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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number 811-04642
Virtus Variable Insurance Trust
(Exact name of registrant as specified in charter)
One Financial Plaza
Hartford, CT 06103-2608
(Address of principal executive offices) (Zip code)
Jennifer S. Fromm, Esq.
Vice President, Chief Legal Officer, Counsel and Secretary for Registrant
One Financial Plaza
Hartford, CT 06103-2608
(Name and address of agent for service)
Registrant’s telephone number, including area code: (800) 367-5877
Date of fiscal year end: December 31
Date of reporting period: June 30, 2020
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
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Item 1. Reports to Stockholders.
The Report to Shareholders is attached herewith.
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Virtus Duff & Phelps Real Estate Securities Series |
Virtus KAR Capital Growth Series |
Virtus KAR Small-Cap Growth Series |
Virtus KAR Small-Cap Value Series |
Virtus Newfleet Multi-Sector Intermediate Bond Series |
Virtus Rampart Enhanced Core Equity Series* |
Virtus SGA International Growth Series |
Virtus Strategic Allocation Series |
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1 | ||
2 | ||
4 | ||
6 | ||
Series | Schedule of Investments | |
7 | ||
9 | ||
11 | ||
13 | ||
14 | ||
27 | ||
32 | ||
34 | ||
44 | ||
46 | ||
48 | ||
52 | ||
56 | ||
68 | ||
70 |
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President, Virtus Variable Insurance Trust
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Beginning Account Value January 1, 2020 | Ending Account Value June 30, 2020 | Annualized Expense Ratio | Expenses Paid During Period* | |||||
Duff & Phelps Real Estate Securities Series | ||||||||
Class A | $ 1,000.00 | $ 863.70 | 1.14 % | $ 5.28 | ||||
Class I | 1,000.00 | 865.20 | 0.89 | 4.13 | ||||
KAR Capital Growth Series | ||||||||
Class A | 1,000.00 | 1,163.10 | 1.03 | 5.54 | ||||
KAR Small-Cap Growth Series | ||||||||
Class A | 1,000.00 | 1,111.10 | 1.16 | 6.09 | ||||
Class I | 1,000.00 | 1,112.20 | 0.91 | 4.78 | ||||
KAR Small-Cap Value Series | ||||||||
Class A | 1,000.00 | 1,003.40 | 1.10 | 5.48 | ||||
Newfleet Multi-Sector Intermediate Bond Series | ||||||||
Class A | 1,000.00 | 992.70 | 0.94 | 4.66 | ||||
Class I | 1,000.00 | 992.70 | 0.69 | 3.42 | ||||
Rampart Enhanced Core Equity Series | ||||||||
Class A | 1,000.00 | 946.10 | 0.98 | 4.74 | ||||
SGA International Growth Series | ||||||||
Class A | 1,000.00 | 1,005.90 | 1.16 | 5.79 | ||||
Class I | 1,000.00 | 1,007.60 | 0.91 | 4.54 | ||||
Strategic Allocation Series | ||||||||
Class A | 1,000.00 | 1,091.40 | 0.98 | 5.10 |
* | Expenses are equal to the relevant Series’ annualized expense ratio, which is net of waived fees and reimbursed expenses, if applicable, multiplied by the average account value over the period, multiplied by the number of days (182) expenses were accrued in the most recent fiscal half-year, then divided by 366 to reflect the one-half year period. |
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Beginning Account Value January 1, 2020 | Ending Account Value June 30, 2020 | Annualized Expense Ratio | Expenses Paid During Period* | |||||
Duff & Phelps Real Estate Securities Series | ||||||||
Class A | $ 1,000.00 | $ 1,019.19 | 1.14 % | $ 5.72 | ||||
Class I | 1,000.00 | 1,020.44 | 0.89 | 4.47 | ||||
KAR Capital Growth Series | ||||||||
Class A | 1,000.00 | 1,019.74 | 1.03 | 5.17 | ||||
KAR Small-Cap Growth Series | ||||||||
Class A | 1,000.00 | 1,019.10 | 1.16 | 5.82 | ||||
Class I | 1,000.00 | 1,020.34 | 0.91 | 4.57 | ||||
KAR Small-Cap Value Series | ||||||||
Class A | 1,000.00 | 1,019.39 | 1.10 | 5.52 | ||||
Newfleet Multi-Sector Intermediate Bond Series | ||||||||
Class A | 1,000.00 | 1,020.19 | 0.94 | 4.72 | ||||
Class I | 1,000.00 | 1,021.43 | 0.69 | 3.47 | ||||
Rampart Enhanced Core Equity Series | ||||||||
Class A | 1,000.00 | 1,019.99 | 0.98 | 4.92 | ||||
SGA International Growth Series | ||||||||
Class A | 1,000.00 | 1,019.10 | 1.16 | 5.82 | ||||
Class I | 1,000.00 | 1,020.34 | 0.91 | 4.57 | ||||
Strategic Allocation Series | ||||||||
Class A | 1,000.00 | 1,019.99 | 0.98 | 4.92 |
* | Expenses are equal to the relevant Series’ annualized expense ratio, which is net of waived fees and reimbursed expenses, if applicable, multiplied by the average account value over the period, multiplied by the number of days (182) expenses were accrued in the most recent fiscal half-year, then divided by 366 to reflect the one-half year period. |
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Industrial/Office | 27% |
Residential | 23 |
Data Centers | 13 |
Retail | 12 |
Health Care | 9 |
Specialty | 6 |
Self Storage | 6 |
Other (includes short-term investment) | 4 |
Total | 100% |
Information Technology | 32% |
Consumer Discretionary | 25 |
Communication Services | 15 |
Industrials | 9 |
Health Care | 6 |
Financials | 6 |
Consumer Staples | 5 |
Other | 2 |
Total | 100% |
Information Technology | 25% |
Financials | 16 |
Communication Services | 16 |
Consumer Discretionary | 15 |
Industrials | 15 |
Health Care | 6 |
Consumer Staples | 5 |
Short-Term Investment | 2 |
Total | 100% |
Industrials | 39% |
Financials | 15 |
Information Technology | 12 |
Consumer Discretionary | 10 |
Materials | 8 |
Consumer Staples | 8 |
Real Estate | 5 |
Other (includes short-term investment) | 3 |
Total | 100% |
Corporate Bonds and Notes | 55% | |
Financials | 14% | |
Energy | 6 | |
Materials | 5 | |
All other Corporate Bonds and Notes | 30 | |
Mortgage-Backed Securities | 14 | |
Asset-Backed Securities | 10 | |
Leveraged Loans | 9 | |
Foreign Government Securities | 7 | |
Preferred Stocks | 2 | |
Other | 3 | |
Total | 100% |
Information Technology | 28% |
Health Care | 14 |
Consumer Discretionary | 11 |
Communication Services | 11 |
Financials | 10 |
Industrials | 7 |
Consumer Staples | 6 |
Other | 13 |
Total | 100% |
Consumer Staples | 20% |
Health Care | 17 |
Financials | 16 |
Information Technology | 16 |
Consumer Discretionary | 15 |
Materials | 7 |
Industrials | 5 |
Other (includes short-term investment) | 4 |
Total | 100% |
Common Stocks | 67% | |
Information Technology | 19% | |
Consumer Discretionary | 14 | |
Communication Services | 12 | |
All Other Common Stocks | 22 | |
Corporate Bonds and Notes | 12 | |
Financials | 5 | |
All Other Corporate Bonds and Notes | 7 | |
Mortgage-Backed Securities | 8 | |
U.S. Government Securities | 5 | |
Asset-Backed Securities | 3 | |
Municipal Bonds | 2 | |
Short-Term Investment | 1 | |
Other | 2 | |
Total | 100% |
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Shares | Value | ||
Common Stocks—99.1% | |||
Real Estate Investment Trusts—99.1% | |||
Data Centers—13.1% | |||
CyrusOne, Inc. | 33,332 | $ 2,425 | |
Equinix, Inc. | 8,927 | 6,269 | |
8,694 | |||
Diversified—1.5% | |||
VEREIT, Inc. | 157,000 | 1,010 | |
Health Care—9.4% | |||
Healthcare Trust of America, Inc. Class A | 76,700 | 2,034 | |
Healthpeak Properties, Inc. | 99,250 | 2,735 | |
Welltower, Inc. | 28,240 | 1,462 | |
6,231 | |||
Industrial/Office—26.9% | |||
Industrial—15.2% | |||
Americold Realty Trust | 13,967 | 507 | |
Duke Realty Corp. | 87,946 | 3,112 | |
Prologis, Inc. | 58,352 | 5,446 | |
Rexford Industrial Realty, Inc. | 24,600 | 1,019 | |
10,084 | |||
Office—11.7% | |||
Alexandria Real Estate Equities, Inc. | 15,017 | 2,437 | |
Boston Properties, Inc. | 19,300 | 1,744 | |
Cousins Properties, Inc. | 74,512 | 2,223 | |
Douglas Emmett, Inc. | 43,840 | 1,344 | |
7,748 | |||
Total Industrial/Office | 17,832 | ||
Lodging/Resorts—2.4% | |||
Host Hotels & Resorts, Inc. | 28,064 | 303 | |
RLJ Lodging Trust | 69,235 | 653 | |
Ryman Hospitality Properties, Inc. | 17,447 | 604 | |
1,560 | |||
Residential—23.2% | |||
Apartments—13.5% | |||
Apartment Investment and Management Co. Class A | 44,415 | 1,672 | |
AvalonBay Communities, Inc. | 19,479 | 3,012 | |
Equity Residential | 44,020 | 2,589 | |
Mid-America Apartment Communities, Inc. | 14,600 | 1,674 | |
8,947 | |||
Manufactured Homes—4.4% | |||
Sun Communities, Inc. | 21,451 | 2,911 | |
Single Family Homes—5.3% | |||
American Homes 4 Rent Class A | 90,300 | 2,429 | |
Invitation Homes, Inc. | 39,950 | 1,100 | |
3,529 | |||
Total Residential | 15,387 | ||
Shares | Value | ||
Retail—11.5% | |||
Free Standing—4.7% | |||
Spirit Realty Capital, Inc. | 42,504 | $ 1,482 | |
STORE Capital Corp. | 66,970 | 1,594 | |
3,076 | |||
Regional Malls—2.2% | |||
Simon Property Group, Inc. | 21,551 | 1,474 | |
Shopping Centers—4.6% | |||
Brixmor Property Group, Inc. | 113,092 | 1,450 | |
Regency Centers Corp. | 35,250 | 1,617 | |
3,067 | |||
Total Retail | 7,617 | ||
Self Storage—5.5% | |||
CubeSmart | 59,500 | 1,606 | |
Extra Space Storage, Inc. | 21,666 | 2,001 | |
3,607 | |||
Specialty—5.6% | |||
Crown Castle International Corp. | 11,550 | 1,933 | |
VICI Properties, Inc. | 88,650 | 1,790 | |
3,723 | |||
Total Common Stocks (Identified Cost $55,732) | 65,661 | ||
Total Long-Term Investments—99.1% (Identified Cost $55,732) | 65,661 | ||
Short-Term Investment—0.0% | |||
Money Market Mutual Fund—0.0% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.085%)(1) | 335 | — (2) | |
Total Short-Term Investment (Identified Cost $—)(2) | — (2) | ||
TOTAL INVESTMENTS—99.1% (Identified Cost $55,732) | $65,661 | ||
Other assets and liabilities, net—0.9% | 612 | ||
NET ASSETS—100.0% | $66,273 |
Footnote Legend: | |
(1) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
(2) | Amount is less than $500. |
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Total Value at June 30, 2020 | Level 1 Quoted Prices | ||
Assets: | |||
Equity Securities: | |||
Common Stocks | $65,661 | $65,661 | |
Money Market Mutual Fund | — (1) | — (1) | |
Total Investments | $65,661 | $65,661 |
(1) | Amount is less than $500. |
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Shares | Value | ||
Convertible Preferred Stock—1.0% | |||
Information Technology—1.0% | |||
Disco Topco Holdings (Cayman) LP Class E(1)(2)(3) | 614,023 | $ 2,427 | |
Total Convertible Preferred Stock (Identified Cost $2,427) | 2,427 | ||
Common Stocks—98.8% | |||
Communication Services—14.6% | |||
Activision Blizzard, Inc. | 46,870 | 3,557 | |
Facebook, Inc. Class A(2) | 63,052 | 14,317 | |
Netflix, Inc.(2) | 24,160 | 10,994 | |
Tencent Holdings Ltd. ADR | 134,560 | 8,612 | |
37,480 | |||
Consumer Discretionary—25.0% | |||
Alibaba Group Holding Ltd. Sponsored ADR(2) | 61,058 | 13,170 | |
Amazon.com, Inc.(2) | 8,760 | 24,167 | |
Home Depot, Inc. (The) | 14,928 | 3,740 | |
Las Vegas Sands Corp. | 76,062 | 3,464 | |
McDonald’s Corp. | 15,230 | 2,810 | |
MercadoLibre, Inc.(2) | 5,680 | 5,599 | |
NIKE, Inc. Class B | 64,525 | 6,327 | |
Ross Stores, Inc. | 41,727 | 3,557 | |
Trip.com Group Ltd. ADR(2) | 61,090 | 1,583 | |
64,417 | |||
Consumer Staples—4.6% | |||
Estee Lauder Cos., Inc. (The) Class A | 6,840 | 1,291 | |
McCormick & Co., Inc. | 16,640 | 2,985 | |
Monster Beverage Corp.(2) | 50,905 | 3,529 | |
Procter & Gamble Co. (The) | 34,710 | 4,150 | |
11,955 | |||
Financials—5.7% | |||
Bank of America Corp. | 206,090 | 4,895 | |
CME Group, Inc. | 14,790 | 2,404 | |
MarketAxess Holdings, Inc. | 11,370 | 5,695 | |
Progressive Corp. (The) | 22,070 | 1,768 | |
14,762 | |||
Health Care—6.4% | |||
Danaher Corp. | 28,047 | 4,959 | |
HealthEquity, Inc.(2) | 31,960 | 1,875 | |
Illumina, Inc.(2) | 6,860 | 2,541 | |
Zoetis, Inc. | 51,274 | 7,027 | |
16,402 | |||
Industrials—9.3% | |||
CoStar Group, Inc.(2) | 8,070 | 5,735 |
Shares | Value | ||
Industrials—continued | |||
Equifax, Inc. | 15,010 | $ 2,580 | |
Fair Isaac Corp.(2) | 8,490 | 3,549 | |
Kansas City Southern | 24,460 | 3,652 | |
Roper Technologies, Inc. | 13,152 | 5,106 | |
Uber Technologies, Inc.(2) | 102,990 | 3,201 | |
23,823 | |||
Information Technology—31.2% | |||
Accenture plc Class A | 19,001 | 4,080 | |
Amphenol Corp. Class A | 58,784 | 5,632 | |
Avalara, Inc.(2) | 67,900 | 9,037 | |
Bill.com Holdings, Inc.(2) | 145,467 | 13,123 | |
NVIDIA Corp. | 30,710 | 11,667 | |
Paycom Software, Inc.(2) | 32,772 | 10,150 | |
Trade Desk, Inc. (The) Class A(2) | 21,470 | 8,728 | |
Visa, Inc. Class A | 59,498 | 11,493 | |
Workday, Inc. Class A(2) | 33,710 | 6,316 | |
80,226 | |||
Materials—2.0% | |||
Ecolab, Inc. | 26,114 | 5,195 | |
Total Common Stocks (Identified Cost $92,151) | 254,260 | ||
Total Long-Term Investments—99.8% (Identified Cost $94,578) | 256,687 | ||
TOTAL INVESTMENTS—99.8% (Identified Cost $94,578) | $256,687 | ||
Other assets and liabilities, net—0.2% | 583 | ||
NET ASSETS—100.0% | $257,270 |
Abbreviations: | |
ADR | American Depositary Receipt |
LP | Limited Partnership |
Footnote Legend: | |
(1) | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the Fair Value Hierarchy table located after the Schedule of Investments. |
(2) | Non-income producing. |
(3) | All or a portion of the security is restricted. |
Country Weightings† | |
United States | 91% |
China | 9 |
Total | 100% |
† % of total investments as of June 30, 2020. |
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Total Value at June 30, 2020 | Level 1 Quoted Prices | Level 3 Significant Unobservable Inputs | |||
Assets: | |||||
Equity Securities: | |||||
Common Stocks | $254,260 | $254,260 | $ — | ||
Convertible Preferred Stock | 2,427 | — | 2,427 | ||
Total Investments | $256,687 | $254,260 | $2,427 |
Total | Convertible Preferred Stock | ||
Investments in Securities | |||
Balance as of December 31, 2019: | $ — | $ — | |
Purchases | 2,427 | 2,427 | |
Balance as of June 30, 2020 | $2,427 | $2,427 |
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Shares | Value | ||
Convertible Preferred Stock—2.3% | |||
Information Technology—2.3% | |||
Disco Topco Holdings (Cayman) LP Class E(1)(2)(3) | 651,292 | $ 2,574 | |
Total Convertible Preferred Stock (Identified Cost $2,574) | 2,574 | ||
Common Stocks—92.5% | |||
Communication Services—15.0% | |||
Auto Trader Group plc | 837,000 | 5,459 | |
Autohome, Inc. ADR | 83,670 | 6,317 | |
Rightmove plc | 710,930 | 4,810 | |
16,586 | |||
Consumer Discretionary—14.7% | |||
Fox Factory Holding Corp.(2) | 90,355 | 7,464 | |
Ollie’s Bargain Outlet Holdings, Inc.(2) | 90,139 | 8,802 | |
16,266 | |||
Consumer Staples—4.6% | |||
Chefs’ Warehouse, Inc. (The)(2) | 55,660 | 756 | |
Grocery Outlet Holding Corp.(2) | 78,365 | 3,197 | |
PriceSmart, Inc. | 18,500 | 1,116 | |
5,069 | |||
Financials—15.8% | |||
FactSet Research Systems, Inc. | 12,729 | 4,181 | |
Goosehead Insurance, Inc. Class A(2) | 23,760 | 1,786 | |
Interactive Brokers Group, Inc. Class A | 77,630 | 3,243 | |
MarketAxess Holdings, Inc. | 8,113 | 4,064 | |
Morningstar, Inc. | 24,510 | 3,455 | |
Oportun Financial Corp.(2) | 53,880 | 724 | |
17,453 | |||
Health Care—5.7% | |||
Mesa Laboratories, Inc. | 5,435 | 1,179 | |
National Research Corp. | 50,660 | 2,949 | |
U.S. Physical Therapy, Inc. | 27,600 | 2,236 | |
6,364 | |||
Industrials—14.7% | |||
AAON, Inc. | 81,000 | 4,398 | |
HEICO Corp. Class A | 36,270 | 2,947 | |
Old Dominion Freight Line, Inc. | 40,099 | 6,800 | |
Omega Flex, Inc. | 19,859 | 2,101 | |
16,246 | |||
Information Technology—22.0% | |||
Aspen Technology, Inc.(2) | 33,014 | 3,420 |
Shares | Value | ||
Information Technology—continued | |||
Avalara, Inc.(2) | 31,840 | $ 4,238 | |
Bill.com Holdings, Inc.(2) | 63,735 | 5,749 | |
Blackline, Inc.(2) | 57,190 | 4,742 | |
NVE Corp. | 8,850 | 547 | |
Paycom Software, Inc.(2) | 8,561 | 2,652 | |
SPS Commerce, Inc.(2) | 39,122 | 2,939 | |
24,287 | |||
Total Common Stocks (Identified Cost $48,376) | 102,271 | ||
Total Long-Term Investments—94.8% (Identified Cost $50,950) | 104,845 | ||
Short-Term Investment—1.9% | |||
Money Market Mutual Fund—1.9% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.085%)(4) | 2,102,341 | 2,102 | |
Total Short-Term Investment (Identified Cost $2,102) | 2,102 | ||
TOTAL INVESTMENTS—96.7% (Identified Cost $53,052) | $106,947 | ||
Other assets and liabilities, net—3.3% | 3,617 | ||
NET ASSETS—100.0% | $110,564 |
Abbreviations: | |
ADR | American Depositary Receipt |
LP | Limited Partnership |
Footnote Legend: | |
(1) | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the Fair Value Hierarchy table located after the Schedule of Investments. |
(2) | Non-income producing. |
(3) | All or a portion of the security is restricted. |
(4) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Country Weightings† | |
United States | 84% |
United Kingdom | 10 |
China | 6 |
Total | 100% |
† % of total investments as of June 30, 2020. |
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Total Value at June 30, 2020 | Level 1 Quoted Prices | Level 3 Significant Unobservable Inputs | |||
Assets: | |||||
Equity Securities: | |||||
Common Stocks | $102,271 | $102,271 | $ — | ||
Convertible Preferred Stock | 2,574 | — | 2,574 | ||
Money Market Mutual Fund | 2,102 | 2,102 | — | ||
Total Investments | $106,947 | $104,373 | $2,574 |
Total | Convertible Preferred Stock | ||
Investments in Securities | |||
Balance as of December 31, 2019: | $ — | $ — | |
Purchases | 2,574 | 2,574 | |
Balance as of June 30, 2020 | $2,574 | $2,574 |
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Shares | Value | ||
Common Stocks—95.8% | |||
Consumer Discretionary—10.2% | |||
Cheesecake Factory, Inc. (The) | 84,830 | $ 1,944 | |
ServiceMaster Global Holdings, Inc.(1) | 61,134 | 2,182 | |
Thor Industries, Inc. | 31,467 | 3,352 | |
7,478 | |||
Consumer Staples—7.3% | |||
National Beverage Corp.(1) | 50,190 | 3,063 | |
WD-40 Co. | 11,700 | 2,320 | |
5,383 | |||
Financials—14.9% | |||
Bank of Hawaii Corp. | 33,970 | 2,086 | |
First Financial Bankshares, Inc. | 34,962 | 1,010 | |
Houlihan Lokey, Inc. | 57,290 | 3,188 | |
Primerica, Inc. | 18,140 | 2,115 | |
RLI Corp. | 28,150 | 2,311 | |
Stock Yards Bancorp, Inc. | 4,185 | 168 | |
10,878 | |||
Health Care—1.9% | |||
Anika Therapeutics, Inc.(1) | 37,150 | 1,402 | |
Industrials—37.4% | |||
Albany International Corp. Class A | 40,589 | 2,383 | |
Armstrong World Industries, Inc. | 24,438 | 1,905 | |
Construction Partners, Inc. Class A(1) | 67,000 | 1,190 | |
CoreLogic, Inc. | 57,750 | 3,882 | |
Graco, Inc. | 49,610 | 2,381 | |
John Bean Technologies Corp. | 8,884 | 764 | |
Landstar System, Inc. | 20,230 | 2,272 | |
Lincoln Electric Holdings, Inc. | 18,560 | 1,563 | |
RBC Bearings, Inc.(1) | 17,770 | 2,382 | |
SiteOne Landscape Supply, Inc.(1) | 34,427 | 3,924 | |
UniFirst Corp. | 9,853 | 1,763 | |
Watsco, Inc. | 16,950 | 3,012 | |
27,421 | |||
Information Technology—11.7% | |||
American Software, Inc. Class A | 74,500 | 1,174 |
Shares | Value | ||
Information Technology—continued | |||
Badger Meter, Inc. | 28,156 | $ 1,772 | |
Brooks Automation, Inc. | 80,720 | 3,571 | |
Jack Henry & Associates, Inc. | 11,090 | 2,041 | |
8,558 | |||
Materials—7.8% | |||
Scotts Miracle-Gro Co. (The) | 42,292 | 5,687 | |
Real Estate—4.6% | |||
MGM Growth Properties LLC Class A | 124,240 | 3,380 | |
Total Common Stocks (Identified Cost $45,188) | 70,187 | ||
Total Long-Term Investments—95.8% (Identified Cost $45,188) | 70,187 | ||
Short-Term Investment—0.9% | |||
Money Market Mutual Fund—0.9% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.085%)(2) | 681,649 | 682 | |
Total Short-Term Investment (Identified Cost $682) | 682 | ||
TOTAL INVESTMENTS—96.7% (Identified Cost $45,870) | $70,869 | ||
Other assets and liabilities, net—3.3% | 2,396 | ||
NET ASSETS—100.0% | $73,265 |
Abbreviation: | |
LLC | Limited Liability Company |
Footnote Legend: | |
(1) | Non-income producing. |
(2) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Total Value at June 30, 2020 | Level 1 Quoted Prices | ||
Assets: | |||
Equity Securities: | |||
Common Stocks | $70,187 | $70,187 | |
Money Market Mutual Fund | 682 | 682 | |
Total Investments | $70,869 | $70,869 |
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Par Value | Value | ||
U.S. Government Security—0.9% | |||
U.S. Treasury Bond 2.875%, 5/15/49 | $ 715 | $ 967 | |
Total U.S. Government Security (Identified Cost $881) | 967 | ||
Municipal Bonds—0.7% | |||
Illinois—0.0% | |||
Sales Tax Securitization Corp. Series B, Second Lien, Taxable (BAM Insured) 3.411%, 1/1/43 | 40 | 40 | |
Michigan—0.2% | |||
Tobacco Settlement Finance Authority Revenue Taxable Series A 7.309%, 6/1/34 | 160 | 160 | |
Virginia—0.5% | |||
Tobacco Settlement Financing Corp. Revenue Taxable Series A-1, Taxable 6.706%, 6/1/46 | 625 | 599 | |
Total Municipal Bonds (Identified Cost $822) | 799 | ||
Foreign Government Securities—6.7% | |||
Bolivarian Republic of Venezuela | |||
9.375%, 1/13/34(1) | 295 | 17 | |
RegS 7.650%, 4/21/25(1)(2) | 825 | 47 | |
Dominican Republic | |||
144A 6.875%, 1/29/26(3) | 130 | 136 | |
144A 5.950%, 1/25/27(3) | 100 | 101 | |
Federative Republic of Brazil 3.875%, 6/12/30 | 200 | 193 | |
Kingdom of Morocco 144A 5.500%, 12/11/42(3) | 300 | 366 | |
Kingdom of Saudi Arabia 144A 3.625%, 3/4/28(3) | 470 | 516 | |
Republic of Argentine 5.875%, 1/11/28(1) | 685 | 275 | |
Republic of Colombia 3.000%, 1/30/30 | 250 | 247 | |
Republic of Egypt 144A 7.600%, 3/1/29(3) | 200 | 203 | |
Republic of Ghana 144A 8.125%, 3/26/32(3) | 200 | 188 | |
Republic of Indonesia | |||
2.850%, 2/14/30 | 200 | 204 | |
144A 4.350%, 1/8/27(3) | 440 | 488 | |
Republic of Ivory Coast 144A 6.125%, 6/15/33(3) | 200 | 199 | |
Republic of Kenya 144A 8.000%, 5/22/32(3) | 200 | 197 | |
Republic of Panama 4.300%, 4/29/53 | 355 | 423 | |
Republic of South Africa 5.650%, 9/27/47 | 390 | 338 |
Par Value | Value | ||
Foreign Government Securities—continued | |||
Republic of Turkey | |||
7.625%, 4/26/29 | $ 400 | $ 421 | |
5.250%, 3/13/30 | 400 | 358 | |
Republic of Uruguay 5.100%, 6/18/50 | 80 | 103 | |
Russian Federation | |||
RegS 4.375%, 3/21/29(2) | 200 | 227 | |
RegS 5.250%, 6/23/47(2) | 400 | 528 | |
State of Israel 2.750%, 7/3/30 | 345 | 380 | |
State of Qatar 144A 3.750%, 4/16/30(3) | 320 | 364 | |
Ukraine 144A 7.750%, 9/1/25(3) | 305 | 318 | |
United Mexican States | |||
4.500%, 4/22/29 | 260 | 283 | |
Series M 6.500%, 6/9/22 | 6,713 MXN | 302 | |
Total Foreign Government Securities (Identified Cost $8,043) | 7,422 | ||
Mortgage-Backed Securities—14.1% | |||
Agency—0.7% | |||
Federal National Mortgage Association | |||
Pool #AT2016 3.000%, 4/1/43 | 300 | 323 | |
Pool #AS4992 3.500%, 5/1/45 | 176 | 188 | |
Pool #AS9393 4.000%, 4/1/47 | 80 | 85 | |
Pool #MA3121 4.000%, 9/1/47 | 184 | 196 | |
792 | |||
Non-Agency—13.4% | |||
American Homes 4 Rent Trust | |||
2014-SFR2, C 144A 4.705%, 10/17/36(3) | 435 | 478 | |
2015-SFR1, A 144A 3.467%, 4/17/52(3) | 308 | 330 | |
2015-SFR2, C 144A 4.691%, 10/17/52(3) | 340 | 379 | |
Arroyo Mortgage Trust | |||
2018-1, A1 144A 3.763%, 4/25/48(3)(4) | 76 | 78 | |
2019-1, A1 144A 3.805%, 1/25/49(3)(4) | 121 | 123 | |
2019-2, A1 144A 3.347%, 4/25/49(3)(4) | 159 | 162 | |
Banc of America Funding Trust 2005-1, 1A1 5.500%, 2/25/35 | 67 | 68 | |
Bayview Opportunity Master Fund IVa Trust 2016-SPL1, B1 144A 4.250%, 4/28/55(3) | 275 | 286 | |
Bayview Opportunity Master Fund IVb Trust 2016-SPL2, B1 144A 4.250%, 6/28/53(3)(4) | 130 | 135 |
Table of Contents
Par Value | Value | ||
Non-Agency—continued | |||
BX Trust 2019-OC11, D 144A 4.075%, 12/9/41(3)(4) | $ 295 | $ 272 | |
CIT Home Equity Loan Trust 2003-1, A5 5.480%, 7/20/34(4) | 41 | 42 | |
Citigroup Mortgage Loan Trust, Inc. | |||
2019-IMC1, A1 144A 2.720%, 7/25/49(3)(4) | 208 | 211 | |
2015-A, A1 144A 3.500%, 6/25/58(3)(4) | 58 | 60 | |
Credit Suisse Mortgage Capital Trust 2014-IVR2, A2 144A 3.762%, 4/25/44(3)(4) | 77 | 81 | |
Deephaven Residential Mortgage Trust 2017-1A, A2 144A 2.928%, 12/26/46(3)(4) | 10 | 10 | |
Ellington Financial Mortgage Trust | |||
2018-1, A1FX 144A 4.140%, 10/25/58(3)(4) | 96 | 99 | |
2019-2, A3 144A 3.046%, 11/25/59(3)(4) | 103 | 103 | |
Galton Funding Mortgage Trust | |||
2017-1, A21 144A 3.500%, 7/25/56(3)(4) | 81 | 83 | |
2018-1, A23 144A 3.500%, 11/25/57(3)(4) | 148 | 152 | |
2018-2, A41 144A 4.500%, 10/25/58(3)(4) | 181 | 185 | |
2019-H1, A1 144A 2.657%, 10/25/59(3)(4) | 86 | 88 | |
GCAT LLC 2019-NQM1, A1 144A 2.985%, 2/25/59(3)(4) | 93 | 94 | |
Homeward Opportunities Fund I Trust 2019-1, A1 144A 3.454%, 1/25/59(3)(4) | 177 | 180 | |
JPMorgan Chase Commercial Mortgage Securities Trust 2015-C31, AS 4.106%, 8/15/48 | 295 | 316 | |
JPMorgan Chase Mortgage Trust | |||
2014-2, 2A2 144A 3.500%, 6/25/29(3)(4) | 82 | 84 | |
2014-1, 2A12 144A 3.500%, 1/25/44(3)(4) | 122 | 126 | |
2016-SH1, M2 144A 3.750%, 4/25/45(3)(4) | 193 | 194 | |
2016-SH2, M2 144A 3.750%, 12/25/45(3)(4) | 245 | 247 | |
LHOME Mortgage Trust 2019-RTL1, A1 144A 4.580%, 10/25/23(3)(4) | 355 | 354 | |
MASTR Alternative Loan Trust 2005-5, 2A3 5.500%, 7/25/25 | 76 | 76 | |
MASTR Specialized Loan Trust 2005-3, A2 144A 5.704%, 11/25/35(3)(4) | 44 | 44 | |
Mello Warehouse Securitization Trust 2019-1, C (1 month LIBOR + 1.200%) 144A 1.385%, 6/25/52(3)(4) | 175 | 174 | |
MetLife Securitization Trust | |||
2017-1A, M1 144A 3.674%, 4/25/55(3)(4) | 150 | 155 | |
2019-1A, A1A 144A 3.750%, 4/25/58(3)(4) | 281 | 297 | |
Morgan Stanley - Bank of America (Merrill Lynch) Trust 2013-C13, AS 4.266%, 11/15/46 | 125 | 132 | |
New Residential Mortgage Loan Trust |
Par Value | Value | ||
Non-Agency—continued | |||
2014-1A, A 144A 3.750%, 1/25/54(3)(4) | $ 165 | $ 177 | |
2015-2A, A1 144A 3.750%, 8/25/55(3)(4) | 137 | 147 | |
2016-1A, A1 144A 3.750%, 3/25/56(3)(4) | 117 | 125 | |
2016-4A, B1A 144A 4.500%, 11/25/56(3)(4) | 268 | 297 | |
2017-2A, A3 144A 4.000%, 3/25/57(3)(4) | 111 | 119 | |
2018-1A, A1A 144A 4.000%, 12/25/57(3)(4) | 221 | 234 | |
OBX Trust | |||
2018-EXP2, 1A1 144A 4.000%, 7/25/58(3)(4) | 266 | 270 | |
2019-INV1, A3 144A 4.500%, 11/25/48(3)(4) | 175 | 182 | |
One Market Plaza Trust 2017-1MKT, A 144A 3.614%, 2/10/32(3) | 260 | 272 | |
Pretium Mortgage Credit Partners I LLC 2019-NPL3, A1 144A 3.105%, 7/27/59(3)(4) | 281 | 280 | |
Progress Residential Trust | |||
2018-SFR1, B 144A 3.484%, 3/17/35(3) | 270 | 273 | |
2018-SFR2, B 144A 3.841%, 8/17/35(3) | 545 | 557 | |
Provident Funding Mortgage Trust 2019-1, A2 144A 3.000%, 12/25/49(3)(4) | 523 | 551 | |
PRPM LLC 2019-1A, A1 144A 4.500%, 1/25/24(3)(4) | 278 | 279 | |
RCKT Mortgage Trust 2020-1, A1 144A 3.000%, 2/25/50(3)(4) | 465 | 479 | |
RCO V Mortgage LLC | |||
2019-1, A1 144A 3.721%, 5/24/24(3)(4) | 346 | 347 | |
2019-2, A1 144A 3.475%, 11/25/24(3)(4) | 213 | 213 | |
Residential Asset Mortgage Products Trust 2004-SL1, A8 6.500%, 11/25/31 | 15 | 15 | |
Residential Mortgage Loan Trust 2019-2, A1 144A 2.913%, 5/25/59(3)(4) | 303 | 307 | |
Sequoia Mortgage Trust 2013-8, B1 3.518%, 6/25/43(4) | 155 | 156 | |
Starwood Mortgage Residential Trust 2019-IMC1, A1 144A 3.468%, 2/25/49(3)(4) | 302 | 310 | |
Sutherland Commercial Mortgage Loans 2017-SBC6, A 144A 3.192%, 5/25/37(3)(4) | 23 | 23 | |
Towd Point Mortgage Trust | |||
2016-1, M1 144A 3.500%, 2/25/55(3)(4) | 135 | 143 | |
2015-5, A2 144A 3.500%, 5/25/55(3)(4) | 315 | 327 | |
2017-1, M1 144A 3.750%, 10/25/56(3)(4) | 135 | 144 | |
2017-6, A2 144A 3.000%, 10/25/57(3)(4) | 180 | 187 | |
2018-6, A2 144A 3.750%, 3/25/58(3)(4) | 125 | 127 |
Table of Contents
Par Value | Value | ||
Non-Agency—continued | |||
2018-SJ1, A1 144A 4.000%, 10/25/58(3)(4) | $ 72 | $ 73 | |
2015-2, 1M1 144A 3.250%, 11/25/60(3)(4) | 315 | 329 | |
Towd Point Trust 2019-HE1, A1 (1 month LIBOR + 0.900%) 144A 1.085%, 4/25/48(3)(4) | 198 | 195 | |
Tricon American Homes Trust 2019-SFR1, C 144A 3.149%, 3/17/38(3) | 235 | 243 | |
TVC Mortgage Trust 2020-RTL1, A1 144A 3.474%, 9/25/24(3) | 240 | 238 | |
VCAT LLC 2019-NPL2, A1 144A 3.573%, 11/25/49(3)(4) | 105 | 104 | |
Vericrest Opportunity Loan Trust | |||
2019-NPL2, A1 144A 3.967%, 2/25/49(3)(4) | 174 | 175 | |
2020-NPL2, A1A 144A 2.981%, 2/25/50(3)(4) | 109 | 107 | |
Verus Securitization Trust | |||
2018-2, B1 144A 4.426%, 6/1/58(3)(4) | 415 | 413 | |
2018-3, A1 144A 4.108%, 10/25/58(3)(4) | 149 | 152 | |
2019-INV1, A1 144A 3.402%, 12/25/59(3)(4) | 217 | 222 | |
Wells Fargo Commercial Mortgage Trust 2014-C24, AS 3.931%, 11/15/47 | 140 | 148 | |
14,838 | |||
Total Mortgage-Backed Securities (Identified Cost $15,252) | 15,630 | ||
Asset-Backed Securities—9.9% | |||
Automobiles—6.5% | |||
ACC Trust 2018-1, B 144A 4.820%, 5/20/21(3) | 86 | 86 | |
American Credit Acceptance Receivables Trust | |||
2018-1, C 144A 3.550%, 4/10/24(3) | 119 | 120 | |
2018-4, C 144A 3.970%, 1/13/25(3) | 355 | 361 | |
2020-2, D 144A 5.650%, 5/13/26(3) | 215 | 226 | |
AmeriCredit Automobile Receivables Trust 2018-1, D 3.820%, 3/18/24 | 295 | 305 | |
Avid Automobile Receivables Trust 2019-1, C 144A 3.140%, 7/15/26(3) | 355 | 359 | |
Capital Auto Receivables Asset Trust 2017-1, D 144A 3.150%, 2/20/25(3) | 340 | 345 | |
CPS Auto Receivables Trust 2018-C, D 144A 4.400%, 6/17/24(3) | 310 | 318 | |
DT Auto Owner Trust 2018-1A, C 144A 3.470%, 12/15/23(3) | 135 | 135 | |
Exeter Automobile Receivables Trust | |||
2018-4A, D 144A 4.350%, 9/16/24(3) | 365 | 380 | |
2019-1A, D 144A 4.130%, 12/16/24(3) | 355 | 367 | |
2019-3A, C 144A 2.790%, 5/15/24(3) | 295 | 300 |
Par Value | Value | ||
Automobiles—continued | |||
Flagship Credit Auto Trust | |||
2016-3, D 144A 3.890%, 11/15/22(3) | $ 400 | $ 407 | |
2019-1, C 144A 3.600%, 2/18/25(3) | 235 | 242 | |
Foursight Capital Automobile Receivables Trust 2017-1, B 144A 3.050%, 12/15/22(3) | 320 | 322 | |
GLS Auto Receivables Issuer Trust 2019-4A, B 144A 2.780%, 9/16/24(3) | 425 | 431 | |
GLS Auto Receivables Trust | |||
2018-1A, B 144A 3.520%, 8/15/23(3) | 410 | 415 | |
2018-3A, C 144A 4.180%, 7/15/24(3) | 455 | 471 | |
Hertz Vehicle Financing II LP | |||
2016-4A, A 144A 2.650%, 7/25/22(3) | 325 | 320 | |
2018-1A, A 144A 3.290%, 2/25/24(3) | 129 | 128 | |
Prestige Auto Receivables Trust 2019-1A, D 144A 3.010%, 8/15/25(3) | 295 | 297 | |
Tricolor Auto Securitization Trust 2018-2A, B 144A 4.760%, 2/15/22(3) | 286 | 288 | |
United Auto Credit Securitization Trust 2019-1, E 144A 4.290%, 8/12/24(3) | 295 | 292 | |
Veros Automobile Receivables Trust 2018-1, B 144A 4.050%, 2/15/24(3) | 300 | 301 | |
7,216 | |||
Consumer Loans—0.2% | |||
Marlette Funding Trust 2019-4A, A 144A 2.390%, 12/17/29(3) | 239 | 240 | |
Other—3.1% | |||
Amur Equipment Finance Receivables V LLC 2018-1A, A2 144A 3.240%, 12/20/23(3) | 125 | 125 | |
Aqua Finance Trust 2019-A, C 144A 4.010%, 7/16/40(3) | 355 | 318 | |
Arby’s Funding LLC 2015-1A, A2 144A 4.969%, 10/30/45(3) | 353 | 360 | |
Business Jet Securities LLC 2019-1, A 144A 4.212%, 7/15/34(3) | 154 | 150 | |
Diamond Resorts Owner Trust 2017-1A, A 144A 3.270%, 10/22/29(3) | 95 | 95 | |
Jersey Mike’s Funding 2019-1A, A2 144A 4.433%, 2/15/50(3) | 295 | 290 | |
Lendmark Funding Trust 2018-2A, A 144A 4.230%, 4/20/27(3) | 360 | 361 | |
NMEF Funding LLC 2019-A, C 144A 3.300%, 8/17/26(3) | 240 | 245 | |
OneMain Financial Issuance Trust 2018-1A, A 144A 3.300%, 3/14/29(3) | 335 | 340 | |
Oportun Funding VIII LLC 2018-A, A 144A 3.610%, 3/8/24(3) | 335 | 336 | |
Prosper Marketplace Issuance Trust 2018-2A, B 144A 3.960%, 10/15/24(3) | 222 | 223 | |
Regional Management Issuance Trust 2018-2, A 144A 4.560%, 1/18/28(3) | 295 | 299 | |
Small Business Lending Trust 2020-A, A 144A 2.620%, 12/15/26(3) | 143 | 138 |
Table of Contents
Par Value | Value | ||
Other—continued | |||
Vericrest Opportunity Loan Trust LXIV LLC 2017-NP11, A1 144A 3.375%, 10/25/47(3)(4) | $ 115 | $ 115 | |
3,395 | |||
Student Loan—0.1% | |||
SoFi Professional Loan Program LLC 2016-A, A2 144A 2.760%, 12/26/36(3) | 60 | 60 | |
Total Asset-Backed Securities (Identified Cost $10,801) | 10,911 | ||
Corporate Bonds and Notes—54.4% | |||
Communication Services—5.8% | |||
Altice France Holding S.A. 144A 6.000%, 2/15/28(3) | 250 | 236 | |
Baidu, Inc. 3.425%, 4/7/30 | 290 | 314 | |
Cable Onda S.A. 144A 4.500%, 1/30/30(3) | 240 | 243 | |
CCO Holdings LLC | |||
144A 4.750%, 3/1/30(3) | 115 | 118 | |
144A 4.500%, 8/15/30(3) | 205 | 209 | |
CenturyLink, Inc. 144A 4.000%, 2/15/27(3) | 35 | 34 | |
Cincinnati Bell, Inc. 144A 7.000%, 7/15/24(3) | 245 | 250 | |
Clear Channel Worldwide Holdings, Inc. | |||
9.250%, 2/15/24 | 62 | 58 | |
144A 5.125%, 8/15/27(3) | 80 | 77 | |
Consolidated Communications, Inc. 6.500%, 10/1/22 | 190 | 175 | |
CSC Holdings LLC | |||
144A 4.125%, 12/1/30(3) | 240 | 238 | |
144A 4.625%, 12/1/30(3) | 200 | 194 | |
Diamond Sports Group LLC | |||
144A 5.375%, 8/15/26(3) | 105 | 76 | |
144A 6.625%, 8/15/27(3) | 180 | 97 | |
DISH DBS Corp. | |||
5.875%, 7/15/22 | 125 | 127 | |
7.750%, 7/1/26 | 110 | 117 | |
144A 7.375%, 7/1/28(3) | 60 | 60 | |
Frontier Communications Corp. 144A 8.500%, 4/1/26(3) | 110 | 104 | |
iHeartCommunications, Inc. 8.375%, 5/1/27 | 106 | 97 | |
IHS Netherlands Holdco B.V. 144A 8.000%, 9/18/27(3) | 260 | 262 | |
LCPR Senior Secured Financing DAC 144A 6.750%, 10/15/27(3) | 260 | 265 | |
Level 3 Financing, Inc. 144A 4.250%, 7/1/28(3) | 145 | 145 | |
Live Nation Entertainment, Inc. | |||
144A 5.625%, 3/15/26(3) | 55 | 50 | |
144A 4.750%, 10/15/27(3) | 120 | 103 | |
McGraw-Hill Global Education Holdings LLC Senior Unsecured Notes 144A 7.875%, 5/15/24(3) | 170 | 113 | |
Meredith Corp. 6.875%, 2/1/26 | 145 | 120 |
Par Value | Value | ||
Communication Services—continued | |||
Northwest Fiber LLC 144A 10.750%, 6/1/28(3) | $ 105 | $ 109 | |
Outfront Media Capital LLC 144A 6.250%, 6/15/25(3) | 160 | 161 | |
Sirius XM Radio, Inc. 144A 5.500%, 7/1/29(3) | 105 | 111 | |
Sprint Corp. 7.875%, 9/15/23 | 160 | 180 | |
Sprint Spectrum Co. LLC | |||
144A 3.360%, 9/20/21(3) | 62 | 63 | |
144A 5.152%, 3/20/28(3) | 200 | 230 | |
Telesat Canada | |||
144A 4.875%, 6/1/27(3) | 80 | 78 | |
144A 6.500%, 10/15/27(3) | 220 | 217 | |
Tencent Holdings Ltd. 144A 3.975%, 4/11/29(3) | 400 | 451 | |
T-Mobile USA, Inc. 144A 2.550%, 2/15/31(3) | 215 | 216 | |
Twitter, Inc. 144A 3.875%, 12/15/27(3) | 260 | 260 | |
Univision Communications, Inc. | |||
144A 5.125%, 2/15/25(3) | 175 | 165 | |
144A 6.625%, 6/1/27(3) | 45 | 43 | |
Virgin Media Finance plc 144A 5.000%, 7/15/30(3) | 220 | 215 | |
6,381 | |||
Consumer Discretionary—5.2% | |||
American Axle & Manufacturing, Inc. 6.500%, 4/1/27 | 180 | 175 | |
American Builders & Contractors Supply Co., Inc. 144A 4.000%, 1/15/28(3) | 215 | 209 | |
Aramark Services, Inc. 144A 6.375%, 5/1/25(3) | 215 | 222 | |
Carnival Corp. 144A 11.500%, 4/1/23(3) | 40 | 43 | |
Clarios Global LP 144A 8.500%, 5/15/27(3) | 200 | 201 | |
Colt Merger Sub, Inc. 144A 5.750%, 7/1/25(3) | 5 | 5 | |
COLT Merger Sub, Inc. | |||
144A 6.250%, 7/1/25(3) | 55 | 55 | |
144A 8.125%, 7/1/27(3) | 40 | 39 | |
Cooper-Standard Automotive, Inc. 144A 13.000%, 6/1/24(3) | 110 | 117 | |
Dana, Inc. 5.375%, 11/15/27 | 154 | 153 | |
Downstream Development Authority of the Quapaw Tribe of Oklahoma 144A 10.500%, 2/15/23(3) | 130 | 110 | |
Expedia Group, Inc. | |||
144A 6.250%, 5/1/25(3) | 160 | 171 | |
144A 7.000%, 5/1/25(3) | 15 | 16 | |
Ford Motor Co. 9.000%, 4/22/25 | 162 | 175 | |
Ford Motor Credit Co. LLC 5.125%, 6/16/25 | 200 | 200 | |
Gateway Casinos & Entertainment Ltd. 144A 8.250%, 3/1/24(3) | 285 | 234 | |
General Motors Co. 6.800%, 10/1/27 | 145 | 169 |
Table of Contents
Par Value | Value | ||
Consumer Discretionary—continued | |||
Golden Nugget, Inc. 144A 8.750%, 10/1/25(3) | $ 130 | $ 73 | |
Hanesbrands, Inc. 144A 5.375%, 5/15/25(3) | 215 | 217 | |
Jaguar Holding Co. II 144A 5.000%, 6/15/28(3) | 90 | 92 | |
Lear Corp. 3.800%, 9/15/27 | 290 | 294 | |
Lithia Motors, Inc. 144A 4.625%, 12/15/27(3) | 125 | 124 | |
M/I Homes, Inc. 4.950%, 2/1/28 | 230 | 228 | |
Marriott Ownership Resorts, Inc. 144A 6.125%, 9/15/25(3) | 85 | 87 | |
MGM Growth Properties Operating Partnership LP 5.750%, 2/1/27 | 135 | 138 | |
Michaels Stores, Inc. 144A 8.000%, 7/15/27(3) | 120 | 104 | |
PulteGroup, Inc. 7.875%, 6/15/32 | 180 | 230 | |
QVC, Inc. 4.750%, 2/15/27 | 125 | 121 | |
Royal Caribbean Cruises Ltd. 144A 9.125%, 6/15/23(3) | 30 | 30 | |
Sands China Ltd. 144A 4.375%, 6/18/30(3) | 220 | 229 | |
Scientific Games International, Inc. | |||
144A 8.250%, 3/15/26(3) | 80 | 71 | |
144A 7.000%, 5/15/28(3) | 40 | 32 | |
Station Casinos LLC 144A 4.500%, 2/15/28(3) | 135 | 113 | |
Taylor Morrison Communities, Inc. 144A 5.625%, 3/1/24(3) | 115 | 118 | |
TRI Pointe Group, Inc. 5.875%, 6/15/24 | 155 | 160 | |
Under Armour, Inc. 3.250%, 6/15/26 | 170 | 150 | |
VF Corp. 2.950%, 4/23/30 | 275 | 294 | |
Vista Outdoor, Inc. 5.875%, 10/1/23 | 235 | 230 | |
Weekley Homes LLC 6.625%, 8/15/25 | 215 | 217 | |
Winnebago Industries, Inc. 144A 6.250%, 7/15/28(3) | 35 | 35 | |
5,681 | |||
Consumer Staples—2.3% | |||
Albertsons Cos., Inc. 144A 4.625%, 1/15/27(3) | 235 | 235 | |
Altria Group, Inc. 4.800%, 2/14/29 | 450 | 525 | |
Anheuser-Busch InBev Worldwide, Inc. 4.750%, 1/23/29 | 265 | 320 | |
Bacardi Ltd. 144A 4.700%, 5/15/28(3) | 320 | 362 | |
BAT Capital Corp. 4.906%, 4/2/30 | 245 | 288 | |
Chobani LLC 144A 7.500%, 4/15/25(3) | 180 | 174 | |
Kraft Heinz Foods Co. 144A 3.875%, 5/15/27(3) | 190 | 198 |
Par Value | Value | ||
Consumer Staples—continued | |||
Kronos Acquisition Holdings, Inc. 144A 9.000%, 8/15/23(3) | $ 140 | $ 134 | |
Sigma Finance Netherlands BV 144A 4.875%, 3/27/28(3) | 295 | 317 | |
2,553 | |||
Energy—7.0% | |||
Alliance Resource Operating Partners LP 144A 7.500%, 5/1/25(3) | 225 | 151 | |
Antero Midstream Partners LP 144A 5.750%, 1/15/28(3) | 105 | 83 | |
Blue Racer Midstream LLC 144A 6.625%, 7/15/26(3) | 260 | 231 | |
BP Capital Markets plc 4.875% (5)(6) | 330 | 341 | |
Callon Petroleum Co. 6.125%, 10/1/24 | 101 | 34 | |
Cheniere Energy Partners LP | |||
5.625%, 10/1/26 | 125 | 124 | |
144A 4.500%, 10/1/29(3) | 105 | 102 | |
CITGO Holding, Inc. 144A 9.250%, 8/1/24(3) | 110 | 110 | |
CITGO Petroleum Corp. 144A 7.000%, 6/15/25(3) | 110 | 110 | |
CrownRock LP 144A 5.625%, 10/15/25(3) | 240 | 215 | |
DCP Midstream Operating LP | |||
5.375%, 7/15/25 | 45 | 45 | |
5.625%, 7/15/27 | 10 | 10 | |
Denbury Resources, Inc. 144A 9.250%, 3/31/22(1)(3) | 94 | 38 | |
Energy Transfer Partners LP 5.000%, 10/1/22 | 314 | 334 | |
EQM Midstream Partners LP | |||
144A 6.000%, 7/1/25(3) | 45 | 45 | |
144A 6.500%, 7/1/27(3) | 50 | 51 | |
Geopark Ltd. 144A 6.500%, 9/21/24(3) | 270 | 248 | |
HollyFrontier Corp. 5.875%, 4/1/26 | 360 | 398 | |
KazMunayGas National Co. JSC 144A 4.750%, 4/19/27(3) | 595 | 644 | |
Kinder Morgan, Inc. 7.750%, 1/15/32 | 225 | 314 | |
MEG Energy Corp. 144A 7.125%, 2/1/27(3) | 130 | 108 | |
Nabors Industries, Inc. 5.750%, 2/1/25 | 65 | 26 | |
Occidental Petroleum Corp. | |||
2.700%, 8/15/22 | 60 | 56 | |
3.500%, 8/15/29 | 55 | 40 | |
Odebrecht Offshore Drilling Finance Ltd. PIK Interest Capitalization, 144A 7.720%, 12/1/26(3)(7) | 441 | 40 | |
Odebrecht Oil & Gas Finance Ltd. 144A 0.000% (3)(6) | 60 | — (8) | |
Parsley Energy LLC 144A 4.125%, 2/15/28(3) | 185 | 167 | |
Patterson-UTI Energy, Inc. 5.150%, 11/15/29 | 180 | 136 | |
Pertamina Persero PT 144A 6.450%, 5/30/44(3) | 760 | 969 |
Table of Contents
Par Value | Value | ||
Energy—continued | |||
Petrobras Global Finance B.V. | |||
5.999%, 1/27/28 | $ 180 | $ 189 | |
5.750%, 2/1/29 | 180 | 185 | |
Petroleos de Venezuela S.A. 144A 6.000%, 5/16/24(1)(3) | 650 | 16 | |
Petroleos Mexicanos | |||
6.375%, 1/23/45 | 185 | 138 | |
6.350%, 2/12/48 | 300 | 223 | |
144A 5.950%, 1/28/31(3) | 305 | 252 | |
Petronas Capital Ltd. 144A 3.500%, 4/21/30(3) | 220 | 245 | |
Plains All American Pipeline LP 3.800%, 9/15/30 | 270 | 266 | |
Sabine Pass Liquefaction LLC 4.200%, 3/15/28 | 175 | 188 | |
Sanchez Energy Corp. 144A 7.250%, 2/15/23(1)(3)(9) | 120 | 1 | |
State Oil Co. of the Azerbaijan Republic RegS 6.950%, 3/18/30(2) | 320 | 377 | |
Targa Resources Partners LP 5.875%, 4/15/26 | 170 | 168 | |
Transocean, Inc. 144A 8.000%, 2/1/27(3) | 130 | 72 | |
USA Compression Partners LP 6.875%, 4/1/26 | 110 | 106 | |
Vine Oil & Gas LP 144A 8.750%, 4/15/23(3) | 165 | 99 | |
7,695 | |||
Financials—10.8% | |||
Acrisure LLC | |||
144A 8.125%, 2/15/24(3) | 80 | 83 | |
144A 7.000%, 11/15/25(3) | 270 | 258 | |
AerCap Ireland Capital DAC 3.650%, 7/21/27 | 310 | 274 | |
Allstate Corp. (The) Series B 5.750%, 8/15/53(5) | 280 | 289 | |
Athene Holding Ltd. 4.125%, 1/12/28 | 325 | 335 | |
Australia & New Zealand Banking Group Ltd. 144A 4.400%, 5/19/26(3) | 335 | 373 | |
Aviation Capital Group LLC 144A 3.500%, 11/1/27(3) | 355 | 293 | |
Banco Bilbao Vizcaya Argentaria Bancomer S.A. 144A 5.125%, 1/18/33(3) | 275 | 256 | |
Banco de Credito e Inversiones S.A. 144A 3.500%, 10/12/27(3) | 215 | 226 | |
Bank of America Corp. 4.200%, 8/26/24 | 223 | 247 | |
Bank of Montreal 3.803%, 12/15/32 | 326 | 351 | |
Brighthouse Financial, Inc. | |||
3.700%, 6/22/27 | 106 | 108 | |
5.625%, 5/15/30 | 210 | 233 | |
Brightsphere Investment Group, Inc. 4.800%, 7/27/26 | 270 | 266 | |
Capital One Financial Corp. 3.750%, 7/28/26 | 405 | 442 | |
Charles Schwab Corp. (The) Series G 5.375% (6) | 277 | 296 | |
Citadel LP 144A 4.875%, 1/15/27(3) | 235 | 243 |
Par Value | Value | ||
Financials—continued | |||
Citigroup, Inc. 3.980%, 3/20/30 | $ 265 | $ 304 | |
Discover Bank 4.682%, 8/9/28 | 340 | 343 | |
Drawbridge Special Opportunities Fund LP 144A 5.000%, 8/1/21(3) | 440 | 440 | |
Fairfax Financial Holdings Ltd. 4.850%, 4/17/28 | 365 | 391 | |
Goldman Sachs Group, Inc. (The) 3.850%, 1/26/27 | 280 | 316 | |
Grupo de Inversiones Suramericana S.A. 144A 5.500%, 4/29/26(3) | 335 | 360 | |
ICAHN Enterprises LP 6.250%, 5/15/26 | 255 | 255 | |
Intercorp Peru Ltd. 144A 3.875%, 8/15/29(3) | 235 | 232 | |
Jefferies Financial Group, Inc. 5.500%, 10/18/23 | 100 | 108 | |
Jefferies Group LLC 4.850%, 1/15/27 | 60 | 66 | |
JPMorgan Chase & Co. | |||
2.950%, 10/1/26 | 475 | 522 | |
2.956%, 5/13/31 | 540 | 574 | |
Ladder Capital Finance Holdings LLLP 144A 4.250%, 2/1/27(3) | 130 | 104 | |
Liberty Mutual Insurance Co. 144A 8.500%, 5/15/25(3) | 25 | 32 | |
Lincoln National Corp. (3 month LIBOR + 2.040%) 3.175%, 4/20/67(4)(5) | 365 | 240 | |
MSCI, Inc. 144A 4.000%, 11/15/29(3) | 175 | 179 | |
Navient Corp. | |||
6.750%, 6/25/25 | 175 | 167 | |
5.000%, 3/15/27 | 60 | 50 | |
NMI Holdings, Inc. 144A 7.375%, 6/1/25(3) | 70 | 73 | |
Prudential Financial, Inc. 5.875%, 9/15/42 | 280 | 298 | |
Santander Holdings USA, Inc. | |||
3.500%, 6/7/24 | 175 | 184 | |
4.400%, 7/13/27 | 200 | 217 | |
Springleaf Finance Corp. | |||
7.125%, 3/15/26 | 110 | 114 | |
5.375%, 11/15/29 | 20 | 19 | |
Synchrony Financial 3.950%, 12/1/27 | 410 | 429 | |
Synovus Financial Corp. 5.900%, 2/7/29 | 164 | 160 | |
Toronto-Dominion Bank (The) 3.625%, 9/15/31 | 295 | 329 | |
Voya Financial, Inc. 5.650%, 5/15/53 | 240 | 242 | |
Wells Fargo & Co. Series S 5.900% (5)(6) | 300 | 297 | |
Zions Bancorp NA 3.250%, 10/29/29 | 350 | 345 | |
11,963 | |||
Health Care—3.3% | |||
Advanz Pharma Corp., Ltd. 8.000%, 9/6/24 | 41 | 38 |
Table of Contents
Par Value | Value | ||
Health Care—continued | |||
Avantor, Inc. 144A 9.000%, 10/1/25(3) | $ 145 | $ 156 | |
Bausch Health Americas, Inc. | |||
144A 9.250%, 4/1/26(3) | 90 | 98 | |
144A 8.500%, 1/31/27(3) | 100 | 106 | |
Bausch Health Cos., Inc. 144A 7.000%, 1/15/28(3) | 140 | 144 | |
Centene Corp. | |||
4.625%, 12/15/29 | 100 | 106 | |
144A 5.375%, 6/1/26(3) | 75 | 78 | |
Change Healthcare Holdings LLC 144A 5.750%, 3/1/25(3) | 145 | 143 | |
Community Health Systems, Inc. 144A 6.625%, 2/15/25(3) | 110 | 103 | |
Encompass Health Corp. | |||
4.500%, 2/1/28 | 160 | 153 | |
4.750%, 2/1/30 | 25 | 24 | |
Endo Dac 144A 6.000%, 7/15/23(3) | 100 | 75 | |
HCA, Inc. | |||
5.625%, 9/1/28 | 185 | 206 | |
4.125%, 6/15/29 | 305 | 336 | |
Herbalife Nutrition Ltd. 144A 7.875%, 9/1/25(3) | 270 | 279 | |
LifePoint Health, Inc. | |||
144A 6.750%, 4/15/25(3) | 50 | 52 | |
144A 4.375%, 2/15/27(3) | 85 | 80 | |
Ortho-Clinical Diagnostics, Inc. 144A 7.375%, 6/1/25(3) | 55 | 56 | |
Par Pharmaceutical, Inc. 144A 7.500%, 4/1/27(3) | 75 | 77 | |
Perrigo Finance Unlimited Co. 4.375%, 3/15/26 | 300 | 327 | |
Select Medical Corp. 144A 6.250%, 8/15/26(3) | 190 | 192 | |
Surgery Center Holdings, Inc. | |||
144A 6.750%, 7/1/25(3) | 35 | 32 | |
144A 10.000%, 4/15/27(3) | 100 | 100 | |
Tenet Healthcare Corp. | |||
8.125%, 4/1/22 | 60 | 63 | |
4.625%, 7/15/24 | 70 | 69 | |
144A 7.500%, 4/1/25(3) | 15 | 16 | |
144A 5.125%, 11/1/27(3) | 80 | 79 | |
Teva Pharmaceutical Finance Netherlands III BV 3.150%, 10/1/26 | 270 | 241 | |
West Street Merger Sub, Inc. 144A 6.375%, 9/1/25(3) | 230 | 223 | |
3,652 | |||
Industrials—4.4% | |||
Allied Universal Holdco LLC 144A 6.625%, 7/15/26(3) | 235 | 247 | |
American Airlines, Inc. 144A 11.750%, 7/15/25(3) | 110 | 103 | |
ASGN, Inc. 144A 4.625%, 5/15/28(3) | 122 | 119 | |
Ashtead Capital, Inc. 144A 4.375%, 8/15/27(3) | 360 | 370 | |
Avolon Holdings Funding Ltd. 144A 4.375%, 5/1/26(3) | 358 | 301 | |
Boeing Co. (The) | |||
5.150%, 5/1/30 | 175 | 195 |
Par Value | Value | ||
Industrials—continued | |||
5.805%, 5/1/50 | $ 69 | $ 81 | |
5.930%, 5/1/60 | 69 | 82 | |
Bombardier, Inc. | |||
144A 8.750%, 12/1/21(3) | 155 | 126 | |
144A 7.500%, 3/15/25(3) | 120 | 78 | |
BWX Technologies, Inc. 144A 4.125%, 6/30/28(3) | 30 | 30 | |
Compass Group Diversified Holdings LLC 144A 8.000%, 5/1/26(3) | 25 | 26 | |
CoStar Group, Inc. 144A 2.800%, 7/15/30(3) | 45 | 46 | |
DP World plc 144A 6.850%, 7/2/37(3) | 300 | 365 | |
Garda World Security Corp. 144A 4.625%, 2/15/27(3) | 115 | 113 | |
GFL Environmental, Inc. | |||
144A 7.000%, 6/1/26(3) | 15 | 16 | |
144A 8.500%, 5/1/27(3) | 72 | 78 | |
Hillenbrand, Inc. 4.500%, 9/15/26 | 320 | 321 | |
Howmet Aerospace, Inc. 6.875%, 5/1/25 | 115 | 125 | |
Meritor, Inc. 144A 6.250%, 6/1/25(3) | 55 | 56 | |
Mileage Plus Holdings LLC 144A 6.500%, 6/20/27(3) | 55 | 55 | |
Norwegian Air Shuttle ASA Pass-Through Trust 2016-1, A 144A 4.875%, 5/10/28(3) | 287 | 247 | |
Oshkosh Corp. 4.600%, 5/15/28 | 289 | 316 | |
Signature Aviation US Holdings, Inc. 144A 4.000%, 3/1/28(3) | 235 | 212 | |
Standard Industries, Inc. 144A 4.375%, 7/15/30(3) | 285 | 282 | |
Stanley Black & Decker, Inc. 4.000%, 3/15/60(5) | 267 | 267 | |
Uber Technologies, Inc. 144A 7.500%, 5/15/25(3) | 160 | 161 | |
Waste Connections, Inc. 2.600%, 2/1/30 | 265 | 280 | |
WESCO Distribution, Inc. 144A 7.250%, 6/15/28(3) | 135 | 142 | |
4,840 | |||
Information Technology—3.6% | |||
Alibaba Group Holding Ltd. 3.400%, 12/6/27 | 235 | 261 | |
Banff Merger Sub, Inc. 144A 9.750%, 9/1/26(3) | 80 | 80 | |
Broadcom, Inc. 144A 4.150%, 11/15/30(3) | 280 | 305 | |
Citrix Systems, Inc. 3.300%, 3/1/30 | 420 | 449 | |
Dell International LLC 144A 8.100%, 7/15/36(3) | 140 | 182 | |
Exela Intermediate LLC 144A 10.000%, 7/15/23(3)(10) | 90 | 22 | |
Flex Ltd. 3.750%, 2/1/26 | 210 | 222 | |
Gartner, Inc. 144A 4.500%, 7/1/28(3) | 50 | 51 |
Table of Contents
Par Value | Value | ||
Information Technology—continued | |||
HP, Inc. 3.400%, 6/17/30 | $ 345 | $ 355 | |
Juniper Networks, Inc. 3.750%, 8/15/29 | 260 | 291 | |
Microchip Technology, Inc. 144A 4.250%, 9/1/25(3) | 280 | 282 | |
Motorola Solutions, Inc. | |||
4.600%, 2/23/28 | 228 | 259 | |
4.600%, 5/23/29 | 120 | 138 | |
Open Text Holdings, Inc. 144A 4.125%, 2/15/30(3) | 190 | 187 | |
Radiate Holdco LLC 144A 6.625%, 2/15/25(3) | 235 | 234 | |
ViaSat, Inc. 144A 5.625%, 9/15/25(3) | 305 | 292 | |
VMware, Inc. | |||
3.900%, 8/21/27 | 230 | 244 | |
4.700%, 5/15/30 | 125 | 138 | |
3,992 | |||
Materials—5.3% | |||
Alpek SAB de C.V. 144A 5.375%, 8/8/23(3) | 425 | 453 | |
ARD Finance S.A. PIK Interest Capitalization, 144A 6.500%, 6/30/27(3)(11) | 235 | 233 | |
BHP Billiton Finance USA Ltd. 144A 6.750%, 10/19/75(3)(5) | 225 | 259 | |
Cleveland-Cliffs, Inc. 144A 6.750%, 3/15/26(3) | 160 | 154 | |
Equate Petrochemical BV 144A 4.250%, 11/3/26(3) | 340 | 358 | |
Greif, Inc. 144A 6.500%, 3/1/27(3) | 155 | 158 | |
Hecla Mining Co. 7.250%, 2/15/28 | 200 | 203 | |
Illuminate Buyer LLC 144A 9.000%, 7/1/28(3) | 30 | 31 | |
Inversiones CMPC S.A. 144A 3.850%, 1/13/30(3) | 350 | 357 | |
Kaiser Aluminum Corp. | |||
144A 6.500%, 5/1/25(3) | 20 | 21 | |
144A 4.625%, 3/1/28(3) | 120 | 115 | |
Kraton Polymers LLC 144A 7.000%, 4/15/25(3) | 250 | 251 | |
Mauser Packaging Solutions Holding Co. 144A 7.250%, 4/15/25(3) | 250 | 227 | |
Novelis Corp. 144A 4.750%, 1/30/30(3) | 220 | 210 | |
Olin Corp. 5.625%, 8/1/29 | 230 | 212 | |
PolyOne Corp. 144A 5.750%, 5/15/25(3) | 215 | 221 | |
SABIC Capital II BV 144A 4.500%, 10/10/28(3) | 305 | 345 | |
Schweitzer-Mauduit International, Inc. 144A 6.875%, 10/1/26(3) | 175 | 179 | |
Scotts Miracle-Gro Co. (The) 4.500%, 10/15/29 | 120 | 123 | |
Sonoco Products Co. 3.125%, 5/1/30 | 325 | 339 | |
Syngenta Finance N.V. 144A 4.441%, 4/24/23(3) | 400 | 420 |
Par Value | Value | ||
Materials—continued | |||
Teck Resources Ltd. 6.125%, 10/1/35 | $ 260 | $ 294 | |
TPC Group, Inc. 144A 10.500%, 8/1/24(3) | 55 | 49 | |
Trident TPI Holdings, Inc. | |||
144A 9.250%, 8/1/24(3) | 180 | 184 | |
144A 6.625%, 11/1/25(3) | 130 | 124 | |
Tronox, Inc. 144A 6.500%, 5/1/25(3) | 205 | 206 | |
United States Steel Corp. 144A 12.000%, 6/1/25(3) | 160 | 164 | |
5,890 | |||
Real Estate—3.1% | |||
American Campus Communities Operating Partnership LP 3.875%, 1/30/31 | 305 | 320 | |
Brixmor Operating Partnership LP 4.050%, 7/1/30 | 285 | 291 | |
EPR Properties 4.750%, 12/15/26 | 130 | 124 | |
ESH Hospitality, Inc. 144A 4.625%, 10/1/27(3) | 175 | 164 | |
GLP Capital LP | |||
5.250%, 6/1/25 | 185 | 201 | |
5.750%, 6/1/28 | 64 | 71 | |
5.300%, 1/15/29 | 95 | 103 | |
Healthcare Realty Trust, Inc. 2.400%, 3/15/30 | 126 | 120 | |
Healthcare Trust of America Holdings LP 3.100%, 2/15/30 | 215 | 217 | |
Iron Mountain, Inc. 144A 4.875%, 9/15/29(3) | 245 | 238 | |
iStar, Inc. 4.250%, 8/1/25 | 175 | 158 | |
Life Storage LP | |||
3.875%, 12/15/27 | 135 | 147 | |
4.000%, 6/15/29 | 200 | 221 | |
MGM Growth Properties Operating Partnership LP 144A 4.625%, 6/15/25(3) | 25 | 25 | |
MPT Operating Partnership LP | |||
5.000%, 10/15/27 | 125 | 128 | |
4.625%, 8/1/29 | 45 | 45 | |
Office Properties Income Trust 4.500%, 2/1/25 | 385 | 374 | |
Service Properties Trust | |||
4.950%, 2/15/27 | 195 | 171 | |
4.375%, 2/15/30 | 135 | 109 | |
Uniti Group LP | |||
8.250%, 10/15/23 | 105 | 99 | |
144A 7.875%, 2/15/25(3) | 55 | 56 | |
3,382 | |||
Utilities—3.6% | |||
American Electric Power Co., Inc. 2.300%, 3/1/30 | 332 | 335 | |
Black Hills Corp. 2.500%, 6/15/30 | 270 | 276 | |
CMS Energy Corp. 4.750%, 6/1/50 | 275 | 280 |
Table of Contents
Par Value | Value | ||
Utilities—continued | |||
Dominion Energy, Inc. 3.375%, 4/1/30 | $ 265 | $ 293 | |
DPL, Inc. 4.350%, 4/15/29 | 294 | 298 | |
Edison International 4.950%, 4/15/25 | 280 | 308 | |
Eskom Holdings SOC Ltd. 144A 7.125%, 2/11/25(3) | 200 | 185 | |
Exelon Corp. 3.497%, 6/1/22 | 255 | 266 | |
Ferrellgas Partners LP 8.625%, 6/15/20(1) | 50 | 12 | |
National Fuel Gas Co. 5.500%, 1/15/26 | 230 | 245 | |
Perusahaan Listrik Negara PT 144A 4.125%, 5/15/27(3) | 390 | 410 | |
PG&E Corp. 5.250%, 7/1/30 | 30 | 30 | |
Talen Energy Supply LLC | |||
144A 7.250%, 5/15/27(3) | 55 | 55 | |
144A 6.625%, 1/15/28(3) | 205 | 201 | |
TerraForm Power Operating LLC 144A 5.000%, 1/31/28(3) | 190 | 199 | |
Texas Competitive Electric Holdings Co. 144A 11.500%, 10/1/20(3)(9) | 465 | 1 | |
Transportadora de Gas Internacional SA ESP 144A 5.550%, 11/1/28(3) | 305 | 332 | |
Vistra Operations Co. LLC 144A 3.700%, 1/30/27(3) | 265 | 273 | |
3,999 | |||
Total Corporate Bonds and Notes (Identified Cost $60,263) | 60,028 | ||
Leveraged Loans(4)—9.2% | |||
Aerospace—0.4% | |||
AI Convoy (Luxembourg) S.a.r.l. Tranche B (6 month LIBOR + 3.500%) 4.650%, 1/18/27 | 180 | 171 | |
DynCorp International, Inc. Tranche B, First Lien (1 month LIBOR + 6.000%) 6.194%, 8/18/25 | 90 | 86 | |
Mileage Plus Holdings, Inc. Tranche B (3 month LIBOR + 5.500%) 0.000%, 6/25/27(12) | 50 | 50 | |
TransDigm, Inc. | |||
Tranche E (1 month LIBOR + 2.250%) 2.428%, 5/30/25 | 54 | 48 | |
Tranche F (1 month LIBOR + 2.250%) 2.428%, 12/9/25 | 45 | 41 | |
Tranche G (1 month LIBOR + 2.250%) 2.428%, 8/22/24 | 29 | 26 | |
422 | |||
Chemicals—0.3% | |||
H.B. Fuller Co. Tranche B (1 month LIBOR + 2.000%) 2.190%, 10/21/24 | 204 | 197 | |
Innophos Holdings, Inc. (3 month LIBOR + 3.750%) 3.928%, 2/4/27 | 110 | 107 |
Par Value | Value | ||
Chemicals—continued | |||
PQ Corp. Tranche B (3 month LIBOR + 3.000%) 0.000%, 2/7/27(12) | $ 15 | $ 14 | |
318 | |||
Consumer Non-Durables—0.7% | |||
American Greetings Corp. (1 month LIBOR + 4.500%) 5.500%, 4/6/24 | 130 | 119 | |
Diamond (BC) B.V. | |||
(3 month LIBOR + 3.000%) 3.760%, 9/6/24 | 234 | 215 | |
(3 month LIBOR + 5.000%) 6.000%, 9/6/24 | 60 | 59 | |
Kronos Acquisition Holdings, Inc. Tranche B-3 (2 month LIBOR + 4.000%) 5.000%, 5/15/23 | 186 | 177 | |
Parfums Holding Co., Inc. First Lien (3 month LIBOR + 4.250%) 5.250%, 6/30/24 | 108 | 99 | |
Rodan & Fields LLC (1 month LIBOR + 4.000%) 6.250%, 6/16/25 | 152 | 75 | |
744 | |||
Energy—0.4% | |||
California Resources Corp. 2016 (3 month LIBOR + 10.375%) 0.000%, 12/31/21(1)(12) | 190 | 9 | |
CITGO Petroleum Corp. 2019, Tranche B (3 month LIBOR + 5.000%) 6.000%, 3/27/24 | 94 | 90 | |
Fieldwood Energy LLC First Lien (3 month LIBOR + 5.250%) 6.250%, 4/11/22(10) | 270 | 49 | |
Hamilton Projects Acquiror LLC (3 month LIBOR + 4.750%) 5.750%, 6/17/27 | 115 | 112 | |
Illuminate Buyer LLC Tranche B (3 month LIBOR + 4.000%) 0.000%, 6/16/27(12) | 30 | 29 | |
Paragon Offshore Finance Co. (1 month PRIME + 0.000%) 3.250%, 7/16/21(1)(9) | 1 | — (8) | |
Traverse Midstream Partners LLC (1 month LIBOR + 4.000%) 5.000%, 9/27/24 | 140 | 116 | |
405 | |||
Financial—0.4% | |||
Asurion LLC Tranche B-2, Second Lien (1 month LIBOR + 6.500%) 6.678%, 8/4/25 | 110 | 109 | |
Blackhawk Network Holdings, Inc. First Lien (1 month LIBOR + 3.000%) 3.178%, 6/16/25 | 71 | 65 | |
Deerfield Dakota Holding LLC Tranche B, First Lien (1 month LIBOR + 3.750%) 4.750%, 4/9/27 | 110 | 107 | |
iStar, Inc. Tranche B (1 month LIBOR + 2.750%) 2.931%, 6/28/23 | 167 | 160 | |
441 | |||
Table of Contents
Par Value | Value | ||
Food / Tobacco—0.6% | |||
Chobani LLC Tranche B (1 month LIBOR + 3.500%) 4.500%, 10/10/23 | $ 119 | $ 114 | |
Dole Food Co., Inc. Tranche B (1 month LIBOR + 2.750%) 3.750%, 4/6/24 | 118 | 114 | |
Froneri US, Inc. Tranche B-2 (1 month LIBOR + 2.250%) 2.428%, 1/29/27 | 115 | 108 | |
H-Food Holdings LLC (1 month LIBOR + 3.688%) 3.866%, 5/23/25 | 139 | 132 | |
Milk Specialties Co. (1 month LIBOR + 4.000%) 5.000%, 8/16/23 | 106 | 100 | |
Shearer’s Foods LLC Second Lien (3 month LIBOR + 6.750%) 7.750%, 6/30/22 | 150 | 147 | |
715 | |||
Forest Prod / Containers—0.1% | |||
Spectrum Holdings III Corp. First Lien (3 month LIBOR + 3.250%) 4.322%, 1/31/25 | 80 | 70 | |
Gaming / Leisure—0.8% | |||
Affinity Gaming LLC (1 month LIBOR + 3.250%) 4.250%, 7/3/23 | 348 | 296 | |
Aristocrat Technologies, Inc. (3 month LIBOR + 3.750%) 4.750%, 10/19/24 | 30 | 30 | |
Carnival Corp. (3 month LIBOR + 7.500%) 0.000%, 6/26/25(12) | 40 | 38 | |
Everi Payments, Inc. | |||
(3 month LIBOR + 10.500%) 11.500%, 5/9/24 | 10 | 10 | |
Tranche B (3 month LIBOR + 2.750%) 3.822%, 5/9/24 | 60 | 55 | |
Landry’s Finance Acquisition Co. Tranche B (3 month LIBOR + 12.000%) 13.000%, 10/6/23 | 10 | 10 | |
Playa Resorts Holding B.V. (1 month LIBOR + 2.750%) 3.750%, 4/29/24 | 155 | 130 | |
Pug LLC Tranche B (1 month LIBOR + 3.500%) 3.678%, 2/12/27 | 189 | 164 | |
Scientific Games International, Inc. Tranche B-5 (1 month LIBOR + 2.750%) 3.476%, 8/14/24 | 62 | 55 | |
Stars Group Holdings B.V. (3 month LIBOR + 3.500%) 3.808%, 7/10/25 | 89 | 89 | |
UFC Holdings LLC Tranche B (3 month LIBOR + 3.250%) 4.250%, 4/29/26 | 62 | 59 | |
936 | |||
Healthcare—1.3% | |||
Accelerated Health Systems LLC (1 month LIBOR + 3.500%) 3.685%, 10/31/25 | 123 | 116 | |
Agiliti Health, Inc. (1 month LIBOR + 3.000%) 3.188%, 1/4/26 | 40 | 38 | |
AHP Health Partners, Inc. (1 month LIBOR + 4.500%) 5.500%, 6/30/25 | 184 | 176 | |
Bausch Health Cos., Inc. (1 month LIBOR + 2.750%) 2.940%, 11/27/25 | 52 | 50 |
Par Value | Value | ||
Healthcare—continued | |||
CHG Healthcare Services, Inc. (1 month LIBOR + 3.000%) 4.072%, 6/7/23 | $ 54 | $ 52 | |
Envision Healthcare Corp. (1 month LIBOR + 3.750%) 3.928%, 10/10/25 | 105 | 68 | |
LifePoint Health, Inc. Tranche B, First Lien (1 month LIBOR + 3.750%) 3.928%, 11/17/25 | 197 | 184 | |
Navicure, Inc. (1 month LIBOR + 4.000%) 4.178%, 10/22/26 | 85 | 81 | |
One Call Corp. First Lien (3 month LIBOR + 5.250%) 6.250%, 11/27/22 | 138 | 119 | |
Ortho-Clinical Diagnostics, Inc. (1 month LIBOR + 3.250%) 3.429%, 6/30/25 | 68 | 64 | |
Phoenix Guarantor, Inc. Tranche B-1 (1 month LIBOR + 3.250%) 3.435%, 3/5/26 | 189 | 182 | |
Sotera Health Holdings LLC First Lien (1 month LIBOR + 4.500%) 5.500%, 12/11/26 | 120 | 117 | |
Surgery Center Holdings, Inc. 2020 (1 month LIBOR + 8.000%) 9.000%, 9/30/24 | 25 | 25 | |
Viant Medical Holdings, Inc. First Lien (1 month LIBOR + 3.750%) 3.928%, 7/2/25 | 139 | 123 | |
1,395 | |||
Housing—0.1% | |||
CPG International LLC (3 month LIBOR + 3.750%) 4.750%, 5/6/24 | 78 | 77 | |
Information Technology—1.0% | |||
Applied Systems, Inc. Second Lien (3 month LIBOR + 7.000%) 8.000%, 9/19/25 | 112 | 111 | |
Aston Finco S.a.r.l. First Lien (1 month LIBOR + 4.250%) 4.438%, 10/9/26 | 85 | 80 | |
Boxer Parent Co., Inc. (1 month LIBOR + 4.250%) 4.428%, 10/2/25 | 129 | 121 | |
Kronos, Inc. | |||
2018 (1 month LIBOR + 3.000%) 3.179%, 11/1/23 | 228 | 228 | |
Second Lien (1 month LIBOR + 8.250%) 9.250%, 11/1/24 | 99 | 99 | |
SS&C Technologies, Inc. | |||
Tranche B-3 (1 month LIBOR + 1.750%) 1.928%, 4/16/25 | 60 | 58 | |
Tranche B-4 (1 month LIBOR + 1.750%) 1.928%, 4/16/25 | 42 | 41 | |
Ultimate Software Group, Inc. (The) | |||
2020 (3 month LIBOR + 4.000%) 0.000%, 5/4/26(12) | 180 | 178 | |
Second Lien (3 month LIBOR + 6.750%) 0.000%, 5/3/27(12) | 5 | 5 | |
Vertafore, Inc. First Lien (1 month LIBOR + 3.250%) 3.428%, 7/2/25 | 122 | 115 |
Table of Contents
Par Value | Value | ||
Information Technology—continued | |||
Vertiv Group Corp. (1 month LIBOR + 3.000%) 3.183%, 3/2/27 | $ 45 | $ 42 | |
1,078 | |||
Manufacturing—0.4% | |||
CPI Acquisition, Inc. First Lien (3 month LIBOR + 4.500%) 6.381%, 8/17/22 | 128 | 103 | |
Filtration Group Corp. (1 month LIBOR + 3.000%) 3.178%, 3/29/25 | 112 | 107 | |
Star US Bidco LLC (1 month LIBOR + 4.250%) 5.250%, 3/17/27 | 145 | 131 | |
U.S. Farathane LLC Tranche B-4 (3 month LIBOR + 3.500%) 4.500%, 12/23/21 | 121 | 90 | |
431 | |||
Media / Telecom - Broadcasting—0.1% | |||
Diamond Sports Group LLC (3 month LIBOR + 3.250%) 3.430%, 8/24/26 | 90 | 72 | |
Nexstar Broadcasting, Inc. Tranche B-4 (1 month LIBOR + 2.750%) 2.923%, 9/18/26 | 91 | 87 | |
159 | |||
Media / Telecom - Cable/Wireless Video—0.1% | |||
Intelsat Jackson Holdings S.A. | |||
(3 month LIBOR + 4.550%) 5.050%, 7/14/21 | 6 | 6 | |
(3 month LIBOR + 4.550%) 5.050%, 7/14/21(13) | 5 | 5 | |
Tranche B-5 8.625%, 1/2/24(10) | 79 | 79 | |
Ziggo Financing Partnership Tranche I (1 month LIBOR + 2.500%) 2.685%, 4/30/28 | 50 | 47 | |
137 | |||
Media / Telecom - Telecommunications—0.2% | |||
CenturyLink, Inc. Tranche B (1 month LIBOR + 2.250%) 2.428%, 3/15/27 | 79 | 75 | |
Consolidated Communications, Inc. 2016 (1 month LIBOR + 3.000%) 4.000%, 10/5/23 | 60 | 57 | |
Frontier Communications Corp. Tranche B-1 (3 month LIBOR + 3.750%) 5.350%, 6/17/24 | 55 | 53 | |
Northwest Fiber LLC Tranche B, First Lien (3 month LIBOR + 5.500%) 5.674%, 4/30/27(9) | 25 | 25 | |
210 | |||
Media / Telecom - Wireless Communications—0.3% | |||
CommScope, Inc. (1 month LIBOR + 3.250%) 3.428%, 4/4/26 | 99 | 94 | |
T-Mobile USA, Inc. (1 month LIBOR + 3.000%) 3.178%, 4/1/27 | 270 | 269 | |
363 | |||
Par Value | Value | ||
Retail—0.1% | |||
Leslie’s Poolmart, Inc. Tranche B-2 (3 month LIBOR + 3.500%) 0.000%, 8/16/23(12) | $ 80 | $ 76 | |
Neiman Marcus Group Ltd. LLC | |||
(1 month LIBOR + 11.333%) 12.306%, 10/7/20 | 26 | 26 | |
(1 month LIBOR + 11.333%) 12.306%, 10/7/20(13) | 8 | 8 | |
(3 month LIBOR + 0.000%) 0.000%, 10/25/23(1) | 129 | 33 | |
143 | |||
Service—1.2% | |||
Cardtronics USA, Inc. (3 month LIBOR + 4.000%) 0.000%, 6/25/27(12) | 80 | 78 | |
Carlisle Food Service Products, Inc. First Lien (1 month LIBOR + 3.000%) 4.000%, 3/20/25 | 121 | 111 | |
Dun & Bradstreet Corp. (The) Tranche B (1 month LIBOR + 4.000%) 4.184%, 2/6/26 | 204 | 199 | |
GFL Environmental, Inc. 2018 (3 month LIBOR + 3.000%) 3.667%, 5/30/25 | 150 | 145 | |
Hoya Midco LLC First Lien (3 month LIBOR + 3.500%) 4.572%, 6/30/24 | 69 | 57 | |
Pathway Vet Alliance LLC | |||
(3 month LIBOR + 3.250%) 0.000%, 3/31/27(12) | 95 | 92 | |
First Lien (3 month LIBOR + 4.000%) 0.000%, 3/31/27(12)(13) | 8 | 8 | |
Pearl Intermediate Parent LLC First Lien (1 month LIBOR + 2.750%) 2.928%, 2/14/25 | 181 | 172 | |
Pi US Mergerco, Inc. Tranche B-1 (3 month LIBOR + 3.500%) 4.500%, 1/3/25 | 224 | 214 | |
Sedgwick Claims Management Services, Inc. 2019 (1 month LIBOR + 4.000%) 4.178%, 9/3/26 | 208 | 199 | |
TKC Holdings, Inc. First Lien (3 month LIBOR + 3.750%) 4.750%, 2/1/23 | 108 | 101 | |
1,376 | |||
Transportation - Automotive—0.1% | |||
Cooper-Standard Automotive, Inc. Tranche B-1 (1 month LIBOR + 2.000%) 2.750%, 11/2/23 | 153 | 124 | |
Utility—0.6% | |||
APLP Holdings LP 2020, Tranche B (1 month LIBOR + 2.500%) 3.500%, 4/14/25 | 165 | 160 | |
Brookfield WEC Holdings, Inc. (1 month LIBOR + 3.000%) 3.750%, 8/1/25 | 227 | 218 | |
Calpine Corp. 2019 (1 month LIBOR + 2.250%) 2.430%, 4/5/26 | 119 | 115 | |
Pacific Gas and Electric Co. (1 month LIBOR + 2.250%) 2.440%, 12/31/20 | 85 | 85 |
Table of Contents
Par Value | Value | ||
Utility—continued | |||
PG&E Corp. (3 month LIBOR + 4.500%) 5.500%, 6/18/25 | $ 45 | $ 44 | |
622 | |||
Total Leveraged Loans (Identified Cost $11,165) | 10,166 | ||
Shares | ||
Preferred Stocks—2.0% | ||
Financials—1.8% | ||
Bank of New York Mellon Corp. (The) Series E, 3.726%(4) | 290 (14) | 275 |
Discover Financial Services Series D, 6.125%(5) | 110 (14) | 113 |
Huntington Bancshares, Inc. Series E, 5.700% | 96 (14) | 81 |
JPMorgan Chase & Co. Series HH, 4.600% | 103 (14) | 92 |
KeyCorp Series D, 5.000%(15) | 300 (14) | 283 |
M&T Bank Corp. Series F, 5.125%(15) | 229 (14) | 228 |
MetLife, Inc. Series D, 5.875% | 173 (14) | 183 |
PNC Financial Services Group, Inc. (The) Series S, 5.000% | 405 (14) | 411 |
Truist Financial Corp. Series Q, 5.100%(5) | 270 (14) | 279 |
1,945 | ||
Industrials—0.2% | ||
General Electric Co. Series D, 5.000% | 332 (14) | 261 |
Total Preferred Stocks (Identified Cost $2,273) | 2,206 | |
Common Stocks—0.0% | ||
Communication Services—0.0% | ||
Clear Channel Outdoor Holdings, Inc.(16) | 1,381 | 1 |
Consumer Discretionary—0.0% | ||
Mark IV Industries(9) | 828 | 4 |
Energy—0.0% | ||
Frontera Energy Corp. | 2,618 | 7 |
Total Common Stocks (Identified Cost $59) | 12 | |
Exchange-Traded Funds—0.8% | ||
iShares iBoxx $ Investment Grade Corporate Bond ETF(17) | 4,027 | 542 |
iShares iBoxx High Yield Corporate Bond ETF(17) | 3,804 | 310 |
Total Exchange-Traded Funds (Identified Cost $812) | 852 | |
Rights—0.0% | ||
Utilities—0.0% | ||
Vistra Energy Corp.(9)(16) | 7,753 | 7 |
Total Rights (Identified Cost $7) | 7 | |
Shares | Value | ||
Warrant—0.0% | |||
Communication Services—0.0% | |||
iHeartMedia, Inc.(9) | 587 | $ 5 | |
Total Warrant (Identified Cost $10) | 5 | ||
Total Long-Term Investments—98.7% (Identified Cost $110,388) | 109,005 | ||
TOTAL INVESTMENTS—98.7% (Identified Cost $110,388) | $109,005 | ||
Other assets and liabilities, net—1.3% | 1,380 | ||
NET ASSETS—100.0% | $110,385 |
Abbreviations: | |
BAM | Build America Municipal Insured |
ETF | Exchange-Traded Fund |
LIBOR | London Interbank Offered Rate |
LLC | Limited Liability Company |
LLLP | Limited Liability Limited Partnership |
LP | Limited Partnership |
MASTR | Morgan Stanley Structured Asset Security |
PIK | Payment-in-Kind Security |
Foreign Currencies: | |
MXN | Mexican Peso |
Footnote Legend: | |
(1) | Security in default; no interest payments are being received during the bankruptcy proceedings. |
(2) | Regulation S security. Security is offered and sold outside of the United States, therefore, it is exempt from registration with the SEC under Rules 903 and 904 of the Securities Act of 1933. |
(3) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2020, these securities amounted to a value of $57,831 or 52.4% of net assets. |
(4) | Variable rate security. Rate disclosed is as of June 30, 2020. For leveraged loans, the rate shown may represent a weighted average interest rate. Information in parenthesis represents benchmark and reference rate for each security. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or, for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions. |
(5) | Interest payments may be deferred. |
(6) | No contractual maturity date. |
(7) | 13% of the income received was in cash and 87% was in PIK. |
(8) | Amount is less than $500. |
(9) | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the Fair Value Hierarchy table located after the Schedule of Investments. |
(10) | Security in default, interest payments are being received during the bankruptcy proceedings. |
(11) | 100% of the income received was in PIK. |
(12) | This loan will settle after June 30, 2020, at which time the interest rate, based on the LIBOR and the agreed upon spread on trade date, will be reflected. |
Table of Contents
(13) | Represents unfunded portion of security and commitment fee earned on this portion. |
(14) | Value shown as par value. |
(15) | Interest may be forfeited. |
(16) | Non-income producing. |
(17) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Country Weightings† | |
United States | 76% |
Canada | 3 |
Netherlands | 3 |
Indonesia | 2 |
Mexico | 2 |
Cayman Islands | 2 |
Bermuda | 1 |
Other | 11 |
Total | 100% |
† % of total investments as of June 30, 2020. |
Total Value at June 30, 2020 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Debt Securities: | |||||||
Asset-Backed Securities | $ 10,911 | $ — | $ 10,911 | $— | |||
Corporate Bonds and Notes | 60,028 | — | 60,026 | 2 | |||
Foreign Government Securities | 7,422 | — | 7,422 | — | |||
Leveraged Loans | 10,166 | — | 10,141 | 25 (1) | |||
Mortgage-Backed Securities | 15,630 | — | 15,630 | — | |||
Municipal Bonds | 799 | — | 799 | — | |||
U.S. Government Security | 967 | — | 967 | — | |||
Equity Securities: | |||||||
Preferred Stocks | 2,206 | — | 2,206 | — | |||
Common Stocks | 12 | 8 | — | 4 | |||
Rights | 7 | — | — | 7 | |||
Warrant | 5 | — | — | 5 | |||
Exchange-Traded Funds | 852 | 852 | — | — | |||
Total Investments | $109,005 | $860 | $108,102 | $43 |
(1) | Includes internally fair valued securities currently priced at zero ($0). |
Table of Contents
Shares | Value | ||
Common Stocks—98.1% | |||
Communication Services—11.0% | |||
Activision Blizzard, Inc. | 2,882 | $ 219 | |
Alphabet, Inc. Class A(1) | 1,006 | 1,427 | |
Alphabet, Inc. Class C(1) | 1,003 | 1,418 | |
AT&T, Inc. | 23,920 | 723 | |
CenturyLink, Inc. | 4,287 | 43 | |
Charter Communications, Inc. Class A(1) | 561 | 286 | |
Comcast Corp. Class A | 15,042 | 586 | |
Discovery, Inc. Class A(1) | 693 | 15 | |
Discovery, Inc. Class C(1) | 1,475 | 29 | |
DISH Network Corp. Class A(1) | 1,137 | 39 | |
Electronic Arts, Inc.(1) | 1,198 | 158 | |
Facebook, Inc. Class A(1) | 8,254 | 1,874 | |
Fox Corp. Class A | 1,542 | 41 | |
Fox Corp. Class B | 707 | 19 | |
Interpublic Group of Cos., Inc. (The) | 1,713 | 29 | |
Live Nation Entertainment, Inc.(1) | 617 | 27 | |
Netflix, Inc.(1) | 1,430 | 651 | |
News Corp. Class A | 1,720 | 20 | |
News Corp. Class B | 538 | 7 | |
Omnicom Group, Inc. | 947 | 52 | |
Take-Two Interactive Software, Inc.(1) | 480 | 67 | |
T-Mobile US, Inc.(1) | 1,655 | 172 | |
Twitter, Inc.(1) | 3,318 | 99 | |
Verizon Communications, Inc. | 13,516 | 745 | |
ViacomCBS, Inc. Class B | 2,322 | 54 | |
Walt Disney Co. (The) | 5,968 | 666 | |
9,466 | |||
Consumer Discretionary—11.1% | |||
Advance Auto Parts, Inc. | 244 | 35 | |
Amazon.com, Inc.(1) | 1,370 | 3,780 | |
Aptiv plc | 925 | 72 | |
AutoZone, Inc.(1) | 83 | 94 | |
Best Buy Co., Inc. | 803 | 70 | |
Booking Holdings, Inc.(1) | 149 | 237 | |
BorgWarner, Inc. | 742 | 26 | |
CarMax, Inc.(1) | 580 | 52 | |
Carnival Corp. | 1,705 | 28 | |
Chipotle Mexican Grill, Inc.(1) | 89 | 94 | |
Darden Restaurants, Inc. | 464 | 35 | |
Dollar General Corp. | 876 | 167 | |
Dollar Tree, Inc.(1) | 833 | 77 | |
Domino’s Pizza, Inc. | 133 | 49 | |
eBay, Inc. | 2,678 | 140 | |
Expedia Group, Inc. | 502 | 41 | |
Ford Motor Co. | 13,936 | 85 | |
Gap, Inc. (The) | 771 | 10 | |
Garmin Ltd. | 500 | 49 | |
General Motors Co. | 4,505 | 114 | |
Genuine Parts Co. | 516 | 45 | |
H&R Block, Inc. | 701 | 10 | |
Hanesbrands, Inc. | 1,300 | 15 | |
Harley-Davidson, Inc. | 552 | 13 | |
Hasbro, Inc. | 453 | 34 | |
Hilton Worldwide Holdings, Inc. | 1,005 | 74 | |
Home Depot, Inc. (The) | 3,857 | 966 | |
Horton (D.R.), Inc. | 1,179 | 65 | |
Kohl’s Corp. | 569 | 12 | |
L Brands, Inc. | 832 | 12 | |
Las Vegas Sands Corp. | 1,214 | 55 | |
Leggett & Platt, Inc. | 465 | 16 |
Shares | Value | ||
Consumer Discretionary—continued | |||
Lennar Corp. Class A | 960 | $ 59 | |
LKQ Corp.(1) | 1,076 | 28 | |
Lowe’s Cos., Inc. | 2,694 | 364 | |
Marriott International, Inc. Class A | 983 | 84 | |
McDonald’s Corp. | 2,664 | 491 | |
MGM Resorts International | 1,854 | 31 | |
Mohawk Industries, Inc.(1) | 214 | 22 | |
Newell Brands, Inc. | 1,371 | 22 | |
NIKE, Inc. Class B | 4,436 | 435 | |
Nordstrom, Inc. | 381 | 6 | |
Norwegian Cruise Line Holdings Ltd.(1) | 922 | 15 | |
NVR, Inc.(1) | 12 | 39 | |
O’Reilly Automotive, Inc.(1) | 262 | 111 | |
PulteGroup, Inc. | 888 | 30 | |
PVH Corp. | 263 | 13 | |
Ralph Lauren Corp. | 181 | 13 | |
Ross Stores, Inc. | 1,302 | 111 | |
Royal Caribbean Cruises Ltd. | 624 | 31 | |
Starbucks Corp. | 4,154 | 306 | |
Tapestry, Inc. | 987 | 13 | |
Target Corp. | 1,767 | 212 | |
Tiffany & Co. | 376 | 46 | |
TJX Cos., Inc. (The) | 4,306 | 218 | |
Tractor Supply Co. | 412 | 54 | |
Ulta Beauty, Inc.(1) | 208 | 42 | |
Under Armour, Inc. Class A(1) | 671 | 7 | |
Under Armour, Inc. Class C(1) | 692 | 6 | |
VF Corp. | 1,172 | 71 | |
Whirlpool Corp. | 220 | 29 | |
Wynn Resorts Ltd. | 349 | 26 | |
Yum! Brands, Inc. | 1,068 | 93 | |
9,600 | |||
Consumer Staples—6.4% | |||
Altria Group, Inc. | 5,735 | 225 | |
Archer-Daniels-Midland Co. | 1,753 | 70 | |
Brown-Forman Corp. Class B | 576 | 37 | |
Campbell Soup Co. | 518 | 26 | |
Church & Dwight Co., Inc. | 753 | 58 | |
Clorox Co. (The) | 380 | 83 | |
Coca-Cola Co. (The) | 11,986 | 536 | |
Colgate-Palmolive Co. | 2,646 | 194 | |
Conagra Brands, Inc. | 1,511 | 53 | |
Constellation Brands, Inc. Class A | 523 | 91 | |
Costco Wholesale Corp. | 1,370 | 415 | |
Coty, Inc. Class A | 974 | 4 | |
Estee Lauder Cos., Inc. (The) Class A | 698 | 132 | |
General Mills, Inc. | 1,877 | 116 | |
Hershey Co. (The) | 462 | 60 | |
Hormel Foods Corp. | 860 | 42 | |
J.M. Smucker Co. (The) | 353 | 37 | |
Kellogg Co. | 768 | 51 | |
Kimberly-Clark Corp. | 1,053 | 149 | |
Kraft Heinz Co.(The) | 1,948 | 62 | |
Kroger Co. (The) | 2,490 | 84 | |
Lamb Weston Holdings, Inc. | 458 | 29 | |
McCormick & Co., Inc. | 381 | 68 | |
Molson Coors Beverage Co. Class B | 594 | 20 | |
Mondelez International, Inc. Class A | 4,453 | 228 | |
Monster Beverage Corp.(1) | 1,194 | 83 | |
PepsiCo, Inc. | 4,327 | 572 | |
Philip Morris International, Inc. | 4,782 | 335 |
Table of Contents
Shares | Value | ||
Consumer Staples—continued | |||
Procter & Gamble Co. (The) | 7,707 | $ 922 | |
Sysco Corp. | 1,602 | 88 | |
Tyson Foods, Inc. Class A | 938 | 56 | |
Walgreens Boots Alliance, Inc. | 2,363 | 100 | |
Walmart, Inc. | 4,356 | 522 | |
5,548 | |||
Energy—3.0% | |||
Apache Corp. | 1,321 | 18 | |
Baker Hughes Co. | 2,292 | 35 | |
Cabot Oil & Gas Corp. | 1,458 | 25 | |
Chevron Corp. | 6,590 | 588 | |
Concho Resources, Inc. | 728 | 38 | |
ConocoPhillips | 3,795 | 160 | |
Devon Energy Corp. | 1,389 | 16 | |
Diamondback Energy, Inc. | 581 | 24 | |
EOG Resources, Inc. | 2,101 | 106 | |
Exxon Mobil Corp. | 14,549 | 651 | |
Halliburton Co. | 3,189 | 41 | |
Hess Corp. | 941 | 49 | |
HollyFrontier Corp. | 537 | 16 | |
Kinder Morgan, Inc. | 6,673 | 101 | |
Marathon Oil Corp. | 2,874 | 18 | |
Marathon Petroleum Corp. | 2,299 | 86 | |
National Oilwell Varco, Inc. | 1,405 | 17 | |
Noble Energy, Inc. | 1,719 | 15 | |
Occidental Petroleum Corp. | 3,224 | 59 | |
ONEOK, Inc. | 1,457 | 48 | |
Phillips 66 | 1,585 | 114 | |
Pioneer Natural Resources Co. | 598 | 58 | |
Schlumberger Ltd. | 4,963 | 91 | |
TechnipFMC plc | 1,481 | 10 | |
Valero Energy Corp. | 1,492 | 88 | |
Williams Cos., Inc. (The) | 4,252 | 81 | |
2,553 | |||
Financials—9.5% | |||
Aflac, Inc. | 2,290 | 83 | |
Allstate Corp. (The) | 1,013 | 98 | |
American Express Co. | 2,089 | 199 | |
American International Group, Inc. | 2,761 | 86 | |
Ameriprise Financial, Inc. | 392 | 59 | |
Aon plc Class A | 724 | 139 | |
Assurant, Inc. | 190 | 20 | |
Bank of America Corp. | 25,562 | 607 | |
Bank of New York Mellon Corp. (The) | 2,658 | 103 | |
Berkley (W.R.) Corp. | 456 | 26 | |
Berkshire Hathaway, Inc. Class B(1) | 6,148 | 1,098 | |
BlackRock, Inc. | 469 | 255 | |
Capital One Financial Corp. | 1,478 | 93 | |
Cboe Global Markets, Inc. | 343 | 32 | |
Charles Schwab Corp. (The) | 3,572 | 121 | |
Chubb Ltd. | 1,415 | 179 | |
Cincinnati Financial Corp. | 470 | 30 | |
Citigroup, Inc. | 6,948 | 355 | |
Citizens Financial Group, Inc. | 1,359 | 34 | |
CME Group, Inc. | 1,109 | 180 | |
Comerica, Inc. | 453 | 17 | |
Discover Financial Services | 983 | 49 | |
E*TRADE Financial Corp. | 705 | 35 | |
Everest Re Group Ltd. | 128 | 26 | |
Fifth Third Bancorp | 2,208 | 43 |
Shares | Value | ||
Financials—continued | |||
First Republic Bank | 529 | $ 56 | |
Franklin Resources, Inc. | 860 | 18 | |
Gallagher (Arthur J.) & Co. | 582 | 57 | |
Globe Life, Inc. | 312 | 23 | |
Goldman Sachs Group, Inc. (The) | 998 | 197 | |
Hartford Financial Services Group, Inc. (The) | 1,126 | 43 | |
Huntington Bancshares, Inc. | 3,241 | 29 | |
Intercontinental Exchange, Inc. | 1,727 | 158 | |
Invesco Ltd. | 1,151 | 12 | |
JPMorgan Chase & Co. | 9,861 | 928 | |
KeyCorp | 3,095 | 38 | |
Lincoln National Corp. | 632 | 23 | |
Loews Corp. | 814 | 28 | |
M&T Bank Corp. | 413 | 43 | |
MarketAxess Holdings, Inc. | 118 | 59 | |
Marsh & McLennan Cos., Inc. | 1,571 | 169 | |
MetLife, Inc. | 2,447 | 89 | |
Moody’s Corp. | 504 | 139 | |
Morgan Stanley | 3,630 | 175 | |
MSCI, Inc. | 263 | 88 | |
Nasdaq, Inc. | 354 | 42 | |
Northern Trust Corp. | 664 | 53 | |
People’s United Financial, Inc. | 1,416 | 16 | |
PNC Financial Services Group, Inc. (The) | 1,377 | 145 | |
Principal Financial Group, Inc. | 808 | 34 | |
Progressive Corp. (The) | 1,798 | 144 | |
Prudential Financial, Inc. | 1,255 | 76 | |
Raymond James Financial, Inc. | 389 | 27 | |
Regions Financial Corp. | 3,047 | 34 | |
S&P Global, Inc. | 761 | 251 | |
State Street Corp. | 1,156 | 74 | |
SVB Financial Group(1) | 163 | 35 | |
Synchrony Financial | 1,765 | 39 | |
T. Rowe Price Group, Inc. | 722 | 89 | |
Travelers Cos., Inc. (The) | 813 | 93 | |
Truist Financial Corp. | 4,267 | 160 | |
U.S. Bancorp | 4,462 | 164 | |
Unum Group | 658 | 11 | |
Wells Fargo & Co. | 12,205 | 313 | |
Willis Towers Watson plc | 398 | 78 | |
Zions Bancorp NA | 532 | 18 | |
8,235 | |||
Health Care—13.5% | |||
Abbott Laboratories | 5,499 | 503 | |
AbbVie, Inc. | 5,450 | 535 | |
ABIOMED, Inc.(1) | 139 | 34 | |
Agilent Technologies, Inc. | 962 | 85 | |
Alexion Pharmaceuticals, Inc.(1) | 682 | 76 | |
Align Technology, Inc.(1) | 225 | 62 | |
AmerisourceBergen Corp. | 465 | 47 | |
Amgen, Inc. | 1,834 | 433 | |
Anthem, Inc. | 797 | 210 | |
Baxter International, Inc. | 1,582 | 136 | |
Becton Dickinson and Co. | 909 | 217 | |
Biogen, Inc.(1) | 564 | 151 | |
Boston Scientific Corp.(1) | 4,394 | 154 | |
Bristol-Myers Squibb Co. | 7,377 | 434 | |
Cardinal Health, Inc. | 915 | 48 | |
Centene Corp.(1) | 1,822 | 116 | |
Cerner Corp. | 981 | 67 | |
Cigna Corp. | 1,181 | 222 |
Table of Contents
Shares | Value | ||
Health Care—continued | |||
Cooper Cos., Inc. (The) | 155 | $ 44 | |
CVS Health Corp. | 4,097 | 266 | |
Danaher Corp. | 1,936 | 342 | |
DaVita, Inc.(1) | 279 | 22 | |
DENTSPLY SIRONA, Inc. | 694 | 31 | |
DexCom, Inc.(1) | 286 | 116 | |
Edwards Lifesciences Corp.(1) | 1,952 | 135 | |
Eli Lilly and Co. | 2,642 | 434 | |
Gilead Sciences, Inc. | 3,900 | 300 | |
HCA Healthcare, Inc. | 824 | 80 | |
Henry Schein, Inc.(1) | 453 | 26 | |
Hologic, Inc.(1) | 824 | 47 | |
Humana, Inc. | 413 | 160 | |
IDEXX Laboratories, Inc.(1) | 270 | 89 | |
Illumina, Inc.(1) | 452 | 167 | |
Incyte Corp.(1) | 554 | 58 | |
Intuitive Surgical, Inc.(1) | 362 | 206 | |
IQVIA Holdings, Inc.(1) | 562 | 80 | |
Johnson & Johnson | 8,180 | 1,150 | |
Laboratory Corporation of America Holdings(1) | 302 | 50 | |
McKesson Corp. | 505 | 77 | |
Medtronic plc | 4,155 | 381 | |
Merck & Co., Inc. | 7,973 | 617 | |
Mettler-Toledo International, Inc.(1) | 76 | 61 | |
Mylan NV(1) | 1,616 | 26 | |
PerkinElmer, Inc. | 344 | 34 | |
Perrigo Co. plc | 425 | 23 | |
Pfizer, Inc. | 17,300 | 566 | |
Quest Diagnostics, Inc. | 419 | 48 | |
Regeneron Pharmaceuticals, Inc.(1) | 308 | 192 | |
ResMed, Inc. | 447 | 86 | |
STERIS plc | 265 | 41 | |
Stryker Corp. | 1,005 | 181 | |
Teleflex, Inc. | 144 | 52 | |
Thermo Fisher Scientific, Inc. | 1,234 | 447 | |
UnitedHealth Group, Inc. | 2,986 | 881 | |
Universal Health Services, Inc. Class B | 252 | 23 | |
Varian Medical Systems, Inc.(1) | 284 | 35 | |
Vertex Pharmaceuticals, Inc.(1) | 799 | 232 | |
Waters Corp.(1) | 200 | 36 | |
West Pharmaceutical Services, Inc. | 226 | 51 | |
Zimmer Biomet Holdings, Inc. | 640 | 76 | |
Zoetis, Inc. | 1,493 | 205 | |
11,704 | |||
Industrials—7.4% | |||
3M Co. | 1,789 | 279 | |
A.O. Smith Corp. | 425 | 20 | |
Alaska Air Group, Inc. | 392 | 14 | |
Allegion plc | 293 | 30 | |
American Airlines Group, Inc. | 1,254 | 16 | |
AMETEK, Inc. | 718 | 64 | |
Boeing Co. (The) | 1,704 | 312 | |
Carrier Global Corp. | 2,534 | 56 | |
Caterpillar, Inc. | 1,751 | 222 | |
Cintas Corp. | 263 | 70 | |
Copart, Inc.(1) | 637 | 53 | |
CSX Corp. | 2,426 | 169 | |
Cummins, Inc. | 478 | 83 | |
Deere & Co. | 993 | 156 | |
Delta Air Lines, Inc. | 1,836 | 51 | |
Dover Corp. | 454 | 44 |
Shares | Value | ||
Industrials—continued | |||
Eaton Corp. plc | 1,292 | $ 113 | |
Emerson Electric Co. | 1,895 | 118 | |
Equifax, Inc. | 378 | 65 | |
Expeditors International of Washington, Inc. | 525 | 40 | |
Fastenal Co. | 1,765 | 76 | |
FedEx Corp. | 747 | 105 | |
Flowserve Corp. | 419 | 12 | |
Fortive Corp. | 922 | 62 | |
Fortune Brands Home & Security, Inc. | 434 | 28 | |
General Dynamics Corp. | 725 | 108 | |
General Electric Co. | 27,586 | 188 | |
Honeywell International, Inc. | 2,238 | 324 | |
Howmet Aerospace, Inc. | 1,186 | 19 | |
Hunt (JB) Transport Services, Inc. | 265 | 32 | |
Huntington Ingalls Industries, Inc. | 127 | 22 | |
IDEX Corp. | 237 | 37 | |
IHS Markit Ltd. | 1,254 | 95 | |
Illinois Tool Works, Inc. | 908 | 159 | |
Ingersoll Rand, Inc.(1) | 1,095 | 31 | |
Jacobs Engineering Group, Inc. | 419 | 36 | |
Johnson Controls International plc | 2,404 | 82 | |
Kansas City Southern | 310 | 46 | |
L3Harris Technologies, Inc. | 692 | 117 | |
Lockheed Martin Corp. | 777 | 284 | |
Masco Corp. | 876 | 44 | |
Nielsen Holdings plc | 1,111 | 17 | |
Norfolk Southern Corp. | 817 | 143 | |
Northrop Grumman Corp. | 487 | 150 | |
Old Dominion Freight Line, Inc. | 297 | 50 | |
Otis Worldwide Corp. | 1,263 | 72 | |
PACCAR, Inc. | 1,073 | 80 | |
Parker-Hannifin Corp. | 401 | 73 | |
Pentair plc | 528 | 20 | |
Quanta Services, Inc. | 447 | 18 | |
Raytheon Technologies Corp. | 4,585 | 283 | |
Republic Services, Inc. | 661 | 54 | |
Robert Half International, Inc. | 371 | 20 | |
Robinson (C.H.) Worldwide, Inc. | 420 | 33 | |
Rockwell Automation, Inc. | 364 | 78 | |
Rollins, Inc. | 435 | 18 | |
Roper Technologies, Inc. | 323 | 125 | |
Snap-on, Inc. | 172 | 24 | |
Southwest Airlines Co. | 1,663 | 57 | |
Stanley Black & Decker, Inc. | 475 | 66 | |
Textron, Inc. | 723 | 24 | |
Trane Technologies plc | 752 | 67 | |
TransDigm Group, Inc. | 154 | 68 | |
Union Pacific Corp. | 2,152 | 364 | |
United Airlines Holdings, Inc.(1) | 812 | 28 | |
United Parcel Service, Inc. Class B | 2,141 | 238 | |
United Rentals, Inc.(1) | 239 | 36 | |
Verisk Analytics, Inc. | 507 | 86 | |
W.W. Grainger, Inc. | 136 | 43 | |
Waste Management, Inc. | 1,210 | 128 | |
Westinghouse Air Brake Technologies Corp. | 572 | 33 | |
Xylem, Inc. | 569 | 37 | |
6,415 | |||
Information Technology—28.2% | |||
Accenture plc Class A | 2,216 | 476 | |
Adobe, Inc.(1) | 1,669 | 727 | |
Advanced Micro Devices, Inc.(1) | 4,005 | 211 |
Table of Contents
Shares | Value | ||
Information Technology—continued | |||
Akamai Technologies, Inc.(1) | 549 | $ 59 | |
Alliance Data Systems Corp. | 147 | 7 | |
Amphenol Corp. Class A | 1,029 | 99 | |
Analog Devices, Inc. | 1,267 | 155 | |
ANSYS, Inc.(1) | 292 | 85 | |
Apple, Inc. | 14,342 | 5,232 | |
Applied Materials, Inc. | 3,184 | 192 | |
Arista Networks, Inc.(1) | 189 | 40 | |
Autodesk, Inc.(1) | 748 | 179 | |
Automatic Data Processing, Inc. | 1,499 | 223 | |
Broadcom, Inc. | 1,365 | 431 | |
Broadridge Financial Solutions, Inc. | 392 | 49 | |
Cadence Design Systems, Inc.(1) | 956 | 92 | |
CDW Corp. | 508 | 59 | |
Cisco Systems, Inc. | 14,655 | 684 | |
Citrix Systems, Inc. | 390 | 58 | |
Cognizant Technology Solutions Corp. Class A | 1,917 | 109 | |
Corning, Inc. | 2,640 | 68 | |
DXC Technology Co. | 905 | 15 | |
F5 Networks, Inc.(1) | 211 | 29 | |
Fidelity National Information Services, Inc. | 2,111 | 283 | |
Fiserv, Inc.(1) | 1,965 | 192 | |
FleetCor Technologies, Inc.(1) | 301 | 76 | |
FLIR Systems, Inc. | 464 | 19 | |
Fortinet, Inc.(1) | 487 | 67 | |
Gartner, Inc.(1) | 310 | 38 | |
Global Payments, Inc. | 1,045 | 177 | |
Hewlett Packard Enterprise Co. | 4,472 | 44 | |
HP, Inc. | 5,108 | 89 | |
Intel Corp. | 14,865 | 889 | |
International Business Machines Corp. | 3,069 | 371 | |
Intuit, Inc. | 892 | 264 | |
IPG Photonics Corp.(1) | 123 | 20 | |
Jack Henry & Associates, Inc. | 263 | 48 | |
Juniper Networks, Inc. | 1,165 | 27 | |
Keysight Technologies, Inc.(1) | 640 | 64 | |
KLA Corp. | 546 | 106 | |
Lam Research Corp. | 501 | 162 | |
Leidos Holdings, Inc. | 463 | 43 | |
Mastercard, Inc. Class A | 3,085 | 912 | |
Maxim Integrated Products, Inc. | 925 | 56 | |
Microchip Technology, Inc. | 826 | 87 | |
Micron Technology, Inc.(1) | 3,796 | 196 | |
Microsoft Corp. | 26,074 | 5,306 | |
Motorola Solutions, Inc. | 595 | 83 | |
NetApp, Inc. | 793 | 35 | |
NortonLifeLock, Inc. | 1,972 | 39 | |
NVIDIA Corp. | 2,095 | 796 | |
Oracle Corp. | 7,381 | 408 | |
Paychex, Inc. | 1,095 | 83 | |
Paycom Software, Inc.(1) | 167 | 52 | |
PayPal Holdings, Inc.(1) | 4,019 | 700 | |
Qorvo, Inc.(1) | 402 | 44 | |
QUALCOMM, Inc. | 3,933 | 359 | |
salesforce.com, Inc.(1) | 3,016 | 565 | |
Seagate Technology plc | 795 | 38 | |
ServiceNow, Inc.(1) | 649 | 263 | |
Skyworks Solutions, Inc. | 587 | 75 | |
Synopsys, Inc.(1) | 514 | 100 | |
TE Connectivity Ltd. | 1,167 | 95 | |
Texas Instruments, Inc. | 3,234 | 411 | |
VeriSign, Inc.(1) | 354 | 73 | |
Visa, Inc. Class A | 5,936 | 1,147 |
Shares | Value | ||
Information Technology—continued | |||
Western Digital Corp. | 1,050 | $ 46 | |
Western Union Co. (The) | 1,476 | 32 | |
Xerox Holdings Corp. | 656 | 10 | |
Xilinx, Inc. | 872 | 86 | |
Zebra Technologies Corp. Class A(1) | 187 | 48 | |
24,403 | |||
Materials—2.6% | |||
Air Products and Chemicals, Inc. | 757 | 183 | |
Albemarle Corp. | 367 | 28 | |
Amcor plc | 5,593 | 57 | |
Avery Dennison Corp. | 289 | 33 | |
Ball Corp. | 1,143 | 80 | |
Celanese Corp. | 421 | 36 | |
CF Industries Holdings, Inc. | 755 | 21 | |
Corteva, Inc. | 2,591 | 69 | |
Dow, Inc. | 2,566 | 105 | |
DuPont de Nemours, Inc. | 2,548 | 135 | |
Eastman Chemical Co. | 477 | 33 | |
Ecolab, Inc. | 858 | 171 | |
FMC Corp. | 450 | 45 | |
Freeport-McMoRan, Inc. | 5,140 | 60 | |
International Flavors & Fragrances, Inc. | 368 | 45 | |
International Paper Co. | 1,363 | 48 | |
Linde plc | 1,850 | 392 | |
LyondellBasell Industries NV Class A | 889 | 59 | |
Martin Marietta Materials, Inc. | 219 | 45 | |
Mosaic Co. (The) | 1,243 | 16 | |
Newmont Corp. | 2,880 | 178 | |
Nucor Corp. | 1,045 | 43 | |
Packaging Corporation of America | 333 | 33 | |
PPG Industries, Inc. | 817 | 87 | |
Sealed Air Corp. | 544 | 18 | |
Sherwin-Williams Co. (The) | 281 | 162 | |
Vulcan Materials Co. | 461 | 53 | |
Westrock Co. | 915 | 26 | |
2,261 | |||
Real Estate—2.6% | |||
Alexandria Real Estate Equities, Inc. | 374 | 61 | |
American Tower Corp. | 1,373 | 355 | |
Apartment Investment and Management Co. Class A | 470 | 18 | |
AvalonBay Communities, Inc. | 438 | 68 | |
Boston Properties, Inc. | 455 | 41 | |
CBRE Group, Inc. Class A(1) | 1,064 | 48 | |
Crown Castle International Corp. | 1,290 | 216 | |
Digital Realty Trust, Inc. | 803 | 114 | |
Duke Realty Corp. | 1,140 | 40 | |
Equinix, Inc. | 269 | 189 | |
Equity Residential | 1,090 | 64 | |
Essex Property Trust, Inc. | 209 | 48 | |
Extra Space Storage, Inc. | 403 | 37 | |
Federal Realty Investment Trust | 221 | 19 | |
Healthpeak Properties, Inc. | 1,527 | 42 | |
Host Hotels & Resorts, Inc. | 2,258 | 24 | |
Iron Mountain, Inc. | 892 | 23 | |
Kimco Realty Corp. | 1,344 | 17 | |
Mid-America Apartment Communities, Inc. | 357 | 41 | |
Prologis, Inc. | 2,307 | 215 | |
Public Storage | 467 | 90 | |
Realty Income Corp. | 1,048 | 62 | |
Regency Centers Corp. | 527 | 24 |
Table of Contents
Shares | Value | ||
Real Estate—continued | |||
SBA Communications, Corp. | 352 | $ 105 | |
Simon Property Group, Inc. | 990 | 68 | |
SL Green Realty Corp. | 263 | 13 | |
UDR, Inc. | 923 | 35 | |
Ventas, Inc. | 1,172 | 43 | |
Vornado Realty Trust | 500 | 19 | |
Welltower, Inc. | 1,254 | 65 | |
Weyerhaeuser Co. | 2,318 | 52 | |
2,256 | |||
Utilities—2.8% | |||
AES Corp. (The) | 2,100 | 30 | |
Alliant Energy Corp. | 750 | 36 | |
Ameren Corp. | 769 | 54 | |
American Electric Power Co., Inc. | 1,544 | 123 | |
American Water Works Co., Inc. | 560 | 72 | |
Atmos Energy Corp. | 374 | 37 | |
CenterPoint Energy, Inc. | 1,579 | 29 | |
CMS Energy Corp. | 887 | 52 | |
Consolidated Edison, Inc. | 1,029 | 74 | |
Dominion Energy, Inc. | 2,572 | 209 | |
DTE Energy Co. | 598 | 64 | |
Duke Energy Corp. | 2,285 | 183 | |
Edison International | 1,118 | 61 | |
Entergy Corp. | 625 | 59 | |
Evergy, Inc. | 716 | 42 | |
Eversource Energy | 1,002 | 83 | |
Exelon Corp. | 3,052 | 111 | |
FirstEnergy Corp. | 1,703 | 66 | |
NextEra Energy, Inc. | 1,519 | 365 | |
NiSource, Inc. | 1,173 | 27 | |
NRG Energy, Inc. | 800 | 26 | |
Pinnacle West Capital Corp. | 348 | 25 | |
PPL Corp. | 2,382 | 62 | |
Public Service Enterprise Group, Inc. | 1,586 | 78 | |
Sempra Energy | 883 | 104 | |
Southern Co. (The) | 3,278 | 170 | |
WEC Energy Group, Inc. | 983 | 86 |
Shares | Value | ||
Utilities—continued | |||
Xcel Energy, Inc. | 1,635 | $ 102 | |
2,430 | |||
Total Common Stocks (Identified Cost $62,081) | 84,871 | ||
Exchange-Traded Fund—1.0% | |||
Invesco S&P 500 High Beta ETF(2) | 22,279 | 891 | |
Total Exchange-Traded Fund (Identified Cost $896) | 891 | ||
Rights—0.0% | |||
Communication Services—0.0% | |||
T-Mobile US, Inc.(1) | 1,655 | — (3) | |
Total Rights (Identified Cost $—) | — (3) | ||
Total Long-Term Investments—99.1% (Identified Cost $62,977) | 85,762 | ||
TOTAL INVESTMENTS—99.1% (Identified Cost $62,977) | $85,762 | ||
Other assets and liabilities, net—0.9% | 790 | ||
NET ASSETS—100.0% | $86,552 |
Abbreviation: | |
ETF | Exchange-Traded Fund |
Footnote Legend: | |
(1) | Non-income producing. |
(2) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
(3) | Amount is less than $500. |
Total Value at June 30, 2020 | Level 1 Quoted Prices | ||
Assets: | |||
Equity Securities: | |||
Common Stocks | $84,871 | $84,871 | |
Rights | — (1) | — (1) | |
Exchange-Traded Fund | 891 | 891 | |
Total Investments | $85,762 | $85,762 |
(1) | Amount is less than $500. |
Table of Contents
Shares | Value | ||
Common Stocks—99.3% | |||
Communication Services—3.4% | |||
Tencent Holdings Ltd. (China) | 76,720 | $ 4,916 | |
Consumer Discretionary—15.3% | |||
adidas AG (Germany)(1) | 17,353 | 4,554 | |
Alibaba Group Holding Ltd. Sponsored ADR (China)(1) | 31,822 | 6,864 | |
Fast Retailing Co. Ltd. (Japan) | 6,059 | 3,483 | |
MercadoLibre, Inc. (Argentina)(1) | 4,153 | 4,094 | |
New Oriental Education & Technology Group, Inc. Sponsored ADR (China)(1) | 21,472 | 2,796 | |
21,791 | |||
Consumer Staples—20.0% | |||
Diageo plc (United Kingdom) | 113,770 | 3,780 | |
Fomento Economico Mexicano SAB de C.V. Sponsored ADR (Mexico) | 61,312 | 3,802 | |
Heineken NV (Netherlands) | 68,474 | 6,313 | |
L’Oreal SA (France)(1) | 16,940 | 5,437 | |
Nestle S.A. Registered Shares (Switzerland) | 40,112 | 4,434 | |
Wal-Mart de Mexico SAB de C.V. (Mexico) | 1,965,392 | 4,701 | |
28,467 | |||
Financials—16.2% | |||
AIA Group Ltd. (Hong Kong) | 759,104 | 7,104 | |
Aon plc Class A (United Kingdom) | 35,391 | 6,816 | |
HDFC Bank Ltd. ADR (India) | 139,593 | 6,346 | |
Sanlam Ltd. (South Africa) | 847,108 | 2,877 | |
23,143 | |||
Health Care—17.1% | |||
Alcon, Inc. (Switzerland)(1) | 74,527 | 4,272 | |
Novo Nordisk A/S Sponsored ADR (Denmark) | 76,749 | 5,026 | |
Shandong Weigao Group Medical Polymer Co. Ltd. Class H (China) | 2,693,564 | 6,014 | |
STERIS plc (United States) | 34,552 | 5,302 | |
Sysmex Corp. (Japan) | 49,376 | 3,790 | |
24,404 | |||
Industrials—5.2% | |||
IHS Markit Ltd. (United Kingdom) | 97,275 | 7,344 | |
Information Technology—15.5% | |||
Adyen NV (Netherlands)(1) | 3,729 | 5,427 | |
Dassault Systemes SE (France) | 26,576 | 4,586 | |
Infosys Ltd. Sponsored ADR (India) | 348,512 | 3,367 | |
SAP SE Sponsored ADR (Germany) | 39,154 | 5,482 | |
Temenos AG Registered Shares (Switzerland) | 21,063 | 3,271 | |
22,133 | |||
Shares | Value | ||
Materials—6.6% | |||
Asian Paints Ltd. (India) | 142,045 | $ 3,176 | |
Linde plc (United Kingdom) | 29,634 | 6,286 | |
9,462 | |||
Total Common Stocks (Identified Cost $132,551) | 141,660 | ||
Total Long-Term Investments—99.3% (Identified Cost $132,551) | 141,660 | ||
Short-Term Investment—0.7% | |||
Money Market Mutual Fund—0.7% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.085%)(2) | 944,988 | 945 | |
Total Short-Term Investment (Identified Cost $945) | 945 | ||
TOTAL INVESTMENTS—100.0% (Identified Cost $133,496) | $142,605 | ||
Other assets and liabilities, net—(0.0)% | (23) | ||
NET ASSETS—100.0% | $142,582 |
Abbreviation: | |
ADR | American Depositary Receipt |
Footnote Legend: | |
(1) | Non-income producing. |
(2) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Country Weightings† | |
United Kingdom | 18% |
China | 14 |
India | 9 |
Switzerland | 8 |
Netherlands | 8 |
Germany | 7 |
France | 7 |
Other | 29 |
Total | 100% |
† % of total investments as of June 30, 2020. |
Table of Contents
Total Value at June 30, 2020 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | |||
Assets: | |||||
Equity Securities: | |||||
Common Stocks | $141,660 | $113,177 | $28,483 | ||
Money Market Mutual Fund | 945 | 945 | — | ||
Total Investments | $142,605 | $114,122 | $28,483 |
Table of Contents
Par Value | Value | ||
U.S. Government Securities—5.3% | |||
U.S. Treasury Bonds | |||
2.500%, 2/15/46 | $1,484 | $ 1,837 | |
3.000%, 8/15/48 | 560 | 770 | |
1.250%, 5/15/50 | 145 | 139 | |
U.S. Treasury Notes | |||
2.250%, 3/31/21 | 285 | 289 | |
0.125%, 5/31/22 | 580 | 580 | |
2.875%, 8/15/28 | 565 | 669 | |
0.625%, 5/15/30 | 500 | 499 | |
Total U.S. Government Securities (Identified Cost $4,008) | 4,783 | ||
Municipal Bonds—2.1% | |||
California—1.0% | |||
San Diego County Regional Airport Authority Rental Car Center Project Series B - Taxable 5.594%, 7/1/43 | 275 | 288 | |
State of California, Build America Bonds Taxable 7.600%, 11/1/40 | 265 | 486 | |
University of California, Series B-A, Taxable 4.428%, 5/15/48 | 75 | 85 | |
859 | |||
Idaho—0.1% | |||
Idaho Health Facilities Authority Saint Luke’s Health System Revenue Taxable 5.020%, 3/1/48 | 90 | 115 | |
Illinois—0.0% | |||
Sales Tax Securitization Corp. Series B, Second Lien, Taxable (BAM Insured) 3.411%, 1/1/43 | 10 | 10 | |
Massachusetts—0.1% | |||
Massachusetts Bay Transportation Authority Revenue, Series A-1, Taxable 5.250%, 7/1/32 | 75 | 108 | |
Oregon—0.1% | |||
Clackamas & Washington Counties School District No. 3 Series B (SCH BD GTY Insured) 5.000%, 6/15/32 | 75 | 102 | |
Texas—0.4% | |||
Klein Independent School District (PSF-GTD Insured) 5.000%, 8/1/32 | 55 | 74 | |
State of Texas 3.011%, 10/1/26 | 200 | 216 | |
State of Texas, General Obligation Taxable 3.211%, 4/1/44 | 25 | 27 | |
Texas Transportation Commission State Highway Fund Revenue Taxable 4.000%, 10/1/33 | 25 | 31 | |
348 | |||
Virginia—0.4% | |||
City of Bristol, General Obligation Taxable 4.210%, 1/1/42 | 135 | 141 |
Par Value | Value | ||
Virginia—continued | |||
Tobacco Settlement Financing Corp. Revenue Taxable Series A-1, Taxable 6.706%, 6/1/46 | $ 195 | $ 187 | |
328 | |||
Total Municipal Bonds (Identified Cost $1,719) | 1,870 | ||
Foreign Government Securities—0.1% | |||
Bolivarian Republic of Venezuela 9.375%, 1/13/34(1) | 65 | 4 | |
United Mexican States | |||
4.750%, 3/8/44 | 54 | 57 | |
Series M 6.500%, 6/9/22 | 925 MXN | 41 | |
Total Foreign Government Securities (Identified Cost $160) | 102 | ||
Mortgage-Backed Securities—7.7% | |||
Agency—1.1% | |||
Federal National Mortgage Association | |||
Pool #254007 6.500%, 10/1/31 | 2 | 2 | |
Pool #656288 6.000%, 9/1/32 | 3 | 4 | |
Pool #835144 5.000%, 10/1/35 | 17 | 20 | |
Pool #882224 6.000%, 9/1/36 | 1 | 1 | |
Pool #914724 5.500%, 4/1/37 | 4 | 4 | |
Pool #940524 5.500%, 7/1/37 | 13 | 14 | |
Pool #949301 6.000%, 10/1/37 | 4 | 4 | |
Pool #975097 5.000%, 6/1/38 | 12 | 14 | |
Pool #929637 5.500%, 6/1/38 | 2 | 2 | |
Pool #986012 5.500%, 6/1/38 | 2 | 2 | |
Pool #994383 5.500%, 11/1/38 | 6 | 6 | |
Pool #991124 5.000%, 1/1/39 | 4 | 5 | |
Pool #994322 6.000%, 1/1/39 | 3 | 4 | |
Pool #AA4418 4.500%, 3/1/39 | 7 | 8 | |
Pool #AA4434 5.000%, 3/1/39 | 6 | 7 | |
Pool #AA4436 6.000%, 3/1/39 | 4 | 5 | |
Pool #CA4128 3.000%, 9/1/49 | 104 | 109 | |
Pool#MA3803 3.500%, 10/1/49 | 249 | 262 | |
Pool #CA4978 3.000%, 1/1/50 | 211 | 222 |
Table of Contents
Par Value | Value | ||
Agency—continued | |||
Pool#MA3905 3.000%, 1/1/50 | $ 241 | $ 254 | |
Government National Mortgage Association | |||
Pool #368053 6.500%, 11/15/23 | 7 | 8 | |
Pool #351336 6.500%, 12/15/23 | — (2) | 1 | |
Pool #385198 6.500%, 2/15/24 | 8 | 9 | |
Pool #563381 6.500%, 11/15/31 | 15 | 16 | |
Pool #581072 6.500%, 2/15/32 | 1 | 1 | |
984 | |||
Non-Agency—6.6% | |||
Ajax Mortgage Loan Trust 2019-D, A1 144A 2.956%, 9/25/65(3)(4) | 86 | 89 | |
American Homes 4 Rent Trust | |||
2015-SFR1, A 144A 3.467%, 4/17/52(3) | 100 | 107 | |
2015-SFR2, C 144A 4.691%, 10/17/52(3) | 110 | 123 | |
AMSR Trust 2020-SFR1, B 144A 2.120%, 4/17/37(3) | 100 | 101 | |
Arroyo Mortgage Trust | |||
2018-1, A1 144A 3.763%, 4/25/48(3)(4) | 57 | 58 | |
2019-1, A1 144A 3.805%, 1/25/49(3)(4) | 69 | 70 | |
Bayview Opportunity Master Fund IVa Trust 2016-SPL1, B1 144A 4.250%, 4/28/55(3) | 100 | 104 | |
Bayview Opportunity Master Fund IVb Trust 2016-SPL2, B1 144A 4.250%, 6/28/53(3)(4) | 100 | 104 | |
BX Trust | |||
2018-GW, B (1 month LIBOR + 1.020%) 144A 1.205%, 5/15/35(3)(4) | 125 | 116 | |
2019-OC11, D 144A 4.075%, 12/9/41(3)(4) | 80 | 74 | |
CIT Home Equity Loan Trust 2003-1, A5 5.480%, 7/20/34(4) | 34 | 35 | |
Citigroup Commercial Mortgage Trust | |||
2019-SST2, A (1 month LIBOR + 0.920%) 144A 1.105%, 12/15/36(3)(4) | 100 | 98 | |
2015-GC27, A4 2.878%, 2/10/48 | 80 | 84 | |
Citigroup Mortgage Loan Trust, Inc. | |||
2004-NCM2, 2CB2 6.750%, 8/25/34 | 44 | 48 | |
2014-A, A 144A 4.000%, 1/25/35(3)(4) | 21 | 22 | |
2019-IMC1, A1 144A 2.720%, 7/25/49(3)(4) | 71 | 71 | |
2015-A, A1 144A 3.500%, 6/25/58(3)(4) | 20 | 21 | |
COLT Mortgage Loan Trust Funding LLC 2018-2, A1 144A 3.470%, 7/27/48(3)(4) | 23 | 23 | |
COMM Mortgage Trust 2020-CBM, B 144A 3.099%, 2/10/37(3) | 70 | 66 |
Par Value | Value | ||
Non-Agency—continued | |||
CoreVest American Finance Trust 2020-1, A1 144A 1.832%, 3/15/50(3) | $ 99 | $ 99 | |
Credit Suisse Mortgage Capital Certificates 2019-ICE4, A (1 month LIBOR + 0.980%) 144A 1.165%, 5/15/36(3)(4) | 100 | 99 | |
Credit Suisse Mortgage Capital Trust 2013-HYB1, A16 144A 2.967%, 4/25/43(3)(4) | 8 | 8 | |
Ellington Financial Mortgage Trust 2018-1, A1FX 144A 4.140%, 10/25/58(3)(4) | 54 | 55 | |
Exantas Capital Corp. 2020-RSO8, A (1 month LIBOR + 1.150%) 144A 1.344%, 3/15/35(3)(4) | 80 | 78 | |
Galton Funding Mortgage Trust | |||
2017-1, A21 144A 3.500%, 7/25/56(3)(4) | 30 | 31 | |
2018-2, A41 144A 4.500%, 10/25/58(3)(4) | 39 | 40 | |
GCAT LLC 2019-NQM1, A1 144A 2.985%, 2/25/59(3)(4) | 71 | 72 | |
Goldman Sachs Mortgage Securities Trust 2012-ALOH, A 144A 3.551%, 4/10/34(3) | 100 | 101 | |
GS Mortgage Securities Trust 2020-GC45, AS 3.173%, 2/13/53 | 80 | 86 | |
Homeward Opportunities Fund I Trust 2019-1, A1 144A 3.454%, 1/25/59(3)(4) | 60 | 61 | |
IMC Home Equity Loan Trust 1997-5, A9 7.310%, 11/20/28 | 44 | 44 | |
JP Morgan Chase Mortgage Trust 2005-A5, 1A2 3.772%, 8/25/35(4) | 22 | 22 | |
JPMorgan Chase (Washington Mutual) Mortgage Pass-Through Certificates Trust | |||
2003-AR6, A1 3.101%, 6/25/33(4) | 24 | 23 | |
2003-AR4, 2A1 3.569%, 8/25/33(4) | 20 | 19 | |
JPMorgan Chase Commercial Mortgage Securities Trust | |||
2011-C4, A4 144A 4.388%, 7/15/46(3) | 64 | 66 | |
2015-C31, AS 4.106%, 8/15/48 | 85 | 91 | |
JPMorgan Chase Mortgage Trust | |||
2014-2, 2A2 144A 3.500%, 6/25/29(3)(4) | 53 | 54 | |
2016-SH1, M2 144A 3.750%, 4/25/45(3)(4) | 47 | 47 | |
2016-SH2, M2 144A 3.750%, 12/25/45(3)(4) | 53 | 53 | |
2017-5, A1 144A 3.138%, 10/26/48(3)(4) | 156 | 158 | |
KNDL Mortgage Trust 2019-KNSQ, A (1 month LIBOR + 0.800%) 144A 0.985%, 5/15/36(3)(4) | 100 | 98 | |
LHOME Mortgage Trust 2019-RTL1, A1 144A 4.580%, 10/25/23(3)(4) | 100 | 100 | |
MASTR Alternative Loan Trust 2003-8, 2A1 5.750%, 11/25/33 | 58 | 60 | |
MASTR Specialized Loan Trust 2005-3, A2 144A 5.704%, 11/25/35(3)(4) | 14 | 14 |
Table of Contents
Par Value | Value | ||
Non-Agency—continued | |||
Mello Warehouse Securitization Trust 2019-1, C (1 month LIBOR + 1.200%) 144A 1.385%, 6/25/52(3)(4) | $ 50 | $ 50 | |
MetLife Securitization Trust | |||
2017-1A, M1 144A 3.674%, 4/25/55(3)(4) | 100 | 103 | |
2019-1A, A1A 144A 3.750%, 4/25/58(3)(4) | 79 | 83 | |
Morgan Stanley - Bank of America (Merrill Lynch) Trust 2015-C22, AS 3.561%, 4/15/48 | 225 | 235 | |
New Residential Mortgage Loan Trust | |||
2016-2A, A1 144A 3.750%, 11/26/35(3)(4) | 104 | 111 | |
2014-1A, A 144A 3.750%, 1/25/54(3)(4) | 43 | 46 | |
2015-2A, A1 144A 3.750%, 8/25/55(3)(4) | 82 | 88 | |
2016-1A, A1 144A 3.750%, 3/25/56(3)(4) | 35 | 37 | |
2016-3A, A1 144A 3.750%, 9/25/56(3)(4) | 44 | 47 | |
2016-4A, A1 144A 3.750%, 11/25/56(3)(4) | 119 | 127 | |
2016-4A, B1A 144A 4.500%, 11/25/56(3)(4) | 86 | 96 | |
2020-1A, A1B 144A 3.500%, 10/25/59(3)(4) | 90 | 95 | |
NovaStar Mortgage Funding Trust 2004-4, M5 (1 month LIBOR + 1.725%) 1.910%, 3/25/35(4) | 42 | 42 | |
OBX Trust | |||
2018-EXP2, 1A1 144A 4.000%, 7/25/58(3)(4) | 104 | 106 | |
2019-INV1, A3 144A 4.500%, 11/25/48(3)(4) | 59 | 62 | |
One Market Plaza Trust 2017-1MKT, A 144A 3.614%, 2/10/32(3) | 100 | 105 | |
Progress Residential Trust 2018-SFR1, B 144A 3.484%, 3/17/35(3) | 110 | 111 | |
PRPM LLC 2019-1A, A1 144A 4.500%, 1/25/24(3)(4) | 69 | 70 | |
RCKT Mortgage Trust 2020-1, A1 144A 3.000%, 2/25/50(3)(4) | 97 | 100 | |
RCO V Mortgage LLC 2019-1, A1 144A 3.721%, 5/24/24(3)(4) | 84 | 85 | |
Residential Mortgage Loan Trust 2019-2, A1 144A 2.913%, 5/25/59(3)(4) | 70 | 71 | |
SG Residential Mortgage Trust 2019-3, A1 144A 2.703%, 9/25/59(3)(4) | 67 | 67 | |
Starwood Mortgage Residential Trust 2019-IMC1, A1 144A 3.468%, 2/25/49(3)(4) | 66 | 68 | |
Towd Point Mortgage Trust | |||
2015-5, A2 144A 3.500%, 5/25/55(3)(4) | 100 | 104 | |
2018-6, A2 144A 3.750%, 3/25/58(3)(4) | 110 | 111 | |
2018-SJ1, A1 144A 4.000%, 10/25/58(3)(4) | 38 | 38 | |
Towd Point Trust 2019-HE1, A1 (1 month LIBOR + 0.900%) 144A 1.085%, 4/25/48(3)(4) | 61 | 60 |
Par Value | Value | ||
Non-Agency—continued | |||
Tricon American Homes Trust | |||
2017-SFR1, A 144A 2.716%, 9/17/34(3) | $ 99 | $ 101 | |
2019-SFR1, C 144A 3.149%, 3/17/38(3) | 100 | 103 | |
TVC Mortgage Trust 2020-RTL1, A1 144A 3.474%, 9/25/24(3) | 100 | 99 | |
Vericrest Opportunity Loan Trust 2019-NPL2, A1 144A 3.967%, 2/25/49(3)(4) | 68 | 69 | |
Vericrest Opportunity Loan Trust LXXXV LLC 2020-NPL1, A1A 144A 3.228%, 1/25/50(3)(4) | 101 | 100 | |
Verus Securitization Trust | |||
2018-2, B1 144A 4.426%, 6/1/58(3)(4) | 100 | 99 | |
2018-3, A1 144A 4.108%, 10/25/58(3)(4) | 50 | 51 | |
2019-INV1, A1 144A 3.402%, 12/25/59(3)(4) | 74 | 75 | |
Wells Fargo Commercial Mortgage Trust 2014-C24, AS 3.931%, 11/15/47 | 40 | 42 | |
6,050 | |||
Total Mortgage-Backed Securities (Identified Cost $6,907) | 7,034 | ||
Asset-Backed Securities—2.9% | |||
Automobiles—1.9% | |||
ACC Trust 2019-1, A 144A 3.750%, 5/20/22(3) | 43 | 44 | |
American Credit Acceptance Receivables Trust | |||
2018-3, C 144A 3.750%, 10/15/24(3) | 86 | 86 | |
2018-4, C 144A 3.970%, 1/13/25(3) | 100 | 102 | |
2019-2, C 144A 3.170%, 6/12/25(3) | 85 | 86 | |
Capital Auto Receivables Asset Trust 2017-1, C 144A 2.700%, 9/20/22(3) | 90 | 90 | |
Centre Point Funding LLC 2012-2A, 1 144A 2.610%, 8/20/21(3) | 1 | 1 | |
Drive Auto Receivables Trust | |||
2018-4, D 4.090%, 1/15/26 | 105 | 107 | |
2019-4, C 2.510%, 11/17/25 | 85 | 86 | |
Exeter Automobile Receivables Trust | |||
2018-4A, D 144A 4.350%, 9/16/24(3) | 100 | 104 | |
2019-2A, C 144A 3.300%, 3/15/24(3) | 85 | 86 | |
2019-3A, C 144A 2.790%, 5/15/24(3) | 85 | 86 | |
Flagship Credit Auto Trust 2019-1, C 144A 3.600%, 2/18/25(3) | 55 | 57 | |
GLS Auto Receivables Issuer Trust | |||
2019-2A, B 144A 3.320%, 3/15/24(3) | 100 | 102 | |
2020-1A, B 144A 2.430%, 11/15/24(3) | 115 | 116 |
Table of Contents
Par Value | Value | ||
Automobiles—continued | |||
GLS Auto Receivables Trust 2018-3A, C 144A 4.180%, 7/15/24(3) | $ 130 | $ 135 | |
Prestige Auto Receivables Trust 2019-1A, D 144A 3.010%, 8/15/25(3) | 85 | 86 | |
Skopos Auto Receivables Trust 2019-1A, C 144A 3.630%, 9/16/24(3) | 100 | 97 | |
Tesla Auto Lease Trust 2018-B, B 144A 4.120%, 10/20/21(3) | 85 | 87 | |
Tricolor Auto Securitization Trust 2018-2A, B 144A 4.760%, 2/15/22(3) | 95 | 96 | |
Veros Automobile Receivables Trust 2018-1, B 144A 4.050%, 2/15/24(3) | 85 | 85 | |
1,739 | |||
Credit Card—0.1% | |||
Fair Square Issuance Trust 2020-AA, A 144A 2.900%, 9/20/24(3) | 100 | 100 | |
Other—0.8% | |||
Amur Equipment Finance Receivables VI LLC 2018-2A, A2 144A 3.890%, 7/20/22(3) | 67 | 69 | |
Arby’s Funding LLC 2015-1A, A2 144A 4.969%, 10/30/45(3) | 67 | 68 | |
BXG Receivables Note Trust 2012-A, A 144A 2.660%, 12/2/27(3) | 8 | 8 | |
Diamond Resorts Owner Trust 2017-1A, A 144A 3.270%, 10/22/29(3) | 28 | 28 | |
Jersey Mike’s Funding 2019-1A, A2 144A 4.433%, 2/15/50(3) | 80 | 79 | |
Lendmark Funding Trust 2019-1A, A 144A 3.000%, 12/20/27(3) | 100 | 96 | |
Mariner Finance Issuance Trust 2019-AA, A 144A 2.960%, 7/20/32(3) | 100 | 99 | |
MVW LLC 2019-2A, A 144A 2.220%, 10/20/38(3) | 85 | 85 | |
Orange Lake Timeshare Trust 2019-A, B 144A 3.360%, 4/9/38(3) | 68 | 64 | |
Prosper Marketplace Issuance Trust | |||
2018-2A, B 144A 3.960%, 10/15/24(3) | 73 | 73 | |
2019-3A, A 144A 3.190%, 7/15/25(3) | 37 | 37 | |
SoFi Consumer Loan Program LLC | |||
2016-3, A 144A 3.050%, 12/26/25(3) | 3 | 3 | |
2017-1, A 144A 3.280%, 1/26/26(3) | 7 | 7 | |
Vericrest Opportunity Loan Trust LXIV LLC 2017-NP11, A1 144A 3.375%, 10/25/47(3)(4) | 42 | 42 | |
758 | |||
Student Loan—0.1% | |||
Earnest Student Loan Program LLC 2017-A, A2 144A 2.650%, 1/25/41(3) | 26 | 27 |
Par Value | Value | ||
Student Loan—continued | |||
SoFi Professional Loan Program LLC 2016-A, A2 144A 2.760%, 12/26/36(3) | $ 23 | $ 23 | |
50 | |||
Total Asset-Backed Securities (Identified Cost $2,624) | 2,647 | ||
Corporate Bonds and Notes—11.6% | |||
Communication Services—0.5% | |||
CenturyLink, Inc. 144A 4.000%, 2/15/27(3) | 10 | 10 | |
Diamond Sports Group LLC 144A 5.375%, 8/15/26(3) | 40 | 29 | |
Level 3 Financing, Inc. 144A 4.250%, 7/1/28(3) | 65 | 65 | |
Meredith Corp. 6.875%, 2/1/26 | 40 | 33 | |
Sprint Spectrum Co. LLC 144A 4.738%, 3/20/25(3) | 200 | 217 | |
Telesat Canada 144A 4.875%, 6/1/27(3) | 30 | 29 | |
T-Mobile USA, Inc. 144A 3.875%, 4/15/30(3) | 90 | 100 | |
483 | |||
Consumer Discretionary—0.7% | |||
American Builders & Contractors Supply Co., Inc. 144A 4.000%, 1/15/28(3) | 60 | 58 | |
Aptiv Corp. 4.150%, 3/15/24 | 90 | 96 | |
Aramark Services, Inc. 144A 6.375%, 5/1/25(3) | 30 | 31 | |
Ford Motor Co. 9.000%, 4/22/25 | 57 | 62 | |
General Motors Financial Co., Inc. 4.200%, 3/1/21 | 45 | 46 | |
Hanesbrands, Inc. 144A 5.375%, 5/15/25(3) | 55 | 56 | |
International Game Technology plc 144A 5.250%, 1/15/29(3) | 5 | 5 | |
Lear Corp. 3.800%, 9/15/27 | 120 | 122 | |
M/I Homes, Inc. 4.950%, 2/1/28 | 65 | 64 | |
Marriott Ownership Resorts, Inc. 144A 6.125%, 9/15/25(3) | 20 | 20 | |
TRI Pointe Group, Inc. 5.875%, 6/15/24 | 55 | 57 | |
VF Corp. 2.400%, 4/23/25 | 42 | 44 | |
661 | |||
Consumer Staples—0.2% | |||
Albertsons Cos., Inc. 144A 4.875%, 2/15/30(3) | 40 | 41 | |
BAT Capital Corp. 4.906%, 4/2/30 | 55 | 64 |
Table of Contents
Par Value | Value | ||
Consumer Staples—continued | |||
Conagra Brands, Inc. 4.300%, 5/1/24 | $ 85 | $ 94 | |
199 | |||
Energy—0.9% | |||
Boardwalk Pipelines LP 4.950%, 12/15/24 | 65 | 70 | |
Cheniere Energy Partners LP | |||
5.625%, 10/1/26 | 35 | 35 | |
144A 4.500%, 10/1/29(3) | 30 | 29 | |
CNOOC Finance 2013 Ltd. 3.000%, 5/9/23 | 200 | 209 | |
EQM Midstream Partners LP | |||
144A 6.000%, 7/1/25(3) | 10 | 10 | |
144A 6.500%, 7/1/27(3) | 10 | 10 | |
HollyFrontier Corp. 5.875%, 4/1/26 | 100 | 111 | |
Kinder Morgan, Inc. | |||
4.300%, 6/1/25 | 45 | 50 | |
7.750%, 1/15/32 | 65 | 91 | |
Patterson-UTI Energy, Inc. 5.150%, 11/15/29 | 50 | 38 | |
Sabine Pass Liquefaction LLC 4.200%, 3/15/28 | 60 | 64 | |
Targa Resources Partners LP 5.875%, 4/15/26 | 60 | 59 | |
776 | |||
Financials—4.9% | |||
Allstate Corp. (The) Series B 5.750%, 8/15/53(5) | 145 | 150 | |
Apollo Management Holdings LP 144A 4.000%, 5/30/24(3) | 75 | 81 | |
Ares Finance Co. LLC 144A 4.000%, 10/8/24(3) | 140 | 149 | |
Athene Holding Ltd. 4.125%, 1/12/28 | 110 | 113 | |
Aviation Capital Group LLC | |||
144A 3.875%, 5/1/23(3) | 108 | 103 | |
144A 3.500%, 11/1/27(3) | 100 | 82 | |
Bank of America Corp. | |||
3.004%, 12/20/23 | 90 | 95 | |
4.200%, 8/26/24 | 175 | 194 | |
Bank of Montreal 3.803%, 12/15/32 | 156 | 168 | |
Bank of New York Mellon Corp. (The) Series G 4.700% (6) | 65 | 68 | |
Brighthouse Financial, Inc. | |||
3.700%, 6/22/27 | 39 | 40 | |
5.625%, 5/15/30 | 47 | 52 | |
Brightsphere Investment Group, Inc. 4.800%, 7/27/26 | 65 | 64 | |
Brookfield Finance, Inc. 4.000%, 4/1/24 | 92 | 100 | |
Capital One Financial Corp. 3.750%, 7/28/26 | 130 | 142 | |
Charles Schwab Corp. (The) Series G 5.375% (6) | 63 | 67 | |
Citadel LP 144A 4.875%, 1/15/27(3) | 65 | 67 | |
Citigroup, Inc. | |||
3.200%, 10/21/26 | 171 | 188 |
Par Value | Value | ||
Financials—continued | |||
(3 month LIBOR + 1.250%) 1.546%, 7/1/26(4) | $ 160 | $ 159 | |
Fairfax Financial Holdings Ltd. 4.850%, 4/17/28 | 105 | 112 | |
Goldman Sachs Group, Inc. (The) 4.250%, 10/21/25 | 195 | 220 | |
Huntington Bancshares, Inc. 7.000%, 12/15/20 | 95 | 98 | |
ICAHN Enterprises LP 6.250%, 5/15/26 | 85 | 85 | |
JPMorgan Chase & Co. 2.956%, 5/13/31 | 145 | 154 | |
Ladder Capital Finance Holdings LLLP 144A 4.250%, 2/1/27(3) | 50 | 40 | |
Liberty Mutual Group, Inc. | |||
144A 4.250%, 6/15/23(3) | 34 | 37 | |
144A 4.569%, 2/1/29(3) | 116 | 136 | |
Lincoln National Corp. (3 month LIBOR + 2.040%) 3.175%, 4/20/67(4)(5) | 55 | 36 | |
Morgan Stanley | |||
3.125%, 7/27/26 | 125 | 138 | |
6.375%, 7/24/42 | 100 | 157 | |
MSCI, Inc. 144A 4.000%, 11/15/29(3) | 46 | 47 | |
Navient Corp. | |||
6.750%, 6/25/25 | 45 | 43 | |
5.000%, 3/15/27 | 15 | 13 | |
Nuveen Finance LLC 144A 4.125%, 11/1/24(3) | 135 | 152 | |
Prudential Financial, Inc. | |||
5.875%, 9/15/42 | 100 | 106 | |
5.625%, 6/15/43(5) | 65 | 69 | |
Santander Holdings USA, Inc. | |||
3.700%, 3/28/22 | 93 | 96 | |
3.500%, 6/7/24 | 65 | 68 | |
Springleaf Finance Corp. 7.125%, 3/15/26 | 40 | 41 | |
Synchrony Financial 3.950%, 12/1/27 | 90 | 94 | |
Toronto-Dominion Bank (The) 3.625%, 9/15/31 | 95 | 106 | |
Voya Financial, Inc. 5.650%, 5/15/53 | 65 | 66 | |
Wells Fargo & Co. | |||
Series M 3.450%, 2/13/23 | 125 | 133 | |
Series S 5.900%(5)(6) | 75 | 74 | |
4,403 | |||
Health Care—0.3% | |||
Anthem, Inc. 2.875%, 9/15/29 | 65 | 70 | |
Centene Corp. 4.625%, 12/15/29 | 25 | 27 | |
HCA, Inc. | |||
5.625%, 9/1/28 | 35 | 39 | |
5.125%, 6/15/39 | 35 | 41 | |
5.250%, 6/15/49 | 50 | 60 | |
Tenet Healthcare Corp. | |||
144A 7.500%, 4/1/25(3) | 5 | 5 |
Table of Contents
Par Value | Value | ||
Health Care—continued | |||
144A 5.125%, 11/1/27(3) | $ 25 | $ 25 | |
267 | |||
Industrials—1.0% | |||
Avolon Holdings Funding Ltd. 144A 4.375%, 5/1/26(3) | 85 | 72 | |
Boeing Co. (The) | |||
5.150%, 5/1/30 | 40 | 45 | |
5.805%, 5/1/50 | 18 | 21 | |
5.930%, 5/1/60 | 18 | 21 | |
BWX Technologies, Inc. 144A 4.125%, 6/30/28(3) | 5 | 5 | |
DP World plc 144A 6.850%, 7/2/37(3) | 100 | 122 | |
Hillenbrand, Inc. 4.500%, 9/15/26 | 70 | 70 | |
Howmet Aerospace, Inc. 6.875%, 5/1/25 | 25 | 27 | |
Oshkosh Corp. 4.600%, 5/15/28 | 77 | 84 | |
Penske Truck Leasing Co., LP 144A 4.125%, 8/1/23(3) | 90 | 96 | |
Signature Aviation US Holdings, Inc. 144A 4.000%, 3/1/28(3) | 65 | 59 | |
Standard Industries, Inc. 144A 4.375%, 7/15/30(3) | 75 | 74 | |
Stanley Black & Decker, Inc. 4.000%, 3/15/60(5) | 54 | 54 | |
TransDigm, Inc. 144A 6.250%, 3/15/26(3) | 35 | 35 | |
Waste Connections, Inc. 2.600%, 2/1/30 | 70 | 74 | |
WESCO Distribution, Inc. 144A 7.250%, 6/15/28(3) | 25 | 26 | |
885 | |||
Information Technology—0.5% | |||
Citrix Systems, Inc. 3.300%, 3/1/30 | 110 | 118 | |
Flex Ltd. 3.750%, 2/1/26 | 56 | 59 | |
Hewlett Packard Enterprise Co. 4.900%, 10/15/25 | 65 | 75 | |
HP, Inc. 3.400%, 6/17/30 | 90 | 93 | |
Motorola Solutions, Inc. 4.600%, 5/23/29 | 100 | 115 | |
VMware, Inc. 4.700%, 5/15/30 | 35 | 39 | |
499 | |||
Materials—0.2% | |||
Novelis Corp. 144A 4.750%, 1/30/30(3) | 30 | 29 | |
Olin Corp. 5.625%, 8/1/29 | 80 | 73 | |
Sonoco Products Co. 3.125%, 5/1/30 | 85 | 89 | |
191 | |||
Par Value | Value | ||
Real Estate—1.4% | |||
American Campus Communities Operating Partnership LP 3.875%, 1/30/31 | $ 80 | $ 84 | |
Brixmor Operating Partnership LP 4.050%, 7/1/30 | 60 | 61 | |
Corporate Office Properties LP 3.600%, 5/15/23 | 165 | 168 | |
EPR Properties 4.750%, 12/15/26 | 120 | 114 | |
ESH Hospitality, Inc. 144A 4.625%, 10/1/27(3) | 55 | 52 | |
GLP Capital LP 5.750%, 6/1/28 | 100 | 110 | |
Healthcare Realty Trust, Inc. 3.875%, 5/1/25 | 90 | 96 | |
Healthcare Trust of America Holdings LP 3.750%, 7/1/27 | 110 | 116 | |
iStar, Inc. 4.250%, 8/1/25 | 65 | 59 | |
Life Storage LP 3.500%, 7/1/26 | 55 | 59 | |
MPT Operating Partnership LP | |||
5.000%, 10/15/27 | 35 | 36 | |
4.625%, 8/1/29 | 15 | 15 | |
Office Properties Income Trust 4.500%, 2/1/25 | 135 | 131 | |
Retail Opportunity Investments Partnership LP 4.000%, 12/15/24 | 105 | 102 | |
Service Properties Trust 4.500%, 3/15/25 | 105 | 94 | |
1,297 | |||
Utilities—1.0% | |||
American Electric Power Co., Inc. 2.300%, 3/1/30 | 78 | 79 | |
Black Hills Corp. 2.500%, 6/15/30 | 70 | 72 | |
DPL, Inc. 4.350%, 4/15/29 | 102 | 103 | |
Edison International 4.950%, 4/15/25 | 80 | 88 | |
Exelon Corp. 3.497%, 6/1/22 | 24 | 25 | |
Pennsylvania Electric Co. 144A 3.600%, 6/1/29(3) | 90 | 101 | |
PNM Resources, Inc. 3.250%, 3/9/21 | 85 | 86 | |
PSEG Power LLC 3.850%, 6/1/23 | 65 | 70 | |
Southern Power Co. 4.150%, 12/1/25 | 65 | 74 | |
Talen Energy Supply LLC 144A 6.625%, 1/15/28(3) | 40 | 39 | |
TerraForm Power Operating LLC 144A 5.000%, 1/31/28(3) | 55 | 58 | |
Texas Competitive Electric Holdings Co. 144A 11.500%, 10/1/20(3)(7) | 65 | — (2) |
Table of Contents
Par Value | Value | ||
Utilities—continued | |||
Vistra Operations Co. LLC 144A 4.300%, 7/15/29(3) | $ 85 | $ 89 | |
884 | |||
Total Corporate Bonds and Notes (Identified Cost $10,112) | 10,545 | ||
Leveraged Loans(4)—0.9% | |||
Aerospace—0.1% | |||
American Airlines, Inc. 2018 (1 month LIBOR + 1.750%) 1.934%, 6/27/25 | 64 | 45 | |
Mileage Plus Holdings, Inc. Tranche B (3 month LIBOR + 5.500%) 0.000%, 6/25/27(8) | 25 | 25 | |
TransDigm, Inc. Tranche E (1 month LIBOR + 2.250%) 2.428%, 5/30/25 | 34 | 30 | |
100 | |||
Chemicals—0.0% | |||
H.B. Fuller Co. Tranche B (1 month LIBOR + 2.000%) 2.190%, 10/21/24 | 29 | 28 | |
Energy—0.0% | |||
Paragon Offshore Finance Co. (1 month PRIME + 0.000%) 3.250%, 7/16/21(1)(7) | — (2) | — | |
Financial—0.1% | |||
Delos Finance S.a.r.l. 2018 (3 month LIBOR + 1.750%) 2.058%, 10/6/23 | 56 | 53 | |
Food / Tobacco—0.0% | |||
Aramark Services, Inc. Tranche B-4 (1 month LIBOR + 1.750%) 1.924%, 1/15/27 | 15 | 14 | |
Forest Prod / Containers—0.1% | |||
Berry Global, Inc. Tranche Y (1 month LIBOR + 2.000%) 2.177%, 7/1/26 | 35 | 33 | |
Reynolds Consumer Products LLC (1 month LIBOR + 1.750%) 1.928%, 2/4/27 | 10 | 10 | |
43 | |||
Gaming / Leisure—0.1% | |||
Aristocrat Technologies, Inc. (3 month LIBOR + 3.750%) 4.750%, 10/19/24 | 10 | 10 | |
Seminole Tribe of Florida (3 month LIBOR + 1.750%) 1.928%, 7/8/24 | 59 | 56 | |
Station Casinos LLC Tranche B-1 (1 month LIBOR + 2.250%) 2.500%, 2/8/27 | 20 | 18 | |
84 | |||
Healthcare—0.1% | |||
Bausch Health Cos., Inc. (1 month LIBOR + 3.000%) 3.190%, 6/2/25 | 4 | 4 |
Par Value | Value | ||
Healthcare—continued | |||
Elanco Animal Health, Inc. Tranche B (3 month LIBOR + 1.750%) 0.000%, 2/4/27(8) | $ 5 | $ 5 | |
IQVIA, Inc. Tranche B-3 (3 month LIBOR + 1.750%) 2.058%, 6/11/25 | 69 | 66 | |
LifePoint Health, Inc. Tranche B, First Lien (1 month LIBOR + 3.750%) 3.928%, 11/17/25 | 51 | 48 | |
123 | |||
Housing—0.1% | |||
Summit Materials LLC Tranche B (1 month LIBOR + 2.000%) 2.178%, 11/21/24 | 69 | 66 | |
Manufacturing—0.0% | |||
Gardner Denver, Inc. Tranche A (3 month LIBOR + 4.000%) 0.000%, 3/1/27(8) | 5 | 5 | |
Ingersoll-Rand Services Co. 2020, Tranche B-1 (1 month LIBOR + 1.750%) 1.928%, 2/28/27 | 5 | 4 | |
9 | |||
Media / Telecom - Broadcasting—0.1% | |||
Nexstar Broadcasting, Inc. Tranche B-4 (1 month LIBOR + 2.750%) 2.923%, 9/18/26 | 48 | 46 | |
Media / Telecom - Cable/Wireless Video—0.1% | |||
CSC Holdings LLC 2018 (1 month LIBOR + 2.250%) 2.435%, 1/15/26 | 64 | 61 | |
Telenet Financing USD LLC Tranche AR (1 month LIBOR + 2.000%) 2.185%, 4/30/28 | 65 | 61 | |
122 | |||
Media / Telecom - Telecommunications—0.0% | |||
CenturyLink, Inc. Tranche B (1 month LIBOR + 2.250%) 2.428%, 3/15/27 | 20 | 19 | |
Media / Telecom - Wireless Communications—0.1% | |||
CommScope, Inc. (1 month LIBOR + 3.250%) 3.428%, 4/4/26 | 25 | 23 | |
SBA Senior Finance II LLC Tranche B (1 month LIBOR + 1.750%) 1.930%, 4/11/25 | 39 | 38 | |
T-Mobile USA, Inc. (1 month LIBOR + 3.000%) 3.178%, 4/1/27 | 40 | 40 | |
101 | |||
Utility—0.0% | |||
Pacific Gas and Electric Co. (1 month LIBOR + 2.250%) 2.440%, 12/31/20 | 25 | 25 | |
Total Leveraged Loans (Identified Cost $885) | 833 | ||
Table of Contents
Shares | Value | ||
Convertible Preferred Stock—0.5% | |||
Information Technology—0.5% | |||
Disco Topco Holdings (Cayman) LP Class E(7)(9)(10) | 116,540 | $ 461 | |
Total Convertible Preferred Stock (Identified Cost $461) | 461 | ||
Preferred Stocks—0.4% | |||
Financials—0.3% | |||
M&T Bank Corp. Series F, 5.125%(11) | 58 (12) | 58 | |
MetLife, Inc. Series D, 5.875% | 40 (12) | 42 | |
PNC Financial Services Group, Inc. (The) Series S, 5.000% | 110 (12) | 112 | |
Truist Financial Corp. Series Q, 5.100%(5) | 70,000 (12) | 72 | |
284 | |||
Industrials—0.1% | |||
General Electric Co. Series D, 5.000% | 90 (12) | 71 | |
Total Preferred Stocks (Identified Cost $369) | 355 | ||
Common Stocks—66.6% | |||
Communication Services—11.7% | |||
Activision Blizzard, Inc. | 8,790 | 667 | |
Adevinta ASA(9) | 36,874 | 371 | |
Ascential plc | 94,362 | 339 | |
Auto Trader Group plc | 99,265 | 647 | |
carsales.com Ltd. | 18,567 | 230 | |
CTS Eventim AG & Co. KGaA(9) | 7,291 | 303 | |
Facebook, Inc. Class A(9) | 11,990 | 2,723 | |
Karnov Group AB | 55,333 | 330 | |
MarkLines Co., Ltd. | 7,100 | 148 | |
Netflix, Inc.(9) | 4,550 | 2,070 | |
New Work SE | 498 | 152 | |
Rightmove plc | 92,907 | 629 | |
Scout24 AG | 1,698 | 132 | |
Tencent Holdings Ltd. ADR | 25,780 | 1,650 | |
Yandex N.V. Class A(9) | 5,107 | 255 | |
10,646 | |||
Consumer Discretionary—14.1% | |||
Alibaba Group Holding Ltd. Sponsored ADR(9) | 11,560 | 2,493 | |
Amazon.com, Inc.(9) | 1,660 | 4,580 | |
Home Depot, Inc. (The) | 2,820 | 706 | |
Las Vegas Sands Corp. | 14,520 | 661 | |
McDonald’s Corp. | 2,860 | 528 | |
MercadoLibre, Inc.(9) | 1,080 | 1,065 | |
Mercari, Inc.(9) | 11,000 | 342 | |
NIKE, Inc. Class B | 12,270 | 1,203 | |
Ross Stores, Inc. | 7,970 | 679 | |
Trip.com Group Ltd. ADR(9) | 11,670 | 302 | |
Union Auction PCL | 910,000 | 241 | |
12,800 | |||
Consumer Staples—2.7% | |||
Cia Cervecerias Unidas SA Sponsored ADR | 11,579 | 166 | |
Estee Lauder Cos., Inc. (The) Class A | 1,300 | 245 | |
McCormick & Co., Inc. | 3,190 | 572 | |
Monster Beverage Corp.(9) | 9,710 | 673 |
Shares | Value | ||
Consumer Staples—continued | |||
Procter & Gamble Co. (The) | 6,580 | $ 787 | |
2,443 | |||
Energy—0.2% | |||
Frontera Energy Corp. | 1,088 | 3 | |
Pason Systems, Inc. | 30,826 | 168 | |
171 | |||
Financials—4.7% | |||
Bank of America Corp. | 39,160 | 930 | |
CME Group, Inc. | 2,810 | 457 | |
Gruppo Mutuionline SpA | 19,710 | 421 | |
MarketAxess Holdings, Inc. | 2,200 | 1,102 | |
Mortgage Advice Bureau Holdings Ltd. | 42,670 | 319 | |
Progressive Corp. (The) | 4,190 | 336 | |
Sabre Insurance Group plc | 68,772 | 225 | |
VNV Global AB publ(9) | 62,501 | 463 | |
4,253 | |||
Health Care—3.6% | |||
Danaher Corp. | 5,300 | 937 | |
Haw Par Corp., Ltd. | 27,300 | 193 | |
HealthEquity, Inc.(9) | 6,050 | 355 | |
Illumina, Inc.(9) | 1,330 | 493 | |
Zoetis, Inc. | 9,640 | 1,321 | |
3,299 | |||
Industrials—9.0% | |||
51job, Inc. ADR(9) | 3,625 | 260 | |
CAE, Inc. | 15,301 | 248 | |
CoStar Group, Inc.(9) | 1,520 | 1,080 | |
DSV PANALPINA A/S | 1,135 | 139 | |
Enento Group Oyj | 4,000 | 165 | |
Equifax, Inc. | 2,830 | 487 | |
Fair Isaac Corp.(9) | 1,600 | 669 | |
Haitian International Holdings Ltd. | 83,000 | 169 | |
HeadHunter Group plc ADR | 37,054 | 866 | |
JOST Werke AG(9) | 4,061 | 137 | |
Kansas City Southern | 4,620 | 690 | |
Knorr-Bremse AG | 2,203 | 223 | |
Marel HF | 59,545 | 308 | |
MTU Aero Engines AG | 935 | 162 | |
Roper Technologies, Inc. | 2,520 | 978 | |
Rotork plc | 47,455 | 165 | |
S-1 Corp. | 2,120 | 152 | |
Simplybiz Group plc (The) | 110,129 | 207 | |
Uber Technologies, Inc.(9) | 19,515 | 607 | |
Voltronic Power Technology Corp. | 14,600 | 421 | |
8,133 | |||
Information Technology—19.3% | |||
Accenture plc Class A | 3,630 | 779 | |
Admicom Oyj | 1,677 | 161 | |
Alten SA(9) | 5,639 | 485 | |
Amphenol Corp. Class A | 11,230 | 1,076 | |
Avalara, Inc.(9) | 12,960 | 1,725 | |
Bill.com Holdings, Inc.(9) | 27,685 | 2,497 | |
Bouvet ASA | 6,112 | 309 | |
FDM Group Holdings plc | 19,097 | 214 | |
Fortnox AB | 5,262 | 144 | |
Freee KK(9) | 2,600 | 118 |
Table of Contents
Shares | Value | ||
Information Technology—continued | |||
NVIDIA Corp. | 5,850 | $ 2,222 | |
Paycom Software, Inc.(9) | 6,230 | 1,930 | |
SimCorp A/S | 3,439 | 371 | |
Trade Desk, Inc. (The) Class A(9) | 4,080 | 1,659 | |
Visa, Inc. Class A | 11,280 | 2,179 | |
Webcash Corp. | 7,506 | 347 | |
Webstep AS(9) | 34,073 | 65 | |
Workday, Inc. Class A(9) | 6,420 | 1,203 | |
17,484 | |||
Materials—1.3% | |||
Corp. Moctezuma SAB de C.V. | 68,907 | 145 | |
Ecolab, Inc. | 5,080 | 1,011 | |
1,156 | |||
Total Common Stocks (Identified Cost $33,887) | 60,385 | ||
Exchange-Traded Fund—0.1% | |||
SPDR Bloomberg Barclays High Yield Bond Fund ETF(13) | 1,181 | 119 | |
Total Exchange-Traded Fund (Identified Cost $120) | 119 | ||
Rights—0.0% | |||
Utilities—0.0% | |||
Vistra Energy Corp.(7)(9) | 1,084 | 1 | |
Total Rights (Identified Cost $1) | 1 | ||
Total Long-Term Investments—98.2% (Identified Cost $61,253) | 89,135 | ||
Short-Term Investment—1.0% | |||
Money Market Mutual Fund—1.0% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.085%)(13) | 885,045 | 885 | |
Total Short-Term Investment (Identified Cost $885) | 885 | ||
TOTAL INVESTMENTS—99.2% (Identified Cost $62,138) | $90,020 | ||
Other assets and liabilities, net—0.8% | 701 | ||
NET ASSETS—100.0% | $90,721 |
Abbreviations: | |
ADR | American Depositary Receipt |
BAM | Build America Municipal Insured |
ETF | Exchange-Traded Fund |
GS | Goldman Sachs & Co. |
LIBOR | London Interbank Offered Rate |
LLC | Limited Liability Company |
LLLP | Limited Liability Limited Partnership |
LP | Limited Partnership |
MASTR | Morgan Stanley Structured Asset Security |
PSF-GTD | Permanent School Fund Guarantee Program |
SCH BD GTY | School Bond Guaranty |
SPDR | S&P Depositary Receipt |
Foreign Currencies: | |
MXN | Mexican Peso |
Footnote Legend: | |
(1) | Security in default; no interest payments are being received during the bankruptcy proceedings. |
(2) | Amount is less than $500. |
(3) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2020, these securities amounted to a value of $10,164 or 11.2% of net assets. |
(4) | Variable rate security. Rate disclosed is as of June 30, 2020. For leveraged loans, the rate shown may represent a weighted average interest rate. Information in parenthesis represents benchmark and reference rate for each security. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or, for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions. |
(5) | Interest payments may be deferred. |
(6) | No contractual maturity date. |
(7) | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the Fair Value Hierarchy table located after the Schedule of Investments. |
(8) | This loan will settle after June 30, 2020, at which time the interest rate, based on the LIBOR and the agreed upon spread on trade date, will be reflected. |
(9) | Non-income producing. |
(10) | All or a portion of the security is restricted. |
(11) | Interest may be forfeited. |
(12) | Value shown as par value. |
(13) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Country Weightings† | |
United States | 81% |
China | 5 |
United Kingdom | 3 |
Russia | 1 |
Germany | 1 |
Sweden | 1 |
Canada | 1 |
Other | 7 |
Total | 100% |
† % of total investments as of June 30, 2020. |
Table of Contents
Total Value at June 30, 2020 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Debt Securities: | |||||||
Asset-Backed Securities | $ 2,647 | $ — | $ 2,647 | $ — | |||
Corporate Bonds and Notes | 10,545 | — | 10,545 | — (1) | |||
Foreign Government Securities | 102 | — | 102 | — | |||
Leveraged Loans | 833 | — | 833 | — (2) | |||
Mortgage-Backed Securities | 7,034 | — | 7,034 | — | |||
Municipal Bonds | 1,870 | — | 1,870 | — | |||
U.S. Government Securities | 4,783 | — | 4,783 | — | |||
Equity Securities: | |||||||
Common Stocks | 60,385 | 58,265 | 2,120 | — | |||
Preferred Stocks | 355 | — | 355 | — | |||
Rights | 1 | — | — | 1 | |||
Convertible Preferred Stock | 461 | — | — | 461 | |||
Exchange-Traded Fund | 119 | 119 | — | — | |||
Money Market Mutual Fund | 885 | 885 | — | — | |||
Total Investments | $90,020 | $59,269 | $30,289 | $462 |
(1) | Amount is less than $500. |
(2) | Includes internally fair valued securities currently priced at zero ($0). |
Total | Corporate Bonds And Notes | Leveraged Loans | Mortgage-Backed Securities | Rights | Convertible Preferred Stock | ||||||
Investments in Securities | |||||||||||
Balance as of December 31, 2019: | $ 50 | $- (a) | $- (b) | $ 50 | $ - | $ - | |||||
Accrued discount/(premium) | - | - | - (a) | - | - | - | |||||
Change in unrealized appreciation (depreciation)(c) | - (a) | - | - (a) | - (a) | - | - | |||||
Purchases | 462 | - | - | - | 1 | 461 | |||||
Transfers from Level 3(d) | (50) | - | - | (50) | - | - | |||||
Balance as of June 30, 2020 | $462 | $- (a) | $- (b) | $ - | $1 | $461 |
Table of Contents
Duff & Phelps Real Estate Securities Series | KAR Capital Growth Series | KAR Small-Cap Growth Series | KAR Small-Cap Value Series | ||||
Assets | |||||||
Investment in securities at value(1) | $ 65,661 | $ 256,687 | $ 106,947 | $ 70,869 | |||
Foreign currency at value(2) | — | — | — (a) | — | |||
Cash | 287 | 808 | 2,991 | 2,619 | |||
Receivables | |||||||
Investment securities sold | 208 | — | 891 | — | |||
Series shares sold | 90 | 40 | 1 | — | |||
Dividends | 255 | 58 | 18 | 100 | |||
Prepaid Trustees’ retainer | 1 | 5 | 2 | 1 | |||
Other assets | 176 | 659 | 285 | 189 | |||
Total assets | 66,678 | 258,257 | 111,135 | 73,778 | |||
Liabilities | |||||||
Payables | |||||||
Series shares repurchased | 8 | 78 | 160 | 123 | |||
Investment securities purchased | 135 | — | — | 113 | |||
Investment advisory fees | 38 | 127 | 66 | 40 | |||
Distribution and service fees | 13 | 52 | 21 | 15 | |||
Administration and accounting fees | 6 | 22 | 10 | 7 | |||
Transfer agent fees and expenses | — (a) | — (a) | — (a) | — (a) | |||
Professional fees | 15 | 13 | 14 | 14 | |||
Trustee deferred compensation plan | 176 | 659 | 285 | 189 | |||
Interest expense and/or commitment fees | — (a) | — (a) | — (a) | — (a) | |||
Other accrued expenses | 14 | 36 | 15 | 12 | |||
Total liabilities | 405 | 987 | 571 | 513 | |||
Net Assets | $ 66,273 | $ 257,270 | $ 110,564 | $ 73,265 | |||
Net Assets Consist of: | |||||||
Capital paid in on shares of beneficial interest | $ 56,656 | $ 89,146 | $ 46,028 | $ 46,168 | |||
Accumulated earnings (loss) | 9,617 | 168,124 | 64,536 | 27,097 | |||
Net Assets | $ 66,273 | $ 257,270 | $ 110,564 | $ 73,265 | |||
Net Assets: | |||||||
Class A | $ 62,637 | $ 257,270 | $ 102,619 | $ 73,265 | |||
Class I | $ 3,636 | $ — | $ 7,945 | $ — | |||
Shares of Beneficial Interest Outstanding $1 par value, unlimited authorization: | |||||||
Class A | 3,960,843 | 6,470,049 | 2,937,346 | 4,696,424 | |||
Class I | 229,998 | — | 221,153 | — | |||
Net Asset Value Per Share: | |||||||
Class A | $ 15.81 | $ 39.76 | $ 34.94 | $ 15.60 | |||
Class I | $ 15.81 | $ — | $ 35.92 | $ — | |||
(1) Investment in securities at cost | $ 55,732 | $ 94,578 | $ 53,052 | $ 45,870 | |||
(2) Foreign currency at cost | $ — | $ — | $ —(a) | $ — | |||
(a) | Amount is less than $500. |
Table of Contents
Newfleet Multi-Sector Intermediate Bond Series | Rampart Enhanced Core Equity Series | SGA International Growth Series | Strategic Allocation Series | ||||
Assets | |||||||
Investment in securities at value(1) | $ 109,005 | $ 85,762 | $ 142,605 | $ 90,020 | |||
Foreign currency at value(2) | — | — | — (a) | — | |||
Cash | 331 | 814 | — | 549 | |||
Receivables | |||||||
Investment securities sold | 1,442 | — | — | 148 | |||
Series shares sold | 69 | 18 | — | 45 | |||
Dividends and interest | 997 | 67 | 33 | 206 | |||
Tax reclaims | — | — | 129 | 5 | |||
Prepaid Trustees’ retainer | 2 | 2 | 3 | 2 | |||
Other assets | 289 | 226 | 367 | 234 | |||
Total assets | 112,135 | 86,889 | 143,137 | 91,209 | |||
Liabilities | |||||||
Payables | |||||||
Series shares repurchased | 113 | 14 | 53 | 91 | |||
Investment securities purchased | 1,228 | — | — | 65 | |||
Investment advisory fees | 46 | 39 | 84 | 39 | |||
Distribution and service fees | 23 | 18 | 29 | 19 | |||
Administration and accounting fees | 10 | 8 | 13 | 8 | |||
Transfer agent fees and expenses | — (a) | — (a) | — (a) | — (a) | |||
Professional fees | 17 | 15 | — | 18 | |||
Trustee deferred compensation plan | 289 | 226 | 367 | 234 | |||
Interest expense and/or commitment fees | — (a) | — (a) | — (a) | 1 | |||
Other accrued expenses | 24 | 17 | 9 | 13 | |||
Total liabilities | 1,750 | 337 | 555 | 488 | |||
Net Assets | $ 110,385 | $ 86,552 | $ 142,582 | $ 90,721 | |||
Net Assets Consist of: | |||||||
Capital paid in on shares of beneficial interest | $ 115,225 | $ 72,452 | $ 134,942 | $ 61,330 | |||
Accumulated earnings (loss) | (4,840) | 14,100 | 7,640 | 29,391 | |||
Net Assets | $ 110,385 | $ 86,552 | $ 142,582 | $ 90,721 | |||
Net Assets: | |||||||
Class A | $ 109,953 | $ 86,552 | $ 142,482 | $ 90,721 | |||
Class I | $ 432 | $ — | $ 100 | $ — | |||
Shares of Beneficial Interest Outstanding $1 par value, unlimited authorization: | |||||||
Class A | 11,934,171 | 6,955,916 | 11,942,188 | 6,067,134 | |||
Class I | 46,920 | — | 8,410 | — | |||
Net Asset Value Per Share: | |||||||
Class A | $ 9.21 | $ 12.44 | $ 11.93 | $ 14.95 | |||
Class I | $ 9.20 | $ — | $ 11.92 | $ — | |||
(1) Investment in securities at cost | $ 110,388 | $ 62,977 | $ 133,496 | $ 62,138 | |||
(2) Foreign currency at cost | $ — | $ — | $ —(a) | $ — | |||
(a) | Amount is less than $500. |
Table of Contents
Duff & Phelps Real Estate Securities Series | KAR Capital Growth Series | KAR Small-Cap Growth Series | KAR Small-Cap Value Series | ||||
Investment Income | |||||||
Dividends | $ 1,163 | $ 724 | $ 32 | $ 609 | |||
Security lending, net of fees | — | — | — (1) | — | |||
Foreign taxes withheld | — | — | — | (1) | |||
Total investment income | 1,163 | 724 | 32 | 608 | |||
Expenses | |||||||
Investment advisory fees | 259 | 800 | 416 | 309 | |||
Distribution and service fees, Class A | 83 | 286 | 114 | 86 | |||
Administration and accounting fees | 40 | 123 | 55 | 40 | |||
Transfer agent fees and expenses | — (1) | — (1) | — (1) | — (1) | |||
Custodian fees | — (1) | — (1) | — (1) | — (1) | |||
Printing fees and expenses | 9 | 27 | 12 | 8 | |||
Professional fees | 13 | 13 | 12 | 12 | |||
Interest expense and/or commitment fees | — (1) | 1 | — (1) | — (1) | |||
Trustees’ fees and expenses | 3 | 10 | 5 | 3 | |||
Miscellaneous expenses | 3 | 8 | 5 | 2 | |||
Total expenses | 410 | 1,268 | 619 | 460 | |||
Less net expenses reimbursed and/or waived by investment adviser(2) | (20) | (87) | (59) | (82) | |||
Net expenses | 390 | 1,181 | 560 | 378 | |||
Net investment income (loss) | 773 | (457) | (528) | 230 | |||
Net Realized and Unrealized Gain (Loss) on Investments | |||||||
Net realized gain (loss) from: | |||||||
Investments | (404) | 7,226 | 11,327 | 2,173 | |||
Foreign currency transactions | — | — | (3) | — | |||
Net change in unrealized appreciation (depreciation) on: | |||||||
Investments | (11,300) | 29,539 | 72 | (2,400) | |||
Net realized and unrealized gain (loss) on investments | (11,704) | 36,765 | 11,396 | (227) | |||
Net increase (decrease) in net assets resulting from operations | $(10,931) | $36,308 | $10,868 | $ 3 |
(1) | Amount is less than $500. |
(2) | See Note 4D in the Notes to Financial Statements. |
Table of Contents
Newfleet Multi-Sector Intermediate Bond Series | Rampart Enhanced Core Equity Series | SGA International Growth Series | Strategic Allocation Series | ||||
Investment Income | |||||||
Dividends | $ 22 | $ 849 | $ 894 | $ 234 | |||
Interest | 2,572 | — | — | 518 | |||
Security lending, net of fees | 5 | — | 1 | — (1) | |||
Foreign taxes withheld | — (1) | — | (93) | (12) | |||
Total investment income | 2,599 | 849 | 802 | 740 | |||
Expenses | |||||||
Investment advisory fees | 278 | 300 | 506 | 233 | |||
Distribution and service fees, Class A | 138 | 107 | 170 | 106 | |||
Administration and accounting fees | 62 | 49 | 74 | 48 | |||
Transfer agent fees and expenses | — (1) | — (1) | — (1) | — (1) | |||
Custodian fees | 2 | 2 | 2 | 2 | |||
Printing fees and expenses | 16 | 11 | 17 | 11 | |||
Professional fees | 15 | 13 | 17 | 16 | |||
Interest expense and/or commitment fees | — (1) | — (1) | — (1) | — (1) | |||
Trustees’ fees and expenses | 5 | 4 | 6 | 4 | |||
Miscellaneous expenses | 3 | 2 | 4 | 4 | |||
Total expenses | 519 | 488 | 796 | 424 | |||
Less net expenses reimbursed and/or waived by investment adviser(2) | — | (67) | (13) | (8) | |||
Plus net expenses recaptured(2) | 3 | — | — | — | |||
Net expenses | 522 | 421 | 783 | 416 | |||
Net investment income (loss) | 2,077 | 428 | 19 | 324 | |||
Net Realized and Unrealized Gain (Loss) on Investments | |||||||
Net realized gain (loss) from: | |||||||
Investments | (251) | 3,831 | 2,242 | 1,580 | |||
Foreign currency transactions | (114) | — | (30) | (3) | |||
Written options | — | (5,536) | — | — | |||
Net change in unrealized appreciation (depreciation) on: | |||||||
Investments | (2,947) | (3,971) | (1,689) | 5,688 | |||
Foreign currency transactions | — (1) | — | 4 | — (1) | |||
Written options | — | (30) | — | — | |||
Net realized and unrealized gain (loss) on investments | (3,312) | (5,706) | 527 | 7,265 | |||
Net increase (decrease) in net assets resulting from operations | $(1,235) | $(5,278) | $ 546 | $7,589 |
(1) | Amount is less than $500. |
(2) | See Note 4D in the Notes to Financial Statements. |
Table of Contents
Duff & Phelps Real Estate Securities Series | KAR Capital Growth Series | ||||||
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | ||||
Increase (Decrease) in Net Assets From Operations | |||||||
Net investment income (loss) | $ 773 | $ 1,168 | $ (457) | $ (537) | |||
Net realized gain (loss) | (404) | 8,025 | 7,226 | 8,697 | |||
Net change in unrealized appreciation (depreciation) | (11,300) | 8,132 | 29,539 | 63,554 | |||
Increase (decrease) in net assets resulting from operations | (10,931) | 17,325 | 36,308 | 71,714 | |||
Dividends and Distributions to Shareholders | |||||||
Net Investment Income and Net Realized Gains: | |||||||
Class A | (852) | (8,680) | (1,871) | (8,813) | |||
Class I | (49) | (224) | — | — | |||
Total Dividends and Distributions to Shareholders | (901) | (8,904) | (1,871) | (8,813) | |||
Change in Net Assets from Capital Transactions (See Note 6): | |||||||
Class A | (2,964) | 3,175 | (10,001) | (17,227) | |||
Class I | 1,852 | 2,049 | — | — | |||
Increase (decrease) in net assets from capital transactions | (1,112) | 5,224 | (10,001) | (17,227) | |||
Net increase (decrease) in net assets | (12,944) | 13,645 | 24,436 | 45,674 | |||
Net Assets | |||||||
Beginning of period | 79,217 | 65,572 | 232,834 | 187,160 | |||
End of Period | $ 66,273 | $ 79,217 | $ 257,270 | $ 232,834 |
Table of Contents
KAR Small-Cap Growth Series | KAR Small-Cap Value Series | ||||||
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | ||||
Increase (Decrease) in Net Assets From Operations | |||||||
Net investment income (loss) | $ (528) | $ (480) | $ 230 | $ 555 | |||
Net realized gain (loss) | 11,324 | 13,426 | 2,173 | 2,648 | |||
Net change in unrealized appreciation (depreciation) | 72 | 17,540 | (2,400) | 13,275 | |||
Increase (decrease) in net assets resulting from operations | 10,868 | 30,486 | 3 | 16,478 | |||
Dividends and Distributions to Shareholders | |||||||
Net Investment Income and Net Realized Gains: | |||||||
Class A | (109) | (13,810) | (1,107) | (1,794) | |||
Class I | (8) | (892) | — | — | |||
Total Dividends and Distributions to Shareholders | (117) | (14,702) | (1,107) | (1,794) | |||
Change in Net Assets from Capital Transactions (See Note 6): | |||||||
Class A | (4,305) | 1,572 | (2,902) | (7,274) | |||
Class I | 503 | 2,285 | — | — | |||
Increase (decrease) in net assets from capital transactions | (3,802) | 3,857 | (2,902) | (7,274) | |||
Net increase (decrease) in net assets | 6,949 | 19,641 | (4,006) | 7,410 | |||
Net Assets | |||||||
Beginning of period | 103,615 | 83,974 | 77,271 | 69,861 | |||
End of Period | $ 110,564 | $ 103,615 | $ 73,265 | $ 77,271 |
Table of Contents
Newfleet Multi-Sector Intermediate Bond Series | Rampart Enhanced Core Equity Series | ||||||
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | ||||
Increase (Decrease) in Net Assets From Operations | |||||||
Net investment income (loss) | $ 2,077 | $ 4,685 | $ 428 | $ 932 | |||
Net realized gain (loss) | (365) | (931) | (1,705) | 426 | |||
Net increase from payment by affiliate | — | 2 | — | — | |||
Net change in unrealized appreciation (depreciation) | (2,947) | 8,032 | (4,001) | 21,859 | |||
Increase (decrease) in net assets resulting from operations | (1,235) | 11,788 | (5,278) | 23,217 | |||
Dividends and Distributions to Shareholders | |||||||
Net Investment Income and Net Realized Gains: | |||||||
Class A | (23) | (4,273) | (13) | (1,109) | |||
Class I | (—) (1) | (37) | — | — | |||
Total Dividends and Distributions to Shareholders | (23) | (4,310) | (13) | (1,109) | |||
Change in Net Assets from Capital Transactions (See Note 6): | |||||||
Class A | (5,710) | (5,909) | (5,342) | (10,768) | |||
Class I | (502) | 201 | — | — | |||
Increase (decrease) in net assets from capital transactions | (6,212) | (5,708) | (5,342) | (10,768) | |||
Net increase (decrease) in net assets | (7,470) | 1,770 | (10,633) | 11,340 | |||
Net Assets | |||||||
Beginning of period | 117,855 | 116,085 | 97,185 | 85,845 | |||
End of Period | $ 110,385 | $ 117,855 | $ 86,552 | $ 97,185 |
(1) | Amount is less than $500. |
Table of Contents
SGA International Growth Series | Strategic Allocation Series | ||||||
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | ||||
Increase (Decrease) in Net Assets From Operations | |||||||
Net investment income (loss) | $ 19 | $ 1,578 | $ 324 | $ 1,052 | |||
Net realized gain (loss) | 2,212 | 7,025 | 1,577 | 1,758 | |||
Net change in unrealized appreciation (depreciation) | (1,685) | 16,044 | 5,688 | 16,841 | |||
Increase (decrease) in net assets resulting from operations | 546 | 24,647 | 7,589 | 19,651 | |||
Dividends and Distributions to Shareholders | |||||||
Net Investment Income and Net Realized Gains: | |||||||
Class A | — | (1,216) | (537) | (2,202) | |||
Class I | — | (1) | — | — | |||
Total Dividends and Distributions to Shareholders | — | (1,217) | (537) | (2,202) | |||
Change in Net Assets from Capital Transactions (See Note 6): | |||||||
Class A | (6,064) | (12,977) | (4,233) | (9,083) | |||
Class I | — | 1 | — | — | |||
Increase (decrease) in net assets from capital transactions | (6,064) | (12,976) | (4,233) | (9,083) | |||
Net increase (decrease) in net assets | (5,518) | 10,454 | 2,819 | 8,366 | |||
Net Assets | |||||||
Beginning of period | 148,100 | 137,646 | 87,902 | 79,536 | |||
End of Period | $ 142,582 | $ 148,100 | $ 90,721 | $ 87,902 |
Table of Contents
THROUGHOUT EACH PERIOD
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total from Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Gains | Total Distributions | Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2)(3) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(4)(5) | Ratio of Gross Expenses to Average Net Assets(4)(5) | Ratio of Net Investment Income (Loss) to Average Net Assets(4) | Portfolio Turnover Rate(2) | ||
Duff & Phelps Real Estate Securities Series | ||||||||||||||||
Class A | ||||||||||||||||
1/1/20 to 6/30/20(6) | $18.54 | 0.18 | (2.69) | (2.51) | (0.01) | (0.21) | (0.22) | (2.73) | $15.81 | (13.63) % | $ 62,637 | 1.14 % | 1.20 % | 2.21 % | 16 % | |
1/1/19 to 12/31/19 | 16.40 | 0.30 | 4.20 | 4.50 | (0.34) | (2.02) | (2.36) | 2.14 | 18.54 | 27.42 | 77,044 | 1.16 (7) | 1.20 | 1.57 | 44 | |
1/1/18 to 12/31/18 | 19.23 | 0.28 | (1.41) | (1.13) | (0.30) | (1.40) | (1.70) | (2.83) | 16.40 | (6.53) | 65,357 | 1.16 | 1.19 | 1.54 | 20 | |
1/1/17 to 12/31/17 | 20.31 | 0.25 | 0.92 | 1.17 | (0.29) | (1.96) | (2.25) | (1.08) | 19.23 | 5.97 | 77,564 | 1.16 | 1.21 | 1.24 | 24 | |
1/1/16 to 12/31/16 | 22.85 | 0.34 | 1.17 | 1.51 | (0.43) | (3.62) | (4.05) | (2.54) | 20.31 | 6.82 (8) | 81,243 | 1.17 (8)(9) | 1.25 | 1.42 (8) | 35 | |
1/1/15 to 12/31/15 | 27.05 | 0.44 | 0.17 | 0.61 | (0.37) | (4.44) | (4.81) | (4.20) | 22.85 | 2.38 | 87,899 | 1.18 (9) | 1.29 | 1.64 | 18 | |
Class I | ||||||||||||||||
1/1/20 to 6/30/20(6) | $18.51 | 0.22 | (2.70) | (2.48) | (0.01) | (0.21) | (0.22) | (2.70) | $15.81 | (13.48) % | $ 3,636 | 0.89 % | 0.95 % | 2.78 % | 16 % | |
1/1/19 to 12/31/19 | 16.35 | 0.40 | 4.14 | 4.54 | (0.36) | (2.02) | (2.38) | 2.16 | 18.51 | 27.78 | 2,173 | 0.91 (7) | 0.95 | 2.04 | 44 | |
1/1/18 to 12/31/18 | 19.19 | 0.34 | (1.43) | (1.09) | (0.35) | (1.40) | (1.75) | (2.84) | 16.35 | (6.36) | 215 | 0.91 | 0.94 | 1.85 | 20 | |
1/1/17 to 12/31/17 | 20.27 | 0.30 | 0.93 | 1.23 | (0.35) | (1.96) | (2.31) | (1.08) | 19.19 | 6.25 | 207 | 0.91 | 0.96 | 1.49 | 24 | |
1/1/16 to 12/31/16 | 22.81 | 0.35 | 1.22 | 1.57 | (0.49) | (3.62) | (4.11) | (2.54) | 20.27 | 7.10 (8) | 199 | 0.92 (8)(9) | 1.00 | 1.46 (8) | 35 | |
1/1/15 to 12/31/15 | 27.02 | 0.48 | 0.19 | 0.67 | (0.44) | (4.44) | (4.88) | (4.21) | 22.81 | 2.62 | 158 | 0.94 (9) | 1.05 | 1.79 | 18 | |
KAR Capital Growth Series | ||||||||||||||||
Class A | ||||||||||||||||
1/1/20 to 6/30/20(6) | $34.44 | (0.07) | 5.68 | 5.61 | — | (0.29) | (0.29) | 5.32 | $39.76 | 16.31 % | $257,270 | 1.03 % | 1.11 % | (0.40) % | 3 % | |
1/1/19 to 12/31/19 | 25.62 | (0.08) | 10.22 | 10.14 | — | (1.32) | (1.32) | 8.82 | 34.44 | 39.87 | 232,834 | 1.03 | 1.11 | (0.24) | 9 | |
1/1/18 to 12/31/18 | 31.40 | (0.09) | (1.92) | (2.01) | — | (3.77) | (3.77) | (5.78) | 25.62 | (7.25) | 187,160 | 1.03 | 1.11 | (0.28) | 15 | |
1/1/17 to 12/31/17 | 24.09 | (0.05) | 8.75 | 8.70 | — | (1.39) | (1.39) | 7.31 | 31.40 | 36.07 | 224,253 | 1.03 | 1.13 | (0.16) | 21 | |
1/1/16 to 12/31/16 | 24.91 | — (10) | (0.22) | (0.22) | (0.60) | — | (0.60) | (0.82) | 24.09 | (0.86) (8) | 185,519 | 1.04 (8)(9) | 1.18 | (0.10) (8) | 23 | |
1/1/15 to 12/31/15 | 22.79 | (0.01) | 2.13 | 2.12 | — | — | — | 2.12 | 24.91 | 9.26 | 210,094 | 1.04 (9) | 1.21 | (0.04) | 19 | |
KAR Small-Cap Growth Series | ||||||||||||||||
Class A | ||||||||||||||||
1/1/20 to 6/30/20(6) | $31.48 | (0.17) | 3.67 | 3.50 | — | (0.04) | (0.04) | 3.46 | $34.94 | 11.11 % | $102,619 | 1.16 % | 1.28 % | (1.09) % | 13 % | |
1/1/19 to 12/31/19 | 26.70 | (0.16) | 10.00 | 9.84 | — | (5.06) | (5.06) | 4.78 | 31.48 | 37.31 | 96,996 | 1.19 (7) | 1.28 | (0.49) | 11 | |
1/1/18 to 12/31/18 | 28.66 | (0.03) | 3.66 | 3.63 | — | (5.59) | (5.59) | (1.96) | 26.70 | 11.66 | 80,309 | 1.19 | 1.27 | (0.10) | 20 | |
1/1/17 to 12/31/17 | 21.61 | (0.12) | 8.93 | 8.81 | — | (1.76) | (1.76) | 7.05 | 28.66 | 40.85 | 79,597 | 1.19 | 1.30 | (0.49) | 18 | |
1/1/16 to 12/31/16 | 18.75 | (0.06) | 4.85 | 4.79 | — | (1.93) | (1.93) | 2.86 | 21.61 | 25.92 (8) | 63,008 | 1.20 (8)(9) | 1.37 | (0.37) (8) | 18 | |
1/1/15 to 12/31/15 | 20.73 | (0.04) | 0.23 | 0.19 | — | (2.17) | (2.17) | (1.98) | 18.75 | 0.73 | 55,872 | 1.20 (9) | 1.41 | (0.17) | 18 | |
Class I | ||||||||||||||||
1/1/20 to 6/30/20(6) | $32.33 | (0.13) | 3.76 | 3.63 | — | (0.04) | (0.04) | 3.59 | $35.92 | 11.22 % | $ 7,945 | 0.91 % | 1.03 % | (0.85) % | 13 % | |
1/1/19 to 12/31/19 | 27.25 | (0.08) | 10.22 | 10.14 | — | (5.06) | (5.06) | 5.08 | 32.33 | 37.66 | 6,619 | 0.94 (7) | 1.03 | (0.25) | 11 | |
1/1/18 to 12/31/18 | 29.08 | 0.04 | 3.72 | 3.76 | — | (5.59) | (5.59) | (1.83) | 27.25 | 11.95 | 3,665 | 0.94 | 1.03 | 0.12 | 20 | |
1/1/17 to 12/31/17 | 21.86 | (0.06) | 9.04 | 8.98 | — | (1.76) | (1.76) | 7.22 | 29.08 | 41.16 | 1,858 | 0.94 | 1.05 | (0.24) | 18 | |
1/1/16 to 12/31/16 | 18.90 | 0.01 | 4.88 | 4.89 | — | (1.93) | (1.93) | 2.96 | 21.86 | 26.25 (8) | 353 | 0.95 (8)(9) | 1.12 | (0.10) (8) | 18 | |
1/1/15 to 12/31/15 | 20.82 | — (10) | 0.25 | 0.25 | — | (2.17) | (2.17) | (1.92) | 18.90 | 1.01 | 179 | 0.96 (9) | 1.17 | (0.02) | 18 |
Table of Contents
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total from Investment Operations | Dividends from Net Investment Income | Return of Capital | Distributions from Net Realized Gains | Total Distributions | Payment from Affiliate | Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2)(3) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(4)(5) | Ratio of Gross Expenses to Average Net Assets(4)(5) | Ratio of Net Investment Income (Loss) to Average Net Assets(4) | Portfolio Turnover Rate(2) | ||
KAR Small-Cap Value Series | ||||||||||||||||||
Class A | ||||||||||||||||||
1/1/20 to 6/30/20(6) | $15.78 | 0.05 | 0.01 | 0.06 | — | — | (0.24) | (0.24) | — | (0.18) | $15.60 | 0.34 % | $ 73,265 | 1.10 % | 1.34 % | 0.67 % | 13 % | |
1/1/19 to 12/31/19 | 12.96 | 0.11 | 3.08 | 3.19 | (0.15) | — | (0.22) | (0.37) | — | 2.82 | 15.78 | 24.63 | 77,271 | 1.10 | 1.34 | 0.73 | 8 | |
1/1/18 to 12/31/18 | 17.36 | 0.12 | (2.72) | (2.60) | (0.15) | — | (1.65) | (1.80) | — | (4.40) | 12.96 | (15.88) | 69,861 | 1.19 (7) | 1.33 | 0.74 | 11 | |
1/1/17 to 12/31/17 | 16.69 | 0.05 | 3.23 | 3.28 | (0.12) | — | (2.49) | (2.61) | — | 0.67 | 17.36 | 20.16 | 94,638 | 1.20 | 1.34 | 0.26 | 20 | |
1/1/16 to 12/31/16 | 15.17 | 0.32 | 3.66 | 3.98 | (0.34) | — | (2.12) | (2.46) | — | 1.52 | 16.69 | 26.54 (8) | 94,966 | 1.21 (8)(9) | 1.40 | 1.85 (8) | 22 | |
1/1/15 to 12/31/15 | 17.03 | 0.09 | (0.29) | (0.20) | (0.09) | — | (1.57) | (1.66) | — | (1.86) | 15.17 | (1.37) | 92,834 | 1.22 (9) | 1.43 | 0.56 | 16 | |
Newfleet Multi-Sector Intermediate Bond Series | ||||||||||||||||||
Class A | ||||||||||||||||||
1/1/20 to 6/30/20(6) | $ 9.28 | 0.17 | (0.24) | (0.07) | — (10) | — | — | — (10) | — | (0.07) | $ 9.21 | (0.73) % | $109,953 | 0.94 % (11)(12) | 0.93 % | 3.73 % | 49 % | |
1/1/19 to 12/31/19 | 8.72 | 0.37 | 0.54 | 0.91 | (0.35) | — | — | (0.35) | — (10) | 0.56 | 9.28 | 10.47 (13) | 116,901 | 0.94 (11)(12) | 0.93 | 3.98 | 66 | |
1/1/18 to 12/31/18 | 9.34 | 0.39 | (0.64) | (0.25) | (0.37) | — | — | (0.37) | — | (0.62) | 8.72 | (2.66) | 115,379 | 0.93 | 0.93 | 4.23 | 64 | |
1/1/17 to 12/31/17 | 9.14 | 0.41 | 0.20 | 0.61 | (0.41) | — | — | (0.41) | — | 0.20 | 9.34 | 6.72 | 133,430 | 0.93 | 0.96 | 4.35 | 62 | |
1/1/16 to 12/31/16 | 8.75 | 0.44 | 0.37 | 0.81 | (0.42) | — | — | (0.42) | — | 0.39 | 9.14 | 9.29 (8) | 128,969 | 0.94 (8)(9) | 1.00 | 4.82 (8) | 68 | |
1/1/15 to 12/31/15 | 9.25 | 0.45 | (0.56) | (0.11) | (0.39) | — | — | (0.39) | — (10) | (0.50) | 8.75 | (1.26) (13) | 134,558 | 0.95 (9) | 1.03 | 4.89 | 55 | |
Class I | ||||||||||||||||||
1/1/20 to 6/30/20(6) | $ 9.27 | 0.18 | (0.25) | (0.07) | — (10) | — | — | — (10) | — | (0.07) | $ 9.20 | (0.73) % | $ 432 | 0.69 % (11)(12) | 0.68 % | 3.99 % | 49 % | |
1/1/19 to 12/31/19 | 8.70 | 0.39 | 0.55 | 0.94 | (0.37) | — | — | (0.37) | — (10) | 0.57 | 9.27 | 10.89 (13) | 954 | 0.69 (11)(12) | 0.68 | 4.22 | 66 | |
1/1/18 to 12/31/18 | 9.32 | 0.41 | (0.63) | (0.22) | (0.40) | — | — | (0.40) | — | (0.62) | 8.70 | (2.41) | 706 | 0.68 | 0.68 | 4.46 | 64 | |
1/1/17 to 12/31/17 | 9.12 | 0.43 | 0.20 | 0.63 | (0.43) | — | — | (0.43) | — | 0.20 | 9.32 | 7.00 | 1,378 | 0.68 | 0.70 | 4.54 | 62 | |
1/1/16 to 12/31/16 | 8.74 | 0.47 | 0.35 | 0.82 | (0.44) | — | — | (0.44) | — | 0.38 | 9.12 | 9.46 (8) | 242 | 0.69 (8)(9) | 0.75 | 5.08 (8) | 68 | |
1/1/15 to 12/31/15 | 9.24 | 0.47 | (0.56) | (0.09) | (0.41) | — | — | (0.41) | — (10) | (0.50) | 8.74 | (1.00) (13) | 213 | 0.70 (9) | 0.78 | 5.11 | 55 | |
Rampart Enhanced Core Equity Series | ||||||||||||||||||
Class A | ||||||||||||||||||
1/1/20 to 6/30/20(6) | $13.15 | 0.06 | (0.77) | (0.71) | — (10) | — | — | — (10) | — | (0.71) | $12.44 | (5.39) % | $ 86,552 | 0.98 % | 1.14 % | 1.00 % | 14 % | |
1/1/19 to 12/31/19 | 10.34 | 0.12 | 2.84 | 2.96 | (0.15) | — | — | (0.15) | — | 2.81 | 13.15 | 28.67 | 97,185 | 0.98 | 1.13 | 1.00 | 27 | |
1/1/18 to 12/31/18 | 12.00 | 0.11 | (1.65) | (1.54) | (0.12) | — | — | (0.12) | — | (1.66) | 10.34 | (12.86) | 85,845 | 0.98 | 1.14 | 0.97 | 26 | |
1/1/17 to 12/31/17 | 11.97 | 0.12 | 2.58 | 2.70 | (0.21) | (0.07) | (2.39) | (2.67) | — | 0.03 | 12.00 | 22.96 | 111,386 | 0.98 | 1.16 | 0.96 | 241 | |
1/1/16 to 12/31/16 | 13.67 | 0.25 | 1.01 | 1.26 | (0.18) | — | (2.78) | (2.96) | — | (1.70) | 11.97 | 9.41 (8) | 104,587 | 0.99 (8)(9) | 1.20 | 1.41 (8) | 241 (14) | |
1/1/15 to 12/31/15 | 16.91 | 0.13 | (1.55) | (1.42) | (0.14) | — | (1.68) | (1.82) | — | (3.24) | 13.67 | (8.91) | 109,913 | 0.99 (9) | 1.23 | 0.83 | 94 |
Table of Contents
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total from Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Gains | Total Distributions | Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2)(3) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(4)(5) | Ratio of Gross Expenses to Average Net Assets(4)(5) | Ratio of Net Investment Income (Loss) to Average Net Assets(4) | Portfolio Turnover Rate(2) | ||
SGA International Growth Series | ||||||||||||||||
Class A | ||||||||||||||||
1/1/20 to 6/30/20(6) | $11.86 | — (10) | 0.07 | 0.07 | — | — | — | 0.07 | $11.93 | 0.59 % | $142,482 | 1.16 % | 1.18 % | 0.03 % | 19 % | |
1/1/19 to 12/31/19 | 10.09 | 0.12 | 1.75 | 1.87 | (0.10) | — | (0.10) | 1.77 | 11.86 | 18.54 | 148,000 | 1.20 (7)(9) | 1.21 | 1.08 | 140 (14) | |
1/1/18 to 12/31/18 | 12.50 | 0.24 | (2.29) | (2.05) | (0.36) | — | (0.36) | (2.41) | 10.09 | (16.67) | 137,562 | 1.18 (12) | 1.17 | 1.97 | 40 | |
1/1/17 to 12/31/17 | 10.95 | 0.15 | 1.59 | 1.74 | (0.19) | — | (0.19) | 1.55 | 12.50 | 15.95 | 183,403 | 1.18 | 1.21 | 1.24 | 81 | |
1/1/16 to 12/31/16 | 14.01 | 0.08 | (0.44) | (0.36) | (0.09) | (2.61) | (2.70) | (3.06) | 10.95 | (1.61) (8) | 177,868 | 1.18 (8)(9) | 1.26 | 0.62 (8) | 83 | |
1/1/15 to 12/31/15 | 16.67 | 0.35 | (2.04) | (1.69) | (0.37) | (0.60) | (0.97) | (2.66) | 14.01 | (10.48) | 209,990 | 1.19 (9) | 1.30 | 2.16 | 104 | |
Class I | ||||||||||||||||
1/1/20 to 6/30/20(6) | $11.83 | 0.02 | 0.07 | 0.09 | — | — | — | 0.09 | $11.92 | 0.76 % | $ 100 | 0.91 % | 0.93 % | 0.29 % | 19 % | |
1/1/19 to 12/31/19 | 10.07 | 0.15 | 1.74 | 1.89 | (0.13) | — | (0.13) | 1.76 | 11.83 | 18.77 | 100 | 0.95 (7)(9) | 0.96 | 1.30 | 140 (14) | |
1/1/18 to 12/31/18 | 12.48 | 0.27 | (2.29) | (2.02) | (0.39) | — | (0.39) | (2.41) | 10.07 | (16.44) | 84 | 0.93 (12) | 0.92 | 2.23 | 40 | |
1/1/17 to 12/31/17 | 10.94 | 0.17 | 1.59 | 1.76 | (0.22) | — | (0.22) | 1.54 | 12.48 | 16.17 | 100 | 0.93 | 0.96 | 1.48 | 81 | |
1/1/16 to 12/31/16 | 13.99 | 0.11 | (0.42) | (0.31) | (0.13) | (2.61) | (2.74) | (3.05) | 10.94 | (1.28) (8) | 86 | 0.93 (8)(9) | 1.01 | 0.88 (8) | 83 | |
1/1/15 to 12/31/15 | 16.65 | 0.38 | (2.03) | (1.65) | (0.41) | (0.60) | (1.01) | (2.66) | 13.99 | (10.26) | 87 | 0.94 (9) | 1.05 | 2.39 | 104 | |
Strategic Allocation Series | ||||||||||||||||
Class A | ||||||||||||||||
1/1/20 to 6/30/20(6) | $13.78 | 0.05 | 1.20 | 1.25 | — (10) | (0.08) | (0.08) | 1.17 | $14.95 | 9.14 % | $ 90,721 | 0.98 % | 1.00 % | 0.77 % | 16 % | |
1/1/19 to 12/31/19 | 11.22 | 0.16 | 2.75 | 2.91 | (0.17) | (0.18) | (0.35) | 2.56 | 13.78 | 26.05 | 87,902 | 0.98 | 1.01 | 1.22 | 40 | |
1/1/18 to 12/31/18 | 12.62 | 0.17 | (0.89) | (0.72) | (0.18) | (0.50) | (0.68) | (1.40) | 11.22 | (5.89) | 79,536 | 0.98 | 1.02 | 1.32 | 33 | |
1/1/17 to 12/31/17 | 10.88 | 0.16 | 1.89 | 2.05 | (0.23) | (0.08) | (0.31) | 1.74 | 12.62 | 18.97 | 97,028 | 0.98 | 1.06 | 1.31 | 38 | |
1/1/16 to 12/31/16 | 12.34 | 0.24 | (0.14) | 0.10 | (0.21) | (1.35) | (1.56) | (1.46) | 10.88 | 0.82 (8) | 93,276 | 0.99 (8)(9) | 1.09 | 1.96 (8) | 114 | |
1/1/15 to 12/31/15 | 14.30 | 0.25 | (0.98) | (0.73) | (0.24) | (0.99) | (1.23) | (1.96) | 12.34 | (5.38) | 106,825 | 0.99 (9) | 1.13 | 1.79 | 75 |
Footnote Legend: | |
(1) | Calculated using average shares outstanding. |
(2) | Not annualized for periods less than one year. |
(3) | The total return does not include the expenses associated with the annuity or life insurance policy through which you invest. |
(4) | Annualized for periods less than one year. |
(5) | The Series will also indirectly bear their prorated shares of expenses of any underlying funds in which they invest. Such expenses are not included in the calculation of this ratio. |
(6) | Unaudited. |
(7) | Due to a change in expense cap, the ratio shown is a blended expense ratio. |
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(8) | State Street Bank & Trust, custodian for some of the Series through January 29, 2010, reimbursed the Series for out-of-pocket custody expenses overbilled for the period 1998 through January 29, 2010. Custody fees reimbursed were excluded from the Ratio of Net Expenses to Average Net Assets and Ratio of Net Investment Income (Loss) to Average Net Assets. If included, the impact would have been to lower the Ratio of Net Expenses to Average Net Assets and increase the Ratio of Net Investment Income (Loss) to Average Net Assets as follows: Duff & Phelps Real Estate Securities Series 0.02% (Class A) and 0.03% (Class I), KAR Capital Growth Series 0.10%, KAR Small-Cap Growth Series 0.09% (Class A) and 0.14% (Class I), KAR Small-Cap Value Series 0.08%, Newfleet Multi-Sector Intermediate Bond Series 0.04% (Class A) and 0.05% (Class I), Rampart Enhanced Core Equity Series 0.46%, SGA International Growth Series 0.04%, Strategic Allocation Series 0.03%. Custody fees reimbursed were included in Total Return. If excluded, the impact would have been to lower the Total Return as follows: Duff & Phelps Real Estate Securities Series 0.03%, KAR Capital Growth Series 0.10%, KAR Small-Cap Growth Series 0.08%, KAR Small-Cap Value Series 0.08%, Newfleet Multi-Sector Intermediate Bond Series 0.04%, Rampart Enhanced Core Equity Series 0.44%, SGA International Growth Series 0.04%, Strategic Allocation Series 0.03%. |
(9) | Net expense ratio includes extraordinary proxy expenses. |
(10) | Amount is less than $0.005 per share. |
(11) | The share class is currently below its expense cap. |
(12) | See Note 4D in the Notes to Financial Statements for information on recapture of expenses previously reimbursed. |
(13) | Payment from affiliate had no impact on total return. |
(14) | The Series’ portfolio turnover rate increased substantially during the year ended December 31, 2019 due to a change in the Series’ subadviser and associated repositioning. |
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Series | Investment objective(s) | |
Duff & Phelps Real Estate Securities Series | Capital appreciation and income with approximately equal emphasis. | |
KAR Capital Growth Series | Long-term growth of capital. | |
KAR Small-Cap Growth Series | Long-term capital growth. | |
KAR Small-Cap Value Series | Long-term capital appreciation. | |
Newfleet Multi-Sector Intermediate Bond Series | Long-term total return. | |
Rampart Enhanced Core Equity Series | Capital appreciation and current income. | |
SGA International Growth Series | High total return consistent with reasonable risk. | |
Strategic Allocation Series | High total return over an extended period of time consistent with prudent investment risk. |
A. | Security Valuation |
Each Series utilizes a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels. The Series’ policy is to recognize transfers into or out of Level 3 at the end of the reporting period. |
• | Level 1 – quoted prices in active markets for identical securities (security types generally include listed equities). |
• | Level 2 – prices determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). |
• | Level 3 – prices determined using significant unobservable inputs (including the Valuation Committee’s own assumptions in determining the fair value of investments). |
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B. | Security Transactions and Investment Income |
Security transactions are recorded on the trade date. Realized gains and losses from the sale of securities are determined on the identified cost basis. Dividend income is recognized on the ex-dividend date or, in the case of certain foreign securities, as soon as a Series is notified. Interest income is recorded on the accrual basis. Each Series amortizes premiums and accretes discounts using the effective interest method. Premiums on callable debt securities are amortized to interest income to the earliest call date using the effective interest method. Any distributions from underlying funds are recorded in accordance with the character of the distributions as designated by the underlying funds. | |
Dividend income from REITs is recorded using management’s estimate of the percentage of income included in distributions received from such investments based on historical information and other industry sources. The return of capital portion of the estimate is a reduction to investment income and a reduction in the cost basis of each investment which increases net realized gain (loss) and net change in unrealized appreciation (depreciation). If the return of capital distributions exceed their cost basis, the distributions are treated as realized gains. The actual amounts of income, return of capital, and capital gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts. | |
C. | Income Taxes |
Each Series is treated as a separate taxable entity. It is the intention of each Series to comply with the requirements of Subchapter M of the Internal Revenue Code and to distribute substantially all of its taxable income to its shareholders. Therefore, no provision for federal income taxes or excise taxes has been made. | |
Certain Series may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. Each Series will accrue such taxes and recoveries as applicable based upon current interpretations of the tax rules and regulations that exist in the markets in which it invests. | |
Management of the Series has concluded that there are no significant uncertain tax positions that would require recognition in the financial statements. As of June 30, 2020, the tax years that remain subject to examination by the major tax jurisdictions under the statute of limitations are from the year 2016 forward (with limited exceptions). | |
D. | Distributions to Shareholders |
Distributions are recorded by each Series on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations that may differ from U.S. GAAP. | |
E. | Expenses |
Expenses incurred together by a Series and other affiliated mutual funds are allocated in proportion to the net assets of each such Series, except where allocation of direct expense to each Series or an alternative allocation method can be more appropriately used. | |
In addition to the net annual operating expenses that a Series bears directly, the contract owners, as investors in the Series, indirectly bear the Series’ pro-rata expenses of any underlying mutual funds in which the Series invests. |
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F. | Foreign Currency Transactions |
Non-U.S. investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at the foreign currency exchange rate effective at the end of the reporting period. Cost of investments is translated at the currency exchange rate effective at the trade date. The gain or loss resulting from a change in currency exchange rates between the trade and settlement date of a portfolio transaction is treated as a gain or loss on foreign currency. Likewise, the gain or loss resulting from a change in currency exchange rates between the date income is accrued and the date it is paid is treated as a gain or loss on foreign currency. The Series do not isolate that portion of the results of operations arising from changes in foreign exchange rates on investments from the fluctuations arising from changes in the market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss on investments. | |
G. | When-issued Purchases and Forward Commitments (Delayed Delivery) |
Certain Series may engage in when-issued or forward commitment transactions. Securities purchased on a when-issued or forward commitment basis are also known as delayed delivery transactions. Delayed delivery transactions involve a commitment by a Series to purchase or sell a security at a future date (ordinarily up to 90 days later). When-issued or forward commitments enable the Series to lock in what is believed to be an attractive price or yield on a particular security for a period of time, regardless of future changes in interest rates. Each Series records when-issued and forward commitment securities on the trade date. Each Series maintains collateral for the securities purchased. Securities purchased on a when-issued or forward commitment basis begin earning interest on the settlement date. | |
H. | Interest-Only and Principal-Only Securities |
Certain Series may invest in stripped mortgage-backed securities. Stripped mortgage-backed securities represent a participation in, or are secured by, or payable from, mortgage loans on real property, and may be structured in classes with rights to receive varying proportions of principal and interest. Stripped mortgage-backed securities include interest-only securities (IOs) which receive all of the interest, and principal-only securities (POs) which receive all of the principal. The market value of these securities is highly sensitive to changes in interest rates and a rapid (slow) rate of principal payments may have an adverse (positive) effect on yield to maturity. Payments received for IOs are included in interest income. Because principal will not be received at the maturity of an IO, adjustments are made to the book value of the security on a daily basis until maturity and these adjustments are also included in interest income. Payments received for POs are treated as reductions to the cost and par value of the securities. Any paydown gains or losses associated with the payments received are included in interest income. If the underlying mortgage assets are greater than anticipated payments of principal, a Series may fail to recoup some or all of its initial investment in these securities. | |
I. | Leveraged Loans |
Certain Series may invest in direct debt instruments which are interests in amounts owed by a corporate, governmental, or other borrower to lenders or lending syndicates. Leveraged loans are generally non-investment grade and often involve borrowers that are highly leveraged. The Series may invest in obligations of borrowers who are in bankruptcy proceedings. Leveraged loans are typically senior in the corporate capital structure of the borrower. A loan is often administered by a bank or other financial institution (the “lender”) that acts as agent for all holders. The agent administers the terms of the loan, as specified in the leveraged loan. A Series’ investments in loans may be in the form of participations in loans or assignments of all or a portion of loans from third parties. When investing in loan participations, a Series has the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the loan participation and only upon receipt by the lender of payments from the borrower. A Series generally has no right to enforce compliance with the terms of the leveraged loan with the borrower. As a result, a Series may be subject to the credit risk of both the borrower and the lender that is selling the leveraged loan. When a Series purchases assignments from lenders it acquires direct rights against the borrower on the loan. | |
A Series may invest in multiple series or tranches of a loan, which may have varying terms and carry different associated risks. Leveraged loans may involve foreign borrowers and investments may be denominated in foreign currencies. Direct indebtedness of emerging countries involves a risk that the government entities responsible for the repayment of the debt may be unable, or unwilling, to pay the principal and interest when due. | |
The leveraged loans have floating rate loan interests which generally pay interest at rates that are periodically determined by reference to a base lending rate plus a premium. The base lending rates are generally LIBOR, the prime rate offered by one or more U.S. banks or the certificate of deposit rate. When a leveraged loan is purchased a Series may pay an assignment fee. On an ongoing basis, a Series may receive a commitment fee based on the undrawn portion of the underlying line of credit portion of a leveraged loan. Prepayment penalty fees are received upon the prepayment of a leveraged loan by a borrower. Prepayment penalty, facility, commitment, consent and amendment fees are recorded to income as earned or paid. | |
As of June 30, 2020, the following Series had unfunded loan commitments as follows: |
Unfunded Loan Commitment | ||
Borrower | Newfleet Multi-Sector Intermediate Bond Series | |
Intelsat Jackson Holdings S.A. | $5 | |
Neiman Marcus Group Ltd. LLC | 8 | |
Pathway Vet Alliance LLC | 8 |
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J. | Securities Lending |
The Series may loan securities to qualified brokers through a securities lending agency agreement with The Bank of New York Mellon (“BNYM”). Under the securities lending policy, when lending securities, a Series is required to maintain collateral with a market value not less than 100% of the market value of loaned securities. Collateral is adjusted daily in connection with changes in the market value of securities on loan. Collateral may consist of cash and securities issued by the U.S. Government or its agencies. Cash collateral is invested in a short-term money market fund. Dividends earned on the collateral and premiums paid by the broker are recorded as income by the Series net of fees and rebates charged/paid by BNYM for its services as securities lending agent and in connection with this securities lending program. Lending portfolio securities involves a risk of delay in the recovery of the loaned securities or in the declining value of the collateral. | |
Securities lending transactions are entered into by each Series under Master Securities Lending Agreements (“MSLA”) which permit the Series, under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset amounts payable by the Series to the same counterparty against amounts to be received and create one single net payment due to or from the Series. | |
Effective March 13, 2020, the securities lending program was put on hold and all securities on loan were recalled. |
A. | Options Contracts |
An options contract provides the purchaser with the right, but not the obligation, to buy (call option) or sell (put option) a financial instrument at an agreed-upon price. Certain Series may purchase or write both put and call options on portfolio securities for hedging purposes or to facilitate the rapid implementation of investment strategies if the Series anticipates a significant market or sector advance. A Series doing so is subject to equity price risk in the normal course of pursuing its investment objective(s). | |
When a Series purchases an option, it pays a premium and an amount equal to that premium is recorded as an asset. When a Series writes an option, it receives a premium and an amount equal to that premium is recorded as a liability. The asset or liability is adjusted daily to reflect the current market value of the option. Holdings of the Series designated to cover outstanding written options are noted in the Schedule of Investments. Purchased options are reported as an asset within “Investment in securities at value” in the Statements of Assets and Liabilities. Written options are reported as a liability within “Written options at value.” Changes in value of the purchased option are included in “Net change in unrealized appreciation (depreciation) on investments” in the Statements of Operations. Changes in value of written options are included in “Net change in unrealized appreciation (depreciation) on written options” in the Statements of Operations. | |
If an option expires unexercised, the Series realizes a gain or loss to the extent of the premium received or paid. If an option is exercised, the premium received or paid is recorded as an adjustment to the proceeds from the sale or the cost basis of the purchase. The difference between the premium and the amount received or paid on effecting a closing purchase or sale transaction is also treated as a realized gain or loss. Gain or loss on purchased options is included in “Net realized gain (loss) from investments” in the Statements of Operations. Gain or loss on written options is presented separately as “Net realized gain (loss) from written options” in the Statements of Operations. | |
The risk in writing call options is that the Series gives up the opportunity for profit if the market price of the referenced security increases and the option is exercised. The risk in writing put options is that the Series may incur a loss if the market price of the referenced security decreases and the option is exercised. The risk in buying options is that the Series pays a premium whether or not the option is exercised. The use of such instruments may involve certain additional risks as a result of unanticipated movements in the market. Writers (sellers) of options are subject to unlimited risk of loss, as the seller will be obligated to deliver or take delivery of the security at a predetermined price which may, upon exercise of the option, be significantly different from the then-market value. | |
The Rampart Enhanced Core Equity Series invested in written covered call options contracts in an attempt to manage equity price risk and with the purpose of generating realized gains. |
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Statement of Operations | |
Rampart Enhanced Core Equity Series | |
Net realized gain (loss) from purchased options | $ 3,589(1) |
Net realized gain (loss) from written options | (5,536) |
Net change in unrealized appreciation (depreciation) on purchased options | 16 (2) |
Net change in unrealized appreciation (depreciation) on written options | (30) |
Total net realized and unrealized gain (loss) on purchased and written options | (1,961) |
(1) | Amount included in Net realized gain (loss) from investments. |
(2) | Amount included in Net change in unrealized appreciation (depreciation) on investments. |
A. | Investment Adviser |
Virtus Investment Advisers, Inc. (the “Adviser”), an indirect, wholly-owned subsidiary of Virtus Investment Partners, Inc. (“Virtus”), is the investment adviser to the Series. The Adviser manages the Series’ investment programs and general operations of the Series, including oversight of the Series’ subadviser(s). | |
As compensation for its services to the Series, the Adviser is entitled to a fee, which is calculated daily and paid monthly based upon the following annual rates as a percentage of the average daily net assets of each Series: |
Series | First $250 Million | Next $250 Million | Over $500 Million | |||
KAR Capital Growth Series | 0.70% | 0.65% | 0.60% | |||
Newfleet Multi-Sector Intermediate Bond Series | 0.50 | 0.45 | 0.40 | |||
Rampart Enhanced Core Equity Series | 0.70 | 0.65 | 0.60 | |||
SGA International Growth Series | 0.75 | 0.70 | 0.65 | |||
Strategic Allocation Series | 0.55 | 0.50 | 0.45 | |||
First $1 Billion | Next $1 Billion | Over $2 Billion | ||||
Duff & Phelps Real Estate Securities Series | 0.75% | 0.70% | 0.65% | |||
First $1 Billion | $1+ Billion | |||||
KAR Small-Cap Growth Series | 0.85% | 0.80% | ||||
First $400 Million | $400 Million to $1 Billion | Over $1 Billion | ||||
KAR Small-Cap Value Series | 0.90% | 0.85% | 0.80% |
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B. | Subadvisers |
The subadvisers manage the investments of each Series for which they are paid a fee by the Adviser. A list of the subadvisers and the Series they serve as of the end of the period is as follows: |
Series | Subadviser | |
Duff & Phelps Real Estate Securities Series | DPIM (1) | |
KAR Capital Growth Series | KAR (2) | |
KAR Small-Cap Growth Series | KAR (2) | |
KAR Small-Cap Value Series | KAR (2) | |
Newfleet Multi-Sector Intermediate Bond Series | Newfleet (3) | |
Rampart Enhanced Core Equity Series | Rampart (4) | |
Series | Subadviser | |
SGA International Growth Series | SGA (5) | |
Strategic Allocation Series | ||
(Equity Portfolio) | KAR (2) | |
(Fixed Income Portfolio) | Newfleet (3) | |
C. | Expense Limitations |
The Adviser has contractually agreed to limit each Series’ total operating expenses, subject to the exceptions listed below, so that such expenses do not exceed, on an annualized basis, the following percentages of average net assets, through April 30, 2021. Following the contractual period, the Adviser may discontinue these expense reimbursement arrangements at any time. The waivers and reimbursements are accrued daily and received monthly. |
Series | Class A | Class I | ||
Duff & Phelps Real Estate Securities Series | 1.14 % | 0.89 % | ||
KAR Capital Growth Series | 1.03 | N/A | ||
KAR Small-Cap Growth Series | 1.16 | 0.91 | ||
KAR Small-Cap Value Series | 1.10 | N/A | ||
Newfleet Multi-Sector Intermediate Bond Series | 0.94 ‡ | 0.69 ‡ | ||
Rampart Enhanced Core Equity Series | 0.98 | N/A | ||
SGA International Growth Series | 1.16 | 0.91 | ||
Strategic Allocation Series | 0.98 | N/A |
‡ | Each share class is currently below its expense cap. |
D. | Expense Recapture |
Under certain conditions, the Adviser may recapture operating expenses reimbursed or fees waived under these arrangements within three years after the date on which such amounts were incurred or waived. A Series must pay its ordinary operating expenses before the Adviser is entitled to any reimbursement and must remain in compliance with any applicable expense limitations or, if none, the expense limitation in effect at the time of the waiver or reimbursement. All or a portion of the following Adviser reimbursed expenses may be recaptured by the fiscal year ending: |
Expiration | ||||||||||
Series | 2020 | 2021 | 2022 | 2023 | Total | |||||
Duff & Phelps Real Estate Securities Series | ||||||||||
Class A | $ 15 | $ 24 | $ 29 | $ 19 | $ 87 | |||||
Class I | — (1) | — (1) | — (1) | 1 | 1 | |||||
KAR Capital Growth Series | ||||||||||
Class A | 103 | 172 | 183 | 87 | 545 |
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Expiration | ||||||||||
Series | 2020 | 2021 | 2022 | 2023 | Total | |||||
KAR Small-Cap Growth Series | ||||||||||
Class A | $ 37 | $ 75 | $ 86 | $55 | $253 | |||||
Class I | 1 | 3 | 5 | 4 | 13 | |||||
KAR Small-Cap Value Series | ||||||||||
Class A | 62 | 117 | 181 | 82 | 442 | |||||
Newfleet Multi-Sector Intermediate Bond Series | ||||||||||
Class A | 12 | 3 | — | — (1) | 15 | |||||
Class I | — (1) | — (1) | — | — (1) | — (1) | |||||
Rampart Enhanced Core Equity Series | ||||||||||
Class A | 100 | 163 | 141 | 67 | 471 | |||||
SGA International Growth Series | ||||||||||
Class A | 18 | 1 | 22 | 13 | 54 | |||||
Class I | — (1) | — (1) | — (1) | — (1) | — (1) | |||||
Strategic Allocation Series | ||||||||||
Class A | 46 | 42 | 25 | 8 | 121 | |||||
(1) | Amount is less than $500. |
Series | Class A | Class I | Total | |||
Newfleet Multi-Sector Intermediate Bond Series | $ 3 | $ — (1) | $ 3 | |||
Strategic Allocation Series | — (1) | — | — (1) | |||
(1) | Amount is less than $500. |
E. | Administrator and Distributor |
Virtus Fund Services, LLC, an indirect, wholly-owned subsidiary of Virtus, serves as the administrator to the Series. | |
For the period ended June 30, 2020 (the “period”), the Series incurred administration fees totaling $421 which are included in the Statements of Operations within the line item “Administration and accounting fees.” The fees are calculated daily and paid monthly. | |
VP Distributors, LLC (“VP Distributors”), an indirect, wholly-owned subsidiary of Virtus, serves as the distributor of each Series’ shares. Each Series pays VP Distributors distribution and/or service fees under a Board-approved Rule 12b-1 plan, at the annual rate of 0.25% of the average daily net assets of such Series’ Class A shares. Class I shares are not subject to a Rule 12b-1 plan. For the period ended June 30, 2020, the Series incurred distribution fees totaling $1,090 which are included in the Statements of Operations within the line item “Distribution and service fees.” A portion of these fees was paid to certain insurance companies for marketing and/or shareholder services provided to contract owners. The fees are calculated daily and paid monthly. | |
F. | Payment from Affiliate |
The KAR Capital Growth Series and the Strategic Allocation Series were reimbursed by the Subadviser for costs incurred due to an error in the processing of a corporate action of an investment during the period ended June 30, 2020. | |
G. | Trustee Compensation |
The Trust provides a deferred compensation plan for its Trustees who receive compensation from the Trust. Under the deferred compensation plan, Trustees may elect to defer all or a portion of their compensation. Amounts deferred are retained by the Trust, and then, to the extent permitted by the 1940 Act, in turn, may be invested in the shares of affiliated or unaffiliated mutual funds selected by the participating Trustees. Investments in such instruments are included in “Other assets” in the Statements of Assets and Liabilities at June 30, 2020. |
Purchases | Sales | ||
Duff & Phelps Real Estate Securities Series | $12,344 | $11,177 | |
KAR Capital Growth Series | 7,587 | 18,761 | |
KAR Small-Cap Growth Series | 12,309 | 16,799 | |
KAR Small-Cap Value Series | 8,992 | 14,950 |
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Purchases | Sales | ||
Newfleet Multi-Sector Intermediate Bond Series | $46,182 | $48,580 | |
Rampart Enhanced Core Equity Series | 11,719 | 18,186 | |
SGA International Growth Series | 26,206 | 30,142 | |
Strategic Allocation Series | 12,091 | 17,097 |
Purchases | Sales | ||
Newfleet Multi-Sector Intermediate Bond Series | $7,551 | $8,819 | |
Strategic Allocation Series | 1,683 | 1,738 | |
Duff & Phelps Real Estate Securities Series | KAR Capital Growth Series | ||||||||||||||
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class A | |||||||||||||||
Shares sold | 242 | $ 3,969 | 473 | $ 9,341 | 31 | $ 1,144 | 61 | $ 1,930 | |||||||
Reinvestment of distributions | 51 | 852 | 464 | 8,680 | 48 | 1,871 | 269 | 8,813 | |||||||
Shares repurchased | (488) | (7,785) | (767) | (14,846) | (370) | (13,016) | (875) | (27,970) | |||||||
Net Increase / (Decrease) | (195) | $ (2,964) | 170 | $ 3,175 | (291) | $ (10,001) | (545) | $ (17,227) | |||||||
Class I | |||||||||||||||
Shares sold | 199 | $ 3,152 | 128 | $ 2,538 | — | $ — | — | $ — | |||||||
Reinvestment of distributions | 3 | 49 | 12 | 224 | — | — | — | — | |||||||
Shares repurchased | (89) | (1,349) | (35) | (713) | — | — | — | — | |||||||
Net Increase / (Decrease) | 113 | $ 1,852 | 105 | $ 2,049 | — | $ — | — | $ — |
KAR Small-Cap Growth Series | KAR Small-Cap Value Series | ||||||||||||||
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class A | |||||||||||||||
Shares sold | 42 | $ 1,297 | 61 | $ 1,905 | 35 | $ 468 | 41 | $ 607 | |||||||
Reinvestment of distributions | 3 | 109 | 443 | 13,810 | 70 | 1,107 | 114 | 1,794 | |||||||
Shares repurchased | (189) | (5,711) | (430) | (14,143) | (305) | (4,477) | (648) | (9,675) | |||||||
Net Increase / (Decrease) | (144) | $ (4,305) | 74 | $ 1,572 | (200) | $ (2,902) | (493) | $ (7,274) | |||||||
Class I | |||||||||||||||
Shares sold | 73 | $ 2,289 | 84 | $ 2,760 | — | $ — | — | $ — | |||||||
Reinvestment of distributions | — | 8 | 28 | 892 | — | — | — | — | |||||||
Shares repurchased | (57) | (1,794) | (42) | (1,367) | — | — | — | — | |||||||
Net Increase / (Decrease) | 16 | $ 503 | 70 | $ 2,285 | — | $ — | — | $ — |
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Newfleet Multi-Sector Intermediate Bond Series | Rampart Enhanced Core Equity Series | ||||||||||||||
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class A | |||||||||||||||
Shares sold | 558 | $ 5,132 | 809 | $ 7,540 | 32 | $ 382 | 76 | $ 903 | |||||||
Reinvestment of distributions | 2 | 23 | 464 | 4,273 | 1 | 13 | 87 | 1,109 | |||||||
Shares repurchased | (1,219) | (10,865) | (1,917) | (17,722) | (469) | (5,737) | (1,069) | (12,780) | |||||||
Net Increase / (Decrease) | (659) | $ (5,710) | (644) | $ (5,909) | (436) | $ (5,342) | (906) | $ (10,768) | |||||||
Class I | |||||||||||||||
Shares sold | 2 | $ 15 | 24 | $ 221 | — | $ — | — | $ — | |||||||
Reinvestment of distributions | — | — | 4 | 37 | — | — | — | — | |||||||
Shares repurchased | (58) | (517) | (6) | (57) | — | — | — | — | |||||||
Net Increase / (Decrease) | (56) | $ (502) | 22 | $ 201 | — | $ — | — | $ — |
SGA International Growth Series | Strategic Allocation Series | ||||||||||||||
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class A | |||||||||||||||
Shares sold | 121 | $ 1,358 | 233 | $ 2,616 | 37 | $ 525 | 28 | $ 355 | |||||||
Reinvestment of distributions | — | — | 105 | 1,216 | 36 | 537 | 164 | 2,202 | |||||||
Shares repurchased | (660) | (7,422) | (1,493) | (16,809) | (386) | (5,295) | (900) | (11,640) | |||||||
Net Increase / (Decrease) | (539) | $ (6,064) | (1,155) | $ (12,977) | (313) | $ (4,233) | (708) | $ (9,083) | |||||||
Class I | |||||||||||||||
Reinvestment of distributions | — | $ — | — (1) | $ 1 | — | $ — | — | $ — | |||||||
Net Increase / (Decrease) | — | $ — | — (1) | $ 1 | — | $ — | — | $ — |
(1) | Amount is less than 500 shares. |
% of Shares Outstanding | Number of Accounts* | ||
Duff & Phelps Real Estate Securities Series | 75% | 2 | |
KAR Capital Growth Series | 100 | 2 | |
KAR Small-Cap Growth Series | 92 | 2 | |
KAR Small-Cap Value Series | 100 | 2 | |
Newfleet Multi-Sector Intermediate Bond Series | 88 | 3 | |
Rampart Enhanced Core Equity Series | 99 | 2 | |
SGA International Growth Series | 98 | 2 | |
Strategic Allocation Series | 100 | 2 |
* | None of the accounts are affiliated. |
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Series | Sector | Percentage of Total Investments | ||
Duff & Phelps Real Estate Securities Series | Industrial/Office | 27 % | ||
KAR Capital Growth Series | Information Technology | 32 | ||
KAR Capital Growth Series | Consumer Discretionary | 25 | ||
KAR Small-Cap Growth Series | Information Technology | 25 | ||
KAR Small-Cap Value Series | Industrials | 39 | ||
Rampart Enhanced Core Equity Series | Information Technology | 28 |
Series | Investment | Date of Acquisition | Cost | Value | Percentage of Net Assets | |||||
KAR Capital Growth Series | Disco Topco Holdings (Cayman) LP Class E | 05/16/2020 | $2,427 | $2,427 | 1.0% | |||||
KAR Small-Cap Growth Series | Disco Topco Holdings (Cayman) LP Class E | 05/16/2020 | 2,574 | 2,574 | 2.3 | |||||
Strategic Allocation Series | Disco Topco Holdings (Cayman) LP Class E | 05/16/2020 | 461 | 461 | 0.5 |
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Series | Federal Tax Cost | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | ||||
Duff & Phelps Real Estate Securities Series | $ 56,207 | $ 14,940 | $ (5,486) | $ 9,454 | ||||
KAR Capital Growth Series | 94,829 | 164,276 | (2,418) | 161,858 | ||||
KAR Small-Cap Growth Series | 53,052 | 54,730 | (835) | 53,895 | ||||
KAR Small-Cap Value Series | 45,902 | 26,958 | (1,991) | 24,967 | ||||
Newfleet Multi-Sector Intermediate Bond Series | 110,511 | 3,467 | (4,973) | (1,506) | ||||
Rampart Enhanced Core Equity Series | 64,358 | 26,178 | (4,774) | 21,404 | ||||
SGA International Growth Series | 133,496 | 18,940 | (9,831) | 9,109 | ||||
Strategic Allocation Series | 62,220 | 29,449 | (1,649) | 27,800 |
No Expiration | Total | ||||||
Short-Term | Long-Term | Short-Term | Long-Term | ||||
Newfleet Multi-Sector Intermediate Bond Series | $ 525 | $4,203 | $ 525 | $4,203 | |||
Rampart Enhanced Core Equity Series | 2,402 | 3,869 | 2,402 | 3,869 | |||
SGA International Growth Series | 3,079 | — | 3,079 | — |
Series | Late Year Ordinary Losses Deferred | Capital Loss Deferred | ||
Duff & Phelps Real Estate Securities Series | $ — | $ 48 | ||
SGA International Growth Series | 2 | — |
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Statement of Additional Information (SAI) dated April 30, 2020
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Mutual Fund Services | 1-800-367-5877 |
Website | Virtus.com |
The Securities and Exchange Commission has modified mailing regulations for semiannual and annual shareholder fund reports to allow mutual fund companies to send a single copy of these reports to shareholders who share the same mailing address. If you would like additional copies, please call Mutual Fund Services at 1-800-367-5877.
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please contact us at 1-800-367-5877, or Virtus.com.
8508 | 08-20 |
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Item 2. Code of Ethics.
Response not required for semi-annual report.
Item 3. Audit Committee Financial Expert.
Response not required for semi-annual report.
Item 4. Principal Accountant Fees and Services.
Response not required for semi-annual report.
Item 5. Audit Committee of Listed Registrants.
Response not required for semi-annual report.
Item 6. Investments.
(a) | Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this form. |
(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.
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Not applicable.
Item 9. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. |
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s board of trustees, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.
Item 11. Controls and Procedures.
(a) | The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)). |
(b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d))) that occurred during the period covered by this report that has materially affected, or is 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. |
(a)(2) |
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(a)(3) | Not applicable. |
(a)(4) | Not applicable. |
(b) |
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SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) | Virtus Variable Insurance Trust |
By (Signature and Title)* | /s/ George R. Aylward | |||
George R. Aylward, President | ||||
(principal executive officer) |
Date | 9/4/2020 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)* | /s/ George R. Aylward | |||
George R. Aylward, President | ||||
(principal executive officer) |
Date | 9/4/2020 |
By (Signature and Title)* | /s/ W. Patrick Bradley | |||
W. Patrick Bradley, Executive Vice President, | ||||
Chief Financial Officer and Treasurer | ||||
(principal financial officer) |
Date | 9/4/2020 |
* Print the name and title of each signing officer under his or her signature.