security is on loan as of 6-30-21. |
(C) | The rate shown is the annualized seven-day yield as of 6-30-21. |
(D) | Investment is an affiliate of the fund, the advisor and/or subadvisor. This security represents the investment of cash collateral received for securities lending. |
* | 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 Mid 400 Index E-Mini Futures | 306 | Long | Sep 2021 | $83,364,510 | $82,387,440 | $(977,070) |
$(977,070) |
Shares or Principal Amount | Value | ||||
COMMON STOCKS – 97.8% | |||||
Communication services – 8.6% |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Entertainment – 3.8% | |||||
IronSource, Ltd., Class A (A) | 664,068 | $ | 6,972,714 |
The accompanying notes are an integral part of the financial statements. | 94 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Entertainment (continued) | |||||
Spotify Technology SA (A) | 109,007 | $ | 30,041,239 | ||
37,013,953 | |||||
Interactive media and services – 4.8% | |||||
Match Group, Inc. (A) | 159,716 | 25,754,205 | |||
Snap, Inc., Class A (A) | 303,235 | 20,662,433 | |||
46,416,638 | |||||
83,430,591 | |||||
Consumer discretionary – 32.1% | |||||
Automobiles – 1.7% | |||||
Thor Industries, Inc. | 142,691 | 16,124,083 | |||
Diversified consumer services – 3.6% | |||||
2U, Inc. (A) | 284,284 | 11,846,114 | |||
Chegg, Inc. (A) | 284,018 | 23,604,736 | |||
35,450,850 | |||||
Hotels, restaurants and leisure – 7.9% | |||||
Chipotle Mexican Grill, Inc. (A) | 20,372 | 31,583,526 | |||
DraftKings, Inc., Class A (A) | 477,352 | 24,903,454 | |||
Penn National Gaming, Inc. (A) | 117,824 | 9,012,358 | |||
Planet Fitness, Inc., Class A (A) | 152,165 | 11,450,416 | |||
76,949,754 | |||||
Household durables – 1.9% | |||||
Lennar Corp., A Shares | 184,111 | 18,291,428 | |||
Internet and direct marketing retail – 2.9% | |||||
Coupang, Inc., A Shares (A)(B) | 707,162 | 28,723,276 | |||
Leisure products – 1.5% | |||||
Polaris, Inc. | 104,151 | 14,264,521 | |||
Multiline retail – 2.4% | |||||
Ollie's Bargain Outlet Holdings, Inc. (A) | 275,775 | 23,200,951 | |||
Specialty retail – 6.0% | |||||
Five Below, Inc. (A) | 114,872 | 22,201,311 | |||
Floor & Decor Holdings, Inc., Class A (A) | 209,674 | 22,162,542 | |||
Ross Stores, Inc. | 111,238 | 13,793,512 | |||
58,157,365 | |||||
Textiles, apparel and luxury goods – 4.2% | |||||
Lululemon Athletica, Inc. (A) | 112,872 | 41,194,892 | |||
312,357,120 | |||||
Consumer staples – 2.5% | |||||
Beverages – 2.2% | |||||
The Boston Beer Company, Inc., Class A (A) | 21,298 | 21,740,998 | |||
Household products – 0.3% | |||||
The Honest Company, Inc. (A)(B) | 159,725 | 2,452,671 | |||
24,193,669 | |||||
Financials – 4.4% | |||||
Capital markets – 4.4% | |||||
Ares Management Corp., Class A | 195,040 | 12,402,594 | |||
BowX Acquisition Corp., Class A (A)(C) | 414,961 | 4,772,052 | |||
Soaring Eagle Acquisition Corp. (A)(C) | 499,400 | 5,288,646 | |||
Tradeweb Markets, Inc., Class A | 246,674 | 20,858,753 | |||
43,322,045 | |||||
Health care – 20.9% | |||||
Biotechnology – 3.1% | |||||
Apellis Pharmaceuticals, Inc. (A) | 88,981 | 5,623,599 | |||
Ascendis Pharma A/S, ADR (A) | 38,420 | 5,054,151 | |||
Exact Sciences Corp. (A) | 105,833 | 13,156,100 | |||
Kodiak Sciences, Inc. (A) | 70,109 | 6,520,137 | |||
30,353,987 | |||||
Health care equipment and supplies – 10.5% | |||||
ABIOMED, Inc. (A) | 60,362 | 18,839,584 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Health care equipment and supplies (continued) | |||||
Align Technology, Inc. (A) | 67,017 | $ | 40,947,387 | ||
DexCom, Inc. (A) | 65,236 | 27,855,772 | |||
Insulet Corp. (A) | 53,282 | 14,626,442 | |||
102,269,185 | |||||
Health care providers and services – 1.8% | |||||
Oak Street Health, Inc. (A) | 300,561 | 17,603,858 | |||
Health care technology – 3.0% | |||||
GoodRx Holdings, Inc., Class A (A)(C) | 448,955 | 16,166,870 | |||
Multiplan Corp. (A)(C) | 1,331,324 | 12,674,204 | |||
28,841,074 | |||||
Life sciences tools and services – 1.3% | |||||
Agilent Technologies, Inc. | 82,792 | 12,237,486 | |||
Pharmaceuticals – 1.2% | |||||
Elanco Animal Health, Inc. (A) | 280,582 | 9,733,390 | |||
Reata Pharmaceuticals, Inc., Class A (A) | 16,478 | 2,332,131 | |||
12,065,521 | |||||
203,371,111 | |||||
Industrials – 7.7% | |||||
Commercial services and supplies – 1.6% | |||||
Copart, Inc. (A) | 116,049 | 15,298,740 | |||
Machinery – 1.3% | |||||
The Middleby Corp. (A) | 76,893 | 13,322,481 | |||
Professional services – 4.8% | |||||
CoStar Group, Inc. (A) | 350,810 | 29,054,084 | |||
Leidos Holdings, Inc. | 174,951 | 17,687,546 | |||
46,741,630 | |||||
75,362,851 | |||||
Information technology – 21.6% | |||||
Communications equipment – 1.6% | |||||
Arista Networks, Inc. (A) | 42,034 | 15,229,339 | |||
IT services – 1.7% | |||||
MongoDB, Inc. (A) | 46,006 | 16,632,089 | |||
Semiconductors and semiconductor equipment – 5.3% | |||||
Marvell Technology, Inc. | 248,473 | 14,493,430 | |||
MKS Instruments, Inc. | 62,549 | 11,130,595 | |||
SolarEdge Technologies, Inc. (A) | 47,450 | 13,113,757 | |||
Universal Display Corp. | 57,828 | 12,856,899 | |||
51,594,681 | |||||
Software – 13.0% | |||||
Fair Isaac Corp. (A) | 52,302 | 26,291,169 | |||
Guidewire Software, Inc. (A) | 171,064 | 19,282,334 | |||
MarkLogic Corp. (A)(D) | 253,035 | 70,850 | |||
Paycom Software, Inc. (A) | 60,925 | 22,144,410 | |||
Payoneer, Inc. (A)(B) | 93,200 | 894,790 | |||
RingCentral, Inc., Class A (A) | 84,074 | 24,430,223 | |||
Varonis Systems, Inc. (A) | 271,007 | 15,615,423 | |||
Workday, Inc., Class A (A) | 74,970 | 17,898,338 | |||
126,627,537 | |||||
210,083,646 | |||||
TOTAL COMMON STOCKS (Cost $700,640,209) | $ | 952,121,033 | |||
PREFERRED SECURITIES – 0.8% | |||||
Consumer discretionary – 0.0% | |||||
Internet and direct marketing retail – 0.0% | |||||
One Kings Lane, Inc. (A)(D) | 302,694 | 48,431 | |||
Information technology – 0.7% | |||||
Software – 0.7% | |||||
Essence Group Holdings Corp. (A)(B)(D) | 1,663,188 | 5,056,092 | |||
Lookout, Inc., Series F (A)(B)(D) | 211,003 | 1,782,975 | |||
6,839,067 |
The accompanying notes are an integral part of the financial statements. | 95 |
Shares or Principal Amount | Value | ||||
PREFERRED SECURITIES (continued) | |||||
Real estate – 0.1% | |||||
Real estate management and development – 0.1% | |||||
WeWork Companies, Inc., Series D1 (A)(B)(D) | 44,123 | $ | 378,077 | ||
WeWork Companies, Inc., Series D2 (A)(B)(D) | 81,039 | 694,400 | |||
1,072,477 | |||||
TOTAL PREFERRED SECURITIES (Cost $7,951,358) | $ | 7,959,975 | |||
SHORT-TERM INVESTMENTS – 4.5% | |||||
Short-term funds – 3.1% | |||||
John Hancock Collateral Trust, 0.0324% (E)(F) | 2,996,018 | 29,973,961 | |||
Repurchase agreement – 1.4% | |||||
Deutsche Bank Tri-Party Repurchase Agreement dated 6-30-21 at 0.050% to be repurchased at $13,800,019 on 7-1-21, collateralized by $13,567,217 Federal National Mortgage Association, 2.500% due 12-1-50 (valued at $14,076,000) | $ | 13,800,000 | 13,800,000 | ||
TOTAL SHORT-TERM INVESTMENTS (Cost $43,774,462) | $ | 43,773,961 | |||
Total Investments (Mid Cap Stock Trust) (Cost $752,366,029) – 103.1% | $ | 1,003,854,969 | |||
Other assets and liabilities, net – (3.1%) | (30,378,760) | ||||
TOTAL NET ASSETS – 100.0% | $ | 973,476,209 |
Security Abbreviations and Legend | |
ADR | American Depositary Receipt |
(A) | Non-income producing security. |
(B) | Restricted security as to resale. For more information on this security refer to the Notes to financial statements. |
(C) | All or a portion of this security is on loan as of 6-30-21. |
(D) | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. Refer to Note 2 to the financial statements. |
(E) | The rate shown is the annualized seven-day yield as of 6-30-21. |
(F) | Investment is an affiliate of the fund, the advisor and/or subadvisor. This security represents the investment of cash collateral received for securities lending. |
Shares or Principal Amount | Value | ||||
COMMON STOCKS – 92.5% | |||||
Communication services – 4.7% | |||||
Entertainment – 0.2% | |||||
Madison Square Garden Sports Corp. (A) | 7,310 | $ | 1,261,487 | ||
Media – 4.3% | |||||
DISH Network Corp., Class A (A) | 92,816 | 3,879,709 | |||
Fox Corp., Class A | 106,353 | 3,948,887 | |||
News Corp., Class A | 562,162 | 14,486,915 | |||
Scholastic Corp. | 114,471 | 4,337,306 | |||
ViacomCBS, Inc., Class B | 49,362 | 2,231,162 | |||
28,883,979 | |||||
Wireless telecommunication services – 0.2% | |||||
Telephone & Data Systems, Inc. | 72,703 | 1,647,450 | |||
31,792,916 | |||||
Consumer discretionary – 2.7% |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Diversified consumer services – 0.5% | |||||
Strategic Education, Inc. | 44,075 | $ | 3,352,345 | ||
Hotels, restaurants and leisure – 0.5% | |||||
Compass Group PLC (A) | 145,662 | 3,068,794 | |||
Household durables – 0.3% | |||||
Mohawk Industries, Inc. (A) | 9,581 | 1,841,372 | |||
Multiline retail – 0.5% | |||||
Nordstrom, Inc. (A) | 93,889 | 3,433,521 | |||
Textiles, apparel and luxury goods – 0.9% | |||||
Ralph Lauren Corp. | 53,041 | 6,248,760 | |||
17,944,792 | |||||
Consumer staples – 8.4% | |||||
Beverages – 0.7% | |||||
Carlsberg A/S, Class B | 23,386 | 4,364,200 | |||
Food and staples retailing – 1.4% | |||||
Sysco Corp. | 122,711 | 9,540,780 | |||
Food products – 5.8% | |||||
Bunge, Ltd. | 160,551 | 12,547,061 | |||
Campbell Soup Company | 141,276 | 6,440,773 | |||
Flowers Foods, Inc. | 563,284 | 13,631,473 | |||
The Kraft Heinz Company | 147,059 | 5,997,066 | |||
38,616,373 | |||||
Household products – 0.5% | |||||
Kimberly-Clark Corp. | 26,621 | 3,561,357 | |||
56,082,710 | |||||
Energy – 12.5% | |||||
Energy equipment and services – 2.6% | |||||
Frank's International NV (A)(B) | 879,923 | 2,666,167 | |||
NOV, Inc. (A) | 242,444 | 3,714,242 | |||
SEACOR Marine Holdings, Inc. (A) | 98,958 | 436,405 | |||
TechnipFMC PLC (A) | 902,858 | 8,170,865 | |||
Tidewater, Inc. (A) | 195,514 | 2,355,944 | |||
17,343,623 | |||||
Oil, gas and consumable fuels – 9.9% | |||||
Cameco Corp. | 557,369 | 10,690,337 | |||
Canadian Natural Resources, Ltd. | 241,590 | 8,764,885 | |||
Chesapeake Energy Corp. | 50,549 | 2,624,504 | |||
EQT Corp. (A) | 783,636 | 17,443,737 | |||
Equitrans Midstream Corp. | 525,939 | 4,475,741 | |||
Hess Corp. | 35,311 | 3,083,357 | |||
Imperial Oil, Ltd. | 528,268 | 16,059,347 | |||
NAC Kazatomprom JSC, GDR | 117,790 | 3,415,941 | |||
66,557,849 | |||||
83,901,472 | |||||
Financials – 16.2% | |||||
Banks – 3.5% | |||||
Fifth Third Bancorp | 344,783 | 13,181,054 | |||
Popular, Inc. | 59,883 | 4,494,219 | |||
Westamerica Bancorporation | 96,310 | 5,588,869 | |||
23,264,142 | |||||
Capital markets – 3.9% | |||||
Lazard, Ltd., Class A | 109,351 | 4,948,133 | |||
Northern Trust Corp. | 79,862 | 9,233,644 | |||
State Street Corp. | 147,600 | 12,144,528 | |||
26,326,305 | |||||
Diversified financial services – 1.1% | |||||
Groupe Bruxelles Lambert SA | 62,496 | 6,997,757 | |||
Insurance – 7.2% | |||||
Brighthouse Financial, Inc. (A) | 128,985 | 5,873,977 | |||
Brown & Brown, Inc. | 145,130 | 7,712,208 | |||
CNA Financial Corp. | 159,545 | 7,257,702 |
The accompanying notes are an integral part of the financial statements. | 96 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Insurance (continued) | |||||
Kemper Corp. | 62,221 | $ | 4,598,132 | ||
Loews Corp. | 240,193 | 13,126,547 | |||
Marsh & McLennan Companies, Inc. | 33,432 | 4,703,214 | |||
RenaissanceRe Holdings, Ltd. | 34,049 | 5,067,172 | |||
48,338,952 | |||||
Thrifts and mortgage finance – 0.5% | |||||
Capitol Federal Financial, Inc. | 298,563 | 3,517,072 | |||
108,444,228 | |||||
Health care – 16.5% | |||||
Biotechnology – 2.1% | |||||
ACADIA Pharmaceuticals, Inc. (A) | 112,600 | 2,746,314 | |||
Alkermes PLC (A) | 200,806 | 4,923,763 | |||
BioMarin Pharmaceutical, Inc. (A) | 26,604 | 2,219,838 | |||
Galapagos NV (A) | 23,562 | 1,629,094 | |||
Incyte Corp. (A) | 24,038 | 2,022,317 | |||
Ionis Pharmaceuticals, Inc. (A) | 13,324 | 531,494 | |||
14,072,820 | |||||
Health care equipment and supplies – 5.0% | |||||
Baxter International, Inc. | 127,028 | 10,225,754 | |||
Dentsply Sirona, Inc. | 154,242 | 9,757,349 | |||
Hologic, Inc. (A) | 71,954 | 4,800,771 | |||
Zimmer Biomet Holdings, Inc. | 56,240 | 9,044,517 | |||
33,828,391 | |||||
Health care providers and services – 8.3% | |||||
Cardinal Health, Inc. | 286,942 | 16,381,519 | |||
Centene Corp. (A) | 31,500 | 2,297,295 | |||
Covetrus, Inc. (A) | 160,596 | 4,336,092 | |||
Fresenius Medical Care AG & Company KGaA | 12,767 | 1,060,889 | |||
Fresenius Medical Care AG & Company KGaA, ADR | 36,671 | 1,524,413 | |||
Fresenius SE & Company KGaA | 43,713 | 2,281,376 | |||
Fresenius SE & Company KGaA, ADR | 135,772 | 1,782,686 | |||
Patterson Companies, Inc. | 329,430 | 10,011,378 | |||
Select Medical Holdings Corp. | 369,994 | 15,635,946 | |||
55,311,594 | |||||
Pharmaceuticals – 1.1% | |||||
Perrigo Company PLC | 165,346 | 7,581,114 | |||
110,793,919 | |||||
Industrials – 6.6% | |||||
Aerospace and defense – 2.6% | |||||
Rolls-Royce Holdings PLC (A) | 2,343,804 | 3,208,705 | |||
Textron, Inc. | 206,847 | 14,224,868 | |||
17,433,573 | |||||
Air freight and logistics – 0.9% | |||||
CH Robinson Worldwide, Inc. | 61,541 | 5,764,545 | |||
Airlines – 0.4% | |||||
Southwest Airlines Company (A) | 55,004 | 2,920,162 | |||
Commercial services and supplies – 0.4% | |||||
Cintas Corp. | 6,472 | 2,472,304 | |||
Machinery – 1.8% | |||||
AGCO Corp. | 21,336 | 2,781,788 | |||
CNH Industrial NV | 60,041 | 1,003,886 | |||
PACCAR, Inc. | 94,338 | 8,419,667 | |||
12,205,341 | |||||
Road and rail – 0.5% | |||||
JB Hunt Transport Services, Inc. | 22,129 | 3,605,921 | |||
44,401,846 | |||||
Information technology – 2.4% |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Electronic equipment, instruments and components – 0.8% | |||||
National Instruments Corp. | 132,985 | $ | 5,622,606 | ||
IT services – 0.4% | |||||
Cognizant Technology Solutions Corp., Class A | 38,144 | 2,641,853 | |||
Semiconductors and semiconductor equipment – 1.2% | |||||
Applied Materials, Inc. | 54,323 | 7,735,595 | |||
16,000,054 | |||||
Materials – 9.5% | |||||
Chemicals – 2.2% | |||||
Corteva, Inc. | 192,053 | 8,517,551 | |||
PPG Industries, Inc. | 15,761 | 2,675,745 | |||
Westlake Chemical Corp. | 41,420 | 3,731,528 | |||
14,924,824 | |||||
Construction materials – 1.8% | |||||
Summit Materials, Inc., Class A (A) | 218,008 | 7,597,579 | |||
Vulcan Materials Company | 25,971 | 4,520,772 | |||
12,118,351 | |||||
Metals and mining – 5.5% | |||||
AngloGold Ashanti, Ltd., ADR | 83,398 | 1,549,535 | |||
Centerra Gold, Inc. | 66,796 | 507,059 | |||
Cia de Minas Buenaventura SAA, ADR (A) | 495,853 | 4,487,470 | |||
Franco-Nevada Corp. | 92,836 | 13,472,304 | |||
Freeport-McMoRan, Inc. | 205,261 | 7,617,236 | |||
Fresnillo PLC | 463,435 | 4,955,411 | |||
Gold Fields, Ltd., ADR | 403,167 | 3,588,186 | |||
Newmont Corp. | 4,900 | 310,562 | |||
36,487,763 | |||||
63,530,938 | |||||
Real estate – 6.1% | |||||
Equity real estate investment trusts – 5.9% | |||||
Apartment Income REIT Corp. | 61,990 | 2,940,186 | |||
Apartment Investment and Management Company, Class A | 417,176 | 2,799,251 | |||
Equity Commonwealth | 101,907 | 2,669,963 | |||
Equity Residential | 59,856 | 4,608,912 | |||
Rayonier, Inc. | 284,394 | 10,218,276 | |||
Regency Centers Corp. | 99,981 | 6,405,783 | |||
Weyerhaeuser Company | 296,059 | 10,190,351 | |||
39,832,722 | |||||
Real estate management and development – 0.2% | |||||
The St. Joe Company | 32,761 | 1,461,468 | |||
41,294,190 | |||||
Utilities – 6.9% | |||||
Electric utilities – 3.7% | |||||
FirstEnergy Corp. | 398,318 | 14,821,413 | |||
PG&E Corp. (A) | 1,011,699 | 10,288,979 | |||
25,110,392 | |||||
Gas utilities – 0.7% | |||||
National Fuel Gas Company | 97,316 | 5,084,761 | |||
Independent power and renewable electricity producers – 1.2% | |||||
Vistra Corp. | 426,620 | 7,913,801 | |||
Multi-utilities – 1.3% | |||||
CenterPoint Energy, Inc. | 218,405 | 5,355,291 | |||
Consolidated Edison, Inc. | 44,500 | 3,191,540 | |||
8,546,831 | |||||
46,655,785 | |||||
TOTAL COMMON STOCKS (Cost $464,575,186) | $ | 620,842,850 |
The accompanying notes are an integral part of the financial statements. | 97 |
Shares or Principal Amount | Value | ||||
PREFERRED SECURITIES – 0.1% | |||||
Consumer staples – 0.1% | |||||
Food products – 0.1% | |||||
Bunge, Ltd., 4.875% | 8,102 | $ | 941,695 | ||
TOTAL PREFERRED SECURITIES (Cost $917,915) | $ | 941,695 | |||
CORPORATE BONDS - 0.2% | |||||
Energy - 0.2% | |||||
Weatherford International, Ltd. 11.000%, 12/01/2024 (C) | $ | 1,427,000 | 1,484,080 | ||
TOTAL CORPORATE BONDS (Cost $1,078,583) | $ | 1,484,080 | |||
TERM LOANS (D) – 0.0% | |||||
Energy – 0.0% | |||||
Chesapeake Energy Corp., 2019 Last Out Term Loan 0.000%, 06/24/2024 (E) | 55,000 | 88,000 | |||
TOTAL TERM LOANS (Cost $63,800) | $ | 88,000 | |||
SHORT-TERM INVESTMENTS – 7.4% | |||||
Short-term funds – 7.4% | |||||
John Hancock Collateral Trust, 0.0324% (F)(G) | 282,737 | 2,828,667 | |||
State Street Institutional U.S. Government Money Market Fund, Premier Class, 0.0250% (F) | 2,014,063 | 2,014,063 | |||
T. Rowe Price Government Reserve Fund, 0.0295% (F) | 44,548,983 | 44,548,983 | |||
TOTAL SHORT-TERM INVESTMENTS (Cost $49,391,727) | $ | 49,391,713 | |||
Total Investments (Mid Value Trust) (Cost $516,027,211) – 100.2% | $ | 672,748,338 | |||
Other assets and liabilities, net – (0.2%) | (1,438,238) | ||||
TOTAL NET ASSETS – 100.0% | $ | 671,310,100 |
Security Abbreviations and Legend | |
ADR | American Depositary Receipt |
GDR | Global Depositary Receipt |
(A) | Non-income producing security. |
(B) | All or a portion of this security is on loan as of 6-30-21. |
(C) | 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. |
(D) | Term loans are variable rate obligations. The coupon rate shown represents the rate at period end. |
(E) | Non-income producing - Issuer is in default. |
(F) | The rate shown is the annualized seven-day yield as of 6-30-21. |
(G) | Investment is an affiliate of the fund, the advisor and/or subadvisor. This security represents the investment of cash collateral received for securities lending. |
Shares or Principal Amount | Value | ||||
COMMON STOCKS – 99.5% | |||||
Consumer discretionary – 2.7% | |||||
Hotels, restaurants and leisure – 2.7% | |||||
Casinos and gaming – 1.3% | |||||
Caesars Entertainment, Inc. (A) | 45,675 | $ | 4,738,781 | ||
Hotels, resorts and cruise lines – 1.4% | |||||
Playa Hotels & Resorts NV (A) | 723,783 | 5,377,708 | |||
10,116,489 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Health care – 2.3% | |||||
Health care providers and services – 2.3% | |||||
Health care facilities – 2.3% | |||||
Brookdale Senior Living, Inc. (A) | 491,232 | $ | 3,880,733 | ||
HCA Healthcare, Inc. | 22,330 | 4,616,504 | |||
8,497,237 | |||||
Real estate – 94.5% | |||||
Equity real estate investment trusts – 91.2% | |||||
Health care REITs – 8.0% | |||||
Healthpeak Properties, Inc. | 299,480 | 9,969,689 | |||
Welltower, Inc. | 236,113 | 19,620,990 | |||
29,590,679 | |||||
Hotel and resort REITs – 3.0% | |||||
Pebblebrook Hotel Trust | 240,171 | 5,656,027 | |||
Ryman Hospitality Properties, Inc. (A) | 70,723 | 5,584,288 | |||
11,240,315 | |||||
Industrial REITs – 14.6% | |||||
First Industrial Realty Trust, Inc. | 95,022 | 4,962,999 | |||
Innovative Industrial Properties, Inc. | 20,666 | 3,947,619 | |||
Prologis, Inc. | 291,673 | 34,863,674 | |||
Rexford Industrial Realty, Inc. | 185,166 | 10,545,204 | |||
54,319,496 | |||||
Office REITs – 7.0% | |||||
Alexandria Real Estate Equities, Inc. | 19,199 | 3,493,066 | |||
Douglas Emmett, Inc. | 196,504 | 6,606,464 | |||
Kilroy Realty Corp. | 89,740 | 6,249,494 | |||
SL Green Realty Corp. | 119,006 | 9,520,480 | |||
25,869,504 | |||||
Residential REITs – 20.8% | |||||
American Homes 4 Rent, Class A | 154,847 | 6,015,806 | |||
AvalonBay Communities, Inc. | 74,867 | 15,623,994 | |||
Camden Property Trust | 87,101 | 11,555,690 | |||
Independence Realty Trust, Inc. | 452,122 | 8,242,184 | |||
Invitation Homes, Inc. | 296,241 | 11,046,827 | |||
Sun Communities, Inc. | 65,918 | 11,298,345 | |||
UDR, Inc. | 282,464 | 13,835,087 | |||
77,617,933 | |||||
Retail REITs – 11.8% | |||||
Acadia Realty Trust | 250,706 | 5,505,504 | |||
Brixmor Property Group, Inc. | 657,381 | 15,047,451 | |||
Retail Opportunity Investments Corp. | 396,734 | 7,006,322 | |||
Simon Property Group, Inc. | 86,725 | 11,315,878 | |||
Weingarten Realty Investors | 160,228 | 5,138,512 | |||
44,013,667 | |||||
Specialized REITs – 26.0% | |||||
American Tower Corp. | 56,280 | 15,203,479 | |||
Crown Castle International Corp. | 51,095 | 9,968,635 | |||
Equinix, Inc. | 20,915 | 16,786,379 | |||
Extra Space Storage, Inc. | 126,812 | 20,774,342 | |||
Life Storage, Inc. | 111,921 | 12,014,719 | |||
PotlatchDeltic Corp. | 74,785 | 3,974,823 | |||
Public Storage | 19,255 | 5,789,786 | |||
VICI Properties, Inc. | 401,302 | 12,448,388 | |||
96,960,551 | |||||
339,612,145 | |||||
Real estate management and development – 3.3% | |||||
Real estate services – 3.3% | |||||
Colliers International Group, Inc. (New York Stock Exchange) | 55,860 | 6,255,203 |
The accompanying notes are an integral part of the financial statements. | 98 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Jones Lang LaSalle, Inc. (A) | 30,869 | $ | 6,033,655 | ||
12,288,858 | |||||
351,901,003 | |||||
TOTAL COMMON STOCKS (Cost $301,846,349) | $ | 370,514,729 | |||
SHORT-TERM INVESTMENTS – 0.4% | |||||
Short-term funds – 0.4% | |||||
State Street Institutional U.S. Government Money Market Fund, Premier Class, 0.0250% (B) | 1,573,727 | 1,573,727 | |||
TOTAL SHORT-TERM INVESTMENTS (Cost $1,573,727) | $ | 1,573,727 | |||
Total Investments (Real Estate Securities Trust) (Cost $303,420,076) – 99.9% | $ | 372,088,456 | |||
Other assets and liabilities, net – 0.1% | 235,099 | ||||
TOTAL NET ASSETS – 100.0% | $ | 372,323,555 |
Security Abbreviations and Legend | |
(A) | Non-income producing security. |
(B) | The rate shown is the annualized seven-day yield as of 6-30-21. |
Shares or Principal Amount | Value | ||||
COMMON STOCKS – 95.7% | |||||
Communication services – 15.3% | |||||
Entertainment – 0.5% | |||||
CTS Eventim AG & Company KGaA (A) | 79,610 | $ | 4,972,961 | ||
Netflix, Inc. (A) | 1,320 | 697,237 | |||
Take-Two Interactive Software, Inc. (A) | 2,885 | 510,703 | |||
6,180,901 | |||||
Interactive media and services – 14.8% | |||||
Alphabet, Inc., Class A (A) | 3,060 | 7,471,877 | |||
Alphabet, Inc., Class C (A) | 25,283 | 63,367,289 | |||
Baidu, Inc., ADR (A) | 50,029 | 10,200,913 | |||
Facebook, Inc., Class A (A) | 168,957 | 58,748,038 | |||
Kanzhun, Ltd. (A) | 16,204 | 642,489 | |||
Kuaishou Technology (A)(B) | 13,100 | 329,455 | |||
Mail.Ru Group, Ltd., GDR (A) | 642,468 | 14,605,071 | |||
Pinterest, Inc., Class A (A) | 120,639 | 9,524,449 | |||
Snap, Inc., Class A (A) | 73,810 | 5,029,413 | |||
Tencent Holdings, Ltd. | 8,000 | 602,340 | |||
Zillow Group, Inc., Class A (A) | 5,835 | 714,963 | |||
ZoomInfo Technologies, Inc., Class A (A) | 34,170 | 1,782,649 | |||
173,018,946 | |||||
179,199,847 | |||||
Consumer discretionary – 23.8% | |||||
Auto components – 0.5% | |||||
Aptiv PLC (A) | 16,685 | 2,625,051 | |||
Magna International, Inc. | 32,215 | 2,984,398 | |||
5,609,449 | |||||
Automobiles – 0.8% | |||||
Ford Motor Company (A) | 190,025 | 2,823,772 | |||
General Motors Company (A) | 101,000 | 5,976,170 | |||
Tesla, Inc. (A) | 1,005 | 683,099 | |||
9,483,041 | |||||
Hotels, restaurants and leisure – 2.8% | |||||
Airbnb, Inc., Class A (A) | 119 | 18,224 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Hotels, restaurants and leisure (continued) | |||||
Booking Holdings, Inc. (A) | 11,388 | $ | 24,917,969 | ||
Expedia Group, Inc. (A) | 48,680 | 7,969,403 | |||
32,905,596 | |||||
Internet and direct marketing retail – 19.7% | |||||
Alibaba Group Holding, Ltd., ADR (A) | 129,189 | 29,297,481 | |||
Amazon.com, Inc. (A) | 19,422 | 66,814,782 | |||
boohoo Group PLC (A) | 1,521,800 | 6,533,811 | |||
Coupang, Inc. (A)(C) | 136,252 | 5,698,059 | |||
Deliveroo PLC (A)(B) | 1,170,436 | 4,652,337 | |||
Delivery Hero SE (A)(B) | 94,121 | 12,435,842 | |||
DoorDash, Inc., Class A (A) | 34,590 | 6,168,435 | |||
Etsy, Inc. (A) | 77,738 | 16,001,590 | |||
Naspers, Ltd., N Shares | 39,178 | 8,260,559 | |||
Tongcheng-Elong Holdings, Ltd. (A) | 2,114,400 | 5,291,604 | |||
Trip.com Group, Ltd., ADR (A) | 829,503 | 29,414,176 | |||
Wayfair, Inc., Class A (A)(C) | 20,888 | 6,594,550 | |||
Zalando SE (A)(B) | 277,791 | 33,596,025 | |||
230,759,251 | |||||
278,757,337 | |||||
Health care – 0.7% | |||||
Health care equipment and supplies – 0.6% | |||||
Intuitive Surgical, Inc. (A) | 7,959 | 7,319,415 | |||
Health care technology – 0.1% | |||||
Veeva Systems, Inc., Class A (A) | 3,775 | 1,173,836 | |||
8,493,251 | |||||
Industrials – 0.7% | |||||
Commercial services and supplies – 0.0% | |||||
Legalzoom.com, Inc. (A) | 5,770 | 161,560 | |||
Electrical equipment – 0.1% | |||||
Array Technologies, Inc. (A) | 46,323 | 722,639 | |||
Bloom Energy Corp., Class A (A) | 2,970 | 79,804 | |||
802,443 | |||||
Road and rail – 0.6% | |||||
DiDi Chuxing, Inc. (A)(D) | 9,513 | 497,701 | |||
Lyft, Inc., Class A (A) | 118,905 | 7,191,374 | |||
7,689,075 | |||||
8,653,078 | |||||
Information technology – 55.2% | |||||
Communications equipment – 0.5% | |||||
Arista Networks, Inc. (A) | 1,790 | 648,535 | |||
Cisco Systems, Inc. | 85,795 | 4,547,135 | |||
F5 Networks, Inc. (A) | 4,430 | 826,904 | |||
6,022,574 | |||||
Electronic equipment, instruments and components – 1.2% | |||||
Cognex Corp. | 7,730 | 649,707 | |||
Flex, Ltd. (A) | 112,955 | 2,018,506 | |||
IPG Photonics Corp. (A) | 8,730 | 1,840,022 | |||
Samsung SDI Company, Ltd. | 16,386 | 10,145,191 | |||
14,653,426 | |||||
IT services – 10.0% | |||||
Adyen NV (A)(B) | 1,090 | 2,673,039 | |||
DXC Technology Company (A) | 134,390 | 5,233,147 | |||
EPAM Systems, Inc. (A) | 5,195 | 2,654,437 | |||
Fidelity National Information Services, Inc. | 14,713 | 2,084,391 | |||
Fiserv, Inc. (A) | 17,407 | 1,860,634 | |||
Global Payments, Inc. | 9,946 | 1,865,273 | |||
Mastercard, Inc., Class A | 19,580 | 7,148,462 | |||
MongoDB, Inc. (A) | 51,995 | 18,797,232 | |||
Okta, Inc. (A) | 6,985 | 1,709,090 | |||
PayPal Holdings, Inc. (A) | 61,370 | 17,888,128 | |||
Shopify, Inc., Class A (A) | 4,075 | 5,953,494 |
The accompanying notes are an integral part of the financial statements. | 99 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
IT services (continued) | |||||
Snowflake, Inc., Class A (A) | 7,843 | $ | 1,896,437 | ||
Square, Inc., Class A (A) | 53,295 | 12,993,321 | |||
Twilio, Inc., Class A (A) | 49,450 | 19,491,212 | |||
VeriSign, Inc. (A) | 14,982 | 3,411,252 | |||
Visa, Inc., Class A | 36,909 | 8,630,062 | |||
Wix.com, Ltd. (A) | 10,124 | 2,938,795 | |||
117,228,406 | |||||
Semiconductors and semiconductor equipment – 12.9% | |||||
Advanced Micro Devices, Inc. (A) | 16,115 | 1,513,682 | |||
Advantest Corp. | 17,100 | 1,535,354 | |||
Applied Materials, Inc. | 140,742 | 20,041,661 | |||
Cree, Inc. (A) | 12,010 | 1,176,139 | |||
Infineon Technologies AG | 74,450 | 2,994,622 | |||
KLA Corp. | 2,655 | 860,778 | |||
Lam Research Corp. | 21,120 | 13,742,784 | |||
Micron Technology, Inc. (A) | 359,523 | 30,552,265 | |||
NVIDIA Corp. | 8,430 | 6,744,843 | |||
NXP Semiconductors NV | 33,780 | 6,949,222 | |||
ON Semiconductor Corp. (A) | 129,920 | 4,973,338 | |||
Qorvo, Inc. (A) | 15,255 | 2,984,641 | |||
QUALCOMM, Inc. | 67,620 | 9,664,927 | |||
SK Hynix, Inc. | 63,941 | 7,216,928 | |||
Skyworks Solutions, Inc. | 21,980 | 4,214,665 | |||
Taiwan Semiconductor Manufacturing Company, Ltd., ADR | 83,695 | 10,056,791 | |||
Teradyne, Inc. | 32,460 | 4,348,342 | |||
Tokyo Electron, Ltd. | 12,400 | 5,361,564 | |||
Xilinx, Inc. | 111,396 | 16,112,317 | |||
151,044,863 | |||||
Software – 24.0% | |||||
Adobe, Inc. (A) | 7,025 | 4,114,121 | |||
Alteryx, Inc., Class A (A) | 22,325 | 1,920,397 | |||
Asana, Inc., Class A (A) | 212,680 | 13,192,540 | |||
Autodesk, Inc. (A) | 4,720 | 1,377,768 | |||
Box, Inc., Class A (A) | 43,735 | 1,117,429 | |||
Citrix Systems, Inc. | 213,251 | 25,007,945 | |||
Cloudflare, Inc., Class A (A) | 7,690 | 813,910 | |||
Crowdstrike Holdings, Inc., Class A (A) | 65,000 | 16,335,150 | |||
Datadog, Inc., Class A (A) | 15,395 | 1,602,312 | |||
DocuSign, Inc. (A) | 6,145 | 1,717,958 | |||
FireEye, Inc. (A) | 31,500 | 636,930 | |||
Fortinet, Inc. (A) | 22,805 | 5,431,923 | |||
HubSpot, Inc. (A) | 40,928 | 23,849,564 | |||
Intuit, Inc. | 27,129 | 13,297,822 | |||
KnowBe4, Inc., Class A (A) | 9,849 | 307,978 | |||
McAfee Corp., Class A | 180,926 | 5,069,547 | |||
Microsoft Corp. | 157,633 | 42,702,780 | |||
Monday.com, Ltd. (A)(C) | 1,972 | 440,919 | |||
NortonLifeLock, Inc. | 171,540 | 4,669,319 | |||
Palo Alto Networks, Inc. (A) | 13,035 | 4,836,637 | |||
Paycom Software, Inc. (A) | 32,675 | 11,876,382 | |||
Procore Technologies, Inc. (A) | 3,456 | 328,147 | |||
salesforce.com, Inc. (A) | 173,394 | 42,354,952 | |||
SentinelOne, Inc., Class A (A) | 14,578 | 619,565 | |||
Slack Technologies, Inc., Class A (A) | 65,411 | 2,897,707 | |||
TeamViewer AG (A)(B) | 159,929 | 6,006,442 | |||
UiPath, Inc., Class A (A)(C) | 11,500 | 781,195 | |||
Varonis Systems, Inc. (A) | 43,350 | 2,497,827 | |||
Workday, Inc., Class A (A) | 36,120 | 8,623,289 | |||
Zoom Video Communications, Inc., Class A (A) | 57,609 | 22,296,411 | |||
Zscaler, Inc. (A) | 65,592 | 14,171,808 | |||
280,896,674 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Technology hardware, storage and peripherals – 6.6% | |||||
Apple, Inc. | 158,705 | $ | 21,736,237 | ||
HP, Inc. | 48,975 | 1,478,555 | |||
Pure Storage, Inc., Class A (A) | 907,249 | 17,718,573 | |||
Samsung Electronics Company, Ltd. | 304,625 | 21,806,924 | |||
Seagate Technology Holdings PLC | 60,365 | 5,307,894 | |||
Western Digital Corp. (A) | 126,940 | 9,034,320 | |||
77,082,503 | |||||
646,928,446 | |||||
TOTAL COMMON STOCKS (Cost $856,806,172) | $ | 1,122,031,959 | |||
SHORT-TERM INVESTMENTS – 5.1% | |||||
Short-term funds – 3.4% | |||||
John Hancock Collateral Trust, 0.0324% (E)(F) | 969,251 | 9,696,971 | |||
State Street Institutional U.S. Government Money Market Fund, Premier Class, 0.0250% (E) | 483,827 | 483,827 | |||
T. Rowe Price Government Reserve Fund, 0.0295% (E) | 29,834,099 | 29,834,099 | |||
40,014,897 | |||||
Repurchase agreement – 1.7% | |||||
Repurchase Agreement with State Street Corp. dated 6-30-21 at 0.000% to be repurchased at $19,536,000 on 7-1-21, collateralized by $19,914,000 U.S. Treasury Notes, 0.099% due 1-31-23 (valued at $19,926,760) | $ | 19,536,000 | 19,536,000 | ||
TOTAL SHORT-TERM INVESTMENTS (Cost $59,551,122) | $ | 59,550,897 | |||
Total Investments (Science & Technology Trust) (Cost $916,357,294) – 100.8% | $ | 1,181,582,856 | |||
Other assets and liabilities, net – (0.8%) | (9,129,922) | ||||
TOTAL NET ASSETS – 100.0% | $ | 1,172,452,934 |
Security Abbreviations and Legend | |
ADR | American Depositary Receipt |
GDR | Global Depositary Receipt |
(A) | Non-income producing security. |
(B) | 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. |
(C) | All or a portion of this security is on loan as of 6-30-21. |
(D) | Restricted security as to resale, excluding 144A securities. For more information on this security refer to the Notes to financial statements. |
(E) | The rate shown is the annualized seven-day yield as of 6-30-21. |
(F) | Investment is an affiliate of the fund, the advisor and/or subadvisor. This security represents the investment of cash collateral received for securities lending. |
Shares or Principal Amount | Value | ||||
COMMON STOCKS – 95.1% | |||||
Communication services – 3.4% | |||||
Diversified telecommunication services – 0.6% | |||||
Anterix, Inc. (A) | 2,677 | $ | 160,593 | ||
ATN International, Inc. | 2,631 | 119,684 | |||
Bandwidth, Inc., Class A (A) | 5,146 | 709,736 | |||
Cincinnati Bell, Inc. (A) | 11,437 | 176,359 |
The accompanying notes are an integral part of the financial statements. | 100 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Diversified telecommunication services (continued) | |||||
Cogent Communications Holdings, Inc. | 9,457 | $ | 727,149 | ||
Consolidated Communications Holdings, Inc. (A) | 16,972 | 149,184 | |||
Globalstar, Inc. (A) | 137,268 | 244,337 | |||
IDT Corp., Class B (A) | 4,712 | 174,156 | |||
Iridium Communications, Inc. (A) | 26,740 | 1,069,333 | |||
Liberty Latin America, Ltd., Class A (A) | 14,142 | 196,008 | |||
Liberty Latin America, Ltd., Class C (A) | 30,535 | 430,544 | |||
Ooma, Inc. (A) | 5,439 | 102,580 | |||
ORBCOMM, Inc. (A) | 17,264 | 194,047 | |||
Radius Global Infrastructure, Inc., Class A (A) | 10,347 | 150,032 | |||
4,603,742 | |||||
Entertainment – 1.1% | |||||
AMC Entertainment Holdings, Inc., Class A (A) | 91,052 | 5,160,819 | |||
Chicken Soup For The Soul Entertainment, Inc. (A) | 2,914 | 120,640 | |||
Cinemark Holdings, Inc. (A) | 24,204 | 531,278 | |||
CuriosityStream, Inc. (A) | 6,306 | 86,014 | |||
Eros STX Global Corp. (A) | 74,257 | 113,613 | |||
IMAX Corp. (A) | 11,206 | 240,929 | |||
Liberty Media Corp.-Liberty Braves, Class A (A) | 4,756 | 134,214 | |||
Liberty Media Corp.-Liberty Braves, Class C (A) | 6,158 | 171,008 | |||
Lions Gate Entertainment Corp., Class A (A) | 12,147 | 251,443 | |||
Lions Gate Entertainment Corp., Class B (A) | 26,773 | 489,946 | |||
Madison Square Garden Entertainment Corp. (A) | 4,238 | 355,865 | |||
The Marcus Corp. (A)(B) | 5,578 | 118,309 | |||
7,774,078 | |||||
Interactive media and services – 0.5% | |||||
CarGurus, Inc. (A) | 20,847 | 546,817 | |||
Cars.com, Inc. (A) | 15,423 | 221,012 | |||
Eventbrite, Inc., Class A (A) | 16,840 | 319,960 | |||
EverQuote, Inc., Class A (A) | 4,383 | 143,236 | |||
FuboTV, Inc. (A) | 29,460 | 945,961 | |||
Liberty TripAdvisor Holdings, Inc., Class A (A) | 17,825 | 72,548 | |||
MediaAlpha, Inc., Class A (A) | 4,652 | 195,849 | |||
QuinStreet, Inc. (A) | 11,322 | 210,363 | |||
TrueCar, Inc. (A) | 23,229 | 131,244 | |||
Yelp, Inc. (A) | 16,088 | 642,876 | |||
3,429,866 | |||||
Media – 1.0% | |||||
Advantage Solutions, Inc. (A) | 17,149 | 185,038 | |||
AMC Networks, Inc., Class A (A) | 6,495 | 433,866 | |||
Audacy, Inc. (A) | 27,481 | 118,443 | |||
Boston Omaha Corp., Class A (A) | 4,112 | 130,392 | |||
Cardlytics, Inc. (A) | 7,166 | 909,580 | |||
Clear Channel Outdoor Holdings, Inc. (A) | 83,003 | 219,128 | |||
comScore, Inc. (A) | 17,910 | 89,550 | |||
Daily Journal Corp. (A) | 288 | 97,488 | |||
Entravision Communications Corp., Class A | 15,125 | 101,035 | |||
Gannett Company, Inc. (A) | 32,687 | 179,452 | |||
Gray Television, Inc. | 19,143 | 447,946 | |||
iHeartMedia, Inc., Class A (A) | 25,005 | 673,385 | |||
John Wiley & Sons, Inc., Class A | 9,378 | 564,368 | |||
Loral Space & Communications, Inc. | 3,096 | 120,280 | |||
MDC Partners, Inc., Class A (A) | 16,171 | 94,600 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Media (continued) | |||||
Meredith Corp. (A) | 8,916 | $ | 387,311 | ||
MSG Networks, Inc., Class A (A) | 7,318 | 106,696 | |||
National CineMedia, Inc. | 16,122 | 81,739 | |||
Scholastic Corp. | 6,537 | 247,687 | |||
Sinclair Broadcast Group, Inc., Class A | 10,511 | 349,175 | |||
TechTarget, Inc. (A) | 5,693 | 441,151 | |||
TEGNA, Inc. | 49,001 | 919,259 | |||
The EW Scripps Company, Class A | 13,063 | 266,355 | |||
WideOpenWest, Inc. (A) | 11,884 | 246,118 | |||
7,410,042 | |||||
Wireless telecommunication services – 0.2% | |||||
Gogo, Inc. (A) | 13,701 | 155,917 | |||
Shenandoah Telecommunications Company | 10,920 | 529,729 | |||
Telephone & Data Systems, Inc. | 22,299 | 505,295 | |||
United States Cellular Corp. (A) | 3,345 | 121,457 | |||
1,312,398 | |||||
24,530,126 | |||||
Consumer discretionary – 11.4% | |||||
Auto components – 1.3% | |||||
Adient PLC (A) | 21,170 | 956,884 | |||
American Axle & Manufacturing Holdings, Inc. (A) | 25,342 | 262,290 | |||
Cooper-Standard Holdings, Inc. (A) | 3,998 | 115,942 | |||
Dana, Inc. | 32,401 | 769,848 | |||
Dorman Products, Inc. (A) | 5,941 | 615,903 | |||
Fox Factory Holding Corp. (A) | 9,440 | 1,469,430 | |||
Gentherm, Inc. (A) | 7,446 | 529,038 | |||
LCI Industries | 5,514 | 724,650 | |||
Modine Manufacturing Company (A) | 11,609 | 192,593 | |||
Motorcar Parts of America, Inc. (A) | 4,915 | 110,293 | |||
Patrick Industries, Inc. | 5,131 | 374,563 | |||
Standard Motor Products, Inc. | 4,542 | 196,896 | |||
Stoneridge, Inc. (A) | 5,928 | 174,876 | |||
Tenneco, Inc., Class A (A) | 15,874 | 306,686 | |||
The Goodyear Tire & Rubber Company (A) | 61,668 | 1,057,606 | |||
Visteon Corp. (A) | 6,179 | 747,288 | |||
XL Fleet Corp. (A) | 9,103 | 75,828 | |||
XPEL, Inc. (A) | 4,027 | 337,744 | |||
9,018,358 | |||||
Automobiles – 0.3% | |||||
Arcimoto, Inc. (A) | 6,538 | 112,388 | |||
Canoo, Inc. (A)(B) | 18,197 | 180,878 | |||
Fisker, Inc. (A) | 35,599 | 686,349 | |||
Lordstown Motors Corp., Class A (A)(B) | 25,359 | 280,471 | |||
Winnebago Industries, Inc. | 7,208 | 489,856 | |||
Workhorse Group, Inc. (A)(B) | 27,945 | 463,608 | |||
2,213,550 | |||||
Distributors – 0.1% | |||||
Core-Mark Holding Company, Inc. | 10,056 | 452,621 | |||
Funko, Inc., Class A (A) | 6,118 | 130,191 | |||
582,812 | |||||
Diversified consumer services – 0.6% | |||||
2U, Inc. (A) | 16,160 | 673,387 | |||
Adtalem Global Education, Inc. (A) | 11,105 | 395,782 | |||
American Public Education, Inc. (A) | 4,498 | 127,473 | |||
Carriage Services, Inc. | 4,133 | 152,797 | |||
Coursera, Inc. (A) | 2,731 | 108,038 | |||
Graham Holdings Company, Class B | 847 | 536,913 | |||
Houghton Mifflin Harcourt Company (A) | 28,740 | 317,290 | |||
Laureate Education, Inc., Class A (A) | 24,060 | 349,111 | |||
OneSpaWorld Holdings, Ltd. (A) | 12,883 | 124,836 | |||
Perdoceo Education Corp. (A) | 16,311 | 200,136 |
The accompanying notes are an integral part of the financial statements. | 101 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Diversified consumer services (continued) | |||||
Strategic Education, Inc. | 5,551 | $ | 422,209 | ||
Stride, Inc. (A) | 9,099 | 292,351 | |||
Vivint Smart Home, Inc. (A) | 20,881 | 275,629 | |||
WW International, Inc. (A) | 11,836 | 427,753 | |||
4,403,705 | |||||
Hotels, restaurants and leisure – 2.3% | |||||
Accel Entertainment, Inc. (A) | 13,125 | 155,794 | |||
Bally's Corp. (A) | 7,309 | 395,490 | |||
BJ's Restaurants, Inc. (A) | 5,247 | 257,838 | |||
Bloomin' Brands, Inc. (A) | 19,973 | 542,067 | |||
Bluegreen Vacations Holding Corp. (A) | 4,507 | 81,126 | |||
Brinker International, Inc. (A) | 10,175 | 629,324 | |||
Century Casinos, Inc. (A) | 6,753 | 90,693 | |||
Chuy's Holdings, Inc. (A) | 4,706 | 175,346 | |||
Cracker Barrel Old Country Store, Inc. | 5,315 | 789,065 | |||
Dave & Buster's Entertainment, Inc. (A) | 9,749 | 395,809 | |||
Del Taco Restaurants, Inc. | 8,214 | 82,222 | |||
Denny's Corp. (A) | 14,832 | 244,580 | |||
Dine Brands Global, Inc. (A) | 3,625 | 323,531 | |||
Drive Shack, Inc. (A) | 20,490 | 67,822 | |||
El Pollo Loco Holdings, Inc. (A) | 5,199 | 95,090 | |||
Everi Holdings, Inc. (A) | 18,711 | 466,652 | |||
Fiesta Restaurant Group, Inc. (A) | 4,753 | 63,833 | |||
Full House Resorts, Inc. (A) | 8,237 | 81,876 | |||
GAN, Ltd. (A)(B) | 9,407 | 154,651 | |||
Golden Entertainment, Inc. (A) | 3,892 | 174,362 | |||
Golden Nugget Online Gaming, Inc. (A) | 7,654 | 97,665 | |||
Hilton Grand Vacations, Inc. (A) | 19,070 | 789,307 | |||
International Game Technology PLC (A) | 22,260 | 533,350 | |||
Jack in the Box, Inc. | 5,174 | 576,591 | |||
Lindblad Expeditions Holdings, Inc. (A) | 7,333 | 117,401 | |||
Monarch Casino & Resort, Inc. (A) | 3,054 | 202,083 | |||
NeoGames SA (A) | 1,260 | 77,452 | |||
Noodles & Company (A) | 10,109 | 126,160 | |||
Papa John's International, Inc. | 7,442 | 777,242 | |||
PlayAGS, Inc. (A) | 6,792 | 67,241 | |||
RCI Hospitality Holdings, Inc. | 1,994 | 132,003 | |||
Red Robin Gourmet Burgers, Inc. (A) | 3,708 | 122,772 | |||
Red Rock Resorts, Inc., Class A (A) | 13,833 | 587,903 | |||
Rush Street Interactive, Inc. (A) | 12,065 | 147,917 | |||
Ruth's Hospitality Group, Inc. (A) | 7,936 | 182,766 | |||
Scientific Games Corp. (A) | 21,522 | 1,666,664 | |||
SeaWorld Entertainment, Inc. (A) | 11,487 | 573,661 | |||
Shake Shack, Inc., Class A (A) | 8,380 | 896,828 | |||
Texas Roadhouse, Inc. | 15,661 | 1,506,588 | |||
The Cheesecake Factory, Inc. (A) | 9,765 | 529,068 | |||
Wingstop, Inc. | 6,688 | 1,054,229 | |||
16,032,062 | |||||
Household durables – 1.8% | |||||
Aterian, Inc. (A) | 4,727 | 69,156 | |||
Bassett Furniture Industries, Inc. | 2,530 | 61,606 | |||
Beazer Homes USA, Inc. (A) | 6,761 | 130,420 | |||
Cavco Industries, Inc. (A) | 2,093 | 465,044 | |||
Century Communities, Inc. | 6,730 | 447,814 | |||
Ethan Allen Interiors, Inc. | 5,413 | 149,399 | |||
Flexsteel Industries, Inc. | 1,760 | 71,086 | |||
GoPro, Inc., Class A (A) | 27,742 | 323,194 | |||
Green Brick Partners, Inc. (A) | 7,139 | 162,341 | |||
Hamilton Beach Brands Holding Company, Class B | 1,197 | 26,657 | |||
Helen of Troy, Ltd. (A) | 5,437 | 1,240,288 | |||
Hooker Furniture Corp. | 3,165 | 109,636 | |||
Hovnanian Enterprises, Inc., Class A (A) | 1,174 | 124,784 | |||
Installed Building Products, Inc. | 5,343 | 653,769 | |||
iRobot Corp. (A) | 6,228 | 581,633 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Household durables (continued) | |||||
KB Home | 19,927 | $ | 811,427 | ||
La-Z-Boy, Inc. | 10,258 | 379,956 | |||
LGI Homes, Inc. (A) | 4,969 | 804,680 | |||
M/I Homes, Inc. (A) | 6,303 | 369,797 | |||
MDC Holdings, Inc. | 12,756 | 645,454 | |||
Meritage Homes Corp. (A) | 8,328 | 783,498 | |||
Purple Innovation, Inc. (A) | 11,331 | 299,252 | |||
Skyline Champion Corp. (A) | 11,906 | 634,590 | |||
Sonos, Inc. (A) | 26,920 | 948,392 | |||
Taylor Morrison Home Corp. (A) | 27,676 | 731,200 | |||
The Lovesac Company (A) | 2,906 | 231,870 | |||
Tri Pointe Homes, Inc. (A) | 26,187 | 561,187 | |||
Tupperware Brands Corp. (A) | 11,300 | 268,375 | |||
Universal Electronics, Inc. (A) | 3,182 | 154,327 | |||
Vuzix Corp. (A) | 13,223 | 242,642 | |||
12,483,474 | |||||
Internet and direct marketing retail – 0.8% | |||||
1-800-Flowers.com, Inc., Class A (A) | 5,957 | 189,850 | |||
CarParts.com, Inc. (A) | 10,797 | 219,827 | |||
Groupon, Inc. (A) | 5,250 | 226,590 | |||
Lands' End, Inc. (A) | 3,318 | 136,204 | |||
Liquidity Services, Inc. (A) | 5,988 | 152,395 | |||
Magnite, Inc. (A) | 23,539 | 796,560 | |||
Overstock.com, Inc. (A) | 9,613 | 886,319 | |||
PetMed Express, Inc. | 4,673 | 148,835 | |||
Porch Group, Inc. (A) | 3,729 | 72,119 | |||
Quotient Technology, Inc. (A) | 20,072 | 216,978 | |||
Revolve Group, Inc. (A) | 8,037 | 553,749 | |||
Shutterstock, Inc. | 5,222 | 512,644 | |||
Stamps.com, Inc. (A) | 3,981 | 797,354 | |||
Stitch Fix, Inc., Class A (A) | 13,224 | 797,407 | |||
The RealReal, Inc. (A) | 17,749 | 350,720 | |||
6,057,551 | |||||
Leisure products – 0.6% | |||||
Acushnet Holdings Corp. | 7,586 | 374,748 | |||
American Outdoor Brands, Inc. (A) | 3,430 | 120,530 | |||
AMMO, Inc. (A) | 15,365 | 150,423 | |||
Callaway Golf Company (A) | 25,808 | 870,504 | |||
Clarus Corp. | 5,851 | 150,371 | |||
Genius Brands International, Inc. (A) | 65,366 | 120,273 | |||
Johnson Outdoors, Inc., Class A | 1,209 | 146,289 | |||
Latham Group, Inc. (A) | 5,251 | 167,822 | |||
Malibu Boats, Inc., Class A (A) | 4,701 | 344,724 | |||
MasterCraft Boat Holdings, Inc. (A) | 4,730 | 124,352 | |||
Nautilus, Inc. (A)(B) | 6,915 | 116,518 | |||
Smith & Wesson Brands, Inc. | 11,832 | 410,570 | |||
Sturm Ruger & Company, Inc. | 3,719 | 334,636 | |||
Vista Outdoor, Inc. (A) | 12,980 | 600,714 | |||
4,032,474 | |||||
Multiline retail – 0.3% | |||||
Big Lots, Inc. | 7,777 | 513,360 | |||
Dillard's, Inc., Class A | 1,409 | 254,860 | |||
Franchise Group, Inc. | 6,559 | 231,336 | |||
Macy's, Inc. (A) | 70,165 | 1,330,328 | |||
2,329,884 | |||||
Specialty retail – 2.6% | |||||
Abercrombie & Fitch Company, Class A (A) | 13,673 | 634,837 | |||
Academy Sports & Outdoors, Inc. (A) | 13,883 | 572,535 | |||
American Eagle Outfitters, Inc. | 33,819 | 1,269,227 | |||
America's Car-Mart, Inc. (A) | 1,421 | 201,384 | |||
Asbury Automotive Group, Inc. (A) | 4,333 | 742,546 | |||
At Home Group, Inc. (A) | 14,701 | 541,585 | |||
Barnes & Noble Education, Inc. (A) | 9,565 | 68,964 |
The accompanying notes are an integral part of the financial statements. | 102 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Specialty retail (continued) | |||||
Bed Bath & Beyond, Inc. (A) | 24,572 | $ | 818,002 | ||
Big 5 Sporting Goods Corp. | 4,887 | 125,498 | |||
Blink Charging Company (A)(B) | 8,260 | 340,064 | |||
Boot Barn Holdings, Inc. (A) | 6,413 | 539,013 | |||
Caleres, Inc. | 8,371 | 228,445 | |||
Camping World Holdings, Inc., Class A | 9,582 | 392,766 | |||
Chico's FAS, Inc. (A) | 27,511 | 181,022 | |||
Citi Trends, Inc. (A) | 2,041 | 177,567 | |||
Conn's, Inc. (A) | 4,183 | 106,667 | |||
Designer Brands, Inc., Class A (A) | 13,521 | 223,773 | |||
Genesco, Inc. (A) | 3,333 | 212,245 | |||
Group 1 Automotive, Inc. | 3,944 | 609,072 | |||
GrowGeneration Corp. (A) | 12,198 | 586,724 | |||
Guess?, Inc. | 9,027 | 238,313 | |||
Haverty Furniture Companies, Inc. | 3,986 | 170,441 | |||
Hibbett, Inc. (A) | 3,691 | 330,824 | |||
Kirkland's, Inc. (A) | 3,481 | 79,645 | |||
Lumber Liquidators Holdings, Inc. (A) | 6,685 | 141,054 | |||
MarineMax, Inc. (A) | 4,881 | 237,900 | |||
Monro, Inc. | 7,516 | 477,341 | |||
Murphy USA, Inc. | 5,628 | 750,606 | |||
National Vision Holdings, Inc. (A) | 18,351 | 938,287 | |||
OneWater Marine, Inc., Class A | 2,544 | 106,924 | |||
Party City Holdco, Inc. (A) | 24,992 | 233,175 | |||
Rent-A-Center, Inc. | 14,803 | 785,595 | |||
Sally Beauty Holdings, Inc. (A) | 25,363 | 559,761 | |||
Shift Technologies, Inc. (A) | 14,869 | 127,576 | |||
Shoe Carnival, Inc. | 2,026 | 145,041 | |||
Signet Jewelers, Ltd. (A) | 11,679 | 943,546 | |||
Sleep Number Corp. (A) | 5,341 | 587,243 | |||
Sonic Automotive, Inc., Class A | 4,995 | 223,476 | |||
Sportsman's Warehouse Holdings, Inc. (A) | 10,036 | 178,340 | |||
The Aaron's Company, Inc. | 7,691 | 246,035 | |||
The Buckle, Inc. | 6,673 | 331,982 | |||
The Cato Corp., Class A | 5,115 | 86,290 | |||
The Children's Place, Inc. (A) | 3,156 | 293,697 | |||
The Container Store Group, Inc. (A) | 7,549 | 98,439 | |||
The ODP Corp. (A) | 10,923 | 524,413 | |||
Tilly's, Inc., Class A | 5,797 | 92,636 | |||
TravelCenters of America, Inc. (A) | 3,181 | 93,012 | |||
Urban Outfitters, Inc. (A) | 15,279 | 629,800 | |||
Winmark Corp. | 839 | 161,155 | |||
Zumiez, Inc. (A) | 4,940 | 242,011 | |||
18,626,494 | |||||
Textiles, apparel and luxury goods – 0.7% | |||||
Crocs, Inc. (A) | 14,433 | 1,681,733 | |||
Fossil Group, Inc. (A) | 10,919 | 155,923 | |||
G-III Apparel Group, Ltd. (A) | 9,967 | 327,516 | |||
Kontoor Brands, Inc. | 11,574 | 652,889 | |||
Movado Group, Inc. | 3,723 | 117,163 | |||
Oxford Industries, Inc. | 3,635 | 359,283 | |||
PLBY Group, Inc. (A) | 2,522 | 98,081 | |||
Rocky Brands, Inc. | 1,701 | 94,576 | |||
Steven Madden, Ltd. | 18,278 | 799,845 | |||
Unifi, Inc. (A) | 3,265 | 79,535 | |||
Vera Bradley, Inc. (A) | 6,816 | 84,450 | |||
Wolverine World Wide, Inc. | 18,196 | 612,113 | |||
5,063,107 | |||||
80,843,471 | |||||
Consumer staples – 3.0% | |||||
Beverages – 0.3% | |||||
Celsius Holdings, Inc. (A) | 10,245 | 779,542 | |||
Coca-Cola Consolidated, Inc. | 1,062 | 427,062 | |||
Duckhorn Portfolio, Inc. (A) | 4,417 | 97,439 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Beverages (continued) | |||||
MGP Ingredients, Inc. | 3,195 | $ | 216,110 | ||
National Beverage Corp. | 5,302 | 250,413 | |||
NewAge, Inc. (A) | 32,864 | 73,287 | |||
Primo Water Corp. | 34,723 | 580,916 | |||
2,424,769 | |||||
Food and staples retailing – 0.8% | |||||
BJ's Wholesale Club Holdings, Inc. (A) | 30,519 | 1,452,094 | |||
Ingles Markets, Inc., Class A | 3,658 | 213,152 | |||
Performance Food Group Company (A) | 29,525 | 1,431,667 | |||
PriceSmart, Inc. | 5,226 | 475,618 | |||
Rite Aid Corp. (A) | 12,403 | 202,169 | |||
SpartanNash Company | 8,716 | 168,306 | |||
Sprouts Farmers Market, Inc. (A) | 27,033 | 671,770 | |||
The Andersons, Inc. | 7,339 | 224,060 | |||
The Chefs' Warehouse, Inc. (A) | 7,249 | 230,736 | |||
United Natural Foods, Inc. (A) | 12,460 | 460,771 | |||
Weis Markets, Inc. | 4,289 | 221,570 | |||
5,751,913 | |||||
Food products – 1.0% | |||||
AppHarvest, Inc. (A) | 10,943 | 175,088 | |||
B&G Foods, Inc. (B) | 14,257 | 467,630 | |||
Calavo Growers, Inc. | 3,867 | 245,245 | |||
Cal-Maine Foods, Inc. | 8,109 | 293,627 | |||
Fresh Del Monte Produce, Inc. | 7,682 | 252,584 | |||
Hostess Brands, Inc. (A) | 29,342 | 475,047 | |||
J&J Snack Foods Corp. | 3,300 | 575,553 | |||
John B. Sanfilippo & Son, Inc. | 2,101 | 186,086 | |||
Lancaster Colony Corp. | 4,198 | 812,355 | |||
Landec Corp. (A) | 7,638 | 85,928 | |||
Limoneira Company | 4,742 | 83,222 | |||
Mission Produce, Inc. (A) | 8,466 | 175,331 | |||
Sanderson Farms, Inc. | 4,544 | 854,136 | |||
Seneca Foods Corp., Class A (A) | 1,677 | 85,661 | |||
Tattooed Chef, Inc. (A) | 10,537 | 226,019 | |||
The Simply Good Foods Company (A) | 19,141 | 698,838 | |||
Tootsie Roll Industries, Inc. | 3,555 | 120,550 | |||
TreeHouse Foods, Inc. (A) | 11,541 | 513,805 | |||
Utz Brands, Inc. | 13,199 | 287,606 | |||
Vital Farms, Inc. (A) | 5,788 | 115,528 | |||
Whole Earth Brands, Inc. (A) | 9,140 | 132,530 | |||
6,862,369 | |||||
Household products – 0.3% | |||||
Central Garden & Pet Company (A) | 3,856 | 204,098 | |||
Central Garden & Pet Company, Class A (A) | 7,237 | 349,547 | |||
Energizer Holdings, Inc. | 15,264 | 656,047 | |||
WD-40 Company | 3,054 | 782,710 | |||
1,992,402 | |||||
Personal products – 0.5% | |||||
Beauty Health Company (A) | 10,649 | 178,903 | |||
BellRing Brands, Inc., Class A (A) | 8,975 | 281,277 | |||
Edgewell Personal Care Company | 12,140 | 532,946 | |||
elf Beauty, Inc. (A) | 10,344 | 280,736 | |||
Inter Parfums, Inc. | 4,097 | 294,984 | |||
Medifast, Inc. | 2,599 | 735,465 | |||
Nu Skin Enterprises, Inc., Class A | 11,157 | 632,044 | |||
The Honest Company, Inc. (A) | 6,270 | 101,511 | |||
USANA Health Sciences, Inc. (A) | 2,856 | 292,540 | |||
Veru, Inc. (A) | 14,697 | 118,605 | |||
3,449,011 | |||||
Tobacco – 0.1% | |||||
22nd Century Group, Inc. (A)(B) | 34,947 | 161,805 | |||
Turning Point Brands, Inc. | 3,392 | 155,252 |
The accompanying notes are an integral part of the financial statements. | 103 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Tobacco (continued) | |||||
Universal Corp. | 5,406 | $ | 307,980 | ||
Vector Group, Ltd. | 32,219 | 455,577 | |||
1,080,614 | |||||
21,561,078 | |||||
Energy – 4.1% | |||||
Energy equipment and services – 0.9% | |||||
Archrock, Inc. | 29,448 | 262,382 | |||
Aspen Aerogels, Inc. (A) | 5,320 | 159,174 | |||
Cactus, Inc., Class A | 12,139 | 445,744 | |||
ChampionX Corp. (A) | 45,292 | 1,161,740 | |||
DMC Global, Inc. (A) | 4,252 | 239,005 | |||
Dril-Quip, Inc. (A) | 7,651 | 258,833 | |||
Frank's International NV (A) | 39,231 | 118,870 | |||
FTS International, Inc., Class A (A) | 2,125 | 60,116 | |||
Helix Energy Solutions Group, Inc. (A) | 32,463 | 185,364 | |||
Helmerich & Payne, Inc. | 23,052 | 752,187 | |||
Liberty Oilfield Services, Inc., Class A (A) | 19,429 | 275,115 | |||
Nabors Industries, Ltd. (A) | 1,603 | 183,127 | |||
National Energy Services Reunited Corp. (A) | 6,826 | 97,271 | |||
Newpark Resources, Inc. (A) | 22,757 | 78,739 | |||
NexTier Oilfield Solutions, Inc. (A) | 39,608 | 188,534 | |||
Oceaneering International, Inc. (A) | 22,439 | 349,375 | |||
Oil States International, Inc. (A) | 14,787 | 116,078 | |||
Patterson-UTI Energy, Inc. | 41,948 | 416,963 | |||
ProPetro Holding Corp. (A) | 19,638 | 179,884 | |||
RPC, Inc. (A) | 15,573 | 77,086 | |||
Select Energy Services, Inc., Class A (A) | 14,691 | 88,734 | |||
Solaris Oilfield Infrastructure, Inc., Class A | 8,424 | 82,050 | |||
TETRA Technologies, Inc. (A) | 28,514 | 123,751 | |||
Tidewater, Inc. (A) | 9,600 | 115,680 | |||
U.S. Silica Holdings, Inc. (A) | 16,613 | 192,046 | |||
6,207,848 | |||||
Oil, gas and consumable fuels – 3.2% | |||||
Aemetis, Inc. (A) | 5,544 | 61,926 | |||
Alto Ingredients, Inc. (A) | 16,898 | 103,247 | |||
Antero Resources Corp. (A) | 63,958 | 961,289 | |||
Arch Resources, Inc. (A) | 3,352 | 190,997 | |||
Berry Corp. | 16,212 | 108,945 | |||
Bonanza Creek Energy, Inc. | 6,802 | 320,170 | |||
Brigham Minerals, Inc., Class A | 10,176 | 216,647 | |||
California Resources Corp. (A) | 18,738 | 564,763 | |||
Callon Petroleum Company (A) | 8,919 | 514,537 | |||
Centennial Resource Development, Inc., Class A (A) | 40,691 | 275,885 | |||
Centrus Energy Corp., Class A (A) | 2,443 | 62,003 | |||
Chesapeake Energy Corp. | 21,973 | 1,140,838 | |||
Clean Energy Fuels Corp. (A) | 31,377 | 318,477 | |||
CNX Resources Corp. (A) | 48,372 | 660,762 | |||
Comstock Resources, Inc. (A) | 21,102 | 140,750 | |||
CONSOL Energy, Inc. (A) | 7,895 | 145,821 | |||
Contango Oil & Gas Company (A)(B) | 33,907 | 146,478 | |||
CVR Energy, Inc. | 6,645 | 119,344 | |||
Delek US Holdings, Inc. | 14,865 | 321,381 | |||
Denbury, Inc. (A) | 11,282 | 866,232 | |||
DHT Holdings, Inc. | 32,035 | 207,907 | |||
Diamond S Shipping, Inc. (A) | 7,841 | 78,096 | |||
Dorian LPG, Ltd. (A) | 6,940 | 97,993 | |||
Earthstone Energy, Inc., Class A (A) | 6,138 | 67,948 | |||
Energy Fuels, Inc. (A)(B) | 32,193 | 194,768 | |||
Equitrans Midstream Corp. | 91,765 | 780,920 | |||
Extraction Oil & Gas, Inc. (A) | 3,565 | 195,754 | |||
Frontline, Ltd. (B) | 26,873 | 241,857 | |||
Gevo, Inc. (A) | 43,949 | 319,509 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Oil, gas and consumable fuels (continued) | |||||
Golar LNG, Ltd. (A) | 23,188 | $ | 307,241 | ||
Green Plains, Inc. (A) | 9,632 | 323,828 | |||
International Seaways, Inc. | 5,739 | 110,074 | |||
Kosmos Energy, Ltd. (A) | 91,495 | 316,573 | |||
Laredo Petroleum, Inc. (A) | 2,850 | 264,452 | |||
Magnolia Oil & Gas Corp., Class A (A) | 31,325 | 489,610 | |||
Matador Resources Company | 24,811 | 893,444 | |||
Meta Materials, Inc. (A) | 14,348 | 107,463 | |||
Murphy Oil Corp. | 32,741 | 762,210 | |||
Nordic American Tankers, Ltd. | 36,194 | 118,716 | |||
Northern Oil and Gas, Inc. | 10,846 | 225,271 | |||
Oasis Petroleum, Inc. | 4,498 | 452,274 | |||
Ovintiv, Inc. | 58,589 | 1,843,796 | |||
Par Pacific Holdings, Inc. (A) | 10,445 | 175,685 | |||
PBF Energy, Inc., Class A (A) | 21,711 | 332,178 | |||
PDC Energy, Inc. | 22,272 | 1,019,835 | |||
Peabody Energy Corp. (A) | 15,741 | 124,826 | |||
Penn Virginia Corp. (A) | 3,720 | 87,829 | |||
Range Resources Corp. (A) | 53,434 | 895,554 | |||
Renewable Energy Group, Inc. (A) | 10,021 | 624,709 | |||
REX American Resources Corp. (A) | 1,296 | 116,873 | |||
Riley Exploration Permian, Inc. (B) | 2,085 | 60,423 | |||
Scorpio Tankers, Inc. | 11,047 | 243,586 | |||
SFL Corp., Ltd. | 24,886 | 190,378 | |||
SM Energy Company | 26,077 | 642,277 | |||
Southwestern Energy Company (A) | 151,353 | 858,172 | |||
Talos Energy, Inc. (A) | 8,521 | 133,268 | |||
Teekay Corp. (A) | 18,339 | 68,221 | |||
Teekay Tankers, Ltd., Class A (A) | 5,695 | 82,122 | |||
Tellurian, Inc. (A) | 71,445 | 332,219 | |||
Uranium Energy Corp. (A)(B) | 49,535 | 131,763 | |||
Ur-Energy, Inc. (A) | 46,463 | 65,048 | |||
Vine Energy, Inc., Class A (A) | 5,016 | 78,199 | |||
W&T Offshore, Inc. (A) | 22,279 | 108,053 | |||
Whiting Petroleum Corp. (A) | 8,776 | 478,731 | |||
World Fuel Services Corp. | 13,970 | 443,268 | |||
22,933,413 | |||||
29,141,261 | |||||
Financials – 14.1% | |||||
Banks – 7.4% | |||||
1st Source Corp. | 3,224 | 149,787 | |||
Allegiance Bancshares, Inc. | 4,435 | 170,481 | |||
Altabancorp | 4,171 | 180,646 | |||
Amerant Bancorp, Inc. (A) | 4,877 | 104,270 | |||
American National Bankshares, Inc. | 3,279 | 101,944 | |||
Ameris Bancorp | 14,870 | 752,868 | |||
Arrow Financial Corp. | 3,605 | 129,600 | |||
Associated Banc-Corp. | 32,964 | 675,103 | |||
Atlantic Capital Bancshares, Inc. (A) | 4,919 | 125,238 | |||
Atlantic Union Bankshares Corp. | 17,347 | 628,308 | |||
Banc of California, Inc. | 10,260 | 179,960 | |||
BancFirst Corp. | 3,712 | 231,740 | |||
BancorpSouth Bank | 22,350 | 633,176 | |||
Bank First Corp. | 1,558 | 108,702 | |||
Bank of Marin Bancorp | 3,661 | 116,786 | |||
BankUnited, Inc. | 20,300 | 866,607 | |||
Banner Corp. | 7,580 | 410,912 | |||
Bar Harbor Bankshares | 4,123 | 118,000 | |||
Berkshire Hills Bancorp, Inc. | 11,378 | 311,871 | |||
Blue Ridge Bankshares, Inc. | 5,883 | 103,070 | |||
Boston Private Financial Holdings, Inc. | 18,490 | 272,728 | |||
Brookline Bancorp, Inc. | 17,621 | 263,434 | |||
Bryn Mawr Bank Corp. | 4,411 | 186,100 | |||
Business First Bancshares, Inc. | 5,069 | 116,334 | |||
Byline Bancorp, Inc. | 5,920 | 133,970 |
The accompanying notes are an integral part of the financial statements. | 104 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Banks (continued) | |||||
Cadence BanCorp | 27,551 | $ | 575,265 | ||
Cambridge Bancorp | 1,581 | 131,207 | |||
Camden National Corp. | 3,494 | 166,873 | |||
Capital City Bank Group, Inc. | 4,183 | 107,880 | |||
Capstar Financial Holdings, Inc. | 5,458 | 111,889 | |||
Carter Bankshares, Inc. (A) | 7,077 | 88,533 | |||
Cathay General Bancorp | 16,484 | 648,810 | |||
CBTX, Inc. | 4,238 | 115,740 | |||
Central Pacific Financial Corp. | 6,333 | 165,038 | |||
Century Bancorp, Inc., Class A | 791 | 90,174 | |||
CIT Group, Inc. | 21,962 | 1,133,020 | |||
Citizens & Northern Corp. | 4,341 | 106,355 | |||
City Holding Company | 3,008 | 226,322 | |||
Civista Bancshares, Inc. | 5,029 | 111,141 | |||
CNB Financial Corp. | 4,957 | 113,119 | |||
Coastal Financial Corp. (A) | 2,697 | 77,026 | |||
Columbia Banking System, Inc. | 15,621 | 602,346 | |||
Community Bank System, Inc. | 11,523 | 871,715 | |||
Community Trust Bancorp, Inc. | 3,551 | 143,389 | |||
ConnectOne Bancorp, Inc. | 8,140 | 213,024 | |||
CrossFirst Bankshares, Inc. (A) | 11,174 | 153,643 | |||
Customers Bancorp, Inc. (A) | 6,549 | 255,346 | |||
CVB Financial Corp. | 27,681 | 569,952 | |||
Dime Community Bancshares, Inc. | 7,762 | 260,958 | |||
Eagle Bancorp, Inc. | 6,613 | 370,857 | |||
Eastern Bankshares, Inc. | 37,845 | 778,472 | |||
Enterprise Financial Services Corp. | 6,152 | 285,391 | |||
Equity Bancshares, Inc., Class A (A) | 3,675 | 112,051 | |||
Farmers National Banc Corp. | 7,456 | 115,643 | |||
FB Financial Corp. | 7,304 | 272,585 | |||
Financial Institutions, Inc. | 4,351 | 130,530 | |||
First Bancorp (North Carolina) | 6,219 | 254,419 | |||
First Bancorp (Puerto Rico) | 47,596 | 567,344 | |||
First Bank | 5,943 | 80,468 | |||
First Busey Corp. | 11,081 | 273,257 | |||
First Choice Bancorp | 3,049 | 92,842 | |||
First Commonwealth Financial Corp. | 20,045 | 282,033 | |||
First Community Bankshares, Inc. | 4,426 | 132,116 | |||
First Financial Bancorp | 21,207 | 501,121 | |||
First Financial Bankshares, Inc. | 28,372 | 1,393,916 | |||
First Financial Corp. | 2,931 | 119,643 | |||
First Foundation, Inc. | 9,199 | 207,069 | |||
First Internet Bancorp | 3,108 | 96,286 | |||
First Interstate BancSystem, Inc., Class A | 8,833 | 369,484 | |||
First Merchants Corp. | 11,897 | 495,748 | |||
First Mid Bancshares, Inc. | 3,971 | 160,865 | |||
First Midwest Bancorp, Inc. | 25,019 | 496,127 | |||
Flushing Financial Corp. | 6,920 | 148,296 | |||
Fulton Financial Corp. | 34,297 | 541,207 | |||
German American Bancorp, Inc. | 5,463 | 203,224 | |||
Glacier Bancorp, Inc. | 21,089 | 1,161,582 | |||
Great Southern Bancorp, Inc. | 2,379 | 128,228 | |||
Great Western Bancorp, Inc. | 12,317 | 403,874 | |||
Guaranty Bancshares, Inc. | 2,495 | 85,005 | |||
Hancock Whitney Corp. | 19,138 | 850,493 | |||
Hanmi Financial Corp. | 7,483 | 142,626 | |||
HarborOne Bancorp, Inc. | 11,911 | 170,804 | |||
Heartland Financial USA, Inc. | 8,184 | 384,566 | |||
Heritage Commerce Corp. | 14,319 | 159,370 | |||
Heritage Financial Corp. | 7,765 | 194,280 | |||
Hilltop Holdings, Inc. | 13,927 | 506,943 | |||
Home BancShares, Inc. | 33,368 | 823,522 | |||
HomeTrust Bancshares, Inc. | 4,188 | 116,845 | |||
Hope Bancorp, Inc. | 26,479 | 375,472 | |||
Horizon Bancorp, Inc. | 10,287 | 179,302 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Banks (continued) | |||||
Howard Bancorp, Inc. (A) | 4,316 | $ | 69,617 | ||
Independent Bank Corp. (Massachusetts) | 7,141 | 539,146 | |||
Independent Bank Corp. (Michigan) | 5,967 | 129,544 | |||
Independent Bank Group, Inc. | 8,257 | 610,853 | |||
International Bancshares Corp. | 11,590 | 497,675 | |||
Investors Bancorp, Inc. | 49,270 | 702,590 | |||
Lakeland Bancorp, Inc. | 10,999 | 192,263 | |||
Lakeland Financial Corp. | 5,177 | 319,110 | |||
Live Oak Bancshares, Inc. | 7,100 | 418,900 | |||
Macatawa Bank Corp. | 11,712 | 102,480 | |||
Mercantile Bank Corp. | 4,287 | 129,467 | |||
Metrocity Bankshares, Inc. | 4,451 | 77,937 | |||
Metropolitan Bank Holding Corp. (A) | 1,899 | 114,358 | |||
Midland States Bancorp, Inc. | 5,377 | 141,254 | |||
MidWestOne Financial Group, Inc. | 4,140 | 119,108 | |||
MVB Financial Corp. | 2,480 | 105,797 | |||
National Bank Holdings Corp., Class A | 6,084 | 229,610 | |||
NBT Bancorp, Inc. | 9,087 | 326,859 | |||
Nicolet Bankshares, Inc. (A) | 1,971 | 138,640 | |||
Northrim BanCorp, Inc. | 2,599 | 111,107 | |||
OceanFirst Financial Corp. | 13,199 | 275,067 | |||
OFG Bancorp | 11,255 | 248,961 | |||
Old National Bancorp | 34,999 | 616,332 | |||
Old Second Bancorp, Inc. | 8,828 | 109,467 | |||
Origin Bancorp, Inc. | 4,942 | 209,837 | |||
Orrstown Financial Services, Inc. | 4,601 | 106,145 | |||
Pacific Premier Bancorp, Inc. | 20,835 | 881,112 | |||
Park National Corp. | 3,076 | 361,184 | |||
Peapack-Gladstone Financial Corp. | 4,496 | 139,691 | |||
Peoples Bancorp, Inc. | 4,654 | 137,851 | |||
Peoples Financial Services Corp. | 2,158 | 91,931 | |||
Preferred Bank | 3,062 | 193,733 | |||
Premier Financial Bancorp, Inc. | 4,718 | 79,498 | |||
Primis Financial Corp. | 8,309 | 126,795 | |||
QCR Holdings, Inc. | 3,584 | 172,355 | |||
RBB Bancorp | 4,276 | 103,565 | |||
Red River Bancshares, Inc. | 1,513 | 76,422 | |||
Reliant Bancorp, Inc. | 4,111 | 113,998 | |||
Renasant Corp. | 11,957 | 478,280 | |||
Republic Bancorp, Inc., Class A | 2,300 | 106,099 | |||
S&T Bancorp, Inc. | 8,217 | 257,192 | |||
Sandy Spring Bancorp, Inc. | 9,883 | 436,137 | |||
Seacoast Banking Corp. of Florida | 11,682 | 398,940 | |||
ServisFirst Bancshares, Inc. | 10,997 | 747,576 | |||
Sierra Bancorp | 4,501 | 114,550 | |||
Silvergate Capital Corp., Class A (A) | 5,137 | 582,125 | |||
Simmons First National Corp., Class A | 23,611 | 692,747 | |||
SmartFinancial, Inc. | 4,550 | 109,246 | |||
South State Corp. | 15,612 | 1,276,437 | |||
Southern First Bancshares, Inc. (A) | 2,307 | 118,026 | |||
Southside Bancshares, Inc. | 6,368 | 243,449 | |||
Spirit of Texas Bancshares, Inc. | 4,618 | 105,475 | |||
Stock Yards Bancorp, Inc. | 4,421 | 224,985 | |||
SVB Financial Group (A) | 422 | 169,380 | |||
Texas Capital Bancshares, Inc. (A) | 11,135 | 706,961 | |||
The Bancorp, Inc. (A) | 11,819 | 271,955 | |||
The Bank of NT Butterfield & Son, Ltd. | 10,856 | 384,845 | |||
The First Bancorp, Inc. | 3,046 | 89,705 | |||
The First Bancshares, Inc. | 4,809 | 180,001 | |||
The First of Long Island Corp. | 6,279 | 133,303 | |||
Tompkins Financial Corp. | 3,050 | 236,558 | |||
Towne Bank | 14,275 | 434,246 | |||
TriCo Bancshares | 5,719 | 243,515 | |||
TriState Capital Holdings, Inc. (A) | 7,056 | 143,872 | |||
Triumph Bancorp, Inc. (A) | 5,245 | 389,441 |
The accompanying notes are an integral part of the financial statements. | 105 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Banks (continued) | |||||
Trustmark Corp. | 13,718 | $ | 422,514 | ||
UMB Financial Corp. | 9,512 | 885,187 | |||
United Bankshares, Inc. | 27,483 | 1,003,130 | |||
United Community Banks, Inc. | 19,147 | 612,895 | |||
Univest Financial Corp. | 6,797 | 179,237 | |||
Valley National Bancorp | 89,441 | 1,201,193 | |||
Veritex Holdings, Inc. | 10,525 | 372,690 | |||
Washington Trust Bancorp, Inc. | 3,945 | 202,576 | |||
WesBanco, Inc. | 14,418 | 513,713 | |||
West BanCorp, Inc. | 4,834 | 134,144 | |||
Westamerica Bancorporation | 5,498 | 319,049 | |||
52,515,939 | |||||
Capital markets – 1.4% | |||||
Artisan Partners Asset Management, Inc., Class A | 13,193 | 670,468 | |||
AssetMark Financial Holdings, Inc. (A) | 4,239 | 106,229 | |||
B. Riley Financial, Inc. | 4,505 | 340,128 | |||
BGC Partners, Inc., Class A | 74,588 | 422,914 | |||
Blucora, Inc. (A) | 11,249 | 194,720 | |||
Brightsphere Investment Group, Inc. | 12,929 | 302,926 | |||
Cohen & Steers, Inc. | 5,593 | 459,129 | |||
Cowen, Inc., Class A | 5,782 | 237,351 | |||
Diamond Hill Investment Group, Inc. | 830 | 138,867 | |||
Donnelley Financial Solutions, Inc. (A) | 6,642 | 219,186 | |||
Ellington Financial, Inc. | 9,463 | 181,216 | |||
Federated Hermes, Inc. | 21,167 | 717,773 | |||
Focus Financial Partners, Inc., Class A (A) | 9,972 | 483,642 | |||
GCM Grosvenor, Inc., Class A | 8,110 | 84,506 | |||
Hamilton Lane, Inc., Class A | 7,693 | 700,986 | |||
Houlihan Lokey, Inc. | 11,540 | 943,857 | |||
Moelis & Company, Class A | 13,750 | 782,238 | |||
Open Lending Corp., Class A (A) | 23,389 | 1,007,832 | |||
Oppenheimer Holdings, Inc., Class A | 2,120 | 107,781 | |||
Piper Sandler Companies | 3,935 | 509,819 | |||
PJT Partners, Inc., Class A | 5,366 | 383,025 | |||
Sculptor Capital Management, Inc. | 5,318 | 130,770 | |||
StepStone Group, Inc., Class A | 8,543 | 293,879 | |||
StoneX Group, Inc. (A) | 3,759 | 228,059 | |||
Virtus Investment Partners, Inc. | 1,626 | 451,654 | |||
WisdomTree Investments, Inc. | 32,538 | 201,736 | |||
10,300,691 | |||||
Consumer finance – 0.8% | |||||
Curo Group Holdings Corp. | 5,048 | 85,816 | |||
Encore Capital Group, Inc. (A) | 6,832 | 323,768 | |||
Enova International, Inc. (A) | 8,081 | 276,451 | |||
EZCORP, Inc., Class A (A) | 12,803 | 77,202 | |||
FirstCash, Inc. | 9,016 | 689,183 | |||
Green Dot Corp., Class A (A) | 11,898 | 557,421 | |||
LendingClub Corp. (A) | 21,608 | 391,753 | |||
LendingTree, Inc. (A) | 2,606 | 552,159 | |||
Navient Corp. | 39,207 | 757,871 | |||
Nelnet, Inc., Class A | 3,663 | 275,567 | |||
Oportun Financial Corp. (A) | 5,055 | 101,252 | |||
PRA Group, Inc. (A) | 10,165 | 391,048 | |||
PROG Holdings, Inc. (A) | 15,013 | 722,576 | |||
Regional Management Corp. | 2,092 | 97,362 | |||
World Acceptance Corp. (A) | 988 | 158,317 | |||
5,457,746 | |||||
Diversified financial services – 0.2% | |||||
Alerus Financial Corp. | 3,801 | 110,267 | |||
A-Mark Precious Metals, Inc. | 2,049 | 95,279 | |||
Banco Latinoamericano de Comercio Exterior SA, Class E | 7,338 | 112,785 | |||
Cannae Holdings, Inc. (A) | 19,471 | 660,262 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Diversified financial services (continued) | |||||
E2open Parent Holdings, Inc. (A) | 9,510 | $ | 108,604 | ||
NewStar Financial, Inc. (A)(C) | 8,978 | 912 | |||
1,088,109 | |||||
Insurance – 1.8% | |||||
Ambac Financial Group, Inc. (A) | 10,590 | 165,839 | |||
American Equity Investment Life Holding Company | 18,868 | 609,814 | |||
American National Group, Inc. | 1,672 | 248,376 | |||
AMERISAFE, Inc. | 4,614 | 275,410 | |||
Argo Group International Holdings, Ltd. | 7,234 | 374,938 | |||
BRP Group, Inc., Class A (A) | 10,564 | 281,531 | |||
Citizens, Inc. (A)(B) | 16,230 | 85,857 | |||
CNO Financial Group, Inc. | 29,409 | 694,641 | |||
Donegal Group, Inc., Class A | 5,882 | 85,701 | |||
eHealth, Inc. (A) | 5,492 | 320,733 | |||
Employers Holdings, Inc. | 6,408 | 274,262 | |||
Enstar Group, Ltd. (A) | 3,000 | 716,760 | |||
Genworth Financial, Inc., Class A (A) | 112,833 | 440,049 | |||
Goosehead Insurance, Inc., Class A | 4,013 | 510,855 | |||
Greenlight Capital Re, Ltd., Class A (A) | 9,270 | 84,635 | |||
HCI Group, Inc. (B) | 1,333 | 132,540 | |||
Horace Mann Educators Corp. | 9,399 | 351,711 | |||
James River Group Holdings, Ltd. | 8,131 | 305,075 | |||
Kinsale Capital Group, Inc. | 4,817 | 793,697 | |||
Maiden Holdings, Ltd. (A) | 19,028 | 64,124 | |||
MBIA, Inc. (A) | 11,709 | 128,799 | |||
MetroMile, Inc. (A) | 8,948 | 81,874 | |||
National Western Life Group, Inc., Class A | 648 | 145,405 | |||
Palomar Holdings, Inc. (A) | 5,553 | 419,029 | |||
ProAssurance Corp. | 12,295 | 279,711 | |||
RLI Corp. | 8,885 | 929,282 | |||
Safety Insurance Group, Inc. | 3,406 | 266,622 | |||
Selective Insurance Group, Inc. | 13,155 | 1,067,528 | |||
Selectquote, Inc. (A) | 30,127 | 580,246 | |||
SiriusPoint, Ltd. (A) | 20,397 | 205,398 | |||
State Auto Financial Corp. | 5,171 | 88,528 | |||
Stewart Information Services Corp. | 5,886 | 333,677 | |||
Trean Insurance Group, Inc. (A) | 4,469 | 67,393 | |||
Trupanion, Inc. (A) | 8,602 | 990,090 | |||
United Fire Group, Inc. | 4,958 | 137,485 | |||
Universal Insurance Holdings, Inc. | 7,386 | 102,518 | |||
Watford Holdings, Ltd. (A) | 4,104 | 143,599 | |||
12,783,732 | |||||
Mortgage real estate investment trusts – 1.1% | |||||
Apollo Commercial Real Estate Finance, Inc. | 31,699 | 505,599 | |||
Arbor Realty Trust, Inc. | 28,296 | 504,235 | |||
Ares Commercial Real Estate Corp. | 9,060 | 133,091 | |||
ARMOUR Residential REIT, Inc. | 14,132 | 161,387 | |||
Blackstone Mortgage Trust, Inc., Class A | 30,495 | 972,486 | |||
BrightSpire Capital, Inc. | 19,690 | 185,086 | |||
Broadmark Realty Capital, Inc. | 28,312 | 299,824 | |||
Capstead Mortgage Corp. | 22,671 | 139,200 | |||
Chimera Investment Corp. | 50,795 | 764,973 | |||
Dynex Capital, Inc. | 7,278 | 135,807 | |||
Granite Point Mortgage Trust, Inc. | 12,763 | 188,254 | |||
Hannon Armstrong Sustainable Infrastructure Capital, Inc. | 17,136 | 962,186 | |||
Invesco Mortgage Capital, Inc. | 55,795 | 217,601 | |||
KKR Real Estate Finance Trust, Inc. | 6,703 | 144,986 | |||
Ladder Capital Corp. | 25,700 | 296,578 | |||
MFA Financial, Inc. | 97,495 | 447,502 | |||
New York Mortgage Trust, Inc. | 85,472 | 382,060 | |||
Orchid Island Capital, Inc. | 22,672 | 117,668 | |||
PennyMac Mortgage Investment Trust | 21,820 | 459,529 |
The accompanying notes are an integral part of the financial statements. | 106 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Mortgage real estate investment trusts (continued) | |||||
Ready Capital Corp. | 13,302 | $ | 211,103 | ||
Redwood Trust, Inc. | 25,499 | 307,773 | |||
TPG RE Finance Trust, Inc. | 13,635 | 183,391 | |||
Two Harbors Investment Corp. | 61,150 | 462,294 | |||
8,182,613 | |||||
Thrifts and mortgage finance – 1.4% | |||||
Axos Financial, Inc. (A) | 12,393 | 574,911 | |||
Bridgewater Bancshares, Inc. (A) | 6,530 | 105,460 | |||
Capitol Federal Financial, Inc. | 27,309 | 321,700 | |||
Columbia Financial, Inc. (A) | 8,485 | 146,112 | |||
Essent Group, Ltd. | 24,648 | 1,107,928 | |||
Federal Agricultural Mortgage Corp., Class C | 2,034 | 201,163 | |||
Finance of America Companies, Inc., Class A (A) | 8,092 | 61,742 | |||
Flagstar Bancorp, Inc. | 10,923 | 461,715 | |||
FS Bancorp, Inc. | 1,350 | 96,215 | |||
Home Bancorp, Inc. | 2,840 | 108,232 | |||
HomeStreet, Inc. | 4,743 | 193,230 | |||
Kearny Financial Corp. | 17,135 | 204,763 | |||
Merchants Bancorp | 2,216 | 86,956 | |||
Meridian Bancorp, Inc. | 10,737 | 219,679 | |||
Meta Financial Group, Inc. | 7,169 | 362,966 | |||
Mr. Cooper Group, Inc. (A) | 15,899 | 525,621 | |||
NMI Holdings, Inc., Class A (A) | 18,894 | 424,737 | |||
Northfield Bancorp, Inc. | 11,046 | 181,154 | |||
Northwest Bancshares, Inc. | 26,183 | 357,136 | |||
Ocwen Financial Corp. (A) | 2,199 | 68,125 | |||
PCSB Financial Corp. | 4,896 | 88,960 | |||
PennyMac Financial Services, Inc. | 7,812 | 482,157 | |||
Premier Financial Corp. | 8,492 | 241,258 | |||
Provident Bancorp, Inc. | 5,000 | 81,550 | |||
Provident Financial Services, Inc. | 16,404 | 375,488 | |||
Radian Group, Inc. | 42,628 | 948,473 | |||
Southern Missouri Bancorp, Inc. | 2,313 | 103,992 | |||
The Hingham Institution for Savings | 376 | 109,228 | |||
TrustCo Bank Corp. | 4,741 | 162,996 | |||
Walker & Dunlop, Inc. | 6,509 | 679,409 | |||
Washington Federal, Inc. | 15,148 | 481,403 | |||
Waterstone Financial, Inc. | 6,810 | 133,885 | |||
WSFS Financial Corp. | 10,239 | 477,035 | |||
10,175,379 | |||||
100,504,209 | |||||
Health care – 20.2% | |||||
Biotechnology – 9.7% | |||||
ACADIA Pharmaceuticals, Inc. (A) | 26,957 | 657,481 | |||
Achillion Pharmaceuticals, Inc. (A)(C) | 38,157 | 57,381 | |||
Aduro Biotech, Inc. (A)(C) | 4,010 | 12,030 | |||
Adverum Biotechnologies, Inc. (A) | 21,482 | 75,187 | |||
Aeglea BioTherapeutics, Inc. (A) | 10,692 | 74,416 | |||
Affimed NV (A) | 26,114 | 221,969 | |||
Agenus, Inc. (A) | 44,947 | 246,759 | |||
Agios Pharmaceuticals, Inc. (A) | 13,861 | 763,880 | |||
Akebia Therapeutics, Inc. (A) | 37,964 | 143,884 | |||
Akero Therapeutics, Inc. (A) | 6,063 | 150,423 | |||
Akouos, Inc. (A)(B) | 6,054 | 75,978 | |||
Albireo Pharma, Inc. (A) | 4,099 | 144,203 | |||
Alder Biopharmaceuticals, Inc. (A)(B)(C) | 20,275 | 29,478 | |||
Aldeyra Therapeutics, Inc. (A) | 11,406 | 129,230 | |||
Alector, Inc. (A) | 13,268 | 276,372 | |||
Aligos Therapeutics, Inc. (A) | 4,464 | 90,999 | |||
Alkermes PLC (A) | 35,948 | 881,445 | |||
Allakos, Inc. (A) | 7,860 | 671,008 | |||
Allogene Therapeutics, Inc. (A) | 15,352 | 400,380 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Biotechnology (continued) | |||||
Allovir, Inc. (A) | 6,716 | $ | 132,574 | ||
Altimmune, Inc. (A) | 7,590 | 74,762 | |||
ALX Oncology Holdings, Inc. (A) | 4,101 | 224,243 | |||
Amicus Therapeutics, Inc. (A) | 59,330 | 571,941 | |||
AnaptysBio, Inc. (A) | 4,579 | 118,733 | |||
Anavex Life Sciences Corp. (A) | 14,167 | 323,858 | |||
Anika Therapeutics, Inc. (A) | 3,322 | 143,809 | |||
Annexon, Inc. (A) | 7,299 | 164,300 | |||
Apellis Pharmaceuticals, Inc. (A) | 14,612 | 923,478 | |||
Applied Molecular Transport, Inc. (A)(B) | 5,583 | 255,366 | |||
Applied Therapeutics, Inc. (A) | 4,351 | 90,414 | |||
AquaBounty Technologies, Inc. (A) | 13,233 | 70,929 | |||
Arbutus Biopharma Corp. (A)(B) | 20,299 | 61,506 | |||
Arcturus Therapeutics Holdings, Inc. (A) | 4,942 | 167,237 | |||
Arcus Biosciences, Inc. (A) | 10,331 | 283,689 | |||
Arcutis Biotherapeutics, Inc. (A) | 6,452 | 176,075 | |||
Ardelyx, Inc. (A) | 20,173 | 152,911 | |||
Arena Pharmaceuticals, Inc. (A) | 13,756 | 938,159 | |||
Arrowhead Pharmaceuticals, Inc. (A) | 22,700 | 1,880,014 | |||
Atara Biotherapeutics, Inc. (A) | 18,919 | 294,190 | |||
Athenex, Inc. (A) | 20,866 | 96,401 | |||
Athersys, Inc. (A)(B) | 54,505 | 78,487 | |||
Atossa Therapeutics, Inc. (A) | 26,778 | 169,237 | |||
Avid Bioservices, Inc. (A) | 13,704 | 351,508 | |||
Avidity Biosciences, Inc. (A) | 7,064 | 174,551 | |||
Avita Medical, Inc. (A) | 5,827 | 119,570 | |||
Avrobio, Inc. (A) | 9,146 | 81,308 | |||
Beam Therapeutics, Inc. (A)(B) | 10,548 | 1,357,633 | |||
Beyondspring, Inc. (A) | 6,602 | 68,925 | |||
BioAtla, Inc. (A) | 2,910 | 123,326 | |||
BioCryst Pharmaceuticals, Inc. (A)(B) | 39,982 | 632,115 | |||
Biohaven Pharmaceutical Holding Company, Ltd. (A) | 12,124 | 1,176,998 | |||
Bioxcel Therapeutics, Inc. (A) | 3,628 | 105,430 | |||
Black Diamond Therapeutics, Inc. (A)(B) | 5,743 | 70,007 | |||
Bluebird Bio, Inc. (A) | 15,303 | 489,390 | |||
Blueprint Medicines Corp. (A) | 13,125 | 1,154,475 | |||
Bridgebio Pharma, Inc. (A) | 24,107 | 1,469,563 | |||
Brooklyn ImmunoTherapeutics, Inc. (A) | 5,631 | 101,414 | |||
C4 Therapeutics, Inc. (A) | 7,842 | 296,741 | |||
Cardiff Oncology, Inc. (A) | 9,099 | 60,508 | |||
CareDx, Inc. (A) | 11,243 | 1,028,959 | |||
Catalyst Pharmaceuticals, Inc. (A) | 23,128 | 132,986 | |||
Celldex Therapeutics, Inc. (A) | 8,883 | 297,048 | |||
CEL-SCI Corp. (A)(B) | 8,073 | 70,074 | |||
Cerevel Therapeutics Holdings, Inc. (A) | 8,380 | 214,696 | |||
ChemoCentryx, Inc. (A) | 12,559 | 168,165 | |||
Chimerix, Inc. (A) | 17,115 | 136,920 | |||
Chinook Therapeutics, Inc. (A) | 7,524 | 106,239 | |||
Clene, Inc. (A) | 5,569 | 62,596 | |||
Clovis Oncology, Inc. (A)(B) | 22,842 | 132,484 | |||
Codiak Biosciences, Inc. (A) | 3,837 | 71,100 | |||
Cogent Biosciences, Inc. (A)(B) | 9,285 | 75,301 | |||
Coherus Biosciences, Inc. (A) | 14,699 | 203,287 | |||
Constellation Pharmaceuticals, Inc. (A) | 8,345 | 282,061 | |||
Cortexyme, Inc. (A)(B) | 4,556 | 241,468 | |||
Crinetics Pharmaceuticals, Inc. (A) | 8,821 | 166,276 | |||
Cue Biopharma, Inc. (A) | 7,420 | 86,443 | |||
Cullinan Oncology, Inc. (A) | 3,180 | 81,885 | |||
Curis, Inc. (A) | 19,758 | 159,447 | |||
Cytokinetics, Inc. (A) | 15,510 | 306,943 | |||
CytomX Therapeutics, Inc. (A) | 15,783 | 99,906 | |||
Deciphera Pharmaceuticals, Inc. (A) | 8,975 | 328,575 | |||
Denali Therapeutics, Inc. (A) | 20,407 | 1,600,725 | |||
DermTech, Inc. (A)(B) | 5,357 | 222,690 |
The accompanying notes are an integral part of the financial statements. | 107 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Biotechnology (continued) | |||||
Design Therapeutics, Inc. (A) | 3,288 | $ | 65,398 | ||
Dicerna Pharmaceuticals, Inc. (A) | 15,551 | 580,363 | |||
Dynavax Technologies Corp. (A) | 24,319 | 239,542 | |||
Dyne Therapeutics, Inc. (A) | 7,057 | 148,479 | |||
Eagle Pharmaceuticals, Inc. (A) | 2,875 | 123,050 | |||
Editas Medicine, Inc. (A) | 15,372 | 870,670 | |||
Eiger BioPharmaceuticals, Inc. (A) | 8,910 | 75,913 | |||
Emergent BioSolutions, Inc. (A) | 10,952 | 689,866 | |||
Enanta Pharmaceuticals, Inc. (A) | 4,464 | 196,461 | |||
Epizyme, Inc. (A) | 21,030 | 174,759 | |||
Esperion Therapeutics, Inc. (A) | 6,159 | 130,263 | |||
Evelo Biosciences, Inc. (A)(B) | 7,230 | 99,340 | |||
Fate Therapeutics, Inc. (A) | 17,974 | 1,559,963 | |||
FibroGen, Inc. (A) | 19,437 | 517,607 | |||
Flexion Therapeutics, Inc. (A) | 11,961 | 98,439 | |||
Forma Therapeutics Holdings, Inc. (A) | 7,497 | 186,600 | |||
Forte Biosciences, Inc. (A) | 2,746 | 92,321 | |||
Fortress Biotech, Inc. (A)(B) | 18,757 | 66,962 | |||
Frequency Therapeutics, Inc. (A)(B) | 7,859 | 78,276 | |||
G1 Therapeutics, Inc. (A) | 9,016 | 197,811 | |||
Generation Bio Company (A) | 9,998 | 268,946 | |||
Geron Corp. (A) | 76,613 | 108,024 | |||
Global Blood Therapeutics, Inc. (A) | 13,529 | 473,786 | |||
Gossamer Bio, Inc. (A) | 15,330 | 124,480 | |||
Gritstone bio, Inc. (A) | 9,552 | 87,210 | |||
GT Biopharma, Inc. (A) | 5,699 | 88,335 | |||
Halozyme Therapeutics, Inc. (A) | 31,611 | 1,435,456 | |||
Harpoon Therapeutics, Inc. (A) | 4,761 | 66,035 | |||
Heron Therapeutics, Inc. (A) | 21,235 | 329,567 | |||
Homology Medicines, Inc. (A) | 11,201 | 81,431 | |||
Humanigen, Inc. (A) | 10,246 | 178,075 | |||
iBio, Inc. (A)(B) | 54,281 | 81,964 | |||
Ideaya Biosciences, Inc. (A) | 6,599 | 138,513 | |||
IGM Biosciences, Inc. (A) | 1,897 | 157,830 | |||
ImmunityBio, Inc. (A) | 15,138 | 216,171 | |||
ImmunoGen, Inc. (A) | 44,765 | 295,001 | |||
Immunovant, Inc. (A) | 8,909 | 94,168 | |||
Infinity Pharmaceuticals, Inc. (A) | 22,317 | 66,728 | |||
Inhibrx, Inc. (A) | 6,594 | 181,467 | |||
Inovio Pharmaceuticals, Inc. (A)(B) | 46,611 | 432,084 | |||
Insmed, Inc. (A) | 23,260 | 661,980 | |||
Instil Bio, Inc. (A) | 4,153 | 80,236 | |||
Intellia Therapeutics, Inc. (A) | 14,320 | 2,318,551 | |||
Intercept Pharmaceuticals, Inc. (A) | 6,541 | 130,624 | |||
Invitae Corp. (A)(B) | 44,846 | 1,512,656 | |||
Ironwood Pharmaceuticals, Inc. (A) | 32,641 | 420,090 | |||
iTeos Therapeutics, Inc. (A) | 4,799 | 123,094 | |||
IVERIC bio, Inc. (A) | 21,383 | 134,927 | |||
Kadmon Holdings, Inc. (A) | 41,003 | 158,682 | |||
KalVista Pharmaceuticals, Inc. (A) | 4,708 | 112,804 | |||
Karuna Therapeutics, Inc. (A) | 5,022 | 572,458 | |||
Karyopharm Therapeutics, Inc. (A) | 16,708 | 172,427 | |||
Keros Therapeutics, Inc. (A) | 3,635 | 154,378 | |||
Kiniksa Pharmaceuticals, Ltd., Class A (A) | 7,290 | 101,550 | |||
Kinnate Biopharma, Inc. (A) | 3,322 | 77,336 | |||
Kodiak Sciences, Inc. (A) | 7,540 | 701,220 | |||
Kronos Bio, Inc. (A)(B) | 8,934 | 213,969 | |||
Krystal Biotech, Inc. (A) | 4,113 | 279,684 | |||
Kura Oncology, Inc. (A) | 14,477 | 301,845 | |||
Kymera Therapeutics, Inc. (A) | 6,590 | 319,615 | |||
Lexicon Pharmaceuticals, Inc. (A) | 16,142 | 74,092 | |||
Ligand Pharmaceuticals, Inc. (A) | 3,377 | 443,029 | |||
Lineage Cell Therapeutics, Inc. (A) | 31,209 | 88,946 | |||
MacroGenics, Inc. (A) | 13,309 | 357,480 | |||
Madrigal Pharmaceuticals, Inc. (A) | 2,593 | 252,584 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Biotechnology (continued) | |||||
Magenta Therapeutics, Inc. (A) | 7,820 | $ | 76,480 | ||
MannKind Corp. (A)(B) | 55,988 | 305,135 | |||
MEI Pharma, Inc. (A) | 27,787 | 79,193 | |||
MeiraGTx Holdings PLC (A) | 7,685 | 119,118 | |||
Mersana Therapeutics, Inc. (A) | 16,000 | 217,280 | |||
MiMedx Group, Inc. (A) | 25,370 | 317,379 | |||
Molecular Templates, Inc. (A) | 9,321 | 72,890 | |||
Morphic Holding, Inc. (A) | 4,694 | 269,389 | |||
Myriad Genetics, Inc. (A) | 17,271 | 528,147 | |||
Neoleukin Therapeutics, Inc. (A) | 8,873 | 81,898 | |||
Nkarta, Inc. (A) | 3,358 | 106,415 | |||
Nurix Therapeutics, Inc. (A) | 7,210 | 191,281 | |||
Ocugen, Inc. (A) | 41,489 | 333,157 | |||
Olema Pharmaceuticals, Inc. (A) | 2,957 | 82,737 | |||
Oncocyte Corp. (A) | 17,000 | 97,580 | |||
Oncorus, Inc. (A) | 5,164 | 71,263 | |||
OPKO Health, Inc. (A) | 88,166 | 357,072 | |||
Organogenesis Holdings, Inc. (A) | 8,727 | 145,043 | |||
ORIC Pharmaceuticals, Inc. (A) | 7,072 | 125,104 | |||
Passage Bio, Inc. (A) | 8,785 | 116,313 | |||
PDL BioPharma, Inc. (A)(C) | 28,581 | 48,302 | |||
Pfenex, Inc. (A)(C) | 9,241 | 10,131 | |||
PMV Pharmaceuticals, Inc. (A) | 6,083 | 207,795 | |||
Poseida Therapeutics, Inc. (A) | 7,589 | 76,042 | |||
Praxis Precision Medicines, Inc. (A) | 5,772 | 105,512 | |||
Precigen, Inc. (A) | 21,875 | 142,625 | |||
Precision BioSciences, Inc. (A) | 11,089 | 138,834 | |||
Prelude Therapeutics, Inc. (A) | 2,612 | 74,782 | |||
Progenics Pharmaceuticals, Inc. (A)(C) | 24,422 | 1,043 | |||
Protagonist Therapeutics, Inc. (A) | 9,324 | 418,461 | |||
Prothena Corp. PLC (A) | 7,730 | 397,399 | |||
PTC Therapeutics, Inc. (A) | 15,655 | 661,737 | |||
Puma Biotechnology, Inc. (A) | 8,186 | 75,147 | |||
Radius Health, Inc. (A) | 10,799 | 196,974 | |||
RAPT Therapeutics, Inc. (A) | 4,243 | 134,885 | |||
Recursion Pharmaceuticals, Inc., Class A (A) | 4,824 | 176,076 | |||
REGENXBIO, Inc. (A) | 8,994 | 349,417 | |||
Relay Therapeutics, Inc. (A) | 13,238 | 484,378 | |||
Replimune Group, Inc. (A) | 6,143 | 236,014 | |||
REVOLUTION Medicines, Inc. (A) | 13,468 | 427,474 | |||
Rhythm Pharmaceuticals, Inc. (A) | 10,323 | 202,124 | |||
Rigel Pharmaceuticals, Inc. (A) | 40,220 | 174,555 | |||
Rocket Pharmaceuticals, Inc. (A) | 9,033 | 400,072 | |||
Rubius Therapeutics, Inc. (A) | 10,233 | 249,788 | |||
Sana Biotechnology, Inc. (A) | 6,226 | 122,403 | |||
Sangamo Therapeutics, Inc. (A) | 26,511 | 317,337 | |||
Scholar Rock Holding Corp. (A) | 6,399 | 184,931 | |||
Selecta Biosciences, Inc. (A) | 21,386 | 89,393 | |||
Seres Therapeutics, Inc. (A) | 15,735 | 375,280 | |||
Sesen Bio, Inc. (A) | 39,591 | 182,910 | |||
Shattuck Labs, Inc. (A) | 6,142 | 178,057 | |||
Silverback Therapeutics, Inc. (A) | 3,048 | 94,153 | |||
Sorrento Therapeutics, Inc. (A)(B) | 61,222 | 593,241 | |||
Spectrum Pharmaceuticals, Inc. (A) | 36,973 | 138,649 | |||
Spero Therapeutics, Inc. (A)(B) | 6,371 | 88,939 | |||
SpringWorks Therapeutics, Inc. (A) | 6,611 | 544,813 | |||
SQZ Biotechnologies Company (A) | 5,739 | 82,929 | |||
Stemline Therapeutics, Inc. (A)(C) | 12,819 | 4,230 | |||
Stoke Therapeutics, Inc. (A) | 4,441 | 149,484 | |||
Sutro Biopharma, Inc. (A) | 10,069 | 187,183 | |||
Syndax Pharmaceuticals, Inc. (A) | 10,358 | 177,847 | |||
Synergy Pharmaceuticals, Inc. (A)(C) | 80,513 | 233 | |||
Syros Pharmaceuticals, Inc. (A) | 14,453 | 78,769 | |||
Taysha Gene Therapies, Inc. (A) | 5,276 | 111,851 |
The accompanying notes are an integral part of the financial statements. | 108 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Biotechnology (continued) | |||||
TCR2 Therapeutics, Inc. (A) | 7,496 | $ | 123,009 | ||
TG Therapeutics, Inc. (A) | 28,747 | 1,115,096 | |||
Tonix Pharmaceuticals Holding Corp. (A) | 80,476 | 89,328 | |||
Translate Bio, Inc. (A) | 15,170 | 417,782 | |||
Travere Therapeutics, Inc. (A) | 13,493 | 196,863 | |||
Trevena, Inc. (A)(B) | 41,971 | 70,931 | |||
Trillium Therapeutics, Inc. (A) | 22,276 | 216,077 | |||
Turning Point Therapeutics, Inc. (A) | 10,355 | 807,897 | |||
Twist Bioscience Corp. (A) | 10,588 | 1,410,851 | |||
UroGen Pharma, Ltd. (A) | 5,139 | 78,473 | |||
Vanda Pharmaceuticals, Inc. (A) | 12,467 | 268,165 | |||
Vaxart, Inc. (A) | 27,064 | 202,709 | |||
Vaxcyte, Inc. (A) | 9,278 | 208,848 | |||
VBI Vaccines, Inc. (A)(B) | 43,426 | 145,477 | |||
Veracyte, Inc. (A) | 15,217 | 608,376 | |||
Verastem, Inc. (A) | 39,946 | 162,580 | |||
Vericel Corp. (A) | 10,467 | 549,518 | |||
Viking Therapeutics, Inc. (A)(B) | 16,767 | 100,434 | |||
Vir Biotechnology, Inc. (A) | 13,493 | 637,949 | |||
Viracta Therapeutics, Inc. (A) | 8,718 | 98,862 | |||
VistaGen Therapeutics, Inc. (A) | 45,780 | 144,207 | |||
XBiotech, Inc. (A)(B) | 3,963 | 65,627 | |||
Xencor, Inc. (A) | 12,854 | 443,334 | |||
Y-mAbs Therapeutics, Inc. (A) | 8,019 | 271,042 | |||
Zentalis Pharmaceuticals, Inc. (A) | 7,507 | 399,372 | |||
ZIOPHARM Oncology, Inc. (A)(B) | 48,587 | 128,270 | |||
69,212,313 | |||||
Health care equipment and supplies – 3.5% | |||||
Accelerate Diagnostics, Inc. (A) | 8,301 | 66,906 | |||
Accuray, Inc. (A) | 23,217 | 104,941 | |||
Acutus Medical, Inc. (A)(B) | 3,992 | 67,784 | |||
Alphatec Holdings, Inc. (A) | 15,674 | 240,126 | |||
AngioDynamics, Inc. (A) | 8,481 | 230,090 | |||
Apyx Medical Corp. (A) | 8,315 | 85,728 | |||
Asensus Surgical, Inc. (A) | 53,438 | 169,398 | |||
Aspira Women's Health, Inc. (A)(B) | 17,279 | 97,108 | |||
AtriCure, Inc. (A) | 10,045 | 796,870 | |||
Atrion Corp. | 327 | 203,044 | |||
Avanos Medical, Inc. (A) | 10,752 | 391,050 | |||
Axogen, Inc. (A) | 8,848 | 191,205 | |||
Axonics, Inc. (A) | 9,356 | 593,264 | |||
BioLife Solutions, Inc. (A) | 5,649 | 251,437 | |||
Butterfly Network, Inc. (A) | 7,331 | 106,153 | |||
Cardiovascular Systems, Inc. (A) | 8,941 | 381,334 | |||
Cerus Corp. (A) | 38,835 | 229,515 | |||
ClearPoint Neuro, Inc. (A) | 4,599 | 87,795 | |||
CONMED Corp. | 6,441 | 885,187 | |||
CryoLife, Inc. (A) | 8,608 | 244,467 | |||
CryoPort, Inc. (A)(B) | 9,143 | 576,923 | |||
Cutera, Inc. (A) | 4,067 | 199,405 | |||
CytoSorbents Corp. (A) | 10,859 | 81,985 | |||
DarioHealth Corp. (A)(B) | 3,419 | 73,030 | |||
Eargo, Inc. (A) | 4,459 | 177,959 | |||
Glaukos Corp. (A) | 10,070 | 854,238 | |||
Haemonetics Corp. (A) | 11,280 | 751,699 | |||
Heska Corp. (A) | 2,143 | 492,311 | |||
Inari Medical, Inc. (A) | 7,635 | 712,193 | |||
Inogen, Inc. (A) | 4,377 | 285,249 | |||
Integer Holdings Corp. (A) | 7,305 | 688,131 | |||
Intersect ENT, Inc. (A) | 8,086 | 138,190 | |||
Invacare Corp. (A) | 8,564 | 69,111 | |||
iRhythm Technologies, Inc. (A) | 6,631 | 439,967 | |||
Lantheus Holdings, Inc. (A) | 15,105 | 417,502 | |||
LeMaitre Vascular, Inc. | 4,115 | 251,097 | |||
LivaNova PLC (A) | 10,964 | 922,182 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Health care equipment and supplies (continued) | |||||
Meridian Bioscience, Inc. (A) | 9,702 | $ | 215,190 | ||
Merit Medical Systems, Inc. (A) | 11,503 | 743,784 | |||
Mesa Laboratories, Inc. | 1,081 | 293,135 | |||
Misonix, Inc. (A) | 3,201 | 70,998 | |||
Natus Medical, Inc. (A) | 7,580 | 196,928 | |||
Neogen Corp. (A) | 23,906 | 1,100,632 | |||
Neuronetics, Inc. (A) | 5,991 | 95,976 | |||
Nevro Corp. (A) | 7,719 | 1,279,733 | |||
NuVasive, Inc. (A) | 11,513 | 780,351 | |||
OraSure Technologies, Inc. (A) | 15,993 | 162,169 | |||
Ortho Clinical Diagnostics Holdings PLC (A) | 19,770 | 423,276 | |||
Orthofix Medical, Inc. (A) | 4,334 | 173,837 | |||
OrthoPediatrics Corp. (A) | 3,172 | 200,407 | |||
Outset Medical, Inc. (A) | 10,300 | 514,794 | |||
PAVmed, Inc. (A) | 17,355 | 111,072 | |||
Pulmonx Corp. (A) | 5,794 | 255,631 | |||
Quotient, Ltd. (A) | 19,373 | 70,518 | |||
SeaSpine Holdings Corp. (A) | 7,463 | 153,066 | |||
Senseonics Holdings, Inc. (A) | 93,468 | 358,917 | |||
Shockwave Medical, Inc. (A) | 7,558 | 1,433,979 | |||
SI-BONE, Inc. (A) | 7,380 | 232,249 | |||
Sientra, Inc. (A) | 13,994 | 111,392 | |||
Silk Road Medical, Inc. (A) | 7,702 | 368,618 | |||
STAAR Surgical Company (A) | 10,526 | 1,605,215 | |||
Stereotaxis, Inc. (A) | 11,987 | 115,555 | |||
Surmodics, Inc. (A) | 3,132 | 169,911 | |||
Tactile Systems Technology, Inc. (A) | 4,358 | 226,616 | |||
TransMedics Group, Inc. (A) | 5,949 | 197,388 | |||
Treace Medical Concepts, Inc. (A) | 2,546 | 79,588 | |||
Utah Medical Products, Inc. | 1,107 | 94,139 | |||
Vapotherm, Inc. (A) | 5,309 | 125,505 | |||
Varex Imaging Corp. (A) | 8,713 | 233,683 | |||
ViewRay, Inc. (A) | 31,400 | 207,240 | |||
Zynex, Inc. (A)(B) | 5,053 | 78,473 | |||
25,034,539 | |||||
Health care providers and services – 3.0% | |||||
1Life Healthcare, Inc. (A) | 26,191 | 865,874 | |||
Accolade, Inc. (A) | 11,323 | 614,952 | |||
AdaptHealth Corp. (A) | 17,746 | 486,418 | |||
Addus HomeCare Corp. (A) | 3,564 | 310,923 | |||
Agiliti, Inc. (A) | 5,146 | 112,543 | |||
Alignment Healthcare, Inc. (A) | 6,050 | 141,389 | |||
AMN Healthcare Services, Inc. (A) | 10,514 | 1,019,648 | |||
Apollo Medical Holdings, Inc. (A) | 8,157 | 512,341 | |||
Aveanna Healthcare Holdings, Inc. (A) | 8,895 | 110,031 | |||
Brookdale Senior Living, Inc. (A) | 42,000 | 331,800 | |||
Castle Biosciences, Inc. (A) | 4,820 | 353,451 | |||
Community Health Systems, Inc. (A) | 27,831 | 429,711 | |||
CorVel Corp. (A) | 1,975 | 265,243 | |||
Covetrus, Inc. (A) | 23,286 | 628,722 | |||
Cross Country Healthcare, Inc. (A) | 8,662 | 143,010 | |||
Fulgent Genetics, Inc. (A)(B) | 4,569 | 421,399 | |||
Hanger, Inc. (A) | 8,559 | 216,372 | |||
HealthEquity, Inc. (A) | 18,282 | 1,471,335 | |||
InfuSystem Holdings, Inc. (A) | 4,642 | 96,507 | |||
Innovage Holding Corp. (A) | 4,310 | 91,846 | |||
LHC Group, Inc. (A) | 6,822 | 1,366,174 | |||
Magellan Health, Inc. (A) | 5,261 | 495,586 | |||
MEDNAX, Inc. (A) | 17,104 | 515,686 | |||
ModivCare, Inc. (A) | 2,808 | 477,557 | |||
National HealthCare Corp. | 2,836 | 198,236 | |||
National Research Corp. | 3,166 | 145,319 | |||
Ontrak, Inc. (A)(B) | 2,148 | 69,767 | |||
Option Care Health, Inc. (A) | 25,002 | 546,794 |
The accompanying notes are an integral part of the financial statements. | 109 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Health care providers and services (continued) | |||||
Owens & Minor, Inc. | 16,201 | $ | 685,788 | ||
Patterson Companies, Inc. | 19,170 | 582,576 | |||
PetIQ, Inc. (A) | 5,992 | 231,291 | |||
Privia Health Group, Inc. (A) | 4,472 | 198,423 | |||
Progyny, Inc. (A) | 14,194 | 837,446 | |||
R1 RCM, Inc. (A) | 29,627 | 658,904 | |||
RadNet, Inc. (A) | 10,189 | 343,267 | |||
Select Medical Holdings Corp. | 24,723 | 1,044,794 | |||
SOC Telemed, Inc. (A) | 10,504 | 59,768 | |||
Surgery Partners, Inc. (A) | 7,152 | 476,466 | |||
Tenet Healthcare Corp. (A) | 23,742 | 1,590,477 | |||
The Ensign Group, Inc. | 11,774 | 1,020,453 | |||
The Joint Corp. (A) | 3,110 | 260,991 | |||
The Pennant Group, Inc. (A) | 5,920 | 242,128 | |||
Tivity Health, Inc. (A) | 10,044 | 264,258 | |||
Triple-S Management Corp. (A) | 5,383 | 119,879 | |||
US Physical Therapy, Inc. | 2,920 | 338,340 | |||
21,393,883 | |||||
Health care technology – 1.3% | |||||
Allscripts Healthcare Solutions, Inc. (A) | 31,535 | 583,713 | |||
American Well Corp., Class A (A) | 43,684 | 549,545 | |||
Castlight Health, Inc., B Shares (A) | 30,953 | 81,406 | |||
Computer Programs & Systems, Inc. | 3,540 | 117,634 | |||
Evolent Health, Inc., Class A (A) | 17,728 | 374,415 | |||
Health Catalyst, Inc. (A) | 10,026 | 556,543 | |||
HealthStream, Inc. (A) | 5,866 | 163,896 | |||
ICAD, Inc. (A) | 5,478 | 94,824 | |||
Inovalon Holdings, Inc., Class A (A) | 16,895 | 575,782 | |||
Inspire Medical Systems, Inc. (A) | 6,026 | 1,164,585 | |||
Multiplan Corp. (A) | 89,471 | 851,764 | |||
NextGen Healthcare, Inc. (A) | 12,709 | 210,842 | |||
Omnicell, Inc. (A) | 9,600 | 1,453,920 | |||
OptimizeRx Corp. (A) | 3,851 | 238,377 | |||
Phreesia, Inc. (A) | 8,636 | 529,387 | |||
Schrodinger, Inc. (A) | 10,199 | 771,146 | |||
Simulations Plus, Inc. | 3,506 | 192,514 | |||
Tabula Rasa HealthCare, Inc. (A)(B) | 5,168 | 258,400 | |||
Vocera Communications, Inc. (A) | 7,658 | 305,171 | |||
9,073,864 | |||||
Life sciences tools and services – 1.0% | |||||
Berkeley Lights, Inc. (A) | 10,782 | 483,141 | |||
Bionano Genomics, Inc. (A) | 63,323 | 464,158 | |||
ChromaDex Corp. (A)(B) | 11,279 | 111,211 | |||
Codexis, Inc. (A) | 13,872 | 314,340 | |||
Fluidigm Corp. (A)(B) | 17,384 | 107,085 | |||
Harvard Bioscience, Inc. (A) | 10,064 | 83,833 | |||
Inotiv, Inc. (A) | 3,177 | 84,762 | |||
Luminex Corp. | 10,240 | 376,832 | |||
Medpace Holdings, Inc. (A) | 6,476 | 1,143,856 | |||
NanoString Technologies, Inc. (A) | 10,204 | 661,117 | |||
NeoGenomics, Inc. (A) | 25,452 | 1,149,667 | |||
Pacific Biosciences of California, Inc. (A) | 43,541 | 1,522,629 | |||
Personalis, Inc. (A) | 8,159 | 206,423 | |||
Quanterix Corp. (A) | 7,002 | 410,737 | |||
Seer, Inc. (A)(B) | 3,548 | 116,303 | |||
7,236,094 | |||||
Pharmaceuticals – 1.7% | |||||
9 Meters Biopharma, Inc. (A)(B) | 53,079 | 58,387 | |||
Aclaris Therapeutics, Inc. (A) | 9,829 | 172,597 | |||
Aerie Pharmaceuticals, Inc. (A) | 9,966 | 159,556 | |||
Amneal Pharmaceuticals, Inc. (A) | 22,604 | 115,732 | |||
Amphastar Pharmaceuticals, Inc. (A) | 8,538 | 172,126 | |||
Ampio Pharmaceuticals, Inc. (A) | 46,000 | 76,820 | |||
ANI Pharmaceuticals, Inc. (A) | 2,535 | 88,852 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Pharmaceuticals (continued) | |||||
Antares Pharma, Inc. (A) | 39,293 | $ | 171,317 | ||
Arvinas, Inc. (A) | 9,801 | 754,677 | |||
Atea Pharmaceuticals, Inc. (A)(B) | 14,614 | 313,909 | |||
Athira Pharma, Inc. (A)(B) | 7,909 | 80,988 | |||
Axsome Therapeutics, Inc. (A) | 6,275 | 423,312 | |||
BioDelivery Sciences International, Inc. (A) | 24,954 | 89,335 | |||
Cara Therapeutics, Inc. (A) | 10,412 | 148,579 | |||
Cassava Sciences, Inc. (A)(B) | 8,568 | 732,050 | |||
Citius Pharmaceuticals, Inc. (A) | 27,398 | 95,345 | |||
Collegium Pharmaceutical, Inc. (A) | 8,145 | 192,548 | |||
Corcept Therapeutics, Inc. (A) | 21,855 | 480,810 | |||
CorMedix, Inc. (A)(B) | 9,411 | 64,559 | |||
Cymabay Therapeutics, Inc. (A) | 17,787 | 77,551 | |||
Durect Corp. (A) | 60,168 | 98,074 | |||
Edgewise Therapeutics, Inc. (A) | 2,985 | 63,670 | |||
Elanco Animal Health, Inc. (A)(C) | 15,082 | 0 | |||
Endo International PLC (A) | 51,484 | 240,945 | |||
Evolus, Inc. (A)(B) | 7,505 | 94,938 | |||
Harmony Biosciences Holdings, Inc. (A) | 5,218 | 147,304 | |||
Innoviva, Inc. (A) | 14,592 | 195,679 | |||
Intra-Cellular Therapies, Inc. (A) | 15,879 | 648,181 | |||
Kala Pharmaceuticals, Inc. (A)(B) | 12,208 | 64,702 | |||
KemPharm, Inc. (A) | 6,864 | 87,996 | |||
Marinus Pharmaceuticals, Inc. (A)(B) | 8,613 | 154,517 | |||
Mind Medicine MindMed, Inc. (A) | 72,860 | 251,367 | |||
NGM Biopharmaceuticals, Inc. (A) | 7,276 | 143,483 | |||
Nuvation Bio, Inc. (A) | 8,277 | 77,059 | |||
Ocular Therapeutix, Inc. (A) | 17,574 | 249,199 | |||
Omeros Corp. (A)(B) | 13,931 | 206,736 | |||
Oramed Pharmaceuticals, Inc. (A) | 6,619 | 88,562 | |||
Pacira BioSciences, Inc. (A) | 9,803 | 594,846 | |||
Paratek Pharmaceuticals, Inc. (A) | 11,876 | 80,994 | |||
Phathom Pharmaceuticals, Inc. (A) | 4,746 | 160,652 | |||
Phibro Animal Health Corp., Class A | 4,993 | 144,198 | |||
Pliant Therapeutics, Inc. (A)(B) | 5,531 | 161,063 | |||
Prestige Consumer Healthcare, Inc. (A) | 11,093 | 577,945 | |||
Provention Bio, Inc. (A)(B) | 13,613 | 114,758 | |||
Reata Pharmaceuticals, Inc., Class A (A) | 6,160 | 871,825 | |||
Relmada Therapeutics, Inc. (A) | 3,661 | 117,189 | |||
Revance Therapeutics, Inc. (A) | 15,940 | 472,462 | |||
Seelos Therapeutics, Inc. (A) | 18,791 | 49,608 | |||
SIGA Technologies, Inc. (A) | 12,115 | 76,082 | |||
Supernus Pharmaceuticals, Inc. (A) | 11,029 | 339,583 | |||
TherapeuticsMD, Inc. (A)(B) | 88,425 | 105,226 | |||
Theravance Biopharma, Inc. (A) | 12,376 | 179,700 | |||
WaVe Life Sciences, Ltd. (A) | 9,554 | 63,630 | |||
Zogenix, Inc. (A) | 12,884 | 222,636 | |||
11,613,859 | |||||
143,564,552 | |||||
Industrials – 13.5% | |||||
Aerospace and defense – 0.7% | |||||
AAR Corp. (A) | 7,538 | 292,098 | |||
Aerojet Rocketdyne Holdings, Inc. | 16,555 | 799,441 | |||
AeroVironment, Inc. (A) | 5,023 | 503,053 | |||
Astronics Corp. (A) | 6,078 | 106,426 | |||
Byrna Technologies, Inc. (A) | 2,656 | 60,344 | |||
Ducommun, Inc. (A) | 2,588 | 141,201 | |||
Kaman Corp. | 6,227 | 313,841 | |||
Kratos Defense & Security Solutions, Inc. (A) | 27,482 | 782,962 | |||
Maxar Technologies, Inc. | 16,026 | 639,758 | |||
Moog, Inc., Class A | 6,392 | 537,312 | |||
National Presto Industries, Inc. | 1,222 | 124,216 | |||
PAE, Inc. (A) | 16,385 | 145,827 |
The accompanying notes are an integral part of the financial statements. | 110 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Aerospace and defense (continued) | |||||
Park Aerospace Corp. | 5,600 | $ | 83,440 | ||
Parsons Corp. (A) | 5,867 | 230,925 | |||
Triumph Group, Inc. (A) | 11,577 | 240,223 | |||
Vectrus, Inc. (A) | 2,859 | 136,060 | |||
5,137,127 | |||||
Air freight and logistics – 0.3% | |||||
Air Transport Services Group, Inc. (A) | 13,381 | 310,841 | |||
Atlas Air Worldwide Holdings, Inc. (A) | 6,424 | 437,539 | |||
Echo Global Logistics, Inc. (A) | 6,030 | 185,362 | |||
Forward Air Corp. | 6,132 | 550,347 | |||
Hub Group, Inc., Class A (A) | 7,407 | 488,714 | |||
Radiant Logistics, Inc. (A) | 11,508 | 79,750 | |||
2,052,553 | |||||
Airlines – 0.3% | |||||
Allegiant Travel Company (A) | 3,369 | 653,586 | |||
Frontier Group Holdings, Inc. (A) | 7,635 | 130,100 | |||
Hawaiian Holdings, Inc. (A) | 11,658 | 284,105 | |||
Mesa Air Group, Inc. (A) | 8,384 | 78,223 | |||
SkyWest, Inc. (A) | 11,100 | 478,077 | |||
Spirit Airlines, Inc. (A) | 21,728 | 661,400 | |||
Sun Country Airlines Holdings, Inc. (A) | 3,896 | 144,191 | |||
2,429,682 | |||||
Building products – 1.1% | |||||
AAON, Inc. | 9,356 | 585,592 | |||
American Woodmark Corp. (A) | 3,833 | 313,118 | |||
Apogee Enterprises, Inc. | 5,782 | 235,501 | |||
Caesarstone, Ltd. | 6,340 | 93,578 | |||
Cornerstone Building Brands, Inc. (A) | 12,453 | 226,396 | |||
CSW Industrials, Inc. | 3,044 | 360,592 | |||
Gibraltar Industries, Inc. (A) | 7,327 | 559,123 | |||
Griffon Corp. | 10,390 | 266,296 | |||
Insteel Industries, Inc. | 4,450 | 143,068 | |||
JELD-WEN Holding, Inc. (A) | 19,001 | 498,966 | |||
Masonite International Corp. (A) | 5,505 | 615,404 | |||
PGT Innovations, Inc. (A) | 13,351 | 310,144 | |||
Quanex Building Products Corp. | 7,983 | 198,298 | |||
Resideo Technologies, Inc. (A) | 32,351 | 970,530 | |||
Simpson Manufacturing Company, Inc. | 9,622 | 1,062,654 | |||
UFP Industries, Inc. | 13,383 | 994,892 | |||
View, Inc. (A) | 19,690 | 166,971 | |||
7,601,123 | |||||
Commercial services and supplies – 1.7% | |||||
ABM Industries, Inc. | 15,072 | 668,443 | |||
ACCO Brands Corp. | 22,224 | 191,793 | |||
Brady Corp., Class A | 10,519 | 589,485 | |||
BrightView Holdings, Inc. (A) | 9,411 | 151,705 | |||
Casella Waste Systems, Inc., Class A (A) | 10,987 | 696,905 | |||
Cimpress PLC (A) | 3,946 | 427,786 | |||
CoreCivic, Inc. (A) | 26,815 | 280,753 | |||
Covanta Holding Corp. | 26,883 | 473,410 | |||
Deluxe Corp. | 9,412 | 449,611 | |||
Ennis, Inc. | 6,237 | 134,220 | |||
Harsco Corp. (A) | 17,739 | 362,230 | |||
Healthcare Services Group, Inc. | 16,979 | 536,027 | |||
Heritage-Crystal Clean, Inc. (A) | 4,173 | 123,855 | |||
Herman Miller, Inc. | 13,134 | 619,137 | |||
HNI Corp. | 9,695 | 426,289 | |||
Interface, Inc. | 13,403 | 205,066 | |||
KAR Auction Services, Inc. (A) | 27,722 | 486,521 | |||
Kimball International, Inc., Class B | 9,622 | 126,529 | |||
Knoll, Inc. | 10,652 | 276,845 | |||
Matthews International Corp., Class A | 7,026 | 252,655 | |||
Montrose Environmental Group, Inc. (A) | 5,193 | 278,656 | |||
Pitney Bowes, Inc. | 39,538 | 346,748 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Commercial services and supplies (continued) | |||||
RR Donnelley & Sons Company (A) | 16,543 | $ | 103,890 | ||
SP Plus Corp. (A) | 5,513 | 168,643 | |||
Steelcase, Inc., Class A | 19,851 | 299,949 | |||
Tetra Tech, Inc. | 12,002 | 1,464,724 | |||
The Brink's Company | 10,923 | 839,323 | |||
UniFirst Corp. | 3,329 | 781,117 | |||
US Ecology, Inc. (A) | 7,253 | 272,133 | |||
Viad Corp. (A) | 4,709 | 234,744 | |||
VSE Corp. | 2,627 | 130,063 | |||
12,399,255 | |||||
Construction and engineering – 1.2% | |||||
Ameresco, Inc., Class A (A) | 6,912 | 433,521 | |||
API Group Corp. (A)(D) | 40,724 | 850,724 | |||
Arcosa, Inc. | 10,789 | 633,746 | |||
Argan, Inc. | 3,537 | 169,033 | |||
Comfort Systems USA, Inc. | 8,032 | 632,841 | |||
Construction Partners, Inc., Class A (A) | 6,672 | 209,501 | |||
Dycom Industries, Inc. (A) | 6,714 | 500,394 | |||
EMCOR Group, Inc. | 12,021 | 1,480,867 | |||
Fluor Corp. (A) | 31,893 | 564,506 | |||
Granite Construction, Inc. | 10,231 | 424,893 | |||
Great Lakes Dredge & Dock Corp. (A) | 15,224 | 222,423 | |||
IES Holdings, Inc. (A) | 2,155 | 110,681 | |||
Infrastructure and Energy Alternatives, Inc. (A) | 5,592 | 71,913 | |||
Matrix Service Company (A) | 7,471 | 78,446 | |||
MYR Group, Inc. (A) | 3,700 | 336,404 | |||
Northwest Pipe Company (A) | 3,022 | 85,372 | |||
NV5 Global, Inc. (A) | 2,937 | 277,576 | |||
Primoris Services Corp. | 12,079 | 355,485 | |||
Sterling Construction Company, Inc. (A) | 6,827 | 164,736 | |||
Tutor Perini Corp. (A) | 9,399 | 130,176 | |||
WillScot Mobile Mini Holdings Corp. (A) | 39,554 | 1,102,370 | |||
8,835,608 | |||||
Electrical equipment – 1.0% | |||||
Allied Motion Technologies, Inc. | 3,247 | 112,119 | |||
American Superconductor Corp. (A) | 6,886 | 119,748 | |||
Array Technologies, Inc. (A) | 28,707 | 447,829 | |||
Atkore, Inc. (A) | 10,517 | 746,707 | |||
AZZ, Inc. | 5,475 | 283,496 | |||
Babcock & Wilcox Enterprises, Inc. (A) | 12,924 | 101,841 | |||
Beam Global (A) | 2,122 | 81,294 | |||
Bloom Energy Corp., Class A (A) | 31,214 | 838,720 | |||
Encore Wire Corp. | 4,572 | 346,512 | |||
EnerSys | 9,501 | 928,533 | |||
Eos Energy Enterprises, Inc. (A) | 4,313 | 77,461 | |||
FuelCell Energy, Inc. (A) | 72,509 | 645,330 | |||
GrafTech International, Ltd. | 38,109 | 442,827 | |||
Powell Industries, Inc. | 2,553 | 79,015 | |||
Romeo Power, Inc. (A) | 9,837 | 80,073 | |||
Stem, Inc. (A) | 14,018 | 504,788 | |||
Thermon Group Holdings, Inc. (A) | 8,113 | 138,246 | |||
TPI Composites, Inc. (A) | 8,082 | 391,330 | |||
Vicor Corp. (A) | 4,733 | 500,467 | |||
6,866,336 | |||||
Industrial conglomerates – 0.1% | |||||
Raven Industries, Inc. | 7,982 | 461,759 | |||
Machinery – 3.7% | |||||
AgEagle Aerial Systems, Inc. (A) | 15,872 | 83,645 | |||
Alamo Group, Inc. | 2,188 | 334,064 | |||
Albany International Corp., Class A | 6,838 | 610,360 | |||
Altra Industrial Motion Corp. | 14,605 | 949,617 | |||
Astec Industries, Inc. | 5,108 | 321,498 | |||
Barnes Group, Inc. | 10,540 | 540,175 |
The accompanying notes are an integral part of the financial statements. | 111 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Machinery (continued) | |||||
Blue Bird Corp. (A) | 3,902 | $ | 97,004 | ||
Chart Industries, Inc. (A) | 8,169 | 1,195,288 | |||
CIRCOR International, Inc. (A) | 4,348 | 141,745 | |||
Columbus McKinnon Corp. | 6,247 | 301,355 | |||
Commercial Vehicle Group, Inc. (A) | 8,180 | 86,953 | |||
Desktop Metal, Inc., Class A (A) | 18,889 | 217,224 | |||
Douglas Dynamics, Inc. | 5,179 | 210,734 | |||
Energy Recovery, Inc. (A) | 9,844 | 224,246 | |||
Enerpac Tool Group Corp. | 13,238 | 352,396 | |||
EnPro Industries, Inc. | 4,605 | 447,376 | |||
ESCO Technologies, Inc. | 5,688 | 533,591 | |||
Evoqua Water Technologies Corp. (A) | 25,966 | 877,131 | |||
Federal Signal Corp. | 13,353 | 537,191 | |||
Franklin Electric Company, Inc. | 10,319 | 831,918 | |||
Helios Technologies, Inc. | 7,342 | 573,043 | |||
Hillenbrand, Inc. | 16,825 | 741,646 | |||
Hydrofarm Holdings Group, Inc. (A) | 2,548 | 150,612 | |||
Hyliion Holdings Corp. (A) | 26,595 | 309,832 | |||
Hyster-Yale Materials Handling, Inc. | 2,296 | 167,562 | |||
John Bean Technologies Corp. | 7,002 | 998,625 | |||
Kadant, Inc. | 2,558 | 450,438 | |||
Kennametal, Inc. | 18,725 | 672,602 | |||
Lindsay Corp. | 2,402 | 397,003 | |||
Luxfer Holdings PLC | 6,913 | 153,814 | |||
Lydall, Inc. (A) | 4,113 | 248,919 | |||
Meritor, Inc. (A) | 15,664 | 366,851 | |||
Miller Industries, Inc. | 2,808 | 110,748 | |||
Mueller Industries, Inc. | 12,388 | 536,524 | |||
Mueller Water Products, Inc., Class A | 35,269 | 508,579 | |||
Navistar International Corp. (A) | 11,142 | 495,819 | |||
Nikola Corp. (A) | 44,831 | 809,648 | |||
NN, Inc. (A) | 12,062 | 88,656 | |||
Omega Flex, Inc. | 709 | 104,017 | |||
Proto Labs, Inc. (A) | 6,220 | 570,996 | |||
RBC Bearings, Inc. (A) | 5,511 | 1,099,004 | |||
REV Group, Inc. | 6,669 | 104,637 | |||
Rexnord Corp. | 26,648 | 1,333,466 | |||
SPX Corp. (A) | 9,823 | 599,989 | |||
SPX FLOW, Inc. | 9,450 | 616,518 | |||
Standex International Corp. | 2,678 | 254,169 | |||
Tennant Company | 4,106 | 327,864 | |||
Terex Corp. | 15,115 | 719,776 | |||
The ExOne Company (A) | 3,963 | 85,759 | |||
The Gorman-Rupp Company | 5,337 | 183,806 | |||
The Greenbrier Companies, Inc. | 7,248 | 315,868 | |||
The Manitowoc Company, Inc. (A) | 7,823 | 191,664 | |||
The Shyft Group, Inc. | 7,818 | 292,471 | |||
Titan International, Inc. (A) | 12,077 | 102,413 | |||
TriMas Corp. (A) | 9,887 | 299,873 | |||
Trinity Industries, Inc. | 19,331 | 519,811 | |||
Wabash National Corp. | 11,697 | 187,152 | |||
Watts Water Technologies, Inc., Class A | 6,082 | 887,425 | |||
Welbilt, Inc. (A) | 29,258 | 677,323 | |||
26,148,433 | |||||
Marine – 0.1% | |||||
Costamare, Inc. | 11,941 | 141,023 | |||
Eagle Bulk Shipping, Inc. (A) | 2,035 | 96,296 | |||
Genco Shipping & Trading, Ltd. | 7,391 | 139,542 | |||
Matson, Inc. | 9,647 | 617,408 | |||
994,269 | |||||
Professional services – 1.5% | |||||
Acacia Research Corp. (A) | 12,793 | 86,481 | |||
ASGN, Inc. (A) | 11,605 | 1,124,873 | |||
Barrett Business Services, Inc. | 1,879 | 136,434 | |||
CBIZ, Inc. (A) | 11,003 | 360,568 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Professional services (continued) | |||||
CRA International, Inc. | 1,727 | $ | 147,831 | ||
Exponent, Inc. | 11,563 | 1,031,535 | |||
Forrester Research, Inc. (A) | 2,786 | 127,599 | |||
Franklin Covey Company (A) | 3,317 | 107,305 | |||
Heidrick & Struggles International, Inc. | 4,463 | 198,827 | |||
Huron Consulting Group, Inc. (A) | 5,054 | 248,404 | |||
ICF International, Inc. | 4,174 | 366,728 | |||
Insperity, Inc. | 8,147 | 736,244 | |||
KBR, Inc. | 31,553 | 1,203,747 | |||
Kelly Services, Inc., Class A (A) | 8,241 | 197,537 | |||
Kforce, Inc. | 4,687 | 294,953 | |||
Korn Ferry | 11,958 | 867,553 | |||
ManTech International Corp., Class A | 6,089 | 526,942 | |||
Rekor Systems, Inc. (A) | 7,540 | 76,606 | |||
Resources Connection, Inc. | 8,708 | 125,047 | |||
TriNet Group, Inc. (A) | 9,025 | 654,132 | |||
TrueBlue, Inc. (A) | 8,011 | 225,189 | |||
Upwork, Inc. (A) | 26,102 | 1,521,486 | |||
Willdan Group, Inc. (A) | 2,864 | 107,801 | |||
10,473,822 | |||||
Road and rail – 0.5% | |||||
ArcBest Corp. | 5,707 | 332,090 | |||
Avis Budget Group, Inc. (A) | 11,434 | 890,594 | |||
Daseke, Inc. (A) | 10,459 | 67,774 | |||
Heartland Express, Inc. | 11,043 | 189,167 | |||
HyreCar, Inc. (A) | 4,289 | 89,726 | |||
Marten Transport, Ltd. | 13,755 | 226,820 | |||
Saia, Inc. (A) | 5,923 | 1,240,809 | |||
U.S. Xpress Enterprises, Inc., Class A (A) | 7,178 | 61,731 | |||
Werner Enterprises, Inc. | 13,837 | 616,023 | |||
Yellow Corp. (A) | 12,403 | 80,744 | |||
3,795,478 | |||||
Trading companies and distributors – 1.2% | |||||
Alta Equipment Group, Inc. (A) | 4,998 | 66,423 | |||
Applied Industrial Technologies, Inc. | 8,741 | 795,955 | |||
Beacon Roofing Supply, Inc. (A) | 12,565 | 669,086 | |||
BlueLinx Holdings, Inc. (A) | 2,206 | 110,918 | |||
Boise Cascade Company | 8,829 | 515,172 | |||
CAI International, Inc. | 3,732 | 208,992 | |||
DXP Enterprises, Inc. (A) | 4,446 | 148,052 | |||
GATX Corp. | 7,837 | 693,339 | |||
Global Industrial, Inc. | 3,097 | 113,691 | |||
GMS, Inc. (A) | 9,518 | 458,197 | |||
H&E Equipment Services, Inc. | 7,347 | 244,435 | |||
Herc Holdings, Inc. (A) | 5,600 | 627,592 | |||
McGrath RentCorp | 5,506 | 449,124 | |||
MRC Global, Inc. (A) | 18,532 | 174,201 | |||
NOW, Inc. (A) | 25,208 | 239,224 | |||
Rush Enterprises, Inc., Class A | 8,884 | 384,144 | |||
Rush Enterprises, Inc., Class B | 2,200 | 83,908 | |||
Textainer Group Holdings, Ltd. (A) | 10,743 | 362,791 | |||
Titan Machinery, Inc. (A) | 4,698 | 145,356 | |||
Transcat, Inc. (A) | 1,897 | 107,199 | |||
Triton International, Ltd. | 14,928 | 781,332 | |||
Veritiv Corp. (A) | 3,499 | 214,909 | |||
WESCO International, Inc. (A) | 9,920 | 1,019,974 | |||
8,614,014 | |||||
Transportation infrastructure – 0.1% | |||||
Macquarie Infrastructure Corp. | 16,181 | 619,247 | |||
96,428,706 | |||||
Information technology – 13.0% | |||||
Communications equipment – 0.7% | |||||
ADTRAN, Inc. | 10,913 | 225,353 |
The accompanying notes are an integral part of the financial statements. | 112 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Communications equipment (continued) | |||||
Aviat Networks, Inc. (A) | 2,338 | $ | 76,616 | ||
CalAmp Corp. (A) | 8,593 | 109,303 | |||
Calix, Inc. (A) | 12,234 | 581,115 | |||
Cambium Networks Corp. (A) | 2,048 | 99,021 | |||
Casa Systems, Inc. (A) | 7,648 | 67,838 | |||
Clearfield, Inc. (A) | 3,051 | 114,260 | |||
Comtech Telecommunications Corp. | 6,020 | 145,443 | |||
Digi International, Inc. (A) | 7,892 | 158,708 | |||
DZS, Inc. (A) | 4,452 | 92,379 | |||
EchoStar Corp., Class A (A) | 9,372 | 227,646 | |||
EMCORE Corp. (A) | 8,801 | 81,145 | |||
Extreme Networks, Inc. (A) | 27,843 | 310,728 | |||
Harmonic, Inc. (A) | 21,044 | 179,295 | |||
Infinera Corp. (A) | 39,830 | 406,266 | |||
Inseego Corp. (A)(B) | 19,063 | 192,346 | |||
NETGEAR, Inc. (A) | 6,640 | 254,445 | |||
NetScout Systems, Inc. (A) | 15,726 | 448,820 | |||
Plantronics, Inc. (A) | 7,656 | 319,485 | |||
Ribbon Communications, Inc. (A) | 16,289 | 123,959 | |||
Viavi Solutions, Inc. (A) | 50,836 | 897,764 | |||
5,111,935 | |||||
Electronic equipment, instruments and components – 2.2% | |||||
Advanced Energy Industries, Inc. | 8,605 | 969,870 | |||
Aeva Technologies, Inc. (A) | 5,697 | 60,217 | |||
Akoustis Technologies, Inc. (A) | 10,428 | 111,684 | |||
Arlo Technologies, Inc. (A) | 19,058 | 129,023 | |||
Badger Meter, Inc. | 6,461 | 633,953 | |||
Belden, Inc. | 9,877 | 499,480 | |||
Benchmark Electronics, Inc. | 7,724 | 219,825 | |||
CTS Corp. | 7,105 | 264,022 | |||
Daktronics, Inc. (A) | 13,492 | 88,912 | |||
ePlus, Inc. (A) | 2,971 | 257,556 | |||
Fabrinet (A) | 8,184 | 784,600 | |||
FARO Technologies, Inc. (A) | 4,036 | 313,880 | |||
Identiv, Inc. (A) | 5,260 | 89,420 | |||
II-VI, Inc. (A) | 23,365 | 1,696,065 | |||
Insight Enterprises, Inc. (A) | 7,736 | 773,677 | |||
Iteris, Inc. (A) | 11,164 | 74,241 | |||
Itron, Inc. (A) | 10,087 | 1,008,498 | |||
Kimball Electronics, Inc. (A) | 5,761 | 125,244 | |||
Knowles Corp. (A) | 19,521 | 385,345 | |||
Luna Innovations, Inc. (A) | 8,531 | 92,391 | |||
Methode Electronics, Inc. | 8,345 | 410,657 | |||
MicroVision, Inc. (A) | 35,506 | 594,726 | |||
Napco Security Technologies, Inc. (A) | 3,447 | 125,367 | |||
nLight, Inc. (A) | 9,669 | 350,791 | |||
Novanta, Inc. (A) | 7,819 | 1,053,688 | |||
OSI Systems, Inc. (A) | 3,726 | 378,711 | |||
Ouster, Inc. (A) | 6,610 | 82,559 | |||
PAR Technology Corp. (A)(B) | 5,338 | 373,340 | |||
PC Connection, Inc. | 2,463 | 113,963 | |||
Plexus Corp. (A) | 6,183 | 565,188 | |||
Rogers Corp. (A) | 4,164 | 836,131 | |||
Sanmina Corp. (A) | 14,159 | 551,635 | |||
ScanSource, Inc. (A) | 5,739 | 161,438 | |||
TTM Technologies, Inc. (A) | 22,858 | 326,869 | |||
Velodyne Lidar, Inc. (A) | 16,013 | 170,378 | |||
Vishay Intertechnology, Inc. | 29,373 | 662,361 | |||
Vishay Precision Group, Inc. (A) | 3,177 | 108,145 | |||
15,443,850 | |||||
IT services – 1.5% | |||||
BigCommerce Holdings, Inc., Series 1 (A) | 10,538 | 684,127 | |||
BM Technologies, Inc. (A) | 1,115 | 13,871 | |||
Brightcove, Inc. (A) | 9,813 | 140,817 | |||
Cantaloupe, Inc. (A) | 13,611 | 161,426 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
IT services (continued) | |||||
Cass Information Systems, Inc. | 3,523 | $ | 143,562 | ||
Conduent, Inc. (A) | 37,818 | 283,635 | |||
CSG Systems International, Inc. | 7,421 | 350,123 | |||
DigitalOcean Holdings, Inc. (A) | 2,961 | 164,602 | |||
EVERTEC, Inc. | 13,498 | 589,188 | |||
EVO Payments, Inc., Class A (A) | 10,573 | 293,295 | |||
ExlService Holdings, Inc. (A) | 7,326 | 778,461 | |||
GreenSky, Inc., Class A (A) | 17,963 | 99,695 | |||
Grid Dynamics Holdings, Inc. (A) | 7,180 | 107,915 | |||
i3 Verticals, Inc., Class A (A) | 4,924 | 148,803 | |||
International Money Express, Inc. (A) | 8,143 | 120,924 | |||
Limelight Networks, Inc. (A) | 30,778 | 96,951 | |||
LiveRamp Holdings, Inc. (A) | 14,558 | 682,042 | |||
Marathon Digital Holdings, Inc. (A) | 21,421 | 671,977 | |||
MAXIMUS, Inc. | 13,568 | 1,193,577 | |||
MoneyGram International, Inc. (A) | 17,760 | 179,021 | |||
Paya Holdings, Inc. (A) | 18,744 | 206,559 | |||
Perficient, Inc. (A) | 7,221 | 580,713 | |||
Rackspace Technology, Inc. (A) | 12,110 | 237,477 | |||
Repay Holdings Corp. (A) | 17,612 | 423,392 | |||
Sykes Enterprises, Inc. (A) | 8,513 | 457,148 | |||
The Hackett Group, Inc. | 6,644 | 119,725 | |||
TTEC Holdings, Inc. | 4,119 | 424,628 | |||
Tucows, Inc., Class A (A) | 2,224 | 178,632 | |||
Unisys Corp. (A) | 14,653 | 370,867 | |||
Verra Mobility Corp. (A) | 30,358 | 466,602 | |||
10,369,755 | |||||
Semiconductors and semiconductor equipment – 2.6% | |||||
Alpha & Omega Semiconductor, Ltd. (A) | 4,923 | 149,610 | |||
Ambarella, Inc. (A) | 7,790 | 830,648 | |||
Amkor Technology, Inc. | 22,711 | 537,569 | |||
Atomera, Inc. (A)(B) | 4,756 | 101,969 | |||
Axcelis Technologies, Inc. (A) | 7,426 | 300,159 | |||
AXT, Inc. (A) | 10,109 | 110,997 | |||
CEVA, Inc. (A) | 5,143 | 243,264 | |||
CMC Materials, Inc. | 6,519 | 982,674 | |||
Cohu, Inc. (A) | 10,735 | 394,941 | |||
Diodes, Inc. (A) | 9,645 | 769,382 | |||
DSP Group, Inc. (A) | 5,953 | 88,104 | |||
FormFactor, Inc. (A) | 17,392 | 634,112 | |||
Ichor Holdings, Ltd. (A) | 6,177 | 332,323 | |||
Impinj, Inc. (A) | 4,216 | 217,503 | |||
Kopin Corp. (A)(B) | 17,663 | 144,483 | |||
Kulicke & Soffa Industries, Inc. | 13,665 | 836,298 | |||
Lattice Semiconductor Corp. (A) | 30,272 | 1,700,681 | |||
MACOM Technology Solutions Holdings, Inc. (A) | 10,876 | 696,934 | |||
MaxLinear, Inc. (A) | 15,652 | 665,053 | |||
NeoPhotonics Corp. (A) | 11,306 | 115,434 | |||
NVE Corp. | 1,321 | 97,820 | |||
Onto Innovation, Inc. (A) | 10,894 | 795,698 | |||
PDF Solutions, Inc. (A) | 7,292 | 132,569 | |||
Photronics, Inc. (A) | 13,530 | 178,731 | |||
Power Integrations, Inc. | 13,369 | 1,097,060 | |||
Rambus, Inc. (A) | 25,087 | 594,813 | |||
Semtech Corp. (A) | 14,360 | 987,968 | |||
Silicon Laboratories, Inc. (A) | 9,861 | 1,511,198 | |||
SiTime Corp. (A) | 2,884 | 365,086 | |||
SMART Global Holdings, Inc. (A) | 3,187 | 151,956 | |||
SunPower Corp. (A)(B) | 17,888 | 522,687 | |||
Synaptics, Inc. (A) | 7,869 | 1,224,259 | |||
Ultra Clean Holdings, Inc. (A) | 9,706 | 521,406 | |||
Veeco Instruments, Inc. (A) | 11,142 | 267,854 | |||
18,301,243 |
The accompanying notes are an integral part of the financial statements. | 113 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Software – 5.7% | |||||
8x8, Inc. (A) | 23,889 | $ | 663,159 | ||
A10 Networks, Inc. (A) | 13,793 | 155,309 | |||
ACI Worldwide, Inc. (A) | 26,288 | 976,336 | |||
Agilysys, Inc. (A) | 4,363 | 248,124 | |||
Alarm.com Holdings, Inc. (A) | 10,590 | 896,973 | |||
Alkami Technology, Inc. (A) | 1,619 | 57,750 | |||
Altair Engineering, Inc., Class A (A) | 10,254 | 707,218 | |||
American Software, Inc., Class A | 7,797 | 171,222 | |||
Appfolio, Inc., Class A (A) | 4,218 | 595,582 | |||
Appian Corp. (A)(B) | 8,815 | 1,214,266 | |||
Asana, Inc., Class A (A) | 16,554 | 1,026,845 | |||
Avaya Holdings Corp. (A) | 18,524 | 498,296 | |||
Benefitfocus, Inc. (A) | 6,133 | 86,475 | |||
Blackbaud, Inc. (A) | 10,802 | 827,109 | |||
Blackline, Inc. (A) | 12,001 | 1,335,351 | |||
Bottomline Technologies DE, Inc. (A) | 10,054 | 372,802 | |||
Box, Inc., Class A (A) | 32,881 | 840,110 | |||
BTRS Holdings, Inc. (A) | 10,859 | 137,041 | |||
Cerence, Inc. (A) | 8,484 | 905,328 | |||
ChannelAdvisor Corp. (A) | 6,755 | 165,565 | |||
Cleanspark, Inc. (A) | 7,550 | 125,632 | |||
Cloudera, Inc. (A) | 51,856 | 822,436 | |||
CommVault Systems, Inc. (A) | 9,476 | 740,739 | |||
Cornerstone OnDemand, Inc. (A) | 14,091 | 726,814 | |||
Digimarc Corp. (A)(B) | 3,136 | 105,056 | |||
Digital Turbine, Inc. (A) | 18,910 | 1,437,727 | |||
Domo, Inc., Class B (A) | 6,193 | 500,580 | |||
Ebix, Inc. | 6,032 | 204,485 | |||
Envestnet, Inc. (A) | 12,147 | 921,471 | |||
Ideanomics, Inc. (A) | 91,681 | 260,374 | |||
InterDigital, Inc. | 6,940 | 506,828 | |||
j2 Global, Inc. (A) | 9,657 | 1,328,320 | |||
JFrog, Ltd. (A)(B) | 11,604 | 528,214 | |||
LivePerson, Inc. (A) | 14,356 | 907,873 | |||
MicroStrategy, Inc., Class A (A)(B) | 1,755 | 1,166,198 | |||
Mimecast, Ltd. (A) | 13,361 | 708,801 | |||
Mitek Systems, Inc. (A) | 9,759 | 187,958 | |||
Model N, Inc. (A) | 7,840 | 268,677 | |||
Momentive Global, Inc. (A) | 28,808 | 606,985 | |||
ON24, Inc. (A) | 2,145 | 76,105 | |||
OneSpan, Inc. (A) | 8,126 | 207,538 | |||
PagerDuty, Inc. (A) | 18,145 | 772,614 | |||
Ping Identity Holding Corp. (A) | 9,869 | 226,000 | |||
Progress Software Corp. | 9,835 | 454,869 | |||
PROS Holdings, Inc. (A) | 9,071 | 413,365 | |||
Q2 Holdings, Inc. (A) | 12,233 | 1,254,861 | |||
QAD, Inc., Class A | 2,766 | 240,697 | |||
Qualys, Inc. (A) | 7,617 | 766,956 | |||
Rapid7, Inc. (A) | 12,308 | 1,164,706 | |||
Rimini Street, Inc. (A) | 10,896 | 67,119 | |||
Riot Blockchain, Inc. (A) | 18,918 | 712,641 | |||
Sailpoint Technologies Holdings, Inc. (A) | 20,286 | 1,036,006 | |||
Sapiens International Corp. NV | 7,043 | 185,020 | |||
ShotSpotter, Inc. (A) | 2,147 | 104,709 | |||
Smith Micro Software, Inc. (A) | 12,716 | 66,378 | |||
Sprout Social, Inc., Class A (A) | 9,928 | 887,762 | |||
SPS Commerce, Inc. (A) | 8,040 | 802,794 | |||
Sumo Logic, Inc. (A)(B) | 18,402 | 380,001 | |||
Telos Corp. (A) | 3,935 | 133,829 | |||
Tenable Holdings, Inc. (A) | 20,410 | 843,954 | |||
Upland Software, Inc. (A) | 6,587 | 271,187 | |||
Varonis Systems, Inc. (A) | 23,714 | 1,366,401 | |||
Verint Systems, Inc. (A) | 14,275 | 643,374 | |||
Veritone, Inc. (A) | 6,612 | 130,323 | |||
Viant Technology, Inc., Class A (A) | 2,686 | 79,989 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Software (continued) | |||||
VirnetX Holding Corp. (A)(B) | 16,654 | $ | 71,113 | ||
Vonage Holdings Corp. (A) | 54,243 | 781,642 | |||
Workiva, Inc. (A) | 9,422 | 1,048,951 | |||
Xperi Holding Corp. | 23,689 | 526,843 | |||
Yext, Inc. (A) | 25,095 | 358,608 | |||
Zix Corp. (A) | 14,037 | 98,961 | |||
Zuora, Inc., Class A (A) | 23,648 | 407,928 | |||
40,519,273 | |||||
Technology hardware, storage and peripherals – 0.3% | |||||
3D Systems Corp. (A) | 27,149 | 1,085,146 | |||
Avid Technology, Inc. (A) | 8,132 | 318,368 | |||
Corsair Gaming, Inc. (A)(B) | 5,978 | 199,008 | |||
Diebold Nixdorf, Inc. (A) | 16,369 | 210,178 | |||
Eastman Kodak Company (A) | 10,835 | 90,147 | |||
Quantum Corp. (A) | 13,934 | 96,005 | |||
Super Micro Computer, Inc. (A) | 9,603 | 337,834 | |||
Turtle Beach Corp. (A) | 3,519 | 112,326 | |||
2,449,012 | |||||
92,195,068 | |||||
Materials – 3.6% | |||||
Chemicals – 1.8% | |||||
AdvanSix, Inc. (A) | 6,204 | 185,251 | |||
American Vanguard Corp. | 7,492 | 131,185 | |||
Amyris, Inc. (A)(B) | 37,529 | 614,350 | |||
Avient Corp. | 20,287 | 997,309 | |||
Balchem Corp. | 7,129 | 935,753 | |||
Cabot Corp. | 12,619 | 718,400 | |||
Chase Corp. | 1,705 | 174,950 | |||
Danimer Scientific, Inc. (A) | 15,435 | 386,647 | |||
Ferro Corp. (A) | 18,286 | 394,429 | |||
GCP Applied Technologies, Inc. (A) | 11,128 | 258,837 | |||
Hawkins, Inc. | 4,775 | 156,381 | |||
HB Fuller Company | 11,479 | 730,179 | |||
Ingevity Corp. (A) | 8,981 | 730,694 | |||
Innospec, Inc. | 5,420 | 491,106 | |||
Intrepid Potash, Inc. (A) | 2,483 | 79,108 | |||
Koppers Holdings, Inc. (A) | 5,054 | 163,497 | |||
Kraton Corp. (A) | 7,050 | 227,645 | |||
Kronos Worldwide, Inc. | 5,345 | 76,540 | |||
Livent Corp. (A) | 33,029 | 639,441 | |||
Minerals Technologies, Inc. | 7,331 | 576,730 | |||
Orion Engineered Carbons SA (A) | 13,616 | 258,568 | |||
PQ Group Holdings, Inc. | 11,667 | 179,205 | |||
PureCycle Technologies, Inc. (A)(B) | 7,598 | 179,693 | |||
Quaker Chemical Corp. | 3,013 | 714,653 | |||
Rayonier Advanced Materials, Inc. (A) | 14,810 | 99,079 | |||
Sensient Technologies Corp. | 9,340 | 808,470 | |||
Stepan Company | 4,649 | 559,135 | |||
Tredegar Corp. | 6,598 | 90,854 | |||
Trinseo SA | 8,597 | 514,444 | |||
Tronox Holdings PLC, Class A | 25,559 | 572,522 | |||
Zymergen, Inc. (A) | 4,250 | 170,043 | |||
12,815,098 | |||||
Construction materials – 0.2% | |||||
Forterra, Inc. (A) | 6,540 | 153,755 | |||
Summit Materials, Inc., Class A (A) | 26,266 | 915,370 | |||
U.S. Concrete, Inc. (A) | 3,675 | 271,215 | |||
1,340,340 | |||||
Containers and packaging – 0.2% | |||||
Greif, Inc., Class A | 5,318 | 322,005 | |||
Greif, Inc., Class B | 1,724 | 101,716 | |||
Myers Industries, Inc. | 8,451 | 177,471 | |||
O-I Glass, Inc. (A) | 34,980 | 571,223 |
The accompanying notes are an integral part of the financial statements. | 114 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Containers and packaging (continued) | |||||
Pactiv Evergreen, Inc. | 9,538 | $ | 143,738 | ||
Ranpak Holdings Corp. (A) | 8,060 | 201,742 | |||
UFP Technologies, Inc. (A) | 2,062 | 118,400 | |||
1,636,295 | |||||
Metals and mining – 1.2% | |||||
1911 Gold Corp. (A) | 5,045 | 1,630 | |||
Allegheny Technologies, Inc. (A) | 28,354 | 591,181 | |||
Arconic Corp. (A) | 24,628 | 877,249 | |||
Carpenter Technology Corp. | 10,678 | 429,469 | |||
Century Aluminum Company (A) | 11,633 | 149,949 | |||
Coeur Mining, Inc. (A) | 55,288 | 490,957 | |||
Commercial Metals Company | 26,518 | 814,633 | |||
Compass Minerals International, Inc. | 7,482 | 443,383 | |||
Constellium SE (A) | 27,279 | 516,937 | |||
Gatos Silver, Inc. (A) | 8,389 | 146,724 | |||
Haynes International, Inc. | 3,121 | 110,421 | |||
Hecla Mining Company | 119,749 | 890,933 | |||
Kaiser Aluminum Corp. | 3,555 | 439,007 | |||
Materion Corp. | 4,519 | 340,507 | |||
MP Materials Corp. (A) | 16,264 | 599,491 | |||
Novagold Resources, Inc. (A) | 54,880 | 439,589 | |||
Olympic Steel, Inc. | 2,343 | 68,861 | |||
Ryerson Holding Corp. (A) | 3,961 | 57,831 | |||
Schnitzer Steel Industries, Inc., Class A | 5,865 | 287,678 | |||
SunCoke Energy, Inc. | 19,751 | 141,022 | |||
TimkenSteel Corp. (A) | 10,322 | 146,056 | |||
Warrior Met Coal, Inc. | 11,428 | 196,562 | |||
Worthington Industries, Inc. | 7,581 | 463,806 | |||
8,643,876 | |||||
Paper and forest products – 0.2% | |||||
Clearwater Paper Corp. (A) | 3,933 | 113,939 | |||
Domtar Corp. (A) | 11,092 | 609,616 | |||
Glatfelter Corp. | 10,222 | 142,801 | |||
Neenah, Inc. | 3,880 | 194,660 | |||
Schweitzer-Mauduit International, Inc. | 7,056 | 284,921 | |||
Verso Corp., Class A | 7,107 | 125,794 | |||
1,471,731 | |||||
25,907,340 | |||||
Real estate – 6.5% | |||||
Equity real estate investment trusts – 5.8% | |||||
Acadia Realty Trust | 19,049 | 418,316 | |||
Agree Realty Corp. | 14,539 | 1,024,854 | |||
Alexander & Baldwin, Inc. | 16,140 | 295,685 | |||
Alexander's, Inc. | 525 | 140,674 | |||
American Assets Trust, Inc. | 11,168 | 416,455 | |||
American Finance Trust, Inc. | 25,066 | 212,560 | |||
Apartment Investment and Management Company, Class A | 33,111 | 222,175 | |||
Apple Hospitality REIT, Inc. | 46,477 | 709,239 | |||
Armada Hoffler Properties, Inc. | 14,110 | 187,522 | |||
Ashford Hospitality Trust, Inc. (A) | 25,530 | 116,417 | |||
Braemar Hotels & Resorts, Inc. (A) | 11,918 | 74,011 | |||
Brandywine Realty Trust | 37,322 | 511,685 | |||
Broadstone Net Lease, Inc. | 31,388 | 734,793 | |||
CareTrust REIT, Inc. | 21,833 | 507,181 | |||
CatchMark Timber Trust, Inc., Class A | 12,533 | 146,636 | |||
Centerspace | 3,002 | 236,858 | |||
Chatham Lodging Trust (A) | 11,277 | 145,135 | |||
City Office REIT, Inc. | 11,200 | 139,216 | |||
Columbia Property Trust, Inc. | 25,477 | 443,045 | |||
Community Healthcare Trust, Inc. | 5,362 | 254,481 | |||
CorePoint Lodging, Inc. (A) | 9,761 | 104,443 | |||
Corporate Office Properties Trust | 24,654 | 690,065 | |||
CTO Realty Growth, Inc. | 1,874 | 100,296 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Equity real estate investment trusts (continued) | |||||
DiamondRock Hospitality Company (A) | 46,978 | $ | 455,687 | ||
DigitalBridge Group, Inc. (A) | 107,628 | 850,261 | |||
Diversified Healthcare Trust | 54,192 | 226,523 | |||
Easterly Government Properties, Inc. | 18,768 | 395,629 | |||
EastGroup Properties, Inc. | 8,649 | 1,422,328 | |||
Empire State Realty Trust, Inc., Class A | 31,502 | 378,024 | |||
Equity Commonwealth | 24,479 | 641,350 | |||
Essential Properties Realty Trust, Inc. | 26,237 | 709,448 | |||
Farmland Partners, Inc. | 7,176 | 86,471 | |||
Four Corners Property Trust, Inc. | 17,000 | 469,370 | |||
Franklin Street Properties Corp. | 26,200 | 137,812 | |||
Getty Realty Corp. | 8,586 | 267,454 | |||
Gladstone Commercial Corp. | 8,759 | 197,603 | |||
Gladstone Land Corp. | 6,106 | 146,910 | |||
Global Medical REIT, Inc. | 13,418 | 198,050 | |||
Global Net Lease, Inc. | 21,301 | 394,069 | |||
Healthcare Realty Trust, Inc. | 30,956 | 934,871 | |||
Hersha Hospitality Trust (A) | 8,052 | 86,640 | |||
Independence Realty Trust, Inc. | 21,988 | 400,841 | |||
Indus Realty Trust, Inc. | 1,261 | 82,785 | |||
Industrial Logistics Properties Trust | 14,302 | 373,854 | |||
Innovative Industrial Properties, Inc. | 5,308 | 1,013,934 | |||
iStar, Inc. | 15,772 | 326,954 | |||
Kite Realty Group Trust | 18,447 | 406,018 | |||
Lexington Realty Trust | 58,952 | 704,476 | |||
LTC Properties, Inc. | 8,691 | 333,647 | |||
Mack-Cali Realty Corp. | 19,789 | 339,381 | |||
Monmouth Real Estate Investment Corp. | 21,034 | 393,756 | |||
National Health Investors, Inc. | 9,625 | 645,356 | |||
National Storage Affiliates Trust | 15,610 | 789,242 | |||
NETSTREIT Corp. | 9,021 | 208,024 | |||
New Senior Investment Group, Inc. | 19,975 | 175,381 | |||
NexPoint Residential Trust, Inc. | 4,898 | 269,292 | |||
Office Properties Income Trust | 11,273 | 330,412 | |||
One Liberty Properties, Inc. | 4,657 | 132,212 | |||
Outfront Media, Inc. (A) | 32,346 | 777,274 | |||
Paramount Group, Inc. | 41,253 | 415,418 | |||
Pebblebrook Hotel Trust | 29,087 | 684,999 | |||
Physicians Realty Trust | 46,877 | 865,818 | |||
Piedmont Office Realty Trust, Inc., Class A | 27,499 | 507,907 | |||
Plymouth Industrial REIT, Inc. | 7,285 | 145,846 | |||
Postal Realty Trust, Inc., Class A | 4,212 | 76,827 | |||
PotlatchDeltic Corp. | 14,785 | 785,823 | |||
Preferred Apartment Communities, Inc., Class A | 12,475 | 121,631 | |||
PS Business Parks, Inc. | 4,333 | 641,631 | |||
QTS Realty Trust, Inc., Class A | 15,145 | 1,170,709 | |||
Retail Opportunity Investments Corp. | 26,039 | 459,849 | |||
Retail Properties of America, Inc., Class A | 47,889 | 548,329 | |||
Retail Value, Inc. | 4,644 | 101,007 | |||
RLJ Lodging Trust | 36,689 | 558,773 | |||
RPT Realty | 18,241 | 236,768 | |||
Ryman Hospitality Properties, Inc. (A) | 12,016 | 948,783 | |||
Sabra Health Care REIT, Inc. | 48,000 | 873,600 | |||
Safehold, Inc. | 3,990 | 313,215 | |||
Saul Centers, Inc. | 2,830 | 128,624 | |||
Seritage Growth Properties, Class A (A) | 8,315 | 152,996 | |||
Service Properties Trust | 37,015 | 466,389 | |||
SITE Centers Corp. | 38,212 | 575,473 | |||
STAG Industrial, Inc. | 35,482 | 1,328,091 | |||
Summit Hotel Properties, Inc. (A) | 23,585 | 220,048 | |||
Sunstone Hotel Investors, Inc. (A) | 47,681 | 592,198 | |||
Tanger Factory Outlet Centers, Inc. | 22,068 | 415,982 | |||
Terreno Realty Corp. | 14,940 | 963,929 |
The accompanying notes are an integral part of the financial statements. | 115 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Equity real estate investment trusts (continued) | |||||
The GEO Group, Inc. | 26,688 | $ | 190,019 | ||
The Macerich Company | 44,060 | 804,095 | |||
UMH Properties, Inc. | 9,411 | 205,348 | |||
Uniti Group, Inc. | 43,882 | 464,710 | |||
Universal Health Realty Income Trust | 3,196 | 196,714 | |||
Urban Edge Properties | 25,970 | 496,027 | |||
Urstadt Biddle Properties, Inc., Class A | 7,346 | 142,365 | |||
Washington Real Estate Investment Trust | 18,617 | 428,191 | |||
Whitestone REIT | 10,937 | 90,230 | |||
Xenia Hotels & Resorts, Inc. (A) | 25,613 | 479,731 | |||
41,331,174 | |||||
Real estate management and development – 0.7% | |||||
Cushman & Wakefield PLC (A) | 26,323 | 459,863 | |||
eXp World Holdings, Inc. (A) | 14,014 | 543,323 | |||
Forestar Group, Inc. (A) | 4,341 | 90,770 | |||
FRP Holdings, Inc. (A) | 1,773 | 98,721 | |||
Kennedy-Wilson Holdings, Inc. | 26,574 | 528,025 | |||
Marcus & Millichap, Inc. (A) | 5,270 | 204,845 | |||
Newmark Group, Inc., Class A | 33,563 | 403,092 | |||
Rafael Holdings, Inc., Class B (A) | 2,328 | 118,844 | |||
RE/MAX Holdings, Inc., Class A | 4,356 | 145,185 | |||
Realogy Holdings Corp. (A) | 25,502 | 464,646 | |||
Redfin Corp. (A) | 22,791 | 1,445,177 | |||
Tejon Ranch Company (A) | 5,924 | 90,104 | |||
The RMR Group, Inc., Class A | 3,938 | 152,164 | |||
The St. Joe Company | 7,583 | 338,278 | |||
5,083,037 | |||||
46,414,211 | |||||
Utilities – 2.3% | |||||
Electric utilities – 0.5% | |||||
ALLETE, Inc. | 11,496 | 804,490 | |||
MGE Energy, Inc. | 8,278 | 616,214 | |||
Otter Tail Corp. | 9,389 | 458,277 | |||
PNM Resources, Inc. | 18,816 | 917,656 | |||
Portland General Electric Company | 19,789 | 911,877 | |||
3,708,514 | |||||
Gas utilities – 0.8% | |||||
Brookfield Infrastructure Corp., Class A | 8,206 | 618,732 | |||
Chesapeake Utilities Corp. | 3,894 | 468,565 | |||
New Jersey Resources Corp. | 21,539 | 852,298 | |||
Northwest Natural Holding Company | 7,041 | 369,793 | |||
ONE Gas, Inc. | 11,637 | 862,534 | |||
South Jersey Industries, Inc. | 23,018 | 596,857 | |||
Southwest Gas Holdings, Inc. | 12,520 | 828,699 | |||
Spire, Inc. | 11,198 | 809,279 | |||
5,406,757 | |||||
Independent power and renewable electricity producers – 0.3% | |||||
Clearway Energy, Inc., Class A | 9,239 | 233,008 | |||
Clearway Energy, Inc., Class C | 17,284 | 457,680 | |||
Ormat Technologies, Inc. | 10,038 | 697,942 | |||
Sunnova Energy International, Inc. (A) | 19,318 | 727,516 | |||
2,116,146 | |||||
Multi-utilities – 0.3% | |||||
Avista Corp. | 15,468 | 660,020 | |||
Black Hills Corp. | 13,866 | 910,026 | |||
NorthWestern Corp. | 11,260 | 678,077 | |||
Unitil Corp. | 3,475 | 184,071 | |||
2,432,194 | |||||
Water utilities – 0.4% | |||||
American States Water Company | 8,056 | 640,935 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Water utilities (continued) | |||||
Artesian Resources Corp., Class A | 3,341 | $ | 122,849 | ||
Cadiz, Inc. (A) | 5,644 | 76,758 | |||
California Water Service Group | 11,386 | 632,378 | |||
Middlesex Water Company | 3,877 | 316,867 | |||
Pure Cycle Corp. (A) | 6,277 | 86,748 | |||
SJW Group | 6,372 | 403,348 | |||
The York Water Company | 3,472 | 157,282 | |||
2,437,165 | |||||
16,100,776 | |||||
TOTAL COMMON STOCKS (Cost $459,598,278) | $ | 677,190,798 | |||
RIGHTS – 0.0% | |||||
Pan American Silver Corp. (Expiration Date: 2-22-29) (A)(E) | 88,114 | 74,897 | |||
TOTAL RIGHTS (Cost $26,845) | $ | 74,897 | |||
WARRANTS – 0.0% | |||||
Nabors Industries, Ltd. (Expiration Date: 6-11-26; Strike Price: $166.67) (A) | 668 | 6,680 | |||
TOTAL WARRANTS (Cost $0) | $ | 6,680 | |||
SHORT-TERM INVESTMENTS – 5.4% | |||||
U.S. Government Agency – 3.2% | |||||
Federal Home Loan Bank Discount Note | |||||
0.020%, 07/16/2021 * | $ | 13,000,000 | 12,999,838 | ||
0.035%, 08/25/2021 * | 3,000,000 | 2,999,817 | |||
0.040%, 07/19/2021 * | 7,000,000 | 6,999,895 | |||
22,999,550 | |||||
Short-term funds – 0.8% | |||||
John Hancock Collateral Trust, 0.0324% (F)(G) | 569,583 | 5,698,446 | |||
Repurchase agreement – 1.4% | |||||
Repurchase Agreement with State Street Corp. dated 6-30-21 at 0.000% to be repurchased at $9,600,000 on 7-1-21, collateralized by $10,117,900 U.S. Treasury Notes, 0.500% due 5-31-27 (valued at $9,792,031) | $ | 9,600,000 | 9,600,000 | ||
TOTAL SHORT-TERM INVESTMENTS (Cost $38,298,272) | $ | 38,297,996 | |||
Total Investments (Small Cap Index Trust) (Cost $497,923,395) – 100.5% | $ | 715,570,371 | |||
Other assets and liabilities, net – (0.5%) | (3,382,037) | ||||
TOTAL NET ASSETS – 100.0% | $ | 712,188,334 |
Security Abbreviations and Legend | |
(A) | Non-income producing security. |
(B) | All or a portion of this security is on loan as of 6-30-21. |
(C) | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. Refer to Note 2 to the financial statements. |
(D) | 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. |
(E) | Strike price and/or expiration date not available. |
(F) | The rate shown is the annualized seven-day yield as of 6-30-21. |
(G) | Investment is an affiliate of the fund, the advisor and/or subadvisor. This security represents the investment of cash collateral received for securities lending. |
* | 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. |
The accompanying notes are an integral part of the financial statements. | 116 |
Open contracts | Number of contracts | Position | Expiration date | Notional basis^ | Notional value^ | Unrealized appreciation (depreciation) |
Russell 2000 E-Mini Index Futures | 311 | Long | Sep 2021 | $35,881,066 | $35,886,290 | $5,224 |
$5,224 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS – 99.4% | |||||
Communication services – 2.1% | |||||
Diversified telecommunication services – 0.2% | |||||
ATN International, Inc. | 1,281 | $ | 58,273 | ||
Cincinnati Bell, Inc. (A) | 1,172 | 18,072 | |||
Consolidated Communications Holdings, Inc. (A) | 4,985 | 43,818 | |||
Iridium Communications, Inc. (A) | 2,117 | 84,659 | |||
Liberty Latin America, Ltd., Class A (A) | 4,204 | 58,267 | |||
Liberty Latin America, Ltd., Class C (A) | 11,346 | 159,979 | |||
423,068 | |||||
Entertainment – 0.6% | |||||
Ballantyne Strong, Inc. (A) | 1,114 | 5,336 | |||
Liberty Media Corp.-Liberty Formula One, Series A (A) | 2,022 | 86,198 | |||
Liberty Media Corp.-Liberty Formula One, Series C (A) | 11,028 | 531,660 | |||
Lions Gate Entertainment Corp., Class A (A) | 5,809 | 120,246 | |||
Lions Gate Entertainment Corp., Class B (A) | 8,534 | 156,172 | |||
Madison Square Garden Entertainment Corp. (A) | 1,034 | 86,825 | |||
Reading International, Inc., Class A (A) | 1,100 | 7,667 | |||
The Marcus Corp. (A)(B) | 2,916 | 61,848 | |||
1,055,952 | |||||
Interactive media and services – 0.1% | |||||
Cars.com, Inc. (A) | 5,579 | 79,947 | |||
DHI Group, Inc. (A) | 5,212 | 17,617 | |||
QuinStreet, Inc. (A) | 1,887 | 35,060 | |||
Yelp, Inc. (A) | 1,685 | 67,333 | |||
199,957 | |||||
Media – 1.0% | |||||
AMC Networks, Inc., Class A (A) | 1,328 | 88,710 | |||
Audacy, Inc. (A) | 6,702 | 28,886 | |||
Beasley Broadcast Group, Inc., Class A (A) | 502 | 1,451 | |||
Boston Omaha Corp., Class A (A) | 1,631 | 51,719 | |||
comScore, Inc. (A) | 2,845 | 14,225 | |||
DallasNews Corp. | 1,059 | 7,879 | |||
Entravision Communications Corp., Class A | 5,075 | 33,901 | |||
Fluent, Inc. (A) | 5,600 | 16,408 | |||
Gannett Company, Inc. (A) | 7,195 | 39,501 | |||
Gray Television, Inc. | 6,546 | 153,176 | |||
Hemisphere Media Group, Inc. (A) | 951 | 11,222 | |||
John Wiley & Sons, Inc., Class A | 1,937 | 116,569 | |||
Meredith Corp. (A) | 2,602 | 113,031 | |||
Nexstar Media Group, Inc., Class A | 1,859 | 274,909 | |||
Scholastic Corp. | 1,876 | 71,082 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Media (continued) | |||||
TEGNA, Inc. | 8,149 | $ | 152,875 | ||
The EW Scripps Company, Class A | 5,843 | 119,139 | |||
The Interpublic Group of Companies, Inc. | 9,493 | 308,428 | |||
1,603,111 | |||||
Wireless telecommunication services – 0.2% | |||||
Spok Holdings, Inc. | 3,863 | 37,162 | |||
Telephone & Data Systems, Inc. | 7,131 | 161,588 | |||
United States Cellular Corp. (A) | 2,570 | 93,317 | |||
292,067 | |||||
3,574,155 | |||||
Consumer discretionary – 14.0% | |||||
Auto components – 2.5% | |||||
Adient PLC (A) | 3,399 | 153,635 | |||
American Axle & Manufacturing Holdings, Inc. (A) | 6,125 | 63,394 | |||
Autoliv, Inc. | 3,921 | 383,317 | |||
BorgWarner, Inc. | 10,789 | 523,698 | |||
Cooper-Standard Holdings, Inc. (A) | 1,311 | 38,019 | |||
Dana, Inc. | 8,889 | 211,203 | |||
Dorman Products, Inc. (A) | 4,802 | 497,823 | |||
Fox Factory Holding Corp. (A) | 9,005 | 1,401,696 | |||
Gentherm, Inc. (A) | 420 | 29,841 | |||
Horizon Global Corp. (A) | 878 | 7,445 | |||
LCI Industries | 237 | 31,147 | |||
Lear Corp. | 1,655 | 290,088 | |||
Modine Manufacturing Company (A) | 4,925 | 81,706 | |||
Motorcar Parts of America, Inc. (A) | 1,585 | 35,567 | |||
Patrick Industries, Inc. | 647 | 47,231 | |||
Standard Motor Products, Inc. | 1,901 | 82,408 | |||
Stoneridge, Inc. (A) | 1,672 | 49,324 | |||
Strattec Security Corp. (A) | 924 | 41,081 | |||
The Goodyear Tire & Rubber Company (A) | 17,683 | 303,263 | |||
4,271,886 | |||||
Automobiles – 0.2% | |||||
Harley-Davidson, Inc. | 2,302 | 105,478 | |||
Thor Industries, Inc. | 1,162 | 131,306 | |||
Winnebago Industries, Inc. | 1,123 | 76,319 | |||
313,103 | |||||
Distributors – 0.0% | |||||
Core-Mark Holding Company, Inc. | 1,227 | 55,227 | |||
Weyco Group, Inc. | 1,316 | 29,439 | |||
84,666 | |||||
Diversified consumer services – 1.0% | |||||
Adtalem Global Education, Inc. (A) | 3,782 | 134,790 | |||
American Public Education, Inc. (A) | 1,450 | 41,093 | |||
Carriage Services, Inc. | 1,797 | 66,435 |
The accompanying notes are an integral part of the financial statements. | 117 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Diversified consumer services (continued) | |||||
Graham Holdings Company, Class B | 347 | $ | 219,963 | ||
Grand Canyon Education, Inc. (A) | 8,923 | 802,802 | |||
Houghton Mifflin Harcourt Company (A) | 5,833 | 64,396 | |||
Laureate Education, Inc., Class A (A) | 3,940 | 57,169 | |||
Lincoln Educational Services Corp. (A) | 1,100 | 8,558 | |||
OneSpaWorld Holdings, Ltd. (A) | 3,242 | 31,415 | |||
Perdoceo Education Corp. (A) | 5,378 | 65,988 | |||
Stride, Inc. (A) | 2,888 | 92,791 | |||
Universal Technical Institute, Inc. (A) | 3,087 | 20,035 | |||
Zovio, Inc. (A) | 3,463 | 8,969 | |||
1,614,404 | |||||
Hotels, restaurants and leisure – 1.2% | |||||
Ark Restaurants Corp. (A) | 64 | 1,264 | |||
Biglari Holdings, Inc., Class A (A) | 3 | 2,337 | |||
Biglari Holdings, Inc., Class B (A) | 102 | 16,266 | |||
Bluegreen Vacations Holding Corp. (A) | 348 | 6,264 | |||
Carrols Restaurant Group, Inc. (A) | 1,688 | 10,145 | |||
Churchill Downs, Inc. | 3,372 | 668,533 | |||
Chuy's Holdings, Inc. (A) | 19,971 | 744,119 | |||
Del Taco Restaurants, Inc. | 2,438 | 24,404 | |||
Dover Motorsports, Inc. | 400 | 900 | |||
El Pollo Loco Holdings, Inc. (A) | 2,613 | 47,792 | |||
Fiesta Restaurant Group, Inc. (A) | 1,348 | 18,104 | |||
International Game Technology PLC (A) | 5,109 | 122,412 | |||
Marriott Vacations Worldwide Corp. (A) | 909 | 144,804 | |||
Monarch Casino & Resort, Inc. (A) | 1,074 | 71,067 | |||
Playa Hotels & Resorts NV (A) | 2,743 | 20,380 | |||
RCI Hospitality Holdings, Inc. | 396 | 26,215 | |||
Red Robin Gourmet Burgers, Inc. (A) | 731 | 24,203 | |||
1,949,209 | |||||
Household durables – 2.2% | |||||
Bassett Furniture Industries, Inc. | 1,234 | 30,048 | |||
Beazer Homes USA, Inc. (A) | 1,614 | 31,134 | |||
Cavco Industries, Inc. (A) | 510 | 113,317 | |||
Century Communities, Inc. | 1,378 | 91,692 | |||
Ethan Allen Interiors, Inc. | 1,706 | 47,086 | |||
Flexsteel Industries, Inc. | 1,118 | 45,156 | |||
Green Brick Partners, Inc. (A) | 900 | 20,466 | |||
Hooker Furniture Corp. | 1,821 | 63,079 | |||
iRobot Corp. (A) | 743 | 69,389 | |||
KB Home | 6,043 | 246,071 | |||
La-Z-Boy, Inc. | 3,039 | 112,565 | |||
Legacy Housing Corp. (A) | 585 | 9,892 | |||
LGI Homes, Inc. (A) | 1,066 | 172,628 | |||
Lifetime Brands, Inc. | 2,931 | 43,877 | |||
M/I Homes, Inc. (A) | 2,195 | 128,781 | |||
MDC Holdings, Inc. | 4,059 | 205,385 | |||
Meritage Homes Corp. (A) | 2,251 | 211,774 | |||
Mohawk Industries, Inc. (A) | 2,210 | 424,740 | |||
Newell Brands, Inc. | 4,663 | 128,093 | |||
Taylor Morrison Home Corp. (A) | 6,235 | 164,729 | |||
The New Home Company, Inc. (A) | 831 | 4,878 | |||
Toll Brothers, Inc. | 8,961 | 518,035 | |||
TopBuild Corp. (A) | 2,224 | 439,863 | |||
Tri Pointe Homes, Inc. (A) | 9,765 | 209,264 | |||
Universal Electronics, Inc. (A) | 745 | 36,133 | |||
VOXX International Corp. (A) | 3,131 | 43,865 | |||
3,611,940 | |||||
Internet and direct marketing retail – 0.3% | |||||
1-800-Flowers.com, Inc., Class A (A) | 890 | 28,364 | |||
Lands' End, Inc. (A) | 1,503 | 61,698 | |||
Liquidity Services, Inc. (A) | 1,691 | 43,036 | |||
Qurate Retail, Inc., Series A | 20,519 | 268,594 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Internet and direct marketing retail (continued) | |||||
Stamps.com, Inc. (A) | 518 | $ | 103,750 | ||
505,442 | |||||
Leisure products – 0.4% | |||||
Acushnet Holdings Corp. | 3,375 | 166,725 | |||
American Outdoor Brands, Inc. (A) | 614 | 21,576 | |||
Callaway Golf Company (A) | 1,265 | 42,668 | |||
Escalade, Inc. | 3,529 | 80,991 | |||
Johnson Outdoors, Inc., Class A | 766 | 92,686 | |||
Nautilus, Inc. (A) | 1,580 | 26,623 | |||
Smith & Wesson Brands, Inc. | 859 | 29,807 | |||
Vista Outdoor, Inc. (A) | 3,182 | 147,263 | |||
608,339 | |||||
Multiline retail – 1.0% | |||||
Big Lots, Inc. | 2,327 | 153,605 | |||
Dillard's, Inc., Class A | 2,339 | 423,078 | |||
Franchise Group, Inc. | 300 | 10,581 | |||
Kohl's Corp. | 8,128 | 447,934 | |||
Macy's, Inc. (A) | 12,243 | 232,127 | |||
Ollie's Bargain Outlet Holdings, Inc. (A) | 5,275 | 443,786 | |||
1,711,111 | |||||
Specialty retail – 4.3% | |||||
Abercrombie & Fitch Company, Class A (A) | 4,970 | 230,757 | |||
Advance Auto Parts, Inc. | 1,763 | 361,662 | |||
American Eagle Outfitters, Inc. | 3,470 | 130,229 | |||
America's Car-Mart, Inc. (A) | 338 | 47,901 | |||
Asbury Automotive Group, Inc. (A) | 645 | 110,534 | |||
AutoNation, Inc. (A) | 5,555 | 526,670 | |||
Barnes & Noble Education, Inc. (A) | 6,174 | 44,515 | |||
Bed Bath & Beyond, Inc. (A) | 7,867 | 261,892 | |||
Big 5 Sporting Goods Corp. (B) | 2,004 | 51,463 | |||
Boot Barn Holdings, Inc. (A) | 2,080 | 174,824 | |||
Build-A-Bear Workshop, Inc. (A) | 2,470 | 42,756 | |||
Chico's FAS, Inc. (A) | 8,871 | 58,371 | |||
Citi Trends, Inc. (A) | 1,422 | 123,714 | |||
Conn's, Inc. (A) | 2,177 | 55,514 | |||
Designer Brands, Inc., Class A (A) | 4,349 | 71,976 | |||
Dick's Sporting Goods, Inc. | 3,608 | 361,486 | |||
Five Below, Inc. (A) | 4,102 | 792,794 | |||
Foot Locker, Inc. | 4,562 | 281,156 | |||
Genesco, Inc. (A) | 1,311 | 83,484 | |||
Group 1 Automotive, Inc. | 1,593 | 246,007 | |||
Guess?, Inc. | 5,350 | 141,240 | |||
Haverty Furniture Companies, Inc. | 1,613 | 68,972 | |||
Hibbett, Inc. (A) | 1,098 | 98,414 | |||
Lithia Motors, Inc. | 3,368 | 1,157,380 | |||
Lumber Liquidators Holdings, Inc. (A) | 1,480 | 31,228 | |||
MarineMax, Inc. (A) | 2,016 | 98,260 | |||
Monro, Inc. | 1,145 | 72,719 | |||
Penske Automotive Group, Inc. | 4,329 | 326,796 | |||
Rent-A-Center, Inc. | 1,084 | 57,528 | |||
Shoe Carnival, Inc. | 1,152 | 82,472 | |||
Signet Jewelers, Ltd. (A) | 3,675 | 296,903 | |||
Sonic Automotive, Inc., Class A | 1,522 | 68,094 | |||
The Aaron's Company, Inc. | 1,356 | 43,378 | |||
The Buckle, Inc. | 753 | 37,462 | |||
The Cato Corp., Class A | 1,957 | 33,015 | |||
The Container Store Group, Inc. (A) | 2,221 | 28,962 | |||
The ODP Corp. (A) | 3,276 | 157,281 | |||
Tilly's, Inc., Class A | 712 | 11,378 | |||
Urban Outfitters, Inc. (A) | 4,015 | 165,498 | |||
Zumiez, Inc. (A) | 1,822 | 89,260 | |||
7,123,945 |
The accompanying notes are an integral part of the financial statements. | 118 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Textiles, apparel and luxury goods – 0.9% | |||||
Capri Holdings, Ltd. (A) | 3,763 | $ | 215,206 | ||
Culp, Inc. | 334 | 5,444 | |||
Delta Apparel, Inc. (A) | 500 | 14,760 | |||
Fossil Group, Inc. (A) | 3,231 | 46,139 | |||
G-III Apparel Group, Ltd. (A) | 3,404 | 111,855 | |||
Lakeland Industries, Inc. (A) | 1,110 | 24,786 | |||
Movado Group, Inc. | 1,758 | 55,324 | |||
Oxford Industries, Inc. | 4,836 | 477,990 | |||
PVH Corp. (A) | 2,670 | 287,265 | |||
Ralph Lauren Corp. | 189 | 22,266 | |||
Rocky Brands, Inc. | 1,478 | 82,177 | |||
Steven Madden, Ltd. | 820 | 35,883 | |||
Superior Group of Companies, Inc. | 663 | 15,852 | |||
Tapestry, Inc. (A) | 1,784 | 77,568 | |||
Unifi, Inc. (A) | 2,453 | 59,755 | |||
Vera Bradley, Inc. (A) | 2,034 | 25,201 | |||
1,557,471 | |||||
23,351,516 | |||||
Consumer staples – 4.1% | |||||
Beverages – 0.3% | |||||
MGP Ingredients, Inc. | 571 | 38,622 | |||
Molson Coors Beverage Company, Class B (A) | 9,159 | 491,747 | |||
530,369 | |||||
Food and staples retailing – 1.3% | |||||
Casey's General Stores, Inc. | 162 | 31,532 | |||
Grocery Outlet Holding Corp. (A) | 1,730 | 59,962 | |||
Ingles Markets, Inc., Class A | 1,895 | 110,422 | |||
Natural Grocers by Vitamin Cottage, Inc. | 1,014 | 10,890 | |||
Performance Food Group Company (A) | 12,763 | 618,878 | |||
PriceSmart, Inc. | 4,568 | 415,734 | |||
Rite Aid Corp. (A) | 3,864 | 62,983 | |||
SpartanNash Company | 3,523 | 68,029 | |||
Sprouts Farmers Market, Inc. (A) | 4,445 | 110,458 | |||
The Andersons, Inc. | 3,384 | 103,314 | |||
The Chefs' Warehouse, Inc. (A) | 789 | 25,114 | |||
U.S. Foods Holding Corp. (A) | 6,757 | 259,199 | |||
United Natural Foods, Inc. (A) | 4,429 | 163,784 | |||
Village Super Market, Inc., Class A | 685 | 16,104 | |||
Weis Markets, Inc. | 2,371 | 122,486 | |||
2,178,889 | |||||
Food products – 2.1% | |||||
Alico, Inc. | 341 | 12,140 | |||
B&G Foods, Inc. (B) | 1,941 | 63,665 | |||
Bunge, Ltd. | 6,512 | 508,913 | |||
Cal-Maine Foods, Inc. | 1,161 | 42,040 | |||
Darling Ingredients, Inc. (A) | 10,424 | 703,620 | |||
Farmer Brothers Company (A) | 1,069 | 13,566 | |||
Flowers Foods, Inc. | 5,888 | 142,490 | |||
Fresh Del Monte Produce, Inc. | 2,635 | 86,639 | |||
Hostess Brands, Inc. (A) | 4,123 | 66,751 | |||
Ingredion, Inc. | 3,644 | 329,782 | |||
J&J Snack Foods Corp. | 853 | 148,772 | |||
John B. Sanfilippo & Son, Inc. | 400 | 35,428 | |||
Landec Corp. (A) | 3,130 | 35,213 | |||
Limoneira Company | 199 | 3,492 | |||
Pilgrim's Pride Corp. (A) | 3,291 | 72,994 | |||
Post Holdings, Inc. (A) | 3,484 | 377,909 | |||
Sanderson Farms, Inc. | 1,082 | 203,384 | |||
Seaboard Corp. | 52 | 201,174 | |||
Seneca Foods Corp., Class A (A) | 1,409 | 71,972 | |||
The Hain Celestial Group, Inc. (A) | 3,757 | 150,731 | |||
The Simply Good Foods Company (A) | 1,707 | 62,323 | |||
Tootsie Roll Industries, Inc. (B) | 1,396 | 47,338 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Food products (continued) | |||||
TreeHouse Foods, Inc. (A) | 1,806 | $ | 80,403 | ||
3,460,739 | |||||
Household products – 0.2% | |||||
Central Garden & Pet Company (A) | 1,553 | 82,200 | |||
Central Garden & Pet Company, Class A (A) | 3,288 | 158,810 | |||
Oil-Dri Corp. of America | 531 | 18,150 | |||
Spectrum Brands Holdings, Inc. | 1,089 | 92,609 | |||
351,769 | |||||
Personal products – 0.2% | |||||
Edgewell Personal Care Company | 3,300 | 144,870 | |||
Mannatech, Inc. | 276 | 7,618 | |||
Natural Alternatives International, Inc. (A) | 200 | 3,388 | |||
Nature's Sunshine Products, Inc. | 1,118 | 19,420 | |||
Nu Skin Enterprises, Inc., Class A | 2,131 | 120,721 | |||
296,017 | |||||
Tobacco – 0.0% | |||||
Universal Corp. | 1,975 | 112,516 | |||
6,930,299 | |||||
Energy – 5.8% | |||||
Energy equipment and services – 1.1% | |||||
Archrock, Inc. | 10,702 | 95,355 | |||
ChampionX Corp. (A) | 7,217 | 185,116 | |||
Dawson Geophysical Company (A) | 3,948 | 10,304 | |||
Dril-Quip, Inc. (A) | 2,386 | 80,718 | |||
Exterran Corp. (A) | 4,737 | 22,548 | |||
Frank's International NV (A)(B) | 13,259 | 40,175 | |||
Geospace Technologies Corp. (A) | 516 | 4,174 | |||
Gulf Island Fabrication, Inc. (A) | 3,019 | 13,646 | |||
Helix Energy Solutions Group, Inc. (A) | 12,029 | 68,686 | |||
Helmerich & Payne, Inc. | 4,237 | 138,253 | |||
KLX Energy Services Holdings, Inc. (A) | 373 | 3,562 | |||
Liberty Oilfield Services, Inc., Class A (A) | 9,594 | 135,851 | |||
Nabors Industries, Ltd. (A) | 597 | 68,201 | |||
National Energy Services Reunited Corp. (A) | 3,117 | 44,417 | |||
Natural Gas Services Group, Inc. (A) | 2,620 | 26,934 | |||
Newpark Resources, Inc. (A) | 6,750 | 23,355 | |||
NexTier Oilfield Solutions, Inc. (A) | 11,003 | 52,374 | |||
NOV, Inc. (A) | 3,659 | 56,056 | |||
Oceaneering International, Inc. (A) | 5,817 | 90,571 | |||
Oil States International, Inc. (A) | 4,041 | 31,722 | |||
Patterson-UTI Energy, Inc. | 12,012 | 119,399 | |||
ProPetro Holding Corp. (A) | 7,061 | 64,679 | |||
RPC, Inc. (A) | 12,691 | 62,820 | |||
SEACOR Marine Holdings, Inc. (A) | 2,432 | 10,725 | |||
Select Energy Services, Inc., Class A (A) | 5,093 | 30,762 | |||
Technip Energies NV, ADR (A) | 2,809 | 38,315 | |||
TechnipFMC PLC (A) | 20,822 | 188,439 | |||
Tidewater, Inc. (A) | 2,791 | 33,632 | |||
Transocean, Ltd. (A)(B) | 13,252 | 59,899 | |||
U.S. Silica Holdings, Inc. (A) | 4,282 | 49,500 | |||
1,850,188 | |||||
Oil, gas and consumable fuels – 4.7% | |||||
Adams Resources & Energy, Inc. | 724 | 20,048 | |||
Antero Midstream Corp. | 26,090 | 271,075 | |||
Antero Resources Corp. (A) | 20,791 | 312,489 | |||
APA Corp. | 368 | 7,960 | |||
Ardmore Shipping Corp. (A) | 1,174 | 4,954 | |||
Berry Corp. | 3,197 | 21,484 | |||
Bonanza Creek Energy, Inc. | 1,183 | 55,684 | |||
Cabot Oil & Gas Corp. | 10,189 | 177,900 | |||
Callon Petroleum Company (A)(B) | 1,879 | 108,400 |
The accompanying notes are an integral part of the financial statements. | 119 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Oil, gas and consumable fuels (continued) | |||||
Centennial Resource Development, Inc., Class A (A) | 11,699 | $ | 79,319 | ||
Cimarex Energy Company | 963 | 69,769 | |||
Clean Energy Fuels Corp. (A) | 9,682 | 98,272 | |||
CNX Resources Corp. (A) | 15,258 | 208,424 | |||
Comstock Resources, Inc. (A) | 12,010 | 80,107 | |||
CONSOL Energy, Inc. (A) | 4,596 | 84,888 | |||
Continental Resources, Inc. | 11,202 | 426,012 | |||
CVR Energy, Inc. | 1,951 | 35,040 | |||
Delek US Holdings, Inc. | 5,312 | 114,845 | |||
Denbury, Inc. (A) | 2,036 | 156,324 | |||
Devon Energy Corp. | 17,092 | 498,915 | |||
DHT Holdings, Inc. | 10,864 | 70,507 | |||
Diamondback Energy, Inc. | 1,475 | 138,488 | |||
Dorian LPG, Ltd. (A) | 3,417 | 48,248 | |||
Earthstone Energy, Inc., Class A (A) | 1,600 | 17,712 | |||
EnLink Midstream LLC (A) | 15,546 | 99,339 | |||
EQT Corp. (A) | 15,110 | 336,349 | |||
Equitrans Midstream Corp. | 25,675 | 218,494 | |||
Green Plains, Inc. (A) | 5,268 | 177,110 | |||
HollyFrontier Corp. | 8,800 | 289,520 | |||
International Seaways, Inc. | 2,070 | 39,703 | |||
Kosmos Energy, Ltd. (A) | 21,319 | 73,764 | |||
Laredo Petroleum, Inc. (A) | 56 | 5,196 | |||
Magnolia Oil & Gas Corp., Class A (A) | 33,100 | 517,353 | |||
Marathon Oil Corp. | 42,707 | 581,669 | |||
Matador Resources Company | 5,228 | 188,260 | |||
Murphy Oil Corp. | 10,625 | 247,350 | |||
NACCO Industries, Inc., Class A | 700 | 18,228 | |||
Nordic American Tankers, Ltd. | 2,259 | 7,410 | |||
Overseas Shipholding Group, Inc., Class A (A) | 5,561 | 11,622 | |||
Par Pacific Holdings, Inc. (A) | 399 | 6,711 | |||
PBF Energy, Inc., Class A (A) | 7,833 | 119,845 | |||
PDC Energy, Inc. | 6,240 | 285,730 | |||
Peabody Energy Corp. (A) | 6,070 | 48,135 | |||
Penn Virginia Corp. (A) | 651 | 15,370 | |||
PHX Minerals, Inc. | 557 | 2,072 | |||
Range Resources Corp. (A) | 18,052 | 302,552 | |||
Renewable Energy Group, Inc. (A) | 3,442 | 214,574 | |||
REX American Resources Corp. (A) | 429 | 38,687 | |||
SandRidge Energy, Inc. (A) | 1,746 | 10,965 | |||
Scorpio Tankers, Inc. | 2,441 | 53,824 | |||
SFL Corp., Ltd. | 10,526 | 80,524 | |||
SilverBow Resources, Inc. (A) | 324 | 7,523 | |||
SM Energy Company | 5,199 | 128,051 | |||
Talos Energy, Inc. (A) | 5,072 | 79,326 | |||
Targa Resources Corp. | 4,019 | 178,645 | |||
Teekay Corp. (A) | 286 | 1,064 | |||
Teekay Tankers, Ltd., Class A (A) | 2,780 | 40,088 | |||
Whiting Petroleum Corp. (A) | 2,713 | 147,994 | |||
World Fuel Services Corp. | 3,166 | 100,457 | |||
7,780,368 | |||||
9,630,556 | |||||
Financials – 20.5% | |||||
Banks – 11.3% | |||||
1st Source Corp. | 2,092 | 97,194 | |||
Allegiance Bancshares, Inc. | 308 | 11,840 | |||
Altabancorp | 518 | 22,435 | |||
Amerant Bancorp, Inc. (A) | 686 | 14,667 | |||
American National Bankshares, Inc. | 991 | 30,810 | |||
American River Bankshares | 2,249 | 40,707 | |||
Ameris Bancorp | 15,901 | 805,068 | |||
Arrow Financial Corp. | 1,054 | 37,891 | |||
Associated Banc-Corp. | 14,499 | 296,940 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Banks (continued) | |||||
Atlantic Capital Bancshares, Inc. (A) | 1,267 | $ | 32,258 | ||
Atlantic Union Bankshares Corp. | 14,373 | 520,590 | |||
Banc of California, Inc. | 4,665 | 81,824 | |||
BancorpSouth Bank | 7,247 | 205,308 | |||
Bank of Commerce Holdings | 2,506 | 37,640 | |||
Bank of Marin Bancorp | 1,150 | 36,685 | |||
Bank OZK | 8,966 | 378,007 | |||
BankFinancial Corp. | 2,146 | 24,550 | |||
BankUnited, Inc. | 2,347 | 100,193 | |||
Banner Corp. | 3,379 | 183,176 | |||
Bar Harbor Bankshares | 1,690 | 48,368 | |||
BCB Bancorp, Inc. | 1,477 | 19,866 | |||
Berkshire Hills Bancorp, Inc. | 3,539 | 97,004 | |||
BOK Financial Corp. | 4,528 | 392,125 | |||
Boston Private Financial Holdings, Inc. | 6,871 | 101,347 | |||
Brookline Bancorp, Inc. | 6,310 | 94,335 | |||
Bryn Mawr Bank Corp. | 1,669 | 70,415 | |||
Business First Bancshares, Inc. | 500 | 11,475 | |||
Byline Bancorp, Inc. | 683 | 15,456 | |||
C&F Financial Corp. | 627 | 31,977 | |||
Cadence BanCorp | 5,634 | 117,638 | |||
Cambridge Bancorp | 121 | 10,042 | |||
Camden National Corp. | 1,722 | 82,243 | |||
Capital City Bank Group, Inc. | 1,865 | 48,098 | |||
Capstar Financial Holdings, Inc. | 600 | 12,300 | |||
Cathay General Bancorp | 2,466 | 97,062 | |||
CBTX, Inc. | 807 | 22,039 | |||
Central Pacific Financial Corp. | 2,460 | 64,108 | |||
Century Bancorp, Inc., Class A | 313 | 35,682 | |||
Chemung Financial Corp. | 723 | 32,036 | |||
CIT Group, Inc. | 3,539 | 182,577 | |||
Citizens & Northern Corp. | 500 | 12,250 | |||
City Holding Company | 400 | 30,096 | |||
Civista Bancshares, Inc. | 1,114 | 24,619 | |||
CNB Financial Corp. | 1,562 | 35,645 | |||
Columbia Banking System, Inc. | 3,208 | 123,700 | |||
Comerica, Inc. | 3,910 | 278,939 | |||
Community Trust Bancorp, Inc. | 1,347 | 54,392 | |||
ConnectOne Bancorp, Inc. | 1,273 | 33,314 | |||
CrossFirst Bankshares, Inc. (A) | 1,824 | 25,080 | |||
Customers Bancorp, Inc. (A) | 2,568 | 100,126 | |||
CVB Financial Corp. | 3,612 | 74,371 | |||
Dime Community Bancshares, Inc. | 3,390 | 113,972 | |||
Eagle Bancorp, Inc. | 1,290 | 72,343 | |||
East West Bancorp, Inc. | 461 | 33,049 | |||
Enterprise Bancorp, Inc. | 246 | 8,057 | |||
Enterprise Financial Services Corp. | 1,221 | 56,642 | |||
Equity Bancshares, Inc., Class A (A) | 1,097 | 33,448 | |||
FB Financial Corp. | 1,189 | 44,373 | |||
Financial Institutions, Inc. | 1,481 | 44,430 | |||
First Bancorp (North Carolina) | 2,905 | 118,844 | |||
First Bancorp (Puerto Rico) | 14,979 | 178,550 | |||
First Bank | 900 | 12,186 | |||
First Busey Corp. | 2,457 | 60,590 | |||
First Business Financial Services, Inc. | 1,366 | 36,978 | |||
First Choice Bancorp | 400 | 12,180 | |||
First Commonwealth Financial Corp. | 8,341 | 117,358 | |||
First Community Bankshares, Inc. | 2,201 | 65,700 | |||
First Financial Bancorp | 7,516 | 177,603 | |||
First Financial Corp. | 1,432 | 58,454 | |||
First Financial Northwest, Inc. | 1,100 | 16,665 | |||
First Foundation, Inc. | 1,677 | 37,749 | |||
First Hawaiian, Inc. | 5,863 | 166,157 | |||
First Horizon Corp. | 25,469 | 440,104 | |||
First Internet Bancorp | 777 | 24,071 |
The accompanying notes are an integral part of the financial statements. | 120 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Banks (continued) | |||||
First Interstate BancSystem, Inc., Class A | 1,946 | $ | 81,401 | ||
First Merchants Corp. | 4,369 | 182,056 | |||
First Mid Bancshares, Inc. | 349 | 14,138 | |||
First Midwest Bancorp, Inc. | 6,300 | 124,929 | |||
First Northwest Bancorp | 800 | 14,040 | |||
Flushing Financial Corp. | 2,921 | 62,597 | |||
FNB Corp. | 16,986 | 209,437 | |||
Fulton Financial Corp. | 11,240 | 177,367 | |||
German American Bancorp, Inc. | 755 | 28,086 | |||
Great Southern Bancorp, Inc. | 1,117 | 60,206 | |||
Great Western Bancorp, Inc. | 3,019 | 98,993 | |||
Guaranty Bancshares, Inc. | 293 | 9,983 | |||
Hancock Whitney Corp. | 7,556 | 335,789 | |||
Hanmi Financial Corp. | 3,082 | 58,743 | |||
HarborOne Bancorp, Inc. | 4,217 | 60,472 | |||
Heartland Financial USA, Inc. | 2,428 | 114,092 | |||
Heritage Commerce Corp. | 3,825 | 42,572 | |||
Heritage Financial Corp. | 1,981 | 49,565 | |||
Hilltop Holdings, Inc. | 4,528 | 164,819 | |||
Home BancShares, Inc. | 1,178 | 29,073 | |||
HomeTrust Bancshares, Inc. | 560 | 15,624 | |||
Hope Bancorp, Inc. | 10,431 | 147,912 | |||
Horizon Bancorp, Inc. | 3,849 | 67,088 | |||
Huntington Bancshares, Inc. | 23,965 | 341,981 | |||
Independent Bank Corp. (Massachusetts) | 744 | 56,172 | |||
Independent Bank Corp. (Michigan) | 1,806 | 39,208 | |||
Independent Bank Group, Inc. | 1,953 | 144,483 | |||
International Bancshares Corp. | 4,680 | 200,959 | |||
Investar Holding Corp. | 500 | 11,445 | |||
Investors Bancorp, Inc. | 18,672 | 266,263 | |||
Lakeland Bancorp, Inc. | 3,580 | 62,578 | |||
LCNB Corp. | 600 | 9,822 | |||
Macatawa Bank Corp. | 5,091 | 44,546 | |||
Mercantile Bank Corp. | 1,666 | 50,313 | |||
Metropolitan Bank Holding Corp. (A) | 456 | 27,460 | |||
Midland States Bancorp, Inc. | 1,070 | 28,109 | |||
MidWestOne Financial Group, Inc. | 1,343 | 38,638 | |||
MVB Financial Corp. | 300 | 12,798 | |||
National Bank Holdings Corp., Class A | 1,336 | 50,421 | |||
National Bankshares, Inc. | 622 | 21,776 | |||
NBT Bancorp, Inc. | 2,964 | 106,615 | |||
Nicolet Bankshares, Inc. (A) | 565 | 39,742 | |||
Northeast Bank | 770 | 23,000 | |||
Northrim BanCorp, Inc. | 1,530 | 65,408 | |||
Norwood Financial Corp. | 1,188 | 30,888 | |||
OceanFirst Financial Corp. | 1,393 | 29,030 | |||
OFG Bancorp | 4,124 | 91,223 | |||
Old National Bancorp | 10,998 | 193,675 | |||
Old Second Bancorp, Inc. | 2,721 | 33,740 | |||
Origin Bancorp, Inc. | 1,115 | 47,343 | |||
Orrstown Financial Services, Inc. | 500 | 11,535 | |||
Pacific Mercantile Bancorp (A) | 1,962 | 16,873 | |||
Pacific Premier Bancorp, Inc. | 3,858 | 163,155 | |||
PacWest Bancorp | 7,676 | 315,944 | |||
Park National Corp. | 315 | 36,987 | |||
Peapack-Gladstone Financial Corp. | 1,625 | 50,489 | |||
Penns Woods Bancorp, Inc. | 1,188 | 28,298 | |||
Peoples Bancorp, Inc. | 1,809 | 53,583 | |||
People's United Financial, Inc. | 22,779 | 390,432 | |||
Pinnacle Financial Partners, Inc. | 11,251 | 993,351 | |||
Popular, Inc. | 5,455 | 409,398 | |||
Preferred Bank | 589 | 37,266 | |||
Premier Financial Bancorp, Inc. | 2,821 | 47,534 | |||
Primis Financial Corp. | 3,850 | 58,751 | |||
Prosperity Bancshares, Inc. | 5,378 | 386,140 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Banks (continued) | |||||
QCR Holdings, Inc. | 1,211 | $ | 58,237 | ||
RBB Bancorp | 1,075 | 26,037 | |||
Reliant Bancorp, Inc. | 400 | 11,092 | |||
Renasant Corp. | 3,529 | 141,160 | |||
Republic Bancorp, Inc., Class A | 1,449 | 66,842 | |||
Republic First Bancorp, Inc. (A) | 2,700 | 10,773 | |||
S&T Bancorp, Inc. | 3,436 | 107,547 | |||
Sandy Spring Bancorp, Inc. | 2,800 | 123,564 | |||
Seacoast Banking Corp. of Florida | 1,753 | 59,865 | |||
Shore Bancshares, Inc. | 2,225 | 37,269 | |||
Sierra Bancorp | 1,759 | 44,767 | |||
Simmons First National Corp., Class A | 5,235 | 153,595 | |||
SmartFinancial, Inc. | 500 | 12,005 | |||
South State Corp. | 2,447 | 200,067 | |||
Southern First Bancshares, Inc. (A) | 537 | 27,473 | |||
Southside Bancshares, Inc. | 374 | 14,298 | |||
Spirit of Texas Bancshares, Inc. | 500 | 11,420 | |||
Sterling Bancorp | 10,264 | 254,445 | |||
SVB Financial Group (A) | 157 | 35,558 | |||
Synovus Financial Corp. | 3,632 | 159,372 | |||
Texas Capital Bancshares, Inc. (A) | 2,286 | 145,138 | |||
The Bancorp, Inc. (A) | 4,053 | 93,260 | |||
The Bank of NT Butterfield & Son, Ltd. | 445 | 15,775 | |||
The Community Financial Corp. | 300 | 10,350 | |||
The First Bancorp, Inc. | 1,769 | 52,097 | |||
The First Bancshares, Inc. | 1,011 | 37,842 | |||
The First of Long Island Corp. | 1,039 | 22,058 | |||
Towne Bank | 3,708 | 112,797 | |||
TriCo Bancshares | 721 | 30,700 | |||
TriState Capital Holdings, Inc. (A) | 2,342 | 47,753 | |||
Triumph Bancorp, Inc. (A) | 838 | 62,222 | |||
Trustmark Corp. | 4,932 | 151,906 | |||
UMB Financial Corp. | 789 | 73,424 | |||
Umpqua Holdings Corp. | 12,930 | 238,559 | |||
United Bankshares, Inc. | 7,106 | 259,369 | |||
United Community Banks, Inc. | 4,271 | 136,715 | |||
Univest Financial Corp. | 2,067 | 54,507 | |||
Valley National Bancorp | 23,485 | 315,404 | |||
Veritex Holdings, Inc. | 1,384 | 49,007 | |||
Washington Trust Bancorp, Inc. | 1,035 | 53,147 | |||
Webster Financial Corp. | 466 | 24,856 | |||
WesBanco, Inc. | 5,027 | 179,112 | |||
Westamerica Bancorporation | 169 | 9,807 | |||
Wintrust Financial Corp. | 3,040 | 229,915 | |||
Zions Bancorp NA | 8,731 | 461,521 | |||
18,904,992 | |||||
Capital markets – 2.0% | |||||
Blucora, Inc. (A) | 6,814 | 117,950 | |||
Cowen, Inc., Class A | 2,484 | 101,968 | |||
Houlihan Lokey, Inc. | 11,483 | 939,195 | |||
Invesco, Ltd. | 24,463 | 653,896 | |||
Janus Henderson Group PLC | 8,689 | 337,220 | |||
Jefferies Financial Group, Inc. | 9,310 | 318,402 | |||
Oppenheimer Holdings, Inc., Class A | 1,674 | 85,106 | |||
Stifel Financial Corp. | 11,157 | 723,643 | |||
StoneX Group, Inc. (A) | 1,346 | 81,662 | |||
Virtus Investment Partners, Inc. | 70 | 19,444 | |||
3,378,486 | |||||
Consumer finance – 1.2% | |||||
Ally Financial, Inc. | 4,896 | 244,017 | |||
Encore Capital Group, Inc. (A) | 1,949 | 92,363 | |||
Enova International, Inc. (A) | 1,321 | 45,191 | |||
EZCORP, Inc., Class A (A) | 3,087 | 18,615 | |||
LendingClub Corp. (A) | 3,292 | 59,684 | |||
Navient Corp. | 15,325 | 296,232 |
The accompanying notes are an integral part of the financial statements. | 121 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Consumer finance (continued) | |||||
Nelnet, Inc., Class A | 2,648 | $ | 199,209 | ||
Nicholas Financial, Inc. (A) | 75 | 842 | |||
OneMain Holdings, Inc. | 5,011 | 300,209 | |||
PRA Group, Inc. (A) | 2,487 | 95,675 | |||
PROG Holdings, Inc. (A) | 1,040 | 50,055 | |||
Regional Management Corp. | 573 | 26,667 | |||
Santander Consumer USA Holdings, Inc. | 15,331 | 556,822 | |||
1,985,581 | |||||
Diversified financial services – 0.3% | |||||
California First Leasing Corp. | 880 | 16,113 | |||
Cannae Holdings, Inc. (A) | 1,645 | 55,782 | |||
Marlin Business Services Corp. | 1,698 | 38,646 | |||
NewStar Financial, Inc. (A)(C) | 5,739 | 583 | |||
Voya Financial, Inc. | 6,477 | 398,336 | |||
509,460 | |||||
Insurance – 4.2% | |||||
Alleghany Corp. (A) | 918 | 612,370 | |||
Ambac Financial Group, Inc. (A) | 1,536 | 24,054 | |||
American Equity Investment Life Holding Company | 7,384 | 238,651 | |||
American National Group, Inc. | 1,352 | 200,840 | |||
Argo Group International Holdings, Ltd. | 2,597 | 134,603 | |||
Assured Guaranty, Ltd. | 5,779 | 274,387 | |||
Athene Holding, Ltd., Class A (A) | 9,251 | 624,443 | |||
Axis Capital Holdings, Ltd. | 4,518 | 221,427 | |||
Brighthouse Financial, Inc. (A) | 2,584 | 117,675 | |||
CNA Financial Corp. | 1,354 | 61,593 | |||
CNO Financial Group, Inc. | 8,918 | 210,643 | |||
Donegal Group, Inc., Class A | 2,876 | 41,903 | |||
Employers Holdings, Inc. | 2,283 | 97,712 | |||
Enstar Group, Ltd. (A) | 824 | 196,870 | |||
Everest Re Group, Ltd. | 2,137 | 538,545 | |||
FedNat Holding Company | 1,090 | 4,524 | |||
Fidelity National Financial, Inc. | 1,356 | 58,932 | |||
First American Financial Corp. | 3,118 | 194,407 | |||
Genworth Financial, Inc., Class A (A) | 14,291 | 55,735 | |||
Global Indemnity Group LLC, Class A | 1,190 | 31,357 | |||
Globe Life, Inc. | 1,489 | 141,827 | |||
Greenlight Capital Re, Ltd., Class A (A) | 2,616 | 23,884 | |||
Hallmark Financial Services, Inc. (A) | 4,008 | 17,836 | |||
Heritage Insurance Holdings, Inc. | 657 | 5,637 | |||
Horace Mann Educators Corp. | 3,303 | 123,598 | |||
Independence Holding Company | 1,947 | 90,185 | |||
Investors Title Company | 189 | 33,005 | |||
Kemper Corp. | 1,574 | 116,319 | |||
Lincoln National Corp. | 7,332 | 460,743 | |||
MBIA, Inc. (A) | 4,333 | 47,663 | |||
Mercury General Corp. | 1,211 | 78,654 | |||
National Western Life Group, Inc., Class A | 221 | 49,590 | |||
Old Republic International Corp. | 13,924 | 346,847 | |||
ProAssurance Corp. | 2,566 | 58,377 | |||
Reinsurance Group of America, Inc. | 3,624 | 413,136 | |||
RenaissanceRe Holdings, Ltd. | 929 | 138,254 | |||
Safety Insurance Group, Inc. | 612 | 47,907 | |||
SiriusPoint, Ltd. (A) | 2,292 | 23,080 | |||
State Auto Financial Corp. | 3,187 | 54,561 | |||
Stewart Information Services Corp. | 1,817 | 103,006 | |||
Tiptree, Inc. | 2,600 | 24,180 | |||
United Fire Group, Inc. | 1,897 | 52,604 | |||
United Insurance Holdings Corp. | 5,283 | 30,113 | |||
Universal Insurance Holdings, Inc. | 2,200 | 30,536 | |||
Unum Group | 10,883 | 309,077 | |||
White Mountains Insurance Group, Ltd. | 168 | 192,869 | |||
6,954,159 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Thrifts and mortgage finance – 1.5% | |||||
Axos Financial, Inc. (A) | 1,540 | $ | 71,441 | ||
Capitol Federal Financial, Inc. | 11,378 | 134,033 | |||
Columbia Financial, Inc. (A) | 600 | 10,332 | |||
ESSA Bancorp, Inc. | 897 | 14,702 | |||
Federal Agricultural Mortgage Corp., Class C | 594 | 58,747 | |||
Flagstar Bancorp, Inc. | 3,861 | 163,204 | |||
FS Bancorp, Inc. | 200 | 14,254 | |||
Home Bancorp, Inc. | 902 | 34,375 | |||
HomeStreet, Inc. | 1,802 | 73,413 | |||
Kearny Financial Corp. | 5,361 | 64,064 | |||
Merchants Bancorp | 341 | 13,381 | |||
Meridian Bancorp, Inc. | 1,625 | 33,248 | |||
Meta Financial Group, Inc. | 2,595 | 131,385 | |||
MGIC Investment Corp. | 9,113 | 123,937 | |||
Mr. Cooper Group, Inc. (A) | 3,087 | 102,056 | |||
New York Community Bancorp, Inc. | 24,244 | 267,169 | |||
NMI Holdings, Inc., Class A (A) | 2,152 | 48,377 | |||
Northfield Bancorp, Inc. | 4,119 | 67,552 | |||
Northwest Bancshares, Inc. | 7,430 | 101,345 | |||
OP Bancorp | 1,000 | 10,060 | |||
Premier Financial Corp. | 1,989 | 56,507 | |||
Provident Financial Holdings, Inc. | 1,778 | 30,706 | |||
Provident Financial Services, Inc. | 4,010 | 91,789 | |||
Prudential Bancorp, Inc. | 1,696 | 23,490 | |||
Radian Group, Inc. | 10,338 | 230,021 | |||
Riverview Bancorp, Inc. | 5,483 | 38,874 | |||
Southern Missouri Bancorp, Inc. | 1,012 | 45,500 | |||
Territorial Bancorp, Inc. | 1,722 | 44,720 | |||
TrustCo Bank Corp. | 1,826 | 62,778 | |||
Washington Federal, Inc. | 3,303 | 104,969 | |||
Waterstone Financial, Inc. | 3,099 | 60,926 | |||
Western New England Bancorp, Inc. | 4,739 | 38,623 | |||
WSFS Financial Corp. | 2,604 | 121,320 | |||
2,487,298 | |||||
34,219,976 | |||||
Health care – 13.0% | |||||
Biotechnology – 3.5% | |||||
Achillion Pharmaceuticals, Inc. (A)(C) | 10,940 | 16,452 | |||
Akebia Therapeutics, Inc. (A) | 11,211 | 42,490 | |||
Albireo Pharma, Inc. (A) | 13,655 | 480,383 | |||
Alkermes PLC (A) | 6,034 | 147,954 | |||
AnaptysBio, Inc. (A) | 1,489 | 38,610 | |||
Anika Therapeutics, Inc. (A) | 533 | 23,074 | |||
Arena Pharmaceuticals, Inc. (A) | 6,884 | 469,489 | |||
Biohaven Pharmaceutical Holding Company, Ltd. (A) | 6,705 | 650,921 | |||
Catalyst Pharmaceuticals, Inc. (A) | 2,300 | 13,225 | |||
Chimerix, Inc. (A) | 2,352 | 18,816 | |||
Concert Pharmaceuticals, Inc. (A) | 1,198 | 5,056 | |||
Deciphera Pharmaceuticals, Inc. (A) | 12,780 | 467,876 | |||
Eagle Pharmaceuticals, Inc. (A) | 236 | 10,101 | |||
Emergent BioSolutions, Inc. (A) | 6,237 | 392,869 | |||
Enanta Pharmaceuticals, Inc. (A) | 279 | 12,279 | |||
Halozyme Therapeutics, Inc. (A) | 13,800 | 626,658 | |||
Insmed, Inc. (A) | 10,450 | 297,407 | |||
Ligand Pharmaceuticals, Inc. (A) | 122 | 16,005 | |||
Myriad Genetics, Inc. (A) | 1,802 | 55,105 | |||
OPKO Health, Inc. (A)(B) | 2,204 | 8,926 | |||
Oyster Point Pharma, Inc. (A) | 25,300 | 434,907 | |||
PDL BioPharma, Inc. (A)(C) | 5,434 | 9,183 | |||
Travere Therapeutics, Inc. (A) | 21,407 | 312,328 | |||
United Therapeutics Corp. (A) | 874 | 156,804 | |||
Vanda Pharmaceuticals, Inc. (A) | 3,697 | 79,522 | |||
Veracyte, Inc. (A) | 9,618 | 384,528 |
The accompanying notes are an integral part of the financial statements. | 122 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Biotechnology (continued) | |||||
Vericel Corp. (A) | 14,267 | $ | 749,018 | ||
5,919,986 | |||||
Health care equipment and supplies – 3.6% | |||||
AngioDynamics, Inc. (A) | 4,876 | 132,286 | |||
AtriCure, Inc. (A) | 10,886 | 863,586 | |||
Avanos Medical, Inc. (A) | 3,807 | 138,461 | |||
Cardiovascular Systems, Inc. (A) | 13,894 | 592,579 | |||
CryoLife, Inc. (A) | 18,443 | 523,781 | |||
CryoPort, Inc. (A) | 9,746 | 614,973 | |||
Envista Holdings Corp. (A) | 8,070 | 348,705 | |||
FONAR Corp. (A) | 463 | 8,186 | |||
Globus Medical, Inc., Class A (A) | 11,443 | 887,176 | |||
ICU Medical, Inc. (A) | 2,157 | 443,911 | |||
Inogen, Inc. (A) | 400 | 26,068 | |||
Integer Holdings Corp. (A) | 2,433 | 229,189 | |||
Integra LifeSciences Holdings Corp. (A) | 9,133 | 623,236 | |||
IntriCon Corp. (A) | 519 | 11,667 | |||
Invacare Corp. (A) | 3,396 | 27,406 | |||
Kewaunee Scientific Corp. (A) | 83 | 1,194 | |||
Lantheus Holdings, Inc. (A) | 1,796 | 49,641 | |||
LENSAR, Inc. (A) | 783 | 6,781 | |||
Meridian Bioscience, Inc. (A) | 2,202 | 48,840 | |||
Merit Medical Systems, Inc. (A) | 1,302 | 84,187 | |||
Natus Medical, Inc. (A) | 1,669 | 43,361 | |||
NuVasive, Inc. (A) | 1,932 | 130,951 | |||
Orthofix Medical, Inc. (A) | 541 | 21,700 | |||
STERIS PLC | 212 | 43,736 | |||
Surgalign Holdings, Inc. (A) | 4,931 | 6,854 | |||
Utah Medical Products, Inc. | 289 | 24,577 | |||
Varex Imaging Corp. (A) | 1,166 | 31,272 | |||
5,964,304 | |||||
Health care providers and services – 3.2% | |||||
Acadia Healthcare Company, Inc. (A) | 17,173 | 1,077,606 | |||
Addus HomeCare Corp. (A) | 448 | 39,084 | |||
Brookdale Senior Living, Inc. (A) | 12,258 | 96,838 | |||
Castle Biosciences, Inc. (A) | 8,959 | 656,963 | |||
Covetrus, Inc. (A) | 4,886 | 131,922 | |||
Cross Country Healthcare, Inc. (A) | 2,734 | 45,138 | |||
Five Star Senior Living, Inc. (A) | 2,100 | 12,096 | |||
HealthEquity, Inc. (A) | 9,212 | 741,382 | |||
LHC Group, Inc. (A) | 3,724 | 745,768 | |||
Magellan Health, Inc. (A) | 1,785 | 168,147 | |||
MEDNAX, Inc. (A) | 5,689 | 171,523 | |||
ModivCare, Inc. (A) | 269 | 45,749 | |||
National HealthCare Corp. | 1,428 | 99,817 | |||
Option Care Health, Inc. (A) | 4,058 | 88,748 | |||
Owens & Minor, Inc. | 4,390 | 185,829 | |||
Patterson Companies, Inc. | 3,536 | 107,459 | |||
Premier, Inc., Class A | 5,701 | 198,338 | |||
Select Medical Holdings Corp. | 3,542 | 149,685 | |||
Star Equity Holdings, Inc. (A) | 310 | 961 | |||
Surgery Partners, Inc. (A) | 396 | 26,382 | |||
Triple-S Management Corp. (A) | 2,760 | 61,465 | |||
Universal Health Services, Inc., Class B | 987 | 144,526 | |||
US Physical Therapy, Inc. | 3,816 | 442,160 | |||
5,437,586 | |||||
Health care technology – 0.2% | |||||
Allscripts Healthcare Solutions, Inc. (A) | 10,106 | 187,062 | |||
HealthStream, Inc. (A) | 1,969 | 55,014 | |||
NextGen Healthcare, Inc. (A) | 2,165 | 35,917 | |||
277,993 | |||||
Life sciences tools and services – 1.1% | |||||
Harvard Bioscience, Inc. (A) | 6,562 | 54,661 | |||
Luminex Corp. | 2,011 | 74,005 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Life sciences tools and services (continued) | |||||
Medpace Holdings, Inc. (A) | 4,496 | $ | 794,128 | ||
Syneos Health, Inc. (A) | 10,775 | 964,255 | |||
1,887,049 | |||||
Pharmaceuticals – 1.4% | |||||
Amphastar Pharmaceuticals, Inc. (A) | 600 | 12,096 | |||
ANI Pharmaceuticals, Inc. (A) | 400 | 14,020 | |||
BioDelivery Sciences International, Inc. (A) | 6,044 | 21,638 | |||
Cara Therapeutics, Inc. (A) | 2,825 | 40,313 | |||
Cumberland Pharmaceuticals, Inc. (A) | 956 | 2,720 | |||
Endo International PLC (A) | 2,935 | 13,736 | |||
Innoviva, Inc. (A) | 1,860 | 24,943 | |||
Jazz Pharmaceuticals PLC (A) | 733 | 130,210 | |||
Perrigo Company PLC | 4,847 | 222,235 | |||
Phathom Pharmaceuticals, Inc. (A) | 15,136 | 512,354 | |||
Prestige Consumer Healthcare, Inc. (A) | 3,032 | 157,967 | |||
Satsuma Pharmaceuticals, Inc. (A) | 2,208 | 15,566 | |||
SIGA Technologies, Inc. (A) | 2,000 | 12,560 | |||
Supernus Pharmaceuticals, Inc. (A) | 19,568 | 602,499 | |||
Taro Pharmaceutical Industries, Ltd. (A) | 503 | 36,196 | |||
Zogenix, Inc. (A) | 26,086 | 450,766 | |||
2,269,819 | |||||
21,756,737 | |||||
Industrials – 18.5% | |||||
Aerospace and defense – 0.5% | |||||
AAR Corp. (A) | 3,093 | 119,854 | |||
Astronics Corp. (A) | 1,700 | 29,767 | |||
Curtiss-Wright Corp. | 987 | 117,216 | |||
Ducommun, Inc. (A) | 1,674 | 91,333 | |||
Kaman Corp. | 1,770 | 89,208 | |||
Kratos Defense & Security Solutions, Inc. (A) | 2,475 | 70,513 | |||
Maxar Technologies, Inc. | 1,000 | 39,920 | |||
Moog, Inc., Class A | 1,548 | 130,125 | |||
National Presto Industries, Inc. | 244 | 24,803 | |||
Park Aerospace Corp. | 2,083 | 31,037 | |||
SIFCO Industries, Inc. (A) | 1,000 | 10,070 | |||
Textron, Inc. | 1,297 | 89,195 | |||
Vectrus, Inc. (A) | 1,029 | 48,970 | |||
892,011 | |||||
Air freight and logistics – 0.3% | |||||
Air Transport Services Group, Inc. (A) | 1,670 | 38,794 | |||
Atlas Air Worldwide Holdings, Inc. (A) | 2,473 | 168,436 | |||
Echo Global Logistics, Inc. (A) | 1,896 | 58,283 | |||
Forward Air Corp. | 886 | 79,519 | |||
Hub Group, Inc., Class A (A) | 2,418 | 159,540 | |||
Radiant Logistics, Inc. (A) | 1,875 | 12,994 | |||
517,566 | |||||
Airlines – 0.3% | |||||
Copa Holdings SA, Class A (A) | 905 | 68,174 | |||
Hawaiian Holdings, Inc. (A) | 2,646 | 64,483 | |||
JetBlue Airways Corp. (A) | 3,526 | 59,166 | |||
Mesa Air Group, Inc. (A) | 1,399 | 13,053 | |||
SkyWest, Inc. (A) | 3,644 | 156,947 | |||
Spirit Airlines, Inc. (A) | 4,452 | 135,519 | |||
497,342 | |||||
Building products – 1.5% | |||||
American Woodmark Corp. (A) | 787 | 64,290 | |||
Apogee Enterprises, Inc. | 2,405 | 97,956 | |||
Armstrong Flooring, Inc. (A) | 1,831 | 11,334 | |||
Builders FirstSource, Inc. (A) | 6,643 | 283,390 | |||
Gibraltar Industries, Inc. (A) | 12,472 | 951,738 | |||
Griffon Corp. | 2,832 | 72,584 |
The accompanying notes are an integral part of the financial statements. | 123 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Building products (continued) | |||||
Insteel Industries, Inc. | 1,689 | $ | 54,301 | ||
JELD-WEN Holding, Inc. (A) | 10,200 | 267,852 | |||
Masonite International Corp. (A) | 1,068 | 119,392 | |||
Owens Corning | 860 | 84,194 | |||
PGT Innovations, Inc. (A) | 1,494 | 34,706 | |||
Quanex Building Products Corp. | 3,929 | 97,596 | |||
Resideo Technologies, Inc. (A) | 3,733 | 111,990 | |||
Tecnoglass, Inc. | 900 | 19,260 | |||
UFP Industries, Inc. | 3,823 | 284,202 | |||
2,554,785 | |||||
Commercial services and supplies – 1.5% | |||||
ABM Industries, Inc. | 5,148 | 228,314 | |||
ACCO Brands Corp. | 6,712 | 57,925 | |||
Acme United Corp. | 733 | 32,662 | |||
ADT, Inc. | 13,007 | 140,346 | |||
Brady Corp., Class A | 1,082 | 60,635 | |||
BrightView Holdings, Inc. (A) | 3,879 | 62,529 | |||
CECO Environmental Corp. (A) | 1,395 | 9,988 | |||
Civeo Corp. (A) | 673 | 11,979 | |||
Clean Harbors, Inc. (A) | 1,725 | 160,667 | |||
Deluxe Corp. | 800 | 38,216 | |||
Ennis, Inc. | 2,608 | 56,124 | |||
Harsco Corp. (A) | 2,430 | 49,621 | |||
Heritage-Crystal Clean, Inc. (A) | 1,877 | 55,709 | |||
Herman Miller, Inc. | 1,320 | 62,225 | |||
HNI Corp. | 1,502 | 66,043 | |||
Interface, Inc. | 2,884 | 44,125 | |||
KAR Auction Services, Inc. (A) | 3,101 | 54,423 | |||
Kimball International, Inc., Class B | 1,715 | 22,552 | |||
Knoll, Inc. | 2,003 | 52,058 | |||
Matthews International Corp., Class A | 1,190 | 42,792 | |||
NL Industries, Inc. | 3,260 | 21,190 | |||
Ritchie Brothers Auctioneers, Inc. | 14,579 | 864,243 | |||
Steelcase, Inc., Class A | 4,596 | 69,446 | |||
Team, Inc. (A) | 2,106 | 14,110 | |||
UniFirst Corp. | 371 | 87,051 | |||
Viad Corp. (A) | 1,409 | 70,239 | |||
Vidler Water Resouces, Inc. (A) | 2,493 | 33,157 | |||
Virco Manufacturing Corp. (A) | 1,200 | 4,092 | |||
VSE Corp. | 1,368 | 67,730 | |||
2,540,191 | |||||
Construction and engineering – 1.6% | |||||
API Group Corp. (A)(D) | 2,846 | 59,453 | |||
Arcosa, Inc. | 4,310 | 253,169 | |||
Argan, Inc. | 854 | 40,813 | |||
Comfort Systems USA, Inc. | 400 | 31,516 | |||
Concrete Pumping Holdings, Inc. (A) | 1,800 | 15,246 | |||
Construction Partners, Inc., Class A (A) | 936 | 29,390 | |||
Dycom Industries, Inc. (A) | 4,391 | 327,261 | |||
EMCOR Group, Inc. | 1,448 | 178,379 | |||
Fluor Corp. (A) | 3,410 | 60,357 | |||
Granite Construction, Inc. | 3,746 | 155,571 | |||
Great Lakes Dredge & Dock Corp. (A) | 6,888 | 100,634 | |||
IES Holdings, Inc. (A) | 237 | 12,172 | |||
MasTec, Inc. (A) | 3,659 | 388,220 | |||
Matrix Service Company (A) | 2,731 | 28,676 | |||
MYR Group, Inc. (A) | 1,465 | 133,198 | |||
Northwest Pipe Company (A) | 1,706 | 48,195 | |||
NV5 Global, Inc. (A) | 533 | 50,374 | |||
Orion Group Holdings, Inc. (A) | 4,263 | 24,512 | |||
Primoris Services Corp. | 3,474 | 102,240 | |||
Quanta Services, Inc. | 1,993 | 180,506 | |||
Sterling Construction Company, Inc. (A) | 2,528 | 61,001 | |||
Tutor Perini Corp. (A) | 4,167 | 57,713 | |||
Valmont Industries, Inc. | 150 | 35,408 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Construction and engineering (continued) | |||||
WillScot Mobile Mini Holdings Corp. (A) | 7,715 | $ | 215,017 | ||
2,589,021 | |||||
Electrical equipment – 1.2% | |||||
Acuity Brands, Inc. | 150 | 28,055 | |||
Atkore, Inc. (A) | 8,051 | 571,621 | |||
AZZ, Inc. | 1,376 | 71,249 | |||
Encore Wire Corp. | 1,949 | 147,715 | |||
EnerSys | 953 | 93,137 | |||
LSI Industries, Inc. | 4,131 | 33,089 | |||
nVent Electric PLC | 3,766 | 117,650 | |||
Powell Industries, Inc. | 1,244 | 38,502 | |||
Preformed Line Products Company | 984 | 73,013 | |||
Regal Beloit Corp. | 1,545 | 206,273 | |||
Sensata Technologies Holding PLC (A) | 5,022 | 291,125 | |||
Thermon Group Holdings, Inc. (A) | 15,080 | 256,963 | |||
Ultralife Corp. (A) | 1,984 | 16,626 | |||
1,945,018 | |||||
Industrial conglomerates – 0.1% | |||||
Carlisle Companies, Inc. | 457 | 87,461 | |||
Machinery – 5.3% | |||||
AGCO Corp. | 3,217 | 419,432 | |||
Alamo Group, Inc. | 5,076 | 775,004 | |||
Albany International Corp., Class A | 1,875 | 167,363 | |||
Altra Industrial Motion Corp. | 2,114 | 137,452 | |||
Astec Industries, Inc. | 2,415 | 152,000 | |||
Barnes Group, Inc. | 3,344 | 171,380 | |||
Chart Industries, Inc. (A) | 1,798 | 263,083 | |||
CIRCOR International, Inc. (A) | 1,614 | 52,616 | |||
Colfax Corp. (A) | 7,506 | 343,850 | |||
Columbus McKinnon Corp. | 2,178 | 105,067 | |||
Crane Company | 682 | 62,996 | |||
EnPro Industries, Inc. | 503 | 48,866 | |||
ESCO Technologies, Inc. | 1,885 | 176,832 | |||
Federal Signal Corp. | 3,670 | 147,644 | |||
Franklin Electric Company, Inc. | 745 | 60,062 | |||
FreightCar America, Inc. (A) | 735 | 4,359 | |||
Gates Industrial Corp. PLC (A) | 8,586 | 155,149 | |||
Gencor Industries, Inc. (A) | 2,100 | 25,536 | |||
Graham Corp. | 333 | 4,582 | |||
Helios Technologies, Inc. | 5,247 | 409,528 | |||
Hillenbrand, Inc. | 1,385 | 61,051 | |||
Hurco Companies, Inc. | 1,054 | 36,890 | |||
Hyster-Yale Materials Handling, Inc. | 815 | 59,479 | |||
ITT, Inc. | 1,268 | 116,136 | |||
Kadant, Inc. | 218 | 38,388 | |||
Kennametal, Inc. | 1,573 | 56,502 | |||
LB Foster Company, Class A (A) | 1,699 | 31,669 | |||
Lydall, Inc. (A) | 338 | 20,456 | |||
Meritor, Inc. (A) | 2,572 | 60,236 | |||
Miller Industries, Inc. | 1,434 | 56,557 | |||
Mueller Industries, Inc. | 2,004 | 86,793 | |||
Mueller Water Products, Inc., Class A | 3,140 | 45,279 | |||
NN, Inc. (A) | 2,376 | 17,464 | |||
Oshkosh Corp. | 2,463 | 306,988 | |||
Park-Ohio Holdings Corp. | 749 | 24,073 | |||
Perma-Pipe International Holdings, Inc. (A) | 1,100 | 7,326 | |||
RBC Bearings, Inc. (A) | 3,872 | 772,154 | |||
REV Group, Inc. | 2,206 | 34,612 | |||
Rexnord Corp. | 1,780 | 89,071 | |||
Snap-on, Inc. | 1,635 | 365,308 | |||
SPX FLOW, Inc. | 1,971 | 128,588 | |||
Standex International Corp. | 200 | 18,982 | |||
Tennant Company | 494 | 39,446 | |||
Terex Corp. | 1,393 | 66,335 |
The accompanying notes are an integral part of the financial statements. | 124 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Machinery (continued) | |||||
The Eastern Company | 1,471 | $ | 44,615 | ||
The Gorman-Rupp Company | 1,454 | 50,076 | |||
The Greenbrier Companies, Inc. | 2,830 | 123,331 | |||
The LS Starrett Company, Class A (A) | 1,530 | 14,290 | |||
The Manitowoc Company, Inc. (A) | 2,421 | 59,315 | |||
The Shyft Group, Inc. | 30,536 | 1,142,352 | |||
The Timken Company | 2,526 | 203,570 | |||
Titan International, Inc. (A) | 3,936 | 33,377 | |||
TriMas Corp. (A) | 1,856 | 56,292 | |||
Trinity Industries, Inc. | 8,957 | 240,854 | |||
Twin Disc, Inc. (A) | 1,650 | 23,480 | |||
Wabash National Corp. | 1,980 | 31,680 | |||
Woodward, Inc. | 5,227 | 642,294 | |||
8,888,110 | |||||
Marine – 0.3% | |||||
Costamare, Inc. | 3,754 | 44,335 | |||
Eagle Bulk Shipping, Inc. (A) | 393 | 18,597 | |||
Eneti, Inc. | 1,112 | 20,717 | |||
Genco Shipping & Trading, Ltd. | 3,003 | 56,697 | |||
Kirby Corp. (A) | 1,759 | 106,666 | |||
Matson, Inc. | 2,868 | 183,552 | |||
430,564 | |||||
Professional services – 2.3% | |||||
Acacia Research Corp. (A) | 2,172 | 14,683 | |||
ASGN, Inc. (A) | 1,021 | 98,966 | |||
Barrett Business Services, Inc. | 200 | 14,522 | |||
BGSF, Inc. | 800 | 9,872 | |||
CACI International, Inc., Class A (A) | 3,008 | 767,401 | |||
CBIZ, Inc. (A) | 4,080 | 133,702 | |||
CRA International, Inc. | 1,251 | 107,086 | |||
Exponent, Inc. | 7,667 | 683,973 | |||
Forrester Research, Inc. (A) | 8,709 | 398,872 | |||
FTI Consulting, Inc. (A) | 753 | 102,867 | |||
GP Strategies Corp. (A) | 1,825 | 28,689 | |||
Heidrick & Struggles International, Inc. | 1,672 | 74,488 | |||
Hill International, Inc. (A) | 3,275 | 8,155 | |||
Huron Consulting Group, Inc. (A) | 1,411 | 69,351 | |||
ICF International, Inc. | 1,429 | 125,552 | |||
KBR, Inc. | 1,869 | 71,302 | |||
Kelly Services, Inc., Class A (A) | 4,330 | 103,790 | |||
Korn Ferry | 3,492 | 253,345 | |||
ManpowerGroup, Inc. | 1,407 | 167,306 | |||
ManTech International Corp., Class A | 1,905 | 164,859 | |||
Mistras Group, Inc. (A) | 2,232 | 21,941 | |||
Nielsen Holdings PLC | 9,392 | 231,701 | |||
RCM Technologies, Inc. (A) | 300 | 1,236 | |||
Resources Connection, Inc. | 4,120 | 59,163 | |||
Science Applications International Corp. | 1,299 | 113,961 | |||
TrueBlue, Inc. (A) | 2,519 | 70,809 | |||
Willdan Group, Inc. (A) | 400 | 15,056 | |||
3,912,648 | |||||
Road and rail – 1.3% | |||||
AMERCO | 1,044 | 615,334 | |||
ArcBest Corp. | 1,977 | 115,042 | |||
Covenant Logistics Group, Inc. (A) | 1,513 | 31,289 | |||
Heartland Express, Inc. | 4,107 | 70,353 | |||
Knight-Swift Transportation Holdings, Inc. | 15,069 | 685,037 | |||
Marten Transport, Ltd. | 6,368 | 105,008 | |||
P.A.M. Transportation Services, Inc. (A) | 675 | 35,606 | |||
Patriot Transportation Holding, Inc. | 450 | 5,067 | |||
Ryder System, Inc. | 3,393 | 252,202 | |||
Saia, Inc. (A) | 104 | 21,787 | |||
Schneider National, Inc., Class B | 2,987 | 65,027 | |||
U.S. Xpress Enterprises, Inc., Class A (A) | 2,111 | 18,155 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Road and rail (continued) | |||||
USA Truck, Inc. (A) | 1,375 | $ | 22,096 | ||
Werner Enterprises, Inc. | 4,155 | 184,981 | |||
2,226,984 | |||||
Trading companies and distributors – 2.2% | |||||
Air Lease Corp. | 8,149 | 340,139 | |||
Alta Equipment Group, Inc. (A) | 1,696 | 22,540 | |||
Applied Industrial Technologies, Inc. | 267 | 24,313 | |||
Beacon Roofing Supply, Inc. (A) | 3,611 | 192,286 | |||
Boise Cascade Company | 2,003 | 116,875 | |||
CAI International, Inc. | 1,738 | 97,328 | |||
DXP Enterprises, Inc. (A) | 1,367 | 45,521 | |||
GATX Corp. | 2,663 | 235,596 | |||
GMS, Inc. (A) | 1,138 | 54,783 | |||
Lawson Products, Inc. (A) | 591 | 31,624 | |||
McGrath RentCorp | 1,800 | 146,826 | |||
MRC Global, Inc. (A) | 2,745 | 25,803 | |||
MSC Industrial Direct Company, Inc., Class A | 738 | 66,221 | |||
NOW, Inc. (A) | 7,656 | 72,655 | |||
Rush Enterprises, Inc., Class A | 2,831 | 122,412 | |||
Rush Enterprises, Inc., Class B | 1,117 | 42,602 | |||
SiteOne Landscape Supply, Inc. (A) | 6,303 | 1,066,846 | |||
Textainer Group Holdings, Ltd. (A) | 2,844 | 96,042 | |||
Titan Machinery, Inc. (A) | 2,366 | 73,204 | |||
Transcat, Inc. (A) | 353 | 19,948 | |||
Triton International, Ltd. | 4,778 | 250,081 | |||
Univar Solutions, Inc. (A) | 3,996 | 97,422 | |||
Veritiv Corp. (A) | 1,408 | 86,479 | |||
WESCO International, Inc. (A) | 2,696 | 277,203 | |||
Willis Lease Finance Corp. (A) | 406 | 17,401 | |||
3,622,150 | |||||
Transportation infrastructure – 0.1% | |||||
Macquarie Infrastructure Corp. | 4,124 | 157,825 | |||
30,861,676 | |||||
Information technology – 12.5% | |||||
Communications equipment – 1.2% | |||||
ADTRAN, Inc. | 4,669 | 96,415 | |||
BK Technologies Corp. | 2,100 | 6,615 | |||
Communications Systems, Inc. (A) | 1,800 | 12,924 | |||
Comtech Telecommunications Corp. | 2,706 | 65,377 | |||
Digi International, Inc. (A) | 3,371 | 67,791 | |||
EchoStar Corp., Class A (A) | 4,430 | 107,605 | |||
Genasys, Inc. (A) | 3,300 | 18,084 | |||
Harmonic, Inc. (A) | 4,356 | 37,113 | |||
Juniper Networks, Inc. | 12,815 | 350,490 | |||
NETGEAR, Inc. (A) | 2,513 | 96,298 | |||
NetScout Systems, Inc. (A) | 4,585 | 130,856 | |||
Optical Cable Corp. (A) | 931 | 3,556 | |||
Ribbon Communications, Inc. (A) | 1,083 | 8,242 | |||
TESSCO Technologies, Inc. (A) | 1,750 | 10,763 | |||
ViaSat, Inc. (A) | 2,775 | 138,306 | |||
Viavi Solutions, Inc. (A) | 49,842 | 880,210 | |||
2,030,645 | |||||
Electronic equipment, instruments and components – 3.2% | |||||
ADDvantage Technologies Group, Inc. (A) | 428 | 1,130 | |||
Arlo Technologies, Inc. (A) | 1,572 | 10,642 | |||
Arrow Electronics, Inc. (A) | 6,456 | 734,886 | |||
Avnet, Inc. | 9,371 | 375,590 | |||
Bel Fuse, Inc., Class B | 1,641 | 23,630 | |||
Belden, Inc. | 1,293 | 65,387 | |||
Benchmark Electronics, Inc. | 3,813 | 108,518 | |||
CTS Corp. | 2,910 | 108,136 | |||
Daktronics, Inc. (A) | 3,929 | 25,892 |
The accompanying notes are an integral part of the financial statements. | 125 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Electronic equipment, instruments and components (continued) | |||||
ePlus, Inc. (A) | 798 | $ | 69,179 | ||
Fabrinet (A) | 2,485 | 238,237 | |||
FARO Technologies, Inc. (A) | 295 | 22,942 | |||
Flex, Ltd. (A) | 22,654 | 404,827 | |||
Frequency Electronics, Inc. (A) | 1,783 | 17,473 | |||
Insight Enterprises, Inc. (A) | 2,190 | 219,022 | |||
Jabil, Inc. | 7,913 | 459,904 | |||
Key Tronic Corp. (A) | 1,900 | 12,388 | |||
Kimball Electronics, Inc. (A) | 3,036 | 66,003 | |||
Knowles Corp. (A) | 5,768 | 113,860 | |||
Methode Electronics, Inc. | 1,701 | 83,706 | |||
OSI Systems, Inc. (A) | 880 | 89,443 | |||
PC Connection, Inc. | 2,391 | 110,632 | |||
Plexus Corp. (A) | 2,005 | 183,277 | |||
RF Industries, Ltd. (A) | 120 | 895 | |||
Richardson Electronics, Ltd. | 2,384 | 19,811 | |||
Rogers Corp. (A) | 3,815 | 766,052 | |||
Sanmina Corp. (A) | 4,939 | 192,423 | |||
ScanSource, Inc. (A) | 2,542 | 71,506 | |||
SYNNEX Corp. | 2,778 | 338,249 | |||
TTM Technologies, Inc. (A) | 8,193 | 117,160 | |||
Vishay Intertechnology, Inc. | 9,510 | 214,451 | |||
Vishay Precision Group, Inc. (A) | 1,686 | 57,391 | |||
5,322,642 | |||||
IT services – 1.5% | |||||
Alliance Data Systems Corp. | 1,271 | 132,425 | |||
BM Technologies, Inc. (A) | 368 | 4,577 | |||
Concentrix Corp. (A) | 2,778 | 446,702 | |||
Conduent, Inc. (A) | 9,516 | 71,370 | |||
CSG Systems International, Inc. | 535 | 25,241 | |||
DXC Technology Company (A) | 7,967 | 310,235 | |||
Endava PLC, ADR (A) | 10,726 | 1,216,114 | |||
Information Services Group, Inc. | 4,400 | 25,740 | |||
MAXIMUS, Inc. | 710 | 62,459 | |||
Perficient, Inc. (A) | 338 | 27,182 | |||
Sykes Enterprises, Inc. (A) | 2,815 | 151,166 | |||
2,473,211 | |||||
Semiconductors and semiconductor equipment – 3.4% | |||||
Alpha & Omega Semiconductor, Ltd. (A) | 2,746 | 83,451 | |||
Amkor Technology, Inc. | 18,705 | 442,747 | |||
Amtech Systems, Inc. (A) | 2,404 | 23,175 | |||
Axcelis Technologies, Inc. (A) | 3,360 | 135,811 | |||
AXT, Inc. (A) | 4,229 | 46,434 | |||
Brooks Automation, Inc. | 10,256 | 977,192 | |||
CMC Materials, Inc. | 2,225 | 335,397 | |||
Cohu, Inc. (A) | 3,140 | 115,521 | |||
Diodes, Inc. (A) | 2,632 | 209,955 | |||
DSP Group, Inc. (A) | 1,080 | 15,984 | |||
Entegris, Inc. | 7,052 | 867,184 | |||
First Solar, Inc. (A) | 3,872 | 350,455 | |||
FormFactor, Inc. (A) | 1,299 | 47,362 | |||
Ichor Holdings, Ltd. (A) | 526 | 28,299 | |||
Kulicke & Soffa Industries, Inc. | 4,804 | 294,005 | |||
MACOM Technology Solutions Holdings, Inc. (A) | 9,056 | 580,308 | |||
MagnaChip Semiconductor Corp. (A) | 799 | 19,064 | |||
NeoPhotonics Corp. (A) | 3,808 | 38,880 | |||
Onto Innovation, Inc. (A) | 1,461 | 106,711 | |||
PDF Solutions, Inc. (A) | 2,193 | 39,869 | |||
Photronics, Inc. (A) | 5,882 | 77,701 | |||
Rambus, Inc. (A) | 3,601 | 85,380 | |||
Silicon Laboratories, Inc. (A) | 3,862 | 591,852 | |||
Ultra Clean Holdings, Inc. (A) | 2,274 | 122,159 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Semiconductors and semiconductor equipment (continued) | |||||
Veeco Instruments, Inc. (A) | 2,996 | $ | 72,024 | ||
5,706,920 | |||||
Software – 2.9% | |||||
ACI Worldwide, Inc. (A) | 1,780 | 66,109 | |||
Asure Software, Inc. (A) | 1,391 | 12,338 | |||
Aware, Inc. (A) | 2,160 | 8,014 | |||
Bottomline Technologies DE, Inc. (A) | 5,601 | 207,685 | |||
Cerence, Inc. (A) | 12,238 | 1,305,917 | |||
Cognyte Software, Ltd. (A) | 402 | 9,849 | |||
Ebix, Inc. | 954 | 32,341 | |||
InterDigital, Inc. | 1,490 | 108,815 | |||
j2 Global, Inc. (A) | 654 | 89,958 | |||
OneSpan, Inc. (A) | 1,048 | 26,766 | |||
Paylocity Holding Corp. (A) | 5,250 | 1,001,700 | |||
Ping Identity Holding Corp. (A) | 630 | 14,427 | |||
Rapid7, Inc. (A) | 12,338 | 1,167,545 | |||
SolarWinds Corp. (A) | 861 | 14,542 | |||
The Descartes Systems Group, Inc. (A) | 9,290 | 642,496 | |||
Upland Software, Inc. (A) | 280 | 11,528 | |||
Verint Systems, Inc. (A) | 1,067 | 48,090 | |||
Xperi Holding Corp. | 4,859 | 108,064 | |||
4,876,184 | |||||
Technology hardware, storage and peripherals – 0.3% | |||||
AstroNova, Inc. (A) | 1,439 | 20,031 | |||
Stratasys, Ltd. (A) | 2,906 | 75,149 | |||
Super Micro Computer, Inc. (A) | 3,994 | 140,509 | |||
Xerox Holdings Corp. | 7,509 | 176,386 | |||
412,075 | |||||
20,821,677 | |||||
Materials – 6.8% | |||||
Chemicals – 3.5% | |||||
AdvanSix, Inc. (A) | 895 | 26,725 | |||
American Vanguard Corp. | 2,118 | 37,086 | |||
Ashland Global Holdings, Inc. | 3,088 | 270,200 | |||
Avient Corp. | 16,610 | 816,548 | |||
Balchem Corp. | 4,579 | 601,040 | |||
Cabot Corp. | 1,625 | 92,511 | |||
CF Industries Holdings, Inc. | 3,576 | 183,985 | |||
Core Molding Technologies, Inc. (A) | 1,000 | 15,430 | |||
Element Solutions, Inc. | 13,202 | 308,663 | |||
Ferro Corp. (A) | 2,899 | 62,531 | |||
Flotek Industries, Inc. (A) | 1,771 | 3,064 | |||
FutureFuel Corp. | 4,276 | 41,050 | |||
GCP Applied Technologies, Inc. (A) | 2,486 | 57,824 | |||
Hawkins, Inc. | 1,460 | 47,815 | |||
HB Fuller Company | 3,615 | 229,950 | |||
Huntsman Corp. | 15,185 | 402,706 | |||
Innospec, Inc. | 1,794 | 162,554 | |||
Intrepid Potash, Inc. (A) | 504 | 16,057 | |||
Koppers Holdings, Inc. (A) | 1,200 | 38,820 | |||
Kraton Corp. (A) | 2,685 | 86,699 | |||
Kronos Worldwide, Inc. | 2,697 | 38,621 | |||
LSB Industries, Inc. (A) | 567 | 3,430 | |||
Minerals Technologies, Inc. | 2,102 | 165,364 | |||
Olin Corp. | 5,580 | 258,131 | |||
PQ Group Holdings, Inc. | 5,263 | 80,840 | |||
Quaker Chemical Corp. | 1,933 | 458,488 | |||
Rayonier Advanced Materials, Inc. (A) | 4,555 | 30,473 | |||
Sensient Technologies Corp. | 1,185 | 102,574 | |||
Stepan Company | 1,433 | 172,347 | |||
The Mosaic Company | 10,995 | 350,850 | |||
Trecora Resources (A) | 2,774 | 23,080 | |||
Tredegar Corp. | 1,654 | 22,776 | |||
Trinseo SA | 940 | 56,250 |
The accompanying notes are an integral part of the financial statements. | 126 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Chemicals (continued) | |||||
Tronox Holdings PLC, Class A | 6,229 | $ | 139,530 | ||
Venator Materials PLC (A) | 2,700 | 12,798 | |||
Westlake Chemical Corp. | 4,606 | 414,955 | |||
5,831,765 | |||||
Construction materials – 0.2% | |||||
Summit Materials, Inc., Class A (A) | 5,182 | 180,593 | |||
U.S. Concrete, Inc. (A) | 268 | 19,778 | |||
United States Lime & Minerals, Inc. | 686 | 95,416 | |||
295,787 | |||||
Containers and packaging – 0.6% | |||||
Berry Global Group, Inc. (A) | 4,041 | 263,554 | |||
Graphic Packaging Holding Company | 10,944 | 198,524 | |||
Greif, Inc., Class A | 1,410 | 85,376 | |||
Greif, Inc., Class B | 698 | 41,182 | |||
Packaging Corp. of America | 666 | 90,190 | |||
Ranpak Holdings Corp. (A) | 1,842 | 46,105 | |||
Silgan Holdings, Inc. | 1,982 | 82,253 | |||
Sonoco Products Company | 3,466 | 231,875 | |||
UFP Technologies, Inc. (A) | 300 | 17,226 | |||
1,056,285 | |||||
Metals and mining – 2.0% | |||||
Alcoa Corp. (A) | 9,625 | 354,585 | |||
Allegheny Technologies, Inc. (A) | 4,244 | 88,487 | |||
Ampco-Pittsburgh Corp. (A) | 1,644 | 9,979 | |||
Arconic Corp. (A) | 2,666 | 94,963 | |||
Carpenter Technology Corp. | 3,575 | 143,787 | |||
Century Aluminum Company (A) | 6,579 | 84,803 | |||
Coeur Mining, Inc. (A) | 7,490 | 66,511 | |||
Commercial Metals Company | 5,907 | 181,463 | |||
Ferroglobe PLC (A) | 3,057 | 18,709 | |||
Friedman Industries, Inc. | 1,511 | 20,247 | |||
Gold Resource Corp. | 6,900 | 17,802 | |||
Haynes International, Inc. | 458 | 16,204 | |||
Hecla Mining Company | 26,017 | 193,566 | |||
Materion Corp. | 1,721 | 129,677 | |||
Nexa Resources SA | 900 | 7,893 | |||
Olympic Steel, Inc. | 1,438 | 42,263 | |||
Reliance Steel & Aluminum Company | 3,854 | 581,569 | |||
Schnitzer Steel Industries, Inc., Class A | 3,077 | 150,927 | |||
Steel Dynamics, Inc. | 10,944 | 652,262 | |||
SunCoke Energy, Inc. | 6,433 | 45,932 | |||
Synalloy Corp. (A) | 2,039 | 20,370 | |||
TimkenSteel Corp. (A) | 2,689 | 38,049 | |||
United States Steel Corp. | 8,605 | 206,520 | |||
Universal Stainless & Alloy Products, Inc. (A) | 1,562 | 15,729 | |||
Warrior Met Coal, Inc. | 3,785 | 65,102 | |||
Worthington Industries, Inc. | 2,387 | 146,037 | |||
3,393,436 | |||||
Paper and forest products – 0.5% | |||||
Clearwater Paper Corp. (A) | 1,597 | 46,265 | |||
Domtar Corp. (A) | 4,813 | 264,522 | |||
Glatfelter Corp. | 4,610 | 64,402 | |||
Louisiana-Pacific Corp. | 685 | 41,299 | |||
Mercer International, Inc. | 7,458 | 95,090 | |||
Neenah, Inc. | 193 | 9,683 | |||
Resolute Forest Products, Inc. | 9,682 | 118,120 | |||
Schweitzer-Mauduit International, Inc. | 1,971 | 79,589 | |||
Verso Corp., Class A | 2,848 | 50,410 | |||
769,380 | |||||
11,346,653 | |||||
Real estate – 1.5% |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Equity real estate investment trusts – 0.7% | |||||
Indus Realty Trust, Inc. | 256 | $ | 16,806 | ||
Ryman Hospitality Properties, Inc. (A) | 6,220 | 491,131 | |||
STAG Industrial, Inc. | 17,092 | 639,754 | |||
1,147,691 | |||||
Real estate management and development – 0.8% | |||||
BBX Capital, Inc. (A) | 348 | 2,791 | |||
Cushman & Wakefield PLC (A) | 5,399 | 94,321 | |||
Five Point Holdings LLC, Class A (A) | 2,659 | 21,485 | |||
Forestar Group, Inc. (A) | 2,613 | 54,638 | |||
FRP Holdings, Inc. (A) | 931 | 51,838 | |||
Jones Lang LaSalle, Inc. (A) | 2,736 | 534,779 | |||
Kennedy-Wilson Holdings, Inc. | 2,361 | 46,913 | |||
Marcus & Millichap, Inc. (A) | 1,253 | 48,704 | |||
Rafael Holdings, Inc., Class B (A) | 500 | 25,525 | |||
RE/MAX Holdings, Inc., Class A | 799 | 26,631 | |||
Realogy Holdings Corp. (A) | 9,125 | 166,258 | |||
Stratus Properties, Inc. (A) | 1,025 | 25,287 | |||
Tejon Ranch Company (A) | 1,709 | 25,994 | |||
The Howard Hughes Corp. (A) | 1,594 | 155,351 | |||
The RMR Group, Inc., Class A | 300 | 11,592 | |||
The St. Joe Company | 283 | 12,625 | |||
1,304,732 | |||||
2,452,423 | |||||
Utilities – 0.6% | |||||
Gas utilities – 0.1% | |||||
New Jersey Resources Corp. | 3,917 | 154,996 | |||
Independent power and renewable electricity producers – 0.3% | |||||
Brookfield Renewable Corp., Class A | 1,875 | 78,638 | |||
Ormat Technologies, Inc. | 1,927 | 133,984 | |||
Vistra Corp. | 20,066 | 372,224 | |||
584,846 | |||||
Multi-utilities – 0.2% | |||||
MDU Resources Group, Inc. | 10,901 | 341,637 | |||
1,081,479 | |||||
TOTAL COMMON STOCKS (Cost $121,599,844) | $ | 166,027,147 | |||
PREFERRED SECURITIES – 0.1% | |||||
Consumer discretionary – 0.0% | |||||
Internet and direct marketing retail – 0.0% | |||||
Qurate Retail, Inc., 8.000% | 206 | 22,300 | |||
Industrials – 0.1% | |||||
Trading companies and distributors – 0.1% | |||||
WESCO International, Inc. (10.625% to 6-22-25, then 5 Year CMT + 10.325%) | 1,507 | 46,551 | |||
TOTAL PREFERRED SECURITIES (Cost $63,266) | $ | 68,851 | |||
WARRANTS – 0.0% | |||||
Nabors Industries, Ltd. (Expiration Date: 6-11-26; Strike Price: $166.67) (A) | 238 | 2,380 | |||
TOTAL WARRANTS (Cost $0) | $ | 2,380 | |||
SHORT-TERM INVESTMENTS – 0.4% | |||||
Short-term funds – 0.4% | |||||
John Hancock Collateral Trust, 0.0324% (E)(F) | 43,773 | 437,936 |
The accompanying notes are an integral part of the financial statements. | 127 |
Shares or Principal Amount | Value | ||||
SHORT-TERM INVESTMENTS (continued) | |||||
Short-term funds (continued) | |||||
State Street Institutional Treasury Money Market Fund, Premier Class, 0.0051% (E) | 2 | $ | 2 | ||
State Street Institutional U.S. Government Money Market Fund, Premier Class, 0.0250% (E) | 336,100 | 336,100 | |||
TOTAL SHORT-TERM INVESTMENTS (Cost $774,053) | $ | 774,038 | |||
Total Investments (Small Cap Opportunities Trust) (Cost $122,437,163) – 99.9% | $ | 166,872,416 | |||
Other assets and liabilities, net – 0.1% | 98,627 | ||||
TOTAL NET ASSETS – 100.0% | $ | 166,971,043 |
Security Abbreviations and Legend | |
ADR | American Depositary Receipt |
CMT | Constant Maturity Treasury |
(A) | Non-income producing security. |
(B) | All or a portion of this security is on loan as of 6-30-21. |
(C) | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. Refer to Note 2 to the financial statements. |
(D) | 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. |
(E) | The rate shown is the annualized seven-day yield as of 6-30-21. |
(F) | Investment is an affiliate of the fund, the advisor and/or subadvisor. This security represents the investment of cash collateral received for securities lending. |
Shares or Principal Amount | Value | ||||
COMMON STOCKS – 100.0% | |||||
Communication services – 3.9% | |||||
Diversified telecommunication services – 1.1% | |||||
Bandwidth, Inc., Class A (A) | 34,928 | $ | 4,817,270 | ||
Media – 2.8% | |||||
Cardlytics, Inc. (A) | 60,608 | 7,692,973 | |||
Criteo SA, ADR (A) | 106,605 | 4,821,744 | |||
12,514,717 | |||||
17,331,987 | |||||
Consumer discretionary – 19.6% | |||||
Diversified consumer services – 3.4% | |||||
2U, Inc. (A) | 131,350 | 5,473,355 | |||
Chegg, Inc. (A) | 98,336 | 8,172,705 | |||
Mister Car Wash, Inc. (A) | 63,200 | 1,360,696 | |||
15,006,756 | |||||
Hotels, restaurants and leisure – 4.2% | |||||
Boyd Gaming Corp. (A) | 54,825 | 3,371,189 | |||
Penn National Gaming, Inc. (A) | 29,258 | 2,237,944 | |||
Planet Fitness, Inc., Class A (A) | 103,860 | 7,815,465 | |||
Wingstop, Inc. | 30,933 | 4,875,969 | |||
18,300,567 | |||||
Household durables – 2.3% | |||||
Cavco Industries, Inc. (A) | 19,993 | 4,442,245 | |||
Skyline Champion Corp. (A) | 109,562 | 5,839,655 | |||
10,281,900 | |||||
Internet and direct marketing retail – 2.6% | |||||
Porch Group, Inc. (A)(B) | 61,660 | 1,192,504 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Internet and direct marketing retail (continued) | |||||
Porch.com, Inc. (A)(C) | 148,379 | $ | 2,791,670 | ||
Shutterstock, Inc. | 36,985 | 3,630,817 | |||
The RealReal, Inc. (A) | 182,857 | 3,613,254 | |||
11,228,245 | |||||
Leisure products – 2.4% | |||||
Polaris, Inc. | 25,342 | 3,470,840 | |||
YETI Holdings, Inc. (A) | 78,105 | 7,171,601 | |||
10,642,441 | |||||
Multiline retail – 1.8% | |||||
Ollie's Bargain Outlet Holdings, Inc. (A) | 92,337 | 7,768,312 | |||
Specialty retail – 2.9% | |||||
Five Below, Inc. (A) | 38,633 | 7,466,600 | |||
Floor & Decor Holdings, Inc., Class A (A) | 48,145 | 5,088,927 | |||
12,555,527 | |||||
85,783,748 | |||||
Consumer staples – 1.4% | |||||
Beverages – 1.2% | |||||
The Boston Beer Company, Inc., Class A (A) | 5,216 | 5,324,493 | |||
Household products – 0.2% | |||||
The Honest Company, Inc. (A)(C) | 56,976 | 874,909 | |||
6,199,402 | |||||
Financials – 3.8% | |||||
Banks – 2.4% | |||||
Ameris Bancorp | 68,009 | 3,443,296 | |||
Sterling Bancorp | 144,289 | 3,576,924 | |||
Western Alliance Bancorp | 36,722 | 3,409,638 | |||
10,429,858 | |||||
Capital markets – 0.7% | |||||
BowX Acquisition Corp., Class A (A) | 115,000 | 1,322,500 | |||
Hamilton Lane, Inc., Class A | 19,382 | 1,766,088 | |||
3,088,588 | |||||
Mortgage real estate investment trusts – 0.7% | |||||
Hannon Armstrong Sustainable Infrastructure Capital, Inc. | 54,089 | 3,037,097 | |||
16,555,543 | |||||
Health care – 27.7% | |||||
Biotechnology – 14.1% | |||||
Acceleron Pharma, Inc. (A) | 16,014 | 2,009,597 | |||
Allakos, Inc. (A) | 23,994 | 2,048,368 | |||
ALX Oncology Holdings, Inc. (A) | 52,952 | 2,895,415 | |||
Amicus Therapeutics, Inc. (A) | 211,949 | 2,043,188 | |||
Apellis Pharmaceuticals, Inc. (A) | 44,862 | 2,835,278 | |||
Arena Pharmaceuticals, Inc. (A) | 48,853 | 3,331,775 | |||
Arrowhead Pharmaceuticals, Inc. (A) | 24,236 | 2,007,226 | |||
Ascendis Pharma A/S, ADR (A) | 17,526 | 2,305,545 | |||
BioAtla, Inc. (A) | 36,448 | 1,544,666 | |||
Blueprint Medicines Corp. (A) | 30,787 | 2,708,025 | |||
Freeline Therapeutics Holdings PLC, ADR (A) | 38,196 | 311,297 | |||
Heron Therapeutics, Inc. (A) | 178,631 | 2,772,353 | |||
ImmunoGen, Inc. (A) | 220,932 | 1,455,942 | |||
Intellia Therapeutics, Inc. (A) | 13,690 | 2,216,548 | |||
KalVista Pharmaceuticals, Inc. (A) | 73,364 | 1,757,801 | |||
Karuna Therapeutics, Inc. (A) | 12,268 | 1,398,429 | |||
Kodiak Sciences, Inc. (A) | 41,192 | 3,830,856 | |||
Kura Oncology, Inc. (A) | 60,619 | 1,263,906 | |||
Mersana Therapeutics, Inc. (A) | 116,713 | 1,584,963 | |||
Myovant Sciences, Ltd. (A) | 81,671 | 1,859,649 | |||
PTC Therapeutics, Inc. (A) | 45,379 | 1,918,170 | |||
RAPT Therapeutics, Inc. (A) | 48,347 | 1,536,951 |
The accompanying notes are an integral part of the financial statements. | 128 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Biotechnology (continued) | |||||
REVOLUTION Medicines, Inc. (A) | 62,796 | $ | 1,993,145 | ||
Rocket Pharmaceuticals, Inc. (A) | 42,315 | 1,874,131 | |||
TCR2 Therapeutics, Inc. (A) | 113,265 | 1,858,679 | |||
TG Therapeutics, Inc. (A) | 82,411 | 3,196,723 | |||
Turning Point Therapeutics, Inc. (A) | 37,310 | 2,910,926 | |||
UroGen Pharma, Ltd. (A)(B) | 93,183 | 1,422,904 | |||
Y-mAbs Therapeutics, Inc. (A) | 86,577 | 2,926,303 | |||
61,818,759 | |||||
Health care equipment and supplies – 3.0% | |||||
Globus Medical, Inc., Class A (A) | 51,998 | 4,031,405 | |||
Hill-Rom Holdings, Inc. | 38,639 | 4,389,004 | |||
Integra LifeSciences Holdings Corp. (A) | 71,774 | 4,897,858 | |||
13,318,267 | |||||
Health care providers and services – 4.7% | |||||
Accolade, Inc. (A) | 103,562 | 5,624,452 | |||
Cross Country Healthcare, Inc. (A) | 173,496 | 2,864,419 | |||
HealthEquity, Inc. (A) | 21,000 | 1,690,080 | |||
LHC Group, Inc. (A) | 30,639 | 6,135,766 | |||
Oak Street Health, Inc. (A) | 75,027 | 4,394,331 | |||
20,709,048 | |||||
Health care technology – 3.0% | |||||
Health Catalyst, Inc. (A) | 77,215 | 4,286,205 | |||
Multiplan Corp. (A)(B) | 522,868 | 4,977,703 | |||
Omnicell, Inc. (A) | 24,647 | 3,732,788 | |||
12,996,696 | |||||
Life sciences tools and services – 2.6% | |||||
Medpace Holdings, Inc. (A) | 28,941 | 5,111,849 | |||
NanoString Technologies, Inc. (A) | 34,819 | 2,255,923 | |||
NeoGenomics, Inc. (A) | 85,965 | 3,883,039 | |||
11,250,811 | |||||
Pharmaceuticals – 0.3% | |||||
Reata Pharmaceuticals, Inc., Class A (A) | 9,217 | 1,304,482 | |||
121,398,063 | |||||
Industrials – 11.1% | |||||
Aerospace and defense – 1.0% | |||||
Curtiss-Wright Corp. | 35,399 | 4,203,985 | |||
Building products – 2.0% | |||||
Builders FirstSource, Inc. (A) | 111,100 | 4,739,526 | |||
Gibraltar Industries, Inc. (A) | 51,662 | 3,942,327 | |||
8,681,853 | |||||
Commercial services and supplies – 0.0% | |||||
Legalzoom.com, Inc. (A) | 6,200 | 234,670 | |||
Construction and engineering – 0.7% | |||||
Fluor Corp. (A) | 171,233 | 3,030,824 | |||
Machinery – 4.8% | |||||
Altra Industrial Motion Corp. | 94,511 | 6,145,105 | |||
Colfax Corp. (A) | 88,868 | 4,071,043 | |||
Hydrofarm Holdings Group, Inc. (A) | 50,000 | 2,955,500 | |||
Kornit Digital, Ltd. (A) | 21,942 | 2,728,049 | |||
The Middleby Corp. (A) | 29,661 | 5,139,065 | |||
21,038,762 | |||||
Professional services – 0.7% | |||||
TriNet Group, Inc. (A) | 39,939 | 2,894,779 | |||
Road and rail – 0.5% | |||||
Saia, Inc. (A) | 11,633 | 2,436,997 | |||
Trading companies and distributors – 1.4% | |||||
Applied Industrial Technologies, Inc. | 67,014 | 6,102,295 | |||
48,624,165 | |||||
Information technology – 28.5% |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Communications equipment – 1.0% | |||||
Calix, Inc. (A) | 87,505 | $ | 4,156,488 | ||
Electronic equipment, instruments and components – 4.0% | |||||
II-VI, Inc. (A) | 113,220 | 8,218,640 | |||
Novanta, Inc. (A) | 30,413 | 4,098,456 | |||
PAR Technology Corp. (A) | 74,022 | 5,177,099 | |||
17,494,195 | |||||
IT services – 5.6% | |||||
LiveRamp Holdings, Inc. (A) | 83,180 | 3,896,983 | |||
Perficient, Inc. (A) | 105,864 | 8,513,583 | |||
Repay Holdings Corp. (A) | 186,299 | 4,478,628 | |||
Squarespace, Inc., Class A (A)(B) | 45,536 | 2,705,294 | |||
Verra Mobility Corp. (A) | 326,058 | 5,011,511 | |||
24,605,999 | |||||
Semiconductors and semiconductor equipment – 5.3% | |||||
ACM Research, Inc., Class A (A) | 36,756 | 3,757,198 | |||
Maxeon Solar Technologies, Ltd. (A)(B) | 117,749 | 2,523,361 | |||
MKS Instruments, Inc. | 25,082 | 4,463,342 | |||
SunPower Corp. (A) | 42,719 | 1,248,249 | |||
Synaptics, Inc. (A) | 23,500 | 3,656,130 | |||
Tower Semiconductor, Ltd. (A) | 261,684 | 7,701,360 | |||
23,349,640 | |||||
Software – 12.6% | |||||
Clear Secure, Inc., Class A (A) | 4,000 | 160,000 | |||
Digital Turbine, Inc. (A) | 106,904 | 8,127,911 | |||
j2 Global, Inc. (A) | 42,551 | 5,852,890 | |||
Jamf Holding Corp. (A) | 126,013 | 4,230,256 | |||
Latch, Inc. (A)(C) | 271,318 | 3,115,456 | |||
Manhattan Associates, Inc. (A) | 40,292 | 5,835,893 | |||
MarkLogic Corp. (A)(D) | 153,423 | 42,958 | |||
Mimecast, Ltd. (A) | 85,276 | 4,523,892 | |||
Payoneer, Inc. (A)(C) | 47,400 | 455,076 | |||
Rapid7, Inc. (A) | 99,423 | 9,408,401 | |||
SentinelOne, Inc., Class A (A) | 4,100 | 174,250 | |||
Telos Corp. (A) | 129,363 | 4,399,636 | |||
Varonis Systems, Inc. (A) | 155,361 | 8,951,901 | |||
55,278,520 | |||||
124,884,842 | |||||
Materials – 0.6% | |||||
Chemicals – 0.6% | |||||
Cabot Corp. | 48,757 | 2,775,736 | |||
Real estate – 3.4% | |||||
Equity real estate investment trusts – 2.9% | |||||
Essential Properties Realty Trust, Inc. | 149,567 | 4,044,292 | |||
Ryman Hospitality Properties, Inc. (A) | 57,797 | 4,563,651 | |||
Xenia Hotels & Resorts, Inc. (A) | 223,064 | 4,177,989 | |||
12,785,932 | |||||
Real estate management and development – 0.5% | |||||
Redfin Corp. (A) | 35,874 | 2,274,770 | |||
15,060,702 | |||||
TOTAL COMMON STOCKS (Cost $374,309,779) | $ | 438,614,188 | |||
SHORT-TERM INVESTMENTS – 2.5% | |||||
Short-term funds – 2.1% | |||||
John Hancock Collateral Trust, 0.0324% (E)(F) | 923,740 | 9,241,650 |
The accompanying notes are an integral part of the financial statements. | 129 |
Shares or Principal Amount | Value | ||||
SHORT-TERM INVESTMENTS (continued) | |||||
Repurchase agreement – 0.4% | |||||
Societe Generale SA Tri-Party Repurchase Agreement dated 6-30-21 at 0.045% to be repurchased at $1,800,002 on 7-1-21, collateralized by $21,952 Federal Home Loan Mortgage Corp., 5.559% due 11-1-30 (valued at $22,807), $633,485 Federal National Mortgage Association, 1.658% - 4.000% due 11-1-26 to 10-1-47 (valued at $691,770) and $1,059,777 Government National Mortgage Association, 2.000% - 2.500% due 9-20-50 to 1-20-51 (valued at $1,121,423) | $ | 1,800,000 | $ | 1,800,000 | |
TOTAL SHORT-TERM INVESTMENTS (Cost $11,041,788) | $ | 11,041,650 | |||
Total Investments (Small Cap Stock Trust) (Cost $385,351,567) – 102.5% | $ | 449,655,838 | |||
Other assets and liabilities, net – (2.5%) | (11,151,125) | ||||
TOTAL NET ASSETS – 100.0% | $ | 438,504,713 |
Security Abbreviations and Legend | |
ADR | American Depositary Receipt |
(A) | Non-income producing security. |
(B) | All or a portion of this security is on loan as of 6-30-21. |
(C) | Restricted security as to resale. For more information on this security refer to the Notes to financial statements. |
(D) | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. Refer to Note 2 to the financial statements. |
(E) | The rate shown is the annualized seven-day yield as of 6-30-21. |
(F) | Investment is an affiliate of the fund, the advisor and/or subadvisor. This security represents the investment of cash collateral received for securities lending. |
Shares or Principal Amount | Value | ||||
COMMON STOCKS – 97.0% | |||||
Consumer discretionary – 5.4% | |||||
Auto components – 0.9% | |||||
Gentherm, Inc. (A) | 71,249 | $ | 5,062,241 | ||
Hotels, restaurants and leisure – 0.9% | |||||
Aramark | 31,006 | 1,154,974 | |||
Wyndham Hotels & Resorts, Inc. | 55,670 | 4,024,384 | |||
5,179,358 | |||||
Household durables – 1.2% | |||||
Tri Pointe Homes, Inc. (A) | 306,021 | 6,558,030 | |||
Specialty retail – 0.9% | |||||
Monro, Inc. | 80,352 | 5,103,156 | |||
Textiles, apparel and luxury goods – 1.5% | |||||
Kontoor Brands, Inc. | 147,785 | 8,336,552 | |||
30,239,337 | |||||
Consumer staples – 5.8% | |||||
Beverages – 0.9% | |||||
C&C Group PLC (A) | 1,531,538 | 5,154,369 | |||
Food products – 2.6% | |||||
Cranswick PLC | 128,148 | 7,050,109 | |||
Hostess Brands, Inc. (A) | 412,515 | 6,678,618 | |||
Post Holdings, Inc. (A) | 6,733 | 730,329 | |||
14,459,056 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Household products – 2.3% | |||||
Spectrum Brands Holdings, Inc. | 151,091 | $ | 12,848,777 | ||
32,462,202 | |||||
Energy – 3.5% | |||||
Energy equipment and services – 0.3% | |||||
Bristow Group, Inc. (A) | 70,257 | 1,799,282 | |||
Oil, gas and consumable fuels – 3.2% | |||||
Chesapeake Energy Corp. (B) | 6,194 | 321,592 | |||
Dorian LPG, Ltd. (A) | 443,042 | 6,255,753 | |||
Kosmos Energy, Ltd. (A) | 190,154 | 657,933 | |||
Magnolia Oil & Gas Corp., Class A (A) | 569,355 | 8,899,019 | |||
Scorpio Tankers, Inc. | 84,195 | 1,856,500 | |||
17,990,797 | |||||
19,790,079 | |||||
Financials – 23.4% | |||||
Banks – 14.6% | |||||
1st Source Corp. | 101,230 | 4,703,146 | |||
Atlantic Union Bankshares Corp. | 202,988 | 7,352,225 | |||
Banc of California, Inc. | 492,023 | 8,630,083 | |||
Eastern Bankshares, Inc. | 250,685 | 5,156,590 | |||
First Busey Corp. | 242,765 | 5,986,585 | |||
First Citizens BancShares, Inc., Class A | 659 | 548,776 | |||
First Midwest Bancorp, Inc. | 418,814 | 8,305,082 | |||
Flushing Financial Corp. | 305,069 | 6,537,629 | |||
Great Western Bancorp, Inc. | 265,433 | 8,703,548 | |||
Hancock Whitney Corp. | 178,260 | 7,921,874 | |||
International Bancshares Corp. | 200,012 | 8,588,515 | |||
Synovus Financial Corp. | 202,575 | 8,888,991 | |||
Webster Financial Corp. | 13,148 | 701,314 | |||
82,024,358 | |||||
Capital markets – 0.7% | |||||
SLR Investment Corp. | 207,765 | 3,872,740 | |||
Insurance – 6.4% | |||||
Alleghany Corp. (A) | 1,874 | 1,250,089 | |||
Argo Group International Holdings, Ltd. | 72,574 | 3,761,510 | |||
Assured Guaranty, Ltd. | 115,723 | 5,494,528 | |||
Kemper Corp. | 133,841 | 9,890,850 | |||
ProAssurance Corp. | 137,254 | 3,122,529 | |||
Reinsurance Group of America, Inc. | 5,799 | 661,086 | |||
SiriusPoint, Ltd. (A) | 455,523 | 4,587,117 | |||
White Mountains Insurance Group, Ltd. | 6,589 | 7,564,370 | |||
36,332,079 | |||||
Thrifts and mortgage finance – 1.7% | |||||
NMI Holdings, Inc., Class A (A) | 200,394 | 4,504,857 | |||
Northwest Bancshares, Inc. | 372,574 | 5,081,909 | |||
9,586,766 | |||||
131,815,943 | |||||
Health care – 7.1% | |||||
Health care equipment and supplies – 3.5% | |||||
Haemonetics Corp. (A) | 63,011 | 4,199,053 | |||
Lantheus Holdings, Inc. (A) | 461,759 | 12,763,019 | |||
Natus Medical, Inc. (A) | 90,730 | 2,357,165 | |||
19,319,237 | |||||
Health care providers and services – 1.9% | |||||
AMN Healthcare Services, Inc. (A) | 31,466 | 3,051,573 | |||
MEDNAX, Inc. (A) | 113,200 | 3,412,980 | |||
Owens & Minor, Inc. | 103,089 | 4,363,757 | |||
10,828,310 | |||||
Health care technology – 1.6% | |||||
Allscripts Healthcare Solutions, Inc. (A) | 492,349 | 9,113,380 |
The accompanying notes are an integral part of the financial statements. | 130 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Life sciences tools and services – 0.1% | |||||
Syneos Health, Inc. (A) | 5,720 | $ | 511,883 | ||
39,772,810 | |||||
Industrials – 24.2% | |||||
Aerospace and defense – 1.2% | |||||
Hexcel Corp. (A) | 111,193 | 6,938,443 | |||
Building products – 3.4% | |||||
American Woodmark Corp. (A) | 88,101 | 7,196,971 | |||
Tyman PLC | 1,942,876 | 12,088,196 | |||
19,285,167 | |||||
Commercial services and supplies – 4.2% | |||||
ACCO Brands Corp. | 752,178 | 6,491,296 | |||
BrightView Holdings, Inc. (A) | 333,182 | 5,370,894 | |||
Clean Harbors, Inc. (A) | 9,434 | 878,683 | |||
SP Plus Corp. (A) | 190,175 | 5,817,453 | |||
UniFirst Corp. | 21,485 | 5,041,240 | |||
23,599,566 | |||||
Construction and engineering – 1.4% | |||||
Primoris Services Corp. | 220,376 | 6,485,666 | |||
Valmont Industries, Inc. | 5,228 | 1,234,069 | |||
7,719,735 | |||||
Electrical equipment – 1.0% | |||||
Thermon Group Holdings, Inc. (A) | 321,079 | 5,471,186 | |||
Machinery – 5.5% | |||||
Albany International Corp., Class A | 50,779 | 4,532,534 | |||
Luxfer Holdings PLC | 389,027 | 8,655,851 | |||
Mueller Industries, Inc. | 152,806 | 6,618,028 | |||
TriMas Corp. (A) | 361,013 | 10,949,524 | |||
30,755,937 | |||||
Professional services – 6.4% | |||||
CBIZ, Inc. (A) | 253,716 | 8,314,273 | |||
Forrester Research, Inc. (A) | 127,906 | 5,858,095 | |||
Huron Consulting Group, Inc. (A) | 162,893 | 8,006,191 | |||
ICF International, Inc. | 79,357 | 6,972,306 | |||
Science Applications International Corp. | 81,961 | 7,190,439 | |||
36,341,304 | |||||
Trading companies and distributors – 1.1% | |||||
GATX Corp. | 67,629 | 5,983,138 | |||
136,094,476 | |||||
Information technology – 7.4% | |||||
Electronic equipment, instruments and components – 3.6% | |||||
Belden, Inc. | 198,423 | 10,034,251 | |||
Coherent, Inc. (A) | 8,485 | 2,242,925 | |||
CTS Corp. | 222,291 | 8,260,334 | |||
20,537,510 | |||||
IT services – 2.2% | |||||
ExlService Holdings, Inc. (A) | 50,482 | 5,364,217 | |||
WNS Holdings, Ltd., ADR (A) | 84,309 | 6,733,760 | |||
12,097,977 | |||||
Semiconductors and semiconductor equipment – 0.5% | |||||
Onto Innovation, Inc. (A) | 37,871 | 2,766,098 | |||
Software – 1.1% | |||||
CDK Global, Inc. | 20,914 | 1,039,217 | |||
Progress Software Corp. | 116,291 | 5,378,459 | |||
6,417,676 | |||||
41,819,261 | |||||
Materials – 7.1% | |||||
Chemicals – 5.0% | |||||
Axalta Coating Systems, Ltd. (A) | 10,930 | 333,256 | |||
Element Solutions, Inc. | 488,438 | 11,419,680 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Chemicals (continued) | |||||
HB Fuller Company | 71,379 | $ | 4,540,418 | ||
Orion Engineered Carbons SA (A) | 392,396 | 7,451,600 | |||
Stepan Company | 37,281 | 4,483,786 | |||
28,228,740 | |||||
Containers and packaging – 0.2% | |||||
Sealed Air Corp. | 21,690 | 1,285,133 | |||
Paper and forest products – 1.9% | |||||
Louisiana-Pacific Corp. | 31,656 | 1,908,540 | |||
Neenah, Inc. | 171,520 | 8,605,158 | |||
10,513,698 | |||||
40,027,571 | |||||
Real estate – 9.2% | |||||
Equity real estate investment trusts – 9.2% | |||||
Alexander & Baldwin, Inc. | 403,352 | 7,389,409 | |||
Brandywine Realty Trust | 526,183 | 7,213,969 | |||
Corporate Office Properties Trust | 145,448 | 4,071,090 | |||
Lexington Realty Trust | 349,925 | 4,181,604 | |||
Physicians Realty Trust | 397,439 | 7,340,698 | |||
Piedmont Office Realty Trust, Inc., Class A | 391,413 | 7,229,398 | |||
PotlatchDeltic Corp. | 86,063 | 4,574,248 | |||
RPT Realty | 759,532 | 9,858,725 | |||
51,859,141 | |||||
Utilities – 3.9% | |||||
Electric utilities – 1.6% | |||||
Portland General Electric Company | 196,017 | 9,032,463 | |||
Gas utilities – 2.3% | |||||
New Jersey Resources Corp. | 140,167 | 5,546,408 | |||
Spire, Inc. | 86,620 | 6,260,027 | |||
UGI Corp. | 24,684 | 1,143,116 | |||
12,949,551 | |||||
21,982,014 | |||||
TOTAL COMMON STOCKS (Cost $422,931,967) | $ | 545,862,834 | |||
SHORT-TERM INVESTMENTS – 2.8% | |||||
Short-term funds – 0.0% | |||||
John Hancock Collateral Trust, 0.0324% (C)(D) | 21,812 | 218,223 | |||
Repurchase agreement – 2.8% | |||||
Bank of America Tri-Party Repurchase Agreement dated 6-30-21 at 0.050% to be repurchased at $15,700,022 on 7-1-21, collateralized by $14,180,158 Government National Mortgage Association, 1.967% - 1.993% due 5-20-71 (valued at $16,014,001) | $ | 15,700,000 | 15,700,000 | ||
TOTAL SHORT-TERM INVESTMENTS (Cost $15,918,225) | $ | 15,918,223 | |||
Total Investments (Small Cap Value Trust) (Cost $438,850,192) – 99.8% | $ | 561,781,057 | |||
Other assets and liabilities, net – 0.2% | 1,029,721 | ||||
TOTAL NET ASSETS – 100.0% | $ | 562,810,778 |
Security Abbreviations and Legend | |
ADR | American Depositary Receipt |
(A) | Non-income producing security. |
(B) | All or a portion of this security is on loan as of 6-30-21. |
(C) | The rate shown is the annualized seven-day yield as of 6-30-21. |
(D) | Investment is an affiliate of the fund, the advisor and/or subadvisor. This security represents the investment of cash collateral received for securities lending. |
The accompanying notes are an integral part of the financial statements. | 131 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS – 98.0% | |||||
Communication services – 2.4% | |||||
Media – 2.4% | |||||
Advantage Solutions, Inc. (A)(B) | 59,796 | $ | 645,199 | ||
Boston Omaha Corp., Class A (A) | 29,392 | 932,020 | |||
Cable One, Inc. | 654 | 1,250,978 | |||
Scholastic Corp. | 19,576 | 741,735 | |||
Thryv Holdings, Inc. (A) | 17,176 | 614,386 | |||
4,184,318 | |||||
Consumer discretionary – 10.7% | |||||
Auto components – 1.9% | |||||
Dorman Products, Inc. (A) | 9,366 | 970,973 | |||
LCI Industries | 6,987 | 918,232 | |||
The Goodyear Tire & Rubber Company (A) | 24,537 | 420,810 | |||
Visteon Corp. (A) | 7,655 | 925,796 | |||
3,235,811 | |||||
Distributors – 0.6% | |||||
Pool Corp. | 2,196 | 1,007,217 | |||
Diversified consumer services – 0.8% | |||||
Strategic Education, Inc. | 19,551 | 1,487,049 | |||
Hotels, restaurants and leisure – 2.6% | |||||
Bally's Corp. (A) | 4,281 | 231,645 | |||
BJ's Restaurants, Inc. (A) | 18,850 | 926,289 | |||
Marriott Vacations Worldwide Corp. (A) | 6,861 | 1,092,957 | |||
Papa John's International, Inc. | 9,495 | 991,658 | |||
Planet Fitness, Inc., Class A (A) | 8,018 | 603,355 | |||
Red Robin Gourmet Burgers, Inc. (A) | 20,487 | 678,325 | |||
4,524,229 | |||||
Household durables – 1.2% | |||||
Cavco Industries, Inc. (A) | 6,012 | 1,335,806 | |||
Meritage Homes Corp. (A) | 8,966 | 843,521 | |||
2,179,327 | |||||
Internet and direct marketing retail – 0.3% | |||||
Poshmark, Inc., Class A (A)(B) | 8,134 | 388,317 | |||
Xometry, Inc., Class A (A) | 1,588 | 138,775 | |||
527,092 | |||||
Specialty retail – 2.1% | |||||
Hibbett, Inc. (A) | 9,261 | 830,063 | |||
Lumber Liquidators Holdings, Inc. (A) | 38,671 | 815,958 | |||
Monro, Inc. | 14,207 | 902,287 | |||
Petco Health & Wellness Company, Inc. (A) | 27,363 | 613,205 | |||
The Aaron's Company, Inc. | 13,177 | 421,532 | |||
3,583,045 | |||||
Textiles, apparel and luxury goods – 1.2% | |||||
Hanesbrands, Inc. | 38,247 | 714,071 | |||
Steven Madden, Ltd. | 31,261 | 1,367,981 | |||
2,082,052 | |||||
18,625,822 | |||||
Consumer staples – 3.0% | |||||
Beverages – 0.6% | |||||
Coca-Cola Consolidated, Inc. | 2,652 | 1,066,449 | |||
Food and staples retailing – 0.4% | |||||
Grocery Outlet Holding Corp. (A) | 17,711 | 613,863 | |||
Food products – 2.0% | |||||
Nomad Foods, Ltd. (A) | 61,213 | 1,730,492 | |||
Post Holdings, Inc. (A) | 8,834 | 958,224 | |||
The Simply Good Foods Company (A) | 22,184 | 809,938 | |||
3,498,654 | |||||
5,178,966 | |||||
Energy – 6.5% |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Energy equipment and services – 2.7% | |||||
Cactus, Inc., Class A | 37,198 | $ | 1,365,911 | ||
ChampionX Corp. (A) | 77,190 | 1,979,924 | |||
Liberty Oilfield Services, Inc., Class A (A) | 90,520 | 1,281,763 | |||
4,627,598 | |||||
Oil, gas and consumable fuels – 3.8% | |||||
Devon Energy Corp. | 62,250 | 1,817,078 | |||
International Seaways, Inc. | 26,682 | 511,761 | |||
Magnolia Oil & Gas Corp., Class A (A) | 89,023 | 1,391,429 | |||
Matador Resources Company | 59,231 | 2,132,908 | |||
REX American Resources Corp. (A) | 8,895 | 802,151 | |||
6,655,327 | |||||
11,282,925 | |||||
Financials – 25.9% | |||||
Banks – 15.1% | |||||
Atlantic Capital Bancshares, Inc. (A) | 13,155 | 334,926 | |||
BankUnited, Inc. | 45,717 | 1,951,659 | |||
Columbia Banking System, Inc. | 31,504 | 1,214,794 | |||
CrossFirst Bankshares, Inc. (A) | 43,286 | 595,183 | |||
Eastern Bankshares, Inc. | 35,268 | 725,463 | |||
FB Financial Corp. | 31,472 | 1,174,535 | |||
Glacier Bancorp, Inc. | 23,492 | 1,293,939 | |||
HarborOne Bancorp, Inc. | 70,275 | 1,007,744 | |||
Heritage Financial Corp. | 17,174 | 429,693 | |||
Home BancShares, Inc. | 86,792 | 2,142,027 | |||
Howard Bancorp, Inc. (A) | 52,554 | 847,696 | |||
Independent Bank Corp. (Massachusetts) | 8,767 | 661,909 | |||
Live Oak Bancshares, Inc. | 27,716 | 1,635,244 | |||
National Bank Holdings Corp., Class A | 29,615 | 1,117,670 | |||
Origin Bancorp, Inc. | 24,467 | 1,038,869 | |||
Pinnacle Financial Partners, Inc. | 26,864 | 2,371,823 | |||
Popular, Inc. | 17,442 | 1,309,022 | |||
Southern First Bancshares, Inc. (A) | 17,518 | 896,221 | |||
Towne Bank | 45,524 | 1,384,840 | |||
Webster Financial Corp. | 23,812 | 1,270,132 | |||
Western Alliance Bancorp | 30,009 | 2,786,336 | |||
26,189,725 | |||||
Capital markets – 2.3% | |||||
Hercules Capital, Inc. | 51,741 | 882,701 | |||
Houlihan Lokey, Inc. | 16,188 | 1,324,017 | |||
StepStone Group, Inc., Class A | 8,635 | 297,044 | |||
Virtus Investment Partners, Inc. | 5,614 | 1,559,401 | |||
4,063,163 | |||||
Consumer finance – 1.3% | |||||
Green Dot Corp., Class A (A) | 17,999 | 843,253 | |||
PRA Group, Inc. (A) | 9,350 | 359,695 | |||
PROG Holdings, Inc. (A) | 23,790 | 1,145,013 | |||
2,347,961 | |||||
Insurance – 2.1% | |||||
BRP Group, Inc., Class A (A) | 35,105 | 935,548 | |||
James River Group Holdings, Ltd. | 23,163 | 869,076 | |||
Palomar Holdings, Inc. (A) | 7,981 | 602,246 | |||
ProAssurance Corp. | 31,932 | 726,453 | |||
State Auto Financial Corp. | 30,599 | 523,855 | |||
3,657,178 | |||||
Mortgage real estate investment trusts – 1.6% | |||||
Hannon Armstrong Sustainable Infrastructure Capital, Inc. | 32,136 | 1,804,436 | |||
PennyMac Mortgage Investment Trust | 48,203 | 1,015,155 | |||
2,819,591 | |||||
Thrifts and mortgage finance – 3.5% | |||||
Meridian Bancorp, Inc. | 43,579 | 891,626 | |||
PCSB Financial Corp. | 19,555 | 355,314 |
The accompanying notes are an integral part of the financial statements. | 132 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Thrifts and mortgage finance (continued) | |||||
PennyMac Financial Services, Inc. | 15,243 | $ | 940,798 | ||
Radian Group, Inc. | 55,530 | 1,235,543 | |||
Walker & Dunlop, Inc. | 6,638 | 692,874 | |||
WSFS Financial Corp. | 40,732 | 1,897,704 | |||
6,013,859 | |||||
45,091,477 | |||||
Health care – 8.3% | |||||
Biotechnology – 2.6% | |||||
Acceleron Pharma, Inc. (A) | 4,773 | 598,964 | |||
Blueprint Medicines Corp. (A) | 4,919 | 432,675 | |||
C4 Therapeutics, Inc. (A)(B) | 9,456 | 357,815 | |||
Insmed, Inc. (A) | 14,502 | 412,727 | |||
Karuna Therapeutics, Inc. (A) | 2,537 | 289,193 | |||
Kodiak Sciences, Inc. (A) | 4,079 | 379,347 | |||
Kymera Therapeutics, Inc. (A) | 4,900 | 237,650 | |||
Replimune Group, Inc. (A) | 11,991 | 460,694 | |||
Turning Point Therapeutics, Inc. (A) | 4,300 | 335,486 | |||
Ultragenyx Pharmaceutical, Inc. (A) | 6,312 | 601,849 | |||
Xencor, Inc. (A) | 9,890 | 341,106 | |||
4,447,506 | |||||
Health care equipment and supplies – 1.7% | |||||
Atrion Corp. | 1,832 | 1,137,544 | |||
Envista Holdings Corp. (A) | 24,845 | 1,073,552 | |||
Figs, Inc., Class A (A) | 1,442 | 72,244 | |||
Ortho Clinical Diagnostics Holdings PLC (A) | 19,604 | 419,722 | |||
Quidel Corp. (A) | 2,148 | 275,202 | |||
2,978,264 | |||||
Health care providers and services – 3.3% | |||||
Agiliti, Inc. (A) | 27,087 | 592,393 | |||
Molina Healthcare, Inc. (A) | 1,195 | 302,407 | |||
Option Care Health, Inc. (A) | 51,511 | 1,126,546 | |||
Select Medical Holdings Corp. | 49,408 | 2,087,982 | |||
The Ensign Group, Inc. | 12,052 | 1,044,547 | |||
The Pennant Group, Inc. (A) | 16,542 | 676,568 | |||
5,830,443 | |||||
Health care technology – 0.5% | |||||
Multiplan Corp. (A) | 11,693 | 111,317 | |||
Phreesia, Inc. (A) | 13,065 | 800,885 | |||
912,202 | |||||
Pharmaceuticals – 0.2% | |||||
Arvinas, Inc. (A) | 4,296 | 330,792 | |||
14,499,207 | |||||
Industrials – 16.1% | |||||
Aerospace and defense – 1.3% | |||||
Parsons Corp. (A) | 15,161 | 596,737 | |||
Triumph Group, Inc. (A) | 81,330 | 1,687,598 | |||
2,284,335 | |||||
Airlines – 0.2% | |||||
Allegiant Travel Company (A) | 2,012 | 390,328 | |||
Building products – 2.0% | |||||
JELD-WEN Holding, Inc. (A) | 24,844 | 652,403 | |||
Resideo Technologies, Inc. (A) | 20,121 | 603,630 | |||
UFP Industries, Inc. | 29,337 | 2,180,913 | |||
3,436,946 | |||||
Commercial services and supplies – 2.3% | |||||
ABM Industries, Inc. | 9,400 | 416,890 | |||
Brady Corp., Class A | 17,261 | 967,306 | |||
MSA Safety, Inc. | 5,415 | 896,616 | |||
Stericycle, Inc. (A) | 17,525 | 1,253,914 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Commercial services and supplies (continued) | |||||
UniFirst Corp. | 2,026 | $ | 475,381 | ||
4,010,107 | |||||
Construction and engineering – 0.2% | |||||
Ameresco, Inc., Class A (A) | 6,602 | 414,077 | |||
Electrical equipment – 0.7% | |||||
Shoals Technologies Group, Inc., Class A (A) | 17,325 | 615,038 | |||
Thermon Group Holdings, Inc. (A) | 32,329 | 550,886 | |||
1,165,924 | |||||
Machinery – 4.4% | |||||
Alamo Group, Inc. | 3,290 | 502,317 | |||
Blue Bird Corp. (A) | 25,142 | 625,030 | |||
Chart Industries, Inc. (A) | 2,825 | 413,354 | |||
CIRCOR International, Inc. (A) | 21,739 | 708,691 | |||
Enerpac Tool Group Corp. | 33,317 | 886,899 | |||
ESCO Technologies, Inc. | 12,951 | 1,214,933 | |||
Helios Technologies, Inc. | 19,112 | 1,491,692 | |||
SPX Corp. (A) | 15,696 | 958,712 | |||
The Timken Company | 9,499 | 765,524 | |||
7,567,152 | |||||
Marine – 0.3% | |||||
Matson, Inc. | 8,406 | 537,984 | |||
Professional services – 1.2% | |||||
FTI Consulting, Inc. (A) | 3,195 | 436,469 | |||
Kelly Services, Inc., Class A (A) | 13,477 | 323,044 | |||
Korn Ferry | 18,659 | 1,353,710 | |||
2,113,223 | |||||
Road and rail – 1.0% | |||||
Landstar System, Inc. | 7,313 | 1,155,600 | |||
Ryder System, Inc. | 7,124 | 529,527 | |||
1,685,127 | |||||
Trading companies and distributors – 2.5% | |||||
Air Lease Corp. | 10,094 | 421,324 | |||
Beacon Roofing Supply, Inc. (A) | 28,167 | 1,499,893 | |||
McGrath RentCorp | 13,320 | 1,086,512 | |||
Rush Enterprises, Inc., Class A | 10,376 | 448,658 | |||
Univar Solutions, Inc. (A) | 36,878 | 899,086 | |||
4,355,473 | |||||
27,960,676 | |||||
Information technology – 6.7% | |||||
Communications equipment – 0.8% | |||||
Harmonic, Inc. (A) | 174,042 | 1,482,838 | |||
Electronic equipment, instruments and components – 2.6% | |||||
Belden, Inc. | 40,895 | 2,068,055 | |||
Knowles Corp. (A) | 6,614 | 130,560 | |||
Littelfuse, Inc. | 9,089 | 2,315,786 | |||
4,514,401 | |||||
IT services – 0.5% | |||||
i3 Verticals, Inc., Class A (A) | 21,051 | 636,161 | |||
Integral Ad Science Holding Corp. (A) | 8,453 | 173,963 | |||
810,124 | |||||
Semiconductors and semiconductor equipment – 1.6% | |||||
Entegris, Inc. | 8,322 | 1,023,356 | |||
MaxLinear, Inc. (A) | 18,758 | 797,027 | |||
Onto Innovation, Inc. (A) | 6,939 | 506,825 | |||
Semtech Corp. (A) | 7,011 | 482,357 | |||
2,809,565 | |||||
Software – 1.2% | |||||
Ceridian HCM Holding, Inc. (A) | 11,482 | 1,101,353 | |||
DoubleVerify Holdings, Inc. (A)(B) | 2,207 | 93,444 |
The accompanying notes are an integral part of the financial statements. | 133 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Software (continued) | |||||
NCino, Inc. (A) | 6,229 | $ | 373,242 | ||
Workiva, Inc. (A) | 4,665 | 519,354 | |||
2,087,393 | |||||
11,704,321 | |||||
Materials – 5.7% | |||||
Chemicals – 2.6% | |||||
American Vanguard Corp. | 26,317 | 460,811 | |||
Atotech, Ltd. (A) | 37,339 | 953,265 | |||
Minerals Technologies, Inc. | 12,632 | 993,759 | |||
Orion Engineered Carbons SA (A) | 54,043 | 1,026,277 | |||
Quaker Chemical Corp. | 4,034 | 956,824 | |||
4,390,936 | |||||
Containers and packaging – 0.4% | |||||
Myers Industries, Inc. | 34,802 | 730,842 | |||
Metals and mining – 2.2% | |||||
Alcoa Corp. (A) | 5,501 | 202,657 | |||
Carpenter Technology Corp. | 26,522 | 1,066,715 | |||
Constellium SE (A) | 89,510 | 1,696,215 | |||
Reliance Steel & Aluminum Company | 5,910 | 891,819 | |||
3,857,406 | |||||
Paper and forest products – 0.5% | |||||
Clearwater Paper Corp. (A) | 28,578 | 827,905 | |||
9,807,089 | |||||
Real estate – 8.7% | |||||
Equity real estate investment trusts – 7.8% | |||||
American Campus Communities, Inc. | 16,850 | 787,232 | |||
Apartment Investment and Management Company, Class A | 59,719 | 400,714 | |||
EastGroup Properties, Inc. | 8,500 | 1,397,825 | |||
Essential Properties Realty Trust, Inc. | 20,851 | 563,811 | |||
Healthcare Realty Trust, Inc. | 33,183 | 1,002,127 | |||
JBG SMITH Properties | 40,454 | 1,274,706 | |||
PotlatchDeltic Corp. | 24,450 | 1,299,518 | |||
PS Business Parks, Inc. | 6,590 | 975,847 | |||
Safehold, Inc. | 8,800 | 690,800 | |||
Saul Centers, Inc. | 25,254 | 1,147,794 | |||
Sunstone Hotel Investors, Inc. (A) | 124,867 | 1,550,848 | |||
Terreno Realty Corp. | 27,065 | 1,746,234 | |||
Washington Real Estate Investment Trust | 30,849 | 709,527 | |||
13,546,983 | |||||
Real estate management and development – 0.9% | |||||
The St. Joe Company | 36,936 | 1,647,715 | |||
15,194,698 | |||||
Utilities – 4.0% | |||||
Electric utilities – 1.2% | |||||
IDACORP, Inc. | 9,801 | 955,598 | |||
MGE Energy, Inc. | 15,352 | 1,142,803 | |||
2,098,401 | |||||
Gas utilities – 1.9% | |||||
Chesapeake Utilities Corp. | 16,647 | 2,003,134 | |||
ONE Gas, Inc. | 16,378 | 1,213,937 | |||
3,217,071 | |||||
Multi-utilities – 0.3% | |||||
NorthWestern Corp. | 8,500 | 511,870 | |||
Water utilities – 0.6% | |||||
California Water Service Group | 18,676 | 1,037,265 | |||
6,864,607 | |||||
TOTAL COMMON STOCKS (Cost $116,400,499) | $ | 170,394,106 |
Shares or Principal Amount | Value | ||||
WARRANTS – 0.0% | |||||
Advantage Solutions, Inc. (Expiration Date: 10-28-25; Strike Price: $11.50) (A) | 4,703 | $ | 11,710 | ||
TOTAL WARRANTS (Cost $6,099) | $ | 11,710 | |||
SHORT-TERM INVESTMENTS – 2.3% | |||||
Short-term funds – 2.3% | |||||
John Hancock Collateral Trust, 0.0324% (C)(D) | 51,594 | 516,177 | |||
State Street Institutional U.S. Government Money Market Fund, Premier Class, 0.0250% (C) | 500,063 | 500,063 | |||
T. Rowe Price Government Reserve Fund, 0.0295% (C) | 2,985,047 | 2,985,047 | |||
TOTAL SHORT-TERM INVESTMENTS (Cost $4,001,292) | $ | 4,001,287 | |||
Total Investments (Small Company Value Trust) (Cost $120,407,890) – 100.3% | $ | 174,407,103 | |||
Other assets and liabilities, net – (0.3%) | (588,980) | ||||
TOTAL NET ASSETS – 100.0% | $ | 173,818,123 |
Security Abbreviations and Legend | |
(A) | Non-income producing security. |
(B) | All or a portion of this security is on loan as of 6-30-21. |
(C) | The rate shown is the annualized seven-day yield as of 6-30-21. |
(D) | Investment is an affiliate of the fund, the advisor and/or subadvisor. This security represents the investment of cash collateral received for securities lending. |
Shares or Principal Amount | Value | ||||
COMMON STOCKS – 94.8% | |||||
Communication services – 7.7% | |||||
Diversified telecommunication services – 1.3% | |||||
Anterix, Inc. (A) | 2,009 | $ | 120,520 | ||
AT&T, Inc. | 970,059 | 27,918,298 | |||
ATN International, Inc. | 1,985 | 90,298 | |||
Bandwidth, Inc., Class A (A) | 3,872 | 534,026 | |||
BT Group PLC (A) | 1,451,743 | 3,901,339 | |||
Cellnex Telecom SA (A)(B) | 82,874 | 5,285,807 | |||
Cincinnati Bell, Inc. (A) | 8,721 | 134,478 | |||
Cogent Communications Holdings, Inc. | 7,104 | 546,227 | |||
Consolidated Communications Holdings, Inc. (A) | 12,758 | 112,143 | |||
Deutsche Telekom AG | 542,116 | 11,465,755 | |||
Elisa OYJ | 23,134 | 1,380,535 | |||
Globalstar, Inc. (A) | 103,242 | 183,771 | |||
HKT Trust & HKT, Ltd. | 616,421 | 839,611 | |||
IDT Corp., Class B (A) | 3,547 | 131,097 | |||
Iliad SA | 2,412 | 353,402 | |||
Infrastrutture Wireless Italiane SpA (B) | 54,663 | 617,280 | |||
Iridium Communications, Inc. (A) | 52,207 | 2,087,758 | |||
Koninklijke KPN NV | 546,867 | 1,710,410 | |||
Liberty Latin America, Ltd., Class A (A) | 10,763 | 149,175 | |||
Liberty Latin America, Ltd., Class C (A) | 22,862 | 322,354 | |||
Lumen Technologies, Inc. | 135,152 | 1,836,716 | |||
Nippon Telegraph & Telephone Corp. | 209,416 | 5,475,219 | |||
Ooma, Inc. (A) | 4,124 | 77,779 | |||
Orange SA | 324,492 | 3,703,358 | |||
ORBCOMM, Inc. (A) | 12,961 | 145,682 | |||
Proximus SADP | 24,740 | 478,200 | |||
Radius Global Infrastructure, Inc., Class A (A) | 7,750 | 112,375 |
The accompanying notes are an integral part of the financial statements. | 134 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Diversified telecommunication services (continued) | |||||
Singapore Telecommunications, Ltd. | 1,084,233 | $ | 1,849,826 | ||
Singapore Telecommunications, Ltd. | 258,829 | 439,364 | |||
Spark New Zealand, Ltd. | 301,197 | 1,011,026 | |||
Swisscom AG | 4,213 | 2,407,259 | |||
Telecom Italia SpA | 1,620,838 | 806,477 | |||
Telecom Italia SpA, Savings Shares | 980,259 | 519,975 | |||
Telefonica Deutschland Holding AG | 169,330 | 446,984 | |||
Telefonica SA | 849,436 | 3,964,722 | |||
Telenor ASA | 113,811 | 1,919,428 | |||
Telia Company AB | 432,359 | 1,920,305 | |||
Telstra Corp., Ltd. | 677,056 | 1,909,560 | |||
United Internet AG | 15,777 | 645,233 | |||
Verizon Communications, Inc. | 562,480 | 31,515,754 | |||
119,069,526 | |||||
Entertainment – 1.4% | |||||
Activision Blizzard, Inc. | 105,568 | 10,075,410 | |||
AMC Entertainment Holdings, Inc., Class A (A)(C) | 68,538 | 3,884,734 | |||
Bollore SA | 143,765 | 771,207 | |||
Capcom Company, Ltd. | 28,600 | 835,938 | |||
Chicken Soup For The Soul Entertainment, Inc. (A) | 2,202 | 91,163 | |||
Cinemark Holdings, Inc. (A) | 47,922 | 1,051,888 | |||
CuriosityStream, Inc. (A) | 4,717 | 64,340 | |||
Electronic Arts, Inc. | 38,883 | 5,592,542 | |||
Embracer Group AB (A) | 41,712 | 1,127,824 | |||
Eros STX Global Corp. (A)(C) | 55,782 | 85,346 | |||
IMAX Corp. (A) | 8,443 | 181,525 | |||
Koei Tecmo Holdings Company, Ltd. | 9,600 | 466,724 | |||
Konami Holdings Corp. | 15,209 | 910,865 | |||
Liberty Media Corp.-Liberty Braves, Class A (A) | 3,662 | 103,342 | |||
Liberty Media Corp.-Liberty Braves, Class C (A) | 4,520 | 125,520 | |||
Lions Gate Entertainment Corp., Class A (A) | 9,166 | 189,736 | |||
Lions Gate Entertainment Corp., Class B (A) | 20,151 | 368,763 | |||
Live Nation Entertainment, Inc. (A) | 19,628 | 1,719,217 | |||
Madison Square Garden Entertainment Corp. (A) | 3,193 | 268,116 | |||
Netflix, Inc. (A) | 60,242 | 31,820,427 | |||
Nexon Company, Ltd. | 79,406 | 1,767,142 | |||
Nintendo Company, Ltd. | 18,239 | 10,554,414 | |||
Sea, Ltd., ADR (A) | 2,200 | 604,120 | |||
Square Enix Holdings Company, Ltd. | 14,000 | 691,388 | |||
Take-Two Interactive Software, Inc. (A) | 15,713 | 2,781,515 | |||
The Marcus Corp. (A)(C) | 4,188 | 88,827 | |||
The Walt Disney Company (A) | 246,853 | 43,389,352 | |||
Toho Company, Ltd. | 18,208 | 750,751 | |||
Ubisoft Entertainment SA (A) | 15,064 | 1,052,486 | |||
Vivendi SE (C) | 115,741 | 3,888,796 | |||
World Wrestling Entertainment, Inc., Class A | 12,362 | 715,636 | |||
126,019,054 | |||||
Interactive media and services – 3.5% | |||||
Adevinta ASA (A) | 44,563 | 854,850 | |||
Alphabet, Inc., Class A (A) | 40,860 | 99,771,539 | |||
Alphabet, Inc., Class C (A) | 38,687 | 96,962,002 | |||
Auto Trader Group PLC (A)(B) | 157,147 | 1,376,294 | |||
CarGurus, Inc. (A) | 15,683 | 411,365 | |||
Cars.com, Inc. (A) | 11,604 | 166,285 | |||
Eventbrite, Inc., Class A (A) | 12,657 | 240,483 | |||
EverQuote, Inc., Class A (A) | 3,289 | 107,485 | |||
Facebook, Inc., Class A (A) | 325,533 | 113,191,079 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Interactive media and services (continued) | |||||
FuboTV, Inc. (A) | 22,170 | $ | 711,879 | ||
Kakaku.com, Inc. | 21,900 | 658,842 | |||
Liberty TripAdvisor Holdings, Inc., Class A (A) | 13,882 | 56,500 | |||
MediaAlpha, Inc., Class A (A) | 3,496 | 147,182 | |||
QuinStreet, Inc. (A) | 8,533 | 158,543 | |||
REA Group, Ltd. | 8,596 | 1,089,193 | |||
Scout24 AG (B) | 14,571 | 1,229,410 | |||
SEEK, Ltd. | 54,549 | 1,356,033 | |||
TripAdvisor, Inc. (A) | 26,779 | 1,079,194 | |||
TrueCar, Inc. (A) | 17,493 | 98,835 | |||
Twitter, Inc. (A) | 108,435 | 7,461,412 | |||
Yelp, Inc. (A) | 31,236 | 1,248,191 | |||
Z Holdings Corp. | 431,554 | 2,159,694 | |||
330,536,290 | |||||
Media – 1.0% | |||||
Advantage Solutions, Inc. (A) | 12,890 | 139,083 | |||
AMC Networks, Inc., Class A (A) | 4,920 | 328,656 | |||
Audacy, Inc. (A) | 20,632 | 88,924 | |||
Boston Omaha Corp., Class A (A) | 3,091 | 98,016 | |||
Cable One, Inc. | 1,483 | 2,836,697 | |||
Cardlytics, Inc. (A) | 5,393 | 684,533 | |||
Charter Communications, Inc., Class A (A) | 18,712 | 13,499,772 | |||
Clear Channel Outdoor Holdings, Inc. (A) | 62,349 | 164,601 | |||
Comcast Corp., Class A | 622,909 | 35,518,271 | |||
comScore, Inc. (A) | 13,402 | 67,010 | |||
CyberAgent, Inc. | 65,800 | 1,409,243 | |||
Daily Journal Corp. (A) | 225 | 76,163 | |||
Dentsu Group, Inc. (C) | 35,165 | 1,261,641 | |||
Discovery, Inc., Series A (A)(C) | 22,913 | 702,971 | |||
Discovery, Inc., Series C (A) | 40,819 | 1,182,935 | |||
DISH Network Corp., Class A (A) | 33,757 | 1,411,043 | |||
Entravision Communications Corp., Class A | 11,420 | 76,286 | |||
Fox Corp., Class A | 44,419 | 1,649,277 | |||
Fox Corp., Class B | 20,646 | 726,739 | |||
Gannett Company, Inc. (A) | 24,111 | 132,369 | |||
Gray Television, Inc. | 14,294 | 334,480 | |||
Hakuhodo DY Holdings, Inc. | 37,973 | 591,414 | |||
iHeartMedia, Inc., Class A (A) | 18,819 | 506,796 | |||
Informa PLC (A) | 244,325 | 1,697,999 | |||
John Wiley & Sons, Inc., Class A | 18,937 | 1,139,629 | |||
Loral Space & Communications, Inc. | 2,344 | 91,064 | |||
MDC Partners, Inc., Class A (A) | 12,174 | 71,218 | |||
Meredith Corp. (A) | 6,707 | 291,352 | |||
MSG Networks, Inc., Class A (A) | 5,380 | 78,440 | |||
National CineMedia, Inc. | 12,012 | 60,901 | |||
News Corp., Class A | 53,147 | 1,369,598 | |||
News Corp., Class B | 16,544 | 402,846 | |||
Omnicom Group, Inc. | 29,221 | 2,337,388 | |||
Pearson PLC | 122,587 | 1,411,701 | |||
Publicis Groupe SA | 36,266 | 2,320,842 | |||
Schibsted ASA, B Shares | 15,835 | 658,229 | |||
Schibsted ASA, Class A | 11,893 | 573,732 | |||
Scholastic Corp. | 4,894 | 185,434 | |||
Sinclair Broadcast Group, Inc., Class A | 7,882 | 261,840 | |||
TechTarget, Inc. (A) | 4,288 | 332,277 | |||
TEGNA, Inc. | 97,158 | 1,822,684 | |||
The EW Scripps Company, Class A | 9,832 | 200,474 | |||
The Interpublic Group of Companies, Inc. | 53,445 | 1,736,428 | |||
The New York Times Company, Class A | 39,668 | 1,727,541 | |||
ViacomCBS, Inc., Class B | 82,277 | 3,718,920 | |||
WideOpenWest, Inc. (A) | 8,957 | 185,499 | |||
WPP PLC | 199,299 | 2,694,095 | |||
88,857,051 |
The accompanying notes are an integral part of the financial statements. | 135 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Wireless telecommunication services – 0.5% | |||||
Gogo, Inc. (A) | 10,194 | $ | 116,008 | ||
KDDI Corp. | 262,343 | 8,173,475 | |||
Shenandoah Telecommunications Company | 8,208 | 398,170 | |||
SoftBank Corp. | 467,200 | 6,108,633 | |||
SoftBank Group Corp. | 203,974 | 14,225,516 | |||
Tele2 AB, B Shares (C) | 81,461 | 1,110,634 | |||
Telephone & Data Systems, Inc. | 43,958 | 996,088 | |||
T-Mobile US, Inc. (A) | 79,618 | 11,531,075 | |||
United States Cellular Corp. (A) | 2,522 | 91,574 | |||
Vodafone Group PLC | 4,364,588 | 7,315,173 | |||
50,066,346 | |||||
714,548,267 | |||||
Consumer discretionary – 11.9% | |||||
Auto components – 0.5% | |||||
Adient PLC (A) | 41,658 | 1,882,942 | |||
Aisin Corp. | 23,958 | 1,027,258 | |||
American Axle & Manufacturing Holdings, Inc. (A) | 19,031 | 196,971 | |||
Aptiv PLC (A) | 36,746 | 5,781,248 | |||
BorgWarner, Inc. | 32,586 | 1,581,724 | |||
Bridgestone Corp. (C) | 92,906 | 4,222,797 | |||
Cie Generale des Etablissements Michelin SCA | 27,556 | 4,397,809 | |||
Continental AG | 17,892 | 2,632,292 | |||
Cooper-Standard Holdings, Inc. (A) | 3,020 | 87,580 | |||
Dana, Inc. | 64,049 | 1,521,804 | |||
Denso Corp. | 70,495 | 4,807,159 | |||
Dorman Products, Inc. (A) | 4,488 | 465,271 | |||
Faurecia SE | 19,084 | 938,174 | |||
Fox Factory Holding Corp. (A) | 18,565 | 2,889,828 | |||
Gentex Corp. | 65,970 | 2,182,947 | |||
Gentherm, Inc. (A) | 5,597 | 397,667 | |||
Koito Manufacturing Company, Ltd. | 16,966 | 1,055,671 | |||
LCI Industries | 4,156 | 546,182 | |||
Lear Corp. | 14,947 | 2,619,910 | |||
Modine Manufacturing Company (A) | 8,842 | 146,689 | |||
Motorcar Parts of America, Inc. (A) | 3,696 | 82,938 | |||
Patrick Industries, Inc. | 3,855 | 281,415 | |||
Standard Motor Products, Inc. | 3,404 | 147,563 | |||
Stanley Electric Company, Ltd. | 21,167 | 611,541 | |||
Stoneridge, Inc. (A) | 4,492 | 132,514 | |||
Sumitomo Electric Industries, Ltd. | 122,643 | 1,811,427 | |||
Tenneco, Inc., Class A (A) | 11,926 | 230,410 | |||
The Goodyear Tire & Rubber Company (A) | 122,629 | 2,103,087 | |||
Toyota Industries Corp. | 23,853 | 2,062,691 | |||
Valeo SA | 37,350 | 1,126,606 | |||
Visteon Corp. (A) | 12,286 | 1,485,869 | |||
XL Fleet Corp. (A)(C) | 6,822 | 56,827 | |||
XPEL, Inc. (A) | 3,031 | 254,210 | |||
49,769,021 | |||||
Automobiles – 1.9% | |||||
Arcimoto, Inc. (A)(C) | 4,909 | 84,386 | |||
Bayerische Motoren Werke AG | 53,853 | 5,709,254 | |||
Canoo, Inc. (A)(C) | 13,676 | 135,939 | |||
Daimler AG | 139,207 | 12,439,342 | |||
Ferrari NV | 20,502 | 4,232,559 | |||
Fisker, Inc. (A) | 26,775 | 516,222 | |||
Ford Motor Company (A) | 532,688 | 7,915,744 | |||
General Motors Company (A) | 173,441 | 10,262,504 | |||
Harley-Davidson, Inc. | 41,970 | 1,923,065 | |||
Honda Motor Company, Ltd. | 265,173 | 8,528,821 | |||
Isuzu Motors, Ltd. | 89,746 | 1,190,899 | |||
Lordstown Motors Corp., Class A (A) | 19,061 | 210,815 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Automobiles (continued) | |||||
Mazda Motor Corp. (A) | 92,500 | $ | 872,691 | ||
Nissan Motor Company, Ltd. (A) | 377,576 | 1,880,964 | |||
Renault SA (A) | 31,265 | 1,267,404 | |||
Stellantis NV | 329,847 | 6,489,207 | |||
Subaru Corp. | 100,127 | 1,984,466 | |||
Suzuki Motor Corp. | 59,943 | 2,540,359 | |||
Tesla, Inc. (A) | 104,704 | 71,167,309 | |||
Thor Industries, Inc. | 15,122 | 1,708,786 | |||
Toyota Motor Corp. | 345,000 | 30,157,842 | |||
Volkswagen AG | 5,280 | 1,735,353 | |||
Winnebago Industries, Inc. | 5,417 | 368,139 | |||
Workhorse Group, Inc. (A)(C) | 21,021 | 348,738 | |||
Yamaha Motor Company, Ltd. | 45,513 | 1,236,232 | |||
174,907,040 | |||||
Distributors – 0.1% | |||||
Core-Mark Holding Company, Inc. | 7,567 | 340,591 | |||
Funko, Inc., Class A (A)(C) | 4,582 | 97,505 | |||
Genuine Parts Company | 19,628 | 2,482,353 | |||
LKQ Corp. (A) | 37,768 | 1,858,941 | |||
Pool Corp. | 5,452 | 2,500,614 | |||
7,280,004 | |||||
Diversified consumer services – 0.1% | |||||
2U, Inc. (A) | 12,151 | 506,332 | |||
Adtalem Global Education, Inc. (A) | 21,857 | 778,983 | |||
American Public Education, Inc. (A) | 3,383 | 95,874 | |||
Carriage Services, Inc. | 3,005 | 111,095 | |||
Coursera, Inc. (A) | 2,046 | 80,940 | |||
Graham Holdings Company, Class B | 1,741 | 1,103,620 | |||
Grand Canyon Education, Inc. (A) | 12,658 | 1,138,840 | |||
H&R Block, Inc. | 49,553 | 1,163,504 | |||
Houghton Mifflin Harcourt Company (A) | 21,635 | 238,850 | |||
Laureate Education, Inc., Class A (A) | 18,131 | 263,081 | |||
OneSpaWorld Holdings, Ltd. (A) | 9,648 | 93,489 | |||
Perdoceo Education Corp. (A) | 12,292 | 150,823 | |||
Service Corp. International | 45,924 | 2,461,067 | |||
Strategic Education, Inc. | 10,901 | 829,130 | |||
Stride, Inc. (A) | 6,841 | 219,801 | |||
Vivint Smart Home, Inc. (A) | 15,688 | 207,082 | |||
WW International, Inc. (A) | 22,008 | 795,369 | |||
10,237,880 | |||||
Hotels, restaurants and leisure – 1.8% | |||||
Accel Entertainment, Inc. (A) | 9,831 | 116,694 | |||
Accor SA (A) | 27,634 | 1,033,611 | |||
Aristocrat Leisure, Ltd. | 93,473 | 3,017,544 | |||
Bally's Corp. (A) | 5,499 | 297,551 | |||
BJ's Restaurants, Inc. (A) | 3,945 | 193,857 | |||
Bloomin' Brands, Inc. (A) | 15,030 | 407,914 | |||
Bluegreen Vacations Holding Corp. (A) | 3,418 | 61,524 | |||
Booking Holdings, Inc. (A) | 5,578 | 12,205,166 | |||
Boyd Gaming Corp. (A) | 22,041 | 1,355,301 | |||
Brinker International, Inc. (A) | 7,654 | 473,400 | |||
Caesars Entertainment, Inc. (A) | 28,354 | 2,941,728 | |||
Carnival Corp. (A) | 108,459 | 2,858,979 | |||
Century Casinos, Inc. (A) | 5,247 | 70,467 | |||
Chipotle Mexican Grill, Inc. (A) | 3,825 | 5,930,051 | |||
Choice Hotels International, Inc. | 7,891 | 937,924 | |||
Churchill Downs, Inc. | 9,469 | 1,877,324 | |||
Chuy's Holdings, Inc. (A) | 3,537 | 131,789 | |||
Compass Group PLC (A) | 290,148 | 6,112,812 | |||
Cracker Barrel Old Country Store, Inc. | 10,479 | 1,555,712 | |||
Crown Resorts, Ltd. (A) | 60,575 | 540,689 | |||
Darden Restaurants, Inc. | 17,777 | 2,595,264 | |||
Dave & Buster's Entertainment, Inc. (A) | 7,331 | 297,639 | |||
Del Taco Restaurants, Inc. | 6,183 | 61,892 |
The accompanying notes are an integral part of the financial statements. | 136 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Hotels, restaurants and leisure (continued) | |||||
Denny's Corp. (A) | 11,144 | $ | 183,765 | ||
Dine Brands Global, Inc. (A) | 2,724 | 243,117 | |||
Domino's Pizza Enterprises, Ltd. | 9,851 | 890,807 | |||
Domino's Pizza, Inc. | 5,275 | 2,460,735 | |||
Drive Shack, Inc. (A) | 15,281 | 50,580 | |||
El Pollo Loco Holdings, Inc. (A) | 3,912 | 71,550 | |||
Entain PLC (A) | 95,188 | 2,300,086 | |||
Everi Holdings, Inc. (A) | 14,099 | 351,629 | |||
Evolution AB (B) | 27,628 | 4,370,253 | |||
Expedia Group, Inc. (A) | 19,217 | 3,146,015 | |||
Fiesta Restaurant Group, Inc. (A) | 3,571 | 47,959 | |||
Flutter Entertainment PLC (A) | 27,070 | 4,908,501 | |||
Full House Resorts, Inc. (A) | 6,187 | 61,499 | |||
Galaxy Entertainment Group, Ltd. (A) | 353,153 | 2,823,841 | |||
GAN, Ltd. (A) | 7,045 | 115,820 | |||
Genting Singapore, Ltd. | 983,521 | 612,606 | |||
Golden Entertainment, Inc. (A) | 2,984 | 133,683 | |||
Golden Nugget Online Gaming, Inc. (A) | 5,742 | 73,268 | |||
Hilton Grand Vacations, Inc. (A) | 14,358 | 594,278 | |||
Hilton Worldwide Holdings, Inc. (A) | 37,842 | 4,564,502 | |||
InterContinental Hotels Group PLC (A) | 29,709 | 1,980,122 | |||
International Game Technology PLC (A) | 16,799 | 402,504 | |||
Jack in the Box, Inc. | 9,960 | 1,109,942 | |||
La Francaise des Jeux SAEM (B) | 15,533 | 913,614 | |||
Las Vegas Sands Corp. (A) | 44,632 | 2,351,660 | |||
Lindblad Expeditions Holdings, Inc. (A) | 5,490 | 87,895 | |||
Marriott International, Inc., Class A (A) | 36,279 | 4,952,809 | |||
Marriott Vacations Worldwide Corp. (A) | 11,661 | 1,857,597 | |||
McDonald's Corp. | 101,377 | 23,417,073 | |||
McDonald's Holdings Company Japan, Ltd. | 12,961 | 571,148 | |||
Melco Resorts & Entertainment, Ltd., ADR (A) | 34,900 | 578,293 | |||
MGM Resorts International | 55,316 | 2,359,227 | |||
Monarch Casino & Resort, Inc. (A) | 2,294 | 151,794 | |||
NeoGames SA (A) | 973 | 59,810 | |||
Noodles & Company (A) | 7,601 | 94,860 | |||
Norwegian Cruise Line Holdings, Ltd. (A) | 50,260 | 1,478,147 | |||
Oriental Land Company, Ltd. | 32,500 | 4,630,131 | |||
Papa John's International, Inc. | 14,631 | 1,528,062 | |||
Penn National Gaming, Inc. (A) | 20,181 | 1,543,645 | |||
PlayAGS, Inc. (A) | 5,031 | 49,807 | |||
RCI Hospitality Holdings, Inc. | 1,504 | 99,565 | |||
Red Robin Gourmet Burgers, Inc. (A) | 2,828 | 93,635 | |||
Red Rock Resorts, Inc., Class A (A) | 10,417 | 442,723 | |||
Royal Caribbean Cruises, Ltd. (A) | 29,744 | 2,536,568 | |||
Rush Street Interactive, Inc. (A) | 9,046 | 110,904 | |||
Ruth's Hospitality Group, Inc. (A) | 5,969 | 137,466 | |||
Sands China, Ltd. (A) | 394,682 | 1,661,279 | |||
Scientific Games Corp. (A) | 31,680 | 2,453,299 | |||
SeaWorld Entertainment, Inc. (A) | 8,653 | 432,131 | |||
Shake Shack, Inc., Class A (A) | 6,305 | 674,761 | |||
Six Flags Entertainment Corp. (A) | 20,757 | 898,363 | |||
SJM Holdings, Ltd. (A) | 322,826 | 352,388 | |||
Sodexo SA (A) | 14,390 | 1,344,884 | |||
Starbucks Corp. | 160,087 | 17,899,327 | |||
Tabcorp Holdings, Ltd. | 360,620 | 1,399,187 | |||
Texas Roadhouse, Inc. | 29,695 | 2,856,659 | |||
The Cheesecake Factory, Inc. (A) | 7,346 | 398,006 | |||
The Wendy's Company | 48,367 | 1,132,755 | |||
Travel + Leisure Company | 23,539 | 1,399,394 | |||
Whitbread PLC (A) | 32,829 | 1,419,129 | |||
Wingstop, Inc. | 13,154 | 2,073,465 | |||
Wyndham Hotels & Resorts, Inc. | 25,510 | 1,844,118 | |||
Wynn Macau, Ltd. (A) | 253,870 | 399,311 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Hotels, restaurants and leisure (continued) | |||||
Wynn Resorts, Ltd. (A) | 14,299 | $ | 1,748,768 | ||
Yum! Brands, Inc. | 40,473 | 4,655,609 | |||
171,661,160 | |||||
Household durables – 0.8% | |||||
Aterian, Inc. (A) | 3,528 | 51,615 | |||
Barratt Developments PLC | 165,629 | 1,594,789 | |||
Bassett Furniture Industries, Inc. | 1,870 | 45,535 | |||
Beazer Homes USA, Inc. (A) | 5,055 | 97,511 | |||
Casio Computer Company, Ltd. | 31,548 | 529,364 | |||
Casper Sleep, Inc. (A) | 5,759 | 47,454 | |||
Cavco Industries, Inc. (A) | 1,573 | 349,505 | |||
Century Communities, Inc. | 5,053 | 336,227 | |||
D.R. Horton, Inc. | 44,569 | 4,027,701 | |||
Electrolux AB, Series B | 36,685 | 1,016,612 | |||
Ethan Allen Interiors, Inc. | 4,055 | 111,918 | |||
Flexsteel Industries, Inc. | 1,307 | �� | 52,790 | ||
Garmin, Ltd. | 20,362 | 2,945,160 | |||
GoPro, Inc., Class A (A) | 20,868 | 243,112 | |||
Green Brick Partners, Inc. (A) | 5,332 | 121,250 | |||
Hamilton Beach Brands Holding Company, Class B | 853 | 18,996 | |||
Helen of Troy, Ltd. (A) | 10,775 | 2,457,993 | |||
Hooker Furniture Corp. | 2,266 | 78,494 | |||
Hovnanian Enterprises, Inc., Class A (A) | 879 | 93,429 | |||
Husqvarna AB, B Shares | 68,018 | 903,975 | |||
Iida Group Holdings Company, Ltd. | 23,900 | 614,756 | |||
Installed Building Products, Inc. | 4,008 | 490,419 | |||
iRobot Corp. (A) | 4,671 | 436,225 | |||
KB Home | 39,235 | 1,597,649 | |||
La-Z-Boy, Inc. | 7,649 | 283,319 | |||
Leggett & Platt, Inc. | 18,102 | 937,865 | |||
Lennar Corp., A Shares | 37,466 | 3,722,247 | |||
LGI Homes, Inc. (A) | 3,744 | 606,303 | |||
M/I Homes, Inc. (A) | 4,759 | 279,211 | |||
MDC Holdings, Inc. | 9,562 | 483,837 | |||
Meritage Homes Corp. (A) | 6,258 | 588,753 | |||
Mohawk Industries, Inc. (A) | 7,955 | 1,528,871 | |||
Newell Brands, Inc. | 51,426 | 1,412,672 | |||
NVR, Inc. (A) | 464 | 2,307,611 | |||
Panasonic Corp. | 359,209 | 4,136,117 | |||
Persimmon PLC | 51,897 | 2,125,888 | |||
PulteGroup, Inc. | 35,933 | 1,960,864 | |||
Purple Innovation, Inc. (A) | 8,478 | 223,904 | |||
Rinnai Corp. | 5,878 | 559,480 | |||
SEB SA | 4,500 | 814,065 | |||
Sekisui Chemical Company, Ltd. | 62,044 | 1,062,318 | |||
Sekisui House, Ltd. | 100,226 | 2,058,117 | |||
Sharp Corp. | 34,800 | 574,121 | |||
Skyline Champion Corp. (A) | 8,945 | 476,769 | |||
Sonos, Inc. (A) | 20,248 | 713,337 | |||
Sony Group Corp. | 205,100 | 19,887,976 | |||
Taylor Morrison Home Corp. (A) | 56,007 | 1,479,705 | |||
Taylor Wimpey PLC | 592,948 | 1,304,923 | |||
Tempur Sealy International, Inc. | 50,027 | 1,960,558 | |||
The Berkeley Group Holdings PLC | 19,969 | 1,269,723 | |||
The Lovesac Company (A) | 2,173 | 173,384 | |||
Toll Brothers, Inc. | 30,664 | 1,772,686 | |||
TopBuild Corp. (A) | 9,030 | 1,785,953 | |||
Tri Pointe Homes, Inc. (A) | 52,015 | 1,114,681 | |||
Tupperware Brands Corp. (A) | 8,501 | 201,899 | |||
Universal Electronics, Inc. (A) | 2,374 | 115,139 | |||
Vuzix Corp. (A) | 9,948 | 182,546 | |||
Whirlpool Corp. | 8,508 | 1,854,914 | |||
78,222,235 |
The accompanying notes are an integral part of the financial statements. | 137 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Internet and direct marketing retail – 2.6% | |||||
1-800-Flowers.com, Inc., Class A (A) | 4,482 | $ | 142,841 | ||
Amazon.com, Inc. (A) | 58,241 | 200,358,359 | |||
CarParts.com, Inc. (A) | 8,121 | 165,344 | |||
Delivery Hero SE (A)(B) | 25,542 | 3,374,765 | |||
eBay, Inc. | 87,930 | 6,173,565 | |||
Etsy, Inc. (A) | 17,269 | 3,554,651 | |||
Groupon, Inc. (A) | 3,950 | 170,482 | |||
HelloFresh SE (A) | 26,865 | 2,611,521 | |||
Just Eat Takeaway.com NV (A)(B) | 29,178 | 2,698,486 | |||
Lands' End, Inc. (A) | 2,501 | 102,666 | |||
Liquidity Services, Inc. (A) | 4,583 | 116,637 | |||
Magnite, Inc. (A) | 17,715 | 599,476 | |||
Mercari, Inc. (A) | 16,600 | 877,533 | |||
Ocado Group PLC (A) | 79,166 | 2,193,522 | |||
Overstock.com, Inc. (A) | 7,236 | 667,159 | |||
PetMed Express, Inc. (C) | 3,494 | 111,284 | |||
Porch Group, Inc. (A) | 2,790 | 53,959 | |||
Prosus NV (A) | 79,275 | 7,766,379 | |||
Quotient Technology, Inc. (A) | 15,101 | 163,242 | |||
Rakuten Group, Inc. | 140,805 | 1,589,850 | |||
Revolve Group, Inc. (A) | 6,049 | 416,776 | |||
Shutterstock, Inc. | 3,931 | 385,906 | |||
Stamps.com, Inc. (A) | 2,985 | 597,866 | |||
Stitch Fix, Inc., Class A (A) | 9,970 | 601,191 | |||
The RealReal, Inc. (A) | 13,345 | 263,697 | |||
Zalando SE (A)(B) | 26,987 | 3,263,806 | |||
Zalando SE (Nasdaq Stockholm Exchange) (A)(B) | 8,375 | 1,014,082 | |||
ZOZO, Inc. | 20,300 | 688,286 | |||
240,723,331 | |||||
Leisure products – 0.2% | |||||
Acushnet Holdings Corp. | 5,711 | 282,123 | |||
American Outdoor Brands, Inc. (A) | 2,578 | 90,591 | |||
AMMO, Inc. (A) | 11,555 | 113,123 | |||
Bandai Namco Holdings, Inc. | 32,493 | 2,248,820 | |||
Brunswick Corp. | 21,276 | 2,119,515 | |||
Callaway Golf Company (A) | 51,181 | 1,726,335 | |||
Clarus Corp. | 4,467 | 114,802 | |||
Genius Brands International, Inc. (A) | 49,112 | 90,366 | |||
Hasbro, Inc. | 17,382 | 1,642,947 | |||
Johnson Outdoors, Inc., Class A | 927 | 112,167 | |||
Latham Group, Inc. (A) | 3,942 | 125,986 | |||
Malibu Boats, Inc., Class A (A) | 3,528 | 258,708 | |||
MasterCraft Boat Holdings, Inc. (A) | 3,518 | 92,488 | |||
Mattel, Inc. (A) | 95,260 | 1,914,726 | |||
Nautilus, Inc. (A) | 5,202 | 87,654 | |||
Polaris, Inc. | 15,723 | 2,153,422 | |||
Shimano, Inc. | 12,081 | 2,874,359 | |||
Smith & Wesson Brands, Inc. | 8,903 | 308,934 | |||
Sturm Ruger & Company, Inc. | 2,817 | 253,474 | |||
Vista Outdoor, Inc. (A) | 9,820 | 454,470 | |||
Yamaha Corp. | 21,773 | 1,182,000 | |||
YETI Holdings, Inc. (A) | 20,492 | 1,881,575 | |||
20,128,585 | |||||
Multiline retail – 0.5% | |||||
Big Lots, Inc. | 5,848 | 386,026 | |||
Dillard's, Inc., Class A (C) | 1,060 | 191,733 | |||
Dollar General Corp. | 32,091 | 6,944,171 | |||
Dollar Tree, Inc. (A) | 31,514 | 3,135,643 | |||
Franchise Group, Inc. | 4,917 | 173,423 | |||
Kohl's Corp. | 42,671 | 2,351,599 | |||
Macy's, Inc. (A) | 52,805 | 1,001,183 | |||
Next PLC (A) | 21,624 | 2,353,421 | |||
Nordstrom, Inc. (A) | 29,733 | 1,087,336 | |||
Ollie's Bargain Outlet Holdings, Inc. (A) | 15,513 | 1,305,109 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Multiline retail (continued) | |||||
Pan Pacific International Holdings Corp. | 67,000 | $ | 1,393,263 | ||
Ryohin Keikaku Company, Ltd. | 41,060 | 861,359 | |||
Target Corp. | 67,214 | 16,248,312 | |||
Wesfarmers, Ltd. | 184,419 | 8,175,856 | |||
45,608,434 | |||||
Specialty retail – 1.8% | |||||
ABC-Mart, Inc. | 5,364 | 308,513 | |||
Abercrombie & Fitch Company, Class A (A) | 10,284 | 477,486 | |||
Academy Sports & Outdoors, Inc. (A) | 10,441 | 430,587 | |||
Advance Auto Parts, Inc. | 8,891 | 1,823,900 | |||
American Eagle Outfitters, Inc. | 66,675 | 2,502,313 | |||
America's Car-Mart, Inc. (A) | 1,068 | 151,357 | |||
Asbury Automotive Group, Inc. (A) | 3,261 | 558,838 | |||
At Home Group, Inc. (A) | 11,063 | 407,561 | |||
AutoNation, Inc. (A) | 14,727 | 1,396,267 | |||
AutoZone, Inc. (A) | 2,937 | 4,382,650 | |||
Barnes & Noble Education, Inc. (A) | 7,169 | 51,688 | |||
Bed Bath & Beyond, Inc. (A) | 18,492 | 615,599 | |||
Best Buy Company, Inc. | 30,287 | 3,482,399 | |||
Big 5 Sporting Goods Corp. | 3,670 | 94,246 | |||
Blink Charging Company (A) | 6,218 | 255,995 | |||
Boot Barn Holdings, Inc. (A) | 4,847 | 407,390 | |||
Caleres, Inc. | 6,378 | 174,056 | |||
Camping World Holdings, Inc., Class A | 7,201 | 295,169 | |||
CarMax, Inc. (A) | 22,166 | 2,862,739 | |||
Chico's FAS, Inc. (A) | 20,661 | 135,949 | |||
Chow Tai Fook Jewellery Group, Ltd. | 325,200 | 743,025 | |||
Citi Trends, Inc. (A) | 1,535 | 133,545 | |||
Conn's, Inc. (A) | 3,115 | 79,433 | |||
Designer Brands, Inc., Class A (A) | 10,163 | 168,198 | |||
Dick's Sporting Goods, Inc. | 17,899 | 1,793,301 | |||
Fast Retailing Company, Ltd. | 9,446 | 7,100,441 | |||
Five Below, Inc. (A) | 15,293 | 2,955,678 | |||
Foot Locker, Inc. | 28,208 | 1,738,459 | |||
Genesco, Inc. (A) | 2,536 | 161,492 | |||
Group 1 Automotive, Inc. | 2,967 | 458,194 | |||
GrowGeneration Corp. (A) | 9,179 | 441,510 | |||
Guess?, Inc. | 6,786 | 179,150 | |||
Haverty Furniture Companies, Inc. | 2,965 | 126,783 | |||
Hennes & Mauritz AB, B Shares (A) | 118,789 | 2,821,170 | |||
Hibbett, Inc. (A) | 2,777 | 248,903 | |||
Hikari Tsushin, Inc. | 3,400 | 597,536 | |||
Industria de Diseno Textil SA | 177,423 | 6,264,240 | |||
JD Sports Fashion PLC | 83,898 | 1,067,656 | |||
Kingfisher PLC | 343,313 | 1,732,733 | |||
Kirkland's, Inc. (A) | 2,622 | 59,991 | |||
L Brands, Inc. | 31,829 | 2,293,598 | |||
Lithia Motors, Inc. | 8,127 | 2,792,762 | |||
Lowe's Companies, Inc. | 96,040 | 18,628,879 | |||
Lumber Liquidators Holdings, Inc. (A) | 5,060 | 106,766 | |||
MarineMax, Inc. (A) | 3,666 | 178,681 | |||
Monro, Inc. | 5,649 | 358,768 | |||
Murphy USA, Inc. | 11,069 | 1,476,273 | |||
National Vision Holdings, Inc. (A) | 13,805 | 705,850 | |||
Nitori Holdings Company, Ltd. | 13,011 | 2,297,704 | |||
OneWater Marine, Inc., Class A | 1,912 | 80,361 | |||
O'Reilly Automotive, Inc. (A) | 9,478 | 5,366,538 | |||
Party City Holdco, Inc. (A) | 18,789 | 175,301 | |||
Rent-A-Center, Inc. | 11,136 | 590,988 | |||
RH (A) | 4,595 | 3,120,005 | |||
Ross Stores, Inc. | 48,450 | 6,007,800 | |||
Sally Beauty Holdings, Inc. (A) | 19,150 | 422,641 | |||
Shift Technologies, Inc. (A) | 11,131 | 95,504 | |||
Shoe Carnival, Inc. | 1,494 | 106,955 |
The accompanying notes are an integral part of the financial statements. | 138 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Specialty retail (continued) | |||||
Signet Jewelers, Ltd. (A) | 8,806 | $ | 711,437 | ||
Sleep Number Corp. (A) | 4,010 | 440,900 | |||
Sonic Automotive, Inc., Class A | 3,746 | 167,596 | |||
Sportsman's Warehouse Holdings, Inc. (A) | 7,536 | 133,915 | |||
The Aaron's Company, Inc. | 5,778 | 184,838 | |||
The Buckle, Inc. | 5,011 | 249,297 | |||
The Cato Corp., Class A | 3,844 | 64,848 | |||
The Children's Place, Inc. (A) | 2,373 | 220,831 | |||
The Container Store Group, Inc. (A) | 5,791 | 75,515 | |||
The Gap, Inc. | 28,216 | 949,468 | |||
The Home Depot, Inc. | 144,457 | 46,065,893 | |||
The ODP Corp. (A) | 8,222 | 394,738 | |||
The TJX Companies, Inc. | 163,850 | 11,046,767 | |||
Tilly's, Inc., Class A | 4,371 | 69,849 | |||
Tractor Supply Company | 15,659 | 2,913,514 | |||
TravelCenters of America, Inc. (A) | 2,394 | 70,001 | |||
Ulta Beauty, Inc. (A) | 7,440 | 2,572,529 | |||
Urban Outfitters, Inc. (A) | 30,275 | 1,247,936 | |||
USS Company, Ltd. | 35,648 | 623,141 | |||
Williams-Sonoma, Inc. | 20,810 | 3,322,317 | |||
Winmark Corp. | 631 | 121,202 | |||
Yamada Holdings Company, Ltd. | 110,008 | 508,690 | |||
Zumiez, Inc. (A) | 3,717 | 182,096 | |||
166,828,832 | |||||
Textiles, apparel and luxury goods – 1.6% | |||||
adidas AG | 30,968 | 11,555,944 | |||
Burberry Group PLC (A) | 65,841 | 1,882,999 | |||
Capri Holdings, Ltd. (A) | 41,331 | 2,363,720 | |||
Carter's, Inc. | 12,006 | 1,238,659 | |||
Cie Financiere Richemont SA, A Shares | 84,903 | 10,292,669 | |||
Columbia Sportswear Company | 8,349 | 821,208 | |||
Crocs, Inc. (A) | 28,679 | 3,341,677 | |||
Deckers Outdoor Corp. (A) | 7,596 | 2,917,396 | |||
EssilorLuxottica SA | 46,412 | 8,573,838 | |||
Fossil Group, Inc. (A) | 8,237 | 117,624 | |||
G-III Apparel Group, Ltd. (A) | 7,558 | 248,356 | |||
Hanesbrands, Inc. | 47,431 | 885,537 | |||
Hermes International | 5,151 | 7,516,915 | |||
Kering SA | 12,201 | 10,690,726 | |||
Kontoor Brands, Inc. | 8,707 | 491,162 | |||
LVMH Moet Hennessy Louis Vuitton SE | 45,154 | 35,520,700 | |||
Moncler SpA | 31,516 | 2,136,404 | |||
Movado Group, Inc. | 2,795 | 87,959 | |||
NIKE, Inc., Class B | 173,219 | 26,760,603 | |||
Oxford Industries, Inc. | 2,723 | 269,141 | |||
Pandora A/S | 16,265 | 2,194,374 | |||
PLBY Group, Inc. (A)(C) | 1,884 | 73,269 | |||
Puma SE | 17,172 | 2,049,494 | |||
PVH Corp. (A) | 9,682 | 1,041,686 | |||
Ralph Lauren Corp. | 6,555 | 772,245 | |||
Rocky Brands, Inc. | 1,323 | 73,559 | |||
Skechers USA, Inc., Class A (A) | 36,646 | 1,826,070 | |||
Steven Madden, Ltd. | 13,729 | 600,781 | |||
Tapestry, Inc. (A) | 37,886 | 1,647,283 | |||
The Swatch Group AG | 8,562 | 565,354 | |||
The Swatch Group AG, Bearer Shares | 4,705 | 1,615,766 | |||
Under Armour, Inc., Class A (A) | 25,626 | 541,990 | |||
Under Armour, Inc., Class C (A) | 26,696 | 495,745 | |||
Unifi, Inc. (A) | 2,388 | 58,172 | |||
Vera Bradley, Inc. (A) | 5,141 | 63,697 | |||
VF Corp. | 43,689 | 3,584,246 | |||
Wolverine World Wide, Inc. | 13,664 | 459,657 | |||
145,376,625 | |||||
1,110,743,147 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Consumer staples – 6.6% | |||||
Beverages – 1.5% | |||||
Anheuser-Busch InBev SA/NV | 123,933 | $ | 8,934,182 | ||
Asahi Group Holdings, Ltd. (C) | 74,181 | 3,467,125 | |||
Brown-Forman Corp., Class B | 24,816 | 1,859,711 | |||
Budweiser Brewing Company APAC, Ltd. (B) | 280,000 | 881,651 | |||
Carlsberg A/S, Class B | 16,755 | 3,126,750 | |||
Celsius Holdings, Inc. (A) | 7,713 | 586,882 | |||
Coca-Cola Consolidated, Inc. | 800 | 321,704 | |||
Coca-Cola Europacific Partners PLC | 68,358 | 4,054,997 | |||
Coca-Cola HBC AG | 32,592 | 1,179,721 | |||
Constellation Brands, Inc., Class A | 22,961 | 5,370,348 | |||
Davide Campari-Milano NV | 85,022 | 1,139,651 | |||
Diageo PLC | 380,554 | 18,239,376 | |||
Duckhorn Portfolio, Inc. (A) | 3,280 | 72,357 | |||
Heineken Holding NV | 18,740 | 1,891,030 | |||
Heineken NV | 42,159 | 5,118,076 | |||
Ito En, Ltd. | 8,700 | 516,344 | |||
Kirin Holdings Company, Ltd. | 133,792 | 2,611,060 | |||
MGP Ingredients, Inc. | 2,398 | 162,201 | |||
Molson Coors Beverage Company, Class B (A) | 25,591 | 1,373,981 | |||
Monster Beverage Corp. (A) | 50,268 | 4,591,982 | |||
National Beverage Corp. | 3,993 | 188,589 | |||
NewAge, Inc. (A)(C) | 24,661 | 54,994 | |||
PepsiCo, Inc. | 187,712 | 27,813,287 | |||
Pernod Ricard SA | 34,075 | 7,573,589 | |||
Primo Water Corp. | 26,127 | 437,105 | |||
Remy Cointreau SA | 3,696 | 763,307 | |||
Suntory Beverage & Food, Ltd. (C) | 22,659 | 854,070 | |||
The Boston Beer Company, Inc., Class A (A) | 2,540 | 2,592,832 | |||
The Coca-Cola Company | 527,216 | 28,527,658 | |||
Treasury Wine Estates, Ltd. | 117,342 | 1,027,481 | |||
135,332,041 | |||||
Food and staples retailing – 1.2% | |||||
Aeon Company, Ltd. | 106,378 | 2,855,690 | |||
BJ's Wholesale Club Holdings, Inc. (A) | 60,416 | 2,874,593 | |||
Carrefour SA | 99,739 | 1,962,805 | |||
Casey's General Stores, Inc. | 10,091 | 1,964,112 | |||
Coles Group, Ltd. | 216,964 | 2,779,252 | |||
Cosmos Pharmaceutical Corp. | 3,300 | 484,871 | |||
Costco Wholesale Corp. | 60,061 | 23,764,336 | |||
Endeavour Group, Ltd. (A) | 205,812 | 970,854 | |||
Etablissements Franz Colruyt NV | 8,858 | 495,597 | |||
Grocery Outlet Holding Corp. (A) | 23,787 | 824,457 | |||
ICA Gruppen AB | 16,358 | 761,482 | |||
Ingles Markets, Inc., Class A | 2,754 | 160,476 | |||
J Sainsbury PLC | 271,353 | 1,021,338 | |||
Jeronimo Martins SGPS SA | 40,943 | 747,109 | |||
Kesko OYJ, B Shares | 44,425 | 1,640,455 | |||
Kobe Bussan Company, Ltd. | 22,200 | 699,443 | |||
Koninklijke Ahold Delhaize NV | 170,080 | 5,064,906 | |||
Lawson, Inc. | 8,189 | 379,286 | |||
Performance Food Group Company (A) | 22,223 | 1,077,593 | |||
PriceSmart, Inc. | 3,951 | 359,581 | |||
Rite Aid Corp. (A) | 9,321 | 151,932 | |||
Seven & i Holdings Company, Ltd. | 122,529 | 5,869,239 | |||
SpartanNash Company | 6,507 | 125,650 | |||
Sprouts Farmers Market, Inc. (A) | 52,592 | 1,306,911 | |||
Sysco Corp. | 69,505 | 5,404,014 | |||
Tesco PLC | 1,257,560 | 3,884,829 | |||
The Andersons, Inc. | 5,534 | 168,953 | |||
The Chefs' Warehouse, Inc. (A) | 5,451 | 173,505 | |||
The Kroger Company | 102,861 | 3,940,605 |
The accompanying notes are an integral part of the financial statements. | 139 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Food and staples retailing (continued) | |||||
Tsuruha Holdings, Inc. | 6,398 | $ | 744,632 | ||
United Natural Foods, Inc. (A) | 9,376 | 346,724 | |||
Walgreens Boots Alliance, Inc. | 97,474 | 5,128,107 | |||
Walmart, Inc. | 186,546 | 26,306,717 | |||
Weis Markets, Inc. | 3,208 | 165,725 | |||
Welcia Holdings Company, Ltd. | 15,300 | 500,288 | |||
Wm Morrison Supermarkets PLC | 391,923 | 1,337,682 | |||
Woolworths Group, Ltd. | 205,812 | 5,889,602 | |||
112,333,351 | |||||
Food products – 1.6% | |||||
a2 Milk Company, Ltd. (A) | 120,788 | 543,494 | |||
Ajinomoto Company, Inc. | 75,896 | 1,971,750 | |||
AppHarvest, Inc. (A) | 8,209 | 131,344 | |||
Archer-Daniels-Midland Company | 75,907 | 4,599,964 | |||
Associated British Foods PLC | 57,945 | 1,778,729 | |||
B&G Foods, Inc. (C) | 10,711 | 351,321 | |||
Barry Callebaut AG | 580 | 1,347,964 | |||
Calavo Growers, Inc. | 2,911 | 184,616 | |||
Cal-Maine Foods, Inc. | 6,103 | 220,990 | |||
Campbell Soup Company | 27,582 | 1,257,463 | |||
Chocoladefabriken Lindt & Spruengli AG | 18 | 1,885,940 | |||
Chocoladefabriken Lindt & Spruengli AG, Participation Certificates | 168 | 1,672,452 | |||
Conagra Brands, Inc. | 65,207 | 2,372,231 | |||
Danone SA | 106,096 | 7,464,374 | |||
Darling Ingredients, Inc. (A) | 44,566 | 3,008,205 | |||
Flowers Foods, Inc. | 53,778 | 1,301,428 | |||
Fresh Del Monte Produce, Inc. | 5,780 | 190,046 | |||
General Mills, Inc. | 82,872 | 5,049,391 | |||
Hormel Foods Corp. | 38,297 | 1,828,682 | |||
Hostess Brands, Inc. (A) | 22,095 | 357,718 | |||
Ingredion, Inc. | 18,293 | 1,655,517 | |||
J&J Snack Foods Corp. | 2,484 | 433,234 | |||
JDE Peet's NV (A) | 12,192 | 442,528 | |||
John B. Sanfilippo & Son, Inc. | 1,577 | 139,675 | |||
Kellogg Company | 34,233 | 2,202,209 | |||
Kerry Group PLC, Class A | 24,662 | 3,448,008 | |||
Kerry Group PLC, Class A (London Stock Exchange) | 1,204 | 167,156 | |||
Kikkoman Corp. | 23,646 | 1,559,413 | |||
Lamb Weston Holdings, Inc. | 19,874 | 1,603,037 | |||
Lancaster Colony Corp. | 8,503 | 1,645,416 | |||
Landec Corp. (A) | 5,751 | 64,699 | |||
Limoneira Company | 3,593 | 63,057 | |||
McCormick & Company, Inc. | 33,830 | 2,987,866 | |||
MEIJI Holdings Company, Ltd. | 19,900 | 1,192,506 | |||
Mission Produce, Inc. (A)(C) | 6,366 | 131,840 | |||
Mondelez International, Inc., Class A | 190,848 | 11,916,549 | |||
Mowi ASA | 71,492 | 1,820,152 | |||
Nestle SA | 468,594 | 58,408,863 | |||
NH Foods, Ltd. | 13,441 | 522,483 | |||
Nisshin Seifun Group, Inc. | 32,200 | 472,071 | |||
Nissin Foods Holdings Company, Ltd. | 10,275 | 739,872 | |||
Orkla ASA | 122,161 | 1,244,960 | |||
Pilgrim's Pride Corp. (A) | 13,310 | 295,216 | |||
Post Holdings, Inc. (A) | 16,162 | 1,753,092 | |||
Sanderson Farms, Inc. | 8,850 | 1,663,535 | |||
Seneca Foods Corp., Class A (A) | 1,276 | 65,178 | |||
Tattooed Chef, Inc. (A)(C) | 7,922 | 169,927 | |||
The Hain Celestial Group, Inc. (A) | 22,334 | 896,040 | |||
The Hershey Company | 19,888 | 3,464,092 | |||
The J.M. Smucker Company | 14,889 | 1,929,168 | |||
The Kraft Heinz Company | 88,075 | 3,591,699 | |||
The Simply Good Foods Company (A) | 14,435 | 527,022 | |||
Tootsie Roll Industries, Inc. | 7,481 | 253,681 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Food products (continued) | |||||
Toyo Suisan Kaisha, Ltd. | 14,450 | $ | 556,940 | ||
TreeHouse Foods, Inc. (A) | 24,038 | 1,070,172 | |||
Tyson Foods, Inc., Class A | 40,049 | 2,954,014 | |||
Utz Brands, Inc. | 9,932 | 216,418 | |||
Vital Farms, Inc. (A)(C) | 4,348 | 86,786 | |||
WH Group, Ltd. (B) | 1,559,000 | 1,399,361 | |||
Whole Earth Brands, Inc. (A) | 6,887 | 99,862 | |||
Wilmar International, Ltd. | 312,503 | 1,047,745 | |||
Yakult Honsha Company, Ltd. | 20,903 | 1,183,577 | |||
153,602,738 | |||||
Household products – 0.9% | |||||
Central Garden & Pet Company (A) | 2,972 | 157,308 | |||
Central Garden & Pet Company, Class A (A) | 5,376 | 259,661 | |||
Church & Dwight Company, Inc. | 33,320 | 2,839,530 | |||
Colgate-Palmolive Company | 114,935 | 9,349,962 | |||
Energizer Holdings, Inc. | 27,346 | 1,175,331 | |||
Essity AB, B Shares | 98,984 | 3,283,315 | |||
Henkel AG & Company KGaA | 16,903 | 1,556,584 | |||
Kimberly-Clark Corp. | 45,844 | 6,133,010 | |||
Lion Corp. | 36,500 | 618,698 | |||
Pigeon Corp. | 18,800 | 530,234 | |||
Reckitt Benckiser Group PLC | 115,932 | 10,242,610 | |||
The Clorox Company | 16,897 | 3,039,939 | |||
The Procter & Gamble Company | 332,623 | 44,880,821 | |||
Unicharm Corp. | 65,600 | 2,642,385 | |||
WD-40 Company | 2,298 | 588,954 | |||
87,298,342 | |||||
Personal products – 0.8% | |||||
Beauty Health Company (A) | 7,977 | 134,014 | |||
Beiersdorf AG | 16,395 | 1,978,974 | |||
BellRing Brands, Inc., Class A (A) | 6,760 | 211,858 | |||
Coty, Inc., Class A (A) | 77,420 | 723,103 | |||
Edgewell Personal Care Company | 9,131 | 400,851 | |||
elf Beauty, Inc. (A) | 7,774 | 210,986 | |||
Inter Parfums, Inc. | 3,092 | 222,624 | |||
Kao Corp. | 78,375 | 4,832,608 | |||
Kobayashi Pharmaceutical Company, Ltd. | 8,700 | 743,890 | |||
Kose Corp. | 5,400 | 848,324 | |||
L'Oreal SA | 40,977 | 18,300,070 | |||
Medifast, Inc. | 1,963 | 555,490 | |||
Nu Skin Enterprises, Inc., Class A | 22,058 | 1,249,586 | |||
Pola Orbis Holdings, Inc. | 14,872 | 392,143 | |||
Shiseido Company, Ltd. | 65,060 | 4,798,745 | |||
The Estee Lauder Companies, Inc., Class A | 31,506 | 10,021,428 | |||
The Honest Company, Inc. (A) | 4,680 | 75,769 | |||
Unilever PLC | 147,136 | 8,597,678 | |||
Unilever PLC (Euronext Amsterdam Exchange) | 280,510 | 16,440,397 | |||
USANA Health Sciences, Inc. (A) | 2,126 | 217,766 | |||
Veru, Inc. (A) | 11,033 | 89,036 | |||
71,045,340 | |||||
Tobacco – 0.6% | |||||
22nd Century Group, Inc. (A) | 26,294 | 121,741 | |||
Altria Group, Inc. | 251,432 | 11,988,278 | |||
British American Tobacco PLC | 354,500 | 13,763,658 | |||
Imperial Brands PLC | 153,933 | 3,319,215 | |||
Japan Tobacco, Inc. (C) | 195,166 | 3,688,307 | |||
Philip Morris International, Inc. | 211,747 | 20,986,245 | |||
Swedish Match AB | 263,819 | 2,249,881 | |||
Turning Point Brands, Inc. | 2,562 | 117,263 | |||
Universal Corp. | 4,036 | 229,931 |
The accompanying notes are an integral part of the financial statements. | 140 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Tobacco (continued) | |||||
Vector Group, Ltd. | 24,368 | $ | 344,564 | ||
56,809,083 | |||||
616,420,895 | |||||
Energy – 2.9% | |||||
Energy equipment and services – 0.2% | |||||
Archrock, Inc. | 22,375 | 199,361 | |||
Aspen Aerogels, Inc. (A) | 3,977 | 118,992 | |||
Baker Hughes Company | 98,829 | 2,260,219 | |||
Cactus, Inc., Class A | 9,139 | 335,584 | |||
ChampionX Corp. (A) | 85,246 | 2,186,560 | |||
DMC Global, Inc. (A) | 3,215 | 180,715 | |||
Dril-Quip, Inc. (A) | 5,747 | 194,421 | |||
Frank's International NV (A) | 28,923 | 87,637 | |||
FTS International, Inc., Class A (A) | 1,609 | 45,519 | |||
Halliburton Company | 120,879 | 2,794,722 | |||
Helix Energy Solutions Group, Inc. (A) | 24,466 | 139,701 | |||
Helmerich & Payne, Inc. | 17,339 | 565,772 | |||
Liberty Oilfield Services, Inc., Class A (A) | 14,672 | 207,756 | |||
Nabors Industries, Ltd. (A) | 1,206 | 137,773 | |||
National Energy Services Reunited Corp. (A) | 5,231 | 74,542 | |||
Newpark Resources, Inc. (A) | 17,218 | 59,574 | |||
NexTier Oilfield Solutions, Inc. (A) | 29,754 | 141,629 | |||
NOV, Inc. (A) | 53,073 | 813,078 | |||
Oceaneering International, Inc. (A) | 16,882 | 262,853 | |||
Oil States International, Inc. (A) | 11,091 | 87,064 | |||
Patterson-UTI Energy, Inc. | 31,528 | 313,388 | |||
ProPetro Holding Corp. (A) | 14,649 | 134,185 | |||
RPC, Inc. (A) | 11,596 | 57,400 | |||
Schlumberger NV | 189,981 | 6,081,292 | |||
Select Energy Services, Inc., Class A (A) | 11,011 | 66,506 | |||
Solaris Oilfield Infrastructure, Inc., Class A | 6,284 | 61,206 | |||
Tenaris SA | 76,806 | 840,279 | |||
TETRA Technologies, Inc. (A) | 21,496 | 93,293 | |||
Tidewater, Inc. (A) | 7,445 | 89,712 | |||
U.S. Silica Holdings, Inc. (A) | 12,517 | 144,697 | |||
18,775,430 | |||||
Oil, gas and consumable fuels – 2.7% | |||||
Aemetis, Inc. (A)(C) | 4,166 | 46,534 | |||
Alto Ingredients, Inc. (A) | 12,726 | 77,756 | |||
Ampol, Ltd. | 38,760 | 820,380 | |||
Antero Midstream Corp. | 78,227 | 812,779 | |||
Antero Resources Corp. (A) | 48,148 | 723,664 | |||
APA Corp. | 51,352 | 1,110,744 | |||
Arch Resources, Inc. (A) | 2,536 | 144,501 | |||
Berry Corp. | 11,878 | 79,820 | |||
Bonanza Creek Energy, Inc. | 5,133 | 241,610 | |||
BP PLC | 3,309,479 | 14,513,357 | |||
Brigham Minerals, Inc., Class A | 7,628 | 162,400 | |||
Cabot Oil & Gas Corp. | 54,298 | 948,043 | |||
California Resources Corp. (A) | 14,117 | 425,486 | |||
Callon Petroleum Company (A) | 6,714 | 387,331 | |||
Centennial Resource Development, Inc., Class A (A) | 30,630 | 207,671 | |||
Centrus Energy Corp., Class A (A) | 1,861 | 47,232 | |||
Chesapeake Energy Corp. | 16,551 | 859,328 | |||
Chevron Corp. | 262,590 | 27,503,677 | |||
Cimarex Energy Company | 28,084 | 2,034,686 | |||
Clean Energy Fuels Corp. (A)(C) | 23,619 | 239,733 | |||
CNX Resources Corp. (A) | 96,597 | 1,319,515 | |||
Comstock Resources, Inc. (A) | 15,876 | 105,893 | |||
ConocoPhillips | 183,336 | 11,165,162 | |||
CONSOL Energy, Inc. (A) | 5,919 | 109,324 | |||
Contango Oil & Gas Company (A) | 25,504 | 110,177 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Oil, gas and consumable fuels (continued) | |||||
CVR Energy, Inc. | 5,126 | $ | 92,063 | ||
Delek US Holdings, Inc. | 11,167 | 241,431 | |||
Denbury, Inc. (A) | 8,488 | 651,709 | |||
Devon Energy Corp. | 80,929 | 2,362,318 | |||
DHT Holdings, Inc. | 23,594 | 153,125 | |||
Diamond S Shipping, Inc. (A) | 5,823 | 57,997 | |||
Diamondback Energy, Inc. | 24,591 | 2,308,849 | |||
Dorian LPG, Ltd. (A) | 5,199 | 73,410 | |||
Earthstone Energy, Inc., Class A (A) | 4,744 | 52,516 | |||
ENEOS Holdings, Inc. | 499,111 | 2,091,674 | |||
Energy Fuels, Inc. (A)(C) | 23,982 | 145,091 | |||
Eni SpA | 410,515 | 5,004,808 | |||
EOG Resources, Inc. | 79,290 | 6,615,958 | |||
EQT Corp. (A) | 76,231 | 1,696,902 | |||
Equinor ASA | 158,960 | 3,364,945 | |||
Equitrans Midstream Corp. | 180,034 | 1,532,089 | |||
Extraction Oil & Gas, Inc. (A) | 2,683 | 147,324 | |||
Exxon Mobil Corp. | 575,180 | 36,282,354 | |||
Frontline, Ltd. (C) | 20,019 | 180,171 | |||
Galp Energia SGPS SA | 81,530 | 886,448 | |||
Gevo, Inc. (A) | 33,056 | 240,317 | |||
Golar LNG, Ltd. (A) | 17,198 | 227,874 | |||
Green Plains, Inc. (A) | 7,250 | 243,745 | |||
Hess Corp. | 37,293 | 3,256,425 | |||
HollyFrontier Corp. | 40,818 | 1,342,912 | |||
Idemitsu Kosan Company, Ltd. | 33,886 | 818,709 | |||
Inpex Corp. | 166,441 | 1,245,709 | |||
International Seaways, Inc. | 4,330 | 83,049 | |||
Kinder Morgan, Inc. | 264,598 | 4,823,622 | |||
Koninklijke Vopak NV | 11,248 | 511,310 | |||
Kosmos Energy, Ltd. (A) | 68,815 | 238,100 | |||
Laredo Petroleum, Inc. (A) | 2,146 | 199,127 | |||
Lundin Energy AB | 32,554 | 1,154,120 | |||
Magnolia Oil & Gas Corp., Class A (A) | 23,601 | 368,884 | |||
Marathon Oil Corp. | 107,080 | 1,458,430 | |||
Marathon Petroleum Corp. | 88,671 | 5,357,502 | |||
Matador Resources Company | 18,738 | 674,755 | |||
Meta Materials, Inc. (A) | 10,803 | 80,914 | |||
Murphy Oil Corp. | 64,269 | 1,496,182 | |||
Neste OYJ | 68,812 | 4,221,069 | |||
Nordic American Tankers, Ltd. | 26,693 | 87,553 | |||
Northern Oil and Gas, Inc. | 8,156 | 169,400 | |||
Oasis Petroleum, Inc. | 3,395 | 341,367 | |||
Occidental Petroleum Corp. | 114,135 | 3,569,001 | |||
Oil Search, Ltd. | 321,067 | 917,255 | |||
OMV AG | 23,954 | 1,366,995 | |||
ONEOK, Inc. | 60,532 | 3,368,000 | |||
Ovintiv, Inc. | 44,102 | 1,387,890 | |||
Par Pacific Holdings, Inc. (A) | 7,838 | 131,835 | |||
PBF Energy, Inc., Class A (A) | 16,307 | 249,497 | |||
PDC Energy, Inc. | 16,772 | 767,990 | |||
Peabody Energy Corp. (A) | 11,854 | 94,002 | |||
Penn Virginia Corp. (A) | 2,748 | 64,880 | |||
Phillips 66 | 59,489 | 5,105,346 | |||
Pioneer Natural Resources Company | 31,487 | 5,117,267 | |||
Range Resources Corp. (A) | 40,217 | 674,037 | |||
Renewable Energy Group, Inc. (A) | 7,546 | 470,418 | |||
Repsol SA (C) | 242,265 | 3,043,475 | |||
REX American Resources Corp. (A) | 1,000 | 90,180 | |||
Riley Exploration Permian, Inc. | 1,573 | 45,586 | |||
Royal Dutch Shell PLC, A Shares | 667,069 | 13,373,310 | |||
Royal Dutch Shell PLC, B Shares | 602,809 | 11,702,201 | |||
Santos, Ltd. | 304,930 | 1,619,640 | |||
Scorpio Tankers, Inc. | 8,252 | 181,957 | |||
SFL Corp., Ltd. | 18,262 | 139,704 |
The accompanying notes are an integral part of the financial statements. | 141 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Oil, gas and consumable fuels (continued) | |||||
SM Energy Company | 19,626 | $ | 483,388 | ||
Southwestern Energy Company (A) | 113,879 | 645,694 | |||
Talos Energy, Inc. (A) | 6,395 | 100,018 | |||
Targa Resources Corp. | 62,451 | 2,775,947 | |||
Teekay Corp. (A) | 13,587 | 50,544 | |||
Teekay Tankers, Ltd., Class A (A) | 4,213 | 60,751 | |||
Tellurian, Inc. (A)(C) | 53,765 | 250,007 | |||
The Williams Companies, Inc. | 165,041 | 4,381,839 | |||
TotalEnergies SE | 406,355 | 18,408,608 | |||
Uranium Energy Corp. (A)(C) | 36,703 | 97,630 | |||
Ur-Energy, Inc. (A) | 35,301 | 49,421 | |||
Valero Energy Corp. | 55,535 | 4,336,173 | |||
Vine Energy, Inc., Class A (A) | 3,758 | 58,587 | |||
W&T Offshore, Inc. (A) | 16,754 | 81,257 | |||
Washington H. Soul Pattinson & Company, Ltd. (C) | 17,522 | 443,108 | |||
Whiting Petroleum Corp. (A) | 6,610 | 360,576 | |||
Woodside Petroleum, Ltd. | 156,506 | 2,606,090 | |||
World Fuel Services Corp. | 27,812 | 882,475 | |||
246,331,639 | |||||
265,107,069 | |||||
Financials – 12.8% | |||||
Banks – 5.7% | |||||
1st Source Corp. | 2,498 | 116,057 | |||
ABN AMRO Bank NV (A)(B) | 68,801 | 833,686 | |||
Allegiance Bancshares, Inc. | 3,390 | 130,312 | |||
Altabancorp | 3,156 | 136,686 | |||
Amerant Bancorp, Inc. (A) | 3,702 | 79,149 | |||
American National Bankshares, Inc. | 2,333 | 72,533 | |||
Ameris Bancorp | 11,197 | 566,904 | |||
Arrow Financial Corp. | 2,776 | 99,797 | |||
Associated Banc-Corp. | 66,500 | 1,361,920 | |||
Atlantic Capital Bancshares, Inc. (A) | 3,772 | 96,035 | |||
Atlantic Union Bankshares Corp. | 13,099 | 474,446 | |||
Australia & New Zealand Banking Group, Ltd. | 462,826 | 9,769,289 | |||
Banc of California, Inc. | 7,759 | 136,093 | |||
BancFirst Corp. | 2,827 | 176,490 | |||
Banco Bilbao Vizcaya Argentaria SA (A) | 1,084,533 | 6,727,338 | |||
Banco Espirito Santo SA (A) | 625,609 | 625 | |||
Banco Santander SA (A) | 2,820,458 | 10,788,405 | |||
BancorpSouth Bank | 43,227 | 1,224,621 | |||
Bank First Corp. (C) | 1,100 | 76,747 | |||
Bank Hapoalim BM (A) | 184,692 | 1,482,821 | |||
Bank Leumi Le-Israel BM (A) | 236,313 | 1,795,677 | |||
Bank of America Corp. | 1,024,540 | 42,241,784 | |||
Bank of Hawaii Corp. | 11,033 | 929,199 | |||
Bank of Marin Bancorp | 2,768 | 88,299 | |||
Bank OZK | 33,017 | 1,391,997 | |||
BankUnited, Inc. | 15,327 | 654,310 | |||
Banner Corp. | 5,778 | 313,225 | |||
Banque Cantonale Vaudoise | 4,899 | 440,216 | |||
Bar Harbor Bankshares | 3,156 | 90,325 | |||
Barclays PLC | 2,823,737 | 6,700,946 | |||
Berkshire Hills Bancorp, Inc. | 8,565 | 234,767 | |||
Blue Ridge Bankshares, Inc. | 4,518 | 79,155 | |||
BNP Paribas SA | 182,951 | 11,481,937 | |||
BOC Hong Kong Holdings, Ltd. | 601,741 | 2,039,486 | |||
Boston Private Financial Holdings, Inc. | 13,884 | 204,789 | |||
Brookline Bancorp, Inc. | 13,482 | 201,556 | |||
Bryn Mawr Bank Corp. | 3,400 | 143,446 | |||
Business First Bancshares, Inc. | 3,662 | 84,043 | |||
Byline Bancorp, Inc. | 4,544 | 102,831 | |||
Cadence BanCorp | 20,877 | 435,912 | |||
CaixaBank SA | 723,047 | 2,226,049 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Banks (continued) | |||||
Cambridge Bancorp | 1,128 | $ | 93,613 | ||
Camden National Corp. | 2,691 | 128,522 | |||
Capital City Bank Group, Inc. | 3,242 | 83,611 | |||
Capstar Financial Holdings, Inc. | 4,156 | 85,198 | |||
Carter Bankshares, Inc. (A) | 5,440 | 68,054 | |||
Cathay General Bancorp | 32,978 | 1,298,014 | |||
CBTX, Inc. | 3,044 | 83,132 | |||
Central Pacific Financial Corp. | 4,804 | 125,192 | |||
Century Bancorp, Inc., Class A | 613 | 69,882 | |||
CIT Group, Inc. | 43,617 | 2,250,201 | |||
Citigroup, Inc. | 280,834 | 19,869,006 | |||
Citizens & Northern Corp. | 3,072 | 75,264 | |||
Citizens Financial Group, Inc. | 57,868 | 2,654,405 | |||
City Holding Company | 2,299 | 172,977 | |||
Civista Bancshares, Inc. | 3,889 | 85,947 | |||
CNB Financial Corp. | 3,816 | 87,081 | |||
Coastal Financial Corp. (A) | 2,062 | 58,891 | |||
Columbia Banking System, Inc. | 11,805 | 455,201 | |||
Comerica, Inc. | 18,968 | 1,353,177 | |||
Commerce Bancshares, Inc. | 28,769 | 2,145,017 | |||
Commerzbank AG (A) | 162,959 | 1,157,282 | |||
Commonwealth Bank of Australia | 288,557 | 21,607,902 | |||
Community Bank System, Inc. | 8,684 | 656,945 | |||
Community Trust Bancorp, Inc. | 2,708 | 109,349 | |||
Concordia Financial Group, Ltd. | 177,046 | 650,605 | |||
ConnectOne Bancorp, Inc. | 6,301 | 164,897 | |||
Credit Agricole SA | 189,758 | 2,660,329 | |||
CrossFirst Bankshares, Inc. (A) | 8,530 | 117,288 | |||
Cullen/Frost Bankers, Inc. | 15,447 | 1,730,064 | |||
Customers Bancorp, Inc. (A) | 4,984 | 194,326 | |||
CVB Financial Corp. | 20,891 | 430,146 | |||
Danske Bank A/S | 112,186 | 1,975,699 | |||
DBS Group Holdings, Ltd. | 293,283 | 6,524,755 | |||
Dime Community Bancshares, Inc. | 5,860 | 197,013 | |||
DNB ASA | 151,300 | 3,297,464 | |||
Eagle Bancorp, Inc. | 5,071 | 284,382 | |||
East West Bancorp, Inc. | 38,746 | 2,777,701 | |||
Eastern Bankshares, Inc. | 28,510 | 586,451 | |||
Enterprise Financial Services Corp. | 4,663 | 216,317 | |||
Equity Bancshares, Inc., Class A (A) | 2,899 | 88,391 | |||
Erste Group Bank AG | 45,440 | 1,670,436 | |||
Farmers National Banc Corp. | 5,740 | 89,027 | |||
FB Financial Corp. | 5,447 | 203,282 | |||
Fifth Third Bancorp | 95,643 | 3,656,432 | |||
Financial Institutions, Inc. | 3,288 | 98,640 | |||
FinecoBank Banca Fineco SpA (A) | 99,144 | 1,730,194 | |||
First Bancorp (North Carolina) | 4,755 | 194,527 | |||
First Bancorp (Puerto Rico) | 36,074 | 430,002 | |||
First Busey Corp. | 8,360 | 206,158 | |||
First Choice Bancorp | 2,327 | 70,857 | |||
First Commonwealth Financial Corp. | 15,232 | 214,314 | |||
First Community Bankshares, Inc. | 3,153 | 94,117 | |||
First Financial Bancorp | 16,026 | 378,694 | |||
First Financial Bankshares, Inc. | 60,271 | 2,961,114 | |||
First Financial Corp. | 2,349 | 95,886 | |||
First Foundation, Inc. | 6,959 | 156,647 | |||
First Horizon Corp. | 150,868 | 2,606,999 | |||
First Interstate BancSystem, Inc., Class A | 6,684 | 279,592 | |||
First Merchants Corp. | 8,993 | 374,738 | |||
First Mid Bancshares, Inc. | 3,040 | 123,150 | |||
First Midwest Bancorp, Inc. | 18,888 | 374,549 | |||
First Republic Bank | 23,910 | 4,475,235 | |||
Flushing Financial Corp. | 5,283 | 113,215 | |||
FNB Corp. | 87,232 | 1,075,571 | |||
Fulton Financial Corp. | 70,332 | 1,109,839 |
The accompanying notes are an integral part of the financial statements. | 142 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Banks (continued) | |||||
German American Bancorp, Inc. | 3,957 | $ | 147,200 | ||
Glacier Bancorp, Inc. | 41,981 | 2,312,313 | |||
Great Southern Bancorp, Inc. | 1,856 | 100,038 | |||
Great Western Bancorp, Inc. | 9,318 | 305,537 | |||
Guaranty Bancshares, Inc. | 1,949 | 66,402 | |||
Hancock Whitney Corp. | 38,144 | 1,695,119 | |||
Hang Seng Bank, Ltd. | 124,390 | 2,481,297 | |||
Hanmi Financial Corp. | 5,718 | 108,985 | |||
HarborOne Bancorp, Inc. | 9,201 | 131,942 | |||
Heartland Financial USA, Inc. | 6,216 | 292,090 | |||
Heritage Commerce Corp. | 10,968 | 122,074 | |||
Heritage Financial Corp. | 5,986 | 149,770 | |||
Hilltop Holdings, Inc. | 10,504 | 382,346 | |||
Home BancShares, Inc. | 66,608 | 1,643,885 | |||
HomeTrust Bancshares, Inc. | 3,219 | 89,810 | |||
Hope Bancorp, Inc. | 20,054 | 284,366 | |||
Horizon Bancorp, Inc. | 7,804 | 136,024 | |||
HSBC Holdings PLC | 3,312,984 | 19,120,904 | |||
Huntington Bancshares, Inc. | 200,464 | 2,860,621 | |||
Independent Bank Corp. (Massachusetts) | 5,403 | 407,927 | |||
Independent Bank Corp. (Michigan) | 4,606 | 99,996 | |||
Independent Bank Group, Inc. | 6,239 | 461,561 | |||
ING Groep NV | 634,442 | 8,421,806 | |||
International Bancshares Corp. | 24,002 | 1,030,646 | |||
Intesa Sanpaolo SpA | 2,686,301 | 7,431,211 | |||
Investors Bancorp, Inc. | 37,168 | 530,016 | |||
Israel Discount Bank, Ltd., Class A (A) | 189,328 | 901,926 | |||
Japan Post Bank Company, Ltd. | 65,900 | 554,243 | |||
JPMorgan Chase & Co. | 411,273 | 63,969,402 | |||
KBC Group NV | 40,665 | 3,104,826 | |||
KeyCorp | 131,857 | 2,722,847 | |||
Lakeland Bancorp, Inc. | 8,393 | 146,710 | |||
Lakeland Financial Corp. | 3,919 | 241,567 | |||
Live Oak Bancshares, Inc. | 5,351 | 315,709 | |||
Lloyds Banking Group PLC | 11,525,262 | 7,455,185 | |||
M&T Bank Corp. | 17,479 | 2,539,873 | |||
Macatawa Bank Corp. | 9,095 | 79,581 | |||
Mediobanca Banca di Credito Finanziario SpA (A) | 101,015 | 1,181,890 | |||
Mercantile Bank Corp. | 3,286 | 99,237 | |||
Metrocity Bankshares, Inc. | 3,509 | 61,443 | |||
Metropolitan Bank Holding Corp. (A) | 1,454 | 87,560 | |||
Mid Penn Bancorp, Inc. | 2,941 | 80,730 | |||
Midland States Bancorp, Inc. | 4,071 | 106,945 | |||
MidWestOne Financial Group, Inc. | 3,199 | 92,035 | |||
Mitsubishi UFJ Financial Group, Inc. | 1,988,168 | 10,708,782 | |||
Mizrahi Tefahot Bank, Ltd. (A) | 22,817 | 702,868 | |||
Mizuho Financial Group, Inc. | 392,350 | 5,623,356 | |||
MVB Financial Corp. | 1,902 | 81,139 | |||
National Australia Bank, Ltd. | 536,279 | 10,542,610 | |||
National Bank Holdings Corp., Class A | 4,630 | 174,736 | |||
NatWest Group PLC | 792,057 | 2,229,068 | |||
NBT Bancorp, Inc. | 6,904 | 248,337 | |||
Nicolet Bankshares, Inc. (A) | 1,564 | 110,012 | |||
Nordea Bank ABP | 526,978 | 5,868,378 | |||
Northrim BanCorp, Inc. | 2,029 | 86,740 | |||
OceanFirst Financial Corp. | 9,904 | 206,399 | |||
OFG Bancorp | 8,613 | 190,520 | |||
Old National Bancorp | 26,489 | 466,471 | |||
Old Second Bancorp, Inc. | 6,835 | 84,754 | |||
Origin Bancorp, Inc. | 3,807 | 161,645 | |||
Orrstown Financial Services, Inc. | 3,569 | 82,337 | |||
Oversea-Chinese Banking Corp., Ltd. | 546,024 | 4,866,023 | |||
Pacific Premier Bancorp, Inc. | 15,702 | 664,038 | |||
PacWest Bancorp | 31,933 | 1,314,362 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Banks (continued) | |||||
Park National Corp. | 2,335 | $ | 274,176 | ||
Peapack-Gladstone Financial Corp. | 3,532 | 109,739 | |||
Peoples Bancorp, Inc. | 3,573 | 105,832 | |||
Peoples Financial Services Corp. | 1,468 | 62,537 | |||
People's United Financial, Inc. | 58,099 | 995,817 | |||
Pinnacle Financial Partners, Inc. | 20,783 | 1,834,931 | |||
Preferred Bank | 2,362 | 149,444 | |||
Primis Financial Corp. | 6,399 | 97,649 | |||
Prosperity Bancshares, Inc. | 25,384 | 1,822,571 | |||
QCR Holdings, Inc. | 2,730 | 131,286 | |||
Raiffeisen Bank International AG | 24,077 | 546,512 | |||
RBB Bancorp | 3,218 | 77,940 | |||
Red River Bancshares, Inc. | 1,171 | 59,147 | |||
Regions Financial Corp. | 130,603 | 2,635,569 | |||
Reliant Bancorp, Inc. | 2,939 | 81,498 | |||
Renasant Corp. | 9,058 | 362,320 | |||
Republic Bancorp, Inc., Class A | 1,749 | 80,681 | |||
Resona Holdings, Inc. | 347,246 | 1,338,860 | |||
S&T Bancorp, Inc. | 6,232 | 195,062 | |||
Sandy Spring Bancorp, Inc. | 7,497 | 330,843 | |||
Seacoast Banking Corp. of Florida | 8,850 | 302,228 | |||
ServisFirst Bancshares, Inc. | 8,311 | 564,982 | |||
Sierra Bancorp | 3,470 | 88,312 | |||
Signature Bank | 15,739 | 3,866,285 | |||
Silvergate Capital Corp., Class A (A) | 3,868 | 438,322 | |||
Simmons First National Corp., Class A | 17,866 | 524,188 | |||
Skandinaviska Enskilda Banken AB, A Shares | 264,714 | 3,421,720 | |||
SmartFinancial, Inc. | 3,531 | 84,779 | |||
Societe Generale SA | 131,861 | 3,900,632 | |||
South State Corp. | 11,771 | 962,397 | |||
Southern First Bancshares, Inc. (A) | 1,790 | 91,576 | |||
Southside Bancshares, Inc. | 4,887 | 186,830 | |||
Spirit of Texas Bancshares, Inc. | 3,576 | 81,676 | |||
Standard Chartered PLC | 436,352 | 2,784,712 | |||
Sterling Bancorp | 52,604 | 1,304,053 | |||
Stock Yards Bancorp, Inc. | 3,376 | 171,805 | |||
Sumitomo Mitsui Financial Group, Inc. | 212,358 | 7,320,398 | |||
Sumitomo Mitsui Trust Holdings, Inc. | 54,983 | 1,753,969 | |||
SVB Financial Group (A) | 7,379 | 4,105,897 | |||
Svenska Handelsbanken AB, A Shares | 237,237 | 2,677,918 | |||
Swedbank AB, A Shares | 147,296 | 2,742,199 | |||
Synovus Financial Corp. | 40,586 | 1,780,914 | |||
Texas Capital Bancshares, Inc. (A) | 22,219 | 1,410,684 | |||
The Bancorp, Inc. (A) | 8,920 | 205,249 | |||
The Bank of East Asia, Ltd. | 213,399 | 396,291 | |||
The Bank of NT Butterfield & Son, Ltd. | 8,182 | 290,052 | |||
The Chiba Bank, Ltd. | 86,264 | 521,379 | |||
The First Bancshares, Inc. | 3,657 | 136,882 | |||
The First of Long Island Corp. | 4,835 | 102,647 | |||
The PNC Financial Services Group, Inc. | 57,722 | 11,011,049 | |||
The Shizuoka Bank, Ltd. | 72,608 | 563,451 | |||
Tompkins Financial Corp. | 2,310 | 179,164 | |||
Towne Bank | 10,732 | 326,467 | |||
TriCo Bancshares | 4,364 | 185,819 | |||
TriState Capital Holdings, Inc. (A) | 5,233 | 106,701 | |||
Triumph Bancorp, Inc. (A) | 3,957 | 293,807 | |||
Truist Financial Corp. | 182,714 | 10,140,627 | |||
Trustmark Corp. | 27,702 | 853,222 | |||
U.S. Bancorp | 184,176 | 10,492,507 | |||
UMB Financial Corp. | 19,063 | 1,774,003 | |||
Umpqua Holdings Corp. | 60,258 | 1,111,760 | |||
UniCredit SpA | 345,697 | 4,087,070 | |||
United Bankshares, Inc. | 57,327 | 2,092,436 | |||
United Community Banks, Inc. | 14,457 | 462,769 |
The accompanying notes are an integral part of the financial statements. | 143 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Banks (continued) | |||||
United Overseas Bank, Ltd. | 191,739 | $ | 3,692,394 | ||
Univest Financial Corp. | 5,155 | 135,937 | |||
Valley National Bancorp | 178,102 | 2,391,910 | |||
Veritex Holdings, Inc. | 7,935 | 280,978 | |||
Washington Trust Bancorp, Inc. | 2,978 | 152,920 | |||
Webster Financial Corp. | 24,696 | 1,317,285 | |||
Wells Fargo & Company | 561,597 | 25,434,728 | |||
WesBanco, Inc. | 10,863 | 387,049 | |||
West BanCorp, Inc. | 3,713 | 103,036 | |||
Westamerica Bancorporation | 4,170 | 241,985 | |||
Westpac Banking Corp. | 596,696 | 11,547,141 | |||
Wintrust Financial Corp. | 15,579 | 1,178,240 | |||
Zions Bancorp NA | 22,256 | 1,176,452 | |||
529,883,276 | |||||
Capital markets – 2.7% | |||||
3i Group PLC | 158,285 | 2,568,786 | |||
Affiliated Managers Group, Inc. | 11,372 | 1,753,676 | |||
Ameriprise Financial, Inc. | 15,747 | 3,919,113 | |||
Amundi SA (B) | 9,885 | 871,846 | |||
Artisan Partners Asset Management, Inc., Class A | 9,872 | 501,695 | |||
AssetMark Financial Holdings, Inc. (A) | 3,135 | 78,563 | |||
ASX, Ltd. | 31,488 | 1,835,615 | |||
B. Riley Financial, Inc. | 3,384 | 255,492 | |||
BGC Partners, Inc., Class A | 55,927 | 317,106 | |||
BlackRock, Inc. | 19,272 | 16,862,422 | |||
Blucora, Inc. (A) | 8,429 | 145,906 | |||
Brightsphere Investment Group, Inc. | 9,685 | 226,920 | |||
Cboe Global Markets, Inc. | 14,495 | 1,725,630 | |||
CME Group, Inc. | �� | 48,788 | 10,376,232 | ||
Cohen & Steers, Inc. | 4,169 | 342,233 | |||
Cowen, Inc., Class A | 4,414 | 181,195 | |||
Credit Suisse Group AG | 398,127 | 4,167,564 | |||
Daiwa Securities Group, Inc. | 234,908 | 1,290,488 | |||
Deutsche Bank AG (A) | 336,161 | 4,382,761 | |||
Deutsche Boerse AG | 30,903 | 5,394,003 | |||
Diamond Hill Investment Group, Inc. | 618 | 103,398 | |||
Donnelley Financial Solutions, Inc. (A) | 5,007 | 165,231 | |||
Ellington Financial, Inc. | 7,189 | 137,669 | |||
EQT AB | 38,751 | 1,407,660 | |||
Evercore, Inc., Class A | 11,184 | 1,574,372 | |||
FactSet Research Systems, Inc. | 10,338 | 3,469,536 | |||
Federated Hermes, Inc. | 41,387 | 1,403,433 | |||
Focus Financial Partners, Inc., Class A (A) | 7,483 | 362,926 | |||
Franklin Resources, Inc. | 37,000 | 1,183,630 | |||
Futu Holdings, Ltd., ADR (A) | 8,100 | 1,450,629 | |||
GCM Grosvenor, Inc., Class A | 6,030 | 62,833 | |||
Hamilton Lane, Inc., Class A | 5,760 | 524,851 | |||
Hargreaves Lansdown PLC | 57,861 | 1,273,196 | |||
Hong Kong Exchanges & Clearing, Ltd. | 195,871 | 11,660,148 | |||
Houlihan Lokey, Inc. | 8,651 | 707,565 | |||
Interactive Brokers Group, Inc., Class A | 22,076 | 1,451,055 | |||
Intercontinental Exchange, Inc. | 76,459 | 9,075,683 | |||
Invesco, Ltd. | 51,409 | 1,374,163 | |||
Janus Henderson Group PLC | 46,602 | 1,808,624 | |||
Japan Exchange Group, Inc. | 82,900 | 1,846,677 | |||
Jefferies Financial Group, Inc. | 54,638 | 1,868,620 | |||
Julius Baer Group, Ltd. | 36,402 | 2,377,530 | |||
London Stock Exchange Group PLC | 52,811 | 5,836,165 | |||
Macquarie Group, Ltd. | 55,908 | 6,550,258 | |||
Magellan Financial Group, Ltd. | 22,420 | 905,492 | |||
MarketAxess Holdings, Inc. | 5,160 | 2,392,124 | |||
Moelis & Company, Class A | 10,301 | 586,024 | |||
Moody's Corp. | 21,873 | 7,926,119 | |||
Morgan Stanley | 202,227 | 18,542,194 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Capital markets (continued) | |||||
MSCI, Inc. | 11,198 | $ | 5,969,430 | ||
Nasdaq, Inc. | 15,606 | 2,743,535 | |||
Natixis SA | 153,995 | 731,600 | |||
Nomura Holdings, Inc. | 499,613 | 2,542,773 | |||
Northern Trust Corp. | 28,278 | 3,269,502 | |||
Open Lending Corp., Class A (A) | 17,590 | 757,953 | |||
Oppenheimer Holdings, Inc., Class A | 1,632 | 82,971 | |||
Partners Group Holding AG | 3,691 | 5,595,359 | |||
Piper Sandler Companies | 2,946 | 381,684 | |||
PJT Partners, Inc., Class A | 4,034 | 287,947 | |||
Raymond James Financial, Inc. | 16,616 | 2,158,418 | |||
S&P Global, Inc. | 32,729 | 13,433,618 | |||
SBI Holdings, Inc. | 39,590 | 935,143 | |||
Schroders PLC | 20,219 | 983,326 | |||
Sculptor Capital Management, Inc. | 3,964 | 97,475 | |||
SEI Investments Company | 32,374 | 2,006,217 | |||
Singapore Exchange, Ltd. | 130,748 | 1,088,983 | |||
St. James's Place PLC | 87,537 | 1,789,843 | |||
Standard Life Aberdeen PLC | 354,951 | 1,331,601 | |||
State Street Corp. | 47,249 | 3,887,648 | |||
StepStone Group, Inc., Class A | 6,393 | 219,919 | |||
Stifel Financial Corp. | 28,703 | 1,861,677 | |||
StoneX Group, Inc. (A) | 2,812 | 170,604 | |||
T. Rowe Price Group, Inc. | 30,821 | 6,101,633 | |||
The Bank of New York Mellon Corp. | 109,613 | 5,615,474 | |||
The Charles Schwab Corp. | 203,774 | 14,836,785 | |||
The Goldman Sachs Group, Inc. | 46,223 | 17,543,015 | |||
UBS Group AG | 596,292 | 9,133,538 | |||
Virtus Investment Partners, Inc. | 1,219 | 338,602 | |||
WisdomTree Investments, Inc. | 24,387 | 151,199 | |||
251,272,523 | |||||
Consumer finance – 0.4% | |||||
Acom Company, Ltd. | 64,910 | 283,225 | |||
American Express Company | 88,402 | 14,606,662 | |||
Capital One Financial Corp. | 61,340 | 9,488,685 | |||
Curo Group Holdings Corp. | 3,793 | 64,481 | |||
Discover Financial Services | 41,423 | 4,899,927 | |||
Encore Capital Group, Inc. (A) | 5,148 | 243,964 | |||
Enova International, Inc. (A) | 6,092 | 208,407 | |||
EZCORP, Inc., Class A (A) | 9,600 | 57,888 | |||
FirstCash, Inc. | 17,979 | 1,374,315 | |||
Green Dot Corp., Class A (A) | 8,982 | 420,807 | |||
LendingClub Corp. (A) | 16,242 | 294,467 | |||
LendingTree, Inc. (A) | 4,976 | 1,054,315 | |||
Navient Corp. | 78,560 | 1,518,565 | |||
Nelnet, Inc., Class A | 2,761 | 207,710 | |||
Oportun Financial Corp. (A) | 3,784 | 75,794 | |||
PRA Group, Inc. (A) | 7,642 | 293,988 | |||
PROG Holdings, Inc. (A) | 29,695 | 1,429,220 | |||
Regional Management Corp. | 1,578 | 73,440 | |||
SLM Corp. | 88,184 | 1,846,573 | |||
Synchrony Financial | 73,486 | 3,565,541 | |||
World Acceptance Corp. (A) | 754 | 120,821 | |||
42,128,795 | |||||
Diversified financial services – 1.0% | |||||
Alerus Financial Corp. | 2,712 | 78,675 | |||
A-Mark Precious Metals, Inc. | 1,544 | 71,796 | |||
Banco Latinoamericano de Comercio Exterior SA, Class E | 5,584 | 85,826 | |||
Berkshire Hathaway, Inc., Class B (A) | 257,508 | 71,566,623 | |||
Cannae Holdings, Inc. (A) | 14,669 | 497,426 | |||
E2open Parent Holdings, Inc. (A) | 7,140 | 81,539 | |||
Eurazeo SE | 6,425 | 560,179 | |||
EXOR NV | 17,640 | 1,415,670 | |||
Groupe Bruxelles Lambert SA | 18,371 | 2,057,024 |
The accompanying notes are an integral part of the financial statements. | 144 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Diversified financial services (continued) | |||||
Industrivarden AB, A Shares | 17,382 | $ | 676,040 | ||
Industrivarden AB, C Shares | 25,971 | 950,696 | |||
Investor AB, B Shares | 296,339 | 6,830,730 | |||
Kinnevik AB, B Shares (A) | 41,478 | 1,660,941 | |||
L.E. Lundbergforetagen AB, B Shares | 12,362 | 797,851 | |||
M&G PLC | 422,870 | 1,339,611 | |||
Mitsubishi HC Capital, Inc. | 107,396 | 575,910 | |||
NewStar Financial, Inc. (A)(D) | 6,344 | 645 | |||
ORIX Corp. | 198,683 | 3,358,060 | |||
Sofina SA | 2,507 | 1,083,163 | |||
Tokyo Century Corp. | 6,000 | 322,584 | |||
Wendel SE | 4,364 | 587,265 | |||
94,598,254 | |||||
Insurance – 2.8% | |||||
Admiral Group PLC | 31,367 | 1,364,845 | |||
Aegon NV | 291,042 | 1,210,476 | |||
Aflac, Inc. | 85,877 | 4,608,162 | |||
Ageas SA/NV | 28,480 | 1,582,667 | |||
AIA Group, Ltd. | 1,967,335 | 24,405,922 | |||
Alleghany Corp. (A) | 3,804 | 2,537,534 | |||
Allianz SE | 67,059 | 16,735,027 | |||
Ambac Financial Group, Inc. (A) | 8,031 | 125,765 | |||
American Equity Investment Life Holding Company | 14,229 | 459,881 | |||
American Financial Group, Inc. | 18,827 | 2,348,103 | |||
American International Group, Inc. | 116,589 | 5,549,636 | |||
American National Group, Inc. | 1,268 | 188,361 | |||
AMERISAFE, Inc. | 3,511 | 209,572 | |||
Aon PLC, Class A | 30,657 | 7,319,665 | |||
Argo Group International Holdings, Ltd. | 5,439 | 281,903 | |||
Arthur J. Gallagher & Company | 27,836 | 3,899,267 | |||
Assicurazioni Generali SpA | 179,438 | 3,602,522 | |||
Assurant, Inc. | 8,229 | 1,285,205 | |||
Aviva PLC | 639,000 | 3,587,317 | |||
AXA SA | 314,679 | 7,990,435 | |||
Baloise Holding AG | 7,540 | 1,177,277 | |||
Brighthouse Financial, Inc. (A) | 23,433 | 1,067,139 | |||
Brown & Brown, Inc. | 63,893 | 3,395,274 | |||
BRP Group, Inc., Class A (A) | 7,936 | 211,494 | |||
Chubb, Ltd. | 61,096 | 9,710,598 | |||
Cincinnati Financial Corp. | 20,355 | 2,373,800 | |||
Citizens, Inc. (A)(C) | 11,958 | 63,258 | |||
CNO Financial Group, Inc. | 58,064 | 1,371,472 | |||
CNP Assurances | 27,920 | 475,852 | |||
Dai-ichi Life Holdings, Inc. | 165,737 | 3,049,430 | |||
Direct Line Insurance Group PLC | 221,940 | 875,378 | |||
Donegal Group, Inc., Class A | 4,746 | 69,149 | |||
eHealth, Inc. (A) | 4,125 | 240,900 | |||
Employers Holdings, Inc. | 4,886 | 209,121 | |||
Enstar Group, Ltd. (A) | 2,287 | 546,410 | |||
Everest Re Group, Ltd. | 5,446 | 1,372,446 | |||
First American Financial Corp. | 29,973 | 1,868,817 | |||
Genworth Financial, Inc., Class A (A) | 85,076 | 331,796 | |||
Gjensidige Forsikring ASA | 32,531 | 717,259 | |||
Globe Life, Inc. | 12,881 | 1,226,915 | |||
Goosehead Insurance, Inc., Class A | 3,017 | 384,064 | |||
Hannover Rueck SE | 9,808 | 1,641,937 | |||
HCI Group, Inc. (C) | 1,012 | 100,623 | |||
Horace Mann Educators Corp. | 7,109 | 266,019 | |||
Insurance Australia Group, Ltd. | 400,955 | 1,550,275 | |||
James River Group Holdings, Ltd. | 6,127 | 229,885 | |||
Japan Post Holdings Company, Ltd. (A) | 256,200 | 2,104,356 | |||
Japan Post Insurance Company, Ltd. | 36,600 | 677,213 | |||
Kemper Corp. | 16,577 | 1,225,040 | |||
Kinsale Capital Group, Inc. | 9,491 | 1,563,832 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Insurance (continued) | |||||
Legal & General Group PLC | 970,590 | $ | 3,462,662 | ||
Lincoln National Corp. | 24,313 | 1,527,829 | |||
Loews Corp. | 30,392 | 1,660,923 | |||
Maiden Holdings, Ltd. (A) | 14,444 | 48,676 | |||
Marsh & McLennan Companies, Inc. | 69,090 | 9,719,581 | |||
MBIA, Inc. (A) | 8,646 | 95,106 | |||
Medibank Private, Ltd. | 447,947 | 1,062,003 | |||
Mercury General Corp. | 7,259 | 471,472 | |||
MetLife, Inc. | 101,096 | 6,050,596 | |||
MetroMile, Inc. (A) | 6,734 | 61,616 | |||
MS&AD Insurance Group Holdings, Inc. | 72,351 | 2,091,826 | |||
Muenchener Rueckversicherungs-Gesellschaft AG | 22,787 | 6,245,021 | |||
National Western Life Group, Inc., Class A | 485 | 108,829 | |||
NN Group NV | 45,661 | 2,156,995 | |||
Old Republic International Corp. | 77,409 | 1,928,258 | |||
Palomar Holdings, Inc. (A) | 4,189 | 316,102 | |||
Phoenix Group Holdings PLC | 97,520 | 912,887 | |||
Poste Italiane SpA (B) | 84,974 | 1,124,678 | |||
Primerica, Inc. | 10,772 | 1,649,624 | |||
Principal Financial Group, Inc. | 34,370 | 2,171,840 | |||
ProAssurance Corp. | 9,405 | 213,964 | |||
Prudential Financial, Inc. | 53,530 | 5,485,219 | |||
Prudential PLC | 424,439 | 8,075,278 | |||
QBE Insurance Group, Ltd. | 239,937 | 1,936,185 | |||
Reinsurance Group of America, Inc. | 18,568 | 2,116,752 | |||
RenaissanceRe Holdings, Ltd. | 13,557 | 2,017,553 | |||
RLI Corp. | 17,581 | 1,838,797 | |||
Safety Insurance Group, Inc. | 2,608 | 204,154 | |||
Sampo OYJ, A Shares | 81,120 | 3,730,266 | |||
SCOR SE (C) | 25,790 | 821,028 | |||
Selective Insurance Group, Inc. | 26,338 | 2,137,329 | |||
Selectquote, Inc. (A) | 22,652 | 436,278 | |||
SiriusPoint, Ltd. (A) | 15,590 | 156,991 | |||
Sompo Holdings, Inc. | 51,591 | 1,910,839 | |||
State Auto Financial Corp. | 3,988 | 68,275 | |||
Stewart Information Services Corp. | 4,471 | 253,461 | |||
Suncorp Group, Ltd. | 208,291 | 1,734,077 | |||
Swiss Life Holding AG | 5,207 | 2,532,963 | |||
Swiss Re AG | 49,059 | 4,431,137 | |||
T&D Holdings, Inc. | 87,525 | 1,135,801 | |||
The Allstate Corp. | 40,669 | 5,304,864 | |||
The Hanover Insurance Group, Inc. | 9,804 | 1,329,815 | |||
The Hartford Financial Services Group, Inc. | 48,529 | 3,007,342 | |||
The Progressive Corp. | 79,501 | 7,807,793 | |||
The Travelers Companies, Inc. | 34,169 | 5,115,441 | |||
Tokio Marine Holdings, Inc. | 102,785 | 4,734,301 | |||
Trean Insurance Group, Inc. (A) | 3,449 | 52,011 | |||
Trupanion, Inc. (A) | 6,472 | 744,927 | |||
Tryg A/S | 58,563 | 1,438,468 | |||
United Fire Group, Inc. | 3,797 | 105,291 | |||
Universal Insurance Holdings, Inc. | 5,574 | 77,367 | |||
Unum Group | 27,748 | 788,043 | |||
W.R. Berkley Corp. | 19,038 | 1,416,998 | |||
Watford Holdings, Ltd. (A) | 3,167 | 110,813 | |||
Willis Towers Watson PLC | 17,523 | 4,030,640 | |||
Zurich Insurance Group AG | 24,472 | 9,829,548 | |||
259,385,827 | |||||
Mortgage real estate investment trusts – 0.1% | |||||
Apollo Commercial Real Estate Finance, Inc. | 23,810 | 379,770 | |||
Arbor Realty Trust, Inc. | 21,227 | 378,265 | |||
Ares Commercial Real Estate Corp. | 6,807 | 99,995 | |||
ARMOUR Residential REIT, Inc. | 10,418 | 118,974 |
The accompanying notes are an integral part of the financial statements. | 145 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Mortgage real estate investment trusts (continued) | |||||
Blackstone Mortgage Trust, Inc., Class A | 22,929 | $ | 731,206 | ||
BrightSpire Capital, Inc. | 15,099 | 141,931 | |||
Broadmark Realty Capital, Inc. | 21,522 | 227,918 | |||
Capstead Mortgage Corp. | 17,224 | 105,755 | |||
Chimera Investment Corp. | 38,200 | 575,292 | |||
Dynex Capital, Inc. | 5,524 | 103,078 | |||
Granite Point Mortgage Trust, Inc. | 9,603 | 141,644 | |||
Great Ajax Corp. | 4,868 | 63,187 | |||
Hannon Armstrong Sustainable Infrastructure Capital, Inc. | 12,898 | 724,223 | |||
Invesco Mortgage Capital, Inc. | 41,784 | 162,958 | |||
KKR Real Estate Finance Trust, Inc. | 5,031 | 108,821 | |||
Ladder Capital Corp. | 19,304 | 222,768 | |||
MFA Financial, Inc. | 73,218 | 336,071 | |||
New York Mortgage Trust, Inc. | 64,179 | 286,880 | |||
Orchid Island Capital, Inc. | 16,764 | 87,005 | |||
PennyMac Mortgage Investment Trust | 16,434 | 346,100 | |||
Ready Capital Corp. | 9,939 | 157,732 | |||
Redwood Trust, Inc. | 19,441 | 234,653 | |||
TPG RE Finance Trust, Inc. | 10,546 | 141,844 | |||
Two Harbors Investment Corp. | 45,965 | 347,495 | |||
6,223,565 | |||||
Thrifts and mortgage finance – 0.1% | |||||
Axos Financial, Inc. (A) | 9,312 | 431,984 | |||
Bridgewater Bancshares, Inc. (A) | 5,076 | 81,977 | |||
Capitol Federal Financial, Inc. | 20,454 | 240,948 | |||
Columbia Financial, Inc. (A) | 6,390 | 110,036 | |||
Essent Group, Ltd. | 49,410 | 2,220,980 | |||
Federal Agricultural Mortgage Corp., Class C | 1,549 | 153,196 | |||
Finance of America Companies, Inc., Class A (A)(C) | 6,083 | 46,413 | |||
Flagstar Bancorp, Inc. | 8,268 | 349,488 | |||
FS Bancorp, Inc. | 1,041 | 74,192 | |||
Home Bancorp, Inc. | 2,224 | 84,757 | |||
HomeStreet, Inc. | 3,590 | 146,257 | |||
Kearny Financial Corp. | 12,623 | 150,845 | |||
Merchants Bancorp | 1,708 | 67,022 | |||
Meridian Bancorp, Inc. | 8,088 | 165,480 | |||
Meta Financial Group, Inc. | 5,408 | 273,807 | |||
MGIC Investment Corp. | 92,676 | 1,260,394 | |||
Mr. Cooper Group, Inc. (A) | 11,981 | 396,092 | |||
New York Community Bancorp, Inc. | 127,021 | 1,399,771 | |||
NMI Holdings, Inc., Class A (A) | 14,348 | 322,543 | |||
Northfield Bancorp, Inc. | 8,241 | 135,152 | |||
Northwest Bancshares, Inc. | 19,595 | 267,276 | |||
Ocwen Financial Corp. (A) | 1,647 | 51,024 | |||
PCSB Financial Corp. | 3,751 | 68,156 | |||
PennyMac Financial Services, Inc. | 5,887 | 363,346 | |||
Premier Financial Corp. | 6,473 | 183,898 | |||
Provident Bancorp, Inc. | 4,057 | 66,170 | |||
Provident Financial Services, Inc. | 12,295 | 281,433 | |||
Radian Group, Inc. | 32,160 | 715,560 | |||
Southern Missouri Bancorp, Inc. | 1,730 | 77,781 | |||
The Hingham Institution for Savings | 282 | 81,921 | |||
TrustCo Bank Corp. | 3,574 | 122,874 | |||
Walker & Dunlop, Inc. | 4,911 | 512,610 | |||
Washington Federal, Inc. | 31,237 | 992,712 | |||
Waterstone Financial, Inc. | 5,277 | 103,746 | |||
WSFS Financial Corp. | 7,684 | 357,998 | |||
12,357,839 | |||||
1,195,850,079 | |||||
Health care – 12.4% |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Biotechnology – 1.9% | |||||
AbbVie, Inc. | 239,963 | $ | 27,029,432 | ||
ACADIA Pharmaceuticals, Inc. (A) | 20,276 | 494,532 | |||
Achillion Pharmaceuticals, Inc. (A)(D) | 23,194 | 34,879 | |||
Aduro Biotech, Inc. (A)(D) | 2,435 | 7,305 | |||
Adverum Biotechnologies, Inc. (A) | 16,094 | 56,329 | |||
Aeglea BioTherapeutics, Inc. (A) | 8,010 | 55,750 | |||
Affimed NV (A) | 20,020 | 170,170 | |||
Agenus, Inc. (A) | 33,792 | 185,518 | |||
Agios Pharmaceuticals, Inc. (A) | 10,436 | 575,128 | |||
Akebia Therapeutics, Inc. (A) | 28,335 | 107,390 | |||
Akero Therapeutics, Inc. (A)(C) | 4,557 | 113,059 | |||
Akouos, Inc. (A) | 4,724 | 59,286 | |||
Albireo Pharma, Inc. (A) | 3,048 | 107,229 | |||
Alder Biopharmaceuticals, Inc. (A)(D) | 13,115 | 19,068 | |||
Aldeyra Therapeutics, Inc. (A) | 8,575 | 97,155 | |||
Alector, Inc. (A) | 9,959 | 207,446 | |||
Alexion Pharmaceuticals, Inc. (A) | 30,028 | 5,516,444 | |||
Aligos Therapeutics, Inc. (A) | 3,348 | 68,249 | |||
Alkermes PLC (A) | 27,014 | 662,383 | |||
Allakos, Inc. (A) | 5,916 | 505,049 | |||
Allogene Therapeutics, Inc. (A) | 11,541 | 300,989 | |||
Allovir, Inc. (A) | 5,165 | 101,957 | |||
Altimmune, Inc. (A) | 5,692 | 56,066 | |||
ALX Oncology Holdings, Inc. (A) | 3,083 | 168,578 | |||
Amgen, Inc. | 78,060 | 19,027,125 | |||
Amicus Therapeutics, Inc. (A) | 44,630 | 430,233 | |||
AnaptysBio, Inc. (A) | 3,447 | 89,381 | |||
Anavex Life Sciences Corp. (A)(C) | 10,601 | 242,339 | |||
Anika Therapeutics, Inc. (A) | 2,506 | 108,485 | |||
Annexon, Inc. (A) | 5,481 | 123,377 | |||
Apellis Pharmaceuticals, Inc. (A) | 10,994 | 694,821 | |||
Applied Molecular Transport, Inc. (A)(C) | 4,192 | 191,742 | |||
Applied Therapeutics, Inc. (A) | 3,288 | 68,325 | |||
AquaBounty Technologies, Inc. (A) | 9,934 | 53,246 | |||
Arbutus Biopharma Corp. (A)(C) | 15,231 | 46,150 | |||
Arcturus Therapeutics Holdings, Inc. (A) | 3,644 | 123,313 | |||
Arcus Biosciences, Inc. (A) | 7,768 | 213,309 | |||
Arcutis Biotherapeutics, Inc. (A) | 4,840 | 132,084 | |||
Ardelyx, Inc. (A) | 15,127 | 114,663 | |||
Arena Pharmaceuticals, Inc. (A) | 10,353 | 706,075 | |||
Argenx SE (A) | 7,456 | 2,249,590 | |||
Arrowhead Pharmaceuticals, Inc. (A) | 45,503 | 3,768,558 | |||
Atara Biotherapeutics, Inc. (A) | 14,214 | 221,028 | |||
Athenex, Inc. (A) | 15,592 | 72,035 | |||
Athersys, Inc. (A)(C) | 40,645 | 58,529 | |||
Atossa Therapeutics, Inc. (A) | 20,132 | 127,234 | |||
Avid Bioservices, Inc. (A) | 10,318 | 264,657 | |||
Avidity Biosciences, Inc. (A) | 5,310 | 131,210 | |||
Avita Medical, Inc. (A) | 4,372 | 89,713 | |||
Avrobio, Inc. (A) | 6,838 | 60,790 | |||
Beam Therapeutics, Inc. (A) | 7,940 | 1,021,957 | |||
Beyondspring, Inc. (A)(C) | 4,926 | 51,427 | |||
BioAtla, Inc. (A)(C) | 2,152 | 91,202 | |||
BioCryst Pharmaceuticals, Inc. (A) | 30,127 | 476,308 | |||
Biogen, Inc. (A) | 20,455 | 7,082,953 | |||
Biohaven Pharmaceutical Holding Company, Ltd. (A) | 9,121 | 885,467 | |||
Bioxcel Therapeutics, Inc. (A) | 2,726 | 79,218 | |||
Black Diamond Therapeutics, Inc. (A) | 4,280 | 52,173 | |||
Bluebird Bio, Inc. (A) | 11,501 | 367,802 | |||
Blueprint Medicines Corp. (A) | 9,882 | 869,221 | |||
Bridgebio Pharma, Inc. (A) | 18,147 | 1,106,241 | |||
Brooklyn ImmunoTherapeutics, Inc. (A) | 4,234 | 76,254 | |||
C4 Therapeutics, Inc. (A)(C) | 5,897 | 223,142 | |||
Cardiff Oncology, Inc. (A) | 6,792 | 45,167 |
The accompanying notes are an integral part of the financial statements. | 146 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Biotechnology (continued) | |||||
CareDx, Inc. (A) | 8,464 | $ | 774,625 | ||
Catalyst Pharmaceuticals, Inc. (A) | 17,356 | 99,797 | |||
Celldex Therapeutics, Inc. (A) | 6,688 | 223,647 | |||
CEL-SCI Corp. (A)(C) | 6,071 | 52,696 | |||
Cerevel Therapeutics Holdings, Inc. (A) | 6,285 | 161,022 | |||
ChemoCentryx, Inc. (A) | 9,433 | 126,308 | |||
Chimerix, Inc. (A) | 12,872 | 102,976 | |||
Chinook Therapeutics, Inc. (A) | 5,652 | 79,806 | |||
Clene, Inc. (A) | 4,162 | 46,781 | |||
Clovis Oncology, Inc. (A)(C) | 17,159 | 99,522 | |||
Codiak Biosciences, Inc. (A) | 2,881 | 53,385 | |||
Cogent Biosciences, Inc. (A) | 6,947 | 56,340 | |||
Coherus Biosciences, Inc. (A) | 11,042 | 152,711 | |||
Constellation Pharmaceuticals, Inc. (A) | 6,272 | 211,994 | |||
Cortexyme, Inc. (A)(C) | 3,428 | 181,684 | |||
Crinetics Pharmaceuticals, Inc. (A) | 6,612 | 124,636 | |||
CSL, Ltd. | 74,008 | 15,827,975 | |||
Cue Biopharma, Inc. (A) | 5,619 | 65,461 | |||
Cullinan Oncology, Inc. (A) | 2,386 | 61,440 | |||
Curis, Inc. (A) | 14,865 | 119,961 | |||
Cytokinetics, Inc. (A) | 11,660 | 230,751 | |||
CytomX Therapeutics, Inc. (A) | 12,083 | 76,485 | |||
Deciphera Pharmaceuticals, Inc. (A) | 6,744 | 246,898 | |||
Denali Therapeutics, Inc. (A) | 15,362 | 1,204,995 | |||
DermTech, Inc. (A)(C) | 4,034 | 167,693 | |||
Design Therapeutics, Inc. (A) | 2,466 | 49,049 | |||
Dicerna Pharmaceuticals, Inc. (A) | 11,707 | 436,905 | |||
Dynavax Technologies Corp. (A) | 18,594 | 183,151 | |||
Dyne Therapeutics, Inc. (A) | 5,301 | 111,533 | |||
Eagle Pharmaceuticals, Inc. (A) | 2,167 | 92,748 | |||
Editas Medicine, Inc. (A) | 11,566 | 655,098 | |||
Eiger BioPharmaceuticals, Inc. (A) | 6,586 | 56,113 | |||
Emergent BioSolutions, Inc. (A) | 20,684 | 1,302,885 | |||
Enanta Pharmaceuticals, Inc. (A) | 3,361 | 147,918 | |||
Epizyme, Inc. (A) | 15,781 | 131,140 | |||
Esperion Therapeutics, Inc. (A)(C) | 4,687 | 99,130 | |||
Evelo Biosciences, Inc. (A)(C) | 5,436 | 74,691 | |||
Exelixis, Inc. (A) | 85,594 | 1,559,523 | |||
Fate Therapeutics, Inc. (A) | 13,531 | 1,174,355 | |||
FibroGen, Inc. (A) | 14,626 | 389,490 | |||
Flexion Therapeutics, Inc. (A) | 8,963 | 73,765 | |||
Forma Therapeutics Holdings, Inc. (A) | 5,629 | 140,106 | |||
Forte Biosciences, Inc. (A) | 2,067 | 69,493 | |||
Fortress Biotech, Inc. (A) | 14,091 | 50,305 | |||
Frequency Therapeutics, Inc. (A) | 5,894 | 58,704 | |||
G1 Therapeutics, Inc. (A) | 6,772 | 148,578 | |||
Generation Bio Company (A) | 7,520 | 202,288 | |||
Genmab A/S (A) | 10,661 | 4,368,265 | |||
Geron Corp. (A)(C) | 57,733 | 81,404 | |||
Gilead Sciences, Inc. | 170,396 | 11,733,469 | |||
Global Blood Therapeutics, Inc. (A) | 10,174 | 356,293 | |||
Gossamer Bio, Inc. (A) | 11,394 | 92,519 | |||
Grifols SA | 48,517 | 1,315,629 | |||
Gritstone bio, Inc. (A)(C) | 7,180 | 65,553 | |||
GT Biopharma, Inc. (A) | 4,293 | 66,542 | |||
Halozyme Therapeutics, Inc. (A) | 60,350 | 2,740,494 | |||
Harpoon Therapeutics, Inc. (A) | 3,565 | 49,447 | |||
Heron Therapeutics, Inc. (A) | 15,949 | 247,528 | |||
Homology Medicines, Inc. (A) | 8,371 | 60,857 | |||
Humanigen, Inc. (A) | 7,716 | 134,104 | |||
iBio, Inc. (A) | 40,821 | 61,640 | |||
Ideaya Biosciences, Inc. (A) | 4,960 | 104,110 | |||
IGM Biosciences, Inc. (A) | 1,428 | 118,810 | |||
ImmunityBio, Inc. (A) | 11,400 | 162,792 | |||
ImmunoGen, Inc. (A) | 33,666 | 221,859 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Biotechnology (continued) | |||||
Immunovant, Inc. (A) | 6,676 | $ | 70,565 | ||
Incyte Corp. (A) | 25,397 | 2,136,650 | |||
Infinity Pharmaceuticals, Inc. (A) | 16,774 | 50,154 | |||
Inhibrx, Inc. (A) | 4,952 | 136,279 | |||
Inovio Pharmaceuticals, Inc. (A)(C) | 35,049 | 324,904 | |||
Insmed, Inc. (A) | 17,497 | 497,965 | |||
Instil Bio, Inc. (A) | 3,117 | 60,220 | |||
Intellia Therapeutics, Inc. (A) | 10,779 | 1,745,228 | |||
Intercept Pharmaceuticals, Inc. (A) | 4,905 | 97,953 | |||
Invitae Corp. (A) | 33,747 | 1,138,286 | |||
Ironwood Pharmaceuticals, Inc. (A) | 24,527 | 315,662 | |||
iTeos Therapeutics, Inc. (A) | 3,606 | 92,494 | |||
IVERIC bio, Inc. (A) | 16,090 | 101,528 | |||
Kadmon Holdings, Inc. (A) | 30,891 | 119,548 | |||
KalVista Pharmaceuticals, Inc. (A) | 3,539 | 84,794 | |||
Karuna Therapeutics, Inc. (A) | 3,779 | 430,768 | |||
Karyopharm Therapeutics, Inc. (A) | 12,497 | 128,969 | |||
Keros Therapeutics, Inc. (A) | 2,732 | 116,028 | |||
Kiniksa Pharmaceuticals, Ltd., Class A (A) | 5,451 | 75,932 | |||
Kinnate Biopharma, Inc. (A) | 2,565 | 59,713 | |||
Kodiak Sciences, Inc. (A) | 5,674 | 527,682 | |||
Kronos Bio, Inc. (A)(C) | 6,715 | 160,824 | |||
Krystal Biotech, Inc. (A) | 3,093 | 210,324 | |||
Kura Oncology, Inc. (A) | 10,890 | 227,057 | |||
Kymera Therapeutics, Inc. (A) | 4,957 | 240,415 | |||
Lexicon Pharmaceuticals, Inc. (A) | 12,161 | 55,819 | |||
Ligand Pharmaceuticals, Inc. (A) | 7,087 | 929,744 | |||
Lineage Cell Therapeutics, Inc. (A)(C) | 23,474 | 66,901 | |||
MacroGenics, Inc. (A) | 10,014 | 268,976 | |||
Madrigal Pharmaceuticals, Inc. (A) | 1,950 | 189,950 | |||
Magenta Therapeutics, Inc. (A) | 5,853 | 57,242 | |||
MannKind Corp. (A) | 42,062 | 229,238 | |||
MEI Pharma, Inc. (A) | 20,740 | 59,109 | |||
MeiraGTx Holdings PLC (A) | 5,754 | 89,187 | |||
Mersana Therapeutics, Inc. (A) | 12,017 | 163,191 | |||
MiMedx Group, Inc. (A) | 19,114 | 239,116 | |||
Molecular Templates, Inc. (A) | 6,983 | 54,607 | |||
Morphic Holding, Inc. (A) | 3,531 | 202,644 | |||
Mustang Bio, Inc. (A) | 14,830 | 49,236 | |||
Myriad Genetics, Inc. (A) | 12,981 | 396,959 | |||
Neoleukin Therapeutics, Inc. (A) | 6,640 | 61,287 | |||
Neurocrine Biosciences, Inc. (A) | 25,823 | 2,513,094 | |||
Nkarta, Inc. (A)(C) | 2,521 | 79,890 | |||
Nurix Therapeutics, Inc. (A) | 5,420 | 143,793 | |||
Ocugen, Inc. (A) | 31,215 | 250,656 | |||
Olema Pharmaceuticals, Inc. (A) | 2,297 | 64,270 | |||
Oncocyte Corp. (A) | 12,776 | 73,334 | |||
Oncorus, Inc. (A) | 3,876 | 53,489 | |||
OPKO Health, Inc. (A)(C) | 66,251 | 268,317 | |||
Organogenesis Holdings, Inc. (A) | 6,568 | 109,160 | |||
ORIC Pharmaceuticals, Inc. (A) | 5,294 | 93,651 | |||
Passage Bio, Inc. (A) | 6,578 | 87,093 | |||
PDL BioPharma, Inc. (A)(D) | 23,030 | 38,921 | |||
PeptiDream, Inc. (A) | 15,600 | 762,384 | |||
Pfenex, Inc. (A)(D) | 6,194 | 6,790 | |||
PMV Pharmaceuticals, Inc. (A) | 4,574 | 156,248 | |||
Poseida Therapeutics, Inc. (A)(C) | 5,455 | 54,659 | |||
Praxis Precision Medicines, Inc. (A) | 4,334 | 79,226 | |||
Precigen, Inc. (A)(C) | 16,452 | 107,267 | |||
Precision BioSciences, Inc. (A) | 8,333 | 104,329 | |||
Prelude Therapeutics, Inc. (A)(C) | 1,961 | 56,143 | |||
Progenics Pharmaceuticals, Inc. (A)(D) | 15,140 | 646 | |||
Protagonist Therapeutics, Inc. (A) | 7,017 | 314,923 | |||
Prothena Corp. PLC (A) | 5,817 | 299,052 | |||
PTC Therapeutics, Inc. (A) | 11,776 | 497,772 |
The accompanying notes are an integral part of the financial statements. | 147 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Biotechnology (continued) | |||||
Puma Biotechnology, Inc. (A) | 6,418 | $ | 58,917 | ||
Radius Health, Inc. (A) | 8,127 | 148,236 | |||
RAPT Therapeutics, Inc. (A) | 3,190 | 101,410 | |||
Recursion Pharmaceuticals, Inc., Class A (A) | 3,626 | 132,349 | |||
Regeneron Pharmaceuticals, Inc. (A) | 14,224 | 7,944,673 | |||
REGENXBIO, Inc. (A) | 6,765 | 262,820 | |||
Relay Therapeutics, Inc. (A) | 9,959 | 364,400 | |||
Replimune Group, Inc. (A) | 4,617 | 177,385 | |||
REVOLUTION Medicines, Inc. (A) | 10,125 | 321,368 | |||
Rhythm Pharmaceuticals, Inc. (A) | 7,755 | 151,843 | |||
Rigel Pharmaceuticals, Inc. (A) | 30,861 | 133,937 | |||
Rocket Pharmaceuticals, Inc. (A) | 6,800 | 301,172 | |||
Rubius Therapeutics, Inc. (A) | 7,698 | 187,908 | |||
Sana Biotechnology, Inc. (A) | 4,680 | 92,009 | |||
Sangamo Therapeutics, Inc. (A) | 20,153 | 241,231 | |||
Scholar Rock Holding Corp. (A) | 4,812 | 139,067 | |||
Selecta Biosciences, Inc. (A) | 16,060 | 67,131 | |||
Seres Therapeutics, Inc. (A) | 11,843 | 282,456 | |||
Sesen Bio, Inc. (A) | 29,790 | 137,630 | |||
Shattuck Labs, Inc. (A) | 4,619 | 133,905 | |||
Silverback Therapeutics, Inc. (A)(C) | 2,335 | 72,128 | |||
Sorrento Therapeutics, Inc. (A)(C) | 46,072 | 446,438 | |||
Spectrum Pharmaceuticals, Inc. (A) | 27,746 | 104,048 | |||
Spero Therapeutics, Inc. (A) | 4,771 | 66,603 | |||
SpringWorks Therapeutics, Inc. (A) | 4,970 | 409,578 | |||
SQZ Biotechnologies Company (A) | 4,312 | 62,308 | |||
Stemline Therapeutics, Inc. (A)(D) | 8,040 | 2,653 | |||
Stoke Therapeutics, Inc. (A) | 3,342 | 112,492 | |||
Sutro Biopharma, Inc. (A) | 7,549 | 140,336 | |||
Syndax Pharmaceuticals, Inc. (A) | 7,763 | 133,291 | |||
Syros Pharmaceuticals, Inc. (A) | 10,817 | 58,953 | |||
Taysha Gene Therapies, Inc. (A)(C) | 3,962 | 83,994 | |||
TCR2 Therapeutics, Inc. (A) | 5,533 | 90,797 | |||
TG Therapeutics, Inc. (A) | 21,639 | 839,377 | |||
Tonix Pharmaceuticals Holding Corp. (A) | 59,879 | 66,466 | |||
Translate Bio, Inc. (A) | 11,319 | 311,725 | |||
Travere Therapeutics, Inc. (A) | 10,120 | 147,651 | |||
Trevena, Inc. (A) | 31,503 | 53,240 | |||
Trillium Therapeutics, Inc. (A) | 16,760 | 162,572 | |||
Turning Point Therapeutics, Inc. (A) | 7,792 | 607,932 | |||
Twist Bioscience Corp. (A) | 7,969 | 1,061,869 | |||
United Therapeutics Corp. (A) | 12,235 | 2,195,081 | |||
UroGen Pharma, Ltd. (A)(C) | 3,842 | 58,667 | |||
Vanda Pharmaceuticals, Inc. (A) | 9,486 | 204,044 | |||
Vaxart, Inc. (A)(C) | 20,365 | 152,534 | |||
Vaxcyte, Inc. (A) | 6,968 | 156,850 | |||
VBI Vaccines, Inc. (A)(C) | 32,622 | 109,284 | |||
Veracyte, Inc. (A) | 11,451 | 457,811 | |||
Verastem, Inc. (A) | 30,034 | 122,238 | |||
Vericel Corp. (A) | 7,880 | 413,700 | |||
Vertex Pharmaceuticals, Inc. (A) | 35,170 | 7,091,327 | |||
Viking Therapeutics, Inc. (A) | 12,580 | 75,354 | |||
Vir Biotechnology, Inc. (A) | 10,159 | 480,318 | |||
Viracta Therapeutics, Inc. (A) | 6,517 | 73,903 | |||
VistaGen Therapeutics, Inc. (A) | 34,459 | 108,546 | |||
Xencor, Inc. (A) | 9,677 | 333,760 | |||
Y-mAbs Therapeutics, Inc. (A) | 6,029 | 203,780 | |||
Zentalis Pharmaceuticals, Inc. (A) | 5,643 | 300,208 | |||
ZIOPHARM Oncology, Inc. (A)(C) | 37,130 | 98,023 | |||
175,801,788 | |||||
Health care equipment and supplies – 3.0% | |||||
Abbott Laboratories | 241,403 | 27,985,850 | |||
ABIOMED, Inc. (A) | 6,154 | 1,920,725 | |||
Accelerate Diagnostics, Inc. (A)(C) | 6,176 | 49,779 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Health care equipment and supplies (continued) | |||||
Accuray, Inc. (A) | 17,383 | $ | 78,571 | ||
Acutus Medical, Inc. (A) | 3,020 | 51,280 | |||
Alcon, Inc. | 81,276 | 5,700,496 | |||
Align Technology, Inc. (A) | 9,784 | 5,978,024 | |||
Alphatec Holdings, Inc. (A) | 11,772 | 180,347 | |||
Ambu A/S, Class B | 27,242 | 1,048,217 | |||
AngioDynamics, Inc. (A) | 6,355 | 172,411 | |||
Apyx Medical Corp. (A) | 6,031 | 62,180 | |||
Asahi Intecc Company, Ltd. | 33,900 | 810,499 | |||
Asensus Surgical, Inc. (A) | 40,120 | 127,180 | |||
Aspira Women's Health, Inc. (A)(C) | 12,943 | 72,740 | |||
AtriCure, Inc. (A) | 7,549 | 598,862 | |||
Atrion Corp. | 240 | 149,023 | |||
Avanos Medical, Inc. (A) | 8,059 | 293,106 | |||
Axogen, Inc. (A) | 6,635 | 143,382 | |||
Axonics, Inc. (A) | 7,033 | 445,963 | |||
Baxter International, Inc. | 68,319 | 5,499,680 | |||
Becton, Dickinson and Company | 39,511 | 9,608,680 | |||
BioLife Solutions, Inc. (A) | 4,254 | 189,346 | |||
BioMerieux | 6,738 | 782,894 | |||
Boston Scientific Corp. (A) | 193,049 | 8,254,775 | |||
Butterfly Network, Inc. (A)(C) | 5,476 | 79,292 | |||
Cardiovascular Systems, Inc. (A) | 6,704 | 285,926 | |||
Carl Zeiss Meditec AG, Bearer Shares | 6,546 | 1,265,375 | |||
Cerus Corp. (A) | 29,213 | 172,649 | |||
ClearPoint Neuro, Inc. (A) | 3,451 | 65,880 | |||
Cochlear, Ltd. | 10,693 | 2,017,417 | |||
Coloplast A/S, B Shares | 19,323 | 3,172,512 | |||
CONMED Corp. | 4,838 | 664,886 | |||
CryoLife, Inc. (A) | 6,376 | 181,078 | |||
CryoPort, Inc. (A) | 6,875 | 433,813 | |||
Cutera, Inc. (A) | 3,054 | 149,738 | |||
CytoSorbents Corp. (A) | 8,091 | 61,087 | |||
Danaher Corp. | 86,248 | 23,145,513 | |||
DarioHealth Corp. (A) | 2,554 | 54,553 | |||
Demant A/S (A) | 17,617 | 992,796 | |||
Dentsply Sirona, Inc. | 29,661 | 1,876,355 | |||
DexCom, Inc. (A) | 13,139 | 5,610,353 | |||
DiaSorin SpA | 4,095 | 774,838 | |||
Eargo, Inc. (A) | 3,337 | 133,180 | |||
Edwards Lifesciences Corp. (A) | 84,457 | 8,747,211 | |||
Envista Holdings Corp. (A) | 43,912 | 1,897,438 | |||
Fisher & Paykel Healthcare Corp., Ltd. | 93,745 | 2,039,367 | |||
Glaukos Corp. (A) | 7,571 | 642,248 | |||
Globus Medical, Inc., Class A (A) | 21,195 | 1,643,248 | |||
GN Store Nord A/S | 20,826 | 1,821,231 | |||
Haemonetics Corp. (A) | 22,396 | 1,492,469 | |||
Heska Corp. (A) | 1,610 | 369,865 | |||
Hill-Rom Holdings, Inc. | 18,154 | 2,062,113 | |||
Hologic, Inc. (A) | 34,812 | 2,322,657 | |||
Hoya Corp. | 60,607 | 8,016,509 | |||
ICU Medical, Inc. (A) | 5,390 | 1,109,262 | |||
IDEXX Laboratories, Inc. (A) | 11,586 | 7,317,138 | |||
Inari Medical, Inc. (A) | 5,743 | 535,707 | |||
Inogen, Inc. (A) | 3,283 | 213,953 | |||
Integer Holdings Corp. (A) | 5,488 | 516,970 | |||
Integra LifeSciences Holdings Corp. (A) | 19,398 | 1,323,720 | |||
Intersect ENT, Inc. (A) | 6,040 | 103,224 | |||
Intuitive Surgical, Inc. (A) | 16,088 | 14,795,168 | |||
Invacare Corp. (A) | 6,393 | 51,592 | |||
iRhythm Technologies, Inc. (A) | 5,001 | 331,816 | |||
Koninklijke Philips NV | 148,182 | 7,354,889 | |||
Lantheus Holdings, Inc. (A) | 11,378 | 314,488 | |||
LeMaitre Vascular, Inc. | 3,079 | 187,881 | |||
LivaNova PLC (A) | 21,601 | 1,816,860 |
The accompanying notes are an integral part of the financial statements. | 148 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Health care equipment and supplies (continued) | |||||
Masimo Corp. (A) | 13,820 | $ | 3,350,659 | ||
Medtronic PLC | 182,790 | 22,689,723 | |||
Meridian Bioscience, Inc. (A) | 7,325 | 162,469 | |||
Merit Medical Systems, Inc. (A) | 8,638 | 558,533 | |||
Mesa Laboratories, Inc. | 812 | 220,190 | |||
Misonix, Inc. (A) | 2,463 | 54,629 | |||
Natus Medical, Inc. (A) | 5,626 | 146,163 | |||
Neogen Corp. (A) | 47,292 | 2,177,324 | |||
Neuronetics, Inc. (A) | 4,497 | 72,042 | |||
Nevro Corp. (A) | 5,806 | 962,577 | |||
NuVasive, Inc. (A) | 22,757 | 1,542,469 | |||
Olympus Corp. | 189,508 | 3,769,489 | |||
OraSure Technologies, Inc. (A) | 12,191 | 123,617 | |||
Ortho Clinical Diagnostics Holdings PLC (A) | 14,844 | 317,810 | |||
Orthofix Medical, Inc. (A) | 3,323 | 133,286 | |||
OrthoPediatrics Corp. (A) | 2,373 | 149,926 | |||
Outset Medical, Inc. (A) | 7,739 | 386,795 | |||
PAVmed, Inc. (A)(C) | 12,755 | 81,632 | |||
Penumbra, Inc. (A) | 9,267 | 2,539,714 | |||
Pulmonx Corp. (A) | 4,344 | 191,657 | |||
Quidel Corp. (A) | 10,576 | 1,354,997 | |||
Quotient, Ltd. (A) | 14,426 | 52,511 | |||
ResMed, Inc. | 19,770 | 4,873,700 | |||
SeaSpine Holdings Corp. (A) | 5,590 | 114,651 | |||
Senseonics Holdings, Inc. (A)(C) | 70,286 | 269,898 | |||
Shockwave Medical, Inc. (A) | 5,687 | 1,078,995 | |||
SI-BONE, Inc. (A) | 5,535 | 174,186 | |||
Siemens Healthineers AG (B) | 43,712 | 2,680,123 | |||
Sientra, Inc. (A) | 10,432 | 83,039 | |||
Silk Road Medical, Inc. (A) | 5,784 | 276,822 | |||
Smith & Nephew PLC | 142,664 | 3,093,986 | |||
Sonova Holding AG | 8,963 | 3,375,956 | |||
STAAR Surgical Company (A) | 20,730 | 3,161,325 | |||
Stereotaxis, Inc. (A) | 8,970 | 86,471 | |||
STERIS PLC | 13,266 | 2,736,776 | |||
Straumann Holding AG | 1,682 | 2,682,864 | |||
Stryker Corp. | 44,532 | 11,566,296 | |||
Surmodics, Inc. (A) | 2,403 | 130,363 | |||
Sysmex Corp. | 27,279 | 3,236,237 | |||
Tactile Systems Technology, Inc. (A) | 3,268 | 169,936 | |||
Teleflex, Inc. | 6,349 | 2,550,965 | |||
Terumo Corp. | 105,034 | 4,254,137 | |||
The Cooper Companies, Inc. | 6,691 | 2,651,443 | |||
TransMedics Group, Inc. (A) | 4,465 | 148,149 | |||
Treace Medical Concepts, Inc. (A) | 1,889 | 59,050 | |||
Utah Medical Products, Inc. | 820 | 69,733 | |||
Vapotherm, Inc. (A) | 3,970 | 93,851 | |||
Varex Imaging Corp. (A) | 6,530 | 175,135 | |||
ViewRay, Inc. (A) | 23,552 | 155,443 | |||
West Pharmaceutical Services, Inc. | 10,030 | 3,601,773 | |||
Zimmer Biomet Holdings, Inc. | 28,325 | 4,555,227 | |||
Zynex, Inc. (A)(C) | 3,793 | 58,905 | |||
277,571,922 | |||||
Health care providers and services – 1.9% | |||||
1Life Healthcare, Inc. (A) | 19,690 | 650,951 | |||
Acadia Healthcare Company, Inc. (A) | 24,510 | 1,538,003 | |||
Accolade, Inc. (A) | 8,514 | 462,395 | |||
AdaptHealth Corp. (A) | 13,344 | 365,759 | |||
Addus HomeCare Corp. (A) | 2,636 | 229,965 | |||
Agiliti, Inc. (A) | 3,869 | 84,615 | |||
Alignment Healthcare, Inc. (A) | 4,523 | 105,703 | |||
Amedisys, Inc. (A) | 8,896 | 2,178,897 | |||
AmerisourceBergen Corp. | 20,093 | 2,300,448 | |||
AMN Healthcare Services, Inc. (A) | 7,902 | 766,336 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Health care providers and services (continued) | |||||
Amplifon SpA | 20,252 | $ | 1,001,334 | ||
Anthem, Inc. | 33,265 | 12,700,577 | |||
Apollo Medical Holdings, Inc. (A) | 6,134 | 385,277 | |||
Aveanna Healthcare Holdings, Inc. (A) | 6,589 | 81,506 | |||
Brookdale Senior Living, Inc. (A) | 31,441 | 248,384 | |||
Cardinal Health, Inc. | 39,420 | 2,250,488 | |||
Castle Biosciences, Inc. (A) | 3,630 | 266,188 | |||
Centene Corp. (A) | 79,172 | 5,774,014 | |||
Chemed Corp. | 4,356 | 2,066,922 | |||
Cigna Corp. | 46,621 | 11,052,440 | |||
Community Health Systems, Inc. (A) | 20,935 | 323,236 | |||
CorVel Corp. (A) | 1,476 | 198,227 | |||
Covetrus, Inc. (A) | 17,505 | 472,635 | |||
Cross Country Healthcare, Inc. (A) | 6,677 | 110,237 | |||
CVS Health Corp. | 178,872 | 14,925,080 | |||
DaVita, Inc. (A) | 9,523 | 1,146,855 | |||
Encompass Health Corp. | 27,187 | 2,121,402 | |||
Fresenius Medical Care AG & Company KGaA | 33,346 | 2,770,926 | |||
Fresenius SE & Company KGaA | 68,013 | 3,549,590 | |||
Fulgent Genetics, Inc. (A)(C) | 3,436 | 316,902 | |||
Hanger, Inc. (A) | 6,394 | 161,640 | |||
HCA Healthcare, Inc. | 35,706 | 7,381,858 | |||
HealthEquity, Inc. (A) | 36,532 | 2,940,095 | |||
Henry Schein, Inc. (A) | 19,115 | 1,418,142 | |||
Humana, Inc. | 17,528 | 7,759,996 | |||
InfuSystem Holdings, Inc. (A) | 3,463 | 71,996 | |||
Innovage Holding Corp. (A) | 3,204 | 68,277 | |||
Laboratory Corp. of America Holdings (A) | 13,266 | 3,659,426 | |||
LHC Group, Inc. (A) | 13,775 | 2,758,582 | |||
Magellan Health, Inc. (A) | 3,952 | 372,278 | |||
McKesson Corp. | 21,491 | 4,109,939 | |||
Medipal Holdings Corp. | 29,841 | 570,516 | |||
MEDNAX, Inc. (A) | 12,850 | 387,428 | |||
ModivCare, Inc. (A) | 2,109 | 358,678 | |||
Molina Healthcare, Inc. (A) | 15,951 | 4,036,560 | |||
National HealthCare Corp. | 2,110 | 147,489 | |||
National Research Corp. | 2,432 | 111,629 | |||
NMC Health PLC (A) | 19,536 | 7,361 | |||
Ontrak, Inc. (A) | 1,600 | 51,968 | |||
Option Care Health, Inc. (A) | 18,778 | 410,675 | |||
Orpea SA | 8,410 | 1,070,704 | |||
Owens & Minor, Inc. | 12,230 | 517,696 | |||
Patterson Companies, Inc. | 38,199 | 1,160,868 | |||
PetIQ, Inc. (A) | 4,493 | 173,430 | |||
Privia Health Group, Inc. (A) | 3,348 | 148,551 | |||
Progyny, Inc. (A) | 20,827 | 1,228,793 | |||
Quest Diagnostics, Inc. | 17,749 | 2,342,336 | |||
R1 RCM, Inc. (A) | 60,038 | 1,335,245 | |||
RadNet, Inc. (A) | 7,638 | 257,324 | |||
Ramsay Health Care, Ltd. | 29,782 | 1,405,137 | |||
Ryman Healthcare, Ltd. | 69,125 | 634,335 | |||
Select Medical Holdings Corp. | 18,589 | 785,571 | |||
SOC Telemed, Inc. (A) | 7,790 | 44,325 | |||
Sonic Healthcare, Ltd. | 73,834 | 2,127,560 | |||
Surgery Partners, Inc. (A) | 5,377 | 358,216 | |||
Tenet Healthcare Corp. (A) | 47,030 | 3,150,540 | |||
The Ensign Group, Inc. | 8,851 | 767,116 | |||
The Joint Corp. (A) | 2,345 | 196,792 | |||
The Pennant Group, Inc. (A) | 4,441 | 181,637 | |||
Tivity Health, Inc. (A) | 7,585 | 199,561 | |||
Triple-S Management Corp. (A) | 4,051 | 90,216 | |||
UnitedHealth Group, Inc. | 128,214 | 51,342,014 | |||
Universal Health Services, Inc., Class B | 10,593 | 1,551,133 | |||
US Physical Therapy, Inc. | 2,181 | 252,712 |
The accompanying notes are an integral part of the financial statements. | 149 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Health care providers and services (continued) | |||||
Viemed Healthcare, Inc. (A) | 7,148 | $ | 51,108 | ||
178,602,745 | |||||
Health care technology – 0.2% | |||||
Allscripts Healthcare Solutions, Inc. (A) | 23,736 | 439,353 | |||
American Well Corp., Class A (A) | 32,862 | 413,404 | |||
Castlight Health, Inc., B Shares (A) | 23,281 | 61,229 | |||
Cerner Corp. | 40,938 | 3,199,714 | |||
Computer Programs & Systems, Inc. | 2,671 | 88,757 | |||
Evolent Health, Inc., Class A (A) | 13,323 | 281,382 | |||
Health Catalyst, Inc. (A) | 7,542 | 418,656 | |||
HealthStream, Inc. (A) | 4,414 | 123,327 | |||
ICAD, Inc. (A) | 4,060 | 70,279 | |||
Inovalon Holdings, Inc., Class A (A) | 12,723 | 433,600 | |||
Inspire Medical Systems, Inc. (A) | 4,533 | 876,048 | |||
M3, Inc. | 71,786 | 5,230,207 | |||
Multiplan Corp. (A) | 67,322 | 640,905 | |||
NextGen Healthcare, Inc. (A) | 9,732 | 161,454 | |||
Omnicell, Inc. (A) | 7,227 | 1,094,529 | |||
OptimizeRx Corp. (A) | 2,902 | 179,634 | |||
Phreesia, Inc. (A) | 6,493 | 398,021 | |||
Schrodinger, Inc. (A) | 7,672 | 580,080 | |||
Simulations Plus, Inc. | 2,633 | 144,578 | |||
Tabula Rasa HealthCare, Inc. (A)(C) | 3,865 | 193,250 | |||
Vocera Communications, Inc. (A) | 5,742 | 228,819 | |||
15,257,226 | |||||
Life sciences tools and services – 1.0% | |||||
Agilent Technologies, Inc. | 41,227 | 6,093,763 | |||
Berkeley Lights, Inc. (A) | 8,101 | 363,006 | |||
Bionano Genomics, Inc. (A)(C) | 47,628 | 349,113 | |||
Bio-Rad Laboratories, Inc., Class A (A) | 2,928 | 1,886,481 | |||
Bio-Techne Corp. | 10,622 | 4,782,662 | |||
Charles River Laboratories International, Inc. (A) | 6,827 | 2,525,444 | |||
ChromaDex Corp. (A)(C) | 8,440 | 83,218 | |||
Codexis, Inc. (A) | 10,369 | 234,962 | |||
Eurofins Scientific SE | 21,717 | 2,483,962 | |||
Fluidigm Corp. (A)(C) | 13,044 | 80,351 | |||
Harvard Bioscience, Inc. (A) | 7,892 | 65,740 | |||
Illumina, Inc. (A) | 19,836 | 9,386,594 | |||
Inotiv, Inc. (A) | 2,394 | 63,872 | |||
IQVIA Holdings, Inc. (A) | 26,040 | 6,310,013 | |||
Lonza Group AG | 12,112 | 8,586,881 | |||
Luminex Corp. | 7,676 | 282,477 | |||
Medpace Holdings, Inc. (A) | 12,442 | 2,197,630 | |||
Mettler-Toledo International, Inc. (A) | 3,161 | 4,379,060 | |||
NanoString Technologies, Inc. (A) | 7,672 | 497,069 | |||
NeoGenomics, Inc. (A) | 19,134 | 864,283 | |||
Pacific Biosciences of California, Inc. (A) | 32,768 | 1,145,897 | |||
PerkinElmer, Inc. | 15,229 | 2,351,510 | |||
Personalis, Inc. (A) | 6,123 | 154,912 | |||
QIAGEN NV (A) | 37,544 | 1,814,820 | |||
Quanterix Corp. (A) | 5,261 | 308,610 | |||
Repligen Corp. (A) | 13,946 | 2,783,901 | |||
Sartorius Stedim Biotech | 4,498 | 2,128,860 | |||
Seer, Inc. (A) | 2,653 | 86,965 | |||
Syneos Health, Inc. (A) | 27,657 | 2,475,025 | |||
Thermo Fisher Scientific, Inc. | 53,398 | 26,937,689 | |||
Waters Corp. (A) | 8,383 | 2,897,249 | |||
94,602,019 | |||||
Pharmaceuticals – 4.4% | |||||
9 Meters Biopharma, Inc. (A) | 39,600 | 43,560 | |||
Aclaris Therapeutics, Inc. (A) | 7,391 | 129,786 | |||
Aerie Pharmaceuticals, Inc. (A) | 7,475 | 119,675 | |||
Amneal Pharmaceuticals, Inc. (A) | 17,329 | 88,724 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Pharmaceuticals (continued) | |||||
Amphastar Pharmaceuticals, Inc. (A) | 6,488 | $ | 130,798 | ||
Ampio Pharmaceuticals, Inc. (A) | 34,525 | 57,657 | |||
ANI Pharmaceuticals, Inc. (A) | 1,892 | 66,315 | |||
Antares Pharma, Inc. (A) | 29,493 | 128,589 | |||
Arvinas, Inc. (A) | 7,373 | 567,721 | |||
Astellas Pharma, Inc. | 302,847 | 5,277,611 | |||
AstraZeneca PLC | 213,510 | 25,651,972 | |||
Atea Pharmaceuticals, Inc. (A)(C) | 10,993 | 236,130 | |||
Athira Pharma, Inc. (A) | 5,938 | 60,805 | |||
Axsome Therapeutics, Inc. (A) | 4,717 | 318,209 | |||
Bayer AG | 159,791 | 9,714,524 | |||
BioDelivery Sciences International, Inc. (A) | 19,068 | 68,263 | |||
Bristol-Myers Squibb Company | 303,507 | 20,280,338 | |||
Cara Therapeutics, Inc. (A) | 7,796 | 111,249 | |||
Cassava Sciences, Inc. (A)(C) | 6,448 | 550,917 | |||
Catalent, Inc. (A) | 23,143 | 2,502,221 | |||
Chugai Pharmaceutical Company, Ltd. | 109,202 | 4,328,394 | |||
Citius Pharmaceuticals, Inc. (A) | 20,595 | 71,671 | |||
Collegium Pharmaceutical, Inc. (A) | 6,113 | 144,511 | |||
Corcept Therapeutics, Inc. (A) | 16,419 | 361,218 | |||
CorMedix, Inc. (A) | 7,042 | 48,308 | |||
Cymabay Therapeutics, Inc. (A) | 13,295 | 57,966 | |||
Daiichi Sankyo Company, Ltd. | 276,758 | 5,970,525 | |||
Durect Corp. (A) | 43,508 | 70,918 | |||
Edgewise Therapeutics, Inc. (A) | 2,239 | 47,758 | |||
Eisai Company, Ltd. | 38,568 | 3,790,355 | |||
Elanco Animal Health, Inc. (A)(D) | 9,534 | 0 | |||
Eli Lilly & Company | 108,145 | 24,821,440 | |||
Endo International PLC (A) | 39,022 | 182,623 | |||
Evolus, Inc. (A)(C) | 5,633 | 71,257 | |||
GlaxoSmithKline PLC | 818,294 | 16,086,910 | |||
Harmony Biosciences Holdings, Inc. (A) | 3,909 | 110,351 | |||
Hikma Pharmaceuticals PLC | 28,118 | 951,566 | |||
Hisamitsu Pharmaceutical Company, Inc. | 8,284 | 409,018 | |||
Innoviva, Inc. (A) | 10,960 | 146,974 | |||
Intra-Cellular Therapies, Inc. (A) | 11,943 | 487,513 | |||
Ipsen SA | 6,135 | 638,391 | |||
Jazz Pharmaceuticals PLC (A) | 16,414 | 2,915,783 | |||
Johnson & Johnson | 357,780 | 58,940,677 | |||
Kala Pharmaceuticals, Inc. (A) | 9,066 | 48,050 | |||
KemPharm, Inc. (A) | 5,160 | 66,151 | |||
Kyowa Kirin Company, Ltd. | 43,959 | 1,563,424 | |||
Marinus Pharmaceuticals, Inc. (A)(C) | 6,455 | 115,803 | |||
Merck & Company, Inc. | 344,012 | 26,753,813 | |||
Merck KGaA | 21,021 | 4,033,428 | |||
Mind Medicine MindMed, Inc. (A) | 54,813 | 189,105 | |||
Nektar Therapeutics (A) | 49,793 | 854,448 | |||
NGM Biopharmaceuticals, Inc. (A) | 5,452 | 107,513 | |||
Nippon Shinyaku Company, Ltd. | 8,000 | 636,461 | |||
Novartis AG | 361,140 | 32,945,552 | |||
Novo Nordisk A/S, B Shares | 280,073 | 23,444,521 | |||
Nuvation Bio, Inc. (A) | 6,178 | 57,517 | |||
Ocular Therapeutix, Inc. (A) | 13,185 | 186,963 | |||
Omeros Corp. (A)(C) | 10,461 | 155,241 | |||
Ono Pharmaceutical Company, Ltd. | 60,200 | 1,342,471 | |||
Oramed Pharmaceuticals, Inc. (A) | 4,966 | 66,445 | |||
Organon & Company (A) | 34,377 | 1,040,248 | |||
Orion OYJ, Class B | 17,256 | 741,912 | |||
Otsuka Holdings Company, Ltd. (C) | 63,493 | 2,636,357 | |||
Pacira BioSciences, Inc. (A) | 7,367 | 447,030 | |||
Paratek Pharmaceuticals, Inc. (A)(C) | 8,860 | 60,425 | |||
Perrigo Company PLC | 18,144 | 831,902 | |||
Pfizer, Inc. | 760,517 | 29,781,846 | |||
Phathom Pharmaceuticals, Inc. (A) | 3,543 | 119,931 |
The accompanying notes are an integral part of the financial statements. | 150 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Pharmaceuticals (continued) | |||||
Phibro Animal Health Corp., Class A | 3,720 | $ | 107,434 | ||
Pliant Therapeutics, Inc. (A) | 4,184 | 121,838 | |||
Prestige Consumer Healthcare, Inc. (A) | 8,331 | 434,045 | |||
Provention Bio, Inc. (A)(C) | 10,144 | 85,514 | |||
Reata Pharmaceuticals, Inc., Class A (A) | 4,634 | 655,850 | |||
Recordati Industria Chimica e Farmaceutica SpA | 17,007 | 972,839 | |||
Relmada Therapeutics, Inc. (A) | 2,747 | 87,931 | |||
Revance Therapeutics, Inc. (A) | 11,987 | 355,295 | |||
Roche Holding AG | 114,271 | 43,061,636 | |||
Roche Holding AG, Bearer Shares | 5,205 | 2,116,875 | |||
Sanofi | 184,294 | 19,362,403 | |||
Santen Pharmaceutical Company, Ltd. | 58,600 | 808,776 | |||
Seelos Therapeutics, Inc. (A) | 14,044 | 37,076 | |||
Shionogi & Company, Ltd. | 43,111 | 2,246,772 | |||
SIGA Technologies, Inc. (A) | 9,629 | 60,470 | |||
Sumitomo Dainippon Pharma Company, Ltd. | 29,092 | 610,181 | |||
Supernus Pharmaceuticals, Inc. (A) | 8,279 | 254,910 | |||
Taisho Pharmaceutical Holdings Company, Ltd. | 5,516 | 295,284 | |||
Takeda Pharmaceutical Company, Ltd. | 256,398 | 8,604,857 | |||
Tarsus Pharmaceuticals, Inc. (A) | 1,604 | 46,484 | |||
Teva Pharmaceutical Industries, Ltd., ADR (A) | 178,308 | 1,765,249 | |||
TherapeuticsMD, Inc. (A)(C) | 65,548 | 78,002 | |||
Theravance Biopharma, Inc. (A) | 9,267 | 134,557 | |||
UCB SA | 20,564 | 2,153,701 | |||
Viatris, Inc. | 164,211 | 2,346,575 | |||
Vifor Pharma AG | 7,929 | 1,027,344 | |||
WaVe Life Sciences, Ltd. (A) | 7,124 | 47,446 | |||
Zoetis, Inc. | 64,503 | 12,020,779 | |||
Zogenix, Inc. (A) | 9,803 | 169,396 | |||
415,055,267 | |||||
1,156,890,967 | |||||
Industrials – 11.1% | |||||
Aerospace and defense – 1.3% | |||||
AAR Corp. (A) | 5,693 | 220,604 | |||
Aerojet Rocketdyne Holdings, Inc. | 12,513 | 604,253 | |||
AeroVironment, Inc. (A) | 3,780 | 378,567 | |||
Airbus SE (A) | 95,656 | 12,325,540 | |||
Astronics Corp. (A) | 4,569 | 80,003 | |||
Axon Enterprise, Inc. (A) | 17,667 | 3,123,526 | |||
BAE Systems PLC | 523,711 | 3,784,345 | |||
Byrna Technologies, Inc. (A) | 2,001 | 45,463 | |||
Curtiss-Wright Corp. | 11,181 | 1,327,856 | |||
Dassault Aviation SA | 407 | 479,439 | |||
Ducommun, Inc. (A) | 1,950 | 106,392 | |||
Elbit Systems, Ltd. | 4,314 | 558,865 | |||
General Dynamics Corp. | 31,100 | 5,854,886 | |||
Hexcel Corp. (A) | 22,881 | 1,427,774 | |||
Howmet Aerospace, Inc. (A) | 53,107 | 1,830,598 | |||
Huntington Ingalls Industries, Inc. | 5,466 | 1,151,960 | |||
Kaman Corp. | 4,713 | 237,535 | |||
Kratos Defense & Security Solutions, Inc. (A) | 20,687 | 589,373 | |||
L3Harris Technologies, Inc. | 27,850 | 6,019,778 | |||
Lockheed Martin Corp. | 33,230 | 12,572,571 | |||
Maxar Technologies, Inc. | 12,058 | 481,355 | |||
Mercury Systems, Inc. (A) | 15,339 | 1,016,669 | |||
Moog, Inc., Class A | 4,813 | 404,581 | |||
MTU Aero Engines AG | 8,676 | 2,151,164 | |||
National Presto Industries, Inc. | 893 | 90,773 | |||
Northrop Grumman Corp. | 20,338 | 7,391,439 | |||
PAE, Inc. (A) | 12,268 | 109,185 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Aerospace and defense (continued) | |||||
Park Aerospace Corp. | 4,235 | $ | 63,102 | ||
Parsons Corp. (A) | 4,365 | 171,806 | |||
Raytheon Technologies Corp. | 205,844 | 17,560,552 | |||
Rolls-Royce Holdings PLC (A) | 1,360,997 | 1,863,227 | |||
Safran SA | 55,592 | 7,715,220 | |||
Singapore Technologies Engineering, Ltd. | 253,952 | 732,759 | |||
Teledyne Technologies, Inc. (A) | 6,310 | 2,642,817 | |||
Textron, Inc. | 30,665 | 2,108,832 | |||
Thales SA | 17,352 | 1,772,974 | |||
The Boeing Company (A) | 74,686 | 17,891,778 | |||
TransDigm Group, Inc. (A) | 7,458 | 4,827,489 | |||
Triumph Group, Inc. (A) | 8,694 | 180,401 | |||
Vectrus, Inc. (A) | 2,113 | 100,558 | |||
121,996,009 | |||||
Air freight and logistics – 0.7% | |||||
Air Transport Services Group, Inc. (A) | 10,019 | 232,741 | |||
Atlas Air Worldwide Holdings, Inc. (A) | 4,824 | 328,563 | |||
CH Robinson Worldwide, Inc. | 18,068 | 1,692,430 | |||
Deutsche Post AG | 161,226 | 10,980,245 | |||
DSV Panalpina A/S | 33,668 | 7,859,390 | |||
Echo Global Logistics, Inc. (A) | 4,626 | 142,203 | |||
Expeditors International of Washington, Inc. | 22,945 | 2,904,837 | |||
FedEx Corp. | 33,166 | 9,894,413 | |||
Forward Air Corp. | 4,555 | 408,811 | |||
Hub Group, Inc., Class A (A) | 5,524 | 364,474 | |||
InPost SA (A) | 32,530 | 654,605 | |||
Radiant Logistics, Inc. (A) | 8,504 | 58,933 | |||
SG Holdings Company, Ltd. | 52,100 | 1,368,105 | |||
United Parcel Service, Inc., Class B | 98,272 | 20,437,628 | |||
XPO Logistics, Inc. (A) | 27,765 | 3,884,046 | |||
Yamato Holdings Company, Ltd. | 47,393 | 1,346,625 | |||
62,558,049 | |||||
Airlines – 0.2% | |||||
Alaska Air Group, Inc. (A) | 16,912 | 1,019,963 | |||
Allegiant Travel Company (A) | 2,537 | 492,178 | |||
American Airlines Group, Inc. (A) | 87,139 | 1,848,218 | |||
ANA Holdings, Inc. (A) | 25,949 | 609,856 | |||
Delta Air Lines, Inc. (A) | 86,904 | 3,759,467 | |||
Deutsche Lufthansa AG (A)(C) | 48,613 | 546,683 | |||
Frontier Group Holdings, Inc. (A) | 5,762 | 98,184 | |||
Hawaiian Holdings, Inc. (A) | 8,695 | 211,897 | |||
Japan Airlines Company, Ltd. (A) | 23,440 | 507,552 | |||
JetBlue Airways Corp. (A) | 86,481 | 1,451,151 | |||
Mesa Air Group, Inc. (A) | 6,343 | 59,180 | |||
Qantas Airways, Ltd. (A) | 150,317 | 524,754 | |||
Singapore Airlines, Ltd. (A) | 217,927 | 785,873 | |||
SkyWest, Inc. (A) | 8,370 | 360,496 | |||
Southwest Airlines Company (A) | 80,346 | 4,265,569 | |||
Spirit Airlines, Inc. (A) | 16,287 | 495,776 | |||
Sun Country Airlines Holdings, Inc. (A) | 2,931 | 108,476 | |||
United Airlines Holdings, Inc. (A) | 43,962 | 2,298,773 | |||
19,444,046 | |||||
Building products – 0.8% | |||||
A.O. Smith Corp. | 18,269 | 1,316,464 | |||
AAON, Inc. | 7,061 | 441,948 | |||
AGC, Inc. (C) | 31,476 | 1,318,543 | |||
Allegion PLC | 12,225 | 1,702,943 | |||
American Woodmark Corp. (A) | 2,854 | 233,143 | |||
Apogee Enterprises, Inc. | 4,332 | 176,442 | |||
Assa Abloy AB, B Shares | 163,024 | 4,914,833 | |||
Builders FirstSource, Inc. (A) | 56,574 | 2,413,447 | |||
Caesarstone, Ltd. | 4,542 | 67,040 | |||
Carrier Global Corp. | 110,980 | 5,393,628 |
The accompanying notes are an integral part of the financial statements. | 151 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Building products (continued) | |||||
Cie de Saint-Gobain | 82,309 | $ | 5,432,052 | ||
Cornerstone Building Brands, Inc. (A) | 9,333 | 169,674 | |||
CSW Industrials, Inc. | 2,290 | 271,273 | |||
Daikin Industries, Ltd. | 40,497 | 7,546,603 | |||
Fortune Brands Home & Security, Inc. | 18,807 | 1,873,365 | |||
Geberit AG | 6,025 | 4,525,805 | |||
Gibraltar Industries, Inc. (A) | 5,524 | 421,536 | |||
Griffon Corp. | 7,819 | 200,401 | |||
Insteel Industries, Inc. | 3,412 | 109,696 | |||
JELD-WEN Holding, Inc. (A) | 14,266 | 374,625 | |||
Johnson Controls International PLC | 97,375 | 6,682,846 | |||
Kingspan Group PLC | 25,109 | 2,373,132 | |||
Lennox International, Inc. | 9,389 | 3,293,661 | |||
Lixil Corp. | 43,350 | 1,121,783 | |||
Masco Corp. | 34,480 | 2,031,217 | |||
Masonite International Corp. (A) | 4,124 | 461,022 | |||
Nibe Industrier AB, B Shares | 231,866 | 2,443,263 | |||
Owens Corning | 28,531 | 2,793,185 | |||
PGT Innovations, Inc. (A) | 9,961 | 231,394 | |||
Quanex Building Products Corp. | 5,918 | 147,003 | |||
Resideo Technologies, Inc. (A) | 24,354 | 730,620 | |||
Rockwool International A/S, B Shares | 1,398 | 680,857 | |||
Simpson Manufacturing Company, Inc. | 19,105 | 2,109,956 | |||
TOTO, Ltd. | 23,000 | 1,191,706 | |||
Trane Technologies PLC | 32,491 | 5,982,893 | |||
Trex Company, Inc. (A) | 31,508 | 3,220,433 | |||
UFP Industries, Inc. | 10,063 | 748,083 | |||
View, Inc. (A) | 14,688 | 124,554 | |||
Xinyi Glass Holdings, Ltd. | 296,000 | 1,206,037 | |||
76,477,106 | |||||
Commercial services and supplies – 0.5% | |||||
ABM Industries, Inc. | 11,339 | 502,885 | |||
ACCO Brands Corp. | 16,689 | 144,026 | |||
Brady Corp., Class A | 7,949 | 445,462 | |||
Brambles, Ltd. | 239,127 | 2,052,176 | |||
BrightView Holdings, Inc. (A) | 7,106 | 114,549 | |||
Casella Waste Systems, Inc., Class A (A) | 8,261 | 523,995 | |||
Cimpress PLC (A) | 2,953 | 320,135 | |||
Cintas Corp. | 11,989 | 4,579,798 | |||
Clean Harbors, Inc. (A) | 13,711 | 1,277,043 | |||
Copart, Inc. (A) | 28,285 | 3,728,812 | |||
CoreCivic, Inc. (A) | 20,162 | 211,096 | |||
Covanta Holding Corp. | 20,209 | 355,880 | |||
Dai Nippon Printing Company, Ltd. | 36,873 | 780,286 | |||
Deluxe Corp. | 7,136 | 340,887 | |||
Ennis, Inc. | 4,656 | 100,197 | |||
Harsco Corp. (A) | 13,384 | 273,301 | |||
Healthcare Services Group, Inc. | 33,173 | 1,047,272 | |||
Heritage-Crystal Clean, Inc. (A) | 3,123 | 92,691 | |||
Herman Miller, Inc. | 25,932 | 1,222,434 | |||
HNI Corp. | 7,249 | 318,739 | |||
IAA, Inc. (A) | 36,805 | 2,007,345 | |||
Interface, Inc. | 10,039 | 153,597 | |||
KAR Auction Services, Inc. (A) | 54,922 | 963,881 | |||
Kimball International, Inc., Class B | 6,955 | 91,458 | |||
Knoll, Inc. | 7,926 | 205,997 | |||
Matthews International Corp., Class A | 5,265 | 189,329 | |||
Montrose Environmental Group, Inc. (A) | 3,868 | 207,557 | |||
MSA Safety, Inc. | 9,949 | 1,647,355 | |||
Pitney Bowes, Inc. | 29,808 | 261,416 | |||
Rentokil Initial PLC | 301,609 | 2,065,775 | |||
Republic Services, Inc. | 28,607 | 3,147,056 | |||
Rollins, Inc. | 30,088 | 1,029,010 | |||
RR Donnelley & Sons Company (A) | 12,449 | 78,180 | |||
Secom Company, Ltd. | 34,155 | 2,603,312 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Commercial services and supplies (continued) | |||||
Securitas AB, B Shares | 50,929 | $ | 804,521 | ||
Sohgo Security Services Company, Ltd. | 11,600 | 528,504 | |||
SP Plus Corp. (A) | 4,159 | 127,224 | |||
Steelcase, Inc., Class A | 14,698 | 222,087 | |||
Stericycle, Inc. (A) | 25,062 | 1,793,186 | |||
Tetra Tech, Inc. | 23,822 | 2,907,237 | |||
The Brink's Company | 21,810 | 1,675,880 | |||
TOPPAN, Inc. | 42,662 | 686,083 | |||
UniFirst Corp. | 2,500 | 586,600 | |||
US Ecology, Inc. (A) | 5,514 | 206,885 | |||
Viad Corp. (A) | 3,536 | 176,270 | |||
VSE Corp. | 1,973 | 97,683 | |||
Waste Management, Inc. | 52,763 | 7,392,624 | |||
50,287,716 | |||||
Construction and engineering – 0.4% | |||||
ACS Actividades de Construccion y Servicios SA | 37,897 | 1,015,959 | |||
AECOM (A) | 39,984 | 2,531,787 | |||
Ameresco, Inc., Class A (A) | 5,186 | 325,266 | |||
API Group Corp. (A)(B) | 30,579 | 638,795 | |||
Arcosa, Inc. | 8,122 | 477,086 | |||
Argan, Inc. | 2,617 | 125,066 | |||
Bouygues SA | 37,158 | 1,376,328 | |||
Comfort Systems USA, Inc. | 6,016 | 474,001 | |||
Construction Partners, Inc., Class A (A) | 4,998 | 156,937 | |||
Dycom Industries, Inc. (A) | 13,446 | 1,002,130 | |||
Eiffage SA | 13,549 | 1,380,055 | |||
EMCOR Group, Inc. | 23,925 | 2,947,321 | |||
Ferrovial SA | 78,131 | 2,296,145 | |||
Fluor Corp. (A) | 58,319 | 1,032,246 | |||
Granite Construction, Inc. | 7,667 | 318,411 | |||
Great Lakes Dredge & Dock Corp. (A) | 11,286 | 164,888 | |||
IES Holdings, Inc. (A) | 1,602 | 82,279 | |||
Infrastructure and Energy Alternatives, Inc. (A) | 4,185 | 53,819 | |||
Kajima Corp. | 73,085 | 927,435 | |||
MasTec, Inc. (A) | 15,425 | 1,636,593 | |||
Matrix Service Company (A) | 5,636 | 59,178 | |||
MYR Group, Inc. (A) | 2,803 | 254,849 | |||
NV5 Global, Inc. (A) | 2,196 | 207,544 | |||
Obayashi Corp. | 105,615 | 842,043 | |||
Primoris Services Corp. | 9,036 | 265,929 | |||
Quanta Services, Inc. | 18,932 | 1,714,671 | |||
Shimizu Corp. | 89,729 | 689,566 | |||
Skanska AB, B Shares | 55,332 | 1,469,017 | |||
Sterling Construction Company, Inc. (A) | 5,105 | 123,184 | |||
Taisei Corp. | 31,073 | 1,019,828 | |||
Tutor Perini Corp. (A) | 7,057 | 97,739 | |||
Valmont Industries, Inc. | 5,804 | 1,370,034 | |||
Vinci SA | 86,590 | 9,256,283 | |||
WillScot Mobile Mini Holdings Corp. (A) | 29,788 | 830,192 | |||
37,162,604 | |||||
Electrical equipment – 1.1% | |||||
ABB, Ltd. | 282,118 | 9,584,860 | |||
Acuity Brands, Inc. | 9,752 | 1,823,917 | |||
Allied Motion Technologies, Inc. | 2,442 | 84,322 | |||
American Superconductor Corp. (A) | 4,997 | 86,898 | |||
AMETEK, Inc. | 31,373 | 4,188,296 | |||
Array Technologies, Inc. (A) | 21,626 | 337,366 | |||
Atkore, Inc. (A) | 7,918 | 562,178 | |||
AZZ, Inc. | 4,110 | 212,816 | |||
Babcock & Wilcox Enterprises, Inc. (A) | 9,717 | 76,570 | |||
Beam Global (A) | 1,603 | 61,411 | |||
Bloom Energy Corp., Class A (A) | 23,490 | 631,176 | |||
Eaton Corp. PLC | 54,141 | 8,022,613 |
The accompanying notes are an integral part of the financial statements. | 152 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Electrical equipment (continued) | |||||
Emerson Electric Company | 81,477 | $ | 7,841,346 | ||
Encore Wire Corp. | 3,447 | 261,248 | |||
EnerSys | 18,845 | 1,841,722 | |||
Eos Energy Enterprises, Inc. (A)(C) | 3,220 | 57,831 | |||
FuelCell Energy, Inc. (A) | 54,855 | 488,210 | |||
Fuji Electric Company, Ltd. | 20,640 | 963,416 | |||
Generac Holdings, Inc. (A) | 8,553 | 3,550,778 | |||
GrafTech International, Ltd. | 28,711 | 333,622 | |||
Hubbell, Inc. | 14,835 | 2,771,771 | |||
Legrand SA | 43,500 | 4,610,272 | |||
Mitsubishi Electric Corp. | 296,897 | 4,310,123 | |||
Nidec Corp. | 72,786 | 8,369,674 | |||
nVent Electric PLC | 45,797 | 1,430,698 | |||
Powell Industries, Inc. | 1,919 | 59,393 | |||
Prysmian SpA | 41,433 | 1,486,867 | |||
Regal Beloit Corp. | 11,097 | 1,481,560 | |||
Rockwell Automation, Inc. | 15,771 | 4,510,821 | |||
Romeo Power, Inc. (A) | 7,364 | 59,943 | |||
Schneider Electric SE | 87,622 | 13,813,130 | |||
Siemens Energy AG (A) | 65,004 | 1,958,119 | |||
Siemens Gamesa Renewable Energy SA | 38,776 | 1,296,424 | |||
Stem, Inc. (A)(C) | 10,532 | 379,257 | |||
Sunrun, Inc. (A) | 44,002 | 2,454,432 | |||
Thermon Group Holdings, Inc. (A) | 6,096 | 103,876 | |||
TPI Composites, Inc. (A) | 6,081 | 294,442 | |||
Vestas Wind Systems A/S | 164,254 | 6,417,734 | |||
Vicor Corp. (A) | 3,561 | 376,540 | |||
97,195,672 | |||||
Industrial conglomerates – 1.1% | |||||
3M Company | 78,756 | 15,643,304 | |||
Carlisle Companies, Inc. | 14,255 | 2,728,122 | |||
CK Hutchison Holdings, Ltd. | 439,238 | 3,419,382 | |||
DCC PLC | 16,031 | 1,313,174 | |||
General Electric Company | 1,192,688 | 16,053,580 | |||
Hitachi, Ltd. | 157,394 | 9,019,805 | |||
Honeywell International, Inc. | 94,364 | 20,698,743 | |||
Investment AB Latour, B Shares | 24,081 | 790,632 | |||
Jardine Matheson Holdings, Ltd. | 35,100 | 2,243,574 | |||
Keppel Corp., Ltd. | 236,845 | 965,808 | |||
Melrose Industries PLC | 790,200 | 1,700,922 | |||
Raven Industries, Inc. | 6,006 | 347,447 | |||
Roper Technologies, Inc. | 14,298 | 6,722,920 | |||
Siemens AG | 124,427 | 19,756,354 | |||
Smiths Group PLC | 64,468 | 1,419,832 | |||
Toshiba Corp. | 66,628 | 2,878,397 | |||
105,701,996 | |||||
Machinery – 2.4% | |||||
AGCO Corp. | 16,876 | 2,200,293 | |||
AgEagle Aerial Systems, Inc. (A)(C) | 11,923 | 62,834 | |||
Alamo Group, Inc. | 1,663 | 253,907 | |||
Albany International Corp., Class A | 5,161 | 460,671 | |||
Alfa Laval AB | 51,168 | 1,808,545 | |||
Alstom SA | 45,282 | 2,287,907 | |||
Altra Industrial Motion Corp. | 10,987 | 714,375 | |||
Astec Industries, Inc. | 3,848 | 242,193 | |||
Atlas Copco AB, A Shares | 109,222 | 6,707,145 | |||
Atlas Copco AB, B Shares | 63,469 | 3,342,685 | |||
Barnes Group, Inc. | 7,940 | 406,925 | |||
Blue Bird Corp. (A) | 2,925 | 72,716 | |||
Caterpillar, Inc. | 74,424 | 16,196,895 | |||
Chart Industries, Inc. (A) | 6,148 | 899,575 | |||
CIRCOR International, Inc. (A) | 3,268 | 106,537 | |||
CNH Industrial NV | 166,440 | 2,760,852 | |||
Colfax Corp. (A) | 32,220 | 1,475,998 | |||
Columbus McKinnon Corp. | 4,696 | 226,535 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Machinery (continued) | |||||
Commercial Vehicle Group, Inc. (A) | 6,184 | $ | 65,736 | ||
Crane Company | 13,560 | 1,252,537 | |||
Cummins, Inc. | 19,864 | 4,843,042 | |||
Daifuku Company, Ltd. | 16,500 | 1,497,013 | |||
Deere & Company | 42,381 | 14,948,203 | |||
Desktop Metal, Inc., Class A (A) | 14,189 | 163,174 | |||
Donaldson Company, Inc. | 34,448 | 2,188,481 | |||
Douglas Dynamics, Inc. | 3,976 | 161,783 | |||
Dover Corp. | 19,554 | 2,944,832 | |||
Energy Recovery, Inc. (A) | 7,348 | 167,387 | |||
Enerpac Tool Group Corp. | 9,958 | 265,082 | |||
EnPro Industries, Inc. | 3,478 | 337,888 | |||
Epiroc AB, A Shares | 107,187 | 2,439,967 | |||
Epiroc AB, B Shares | 63,431 | 1,245,316 | |||
ESCO Technologies, Inc. | 4,277 | 401,225 | |||
Evoqua Water Technologies Corp. (A) | 19,549 | 660,365 | |||
FANUC Corp. | 31,218 | 7,486,008 | |||
Federal Signal Corp. | 10,039 | 403,869 | |||
Flowserve Corp. | 35,592 | 1,435,069 | |||
Fortive Corp. | 45,993 | 3,207,552 | |||
Franklin Electric Company, Inc. | 7,769 | 626,337 | |||
GEA Group AG | 24,953 | 1,011,099 | |||
Graco, Inc. | 46,277 | 3,503,169 | |||
Harmonic Drive Systems, Inc. | 7,000 | 384,709 | |||
Helios Technologies, Inc. | 5,520 | 430,836 | |||
Hillenbrand, Inc. | 12,657 | 557,921 | |||
Hino Motors, Ltd. | 46,742 | 413,438 | |||
Hitachi Construction Machinery Company, Ltd. | 17,452 | 534,483 | |||
Hoshizaki Corp. | 8,800 | 747,584 | |||
Hydrofarm Holdings Group, Inc. (A) | 1,913 | 113,077 | |||
Hyliion Holdings Corp. (A)(C) | 19,987 | 232,849 | |||
Hyster-Yale Materials Handling, Inc. | 1,740 | 126,985 | |||
IDEX Corp. | 10,316 | 2,270,036 | |||
Illinois Tool Works, Inc. | 39,054 | 8,730,912 | |||
Ingersoll Rand, Inc. (A) | 50,719 | 2,475,594 | |||
ITT, Inc. | 23,516 | 2,153,830 | |||
John Bean Technologies Corp. | 5,269 | 751,465 | |||
Kadant, Inc. | 1,925 | 338,973 | |||
Kennametal, Inc. | 36,913 | 1,325,915 | |||
KION Group AG | 11,737 | 1,253,049 | |||
Knorr-Bremse AG | 11,799 | 1,357,552 | |||
Komatsu, Ltd. | 142,376 | 3,527,160 | |||
Kone OYJ, B Shares | 55,283 | 4,511,878 | |||
Kubota Corp. (C) | 167,052 | 3,379,411 | |||
Kurita Water Industries, Ltd. | 16,027 | 770,395 | |||
Lincoln Electric Holdings, Inc. | 16,261 | 2,141,736 | |||
Lindsay Corp. | 1,817 | 300,314 | |||
Luxfer Holdings PLC | 5,195 | 115,589 | |||
Lydall, Inc. (A) | 3,098 | 187,491 | |||
Makita Corp. | 36,452 | 1,716,419 | |||
Meritor, Inc. (A) | 11,820 | 276,824 | |||
Miller Industries, Inc. | 2,110 | 83,218 | |||
MINEBEA MITSUMI, Inc. | 59,000 | 1,558,859 | |||
MISUMI Group, Inc. | 46,200 | 1,563,488 | |||
Mitsubishi Heavy Industries, Ltd. | 52,163 | 1,539,966 | |||
Miura Company, Ltd. | 14,300 | 620,948 | |||
Mueller Industries, Inc. | 9,381 | 406,291 | |||
Mueller Water Products, Inc., Class A | 26,498 | 382,101 | |||
Nabtesco Corp. | 18,289 | 689,990 | |||
Navistar International Corp. (A) | 8,384 | 373,088 | |||
NGK Insulators, Ltd. | 41,961 | 706,194 | |||
Nikola Corp. (A)(C) | 33,722 | 609,019 | |||
NN, Inc. (A) | 9,185 | 67,510 | |||
Nordson Corp. | 14,760 | 3,239,968 |
The accompanying notes are an integral part of the financial statements. | 153 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Machinery (continued) | |||||
NSK, Ltd. | 62,798 | $ | 531,172 | ||
Omega Flex, Inc. | 534 | 78,343 | |||
Oshkosh Corp. | 18,741 | 2,335,878 | |||
Otis Worldwide Corp. | 54,806 | 4,481,487 | |||
PACCAR, Inc. | 47,166 | 4,209,566 | |||
Parker-Hannifin Corp. | 17,534 | 5,384,867 | |||
Park-Ohio Holdings Corp. | 1,774 | 57,016 | |||
Pentair PLC | 22,580 | 1,523,924 | |||
Proto Labs, Inc. (A) | 4,678 | 429,440 | |||
Rational AG | 832 | 753,772 | |||
RBC Bearings, Inc. (A) | 4,148 | 827,194 | |||
REV Group, Inc. | 5,139 | 80,631 | |||
Rexnord Corp. | 20,062 | 1,003,902 | |||
Sandvik AB | 183,623 | 4,695,175 | |||
Schindler Holding AG | 3,274 | 958,024 | |||
Schindler Holding AG, Participation Certificates | 6,622 | 2,026,567 | |||
SKF AB, B Shares | 62,071 | 1,582,076 | |||
SMC Corp. | 9,347 | 5,529,635 | |||
Snap-on, Inc. | 7,347 | 1,641,540 | |||
Spirax-Sarco Engineering PLC | 11,993 | 2,258,844 | |||
SPX Corp. (A) | 7,400 | 451,992 | |||
SPX FLOW, Inc. | 7,165 | 467,445 | |||
Standex International Corp. | 2,016 | 191,339 | |||
Stanley Black & Decker, Inc. | 21,941 | 4,497,686 | |||
Techtronic Industries Company, Ltd. | 223,742 | 3,899,144 | |||
Tennant Company | 3,082 | 246,098 | |||
Terex Corp. | 30,444 | 1,449,743 | |||
The ExOne Company (A) | 2,980 | 64,487 | |||
The Gorman-Rupp Company | 4,005 | 137,932 | |||
The Greenbrier Companies, Inc. | 5,426 | 236,465 | |||
The Manitowoc Company, Inc. (A) | 5,892 | 144,354 | |||
The Middleby Corp. (A) | 15,195 | 2,632,686 | |||
The Shyft Group, Inc. | 5,908 | 221,018 | |||
The Timken Company | 18,678 | 1,505,260 | |||
The Toro Company | 29,242 | 3,213,111 | |||
THK Company, Ltd. | 19,552 | 583,483 | |||
Titan International, Inc. (A) | 9,101 | 77,176 | |||
TriMas Corp. (A) | 7,453 | 226,049 | |||
Trinity Industries, Inc. | 36,604 | 984,282 | |||
Volvo AB, A Shares (C) | 32,575 | 808,506 | |||
Volvo AB, B Shares (C) | 232,521 | 5,603,623 | |||
Wabash National Corp. | 8,657 | 138,512 | |||
Wabtec Corp. | 24,137 | 1,986,475 | |||
Wartsila OYJ ABP | 76,995 | 1,143,927 | |||
Watts Water Technologies, Inc., Class A | 4,581 | 668,414 | |||
Welbilt, Inc. (A) | 22,017 | 509,694 | |||
Woodward, Inc. | 16,014 | 1,967,800 | |||
Xylem, Inc. | 24,461 | 2,934,342 | |||
Yaskawa Electric Corp. | 39,010 | 1,905,065 | |||
223,733,948 | |||||
Marine – 0.1% | |||||
A.P. Moller - Maersk A/S, Series A | 517 | 1,438,087 | |||
A.P. Moller - Maersk A/S, Series B | 997 | 2,870,273 | |||
Costamare, Inc. | 8,775 | 103,633 | |||
Eagle Bulk Shipping, Inc. (A)(C) | 1,522 | 72,021 | |||
Genco Shipping & Trading, Ltd. | 5,521 | 104,236 | |||
Kirby Corp. (A) | 16,416 | 995,466 | |||
Kuehne + Nagel International AG | 8,783 | 3,006,063 | |||
Matson, Inc. | 7,230 | 462,720 | |||
Nippon Yusen KK | 26,325 | 1,335,944 | |||
10,388,443 | |||||
Professional services – 0.9% | |||||
Acacia Research Corp. (A) | 9,621 | 65,038 | |||
Adecco Group AG | 25,205 | 1,714,992 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Professional services (continued) | |||||
ASGN, Inc. (A) | 23,266 | $ | 2,255,173 | ||
Barrett Business Services, Inc. | 1,415 | 102,743 | |||
Bureau Veritas SA (A) | 47,808 | 1,513,768 | |||
CACI International, Inc., Class A (A) | 6,432 | 1,640,932 | |||
CBIZ, Inc. (A) | 8,283 | 271,434 | |||
CRA International, Inc. | 1,298 | 111,109 | |||
Equifax, Inc. | 16,535 | 3,960,298 | |||
Experian PLC | 149,202 | 5,760,562 | |||
Exponent, Inc. | 8,699 | 776,038 | |||
Forrester Research, Inc. (A) | 2,087 | 95,585 | |||
Franklin Covey Company (A) | 2,455 | 79,419 | |||
FTI Consulting, Inc. (A) | 9,347 | 1,276,894 | |||
Heidrick & Struggles International, Inc. | 3,412 | 152,005 | |||
Huron Consulting Group, Inc. (A) | 3,801 | 186,819 | |||
ICF International, Inc. | 3,138 | 275,705 | |||
IHS Markit, Ltd. | 50,896 | 5,733,943 | |||
Insperity, Inc. | 15,954 | 1,441,763 | |||
Intertek Group PLC | 26,251 | 2,009,103 | |||
Jacobs Engineering Group, Inc. | 17,691 | 2,360,333 | |||
KBR, Inc. | 62,298 | 2,376,669 | |||
Kelly Services, Inc., Class A (A) | 6,167 | 147,823 | |||
Kforce, Inc. | 3,526 | 221,891 | |||
Korn Ferry | 9,001 | 653,023 | |||
Leidos Holdings, Inc. | 18,061 | 1,825,967 | |||
ManpowerGroup, Inc. | 14,892 | 1,770,808 | |||
ManTech International Corp., Class A | 4,589 | 397,132 | |||
Nielsen Holdings PLC | 48,706 | 1,201,577 | |||
Nihon M&A Center, Inc. | 49,200 | 1,274,298 | |||
Persol Holdings Company, Ltd. | 28,900 | 570,673 | |||
Randstad NV | 19,448 | 1,490,888 | |||
Recruit Holdings Company, Ltd. | 220,700 | 10,822,855 | |||
Rekor Systems, Inc. (A) | 5,665 | 57,556 | |||
RELX PLC | 314,305 | 8,334,330 | |||
Resources Connection, Inc. | 6,386 | 91,703 | |||
Robert Half International, Inc. | 15,323 | 1,363,287 | |||
Science Applications International Corp. | 15,833 | 1,389,029 | |||
SGS SA | 984 | 3,038,066 | |||
Teleperformance | 9,553 | 3,879,375 | |||
TriNet Group, Inc. (A) | 6,789 | 492,067 | |||
TrueBlue, Inc. (A) | 5,965 | 167,676 | |||
Upwork, Inc. (A) | 19,648 | 1,145,282 | |||
Verisk Analytics, Inc. | 22,022 | 3,847,684 | |||
Willdan Group, Inc. (A) | 2,146 | 80,775 | |||
Wolters Kluwer NV | 43,511 | 4,373,456 | |||
82,797,546 | |||||
Road and rail – 0.8% | |||||
ArcBest Corp. | 4,316 | 251,148 | |||
Aurizon Holdings, Ltd. | 301,641 | 840,175 | |||
Avis Budget Group, Inc. (A) | 22,728 | 1,770,284 | |||
Central Japan Railway Company | 23,476 | 3,567,189 | |||
Covenant Logistics Group, Inc. (A) | 2,817 | 58,256 | |||
CSX Corp. | 308,706 | 9,903,288 | |||
Daseke, Inc. (A) | 7,877 | 51,043 | |||
East Japan Railway Company | 49,140 | 3,504,371 | |||
Hankyu Hanshin Holdings, Inc. | 37,200 | 1,148,283 | |||
Heartland Express, Inc. | 8,132 | 139,301 | |||
HyreCar, Inc. (A) | 3,228 | 67,530 | |||
JB Hunt Transport Services, Inc. | 11,342 | 1,848,179 | |||
Kansas City Southern | 12,354 | 3,500,753 | |||
Keio Corp. | 16,715 | 983,938 | |||
Keisei Electric Railway Company, Ltd. | 20,994 | 671,146 | |||
Kintetsu Group Holdings Company, Ltd. (A) | 27,874 | 979,746 | |||
Knight-Swift Transportation Holdings, Inc. | 33,452 | 1,520,728 | |||
Landstar System, Inc. | 10,490 | 1,657,630 |
The accompanying notes are an integral part of the financial statements. | 154 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Road and rail (continued) | |||||
Marten Transport, Ltd. | 10,315 | $ | 170,094 | ||
MTR Corp., Ltd. | 251,315 | 1,399,320 | |||
Nippon Express Company, Ltd. | 12,446 | 949,065 | |||
Norfolk Southern Corp. | 33,998 | 9,023,409 | |||
Odakyu Electric Railway Company, Ltd. | 47,979 | 1,213,568 | |||
Old Dominion Freight Line, Inc. | 12,919 | 3,278,842 | |||
Ryder System, Inc. | 14,713 | 1,093,617 | |||
Saia, Inc. (A) | 4,447 | 931,602 | |||
Tobu Railway Company, Ltd. | 30,673 | 793,943 | |||
Tokyu Corp. | 81,308 | 1,106,607 | |||
U.S. Xpress Enterprises, Inc., Class A (A) | 5,347 | 45,984 | |||
Union Pacific Corp. | 90,254 | 19,849,562 | |||
Werner Enterprises, Inc. | 25,884 | 1,152,356 | |||
West Japan Railway Company | 26,425 | 1,510,058 | |||
Yellow Corp. (A) | 9,256 | 60,257 | |||
75,041,272 | |||||
Trading companies and distributors – 0.7% | |||||
Alta Equipment Group, Inc. (A) | 3,746 | 49,784 | |||
Applied Industrial Technologies, Inc. | 6,569 | 598,173 | |||
Ashtead Group PLC | 73,080 | 5,431,911 | |||
Beacon Roofing Supply, Inc. (A) | 9,426 | 501,935 | |||
BlueLinx Holdings, Inc. (A) | 1,664 | 83,666 | |||
Boise Cascade Company | 6,642 | 387,561 | |||
Brenntag SE | 25,129 | 2,338,815 | |||
Bunzl PLC | 54,814 | 1,813,315 | |||
CAI International, Inc. | 2,815 | 157,640 | |||
DXP Enterprises, Inc. (A) | 3,357 | 111,788 | |||
Fastenal Company | 78,032 | 4,057,664 | |||
Ferguson PLC | 36,604 | 5,092,611 | |||
GATX Corp. | 15,567 | 1,377,212 | |||
Global Industrial, Inc. | 2,314 | 84,947 | |||
GMS, Inc. (A) | 7,164 | 344,875 | |||
H&E Equipment Services, Inc. | 5,580 | 185,647 | |||
Herc Holdings, Inc. (A) | 4,217 | 472,599 | |||
ITOCHU Corp. | 193,304 | 5,577,729 | |||
Marubeni Corp. | 254,359 | 2,215,072 | |||
McGrath RentCorp | 4,145 | 338,108 | |||
Mitsubishi Corp. | 205,406 | 5,610,920 | |||
Mitsui & Company, Ltd. | 251,403 | 5,663,029 | |||
MonotaRO Company, Ltd. | 40,800 | 961,436 | |||
MRC Global, Inc. (A) | 14,200 | 133,480 | |||
MSC Industrial Direct Company, Inc., Class A | 12,835 | 1,151,685 | |||
NOW, Inc. (A) | 18,906 | 179,418 | |||
Reece, Ltd. | 47,282 | 837,306 | |||
Rush Enterprises, Inc., Class A | 6,738 | 291,351 | |||
Rush Enterprises, Inc., Class B | 1,579 | 60,223 | |||
Sumitomo Corp. | 183,138 | 2,455,594 | |||
Textainer Group Holdings, Ltd. (A) | 8,037 | 271,409 | |||
Titan Machinery, Inc. (A) | 3,532 | 109,280 | |||
Toyota Tsusho Corp. | 34,582 | 1,641,391 | |||
Transcat, Inc. (A) | 1,435 | 81,092 | |||
Triton International, Ltd. | 11,236 | 588,092 | |||
United Rentals, Inc. (A) | 9,833 | 3,136,825 | |||
Univar Solutions, Inc. (A) | 46,318 | 1,129,233 | |||
Veritiv Corp. (A) | 2,635 | 161,842 | |||
W.W. Grainger, Inc. | 5,947 | 2,604,786 | |||
Watsco, Inc. | 8,989 | 2,576,607 | |||
WESCO International, Inc. (A) | 7,468 | 767,860 | |||
61,633,911 | |||||
Transportation infrastructure – 0.1% | |||||
Aena SME SA (A)(B) | 12,199 | 2,001,625 | |||
Aeroports de Paris (A) | 4,829 | 630,337 | |||
Atlantia SpA (A) | 80,589 | 1,463,336 | |||
Auckland International Airport, Ltd. (A) | 203,598 | 1,034,347 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Transportation infrastructure (continued) | |||||
Getlink SE | 71,566 | $ | 1,117,657 | ||
Macquarie Infrastructure Corp. | 12,197 | 466,779 | |||
Sydney Airport (A) | 215,085 | 933,257 | |||
Transurban Group | 445,337 | 4,749,554 | |||
12,396,892 | |||||
1,036,815,210 | |||||
Information technology – 19.0% | |||||
Communications equipment – 0.6% | |||||
ADTRAN, Inc. | 8,291 | 171,209 | |||
Arista Networks, Inc. (A) | 7,466 | 2,705,006 | |||
Aviat Networks, Inc. (A) | 1,765 | 57,839 | |||
CalAmp Corp. (A) | 6,460 | 82,171 | |||
Calix, Inc. (A) | 9,206 | 437,285 | |||
Cambium Networks Corp. (A) | 1,546 | 74,749 | |||
Casa Systems, Inc. (A) | 5,763 | 51,118 | |||
Ciena Corp. (A) | 42,324 | 2,407,812 | |||
Cisco Systems, Inc. | 572,553 | 30,345,309 | |||
Clearfield, Inc. (A) | 2,301 | 86,172 | |||
Comtech Telecommunications Corp. | 4,513 | 109,034 | |||
Digi International, Inc. (A) | 5,936 | 119,373 | |||
DZS, Inc. (A) | 3,355 | 69,616 | |||
EchoStar Corp., Class A (A) | 7,049 | 171,220 | |||
EMCORE Corp. (A) | 6,673 | 61,525 | |||
Extreme Networks, Inc. (A) | 20,999 | 234,349 | |||
F5 Networks, Inc. (A) | 8,099 | 1,511,759 | |||
Harmonic, Inc. (A) | 15,800 | 134,616 | |||
Infinera Corp. (A) | 29,953 | 305,521 | |||
Inseego Corp. (A)(C) | 14,319 | 144,479 | |||
Juniper Networks, Inc. | 44,527 | 1,217,813 | |||
Lumentum Holdings, Inc. (A) | 20,730 | 1,700,482 | |||
Motorola Solutions, Inc. | 23,051 | 4,998,609 | |||
NETGEAR, Inc. (A) | 5,004 | 191,753 | |||
NetScout Systems, Inc. (A) | 31,972 | 912,481 | |||
Nokia OYJ (A) | 876,958 | 4,698,527 | |||
Plantronics, Inc. (A) | 5,756 | 240,198 | |||
Ribbon Communications, Inc. (A) | 12,259 | 93,291 | |||
Telefonaktiebolaget LM Ericsson, B Shares | 474,739 | 5,969,322 | |||
ViaSat, Inc. (A) | 18,589 | 926,476 | |||
Viavi Solutions, Inc. (A) | 38,401 | 678,162 | |||
60,907,276 | |||||
Electronic equipment, instruments and components – 1.2% | |||||
908 Devices, Inc. (A) | 1,293 | 50,104 | |||
Advanced Energy Industries, Inc. | 6,474 | 729,685 | |||
Akoustis Technologies, Inc. (A) | 7,821 | 83,763 | |||
Amphenol Corp., Class A | 81,194 | 5,554,482 | |||
Arlo Technologies, Inc. (A) | 14,322 | 96,960 | |||
Arrow Electronics, Inc. (A) | 20,257 | 2,305,854 | |||
Avnet, Inc. | 27,177 | 1,089,254 | |||
Azbil Corp. | 20,100 | 832,878 | |||
Badger Meter, Inc. | 4,861 | 476,961 | |||
Belden, Inc. | 19,701 | 996,280 | |||
Benchmark Electronics, Inc. | 5,799 | 165,040 | |||
CDW Corp. | 19,048 | 3,326,733 | |||
Cognex Corp. | 48,236 | 4,054,236 | |||
Coherent, Inc. (A) | 6,700 | 1,771,078 | |||
Corning, Inc. | 105,258 | 4,305,052 | |||
CTS Corp. | 5,345 | 198,620 | |||
Daktronics, Inc. (A) | 10,314 | 67,969 | |||
ePlus, Inc. (A) | 2,229 | 193,232 | |||
Fabrinet (A) | 6,159 | 590,463 | |||
FARO Technologies, Inc. (A) | 3,065 | 238,365 | |||
Halma PLC | 61,750 | 2,300,510 | |||
Hamamatsu Photonics KK | 22,800 | 1,373,453 | |||
Hexagon AB, B Shares | 320,435 | 4,747,684 |
The accompanying notes are an integral part of the financial statements. | 155 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Electronic equipment, instruments and components (continued) | |||||
Hirose Electric Company, Ltd. | 5,275 | $ | 771,703 | ||
Ibiden Company, Ltd. | 17,200 | 925,764 | |||
Identiv, Inc. (A) | 3,983 | 67,711 | |||
II-VI, Inc. (A) | 46,229 | 3,355,763 | |||
Insight Enterprises, Inc. (A) | 5,836 | 583,658 | |||
IPG Photonics Corp. (A) | 4,877 | 1,027,925 | |||
Iteris, Inc. (A) | 8,727 | 58,035 | |||
Itron, Inc. (A) | 7,595 | 759,348 | |||
Jabil, Inc. | 36,576 | 2,125,797 | |||
Keyence Corp. | 31,600 | 15,914,491 | |||
Keysight Technologies, Inc. (A) | 25,029 | 3,864,728 | |||
Kimball Electronics, Inc. (A) | 4,365 | 94,895 | |||
Knowles Corp. (A) | 14,685 | 289,882 | |||
Kyocera Corp. | 52,163 | 3,222,648 | |||
Littelfuse, Inc. | 6,707 | 1,708,877 | |||
Luna Innovations, Inc. (A) | 6,375 | 69,041 | |||
Methode Electronics, Inc. | 6,273 | 308,694 | |||
MicroVision, Inc. (A) | 26,723 | 447,610 | |||
Murata Manufacturing Company, Ltd. | 93,439 | 7,117,701 | |||
Napco Security Technologies, Inc. (A) | 2,594 | 94,344 | |||
National Instruments Corp. | 35,945 | 1,519,755 | |||
nLight, Inc. (A) | 7,267 | 263,647 | |||
Novanta, Inc. (A) | 5,887 | 793,332 | |||
Omron Corp. | 30,218 | 2,392,566 | |||
OSI Systems, Inc. (A) | 2,808 | 285,405 | |||
Ouster, Inc. (A) | 4,996 | 62,400 | |||
PAR Technology Corp. (A) | 4,016 | 280,879 | |||
PC Connection, Inc. | 1,826 | 84,489 | |||
Plexus Corp. (A) | 4,642 | 424,325 | |||
Rogers Corp. (A) | 3,139 | 630,311 | |||
Sanmina Corp. (A) | 10,667 | 415,586 | |||
ScanSource, Inc. (A) | 4,279 | 120,368 | |||
Shimadzu Corp. | 38,492 | 1,487,361 | |||
SYNNEX Corp. | 11,330 | 1,379,541 | |||
TDK Corp. | 21,121 | 2,556,794 | |||
TE Connectivity, Ltd. | 44,865 | 6,066,197 | |||
Trimble, Inc. (A) | 34,097 | 2,790,158 | |||
TTM Technologies, Inc. (A) | 17,226 | 246,332 | |||
Velodyne Lidar, Inc. (A) | 12,036 | 128,063 | |||
Venture Corp., Ltd. | 45,000 | 643,767 | |||
Vishay Intertechnology, Inc. | 58,391 | 1,316,717 | |||
Vishay Precision Group, Inc. (A) | 2,401 | 81,730 | |||
Vontier Corp. | 46,103 | 1,502,036 | |||
Yokogawa Electric Corp. | 37,092 | 554,728 | |||
Zebra Technologies Corp., Class A (A) | 7,270 | 3,849,392 | |||
108,233,150 | |||||
IT services – 3.5% | |||||
Accenture PLC, Class A | 86,361 | 25,458,359 | |||
Adyen NV (A)(B) | 3,208 | 7,867,073 | |||
Afterpay, Ltd. (A) | 35,295 | 3,132,792 | |||
Akamai Technologies, Inc. (A) | 22,144 | 2,581,990 | |||
Alliance Data Systems Corp. | 13,581 | 1,415,004 | |||
Amadeus IT Group SA (A) | 73,274 | 5,165,568 | |||
Atos SE | 16,101 | 980,430 | |||
Automatic Data Processing, Inc. | 57,812 | 11,482,619 | |||
Bechtle AG | 4,440 | 825,219 | |||
BigCommerce Holdings, Inc., Series 1 (A) | 7,927 | 514,621 | |||
BM Technologies, Inc. (A) | 823 | 10,238 | |||
Brightcove, Inc. (A) | 7,247 | 103,994 | |||
Broadridge Financial Solutions, Inc. | 15,777 | 2,548,459 | |||
Cantaloupe, Inc. (A) | 10,218 | 121,185 | |||
Capgemini SE (C) | 26,080 | 5,015,533 | |||
Cass Information Systems, Inc. | 2,641 | 107,621 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
IT services (continued) | |||||
Cognizant Technology Solutions Corp., Class A | 71,656 | $ | 4,962,895 | ||
Computershare, Ltd. | 88,173 | 1,117,521 | |||
Concentrix Corp. (A) | 11,374 | 1,828,939 | |||
Conduent, Inc. (A) | 28,841 | 216,308 | |||
CSG Systems International, Inc. | 5,575 | 263,029 | |||
DigitalOcean Holdings, Inc. (A) | 2,219 | 123,354 | |||
DXC Technology Company (A) | 34,619 | 1,348,064 | |||
Edenred | 40,107 | 2,286,769 | |||
EVERTEC, Inc. | 10,153 | 443,178 | |||
EVO Payments, Inc., Class A (A) | 8,006 | 222,086 | |||
ExlService Holdings, Inc. (A) | 5,491 | 583,474 | |||
Fidelity National Information Services, Inc. | 84,252 | 11,935,981 | |||
Fiserv, Inc. (A) | 80,919 | 8,649,432 | |||
FleetCor Technologies, Inc. (A) | 11,324 | 2,899,623 | |||
Fujitsu, Ltd. | 32,023 | 5,991,468 | |||
Gartner, Inc. (A) | 11,695 | 2,832,529 | |||
Genpact, Ltd. | 47,579 | 2,161,514 | |||
Global Payments, Inc. | 40,109 | 7,522,042 | |||
GMO Payment Gateway, Inc. | 6,700 | 870,153 | |||
GreenSky, Inc., Class A (A) | 13,465 | 74,731 | |||
Grid Dynamics Holdings, Inc. (A) | 5,400 | 81,162 | |||
i3 Verticals, Inc., Class A (A) | 3,691 | 111,542 | |||
IBM Corp. | 121,396 | 17,795,440 | |||
International Money Express, Inc. (A) | 6,095 | 90,511 | |||
Itochu Techno-Solutions Corp. | 15,600 | 482,597 | |||
Jack Henry & Associates, Inc. | 10,092 | 1,650,143 | |||
Limelight Networks, Inc. (A) | 23,651 | 74,501 | |||
LiveRamp Holdings, Inc. (A) | 29,687 | 1,390,836 | |||
Marathon Digital Holdings, Inc. (A) | 16,125 | 505,841 | |||
Mastercard, Inc., Class A | 118,851 | 43,391,312 | |||
MAXIMUS, Inc. | 27,003 | 2,375,454 | |||
MoneyGram International, Inc. (A) | 13,350 | 134,568 | |||
NEC Corp. | 39,984 | 2,057,351 | |||
Nexi SpA (A)(B) | 71,475 | 1,570,681 | |||
Nomura Research Institute, Ltd. | 57,300 | 1,892,424 | |||
NTT Data Corp. | 102,610 | 1,601,825 | |||
Obic Company, Ltd. | 11,300 | 2,101,564 | |||
Otsuka Corp. | 18,500 | 969,775 | |||
Paya Holdings, Inc. (A) | 14,073 | 155,084 | |||
Paychex, Inc. | 43,574 | 4,675,490 | |||
PayPal Holdings, Inc. (A) | 159,602 | 46,520,791 | |||
Perficient, Inc. (A) | 5,433 | 436,922 | |||
Rackspace Technology, Inc. (A) | 9,098 | 178,412 | |||
Repay Holdings Corp. (A) | 13,209 | 317,544 | |||
Sabre Corp. (A) | 87,254 | 1,088,930 | |||
SCSK Corp. | 8,500 | 506,461 | |||
Sykes Enterprises, Inc. (A) | 6,407 | 344,056 | |||
The Hackett Group, Inc. | 4,969 | 89,541 | |||
The Western Union Company | 55,601 | 1,277,155 | |||
TIS, Inc. | 36,400 | 928,975 | |||
TTEC Holdings, Inc. | 3,123 | 321,950 | |||
Tucows, Inc., Class A (A)(C) | 1,671 | 134,215 | |||
Unisys Corp. (A) | 11,024 | 279,017 | |||
VeriSign, Inc. (A) | 13,464 | 3,065,618 | |||
Verra Mobility Corp. (A) | 22,810 | 350,590 | |||
Visa, Inc., Class A | 229,853 | 53,744,228 | |||
WEX, Inc. (A) | 12,220 | 2,369,458 | |||
Wix.com, Ltd. (A) | 9,000 | 2,612,520 | |||
Worldline SA (A)(B) | 38,645 | 3,621,213 | |||
324,959,492 | |||||
Semiconductors and semiconductor equipment – 4.4% | |||||
Advanced Micro Devices, Inc. (A) | 165,076 | 15,505,589 | |||
Advantest Corp. | 32,500 | 2,918,071 | |||
Alpha & Omega Semiconductor, Ltd. (A) | 3,733 | 113,446 |
The accompanying notes are an integral part of the financial statements. | 156 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Semiconductors and semiconductor equipment (continued) | |||||
Ambarella, Inc. (A) | 5,875 | $ | 626,451 | ||
Amkor Technology, Inc. | 46,492 | 1,100,466 | |||
Analog Devices, Inc. | 50,110 | 8,626,938 | |||
Applied Materials, Inc. | 124,676 | 17,753,862 | |||
ASM International NV | 7,695 | 2,538,019 | |||
ASML Holding NV | 68,231 | 47,101,175 | |||
Atomera, Inc. (A)(C) | 3,587 | 76,905 | |||
Axcelis Technologies, Inc. (A) | 5,618 | 227,080 | |||
AXT, Inc. (A) | 7,512 | 82,482 | |||
Broadcom, Inc. | 55,473 | 26,451,745 | |||
Brooks Automation, Inc. | 20,292 | 1,933,422 | |||
CEVA, Inc. (A) | 3,865 | 182,815 | |||
Cirrus Logic, Inc. (A) | 15,712 | 1,337,405 | |||
CMC Materials, Inc. | 12,893 | 1,943,491 | |||
Cohu, Inc. (A) | 8,081 | 297,300 | |||
Cree, Inc. (A) | 31,538 | 3,088,516 | |||
Diodes, Inc. (A) | 7,288 | 581,364 | |||
Disco Corp. | 4,700 | 1,429,030 | |||
DSP Group, Inc. (A) | 4,544 | 67,251 | |||
Enphase Energy, Inc. (A) | 18,436 | 3,385,403 | |||
First Solar, Inc. (A) | 23,229 | 2,102,457 | |||
FormFactor, Inc. (A) | 13,117 | 478,246 | |||
Ichor Holdings, Ltd. (A) | 4,679 | 251,730 | |||
Impinj, Inc. (A) | 3,178 | 163,953 | |||
Infineon Technologies AG | 212,408 | 8,543,742 | |||
Intel Corp. | 548,613 | 30,799,134 | |||
KLA Corp. | 20,825 | 6,751,673 | |||
Kopin Corp. (A) | 13,325 | 108,999 | |||
Kulicke & Soffa Industries, Inc. | 10,301 | 630,421 | |||
Lam Research Corp. | 19,377 | 12,608,614 | |||
Lasertec Corp. | 12,300 | 2,379,127 | |||
Lattice Semiconductor Corp. (A) | 60,105 | 3,376,699 | |||
MACOM Technology Solutions Holdings, Inc. (A) | 8,199 | 525,392 | |||
Maxim Integrated Products, Inc. | 36,460 | 3,841,426 | |||
MaxLinear, Inc. (A) | 11,796 | 501,212 | |||
Microchip Technology, Inc. | 37,163 | 5,564,788 | |||
Micron Technology, Inc. (A) | 152,358 | 12,947,383 | |||
MKS Instruments, Inc. | 15,119 | 2,690,426 | |||
Monolithic Power Systems, Inc. | 5,843 | 2,182,068 | |||
NeoPhotonics Corp. (A) | 8,892 | 90,787 | |||
NVE Corp. | 1,008 | 74,642 | |||
NVIDIA Corp. | 84,642 | 67,722,064 | |||
NXP Semiconductors NV | 37,464 | 7,707,094 | |||
Onto Innovation, Inc. (A) | 8,211 | 599,731 | |||
PDF Solutions, Inc. (A) | 5,471 | 99,463 | |||
Photronics, Inc. (A) | 10,311 | 136,208 | |||
Power Integrations, Inc. | 10,090 | 827,985 | |||
Qorvo, Inc. (A) | 15,296 | 2,992,662 | |||
QUALCOMM, Inc. | 153,253 | 21,904,451 | |||
Rambus, Inc. (A) | 18,952 | 449,352 | |||
Renesas Electronics Corp. (A) | 140,900 | 1,520,642 | |||
Rohm Company, Ltd. | 14,242 | 1,310,658 | |||
Semtech Corp. (A) | 28,563 | 1,965,134 | |||
Silicon Laboratories, Inc. (A) | 19,657 | 3,012,435 | |||
SiTime Corp. (A) | 2,178 | 275,713 | |||
Skyworks Solutions, Inc. | 22,430 | 4,300,953 | |||
SMART Global Holdings, Inc. (A) | 2,500 | 119,200 | |||
SolarEdge Technologies, Inc. (A) | 14,196 | 3,923,349 | |||
STMicroelectronics NV | 111,077 | 4,039,489 | |||
SUMCO Corp. | 45,000 | 1,102,323 | |||
SunPower Corp. (A)(C) | 13,479 | 393,856 | |||
Synaptics, Inc. (A) | 15,545 | 2,418,491 | |||
Teradyne, Inc. | 22,589 | 3,026,022 | |||
Texas Instruments, Inc. | 125,472 | 24,128,266 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Semiconductors and semiconductor equipment (continued) | |||||
Tokyo Electron, Ltd. | 24,260 | $ | 10,489,640 | ||
Ultra Clean Holdings, Inc. (A) | 7,317 | 393,069 | |||
Universal Display Corp. | 11,716 | 2,604,818 | |||
Veeco Instruments, Inc. (A) | 8,465 | 203,499 | |||
Xilinx, Inc. | 33,400 | 4,830,976 | |||
406,478,688 | |||||
Software – 5.8% | |||||
8x8, Inc. (A) | 18,055 | 501,207 | |||
A10 Networks, Inc. (A) | 10,621 | 119,592 | |||
ACI Worldwide, Inc. (A) | 52,050 | 1,933,137 | |||
Adobe, Inc. (A) | 64,942 | 38,032,633 | |||
Agilysys, Inc. (A) | 3,321 | 188,865 | |||
Alarm.com Holdings, Inc. (A) | 7,971 | 675,144 | |||
Alkami Technology, Inc. (A) | 1,214 | 43,303 | |||
Altair Engineering, Inc., Class A (A) | 7,700 | 531,069 | |||
American Software, Inc., Class A | 5,741 | 126,072 | |||
ANSYS, Inc. (A) | 11,841 | 4,109,537 | |||
Appfolio, Inc., Class A (A) | 3,173 | 448,028 | |||
Appian Corp. (A)(C) | 6,633 | 913,696 | |||
Asana, Inc., Class A (A) | 12,454 | 772,522 | |||
Aspen Technology, Inc. (A) | 18,577 | 2,555,081 | |||
Autodesk, Inc. (A) | 29,892 | 8,725,475 | |||
Avaya Holdings Corp. (A) | 13,940 | 374,986 | |||
AVEVA Group PLC | 18,699 | 959,744 | |||
Benefitfocus, Inc. (A) | 4,535 | 63,944 | |||
Blackbaud, Inc. (A) | 21,463 | 1,643,422 | |||
Blackline, Inc. (A) | 9,032 | 1,004,991 | |||
Bottomline Technologies DE, Inc. (A) | 7,556 | 280,176 | |||
Box, Inc., Class A (A) | 24,732 | 631,903 | |||
BTRS Holdings, Inc. (A) | 8,154 | 102,903 | |||
Cadence Design Systems, Inc. (A) | 37,806 | 5,172,617 | |||
CDK Global, Inc. | 33,260 | 1,652,689 | |||
Cerence, Inc. (A) | 6,389 | 681,770 | |||
Ceridian HCM Holding, Inc. (A) | 35,869 | 3,440,554 | |||
ChannelAdvisor Corp. (A) | 5,087 | 124,682 | |||
Check Point Software Technologies, Ltd. (A) | 18,226 | 2,116,585 | |||
Citrix Systems, Inc. | 16,870 | 1,978,345 | |||
Cleanspark, Inc. (A) | 5,689 | 94,665 | |||
Cloudera, Inc. (A) | 39,003 | 618,588 | |||
CommVault Systems, Inc. (A) | 19,706 | 1,540,418 | |||
Cornerstone OnDemand, Inc. (A) | 10,604 | 546,954 | |||
CyberArk Software, Ltd. (A) | 6,300 | 820,701 | |||
Dassault Systemes SE | 21,491 | 5,215,783 | |||
Digimarc Corp. (A)(C) | 2,388 | 79,998 | |||
Digital Turbine, Inc. (A) | 14,236 | 1,082,363 | |||
Domo, Inc., Class B (A) | 4,660 | 376,668 | |||
Ebix, Inc. | 4,538 | 153,838 | |||
Envestnet, Inc. (A) | 24,001 | 1,820,716 | |||
Fair Isaac Corp. (A) | 7,860 | 3,951,065 | |||
Fortinet, Inc. (A) | 18,417 | 4,386,745 | |||
Ideanomics, Inc. (A) | 68,957 | 195,838 | |||
InterDigital, Inc. | 5,239 | 382,604 | |||
Intuit, Inc. | 37,126 | 18,198,051 | |||
j2 Global, Inc. (A) | 18,861 | 2,594,331 | |||
JFrog, Ltd. (A) | 8,729 | 397,344 | |||
LivePerson, Inc. (A) | 10,806 | 683,371 | |||
Manhattan Associates, Inc. (A) | 17,375 | 2,516,595 | |||
Microsoft Corp. | 1,023,259 | 277,200,863 | |||
MicroStrategy, Inc., Class A (A)(C) | 1,321 | 877,805 | |||
Mimecast, Ltd. (A) | 10,055 | 533,418 | |||
Mitek Systems, Inc. (A) | 7,350 | 141,561 | |||
Model N, Inc. (A) | 5,893 | 201,953 | |||
Momentive Global, Inc. (A) | 21,666 | 456,503 | |||
Nemetschek SE | 9,393 | 719,001 |
The accompanying notes are an integral part of the financial statements. | 157 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Software (continued) | |||||
Nice, Ltd. (A) | 10,203 | $ | 2,518,441 | ||
NortonLifeLock, Inc. | 78,793 | 2,144,745 | |||
ON24, Inc. (A) | 1,634 | 57,974 | |||
OneSpan, Inc. (A) | 6,066 | 154,926 | |||
Oracle Corp. | 246,811 | 19,211,768 | |||
Oracle Corp. Japan | 6,306 | 481,833 | |||
PagerDuty, Inc. (A) | 13,645 | 581,004 | |||
Paycom Software, Inc. (A) | 6,674 | 2,425,799 | |||
Paylocity Holding Corp. (A) | 10,267 | 1,958,944 | |||
Ping Identity Holding Corp. (A) | 7,408 | 169,643 | |||
Progress Software Corp. | 7,401 | 342,296 | |||
PROS Holdings, Inc. (A) | 6,816 | 310,605 | |||
PTC, Inc. (A) | 14,289 | 2,018,464 | |||
Q2 Holdings, Inc. (A) | 9,202 | 943,941 | |||
QAD, Inc., Class A | 2,079 | 180,915 | |||
Qualys, Inc. (A) | 14,945 | 1,504,812 | |||
Rapid7, Inc. (A) | 9,263 | 876,558 | |||
Rimini Street, Inc. (A) | 8,188 | 50,438 | |||
Riot Blockchain, Inc. (A) | 14,238 | 536,345 | |||
Sailpoint Technologies Holdings, Inc. (A) | 40,482 | 2,067,416 | |||
salesforce.com, Inc. (A) | 125,809 | 30,731,364 | |||
SAP SE | 169,844 | 23,856,233 | |||
Sapiens International Corp. NV | 5,283 | 138,784 | |||
ServiceNow, Inc. (A) | 26,826 | 14,742,228 | |||
ShotSpotter, Inc. (A) | 1,648 | 80,373 | |||
Sinch AB (A)(B) | 78,463 | 1,320,313 | |||
Smith Micro Software, Inc. (A) | 9,566 | 49,935 | |||
Sprout Social, Inc., Class A (A) | 7,472 | 668,146 | |||
SPS Commerce, Inc. (A) | 6,053 | 604,392 | |||
Sumo Logic, Inc. (A) | 13,833 | 285,651 | |||
Synopsys, Inc. (A) | 20,726 | 5,716,024 | |||
TeamViewer AG (A)(B) | 26,163 | 982,602 | |||
Telos Corp. (A) | 2,954 | 100,466 | |||
Temenos AG | 10,863 | 1,746,494 | |||
Tenable Holdings, Inc. (A) | 15,353 | 634,847 | |||
Teradata Corp. (A) | 29,935 | 1,495,852 | |||
The Sage Group PLC | 178,297 | 1,688,871 | |||
Trend Micro, Inc. | 21,764 | 1,139,639 | |||
Tyler Technologies, Inc. (A) | 5,535 | 2,503,868 | |||
Upland Software, Inc. (A) | 4,948 | 203,709 | |||
Varonis Systems, Inc. (A) | 17,849 | 1,028,459 | |||
Verint Systems, Inc. (A) | 10,712 | 482,790 | |||
Veritone, Inc. (A) | 4,963 | 97,821 | |||
Viant Technology, Inc., Class A (A) | 2,062 | 61,406 | |||
VirnetX Holding Corp. (A)(C) | 12,280 | 52,436 | |||
Vonage Holdings Corp. (A) | 40,847 | 588,605 | |||
WiseTech Global, Ltd. | 23,781 | 568,286 | |||
Workiva, Inc. (A) | 7,090 | 789,330 | |||
Xero, Ltd. (A) | 21,478 | 2,209,221 | |||
Xperi Holding Corp. | 17,852 | 397,028 | |||
Yext, Inc. (A) | 18,854 | 269,424 | |||
Zix Corp. (A) | 10,510 | 74,096 | |||
Zuora, Inc., Class A (A) | 17,827 | 307,516 | |||
539,845,488 | |||||
Technology hardware, storage and peripherals – 3.5% | |||||
3D Systems Corp. (A) | 20,432 | 816,667 | |||
Apple, Inc. | 2,131,190 | 291,887,782 | |||
Avid Technology, Inc. (A) | 6,123 | 239,715 | |||
Brother Industries, Ltd. | 38,336 | 765,701 | |||
Canon, Inc. (C) | 162,677 | 3,676,819 | |||
Corsair Gaming, Inc. (A)(C) | 4,499 | 149,772 | |||
Diebold Nixdorf, Inc. (A) | 12,304 | 157,983 | |||
Eastman Kodak Company (A) | 8,123 | 67,583 | |||
FUJIFILM Holdings Corp. | 58,638 | 4,337,364 | |||
Hewlett Packard Enterprise Company | 177,426 | 2,586,871 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Technology hardware, storage and peripherals (continued) | |||||
HP, Inc. | 163,205 | $ | 4,927,159 | ||
Logitech International SA | 28,156 | 3,419,331 | |||
NCR Corp. (A) | 35,752 | 1,630,649 | |||
NetApp, Inc. | 30,243 | 2,474,482 | |||
Quantum Corp. (A) | 10,486 | 72,249 | |||
Ricoh Company, Ltd. | 109,077 | 1,227,774 | |||
Seagate Technology Holdings PLC | 27,053 | 2,378,770 | |||
Seiko Epson Corp. | 45,547 | 800,626 | |||
Super Micro Computer, Inc. (A) | 7,223 | 254,105 | |||
Turtle Beach Corp. (A) | 2,618 | 83,567 | |||
Western Digital Corp. (A) | 41,635 | 2,963,163 | |||
Xerox Holdings Corp. | 44,037 | 1,034,429 | |||
325,952,561 | |||||
1,766,376,655 | |||||
Materials – 4.4% | |||||
Chemicals – 2.3% | |||||
AdvanSix, Inc. (A) | 4,686 | 139,924 | |||
Air Liquide SA | 77,044 | 13,509,663 | |||
Air Products & Chemicals, Inc. | 30,068 | 8,649,962 | |||
Akzo Nobel NV | 30,998 | 3,838,197 | |||
Albemarle Corp. | 15,858 | 2,671,439 | |||
American Vanguard Corp. | 5,531 | 96,848 | |||
Amyris, Inc. (A) | 28,239 | 462,272 | |||
Arkema SA | 9,985 | 1,254,955 | |||
Asahi Kasei Corp. | 204,057 | 2,242,827 | |||
Ashland Global Holdings, Inc. | 14,923 | 1,305,763 | |||
Avient Corp. | 40,196 | 1,976,035 | |||
Balchem Corp. | 5,350 | 702,241 | |||
BASF SE | 149,390 | 11,792,809 | |||
Cabot Corp. | 24,958 | 1,420,859 | |||
Celanese Corp. | 15,303 | 2,319,935 | |||
CF Industries Holdings, Inc. | 29,144 | 1,499,459 | |||
Chase Corp. | 1,291 | 132,470 | |||
Chr. Hansen Holding A/S | 17,157 | 1,548,148 | |||
Clariant AG | 35,094 | 698,801 | |||
Corteva, Inc. | 100,145 | 4,441,431 | |||
Covestro AG (B) | 31,424 | 2,031,828 | |||
Croda International PLC | 22,693 | 2,314,552 | |||
Danimer Scientific, Inc. (A)(C) | 11,604 | 290,680 | |||
Dow, Inc. | 101,488 | 6,422,161 | |||
DuPont de Nemours, Inc. | 72,298 | 5,596,588 | |||
Eastman Chemical Company | 18,547 | 2,165,362 | |||
Ecolab, Inc. | 33,798 | 6,961,374 | |||
EMS-Chemie Holding AG | 1,141 | 1,121,497 | |||
Evonik Industries AG | 34,107 | 1,145,088 | |||
Ferro Corp. (A) | 13,749 | 296,566 | |||
FMC Corp. | 17,509 | 1,894,474 | |||
GCP Applied Technologies, Inc. (A) | 8,466 | 196,919 | |||
Givaudan SA | 1,502 | 6,992,127 | |||
Hawkins, Inc. | 3,546 | 116,132 | |||
HB Fuller Company | 8,631 | 549,018 | |||
ICL Group, Ltd. | 114,575 | 777,445 | |||
Ingevity Corp. (A) | 17,688 | 1,439,096 | |||
Innospec, Inc. | 4,075 | 369,236 | |||
International Flavors & Fragrances, Inc. | 33,819 | 5,052,559 | |||
Intrepid Potash, Inc. (A) | 1,865 | 59,419 | |||
Johnson Matthey PLC | 31,478 | 1,340,214 | |||
JSR Corp. | 33,090 | 1,005,179 | |||
Kansai Paint Company, Ltd. | 28,854 | 736,528 | |||
Koninklijke DSM NV | 28,033 | 5,240,295 | |||
Koppers Holdings, Inc. (A) | 3,799 | 122,898 | |||
Kraton Corp. (A) | 5,385 | 173,882 | |||
Kronos Worldwide, Inc. | 3,827 | 54,803 | |||
LANXESS AG | 13,512 | 927,315 | |||
Linde PLC | 70,677 | 20,432,721 |
The accompanying notes are an integral part of the financial statements. | 158 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Chemicals (continued) | |||||
Livent Corp. (A) | 24,954 | $ | 483,109 | ||
LyondellBasell Industries NV, Class A | 34,978 | 3,598,187 | |||
Minerals Technologies, Inc. | 14,756 | 1,160,855 | |||
Mitsubishi Chemical Holdings Corp. | 208,259 | 1,752,290 | |||
Mitsubishi Gas Chemical Company, Inc. | 25,670 | 543,944 | |||
Mitsui Chemicals, Inc. | 29,918 | 1,034,199 | |||
NewMarket Corp. | 2,000 | 643,960 | |||
Nippon Paint Holdings Company, Ltd. | 115,700 | 1,565,201 | |||
Nippon Sanso Holdings Corp. | 24,657 | 506,160 | |||
Nissan Chemical Corp. | 20,000 | 977,601 | |||
Nitto Denko Corp. | 24,487 | 1,823,556 | |||
Novozymes A/S, B Shares | 33,852 | 2,554,120 | |||
Olin Corp. | 39,135 | 1,810,385 | |||
Orica, Ltd. | 66,187 | 658,250 | |||
Orion Engineered Carbons SA (A) | 10,247 | 194,591 | |||
PPG Industries, Inc. | 32,212 | 5,468,631 | |||
PQ Group Holdings, Inc. | 8,763 | 134,600 | |||
PureCycle Technologies, Inc. (A)(C) | 5,702 | 134,852 | |||
Quaker Chemical Corp. | 2,264 | 536,998 | |||
Rayonier Advanced Materials, Inc. (A) | 11,343 | 75,885 | |||
RPM International, Inc. | 35,373 | 3,136,878 | |||
Sensient Technologies Corp. | 18,573 | 1,607,679 | |||
Shin-Etsu Chemical Company, Ltd. | 57,646 | 9,641,907 | |||
Sika AG | 23,061 | 7,555,652 | |||
Solvay SA | 12,054 | 1,534,274 | |||
Stepan Company | 3,498 | 420,704 | |||
Sumitomo Chemical Company, Ltd. | 242,344 | 1,288,025 | |||
Symrise AG | 20,926 | 2,916,178 | |||
The Chemours Company | 45,209 | 1,573,273 | |||
The Mosaic Company | 46,955 | 1,498,334 | |||
The Scotts Miracle-Gro Company | 11,106 | 2,131,464 | |||
The Sherwin-Williams Company | 32,519 | 8,859,802 | |||
Toray Industries, Inc. | 225,572 | 1,503,655 | |||
Tosoh Corp. | 42,300 | 729,371 | |||
Tredegar Corp. | 4,990 | 68,712 | |||
Trinseo SA | 6,475 | 387,464 | |||
Tronox Holdings PLC, Class A | 19,256 | 431,334 | |||
Umicore SA | 32,062 | 1,961,493 | |||
Valvoline, Inc. | 49,457 | 1,605,374 | |||
Yara International ASA | 28,347 | 1,493,727 | |||
Zymergen, Inc. (A) | 3,193 | 127,752 | |||
212,660,420 | |||||
Construction materials – 0.3% | |||||
CRH PLC | 127,691 | 6,457,502 | |||
Eagle Materials, Inc. | 11,575 | 1,644,923 | |||
Forterra, Inc. (A) | 4,996 | 117,456 | |||
HeidelbergCement AG | 24,204 | 2,078,071 | |||
Holcim, Ltd. (A) | 85,153 | 5,118,383 | |||
James Hardie Industries PLC, CHESS Depositary Interest | 72,244 | 2,451,389 | |||
Martin Marietta Materials, Inc. | 8,474 | 2,981,238 | |||
Summit Materials, Inc., Class A (A) | 19,745 | 688,113 | |||
U.S. Concrete, Inc. (A) | 2,773 | 204,647 | |||
United States Lime & Minerals, Inc. | 441 | 61,339 | |||
Vulcan Materials Company | 18,024 | 3,137,438 | |||
24,940,499 | |||||
Containers and packaging – 0.3% | |||||
Amcor PLC | 209,473 | 2,400,561 | |||
AptarGroup, Inc. | 17,948 | 2,527,796 | |||
Avery Dennison Corp. | 11,278 | 2,371,087 | |||
Ball Corp. | 44,597 | 3,613,249 | |||
Greif, Inc., Class A | 11,251 | 681,248 | |||
Greif, Inc., Class B | 1,274 | 75,166 | |||
International Paper Company | 53,223 | 3,263,102 | |||
Myers Industries, Inc. | 6,348 | 133,308 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Containers and packaging (continued) | |||||
O-I Glass, Inc. (A) | 26,428 | $ | 431,569 | ||
Packaging Corp. of America | 12,906 | 1,747,731 | |||
Pactiv Evergreen, Inc. | 7,161 | 107,916 | |||
Ranpak Holdings Corp. (A) | 6,049 | 151,406 | |||
Sealed Air Corp. | 20,649 | 1,223,453 | |||
Silgan Holdings, Inc. | 21,409 | 888,474 | |||
Smurfit Kappa Group PLC | 39,862 | 2,167,827 | |||
Sonoco Products Company | 27,480 | 1,838,412 | |||
UFP Technologies, Inc. (A) | 1,556 | 89,346 | |||
Westrock Company | 36,155 | 1,924,169 | |||
25,635,820 | |||||
Metals and mining – 1.4% | |||||
1911 Gold Corp. (A) | 3,149 | 1,017 | |||
Allegheny Technologies, Inc. (A) | 21,372 | 445,606 | |||
Anglo American PLC | 210,625 | 8,381,640 | |||
Antofagasta PLC | 64,140 | 1,275,477 | |||
ArcelorMittal SA | 116,592 | 3,589,525 | |||
Arconic Corp. (A) | 18,555 | 660,929 | |||
BHP Group PLC | 343,528 | 10,165,322 | |||
BHP Group, Ltd. | 479,142 | 17,431,335 | |||
BlueScope Steel, Ltd. | 81,941 | 1,346,433 | |||
Boliden AB | 44,486 | 1,711,798 | |||
Carpenter Technology Corp. | 8,050 | 323,771 | |||
Century Aluminum Company (A) | 8,923 | 115,017 | |||
Cleveland-Cliffs, Inc. (A)(C) | 125,487 | 2,705,500 | |||
Coeur Mining, Inc. (A) | 41,625 | 369,630 | |||
Commercial Metals Company | 52,930 | 1,626,010 | |||
Compass Minerals International, Inc. | 14,945 | 885,641 | |||
Constellium SE (A) | 20,572 | �� | 389,839 | ||
Evolution Mining, Ltd. | 277,915 | 938,998 | |||
Evraz PLC | 82,936 | 680,425 | |||
Fortescue Metals Group, Ltd. | 275,436 | 4,811,568 | |||
Freeport-McMoRan, Inc. | 199,110 | 7,388,972 | |||
Gatos Silver, Inc. (A) | 6,317 | 110,484 | |||
Glencore PLC (A) | 1,625,400 | 6,976,362 | |||
Haynes International, Inc. | 2,423 | 85,726 | |||
Hecla Mining Company | 90,156 | 670,761 | |||
Hitachi Metals, Ltd. (A) | 34,864 | 666,249 | |||
JFE Holdings, Inc. | 79,933 | 937,766 | |||
Kaiser Aluminum Corp. | 2,685 | 331,571 | |||
Materion Corp. | 3,455 | 260,334 | |||
MP Materials Corp. (A)(C) | 12,253 | 451,646 | |||
Newcrest Mining, Ltd. | 132,814 | 2,518,658 | |||
Newmont Corp. | 108,848 | 6,898,786 | |||
Nippon Steel Corp. | 139,100 | 2,351,928 | |||
Norsk Hydro ASA | 218,739 | 1,396,516 | |||
Northern Star Resources, Ltd. | 179,773 | 1,320,274 | |||
Novagold Resources, Inc. (A) | 41,399 | 331,606 | |||
Nucor Corp. | 40,656 | 3,900,130 | |||
Olympic Steel, Inc. | 1,868 | 54,901 | |||
Reliance Steel & Aluminum Company | 17,400 | 2,625,660 | |||
Rio Tinto PLC | 182,539 | 15,075,431 | |||
Rio Tinto, Ltd. | 60,378 | 5,724,166 | |||
Royal Gold, Inc. | 17,919 | 2,044,558 | |||
Schnitzer Steel Industries, Inc., Class A | 4,457 | 218,616 | |||
South32, Ltd. | 777,594 | 1,705,252 | |||
Steel Dynamics, Inc. | 54,805 | 3,266,378 | |||
Sumitomo Metal Mining Company, Ltd. | 40,207 | 1,563,680 | |||
SunCoke Energy, Inc. | 14,943 | 106,693 | |||
TimkenSteel Corp. (A) | 7,806 | 110,455 | |||
United States Steel Corp. (C) | 73,651 | 1,767,624 | |||
voestalpine AG | 18,877 | 769,979 | |||
Warrior Met Coal, Inc. | 8,799 | 151,343 | |||
Worthington Industries, Inc. | 15,280 | 934,830 | |||
130,572,816 |
The accompanying notes are an integral part of the financial statements. | 159 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Paper and forest products – 0.1% | |||||
Clearwater Paper Corp. (A) | 2,955 | $ | 85,606 | ||
Domtar Corp. (A) | 8,343 | 458,531 | |||
Glatfelter Corp. | 7,790 | 108,826 | |||
Louisiana-Pacific Corp. | 27,928 | 1,683,779 | |||
Mondi PLC | 78,975 | 2,079,275 | |||
Neenah, Inc. | 2,886 | 144,791 | |||
Oji Holdings Corp. | 132,038 | 758,786 | |||
Schweitzer-Mauduit International, Inc. | 5,337 | 215,508 | |||
Stora Enso OYJ, R Shares | 94,621 | 1,727,864 | |||
Svenska Cellulosa AB SCA, B Shares | 98,544 | 1,616,336 | |||
UPM-Kymmene OYJ | 86,812 | 3,286,519 | |||
Verso Corp., Class A | 5,532 | 97,916 | |||
12,263,737 | |||||
406,073,292 | |||||
Real estate – 3.3% | |||||
Equity real estate investment trusts – 2.7% | |||||
Acadia Realty Trust | 14,334 | 314,775 | |||
Agree Realty Corp. | 10,933 | 770,667 | |||
Alexander & Baldwin, Inc. | 12,164 | 222,844 | |||
Alexander's, Inc. | 388 | 103,965 | |||
Alexandria Real Estate Equities, Inc. | 18,637 | 3,390,816 | |||
American Assets Trust, Inc. | 8,394 | 313,012 | |||
American Campus Communities, Inc. | 37,655 | 1,759,242 | |||
American Finance Trust, Inc. | 18,873 | 160,043 | |||
American Tower Corp. | 61,776 | 16,688,140 | |||
Apartment Income REIT Corp. | 42,833 | 2,031,569 | |||
Apartment Investment and Management Company, Class A | 24,905 | 167,113 | |||
Apple Hospitality REIT, Inc. | 35,025 | 534,482 | |||
Armada Hoffler Properties, Inc. | 10,607 | 140,967 | |||
Ascendas Real Estate Investment Trust | 523,178 | 1,149,693 | |||
Ashford Hospitality Trust, Inc. (A) | 19,097 | 87,082 | |||
AvalonBay Communities, Inc. | 18,967 | 3,958,223 | |||
Boston Properties, Inc. | 19,296 | 2,211,129 | |||
Braemar Hotels & Resorts, Inc. (A) | 8,911 | 55,337 | |||
Brandywine Realty Trust | 28,041 | 384,442 | |||
Brixmor Property Group, Inc. | 81,106 | 1,856,516 | |||
Broadstone Net Lease, Inc. | 23,605 | 552,593 | |||
Camden Property Trust | 26,680 | 3,539,636 | |||
CapitaLand Integrated Commercial Trust | 737,094 | 1,147,595 | |||
CareTrust REIT, Inc. | 16,411 | 381,228 | |||
CatchMark Timber Trust, Inc., Class A | 9,410 | 110,097 | |||
Centerspace | 2,274 | 179,419 | |||
Chatham Lodging Trust (A) | 8,548 | 110,013 | |||
City Office REIT, Inc. | 8,452 | 105,058 | |||
Columbia Property Trust, Inc. | 19,158 | 333,158 | |||
Community Healthcare Trust, Inc. | 3,982 | 188,986 | |||
CorePoint Lodging, Inc. (A) | 7,600 | 81,320 | |||
CoreSite Realty Corp. | 11,740 | 1,580,204 | |||
Corporate Office Properties Trust | 49,229 | 1,377,920 | |||
Cousins Properties, Inc. | 40,601 | 1,493,305 | |||
Covivio | 8,461 | 724,323 | |||
Crown Castle International Corp. | 58,718 | 11,455,882 | |||
CTO Realty Growth, Inc. | 1,415 | 75,731 | |||
CyrusOne, Inc. | 33,468 | 2,393,631 | |||
Daiwa House REIT Investment Corp. | 321 | 944,597 | |||
Dexus | 176,647 | 1,408,179 | |||
DiamondRock Hospitality Company (A) | 35,351 | 342,905 | |||
Digital Realty Trust, Inc. | 38,257 | 5,756,148 | |||
DigitalBridge Group, Inc. (A) | 80,966 | 639,631 | |||
Diversified Healthcare Trust | 40,716 | 170,193 | |||
Douglas Emmett, Inc. | 45,050 | 1,514,581 | |||
Duke Realty Corp. | 50,946 | 2,412,293 | |||
Easterly Government Properties, Inc. | 14,070 | 296,596 | |||
EastGroup Properties, Inc. | 17,451 | 2,869,817 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Equity real estate investment trusts (continued) | |||||
Empire State Realty Trust, Inc., Class A | 23,764 | $ | 285,168 | ||
EPR Properties (A) | 20,421 | 1,075,778 | |||
Equinix, Inc. | 12,171 | 9,768,445 | |||
Equity Commonwealth | 18,315 | 479,853 | |||
Equity Residential | 46,748 | 3,599,596 | |||
Essential Properties Realty Trust, Inc. | 19,736 | 533,661 | |||
Essex Property Trust, Inc. | 8,831 | 2,649,388 | |||
Extra Space Storage, Inc. | 18,169 | 2,976,446 | |||
Farmland Partners, Inc. | 5,330 | 64,227 | |||
Federal Realty Investment Trust | 9,613 | 1,126,355 | |||
First Industrial Realty Trust, Inc. | 35,268 | 1,842,048 | |||
Four Corners Property Trust, Inc. | 12,782 | 352,911 | |||
Franklin Street Properties Corp. | 19,300 | 101,518 | |||
Gecina SA | 7,468 | 1,144,184 | |||
Getty Realty Corp. | 6,447 | 200,824 | |||
Gladstone Commercial Corp. | 6,547 | 147,700 | |||
Gladstone Land Corp. | 4,602 | 110,724 | |||
Global Medical REIT, Inc. | 10,041 | 148,205 | |||
Global Net Lease, Inc. | 15,890 | 293,965 | |||
GLP J-REIT | 671 | 1,156,090 | |||
Goodman Group | 270,437 | 4,279,847 | |||
Healthcare Realty Trust, Inc. | 62,055 | 1,874,061 | |||
Healthpeak Properties, Inc. | 73,221 | 2,437,527 | |||
Hersha Hospitality Trust (A) | 6,045 | 65,044 | |||
Highwoods Properties, Inc. | 28,420 | 1,283,731 | |||
Host Hotels & Resorts, Inc. (A) | 95,930 | 1,639,444 | |||
Hudson Pacific Properties, Inc. | 41,229 | 1,146,991 | |||
Independence Realty Trust, Inc. | 16,565 | 301,980 | |||
Indus Realty Trust, Inc. | 965 | 63,352 | |||
Industrial Logistics Properties Trust | 10,835 | 283,227 | |||
Innovative Industrial Properties, Inc. | 3,994 | 762,934 | |||
Iron Mountain, Inc. | 39,228 | 1,660,129 | |||
iStar, Inc. | 11,969 | 248,117 | |||
Japan Metropolitan Fund Investment Corp. | 1,137 | 1,232,473 | |||
Japan Real Estate Investment Corp. | 203 | 1,246,722 | |||
JBG SMITH Properties | 30,169 | 950,625 | |||
Kilroy Realty Corp. | 28,943 | 2,015,591 | |||
Kimco Realty Corp. | 58,891 | 1,227,877 | |||
Kite Realty Group Trust | 13,893 | 305,785 | |||
Klepierre SA | 33,570 | 864,889 | |||
Lamar Advertising Company, Class A | 23,677 | 2,472,352 | |||
Land Securities Group PLC | 114,570 | 1,069,243 | |||
Lexington Realty Trust | 44,413 | 530,735 | |||
Life Storage, Inc. | 20,991 | 2,253,384 | |||
Link REIT | 338,606 | 3,276,127 | |||
LTC Properties, Inc. | 6,595 | 253,182 | |||
Mack-Cali Realty Corp. | 15,029 | 257,747 | |||
Mapletree Commercial Trust | 350,600 | 563,954 | |||
Mapletree Logistics Trust | 487,700 | 745,558 | |||
Medical Properties Trust, Inc. | 160,652 | 3,229,105 | |||
Mid-America Apartment Communities, Inc. | 15,554 | 2,619,605 | |||
Mirvac Group | 640,443 | 1,396,393 | |||
Monmouth Real Estate Investment Corp. | 15,826 | 296,263 | |||
National Health Investors, Inc. | 7,235 | 485,107 | |||
National Retail Properties, Inc. | 47,955 | 2,248,130 | |||
National Storage Affiliates Trust | 30,582 | 1,546,226 | |||
NETSTREIT Corp. | 6,791 | 156,600 | |||
New Senior Investment Group, Inc. | 15,318 | 134,492 | |||
NexPoint Residential Trust, Inc. | 3,690 | 202,876 | |||
Nippon Building Fund, Inc. | 242 | 1,507,793 | |||
Nippon Prologis REIT, Inc. | 336 | 1,068,519 | |||
Nomura Real Estate Master Fund, Inc. | 690 | 1,104,300 | |||
Office Properties Income Trust | 8,460 | 247,963 | |||
Omega Healthcare Investors, Inc. | 64,283 | 2,332,830 | |||
One Liberty Properties, Inc. | 3,421 | 97,122 |
The accompanying notes are an integral part of the financial statements. | 160 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Equity real estate investment trusts (continued) | |||||
Orix JREIT, Inc. | 426 | $ | 817,798 | ||
Outfront Media, Inc. (A) | 24,352 | 585,179 | |||
Paramount Group, Inc. | 31,107 | 313,247 | |||
Park Hotels & Resorts, Inc. (A) | 64,592 | 1,331,241 | |||
Pebblebrook Hotel Trust | 57,775 | 1,360,601 | |||
Physicians Realty Trust | 94,059 | 1,737,270 | |||
Piedmont Office Realty Trust, Inc., Class A | 20,692 | 382,181 | |||
Plymouth Industrial REIT, Inc. | 5,450 | 109,109 | |||
Postal Realty Trust, Inc., Class A | 3,156 | 57,565 | |||
PotlatchDeltic Corp. | 29,466 | 1,566,118 | |||
Preferred Apartment Communities, Inc., Class A | 9,285 | 90,529 | |||
Prologis, Inc. | 100,508 | 12,013,721 | |||
PS Business Parks, Inc. | 8,756 | 1,296,588 | |||
Public Storage | 20,683 | 6,219,171 | |||
QTS Realty Trust, Inc., Class A | 11,396 | 880,911 | |||
Rayonier, Inc. | 37,973 | 1,364,370 | |||
Realty Income Corp. | 50,754 | 3,387,322 | |||
Regency Centers Corp. | 21,463 | 1,375,134 | |||
Retail Opportunity Investments Corp. | 19,608 | 346,277 | |||
Retail Properties of America, Inc., Class A | 36,059 | 412,876 | |||
Retail Value, Inc. | 3,515 | 76,451 | |||
Rexford Industrial Realty, Inc. | 36,616 | 2,085,281 | |||
RLJ Lodging Trust | 27,622 | 420,683 | |||
RPT Realty | 13,756 | 178,553 | |||
Ryman Hospitality Properties, Inc. (A) | 9,047 | 714,351 | |||
Sabra Health Care REIT, Inc. | 95,051 | 1,729,928 | |||
Safehold, Inc. | 3,013 | 236,521 | |||
Saul Centers, Inc. | 2,120 | 96,354 | |||
SBA Communications Corp. | 14,856 | 4,734,607 | |||
Scentre Group | 844,215 | 1,727,535 | |||
Segro PLC | 193,811 | 2,933,965 | |||
Seritage Growth Properties, Class A (A) | 6,265 | 115,276 | |||
Service Properties Trust | 27,828 | 350,633 | |||
Simon Property Group, Inc. | 44,635 | 5,823,975 | |||
SITE Centers Corp. | 28,778 | 433,397 | |||
SL Green Realty Corp. | 18,942 | 1,515,360 | |||
Spirit Realty Capital, Inc. | 31,399 | 1,502,128 | |||
STAG Industrial, Inc. | 26,705 | 999,568 | |||
Stockland | 388,257 | 1,352,007 | |||
STORE Capital Corp. | 66,491 | 2,294,604 | |||
Summit Hotel Properties, Inc. (A) | 17,724 | 165,365 | |||
Sunstone Hotel Investors, Inc. (A) | 35,773 | 444,301 | |||
Tanger Factory Outlet Centers, Inc. | 16,591 | 312,740 | |||
Terreno Realty Corp. | 11,262 | 726,624 | |||
The British Land Company PLC | 143,192 | 979,520 | |||
The GEO Group, Inc. | 20,192 | 143,767 | |||
The GPT Group | 316,829 | 1,159,005 | |||
The Macerich Company | 78,837 | 1,438,775 | |||
UDR, Inc. | 40,329 | 1,975,314 | |||
UMH Properties, Inc. | 6,985 | 152,413 | |||
Unibail-Rodamco-Westfield (A) | 20,270 | 1,757,328 | |||
United Urban Investment Corp. | 482 | 696,150 | |||
Uniti Group, Inc. | 32,980 | 349,258 | |||
Universal Health Realty Income Trust | 2,393 | 147,289 | |||
Urban Edge Properties | 49,585 | 947,074 | |||
Urstadt Biddle Properties, Inc., Class A | 5,622 | 108,954 | |||
Ventas, Inc. | 50,968 | 2,910,273 | |||
Vicinity Centres | 629,361 | 725,627 | |||
Vornado Realty Trust | 21,330 | 995,471 | |||
Washington Real Estate Investment Trust | 13,897 | 319,631 | |||
Weingarten Realty Investors | 32,767 | 1,050,838 | |||
Welltower, Inc. | 56,726 | 4,713,931 | |||
Weyerhaeuser Company | 101,791 | 3,503,646 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Equity real estate investment trusts (continued) | |||||
Whitestone REIT | 8,232 | $ | 67,914 | ||
Xenia Hotels & Resorts, Inc. (A) | 19,355 | 362,519 | |||
251,650,246 | |||||
Real estate management and development – 0.6% | |||||
Aroundtown SA | 162,499 | 1,267,854 | |||
Azrieli Group, Ltd. | 6,903 | 486,395 | |||
CapitaLand, Ltd. | 429,184 | 1,185,505 | |||
CBRE Group, Inc., Class A (A) | 45,603 | 3,909,545 | |||
City Developments, Ltd. | 66,513 | 361,204 | |||
CK Asset Holdings, Ltd. | 326,062 | 2,244,289 | |||
Cushman & Wakefield PLC (A) | 19,826 | 346,360 | |||
Daito Trust Construction Company, Ltd. | 10,611 | 1,157,687 | |||
Daiwa House Industry Company, Ltd. | 92,066 | 2,768,286 | |||
Deutsche Wohnen SE | 55,602 | 3,402,180 | |||
ESR Cayman, Ltd. (A)(B) | 323,400 | 1,090,421 | |||
eXp World Holdings, Inc. (A) | 10,554 | 409,179 | |||
Fastighets AB Balder, B Shares (A) | 17,105 | 1,072,273 | |||
Forestar Group, Inc. (A) | 3,225 | 67,435 | |||
FRP Holdings, Inc. (A) | 1,232 | 68,598 | |||
Hang Lung Properties, Ltd. | 329,313 | 798,678 | |||
Henderson Land Development Company, Ltd. | 236,709 | 1,120,166 | |||
Hongkong Land Holdings, Ltd. | 189,834 | 904,072 | |||
Hulic Company, Ltd. (C) | 43,869 | 492,817 | |||
Jones Lang LaSalle, Inc. (A) | 14,013 | 2,738,981 | |||
Kennedy-Wilson Holdings, Inc. | 20,007 | 397,539 | |||
LEG Immobilien SE | 11,726 | 1,688,037 | |||
Lendlease Corp., Ltd. | 111,959 | 962,034 | |||
Marcus & Millichap, Inc. (A) | 4,016 | 156,102 | |||
Mitsubishi Estate Company, Ltd. | 192,324 | 3,108,642 | |||
Mitsui Fudosan Company, Ltd. | 149,126 | 3,448,341 | |||
New World Development Company, Ltd. | 247,392 | 1,282,962 | |||
Newmark Group, Inc., Class A | 25,491 | 306,147 | |||
Nomura Real Estate Holdings, Inc. | 18,863 | 477,778 | |||
Rafael Holdings, Inc., Class B (A) | 1,756 | 89,644 | |||
RE/MAX Holdings, Inc., Class A | 3,286 | 109,522 | |||
Realogy Holdings Corp. (A) | 19,381 | 353,122 | |||
Redfin Corp. (A) | 17,155 | 1,087,799 | |||
Sino Land Company, Ltd. | 535,722 | 844,530 | |||
Sumitomo Realty & Development Company, Ltd. | 50,283 | 1,798,360 | |||
Sun Hung Kai Properties, Ltd. | 212,314 | 3,155,399 | |||
Swire Pacific, Ltd., Class A | 81,018 | 548,945 | |||
Swire Properties, Ltd. | 190,287 | 566,803 | |||
Swiss Prime Site AG | 12,356 | 1,226,295 | |||
Tejon Ranch Company (A) | 4,291 | 65,266 | |||
The RMR Group, Inc., Class A | 2,892 | 111,747 | |||
The St. Joe Company | 5,695 | 254,054 | |||
UOL Group, Ltd. | 75,470 | 410,430 | |||
Vonovia SE | 87,439 | 5,650,790 | |||
Wharf Real Estate Investment Company, Ltd. | 271,346 | 1,577,346 | |||
55,569,559 | |||||
307,219,805 | |||||
Utilities – 2.7% | |||||
Electric utilities – 1.5% | |||||
ALLETE, Inc. | 22,908 | 1,603,102 | |||
Alliant Energy Corp. | 33,984 | 1,894,948 | |||
American Electric Power Company, Inc. | 67,897 | 5,743,407 | |||
AusNet Services, Ltd. | 309,141 | 405,182 | |||
Chubu Electric Power Company, Inc. | 104,829 | 1,282,545 | |||
CK Infrastructure Holdings, Ltd. | 107,843 | 642,412 | |||
CLP Holdings, Ltd. | 267,334 | 2,642,019 | |||
Duke Energy Corp. | 104,508 | 10,317,030 |
The accompanying notes are an integral part of the financial statements. | 161 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Electric utilities (continued) | |||||
Edison International | 51,551 | $ | 2,980,679 | ||
EDP - Energias de Portugal SA | 451,510 | 2,395,901 | |||
Electricite de France SA | 75,631 | 1,033,580 | |||
Elia Group SA/NV | 5,025 | 530,421 | |||
Endesa SA (C) | 51,661 | 1,254,111 | |||
Enel SpA | 1,322,887 | 12,293,415 | |||
Entergy Corp. | 27,262 | 2,718,021 | |||
Evergy, Inc. | 31,149 | 1,882,334 | |||
Eversource Energy | 46,664 | 3,744,319 | |||
Exelon Corp. | 132,762 | 5,882,684 | |||
FirstEnergy Corp. | 73,895 | 2,749,633 | |||
Fortum OYJ | 72,241 | 1,992,873 | |||
Hawaiian Electric Industries, Inc. | 29,820 | 1,260,790 | |||
HK Electric Investments & HK Electric Investments, Ltd. | 431,000 | 436,745 | |||
Iberdrola SA | 939,521 | 11,457,135 | |||
IDACORP, Inc. | 13,797 | 1,345,208 | |||
Mercury NZ, Ltd. | 110,788 | 516,316 | |||
MGE Energy, Inc. | 6,233 | 463,985 | |||
NextEra Energy, Inc. | 266,487 | 19,528,167 | |||
NRG Energy, Inc. | 33,252 | 1,340,056 | |||
OGE Energy Corp. | 54,673 | 1,839,746 | |||
Origin Energy, Ltd. | 286,459 | 967,434 | |||
Orsted A/S (B) | 30,769 | 4,318,778 | |||
Otter Tail Corp. | 7,102 | 346,649 | |||
Pinnacle West Capital Corp. | 15,319 | 1,255,698 | |||
PNM Resources, Inc. | 37,587 | 1,833,118 | |||
Portland General Electric Company | 14,890 | 686,131 | |||
Power Assets Holdings, Ltd. | 225,736 | 1,385,129 | |||
PPL Corp. | 104,537 | 2,923,900 | |||
Red Electrica Corp. SA (C) | 70,405 | 1,307,152 | |||
SSE PLC | 169,508 | 3,520,472 | |||
Terna SpA | 228,847 | 1,706,669 | |||
The Kansai Electric Power Company, Inc. | 114,524 | 1,092,766 | |||
The Southern Company | 143,828 | 8,703,032 | |||
Tohoku Electric Power Company, Inc. | 69,565 | 545,418 | |||
Tokyo Electric Power Company Holdings, Inc. (A) | 248,328 | 739,465 | |||
Verbund AG (C) | 11,076 | 1,020,331 | |||
Xcel Energy, Inc. | 73,122 | 4,817,277 | |||
139,346,183 | |||||
Gas utilities – 0.3% | |||||
APA Group | 191,909 | 1,280,537 | |||
Atmos Energy Corp. | 17,753 | 1,706,241 | |||
Brookfield Infrastructure Corp., Class A | 6,168 | 465,067 | |||
Chesapeake Utilities Corp. | 2,929 | 352,447 | |||
Enagas SA (C) | 40,482 | 935,658 | |||
Hong Kong & China Gas Company, Ltd. | 1,821,022 | 2,827,545 | |||
National Fuel Gas Company | 24,902 | 1,301,130 | |||
Naturgy Energy Group SA | 47,312 | 1,217,644 | |||
New Jersey Resources Corp. | 42,513 | 1,682,239 | |||
Northwest Natural Holding Company | 5,328 | 279,827 | |||
ONE Gas, Inc. | 23,311 | 1,727,811 | |||
Osaka Gas Company, Ltd. | 60,975 | 1,137,725 | |||
Snam SpA | 327,983 | 1,897,300 | |||
South Jersey Industries, Inc. | 17,281 | 448,096 | |||
Southwest Gas Holdings, Inc. | 25,257 | 1,671,761 | |||
Spire, Inc. | 22,532 | 1,628,388 | |||
Toho Gas Company, Ltd. | 11,984 | 588,343 | |||
Tokyo Gas Company, Ltd. | 61,196 | 1,154,259 | |||
UGI Corp. | 57,002 | 2,639,763 | |||
24,941,781 | |||||
Independent power and renewable electricity producers – 0.1% | |||||
Clearway Energy, Inc., Class A | 7,245 | 182,719 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Independent power and renewable electricity producers (continued) | |||||
Clearway Energy, Inc., Class C | 12,743 | $ | 337,435 | ||
EDP Renovaveis SA | 46,871 | 1,087,490 | |||
Meridian Energy, Ltd. | 208,400 | 777,014 | |||
Ormat Technologies, Inc. | 7,572 | 526,481 | |||
Sunnova Energy International, Inc. (A) | 14,534 | 547,350 | |||
The AES Corp. | 90,519 | 2,359,830 | |||
Uniper SE | 14,881 | 548,265 | |||
6,366,584 | |||||
Multi-utilities – 0.7% | |||||
AGL Energy, Ltd. | 101,335 | 622,584 | |||
Ameren Corp. | 34,720 | 2,778,989 | |||
Avista Corp. | 11,639 | 496,636 | |||
Black Hills Corp. | 27,611 | 1,812,110 | |||
CenterPoint Energy, Inc. | 78,867 | 1,933,819 | |||
CMS Energy Corp. | 39,326 | 2,323,380 | |||
Consolidated Edison, Inc. | 46,575 | 3,340,359 | |||
Dominion Energy, Inc. | 109,576 | 8,061,506 | |||
DTE Energy Company | 26,320 | 3,411,072 | |||
E.ON SE | 365,169 | 4,224,884 | |||
Engie SA | 297,073 | 4,073,634 | |||
MDU Resources Group, Inc. | 54,951 | 1,722,164 | |||
National Grid PLC | 577,273 | 7,342,722 | |||
NiSource, Inc. | 53,286 | 1,305,507 | |||
NorthWestern Corp. | 22,311 | 1,343,568 | |||
Public Service Enterprise Group, Inc. | 68,623 | 4,099,538 | |||
RWE AG | 104,488 | 3,788,440 | |||
Sempra Energy | 42,806 | 5,670,939 | |||
Suez SA (C) | 56,212 | 1,337,363 | |||
Unitil Corp. | 2,610 | 138,252 | |||
Veolia Environnement SA | 87,652 | 2,649,796 | |||
WEC Energy Group, Inc. | 42,856 | 3,812,041 | |||
66,289,303 | |||||
Water utilities – 0.1% | |||||
American States Water Company | 6,033 | 479,985 | |||
American Water Works Company, Inc. | 24,655 | 3,800,075 | |||
Artesian Resources Corp., Class A | 2,546 | 93,616 | |||
Cadiz, Inc. (A)(C) | 4,223 | 57,433 | |||
California Water Service Group | 8,570 | 475,978 | |||
Essential Utilities, Inc. | 61,053 | 2,790,122 | |||
Middlesex Water Company | 2,922 | 238,815 | |||
Pure Cycle Corp. (A) | 4,818 | 66,585 | |||
Severn Trent PLC | 38,854 | 1,345,037 | |||
SJW Group | 4,784 | 302,827 | |||
The York Water Company | 2,615 | 118,460 | |||
United Utilities Group PLC | 110,909 | 1,496,962 | |||
11,265,895 | |||||
248,209,746 | |||||
TOTAL COMMON STOCKS (Cost $4,317,023,094) | $ | 8,824,255,132 | |||
PREFERRED SECURITIES – 0.2% | |||||
Consumer discretionary – 0.1% | |||||
Automobiles – 0.1% | |||||
Bayerische Motoren Werke AG | 9,250 | 832,122 | |||
Porsche Automobil Holding SE | 24,906 | 2,673,678 | |||
Volkswagen AG | 30,185 | 7,568,329 | |||
11,074,129 | |||||
Consumer staples – 0.1% | |||||
Household products – 0.1% | |||||
Henkel AG & Company KGaA | 28,977 | 3,060,375 | |||
Health care – 0.0% | |||||
Health care equipment and supplies – 0.0% | |||||
Sartorius AG | 4,263 | 2,218,925 |
The accompanying notes are an integral part of the financial statements. | 162 |
Shares or Principal Amount | Value | ||||
PREFERRED SECURITIES (continued) | |||||
Materials – 0.0% | |||||
Chemicals – 0.0% | |||||
FUCHS PETROLUB SE | 11,304 | $ | 550,102 | ||
TOTAL PREFERRED SECURITIES (Cost $9,941,317) | $ | 16,903,531 | |||
RIGHTS – 0.0% | |||||
ACS Actividades de Construccion y Servicios SA (Expiration Date: 7-7-21) (A)(E) | 37,897 | 53,025 | |||
Pan American Silver Corp. (Expiration Date: 2-22-29) (A)(E) | 54,671 | 46,470 | |||
TOTAL RIGHTS (Cost $73,641) | $ | 99,495 | |||
WARRANTS – 0.0% | |||||
Cie Financiere Richemont SA (Expiration Date: 11-22-23; Strike Price: CHF 67.00) (A) | 200,486 | 134,344 | |||
Nabors Industries, Ltd. (Expiration Date: 6-11-26; Strike Price: $166.67) (A) | 480 | 4,800 | |||
Whiting Petroleum Corp., Class A (Expiration Date: 9-1-24; Strike Price: $73.44) (A) | 917 | 5,722 | |||
Whiting Petroleum Corp., Class B (Expiration Date: 9-1-25; Strike Price: $83.45) (A) | 458 | 2,643 | |||
TOTAL WARRANTS (Cost $15,655) | $ | 147,509 | |||
SHORT-TERM INVESTMENTS – 4.8% | |||||
U.S. Government – 1.7% | |||||
U.S. Cash Management Bill 0.013%, 09/21/2021 * | $ | 17,800,000 | 17,798,054 | ||
U.S. Treasury Bill 0.040%, 08/03/2021 * | 136,000,000 | 135,994,166 | |||
153,792,220 | |||||
U.S. Government Agency – 2.4% | |||||
Federal Home Loan Bank Discount Note | |||||
0.008%, 08/27/2021 * | 11,000,000 | 10,999,303 | |||
0.009%, 07/30/2021 * | 5,700,000 | 5,699,862 | |||
0.015%, 07/09/2021 * | 4,300,000 | 4,299,971 | |||
0.015%, 08/27/2021 * | 13,000,000 | 12,999,177 | |||
0.020%, 07/16/2021 * | 4,700,000 | 4,699,941 | |||
0.020%, 09/03/2021 * | 100,000,000 | 99,991,111 | |||
0.035%, 08/25/2021 * | 7,000,000 | 6,999,572 |
Shares or Principal Amount | Value | ||||
SHORT-TERM INVESTMENTS (continued) | |||||
U.S. Government Agency (continued) | |||||
Federal Home Loan Bank Discount Note (continued) | |||||
0.040%, 07/27/2021 * | $ | 80,000,000 | $ | 79,998,266 | |
225,687,203 | |||||
Short-term funds – 0.5% | |||||
John Hancock Collateral Trust, 0.0324% (F)(G) | 4,731,904 | 47,340,809 | |||
Repurchase agreement – 0.2% | |||||
Repurchase Agreement with State Street Corp. dated 6-30-21 at 0.000% to be repurchased at $20,230,000 on 7-1-21, collateralized by $21,321,500 U.S. Treasury Notes, 0.500% due 5-31-27 (valued at $20,634,795) | $ | 20,230,000 | 20,230,000 | ||
TOTAL SHORT-TERM INVESTMENTS (Cost $447,059,167) | $ | 447,050,232 | |||
Total Investments (Strategic Equity Allocation Trust) (Cost $4,774,112,874) – 99.8% | $ | 9,288,455,899 | |||
Other assets and liabilities, net – 0.2% | 22,565,222 | ||||
TOTAL NET ASSETS – 100.0% | $ | 9,311,021,121 |
Currency Abbreviations | |
CHF | Swiss Franc |
Security Abbreviations and Legend | |
ADR | American Depositary Receipt |
(A) | Non-income producing security. |
(B) | 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. |
(C) | All or a portion of this security is on loan as of 6-30-21. |
(D) | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. Refer to Note 2 to the financial statements. |
(E) | Strike price and/or expiration date not available. |
(F) | The rate shown is the annualized seven-day yield as of 6-30-21. |
(G) | Investment is an affiliate of the fund, the advisor and/or subadvisor. This security represents the investment of cash collateral received for securities lending. |
* | 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) |
MSCI EAFE Index Futures | 1,727 | Long | Sep 2021 | $202,574,804 | $198,959,035 | $(3,615,769) |
Russell 2000 E-Mini Index Futures | 215 | Long | Sep 2021 | 24,789,411 | 24,808,850 | 19,439 |
S&P 500 Index E-Mini Futures | 976 | Long | Sep 2021 | 204,663,158 | 209,283,680 | 4,620,522 |
S&P Mid 400 Index E-Mini Futures | 105 | Long | Sep 2021 | 28,618,181 | 28,270,200 | (347,981) |
$676,211 |
The accompanying notes are an integral part of the financial statements. | 163 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS – 96.6% | |||||
Communication services – 10.7% | |||||
Diversified telecommunication services – 1.0% | |||||
AT&T, Inc. | 130,688 | $ | 3,761,201 | ||
ATN International, Inc. | 316 | 14,375 | |||
Bandwidth, Inc., Class A (A) | 499 | 68,822 | |||
Cincinnati Bell, Inc. (A) | 1,094 | 16,869 | |||
Cogent Communications Holdings, Inc. | 979 | 75,275 | |||
Consolidated Communications Holdings, Inc. (A) | 1,652 | 14,521 | |||
Globalstar, Inc. (A)(B) | 32,583 | 57,998 | |||
IDT Corp., Class B (A) | 637 | 23,544 | |||
Iridium Communications, Inc. (A) | 2,764 | 110,532 | |||
Lumen Technologies, Inc. | 21,754 | 295,637 | |||
Ooma, Inc. (A) | 511 | 9,637 | |||
ORBCOMM, Inc. (A) | 2,046 | 22,997 | |||
Verizon Communications, Inc. | 75,245 | 4,215,977 | |||
8,687,385 | |||||
Entertainment – 1.9% | |||||
Activision Blizzard, Inc. | 14,392 | 1,373,572 | |||
AMC Entertainment Holdings, Inc., Class A (A)(B) | 9,097 | 515,618 | |||
Cinedigm Corp., Class A (A) | 1,164 | 1,502 | |||
Cinemark Holdings, Inc. (A) | 2,446 | 53,690 | |||
Electronic Arts, Inc. | 5,235 | 752,950 | |||
Endeavor Group Holdings, Inc. (A) | 9,527 | 263,993 | |||
Gaia, Inc. (A)(B) | 509 | 5,594 | |||
Liberty Media Corp.-Liberty Braves, Class A (A) | 1,147 | 32,368 | |||
Liberty Media Corp.-Liberty Formula One, Series A (A) | 4,894 | 208,631 | |||
Lions Gate Entertainment Corp., Class B (A) | 4,693 | 85,882 | |||
Live Nation Entertainment, Inc. (A) | 4,406 | 385,922 | |||
LiveXLive Media, Inc. (A) | 610 | 2,879 | |||
Madison Square Garden Entertainment Corp. (A) | 499 | 41,901 | |||
Madison Square Garden Sports Corp. (A) | 499 | 86,112 | |||
Netflix, Inc. (A) | 8,118 | 4,288,009 | |||
ROBLOX Corp., Class A (A) | 10,263 | 923,465 | |||
Roku, Inc. (A) | 2,453 | 1,126,540 | |||
Sciplay Corp., Class A (A) | 2,733 | 46,324 | |||
Take-Two Interactive Software, Inc. (A) | 2,246 | 397,587 | |||
The Marcus Corp. (A) | 654 | 13,871 | |||
The Walt Disney Company (A) | 33,435 | 5,876,870 | |||
Warner Music Group Corp., Class A | 9,713 | 350,057 | |||
World Wrestling Entertainment, Inc., Class A | 1,652 | 95,634 | |||
Zynga, Inc., Class A (A) | 19,797 | 210,442 | |||
17,139,413 | |||||
Interactive media and services – 6.0% | |||||
Actua Corp. (A)(C) | 909 | 68 | |||
Alphabet, Inc., Class C (A) | 12,262 | 30,732,487 | |||
Angi, Inc., Class A (A) | 10,603 | 143,353 | |||
Bumble, Inc., Class A (A) | 895 | 51,552 | |||
CarGurus, Inc. (A) | 2,365 | 62,034 | |||
Cars.com, Inc. (A) | 1,453 | 20,821 | |||
Eventbrite, Inc., Class A (A) | 1,808 | 34,352 | |||
EverQuote, Inc., Class A (A) | 566 | 18,497 | |||
Facebook, Inc., Class A (A) | 51,931 | 18,056,928 | |||
IAC/InterActiveCorp (A) | 1,721 | 265,327 | |||
Kubient, Inc. (A) | 256 | 1,462 | |||
Liberty TripAdvisor Holdings, Inc., Class A (A) | 1,370 | 5,576 | |||
Match Group, Inc. (A) | 4,980 | 803,025 | |||
Pinterest, Inc., Class A (A) | 11,654 | 920,083 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Interactive media and services (continued) | |||||
QuinStreet, Inc. (A) | 1,130 | $ | 20,995 | ||
Snap, Inc., Class A (A) | 23,773 | 1,619,892 | |||
Super League Gaming, Inc. (A) | 1,312 | 7,072 | |||
TripAdvisor, Inc. (A) | 2,658 | 107,117 | |||
TrueCar, Inc. (A) | 2,492 | 14,080 | |||
Twitter, Inc. (A) | 14,736 | 1,013,984 | |||
Vimeo, Inc. (A) | 2,863 | 140,287 | |||
Yelp, Inc. (A) | 1,481 | 59,181 | |||
Zillow Group, Inc., Class C (A) | 4,332 | 529,457 | |||
ZoomInfo Technologies, Inc., Class A (A) | 6,538 | 341,087 | |||
54,968,717 | |||||
Media – 1.4% | |||||
Altice USA, Inc., Class A (A) | 8,719 | 297,667 | |||
AMC Networks, Inc., Class A (A) | 962 | 64,262 | |||
Audacy, Inc. (A) | 3,101 | 13,365 | |||
Boston Omaha Corp., Class A (A) | 528 | 16,743 | |||
Cable One, Inc. | 114 | 218,060 | |||
Cardlytics, Inc. (A) | 535 | 67,908 | |||
Charter Communications, Inc., Class A (A) | 3,412 | 2,461,587 | |||
Clear Channel Outdoor Holdings, Inc. (A) | 8,922 | 23,554 | |||
Comcast Corp., Class A | 84,640 | 4,826,173 | |||
Discovery, Inc., Series A (A)(B) | 9,625 | 295,295 | |||
DISH Network Corp., Class A (A) | 9,877 | 412,859 | |||
Emerald Holding, Inc. (A) | 1,734 | 9,346 | |||
Entravision Communications Corp., Class A | 2,355 | 15,731 | |||
Fox Corp., Class A | 11,028 | 409,470 | |||
Gannett Company, Inc. (A) | 2,798 | 15,361 | |||
Gray Television, Inc. | 2,122 | 49,655 | |||
Hemisphere Media Group, Inc. (A) | 614 | 7,245 | |||
iHeartMedia, Inc., Class A (A) | 94 | 2,531 | |||
John Wiley & Sons, Inc., Class A | 1,105 | 66,499 | |||
Liberty Broadband Corp., Series A (A) | 3,357 | 564,547 | |||
Liberty Media Corp.-Liberty SiriusXM, Series A (A) | 5,951 | 277,198 | |||
Loral Space & Communications, Inc. | 501 | 19,464 | |||
Meredith Corp. (A) | 965 | 41,920 | |||
MSG Networks, Inc., Class A (A) | 310 | 4,520 | |||
National CineMedia, Inc. | 1,758 | 8,913 | |||
News Corp., Class A | 11,420 | 294,293 | |||
Nexstar Media Group, Inc., Class A | 936 | 138,416 | |||
Omnicom Group, Inc. | 4,046 | 323,640 | |||
Saga Communications, Inc., Class A | 930 | 20,135 | |||
Scholastic Corp. | 780 | 29,554 | |||
Sinclair Broadcast Group, Inc., Class A | 1,912 | 63,517 | |||
Sirius XM Holdings, Inc. (B) | 78,403 | 512,756 | |||
TechTarget, Inc. (A) | 625 | 48,431 | |||
TEGNA, Inc. | 4,077 | 76,485 | |||
The EW Scripps Company, Class A | 1,766 | 36,009 | |||
The Interpublic Group of Companies, Inc. | 7,904 | 256,801 | |||
The New York Times Company, Class A | 3,053 | 132,958 | |||
Tremor International, Ltd. (A) | 81 | 797 | |||
ViacomCBS, Inc., Class B | 11,857 | 535,936 | |||
WideOpenWest, Inc. (A) | 1,455 | 30,133 | |||
12,689,734 | |||||
Wireless telecommunication services – 0.4% | |||||
Gogo, Inc. (A) | 2,008 | 22,851 | |||
Shenandoah Telecommunications Company | 1,051 | 50,984 | |||
Spok Holdings, Inc. | 499 | 4,800 | |||
Telephone & Data Systems, Inc. | 2,451 | 55,540 | |||
T-Mobile US, Inc. (A) | 23,046 | 3,337,752 | |||
United States Cellular Corp. (A) | 1,559 | 56,607 | |||
3,528,534 | |||||
97,013,783 |
The accompanying notes are an integral part of the financial statements. | 164 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Consumer discretionary – 12.4% | |||||
Auto components – 0.2% | |||||
American Axle & Manufacturing Holdings, Inc. (A) | 2,288 | $ | 23,681 | ||
Autoliv, Inc. | 1,369 | 133,833 | |||
BorgWarner, Inc. | 4,199 | 203,819 | |||
Dana, Inc. | 3,021 | 71,779 | |||
Dorman Products, Inc. (A) | 683 | 70,807 | |||
Fox Factory Holding Corp. (A) | 808 | 125,773 | |||
Gentex Corp. | 3,814 | 126,205 | |||
Gentherm, Inc. (A) | 714 | 50,730 | |||
LCI Industries | 524 | 68,864 | |||
Lear Corp. | 1,062 | 186,147 | |||
Modine Manufacturing Company (A) | 1,173 | 19,460 | |||
Motorcar Parts of America, Inc. (A) | 476 | 10,681 | |||
Patrick Industries, Inc. | 506 | 36,938 | |||
Standard Motor Products, Inc. | 472 | 20,461 | |||
Stoneridge, Inc. (A) | 619 | 18,261 | |||
Tenneco, Inc., Class A (A) | 1,001 | 19,339 | |||
The Goodyear Tire & Rubber Company (A) | 5,858 | 100,465 | |||
Veoneer, Inc. (A)(B) | 2,448 | 56,426 | |||
Visteon Corp. (A) | 596 | 72,080 | |||
1,415,749 | |||||
Automobiles – 1.7% | |||||
Arcimoto, Inc. (A) | 197 | 3,386 | |||
AYRO, Inc. (A) | 733 | 3,577 | |||
Ford Motor Company (A) | 74,176 | 1,102,255 | |||
General Motors Company (A) | 26,511 | 1,568,656 | |||
Harley-Davidson, Inc. | 3,110 | 142,500 | |||
Tesla, Inc. (A) | 17,704 | 12,033,409 | |||
Thor Industries, Inc. | 1,156 | 130,628 | |||
Winnebago Industries, Inc. | 650 | 44,174 | |||
15,028,585 | |||||
Distributors – 0.1% | |||||
Core-Mark Holding Company, Inc. | 969 | 43,615 | |||
Funko, Inc., Class A (A) | 1,079 | 22,961 | |||
Genuine Parts Company | 2,698 | 341,216 | |||
Greenlane Holdings, Inc., Class A (A)(B) | 2,197 | 9,821 | |||
LKQ Corp. (A) | 5,851 | 287,986 | |||
Pool Corp. | 737 | 338,032 | |||
Weyco Group, Inc. | 262 | 5,861 | |||
1,049,492 | |||||
Diversified consumer services – 0.1% | |||||
2U, Inc. (A) | 1,345 | 56,046 | |||
Adtalem Global Education, Inc. (A) | 976 | 34,785 | |||
American Public Education, Inc. (A) | 372 | 10,542 | |||
Bright Horizons Family Solutions, Inc. (A) | 1,171 | 172,266 | |||
Carriage Services, Inc. | 454 | 16,784 | |||
Chegg, Inc. (A) | 2,536 | 210,767 | |||
Coursera, Inc. (A) | 784 | 31,015 | |||
frontdoor, Inc. (A) | 1,584 | 78,915 | |||
Graham Holdings Company, Class B | 8 | 5,071 | |||
Grand Canyon Education, Inc. (A) | 934 | 84,032 | |||
H&R Block, Inc. | 3,912 | 91,854 | |||
Houghton Mifflin Harcourt Company (A) | 2,879 | 31,784 | |||
ITT Educational Services, Inc. (A) | 608 | 3 | |||
Laureate Education, Inc., Class A (A) | 4,397 | 63,800 | |||
Perdoceo Education Corp. (A) | 1,522 | 18,675 | |||
Regis Corp. (A) | 845 | 7,909 | |||
Select Interior Concepts, Inc., Class A (A) | 642 | 6,035 | |||
Service Corp. International | 3,677 | 197,050 | |||
StoneMor, Inc. (A) | 3,034 | 7,949 | |||
Strategic Education, Inc. | 459 | 34,912 | |||
Stride, Inc. (A) | 857 | 27,535 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Diversified consumer services (continued) | |||||
Terminix Global Holdings, Inc. (A) | 2,398 | $ | 114,409 | ||
WW International, Inc. (A) | 1,417 | 51,210 | |||
XpresSpa Group, Inc. (A) | 2,007 | 3,091 | |||
1,356,439 | |||||
Hotels, restaurants and leisure – 2.1% | |||||
Airbnb, Inc., Class A (A) | 11,378 | 1,742,427 | |||
Ambassadors Group, Inc. (A)(C) | 714 | 29 | |||
Aramark | 5,209 | 194,035 | |||
Bally's Corp. (A) | 719 | 38,905 | |||
Biglari Holdings, Inc., Class B (A) | 58 | 9,249 | |||
BJ's Restaurants, Inc. (A) | 418 | 20,541 | |||
Bloomin' Brands, Inc. (A) | 1,832 | 49,720 | |||
Bluegreen Vacations Holding Corp. (A) | 1,283 | 23,094 | |||
Booking Holdings, Inc. (A) | 748 | 1,636,691 | |||
Boyd Gaming Corp. (A) | 2,333 | 143,456 | |||
Brinker International, Inc. (A) | 773 | 47,810 | |||
Caesars Entertainment, Inc. (A) | 3,382 | 350,883 | |||
Carnival Corp. (A) | 17,758 | 468,101 | |||
Carrols Restaurant Group, Inc. (A) | 1,021 | 6,136 | |||
Cedar Fair LP (A) | 1,175 | 52,675 | |||
Century Casinos, Inc. (A) | 691 | 9,280 | |||
Chipotle Mexican Grill, Inc. (A) | 526 | 815,479 | |||
Choice Hotels International, Inc. | 1,159 | 137,759 | |||
Churchill Downs, Inc. | 782 | 155,039 | |||
Chuy's Holdings, Inc. (A) | 395 | 14,718 | |||
Cracker Barrel Old Country Store, Inc. | 497 | 73,785 | |||
Darden Restaurants, Inc. | 2,531 | 369,501 | |||
Dave & Buster's Entertainment, Inc. (A) | 654 | 26,552 | |||
Denny's Corp. (A) | 1,245 | 20,530 | |||
Dine Brands Global, Inc. (A) | 348 | 31,059 | |||
Domino's Pizza, Inc. | 710 | 331,208 | |||
Drive Shack, Inc. (A) | 1,927 | 6,378 | |||
El Pollo Loco Holdings, Inc. (A) | 824 | 15,071 | |||
Everi Holdings, Inc. (A) | 1,749 | 43,620 | |||
Expedia Group, Inc. (A) | 2,827 | 462,808 | |||
Fiesta Restaurant Group, Inc. (A) | 709 | 9,522 | |||
Golden Entertainment, Inc. (A) | 617 | 27,642 | |||
Hall of Fame Resort & Entertainment Company (A) | 529 | 2,079 | |||
Hilton Grand Vacations, Inc. (A) | 1,803 | 74,626 | |||
Hilton Worldwide Holdings, Inc. (A) | 4,511 | 544,117 | |||
Hyatt Hotels Corp., Class A (A) | 1,966 | 152,640 | |||
Jack in the Box, Inc. | 490 | 54,606 | |||
Las Vegas Sands Corp. (A) | 14,043 | 739,926 | |||
Marriott International, Inc., Class A (A) | 6,139 | 838,096 | |||
Marriott Vacations Worldwide Corp. (A) | 878 | 139,865 | |||
McDonald's Corp. | 13,213 | 3,052,071 | |||
MGM Resorts International | 9,941 | 423,984 | |||
Monarch Casino & Resort, Inc. (A) | 382 | 25,277 | |||
Nathan's Famous, Inc. | 100 | 7,132 | |||
Noodles & Company (A) | 1,045 | 13,042 | |||
Norwegian Cruise Line Holdings, Ltd. (A) | 4,498 | 132,286 | |||
Papa John's International, Inc. | 670 | 69,975 | |||
Penn National Gaming, Inc. (A) | 2,783 | 212,872 | |||
Planet Fitness, Inc., Class A (A) | 1,802 | 135,601 | |||
PlayAGS, Inc. (A) | 812 | 8,039 | |||
RCI Hospitality Holdings, Inc. | 238 | 15,756 | |||
Red Robin Gourmet Burgers, Inc. (A) | 308 | 10,198 | |||
Red Rock Resorts, Inc., Class A (A) | 2,475 | 105,188 | |||
Restaurant Brands International LP | 82 | 5,250 | |||
Royal Caribbean Cruises, Ltd. (A) | 4,371 | 372,759 | |||
Ruth's Hospitality Group, Inc. (A) | 679 | 15,637 | |||
Scientific Games Corp. (A) | 1,986 | 153,796 | |||
SeaWorld Entertainment, Inc. (A) | 1,657 | 82,751 | |||
Shake Shack, Inc., Class A (A) | 792 | 84,760 |
The accompanying notes are an integral part of the financial statements. | 165 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Hotels, restaurants and leisure (continued) | |||||
Six Flags Entertainment Corp. (A) | 1,773 | $ | 76,735 | ||
Starbucks Corp. | 21,759 | 2,432,874 | |||
Texas Roadhouse, Inc. | 1,455 | 139,971 | |||
The Cheesecake Factory, Inc. (A) | 940 | 50,929 | |||
The Wendy's Company | 4,472 | 104,734 | |||
Travel + Leisure Company | 1,894 | 112,598 | |||
Vail Resorts, Inc. (A) | 751 | 237,707 | |||
Wingstop, Inc. | 618 | 97,415 | |||
Wyndham Hotels & Resorts, Inc. | 1,985 | 143,496 | |||
Wynn Resorts, Ltd. (A) | 2,242 | 274,197 | |||
Yum! Brands, Inc. | 5,398 | 620,932 | |||
19,097,620 | |||||
Household durables – 0.5% | |||||
Aterian, Inc. (A) | 586 | 8,573 | |||
Bassett Furniture Industries, Inc. | 298 | 7,256 | |||
Beazer Homes USA, Inc. (A) | 757 | 14,603 | |||
Cavco Industries, Inc. (A) | 196 | 43,549 | |||
Century Communities, Inc. | 679 | 45,181 | |||
Cricut, Inc., Class A (A) | 3,515 | 149,739 | |||
D.R. Horton, Inc. | 6,613 | 597,617 | |||
Ethan Allen Interiors, Inc. | 592 | 16,339 | |||
Flexsteel Industries, Inc. | 230 | 9,290 | |||
GoPro, Inc., Class A (A) | 3,474 | 40,472 | |||
Green Brick Partners, Inc. (A) | 1,182 | 26,879 | |||
Hamilton Beach Brands Holding Company, Class A | 354 | 7,884 | |||
Hamilton Beach Brands Holding Company, Class B | 241 | 5,367 | |||
Helen of Troy, Ltd. (A) | 477 | 108,813 | |||
Hooker Furniture Corp. | 271 | 9,387 | |||
Hovnanian Enterprises, Inc., Class A (A) | 148 | 15,731 | |||
Installed Building Products, Inc. | 636 | 77,821 | |||
iRobot Corp. (A) | 605 | 56,501 | |||
KB Home | 1,848 | 75,251 | |||
La-Z-Boy, Inc. | 986 | 36,521 | |||
Legacy Housing Corp. (A) | 580 | 9,808 | |||
Leggett & Platt, Inc. | 2,764 | 143,203 | |||
Lennar Corp., A Shares | 5,721 | 568,381 | |||
M/I Homes, Inc. (A) | 609 | 35,730 | |||
MDC Holdings, Inc. | 1,420 | 71,852 | |||
Meritage Homes Corp. (A) | 612 | 57,577 | |||
Mohawk Industries, Inc. (A) | 1,330 | 255,613 | |||
Newell Brands, Inc. | 8,877 | 243,851 | |||
NVR, Inc. (A) | 53 | 263,585 | |||
PulteGroup, Inc. | 4,745 | 258,935 | |||
Purple Innovation, Inc. (A) | 922 | 24,350 | |||
Skyline Champion Corp. (A) | 1,218 | 64,919 | |||
Sonos, Inc. (A) | 2,332 | 82,156 | |||
Taylor Morrison Home Corp. (A) | 2,853 | 75,376 | |||
Tempur Sealy International, Inc. | 4,262 | 167,028 | |||
The Lovesac Company (A) | 354 | 28,246 | |||
Toll Brothers, Inc. | 2,331 | 134,755 | |||
TopBuild Corp. (A) | 712 | 140,819 | |||
Tri Pointe Homes, Inc. (A) | 2,144 | 45,946 | |||
Tupperware Brands Corp. (A) | 1,115 | 26,481 | |||
Universal Electronics, Inc. (A) | 312 | 15,132 | |||
Vizio Holding Corp. (A) | 36 | 972 | |||
VOXX International Corp. (A) | 1,072 | 15,019 | |||
Whirlpool Corp. | 1,133 | 247,017 | |||
4,329,525 | |||||
Internet and direct marketing retail – 4.0% | |||||
1-800-Flowers.com, Inc., Class A (A) | 1,394 | 44,427 | |||
1847 Goedeker, Inc. (A) | 2,236 | 8,609 | |||
Amazon.com, Inc. (A) | 9,239 | 31,783,638 | |||
Chewy, Inc., Class A (A) | 7,913 | 630,745 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Internet and direct marketing retail (continued) | |||||
ContextLogic, Inc., Class A (A) | 11,179 | $ | 147,227 | ||
DoorDash, Inc., Class A (A)(B) | 6,049 | 1,078,718 | |||
Duluth Holdings, Inc., Class B (A) | 700 | 14,455 | |||
eBay, Inc. | 12,433 | 872,921 | |||
Etsy, Inc. (A) | 2,431 | 500,397 | |||
Groupon, Inc. (A) | 624 | 26,932 | |||
Just Eat Takeaway.com NV (A) | 2,538 | 46,344 | |||
Lands' End, Inc. (A) | 743 | 30,500 | |||
Liquidity Services, Inc. (A) | 965 | 24,559 | |||
Magnite, Inc. (A) | 1,986 | 67,206 | |||
Overstock.com, Inc. (A) | 772 | 71,178 | |||
PetMed Express, Inc. | 456 | 14,524 | |||
Poshmark, Inc., Class A (A) | 721 | 34,421 | |||
PubMatic, Inc., Class A (A) | 494 | 19,301 | |||
Quotient Technology, Inc. (A) | 1,851 | 20,009 | |||
Qurate Retail, Inc., Series A | 8,500 | 111,265 | |||
Remark Holdings, Inc. (A) | 1,705 | 3,171 | |||
Revolve Group, Inc. (A) | 1,471 | 101,352 | |||
RumbleON, Inc., Class B (A) | 39 | 1,578 | |||
Shutterstock, Inc. | 747 | 73,333 | |||
Stamps.com, Inc. (A) | 358 | 71,704 | |||
Stitch Fix, Inc., Class A (A) | 2,150 | 129,645 | |||
The RealReal, Inc. (A) | 1,823 | 36,022 | |||
ThredUp, Inc., Class A (A) | 1,343 | 39,054 | |||
Wayfair, Inc., Class A (A) | 1,927 | 608,373 | |||
36,611,608 | |||||
Leisure products – 0.2% | |||||
Acushnet Holdings Corp. | 1,579 | 78,003 | |||
American Outdoor Brands, Inc. (A) | 307 | 10,788 | |||
Brunswick Corp. | 1,697 | 169,055 | |||
Callaway Golf Company (A) | 1,981 | 66,819 | |||
Clarus Corp. | 526 | 13,518 | |||
Escalade, Inc. | 418 | 9,593 | |||
Hasbro, Inc. | 2,684 | 253,692 | |||
Hayward Holdings, Inc. (A) | 820 | 21,336 | |||
Johnson Outdoors, Inc., Class A | 217 | 26,257 | |||
Malibu Boats, Inc., Class A (A) | 437 | 32,045 | |||
Marine Products Corp. | 742 | 11,456 | |||
MasterCraft Boat Holdings, Inc. (A) | 441 | 11,594 | |||
Mattel, Inc. (A) | 7,297 | 146,670 | |||
Nautilus, Inc. (A) | 464 | 7,818 | |||
Peloton Interactive, Inc., Class A (A) | 5,619 | 696,868 | |||
Polaris, Inc. | 1,232 | 168,735 | |||
Smith & Wesson Brands, Inc. | 1,231 | 42,716 | |||
Sturm Ruger & Company, Inc. | 342 | 30,773 | |||
Vista Outdoor, Inc. (A) | 1,284 | 59,424 | |||
YETI Holdings, Inc. (A) | 1,811 | 166,286 | |||
2,023,446 | |||||
Multiline retail – 0.5% | |||||
Big Lots, Inc. | 827 | 54,590 | |||
Dillard's, Inc., Class A | 529 | 95,686 | |||
Dollar General Corp. | 4,313 | 933,290 | |||
Dollar Tree, Inc. (A) | 4,275 | 425,363 | |||
Kohl's Corp. | 3,223 | 177,620 | |||
Macy's, Inc. (A) | 6,460 | 122,482 | |||
Nordstrom, Inc. (A) | 3,244 | 118,633 | |||
Ollie's Bargain Outlet Holdings, Inc. (A) | 1,336 | 112,398 | |||
Target Corp. | 9,085 | 2,196,208 | |||
4,236,270 | |||||
Specialty retail – 2.2% | |||||
Abercrombie & Fitch Company, Class A (A) | 1,358 | 63,052 | |||
Advance Auto Parts, Inc. | 1,216 | 249,450 | |||
American Eagle Outfitters, Inc. | 3,537 | 132,744 |
The accompanying notes are an integral part of the financial statements. | 166 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Specialty retail (continued) | |||||
America's Car-Mart, Inc. (A) | 119 | $ | 16,865 | ||
Asbury Automotive Group, Inc. (A) | 403 | 69,062 | |||
At Home Group, Inc. (A) | 1,302 | 47,966 | |||
AutoNation, Inc. (A) | 1,625 | 154,066 | |||
AutoZone, Inc. (A) | 387 | 577,489 | |||
Barnes & Noble Education, Inc. (A) | 1,248 | 8,998 | |||
Bed Bath & Beyond, Inc. (A) | 2,528 | 84,157 | |||
Best Buy Company, Inc. | 4,684 | 538,566 | |||
Blink Charging Company (A)(B) | 688 | 28,325 | |||
Boot Barn Holdings, Inc. (A) | 611 | 51,355 | |||
Burlington Stores, Inc. (A) | 1,195 | 384,778 | |||
Caleres, Inc. | 889 | 24,261 | |||
Camping World Holdings, Inc., Class A | 1,893 | 77,594 | |||
CarMax, Inc. (A) | 3,061 | 395,328 | |||
Carvana Company (A) | 3,262 | 984,537 | |||
Chico's FAS, Inc. (A) | 2,691 | 17,707 | |||
Citi Trends, Inc. (A) | 286 | 24,882 | |||
Conn's, Inc. (A) | 510 | 13,005 | |||
Designer Brands, Inc., Class A (A) | 1,564 | 25,884 | |||
Destination XL Group, Inc. (A) | 134 | 507 | |||
Dick's Sporting Goods, Inc. | 1,834 | 183,748 | |||
Express, Inc. (A) | 695 | 4,511 | |||
Five Below, Inc. (A) | 1,162 | 224,580 | |||
Floor & Decor Holdings, Inc., Class A (A) | 2,115 | 223,556 | |||
Foot Locker, Inc. | 1,841 | 113,461 | |||
GameStop Corp., Class A (A)(B) | 1,393 | 298,297 | |||
Genesco, Inc. (A) | 319 | 20,314 | |||
Group 1 Automotive, Inc. | 389 | 60,073 | |||
Guess?, Inc. | 1,387 | 36,617 | |||
Haverty Furniture Companies, Inc. | 468 | 20,012 | |||
Hibbett, Inc. (A) | 399 | 35,762 | |||
L Brands, Inc. | 5,296 | 381,630 | |||
Leslie's, Inc. (A) | 624 | 17,154 | |||
Lithia Motors, Inc. | 485 | 166,665 | |||
Lowe's Companies, Inc. | 13,002 | 2,521,998 | |||
Lumber Liquidators Holdings, Inc. (A) | 701 | 14,791 | |||
MarineMax, Inc. (A) | 503 | 24,516 | |||
Monro, Inc. | 705 | 44,775 | |||
Murphy USA, Inc. | 538 | 71,753 | |||
National Vision Holdings, Inc. (A) | 1,673 | 85,540 | |||
O'Reilly Automotive, Inc. (A) | 1,240 | 702,100 | |||
Party City Holdco, Inc. (A) | 1,740 | 16,234 | |||
Penske Automotive Group, Inc. | 1,591 | 120,105 | |||
Rent-A-Center, Inc. | 1,196 | 63,472 | |||
RH (A) | 398 | 270,242 | |||
Ross Stores, Inc. | 6,421 | 796,204 | |||
Sally Beauty Holdings, Inc. (A) | 2,432 | 53,674 | |||
Shoe Carnival, Inc. | 302 | 21,620 | |||
Signet Jewelers, Ltd. (A) | 1,125 | 90,889 | |||
Sleep Number Corp. (A) | 608 | 66,850 | |||
Sonic Automotive, Inc., Class A | 881 | 39,416 | |||
Sportsman's Warehouse Holdings, Inc. (A) | 611 | 10,857 | |||
The Aaron's Company, Inc. | 707 | 22,617 | |||
The Buckle, Inc. | 978 | 48,656 | |||
The Cato Corp., Class A | 560 | 9,447 | |||
The Children's Place, Inc. (A) | 330 | 30,710 | |||
The Container Store Group, Inc. (A) | 658 | 8,580 | |||
The Gap, Inc. | 7,254 | 244,097 | |||
The Home Depot, Inc. | 19,456 | 6,204,324 | |||
The ODP Corp. (A) | 1,563 | 75,040 | |||
The TJX Companies, Inc. | 21,978 | 1,481,757 | |||
Tilly's, Inc., Class A | 701 | 11,202 | |||
Tractor Supply Company | 2,217 | 412,495 | |||
Ulta Beauty, Inc. (A) | 1,059 | 366,170 | |||
Urban Outfitters, Inc. (A) | 2,057 | 84,790 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Specialty retail (continued) | |||||
Vroom, Inc. (A) | 1,684 | $ | 70,492 | ||
Williams-Sonoma, Inc. | 1,458 | 232,770 | |||
Winmark Corp. | 75 | 14,406 | |||
Zumiez, Inc. (A) | 551 | 26,993 | |||
20,116,540 | |||||
Textiles, apparel and luxury goods – 0.8% | |||||
Carter's, Inc. | 772 | 79,647 | |||
Columbia Sportswear Company | 1,104 | 108,589 | |||
Crocs, Inc. (A) | 1,447 | 168,604 | |||
Culp, Inc. | 350 | 5,705 | |||
Deckers Outdoor Corp. (A) | 498 | 191,267 | |||
Fossil Group, Inc. (A) | 1,160 | 16,565 | |||
G-III Apparel Group, Ltd. (A) | 1,025 | 33,682 | |||
Hanesbrands, Inc. | 6,891 | 128,655 | |||
Kontoor Brands, Inc. | 1,195 | 67,410 | |||
Levi Strauss & Company, Class A | 7,699 | 213,416 | |||
Movado Group, Inc. | 510 | 16,050 | |||
NIKE, Inc., Class B | 28,917 | 4,467,387 | |||
Oxford Industries, Inc. | 352 | 34,792 | |||
PVH Corp. (A) | 1,528 | 164,398 | |||
Ralph Lauren Corp. | 1,384 | 163,049 | |||
Rocky Brands, Inc. | 193 | 10,731 | |||
Skechers USA, Inc., Class A (A) | 3,142 | 156,566 | |||
Steven Madden, Ltd. | 1,594 | 69,753 | |||
Superior Group of Companies, Inc. | 407 | 9,731 | |||
Tapestry, Inc. (A) | 5,678 | 246,879 | |||
Under Armour, Inc., Class A (A) | 9,445 | 199,762 | |||
Unifi, Inc. (A) | 438 | 10,670 | |||
Vera Bradley, Inc. (A) | 773 | 9,577 | |||
VF Corp. | 7,014 | 575,429 | |||
Wolverine World Wide, Inc. | 1,702 | 57,255 | |||
7,205,569 | |||||
112,470,843 | |||||
Consumer staples – 5.6% | |||||
Beverages – 1.3% | |||||
Brown-Forman Corp., Class B | 8,649 | 648,156 | |||
Celsius Holdings, Inc. (A) | 1,510 | 114,896 | |||
Coca-Cola Consolidated, Inc. | 196 | 78,817 | |||
Constellation Brands, Inc., Class A | 3,515 | 822,123 | |||
Keurig Dr. Pepper, Inc. | 27,260 | 960,642 | |||
MGP Ingredients, Inc. | 345 | 23,336 | |||
Molson Coors Beverage Company, Class B (A) | 3,946 | 211,861 | |||
Monster Beverage Corp. (A) | 9,915 | 905,735 | |||
National Beverage Corp. | 1,990 | 93,988 | |||
NewAge, Inc. (A) | 1,610 | 3,590 | |||
PepsiCo, Inc. | 25,092 | 3,717,882 | |||
Primo Water Corp. | 546 | 9,135 | |||
The Boston Beer Company, Inc., Class A (A) | 240 | 244,992 | |||
The Coca-Cola Company | 78,888 | 4,268,630 | |||
12,103,783 | |||||
Food and staples retailing – 1.5% | |||||
Albertsons Companies, Inc., Class A (B) | 8,787 | 172,752 | |||
BJ's Wholesale Club Holdings, Inc. (A) | 2,669 | 126,991 | |||
Casey's General Stores, Inc. | 646 | 125,737 | |||
Costco Wholesale Corp. | 8,015 | 3,171,295 | |||
Grocery Outlet Holding Corp. (A) | 1,883 | 65,265 | |||
HF Foods Group, Inc. (A) | 1,021 | 5,401 | |||
Ingles Markets, Inc., Class A | 443 | 25,814 | |||
Natural Grocers by Vitamin Cottage, Inc. | 601 | 6,455 | |||
Performance Food Group Company (A) | 2,332 | 113,079 | |||
PriceSmart, Inc. | 644 | 58,610 | |||
Rite Aid Corp. (A) | 1,197 | 19,511 |
The accompanying notes are an integral part of the financial statements. | 167 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Food and staples retailing (continued) | |||||
SpartanNash Company | 869 | $ | 16,780 | ||
Sprouts Farmers Market, Inc. (A) | 2,519 | 62,597 | |||
Sysco Corp. | 9,614 | 747,489 | |||
The Andersons, Inc. | 755 | 23,050 | |||
The Chefs' Warehouse, Inc. (A) | 665 | 21,167 | |||
The Kroger Company | 13,834 | 529,981 | |||
U.S. Foods Holding Corp. (A) | 4,546 | 174,385 | |||
United Natural Foods, Inc. (A) | 1,210 | 44,746 | |||
Village Super Market, Inc., Class A | 374 | 8,793 | |||
Walgreens Boots Alliance, Inc. | 15,828 | 832,711 | |||
Walmart, Inc. | 51,237 | 7,225,442 | |||
Weis Markets, Inc. | 558 | 28,826 | |||
13,606,877 | |||||
Food products – 1.0% | |||||
Alico, Inc. | 195 | 6,942 | |||
Archer-Daniels-Midland Company | 10,167 | 616,120 | |||
B&G Foods, Inc. (B) | 1,345 | 44,116 | |||
Beyond Meat, Inc. (A) | 1,287 | 202,690 | |||
Bunge, Ltd. | 2,731 | 213,428 | |||
Calavo Growers, Inc. | 372 | 23,592 | |||
Cal-Maine Foods, Inc. | 948 | 34,327 | |||
Campbell Soup Company | 5,758 | 262,507 | |||
Conagra Brands, Inc. | 9,157 | 333,132 | |||
Darling Ingredients, Inc. (A) | 3,349 | 226,058 | |||
Flowers Foods, Inc. | 4,259 | 103,068 | |||
Fresh Del Monte Produce, Inc. | 1,036 | 34,064 | |||
Freshpet, Inc. (A) | 763 | 124,338 | |||
General Mills, Inc. | 11,113 | 677,115 | |||
Hormel Foods Corp. | 8,327 | 397,614 | |||
Hostess Brands, Inc. (A) | 2,739 | 44,344 | |||
Ingredion, Inc. | 1,127 | 101,994 | |||
J&J Snack Foods Corp. | 393 | 68,543 | |||
John B. Sanfilippo & Son, Inc. | 247 | 21,877 | |||
Kellogg Company | 6,139 | 394,922 | |||
Lamb Weston Holdings, Inc. | 2,892 | 233,269 | |||
Lancaster Colony Corp. | 432 | 83,596 | |||
Landec Corp. (A) | 729 | 8,201 | |||
Limoneira Company | 402 | 7,055 | |||
McCormick & Company, Inc. | 4,936 | 435,948 | |||
Mondelez International, Inc., Class A | 25,253 | 1,576,797 | |||
Pilgrim's Pride Corp. (A) | 4,994 | 110,767 | |||
Post Holdings, Inc. (A) | 1,233 | 133,744 | |||
Sanderson Farms, Inc. | 465 | 87,406 | |||
Seaboard Corp. | 17 | 65,768 | |||
Seneca Foods Corp., Class A (A) | 231 | 11,799 | |||
The Hain Celestial Group, Inc. (A) | 2,077 | 83,329 | |||
The Hershey Company | 3,776 | 657,704 | |||
The J.M. Smucker Company | 1,442 | 186,840 | |||
The Kraft Heinz Company | 22,286 | 908,823 | |||
The Simply Good Foods Company (A) | 1,921 | 70,136 | |||
Tootsie Roll Industries, Inc. (B) | 1,302 | 44,151 | |||
TreeHouse Foods, Inc. (A) | 1,183 | 52,667 | |||
Tyson Foods, Inc., Class A | 6,498 | 479,292 | |||
9,168,083 | |||||
Household products – 1.0% | |||||
Central Garden & Pet Company, Class A (A) | 1,200 | 57,960 | |||
Church & Dwight Company, Inc. | 4,606 | 392,523 | |||
Colgate-Palmolive Company | 15,543 | 1,264,423 | |||
Energizer Holdings, Inc. | 1,450 | 62,321 | |||
Kimberly-Clark Corp. | 5,663 | 757,596 | |||
Oil-Dri Corp. of America | 183 | 6,255 | |||
Reynolds Consumer Products, Inc. | 1,546 | 46,921 | |||
Spectrum Brands Holdings, Inc. | 994 | 84,530 | |||
The Clorox Company | 2,297 | 413,253 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Household products (continued) | |||||
The Procter & Gamble Company | 44,679 | $ | 6,028,537 | ||
WD-40 Company | 246 | 63,047 | |||
9,177,366 | |||||
Personal products – 0.3% | |||||
BellRing Brands, Inc., Class A (A) | 593 | 18,585 | |||
Coty, Inc., Class A (A) | 15,881 | 148,329 | |||
Edgewell Personal Care Company | 1,170 | 51,363 | |||
elf Beauty, Inc. (A) | 1,098 | 29,800 | |||
Herbalife Nutrition, Ltd. (A) | 2,538 | 133,829 | |||
Inter Parfums, Inc. | 645 | 46,440 | |||
Medifast, Inc. | 247 | 69,896 | |||
Nature's Sunshine Products, Inc. | 585 | 10,161 | |||
Nu Skin Enterprises, Inc., Class A | 1,184 | 67,074 | |||
Revlon, Inc., Class A (A) | 1,150 | 14,766 | |||
The Estee Lauder Companies, Inc., Class A | 6,714 | 2,135,589 | |||
USANA Health Sciences, Inc. (A) | 464 | 47,528 | |||
Veru, Inc. (A) | 1,088 | 8,780 | |||
2,782,140 | |||||
Tobacco – 0.5% | |||||
22nd Century Group, Inc. (A) | 3,359 | 15,552 | |||
Altria Group, Inc. | 34,366 | 1,638,571 | |||
Philip Morris International, Inc. | 28,573 | 2,831,870 | |||
Turning Point Brands, Inc. | 443 | 20,276 | |||
Universal Corp. | 441 | 25,124 | |||
Vector Group, Ltd. | 3,163 | 44,725 | |||
4,576,118 | |||||
51,414,367 | |||||
Energy – 3.0% | |||||
Energy equipment and services – 0.3% | |||||
Archrock, Inc. | 3,041 | 27,095 | |||
Aspen Aerogels, Inc. (A) | 761 | 22,769 | |||
Baker Hughes Company | 20,338 | 465,130 | |||
Bristow Group, Inc. (A) | 201 | 5,148 | |||
Cactus, Inc., Class A | 1,614 | 59,266 | |||
ChampionX Corp. (A) | 1,683 | 43,169 | |||
DMC Global, Inc. (A) | 314 | 17,650 | |||
Dril-Quip, Inc. (A) | 785 | 26,557 | |||
Exterran Corp. (A) | 5,600 | 26,656 | |||
Halliburton Company | 16,791 | 388,208 | |||
Helix Energy Solutions Group, Inc. (A) | 3,143 | 17,947 | |||
Helmerich & Payne, Inc. | 2,298 | 74,984 | |||
ION Geophysical Corp. (A) | 100 | 209 | |||
Liberty Oilfield Services, Inc., Class A (A) | 2,453 | 34,734 | |||
Nabors Industries, Ltd. (A) | 193 | 22,048 | |||
National Energy Services Reunited Corp. (A) | 1,682 | 23,969 | |||
Newpark Resources, Inc. (A) | 2,201 | 7,615 | |||
NexTier Oilfield Solutions, Inc. (A) | 4,501 | 21,425 | |||
NOV, Inc. (A) | 8,165 | 125,088 | |||
Oceaneering International, Inc. (A) | 2,236 | 34,815 | |||
Oil States International, Inc. (A) | 1,360 | 10,676 | |||
Patterson-UTI Energy, Inc. | 4,413 | 43,865 | |||
ProPetro Holding Corp. (A) | 1,939 | 17,761 | |||
RPC, Inc. (A) | 4,420 | 21,879 | |||
Schlumberger NV | 26,793 | 857,644 | |||
Select Energy Services, Inc., Class A (A) | 2,472 | 14,931 | |||
Solaris Oilfield Infrastructure, Inc., Class A | 1,111 | 10,821 | |||
Tidewater, Inc. (A) | 820 | 9,881 | |||
USA Compression Partners LP | 2,120 | 34,938 | |||
2,466,878 | |||||
Oil, gas and consumable fuels – 2.7% | |||||
Aemetis, Inc. (A) | 664 | 7,417 |
The accompanying notes are an integral part of the financial statements. | 168 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Oil, gas and consumable fuels (continued) | |||||
Alliance Resource Partners LP | 2,793 | $ | 20,138 | ||
Antero Midstream Corp. | 10,691 | 111,079 | |||
Antero Resources Corp. (A) | 6,209 | 93,321 | |||
APA Corp. | 7,916 | 171,223 | |||
Arch Resources, Inc. (A) | 237 | 13,504 | |||
Black Stone Minerals LP | 4,760 | 51,170 | |||
BP Midstream Partners LP | 1,216 | 17,608 | |||
Brigham Minerals, Inc., Class A | 1,168 | 24,867 | |||
Cabot Oil & Gas Corp. | 7,705 | 134,529 | |||
Callon Petroleum Company (A) | 748 | 43,152 | |||
Calumet Specialty Products Partners LP (A) | 1,998 | 13,726 | |||
Centennial Resource Development, Inc., Class A (A) | 5,329 | 36,131 | |||
Cheniere Energy, Inc. (A) | 4,797 | 416,092 | |||
Chevron Corp. | 35,846 | 3,754,510 | |||
Cimarex Energy Company | 2,170 | 157,217 | |||
Clean Energy Fuels Corp. (A) | 4,677 | 47,472 | |||
CNX Resources Corp. (A) | 4,966 | 67,836 | |||
Comstock Resources, Inc. (A) | 3,787 | 25,259 | |||
ConocoPhillips | 25,493 | 1,552,524 | |||
CONSOL Energy, Inc. (A) | 813 | 15,016 | |||
Contango Oil & Gas Company (A) | 2,538 | 10,964 | |||
Continental Resources, Inc. | 7,747 | 294,618 | |||
Crestwood Equity Partners LP | 1,581 | 47,398 | |||
CrossAmerica Partners LP | 693 | 13,209 | |||
DCP Midstream LP | 3,986 | 122,330 | |||
Delek Logistics Partners LP | 486 | 20,393 | |||
Delek US Holdings, Inc. | 1,558 | 33,684 | |||
Denbury, Inc. (A) | 6 | 461 | |||
Devon Energy Corp. | 12,660 | 369,545 | |||
Diamond S Shipping, Inc. (A) | 946 | 9,422 | |||
Diamondback Energy, Inc. | 3,607 | 338,661 | |||
Dorchester Minerals LP | 821 | 13,834 | |||
Dorian LPG, Ltd. (A) | 943 | 13,315 | |||
Enable Midstream Partners LP | 9,301 | 84,732 | |||
Energy Transfer LP | 50,779 | 539,781 | |||
EnLink Midstream LLC (A) | 10,548 | 67,402 | |||
Enterprise Products Partners LP | 38,219 | 922,224 | |||
Enviva Partners LP | 728 | 38,154 | |||
EOG Resources, Inc. | 11,459 | 956,139 | |||
EQT Corp. (A) | 5,432 | 120,916 | |||
Equitrans Midstream Corp. (B) | 9,307 | 79,203 | |||
Exxon Mobil Corp. | 78,073 | 4,924,845 | |||
Genesis Energy LP | 2,697 | 31,312 | |||
Gevo, Inc. (A) | 3,343 | 24,304 | |||
Global Partners LP | 828 | 21,462 | |||
Green Plains Partners LP | 503 | 6,438 | |||
Green Plains, Inc. (A) | 849 | 28,543 | |||
Harvest Natural Resources, Inc. (A)(C) | 270 | 0 | |||
Hess Corp. | 6,383 | 557,364 | |||
Hess Midstream LP, Class A | 701 | 17,700 | |||
Holly Energy Partners LP | 2,024 | 45,803 | |||
HollyFrontier Corp. | 3,388 | 111,465 | |||
Kimbell Royalty Partners LP | 1,094 | 14,058 | |||
Kinder Morgan, Inc. | 40,181 | 732,500 | |||
Laredo Petroleum, Inc. (A) | 213 | 19,764 | |||
LinnCo LLC (A)(C) | 2,890 | 0 | |||
Magellan Midstream Partners LP | 2,130 | 104,178 | |||
Magnolia Oil & Gas Corp., Class A (A) | 5,625 | 87,919 | |||
Marathon Oil Corp. | 16,893 | 230,083 | |||
Marathon Petroleum Corp. | 11,987 | 724,255 | |||
Matador Resources Company | 2,421 | 87,180 | |||
Meta Materials, Inc. (A) | 1,228 | 9,198 | |||
MPLX LP | 20,258 | 599,839 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Oil, gas and consumable fuels (continued) | |||||
Murphy Oil Corp. | 2,339 | $ | 54,452 | ||
NACCO Industries, Inc., Class A | 187 | 4,869 | |||
Natural Resource Partners LP | 290 | 6,148 | |||
New Fortress Energy, Inc. | 3,618 | 137,050 | |||
Northern Oil and Gas, Inc. | 765 | 15,889 | |||
NuStar Energy LP | 2,314 | 41,768 | |||
Oasis Midstream Partners LP | 640 | 15,008 | |||
Occidental Petroleum Corp. | 18,678 | 584,061 | |||
ONEOK, Inc. | 8,642 | 480,841 | |||
Ovintiv, Inc. | 2,983 | 93,875 | |||
PBF Energy, Inc., Class A (A) | 2,549 | 39,000 | |||
PBF Logistics LP | 1,384 | 20,594 | |||
PDC Energy, Inc. | 2,080 | 95,243 | |||
Peabody Energy Corp. (A) | 2,003 | 15,884 | |||
Phillips 66 | 8,201 | 703,810 | |||
Phillips 66 Partners LP | 4,581 | 180,766 | |||
Pioneer Natural Resources Company | 4,258 | 692,010 | |||
Plains All American Pipeline LP | 14,426 | 163,879 | |||
Plains GP Holdings LP, Class A (A) | 3,615 | 43,163 | |||
Range Resources Corp. (A) | 5,163 | 86,532 | |||
Rattler Midstream LP | 2,920 | 31,886 | |||
Renewable Energy Group, Inc. (A) | 765 | 47,690 | |||
REX American Resources Corp. (A) | 157 | 14,158 | |||
SFL Corp., Ltd. | 2,278 | 17,427 | |||
Shell Midstream Partners LP | 4,939 | 72,949 | |||
SM Energy Company | 2,203 | 54,260 | |||
Southwestern Energy Company (A) | 11,510 | 65,262 | |||
Sprague Resources LP | 617 | 15,622 | |||
Sunoco LP | 1,255 | 47,314 | |||
Talos Energy, Inc. (A) | 1,089 | 17,032 | |||
Targa Resources Corp. | 4,623 | 205,492 | |||
Teekay Corp. (A) | 2,383 | 8,865 | |||
Tellurian, Inc. (A) | 6,548 | 30,448 | |||
The Williams Companies, Inc. | 22,560 | 598,968 | |||
Uranium Energy Corp. (A) | 5,616 | 14,939 | |||
Valero Energy Corp. | 7,619 | 594,892 | |||
Vertex Energy, Inc. (A) | 325 | 4,300 | |||
Viper Energy Partners LP | 3,095 | 58,279 | |||
W&T Offshore, Inc. (A) | 3,249 | 15,758 | |||
Western Midstream Partners LP | 9,432 | 202,033 | |||
World Fuel Services Corp. | 1,250 | 39,663 | |||
24,880,465 | |||||
27,347,343 | |||||
Financials – 11.1% | |||||
Banks – 4.1% | |||||
1st Source Corp. | 559 | 25,971 | |||
Allegiance Bancshares, Inc. | 511 | 19,643 | |||
Altabancorp | 486 | 21,049 | |||
Amerant Bancorp, Inc. (A) | 977 | 20,888 | |||
American National Bankshares, Inc. | 218 | 6,778 | |||
Ameris Bancorp | 1,477 | 74,781 | |||
Ames National Corp. | 260 | 6,373 | |||
Arrow Financial Corp. | 430 | 15,459 | |||
Associated Banc-Corp. | 3,340 | 68,403 | |||
Atlantic Union Bankshares Corp. | 1,721 | 62,335 | |||
Banc of California, Inc. | 1,198 | 21,013 | |||
BancFirst Corp. | 701 | 43,763 | |||
BancorpSouth Bank | 2,204 | 62,439 | |||
Bank of America Corp. | 157,031 | 6,474,388 | |||
Bank of Hawaii Corp. | 693 | 58,364 | |||
Bank of Marin Bancorp | 328 | 10,463 | |||
Bank OZK | 2,740 | 115,518 | |||
BankFinancial Corp. | 481 | 5,503 | |||
BankUnited, Inc. | 1,987 | 84,825 | |||
Bankwell Financial Group, Inc. | 211 | 5,832 |
The accompanying notes are an integral part of the financial statements. | 169 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Banks (continued) | |||||
Banner Corp. | 760 | $ | 41,200 | ||
Bar Harbor Bankshares | 435 | 12,450 | |||
BayCom Corp. (A) | 336 | 6,031 | |||
BCB Bancorp, Inc. | 577 | 7,761 | |||
Berkshire Hills Bancorp, Inc. | 1,082 | 29,658 | |||
BOK Financial Corp. | 1,118 | 96,819 | |||
Boston Private Financial Holdings, Inc. | 1,849 | 27,273 | |||
Brookline Bancorp, Inc. | 1,813 | 27,104 | |||
Bryn Mawr Bank Corp. | 470 | 19,829 | |||
Business First Bancshares, Inc. | 293 | 6,724 | |||
Byline Bancorp, Inc. | 825 | 18,670 | |||
Cadence BanCorp | 2,753 | 57,483 | |||
Cambridge Bancorp | 93 | 7,718 | |||
Camden National Corp. | 400 | 19,104 | |||
Capital City Bank Group, Inc. | 465 | 11,992 | |||
Capstar Financial Holdings, Inc. | 374 | 7,667 | |||
Cathay General Bancorp | 1,283 | 50,499 | |||
CBTX, Inc. | 597 | 16,304 | |||
Central Pacific Financial Corp. | 579 | 15,089 | |||
Central Valley Community Bancorp | 357 | 7,194 | |||
Century Bancorp, Inc., Class A | 144 | 16,416 | |||
Chemung Financial Corp. | 161 | 7,134 | |||
CIT Group, Inc. | 1,914 | 98,743 | |||
Citigroup, Inc. | 37,286 | 2,637,985 | |||
Citizens & Northern Corp. | 324 | 7,938 | |||
Citizens Financial Group, Inc. | 7,415 | 340,126 | |||
City Holding Company | 404 | 30,397 | |||
Civista Bancshares, Inc. | 342 | 7,558 | |||
CNB Financial Corp. | 426 | 9,721 | |||
Codorus Valley Bancorp, Inc. | 267 | 5,351 | |||
Columbia Banking System, Inc. | 1,531 | 59,035 | |||
Comerica, Inc. | 2,798 | 199,609 | |||
Commerce Bancshares, Inc. | 1,493 | 111,318 | |||
Community Bank System, Inc. | 871 | 65,891 | |||
Community Trust Bancorp, Inc. | 310 | 12,518 | |||
ConnectOne Bancorp, Inc. | 882 | 23,082 | |||
County Bancorp, Inc. | 219 | 7,437 | |||
Cullen/Frost Bankers, Inc. | 1,225 | 137,200 | |||
Customers Bancorp, Inc. (A) | 739 | 28,814 | |||
CVB Financial Corp. | 2,726 | 56,128 | |||
Dime Community Bancshares, Inc. | 925 | 31,099 | |||
Eagle Bancorp, Inc. | 547 | 30,676 | |||
East West Bancorp, Inc. | 2,760 | 197,864 | |||
Enterprise Bancorp, Inc. | 327 | 10,709 | |||
Enterprise Financial Services Corp. | 619 | 28,715 | |||
Equity Bancshares, Inc., Class A (A) | 331 | 10,092 | |||
Esquire Financial Holdings, Inc. (A) | 291 | 6,897 | |||
Farmers & Merchants Bancorp, Inc. | 233 | 5,084 | |||
FB Financial Corp. | 964 | 35,976 | |||
Fidelity D&D Bancorp, Inc. | 112 | 6,059 | |||
Fifth Third Bancorp | 13,422 | 513,123 | |||
Financial Institutions, Inc. | 417 | 12,510 | |||
First Bancorp (North Carolina) | 687 | 28,105 | |||
First Bancorp (Puerto Rico) | 3,172 | 37,810 | |||
First Busey Corp. | 1,265 | 31,195 | |||
First Choice Bancorp | 327 | 9,957 | |||
First Citizens BancShares, Inc., Class A | 154 | 128,242 | |||
First Commonwealth Financial Corp. | 2,106 | 29,631 | |||
First Community Bankshares, Inc. | 247 | 7,373 | |||
First Financial Bancorp | 2,135 | 50,450 | |||
First Financial Bankshares, Inc. | 2,882 | 141,593 | |||
First Financial Corp. | 338 | 13,797 | |||
First Financial Northwest, Inc. | 388 | 5,878 | |||
First Hawaiian, Inc. | 2,646 | 74,988 | |||
First Horizon Corp. | 11,597 | 200,396 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Banks (continued) | |||||
First Internet Bancorp | 224 | $ | 6,940 | ||
First Interstate BancSystem, Inc., Class A | 1,351 | 56,512 | |||
First Merchants Corp. | 1,156 | 48,171 | |||
First Midwest Bancorp, Inc. | 2,364 | 46,878 | |||
First Republic Bank | 3,128 | 585,468 | |||
Flushing Financial Corp. | 465 | 9,965 | |||
FNB Corp. | 6,123 | 75,497 | |||
Fulton Financial Corp. | 3,475 | 54,836 | |||
FVCBankcorp, Inc. (A) | 432 | 7,456 | |||
German American Bancorp, Inc. | 635 | 23,622 | |||
Glacier Bancorp, Inc. | 1,839 | 101,292 | |||
Great Southern Bancorp, Inc. | 369 | 19,889 | |||
Great Western Bancorp, Inc. | 1,212 | 39,741 | |||
Guaranty Bancshares, Inc. | 278 | 9,471 | |||
Hancock Whitney Corp. | 1,856 | 82,481 | |||
Hanmi Financial Corp. | 645 | 12,294 | |||
HarborOne Bancorp, Inc. | 1,624 | 23,288 | |||
Heartland Financial USA, Inc. | 771 | 36,229 | |||
Heritage Commerce Corp. | 1,034 | 11,508 | |||
Heritage Financial Corp. | 813 | 20,341 | |||
Hilltop Holdings, Inc. | 1,830 | 66,612 | |||
Home BancShares, Inc. | 3,528 | 87,071 | |||
Hope Bancorp, Inc. | 2,740 | 38,853 | |||
Horizon Bancorp, Inc. | 951 | 16,576 | |||
Huntington Bancshares, Inc. | 28,529 | 407,109 | |||
Independent Bank Corp. (Massachusetts) | 730 | 55,115 | |||
Independent Bank Corp. (Michigan) | 561 | 12,179 | |||
Independent Bank Group, Inc. | 910 | 67,322 | |||
International Bancshares Corp. | 1,166 | 50,068 | |||
Investar Holding Corp. | 319 | 7,302 | |||
Investors Bancorp, Inc. | 5,218 | 74,409 | |||
JPMorgan Chase & Co. | 55,188 | 8,583,942 | |||
KeyCorp | 17,951 | 370,688 | |||
Lakeland Bancorp, Inc. | 1,308 | 22,864 | |||
Lakeland Financial Corp. | 529 | 32,608 | |||
Live Oak Bancshares, Inc. | 1,032 | 60,888 | |||
M&T Bank Corp. | 1,974 | 286,842 | |||
Macatawa Bank Corp. | 926 | 8,103 | |||
Mercantile Bank Corp. | 434 | 13,107 | |||
Metropolitan Bank Holding Corp. (A) | 184 | 11,080 | |||
Midland States Bancorp, Inc. | 539 | 14,160 | |||
MidWestOne Financial Group, Inc. | 336 | 9,667 | |||
MVB Financial Corp. | 370 | 15,784 | |||
National Bank Holdings Corp., Class A | 721 | 27,211 | |||
National Bankshares, Inc. | 188 | 6,582 | |||
NBT Bancorp, Inc. | 501 | 18,021 | |||
Northrim BanCorp, Inc. | 222 | 9,491 | |||
Norwood Financial Corp. | 211 | 5,486 | |||
OceanFirst Financial Corp. | 1,155 | 24,070 | |||
OFG Bancorp | 1,197 | 26,478 | |||
Old National Bancorp | 1,685 | 29,673 | |||
Old Second Bancorp, Inc. | 816 | 10,118 | |||
Origin Bancorp, Inc. | 516 | 21,909 | |||
Pacific Mercantile Bancorp (A) | 820 | 7,052 | |||
Pacific Premier Bancorp, Inc. | 1,278 | 54,047 | |||
PacWest Bancorp | 2,507 | 103,188 | |||
Park National Corp. | 210 | 24,658 | |||
Peapack-Gladstone Financial Corp. | 485 | 15,069 | |||
Penns Woods Bancorp, Inc. | 222 | 5,288 | |||
Peoples Bancorp of North Carolina, Inc. | 237 | 6,115 | |||
Peoples Bancorp, Inc. | 508 | 15,047 | |||
People's United Financial, Inc. | 7,377 | 126,442 | |||
Pinnacle Financial Partners, Inc. | 1,458 | 128,727 | |||
Popular, Inc. | 774 | 58,089 | |||
Preferred Bank | 341 | 21,575 |
The accompanying notes are an integral part of the financial statements. | 170 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Banks (continued) | |||||
Premier Financial Bancorp, Inc. | 466 | $ | 7,852 | ||
Primis Financial Corp. | 655 | 9,995 | |||
Prosperity Bancshares, Inc. | 925 | 66,415 | |||
QCR Holdings, Inc. | 353 | 16,976 | |||
RBB Bancorp | 407 | 9,858 | |||
Red River Bancshares, Inc. | 155 | 7,829 | |||
Regions Financial Corp. | 18,970 | 382,815 | |||
Renasant Corp. | 1,124 | 44,960 | |||
Republic Bancorp, Inc., Class A | 425 | 19,605 | |||
Republic First Bancorp, Inc. (A) | 1,584 | 6,320 | |||
S&T Bancorp, Inc. | 768 | 24,038 | |||
Sandy Spring Bancorp, Inc. | 750 | 33,098 | |||
Seacoast Banking Corp. of Florida | 1,186 | 40,502 | |||
ServisFirst Bancshares, Inc. | 1,156 | 78,585 | |||
Shore Bancshares, Inc. | 488 | 8,174 | |||
Sierra Bancorp | 373 | 9,493 | |||
Signature Bank | 1,007 | 247,370 | |||
Silvergate Capital Corp., Class A (A) | 187 | 21,191 | |||
Simmons First National Corp., Class A | 1,970 | 57,800 | |||
South Plains Financial, Inc. | 426 | 9,853 | |||
South State Corp. | 1,520 | 124,275 | |||
Southern First Bancshares, Inc. (A) | 207 | 10,590 | |||
Southside Bancshares, Inc. | 820 | 31,349 | |||
Spirit of Texas Bancshares, Inc. | 334 | 7,629 | |||
Sterling Bancorp | 4,249 | 105,333 | |||
Stock Yards Bancorp, Inc. | 419 | 21,323 | |||
Summit Financial Group, Inc. | 334 | 7,351 | |||
SVB Financial Group (A) | 1,031 | 573,679 | |||
Synovus Financial Corp. | 3,073 | 134,843 | |||
Texas Capital Bancshares, Inc. (A) | 1,066 | 67,680 | |||
The Bancorp, Inc. (A) | 1,397 | 32,145 | |||
The Bank of Princeton | 248 | 7,110 | |||
The First Bancorp, Inc. | 302 | 8,894 | |||
The First of Long Island Corp. | 648 | 13,757 | |||
The PNC Financial Services Group, Inc. | 7,425 | 1,416,393 | |||
Tompkins Financial Corp. | 330 | 25,595 | |||
Towne Bank | 1,674 | 50,923 | |||
TriCo Bancshares | 636 | 27,081 | |||
TriState Capital Holdings, Inc. (A) | 738 | 15,048 | |||
Triumph Bancorp, Inc. (A) | 556 | 41,283 | |||
Truist Financial Corp. | 24,521 | 1,360,916 | |||
Trustmark Corp. | 1,219 | 37,545 | |||
U.S. Bancorp | 26,866 | 1,530,556 | |||
UMB Financial Corp. | 817 | 76,030 | |||
Umpqua Holdings Corp. | 4,684 | 86,420 | |||
United Bankshares, Inc. | 2,146 | 78,329 | |||
United Community Banks, Inc. | 1,695 | 54,257 | |||
Unity Bancorp, Inc. | 355 | 7,828 | |||
Univest Financial Corp. | 733 | 19,329 | |||
Valley National Bancorp | 8,535 | 114,625 | |||
Veritex Holdings, Inc. | 1,194 | 42,280 | |||
Washington Trust Bancorp, Inc. | 335 | 17,202 | |||
Webster Financial Corp. | 1,950 | 104,013 | |||
Wells Fargo & Company | 75,236 | 3,407,438 | |||
WesBanco, Inc. | 1,220 | 43,469 | |||
West BanCorp, Inc. | 463 | 12,848 | |||
Western Alliance Bancorp | 2,053 | 190,621 | |||
Wintrust Financial Corp. | 1,205 | 91,134 | |||
Zions Bancorp NA | 2,947 | 155,778 | |||
36,785,169 | |||||
Capital markets – 3.1% | |||||
Affiliated Managers Group, Inc. | 862 | 132,929 | |||
AllianceBernstein Holding LP | 2,024 | 94,237 | |||
Ameriprise Financial, Inc. | 2,156 | 536,585 | |||
Apollo Investment Corp. | 1,528 | 20,857 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Capital markets (continued) | |||||
Ares Capital Corp. | 9,043 | $ | 177,152 | ||
Ares Management Corp., Class A | 4,922 | 312,990 | |||
Artisan Partners Asset Management, Inc., Class A | 1,655 | 84,107 | |||
AssetMark Financial Holdings, Inc. (A) | 1,278 | 32,027 | |||
Associated Capital Group, Inc., Class A | 454 | 17,642 | |||
Bain Capital Specialty Finance, Inc. | 1,190 | 18,207 | |||
Barings BDC, Inc. | 1,926 | 20,339 | |||
BGC Partners, Inc., Class A | 7,348 | 41,663 | |||
BlackRock Capital Investment Corp. | 2,127 | 8,359 | |||
BlackRock TCP Capital Corp. | 1,134 | 15,672 | |||
BlackRock, Inc. | 2,753 | 2,408,792 | |||
Blucora, Inc. (A) | 1,076 | 18,626 | |||
Capital Southwest Corp. | 445 | 10,337 | |||
Cboe Global Markets, Inc. | 2,224 | 264,767 | |||
CME Group, Inc. | 6,543 | 1,391,565 | |||
Cohen & Steers, Inc. | 999 | 82,008 | |||
Coinbase Global, Inc., Class A (A) | 2,436 | 617,039 | |||
Cowen, Inc., Class A | 420 | 17,241 | |||
Diamond Hill Investment Group, Inc. | 83 | 13,887 | |||
Donnelley Financial Solutions, Inc. (A) | 800 | 26,400 | |||
Ellington Financial, Inc. | 880 | 16,852 | |||
Evercore, Inc., Class A | 822 | 115,713 | |||
FactSet Research Systems, Inc. | 632 | 212,106 | |||
Federated Hermes, Inc. | 2,126 | 72,093 | |||
Fidus Investment Corp. | 605 | 10,285 | |||
Focus Financial Partners, Inc., Class A (A) | 1,482 | 71,877 | |||
Franklin Resources, Inc. | 9,694 | 310,111 | |||
FS KKR Capital Corp. | 2,679 | 57,625 | |||
GAMCO Investors, Inc., Class A | 443 | 11,119 | |||
Gladstone Capital Corp. | 801 | 9,155 | |||
Gladstone Investment Corp. | 797 | 11,485 | |||
Goldman Sachs BDC, Inc. | 967 | 18,953 | |||
Golub Capital BDC, Inc. | 1,363 | 21,017 | |||
Hamilton Lane, Inc., Class A | 1,102 | 100,414 | |||
Hercules Capital, Inc. | 2,271 | 38,743 | |||
Houlihan Lokey, Inc. | 1,374 | 112,379 | |||
Interactive Brokers Group, Inc., Class A | 1,612 | 105,957 | |||
Intercontinental Exchange, Inc. | 9,890 | 1,173,943 | |||
Invesco, Ltd. | 9,289 | 248,295 | |||
Jefferies Financial Group, Inc. | 4,417 | 151,061 | |||
Lazard, Ltd., Class A | 2,202 | 99,641 | |||
LPL Financial Holdings, Inc. | 1,599 | 215,833 | |||
Main Street Capital Corp. (B) | 1,316 | 54,074 | |||
MarketAxess Holdings, Inc. | 745 | 345,375 | |||
Moelis & Company, Class A | 1,274 | 72,478 | |||
Monroe Capital Corp. | 561 | 6,020 | |||
Moody's Corp. | 3,397 | 1,230,971 | |||
Morgan Stanley | 34,141 | 3,130,388 | |||
Morningstar, Inc. | 870 | 223,686 | |||
MSCI, Inc. | 1,518 | 809,215 | |||
Nasdaq, Inc. | 2,789 | 490,306 | |||
New Mountain Finance Corp. | 2,060 | 27,130 | |||
Newtek Business Services Corp. | 477 | 16,657 | |||
Northern Trust Corp. | 2,844 | 328,823 | |||
Oaktree Specialty Lending Corp. | 2,519 | 16,852 | |||
Oppenheimer Holdings, Inc., Class A | 169 | 8,592 | |||
Oxford Square Capital Corp. | 1,411 | 6,928 | |||
P10 Holdings, Inc. (A) | 951 | 7,009 | |||
PennantPark Floating Rate Capital, Ltd. | 874 | 11,117 | |||
PennantPark Investment Corp. | 1,841 | 12,298 | |||
Piper Sandler Companies | 319 | 41,330 | |||
Portman Ridge Finance Corp. | 3,400 | 8,092 | |||
Prospect Capital Corp. (B) | 8,135 | 68,253 |
The accompanying notes are an integral part of the financial statements. | 171 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Capital markets (continued) | |||||
Pzena Investment Management, Inc., Class A | 1,693 | $ | 18,640 | ||
Raymond James Financial, Inc. | 2,520 | 327,348 | |||
S&P Global, Inc. | 4,393 | 1,803,107 | |||
Sculptor Capital Management, Inc. | 1,110 | 27,295 | |||
SEI Investments Company | 3,042 | 188,513 | |||
Sixth Street Specialty Lending, Inc. | 1,483 | 32,908 | |||
SLR Investment Corp. | 825 | 15,378 | |||
SLR Senior Investment Corp. | 444 | 6,744 | |||
State Street Corp. | 6,290 | 517,541 | |||
Stellus Capital Investment Corp. | 500 | 6,295 | |||
Stifel Financial Corp. | 2,154 | 139,708 | |||
StoneX Group, Inc. (A) | 429 | 26,027 | |||
T. Rowe Price Group, Inc. | 4,268 | 844,936 | |||
TCG BDC, Inc. | 1,406 | 18,573 | |||
The Bank of New York Mellon Corp. | 15,350 | 786,381 | |||
The Blackstone Group, Inc. | 13,083 | 1,270,883 | |||
The Carlyle Group, Inc. | 6,916 | 321,456 | |||
The Charles Schwab Corp. | 33,989 | 2,474,739 | |||
The Goldman Sachs Group, Inc. | 6,141 | 2,330,694 | |||
Tradeweb Markets, Inc., Class A | 4,644 | 392,697 | |||
TriplePoint Venture Growth BDC Corp. | 568 | 8,628 | |||
Victory Capital Holdings, Inc., Class A | 1,470 | 47,466 | |||
Virtu Financial, Inc., Class A | 3,969 | 109,663 | |||
Virtus Investment Partners, Inc. | 128 | 35,555 | |||
WhiteHorse Finance, Inc. | 557 | 8,299 | |||
WisdomTree Investments, Inc. | 3,569 | 22,128 | |||
28,245,281 | |||||
Consumer finance – 0.7% | |||||
Ally Financial, Inc. | 7,150 | 356,356 | |||
American Express Company | 14,768 | 2,440,117 | |||
Capital One Financial Corp. | 8,178 | 1,265,055 | |||
Credit Acceptance Corp. (A)(B) | 376 | 170,745 | |||
Curo Group Holdings Corp. | 965 | 16,405 | |||
Discover Financial Services | 5,663 | 669,876 | |||
Elevate Credit, Inc. (A) | 6,779 | 24,201 | |||
Encore Capital Group, Inc. (A) | 680 | 32,225 | |||
Enova International, Inc. (A) | 921 | 31,507 | |||
EZCORP, Inc., Class A (A) | 1,448 | 8,731 | |||
FirstCash, Inc. | 887 | 67,802 | |||
Green Dot Corp., Class A (A) | 1,090 | 51,067 | |||
LendingTree, Inc. (A) | 274 | 58,055 | |||
Navient Corp. | 3,015 | 58,280 | |||
OneMain Holdings, Inc. | 2,771 | 166,011 | |||
Oportun Financial Corp. (A) | 399 | 7,992 | |||
PRA Group, Inc. (A) | 990 | 38,085 | |||
PROG Holdings, Inc. (A) | 1,414 | 68,056 | |||
Regional Management Corp. | 265 | 12,333 | |||
Santander Consumer USA Holdings, Inc. | 5,571 | 202,339 | |||
SLM Corp. | 6,752 | 141,387 | |||
Synchrony Financial | 11,015 | 534,448 | |||
Upstart Holdings, Inc. (A)(B) | 1,380 | 172,362 | |||
World Acceptance Corp. (A) | 179 | 28,683 | |||
6,622,118 | |||||
Diversified financial services – 1.3% | |||||
Berkshire Hathaway, Inc., Class B (A) | 41,557 | 11,549,521 | |||
Equitable Holdings, Inc. | 8,723 | 265,615 | |||
GWG Holdings, Inc. (A) | 813 | 5,797 | |||
NewStar Financial, Inc. (A)(C) | 1,204 | 122 | |||
Voya Financial, Inc. | 2,500 | 153,750 | |||
11,974,805 | |||||
Insurance – 1.5% | |||||
Aflac, Inc. | 11,866 | 636,730 | |||
Alleghany Corp. (A) | 83 | 55,367 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Insurance (continued) | |||||
American Equity Investment Life Holding Company | 1,048 | $ | 33,871 | ||
American Financial Group, Inc. | 1,743 | 217,387 | |||
American International Group, Inc. | 16,819 | 800,584 | |||
American National Group, Inc. | 253 | 37,583 | |||
AMERISAFE, Inc. | 412 | 24,592 | |||
Arch Capital Group, Ltd. (A) | 8,141 | 317,011 | |||
Argo Group International Holdings, Ltd. | 742 | 38,458 | |||
Arthur J. Gallagher & Company | 3,634 | 509,051 | |||
Assurant, Inc. | 1,215 | 189,759 | |||
Assured Guaranty, Ltd. | 1,401 | 66,519 | |||
Axis Capital Holdings, Ltd. | 1,773 | 86,895 | |||
Brighthouse Financial, Inc. (A) | 1,248 | 56,834 | |||
Brown & Brown, Inc. | 5,270 | 280,048 | |||
BRP Group, Inc., Class A (A) | 1,080 | 28,782 | |||
Cincinnati Financial Corp. | 3,266 | 380,881 | |||
Citizens, Inc. (A) | 1,370 | 7,247 | |||
CNA Financial Corp. | 5,170 | 235,183 | |||
CNO Financial Group, Inc. | 3,245 | 76,647 | |||
Crawford & Company, Class B | 1,283 | 11,034 | |||
Donegal Group, Inc., Class A | 786 | 11,452 | |||
eHealth, Inc. (A) | 490 | 28,616 | |||
Employers Holdings, Inc. | 692 | 29,618 | |||
Enstar Group, Ltd. (A) | 169 | 40,377 | |||
Erie Indemnity Company, Class A | 826 | 159,707 | |||
Everest Re Group, Ltd. | 646 | 162,798 | |||
Fidelity National Financial, Inc. | 5,699 | 247,679 | |||
First American Financial Corp. | 2,271 | 141,597 | |||
Genworth Financial, Inc., Class A (A) | 10,791 | 42,085 | |||
Globe Life, Inc. | 1,233 | 117,443 | |||
GoHealth, Inc., Class A (A) | 3,818 | 42,800 | |||
Goosehead Insurance, Inc., Class A | 767 | 97,639 | |||
HCI Group, Inc. | 204 | 20,284 | |||
Heritage Insurance Holdings, Inc. | 734 | 6,298 | |||
Horace Mann Educators Corp. | 900 | 33,678 | |||
Independence Holding Company | 356 | 16,490 | |||
Investors Title Company | 50 | 8,732 | |||
Kemper Corp. | 1,387 | 102,499 | |||
Kinsale Capital Group, Inc. | 473 | 77,936 | |||
Lemonade, Inc. (A)(B) | 1,078 | 117,944 | |||
Lincoln National Corp. | 3,797 | 238,603 | |||
Loews Corp. | 4,301 | 235,050 | |||
Markel Corp. (A) | 168 | 199,367 | |||
Marsh & McLennan Companies, Inc. | 8,978 | 1,263,025 | |||
MBIA, Inc. (A) | 1,977 | 21,747 | |||
Mercury General Corp. | 1,183 | 76,836 | |||
MetLife, Inc. | 16,029 | 959,336 | |||
National Western Life Group, Inc., Class A | 35 | 7,854 | |||
NI Holdings, Inc. (A) | 641 | 12,185 | |||
Old Republic International Corp. | 6,092 | 151,752 | |||
Oscar Health, Inc., Class A (A) | 947 | 20,361 | |||
Palomar Holdings, Inc. (A) | 514 | 38,786 | |||
Primerica, Inc. | 853 | 130,628 | |||
Principal Financial Group, Inc. | 5,062 | 319,868 | |||
ProAssurance Corp. | 1,182 | 26,891 | |||
ProSight Global, Inc. (A) | 575 | 7,337 | |||
Prudential Financial, Inc. | 6,941 | 711,244 | |||
Reinsurance Group of America, Inc. | 1,269 | 144,666 | |||
RenaissanceRe Holdings, Ltd. | 725 | 107,895 | |||
RLI Corp. | 951 | 99,465 | |||
Root, Inc., Class A (A) | 2,004 | 21,683 | |||
Safety Insurance Group, Inc. | 334 | 26,146 | |||
Selective Insurance Group, Inc. | 1,251 | 101,519 | |||
Selectquote, Inc. (A) | 630 | 12,134 | |||
State Auto Financial Corp. | 951 | 16,281 |
The accompanying notes are an integral part of the financial statements. | 172 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Insurance (continued) | |||||
Stewart Information Services Corp. | 487 | $ | 27,608 | ||
The Allstate Corp. | 4,224 | 550,979 | |||
The Hanover Insurance Group, Inc. | 727 | 98,610 | |||
The Hartford Financial Services Group, Inc. | 6,520 | 404,044 | |||
The Progressive Corp. | 11,341 | 1,113,800 | |||
The Travelers Companies, Inc. | 4,526 | 677,587 | |||
Trupanion, Inc. (A) | 764 | 87,936 | |||
United Fire Group, Inc. | 546 | 15,141 | |||
United Insurance Holdings Corp. | 1,080 | 6,156 | |||
Universal Insurance Holdings, Inc. | 656 | 9,105 | |||
Unum Group | 3,789 | 107,608 | |||
W.R. Berkley Corp. | 3,621 | 269,511 | |||
White Mountains Insurance Group, Ltd. | 10 | 11,480 | |||
13,926,359 | |||||
Mortgage real estate investment trusts – 0.2% | |||||
AGNC Investment Corp. | 6,319 | 106,728 | |||
Annaly Capital Management, Inc. | 21,305 | 189,188 | |||
Apollo Commercial Real Estate Finance, Inc. | 3,205 | 51,120 | |||
Arbor Realty Trust, Inc. | 2,208 | 39,347 | |||
Ares Commercial Real Estate Corp. | 789 | 11,590 | |||
ARMOUR Residential REIT, Inc. | 1,413 | 16,136 | |||
Blackstone Mortgage Trust, Inc., Class A | 2,768 | 88,272 | |||
BrightSpire Capital, Inc. | 2,808 | 26,395 | |||
Broadmark Realty Capital, Inc. | 2,185 | 23,139 | |||
Capstead Mortgage Corp. | 1,743 | 10,702 | |||
Chimera Investment Corp. | 3,772 | 56,806 | |||
Dynex Capital, Inc. | 611 | 11,401 | |||
Ellington Residential Mortgage REIT | 471 | 5,544 | |||
Granite Point Mortgage Trust, Inc. | 1,105 | 16,299 | |||
Great Ajax Corp. | 553 | 7,178 | |||
Hannon Armstrong Sustainable Infrastructure Capital, Inc. | 1,402 | 78,722 | |||
Invesco Mortgage Capital, Inc. | 3,300 | 12,870 | |||
KKR Real Estate Finance Trust, Inc. | 1,084 | 23,447 | |||
Ladder Capital Corp. | 2,535 | 29,254 | |||
MFA Financial, Inc. | 9,342 | 42,880 | |||
New Residential Investment Corp. | 8,506 | 90,079 | |||
New York Mortgage Trust, Inc. | 5,225 | 23,356 | |||
Orchid Island Capital, Inc. | 1,157 | 6,005 | |||
PennyMac Mortgage Investment Trust | 1,761 | 37,087 | |||
Ready Capital Corp. | 1,430 | 22,694 | |||
Redwood Trust, Inc. | 2,127 | 25,673 | |||
Starwood Property Trust, Inc. | 5,131 | 134,278 | |||
TPG RE Finance Trust, Inc. | 1,656 | 22,273 | |||
Two Harbors Investment Corp. | 5,815 | 43,961 | |||
1,252,424 | |||||
Thrifts and mortgage finance – 0.2% | |||||
Axos Financial, Inc. (A) | 1,283 | 59,518 | |||
Bridgewater Bancshares, Inc. (A) | 655 | 10,578 | |||
Capitol Federal Financial, Inc. | 1,954 | 23,018 | |||
Columbia Financial, Inc. (A) | 2,570 | 44,255 | |||
Federal Agricultural Mortgage Corp., Class C | 191 | 18,890 | |||
Federal Home Loan Mortgage Corp. (A)(B) | 13,796 | 19,866 | |||
Federal National Mortgage Association (A) | 24,360 | 38,002 | |||
Home Bancorp, Inc. | 185 | 7,050 | |||
HomeStreet, Inc. | 637 | 25,951 | |||
Kearny Financial Corp. | 2,110 | 25,215 | |||
LoanDepot, Inc., Class A | 1,946 | 25,006 | |||
Luther Burbank Corp. | 1,316 | 15,608 | |||
Merchants Bancorp | 686 | 26,919 | |||
Meridian Bancorp, Inc. | 1,296 | 26,516 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Thrifts and mortgage finance (continued) | |||||
Meta Financial Group, Inc. | 825 | $ | 41,770 | ||
MGIC Investment Corp. | 7,092 | 96,451 | |||
New York Community Bancorp, Inc. | 8,579 | 94,541 | |||
NMI Holdings, Inc., Class A (A) | 1,463 | 32,888 | |||
Northfield Bancorp, Inc. | 1,247 | 20,451 | |||
Northwest Bancshares, Inc. | 2,105 | 28,712 | |||
Ocwen Financial Corp. (A) | 244 | 7,559 | |||
PCSB Financial Corp. | 498 | 9,049 | |||
PDL Community Bancorp (A) | 510 | 6,967 | |||
PennyMac Financial Services, Inc. | 1,105 | 68,201 | |||
Premier Financial Corp. | 1,016 | 28,865 | |||
Provident Bancorp, Inc. | 677 | 11,042 | |||
Provident Financial Services, Inc. | 1,019 | 23,325 | |||
Radian Group, Inc. | 3,761 | 83,682 | |||
Riverview Bancorp, Inc. | 881 | 6,246 | |||
Rocket Companies, Inc., Class A (B) | 37,571 | 726,999 | |||
Southern Missouri Bancorp, Inc. | 216 | 9,711 | |||
Sterling Bancorp, Inc. (A) | 1,248 | 5,678 | |||
Territorial Bancorp, Inc. | 238 | 6,181 | |||
TFS Financial Corp. | 3,937 | 79,921 | |||
Timberland Bancorp, Inc. | 255 | 7,171 | |||
TrustCo Bank Corp. | 512 | 17,603 | |||
Walker & Dunlop, Inc. | 652 | 68,056 | |||
Washington Federal, Inc. | 1,204 | 38,263 | |||
Western New England Bancorp, Inc. | 789 | 6,430 | |||
WSFS Financial Corp. | 837 | 38,996 | |||
1,931,150 | |||||
100,737,306 | |||||
Health care – 12.4% | |||||
Biotechnology – 2.6% | |||||
4D Molecular Therapeutics, Inc. (A) | 305 | 7,344 | |||
89bio, Inc. (A) | 290 | 5,423 | |||
AbbVie, Inc. | 32,840 | 3,699,098 | |||
Abeona Therapeutics, Inc. (A) | 5,740 | 8,954 | |||
ACADIA Pharmaceuticals, Inc. (A) | 3,237 | 78,950 | |||
Acceleron Pharma, Inc. (A) | 1,123 | 140,925 | |||
Achieve Life Sciences, Inc. (A) | 143 | 1,284 | |||
Achillion Pharmaceuticals, Inc. (A)(C) | 3,410 | 5,128 | |||
Acorda Therapeutics, Inc. (A) | 3,621 | 17,272 | |||
Adicet Bio, Inc. (A) | 550 | 5,660 | |||
Aduro Biotech, Inc. (A)(C) | 312 | 936 | |||
Advaxis, Inc. (A) | 21,355 | 9,902 | |||
Adverum Biotechnologies, Inc. (A) | 1,924 | 6,734 | |||
Aeglea BioTherapeutics, Inc. (A) | 797 | 5,547 | |||
Agenus, Inc. (A) | 2,997 | 16,454 | |||
Agios Pharmaceuticals, Inc. (A) | 1,366 | 75,280 | |||
Aileron Therapeutics, Inc. (A) | 7,598 | 9,498 | |||
Akebia Therapeutics, Inc. (A) | 3,771 | 14,292 | |||
Akero Therapeutics, Inc. (A) | 639 | 15,854 | |||
Akouos, Inc. (A) | 96 | 1,205 | |||
Albireo Pharma, Inc. (A) | 301 | 10,589 | |||
Alder Biopharmaceuticals, Inc. (A)(C) | 1,872 | 2,722 | |||
Aldeyra Therapeutics, Inc. (A) | 753 | 8,531 | |||
Alector, Inc. (A) | 1,631 | 33,974 | |||
Alexion Pharmaceuticals, Inc. (A) | 4,170 | 766,071 | |||
Aligos Therapeutics, Inc. (A) | 333 | 6,788 | |||
Alkermes PLC (A) | 3,356 | 82,289 | |||
Allakos, Inc. (A) | 1,022 | 87,248 | |||
Allena Pharmaceuticals, Inc. (A) | 2,815 | 3,660 | |||
Allogene Therapeutics, Inc. (A) | 2,589 | 67,521 | |||
Allovir, Inc. (A) | 631 | 12,456 | |||
Alnylam Pharmaceuticals, Inc. (A) | 2,335 | 395,829 | |||
Altimmune, Inc. (A) | 494 | 4,866 | |||
ALX Oncology Holdings, Inc. (A) | 287 | 15,693 | |||
Ambit Biosciences Corp. (A)(C) | 515 | 309 |
The accompanying notes are an integral part of the financial statements. | 173 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Biotechnology (continued) | |||||
Amgen, Inc. | 10,645 | $ | 2,594,719 | ||
Amicus Therapeutics, Inc. (A) | 5,441 | 52,451 | |||
AnaptysBio, Inc. (A) | 644 | 16,699 | |||
Anika Therapeutics, Inc. (A) | 318 | 13,766 | |||
Anixa Biosciences, Inc. (A) | 267 | 1,036 | |||
Annexon, Inc. (A) | 458 | 10,310 | |||
Annovis Bio, Inc. (A) | 486 | 41,592 | |||
Apellis Pharmaceuticals, Inc. (A) | 1,496 | 94,547 | |||
Applied Molecular Transport, Inc. (A) | 312 | 14,271 | |||
Applied Therapeutics, Inc. (A) | 691 | 14,359 | |||
Aptevo Therapeutics, Inc. (A) | 90 | 2,019 | |||
Aptinyx, Inc. (A) | 243 | 688 | |||
Aravive, Inc. (A) | 701 | 4,192 | |||
Arcus Biosciences, Inc. (A) | 987 | 27,103 | |||
Arcutis Biotherapeutics, Inc. (A) | 578 | 15,774 | |||
Ardelyx, Inc. (A) | 1,613 | 12,227 | |||
Arena Pharmaceuticals, Inc. (A) | 1,074 | 73,247 | |||
Arrowhead Pharmaceuticals, Inc. (A) | 2,115 | 175,164 | |||
Atara Biotherapeutics, Inc. (A) | 1,073 | 16,685 | |||
Athenex, Inc. (A) | 2,350 | 10,857 | |||
Atossa Therapeutics, Inc. (A) | 3,293 | 20,812 | |||
Atreca, Inc., Class A (A) | 921 | 7,847 | |||
AVEO Pharmaceuticals, Inc. (A) | 2,256 | 14,867 | |||
Avid Bioservices, Inc. (A) | 992 | 25,445 | |||
Avrobio, Inc. (A) | 1,365 | 12,135 | |||
Axcella Health, Inc. (A) | 968 | 3,882 | |||
Ayala Pharmaceuticals, Inc. (A) | 1,652 | 16,834 | |||
Aziyo Biologics, Inc., Class A (A) | 230 | 2,210 | |||
Beam Therapeutics, Inc. (A)(B) | 830 | 106,829 | |||
Bellicum Pharmaceuticals, Inc. (A) | 1,528 | 5,042 | |||
BioCryst Pharmaceuticals, Inc. (A) | 2,966 | 46,892 | |||
Biogen, Inc. (A) | 2,795 | 967,825 | |||
BioMarin Pharmaceutical, Inc. (A) | 3,758 | 313,568 | |||
Bioxcel Therapeutics, Inc. (A) | 451 | 13,106 | |||
Black Diamond Therapeutics, Inc. (A) | 1,095 | 13,348 | |||
Bluebird Bio, Inc. (A) | 1,170 | 37,417 | |||
Blueprint Medicines Corp. (A) | 1,044 | 91,830 | |||
Bolt Biotherapeutics, Inc. (A) | 540 | 8,348 | |||
Bridgebio Pharma, Inc. (A) | 3,244 | 197,754 | |||
Brooklyn ImmunoTherapeutics, Inc. (A) | 433 | 7,798 | |||
C4 Therapeutics, Inc. (A) | 165 | 6,244 | |||
Cabaletta Bio, Inc. (A) | 446 | 3,836 | |||
Calithera Biosciences, Inc. (A) | 7,768 | 16,235 | |||
Calyxt, Inc. (A) | 2,657 | 10,681 | |||
Capricor Therapeutics, Inc. (A) | 1,242 | 6,371 | |||
Cardiff Oncology, Inc. (A) | 618 | 4,110 | |||
CareDx, Inc. (A) | 890 | 81,453 | |||
CASI Pharmaceuticals, Inc. (A) | 2,445 | 3,790 | |||
Catabasis Pharmaceuticals, Inc. (A) | 3,229 | 6,813 | |||
Catalyst Biosciences, Inc. (A) | 1,171 | 5,070 | |||
Catalyst Pharmaceuticals, Inc. (A) | 2,374 | 13,651 | |||
Celcuity, Inc. (A) | 53 | 1,272 | |||
Celldex Therapeutics, Inc. (A) | 695 | 23,241 | |||
Cellectar Biosciences, Inc. (A) | 2,568 | 3,056 | |||
CEL-SCI Corp. (A)(B) | 784 | 6,805 | |||
Celsion Corp. (A) | 5,482 | 6,962 | |||
Checkmate Pharmaceuticals, Inc. (A) | 949 | 5,656 | |||
ChemoCentryx, Inc. (A) | 1,278 | 17,112 | |||
Chimerix, Inc. (A) | 1,055 | 8,440 | |||
Chinook Therapeutics, Inc. (A) | 686 | 9,686 | |||
Cidara Therapeutics, Inc. (A) | 179 | 362 | |||
Clovis Oncology, Inc. (A) | 2,326 | 13,491 | |||
Codiak Biosciences, Inc. (A) | 315 | 5,837 | |||
Cogent Biosciences, Inc. (A) | 908 | 7,364 | |||
Cohbar, Inc. (A) | 6,178 | 8,649 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Biotechnology (continued) | |||||
Coherus Biosciences, Inc. (A) | 1,434 | $ | 19,832 | ||
Concert Pharmaceuticals, Inc. (A) | 3,840 | 16,205 | |||
Constellation Pharmaceuticals, Inc. (A) | 841 | 28,426 | |||
Cortexyme, Inc. (A) | 576 | 30,528 | |||
Crinetics Pharmaceuticals, Inc. (A) | 559 | 10,537 | |||
CTI BioPharma Corp. (A) | 2,424 | 6,060 | |||
Cue Biopharma, Inc. (A) | 687 | 8,004 | |||
Cullinan Oncology, Inc. (A) | 214 | 5,511 | |||
Curis, Inc. (A) | 1,714 | 13,832 | |||
Cyclerion Therapeutics, Inc. (A) | 3,022 | 11,786 | |||
Cytokinetics, Inc. (A) | 1,346 | 26,637 | |||
CytomX Therapeutics, Inc. (A) | 1,018 | 6,444 | |||
CytRx Corp. (A) | 7,035 | 7,028 | |||
Decibel Therapeutics, Inc. (A) | 543 | 4,670 | |||
Deciphera Pharmaceuticals, Inc. (A) | 1,040 | 38,074 | |||
Denali Therapeutics, Inc. (A) | 2,072 | 162,528 | |||
Design Therapeutics, Inc. (A) | 243 | 4,833 | |||
Dicerna Pharmaceuticals, Inc. (A) | 1,487 | 55,495 | |||
Dynavax Technologies Corp. (A) | 1,633 | 16,085 | |||
Eagle Pharmaceuticals, Inc. (A) | 282 | 12,070 | |||
Editas Medicine, Inc. (A) | 1,129 | 63,947 | |||
Eiger BioPharmaceuticals, Inc. (A) | 622 | 5,299 | |||
Eledon Pharmaceuticals, Inc. (A) | 188 | 1,487 | |||
Emergent BioSolutions, Inc. (A) | 1,092 | 68,785 | |||
Enanta Pharmaceuticals, Inc. (A) | 427 | 18,792 | |||
Entasis Therapeutics Holdings, Inc. (A) | 2,221 | 5,930 | |||
Epizyme, Inc. (A) | 1,858 | 15,440 | |||
Equillium, Inc. (A) | 976 | 5,749 | |||
Esperion Therapeutics, Inc. (A) | 591 | 12,500 | |||
Evelo Biosciences, Inc. (A) | 1,133 | 15,567 | |||
Exact Sciences Corp. (A) | 3,078 | 382,626 | |||
Exelixis, Inc. (A) | 6,393 | 116,480 | |||
Fate Therapeutics, Inc. (A) | 1,591 | 138,083 | |||
FibroGen, Inc. (A) | 1,854 | 49,372 | |||
Finch Therapeutics Group, Inc. (A)(B) | 209 | 2,941 | |||
Flexion Therapeutics, Inc. (A) | 867 | 7,135 | |||
Foghorn Therapeutics, Inc. (A) | 553 | 5,901 | |||
Forte Biosciences, Inc. (A) | 149 | 5,009 | |||
Fortress Biotech, Inc. (A) | 1,857 | 6,629 | |||
Frequency Therapeutics, Inc. (A) | 850 | 8,466 | |||
F-star Therapeutics, Inc. (A) | 1,581 | 13,581 | |||
G1 Therapeutics, Inc. (A) | 777 | 17,047 | |||
Gain Therapeutics, Inc. (A) | 45 | 450 | |||
Galectin Therapeutics, Inc. (A) | 1,506 | 4,819 | |||
Galera Therapeutics, Inc. (A) | 2,360 | 23,199 | |||
Genocea Biosciences, Inc. (A) | 2,651 | 6,203 | |||
Geron Corp. (A) | 4,452 | 6,277 | |||
Gilead Sciences, Inc. | 23,385 | 1,610,291 | |||
Global Blood Therapeutics, Inc. (A) | 1,269 | 44,440 | |||
GlycoMimetics, Inc. (A) | 1,565 | 3,631 | |||
Gossamer Bio, Inc. (A) | 1,462 | 11,871 | |||
Gritstone bio, Inc. (A) | 876 | 7,998 | |||
Halozyme Therapeutics, Inc. (A) | 3,113 | 141,361 | |||
Harpoon Therapeutics, Inc. (A) | 583 | 8,086 | |||
Heron Therapeutics, Inc. (A) | 1,229 | 19,074 | |||
Homology Medicines, Inc. (A) | 999 | 7,263 | |||
Hookipa Pharma, Inc. (A) | 641 | 5,872 | |||
Horizon Therapeutics PLC (A) | 3,931 | 368,099 | |||
Ideaya Biosciences, Inc. (A) | 518 | 10,873 | |||
Idera Pharmaceuticals, Inc. (A) | 13,933 | 16,720 | |||
IGM Biosciences, Inc. (A) | 619 | 51,501 | |||
Immunic, Inc. (A) | 292 | 3,580 | |||
ImmunityBio, Inc. (A)(B) | 6,010 | 85,823 | |||
ImmunoGen, Inc. (A) | 3,467 | 22,848 | |||
Immunome, Inc. (A) | 203 | 3,512 |
The accompanying notes are an integral part of the financial statements. | 174 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Biotechnology (continued) | |||||
Immunovant, Inc. (A) | 1,171 | $ | 12,377 | ||
Impel Neuropharma, Inc. (A) | 519 | 4,593 | |||
Incyte Corp. (A) | 4,501 | 378,669 | |||
Infinity Pharmaceuticals, Inc. (A) | 171 | 511 | |||
Inhibrx, Inc. (A) | 678 | 18,659 | |||
Inmune Bio, Inc. (A) | 1,603 | 28,165 | |||
Inovio Pharmaceuticals, Inc. (A)(B) | 3,071 | 28,468 | |||
Insmed, Inc. (A) | 1,902 | 54,131 | |||
Instil Bio, Inc. (A)(B) | 1,262 | 24,382 | |||
Intellia Therapeutics, Inc. (A) | 993 | 160,777 | |||
Intercept Pharmaceuticals, Inc. (A) | 693 | 13,839 | |||
Invitae Corp. (A)(B) | 2,728 | 92,015 | |||
Ionis Pharmaceuticals, Inc. (A) | 2,950 | 117,676 | |||
Ironwood Pharmaceuticals, Inc. (A) | 3,357 | 43,205 | |||
iTeos Therapeutics, Inc. (A) | 189 | 4,848 | |||
IVERIC bio, Inc. (A) | 929 | 5,862 | |||
Jounce Therapeutics, Inc. (A) | 886 | 6,025 | |||
Kadmon Holdings, Inc. (A) | 3,142 | 12,160 | |||
KalVista Pharmaceuticals, Inc. (A) | 368 | 8,817 | |||
Karuna Therapeutics, Inc. (A) | 535 | 60,985 | |||
Keros Therapeutics, Inc. (A) | 247 | 10,490 | |||
Kindred Biosciences, Inc. (A) | 928 | 8,510 | |||
Kiniksa Pharmaceuticals, Ltd., Class A (A) | 1,104 | 15,379 | |||
Kiromic BioPharma, Inc. (A) | 321 | 1,544 | |||
Kodiak Sciences, Inc. (A) | 899 | 83,607 | |||
Kronos Bio, Inc. (A) | 139 | 3,329 | |||
Krystal Biotech, Inc. (A) | 389 | 26,452 | |||
Kura Oncology, Inc. (A) | 1,043 | 21,747 | |||
Kymera Therapeutics, Inc. (A) | 265 | 12,853 | |||
Larimar Therapeutics, Inc. (A) | 844 | 8,288 | |||
Leap Therapeutics, Inc. (A) | 2,495 | 4,092 | |||
Lexicon Pharmaceuticals, Inc. (A) | 2,562 | 11,760 | |||
Ligand Pharmaceuticals, Inc. (A) | 376 | 49,327 | |||
Lineage Cell Therapeutics, Inc. (A) | 2,770 | 7,895 | |||
LogicBio Therapeutics, Inc. (A) | 1,123 | 4,986 | |||
Longeveron, Inc. (A) | 390 | 3,171 | |||
MacroGenics, Inc. (A) | 1,031 | 27,693 | |||
Madrigal Pharmaceuticals, Inc. (A) | 332 | 32,340 | |||
Magenta Therapeutics, Inc. (A) | 934 | 9,135 | |||
MannKind Corp. (A) | 3,858 | 21,026 | |||
Marker Therapeutics, Inc. (A) | 3,512 | 9,798 | |||
Matinas BioPharma Holdings, Inc. (A) | 18,954 | 14,687 | |||
MediciNova, Inc. (A)(B) | 1,166 | 4,956 | |||
MEI Pharma, Inc. (A) | 2,438 | 6,948 | |||
MeiraGTx Holdings PLC (A) | 698 | 10,819 | |||
Mersana Therapeutics, Inc. (A) | 1,237 | 16,798 | |||
Metacrine, Inc. (A) | 1,025 | 3,895 | |||
Mirum Pharmaceuticals, Inc. (A) | 659 | 11,394 | |||
Moderna, Inc. (A) | 7,447 | 1,749,896 | |||
Molecular Templates, Inc. (A) | 878 | 6,866 | |||
Moleculin Biotech, Inc. (A) | 1,245 | 4,569 | |||
Morphic Holding, Inc. (A) | 695 | 39,886 | |||
Mustang Bio, Inc. (A) | 2,606 | 8,652 | |||
Myriad Genetics, Inc. (A) | 1,593 | 48,714 | |||
Natera, Inc. (A) | 1,602 | 181,875 | |||
Navidea Biopharmaceuticals, Inc. (A) | 2,439 | 4,463 | |||
NeuroBo Pharmaceuticals, Inc. (A) | 905 | 3,014 | |||
Neurocrine Biosciences, Inc. (A) | 1,931 | 187,925 | |||
NextCure, Inc. (A) | 542 | 4,352 | |||
Nkarta, Inc. (A) | 291 | 9,222 | |||
Northwest Biotherapeutics, Inc. (A) | 11,656 | 17,134 | |||
Novavax, Inc. (A) | 1,298 | 275,578 | |||
Nurix Therapeutics, Inc. (A) | 431 | 11,434 | |||
Ocugen, Inc. (A)(B) | 2,297 | 18,445 | |||
Olema Pharmaceuticals, Inc. (A) | 90 | 2,518 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Biotechnology (continued) | |||||
Omthera Pharmaceuticals, Inc. (A)(C) | 598 | $ | 368 | ||
Oncocyte Corp. (A) | 2,335 | 13,403 | |||
Oncorus, Inc. (A) | 30 | 414 | |||
OncoSec Medical, Inc. (A) | 3,118 | 8,762 | |||
Oncternal Therapeutics, Inc. (A)(C) | 38 | 0 | |||
Oncternal Therapeutics, Inc. (A) | 2,005 | 9,524 | |||
OPKO Health, Inc. (A)(B) | 13,787 | 55,837 | |||
Organogenesis Holdings, Inc. (A) | 2,172 | 36,099 | |||
Orgenesis, Inc. (A) | 485 | 2,459 | |||
Outlook Therapeutics, Inc. (A) | 1,097 | 2,732 | |||
Oyster Point Pharma, Inc. (A) | 431 | 7,409 | |||
Passage Bio, Inc. (A) | 825 | 10,923 | |||
PDL BioPharma, Inc. (A)(C) | 1,734 | 2,930 | |||
PDS Biotechnology Corp. (A) | 809 | 10,153 | |||
Pfenex, Inc. (A)(C) | 763 | 836 | |||
PhaseBio Pharmaceuticals, Inc. (A) | 6,151 | 22,882 | |||
Pieris Pharmaceuticals, Inc. (A) | 3,732 | 14,294 | |||
Poseida Therapeutics, Inc. (A) | 1,586 | 15,892 | |||
Praxis Precision Medicines, Inc. (A) | 634 | 11,590 | |||
Precigen, Inc. (A)(B) | 3,241 | 21,131 | |||
Precision BioSciences, Inc. (A) | 1,182 | 14,799 | |||
Prelude Therapeutics, Inc. (A) | 153 | 4,380 | |||
Progenics Pharmaceuticals, Inc. (A)(C) | 1,955 | 83 | |||
Prometheus Biosciences, Inc. (A) | 398 | 9,775 | |||
Protagonist Therapeutics, Inc. (A) | 522 | 23,427 | |||
PTC Therapeutics, Inc. (A) | 1,304 | 55,120 | |||
Puma Biotechnology, Inc. (A) | 890 | 8,170 | |||
RAPT Therapeutics, Inc. (A) | 483 | 15,355 | |||
Recursion Pharmaceuticals, Inc., Class A (A)(B) | 2,606 | 95,119 | |||
Regeneron Pharmaceuticals, Inc. (A) | 1,995 | 1,114,287 | |||
REGENXBIO, Inc. (A) | 794 | 30,847 | |||
Regulus Therapeutics, Inc. (A) | 10,610 | 8,627 | |||
Relay Therapeutics, Inc. (A) | 1,207 | 44,164 | |||
Reneo Pharmaceuticals, Inc. (A) | 821 | 7,660 | |||
Replimune Group, Inc. (A) | 661 | 25,396 | |||
REVOLUTION Medicines, Inc. (A) | 442 | 14,029 | |||
Rhythm Pharmaceuticals, Inc. (A) | 820 | 16,056 | |||
Rigel Pharmaceuticals, Inc. (A) | 3,503 | 15,203 | |||
Rocket Pharmaceuticals, Inc. (A) | 1,021 | 45,220 | |||
Rubius Therapeutics, Inc. (A) | 1,799 | 43,914 | |||
Sage Therapeutics, Inc. (A) | 1,099 | 62,434 | |||
Sana Biotechnology, Inc. (A) | 2,423 | 47,636 | |||
Sangamo Therapeutics, Inc. (A) | 2,664 | 31,888 | |||
Sarepta Therapeutics, Inc. (A) | 1,560 | 121,274 | |||
Savara, Inc. (A) | 7,450 | 12,665 | |||
Scholar Rock Holding Corp. (A) | 577 | 16,675 | |||
Scopus Biopharma, Inc. (A) | 1,754 | 12,524 | |||
Seagen, Inc. (A) | 3,582 | 565,526 | |||
Selecta Biosciences, Inc. (A) | 1,916 | 8,009 | |||
SELLAS Life Sciences Group, Inc. (A) | 418 | 4,640 | |||
Sensei Biotherapeutics, Inc. (A) | 307 | 2,996 | |||
Seres Therapeutics, Inc. (A) | 1,482 | 35,346 | |||
Sesen Bio, Inc. (A) | 3,446 | 15,921 | |||
Shattuck Labs, Inc. (A) | 170 | 4,928 | |||
Sigilon Therapeutics, Inc. (A) | 622 | 6,674 | |||
Silverback Therapeutics, Inc. (A) | 116 | 3,583 | |||
Solid Biosciences, Inc. (A) | 3,075 | 11,255 | |||
Spectrum Pharmaceuticals, Inc. (A) | 2,679 | 10,046 | |||
Spero Therapeutics, Inc. (A) | 578 | 8,069 | |||
SpringWorks Therapeutics, Inc. (A) | 861 | 70,955 | |||
SQZ Biotechnologies Company (A) | 73 | 1,055 | |||
Stemline Therapeutics, Inc. (A)(C) | 1,279 | 422 | |||
Stoke Therapeutics, Inc. (A) | 722 | 24,303 | |||
Surface Oncology, Inc. (A) | 690 | 5,147 |
The accompanying notes are an integral part of the financial statements. | 175 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Biotechnology (continued) | |||||
Sutro Biopharma, Inc. (A) | 635 | $ | 11,805 | ||
Syndax Pharmaceuticals, Inc. (A) | 629 | 10,800 | |||
Synergy Pharmaceuticals, Inc. (A)(C) | 6,230 | 18 | |||
Synlogic, Inc. (A) | 1,786 | 6,948 | |||
Synthetic Biologics, Inc. (A) | 23,577 | 14,203 | |||
Syros Pharmaceuticals, Inc. (A) | 1,778 | 9,690 | |||
Taysha Gene Therapies, Inc. (A) | 249 | 5,279 | |||
TCR2 Therapeutics, Inc. (A) | 593 | 9,731 | |||
Tempest Therapeutics, Inc. (A) | 97 | 1,082 | |||
Tonix Pharmaceuticals Holding Corp. (A) | 3,727 | 4,137 | |||
Tracon Pharmaceuticals, Inc. (A) | 1,390 | 9,021 | |||
Translate Bio, Inc. (A) | 1,155 | 31,809 | |||
Travere Therapeutics, Inc. (A) | 1,004 | 14,648 | |||
Trevena, Inc. (A)(B) | 2,789 | 4,713 | |||
Turning Point Therapeutics, Inc. (A) | 737 | 57,501 | |||
Twist Bioscience Corp. (A) | 774 | 103,136 | |||
Tyme Technologies, Inc. (A) | 3,408 | 4,294 | |||
Ultragenyx Pharmaceutical, Inc. (A) | 1,226 | 116,899 | |||
United Therapeutics Corp. (A) | 924 | 165,775 | |||
UNITY Biotechnology, Inc. (A) | 783 | 3,633 | |||
UroGen Pharma, Ltd. (A) | 495 | 7,559 | |||
Vaccinex, Inc. (A) | 1,664 | 4,659 | |||
Vanda Pharmaceuticals, Inc. (A) | 1,222 | 26,285 | |||
Vaxart, Inc. (A)(B) | 2,037 | 15,257 | |||
Vaxcyte, Inc. (A) | 521 | 11,728 | |||
Vera Therapeutics, Inc. (A) | 203 | 2,690 | |||
Veracyte, Inc. (A) | 1,069 | 42,739 | |||
Verastem, Inc. (A) | 2,859 | 11,636 | |||
Vericel Corp. (A) | 881 | 46,253 | |||
Vertex Pharmaceuticals, Inc. (A) | 5,001 | 1,008,352 | |||
Viking Therapeutics, Inc. (A) | 1,686 | 10,099 | |||
Vir Biotechnology, Inc. (A) | 2,250 | 106,380 | |||
Viracta Therapeutics, Inc. (A) | 919 | 10,421 | |||
Viridian Therapeutics, Inc. (A) | 323 | 5,908 | |||
Virios Therapeutics, Inc. (A) | 784 | 4,931 | |||
Vor BioPharma, Inc. (A) | 520 | 9,698 | |||
Voyager Therapeutics, Inc. (A) | 4,199 | 17,342 | |||
Werewolf Therapeutics, Inc. (A) | 74 | 1,291 | |||
X4 Pharmaceuticals, Inc. (A) | 590 | 3,835 | |||
XBiotech, Inc. (A) | 761 | 12,602 | |||
Xencor, Inc. (A) | 1,222 | 42,147 | |||
XOMA Corp. (A) | 228 | 7,752 | |||
Yield10 Bioscience, Inc. (A) | 668 | 5,698 | |||
Y-mAbs Therapeutics, Inc. (A) | 853 | 28,831 | |||
Yumanity Therapeutics, Inc. (A)(C) | 1,916 | 207 | |||
Yumanity Therapeutics, Inc. (A) | 211 | 2,458 | |||
Zentalis Pharmaceuticals, Inc. (A) | 459 | 24,419 | |||
ZIOPHARM Oncology, Inc. (A) | 4,026 | 10,629 | |||
24,004,904 | |||||
Health care equipment and supplies – 2.8% | |||||
Abbott Laboratories | 32,646 | 3,784,651 | |||
ABIOMED, Inc. (A) | 923 | 288,078 | |||
Accelerate Diagnostics, Inc. (A) | 1,138 | 9,172 | |||
Accuray, Inc. (A) | 2,263 | 10,229 | |||
Align Technology, Inc. (A) | 1,508 | 921,388 | |||
Alphatec Holdings, Inc. (A) | 1,472 | 22,551 | |||
AngioDynamics, Inc. (A) | 928 | 25,177 | |||
Apollo Endosurgery, Inc. (A) | 54 | 437 | |||
Apyx Medical Corp. (A) | 890 | 9,176 | |||
Asensus Surgical, Inc. (A) | 4,509 | 14,294 | |||
Aspira Women's Health, Inc. (A) | 1,357 | 7,626 | |||
AtriCure, Inc. (A) | 858 | 68,065 | |||
Atrion Corp. | 39 | 24,216 | |||
Avanos Medical, Inc. (A) | 1,021 | 37,134 | |||
Axogen, Inc. (A) | 892 | 19,276 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Health care equipment and supplies (continued) | |||||
Axonics, Inc. (A) | 663 | $ | 42,041 | ||
Baxter International, Inc. | 9,117 | 733,919 | |||
Becton, Dickinson and Company | 5,311 | 1,291,582 | |||
BioLife Solutions, Inc. (A) | 435 | 19,362 | |||
Boston Scientific Corp. (A) | 26,401 | 1,128,907 | |||
Cardiovascular Systems, Inc. (A) | 748 | 31,902 | |||
Cerus Corp. (A) | 3,177 | 18,776 | |||
Chembio Diagnostics, Inc. (A) | 638 | 1,895 | |||
CONMED Corp. | 596 | 81,908 | |||
CryoLife, Inc. (A) | 840 | 23,856 | |||
CryoPort, Inc. (A) | 806 | 50,859 | |||
Cutera, Inc. (A) | 347 | 17,013 | |||
CytoSorbents Corp. (A) | 847 | 6,395 | |||
Danaher Corp. | 12,992 | 3,486,533 | |||
Dentsply Sirona, Inc. | 4,251 | 268,918 | |||
DexCom, Inc. (A) | 1,851 | 790,377 | |||
Eargo, Inc. (A) | 79 | 3,153 | |||
Edwards Lifesciences Corp. (A) | 11,727 | 1,214,565 | |||
ElectroCore, Inc. (A) | 1,103 | 1,313 | |||
Envista Holdings Corp. (A) | 3,026 | 130,753 | |||
Establishment Labs Holdings, Inc. (A) | 483 | 42,185 | |||
GBS, Inc. (A) | 916 | 3,609 | |||
Glaukos Corp. (A) | 914 | 77,535 | |||
Globus Medical, Inc., Class A (A) | 2,085 | 161,650 | |||
Haemonetics Corp. (A) | 1,063 | 70,838 | |||
Hancock Jaffe Laboratories, Inc. (A) | 533 | 3,662 | |||
Heska Corp. (A) | 175 | 40,203 | |||
Hill-Rom Holdings, Inc. | 1,203 | 136,649 | |||
Hologic, Inc. (A) | 4,725 | 315,252 | |||
ICU Medical, Inc. (A) | 434 | 89,317 | |||
IDEXX Laboratories, Inc. (A) | 1,587 | 1,002,270 | |||
Inari Medical, Inc. (A) | 390 | 36,379 | |||
Inogen, Inc. (A) | 473 | 30,825 | |||
Insulet Corp. (A) | 1,291 | 354,392 | |||
Integer Holdings Corp. (A) | 687 | 64,715 | |||
Integra LifeSciences Holdings Corp. (A) | 1,805 | 123,173 | |||
Intersect ENT, Inc. (A) | 718 | 12,271 | |||
Intuitive Surgical, Inc. (A) | 2,191 | 2,014,931 | |||
Invacare Corp. (A) | 844 | 6,811 | |||
iRadimed Corp. (A) | 275 | 8,088 | |||
iRhythm Technologies, Inc. (A) | 563 | 37,355 | |||
Lantheus Holdings, Inc. (A) | 1,472 | 40,686 | |||
LeMaitre Vascular, Inc. | 475 | 28,985 | |||
Lucira Health, Inc. (A)(B) | 556 | 3,692 | |||
Masimo Corp. (A) | 1,083 | 262,573 | |||
Meridian Bioscience, Inc. (A) | 1,112 | 24,664 | |||
Merit Medical Systems, Inc. (A) | 1,168 | 75,523 | |||
Mesa Laboratories, Inc. | 96 | 26,032 | |||
Misonix, Inc. (A) | 328 | 7,275 | |||
Natus Medical, Inc. (A) | 710 | 18,446 | |||
Neogen Corp. (A) | 2,216 | 102,025 | |||
Neuronetics, Inc. (A) | 394 | 6,312 | |||
Nevro Corp. (A) | 651 | 107,929 | |||
NuVasive, Inc. (A) | 1,095 | 74,219 | |||
OraSure Technologies, Inc. (A) | 1,505 | 15,261 | |||
Orthofix Medical, Inc. (A) | 439 | 17,608 | |||
OrthoPediatrics Corp. (A) | 364 | 22,998 | |||
PAVmed, Inc. (A) | 115 | 736 | |||
Penumbra, Inc. (A) | 712 | 195,131 | |||
Pulse Biosciences, Inc. (A) | 385 | 6,314 | |||
Quidel Corp. (A) | 877 | 112,361 | |||
RA Medical Systems, Inc. (A) | 25 | 109 | |||
ResMed, Inc. | 2,677 | 659,934 | |||
SeaSpine Holdings Corp. (A) | 591 | 12,121 | |||
Second Sight Medical Products, Inc. (A) | 710 | 3,507 |
The accompanying notes are an integral part of the financial statements. | 176 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Health care equipment and supplies (continued) | |||||
Senseonics Holdings, Inc. (A) | 7,241 | $ | 27,805 | ||
Shockwave Medical, Inc. (A) | 654 | 124,083 | |||
SI-BONE, Inc. (A) | 650 | 20,456 | |||
Silk Road Medical, Inc. (A) | 667 | 31,923 | |||
SmileDirectClub, Inc. (A)(B) | 7,849 | 68,129 | |||
STAAR Surgical Company (A) | 955 | 145,638 | |||
Stereotaxis, Inc. (A) | 1,627 | 15,684 | |||
STERIS PLC | 10 | 2,063 | |||
Stryker Corp. | 6,931 | 1,800,189 | |||
Surgalign Holdings, Inc. (A) | 2,540 | 3,531 | |||
Surmodics, Inc. (A) | 315 | 17,089 | |||
Tactile Systems Technology, Inc. (A) | 415 | 21,580 | |||
Talis Biomedical Corp. (A) | 773 | 8,526 | |||
Tandem Diabetes Care, Inc. (A) | 1,236 | 120,386 | |||
Teleflex, Inc. | 869 | 349,156 | |||
The Cooper Companies, Inc. | 853 | 338,018 | |||
TransMedics Group, Inc. (A) | 477 | 15,827 | |||
Utah Medical Products, Inc. | 94 | 7,994 | |||
Vapotherm, Inc. (A) | 424 | 10,023 | |||
Varex Imaging Corp. (A) | 786 | 21,081 | |||
Venus Concept, Inc. (A) | 2,267 | 7,050 | |||
West Pharmaceutical Services, Inc. | 1,380 | 495,558 | |||
Xtant Medical Holdings, Inc. (A) | 760 | 1,239 | |||
Zimmer Biomet Holdings, Inc. | 3,775 | 607,096 | |||
25,302,172 | |||||
Health care providers and services – 2.4% | |||||
1Life Healthcare, Inc. (A) | 1,199 | 39,639 | |||
Acadia Healthcare Company, Inc. (A) | 1,902 | 119,351 | |||
Aceto Corp. (A)(C) | 853 | 0 | |||
Addus HomeCare Corp. (A) | 312 | 27,219 | |||
Agilon Health, Inc. (A) | 5,403 | 219,200 | |||
Alignment Healthcare, Inc. (A) | 1,440 | 33,653 | |||
Amedisys, Inc. (A) | 684 | 167,532 | |||
AmerisourceBergen Corp. | 3,711 | 424,872 | |||
AMN Healthcare Services, Inc. (A) | 979 | 94,943 | |||
Anthem, Inc. | 4,514 | 1,723,445 | |||
Apollo Medical Holdings, Inc. (A) | 645 | 40,512 | |||
Brookdale Senior Living, Inc. (A) | 4,129 | 32,619 | |||
Cardinal Health, Inc. | 5,347 | 305,260 | |||
Castle Biosciences, Inc. (A) | 321 | 23,539 | |||
Centene Corp. (A) | 11,088 | 808,648 | |||
Chemed Corp. | 270 | 128,115 | |||
Cigna Corp. | 6,391 | 1,515,114 | |||
Community Health Systems, Inc. (A) | 2,677 | 41,333 | |||
CorVel Corp. (A) | 411 | 55,197 | |||
Covetrus, Inc. (A) | 2,407 | 64,989 | |||
Cross Country Healthcare, Inc. (A) | 923 | 15,239 | |||
CVS Health Corp. | 24,365 | 2,033,016 | |||
DaVita, Inc. (A) | 2,096 | 252,421 | |||
Encompass Health Corp. | 2,097 | 163,629 | |||
Five Star Senior Living, Inc. (A) | 3,184 | 18,340 | |||
Fulgent Genetics, Inc. (A) | 357 | 32,926 | |||
Guardant Health, Inc. (A) | 1,967 | 244,282 | |||
Hanger, Inc. (A) | 826 | 20,881 | |||
HCA Healthcare, Inc. | 6,356 | 1,314,039 | |||
HealthEquity, Inc. (A) | 1,482 | 119,271 | |||
Henry Schein, Inc. (A) | 2,611 | 193,710 | |||
Humana, Inc. | 2,338 | 1,035,079 | |||
Interpace Biosciences, Inc. (A) | 276 | 2,840 | |||
Laboratory Corp. of America Holdings (A) | 1,855 | 511,702 | |||
LHC Group, Inc. (A) | 671 | 134,374 | |||
Magellan Health, Inc. (A) | 528 | 49,738 | |||
McKesson Corp. | 2,802 | 535,854 | |||
MEDNAX, Inc. (A) | 1,742 | 52,521 | |||
ModivCare, Inc. (A) | 241 | 40,987 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Health care providers and services (continued) | |||||
Molina Healthcare, Inc. (A) | 1,146 | $ | 290,007 | ||
National HealthCare Corp. | 341 | 23,836 | |||
National Research Corp. | 530 | 24,327 | |||
Oak Street Health, Inc. (A) | 4,047 | 237,033 | |||
Ontrak, Inc. (A) | 418 | 13,577 | |||
Option Care Health, Inc. (A) | 3,590 | 78,513 | |||
Owens & Minor, Inc. | 1,464 | 61,971 | |||
Patterson Companies, Inc. | 2,037 | 61,904 | |||
PetIQ, Inc. (A) | 575 | 22,195 | |||
Precipio, Inc. (A) | 1,442 | 5,234 | |||
Premier, Inc., Class A | 2,487 | 86,523 | |||
Privia Health Group, Inc. (A) | 487 | 21,608 | |||
Progenity, Inc. (A)(B) | 1,353 | 4,830 | |||
Progyny, Inc. (A) | 1,674 | 98,766 | |||
Quest Diagnostics, Inc. | 2,466 | 325,438 | |||
R1 RCM, Inc. (A) | 2,386 | 53,065 | |||
RadNet, Inc. (A) | 1,162 | 39,148 | |||
Select Medical Holdings Corp. | 2,879 | 121,667 | |||
Signify Health, Inc., Class A (A) | 2,116 | 64,390 | |||
Surgery Partners, Inc. (A) | 1,125 | 74,948 | |||
Tenet Healthcare Corp. (A) | 2,202 | 147,512 | |||
The Ensign Group, Inc. | 1,158 | 100,364 | |||
The Joint Corp. (A) | 360 | 30,211 | |||
The Pennant Group, Inc. (A) | 613 | 25,072 | |||
Tivity Health, Inc. (A) | 1,068 | 28,099 | |||
UnitedHealth Group, Inc. | 17,336 | 6,942,028 | |||
Universal Health Services, Inc., Class B | 1,703 | 249,370 | |||
US Physical Therapy, Inc. | 281 | 32,559 | |||
21,900,224 | |||||
Health care technology – 0.3% | |||||
Allscripts Healthcare Solutions, Inc. (A) | 3,473 | 64,285 | |||
American Well Corp., Class A (A) | 4,475 | 56,296 | |||
Castlight Health, Inc., B Shares (A) | 3,656 | 9,615 | |||
Cerner Corp. | 5,581 | 436,211 | |||
Certara, Inc. (A) | 2,913 | 82,525 | |||
Change Healthcare, Inc. (A) | 2,632 | 60,641 | |||
Computer Programs & Systems, Inc. | 332 | 11,032 | |||
Evolent Health, Inc., Class A (A) | 1,837 | 38,797 | |||
GoodRx Holdings, Inc., Class A (A) | 7,531 | 271,191 | |||
Health Catalyst, Inc. (A) | 658 | 36,526 | |||
HealthStream, Inc. (A) | 730 | 20,396 | |||
HTG Molecular Diagnostics, Inc. (A) | 68 | 395 | |||
Inovalon Holdings, Inc., Class A (A) | 3,247 | 110,658 | |||
Inspire Medical Systems, Inc. (A) | 513 | 99,142 | |||
NantHealth, Inc. (A) | 2,869 | 6,656 | |||
NextGen Healthcare, Inc. (A) | 1,375 | 22,811 | |||
Omnicell, Inc. (A) | 878 | 132,973 | |||
Phreesia, Inc. (A) | 625 | 38,313 | |||
Schrodinger, Inc. (A) | 841 | 63,588 | |||
Simulations Plus, Inc. | 395 | 21,689 | |||
Tabula Rasa HealthCare, Inc. (A) | 474 | 23,700 | |||
Teladoc Health, Inc. (A) | 2,629 | 437,176 | |||
Veeva Systems, Inc., Class A (A) | 2,849 | 885,897 | |||
Vocera Communications, Inc. (A) | 698 | 27,815 | |||
2,958,328 | |||||
Life sciences tools and services – 1.3% | |||||
10X Genomics, Inc., Class A (A) | 2,009 | 393,402 | |||
Adaptive Biotechnologies Corp. (A) | 2,619 | 107,012 | |||
Agilent Technologies, Inc. | 5,690 | 841,039 | |||
Avantor, Inc. (A) | 11,445 | 406,412 | |||
Berkeley Lights, Inc. (A) | 725 | 32,487 | |||
Bionano Genomics, Inc. (A)(B) | 4,957 | 36,335 | |||
Bio-Rad Laboratories, Inc., Class A (A) | 497 | 320,212 | |||
Bio-Techne Corp. | 772 | 347,601 | |||
Bruker Corp. | 3,230 | 245,415 |
The accompanying notes are an integral part of the financial statements. | 177 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Life sciences tools and services (continued) | |||||
Charles River Laboratories International, Inc. (A) | 1,022 | $ | 378,058 | ||
Codexis, Inc. (A) | 1,349 | 30,568 | |||
Fluidigm Corp. (A) | 1,624 | 10,004 | |||
Illumina, Inc. (A) | 2,710 | 1,282,399 | |||
Inotiv, Inc. (A) | 104 | 2,775 | |||
IQVIA Holdings, Inc. (A) | 3,682 | 892,222 | |||
Luminex Corp. | 874 | 32,163 | |||
Maravai LifeSciences Holdings, Inc., Class A (A) | 4,906 | 204,727 | |||
Medpace Holdings, Inc. (A) | 761 | 134,415 | |||
Mettler-Toledo International, Inc. (A) | 432 | 598,467 | |||
NanoString Technologies, Inc. (A) | 769 | 49,824 | |||
NeoGenomics, Inc. (A) | 2,242 | 101,271 | |||
Pacific Biosciences of California, Inc. (A) | 3,229 | 112,918 | |||
PerkinElmer, Inc. | 2,144 | 331,055 | |||
Personalis, Inc. (A) | 696 | 17,609 | |||
PPD, Inc. (A) | 5,729 | 264,050 | |||
PRA Health Sciences, Inc. (A) | 1,329 | 219,564 | |||
Quanterix Corp. (A) | 534 | 31,324 | |||
Repligen Corp. (A) | 1,100 | 219,582 | |||
Sotera Health Company (A) | 5,283 | 128,007 | |||
Syneos Health, Inc. (A) | 2,189 | 195,894 | |||
Thermo Fisher Scientific, Inc. | 7,126 | 3,594,853 | |||
Waters Corp. (A) | 1,162 | 401,599 | |||
11,963,263 | |||||
Pharmaceuticals – 3.0% | |||||
9 Meters Biopharma, Inc. (A) | 13,854 | 15,239 | |||
Aclaris Therapeutics, Inc. (A) | 1,008 | 17,700 | |||
Aerie Pharmaceuticals, Inc. (A) | 991 | 15,866 | |||
Agile Therapeutics, Inc. (A) | 9,325 | 12,402 | |||
Alexza Pharmaceuticals, Inc. (A)(C) | 2,067 | 72 | |||
Amneal Pharmaceuticals, Inc. (A) | 6,203 | 31,759 | |||
Amphastar Pharmaceuticals, Inc. (A) | 1,078 | 21,732 | |||
Ampio Pharmaceuticals, Inc. (A) | 2,637 | 4,404 | |||
Angion Biomedica Corp. (A) | 423 | 5,507 | |||
ANI Pharmaceuticals, Inc. (A) | 272 | 9,534 | |||
Antares Pharma, Inc. (A) | 3,736 | 16,289 | |||
Aquestive Therapeutics, Inc. (A) | 1,242 | 4,931 | |||
Arvinas, Inc. (A) | 815 | 62,755 | |||
Atea Pharmaceuticals, Inc. (A) | 1,573 | 33,788 | |||
Axsome Therapeutics, Inc. (A) | 727 | 49,043 | |||
Baudax Bio, Inc. (A) | 12,510 | 9,516 | |||
BioDelivery Sciences International, Inc. (A) | 2,072 | 7,418 | |||
Bristol-Myers Squibb Company | 41,562 | 2,777,173 | |||
Cara Therapeutics, Inc. (A) | 906 | 12,929 | |||
Cassava Sciences, Inc. (A)(B) | 658 | 56,220 | |||
Catalent, Inc. (A) | 3,070 | 331,928 | |||
cbdMD, Inc. (A) | 231 | 670 | |||
Cerecor, Inc. (A) | 3,324 | 10,869 | |||
Chiasma, Inc. (A) | 218 | 1,031 | |||
Clearside Biomedical, Inc. (A) | 632 | 3,078 | |||
CNS Pharmaceuticals, Inc. (A) | 4,452 | 8,726 | |||
Collegium Pharmaceutical, Inc. (A) | 742 | 17,541 | |||
Corcept Therapeutics, Inc. (A) | 2,419 | 53,218 | |||
Dova Pharmaceuticals, Inc. (A)(C) | 702 | 0 | |||
Durect Corp. (A) | 4,211 | 6,864 | |||
Edgewise Therapeutics, Inc. (A) | 49 | 1,045 | |||
Elanco Animal Health, Inc. (A) | 7,805 | 270,755 | |||
Elanco Animal Health, Inc. (A)(C) | 1,239 | 0 | |||
Eli Lilly & Company | 17,620 | 4,044,142 | |||
Eloxx Pharmaceuticals, Inc. (A) | 6,700 | 13,333 | |||
Endo International PLC (A) | 4,819 | 22,553 | |||
Evofem Biosciences, Inc. (A) | 8,299 | 9,378 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Pharmaceuticals (continued) | |||||
Evoke Pharma, Inc. (A) | 2,608 | $ | 3,573 | ||
Evolus, Inc. (A) | 1,331 | 16,837 | |||
EyeGate Pharmaceuticals, Inc. (A) | 353 | 1,285 | |||
Eyenovia, Inc. (A) | 1,620 | 8,035 | |||
Fulcrum Therapeutics, Inc. (A) | 548 | 5,743 | |||
Graybug Vision, Inc. (A)(B) | 1,334 | 7,244 | |||
Harrow Health, Inc. (A) | 642 | 5,964 | |||
Hoth Therapeutics, Inc. (A) | 8,258 | 13,213 | |||
Ikena Oncology, Inc. (A) | 481 | 6,753 | |||
IMARA, Inc. (A) | 1,373 | 10,847 | |||
Innoviva, Inc. (A) | 2,164 | 29,019 | |||
Jaguar Health, Inc. (A)(B) | 8,466 | 13,376 | |||
Johnson & Johnson | 48,087 | 7,921,852 | |||
Kala Pharmaceuticals, Inc. (A) | 1,156 | 6,127 | |||
Kaleido Biosciences, Inc. (A) | 768 | 5,714 | |||
Landos Biopharma, Inc. (A) | 517 | 5,971 | |||
Lannett Company, Inc. (A)(B) | 920 | 4,296 | |||
Liquidia Corp. (A) | 907 | 2,594 | |||
Longboard Pharmaceuticals, Inc. (A) | 471 | 4,296 | |||
Lyra Therapeutics, Inc. (A) | 779 | 6,255 | |||
Marinus Pharmaceuticals, Inc. (A) | 569 | 10,208 | |||
Merck & Company, Inc. | 46,028 | 3,579,598 | |||
Nektar Therapeutics (A) | 3,720 | 63,835 | |||
NGM Biopharmaceuticals, Inc. (A) | 1,448 | 28,555 | |||
Ocular Therapeutix, Inc. (A) | 1,256 | 17,810 | |||
Odonate Therapeutics, Inc. (A) | 5,596 | 19,530 | |||
Omeros Corp. (A) | 1,206 | 17,897 | |||
Onconova Therapeutics, Inc. (A) | 965 | 6,687 | |||
Optinose, Inc. (A) | 5,512 | 17,142 | |||
Organon & Company (A) | 4,780 | 144,643 | |||
Osmotica Pharmaceuticals PLC (A)(B) | 6,046 | 18,198 | |||
Otonomy, Inc. (A) | 7,305 | 16,290 | |||
Pacira BioSciences, Inc. (A) | 888 | 53,884 | |||
Palisade Bio, Inc. (A)(B) | 1,653 | 6,728 | |||
Paratek Pharmaceuticals, Inc. (A) | 901 | 6,145 | |||
Pfizer, Inc. | 102,379 | 4,009,162 | |||
Phathom Pharmaceuticals, Inc. (A) | 484 | 16,383 | |||
Phibro Animal Health Corp., Class A | 851 | 24,577 | |||
Pliant Therapeutics, Inc. (A) | 232 | 6,756 | |||
PLx Pharma, Inc. (A) | 510 | 7,038 | |||
Prestige Consumer Healthcare, Inc. (A) | 1,076 | 56,060 | |||
Prevail Therapeutics, Inc. (A)(C) | 788 | 394 | |||
Provention Bio, Inc. (A) | 2,141 | 18,049 | |||
Rain Therapeutics, Inc. (A) | 293 | 4,553 | |||
Reata Pharmaceuticals, Inc., Class A (A) | 634 | 89,730 | |||
Revance Therapeutics, Inc. (A) | 1,026 | 30,411 | |||
Royalty Pharma PLC, Class A | 10,381 | 425,517 | |||
Satsuma Pharmaceuticals, Inc. (A) | 19 | 134 | |||
SCYNEXIS, Inc. (A) | 790 | 5,814 | |||
Seelos Therapeutics, Inc. (A) | 3,347 | 8,836 | |||
SIGA Technologies, Inc. (A) | 1,954 | 12,271 | |||
Supernus Pharmaceuticals, Inc. (A) | 1,139 | 35,070 | |||
Terns Pharmaceuticals, Inc. (A) | 403 | 4,941 | |||
TherapeuticsMD, Inc. (A) | 5,607 | 6,672 | |||
Tilray, Inc., Class 2 (A)(B) | 7,922 | 143,230 | |||
Tobira Therapeutics, Inc. (A)(C) | 609 | 2,521 | |||
Tricida, Inc. (A) | 1,068 | 4,614 | |||
Vallon Pharmaceuticals, Inc. (A) | 1,167 | 6,348 | |||
Verrica Pharmaceuticals, Inc. (A) | 659 | 7,447 | |||
Viatris, Inc. | 22,719 | 324,655 | |||
Virpax Pharmaceuticals, Inc. (A) | 711 | 3,235 | |||
VYNE Therapeutics, Inc. (A) | 2,528 | 8,873 | |||
Xeris Pharmaceuticals, Inc. (A)(B) | 4,556 | 18,543 | |||
Zoetis, Inc. | 8,750 | 1,630,650 | |||
Zogenix, Inc. (A) | 961 | 16,606 |
The accompanying notes are an integral part of the financial statements. | 178 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Pharmaceuticals (continued) | |||||
Zomedica Corp. (A) | 11,482 | $ | 9,561 | ||
Zynerba Pharmaceuticals, Inc. (A) | 1,351 | 7,147 | |||
26,991,350 | |||||
113,120,241 | |||||
Industrials – 8.7% | |||||
Aerospace and defense – 1.4% | |||||
AAR Corp. (A) | 757 | 29,334 | |||
Aerojet Rocketdyne Holdings, Inc. | 1,656 | 79,968 | |||
AeroVironment, Inc. (A) | 512 | 51,277 | |||
Astronics Corp. (A) | 623 | 10,909 | |||
Axon Enterprise, Inc. (A) | 1,246 | 220,293 | |||
BWX Technologies, Inc. | 1,923 | 111,765 | |||
Curtiss-Wright Corp. | 789 | 93,702 | |||
Ducommun, Inc. (A) | 268 | 14,622 | |||
General Dynamics Corp. | 4,993 | 939,982 | |||
HEICO Corp., Class A | 2,690 | 334,044 | |||
Hexcel Corp. (A) | 1,762 | 109,949 | |||
Howmet Aerospace, Inc. (A) | 8,401 | 289,582 | |||
Huntington Ingalls Industries, Inc. | 759 | 159,959 | |||
Kaman Corp. | 587 | 29,585 | |||
Kratos Defense & Security Solutions, Inc. (A) | 2,288 | 65,185 | |||
L3Harris Technologies, Inc. | 3,809 | 823,315 | |||
Lockheed Martin Corp. | 4,745 | 1,795,271 | |||
Maxar Technologies, Inc. | 1,313 | 52,415 | |||
Mercury Systems, Inc. (A) | 1,164 | 77,150 | |||
Moog, Inc., Class A | 671 | 56,404 | |||
National Presto Industries, Inc. | 169 | 17,179 | |||
Northrop Grumman Corp. | 2,773 | 1,007,791 | |||
Park Aerospace Corp. | 561 | 8,359 | |||
Parsons Corp. (A) | 2,058 | 81,003 | |||
Raytheon Technologies Corp. | 28,079 | 2,395,419 | |||
Spirit AeroSystems Holdings, Inc., Class A | 2,171 | 102,449 | |||
Teledyne Technologies, Inc. (A) | 883 | 369,827 | |||
Textron, Inc. | 4,443 | 305,545 | |||
The Boeing Company (A) | 10,819 | 2,591,800 | |||
TransDigm Group, Inc. (A) | 1,033 | 668,651 | |||
Triumph Group, Inc. (A) | 1,030 | 21,373 | |||
Vectrus, Inc. (A) | 262 | 12,469 | |||
12,926,576 | |||||
Air freight and logistics – 0.7% | |||||
Air Transport Services Group, Inc. (A) | 1,293 | 30,036 | |||
Atlas Air Worldwide Holdings, Inc. (A) | 480 | 32,693 | |||
CH Robinson Worldwide, Inc. | 2,237 | 209,540 | |||
Echo Global Logistics, Inc. (A) | 631 | 19,397 | |||
Expeditors International of Washington, Inc. | 2,602 | 329,413 | |||
FedEx Corp. | 5,017 | 1,496,722 | |||
Forward Air Corp. | 636 | 57,081 | |||
Hub Group, Inc., Class A (A) | 691 | 45,592 | |||
United Parcel Service, Inc., Class B | 16,108 | 3,349,981 | |||
XPO Logistics, Inc. (A) | 1,938 | 271,107 | |||
5,841,562 | |||||
Airlines – 0.2% | |||||
Alaska Air Group, Inc. (A) | 2,510 | 151,378 | |||
Allegiant Travel Company (A) | 324 | 62,856 | |||
American Airlines Group, Inc. (A) | 9,945 | 210,933 | |||
Delta Air Lines, Inc. (A) | 13,422 | 580,636 | |||
Hawaiian Holdings, Inc. (A) | 993 | 24,199 | |||
JetBlue Airways Corp. (A) | 6,077 | 101,972 | |||
Mesa Air Group, Inc. (A) | 734 | 6,848 | |||
SkyWest, Inc. (A) | 1,002 | 43,156 | |||
Southwest Airlines Company (A) | 10,995 | 583,725 | |||
Spirit Airlines, Inc. (A) | 1,446 | 44,016 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Airlines (continued) | |||||
United Airlines Holdings, Inc. (A) | 5,285 | $ | 276,353 | ||
2,086,072 | |||||
Building products – 0.5% | |||||
A.O. Smith Corp. | 3,268 | 235,492 | |||
AAON, Inc. | 1,098 | 68,724 | |||
Advanced Drainage Systems, Inc. | 1,309 | 152,590 | |||
American Woodmark Corp. (A) | 361 | 29,490 | |||
Apogee Enterprises, Inc. | 604 | 24,601 | |||
Armstrong World Industries, Inc. | 856 | 91,815 | |||
Builders FirstSource, Inc. (A) | 4,290 | 183,011 | |||
Carrier Global Corp. | 16,178 | 786,251 | |||
Cornerstone Building Brands, Inc. (A) | 2,840 | 51,631 | |||
CSW Industrials, Inc. | 335 | 39,684 | |||
Fortune Brands Home & Security, Inc. | 2,668 | 265,759 | |||
Gibraltar Industries, Inc. (A) | 685 | 52,272 | |||
Griffon Corp. | 1,054 | 27,014 | |||
Insteel Industries, Inc. | 463 | 14,885 | |||
JELD-WEN Holding, Inc. (A) | 2,148 | 56,406 | |||
Johnson Controls International PLC | 17,081 | 1,172,269 | |||
Lennox International, Inc. | 706 | 247,665 | |||
Masco Corp. | 4,564 | 268,865 | |||
Owens Corning | 2,138 | 209,310 | |||
PGT Innovations, Inc. (A) | 1,295 | 30,083 | |||
Quanex Building Products Corp. | 554 | 13,761 | |||
Resideo Technologies, Inc. (A) | 2,645 | 79,350 | |||
Simpson Manufacturing Company, Inc. | 929 | 102,599 | |||
The AZEK Company, Inc. (A) | 1,030 | 43,734 | |||
Trex Company, Inc. (A) | 2,395 | 244,793 | |||
UFP Industries, Inc. | 1,297 | 96,419 | |||
4,588,473 | |||||
Commercial services and supplies – 0.6% | |||||
ABM Industries, Inc. | 1,396 | 61,913 | |||
ACCO Brands Corp. | 2,109 | 18,201 | |||
ACV Auctions, Inc., Class A (A) | 1,749 | 44,827 | |||
ADT, Inc. | 15,587 | 168,184 | |||
Aqua Metals, Inc. (A) | 407 | 1,221 | |||
Brady Corp., Class A | 1,122 | 62,877 | |||
BrightView Holdings, Inc. (A) | 2,250 | 36,270 | |||
Casella Waste Systems, Inc., Class A (A) | 1,031 | 65,396 | |||
CECO Environmental Corp. (A) | 931 | 6,666 | |||
Cintas Corp. | 1,923 | 734,586 | |||
Clean Harbors, Inc. (A) | 1,183 | 110,185 | |||
Copart, Inc. (A) | 4,342 | 572,406 | |||
CoreCivic, Inc. (A) | 2,527 | 26,458 | |||
Covanta Holding Corp. | 2,894 | 50,963 | |||
Deluxe Corp. | 899 | 42,945 | |||
Ennis, Inc. | 594 | 12,783 | |||
Harsco Corp. (A) | 1,720 | 35,122 | |||
Healthcare Services Group, Inc. | 1,557 | 49,154 | |||
Heritage-Crystal Clean, Inc. (A) | 532 | 15,790 | |||
Herman Miller, Inc. | 1,134 | 53,457 | |||
HNI Corp. | 909 | 39,969 | |||
IAA, Inc. (A) | 2,758 | 150,421 | |||
Interface, Inc. | 1,246 | 19,064 | |||
KAR Auction Services, Inc. (A) | 2,713 | 47,613 | |||
Kimball International, Inc., Class B | 828 | 10,888 | |||
Knoll, Inc. | 1,051 | 27,315 | |||
Matthews International Corp., Class A | 695 | 24,992 | |||
MSA Safety, Inc. | 789 | 130,643 | |||
NL Industries, Inc. | 1,371 | 8,912 | |||
Pitney Bowes, Inc. | 3,630 | 31,835 | |||
Quad/Graphics, Inc. (A) | 1,350 | 5,603 | |||
Republic Services, Inc. | 5,154 | 566,992 | |||
Rollins, Inc. | 9,589 | 327,944 | |||
RR Donnelley & Sons Company (A) | 1,850 | 11,618 |
The accompanying notes are an integral part of the financial statements. | 179 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Commercial services and supplies (continued) | |||||
SP Plus Corp. (A) | 517 | $ | 15,815 | ||
Steelcase, Inc., Class A | 2,479 | 37,458 | |||
Stericycle, Inc. (A) | 1,924 | 137,662 | |||
Swisher Hygiene, Inc. (A)(C) | 450 | 0 | |||
Team, Inc. (A) | 728 | 4,878 | |||
Tetra Tech, Inc. | 1,153 | 140,712 | |||
The Brink's Company | 1,052 | 80,836 | |||
UniFirst Corp. | 321 | 75,319 | |||
US Ecology, Inc. (A) | 492 | 18,460 | |||
Viad Corp. (A) | 446 | 22,233 | |||
Vidler Water Resouces, Inc. (A) | 659 | 8,765 | |||
VSE Corp. | 270 | 13,368 | |||
Waste Management, Inc. | 7,421 | 1,039,756 | |||
5,168,475 | |||||
Construction and engineering – 0.2% | |||||
AECOM (A) | 2,768 | 175,270 | |||
Ameresco, Inc., Class A (A) | 1,046 | 65,605 | |||
Arcosa, Inc. | 870 | 51,104 | |||
Argan, Inc. | 361 | 17,252 | |||
Comfort Systems USA, Inc. | 770 | 60,668 | |||
Construction Partners, Inc., Class A (A) | 1,162 | 36,487 | |||
Dycom Industries, Inc. (A) | 667 | 49,712 | |||
EMCOR Group, Inc. | 901 | 110,994 | |||
Fluor Corp. (A) | 3,029 | 53,613 | |||
Granite Construction, Inc. | 1,014 | 42,111 | |||
Great Lakes Dredge & Dock Corp. (A) | 1,462 | 21,360 | |||
IES Holdings, Inc. (A) | 485 | 24,910 | |||
MasTec, Inc. (A) | 1,529 | 162,227 | |||
Matrix Service Company (A) | 663 | 6,962 | |||
MYR Group, Inc. (A) | 381 | 34,641 | |||
Northwest Pipe Company (A) | 252 | 7,119 | |||
Orbital Energy Group, Inc. (A) | 635 | 2,775 | |||
Orion Group Holdings, Inc. (A) | 985 | 5,664 | |||
Primoris Services Corp. | 1,046 | 30,784 | |||
Quanta Services, Inc. | 2,698 | 244,358 | |||
Sterling Construction Company, Inc. (A) | 650 | 15,685 | |||
Tutor Perini Corp. (A) | 1,152 | 15,955 | |||
Valmont Industries, Inc. | 334 | 78,841 | |||
WillScot Mobile Mini Holdings Corp. (A) | 4,767 | 132,856 | |||
1,446,953 | |||||
Electrical equipment – 0.6% | |||||
Acuity Brands, Inc. | 788 | 147,380 | |||
Allied Motion Technologies, Inc. | 333 | 11,498 | |||
American Superconductor Corp. (A) | 626 | 10,886 | |||
AMETEK, Inc. | 4,215 | 562,703 | |||
Array Technologies, Inc. (A) | 2,418 | 37,721 | |||
Atkore, Inc. (A) | 995 | 70,645 | |||
Ault Global Holdings, Inc. (A) | 1,563 | 4,408 | |||
AZZ, Inc. | 556 | 28,790 | |||
Bloom Energy Corp., Class A (A) | 2,529 | 67,954 | |||
Eaton Corp. PLC | 7,027 | 1,041,261 | |||
Emerson Electric Company | 10,731 | 1,032,751 | |||
Encore Wire Corp. | 444 | 33,651 | |||
Energous Corp. (A) | 2,561 | 7,350 | |||
EnerSys | 886 | 86,589 | |||
FuelCell Energy, Inc. (A) | 4,837 | 43,049 | |||
Generac Holdings, Inc. (A) | 592 | 245,769 | |||
GrafTech International, Ltd. | 4,843 | 56,276 | |||
Hubbell, Inc. | 956 | 178,619 | |||
nVent Electric PLC | 3,399 | 106,185 | |||
Ocean Power Technologies, Inc. (A) | 567 | 1,418 | |||
Orion Energy Systems, Inc. (A) | 2,776 | 15,906 | |||
Plug Power, Inc. (A) | 9,570 | 327,198 | |||
Powell Industries, Inc. | 287 | 8,883 | |||
Preformed Line Products Company | 126 | 9,349 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Electrical equipment (continued) | |||||
Regal Beloit Corp. | 813 | $ | 108,544 | ||
Rockwell Automation, Inc. | 2,053 | 587,199 | |||
Sunrun, Inc. (A) | 3,994 | 222,785 | |||
Sunworks, Inc. (A) | 179 | 1,881 | |||
Thermon Group Holdings, Inc. (A) | 751 | 12,797 | |||
TPI Composites, Inc. (A) | 781 | 37,816 | |||
Vicor Corp. (A) | 865 | 91,465 | |||
5,198,726 | |||||
Industrial conglomerates – 0.9% | |||||
3M Company | 10,518 | 2,089,190 | |||
Carlisle Companies, Inc. | 796 | 152,338 | |||
General Electric Company | 163,539 | 2,201,235 | |||
Honeywell International, Inc. | 12,632 | 2,770,829 | |||
Icahn Enterprises LP | 4,276 | 235,137 | |||
Raven Industries, Inc. | 807 | 46,685 | |||
Roper Technologies, Inc. | 1,888 | 887,738 | |||
8,383,152 | |||||
Machinery – 1.7% | |||||
AGCO Corp. | 1,435 | 187,095 | |||
Agrify Corp. (A) | 374 | 4,451 | |||
Alamo Group, Inc. | 239 | 36,491 | |||
Albany International Corp., Class A | 643 | 57,394 | |||
Allison Transmission Holdings, Inc. | 1,182 | 46,973 | |||
Altra Industrial Motion Corp. | 1,367 | 88,882 | |||
Astec Industries, Inc. | 516 | 32,477 | |||
Barnes Group, Inc. | 1,066 | 54,633 | |||
Caterpillar, Inc. | 10,074 | 2,192,405 | |||
Chart Industries, Inc. (A) | 759 | 111,057 | |||
CIRCOR International, Inc. (A) | 461 | 15,029 | |||
Colfax Corp. (A) | 2,476 | 113,426 | |||
Columbus McKinnon Corp. | 532 | 25,664 | |||
Commercial Vehicle Group, Inc. (A) | 856 | 9,099 | |||
Crane Company | 1,181 | 109,089 | |||
Cummins, Inc. | 2,458 | 599,285 | |||
Deere & Company | 5,739 | 2,024,203 | |||
Donaldson Company, Inc. | 2,191 | 139,194 | |||
Douglas Dynamics, Inc. | 435 | 17,700 | |||
Dover Corp. | 2,018 | 303,911 | |||
Energy Recovery, Inc. (A) | 1,268 | 28,885 | |||
Enerpac Tool Group Corp. | 1,293 | 34,420 | |||
EnPro Industries, Inc. | 467 | 45,369 | |||
ESCO Technologies, Inc. | 542 | 50,845 | |||
Evoqua Water Technologies Corp. (A) | 2,421 | 81,781 | |||
Federal Signal Corp. | 1,279 | 51,454 | |||
Flowserve Corp. | 2,742 | 110,557 | |||
Fortive Corp. | 6,140 | 428,204 | |||
Franklin Electric Company, Inc. | 987 | 79,572 | |||
Gates Industrial Corp. PLC (A) | 6,148 | 111,094 | |||
Gencor Industries, Inc. (A) | 428 | 5,204 | |||
Graco, Inc. | 3,258 | 246,631 | |||
Graham Corp. | 310 | 4,266 | |||
Helios Technologies, Inc. | 706 | 55,103 | |||
Hillenbrand, Inc. | 1,583 | 69,779 | |||
Hurco Companies, Inc. | 183 | 6,405 | |||
Hyster-Yale Materials Handling, Inc. | 296 | 21,602 | |||
IDEX Corp. | 1,049 | 230,832 | |||
Illinois Tool Works, Inc. | 5,437 | 1,215,496 | |||
Ingersoll Rand, Inc. (A) | 7,954 | 388,235 | |||
ITT, Inc. | 1,654 | 151,490 | |||
John Bean Technologies Corp. | 667 | 95,128 | |||
Kadant, Inc. | 213 | 37,507 | |||
Kennametal, Inc. | 1,782 | 64,009 | |||
LB Foster Company, Class A (A) | 298 | 5,555 | |||
Lincoln Electric Holdings, Inc. | 1,160 | 152,784 | |||
Lindsay Corp. | 215 | 35,535 |
The accompanying notes are an integral part of the financial statements. | 180 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Machinery (continued) | |||||
Lydall, Inc. (A) | 434 | $ | 26,266 | ||
Mayville Engineering Company, Inc. (A) | 522 | 10,497 | |||
Meritor, Inc. (A) | 1,419 | 33,233 | |||
Miller Industries, Inc. | 293 | 11,556 | |||
Mueller Industries, Inc. | 1,297 | 56,173 | |||
Mueller Water Products, Inc., Class A | 3,339 | 48,148 | |||
Navistar International Corp. (A) | 2,092 | 93,094 | |||
NN, Inc. (A) | 766 | 5,630 | |||
Nordson Corp. | 688 | 151,023 | |||
Omega Flex, Inc. | 223 | 32,716 | |||
Oshkosh Corp. | 1,294 | 161,284 | |||
Otis Worldwide Corp. | 7,399 | 605,016 | |||
PACCAR, Inc. | 5,710 | 509,618 | |||
Parker-Hannifin Corp. | 2,416 | 741,978 | |||
Park-Ohio Holdings Corp. | 316 | 10,156 | |||
Proto Labs, Inc. (A) | 565 | 51,867 | |||
RBC Bearings, Inc. (A) | 524 | 104,496 | |||
REV Group, Inc. | 1,210 | 18,985 | |||
Rexnord Corp. | 2,363 | 118,245 | |||
Snap-on, Inc. | 835 | 186,564 | |||
SPX Corp. (A) | 948 | 57,904 | |||
SPX FLOW, Inc. | 923 | 60,217 | |||
Standex International Corp. | 280 | 26,575 | |||
Stanley Black & Decker, Inc. | 2,971 | 609,025 | |||
Tennant Company | 380 | 30,343 | |||
Terex Corp. | 1,554 | 74,001 | |||
The Eastern Company | 202 | 6,127 | |||
The Gorman-Rupp Company | 603 | 20,767 | |||
The Greenbrier Companies, Inc. | 586 | 25,538 | |||
The Manitowoc Company, Inc. (A) | 864 | 21,168 | |||
The Middleby Corp. (A) | 1,172 | 203,061 | |||
The Shyft Group, Inc. | 809 | 30,265 | |||
The Timken Company | 1,583 | 127,574 | |||
The Toro Company | 2,154 | 236,682 | |||
Titan International, Inc. (A) | 1,677 | 14,221 | |||
TriMas Corp. (A) | 1,035 | 31,392 | |||
Trinity Industries, Inc. | 2,605 | 70,048 | |||
Wabash National Corp. | 1,110 | 17,760 | |||
Wabtec Corp. | 3,970 | 326,731 | |||
Watts Water Technologies, Inc., Class A | 650 | 94,842 | |||
Welbilt, Inc. (A) | 2,974 | 68,848 | |||
Woodward, Inc. | 1,298 | 159,498 | |||
Xylem, Inc. | 3,519 | 422,139 | |||
15,687,471 | |||||
Marine – 0.0% | |||||
Eagle Bulk Shipping, Inc. (A) | 275 | 13,013 | |||
Kirby Corp. (A) | 1,269 | 76,952 | |||
Matson, Inc. | 933 | 59,712 | |||
149,677 | |||||
Professional services – 0.5% | |||||
Acacia Research Corp. (A) | 1,686 | 11,397 | |||
ASGN, Inc. (A) | 1,106 | 107,205 | |||
Barrett Business Services, Inc. | 173 | 12,562 | |||
Booz Allen Hamilton Holding Corp. | 2,445 | 208,265 | |||
CACI International, Inc., Class A (A) | 333 | 84,955 | |||
CBIZ, Inc. (A) | 1,144 | 37,489 | |||
CoStar Group, Inc. (A) | 7,420 | 614,524 | |||
CRA International, Inc. | 188 | 16,093 | |||
Dun & Bradstreet Holdings, Inc. (A) | 4,817 | 102,939 | |||
Equifax, Inc. | 2,294 | 549,436 | |||
Exponent, Inc. | 1,082 | 96,525 | |||
Forrester Research, Inc. (A) | 420 | 19,236 | |||
Franklin Covey Company (A) | 341 | 11,031 | |||
FTI Consulting, Inc. (A) | 590 | 80,600 | |||
Heidrick & Struggles International, Inc. | 459 | 20,448 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Professional services (continued) | |||||
Huron Consulting Group, Inc. (A) | 481 | $ | 23,641 | ||
ICF International, Inc. | 377 | 33,123 | |||
Insperity, Inc. | 843 | 76,182 | |||
Jacobs Engineering Group, Inc. | 2,407 | 321,142 | |||
KBR, Inc. | 2,986 | 113,916 | |||
Kelly Services, Inc., Class A (A) | 813 | 19,488 | |||
Kforce, Inc. | 509 | 32,031 | |||
Korn Ferry | 1,163 | 84,376 | |||
Leidos Holdings, Inc. | 2,616 | 264,478 | |||
ManpowerGroup, Inc. | 1,062 | 126,282 | |||
ManTech International Corp., Class A | 809 | 70,011 | |||
Mistras Group, Inc. (A) | 754 | 7,412 | |||
Rekor Systems, Inc. (A) | 930 | 9,449 | |||
Resources Connection, Inc. | 781 | 11,215 | |||
Robert Half International, Inc. | 2,211 | 196,713 | |||
Science Applications International Corp. | 1,089 | 95,538 | |||
ShiftPixy, Inc. (A) | 1,190 | 2,808 | |||
TransUnion | 3,623 | 397,842 | |||
TriNet Group, Inc. (A) | 1,465 | 106,183 | |||
TrueBlue, Inc. (A) | 816 | 22,938 | |||
Upwork, Inc. (A) | 2,419 | 141,004 | |||
Verisk Analytics, Inc. | 2,981 | 520,840 | |||
Willdan Group, Inc. (A) | 264 | 9,937 | |||
4,659,254 | |||||
Road and rail – 1.1% | |||||
AMERCO | 253 | 149,118 | |||
ArcBest Corp. | 604 | 35,147 | |||
Avis Budget Group, Inc. (A) | 1,479 | 115,199 | |||
Covenant Logistics Group, Inc. (A) | 501 | 10,361 | |||
CSX Corp. | 41,976 | 1,346,590 | |||
Daseke, Inc. (A) | 1,184 | 7,672 | |||
Heartland Express, Inc. | 1,522 | 26,072 | |||
HyreCar, Inc. (A) | 233 | 4,874 | |||
JB Hunt Transport Services, Inc. | 1,930 | 314,494 | |||
Kansas City Southern | 1,750 | 495,898 | |||
Knight-Swift Transportation Holdings, Inc. | 3,561 | 161,883 | |||
Landstar System, Inc. | 521 | 82,328 | |||
Lyft, Inc., Class A (A) | 6,240 | 377,395 | |||
Marten Transport, Ltd. | 1,666 | 27,472 | |||
Norfolk Southern Corp. | 4,539 | 1,204,696 | |||
Old Dominion Freight Line, Inc. | 2,233 | 566,735 | |||
P.A.M. Transportation Services, Inc. (A) | 163 | 8,598 | |||
Ryder System, Inc. | 1,136 | 84,439 | |||
Saia, Inc. (A) | 560 | 117,314 | |||
Schneider National, Inc., Class B | 3,647 | 79,395 | |||
TuSimple Holdings, Inc., Class A (A)(B) | 1,216 | 86,628 | |||
Uber Technologies, Inc. (A) | 35,203 | 1,764,374 | |||
Union Pacific Corp. | 12,090 | 2,658,954 | |||
Universal Logistics Holdings, Inc. | 647 | 15,075 | |||
Werner Enterprises, Inc. | 973 | 43,318 | |||
Yellow Corp. (A) | 875 | 5,696 | |||
9,789,725 | |||||
Trading companies and distributors – 0.3% | |||||
Air Lease Corp. | 2,163 | 90,284 | |||
Applied Industrial Technologies, Inc. | 808 | 73,576 | |||
Beacon Roofing Supply, Inc. (A) | 1,448 | 77,106 | |||
BlueLinx Holdings, Inc. (A) | 138 | 6,939 | |||
Boise Cascade Company | 849 | 49,539 | |||
CAI International, Inc. | 399 | 22,344 | |||
DXP Enterprises, Inc. (A) | 424 | 14,119 | |||
EVI Industries, Inc. (A) | 281 | 7,980 | |||
Fastenal Company | 11,301 | 587,652 | |||
Fortress Transportation & Infrastructure Investors LLC | 1,753 | 58,813 | |||
GATX Corp. | 601 | 53,170 |
The accompanying notes are an integral part of the financial statements. | 181 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Trading companies and distributors (continued) | |||||
Global Industrial, Inc. | 859 | $ | 31,534 | ||
GMS, Inc. (A) | 892 | 42,941 | |||
H&E Equipment Services, Inc. | 706 | 23,489 | |||
Herc Holdings, Inc. (A) | 600 | 67,242 | |||
Lawson Products, Inc. (A) | 105 | 5,619 | |||
McGrath RentCorp | 513 | 41,845 | |||
MRC Global, Inc. (A) | 1,913 | 17,982 | |||
MSC Industrial Direct Company, Inc., Class A | 1,063 | 95,383 | |||
NOW, Inc. (A) | 2,361 | 22,406 | |||
Rush Enterprises, Inc., Class A | 1,177 | 50,893 | |||
SiteOne Landscape Supply, Inc. (A) | 878 | 148,610 | |||
Textainer Group Holdings, Ltd. (A) | 1,307 | 44,137 | |||
Titan Machinery, Inc. (A) | 554 | 17,141 | |||
United Rentals, Inc. (A) | 1,337 | 426,516 | |||
Univar Solutions, Inc. (A) | 3,580 | 87,280 | |||
Veritiv Corp. (A) | 416 | 25,551 | |||
W.W. Grainger, Inc. | 838 | 367,044 | |||
Watsco, Inc. | 731 | 209,534 | |||
WESCO International, Inc. (A) | 1,054 | 108,372 | |||
2,875,041 | |||||
78,801,157 | |||||
Information technology – 25.2% | |||||
Communications equipment – 0.8% | |||||
ADTRAN, Inc. | 1,229 | 25,379 | |||
Applied Optoelectronics, Inc. (A) | 524 | 4,438 | |||
Arista Networks, Inc. (A) | 1,433 | 519,190 | |||
CalAmp Corp. (A) | 820 | 10,430 | |||
Calix, Inc. (A) | 1,308 | 62,130 | |||
Cambium Networks Corp. (A) | 638 | 30,847 | |||
Casa Systems, Inc. (A) | 2,022 | 17,935 | |||
Ciena Corp. (A) | 2,982 | 169,646 | |||
Cisco Systems, Inc. | 76,920 | 4,076,760 | |||
Clearfield, Inc. (A) | 398 | 14,905 | |||
CommScope Holding Company, Inc. (A) | 4,134 | 88,096 | |||
Comtech Telecommunications Corp. | 548 | 13,240 | |||
Digi International, Inc. (A) | 683 | 13,735 | |||
DZS, Inc. (A) | 566 | 11,745 | |||
EchoStar Corp., Class A (A) | 2,059 | 50,013 | |||
Extreme Networks, Inc. (A) | 2,767 | 30,880 | |||
F5 Networks, Inc. (A) | 1,169 | 218,206 | |||
Harmonic, Inc. (A) | 2,084 | 17,756 | |||
Infinera Corp. (A) | 3,517 | 35,873 | |||
Inseego Corp. (A)(B) | 1,798 | 18,142 | |||
Juniper Networks, Inc. | 5,594 | 152,996 | |||
KVH Industries, Inc. (A) | 504 | 6,199 | |||
Lumentum Holdings, Inc. (A) | 1,592 | 130,592 | |||
Motorola Solutions, Inc. | 2,893 | 627,347 | |||
NETGEAR, Inc. (A) | 654 | 25,061 | |||
NetScout Systems, Inc. (A) | 1,586 | 45,264 | |||
Plantronics, Inc. (A) | 893 | 37,265 | |||
Powerwave Technologies, Inc. (A)(C) | 912 | 0 | |||
Resonant, Inc. (A) | 247 | 793 | |||
Ribbon Communications, Inc. (A) | 2,627 | 19,991 | |||
Ubiquiti, Inc. | 1,238 | 386,491 | |||
ViaSat, Inc. (A) | 1,289 | 64,244 | |||
Viavi Solutions, Inc. (A) | 4,848 | 85,616 | |||
Vislink Technologies, Inc. (A) | 1,137 | 3,240 | |||
7,014,445 | |||||
Electronic equipment, instruments and components – 0.7% | |||||
Advanced Energy Industries, Inc. | 809 | 91,182 | |||
Akoustis Technologies, Inc. (A) | 872 | 9,339 | |||
Amphenol Corp., Class A | 10,849 | 742,180 | |||
Arlo Technologies, Inc. (A) | 1,497 | 10,135 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Electronic equipment, instruments and components (continued) | |||||
Arrow Electronics, Inc. (A) | 1,238 | $ | 140,922 | ||
Avnet, Inc. | 1,858 | 74,469 | |||
Badger Meter, Inc. | 609 | 59,755 | |||
Bel Fuse, Inc., Class B | 346 | 4,982 | |||
Belden, Inc. | 915 | 46,272 | |||
Benchmark Electronics, Inc. | 800 | 22,768 | |||
CDW Corp. | 2,526 | 441,166 | |||
Cognex Corp. | 3,548 | 298,209 | |||
Coherent, Inc. (A) | 509 | 134,549 | |||
Corning, Inc. | 15,094 | 617,345 | |||
CTS Corp. | 670 | 24,897 | |||
Daktronics, Inc. (A) | 1,227 | 8,086 | |||
ePlus, Inc. (A) | 171 | 14,824 | |||
FARO Technologies, Inc. (A) | 391 | 30,408 | |||
II-VI, Inc. (A) | 1,909 | 138,574 | |||
Insight Enterprises, Inc. (A) | 735 | 73,507 | |||
IPG Photonics Corp. (A) | 1,012 | 213,299 | |||
Iteris, Inc. (A) | 1,032 | 6,863 | |||
Itron, Inc. (A) | 841 | 84,083 | |||
Jabil, Inc. | 2,933 | 170,466 | |||
Keysight Technologies, Inc. (A) | 3,385 | 522,678 | |||
Kimball Electronics, Inc. (A) | 601 | 13,066 | |||
Knowles Corp. (A) | 1,955 | 38,592 | |||
Littelfuse, Inc. | 493 | 125,611 | |||
Methode Electronics, Inc. | 804 | 39,565 | |||
MicroVision, Inc. (A)(B) | 2,290 | 38,358 | |||
Napco Security Technologies, Inc. (A) | 429 | 15,603 | |||
National Instruments Corp. | 2,724 | 115,171 | |||
nLight, Inc. (A) | 848 | 30,765 | |||
Novanta, Inc. (A) | 739 | 99,588 | |||
OSI Systems, Inc. (A) | 333 | 33,846 | |||
PAR Technology Corp. (A) | 370 | 25,878 | |||
PC Connection, Inc. | 517 | 23,922 | |||
Plexus Corp. (A) | 489 | 44,699 | |||
Rogers Corp. (A) | 393 | 78,914 | |||
Sanmina Corp. (A) | 1,095 | 42,661 | |||
ScanSource, Inc. (A) | 460 | 12,940 | |||
SYNNEX Corp. | 1,018 | 123,952 | |||
Trimble, Inc. (A) | 4,825 | 394,830 | |||
TTM Technologies, Inc. (A) | 2,254 | 32,232 | |||
Vishay Intertechnology, Inc. | 3,003 | 67,718 | |||
Vishay Precision Group, Inc. (A) | 306 | 10,416 | |||
Vontier Corp. | 2,732 | 89,009 | |||
Zebra Technologies Corp., Class A (A) | 998 | 528,431 | |||
6,006,725 | |||||
IT services – 4.6% | |||||
Affirm Holdings, Inc. (A)(B) | 3,775 | 254,246 | |||
Akamai Technologies, Inc. (A) | 2,848 | 332,077 | |||
Alliance Data Systems Corp. | 932 | 97,105 | |||
Automatic Data Processing, Inc. | 7,771 | 1,543,476 | |||
BigCommerce Holdings, Inc., Series 1 (A) | 1,073 | 69,659 | |||
Black Knight, Inc. (A) | 2,978 | 232,224 | |||
BM Technologies, Inc. (A)(B) | 1,528 | 19,008 | |||
Brightcove, Inc. (A) | 983 | 14,106 | |||
Broadridge Financial Solutions, Inc. | 2,155 | 348,097 | |||
Cass Information Systems, Inc. | 256 | 10,432 | |||
Cognizant Technology Solutions Corp., Class A | 9,804 | 679,025 | |||
Concentrix Corp. (A) | 1,018 | 163,694 | |||
Conduent, Inc. (A) | 4,621 | 34,658 | |||
CSG Systems International, Inc. | 659 | 31,092 | |||
DXC Technology Company (A) | 5,359 | 208,679 | |||
EPAM Systems, Inc. (A) | 1,091 | 557,457 | |||
Euronet Worldwide, Inc. (A) | 1,131 | 153,081 |
The accompanying notes are an integral part of the financial statements. | 182 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
IT services (continued) | |||||
EVO Payments, Inc., Class A (A) | 1,768 | $ | 49,044 | ||
ExlService Holdings, Inc. (A) | 712 | 75,657 | |||
Fastly, Inc., Class A (A)(B) | 1,995 | 118,902 | |||
Fidelity National Information Services, Inc. | 11,395 | 1,614,330 | |||
Fiserv, Inc. (A) | 12,393 | 1,324,688 | |||
FleetCor Technologies, Inc. (A) | 1,524 | 390,235 | |||
Gartner, Inc. (A) | 1,708 | 413,678 | |||
Genpact, Ltd. | 3,996 | 181,538 | |||
Global Payments, Inc. | 5,523 | 1,035,783 | |||
GoDaddy, Inc., Class A (A) | 3,165 | 275,228 | |||
GreenSky, Inc., Class A (A) | 3,876 | 21,512 | |||
i3 Verticals, Inc., Class A (A) | 606 | 18,313 | |||
IBM Corp. | 16,189 | 2,373,146 | |||
Information Services Group, Inc. | 1,409 | 8,243 | |||
Jack Henry & Associates, Inc. | 1,234 | 201,771 | |||
Limelight Networks, Inc. (A) | 2,664 | 8,392 | |||
LiveRamp Holdings, Inc. (A) | 1,431 | 67,042 | |||
Mastercard, Inc., Class A | 18,201 | 6,645,003 | |||
MAXIMUS, Inc. | 1,146 | 100,814 | |||
MoneyGram International, Inc. (A) | 1,519 | 15,312 | |||
MongoDB, Inc. (A) | 1,175 | 424,786 | |||
Okta, Inc. (A) | 2,436 | 596,040 | |||
Paychex, Inc. | 6,715 | 720,520 | |||
PayPal Holdings, Inc. (A) | 21,633 | 6,305,587 | |||
Paysign, Inc. (A) | 1,105 | 3,514 | |||
Perficient, Inc. (A) | 713 | 57,339 | |||
Sabre Corp. (A) | 5,716 | 71,336 | |||
ServiceSource International, Inc. (A) | 14,242 | 20,081 | |||
Shift4 Payments, Inc., Class A (A) | 700 | 65,604 | |||
Snowflake, Inc., Class A (A) | 5,436 | 1,314,425 | |||
Square, Inc., Class A (A) | 8,502 | 2,072,788 | |||
Squarespace, Inc., Class A (A) | 884 | 52,518 | |||
StarTek, Inc. (A) | 653 | 4,656 | |||
Switch, Inc., Class A | 5,110 | 107,872 | |||
Sykes Enterprises, Inc. (A) | 904 | 48,545 | |||
The Hackett Group, Inc. | 696 | 12,542 | |||
The Western Union Company | 7,400 | 169,978 | |||
TTEC Holdings, Inc. | 986 | 101,647 | |||
Twilio, Inc., Class A (A) | 2,920 | 1,150,947 | |||
Unisys Corp. (A) | 1,343 | 33,991 | |||
VeriSign, Inc. (A) | 1,742 | 396,636 | |||
Verra Mobility Corp. (A) | 3,363 | 51,689 | |||
Visa, Inc., Class A | 35,691 | 8,345,270 | |||
WEX, Inc. (A) | 903 | 175,092 | |||
41,990,150 | |||||
Semiconductors and semiconductor equipment – 4.6% | |||||
ACM Research, Inc., Class A (A) | 406 | 41,501 | |||
Advanced Micro Devices, Inc. (A) | 22,503 | 2,113,707 | |||
Allegro MicroSystems, Inc. (A) | 3,608 | 99,942 | |||
Alpha & Omega Semiconductor, Ltd. (A) | 622 | 18,903 | |||
Ambarella, Inc. (A) | 706 | 75,281 | |||
Amkor Technology, Inc. | 5,075 | 120,125 | |||
Analog Devices, Inc. | 6,604 | 1,136,945 | |||
Applied Materials, Inc. | 16,939 | 2,412,114 | |||
Atomera, Inc. (A) | 385 | 8,254 | |||
Axcelis Technologies, Inc. (A) | 734 | 29,668 | |||
Broadcom, Inc. | 7,470 | 3,561,995 | |||
Brooks Automation, Inc. | 1,532 | 145,969 | |||
CEVA, Inc. (A) | 512 | 24,218 | |||
Cirrus Logic, Inc. (A) | 1,046 | 89,036 | |||
CMC Materials, Inc. | 612 | 92,253 | |||
Cohu, Inc. (A) | 925 | 34,031 | |||
Cree, Inc. (A) | 2,258 | 221,126 | |||
Diodes, Inc. (A) | 920 | 73,388 | |||
DSP Group, Inc. (A) | 596 | 8,821 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Semiconductors and semiconductor equipment (continued) | |||||
EMagin Corp. (A) | 258 | $ | 898 | ||
Enphase Energy, Inc. (A) | 2,514 | 461,646 | |||
Entegris, Inc. | 2,625 | 322,796 | |||
First Solar, Inc. (A) | 2,030 | 183,735 | |||
FormFactor, Inc. (A) | 1,518 | 55,346 | |||
Ichor Holdings, Ltd. (A) | 384 | 20,659 | |||
Impinj, Inc. (A) | 486 | 25,073 | |||
Intel Corp. | 73,458 | 4,123,932 | |||
KLA Corp. | 2,820 | 914,272 | |||
Kulicke & Soffa Industries, Inc. | 1,388 | 84,946 | |||
Lam Research Corp. | 2,616 | 1,702,231 | |||
Lattice Semiconductor Corp. (A) | 2,827 | 158,821 | |||
MACOM Technology Solutions Holdings, Inc. (A) | 1,335 | 85,547 | |||
Marvell Technology, Inc. | 15,268 | 890,582 | |||
Maxeon Solar Technologies, Ltd. (A) | 410 | 8,786 | |||
Maxim Integrated Products, Inc. | 4,463 | 470,222 | |||
MaxLinear, Inc. (A) | 1,515 | 64,372 | |||
Microchip Technology, Inc. | 4,982 | 746,005 | |||
Micron Technology, Inc. (A) | 20,547 | 1,746,084 | |||
MKS Instruments, Inc. | 1,139 | 202,685 | |||
Monolithic Power Systems, Inc. | 873 | 326,022 | |||
NeoPhotonics Corp. (A) | 1,119 | 11,425 | |||
NVE Corp. | 120 | 8,886 | |||
NVIDIA Corp. | 11,439 | 9,152,344 | |||
ON Semiconductor Corp. (A) | 8,461 | 323,887 | |||
Onto Innovation, Inc. (A) | 982 | 71,725 | |||
PDF Solutions, Inc. (A) | 745 | 13,544 | |||
Photronics, Inc. (A) | 1,478 | 19,524 | |||
Power Integrations, Inc. | 1,203 | 98,718 | |||
Qorvo, Inc. (A) | 2,048 | 400,691 | |||
QUALCOMM, Inc. | 20,653 | 2,951,933 | |||
Rambus, Inc. (A) | 2,420 | 57,378 | |||
Semtech Corp. (A) | 1,393 | 95,838 | |||
Silicon Laboratories, Inc. (A) | 876 | 134,247 | |||
SiTime Corp. (A) | 232 | 29,369 | |||
Skyworks Solutions, Inc. | 2,973 | 570,073 | |||
SMART Global Holdings, Inc. (A) | 535 | 25,509 | |||
SunPower Corp. (A) | 3,285 | 95,988 | |||
Synaptics, Inc. (A) | 681 | 105,950 | |||
Teradyne, Inc. | 3,234 | 433,227 | |||
Texas Instruments, Inc. | 16,691 | 3,209,679 | |||
Ultra Clean Holdings, Inc. (A) | 883 | 47,435 | |||
Universal Display Corp. | 975 | 216,772 | |||
Veeco Instruments, Inc. (A) | 1,119 | 26,901 | |||
Xilinx, Inc. | 4,472 | 646,830 | |||
41,649,810 | |||||
Software – 9.5% | |||||
8x8, Inc. (A) | 2,122 | 58,907 | |||
A10 Networks, Inc. (A) | 1,809 | 20,369 | |||
ACI Worldwide, Inc. (A) | 2,427 | 90,139 | |||
Adobe, Inc. (A) | 8,784 | 5,144,262 | |||
Agilysys, Inc. (A) | 564 | 32,075 | |||
Alarm.com Holdings, Inc. (A) | 1,025 | 86,818 | |||
Alkami Technology, Inc. (A) | 757 | 27,002 | |||
Altair Engineering, Inc., Class A (A) | 1,540 | 106,214 | |||
Alteryx, Inc., Class A (A) | 1,359 | 116,901 | |||
American Software, Inc., Class A | 679 | 14,911 | |||
Anaplan, Inc. (A) | 2,761 | 147,161 | |||
ANSYS, Inc. (A) | 1,673 | 580,631 | |||
Appfolio, Inc., Class A (A) | 718 | 101,382 | |||
Appian Corp. (A)(B) | 1,411 | 194,365 | |||
AppLovin Corp., Class A (A)(B) | 6,673 | 501,609 | |||
Asana, Inc., Class A (A) | 2,882 | 178,770 | |||
Aspen Technology, Inc. (A) | 1,425 | 195,995 |
The accompanying notes are an integral part of the financial statements. | 183 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Software (continued) | |||||
Autodesk, Inc. (A) | 4,162 | $ | 1,214,888 | ||
Avalara, Inc. (A) | 1,613 | 260,983 | |||
Avaya Holdings Corp. (A) | 2,155 | 57,970 | |||
Benefitfocus, Inc. (A) | 722 | 10,180 | |||
Bentley Systems, Inc., Class B (B) | 4,989 | 323,187 | |||
Bill.com Holdings, Inc. (A) | 1,427 | 261,398 | |||
Blackbaud, Inc. (A) | 1,029 | 78,791 | |||
Blackline, Inc. (A) | 1,170 | 130,186 | |||
Bottomline Technologies DE, Inc. (A) | 930 | 34,484 | |||
Box, Inc., Class A (A) | 3,163 | 80,815 | |||
C3.Ai, Inc., Class A (A) | 1,825 | 114,117 | |||
Cadence Design Systems, Inc. (A) | 5,263 | 720,084 | |||
CDK Global, Inc. | 2,502 | 124,324 | |||
Cerence, Inc. (A) | 788 | 84,087 | |||
Ceridian HCM Holding, Inc. (A) | 2,985 | 286,321 | |||
ChannelAdvisor Corp. (A) | 697 | 17,083 | |||
Citrix Systems, Inc. | 2,335 | 273,825 | |||
Cloudera, Inc. (A) | 5,998 | 95,128 | |||
Cloudflare, Inc., Class A (A) | 5,998 | 634,828 | |||
Cognyte Software, Ltd. (A) | 1,365 | 33,443 | |||
CommVault Systems, Inc. (A) | 969 | 75,747 | |||
Cornerstone OnDemand, Inc. (A) | 1,274 | 65,713 | |||
Coupa Software, Inc. (A) | 1,333 | 349,393 | |||
Crowdstrike Holdings, Inc., Class A (A) | 4,293 | 1,078,874 | |||
Datadog, Inc., Class A (A) | 6,130 | 638,010 | |||
Digimarc Corp. (A) | 294 | 9,849 | |||
DocuSign, Inc. (A) | 3,724 | 1,041,119 | |||
Dolby Laboratories, Inc., Class A | 1,941 | 190,781 | |||
Domo, Inc., Class B (A) | 622 | 50,276 | |||
DoubleVerify Holdings, Inc. (A) | 265 | 11,220 | |||
Dropbox, Inc., Class A (A) | 8,100 | 245,511 | |||
Duck Creek Technologies, Inc. (A) | 1,484 | 64,569 | |||
Dynatrace, Inc. (A) | 5,749 | 335,857 | |||
Ebix, Inc. | 651 | 22,069 | |||
eGain Corp. (A) | 755 | 8,667 | |||
Envestnet, Inc. (A) | 1,101 | 83,522 | |||
Everbridge, Inc. (A) | 708 | 96,345 | |||
Fair Isaac Corp. (A) | 552 | 277,479 | |||
FireEye, Inc. (A) | 4,573 | 92,466 | |||
Five9, Inc. (A) | 1,276 | 234,006 | |||
Fortinet, Inc. (A) | 3,121 | 743,391 | |||
Guidewire Software, Inc. (A) | 1,721 | 193,991 | |||
HubSpot, Inc. (A) | 893 | 520,369 | |||
Intelligent Systems Corp. (A) | 199 | 6,261 | |||
InterDigital, Inc. | 665 | 48,565 | |||
Intuit, Inc. | 5,101 | 2,500,357 | |||
j2 Global, Inc. (A) | 891 | 122,557 | |||
JFrog, Ltd. (A)(B) | 1,737 | 79,068 | |||
KnowBe4, Inc., Class A (A)(B) | 2,566 | 80,239 | |||
LivePerson, Inc. (A) | 1,406 | 88,915 | |||
Manhattan Associates, Inc. (A) | 1,337 | 193,651 | |||
McAfee Corp., Class A | 8,082 | 226,458 | |||
Medallia, Inc. (A) | 2,506 | 84,578 | |||
Microsoft Corp. | 137,927 | 37,364,424 | |||
MicroStrategy, Inc., Class A (A)(B) | 221 | 146,855 | |||
Mitek Systems, Inc. (A) | 911 | 17,546 | |||
Model N, Inc. (A) | 719 | 24,640 | |||
Momentive Global, Inc. (A) | 2,843 | 59,902 | |||
NCino, Inc. (A) | 995 | 59,620 | |||
New Relic, Inc. (A) | 1,234 | 82,641 | |||
NortonLifeLock, Inc. | 11,705 | 318,610 | |||
Nuance Communications, Inc. (A) | 5,647 | 307,423 | |||
Nutanix, Inc., Class A (A) | 3,956 | 151,198 | |||
Olo, Inc., Class A (A)(B) | 1,880 | 70,293 | |||
OneSpan, Inc. (A) | 910 | 23,241 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Software (continued) | |||||
Oracle Corp. | 52,513 | $ | 4,087,612 | ||
PagerDuty, Inc. (A)(B) | 1,640 | 69,831 | |||
Palantir Technologies, Inc., Class A (A) | 31,773 | 837,536 | |||
Palo Alto Networks, Inc. (A) | 1,888 | 700,542 | |||
Paycom Software, Inc. (A) | 1,189 | 432,166 | |||
Paylocity Holding Corp. (A) | 1,121 | 213,887 | |||
Pegasystems, Inc. | 1,661 | 231,195 | |||
Ping Identity Holding Corp. (A) | 1,506 | 34,487 | |||
Procore Technologies, Inc. (A)(B) | 693 | 65,800 | |||
Progress Software Corp. | 952 | 44,030 | |||
Proofpoint, Inc. (A) | 1,180 | 205,037 | |||
PROS Holdings, Inc. (A) | 881 | 40,147 | |||
PTC, Inc. (A) | 2,371 | 334,927 | |||
Q2 Holdings, Inc. (A) | 1,009 | 103,503 | |||
Qualtrics International, Inc. (A) | 7,538 | 288,329 | |||
Qualys, Inc. (A) | 812 | 81,760 | |||
Rapid7, Inc. (A) | 1,045 | 98,888 | |||
Rimini Street, Inc. (A) | 1,519 | 9,357 | |||
RingCentral, Inc., Class A (A) | 1,564 | 454,467 | |||
Riot Blockchain, Inc. (A) | 1,338 | 50,402 | |||
Sailpoint Technologies Holdings, Inc. (A) | 1,899 | 96,982 | |||
salesforce.com, Inc. (A) | 17,153 | 4,189,963 | |||
SecureWorks Corp., Class A (A) | 1,619 | 30,000 | |||
SEMrush Holdings, Inc., Class A (A) | 1,187 | 27,325 | |||
ServiceNow, Inc. (A) | 3,672 | 2,017,948 | |||
ShotSpotter, Inc. (A) | 262 | 12,778 | |||
Slack Technologies, Inc., Class A (A) | 11,350 | 502,805 | |||
Smartsheet, Inc., Class A (A) | 2,404 | 173,857 | |||
SolarWinds Corp. (A) | 6,524 | 110,190 | |||
Splunk, Inc. (A) | 3,253 | 470,319 | |||
Sprout Social, Inc., Class A (A) | 881 | 78,779 | |||
SPS Commerce, Inc. (A) | 728 | 72,691 | |||
SS&C Technologies Holdings, Inc. | 5,047 | 363,687 | |||
Synchronoss Technologies, Inc. (A) | 1,177 | 4,225 | |||
Synopsys, Inc. (A) | 2,704 | 745,736 | |||
Tenable Holdings, Inc. (A) | 2,078 | 85,925 | |||
Teradata Corp. (A) | 2,339 | 116,880 | |||
The Trade Desk, Inc., Class A (A) | 9,051 | 700,185 | |||
Tyler Technologies, Inc. (A) | 782 | 353,753 | |||
UiPath, Inc., Class A (A)(B) | 9,678 | 657,427 | |||
Unity Software, Inc. (A) | 5,157 | 566,393 | |||
Upland Software, Inc. (A) | 553 | 22,767 | |||
Varonis Systems, Inc. (A) | 1,938 | 111,668 | |||
Verint Systems, Inc. (A) | 1,365 | 61,521 | |||
Veritone, Inc. (A) | 355 | 6,997 | |||
Vertex, Inc., Class A (A) | 794 | 17,420 | |||
Viant Technology, Inc., Class A (A) | 568 | 16,915 | |||
VirnetX Holding Corp. (A)(B) | 1,593 | 6,802 | |||
VMware, Inc., Class A (A)(B) | 7,629 | 1,220,411 | |||
Vonage Holdings Corp. (A) | 5,098 | 73,462 | |||
Workday, Inc., Class A (A) | 4,681 | 1,117,542 | |||
Workiva, Inc. (A) | 982 | 109,326 | |||
Xperi Holding Corp. | 2,215 | 49,262 | |||
Yext, Inc. (A) | 2,432 | 34,753 | |||
Zendesk, Inc. (A) | 2,343 | 338,189 | |||
Zix Corp. (A) | 1,285 | 9,059 | |||
Zoom Video Communications, Inc., Class A (A) | 5,470 | 2,117,054 | |||
Zscaler, Inc. (A) | 2,675 | 577,961 | |||
Zuora, Inc., Class A (A) | 2,388 | 41,193 | |||
86,613,952 | |||||
Technology hardware, storage and peripherals – 5.0% | |||||
3D Systems Corp. (A) | 2,572 | 102,803 | |||
Apple, Inc. | 305,741 | 41,874,287 | |||
Avid Technology, Inc. (A) | 1,003 | 39,267 |
The accompanying notes are an integral part of the financial statements. | 184 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Technology hardware, storage and peripherals (continued) | |||||
Boxlight Corp., Class A (A) | 1,426 | $ | 3,437 | ||
Dell Technologies, Inc., Class C (A) | 13,953 | 1,390,696 | |||
Diebold Nixdorf, Inc. (A) | 1,715 | 22,021 | |||
Eastman Kodak Company (A) | 667 | 5,549 | |||
Hewlett Packard Enterprise Company | 23,098 | 336,769 | |||
HP, Inc. | 23,321 | 704,061 | |||
Immersion Corp. (A) | 809 | 7,095 | |||
Intevac, Inc. (A) | 745 | 5,021 | |||
NCR Corp. (A) | 2,659 | 121,277 | |||
NetApp, Inc. | 4,345 | 355,508 | |||
Pure Storage, Inc., Class A (A) | 5,381 | 105,091 | |||
Western Digital Corp. (A) | 5,790 | 412,074 | |||
Xerox Holdings Corp. | 3,628 | 85,222 | |||
45,570,178 | |||||
228,845,260 | |||||
Materials – 2.3% | |||||
Chemicals – 1.3% | |||||
AdvanSix, Inc. (A) | 524 | 15,647 | |||
Air Products & Chemicals, Inc. | 3,825 | 1,100,376 | |||
Albemarle Corp. | 2,196 | 369,938 | |||
American Vanguard Corp. | 728 | 12,747 | |||
Amyris, Inc. (A) | 4,542 | 74,353 | |||
Ashland Global Holdings, Inc. | 1,039 | 90,913 | |||
Avient Corp. | 1,723 | 84,703 | |||
Axalta Coating Systems, Ltd. (A) | 4,602 | 140,315 | |||
Balchem Corp. | 681 | 89,388 | |||
Cabot Corp. | 1,218 | 69,341 | |||
Celanese Corp. | 1,972 | 298,955 | |||
CF Industries Holdings, Inc. | 4,338 | 223,190 | |||
Chase Corp. | 194 | 19,906 | |||
Corteva, Inc. | 14,102 | 625,424 | |||
CVR Nitrogen LP (A)(C) | 1,086 | 195 | |||
Diversey Holdings Ltd. (A) | 540 | 9,671 | |||
Dow, Inc. | 14,168 | 896,551 | |||
DuPont de Nemours, Inc. | 10,003 | 774,332 | |||
Eastman Chemical Company | 2,543 | 296,895 | |||
Ecolab, Inc. | 5,046 | 1,039,325 | |||
Ferro Corp. (A) | 1,770 | 38,179 | |||
FMC Corp. | 2,313 | 250,267 | |||
FutureFuel Corp. | 1,090 | 10,464 | |||
GCP Applied Technologies, Inc. (A) | 1,572 | 36,565 | |||
Hawkins, Inc. | 532 | 17,423 | |||
HB Fuller Company | 1,076 | 68,444 | |||
Huntsman Corp. | 4,735 | 125,572 | |||
Ingevity Corp. (A) | 884 | 71,922 | |||
Innospec, Inc. | 510 | 46,211 | |||
International Flavors & Fragrances, Inc. | 4,736 | 707,558 | |||
Intrepid Potash, Inc. (A) | 345 | 10,992 | |||
Koppers Holdings, Inc. (A) | 482 | 15,593 | |||
Kraton Corp. (A) | 660 | 21,311 | |||
Kronos Worldwide, Inc. | 2,526 | 36,172 | |||
Livent Corp. (A) | 3,162 | 61,216 | |||
Marrone Bio Innovations, Inc. (A) | 3,996 | 6,633 | |||
Minerals Technologies, Inc. | 673 | 52,945 | |||
Olin Corp. | 3,408 | 157,654 | |||
PPG Industries, Inc. | 4,296 | 729,332 | |||
PQ Group Holdings, Inc. | 2,904 | 44,605 | |||
Quaker Chemical Corp. | 313 | 74,240 | |||
Rayonier Advanced Materials, Inc. (A) | 1,194 | 7,988 | |||
RPM International, Inc. | 2,245 | 199,087 | |||
Sensient Technologies Corp. | 828 | 71,672 | |||
Stepan Company | 302 | 36,322 | |||
The Chemours Company | 3,379 | 117,589 | |||
The Mosaic Company | 7,614 | 242,963 | |||
The Scotts Miracle-Gro Company | 1,098 | 210,728 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Chemicals (continued) | |||||
The Sherwin-Williams Company | 4,929 | $ | 1,342,906 | ||
Trecora Resources (A) | 757 | 6,298 | |||
Tredegar Corp. | 832 | 11,457 | |||
Trinseo SA | 852 | 50,984 | |||
Valhi, Inc. | 660 | 16,058 | |||
Valvoline, Inc. | 3,909 | 126,886 | |||
W.R. Grace & Company | 1,393 | 96,284 | |||
Westlake Chemical Corp. | 2,620 | 236,036 | |||
Westlake Chemical Partners LP | 799 | 21,509 | |||
Zymergen, Inc. (A)(B) | 1,246 | 49,852 | |||
11,660,082 | |||||
Construction materials – 0.1% | |||||
Eagle Materials, Inc. | 850 | 120,794 | |||
Forterra, Inc. (A) | 1,414 | 33,243 | |||
Martin Marietta Materials, Inc. | 1,073 | 377,492 | |||
Summit Materials, Inc., Class A (A) | 2,396 | 83,501 | |||
U.S. Concrete, Inc. (A) | 374 | 27,601 | |||
United States Lime & Minerals, Inc. | 134 | 18,638 | |||
Vulcan Materials Company | 2,263 | 393,920 | |||
1,055,189 | |||||
Containers and packaging – 0.3% | |||||
AptarGroup, Inc. | 755 | 106,334 | |||
Avery Dennison Corp. | 1,576 | 331,338 | |||
Ball Corp. | 5,789 | 469,025 | |||
Berry Global Group, Inc. (A) | 2,634 | 171,789 | |||
Crown Holdings, Inc. | 2,263 | 231,301 | |||
Graphic Packaging Holding Company | 5,879 | 106,645 | |||
Greif, Inc., Class A | 1,049 | 63,517 | |||
International Paper Company | 7,403 | 453,878 | |||
Myers Industries, Inc. | 844 | 17,724 | |||
O-I Glass, Inc. (A) | 3,338 | 54,510 | |||
Packaging Corp. of America | 1,636 | 221,547 | |||
Sealed Air Corp. | 3,058 | 181,187 | |||
Silgan Holdings, Inc. | 1,469 | 60,964 | |||
Sonoco Products Company | 1,488 | 99,547 | |||
Westrock Company | 4,971 | 264,557 | |||
2,833,863 | |||||
Metals and mining – 0.6% | |||||
Alcoa Corp. (A) | 3,951 | 145,555 | |||
Allegheny Technologies, Inc. (A) | 2,687 | 56,024 | |||
Alpha Metallurgical Resources, Inc. (A) | 390 | 9,996 | |||
Arconic Corp. (A) | 2,276 | 81,071 | |||
Carpenter Technology Corp. | 1,071 | 43,076 | |||
Century Aluminum Company (A) | 2,194 | 28,281 | |||
Cleveland-Cliffs, Inc. (A)(B) | 8,361 | 180,263 | |||
Coeur Mining, Inc. (A) | 5,000 | 44,400 | |||
Commercial Metals Company | 2,537 | 77,937 | |||
Compass Minerals International, Inc. | 766 | 45,393 | |||
Freeport-McMoRan, Inc. | 27,799 | 1,031,621 | |||
Haynes International, Inc. | 334 | 11,817 | |||
Hecla Mining Company | 10,978 | 81,676 | |||
Kaiser Aluminum Corp. | 367 | 45,321 | |||
Materion Corp. | 423 | 31,873 | |||
Newmont Corp. | 14,846 | 940,939 | |||
Nucor Corp. | 5,621 | 539,223 | |||
Olympic Steel, Inc. | 344 | 10,110 | |||
Reliance Steel & Aluminum Company | 555 | 83,750 | |||
Royal Gold, Inc. | 1,268 | 144,679 | |||
Ryerson Holding Corp. (A) | 938 | 13,695 | |||
Schnitzer Steel Industries, Inc., Class A | 654 | 32,079 | |||
Southern Copper Corp. | 15,210 | 978,307 | |||
Steel Dynamics, Inc. | 4,101 | 244,420 | |||
SunCoke Energy, Inc. | 2,119 | 15,130 | |||
TimkenSteel Corp. (A) | 1,209 | 17,107 |
The accompanying notes are an integral part of the financial statements. | 185 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Metals and mining (continued) | |||||
United States Steel Corp. | 3,560 | $ | 85,440 | ||
Warrior Met Coal, Inc. | 968 | 16,650 | |||
Worthington Industries, Inc. | 793 | 48,516 | |||
5,084,349 | |||||
Paper and forest products – 0.0% | |||||
Clearwater Paper Corp. (A) | 390 | 11,298 | |||
Glatfelter Corp. | 999 | 13,956 | |||
Louisiana-Pacific Corp. | 2,277 | 137,280 | |||
Neenah, Inc. | 345 | 17,309 | |||
Schweitzer-Mauduit International, Inc. | 627 | 25,318 | |||
Verso Corp., Class A | 768 | 13,594 | |||
218,755 | |||||
20,852,238 | |||||
Real estate – 3.1% | |||||
Equity real estate investment trusts – 2.9% | |||||
Acadia Realty Trust | 1,860 | 40,846 | |||
Agree Realty Corp. | 883 | 62,243 | |||
Alexander & Baldwin, Inc. | 1,588 | 29,092 | |||
Alexander's, Inc. | 108 | 28,939 | |||
Alexandria Real Estate Equities, Inc. | 2,408 | 438,112 | |||
American Assets Trust, Inc. | 1,271 | 47,396 | |||
American Campus Communities, Inc. | 2,883 | 134,694 | |||
American Finance Trust, Inc. | 2,393 | 20,293 | |||
American Homes 4 Rent, Class A | 6,327 | 245,804 | |||
American Tower Corp. | 8,153 | 2,202,451 | |||
Americold Realty Trust | 4,031 | 152,573 | |||
Apartment Income REIT Corp. | 3,114 | 147,697 | |||
Apartment Investment and Management Company, Class A | 3,114 | 20,895 | |||
Apple Hospitality REIT, Inc. | 4,752 | 72,516 | |||
Armada Hoffler Properties, Inc. | 1,229 | 16,333 | |||
Ashford Hospitality Trust, Inc. (A) | 2,476 | 11,291 | |||
AvalonBay Communities, Inc. | 2,381 | 496,891 | |||
Bluerock Residential Growth REIT, Inc. | 731 | 7,434 | |||
Boston Properties, Inc. | 3,063 | 350,989 | |||
Braemar Hotels & Resorts, Inc. (A) | 978 | 6,073 | |||
Brandywine Realty Trust | 3,857 | 52,879 | |||
Brixmor Property Group, Inc. | 6,250 | 143,063 | |||
BRT Apartments Corp. | 385 | 6,676 | |||
Camden Property Trust | 1,681 | 223,018 | |||
CareTrust REIT, Inc. | 2,053 | 47,691 | |||
CatchMark Timber Trust, Inc., Class A | 1,315 | 15,386 | |||
Centerspace | 226 | 17,831 | |||
Chatham Lodging Trust (A) | 1,057 | 13,604 | |||
CIM Commercial Trust Corp. | 337 | 3,016 | |||
Columbia Property Trust, Inc. | 2,547 | 44,292 | |||
Community Healthcare Trust, Inc. | 472 | 22,401 | |||
CorePoint Lodging, Inc. (A) | 1,422 | 15,215 | |||
CoreSite Realty Corp. | 786 | 105,796 | |||
Corporate Office Properties Trust | 2,391 | 66,924 | |||
Cousins Properties, Inc. | 3,094 | 113,797 | |||
Crown Castle International Corp. | 7,846 | 1,530,755 | |||
CubeSmart | 3,975 | 184,122 | |||
CyrusOne, Inc. | 2,372 | 169,645 | |||
DiamondRock Hospitality Company (A) | 4,310 | 41,807 | |||
Digital Realty Trust, Inc. | 4,963 | 746,733 | |||
DigitalBridge Group, Inc. (A) | 10,479 | 82,784 | |||
Diversified Healthcare Trust | 5,157 | 21,556 | |||
Douglas Emmett, Inc. | 3,681 | 123,755 | |||
Duke Realty Corp. | 6,680 | 316,298 | |||
Easterly Government Properties, Inc. | 1,561 | 32,906 | |||
EastGroup Properties, Inc. | 743 | 122,186 | |||
Empire State Realty Trust, Inc., Class A | 3,892 | 46,704 | |||
EPR Properties (A) | 1,636 | 86,184 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Equity real estate investment trusts (continued) | |||||
Equinix, Inc. | 1,615 | $ | 1,296,199 | ||
Equity LifeStyle Properties, Inc. | 2,967 | 220,478 | |||
Equity Residential | 6,930 | 533,610 | |||
Essential Properties Realty Trust, Inc. | 1,463 | 39,560 | |||
Essex Property Trust, Inc. | 1,085 | 325,511 | |||
Extra Space Storage, Inc. | 2,406 | 394,151 | |||
Farmland Partners, Inc. | 930 | 11,207 | |||
Federal Realty Investment Trust | 1,572 | 184,191 | |||
First Industrial Realty Trust, Inc. | 2,535 | 132,403 | |||
Four Corners Property Trust, Inc. | 1,453 | 40,117 | |||
Franklin Street Properties Corp. | 2,261 | 11,893 | |||
Gaming and Leisure Properties, Inc. | 4,534 | 210,060 | |||
Getty Realty Corp. | 966 | 30,091 | |||
Gladstone Commercial Corp. | 793 | 17,890 | |||
Gladstone Land Corp. | 706 | 16,986 | |||
Global Medical REIT, Inc. | 854 | 12,605 | |||
Global Net Lease, Inc. | 1,979 | 36,612 | |||
Healthcare Realty Trust, Inc. | 2,832 | 85,526 | |||
Healthcare Trust of America, Inc., Class A | 4,366 | 116,572 | |||
Healthpeak Properties, Inc. | 10,353 | 344,651 | |||
Hersha Hospitality Trust (A) | 1,005 | 10,814 | |||
Highwoods Properties, Inc. | 2,184 | 98,651 | |||
Host Hotels & Resorts, Inc. (A) | 14,870 | 254,128 | |||
Hudson Pacific Properties, Inc. | 3,264 | 90,804 | |||
Independence Realty Trust, Inc. | 2,095 | 38,192 | |||
Indus Realty Trust, Inc. | 186 | 12,211 | |||
Industrial Logistics Properties Trust | 1,490 | 38,949 | |||
Innovative Industrial Properties, Inc. | 316 | 60,362 | |||
Invitation Homes, Inc. | 10,409 | 388,152 | |||
Iron Mountain, Inc. | 6,007 | 254,216 | |||
iStar, Inc. | 1,236 | 25,622 | |||
JBG SMITH Properties | 2,856 | 89,993 | |||
Kilroy Realty Corp. | 2,218 | 154,462 | |||
Kimco Realty Corp. | 8,845 | 184,418 | |||
Kite Realty Group Trust | 1,853 | 40,785 | |||
Lamar Advertising Company, Class A | 2,080 | 217,194 | |||
Lexington Realty Trust | 5,323 | 63,610 | |||
Life Storage, Inc. | 1,345 | 144,386 | |||
LTC Properties, Inc. | 837 | 32,132 | |||
Mack-Cali Realty Corp. | 1,996 | 34,231 | |||
Medical Properties Trust, Inc. | 10,170 | 204,417 | |||
MGM Growth Properties LLC, Class A | 2,079 | 76,133 | |||
Mid-America Apartment Communities, Inc. | 1,956 | 329,430 | |||
Monmouth Real Estate Investment Corp. | 2,045 | 38,282 | |||
National Health Investors, Inc. | 880 | 59,004 | |||
National Retail Properties, Inc. | 3,402 | 159,486 | |||
National Storage Affiliates Trust | 1,224 | 61,885 | |||
New Senior Investment Group, Inc. | 2,020 | 17,736 | |||
New York REIT Liquidating LLC (A)(C) | 457 | 7,439 | |||
NexPoint Residential Trust, Inc. | 583 | 32,053 | |||
Office Properties Income Trust | 1,104 | 32,358 | |||
Omega Healthcare Investors, Inc. | 4,564 | 165,628 | |||
One Liberty Properties, Inc. | 547 | 15,529 | |||
Outfront Media, Inc. (A) | 3,037 | 72,979 | |||
Paramount Group, Inc. | 4,911 | 49,454 | |||
Park Hotels & Resorts, Inc. (A) | 5,041 | 103,895 | |||
Pebblebrook Hotel Trust | 2,802 | 65,987 | |||
Pennsylvania Real Estate Investment Trust (A) | 968 | 2,410 | |||
Physicians Realty Trust | 3,981 | 73,529 | |||
Piedmont Office Realty Trust, Inc., Class A | 2,477 | 45,750 | |||
Plymouth Industrial REIT, Inc. | 429 | 8,589 | |||
PotlatchDeltic Corp. | 1,473 | 78,290 |
The accompanying notes are an integral part of the financial statements. | 186 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Equity real estate investment trusts (continued) | |||||
Preferred Apartment Communities, Inc., Class A | 904 | $ | 8,814 | ||
Prologis, Inc. | 13,428 | 1,605,049 | |||
PS Business Parks, Inc. | 476 | 70,486 | |||
Public Storage | 2,714 | 816,073 | |||
QTS Realty Trust, Inc., Class A | 1,243 | 96,084 | |||
Rayonier, Inc. | 2,839 | 102,005 | |||
Realty Income Corp. | 6,750 | 450,495 | |||
Regency Centers Corp. | 3,503 | 224,437 | |||
Retail Opportunity Investments Corp. | 2,507 | 44,274 | |||
Retail Properties of America, Inc., Class A | 4,627 | 52,979 | |||
Retail Value, Inc. | 522 | 11,354 | |||
Rexford Industrial Realty, Inc. | 2,347 | 133,662 | |||
RLJ Lodging Trust | 3,635 | 55,361 | |||
RPT Realty | 1,545 | 20,054 | |||
Ryman Hospitality Properties, Inc. (A) | 1,080 | 85,277 | |||
Sabra Health Care REIT, Inc. | 4,102 | 74,656 | |||
Safehold, Inc. | 890 | 69,865 | |||
Saul Centers, Inc. | 494 | 22,452 | |||
SBA Communications Corp. | 1,955 | 623,059 | |||
Seritage Growth Properties, Class A (A) | 866 | 15,934 | |||
Service Properties Trust | 3,498 | 44,075 | |||
Simon Property Group, Inc. | 6,099 | 795,798 | |||
SITE Centers Corp. | 4,050 | 60,993 | |||
SL Green Realty Corp. | 1,677 | 134,160 | |||
Spirit Realty Capital, Inc. | 2,024 | 96,828 | |||
STAG Industrial, Inc. | 2,912 | 108,996 | |||
STORE Capital Corp. | 4,908 | 169,375 | |||
Summit Hotel Properties, Inc. (A) | 2,173 | 20,274 | |||
Sun Communities, Inc. | 1,906 | 326,688 | |||
Sunstone Hotel Investors, Inc. (A) | 4,797 | 59,579 | |||
Tanger Factory Outlet Centers, Inc. | 2,021 | 38,096 | |||
Terreno Realty Corp. | 1,416 | 91,360 | |||
The GEO Group, Inc. | 2,079 | 14,802 | |||
The Macerich Company | 3,169 | 57,834 | |||
UDR, Inc. | 5,943 | 291,088 | |||
UMH Properties, Inc. | 958 | 20,904 | |||
Uniti Group, Inc. | 4,136 | 43,800 | |||
Universal Health Realty Income Trust | 293 | 18,034 | |||
Urban Edge Properties | 2,581 | 49,297 | |||
Urstadt Biddle Properties, Inc., Class A | 889 | 17,229 | |||
Ventas, Inc. | 7,097 | 405,239 | |||
VEREIT, Inc. | 4,377 | 201,036 | |||
VICI Properties, Inc. | 9,506 | 294,876 | |||
Vornado Realty Trust | 3,861 | 180,193 | |||
Washington Real Estate Investment Trust | 1,739 | 39,997 | |||
Weingarten Realty Investors | 2,712 | 86,974 | |||
Welltower, Inc. | 7,667 | 637,128 | |||
Weyerhaeuser Company | 14,797 | 509,313 | |||
Whitestone REIT | 991 | 8,176 | |||
WP Carey, Inc. | 3,402 | 253,857 | |||
Xenia Hotels & Resorts, Inc. (A) | 2,429 | 45,495 | |||
26,627,338 | |||||
Real estate management and development – 0.2% | |||||
CBRE Group, Inc., Class A (A) | 6,381 | 547,043 | |||
Compass, Inc., Class A (A)(B) | 5,320 | 69,905 | |||
eXp World Holdings, Inc. (A) | 2,944 | 114,139 | |||
Five Point Holdings LLC, Class A (A) | 2,953 | 23,860 | |||
Forestar Group, Inc. (A) | 1,120 | 23,419 | |||
FRP Holdings, Inc. (A) | 258 | 14,365 | |||
Jones Lang LaSalle, Inc. (A) | 1,017 | 198,783 | |||
Kennedy-Wilson Holdings, Inc. | 3,061 | 60,822 | |||
Landmark Infrastructure Partners LP | 598 | 7,625 | |||
Marcus & Millichap, Inc. (A) | 815 | 31,679 | |||
Maui Land & Pineapple Company, Inc. (A) | 514 | 5,515 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Real estate management and development (continued) | |||||
Newmark Group, Inc., Class A | 3,854 | $ | 46,287 | ||
Rafael Holdings, Inc., Class B (A) | 347 | 17,714 | |||
RE/MAX Holdings, Inc., Class A | 431 | 14,365 | |||
Redfin Corp. (A) | 1,978 | 125,425 | |||
Tejon Ranch Company (A) | 613 | 9,324 | |||
The Howard Hughes Corp. (A) | 903 | 88,006 | |||
The RMR Group, Inc., Class A | 686 | 26,507 | |||
The St. Joe Company | 1,315 | 58,662 | |||
1,483,445 | |||||
28,110,783 | |||||
Utilities – 2.1% | |||||
Electric utilities – 1.3% | |||||
ALLETE, Inc. | 1,037 | 72,569 | |||
Alliant Energy Corp. | 5,065 | 282,424 | |||
American Electric Power Company, Inc. | 8,441 | 714,024 | |||
Avangrid, Inc. | 5,002 | 257,253 | |||
Duke Energy Corp. | 13,401 | 1,322,947 | |||
Edison International | 7,481 | 432,551 | |||
Entergy Corp. | 3,637 | 362,609 | |||
Evergy, Inc. | 4,731 | 285,894 | |||
Eversource Energy | 6,068 | 486,896 | |||
Exelon Corp. | 17,312 | 767,095 | |||
FirstEnergy Corp. | 10,435 | 388,286 | |||
Genie Energy, Ltd., B Shares | 706 | 4,462 | |||
Hawaiian Electric Industries, Inc. | 2,097 | 88,661 | |||
IDACORP, Inc. | 972 | 94,770 | |||
MGE Energy, Inc. | 751 | 55,904 | |||
NextEra Energy, Inc. | 36,912 | 2,704,911 | |||
NRG Energy, Inc. | 4,878 | 196,583 | |||
OGE Energy Corp. | 4,136 | 139,176 | |||
Otter Tail Corp. | 842 | 41,098 | |||
PG&E Corp. (A) | 33,695 | 342,678 | |||
Pinnacle West Capital Corp. | 1,796 | 147,218 | |||
PNM Resources, Inc. | 1,686 | 82,226 | |||
Portland General Electric Company | 1,846 | 85,064 | |||
PPL Corp. | 13,860 | 387,664 | |||
Spark Energy, Inc., Class A | 849 | 9,619 | |||
The Southern Company | 19,482 | 1,178,856 | |||
Xcel Energy, Inc. | 9,706 | 639,431 | |||
11,570,869 | |||||
Gas utilities – 0.1% | |||||
Atmos Energy Corp. | 2,179 | 209,424 | |||
Chesapeake Utilities Corp. | 361 | 43,439 | |||
National Fuel Gas Company | 1,834 | 95,827 | |||
New Jersey Resources Corp. | 1,989 | 78,705 | |||
Northwest Natural Holding Company | 666 | 34,978 | |||
ONE Gas, Inc. | 1,023 | 75,825 | |||
RGC Resources, Inc. | 260 | 6,555 | |||
South Jersey Industries, Inc. | 1,973 | 51,160 | |||
Southwest Gas Holdings, Inc. | 848 | 56,129 | |||
Spire, Inc. | 975 | 70,463 | |||
Star Group LP | 997 | 11,166 | |||
Suburban Propane Partners LP | 1,423 | 21,829 | |||
UGI Corp. | 4,392 | 203,394 | |||
958,894 | |||||
Independent power and renewable electricity producers – 0.1% | |||||
Brookfield Renewable Corp., Class A | 435 | 18,244 | |||
NextEra Energy Partners LP | 1,301 | 99,344 | |||
Ormat Technologies, Inc. | 1,076 | 74,814 | |||
Sunnova Energy International, Inc. (A) | 1,517 | 57,130 | |||
The AES Corp. | 13,767 | 358,906 |
The accompanying notes are an integral part of the financial statements. | 187 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Independent power and renewable electricity producers (continued) | |||||
Vistra Corp. | 10,218 | $ | 189,544 | ||
797,982 | |||||
Multi-utilities – 0.5% | |||||
Ameren Corp. | 4,077 | 326,323 | |||
Avista Corp. | 1,415 | 60,378 | |||
Black Hills Corp. | 1,306 | 85,713 | |||
CenterPoint Energy, Inc. | 10,525 | 258,073 | |||
CMS Energy Corp. | 5,182 | 306,153 | |||
Consolidated Edison, Inc. | 5,299 | 380,044 | |||
Dominion Energy, Inc. | 15,133 | 1,113,335 | |||
DTE Energy Company | 3,402 | 440,899 | |||
MDU Resources Group, Inc. | 3,916 | 122,727 | |||
NiSource, Inc. | 7,730 | 189,385 | |||
NorthWestern Corp. | 981 | 59,076 | |||
Public Service Enterprise Group, Inc. | 9,192 | 549,130 | |||
Sempra Energy | 5,251 | 695,652 | |||
Unitil Corp. | 366 | 19,387 | |||
WEC Energy Group, Inc. | 5,493 | 488,602 | |||
5,094,877 | |||||
Water utilities – 0.1% | |||||
American States Water Company | 757 | 60,227 | |||
American Water Works Company, Inc. | 3,415 | 526,354 | |||
Artesian Resources Corp., Class A | 287 | 10,553 | |||
Cadiz, Inc. (A) | 752 | 10,227 | |||
California Water Service Group | 1,049 | 58,261 | |||
Essential Utilities, Inc. | 3,802 | 173,751 | |||
Global Water Resources, Inc. | 678 | 11,580 | |||
Middlesex Water Company | 325 | 26,562 | |||
Pure Cycle Corp. (A) | 700 | 9,674 | |||
SJW Group | 625 | 39,563 | |||
The York Water Company | 347 | 15,719 | |||
942,471 | |||||
19,365,093 | |||||
TOTAL COMMON STOCKS (Cost $333,173,911) | $ | 878,078,414 | |||
PREFERRED SECURITIES – 0.0% | |||||
Consumer discretionary – 0.0% | |||||
Internet and direct marketing retail – 0.0% | |||||
Qurate Retail, Inc., 8.000% | 260 | 28,145 | |||
Energy – 0.0% | |||||
Oil, gas and consumable fuels – 0.0% | |||||
Meta Materials, Inc. (A) | 2,456 | 2,652 | |||
Industrials – 0.0% | |||||
Industrial conglomerates – 0.0% | |||||
Steel Partners Holdings LP, 6.000% | 510 | 11,929 | |||
TOTAL PREFERRED SECURITIES (Cost $84,689) | $ | 42,726 | |||
CORPORATE BONDS - 0.0% | |||||
Financials - 0.0% | |||||
GAMCO Investors, Inc. 4.000%, 06/15/2023 | $ | 886 | 886 | ||
TOTAL CORPORATE BONDS (Cost $886) | $ | 886 | |||
RIGHTS – 0.0% | |||||
Pan American Silver Corp. (Expiration Date: 2-22-29) (A)(D) | 7,232 | 6,147 | |||
TOTAL RIGHTS (Cost $6,508) | $ | 6,147 | |||
WARRANTS – 0.0% | |||||
Amplify Energy Corp. (Expiration Date: 5-4-22; Strike Price: $42.60) (A) | 57 | 2 |
Shares or Principal Amount | Value | ||||
WARRANTS (continued) | |||||
Basic Energy Services, Inc. (Expiration Date: 12-23-23; Strike Price: $55.25) (A) | 55 | $ | 3 | ||
Battalion Oil Corp. (Expiration Date: 10-8-22; Strike Price: $40.17) (A)(C) | 46 | 6 | |||
Battalion Oil Corp. (Expiration Date: 8-10-22; Strike Price: $48.28) (A)(C) | 57 | 4 | |||
Battalion Oil Corp. (Expiration Date: 8-10-22; Strike Price: $60.45) (A)(C) | 74 | 2 | |||
Denbury, Inc. (Expiration Date: 9-18-23; Strike Price: $35.41) (A) | 23 | 961 | |||
Eagle Bulk Shipping, Inc. (Expiration Date: 10-15-21; Strike Price: $556.40) (A) | 101 | 10 | |||
FTS International, Inc. (Expiration Date: 11-19-23; Strike Price: $33.04) (A) | 24 | 195 | |||
FTS International, Inc. (Expiration Date: 11-19-23; Strike Price: $37.14) (A) | 62 | 439 | |||
Genco Shipping & Trading, Ltd. (Expiration Date: 7-9-21; Strike Price: $195.15) (A) | 92 | 5 | |||
Hycroft Mining Holding Corp. (Expiration Date: 10-22-22) (A)(D) | 196 | 94 | |||
Nabors Industries, Ltd. (Expiration Date: 6-11-26; Strike Price: $166.67) (A) | 77 | 770 | |||
Oasis Petroleum, Inc. (Expiration Date: 11-19-24; Strike Price: $94.57) (A) | 31 | 682 | |||
Tidewater, Inc., Class A (Expiration Date: 7-31-23; Strike Price: $57.06) (A) | 66 | 80 | |||
Tidewater, Inc., Class B (Expiration Date: 7-31-23; Strike Price: $62.28) (A) | 71 | 70 | |||
TOTAL WARRANTS (Cost $139,061) | $ | 3,323 | |||
SHORT-TERM INVESTMENTS – 4.3% | |||||
U.S. Government – 0.5% | |||||
U.S. Treasury Bill 0.023%, 09/09/2021 * | $ | 5,000,000 | 4,999,538 | ||
U.S. Government Agency – 1.7% | |||||
Federal Home Loan Bank Discount Note | |||||
0.011%, 08/06/2021 * | 3,000,000 | 2,999,880 | |||
0.035%, 08/25/2021 * | 12,000,000 | 11,999,267 | |||
14,999,147 | |||||
Short-term funds – 1.0% | |||||
John Hancock Collateral Trust, 0.0324% (E)(F) | 922,812 | 9,232,360 | |||
Repurchase agreement – 1.1% | |||||
Repurchase Agreement with State Street Corp. dated 6-30-21 at 0.000% to be repurchased at $9,597,000 on 7-1-21, collateralized by $10,114,800 U.S. Treasury Notes, 0.500% due 5-31-27 (valued at $9,789,031) | $ | 9,597,000 | 9,597,000 | ||
TOTAL SHORT-TERM INVESTMENTS (Cost $38,828,673) | $ | 38,828,045 | |||
Total Investments (Total Stock Market Index Trust) (Cost $372,233,728) – 100.9% | $ | 916,959,541 | |||
Other assets and liabilities, net – (0.9%) | (8,502,794) | ||||
TOTAL NET ASSETS – 100.0% | $ | 908,456,747 |
The accompanying notes are an integral part of the financial statements. | 188 |
Security Abbreviations and Legend | |
(A) | Non-income producing security. |
(B) | All or a portion of this security is on loan as of 6-30-21. |
(C) | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. Refer to Note 2 to the financial statements. |
(D) | Strike price and/or expiration date not available. |
(E) | The rate shown is the annualized seven-day yield as of 6-30-21. |
(F) | Investment is an affiliate of the fund, the advisor and/or subadvisor. This security represents the investment of cash collateral received for securities lending. |
* | 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) |
Russell 2000 E-Mini Index Futures | 46 | Long | Sep 2021 | $5,286,243 | $5,307,940 | $21,697 |
S&P 500 Index E-Mini Futures | 124 | Long | Sep 2021 | 26,254,712 | 26,589,320 | 334,608 |
$356,305 |
The accompanying notes are an integral part of the financial statements. | 189 |
Shares or Principal Amount | Value | ||||
U.S. GOVERNMENT AND AGENCY OBLIGATIONS – 32.0% | |||||
U.S. Government – 14.1% | |||||
U.S. Treasury Bonds | |||||
1.250%, 05/15/2050 | $ | 2,000,000 | $ | 1,633,047 | |
1.625%, 11/15/2050 | 6,500,000 | 5,837,813 | |||
1.875%, 02/15/2041 to 02/15/2051 | 12,499,300 | 12,076,207 | |||
2.250%, 05/15/2041 | 7,634,000 | 7,942,938 | |||
2.500%, 02/15/2045 | 12,428,000 | 13,446,513 | |||
2.875%, 05/15/2049 | 3,000,000 | 3,512,930 | |||
3.000%, 02/15/2047 | 3,420,000 | 4,062,853 | |||
3.125%, 11/15/2041 | 3,886,000 | 4,632,233 | |||
U.S. Treasury Notes | |||||
0.250%, 03/15/2024 | 1,738,000 | 1,731,075 | |||
0.875%, 06/30/2026 | 2,456,000 | 2,454,849 | |||
1.125%, 02/15/2031 | 3,000,000 | 2,912,344 | |||
1.250%, 03/31/2028 to 06/30/2028 | 16,104,000 | 16,156,252 | |||
1.625%, 05/15/2031 | 12,916,000 | 13,113,776 | |||
2.375%, 05/15/2027 | 6,000,000 | 6,459,141 | |||
2.875%, 08/15/2028 | 7,000,000 | 7,785,039 | |||
103,757,010 | |||||
U.S. Government Agency – 17.9% | |||||
Federal Home Loan Mortgage Corp. | |||||
2.500%, 08/01/2050 | 289,707 | 302,241 | |||
3.000%, 03/01/2043 to 12/01/2049 | 6,639,008 | 7,035,519 | |||
3.500%, 10/01/2046 to 11/01/2048 | 8,724,527 | 9,351,960 | |||
4.000%, 01/01/2041 to 08/01/2048 | 926,660 | 1,006,497 | |||
4.500%, 09/01/2023 to 10/01/2041 | 1,546,097 | 1,715,908 | |||
Federal National Mortgage Association | |||||
2.000%, TBA (A) | 4,298,000 | 4,342,722 | |||
2.000%, 09/01/2050 to 10/01/2050 | 4,471,227 | 4,532,947 | |||
2.119%, (12 month LIBOR + 1.608%), 08/01/2034 (B) | 216,494 | 224,315 | |||
2.372%, (6 month LIBOR + 2.122%), 07/01/2033 (B) | 16,945 | 17,600 | |||
2.500%, TBA (A) | 1,753,000 | 1,813,122 | |||
2.500%, 09/01/2050 | 1,031,597 | 1,076,226 | |||
3.000%, TBA (A) | 26,250,000 | 27,365,630 | |||
3.000%, 01/01/2043 to 11/01/2049 | 7,644,417 | 8,118,636 | |||
3.500%, TBA (A) | 25,000,000 | 26,312,488 | |||
3.500%, 06/01/2042 to 09/01/2049 | 8,031,658 | 8,632,267 | |||
4.000%, TBA (A) | 16,000,000 | 17,036,248 | |||
4.000%, 10/01/2025 to 11/01/2045 | 4,251,142 | 4,625,202 | |||
4.500%, 05/01/2041 | 1,212,426 | 1,346,530 | |||
5.000%, 01/01/2022 to 02/01/2036 | 1,297,848 | 1,470,215 | |||
5.500%, 09/01/2034 to 01/01/2037 | 1,669,480 | 1,928,120 | |||
6.000%, 05/01/2035 to 02/01/2036 | 1,296,294 | 1,519,812 | |||
7.000%, 09/01/2031 to 06/01/2032 | 108,024 | 127,174 | |||
7.500%, 09/01/2029 to 08/01/2031 | 23,132 | 26,793 | |||
Government National Mortgage Association | |||||
4.000%, 02/15/2041 | 1,087,501 | 1,195,148 | |||
5.000%, 04/15/2035 | 195,736 | 220,471 | |||
5.500%, 03/15/2035 | 99,724 | 114,113 | |||
6.000%, 03/15/2033 to 06/15/2033 | 128,193 | 147,829 | |||
6.500%, 09/15/2028 to 08/15/2031 | 25,375 | 28,755 | |||
7.000%, 04/15/2029 | 27,272 | 31,113 | |||
8.000%, 10/15/2026 | 13,321 | 14,853 | |||
131,680,454 | |||||
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (Cost $230,962,120) | $ | 235,437,464 |
Shares or Principal Amount | Value | ||||
FOREIGN GOVERNMENT OBLIGATIONS – 0.7% | |||||
Argentina – 0.1% | |||||
Republic of Argentina (0.125% to 7-9-21, then 2.500% to 7-9-22, then 3.500% to 7-9-29, then 4.875% thereafter), 07/09/2041 | $ | 1,219,000 | $ | 434,574 | |
Republic of Argentina, GDP-Linked Note 6.702%, 12/15/2035 (C)* | ARS | 19,532,033 | 3,429 | ||
438,003 | |||||
Germany – 0.2% | |||||
Federal Republic of Germany 6.250%, 01/04/2030 | EUR | 725,000 | 1,357,456 | ||
Mexico – 0.1% | |||||
Government of Mexico 8.000%, 12/07/2023 | MXN | 11,861,100 | 623,353 | ||
Panama – 0.1% | |||||
Republic of Panama | |||||
8.875%, 09/30/2027 | $ | 344,000 | 473,657 | ||
9.375%, 04/01/2029 | 130,000 | 192,205 | |||
665,862 | |||||
Qatar – 0.1% | |||||
State of Qatar | |||||
3.375%, 03/14/2024 (D) | 428,000 | 459,030 | |||
5.103%, 04/23/2048 (D) | 255,000 | 338,385 | |||
797,415 | |||||
Saudi Arabia – 0.1% | |||||
Kingdom of Saudi Arabia 4.375%, 04/16/2029 (D) | 689,000 | 797,518 | |||
United Kingdom – 0.0% | |||||
Government of United Kingdom 6.000%, 12/07/2028 | GBP | 85,000 | 163,808 | ||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost $4,636,793) | $ | 4,843,415 | |||
CORPORATE BONDS – 48.4% | |||||
Communication services – 5.5% | |||||
AMC Entertainment Holdings, Inc. (10.000% Cash or 12.000% PIK) 12.000%, 06/15/2026 (D) | $ | 360,000 | 368,550 | ||
ANGI Group LLC 3.875%, 08/15/2028 (D) | 221,000 | 219,619 | |||
AT&T, Inc. | |||||
2.300%, 06/01/2027 | 322,000 | 333,046 | |||
3.100%, 02/01/2043 | 709,000 | 694,714 | |||
3.500%, 06/01/2041 | 427,000 | 443,553 | |||
3.650%, 06/01/2051 | 147,000 | 152,608 | |||
4.350%, 06/15/2045 | 285,000 | 326,985 | |||
7.625%, 04/15/2031 | 451,000 | 634,149 | |||
C&W Senior Financing DAC 6.875%, 09/15/2027 (D) | 315,000 | 336,152 | |||
Cable One, Inc. 4.000%, 11/15/2030 (D) | 126,000 | 126,473 | |||
CCO Holdings LLC 4.500%, 06/01/2033 (D) | 210,000 | 214,885 | |||
Charter Communications Operating LLC | |||||
2.800%, 04/01/2031 | 400,000 | 408,925 | |||
3.900%, 06/01/2052 | 230,000 | 234,187 | |||
4.200%, 03/15/2028 | 671,000 | 759,356 | |||
4.800%, 03/01/2050 | 715,000 | 821,212 | |||
5.750%, 04/01/2048 | 761,000 | 968,556 | |||
6.484%, 10/23/2045 | 630,000 | 867,624 | |||
Cincinnati Bell, Inc. 7.000%, 07/15/2024 (D) | 351,000 | 360,214 | |||
Clear Channel Outdoor Holdings, Inc. 7.750%, 04/15/2028 (D) | 95,000 | 99,514 |
The accompanying notes are an integral part of the financial statements. | 1 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Communication services (continued) | |||||
Comcast Corp. | |||||
3.969%, 11/01/2047 | $ | 633,000 | $ | 736,961 | |
3.999%, 11/01/2049 | 761,000 | 896,154 | |||
4.150%, 10/15/2028 | 941,000 | 1,089,261 | |||
Connect Finco SARL 6.750%, 10/01/2026 (D) | 400,000 | 423,000 | |||
Cox Communications, Inc. 1.800%, 10/01/2030 (D) | 252,000 | 240,175 | |||
CSC Holdings LLC 5.875%, 09/15/2022 | 215,000 | 225,578 | |||
Deutsche Telekom International Finance BV 8.750%, 06/15/2030 | 758,000 | 1,135,816 | |||
Fox Corp. 3.500%, 04/08/2030 (E) | 400,000 | 440,738 | |||
GCI LLC 4.750%, 10/15/2028 (D) | 237,000 | 242,570 | |||
Globo Comunicacao e Participacoes SA 4.875%, 01/22/2030 (D) | 400,000 | 413,004 | |||
Level 3 Financing, Inc. 3.400%, 03/01/2027 (D) | 432,000 | 457,985 | |||
Lions Gate Capital Holdings LLC 5.500%, 04/15/2029 (D) | 385,000 | 404,731 | |||
Live Nation Entertainment, Inc. 4.750%, 10/15/2027 (D) | 355,000 | 367,869 | |||
Lumen Technologies, Inc. 7.600%, 09/15/2039 | 1,000,000 | 1,137,500 | |||
Match Group Holdings II LLC 4.125%, 08/01/2030 (D) | 234,000 | 238,095 | |||
MDC Partners, Inc. 7.500%, 05/01/2024 (D) | 427,000 | 432,338 | |||
MTN Mauritius Investments, Ltd. 4.755%, 11/11/2024 (D) | 140,000 | 149,399 | |||
Netflix, Inc. | |||||
4.375%, 11/15/2026 | 700,000 | 796,054 | |||
4.875%, 04/15/2028 | 621,000 | 721,913 | |||
4.875%, 06/15/2030 (D) | 277,000 | 329,436 | |||
5.375%, 11/15/2029 (D) | 120,000 | 145,752 | |||
5.875%, 11/15/2028 | 487,000 | 597,758 | |||
News Corp. 3.875%, 05/15/2029 (D) | 209,000 | 211,090 | |||
Oztel Holdings SPC, Ltd. 6.625%, 04/24/2028 (D) | 250,000 | 277,088 | |||
Playtika Holding Corp. 4.250%, 03/15/2029 (D) | 57,000 | 56,961 | |||
Radiate Holdco LLC 6.500%, 09/15/2028 (D) | 225,000 | 236,396 | |||
Sirius XM Radio, Inc. | |||||
4.000%, 07/15/2028 (D) | 357,000 | 367,710 | |||
5.000%, 08/01/2027 (D) | 383,000 | 401,288 | |||
SoftBank Group Corp. (6.875% to 7-19-27, then 5 Year ICE Swap Rate + 4.854%) 07/19/2027 (F) | 404,000 | 426,018 | |||
Sprint Capital Corp. 6.875%, 11/15/2028 | 400,000 | 513,000 | |||
Sprint Corp. 7.875%, 09/15/2023 | 305,000 | 346,503 | |||
Switch, Ltd. 3.750%, 09/15/2028 (D) | 81,000 | 82,013 | |||
Telecom Argentina SA 8.000%, 07/18/2026 (D) | 249,000 | 234,421 | |||
Telecom Italia Capital SA 7.200%, 07/18/2036 | 397,000 | 512,130 | |||
Telecom Italia SpA 5.303%, 05/30/2024 (D) | 270,000 | 295,569 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Communication services (continued) | |||||
Telefonica Celular del Paraguay SA 5.875%, 04/15/2027 (D) | $ | 265,000 | $ | 278,250 | |
Telefonica Emisiones SA 5.213%, 03/08/2047 | 754,000 | 941,199 | |||
Telesat Canada 5.625%, 12/06/2026 (D) | 157,000 | 157,589 | |||
Time Warner Cable LLC 5.500%, 09/01/2041 | 450,000 | 557,766 | |||
Time Warner Entertainment Company LP 8.375%, 07/15/2033 | 300,000 | 454,569 | |||
T-Mobile USA, Inc. | |||||
2.050%, 02/15/2028 | 544,000 | 552,252 | |||
2.550%, 02/15/2031 | 208,000 | 210,330 | |||
2.875%, 02/15/2031 | 59,000 | 58,558 | |||
3.375%, 04/15/2029 | 487,000 | 502,581 | |||
3.750%, 04/15/2027 | 300,000 | 331,500 | |||
3.875%, 04/15/2030 | 1,050,000 | 1,173,711 | |||
4.500%, 04/15/2050 | 696,000 | 828,750 | |||
Total Play Telecomunicaciones SA de CV 7.500%, 11/12/2025 (D) | 480,000 | 507,840 | |||
Townsquare Media, Inc. 6.875%, 02/01/2026 (D) | 102,000 | 109,140 | |||
Twitter, Inc. 3.875%, 12/15/2027 (D) | 239,000 | 253,938 | |||
Univision Communications, Inc. 4.500%, 05/01/2029 (D) | 111,000 | 111,833 | |||
Verizon Communications, Inc. | |||||
2.650%, 11/20/2040 | 752,000 | 723,663 | |||
3.000%, 03/22/2027 | 104,000 | 111,918 | |||
3.400%, 03/22/2041 | 159,000 | 168,197 | |||
4.272%, 01/15/2036 | 1,311,000 | 1,559,861 | |||
4.329%, 09/21/2028 | 792,000 | 921,524 | |||
4.400%, 11/01/2034 | 347,000 | 413,349 | |||
4.500%, 08/10/2033 | 403,000 | 481,572 | |||
4.522%, 09/15/2048 | 978,000 | 1,209,847 | |||
4.672%, 03/15/2055 | 397,000 | 510,711 | |||
4.862%, 08/21/2046 | 665,000 | 860,370 | |||
5.012%, 08/21/2054 | 335,000 | 457,983 | |||
ViacomCBS, Inc. 4.375%, 03/15/2043 | 642,000 | 742,831 | |||
Videotron, Ltd. 3.625%, 06/15/2029 (D) | 171,000 | 174,370 | |||
Vodafone Group PLC (7.000% to 1-4-29, then 5 Year U.S. Swap Rate + 4.873%) 04/04/2079 | 558,000 | 676,145 | |||
WMG Acquisition Corp. 3.000%, 02/15/2031 (D) | 422,000 | 399,828 | |||
40,394,571 | |||||
Consumer discretionary – 4.9% | |||||
Affinity Gaming 6.875%, 12/15/2027 (D) | 159,000 | 168,739 | |||
Amazon.com, Inc. | |||||
3.150%, 08/22/2027 | 715,000 | 789,994 | |||
4.050%, 08/22/2047 | 440,000 | 536,731 | |||
Asbury Automotive Group, Inc. 4.750%, 03/01/2030 | 172,000 | 179,740 | |||
AutoNation, Inc. 4.750%, 06/01/2030 | 186,000 | 219,983 | |||
AutoZone, Inc. 3.125%, 04/21/2026 | 535,000 | 581,895 | |||
Bally's Corp. 6.750%, 06/01/2027 (D) | 393,000 | 418,793 | |||
BMW US Capital LLC 2.950%, 04/14/2022 (D) | 500,000 | 510,749 |
The accompanying notes are an integral part of the financial statements. | 2 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Consumer discretionary (continued) | |||||
Booking Holdings, Inc. 4.625%, 04/13/2030 | $ | 483,000 | $ | 576,352 | |
Brinker International, Inc. 3.875%, 05/15/2023 (E) | 740,000 | 762,274 | |||
Brookfield Residential Properties, Inc. 5.000%, 06/15/2029 (D) | 154,000 | 155,155 | |||
Caesars Resort Collection LLC 5.750%, 07/01/2025 (D) | 116,000 | 122,235 | |||
CCM Merger, Inc. 6.375%, 05/01/2026 (D) | 139,000 | 145,950 | |||
Century Communities, Inc. 6.750%, 06/01/2027 | 233,000 | 247,271 | |||
Choice Hotels International, Inc. 3.700%, 12/01/2029 to 01/15/2031 | 388,000 | 419,913 | |||
Daimler Finance North America LLC 3.500%, 08/03/2025 (D) | 240,000 | 262,064 | |||
Dave & Buster's, Inc. 7.625%, 11/01/2025 (D) | 56,000 | 60,270 | |||
Dealer Tire LLC 8.000%, 02/01/2028 (D) | 122,000 | 131,455 | |||
Dollar Tree, Inc. 4.200%, 05/15/2028 | 781,000 | 890,935 | |||
eBay, Inc. | |||||
2.700%, 03/11/2030 | 544,000 | 565,909 | |||
3.800%, 03/09/2022 | 520,000 | 530,736 | |||
Empire Communities Corp. 7.000%, 12/15/2025 (D) | 45,000 | 47,250 | |||
Everi Holdings, Inc. 5.000%, 07/15/2029 (D) | 29,000 | 29,000 | |||
Expedia Group, Inc. | |||||
2.950%, 03/15/2031 | 261,000 | 264,475 | |||
3.250%, 02/15/2030 | 479,000 | 500,338 | |||
3.800%, 02/15/2028 | 726,000 | 789,591 | |||
4.625%, 08/01/2027 | 409,000 | 462,229 | |||
5.000%, 02/15/2026 | 1,315,000 | 1,500,119 | |||
Ford Motor Credit Company LLC | |||||
4.000%, 11/13/2030 | 225,000 | 235,688 | |||
4.125%, 08/17/2027 | 346,000 | 367,029 | |||
4.134%, 08/04/2025 | 1,034,000 | 1,105,077 | |||
5.113%, 05/03/2029 | 602,000 | 673,927 | |||
GEMS MENASA Cayman, Ltd. 7.125%, 07/31/2026 (D) | 221,000 | 228,735 | |||
General Motors Company 5.400%, 04/01/2048 | 210,000 | 267,484 | |||
General Motors Financial Company, Inc. | |||||
3.600%, 06/21/2030 | 941,000 | 1,018,869 | |||
4.350%, 01/17/2027 | 404,000 | 454,214 | |||
Group 1 Automotive, Inc. 4.000%, 08/15/2028 (D) | 44,000 | 44,770 | |||
Hanesbrands, Inc. 5.375%, 05/15/2025 (D) | 125,000 | 132,344 | |||
Hilton Domestic Operating Company, Inc. | |||||
3.625%, 02/15/2032 (D) | 259,000 | 255,763 | |||
4.000%, 05/01/2031 (D) | 178,000 | 179,579 | |||
4.875%, 01/15/2030 | 307,000 | 327,723 | |||
5.750%, 05/01/2028 (D) | 95,000 | 102,797 | |||
Hilton Grand Vacations Borrower Escrow LLC | |||||
4.875%, 07/01/2031 (D) | 187,000 | 186,510 | |||
5.000%, 06/01/2029 (D) | 238,000 | 243,355 | |||
Hyatt Hotels Corp. | |||||
3.375%, 07/15/2023 | 660,000 | 687,281 | |||
4.375%, 09/15/2028 | 86,000 | 94,682 | |||
5.750%, 04/23/2030 | 247,000 | 299,828 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Consumer discretionary (continued) | |||||
Hyundai Capital America | |||||
1.800%, 10/15/2025 (D) | $ | 201,000 | $ | 203,940 | |
2.375%, 10/15/2027 (D) | 201,000 | 205,491 | |||
International Game Technology PLC 6.500%, 02/15/2025 (D) | 180,000 | 201,825 | |||
Jacobs Entertainment, Inc. 7.875%, 02/01/2024 (D) | 267,000 | 279,015 | |||
KB Home 4.000%, 06/15/2031 | 264,000 | 266,310 | |||
Ken Garff Automotive LLC 4.875%, 09/15/2028 (D) | 169,000 | 172,380 | |||
LCM Investments Holdings II LLC 4.875%, 05/01/2029 (D) | 62,000 | 63,550 | |||
Levi Strauss & Company 3.500%, 03/01/2031 (D) | 91,000 | 90,472 | |||
Life Time, Inc. 8.000%, 04/15/2026 (D) | 119,000 | 126,823 | |||
Macy's Retail Holdings LLC 5.875%, 04/01/2029 (D) | 71,000 | 76,356 | |||
Macy's, Inc. 8.375%, 06/15/2025 (D) | 124,000 | 136,549 | |||
Marriott International, Inc. | |||||
2.850%, 04/15/2031 | 425,000 | 431,584 | |||
3.125%, 06/15/2026 | 1,169,000 | 1,241,203 | |||
3.500%, 10/15/2032 | 251,000 | 266,638 | |||
4.625%, 06/15/2030 | 393,000 | 452,619 | |||
Marriott Ownership Resorts, Inc. 4.500%, 06/15/2029 (D) | 42,000 | 42,578 | |||
McDonald's Corp. | |||||
3.600%, 07/01/2030 | 500,000 | 562,237 | |||
4.200%, 04/01/2050 | 500,000 | 602,467 | |||
MDC Holdings, Inc. | |||||
2.500%, 01/15/2031 | 155,000 | 150,992 | |||
5.500%, 01/15/2024 | 670,000 | 734,086 | |||
MGM Resorts International 4.750%, 10/15/2028 | 342,000 | 363,375 | |||
Midwest Gaming Borrower LLC 4.875%, 05/01/2029 (D) | 243,000 | 243,304 | |||
Mohegan Gaming & Entertainment 8.000%, 02/01/2026 (D) | 282,000 | 294,662 | |||
NCL Corp., Ltd. 3.625%, 12/15/2024 (D) | 700,000 | 675,500 | |||
New Red Finance, Inc. 4.000%, 10/15/2030 (D) | 553,000 | 535,028 | |||
NIKE, Inc. | |||||
2.750%, 03/27/2027 | 500,000 | 538,904 | |||
2.850%, 03/27/2030 | 500,000 | 543,489 | |||
Prosus NV 5.500%, 07/21/2025 (D) | 290,000 | 331,006 | |||
QVC, Inc. | |||||
4.375%, 03/15/2023 | 195,000 | 205,626 | |||
5.450%, 08/15/2034 | 184,000 | 191,619 | |||
Resorts World Las Vegas LLC 4.625%, 04/16/2029 (D) | 300,000 | 310,920 | |||
Service Corp. International | |||||
3.375%, 08/15/2030 | 148,000 | 145,010 | |||
4.000%, 05/15/2031 | 240,000 | 244,962 | |||
Sotheby's 7.375%, 10/15/2027 (D) | 245,000 | 264,294 | |||
Specialty Building Products Holdings LLC 6.375%, 09/30/2026 (D) | 33,000 | 34,558 | |||
StoneMor, Inc. 8.500%, 05/15/2029 (D) | 380,000 | 384,275 |
The accompanying notes are an integral part of the financial statements. | 3 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Consumer discretionary (continued) | |||||
Target Corp. 2.250%, 04/15/2025 | $ | 500,000 | $ | 525,250 | |
The Home Depot, Inc. | |||||
2.500%, 04/15/2027 | 500,000 | 532,848 | |||
2.700%, 04/15/2030 | 500,000 | 534,592 | |||
The TJX Companies, Inc. | |||||
3.875%, 04/15/2030 | 400,000 | 458,506 | |||
4.500%, 04/15/2050 (E) | 400,000 | 533,155 | |||
Toll Brothers Finance Corp. 3.800%, 11/01/2029 | 59,000 | 63,278 | |||
Travel + Leisure Company | |||||
4.625%, 03/01/2030 (D) | 191,000 | 196,864 | |||
6.000%, 04/01/2027 | 700,000 | 768,999 | |||
6.600%, 10/01/2025 | 145,000 | 162,979 | |||
Waterford Gaming LLC 8.625%, 09/15/2014 (D)(G)(H) | 330,607 | 0 | |||
Wyndham Hotels & Resorts, Inc. 4.375%, 08/15/2028 (D) | 133,000 | 138,082 | |||
Yum! Brands, Inc. | |||||
3.625%, 03/15/2031 | 252,000 | 250,740 | |||
4.750%, 01/15/2030 (D) | 241,000 | 260,885 | |||
5.350%, 11/01/2043 | 600,000 | 637,500 | |||
6.875%, 11/15/2037 | 292,000 | 362,080 | |||
35,815,205 | |||||
Consumer staples – 2.1% | |||||
7-Eleven, Inc. 2.800%, 02/10/2051 (D) | 460,000 | 429,124 | |||
Advantage Sales & Marketing, Inc. 6.500%, 11/15/2028 (D) | 416,000 | 437,840 | |||
Albertsons Companies, Inc. | |||||
3.250%, 03/15/2026 (D) | 143,000 | 145,038 | |||
3.500%, 03/15/2029 (D) | 359,000 | 354,961 | |||
4.875%, 02/15/2030 (D) | 148,000 | 157,843 | |||
Anheuser-Busch InBev Worldwide, Inc. | |||||
4.439%, 10/06/2048 | 730,000 | 873,731 | |||
4.600%, 04/15/2048 | 450,000 | 549,380 | |||
BRF SA 5.750%, 09/21/2050 (D) | 285,000 | 292,268 | |||
Bunge, Ltd. Finance Corp. 3.250%, 08/15/2026 | 500,000 | 540,062 | |||
Cargill, Inc. 2.125%, 04/23/2030 (D) | 220,000 | 222,788 | |||
Constellation Brands, Inc. 3.150%, 08/01/2029 | 159,000 | 170,512 | |||
Edgewell Personal Care Company | |||||
4.125%, 04/01/2029 (D) | 164,000 | 165,640 | |||
5.500%, 06/01/2028 (D) | 267,000 | 283,020 | |||
Fomento Economico Mexicano SAB de CV 4.375%, 05/10/2043 | 1,000,000 | 1,188,560 | |||
General Mills, Inc. | |||||
2.875%, 04/15/2030 | 400,000 | 423,726 | |||
3.150%, 12/15/2021 | 500,000 | 502,989 | |||
JBS Finance Luxembourg Sarl 3.625%, 01/15/2032 (D) | 271,000 | 270,916 | |||
JBS USA Food Company 5.750%, 01/15/2028 (D) | 490,000 | 524,163 | |||
JBS USA LUX SA 3.750%, 12/01/2031 (D) | 86,000 | 88,000 | |||
Keurig Dr. Pepper, Inc. 3.200%, 05/01/2030 | 560,000 | 605,319 | |||
Kraft Heinz Foods Company | |||||
4.375%, 06/01/2046 | 360,000 | 407,952 | |||
4.875%, 10/01/2049 | 80,000 | 97,116 | |||
5.000%, 06/04/2042 | 124,000 | 151,416 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Consumer staples (continued) | |||||
Kraft Heinz Foods Company (continued) | |||||
5.500%, 06/01/2050 | $ | 224,000 | $ | 290,697 | |
MARB BondCo PLC 3.950%, 01/29/2031 (D) | 260,000 | 250,692 | |||
NBM US Holdings, Inc. | |||||
6.625%, 08/06/2029 (D) | 394,000 | 442,659 | |||
7.000%, 05/14/2026 (D) | 210,000 | 226,382 | |||
Oriflame Investment Holding PLC 5.125%, 05/04/2026 (D) | 270,000 | 276,831 | |||
PepsiCo, Inc. 2.750%, 03/19/2030 | 500,000 | 538,451 | |||
Post Holdings, Inc. 5.500%, 12/15/2029 (D) | 177,000 | 189,611 | |||
Reynolds American, Inc. 4.850%, 09/15/2023 | 1,000,000 | 1,090,631 | |||
Simmons Foods, Inc. 4.625%, 03/01/2029 (D) | 43,000 | 43,374 | |||
Sysco Corp. | |||||
5.950%, 04/01/2030 | 355,000 | 455,309 | |||
6.600%, 04/01/2050 | 1,000,000 | 1,553,363 | |||
The Estee Lauder Companies, Inc. 2.600%, 04/15/2030 | 400,000 | 422,253 | |||
The Kroger Company 2.200%, 05/01/2030 | 132,000 | 132,756 | |||
U.S. Foods, Inc. 4.750%, 02/15/2029 (D) | 216,000 | 220,320 | |||
15,015,693 | |||||
Energy – 4.7% | |||||
Aker BP ASA | |||||
2.875%, 01/15/2026 (D) | 276,000 | 290,706 | |||
3.000%, 01/15/2025 (D) | 270,000 | 283,399 | |||
4.000%, 01/15/2031 (D) | 523,000 | 574,455 | |||
Altera Infrastructure LP 8.500%, 07/15/2023 (D) | 287,000 | 262,605 | |||
Anadarko Petroleum Corp. | |||||
4.500%, 07/15/2044 (E) | 400,000 | 359,200 | |||
5.550%, 03/15/2026 | 800,000 | 858,128 | |||
Antero Midstream Partners LP 5.375%, 06/15/2029 (D) | 233,000 | 242,903 | |||
Antero Resources Corp. | |||||
5.000%, 03/01/2025 | 223,000 | 228,234 | |||
5.375%, 03/01/2030 (D) | 90,000 | 91,857 | |||
Apache Corp. 5.100%, 09/01/2040 | 325,000 | 340,438 | |||
Ascent Resources Utica Holdings LLC 5.875%, 06/30/2029 (D) | 246,000 | 246,000 | |||
Boardwalk Pipelines LP 3.375%, 02/01/2023 | 850,000 | 877,254 | |||
BP Capital Markets PLC 2.750%, 05/10/2023 | 530,000 | 551,941 | |||
Buckeye Partners LP 3.950%, 12/01/2026 | 500,000 | 508,750 | |||
Cameron International Corp. 5.950%, 06/01/2041 | 1,178,000 | 1,503,870 | |||
Cenovus Energy, Inc. 3.950%, 04/15/2022 | 327,000 | 332,856 | |||
Cheniere Energy Partners LP | |||||
4.000%, 03/01/2031 (D) | 494,000 | 516,230 | |||
4.500%, 10/01/2029 | 461,000 | 495,575 | |||
CNOOC Finance 2003, Ltd. 5.500%, 05/21/2033 (D) | 545,000 | 659,434 | |||
ConocoPhillips Company 5.950%, 03/15/2046 | 30,000 | 44,459 | |||
Continental Resources, Inc. 4.900%, 06/01/2044 | 400,000 | 453,002 |
The accompanying notes are an integral part of the financial statements. | 4 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Energy (continued) | |||||
CSI Compressco LP | |||||
7.500%, 04/01/2025 (D)(E) | $ | 393,000 | $ | 398,895 | |
7.500%, 04/01/2025 (D) | 98,000 | 99,470 | |||
CSI Compressco LP (10.000% Cash or 7.250% Cash and 2.750% PIK) 10.000%, 04/01/2026 (D) | 315,682 | 287,271 | |||
DCP Midstream Operating LP (5.850% to 5-21-23, then 3 month LIBOR + 3.850%) 05/21/2043 (D) | 201,000 | 185,925 | |||
Devon Energy Corp. | |||||
5.000%, 06/15/2045 | 600,000 | 704,821 | |||
7.875%, 09/30/2031 | 874,000 | 1,224,436 | |||
Diamondback Energy, Inc. 3.125%, 03/24/2031 | 257,000 | 266,344 | |||
Enbridge Energy Partners LP 7.500%, 04/15/2038 | 600,000 | 889,920 | |||
Enbridge, Inc. (5.500% to 7-15-27, then 3 month LIBOR + 3.418%) 07/15/2077 | 397,000 | 422,408 | |||
Enbridge, Inc. (5.750% to 4-15-30, then 5 Year CMT + 5.314%) 07/15/2080 | 400,000 | 446,000 | |||
Enbridge, Inc. (6.250% to 3-1-28, then 3 month LIBOR + 3.641%) 03/01/2078 | 394,000 | 430,066 | |||
Energean Israel Finance, Ltd. | |||||
5.375%, 03/30/2028 (D) | 99,000 | 101,595 | |||
5.875%, 03/30/2031 (D) | 172,000 | 176,445 | |||
Energy Transfer LP | |||||
4.200%, 04/15/2027 | 141,000 | 155,722 | |||
5.150%, 03/15/2045 | 340,000 | 393,233 | |||
5.250%, 04/15/2029 | 810,000 | 956,747 | |||
5.400%, 10/01/2047 | 324,000 | 383,858 | |||
5.500%, 06/01/2027 | 438,000 | 513,680 | |||
5.950%, 10/01/2043 | 300,000 | 374,271 | |||
Energy Transfer LP (6.500% to 11-15-26, then 5 Year CMT + 5.694%) 11/15/2026 (F) | 474,000 | 483,243 | |||
Enterprise Products Operating LLC 6.875%, 03/01/2033 | 471,000 | 673,158 | |||
Enterprise Products Operating LLC (5.250% to 8-16-27, then 3 month LIBOR + 3.033%) 08/16/2077 | 701,000 | 734,980 | |||
EQT Corp. | |||||
3.125%, 05/15/2026 (D) | 120,000 | 122,965 | |||
3.625%, 05/15/2031 (D) | 119,000 | 124,058 | |||
Hess Corp. | |||||
5.600%, 02/15/2041 | 400,000 | 499,310 | |||
5.800%, 04/01/2047 | 500,000 | 651,515 | |||
Kinder Morgan Energy Partners LP | |||||
5.000%, 10/01/2021 | 500,000 | 500,000 | |||
7.750%, 03/15/2032 | 260,000 | 372,808 | |||
Kinder Morgan, Inc. 4.300%, 03/01/2028 | 176,000 | 200,894 | |||
Leviathan Bond, Ltd. | |||||
6.500%, 06/30/2027 (D) | 426,000 | 472,584 | |||
6.750%, 06/30/2030 (D) | 85,000 | 95,730 | |||
Lundin Energy Finance BV | |||||
2.000%, 07/15/2026 (D) | 267,000 | 267,427 | |||
3.100%, 07/15/2031 (D) | 383,000 | 386,882 | |||
Marathon Oil Corp. 6.800%, 03/15/2032 | 785,000 | 1,031,200 | |||
Midwest Connector Capital Company LLC | |||||
3.625%, 04/01/2022 (D) | 205,000 | 208,460 | |||
3.900%, 04/01/2024 (D) | 468,000 | 489,364 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Energy (continued) | |||||
MPLX LP | |||||
4.000%, 03/15/2028 | $ | 311,000 | $ | 347,436 | |
4.125%, 03/01/2027 | 103,000 | 115,092 | |||
4.250%, 12/01/2027 | 169,000 | 191,507 | |||
MPLX LP (6.875% to 2-15-23, then 3 month LIBOR + 4.652%) 02/15/2023 (F) | 782,000 | 796,545 | |||
New Fortress Energy, Inc. 6.500%, 09/30/2026 (D) | 391,000 | 399,524 | |||
Occidental Petroleum Corp. | |||||
2.900%, 08/15/2024 | 273,000 | 279,143 | |||
3.500%, 08/15/2029 | 72,000 | 72,259 | |||
ONEOK Partners LP 6.650%, 10/01/2036 | 835,000 | 1,125,033 | |||
Ovintiv Exploration, Inc. 5.625%, 07/01/2024 | 500,000 | 556,709 | |||
Parkland Corp. 4.500%, 10/01/2029 (D) | 166,000 | 168,688 | |||
Petrobras Global Finance BV 6.900%, 03/19/2049 | 160,000 | 190,760 | |||
Plains All American Pipeline LP 4.900%, 02/15/2045 | 750,000 | 815,086 | |||
Sabine Pass Liquefaction LLC | |||||
4.200%, 03/15/2028 | 293,000 | 330,894 | |||
5.000%, 03/15/2027 | 186,000 | 214,782 | |||
5.875%, 06/30/2026 | 626,000 | 741,032 | |||
Sinopec Group Overseas Development 2015, Ltd. 3.250%, 04/28/2025 (D) | 550,000 | 587,884 | |||
Sunoco LP 4.500%, 05/15/2029 (D) | 96,000 | 97,680 | |||
Targa Resources Partners LP | |||||
4.000%, 01/15/2032 (D) | 243,000 | 249,962 | |||
5.875%, 04/15/2026 | 478,000 | 502,048 | |||
The Williams Companies, Inc. | |||||
3.750%, 06/15/2027 | 437,000 | 485,490 | |||
5.750%, 06/24/2044 | 149,000 | 195,433 | |||
TransCanada PipeLines, Ltd. 4.250%, 05/15/2028 | 220,000 | 252,700 | |||
Valero Energy Corp. 2.850%, 04/15/2025 | 400,000 | 424,130 | |||
34,586,798 | |||||
Financials – 11.2% | |||||
Ally Financial, Inc. 5.800%, 05/01/2025 | 280,000 | 325,383 | |||
Ambac Assurance Corp. 5.100%, 07/20/2021 (D)(F) | 131 | 184 | |||
Ambac LSNI LLC (Greater of 3 month LIBOR + 5.000% or 6.000%) 6.000%, 02/12/2023 (B)(D) | 478 | 478 | |||
American International Group, Inc. 3.900%, 04/01/2026 | 830,000 | 926,231 | |||
American International Group, Inc. (6.250% to 3-15-37, then 3 month LIBOR + 2.056%) 03/15/2037 | 100,000 | 116,447 | |||
Ameriprise Financial, Inc. 2.875%, 09/15/2026 | 500,000 | 537,126 | |||
Ares Capital Corp. | |||||
2.150%, 07/15/2026 | 549,000 | 545,938 | |||
2.875%, 06/15/2028 | 309,000 | 313,641 | |||
3.875%, 01/15/2026 | 897,000 | 960,904 | |||
4.200%, 06/10/2024 | 246,000 | 264,287 | |||
Assurant, Inc. 4.000%, 03/15/2023 | 1,260,000 | 1,330,052 |
The accompanying notes are an integral part of the financial statements. | 5 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Financials (continued) | |||||
Athene Holding, Ltd. 3.500%, 01/15/2031 | $ | 206,000 | $ | 219,627 | |
Australia & New Zealand Banking Group, Ltd. (6.750% to 6-15-26, then 5 Year ICE Swap Rate + 5.168%) 06/15/2026 (D)(F) | 235,000 | 276,273 | |||
AXA SA 8.600%, 12/15/2030 | 170,000 | 258,340 | |||
Banco Santander SA 4.379%, 04/12/2028 | 324,000 | 370,273 | |||
Bank of America Corp. | |||||
3.248%, 10/21/2027 | 586,000 | 635,657 | |||
3.950%, 04/21/2025 | 539,000 | 591,525 | |||
Bank of America Corp. (2.087% to 6-14-28, then SOFR + 1.060%) 06/14/2029 | 582,000 | 586,709 | |||
Bank of America Corp. (2.592% to 4-29-30, then SOFR + 2.150%) 04/29/2031 | 563,000 | 580,418 | |||
Bank of America Corp. (2.687% to 4-22-31, then SOFR + 1.320%) 04/22/2032 | 881,000 | 906,368 | |||
Bank of America Corp. (2.884% to 10-22-29, then 3 month LIBOR + 1.190%) 10/22/2030 | 500,000 | 526,695 | |||
Bank of America Corp. (3.004% to 12-20-22, then 3 month LIBOR + 0.790%) 12/20/2023 | 1,149,000 | 1,190,764 | |||
Bank of America Corp. (3.419% to 12-20-27, then 3 month LIBOR + 1.040%) 12/20/2028 | 1,087,000 | 1,183,862 | |||
Bank of America Corp. (4.083% to 3-20-50, then 3 month LIBOR + 3.150%) 03/20/2051 | 500,000 | 597,458 | |||
Bank of America Corp. (6.300% to 3-10-26, then 3 month LIBOR + 4.553%) 03/10/2026 (F) | 662,000 | 763,888 | |||
Barclays PLC 4.375%, 01/12/2026 | 300,000 | 335,907 | |||
BlackRock, Inc. 1.900%, 01/28/2031 | 500,000 | 500,305 | |||
BPCE SA 4.500%, 03/15/2025 (D) | 360,000 | 396,647 | |||
Brighthouse Financial, Inc. 3.700%, 06/22/2027 (E) | 391,000 | 425,141 | |||
Brightstar Escrow Corp. 9.750%, 10/15/2025 (D) | 144,000 | 154,980 | |||
Capital One Financial Corp. | |||||
3.500%, 06/15/2023 | 1,023,000 | 1,081,646 | |||
3.750%, 07/28/2026 | 500,000 | 551,564 | |||
CIT Group, Inc. 5.000%, 08/01/2023 | 700,000 | 756,875 | |||
Citigroup, Inc. | |||||
3.200%, 10/21/2026 | 655,000 | 709,536 | |||
3.500%, 05/15/2023 | 1,060,000 | 1,117,502 | |||
4.500%, 01/14/2022 | 1,000,000 | 1,022,777 | |||
4.600%, 03/09/2026 | 792,000 | 901,455 | |||
5.500%, 09/13/2025 | 215,000 | 250,430 | |||
Citigroup, Inc. (2.561% to 5-1-31, then SOFR + 1.167%) 05/01/2032 | 409,000 | 416,342 | |||
Citigroup, Inc. (4.412% to 3-31-30, then SOFR + 3.914%) 03/31/2031 | 1,000,000 | 1,167,667 | |||
Citigroup, Inc. (4.700% to 1-30-25, then SOFR + 3.234%) 01/30/2025 (F) | 579,000 | 597,441 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Financials (continued) | |||||
Citigroup, Inc. (6.250% to 8-15-26, then 3 month LIBOR + 4.517%) 08/15/2026 (F) | $ | 415,000 | $ | 484,915 | |
Citizens Financial Group, Inc. 3.250%, 04/30/2030 | 605,000 | 655,491 | |||
CNA Financial Corp. 2.050%, 08/15/2030 | 205,000 | 201,322 | |||
CNO Financial Group, Inc. 5.250%, 05/30/2025 to 05/30/2029 | 635,000 | 744,123 | |||
Credit Agricole SA | |||||
2.811%, 01/11/2041 (D) | 279,000 | 264,717 | |||
3.250%, 01/14/2030 (D) | 548,000 | 576,910 | |||
4.375%, 03/17/2025 (D) | 600,000 | 659,638 | |||
Credit Agricole SA (7.875% to 1-23-24, then 5 Year U.S. Swap Rate + 4.898%) 01/23/2024 (D)(F) | 310,000 | 350,300 | |||
Credit Suisse Group AG 4.550%, 04/17/2026 | 405,000 | 458,708 | |||
Discover Financial Services 4.100%, 02/09/2027 | 167,000 | 186,866 | |||
Enova International, Inc. 8.500%, 09/01/2024 to 09/15/2025 (D) | 354,000 | 363,806 | |||
Fifth Third Bancorp (5.100% to 6-30-23, then 3 month LIBOR + 3.033%) 06/30/2023 (F) | 352,000 | 365,200 | |||
Freedom Mortgage Corp. | |||||
8.125%, 11/15/2024 (D) | 310,000 | 320,463 | |||
8.250%, 04/15/2025 (D) | 70,000 | 73,063 | |||
GE Capital International Funding Company 4.418%, 11/15/2035 | 829,000 | 993,541 | |||
Global Atlantic Fin Company 3.125%, 06/15/2031 (D) | 1,000,000 | 1,005,997 | |||
ING Groep NV (6.500% to 4-16-25, then 5 Year U.S. Swap Rate + 4.446%) 04/16/2025 (F) | 135,000 | 150,485 | |||
Intesa Sanpaolo SpA 4.198%, 06/01/2032 (D) | 201,000 | 205,977 | |||
Invesco Finance PLC 3.125%, 11/30/2022 | 850,000 | 881,420 | |||
Jefferies Financial Group, Inc. 5.500%, 10/18/2023 | 1,000,000 | 1,075,588 | |||
Jefferies Group LLC | |||||
4.150%, 01/23/2030 | 420,000 | 470,341 | |||
4.850%, 01/15/2027 | 505,000 | 587,404 | |||
JPMorgan Chase & Co. | |||||
2.950%, 10/01/2026 | 675,000 | 726,352 | |||
3.375%, 05/01/2023 | 1,250,000 | 1,315,818 | |||
4.125%, 12/15/2026 | 600,000 | 678,670 | |||
4.500%, 01/24/2022 | 1,300,000 | 1,331,253 | |||
JPMorgan Chase & Co. (2.522% to 4-22-30, then SOFR + 2.040%) 04/22/2031 | 586,000 | 602,990 | |||
JPMorgan Chase & Co. (2.956% to 5-13-30, then SOFR + 2.515%) 05/13/2031 | 544,000 | 571,476 | |||
JPMorgan Chase & Co. (3.960% to 1-29-26, then 3 month LIBOR + 1.245%) 01/29/2027 | 539,000 | 600,233 | |||
JPMorgan Chase & Co. (4.600% to 2-1-25, then SOFR + 3.125%) 02/01/2025 (F) | 503,000 | 521,259 | |||
JPMorgan Chase & Co. (6.750% to 2-1-24, then 3 month LIBOR + 3.780%) 02/01/2024 (F) | 582,000 | 645,351 |
The accompanying notes are an integral part of the financial statements. | 6 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Financials (continued) | |||||
Lazard Group LLC 4.375%, 03/11/2029 | $ | 220,000 | $ | 250,036 | |
Legg Mason, Inc. | |||||
3.950%, 07/15/2024 | 660,000 | 722,074 | |||
4.750%, 03/15/2026 | 825,000 | 959,925 | |||
Liberty Mutual Group, Inc. | |||||
3.950%, 05/15/2060 (D) | 500,000 | 549,371 | |||
4.250%, 06/15/2023 (D) | 1,000,000 | 1,068,067 | |||
Lloyds Banking Group PLC 4.450%, 05/08/2025 | 875,000 | 981,898 | |||
Lloyds Banking Group PLC (7.500% to 6-27-24, then 5 Year U.S. Swap Rate + 4.760%) 06/27/2024 (F) | 345,000 | 392,438 | |||
Loews Corp. | |||||
2.625%, 05/15/2023 | 630,000 | 652,095 | |||
3.750%, 04/01/2026 | 825,000 | 917,531 | |||
M&T Bank Corp. (5.125% to 11-1-26, then 3 month LIBOR + 3.520%) 11/01/2026 (F) | 186,000 | 204,831 | |||
Macquarie Bank, Ltd. | |||||
3.624%, 06/03/2030 (D) | 329,000 | 347,759 | |||
4.875%, 06/10/2025 (D)(E) | 360,000 | 402,620 | |||
Markel Corp. 5.000%, 03/30/2043 | 1,270,000 | 1,536,018 | |||
MetLife, Inc. 3.000%, 03/01/2025 | 300,000 | 322,253 | |||
MetLife, Inc. (6.400% to 12-15-36, then 3 month LIBOR + 2.205%) 12/15/2036 | 402,000 | 516,298 | |||
MetLife, Inc. (9.250% to 4-8-38, then 3 month LIBOR + 5.540%) 04/08/2038 (D) | 120,000 | 181,976 | |||
Morgan Stanley | |||||
3.875%, 01/27/2026 | 361,000 | 403,596 | |||
4.100%, 05/22/2023 | 900,000 | 958,310 | |||
Morgan Stanley (2.188% to 4-28-25, then SOFR + 1.990%) 04/28/2026 | 1,047,000 | 1,087,102 | |||
Morgan Stanley (3 month LIBOR + 3.610%) 3.794%, 10/15/2021 (B)(F) | 200,000 | 200,750 | |||
Morgan Stanley (3.622% to 4-1-30, then SOFR + 3.120%) 04/01/2031 | 1,000,000 | 1,116,254 | |||
MSCI, Inc. 3.625%, 11/01/2031 (D) | 318,000 | 326,173 | |||
Nationstar Mortgage Holdings, Inc. | |||||
5.125%, 12/15/2030 (D) | 176,000 | 175,120 | |||
5.500%, 08/15/2028 (D) | 191,000 | 192,553 | |||
6.000%, 01/15/2027 (D) | 99,000 | 102,592 | |||
Nationwide Mutual Insurance Company (3 month LIBOR + 2.290%) 2.409%, 12/15/2024 (B)(D) | 1,130,000 | 1,130,934 | |||
NatWest Group PLC 3.875%, 09/12/2023 | 500,000 | 534,123 | |||
NatWest Group PLC (6.000% to 12-29-25, then 5 Year CMT + 5.625%) 12/29/2025 (F) | 431,000 | 480,384 | |||
NatWest Group PLC (8.625% to 8-15-21, then 5 Year U.S. Swap Rate + 7.598%) 08/15/2021 (F) | 665,000 | 669,801 | |||
New York Life Insurance Company 3.750%, 05/15/2050 (D) | 198,000 | 221,102 | |||
Nippon Life Insurance Company (2.750% to 1-21-31, then 5 Year CMT + 2.653%) 01/21/2051 (D) | 659,000 | 645,820 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Financials (continued) | |||||
Nippon Life Insurance Company (5.100% to 10-16-24, then 5 Year U.S. Swap Rate + 3.650%) 10/16/2044 (D) | $ | 355,000 | $ | 391,388 | |
OneMain Finance Corp. | |||||
6.875%, 03/15/2025 | 65,000 | 73,359 | |||
8.875%, 06/01/2025 | 142,000 | 157,434 | |||
Operadora de Servicios Mega SA de CV 8.250%, 02/11/2025 (D) | 295,000 | 296,475 | |||
Prudential Financial, Inc. (5.875% to 9-15-22, then 3 month LIBOR + 4.175%) 09/15/2042 | 795,000 | 840,407 | |||
Radian Group, Inc. 4.500%, 10/01/2024 | 140,000 | 149,944 | |||
Raymond James Financial, Inc. 4.950%, 07/15/2046 | 500,000 | 646,203 | |||
Santander Holdings USA, Inc. | |||||
3.244%, 10/05/2026 | 815,000 | 870,518 | |||
3.450%, 06/02/2025 | 691,000 | 742,565 | |||
4.400%, 07/13/2027 | 203,000 | 228,133 | |||
SBL Holdings, Inc. 5.000%, 02/18/2031 (D) | 360,000 | 387,762 | |||
Societe Generale SA (4.750% to 5-26-26, then 5 Year CMT + 3.931%) 05/26/2026 (D)(F) | 346,000 | 358,543 | |||
Societe Generale SA (5.375% to 11-18-30, then 5 Year CMT + 4.514%) 11/18/2030 (D)(F) | 355,000 | 375,856 | |||
Societe Generale SA (7.375% to 9-13-21, then 5 Year U.S. Swap Rate + 6.238%) 09/13/2021 (D)(F) | 319,000 | 321,807 | |||
Sompo International Holdings, Ltd. 4.700%, 10/15/2022 | 1,080,000 | 1,133,889 | |||
State Street Corp. (2.901% to 3-30-25, then SOFR + 2.600%) 03/30/2026 | 1,000,000 | 1,067,699 | |||
Stifel Financial Corp. 4.250%, 07/18/2024 | 1,300,000 | 1,424,302 | |||
Teachers Insurance & Annuity Association of America 4.270%, 05/15/2047 (D) | 447,000 | 534,399 | |||
The Goldman Sachs Group, Inc. | |||||
3.500%, 04/01/2025 | 500,000 | 542,449 | |||
3.625%, 01/22/2023 | 1,200,000 | 1,259,770 | |||
3.850%, 01/26/2027 | 897,000 | 988,416 | |||
The Goldman Sachs Group, Inc. (2.615% to 4-22-31, then SOFR + 1.281%) 04/22/2032 | 1,090,000 | 1,113,508 | |||
The Hartford Financial Services Group, Inc. 6.625%, 03/30/2040 | 500,000 | 724,258 | |||
The PNC Financial Services Group, Inc. (4.850% to 6-1-23, then 3 month LIBOR + 3.040%) 06/01/2023 (F) | 276,000 | 287,730 | |||
The PNC Financial Services Group, Inc. (6.750% to 8-1-21, then 3 month LIBOR + 3.678%) 08/01/2021 (F) | 533,000 | 533,509 | |||
UBS Group AG (7.000% to 1-31-24, then 5 Year U.S. Swap Rate + 4.344%) 01/31/2024 (D)(F) | 323,000 | 355,704 | |||
Unifin Financiera SAB de CV 9.875%, 01/28/2029 (D) | 391,000 | 388,181 | |||
Unum Group 4.125%, 06/15/2051 | 169,000 | 170,507 | |||
Voya Financial, Inc. 4.800%, 06/15/2046 | 700,000 | 886,244 |
The accompanying notes are an integral part of the financial statements. | 7 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Financials (continued) | |||||
Voya Financial, Inc. (5.650% to 5-15-23, then 3 month LIBOR + 3.580%) 05/15/2053 | $ | 565,000 | $ | 604,550 | |
Wells Fargo & Company 3.450%, 02/13/2023 | 900,000 | 943,468 | |||
Wells Fargo & Company (2.393% to 6-2-27, then SOFR + 2.100%) 06/02/2028 | 881,000 | 913,681 | |||
Wells Fargo & Company (2.879% to 10-30-29, then SOFR + 1.432%) 10/30/2030 | 656,000 | 694,683 | |||
Wells Fargo & Company (3.068% to 4-30-40, then SOFR + 2.530%) 04/30/2041 | 426,000 | 436,941 | |||
Wells Fargo & Company (5.875% to 6-15-25, then 3 month LIBOR + 3.990%) 06/15/2025 (F) | 979,000 | 1,096,392 | |||
82,654,898 | |||||
Health care – 3.5% | |||||
Abbott Laboratories 3.750%, 11/30/2026 | 680,000 | 767,943 | |||
AbbVie, Inc. 3.200%, 11/21/2029 | 2,344,000 | 2,545,688 | |||
Agilent Technologies, Inc. 3.875%, 07/15/2023 | 670,000 | 711,164 | |||
AmerisourceBergen Corp. 2.800%, 05/15/2030 | 457,000 | 476,304 | |||
Anthem, Inc. 2.250%, 05/15/2030 | 179,000 | 180,539 | |||
Bausch Health Companies, Inc. | |||||
5.250%, 01/30/2030 (D) | 193,000 | 179,490 | |||
6.125%, 04/15/2025 (D) | 344,000 | 352,600 | |||
6.250%, 02/15/2029 (D) | 390,000 | 385,730 | |||
Baxter International, Inc. 3.500%, 08/15/2046 | 500,000 | 562,703 | |||
Biogen, Inc. | |||||
2.250%, 05/01/2030 | 400,000 | 401,090 | |||
3.150%, 05/01/2050 | 500,000 | 491,046 | |||
Catalent Pharma Solutions, Inc. | |||||
3.125%, 02/15/2029 (D) | 64,000 | 61,976 | |||
5.000%, 07/15/2027 (D) | 81,000 | 84,642 | |||
Centene Corp. | |||||
2.500%, 03/01/2031 | 422,000 | 416,198 | |||
3.000%, 10/15/2030 | 397,000 | 407,830 | |||
3.375%, 02/15/2030 | 176,000 | 183,976 | |||
4.250%, 12/15/2027 | 127,000 | 133,826 | |||
4.625%, 12/15/2029 | 162,000 | 178,163 | |||
5.375%, 06/01/2026 (D) | 1,035,000 | 1,081,575 | |||
Charles River Laboratories International, Inc. 4.250%, 05/01/2028 (D) | 81,000 | 83,734 | |||
CVS Health Corp. | |||||
2.700%, 08/21/2040 | 308,000 | 298,550 | |||
3.750%, 04/01/2030 | 398,000 | 445,390 | |||
4.300%, 03/25/2028 | 484,000 | 556,071 | |||
5.050%, 03/25/2048 | 480,000 | 623,460 | |||
CVS Pass-Through Trust 8.353%, 07/10/2031 (D) | 888,134 | 1,164,115 | |||
DaVita, Inc. | |||||
3.750%, 02/15/2031 (D) | 378,000 | 362,880 | |||
4.625%, 06/01/2030 (D) | 367,000 | 377,357 | |||
Encompass Health Corp. | |||||
4.500%, 02/01/2028 | 175,000 | 181,557 | |||
4.625%, 04/01/2031 | 149,000 | 159,646 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Health care (continued) | |||||
Fresenius Medical Care US Finance III, Inc. 2.375%, 02/16/2031 (D) | $ | 634,000 | $ | 618,540 | |
HCA, Inc. | |||||
4.125%, 06/15/2029 | 318,000 | 358,092 | |||
5.250%, 04/15/2025 to 06/15/2026 | 666,000 | 766,145 | |||
5.375%, 02/01/2025 | 800,000 | 902,400 | |||
Humana, Inc. 3.125%, 08/15/2029 | 500,000 | 538,208 | |||
MEDNAX, Inc. 6.250%, 01/15/2027 (D) | 366,000 | 387,503 | |||
Organon Finance 1 LLC 5.125%, 04/30/2031 (D) | 314,000 | 323,483 | |||
Pfizer, Inc. 2.625%, 04/01/2030 | 500,000 | 532,484 | |||
Rede D'or Finance Sarl 4.500%, 01/22/2030 (D) | 513,000 | 525,825 | |||
Royalty Pharma PLC 1.750%, 09/02/2027 (D) | 206,000 | 202,742 | |||
Select Medical Corp. 6.250%, 08/15/2026 (D) | 299,000 | 318,441 | |||
Shire Acquisitions Investments Ireland DAC 3.200%, 09/23/2026 | 1,015,000 | 1,101,820 | |||
Stanford Health Care 3.310%, 08/15/2030 | 225,000 | 248,205 | |||
Teva Pharmaceutical Finance Company LLC 6.150%, 02/01/2036 (E) | 49,000 | 53,900 | |||
UnitedHealth Group, Inc. 5.800%, 03/15/2036 | 540,000 | 760,167 | |||
Universal Health Services, Inc. | |||||
2.650%, 10/15/2030 (D) | 358,000 | 359,980 | |||
5.000%, 06/01/2026 (D) | 462,000 | 473,550 | |||
Utah Acquisition Sub, Inc. | |||||
3.950%, 06/15/2026 | 800,000 | 881,229 | |||
5.250%, 06/15/2046 | 250,000 | 304,472 | |||
Varex Imaging Corp. 7.875%, 10/15/2027 (D) | 185,000 | 207,200 | |||
Viatris, Inc. | |||||
2.300%, 06/22/2027 (D) | 209,000 | 213,335 | |||
2.700%, 06/22/2030 (D) | 425,000 | 429,752 | |||
4.000%, 06/22/2050 (D) | 464,000 | 490,693 | |||
Zimmer Biomet Holdings, Inc. | |||||
3.050%, 01/15/2026 | 500,000 | 538,422 | |||
3.550%, 04/01/2025 | 550,000 | 596,697 | |||
25,988,528 | |||||
Industrials – 5.6% | |||||
3M Company 3.050%, 04/15/2030 (E) | 500,000 | 548,924 | |||
Adani Ports & Special Economic Zone, Ltd. 3.100%, 02/02/2031 (D) | 313,000 | 297,854 | |||
AECOM 5.125%, 03/15/2027 | 401,000 | 447,267 | |||
AerCap Ireland Capital DAC | |||||
1.750%, 01/30/2026 | 465,000 | 459,543 | |||
2.875%, 08/14/2024 | 423,000 | 442,356 | |||
Ahern Rentals, Inc. 7.375%, 05/15/2023 (D) | 283,000 | 255,408 | |||
Air Canada 2013-1 Class A Pass Through Trust 4.125%, 05/15/2025 (D) | 179,842 | 184,338 |
The accompanying notes are an integral part of the financial statements. | 8 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Industrials (continued) | |||||
Air Canada 2017-1 Class B Pass Through Trust 3.700%, 01/15/2026 (D) | $ | 196,376 | $ | 190,740 | |
Air Lease Corp. | |||||
2.875%, 01/15/2026 | 225,000 | 236,392 | |||
3.000%, 09/15/2023 | 400,000 | 418,128 | |||
3.125%, 12/01/2030 | 400,000 | 406,362 | |||
3.625%, 12/01/2027 | 215,000 | 230,931 | |||
Alaska Airlines 2020-1 Class B Pass Through Trust 8.000%, 08/15/2025 (D) | 98,545 | 110,616 | |||
Alta Equipment Group, Inc. 5.625%, 04/15/2026 (D) | 61,000 | 62,596 | |||
American Airlines 2015-1 Class A Pass Through Trust 3.375%, 05/01/2027 | 846,181 | 833,488 | |||
American Airlines 2015-1 Class B Pass Through Trust 3.700%, 05/01/2023 | 133,508 | 130,838 | |||
American Airlines 2016-1 Class A Pass Through Trust 4.100%, 01/15/2028 | 375,524 | 369,891 | |||
American Airlines 2017-1 Class A Pass Through Trust 4.000%, 02/15/2029 | 152,950 | 152,568 | |||
American Airlines 2017-1 Class AA Pass Through Trust 3.650%, 02/15/2029 | 301,875 | 313,950 | |||
American Airlines 2017-2 Class A Pass Through Trust 3.600%, 10/15/2029 | 167,526 | 163,757 | |||
American Airlines 2019-1 Class A Pass Through Trust 3.500%, 02/15/2032 | 378,344 | 365,102 | |||
American Airlines 2019-1 Class AA Pass Through Trust 3.150%, 02/15/2032 | 316,863 | 323,200 | |||
American Airlines Group, Inc. 3.750%, 03/01/2025 (D)(E) | 500,000 | 460,625 | |||
APX Group, Inc. 7.625%, 09/01/2023 | 310,000 | 318,525 | |||
Ashtead Capital, Inc. 4.375%, 08/15/2027 (D) | 285,000 | 298,538 | |||
Atkore, Inc. 4.250%, 06/01/2031 (D) | 90,000 | 91,152 | |||
ATS Automation Tooling Systems, Inc. 4.125%, 12/15/2028 (D) | 50,000 | 51,188 | |||
Beacon Roofing Supply, Inc. 4.125%, 05/15/2029 (D) | 188,000 | 187,520 | |||
Boise Cascade Company 4.875%, 07/01/2030 (D) | 52,000 | 55,253 | |||
British Airways 2013-1 Class A Pass Through Trust 4.625%, 06/20/2024 (D) | 197,282 | 207,574 | |||
British Airways 2018-1 Class A Pass Through Trust 4.125%, 09/20/2031 (D) | 166,941 | 168,039 | |||
British Airways 2020-1 Class A Pass Through Trust 4.250%, 11/15/2032 (D) | 135,724 | 146,062 | |||
British Airways 2020-1 Class B Pass Through Trust 8.375%, 11/15/2028 (D) | 108,769 | 125,740 | |||
Builders FirstSource, Inc. | |||||
5.000%, 03/01/2030 (D) | 46,000 | 48,367 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Industrials (continued) | |||||
Builders FirstSource, Inc. (continued) | |||||
6.750%, 06/01/2027 (D) | $ | 69,000 | $ | 73,916 | |
Carrier Global Corp. 2.700%, 02/15/2031 | 500,000 | 514,808 | |||
Cimpress PLC 7.000%, 06/15/2026 (D) | 390,000 | 411,126 | |||
Clean Harbors, Inc. 4.875%, 07/15/2027 (D) | 65,000 | 68,088 | |||
CNH Industrial Capital LLC 1.950%, 07/02/2023 | 570,000 | 584,313 | |||
Continental Airlines 2007-1 Class A Pass Through Trust 5.983%, 04/19/2022 | 77,160 | 78,711 | |||
CoStar Group, Inc. 2.800%, 07/15/2030 (D) | 526,000 | 534,343 | |||
CSX Corp. 3.800%, 04/15/2050 | 1,000,000 | 1,139,036 | |||
DAE Funding LLC 2.625%, 03/20/2025 (D) | 267,000 | 271,574 | |||
Delta Air Lines, Inc. | |||||
2.900%, 10/28/2024 | 663,000 | 674,547 | |||
3.800%, 04/19/2023 | 356,000 | 369,494 | |||
4.375%, 04/19/2028 | 445,000 | 466,134 | |||
4.500%, 10/20/2025 (D) | 103,000 | 110,686 | |||
4.750%, 10/20/2028 (D) | 169,000 | 187,887 | |||
Deluxe Corp. 8.000%, 06/01/2029 (D) | 124,000 | 134,540 | |||
Equifax, Inc. 3.100%, 05/15/2030 | 800,000 | 859,105 | |||
Flowserve Corp. 3.500%, 10/01/2030 | 236,000 | 248,924 | |||
Fortive Corp. 3.150%, 06/15/2026 | 700,000 | 759,966 | |||
Garda World Security Corp. 6.000%, 06/01/2029 (D) | 186,000 | 184,605 | |||
GATX Corp. 3.850%, 03/30/2027 | 800,000 | 881,686 | |||
General Electric Company | |||||
4.250%, 05/01/2040 | 528,000 | 617,020 | |||
5.550%, 01/05/2026 | 573,000 | 678,964 | |||
GFL Environmental, Inc. | |||||
3.500%, 09/01/2028 (D) | 355,000 | 354,113 | |||
4.750%, 06/15/2029 (D) | 154,000 | 159,898 | |||
Global Infrastructure Solutions, Inc. 5.625%, 06/01/2029 (D) | 247,000 | 256,337 | |||
Graphic Packaging International LLC 3.500%, 03/01/2029 (D) | 267,000 | 264,517 | |||
H&E Equipment Services, Inc. 3.875%, 12/15/2028 (D) | 327,000 | 321,768 | |||
Hillenbrand, Inc. 3.750%, 03/01/2031 | 201,000 | 200,041 | |||
Howmet Aerospace, Inc. 5.125%, 10/01/2024 | 342,000 | 377,483 | |||
Huntington Ingalls Industries, Inc. | |||||
3.844%, 05/01/2025 | 557,000 | 606,975 | |||
4.200%, 05/01/2030 | 1,379,000 | 1,574,972 | |||
IDEX Corp. 3.000%, 05/01/2030 | 1,000,000 | 1,056,399 | |||
IHS Markit, Ltd. | |||||
4.000%, 03/01/2026 (D) | 293,000 | 324,791 | |||
4.750%, 08/01/2028 | 213,000 | 251,148 | |||
JB Hunt Transport Services, Inc. 3.850%, 03/15/2024 | 700,000 | 750,200 | |||
JB Poindexter & Company, Inc. 7.125%, 04/15/2026 (D) | 132,000 | 139,425 |
The accompanying notes are an integral part of the financial statements. | 9 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Industrials (continued) | |||||
JetBlue 2019-1 Class AA Pass Through Trust 2.750%, 05/15/2032 | $ | 285,467 | $ | 293,149 | |
Kansas City Southern 2.875%, 11/15/2029 | 500,000 | 526,051 | |||
Kratos Defense & Security Solutions, Inc. 6.500%, 11/30/2025 (D) | 201,000 | 210,296 | |||
Legends Hospitality Holding Company LLC 5.000%, 02/01/2026 (D) | 66,000 | 68,805 | |||
Lennox International, Inc. 3.000%, 11/15/2023 | 800,000 | 838,441 | |||
LSC Communications, Inc. 8.750%, 10/15/2023 (D)(G) | 420,000 | 16,800 | |||
Masco Corp. 2.000%, 10/01/2030 | 412,000 | 401,753 | |||
MasTec, Inc. 4.500%, 08/15/2028 (D) | 191,000 | 201,091 | |||
Owens Corning 3.950%, 08/15/2029 | 366,000 | 413,493 | |||
Picasso Finance Sub, Inc. 6.125%, 06/15/2025 (D) | 30,000 | 31,718 | |||
Prime Security Services Borrower LLC | |||||
3.375%, 08/31/2027 (D) | 62,000 | 60,140 | |||
6.250%, 01/15/2028 (D) | 218,000 | 231,898 | |||
Southwest Airlines Company 5.250%, 05/04/2025 | 800,000 | 912,780 | |||
Stericycle, Inc. 3.875%, 01/15/2029 (D) | 78,000 | 77,846 | |||
The Boeing Company | |||||
3.200%, 03/01/2029 | 388,000 | 407,205 | |||
5.040%, 05/01/2027 | 570,000 | 657,682 | |||
5.150%, 05/01/2030 | 412,000 | 487,872 | |||
5.805%, 05/01/2050 | 720,000 | 969,574 | |||
TransDigm, Inc. 5.500%, 11/15/2027 | 688,000 | 717,240 | |||
TriNet Group, Inc. 3.500%, 03/01/2029 (D) | 211,000 | 208,046 | |||
TTX Company 4.200%, 07/01/2046 (D) | 700,000 | 830,542 | |||
Tutor Perini Corp. 6.875%, 05/01/2025 (D)(E) | 195,000 | 200,606 | |||
Uber Technologies, Inc. 7.500%, 05/15/2025 to 09/15/2027 (D) | 777,000 | 847,835 | |||
Union Pacific Corp. 4.163%, 07/15/2022 | 1,137,000 | 1,171,515 | |||
United Airlines 2014-2 Class A Pass Through Trust 3.750%, 09/03/2026 | 360,415 | 381,139 | |||
United Airlines 2014-2 Class B Pass Through Trust 4.625%, 09/03/2022 | 139,619 | 141,714 | |||
United Airlines 2016-1 Class A Pass Through Trust 3.450%, 07/07/2028 | 406,030 | 411,106 | |||
United Airlines 2016-1 Class B Pass Through Trust 3.650%, 01/07/2026 | 436,917 | 433,640 | |||
United Airlines 2018-1 Class B Pass Through Trust 4.600%, 03/01/2026 | 124,903 | 127,714 | |||
United Airlines 2019-1 Class A Pass Through Trust 4.550%, 08/25/2031 | 210,830 | 226,193 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Industrials (continued) | |||||
United Airlines 2020-1 Class A Pass Through Trust 5.875%, 10/15/2027 | $ | 874,566 | $ | 972,518 | |
United Airlines 2020-1 Class B Pass Through Trust 4.875%, 01/15/2026 | 209,628 | 222,308 | |||
United Airlines, Inc. | |||||
4.375%, 04/15/2026 (D) | 31,000 | 32,091 | |||
4.625%, 04/15/2029 (D) | 70,000 | 72,450 | |||
United Rentals North America, Inc. | |||||
3.875%, 11/15/2027 to 02/15/2031 | 390,000 | 404,369 | |||
4.875%, 01/15/2028 | 373,000 | 395,567 | |||
US Airways 2010-1 Class A Pass Through Trust 6.250%, 04/22/2023 | 67,338 | 69,021 | |||
Verisk Analytics, Inc. 4.125%, 03/15/2029 | 400,000 | 453,706 | |||
Wabtec Corp. 3.200%, 06/15/2025 | 500,000 | 531,750 | |||
Watco Companies LLC 6.500%, 06/15/2027 (D) | 52,000 | 55,640 | |||
Williams Scotsman International, Inc. 4.625%, 08/15/2028 (D) | 72,000 | 74,354 | |||
XPO Logistics, Inc. 6.250%, 05/01/2025 (D) | 40,000 | 42,550 | |||
41,420,580 | |||||
Information technology – 3.9% | |||||
Atento Luxco 1 SA 8.000%, 02/10/2026 (D) | 135,000 | 146,889 | |||
Autodesk, Inc. 2.850%, 01/15/2030 | 204,000 | 215,248 | |||
Broadcom Corp. 3.875%, 01/15/2027 | 379,000 | 418,787 | |||
Broadcom, Inc. | |||||
2.450%, 02/15/2031 (D) | 1,000,000 | 982,695 | |||
3.419%, 04/15/2033 (D) | 820,000 | 861,135 | |||
3.469%, 04/15/2034 (D) | 421,000 | 445,315 | |||
4.700%, 04/15/2025 | 400,000 | 450,626 | |||
4.750%, 04/15/2029 | 1,594,000 | 1,854,232 | |||
5.000%, 04/15/2030 | 644,000 | 759,773 | |||
CDW LLC 3.250%, 02/15/2029 | 149,000 | 150,967 | |||
Clarivate Science Holdings Corp. | |||||
3.875%, 06/30/2028 (D) | 96,000 | 96,875 | |||
4.875%, 06/30/2029 (D) | 98,000 | 100,573 | |||
Crowdstrike Holdings, Inc. 3.000%, 02/15/2029 | 56,000 | 56,053 | |||
Dell International LLC | |||||
4.900%, 10/01/2026 | 532,000 | 613,973 | |||
5.300%, 10/01/2029 | 1,309,000 | 1,579,481 | |||
5.850%, 07/15/2025 | 195,000 | 228,777 | |||
8.350%, 07/15/2046 | 359,000 | 587,182 | |||
Fiserv, Inc. | |||||
2.250%, 06/01/2027 | 400,000 | 414,933 | |||
3.850%, 06/01/2025 | 614,000 | 675,495 | |||
Fortinet, Inc. 2.200%, 03/15/2031 | 1,000,000 | 997,315 | |||
Gartner, Inc. | |||||
3.625%, 06/15/2029 (D) | 116,000 | 117,740 | |||
3.750%, 10/01/2030 (D) | 72,000 | 73,664 | |||
4.500%, 07/01/2028 (D) | 374,000 | 394,989 | |||
Infor, Inc. 1.750%, 07/15/2025 (D) | 151,000 | 154,058 | |||
j2 Global, Inc. 4.625%, 10/15/2030 (D) | 230,000 | 238,119 |
The accompanying notes are an integral part of the financial statements. | 10 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Information technology (continued) | |||||
Jabil, Inc. 3.600%, 01/15/2030 | $ | 180,000 | $ | 194,769 | |
KLA Corp. 4.100%, 03/15/2029 | 340,000 | 392,498 | |||
Lam Research Corp. 4.875%, 03/15/2049 | 359,000 | 484,134 | |||
Marvell Technology, Inc. | |||||
2.450%, 04/15/2028 (D) | 520,000 | 529,989 | |||
4.875%, 06/22/2028 (D) | 465,000 | 537,540 | |||
Micron Technology, Inc. | |||||
4.185%, 02/15/2027 | 1,038,000 | 1,170,842 | |||
4.663%, 02/15/2030 | 1,000,000 | 1,162,350 | |||
4.975%, 02/06/2026 | 225,000 | 258,611 | |||
5.327%, 02/06/2029 | 1,673,000 | 2,020,764 | |||
Microsoft Corp. 2.525%, 06/01/2050 | 359,000 | 352,711 | |||
Motorola Solutions, Inc. | |||||
2.300%, 11/15/2030 | 531,000 | 521,460 | |||
2.750%, 05/24/2031 | 568,000 | 579,751 | |||
4.600%, 02/23/2028 to 05/23/2029 | 395,000 | 460,381 | |||
NVIDIA Corp. 2.850%, 04/01/2030 | 436,000 | 471,959 | |||
NXP BV | |||||
3.250%, 05/11/2041 (D) | 178,000 | 183,014 | |||
3.875%, 06/18/2026 (D) | 647,000 | 716,584 | |||
Oracle Corp. 2.950%, 04/01/2030 | 858,000 | 903,831 | |||
PayPal Holdings, Inc. | |||||
2.300%, 06/01/2030 | 400,000 | 413,962 | |||
2.850%, 10/01/2029 | 1,818,000 | 1,960,647 | |||
PTC, Inc. 4.000%, 02/15/2028 (D) | 76,000 | 78,508 | |||
Qorvo, Inc. 3.375%, 04/01/2031 (D) | 197,000 | 205,317 | |||
QUALCOMM, Inc. 1.650%, 05/20/2032 | 566,000 | 539,483 | |||
Sabre GLBL, Inc. 7.375%, 09/01/2025 (D) | 209,000 | 227,288 | |||
Skyworks Solutions, Inc. 3.000%, 06/01/2031 | 126,000 | 128,786 | |||
Square, Inc. | |||||
2.750%, 06/01/2026 (D) | 92,000 | 93,610 | |||
3.500%, 06/01/2031 (D) | 126,000 | 127,103 | |||
Tempo Acquisition LLC 6.750%, 06/01/2025 (D) | 136,000 | 138,296 | |||
VeriSign, Inc. | |||||
2.700%, 06/15/2031 | 256,000 | 260,078 | |||
5.250%, 04/01/2025 | 205,000 | 232,816 | |||
Visa, Inc. | |||||
2.050%, 04/15/2030 | 400,000 | 411,000 | |||
2.700%, 04/15/2040 | 221,000 | 228,454 | |||
Xerox Holdings Corp. 5.500%, 08/15/2028 (D) | 332,000 | 344,945 | |||
28,946,375 | |||||
Materials – 1.9% | |||||
Amcor Flexibles North America, Inc. 3.100%, 09/15/2026 | 500,000 | 506,119 | |||
Anglo American Capital PLC 4.750%, 04/10/2027 (D) | 215,000 | 247,128 | |||
Arconic Corp. | |||||
6.000%, 05/15/2025 (D) | 117,000 | 124,695 | |||
6.125%, 02/15/2028 (D) | 168,000 | 180,217 | |||
Ardagh Packaging Finance PLC 6.000%, 02/15/2025 (D) | 190,000 | 195,985 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Materials (continued) | |||||
Braskem Netherlands Finance BV 4.500%, 01/31/2030 (D) | $ | 249,000 | $ | 259,438 | |
Braskem Netherlands Finance BV (8.500% to 10-24-25, then 5 Year CMT + 8.220%) 01/23/2081 (D) | 364,000 | 424,064 | |||
Cemex SAB de CV | |||||
3.875%, 07/11/2031 (D)(E) | 250,000 | 254,125 | |||
5.200%, 09/17/2030 (D) | 329,000 | 361,768 | |||
7.375%, 06/05/2027 (D) | 250,000 | 282,200 | |||
CF Industries, Inc. 4.950%, 06/01/2043 | 175,000 | 206,866 | |||
Commercial Metals Company 5.375%, 07/15/2027 | 122,000 | 129,015 | |||
CSN Islands XI Corp. 6.750%, 01/28/2028 (D) | 300,000 | 331,800 | |||
CVR Partners LP 6.125%, 06/15/2028 (D) | 110,000 | 112,750 | |||
Cydsa SAB de CV 6.250%, 10/04/2027 (D) | 350,000 | 368,813 | |||
First Quantum Minerals, Ltd. | |||||
6.875%, 03/01/2026 to 10/15/2027 (D) | 404,000 | 432,610 | |||
7.500%, 04/01/2025 (D) | 226,000 | 234,475 | |||
FMG Resources August 2006 Pty, Ltd. 4.375%, 04/01/2031 (D) | 279,000 | 298,483 | |||
Freeport-McMoRan, Inc. | |||||
4.625%, 08/01/2030 | 297,000 | 325,215 | |||
5.450%, 03/15/2043 | 764,000 | 933,852 | |||
FS Luxembourg Sarl 10.000%, 12/15/2025 (D) | 324,000 | 362,478 | |||
Georgia-Pacific LLC 2.300%, 04/30/2030 (D) | 243,000 | 248,196 | |||
Graham Packaging Company, Inc. 7.125%, 08/15/2028 (D) | 24,000 | 25,860 | |||
Hudbay Minerals, Inc. 4.500%, 04/01/2026 (D) | 66,000 | 66,248 | |||
Huntsman International LLC 4.500%, 05/01/2029 | 500,000 | 568,473 | |||
International Flavors & Fragrances, Inc. 1.832%, 10/15/2027 (D) | 153,000 | 152,565 | |||
JW Aluminum Continuous Cast Company 10.250%, 06/01/2026 (D) | 135,000 | 141,750 | |||
Mauser Packaging Solutions Holding Company 8.500%, 04/15/2024 (D) | 54,000 | 55,890 | |||
Methanex Corp. | |||||
4.250%, 12/01/2024 | 293,000 | 310,382 | |||
5.650%, 12/01/2044 | 450,000 | 465,534 | |||
Newmont Corp. 2.800%, 10/01/2029 | 223,000 | 234,946 | |||
Novelis Corp. 4.750%, 01/30/2030 (D) | 410,000 | 430,500 | |||
Orbia Advance Corp. SAB de CV 5.500%, 01/15/2048 (D) | 315,000 | 369,023 | |||
Owens-Brockway Glass Container, Inc. 6.625%, 05/13/2027 (D) | 173,000 | 188,138 | |||
Reynolds Group Issuer, Inc. 4.000%, 10/15/2027 (D) | 362,000 | 359,492 | |||
Sasol Financing USA LLC 5.500%, 03/18/2031 | 425,000 | 447,738 | |||
Standard Industries, Inc. | |||||
3.375%, 01/15/2031 (D) | 142,000 | 135,924 | |||
5.000%, 02/15/2027 (D) | 73,000 | 75,601 | |||
The Mosaic Company 4.250%, 11/15/2023 | 600,000 | 644,430 |
The accompanying notes are an integral part of the financial statements. | 11 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Materials (continued) | |||||
The Sherwin-Williams Company 4.200%, 01/15/2022 | $ | 1,000,000 | $ | 1,010,766 | |
Trident TPI Holdings, Inc. 6.625%, 11/01/2025 (D) | 35,000 | 35,875 | |||
Trinseo Materials Operating SCA 5.125%, 04/01/2029 (D) | 211,000 | 215,748 | |||
Tronox, Inc. 4.625%, 03/15/2029 (D) | 242,000 | 244,415 | |||
U.S. Concrete, Inc. 5.125%, 03/01/2029 (D) | 128,000 | 139,840 | |||
Valvoline, Inc. 3.625%, 06/15/2031 (D) | 298,000 | 298,000 | |||
Volcan Cia Minera SAA 4.375%, 02/11/2026 (D) | 69,000 | 68,310 | |||
Vulcan Materials Company 3.500%, 06/01/2030 | 338,000 | 372,578 | |||
WR Grace & Company 4.875%, 06/15/2027 (D) | 143,000 | 151,623 | |||
14,029,941 | |||||
Real estate – 3.1% | |||||
American Homes 4 Rent LP 4.250%, 02/15/2028 | 470,000 | 527,569 | |||
American Tower Corp. | |||||
3.550%, 07/15/2027 | 662,000 | 727,215 | |||
3.800%, 08/15/2029 | 280,000 | 311,982 | |||
5.000%, 02/15/2024 | 670,000 | 743,060 | |||
Columbia Property Trust Operating Partnership LP 4.150%, 04/01/2025 | 600,000 | 646,044 | |||
Crown Castle International Corp. | |||||
2.250%, 01/15/2031 | 279,000 | 275,381 | |||
3.300%, 07/01/2030 | 532,000 | 569,928 | |||
3.650%, 09/01/2027 | 555,000 | 611,939 | |||
3.700%, 06/15/2026 | 500,000 | 549,830 | |||
3.800%, 02/15/2028 | 225,000 | 249,993 | |||
4.150%, 07/01/2050 | 508,000 | 580,000 | |||
CubeSmart LP 4.375%, 02/15/2029 | 600,000 | 686,184 | |||
CyrusOne LP | |||||
2.150%, 11/01/2030 | 190,000 | 180,256 | |||
3.450%, 11/15/2029 | 394,000 | 418,473 | |||
EPR Properties 4.950%, 04/15/2028 | 350,000 | 378,015 | |||
Equinix, Inc. | |||||
1.550%, 03/15/2028 | 444,000 | 435,965 | |||
1.800%, 07/15/2027 | 255,000 | 258,096 | |||
2.500%, 05/15/2031 | 693,000 | 704,801 | |||
2.900%, 11/18/2026 | 1,000,000 | 1,069,687 | |||
3.200%, 11/18/2029 | 609,000 | 653,216 | |||
ERP Operating LP 3.375%, 06/01/2025 | 300,000 | 324,369 | |||
Essex Portfolio LP 3.625%, 05/01/2027 | 500,000 | 551,969 | |||
GLP Capital LP 5.375%, 04/15/2026 | 382,000 | 439,686 | |||
Healthcare Trust of America Holdings LP | |||||
3.500%, 08/01/2026 | 500,000 | 549,218 | |||
3.750%, 07/01/2027 | 600,000 | 666,737 | |||
Host Hotels & Resorts LP | |||||
3.375%, 12/15/2029 | 505,000 | 529,304 | |||
3.500%, 09/15/2030 | 347,000 | 364,131 | |||
4.500%, 02/01/2026 | 214,000 | 235,083 | |||
Iron Mountain, Inc. | |||||
4.875%, 09/15/2029 (D) | 195,000 | 201,279 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Real estate (continued) | |||||
Iron Mountain, Inc. (continued) | |||||
5.250%, 07/15/2030 (D) | $ | 261,000 | $ | 276,289 | |
MGM Growth Properties Operating Partnership LP 3.875%, 02/15/2029 (D) | 207,000 | 210,223 | |||
Mid-America Apartments LP 3.950%, 03/15/2029 | 700,000 | 793,586 | |||
Piedmont Operating Partnership LP 4.450%, 03/15/2024 | 500,000 | 538,849 | |||
RHP Hotel Properties LP 4.500%, 02/15/2029 (D) | 239,000 | 239,196 | |||
RLJ Lodging Trust LP 3.750%, 07/01/2026 (D) | 149,000 | 150,490 | |||
SBA Communications Corp. | |||||
3.875%, 02/15/2027 | 353,000 | 362,497 | |||
4.875%, 09/01/2024 | 700,000 | 712,250 | |||
SBA Tower Trust 2.836%, 01/15/2025 (D) | 416,000 | 436,412 | |||
SL Green Operating Partnership LP 3.250%, 10/15/2022 | 500,000 | 514,640 | |||
STORE Capital Corp. 2.750%, 11/18/2030 | 500,000 | 503,308 | |||
Uniti Group LP 6.500%, 02/15/2029 (D) | 141,000 | 141,353 | |||
Ventas Realty LP 4.750%, 11/15/2030 | 1,000,000 | 1,189,383 | |||
VICI Properties LP | |||||
4.125%, 08/15/2030 (D) | 212,000 | 217,686 | |||
4.625%, 12/01/2029 (D) | 260,000 | 276,250 | |||
Weingarten Realty Investors 3.375%, 10/15/2022 | 1,050,000 | 1,079,864 | |||
Welltower, Inc. 2.700%, 02/15/2027 | 400,000 | 424,471 | |||
XHR LP 4.875%, 06/01/2029 (D) | 107,000 | 110,478 | |||
22,616,635 | |||||
Utilities – 2.0% | |||||
ABY Transmision Sur SA 6.875%, 04/30/2043 (D) | 211,926 | 269,943 | |||
AES Panama Generation Holdings SRL 4.375%, 05/31/2030 (D) | 303,000 | 316,682 | |||
Ameren Corp. 3.500%, 01/15/2031 | 1,000,000 | 1,094,931 | |||
AmeriGas Partners LP 5.500%, 05/20/2025 | 275,000 | 301,813 | |||
Arizona Public Service Company 5.500%, 09/01/2035 | 1,118,000 | 1,455,474 | |||
CenterPoint Energy Houston Electric LLC 6.950%, 03/15/2033 | 535,000 | 756,713 | |||
Consolidated Edison Company of New York, Inc. | |||||
3.350%, 04/01/2030 | 500,000 | 549,490 | |||
3.950%, 04/01/2050 | 500,000 | 567,690 | |||
Dominion Energy, Inc. | |||||
3.375%, 04/01/2030 | 662,000 | 720,859 | |||
3.600%, 03/15/2027 | 500,000 | 553,232 | |||
DPL, Inc. 4.125%, 07/01/2025 | 216,000 | 231,660 | |||
Edison International 3.550%, 11/15/2024 | 700,000 | 744,000 | |||
Emera US Finance LP 3.550%, 06/15/2026 | 248,000 | 270,866 | |||
FirstEnergy Corp. 2.650%, 03/01/2030 | 254,000 | 252,976 |
The accompanying notes are an integral part of the financial statements. | 12 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Utilities (continued) | |||||
Infraestructura Energetica Nova SAB de CV 4.750%, 01/15/2051 (D) | $ | 519,000 | $ | 525,488 | |
Instituto Costarricense de Electricidad 6.375%, 05/15/2043 (D)(E) | 210,000 | 184,275 | |||
Israel Electric Corp., Ltd. 6.875%, 06/21/2023 (D) | 95,000 | 105,885 | |||
NextEra Energy Capital Holdings, Inc. 3.550%, 05/01/2027 | 677,000 | 747,478 | |||
NextEra Energy Operating Partners LP | |||||
3.875%, 10/15/2026 (D) | 243,000 | 256,669 | |||
4.500%, 09/15/2027 (D) | 201,000 | 217,512 | |||
NiSource, Inc. 3.600%, 05/01/2030 | 208,000 | 230,299 | |||
NRG Energy, Inc. | |||||
2.450%, 12/02/2027 (D) | 374,000 | 376,405 | |||
3.375%, 02/15/2029 (D) | 62,000 | 60,684 | |||
3.625%, 02/15/2031 (D) | 175,000 | 171,973 | |||
4.450%, 06/15/2029 (D) | 257,000 | 283,671 | |||
Oncor Electric Delivery Company LLC 4.100%, 06/01/2022 | 750,000 | 768,469 | |||
Southern California Edison Company 3.700%, 08/01/2025 | 1,000,000 | 1,089,198 | |||
Suburban Propane Partners LP 5.000%, 06/01/2031 (D) | 176,000 | 180,180 | |||
Vistra Operations Company LLC | |||||
3.700%, 01/30/2027 (D) | 623,000 | 665,620 | |||
4.300%, 07/15/2029 (D) | 545,000 | 592,371 | |||
14,542,506 | |||||
TOTAL CORPORATE BONDS (Cost $326,819,534) | $ | 356,011,730 | |||
CAPITAL PREFERRED SECURITIES – 0.2% | |||||
Financials – 0.2% | |||||
Truist Bank (Greater of 3 month LIBOR + 0.645% or 4.000%) 4.000%, 12/15/2024 (B)(F) | 425,000 | 430,313 | |||
USB Capital IX (Greater of 3 month LIBOR + 1.020% or 3.500%) 3.500%, 08/02/2021 (B)(F) | 1,045,000 | 1,034,550 | |||
1,464,863 | |||||
TOTAL CAPITAL PREFERRED SECURITIES (Cost $1,389,217) | $ | 1,464,863 | |||
MUNICIPAL BONDS – 0.6% | |||||
Foothill-Eastern Transportation Corridor Agency (California) 4.094%, 01/15/2049 | 1,000,000 | 1,058,630 | |||
New Jersey Transportation Trust Fund Authority | |||||
4.081%, 06/15/2039 | 393,000 | 443,462 | |||
4.131%, 06/15/2042 | 40,000 | 45,541 | |||
Sales Tax Securitization Corp. (Illinois) 4.637%, 01/01/2040 | 465,000 | 567,982 | |||
State Board of Administration Finance Corp. (Florida) 1.705%, 07/01/2027 | 586,000 | 595,485 | |||
State of Connecticut, GO 2.677%, 07/01/2030 | 250,000 | 269,502 | |||
The School District of Philadelphia (Pennsylvania), GO | |||||
5.995%, 09/01/2030 | 315,000 | 399,713 | |||
6.765%, 06/01/2040 | 1,010,000 | 1,409,593 | |||
TOTAL MUNICIPAL BONDS (Cost $4,392,167) | $ | 4,789,908 |
Shares or Principal Amount | Value | ||||
TERM LOANS (I) – 0.0% | |||||
Information technology – 0.0% | |||||
CoreLogic, Inc., Term Loan (1 month LIBOR + 3.500%) 4.000%, 06/02/2028 | $ | 305,000 | $ | 303,933 | |
TOTAL TERM LOANS (Cost $303,482) | $ | 303,933 | |||
COLLATERALIZED MORTGAGE OBLIGATIONS – 7.5% | |||||
Commercial and residential – 5.4% | |||||
Angel Oak Mortgage Trust LLC Series 2021-2, Class A1 0.985%, 04/25/2066 (D)(J) | 252,053 | 251,795 | |||
AOA Mortgage Trust Series 2015-1177, Class C 3.110%, 12/13/2029 (D)(J) | 120,000 | 119,968 | |||
Arbor Multifamily Mortgage Securities Trust Series 2020-MF1, Class XA IO 1.086%, 05/15/2053 (D) | 4,346,727 | 309,231 | |||
Arroyo Mortgage Trust | |||||
Series 2018-1, Class A1, 3.763%, 04/25/2048 (D)(J) | 1,452 | 1,452 | |||
Series 2021-1R, Class A1, 1.175%, 10/25/2048 (D)(J) | 379,000 | 379,467 | |||
BAMLL Commercial Mortgage Securities Trust Series 2019-BPR, Class ENM 3.843%, 11/05/2032 (D)(J) | 231,000 | 201,055 | |||
BAMLL Re-REMIC Trust Series 2014-FRR4, Class BK23 2.503%, 09/27/2022 (D)(K) | 500,000 | 484,652 | |||
BANK | |||||
Series 2019-BN20, Class ASB, 2.933%, 09/15/2062 | 400,000 | 430,718 | |||
Series 2021-BN34, Class XA IO, 0.980%, 06/15/2063 | 12,781,840 | 1,003,971 | |||
Bayview Commercial Asset Trust Series 2005-4A, Class A2 (1 month LIBOR + 0.585%) 0.677%, 01/25/2036 (B)(D) | 127,991 | 123,447 | |||
BBCMS Mortgage Trust Series 2020-C6, Class A2 2.690%, 02/15/2053 | 206,000 | 214,370 | |||
BBCMS Trust | |||||
Series 2015-MSQ, Class D, 4.123%, 09/15/2032 (D)(J) | 140,000 | 142,615 | |||
Series 2015-SRCH, Class D, 5.122%, 08/10/2035 (D)(J) | 264,000 | 295,416 | |||
Bear Stearns Asset Backed Securities Trust Series 2003-AC4, Class A 5.500%, 09/25/2033 | 346,834 | 355,628 | |||
Benchmark Mortgage Trust | |||||
Series 2019-B12, Class A2, 3.001%, 08/15/2052 | 410,000 | 429,584 | |||
Series 2019-B15, Class XA IO, 0.943%, 12/15/2072 | 9,933,462 | 546,376 | |||
Bravo Residential Funding Trust Series 2021-NQM1, Class A1 0.941%, 02/25/2049 (D)(J) | 245,848 | 245,287 | |||
BWAY Mortgage Trust Series 2015-1740, Class XA IO 1.023%, 01/10/2035 (D) | 3,705,000 | 17,941 | |||
BX Commercial Mortgage Trust | |||||
Series 2018-BIOA, Class D (1 month LIBOR + 1.321%), 1.394%, 03/15/2037 (B)(D) | 341,000 | 341,420 |
The accompanying notes are an integral part of the financial statements. | 13 |
Shares or Principal Amount | Value | ||||
COLLATERALIZED MORTGAGE OBLIGATIONS (continued) | |||||
Commercial and residential (continued) | |||||
BX Commercial Mortgage Trust (continued) | |||||
Series 2020-VKNG, Class A (1 month LIBOR + 0.930%), 1.003%, 10/15/2037 (B)(D) | $ | 452,000 | $ | 452,568 | |
CAMB Commercial Mortgage Trust | |||||
Series 2019-LIFE, Class D (1 month LIBOR + 1.750%), 1.823%, 12/15/2037 (B)(D) | 121,000 | 121,188 | |||
Series 2019-LIFE, Class F (1 month LIBOR + 2.550%), 2.623%, 12/15/2037 (B)(D) | 186,000 | 186,463 | |||
CD Mortgage Trust Series 2017-CD3, Class A4 3.631%, 02/10/2050 | 800,000 | 884,171 | |||
CFCRE Commercial Mortgage Trust Series 2017-C8, Class C 5.109%, 06/15/2050 (J) | 500,000 | 537,905 | |||
CHL Mortgage Pass-Through Trust Series 2004-HYB2, Class 4A 2.424%, 07/20/2034 (J) | 482,146 | 488,241 | |||
Citigroup Commercial Mortgage Trust | |||||
Series 2018-C5, Class A3, 3.963%, 06/10/2051 | 556,620 | 605,956 | |||
Series 2018-C5, Class XA IO, 0.693%, 06/10/2051 | 15,348,948 | 590,322 | |||
Series 2019-C7, Class XA IO, 1.003%, 12/15/2072 | 15,915,700 | 988,008 | |||
Series 2019-PRM, Class A, 3.341%, 05/10/2036 (D) | 257,000 | 272,824 | |||
Series 2019-SMRT, Class A, 4.149%, 01/10/2036 (D) | 157,000 | 168,593 | |||
Cold Storage Trust Series 2020-ICE5, Class D (1 month LIBOR + 2.100%) 2.173%, 11/15/2037 (B)(D) | 491,495 | 493,344 | |||
COLT Trust Series 2020-RPL1, Class A1 1.390%, 01/25/2065 (D)(J) | 667,899 | 671,994 | |||
Commercial Mortgage Trust (Bank of America Merrill Lynch/Deutsche Bank AG) Series 2013-WWP, Class A2 3.424%, 03/10/2031 (D) | 1,400,000 | 1,462,137 | |||
Commercial Mortgage Trust (Cantor Fitzgerald/Deutsche Bank AG) | |||||
Series 2012-CR2, Class XA IO, 1.776%, 08/15/2045 | 8,972,232 | 87,797 | |||
Series 2012-CR3, Class XA IO, 1.997%, 10/15/2045 | 8,947,459 | 131,966 | |||
Series 2013-CR8, Class A5, 3.612%, 06/10/2046 (J) | 330,000 | 346,824 | |||
Series 2013-CR8, Class AM, 3.925%, 06/10/2046 (D)(J) | 1,000,000 | 1,051,276 | |||
Series 2014-CR15, Class C, 4.865%, 02/10/2047 (J) | 800,000 | 860,611 | |||
Series 2014-CR15, Class XA IO, 0.864%, 02/10/2047 | 5,135,442 | 88,754 | |||
Series 2014-CR16, Class C, 5.090%, 04/10/2047 (J) | 400,000 | 422,407 | |||
Series 2015-CR27, Class A4, 3.612%, 10/10/2048 | 1,000,000 | 1,092,616 |
Shares or Principal Amount | Value | ||||
COLLATERALIZED MORTGAGE OBLIGATIONS (continued) | |||||
Commercial and residential (continued) | |||||
Commercial Mortgage Trust (Citigroup/Deutsche Bank AG) Series 2018-COR3, Class XA IO 0.582%, 05/10/2051 | $ | 5,021,625 | $ | 139,340 | |
Commercial Mortgage Trust (Deutsche Bank AG) | |||||
Series 2012-LC4, Class XA IO, 2.278%, 12/10/2044 (D) | 3,700,804 | 11,571 | |||
Series 2013-300P, Class D, 4.540%, 08/10/2030 (D)(J) | 307,000 | 317,856 | |||
Series 2013-300P, Class E, 4.540%, 08/10/2030 (D)(J) | 700,000 | 708,216 | |||
Series 2017-PANW, Class A, 3.244%, 10/10/2029 (D) | 89,000 | 92,573 | |||
Series 2020-CBM, Class A2, 2.896%, 02/10/2037 (D) | 279,000 | 283,849 | |||
Commercial Mortgage Trust (Deutsche Bank AG/UBS AG) Series 2014-UBS2, Class XA IO 1.290%, 03/10/2047 | 3,538,713 | 87,570 | |||
Credit Suisse Mortgage Capital Certificates | |||||
Series 2019-AFC1, Class A1, 2.573%, 07/25/2049 (D) | 209,174 | 211,793 | |||
Series 2019-ICE4, Class D (1 month LIBOR + 1.600%), 1.673%, 05/15/2036 (B)(D) | 460,000 | 460,721 | |||
Series 2020-AFC1, Class A1, 2.240%, 02/25/2050 (D)(J) | 248,018 | 250,924 | |||
Series 2020-NET, Class A, 2.257%, 08/15/2037 (D) | 106,000 | 109,431 | |||
Series 2021-NQM2, Class A1, 1.179%, 02/25/2066 (D)(J) | 391,559 | 391,641 | |||
Series 2021-NQM3, Class A1, 1.015%, 04/25/2066 (D)(J) | 312,600 | 312,086 | |||
CSAIL Commercial Mortgage Trust | |||||
Series 2019-C17, Class A4, 2.763%, 09/15/2052 | 425,000 | 446,300 | |||
Series 2019-C18, Class E, 2.500%, 12/15/2052 (D) | 265,000 | 232,848 | |||
DSLA Mortgage Loan Trust Series 2004-AR3, Class 2A2B (1 month LIBOR + 0.900%) 0.993%, 07/19/2044 (B) | 400,919 | 381,401 | |||
Ellington Financial Mortgage Trust | |||||
Series 2021-1, Class A1, 0.797%, 02/25/2066 (D)(J) | 218,244 | 217,617 | |||
Series 2021-2, Class A1, 0.931%, 06/25/2066 (D)(J) | 333,414 | 332,629 | |||
Flagstar Mortgage Trust Series 2021-1, Class A2 2.500%, 02/01/2051 (D)(J) | 612,579 | 621,567 | |||
FREMF Mortgage Trust | |||||
Series 2016-K54, Class C, 4.189%, 04/25/2048 (D)(J) | 290,000 | 311,298 | |||
Series 2017-K67, Class B, 4.079%, 09/25/2049 (D)(J) | 485,000 | 538,161 | |||
Series 2019-KF69, Class B (1 month LIBOR + 2.300%), 2.386%, 08/25/2029 (B)(D) | 349,212 | 349,704 | |||
GCAT Trust | |||||
Series 2021-NQM1, Class A1, 0.874%, 01/25/2066 (D)(J) | 386,545 | 384,992 |
The accompanying notes are an integral part of the financial statements. | 14 |
Shares or Principal Amount | Value | ||||
COLLATERALIZED MORTGAGE OBLIGATIONS (continued) | |||||
Commercial and residential (continued) | |||||
GCAT Trust (continued) | |||||
Series 2021-NQM2, Class A1, 1.036%, 05/25/2066 (D)(J) | $ | 259,000 | $ | 258,467 | |
Series 2021-NQM3, Class A1, 1.091%, 05/25/2066 (D)(J) | 427,000 | 427,339 | |||
GS Mortgage Securities Trust | |||||
Series 2005-GG4, Class XC IO, 1.834%, 07/10/2039 (D) | 356,737 | 119 | |||
Series 2013-GC10, Class C, 4.285%, 02/10/2046 (D)(J) | 859,800 | 886,880 | |||
Series 2015-590M, Class C, 3.932%, 10/10/2035 (D)(J) | 150,000 | 155,663 | |||
Series 2017-485L, Class C, 4.115%, 02/10/2037 (D)(J) | 85,000 | 88,273 | |||
Series 2020-UPTN, Class A, 2.751%, 02/10/2037 (D) | 256,000 | 268,454 | |||
GS Mortgage-Backed Securities Corp. Trust Series 2021-NQM1, Class A1 1.017%, 07/25/2061 (D)(J) | 240,973 | 240,785 | |||
HarborView Mortgage Loan Trust | |||||
Series 2007-3, Class ES IO, 0.350%, 05/19/2047 (D) | 9,989,539 | 104,314 | |||
Series 2007-4, Class ES IO, 0.350%, 07/19/2047 | 10,714,200 | 143,013 | |||
Series 2007-6, Class ES IO, 0.343%, 08/19/2037 (D) | 10,067,672 | 142,684 | |||
Hilton Orlando Trust Series 2018-ORL, Class B (1 month LIBOR + 1.200%) 1.273%, 12/15/2034 (B)(D) | 1,000,000 | 1,000,596 | |||
Imperial Fund Mortgage Trust Series 2021-NQM1, Class A1 1.071%, 06/25/2056 (D)(J) | 248,550 | 248,311 | |||
IMT Trust | |||||
Series 2017-APTS, Class AFX, 3.478%, 06/15/2034 (D) | 107,000 | 113,500 | |||
Series 2017-APTS, Class CFX, 3.613%, 06/15/2034 (D)(J) | 123,000 | 128,512 | |||
Irvine Core Office Trust | |||||
Series 2013-IRV, Class A2, 3.279%, 05/15/2048 (D)(J) | 255,000 | 266,214 | |||
Series 2013-IRV, Class XA IO, 1.211%, 05/15/2048 (D) | 4,818,156 | 49,542 | |||
JPMBB Commercial Mortgage Securities Trust Series 2013-C14, Class XA IO 0.565%, 08/15/2046 | 4,590,544 | 33,465 | |||
JPMorgan Chase Commercial Mortgage Securities Trust | |||||
Series 2006-LDP8, Class X IO, 0.297%, 05/15/2045 | 197,955 | 2 | |||
Series 2012-HSBC, Class XA IO, 1.582%, 07/05/2032 (D) | 9,759,212 | 107,311 | |||
Series 2020-NNN, Class AFX, 2.812%, 01/16/2037 (D) | 258,000 | 265,920 | |||
KNDL Mortgage Trust Series 2019-KNSQ, Class D (1 month LIBOR + 1.350%) 1.423%, 05/15/2036 (B)(D) | 187,000 | 187,057 |
Shares or Principal Amount | Value | ||||
COLLATERALIZED MORTGAGE OBLIGATIONS (continued) | |||||
Commercial and residential (continued) | |||||
Life Mortgage Trust | |||||
Series 2021-BMR, Class A (1 month LIBOR + 0.700%), 0.773%, 03/15/2038 (B)(D) | $ | 346,000 | $ | 346,416 | |
Series 2021-BMR, Class D (1 month LIBOR + 1.400%), 1.473%, 03/15/2038 (B)(D) | 270,000 | 271,029 | |||
Series 2021-BMR, Class E (1 month LIBOR + 1.750%), 1.823%, 03/15/2038 (B)(D) | 1,000,000 | 1,003,111 | |||
MASTR Adjustable Rate Mortgages Trust | |||||
Series 2004-13, Class 2A1, 2.701%, 04/21/2034 (J) | 83,769 | 83,948 | |||
Series 2004-8, Class 5A1, 2.655%, 08/25/2034 (J) | 90,005 | 90,208 | |||
MASTR Alternative Loan Trust Series 2004-4, Class 8A1 6.500%, 05/25/2034 | 203,743 | 211,744 | |||
Merrill Lynch Mortgage Investors Trust Series 2005-A, Class A1 (1 month LIBOR + 0.460%) 0.552%, 03/25/2030 (B) | 18,160 | 18,135 | |||
Merrill Lynch Mortgage Trust Series 2008-C1, Class X IO 0.000%, 02/12/2051 (D) | 2,715,955 | 27 | |||
MFA Trust | |||||
Series 2020-NQM3, Class A1, 1.014%, 01/26/2065 (D)(J) | 243,180 | 243,358 | |||
Series 2021-NQM1, Class A1, 1.153%, 04/25/2065 (D)(J) | 328,148 | 327,626 | |||
Morgan Stanley Bank of America Merrill Lynch Trust | |||||
Series 2012-C5, Class XA IO, 1.539%, 08/15/2045 (D) | 9,141,919 | 81,324 | |||
Series 2012-C6, Class XA IO, 1.752%, 11/15/2045 (D) | 5,528,485 | 65,600 | |||
Series 2013-C7, Class XA IO, 1.459%, 02/15/2046 | 10,290,944 | 162,809 | |||
Series 2014-C17, Class XA IO, 1.228%, 08/15/2047 | 10,291,348 | 227,984 | |||
Morgan Stanley Capital I Trust | |||||
Series 2011-C3, Class XA IO, 0.000%, 07/15/2049 (D) | 790,392 | 8 | |||
Series 2017-CLS, Class D (1 month LIBOR + 1.400%), 1.473%, 11/15/2034 (B)(D) | 298,000 | 298,094 | |||
Series 2019-L3, Class XA IO, 0.764%, 11/15/2052 | 21,441,544 | 1,022,449 | |||
Natixis Commercial Mortgage Securities Trust | |||||
Series 2018-285M, Class D, 3.917%, 11/15/2032 (D)(J) | 135,000 | 136,892 | |||
Series 2018-ALXA, Class C, 4.460%, 01/15/2043 (D)(J) | 98,000 | 104,104 | |||
OBX Trust Series 2020-EXP2, Class A3 2.500%, 05/25/2060 (D)(J) | 248,728 | 252,673 | |||
One Market Plaza Trust Series 2017-1MKT, Class D 4.146%, 02/10/2032 (D) | 90,000 | 91,132 |
The accompanying notes are an integral part of the financial statements. | 15 |
Shares or Principal Amount | Value | ||||
COLLATERALIZED MORTGAGE OBLIGATIONS (continued) | |||||
Commercial and residential (continued) | |||||
Onslow Bay Mortgage Loan Trust Series 2021-NQM2, Class A1 1.101%, 05/25/2061 (D)(J) | $ | 444,000 | $ | 443,936 | |
Provident Funding Mortgage Trust Series 2020-F1, Class A2 2.000%, 01/25/2036 (D)(J) | 577,207 | 588,136 | |||
Sequoia Mortgage Trust Series 2005-3, Class A1 (1 month LIBOR + 0.400%) 0.493%, 05/20/2035 (B) | 39,949 | 41,085 | |||
SLG Office Trust Series 2021-OVA, Class D 2.851%, 07/15/2041 (D) | 352,000 | 355,106 | |||
Starwood Mortgage Residential Trust Series 2020-3, Class A1 1.486%, 04/25/2065 (D)(J) | 200,811 | 202,565 | |||
Structured Asset Securities Corp. Series 1998-RF2, Class A 4.739%, 07/15/2027 (D)(J) | 41,831 | 41,585 | |||
UBS-Barclays Commercial Mortgage Trust Series 2012-C2, Class XA IO 1.436%, 05/10/2063 (D) | 5,777,489 | 52,836 | |||
Velocity Commercial Capital Loan Trust Series 2018-2, Class M1 4.260%, 10/26/2048 (D)(J) | 310,032 | 324,528 | |||
Verus Securitization Trust | |||||
Series 2020-5, Class A1, 1.218%, 05/25/2065 (D) | 182,642 | 183,111 | |||
Series 2021-3, Class A1, 1.046%, 06/25/2066 (D)(J) | 461,000 | 460,978 | |||
Series 2021-R1, Class A1, 0.820%, 10/25/2063 (D)(J) | 356,244 | 355,937 | |||
WaMu Mortgage Pass Through Certificates | |||||
Series 2005-AR2, Class 2A1B (1 month LIBOR + 0.740%), 0.832%, 01/25/2045 (B) | 397,895 | 397,121 | |||
Series 2005-AR8, Class 2AB3 (1 month LIBOR + 0.720%), 0.812%, 07/25/2045 (B) | 280,390 | 277,019 | |||
Washington Mutual Mortgage Pass Through Certificates Series 2005-1, Class 6A1 6.500%, 03/25/2035 | 201,586 | 200,854 | |||
Wells Fargo Commercial Mortgage Trust Series 2019-C54, Class A3 2.892%, 12/15/2052 | 500,000 | 529,533 | |||
WF-RBS Commercial Mortgage Trust | |||||
Series 2012-C10, Class XA IO, 1.662%, 12/15/2045 (D) | 5,700,133 | 103,528 | |||
Series 2012-C9, Class XA IO, 2.025%, 11/15/2045 (D) | 6,668,578 | 109,921 | |||
39,917,317 | |||||
U.S. Government Agency – 2.1% | |||||
Federal Home Loan Mortgage Corp. | |||||
Series 290, Class IO, 3.500%, 11/15/2032 | 1,086,312 | 125,241 | |||
Series 3387, Class SB IO, 6.347%, 11/15/2037 | 984,592 | 165,831 | |||
Series 3632, Class AP, 3.000%, 02/15/2040 | 688,945 | 726,922 |
Shares or Principal Amount | Value | ||||
COLLATERALIZED MORTGAGE OBLIGATIONS (continued) | |||||
U.S. Government Agency (continued) | |||||
Federal Home Loan Mortgage Corp. (continued) | |||||
Series K015, Class X1 IO, 1.698%, 07/25/2021 | $ | 2,322,789 | $ | 93 | |
Series K018, Class X1 IO, 1.367%, 01/25/2022 | 2,759,246 | 6,199 | |||
Series K021, Class A2, 2.396%, 06/25/2022 | 987,915 | 1,002,511 | |||
Series K021, Class X1 IO, 1.526%, 06/25/2022 | 10,949,905 | 84,093 | |||
Series K022, Class X1 IO, 1.296%, 07/25/2022 | 2,370,979 | 18,736 | |||
Series K026, Class X1 IO, 1.069%, 11/25/2022 | 9,769,794 | 108,937 | |||
Series KS01, Class X1 IO, 1.245%, 01/25/2023 | 4,462,991 | 40,807 | |||
Series T-41, Class 3A, 5.051%, 07/25/2032 (J) | 47,457 | 53,117 | |||
Federal National Mortgage Association | |||||
Series 2001-50, Class BA, 7.000%, 10/25/2041 | 6,089 | 6,968 | |||
Series 2002-W3, Class A5, 7.500%, 11/25/2041 | 54,980 | 66,695 | |||
Series 2010-15, Class KA, 4.000%, 03/25/2039 | 45,440 | 45,862 | |||
Series 2011-41, Class KA, 4.000%, 01/25/2041 | 169,694 | 178,271 | |||
Series 2011-86, Class NA, 4.000%, 01/25/2041 | 148,154 | 150,879 | |||
Series 2012-137, Class WI IO, 3.500%, 12/25/2032 | 1,091,921 | 128,377 | |||
Series 2012-21, Class PA, 2.000%, 03/25/2041 | 1,312,945 | 1,349,281 | |||
Series 2012-38, Class PA, 2.000%, 09/25/2041 | 597,920 | 614,053 | |||
Series 2012-M5, Class X IO, 0.746%, 02/25/2022 | 909,795 | 254 | |||
Series 2015-C01, Class 1M2 (1 month LIBOR + 4.300%), 4.392%, 02/25/2025 (B) | 118,770 | 121,567 | |||
Series 2015-C02, Class 2M2 (1 month LIBOR + 4.000%), 4.092%, 05/25/2025 (B) | 13,244 | 13,408 | |||
Series 2015-C03, Class 2M2 (1 month LIBOR + 5.000%), 5.092%, 07/25/2025 (B) | 57,730 | 58,491 | |||
Series 2016-M1, Class X2 IO, 0.170%, 01/25/2026 | 43,658,502 | 390,150 | |||
Series 2016-M12, Class X2 IO, 0.064%, 09/25/2026 | 33,213,583 | 347,942 | |||
Series 2018-C02, Class 2M2 (1 month LIBOR + 2.200%), 2.292%, 08/25/2030 (B) | 64,280 | 64,975 | |||
Series 2018-C05, Class 1M2 (1 month LIBOR + 2.350%), 2.442%, 01/25/2031 (B) | 38,754 | 39,219 | |||
Series 2019-M12, Class X IO, 0.703%, 06/25/2029 | 4,627 | 237 | |||
Series 2019-M7, Class X IO, 0.463%, 04/25/2029 | $ | 14,867,938 | 518,907 | ||
Series 2020-R02, Class 2M2 (1 month LIBOR + 2.000%), 2.092%, 01/25/2040 (B)(D) | 436,307 | 438,230 |
The accompanying notes are an integral part of the financial statements. | 16 |
Shares or Principal Amount | Value | ||||
COLLATERALIZED MORTGAGE OBLIGATIONS (continued) | |||||
U.S. Government Agency (continued) | |||||
Federal National Mortgage Association (continued) | |||||
Series 2021-31, Class IE IO, 5.802%, 03/25/2050 | $ | 2,594,000 | $ | 379,536 | |
Series 2021-M8, Class X IO, 0.587%, 11/25/2035 | 12,375,372 | 519,703 | |||
Government National Mortgage Association | |||||
Series 2008-90, Class IO, 1.946%, 12/16/2050 | 2,085,542 | 314,388 | |||
Series 2010-147, Class SA IO, 6.077%, 05/20/2040 | 688,350 | 53,401 | |||
Series 2010-85, Class SB IO, 6.525%, 03/16/2040 | 985,604 | 145,448 | |||
Series 2012-114, Class IO, 0.672%, 01/16/2053 | 455,390 | 10,695 | |||
Series 2012-120, Class IO, 0.692%, 02/16/2053 | 5,454,681 | 127,158 | |||
Series 2012-70, Class IO, 0.105%, 08/16/2052 | 2,239,249 | 7,799 | |||
Series 2015-41, Class IO, 0.416%, 09/16/2056 | 4,647,992 | 118,776 | |||
Series 2016-162, Class IO, 0.829%, 09/16/2058 | 6,467,765 | 348,880 | |||
Series 2016-174, Class IO, 0.852%, 11/16/2056 | 623,469 | 34,089 | |||
Series 2017-109, Class IO, 0.506%, 04/16/2057 | 1,390,835 | 49,959 | |||
Series 2017-124, Class IO, 0.674%, 01/16/2059 | 1,424,645 | 68,879 | |||
Series 2017-135, Class IO, 0.768%, 10/16/2058 | 1,168,479 | 58,634 | |||
Series 2017-140, Class IO, 0.547%, 02/16/2059 | 438,283 | 19,341 | |||
Series 2017-159, Class IO, 0.482%, 06/16/2059 | 815,297 | 35,774 | |||
Series 2017-169, Class IO, 0.602%, 01/16/2060 | 2,384,101 | 115,144 | |||
Series 2017-20, Class IO, 0.699%, 12/16/2058 | 2,876,178 | 127,618 | |||
Series 2017-22, Class IO, 0.759%, 12/16/2057 | 326,954 | 18,496 | |||
Series 2017-23, Class IO, 0.624%, 05/16/2059 | 8,777,145 | 412,759 | |||
Series 2017-41, Class IO, 0.683%, 07/16/2058 | 1,374,335 | 62,619 | |||
Series 2017-46, Class IO, 0.640%, 11/16/2057 | 969,419 | 45,293 | |||
Series 2017-50, Class IO, 0.718%, 01/16/2057 | 14,643,726 | 731,009 | |||
Series 2017-61, Class IO, 0.735%, 05/16/2059 | 549,275 | 28,768 | |||
Series 2018-158, Class IO, 0.745%, 05/16/2061 | 2,070,329 | 137,361 | |||
Series 2018-35, Class IO, 0.539%, 03/16/2060 | 2,173,706 | 95,469 | |||
Series 2018-43, Class IO, 0.540%, 05/16/2060 | 2,021,775 | 99,815 | |||
Series 2018-69, Class IO, 0.573%, 04/16/2060 | 593,080 | 35,442 | |||
Series 2018-81, Class IO, 0.469%, 01/16/2060 | 395,212 | 18,127 | |||
Series 2018-85, Class IO, 0.493%, 07/16/2060 | 8,034,310 | 453,619 |
Shares or Principal Amount | Value | ||||
COLLATERALIZED MORTGAGE OBLIGATIONS (continued) | |||||
U.S. Government Agency (continued) | |||||
Government National Mortgage Association (continued) | |||||
Series 2018-9, Class IO, 0.510%, 01/16/2060 | $ | 2,490,272 | $ | 119,136 | |
Series 2019-131, Class IO, 0.898%, 07/16/2061 | 1,768,482 | 121,573 | |||
Series 2020-100, Class IO, 0.868%, 05/16/2062 | 1,701,719 | 132,919 | |||
Series 2020-108, Class IO, 0.911%, 06/16/2062 | 3,901,232 | 306,670 | |||
Series 2020-114, Class IO, 0.924%, 09/16/2062 | 4,436,559 | 362,813 | |||
Series 2020-118, Class IO, 0.974%, 06/16/2062 | 3,113,830 | 260,421 | |||
Series 2020-119, Class IO, 0.799%, 08/16/2062 | 1,832,560 | 136,854 | |||
Series 2020-120, Class IO, 0.851%, 05/16/2062 | 880,646 | 70,291 | |||
Series 2020-137, Class IO, 0.843%, 09/16/2062 | 4,230,044 | 322,509 | |||
Series 2020-143, Class IB IO, 0.895%, 03/16/2062 | 5,461,556 | 418,446 | |||
Series 2020-150, Class IO, 0.983%, 12/16/2062 | 2,583,018 | 220,236 | |||
Series 2020-170, Class IO, 0.887%, 11/16/2062 | 3,590,655 | 295,325 | |||
Series 2020-28, Class IO, 0.864%, 11/16/2061 | 5,919,681 | 452,546 | |||
Series 2020-92, Class IO, 1.003%, 02/16/2062 | 3,919,278 | 326,970 | |||
Series 2021-3, Class IO, 0.919%, 09/16/2062 | 4,249,944 | 355,604 | |||
Series 2021-40, Class IO, 0.843%, 02/16/2063 | 1,005,573 | 80,252 | |||
15,522,817 | |||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $58,789,683) | $ | 55,440,134 | |||
ASSET BACKED SECURITIES – 6.3% | |||||
Aegis Asset Backed Securities Trust Series 2004-3, Class M1 (1 month LIBOR + 0.900%) 0.992%, 09/25/2034 (B) | 601,823 | 602,295 | |||
Amresco Residential Securities Corp. Mortgage Loan Trust Series 1998-1, Class A6 6.510%, 08/25/2027 (J) | 5 | 5 | |||
AMSR Trust Series 2020-SFR4, Class A 1.355%, 11/17/2037 (D) | 602,000 | 599,979 | |||
Applebee's Funding LLC | |||||
Series 2019-1A, Class A2I 4.194%, 06/07/2049 (D) | 530,988 | 544,225 | |||
Series 2019-1A, Class A2II 4.723%, 06/07/2049 (D) | 496,250 | 524,298 | |||
Arby's Funding LLC Series 2020-1A, Class A2 3.237%, 07/30/2050 (D) | 507,168 | 529,914 | |||
ARL First LLC Series 2012-1A, Class A2 3.810%, 12/15/2042 (D) | 900,000 | 924,708 |
The accompanying notes are an integral part of the financial statements. | 17 |
Shares or Principal Amount | Value | ||||
ASSET BACKED SECURITIES (continued) | |||||
Avis Budget Rental Car Funding AESOP LLC | |||||
Series 2019-3A, Class A 2.360%, 03/20/2026 (D) | $ | 473,000 | $ | 494,890 | |
Series 2020-1A, Class A 2.330%, 08/20/2026 (D) | 333,000 | 347,032 | |||
Bojangles Issuer LLC Series 2020-1A, Class A2 3.832%, 10/20/2050 (D) | 264,000 | 275,268 | |||
BRE Grand Islander Timeshare Issuer LLC Series 2019-A, Class A 3.280%, 09/26/2033 (D) | 119,470 | 125,270 | |||
Capital One Multi-Asset Execution Trust Series 2016-A7, Class A7 (1 month LIBOR + 0.510%) 0.583%, 09/16/2024 (B) | 3,123,000 | 3,129,254 | |||
CARS-DB4 LP | |||||
Series 2020-1A, Class A4 3.190%, 02/15/2050 (D) | 998,333 | 1,027,830 | |||
Series 2020-1A, Class B1 4.170%, 02/15/2050 (D) | 381,000 | 393,285 | |||
Centex Home Equity Loan Trust Series 2005-A, Class M4 (1 month LIBOR + 1.200%) 1.292%, 01/25/2035 (B) | 156,736 | 152,044 | |||
CF Hippolyta LLC | |||||
Series 2020-1, Class A1 1.690%, 07/15/2060 (D) | 450,467 | 457,736 | |||
Series 2021-1A, Class A1 1.530%, 03/15/2061 (D) | 484,000 | 487,233 | |||
Citibank Credit Card Issuance Trust | |||||
Series 2017-A6, Class A6 (1 month LIBOR + 0.770%) 0.843%, 05/14/2029 (B) | 565,000 | 577,271 | |||
Series 2017-A7, Class A7 (1 month LIBOR + 0.370%) 0.451%, 08/08/2024 (B) | 3,000,000 | 3,011,239 | |||
CLI Funding VI LLC Series 2020-1A, Class A 2.080%, 09/18/2045 (D) | 656,055 | 660,997 | |||
CLI Funding VIII LLC Series 2021-1A, Class A 1.640%, 02/18/2046 (D) | 541,453 | 536,720 | |||
Conseco Finance Corp. Series 1996-10, Class M1 7.240%, 11/15/2028 (J) | 54,108 | 55,148 | |||
ContiMortgage Home Equity Loan Trust Series 1995-2, Class A5 8.100%, 08/15/2025 | 5,808 | 5,650 | |||
CoreVest American Finance Trust Series 2019-3, Class A 2.705%, 10/15/2052 (D) | 82,027 | 85,839 | |||
Credit-Based Asset Servicing & Securitization LLC Series 2006-MH1, Class B1 6.250%, 10/25/2036 (D) | 2,560,000 | 2,631,155 | |||
CWABS Asset-Backed Certificates Trust Series 2004-10, Class AF5B 4.375%, 02/25/2035 | 12,319 | 12,294 | |||
DataBank Issuer Series 2021-1A, Class A2 2.060%, 02/27/2051 (D) | 225,000 | 227,924 | |||
DB Master Finance LLC | |||||
Series 2017-1A, Class A2I 3.629%, 11/20/2047 (D) | 208,013 | 210,567 |
Shares or Principal Amount | Value | ||||
ASSET BACKED SECURITIES (continued) | |||||
DB Master Finance LLC (continued) | |||||
Series 2017-1A, Class A2II 4.030%, 11/20/2047 (D) | $ | 192,533 | $ | 205,076 | |
Series 2019-1A, Class A2I 3.787%, 05/20/2049 (D) | 879,338 | 890,743 | |||
Diamond Infrastructure Funding LLC | |||||
Series 2021-1A, Class B 2.355%, 04/15/2049 (D) | 1,000,000 | 997,802 | |||
Series 2021-1A, Class C 3.475%, 04/15/2049 (D) | 104,000 | 103,565 | |||
Domino's Pizza Master Issuer LLC | |||||
Series 2017-1A, Class A23 4.118%, 07/25/2047 (D) | 599,850 | 647,262 | |||
Series 2021-1A, Class A2I 2.662%, 04/25/2051 (D) | 1,323,000 | 1,368,895 | |||
Driven Brands Funding LLC Series 2020-2A, Class A2 3.237%, 01/20/2051 (D) | 360,098 | 370,303 | |||
FirstKey Homes Trust | |||||
Series 2020-SFR1, Class A 1.339%, 09/17/2025 (D) | 592,314 | 592,369 | |||
Series 2020-SFR2, Class A 1.266%, 10/19/2037 (D) | 704,442 | 703,307 | |||
Series 2021-SFR1, Class A 1.538%, 08/17/2028 (D) | 527,000 | 526,997 | |||
Series 2021-SFR1, Class D 2.189%, 08/17/2028 (D) | 346,000 | 345,994 | |||
Five Guys Funding LLC Series 2017-1A, Class A2 4.600%, 07/25/2047 (D) | 672,915 | 702,842 | |||
FOCUS Brands Funding LLC Series 2017-1A, Class A2IB 3.857%, 04/30/2047 (D) | 150,982 | 153,148 | |||
Ford Credit Auto Owner Trust Series 2020-1, Class A 2.040%, 08/15/2031 (D) | 608,000 | 631,048 | |||
Ford Credit Floorplan Master Owner Trust Series 2020-2, Class A 1.060%, 09/15/2027 | 561,000 | 561,401 | |||
GM Financial Automobile Leasing Trust Series 2021-2, Class A4 0.410%, 05/20/2025 | 125,000 | 124,829 | |||
Golub Capital Partners Funding, Ltd. | |||||
Series 2020-1A, Class A2 3.208%, 01/22/2029 (D) | 394,000 | 394,070 | |||
Series 2021-1A, Class A2 2.773%, 04/20/2029 (D) | 290,000 | 292,406 | |||
Hilton Grand Vacations Trust | |||||
Series 2017-AA, Class A 2.660%, 12/26/2028 (D) | 197,355 | 202,054 | |||
Series 2018-AA, Class A 3.540%, 02/25/2032 (D) | 128,432 | 135,054 | |||
Honda Auto Receivables Owner Trust Series 2021-2, Class A4 0.550%, 08/16/2027 | 247,000 | 246,296 | |||
Jack in the Box Funding LLC | |||||
Series 2019-1A, Class A23 4.970%, 08/25/2049 (D) | 264,998 | 291,916 | |||
Series 2019-1A, Class A2I 3.982%, 08/25/2049 (D) | 228,275 | 233,571 | |||
Laurel Road Prime Student Loan Trust Series 2019-A, Class A2FX 2.730%, 10/25/2048 (D) | 68,725 | 70,012 | |||
Mill City Mortgage Loan Trust Series 2018-3, Class A1 3.472%, 08/25/2058 (D)(J) | 101,123 | 105,193 |
The accompanying notes are an integral part of the financial statements. | 18 |
Shares or Principal Amount | Value | ||||
ASSET BACKED SECURITIES (continued) | |||||
MVW Owner Trust Series 2018-1A, Class A 3.450%, 01/21/2036 (D) | $ | 155,190 | $ | 160,742 | |
Navient Private Education Loan Trust Series 2016-AA, Class A2A 3.910%, 12/15/2045 (D) | 116,086 | 122,538 | |||
Navient Private Education Refi Loan Trust Series 2019-FA, Class A2 2.600%, 08/15/2068 (D) | 304,963 | 310,839 | |||
Navient Student Loan Trust Series 2020-2A, Class A1A 1.320%, 08/26/2069 (D) | 400,536 | 397,054 | |||
Neighborly Issuer LLC Series 2021-1A, Class A2 3.584%, 04/30/2051 (D) | 598,000 | 615,025 | |||
NRZ Excess Spread-Collateralized Notes | |||||
Series 2018-FNT1, Class A 3.610%, 05/25/2023 (D) | 65,296 | 65,417 | |||
Series 2018-FNT2, Class A 3.790%, 07/25/2054 (D) | 61,351 | 61,371 | |||
Option One Mortgage Loan Trust Series 2004-1, Class M1 (1 month LIBOR + 0.900%) 0.992%, 01/25/2034 (B) | 230,063 | 229,194 | |||
Oxford Finance Funding LLC Series 2019-1A, Class A2 4.459%, 02/15/2027 (D) | 229,362 | 236,569 | |||
Progress Residential Trust Series 2020-SFR1, Class A 1.732%, 04/17/2037 (D) | 359,000 | 364,313 | |||
Renaissance Home Equity Loan Trust Series 2005-2, Class AF4 4.934%, 08/25/2035 | 91,869 | 94,940 | |||
Santander Revolving Auto Loan Trust Series 2019-A, Class A 2.510%, 01/26/2032 (D) | 611,000 | 643,813 | |||
Sesac Finance LLC Series 2019-1, Class A2 5.216%, 07/25/2049 (D) | 474,548 | 506,333 | |||
Sierra Timeshare Receivables Funding LLC Series 2019-1A, Class A 3.200%, 01/20/2036 (D) | 79,871 | 82,600 | |||
SMB Private Education Loan Trust | |||||
Series 2015-C, Class A2A 2.750%, 07/15/2027 (D) | 17,519 | 17,699 | |||
Series 2019-B, Class A2A 2.840%, 06/15/2037 (D) | 494,261 | 515,439 | |||
Series 2020-PTA, Class A2A 1.600%, 09/15/2054 (D) | 255,000 | 257,470 | |||
Series 2021-A, Class APT2 1.070%, 01/15/2053 (D) | 307,948 | 303,315 | |||
Sonic Capital LLC Series 2020-1A, Class A2I 3.845%, 01/20/2050 (D) | 413,472 | 436,581 | |||
Sunbird Engine Finance LLC Series 2020-1A, Class A 3.671%, 02/15/2045 (D) | 196,769 | 190,807 | |||
Taco Bell Funding LLC | |||||
Series 2016-1A, Class A2II 4.377%, 05/25/2046 (D) | 672,000 | 675,709 | |||
Series 2018-1A, Class A2I 4.318%, 11/25/2048 (D) | 490,425 | 491,474 | |||
TAL Advantage VII LLC Series 2020-1A, Class B 3.290%, 09/20/2045 (D) | 460,625 | 469,241 |
Shares or Principal Amount | Value | ||||
ASSET BACKED SECURITIES (continued) | |||||
TIF Funding II LLC Series 2021-1A, Class A 1.650%, 02/20/2046 (D) | $ | 309,667 | $ | 304,837 | |
Towd Point Mortgage Trust | |||||
Series 2015-1, Class A5 3.241%, 10/25/2053 (D)(J) | 123,000 | 129,573 | |||
Series 2015-2, Class 1M2 3.434%, 11/25/2060 (D)(J) | 175,000 | 182,832 | |||
Series 2015-6, Class M2 3.750%, 04/25/2055 (D)(J) | 1,000,000 | 1,051,130 | |||
Series 2017-1, Class A1 2.750%, 10/25/2056 (D)(J) | 115,755 | 117,527 | |||
Series 2017-2, Class A1 2.750%, 04/25/2057 (D)(J) | 28,824 | 29,226 | |||
Series 2018-1, Class A1 3.000%, 01/25/2058 (D)(J) | 95,681 | 98,210 | |||
Series 2018-3, Class A1 3.750%, 05/25/2058 (D)(J) | 138,571 | 146,061 | |||
Series 2018-4, Class A1 3.000%, 06/25/2058 (D)(J) | 320,301 | 332,965 | |||
Series 2018-5, Class A1A 3.250%, 07/25/2058 (D)(J) | 48,708 | 49,665 | |||
Series 2018-6, Class A1A 3.750%, 03/25/2058 (D)(J) | 351,098 | 362,640 | |||
Series 2019-1, Class A1 3.722%, 03/25/2058 (D)(J) | 274,512 | 289,110 | |||
Series 2019-4, Class A1 2.900%, 10/25/2059 (D)(J) | 311,751 | 322,395 | |||
Series 2020-4, Class A1 1.750%, 10/25/2060 (D) | 328,824 | 332,480 | |||
Toyota Auto Loan Extended Note Trust | |||||
Series 2019-1A, Class A 2.560%, 11/25/2031 (D) | 1,010,000 | 1,065,000 | |||
Series 2020-1A, Class A 1.350%, 05/25/2033 (D) | 346,000 | 351,748 | |||
Tricon American Homes Trust Series 2020-SFR2, Class D 2.281%, 11/17/2039 (D) | 500,000 | 496,625 | |||
Triton Container Finance VIII LLC | |||||
Series 2020-1A, Class A 2.110%, 09/20/2045 (D) | 784,578 | 788,759 | |||
Series 2021-1A, Class A 1.860%, 03/20/2046 (D) | 429,671 | 426,931 | |||
Vantage Data Centers LLC | |||||
Series 2020-1A, Class A2 1.645%, 09/15/2045 (D) | 438,000 | 439,164 | |||
Series 2020-2A, Class A2 1.992%, 09/15/2045 (D) | 312,000 | 310,196 | |||
VR Funding LLC Series 2020-1A, Class A 2.790%, 11/15/2050 (D) | 564,042 | 553,574 | |||
VSE VOI Mortgage LLC Series 2017-A, Class A 2.330%, 03/20/2035 (D) | 66,548 | 68,020 | |||
Wendy's Funding LLC Series 2021-1A, Class A2I 2.370%, 06/15/2051 (D) | 305,000 | 307,650 | |||
Westgate Resorts LLC Series 2017-1A, Class A 3.050%, 12/20/2030 (D) | 62,371 | 62,323 |
The accompanying notes are an integral part of the financial statements. | 19 |
Shares or Principal Amount | Value | ||||
ASSET BACKED SECURITIES (continued) | |||||
Willis Engine Structured Trust V Series 2020-A, Class A 3.228%, 03/15/2045 (D) | $ | 149,808 | $ | 150,113 | |
Zaxby's Funding LLC Series 2021-1A, Class A2 3.238%, 07/30/2051 (D) | 433,000 | 438,404 | |||
TOTAL ASSET BACKED SECURITIES (Cost $44,967,716) | $ | 45,981,864 | |||
COMMON STOCKS – 0.1% | |||||
Energy – 0.0% | |||||
Noble Corp. (C) | 378 | 9,348 | |||
Utilities – 0.1% | |||||
Algonquin Power & Utilities Corp. (C) | 8,150 | 404,678 | |||
Dominion Energy, Inc. | 550 | 53,422 | |||
458,100 | |||||
TOTAL COMMON STOCKS (Cost $467,553) | $ | 467,448 | |||
PREFERRED SECURITIES – 0.2% | |||||
Communication services – 0.0% | |||||
Telephone & Data Systems, Inc., 6.625% | 7,625 | 222,116 | |||
Consumer staples – 0.0% | |||||
Ocean Spray Cranberries, Inc., 6.250% (D) | 2,216 | 206,088 | |||
Financials – 0.0% | |||||
GMAC Capital Trust I (3 month LIBOR + 5.785%), 5.941% (B) | 2,662 | 67,375 | |||
Wells Fargo & Company, 7.500% | 55 | 83,942 | |||
151,317 | |||||
Information technology – 0.1% | |||||
Broadcom, Inc., 8.000% | 277 | 421,004 | |||
Utilities – 0.1% | |||||
DTE Energy Company, 6.250% | 669 | 33,069 | |||
NextEra Energy, Inc., 5.279% | 5,300 | 259,488 | |||
NiSource, Inc., 7.750% | 1,800 | 185,022 | |||
The Southern Company, 6.750% | 831 | 42,074 | |||
519,653 | |||||
TOTAL PREFERRED SECURITIES (Cost $1,314,456) | $ | 1,520,178 | |||
WARRANTS – 0.0% | |||||
Noble Corp. (Expiration Date: 2-5-28; Strike Price: $19.27) (C) | 1,540 | 13,090 | |||
Noble Corp. (Expiration Date: 2-5-28; Strike Price: $23.13) (C) | 1,540 | 10,703 | |||
TOTAL WARRANTS (Cost $6,962) | $ | 23,793 | |||
SHORT-TERM INVESTMENTS – 13.8% | |||||
Short-term funds – 12.5% | |||||
John Hancock Collateral Trust, 0.0324% (L)(M) | 340,971 | 3,411,275 | |||
State Street Institutional U.S. Government Money Market Fund, Premier Class, 0.0250% (L) | 88,333,936 | 88,333,936 | |||
91,745,211 |
Shares or Principal Amount | Value | ||||
SHORT-TERM INVESTMENTS (continued) | |||||
Repurchase agreement – 1.3% | |||||
Repurchase Agreement with State Street Corp. dated 6-30-21 at 0.000% to be repurchased at $9,688,000 on 7-1-21, collateralized by $10,061,500 U.S. Treasury Notes, 0.375% due 11-30-25 (valued at $9,881,836) | $ | 9,688,000 | $ | 9,688,000 | |
TOTAL SHORT-TERM INVESTMENTS (Cost $101,433,296) | $ | 101,433,211 | |||
Total Investments (Active Bond Trust) (Cost $775,482,979) – 109.8% | $ | 807,717,941 | |||
Other assets and liabilities, net – (9.8%) | (71,835,373) | ||||
TOTAL NET ASSETS – 100.0% | $ | 735,882,568 |
Currency Abbreviations | |
ARS | Argentine Peso |
EUR | Euro |
GBP | Pound Sterling |
MXN | Mexican Peso |
Security Abbreviations and Legend | |
CMT | Constant Maturity Treasury |
GO | General Obligation |
ICE | Intercontinental Exchange |
IO | Interest-Only Security - (Interest Tranche of Stripped Mortgage Pool). Rate shown is the annualized yield at the end of the period. |
LIBOR | London Interbank Offered Rate |
PIK | Pay-in-Kind Security - Represents a payment-in-kind which may pay interest in additional par and/or cash. Rates shown are the current rate and most recent payment rate. |
SOFR | Secured Overnight Financing 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. |
(A) | Security purchased or sold on a when-issued or delayed delivery basis. |
(B) | Variable rate obligation. The coupon rate shown represents the rate at period end. |
(C) | Non-income producing security. |
(D) | 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 $149,491,187 or 20.3% of the fund's net assets as of 6-30-21. |
(E) | All or a portion of this security is on loan as of 6-30-21. |
(F) | Perpetual bonds have no stated maturity date. Date shown as maturity date is next call date. |
(G) | Non-income producing - Issuer is in default. |
(H) | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. Refer to Note 2 to the financial statements. |
(I) | Term loans are variable rate obligations. The coupon rate shown represents the rate at period end. |
(J) | Variable or floating rate security, the interest rate of which adjusts periodically based on a weighted average of interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of period end. |
(K) | 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. |
(L) | The rate shown is the annualized seven-day yield as of 6-30-21. |
(M) | Investment is an affiliate of the fund, the advisor and/or subadvisor. This security represents the investment of cash collateral received for securities lending. |
The accompanying notes are an integral part of the financial statements. | 20 |
* | 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 | ||||
U.S. GOVERNMENT AND AGENCY OBLIGATIONS – 60.1% | |||||
U.S. Government – 35.3% | |||||
U.S. Treasury Bonds | |||||
1.125%, 05/15/2040 to 08/15/2040 | $ | 27,484,000 | $ | 23,683,785 | |
1.375%, 11/15/2040 to 08/15/2050 | 22,203,000 | 19,659,659 | |||
1.625%, 11/15/2050 | 5,045,000 | 4,531,041 | |||
1.875%, 02/15/2041 to 02/15/2051 | 21,641,000 | 21,032,195 | |||
2.250%, 05/15/2041 | 8,188,000 | 8,519,358 | |||
2.375%, 05/15/2051 | 3,812,000 | 4,069,906 | |||
2.500%, 02/15/2045 | 2,430,000 | 2,629,146 | |||
U.S. Treasury Notes | |||||
0.125%, 05/31/2022 to 01/15/2024 | 71,589,000 | 71,452,381 | |||
0.250%, 06/15/2023 to 10/31/2025 | 52,983,000 | 52,436,006 | |||
0.375%, 04/15/2024 to 12/31/2025 | 29,539,000 | 29,013,121 | |||
0.500%, 02/28/2026 to 10/31/2027 | 24,234,000 | 23,629,163 | |||
0.750%, 05/31/2026 to 01/31/2028 | 20,846,000 | 20,594,943 | |||
0.875%, 06/30/2026 | 33,176,000 | 33,160,449 | |||
1.125%, 02/15/2031 | 2,264,000 | 2,197,849 | |||
1.250%, 06/30/2028 | 2,010,000 | 2,013,141 | |||
1.500%, 11/30/2024 | 6,252,000 | 6,451,038 | |||
1.625%, 05/15/2031 | 11,419,000 | 11,593,853 | |||
1.750%, 11/30/2021 | 903,000 | 909,349 | |||
1.875%, 02/28/2022 | 10,979,000 | 11,111,091 | |||
2.000%, 02/15/2022 | 8,231,000 | 8,330,672 | |||
2.125%, 08/15/2021 | 1,856,000 | 1,860,798 | |||
2.875%, 10/31/2023 | 6,200,000 | 6,568,125 | |||
365,447,069 | |||||
U.S. Government Agency – 24.8% | |||||
Federal Home Loan Mortgage Corp. | |||||
2.000%, 12/01/2050 | 1,004,952 | 1,017,624 | |||
2.500%, 01/01/2036 | 2,937,091 | 3,099,708 | |||
2.827%, (12 month LIBOR + 1.641%), 05/01/2049 (A) | 607,991 | 631,486 | |||
3.500%, 04/01/2049 | 677,980 | 731,771 | |||
4.000%, 01/01/2035 to 07/01/2049 | 5,854,211 | 6,370,229 | |||
4.500%, 06/01/2039 to 08/01/2049 | 4,122,552 | 4,549,272 | |||
5.000%, 03/01/2049 | 2,017,600 | 2,264,917 | |||
Federal National Mortgage Association | |||||
2.000%, TBA (B) | 32,400,000 | 33,157,956 | |||
2.000%, 05/01/2031 to 04/01/2051 | 8,950,763 | 9,131,618 | |||
2.500%, TBA (B) | 43,200,000 | 44,597,332 | |||
2.500%, 12/01/2035 to 10/01/2050 | 29,235,400 | 30,661,512 | |||
2.695%, (12 month LIBOR + 1.586%), 01/01/2046 (A) | 1,616,564 | 1,687,772 | |||
2.732%, (12 month LIBOR + 1.580%), 06/01/2045 (A) | 499,200 | 519,746 | |||
3.000%, 01/01/2043 to 07/01/2060 | 16,433,021 | 17,511,599 | |||
3.500%, 06/01/2049 | 148,802 | 158,550 | |||
4.000%, 09/01/2033 to 08/01/2059 | 14,181,625 | 15,616,415 | |||
4.500%, 05/01/2034 to 01/01/2059 | 18,564,521 | 20,684,341 | |||
5.000%, 07/01/2044 to 11/01/2049 | 14,227,914 | 16,038,331 | |||
5.500%, 12/01/2048 to 06/01/2049 | 2,938,807 | 3,377,184 | |||
Government National Mortgage Association | |||||
2.500%, TBA (B) | 3,100,000 | 3,208,203 | |||
2.500%, 06/20/2051 | 17,419,000 | 18,048,490 | |||
3.500%, 01/20/2048 | 853,140 | 923,489 | |||
4.000%, 06/20/2047 to 07/20/2049 | 8,871,206 | 9,531,974 | |||
4.500%, 08/15/2047 to 05/20/2049 | 2,964,010 | 3,228,576 |
Shares or Principal Amount | Value | ||||
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (continued) | |||||
U.S. Government Agency (continued) | |||||
Government National Mortgage Association (continued) | |||||
5.000%, 12/20/2039 to 03/20/2049 | $ | 8,572,095 | $ | 9,309,005 | |
256,057,100 | |||||
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (Cost $623,027,271) | $ | 621,504,169 | |||
FOREIGN GOVERNMENT OBLIGATIONS – 1.2% | |||||
Chile – 0.1% | |||||
Republic of Chile | |||||
2.450%, 01/31/2031 | 222,000 | 225,918 | |||
3.100%, 05/07/2041 | 573,000 | 573,573 | |||
799,491 | |||||
Colombia – 0.1% | |||||
Republic of Colombia | |||||
3.250%, 04/22/2032 | 344,000 | 336,934 | |||
3.875%, 02/15/2061 | 742,000 | 663,905 | |||
1,000,839 | |||||
Italy – 0.1% | |||||
Republic of Italy 3.875%, 05/06/2051 | 758,000 | 814,535 | |||
Japan – 0.1% | |||||
Japan Bank for International Cooperation 1.750%, 10/17/2024 | 816,000 | 843,426 | |||
Mexico – 0.4% | |||||
Government of Mexico | |||||
3.750%, 04/19/2071 | 1,154,000 | 1,054,144 | |||
3.771%, 05/24/2061 | 215,000 | 199,843 | |||
4.280%, 08/14/2041 | 1,346,000 | 1,412,815 | |||
4.350%, 01/15/2047 | 200,000 | 208,654 | |||
4.500%, 04/22/2029 | 1,416,000 | 1,599,995 | |||
4.750%, 03/08/2044 | 334,000 | 368,636 | |||
4,844,087 | |||||
Paraguay – 0.1% | |||||
Republic of Paraguay | |||||
2.739%, 01/29/2033 (C) | 482,000 | 468,745 | |||
5.400%, 03/30/2050 (C)(D) | 850,000 | 990,888 | |||
1,459,633 | |||||
Peru – 0.3% | |||||
Republic of Peru | |||||
2.392%, 01/23/2026 | 680,000 | 701,801 | |||
2.783%, 01/23/2031 | 1,419,000 | 1,445,620 | |||
3.300%, 03/11/2041 | 906,000 | 914,127 | |||
3,061,548 | |||||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost $12,628,385) | $ | 12,823,559 | |||
CORPORATE BONDS – 28.1% | |||||
Communication services – 2.5% | |||||
AT&T, Inc. | |||||
2.250%, 02/01/2032 | 755,000 | 741,002 | |||
3.100%, 02/01/2043 | 165,000 | 161,675 | |||
3.500%, 06/01/2041 | 348,000 | 361,491 | |||
3.500%, 09/15/2053 (C) | 1,380,000 | 1,386,445 | |||
3.550%, 09/15/2055 (C) | 341,000 | 342,143 | |||
3.800%, 12/01/2057 (C) | 624,000 | 650,135 | |||
3.850%, 06/01/2060 | 501,000 | 528,030 | |||
Charter Communications Operating LLC | |||||
3.500%, 06/01/2041 | 669,000 | 673,529 | |||
3.900%, 06/01/2052 | 1,257,000 | 1,279,886 | |||
4.400%, 12/01/2061 | 474,000 | 509,306 | |||
4.464%, 07/23/2022 | 311,000 | 321,975 |
The accompanying notes are an integral part of the financial statements. | 21 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Communication services (continued) | |||||
Charter Communications Operating LLC (continued) | |||||
4.800%, 03/01/2050 | $ | 634,000 | $ | 728,180 | |
Comcast Corp. | |||||
1.500%, 02/15/2031 | 835,000 | 791,143 | |||
3.750%, 04/01/2040 | 656,000 | 739,496 | |||
Discovery Communications LLC | |||||
4.000%, 09/15/2055 | 402,000 | 425,479 | |||
4.650%, 05/15/2050 | 101,000 | 118,191 | |||
Netflix, Inc. | |||||
3.625%, 06/15/2025 (C) | 580,000 | 622,827 | |||
5.875%, 11/15/2028 | 623,000 | 764,689 | |||
Telefonica Emisiones SA 5.520%, 03/01/2049 | 253,000 | 329,207 | |||
Tencent Holdings, Ltd. 3.840%, 04/22/2051 (C) | 671,000 | 722,413 | |||
T-Mobile USA, Inc. | |||||
2.250%, 02/15/2026 | 754,000 | 759,655 | |||
2.250%, 02/15/2026 (C) | 3,839,000 | 3,867,793 | |||
2.875%, 02/15/2031 | 572,000 | 567,710 | |||
3.375%, 04/15/2029 (C) | 2,170,000 | 2,239,426 | |||
3.500%, 04/15/2031 (C) | 1,440,000 | 1,489,752 | |||
Verizon Communications, Inc. | |||||
2.550%, 03/21/2031 | 308,000 | 314,815 | |||
2.650%, 11/20/2040 | 1,367,000 | 1,315,488 | |||
2.875%, 11/20/2050 | 261,000 | 247,928 | |||
3.400%, 03/22/2041 | 657,000 | 695,003 | |||
3.550%, 03/22/2051 | 755,000 | 806,617 | |||
3.700%, 03/22/2061 | 475,000 | 508,753 | |||
4.329%, 09/21/2028 | 226,000 | 262,960 | |||
ViacomCBS, Inc. | |||||
4.200%, 05/19/2032 | 34,000 | 39,240 | |||
4.600%, 01/15/2045 | 62,000 | 73,557 | |||
4.950%, 01/15/2031 to 05/19/2050 | 330,000 | 406,420 | |||
5.850%, 09/01/2043 | 118,000 | 161,674 | |||
25,954,033 | |||||
Consumer discretionary – 2.4% | |||||
Amazon.com, Inc. | |||||
1.000%, 05/12/2026 (D) | 2,195,000 | 2,195,435 | |||
1.650%, 05/12/2028 | 995,000 | 1,003,495 | |||
2.100%, 05/12/2031 | 2,526,000 | 2,568,472 | |||
2.700%, 06/03/2060 | 151,000 | 144,628 | |||
3.100%, 05/12/2051 | 337,000 | 353,996 | |||
3.250%, 05/12/2061 | 337,000 | 355,147 | |||
Ford Motor Company 4.750%, 01/15/2043 | 263,000 | 279,438 | |||
Ford Motor Credit Company LLC | |||||
3.625%, 06/17/2031 | 1,804,000 | 1,838,962 | |||
4.000%, 11/13/2030 | 480,000 | 502,800 | |||
General Motors Company 5.400%, 04/01/2048 | 279,000 | 355,372 | |||
Hyundai Capital America | |||||
0.800%, 01/08/2024 (C) | 1,031,000 | 1,026,491 | |||
1.250%, 09/18/2023 (C) | 507,000 | 511,629 | |||
1.300%, 01/08/2026 (C) | 1,013,000 | 1,001,095 | |||
1.800%, 10/15/2025 (C) | 802,000 | 813,731 | |||
2.000%, 06/15/2028 (C) | 801,000 | 794,214 | |||
Lowe's Companies, Inc. | |||||
2.625%, 04/01/2031 | 818,000 | 845,218 | |||
3.500%, 04/01/2051 | 179,000 | 191,865 | |||
Marriott International, Inc. | |||||
2.850%, 04/15/2031 | 1,463,000 | 1,485,663 | |||
4.625%, 06/15/2030 | 128,000 | 147,418 | |||
5.750%, 05/01/2025 | 602,000 | 694,888 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Consumer discretionary (continued) | |||||
Nissan Motor Acceptance Corp. 2.750%, 03/09/2028 (C) | $ | 344,000 | $ | 347,095 | |
Sodexo, Inc. | |||||
1.634%, 04/16/2026 (C) | 869,000 | 875,292 | |||
2.718%, 04/16/2031 (C) | 832,000 | 848,879 | |||
Starbucks Corp. | |||||
1.300%, 05/07/2022 | 414,000 | 417,749 | |||
3.350%, 03/12/2050 | 506,000 | 529,293 | |||
3.500%, 11/15/2050 | 801,000 | 862,876 | |||
The Home Depot, Inc. | |||||
2.375%, 03/15/2051 | 416,000 | 384,765 | |||
2.700%, 04/15/2030 | 404,000 | 431,950 | |||
3.125%, 12/15/2049 | 1,266,000 | 1,341,229 | |||
3.300%, 04/15/2040 | 135,000 | 147,872 | |||
3.350%, 04/15/2050 | 326,000 | 360,407 | |||
Yale University | |||||
0.873%, 04/15/2025 | 582,000 | 585,509 | |||
1.482%, 04/15/2030 | 498,000 | 490,633 | |||
24,733,506 | |||||
Consumer staples – 1.5% | |||||
Altria Group, Inc. | |||||
2.350%, 05/06/2025 | 140,000 | 146,367 | |||
2.450%, 02/04/2032 | 384,000 | 371,359 | |||
3.400%, 02/04/2041 | 1,053,000 | 1,003,974 | |||
3.700%, 02/04/2051 | 343,000 | 325,384 | |||
3.875%, 09/16/2046 | 675,000 | 670,301 | |||
4.000%, 02/04/2061 | 87,000 | 83,468 | |||
Anheuser-Busch Companies LLC | |||||
4.700%, 02/01/2036 | 921,000 | 1,130,383 | |||
4.900%, 02/01/2046 | 826,000 | 1,045,510 | |||
Anheuser-Busch InBev Worldwide, Inc. | |||||
3.750%, 07/15/2042 | 298,000 | 322,684 | |||
4.375%, 04/15/2038 | 968,000 | 1,157,312 | |||
4.600%, 04/15/2048 | 481,000 | 587,226 | |||
BAT Capital Corp. | |||||
2.259%, 03/25/2028 | 175,000 | 173,687 | |||
2.726%, 03/25/2031 (D) | 1,065,000 | 1,051,450 | |||
3.557%, 08/15/2027 | 650,000 | 696,054 | |||
4.906%, 04/02/2030 | 178,000 | 204,493 | |||
Bunge, Ltd. Finance Corp. | |||||
1.630%, 08/17/2025 | 567,000 | 573,678 | |||
2.750%, 05/14/2031 | 2,022,000 | 2,044,183 | |||
3.750%, 09/25/2027 | 1,648,000 | 1,815,084 | |||
Molson Coors Beverage Company 4.200%, 07/15/2046 | 906,000 | 1,009,323 | |||
The Estee Lauder Companies, Inc. 1.950%, 03/15/2031 | 980,000 | 980,502 | |||
Walmart, Inc. 3.050%, 07/08/2026 | 306,000 | 335,030 | |||
15,727,452 | |||||
Energy – 2.2% | |||||
Aker BP ASA 4.000%, 01/15/2031 (C) | 454,000 | 498,667 | |||
BP Capital Markets America, Inc. 3.379%, 02/08/2061 | 754,000 | 758,009 | |||
Devon Energy Corp. | |||||
4.750%, 05/15/2042 | 347,000 | 391,541 | |||
5.000%, 06/15/2045 | 595,000 | 698,948 | |||
5.250%, 09/15/2024 (C) | 1,977,000 | 2,202,169 | |||
5.600%, 07/15/2041 | 263,000 | 325,193 | |||
5.850%, 12/15/2025 | 310,000 | 363,857 | |||
Enable Midstream Partners LP | |||||
3.900%, 05/15/2024 | 89,000 | 94,594 | |||
4.150%, 09/15/2029 | 383,000 | 419,355 | |||
4.400%, 03/15/2027 | 645,000 | 711,097 |
The accompanying notes are an integral part of the financial statements. | 22 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Energy (continued) | |||||
Enable Midstream Partners LP (continued) | |||||
4.950%, 05/15/2028 | $ | 1,094,000 | $ | 1,252,590 | |
Energy Transfer LP | |||||
5.150%, 03/15/2045 | 165,000 | 190,833 | |||
5.300%, 04/15/2047 | 101,000 | 118,171 | |||
5.350%, 05/15/2045 | 249,000 | 288,125 | |||
6.000%, 06/15/2048 | 133,000 | 168,113 | |||
6.050%, 06/01/2041 | 151,000 | 191,474 | |||
6.100%, 02/15/2042 | 170,000 | 211,350 | |||
6.125%, 12/15/2045 | 291,000 | 370,914 | |||
Equinor ASA 3.250%, 11/18/2049 | 239,000 | 253,718 | |||
Galaxy Pipeline Assets Bidco, Ltd. | |||||
1.750%, 09/30/2027 (C) | 974,000 | 983,705 | |||
2.160%, 03/31/2034 (C) | 734,000 | 720,273 | |||
2.625%, 03/31/2036 (C) | 459,000 | 450,243 | |||
2.940%, 09/30/2040 (C) | 498,000 | 494,320 | |||
Lundin Energy Finance BV | |||||
2.000%, 07/15/2026 (C) | 1,662,000 | 1,664,660 | |||
3.100%, 07/15/2031 (C) | 1,251,000 | 1,263,680 | |||
Marathon Oil Corp. 5.200%, 06/01/2045 | 757,000 | 907,959 | |||
Oleoducto Central SA 4.000%, 07/14/2027 (C)(D) | 246,000 | 253,803 | |||
ONEOK, Inc. | |||||
3.100%, 03/15/2030 | 229,000 | 239,420 | |||
3.400%, 09/01/2029 | 218,000 | 232,054 | |||
4.000%, 07/13/2027 | 138,000 | 152,560 | |||
4.450%, 09/01/2049 | 542,000 | 599,038 | |||
4.950%, 07/13/2047 | 64,000 | 75,110 | |||
5.850%, 01/15/2026 | 82,000 | 96,945 | |||
Petroleos del Peru SA 5.625%, 06/19/2047 (C) | 463,000 | 493,558 | |||
Petroleos Mexicanos | |||||
2.378%, 04/15/2025 | 550,000 | 570,443 | |||
2.460%, 12/15/2025 | 1,458,450 | 1,523,127 | |||
Pioneer Natural Resources Company 1.900%, 08/15/2030 | 873,000 | 841,087 | |||
Plains All American Pipeline LP 4.900%, 02/15/2045 | 140,000 | 152,149 | |||
Qatar Petroleum | |||||
2.250%, 07/12/2031 (C) | 810,000 | 801,390 | |||
3.125%, 07/12/2041 (C) | 440,000 | 438,376 | |||
3.300%, 07/12/2051 (C) | 596,000 | 596,000 | |||
23,058,618 | |||||
Financials – 7.6% | |||||
American International Group, Inc. | |||||
3.400%, 06/30/2030 | 733,000 | 803,809 | |||
4.375%, 06/30/2050 | 434,000 | 527,575 | |||
Antares Holdings LP 3.950%, 07/15/2026 (C) | 678,000 | 705,542 | |||
ANZ New Zealand Int'l, Ltd. 1.250%, 06/22/2026 (C) | 964,000 | 959,601 | |||
Assured Guaranty U.S. Holdings, Inc. 3.150%, 06/15/2031 | 501,000 | 519,797 | |||
Athene Global Funding 2.500%, 03/24/2028 (C) | 1,312,000 | 1,344,751 | |||
Athene Holding, Ltd. | |||||
3.500%, 01/15/2031 | 245,000 | 261,206 | |||
3.950%, 05/25/2051 | 132,000 | 141,225 | |||
4.125%, 01/12/2028 | 657,000 | 732,736 | |||
Banco Santander SA (0.701% to 6-30-23, then 1 Year CMT + 0.450%) 06/30/2024 | 1,600,000 | 1,603,195 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Financials (continued) | |||||
Bank of America Corp. 3.500%, 04/19/2026 | $ | 165,000 | $ | 181,774 | |
Bank of America Corp. (0.976% to 4-22-24, then SOFR + 0.690%) 04/22/2025 | 1,767,000 | 1,772,662 | |||
Bank of America Corp. (1.197% to 10-24-25, then SOFR + 1.010%) 10/24/2026 | 2,486,000 | 2,462,182 | |||
Bank of America Corp. (1.319% to 6-19-25, then SOFR + 1.150%) 06/19/2026 | 1,470,000 | 1,473,215 | |||
Bank of America Corp. (1.658% to 3-11-26, then SOFR + 0.910%) 03/11/2027 | 3,285,000 | 3,311,101 | |||
Bank of America Corp. (1.734% to 7-22-26, then SOFR + 0.960%) 07/22/2027 | 1,771,000 | 1,784,621 | |||
Bank of America Corp. (1.898% to 7-23-30, then SOFR + 1.530%) 07/23/2031 | 640,000 | 622,239 | |||
Bank of America Corp. (1.922% to 10-24-30, then SOFR + 1.370%) 10/24/2031 | 545,000 | 531,133 | |||
Bank of America Corp. (2.015% to 2-13-25, then 3 month LIBOR + 0.640%) 02/13/2026 | 165,000 | 170,123 | |||
Bank of America Corp. (2.456% to 10-22-24, then 3 month LIBOR + 0.870%) 10/22/2025 | 903,000 | 944,624 | |||
Bank of America Corp. (2.496% to 2-13-30, then 3 month LIBOR + 0.990%) 02/13/2031 | 916,000 | 935,230 | |||
Bank of America Corp. (2.592% to 4-29-30, then SOFR + 2.150%) 04/29/2031 | 1,053,000 | 1,085,577 | |||
Bank of America Corp. (2.687% to 4-22-31, then SOFR + 1.320%) 04/22/2032 | 3,212,000 | 3,304,488 | |||
Bank of America Corp. (3.004% to 12-20-22, then 3 month LIBOR + 0.790%) 12/20/2023 | 1,284,000 | 1,330,671 | |||
Bank of America Corp. (3.559% to 4-23-26, then 3 month LIBOR + 1.060%) 04/23/2027 | 805,000 | 881,655 | |||
Barclays PLC (1.007% to 12-10-23, then 1 Year CMT + 0.800%) 12/10/2024 | 1,281,000 | 1,285,569 | |||
Barclays PLC (3.564% to 9-23-30, then 5 Year CMT + 2.900%) 09/23/2035 | 1,799,000 | 1,874,270 | |||
BNP Paribas SA (1.323% to 1-13-26, then SOFR + 1.004%) 01/13/2027 (C) | 1,171,000 | 1,156,814 | |||
BNP Paribas SA (2.871% to 4-19-31, then SOFR + 1.387%) 04/19/2032 (C) | 987,000 | 1,013,620 | |||
Brighthouse Financial, Inc. 4.700%, 06/22/2047 | 493,000 | 547,539 | |||
Credit Suisse Group AG (3.091% to 5-14-31, then SOFR + 1.730%) 05/14/2032 (C) | 861,000 | 887,047 | |||
Deutsche Bank AG 0.898%, 05/28/2024 | 827,000 | 823,234 | |||
Deutsche Bank AG (2.129% to 11-24-25, then SOFR + 1.870%) 11/24/2026 | 1,738,000 | 1,763,561 | |||
Deutsche Bank AG (3.035% to 5-28-31, then SOFR + 1.718%) 05/28/2032 | 506,000 | 514,525 | |||
Deutsche Bank AG (3.729% to 1-14-31, then SOFR + 2.757%) 01/14/2032 | 406,000 | 413,159 |
The accompanying notes are an integral part of the financial statements. | 23 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Financials (continued) | |||||
DNB Bank ASA (1.535% to 5-25-26, then 1 Year CMT + 0.720%) 05/25/2027 (C) | $ | 850,000 | $ | 851,546 | |
F&G Global Funding 1.750%, 06/30/2026 (C) | 800,000 | 803,292 | |||
FS KKR Capital Corp. | |||||
2.625%, 01/15/2027 | 481,000 | 475,534 | |||
3.400%, 01/15/2026 | 1,280,000 | 1,323,544 | |||
GE Capital Funding LLC | |||||
3.450%, 05/15/2025 | 382,000 | 415,719 | |||
4.400%, 05/15/2030 | 575,000 | 670,066 | |||
GE Capital International Funding Company 4.418%, 11/15/2035 | 1,399,000 | 1,676,676 | |||
Golub Capital BDC, Inc. 3.375%, 04/15/2024 | 588,000 | 613,465 | |||
JPMorgan Chase & Co. (0.824% to 6-1-24, then SOFR + 0.540%) 06/01/2025 | 1,485,000 | 1,482,154 | |||
JPMorgan Chase & Co. (1.040% to 2-4-26, then SOFR + 0.695%) 02/04/2027 | 3,263,000 | 3,209,365 | |||
JPMorgan Chase & Co. (1.045% to 11-19-25, then SOFR + 0.800%) 11/19/2026 | 1,819,000 | 1,795,976 | |||
JPMorgan Chase & Co. (2.069% to 6-1-28, then SOFR + 1.015%) 06/01/2029 | 1,617,000 | 1,629,711 | |||
JPMorgan Chase & Co. (2.083% to 4-22-25, then SOFR + 1.850%) 04/22/2026 | 1,427,000 | 1,475,581 | |||
JPMorgan Chase & Co. (2.182% to 6-1-27, then SOFR + 1.890%) 06/01/2028 | 999,000 | 1,022,957 | |||
Macquarie Group, Ltd. (1.629% to 9-23-26, then SOFR + 0.910%) 09/23/2027 (C) | 1,442,000 | 1,431,050 | |||
Morgan Stanley (0.790% to 5-30-24, then SOFR + 0.525%) 05/30/2025 | 3,370,000 | 3,358,106 | |||
Morgan Stanley (0.864% to 10-21-24, then SOFR + 0.745%) 10/21/2025 | 1,176,000 | 1,175,561 | |||
Morgan Stanley (0.985% to 12-10-25, then SOFR + 0.720%) 12/10/2026 | 1,659,000 | 1,632,830 | |||
NTT Finance Corp. 1.162%, 04/03/2026 (C) | 1,604,000 | 1,600,312 | |||
Oaktree Specialty Lending Corp. 2.700%, 01/15/2027 | 505,000 | 505,208 | |||
Owl Rock Capital Corp. | |||||
2.875%, 06/11/2028 | 337,000 | 334,471 | |||
3.400%, 07/15/2026 | 1,398,000 | 1,457,037 | |||
SBL Holdings, Inc. 5.000%, 02/18/2031 (C) | 1,128,000 | 1,214,988 | |||
Societe Generale SA (2.889% to 6-9-31, then 1 Year CMT + 1.300%) 06/09/2032 (C) | 754,000 | 762,988 | |||
Societe Generale SA (3.653% to 7-8-30, then 5 Year CMT + 3.000%) 07/08/2035 (C) | 667,000 | 692,079 | |||
Svensk Exportkredit AB 0.750%, 04/06/2023 | 1,388,000 | 1,398,328 | |||
The Andrew W. Mellon Foundation 0.947%, 08/01/2027 | 397,000 | 386,161 | |||
The Goldman Sachs Group, Inc. (0.657% to 9-10-23, then SOFR + 0.505%) 09/10/2024 | 2,408,000 | 2,404,027 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Financials (continued) | |||||
The Goldman Sachs Group, Inc. (1.542% to 9-10-26, then SOFR + 0.818%) 09/10/2027 | $ | 1,606,000 | $ | 1,601,480 | |
Trust Fibra Uno | |||||
5.250%, 01/30/2026 (C) | 503,000 | 565,875 | |||
6.390%, 01/15/2050 (C) | 556,000 | 650,526 | |||
UBS Group AG (2.095% to 2-11-31, then 1 Year CMT + 1.000%) 02/11/2032 (C) | 390,000 | 382,056 | |||
Westpac Banking Corp. (2.668% to 11-15-30, then 5 Year CMT + 1.750%) 11/15/2035 | 1,156,000 | 1,137,048 | |||
78,805,787 | |||||
Health care – 2.5% | |||||
AbbVie, Inc. | |||||
2.300%, 11/21/2022 | 1,016,000 | 1,042,846 | |||
3.750%, 11/14/2023 | 90,000 | 96,537 | |||
4.050%, 11/21/2039 | 378,000 | 439,019 | |||
4.250%, 11/21/2049 | 990,000 | 1,186,529 | |||
4.300%, 05/14/2036 | 235,000 | 278,809 | |||
4.400%, 11/06/2042 | 81,000 | 98,355 | |||
4.450%, 05/14/2046 | 239,000 | 288,621 | |||
Aetna, Inc. 3.875%, 08/15/2047 | 258,000 | 288,537 | |||
Astrazeneca Finance LLC | |||||
1.200%, 05/28/2026 | 661,000 | 658,746 | |||
1.750%, 05/28/2028 | 496,000 | 495,521 | |||
AstraZeneca PLC | |||||
1.375%, 08/06/2030 | 203,000 | 192,093 | |||
3.000%, 05/28/2051 | 331,000 | 341,247 | |||
Bristol-Myers Squibb Company 2.550%, 11/13/2050 | 1,009,000 | 964,825 | |||
CVS Health Corp. | |||||
2.700%, 08/21/2040 | 514,000 | 498,229 | |||
3.000%, 08/15/2026 | 351,000 | 378,584 | |||
3.700%, 03/09/2023 | 118,000 | 124,270 | |||
4.300%, 03/25/2028 | 646,000 | 742,194 | |||
4.780%, 03/25/2038 | 512,000 | 629,886 | |||
5.050%, 03/25/2048 | 609,000 | 791,015 | |||
Danaher Corp. 2.600%, 10/01/2050 | 478,000 | 457,058 | |||
DH Europe Finance II Sarl | |||||
2.050%, 11/15/2022 | 519,000 | 530,908 | |||
2.200%, 11/15/2024 (D) | 893,000 | 931,679 | |||
2.600%, 11/15/2029 | 662,000 | 692,127 | |||
Gilead Sciences, Inc. | |||||
1.200%, 10/01/2027 | 162,000 | 157,918 | |||
2.600%, 10/01/2040 | 564,000 | 542,955 | |||
2.800%, 10/01/2050 | 721,000 | 694,466 | |||
4.000%, 09/01/2036 | 291,000 | 336,377 | |||
Pfizer, Inc. | |||||
2.550%, 05/28/2040 | 1,133,000 | 1,139,383 | |||
2.700%, 05/28/2050 | 232,000 | 230,807 | |||
2.800%, 03/11/2022 | 313,000 | 318,696 | |||
Regeneron Pharmaceuticals, Inc. | |||||
1.750%, 09/15/2030 | 1,072,000 | 1,015,734 | |||
2.800%, 09/15/2050 | 402,000 | 366,043 | |||
Royalty Pharma PLC 3.550%, 09/02/2050 (C) | 763,000 | 758,915 | |||
Shire Acquisitions Investments Ireland DAC 2.875%, 09/23/2023 | 677,000 | 708,466 | |||
STERIS Irish FinCo Unlimited Company 3.750%, 03/15/2051 | 914,000 | 970,295 |
The accompanying notes are an integral part of the financial statements. | 24 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Health care (continued) | |||||
Takeda Pharmaceutical Company, Ltd. | |||||
2.050%, 03/31/2030 | $ | 1,231,000 | $ | 1,221,253 | |
3.175%, 07/09/2050 | 1,095,000 | 1,106,653 | |||
4.400%, 11/26/2023 | 578,000 | 627,451 | |||
Thermo Fisher Scientific, Inc. 4.497%, 03/25/2030 | 1,114,000 | 1,326,459 | |||
UnitedHealth Group, Inc. | |||||
2.300%, 05/15/2031 | 1,018,000 | 1,042,519 | |||
2.750%, 05/15/2040 | 249,000 | 252,164 | |||
2.900%, 05/15/2050 | 246,000 | 248,477 | |||
3.050%, 05/15/2041 | 170,000 | 178,047 | |||
3.250%, 05/15/2051 | 576,000 | 614,458 | |||
26,005,171 | |||||
Industrials – 2.2% | |||||
Adani International Container Terminal Pvt, Ltd. 3.000%, 02/16/2031 (C) | 282,000 | 272,032 | |||
Adani Ports & Special Economic Zone, Ltd. 4.200%, 08/04/2027 (C) | 583,000 | 607,357 | |||
Burlington Northern Santa Fe LLC | |||||
3.050%, 02/15/2051 | 326,000 | 339,326 | |||
3.300%, 09/15/2051 | 622,000 | 679,250 | |||
3.550%, 02/15/2050 | 165,000 | 186,585 | |||
Crowley Conro LLC 4.181%, 08/15/2043 | 509,856 | 602,127 | |||
DAE Funding LLC | |||||
1.550%, 08/01/2024 (C) | 1,591,000 | 1,587,770 | |||
2.625%, 03/20/2025 (C) | 532,000 | 541,113 | |||
3.375%, 03/20/2028 (C) | 210,000 | 214,637 | |||
Delta Air Lines, Inc. | |||||
4.500%, 10/20/2025 (C) | 1,322,000 | 1,420,649 | |||
4.750%, 10/20/2028 (C) | 1,919,000 | 2,133,463 | |||
General Electric Company 3.450%, 05/01/2027 | 645,000 | 709,029 | |||
GXO Logistics, Inc. | |||||
1.650%, 07/15/2026 (C) | 841,000 | 836,761 | |||
2.650%, 07/15/2031 (C) | 134,000 | 132,924 | |||
John Deere Capital Corp. | |||||
0.550%, 07/05/2022 | 998,000 | 1,001,863 | |||
1.200%, 04/06/2023 | 768,000 | 779,555 | |||
Northrop Grumman Corp. | |||||
2.930%, 01/15/2025 | 47,000 | 50,106 | |||
3.250%, 08/01/2023 to 01/15/2028 | 1,538,000 | 1,646,848 | |||
5.150%, 05/01/2040 | 343,000 | 450,101 | |||
Southwest Airlines Company | |||||
4.750%, 05/04/2023 | 698,000 | 748,771 | |||
5.125%, 06/15/2027 | 1,044,000 | 1,228,236 | |||
The Boeing Company | |||||
2.196%, 02/04/2026 | 1,234,000 | 1,245,795 | |||
3.250%, 02/01/2028 to 02/01/2035 | 1,097,000 | 1,143,381 | |||
3.625%, 02/01/2031 | 702,000 | 755,021 | |||
3.750%, 02/01/2050 | 707,000 | 729,235 | |||
5.705%, 05/01/2040 | 197,000 | 253,713 | |||
5.805%, 05/01/2050 | 52,000 | 70,025 | |||
Union Pacific Corp. | |||||
2.150%, 02/05/2027 | 515,000 | 534,105 | |||
2.400%, 02/05/2030 | 638,000 | 658,584 | |||
2.950%, 03/01/2022 | 579,000 | 589,576 | |||
3.150%, 03/01/2024 | 276,000 | 294,461 | |||
3.750%, 02/05/2070 | 103,000 | 113,533 | |||
22,555,932 | |||||
Information technology – 2.1% | |||||
Apple, Inc. | |||||
2.375%, 02/08/2041 | 326,000 | 316,074 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Information technology (continued) | |||||
Apple, Inc. (continued) | |||||
2.550%, 08/20/2060 | $ | 763,000 | $ | 711,787 | |
2.650%, 05/11/2050 to 02/08/2051 | 1,618,000 | 1,585,138 | |||
2.800%, 02/08/2061 | 326,000 | 317,513 | |||
Broadcom Corp. 3.875%, 01/15/2027 | 246,000 | 271,825 | |||
Broadcom, Inc. | |||||
2.450%, 02/15/2031 (C) | 569,000 | 559,153 | |||
3.150%, 11/15/2025 | 426,000 | 456,578 | |||
3.419%, 04/15/2033 (C) | 2,220,000 | 2,331,365 | |||
3.469%, 04/15/2034 (C) | 840,000 | 888,514 | |||
4.150%, 11/15/2030 | 579,000 | 649,299 | |||
Dell International LLC | |||||
4.900%, 10/01/2026 | 166,000 | 191,578 | |||
6.100%, 07/15/2027 | 331,000 | 405,532 | |||
8.350%, 07/15/2046 | 349,000 | 570,826 | |||
Flex, Ltd. 4.875%, 05/12/2030 | 397,000 | 460,702 | |||
HP, Inc. 2.200%, 06/17/2025 | 1,048,000 | 1,087,752 | |||
Intel Corp. 3.100%, 02/15/2060 | 142,000 | 145,080 | |||
KLA Corp. 3.300%, 03/01/2050 | 442,000 | 467,693 | |||
Microsoft Corp. 2.921%, 03/17/2052 | 329,000 | 349,183 | |||
NVIDIA Corp. 0.584%, 06/14/2024 | 479,000 | 479,109 | |||
NXP BV | |||||
3.150%, 05/01/2027 (C) | 324,000 | 346,592 | |||
3.250%, 05/11/2041 (C) | 356,000 | 366,028 | |||
3.875%, 06/18/2026 (C) | 677,000 | 749,810 | |||
Oracle Corp. | |||||
1.650%, 03/25/2026 | 1,001,000 | 1,014,676 | |||
2.300%, 03/25/2028 | 353,000 | 362,180 | |||
2.800%, 04/01/2027 | 995,000 | 1,055,132 | |||
2.875%, 03/25/2031 | 1,055,000 | 1,097,283 | |||
2.950%, 11/15/2024 | 230,000 | 244,969 | |||
3.650%, 03/25/2041 | 669,000 | 709,379 | |||
3.950%, 03/25/2051 | 467,000 | 509,725 | |||
4.100%, 03/25/2061 | 133,000 | 147,456 | |||
salesforce.com, Inc. | |||||
0.625%, 07/15/2024 (B) | 639,000 | 639,262 | |||
2.700%, 07/15/2041 (B) | 288,000 | 289,190 | |||
2.900%, 07/15/2051 (B) | 352,000 | 355,431 | |||
3.050%, 07/15/2061 (B) | 224,000 | 226,961 | |||
VMware, Inc. | |||||
3.900%, 08/21/2027 | 129,000 | 143,363 | |||
4.700%, 05/15/2030 | 653,000 | 772,642 | |||
21,274,780 | |||||
Materials – 0.6% | |||||
LYB International Finance III LLC | |||||
3.375%, 10/01/2040 | 975,000 | 1,009,447 | |||
3.625%, 04/01/2051 | 788,000 | 831,856 | |||
3.800%, 10/01/2060 | 162,000 | 171,283 | |||
NewMarket Corp. 2.700%, 03/18/2031 | 821,000 | 820,862 | |||
Newmont Corp. 2.250%, 10/01/2030 | 588,000 | 586,394 | |||
Teck Resources, Ltd. | |||||
3.900%, 07/15/2030 (D) | 292,000 | 314,626 | |||
5.200%, 03/01/2042 | 384,000 | 451,780 | |||
6.125%, 10/01/2035 | 329,000 | 423,563 | |||
6.250%, 07/15/2041 | 374,000 | 488,728 |
The accompanying notes are an integral part of the financial statements. | 25 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Materials (continued) | |||||
Westlake Chemical Corp. | |||||
3.600%, 08/15/2026 | $ | 356,000 | $ | 387,996 | |
4.375%, 11/15/2047 | 691,000 | 810,398 | |||
5.000%, 08/15/2046 | 8,000 | 10,116 | |||
6,307,049 | |||||
Real estate – 1.7% | |||||
Agree LP 2.000%, 06/15/2028 | 703,000 | 697,217 | |||
American Tower Corp. | |||||
1.600%, 04/15/2026 | 657,000 | 663,939 | |||
2.700%, 04/15/2031 | 492,000 | 507,402 | |||
Brixmor Operating Partnership LP 2.250%, 04/01/2028 | 227,000 | 226,729 | |||
Crown Castle International Corp. | |||||
1.050%, 07/15/2026 | 976,000 | 953,207 | |||
2.100%, 04/01/2031 | 1,804,000 | 1,758,043 | |||
2.500%, 07/15/2031 | 705,000 | 710,019 | |||
2.900%, 04/01/2041 | 456,000 | 443,563 | |||
4.000%, 03/01/2027 | 163,000 | 182,411 | |||
Essex Portfolio LP | |||||
1.700%, 03/01/2028 | 853,000 | 837,604 | |||
2.550%, 06/15/2031 | 335,000 | 339,328 | |||
Federal Realty Investment Trust 3.950%, 01/15/2024 | 451,000 | 483,640 | |||
GLP Capital LP | |||||
4.000%, 01/15/2030 | 268,000 | 287,647 | |||
5.300%, 01/15/2029 | 329,000 | 383,285 | |||
Mid-America Apartments LP | |||||
3.950%, 03/15/2029 | 328,000 | 371,852 | |||
4.000%, 11/15/2025 | 399,000 | 442,955 | |||
4.300%, 10/15/2023 | 334,000 | 358,608 | |||
Regency Centers LP 2.950%, 09/15/2029 | 708,000 | 745,571 | |||
Scentre Group Trust 1 3.625%, 01/28/2026 (C) | 514,000 | 561,813 | |||
Spirit Realty LP | |||||
2.100%, 03/15/2028 | 649,000 | 646,312 | |||
2.700%, 02/15/2032 | 355,000 | 351,897 | |||
3.200%, 02/15/2031 | 772,000 | 804,571 | |||
3.400%, 01/15/2030 | 392,000 | 417,813 | |||
4.000%, 07/15/2029 | 188,000 | 208,675 | |||
4.450%, 09/15/2026 | 41,000 | 45,724 | |||
STORE Capital Corp. | |||||
2.750%, 11/18/2030 | 577,000 | 580,817 | |||
4.500%, 03/15/2028 | 1,231,000 | 1,390,664 | |||
4.625%, 03/15/2029 | 416,000 | 473,155 | |||
VEREIT Operating Partnership LP | |||||
2.200%, 06/15/2028 | 349,000 | 354,108 | |||
2.850%, 12/15/2032 | 472,000 | 493,059 | |||
3.400%, 01/15/2028 | 346,000 | 376,283 | |||
Vornado Realty LP | |||||
2.150%, 06/01/2026 | 402,000 | 407,400 | |||
3.400%, 06/01/2031 | 201,000 | 207,821 | |||
17,713,132 | |||||
Utilities – 2.8% | |||||
Baltimore Gas and Electric Company 2.250%, 06/15/2031 | 482,000 | 486,583 | |||
Black Hills Corp. | |||||
3.050%, 10/15/2029 | 235,000 | 250,094 | |||
3.875%, 10/15/2049 | 293,000 | 316,484 | |||
Consumers Energy Company 2.500%, 05/01/2060 | 276,000 | 248,760 | |||
Dominion Energy, Inc. | |||||
1.450%, 04/15/2026 | 728,000 | 733,138 | |||
2.000%, 08/15/2021 | 459,000 | 459,291 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Utilities (continued) | |||||
Dominion Energy, Inc. (continued) | |||||
3.300%, 04/15/2041 | $ | 263,000 | $ | 276,127 | |
DTE Electric Company 2.950%, 03/01/2050 | 720,000 | 736,382 | |||
DTE Energy Company | |||||
1.050%, 06/01/2025 | 337,000 | 336,907 | |||
2.950%, 03/01/2030 | 436,000 | 459,744 | |||
3.800%, 03/15/2027 | 657,000 | 730,962 | |||
Duke Energy Carolinas LLC 2.550%, 04/15/2031 | 329,000 | 341,565 | |||
Duke Energy Corp. | |||||
1.800%, 09/01/2021 | 687,000 | 687,655 | |||
2.550%, 06/15/2031 | 1,284,000 | 1,299,310 | |||
3.500%, 06/15/2051 | 193,000 | 199,606 | |||
Duke Energy Progress LLC 2.500%, 08/15/2050 | 489,000 | 450,804 | |||
Entergy Arkansas LLC 2.650%, 06/15/2051 | 436,000 | 412,559 | |||
Entergy Corp. 1.900%, 06/15/2028 | 652,000 | 651,051 | |||
Evergy Kansas Central, Inc. 3.450%, 04/15/2050 | 545,000 | 597,081 | |||
Evergy, Inc. | |||||
2.450%, 09/15/2024 | 609,000 | 637,769 | |||
2.900%, 09/15/2029 | 432,000 | 457,797 | |||
Eversource Energy 2.550%, 03/15/2031 | 489,000 | 501,849 | |||
Interstate Power & Light Company 3.500%, 09/30/2049 | 249,000 | 268,530 | |||
ITC Holdings Corp. 2.700%, 11/15/2022 | 659,000 | 677,468 | |||
Jersey Central Power & Light Company 2.750%, 03/01/2032 (C) | 459,000 | 465,927 | |||
Metropolitan Edison Company 4.300%, 01/15/2029 (C) | 728,000 | 815,075 | |||
Mid-Atlantic Interstate Transmission LLC 4.100%, 05/15/2028 (C) | 93,000 | 104,660 | |||
Mississippi Power Company | |||||
3.100%, 07/30/2051 | 575,000 | 578,008 | |||
3.950%, 03/30/2028 | 803,000 | 903,294 | |||
4.250%, 03/15/2042 | 221,000 | 260,310 | |||
NextEra Energy Capital Holdings, Inc. 1.900%, 06/15/2028 | 643,000 | 649,907 | |||
Northern States Power Company | |||||
2.250%, 04/01/2031 | 325,000 | 334,450 | |||
3.200%, 04/01/2052 | 327,000 | 348,340 | |||
NSTAR Electric Company 3.100%, 06/01/2051 | 297,000 | 307,181 | |||
Pacific Gas & Electric Company | |||||
2.100%, 08/01/2027 | 1,107,000 | 1,075,100 | |||
2.500%, 02/01/2031 | 898,000 | 841,917 | |||
3.300%, 08/01/2040 | 25,000 | 22,577 | |||
3.500%, 08/01/2050 | 116,000 | 103,386 | |||
3.950%, 12/01/2047 | 632,000 | 587,801 | |||
4.200%, 06/01/2041 | 281,000 | 276,848 | |||
4.500%, 07/01/2040 | 166,000 | 166,080 | |||
4.750%, 02/15/2044 (E) | 163,000 | 164,572 | |||
4.950%, 07/01/2050 | 326,000 | 335,313 | |||
Pennsylvania Electric Company 3.250%, 03/15/2028 (C) | 276,000 | 289,815 | |||
Piedmont Natural Gas Company, Inc. 2.500%, 03/15/2031 | 489,000 | 496,661 | |||
PPL Capital Funding, Inc. 3.100%, 05/15/2026 | 427,000 | 459,049 |
The accompanying notes are an integral part of the financial statements. | 26 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Utilities (continued) | |||||
Public Service Company of Colorado 1.875%, 06/15/2031 | $ | 747,000 | $ | 742,832 | |
Public Service Electric & Gas Company | |||||
2.050%, 08/01/2050 | 134,000 | 115,541 | |||
2.700%, 05/01/2050 | 723,000 | 715,426 | |||
Southern California Edison Company 4.125%, 03/01/2048 | 364,000 | 387,909 | |||
Southern Company Gas Capital Corp. 1.750%, 01/15/2031 | 508,000 | 480,497 | |||
Tampa Electric Company | |||||
2.400%, 03/15/2031 | 491,000 | 501,614 | |||
3.450%, 03/15/2051 | 392,000 | 429,432 | |||
The AES Corp. 1.375%, 01/15/2026 (C) | 702,000 | 695,113 | |||
The Southern Company 1.750%, 03/15/2028 | 487,000 | 480,717 | |||
Trans-Allegheny Interstate Line Company 3.850%, 06/01/2025 (C) | 229,000 | 247,555 | |||
Virginia Electric and Power Company 2.450%, 12/15/2050 | 476,000 | 438,534 | |||
WEC Energy Group, Inc. | |||||
0.800%, 03/15/2024 | 823,000 | 824,898 | |||
1.375%, 10/15/2027 | 472,000 | 461,007 | |||
Wisconsin Electric Power Company 1.700%, 06/15/2028 | 323,000 | 323,992 | |||
28,648,854 | |||||
TOTAL CORPORATE BONDS (Cost $284,775,382) | $ | 290,784,314 | |||
MUNICIPAL BONDS – 0.4% | |||||
Board of Regents of the University of Texas 2.439%, 08/15/2049 | 285,000 | 273,904 | |||
County of Clark Department of Aviation (Nevada) 6.820%, 07/01/2045 | 750,000 | 1,167,588 | |||
North Texas Tollway Authority 6.718%, 01/01/2049 | 697,000 | 1,151,030 | |||
Port Authority of New York & New Jersey 4.458%, 10/01/2062 | 571,000 | 749,109 | |||
The Ohio State University 4.800%, 06/01/2111 | 464,000 | 657,922 | |||
TOTAL MUNICIPAL BONDS (Cost $3,491,228) | $ | 3,999,553 | |||
COLLATERALIZED MORTGAGE OBLIGATIONS – 7.9% | |||||
Commercial and residential – 3.6% | |||||
Angel Oak Mortgage Trust LLC | |||||
Series 2019-2, Class A1, 3.628%, 03/25/2049 (C)(F) | 195,617 | 197,912 | |||
Series 2020-2, Class A1A, 2.531%, 01/26/2065 (C)(F) | 315,402 | 320,813 | |||
Series 2020-5, Class A1, 1.373%, 05/25/2065 (C)(F) | 264,974 | 265,906 | |||
BBCMS Trust Series 2021-C10, Class A5 2.492%, 07/15/2054 (B) | 789,000 | 818,735 | |||
Benchmark Mortgage Trust | |||||
Series 2021-B26, Class A5, 2.613%, 06/15/2054 | 471,000 | 494,082 | |||
Series 2021-B27, Class A5, 2.390%, 07/15/2054 | 287,000 | 295,288 |
Shares or Principal Amount | Value | ||||
COLLATERALIZED MORTGAGE OBLIGATIONS (continued) | |||||
Commercial and residential (continued) | |||||
Bunker Hill Loan Depositary Trust Series 2019-2, Class A1 2.879%, 07/25/2049 (C) | $ | 606,178 | $ | 615,130 | |
CD Mortgage Trust Series 2019-CD8, Class A4 2.912%, 08/15/2057 | 405,000 | 431,919 | |||
CFCRE Commercial Mortgage Trust Series 2017-C8, Class ASB 3.367%, 06/15/2050 | 305,000 | 326,881 | |||
COLT Mortgage Loan Trust Series 2019-4, Class A1 2.579%, 11/25/2049 (C)(F) | 402,065 | 403,582 | |||
Commercial Mortgage Trust (Cantor Fitzgerald/Deutsche Bank AG) | |||||
Series 2013-CR10, Class A4, 4.210%, 08/10/2046 (F) | 15,000 | 16,009 | |||
Series 2013-CR11, Class A4, 4.258%, 08/10/2050 | 1,838,000 | 1,971,556 | |||
Series 2013-CR6, Class A4, 3.101%, 03/10/2046 | 1,394,000 | 1,430,279 | |||
Series 2014-UBS4, Class A4, 3.420%, 08/10/2047 | 730,000 | 768,786 | |||
Series 2015-LC21, Class A4, 3.708%, 07/10/2048 | 304,000 | 331,920 | |||
Series 2015-LC23, Class A3, 3.521%, 10/10/2048 | 379,000 | 405,231 | |||
CSAIL Commercial Mortgage Trust | |||||
Series 2015-C2, Class A4, 3.504%, 06/15/2057 | 424,000 | 457,771 | |||
Series 2015-C4, Class A4, 3.808%, 11/15/2048 | 337,000 | 371,015 | |||
Series 2019-C16, Class A3, 3.329%, 06/15/2052 | 891,000 | 973,239 | |||
Series 2019-C17, Class A4, 2.763%, 09/15/2052 | 429,000 | 450,500 | |||
Series 2021-C20, Class A3, 2.805%, 03/15/2054 | 963,000 | 1,018,516 | |||
GCAT Trust Series 2019-NQM1, Class A1 2.985%, 02/25/2059 (C) | 209,199 | 209,928 | |||
GS Mortgage Securities Trust | |||||
Series 2014-GC18, Class A4, 4.074%, 01/10/2047 | 971,000 | 1,039,310 | |||
Series 2020-GSA2, Class A4, 1.721%, 12/12/2053 | 806,000 | 789,243 | |||
Impact Funding Affordable Multifamily Housing Mortgage Loan Trust Series 2010-1, Class A1 5.314%, 01/25/2051 (C) | 1,092,648 | 1,164,644 | |||
JPMBB Commercial Mortgage Securities Trust | |||||
Series 2014-C23, Class A4, 3.670%, 09/15/2047 | 355,857 | 379,123 | |||
Series 2015-C28, Class A3, 2.912%, 10/15/2048 | 1,646,379 | 1,704,459 | |||
Mello Warehouse Securitization Trust | |||||
Series 2020-2, Class A (1 month LIBOR + 0.800%), 0.892%, 11/25/2053 (A)(C) | 982,000 | 983,094 | |||
Series 2021-1, Class A (1 month LIBOR + 0.700%), 0.806%, 02/25/2055 (A)(C) | 288,000 | 288,000 |
The accompanying notes are an integral part of the financial statements. | 27 |
Shares or Principal Amount | Value | ||||
COLLATERALIZED MORTGAGE OBLIGATIONS (continued) | |||||
Commercial and residential (continued) | |||||
Mello Warehouse Securitization Trust (continued) | |||||
Series 2021-2, Class A (1 month LIBOR + 0.750%), 0.842%, 04/25/2055 (A)(C) | $ | 786,000 | $ | 786,168 | |
Morgan Stanley Bank of America Merrill Lynch Trust | |||||
Series 2012-C5, Class A4, 3.176%, 08/15/2045 | 209,000 | 212,529 | |||
Series 2015-C20, Class A4, 3.249%, 02/15/2048 | 158,000 | 168,886 | |||
Morgan Stanley Capital Trust | |||||
Series 2020-HR8, Class A3, 1.790%, 07/15/2053 | 576,000 | 568,226 | |||
Series 2021-L6, Class A4, 2.444%, 06/15/2054 (B) | 479,000 | 493,368 | |||
MSG III Securitization Trust Series 2021-1, Class A (1 month LIBOR + 0.750%) 0.841%, 06/25/2054 (A)(C) | 489,000 | 488,910 | |||
New Residential Mortgage Loan Trust Series 2019-NQM4, Class A1 2.492%, 09/25/2059 (C)(F) | 405,643 | 409,643 | |||
NewRez Warehouse Securitization Trust Series 2021-1, Class A (1 month LIBOR + 0.750%) 0.842%, 05/25/2055 (A)(C) | 2,043,000 | 2,046,058 | |||
STAR Trust Series 2021-1, Class A1 1.219%, 05/25/2065 (C)(F) | 627,647 | 629,291 | |||
Starwood Mortgage Residential Trust | |||||
Series 2020-1, Class A1, 2.275%, 02/25/2050 (C)(F) | 842,575 | 852,027 | |||
Series 2020-3, Class A1, 1.486%, 04/25/2065 (C)(F) | 677,182 | 683,096 | |||
Series 2020-INV1, Class A1, 1.027%, 11/25/2055 (C)(F) | 549,866 | 549,658 | |||
Verus Securitization Trust | |||||
Series 2019-3, Class A1, 2.784%, 07/25/2059 (C) | 842,238 | 852,814 | |||
Series 2019-4, Class A1, 2.642%, 11/25/2059 (C) | 1,108,920 | 1,127,459 | |||
Series 2019-INV2, Class A1, 2.913%, 07/25/2059 (C)(F) | 487,245 | 495,370 | |||
Series 2019-INV3, Class A1, 2.692%, 11/25/2059 (C)(F) | 323,303 | 329,268 | |||
Series 2020-1, Class A1, 2.417%, 01/25/2060 (C) | 1,271,472 | 1,287,974 | |||
Series 2020-2, Class A1, 2.226%, 05/25/2060 (C)(F) | 607,140 | 612,190 | |||
Series 2020-5, Class A1, 1.218%, 05/25/2065 (C) | 219,171 | 219,733 | |||
Series 2021-1, Class A1, 0.815%, 01/25/2066 (C)(F) | 730,001 | 729,287 | |||
Series 2021-2, Class A1, 1.031%, 02/25/2066 (C)(F) | 1,257,855 | 1,258,304 | |||
Series 2021-3, Class A1, 1.046%, 06/25/2066 (C)(F) | 849,000 | 848,960 | |||
Series 2021-R1, Class A1, 0.820%, 10/25/2063 (C)(F) | 881,193 | 880,435 | |||
Series 2021-R3, Class A1, 1.020%, 04/25/2064 (C)(F) | 830,196 | 829,334 |
Shares or Principal Amount | Value | ||||
COLLATERALIZED MORTGAGE OBLIGATIONS (continued) | |||||
Commercial and residential (continued) | |||||
Visio Trust Series 2020-1R, Class A1 1.312%, 11/25/2055 (C) | $ | 604,075 | $ | 605,347 | |
36,887,206 | |||||
U.S. Government Agency – 4.3% | |||||
Federal Home Loan Mortgage Corp. | |||||
Series 264, Class 30, 3.000%, 07/15/2042 | 1,690,489 | 1,765,161 | |||
Series 4205, Class PA, 1.750%, 05/15/2043 | 465,071 | 480,381 | |||
Series 4426, Class QC, 1.750%, 07/15/2037 | 808,481 | 828,664 | |||
Series 4705, Class A, 4.500%, 09/15/2042 | 207,050 | 211,933 | |||
Series 4742, Class PA, 3.000%, 10/15/2047 | 1,868,084 | 1,935,875 | |||
Series 4763, Class CA, 3.000%, 09/15/2038 | 245,576 | 262,081 | |||
Series 4767, Class KA, 3.000%, 03/15/2048 | 772,412 | 824,623 | |||
Series 4846, Class PF (1 month LIBOR + 0.350%), 0.423%, 12/15/2048 (A) | 151,455 | 150,565 | |||
Series 4880, Class DA, 3.000%, 05/15/2050 | 1,044,204 | 1,115,503 | |||
Series 5091, Class AB, 1.500%, 03/25/2051 | 1,981,332 | 1,984,142 | |||
Series 5092, Class DT, 1.500%, 11/25/2049 | 2,120,838 | 2,134,238 | |||
Series 5119, Class AB, 1.500%, 08/25/2049 | 782,620 | 789,241 | |||
Federal National Mortgage Association | |||||
Series 2012-151, Class NX, 1.500%, 01/25/2043 | 549,840 | 555,036 | |||
Series 2013-11, Class AP, 1.500%, 01/25/2043 | 1,710,084 | 1,734,280 | |||
Series 2013-30, Class CA, 1.500%, 04/25/2043 | 219,897 | 222,249 | |||
Series 2013-43, Class BP, 1.750%, 05/25/2043 | 617,750 | 636,802 | |||
Series 2014-73, Class MA, 2.500%, 11/25/2044 | 375,021 | 397,560 | |||
Series 2015-84, Class PA, 1.700%, 08/25/2033 | 2,081,293 | 2,148,247 | |||
Series 2016-48, Class MA, 2.000%, 06/25/2038 | 2,158,161 | 2,245,491 | |||
Series 2016-57, Class PC, 1.750%, 06/25/2046 | 4,070,520 | 4,119,164 | |||
Series 2017-13, Class PA, 3.000%, 08/25/2046 | 815,903 | 856,747 | |||
Series 2017-42, Class H, 3.000%, 11/25/2043 | 435,891 | 449,777 | |||
Series 2017-M7, Class A2, 2.961%, 02/25/2027 (F) | 320,000 | 347,469 | |||
Series 2018-14, Class KC, 3.000%, 03/25/2048 | 1,341,283 | 1,431,020 | |||
Series 2018-15, Class AB, 3.000%, 03/25/2048 | 307,059 | 327,419 | |||
Series 2018-8, Class KL, 2.500%, 03/25/2047 | 802,563 | 837,860 | |||
Series 2019-25, Class PA, 3.000%, 05/25/2048 | 1,391,483 | 1,474,331 |
The accompanying notes are an integral part of the financial statements. | 28 |
Shares or Principal Amount | Value | ||||
COLLATERALIZED MORTGAGE OBLIGATIONS (continued) | |||||
U.S. Government Agency (continued) | |||||
Federal National Mortgage Association (continued) | |||||
Series 2019-35, Class A, 3.000%, 07/25/2049 | $ | 510,921 | $ | 533,115 | |
Series 2020-48, Class AB, 2.000%, 07/25/2050 | 801,747 | 818,129 | |||
Series 2020-48, Class DA, 2.000%, 07/25/2050 | 2,651,489 | 2,694,064 | |||
Series 2021-27, Class EC, 1.500%, 05/25/2051 | 2,958,494 | 2,978,696 | |||
Series 414, Class A35, 3.500%, 10/25/2042 | 1,791,469 | 1,941,324 | |||
Government National Mortgage Association | |||||
Series 2012-141, Class WA, 4.529%, 11/16/2041 (F) | 242,280 | 270,266 | |||
Series 2017-167, Class BQ, 2.500%, 08/20/2044 | 838,482 | 868,786 | |||
Series 2018-11, Class PC, 2.750%, 12/20/2047 | 944,245 | 971,142 | |||
Series 2019-132, Class NA, 3.500%, 09/20/2049 | 657,290 | 698,221 | |||
Series 2019-31, Class JC, 3.500%, 03/20/2049 | 536,880 | 575,693 | |||
Series 2021-23, Class MG, 1.500%, 02/20/2051 | 1,976,996 | 2,002,203 | |||
44,617,498 | |||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $80,001,003) | $ | 81,504,704 | |||
ASSET BACKED SECURITIES – 8.3% | |||||
AmeriCredit Automobile Receivables Trust Series 2020-2, Class A2A 0.600%, 12/18/2023 | 772,581 | 773,490 | |||
Avis Budget Rental Car Funding AESOP LLC | |||||
Series 2017-1A, Class A 3.070%, 09/20/2023 (C) | 637,000 | 654,431 | |||
Series 2019-3A, Class A 2.360%, 03/20/2026 (C) | 678,000 | 709,378 | |||
BA Credit Card Trust Series 2021-A1, Class A1 0.440%, 09/15/2026 | 1,088,000 | 1,085,027 | |||
College Ave Student Loans LLC | |||||
Series 2017-A, Class A1 (1 month LIBOR + 1.650%) 1.742%, 11/26/2046 (A)(C) | 487,739 | 496,884 | |||
Series 2018-A, Class A2 4.130%, 12/26/2047 (C) | 336,976 | 354,797 | |||
Series 2019-A, Class A2 3.280%, 12/28/2048 (C) | 556,769 | 574,834 | |||
Series 2021-A, Class A2 1.600%, 07/25/2051 (C) | 850,026 | 847,569 | |||
Ford Credit Auto Owner Trust | |||||
Series 2018-1, Class A 3.190%, 07/15/2031 (C) | 597,000 | 644,051 | |||
Series 2019-1, Class A 3.520%, 07/15/2030 (C) | 1,452,000 | 1,559,763 | |||
Series 2021-1, Class A 1.370%, 10/17/2033 (C) | 1,677,000 | 1,688,649 | |||
Hertz Vehicle Financing III LP Series 2021-2A, Class A 1.680%, 12/27/2027 (C) | 1,594,000 | 1,591,873 |
Shares or Principal Amount | Value | ||||
ASSET BACKED SECURITIES (continued) | |||||
Hertz Vehicle Financing LLC Series 2021-1A, Class A 1.210%, 12/26/2025 (C) | $ | 542,000 | $ | 541,707 | |
Navient Private Education Loan Trust | |||||
Series 2014-AA, Class A3 (1 month LIBOR + 1.600%) 1.673%, 10/15/2031 (A)(C) | 470,000 | 477,911 | |||
Series 2016-AA, Class A2B (1 month LIBOR + 2.150%) 2.223%, 12/15/2045 (A)(C) | 399,948 | 411,473 | |||
Series 2020-IA, Class A1A 1.330%, 04/15/2069 (C) | 2,667,938 | 2,662,461 | |||
Navient Private Education Refi Loan Trust | |||||
Series 2018-A, Class A2 3.190%, 02/18/2042 (C) | 42,837 | 43,411 | |||
Series 2018-CA, Class A2 3.520%, 06/16/2042 (C) | 126,046 | 128,245 | |||
Series 2018-DA, Class A2A 4.000%, 12/15/2059 (C) | 918,499 | 966,715 | |||
Series 2019-CA, Class A2 3.130%, 02/15/2068 (C) | 1,060,313 | 1,083,481 | |||
Series 2019-D, Class A2A 3.010%, 12/15/2059 (C) | 1,656,792 | 1,725,543 | |||
Series 2019-FA, Class A2 2.600%, 08/15/2068 (C) | 1,201,461 | 1,224,612 | |||
Series 2019-GA, Class A 2.400%, 10/15/2068 (C) | 603,439 | 615,752 | |||
Series 2020-A, Class A2A 2.460%, 11/15/2068 (C) | 1,243,000 | 1,283,646 | |||
Series 2020-BA, Class A2 2.120%, 01/15/2069 (C) | 777,458 | 789,007 | |||
Series 2020-DA, Class A 1.690%, 05/15/2069 (C) | 482,095 | 486,932 | |||
Series 2020-EA, Class A 1.690%, 05/15/2069 (C) | 172,198 | 174,919 | |||
Series 2020-GA, Class A 1.170%, 09/16/2069 (C) | 1,200,869 | 1,205,860 | |||
Series 2020-HA, Class A 1.310%, 01/15/2069 (C) | 661,337 | 665,734 | |||
Series 2021-A, Class A 0.840%, 05/15/2069 (C) | 335,123 | 334,510 | |||
Series 2021-BA, Class A 0.940%, 07/15/2069 (C) | 1,747,456 | 1,746,534 | |||
Series 2021-CA, Class A 1.060%, 10/15/2069 (C) | 3,456,000 | 3,463,297 | |||
Navient Student Loan Trust Series 2019-BA, Class A2A 3.390%, 12/15/2059 (C) | 1,434,653 | 1,499,043 | |||
Nelnet Student Loan Trust | |||||
Series 2004-3, Class A5 (3 month LIBOR + 0.180%) 0.356%, 10/27/2036 (A) | 1,101,828 | 1,086,478 | |||
Series 2004-4, Class A5 (3 month LIBOR + 0.160%) 0.336%, 01/25/2037 (A) | 1,123,725 | 1,111,149 | |||
Series 2005-1, Class A5 (3 month LIBOR + 0.110%) 0.286%, 10/25/2033 (A) | 3,392,462 | 3,341,439 | |||
Series 2005-2, Class A5 (3 month LIBOR + 0.100%) 0.235%, 03/23/2037 (A) | 3,296,713 | 3,244,171 | |||
Series 2005-3, Class A5 (3 month LIBOR + 0.120%) 0.255%, 12/24/2035 (A) | 2,264,595 | 2,229,577 |
The accompanying notes are an integral part of the financial statements. | 29 |
Shares or Principal Amount | Value | ||||
ASSET BACKED SECURITIES (continued) | |||||
Nelnet Student Loan Trust (continued) | |||||
Series 2005-4, Class A4 (3 month LIBOR + 0.180%) 0.315%, 03/22/2032 (A) | $ | 568,475 | $ | 550,677 | |
Nissan Auto Receivables Owner Trust Series 2021-A, Class A3 0.330%, 10/15/2025 | 867,000 | 866,048 | |||
Santander Drive Auto Receivables Trust | |||||
Series 2020-1, Class A3 2.030%, 02/15/2024 | 376,236 | 378,070 | |||
Series 2020-2, Class A2A 0.620%, 05/15/2023 | 150,966 | 150,994 | |||
Series 2020-3, Class A3 0.520%, 07/15/2024 | 584,000 | 584,592 | |||
Series 2020-4, Class A3 0.480%, 07/15/2024 | 528,000 | 528,890 | |||
Santander Retail Auto Lease Trust Series 2021-B, Class A3 0.510%, 08/20/2024 (C) | 495,000 | 493,835 | |||
Santander Revolving Auto Loan Trust Series 2019-A, Class A 2.510%, 01/26/2032 (C) | 556,000 | 585,860 | |||
SLM Student Loan Trust | |||||
Series 2003-1, Class A5C (3 month LIBOR + 0.750%) 0.869%, 12/15/2032 (A)(C) | 689,470 | 672,169 | |||
Series 2003-10A, Class A4 (3 month LIBOR + 0.670%) 0.789%, 12/17/2068 (A)(C) | 1,670,000 | 1,673,664 | |||
Series 2007-2, Class A4 (3 month LIBOR + 0.060%) 0.236%, 07/25/2022 (A) | 2,862,462 | 2,787,550 | |||
Series 2007-3, Class A4 (3 month LIBOR + 0.060%) 0.236%, 01/25/2022 (A) | 772,423 | 752,216 | |||
Series 2010-1, Class A (1 month LIBOR + 0.400%) 0.492%, 03/25/2025 (A) | 818,297 | 804,800 | |||
Series 2012-1, Class A3 (1 month LIBOR + 0.950%) 1.042%, 09/25/2028 (A) | 1,897,582 | 1,876,107 | |||
Series 2012-2, Class A (1 month LIBOR + 0.700%) 0.792%, 01/25/2029 (A) | 1,601,193 | 1,573,375 | |||
Series 2012-6, Class A3 (1 month LIBOR + 0.750%) 0.842%, 05/26/2026 (A) | 1,103,746 | 1,092,537 | |||
SMB Private Education Loan Trust | |||||
Series 2015-B, Class A2B (1 month LIBOR + 1.200%) 1.273%, 07/15/2027 (A)(C) | 200,217 | 200,831 | |||
Series 2016-A, Class A2A 2.700%, 05/15/2031 (C) | 1,002,136 | 1,027,339 | |||
Series 2016-B, Class A2A 2.430%, 02/17/2032 (C) | 152,351 | 156,094 | |||
Series 2016-B, Class A2B (1 month LIBOR + 1.450%) 1.523%, 02/17/2032 (A)(C) | 59,852 | 60,690 | |||
Series 2016-C, Class A2B (1 month LIBOR + 1.100%) 1.201%, 09/15/2034 (A)(C) | 411,421 | 415,044 | |||
Series 2018-C, Class A2A 3.630%, 11/15/2035 (C) | 212,491 | 223,744 | |||
Series 2019-A, Class A2A 3.440%, 07/15/2036 (C) | 463,354 | 485,762 | |||
Series 2020-B, Class A1A 1.290%, 07/15/2053 (C) | 1,573,200 | 1,578,214 |
Shares or Principal Amount | Value | ||||
ASSET BACKED SECURITIES (continued) | |||||
SMB Private Education Loan Trust (continued) | |||||
Series 2020-PTA, Class A2A 1.600%, 09/15/2054 (C) | $ | 1,673,000 | $ | 1,689,208 | |
Series 2020-PTB, Class A2A 1.600%, 09/15/2054 (C) | 4,469,000 | 4,502,403 | |||
Series 2021-A, Class APT1 1.070%, 01/15/2053 (C) | 3,993,093 | 3,933,012 | |||
Series 2021-B, Class A 1.310%, 07/17/2051 (C) | 1,714,000 | 1,707,261 | |||
Series 2021-C, Class A1 (1 month LIBOR + 0.400%) 0.490%, 01/15/2053 (A)(C) | 828,000 | 828,000 | |||
Series 2021-C, Class A2 (1 month LIBOR + 0.800%) 0.890%, 01/15/2053 (A)(C) | 1,275,000 | 1,275,000 | |||
SoFi Professional Loan Program LLC | |||||
Series 2016-A, Class A2 2.760%, 12/26/2036 (C) | 235,238 | 237,765 | |||
Series 2016-E, Class A1 (1 month LIBOR + 0.850%) 0.942%, 07/25/2039 (A)(C) | 62,907 | 63,017 | |||
Series 2017-A, Class A1 (1 month LIBOR + 0.700%) 0.792%, 03/26/2040 (A)(C) | 56,803 | 56,885 | |||
Series 2017-D, Class A2FX 2.650%, 09/25/2040 (C) | 59,362 | 60,643 | |||
Series 2017-E, Class A1 (1 month LIBOR + 0.500%) 0.592%, 11/26/2040 (A)(C) | 36,995 | 37,019 | |||
Series 2017-E, Class A2B 2.720%, 11/26/2040 (C) | 1,062,925 | 1,081,502 | |||
Series 2018-A, Class A2B 2.950%, 02/25/2042 (C) | 348,100 | 354,746 | |||
Series 2020-A, Class A2FX 2.540%, 05/15/2046 (C) | 1,377,000 | 1,422,696 | |||
Series 2020-C, Class AFX 1.950%, 02/15/2046 (C) | 1,031,787 | 1,046,951 | |||
Series 2021-A, Class AFX 1.030%, 08/17/2043 (C) | 587,000 | 586,691 | |||
Tesla Auto Lease Trust Series 2021-A, Class A3 0.560%, 03/20/2025 (C) | 382,000 | 382,779 | |||
Toyota Auto Loan Extended Note Trust Series 2021-1A, Class A 1.070%, 02/27/2034 (C) | 1,777,000 | 1,777,975 | |||
Triton Container Finance VIII LLC Series 2020-1A, Class A 2.110%, 09/20/2045 (C) | 399,779 | 401,909 | |||
Verizon Master Trust Series 2021-1, Class A 0.500%, 05/20/2027 | 1,614,000 | 1,610,271 | |||
TOTAL ASSET BACKED SECURITIES (Cost $85,618,217) | $ | 86,099,188 |
The accompanying notes are an integral part of the financial statements. | 30 |
Shares or Principal Amount | Value | ||||
SHORT-TERM INVESTMENTS – 2.1% | |||||
Short-term funds – 2.1% | |||||
John Hancock Collateral Trust, 0.0324% (G)(H) | 163,840 | $ | 1,639,149 | ||
State Street Institutional U.S. Government Money Market Fund, Premier Class, 0.0250% (G) | 20,468,469 | 20,468,469 | |||
TOTAL SHORT-TERM INVESTMENTS (Cost $22,107,626) | $ | 22,107,618 | |||
Total Investments (Core Bond Trust) (Cost $1,111,649,112) – 108.1% | $ | 1,118,823,105 | |||
Other assets and liabilities, net – (8.1%) | (83,963,369) | ||||
TOTAL NET ASSETS – 100.0% | $ | 1,034,859,736 |
Security Abbreviations and Legend | |
CMT | Constant Maturity Treasury |
LIBOR | London Interbank Offered Rate |
SOFR | Secured Overnight Financing 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. |
(A) | Variable rate obligation. The coupon rate shown represents the rate at period end. |
(B) | Security purchased or sold on a when-issued or delayed delivery basis. |
(C) | 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 $142,451,030 or 13.8% of the fund's net assets as of 6-30-21. |
(D) | All or a portion of this security is on loan as of 6-30-21. |
(E) | Non-income producing - Issuer is in default. |
(F) | Variable or floating rate security, the interest rate of which adjusts periodically based on a weighted average of interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of period end. |
(G) | The rate shown is the annualized seven-day yield as of 6-30-21. |
(H) | Investment is an affiliate of the fund, the advisor and/or subadvisor. This security represents the investment of cash collateral received for securities lending. |
Shares or Principal Amount | Value | ||||
FOREIGN GOVERNMENT OBLIGATIONS – 0.6% | |||||
Argentina – 0.3% | |||||
Provincia de Buenos Aires 7.875%, 06/15/2027 (A) | $ | 680,000 | $ | 304,307 | |
Republic of Argentina | |||||
1.000%, 07/09/2029 (B) | 59,073 | 22,370 | |||
(0.125% to 7-9-21, then 0.500% to 7-9-23, then 0.750% to 7-9-27, then 1.750% thereafter), 07/09/2030 | 598,627 | 214,434 | |||
(0.125% to 7-9-21, then 1.125% to 7-9-22, then 1.500% to 7-9-23, then 3.625% to 7-9-24, then 4.125% to 7-9-27, then 4.750% to 7-9-28, then 5.000% thereafter), 07/09/2035 | 526,571 | 166,665 | |||
707,776 | |||||
Brazil – 0.3% | |||||
Federative Republic of Brazil 10.000%, 01/01/2023 to 01/01/2027 | BRL | 2,808,000 | 587,052 |
Shares or Principal Amount | Value | ||||
FOREIGN GOVERNMENT OBLIGATIONS (continued) | |||||
Indonesia – 0.0% | |||||
Republic of Indonesia 8.375%, 03/15/2034 | IDR | 74,000,000 | $ | 5,643 | |
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost $2,208,328) | $ | 1,300,471 | |||
CORPORATE BONDS – 79.7% | |||||
Communication services – 12.7% | |||||
Allen Media LLC 10.500%, 02/15/2028 (C) | $ | 810,000 | 860,625 | ||
Altice France Holding SA 10.500%, 05/15/2027 (C) | 240,000 | 266,700 | |||
Altice France SA | |||||
5.125%, 07/15/2029 (C) | 590,000 | 592,891 | |||
7.375%, 05/01/2026 (C) | 449,000 | 466,929 | |||
CCO Holdings LLC | |||||
4.250%, 02/01/2031 (C) | 130,000 | 132,438 | |||
4.500%, 08/15/2030 (C) | 620,000 | 645,553 | |||
4.500%, 05/01/2032 | 820,000 | 849,725 | |||
5.125%, 05/01/2027 (C) | 1,060,000 | 1,111,834 | |||
Charter Communications Operating LLC 6.484%, 10/23/2045 | 450,000 | 619,732 | |||
Cinemark USA, Inc. 5.875%, 03/15/2026 (C) | 600,000 | 627,870 | |||
Clear Channel Outdoor Holdings, Inc. 7.500%, 06/01/2029 (C) | 760,000 | 786,856 | |||
CSC Holdings LLC | |||||
4.125%, 12/01/2030 (C) | 490,000 | 486,938 | |||
4.500%, 11/15/2031 (C) | 440,000 | 442,702 | |||
6.500%, 02/01/2029 (C) | 800,000 | 886,080 | |||
DISH DBS Corp. | |||||
5.125%, 06/01/2029 (C) | 740,000 | 730,698 | |||
5.875%, 11/15/2024 | 500,000 | 536,875 | |||
7.750%, 07/01/2026 | 1,530,000 | 1,732,725 | |||
Frontier Communications Holdings LLC | |||||
5.000%, 05/01/2028 (C) | 240,000 | 248,119 | |||
6.750%, 05/01/2029 (C) | 210,000 | 223,287 | |||
iHeartCommunications, Inc. | |||||
4.750%, 01/15/2028 (C) | 580,000 | 596,675 | |||
5.250%, 08/15/2027 (C) | 410,000 | 428,614 | |||
Intelsat Jackson Holdings SA 8.000%, 02/15/2024 (A)(C) | 560,000 | 578,351 | |||
Lumen Technologies, Inc. 5.625%, 04/01/2025 | 250,000 | 271,250 | |||
Match Group Holdings II LLC 4.625%, 06/01/2028 (C) | 610,000 | 634,321 | |||
Netflix, Inc. | |||||
4.875%, 06/15/2030 (C) | 150,000 | 178,395 | |||
5.375%, 11/15/2029 (C) | 250,000 | 303,649 | |||
6.375%, 05/15/2029 | 700,000 | 894,075 | |||
News Corp. 3.875%, 05/15/2029 (C) | 610,000 | 616,100 | |||
Playtika Holding Corp. 4.250%, 03/15/2029 (C) | 490,000 | 489,662 | |||
Sirius XM Radio, Inc. 4.000%, 07/15/2028 (C) | 400,000 | 412,000 | |||
Sprint Capital Corp. 8.750%, 03/15/2032 | 115,000 | 174,800 | |||
Sprint Communications, Inc. 11.500%, 11/15/2021 | 470,000 | 487,525 | |||
Sprint Corp. | |||||
7.625%, 02/15/2025 | 510,000 | 605,946 | |||
7.875%, 09/15/2023 | 1,170,000 | 1,329,209 | |||
Switch, Ltd. | |||||
3.750%, 09/15/2028 (C) | 520,000 | 526,500 | |||
4.125%, 06/15/2029 (C) | 510,000 | 523,388 |
The accompanying notes are an integral part of the financial statements. | 31 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Communication services (continued) | |||||
Time Warner Cable LLC 7.300%, 07/01/2038 | $ | 440,000 | $ | 642,588 | |
T-Mobile USA, Inc. | |||||
3.500%, 04/15/2031 | 580,000 | 600,039 | |||
3.500%, 04/15/2031 (C) | 710,000 | 734,531 | |||
Univision Communications, Inc. 9.500%, 05/01/2025 (C) | 580,000 | 639,450 | |||
UPC Holding BV 5.500%, 01/15/2028 (C) | 430,000 | 450,425 | |||
Urban One, Inc. 7.375%, 02/01/2028 (C) | 340,000 | 367,200 | |||
Virgin Media Secured Finance PLC 5.500%, 05/15/2029 (C) | 330,000 | 354,750 | |||
Virgin Media Vendor Financing Notes IV DAC 5.000%, 07/15/2028 (C) | 470,000 | 479,400 | |||
Vmed O2 UK Financing I PLC 4.750%, 07/15/2031 (C) | 910,000 | 923,650 | |||
ZoomInfo Technologies LLC 3.875%, 02/01/2029 (C) | 260,000 | 258,375 | |||
26,749,445 | |||||
Consumer discretionary – 14.9% | |||||
Academy, Ltd. 6.000%, 11/15/2027 (C) | 250,000 | 267,188 | |||
Adtalem Global Education, Inc. 5.500%, 03/01/2028 (C) | 980,000 | 995,239 | |||
American Axle & Manufacturing, Inc. 6.500%, 04/01/2027 (B) | 621,000 | 658,260 | |||
American News Company LLC (8.500% Cash or 10.000% PIK) 8.500%, 09/01/2026 (C) | 986,955 | 1,105,390 | |||
Boyne USA, Inc. 4.750%, 05/15/2029 (C) | 380,000 | 392,057 | |||
Caesars Entertainment, Inc. 6.250%, 07/01/2025 (C) | 360,000 | 381,600 | |||
Carnival Corp. 5.750%, 03/01/2027 (C) | 690,000 | 722,775 | |||
Carriage Services, Inc. 4.250%, 05/15/2029 (C) | 640,000 | 639,027 | |||
Carrols Restaurant Group, Inc. 5.875%, 07/01/2029 (C) | 330,000 | 325,463 | |||
Empire Communities Corp. 7.000%, 12/15/2025 (C) | 650,000 | 682,500 | |||
ESH Hospitality, Inc. 5.250%, 05/01/2025 (C) | 560,000 | 570,416 | |||
Everi Holdings, Inc. 5.000%, 07/15/2029 (C) | 360,000 | 360,000 | |||
Fontainebleau Las Vegas Holdings LLC 10.250%, 06/15/2015 (A)(C) | 3,600,425 | 9,001 | |||
Ford Motor Company 9.000%, 04/22/2025 | 670,000 | 826,023 | |||
Ford Motor Credit Company LLC | |||||
4.000%, 11/13/2030 | 610,000 | 638,975 | |||
5.113%, 05/03/2029 | 1,100,000 | 1,231,428 | |||
5.125%, 06/16/2025 | 460,000 | 506,575 | |||
Full House Resorts, Inc. 8.250%, 02/15/2028 (C) | 510,000 | 555,900 | |||
Hilton Domestic Operating Company, Inc. 5.375%, 05/01/2025 (C) | 120,000 | 126,300 | |||
Installed Building Products, Inc. 5.750%, 02/01/2028 (C) | 410,000 | 431,525 | |||
International Game Technology PLC 4.125%, 04/15/2026 (C) | 490,000 | 510,213 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Consumer discretionary (continued) | |||||
L Brands, Inc. | |||||
5.250%, 02/01/2028 | $ | 1,020,000 | $ | 1,141,125 | |
6.625%, 10/01/2030 (C) | 180,000 | 208,350 | |||
7.500%, 06/15/2029 | 160,000 | 188,400 | |||
9.375%, 07/01/2025 (C) | 340,000 | 439,450 | |||
Magic Mergeco, Inc. | |||||
5.250%, 05/01/2028 (C) | 270,000 | 277,001 | |||
7.875%, 05/01/2029 (C) | 750,000 | 773,438 | |||
Melco Resorts Finance, Ltd. 5.375%, 12/04/2029 (C) | 340,000 | 358,700 | |||
Mohegan Gaming & Entertainment 7.875%, 10/15/2024 (B)(C) | 350,000 | 366,625 | |||
NCL Corp., Ltd. | |||||
3.625%, 12/15/2024 (C) | 560,000 | 540,400 | |||
5.875%, 03/15/2026 (C) | 300,000 | 314,250 | |||
10.250%, 02/01/2026 (C) | 670,000 | 778,875 | |||
12.250%, 05/15/2024 (C) | 790,000 | 954,083 | |||
NMG Holding Company, Inc. 7.125%, 04/01/2026 (C) | 300,000 | 320,250 | |||
Party City Holdings, Inc. 8.750%, 02/15/2026 (C) | 700,000 | 747,250 | |||
PetSmart, Inc. | |||||
4.750%, 02/15/2028 (C) | 250,000 | 259,688 | |||
7.750%, 02/15/2029 (C) | 250,000 | 275,625 | |||
Rent-A-Center, Inc. 6.375%, 02/15/2029 (C) | 450,000 | 483,188 | |||
Royal Caribbean Cruises, Ltd. | |||||
4.250%, 07/01/2026 (C) | 590,000 | 589,263 | |||
5.500%, 04/01/2028 (C) | 720,000 | 754,056 | |||
Sands China, Ltd. 5.400%, 08/08/2028 | 200,000 | 232,154 | |||
Scientific Games International, Inc. 7.000%, 05/15/2028 (C) | 630,000 | 688,086 | |||
Service Corp. International 7.500%, 04/01/2027 | 480,000 | 583,200 | |||
Sizzling Platter LLC 8.500%, 11/28/2025 (C) | 430,000 | 443,975 | |||
Speedway Motorsports LLC 4.875%, 11/01/2027 (C) | 320,000 | 322,800 | |||
StoneMor, Inc. 8.500%, 05/15/2029 (C) | 720,000 | 728,100 | |||
Sugarhouse HSP Gaming Prop Mezz LP 5.875%, 05/15/2025 (C) | 270,000 | 266,625 | |||
TopBuild Corp. 3.625%, 03/15/2029 (C) | 550,000 | 544,500 | |||
Viking Cruises, Ltd. | |||||
5.875%, 09/15/2027 (C) | 390,000 | 385,398 | |||
7.000%, 02/15/2029 (C) | 800,000 | 832,344 | |||
13.000%, 05/15/2025 (C) | 910,000 | 1,070,560 | |||
VOC Escrow, Ltd. 5.000%, 02/15/2028 (C) | 1,525,000 | 1,541,775 | |||
WW International, Inc. 4.500%, 04/15/2029 (C) | 800,000 | 806,000 | |||
Wynn Macau, Ltd. | |||||
5.125%, 12/15/2029 (C) | 260,000 | 267,800 | |||
5.625%, 08/26/2028 (C) | 550,000 | 573,375 | |||
Wynn Resorts Finance LLC 7.750%, 04/15/2025 (C) | 480,000 | 517,200 | |||
31,509,764 | |||||
Consumer staples – 1.1% | |||||
Edgewell Personal Care Company 4.125%, 04/01/2029 (C) | 340,000 | 343,400 | |||
Kraft Heinz Foods Company | |||||
5.200%, 07/15/2045 | 300,000 | 372,432 | |||
5.500%, 06/01/2050 | 220,000 | 285,506 |
The accompanying notes are an integral part of the financial statements. | 32 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Consumer staples (continued) | |||||
Simmons Foods, Inc. 4.625%, 03/01/2029 (C) | $ | 590,000 | $ | 595,127 | |
Triton Water Holdings, Inc. 6.250%, 04/01/2029 (C) | 610,000 | 611,525 | |||
2,207,990 | |||||
Energy – 10.4% | |||||
Antero Resources Corp. 5.375%, 03/01/2030 (C) | 430,000 | 438,871 | |||
Apache Corp. | |||||
5.100%, 09/01/2040 | 80,000 | 83,800 | |||
7.750%, 12/15/2029 (B) | 310,000 | 368,900 | |||
Berry Petroleum Company LLC 7.000%, 02/15/2026 (C) | 1,290,000 | 1,309,350 | |||
Blue Racer Midstream LLC | |||||
6.625%, 07/15/2026 (C) | 670,000 | 700,150 | |||
7.625%, 12/15/2025 (C) | 310,000 | 335,941 | |||
Cheniere Energy Partners LP | |||||
4.000%, 03/01/2031 (C) | 470,000 | 491,150 | |||
4.500%, 10/01/2029 | 280,000 | 301,000 | |||
Chesapeake Energy Corp. 5.500%, 02/01/2026 (C) | 80,000 | 84,400 | |||
Colgate Energy Partners III LLC 5.875%, 07/01/2029 (C) | 1,020,000 | 1,058,250 | |||
Comstock Resources, Inc. | |||||
5.875%, 01/15/2030 (C) | 380,000 | 387,600 | |||
7.500%, 05/15/2025 (C) | 144,000 | 149,400 | |||
Continental Resources, Inc. 5.750%, 01/15/2031 (C) | 450,000 | 538,875 | |||
DCP Midstream Operating LP | |||||
6.450%, 11/03/2036 (C) | 280,000 | 327,600 | |||
6.750%, 09/15/2037 (C) | 590,000 | 709,475 | |||
Endeavor Energy Resources LP | |||||
5.500%, 01/30/2026 (C) | 140,000 | 145,425 | |||
5.750%, 01/30/2028 (C) | 150,000 | 159,938 | |||
6.625%, 07/15/2025 (C) | 320,000 | 342,400 | |||
Energy Transfer LP (6.500% to 11-15-26, then 5 Year CMT + 5.694%) 11/15/2026 (D) | 180,000 | 183,510 | |||
EQM Midstream Partners LP | |||||
4.000%, 08/01/2024 | 120,000 | 123,300 | |||
5.500%, 07/15/2028 | 560,000 | 605,125 | |||
6.000%, 07/01/2025 (C) | 240,000 | 261,000 | |||
6.500%, 07/01/2027 (C) | 220,000 | 245,300 | |||
6.500%, 07/15/2048 | 240,000 | 256,800 | |||
EQT Corp. | |||||
3.125%, 05/15/2026 (C) | 190,000 | 194,695 | |||
3.625%, 05/15/2031 (C) | 180,000 | 187,650 | |||
3.900%, 10/01/2027 | 220,000 | 235,675 | |||
5.000%, 01/15/2029 | 590,000 | 657,832 | |||
7.625%, 02/01/2025 | 200,000 | 233,298 | |||
MEG Energy Corp. | |||||
5.875%, 02/01/2029 (C) | 470,000 | 489,975 | |||
7.125%, 02/01/2027 (C) | 1,130,000 | 1,203,817 | |||
Northern Oil and Gas, Inc. 8.125%, 03/01/2028 (C) | 660,000 | 711,150 | |||
Oasis Petroleum, Inc. 6.375%, 06/01/2026 (C) | 990,000 | 1,032,303 | |||
Occidental Petroleum Corp. | |||||
2.700%, 02/15/2023 | 184,000 | 188,085 | |||
2.900%, 08/15/2024 | 740,000 | 756,650 | |||
6.125%, 01/01/2031 | 330,000 | 388,255 | |||
8.875%, 07/15/2030 | 490,000 | 655,321 | |||
Occidental Petroleum Corp. (3 month LIBOR + 1.450%) 1.606%, 08/15/2022 (B)(E) | 90,000 | 89,553 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Energy (continued) | |||||
PBF Holding Company LLC 9.250%, 05/15/2025 (C) | $ | 210,000 | $ | 211,552 | |
Petrobras Global Finance BV | |||||
5.750%, 02/01/2029 (B) | 100,000 | 114,140 | |||
6.850%, 06/05/2115 | 410,000 | 468,671 | |||
Range Resources Corp. | |||||
5.000%, 03/15/2023 | 203,000 | 210,105 | |||
8.250%, 01/15/2029 (C) | 490,000 | 552,475 | |||
9.250%, 02/01/2026 | 520,000 | 573,300 | |||
Tallgrass Energy Partners LP 6.000%, 12/31/2030 (C) | 730,000 | 758,923 | |||
Targa Resources Partners LP 4.875%, 02/01/2031 (C) | 570,000 | 617,025 | |||
The Williams Companies, Inc. 8.750%, 03/15/2032 | 120,000 | 184,392 | |||
Vesta Energy Corp. 8.125%, 07/24/2023 (C) | CAD | 490,000 | 312,278 | ||
Western Midstream Operating LP | |||||
3.950%, 06/01/2025 | $ | 110,000 | 114,296 | ||
4.350%, 02/01/2025 | 530,000 | 559,993 | |||
5.500%, 08/15/2048 | 580,000 | 631,266 | |||
21,940,235 | |||||
Financials – 8.3% | |||||
Acuris Finance U.S., Inc. 5.000%, 05/01/2028 (C) | 400,000 | 398,744 | |||
Apollo Commercial Real Estate Finance, Inc. 4.625%, 06/15/2029 (C) | 520,000 | 512,772 | |||
Banco Mercantil del Norte SA (6.875% to 7-6-22, then 5 Year CMT + 5.035%) 07/06/2022 (C)(D) | 200,000 | 207,540 | |||
Bank of America Corp. (5.875% to 3-15-28, then 3 month LIBOR + 2.931%) 03/15/2028 (D) | 250,000 | 286,140 | |||
Barclays PLC (8.000% to 6-15-24, then 5 Year CMT + 5.672%) 06/15/2024 (D) | 380,000 | 432,250 | |||
BNP Paribas SA (7.375% to 8-19-25, then 5 Year U.S. Swap Rate + 5.150%) 08/19/2025 (C)(D) | 390,000 | 454,592 | |||
Burford Capital Global Finance LLC 6.250%, 04/15/2028 (C) | 630,000 | 661,670 | |||
Citigroup, Inc. (5.950% to 5-15-25, then 3 month LIBOR + 3.905%) 05/15/2025 (D) | 180,000 | 197,001 | |||
Citigroup, Inc. (6.300% to 5-15-24, then 3 month LIBOR + 3.423%) 05/15/2024 (D) | 410,000 | 441,037 | |||
Compass Group Diversified Holdings LLC 5.250%, 04/15/2029 (C) | 420,000 | 436,800 | |||
Credit Agricole SA (8.125% to 12-23-25, then 5 Year U.S. Swap Rate + 6.185%) 12/23/2025 (C)(D) | 340,000 | 413,100 | |||
Credit Suisse Group AG (6.375% to 8-21-26, then 5 Year CMT + 4.822%) 08/21/2026 (C)(D) | 430,000 | 479,291 | |||
Credit Suisse Group AG (7.250% to 9-12-25, then 5 Year ICE Swap Rate + 4.332%) 09/12/2025 (C)(D) | 200,000 | 226,100 | |||
FirstCash, Inc. 4.625%, 09/01/2028 (C) | 530,000 | 554,036 | |||
Global Aircraft Leasing Company, Ltd. (6.500% Cash or 7.250% PIK) 6.500%, 09/15/2024 (C) | 2,201,318 | 2,212,299 |
The accompanying notes are an integral part of the financial statements. | 33 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Financials (continued) | |||||
Highlands Holdings Bond Issuer, Ltd. (7.625% Cash or 8.375% PIK) 7.625%, 10/15/2025 (C) | $ | 620,000 | $ | 655,861 | |
Intesa Sanpaolo SpA 4.198%, 06/01/2032 (C) | 460,000 | 471,390 | |||
Ladder Capital Finance Holdings LLLP | |||||
4.250%, 02/01/2027 (C) | 460,000 | 459,349 | |||
4.750%, 06/15/2029 (C) | 450,000 | 450,000 | |||
LD Holdings Group LLC | |||||
6.125%, 04/01/2028 (C) | 380,000 | 379,525 | |||
6.500%, 11/01/2025 (C) | 700,000 | 718,760 | |||
Midcap Financial Issuer Trust | |||||
5.625%, 01/15/2030 (C) | 380,000 | 381,467 | |||
6.500%, 05/01/2028 (C) | 630,000 | 659,320 | |||
NatWest Group PLC (8.625% to 8-15-21, then 5 Year U.S. Swap Rate + 7.598%) 08/15/2021 (D) | 680,000 | 684,910 | |||
NMI Holdings, Inc. 7.375%, 06/01/2025 (C) | 650,000 | 744,874 | |||
Quicken Loans LLC | |||||
3.875%, 03/01/2031 (C) | 630,000 | 634,719 | |||
5.250%, 01/15/2028 (C) | 530,000 | 556,500 | |||
Starwood Property Trust, Inc. | |||||
3.625%, 07/15/2026 (C) | 770,000 | 775,775 | |||
5.500%, 11/01/2023 (C) | 310,000 | 324,725 | |||
StoneX Group, Inc. 8.625%, 06/15/2025 (C) | 270,000 | 288,563 | |||
UBS Group AG (7.000% to 1-31-24, then 5 Year U.S. Swap Rate + 4.344%) 01/31/2024 (C)(D) | 550,000 | 605,688 | |||
UniCredit SpA (5.459% to 6-30-30, then 5 Year CMT + 4.750%) 06/30/2035 (C) | 720,000 | 785,046 | |||
17,489,844 | |||||
Health care – 7.3% | |||||
AdaptHealth LLC 4.625%, 08/01/2029 (C) | 460,000 | 465,750 | |||
Akumin, Inc. 7.000%, 11/01/2025 (C) | 720,000 | 747,497 | |||
Bausch Health Americas, Inc. | |||||
8.500%, 01/31/2027 (C) | 520,000 | 565,188 | |||
9.250%, 04/01/2026 (C) | 810,000 | 881,037 | |||
Bausch Health Companies, Inc. | |||||
5.000%, 02/15/2029 (C) | 810,000 | 755,325 | |||
6.250%, 02/15/2029 (C) | 1,060,000 | 1,048,393 | |||
Centene Corp. | |||||
4.625%, 12/15/2029 | 500,000 | 549,885 | |||
5.375%, 06/01/2026 (C) | 560,000 | 585,200 | |||
Cheplapharm Arzneimittel GmbH 5.500%, 01/15/2028 (C) | 680,000 | 697,000 | |||
Community Health Systems, Inc. | |||||
6.125%, 04/01/2030 (C) | 860,000 | 872,900 | |||
6.625%, 02/15/2025 (C) | 810,000 | 856,567 | |||
6.875%, 04/15/2029 (C) | 760,000 | 795,317 | |||
Endo Luxembourg Finance Company I Sarl 6.125%, 04/01/2029 (C) | 550,000 | 539,000 | |||
HCA, Inc. 5.625%, 09/01/2028 | 800,000 | 948,000 | |||
Jazz Securities DAC 4.375%, 01/15/2029 (C) | 470,000 | 487,296 | |||
Legacy LifePoint Health LLC 4.375%, 02/15/2027 (C) | 450,000 | 455,400 | |||
Par Pharmaceutical, Inc. 7.500%, 04/01/2027 (C) | 620,000 | 633,845 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Health care (continued) | |||||
Radiology Partners, Inc. 9.250%, 02/01/2028 (C) | $ | 460,000 | $ | 508,300 | |
RegionalCare Hospital Partners Holdings, Inc. 9.750%, 12/01/2026 (C) | 400,000 | 430,500 | |||
Tenet Healthcare Corp. | |||||
4.625%, 06/15/2028 (C) | 440,000 | 452,848 | |||
6.750%, 06/15/2023 | 550,000 | 600,188 | |||
Teva Pharmaceutical Finance Company LLC 6.150%, 02/01/2036 (B) | 340,000 | 374,000 | |||
Teva Pharmaceutical Finance Netherlands III BV 7.125%, 01/31/2025 | 530,000 | 584,325 | |||
U.S. Renal Care, Inc. 10.625%, 07/15/2027 (C) | 650,000 | 681,688 | |||
15,515,449 | |||||
Industrials – 10.6% | |||||
Allied Universal Holdco LLC | |||||
4.625%, 06/01/2028 (C) | 300,000 | 301,083 | |||
6.000%, 06/01/2029 (C) | 430,000 | 435,930 | |||
6.625%, 07/15/2026 (C) | 710,000 | 752,763 | |||
Alta Equipment Group, Inc. 5.625%, 04/15/2026 (C) | 650,000 | 667,011 | |||
American Airlines, Inc. | |||||
5.500%, 04/20/2026 (C) | 370,000 | 391,738 | |||
5.750%, 04/20/2029 (C) | 610,000 | 659,563 | |||
Anagram International, Inc. (5.000% Cash and 5.000% PIK) 10.000%, 08/15/2026 (C) | 77,335 | 77,335 | |||
ATS Automation Tooling Systems, Inc. 4.125%, 12/15/2028 (C) | 300,000 | 307,125 | |||
BCPE Empire Holdings, Inc. 7.625%, 05/01/2027 (C) | 310,000 | 317,471 | |||
Brundage-Bone Concrete Pumping Holdings, Inc. 6.000%, 02/01/2026 (C) | 650,000 | 684,255 | |||
CoreCivic, Inc. | |||||
4.625%, 05/01/2023 | 110,000 | 110,000 | |||
8.250%, 04/15/2026 | 620,000 | 643,374 | |||
Cornerstone Building Brands, Inc. 6.125%, 01/15/2029 (C) | 430,000 | 461,175 | |||
CP Atlas Buyer, Inc. 7.000%, 12/01/2028 (C) | 440,000 | 455,950 | |||
DAE Funding LLC 5.000%, 08/01/2024 (C) | 10,000 | 10,269 | |||
Delta Air Lines, Inc. 4.750%, 10/20/2028 (C) | 470,000 | 522,526 | |||
Doman Building Materials Group, Ltd. 5.250%, 05/15/2026 (C) | CAD | 480,000 | 388,674 | ||
Foundation Building Materials, Inc. 6.000%, 03/01/2029 (C) | $ | 300,000 | 297,000 | ||
GFL Environmental, Inc. 3.750%, 08/01/2025 (C) | 540,000 | 554,850 | |||
H&E Equipment Services, Inc. 3.875%, 12/15/2028 (C) | 740,000 | 728,160 | |||
Hawaiian Brand Intellectual Property, Ltd. 5.750%, 01/20/2026 (C) | 510,000 | 547,541 | |||
Legends Hospitality Holding Company LLC 5.000%, 02/01/2026 (C) | 850,000 | 886,125 | |||
Madison IAQ LLC 5.875%, 06/30/2029 (C) | 900,000 | 915,750 |
The accompanying notes are an integral part of the financial statements. | 34 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Industrials (continued) | |||||
Mileage Plus Holdings LLC 6.500%, 06/20/2027 (C) | $ | 500,000 | $ | 550,500 | |
Park-Ohio Industries, Inc. 6.625%, 04/15/2027 | 120,000 | 122,136 | |||
PM General Purchaser LLC 9.500%, 10/01/2028 (C) | 680,000 | 716,326 | |||
Prime Security Services Borrower LLC | |||||
3.375%, 08/31/2027 (C) | 390,000 | 378,300 | |||
5.750%, 04/15/2026 (C) | 470,000 | 519,195 | |||
6.250%, 01/15/2028 (C) | 920,000 | 978,650 | |||
Sensata Technologies BV 4.000%, 04/15/2029 (C) | 410,000 | 416,184 | |||
Sensata Technologies, Inc. 4.375%, 02/15/2030 (C) | 340,000 | 358,306 | |||
Spirit Loyalty Cayman, Ltd. 8.000%, 09/20/2025 (C) | 546,000 | 617,526 | |||
SRM Escrow Issuer LLC 6.000%, 11/01/2028 (C) | 770,000 | 816,200 | |||
The Boeing Company 5.150%, 05/01/2030 | 400,000 | 473,662 | |||
Titan International, Inc. 7.000%, 04/30/2028 (C) | 670,000 | 700,988 | |||
TK Elevator US Newco, Inc. 5.250%, 07/15/2027 (C) | 450,000 | 474,188 | |||
TransDigm, Inc. | |||||
4.625%, 01/15/2029 (C) | 890,000 | 890,312 | |||
6.250%, 03/15/2026 (C) | 580,000 | 611,900 | |||
8.000%, 12/15/2025 (C) | 200,000 | 216,100 | |||
United Airlines 2013-1 Class B Pass Through Trust 5.375%, 08/15/2021 | 233,469 | 234,052 | |||
United Airlines 2014-1 Class B Pass Through Trust 4.750%, 04/11/2022 | 63,838 | 64,636 | |||
United Airlines 2020-1 Class B Pass Through Trust 4.875%, 01/15/2026 | 291,150 | 308,762 | |||
United Airlines, Inc. | |||||
4.375%, 04/15/2026 (C) | 120,000 | 124,222 | |||
4.625%, 04/15/2029 (C) | 230,000 | 238,050 | |||
United Rentals North America, Inc. | |||||
4.875%, 01/15/2028 | 640,000 | 678,720 | |||
5.250%, 01/15/2030 | 400,000 | 438,156 | |||
XPO CNW, Inc. 6.700%, 05/01/2034 (B) | 370,000 | 442,150 | |||
22,484,889 | |||||
Information technology – 4.6% | |||||
Alliance Data Systems Corp. 4.750%, 12/15/2024 (C) | 510,000 | 524,025 | |||
Clarivate Science Holdings Corp. 4.875%, 06/30/2029 (C) | 480,000 | 492,600 | |||
CommScope, Inc. 8.250%, 03/01/2027 (C) | 1,260,000 | 1,346,688 | |||
Elastic NV 4.125%, 07/15/2029 (C) | 570,000 | 570,000 | |||
Entegris, Inc. | |||||
3.625%, 05/01/2029 (C) | 210,000 | 212,625 | |||
4.375%, 04/15/2028 (C) | 430,000 | 448,813 | |||
Gartner, Inc. | |||||
3.625%, 06/15/2029 (C) | 820,000 | 832,300 | |||
3.750%, 10/01/2030 (C) | 140,000 | 143,235 | |||
Helios Software Holdings, Inc. 4.625%, 05/01/2028 (C) | 730,000 | 714,539 | |||
MPH Acquisition Holdings LLC 5.750%, 11/01/2028 (B)(C) | 610,000 | 612,995 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Information technology (continued) | |||||
NCR Corp. 5.125%, 04/15/2029 (C) | $ | 300,000 | $ | 309,375 | |
Open Text Corp. 3.875%, 02/15/2028 (C) | 250,000 | 253,450 | |||
Open Text Holdings, Inc. 4.125%, 02/15/2030 (C) | 220,000 | 224,356 | |||
Paysafe Finance PLC 4.000%, 06/15/2029 (C) | 750,000 | 738,750 | |||
Rackspace Technology Global, Inc. 3.500%, 02/15/2028 (C) | 630,000 | 609,525 | |||
Shift4 Payments LLC 4.625%, 11/01/2026 (C) | 680,000 | 709,750 | |||
Square, Inc. 3.500%, 06/01/2031 (C) | 590,000 | 595,163 | |||
Unisys Corp. 6.875%, 11/01/2027 (C) | 420,000 | 458,993 | |||
9,797,182 | |||||
Materials – 4.4% | |||||
ARD Finance SA (6.500% Cash or 7.250% PIK) 6.500%, 06/30/2027 (C) | 660,000 | 693,000 | |||
Ardagh Metal Packaging Finance USA LLC | |||||
3.250%, 09/01/2028 (C) | 200,000 | 199,421 | |||
4.000%, 09/01/2029 (C) | 800,000 | 793,260 | |||
Ardagh Packaging Finance PLC 5.250%, 08/15/2027 (C) | 690,000 | 703,800 | |||
Cascades, Inc. 5.375%, 01/15/2028 (C) | 530,000 | 557,163 | |||
First Quantum Minerals, Ltd. | |||||
6.500%, 03/01/2024 (C) | 420,000 | 428,400 | |||
6.875%, 03/01/2026 to 10/15/2027 (C) | 1,450,000 | 1,536,911 | |||
7.500%, 04/01/2025 (C) | 210,000 | 217,875 | |||
Freeport-McMoRan, Inc. | |||||
3.875%, 03/15/2023 | 160,000 | 166,826 | |||
4.625%, 08/01/2030 | 160,000 | 175,200 | |||
5.450%, 03/15/2043 | 500,000 | 611,160 | |||
Greif, Inc. 6.500%, 03/01/2027 (C) | 840,000 | 885,948 | |||
Hudbay Minerals, Inc. | |||||
4.500%, 04/01/2026 (C) | 240,000 | 240,900 | |||
6.125%, 04/01/2029 (C) | 290,000 | 308,850 | |||
Kraton Polymers LLC 4.250%, 12/15/2025 (C) | 460,000 | 469,200 | |||
Mercer International, Inc. 5.125%, 02/01/2029 (C) | 240,000 | 246,960 | |||
Midwest Vanadium Pty, Ltd. 11.500%, 02/15/2018 (A)(C) | 913,644 | 1,389 | |||
Northwest Acquisitions ULC 7.125%, 11/01/2022 (A)(C) | 950,000 | 95 | |||
Olin Corp. 5.000%, 02/01/2030 | 420,000 | 447,825 | |||
Summit Materials LLC 5.250%, 01/15/2029 (C) | 560,000 | 594,961 | |||
9,279,144 | |||||
Real estate – 4.6% | |||||
Diversified Healthcare Trust | |||||
4.375%, 03/01/2031 | 250,000 | 239,375 | |||
4.750%, 02/15/2028 | 930,000 | 916,050 | |||
9.750%, 06/15/2025 | 340,000 | 376,550 | |||
Five Point Operating Company LP 7.875%, 11/15/2025 (C) | 1,060,000 | 1,119,572 | |||
Forestar Group, Inc. | |||||
3.850%, 05/15/2026 (C) | 550,000 | 554,978 | |||
5.000%, 03/01/2028 (C) | 570,000 | 589,950 |
The accompanying notes are an integral part of the financial statements. | 35 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Real estate (continued) | |||||
IIP Operating Partnership LP 5.500%, 05/25/2026 (C) | $ | 280,000 | $ | 288,116 | |
Kennedy-Wilson, Inc. 5.000%, 03/01/2031 | 620,000 | 637,825 | |||
MPT Operating Partnership LP | |||||
4.625%, 08/01/2029 | 560,000 | 599,458 | |||
5.000%, 10/15/2027 | 200,000 | 212,018 | |||
Park Intermediate Holdings LLC 5.875%, 10/01/2028 (C) | 390,000 | 415,303 | |||
Realogy Group LLC | |||||
5.750%, 01/15/2029 (C) | 500,000 | 522,695 | |||
7.625%, 06/15/2025 (C) | 620,000 | 672,514 | |||
Service Properties Trust 5.500%, 12/15/2027 | 400,000 | 426,892 | |||
The GEO Group, Inc. | |||||
5.875%, 10/15/2024 (B) | 810,000 | 724,950 | |||
6.000%, 04/15/2026 (B) | 945,000 | 765,450 | |||
VICI Properties LP 4.125%, 08/15/2030 (C) | 560,000 | 575,019 | |||
9,636,715 | |||||
Utilities – 0.8% | |||||
Calpine Corp. 5.000%, 02/01/2031 (C) | 490,000 | 487,550 | |||
Suburban Propane Partners LP 5.000%, 06/01/2031 (C) | 340,000 | 348,075 | |||
Superior Plus LP 4.500%, 03/15/2029 (C) | 290,000 | 298,706 | |||
Talen Energy Supply LLC | |||||
6.625%, 01/15/2028 (C) | 410,000 | 375,499 | |||
10.500%, 01/15/2026 (C) | 340,000 | 245,863 | |||
1,755,693 | |||||
TOTAL CORPORATE BONDS (Cost $163,930,522) | $ | 168,366,350 | |||
CONVERTIBLE BONDS – 1.4% | |||||
Communication services – 0.4% | |||||
DISH Network Corp. 3.375%, 08/15/2026 | 530,000 | 540,865 | |||
Spotify USA, Inc. 1.395%, 03/15/2026 (C)(F) | 80,000 | 74,880 | |||
Twitter, Inc. 0.997%, 03/15/2026 (C)(F) | 130,000 | 123,988 | |||
739,733 | |||||
Consumer discretionary – 0.2% | |||||
DraftKings, Inc. 1.544%, 03/15/2028 (C)(F) | 200,000 | 180,200 | |||
Liberty Latin America, Ltd. 2.000%, 07/15/2024 | 150,000 | 152,787 | |||
332,987 | |||||
Energy – 0.4% | |||||
Cheniere Energy, Inc. 4.250%, 03/15/2045 | 990,000 | 833,786 | |||
Financials – 0.2% | |||||
Apollo Commercial Real Estate Finance, Inc. 4.750%, 08/23/2022 | 500,000 | 501,900 | |||
Industrials – 0.0% | |||||
Spirit Airlines, Inc. 1.000%, 05/15/2026 | 90,000 | 85,779 | |||
Information technology – 0.0% | |||||
Blackline, Inc. 0.859%, 03/15/2026 (C)(F) | 80,000 | 76,800 |
Shares or Principal Amount | Value | ||||
CONVERTIBLE BONDS (continued) | |||||
Real estate – 0.1% | |||||
Realogy Group LLC 0.250%, 06/15/2026 (C) | $ | 190,000 | $ | 191,371 | |
Utilities – 0.1% | |||||
NextEra Energy Partners LP 0.117%, 06/15/2024 (C)(F) | 90,000 | 89,685 | |||
TOTAL CONVERTIBLE BONDS (Cost $2,780,665) | $ | 2,852,041 | |||
TERM LOANS (G) – 7.9% | |||||
Communication services – 0.7% | |||||
Allen Media LLC, 2020 Term Loan B (3 month LIBOR + 5.500%) 5.647%, 02/10/2027 | 563,627 | 563,802 | |||
Gannett Holdings LLC, 2021 Term Loan B (3 month LIBOR + 7.000%) 7.750%, 01/29/2026 | 580,337 | 583,964 | |||
iHeartCommunications, Inc., 2020 Term Loan (1 month LIBOR + 3.000%) 3.104%, 05/01/2026 | 348,448 | 345,183 | |||
1,492,949 | |||||
Consumer discretionary – 2.7% | |||||
Adtalem Global Education, Inc., 2021 Term Loan B 02/11/2028 TBD (H) | 830,000 | 827,718 | |||
Clarios Global LP, 2021 USD Term Loan B (1 month LIBOR + 3.250%) 3.354%, 04/30/2026 | 436,154 | 431,792 | |||
Equinox Holdings, Inc., 2020 Term Loan B2 (3 month LIBOR + 9.000%) 10.000%, 03/08/2024 | 377,150 | 373,379 | |||
First Brands Group LLC, 2021 Term Loan (1 month LIBOR + 5.000%) 6.000%, 03/30/2027 | 349,125 | 352,763 | |||
Great Outdoors Group LLC, 2021 Term Loan B (6 month LIBOR + 4.250%) 5.000%, 03/06/2028 | 328,350 | 329,171 | |||
Petco Health & Wellness Company, Inc., 2021 Term Loan B (3 month LIBOR + 3.250%) 4.000%, 03/03/2028 | 1,296,750 | 1,293,742 | |||
PetSmart, Inc., 2021 Term Loan B (3 month LIBOR + 3.750%) 4.500%, 02/12/2028 | 510,000 | 510,128 | |||
Rent-A-Center, Inc., 2021 Term Loan B (1 month LIBOR + 4.000%) 4.750%, 02/17/2028 | 598,500 | 598,500 | |||
Spencer Spirit IH LLC, Term Loan B (1 month LIBOR + 6.000%) 6.095%, 06/19/2026 | 603,878 | 600,255 | |||
Truck Hero, Inc., 2021 Term Loan B (1 month LIBOR + 3.750%) 4.500%, 01/31/2028 | 349,125 | 348,950 | |||
5,666,398 | |||||
Financials – 0.5% | |||||
Acrisure LLC, 2020 Term Loan B (3 month LIBOR + 3.500%) 3.604%, 02/15/2027 | 454,250 | 448,949 | |||
Amerilife Holdings LLC, 2020 Term Loan (1 month LIBOR + 4.000%) 4.104%, 03/18/2027 | 148,523 | 148,291 | |||
Deerfield Dakota Holding LLC, 2021 USD 2nd Lien Term Loan (1 month LIBOR + 6.750%) 7.500%, 04/07/2028 | 190,000 | 194,275 |
The accompanying notes are an integral part of the financial statements. | 36 |
Shares or Principal Amount | Value | ||||
TERM LOANS (G) (continued) | |||||
Financials (continued) | |||||
Jane Street Group LLC, 2021 Term Loan (1 month LIBOR + 2.750%) 2.854%, 01/26/2028 | $ | 323,429 | $ | 321,695 | |
1,113,210 | |||||
Health care – 1.1% | |||||
Eyecare Partners LLC, 2020 2nd Lien Term Loan (1 month LIBOR + 8.250%) 8.354%, 02/18/2028 | 350,000 | 335,125 | |||
Eyecare Partners LLC, 2020 Term Loan (1 month LIBOR + 3.750%) 3.854%, 02/18/2027 | 495,717 | 490,948 | |||
Jazz Financing Lux Sarl, USD Term Loan (1 month LIBOR + 3.500%) 4.000%, 04/21/2028 | 200,000 | 200,562 | |||
Option Care Health, Inc., Term Loan B (1 month LIBOR + 3.750%) 3.854%, 08/06/2026 | 600,850 | 600,724 | |||
US Renal Care, Inc., 2019 Term Loan B (1 month LIBOR + 5.000%) 5.104%, 06/26/2026 | 647,728 | 650,021 | |||
2,277,380 | |||||
Industrials – 1.2% | |||||
CoreCivic, Inc., 2019 Term Loan (1 month LIBOR + 4.500%) 5.500%, 12/18/2024 | 223,164 | 216,389 | |||
Mileage Plus Holdings LLC, 2020 Term Loan B (3 month LIBOR + 5.250%) 6.250%, 06/21/2027 | 450,000 | 480,222 | |||
SkyMiles IP, Ltd., 2020 SkyMiles Term Loan B (3 month LIBOR + 3.750%) 4.750%, 10/20/2027 | 640,000 | 675,642 | |||
United Airlines, Inc., 2021 Term Loan B (3 month LIBOR + 3.750%) 4.500%, 04/21/2028 | 1,127,175 | 1,140,949 | |||
2,513,202 | |||||
Information technology – 1.5% | |||||
Dcert Buyer, Inc., 2021 2nd Lien Term Loan (1 month LIBOR + 7.000%) 7.104%, 02/16/2029 | 820,000 | 825,642 | |||
Global Tel*Link Corp., 2018 1st Lien Term Loan (1 month LIBOR + 4.250%) 4.354%, 11/29/2025 | 651,781 | 597,396 | |||
Peraton Corp., Term Loan B (1 month LIBOR + 3.750%) 4.500%, 02/01/2028 | 428,925 | 429,817 | |||
Rackspace Technology Global, Inc., 2021 Term Loan (3 month LIBOR + 2.750%) 3.500%, 02/15/2028 | 518,700 | 515,609 | |||
Redstone Holdco 2 LP, 2021 2nd Lien Term Loan (3 month LIBOR + 7.750%) 8.500%, 04/27/2029 | 330,489 | 324,153 | |||
Redstone Holdco 2 LP, 2021 Term Loan (3 month LIBOR + 4.750%) 5.500%, 04/27/2028 | 337,794 | 336,669 | |||
Vericast Corp., Term Loan B7 (3 month LIBOR + 4.750%) 5.750%, 11/03/2023 | 183,511 | 163,899 | |||
3,193,185 |
Shares or Principal Amount | Value | ||||
TERM LOANS (G) (continued) | |||||
Materials – 0.2% | |||||
Arctic Canadian Diamond Company, Ltd., 2nd Lien PIK Term Loan (3 month LIBOR + 5.000% or 12.500% PIK) 5.000%, 12/31/2027 (I) | $ | 441,696 | $ | 441,696 | |
TOTAL TERM LOANS (Cost $16,566,055) | $ | 16,698,020 | |||
ASSET BACKED SECURITIES – 4.8% | |||||
Ballyrock CLO, Ltd. Series 2016-1A, Class ER (3 month LIBOR + 6.950%) 7.191%, 10/15/2028 (C)(E) | 250,000 | 250,187 | |||
Barings CLO, Ltd. Series 2020-4A, Class E (3 month LIBOR + 5.680%) 5.904%, 01/20/2032 (C)(E) | 330,000 | 323,354 | |||
Benefit Street Partners CLO XI, Ltd. Series 2017-12A, Class C (3 month LIBOR + 3.050%) 3.291%, 10/15/2030 (C)(E) | 250,000 | 242,493 | |||
BlueMountain CLO, Ltd. | |||||
Series 2015-2A, Class ER (3 month LIBOR + 5.200%) 5.423%, 07/18/2027 (C)(E) | 250,000 | 242,648 | |||
Series 2016-2A, Class DR (3 month LIBOR + 7.790%) 7.972%, 08/20/2032 (C)(E) | 300,000 | 300,427 | |||
Bristol Park CLO, Ltd. Series 2016-1A, Class ER (3 month LIBOR + 7.000%) 7.241%, 04/15/2029 (C)(E) | 250,000 | 250,050 | |||
Carlyle US CLO, Ltd. Series 2017-2A, Class C (3 month LIBOR + 3.700%) 3.924%, 07/20/2031 (C)(E) | 500,000 | 490,672 | |||
Catskill Park CLO, Ltd. Series 2017-1A, Class D (3 month LIBOR + 6.000%) 6.224%, 04/20/2029 (C)(E) | 500,000 | 496,009 | |||
Cook Park CLO, Ltd. Series 2018-1A, Class E (3 month LIBOR + 5.400%) 5.623%, 04/17/2030 (C)(E) | 250,000 | 243,859 | |||
Cumberland Park CLO, Ltd. Series 2015-2A, Class ER (3 month LIBOR + 5.650%) 5.874%, 07/20/2028 (C)(E) | 750,000 | 732,269 | |||
Dryden CLO, Ltd. Series 2019-75A, Class ER2 (3 month LIBOR + 6.600%) 6.784%, 04/15/2034 (C)(E) | 470,000 | 466,616 | |||
Goldentree Loan Management U.S. CLO 6, Ltd. Series 2019-6A, Class E (3 month LIBOR + 5.220%) 5.408%, 01/20/2033 (C)(E) | 250,000 | 240,999 | |||
Greenwood Park CLO, Ltd. | |||||
Series 2018-1A, Class D (3 month LIBOR + 2.500%) 2.741%, 04/15/2031 (C)(E) | 290,000 | 286,581 | |||
Series 2018-1A, Class E (3 month LIBOR + 4.950%) 5.191%, 04/15/2031 (C)(E) | 250,000 | 238,747 | |||
Greywolf CLO IV, Ltd. Series 2019-1RA, Class CR (3 month LIBOR + 3.650%) 3.831%, 04/17/2034 (C)(E) | 250,000 | 250,084 |
The accompanying notes are an integral part of the financial statements. | 37 |
Shares or Principal Amount | Value | ||||
ASSET BACKED SECURITIES (continued) | |||||
Grippen Park CLO, Ltd. Series 2017-1A, Class E (1 month LIBOR + 5.700%) 5.924%, 01/20/2030 (C)(E) | $ | 420,000 | $ | 415,992 | |
Magnetite XII, Ltd. Series 2015-12A, Class ER (3 month LIBOR + 5.680%) 5.921%, 10/15/2031 (C)(E) | 300,000 | 295,014 | |||
MKS CLO, Ltd. Series 2017-2A, Class D (3 month LIBOR + 2.650%) 2.874%, 01/20/2031 (C)(E) | 500,000 | 477,481 | |||
Mountain View CLO IX, Ltd. Series 2015-9A, Class CR (3 month LIBOR + 3.120%) 3.304%, 07/15/2031 (C)(E) | 250,000 | 239,295 | |||
Nassau, Ltd. Series 2020-1A, Class D (3 month LIBOR + 4.770%) 5.003%, 07/20/2029 (C)(E) | 250,000 | 250,091 | |||
Neuberger Berman CLO XVIII, Ltd. Series 2014-18A, Class DR2 (3 month LIBOR + 5.920%) 6.144%, 10/21/2030 (C)(E) | 250,000 | 245,541 | |||
Oaktree CLO, Ltd. Series 2015-1A, Class DR (3 month LIBOR + 5.200%) 5.424%, 10/20/2027 (C)(E) | 250,000 | 243,592 | |||
Ocean Trails CLO X Series 2020-10A, Class D (3 month LIBOR + 4.700%) 4.894%, 10/15/2031 (C)(E) | 500,000 | 501,493 | |||
OZLM XIX, Ltd. Series 2017-19A, Class C (3 month LIBOR + 3.100%) 3.341%, 11/22/2030 (C)(E) | 810,000 | 796,975 | |||
Saranac CLO III, Ltd. Series 2014-3A, Class DR (3 month LIBOR + 3.250%) 3.437%, 06/22/2030 (C)(E) | 570,000 | 533,805 | |||
Sculptor CLO XXVI, Ltd. Series 26A, Class E (3 month LIBOR + 7.250%) 7.412%, 07/20/2034 (C)(E) | 280,000 | 279,947 | |||
Venture XVII CLO, Ltd. | |||||
Series 2014-17A, Class DRR (3 month LIBOR + 2.820%) 3.061%, 04/15/2027 (C)(E) | 350,000 | 335,905 | |||
Series 2014-17A, Class ERR (3 month LIBOR + 5.740%) 5.981%, 04/15/2027 (C)(E) | 350,000 | 301,647 | |||
Zais CLO, Ltd. Series 2020-16A, Class D1 (3 month LIBOR + 5.480%) 5.770%, 10/20/2031 (C)(E) | 250,000 | 250,807 | |||
TOTAL ASSET BACKED SECURITIES (Cost $10,193,321) | $ | 10,222,580 | |||
COMMON STOCKS – 0.9% | |||||
Communication services – 0.0% | |||||
New Cotai, Inc., Class B (I)(J)(K) | 3 | 0 | |||
Vertis Holdings, Inc. (I)(K) | 69,391 | 0 | |||
0 | |||||
Consumer discretionary – 0.1% | |||||
Party City Holdco, Inc. (K) | 14,174 | 132,243 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Energy – 0.8% | |||||
Berry Corp. | 79,225 | $ | 532,392 | ||
Hercules Offshore, Inc. (B)(I)(K) | 45,689 | 23,201 | |||
KCAD Holdings I, Ltd. (I)(J)(K) | 165,553,563 | 166 | |||
MWO Holdings LLC (I)(J)(K) | 445 | 3,369 | |||
Oasis Petroleum, Inc. | 8,771 | 881,924 | |||
Southwestern Energy Company (K) | 53,920 | 305,726 | |||
1,746,778 | |||||
TOTAL COMMON STOCKS (Cost $9,868,729) | $ | 1,879,021 | |||
PREFERRED SECURITIES – 1.0% | |||||
Energy – 0.5% | |||||
MPLX LP, 8.462% (I) | 16,445 | 550,908 | |||
Targa Resources Corp., 9.500% | 470 | 505,368 | |||
1,056,276 | |||||
Financials – 0.5% | |||||
B. Riley Financial, Inc., 6.000% | 13,075 | 339,296 | |||
B. Riley Financial, Inc., 6.875% | 4,175 | 108,383 | |||
GMAC Capital Trust I (3 month LIBOR + 5.785%), 5.941% (E) | 23,898 | 604,858 | |||
1,052,537 | |||||
TOTAL PREFERRED SECURITIES (Cost $1,978,171) | $ | 2,108,813 | |||
ESCROW CERTIFICATES – 0.0% | |||||
Adelphia Communications Corp. | |||||
7.750%, 01/15/2049 (I)(K) | $ | 3,000,000 | 0 | ||
9.875%, 03/01/2049 (I)(K) | 2,050,000 | 0 | |||
10.250%, 11/01/2049 (I)(K) | 1,025,000 | 0 | |||
TOTAL ESCROW CERTIFICATES (Cost $342,202) | $ | 0 | |||
SHORT-TERM INVESTMENTS – 4.6% | |||||
Short-term funds – 4.6% | |||||
John Hancock Collateral Trust, 0.0324% (L)(M) | 345,094 | 3,452,532 | |||
State Street Institutional Treasury Plus Money Market Fund, Premier Class, 0.0101% (L) | 6,349,558 | 6,349,558 | |||
TOTAL SHORT-TERM INVESTMENTS (Cost $9,802,174) | $ | 9,802,090 | |||
Total Investments (High Yield Trust) (Cost $217,670,167) – 100.9% | $ | 213,229,386 | |||
Other assets and liabilities, net – (0.9%) | (1,978,848) | ||||
TOTAL NET ASSETS – 100.0% | $ | 211,250,538 |
Currency Abbreviations | |
BRL | Brazilian Real |
CAD | Canadian Dollar |
IDR | Indonesian Rupiah |
Security Abbreviations and Legend | |
CMT | Constant Maturity Treasury |
ICE | Intercontinental Exchange |
LIBOR | London Interbank Offered Rate |
PIK | Pay-in-Kind Security - Represents a payment-in-kind which may pay interest in additional par and/or cash. Rates shown are the current rate and most recent payment rate. |
(A) | Non-income producing - Issuer is in default. |
(B) | All or a portion of this security is on loan as of 6-30-21. |
(C) | 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 $141,021,057 or 66.8% of the fund's net assets as of 6-30-21. |
(D) | Perpetual bonds have no stated maturity date. Date shown as maturity date is next call date. |
The accompanying notes are an integral part of the financial statements. | 38 |
(E) | Variable rate obligation. The coupon rate shown represents the rate at period end. |
(F) | 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. |
(G) | Term loans are variable rate obligations. The coupon rate shown represents the rate at period end. |
(H) | This position represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate, which is disclosed as TBD (To Be Determined). |
(I) | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. Refer to Note 2 to the financial statements. |
(J) | Restricted security as to resale, excluding 144A securities. For more information on this security refer to the Notes to financial statements. |
(K) | Non-income producing security. |
(L) | The rate shown is the annualized seven-day yield as of 6-30-21. |
(M) | Investment is an affiliate of the fund, the advisor and/or subadvisor. This security represents the investment of cash collateral received for securities lending. |
Open contracts | Number of contracts | Position | Expiration date | Notional basis^ | Notional value^ | Unrealized appreciation (depreciation) |
5-Year U.S. Treasury Note Futures | 81 | Long | Sep 2021 | $10,011,021 | $9,997,805 | $(13,216) |
$(13,216) |
Contract to buy | Contract to sell | Counterparty (OTC) | Contractual settlement date | Unrealized appreciation | Unrealized depreciation | ||
EUR | 442,617 | USD | 527,870 | BNP | 7/19/2021 | — | $(2,850) |
MXN | 1,174,325 | USD | 57,761 | MSCS | 7/19/2021 | $1,027 | — |
USD | 587,521 | CAD | 724,887 | JPM | 7/19/2021 | 2,753 | — |
$3,780 | $(2,850) |
Credit default swaps - Seller | |||||||||||
Counterparty (OTC)/ Centrally cleared | Reference obligation | Implied credit spread | Notional amount | Currency | USD notional amount | Received fixed rate | Fixed payment frequency | Maturity date | Unamortized upfront payment paid (received) | Unrealized appreciation (depreciation) | Value |
Centrally cleared | Ford Motor Credit Company LLC | 1.163% | 300,000 | USD | $300,000 | 5.000% | Quarterly | Jun 2023 | $(12,872) | $35,863 | $22,991 |
Centrally cleared | Occidental Petroleum Corp. | 1.900% | 750,000 | USD | 750,000 | 1.000% | Quarterly | Jun 2026 | (34,369) | 2,950 | (31,419) |
$1,050,000 | $(47,241) | $38,813 | $(8,428) |
Derivatives Currency Abbreviations | |
CAD | Canadian Dollar |
EUR | Euro |
MXN | Mexican Peso |
USD | U.S. Dollar |
Derivatives Abbreviations | |
BNP | BNP Paribas |
JPM | JPMorgan Chase Bank, N.A. |
MSCS | Morgan Stanley Capital Services LLC |
OTC | Over-the-counter |
The accompanying notes are an integral part of the financial statements. | 39 |
Shares or Principal Amount | Value | ||||
U.S. GOVERNMENT AND AGENCY OBLIGATIONS – 67.0% | |||||
U.S. Government – 27.7% | |||||
U.S. Treasury Bonds | |||||
1.250%, 05/15/2050 | $ | 1,335,000 | $ | 1,090,059 | |
1.875%, 02/15/2051 | 2,545,000 | 2,428,884 | |||
2.250%, 05/15/2041 to 08/15/2046 | 6,380,000 | 6,622,855 | |||
2.500%, 02/15/2045 (A) | 1,204,000 | 1,302,672 | |||
2.500%, 02/15/2046 | 648,000 | 701,966 | |||
2.875%, 05/15/2043 | 1,170,000 | 1,345,591 | |||
3.000%, 11/15/2044 to 02/15/2048 | 9,220,000 | 10,921,628 | |||
3.125%, 08/15/2044 (A) | 5,535,000 | 6,642,649 | |||
3.125%, 05/15/2048 | 3,205,000 | 3,908,723 | |||
3.375%, 05/15/2044 | 1,690,000 | 2,107,285 | |||
3.625%, 08/15/2043 | 680,000 | 875,819 | |||
3.750%, 11/15/2043 (A) | 2,908,000 | 3,817,204 | |||
4.375%, 11/15/2039 | 1,170,000 | 1,627,625 | |||
5.375%, 02/15/2031 | 3,000 | 4,080 | |||
6.500%, 11/15/2026 | 3,135,000 | 4,050,028 | |||
U.S. Treasury Inflation Protected Securities | |||||
0.375%, 01/15/2027 | 701,827 | 776,753 | |||
0.750%, 07/15/2028 | 170,176 | 195,250 | |||
0.875%, 02/15/2047 | 1,000,939 | 1,287,041 | |||
1.000%, 02/15/2048 to 02/15/2049 | 423,859 | 567,337 | |||
U.S. Treasury Notes | |||||
0.250%, 06/30/2025 | 3,705,000 | 3,639,294 | |||
0.375%, 01/31/2026 | 1,610,000 | 1,577,737 | |||
0.625%, 05/15/2030 (A) | 8,095,000 | 7,566,612 | |||
0.625%, 08/15/2030 | 1,590,000 | 1,481,309 | |||
0.875%, 11/15/2030 | 1,425,000 | 1,355,086 | |||
1.625%, 05/15/2031 | 2,120,000 | 2,152,959 | |||
2.750%, 02/15/2028 | 6,865,000 | 7,564,104 | |||
75,610,550 | |||||
U.S. Government Agency – 39.3% | |||||
Federal Home Loan Mortgage Corp. | |||||
3.000%, 12/01/2046 to 04/01/2048 | 367,824 | 387,674 | |||
3.500%, 03/01/2048 to 06/01/2048 | 1,227,356 | 1,292,304 | |||
5.000%, 12/01/2034 | 107,270 | 121,143 | |||
6.500%, 04/01/2029 to 08/01/2034 | 7,518 | 8,822 | |||
7.500%, 12/01/2025 to 05/01/2028 | 1,928 | 2,160 | |||
Federal National Mortgage Association | |||||
1.500%, TBA (B) | 4,000,000 | 4,046,059 | |||
2.000%, TBA (B) | 39,890,000 | 40,415,688 | |||
2.500%, TBA (B) | 3,000,000 | 3,099,960 | |||
2.500%, 07/01/2030 to 04/01/2045 | 919,585 | 957,304 | |||
2.660%, 03/01/2027 | 796,952 | 856,783 | |||
2.720%, 03/01/2027 | 720,359 | 773,359 | |||
3.000%, TBA (B) | 8,600,000 | 8,985,826 | |||
3.500%, 06/01/2046 to 05/01/2048 | 4,325,920 | 4,575,760 | |||
4.000%, TBA (B) | 5,800,000 | 6,175,640 | |||
4.500%, TBA (B) | 3,300,000 | 3,550,333 | |||
5.000%, TBA (B) | 1,800,000 | 1,971,886 | |||
Government National Mortgage Association | |||||
2.000%, TBA (B) | 4,200,000 | 4,278,857 | |||
3.000%, TBA (B) | 11,500,000 | 11,997,070 | |||
3.500%, TBA (B) | 5,400,000 | 5,673,331 | |||
4.000%, TBA (B) | 2,600,000 | 2,744,976 | |||
4.000%, 11/15/2040 to 02/15/2042 | 35,028 | 38,590 | |||
4.500%, TBA (B) | 4,600,000 | 4,903,447 | |||
6.000%, 08/15/2032 to 04/15/2035 | 49,575 | 57,575 | |||
6.500%, 06/15/2028 to 02/15/2035 | 20,518 | 23,041 |
Shares or Principal Amount | Value | ||||
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (continued) | |||||
U.S. Government Agency (continued) | |||||
Government National Mortgage Association (continued) | |||||
7.000%, 11/15/2031 to 11/15/2033 | $ | 98,538 | $ | 111,020 | |
107,048,608 | |||||
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (Cost $180,573,835) | $ | 182,659,158 | |||
FOREIGN GOVERNMENT OBLIGATIONS – 5.4% | |||||
Angola – 0.2% | |||||
Republic of Angola | |||||
8.000%, 11/26/2029 | 200,000 | 204,836 | |||
8.250%, 05/09/2028 | 200,000 | 208,464 | |||
413,300 | |||||
Argentina – 0.0% | |||||
Republic of Argentina | |||||
1.000%, 07/09/2029 | 5,292 | 2,004 | |||
(0.125% to 7-9-21, then 1.125% to 7-9-22, then 1.500% to 7-9-23, then 3.625% to 7-9-24, then 4.125% to 7-9-27, then 4.750% to 7-9-28, then 5.000% thereafter), 07/09/2035 | 155,241 | 49,135 | |||
51,139 | |||||
Australia – 0.1% | |||||
Commonwealth of Australia 1.750%, 06/21/2051 | AUD | 460,000 | 304,525 | ||
Bermuda – 0.1% | |||||
Government of Bermuda 2.375%, 08/20/2030 (C) | $ | 200,000 | 199,500 | ||
Brazil – 0.4% | |||||
Federative Republic of Brazil 10.000%, 01/01/2031 | BRL | 5,476,000 | 1,159,621 | ||
Chile – 0.1% | |||||
Republic of Chile 3.100%, 05/07/2041 | $ | 240,000 | 240,240 | ||
Colombia – 0.2% | |||||
Republic of Colombia 3.875%, 04/25/2027 | 605,000 | 642,407 | |||
Croatia – 0.2% | |||||
Republic of Croatia 1.500%, 06/17/2031 | EUR | 515,000 | 635,723 | ||
Dominican Republic – 0.2% | |||||
Government of Dominican Republic 6.400%, 06/05/2049 (C) | $ | 425,000 | 456,875 | ||
Egypt – 0.1% | |||||
Arab Republic of Egypt 7.625%, 05/29/2032 (C) | 210,000 | 222,621 | |||
Ghana – 0.1% | |||||
Republic of Ghana 6.375%, 02/11/2027 (C) | 200,000 | 200,884 | |||
Hungary – 0.1% | |||||
Republic of Hungary 1.625%, 04/28/2032 | EUR | 195,000 | 245,879 | ||
Indonesia – 0.2% | |||||
Republic of Indonesia 1.100%, 03/12/2033 | 530,000 | 613,277 | |||
Macedonia – 0.2% | |||||
Republic of Macedonia | |||||
2.750%, 01/18/2025 | 210,000 | 261,084 | |||
3.675%, 06/03/2026 (C) | 265,000 | 346,071 | |||
607,155 |
The accompanying notes are an integral part of the financial statements. | 40 |
Shares or Principal Amount | Value | ||||
FOREIGN GOVERNMENT OBLIGATIONS (continued) | |||||
Mexico – 1.3% | |||||
Government of Mexico | |||||
1.125%, 01/17/2030 | EUR | 200,000 | $ | 232,605 | |
1.450%, 10/25/2033 | 600,000 | 678,546 | |||
3.750%, 04/19/2071 | $ | 200,000 | 182,694 | ||
4.280%, 08/14/2041 | 235,000 | 246,665 | |||
4.750%, 04/27/2032 to 03/08/2044 | 311,000 | 352,956 | |||
7.750%, 05/29/2031 | MXN | 35,584,600 | 1,884,267 | ||
3,577,733 | |||||
Panama – 0.3% | |||||
Republic of Panama | |||||
3.870%, 07/23/2060 | $ | 585,000 | 596,612 | ||
4.300%, 04/29/2053 | 200,000 | 221,546 | |||
818,158 | |||||
Peru – 0.1% | |||||
Republic of Peru | |||||
2.392%, 01/23/2026 | 70,000 | 72,244 | |||
2.783%, 01/23/2031 | 165,000 | 168,095 | |||
3.300%, 03/11/2041 | 130,000 | 131,166 | |||
371,505 | |||||
Philippines – 0.2% | |||||
Republic of the Philippines 1.200%, 04/28/2033 | EUR | 535,000 | 633,018 | ||
Romania – 0.5% | |||||
Republic of Romania | |||||
2.625%, 12/02/2040 (C) | 335,000 | 393,301 | |||
2.750%, 04/14/2041 | 175,000 | 205,825 | |||
3.375%, 02/08/2038 | 170,000 | 220,647 | |||
4.625%, 04/03/2049 | 317,000 | 475,123 | |||
1,294,896 | |||||
Saudi Arabia – 0.3% | |||||
Kingdom of Saudi Arabia 2.250%, 02/02/2033 (C) | $ | 685,000 | 665,443 | ||
Senegal – 0.2% | |||||
Republic of Senegal | |||||
4.750%, 03/13/2028 | EUR | 200,000 | 246,946 | ||
6.250%, 05/23/2033 | $ | 255,000 | 268,401 | ||
515,347 | |||||
Serbia – 0.1% | |||||
Republic of Serbia 1.650%, 03/03/2033 (C) | EUR | 330,000 | 382,588 | ||
Tunisia – 0.1% | |||||
Banque Centrale de Tunisie 6.750%, 10/31/2023 (C) | 190,000 | 217,408 | |||
United Arab Emirates – 0.1% | |||||
Finance Department Government of Sharjah 3.625%, 03/10/2033 (C) | $ | 280,000 | 282,741 | ||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost $14,727,088) | $ | 14,751,983 | |||
CORPORATE BONDS – 31.7% | |||||
Communication services – 3.7% | |||||
AT&T, Inc. | |||||
3.500%, 02/01/2061 | 125,000 | 123,312 | |||
3.550%, 09/15/2055 (C) | 798,000 | 800,676 | |||
3.650%, 09/15/2059 (C) | 9,000 | 9,127 | |||
3.800%, 12/01/2057 (C) | 116,000 | 120,858 | |||
CCO Holdings LLC | |||||
4.250%, 02/01/2031 (C) | 110,000 | 112,063 | |||
4.500%, 08/15/2030 (C) | 60,000 | 62,473 | |||
Charter Communications Operating LLC | |||||
2.300%, 02/01/2032 | 85,000 | 81,721 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Communication services (continued) | |||||
Charter Communications Operating LLC (continued) | |||||
4.800%, 03/01/2050 | $ | 45,000 | $ | 51,685 | |
5.125%, 07/01/2049 | 75,000 | 89,318 | |||
5.750%, 04/01/2048 | 125,000 | 159,093 | |||
6.484%, 10/23/2045 | 365,000 | 502,671 | |||
6.834%, 10/23/2055 | 40,000 | 58,879 | |||
Comcast Corp. | |||||
3.200%, 07/15/2036 | 55,000 | 59,008 | |||
3.250%, 11/01/2039 | 180,000 | 191,455 | |||
3.750%, 04/01/2040 | 250,000 | 281,820 | |||
4.049%, 11/01/2052 | 45,000 | 53,562 | |||
4.600%, 10/15/2038 | 5,000 | 6,197 | |||
4.650%, 07/15/2042 | 35,000 | 43,932 | |||
4.750%, 03/01/2044 | 20,000 | 25,464 | |||
4.950%, 10/15/2058 | 35,000 | 48,398 | |||
Cox Communications, Inc. | |||||
2.600%, 06/15/2031 (C) | 170,000 | 172,549 | |||
3.150%, 08/15/2024 (C) | 106,000 | 113,078 | |||
CSC Holdings LLC 3.375%, 02/15/2031 (C) | 430,000 | 406,311 | |||
Discovery Communications LLC | |||||
3.800%, 03/13/2024 | 80,000 | 85,796 | |||
3.950%, 06/15/2025 | 12,000 | 13,162 | |||
4.000%, 09/15/2055 | 246,000 | 260,368 | |||
5.300%, 05/15/2049 | 100,000 | 126,469 | |||
Lamar Media Corp. 3.750%, 02/15/2028 | 10,000 | 10,175 | |||
Sirius XM Radio, Inc. 4.125%, 07/01/2030 (C) | 40,000 | 40,355 | |||
Sprint Corp. 7.125%, 06/15/2024 | 85,000 | 98,069 | |||
Telecom Italia Capital SA | |||||
6.000%, 09/30/2034 | 15,000 | 17,306 | |||
7.721%, 06/04/2038 | 25,000 | 34,082 | |||
Telefonica Celular del Paraguay SA 5.875%, 04/15/2027 (C) | 400,000 | 420,000 | |||
Tencent Holdings, Ltd. | |||||
3.595%, 01/19/2028 (C) | 200,000 | 218,831 | |||
3.840%, 04/22/2051 (C) | 200,000 | 215,324 | |||
3.975%, 04/11/2029 (C) | 200,000 | 222,964 | |||
Time Warner Cable LLC | |||||
4.500%, 09/15/2042 | 520,000 | 578,004 | |||
5.875%, 11/15/2040 | 110,000 | 142,290 | |||
T-Mobile USA, Inc. | |||||
2.050%, 02/15/2028 | 315,000 | 319,779 | |||
3.500%, 04/15/2025 | 320,000 | 346,830 | |||
3.875%, 04/15/2030 | 330,000 | 368,881 | |||
4.500%, 04/15/2050 | 140,000 | 166,703 | |||
VEON Holdings BV 3.375%, 11/25/2027 (C) | 225,000 | 226,350 | |||
Verizon Communications, Inc. | |||||
2.650%, 11/20/2040 | 145,000 | 139,536 | |||
2.987%, 10/30/2056 | 83,000 | 78,023 | |||
3.400%, 03/22/2041 | 415,000 | 439,005 | |||
3.550%, 03/22/2051 | 100,000 | 106,837 | |||
4.272%, 01/15/2036 | 160,000 | 190,372 | |||
4.400%, 11/01/2034 | 225,000 | 268,022 | |||
4.812%, 03/15/2039 | 120,000 | 152,001 | |||
ViacomCBS, Inc. | |||||
4.200%, 05/19/2032 | 100,000 | 115,412 | |||
4.950%, 01/15/2031 | 255,000 | 307,356 | |||
Videotron, Ltd. 5.375%, 06/15/2024 (C) | 40,000 | 43,800 |
The accompanying notes are an integral part of the financial statements. | 41 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Communication services (continued) | |||||
Vodafone Group PLC 6.150%, 02/27/2037 | $ | 190,000 | $ | 262,914 | |
WMG Acquisition Corp. 3.875%, 07/15/2030 (C) | 450,000 | 454,455 | |||
10,043,121 | |||||
Consumer discretionary – 1.7% | |||||
Alibaba Group Holding, Ltd. 3.400%, 12/06/2027 | 235,000 | 256,788 | |||
Amazon.com, Inc. 3.875%, 08/22/2037 | 170,000 | 202,717 | |||
AutoZone, Inc. 3.625%, 04/15/2025 | 210,000 | 229,828 | |||
General Motors Company | |||||
5.200%, 04/01/2045 | 80,000 | 98,878 | |||
6.125%, 10/01/2025 | 70,000 | 82,866 | |||
General Motors Financial Company, Inc. | |||||
1.250%, 01/08/2026 | 135,000 | 134,100 | |||
1.500%, 06/10/2026 | 550,000 | 546,412 | |||
Hanesbrands, Inc. 4.875%, 05/15/2026 (C) | 50,000 | 54,000 | |||
Howard University | |||||
2.701%, 10/01/2029 | 100,000 | 101,756 | |||
2.801%, 10/01/2030 | 100,000 | 102,342 | |||
3.476%, 10/01/2041 | 120,000 | 122,621 | |||
KFC Holding Company/Pizza Hut Holdings LLC/Taco Bell of America LLC 4.750%, 06/01/2027 (C) | 20,000 | 20,925 | |||
Las Vegas Sands Corp. 3.500%, 08/18/2026 | 180,000 | 191,384 | |||
Lithia Motors, Inc. 4.625%, 12/15/2027 (C) | 30,000 | 31,728 | |||
Lowe's Companies, Inc. | |||||
1.700%, 10/15/2030 | 150,000 | 143,794 | |||
3.700%, 04/15/2046 | 15,000 | 16,481 | |||
McDonald's Corp. | |||||
3.350%, 04/01/2023 | 180,000 | 188,838 | |||
3.625%, 09/01/2049 | 210,000 | 232,709 | |||
4.200%, 04/01/2050 | 65,000 | 78,321 | |||
New Red Finance, Inc. 3.500%, 02/15/2029 (C) | 60,000 | 59,250 | |||
PulteGroup, Inc. 5.500%, 03/01/2026 | 307,000 | 358,423 | |||
Service Corp. International | |||||
3.375%, 08/15/2030 | 335,000 | 328,233 | |||
5.125%, 06/01/2029 | 507,000 | 550,095 | |||
The Home Depot, Inc. 3.300%, 04/15/2040 | 205,000 | 224,546 | |||
The William Carter Company 5.625%, 03/15/2027 (C) | 105,000 | 110,481 | |||
Toll Brothers Finance Corp. 4.875%, 11/15/2025 | 50,000 | 56,118 | |||
4,523,634 | |||||
Consumer staples – 1.5% | |||||
Altria Group, Inc. | |||||
2.625%, 09/16/2026 | 80,000 | 84,206 | |||
3.700%, 02/04/2051 | 130,000 | 123,324 | |||
Anheuser-Busch InBev Worldwide, Inc. | |||||
3.750%, 07/15/2042 | 299,000 | 323,767 | |||
4.750%, 04/15/2058 | 60,000 | 75,230 | |||
5.450%, 01/23/2039 | 328,000 | 432,589 | |||
BAT Capital Corp. | |||||
2.259%, 03/25/2028 | 140,000 | 138,950 | |||
2.789%, 09/06/2024 | 250,000 | 262,616 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Consumer staples (continued) | |||||
BAT International Finance PLC 1.668%, 03/25/2026 | $ | 545,000 | $ | 544,695 | |
Conagra Brands, Inc. | |||||
4.300%, 05/01/2024 | 70,000 | 76,778 | |||
5.400%, 11/01/2048 | 30,000 | 40,272 | |||
Constellation Brands, Inc. | |||||
2.650%, 11/07/2022 | 155,000 | 159,342 | |||
3.150%, 08/01/2029 | 92,000 | 98,661 | |||
4.650%, 11/15/2028 | 15,000 | 17,620 | |||
Diageo Capital PLC 2.000%, 04/29/2030 | 200,000 | 200,140 | |||
Kellogg Company 3.400%, 11/15/2027 | 150,000 | 164,811 | |||
Kernel Holding SA 6.500%, 10/17/2024 | 200,000 | 213,866 | |||
Mondelez International, Inc. 1.500%, 05/04/2025 | 140,000 | 142,470 | |||
NBM US Holdings, Inc. 7.000%, 05/14/2026 (C) | 420,000 | 452,764 | |||
The Coca-Cola Company | |||||
2.250%, 01/05/2032 | 455,000 | 465,826 | |||
3.000%, 03/05/2051 | 45,000 | 46,839 | |||
TreeHouse Foods, Inc. 4.000%, 09/01/2028 (D) | 20,000 | 19,850 | |||
4,084,616 | |||||
Energy – 2.1% | |||||
Apache Corp. 4.875%, 11/15/2027 | 20,000 | 21,660 | |||
BP Capital Markets America, Inc. | |||||
2.939%, 06/04/2051 | 80,000 | 76,590 | |||
3.060%, 06/17/2041 | 55,000 | 55,416 | |||
3.379%, 02/08/2061 | 105,000 | 105,558 | |||
3.633%, 04/06/2030 | 215,000 | 241,024 | |||
Continental Resources, Inc. 5.750%, 01/15/2031 (C) | 20,000 | 23,950 | |||
DCP Midstream Operating LP | |||||
4.950%, 04/01/2022 | 20,000 | 20,375 | |||
5.600%, 04/01/2044 | 30,000 | 33,000 | |||
Energy Transfer LP | |||||
4.000%, 10/01/2027 | 65,000 | 71,511 | |||
4.950%, 06/15/2028 | 45,000 | 51,992 | |||
5.250%, 04/15/2029 | 225,000 | 265,763 | |||
6.125%, 12/15/2045 | 305,000 | 388,759 | |||
6.250%, 04/15/2049 | 45,000 | 59,051 | |||
Enterprise Products Operating LLC | |||||
4.250%, 02/15/2048 | 65,000 | 74,414 | |||
4.950%, 10/15/2054 | 80,000 | 99,135 | |||
EQM Midstream Partners LP 6.500%, 07/01/2027 (C) | 5,000 | 5,575 | |||
Equinor ASA | |||||
1.750%, 01/22/2026 | 170,000 | 175,060 | |||
3.625%, 04/06/2040 | 125,000 | 142,510 | |||
3.700%, 04/06/2050 | 60,000 | 68,953 | |||
Exxon Mobil Corp. 4.227%, 03/19/2040 | 190,000 | 226,859 | |||
Galaxy Pipeline Assets Bidco, Ltd. | |||||
2.160%, 03/31/2034 (C) | 265,000 | 260,044 | |||
2.625%, 03/31/2036 (C) | 630,000 | 617,980 | |||
2.940%, 09/30/2040 (C) | 200,000 | 198,522 | |||
Halliburton Company 4.850%, 11/15/2035 | 85,000 | 100,047 | |||
Hess Corp. | |||||
7.125%, 03/15/2033 | 58,000 | 78,623 | |||
7.300%, 08/15/2031 | 155,000 | 210,153 |
The accompanying notes are an integral part of the financial statements. | 42 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Energy (continued) | |||||
Leviathan Bond, Ltd. 6.500%, 06/30/2027 (C) | $ | 235,000 | $ | 260,698 | |
Lundin Energy Finance BV | |||||
2.000%, 07/15/2026 (C) | 200,000 | 200,320 | |||
3.100%, 07/15/2031 (C) | 285,000 | 287,889 | |||
Marathon Petroleum Corp. 4.700%, 05/01/2025 | 260,000 | 293,223 | |||
MPLX LP | |||||
1.750%, 03/01/2026 | 25,000 | 25,270 | |||
4.700%, 04/15/2048 | 35,000 | 40,660 | |||
5.200%, 03/01/2047 | 40,000 | 49,249 | |||
NGPL PipeCo LLC 3.250%, 07/15/2031 (C) | 105,000 | 108,216 | |||
Ovintiv, Inc. 6.500%, 08/15/2034 | 5,000 | 6,601 | |||
Qatar Petroleum 2.250%, 07/12/2031 (C) | 295,000 | 291,864 | |||
Sabine Pass Liquefaction LLC 4.500%, 05/15/2030 | 200,000 | 230,810 | |||
Shell International Finance BV 3.250%, 04/06/2050 | 85,000 | 90,396 | |||
Suncor Energy, Inc. 3.750%, 03/04/2051 | 35,000 | 37,860 | |||
Targa Resources Partners LP 4.875%, 02/01/2031 (C) | 20,000 | 21,650 | |||
Tullow Oil PLC 7.000%, 03/01/2025 (C) | 200,000 | 177,300 | |||
Western Midstream Operating LP 5.300%, 02/01/2030 | 10,000 | 11,200 | |||
5,805,730 | |||||
Financials – 8.4% | |||||
American International Group, Inc. 2.500%, 06/30/2025 | 445,000 | 469,586 | |||
Aon Corp. 2.200%, 11/15/2022 | 185,000 | 189,533 | |||
Bank of America Corp. 7.750%, 05/14/2038 | 130,000 | 205,182 | |||
Bank of America Corp. (2.087% to 6-14-28, then SOFR + 1.060%) 06/14/2029 | 270,000 | 272,185 | |||
Bank of America Corp. (2.456% to 10-22-24, then 3 month LIBOR + 0.870%) 10/22/2025 | 270,000 | 282,446 | |||
Bank of America Corp. (3.311% to 4-22-41, then SOFR + 1.580%) 04/22/2042 | 285,000 | 301,559 | |||
Bank of America Corp. (3.366% to 1-23-25, then 3 month LIBOR + 0.810%) 01/23/2026 | 740,000 | 797,864 | |||
Bank of America Corp. (3.705% to 4-24-27, then 3 month LIBOR + 1.512%) 04/24/2028 | 90,000 | 99,520 | |||
Bank of America Corp. (4.083% to 3-20-50, then 3 month LIBOR + 3.150%) 03/20/2051 | 625,000 | 746,822 | |||
BNP Paribas SA (1.323% to 1-13-26, then SOFR + 1.004%) 01/13/2027 (C) | 200,000 | 197,577 | |||
BNP Paribas SA (2.219% to 6-9-25, then SOFR + 2.074%) 06/09/2026 (C) | 240,000 | 247,346 | |||
Brighthouse Financial, Inc. 5.625%, 05/15/2030 | 545,000 | 663,122 | |||
Capital One Financial Corp. 3.900%, 01/29/2024 | 205,000 | 221,240 | |||
Citigroup, Inc. | |||||
3.200%, 10/21/2026 | 225,000 | 243,734 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Financials (continued) | |||||
Citigroup, Inc. (continued) | |||||
3.700%, 01/12/2026 | $ | 315,000 | $ | 348,347 | |
4.450%, 09/29/2027 | 45,000 | 51,412 | |||
Citigroup, Inc. (2.312% to 11-4-21, then SOFR + 0.867%) 11/04/2022 | 235,000 | 236,475 | |||
Citigroup, Inc. (2.561% to 5-1-31, then SOFR + 1.167%) 05/01/2032 | 270,000 | 274,847 | |||
Citigroup, Inc. (3.352% to 4-24-24, then 3 month LIBOR + 0.897%) 04/24/2025 | 220,000 | 234,422 | |||
Citigroup, Inc. (3.980% to 3-20-29, then 3 month LIBOR + 1.338%) 03/20/2030 | 110,000 | 124,591 | |||
Citigroup, Inc. (4.412% to 3-31-30, then SOFR + 3.914%) 03/31/2031 | 165,000 | 192,665 | |||
Credit Suisse Group AG (6.250% to 12-18-24, then 5 Year U.S. Swap Rate + 3.455%) 12/18/2024 (E) | 475,000 | 520,125 | |||
Danske Bank A/S | |||||
5.000%, 01/12/2022 (C) | 225,000 | 230,220 | |||
5.375%, 01/12/2024 (C) | 235,000 | 260,581 | |||
Equitable Financial Life Global Funding 1.800%, 03/08/2028 (C) | 380,000 | 378,026 | |||
Fifth Third Bancorp 2.375%, 01/28/2025 | 205,000 | 214,924 | |||
FirstCash, Inc. 4.625%, 09/01/2028 (C) | 250,000 | 261,338 | |||
GE Capital Funding LLC 4.400%, 05/15/2030 | 235,000 | 273,853 | |||
GE Capital International Funding Company 4.418%, 11/15/2035 | 220,000 | 263,666 | |||
Genworth Holdings, Inc. 4.900%, 08/15/2023 | 50,000 | 50,125 | |||
GTP Acquisition Partners I LLC 3.482%, 06/16/2025 (C) | 730,000 | 775,344 | |||
HSBC Holdings PLC (0.976% to 5-24-24, then SOFR + 0.708%) 05/24/2025 | 290,000 | 289,756 | |||
HSBC Holdings PLC (1.589% to 5-24-26, then SOFR + 1.290%) 05/24/2027 | 305,000 | 305,588 | |||
HSBC Holdings PLC (4.583% to 6-19-28, then 3 month LIBOR + 1.535%) 06/19/2029 | 290,000 | 335,170 | |||
JPMorgan Chase & Co. (2.956% to 5-13-30, then SOFR + 2.515%) 05/13/2031 | 50,000 | 52,525 | |||
JPMorgan Chase & Co. (3.109% to 4-22-40, then SOFR + 2.460%) 04/22/2041 | 110,000 | 114,119 | |||
JPMorgan Chase & Co. (3.109% to 4-22-50, then SOFR + 2.440%) 04/22/2051 | 70,000 | 72,219 | |||
JPMorgan Chase & Co. (3.157% to 4-22-41, then SOFR + 1.460%) 04/22/2042 | 455,000 | 473,623 | |||
JPMorgan Chase & Co. (3.220% to 3-1-24, then 3 month LIBOR + 1.155%) 03/01/2025 | 295,000 | 313,388 | |||
JPMorgan Chase & Co. (3.509% to 1-23-28, then 3 month LIBOR + 0.945%) 01/23/2029 | 285,000 | 314,119 |
The accompanying notes are an integral part of the financial statements. | 43 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Financials (continued) | |||||
JPMorgan Chase & Co. (3.702% to 5-6-29, then 3 month LIBOR + 1.160%) 05/06/2030 | $ | 280,000 | $ | 312,671 | |
JPMorgan Chase & Co. (3.797% to 7-23-23, then 3 month LIBOR + 0.890%) 07/23/2024 | 165,000 | 175,812 | |||
JPMorgan Chase & Co. (3.960% to 1-29-26, then 3 month LIBOR + 1.245%) 01/29/2027 | 595,000 | 662,595 | |||
JPMorgan Chase & Co. (4.005% to 4-23-28, then 3 month LIBOR + 1.120%) 04/23/2029 | 315,000 | 356,120 | |||
Marsh & McLennan Companies, Inc. | |||||
3.875%, 03/15/2024 | 190,000 | 206,082 | |||
4.750%, 03/15/2039 | 120,000 | 153,226 | |||
Massachusetts Mutual Life Insurance Company 3.729%, 10/15/2070 (C) | 49,000 | 51,972 | |||
MGIC Investment Corp. 5.750%, 08/15/2023 | 30,000 | 32,336 | |||
Morgan Stanley 3.125%, 07/27/2026 | 55,000 | 59,591 | |||
Morgan Stanley (1.593% to 5-4-26, then SOFR + 0.879%) 05/04/2027 | 295,000 | 297,087 | |||
Morgan Stanley (1.794% to 2-13-31, then SOFR + 1.034%) 02/13/2032 | 515,000 | 494,818 | |||
Morgan Stanley (1.928% to 4-28-31, then SOFR + 1.020%) 04/28/2032 | 350,000 | 340,210 | |||
Morgan Stanley (2.699% to 1-22-30, then SOFR + 1.143%) 01/22/2031 | 105,000 | 109,914 | |||
Morgan Stanley (3.591% to 7-22-27, then 3 month LIBOR + 1.340%) 07/22/2028 | 395,000 | 437,562 | |||
Morgan Stanley (4.431% to 1-23-29, then 3 month LIBOR + 1.628%) 01/23/2030 | 10,000 | 11,709 | |||
MSCI, Inc. | |||||
4.000%, 11/15/2029 (C) | 15,000 | 15,825 | |||
5.375%, 05/15/2027 (C) | 603,000 | 642,195 | |||
Navient Corp. 7.250%, 01/25/2022 to 09/25/2023 | 85,000 | 90,491 | |||
New York Life Global Funding 2.000%, 01/22/2025 (C) | 420,000 | 435,367 | |||
NTT Finance Corp. 1.162%, 04/03/2026 (C) | 400,000 | 399,080 | |||
Power Finance Corp., Ltd. 3.950%, 04/23/2030 (C) | 515,000 | 529,809 | |||
Santander Holdings USA, Inc. 3.700%, 03/28/2022 | 200,000 | 204,130 | |||
State Street Corp. (2.354% to 11-1-24, then SOFR + 0.940%) 11/01/2025 | 105,000 | 110,360 | |||
State Street Corp. (2.901% to 3-30-25, then SOFR + 2.600%) 03/30/2026 | 130,000 | 138,801 | |||
The Bank of New York Mellon Corp. 2.100%, 10/24/2024 | 260,000 | 272,457 | |||
The Goldman Sachs Group, Inc. 6.750%, 10/01/2037 | 255,000 | 371,324 | |||
The Goldman Sachs Group, Inc. (1.992% to 1-27-31, then SOFR + 1.090%) 01/27/2032 | 115,000 | 111,687 | |||
The Goldman Sachs Group, Inc. (2.615% to 4-22-31, then SOFR + 1.281%) 04/22/2032 | 340,000 | 347,333 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Financials (continued) | |||||
The Goldman Sachs Group, Inc. (4.017% to 10-31-37, then 3 month LIBOR + 1.373%) 10/31/2038 | $ | 235,000 | $ | 275,565 | |
The PNC Financial Services Group, Inc. | |||||
2.200%, 11/01/2024 | 70,000 | 73,422 | |||
2.550%, 01/22/2030 | 45,000 | 47,336 | |||
The Progressive Corp. 3.200%, 03/26/2030 | 155,000 | 170,186 | |||
Truist Bank 2.250%, 03/11/2030 | 620,000 | 628,998 | |||
UBS Group AG 2.650%, 02/01/2022 (C) | 380,000 | 385,368 | |||
UBS Group AG (7.000% to 2-19-25, then 5 Year U.S. Swap Rate + 4.866%) 02/19/2025 (E) | 200,000 | 230,500 | |||
UniCredit SpA 6.572%, 01/14/2022 (C) | 350,000 | 360,802 | |||
Unum Group | |||||
4.000%, 06/15/2029 | 80,000 | 89,801 | |||
4.500%, 12/15/2049 | 120,000 | 127,239 | |||
Voya Financial, Inc. 4.800%, 06/15/2046 | 5,000 | 6,330 | |||
Wells Fargo & Company | |||||
3.000%, 04/22/2026 to 10/23/2026 | 310,000 | 333,755 | |||
3.750%, 01/24/2024 | 330,000 | 354,898 | |||
4.400%, 06/14/2046 | 60,000 | 72,325 | |||
4.900%, 11/17/2045 | 15,000 | 19,238 | |||
5.606%, 01/15/2044 | 15,000 | 20,499 | |||
Wells Fargo & Company (2.406% to 10-30-24, then SOFR + 1.087%) 10/30/2025 | 205,000 | 214,486 | |||
Wells Fargo & Company (5.013% to 4-4-50, then SOFR + 4.502%) 04/04/2051 | 105,000 | 143,833 | |||
Willis North America, Inc. 3.600%, 05/15/2024 | 115,000 | 123,536 | |||
22,947,865 | |||||
Health care – 3.1% | |||||
AbbVie, Inc. | |||||
3.200%, 11/21/2029 | 265,000 | 287,802 | |||
4.250%, 11/21/2049 | 115,000 | 137,829 | |||
4.625%, 10/01/2042 | 85,000 | 104,826 | |||
Alcon Finance Corp. 2.750%, 09/23/2026 (C) | 400,000 | 423,309 | |||
Amgen, Inc. | |||||
1.900%, 02/21/2025 | 65,000 | 67,295 | |||
2.300%, 02/25/2031 | 160,000 | 161,882 | |||
3.150%, 02/21/2040 | 105,000 | 109,410 | |||
3.375%, 02/21/2050 | 60,000 | 63,348 | |||
Anthem, Inc. 3.500%, 08/15/2024 | 130,000 | 140,023 | |||
Astrazeneca Finance LLC | |||||
1.750%, 05/28/2028 | 540,000 | 539,478 | |||
2.250%, 05/28/2031 | 40,000 | 40,574 | |||
Bausch Health Companies, Inc. 5.750%, 08/15/2027 (C) | 50,000 | 53,069 | |||
Baxalta, Inc. 3.600%, 06/23/2022 | 11,000 | 11,288 | |||
Baxter International, Inc. 3.950%, 04/01/2030 | 115,000 | 132,367 | |||
Bayer US Finance II LLC 4.250%, 12/15/2025 (C) | 260,000 | 289,730 | |||
Boston Scientific Corp. | |||||
1.900%, 06/01/2025 | 125,000 | 128,918 | |||
3.750%, 03/01/2026 | 355,000 | 393,618 |
The accompanying notes are an integral part of the financial statements. | 44 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Health care (continued) | |||||
Bristol-Myers Squibb Company | |||||
0.750%, 11/13/2025 | $ | 320,000 | $ | 317,218 | |
2.550%, 11/13/2050 | 95,000 | 90,841 | |||
Centene Corp. | |||||
3.375%, 02/15/2030 | 5,000 | 5,227 | |||
4.250%, 12/15/2027 | 50,000 | 52,688 | |||
4.625%, 12/15/2029 | 585,000 | 643,365 | |||
Cigna Corp. 1.250%, 03/15/2026 | 450,000 | 451,318 | |||
CommonSpirit Health 3.347%, 10/01/2029 | 45,000 | 48,736 | |||
CVS Health Corp. | |||||
4.125%, 04/01/2040 | 235,000 | 272,609 | |||
5.125%, 07/20/2045 | 85,000 | 110,555 | |||
Gilead Sciences, Inc. 1.650%, 10/01/2030 | 400,000 | 386,647 | |||
GlaxoSmithKline Capital, Inc. 3.625%, 05/15/2025 | 325,000 | 358,866 | |||
HCA, Inc. | |||||
2.375%, 07/15/2031 | 410,000 | 404,802 | |||
3.500%, 09/01/2030 | 40,000 | 42,615 | |||
Hill-Rom Holdings, Inc. 4.375%, 09/15/2027 (C) | 30,000 | 31,050 | |||
Kaiser Foundation Hospitals | |||||
2.810%, 06/01/2041 | 100,000 | 101,994 | |||
3.002%, 06/01/2051 | 165,000 | 170,290 | |||
Pfizer, Inc. 2.625%, 04/01/2030 | 90,000 | 95,847 | |||
Rede D'or Finance Sarl 4.500%, 01/22/2030 (C) | 680,000 | 697,000 | |||
Royalty Pharma PLC 3.300%, 09/02/2040 (C) | 55,000 | 55,384 | |||
Sutter Health 3.361%, 08/15/2050 | 110,000 | 116,738 | |||
Teleflex, Inc. 4.250%, 06/01/2028 (C) | 25,000 | 26,063 | |||
Teva Pharmaceutical Finance Netherlands III BV 3.150%, 10/01/2026 | 345,000 | 328,181 | |||
UnitedHealth Group, Inc. | |||||
2.375%, 08/15/2024 | 170,000 | 178,829 | |||
2.750%, 05/15/2040 | 140,000 | 141,779 | |||
3.500%, 08/15/2039 | 100,000 | 111,759 | |||
4.750%, 07/15/2045 | 50,000 | 65,497 | |||
8,390,664 | |||||
Industrials – 2.2% | |||||
Ashtead Capital, Inc. 4.375%, 08/15/2027 (C) | 605,000 | 633,738 | |||
BOC Aviation USA Corp. 1.625%, 04/29/2024 (C) | 605,000 | 609,760 | |||
Builders FirstSource, Inc. 5.000%, 03/01/2030 (C) | 225,000 | 236,576 | |||
BWX Technologies, Inc. 4.125%, 04/15/2029 (C) | 55,000 | 55,963 | |||
Clean Harbors, Inc. | |||||
4.875%, 07/15/2027 (C) | 625,000 | 654,688 | |||
5.125%, 07/15/2029 (C) | 25,000 | 27,188 | |||
DAE Funding LLC | |||||
1.550%, 08/01/2024 (C) | 435,000 | 434,117 | |||
4.500%, 08/01/2022 (C) | 5,000 | 5,008 | |||
5.000%, 08/01/2024 (C) | 5,000 | 5,135 | |||
Equifax, Inc. 2.600%, 12/15/2025 | 133,000 | 139,972 | |||
General Dynamics Corp. 4.250%, 04/01/2040 | 95,000 | 116,252 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Industrials (continued) | |||||
International Airport Finance SA 12.000%, 03/15/2033 (C) | $ | 329,236 | $ | 346,932 | |
L3Harris Technologies, Inc. 3.850%, 06/15/2023 | 260,000 | 276,357 | |||
Northrop Grumman Corp. 5.150%, 05/01/2040 | 170,000 | 223,082 | |||
Otis Worldwide Corp. 2.565%, 02/15/2030 | 310,000 | 321,051 | |||
Penske Truck Leasing Company LP | |||||
2.700%, 11/01/2024 (C) | 250,000 | 262,907 | |||
4.000%, 07/15/2025 (C) | 170,000 | 187,221 | |||
Raytheon Technologies Corp. | |||||
3.650%, 08/16/2023 | 4,000 | 4,245 | |||
3.950%, 08/16/2025 | 60,000 | 66,731 | |||
4.450%, 11/16/2038 | 130,000 | 157,302 | |||
4.625%, 11/16/2048 | 35,000 | 45,026 | |||
Sensata Technologies BV 5.000%, 10/01/2025 (C) | 75,000 | 83,531 | |||
The Boeing Company | |||||
5.040%, 05/01/2027 | 220,000 | 253,842 | |||
5.150%, 05/01/2030 | 135,000 | 159,861 | |||
Trane Technologies Luxembourg Finance SA 4.500%, 03/21/2049 | 40,000 | 50,233 | |||
Union Pacific Corp. | |||||
2.375%, 05/20/2031 | 290,000 | 295,897 | |||
2.973%, 09/16/2062 | 240,000 | 230,638 | |||
United Airlines, Inc. 4.625%, 04/15/2029 (C) | 45,000 | 46,575 | |||
United Rentals North America, Inc. | |||||
4.000%, 07/15/2030 | 35,000 | 36,050 | |||
5.500%, 05/15/2027 | 65,000 | 68,900 | |||
Waste Management, Inc. 2.000%, 06/01/2029 | 75,000 | 75,798 | |||
6,110,576 | |||||
Information technology – 3.9% | |||||
Apple, Inc. | |||||
2.200%, 09/11/2029 | 365,000 | 379,468 | |||
2.650%, 05/11/2050 | 60,000 | 58,910 | |||
3.450%, 02/09/2045 | 45,000 | 50,260 | |||
3.850%, 05/04/2043 | 25,000 | 29,708 | |||
4.375%, 05/13/2045 | 35,000 | 44,623 | |||
Black Knight InfoServ LLC 3.625%, 09/01/2028 (C) | 824,000 | 819,847 | |||
Booz Allen Hamilton, Inc. | |||||
3.875%, 09/01/2028 (C) | 510,000 | 520,200 | |||
4.000%, 07/01/2029 (C) | 80,000 | 81,800 | |||
Broadcom, Inc. | |||||
3.419%, 04/15/2033 (C) | 420,000 | 441,069 | |||
3.469%, 04/15/2034 (C) | 46,000 | 48,657 | |||
5.000%, 04/15/2030 | 590,000 | 696,065 | |||
CDK Global, Inc. 5.250%, 05/15/2029 (C) | 83,000 | 90,587 | |||
CDW LLC | |||||
3.250%, 02/15/2029 | 310,000 | 314,092 | |||
4.125%, 05/01/2025 | 230,000 | 240,350 | |||
4.250%, 04/01/2028 | 20,000 | 21,000 | |||
Entegris, Inc. | |||||
3.625%, 05/01/2029 (C) | 20,000 | 20,250 | |||
4.375%, 04/15/2028 (C) | 40,000 | 41,750 | |||
Fair Isaac Corp. 4.000%, 06/15/2028 (C) | 18,000 | 18,606 | |||
Fidelity National Information Services, Inc. 2.250%, 03/01/2031 | 120,000 | 119,785 |
The accompanying notes are an integral part of the financial statements. | 45 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Information technology (continued) | |||||
Fiserv, Inc. | |||||
2.250%, 06/01/2027 | $ | 50,000 | $ | 51,867 | |
3.200%, 07/01/2026 | 205,000 | 221,846 | |||
Gartner, Inc. | |||||
3.625%, 06/15/2029 (C) | 50,000 | 50,750 | |||
3.750%, 10/01/2030 (C) | 143,000 | 146,305 | |||
4.500%, 07/01/2028 (C) | 193,000 | 203,831 | |||
Go Daddy Operating Company LLC | |||||
3.500%, 03/01/2029 (C) | 45,000 | 44,708 | |||
5.250%, 12/01/2027 (C) | 454,000 | 476,700 | |||
HP, Inc. | |||||
2.200%, 06/17/2025 | 135,000 | 140,121 | |||
3.000%, 06/17/2027 | 105,000 | 112,444 | |||
IBM Corp. 3.500%, 05/15/2029 | 275,000 | 307,752 | |||
Intel Corp. 3.100%, 02/15/2060 | 175,000 | 178,796 | |||
Leidos, Inc. 3.625%, 05/15/2025 | 130,000 | 141,271 | |||
Marvell Technology, Inc. | |||||
2.450%, 04/15/2028 (C) | 245,000 | 249,706 | |||
2.950%, 04/15/2031 (C) | 190,000 | 196,910 | |||
Mastercard, Inc. 2.950%, 03/15/2051 | 110,000 | 114,926 | |||
Microchip Technology, Inc. | |||||
2.670%, 09/01/2023 | 370,000 | 385,362 | |||
4.250%, 09/01/2025 | 10,000 | 10,499 | |||
Microsoft Corp. 3.041%, 03/17/2062 | 149,000 | 158,946 | |||
Nokia OYJ | |||||
4.375%, 06/12/2027 | 130,000 | 143,599 | |||
6.625%, 05/15/2039 | 40,000 | 51,800 | |||
NortonLifeLock, Inc. 5.000%, 04/15/2025 (C) | 530,000 | 537,404 | |||
NVIDIA Corp. 3.500%, 04/01/2040 | 185,000 | 209,841 | |||
NXP BV | |||||
4.300%, 06/18/2029 (C) | 25,000 | 28,663 | |||
4.875%, 03/01/2024 (C) | 285,000 | 313,729 | |||
5.350%, 03/01/2026 (C) | 115,000 | 134,187 | |||
5.550%, 12/01/2028 (C) | 95,000 | 116,661 | |||
Oracle Corp. | |||||
2.300%, 03/25/2028 | 385,000 | 395,013 | |||
2.875%, 03/25/2031 | 225,000 | 234,018 | |||
3.600%, 04/01/2040 | 35,000 | 36,917 | |||
3.850%, 04/01/2060 | 465,000 | 493,705 | |||
3.950%, 03/25/2051 | 80,000 | 87,319 | |||
4.100%, 03/25/2061 | 115,000 | 127,500 | |||
Qorvo, Inc. 3.375%, 04/01/2031 (C) | 15,000 | 15,633 | |||
QUALCOMM, Inc. | |||||
4.650%, 05/20/2035 | 10,000 | 12,715 | |||
4.800%, 05/20/2045 | 110,000 | 146,214 | |||
SS&C Technologies, Inc. 5.500%, 09/30/2027 (C) | 262,000 | 277,641 | |||
Western Digital Corp. 4.750%, 02/15/2026 | 20,000 | 22,225 | |||
Xerox Holdings Corp. 5.500%, 08/15/2028 (C) | 40,000 | 41,560 | |||
10,656,111 | |||||
Materials – 1.3% | |||||
Ball Corp. 4.000%, 11/15/2023 | 570,000 | 603,419 | |||
Commercial Metals Company 5.375%, 07/15/2027 | 20,000 | 21,150 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Materials (continued) | |||||
DuPont de Nemours, Inc. 4.205%, 11/15/2023 | $ | 340,000 | $ | 368,326 | |
FS Luxembourg Sarl 10.000%, 12/15/2025 (C) | 200,000 | 223,752 | |||
Kaiser Aluminum Corp. 4.625%, 03/01/2028 (C) | 20,000 | 20,663 | |||
LYB International Finance III LLC | |||||
1.250%, 10/01/2025 | 170,000 | 169,575 | |||
3.800%, 10/01/2060 | 55,000 | 58,152 | |||
Metinvest BV 5.625%, 06/17/2025 (C) | EUR | 195,000 | 244,482 | ||
Olin Corp. 5.125%, 09/15/2027 | $ | 45,000 | 46,800 | ||
Standard Industries, Inc. | |||||
3.375%, 01/15/2031 (C) | 40,000 | 38,288 | |||
4.375%, 07/15/2030 (C) | 410,000 | 422,813 | |||
Suzano Austria GmbH | |||||
3.125%, 01/15/2032 | 435,000 | 430,811 | |||
5.000%, 01/15/2030 | 500,000 | 566,500 | |||
The Chemours Company 5.375%, 05/15/2027 (D) | 45,000 | 48,806 | |||
Vale Overseas, Ltd. 3.750%, 07/08/2030 | 135,000 | 143,735 | |||
3,407,272 | |||||
Real estate – 0.7% | |||||
American Tower Corp. | |||||
1.500%, 01/31/2028 | 45,000 | 43,757 | |||
2.400%, 03/15/2025 | 135,000 | 141,054 | |||
Equinix, Inc. | |||||
2.000%, 05/15/2028 | 90,000 | 90,387 | |||
2.500%, 05/15/2031 | 195,000 | 198,321 | |||
GLP Capital LP | |||||
4.000%, 01/15/2031 | 280,000 | 301,694 | |||
5.300%, 01/15/2029 | 130,000 | 151,450 | |||
5.750%, 06/01/2028 | 130,000 | 154,682 | |||
SBA Tower Trust | |||||
2.836%, 01/15/2025 (C) | 300,000 | 314,720 | |||
3.448%, 03/15/2023 (C) | 435,000 | 443,335 | |||
VEREIT Operating Partnership LP | |||||
2.200%, 06/15/2028 | 15,000 | 15,220 | |||
2.850%, 12/15/2032 | 15,000 | 15,669 | |||
3.400%, 01/15/2028 | 60,000 | 65,251 | |||
VICI Properties LP 4.250%, 12/01/2026 (C) | 10,000 | 10,402 | |||
1,945,942 | |||||
Utilities – 3.1% | |||||
Alabama Power Company | |||||
3.450%, 10/01/2049 | 170,000 | 184,516 | |||
4.150%, 08/15/2044 | 105,000 | 125,871 | |||
American Water Capital Corp. 4.150%, 06/01/2049 | 110,000 | 133,426 | |||
AmeriGas Partners LP | |||||
5.625%, 05/20/2024 | 20,000 | 21,850 | |||
5.875%, 08/20/2026 | 40,000 | 44,786 | |||
Berkshire Hathaway Energy Company | |||||
1.650%, 05/15/2031 | 55,000 | 52,788 | |||
3.250%, 04/15/2028 | 20,000 | 21,983 | |||
Centrais Eletricas Brasileiras SA 3.625%, 02/04/2025 (C) | 200,000 | 205,750 | |||
Cleco Corporate Holdings LLC | |||||
3.375%, 09/15/2029 | 140,000 | 144,542 | |||
4.973%, 05/01/2046 | 10,000 | 11,955 | |||
Commonwealth Edison Company 3.650%, 06/15/2046 | 175,000 | 198,986 |
The accompanying notes are an integral part of the financial statements. | 46 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Utilities (continued) | |||||
Dominion Energy South Carolina, Inc. 5.100%, 06/01/2065 | $ | 50,000 | $ | 72,217 | |
Duke Energy Carolinas LLC | |||||
2.550%, 04/15/2031 | 105,000 | 109,010 | |||
3.450%, 04/15/2051 | 65,000 | 72,069 | |||
Duke Energy Corp. 2.550%, 06/15/2031 | 435,000 | 440,187 | |||
Duke Energy Florida LLC 3.400%, 10/01/2046 | 75,000 | 81,599 | |||
Duke Energy Indiana LLC | |||||
2.750%, 04/01/2050 | 195,000 | 188,720 | |||
3.250%, 10/01/2049 | 105,000 | 110,912 | |||
Duke Energy Progress LLC 3.700%, 10/15/2046 | 125,000 | 141,126 | |||
Duquesne Light Holdings, Inc. 2.775%, 01/07/2032 (C) | 130,000 | 131,001 | |||
Evergy, Inc. | |||||
2.450%, 09/15/2024 | 90,000 | 94,252 | |||
2.900%, 09/15/2029 | 175,000 | 185,450 | |||
Exelon Corp. 3.950%, 06/15/2025 | 210,000 | 231,076 | |||
FirstEnergy Corp. | |||||
1.600%, 01/15/2026 | 35,000 | 34,213 | |||
2.250%, 09/01/2030 | 175,000 | 167,793 | |||
3.400%, 03/01/2050 | 140,000 | 136,850 | |||
5.350%, 07/15/2047 | 65,000 | 78,000 | |||
Georgia Power Company | |||||
2.100%, 07/30/2023 | 255,000 | 263,330 | |||
4.300%, 03/15/2042 | 200,000 | 235,669 | |||
IPALCO Enterprises, Inc. | |||||
3.700%, 09/01/2024 | 175,000 | 188,281 | |||
4.250%, 05/01/2030 | 445,000 | 499,761 | |||
ITC Holdings Corp. 2.950%, 05/14/2030 (C) | 220,000 | 231,542 | |||
Jersey Central Power & Light Company 2.750%, 03/01/2032 (C) | 125,000 | 126,886 | |||
MidAmerican Energy Company | |||||
3.150%, 04/15/2050 | 115,000 | 122,829 | |||
3.650%, 08/01/2048 | 45,000 | 51,333 | |||
NiSource, Inc. 3.490%, 05/15/2027 | 210,000 | 230,979 | |||
NRG Energy, Inc. | |||||
2.000%, 12/02/2025 (C) | 190,000 | 192,731 | |||
2.450%, 12/02/2027 (C) | 190,000 | 191,222 | |||
Oglethorpe Power Corp. | |||||
3.750%, 08/01/2050 | 35,000 | 36,941 | |||
5.050%, 10/01/2048 | 135,000 | 169,722 | |||
Oncor Electric Delivery Company LLC 5.750%, 03/15/2029 | 70,000 | 87,958 | |||
Pacific Gas & Electric Company 2.500%, 02/01/2031 | 430,000 | 403,145 | |||
PacifiCorp | |||||
4.125%, 01/15/2049 | 33,000 | 39,464 | |||
4.150%, 02/15/2050 | 45,000 | 54,703 | |||
Public Service Electric & Gas Company 3.800%, 03/01/2046 | 50,000 | 58,807 | |||
Public Service Enterprise Group, Inc. 2.875%, 06/15/2024 | 220,000 | 233,263 | |||
Puget Energy, Inc. | |||||
3.650%, 05/15/2025 | 250,000 | 269,009 | |||
4.100%, 06/15/2030 | 155,000 | 173,470 | |||
Sempra Energy | |||||
3.400%, 02/01/2028 | 200,000 | 219,764 | |||
3.800%, 02/01/2038 | 85,000 | 94,370 | |||
4.000%, 02/01/2048 | 25,000 | 28,042 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Utilities (continued) | |||||
Southern California Edison Company | |||||
2.250%, 06/01/2030 | $ | 85,000 | $ | 83,575 | |
2.850%, 08/01/2029 | 150,000 | 155,729 | |||
3.650%, 02/01/2050 | 35,000 | 35,003 | |||
4.000%, 04/01/2047 | 72,000 | 75,737 | |||
The AES Corp. 3.300%, 07/15/2025 (C) | 175,000 | 186,743 | |||
The Southern Company 2.950%, 07/01/2023 | 70,000 | 73,030 | |||
Zorlu Yenilenebilir Enerji AS 9.000%, 06/01/2026 (C) | 285,000 | 284,195 | |||
8,518,161 | |||||
TOTAL CORPORATE BONDS (Cost $81,865,694) | $ | 86,433,692 | |||
MUNICIPAL BONDS – 2.3% | |||||
Chicago Board of Education (Illinois), GO | |||||
6.038%, 12/01/2029 | 30,000 | 35,250 | |||
6.138%, 12/01/2039 | 155,000 | 189,271 | |||
6.319%, 11/01/2029 | 185,000 | 226,874 | |||
Chicago Transit Authority (Illinois) 3.912%, 12/01/2040 | 90,000 | 101,419 | |||
County of Riverside (California) | |||||
2.963%, 02/15/2027 | 600,000 | 648,278 | |||
3.070%, 02/15/2028 | 600,000 | 652,633 | |||
Metropolitan Transportation Authority (New York) | |||||
4.750%, 11/15/2045 | 255,000 | 313,637 | |||
5.175%, 11/15/2049 | 705,000 | 951,726 | |||
Municipal Electric Authority of Georgia 6.637%, 04/01/2057 | 196,000 | 296,995 | |||
New York Transportation Development Corp. 4.248%, 09/01/2035 | 785,000 | 869,652 | |||
Philadelphia Authority for Industrial Development (Pennsylvania) 6.550%, 10/15/2028 | 675,000 | 877,283 | |||
State Board of Administration Finance Corp. (Florida) 1.258%, 07/01/2025 | 510,000 | 514,900 | |||
State of California, GO 7.300%, 10/01/2039 (D) | 30,000 | 48,012 | |||
State of Connecticut, GO 3.000%, 07/01/2021 | 20,000 | 20,000 | |||
State of Illinois, GO | |||||
4.950%, 06/01/2023 (D) | 246,818 | 263,794 | |||
5.000%, 01/01/2023 | 40,000 | 41,989 | |||
5.947%, 04/01/2022 | 120,000 | 124,537 | |||
TOTAL MUNICIPAL BONDS (Cost $5,492,732) | $ | 6,176,250 | |||
TERM LOANS (F) – 3.3% | |||||
Communication services – 0.2% | |||||
Clear Channel Outdoor Holdings, Inc., Term Loan B (3 month LIBOR + 3.500%) 3.686%, 08/21/2026 | 137,550 | 134,169 | |||
CSC Holdings LLC, 2019 Term Loan B5 (1 month LIBOR + 2.500%) 2.573%, 04/15/2027 | 97,516 | 96,488 | |||
Delta 2 Lux Sarl, 2018 USD Term Loan (1 month LIBOR + 2.500%) 3.500%, 02/01/2024 | 131,829 | 131,026 |
The accompanying notes are an integral part of the financial statements. | 47 |
Shares or Principal Amount | Value | ||||
TERM LOANS (F) (continued) | |||||
Communication services (continued) | |||||
Terrier Media Buyer, Inc., 2021 Term Loan (1 month LIBOR + 3.500%) 3.604%, 12/17/2026 | $ | 108,356 | $ | 107,753 | |
469,436 | |||||
Consumer discretionary – 0.6% | |||||
APX Group, Inc., 2020 Term Loan (Prime rate + 4.000%) 7.250%, 12/31/2025 | 195,525 | 195,801 | |||
Boyd Gaming Corp., Term Loan B3 (1 week LIBOR + 2.250%) 2.338%, 09/15/2023 | 68,761 | 68,648 | |||
Caesars Resort Collection LLC, 2017 1st Lien Term Loan B (1 month LIBOR + 2.750%) 2.854%, 12/23/2024 | 107,395 | 106,417 | |||
Clarios Global LP, 2021 USD Term Loan B (1 month LIBOR + 3.250%) 3.354%, 04/30/2026 | 90,865 | 89,957 | |||
Golden Entertainment, Inc., 2017 1st Lien Term Loan (1 month LIBOR + 3.000%) 3.750%, 10/21/2024 | 113,281 | 112,432 | |||
KFC Holding Company, 2021 Term Loan B (1 month LIBOR + 1.750%) 1.833%, 03/15/2028 | 97,369 | 97,334 | |||
MajorDrive Holdings IV LLC, Term Loan B (3 month LIBOR + 4.000%) 4.500%, 05/12/2028 | 100,000 | 100,031 | |||
New Red Finance, Inc., Term Loan B4 (1 month LIBOR + 1.750%) 1.854%, 11/19/2026 | 687,248 | 677,262 | |||
Staples, Inc., 7 Year Term Loan (3 month LIBOR + 5.000%) 5.176%, 04/16/2026 | 125,807 | 122,427 | |||
Verisure Holding AB, 2020 EUR Term Loan B (3 month EURIBOR + 3.500%) 3.500%, 07/20/2026 | EUR | 115,000 | 135,929 | ||
1,706,238 | |||||
Consumer staples – 0.2% | |||||
Brightview Landscapes LLC, 2018 1st Lien Term Loan B (1 month LIBOR + 2.500%) 2.625%, 08/15/2025 | $ | 168,348 | 167,296 | ||
Coty, Inc., 2018 USD Term Loan B (1 month LIBOR + 2.250%) 2.331%, 04/07/2025 | 102,850 | 98,873 | |||
Sunshine Luxembourg VII Sarl, 2021 Term Loan B3 (3 month LIBOR + 3.750%) 4.500%, 10/01/2026 | 198,004 | 198,610 | |||
464,779 | |||||
Financials – 0.1% | |||||
Asurion LLC, 2018 Term Loan B6 (1 month LIBOR + 3.000%) 3.104%, 11/03/2023 | 124,076 | 123,378 | |||
Asurion LLC, 2020 Term Loan B8 (1 month LIBOR + 3.250%) 3.354%, 12/23/2026 | 99,500 | 98,319 | |||
Sedgwick Claims Management Services, Inc., 2019 Term Loan B (1 month LIBOR + 3.750%) 3.845%, 09/03/2026 | 132,300 | 132,006 | |||
353,703 | |||||
Health care – 0.5% | |||||
ADMI Corp., 2021 Term Loan B2 (1 month LIBOR + 2.750%) 3.250%, 12/23/2027 | 99,750 | 98,566 |
Shares or Principal Amount | Value | ||||
TERM LOANS (F) (continued) | |||||
Health care (continued) | |||||
Bausch Health Americas, Inc., 2018 Term Loan B (1 month LIBOR + 3.000%) 3.104%, 06/02/2025 | $ | 72,243 | $ | 71,909 | |
Change Healthcare Holdings LLC, 2017 Term Loan B (1 month LIBOR + 2.500%) 3.500%, 03/01/2024 | 102,743 | 102,609 | |||
Elanco Animal Health, Inc., Term Loan B (1 month LIBOR + 1.750%) 1.842%, 08/02/2027 | 391,680 | 385,479 | |||
Endo Luxembourg Finance Company I Sarl, 2021 Term Loan (3 month LIBOR + 5.000%) 5.750%, 03/10/2028 | 144,486 | 139,203 | |||
Jazz Financing Lux Sarl, USD Term Loan (1 month LIBOR + 3.500%) 4.000%, 04/21/2028 | 100,000 | 100,281 | |||
MPH Acquisition Holdings LLC, 2016 Term Loan B (3 month LIBOR + 2.750%) 3.750%, 06/07/2023 | 84,330 | 84,081 | |||
Pathway Vet Alliance LLC, 2021 Term Loan (1 month LIBOR + 3.750%) 3.854%, 03/31/2027 | 98,791 | 98,489 | |||
Zelis Payments Buyer, Inc., 2021 Term Loan (1 month LIBOR + 3.500%) 3.592%, 09/30/2026 | 124,375 | 123,940 | |||
1,204,557 | |||||
Industrials – 0.8% | |||||
Altra Industrial Motion Corp., 2018 Term Loan B (1 month LIBOR + 2.000%) 2.104%, 10/01/2025 | 120,189 | 119,400 | |||
American Builders & Contractors Supply Company, Inc., 2019 Term Loan (1 month LIBOR + 2.000%) 2.104%, 01/15/2027 | 396,970 | 393,893 | |||
AVSC Holding Corp., 2020 Term Loan B1 (3 month LIBOR + 3.250%) 4.250%, 03/03/2025 | 73,025 | 66,834 | |||
Brand Industrial Services, Inc., 2017 Term Loan (3 month LIBOR + 4.250%) 5.250%, 06/21/2024 | 192,000 | 188,730 | |||
Gardner Denver, Inc., 2020 USD Term Loan B2 (1 month LIBOR + 1.750%) 1.854%, 03/01/2027 | 122,765 | 121,264 | |||
Ingersoll-Rand Services Company, 2020 USD Spinco Term Loan (1 month LIBOR + 1.750%) 1.854%, 03/01/2027 | 396,985 | 392,134 | |||
Quikrete Holdings, Inc., 2021 Term Loan B1 05/12/2028 TBD (G) | 100,000 | 99,156 | |||
RBS Global, Inc., 2019 Term Loan B (1 month LIBOR + 1.750%) 1.854%, 08/21/2024 | 50,146 | 50,074 | |||
The Dun & Bradstreet Corp., Term Loan (1 month LIBOR + 3.250%) 3.345%, 02/06/2026 | 198,254 | 197,231 | |||
TK Elevator U.S. Newco, Inc., USD Term Loan B (6 month LIBOR + 4.250%) 4.478%, 07/30/2027 | 174,126 | 174,199 | |||
Trans Union LLC, 2019 Term Loan B5 (1 month LIBOR + 1.750%) 1.854%, 11/16/2026 | 354,877 | 352,265 |
The accompanying notes are an integral part of the financial statements. | 48 |
Shares or Principal Amount | Value | ||||
TERM LOANS (F) (continued) | |||||
Industrials (continued) | |||||
TransDigm, Inc., 2020 Term Loan E (1 month LIBOR + 2.250%) 2.354%, 05/30/2025 | $ | 96,465 | $ | 95,035 | |
2,250,215 | |||||
Information technology – 0.8% | |||||
Fleetcor Technologies Operating Company LLC, 2021 Term Loan B4 04/28/2028 TBD (G) | 260,000 | 259,459 | |||
Gainwell Acquisition Corp., Term Loan B (3 month LIBOR + 4.000%) 4.750%, 10/01/2027 | 99,749 | 99,974 | |||
Go Daddy Operating Company LLC, 2017 Repriced Term Loan (1 month LIBOR + 1.750%) 1.854%, 02/15/2024 | 390,920 | 387,648 | |||
Peraton Corp., Term Loan B (1 month LIBOR + 3.750%) 4.500%, 02/01/2028 | 99,750 | 99,957 | |||
Science Applications International Corp., 2018 Term Loan B (1 month LIBOR + 1.875%) 1.979%, 10/31/2025 | 392,985 | 391,759 | |||
Solera LLC, USD Term Loan B (6 month LIBOR + 4.000%) 4.500%, 06/02/2028 | 100,000 | 100,238 | |||
SS&C Technologies, Inc., 2018 Term Loan B3 (1 month LIBOR + 1.750%) 1.854%, 04/16/2025 | 118,091 | 116,615 | |||
SS&C Technologies, Inc., 2018 Term Loan B4 (1 month LIBOR + 1.750%) 1.854%, 04/16/2025 | 89,721 | 88,599 | |||
SS&C Technologies, Inc., 2018 Term Loan B5 (1 month LIBOR + 1.750%) 1.854%, 04/16/2025 | 99,198 | 98,005 | |||
UKG, Inc., Term Loan B (1 month LIBOR + 3.750%) 3.854%, 05/04/2026 | 98,250 | 98,260 | |||
WEX, Inc., 2021 Term Loan (1 month LIBOR + 2.250%) 2.354%, 03/31/2028 | 453,863 | 450,177 | |||
2,190,691 | |||||
Materials – 0.1% | |||||
Axalta Coating Systems US Holdings, Inc., USD Term Loan B3 (3 month LIBOR + 1.750%) 1.897%, 06/01/2024 | 198,239 | 196,859 | |||
Pactiv Evergreen Group Holdings, Inc., USD 2017 Term Loan (1 month LIBOR + 2.750%) 2.854%, 02/05/2023 | 43,598 | 43,489 | |||
ProAmpac PG Borrower LLC, 2020 Term Loan (3 month LIBOR + 4.000%) 4.084%, 11/03/2025 | 100,000 | 99,825 | |||
340,173 | |||||
TOTAL TERM LOANS (Cost $8,999,778) | $ | 8,979,792 | |||
COLLATERALIZED MORTGAGE OBLIGATIONS – 15.5% | |||||
Commercial and residential – 12.3% | |||||
Alternative Loan Trust | |||||
Series 2005-27, Class 2A1 (12 month Treasury Average Index + 1.350%), 1.477%, 08/25/2035 (H) | 139,579 | 125,794 | |||
Series 2005-56, Class 5A1 (1 month LIBOR + 0.640%), 0.412%, 11/25/2035 (H) | 66,337 | 59,142 |
Shares or Principal Amount | Value | ||||
COLLATERALIZED MORTGAGE OBLIGATIONS (continued) | |||||
Commercial and residential (continued) | |||||
Alternative Loan Trust (continued) | |||||
Series 2005-72, Class A1 (1 month LIBOR + 0.540%), 0.362%, 01/25/2036 (H) | $ | 19,823 | $ | 19,732 | |
Series 2005-7CB, Class 2A8 (1 month LIBOR + 0.450%), 0.542%, 03/01/2038 (H) | 116,538 | 97,640 | |||
Series 2006-9T1, Class A1, 5.750%, 05/25/2036 | 73,759 | 46,585 | |||
American Home Mortgage Assets Trust | |||||
Series 2006-3, Class 2A11 (12 month Treasury Average Index + 0.940%), 1.082%, 10/25/2046 (H) | 37,831 | 30,777 | |||
Series 2007-2, Class A1 (1 month LIBOR + 0.125%), 0.231%, 03/25/2047 (H) | 18,271 | 17,490 | |||
Angel Oak Mortgage Trust LLC | |||||
Series 2019-2, Class A1, 3.628%, 03/25/2049 (C)(I) | 61,375 | 62,095 | |||
Series 2019-3, Class A1, 2.930%, 05/25/2059 (C)(I) | 276,527 | 277,807 | |||
Series 2020-R1, Class A1, 0.990%, 04/25/2053 (C)(I) | 373,284 | 373,227 | |||
Series 2021-2, Class A1, 0.985%, 04/25/2066 (C)(I) | 304,680 | 304,368 | |||
Arroyo Mortgage Trust Series 2019-2, Class A1 3.347%, 04/25/2049 (C)(I) | 429,297 | 436,601 | |||
BANK | |||||
Series 2017-BNK8, Class XA IO, 0.732%, 11/15/2050 | 4,446,516 | 177,657 | |||
Series 2019-BN18, Class XA IO, 0.901%, 05/15/2062 | 1,418,925 | 85,426 | |||
Series 2019-BN20, Class XA IO, 0.836%, 09/15/2062 | 2,446,682 | 142,440 | |||
Series 2019-BN22, Class XA IO, 0.601%, 11/15/2062 | 2,445,505 | 106,469 | |||
Series 2019-BN23, Class XA IO, 0.698%, 12/15/2052 | 1,927,030 | 99,213 | |||
Series 2019-BN24, Class XA IO, 0.647%, 11/15/2062 | 1,188,675 | 57,160 | |||
Series 2020-BN28, Class XA IO, 1.785%, 03/15/2063 | 2,603,344 | 355,208 | |||
Series 2021-BN31, Class A4, 2.036%, 02/15/2054 | 285,000 | 285,122 | |||
BBCMS Mortgage Trust | |||||
Series 2017-C1, Class XA IO, 1.452%, 02/15/2050 | 3,278,075 | 210,881 | |||
Series 2017-DELC, Class A (1 month LIBOR + 0.850%), 0.951%, 08/15/2036 (C)(H) | 949,000 | 949,879 | |||
BBCMS Trust Series 2013-TYSN, Class A2 3.756%, 09/05/2032 (C) | 318,518 | 318,884 | |||
BCAP LLC Trust Series 2006-AA2, Class A1 (1 month LIBOR + 0.170%) 0.276%, 01/25/2037 (H) | 104,140 | 102,605 | |||
Bear Stearns ALT-A Trust Series 2005-10, Class 11A1 (1 month LIBOR + 0.500%) 0.606%, 01/25/2036 (H) | 107,423 | 134,665 |
The accompanying notes are an integral part of the financial statements. | 49 |
Shares or Principal Amount | Value | ||||
COLLATERALIZED MORTGAGE OBLIGATIONS (continued) | |||||
Commercial and residential (continued) | |||||
Bear Stearns Mortgage Funding Trust Series 2006-AR3, Class 1A1 (1 month LIBOR + 0.180%) 0.286%, 10/25/2036 (H) | $ | 9,334 | $ | 8,870 | |
Bellemeade Re, Ltd. | |||||
Series 2019-1A, Class M1A (1 month LIBOR + 1.300%), 1.406%, 03/25/2029 (C)(H) | 25,755 | 25,755 | |||
Series 2019-3A, Class M1A (1 month LIBOR + 1.100%), 1.206%, 07/25/2029 (C)(H) | 48,222 | 48,283 | |||
Series 2019-4A, Class M1A (1 month LIBOR + 1.400%), 1.506%, 10/25/2029 (C)(H) | 230,614 | 230,614 | |||
Benchmark Mortgage Trust | |||||
Series 2018-B1, Class XA IO, 0.512%, 01/15/2051 | 1,332,835 | 36,223 | |||
Series 2018-B4, Class XA IO, 0.514%, 07/15/2051 | 2,335,355 | 60,598 | |||
Series 2018-B8, Class XA IO, 0.663%, 01/15/2052 | 4,904,424 | 195,608 | |||
Series 2019-B10, Class XA IO, 1.228%, 03/15/2062 | 3,191,540 | 242,088 | |||
Series 2019-B12, Class XA IO, 1.064%, 08/15/2052 | 1,094,230 | 67,678 | |||
Series 2020-B18, Class XA IO, 1.793%, 07/15/2053 | 699,390 | 78,937 | |||
Series 2020-B22, Class XA IO, 1.522%, 01/15/2054 | 1,164,908 | 139,243 | |||
Bravo Residential Funding Trust Series 2021-NQM1, Class A1 0.941%, 02/25/2049 (C)(I) | 202,148 | 201,687 | |||
BX Commercial Mortgage Trust Series 2019-XL, Class A (1 month LIBOR + 0.920%) 1.021%, 10/15/2036 (C)(H) | 597,475 | 598,256 | |||
CAMB Commercial Mortgage Trust Series 2019-LIFE, Class F (1 month LIBOR + 2.550%) 2.651%, 12/15/2037 (C)(H) | 355,000 | 355,884 | |||
Century Plaza Towers Series 2019-CPT, Class A 2.865%, 11/13/2039 (C) | 345,000 | 367,489 | |||
Chase Mortgage Finance Trust Series 2005-S3, Class A10 5.500%, 11/25/2035 | 120,140 | 112,710 | |||
CHL Mortgage Pass-Through Trust | |||||
Series 2005-2, Class 2A3 (1 month LIBOR + 0.680%), 0.432%, 03/25/2035 (H) | 31,774 | 29,667 | |||
Series 2007-HY4, Class 1A1, 3.024%, 09/25/2047 (I) | 85,173 | 81,649 | |||
CIM Trust Series 2017-7, Class A 3.000%, 04/25/2057 (C)(I) | 269,528 | 273,935 | |||
Citigroup Commercial Mortgage Trust | |||||
Series 2014-GC23, Class XA IO, 0.937%, 07/10/2047 | 1,740,792 | 42,271 | |||
Series 2015-GC29, Class XA IO, 1.035%, 04/10/2048 | 1,650,724 | 55,809 | |||
Series 2016-C3, Class C, 4.122%, 11/15/2049 (I) | 288,000 | 300,566 |
Shares or Principal Amount | Value | ||||
COLLATERALIZED MORTGAGE OBLIGATIONS (continued) | |||||
Commercial and residential (continued) | |||||
COLT Mortgage Loan Trust Series 2019-4, Class A1 2.579%, 11/25/2049 (C)(I) | $ | 183,068 | $ | 183,759 | |
Commercial Mortgage Trust (Bank of America Merrill Lynch/Deutsche Bank AG) Series 2013-WWP, Class A2 3.424%, 03/10/2031 (C) | 800,000 | 835,507 | |||
Commercial Mortgage Trust (Cantor Fitzgerald/Deutsche Bank AG) | |||||
Series 2014-CR16, Class A4, 4.051%, 04/10/2047 | 480,000 | 518,251 | |||
Series 2014-CR17, Class A5, 3.977%, 05/10/2047 | 390,000 | 422,030 | |||
Commercial Mortgage Trust (Deutsche Bank AG) | |||||
Series 2013-300P, Class A1, 4.353%, 08/10/2030 (C) | 260,000 | 275,404 | |||
Series 2015-3BP, Class A, 3.178%, 02/10/2035 (C) | 580,000 | 618,772 | |||
Series 2019-WCM, Class A (1 month LIBOR + 0.900%), 1.001%, 10/15/2034 (C)(H) | 512,677 | 512,983 | |||
Credit Suisse Mortgage Capital Certificates | |||||
Series 2017-FHA1, Class A1, 3.250%, 04/25/2047 (C)(I) | 199,555 | 210,157 | |||
Series 2021-NQM2, Class A1, 1.179%, 02/25/2066 (C)(I) | 575,822 | 575,943 | |||
Series 2021-RPL4, Class A1, 1.796%, 12/27/2060 (C)(I) | 187,027 | 187,289 | |||
CSAIL Commercial Mortgage Trust | |||||
Series 2015-C1, Class A4, 3.505%, 04/15/2050 | 15,000 | 16,146 | |||
Series 2015-C2, Class XA IO, 0.747%, 06/15/2057 | 5,007,855 | 118,571 | |||
Series 2016-C6, Class XA IO, 1.914%, 01/15/2049 | 1,085,804 | 80,357 | |||
DBJPM Mortgage Trust Series 2020-C9, Class XA IO 1.713%, 09/15/2053 | 529,385 | 54,186 | |||
Deephaven Residential Mortgage Trust | |||||
Series 2019-3A, Class A1, 2.964%, 07/25/2059 (C)(I) | 282,373 | 283,210 | |||
Series 2021-2, Class A1, 0.899%, 04/25/2066 (C)(I) | 171,505 | 171,342 | |||
Deutsche Alt-A Securities Mortgage Loan Trust Series 2007-AR2, Class A1 (1 month LIBOR + 0.150%) 0.242%, 03/25/2037 (H) | 50,534 | 50,541 | |||
Ellington Financial Mortgage Trust Series 2021-2, Class A1 0.931%, 06/25/2066 (C)(I) | 150,479 | 150,124 | |||
GCAT Trust | |||||
Series 2021-NQM2, Class A1, 1.036%, 05/25/2066 (C)(I) | 336,337 | 335,645 | |||
Series 2021-NQM3, Class A1, 1.091%, 05/25/2066 (C)(I) | 460,000 | 460,365 | |||
GMACM Mortgage Loan Trust Series 2006-AR1, Class 1A1 3.051%, 04/19/2036 (I) | 113,976 | 99,590 |
The accompanying notes are an integral part of the financial statements. | 50 |
Shares or Principal Amount | Value | ||||
COLLATERALIZED MORTGAGE OBLIGATIONS (continued) | |||||
Commercial and residential (continued) | |||||
GS Mortgage Securities Trust | |||||
Series 2012-ALOH, Class A, 3.551%, 04/10/2034 (C) | $ | 670,000 | $ | 677,363 | |
Series 2014-GC20, Class A5, 3.998%, 04/10/2047 | 395,000 | 424,427 | |||
GSR Mortgage Loan Trust | |||||
Series 2006-AR1, Class 2A1, 2.953%, 01/25/2036 (I) | 4,485 | 4,580 | |||
Series 2007-1F, Class 4A1 (1 month LIBOR + 0.300%), 0.406%, 01/25/2037 (H) | 85,007 | 21,786 | |||
HarborView Mortgage Loan Trust | |||||
Series 2005-8, Class 1A2A (1 month LIBOR + 0.660%), 0.775%, 09/19/2035 (H) | 27,482 | 23,070 | |||
Series 2006-12, Class 2A13 (1 month LIBOR + 0.240%), 0.338%, 12/19/2036 (H) | 164,091 | 160,971 | |||
Series 2006-12, Class 2A2A (1 month LIBOR + 0.190%), 0.288%, 01/19/2038 (H) | 60,908 | 58,398 | |||
Series 2007-7, Class 2A1B (1 month LIBOR + 1.000%), 1.106%, 10/25/2037 (H) | 64,361 | 62,015 | |||
Home Re, Ltd. Series 2018-1, Class M1 (1 month LIBOR + 1.600%) 1.706%, 10/25/2028 (C)(H) | 108,016 | 108,053 | |||
IndyMac INDA Mortgage Loan Trust Series 2006-AR3, Class 1A1 3.002%, 12/25/2036 (I) | 47,354 | 45,237 | |||
JPMBB Commercial Mortgage Securities Trust Series 2014-C19, Class A4 3.997%, 04/15/2047 | 395,000 | 424,379 | |||
JPMorgan Chase Commercial Mortgage Securities Trust Series 2020-NNN, Class AFX 2.812%, 01/16/2037 (C) | 160,000 | 164,912 | |||
JPMorgan Mortgage Trust Series 2006-A3, Class 3A2 3.148%, 05/25/2036 (I) | 9,314 | 8,405 | |||
Legacy Mortgage Asset Trust | |||||
Series 2019-GS6, Class A1, 3.000%, 06/25/2059 (C) | 377,459 | 378,559 | |||
Series 2019-GS7, Class A1, 3.250%, 11/25/2059 (C) | 480,333 | 483,122 | |||
Series 2021-GS2, Class A1, 1.750%, 04/25/2061 (C) | 191,694 | 191,890 | |||
Series 2021-GS3, Class A1, 1.750%, 07/25/2061 (C) | 237,487 | 236,893 | |||
Lehman XS Trust Series 2006-16N, Class A4A (1 month LIBOR + 0.190%) 0.282%, 11/25/2046 (H) | 131,190 | 123,707 | |||
LSTAR Securities Investment Trust | |||||
Series 2019-3, Class A1 (1 month LIBOR + 2.500%), 2.610%, 04/01/2024 (C)(H) | 180,169 | 179,269 | |||
Series 2019-4, Class A1 (1 month LIBOR + 2.500%), 2.610%, 05/01/2024 (C)(H) | 410,863 | 408,984 |
Shares or Principal Amount | Value | ||||
COLLATERALIZED MORTGAGE OBLIGATIONS (continued) | |||||
Commercial and residential (continued) | |||||
LSTAR Securities Investment Trust (continued) | |||||
Series 2021-1, Class A (1 month LIBOR + 1.800%), 1.910%, 02/01/2026 (C)(H) | $ | 411,152 | $ | 412,109 | |
Luminent Mortgage Trust Series 2006-4, Class A1A (1 month LIBOR + 0.380%) 0.486%, 05/25/2046 (H) | 123,336 | 112,642 | |||
MASTR Adjustable Rate Mortgages Trust Series 2004-13, Class 3A7 2.969%, 11/21/2034 (I) | 18,763 | 18,946 | |||
MFA Trust | |||||
Series 2020-NQM3, Class A1, 1.014%, 01/26/2065 (C)(I) | 80,131 | 80,190 | |||
Series 2021-NQM1, Class A1, 1.153%, 04/25/2065 (C)(I) | 336,671 | 336,136 | |||
Morgan Stanley Bank of America Merrill Lynch Trust Series 2014-C19, Class XA IO 0.999%, 12/15/2047 | 1,016,443 | 28,352 | |||
Morgan Stanley Capital I Trust | |||||
Series 2014-150E, Class A, 3.912%, 09/09/2032 (C) | 610,000 | 655,151 | |||
Series 2017-H1, Class XA IO, 1.351%, 06/15/2050 | 707,493 | 40,666 | |||
Mortgage Insurance-Linked Notes Series 2019-1, Class M1 (1 month LIBOR + 1.900%) 1.992%, 11/26/2029 (C)(H) | 171,795 | 171,795 | |||
MTRO Commercial Mortgage Trust Series 2019-TECH, Class D (1 month LIBOR + 1.800%) 1.901%, 12/15/2033 (C)(H) | 300,000 | 298,982 | |||
Natixis Commercial Mortgage Securities Trust Series 2019-1776, Class C 2.906%, 10/15/2036 (C) | 185,000 | 185,538 | |||
New Residential Mortgage Loan Trust | |||||
Series 2016-2A, Class A1, 3.750%, 11/26/2035 (C)(I) | 264,206 | 279,766 | |||
Series 2016-4A, Class A1, 3.750%, 11/25/2056 (C)(I) | 285,052 | 302,677 | |||
Series 2017-1A, Class A1, 4.000%, 02/25/2057 (C)(I) | 504,538 | 536,608 | |||
Series 2017-2A, Class A3, 4.000%, 03/25/2057 (C)(I) | 466,175 | 497,669 | |||
Series 2017-3A, Class A1, 4.000%, 04/25/2057 (C)(I) | 373,077 | 399,292 | |||
Series 2017-4A, Class A1, 4.000%, 05/25/2057 (C)(I) | 274,747 | 292,458 | |||
Series 2017-5A, Class A1 (1 month LIBOR + 1.500%), 1.606%, 06/25/2057 (C)(H) | 272,311 | 275,802 | |||
Series 2017-6A, Class A1, 4.000%, 08/27/2057 (C)(I) | 438,080 | 468,611 | |||
Series 2018-1A, Class A1A, 4.000%, 12/25/2057 (C)(I) | 186,465 | 199,697 | |||
Series 2018-4A, Class A1S (1 month LIBOR + 0.750%), 0.842%, 01/25/2048 (C)(H) | 368,420 | 369,104 |
The accompanying notes are an integral part of the financial statements. | 51 |
Shares or Principal Amount | Value | ||||
COLLATERALIZED MORTGAGE OBLIGATIONS (continued) | |||||
Commercial and residential (continued) | |||||
New Residential Mortgage Loan Trust (continued) | |||||
Series 2019-5A, Class A1B, 3.500%, 08/25/2059 (C)(I) | $ | 293,346 | $ | 305,718 | |
Series 2019-NQM4, Class A1, 2.492%, 09/25/2059 (C)(I) | 127,047 | 128,300 | |||
Series 2021-NQ2R, Class A1, 0.941%, 09/25/2058 (C)(I) | 258,066 | 258,052 | |||
NMLT Trust Series 2021-INV1, Class A1 1.185%, 05/25/2056 (C)(I) | 560,669 | 559,091 | |||
Oaktown Re II, Ltd. Series 2018-1A, Class M1 (1 month LIBOR + 1.550%) 1.656%, 07/25/2028 (C)(H) | 93,982 | 94,004 | |||
Oaktown Re III, Ltd. Series 2019-1A, Class M1A (1 month LIBOR + 1.400%) 1.506%, 07/25/2029 (C)(H) | 32,514 | 32,523 | |||
OBX Trust Series 2021-NQM1, Class A1 1.072%, 02/25/2066 (C)(I) | 570,827 | 569,403 | |||
PMT Credit Risk Transfer Trust Series 2019-1R, Class A (1 month LIBOR + 2.000%) 2.111%, 03/27/2024 (C)(H) | 172,594 | 172,247 | |||
PRPM LLC | |||||
Series 2019-GS1, Class A1, 3.500%, 10/25/2024 (C)(I) | 162,888 | 163,754 | |||
Series 2020-3, Class A1, 2.857%, 09/25/2025 (C) | 397,746 | 399,858 | |||
Series 2020-6, Class A1, 2.363%, 11/25/2025 (C) | 111,239 | 111,505 | |||
Series 2021-3, Class A1, 1.867%, 04/25/2026 (C) | 281,317 | 282,698 | |||
Series 2021-4, Class A1, 1.867%, 04/25/2026 (C) | 370,831 | 370,283 | |||
Radnor RE, Ltd. Series 2019-2, Class M1A (1 month LIBOR + 1.200%) 1.306%, 06/25/2029 (C)(H) | 42,940 | 42,940 | |||
RALI Series Trust Series 2007-QH7, Class 1A1 (1 month LIBOR + 0.250%) 0.342%, 08/25/2037 (H) | 53,636 | 50,678 | |||
RCO VII Mortgage LLC Series 2021-1, Class A1 1.868%, 05/25/2026 (C) | 298,684 | 298,230 | |||
Seasoned Credit Risk Transfer Trust Series 2019-3, Class MV 3.500%, 10/25/2058 | 125,647 | 138,129 | |||
SG Commercial Mortgage Securities Trust Series 2020-COVE, Class A 2.632%, 03/15/2037 (C) | 645,000 | 669,227 | |||
SG Residential Mortgage Trust Series 2021-1, Class A1 1.160%, 07/25/2061 (C)(I) | 543,000 | 543,851 | |||
STAR Trust Series 2021-1, Class A1 1.219%, 05/25/2065 (C)(I) | 533,295 | 534,691 |
Shares or Principal Amount | Value | ||||
COLLATERALIZED MORTGAGE OBLIGATIONS (continued) | |||||
Commercial and residential (continued) | |||||
Starwood Mortgage Residential Trust Series 2021-2, Class A1 0.943%, 05/25/2065 (C)(I) | $ | 203,991 | $ | 203,912 | |
Toorak Mortgage Corp., Ltd. Series 2021-1, Class A1 2.240%, 06/25/2024 (C) | 330,000 | 330,173 | |||
Triangle Re, Ltd. Series 2021-2, Class M1A (1 month LIBOR + 2.050%) 2.160%, 10/25/2033 (C)(H) | 265,000 | 266,080 | |||
VCAT LLC | |||||
Series 2021-NPL2, Class A1, 2.115%, 03/27/2051 (C) | 122,897 | 122,934 | |||
Series 2021-NPL3, Class A1, 1.743%, 05/25/2051 (C) | 370,978 | 371,062 | |||
Verus Securitization Trust | |||||
Series 2021-2, Class A1, 1.031%, 02/25/2066 (C)(I) | 239,504 | 239,590 | |||
Series 2021-R2, Class A1, 0.918%, 02/25/2064 (C)(I) | 314,200 | 314,556 | |||
VOLT XCIV LLC Series 2021-NPL3, Class A1 2.240%, 02/27/2051 (C) | 335,917 | 336,247 | |||
VOLT XCVIII LLC Series 2021-NPL7, Class A1 2.116%, 04/25/2051 (C) | 123,601 | 123,648 | |||
WaMu Mortgage Pass-Through Certificates Series 2007-HY6, Class 1A1 2.880%, 06/25/2037 (I) | 15,158 | 14,750 | |||
Washington Mutual Mortgage Pass-Through Certificates Series 2006-5, Class 1A1 (1 month LIBOR + 0.600%) 0.692%, 07/25/2036 (H) | 24,703 | 16,261 | |||
Wells Fargo Commercial Mortgage Trust | |||||
Series 2014-LC16, Class A5, 3.817%, 08/15/2050 | 310,000 | 333,725 | |||
Series 2015-NXS1, Class D, 4.146%, 05/15/2048 (I) | 40,000 | 40,950 | |||
Series 2015-NXS1, Class XA IO, 1.094%, 05/15/2048 | 1,574,813 | 50,933 | |||
Series 2015-NXS3, Class XA IO, 0.899%, 09/15/2057 | 2,728,198 | 88,600 | |||
WF-RBS Commercial Mortgage Trust Series 2014-C19, Class A5 4.101%, 03/15/2047 | 304,634 | 329,015 | |||
33,646,688 | |||||
U.S. Government Agency – 3.2% | |||||
Federal Home Loan Mortgage Corp. | |||||
Series 2018-HRP1, Class M2 (1 month LIBOR + 1.650%), 1.742%, 04/25/2043 (C)(H) | 86,357 | 86,471 | |||
Series 2019-DNA2, Class M2 (1 month LIBOR + 2.450%), 2.542%, 03/25/2049 (C)(H) | 292,612 | 297,163 | |||
Series 2019-DNA3, Class M2 (1 month LIBOR + 2.050%), 2.142%, 07/25/2049 (C)(H) | 247,241 | 249,414 | |||
Series 2019-HQA1, Class M2 (1 month LIBOR + 2.350%), 2.456%, 02/25/2049 (C)(H) | 448,830 | 453,458 |
The accompanying notes are an integral part of the financial statements. | 52 |
Shares or Principal Amount | Value | ||||
COLLATERALIZED MORTGAGE OBLIGATIONS (continued) | |||||
U.S. Government Agency (continued) | |||||
Federal Home Loan Mortgage Corp. (continued) | |||||
Series 2019-HQA3, Class M2 (1 month LIBOR + 1.850%), 1.942%, 09/25/2049 (C)(H) | $ | 180,853 | $ | 181,558 | |
Series 3883, Class PB, 3.000%, 05/15/2041 | 85,364 | 90,950 | |||
Series 4139, Class PA, 2.500%, 11/15/2041 | 308,171 | 322,026 | |||
Series K064, Class X1 IO, 0.604%, 03/25/2027 | 2,282,434 | 71,625 | |||
Series K068, Class A2, 3.244%, 08/25/2027 | 545,000 | 606,664 | |||
Series K104, Class X1 IO, 1.127%, 02/25/2052 | 1,322,485 | 111,209 | |||
Series K111, Class X1 IO, 1.681%, 05/25/2030 | 551,456 | 67,093 | |||
Series K114, Class X1 IO, 1.213%, 06/25/2030 | 1,603,057 | 142,365 | |||
Series K121, Class X1 IO, 1.028%, 11/25/2053 | 855,201 | 69,750 | |||
Series K122, Class X1 IO, 0.883%, 11/25/2030 | 479,647 | 34,300 | |||
Series K124, Class X1 IO, 0.812%, 12/25/2030 | 1,911,179 | 115,425 | |||
Federal National Mortgage Association | |||||
Series 2012-18, Class GA, 2.000%, 12/25/2041 | 113,298 | 116,835 | |||
Series 2012-21, Class PQ, 2.000%, 09/25/2041 | 64,045 | 65,906 | |||
Series 2012-52, Class PA, 3.500%, 05/25/2042 | 82,553 | 88,783 | |||
Series 2012-75, Class KC, 2.500%, 12/25/2041 | 106,371 | 109,706 | |||
Series 2014-C04, Class 1M2 (1 month LIBOR + 4.900%), 5.006%, 11/25/2024 (H) | 69,884 | 72,255 | |||
Series 2015-48, Class QB, 3.000%, 02/25/2043 | 167,582 | 174,395 | |||
Series 2015-C04, Class 1M2 (1 month LIBOR + 5.700%), 5.806%, 04/25/2028 (H) | 46,269 | 49,016 | |||
Series 2016-11, Class GA, 2.500%, 03/25/2046 | 129,492 | 135,535 | |||
Series 2016-38, Class NA , 3.000%, 01/25/2046 | 62,544 | 67,241 | |||
Series 2016-C02, Class 1M2 (1 month LIBOR + 6.000%), 6.106%, 09/25/2028 (H) | 31,274 | 33,005 | |||
Series 2016-C07, Class 2M2 (1 month LIBOR + 4.350%), 4.456%, 05/25/2029 (H) | 264,737 | 277,502 | |||
Series 2017-26, Class CG, 3.500%, 07/25/2044 | 154,788 | 161,388 | |||
Series 2017-34, Class JK, 3.000%, 05/25/2047 | 80,201 | 82,813 | |||
Series 2017-35, Class AH, 3.500%, 04/25/2053 | 183,544 | 188,947 | |||
Series 2017-49, Class JA, 4.000%, 07/25/2053 | 152,899 | 159,284 | |||
Series 2017-84, Class KA, 3.500%, 04/25/2053 | 139,585 | 143,743 | |||
Series 2017-96, Class PA, 3.000%, 12/25/2054 | 231,689 | 242,887 |
Shares or Principal Amount | Value | ||||
COLLATERALIZED MORTGAGE OBLIGATIONS (continued) | |||||
U.S. Government Agency (continued) | |||||
Federal National Mortgage Association (continued) | |||||
Series 2017-C01, Class 1M2 (1 month LIBOR + 3.550%), 3.656%, 07/25/2029 (H) | $ | 164,382 | $ | 170,656 | |
Series 2018-19, Class DC, 3.500%, 05/25/2056 | 115,825 | 121,451 | |||
Series 2018-23, Class LA, 3.500%, 04/25/2048 | 180,581 | 196,649 | |||
Series 2018-38, Class PC, 3.500%, 03/25/2045 | 71,759 | 73,035 | |||
Series 2018-70, Class HA, 3.500%, 10/25/2056 | 172,029 | 182,125 | |||
Series 2018-72, Class BA, 3.500%, 07/25/2054 | 253,129 | 264,878 | |||
Series 2018-77, Class PA, 3.500%, 02/25/2048 | 61,732 | 64,709 | |||
Series 2018-80, Class GD, 3.500%, 12/25/2047 | 131,039 | 136,933 | |||
Series 2019-12, Class HA, 3.500%, 11/25/2057 | 219,579 | 235,815 | |||
Series 2019-14, Class CA, 3.500%, 04/25/2049 | 225,591 | 245,560 | |||
Series 2019-15, Class AB, 3.500%, 05/25/2053 | 233,288 | 246,189 | |||
Series 2019-41, Class AC, 2.500%, 03/25/2053 | 238,513 | 246,013 | |||
Series 2019-45, Class PT, 3.000%, 08/25/2049 | 254,922 | 267,498 | |||
Series 2019-7, Class CA, 3.500%, 11/25/2057 | 187,095 | 199,491 | |||
Series 2019-7, Class JA, 3.500%, 03/25/2049 | 197,258 | 211,818 | |||
Series 2019-HRP1, Class M2 (1 month LIBOR + 2.150%), 2.256%, 11/25/2039 (C)(H) | 139,244 | 138,701 | |||
Series 2019-R03, Class 1M2 (1 month LIBOR + 2.150%), 2.256%, 09/25/2031 (C)(H) | 83,956 | 84,554 | |||
Series 2019-R04, Class 2M2 (1 month LIBOR + 2.100%), 2.206%, 06/25/2039 (C)(H) | 104,850 | 105,271 | |||
Series 415, Class A3, 3.000%, 11/25/2042 | 180,936 | 189,279 | |||
Government National Mortgage Association | |||||
Series 2006-38, Class XS IO, 7.149%, 09/16/2035 | 34,674 | 3,892 | |||
Series 2013-37, Class LG, 2.000%, 01/20/2042 | 147,361 | 150,763 | |||
8,603,992 | |||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $41,666,492) | $ | 42,250,680 | |||
ASSET BACKED SECURITIES – 8.7% | |||||
AASET Trust Series 2020-1A, Class A 3.351%, 01/16/2040 (C) | 230,858 | 228,064 | |||
ABFC Trust Series 2006-HE1, Class A2D (1 month LIBOR + 0.220%) 0.312%, 01/25/2037 (H) | 113,511 | 80,492 |
The accompanying notes are an integral part of the financial statements. | 53 |
Shares or Principal Amount | Value | ||||
ASSET BACKED SECURITIES (continued) | |||||
Affirm Asset Securitization Trust | |||||
Series 2020-Z1, Class A 3.460%, 10/15/2024 (C) | $ | 115,206 | $ | 116,695 | |
Series 2020-Z2, Class A 1.900%, 01/15/2025 (C) | 253,979 | 255,948 | |||
AmeriCredit Automobile Receivables Trust Series 2019-3, Class D 2.580%, 09/18/2025 | 295,000 | 306,519 | |||
Atrium XII Series 12A, Class AR (3 month LIBOR + 0.830%) 1.014%, 04/22/2027 (C)(H) | 692,826 | 692,407 | |||
Avant Loans Funding Trust Series 2021-REV1, Class A 1.210%, 07/15/2030 (C) | 225,000 | 224,607 | |||
Bain Capital Credit CLO Series 2017-2A, Class AR2 (3 month LIBOR + 1.180%) 1.289%, 07/25/2034 (C)(H) | 650,000 | 650,204 | |||
Bayview Koitere Fund Trust | |||||
Series 2017-RT4, Class A 3.500%, 07/28/2057 (C)(I) | 388,350 | 398,367 | |||
Series 2017-SPL3, Class A 4.000%, 11/28/2053 (C)(I) | 144,135 | 147,307 | |||
Bayview Mortgage Fund IVc Trust Series 2017-RT3, Class A 3.500%, 01/28/2058 (C)(I) | 252,271 | 254,894 | |||
Bayview Opportunity Master Fund IVa Trust | |||||
Series 2017-SPL1, Class A 4.000%, 10/28/2064 (C)(I) | 329,964 | 336,917 | |||
Series 2017-SPL5, Class A 3.500%, 06/28/2057 (C)(I) | 190,924 | 195,256 | |||
Bayview Opportunity Master Fund IVb Trust Series 2017-SPL4, Class A 3.500%, 01/28/2055 (C)(I) | 160,274 | 164,342 | |||
BlueMountain CLO XXIV, Ltd. Series 2019-24A, Class AR (3 month LIBOR + 1.100%) 1.274%, 04/20/2034 (C)(H) | 415,000 | 415,149 | |||
BlueMountain CLO XXXI, Ltd. Series 2021-31A, Class A1 (3 month LIBOR + 1.150%) 1.330%, 04/19/2034 (C)(H) | 810,000 | 809,997 | |||
CF Hippolyta LLC Series 2020-1, Class A2 1.990%, 07/15/2060 (C) | 137,116 | 139,182 | |||
CIFC Funding, Ltd. Series 2017-2A, Class AR (3 month LIBOR + 0.950%) 1.118%, 04/20/2030 (C)(H) | 900,000 | 900,024 | |||
Citigroup Mortgage Loan Trust Series 2019-E, Class A1 3.228%, 11/25/2070 (C) | 234,334 | 235,014 | |||
Credit Acceptance Auto Loan Trust Series 2021-3A, Class A 1.000%, 05/15/2030 (C) | 250,000 | 250,498 | |||
Domino's Pizza Master Issuer LLC | |||||
Series 2018-1A, Class A2I 4.116%, 07/25/2048 (C) | 360,750 | 376,205 | |||
Series 2019-1A, Class A2 3.668%, 10/25/2049 (C) | 172,813 | 186,921 | |||
Series 2021-1A, Class A2I 2.662%, 04/25/2051 (C) | 270,000 | 279,366 |
Shares or Principal Amount | Value | ||||
ASSET BACKED SECURITIES (continued) | |||||
Drive Auto Receivables Trust Series 2019-4, Class D 2.700%, 02/16/2027 | $ | 255,000 | $ | 262,308 | |
Exeter Automobile Receivables Trust | |||||
Series 2019-4A, Class D 2.580%, 09/15/2025 (C) | 570,000 | 585,333 | |||
Series 2020-1A, Class D 2.730%, 12/15/2025 (C) | 170,000 | 174,691 | |||
First Franklin Mortgage Loan Trust Series 2006-FF12, Class A5 (1 month LIBOR + 0.310%) 0.402%, 09/25/2036 (H) | 240,000 | 227,808 | |||
GSAA Home Equity Trust | |||||
Series 2006-10, Class AF3 5.985%, 06/25/2036 (I) | 150,620 | 62,753 | |||
Series 2006-15, Class AF6 6.376%, 09/25/2036 | 375,860 | 147,703 | |||
Series 2006-20, Class 2A1A (1 month LIBOR + 0.100%) 0.142%, 12/25/2046 (H) | 242,220 | 150,659 | |||
GSAA Trust Series 2005-7, Class AF4 5.558%, 05/25/2035 | 228,492 | 225,820 | |||
GSAMP Trust Series 2007-FM2, Class A2B (1 month LIBOR + 0.090%) 0.196%, 01/25/2037 (H) | 214,897 | 155,105 | |||
LCM XX LP Series 2020-A, Class AR (3 month LIBOR + 1.040%) 1.228%, 10/20/2027 (C)(H) | 338,353 | 338,397 | |||
Madison Park Funding XII, Ltd. Series 2014-12A, Class B1R (3 month LIBOR + 1.650%) 1.838%, 07/20/2026 (C)(H) | 132,971 | 133,003 | |||
Madison Park Funding XXXVIII, Ltd. Series 2021-38A, Class A (3 month LIBOR + 1.120%) 1.276%, 07/17/2034 (C)(H) | 655,000 | 655,265 | |||
Mercury Financial Credit Card Master Trust Series 2021-1A, Class A 1.540%, 03/20/2026 (C) | 250,000 | 250,755 | |||
MFA LLC Series 2021-NPL1, Class A1 2.363%, 03/25/2060 (C) | 608,191 | 608,269 | |||
NRZ Excess Spread-Collateralized Notes | |||||
Series 2018-FNT2, Class A 3.790%, 07/25/2054 (C) | 332,317 | 332,428 | |||
Series 2020-PLS1, Class A 3.844%, 12/25/2025 (C) | 83,671 | 84,459 | |||
OCP CLO, Ltd. Series 2015-9A, Class A1R (3 month LIBOR + 0.800%) 0.984%, 07/15/2027 (C)(H) | 118,868 | 118,872 | |||
OZLM XII, Ltd. Series 2015-12A, Class A1R (3 month LIBOR + 1.050%) 1.236%, 04/30/2027 (C)(H) | 445,229 | 445,268 | |||
Palmer Square Loan Funding, Ltd. Series 2018-5A, Class A1 (3 month LIBOR + 0.850%) 1.038%, 01/20/2027 (C)(H) | 223,828 | 223,969 | |||
Regatta VI Funding, Ltd. Series 2016-1A, Class AR2 (3 month LIBOR + 1.160%) 1.324%, 04/20/2034 (C)(H) | 595,000 | 595,214 |
The accompanying notes are an integral part of the financial statements. | 54 |
Shares or Principal Amount | Value | ||||
ASSET BACKED SECURITIES (continued) | |||||
RR 1 LLC Series 2017-1A, Class A1AB (3 month LIBOR + 1.150%) 1.230%, 07/15/2035 (C)(H) | $ | 675,000 | $ | 675,440 | |
RR 16, Ltd. Series 2021-16A, Class A1 (3 month LIBOR + 1.110%) 1.191%, 07/15/2036 (C)(H) | 585,000 | 585,248 | |||
Santander Drive Auto Receivables Trust Series 2020-4, Class D 1.480%, 01/15/2027 | 75,000 | 75,927 | |||
Securitized Asset Backed Receivables LLC Trust Series 2006-HE1, Class A2B (1 month LIBOR + 0.180%) 0.286%, 07/25/2036 (H) | 132,152 | 61,492 | |||
Shackleton VIII CLO, Ltd. Series 2015-8A, Class A1R (3 month LIBOR + 0.920%) 1.108%, 10/20/2027 (C)(H) | 1,004,529 | 1,004,561 | |||
Sound Point CLO XXIX, Ltd. Series 2021-1A, Class A (3 month LIBOR + 1.070%) 1.210%, 04/25/2034 (C)(H) | 655,000 | 655,234 | |||
Soundview Home Loan Trust Series 2007-OPT2, Class 2A3 (1 month LIBOR + 0.180%) 0.272%, 07/25/2037 (H) | 30,852 | 29,637 | |||
Springleaf Funding Trust Series 2017-AA, Class A 2.680%, 07/15/2030 (C) | 252,446 | 252,991 | |||
Summit Issuer LLC Series 2020-1A, Class A2 2.290%, 12/20/2050 (C) | 155,000 | 154,546 | |||
TICP CLO III-2, Ltd. Series 2018-3R, Class A (3 month LIBOR + 0.840%) 1.028%, 04/20/2028 (C)(H) | 287,231 | 287,242 | |||
Towd Point Mortgage Trust | |||||
Series 2016-2, Class A1A 2.750%, 08/25/2055 (C)(I) | 88,894 | 89,675 | |||
Series 2016-3, Class A1 2.250%, 04/25/2056 (C)(I) | 79,851 | 80,142 | |||
Series 2017-1, Class A1 2.750%, 10/25/2056 (C)(I) | 374,310 | 380,038 | |||
Series 2017-2, Class A1 2.750%, 04/25/2057 (C)(I) | 94,071 | 95,382 | |||
Series 2017-3, Class A1 2.750%, 07/25/2057 (C)(I) | 187,409 | 191,030 | |||
Series 2017-4, Class A1 2.750%, 06/25/2057 (C)(I) | 325,205 | 334,371 | |||
Series 2017-5, Class A1 (1 month LIBOR + 0.600%) 0.692%, 02/25/2057 (C)(H) | 207,983 | 207,994 | |||
Series 2021-R1, Class A1 2.918%, 11/30/2060 (C)(I) | 651,020 | 664,348 | |||
Venture 42 CLO, Ltd. Series 2021-42A, Class A1A (3 month LIBOR + 1.130%) 1.327%, 04/15/2034 (C)(H) | 655,000 | 655,111 | |||
Venture 43 CLO, Ltd. Series 2021-43A, Class A1 (3 month LIBOR + 1.240%) 1.434%, 04/15/2034 (C)(H) | 260,000 | 260,279 |
Shares or Principal Amount | Value | ||||
ASSET BACKED SECURITIES (continued) | |||||
Venture XXI CLO, Ltd. Series 2015-21A, Class AR (3 month LIBOR + 0.880%) 1.064%, 07/15/2027 (C)(H) | $ | 423,588 | $ | 423,598 | |
Verus Securitization Trust Series 2020-NPL1, Class A1 3.598%, 08/25/2050 (C) | 225,330 | 226,158 | |||
Voya CLO, Ltd. Series 2015-1A, Class A1R (3 month LIBOR + 0.900%) 1.090%, 01/18/2029 (C)(H) | 745,759 | 745,762 | |||
Wellfleet CLO X, Ltd. Series 2019-XA, Class A1R (3 month LIBOR + 1.170%) 1.356%, 07/20/2032 (C)(H) | 520,000 | 520,137 | |||
Wendy's Funding LLC | |||||
Series 2018-1A, Class A2II 3.884%, 03/15/2048 (C) | 226,775 | 241,164 | |||
Series 2021-1A, Class A2I 2.370%, 06/15/2051 (C) | 585,000 | 590,084 | |||
Westlake Automobile Receivables Trust | |||||
Series 2019-3A, Class D 2.720%, 11/15/2024 (C) | 420,000 | 431,969 | |||
Series 2020-3A, Class D 1.650%, 02/17/2026 (C) | 215,000 | 217,698 | |||
Wingstop Funding LLC Series 2020-1A, Class A2 2.841%, 12/05/2050 (C) | 99,750 | 103,452 | |||
TOTAL ASSET BACKED SECURITIES (Cost $23,647,755) | $ | 23,663,164 | |||
COMMON STOCKS – 0.0% | |||||
Energy – 0.0% | |||||
Foresight Energy LLC (J) | 895 | 8,039 | |||
TOTAL COMMON STOCKS (Cost $119,522) | $ | 8,039 | |||
PURCHASED OPTIONS – 0.1% | |||||
Puts – 0.1% | |||||
Over the Counter Option on 10 Year Interest Rate Swap. Receive a floating rate based on 3-month USD LIBOR and pay a fixed rate of 2.200% (Expiration Date: 3-14-22; Strike Rate: 2.200%; Counterparty: Bank of America Corp.) (J)(K) | 8,705,000 | 46,736 | |||
Over the Counter Option on 10 Year Interest Rate Swap. Receive a floating rate based on 3-month USD LIBOR and pay a fixed rate of 2.200% (Expiration Date: 3-14-22; Strike Rate: 2.200%; Counterparty: Citibank N.A.) (J)(K) | 8,370,000 | 44,939 | |||
91,675 | |||||
TOTAL PURCHASED OPTIONS (Cost $297,615) | $ | 91,675 | |||
SHORT-TERM INVESTMENTS – 2.3% | |||||
Short-term funds – 0.2% | |||||
John Hancock Collateral Trust, 0.0324% (L)(M) | 61,096 | 611,242 |
The accompanying notes are an integral part of the financial statements. | 55 |
Shares or Principal Amount | Value | ||||
SHORT-TERM INVESTMENTS (continued) | |||||
Repurchase agreement – 2.1% | |||||
Deutsche Bank Tri-Party Repurchase Agreement dated 6-30-21 at 0.050% to be repurchased at $5,700,008 on 7-1-21, collateralized by $5,527,463 Federal National Mortgage Association, 2.500% due 11-1-50 (valued at $5,814,000) | $ | 5,700,000 | $ | 5,700,000 | |
TOTAL SHORT-TERM INVESTMENTS (Cost $6,311,256) | $ | 6,311,242 | |||
Total Investments (Investment Quality Bond Trust) (Cost $363,701,767) – 136.3% | $ | 371,325,675 | |||
Other assets and liabilities, net – (36.3%) | (98,835,107) | ||||
TOTAL NET ASSETS – 100.0% | $ | 272,490,568 |
Currency Abbreviations | |
AUD | Australian Dollar |
BRL | Brazilian Real |
EUR | Euro |
MXN | Mexican Peso |
Security Abbreviations and Legend | |
EURIBOR | Euro Interbank Offered Rate |
GO | General Obligation |
IO | Interest-Only Security - (Interest Tranche of Stripped Mortgage Pool). Rate shown is the annualized yield at the end of the period. |
LIBOR | London Interbank Offered Rate |
SOFR | Secured Overnight Financing 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. |
(A) | All or a portion of this security is segregated at the custodian as collateral for certain derivatives. |
(B) | Security purchased or sold on a when-issued or delayed delivery basis. |
(C) | 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 $78,245,277 or 28.7% of the fund's net assets as of 6-30-21. |
(D) | All or a portion of this security is on loan as of 6-30-21. |
(E) | Perpetual bonds have no stated maturity date. Date shown as maturity date is next call date. |
(F) | Term loans are variable rate obligations. The coupon rate shown represents the rate at period end. |
(G) | This position represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate, which is disclosed as TBD (To Be Determined). |
(H) | Variable rate obligation. The coupon rate shown represents the rate at period end. |
(I) | Variable or floating rate security, the interest rate of which adjusts periodically based on a weighted average of interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of period end. |
(J) | Non-income producing security. |
(K) | For this type of option, notional amounts are equivalent to number of contracts. |
(L) | The rate shown is the annualized seven-day yield as of 6-30-21. |
(M) | Investment is an affiliate of the fund, the advisor and/or subadvisor. This security represents the investment of cash collateral received for securities lending. |
Open contracts | Number of contracts | Position | Expiration date | Notional basis^ | Notional value^ | Unrealized appreciation (depreciation) |
2-Year U.S. Treasury Note Futures | 55 | Long | Sep 2021 | $12,136,686 | $12,117,617 | $(19,069) |
Euro-OAT Futures | 18 | Long | Sep 2021 | 3,381,668 | 3,394,471 | 12,803 |
10-Year Australian Treasury Bond Futures | 19 | Short | Sep 2021 | (2,011,112) | (2,013,425) | (2,313) |
10-Year U.S. Treasury Note Futures | 89 | Short | Sep 2021 | (11,748,883) | (11,792,500) | (43,617) |
5-Year U.S. Treasury Note Futures | 151 | Short | Sep 2021 | (18,682,572) | (18,637,853) | 44,719 |
Euro-BTP Italian Government Bond Futures | 18 | Short | Sep 2021 | (3,209,934) | (3,231,620) | (21,686) |
Euro-Buxl Futures | 4 | Short | Sep 2021 | (948,690) | (963,967) | (15,277) |
German Euro BUND Futures | 29 | Short | Sep 2021 | (5,904,318) | (5,935,498) | (31,180) |
U.K. Long Gilt Bond Futures | 19 | Short | Sep 2021 | (3,345,590) | (3,366,814) | (21,224) |
U.S. Treasury Long Bond Futures | 44 | Short | Sep 2021 | (6,879,154) | (7,073,000) | (193,846) |
Ultra U.S. Treasury Bond Futures | 72 | Short | Sep 2021 | (10,440,765) | (10,598,625) | (157,860) |
Ultra U.S. Treasury Bond Futures | 30 | Short | Sep 2021 | (5,540,570) | (5,780,625) | (240,055) |
$(688,605) |
Contract to buy | Contract to sell | Counterparty (OTC) | Contractual settlement date | Unrealized appreciation | Unrealized depreciation | ||
USD | 349,239 | AUD | 450,000 | MSI | 9/15/2021 | $11,656 | — |
USD | 589,641 | BRL | 3,010,000 | CITI | 9/15/2021 | — | $(10,053) |
USD | 136,284 | EUR | 114,000 | BNP | 7/30/2021 | 1,030 | — |
USD | 5,732,129 | EUR | 4,706,000 | CITI | 9/15/2021 | 143,495 | — |
USD | 213,473 | EUR | 175,000 | DB | 9/15/2021 | 5,651 | — |
USD | 229,266 | EUR | 188,000 | JPM | 9/15/2021 | 6,006 | — |
The accompanying notes are an integral part of the financial statements. | 56 |
FORWARD FOREIGN CURRENCY CONTRACTS (continued)
Contract to buy | Contract to sell | Counterparty (OTC) | Contractual settlement date | Unrealized appreciation | Unrealized depreciation | ||
USD | 1,287,283 | MXN | 25,710,000 | GSI | 9/15/2021 | $9,471 | — |
$177,309 | $(10,053) |
Interest rate swaptions | |||||||||
Description | Counterparty (OTC) | Floating rate index | Pay/receive floating rate | Exercise rate | Expiration date | Notional amount* | Premium | Value | |
Puts | |||||||||
5-Year Interest Rate Swap | BOA | 3 month USD LIBOR | Pay | 1.500% | Mar 2022 | USD | 8,705,000 | $87,050 | $(49,147) |
5-Year Interest Rate Swap | CITI | 3 month USD LIBOR | Pay | 1.500% | Mar 2022 | USD | 8,370,000 | 92,070 | (47,252) |
$179,120 | $(96,399) | ||||||||
* For this type of option, notional amounts are equivalent to number of contracts. |
Interest rate swaps | ||||||||||
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 |
Centrally cleared | 2,155,000 | USD | Fixed 0.075% | USD Compounded SOFR | Annual | Annual | Aug 2025 | $(207) | $46,696 | $46,489 |
Centrally cleared | 4,935,000 | USD | Fixed 0.750% | USD LIBOR BBA | Semi-Annual | Quarterly | Dec 2030 | (16,744) | 303,678 | 286,934 |
Centrally cleared | 2,460,000 | USD | Fixed 1.160% | USD LIBOR BBA | Semi-Annual | Quarterly | Dec 2040 | — | 234,108 | 234,108 |
Centrally cleared | 1,605,000 | USD | Fixed 0.810% | USD LIBOR BBA | Semi-Annual | Quarterly | Sep 2050 | 4,899 | 356,478 | 361,377 |
$(12,052) | $940,960 | $928,908 |
Credit default swaps - Buyer | ||||||||||
Counterparty (OTC)/ Centrally cleared | Reference obligation | Notional amount | Currency | USD notional amount | Pay fixed rate | Fixed payment frequency | Maturity date | Unamortized upfront payment paid (received) | Unrealized appreciation (depreciation) | Value |
Centrally cleared | CDX.NA.HY.36 | 1,145,000 | USD | $1,145,000 | 5.000% | Quarterly | Jun 2026 | $(113,875) | $(4,505) | $(118,380) |
$1,145,000 | $(113,875) | $(4,505) | $(118,380) |
Credit default swaps - Seller | |||||||||||
Counterparty (OTC)/ Centrally cleared | Reference obligation | Implied credit spread | Notional amount | Currency | USD notional amount | Received fixed rate | Fixed payment frequency | Maturity date | Unamortized upfront payment paid (received) | Unrealized appreciation (depreciation) | Value |
DB | CMBX.NA.BBB-.6 | 31.098% | 110,000 | USD | $110,000 | 3.000% | Monthly | May 2063 | $(17,262) | $(11,567) | $(28,829) |
GSI | CMBX.NA.BBB-.6 | 31.098% | 140,000 | USD | 140,000 | 3.000% | Monthly | May 2063 | (21,819) | (14,873) | (36,692) |
GSI | CMBX.NA.BBB-.6 | 31.098% | 1,335,000 | USD | 1,335,000 | 3.000% | Monthly | May 2063 | (79,940) | (273,167) | (353,107) |
GSI | CMBX.NA.BBB-.6 | 31.098% | 1,390,000 | USD | 1,390,000 | 3.000% | Monthly | May 2063 | (84,112) | (283,543) | (367,655) |
MSI | CMBX.NA.BBB-.6 | 31.098% | 255,000 | USD | 255,000 | 3.000% | Monthly | May 2063 | (38,679) | (28,152) | (66,831) |
MSI | CMBX.NA.BBB-.6 | 31.098% | 130,000 | USD | 130,000 | 3.000% | Monthly | May 2063 | (20,048) | (14,023) | (34,071) |
MSI | CMBX.NA.BBB-.6 | 31.098% | 115,000 | USD | 115,000 | 3.000% | Monthly | May 2063 | (18,073) | (12,067) | (30,140) |
MSI | CMBX.NA.BBB-.6 | 31.098% | 69,000 | USD | 69,000 | 3.000% | Monthly | May 2063 | (10,849) | (7,235) | (18,084) |
$3,544,000 | $(290,782) | $(644,627) | $(935,409) | ||||||||
Centrally cleared | CDX.EM.35 | 1.549% | 1,315,000 | USD | 1,315,000 | 1.000% | Quarterly | Jun 2026 | (45,593) | 11,774 | (33,819) |
Centrally cleared | CDX.NA.IG.36 | 0.479% | 490,000 | USD | 490,000 | 1.000% | Quarterly | Jun 2026 | 10,267 | 2,336 | 12,603 |
Centrally cleared | Federative Republic of Brazil | 1.620% | 150,000 | USD | 150,000 | 1.000% | Quarterly | Jun 2026 | (4,630) | 209 | (4,421) |
Centrally cleared | Government of Mexico | 0.929% | 160,000 | USD | 160,000 | 1.000% | Quarterly | Jun 2026 | 106 | 494 | 600 |
Centrally cleared | Republic of Colombia | 1.362% | 915,000 | USD | 915,000 | 1.000% | Quarterly | Jun 2026 | (11,668) | (4,047) | (15,715) |
Centrally cleared | Republic of Indonesia | 0.749% | 665,000 | USD | 665,000 | 1.000% | Quarterly | Jun 2026 | 3,584 | 4,759 | 8,343 |
Centrally cleared | Republic of Panama | 0.666% | 210,000 | USD | 210,000 | 1.000% | Quarterly | Jun 2026 | 1,787 | 1,714 | 3,501 |
Centrally cleared | Republic of Peru | 0.821% | 445,000 | USD | 445,000 | 1.000% | Quarterly | Jun 2026 | 3,003 | 1,018 | 4,021 |
The accompanying notes are an integral part of the financial statements. | 57 |
Credit default swaps - Seller (continued) | |||||||||||
Counterparty (OTC)/ Centrally cleared | Reference obligation | Implied credit spread | Notional amount | Currency | USD notional amount | Received fixed rate | Fixed payment frequency | Maturity date | Unamortized upfront payment paid (received) | Unrealized appreciation (depreciation) | Value |
Centrally cleared | Russian Federation | 0.832% | 145,000 | USD | $145,000 | 1.000% | Quarterly | Jun 2026 | $350 | $884 | $1,234 |
$4,495,000 | $(42,794) | $19,141 | $(23,653) | ||||||||
$8,039,000 | $(333,576) | $(625,486) | $(959,062) |
Derivatives Currency Abbreviations | |
AUD | Australian Dollar |
BRL | Brazilian Real |
EUR | Euro |
MXN | Mexican Peso |
USD | U.S. Dollar |
Derivatives Abbreviations | |
BBA | The British Banker's Association |
BNP | BNP Paribas |
BOA | Bank of America, N.A. |
CITI | Citibank, N.A. |
DB | Deutsche Bank AG |
GSI | Goldman Sachs International |
JPM | JPMorgan Chase Bank, N.A. |
LIBOR | London Interbank Offered Rate |
MSI | Morgan Stanley & Co. International PLC |
OTC | Over-the-counter |
SOFR | Secured Overnight Financing Rate |
Shares or Principal Amount | Value | ||||
U.S. GOVERNMENT – 27.0% | |||||
U.S. Treasury Bill | |||||
0.010%, 08/26/2021 | $ | 86,720,300 | $ | 86,718,951 | |
0.010%, 08/12/2021 | 34,815,100 | 34,814,694 | |||
0.010%, 08/19/2021 | 69,590,800 | 69,589,853 | |||
0.030%, 07/27/2021 | 155,354,500 | 155,351,134 | |||
0.035%, 09/23/2021 | 34,522,400 | 34,519,581 | |||
0.041%, 07/20/2021 | 34,550,000 | 34,549,271 | |||
U.S. Treasury Note | |||||
0.046%, (3 month USBMMY + 0.220%), 07/31/2021 (A) | 3,526,500 | 3,527,161 | |||
0.048%, 08/31/2021 | 28,372,600 | 28,464,385 | |||
0.051%, 04/30/2022 | 17,338,200 | 17,598,455 | |||
0.076%, (3 month USBMMY + 0.154%), 01/31/2022 (A) | 6,500,000 | 6,504,980 | |||
0.077%, 08/15/2021 | 49,241,800 | 49,405,437 | |||
0.090%, (3 month USBMMY + 0.055%), 07/31/2022 (A) | 27,763,300 | 27,768,169 | |||
0.095%, 03/31/2022 | 17,810,500 | 17,847,606 | |||
0.225%, (3 month USBMMY + 0.300%), 10/31/2021 (A) | 7,252,800 | 7,255,933 | |||
TOTAL U.S. GOVERNMENT (Cost $573,915,610) | $ | 573,915,610 | |||
U.S. GOVERNMENT AGENCY – 72.2% | |||||
Federal Agricultural Mortgage Corp. | |||||
0.010%, 07/01/2021 | 69,050,000 | 69,050,000 | |||
0.010%, 08/16/2021 | 20,875,000 | 20,874,733 | |||
0.024%, (3 month LIBOR - 0.120%), 12/22/2021 (A) | 55,657,000 | 55,654,698 |
Shares or Principal Amount | Value | ||||
U.S. GOVERNMENT AGENCY (continued) | |||||
Federal Agricultural Mortgage Corp. (continued) | |||||
0.033%, (3 month LIBOR - 0.130%), 08/13/2021 (A) | $ | 20,817,000 | $ | 20,816,934 | |
0.050%, 10/29/2021 | 17,451,000 | 17,451,000 | |||
0.071%, (SOFR + 0.020%), 03/04/2022 (A) | 14,056,000 | 14,056,000 | |||
0.075%, 06/24/2022 | 13,909,000 | 13,909,000 | |||
0.077%, (3 month LIBOR - 0.100%), 08/03/2021 (A) | 7,116,000 | 7,116,000 | |||
0.079%, (3 month LIBOR - 0.100%), 10/06/2021 (A) | 12,627,000 | 12,627,561 | |||
0.080%, (3 month LIBOR - 0.100%), 01/25/2022 (A) | 3,574,000 | 3,573,938 | |||
0.091%, (SOFR + 0.040%), 09/28/2021 (A) | 40,000,000 | 40,000,000 | |||
0.096%, (1 month LIBOR), 07/28/2021 (A) | 36,845,000 | 36,845,000 | |||
0.152%, (SOFR + 0.100%), 08/23/2021 (A) | 10,000,000 | 10,000,000 | |||
Federal Farm Credit Bank | |||||
0.005%, (1 month LIBOR - 0.070%), 08/11/2021 (A) | 17,700,000 | 17,700,000 | |||
0.061%, 02/25/2022 | 7,006,000 | 7,003,209 | |||
0.064%, (1 month LIBOR), 12/22/2021 (A) | 24,588,000 | 24,591,356 | |||
0.066%, (SOFR + 0.060%), 10/21/2022 (A) | 13,591,000 | 13,599,095 | |||
0.076%, (Prime rate - 3.180%), 10/19/2022 (A) | 10,599,000 | 10,598,302 |
The accompanying notes are an integral part of the financial statements. | 58 |
Shares or Principal Amount | Value | ||||
U.S. GOVERNMENT AGENCY (continued) | |||||
Federal Farm Credit Bank (continued) | |||||
0.081%, (SOFR + 0.030%), 06/14/2023 (A) | $ | 3,457,000 | $ | 3,457,000 | |
0.087%, (3 month LIBOR + 0.010%), 09/20/2021 (A) | 3,520,000 | 3,520,464 | |||
0.090%, 12/29/2021 | 7,237,000 | 7,237,000 | |||
0.091%, (Prime rate - 3.160%), 05/18/2023 (A) | 6,969,000 | 6,969,000 | |||
0.096%, (U.S. Federal Funds Effective Rate - 0.005%), 06/22/2023 (A) | 6,923,000 | 6,923,000 | |||
0.101%, (3 month USBMMY + 0.055%), 01/31/2023 (A) | 14,262,000 | 14,262,000 | |||
0.106%, (Prime rate - 3.145%), 03/15/2023 (A) | 7,011,000 | 7,011,000 | |||
0.107%, (3 month USBMMY + 0.270%), 05/16/2022 (A) | 11,691,000 | 11,713,208 | |||
0.113%, (1 month LIBOR + 0.240%), 10/25/2021 (A) | 100,000 | 100,071 | |||
0.117%, (3 month USBMMY + 0.100%), 01/18/2022 (A) | 3,290,000 | 3,290,550 | |||
0.117%, 01/06/2022 | 17,520,000 | 17,517,590 | |||
0.118%, (3 month LIBOR), 11/16/2021 (A) | 892,000 | 892,136 | |||
0.127%, (SOFR + 0.075%), 11/03/2022 (A) | 7,362,000 | 7,362,000 | |||
0.132%, (SOFR + 0.080%), 10/14/2022 (A) | 5,862,000 | 5,862,000 | |||
0.142%, (SOFR + 0.090%), 07/15/2021 (A) | 18,472,000 | 18,472,000 | |||
0.142%, (SOFR + 0.090%), 09/23/2022 (A) | 7,315,000 | 7,315,000 | |||
0.146%, (Prime rate - 3.105%), 02/14/2022 (A) | 14,662,000 | 14,662,117 | |||
0.157%, (Prime rate - 3.100%), 03/15/2022 (A) | 7,306,000 | 7,305,728 | |||
0.157%, (Prime rate - 3.095%), 04/20/2022 (A) | 28,319,000 | 28,319,000 | |||
0.159%, (1 month LIBOR + 0.030%), 11/02/2021 (A) | 2,321,000 | 2,320,673 | |||
0.174%, (1 month LIBOR + 0.160%), 07/01/2021 (A) | 366,000 | 366,000 | |||
0.174%, (1 month LIBOR + 0.080%), 08/25/2021 (A) | 11,191,000 | 11,191,000 | |||
0.177%, (1 month LIBOR + 0.080%), 07/26/2021 (A) | 366,000 | 366,000 | |||
0.184%, (1 month LIBOR + 0.110%), 09/24/2021 (A) | 366,000 | 366,016 | |||
0.190%, (1 month LIBOR + 0.110%), 12/10/2021 (A) | 11,097,000 | 11,097,000 | |||
0.198%, (U.S. Federal Funds Effective Rate + 0.095%), 07/26/2021 (A) | 15,093,000 | 15,093,000 | |||
0.198%, (SOFR + 0.145%), 07/28/2022 (A) | 3,670,000 | 3,670,000 | |||
0.249%, (1 month LIBOR + 0.160%), 10/04/2021 (A) | 4,480,000 | 4,480,000 | |||
0.265%, (3 month USBMMY + 0.290%), 04/11/2022 (A) | 15,382,000 | 15,391,509 | |||
0.334%, (Prime rate - 3.030%), 09/03/2021 (A) | 7,271,000 | 7,269,583 | |||
0.436%, (SOFR + 0.380%), 04/22/2022 (A) | 7,376,000 | 7,376,000 | |||
Federal Home Loan Bank | |||||
0.007%, (3 month LIBOR - 0.095%), 09/13/2021 (A) | 30,430,000 | 30,431,071 | |||
0.008%, 07/28/2021 | 16,000,000 | 15,999,904 | |||
0.010%, 07/30/2021 | 51,912,000 | 51,911,582 | |||
0.010%, 08/11/2021 | 21,830,000 | 21,829,744 |
Shares or Principal Amount | Value | ||||
U.S. GOVERNMENT AGENCY (continued) | |||||
Federal Home Loan Bank (continued) | |||||
0.010%, 08/16/2021 | $ | 17,289,000 | $ | 17,288,779 | |
0.015%, 08/06/2021 | 40,164,000 | 40,163,398 | |||
0.018%, 07/16/2021 | 35,115,000 | 35,114,737 | |||
0.018%, 08/04/2021 | 23,089,000 | 23,088,619 | |||
0.023%, 09/03/2021 | 17,305,000 | 17,304,743 | |||
0.025%, 09/20/2021 | 17,316,000 | 17,315,026 | |||
0.029%, 07/14/2021 | 15,945,000 | 15,951,199 | |||
0.030%, (1 month LIBOR - 0.020%), 12/17/2021 (A) | 50,260,000 | 50,267,715 | |||
0.031%, 07/21/2021 | 45,590,000 | 45,589,231 | |||
0.037%, (3 month LIBOR - 0.105%), 08/04/2021 (A) | 47,400,000 | 47,401,534 | |||
0.041%, 08/25/2021 | 15,466,000 | 15,465,055 | |||
0.044%, 09/29/2021 | 44,489,000 | 44,484,218 | |||
0.046%, 09/29/2021 | 21,000,000 | 20,999,692 | |||
0.046%, 08/20/2021 | 14,504,000 | 14,503,094 | |||
0.046%, 08/18/2021 | 34,550,000 | 34,547,927 | |||
0.052%, 12/10/2021 | 8,095,000 | 8,196,112 | |||
0.056%, 08/02/2021 | 17,545,000 | 17,544,907 | |||
0.056%, 12/10/2021 | 5,935,000 | 6,064,834 | |||
0.059%, (1 month LIBOR - 0.025%), 08/27/2021 (A) | 36,835,000 | 36,835,706 | |||
0.066%, (SOFR + 0.015%), 12/10/2021 (A) | 18,015,000 | 18,015,000 | |||
0.081%, 09/10/2021 | 930,000 | 935,235 | |||
0.086%, (SOFR + 0.035%), 12/10/2021 (A) | 7,365,000 | 7,365,000 | |||
0.093%, 10/12/2021 | 2,605,000 | 2,626,306 | |||
0.112%, (SOFR + 0.060%), 11/23/2022 (A) | 18,370,000 | 18,370,000 | |||
0.112%, (SOFR + 0.060%), 12/16/2022 (A) | 10,000,000 | 10,000,000 | |||
0.120%, 07/07/2021 | 735,000 | 735,214 | |||
0.136%, 09/17/2021 | 14,180,000 | 14,179,642 | |||
0.142%, (SOFR + 0.090%), 08/12/2022 (A) | 14,640,000 | 14,640,000 | |||
0.158%, 07/02/2021 | 11,045,000 | 11,044,990 | |||
Federal Home Loan Mortgage Corp. | |||||
0.031%, 08/12/2021 | 7,054,000 | 7,062,871 | |||
0.099%, 01/13/2022 | 9,347,000 | 9,461,691 | |||
0.150%, (SOFR + 0.150%), 03/04/2022 (A) | 11,784,000 | 11,788,180 | |||
Federal National Mortgage Association | |||||
0.046%, 01/05/2022 | 1,000,000 | 1,009,981 | |||
0.100%, 01/11/2022 | 3,433,000 | 3,479,275 | |||
0.233%, (SOFR + 0.350%), 04/07/2022 (A) | 4,411,000 | 4,416,818 | |||
0.243%, (SOFR + 0.190%), 05/19/2022 (A) | 14,746,000 | 14,746,000 | |||
0.253%, (SOFR + 0.200%), 06/15/2022 (A) | 6,000,000 | 6,000,000 | |||
Tennessee Valley Authority 0.048%, 07/28/2021 | 102,324,000 | 102,320,361 | |||
U.S. Department of Housing and Urban Development 0.177%, 08/01/2021 | 4,788,000 | 4,796,916 | |||
TOTAL U.S. GOVERNMENT AGENCY (Cost $1,537,936,778) | $ | 1,537,936,778 |
The accompanying notes are an integral part of the financial statements. | 59 |
Shares or Principal Amount | Value | ||||
REPURCHASE AGREEMENT – 0.8% | |||||
Barclays Tri-Party Repurchase Agreement dated 6-30-21 at 0.050% to be repurchased at $16,900,023 on 7-1-21, collateralized by $15,858,736 U.S. Treasury Inflation Indexed Notes, 0.125% due 4-15-26 (valued at $17,238,075) | $ | 16,900,000 | $ | 16,900,000 | |
TOTAL REPURCHASE AGREEMENT (Cost $16,900,000) | $ | 16,900,000 | |||
Total Investments (Money Market Trust) (Cost $2,128,752,388) – 100.0% | $ | 2,128,752,388 | |||
Other assets and liabilities, net – (0.0%) | (73,428) | ||||
TOTAL NET ASSETS – 100.0% | $ | 2,128,678,960 |
Security Abbreviations and Legend | |
LIBOR | London Interbank Offered Rate |
SOFR | Secured Overnight Financing Rate |
USBMMY | U.S. Treasury Bill Money Market Yield |
(A) | Variable rate obligation. |
Shares or Principal Amount | Value | ||||
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 0.4% | |||||
U.S. Government - 0.4% | |||||
U.S. Treasury Inflation Protected Securities 0.125%, 02/15/2051 (A) | $ | 758,848 | $ | 832,974 | |
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (Cost $816,815) | $ | 832,974 | |||
FOREIGN GOVERNMENT OBLIGATIONS - 42.6% | |||||
Argentina - 0.2% | |||||
Republic of Argentina | |||||
1.000%, 07/09/2029 | 34,723 | 13,149 | |||
(0.125% to 7-9-21, then 1.125% to 7-9-22, then 1.500% to 7-9-23, then 3.625% to 7-9-24, then 4.125% to 7-9-27, then 4.750% to 7-9-28, then 5.000% thereafter), 07/09/2035 | 1,534,439 | 485,665 | |||
498,814 | |||||
Australia - 2.1% | |||||
Commonwealth of Australia 3.000%, 03/21/2047 | AUD | 5,175,000 | 4,440,282 | ||
Bermuda - 0.1% | |||||
Government of Bermuda 2.375%, 08/20/2030 | $ | 200,000 | 199,500 | ||
Brazil - 2.4% | |||||
Federative Republic of Brazil 10.000%, 01/01/2025 to 01/01/2029 | BRL | 23,357,000 | 4,982,546 | ||
Bulgaria - 0.2% | |||||
Republic of Bulgaria 1.375%, 09/23/2050 | EUR | 370,000 | 412,713 | ||
Canada - 1.0% | |||||
Government of Canada | |||||
0.500%, 12/01/2050 | CAD | 388,559 | 348,042 | ||
1.500%, 12/01/2044 | 570,331 | 603,747 | |||
2.750%, 12/01/2048 | 1,180,000 | 1,142,409 | |||
2,094,198 |
Shares or Principal Amount | Value | ||||
FOREIGN GOVERNMENT OBLIGATIONS (continued) | |||||
Chile - 0.5% | |||||
Republic of Chile | |||||
1.250%, 01/22/2051 | EUR | 430,000 | $ | 454,443 | |
3.100%, 01/22/2061 | $ | 200,000 | 191,332 | ||
3.860%, 06/21/2047 | 200,000 | 220,348 | |||
5.000%, 03/01/2035 | CLP | 150,000,000 | 208,417 | ||
1,074,540 | |||||
Colombia - 0.9% | |||||
Republic of Colombia | |||||
3.875%, 03/22/2026 | EUR | 670,000 | 886,461 | ||
3.875%, 02/15/2061 | $ | 225,000 | 201,319 | ||
5.625%, 02/26/2044 | 255,000 | 288,737 | |||
6.000%, 04/28/2028 | COP | 1,667,200,000 | 426,580 | ||
1,803,097 | |||||
Croatia - 0.2% | |||||
Republic of Croatia 1.500%, 06/17/2031 | EUR | 300,000 | 370,324 | ||
Czech Republic - 0.2% | |||||
Czech Republic 2.500%, 08/25/2028 | CZK | 7,530,000 | 366,665 | ||
Dominican Republic - 0.1% | |||||
The Dominican Republic | |||||
6.400%, 06/05/2049 | $ | 150,000 | 161,250 | ||
7.450%, 04/30/2044 | 100,000 | 120,400 | |||
281,650 | |||||
Egypt - 0.1% | |||||
Arab Republic of Egypt 6.875%, 04/30/2040 | 125,000 | 121,715 | |||
Germany - 2.1% | |||||
Federal Republic of Germany, Inflation Linked Bond 0.500%, 04/15/2030 | EUR | 3,055,215 | 4,369,003 | ||
Ghana - 0.1% | |||||
Republic of Ghana 10.750%, 10/14/2030 | $ | 200,000 | 252,433 | ||
Greece - 0.6% | |||||
Republic of Greece, GDP-Linked Note 4.397%, 10/15/2042 (B)* | EUR | 409,185,000 | 1,310,016 | ||
Honduras - 0.1% | |||||
Republic of Honduras 5.625%, 06/24/2030 | $ | 150,000 | 156,975 | ||
Hungary - 0.7% | |||||
Republic of Hungary | |||||
1.500%, 11/17/2050 | EUR | 475,000 | 523,003 | ||
1.625%, 04/28/2032 | 520,000 | 655,676 | |||
2.750%, 12/22/2026 | HUF | 97,030,000 | 337,594 | ||
1,516,273 | |||||
Iceland - 1.8% | |||||
Republic of Iceland 5.000%, 11/15/2028 | ISK | 433,770,000 | 3,872,057 | ||
Indonesia - 2.1% | |||||
Republic of Indonesia | |||||
1.100%, 03/12/2033 | EUR | 420,000 | 485,993 | ||
1.400%, 10/30/2031 | 380,000 | 458,126 | |||
8.375%, 03/15/2034 | IDR | 33,135,000,000 | 2,526,761 | ||
9.000%, 03/15/2029 | 11,324,000,000 | 903,832 | |||
4,374,712 | |||||
Israel - 1.7% | |||||
State of Israel 3.750%, 03/31/2047 | ILS | 8,740,000 | 3,473,588 |
The accompanying notes are an integral part of the financial statements. | 60 |
Shares or Principal Amount | Value | ||||
FOREIGN GOVERNMENT OBLIGATIONS (continued) | |||||
Ivory Coast - 0.1% | |||||
Republic of Ivory Coast 4.875%, 01/30/2032 | EUR | 200,000 | $ | 236,762 | |
Japan - 4.6% | |||||
Government of Japan, CPI Linked Bond 0.100%, 03/10/2028 | JPY | 1,047,885,084 | 9,668,142 | ||
Jordan - 0.1% | |||||
The Hashemite Kingdom of Jordan 5.850%, 07/07/2030 | $ | 200,000 | 207,808 | ||
Kazakhstan - 0.3% | |||||
Republic of Kazakhstan | |||||
1.500%, 09/30/2034 | EUR | 100,000 | 119,231 | ||
6.500%, 07/21/2045 | $ | 400,000 | 584,400 | ||
703,631 | |||||
Macedonia - 0.2% | |||||
Republic of Macedonia | |||||
2.750%, 01/18/2025 | EUR | 150,000 | 186,489 | ||
3.675%, 06/03/2026 | 200,000 | 261,185 | |||
447,674 | |||||
Malaysia - 0.3% | |||||
Government of Malaysia 3.899%, 11/16/2027 | MYR | 2,680,000 | 680,883 | ||
Mexico - 1.3% | |||||
Government of Mexico | |||||
3.625%, 04/09/2029 | EUR | 550,000 | 762,810 | ||
4.000%, 11/15/2040 | MXN | 19,342,262 | 1,046,165 | ||
5.625%, 03/19/2114 | GBP | 100,000 | 150,788 | ||
7.500%, 06/03/2027 | MXN | 16,859,300 | 881,430 | ||
2,841,193 | |||||
Morocco - 0.3% | |||||
Kingdom of Morocco | |||||
2.000%, 09/30/2030 | EUR | 310,000 | 363,545 | ||
5.500%, 12/11/2042 | $ | 240,000 | 272,429 | ||
635,974 | |||||
New Zealand - 0.9% | |||||
Government of New Zealand 1.500%, 05/15/2031 | NZD | 690,000 | 471,393 | ||
Government of New Zealand, Inflation Linked Bond 2.500%, 09/20/2035 to 09/20/2040 | 1,459,226 | 1,385,182 | |||
1,856,575 | |||||
Norway - 2.3% | |||||
Kingdom of Norway | |||||
1.375%, 08/19/2030 (C) | NOK | 20,150,000 | 2,348,326 | ||
1.750%, 09/06/2029 (C) | 21,131,000 | 2,539,311 | |||
4,887,637 | |||||
Oman - 0.1% | |||||
Sultanate of Oman 6.750%, 01/17/2048 | $ | 200,000 | 198,750 | ||
Panama - 0.9% | |||||
Republic of Panama | |||||
3.870%, 07/23/2060 | 200,000 | 203,970 | |||
4.500%, 04/16/2050 to 04/01/2056 | 1,560,000 | 1,765,520 | |||
1,969,490 | |||||
Paraguay - 0.1% | |||||
Republic of Paraguay 5.600%, 03/13/2048 | 200,000 | 235,000 | |||
Peru - 0.2% | |||||
Republic of Peru | |||||
3.750%, 03/01/2030 | EUR | 155,000 | 220,476 | ||
6.950%, 08/12/2031 | PEN | 730,000 | 212,888 | ||
433,364 |
Shares or Principal Amount | Value | ||||
FOREIGN GOVERNMENT OBLIGATIONS (continued) | |||||
Philippines - 0.3% | |||||
Republic of the Philippines | |||||
1.750%, 04/28/2041 | EUR | 250,000 | $ | 292,960 | |
3.200%, 07/06/2046 | $ | 285,000 | 285,482 | ||
578,442 | |||||
Poland - 0.5% | |||||
Republic of Poland | |||||
2.375%, 01/18/2036 | EUR | 270,000 | 387,876 | ||
3.250%, 07/25/2025 | PLN | 2,580,000 | 736,631 | ||
1,124,507 | |||||
Qatar - 0.1% | |||||
State of Qatar 4.400%, 04/16/2050 | $ | 200,000 | 242,409 | ||
Romania - 0.9% | |||||
Republic of Romania | |||||
2.625%, 12/02/2040 (C) | EUR | 540,000 | 633,978 | ||
2.750%, 04/14/2041 (C) | 170,000 | 199,944 | |||
3.875%, 10/29/2035 | 520,000 | 723,331 | |||
4.750%, 02/24/2025 | RON | 1,080,000 | 278,975 | ||
1,836,228 | |||||
Russia - 3.0% | |||||
Government of Russia | |||||
6.900%, 05/23/2029 | RUB | 240,040,000 | 3,269,796 | ||
7.050%, 01/19/2028 | 82,055,000 | 1,129,256 | |||
7.650%, 04/10/2030 | 84,090,000 | 1,196,614 | |||
8.150%, 02/03/2027 | 42,900,000 | 620,117 | |||
6,215,783 | |||||
Saudi Arabia - 0.7% | |||||
Kingdom of Saudi Arabia | |||||
2.000%, 07/09/2039 | EUR | 680,000 | 831,116 | ||
2.250%, 02/02/2033 (C) | $ | 667,000 | 647,957 | ||
1,479,073 | |||||
Senegal - 0.2% | |||||
Republic of Senegal | |||||
6.250%, 05/23/2033 | 200,000 | 210,511 | |||
6.750%, 03/13/2048 | 200,000 | 201,548 | |||
412,059 | |||||
Serbia - 0.1% | |||||
Republic of Serbia 1.650%, 03/03/2033 | EUR | 100,000 | 115,936 | ||
Slovenia - 0.2% | |||||
Republic of Slovenia 0.488%, 10/20/2050 | 345,000 | 368,745 | |||
South Africa - 0.3% | |||||
Republic of South Africa 7.000%, 02/28/2031 | ZAR | 11,880,000 | 713,051 | ||
South Korea - 5.8% | |||||
Republic of Korea 1.375%, 12/10/2029 to 06/10/2030 | KRW | 12,813,320,000 | 10,785,517 | ||
Republic of Korea, Inflation Linked Bond 1.750%, 06/10/2028 | 1,474,094,515 | 1,394,735 | |||
12,180,252 | |||||
Thailand - 1.3% | |||||
Kingdom of Thailand 2.875%, 12/17/2028 | THB | 80,250,000 | 2,767,088 | ||
Turkey - 0.1% | |||||
Republic of Turkey 8.000%, 03/12/2025 | TRY | 1,690,000 | 145,091 | ||
Ukraine - 0.1% | |||||
Republic of Ukraine 7.375%, 09/25/2032 | $ | 200,000 | 209,978 |
The accompanying notes are an integral part of the financial statements. | 61 |
Shares or Principal Amount | Value | ||||
FOREIGN GOVERNMENT OBLIGATIONS (continued) | |||||
United Arab Emirates - 0.1% | |||||
Government of Dubai 3.900%, 09/09/2050 | $ | 200,000 | $ | 186,203 | |
Uruguay - 0.0% | |||||
Republic of Uruguay 8.500%, 03/15/2028 | UYU | 670,000 | 15,911 | ||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost $91,248,679) | $ | 89,564,740 | |||
CORPORATE BONDS - 20.0% | |||||
Canada - 0.3% | |||||
goeasy, Ltd. 4.375%, 05/01/2026 (C) | $ | 40,000 | 41,000 | ||
New Red Finance, Inc. 3.875%, 01/15/2028 (C) | 165,000 | 167,063 | |||
Nutrien, Ltd. 2.950%, 05/13/2030 | 37,000 | 39,030 | |||
Rogers Communications, Inc. | |||||
3.700%, 11/15/2049 | 115,000 | 122,422 | |||
4.350%, 05/01/2049 | 100,000 | 117,700 | |||
5.000%, 03/15/2044 | 110,000 | 137,414 | |||
624,629 | |||||
Cayman Islands - 0.1% | |||||
Seagate HDD Cayman 3.125%, 07/15/2029 (C) | 190,000 | 184,094 | |||
Spirit Loyalty Cayman, Ltd. 8.000%, 09/20/2025 (C) | 62,400 | 70,574 | |||
254,668 | |||||
Chile - 0.2% | |||||
Empresa Nacional del Petroleo 5.250%, 11/06/2029 | 200,000 | 223,067 | |||
Inversiones CMPC SA 3.850%, 01/13/2030 | 200,000 | 213,302 | |||
436,369 | |||||
China - 0.4% | |||||
CIFI Holdings Group Company, Ltd. 4.375%, 04/12/2027 | 200,000 | 195,778 | |||
Meituan 3.050%, 10/28/2030 | 200,000 | 197,139 | |||
Times China Holdings, Ltd. 5.750%, 01/14/2027 | 200,000 | 190,511 | |||
Yuzhou Group Holdings Company, Ltd. | |||||
6.350%, 01/13/2027 | 200,000 | 154,165 | |||
7.375%, 01/13/2026 | 200,000 | 156,940 | |||
894,533 | |||||
Finland - 0.5% | |||||
Nokia OYJ 6.625%, 05/15/2039 | 825,000 | 1,068,375 | |||
France - 0.2% | |||||
Faurecia SE 3.750%, 06/15/2028 | EUR | 145,000 | 180,964 | ||
Loxam SAS 3.750%, 07/15/2026 | 145,000 | 175,716 | |||
TotalEnergies SE (2.000% to 9-4-30, then 5 Year Euro Swap Rate + 2.404% to 9-4-50, then 5 Year Euro Swap Rate + 3.154%) 06/04/2030 (D) | 100,000 | 119,299 | |||
475,979 | |||||
Indonesia - 0.1% | |||||
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara 6.150%, 05/21/2048 | $ | 200,000 | 252,500 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Ireland - 0.1% | |||||
Aptiv PLC 4.250%, 01/15/2026 | $ | 15,000 | $ | 16,944 | |
Endo DAC 9.500%, 07/31/2027 (C) | 72,000 | 73,440 | |||
90,384 | |||||
Italy - 0.1% | |||||
Banca Monte dei Paschi di Siena SpA (5.375% to 1-18-23, then 5 Year Euro Swap Rate + 5.005%) 01/18/2028 | EUR | 100,000 | 97,232 | ||
Japan - 0.2% | |||||
Rakuten Group, Inc. (5.125% to 4-22-26, then 5 Year CMT + 4.578% to 4-22-46, then 5 Year CMT + 5.078%) 04/22/2026 (C)(D) | $ | 200,000 | 207,750 | ||
Rakuten Group, Inc. (6.250% to 4-22-31, then 5 Year CMT + 4.956% to 4-22-51, then 5 Year CMT + 5.706%) 04/22/2031 (C)(D) | 200,000 | 216,000 | |||
423,750 | |||||
Luxembourg - 0.3% | |||||
Codere Finance 2 Luxembourg SA (4.500% Cash and 6.250% PIK) 10.750%, 11/01/2023 | EUR | 525,938 | 452,846 | ||
Endo Luxembourg Finance Company I Sarl 6.125%, 04/01/2029 (C) | $ | 180,000 | 176,400 | ||
629,246 | |||||
Malaysia - 0.1% | |||||
Petronas Capital, Ltd. 3.404%, 04/28/2061 (C) | 200,000 | 204,218 | |||
Morocco - 0.1% | |||||
OCP SA 5.125%, 06/23/2051 (C) | 215,000 | 216,957 | |||
Netherlands - 0.4% | |||||
Deutsche Telekom International Finance BV 4.875%, 03/06/2042 (C) | 150,000 | 186,199 | |||
Teva Pharmaceutical Finance Netherlands III BV 6.750%, 03/01/2028 | 400,000 | 438,000 | |||
Trivium Packaging Finance BV 3.750%, 08/15/2026 | EUR | 140,000 | 168,288 | ||
792,487 | |||||
Norway - 0.0% | |||||
Equinor ASA 3.000%, 04/06/2027 | $ | 45,000 | 48,884 | ||
Spain - 0.1% | |||||
Cellnex Finance Company 4.415%, 07/07/2041 (C) | 245,000 | 241,874 | |||
United Arab Emirates - 0.2% | |||||
Abu Dhabi Crude Oil Pipeline LLC 4.600%, 11/02/2047 | 200,000 | 235,740 | |||
Galaxy Pipeline Assets Bidco, Ltd. 2.940%, 09/30/2040 | 200,000 | 198,158 | |||
433,898 | |||||
United Kingdom - 0.3% | |||||
AstraZeneca PLC 4.375%, 08/17/2048 | 24,000 | 30,019 | |||
Vmed O2 UK Financing I PLC 4.750%, 07/15/2031 (C) | 370,000 | 375,550 |
The accompanying notes are an integral part of the financial statements. | 62 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
United Kingdom (continued) | |||||
Vodafone Group PLC (4.125% to 6-4-31, then 5 Year CMT + 2.767% to 6-4-51, then 5 Year CMT + 3.517%) 06/04/2081 | $ | 125,000 | $ | 124,813 | |
Vodafone Group PLC (5.125% to 6-4-51, then 5 Year CMT + 3.073% to 6-4-71, then 5 Year CMT + 3.823%) 06/04/2081 | 60,000 | 60,600 | |||
590,982 | |||||
United States - 16.3% | |||||
Adams Homes, Inc. 7.500%, 02/15/2025 (C) | 10,000 | 10,450 | |||
AEP Texas, Inc. 3.450%, 05/15/2051 | 355,000 | 366,811 | |||
Aircastle, Ltd. (5.250% to 9-15-26, then 5 Year CMT + 4.410% to 9-15-31, then 5 Year CMT + 4.660% to 9-15-46, then 5 Year CMT + 5.160%) 06/15/2026 (C)(D) | 150,000 | 151,500 | |||
Alliant Holdings Intermediate LLC 6.750%, 10/15/2027 (C) | 61,000 | 64,109 | |||
Altria Group, Inc. 4.400%, 02/14/2026 | 24,000 | 27,155 | |||
Ambience Merger Sub, Inc. 7.125%, 07/15/2029 (C) | 100,000 | 101,000 | |||
American Airlines, Inc. 5.750%, 04/20/2029 (C) | 75,000 | 81,094 | |||
American International Group, Inc. | |||||
1.875%, 06/21/2027 | EUR | 200,000 | 256,047 | ||
3.875%, 01/15/2035 | $ | 40,000 | 45,236 | ||
4.750%, 04/01/2048 | 100,000 | 127,088 | |||
American University 3.672%, 04/01/2049 | 5,000 | 5,738 | |||
Anheuser-Busch Companies LLC 4.900%, 02/01/2046 | 35,000 | 44,301 | |||
Anheuser-Busch InBev Worldwide, Inc. 4.600%, 04/15/2048 | 20,000 | 24,417 | |||
Antero Midstream Partners LP | |||||
5.375%, 06/15/2029 (C) | 62,000 | 64,635 | |||
5.750%, 03/01/2027 (C) | 30,000 | 31,200 | |||
Antero Resources Corp. 8.375%, 07/15/2026 (C) | 55,000 | 62,563 | |||
Anthem, Inc. | |||||
2.250%, 05/15/2030 | 55,000 | 55,473 | |||
3.700%, 09/15/2049 | 13,000 | 14,411 | |||
Apache Corp. 4.375%, 10/15/2028 | 60,000 | 63,870 | |||
Apple, Inc. | |||||
1.200%, 02/08/2028 | 45,000 | 44,356 | |||
2.650%, 05/11/2050 | 20,000 | 19,637 | |||
APX Group, Inc. 6.750%, 02/15/2027 (C) | 85,000 | 90,627 | |||
Aramark Services, Inc. 6.375%, 05/01/2025 (C) | 170,000 | 180,625 | |||
Arches Buyer, Inc. 6.125%, 12/01/2028 (C) | 140,000 | 144,200 | |||
AssuredPartners, Inc. 5.625%, 01/15/2029 (C) | 180,000 | 180,000 | |||
AT&T, Inc. | |||||
2.300%, 06/01/2027 | 30,000 | 31,029 | |||
3.500%, 06/01/2041 | 20,000 | 20,775 | |||
3.500%, 09/15/2053 (C) | 48,000 | 48,224 | |||
AutoZone, Inc. 1.650%, 01/15/2031 | 30,000 | 28,540 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
United States (continued) | |||||
Bank of America Corp. (2.087% to 6-14-28, then SOFR + 1.060%) 06/14/2029 | $ | 42,000 | $ | 42,340 | |
Bank of America Corp. (2.676% to 6-19-40, then SOFR + 1.930%) 06/19/2041 | 56,000 | 54,348 | |||
Bank of America Corp. (3.093% to 10-1-24, then 3 month LIBOR + 1.090%) 10/01/2025 | 25,000 | 26,632 | |||
Bank of America Corp. (4.443% to 1-20-47, then 3 month LIBOR + 1.990%) 01/20/2048 | 25,000 | 30,995 | |||
BAT Capital Corp. | |||||
3.222%, 08/15/2024 | 45,000 | 47,797 | |||
4.390%, 08/15/2037 | 37,000 | 39,896 | |||
4.906%, 04/02/2030 | 44,000 | 50,549 | |||
Bausch Health Companies, Inc. | |||||
4.875%, 06/01/2028 (C) | 40,000 | 40,940 | |||
5.250%, 01/30/2030 (C) | 185,000 | 172,050 | |||
BCPE Ulysses Intermediate, Inc. (7.750% Cash or 8.500% PIK) 7.750%, 04/01/2027 (C) | 59,000 | 60,475 | |||
Beacon Roofing Supply, Inc. 4.125%, 05/15/2029 (C) | 95,000 | 94,757 | |||
Belo Corp. 7.250%, 09/15/2027 | 98,000 | 113,680 | |||
Berkshire Hathaway Energy Company 2.850%, 05/15/2051 | 24,000 | 23,220 | |||
Black Knight InfoServ LLC 3.625%, 09/01/2028 (C) | 675,000 | 671,598 | |||
Blue Racer Midstream LLC 7.625%, 12/15/2025 (C) | 10,000 | 10,837 | |||
Bon Secours Mercy Health, Inc. 2.095%, 06/01/2031 | 23,000 | 22,788 | |||
Booz Allen Hamilton, Inc. 3.875%, 09/01/2028 (C) | 640,000 | 652,800 | |||
Boston Gas Company 3.001%, 08/01/2029 (C) | 105,000 | 110,503 | |||
Boston Scientific Corp. 4.700%, 03/01/2049 | 15,000 | 19,184 | |||
Boyd Gaming Corp. 8.625%, 06/01/2025 (C) | 145,000 | 159,844 | |||
BP Capital Markets America, Inc. | |||||
2.772%, 11/10/2050 | 30,000 | 27,782 | |||
3.379%, 02/08/2061 | 200,000 | 201,063 | |||
Brandywine Operating Partnership LP 4.550%, 10/01/2029 | 20,000 | 22,406 | |||
Brighthouse Financial, Inc. 5.625%, 05/15/2030 | 22,000 | 26,768 | |||
Brixmor Operating Partnership LP 3.900%, 03/15/2027 | 30,000 | 32,917 | |||
Broadcom Corp. 3.875%, 01/15/2027 | 70,000 | 77,348 | |||
Broadcom, Inc. 4.300%, 11/15/2032 | 170,000 | 193,583 | |||
Buckeye Partners LP 4.500%, 03/01/2028 (C) | 185,000 | 189,682 | |||
Builders FirstSource, Inc. 5.000%, 03/01/2030 (C) | 479,000 | 503,645 | |||
BWX Technologies, Inc. 4.125%, 06/30/2028 (C) | 170,000 | 173,188 | |||
Caesars Entertainment, Inc. 8.125%, 07/01/2027 (C) | 125,000 | 139,025 |
The accompanying notes are an integral part of the financial statements. | 63 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
United States (continued) | |||||
Carnival Corp. | |||||
7.625%, 03/01/2026 (C) | $ | 120,000 | $ | 130,350 | |
11.500%, 04/01/2023 (C) | 125,000 | 140,675 | |||
Carrier Global Corp. 3.577%, 04/05/2050 | 22,000 | 23,330 | |||
CCO Holdings LLC 5.375%, 06/01/2029 (C) | 108,000 | 118,055 | |||
CDW LLC 3.250%, 02/15/2029 | 649,000 | 657,567 | |||
CenterPoint Energy Houston Electric LLC 2.350%, 04/01/2031 | 45,000 | 46,136 | |||
CF Industries, Inc. | |||||
4.950%, 06/01/2043 | 140,000 | 165,493 | |||
5.375%, 03/15/2044 | 20,000 | 24,784 | |||
Charter Communications Operating LLC 3.700%, 04/01/2051 | 38,000 | 37,585 | |||
Cimarex Energy Company 4.375%, 06/01/2024 | 30,000 | 32,653 | |||
Citigroup, Inc. 5.300%, 05/06/2044 | 10,000 | 13,466 | |||
Citigroup, Inc. (3.106% to 4-8-25, then SOFR + 2.842%) 04/08/2026 | 65,000 | 69,563 | |||
Citigroup, Inc. (4.412% to 3-31-30, then SOFR + 3.914%) 03/31/2031 | 20,000 | 23,353 | |||
Citigroup, Inc. (4.700% to 1-30-25, then SOFR + 3.234%) 01/30/2025 (D) | 380,000 | 392,103 | |||
Cleco Corporate Holdings LLC 4.973%, 05/01/2046 | 4,000 | 4,782 | |||
Comcast Corp. | |||||
2.800%, 01/15/2051 | 12,000 | 11,546 | |||
3.750%, 04/01/2040 | 40,000 | 45,091 | |||
CommonSpirit Health | |||||
2.782%, 10/01/2030 | 30,000 | 31,131 | |||
3.817%, 10/01/2049 | 115,000 | 128,825 | |||
Commonwealth Edison Company 3.125%, 03/15/2051 | 23,000 | 24,009 | |||
Community Health Network, Inc. 3.099%, 05/01/2050 | 220,000 | 218,815 | |||
Community Health Systems, Inc. | |||||
4.750%, 02/15/2031 (C) | 25,000 | 25,094 | |||
6.000%, 01/15/2029 (C) | 50,000 | 53,500 | |||
Compass Group Diversified Holdings LLC 5.250%, 04/15/2029 (C) | 75,000 | 78,000 | |||
Conagra Brands, Inc. 5.400%, 11/01/2048 | 165,000 | 221,495 | |||
Consolidated Communications, Inc. 6.500%, 10/01/2028 (C) | 109,000 | 117,257 | |||
Continental Resources, Inc. 4.500%, 04/15/2023 | 25,000 | 26,015 | |||
CP Atlas Buyer, Inc. 7.000%, 12/01/2028 (C) | 30,000 | 31,088 | |||
Credit Acceptance Corp. 6.625%, 03/15/2026 | 160,000 | 168,400 | |||
CSC Holdings LLC 3.375%, 02/15/2031 (C) | 200,000 | 188,982 | |||
CVS Health Corp. | |||||
4.780%, 03/25/2038 | 18,000 | 22,144 | |||
5.050%, 03/25/2048 | 20,000 | 25,978 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
United States (continued) | |||||
Deutsche Bank AG (2.222% to 9-18-23, then SOFR + 2.159%) 09/18/2024 | $ | 150,000 | $ | 154,053 | |
Diamondback Energy, Inc. 4.750%, 05/31/2025 | 30,000 | 33,778 | |||
Discovery Communications LLC 5.000%, 09/20/2037 | 20,000 | 24,269 | |||
DISH DBS Corp. 5.125%, 06/01/2029 (C) | 61,000 | 60,233 | |||
Dollar General Corp. 4.125%, 05/01/2028 | 45,000 | 51,534 | |||
Dominion Energy South Carolina, Inc. | |||||
5.300%, 05/15/2033 | 10,000 | 12,970 | |||
6.625%, 02/01/2032 | 10,000 | 13,918 | |||
DT Midstream, Inc. | |||||
4.125%, 06/15/2029 (C) | 60,000 | 60,920 | |||
4.375%, 06/15/2031 (C) | 70,000 | 71,525 | |||
Duke Energy Corp. 3.300%, 06/15/2041 | 100,000 | 102,433 | |||
Duke Realty LP 1.750%, 02/01/2031 | 125,000 | 119,900 | |||
Eagle Materials, Inc. 2.500%, 07/01/2031 (E) | 34,000 | 33,684 | |||
Embarq Corp. 7.995%, 06/01/2036 | 25,000 | 28,341 | |||
Enact Holdings, Inc. 6.500%, 08/15/2025 (C) | 100,000 | 110,220 | |||
Endure Digital, Inc. 6.000%, 02/15/2029 (C) | 190,000 | 188,100 | |||
Energizer Holdings, Inc. 4.375%, 03/31/2029 (C) | 180,000 | 180,185 | |||
Energy Transfer LP | |||||
4.200%, 04/15/2027 | 15,000 | 16,566 | |||
4.750%, 01/15/2026 | 20,000 | 22,516 | |||
5.000%, 05/15/2050 | 10,000 | 11,558 | |||
EnLink Midstream LLC 5.625%, 01/15/2028 (C) | 114,000 | 120,428 | |||
Equifax, Inc. 2.600%, 12/15/2025 | 10,000 | 10,524 | |||
Evergy Metro, Inc. | |||||
3.650%, 08/15/2025 | 45,000 | 49,401 | |||
4.200%, 03/15/2048 | 10,000 | 12,068 | |||
Exelon Corp. | |||||
4.050%, 04/15/2030 | 27,000 | 30,751 | |||
4.450%, 04/15/2046 | 5,000 | 6,062 | |||
FirstCash, Inc. 4.625%, 09/01/2028 (C) | 696,000 | 727,564 | |||
Flex Acquisition Company, Inc. 7.875%, 07/15/2026 (C) | 100,000 | 104,000 | |||
Flex, Ltd. 4.875%, 05/12/2030 | 130,000 | 150,860 | |||
Freedom Mortgage Corp. | |||||
6.625%, 01/15/2027 (C) | 185,000 | 186,156 | |||
7.625%, 05/01/2026 (C) | 70,000 | 72,870 | |||
8.125%, 11/15/2024 (C) | 199,000 | 205,716 | |||
Frontier Communications Holdings LLC | |||||
5.875%, 10/15/2027 (C) | 75,000 | 80,344 | |||
6.750%, 05/01/2029 (C) | 160,000 | 170,123 | |||
General Electric Company 6.750%, 03/15/2032 | 15,000 | 20,792 | |||
General Motors Financial Company, Inc. | |||||
2.400%, 04/10/2028 | 45,000 | 45,684 | |||
4.350%, 01/17/2027 | 32,000 | 35,977 | |||
Genworth Holdings, Inc. | |||||
6.500%, 06/15/2034 | 65,000 | 66,088 |
The accompanying notes are an integral part of the financial statements. | 64 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
United States (continued) | |||||
Genworth Holdings, Inc. (continued) | |||||
7.625%, 09/24/2021 | $ | 55,000 | $ | 55,847 | |
Gilead Sciences, Inc. 2.800%, 10/01/2050 | 35,000 | 33,712 | |||
Global Payments, Inc. 3.200%, 08/15/2029 | 31,000 | 33,181 | |||
Graphic Packaging International LLC 3.500%, 03/01/2029 (C) | 190,000 | 188,233 | |||
Gray Oak Pipeline LLC | |||||
2.600%, 10/15/2025 (C) | 46,000 | 47,253 | |||
3.450%, 10/15/2027 (C) | 285,000 | 299,544 | |||
Gray Television, Inc. 4.750%, 10/15/2030 (C) | 95,000 | 94,670 | |||
GTCR AP Finance, Inc. 8.000%, 05/15/2027 (C) | 50,000 | 53,250 | |||
GYP Holdings III Corp. 4.625%, 05/01/2029 (C) | 90,000 | 90,338 | |||
Hawaiian Brand Intellectual Property, Ltd. 5.750%, 01/20/2026 (C) | 119,171 | 127,943 | |||
Healthpeak Properties, Inc. 3.500%, 07/15/2029 | 40,000 | 44,168 | |||
Hess Corp. 5.800%, 04/01/2047 | 20,000 | 26,061 | |||
Hewlett Packard Enterprise Company 6.350%, 10/15/2045 | 30,000 | 40,301 | |||
Hightower Holding LLC 6.750%, 04/15/2029 (C) | 210,000 | 214,200 | |||
Hologic, Inc. 3.250%, 02/15/2029 (C) | 185,000 | 183,381 | |||
Home Point Capital, Inc. 5.000%, 02/01/2026 (C) | 729,000 | 679,793 | |||
HUB International, Ltd. 7.000%, 05/01/2026 (C) | 84,000 | 87,116 | |||
Huntsman International LLC 4.500%, 05/01/2029 | 20,000 | 22,739 | |||
Intercontinental Exchange, Inc. | |||||
2.650%, 09/15/2040 | 34,000 | 32,585 | |||
4.250%, 09/21/2048 | 135,000 | 158,940 | |||
JetBlue 2020-1 Class A Pass Through Trust 4.000%, 11/15/2032 | 261,166 | 287,914 | |||
JPMorgan Chase & Co. 5.500%, 10/15/2040 | 25,000 | 34,263 | |||
JPMorgan Chase & Co. (2.301% to 10-15-24, then SOFR + 1.160%) 10/15/2025 | 60,000 | 62,491 | |||
JPMorgan Chase & Co. (3.109% to 4-22-50, then SOFR + 2.440%) 04/22/2051 | 15,000 | 15,476 | |||
JPMorgan Chase & Co. (3.882% to 7-24-37, then 3 month LIBOR + 1.360%) 07/24/2038 | 25,000 | 28,799 | |||
JPMorgan Chase & Co. (4.600% to 2-1-25, then SOFR + 3.125%) 02/01/2025 (D) | 480,000 | 497,424 | |||
Kaiser Foundation Hospitals 2.810%, 06/01/2041 | 10,000 | 10,199 | |||
Kraft Heinz Foods Company 4.250%, 03/01/2031 | 30,000 | 34,080 | |||
L Brands, Inc. 7.500%, 06/15/2029 | 102,000 | 120,105 | |||
L3Harris Technologies, Inc. 3.850%, 06/15/2023 | 45,000 | 47,831 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
United States (continued) | |||||
Ladder Capital Finance Holdings LLLP | |||||
4.250%, 02/01/2027 (C) | $ | 51,000 | $ | 50,928 | |
5.250%, 10/01/2025 (C) | 130,000 | 132,275 | |||
Lamar Media Corp. 3.625%, 01/15/2031 (C) | 190,000 | 185,725 | |||
LBM Acquisition LLC 6.250%, 01/15/2029 (C) | 254,000 | 255,956 | |||
LD Holdings Group LLC | |||||
6.125%, 04/01/2028 (C) | 113,000 | 112,859 | |||
6.500%, 11/01/2025 (C) | 230,000 | 236,164 | |||
Lear Corp. 3.800%, 09/15/2027 | 17,000 | 18,737 | |||
Lennar Corp. 4.750%, 11/29/2027 | 155,000 | 179,160 | |||
LGI Homes, Inc. 4.000%, 07/15/2029 (C) | 126,000 | 126,630 | |||
Liberty Mutual Group, Inc. 4.300%, 02/01/2061 (C) | 235,000 | 214,663 | |||
Lincoln National Corp. 3.400%, 01/15/2031 | 30,000 | 32,760 | |||
Macy's Retail Holdings LLC 5.875%, 04/01/2029 (C) | 10,000 | 10,754 | |||
Magic Mergeco, Inc. 7.875%, 05/01/2029 (C) | 299,000 | 308,344 | |||
Marvell Technology, Inc. 2.950%, 04/15/2031 (C) | 95,000 | 98,455 | |||
Matador Resources Company 5.875%, 09/15/2026 | 147,000 | 151,410 | |||
McKesson Corp. 4.750%, 05/30/2029 | 145,000 | 171,837 | |||
MGIC Investment Corp. 5.250%, 08/15/2028 | 100,000 | 106,000 | |||
Microsoft Corp. 3.450%, 08/08/2036 | 25,000 | 28,902 | |||
MidAmerican Energy Company 3.150%, 04/15/2050 | 22,000 | 23,498 | |||
Midcap Financial Issuer Trust | |||||
5.625%, 01/15/2030 (C) | 375,000 | 376,448 | |||
6.500%, 05/01/2028 (C) | 60,000 | 62,792 | |||
Molson Coors Beverage Company 4.200%, 07/15/2046 | 40,000 | 44,562 | |||
Morgan Stanley | |||||
3.950%, 04/23/2027 | 10,000 | 11,174 | |||
4.875%, 11/01/2022 | 10,000 | 10,565 | |||
Morgan Stanley (0.790% to 5-30-24, then SOFR + 0.525%) 05/30/2025 | 20,000 | 19,929 | |||
Morgan Stanley (3.622% to 4-1-30, then SOFR + 3.120%) 04/01/2031 | 40,000 | 44,650 | |||
MSCI, Inc. 3.875%, 02/15/2031 (C) | 980,013 | 1,016,980 | |||
Nasdaq, Inc. 0.875%, 02/13/2030 | EUR | 100,000 | 120,221 | ||
National Retail Properties, Inc. 4.300%, 10/15/2028 | $ | 30,000 | 33,965 | ||
Nationstar Mortgage Holdings, Inc. | |||||
5.125%, 12/15/2030 (C) | 120,000 | 119,400 | |||
5.500%, 08/15/2028 (C) | 85,000 | 85,691 | |||
NMI Holdings, Inc. 7.375%, 06/01/2025 (C) | 35,000 | 40,109 | |||
Nordstrom, Inc. 2.300%, 04/08/2024 (C) | 35,000 | 35,110 | |||
Northern States Power Company 2.600%, 06/01/2051 | 25,000 | 23,745 |
The accompanying notes are an integral part of the financial statements. | 65 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
United States (continued) | |||||
Novant Health, Inc. 2.637%, 11/01/2036 | $ | 15,000 | $ | 15,280 | |
Novelis Corp. 4.750%, 01/30/2030 (C) | 110,000 | 115,500 | |||
Occidental Petroleum Corp. | |||||
3.000%, 02/15/2027 | 70,000 | 69,475 | |||
4.400%, 08/15/2049 | 75,000 | 72,000 | |||
Oglethorpe Power Corp. | |||||
3.750%, 08/01/2050 | 4,000 | 4,222 | |||
5.250%, 09/01/2050 | 4,000 | 5,040 | |||
Oncor Electric Delivery Company LLC 2.750%, 05/15/2030 | 50,000 | 53,134 | |||
OneMain Finance Corp. 6.625%, 01/15/2028 | 50,000 | 57,318 | |||
Open Text Holdings, Inc. 4.125%, 02/15/2030 (C) | 175,000 | 178,465 | |||
Oracle Corp. | |||||
3.600%, 04/01/2050 | 25,000 | 25,671 | |||
3.950%, 03/25/2051 | 140,000 | 152,808 | |||
4.100%, 03/25/2061 | 105,000 | 116,413 | |||
Otis Worldwide Corp. 3.112%, 02/15/2040 | 20,000 | 20,671 | |||
Pacific Gas & Electric Company | |||||
3.300%, 08/01/2040 | 140,000 | 126,430 | |||
4.500%, 07/01/2040 | 125,000 | 125,061 | |||
Par Pharmaceutical, Inc. 7.500%, 04/01/2027 (C) | 36,000 | 36,804 | |||
PDC Energy, Inc. 5.750%, 05/15/2026 | 460,000 | 480,553 | |||
PennyMac Financial Services, Inc. 4.250%, 02/15/2029 (C) | 615,000 | 592,497 | |||
Penske Truck Leasing Company LP 4.250%, 01/17/2023 (C) | 35,000 | 36,916 | |||
Phillips 66 Partners LP 3.150%, 12/15/2029 | 50,000 | 52,516 | |||
Plains All American Pipeline LP 3.800%, 09/15/2030 | 55,000 | 58,853 | |||
Post Holdings, Inc. | |||||
4.500%, 09/15/2031 (C) | 175,000 | 174,711 | |||
4.625%, 04/15/2030 (C) | 170,000 | 172,861 | |||
5.625%, 01/15/2028 (C) | 112,000 | 118,720 | |||
Presidio Holdings, Inc. 8.250%, 02/01/2028 (C) | 275,000 | 299,063 | |||
Range Resources Corp. 8.250%, 01/15/2029 (C) | 5,000 | 5,638 | |||
Rattler Midstream LP 5.625%, 07/15/2025 (C) | 165,000 | 173,456 | |||
Reynolds American, Inc. | |||||
4.850%, 09/15/2023 | 20,000 | 21,813 | |||
5.850%, 08/15/2045 | 580,000 | 710,184 | |||
Rockies Express Pipeline LLC 7.500%, 07/15/2038 (C) | 155,000 | 171,275 | |||
Royalty Pharma PLC 3.300%, 09/02/2040 (C) | 34,000 | 34,238 | |||
salesforce.com, Inc. | |||||
2.700%, 07/15/2041 (E) | 30,000 | 30,124 | |||
3.050%, 07/15/2061 (E) | 135,000 | 136,785 | |||
San Diego Gas & Electric Company 3.320%, 04/15/2050 | 40,000 | 42,314 | |||
Santander Holdings USA, Inc. 3.450%, 06/02/2025 | 35,000 | 37,612 | |||
Scripps Escrow II, Inc. 5.375%, 01/15/2031 (C) | 65,000 | 64,795 | |||
Service Properties Trust 4.950%, 10/01/2029 | 190,000 | 187,388 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
United States (continued) | |||||
Signal Parent, Inc. 6.125%, 04/01/2029 (C) | $ | 167,000 | $ | 160,320 | |
Sirius XM Radio, Inc. 4.125%, 07/01/2030 (C) | 85,000 | 85,755 | |||
SLM Corp. 4.200%, 10/29/2025 | 57,000 | 61,275 | |||
Southern California Edison Company | |||||
3.650%, 02/01/2050 | 125,000 | 125,011 | |||
4.125%, 03/01/2048 | 120,000 | 127,882 | |||
Specialty Building Products Holdings LLC 6.375%, 09/30/2026 (C) | 75,000 | 78,541 | |||
Spirit AeroSystems, Inc. 5.500%, 01/15/2025 (C) | 25,000 | 26,563 | |||
SRM Escrow Issuer LLC 6.000%, 11/01/2028 (C) | 120,000 | 127,200 | |||
SRS Distribution, Inc. 6.125%, 07/01/2029 (C) | 75,000 | 77,183 | |||
Standard Industries, Inc. 4.375%, 07/15/2030 (C) | 609,000 | 628,031 | |||
Stevens Holding Company, Inc. 6.125%, 10/01/2026 (C) | 155,000 | 166,238 | |||
STL Holding Company LLC 7.500%, 02/15/2026 (C) | 100,000 | 105,250 | |||
Sutter Health 4.091%, 08/15/2048 | 105,000 | 125,810 | |||
Synchrony Financial | |||||
3.700%, 08/04/2026 | 45,000 | 49,134 | |||
4.375%, 03/19/2024 | 10,000 | 10,884 | |||
Sysco Corp. 6.600%, 04/01/2040 to 04/01/2050 | 153,000 | 226,575 | |||
Targa Resources Partners LP 5.375%, 02/01/2027 | 55,000 | 57,269 | |||
Teledyne Technologies, Inc. 2.750%, 04/01/2031 | 45,000 | 46,222 | |||
Terex Corp. 5.000%, 05/15/2029 (C) | 188,000 | 195,990 | |||
The Brooklyn Union Gas Company 4.273%, 03/15/2048 (C) | 105,000 | 119,477 | |||
The Charles Schwab Corp. 0.750%, 03/18/2024 | 40,000 | 40,226 | |||
The Charles Schwab Corp. (5.000% to 12-1-27, then 3 month LIBOR + 2.575%) 12/01/2027 (D) | 175,000 | 184,844 | |||
The Dun & Bradstreet Corp. 10.250%, 02/15/2027 (C) | 90,000 | 99,381 | |||
The Home Depot, Inc. 2.375%, 03/15/2051 | 35,000 | 32,372 | |||
The Southern Company 3.700%, 04/30/2030 | 15,000 | 16,541 | |||
The Southern Company (3.750% to 9-15-26, then 5 Year CMT + 2.915%) 09/15/2051 | 185,000 | 186,184 | |||
The Toledo Hospital 5.750%, 11/15/2038 | 100,000 | 121,725 | |||
The University of Chicago 2.761%, 04/01/2045 | 25,000 | 25,358 | |||
The William Carter Company 5.625%, 03/15/2027 (C) | 618,000 | 650,260 | |||
The Williams Companies, Inc. 3.500%, 11/15/2030 | 42,000 | 45,840 | |||
T-Mobile USA, Inc. | |||||
3.750%, 04/15/2027 | 30,000 | 33,150 | |||
4.500%, 04/15/2050 | 19,000 | 22,624 |
The accompanying notes are an integral part of the financial statements. | 66 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
United States (continued) | |||||
TopBuild Corp. 3.625%, 03/15/2029 (C) | $ | 220,000 | $ | 217,800 | |
TransDigm, Inc. 6.250%, 03/15/2026 (C) | 170,000 | 179,350 | |||
TreeHouse Foods, Inc. 4.000%, 09/01/2028 | 90,000 | 89,325 | |||
Tri Pointe Homes, Inc. 5.700%, 06/15/2028 | 165,000 | 181,913 | |||
United Natural Foods, Inc. 6.750%, 10/15/2028 (C) | 113,000 | 121,606 | |||
United States Steel Corp. 6.875%, 03/01/2029 | 195,000 | 208,650 | |||
United Wholesale Mortgage LLC 5.500%, 11/15/2025 to 04/15/2029 (C) | 931,000 | 934,827 | |||
UnitedHealth Group, Inc. 3.750%, 10/15/2047 | 25,000 | 28,723 | |||
Unum Group | |||||
4.000%, 03/15/2024 | 34,000 | 36,649 | |||
4.125%, 06/15/2051 | 155,000 | 156,382 | |||
VEREIT Operating Partnership LP 3.400%, 01/15/2028 | 10,000 | 10,875 | |||
Verizon Communications, Inc. | |||||
2.100%, 03/22/2028 | 35,000 | 35,732 | |||
3.400%, 03/22/2041 | 20,000 | 21,157 | |||
4.000%, 03/22/2050 | 10,000 | 11,484 | |||
4.016%, 12/03/2029 | 65,000 | 74,530 | |||
ViacomCBS, Inc. 5.250%, 04/01/2044 | 20,000 | 25,584 | |||
Victoria's Secret & Company 4.625%, 07/15/2029 (C) | 126,000 | 126,000 | |||
Victors Merger Corp. 6.375%, 05/15/2029 (C) | 275,000 | 277,063 | |||
Viper Energy Partners LP 5.375%, 11/01/2027 (C) | 640,000 | 666,694 | |||
Wabtec Corp. 3.200%, 06/15/2025 | 80,000 | 85,080 | |||
Wells Fargo & Company 5.375%, 11/02/2043 | 20,000 | 26,673 | |||
Wells Fargo & Company (5.013% to 4-4-50, then SOFR + 4.502%) 04/04/2051 | 15,000 | 20,548 | |||
Wells Fargo & Company (5.875% to 6-15-25, then 3 month LIBOR + 3.990%) 06/15/2025 (D) | 239,000 | 267,658 | |||
Xcel Energy, Inc. 3.400%, 06/01/2030 | 27,000 | 29,596 | |||
Xerox Holdings Corp. 5.500%, 08/15/2028 (C) | 175,000 | 181,823 | |||
Yum! Brands, Inc. 7.750%, 04/01/2025 (C) | 70,000 | 76,125 | |||
Zoetis, Inc. 3.000%, 05/15/2050 | 25,000 | 25,792 | |||
34,202,720 | |||||
TOTAL CORPORATE BONDS (Cost $40,760,154) | $ | 41,979,685 | |||
CONVERTIBLE BONDS - 1.6% | |||||
Israel - 0.0% | |||||
SolarEdge Technologies, Inc., Zero Coupon, 0.000%, 09/15/2025 (C) | 20,000 | 25,050 | |||
Italy - 0.1% | |||||
Nexi SpA, 1.750%, 04/24/2027 | EUR | 100,000 | 146,418 | ||
Spain - 0.0% | |||||
Cellnex Telecom SA, 0.750%, 11/20/2031 | 100,000 | 115,848 |
Shares or Principal Amount | Value | ||||
CONVERTIBLE BONDS (continued) | |||||
United Kingdom - 0.2% | |||||
Endeavour Mining Corp., 3.000%, 02/15/2023 (C) | $ | 400,000 | $ | 452,520 | |
United States - 1.3% | |||||
Airbnb, Inc., 1.248%, 03/15/2026 (C)(F) | 105,000 | 98,963 | |||
Apellis Pharmaceuticals, Inc., 3.500%, 09/15/2026 | 60,000 | 110,625 | |||
Bandwidth, Inc., 0.250%, 03/01/2026 | 25,000 | 40,550 | |||
Bandwidth, Inc., 0.500%, 04/01/2028 (C) | 90,000 | 92,475 | |||
Bloomin' Brands, Inc., 5.000%, 05/01/2025 | 8,000 | 19,395 | |||
DraftKings, Inc., 1.544%, 03/15/2028 (C)(F) | 20,000 | 18,020 | |||
Etsy, Inc., 0.125%, 10/01/2026 | 12,000 | 28,752 | |||
FTI Consulting, Inc., 2.000%, 08/15/2023 | 25,000 | 35,675 | |||
JetBlue Airways Corp., 0.500%, 04/01/2026 (C) | 20,000 | 19,930 | |||
John Bean Technologies Corp., 0.250%, 05/15/2026 (C) | 24,000 | 25,464 | |||
Lumentum Holdings, Inc., 0.500%, 12/15/2026 | 95,000 | 102,486 | |||
Medallia, Inc., 0.125%, 09/15/2025 (C) | 85,000 | 92,650 | |||
MicroStrategy, Inc., 5.265%, 02/15/2027 (C)(F) | 420,000 | 313,320 | |||
NuVasive, Inc., 0.375%, 03/15/2025 | 170,000 | 167,556 | |||
Pebblebrook Hotel Trust, 1.750%, 12/15/2026 | 104,000 | 117,936 | |||
Pegasystems, Inc., 0.750%, 03/01/2025 | 80,000 | 95,300 | |||
Penn National Gaming, Inc., 2.750%, 05/15/2026 | 8,000 | 26,695 | |||
Pioneer Natural Resources Company, 0.250%, 05/15/2025 | 65,000 | 103,708 | |||
Rapid7, Inc., 0.250%, 03/15/2027 (C) | 85,000 | 94,299 | |||
Redfin Corp., 0.500%, 04/01/2027 (C) | 100,000 | 98,650 | |||
Repay Holdings Corp., 0.216%, 02/01/2026 (C)(F) | 86,000 | 85,140 | |||
Revance Therapeutics, Inc., 1.750%, 02/15/2027 | 75,000 | 87,499 | |||
RingCentral, Inc., Zero Coupon, 0.000%, 03/15/2026 (C) | 95,000 | 96,069 | |||
Southwest Airlines Company, 1.250%, 05/01/2025 | 17,000 | 25,744 | |||
Splunk, Inc., 1.125%, 06/15/2027 | 125,000 | 121,797 | |||
Spotify USA, Inc., 1.395%, 03/15/2026 (C)(F) | 90,000 | 84,240 | |||
Square, Inc., 0.125%, 03/01/2025 | 15,000 | 30,891 | |||
Tandem Diabetes Care, Inc., 1.500%, 05/01/2025 (C) | 75,000 | 85,223 | |||
The Middleby Corp., 1.000%, 09/01/2025 (C) | 101,000 | 145,390 | |||
Twitter, Inc., 0.997%, 03/15/2026 (C)(F) | 100,000 | 95,375 | |||
Uber Technologies, Inc., Zero Coupon, 0.000%, 12/15/2025 (C) | 30,000 | 30,420 | |||
Workday, Inc., 0.250%, 10/01/2022 | 55,000 | 90,921 | |||
2,681,158 | |||||
TOTAL CONVERTIBLE BONDS (Cost $3,188,728) | $ | 3,420,994 | |||
MUNICIPAL BONDS - 3.4% | |||||
United States - 3.4% | |||||
Chicago Transit Authority (Illinois) 3.912%, 12/01/2040 | 60,000 | 67,613 | |||
Chicago Transit Authority (Illinois) 3.502%, 12/01/2033 | 435,000 | 481,213 |
The accompanying notes are an integral part of the financial statements. | 67 |
Shares or Principal Amount | Value | ||||
MUNICIPAL BONDS (continued) | |||||
United States (continued) | |||||
Chicago Transit Authority, Series A (Illinois) 6.899%, 12/01/2040 | $ | 55,000 | $ | 78,235 | |
City & County of Denver Company Airport System Revenue (Colorado) 2.717%, 11/15/2034 | 105,000 | 108,491 | |||
City & County of Denver Company Airport System Revenue (Colorado) 2.867%, 11/15/2037 | 75,000 | 76,998 | |||
City of Austin Airport System Revenue (Texas) 5.000%, 11/15/2032 | 100,000 | 128,839 | |||
City of Austin Airport System Revenue (Texas) 5.000%, 11/15/2044 | 240,000 | 301,605 | |||
City of Houston Airport System Revenue (Texas) 2.385%, 07/01/2031 | 240,000 | 245,477 | |||
City of Tampa (Florida) 2.780%, 09/01/2036 (F) | 100,000 | 65,566 | |||
Commonwealth of Massachusetts, GO 2.514%, 07/01/2041 | 625,000 | 630,414 | |||
County of Broward Port Facilities Revenue (Florida) 5.000%, 09/01/2033 | 70,000 | 90,269 | |||
County of Broward Port Facilities Revenue (Florida) 5.000%, 09/01/2029 | 100,000 | 131,041 | |||
County of Broward Port Facilities Revenue (Florida) 5.000%, 09/01/2028 | 150,000 | 191,950 | |||
County of Miami-Dade Aviation Revenue (Florida) 2.786%, 10/01/2037 | 200,000 | 201,254 | |||
County of Miami-Dade Aviation Revenue (Florida) 4.000%, 10/01/2036 | 115,000 | 138,398 | |||
County of Miami-Dade Aviation Revenue (Florida) 3.270%, 10/01/2041 | 50,000 | 51,431 | |||
Dallas Fort Worth International Airport (Texas) 3.089%, 11/01/2040 | 130,000 | 134,218 | |||
District of Columbia 3.432%, 04/01/2042 | 405,000 | 427,423 | |||
Grand Parkway Transportation Corp. (Texas) 3.236%, 10/01/2052 | 190,000 | 194,274 | |||
Greater Orlando Aviation Authority (Florida) 5.000%, 10/01/2028 | 150,000 | 176,158 | |||
Iowa Finance Authority 3.250%, 07/01/2050 | 50,000 | 54,951 | |||
Metropolitan Transportation Authority (New York) 5.000%, 11/15/2050 | 110,000 | 137,101 | |||
Metropolitan Transportation Authority (New York) 6.668%, 11/15/2039 | 15,000 | 21,831 | |||
Metropolitan Transportation Authority (New York) 5.000%, 11/15/2029 | 100,000 | 130,664 | |||
Michigan Strategic Fund 3.225%, 09/01/2047 (E) | 75,000 | 76,124 |
Shares or Principal Amount | Value | ||||
MUNICIPAL BONDS (continued) | |||||
United States (continued) | |||||
New Jersey Transportation Trust Fund Authority 4.000%, 06/15/2045 | $ | 50,000 | $ | 58,343 | |
New York City Transitional Finance Authority 4.000%, 05/01/2045 | 75,000 | 88,996 | |||
Orange County Convention Center (Florida) 5.000%, 10/01/2031 | 55,000 | 64,495 | |||
Port Authority of New York & New Jersey 4.000%, 03/15/2030 | 230,000 | 273,568 | |||
Port Authority of New York & New Jersey 5.000%, 09/15/2033 | 140,000 | 172,857 | |||
Port Authority of New York & New Jersey 4.823%, 06/01/2045 | 140,000 | 158,344 | |||
Port Authority of New York & New Jersey 1.086%, 07/01/2023 | 25,000 | 25,318 | |||
Port of Seattle (Washington) 5.000%, 04/01/2039 | 190,000 | 234,281 | |||
Port of Seattle (Washington) 5.000%, 10/01/2031 | 100,000 | 118,086 | |||
San Diego County Regional Transportation Commission (California) 3.248%, 04/01/2048 | 75,000 | 78,052 | |||
San Francisco City & County Airport Commission (California) 5.000%, 05/01/2050 | 325,000 | 400,693 | |||
San Francisco City & County Airport Commission (California) 4.000%, 05/01/2039 | 160,000 | 189,514 | |||
San Francisco City & County Airport Commission (California) 2.958%, 05/01/2051 | 155,000 | 152,772 | |||
State of Hawaii Airports System Revenue 4.000%, 07/01/2035 | 100,000 | 120,063 | |||
State of Hawaii Airports System Revenue 5.000%, 07/01/2034 | 295,000 | 379,641 | |||
Triborough Bridge & Tunnel Authority (New York) 5.000%, 11/15/2054 | 140,000 | 179,616 | |||
University of California 1.316%, 05/15/2027 | 45,000 | 45,137 | |||
Wisconsin Center District 4.173%, 12/15/2050 | 65,000 | 70,328 | |||
TOTAL MUNICIPAL BONDS (Cost $6,801,342) | $ | 7,151,642 | |||
TERM LOANS (G) - 8.6% | |||||
France - 0.1% | |||||
CAB SELAS, 2021 EUR Term Loan B (3 month EURIBOR + 3.500%), 3.500%, 01/28/2028 | EUR | 140,000 | 164,967 | ||
Germany - 0.0% | |||||
Birkenstock US BidCo, Inc., USD Term Loan B, TBD 04/27/2028 (H) | $ | 100,000 | 99,958 | ||
Israel - 0.0% | |||||
Playtika Holding Corp., 2021 Term Loan (1 month LIBOR + 2.750%), 2.854%, 03/13/2028 | 99,750 | 99,240 |
The accompanying notes are an integral part of the financial statements. | 68 |
Shares or Principal Amount | Value | ||||
TERM LOANS (G) (continued) | |||||
Luxembourg - 0.2% | |||||
Delta 2 Lux Sarl, 2018 USD Term Loan (1 month LIBOR + 2.500%), 3.500%, 02/01/2024 | $ | 200,000 | $ | 198,782 | |
Jazz Financing Lux Sarl, USD Term Loan (1 month LIBOR + 3.500%), 4.000%, 04/21/2028 | 105,000 | 105,295 | |||
Sunshine Luxembourg VII Sarl, 2021 Term Loan B3 (3 month LIBOR + 3.750%), 4.500%, 10/01/2026 | 99,499 | 99,803 | |||
403,880 | |||||
Netherlands - 0.2% | |||||
Boels Topholding BV, 2020 EUR Term Loan B (3 month EURIBOR + 4.000%), 4.000%, 02/06/2027 | EUR | 155,000 | 182,872 | ||
Telenet Financing USD LLC, 2020 USD Term Loan AR (1 month LIBOR + 2.000%), 2.073%, 04/30/2028 | $ | 200,000 | 197,100 | ||
379,972 | |||||
Sweden - 0.2% | |||||
Verisure Holding AB, 2020 EUR Term Loan B (3 month EURIBOR + 3.500%), 3.500%, 07/20/2026 | EUR | 155,000 | 183,209 | ||
Verisure Holding AB, 2021 EUR Term Loan (3 month EURIBOR + 3.500%), 3.500%, 03/27/2028 | 185,000 | 218,605 | |||
401,814 | |||||
United Kingdom - 0.1% | |||||
Lorca Finco PLC, EUR New Money Term Loan B2 (6 month EURIBOR + 4.250%), 4.250%, 09/17/2027 | 180,000 | 213,488 | |||
United States - 7.8% | |||||
Acrisure LLC, 2020 Term Loan B (3 month LIBOR + 3.500%), 3.604%, 02/15/2027 | $ | 246,875 | 243,994 | ||
Adient U.S. LLC, 2021 Term Loan B (1 month LIBOR + 3.500%), 3.604%, 04/08/2028 | 100,000 | 99,969 | |||
ADMI Corp., 2021 Incremental Term Loan B3, TBD 12/23/2027 (H) | 100,000 | 99,813 | |||
ADMI Corp., 2021 Term Loan B2 (1 month LIBOR + 2.750%), 3.250%, 12/23/2027 | 99,750 | 98,566 | |||
AlixPartners LLP, 2021 USD Term Loan B (1 month LIBOR + 2.750%), 3.250%, 02/04/2028 | 159,600 | 158,869 | |||
Alliance Laundry Systems LLC, Term Loan B (3 month LIBOR + 3.500%), 4.250%, 10/08/2027 | 123,036 | 123,132 | |||
Altra Industrial Motion Corp., 2018 Term Loan B (1 month LIBOR + 2.000%), 2.104%, 10/01/2025 | 82,770 | 82,227 | |||
Amentum Government Services Holdings LLC, Term Loan B (1 month LIBOR + 3.500%), 3.604%, 01/29/2027 | 99,000 | 98,678 | |||
American Airlines, Inc., 2021 Term Loan (3 month LIBOR + 4.750%), 5.500%, 04/20/2028 | 100,000 | 104,175 | |||
APX Group, Inc., 2020 Term Loan (Prime rate + 4.000%), 7.250%, 12/31/2025 | 99,000 | 99,140 | |||
Aramark Services, Inc., 2018 Term Loan B3 (1 month LIBOR + 1.750%), 1.854%, 03/11/2025 | 125,000 | 123,541 |
Shares or Principal Amount | Value | ||||
TERM LOANS (G) (continued) | |||||
United States (continued) | |||||
Aretec Group, Inc., 2018 Term Loan (1 month LIBOR + 4.250%), 4.345%, 10/01/2025 | $ | 196,970 | $ | 196,170 | |
Asurion LLC, 2020 Term Loan B8 (1 month LIBOR + 3.250%), 3.354%, 12/23/2026 | 147,827 | 146,072 | |||
Asurion LLC, 2021 2nd Lien Term Loan B3 (1 month LIBOR + 5.250%), 5.354%, 01/31/2028 | 145,000 | 146,027 | |||
Avantor Funding, Inc., 2020 Incremental Term Loan B4 (1 month LIBOR + 2.250%), 3.250%, 11/08/2027 | 179,100 | 179,025 | |||
Bausch Health Americas, Inc., 2018 Term Loan B (1 month LIBOR + 3.000%), 3.104%, 06/02/2025 | 109,459 | 108,953 | |||
Beacon Roofing Supply, Inc., 2021 Term Loan B (1 month LIBOR + 2.500%), 2.604%, 04/23/2028 | 197,943 | 196,734 | |||
Belron Finance US LLC, 2019 USD Term Loan B3 (3 month LIBOR + 2.250%), 2.438%, 10/30/2026 | 197,494 | 196,074 | |||
Berlin Packaging LLC, 2018 1st Lien Term Loan (1 and 3 month LIBOR + 3.000%), 3.100%, 11/07/2025 | 252,394 | 249,948 | |||
Blackhawk Network Holdings, Inc., 2018 1st Lien Term Loan (1 month LIBOR + 3.000%), 3.104%, 06/15/2025 | 173,657 | 171,511 | |||
Boyd Gaming Corp., Term Loan B3 (1 week LIBOR + 2.250%), 2.338%, 09/15/2023 | 195,904 | 195,585 | |||
Brightview Landscapes LLC, 2018 1st Lien Term Loan B (1 month LIBOR + 2.500%), 2.625%, 08/15/2025 | 98,728 | 98,111 | |||
BY Crown Parent LLC, Term Loan B1 (1 month LIBOR + 3.000%), 4.000%, 02/02/2026 | 99,000 | 98,876 | |||
Caesars Resort Collection LLC, 2020 Term Loan B1 (1 month LIBOR + 4.500%), 4.604%, 07/21/2025 | 168,725 | 169,147 | |||
Change Healthcare Holdings LLC, 2017 Term Loan B (1 month LIBOR + 2.500%), 3.500%, 03/01/2024 | 184,677 | 184,437 | |||
Charter Communications Operating LLC, 2019 Term Loan B2 (1 month LIBOR + 1.750%), 1.860%, 02/01/2027 | 148,116 | 147,005 | |||
Clarios Global LP, 2021 USD Term Loan B (1 month LIBOR + 3.250%), 3.354%, 04/30/2026 | 182,644 | 180,818 | |||
Core & Main LP, 2017 Term Loan B (1 and 3 month LIBOR + 2.750%), 3.750%, 08/01/2024 | 246,803 | 246,418 | |||
Dcert Buyer, Inc., 2019 Term Loan B (1 month LIBOR + 4.000%), 4.104%, 10/16/2026 | 197,500 | 197,583 | |||
Deerfield Dakota Holding LLC, 2020 EUR Term Loan B (1 month EURIBOR + 4.000%), 4.000%, 04/09/2027 | EUR | 297,000 | 353,605 | ||
Deerfield Dakota Holding LLC, 2020 USD Term Loan B (1 month LIBOR + 3.750%), 4.750%, 04/09/2027 | $ | 697,950 | 700,567 | ||
Diamond BC BV, EUR Term Loan (3 month EURIBOR + 3.250%), 3.250%, 09/06/2024 | EUR | 48,160 | 56,874 |
The accompanying notes are an integral part of the financial statements. | 69 |
Shares or Principal Amount | Value | ||||
TERM LOANS (G) (continued) | |||||
United States (continued) | |||||
Diamond BC BV, USD Term Loan (3 month LIBOR + 3.000%), 3.185%, 09/06/2024 | $ | 222,123 | $ | 220,781 | |
DT Midstream, Inc., Term Loan B, TBD 05/25/2028 (H) | 130,000 | 130,116 | |||
E2open LLC, 2020 Term Loan B, TBD 02/04/2028 (H) | 115,000 | 115,000 | |||
EG America LLC, 2021 Term Loan, TBD 03/31/2026 (H) | 100,000 | 100,000 | |||
Elanco Animal Health, Inc., Term Loan B (1 month LIBOR + 1.750%), 1.842%, 08/02/2027 | 290,520 | 285,921 | |||
Element Solutions, Inc., 2019 Term Loan B1 (1 month LIBOR + 2.000%), 2.104%, 01/31/2026 | 197,487 | 197,118 | |||
Endurance International Group Holdings, Inc., Term Loan (3 month LIBOR + 3.500%), 4.250%, 02/10/2028 | 100,000 | 99,458 | |||
Ensemble RCM LLC, Term Loan (3 month LIBOR + 3.750%), 3.936%, 08/03/2026 | 99,494 | 99,515 | |||
Epicor Software Corp., 2020 Term Loan (1 month LIBOR + 3.250%), 4.000%, 07/30/2027 | 135,057 | 134,849 | |||
Flex Acquisition Company, Inc., 2021 Term Loan (3 month LIBOR + 3.500%), 4.000%, 02/23/2028 | 100,000 | 99,521 | |||
Frontier Communications Holdings LLC, 2021 DIP Term Loan B (1 month LIBOR + 3.750%), 4.500%, 05/01/2028 | 99,750 | 99,750 | |||
Gainwell Acquisition Corp., Term Loan B (3 month LIBOR + 4.000%), 4.750%, 10/01/2027 | 114,425 | 114,682 | |||
Go Daddy Operating Company LLC, 2021 Term Loan B4 (1 month LIBOR + 2.000%), 2.104%, 08/10/2027 | 133,650 | 132,752 | |||
Gray Television, Inc., 2018 Term Loan C (1 month LIBOR + 2.500%), 2.592%, 01/02/2026 | 250,000 | 248,658 | |||
Great Outdoors Group LLC, 2021 Term Loan B (6 month LIBOR + 4.250%), 5.000%, 03/06/2028 | 278,600 | 279,297 | |||
Harbor Freight Tools USA, Inc., 2020 Term Loan B (1 month LIBOR + 3.000%), 3.750%, 10/19/2027 | 132,324 | 132,235 | |||
Hayward Industries, Inc., 2021 Term Loan, TBD 05/12/2028 (H) | 125,000 | 124,649 | |||
Heartland Dental LLC, 2021 Incremental Term Loan, TBD 04/30/2025 (H) | 120,000 | 119,700 | |||
Horizon Therapeutics USA, Inc., 2021 Term Loan B (1 month LIBOR + 2.000%), 2.500%, 03/15/2028 | 114,713 | 113,888 | |||
HUB International, Ltd., 2018 Term Loan B (3 month LIBOR + 2.750%), 2.926%, 04/25/2025 | 246,193 | 243,335 | |||
HUB International, Ltd., 2021 Term Loan B (3 month LIBOR + 3.250%), 4.000%, 04/25/2025 | 197,504 | 197,366 | |||
Hyland Software, Inc., 2018 1st Lien Term Loan (1 month LIBOR + 3.500%), 4.250%, 07/01/2024 | 163,737 | 163,873 |
Shares or Principal Amount | Value | ||||
TERM LOANS (G) (continued) | |||||
United States (continued) | |||||
IRB Holding Corp., 2020 4th Amendment Incremental Term Loan (3 month LIBOR + 3.250%), 4.250%, 12/15/2027 | $ | 99,500 | $ | 99,438 | |
LBM Acquisition LLC, Delayed Draw Term Loan, TBD 12/17/2027 (H) | 19,145 | 18,998 | |||
LBM Acquisition LLC, Term Loan B (3 month LIBOR + 3.750%), 4.500%, 12/17/2027 | 85,938 | 85,276 | |||
LBM Acquisition, LLC, 2021 Incremental Term Loan B2, TBD 12/17/2027 (H) | 66,667 | 66,083 | |||
LBM Acquisition, LLC, Incremental Term Loan B2, TBD 12/17/2027 (H) | 33,333 | 33,042 | |||
MajorDrive Holdings IV LLC, Term Loan B (3 month LIBOR + 4.000%), 4.500%, 05/12/2028 | 100,000 | 100,031 | |||
MPH Acquisition Holdings LLC, 2016 Term Loan B (3 month LIBOR + 2.750%), 3.750%, 06/07/2023 | 172,768 | 172,258 | |||
MTN Infrastructure TopCo, Inc., 1st Lien Term Loan B (1 month LIBOR + 3.000%), 4.000%, 11/15/2024 | 222,636 | 222,389 | |||
Navistar, Inc., 2017 1st Lien Term Loan B (2 month LIBOR + 3.500%), 3.600%, 11/06/2024 | 123,406 | 123,406 | |||
NEP Group, Inc., 2018 1st Lien Term Loan (3 month LIBOR + 3.250%), 3.397%, 10/20/2025 | 246,835 | 240,047 | |||
NFP Corp., 2020 Term Loan (1 month LIBOR + 3.250%), 3.354%, 02/15/2027 | 123,438 | 121,569 | |||
Nouryon USA LLC, 2018 USD Term Loan B (Prime rate + 1.750% and 1 month LIBOR + 2.750%), 3.133%, 10/01/2025 | 119,499 | 118,528 | |||
Organon & Company, USD Term Loan, TBD 06/02/2028 (H) | 125,000 | 125,079 | |||
Packaging Coordinators Midco, Inc., 2020 1st Lien Term Loan (3 month LIBOR + 3.500%), 4.250%, 11/30/2027 | 99,750 | 99,800 | |||
PAI Holdco, Inc., 2020 Term Loan B (3 month LIBOR + 3.750%), 4.500%, 10/28/2027 | 99,750 | 99,906 | |||
Pathway Vet Alliance LLC, 2021 Term Loan (1 month LIBOR + 3.750%), 3.854%, 03/31/2027 | 123,489 | 123,111 | |||
Penn National Gaming, Inc., 2018 1st Lien Term Loan B (1 month LIBOR + 2.250%), 3.000%, 10/15/2025 | 110,484 | 110,084 | |||
Peraton Corp., Term Loan B (1 month LIBOR + 3.750%), 4.500%, 02/01/2028 | 109,725 | 109,953 | |||
PowerTeam Services LLC, Incremental Term Loan, TBD 03/06/2025 (H) | 100,000 | 99,500 | |||
PPD, Inc., Initial Term Loan (1 month LIBOR + 2.250%), 2.750%, 01/13/2028 | 174,563 | 174,262 | |||
ProAmpac PG Borrower LLC, 2020 Term Loan (3 month LIBOR + 4.000%), 5.000%, 11/03/2025 | 110,000 | 109,808 | |||
Proofpoint, Inc., 1st Lien Term Loan, TBD 06/09/2028 (H) | 100,000 | 99,388 |
The accompanying notes are an integral part of the financial statements. | 70 |
Shares or Principal Amount | Value | ||||
TERM LOANS (G) (continued) | |||||
United States (continued) | |||||
Quikrete Holdings, Inc., 2016 1st Lien Term Loan (1 month LIBOR + 2.500%), 2.604%, 02/01/2027 | $ | 197,000 | $ | 195,091 | |
RealPage, Inc., 1st Lien Term Loan (1 month LIBOR + 3.250%), 3.750%, 04/24/2028 | 100,000 | 99,650 | |||
Scientific Games International, Inc., 2018 Term Loan B5 (1 month LIBOR + 2.750%), 2.854%, 08/14/2024 | 198,462 | 196,973 | |||
Sedgwick Claims Management Services, Inc., 2018 Term Loan B (1 month LIBOR + 3.250%), 3.354%, 12/31/2025 | 196,970 | 194,754 | |||
Sedgwick Claims Management Services, Inc., 2019 Term Loan B (1 month LIBOR + 3.750%), 3.845%, 09/03/2026 | 99,492 | 99,272 | |||
Signal Parent, Inc., Term Loan B (1 month LIBOR + 3.500%), 4.250%, 03/25/2028 | 200,000 | 196,250 | |||
SkyMiles IP, Ltd., 2020 SkyMiles Term Loan B (3 month LIBOR + 3.750%), 4.750%, 10/20/2027 | 100,000 | 105,569 | |||
Solera LLC, USD Term Loan B (6 month LIBOR + 4.000%), 4.500%, 06/02/2028 | 120,000 | 120,286 | |||
SRS Distribution, Inc., 2021 Term Loan B, TBD 06/02/2028 (H) | 155,000 | 154,828 | |||
SS&C Technologies, Inc., 2018 Term Loan B3 (1 month LIBOR + 1.750%), 1.854%, 04/16/2025 | 115,571 | 114,126 | |||
SS&C Technologies, Inc., 2018 Term Loan B4 (1 month LIBOR + 1.750%), 1.854%, 04/16/2025 | 87,806 | 86,709 | |||
Surgery Center Holdings, Inc., 2021 Term Loan (1 month LIBOR + 3.750%), 4.500%, 08/31/2026 | 198,472 | 199,184 | |||
Tecta America Corp., 2021 Term Loan (3 month LIBOR + 4.250%), 5.000%, 04/01/2028 | 130,000 | 130,163 | |||
The Dun & Bradstreet Corp., Term Loan (1 month LIBOR + 3.250%), 3.345%, 02/06/2026 | 346,571 | 344,783 | |||
The Hertz Corp., 2021 Term Loan B, TBD 06/14/2028 (H) | 84,142 | 84,037 | |||
The Hertz Corp., 2021 Term Loan C, TBD 06/14/2028 (H) | 15,858 | 15,838 | |||
The Michaels Companies, Inc., 2021 Term Loan B (3 month LIBOR + 4.250%), 5.000%, 04/15/2028 | 130,000 | 130,473 | |||
TK Elevator U.S. Newco, Inc., USD Term Loan B (6 month LIBOR + 4.250%), 4.478%, 07/30/2027 | 278,602 | 278,719 | |||
TransDigm, Inc., 2020 Term Loan E (1 month LIBOR + 2.250%), 2.354%, 05/30/2025 | 197,000 | 194,080 | |||
TricorBraun Holdings, Inc., 2021 Delayed Draw Term Loan (3 month LIBOR + 3.250%), 3.750%, 03/03/2028 | 612 | 607 | |||
TricorBraun Holdings, Inc., 2021 Term Loan (3 month LIBOR + 3.250%), 3.750%, 03/03/2028 | 81,637 | 80,995 |
Shares or Principal Amount | Value | ||||
TERM LOANS (G) (continued) | |||||
United States (continued) | |||||
Tronox Finance LLC, 2021 Term Loan B (1 and 3 month LIBOR + 2.500%), 2.630%, 03/13/2028 | $ | 153,761 | $ | 152,664 | |
UFC Holdings LLC, 2021 Term Loan B (6 month LIBOR + 3.000%), 3.750%, 04/29/2026 | 184,055 | 183,738 | |||
UKG, Inc., 2021 Incremental Term Loan (3 month LIBOR + 3.250%), 4.000%, 05/04/2026 | 109,176 | 109,240 | |||
UKG, Inc., Term Loan B (1 month LIBOR + 3.750%), 3.854%, 05/04/2026 | 148,116 | 148,130 | |||
United Airlines, Inc., 2021 Term Loan B (3 month LIBOR + 3.750%), 4.500%, 04/21/2028 | 99,750 | 100,969 | |||
UPC Financing Partnership, 2021 USD Term Loan AX (1 month LIBOR + 3.000%), 3.073%, 01/31/2029 | 180,000 | 178,740 | |||
US Foods, Inc., 2016 Term Loan B (1 month LIBOR + 1.750%), 1.854%, 06/27/2023 | 178,512 | 176,652 | |||
USI, Inc., 2017 Repriced Term Loan (3 month LIBOR + 3.000%), 3.147%, 05/16/2024 | 123,397 | 122,183 | |||
Virgin Media Bristol LLC, 2020 USD Term Loan Q (3 month LIBOR + 3.250%), 3.353%, 01/31/2029 | 145,000 | 144,778 | |||
Weber-Stephen Products LLC, Term Loan B (1 month LIBOR + 3.250%), 4.000%, 10/30/2027 | 99,500 | 99,624 | |||
White Cap Buyer LLC, Term Loan B (3 month LIBOR + 4.000%), 4.500%, 10/19/2027 | 134,325 | 134,493 | |||
WW International, Inc., 2021 Term Loan B (1 month LIBOR + 3.500%), 4.000%, 04/13/2028 | 100,000 | 100,250 | |||
Zelis Payments Buyer, Inc., 2021 Term Loan (1 month LIBOR + 3.500%), 3.592%, 09/30/2026 | 149,250 | 148,728 | |||
16,378,640 | |||||
TOTAL TERM LOANS (Cost $17,689,920) | $ | 18,141,959 | |||
COLLATERALIZED MORTGAGE OBLIGATIONS - 8.7% | |||||
Commercial and residential - 5.0% | |||||
ACRE Commercial Mortgage, Ltd., Series 2021-FL4, Class B (1 month LIBOR + 1.400%), 1.483%, 12/18/2037 (C)(I) | 100,000 | 99,489 | |||
Angel Oak Mortgage Trust, Series 2020-3, Class M1, 3.809%, 04/25/2065 (C)(J) | 180,000 | 185,688 | |||
ANTLR Mortgage Trust, Series 2021-RTL1, Class A1, 2.115%, 11/25/2024 (C)(J) | 125,000 | 124,749 | |||
BANK, Series 2021-BN32, Class XA IO, 0.894%, 04/15/2054 | 999,585 | 60,079 | |||
BBCMS Mortgage Trust, Series 2017-DELC, Class A (1 month LIBOR + 0.850%), 0.923%, 08/15/2036 (C)(I) | 100,000 | 100,093 | |||
Benchmark Mortgage Trust | |||||
Series 2019-B10, Class XA IO, 1.390%, 03/15/2062 | 566,722 | 42,988 | |||
Series 2020-B22, Class XA IO, 1.636%, 01/15/2054 | 204,808 | 24,481 |
The accompanying notes are an integral part of the financial statements. | 71 |
Shares or Principal Amount | Value | ||||
COLLATERALIZED MORTGAGE OBLIGATIONS (continued) | |||||
Commercial and residential (continued) | |||||
BRAVO Residential Funding Trust, Series 2021-A, Class A1, 1.991%, 04/25/2031 (C) | $ | 152,287 | $ | 152,317 | |
BX Commercial Mortgage Trust | |||||
Series 2018-IND, Class A (1 month LIBOR + 0.750%), 0.823%, 11/15/2035 (C)(I) | 58,626 | 58,645 | |||
Series 2018-IND, Class C (1 month LIBOR + 1.100%), 1.173%, 11/15/2035 (C)(I) | 137,500 | 137,544 | |||
Series 2019-XL, Class A (1 month LIBOR + 0.920%), 0.993%, 10/15/2036 (C)(I) | 248,948 | 249,273 | |||
Series 2019-XL, Class C (1 month LIBOR + 1.250%), 1.323%, 10/15/2036 (C)(I) | 248,948 | 249,191 | |||
Series 2020-BXLP, Class G (1 month LIBOR + 2.500%), 2.573%, 12/15/2036 (C)(I) | 97,049 | 96,991 | |||
Series 2020-VKNG, Class F (1 month LIBOR + 2.750%), 2.823%, 10/15/2037 (C)(I) | 270,000 | 270,547 | |||
BX Trust | |||||
Series 2018-GW, Class E (1 month LIBOR + 1.970%), 2.043%, 05/15/2035 (C)(I) | 80,000 | 79,998 | |||
Series 2021-MFM1, Class D (1 month LIBOR + 1.500%), 1.573%, 01/15/2034 (C)(I) | 55,000 | 55,000 | |||
Series 2021-MFM1, Class E (1 month LIBOR + 2.250%), 2.323%, 01/15/2034 (C)(I) | 40,000 | 39,988 | |||
CFCRE Commercial Mortgage Trust, Series 2011-C2, Class C, 5.971%, 12/15/2047 (C)(J) | 275,000 | 276,819 | |||
CIM Trust, Series 2021-R4, Class A1, 2.000%, 05/01/2061 (C)(J) | 280,000 | 279,983 | |||
Commercial Mortgage Trust (Cantor Fitzgerald/Deutsche Bank AG) | |||||
Series 2013-CR13, Class B, 5.046%, 11/10/2046 (J) | 169,000 | 182,511 | |||
Series 2014-CR16, Class AM, 4.278%, 04/10/2047 | 200,000 | 213,554 | |||
Commercial Mortgage Trust (Deutsche Bank AG) | |||||
Series 2020-SBX, Class C, 2.056%, 01/10/2038 (C)(J) | 100,000 | 100,317 | |||
Series 2020-SBX, Class D, 2.398%, 01/10/2038 (C)(J) | 100,000 | 100,109 | |||
Series 2021-LBA, Class C (1 month LIBOR + 1.200%), 1.273%, 03/15/2038 (C)(I) | 280,000 | 280,000 | |||
Credit Suisse Mortgage Trust | |||||
Series 2020-NET, Class D, 3.828%, 08/15/2037 (C)(J) | 100,000 | 104,994 | |||
Series 2020-RPL5, Class A1, 3.023%, 08/25/2060 (C)(J) | 246,914 | 250,676 | |||
Series 2020-RPL6, Class A2, 3.264%, 03/25/2059 (C)(J) | 215,000 | 213,132 | |||
Deephaven Residential Mortgage Trust, Series 2021-1, Class A3, 1.128%, 05/25/2065 (C)(J) | 86,585 | 86,532 |
Shares or Principal Amount | Value | ||||
COLLATERALIZED MORTGAGE OBLIGATIONS (continued) | |||||
Commercial and residential (continued) | |||||
FREMF Mortgage Trust | |||||
Series 2015-K45, Class C, 3.589%, 04/25/2048 (C)(J) | $ | 115,000 | $ | 120,847 | |
Series 2015-K49, Class B, 3.721%, 10/25/2048 (C)(J) | 250,000 | 271,236 | |||
Series 2016-K55, Class C, 4.163%, 04/25/2049 (C)(J) | 50,000 | 53,897 | |||
Series 2017-K63, Class C, 3.872%, 02/25/2050 (C)(J) | 189,000 | 201,052 | |||
Series 2018-K75, Class C, 3.975%, 04/25/2051 (C)(J) | 120,000 | 129,818 | |||
Series 2018-K78, Class C, 4.128%, 06/25/2051 (C)(J) | 182,000 | 200,282 | |||
Series 2019-K99, Class B, 3.646%, 10/25/2052 (C)(J) | 180,000 | 197,225 | |||
GS Mortgage Securities Trust | |||||
Series 2017-GS6, Class C, 4.322%, 05/10/2050 (J) | 25,000 | 27,263 | |||
Series 2019-BOCA, Class A (1 month LIBOR + 1.200%), 1.273%, 06/15/2038 (C)(I) | 280,000 | 280,520 | |||
Series 2021-ROSS, Class A (1 month LIBOR + 1.150%), 1.223%, 05/15/2026 (C)(I) | 100,000 | 100,034 | |||
JPMorgan Mortgage Trust, Series 2018-3, Class A1, 3.500%, 09/25/2048 (C)(J) | 44,433 | 45,198 | |||
KKR Industrial Portfolio Trust | |||||
Series 2020-AIP, Class A (1 month LIBOR + 1.037%), 1.110%, 03/15/2037 (C)(I) | 241,051 | 241,289 | |||
Series 2021-KDIP, Class D (1 month LIBOR + 1.250%), 1.323%, 12/15/2037 (C)(I) | 130,000 | 129,961 | |||
Legacy Mortgage Asset Trust, Series 2021-GS2, Class A1, 1.750%, 04/25/2061 (C) | 117,966 | 118,086 | |||
LoanCore Issuer, Ltd., Series 2021-CRE4, Class B (1 month LIBOR + 1.250%), 1.374%, 07/15/2035 (C)(I) | 100,000 | 99,844 | |||
Merit, Series 2020-HILL, Class B (1 month LIBOR + 1.400%), 1.473%, 08/15/2037 (C)(I) | 105,000 | 105,428 | |||
Metlife Securitization Trust, Series 2018-1A, Class A, 3.750%, 03/25/2057 (C)(J) | 133,334 | 138,954 | |||
MHC Commercial Mortgage Trust, Series 2021-MHC, Class C (1 month LIBOR + 1.351%), 1.424%, 04/15/2038 (C)(I) | 205,000 | 205,193 | |||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C8, Class C, 4.191%, 12/15/2048 (J) | 283,000 | 288,359 | |||
Morgan Stanley Capital I Trust | |||||
Series 2017-CLS, Class F (1 month LIBOR + 2.600%), 2.673%, 11/15/2034 (C)(I) | 177,000 | 176,868 | |||
Series 2018-SUN, Class B (1 month LIBOR + 1.200%), 1.273%, 07/15/2035 (C)(I) | 100,000 | 100,030 |
The accompanying notes are an integral part of the financial statements. | 72 |
Shares or Principal Amount | Value | ||||
COLLATERALIZED MORTGAGE OBLIGATIONS (continued) | |||||
Commercial and residential (continued) | |||||
New Residential Mortgage Loan Trust | |||||
Series 2015-1A, Class B3, 5.338%, 05/28/2052 (C)(J) | $ | 166,779 | $ | 178,164 | |
Series 2021-NQ1R, Class A1, 0.943%, 07/25/2055 (C)(J) | 150,092 | 150,148 | |||
Series 2021-NQ1R, Class A3, 1.198%, 07/25/2055 (C)(J) | 69,805 | 69,844 | |||
New York Mortgage Trust, Series 2021-BPL1, Class A1, 2.239%, 05/25/2026 (C) | 230,000 | 229,736 | |||
Pretium Mortgage Credit Partners LLC, Series 2021-RN1, Class A2, 3.598%, 02/25/2061 (C) | 185,000 | 184,718 | |||
PRPM LLC | |||||
Series 2019-GS1, Class A1, 3.500%, 10/25/2024 (C)(J) | 221,062 | 222,238 | |||
Series 2020-2, Class A1, 3.671%, 08/25/2025 (C) | 176,050 | 177,242 | |||
Series 2020-3, Class A1, 2.857%, 09/25/2025 (C) | 135,403 | 136,122 | |||
Series 2021-3, Class A2, 3.720%, 04/25/2026 (C) | 110,000 | 109,796 | |||
Series 2021-4, Class A1, 1.867%, 04/25/2026 (C) | 156,139 | 155,909 | |||
Series 2021-5, Class A1, 1.793%, 06/25/2026 (C) | 140,000 | 140,024 | |||
SFO Commercial Mortgage Trust, Series 2021-555, Class B (1 month LIBOR + 1.500%), 1.573%, 05/15/2038 (C)(I) | 70,000 | 70,109 | |||
Starwood Mortgage Residential Trust, Series 2021-2, Class A3, 1.431%, 05/25/2065 (C)(J) | 190,392 | 190,317 | |||
Verus Securitization Trust | |||||
Series 2020-1, Class A3, 2.724%, 01/25/2060 (C) | 128,223 | 129,699 | |||
Series 2020-INV1, Class A3, 3.889%, 03/25/2060 (C)(J) | 100,000 | 104,459 | |||
VMC Finance LLC, Series 2021-FL4, Class A (1 month LIBOR + 1.100%), 1.183%, 06/16/2036 (C)(I) | 195,000 | 195,062 | |||
VOLT XCIV LLC, Series 2021-NPL3, Class A1, 2.240%, 02/27/2051 (C) | 81,931 | 82,011 | |||
VOLT XCVI LLC, Series 2021-NPL5, Class A1, 2.116%, 03/27/2051 (C) | 90,642 | 90,690 | |||
VOLT XCVIII LLC, Series 2021-NPL7, Class A1, 2.116%, 04/25/2051 (C) | 65,053 | 65,078 | |||
Wells Fargo Mortgage Backed Securities Trust, Series 2019-3, Class A1, 3.500%, 07/25/2049 (C)(J) | 48,395 | 48,914 | |||
WF-RBS Commercial Mortgage Trust | |||||
Series 2011-C4, Class C, 5.266%, 06/15/2044 (C)(J) | 255,000 | 254,332 | |||
Series 2011-C5, Class C, 5.901%, 11/15/2044 (C)(J) | 150,000 | 150,449 | |||
10,482,133 |
Shares or Principal Amount | Value | ||||
COLLATERALIZED MORTGAGE OBLIGATIONS (continued) | |||||
U.S. Government Agency - 3.7% | |||||
Federal Home Loan Mortgage Corp. | |||||
Series 2013-DN1, Class M2 (1 month LIBOR + 7.150%), 7.242%, 07/25/2023 (I) | $ | 113,584 | $ | 119,663 | |
Series 2014-DN2, Class M3 (1 month LIBOR + 3.600%), 3.692%, 04/25/2024 (I) | 164,720 | 167,201 | |||
Series 2016-DNA2, Class M3 (1 month LIBOR + 4.650%), 4.742%, 10/25/2028 (I) | 170,708 | 178,303 | |||
Series 2016-DNA4, Class M3 (1 month LIBOR + 3.800%), 3.892%, 03/25/2029 (I) | 234,161 | 242,484 | |||
Series 2016-HQA4, Class M3 (1 month LIBOR + 3.900%), 3.992%, 04/25/2029 (I) | 242,907 | 253,040 | |||
Series 2017-DNA2, Class M1 (1 month LIBOR + 1.200%), 1.292%, 10/25/2029 (I) | 111,683 | 111,770 | |||
Series 2017-HQA2, Class M2 (1 month LIBOR + 2.650%), 2.742%, 12/25/2029 (I) | 296,090 | 301,287 | |||
Series 2018-DNA1, Class M2 (1 month LIBOR + 1.800%), 1.892%, 07/25/2030 (I) | 255,279 | 256,870 | |||
Series 2018-HQA1, Class M2 (1 month LIBOR + 2.300%), 2.392%, 09/25/2030 (I) | 62,117 | 63,011 | |||
Series 2020-DNA2, Class M2 (1 month LIBOR + 1.850%), 1.942%, 02/25/2050 (C)(I) | 100,000 | 100,814 | |||
Series 2020-DNA5, Class M2 (SOFR + 2.800%), 2.810%, 10/25/2050 (C)(I) | 105,000 | 106,571 | |||
Series 2020-DNA6, Class B1 (SOFR + 3.000%), 3.010%, 12/25/2050 (C)(I) | 35,000 | 35,263 | |||
Series 2020-DNA6, Class M2 (SOFR + 2.000%), 2.010%, 12/25/2050 (C)(I) | 85,000 | 85,904 | |||
Series 2020-HQA2, Class M2 (1 month LIBOR + 3.100%), 3.192%, 03/25/2050 (C)(I) | 290,000 | 294,531 | |||
Series 2020-HQA3, Class B1 (1 month LIBOR + 5.750%), 5.842%, 07/25/2050 (C)(I) | 195,000 | 209,188 | |||
Series 2020-HQA4, Class M2 (1 month LIBOR + 3.150%), 3.242%, 09/25/2050 (C)(I) | 206,977 | 209,323 | |||
Series 2021-DNA1, Class M2 (SOFR + 1.800%), 1.810%, 01/25/2051 (C)(I) | 120,000 | 120,625 | |||
Series 2021-DNA2, Class M2 (SOFR + 2.300%), 2.310%, 08/25/2033 (C)(I) | 155,000 | 159,026 | |||
Series 2021-HQA2, Class M2 (SOFR + 2.050%), 2.067%, 12/25/2033 (C)(I) | 270,000 | 270,793 | |||
Series 324, Class C18 IO, 4.000%, 12/15/2033 | 353,858 | 49,514 | |||
Series 4446, Class BI IO, 6.500%, 04/15/2039 | 241,250 | 50,012 | |||
Series 4978, Class MI IO, 4.000%, 05/25/2040 | 271,311 | 35,563 |
The accompanying notes are an integral part of the financial statements. | 73 |
Shares or Principal Amount | Value | ||||
COLLATERALIZED MORTGAGE OBLIGATIONS (continued) | |||||
U.S. Government Agency (continued) | |||||
Federal Home Loan Mortgage Corp. (continued) | |||||
Series 4993, Class AI IO, 4.000%, 07/25/2040 | $ | 371,501 | $ | 54,977 | |
Series K066, Class X1 IO, 0.750%, 06/25/2027 | 1,249,334 | 49,645 | |||
Series K100, Class X3 IO, 1.870%, 11/25/2047 | 275,000 | 35,844 | |||
Series K103, Class X1 IO, 0.638%, 11/25/2029 | 1,023,914 | 49,991 | |||
Series K105, Class X1 IO, 1.523%, 03/25/2053 | 639,457 | 73,217 | |||
Series K106, Class X1 IO, 1.355%, 01/25/2030 | 618,905 | 63,391 | |||
Series K106, Class X3 IO, 1.920%, 03/25/2048 | 490,000 | 68,918 | |||
Series K107, Class X1 IO, 1.591%, 01/25/2030 | 549,455 | 65,988 | |||
Series K108, Class X1 IO, 1.690%, 03/25/2030 | 389,955 | 50,695 | |||
Series K110, Class X1 IO, 1.698%, 04/25/2030 | 99,859 | 12,755 | |||
Series K111, Class X1 IO, 1.572%, 05/25/2030 | 99,816 | 12,144 | |||
Series K115, Class X3 IO, 2.958%, 09/25/2048 | 147,298 | 32,681 | |||
Series K116, Class X3 IO, 3.021%, 09/25/2047 | 223,880 | 51,646 | |||
Series K121, Class X1 IO, 1.028%, 11/25/2053 | 114,893 | 9,371 | |||
Series K122, Class X1 IO, 0.883%, 11/25/2030 | 99,926 | 7,146 | |||
Series K123, Class X1 IO, 0.775%, 02/25/2054 | 409,788 | 26,013 | |||
Series K124, Class X1 IO, 0.722%, 12/25/2030 | 252,891 | 15,273 | |||
Series K125, Class X3 IO, 2.654%, 02/25/2049 | 100,000 | 21,171 | |||
Series K127, Class X3 IO, 2.654%, 03/25/2049 | 118,572 | 25,163 | |||
Series K129, Class X3 IO, 3.172%, 05/25/2031 | 165,000 | 43,013 | |||
Series K737, Class X1 IO, 0.637%, 10/25/2026 | 495,668 | 14,710 | |||
Series K738, Class X1 IO, 1.515%, 01/25/2027 | 650,217 | 47,814 | |||
Series K740, Class X3 IO, 2.481%, 11/25/2047 | 135,000 | 18,527 | |||
Series K742, Class X3, IO, 2.685%, 04/25/2028 | 100,000 | 15,490 | |||
Federal National Mortgage Association | |||||
Series 2014-68, Class ID IO, 3.500%, 03/25/2034 | 516,502 | 33,742 | |||
Series 2014-C02, Class 1M2 (1 month LIBOR + 2.600%), 2.692%, 05/25/2024 (I) | 64,581 | 64,956 | |||
Series 2014-C04, Class 1M2 (1 month LIBOR + 4.900%), 4.992%, 11/25/2024 (I) | 107,770 | 111,425 | |||
Series 2017-C02, Class 2M2 (1 month LIBOR + 3.650%), 3.742%, 09/25/2029 (I) | 221,055 | 229,081 |
Shares or Principal Amount | Value | ||||
COLLATERALIZED MORTGAGE OBLIGATIONS (continued) | |||||
U.S. Government Agency (continued) | |||||
Federal National Mortgage Association (continued) | |||||
Series 2017-C03, Class 1M2 (1 month LIBOR + 3.000%), 3.092%, 10/25/2029 (I) | $ | 240,667 | $ | 248,147 | |
Series 2017-C04, Class 2M2 (1 month LIBOR + 2.850%), 2.942%, 11/25/2029 (I) | 254,531 | 260,819 | |||
Series 2017-C05, Class 1M2 (1 month LIBOR + 2.200%), 2.292%, 01/25/2030 (I) | 182,263 | 185,169 | |||
Series 2017-C06, Class 2M2 (1 month LIBOR + 2.800%), 2.892%, 02/25/2030 (I) | 213,725 | 218,520 | |||
Series 2017-C07, Class 1B1 (1 month LIBOR + 4.000%), 4.092%, 05/25/2030 (I) | 293,000 | 305,244 | |||
Series 2018-C02, Class 2B1 (1 month LIBOR + 4.000%), 4.092%, 08/25/2030 (I) | 60,000 | 61,215 | |||
Series 2018-C04, Class 2M2 (1 month LIBOR + 2.550%), 2.642%, 12/25/2030 (I) | 195,027 | 198,506 | |||
Series 2018-C05, Class 1B1 (1 month LIBOR + 4.250%), 4.342%, 01/25/2031 (I) | 230,000 | 240,269 | |||
Series 2018-C05, Class 1M2 (1 month LIBOR + 2.350%), 2.442%, 01/25/2031 (I) | 104,637 | 105,891 | |||
Series 2018-R07, Class 1B1 (1 month LIBOR + 4.350%), 4.442%, 04/25/2031 (C)(I) | 220,000 | 228,327 | |||
Series 2019-HRP1, Class M2 (1 month LIBOR + 2.150%), 2.242%, 11/25/2039 (C)(I) | 186,322 | 185,595 | |||
Series 2019-R03, Class 1B1 (1 month LIBOR + 4.100%), 4.192%, 09/25/2031 (C)(I) | 75,000 | 77,199 | |||
Series 2019-R05, Class 1B1 (1 month LIBOR + 4.100%), 4.192%, 07/25/2039 (C)(I) | 120,000 | 122,162 | |||
Series 2020-26, Class AI IO, 3.000%, 04/25/2033 | 541,987 | 38,646 | |||
Series 2020-26, Class IA IO, 3.500%, 11/25/2039 | 432,080 | 46,525 | |||
Series 2020-27, Class NI IO, 4.500%, 05/25/2050 | 305,852 | 53,199 | |||
Series 2020-35, Class IC IO, 5.000%, 06/25/2050 | 304,493 | 49,308 | |||
Series 2020-R02, Class 2B1 (1 month LIBOR + 3.000%), 3.092%, 01/25/2040 (C)(I) | 152,000 | 150,954 | |||
Series 407, Class 40 IO, 6.000%, 01/25/2038 | 269,943 | 65,417 | |||
Series 410, Class C8 IO, 4.000%, 04/25/2032 | 423,586 | 45,382 | |||
Government National Mortgage Association | |||||
Series 2014-2, Class IB IO, 4.000%, 01/16/2040 | 378,743 | 41,104 | |||
Series 2015-62, Class CI IO, 4.500%, 05/20/2045 | 205,141 | 36,810 | |||
Series 2017-130, Class IO, 4.500%, 02/20/2040 | 217,458 | 36,755 |
The accompanying notes are an integral part of the financial statements. | 74 |
Shares or Principal Amount | Value | ||||
COLLATERALIZED MORTGAGE OBLIGATIONS (continued) | |||||
U.S. Government Agency (continued) | |||||
Government National Mortgage Association (continued) | |||||
Series 2018-168, Class AI IO, 5.000%, 12/16/2048 | $ | 316,128 | $ | 58,842 | |
Series 2018-6, Class LI IO, 5.000%, 07/16/2045 | 327,494 | 60,009 | |||
Series 2018-72, Class ID IO, 4.500%, 08/20/2045 | 156,542 | 30,178 | |||
Series 2020-74, Class IC IO, 3.000%, 05/20/2035 | 665,743 | 44,723 | |||
7,920,458 | |||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $17,661,776) | $ | 18,402,591 | |||
ASSET BACKED SECURITIES - 4.2% | |||||
Ajax Mortgage Loan Trust, Series 2021-B, Class A, 2.239%, 06/25/2066 (C) | 153,452 | 153,075 | |||
Arbor Realty Collateralized Loan Obligation, Ltd., Series 2021-FL2, Class AS (1 month LIBOR + 1.400%), 1.597%, 05/15/2036 (C)(I) | 100,000 | 100,094 | |||
Ares XXVII CLO, Ltd., Series 2013-2A, Class CR (3 month LIBOR + 2.400%), 2.584%, 07/28/2029 (C)(I) | 250,000 | 250,173 | |||
Avant Loans Funding Trust, Series 2021-REV1, Class A, 1.210%, 07/15/2030 (C) | 150,000 | 149,738 | |||
BlueMountain CLO, Ltd. | |||||
Series 2012-2A, Class AR2 (3 month LIBOR + 1.050%), 1.205%, 11/20/2028 (C)(I) | 201,000 | 201,017 | |||
Series 2018-2A, Class D (3 month LIBOR + 3.150%), 3.306%, 08/15/2031 (C)(I) | 250,000 | 247,154 | |||
Bojangles Issuer LLC, Series 2020-1A, Class A2, 3.832%, 10/20/2050 (C) | 125,000 | 130,335 | |||
CF Hippolyta LLC, Series 2020-1, Class B1, 2.280%, 07/15/2060 (C) | 243,367 | 247,374 | |||
CIFC Funding, Ltd. | |||||
Series 2014-2RA, Class A1 (3 month LIBOR + 1.050%), 1.226%, 04/24/2030 (C)(I) | 300,000 | 300,110 | |||
Series 2015-3A, Class AR (3 month LIBOR + 0.870%), 1.060%, 04/19/2029 (C)(I) | 250,000 | 250,019 | |||
CoreVest American Finance Trust | |||||
Series 2020-4, Class B, 1.707%, 12/15/2052 (C) | 100,000 | 98,816 | |||
Series 2021-1, Class A, 1.569%, 04/15/2053 (C) | 91,269 | 91,208 | |||
DataBank Issuer, Series 2021-1A, Class A2, 2.060%, 02/27/2051 (C) | 170,000 | 172,209 | |||
DB Master Finance LLC, Series 2019-1A, Class A2I, 3.787%, 05/20/2049 (C) | 73,688 | 74,643 | |||
Domino's Pizza Master Issuer LLC | |||||
Series 2017-1A, Class A23, 4.118%, 07/25/2047 (C) | 183,825 | 198,355 |
Shares or Principal Amount | Value | ||||
ASSET BACKED SECURITIES (continued) | |||||
Domino's Pizza Master Issuer LLC (continued) | |||||
Series 2021-1A, Class A2I, 2.662%, 04/25/2051 (C) | $ | 85,000 | $ | 87,949 | |
Dryden Senior Loan Fund, Series 2012-25A, Class DRR (3 month LIBOR + 3.000%), 3.184%, 10/15/2027 (C)(I) | 250,000 | 249,408 | |||
Ford Credit Floorplan Master Owner Trust, Series 2018-4, Class A, 4.060%, 11/15/2030 | 160,000 | 183,945 | |||
Gilbert Park CLO, Ltd., Series 2017-1A, Class B (3 month LIBOR + 1.600%), 1.784%, 10/15/2030 (C)(I) | 280,000 | 280,013 | |||
Harriman Park CLO, Ltd., Series 2020-1A, Class DR (3 month LIBOR + 3.100%), 3.494%, 04/20/2034 (C)(I) | 250,000 | 249,997 | |||
Hertz Vehicle Financing LLC, Series 2021-1A, Class B, 1.560%, 12/26/2025 (C) | 110,000 | 109,948 | |||
HIN Timeshare Trust, Series 2020-A, Class A, 1.390%, 10/09/2039 (C) | 39,614 | 39,986 | |||
KKR CLO, Ltd., Series 2020, Class B (3 month LIBOR + 1.550%), 1.734%, 10/16/2030 (C)(I) | 282,000 | 279,916 | |||
LCM XXV, Ltd., Series 25A, Class B2 (3 month LIBOR + 1.650%), 1.838%, 07/20/2030 (C)(I) | 250,000 | 249,007 | |||
Madison Park Funding XIX, Ltd., Series 2015-19A, Class A2R2 (3 month LIBOR + 1.500%), 1.684%, 01/22/2028 (C)(I) | 250,000 | 248,841 | |||
Magnetite XVIII, Ltd., Series 2016-18A, Class BR (3 month LIBOR + 1.500%), 1.656%, 11/15/2028 (C)(I) | 250,000 | 248,890 | |||
MAPS Trust, Series 2021-1A, Class A, 2.521%, 06/15/2046 (C) | 250,000 | 250,609 | |||
MF1, Ltd., Series 2020-FL4, Class A (SOFR + 1.815%), 1.824%, 11/15/2035 (C)(I) | 100,000 | 100,812 | |||
MFA LLC, Series 2021-NPL1, Class A1, 2.363%, 03/25/2060 (C) | 140,352 | 140,370 | |||
Mill City Mortgage Loan Trust, Series 2017-2, Class M2, 3.250%, 07/25/2059 (C)(J) | 185,000 | 194,693 | |||
Neighborly Issuer LLC, Series 2021-1A, Class A2, 3.584%, 04/30/2051 (C) | 85,000 | 87,420 | |||
Neuberger Berman CLO XVII, Ltd., Series 2014-17A, Class CR2 (3 month LIBOR + 2.000%), 2.184%, 04/22/2029 (C)(I) | 250,000 | 250,040 | |||
Octagon Investment Partners 41, Ltd., Series 2019-2A, Class D (3 month LIBOR + 3.650%), 3.834%, 04/15/2031 (C)(I) | 250,000 | 250,037 | |||
Pagaya AI Debt Selection Trust, Series 2021-HG1, Class A, 1.220%, 01/16/2029 (C) | 100,000 | 100,009 | |||
Palmer Square Loan Funding, Ltd. | |||||
Series 2020-1A, Class A1 (3 month LIBOR + 0.800%), 0.955%, 02/20/2028 (C)(I) | 171,112 | 171,112 |
The accompanying notes are an integral part of the financial statements. | 75 |
Shares or Principal Amount | Value | ||||
ASSET BACKED SECURITIES (continued) | |||||
Palmer Square Loan Funding, Ltd. (continued) | |||||
Series 2021-3A, Class A2 (3 month LIBOR + 1.400%), 1.545%, 07/20/2029 (C)(I) | $ | 280,000 | $ | 280,000 | |
Progress Residential Trust | |||||
Series 2021-SFR2, Class D, 2.197%, 04/19/2038 (C) | 100,000 | 99,823 | |||
Series 2021-SFR3, Class D, 2.288%, 05/17/2026 (C) | 105,000 | 105,423 | |||
Series 2021-SFR5, Class E1, 2.209%, 07/17/2038 (C) | 100,000 | 99,917 | |||
Series 2021-SFR6, Class E2, 2.525%, 07/17/2038 (C) | 100,000 | 99,985 | |||
Race Point CLO, Ltd., Series 2013-8A, Class DR2 (3 month LIBOR + 3.500%), 3.655%, 02/20/2030 (C)(I) | 250,000 | 250,073 | |||
Santander Drive Auto Receivables Trust, Series 2018-5, Class C, 3.810%, 12/16/2024 | 32,804 | 32,899 | |||
Sonic Capital LLC, Series 2020-1A, Class A2I, 3.845%, 01/20/2050 (C) | 197,833 | 208,890 | |||
Stewart Park CLO, Ltd., Series 2015-1A, Class DR (3 month LIBOR + 2.600%), 2.784%, 01/15/2030 (C)(I) | 250,000 | 248,510 | |||
Summit Issuer LLC, Series 2020-1A, Class A2, 2.290%, 12/20/2050 (C) | 55,000 | 54,839 | |||
Treman Park CLO, Ltd., Series 2015-1A, Class C3RR (3 month LIBOR + 2.000%), 2.188%, 10/20/2028 (C)(I) | 250,000 | 250,063 | |||
Verus Securitization Trust, Series 2020-NPL1, Class A1, 3.598%, 08/25/2050 (C) | 94,704 | 95,052 | |||
VOLT XCI LLC, Series 2020-NPL7, Class A1, 3.105%, 11/25/2050 (C) | 75,470 | 75,767 | |||
Voya CLO, Ltd., Series 2013-3, Class 3A (3 month LIBOR + 2.250%), 2.440%, 10/18/2031 (C)(I) | 250,000 | 247,870 | |||
Westlake Automobile Receivables Trust, Series 2021-2A, Class D, 1.230%, 12/15/2026 (C) | 265,000 | 264,977 | |||
TOTAL ASSET BACKED SECURITIES (Cost $8,735,394) | $ | 8,851,410 | |||
PREFERRED SECURITIES - 0.0% | |||||
United States - 0.0% | |||||
Becton, Dickinson and Company, 6.000% | 683 | 36,547 | |||
Fluor Corp., 6.500% (C) | 5 | 5,305 | |||
41,852 | |||||
TOTAL PREFERRED SECURITIES (Cost $40,158) | $ | 41,852 | |||
EXCHANGE-TRADED FUNDS - 5.1% | |||||
iShares JP Morgan USD Emerging Markets Bond ETF | 83,900 | 9,435,394 | |||
SPDR Blackstone Senior Loan ETF | 15,000 | 694,350 | |||
SPDR Bloomberg Barclays Convertible Securities ETF | 7,600 | 659,148 | |||
TOTAL EXCHANGE-TRADED FUNDS (Cost $10,734,246) | $ | 10,788,892 |
Shares or Principal Amount | Value | ||||
SHORT-TERM INVESTMENTS - 4.0% | |||||
Short-term funds - 4.0% | |||||
State Street Institutional U.S. Government Money Market Fund, Premier Class, 0.0250% (K) | 8,342,089 | $ | 8,342,089 | ||
TOTAL SHORT-TERM INVESTMENTS (Cost $8,342,089) | $ | 8,342,089 | |||
Total Investments (Opportunistic Fixed Income Trust) (Cost $206,019,301) - 98.6% | $ | 207,518,828 | |||
Other assets and liabilities, net - 1.4% | 2,908,994 | ||||
TOTAL NET ASSETS - 100.0% | $ | 210,427,822 |
Currency Abbreviations | |
AUD | Australian Dollar |
BRL | Brazilian Real |
CAD | Canadian Dollar |
CLP | Chilean Peso |
COP | Colombian Peso |
CZK | Czech Republic Koruna |
EUR | Euro |
GBP | Pound Sterling |
HUF | Hungarian Forint |
IDR | Indonesian Rupiah |
ILS | Israeli New Shekel |
ISK | Icelandic Krona |
JPY | Japanese Yen |
KRW | Korean Won |
MXN | Mexican Peso |
MYR | Malaysian Ringgit |
NOK | Norwegian Krone |
NZD | New Zealand Dollar |
PEN | Peruvian Nuevo Sol |
PLN | Polish Zloty |
RON | Romanian New Leu |
RUB | Russian Ruble |
THB | Thai Bhat |
TRY | Turkish Lira |
UYU | Uruguayan Peso |
ZAR | South African Rand |
Security Abbreviations and Legend | |
CMT | Constant Maturity Treasury |
CPI | Consumer Price Index |
EURIBOR | Euro Interbank Offered Rate |
GO | General Obligation |
IO | Interest-Only Security - (Interest Tranche of Stripped Mortgage Pool). Rate shown is the annualized yield at the end of the period. |
LIBOR | London Interbank Offered Rate |
PIK | Pay-in-Kind Security - Represents a payment-in-kind which may pay interest in additional par and/or cash. Rates shown are the current rate and most recent payment rate. |
SOFR | Secured Overnight Financing Rate |
(A) | All or a portion of this security is segregated at the custodian as collateral for certain derivatives. |
(B) | Non-income producing security. |
(C) | 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 $51,745,253 or 24.6% of the fund's net assets as of 6-30-21. |
(D) | Perpetual bonds have no stated maturity date. Date shown as maturity date is next call date. |
(E) | Security purchased or sold on a when-issued or delayed delivery basis. |
The accompanying notes are an integral part of the financial statements. | 76 |
(F) | 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. |
(G) | Term loans are variable rate obligations. The coupon rate shown represents the rate at period end. |
(H) | This position represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate, which is disclosed as TBD (To Be Determined). |
(I) | Variable rate obligation. The coupon rate shown represents the rate at period end. |
(J) | Variable or floating rate security, the interest rate of which adjusts periodically based on a weighted average of interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of period end. |
(K) | The rate shown is the annualized seven-day yield as of 6-30-21. |
* | 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) |
10-Year Australian Treasury Bond Futures | 52 | Long | Sep 2021 | $5,495,449 | $5,510,425 | $14,976 |
10-Year U.S. Treasury Note Futures | 123 | Long | Sep 2021 | 16,233,283 | 16,297,500 | 64,217 |
5-Year U.S. Treasury Note Futures | 66 | Long | Sep 2021 | 8,155,125 | 8,146,359 | (8,766) |
Euro SCHATZ Futures | 1 | Long | Sep 2021 | 132,995 | 132,970 | (25) |
Ultra U.S. Treasury Bond Futures | 8 | Long | Sep 2021 | 1,159,924 | 1,177,625 | 17,701 |
Ultra U.S. Treasury Bond Futures | 24 | Long | Sep 2021 | 4,432,125 | 4,624,500 | 192,375 |
10-Year Canada Government Bond Futures | 8 | Short | Sep 2021 | (928,157) | (939,142) | (10,985) |
10-Year Mini Japan Government Bond Futures | 16 | Short | Sep 2021 | (2,181,730) | (2,185,661) | (3,931) |
2-Year U.S. Treasury Note Futures | 40 | Short | Sep 2021 | (8,825,762) | (8,812,812) | 12,950 |
Euro-Buxl Futures | 12 | Short | Sep 2021 | (2,859,115) | (2,891,902) | (32,787) |
German Euro BOBL Futures | 8 | Short | Sep 2021 | (1,271,744) | (1,272,547) | (803) |
German Euro BUND Futures | 69 | Short | Sep 2021 | (14,052,718) | (14,122,391) | (69,673) |
U.K. Long Gilt Bond Futures | 4 | Short | Sep 2021 | (704,343) | (708,803) | (4,460) |
U.S. Treasury Long Bond Futures | 76 | Short | Sep 2021 | (11,978,863) | (12,217,000) | (238,137) |
$(67,348) |
Contract to buy | Contract to sell | Counterparty (OTC) | Contractual settlement date | Unrealized appreciation | Unrealized depreciation | ||
AUD | 665,000 | USD | 504,428 | GSI | 7/30/2021 | — | $(5,641) |
BRL | 21,224,000 | USD | 4,303,762 | JPM | 7/2/2021 | — | (36,602) |
BRL | 21,224,000 | USD | 4,242,933 | MSI | 7/2/2021 | $24,227 | — |
BRL | 6,560,000 | USD | 1,327,156 | GSI | 7/30/2021 | — | (12,140) |
CAD | 299,000 | USD | 242,736 | JPM | 7/30/2021 | — | (1,533) |
CHF | 918,000 | USD | 999,361 | BOA | 7/30/2021 | — | (6,459) |
CLP | 1,128,458,000 | USD | 1,546,680 | SSB | 7/30/2021 | — | (11,135) |
COP | 7,021,523,000 | USD | 1,855,175 | CITI | 7/30/2021 | 13,261 | — |
CZK | 26,351,000 | USD | 1,238,776 | BOA | 7/30/2021 | — | (13,709) |
EUR | 1,164,000 | USD | 1,390,092 | GSI | 7/30/2021 | — | (9,078) |
EUR | 4,305,000 | USD | 5,143,750 | JPM | 7/30/2021 | — | (36,136) |
GBP | 4,161,000 | USD | 5,809,239 | JPM | 7/30/2021 | — | (52,839) |
IDR | 46,731,000,000 | USD | 3,216,616 | JPM | 7/30/2021 | — | (17,736) |
INR | 240,402,000 | USD | 3,230,558 | JPM | 7/30/2021 | — | (8,009) |
JPY | 920,011,000 | USD | 8,302,562 | MSI | 7/30/2021 | — | (19,361) |
MXN | 61,730,000 | USD | 3,069,800 | BARC | 7/30/2021 | 16,319 | — |
NOK | 12,580,000 | USD | 1,477,833 | MSI | 7/30/2021 | — | (16,558) |
NZD | 1,422,000 | USD | 1,004,700 | MSI | 7/30/2021 | — | (10,784) |
PLN | 3,778,000 | USD | 996,290 | JPM | 7/30/2021 | — | (5,329) |
PLN | 4,305,000 | USD | 1,140,379 | MSI | 7/30/2021 | — | (11,187) |
RUB | 256,880,000 | USD | 3,540,633 | BARC | 7/30/2021 | — | (44,585) |
SGD | 2,755,000 | USD | 2,051,613 | BOA | 7/30/2021 | — | (2,829) |
TRY | 12,126,000 | USD | 1,370,991 | BARC | 7/30/2021 | 1,441 | — |
USD | 7,344,923 | AUD | 9,683,000 | GSI | 7/30/2021 | 82,134 | — |
USD | 4,242,933 | BRL | 21,224,000 | JPM | 7/2/2021 | — | (24,227) |
USD | 4,011,567 | BRL | 21,224,000 | MSI | 7/2/2021 | — | (255,592) |
USD | 4,290,364 | BRL | 21,224,000 | JPM | 8/3/2021 | 37,676 | — |
USD | 5,552,895 | CAD | 6,840,000 | JPM | 7/30/2021 | 35,067 | — |
USD | 20,955,950 | EUR | 17,533,000 | JPM | 7/30/2021 | 154,141 | — |
USD | 645,006 | GBP | 462,000 | JPM | 7/30/2021 | 5,867 | — |
The accompanying notes are an integral part of the financial statements. | 77 |
FORWARD FOREIGN CURRENCY CONTRACTS (continued)
Contract to buy | Contract to sell | Counterparty (OTC) | Contractual settlement date | Unrealized appreciation | Unrealized depreciation | ||
USD | 2,313,623 | HUF | 678,358,000 | BOA | 7/30/2021 | $25,361 | — |
USD | 1,084,332 | IDR | 15,753,176,000 | JPM | 7/30/2021 | 5,979 | — |
USD | 3,546,532 | ILS | 11,533,000 | BARC | 7/30/2021 | 8,175 | — |
USD | 9,478,470 | JPY | 1,050,314,000 | MSI | 7/30/2021 | 22,104 | — |
USD | 13,234,164 | KRW | 14,971,148,000 | BOA | 7/30/2021 | — | $(13,592) |
USD | 1,052,388 | MXN | 20,952,000 | GSI | 7/30/2021 | 4,917 | — |
USD | 8,087,317 | NOK | 68,843,000 | MSI | 7/30/2021 | 90,614 | — |
USD | 4,988,879 | NZD | 7,061,000 | MSI | 7/30/2021 | 53,548 | — |
USD | 5,214,301 | RUB | 378,308,000 | BARC | 7/30/2021 | 65,661 | — |
USD | 3,216,688 | SEK | 27,247,000 | MSI | 7/30/2021 | 32,095 | — |
USD | 3,188,750 | SGD | 4,282,000 | BOA | 7/30/2021 | 4,396 | — |
USD | 717,685 | THB | 22,920,000 | JPM | 7/30/2021 | 2,607 | — |
USD | 2,895,328 | ZAR | 41,237,000 | JPM | 7/30/2021 | 17,562 | — |
$703,152 | $(615,061) |
Interest rate swaps | ||||||||||
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 |
BOA | 26,670,000 | CNY | CNY CNREPOFIX Reuters | Fixed 2.340% | Quarterly | Quarterly | Sep 2025 | $(4,053) | $(61,570) | $(65,623) |
BOA | 4,140,000 | USD | Fixed 2.535% | USA CPI All Urban Consumers | At Maturity | At Maturity | Jun 2026 | — | 27,724 | 27,724 |
BOA | 1,170,000 | USD | Fixed 1.635% | USA CPI All Urban Consumers | At Maturity | At Maturity | Feb 2050 | — | 309,662 | 309,662 |
CITI | 10,560,000 | CNY | CNY CNREPOFIX Reuters | Fixed 2.390% | Quarterly | Quarterly | Jun 2025 | — | (57,650) | (57,650) |
CITI | 41,170,000 | CNY | CNY CNREPOFIX Reuters | Fixed 2.340% | Quarterly | Quarterly | Sep 2025 | (79,001) | (22,231) | (101,232) |
CITI | 27,880,000 | CNY | CNY CNREPOFIX Reuters | Fixed 2.340% | Quarterly | Quarterly | Sep 2025 | (44,115) | (24,126) | (68,241) |
CITI | 1,830,000 | ILS | ILS TELBOR Reuters | Fixed 1.493% | Annual | Quarterly | Sep 2031 | — | 13,345 | 13,345 |
CITI | 3,460,000 | ILS | ILS TELBOR Reuters | Fixed 1.442% | Annual | Quarterly | Sep 2031 | — | 20,076 | 20,076 |
JPM | 2,330,000 | USD | Fixed 1.830% | USA CPI All Urban Consumers | At Maturity | At Maturity | Feb 2050 | (57,889) | 532,114 | 474,225 |
$(185,058) | $737,344 | $552,286 | ||||||||
Centrally cleared | 2,550,000 | CAD | CAD CORRA Compounded OIS | Fixed 0.013% | Semi-Annual | Semi-Annual | Sep 2026 | — | 3,471 | 3,471 |
Centrally cleared | 2,550,000 | CAD | CAD CORRA Compounded OIS | Fixed 0.013% | Semi-Annual | Semi-Annual | Sep 2026 | — | 2,720 | 2,720 |
Centrally cleared | 2,935,000 | CAD | CAD CORRA Compounded OIS | Fixed 1.283% | Semi-Annual | Semi-Annual | Nov 2026 | — | (2,428) | (2,428) |
Centrally cleared | 2,415,000 | CAD | CAD CORRA Compounded OIS | Fixed 1.266% | Semi-Annual | Semi-Annual | Nov 2026 | — | (3,268) | (3,268) |
Centrally cleared | 7,270,000 | PLN | Fixed 0.880% | PLN WIBOR WIBO | Annual | Semi-Annual | Sep 2030 | 1,233 | 123,038 | 124,271 |
Centrally cleared | 92,659,200 | MXN | MXN TIIE Banxico | Fixed 7.130% | Monthly | Monthly | Jun 2031 | 32,015 | 18,372 | 50,387 |
Centrally cleared | 84,380,000 | MXN | MXN TIIE Banxico | Fixed 6.940% | Monthly | Monthly | Sep 2031 | (1,514) | (44,203) | (45,717) |
Centrally cleared | 350,000 | GBP | Fixed 0.800% | GBP SONIA Compounded OIS | Annual | Annual | Jun 2071 | — | (22,627) | (22,627) |
Centrally cleared | 720,000 | GBP | Fixed 0.840% | GBP SONIA Compounded OIS | Annual | Annual | Sep 2071 | (28,042) | (34,182) | (62,224) |
Centrally cleared | 390,000 | GBP | Fixed 0.710% | GBP SONIA Compounded OIS | Annual | Annual | Sep 2071 | (151) | (4,523) | (4,674) |
$3,541 | $36,370 | $39,911 | ||||||||
$(181,517) | $773,714 | $592,197 |
Credit default swaps - Buyer | ||||||||||
Counterparty (OTC)/ Centrally cleared | Reference obligation | Notional amount | Currency | USD notional amount | Pay fixed rate | Fixed payment frequency | Maturity date | Unamortized upfront payment paid (received) | Unrealized appreciation (depreciation) | Value |
BARC | Government of Malaysia | 1,900,000 | USD | $1,900,000 | 1.000% | Quarterly | Dec 2025 | $(36,349) | $(19,355) | $(55,704) |
CITI | Government of Malaysia | 330,000 | USD | 330,000 | 1.000% | Quarterly | Dec 2025 | (6,188) | (3,487) | (9,675) |
CITI | Republic of Peru | 345,000 | USD | 345,000 | 1.000% | Quarterly | Dec 2025 | (5,931) | 943 | (4,988) |
The accompanying notes are an integral part of the financial statements. | 78 |
Credit default swaps - Buyer (continued) | ||||||||||
Counterparty (OTC)/ Centrally cleared | Reference obligation | Notional amount | Currency | USD notional amount | Pay fixed rate | Fixed payment frequency | Maturity date | Unamortized upfront payment paid (received) | Unrealized appreciation (depreciation) | Value |
CITI | Federative Republic of Brazil | 760,000 | USD | $760,000 | 1.000% | Quarterly | Jun 2026 | $21,211 | $(920) | $20,291 |
CITI | Federative Republic of Brazil | 765,000 | USD | 765,000 | 1.000% | Quarterly | Jun 2026 | 20,923 | 1,435 | 22,358 |
CITI | Republic of South Africa | 780,000 | USD | 780,000 | 1.000% | Quarterly | Jun 2026 | 29,570 | 908 | 30,478 |
GSI | People's Republic of China | 3,880,000 | USD | 3,880,000 | 1.000% | Quarterly | Dec 2024 | (76,246) | (37,848) | (114,094) |
GSI | CMBX.NA.AAA.12 | 1,380,000 | USD | 1,380,000 | 0.500% | Monthly | Aug 2061 | (11,495) | (1,720) | (13,215) |
GSI | CMBX.NA.AAA.12 | 1,380,000 | USD | 1,380,000 | 0.500% | Monthly | Aug 2061 | (11,977) | (1,238) | (13,215) |
GSI | CMBX.NA.AAA.13 | 1,380,000 | USD | 1,380,000 | 0.500% | Monthly | Dec 2072 | (2,827) | (6,723) | (9,550) |
GSI | CMBX.NA.AAA.13 | 1,390,000 | USD | 1,390,000 | 0.500% | Monthly | Dec 2072 | (2,266) | (7,353) | (9,619) |
GSI | CMBX.NA.AAA.13 | 1,400,000 | USD | 1,400,000 | 0.500% | Monthly | Dec 2072 | (5,688) | (3,981) | (9,669) |
GSI | CMBX.NA.AAA.13 | 1,405,000 | USD | 1,405,000 | 0.500% | Monthly | Dec 2072 | (6,771) | (2,952) | (9,723) |
JPM | Republic of Korea | 9,630,000 | USD | 9,630,000 | 1.000% | Quarterly | Dec 2024 | (229,452) | (90,640) | (320,092) |
JPM | Republic of South Africa | 390,000 | USD | 390,000 | 1.000% | Quarterly | Jun 2026 | 15,945 | (1,692) | 14,253 |
MSI | Government of Japan | 9,570,000 | USD | 9,570,000 | 1.000% | Quarterly | Dec 2024 | (242,870) | (81,872) | (324,742) |
MSI | Government of Malaysia | 1,715,000 | USD | 1,715,000 | 1.000% | Quarterly | Dec 2025 | (32,963) | (17,317) | (50,280) |
MSI | Government of Malaysia | 1,840,000 | USD | 1,840,000 | 1.000% | Quarterly | Dec 2025 | (52,617) | (1,328) | (53,945) |
MSI | People's Republic of China | 680,000 | USD | 680,000 | 1.000% | Quarterly | Dec 2025 | (14,689) | (7,585) | (22,274) |
MSI | Federative Republic of Brazil | 770,000 | USD | 770,000 | 1.000% | Quarterly | Jun 2026 | 23,216 | (2,658) | 20,558 |
MSI | Federative Republic of Brazil | 775,000 | USD | 775,000 | 1.000% | Quarterly | Jun 2026 | 23,007 | (357) | 22,650 |
MSI | Republic of South Africa | 775,000 | USD | 775,000 | 1.000% | Quarterly | Jun 2026 | 33,317 | (4,994) | 28,323 |
MSI | Republic of South Africa | 770,000 | USD | 770,000 | 1.000% | Quarterly | Jun 2026 | 29,261 | (1,120) | 28,141 |
MSI | CMBX.NA.BBB-.7 | 2,030,000 | USD | 2,030,000 | 3.000% | Monthly | Jan 2047 | 44,685 | 310,967 | 355,652 |
MSI | CMBX.NA.BBB-.8 | 2,080,000 | USD | 2,080,000 | 3.000% | Monthly | Oct 2057 | 97,622 | 187,815 | 285,437 |
MSI | CMBX.NA.AAA.12 | 1,380,000 | USD | 1,380,000 | 0.500% | Monthly | Aug 2061 | (11,609) | (1,606) | (13,215) |
MSI | CMBX.NA.AAA.12 | 1,385,000 | USD | 1,385,000 | 0.500% | Monthly | Aug 2061 | (12,958) | (305) | (13,263) |
MSI | CMBX.NA.BBB-.12 | 250,000 | USD | 250,000 | 3.000% | Monthly | Aug 2061 | 17,181 | (8,889) | 8,292 |
MSI | CMBX.NA.AAA.13 | 1,390,000 | USD | 1,390,000 | 0.500% | Monthly | Dec 2072 | (4,567) | (5,052) | (9,619) |
MSI | CMBX.NA.AAA.13 | 1,480,000 | USD | 1,480,000 | 0.500% | Monthly | Dec 2072 | (7,571) | (2,671) | (10,242) |
MSI | CMBX.NA.AAA.13 | 1,480,000 | USD | 1,480,000 | 0.500% | Monthly | Dec 2072 | (8,163) | (2,079) | (10,242) |
$55,485,000 | $(427,259) | $186,326 | $(240,933) | |||||||
Centrally cleared | iTraxx Europe Crossover Series 35 Version 1 | 265,000 | EUR | 312,077 | 5.000% | Quarterly | Jun 2026 | (36,327) | (3,177) | (39,504) |
Centrally cleared | iTraxx Europe Series 35 Version 1 | 4,790,000 | EUR | 5,793,886 | 1.000% | Quarterly | Jun 2026 | (151,348) | (1,674) | (153,022) |
Centrally cleared | iTraxx Europe Sub Financials Series 35 Version 1 | 3,375,000 | EUR | 4,066,585 | 1.000% | Quarterly | Jun 2026 | 12,445 | (7,506) | 4,939 |
$10,172,548 | $(175,230) | $(12,357) | $(187,587) | |||||||
$65,657,548 | $(602,489) | $173,969 | $(428,520) |
Credit default swaps - Seller | |||||||||||
Counterparty (OTC)/ Centrally cleared | Reference obligation | Implied credit spread | Notional amount | Currency | USD notional amount | Received fixed rate | Fixed payment frequency | Maturity date | Unamortized upfront payment paid (received) | Unrealized appreciation (depreciation) | Value |
BARC | Republic of Panama | 0.665% | 125,000 | USD | $125,000 | 1.000% | Quarterly | Jun 2026 | $1,206 | $1,192 | $2,398 |
CITI | Republic of Columbia | 1.360% | 280,000 | USD | 280,000 | 1.000% | Quarterly | Jun 2026 | (3,330) | (723) | (4,053) |
CITI | Republic of Panama | 0.665% | 125,000 | USD | 125,000 | 1.000% | Quarterly | Jun 2026 | 1,513 | 885 | 2,398 |
CITI | Republic of Peru | 0.820% | 115,000 | USD | 115,000 | 1.000% | Quarterly | Jun 2026 | 1,279 | 54 | 1,333 |
CITI | Republic of Peru | 0.820% | 100,000 | USD | 100,000 | 1.000% | Quarterly | Jun 2026 | 819 | 341 | 1,160 |
GSI | Republic of Columbia | 1.360% | 215,000 | USD | 215,000 | 1.000% | Quarterly | Jun 2026 | (2,554) | (558) | (3,112) |
GSI | Republic of Columbia | 1.360% | 215,000 | USD | 215,000 | 1.000% | Quarterly | Jun 2026 | (2,554) | (558) | (3,112) |
GSI | Republic of Columbia | 1.360% | 250,000 | USD | 250,000 | 1.000% | Quarterly | Jun 2026 | (3,027) | (592) | (3,619) |
GSI | Republic of Columbia | 1.360% | 125,000 | USD | 125,000 | 1.000% | Quarterly | Jun 2026 | (1,322) | (487) | (1,809) |
GSI | Republic of Columbia | 1.360% | 140,000 | USD | 140,000 | 1.000% | Quarterly | Jun 2026 | (1,036) | (990) | (2,026) |
GSI | Republic of Columbia | 1.360% | 255,000 | USD | 255,000 | 1.000% | Quarterly | Jun 2026 | (1,705) | (1,986) | (3,691) |
GSI | Republic of Panama | 0.665% | 110,000 | USD | 110,000 | 1.000% | Quarterly | Jun 2026 | 1,116 | 994 | 2,110 |
The accompanying notes are an integral part of the financial statements. | 79 |
Credit default swaps - Seller (continued) | |||||||||||
Counterparty (OTC)/ Centrally cleared | Reference obligation | Implied credit spread | Notional amount | Currency | USD notional amount | Received fixed rate | Fixed payment frequency | Maturity date | Unamortized upfront payment paid (received) | Unrealized appreciation (depreciation) | Value |
GSI | Republic of Peru | 0.820% | 110,000 | USD | $110,000 | 1.000% | Quarterly | Jun 2026 | $1,224 | $51 | $1,275 |
GSI | Republic of Peru | 0.820% | 65,000 | USD | 65,000 | 1.000% | Quarterly | Jun 2026 | 532 | 222 | 754 |
JPM | Republic of Columbia | 1.360% | 235,000 | USD | 235,000 | 1.000% | Quarterly | Jun 2026 | (1,906) | (1,496) | (3,402) |
MSI | Republic of Panama | 0.665% | 120,000 | USD | 120,000 | 1.000% | Quarterly | Jun 2026 | 1,216 | 1,086 | 2,302 |
MSI | Republic of Peru | 0.820% | 95,000 | USD | 95,000 | 1.000% | Quarterly | Jun 2026 | 824 | 278 | 1,102 |
$2,680,000 | $(7,705) | $(2,287) | $(9,992) |
Total return swaps | ||||||||||
Pay/ receive total return* | Reference entity | Floating/ fixed rate | Payment frequency | Currency | Notional amount | Maturity date | Counterparty (OTC) | Unamortized upfront payment paid (received) | Unrealized appreciation (depreciation) | Value |
Pay | iBoxx $ Liquid High Yield Index | 3-Month USD LIBOR | At Maturity | USD | 710,000 | Sep 2021 | GSI | — | $(14,033) | $(14,033) |
Pay | iBoxx $ Liquid High Yield Index | 3-Month USD LIBOR | At Maturity | USD | 1,420,000 | Dec 2021 | GSI | — | (32,943) | (32,943) |
Pay | iBoxx $ Liquid High Yield Index | 3-Month USD LIBOR | At Maturity | USD | 13,540,000 | Dec 2021 | GSI | — | (95,231) | (95,231) |
Pay | iBoxx $ Liquid High Yield Index | 3-Month USD LIBOR | At Maturity | USD | 750,000 | Dec 2021 | GSI | — | (6,496) | (6,496) |
Pay | iBoxx $ Liquid Investment Grade Index | 3-Month USD LIBOR | At Maturity | USD | 14,950,000 | Dec 2021 | GSI | — | (212,846) | (212,846) |
Pay | iBoxx $ Liquid High Yield Index | 3-Month USD LIBOR | At Maturity | USD | 705,000 | Sep 2021 | JPM | — | (9,475) | (9,475) |
Pay | iBoxx $ Liquid High Yield Index | 3-Month USD LIBOR | At Maturity | USD | 2,130,000 | Dec 2021 | JPM | — | (14,982) | (14,982) |
Pay | iBoxx $ Liquid Investment Grade Index | 3-Month USD LIBOR | At Maturity | USD | 5,580,000 | Sep 2021 | MSI | — | (285,342) | (285,342) |
Pay | iBoxx $ Liquid Investment Grade Index | 3-Month USD LIBOR | At Maturity | USD | 5,340,000 | Dec 2021 | MSI | — | (67,219) | (67,219) |
Receive | iBoxx $ Liquid Leveraged Loan Index | 3-Month USD LIBOR | At Maturity | USD | 2,020,000 | Sep 2021 | JPM | — | 18,223 | 18,223 |
Receive | iBoxx $ Liquid Leveraged Loan Index | 3-Month USD LIBOR | At Maturity | USD | 2,420,000 | Sep 2021 | MSI | — | 8,413 | 8,413 |
— | $(711,931) | $(711,931) |
The accompanying notes are an integral part of the financial statements. | 80 |
Derivatives Currency Abbreviations | |
AUD | Australian Dollar |
BRL | Brazilian Real |
CAD | Canadian Dollar |
CHF | Swiss Franc |
CLP | Chilean Peso |
CNY | Chinese Yuan Renminbi |
COP | Colombian Peso |
CZK | Czech Republic Koruna |
EUR | Euro |
GBP | Pound Sterling |
HUF | Hungarian Forint |
IDR | Indonesian Rupiah |
ILS | Israeli New Shekel |
INR | Indian Rupee |
JPY | Japanese Yen |
KRW | Korean Won |
MXN | Mexican Peso |
NOK | Norwegian Krone |
NZD | New Zealand Dollar |
PLN | Polish Zloty |
RUB | Russian Ruble |
SEK | Swedish Krona |
SGD | Singapore Dollar |
THB | Thai Bhat |
TRY | Turkish Lira |
USD | U.S. Dollar |
ZAR | South African Rand |
Derivatives Abbreviations | |
BARC | Barclays Bank PLC |
BOA | Bank of America, N.A. |
CITI | Citibank, N.A. |
CNREPOFIX | China Fixing Repo Rate |
CORRA | Canadian Overnight Repo Rate Average |
CPI | Consumer Price Index |
GSI | Goldman Sachs International |
JPM | JPMorgan Chase Bank, N.A. |
LIBOR | London Interbank Offered Rate |
MSI | Morgan Stanley & Co. International PLC |
OIS | Overnight Index Swap |
OTC | Over-the-counter |
SONIA | Sterling Overnight Interbank Average Rate |
SSB | State Street Bank and Trust Company |
TELBOR | Tel Aviv Interbank Offered Rate |
TIIE | Tasa de Interes Interbancario de Equilibrio (Interbank Equilibrium Interest Rate) |
WIBOR | Warsaw Interbank Offered Rate |
Shares or Principal Amount | Value | ||||
U.S. GOVERNMENT AND AGENCY OBLIGATIONS – 31.8% | |||||
U.S. Government – 14.3% | |||||
U.S. Treasury Bonds | |||||
1.875%, 02/15/2051 | $ | 103,472,600 | $ | 98,751,663 | |
2.250%, 05/15/2041 | 138,933,000 | 144,555,445 | |||
2.500%, 02/15/2045 | 115,800,000 | 125,290,171 | |||
3.000%, 02/15/2047 | 37,979,000 | 45,117,865 | |||
3.125%, 11/15/2041 | 65,949,000 | 78,613,269 |
Shares or Principal Amount | Value | ||||
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (continued) | |||||
U.S. Government (continued) | |||||
U.S. Treasury Notes | |||||
0.750%, 05/31/2026 | $ | 108,023,000 | $ | 107,406,932 | |
0.875%, 06/30/2026 | 121,315,000 | 121,258,134 | |||
1.250%, 03/31/2028 to 06/30/2028 | 275,070,000 | 275,919,449 | |||
1.625%, 05/15/2031 | 145,873,000 | 148,106,680 | |||
1,145,019,608 |
The accompanying notes are an integral part of the financial statements. | 81 |
Shares or Principal Amount | Value | ||||
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (continued) | |||||
U.S. Government Agency – 17.5% | |||||
Federal Home Loan Mortgage Corp. | |||||
2.500%, 08/01/2050 | $ | 69,012,874 | $ | 71,998,495 | |
3.000%, 03/01/2043 to 12/01/2049 | 135,069,210 | 143,251,934 | |||
3.500%, 04/01/2044 to 04/01/2047 | 79,141,009 | 85,614,196 | |||
4.000%, 03/01/2048 to 08/01/2048 | 22,310,667 | 24,054,919 | |||
Federal National Mortgage Association | |||||
2.000%, TBA (A) | 168,333,000 | 170,084,572 | |||
2.000%, 09/01/2050 to 02/01/2051 | 87,463,396 | 88,648,228 | |||
2.500%, TBA (A) | 83,389,000 | 86,248,976 | |||
2.500%, 09/01/2050 to 12/01/2050 | 74,956,670 | 77,794,221 | |||
2.625%, 09/06/2024 (B) | 8,300,000 | 8,869,281 | |||
3.000%, 01/01/2043 to 11/01/2049 | 168,550,839 | 178,669,502 | |||
3.500%, 06/01/2042 to 09/01/2049 | 193,538,342 | 207,296,574 | |||
4.000%, 09/01/2040 to 07/01/2049 | 191,905,223 | 210,282,770 | |||
4.500%, 12/01/2040 to 05/01/2042 | 46,866,599 | 52,050,419 | |||
Government National Mortgage Association 4.000%, 10/15/2039 to 11/15/2041 | 3,501,393 | 3,849,279 | |||
1,408,713,366 | |||||
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (Cost $2,513,411,630) | $ | 2,553,732,974 | |||
FOREIGN GOVERNMENT OBLIGATIONS – 0.5% | |||||
Qatar – 0.3% | |||||
State of Qatar | |||||
3.375%, 03/14/2024 (C) | 11,857,000 | 12,716,633 | |||
5.103%, 04/23/2048 (C) | 8,410,000 | 11,160,070 | |||
23,876,703 | |||||
Saudi Arabia – 0.2% | |||||
Kingdom of Saudi Arabia 4.375%, 04/16/2029 (C) | 14,904,000 | 17,251,380 | |||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost $35,529,031) | $ | 41,128,083 | |||
CORPORATE BONDS – 40.5% | |||||
Communication services – 3.9% | |||||
AT&T, Inc. | |||||
2.300%, 06/01/2027 | 6,382,000 | 6,600,921 | |||
3.100%, 02/01/2043 | 15,595,000 | 15,280,768 | |||
3.500%, 06/01/2041 | 9,402,000 | 9,766,484 | |||
3.650%, 06/01/2051 | 3,738,000 | 3,880,611 | |||
Charter Communications Operating LLC | |||||
4.200%, 03/15/2028 | 13,245,000 | 14,989,080 | |||
4.800%, 03/01/2050 | 15,472,000 | 17,770,349 | |||
5.750%, 04/01/2048 | 16,696,000 | 21,249,680 | |||
6.484%, 10/23/2045 | 13,673,000 | 18,830,205 | |||
Comcast Corp. 4.150%, 10/15/2028 (B) | 20,678,000 | 23,935,962 | |||
Cox Communications, Inc. 1.800%, 10/01/2030 (C) | 5,016,000 | 4,780,627 | |||
Level 3 Financing, Inc. 3.400%, 03/01/2027 (C) | 6,456,000 | 6,844,328 | |||
NBN Company, Ltd. 1.450%, 05/05/2026 (C) | 20,683,000 | 20,729,537 | |||
Telefonica Emisiones SA 5.213%, 03/08/2047 | 16,102,000 | 20,099,718 | |||
T-Mobile USA, Inc. | |||||
2.050%, 02/15/2028 | 12,548,000 | 12,738,353 | |||
2.550%, 02/15/2031 | 4,124,000 | 4,170,189 | |||
3.750%, 04/15/2027 | 5,869,000 | 6,485,245 | |||
3.875%, 04/15/2030 | 13,891,000 | 15,527,638 | |||
4.500%, 04/15/2050 | 7,980,000 | 9,502,050 | |||
Verizon Communications, Inc. | |||||
2.650%, 11/20/2040 | 16,407,000 | 15,788,738 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Communication services (continued) | |||||
Verizon Communications, Inc. (continued) | |||||
3.000%, 03/22/2027 | $ | 2,177,000 | $ | 2,342,735 | |
3.400%, 03/22/2041 | 3,282,000 | 3,471,840 | |||
4.329%, 09/21/2028 | 17,379,000 | 20,221,167 | |||
4.400%, 11/01/2034 | 7,740,000 | 9,219,941 | |||
4.500%, 08/10/2033 | 7,958,000 | 9,509,556 | |||
4.862%, 08/21/2046 | 14,591,000 | 18,877,674 | |||
312,613,396 | |||||
Consumer discretionary – 3.2% | |||||
Amazon.com, Inc. 4.050%, 08/22/2047 | 9,136,000 | 11,144,485 | |||
AutoNation, Inc. 4.750%, 06/01/2030 | 4,925,000 | 5,824,815 | |||
Booking Holdings, Inc. 4.625%, 04/13/2030 | 10,170,000 | 12,135,616 | |||
Choice Hotels International, Inc. 3.700%, 12/01/2029 to 01/15/2031 | 15,291,000 | 16,550,468 | |||
Daimler Finance North America LLC 3.500%, 08/03/2025 (C) | 5,990,000 | 6,540,681 | |||
Dollar Tree, Inc. 4.200%, 05/15/2028 | 16,502,000 | 18,824,859 | |||
eBay, Inc. 2.700%, 03/11/2030 | 12,556,000 | 13,061,680 | |||
Expedia Group, Inc. | |||||
2.950%, 03/15/2031 | 5,475,000 | 5,547,893 | |||
3.250%, 02/15/2030 | 9,432,000 | 9,852,165 | |||
3.800%, 02/15/2028 | 16,524,000 | 17,971,353 | |||
4.625%, 08/01/2027 | 8,689,000 | 9,819,833 | |||
5.000%, 02/15/2026 | 13,035,000 | 14,869,999 | |||
General Motors Financial Company, Inc. | |||||
3.600%, 06/21/2030 | 20,346,000 | 22,029,659 | |||
4.350%, 01/17/2027 | 8,868,000 | 9,970,218 | |||
Genting New York LLC 3.300%, 02/15/2026 (C) | 10,242,000 | 10,338,871 | |||
Hyatt Hotels Corp. | |||||
4.375%, 09/15/2028 | 1,824,000 | 2,008,137 | |||
5.750%, 04/23/2030 | 5,427,000 | 6,587,729 | |||
Hyundai Capital America | |||||
1.800%, 10/15/2025 (C) | 4,018,000 | 4,076,774 | |||
2.375%, 10/15/2027 (C) | 4,018,000 | 4,107,785 | |||
Marriott International, Inc. | |||||
2.850%, 04/15/2031 | 9,027,000 | 9,166,834 | |||
3.500%, 10/15/2032 | 5,228,000 | 5,553,715 | |||
4.625%, 06/15/2030 | 5,210,000 | 6,000,368 | |||
4.650%, 12/01/2028 | 13,237,000 | 15,107,020 | |||
Nissan Motor Acceptance Corp. 3.450%, 03/15/2023 (C) | 3,950,000 | 4,111,884 | |||
Prosus NV | |||||
4.850%, 07/06/2027 (C) | 3,610,000 | 4,107,041 | |||
5.500%, 07/21/2025 (C) | 8,425,000 | 9,616,295 | |||
Resorts World Las Vegas LLC 4.625%, 04/16/2029 (C) | 4,670,000 | 4,839,980 | |||
259,766,157 | |||||
Consumer staples – 0.6% | |||||
7-Eleven, Inc. 2.800%, 02/10/2051 (C) | 9,644,000 | 8,996,687 | |||
Anheuser-Busch InBev Worldwide, Inc. 4.600%, 04/15/2048 | 10,094,000 | 12,323,194 | |||
Cargill, Inc. 2.125%, 04/23/2030 (C) | 4,306,000 | 4,360,570 | |||
Coca-Cola Femsa SAB de CV 2.750%, 01/22/2030 | 5,029,000 | 5,235,591 | |||
Constellation Brands, Inc. 3.150%, 08/01/2029 | 3,340,000 | 3,581,816 |
The accompanying notes are an integral part of the financial statements. | 82 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Consumer staples (continued) | |||||
The Clorox Company 1.800%, 05/15/2030 | $ | 10,582,000 | $ | 10,392,876 | |
The Kroger Company 2.200%, 05/01/2030 | 3,293,000 | 3,311,848 | |||
48,202,582 | |||||
Energy – 3.0% | |||||
Aker BP ASA | |||||
2.875%, 01/15/2026 (C) | 5,450,000 | 5,740,381 | |||
3.000%, 01/15/2025 (C) | 6,211,000 | 6,519,236 | |||
4.000%, 01/15/2031 (C) | 10,984,000 | 12,064,657 | |||
Cenovus Energy, Inc. 3.950%, 04/15/2022 | 4,500,000 | 4,580,592 | |||
Cimarex Energy Company 4.375%, 06/01/2024 | 4,733,000 | 5,151,538 | |||
Diamondback Energy, Inc. 3.125%, 03/24/2031 | 5,548,000 | 5,749,703 | |||
Enbridge, Inc. (5.750% to 4-15-30, then 5 Year CMT + 5.314%) 07/15/2080 | 8,820,000 | 9,834,300 | |||
Enbridge, Inc. (6.250% to 3-1-28, then 3 month LIBOR + 3.641%) 03/01/2078 | 8,767,000 | 9,569,510 | |||
Energy Transfer LP | |||||
4.200%, 04/15/2027 | 3,063,000 | 3,382,819 | |||
5.150%, 03/15/2045 | 5,400,000 | 6,245,459 | |||
5.250%, 04/15/2029 | 17,785,000 | 21,007,103 | |||
5.400%, 10/01/2047 | 8,136,000 | 9,639,104 | |||
5.500%, 06/01/2027 | 9,621,000 | 11,283,361 | |||
Enterprise Products Operating LLC (5.250% to 8-16-27, then 3 month LIBOR + 3.033%) 08/16/2077 | 12,660,000 | 13,273,681 | |||
Kinder Morgan Energy Partners LP 7.750%, 03/15/2032 | 4,555,000 | 6,531,316 | |||
Kinder Morgan, Inc. 4.300%, 03/01/2028 | 3,877,000 | 4,425,384 | |||
Lundin Energy Finance BV | |||||
2.000%, 07/15/2026 (C) | 5,640,000 | 5,649,026 | |||
3.100%, 07/15/2031 (C) | 8,003,000 | 8,084,118 | |||
Midwest Connector Capital Company LLC 3.900%, 04/01/2024 (C) | 9,512,000 | 9,946,217 | |||
MPLX LP | |||||
4.000%, 03/15/2028 | 6,705,000 | 7,490,535 | |||
4.125%, 03/01/2027 | 2,551,000 | 2,850,479 | |||
4.250%, 12/01/2027 | 3,552,000 | 4,025,056 | |||
Sabine Pass Liquefaction LLC | |||||
4.200%, 03/15/2028 | 6,406,000 | 7,234,489 | |||
5.000%, 03/15/2027 | 7,297,000 | 8,426,152 | |||
5.875%, 06/30/2026 | 13,743,000 | 16,268,368 | |||
The Williams Companies, Inc. | |||||
3.750%, 06/15/2027 | 9,700,000 | 10,776,328 | |||
4.550%, 06/24/2024 | 17,539,000 | 19,322,905 | |||
TransCanada PipeLines, Ltd. 4.250%, 05/15/2028 | 6,220,000 | 7,144,505 | |||
242,216,322 | |||||
Financials – 10.8% | |||||
Ares Capital Corp. | |||||
2.150%, 07/15/2026 | 11,802,000 | 11,736,176 | |||
2.875%, 06/15/2028 | 6,780,000 | 6,881,836 | |||
3.875%, 01/15/2026 | 8,615,000 | 9,228,745 | |||
4.200%, 06/10/2024 | 6,463,000 | 6,943,451 | |||
Ascot Group, Ltd. 4.250%, 12/15/2030 (C) | 4,815,000 | 5,067,788 | |||
Athene Holding, Ltd. 3.500%, 01/15/2031 | 14,028,000 | 14,955,927 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Financials (continued) | |||||
Australia & New Zealand Banking Group, Ltd. (6.750% to 6-15-26, then 5 Year ICE Swap Rate + 5.168%) 06/15/2026 (C)(D) | $ | 3,040,000 | $ | 3,573,915 | |
AXA SA 8.600%, 12/15/2030 | 2,474,000 | 3,759,608 | |||
Banco Santander SA 4.379%, 04/12/2028 | 7,600,000 | 8,685,410 | |||
Bank of America Corp. | |||||
3.248%, 10/21/2027 | 12,889,000 | 13,981,208 | |||
3.950%, 04/21/2025 | 11,322,000 | 12,425,321 | |||
Bank of America Corp. (2.087% to 6-14-28, then SOFR + 1.060%) 06/14/2029 | 12,755,000 | 12,858,210 | |||
Bank of America Corp. (2.592% to 4-29-30, then SOFR + 2.150%) 04/29/2031 | 12,322,000 | 12,703,208 | |||
Bank of America Corp. (2.687% to 4-22-31, then SOFR + 1.320%) 04/22/2032 | 19,364,000 | 19,921,577 | |||
Bank of America Corp. (4.271% to 7-23-28, then 3 month LIBOR + 1.310%) 07/23/2029 | 17,187,000 | 19,744,242 | |||
Barclays PLC 4.375%, 01/12/2026 | 7,380,000 | 8,263,320 | |||
BPCE SA 4.500%, 03/15/2025 (C) | 7,805,000 | 8,599,534 | |||
Brighthouse Financial, Inc. 3.700%, 06/22/2027 (B) | 8,225,000 | 8,943,189 | |||
Cantor Fitzgerald LP 4.875%, 05/01/2024 (C) | 9,631,000 | 10,552,548 | |||
Citigroup, Inc. | |||||
3.200%, 10/21/2026 | 14,418,000 | 15,618,451 | |||
4.600%, 03/09/2026 | 17,394,000 | 19,797,857 | |||
5.500%, 09/13/2025 | 4,375,000 | 5,095,956 | |||
Citigroup, Inc. (2.561% to 5-1-31, then SOFR + 1.167%) 05/01/2032 | 8,604,000 | 8,758,457 | |||
Citizens Financial Group, Inc. 3.250%, 04/30/2030 | 11,890,000 | 12,882,300 | |||
CNA Financial Corp. 2.050%, 08/15/2030 | 4,015,000 | 3,942,957 | |||
CNO Financial Group, Inc. 5.250%, 05/30/2029 | 10,165,000 | 12,080,893 | |||
Credit Agricole SA | |||||
2.811%, 01/11/2041 (C) | 5,816,000 | 5,518,248 | |||
3.250%, 01/14/2030 (C) | 12,902,000 | 13,582,647 | |||
Credit Suisse Group AG 3.574%, 01/09/2023 (C) | 3,256,000 | 3,307,560 | |||
Discover Financial Services 4.100%, 02/09/2027 | 4,203,000 | 4,702,992 | |||
GE Capital International Funding Company 4.418%, 11/15/2035 | 17,822,000 | 21,359,337 | |||
Jefferies Financial Group, Inc. 5.500%, 10/18/2023 | 4,565,000 | 4,910,057 | |||
Jefferies Group LLC | |||||
4.150%, 01/23/2030 | 9,200,000 | 10,302,709 | |||
4.850%, 01/15/2027 | 9,813,000 | 11,414,252 | |||
JPMorgan Chase & Co. 2.950%, 10/01/2026 | 14,806,000 | 15,932,397 | |||
JPMorgan Chase & Co. (2.522% to 4-22-30, then SOFR + 2.040%) 04/22/2031 | 12,793,000 | 13,163,908 |
The accompanying notes are an integral part of the financial statements. | 83 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Financials (continued) | |||||
JPMorgan Chase & Co. (2.956% to 5-13-30, then SOFR + 2.515%) 05/13/2031 | $ | 12,141,000 | $ | 12,754,201 | |
JPMorgan Chase & Co. (3.960% to 1-29-26, then 3 month LIBOR + 1.245%) 01/29/2027 | 11,699,000 | 13,028,066 | |||
JPMorgan Chase & Co. (4.600% to 2-1-25, then SOFR + 3.125%) 02/01/2025 (D) | 8,070,000 | 8,362,941 | |||
JPMorgan Chase & Co. (6.750% to 2-1-24, then 3 month LIBOR + 3.780%) 02/01/2024 (D) | 12,159,000 | 13,482,507 | |||
Lazard Group LLC 4.375%, 03/11/2029 | 7,100,000 | 8,069,354 | |||
Lloyds Banking Group PLC 4.450%, 05/08/2025 | 16,755,000 | 18,801,938 | |||
M&T Bank Corp. (5.125% to 11-1-26, then 3 month LIBOR + 3.520%) 11/01/2026 (D) | 3,746,000 | 4,125,245 | |||
Macquarie Bank, Ltd. | |||||
3.624%, 06/03/2030 (C) | 6,523,000 | 6,894,935 | |||
4.875%, 06/10/2025 (C) | 7,810,000 | 8,734,622 | |||
MetLife, Inc. (6.400% to 12-15-36, then 3 month LIBOR + 2.205%) 12/15/2036 | 7,277,000 | 9,346,016 | |||
MetLife, Inc. (9.250% to 4-8-38, then 3 month LIBOR + 5.540%) 04/08/2038 (C) | 2,567,000 | 3,892,764 | |||
Morgan Stanley 3.875%, 01/27/2026 | 8,532,000 | 9,538,738 | |||
Morgan Stanley (2.188% to 4-28-25, then SOFR + 1.990%) 04/28/2026 | 22,984,000 | 23,864,326 | |||
NatWest Group PLC (3.754% to 11-1-24, then 5 Year CMT + 2.100%) 11/01/2029 | 4,512,000 | 4,794,000 | |||
New York Life Insurance Company 3.750%, 05/15/2050 (C) | 5,384,000 | 6,012,200 | |||
Nippon Life Insurance Company (2.750% to 1-21-31, then 5 Year CMT + 2.653%) 01/21/2051 (C) | 13,599,000 | 13,327,020 | |||
Nippon Life Insurance Company (5.100% to 10-16-24, then 5 Year U.S. Swap Rate + 3.650%) 10/16/2044 (C) | 5,325,000 | 5,870,813 | |||
Oaktree Specialty Lending Corp. 2.700%, 01/15/2027 | 14,277,000 | 14,282,887 | |||
Ohio National Financial Services, Inc. 5.550%, 01/24/2030 (C) | 3,660,000 | 4,171,075 | |||
PNC Bank NA 4.050%, 07/26/2028 | 2,690,000 | 3,111,141 | |||
Prudential Financial, Inc. (3.700% to 7-1-30, then 5 Year CMT + 3.035%) 10/01/2050 | 23,831,000 | 24,843,818 | |||
Prudential Financial, Inc. (5.875% to 9-15-22, then 3 month LIBOR + 4.175%) 09/15/2042 | 13,898,000 | 14,691,790 | |||
Santander Holdings USA, Inc. | |||||
3.244%, 10/05/2026 | 17,780,000 | 18,991,183 | |||
3.450%, 06/02/2025 | 15,306,000 | 16,448,198 | |||
3.500%, 06/07/2024 | 11,289,000 | 12,075,987 | |||
4.400%, 07/13/2027 | 2,083,000 | 2,340,894 | |||
SBL Holdings, Inc. 5.000%, 02/18/2031 (C) | 7,908,000 | 8,517,843 | |||
SVB Financial Group 3.125%, 06/05/2030 | 7,717,000 | 8,212,999 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Financials (continued) | |||||
Teachers Insurance & Annuity Association of America 4.270%, 05/15/2047 (C) | $ | 8,725,000 | $ | 10,430,951 | |
The Goldman Sachs Group, Inc. 3.850%, 01/26/2027 | 19,136,000 | 21,086,204 | |||
The Goldman Sachs Group, Inc. (2.615% to 4-22-31, then SOFR + 1.281%) 04/22/2032 | 22,533,000 | 23,018,974 | |||
The PNC Financial Services Group, Inc. (4.850% to 6-1-23, then 3 month LIBOR + 3.040%) 06/01/2023 (D) | 4,465,000 | 4,654,763 | |||
The PNC Financial Services Group, Inc. (6.750% to 8-1-21, then 3 month LIBOR + 3.678%) 08/01/2021 (D) | 11,183,000 | 11,193,680 | |||
Unum Group 4.125%, 06/15/2051 | 3,701,000 | 3,733,997 | |||
USAA Capital Corp. 2.125%, 05/01/2030 (C) | 3,725,000 | 3,763,442 | |||
Wells Fargo & Company 3.550%, 09/29/2025 | 18,013,000 | 19,798,139 | |||
Wells Fargo & Company (2.393% to 6-2-27, then SOFR + 2.100%) 06/02/2028 | 19,183,000 | 19,894,601 | |||
Wells Fargo & Company (2.879% to 10-30-29, then SOFR + 1.432%) 10/30/2030 | 14,423,000 | 15,273,492 | |||
Wells Fargo & Company (3.068% to 4-30-40, then SOFR + 2.530%) 04/30/2041 | 9,762,000 | 10,012,719 | |||
Wells Fargo & Company (5.875% to 6-15-25, then 3 month LIBOR + 3.990%) 06/15/2025 (D) | 21,439,000 | 24,009,750 | |||
Zions Bancorp NA 3.250%, 10/29/2029 | 18,340,000 | 19,221,023 | |||
865,875,427 | |||||
Health care – 2.9% | |||||
AbbVie, Inc. 3.200%, 11/21/2029 | 33,371,000 | 36,242,387 | |||
AmerisourceBergen Corp. | |||||
2.800%, 05/15/2030 | 9,144,000 | 9,530,258 | |||
3.450%, 12/15/2027 | 9,510,000 | 10,378,311 | |||
Anthem, Inc. 2.250%, 05/15/2030 | 3,522,000 | 3,552,289 | |||
Cottage Health Obligated Group 3.304%, 11/01/2049 | 12,102,000 | 13,066,456 | |||
CVS Health Corp. | |||||
2.700%, 08/21/2040 | 6,008,000 | 5,823,655 | |||
3.750%, 04/01/2030 | 7,993,000 | 8,944,727 | |||
4.300%, 03/25/2028 | 10,997,000 | 12,634,527 | |||
5.050%, 03/25/2048 | 11,164,000 | 14,500,648 | |||
Fresenius Medical Care US Finance III, Inc. | |||||
2.375%, 02/16/2031 (C) | 12,621,000 | 12,313,237 | |||
3.750%, 06/15/2029 (C) | 12,965,000 | 14,103,773 | |||
HCA, Inc. 4.125%, 06/15/2029 | 13,127,000 | 14,782,003 | |||
Premier Health Partners 2.911%, 11/15/2026 | 7,827,000 | 8,168,669 | |||
Royalty Pharma PLC 1.750%, 09/02/2027 (C) | 4,058,000 | 3,993,828 | |||
Shire Acquisitions Investments Ireland DAC 3.200%, 09/23/2026 | 12,537,000 | 13,609,381 | |||
Stanford Health Care 3.310%, 08/15/2030 | 4,679,000 | 5,161,559 |
The accompanying notes are an integral part of the financial statements. | 84 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Health care (continued) | |||||
Universal Health Services, Inc. | |||||
2.650%, 10/15/2030 (C) | $ | 7,813,000 | $ | 7,856,206 | |
5.000%, 06/01/2026 (C) | 10,969,000 | 11,243,225 | |||
Viatris, Inc. | |||||
2.300%, 06/22/2027 (C) | 4,139,000 | 4,224,853 | |||
2.700%, 06/22/2030 (C) | 8,321,000 | 8,414,044 | |||
4.000%, 06/22/2050 (C) | 10,136,000 | 10,719,115 | |||
229,263,151 | |||||
Industrials – 5.1% | |||||
Adani Ports & Special Economic Zone, Ltd. 3.100%, 02/02/2031 (C) | 6,679,000 | 6,355,803 | |||
AerCap Ireland Capital DAC | |||||
1.750%, 01/30/2026 | 9,702,000 | 9,588,143 | |||
2.875%, 08/14/2024 | 9,926,000 | 10,380,208 | |||
3.650%, 07/21/2027 | 3,468,000 | 3,704,804 | |||
Air Canada 2013-1 Class A Pass Through Trust 4.125%, 05/15/2025 (C) | 2,793,972 | 2,863,822 | |||
Air Canada 2017-1 Class B Pass Through Trust 3.700%, 01/15/2026 (C) | 4,274,947 | 4,152,256 | |||
Air Lease Corp. | |||||
2.875%, 01/15/2026 | 4,391,000 | 4,613,330 | |||
3.625%, 12/01/2027 | 4,932,000 | 5,297,438 | |||
Alaska Airlines 2020-1 Class B Pass Through Trust 8.000%, 08/15/2025 (C) | 13,539,479 | 15,198,066 | |||
American Airlines 2016-1 Class A Pass Through Trust 4.100%, 01/15/2028 | 8,186,885 | 8,064,081 | |||
American Airlines 2016-1 Class AA Pass Through Trust 3.575%, 01/15/2028 | 7,168,784 | 7,383,848 | |||
American Airlines 2017-1 Class A Pass Through Trust 4.000%, 02/15/2029 | 5,437,775 | 5,424,181 | |||
American Airlines 2017-1 Class AA Pass Through Trust 3.650%, 02/15/2029 | 6,250,825 | 6,500,858 | |||
American Airlines 2017-2 Class A Pass Through Trust 3.600%, 10/15/2029 | 4,787,069 | 4,679,360 | |||
American Airlines 2019-1 Class A Pass Through Trust 3.500%, 02/15/2032 | 4,984,681 | 4,810,217 | |||
American Airlines 2019-1 Class AA Pass Through Trust 3.150%, 02/15/2032 | 7,467,564 | 7,616,915 | |||
Ashtead Capital, Inc. | |||||
4.125%, 08/15/2025 (C) | 3,408,000 | 3,488,940 | |||
4.250%, 11/01/2029 (C) | 4,031,000 | 4,353,480 | |||
5.250%, 08/01/2026 (C) | 9,165,000 | 9,554,879 | |||
British Airways 2013-1 Class A Pass Through Trust 4.625%, 06/20/2024 (C) | 3,049,973 | 3,209,092 | |||
British Airways 2018-1 Class A Pass Through Trust 4.125%, 09/20/2031 (C) | 1,629,340 | 1,640,065 | |||
British Airways 2020-1 Class A Pass Through Trust 4.250%, 11/15/2032 (C) | 2,636,250 | 2,837,041 | |||
Continental Airlines 2007-1 Class A Pass Through Trust 5.983%, 04/19/2022 | 1,478,605 | 1,508,325 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Industrials (continued) | |||||
CoStar Group, Inc. 2.800%, 07/15/2030 (C) | $ | 10,366,000 | $ | 10,530,411 | |
DAE Funding LLC 3.375%, 03/20/2028 (C) | 11,546,000 | 11,800,936 | |||
Delta Air Lines, Inc. | |||||
2.900%, 10/28/2024 | 15,545,000 | 15,815,735 | |||
3.800%, 04/19/2023 | 6,835,000 | 7,094,069 | |||
4.375%, 04/19/2028 | 9,405,000 | 9,851,672 | |||
4.500%, 10/20/2025 (C) | 2,059,000 | 2,212,644 | |||
4.750%, 10/20/2028 (C) | 3,684,000 | 4,095,715 | |||
General Electric Company | |||||
4.250%, 05/01/2040 | 11,092,000 | 12,962,105 | |||
5.550%, 01/05/2026 | 11,917,000 | 14,120,790 | |||
GXO Logistics, Inc. 2.650%, 07/15/2031 (C) | 18,285,000 | 18,138,171 | |||
Huntington Ingalls Industries, Inc. | |||||
3.844%, 05/01/2025 | 4,251,000 | 4,632,405 | |||
4.200%, 05/01/2030 | 9,417,000 | 10,755,263 | |||
IHS Markit, Ltd. | |||||
4.000%, 03/01/2026 (C) | 8,327,000 | 9,230,480 | |||
4.750%, 02/15/2025 (C) | 2,050,000 | 2,294,975 | |||
4.750%, 08/01/2028 | 4,190,000 | 4,940,429 | |||
JetBlue 2019-1 Class AA Pass Through Trust 2.750%, 05/15/2032 | 7,396,784 | 7,595,835 | |||
Masco Corp. 2.000%, 10/01/2030 | 2,792,000 | 2,722,558 | |||
Owens Corning 3.950%, 08/15/2029 | 8,341,000 | 9,423,347 | |||
SMBC Aviation Capital Finance DAC 2.300%, 06/15/2028 (C) | 3,894,000 | 3,938,676 | |||
The Boeing Company | |||||
3.200%, 03/01/2029 | 8,456,000 | 8,874,557 | |||
5.040%, 05/01/2027 | 12,324,000 | 14,219,776 | |||
5.150%, 05/01/2030 | 9,011,000 | 10,670,420 | |||
5.805%, 05/01/2050 | 6,872,000 | 9,254,048 | |||
United Airlines 2014-2 Class A Pass Through Trust 3.750%, 09/03/2026 | 9,148,458 | 9,674,494 | |||
United Airlines 2016-1 Class A Pass Through Trust 3.450%, 07/07/2028 | 9,205,798 | 9,320,870 | |||
United Airlines 2016-1 Class B Pass Through Trust 3.650%, 01/07/2026 | 9,418,229 | 9,347,592 | |||
United Airlines 2018-1 Class B Pass Through Trust 4.600%, 03/01/2026 | 2,883,641 | 2,948,523 | |||
United Airlines 2019-1 Class A Pass Through Trust 4.550%, 08/25/2031 | 6,822,459 | 7,319,598 | |||
United Airlines 2020-1 Class A Pass Through Trust 5.875%, 10/15/2027 | 17,518,925 | 19,481,044 | |||
United Airlines 2020-1 Class B Pass Through Trust 4.875%, 01/15/2026 | 4,379,867 | 4,644,805 | |||
US Airways 2010-1 Class A Pass Through Trust 6.250%, 04/22/2023 | 1,702,931 | 1,745,504 | |||
US Airways 2012-1 Class A Pass Through Trust 5.900%, 10/01/2024 | 3,048,244 | 3,170,174 | |||
406,052,773 |
The accompanying notes are an integral part of the financial statements. | 85 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Information technology – 5.4% | |||||
Apple, Inc. 2.650%, 02/08/2051 | $ | 17,315,000 | $ | 16,926,712 | |
Autodesk, Inc. 2.850%, 01/15/2030 | 4,681,000 | 4,939,093 | |||
Broadcom, Inc. | |||||
3.419%, 04/15/2033 (C) | 18,199,000 | 19,111,940 | |||
4.750%, 04/15/2029 | 36,324,000 | 42,254,144 | |||
5.000%, 04/15/2030 | 14,161,000 | 16,706,746 | |||
Citrix Systems, Inc. 1.250%, 03/01/2026 | 13,442,000 | 13,273,220 | |||
Dell International LLC | |||||
4.900%, 10/01/2026 | 10,965,000 | 12,654,529 | |||
5.300%, 10/01/2029 | 9,287,000 | 11,205,986 | |||
5.850%, 07/15/2025 | 3,860,000 | 4,528,609 | |||
8.350%, 07/15/2046 | 8,532,000 | 13,954,968 | |||
Hewlett Packard Enterprise Company 4.900%, 10/15/2025 | 10,479,000 | 11,929,393 | |||
Jabil, Inc. 1.700%, 04/15/2026 | 6,797,000 | 6,847,351 | |||
KLA Corp. 4.100%, 03/15/2029 | 7,616,000 | 8,791,946 | |||
Lam Research Corp. | |||||
4.000%, 03/15/2029 | 15,023,000 | 17,431,274 | |||
4.875%, 03/15/2049 | 5,964,000 | 8,042,830 | |||
Marvell Technology, Inc. | |||||
2.450%, 04/15/2028 (C) | 11,200,000 | 11,415,151 | |||
4.875%, 06/22/2028 (C) | 10,319,000 | 11,928,775 | |||
Micron Technology, Inc. | |||||
4.185%, 02/15/2027 | 22,492,000 | 25,370,507 | |||
4.975%, 02/06/2026 | 5,650,000 | 6,494,022 | |||
5.327%, 02/06/2029 | 19,168,000 | 23,152,420 | |||
Microsoft Corp. 2.525%, 06/01/2050 | 24,775,000 | 24,340,965 | |||
Motorola Solutions, Inc. | |||||
2.300%, 11/15/2030 | 11,690,000 | 11,479,966 | |||
2.750%, 05/24/2031 | 12,426,000 | 12,683,074 | |||
4.600%, 02/23/2028 to 05/23/2029 | 8,385,000 | 9,772,811 | |||
NVIDIA Corp. 2.850%, 04/01/2030 | 9,403,000 | 10,178,503 | |||
NXP BV | |||||
3.250%, 05/11/2041 (C) | 3,717,000 | 3,821,707 | |||
3.875%, 06/18/2026 (C) | 12,831,000 | 14,210,952 | |||
Oracle Corp. 2.950%, 04/01/2030 | 18,106,000 | 19,073,150 | |||
PayPal Holdings, Inc. 2.850%, 10/01/2029 | 13,135,000 | 14,165,621 | |||
Skyworks Solutions, Inc. 3.000%, 06/01/2031 | 2,652,000 | 2,710,634 | |||
VeriSign, Inc. 2.700%, 06/15/2031 | 5,582,000 | 5,670,921 | |||
Visa, Inc. 2.700%, 04/15/2040 | 4,508,000 | 4,660,055 | |||
VMware, Inc. 4.700%, 05/15/2030 | 12,282,000 | 14,532,293 | |||
434,260,268 | |||||
Materials – 1.1% | |||||
Anglo American Capital PLC 4.750%, 04/10/2027 (C) | 5,485,000 | 6,304,644 | |||
Berry Global, Inc. 1.570%, 01/15/2026 (C) | 9,564,000 | 9,566,869 | |||
Colonial Enterprises, Inc. 3.250%, 05/15/2030 (C) | 21,491,000 | 23,230,356 | |||
Ecolab, Inc. | |||||
1.300%, 01/30/2031 | 12,758,000 | 12,050,334 | |||
4.800%, 03/24/2030 | 7,425,000 | 9,083,603 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Materials (continued) | |||||
Georgia-Pacific LLC 2.300%, 04/30/2030 (C) | $ | 5,295,000 | $ | 5,408,222 | |
International Flavors & Fragrances, Inc. 1.832%, 10/15/2027 (C) | 3,042,000 | 3,033,358 | |||
Inversiones CMPC SA 3.850%, 01/13/2030 (C) | 3,668,000 | 3,911,959 | |||
Newmont Corp. 2.800%, 10/01/2029 | 3,464,000 | 3,649,571 | |||
Orbia Advance Corp. SAB de CV 5.500%, 01/15/2048 (C) | 3,490,000 | 4,088,535 | |||
Vulcan Materials Company 3.500%, 06/01/2030 | 6,839,000 | 7,538,636 | |||
87,866,087 | |||||
Real estate – 2.9% | |||||
American Homes 4 Rent LP 4.250%, 02/15/2028 | 10,196,000 | 11,444,871 | |||
American Tower Corp. | |||||
3.550%, 07/15/2027 | 14,505,000 | 15,933,923 | |||
3.800%, 08/15/2029 | 6,600,000 | 7,353,853 | |||
Crown Castle International Corp. | |||||
2.250%, 01/15/2031 | 5,742,000 | 5,667,517 | |||
3.300%, 07/01/2030 | 3,145,000 | 3,369,218 | |||
3.650%, 09/01/2027 | 11,831,000 | 13,044,780 | |||
3.800%, 02/15/2028 | 4,658,000 | 5,175,412 | |||
4.150%, 07/01/2050 | 2,123,000 | 2,423,899 | |||
CyrusOne LP | |||||
2.150%, 11/01/2030 | 3,797,000 | 3,602,272 | |||
3.450%, 11/15/2029 | 8,590,000 | 9,123,568 | |||
Equinix, Inc. | |||||
1.550%, 03/15/2028 | 9,456,000 | 9,284,885 | |||
1.800%, 07/15/2027 | 5,384,000 | 5,449,364 | |||
2.500%, 05/15/2031 | 14,515,000 | 14,762,165 | |||
3.200%, 11/18/2029 | 12,260,000 | 13,150,131 | |||
GLP Capital LP 5.375%, 04/15/2026 | 7,596,000 | 8,743,072 | |||
Host Hotels & Resorts LP | |||||
3.375%, 12/15/2029 | 10,874,000 | 11,397,320 | |||
3.500%, 09/15/2030 | 7,110,000 | 7,461,022 | |||
3.875%, 04/01/2024 | 17,397,000 | 18,563,649 | |||
4.000%, 06/15/2025 | 13,557,000 | 14,669,552 | |||
4.500%, 02/01/2026 | 4,859,000 | 5,337,710 | |||
Prologis LP 2.250%, 04/15/2030 | 12,243,000 | 12,505,006 | |||
SBA Tower Trust | |||||
2.328%, 01/15/2028 (C) | 21,448,000 | 22,224,911 | |||
2.836%, 01/15/2025 (C) | 7,899,000 | 8,286,587 | |||
Ventas Realty LP 3.500%, 02/01/2025 | 4,775,000 | 5,152,969 | |||
234,127,656 | |||||
Utilities – 1.6% | |||||
ABY Transmision Sur SA 6.875%, 04/30/2043 (C) | 2,569,121 | 3,272,444 | |||
AES Panama Generation Holdings SRL 4.375%, 05/31/2030 (C) | 5,952,000 | 6,220,763 | |||
Dominion Energy, Inc. 3.375%, 04/01/2030 | 6,792,000 | 7,395,880 | |||
Emera US Finance LP 3.550%, 06/15/2026 | 6,192,000 | 6,762,902 | |||
Engie Energia Chile SA 3.400%, 01/28/2030 (C) | 8,250,000 | 8,456,250 | |||
Infraestructura Energetica Nova SAB de CV 4.750%, 01/15/2051 (C) | 12,007,000 | 12,157,088 | |||
NiSource, Inc. | |||||
1.700%, 02/15/2031 | 27,237,000 | 25,737,056 |
The accompanying notes are an integral part of the financial statements. | 86 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Utilities (continued) | |||||
NiSource, Inc. (continued) | |||||
3.600%, 05/01/2030 | $ | 4,676,000 | $ | 5,177,299 | |
NRG Energy, Inc. | |||||
2.450%, 12/02/2027 (C) | 7,276,000 | 7,322,795 | |||
4.450%, 06/15/2029 (C) | 5,451,000 | 6,016,700 | |||
SCE Recovery Funding LLC 0.861%, 11/15/2031 | 4,717,000 | 4,607,264 | |||
Vistra Operations Company LLC | |||||
3.550%, 07/15/2024 (C) | 12,479,000 | 13,176,210 | |||
3.700%, 01/30/2027 (C) | 12,977,000 | 13,864,773 | |||
4.300%, 07/15/2029 (C) | 11,424,000 | 12,416,959 | |||
132,584,383 | |||||
TOTAL CORPORATE BONDS (Cost $3,075,254,601) | $ | 3,252,828,202 | |||
MUNICIPAL BONDS – 1.5% | |||||
City of New York, GO 0.982%, 08/01/2025 | 12,545,000 | 12,586,190 | |||
Foothill-Eastern Transportation Corridor Agency (California) 4.094%, 01/15/2049 | 8,396,000 | 8,888,256 | |||
Maryland Health & Higher Educational Facilities Authority 3.197%, 07/01/2050 | 14,500,000 | 14,932,564 | |||
Mississippi Hospital Equipment & Facilities Authority 3.720%, 09/01/2026 | 7,677,000 | 8,033,594 | |||
New Jersey Transportation Trust Fund Authority | |||||
4.081%, 06/15/2039 | 9,117,000 | 10,287,647 | |||
4.131%, 06/15/2042 | 790,000 | 899,430 | |||
Ohio Turnpike & Infrastructure Commission 3.216%, 02/15/2048 | 6,950,000 | 7,142,083 | |||
Port Authority of New York & New Jersey 1.086%, 07/01/2023 | 19,174,000 | 19,418,010 | |||
Regents of the University of California Medical Center Pooled Revenue 3.006%, 05/15/2050 | 14,500,000 | 14,922,400 | |||
State Board of Administration Finance Corp. (Florida) 1.705%, 07/01/2027 | 12,324,000 | 12,523,484 | |||
University of California 1.316%, 05/15/2027 | 14,360,000 | 14,403,870 | |||
TOTAL MUNICIPAL BONDS (Cost $120,904,252) | $ | 124,037,528 | |||
COLLATERALIZED MORTGAGE OBLIGATIONS – 8.0% | |||||
Commercial and residential – 6.7% | |||||
Angel Oak Mortgage Trust LLC | |||||
Series 2020-R1, Class A1, 0.990%, 04/25/2053 (C)(E) | 8,309,669 | 8,308,387 | |||
Series 2021-2, Class A1, 0.985%, 04/25/2066 (C)(E) | 5,286,660 | 5,281,244 | |||
Arroyo Mortgage Trust Series 2021-1R, Class A1 1.175%, 10/25/2048 (C)(E) | 8,230,000 | 8,240,143 | |||
BAMLL Commercial Mortgage Securities Trust | |||||
Series 2015-200P, Class A, 3.218%, 04/14/2033 (C) | 5,706,000 | 6,083,935 | |||
Series 2015-200P, Class C, 3.596%, 04/14/2033 (C)(E) | 6,760,000 | 7,198,783 |
Shares or Principal Amount | Value | ||||
COLLATERALIZED MORTGAGE OBLIGATIONS (continued) | |||||
Commercial and residential (continued) | |||||
BBCMS Mortgage Trust Series 2020-C6, Class A2 2.690%, 02/15/2053 | $ | 4,700,000 | $ | 4,890,961 | |
Benchmark Mortgage Trust | |||||
Series 2018-B1, Class A2, 3.571%, 01/15/2051 | 9,840,000 | 10,157,669 | |||
Series 2019-B12, Class A2, 3.001%, 08/15/2052 | 8,685,000 | 9,099,849 | |||
Bravo Residential Funding Trust Series 2021-NQM1, Class A1 0.941%, 02/25/2049 (C)(E) | 5,397,256 | 5,384,941 | |||
Bunker Hill Loan Depositary Trust Series 2019-2, Class A1 2.879%, 07/25/2049 (C) | 6,726,404 | 6,825,742 | |||
BX Commercial Mortgage Trust | |||||
Series 2018-BIOA, Class D (1 month LIBOR + 1.321%), 1.427%, 03/15/2037 (C)(F) | 7,242,000 | 7,250,917 | |||
Series 2020-VKNG, Class A (1 month LIBOR + 0.930%), 1.036%, 10/15/2037 (C)(F) | 9,676,000 | 9,688,151 | |||
BX Trust Series 2021-MFM1, Class D (1 month LIBOR + 1.500%) 1.606%, 01/15/2034 (C)(F) | 2,033,000 | 2,032,999 | |||
Cantor Commercial Real Estate Lending Series 2019-CF1, Class A2 3.623%, 05/15/2052 | 10,780,000 | 11,478,283 | |||
Citigroup Commercial Mortgage Trust | |||||
Series 2019-PRM, Class A, 3.341%, 05/10/2036 (C) | 5,636,000 | 5,983,019 | |||
Series 2019-SMRT, Class A, 4.149%, 01/10/2036 (C) | 3,645,000 | 3,914,151 | |||
Series 2020-GC46, Class A2, 2.708%, 02/15/2053 | 13,170,000 | 13,713,244 | |||
COLT Mortgage Loan Trust Series 2020-1, Class A1 2.488%, 02/25/2050 (C)(E) | 2,103,689 | 2,116,816 | |||
COLT Trust Series 2020-RPL1, Class A1 1.390%, 01/25/2065 (C)(E) | 13,027,579 | 13,107,453 | |||
Commercial Mortgage Trust (Cantor Fitzgerald/Deutsche Bank AG) Series 2020-CX, Class D 2.683%, 11/10/2046 (C)(E) | 4,291,000 | 4,269,569 | |||
Commercial Mortgage Trust (Deutsche Bank AG) Series 2020-CBM, Class A2 2.896%, 02/10/2037 (C) | 5,531,000 | 5,627,122 | |||
Credit Suisse Mortgage Capital Certificates | |||||
Series 2019-AFC1, Class A1, 2.573%, 07/25/2049 (C) | 4,944,194 | 5,006,095 | |||
Series 2019-ICE4, Class B (1 month LIBOR + 1.230%), 1.336%, 05/15/2036 (C)(F) | 3,709,000 | 3,713,647 | |||
Series 2020-AFC1, Class A1, 2.240%, 02/25/2050 (C)(E) | 5,344,108 | 5,406,708 | |||
Series 2020-NET, Class A, 2.257%, 08/15/2037 (C) | 2,236,000 | 2,308,372 | |||
Series 2021-AFC1, Class A1, 0.830%, 03/25/2056 (C)(E) | 16,729,809 | 16,689,678 |
The accompanying notes are an integral part of the financial statements. | 87 |
Shares or Principal Amount | Value | ||||
COLLATERALIZED MORTGAGE OBLIGATIONS (continued) | |||||
Commercial and residential (continued) | |||||
Credit Suisse Mortgage Capital Certificates (continued) | |||||
Series 2021-NQM2, Class A1, 1.179%, 02/25/2066 (C)(E) | $ | 8,391,936 | $ | 8,393,703 | |
Series 2021-NQM3, Class A1, 1.015%, 04/25/2066 (C)(E) | 6,883,020 | 6,871,710 | |||
Series 2021-RPL2, Class A1A, 1.115%, 01/25/2060 (C)(E) | 15,368,950 | 15,175,758 | |||
DBJPM Mortgage Trust Series 2020-C9, Class A2 1.900%, 09/15/2053 | 8,675,000 | 8,867,412 | |||
Deephaven Residential Mortgage Trust Series 2021-2, Class A1 0.899%, 04/25/2066 (C)(E) | 10,125,664 | 10,116,035 | |||
Ellington Financial Mortgage Trust | |||||
Series 2020-2, Class A1, 1.178%, 10/25/2065 (C)(E) | 8,450,347 | 8,466,187 | |||
Series 2021-1, Class A1, 0.797%, 02/25/2066 (C)(E) | 4,719,750 | 4,706,192 | |||
Series 2021-2, Class A1, 0.931%, 06/25/2066 (C)(E) | 7,316,430 | 7,299,184 | |||
Flagstar Mortgage Trust Series 2021-1, Class A2 2.500%, 02/01/2051 (C)(E) | 12,863,197 | 13,051,939 | |||
GCAT Trust | |||||
Series 2021-NQM1, Class A1, 0.874%, 01/25/2066 (C)(E) | 8,206,305 | 8,173,344 | |||
Series 2021-NQM2, Class A1, 1.036%, 05/25/2066 (C)(E) | 5,684,000 | 5,672,292 | |||
Series 2021-NQM3, Class A1, 1.091%, 05/25/2066 (C)(E) | 9,394,000 | 9,401,450 | |||
GS Mortgage Securities Trust | |||||
Series 2013-GC12, Class A3, 2.860%, 06/10/2046 | 11,611,000 | 11,925,965 | |||
Series 2019-GC40, Class A2, 2.971%, 07/10/2052 | 6,505,000 | 6,809,647 | |||
Series 2020-UPTN, Class A, 2.751%, 02/10/2037 (C) | 5,820,000 | 6,103,145 | |||
GS Mortgage-Backed Securities Corp. Trust Series 2021-NQM1, Class A1 1.017%, 07/25/2061 (C)(E) | 5,185,480 | 5,181,434 | |||
GS Mortgage-Backed Securities Trust Series 2020-NQM1, Class A1 1.382%, 09/27/2060 (C)(E) | 2,850,308 | 2,859,949 | |||
Imperial Fund Mortgage Trust Series 2021-NQM1, Class A1 1.071%, 06/25/2056 (C)(E) | 5,471,032 | 5,465,769 | |||
Irvine Core Office Trust Series 2013-IRV, Class A2 3.174%, 05/15/2048 (C)(E) | 5,620,000 | 5,867,152 | |||
JPMCC Commercial Mortgage Securities Trust Series 2019-COR5, Class A2 3.150%, 06/13/2052 | 17,510,000 | 18,286,812 | |||
KNDL Mortgage Trust Series 2019-KNSQ, Class C (1 month LIBOR + 1.050%) 1.156%, 05/15/2036 (C)(F) | 7,485,000 | 7,487,287 | |||
Life Mortgage Trust | |||||
Series 2021-BMR, Class A (1 month LIBOR + 0.700%), 0.806%, 03/15/2038 (C)(F) | 7,467,000 | 7,475,980 |
Shares or Principal Amount | Value | ||||
COLLATERALIZED MORTGAGE OBLIGATIONS (continued) | |||||
Commercial and residential (continued) | |||||
Life Mortgage Trust (continued) | |||||
Series 2021-BMR, Class D (1 month LIBOR + 1.400%), 1.506%, 03/15/2038 (C)(F) | $ | 5,822,000 | $ | 5,844,196 | |
MFA Trust | |||||
Series 2020-NQM1, Class A1, 1.479%, 03/25/2065 (C)(E) | 2,448,490 | 2,467,198 | |||
Series 2020-NQM3, Class A1, 1.014%, 01/26/2065 (C)(E) | 5,078,215 | 5,081,923 | |||
Series 2021-INV1, Class A1, 0.852%, 01/25/2056 (C)(E) | 12,916,495 | 12,859,454 | |||
Series 2021-NQM1, Class A1, 1.153%, 04/25/2065 (C)(E) | 7,046,224 | 7,035,026 | |||
Morgan Stanley Capital I Trust Series 2017-CLS, Class D (1 month LIBOR + 1.400%) 1.506%, 11/15/2034 (C)(F) | 5,105,000 | 5,106,613 | |||
New Residential Mortgage Loan Trust Series 2020-1A, Class A1B 3.500%, 10/25/2059 (C)(E) | 4,093,831 | 4,317,866 | |||
NMLT Trust Series 2021-INV1, Class A1 1.185%, 05/25/2056 (C)(E) | 13,049,199 | 13,012,466 | |||
OBX Trust Series 2020-EXP2, Class A3 2.500%, 05/25/2060 (C)(E) | 4,866,238 | 4,943,405 | |||
Onslow Bay Mortgage Loan Trust Series 2021-NQM2, Class A1 1.101%, 05/25/2061 (C)(E) | 9,764,000 | 9,762,602 | |||
Provident Funding Mortgage Trust Series 2020-F1, Class A2 2.000%, 01/25/2036 (C)(E) | 12,115,738 | 12,345,145 | |||
SLG Office Trust Series 2021-OVA, Class C 2.851%, 07/15/2041 (C) | 13,468,000 | 13,968,655 | |||
Starwood Mortgage Residential Trust | |||||
Series 2020-3, Class A1, 1.486%, 04/25/2065 (C)(E) | 4,140,871 | 4,177,037 | |||
Series 2021-2, Class A1, 0.943%, 05/25/2065 (C)(E) | 9,188,672 | 9,185,101 | |||
Verus Securitization Trust | |||||
Series 2020-5, Class A1, 1.218%, 05/25/2065 (C) | 3,552,029 | 3,561,144 | |||
Series 2021-1, Class A1, 0.815%, 01/25/2066 (C)(E) | 8,732,466 | 8,723,925 | |||
Series 2021-3, Class A1, 1.046%, 06/25/2066 (C)(E) | 10,072,000 | 10,071,521 | |||
Series 2021-R1, Class A1, 0.820%, 10/25/2063 (C)(E) | 7,367,338 | 7,361,000 | |||
Series 2021-R2, Class A1, 0.918%, 02/25/2064 (C)(E) | 6,903,184 | 6,911,006 | |||
Visio Trust Series 2020-1R, Class A1 1.312%, 11/25/2055 (C) | 13,138,633 | 13,166,301 | |||
Wells Fargo Commercial Mortgage Trust Series 2019-C51, Class A2 3.039%, 06/15/2052 | 13,310,000 | 13,951,350 | |||
541,289,158 | |||||
U.S. Government Agency – 1.3% | |||||
Federal Home Loan Mortgage Corp. | |||||
Series K017, Class X1 IO, 1.285%, 12/25/2021 | 118,046,576 | 46,180 |
The accompanying notes are an integral part of the financial statements. | 88 |
Shares or Principal Amount | Value | ||||
COLLATERALIZED MORTGAGE OBLIGATIONS (continued) | |||||
U.S. Government Agency (continued) | |||||
Federal Home Loan Mortgage Corp. (continued) | |||||
Series K018, Class X1 IO, 1.235%, 01/25/2022 | $ | 85,152,760 | $ | 191,304 | |
Series K021, Class X1 IO, 1.400%, 06/25/2022 | 28,519,784 | 219,026 | |||
Series K022, Class X1 IO, 1.175%, 07/25/2022 | 135,560,315 | 1,071,252 | |||
Series K026, Class X1 IO, 0.954%, 11/25/2022 | 151,157,539 | 1,685,467 | |||
Series K038, Class X1 IO, 1.113%, 03/25/2024 | 51,714,948 | 1,301,107 | |||
Series K048, Class X1 IO, 0.236%, 06/25/2025 | 158,103,297 | 1,382,471 | |||
Government National Mortgage Association | |||||
Series 2012-114, Class IO, 0.692%, 01/16/2053 | 22,686,697 | 532,822 | |||
Series 2016-174, Class IO, 0.858%, 11/16/2056 | 20,182,314 | 1,103,484 | |||
Series 2017-109, Class IO, 0.507%, 04/16/2057 | 26,110,214 | 937,879 | |||
Series 2017-124, Class IO, 0.677%, 01/16/2059 | 31,008,754 | 1,499,211 | |||
Series 2017-135, Class IO, 0.774%, 10/16/2058 | 47,686,496 | 2,392,908 | |||
Series 2017-140, Class IO, 0.565%, 02/16/2059 | 21,774,230 | 960,897 | |||
Series 2017-159, Class IO, 0.506%, 06/16/2059 | 35,535,832 | 1,559,238 | |||
Series 2017-20, Class IO, 0.695%, 12/16/2058 | 51,994,041 | 2,307,012 | |||
Series 2017-22, Class IO, 0.773%, 12/16/2057 | 21,692,340 | 1,227,157 | |||
Series 2017-41, Class IO, 0.699%, 07/16/2058 | 25,431,960 | 1,158,767 | |||
Series 2017-46, Class IO, 0.641%, 11/16/2057 | 22,424,267 | 1,047,711 | |||
Series 2017-61, Class IO, 0.698%, 05/16/2059 | 36,967,969 | 1,936,157 | |||
Series 2018-158, Class IO, 0.717%, 05/16/2061 | 26,308,878 | 1,745,528 | |||
Series 2018-69, Class IO, 0.566%, 04/16/2060 | 35,053,893 | 2,094,821 | |||
Series 2019-131, Class IO, 0.922%, 07/16/2061 | 38,157,575 | 2,623,120 | |||
Series 2020-100, Class IO, 0.909%, 05/16/2062 | 33,535,222 | 2,619,393 | |||
Series 2020-108, Class IO, 0.933%, 06/16/2062 | 85,266,831 | 6,702,698 | |||
Series 2020-114, Class IO, 0.927%, 09/16/2062 | 87,182,063 | 7,129,583 | |||
Series 2020-118, Class IO, 1.047%, 06/16/2062 | 63,158,706 | 5,282,190 | |||
Series 2020-119, Class IO, 0.813%, 08/16/2062 | 37,158,388 | 2,774,948 | |||
Series 2020-120, Class IO, 0.853%, 05/16/2062 | 17,598,723 | 1,404,683 | |||
Series 2020-137, Class IO, 0.844%, 09/16/2062 | 102,760,960 | 7,834,753 | |||
Series 2020-150, Class IO, 0.984%, 12/16/2062 | 52,238,213 | 4,453,987 | |||
Series 2020-170, Class IO, 0.886%, 11/16/2062 | 70,932,285 | 5,834,053 |
Shares or Principal Amount | Value | ||||
COLLATERALIZED MORTGAGE OBLIGATIONS (continued) | |||||
U.S. Government Agency (continued) | |||||
Government National Mortgage Association (continued) | |||||
Series 2020-92, Class IO, 1.016%, 02/16/2062 | $ | 76,986,840 | $ | 6,422,720 | |
Series 2021-10, Class IO, 1.000%, 05/16/2063 | 48,565,298 | 4,376,039 | |||
Series 2021-11, Class IO, 1.022%, 12/16/2062 | 73,869,774 | 6,674,511 | |||
Series 2021-3, Class IO, 0.958%, 09/16/2062 | 88,007,263 | 7,363,797 | |||
Series 2021-40, Class IO, 0.843%, 02/16/2063 | 21,953,356 | 1,752,031 | |||
99,648,905 | |||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $674,116,194) | $ | 640,938,063 | |||
ASSET BACKED SECURITIES – 16.3% | |||||
ABPCI Direct Lending Fund I, Ltd. Series 2020-1A, Class A 3.199%, 12/20/2030 (C) | 9,473,000 | 9,501,428 | |||
AGL CLO 5, Ltd. Series 2020-5A, Class A1R (3 month LIBOR + 1.160%) 1.311%, 07/20/2034 (C)(F) | 7,443,000 | 7,443,782 | |||
AmeriCredit Automobile Receivables Trust Series 2020-1, Class C 1.590%, 10/20/2025 | 7,850,000 | 7,983,400 | |||
AMSR Trust | |||||
Series 2020-SFR1, Class A 1.819%, 04/17/2037 (C) | 9,026,339 | 9,145,139 | |||
Series 2020-SFR2, Class A 1.632%, 07/17/2037 (C) | 17,232,000 | 17,401,428 | |||
Series 2020-SFR4, Class A 1.355%, 11/17/2037 (C) | 12,046,000 | 12,005,560 | |||
Series 2021-SFR1, Class B 2.153%, 06/17/2038 (C)(E) | 7,203,000 | 7,250,592 | |||
Applebee's Funding LLC Series 2019-1A, Class A2I 4.194%, 06/07/2049 (C) | 10,953,230 | 11,226,294 | |||
Arby's Funding LLC Series 2020-1A, Class A2 3.237%, 07/30/2050 (C) | 10,428,198 | 10,895,902 | |||
Avis Budget Rental Car Funding AESOP LLC | |||||
Series 2019-3A, Class A 2.360%, 03/20/2026 (C) | 10,031,000 | 10,495,231 | |||
Series 2020-1A, Class A 2.330%, 08/20/2026 (C) | 6,188,000 | 6,448,754 | |||
BA Credit Card Trust Series 2021-A1, Class A1 0.440%, 09/15/2026 | 17,014,000 | 16,967,504 | |||
Bain Capital Credit CLO, Ltd. Series 2017-1A, Class BR (3 month LIBOR + 1.500%) 1.686%, 07/20/2030 (C)(F) | 8,160,000 | 8,160,212 | |||
Balboa Bay Loan Funding, Ltd. Series 2021-1A, Class A (3 month LIBOR + 1.200%) 1.347%, 07/20/2034 (C)(F) | 3,723,000 | 3,724,515 | |||
Bojangles Issuer LLC Series 2020-1A, Class A2 3.832%, 10/20/2050 (C) | 5,760,000 | 6,005,837 |
The accompanying notes are an integral part of the financial statements. | 89 |
Shares or Principal Amount | Value | ||||
ASSET BACKED SECURITIES (continued) | |||||
BRE Grand Islander Timeshare Issuer LLC Series 2019-A, Class A 3.280%, 09/26/2033 (C) | $ | 4,056,148 | $ | 4,253,058 | |
CarMax Auto Owner Trust | |||||
Series 2020-3, Class A3 0.620%, 03/17/2025 | 10,590,000 | 10,639,988 | |||
Series 2020-3, Class A4 0.770%, 03/16/2026 | 4,680,000 | 4,709,952 | |||
CARS-DB4 LP Series 2020-1A, Class A1 2.690%, 02/15/2050 (C) | 8,932,095 | 9,233,867 | |||
Carvana Auto Receivables Trust Series 2020-P1, Class A4 0.610%, 10/08/2026 | 6,886,000 | 6,849,928 | |||
CF Hippolyta LLC | |||||
Series 2020-1, Class A1 1.690%, 07/15/2060 (C) | 10,295,839 | 10,461,982 | |||
Series 2021-1A, Class A1 1.530%, 03/15/2061 (C) | 10,322,000 | 10,390,941 | |||
CLI Funding VI LLC Series 2020-1A, Class A 2.080%, 09/18/2045 (C) | 14,154,135 | 14,260,760 | |||
CLI Funding VIII LLC Series 2021-1A, Class A 1.640%, 02/18/2046 (C) | 11,369,553 | 11,270,167 | |||
CoreVest American Finance Trust | |||||
Series 2019-3, Class A 2.705%, 10/15/2052 (C) | 1,915,810 | 2,004,830 | |||
Series 2020-3, Class A 1.358%, 08/15/2053 (C) | 6,881,647 | 6,815,924 | |||
Series 2021-1, Class A 1.569%, 04/15/2053 (C) | 8,698,270 | 8,692,451 | |||
DataBank Issuer Series 2021-1A, Class A2 2.060%, 02/27/2051 (C) | 15,959,000 | 16,166,413 | |||
DB Master Finance LLC Series 2017-1A, Class A2II 4.030%, 11/20/2047 (C) | 4,167,990 | 4,439,535 | |||
Diamond Infrastructure Funding LLC Series 2021-1A, Class A 1.760%, 04/15/2049 (C) | 8,859,000 | 8,815,159 | |||
Domino's Pizza Master Issuer LLC | |||||
Series 2017-1A, Class A23 4.118%, 07/25/2047 (C) | 11,882,835 | 12,822,054 | |||
Series 2021-1A, Class A2I 2.662%, 04/25/2051 (C) | 7,199,000 | 7,448,733 | |||
DRB Prime Student Loan Trust | |||||
Series 2015-D, Class A2 3.200%, 01/25/2040 (C) | 2,137,711 | 2,137,711 | |||
Series 2016-B, Class A2 2.890%, 06/25/2040 (C) | 1,711,227 | 1,720,800 | |||
Driven Brands Funding LLC | |||||
Series 2018-1A, Class A2 4.739%, 04/20/2048 (C) | 3,666,600 | 3,898,622 | |||
Series 2020-2A, Class A2 3.237%, 01/20/2051 (C) | 7,576,013 | 7,790,717 | |||
Elara HGV Timeshare Issuer LLC Series 2019-A, Class A 2.610%, 01/25/2034 (C) | 5,652,276 | 5,820,984 | |||
Exeter Automobile Receivables Trust | |||||
Series 2020-1A, Class C 2.490%, 01/15/2025 (C) | 14,330,000 | 14,584,849 | |||
Series 2021-1A, Class C 0.740%, 01/15/2026 | 4,763,000 | 4,760,089 |
Shares or Principal Amount | Value | ||||
ASSET BACKED SECURITIES (continued) | |||||
FirstKey Homes Trust | |||||
Series 2020-SFR1, Class A 1.339%, 09/17/2025 (C) | $ | 11,769,368 | $ | 11,770,459 | |
Series 2020-SFR2, Class A 1.266%, 10/19/2037 (C) | 13,728,633 | 13,706,513 | |||
Series 2021-SFR1, Class A 1.538%, 08/17/2028 (C) | 11,427,000 | 11,426,933 | |||
Series 2021-SFR1, Class C 1.888%, 08/17/2028 (C) | 12,224,000 | 12,223,416 | |||
Five Guys Funding LLC Series 2017-1A, Class A2 4.600%, 07/25/2047 (C) | 5,984,775 | 6,250,944 | |||
Ford Credit Auto Owner Trust | |||||
Series 2018-1, Class A 3.190%, 07/15/2031 (C) | 26,635,000 | 28,734,166 | |||
Series 2018-2, Class A 3.470%, 01/15/2030 (C) | 10,877,000 | 11,547,532 | |||
Series 2020-1, Class A 2.040%, 08/15/2031 (C) | 12,180,000 | 12,641,724 | |||
Series 2021-1, Class A 1.370%, 10/17/2033 (C) | 9,786,000 | 9,853,976 | |||
Ford Credit Floorplan Master Owner Trust | |||||
Series 2019-2, Class A 3.060%, 04/15/2026 | 14,258,000 | 15,209,345 | |||
Series 2020-2, Class A 1.060%, 09/15/2027 | 15,316,000 | 15,326,939 | |||
GM Financial Automobile Leasing Trust Series 2021-2, Class A4 0.410%, 05/20/2025 | 2,724,000 | 2,720,283 | |||
GMF Floorplan Owner Revolving Trust | |||||
Series 2019-2, Class A 2.900%, 04/15/2026 (C) | 11,385,000 | 12,077,811 | |||
Series 2020-1, Class A 0.680%, 08/15/2025 (C) | 5,302,000 | 5,321,422 | |||
Golden Credit Card Trust Series 2018-4A, Class A 3.440%, 08/15/2025 (C) | 18,115,000 | 19,266,694 | |||
Golub Capital Partners Funding, Ltd. | |||||
Series 2020-1A, Class A2 3.208%, 01/22/2029 (C) | 7,732,000 | 7,733,369 | |||
Series 2021-1A, Class A2 2.773%, 04/20/2029 (C) | 6,328,000 | 6,380,504 | |||
GreatAmerica Leasing Receivables Funding LLC Series 2019-1, Class A4 3.210%, 02/18/2025 (C) | 7,484,000 | 7,729,105 | |||
HalseyPoint CLO II, Ltd. Series 2020-2A, Class B (3 month LIBOR + 2.950%) 3.138%, 07/20/2031 (C)(F) | 5,796,000 | 5,844,310 | |||
Hilton Grand Vacations Trust Series 2018-AA, Class A 3.540%, 02/25/2032 (C) | 2,683,846 | 2,822,211 | |||
Home Partners of America Trust Series 2019-1, Class A 2.908%, 09/17/2039 (C) | 13,240,171 | 13,565,674 | |||
Honda Auto Receivables Owner Trust Series 2021-2, Class A4 0.550%, 08/16/2027 | 5,429,000 | 5,413,521 | |||
Jack in the Box Funding LLC | |||||
Series 2019-1A, Class A23 4.970%, 08/25/2049 (C) | 5,790,245 | 6,378,418 | |||
Series 2019-1A, Class A2I 3.982%, 08/25/2049 (C) | 4,813,625 | 4,925,301 |
The accompanying notes are an integral part of the financial statements. | 90 |
Shares or Principal Amount | Value | ||||
ASSET BACKED SECURITIES (continued) | |||||
John Deere Owner Trust | |||||
Series 2020-B, Class A3 0.510%, 11/15/2024 | $ | 4,821,000 | $ | 4,833,268 | |
Series 2020-B, Class A4 0.720%, 06/15/2027 | 5,935,000 | 5,965,428 | |||
Laurel Road Prime Student Loan Trust Series 2019-A, Class A2FX 2.730%, 10/25/2048 (C) | 1,583,128 | 1,612,774 | |||
Madison Park Funding XXIII, Ltd. | |||||
Series 2017-23A, Class AR (3 month LIBOR + 0.970%) 1.125%, 07/27/2031 (C)(F) | 10,419,000 | 10,399,548 | |||
Series 2017-23A, Class BR (3 month LIBOR + 1.550%) 1.705%, 07/27/2031 (C)(F) | 10,046,000 | 10,019,961 | |||
Monroe Capital Funding, Ltd. Series 2021-1A, Class A2 2.815%, 04/22/2031 (C) | 13,424,000 | 13,400,395 | |||
MVW LLC Series 2020-1A, Class A 1.740%, 10/20/2037 (C) | 16,210,054 | 16,519,104 | |||
MVW Owner Trust Series 2018-1A, Class A 3.450%, 01/21/2036 (C) | 3,584,723 | 3,712,962 | |||
Navient Private Education Loan Trust Series 2016-AA, Class A2A 3.910%, 12/15/2045 (C) | 2,683,551 | 2,832,710 | |||
Navient Private Education Refi Loan Trust | |||||
Series 2019-EA, Class A2A 2.640%, 05/15/2068 (C) | 6,423,484 | 6,559,195 | |||
Series 2019-FA, Class A2 2.600%, 08/15/2068 (C) | 6,353,642 | 6,476,071 | |||
Series 2020-BA, Class A2 2.120%, 01/15/2069 (C) | 12,516,201 | 12,702,128 | |||
Series 2020-GA, Class A 1.170%, 09/16/2069 (C) | 10,806,030 | 10,850,943 | |||
Series 2020-HA, Class A 1.310%, 01/15/2069 (C) | 14,245,556 | 14,340,276 | |||
Series 2021-A, Class A 0.840%, 05/15/2069 (C) | 13,622,415 | 13,597,501 | |||
Navient Student Loan Trust Series 2020-2A, Class A1A 1.320%, 08/26/2069 (C) | 8,356,721 | 8,284,077 | |||
Neighborly Issuer LLC Series 2021-1A, Class A2 3.584%, 04/30/2051 (C) | 13,142,000 | 13,516,153 | |||
Neuberger Berman CLO XX, Ltd. | |||||
Series 2015-20A, Class ARR (3 month LIBOR + 1.160%) 1.327%, 07/15/2034 (C)(F) | 2,972,000 | 2,974,425 | |||
Series 2015-20A, Class BRR (3 month LIBOR + 1.650%) 1.818%, 07/15/2034 (C)(F) | 2,978,000 | 2,979,811 | |||
NRZ Excess Spread-Collateralized Notes Series 2020-PLS1, Class A 3.844%, 12/25/2025 (C) | 3,079,092 | 3,108,096 | |||
Oaktree CLO, Ltd. Series 2021-1A, Class A1 (3 month LIBOR + 1.160%) 1.000%, 07/15/2034 (C)(F) | 11,169,000 | 11,191,494 | |||
Oxford Finance Funding LLC Series 2020-1A, Class A2 3.101%, 02/15/2028 (C) | 9,574,000 | 9,854,470 | |||
PFS Financing Corp. | |||||
Series 2018-F, Class A 3.520%, 10/15/2023 (C) | 7,260,000 | 7,329,165 |
Shares or Principal Amount | Value | ||||
ASSET BACKED SECURITIES (continued) | |||||
PFS Financing Corp. (continued) | |||||
Series 2019-C, Class A 2.230%, 10/15/2024 (C) | $ | 4,070,000 | $ | 4,161,630 | |
Series 2020-E, Class A 1.000%, 10/15/2025 (C) | 6,863,000 | 6,929,876 | |||
Progress Residential Trust | |||||
Series 2020-SFR1, Class A 1.732%, 04/17/2037 (C) | 7,750,000 | 7,864,695 | |||
Series 2020-SFR2, Class A 2.078%, 06/17/2037 (C) | 3,574,000 | 3,650,567 | |||
Series 2021-SFR1, Class A 1.052%, 04/17/2038 (C) | 8,859,000 | 8,691,828 | |||
Series 2021-SFR2, Class A 1.546%, 04/19/2038 (C) | 19,375,000 | 19,429,653 | |||
Series 2021-SFR4, Class A 1.558%, 05/17/2038 (C) | 9,085,124 | 9,110,354 | |||
Series 2021-SFR5, Class A 1.427%, 07/17/2038 (C) | 13,757,000 | 13,659,712 | |||
Santander Revolving Auto Loan Trust Series 2019-A, Class A 2.510%, 01/26/2032 (C) | 13,489,000 | 14,213,420 | |||
SCF Equipment Leasing LLC | |||||
Series 2019-2A, Class C 3.110%, 06/21/2027 (C) | 12,112,000 | 12,672,079 | |||
Series 2020-1A, Class A3 1.190%, 10/20/2027 (C) | 15,910,000 | 15,992,349 | |||
Series 2021-1A, Class B 1.370%, 08/20/2029 (C) | 6,799,000 | 6,756,654 | |||
ServiceMaster Funding LLC Series 2020-1, Class A2II 3.337%, 01/30/2051 (C) | 14,011,883 | 14,711,916 | |||
SERVPRO Master Issuer LLC Series 2021-1A, Class A2 2.394%, 04/25/2051 (C) | 7,239,000 | 7,304,441 | |||
Sesac Finance LLC Series 2019-1, Class A2 5.216%, 07/25/2049 (C) | 10,267,125 | 10,954,817 | |||
Sierra Timeshare Receivables Funding LLC | |||||
Series 2018-3A, Class A 3.690%, 09/20/2035 (C) | 2,351,547 | 2,455,396 | |||
Series 2021-1A, Class A 0.990%, 11/20/2037 (C) | 10,154,604 | 10,120,153 | |||
SMB Private Education Loan Trust | |||||
Series 2015-C, Class A2A 2.750%, 07/15/2027 (C) | 1,384,963 | 1,399,129 | |||
Series 2016-A, Class A2A 2.700%, 05/15/2031 (C) | 8,721,044 | 8,940,373 | |||
Series 2019-B, Class A2A 2.840%, 06/15/2037 (C) | 10,839,533 | 11,303,989 | |||
Series 2020-PTA, Class A2A 1.600%, 09/15/2054 (C) | 5,003,000 | 5,051,470 | |||
Series 2021-A, Class APT2 1.070%, 01/15/2053 (C) | 6,682,756 | 6,582,206 | |||
Sofi Professional Loan Program LLC Series 2019-B, Class A2FX 3.090%, 08/17/2048 (C) | 2,718,584 | 2,785,862 | |||
Sonic Capital LLC | |||||
Series 2020-1A, Class A2I 3.845%, 01/20/2050 (C) | 8,677,959 | 9,162,970 | |||
Series 2020-1A, Class A2II 4.336%, 01/20/2050 (C) | 6,978,571 | 7,453,393 | |||
Sunbird Engine Finance LLC Series 2020-1A, Class A 3.671%, 02/15/2045 (C) | 4,061,307 | 3,938,266 |
The accompanying notes are an integral part of the financial statements. | 91 |
Shares or Principal Amount | Value | ||||
ASSET BACKED SECURITIES (continued) | |||||
Taco Bell Funding LLC Series 2018-1A, Class A2I 4.318%, 11/25/2048 (C) | $ | 10,228,725 | $ | 10,250,615 | |
Tallman Park CLO, Ltd. Series 2021-1A, Class A (3 month LIBOR + 1.060%) 1.000%, 04/20/2034 (C)(F) | 9,242,000 | 9,245,299 | |||
Tesla Auto Lease Trust | |||||
Series 2020-A, Class A3 0.680%, 12/20/2023 (C) | 7,103,000 | 7,133,755 | |||
Series 2020-A, Class A4 0.780%, 12/20/2023 (C) | 4,974,000 | 5,006,060 | |||
TIF Funding II LLC | |||||
Series 2020-1A, Class A 2.090%, 08/20/2045 (C) | 15,572,813 | 15,662,677 | |||
Series 2021-1A, Class A 1.650%, 02/20/2046 (C) | 6,699,445 | 6,594,950 | |||
Towd Point Mortgage Trust | |||||
Series 2015-1, Class A5 3.399%, 10/25/2053 (C)(E) | 2,759,000 | 2,906,447 | |||
Series 2017-1, Class A1 2.750%, 10/25/2056 (C)(E) | 2,342,149 | 2,377,991 | |||
Series 2017-2, Class A1 2.750%, 04/25/2057 (C)(E) | 1,395,347 | 1,414,784 | |||
Series 2018-3, Class A1 3.750%, 05/25/2058 (C)(E) | 3,051,353 | 3,216,295 | |||
Series 2018-4, Class A1 3.000%, 06/25/2058 (C)(E) | 7,367,544 | 7,658,850 | |||
Series 2018-6, Class A1A 3.750%, 03/25/2058 (C)(E) | 738,325 | 762,596 | |||
Series 2019-4, Class A1 2.900%, 10/25/2059 (C)(E) | 6,192,073 | 6,403,489 | |||
Series 2020-4, Class A1 1.750%, 10/25/2060 (C) | 7,672,282 | 7,757,591 | |||
Toyota Auto Loan Extended Note Trust | |||||
Series 2019-1A, Class A 2.560%, 11/25/2031 (C) | 22,220,000 | 23,429,990 | |||
Series 2020-1A, Class A 1.350%, 05/25/2033 (C) | 7,231,000 | 7,351,134 | |||
Toyota Auto Receivables Owner Trust | |||||
Series 2020-C, Class A3 0.440%, 10/15/2024 | 5,106,000 | 5,118,566 | |||
Series 2020-C, Class A4 0.570%, 10/15/2025 | 3,854,000 | 3,849,832 | |||
Tricon American Homes Trust | |||||
Series 2020-SFR1, Class A 1.499%, 07/17/2038 (C) | 20,189,698 | 20,164,616 | |||
Series 2020-SFR2, Class A 1.482%, 11/17/2039 (C) | 17,098,196 | 16,878,260 | |||
Triton Container Finance VIII LLC | |||||
Series 2020-1A, Class A 2.110%, 09/20/2045 (C) | 15,871,310 | 15,955,898 | |||
Series 2021-1A, Class A 1.860%, 03/20/2046 (C) | 9,325,530 | 9,266,059 | |||
Vantage Data Centers LLC | |||||
Series 2019-1A, Class A2 3.188%, 07/15/2044 (C) | 9,339,155 | 9,663,958 | |||
Series 2020-1A, Class A2 1.645%, 09/15/2045 (C) | 8,834,000 | 8,857,468 | |||
Series 2020-2A, Class A2 1.992%, 09/15/2045 (C) | 6,853,000 | 6,813,378 | |||
Verizon Owner Trust | |||||
Series 2020-B, Class A 0.470%, 02/20/2025 | 15,609,000 | 15,652,220 | |||
Series 2020-C, Class C 0.770%, 04/21/2025 | 9,422,000 | 9,424,216 |
Shares or Principal Amount | Value | ||||
ASSET BACKED SECURITIES (continued) | |||||
VR Funding LLC Series 2020-1A, Class A 2.790%, 11/15/2050 (C) | $ | 10,977,472 | $ | 10,773,737 | |
VSE VOI Mortgage LLC Series 2017-A, Class A 2.330%, 03/20/2035 (C) | 3,713,402 | 3,795,500 | |||
Wendy's Funding LLC Series 2021-1A, Class A2I 2.370%, 06/15/2051 (C) | 6,698,000 | 6,756,206 | |||
Westgate Resorts LLC Series 2020-1A, Class A 2.713%, 03/20/2034 (C) | 5,123,902 | 5,232,112 | |||
Willis Engine Structured Trust V Series 2020-A, Class A 3.228%, 03/15/2045 (C) | 3,436,346 | 3,443,334 | |||
Wingstop Funding LLC Series 2020-1A, Class A2 2.841%, 12/05/2050 (C) | 15,182,948 | 15,746,387 | |||
World Omni Auto Receivables Trust Series 2021-B, Class A4 0.690%, 06/15/2027 | 15,979,000 | 15,933,065 | |||
Zaxby's Funding LLC Series 2021-1A, Class A2 3.238%, 07/30/2051 (C) | 9,498,000 | 9,616,533 | |||
TOTAL ASSET BACKED SECURITIES (Cost $1,296,294,324) | $ | 1,311,986,683 | |||
COMMON STOCKS – 0.0% | |||||
Utilities – 0.0% | |||||
Dominion Energy, Inc. | 12,915 | 1,254,418 | |||
TOTAL COMMON STOCKS (Cost $1,291,497) | $ | 1,254,418 | |||
PREFERRED SECURITIES – 0.1% | |||||
Utilities – 0.1% | |||||
DTE Energy Company, 6.250% | 15,402 | 761,321 | |||
NextEra Energy, Inc., 5.279% | 120,650 | 5,907,024 | |||
The Southern Company, 6.750% | 19,330 | 978,678 | |||
TOTAL PREFERRED SECURITIES (Cost $7,618,288) | $ | 7,647,023 | |||
SHORT-TERM INVESTMENTS – 4.7% | |||||
Short-term funds – 0.2% | |||||
John Hancock Collateral Trust, 0.0324% (G)(H) | 1,341,364 | 13,419,808 | |||
Repurchase agreement – 4.5% | |||||
Repurchase Agreement with State Street Corp. dated 6-30-21 at 0.000% to be repurchased at $366,701,000 on 7-1-21, collateralized by $160,194,700 U.S. Treasury Inflation Indexed Notes, 0.375% due 1-15-27 (valued at $195,979,514), $167,711,400 U.S. Treasury Notes, 0.375% - 2.375% due 11-30-25 to 5-15-27 (valued at 178,055,530) | $ | 366,701,000 | 366,701,000 | ||
TOTAL SHORT-TERM INVESTMENTS (Cost $380,121,269) | $ | 380,120,808 | |||
Total Investments (Select Bond Trust) (Cost $8,104,541,086) – 103.4% | $ | 8,313,673,782 | |||
Other assets and liabilities, net – (3.4%) | (270,683,744) | ||||
TOTAL NET ASSETS – 100.0% | $ | 8,042,990,038 |
Security Abbreviations and Legend | |
CMT | Constant Maturity Treasury |
GO | General Obligation |
ICE | Intercontinental Exchange |
IO | Interest-Only Security - (Interest Tranche of Stripped Mortgage Pool). Rate shown is the annualized yield at the end of the period. |
The accompanying notes are an integral part of the financial statements. | 92 |
LIBOR | London Interbank Offered Rate |
SOFR | Secured Overnight Financing 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. |
(A) | Security purchased or sold on a when-issued or delayed delivery basis. |
(B) | All or a portion of this security is on loan as of 6-30-21. |
(C) | 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 $2,315,349,469 or 28.8% of the fund's net assets as of 6-30-21. |
(D) | Perpetual bonds have no stated maturity date. Date shown as maturity date is next call date. |
(E) | Variable or floating rate security, the interest rate of which adjusts periodically based on a weighted average of interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of period end. |
(F) | Variable rate obligation. The coupon rate shown represents the rate at period end. |
(G) | The rate shown is the annualized seven-day yield as of 6-30-21. |
(H) | Investment is an affiliate of the fund, the advisor and/or subadvisor. This security represents the investment of cash collateral received for securities lending. |
Shares or Principal Amount | Value | ||||
U.S. GOVERNMENT AND AGENCY OBLIGATIONS – 92.9% | |||||
U.S. Government – 29.8% | |||||
U.S. Treasury Inflation Protected Securities 0.625%, 04/15/2023 | $ | 1,397,292 | $ | 1,478,046 | |
U.S. Treasury Notes | |||||
0.125%, 05/15/2023 | 3,000,000 | 2,994,375 | |||
0.250%, 04/15/2023 | 9,000,000 | 9,004,922 | |||
1.375%, 02/15/2023 | 1,770,000 | 1,804,017 | |||
1.500%, 09/15/2022 | 4,000,000 | 4,065,781 | |||
1.875%, 07/31/2022 | 4,610,000 | 4,697,878 | |||
2.000%, 05/31/2024 | 4,500,000 | 4,702,676 | |||
2.125%, 03/31/2024 | 2,700,000 | 2,826,773 | |||
2.625%, 06/30/2023 | 5,485,000 | 5,743,823 | |||
2.750%, 07/31/2023 | 3,215,000 | 3,381,025 | |||
2.875%, 11/30/2023 | 13,345,000 | 14,161,338 | |||
54,860,654 | |||||
U.S. Government Agency – 63.1% | |||||
Federal Farm Credit Bank | |||||
0.500%, 12/23/2025 to 02/04/2026 | 10,000,000 | 9,792,384 | |||
0.680%, 01/13/2027 | 6,000,000 | 5,864,806 | |||
1.980%, 06/02/2031 | 1,000,000 | 998,095 | |||
Federal Home Loan Bank | |||||
0.625%, 11/27/2024 | 2,000,000 | 1,991,194 | |||
0.650%, 02/26/2026 | 6,000,000 | 5,939,126 | |||
0.700%, 01/28/2026 | 7,000,000 | 6,958,204 | |||
0.900%, 02/26/2027 | 2,000,000 | 1,981,389 | |||
1.000%, 03/23/2026 | 1,950,000 | 1,949,514 | |||
1.375%, 02/17/2023 | 8,000,000 | 8,153,903 | |||
1.500%, 08/15/2024 | 2,770,000 | 2,857,897 | |||
2.875%, 09/13/2024 | 5,500,000 | 5,908,573 | |||
Federal Home Loan Mortgage Corp. | |||||
0.250%, 09/08/2023 | 2,000,000 | 1,998,277 | |||
0.375%, 09/23/2025 | 3,060,000 | 3,012,104 | |||
0.640%, 11/24/2025 | 2,000,000 | 1,985,590 | |||
0.650%, 10/22/2025 | 2,000,000 | 1,983,706 |
Shares or Principal Amount | Value | ||||
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (continued) | |||||
U.S. Government Agency (continued) | |||||
Federal Home Loan Mortgage Corp. (continued) | |||||
0.700%, 12/23/2025 | $ | 2,000,000 | $ | 1,982,784 | |
0.800%, 10/27/2026 | 2,000,000 | 1,976,896 | |||
1.500%, 02/12/2025 | 6,000,000 | 6,190,374 | |||
2.049%, (12 month LIBOR + 1.619%), 05/01/2045 (A) | 513,192 | 537,806 | |||
2.500%, 09/01/2034 | 2,450,559 | 2,562,498 | |||
3.000%, 07/01/2030 to 12/01/2032 | 3,144,347 | 3,317,372 | |||
3.500%, 04/01/2032 | 1,313,302 | 1,410,243 | |||
7.000%, 04/01/2031 to 04/01/2032 | 448 | 520 | |||
Federal National Mortgage Association | |||||
0.375%, 08/25/2025 | 5,000,000 | 4,925,933 | |||
0.625%, 04/22/2025 | 4,000,000 | 3,995,063 | |||
0.650%, 12/17/2025 | 2,000,000 | 1,986,940 | |||
2.500%, 10/01/2027 to 09/01/2034 | 3,187,950 | 3,332,497 | |||
2.875%, 09/12/2023 | 7,005,000 | 7,404,276 | |||
3.000%, 03/01/2028 to 09/01/2034 | 8,524,395 | 9,009,799 | |||
3.500%, 07/01/2031 to 06/01/2034 | 5,158,600 | 5,542,840 | |||
6.500%, 01/01/2039 | 346,584 | 411,534 | |||
7.000%, 12/01/2026 to 01/01/2029 | 1,037 | 1,176 | |||
8.000%, 10/01/2024 to 09/01/2030 | 869 | 1,012 | |||
Government National Mortgage Association 7.500%, 01/15/2027 to 03/15/2027 | 194 | 214 | |||
115,964,539 | |||||
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (Cost $168,988,326) | $ | 170,825,193 | |||
MUNICIPAL BONDS – 4.6% | |||||
City of Houston (Texas) | |||||
2.110%, 03/01/2025 | 1,000,000 | 1,041,240 | |||
3.628%, 05/15/2024 | 1,000,000 | 1,086,919 | |||
City of New York | |||||
1.990%, 10/01/2026 | 1,000,000 | 1,040,863 | |||
3.250%, 03/01/2024 | 1,000,000 | 1,070,382 | |||
County of Orange (Florida) 2.280%, 01/01/2026 | 1,000,000 | 1,029,570 | |||
Los Angeles Unified School District (California) 1.540%, 09/15/2025 | 1,000,000 | 1,019,873 | |||
New York State Urban Development Corp. 3.080%, 03/15/2024 | 1,000,000 | 1,065,203 | |||
State of California 2.375%, 10/01/2026 | 1,000,000 | 1,060,917 | |||
TOTAL MUNICIPAL BONDS (Cost $8,140,098) | $ | 8,414,967 | |||
COLLATERALIZED MORTGAGE OBLIGATIONS – 1.3% | |||||
U.S. Government Agency – 1.3% | |||||
Federal Home Loan Mortgage Corp. | |||||
Series K017, Class X1 IO, 1.431%, 12/25/2021 | 20,219,716 | 7,910 | |||
Series K018, Class X1 IO, 1.367%, 01/25/2022 | 3,498,179 | 7,859 | |||
Series K022, Class X1 IO, 1.296%, 07/25/2022 | 10,456,835 | 82,634 | |||
Series K026, Class X1 IO, 1.069%, 11/25/2022 | 5,091,537 | 56,773 | |||
Series K030, Class X1 IO, 0.385%, 04/25/2023 | 128,059,572 | 319,854 | |||
Series K038, Class X1 IO, 1.262%, 03/25/2024 | 7,723,859 | 194,326 |
The accompanying notes are an integral part of the financial statements. | 93 |
Shares or Principal Amount | Value | ||||
COLLATERALIZED MORTGAGE OBLIGATIONS (continued) | |||||
U.S. Government Agency (continued) | |||||
Federal Home Loan Mortgage Corp. (continued) | |||||
Series K718, Class X1 IO, 0.680%, 01/25/2022 | $ | 16,765,481 | $ | 15,220 | |
Government National Mortgage Association | |||||
Series 2012-114, Class IO, 0.672%, 01/16/2053 | 1,544,939 | 36,285 | |||
Series 2017-109, Class IO, 0.506%, 04/16/2057 | 1,939,935 | 69,682 | |||
Series 2017-124, Class IO, 0.674%, 01/16/2059 | 1,854,059 | 89,640 | |||
Series 2017-140, Class IO, 0.547%, 02/16/2059 | 724,852 | 31,988 | |||
Series 2017-20, Class IO, 0.699%, 12/16/2058 | 3,222,462 | 142,983 | |||
Series 2017-41, Class IO, 0.683%, 07/16/2058 | 2,292,601 | 104,459 | |||
Series 2017-46, Class IO, 0.640%, 11/16/2057 | 2,004,009 | 93,632 | |||
Series 2017-61, Class IO, 0.735%, 05/16/2059 | 1,273,851 | 66,717 | |||
Series 2017-74, Class IO, 0.569%, 09/16/2058 | 1,928,599 | 73,730 | |||
Series 2017-89, Class IO, 0.644%, 07/16/2059 | 2,082,250 | 112,502 | |||
Series 2018-9, Class IO, 0.510%, 01/16/2060 | 2,069,269 | 98,995 | |||
Series 2020-118, Class IO, 0.974%, 06/16/2062 | 1,727,975 | 144,517 | |||
Series 2020-119, Class IO, 0.799%, 08/16/2062 | 1,023,937 | 76,466 | |||
Series 2020-120, Class IO, 0.851%, 05/16/2062 | 2,277,370 | 181,774 | |||
Series 2020-137, Class IO, 0.843%, 09/16/2062 | 1,623,791 | 123,802 | |||
Series 2020-170, Class IO, 0.887%, 11/16/2062 | 1,882,518 | 154,834 | |||
Series 2021-40, Class IO, 0.843%, 02/16/2063 | 532,655 | 42,510 | |||
2,329,092 | |||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $2,984,521) | $ | 2,329,092 | |||
SHORT-TERM INVESTMENTS – 0.9% | |||||
Repurchase agreement – 0.9% | |||||
Repurchase Agreement with State Street Corp. dated 6-30-21 at 0.000% to be repurchased at $1,666,000 on 7-1-21, collateralized by $1,730,300 U.S. Treasury Notes, 0.375% due 11-30-25 (valued at $1,699,403) | 1,666,000 | 1,666,000 | |||
TOTAL SHORT-TERM INVESTMENTS (Cost $1,666,000) | $ | 1,666,000 | |||
Total Investments (Short Term Government Income Trust) (Cost $181,778,945) – 99.7% | $ | 183,235,252 | |||
Other assets and liabilities, net – 0.3% | 622,640 | ||||
TOTAL NET ASSETS – 100.0% | $ | 183,857,892 |
Security Abbreviations and Legend | |
IO | Interest-Only Security - (Interest Tranche of Stripped Mortgage Pool). Rate shown is the annualized yield at the end of the period. |
LIBOR | London Interbank Offered Rate |
(A) | Variable rate obligation. The coupon rate shown represents the rate at period end. |
Shares or Principal Amount | Value | ||||
U.S. GOVERNMENT AND AGENCY OBLIGATIONS – 4.8% | |||||
U.S. Government – 4.8% | |||||
U.S. Treasury Bonds | |||||
2.000%, 02/15/2050 | $ | 1,800,000 | $ | 1,768,359 | |
2.750%, 11/15/2042 | 995,000 | 1,120,424 | |||
3.000%, 02/15/2049 | 6,200,000 | 7,422,771 | |||
4.375%, 02/15/2038 | 3,920,000 | 5,395,972 | |||
U.S. Treasury Inflation Protected Security 0.125%, 01/15/2030 | 2,282,918 | 2,505,829 | |||
U.S. Treasury Notes | |||||
0.250%, 06/30/2025 | 100,000 | 98,227 | |||
0.375%, 11/30/2025 | 900,000 | 883,793 | |||
2.000%, 11/15/2026 | 1,390,000 | 1,466,884 | |||
2.375%, 02/29/2024 to 04/30/2026 | 335,000 | 356,259 | |||
2.625%, 02/15/2029 | 935,000 | 1,025,286 | |||
22,043,804 | |||||
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (Cost $20,013,749) | $ | 22,043,804 | |||
FOREIGN GOVERNMENT OBLIGATIONS – 19.8% | |||||
Australia – 0.9% | |||||
Commonwealth of Australia | |||||
0.250%, 11/21/2024 | AUD | 2,210,000 | 1,649,000 | ||
0.500%, 09/21/2026 | 775,000 | 572,064 | |||
2.250%, 11/21/2022 | 415,000 | 320,929 | |||
New South Wales Treasury Corp. 1.000%, 02/08/2024 | 2,100,000 | 1,602,844 | |||
4,144,837 | |||||
Austria – 0.3% | |||||
Republic of Austria 0.500%, 02/20/2029 (A) | EUR | 1,105,000 | 1,379,373 | ||
Brazil – 1.0% | |||||
Federative Republic of Brazil 10.000%, 01/01/2023 to 01/01/2025 | BRL | 20,880,000 | 4,400,435 | ||
Canada – 3.0% | |||||
Canada Housing Trust No. 1 | |||||
1.250%, 06/15/2026 (A) | CAD | 1,425,000 | 1,150,725 | ||
1.950%, 12/15/2025 (A) | 1,675,000 | 1,399,306 | |||
Government of Canada 1.500%, 09/01/2024 | 885,000 | 731,881 | |||
Province of Ontario | |||||
1.350%, 12/02/2030 | 8,165,000 | 6,232,235 | |||
2.900%, 06/02/2028 | 1,185,000 | 1,035,393 | |||
3.450%, 06/02/2045 | 1,060,000 | 988,196 | |||
Province of Quebec | |||||
0.200%, 04/07/2025 | EUR | 875,000 | 1,058,199 | ||
1.500%, 12/15/2023 | GBP | 497,000 | 706,854 | ||
3.000%, 09/01/2023 | CAD | 650,000 | 551,498 | ||
13,854,287 | |||||
China – 0.9% | |||||
People's Republic of China | |||||
1.990%, 04/09/2025 | CNY | 12,420,000 | 1,859,338 | ||
2.880%, 11/05/2023 | 14,670,000 | 2,278,083 | |||
4,137,421 | |||||
Colombia – 0.9% | |||||
Republic of Colombia | |||||
3.250%, 04/22/2032 | $ | 955,000 | 935,384 | ||
6.250%, 11/26/2025 | COP | 3,780,000,000 | 1,021,238 |
The accompanying notes are an integral part of the financial statements. | 94 |
Shares or Principal Amount | Value | ||||
FOREIGN GOVERNMENT OBLIGATIONS (continued) | |||||
Colombia (continued) | |||||
Republic of Colombia (continued) | |||||
7.500%, 08/26/2026 | COP | 3,905,000,000 | $ | 1,101,625 | |
10.000%, 07/24/2024 | 3,354,500,000 | 1,018,678 | |||
4,076,925 | |||||
Greece – 0.8% | |||||
Republic of Greece | |||||
1.500%, 06/18/2030 (A) | EUR | 1,020,000 | 1,293,257 | ||
2.000%, 04/22/2027 (A) | 779,000 | 1,019,169 | |||
4.200%, 01/30/2042 | 685,000 | 1,255,393 | |||
3,567,819 | |||||
India – 0.1% | |||||
Republic of India | |||||
6.450%, 10/07/2029 | INR | 33,000,000 | 446,094 | ||
7.270%, 04/08/2026 | 15,300,000 | 216,934 | |||
663,028 | |||||
Indonesia – 2.8% | |||||
Perusahaan Penerbit SBSN Indonesia III 4.150%, 03/29/2027 (A) | $ | 940,000 | 1,053,505 | ||
Republic of Indonesia | |||||
1.100%, 03/12/2033 | EUR | 261,000 | 302,010 | ||
2.150%, 07/18/2024 (A) | 740,000 | 928,463 | |||
2.625%, 06/14/2023 (A) | 850,000 | 1,057,241 | |||
3.850%, 10/15/2030 | $ | 405,000 | 450,780 | ||
6.125%, 05/15/2028 | IDR | 4,075,000,000 | 280,718 | ||
6.500%, 06/15/2025 | 27,798,000,000 | 2,009,743 | |||
6.625%, 05/15/2033 | 6,431,000,000 | 441,097 | |||
7.000%, 09/15/2030 | 23,300,000,000 | 1,659,362 | |||
7.500%, 08/15/2032 to 05/15/2038 | 11,864,000,000 | 842,824 | |||
8.125%, 05/15/2024 | 3,514,000,000 | 264,318 | |||
8.250%, 05/15/2029 | 4,891,000,000 | 375,602 | |||
8.375%, 03/15/2024 to 09/15/2026 | 17,952,000,000 | 1,379,207 | |||
8.750%, 05/15/2031 | 17,423,000,000 | 1,383,728 | |||
9.000%, 03/15/2029 | 6,709,000,000 | 535,483 | |||
12,964,081 | |||||
Ireland – 0.3% | |||||
Republic of Ireland 3.400%, 03/18/2024 | EUR | 1,047,000 | 1,374,961 | ||
Italy – 0.6% | |||||
Republic of Italy | |||||
1.250%, 02/17/2026 | $ | 742,000 | 731,756 | ||
1.850%, 07/01/2025 (A) | EUR | 1,710,000 | 2,179,459 | ||
2,911,215 | |||||
Japan – 0.9% | |||||
Government of Japan 0.100%, 06/20/2025 | JPY | 447,900,000 | 4,068,272 | ||
Malaysia – 1.3% | |||||
Government of Malaysia | |||||
3.733%, 06/15/2028 | MYR | 1,930,000 | 485,449 | ||
3.828%, 07/05/2034 | 1,965,000 | 471,305 | |||
3.844%, 04/15/2033 | 4,313,000 | 1,055,071 | |||
3.882%, 03/14/2025 | 2,835,000 | 715,801 | |||
3.899%, 11/16/2027 | 3,370,000 | 856,185 | |||
4.059%, 09/30/2024 | 3,895,000 | 987,395 | |||
4.160%, 07/15/2021 | 5,233,000 | 1,261,574 | |||
5,832,780 | |||||
Mexico – 1.1% | |||||
Government of Mexico | |||||
5.750%, 03/05/2026 | MXN | 24,110,000 | 1,175,916 | ||
7.500%, 06/03/2027 | 44,140,000 | 2,307,707 | |||
7.750%, 05/29/2031 | 32,570,000 | 1,724,638 | |||
5,208,261 |
Shares or Principal Amount | Value | ||||
FOREIGN GOVERNMENT OBLIGATIONS (continued) | |||||
New Zealand – 0.1% | |||||
Dominion of New Zealand 5.500%, 04/15/2023 | NZD | 460,000 | $ | 350,040 | |
Norway – 0.8% | |||||
Kingdom of Norway 2.000%, 05/24/2023 (A) | NOK | 30,260,000 | 3,603,678 | ||
Philippines – 0.6% | |||||
Republic of the Philippines | |||||
0.875%, 05/17/2027 | EUR | 1,465,000 | 1,766,963 | ||
6.250%, 01/14/2036 | PHP | 43,000,000 | 1,051,618 | ||
2,818,581 | |||||
Portugal – 1.2% | |||||
Republic of Portugal | |||||
0.475%, 10/18/2030 (A) | EUR | 2,270,000 | 2,741,770 | ||
0.700%, 10/15/2027 (A) | 435,000 | 542,228 | |||
5.125%, 10/15/2024 (A) | $ | 1,905,000 | 2,161,985 | ||
5,445,983 | |||||
Qatar – 0.3% | |||||
State of Qatar | |||||
4.000%, 03/14/2029 (A) | 475,000 | 546,611 | |||
4.817%, 03/14/2049 (A) | 710,000 | 913,238 | |||
1,459,849 | |||||
Singapore – 0.4% | |||||
Republic of Singapore | |||||
1.750%, 04/01/2022 | SGD | 1,485,000 | 1,115,931 | ||
2.375%, 06/01/2025 | 650,000 | 513,842 | |||
1,629,773 | |||||
Spain – 0.5% | |||||
Kingdom of Spain | |||||
0.250%, 07/30/2024 (A) | EUR | 875,000 | 1,058,981 | ||
0.800%, 07/30/2027 (A) | 865,000 | 1,078,623 | |||
2,137,604 | |||||
Sweden – 0.3% | |||||
Kingdom of Sweden 0.125%, 04/24/2023 (A) | 955,000 | 1,146,148 | |||
United Arab Emirates – 0.5% | |||||
Government of Abu Dhabi | |||||
1.700%, 03/02/2031 (A) | $ | 925,000 | 892,440 | ||
3.125%, 04/16/2030 (A) | 730,000 | 793,240 | |||
3.875%, 04/16/2050 (A) | 475,000 | 546,844 | |||
2,232,524 | |||||
United Kingdom – 0.2% | |||||
Government of United Kingdom | |||||
0.500%, 07/22/2022 | GBP | 585,000 | 813,242 | ||
3.750%, 09/07/2021 | 215,000 | 299,404 | |||
1,112,646 | |||||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost $89,825,550) | $ | 90,520,521 | |||
CORPORATE BONDS – 58.5% | |||||
Communication services – 8.5% | |||||
Altice France SA 7.375%, 05/01/2026 (A) | $ | 235,000 | 244,384 | ||
ANGI Group LLC 3.875%, 08/15/2028 (A) | 660,000 | 655,875 | |||
Cable One, Inc. 4.000%, 11/15/2030 (A) | 460,000 | 461,725 | |||
CCO Holdings LLC | |||||
4.250%, 02/01/2031 (A) | 165,000 | 168,094 | |||
4.500%, 08/15/2030 to 06/01/2033 (A) | 1,245,000 | 1,287,155 | |||
4.750%, 03/01/2030 (A) | 1,030,000 | 1,089,225 | |||
5.125%, 05/01/2027 (A) | 1,245,000 | 1,305,881 |
The accompanying notes are an integral part of the financial statements. | 95 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Communication services (continued) | |||||
Cellnex Telecom SA 1.875%, 06/26/2029 | EUR | 500,000 | $ | 604,348 | |
Charter Communications Operating LLC | |||||
2.800%, 04/01/2031 | $ | 230,000 | 235,132 | ||
5.125%, 07/01/2049 | 1,395,000 | 1,661,306 | |||
5.750%, 04/01/2048 | 790,000 | 1,005,465 | |||
DISH DBS Corp. 5.875%, 07/15/2022 | 1,260,000 | 1,314,432 | |||
GCI LLC 4.750%, 10/15/2028 (A) | 400,000 | 409,400 | |||
Kenbourne Invest SA 4.700%, 01/22/2028 (A) | 450,000 | 452,250 | |||
LCPR Senior Secured Financing DAC | |||||
5.125%, 07/15/2029 (A) | 785,000 | 811,494 | |||
6.750%, 10/15/2027 (A) | 1,395,000 | 1,503,392 | |||
Level 3 Financing, Inc. 4.625%, 09/15/2027 (A) | 165,000 | 171,257 | |||
Lions Gate Capital Holdings LLC 5.500%, 04/15/2029 (A) | 985,000 | 1,035,481 | |||
Match Group Holdings II LLC 4.125%, 08/01/2030 (A) | 705,000 | 717,338 | |||
Millicom International Cellular SA 4.500%, 04/27/2031 (A)(B) | 530,000 | 548,550 | |||
Netflix, Inc. | |||||
3.625%, 06/15/2025 (A) | 1,920,000 | 2,061,773 | |||
4.375%, 11/15/2026 | 655,000 | 744,879 | |||
4.875%, 04/15/2028 | 285,000 | 331,313 | |||
5.375%, 11/15/2029 (A) | 1,110,000 | 1,348,202 | |||
News Corp. 3.875%, 05/15/2029 (A) | 1,685,000 | 1,701,850 | |||
Radiate Holdco LLC | |||||
4.500%, 09/15/2026 (A) | 1,155,000 | 1,195,425 | |||
6.500%, 09/15/2028 (A) | 471,000 | 494,856 | |||
Sirius XM Radio, Inc. 4.125%, 07/01/2030 (A) | 100,000 | 100,888 | |||
Sprint Capital Corp. 8.750%, 03/15/2032 | 925,000 | 1,406,000 | |||
Sprint Corp. 7.125%, 06/15/2024 | 165,000 | 190,369 | |||
T-Mobile USA, Inc. | |||||
2.625%, 04/15/2026 to 02/15/2029 | 670,000 | 669,851 | |||
2.875%, 02/15/2031 | 400,000 | 397,000 | |||
3.375%, 04/15/2029 | 470,000 | 485,037 | |||
3.500%, 04/15/2031 | 785,000 | 812,122 | |||
4.500%, 02/01/2026 | 605,000 | 616,568 | |||
4.750%, 02/01/2028 | 165,000 | 176,756 | |||
Total Play Telecomunicaciones SA de CV 7.500%, 11/12/2025 (A) | 895,000 | 946,910 | |||
Townsquare Media, Inc. 6.875%, 02/01/2026 (A) | 385,000 | 411,950 | |||
TripAdvisor, Inc. 7.000%, 07/15/2025 (A) | 795,000 | 855,420 | |||
Virgin Media Finance PLC 5.000%, 07/15/2030 (A) | 720,000 | 727,409 | |||
Virgin Media Secured Finance PLC | |||||
4.500%, 08/15/2030 (A) | 670,000 | 675,025 | |||
5.500%, 05/15/2029 (A) | 1,161,000 | 1,248,075 | |||
VMED O2 UK Financing I PLC | |||||
3.250%, 01/31/2031 (A) | EUR | 735,000 | 873,468 | ||
4.250%, 01/31/2031 (A) | $ | 1,675,000 | 1,645,625 | ||
VTR Comunicaciones SpA | |||||
4.375%, 04/15/2029 (A) | 315,000 | 314,969 | |||
5.125%, 01/15/2028 (A) | 467,000 | 487,371 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Communication services (continued) | |||||
VTR Finance NV 6.375%, 07/15/2028 (A) | $ | 510,000 | $ | 540,600 | |
WMG Acquisition Corp. 3.000%, 02/15/2031 (A) | 1,910,000 | 1,809,649 | |||
38,951,544 | |||||
Consumer discretionary – 6.1% | |||||
Aramark Services, Inc. 6.375%, 05/01/2025 (A) | 160,000 | 170,000 | |||
BMW Finance NV 1.000%, 11/14/2024 | EUR | 410,000 | 504,976 | ||
Boyd Gaming Corp. 4.750%, 06/15/2031 (A) | $ | 810,000 | 840,375 | ||
Carnival Corp. 5.750%, 03/01/2027 (A) | 1,165,000 | 1,220,338 | |||
Carvana Company 5.875%, 10/01/2028 (A) | 1,190,000 | 1,252,118 | |||
Ford Motor Company | |||||
7.450%, 07/16/2031 | 165,000 | 216,975 | |||
8.500%, 04/21/2023 | 910,000 | 1,015,515 | |||
Ford Motor Credit Company LLC | |||||
2.748%, 06/14/2024 | GBP | 316,000 | 443,107 | ||
2.900%, 02/16/2028 | $ | 360,000 | 358,294 | ||
2.979%, 08/03/2022 | 415,000 | 420,706 | |||
3.087%, 01/09/2023 | 280,000 | 285,600 | |||
3.350%, 11/01/2022 | 485,000 | 497,077 | |||
3.370%, 11/17/2023 | 580,000 | 601,276 | |||
3.625%, 06/17/2031 | 1,220,000 | 1,243,644 | |||
3.813%, 10/12/2021 | 310,000 | 312,325 | |||
4.000%, 11/13/2030 | 255,000 | 267,113 | |||
4.125%, 08/17/2027 | 205,000 | 217,459 | |||
4.250%, 09/20/2022 | 200,000 | 206,514 | |||
4.542%, 08/01/2026 | 445,000 | 483,938 | |||
Hilton Domestic Operating Company, Inc. | |||||
3.625%, 02/15/2032 (A) | 485,000 | 478,938 | |||
4.875%, 01/15/2030 | 290,000 | 309,575 | |||
Hilton Grand Vacations Borrower Escrow LLC 5.000%, 06/01/2029 (A) | 585,000 | 598,163 | |||
Hyatt Hotels Corp. 5.750%, 04/23/2030 | 744,000 | 903,127 | |||
MercadoLibre, Inc. | |||||
2.375%, 01/14/2026 | 565,000 | 568,678 | |||
3.125%, 01/14/2031 (B) | 450,000 | 441,018 | |||
MGM Resorts International 4.750%, 10/15/2028 | 105,000 | 111,563 | |||
New Red Finance, Inc. | |||||
3.500%, 02/15/2029 (A) | 699,000 | 690,263 | |||
3.875%, 01/15/2028 (A) | 1,013,000 | 1,025,663 | |||
4.000%, 10/15/2030 (A) | 2,124,000 | 2,054,970 | |||
4.250%, 05/15/2024 (A) | 759,000 | 767,349 | |||
Newell Brands, Inc. 4.700%, 04/01/2026 | 160,000 | 178,419 | |||
Royal Caribbean Cruises, Ltd. | |||||
4.250%, 07/01/2026 (A) | 690,000 | 689,138 | |||
5.500%, 04/01/2028 (A) | 1,235,000 | 1,293,416 | |||
Travel + Leisure Company 6.625%, 07/31/2026 (A) | 1,230,000 | 1,393,590 | |||
Wyndham Hotels & Resorts, Inc. 4.375%, 08/15/2028 (A) | 660,000 | 685,219 | |||
Yum! Brands, Inc. | |||||
3.625%, 03/15/2031 | 1,795,000 | 1,786,025 | |||
4.625%, 01/31/2032 | 875,000 | 918,750 | |||
4.750%, 01/15/2030 (A) | 2,173,000 | 2,352,294 | |||
27,803,508 |
The accompanying notes are an integral part of the financial statements. | 96 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Consumer staples – 3.5% | |||||
Albertsons Companies, Inc. 4.875%, 02/15/2030 (A) | $ | 80,000 | $ | 85,321 | |
JBS Finance Luxembourg Sarl 3.625%, 01/15/2032 (A) | 1,070,000 | 1,069,668 | |||
JBS USA Food Company 7.000%, 01/15/2026 (A) | 960,000 | 1,017,600 | |||
Kraft Heinz Foods Company | |||||
3.000%, 06/01/2026 | 662,000 | 704,987 | |||
3.875%, 05/15/2027 | 370,000 | 406,546 | |||
4.250%, 03/01/2031 | 1,525,000 | 1,732,383 | |||
4.375%, 06/01/2046 | 280,000 | 317,296 | |||
4.625%, 10/01/2039 | 1,090,000 | 1,269,486 | |||
6.875%, 01/26/2039 | 1,220,000 | 1,752,420 | |||
7.125%, 08/01/2039 (A) | 165,000 | 240,881 | |||
Lamb Weston Holdings, Inc. 4.875%, 05/15/2028 (A) | 35,000 | 38,719 | |||
MARB BondCo PLC 3.950%, 01/29/2031 (A) | 805,000 | 776,181 | |||
Natura Cosmeticos SA 4.125%, 05/03/2028 (A) | 830,000 | 850,750 | |||
NBM US Holdings, Inc. 7.000%, 05/14/2026 (A) | 205,000 | 220,992 | |||
Oriflame Investment Holding PLC 5.125%, 05/04/2026 (A) | 470,000 | 481,891 | |||
Post Holdings, Inc. | |||||
4.500%, 09/15/2031 (A) | 1,450,000 | 1,447,608 | |||
5.500%, 12/15/2029 (A) | 285,000 | 305,306 | |||
5.625%, 01/15/2028 (A) | 1,255,000 | 1,330,300 | |||
5.750%, 03/01/2027 (A) | 1,955,000 | 2,045,419 | |||
16,093,754 | |||||
Energy – 6.3% | |||||
Aker BP ASA | |||||
2.875%, 01/15/2026 (A) | 170,000 | 179,058 | |||
3.750%, 01/15/2030 (A) | 985,000 | 1,062,899 | |||
Cenovus Energy, Inc. | |||||
3.500%, 02/07/2028 | CAD | 510,000 | 430,842 | ||
5.250%, 06/15/2037 | $ | 194,000 | 232,266 | ||
5.400%, 06/15/2047 | 777,000 | 961,479 | |||
6.750%, 11/15/2039 | 2,136,000 | 2,899,284 | |||
Cheniere Energy Partners LP | |||||
4.000%, 03/01/2031 (A) | 1,252,000 | 1,308,340 | |||
4.500%, 10/01/2029 | 390,000 | 419,250 | |||
Continental Resources, Inc. 5.750%, 01/15/2031 (A) | 2,205,000 | 2,640,488 | |||
Enbridge, Inc. 3.125%, 11/15/2029 | 990,000 | 1,060,196 | |||
EQM Midstream Partners LP 4.750%, 01/15/2031 (A) | 620,000 | 638,873 | |||
EQT Corp. | |||||
3.125%, 05/15/2026 (A) | 190,000 | 194,695 | |||
3.625%, 05/15/2031 (A) | 2,235,000 | 2,329,988 | |||
3.900%, 10/01/2027 | 325,000 | 348,156 | |||
Inversiones Latin America Power Ltda 5.125%, 06/15/2033 (A) | 575,000 | 569,825 | |||
Kinder Morgan, Inc. 2.000%, 02/15/2031 | 290,000 | 278,778 | |||
Medco Oak Tree Pte, Ltd. 7.375%, 05/14/2026 (A) | 625,000 | 682,813 | |||
Occidental Petroleum Corp. | |||||
3.200%, 08/15/2026 | 154,000 | 155,155 | |||
3.400%, 04/15/2026 | 238,000 | 243,355 | |||
6.125%, 01/01/2031 | 775,000 | 911,811 | |||
6.625%, 09/01/2030 | 746,000 | 895,200 | |||
7.500%, 05/01/2031 | 335,000 | 422,100 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Energy (continued) | |||||
Ovintiv, Inc. 6.500%, 08/15/2034 to 02/01/2038 | $ | 885,000 | $ | 1,170,044 | |
Pertamina Persero PT | |||||
3.100%, 01/21/2030 (A)(B) | 255,000 | 261,452 | |||
3.650%, 07/30/2029 (A) | 295,000 | 314,515 | |||
Petrobras Global Finance BV 6.900%, 03/19/2049 | 1,110,000 | 1,323,398 | |||
Petrorio Luxembourg Sarl 6.125%, 06/09/2026 (A) | 505,000 | 516,615 | |||
Qatar Petroleum | |||||
2.250%, 07/12/2031 (A) | 380,000 | 375,961 | |||
3.300%, 07/12/2051 (A) | 295,000 | 295,000 | |||
Saudi Arabian Oil Company | |||||
2.250%, 11/24/2030 (A) | 400,000 | 392,548 | |||
3.500%, 04/16/2029 (A) | 985,000 | 1,066,263 | |||
4.250%, 04/16/2039 (A) | 740,000 | 827,748 | |||
4.375%, 04/16/2049 (A) | 475,000 | 546,868 | |||
Southwestern Energy Company 6.450%, 01/23/2025 | 120,000 | 132,840 | |||
Targa Resources Partners LP 5.500%, 03/01/2030 | 100,000 | 109,966 | |||
The Williams Companies, Inc. 3.500%, 11/15/2030 | 80,000 | 87,315 | |||
TransCanada PipeLines, Ltd. 4.100%, 04/15/2030 | 1,310,000 | 1,505,386 | |||
Transcontinental Gas Pipe Line Company LLC 3.250%, 05/15/2030 | 80,000 | 86,555 | |||
Western Midstream Operating LP 5.300%, 02/01/2030 | 975,000 | 1,092,005 | |||
28,969,330 | |||||
Financials – 11.8% | |||||
American International Group, Inc. (8.175% to 5-15-38, then 3 month LIBOR + 4.195%) 05/15/2058 | 1,700,000 | 2,458,121 | |||
Asian Development Bank 5.000%, 03/09/2022 | AUD | 940,000 | 728,748 | ||
Banco Actinver SA | |||||
4.800%, 12/18/2032 (A) | $ | 215,000 | 173,747 | ||
9.500%, 12/18/2032 (A) | MXN | 12,100,000 | 412,762 | ||
Banco Santander SA (4.750% to 11-12-26, then 5 Year CMT + 3.753%) 11/12/2026 (C) | $ | 800,000 | 809,600 | ||
Berkshire Hathaway Finance Corp. 2.375%, 06/19/2039 | GBP | 610,000 | 904,585 | ||
Berkshire Hathaway, Inc., Zero Coupon 0.000%, 03/12/2025 | EUR | 975,000 | 1,158,679 | ||
BNG Bank NV 0.250%, 06/07/2024 | 395,000 | 478,075 | |||
BNP Paribas SA (4.500% to 2-25-30, then 5 Year CMT + 2.944%) 02/25/2030 (A)(C) | $ | 820,000 | 833,325 | ||
BNP Paribas SA (4.625% to 2-25-31, then 5 Year CMT + 3.340%) 02/25/2031 (A)(B)(C) | 1,421,000 | 1,479,289 | |||
Capital One Financial Corp. 0.800%, 06/12/2024 | EUR | 155,000 | 187,798 | ||
Chubb INA Holdings, Inc. 0.300%, 12/15/2024 | 875,000 | 1,046,588 | |||
Citigroup, Inc. (Greater of 3 month EURIBOR + 0.500% or 0.000%) 0.191%, 03/21/2023 (D) | 920,000 | 1,097,828 | |||
Credit Agricole SA (6.875% to 9-23-24, then 5 Year U.S. Swap Rate + 4.319%) 09/23/2024 (A)(C) | $ | 205,000 | 229,600 |
The accompanying notes are an integral part of the financial statements. | 97 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Financials (continued) | |||||
Credit Agricole SA (7.875% to 1-23-24, then 5 Year U.S. Swap Rate + 4.898%) 01/23/2024 (A)(C) | $ | 825,000 | $ | 932,250 | |
Credit Suisse Group AG (4.500% to 9-3-30, then 5 Year CMT + 3.554%) 09/03/2030 (A)(C) | 760,000 | 754,224 | |||
Credit Suisse Group AG (5.100% to 1-24-30, then 5 Year CMT + 3.293%) 01/24/2030 (A)(C) | 420,000 | 433,125 | |||
Credit Suisse Group AG (6.375% to 8-21-26, then 5 Year CMT + 4.822%) 08/21/2026 (A)(C) | 855,000 | 953,009 | |||
DB Insurance Company, Ltd. | |||||
3.512%, 05/25/2024 | KRW | 1,000,000,000 | 916,188 | ||
3.865%, 05/25/2027 | 1,000,000,000 | 936,208 | |||
Deutsche Bank AG (6.000% to 10-30-25, then 5 Year CMT + 4.524%) 10/30/2025 (C) | $ | 1,400,000 | 1,478,750 | ||
European Financial Stability Facility 1.875%, 05/23/2023 | EUR | 380,000 | 471,675 | ||
European Investment Bank | |||||
1.500%, 05/12/2022 | NOK | 9,790,000 | 1,146,795 | ||
1.750%, 03/13/2025 | 1,470,000 | 173,884 | |||
European Investment Bank (SONIA + 0.350%) 0.400%, 06/29/2023 (D) | GBP | 550,000 | 764,467 | ||
First Horizon Bank 5.750%, 05/01/2030 | $ | 484,000 | 596,755 | ||
Icahn Enterprises LP 5.250%, 05/15/2027 | 100,000 | 103,250 | |||
ING Groep NV (5.750% to 11-16-26, then 5 Year CMT + 4.342%) 11/16/2026 (C) | 1,037,000 | 1,148,581 | |||
International Bank for Reconstruction & Development | |||||
1.900%, 01/16/2025 | CAD | 1,390,000 | 1,157,324 | ||
3.375%, 01/25/2022 | NZD | 1,327,000 | 943,006 | ||
4.625%, 10/06/2021 | 1,310,000 | 925,824 | |||
7.450%, 08/20/2021 | IDR | 6,855,000,000 | 472,995 | ||
International Finance Corp. 0.375%, 09/10/2025 | NZD | 1,240,000 | 831,739 | ||
Intesa Sanpaolo SpA 4.198%, 06/01/2032 (A) | $ | 740,000 | 758,322 | ||
Intesa Sanpaolo SpA (7.700% to 9-17-25, then 5 Year U.S. Swap Rate + 5.462%) 09/17/2025 (A)(C) | 800,000 | 916,496 | |||
Lloyds Banking Group PLC (7.500% to 9-27-25, then 5 Year U.S. Swap Rate + 4.496%) 09/27/2025 (C) | 1,040,000 | 1,216,800 | |||
Mexico Remittances Funding Fiduciary Estate Management Sarl 4.875%, 01/15/2028 (A) | 630,000 | 620,103 | |||
MSCI, Inc. | |||||
3.625%, 09/01/2030 to 11/01/2031 (A) | 2,374,000 | 2,430,361 | |||
3.875%, 02/15/2031 (A) | 765,000 | 793,886 | |||
NatWest Group PLC (4.600% to 6-28-31, then 5 Year CMT + 3.100%) 06/28/2031 (C) | 410,000 | 411,927 | |||
NatWest Group PLC (6.000% to 12-29-25, then 5 Year CMT + 5.625%) 12/29/2025 (C) | 840,000 | 936,247 | |||
Nordea Eiendomskreditt AS (3 month NIBOR + 0.300%) 0.500%, 06/21/2023 (D) | NOK | 7,000,000 | 816,961 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Financials (continued) | |||||
Nordea Eiendomskreditt AS (3 month NIBOR + 0.340%) 0.540%, 06/19/2024 (D) | NOK | 12,000,000 | $ | 1,402,944 | |
Nordic Investment Bank | |||||
1.500%, 01/24/2022 | 1,000,000 | 116,879 | |||
1.875%, 04/10/2024 | 3,920,000 | 465,016 | |||
Popular, Inc. 6.125%, 09/14/2023 | $ | 1,625,000 | 1,753,375 | ||
QNB Finance, Ltd. | |||||
3.500%, 03/28/2024 | 330,000 | 351,803 | |||
4.350%, 01/29/2022 | CNY | 1,860,000 | 290,026 | ||
Shinhan Financial Group Company, Ltd. (2.875% to 5-12-26, then 5 Year CMT + 2.064%) 05/12/2026 (A)(C) | $ | 880,000 | 874,614 | ||
Societe Generale SA (4.750% to 5-26-26, then 5 Year CMT + 3.931%) 05/26/2026 (A)(C) | 360,000 | 373,050 | |||
Societe Generale SA (6.750% to 4-6-28, then 5 Year U.S. Swap Rate + 3.929%) 04/06/2028 (A)(C) | 410,000 | 464,071 | |||
Societe Generale SA (8.000% to 9-29-25, then 5 Year ICE Swap Rate + 5.873%) 09/29/2025 (A)(C) | 660,000 | 777,150 | |||
Swiss Insured Brazil Power Finance Sarl 9.850%, 07/16/2032 (A) | BRL | 8,696,049 | 1,813,935 | ||
The Goldman Sachs Group, Inc. | |||||
1.375%, 05/15/2024 | EUR | 983,000 | 1,196,007 | ||
2.000%, 11/01/2028 | 208,000 | 272,170 | |||
3.375%, 03/27/2025 | 187,000 | 248,516 | |||
U.S. Bancorp 0.850%, 06/07/2024 | 2,560,000 | 3,118,846 | |||
UBS Group AG (3.875% to 6-2-26, then 5 Year CMT + 3.098%) 06/02/2026 (A)(C) | $ | 550,000 | 551,029 | ||
UBS Group AG (4.375% to 2-10-31, then 5 Year CMT + 3.313%) 02/10/2031 (A)(C) | 875,000 | 893,988 | |||
UBS Group AG (5.125% to 7-29-26, then 5 Year CMT + 4.855%) 07/29/2026 (C) | 466,000 | 506,775 | |||
UniCredit SpA (5.459% to 6-30-30, then 5 Year CMT + 4.750%) 06/30/2035 (A) | 210,000 | 228,972 | |||
UniCredit SpA (8.000% to 6-3-24, then 5 Year U.S. Swap Rate + 5.180%) 06/03/2024 (C) | 400,000 | 445,000 | |||
Wells Fargo & Company 3.250%, 04/27/2022 | AUD | 1,120,000 | 860,053 | ||
Wells Fargo & Company (3 month BBSW + 1.320%) 1.362%, 07/27/2021 (D) | 935,000 | 701,783 | |||
53,745,899 | |||||
Health care – 5.0% | |||||
Allergan Funding SCS | |||||
1.250%, 06/01/2024 | EUR | 520,000 | 619,107 | ||
2.625%, 11/15/2028 | 300,000 | 374,123 | |||
Bausch Health Companies, Inc. | |||||
5.000%, 01/30/2028 (A) | $ | 1,666,000 | 1,580,618 | ||
5.250%, 01/30/2030 to 02/15/2031 (A) | 1,450,000 | 1,349,328 | |||
5.500%, 11/01/2025 (A) | 395,000 | 405,270 | |||
6.250%, 02/15/2029 (A) | 980,000 | 969,269 | |||
9.000%, 12/15/2025 (A) | 510,000 | 546,873 | |||
Becton Dickinson Euro Finance Sarl 1.208%, 06/04/2026 | EUR | 745,000 | 923,593 |
The accompanying notes are an integral part of the financial statements. | 98 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Health care (continued) | |||||
Centene Corp. | |||||
2.500%, 03/01/2031 | $ | 905,000 | $ | 892,556 | |
3.000%, 10/15/2030 | 1,795,000 | 1,843,968 | |||
3.375%, 02/15/2030 | 1,765,000 | 1,844,990 | |||
4.625%, 12/15/2029 | 260,000 | 285,940 | |||
DH Europe Finance II Sarl 0.450%, 03/18/2028 | EUR | 1,630,000 | 1,946,863 | ||
HCA, Inc. | |||||
3.500%, 09/01/2030 | $ | 2,943,000 | 3,135,384 | ||
4.125%, 06/15/2029 | 1,375,000 | 1,548,355 | |||
5.375%, 02/01/2025 | 1,490,000 | 1,680,720 | |||
Jazz Securities DAC 4.375%, 01/15/2029 (A) | 210,000 | 217,728 | |||
Rede D'or Finance Sarl 4.500%, 01/22/2030 (A) | 700,000 | 717,500 | |||
Thermo Fisher Scientific, Inc. | |||||
0.500%, 03/01/2028 | EUR | 650,000 | 778,712 | ||
0.750%, 09/12/2024 | 282,000 | 342,816 | |||
1.400%, 01/23/2026 | 468,000 | 587,227 | |||
22,590,940 | |||||
Industrials – 6.1% | |||||
Adani Ports & Special Economic Zone, Ltd. | |||||
3.100%, 02/02/2031 (A) | $ | 560,000 | 532,902 | ||
4.200%, 08/04/2027 (A) | 370,000 | 385,458 | |||
AECOM 5.125%, 03/15/2027 | 835,000 | 931,341 | |||
Airbus SE 1.625%, 06/09/2030 | EUR | 255,000 | 328,626 | ||
American Airlines Group, Inc. 5.000%, 06/01/2022 (A) | $ | 810,000 | 811,029 | ||
American Airlines, Inc. | |||||
5.500%, 04/20/2026 (A) | 970,000 | 1,026,988 | |||
5.750%, 04/20/2029 (A) | 790,000 | 854,188 | |||
BOC Aviation, Ltd. 2.750%, 09/18/2022 (A) | 990,000 | 1,007,694 | |||
Builders FirstSource, Inc. 6.750%, 06/01/2027 (A) | 174,000 | 186,398 | |||
Cimpress PLC 7.000%, 06/15/2026 (A) | 975,000 | 1,027,816 | |||
CoStar Group, Inc. 2.800%, 07/15/2030 (A) | 555,000 | 563,803 | |||
DAE Funding LLC 3.375%, 03/20/2028 (A) | 640,000 | 654,131 | |||
Delta Air Lines 2020-1 Class A Pass Through Trust 2.500%, 06/10/2028 | 491,206 | 498,413 | |||
Delta Air Lines, Inc. | |||||
2.900%, 10/28/2024 | 540,000 | 549,405 | |||
4.500%, 10/20/2025 (A) | 320,000 | 343,879 | |||
4.750%, 10/20/2028 (A) | 2,762,000 | 3,070,675 | |||
7.000%, 05/01/2025 (A) | 1,075,000 | 1,254,512 | |||
7.375%, 01/15/2026 | 165,000 | 193,600 | |||
GFL Environmental, Inc. 4.750%, 06/15/2029 (A) | 765,000 | 794,300 | |||
Hidrovias International Finance SARL 4.950%, 02/08/2031 (A) | 350,000 | 355,644 | |||
Indian Railway Finance Corp., Ltd. 3.249%, 02/13/2030 (A) | 645,000 | 653,325 | |||
Johnson Controls International PLC 0.375%, 09/15/2027 | EUR | 240,000 | 285,066 | ||
Mileage Plus Holdings LLC 6.500%, 06/20/2027 (A) | $ | 840,000 | 924,840 | ||
Movida Europe SA 5.250%, 02/08/2031 (A) | 235,000 | 237,174 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Industrials (continued) | |||||
Prime Security Services Borrower LLC 3.375%, 08/31/2027 (A) | $ | 105,000 | $ | 101,850 | |
Simpar Europe SA 5.200%, 01/26/2031 (A) | 315,000 | 323,351 | |||
Simpar Finance Sarl 10.750%, 02/12/2028 (A) | BRL | 3,000,000 | 552,779 | ||
Spirit AeroSystems, Inc. 7.500%, 04/15/2025 (A) | $ | 165,000 | 176,138 | ||
The Boeing Company | |||||
5.040%, 05/01/2027 | 1,035,000 | 1,194,212 | |||
5.150%, 05/01/2030 | 2,625,000 | 3,108,407 | |||
Uber Technologies, Inc. | |||||
7.500%, 05/15/2025 (A) | 160,000 | 172,672 | |||
8.000%, 11/01/2026 (A) | 1,110,000 | 1,196,025 | |||
United Airlines 2020-1 Class A Pass Through Trust 5.875%, 10/15/2027 | 1,189,563 | 1,322,794 | |||
United Rentals North America, Inc. | |||||
3.875%, 02/15/2031 | 1,120,000 | 1,139,600 | |||
4.000%, 07/15/2030 | 660,000 | 679,800 | |||
4.875%, 01/15/2028 | 530,000 | 562,065 | |||
28,000,900 | |||||
Information technology – 1.7% | |||||
Apple, Inc. 0.875%, 05/24/2025 | EUR | 865,000 | 1,065,533 | ||
Atento Luxco 1 SA 8.000%, 02/10/2026 (A) | $ | 486,000 | 528,802 | ||
Camelot Finance SA 4.500%, 11/01/2026 (A) | 385,000 | 402,806 | |||
CDW LLC 4.250%, 04/01/2028 | 165,000 | 173,250 | |||
Dell International LLC 8.350%, 07/15/2046 | 541,000 | 884,861 | |||
Fidelity National Information Services, Inc. | |||||
1.000%, 12/03/2028 | EUR | 425,000 | 518,081 | ||
1.500%, 05/21/2027 | 820,000 | 1,030,937 | |||
Fiserv, Inc. 1.125%, 07/01/2027 | 290,000 | 359,057 | |||
Gartner, Inc. 3.750%, 10/01/2030 (A) | $ | 475,000 | 485,977 | ||
j2 Global, Inc. 4.625%, 10/15/2030 (A) | 340,000 | 352,002 | |||
SK Hynix, Inc. 1.500%, 01/19/2026 (A) | 485,000 | 478,414 | |||
Square, Inc. 3.500%, 06/01/2031 (A) | 315,000 | 317,756 | |||
Twilio, Inc. | |||||
3.625%, 03/15/2029 | 465,000 | 474,300 | |||
3.875%, 03/15/2031 | 620,000 | 636,275 | |||
Xerox Holdings Corp. 5.000%, 08/15/2025 (A) | 120,000 | 126,674 | |||
7,834,725 | |||||
Materials – 6.0% | |||||
ArcelorMittal SA | |||||
4.550%, 03/11/2026 | 100,000 | 113,099 | |||
7.000%, 03/01/2041 | 485,000 | 673,637 | |||
7.250%, 10/15/2039 | 125,000 | 176,578 | |||
Ardagh Metal Packaging Finance USA LLC | |||||
3.250%, 09/01/2028 (A) | 960,000 | 957,219 | |||
4.000%, 09/01/2029 (A) | 1,040,000 | 1,031,238 | |||
Ardagh Packaging Finance PLC 4.125%, 08/15/2026 (A) | 205,000 | 211,663 |
The accompanying notes are an integral part of the financial statements. | 99 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Materials (continued) | |||||
Ball Corp. | |||||
2.875%, 08/15/2030 | $ | 520,000 | $ | 510,442 | |
4.000%, 11/15/2023 | 490,000 | 518,729 | |||
4.875%, 03/15/2026 | 1,035,000 | 1,152,741 | |||
5.250%, 07/01/2025 | 1,375,000 | 1,552,031 | |||
Berry Global, Inc. 5.625%, 07/15/2027 (A) | 590,000 | 623,978 | |||
Braskem Netherlands Finance BV | |||||
4.500%, 01/10/2028 (A) | 570,000 | 600,609 | |||
5.875%, 01/31/2050 (A) | 585,000 | 640,581 | |||
Cemex SAB de CV 3.875%, 07/11/2031 (A) | 770,000 | 782,705 | |||
CF Industries, Inc. 5.375%, 03/15/2044 | 125,000 | 154,900 | |||
Cleveland-Cliffs, Inc. | |||||
4.625%, 03/01/2029 (A) | 1,475,000 | 1,552,098 | |||
4.875%, 03/01/2031 (A)(B) | 790,000 | 829,500 | |||
6.750%, 03/15/2026 (A) | 375,000 | 404,531 | |||
Crown Americas LLC | |||||
4.250%, 09/30/2026 | 100,000 | 107,250 | |||
4.500%, 01/15/2023 | 712,000 | 745,820 | |||
Crown Cork & Seal Company, Inc. 7.375%, 12/15/2026 | 936,000 | 1,146,600 | |||
Ecolab, Inc. 1.000%, 01/15/2024 | EUR | 330,000 | 401,454 | ||
FMG Resources August 2006 Pty, Ltd. 4.375%, 04/01/2031 (A) | $ | 3,053,000 | 3,266,191 | ||
Freeport-McMoRan, Inc. | |||||
4.125%, 03/01/2028 | 140,000 | 146,125 | |||
4.625%, 08/01/2030 | 985,000 | 1,078,575 | |||
5.450%, 03/15/2043 | 1,905,000 | 2,328,520 | |||
FS Luxembourg Sarl 10.000%, 12/15/2025 (A) | 630,000 | 704,819 | |||
Indonesia Asahan Aluminium Persero PT 4.750%, 05/15/2025 (A) | 1,090,000 | 1,201,649 | |||
NOVA Chemicals Corp. 5.250%, 06/01/2027 (A) | 100,000 | 107,780 | |||
Reynolds Group Issuer, Inc. 4.000%, 10/15/2027 (A) | 1,285,000 | 1,276,097 | |||
SCIH Salt Holdings, Inc. 4.875%, 05/01/2028 (A) | 945,000 | 944,887 | |||
St. Mary's Cement, Inc. 5.750%, 01/28/2027 (A) | 830,000 | 958,650 | |||
Standard Industries, Inc. | |||||
3.375%, 01/15/2031 (A) | 255,000 | 244,089 | |||
5.000%, 02/15/2027 (A) | 90,000 | 93,206 | |||
27,237,991 | |||||
Real estate – 1.3% | |||||
American Tower Corp. | |||||
0.500%, 01/15/2028 | EUR | 270,000 | 317,215 | ||
1.950%, 05/22/2026 | 305,000 | 390,075 | |||
Crown Castle International Corp. 2.250%, 01/15/2031 | $ | 215,000 | 212,211 | ||
Host Hotels & Resorts LP | |||||
3.375%, 12/15/2029 | 240,000 | 251,550 | |||
3.500%, 09/15/2030 | 240,000 | 251,849 | |||
MGM Growth Properties Operating Partnership LP 4.625%, 06/15/2025 (A) | 105,000 | 112,179 | |||
SBA Communications Corp. | |||||
3.125%, 02/01/2029 (A) | 955,000 | 920,683 | |||
3.875%, 02/15/2027 | 1,900,000 | 1,951,120 | |||
4.875%, 09/01/2024 | 87,000 | 88,523 | |||
VICI Properties LP | |||||
4.125%, 08/15/2030 (A) | 895,000 | 919,004 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Real estate (continued) | |||||
VICI Properties LP (continued) | |||||
4.625%, 12/01/2029 (A) | $ | 385,000 | $ | 409,063 | |
5,823,472 | |||||
Utilities – 2.2% | |||||
Adani Green Energy UP, Ltd. 6.250%, 12/10/2024 (A) | 460,000 | 508,990 | |||
Chile Electricity PEC SpA 3.140%, 01/25/2028 (A)(E) | 285,000 | 231,919 | |||
DPL, Inc. 4.125%, 07/01/2025 | 1,330,000 | 1,426,425 | |||
E.ON SE 0.375%, 09/29/2027 | EUR | 315,000 | 377,864 | ||
EDP Finance BV 0.375%, 09/16/2026 | 130,000 | 155,650 | |||
Engie SA 0.375%, 06/21/2027 | 300,000 | 360,952 | |||
FirstEnergy Corp. | |||||
4.400%, 07/15/2027 | $ | 890,000 | 967,875 | ||
7.375%, 11/15/2031 | 1,355,000 | 1,855,686 | |||
Greenko Dutch BV 3.850%, 03/29/2026 (A) | 615,000 | 629,145 | |||
Greenko Solar Mauritius, Ltd. 5.550%, 01/29/2025 (A) | 430,000 | 441,965 | |||
Israel Electric Corp., Ltd. 6.875%, 06/21/2023 (A) | 390,000 | 434,687 | |||
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara 4.125%, 05/15/2027 (A) | 1,440,000 | 1,561,680 | |||
PG&E Corp. 5.250%, 07/01/2030 | 730,000 | 736,935 | |||
The AES Corp. 3.950%, 07/15/2030 (A) | 160,000 | 174,960 | |||
9,864,733 | |||||
TOTAL CORPORATE BONDS (Cost $257,588,737) | $ | 266,916,796 | |||
CONVERTIBLE BONDS – 3.1% | |||||
Communication services – 0.8% | |||||
Cellnex Telecom SA 0.750%, 11/20/2031 | EUR | 600,000 | 695,087 | ||
DISH Network Corp. 3.375%, 08/15/2026 | $ | 430,000 | 438,815 | ||
Liberty Broadband Corp. | |||||
1.250%, 09/30/2050 (A) | 1,205,000 | 1,212,833 | |||
2.750%, 09/30/2050 (A) | 815,000 | 855,684 | |||
Liberty Media Corp. 0.500%, 12/01/2050 (A) | 500,000 | 575,250 | |||
3,777,669 | |||||
Consumer discretionary – 0.5% | |||||
Burlington Stores, Inc. 2.250%, 04/15/2025 | 705,000 | 1,120,069 | |||
Etsy, Inc. 0.250%, 06/15/2028 (A) | 575,000 | 633,650 | |||
Sony Group Corp., Zero Coupon 0.000%, 09/30/2022 | JPY | 29,000,000 | 568,018 | ||
2,321,737 | |||||
Energy – 0.2% | |||||
BP Capital Markets PLC 1.000%, 04/28/2023 | GBP | 800,000 | 1,138,246 | ||
Industrials – 1.4% | |||||
Air Canada 4.000%, 07/01/2025 | $ | 500,000 | 774,200 | ||
American Airlines Group, Inc. 6.500%, 07/01/2025 | 1,395,000 | 2,186,663 |
The accompanying notes are an integral part of the financial statements. | 100 |
Shares or Principal Amount | Value | ||||
CONVERTIBLE BONDS (continued) | |||||
Industrials (continued) | |||||
Southwest Airlines Company 1.250%, 05/01/2025 | $ | 915,000 | $ | 1,385,653 | |
Uber Technologies, Inc., Zero Coupon 0.000%, 12/15/2025 (A) | 1,965,000 | 1,992,510 | |||
6,339,026 | |||||
Information technology – 0.2% | |||||
Sabre GLBL, Inc. 4.000%, 04/15/2025 | 415,000 | 755,300 | |||
TOTAL CONVERTIBLE BONDS (Cost $12,979,341) | $ | 14,331,978 | |||
CAPITAL PREFERRED SECURITIES – 0.3% | |||||
Financials – 0.3% | |||||
USB Capital IX (Greater of 3 month LIBOR + 1.020% or 3.500%) 3.500%, 08/02/2021 (C)(D) | 1,321,000 | 1,307,790 | |||
TOTAL CAPITAL PREFERRED SECURITIES (Cost $1,152,158) | $ | 1,307,790 | |||
TERM LOANS (F) – 3.0% | |||||
Consumer discretionary – 1.0% | |||||
Aramark Services, Inc., 2018 Term Loan B3 03/11/2025 TBD (G) | 262,166 | 259,106 | |||
Carnival Corp., 2021 USD Term Loan B 06/30/2025 TBD (G) | 300,000 | 299,700 | |||
Hilton Grand Vacations Borrower LLC, 2021 Term Loan B 05/19/2028 TBD (G) | 420,000 | 420,130 | |||
KFC Holding Company, 2021 Term Loan B 03/15/2028 TBD (G) | 655,000 | 654,764 | |||
Marriott Ownership Resorts, Inc., 2019 Term Loan B 08/29/2025 TBD (G) | 780,000 | 767,325 | |||
New Red Finance, Inc., Term Loan B4 (1 month LIBOR + 1.750%) 1.854%, 11/19/2026 | 1,362,942 | 1,343,138 | |||
The Hertz Corp., 2021 Term Loan B 06/14/2028 TBD (G) | 697,700 | 696,828 | |||
The Hertz Corp., 2021 Term Loan C 06/14/2028 TBD (G) | 131,710 | 131,545 | |||
4,572,536 | |||||
Health care – 0.9% | |||||
ICON Luxembourg Sarl, Term Loan B 06/16/2028 TBD (G) | 2,401,140 | 2,404,526 | |||
Indigo Merger Sub, Inc., 1st Lien Term Loan B 06/16/2028 TBD (G) | 266,880 | 267,256 | |||
Jazz Financing Lux Sarl, USD Term Loan (1 month LIBOR + 3.500%) 4.000%, 04/21/2028 | 440,000 | 441,236 | |||
Organon & Company, USD Term Loan (3 month LIBOR + 3.000%) 3.500%, 06/02/2028 | 525,000 | 525,331 | |||
Padagis LLC, Term Loan B 06/30/2028 TBD (G) | 365,000 | 361,850 | |||
4,000,199 | |||||
Industrials – 0.4% | |||||
AECOM, 2021 Term Loan B (1 month LIBOR + 1.750%) 1.854%, 04/13/2028 | 558,000 | 557,303 |
Shares or Principal Amount | Value | ||||
TERM LOANS (F) (continued) | |||||
Industrials (continued) | |||||
Brown Group Holding LLC, Term Loan B (3 month LIBOR + 2.750%) 3.250%, 06/07/2028 | $ | 567,000 | $ | 563,882 | |
United Airlines, Inc., 2021 Term Loan B 04/21/2028 TBD (G) | 785,000 | 794,593 | |||
1,915,778 | |||||
Information technology – 0.5% | |||||
Dell International LLC, 2021 Term Loan B 09/19/2025 TBD (G) | 2,376,000 | 2,374,931 | |||
Materials – 0.2% | |||||
SCIH Salt Holdings, Inc., 2021 Incremental Term Loan B (3 month LIBOR + 4.000%) 4.750%, 03/16/2027 | 570,000 | 570,952 | |||
TOTAL TERM LOANS (Cost $13,440,187) | $ | 13,434,396 | |||
COLLATERALIZED MORTGAGE OBLIGATIONS – 0.6% | |||||
Commercial and residential – 0.6% | |||||
Arroyo Mortgage Trust Series 2019-1, Class A1 3.805%, 01/25/2049 (A)(H) | 592,446 | 603,108 | |||
BX Commercial Mortgage Trust Series 2019-XL, Class A (1 month LIBOR + 0.920%) 0.993%, 10/15/2036 (A)(D) | 1,548,004 | 1,550,026 | |||
CSMC Trust Series 2019-NQM1, Class A1 2.656%, 10/25/2059 (A) | 317,336 | 322,134 | |||
HarborView Mortgage Loan Trust | |||||
Series 2007-3, Class ES IO, 0.350%, 05/19/2047 (A) | 4,439,795 | 46,362 | |||
Series 2007-4, Class ES IO, 0.350%, 07/19/2047 | 4,761,867 | 63,561 | |||
Series 2007-6, Class ES IO, 0.343%, 08/19/2037 (A) | 4,474,521 | 63,415 | |||
Morgan Stanley Mortgage Loan Trust Series 2004-9, Class 1A 5.429%, 11/25/2034 (H) | 95,014 | 103,116 | |||
2,751,722 | |||||
U.S. Government Agency – 0.0% | |||||
Federal Home Loan Mortgage Corp. Series 2017-DNA3, Class M1 (1 month LIBOR + 0.750%) 0.842%, 03/25/2030 (D) | 144,120 | 144,120 | |||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $2,689,330) | $ | 2,895,842 | |||
ASSET BACKED SECURITIES – 1.5% | |||||
Bravo Mortgage Asset Trust Series 2006-1A, Class A2 (1 month LIBOR + 0.240%) 0.332%, 07/25/2036 (A)(D) | 85,185 | 85,158 | |||
DB Master Finance LLC | |||||
Series 2017-1A, Class A2I 3.629%, 11/20/2047 (A) | 503,100 | 509,278 | |||
Series 2019-1A, Class A2I 3.787%, 05/20/2049 (A) | 884,250 | 895,719 | |||
Series 2019-1A, Class A2II 4.021%, 05/20/2049 (A) | 476,513 | 502,878 | |||
Domino's Pizza Master Issuer LLC Series 2015-1A, Class A2II 4.474%, 10/25/2045 (A) | 864,275 | 906,244 |
The accompanying notes are an integral part of the financial statements. | 101 |
Shares or Principal Amount | Value | ||||
ASSET BACKED SECURITIES (continued) | |||||
FirstKey Homes Trust Series 2020-SFR2, Class A 1.266%, 10/19/2037 (A) | $ | 284,371 | $ | 283,913 | |
Home Partners of America Trust | |||||
Series 2018-1, Class D (1 month LIBOR + 1.450%) 1.532%, 07/17/2037 (A)(D) | 590,000 | 590,368 | |||
Series 2019-1, Class B 3.157%, 09/17/2039 (A) | 387,288 | 394,517 | |||
Jack in the Box Funding LLC Series 2019-1A, Class A2II 4.476%, 08/25/2049 (A) | 590,538 | 622,745 | |||
MVW Owner Trust Series 2018-1A, Class A 3.450%, 01/21/2036 (A) | 243,870 | 252,594 | |||
Taco Bell Funding LLC Series 2016-1A, Class A23 4.970%, 05/25/2046 (A) | 1,497,600 | 1,617,138 | |||
TOTAL ASSET BACKED SECURITIES (Cost $6,403,523) | $ | 6,660,552 | |||
COMMON STOCKS – 3.2% | |||||
Communication services – 0.0% | |||||
Vertis Holdings, Inc. (I)(J) | 8,371 | 0 | |||
Consumer discretionary – 0.3% | |||||
General Motors Company (J) | 20,696 | 1,224,582 | |||
Financials – 1.2% | |||||
CIT Group, Inc. | 17,920 | 924,493 | |||
Credit Agricole SA | 66,195 | 928,027 | |||
Credit Suisse Group AG, ADR | 63,906 | 670,374 | |||
Societe Generale SA | 30,080 | 889,808 | |||
Synovus Financial Corp. | 19,905 | 873,431 | |||
U.S. Bancorp | 22,421 | 1,277,324 | |||
5,563,457 | |||||
Industrials – 0.7% | |||||
Delta Air Lines, Inc. (J) | 24,829 | 1,074,103 | |||
The Boeing Company (J) | 8,021 | 1,921,511 | |||
2,995,614 | |||||
Real estate – 0.4% | |||||
Americold Realty Trust | 36,756 | 1,391,215 | |||
Safehold, Inc. | 4,554 | 357,489 | |||
1,748,704 | |||||
Utilities – 0.6% | |||||
Algonquin Power & Utilities Corp. (J) | 25,100 | 1,246,413 | |||
Dominion Energy, Inc. | 18,000 | 1,748,340 | |||
2,994,753 | |||||
TOTAL COMMON STOCKS (Cost $14,811,050) | $ | 14,527,110 | |||
PREFERRED SECURITIES – 3.2% | |||||
Communication services – 0.1% | |||||
2020 Cash Mandatory Exchangeable Trust, 5.250% (A) | 475 | 598,538 | |||
Financials – 0.5% | |||||
U.S. Bancorp (Greater of 3 month LIBOR + 1.020% or 3.500%), 3.500% | 804 | 792,744 | |||
Valley National Bancorp (5.500% to 9-30-22, then 3 month LIBOR + 3.578%) | 22,825 | 585,918 | |||
Wells Fargo & Company (5.850% to 9-15-23, then 3 month LIBOR + 3.090%) | 27,605 | 760,518 | |||
2,139,180 |
Shares or Principal Amount | Value | ||||
PREFERRED SECURITIES (continued) | |||||
Health care – 0.3% | |||||
Becton, Dickinson and Company, 6.000% (B) | 10,850 | $ | 580,584 | ||
Danaher Corp., 4.750% | 570 | 1,025,208 | |||
1,605,792 | |||||
Industrials – 0.3% | |||||
Stanley Black & Decker, Inc., 5.250% (B) | 10,400 | 1,255,592 | |||
Information technology – 0.4% | |||||
Broadcom, Inc., 8.000% | 840 | 1,276,691 | |||
Sabre Corp., 6.500% | 2,400 | 386,856 | |||
1,663,547 | |||||
Utilities – 1.6% | |||||
American Electric Power Company, Inc., 6.125% | 23,350 | 1,196,454 | |||
DTE Energy Company, 6.250% | 20,150 | 996,015 | |||
NextEra Energy, Inc., 4.872% | 26,200 | 1,471,130 | |||
NextEra Energy, Inc., 5.279% | 28,350 | 1,388,016 | |||
NextEra Energy, Inc., 6.219% | 17,400 | 859,560 | |||
The Southern Company, 6.750% | 33,300 | 1,685,979 | |||
7,597,154 | |||||
TOTAL PREFERRED SECURITIES (Cost $13,926,538) | $ | 14,859,803 | |||
PURCHASED OPTIONS – 0.0% | |||||
Puts – 0.0% | |||||
Over the Counter Option on the USD vs. CAD (Expiration Date: 10-7-21; Strike Price: $1.22; Counterparty: Canadian Imperial Bank of Commerce) (J)(K) | 7,675,000 | 49,573 | |||
Over the Counter Option on the USD vs. MXN (Expiration Date: 7-22-21; Strike Price: $19.25; Counterparty: HSBC Bank USA, N.A.) (J)(K) | 6,190,000 | 2,816 | |||
52,389 | |||||
TOTAL PURCHASED OPTIONS (Cost $142,384) | $ | 52,389 | |||
SHORT-TERM INVESTMENTS – 3.5% | |||||
Short-term funds – 0.8% | |||||
John Hancock Collateral Trust, 0.0324% (L)(M) | 341,886 | 3,420,435 | |||
Repurchase agreement – 2.7% | |||||
Repurchase Agreement with State Street Corp. dated 6-30-21 at 0.000% to be repurchased at $12,414,000 on 7-1-21, collateralized by $12,654,200 U.S. Treasury Notes, 0.099% due 1-31-23 (valued at $12,662,308) | $ | 12,414,000 | 12,414,000 | ||
TOTAL SHORT-TERM INVESTMENTS (Cost $15,834,553) | $ | 15,834,435 | |||
Total Investments (Strategic Income Opportunities Trust) (Cost $448,807,100) – 101.5% | $ | 463,385,416 | |||
Other assets and liabilities, net – (1.5%) | (6,746,867) | ||||
TOTAL NET ASSETS – 100.0% | $ | 456,638,549 |
Currency Abbreviations | |
AUD | Australian Dollar |
BRL | Brazilian Real |
CAD | Canadian Dollar |
CNY | Chinese Yuan Renminbi |
COP | Colombian Peso |
EUR | Euro |
GBP | Pound Sterling |
IDR | Indonesian Rupiah |
The accompanying notes are an integral part of the financial statements. | 102 |
INR | Indian Rupee |
JPY | Japanese Yen |
KRW | Korean Won |
MXN | Mexican Peso |
MYR | Malaysian Ringgit |
NOK | Norwegian Krone |
NZD | New Zealand Dollar |
PHP | Philippine Peso |
SGD | Singapore Dollar |
Security Abbreviations and Legend | |
ADR | American Depositary Receipt |
BBSW | Bank Bill Swap Rate |
CMT | Constant Maturity Treasury |
EURIBOR | Euro Interbank Offered Rate |
ICE | Intercontinental Exchange |
IO | Interest-Only Security - (Interest Tranche of Stripped Mortgage Pool). Rate shown is the annualized yield at the end of the period. |
LIBOR | London Interbank Offered Rate |
NIBOR | Norwegian Interbank Offered Rate |
SONIA | Sterling Overnight Interbank Average Rate |
(A) | 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 $176,687,392 or 38.7% of the fund's net assets as of 6-30-21. |
(B) | All or a portion of this security is on loan as of 6-30-21. |
(C) | Perpetual bonds have no stated maturity date. Date shown as maturity date is next call date. |
(D) | Variable rate obligation. The coupon rate shown represents the rate at period end. |
(E) | 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. |
(F) | Term loans are variable rate obligations. The coupon rate shown represents the rate at period end. |
(G) | This position represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate, which is disclosed as TBD (To Be Determined). |
(H) | Variable or floating rate security, the interest rate of which adjusts periodically based on a weighted average of interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of period end. |
(I) | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. Refer to Note 2 to the financial statements. |
(J) | Non-income producing security. |
(K) | For this type of option, notional amounts are equivalent to number of contracts. |
(L) | The rate shown is the annualized seven-day yield as of 6-30-21. |
(M) | Investment is an affiliate of the fund, the advisor and/or subadvisor. This security represents the investment of cash collateral received for securities lending. |
Open contracts | Number of contracts | Position | Expiration date | Notional basis^ | Notional value^ | Unrealized appreciation (depreciation) |
Euro-BTP Italian Government Bond Futures | 27 | Long | Sep 2021 | $4,817,824 | $4,847,445 | $29,621 |
10-Year U.S. Treasury Note Futures | 96 | Short | Sep 2021 | (12,654,115) | (12,720,000) | (65,885) |
Euro-Buxl Futures | 4 | Short | Sep 2021 | (962,647) | (963,967) | (1,320) |
German Euro BUND Futures | 33 | Short | Sep 2021 | (6,720,073) | (6,754,187) | (34,114) |
U.S. Treasury Long Bond Futures | 442 | Short | Sep 2021 | (69,007,363) | (71,051,500) | (2,044,137) |
Ultra U.S. Treasury Bond Futures | 7 | Short | Sep 2021 | (1,012,364) | (1,030,422) | (18,058) |
$(2,133,893) |
Contract to buy | Contract to sell | Counterparty (OTC) | Contractual settlement date | Unrealized appreciation | Unrealized depreciation | ||
CAD | 2,472,179 | GBP | 1,441,250 | MSCS | 9/15/2021 | $258 | — |
CAD | 2,464,235 | GBP | 1,441,250 | RBC | 9/15/2021 | — | $(6,150) |
CAD | 1,475,000 | JPY | 132,702,800 | ANZ | 9/15/2021 | — | (5,385) |
CAD | 1,475,000 | JPY | 132,297,323 | RBC | 9/15/2021 | — | (1,733) |
CAD | 3,528,035 | USD | 2,880,000 | CITI | 9/15/2021 | — | (33,985) |
CAD | 3,568,435 | USD | 2,880,500 | GSI | 9/15/2021 | — | (1,894) |
CAD | 3,568,209 | USD | 2,882,500 | HUS | 9/15/2021 | — | (4,076) |
CAD | 9,112,637 | USD | 7,390,534 | JPM | 9/15/2021 | — | (39,499) |
CAD | 3,549,538 | USD | 2,877,500 | MSCS | 9/15/2021 | — | (14,138) |
CAD | 1,765,175 | USD | 1,440,000 | RBC | 9/15/2021 | — | (16,058) |
EUR | 6,700,851 | CAD | 9,882,730 | RBC | 9/15/2021 | — | (14,629) |
EUR | 2,882,020 | GBP | 2,479,090 | SSB | 9/15/2021 | — | (7,339) |
EUR | 2,932,500 | USD | 3,481,877 | SCB | 9/15/2021 | 628 | — |
GBP | 2,882,500 | CAD | 4,930,199 | JPM | 9/15/2021 | 10,905 | — |
GBP | 2,485,546 | EUR | 2,882,020 | UBS | 9/15/2021 | 16,272 | — |
GBP | 2,065,000 | USD | 2,861,726 | BARC | 9/15/2021 | — | (4,735) |
GBP | 2,065,000 | USD | 2,915,727 | SSB | 9/15/2021 | — | (58,736) |
JPY | 266,790,419 | CAD | 2,950,000 | CIBC | 9/15/2021 | 23,244 | — |
SGD | 4,615,797 | USD | 3,440,216 | BARC | 9/15/2021 | — | (7,667) |
The accompanying notes are an integral part of the financial statements. | 103 |
FORWARD FOREIGN CURRENCY CONTRACTS (continued)
Contract to buy | Contract to sell | Counterparty (OTC) | Contractual settlement date | Unrealized appreciation | Unrealized depreciation | ||
SGD | 216,768 | USD | 161,240 | CITI | 9/15/2021 | — | $(40) |
USD | 3,080,055 | AUD | 4,103,949 | CITI | 9/15/2021 | $1,331 | — |
USD | 6,040,608 | BRL | 30,697,025 | CITI | 9/15/2021 | — | (75,280) |
USD | 755,766 | BRL | 3,741,798 | SSB | 9/15/2021 | 10,273 | — |
USD | 8,642,500 | CAD | 10,567,184 | MSCS | 9/15/2021 | 118,102 | — |
USD | 1,583,102 | CAD | 1,911,966 | RBC | 9/15/2021 | 40,746 | — |
USD | 4,465,602 | CAD | 5,425,924 | SSB | 9/15/2021 | 88,586 | — |
USD | 8,425,636 | EUR | 7,065,242 | GSI | 9/15/2021 | 35,274 | — |
USD | 3,484,180 | EUR | 2,932,500 | MSCS | 9/15/2021 | 1,674 | — |
USD | 4,152,160 | GBP | 2,984,014 | CIBC | 9/15/2021 | 23,686 | — |
USD | 1,278,430 | GBP | 919,014 | HUS | 9/15/2021 | 6,947 | — |
USD | 1,071,894 | JPY | 117,207,264 | UBS | 9/15/2021 | 16,215 | — |
USD | 788,148 | NZD | 1,134,068 | ANZ | 9/15/2021 | — | (4,388) |
USD | 736,543 | NZD | 1,058,464 | GSI | 9/15/2021 | — | (3,158) |
USD | 2,044,840 | SGD | 2,743,562 | HUS | 9/15/2021 | 4,583 | — |
USD | 2,044,840 | SGD | 2,745,903 | JPM | 9/15/2021 | 2,842 | — |
USD | 2,044,840 | SGD | 2,744,687 | MSCS | 9/15/2021 | 3,747 | — |
USD | 3,649,168 | SGD | 4,832,565 | SSB | 9/15/2021 | 55,420 | — |
$460,733 | $(298,890) |
Foreign currency options | |||||||
Description | Counterparty (OTC) | Currency | Exercise price | Expiration date | Notional amount* | Premium | Value |
Calls | |||||||
Euro vs. U.S. Dollar | CITI | EUR | 1.22 | Aug 2021 | 8,885,000 | $124,574 | $(8,523) |
Euro vs. U.S. Dollar | UBS | EUR | 1.19 | Aug 2021 | 8,895,000 | 87,620 | (58,632) |
$212,194 | $(67,155) | ||||||
Puts | |||||||
U.S. Dollar vs. Canadian Dollar | GSI | USD | 1.22 | Oct 2021 | 7,675,000 | 174,069 | (49,573) |
$174,069 | $(49,573) | ||||||
$386,263 | $(116,728) | ||||||
* For this type of option, notional amounts are equivalent to number of contracts. |
Derivatives Currency Abbreviations | |
AUD | Australian Dollar |
BRL | Brazilian Real |
CAD | Canadian Dollar |
EUR | Euro |
GBP | Pound Sterling |
JPY | Japanese Yen |
NZD | New Zealand Dollar |
SGD | Singapore Dollar |
USD | U.S. Dollar |
Derivatives Abbreviations | |
ANZ | Australia and New Zealand Banking Group Limited |
BARC | Barclays Bank PLC |
CIBC | Canadian Imperial Bank of Commerce |
CITI | Citibank, N.A. |
GSI | Goldman Sachs International |
HUS | HSBC Bank USA, N.A. |
JPM | JPMorgan Chase Bank, N.A. |
MSCS | Morgan Stanley Capital Services LLC |
OTC | Over-the-counter |
RBC | Royal Bank of Canada |
SCB | Standard Chartered Bank |
SSB | State Street Bank and Trust Company |
UBS | UBS AG |
The accompanying notes are an integral part of the financial statements. | 104 |
Shares or Principal Amount | Value | ||||
U.S. GOVERNMENT AND AGENCY OBLIGATIONS – 64.5% | |||||
U.S. Government – 36.4% | |||||
U.S. Treasury Bonds | |||||
1.250%, 05/15/2050 | $ | 8,000,000 | $ | 6,532,188 | |
1.875%, 02/15/2041 | 2,000,000 | 1,957,813 | |||
2.000%, 02/15/2050 | 3,000,000 | 2,947,266 | |||
2.250%, 08/15/2049 | 2,000,000 | 2,071,875 | |||
2.750%, 08/15/2047 | 3,000,000 | 3,412,500 | |||
2.875%, 05/15/2049 | 1,500,000 | 1,756,465 | |||
3.000%, 02/15/2047 to 02/15/2049 | 28,635,000 | 34,083,005 | |||
4.250%, 05/15/2039 to 11/15/2040 | 4,610,000 | 6,316,910 | |||
4.375%, 05/15/2041 | 1,830,000 | 2,571,079 | |||
4.625%, 02/15/2040 | 5,000,000 | 7,177,344 | |||
4.750%, 02/15/2041 | 2,000,000 | 2,932,891 | |||
8.125%, 08/15/2021 | 1,400,000 | 1,414,059 | |||
U.S. Treasury Notes | |||||
0.125%, 10/31/2022 to 02/28/2023 | 16,000,000 | 15,989,844 | |||
0.250%, 11/15/2023 to 10/31/2025 | 32,000,000 | 31,620,625 | |||
0.375%, 07/31/2027 | 4,000,000 | 3,833,750 | |||
0.500%, 10/31/2027 | 12,000,000 | 11,537,344 | |||
0.625%, 03/31/2027 to 05/15/2030 | 16,000,000 | 15,217,422 | |||
0.750%, 03/31/2026 | 4,000,000 | 3,982,031 | |||
1.250%, 08/31/2024 | 5,000,000 | 5,117,969 | |||
1.375%, 08/31/2026 | 5,000,000 | 5,118,555 | |||
1.500%, 01/31/2027 | 5,000,000 | 5,140,039 | |||
1.625%, 08/15/2029 | 8,000,000 | 8,182,188 | |||
1.750%, 07/31/2021 to 12/31/2024 | 13,000,000 | 13,261,399 | |||
2.000%, 11/15/2021 to 02/15/2022 | 29,400,000 | 29,634,680 | |||
2.125%, 05/31/2026 | 3,000,000 | 3,181,641 | |||
2.250%, 11/15/2027 | 20,595,000 | 22,030,214 | |||
2.375%, 05/15/2029 | 5,000,000 | 5,395,508 | |||
2.625%, 02/28/2023 | 3,000,000 | 3,121,055 | |||
2.750%, 04/30/2023 | 3,500,000 | 3,660,645 | |||
2.875%, 11/30/2023 to 05/15/2028 | 9,300,000 | 10,206,774 | |||
3.000%, 10/31/2025 | 2,000,000 | 2,191,094 | |||
271,596,172 | |||||
U.S. Government Agency – 28.1% | |||||
Federal Home Loan Bank 5.500%, 07/15/2036 | 1,690,000 | 2,485,868 | |||
Federal Home Loan Mortgage Corp. | |||||
2.000%, 07/01/2035 | 1,069,682 | 1,104,102 | |||
2.375%, 01/13/2022 | 1,500,000 | 1,518,360 | |||
2.475%, (12 month LIBOR + 2.100%), 02/01/2037 (A) | 57,493 | 60,498 | |||
2.500%, 04/01/2031 to 08/01/2050 | 5,501,649 | 5,703,942 | |||
2.531%, (12 month LIBOR + 1.863%), 08/01/2037 (A) | 415,572 | 434,917 | |||
2.750%, 06/19/2023 | 2,000,000 | 2,098,373 | |||
3.000%, 07/01/2032 to 08/01/2046 | 5,066,716 | 5,369,956 | |||
3.500%, 12/01/2025 to 06/01/2048 | 4,068,867 | 4,343,509 | |||
4.000%, 02/01/2024 to 09/01/2047 | 1,909,775 | 2,062,591 | |||
4.500%, 05/01/2024 to 11/01/2048 | 3,141,869 | 3,417,592 | |||
5.000%, 06/01/2023 to 09/01/2039 | 232,010 | 263,958 | |||
5.500%, 02/01/2023 to 01/01/2039 | 390,271 | 451,386 | |||
6.000%, 10/01/2036 to 10/01/2038 | 180,511 | 213,567 | |||
6.250%, 07/15/2032 | 450,000 | 661,050 | |||
6.500%, 08/01/2037 to 08/01/2038 | 38,132 | 45,452 | |||
6.750%, 09/15/2029 | 1,200,000 | 1,731,966 | |||
7.000%, 04/01/2029 to 10/01/2038 | 30,122 | 35,832 | |||
7.500%, 09/01/2030 to 03/01/2032 | 5,255 | 6,187 | |||
8.000%, 02/01/2030 | 691 | 800 | |||
Federal National Mortgage Association | |||||
1.500%, TBA (B) | 1,700,000 | 1,719,575 | |||
1.664%, (6 month LIBOR + 1.413%), 07/01/2034 (A) | 95,688 | 97,593 |
Shares or Principal Amount | Value | ||||
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (continued) | |||||
U.S. Government Agency (continued) | |||||
Federal National Mortgage Association (continued) | |||||
1.728%, (12 month LIBOR + 1.353%), 01/01/2035 (A) | $ | 197,090 | $ | 202,724 | |
1.945%, (12 month LIBOR + 1.567%), 09/01/2037 (A) | 63,144 | 65,418 | |||
2.000%, TBA (B) | 16,700,000 | 16,873,770 | |||
2.000%, 02/01/2035 to 11/01/2050 | 13,037,127 | 13,257,919 | |||
2.070%, (12 month LIBOR + 1.791%), 04/01/2037 (A) | 106,741 | 111,595 | |||
2.125%, 04/24/2026 | 2,000,000 | 2,118,597 | |||
2.310%, (1 Year CMT + 2.185%), 05/01/2036 (A) | 48,222 | 51,056 | |||
2.425%, (12 month LIBOR + 1.925%), 10/01/2037 (A) | 21,719 | 22,784 | |||
2.500%, TBA (B) | 4,000,000 | 4,171,252 | |||
2.500%, 05/01/2028 to 11/01/2050 | 15,826,755 | 16,400,532 | |||
2.625%, 09/06/2024 | 1,000,000 | 1,068,588 | |||
3.000%, TBA (B) | 16,400,000 | 17,097,003 | |||
3.000%, 01/01/2027 to 12/01/2049 | 13,492,834 | 14,261,468 | |||
3.500%, TBA (B) | 8,000,000 | 8,419,996 | |||
3.500%, 12/01/2025 to 10/01/2049 | 13,153,927 | 14,018,584 | |||
4.000%, 03/01/2024 to 09/01/2049 | 11,931,846 | 12,802,739 | |||
4.500%, 08/01/2024 to 09/01/2048 | 2,575,976 | 2,828,632 | |||
5.000%, 08/01/2023 to 09/01/2048 | 1,971,293 | 2,189,933 | |||
5.500%, 08/01/2021 to 11/01/2038 | 480,066 | 553,299 | |||
6.000%, 08/01/2023 to 08/01/2038 | 323,965 | 378,003 | |||
6.500%, 03/01/2022 to 12/01/2037 | 110,990 | 131,212 | |||
7.000%, 02/01/2031 to 10/01/2038 | 42,073 | 50,381 | |||
7.125%, 01/15/2030 | 209,000 | 305,319 | |||
7.250%, 05/15/2030 | 1,450,000 | 2,149,455 | |||
7.500%, 09/01/2030 to 08/01/2031 | 15,641 | 18,381 | |||
8.000%, 08/01/2030 to 09/01/2031 | 3,706 | 4,337 | |||
8.500%, 09/01/2030 | 370 | 435 | |||
Government National Mortgage Association | |||||
2.000%, TBA (B) | 2,500,000 | 2,546,939 | |||
2.500%, TBA (B) | 8,000,000 | 8,279,233 | |||
3.000%, TBA (B) | 5,000,000 | 5,206,743 | |||
3.000%, 08/15/2043 to 08/20/2050 | 8,137,745 | 8,568,520 | |||
3.500%, TBA (B) | 2,800,000 | 2,926,962 | |||
3.500%, 04/15/2042 to 04/20/2050 | 8,407,671 | 8,984,667 | |||
4.000%, 11/15/2026 to 08/20/2048 | 4,761,231 | 5,125,725 | |||
4.500%, 06/15/2023 to 04/20/2050 | 2,555,210 | 2,769,980 | |||
5.000%, 10/15/2023 to 07/20/2040 | 674,232 | 765,054 | |||
5.500%, 08/15/2023 to 09/20/2039 | 274,230 | 313,933 | |||
6.000%, 07/15/2029 to 10/15/2038 | 185,464 | 215,452 | |||
6.500%, 05/15/2028 to 12/15/2038 | 139,890 | 164,238 | |||
7.000%, 08/15/2029 to 05/15/2032 | 24,933 | 28,600 | |||
7.500%, 09/15/2030 to 01/15/2031 | 6,054 | 7,055 | |||
8.000%, 04/15/2031 | 6,644 | 7,847 | |||
209,291,434 | |||||
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (Cost $463,814,695) | $ | 480,887,606 | |||
FOREIGN GOVERNMENT OBLIGATIONS – 1.0% | |||||
Brazil – 0.2% | |||||
Federative Republic of Brazil 4.250%, 01/07/2025 | 1,612,000 | 1,739,574 | |||
Canada – 0.2% | |||||
Hydro-Quebec 8.400%, 01/15/2022 | 250,000 | 260,610 | |||
Province of British Columbia 6.500%, 01/15/2026 (C) | 490,000 | 602,935 |
The accompanying notes are an integral part of the financial statements. | 105 |
Shares or Principal Amount | Value | ||||
FOREIGN GOVERNMENT OBLIGATIONS (continued) | |||||
Canada (continued) | |||||
Province of Quebec | |||||
7.125%, 02/09/2024 | $ | 150,000 | $ | 174,897 | |
7.500%, 07/15/2023 | 410,000 | 467,613 | |||
1,506,055 | |||||
Israel – 0.1% | |||||
State of Israel 5.500%, 09/18/2023 | 455,000 | 506,356 | |||
Italy – 0.0% | |||||
Republic of Italy 6.875%, 09/27/2023 | 300,000 | 339,720 | |||
Japan – 0.1% | |||||
Japan Bank for International Cooperation 2.500%, 05/23/2024 | 800,000 | 843,323 | |||
Mexico – 0.2% | |||||
Government of Mexico 6.050%, 01/11/2040 | 930,000 | 1,165,662 | |||
Panama – 0.1% | |||||
Republic of Panama 6.700%, 01/26/2036 | 370,000 | 501,905 | |||
Peru – 0.0% | |||||
Republic of Peru 6.550%, 03/14/2037 | 250,000 | 344,065 | |||
Turkey – 0.1% | |||||
Republic of Turkey | |||||
6.000%, 01/14/2041 | 400,000 | 361,584 | |||
6.250%, 09/26/2022 | 400,000 | 416,031 | |||
777,615 | |||||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost $7,389,898) | $ | 7,724,275 | |||
CORPORATE BONDS – 28.9% | |||||
Communication services – 2.7% | |||||
America Movil SAB de CV 3.125%, 07/16/2022 | 500,000 | 513,661 | |||
AT&T, Inc. | |||||
2.550%, 12/01/2033 (D) | 665,000 | 658,777 | |||
3.800%, 12/01/2057 (D) | 609,000 | 634,506 | |||
4.750%, 05/15/2046 | 900,000 | 1,093,073 | |||
4.850%, 07/15/2045 | 500,000 | 607,679 | |||
5.150%, 03/15/2042 | 50,000 | 62,679 | |||
6.375%, 03/01/2041 | 360,000 | 516,783 | |||
7.625%, 04/15/2031 | 285,000 | 400,737 | |||
Baidu, Inc. 4.125%, 06/30/2025 | 250,000 | 275,741 | |||
British Telecommunications PLC 9.625%, 12/15/2030 | 190,000 | 294,121 | |||
Charter Communications Operating LLC | |||||
2.800%, 04/01/2031 | 600,000 | 613,387 | |||
5.050%, 03/30/2029 | 400,000 | 472,476 | |||
5.375%, 05/01/2047 | 500,000 | 612,705 | |||
Comcast Corp. | |||||
2.350%, 01/15/2027 | 455,000 | 477,243 | |||
3.375%, 02/15/2025 | 600,000 | 650,906 | |||
3.999%, 11/01/2049 | 500,000 | 588,800 | |||
6.500%, 11/15/2035 | 255,000 | 370,895 | |||
Deutsche Telekom International Finance BV 8.750%, 06/15/2030 | 146,000 | 218,772 | |||
Discovery Communications LLC | |||||
4.125%, 05/15/2029 | 900,000 | 1,007,675 | |||
5.300%, 05/15/2049 | 400,000 | 505,877 | |||
Fox Corp. 3.500%, 04/08/2030 (C) | 600,000 | 661,108 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Communication services (continued) | |||||
Grupo Televisa SAB 6.625%, 01/15/2040 | $ | 220,000 | $ | 302,615 | |
TCI Communications, Inc. 7.125%, 02/15/2028 | 110,000 | 147,149 | |||
Telefonica Emisiones SA 7.045%, 06/20/2036 | 230,000 | 331,146 | |||
Telefonica Europe BV 8.250%, 09/15/2030 | 350,000 | 512,885 | |||
Time Warner Entertainment Company LP 8.375%, 07/15/2033 | 525,000 | 795,496 | |||
T-Mobile USA, Inc. | |||||
3.875%, 04/15/2030 | 600,000 | 670,692 | |||
4.500%, 04/15/2050 | 700,000 | 833,513 | |||
TWDC Enterprises 18 Corp. | |||||
3.150%, 09/17/2025 | 500,000 | 543,933 | |||
4.125%, 06/01/2044 | 500,000 | 602,669 | |||
Verizon Communications, Inc. | |||||
4.016%, 12/03/2029 | 500,000 | 573,309 | |||
4.272%, 01/15/2036 | 458,000 | 544,940 | |||
4.522%, 09/15/2048 | 1,260,000 | 1,558,698 | |||
ViacomCBS, Inc. 4.000%, 01/15/2026 | 600,000 | 667,211 | |||
Vodafone Group PLC | |||||
4.375%, 05/30/2028 | 400,000 | 465,308 | |||
5.250%, 05/30/2048 | 300,000 | 395,300 | |||
20,182,465 | |||||
Consumer discretionary – 1.7% | |||||
Amazon.com, Inc. 4.050%, 08/22/2047 | 600,000 | 731,906 | |||
AutoZone, Inc. 3.250%, 04/15/2025 | 1,000,000 | 1,074,881 | |||
Brinker International, Inc. 3.875%, 05/15/2023 (C) | 250,000 | 257,525 | |||
Ford Motor Credit Company LLC 3.096%, 05/04/2023 | 280,000 | 285,600 | |||
General Motors Financial Company, Inc. | |||||
4.250%, 05/15/2023 | 280,000 | 297,585 | |||
5.250%, 03/01/2026 | 650,000 | 750,546 | |||
Hyatt Hotels Corp. 3.375%, 07/15/2023 | 250,000 | 260,334 | |||
Lowe's Companies, Inc. 3.375%, 09/15/2025 | 460,000 | 504,134 | |||
McDonald's Corp. 3.300%, 07/01/2025 | 1,000,000 | 1,086,470 | |||
NIKE, Inc. 2.400%, 03/27/2025 | 1,000,000 | 1,057,924 | |||
Starbucks Corp. 3.550%, 08/15/2029 | 300,000 | 335,224 | |||
Target Corp. 3.900%, 11/15/2047 | 500,000 | 624,590 | |||
The Home Depot, Inc. | |||||
2.625%, 06/01/2022 | 400,000 | 408,196 | |||
2.700%, 04/15/2030 | 700,000 | 748,428 | |||
3.350%, 09/15/2025 | 752,000 | 823,057 | |||
4.250%, 04/01/2046 | 390,000 | 484,815 | |||
5.875%, 12/16/2036 | 280,000 | 400,011 | |||
The TJX Companies, Inc. | |||||
3.875%, 04/15/2030 | 600,000 | 687,760 | |||
4.500%, 04/15/2050 (C) | 600,000 | 799,733 | |||
Toyota Motor Credit Corp. | |||||
1.150%, 08/13/2027 | 500,000 | 493,740 | |||
3.400%, 09/15/2021 | 320,000 | 322,073 | |||
Whirlpool Corp. 5.150%, 03/01/2043 (C) | 300,000 | 380,247 | |||
12,814,779 |
The accompanying notes are an integral part of the financial statements. | 106 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Consumer staples – 1.6% | |||||
Altria Group, Inc. 4.500%, 05/02/2043 | $ | 500,000 | $ | 537,382 | |
Anheuser-Busch Companies LLC | |||||
3.650%, 02/01/2026 | 800,000 | 883,348 | |||
4.900%, 02/01/2046 | 500,000 | 632,875 | |||
Anheuser-Busch InBev Worldwide, Inc. 4.750%, 01/23/2029 | 500,000 | 595,632 | |||
BAT Capital Corp. 3.215%, 09/06/2026 | 500,000 | 530,457 | |||
Costco Wholesale Corp. 1.600%, 04/20/2030 | 500,000 | 493,472 | |||
General Mills, Inc. 2.875%, 04/15/2030 | 600,000 | 635,589 | |||
Kimberly-Clark Corp. 3.200%, 07/30/2046 | 300,000 | 326,695 | |||
Kraft Heinz Foods Company | |||||
3.000%, 06/01/2026 | 458,000 | 487,740 | |||
6.875%, 01/26/2039 | 40,000 | 57,456 | |||
Mondelez International, Inc. 4.625%, 05/07/2048 | 300,000 | 363,508 | |||
PepsiCo, Inc. | |||||
2.850%, 02/24/2026 | 495,000 | 534,397 | |||
4.000%, 03/05/2042 | 270,000 | 326,805 | |||
5.500%, 01/15/2040 | 280,000 | 391,125 | |||
Philip Morris International, Inc. 3.600%, 11/15/2023 | 250,000 | 269,153 | |||
SC Johnson & Son, Inc. 4.000%, 05/15/2043 (D) | 250,000 | 293,189 | |||
Sysco Corp. 6.600%, 04/01/2050 | 1,000,000 | 1,553,363 | |||
The Estee Lauder Companies, Inc. 2.600%, 04/15/2030 | 600,000 | 633,380 | |||
The Kroger Company 3.500%, 02/01/2026 | 500,000 | 548,835 | |||
Tyson Foods, Inc. 4.350%, 03/01/2029 | 400,000 | 465,468 | |||
Walmart, Inc. | |||||
3.250%, 07/08/2029 | 600,000 | 671,018 | |||
4.050%, 06/29/2048 | 500,000 | 628,001 | |||
11,858,888 | |||||
Energy – 2.5% | |||||
Anadarko Petroleum Corp. 6.450%, 09/15/2036 | 280,000 | 310,041 | |||
Baker Hughes LLC | |||||
3.337%, 12/15/2027 | 500,000 | 546,342 | |||
4.486%, 05/01/2030 | 500,000 | 589,707 | |||
Boardwalk Pipelines LP 4.950%, 12/15/2024 | 400,000 | 447,101 | |||
BP Capital Markets America, Inc. 3.796%, 09/21/2025 | 800,000 | 886,619 | |||
BP Capital Markets PLC 2.750%, 05/10/2023 | 250,000 | 260,350 | |||
Canadian Natural Resources, Ltd. 6.250%, 03/15/2038 | 290,000 | 387,661 | |||
Chevron Corp. 2.954%, 05/16/2026 | 800,000 | 867,186 | |||
ConocoPhillips Company 4.950%, 03/15/2026 | 300,000 | 349,305 | |||
Devon Energy Corp. | |||||
5.000%, 06/15/2045 | 885,000 | 1,039,611 | |||
7.875%, 09/30/2031 | 170,000 | 238,163 | |||
Enbridge, Inc. | |||||
3.700%, 07/15/2027 | 400,000 | 441,179 | |||
4.500%, 06/10/2044 | 400,000 | 471,947 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Energy (continued) | |||||
Energy Transfer LP | |||||
3.450%, 01/15/2023 | $ | 170,000 | $ | 175,818 | |
5.500%, 06/01/2027 | 600,000 | 703,671 | |||
6.125%, 12/15/2045 | 350,000 | 446,117 | |||
6.500%, 02/01/2042 | 50,000 | 64,916 | |||
Enterprise Products Operating LLC | |||||
3.200%, 02/15/2052 | 700,000 | 694,428 | |||
4.850%, 08/15/2042 | 280,000 | 342,575 | |||
6.875%, 03/01/2033 | 130,000 | 185,797 | |||
Exxon Mobil Corp. 2.397%, 03/06/2022 | 750,000 | 758,492 | |||
Kinder Morgan Energy Partners LP | |||||
4.300%, 05/01/2024 | 700,000 | 762,746 | |||
6.375%, 03/01/2041 | 60,000 | 82,935 | |||
6.500%, 09/01/2039 | 180,000 | 250,933 | |||
Kinder Morgan, Inc. 5.550%, 06/01/2045 | 375,000 | 485,483 | |||
Marathon Oil Corp. 3.850%, 06/01/2025 | 500,000 | 544,540 | |||
ONEOK Partners LP 6.650%, 10/01/2036 | 268,000 | 361,089 | |||
Ovintiv, Inc. 6.500%, 08/15/2034 | 270,000 | 356,431 | |||
Petroleos Mexicanos | |||||
4.875%, 01/18/2024 | 500,000 | 524,750 | |||
6.625%, 06/15/2035 | 230,000 | 222,123 | |||
Phillips 66 Partners LP 3.750%, 03/01/2028 | 200,000 | 218,837 | |||
Shell International Finance BV | |||||
4.375%, 05/11/2045 | 1,000,000 | 1,226,216 | |||
6.375%, 12/15/2038 | 90,000 | 133,451 | |||
Suncor Energy, Inc. 5.950%, 05/15/2035 | 235,000 | 309,155 | |||
The Williams Companies, Inc. | |||||
5.100%, 09/15/2045 | 400,000 | 497,073 | |||
7.875%, 09/01/2021 | 190,000 | 192,300 | |||
Tosco Corp. 8.125%, 02/15/2030 (C) | 383,000 | 551,330 | |||
TotalEnergies Capital SA 4.250%, 12/15/2021 | 60,000 | 61,101 | |||
TransCanada PipeLines, Ltd. 5.850%, 03/15/2036 | 405,000 | 536,440 | |||
Valero Energy Corp. | |||||
2.850%, 04/15/2025 | 600,000 | 636,194 | |||
7.500%, 04/15/2032 | 270,000 | 379,202 | |||
18,539,355 | |||||
Financials – 7.3% | |||||
American Express Company 2.650%, 12/02/2022 | 345,000 | 356,349 | |||
American International Group, Inc. | |||||
4.125%, 02/15/2024 | 550,000 | 598,893 | |||
6.250%, 05/01/2036 | 430,000 | 596,158 | |||
Ares Capital Corp. 3.875%, 01/15/2026 | 1,000,000 | 1,071,241 | |||
Bank of America Corp. | |||||
3.300%, 01/11/2023 | 800,000 | 835,000 | |||
4.450%, 03/03/2026 | 700,000 | 795,056 | |||
7.750%, 05/14/2038 | 480,000 | 757,595 | |||
Bank of America Corp. (3.004% to 12-20-22, then 3 month LIBOR + 0.790%) 12/20/2023 | 386,000 | 400,030 | |||
Bank of America Corp. (3.366% to 1-23-25, then 3 month LIBOR + 0.810%) 01/23/2026 | 1,700,000 | 1,832,932 |
The accompanying notes are an integral part of the financial statements. | 107 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Financials (continued) | |||||
Bank of America Corp. (3.419% to 12-20-27, then 3 month LIBOR + 1.040%) 12/20/2028 | $ | 1,312,000 | $ | 1,428,912 | |
Bank of America Corp. (3.970% to 3-5-28, then 3 month LIBOR + 1.070%) 03/05/2029 | 500,000 | 563,624 | |||
Bank of America Corp. (4.443% to 1-20-47, then 3 month LIBOR + 1.990%) 01/20/2048 | 500,000 | 619,892 | |||
Barclays Bank PLC 1.700%, 05/12/2022 | 500,000 | 505,735 | |||
Barclays PLC 4.375%, 01/12/2026 | 500,000 | 559,846 | |||
Berkshire Hathaway, Inc. 3.125%, 03/15/2026 | 500,000 | 546,569 | |||
Capital One Bank USA NA 3.375%, 02/15/2023 | 360,000 | 376,680 | |||
Capital One Financial Corp. | |||||
3.200%, 02/05/2025 | 2,000,000 | 2,149,551 | |||
3.300%, 10/30/2024 | 1,500,000 | 1,615,548 | |||
Chubb INA Holdings, Inc. 3.350%, 05/03/2026 | 300,000 | 329,373 | |||
Citigroup, Inc. | |||||
2.350%, 08/02/2021 | 500,000 | 500,877 | |||
4.450%, 09/29/2027 | 500,000 | 571,248 | |||
5.500%, 09/13/2025 | 400,000 | 465,916 | |||
Citigroup, Inc. (2.666% to 1-29-30, then SOFR + 1.146%) 01/29/2031 | 1,000,000 | 1,032,031 | |||
Citigroup, Inc. (4.281% to 4-24-47, then 3 month LIBOR + 1.839%) 04/24/2048 | 500,000 | 621,461 | |||
Credit Suisse AG 3.000%, 10/29/2021 | 750,000 | 756,812 | |||
Credit Suisse Group AG | |||||
3.750%, 03/26/2025 | 250,000 | 271,177 | |||
4.550%, 04/17/2026 | 800,000 | 906,090 | |||
Discover Financial Services 5.200%, 04/27/2022 | 120,000 | 124,669 | |||
European Investment Bank | |||||
2.500%, 10/15/2024 (C) | 1,500,000 | 1,594,140 | |||
3.250%, 01/29/2024 | 600,000 | 642,936 | |||
Five Corners Funding Trust II 2.850%, 05/15/2030 (D) | 800,000 | 842,541 | |||
GE Capital International Funding Company 4.418%, 11/15/2035 | 822,000 | 985,152 | |||
HSBC Holdings PLC 6.500%, 09/15/2037 | 660,000 | 918,078 | |||
HSBC Holdings PLC (2.848% to 6-4-30, then SOFR + 2.387%) 06/04/2031 | 1,000,000 | 1,038,168 | |||
Inter-American Development Bank | |||||
1.750%, 09/14/2022 | 600,000 | 611,267 | |||
2.000%, 07/23/2026 | 1,000,000 | 1,050,300 | |||
7.000%, 06/15/2025 | 325,000 | 405,595 | |||
Intercontinental Exchange, Inc. 3.100%, 09/15/2027 | 400,000 | 434,851 | |||
International Bank for Reconstruction & Development 0.750%, 11/24/2027 | 1,000,000 | 973,741 | |||
JPMorgan Chase & Co. | |||||
3.300%, 04/01/2026 | 700,000 | 765,652 | |||
3.375%, 05/01/2023 | 500,000 | 526,327 | |||
3.875%, 02/01/2024 | 1,300,000 | 1,408,070 | |||
4.350%, 08/15/2021 | 710,000 | 713,493 | |||
6.400%, 05/15/2038 | 125,000 | 183,339 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Financials (continued) | |||||
JPMorgan Chase & Co. (3.509% to 1-23-28, then 3 month LIBOR + 0.945%) 01/23/2029 | $ | 500,000 | $ | 551,085 | |
JPMorgan Chase & Co. (4.452% to 12-5-28, then 3 month LIBOR + 1.330%) 12/05/2029 | 600,000 | 701,613 | |||
KfW | |||||
2.125%, 01/17/2023 | 600,000 | 617,539 | |||
2.625%, 02/28/2024 | 800,000 | 846,038 | |||
Liberty Mutual Group, Inc. 3.950%, 05/15/2060 (D) | 500,000 | 549,371 | |||
Lincoln National Corp. 7.000%, 06/15/2040 | 150,000 | 229,186 | |||
MetLife, Inc. 4.600%, 05/13/2046 | 500,000 | 644,102 | |||
Morgan Stanley | |||||
3.700%, 10/23/2024 | 950,000 | 1,036,450 | |||
4.100%, 05/22/2023 | 750,000 | 798,592 | |||
Morgan Stanley (3.622% to 4-1-30, then SOFR + 3.120%) 04/01/2031 | 1,000,000 | 1,116,254 | |||
Morgan Stanley (3.772% to 1-24-28, then 3 month LIBOR + 1.140%) 01/24/2029 | 550,000 | 617,280 | |||
Raymond James Financial, Inc. 4.950%, 07/15/2046 | 600,000 | 775,444 | |||
State Street Corp. 3.100%, 05/15/2023 | 250,000 | 262,688 | |||
Stifel Financial Corp. 4.250%, 07/18/2024 | 500,000 | 547,808 | |||
Sumitomo Mitsui Financial Group, Inc. 3.784%, 03/09/2026 | 550,000 | 611,953 | |||
The Allstate Corp. 3.280%, 12/15/2026 | 500,000 | 551,757 | |||
The Charles Schwab Corp. 3.200%, 01/25/2028 | 300,000 | 330,607 | |||
The Goldman Sachs Group, Inc. | |||||
2.600%, 02/07/2030 | 700,000 | 726,377 | |||
3.500%, 01/23/2025 | 750,000 | 810,897 | |||
3.625%, 01/22/2023 | 500,000 | 524,904 | |||
3.750%, 02/25/2026 | 500,000 | 553,146 | |||
The Hartford Financial Services Group, Inc. 5.950%, 10/15/2036 | 170,000 | 231,736 | |||
The PNC Financial Services Group, Inc. 3.450%, 04/23/2029 | 1,000,000 | 1,117,034 | |||
The Toronto-Dominion Bank 1.800%, 07/13/2021 | 500,000 | 500,248 | |||
The Travelers Companies, Inc. 4.050%, 03/07/2048 | 300,000 | 366,525 | |||
Travelers Property Casualty Corp. 7.750%, 04/15/2026 | 50,000 | 64,560 | |||
Truist Financial Corp. | |||||
1.125%, 08/03/2027 | 700,000 | 683,037 | |||
2.850%, 10/26/2024 | 700,000 | 748,480 | |||
U.S. Bancorp 3.000%, 03/15/2022 | 600,000 | 610,412 | |||
Wells Fargo & Company 3.450%, 02/13/2023 | 750,000 | 786,223 | |||
Wells Fargo & Company (2.572% to 2-11-30, then SOFR + 1.262%) 02/11/2031 | 1,000,000 | 1,034,863 | |||
Westpac Banking Corp. 2.000%, 08/19/2021 | 600,000 | 601,454 | |||
54,430,578 |
The accompanying notes are an integral part of the financial statements. | 108 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Health care – 3.8% | |||||
Abbott Laboratories | |||||
2.950%, 03/15/2025 | $ | 300,000 | $ | 322,516 | |
3.750%, 11/30/2026 | 283,000 | 319,600 | |||
AbbVie, Inc. | |||||
2.900%, 11/06/2022 | 500,000 | 516,620 | |||
3.200%, 05/14/2026 to 11/21/2029 | 1,716,000 | 1,862,381 | |||
4.400%, 11/06/2042 | 260,000 | 315,708 | |||
Aetna, Inc. 3.500%, 11/15/2024 | 200,000 | 216,361 | |||
Agilent Technologies, Inc. 3.875%, 07/15/2023 | 250,000 | 265,360 | |||
Allergan Funding SCS 4.750%, 03/15/2045 | 321,000 | 328,887 | |||
Amgen, Inc. | |||||
4.400%, 05/01/2045 | 260,000 | 315,678 | |||
4.663%, 06/15/2051 | 659,000 | 849,920 | |||
Anthem, Inc. | |||||
4.101%, 03/01/2028 | 350,000 | 400,018 | |||
4.650%, 08/15/2044 | 150,000 | 187,183 | |||
AstraZeneca PLC 0.700%, 04/08/2026 | 500,000 | 486,814 | |||
Baxalta, Inc. 4.000%, 06/23/2025 | 500,000 | 551,953 | |||
Bayer US Finance II LLC 2.850%, 04/15/2025 (D) | 300,000 | 311,637 | |||
Biogen, Inc. 3.250%, 02/15/2051 (D) | 561,000 | 561,375 | |||
Boston Scientific Corp. 2.650%, 06/01/2030 | 500,000 | 517,155 | |||
Bristol-Myers Squibb Company | |||||
3.250%, 08/01/2042 | 500,000 | 535,331 | |||
4.550%, 02/20/2048 | 300,000 | 391,336 | |||
Cardinal Health, Inc. 3.750%, 09/15/2025 | 500,000 | 549,928 | |||
Celgene Corp. 3.875%, 08/15/2025 | 283,000 | 312,505 | |||
Cigna Corp. 4.375%, 10/15/2028 | 500,000 | 581,516 | |||
CVS Health Corp. | |||||
3.875%, 07/20/2025 | 650,000 | 717,661 | |||
4.300%, 03/25/2028 | 1,000,000 | 1,148,907 | |||
5.050%, 03/25/2048 | 500,000 | 649,438 | |||
CVS Pass-Through Trust 8.353%, 07/10/2031 (D) | 66,777 | 87,527 | |||
Eli Lilly & Company 2.250%, 05/15/2050 | 500,000 | 453,401 | |||
Evernorth Health, Inc. 6.125%, 11/15/2041 | 330,000 | 447,429 | |||
Gilead Sciences, Inc. 3.650%, 03/01/2026 | 600,000 | 661,457 | |||
GlaxoSmithKline Capital, Inc. | |||||
3.625%, 05/15/2025 | 500,000 | 552,102 | |||
6.375%, 05/15/2038 | 210,000 | 314,422 | |||
HCA, Inc. | |||||
4.500%, 02/15/2027 | 500,000 | 565,038 | |||
5.500%, 06/15/2047 | 400,000 | 520,969 | |||
Humana, Inc. 3.850%, 10/01/2024 | 350,000 | 379,633 | |||
Johnson & Johnson | |||||
2.100%, 09/01/2040 | 500,000 | 474,699 | |||
5.850%, 07/15/2038 | 285,000 | 416,723 | |||
Laboratory Corp. of America Holdings 2.950%, 12/01/2029 | 500,000 | 526,454 | |||
McKesson Corp. 4.750%, 05/30/2029 | 500,000 | 592,541 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Health care (continued) | |||||
Medtronic, Inc. 4.375%, 03/15/2035 | $ | 500,000 | $ | 622,030 | |
Merck & Company, Inc. 2.750%, 02/10/2025 | 850,000 | 905,677 | |||
Novartis Capital Corp. 3.000%, 11/20/2025 | 500,000 | 542,272 | |||
Pfizer, Inc. | |||||
2.750%, 06/03/2026 | 713,000 | 771,653 | |||
4.400%, 05/15/2044 | 264,000 | 340,398 | |||
Quest Diagnostics, Inc. | |||||
4.200%, 06/30/2029 | 500,000 | 576,345 | |||
4.700%, 03/30/2045 | 500,000 | 612,572 | |||
Regeneron Pharmaceuticals, Inc. 2.800%, 09/15/2050 | 1,000,000 | 910,554 | |||
Stryker Corp. 4.625%, 03/15/2046 | 350,000 | 446,971 | |||
UnitedHealth Group, Inc. | |||||
4.375%, 03/15/2042 | 50,000 | 61,761 | |||
4.450%, 12/15/2048 | 300,000 | 383,227 | |||
5.800%, 03/15/2036 | 300,000 | 422,315 | |||
Utah Acquisition Sub, Inc. 3.950%, 06/15/2026 | 500,000 | 550,768 | |||
Viatris, Inc. 2.700%, 06/22/2030 (D) | 500,000 | 505,591 | |||
Zimmer Biomet Holdings, Inc. | |||||
3.050%, 01/15/2026 | 500,000 | 538,422 | |||
3.550%, 04/01/2025 | 500,000 | 542,452 | |||
Zoetis, Inc. 2.000%, 05/15/2030 | 500,000 | 497,690 | |||
28,438,881 | |||||
Industrials – 2.9% | |||||
3M Company 3.000%, 08/07/2025 | 330,000 | 357,912 | |||
AerCap Ireland Capital DAC 4.450%, 04/03/2026 | 400,000 | 439,285 | |||
Air Lease Corp. | |||||
3.125%, 12/01/2030 | 600,000 | 609,543 | |||
3.625%, 12/01/2027 | 400,000 | 429,638 | |||
American Airlines 2016-2 Class AA Pass Through Trust 3.200%, 06/15/2028 | 236,100 | 240,715 | |||
Burlington Northern Santa Fe LLC 4.400%, 03/15/2042 | 50,000 | 61,849 | |||
Canadian Pacific Railway Company 4.450%, 03/15/2023 | 300,000 | 316,901 | |||
Carrier Global Corp. 3.577%, 04/05/2050 | 500,000 | 530,233 | |||
Caterpillar, Inc. 3.400%, 05/15/2024 | 500,000 | 536,708 | |||
CSX Corp. | |||||
3.350%, 11/01/2025 | 420,000 | 458,487 | |||
3.800%, 04/15/2050 | 1,000,000 | 1,139,036 | |||
Deere & Company 3.100%, 04/15/2030 | 500,000 | 551,512 | |||
Delta Air Lines 2019-1 Class AA Pass Through Trust 3.204%, 04/25/2024 | 200,000 | 211,442 | |||
Emerson Electric Company 2.625%, 12/01/2021 | 250,000 | 251,977 | |||
Equifax, Inc. 3.100%, 05/15/2030 | 1,200,000 | 1,288,657 | |||
FedEx Corp. | |||||
3.875%, 08/01/2042 | 420,000 | 468,213 | |||
4.400%, 01/15/2047 | 350,000 | 418,466 |
The accompanying notes are an integral part of the financial statements. | 109 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Industrials (continued) | |||||
General Electric Company | |||||
4.500%, 03/11/2044 | $ | 500,000 | $ | 606,129 | |
6.750%, 03/15/2032 | 66,000 | 91,485 | |||
6.875%, 01/10/2039 | 168,000 | 251,337 | |||
Honeywell International, Inc. 1.950%, 06/01/2030 | 500,000 | 507,934 | |||
John Deere Capital Corp. 2.050%, 01/09/2025 | 500,000 | 522,804 | |||
Johnson Controls, Inc. 5.700%, 03/01/2041 | 150,000 | 168,275 | |||
Kansas City Southern 2.875%, 11/15/2029 | 500,000 | 526,051 | |||
Lockheed Martin Corp. 3.800%, 03/01/2045 | 400,000 | 465,429 | |||
Norfolk Southern Corp. 4.837%, 10/01/2041 | 240,000 | 306,521 | |||
Northrop Grumman Corp. 3.250%, 01/15/2028 | 300,000 | 327,674 | |||
Precision Castparts Corp. 3.250%, 06/15/2025 | 500,000 | 542,516 | |||
Raytheon Technologies Corp. | |||||
4.625%, 11/16/2048 | 500,000 | 643,235 | |||
6.125%, 07/15/2038 | 225,000 | 320,899 | |||
Roper Technologies, Inc. 4.200%, 09/15/2028 | 500,000 | 574,991 | |||
Snap-on, Inc. 6.125%, 09/01/2021 | 310,000 | 312,647 | |||
Southwest Airlines Company 5.250%, 05/04/2025 | 1,200,000 | 1,369,169 | |||
The Boeing Company | |||||
2.600%, 10/30/2025 | 438,000 | 455,930 | |||
5.805%, 05/01/2050 | 600,000 | 807,979 | |||
8.750%, 09/15/2031 | 90,000 | 134,993 | |||
Thomson Reuters Corp. 4.500%, 05/23/2043 | 250,000 | 275,378 | |||
Trane Technologies Global Holding Company, Ltd. 4.300%, 02/21/2048 | 600,000 | 717,698 | |||
Union Pacific Corp. | |||||
3.250%, 08/15/2025 | 500,000 | 541,573 | |||
3.799%, 10/01/2051 | 313,000 | 357,938 | |||
3.799%, 04/06/2071 (D) | 800,000 | 887,811 | |||
United Airlines 2016-2 Class AA Pass Through Trust 2.875%, 10/07/2028 | 244,495 | 249,558 | |||
United Parcel Service, Inc. 3.400%, 03/15/2029 | 400,000 | 449,314 | |||
Verisk Analytics, Inc. 4.125%, 03/15/2029 | 600,000 | 680,559 | |||
21,406,401 | |||||
Information technology – 2.6% | |||||
Apple, Inc. | |||||
2.400%, 05/03/2023 | 800,000 | 830,304 | |||
2.450%, 08/04/2026 | 1,060,000 | 1,127,493 | |||
3.250%, 02/23/2026 | 500,000 | 548,745 | |||
Applied Materials, Inc. | |||||
3.900%, 10/01/2025 | 470,000 | 525,813 | |||
5.100%, 10/01/2035 | 470,000 | 618,700 | |||
Automatic Data Processing, Inc. 3.375%, 09/15/2025 | 752,000 | 824,316 | |||
Broadcom, Inc. | |||||
2.600%, 02/15/2033 (D) | 1,000,000 | 977,869 | |||
4.300%, 11/15/2032 | 700,000 | 797,108 | |||
4.700%, 04/15/2025 | 600,000 | 675,939 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Information technology (continued) | |||||
Cisco Systems, Inc. 5.900%, 02/15/2039 | $ | 80,000 | $ | 116,478 | |
Eaton Corp. 3.103%, 09/15/2027 | 500,000 | 542,967 | |||
Fiserv, Inc. 2.250%, 06/01/2027 | 600,000 | 622,399 | |||
IBM Corp. | |||||
3.450%, 02/19/2026 | 1,115,000 | 1,231,876 | |||
4.000%, 06/20/2042 | 210,000 | 247,390 | |||
5.600%, 11/30/2039 | 21,000 | 29,311 | |||
Intel Corp. 2.700%, 12/15/2022 | 690,000 | 714,184 | |||
Microsoft Corp. | |||||
2.525%, 06/01/2050 | 1,538,000 | 1,511,056 | |||
3.125%, 11/03/2025 | 438,000 | 477,840 | |||
NXP BV 3.400%, 05/01/2030 (D) | 520,000 | 567,792 | |||
Oracle Corp. | |||||
2.400%, 09/15/2023 | 435,000 | 451,046 | |||
2.650%, 07/15/2026 | 310,000 | 327,108 | |||
2.950%, 05/15/2025 | 550,000 | 587,855 | |||
4.125%, 05/15/2045 | 500,000 | 557,130 | |||
PayPal Holdings, Inc. | |||||
2.300%, 06/01/2030 | 600,000 | 620,942 | |||
2.850%, 10/01/2029 | 1,000,000 | 1,078,464 | |||
QUALCOMM, Inc. 1.650%, 05/20/2032 | 566,000 | 539,483 | |||
Visa, Inc. | |||||
2.050%, 04/15/2030 | 600,000 | 616,501 | |||
3.150%, 12/14/2025 | 463,000 | 506,517 | |||
4.300%, 12/14/2045 | 463,000 | 594,211 | |||
Xerox Corp. 6.750%, 12/15/2039 | 60,000 | 66,080 | |||
18,932,917 | |||||
Materials – 0.9% | |||||
Air Products and Chemicals, Inc. 1.850%, 05/15/2027 | 500,000 | 513,600 | |||
Eastman Chemical Company 4.650%, 10/15/2044 | 500,000 | 604,075 | |||
Freeport-McMoRan, Inc. 3.875%, 03/15/2023 | 500,000 | 521,330 | |||
Huntsman International LLC 4.500%, 05/01/2029 | 500,000 | 568,473 | |||
International Paper Company 5.000%, 09/15/2035 | 500,000 | 627,476 | |||
Linde, Inc. 2.450%, 02/15/2022 | 240,000 | 241,969 | |||
Newmont Corp. 4.875%, 03/15/2042 | 270,000 | 341,959 | |||
Potash Corp. of Saskatchewan, Inc. 5.625%, 12/01/2040 | 150,000 | 195,427 | |||
Rio Tinto Alcan, Inc. 6.125%, 12/15/2033 | 100,000 | 139,100 | |||
Rio Tinto Finance USA PLC 4.750%, 03/22/2042 | 270,000 | 351,766 | |||
Rio Tinto Finance USA, Ltd. | |||||
3.750%, 06/15/2025 | 485,000 | 537,799 | |||
5.200%, 11/02/2040 | 250,000 | 343,222 | |||
Teck Resources, Ltd. 6.250%, 07/15/2041 | 270,000 | 352,825 | |||
The Dow Chemical Company | |||||
4.375%, 11/15/2042 | 590,000 | 703,202 | |||
9.400%, 05/15/2039 | 130,000 | 229,257 |
The accompanying notes are an integral part of the financial statements. | 110 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Materials (continued) | |||||
Vale Overseas, Ltd. 6.875%, 11/10/2039 | $ | 350,000 | $ | 489,570 | |
6,761,050 | |||||
Real estate – 0.6% | |||||
American Campus Communities Operating Partnership LP 3.625%, 11/15/2027 | 200,000 | 217,614 | |||
American Tower Corp. 5.000%, 02/15/2024 | 500,000 | 554,522 | |||
Crown Castle International Corp. 3.700%, 06/15/2026 | 400,000 | 439,864 | |||
CubeSmart LP 4.000%, 11/15/2025 | 200,000 | 219,938 | |||
Digital Realty Trust LP 4.450%, 07/15/2028 | 200,000 | 231,594 | |||
Duke Realty LP 3.250%, 06/30/2026 | 200,000 | 216,720 | |||
Mid-America Apartments LP 3.950%, 03/15/2029 | 800,000 | 906,956 | |||
Service Properties Trust 4.500%, 03/15/2025 | 200,000 | 199,000 | |||
Simon Property Group LP | |||||
3.375%, 06/15/2027 | 500,000 | 543,528 | |||
3.500%, 09/01/2025 | 441,500 | 483,195 | |||
SL Green Operating Partnership LP 3.250%, 10/15/2022 | 500,000 | 514,640 | |||
4,527,571 | |||||
Utilities – 2.3% | |||||
AEP Transmission Company LLC 3.750%, 12/01/2047 | 400,000 | 454,156 | |||
Ameren Corp. 3.500%, 01/15/2031 | 1,000,000 | 1,094,931 | |||
American Water Capital Corp. 4.300%, 09/01/2045 | 350,000 | 420,880 | |||
Arizona Public Service Company 3.350%, 05/15/2050 | 500,000 | 535,297 | |||
Berkshire Hathaway Energy Company | |||||
4.500%, 02/01/2045 | 500,000 | 615,931 | |||
6.125%, 04/01/2036 | 436,000 | 613,049 | |||
Consolidated Edison Company of New York, Inc. 3.950%, 04/01/2050 | 700,000 | 794,765 | |||
Dominion Energy, Inc. | |||||
3.375%, 04/01/2030 | 600,000 | 653,346 | |||
3.900%, 10/01/2025 | 242,000 | 267,593 | |||
Duke Energy Carolinas LLC 6.000%, 01/15/2038 | 200,000 | 282,540 | |||
Duke Energy Corp. | |||||
3.750%, 04/15/2024 | 500,000 | 538,405 | |||
4.800%, 12/15/2045 | 500,000 | 610,900 | |||
Entergy Texas, Inc. 1.750%, 03/15/2031 | 700,000 | 670,711 | |||
Essential Utilities, Inc. 4.276%, 05/01/2049 | 500,000 | 598,828 | |||
Eversource Energy 4.250%, 04/01/2029 | 500,000 | 582,054 | |||
Exelon Corp. 3.400%, 04/15/2026 | 542,000 | 590,148 | |||
Exelon Generation Company LLC 6.250%, 10/01/2039 | 160,000 | 197,150 | |||
Florida Power & Light Company 5.650%, 02/01/2037 | 290,000 | 397,226 | |||
Georgia Power Company 5.950%, 02/01/2039 (C) | 335,000 | 455,508 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Utilities (continued) | |||||
Indiana Michigan Power Company 6.050%, 03/15/2037 | $ | 187,000 | $ | 258,834 | |
NextEra Energy Capital Holdings, Inc. 2.250%, 06/01/2030 | 700,000 | 705,463 | |||
NiSource, Inc. 3.950%, 03/30/2048 | 400,000 | 455,904 | |||
Oncor Electric Delivery Company LLC 7.500%, 09/01/2038 | 188,000 | 305,741 | |||
Pacific Gas & Electric Company | |||||
2.500%, 02/01/2031 | 600,000 | 562,528 | |||
3.450%, 07/01/2025 | 30,000 | 31,445 | |||
3.750%, 07/01/2028 | 30,000 | 31,409 | |||
4.550%, 07/01/2030 | 227,000 | 242,790 | |||
4.950%, 07/01/2050 | 227,000 | 233,485 | |||
PacifiCorp 6.000%, 01/15/2039 | 335,000 | 475,215 | |||
Public Service Company of Colorado 3.600%, 09/15/2042 | 500,000 | 566,915 | |||
Public Service Electric & Gas Company 3.000%, 05/15/2025 | 250,000 | 267,952 | |||
San Diego Gas & Electric Company 6.125%, 09/15/2037 | 202,000 | 280,768 | |||
Southern California Edison Company | |||||
2.250%, 06/01/2030 | 700,000 | 688,262 | |||
5.350%, 07/15/2035 | 130,000 | 164,025 | |||
The Southern Company 3.250%, 07/01/2026 | 572,000 | 620,771 | |||
Virginia Electric & Power Company | |||||
3.450%, 09/01/2022 | 50,000 | 51,389 | |||
8.875%, 11/15/2038 | 190,000 | 337,660 | |||
Xcel Energy, Inc. 3.300%, 06/01/2025 | 400,000 | 431,134 | |||
17,085,108 | |||||
TOTAL CORPORATE BONDS (Cost $196,625,485) | $ | 214,977,993 | |||
MUNICIPAL BONDS – 0.7% | |||||
Bay Area Toll Authority (California) 6.907%, 10/01/2050 | 50,000 | 87,271 | |||
Illinois State Toll Highway Authority 6.184%, 01/01/2034 | 150,000 | 208,698 | |||
Maryland State Transportation Authority 5.888%, 07/01/2043 | 60,000 | 81,859 | |||
Metropolitan Washington Airports Authority 7.462%, 10/01/2046 | 40,000 | 68,097 | |||
New Jersey Turnpike Authority 7.102%, 01/01/2041 | 90,000 | 144,003 | |||
New York State Dormitory Authority 5.628%, 03/15/2039 | 340,000 | 444,793 | |||
New York State Urban Development Corp. 5.770%, 03/15/2039 | 300,000 | 374,266 | |||
State of California, GO | |||||
7.300%, 10/01/2039 (C) | 400,000 | 640,163 | |||
7.500%, 04/01/2034 | 80,000 | 126,065 | |||
State of Illinois, GO | |||||
5.100%, 06/01/2033 | 115,000 | 135,222 | |||
7.350%, 07/01/2035 | 280,000 | 361,715 | |||
State of Texas, GO 5.517%, 04/01/2039 | 260,000 | 374,479 | |||
State of Utah, GO | |||||
3.539%, 07/01/2025 | 390,000 | 416,223 | |||
4.554%, 07/01/2024 | 205,000 | 217,114 |
The accompanying notes are an integral part of the financial statements. | 111 |
Shares or Principal Amount | Value | ||||
MUNICIPAL BONDS (continued) | |||||
State of Washington, GO 5.481%, 08/01/2039 | $ | 260,000 | $ | 361,503 | |
Texas Transportation Commission State Highway Fund 5.178%, 04/01/2030 | 310,000 | 382,583 | |||
University of California 5.770%, 05/15/2043 | 320,000 | 450,820 | |||
TOTAL MUNICIPAL BONDS (Cost $3,741,630) | $ | 4,874,874 | |||
COLLATERALIZED MORTGAGE OBLIGATIONS – 2.4% | |||||
Commercial and residential – 2.1% | |||||
Banc of America Commercial Mortgage Trust Series 2015-UBS7, Class A4 3.705%, 09/15/2048 | 145,000 | 157,999 | |||
BANK Series 2017-BNK6, Class A4 3.254%, 07/15/2060 | 2,000,000 | 2,159,571 | |||
CD Mortgage Trust Series 2017-CD3, Class A4 3.631%, 02/10/2050 | 1,090,000 | 1,204,684 | |||
Commercial Mortgage Trust (Cantor Fitzgerald/Deutsche Bank AG) | |||||
Series 2012-CR3, Class A3, 2.822%, 10/15/2045 | 488,940 | 496,879 | |||
Series 2012-CR5, Class A4, 2.771%, 12/10/2045 | 179,000 | 183,852 | |||
Series 2013-CR8, Class AM, 3.925%, 06/10/2046 (D)(E) | 630,000 | 662,304 | |||
Series 2014-CR14, Class A3, 3.955%, 02/10/2047 | 1,000,000 | 1,067,305 | |||
Series 2014-CR21, Class A3, 3.528%, 12/10/2047 | 639,596 | 680,831 | |||
Series 2015-CR27, Class A4, 3.612%, 10/10/2048 | 1,000,000 | 1,092,616 | |||
GS Mortgage Securities Trust | |||||
Series 2016-GS4, Class A3, 3.178%, 11/10/2049 | 3,000,000 | 3,161,885 | |||
Series 2017-GS5, Class A3, 3.409%, 03/10/2050 | 3,000,000 | 3,284,152 | |||
JPMBB Commercial Mortgage Securities Trust Series 2013-C14, Class A4 4.133%, 08/15/2046 (E) | 309,151 | 323,871 | |||
JPMorgan Chase Commercial Mortgage Securities Trust Series 2013-C16, Class A4 4.166%, 12/15/2046 | 500,000 | 535,631 | |||
Morgan Stanley Bank of America Merrill Lynch Trust Series 2013-C7, Class A4 2.918%, 02/15/2046 | 240,000 | 246,940 | |||
Wells Fargo Commercial Mortgage Trust Series 2015-C29, Class AS 4.013%, 06/15/2048 (E) | 500,000 | 544,368 | |||
15,802,888 | |||||
U.S. Government Agency – 0.3% | |||||
Federal Home Loan Mortgage Corp. | |||||
Series K041, Class A2, 3.171%, 10/25/2024 | 700,000 | 753,257 | |||
Series K047, Class A2, 3.329%, 05/25/2025 (E) | 700,000 | 762,105 |
Shares or Principal Amount | Value | ||||
COLLATERALIZED MORTGAGE OBLIGATIONS (continued) | |||||
U.S. Government Agency (continued) | |||||
Federal Home Loan Mortgage Corp. (continued) | |||||
Series K050, Class A2, 3.334%, 08/25/2025 (E) | $ | 700,000 | $ | 764,129 | |
2,279,491 | |||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $17,556,718) | $ | 18,082,379 | |||
COMMON STOCKS – 0.0% | |||||
Energy – 0.0% | |||||
Noble Corp. (F) | 38 | 940 | |||
TOTAL COMMON STOCKS (Cost $508) | $ | 940 | |||
WARRANTS – 0.0% | |||||
Noble Corp. (Expiration Date: 2-5-28; Strike Price: $19.27) (F) | 154 | 1,309 | |||
Noble Corp. (Expiration Date: 2-5-28; Strike Price: $23.13) (F) | 154 | 1,070 | |||
TOTAL WARRANTS (Cost $696) | $ | 2,379 | |||
SHORT-TERM INVESTMENTS – 11.4% | |||||
Short-term funds – 11.4% | |||||
John Hancock Collateral Trust, 0.0324% (G)(H) | 397,568 | 3,977,512 | |||
State Street Institutional U.S. Government Money Market Fund, Premier Class, 0.0250% (G) | 80,575,403 | 80,575,403 | |||
TOTAL SHORT-TERM INVESTMENTS (Cost $84,553,035) | $ | 84,552,915 | |||
Total Investments (Total Bond Market Trust) (Cost $773,682,665) – 108.9% | $ | 811,103,361 | |||
Other assets and liabilities, net – (8.9%) | (66,019,603) | ||||
TOTAL NET ASSETS – 100.0% | $ | 745,083,758 |
Security Abbreviations and Legend | |
CMT | Constant Maturity Treasury |
GO | General Obligation |
LIBOR | London Interbank Offered Rate |
SOFR | Secured Overnight Financing 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. |
(A) | Variable rate obligation. The coupon rate shown represents the rate at period end. |
(B) | Security purchased or sold on a when-issued or delayed delivery basis. |
(C) | All or a portion of this security is on loan as of 6-30-21. |
(D) | 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. |
(E) | Variable or floating rate security, the interest rate of which adjusts periodically based on a weighted average of interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of period end. |
(F) | Non-income producing security. |
(G) | The rate shown is the annualized seven-day yield as of 6-30-21. |
(H) | Investment is an affiliate of the fund, the advisor and/or subadvisor. This security represents the investment of cash collateral received for securities lending. |
The accompanying notes are an integral part of the financial statements. | 112 |
Shares or Principal Amount | Value | ||||
U.S. GOVERNMENT AND AGENCY OBLIGATIONS – 1.0% | |||||
U.S. Government Agency – 1.0% | |||||
Federal Home Loan Mortgage Corp. | |||||
1.765%, (6 month LIBOR + 1.515%), 12/01/2035 (A) | $ | 36,563 | $ | 37,475 | |
1.815%, (6 month LIBOR + 1.565%), 12/01/2036 (A) | 22,542 | 23,156 | |||
2.011%, (12 month LIBOR + 1.616%), 05/01/2037 (A) | 75,271 | 79,212 | |||
2.251%, (12 month LIBOR + 1.642%), 09/01/2043 (A) | 364,783 | 380,567 | |||
2.274%, (12 month LIBOR + 1.628%), 02/01/2036 (A) | 57,574 | 60,418 | |||
2.290%, (1 Year CMT + 2.165%), 11/01/2036 (A) | 102,342 | 107,749 | |||
2.298%, (1 Year CMT + 2.091%), 12/01/2035 (A) | 112,269 | 117,242 | |||
2.356%, (1 Year CMT + 2.231%), 05/01/2034 (A) | 107,171 | 112,303 | |||
2.447%, (12 month LIBOR + 1.447%), 06/01/2036 (A) | 30,030 | 31,480 | |||
2.624%, (1 Year CMT + 2.295%), 08/01/2035 (A) | 72,176 | 76,158 | |||
Federal National Mortgage Association | |||||
1.722%, (12 month LIBOR + 1.295%), 10/01/2038 (A) | 49,089 | 51,034 | |||
1.741%, (6 month LIBOR + 1.491%), 10/01/2035 (A) | 158,443 | 162,300 | |||
1.777%, (6 month LIBOR + 1.527%), 02/01/2035 (A) | 85,187 | 88,790 | |||
1.887%, (12 month LIBOR + 1.543%), 07/01/2035 (A) | 192,597 | 198,963 | |||
1.914%, (12 month LIBOR + 1.450%), 04/01/2035 (A) | 351,948 | 362,998 | |||
2.322%, (1 Year CMT + 2.196%), 02/01/2035 (A) | 131,827 | 139,262 | |||
2.325%, (1 Year CMT + 2.176%), 01/01/2036 (A) | 118,112 | 123,541 | |||
2.326%, (1 Year CMT + 2.196%), 05/01/2036 (A) | 223,874 | 234,519 | |||
2.337%, (1 Year CMT + 2.176%), 01/01/2036 (A) | 48,630 | 50,872 | |||
2.458%, (1 Year CMT + 2.333%), 05/01/2034 (A) | 47,821 | 50,245 | |||
2.479%, (1 Year CMT + 2.274%), 07/01/2035 (A) | 111,054 | 116,777 | |||
Government National Mortgage Association 2.250%, (1 Year CMT + 1.500%), 08/20/2032 to 08/20/2035 (A) | 240,259 | 247,980 | |||
2,853,041 | |||||
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (Cost $2,862,952) | $ | 2,853,041 | |||
CORPORATE BONDS – 51.7% | |||||
Communication services – 2.9% | |||||
AT&T, Inc. 3.000%, 06/30/2022 | 3,200,000 | 3,272,095 | |||
Charter Communications Operating LLC 4.464%, 07/23/2022 | 2,000,000 | 2,070,578 | |||
Verizon Communications, Inc. 0.750%, 03/22/2024 | 3,000,000 | 3,012,893 | |||
8,355,566 | |||||
Consumer discretionary – 4.3% | |||||
American Honda Finance Corp. 3.375%, 12/10/2021 | 2,000,000 | 2,028,019 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Consumer discretionary (continued) | |||||
Daimler Finance North America LLC 2.850%, 01/06/2022 (B) | $ | 2,000,000 | $ | 2,025,281 | |
eBay, Inc. 2.750%, 01/30/2023 | 3,000,000 | 3,104,512 | |||
Toyota Motor Credit Corp. 1.150%, 05/26/2022 | 2,000,000 | 2,017,153 | |||
Volkswagen Group of America Finance LLC 3.125%, 05/12/2023 (B) | 3,000,000 | 3,132,656 | |||
12,307,621 | |||||
Consumer staples – 1.0% | |||||
The Kroger Company 2.800%, 08/01/2022 | 2,791,000 | 2,858,377 | |||
Energy – 3.3% | |||||
Energy Transfer Operating LP 4.500%, 11/01/2023 | 3,000,000 | 3,219,715 | |||
Halliburton Company 3.250%, 11/15/2021 | 3,000,000 | 3,010,353 | |||
The Williams Companies, Inc. 4.500%, 11/15/2023 | 3,000,000 | 3,247,615 | |||
9,477,683 | |||||
Financials – 25.5% | |||||
Alexander Funding Trust 1.841%, 11/15/2023 (B) | 3,000,000 | 3,054,802 | |||
Athene Global Funding 0.950%, 01/08/2024 (B) | 3,000,000 | 3,002,406 | |||
Bank of America Corp. | |||||
2.503%, 10/21/2022 | 1,500,000 | 1,510,047 | |||
4.000%, 04/01/2024 | 2,000,000 | 2,181,848 | |||
Bank of Montreal 2.900%, 03/26/2022 | 2,000,000 | 2,040,170 | |||
BNP Paribas SA 2.950%, 05/23/2022 (B) | 2,000,000 | 2,047,536 | |||
Capital One Financial Corp. 3.750%, 04/24/2024 | 3,176,000 | 3,431,164 | |||
Citigroup, Inc. (2.876% to 7-24-22, then 3 month LIBOR + 0.950%) 2.876%, 07/24/2023 | 3,000,000 | 3,077,024 | |||
Credit Suisse Group Funding Guernsey, Ltd. 3.800%, 09/15/2022 | 3,000,000 | 3,121,745 | |||
Danske Bank A/S 2.000%, 09/08/2021 (B) | 2,000,000 | 2,006,359 | |||
Five Corners Funding Trust 4.419%, 11/15/2023 (B) | 3,000,000 | 3,270,569 | |||
ING Groep NV 3.150%, 03/29/2022 | 2,000,000 | 2,042,963 | |||
JPMorgan Chase & Co. (1.514% to 6-1-23, then SOFR + 1.455%) 1.514%, 06/01/2024 | 5,000,000 | 5,098,582 | |||
KeyBank NA 3.300%, 02/01/2022 | 2,000,000 | 2,036,226 | |||
Lloyds Banking Group PLC 3.000%, 01/11/2022 | 2,000,000 | 2,029,156 | |||
Metropolitan Life Global Funding I 3.375%, 01/11/2022 (B) | 3,000,000 | 3,050,020 | |||
Morgan Stanley (3.737% to 4-24-23, then 3 month LIBOR + 0.847%) 3.737%, 04/24/2024 | 3,000,000 | 3,172,817 | |||
NatWest Markets PLC 3.625%, 09/29/2022 (B) | 5,000,000 | 5,200,117 | |||
Santander Holdings USA, Inc. 3.244%, 10/05/2026 | 3,000,000 | 3,204,362 |
The accompanying notes are an integral part of the financial statements. | 113 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Financials (continued) | |||||
The Bank of New York Mellon Corp. 3.450%, 08/11/2023 | $ | 3,000,000 | $ | 3,195,125 | |
The Bank of Nova Scotia 1.950%, 02/01/2023 | 3,000,000 | 3,075,714 | |||
The Goldman Sachs Group, Inc. 5.750%, 01/24/2022 | 2,000,000 | 2,061,858 | |||
The PNC Financial Services Group, Inc. 3.300%, 03/08/2022 | 2,000,000 | 2,036,679 | |||
Truist Bank 2.625%, 01/15/2022 | 3,000,000 | 3,033,128 | |||
U.S. Bancorp 3.000%, 03/15/2022 | 2,000,000 | 2,034,708 | |||
Wells Fargo & Company 3.750%, 01/24/2024 | 3,000,000 | 3,226,348 | |||
73,241,473 | |||||
Health care – 3.5% | |||||
Abbott Laboratories 2.550%, 03/15/2022 | 3,000,000 | 3,049,000 | |||
Bayer US Finance LLC 3.000%, 10/08/2021 (B) | 2,000,000 | 2,014,243 | |||
Bristol-Myers Squibb Company 2.250%, 08/15/2021 | 2,000,000 | 2,004,873 | |||
Cigna Corp. 0.613%, 03/15/2024 | 3,000,000 | 2,998,461 | |||
10,066,577 | |||||
Industrials – 3.1% | |||||
AerCap Ireland Capital DAC 3.150%, 02/15/2024 | 2,000,000 | 2,099,260 | |||
CNH Industrial Capital LLC 4.375%, 04/05/2022 | 2,500,000 | 2,571,733 | |||
IHS Markit, Ltd. 5.000%, 11/01/2022 (B) | 2,000,000 | 2,095,078 | |||
The Boeing Company 2.300%, 08/01/2021 | 2,000,000 | 2,002,863 | |||
8,768,934 | |||||
Information technology – 4.0% | |||||
Hewlett Packard Enterprise Company 4.400%, 10/15/2022 | 2,000,000 | 2,086,950 | |||
IBM Corp. 2.850%, 05/13/2022 | 2,835,000 | 2,900,099 | |||
NXP BV 4.875%, 03/01/2024 (B) | 3,000,000 | 3,302,406 | |||
Oracle Corp. 2.625%, 02/15/2023 | 3,000,000 | 3,100,572 | |||
11,390,027 | |||||
Materials – 2.1% | |||||
Georgia-Pacific LLC 0.625%, 05/15/2024 (B) | 3,000,000 | 2,987,676 | |||
Graphic Packaging International LLC 0.821%, 04/15/2024 (B) | 3,000,000 | 2,977,798 | |||
5,965,474 | |||||
Utilities – 2.0% | |||||
Eversource Energy 2.800%, 05/01/2023 | 2,000,000 | 2,072,710 | |||
FirstEnergy Corp. 4.750%, 03/15/2023 | 1,675,000 | 1,768,048 | |||
Southern California Edison Company 2.400%, 02/01/2022 | 2,000,000 | 2,016,941 | |||
5,857,699 | |||||
TOTAL CORPORATE BONDS (Cost $147,053,541) | $ | 148,289,431 |
Shares or Principal Amount | Value | ||||
MUNICIPAL BONDS – 0.7% | |||||
Port Authority of New York & New Jersey 1.086%, 07/01/2023 | $ | 2,000,000 | $ | 2,025,452 | |
TOTAL MUNICIPAL BONDS (Cost $2,000,000) | $ | 2,025,452 | |||
COLLATERALIZED MORTGAGE OBLIGATIONS – 1.1% | |||||
Commercial and residential – 0.8% | |||||
COLT Mortgage Loan Trust Series 2020-3, Class A1 1.506%, 04/27/2065 (B)(C) | 682,336 | 684,974 | |||
Vista Point Securitization Trust Series 2020-1, Class A1 1.763%, 03/25/2065 (B)(C) | 1,619,507 | 1,634,713 | |||
2,319,687 | |||||
U.S. Government Agency – 0.3% | |||||
Federal National Mortgage Association Series 2013-10, Class FT (1 month LIBOR + 0.350%) 0.442%, 04/25/2042 (A) | 696,034 | 698,151 | |||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $2,999,366) | $ | 3,017,838 | |||
ASSET BACKED SECURITIES – 11.5% | |||||
Ally Auto Receivables Trust | |||||
Series 2019-3, Class A3 1.930%, 05/15/2024 | 668,144 | 675,250 | |||
Series 2019-4, Class A3 1.840%, 06/17/2024 | 2,706,250 | 2,730,788 | |||
American Tower Trust Series 2013, Class 2A 3.070%, 03/15/2048 (B) | 2,500,000 | 2,512,161 | |||
CarMax Auto Owner Trust | |||||
Series 2017-3, Class A4 2.220%, 11/15/2022 | 147,072 | 147,440 | |||
Series 2017-4, Class A4 2.330%, 05/15/2023 | 1,083,520 | 1,089,542 | |||
Series 2018-1, Class A4 2.640%, 06/15/2023 | 505,000 | 510,614 | |||
Series 2018-4, Class A3 3.360%, 09/15/2023 | 524,788 | 531,901 | |||
Series 2019-1, Class A3 3.050%, 03/15/2024 | 1,215,828 | 1,234,484 | |||
Series 2020-2, Class A2A 1.750%, 01/17/2023 | 118,017 | 118,205 | |||
CCG Receivables Trust Series 2019-1, Class B 3.220%, 09/14/2026 (B) | 1,140,000 | 1,175,707 | |||
Enterprise Fleet Financing LLC Series 2018-3, Class A2 3.380%, 05/20/2024 (B) | 55,818 | 56,091 | |||
Flagship Credit Auto Trust | |||||
Series 2018-2, Class D 4.230%, 09/16/2024 (B) | 1,140,000 | 1,196,509 | |||
Series 2019-2, Class A 2.830%, 10/16/2023 (B) | 987,688 | 994,007 | |||
Ford Credit Auto Lease Trust Series 2020-A, Class A3 1.850%, 03/15/2023 | 983,000 | 988,163 | |||
Ford Credit Auto Owner Trust | |||||
Series 2018-A, Class A3 3.030%, 11/15/2022 | 365,278 | 366,355 | |||
Series 2020-A, Class A2 1.030%, 10/15/2022 | 482,594 | 483,058 | |||
GM Financial Automobile Leasing Trust Series 2019-3, Class A3 2.030%, 06/20/2022 | 496,766 | 497,980 |
The accompanying notes are an integral part of the financial statements. | 114 |
Shares or Principal Amount | Value | ||||
ASSET BACKED SECURITIES (continued) | |||||
GM Financial Consumer Automobile Receivables Trust Series 2018-1, Class A4 2.460%, 07/17/2023 | $ | 1,058,596 | $ | 1,063,909 | |
Honda Auto Receivables Owner Trust | |||||
Series 2018-3, Class A3 2.950%, 08/22/2022 | 332,069 | 333,792 | |||
Series 2020-2, Class A2 0.740%, 11/15/2022 | 131,195 | 131,357 | |||
HPEFS Equipment Trust | |||||
Series 2019-1A, Class A3 2.210%, 09/20/2029 (B) | 734,298 | 736,542 | |||
Series 2020-2A, Class A2 0.650%, 07/22/2030 (B) | 1,325,036 | 1,326,675 | |||
Nissan Auto Lease Trust | |||||
Series 2019-A, Class A3 2.760%, 03/15/2022 | 18,303 | 18,322 | |||
Series 2019-A, Class A4 2.780%, 07/15/2024 | 360,000 | 360,960 | |||
Series 2019-B, Class A4 2.290%, 04/15/2025 | 462,000 | 466,137 | |||
Nissan Auto Receivables Owner Trust | |||||
Series 2018-A, Class A4 2.890%, 06/17/2024 | 3,477,424 | 3,510,776 | |||
Series 2018-B, Class A3 3.060%, 03/15/2023 | 522,637 | 528,376 | |||
Series 2019-A, Class A3 2.900%, 10/16/2023 | 1,728,688 | 1,751,902 | |||
Series 2019-B, Class A3 2.500%, 11/15/2023 | 2,172,061 | 2,201,690 | |||
Santander Consumer Auto Receivables Trust Series 2020-AA, Class A 1.370%, 10/15/2024 (B) | 632,062 | 636,104 | |||
SMB Private Education Loan Trust Series 2015-A, Class A2A 2.490%, 06/15/2027 (B) | 366,145 | 368,919 | |||
Tesla Auto Lease Trust Series 2018-B, Class A 3.710%, 08/20/2021 (B) | 17,637 | 17,671 | |||
Toyota Auto Receivables Owner Trust | |||||
Series 2018-B, Class A3 2.960%, 09/15/2022 | 310,184 | 311,417 | |||
Series 2020-B, Class A2 1.380%, 12/15/2022 | 198,707 | 199,167 | |||
Verizon Owner Trust Series 2018-A, Class A1A 3.230%, 04/20/2023 | 464,113 | 467,308 | |||
Westlake Automobile Receivables Trust | |||||
Series 2018-3A, Class C 3.610%, 10/16/2023 (B) | 903,958 | 906,047 | |||
Series 2019-2A, Class C 2.840%, 07/15/2024 (B) | 1,000,000 | 1,013,972 | |||
World Omni Auto Receivables Trust | |||||
Series 2017-B, Class A3 1.950%, 02/15/2023 | 438,119 | 439,581 | |||
Series 2018-C, Class A3 3.130%, 11/15/2023 | 334,996 | 338,675 | |||
Series 2018-D, Class A3 3.330%, 04/15/2024 | 342,877 | 347,885 |
Shares or Principal Amount | Value | ||||
ASSET BACKED SECURITIES (continued) | |||||
World Omni Auto Receivables Trust (continued) | |||||
Series 2020-A, Class A2A 1.020%, 06/15/2023 | $ | 92,688 | $ | 92,842 | |
World Omni Automobile Lease Securitization Trust Series 2019-A, Class A3 2.940%, 05/16/2022 | 163,250 | 163,549 | |||
TOTAL ASSET BACKED SECURITIES (Cost $33,269,310) | $ | 33,041,830 | |||
SHORT-TERM INVESTMENTS – 33.3% | |||||
Commercial paper – 13.8% | |||||
Apple, Inc. 0.020%, 09/08/2021 * | 3,000,000 | 2,999,749 | |||
Chariot Acquisition LLC 0.070%, 09/13/2021 * | 3,000,000 | 2,999,438 | |||
Cooperative Centrale 0.050%, 08/03/2021 * | 3,000,000 | 2,999,802 | |||
Honeywell International, Inc. 0.060%, 10/15/2021 * | 1,000,000 | 999,762 | |||
Johnson & Johnson 0.010%, 07/08/2021 * | 2,150,000 | 2,149,985 | |||
Lime Funding LLC 0.110%, 07/21/2021 * | 3,000,000 | 2,999,843 | |||
Manhattan Asset Funding Company LLC 0.080%, 08/24/2021 * | 3,000,000 | 2,999,510 | |||
MUFG Bank, Ltd. 0.050%, 07/20/2021 * | 3,000,000 | 2,999,893 | |||
National Rural Utilities Cooperative Finance Corp. 0.070%, 07/01/2021 * | 3,000,000 | 2,999,994 | |||
Novartis AG 0.020%, 07/30/2021 * | 3,000,000 | 2,999,850 | |||
Province of British Columbia 0.060%, 09/02/2021 * | 2,000,000 | 1,999,712 | |||
Salt River Project Agricultural Improvement & Power District 0.070%, 08/17/2021 * | 3,000,000 | 2,999,633 | |||
The University of California 0.040%, 08/17/2021 * | 1,000,000 | 999,931 | |||
The University of Chicago 0.030%, 07/15/2021 * | 3,000,000 | 2,999,928 | |||
Yale University | |||||
0.040%, 08/17/2021 * | 1,400,000 | 1,399,851 | |||
0.060%, 08/17/2021 * | 2,000,000 | 1,999,787 | |||
39,546,668 | |||||
U.S. Government – 16.4% | |||||
U.S. Treasury Bill | |||||
0.009%, 07/08/2021 * | 13,000,000 | 12,999,902 | |||
0.041%, 07/22/2021 * | 11,000,000 | 10,999,694 | |||
0.048%, 08/10/2021 * | 15,000,000 | 14,999,204 | |||
0.050%, 08/24/2021 * | 8,000,000 | 7,999,460 | |||
46,998,260 | |||||
Short-term funds – 3.1% | |||||
State Street Institutional U.S. Government Money Market Fund, Premier Class, 0.0250% (D) | 8,816,874 | 8,816,874 | |||
TOTAL SHORT-TERM INVESTMENTS (Cost $95,362,860) | $ | 95,361,802 | |||
Total Investments (Ultra Short Term Bond Trust) (Cost $283,548,029) – 99.3% | $ | 284,589,394 | |||
Other assets and liabilities, net – 0.7% | 2,052,150 | ||||
TOTAL NET ASSETS – 100.0% | $ | 286,641,544 |
The accompanying notes are an integral part of the financial statements. | 115 |
Security Abbreviations and Legend | |
CMT | Constant Maturity Treasury |
LIBOR | London Interbank Offered Rate |
SOFR | Secured Overnight Financing Rate |
(A) | Variable rate obligation. The coupon rate shown represents the rate at period end. |
(B) | 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 $53,427,039 or 18.6% of the fund's net assets as of 6-30-21. |
(C) | Variable or floating rate security, the interest rate of which adjusts periodically based on a weighted average of interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of period end. |
(D) | The rate shown is the annualized seven-day yield as of 6-30-21. |
* | 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. |
The accompanying notes are an integral part of the financial statements. | 116 |
(b) Not Applicable
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not Applicable.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not Applicable.
ITEM 9. PURCHASE OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANIES AND AFFILIATED PURCHASERS.
Not Applicable.
ITEM 10. SUBMISSION OF MATTERS TO VOTE OF SECURITY HOLDERS.
The registrant has adopted procedures by which shareholders may recommend nominees to the registrant's Board of Trustees. A copy of the procedures is filed as an exhibit to this Form N-CSR. See attached "John Hancock Funds – Nominating, Governance and Administration Committee Charter."
ITEM 11. CONTROLS AND PROCEDURES.
(a)Based upon their evaluation of the registrant's disclosure controls and procedures as conducted within 90 days of the filing date of this Form N-CSR, the registrant's principal executive officer and principal financial officer have concluded that those disclosure controls and procedures provide reasonable assurance that the material information required to be disclosed by the registrant on this report is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission's rules and forms.
(b)There were no changes in the registrant's internal control over financial reporting that
occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting.
ITEM 12. DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 13. EXHIBITS.
(a)(1) Not applicable
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
JOHN HANCOCK VARIABLE INSURANCE TRUST
/s/ Andrew Arnott
Andrew Arnott
President
Date: August 17, 2021
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
/s/ Andrew Arnott Andrew Arnott President
Date: August 17, 2021
/s/ Charles A. Rizzo Charles A. Rizzo Chief Financial Officer
Date: August 17, 2021