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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, DC 20549
FORMN-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act File Number:811-05577
The Glenmede Fund, Inc.
(Exact Name of Registrant as Specified in Charter)
1 Lincoln Street, Floor 8
SFC0805
Boston, MA 02111
(Address of Principal Executive Offices)(Zip Code)
Michael P. Malloy, Esq.
Secretary
Drinker Biddle & Reath LLP
One Logan Square
Suite 2000
Philadelphia, PA 19103-6996
(Name and Address of Agent for Service)
Registrant’s Telephone Number, including Area Code:
1-800-442-8299
Date of Fiscal Year End: October 31
Date of Reporting Period: October 31, 2019
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Item 1. Reports to Stockholders.
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1 | The indices are defined on pages 26 to 28. |
2 | A basis point equals .01%. |
3 ©2019 Morningstar, Inc. All Rights Reserved. The information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information. Past performance is no guarantee of future results. | |
The Morningstar Rating™ for funds, or "star rating", is calculated for managed products (including mutual funds, variable annuity and variable life subaccounts, exchange-traded funds, closed-end funds, and separate accounts) with at least a three-year history. Exchange-traded funds and open-end mutual funds are considered a single population for comparative purposes. It is calculated based on a Morningstar Risk-Adjusted Return measure that accounts for variation in a managed product’s monthly excess performance, placing more emphasis on downward variations and rewarding consistent performance. The top 10% of products in each product category receive 5 stars, the next 22.5% receive 4 stars, the next 35% receive 3 stars, the next 22.5% receive 2 stars, and the bottom 10% receive 1 star. The Overall Morningstar Rating™ for a managed product is derived from a weighted average of the performance figures associated with its three-, five-, and 10-year (if applicable) Morningstar Rating™ metrics. The weights are: 100% three-year rating for 36-59 months of total returns, 60% five-year rating/40% three-year rating for 60-119 months of total returns, and 50% 10-year rating/30% five-year rating/20% three-year rating for 120 or more months of total returns. While the 10-year overall star rating formula seems to give the most weight to the 10-year period, the most recent three-year period actually has the greatest impact because it is included in all three rating periods. | |
The Quantitative U.S. Large Cap Growth Equity Portfolio (Advisor Class and Institutional Class) was rated against the following numbers of U.S.-domiciled Large Growth Equity funds over the following time periods: 1,232 funds overall, 1,232 funds in the last three years, 1,095 funds in the last five years and 813 funds in the last ten years. With respect to these Large Growth Equity funds, the Quantitative U.S. Large Cap Growth Equity Portfolio (Advisor Class) received an Overall Morningstar Rating™ of ★★★★ stars and a Morningstar Rating™ of ★★★ stars, ★★★★ stars, and ★★★★★ stars for the three-, five- and ten-year periods, respectively. The Quantitative U.S. Large Cap Growth Equity Portfolio (Institutional Class) received an Overall Morningstar Rating™ of ★★★ |
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stars and a Morningstar Rating™ of ★★★ stars, ★★★★ stars, and ★★★★★ stars for the three-, five- and ten-year periods, respectively. The Secured Options Portfolio (Advisor Class and Institutional Class) was rated against the following numbers of Option Writing funds over the following time periods: 103 funds overall, 103 funds in the last three years, and 63 funds in the last five years. With respect to these Option Writing funds, the Secured Options Portfolio (Advisor Class and Institutional Class) received an Overall Morningstar Rating™ of ★★★★ stars and a Morningstar Rating™ of ★★★ stars and ★★★★ stars for the three- and five year periods, respectively. The Strategic Equity Portfolio was rated against the following numbers of U.S.- domiciled Large Blend Equity funds over the following time periods: 1,198 funds overall, 1,198 funds in the last three years, 1,058 funds in the last five years and 801 funds in the last ten years. With respect to these Large Blend Equity funds, the Strategic Equity Portfolio received an Overall Morningstar Rating™ of ★★★★ stars and a Morningstar Rating™ of ★★★★ stars, ★★★★★ stars and ★★★ stars for the three-, five- and ten year periods, respectively. The Quantitative U.S. Total Market Equity Portfolio was rated against the following numbers of U.S.- domiciled Mid-Cap Value funds over the following time periods: 369 funds overall, 369 funds in the last three years, 335 funds in the last five years and 232 funds in the last ten years. With respect to these Mid-Cap Value funds, the Quantitative U.S. Total Market Equity Portfolio received an Overall Morningstar Rating™ of ★★★★ stars and a Morningstar Rating™ of ★★★★★ stars, ★★★★ stars and ★★★★ stars for the three-, five- and ten-year periods, respectively. The Women in Leadership U.S. Equity Portfolio was rated against the following numbers of Large Value Equity funds over the following time periods: 1,094 funds overall and 1,094 funds in the last three years. With respect to these Large Value Equity funds, the Women in Leadership U.S. Equity Portfolio received an Overall Morningstar Rating™ of ★★★★ stars and a Morningstar Rating™ of ★★★★ stars for the three-year period. Past performance is no guarantee of future results. | |
This material must be preceded or accompanied by a current prospectus. | |
The Glenmede Fund, Inc. and The Glenmede Portfolios are distributed by Quasar Distributors, LLC. 12/19. | |
Bond ratings are grades given to bonds that indicate their credit quality as determined by a private independent rating service such as Standard & Poor’s. The firm evaluates a bond issuer’s financial strength, or its ability to pay a bond’s principal and interest in a timely fashion. Ratings are expressed as letters ranging from ’AAA’, which is the highest grade, to ’D’, which is the lowest grade. In limited situations when the rating agency has not issued a formal rating, the rating agency will classify the security as non-rated. |
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Average Annual Total Return | ||||||||||
Return After Taxes on | ||||||||||
Quantitative U.S. Large Cap Core Equity Portfolio – Advisor Class | Return Before Taxes | Distributions | Distributions and Sales of Fund Shares | Russell 1000® Index | Morningstar Large Blend Average | |||||
Year ended 10/31/19 | 6.42% | 3.87% | 5.06% | 14.15% | 12.66% | |||||
Five Years ended 10/31/19 | 9.01% | 7.87% | 6.93% | 10.55% | 8.66% | |||||
Ten Years ended 10/31/19 | 13.89% | 13.14% | 11.57% | 13.72% | 11.64% | |||||
Inception (02/27/04) through 10/31/191 | 9.17% | 8.61% | 7.67% | 8.78% | 7.34% | |||||
Quantitative U.S. Large Cap Core Equity Portfolio – Institutional Class | ||||||||||
Year ended 10/31/19 | 6.68% | 4.05% | 5.21% | 14.15% | 12.66% | |||||
Inception of Fund (02/27/04) through 10/31/191,2 | 9.37% | 8.79% | 7.84% | 8.78% | 7.34% |
* | Assumes the reinvestment of all dividends and distributions. |
1 | Benchmark returns are for the period beginning February 28, 2004. |
2 | Average annual total return for the Institutional Class includes the period from 02/27/04 through 10/31/19. Prior to the inception of the Institutional Class on 12/30/15, performance for the Institutional Class is based on the average annual total return of the Advisor Class. |
The indices and certain terms are defined on pages 26 to 28. |
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Average Annual Total Return | ||||||||||
Return After Taxes on | ||||||||||
Quantitative U.S. Large Cap Growth Equity Portfolio – Advisor Class | Return Before Taxes | Distributions | Distributions and Sales of Fund Shares | Russell 1000® Growth Index | Morningstar Large Growth Average | |||||
Year ended 10/31/19 | 18.50% | 14.43% | 12.79% | 17.10% | 14.51% | |||||
Five Years ended 10/31/19 | 12.30% | 11.17% | 9.55% | 13.43% | 10.87% | |||||
Ten Years ended 10/31/19 | 16.27% | 15.50% | 13.66% | 15.41% | 13.11% | |||||
Inception (02/27/04) through 10/31/191 | 10.39% | 9.86% | 8.75% | 9.74% | 8.14% | |||||
Quantitative U.S. Large Cap Growth Equity Portfolio – Institutional Class | ||||||||||
Year ended 10/31/19 | 18.74% | 14.57% | 12.94% | 17.10% | 14.51% | |||||
Inception of Fund (02/27/04) through 10/31/191,2 | 10.60% | 10.05% | 8.94% | 9.74% | 8.14% |
* | Assumes the reinvestment of all dividends and distributions. |
1 | Benchmark returns are for the period beginning February 28, 2004. |
2 | Average annual total return for the Institutional Class includes the period from 02/27/04 through 10/31/19. Prior to the inception of the Institutional Class on 11/05/15, performance for the Institutional Class is based on the average annual total return of the Advisor Class. |
The indices and certain terms are defined on pages 26 to 28. |
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Average Annual Total Return | ||||||||||
Return After Taxes on | ||||||||||
Quantitative U.S. Large Cap Value Equity Portfolio | Return Before Taxes | Distributions | Distributions and Sales of Fund Shares | Russell 1000® Value Index | Morningstar Large Value Average | |||||
Year ended 10/31/19 | 7.33% | 6.46% | 4.47% | 11.21% | 9.63% | |||||
Inception (11/13/17) through 10/31/19 | 3.30% | 2.73% | 2.37% | 7.17% | 4.85% |
* | Assumes the reinvestment of all dividends and distributions. |
The indices and certain terms are defined on pages 26 to 28. |
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Average Annual Total Return | ||||||||||
Return After Taxes on | ||||||||||
Quantitative U.S. Small Cap Equity Portfolio | Return Before Taxes | Distributions | Distributions and Sales of Fund Shares | Russell 2000® Index | Morningstar Small Blend Average | |||||
Year ended 10/31/19 | 2.19% | 1.94% | 1.37% | 4.90% | 4.42% | |||||
Inception (11/13/17) through 10/31/19 | 2.56% | 2.39% | 1.92% | 4.40% | 0.75% |
* | Assumes the reinvestment of all dividends and distributions. |
The indices and certain terms are defined on pages 26 to 28. |
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Average Annual Total Return | ||||||||||
Return After Taxes on | ||||||||||
Quantitative International Equity Portfolio | Return Before Taxes | Distributions | Distributions and Sales of Fund Shares | MSCI EAFE Index | Morningstar Foreign Large Blend Average | |||||
Year ended 10/31/19 | 8.60% | 7.38% | 5.17% | 11.04% | 10.26% | |||||
Five Years ended 10/31/19 | 2.12% | 1.72% | 1.67% | 4.31% | 3.64% | |||||
Ten Years ended 10/31/19 | 3.35% | 3.00% | 2.73% | 5.41% | 5.09% | |||||
Inception (11/17/88) through 10/31/191 | 6.37% | 5.15% | 5.14% | 4.61% | 5.35% |
MSCI EAFE Index and
* | Assumes the reinvestment of all dividends and distributions. |
1 | Benchmark returns are for the period beginning November 30, 1988. |
The indices and certain terms are defined on pages 26 to 28. |
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Average Annual Total Return | |||||||
Responsible ESG U.S. Equity Portfolio | Russell 1000® Index | Morningstar Large Blend Average | |||||
Year ended 10/31/19 | 6.78% | 14.15% | 12.66% | ||||
Inception (12/22/15) through 10/31/191 | 11.89% | 13.01% | 11.25% |
* | Assumes the reinvestment of all dividends and distributions. |
1 | Benchmark returns are for the periods beginning December 22, 2015 for the Russell 1000® Index and January 1, 2016 for Morningstar Large Blend Average. |
The indices and certain terms are defined on pages 26 to 28. |
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Average Annual Total Return | |||||||
Women in Leadership U.S. Equity Portfolio | Russell 1000® Index | Morningstar Large Value Average | |||||
Year ended 10/31/19 | 9.75% | 14.15% | 9.63% | ||||
Inception (12/22/15) through 10/31/191 | 11.38% | 13.01% | 9.88% |
* | Assumes the reinvestment of all dividends and distributions. |
1 | Benchmark returns are for the periods beginning December 22, 2015 for the Russell 1000® Index and January 1, 2016 for Morningstar Large Value Average. |
The indices and certain terms are defined on pages 26 to 28. |
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Average Annual Total Return | ||||||||||
Quantitative U.S. Long/Short Equity Portfolio – Advisor Class | Bloomberg Barclays U.S. Treasury Bellwether 3-Month Index | Russell 3000® Index | Morningstar Long/Short Average | |||||||
Year ended 10/31/19 | -4.33% | 2.43% | 13.49% | 3.57% | ||||||
Five Years ended 10/31/19 | 2.12% | 1.04% | 10.31% | 2.40% | ||||||
Ten Years ended 10/31/19 | 3.95% | 0.57% | 13.62% | 3.50% | ||||||
Inception (09/29/06) through 10/31/191 | 1.74% | 1.10% | 8.69% | 2.17% | ||||||
Quantitative U.S. Long/Short Equity Portfolio – Institutional Class | ||||||||||
Inception of Fund (09/29/06) through 10/31/191,2 | 0.88% | 1.10% | 8.69% | 2.17% |
* | Assumes the reinvestment of all dividends and distributions. |
1 | Benchmark returns are for the periods beginning September 30, 2006 for the Russell 3000®Index and October 1, 2006 for Morningstar Long/Short Average. |
2 | Average annual total return for the Institutional Class includes the period from 09/29/06 through 10/31/19. Prior to the inception of the Institutional Class on 09/13/19, performance for the Institutional Class is based on the average annual total return of the Advisor Class. The total return of the Institutional Class in the Financial Highlights differs from the average annual total return shown here because it does not include the performance of the Advisor Class. |
The indices and certain terms are defined on pages 26 to 28. |
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Average Annual Total Return | |||||||
Quantitative U.S. Total Market Equity Portfolio | Russell 3000® Index | Morningstar Mid-Cap Value Average | |||||
Year ended 10/31/19 | 4.11% | 13.49% | 7.51% | ||||
Five Years ended 10/31/19 | 7.64% | 10.31% | 5.87% | ||||
Ten Years ended 10/31/2019 | 12.19% | 13.62% | 11.10% | ||||
Inception (12/21/06) through 10/31/191 | 6.48% | 8.28% | 6.45% |
* | Assumes the reinvestment of all dividends and distributions. |
1 | Benchmark returns are for the periods beginning December 31, 2006 for the Russell 3000®Index and January 1, 2007 for Morningstar Mid-Cap Value Average. |
The indices and certain terms are defined on pages 26 to 28. |
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Average Annual Total Return | ||||||||||
Return After Taxes on | ||||||||||
Strategic Equity Portfolio | Return Before Taxes | Distributions | Distributions and Sales of Fund Shares | S&P 500® Index | Morningstar Large Blend Average | |||||
Year ended 10/31/19 | 14.51% | 13.79% | 8.79% | 14.33% | 12.66% | |||||
Five Years ended 10/31/19 | 11.09% | 9.06% | 8.30% | 10.78% | 8.66% | |||||
Ten Years ended 10/31/19 | 12.76% | 11.31% | 10.25% | 13.70% | 11.64% | |||||
Inception (07/20/89) through10/31/191 | 8.99% | 7.60% | 7.26% | 9.87% | 8.31% |
* | Assumes the reinvestment of all dividends and distributions. |
1 | Benchmark returns are for the period beginning July 31, 1989. |
The indices and certain terms are defined on pages 26 to 28. |
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Average Annual Total Return | ||||||||||||
Small Cap Equity Portfolio – Advisor Class | Russell 2000® Index | Russell 2000® Value Index | S&P 500® Index | Morningstar Small Blend Average | ||||||||
Year ended 10/31/19 | -2.61% | 4.90% | 3.22% | 14.33% | 4.42% | |||||||
Five Years ended 10/31/19 | 4.90% | 7.37% | 6.24% | 10.78% | 5.88% | |||||||
Ten Years ended 10/31/2019 | 11.87% | 12.27% | 11.08% | 13.70% | 11.09% | |||||||
Inception (03/01/91) through 10/31/191 | 10.03% | 9.78% | 10.93% | 9.89% | 9.90% | |||||||
Small Cap Equity Portfolio – Institutional Class | ||||||||||||
Year ended 10/31/19 | -2.38% | 4.90% | 3.22% | 14.33% | 4.42% | |||||||
Five Years ended 10/31/19 | 5.11% | 7.37% | 6.24% | 10.78% | 5.88% | |||||||
Ten Years ended 10/31/19 | 12.11% | 12.27% | 11.08% | 13.70% | 11.09% | |||||||
Inception of Fund (03/01/91) through 10/31/191,2 | 7.64% | 7.41% | 7.90% | 7.37% | 7.84% |
* | Assumes the reinvestment of all dividends and distributions. |
1 | Benchmark returns are for the inception period beginning February 28, 1991 for both Russell 2000® Indices and the S&P 500® Index and April 1, 1991 for the Morningstar Small Blend Average. |
2 | Average annual total return for the Institutional Class includes the period from 03/01/91 through 10/31/19. Prior to the inception of the Institutional Class on 01/02/98, performance for the Institutional Class is based on the average annual total return of the Advisor Class. |
The indices and certain terms are defined on pages 26 to 28. |
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Average Annual Total Return | |||||||||
Large Cap Value Portfolio | Russell 1000® Value Index | S&P 500® Index | Morningstar Large Value Average | ||||||
Year ended 10/31/19 | 8.24% | 11.21% | 14.33% | 9.63% | |||||
Five Years ended 10/31/19 | 7.18% | 7.61% | 10.78% | 7.01% | |||||
Ten Years ended 10/31/2019 | 11.29% | 11.96% | 13.70% | 10.64% | |||||
Inception (01/04/93) through 10/31/191 | 9.04% | 9.71% | 9.67% | 8.17% |
* | Assumes the reinvestment of all dividends and distributions. |
1 | Benchmark returns are for the period beginning December 31, 1992. |
The indices and certain terms are defined on pages 26 to 28. |
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Average Annual Total Return | |||||||
Equity Income Portfolio | S&P 500® Index | Morningstar Large Value Average | |||||
Year ended 10/31/19 | 14.69% | 14.33% | 9.63% | ||||
Inception (12/21/16) through 10/31/19 | 10.12% | 13.01% | 8.26% |
* | Assumes the reinvestment of all dividends and distributions. |
The indices and certain terms are defined on pages 26 to 28. |
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Average Annual Total Return | ||||||||
Secured Options Portfolio – Advisor Class | CBOE S&P 500® Buy-Write Index | S&P 500® Index | ||||||
Year ended 10/31/19 | 8.43% | 6.76% | 14.33% | |||||
Five Years ended 10/31/19 | 6.03% | 6.73% | 10.78% | |||||
Inception (06/30/10) through 10/31/19 | 9.15% | 8.44% | 14.63% | |||||
Secured Options Portfolio – Institutional Class | ||||||||
Year ended 10/31/19 | 8.73% | 6.76% | 14.33% | |||||
Inception of Fund (06/30/10) through 10/31/191 | 9.41% | 8.44% | 14.63% |
* | Assumes the reinvestment of all dividends and distributions. |
1 | Average annual total return for the Institutional Class includes the period from 06/30/10 through 10/31/19. Prior to the inception of the Institutional Class on 11/09/16, performance for the Institutional Class is based on the average annual total return of the Advisor Class. |
The indices and certain terms are defined on pages 26 to 28. |
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Average Annual Total Return | ||
Global Secured Options Portfolio | MSCI All Country World Index | |
Year ended 10/31/19 | 8.56% | 12.59% |
Five Years ended 10/31/19 | 2.74% | 7.08% |
Inception (09/28/12) through 10/31/19 | 4.06% | 9.05% |
* | Assumes the reinvestment of all dividends and distributions. |
The indices and certain terms are defined on pages 26 to 28. |
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Average Annual Total Return | ||
Alternative Risk Premia Portfolio | HFRX Global Hedge Fund Index | |
Since Inception (12/20/18) through 10/31/19 | 4.90% | 6.72% |
* | Assumes the reinvestment of all dividends and distributions. |
The indices and certain terms are defined on pages 26 to 28. |
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Average Annual Total Return | |||||||
Core Fixed Income Portfolio | Bloomberg Barclays U.S. Aggregate Bond Index | Morningstar Intermediate - Core Bond Average | |||||
Year ended 10/31/19 | 10.46% | 11.51% | 10.47% | ||||
Five Years ended 10/31/19 | 2.76% | 3.24% | 2.95% | ||||
Ten Years ended 10/31/2019 | 3.05% | 3.73% | 3.85% | ||||
Inception (11/17/88) through 10/31/191 | 5.74% | 6.20% | 5.58% |
* | Assumes the reinvestment of all dividends and distributions. |
1 | Benchmark returns are for the periods beginning November 30, 1988 for Bloomberg Barclays U.S. Aggregate Bond Index and December 1, 1988 for Morningstar Intermediate-Core Bond Average. |
The indices and certain terms are defined on pages 26 to 28. |
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Average Annual Total Return | ||||||||||
Return After Taxes on | ||||||||||
Short Term Tax Aware Fixed Income Portfolio | Return Before Taxes | Distributions | Distributions and Sales of Fund Shares | BofA Merrill Lynch 1-3 Year U.S. Municipal Securities Index | Morningstar Muni National Short Average | |||||
Year ended 10/31/19 | 3.03% | 2.59% | 1.88% | 3.43% | 3.68% | |||||
Inception (06/29/16) through 10/31/191 | 1.09% | 0.90% | 0.85% | 1.38% | 1.28% |
* | Assumes the reinvestment of all dividends and distributions. |
1 | Benchmark returns are for the periods beginning June 29, 2016 for the BofA Merrill Lynch 1-3 Year US Municipal Securities Index. |
The indices and certain terms are defined on pages 26 to 28. |
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Average Annual Total Return | |||||||||||
High Yield Municipal Portfolio | Bloomberg Barclays Muni High Yield 5% Tobacco Cap 2% Issuer Cap Index | Bloomberg Barclays Muni BBB Index | Bloomberg Barclays Municipal Bond Index | Morningstar High Yield Muni Average | |||||||
Year ended 10/31/19 | 9.90% | 10.96% | 11.32% | 9.42% | 9.71% | ||||||
Inception (12/22/15) through 10/31/191 | 4.97% | 6.43% | 5.15% | 3.60% | 4.83% |
* | Assumes the reinvestment of all dividends and distributions. |
1 | Benchmark return is for the period beginning January 1, 2016 for the Morningstar High Yield Muni Average. |
The indices and certain terms are defined on pages 26 to 28. |
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Average Annual Total Return | |||||||
Muni Intermediate Portfolio | Bloomberg Barclays Municipal 1-10 Year Blend Index | Morningstar Muni National Intermediate Average | |||||
Year ended 10/31/19 | 6.90% | 7.04% | 8.46% | ||||
Five Years ended 10/31/19 | 2.26% | 2.52% | 2.79% | ||||
Ten Years ended 10/31/2019 | 2.57% | 3.22% | 3.46% | ||||
Inception (06/05/92) through 10/31/19 | 3.96% | 4.34% | 4.27% |
* | Index commenced 6/30/93. Thus Portfolio inception comparisons are not provided. |
** | Assumes the reinvestment of all dividends and distributions. |
The indices and certain terms are defined on pages 26 to 28. |
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Beginning Account Value (May 1, 2019) | Ending Account Value (October 31, 2019) | Annualized Expense Ratio | Expenses Paid During Period* (May 1, 2019 to October 31, 2019) | ||||
Quantitative U.S. Large Cap Core Equity Portfolio – Advisor | |||||||
Actual | $1,000.00 | $1,007.40 | 0.86% | $4.35 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.90 | 0.86 | 4.38 | |||
Quantitative U.S. Large Cap Core Equity Portfolio – Institutional | |||||||
Actual | 1,000.00 | 1,008.80 | 0.66 | 3.34 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,021.90 | 0.66 | 3.36 | |||
Quantitative U.S. Large Cap Growth Equity Portfolio – Advisor | |||||||
Actual | 1,000.00 | 1,047.60 | 0.86 | 4.44 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.90 | 0.86 | 4.38 | |||
Quantitative U.S. Large Cap Growth Equity Portfolio – Institutional | |||||||
Actual | 1,000.00 | 1,048.60 | 0.66 | 3.41 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,021.90 | 0.66 | 3.36 | |||
Quantitative U.S. Large Cap Value Equity Portfolio | |||||||
Actual | 1,000.00 | 1,018.80 | 0.85 | 4.33 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.90 | 0.85 | 4.33 | |||
Quantitative U.S. Small Cap Equity Portfolio | |||||||
Actual | 1,000.00 | 985.40 | 0.85 | 4.25 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.90 | 0.85 | 4.33 | |||
Quantitative International Equity Portfolio | |||||||
Actual | 1,000.00 | 1,022.60 | 1.00 | 5.10 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.20 | 1.00 | 5.09 | |||
Responsible ESG U.S. Equity Portfolio | |||||||
Actual | 1,000.00 | 995.40 | 0.85 | 4.28 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.90 | 0.85 | 4.33 | |||
Women in Leadership U.S. Equity Portfolio | |||||||
Actual | 1,000.00 | 1,021.90 | 0.85 | 4.33 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.90 | 0.85 | 4.33 | |||
Quantitative U.S. Long/Short Equity Portfolio – Advisor | |||||||
Actual | 1,000.00 | 978.80 | 1.20 | 5.99 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,019.20 | 1.20 | 6.11 | |||
Quantitative U.S. Long/Short Equity Portfolio – Institutional** | |||||||
Actual | 1,000.00 | 993.80 | 1.01 | 1.24 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,004.90 | 1.01 | 1.25 |
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Beginning Account Value (May 1, 2019) | Ending Account Value (October 31, 2019) | Annualized Expense Ratio | Expenses Paid During Period* (May 1, 2019 to October 31, 2019) | ||||
Quantitative U.S. Total Market Equity Portfolio | |||||||
Actual | $1,000.00 | $994.30 | 1.25% | $6.28 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,018.90 | 1.25 | 6.36 | |||
Strategic Equity Portfolio | |||||||
Actual | 1,000.00 | 1,044.10 | 0.85 | 4.38 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.90 | 0.85 | 4.33 | |||
Small Cap Equity Portfolio – Advisor | |||||||
Actual | 1,000.00 | 941.80 | 0.94 | 4.60 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.50 | 0.94 | 4.79 | |||
Small Cap Equity Portfolio – Institutional | |||||||
Actual | 1,000.00 | 942.90 | 0.74 | 3.62 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,021.50 | 0.74 | 3.77 | |||
Large Cap Value Portfolio | |||||||
Actual | 1,000.00 | 1,014.80 | 1.03 | 5.23 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.00 | 1.03 | 5.24 | |||
Equity Income Portfolio | |||||||
Actual | 1,000.00 | 1,030.70 | 0.85 | 4.35 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.90 | 0.85 | 4.33 | |||
Secured Options Portfolio – Advisor | |||||||
Actual | 1,000.00 | 1,063.80 | 0.86 | 4.47 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.90 | 0.86 | 4.38 | |||
Secured Options Portfolio – Institutional | |||||||
Actual | 1,000.00 | 1,064.20 | 0.66 | 3.43 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,021.90 | 0.66 | 3.36 | |||
Global Secured Options Portfolio | |||||||
Actual | 1,000.00 | 1,044.80 | 1.00 | 5.15 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.20 | 1.00 | 5.09 | |||
Alternative Risk Premia Portfolio | |||||||
Actual | 1,000.00 | 1,008.70 | 1.00 | 5.06 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.20 | 1.00 | 5.09 | |||
Core Fixed Income Portfolio | |||||||
Actual | 1,000.00 | 1,051.00 | 0.53 | 2.74 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,022.50 | 0.53 | 2.70 | |||
Short Term Tax Aware Fixed Income Portfolio | |||||||
Actual | 1,000.00 | 1,013.60 | 0.55 | 2.79 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,022.40 | 0.55 | 2.80 | |||
High Yield Municipal Portfolio | |||||||
Actual | 1,000.00 | 1,045.00 | 1.00 | 5.15 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.20 | 1.00 | 5.09 |
* | Expenses are calculated using the Portfolio’s annualized expense ratio (as disclosed in the table), which excludes fee waivers, dividends on securities sold short, interest expense and expense reimbursements, if any, multiplied by the average account value for the period, multiplied by the number of days in the period (184 days), and divided by the number of days in the calendar year (365 days). |
** | The Institutional Class commenced operations on September 13, 2019. Expenses are calculated using the Portfolio’s annualized expense ratio (as disclosed in the table), which excludes fee waivers, dividends on securities sold short, interest expense and expense reimbursements, if any, multiplied by the average account value for the period, multiplied by the number of days in the period (45 days) (the Portfolio began accruing expenses for this class on September 17, 2019), and divided by the number of days in the calendar year (365 days). |
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Beginning Account Value (May 1, 2019) | Ending Account Value (October 31, 2019) | Annualized Expense Ratio | Expenses Paid During Period* (May 1, 2019 to October 31, 2019) | ||||
Muni Intermediate Portfolio | |||||||
Actual | $1,000.00 | $1,024.90 | 0.24% | $1.22 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,024.00 | 0.24 | 1.22 |
* | Expenses are calculated using the Portfolio’s annualized expense ratio (as disclosed in the table), multiplied by the average account value for the period, multiplied by the number of days in the period (184 days), and divided by the number of days in the calendar year (365 days). |
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Quantitative U.S. Large Cap Core Equity Portfolio | Quantitative U.S. Large Cap Growth Equity Portfolio | Quantitative U.S. Large Cap Value Equity Portfolio | |||
Assets: | |||||
Investments at value1, 2 | $2,344,970,238 | $3,475,382,972 | $2,027,999 | ||
Repurchase agreements at value1 | — | 15,719,529 | — | ||
Cash | — | — | 8,982 | ||
Receivable from Advisor | — | — | 3,394 | ||
Receivable for securities sold | 8,315,710 | — | — | ||
Receivable for fund shares sold | 1,162,480 | 685,144 | — | ||
Dividends receivable | 2,096,429 | 2,062,584 | 3,804 | ||
Interest receivable | — | 52 | — | ||
Securities lending income receivable | 1,770 | 229 | 1 | ||
Prepaid expenses | 9,997 | 11,830 | 4 | ||
Total assets | 2,356,556,624 | 3,493,862,340 | 2,044,184 | ||
Liabilities: | |||||
Due to custodian | 1,499,933 | — | — | ||
Obligation to return securities lending collateral | 935,123 | — | — | ||
Payable for fund shares redeemed | 3,814,259 | 2,635,710 | — | ||
Payable for Management fees | 1,091,511 | 1,595,910 | 930 | ||
Payable for Directors’ fees | 34,278 | 43,063 | 18 | ||
Payable for Shareholder Servicing fees | 284,313 | 372,467 | 338 | ||
Accrued expenses | 384,692 | 493,297 | 3,227 | ||
Total liabilities | 8,044,109 | 5,140,447 | 4,513 | ||
Net Assets | $2,348,512,515 | $3,488,721,893 | $2,039,671 | ||
Net Assets consist of: | |||||
Par value ($0.001 of shares outstanding) | $87,313 | $105,452 | $198 | ||
Paid-in capital in excess of par value | 1,732,934,726 | 2,211,585,412 | 1,955,907 | ||
Total distributable earnings | 615,490,476 | 1,277,031,029 | 83,566 | ||
Total Net Assets | $2,348,512,515 | $3,488,721,893 | $2,039,671 | ||
Shares Outstanding3 | 87,312,946 | 105,452,009 | 198,133 | ||
Net Asset Value Per Share | $— | $— | $10.29 | ||
Advisor Class — based on net assets of $1,674,687,031 and $2,237,726,655, respectively and shares outstanding of 62,269,508 and 67,646,268, respectively | 26.89 | 33.08 | — | ||
Institutional Class — based on net assets of $673,825,484 and $1,250,995,238, respectively and shares outstanding of 25,043,438 and 37,805,741, respectively | 26.91 | 33.09 | — | ||
1Investments at cost | $1,830,991,907 | $2,651,143,814 | $1,874,955 | ||
2 Market value of securities on loan | $14,044,798 | $— | $18,268 | ||
3 Authorized shares | — | — | 80,000,000 | ||
Authorized shares - Advisor Class | 155,000,000 | 240,000,000 | — | ||
Authorized shares - Institutional Class | 155,000,000 | 140,000,000 | — |
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Quantitative U.S. Small Cap Equity Portfolio | Quantitative International Equity Portfolio | Responsible ESG U.S. Equity Portfolio | |||
Assets: | |||||
Investments at value1, 2 | $1,073,009 | $218,205,515 | $23,899,447 | ||
Cash | 25,472 | — | 60,044 | ||
Receivable from Advisor | 4,465 | 7,017 | 5,353 | ||
Receivable for securities sold | — | 1,950,581 | — | ||
Dividends receivable | 135 | 249,861 | 24,833 | ||
Securities lending income receivable | 12 | 13,904 | 104 | ||
Foreign tax reclaims receivable | — | 811,701 | — | ||
Prepaid expenses | 5 | 654 | 84 | ||
Total assets | 1,103,098 | 221,239,233 | 23,989,865 | ||
Liabilities: | |||||
Due to custodian | — | 1,458,716 | — | ||
Payable for securities purchased | 13,554 | — | — | ||
Obligation to return securities lending collateral | 25,804 | 13,851,480 | 738,416 | ||
Payable for fund shares redeemed | — | 77,044 | 223 | ||
Payable for Management fees | 480 | 134,996 | 10,616 | ||
Payable for Directors’ fees | 17 | 3,755 | 257 | ||
Payable for Shareholder Servicing fees | 174 | 44,999 | 3,860 | ||
Accrued expenses | 2,214 | 38,775 | 5,275 | ||
Total liabilities | 42,243 | 15,609,765 | 758,647 | ||
Net Assets | $1,060,855 | $205,629,468 | $23,231,218 | ||
Net Assets consist of: | |||||
Par value ($0.001 of shares outstanding) | $102 | $14,721 | $1,620 | ||
Paid-in capital in excess of par value | 1,003,022 | 191,451,207 | 20,007,973 | ||
Total distributable earnings | 57,731 | 14,163,540 | 3,221,625 | ||
Total Net Assets | $1,060,855 | $205,629,468 | $23,231,218 | ||
Shares Outstanding3 | 102,055 | 14,721,244 | 1,620,176 | ||
Net Asset Value Per Share | $10.39 | $13.97 | $14.34 | ||
1Investments at cost | $973,287 | $198,877,049 | $20,684,953 | ||
2 Market value of securities on loan | $47,198 | $20,247,354 | $729,891 | ||
3 Authorized shares | 80,000,000 | 120,000,000 | 80,000,000 |
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Women in Leadership U.S. Equity Portfolio | Quantitative U.S. Long/Short Equity Portfolio | Quantitative U.S. Total Market Equity Portfolio | |||
Assets: | |||||
Investments at value1, 2 | $20,896,415 | $245,452,959 | $87,856,794 | ||
Repurchase agreements at value1 | 121,654 | — | — | ||
Receivable from Advisor | 6,118 | — | 7,056 | ||
Receivable for securities sold | — | — | 145,654 | ||
Receivable for fund shares sold | 22,345 | 4,028 | 84 | ||
Dividends receivable | 18,340 | 257,020 | 84,227 | ||
Interest receivable | — | 181,751 | — | ||
Securities lending income receivable | — | 110 | 117 | ||
Cash collateral on deposit at broker (Note 1) | — | 177,020,371 | 180,396 | ||
Prepaid expenses | 77 | 806 | 192 | ||
Total assets | 21,064,949 | 422,917,045 | 88,274,520 | ||
Liabilities: | |||||
Due to custodian | — | 1,176,369 | 22,775 | ||
Payable for securities purchased | — | 1,541,606 | — | ||
Obligation to return securities lending collateral | — | 1,386,900 | 180,396 | ||
Payable for fund shares redeemed | — | 2,834 | — | ||
Dividend payable on securities sold short | — | 132,876 | 17,701 | ||
Payable for securities sold short, at value3 | — | 171,182,237 | 20,037,712 | ||
Payable for Management fees | 9,579 | 178,791 | 48,823 | ||
Payable for Directors’ fees | 228 | 3,758 | 1,018 | ||
Payable for Shareholder Servicing fees | 3,483 | 42,060 | 11,488 | ||
Accrued expenses | 4,870 | 44,861 | 31,240 | ||
Total liabilities | 18,160 | 175,692,292 | 20,351,153 | ||
Net Assets | $21,046,789 | $247,224,753 | $67,923,367 | ||
Net Assets consist of: | |||||
Par value ($0.001 of shares outstanding) | $1,506 | $20,783 | $3,799 | ||
Paid-in capital in excess of par value | 17,891,671 | 225,224,750 | 43,681,545 | ||
Total distributable earnings | 3,153,612 | 21,979,220 | 24,238,023 | ||
Total Net Assets | $21,046,789 | $247,224,753 | $67,923,367 | ||
Shares Outstanding4 | 1,505,748 | 20,782,876 | 3,798,620 | ||
Net Asset Value Per Share | $13.98 | $— | $17.88 | ||
Advisor Class — based on net assets of $247,209,196 and shares outstanding of 20,781,568 | — | 11.90 | — | ||
Institutional Class — based on net assets of $15,557 and shares outstanding of 1,308 | — | 11.89 | — | ||
1Investments at cost | $17,840,436 | $203,290,770 | $67,583,804 | ||
2 Market value of securities on loan | $— | $1,331,424 | $1,138,865 | ||
3 Proceeds from securities sold short | $— | $163,715,924 | $20,890,959 | ||
4 Authorized shares | 80,000,000 | — | 120,000,000 | ||
Authorized shares - Advisor Class | — | 120,000,000 | — | ||
Authorized shares - Institutional Class | — | 120,000,000 | — |
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Strategic Equity Portfolio | Small Cap Equity Portfolio | Large Cap Value Portfolio | |||
Assets: | |||||
Investments at value1, 2 | $262,612,586 | $2,132,730,060 | $39,590,291 | ||
Repurchase agreements at value1 | 6,357,561 | 9,850,204 | — | ||
Cash | — | — | 69,677 | ||
Receivable for securities sold | — | 3,128,823 | 328,942 | ||
Receivable for fund shares sold | 53,945 | 905,582 | 3,025 | ||
Dividends receivable | 209,265 | 185,204 | 42,073 | ||
Interest receivable | 21 | 33 | — | ||
Securities lending income receivable | 134 | 17,281 | 104 | ||
Prepaid expenses | 520 | 10,018 | 134 | ||
Total assets | 269,234,032 | 2,146,827,205 | 40,034,246 | ||
Liabilities: | |||||
Payable for securities purchased | — | 3,660,984 | — | ||
Obligation to return securities lending collateral | — | 91,536,981 | 7,645 | ||
Payable for fund shares redeemed | — | 8,478,546 | 121,076 | ||
Payable for Management fees | 123,126 | 958,489 | 18,400 | ||
Payable for Directors’ fees | 3,173 | 36,027 | 736 | ||
Payable for Shareholder Servicing fees | 44,773 | 217,780 | 6,691 | ||
Accrued expenses | 29,462 | 432,575 | 11,157 | ||
Total liabilities | 200,534 | 105,321,382 | 165,705 | ||
Net Assets | $269,033,498 | $2,041,505,823 | $39,868,541 | ||
Net Assets consist of: | |||||
Par value ($0.001 of shares outstanding) | $9,884 | $83,247 | $4,005 | ||
Paid-in capital in excess of par value | 151,231,205 | 2,098,633,624 | 31,475,387 | ||
Total distributable earnings | 117,792,409 | (57,211,048) | 8,389,149 | ||
Total Net Assets | $269,033,498 | $2,041,505,823 | $39,868,541 | ||
Shares Outstanding3 | 9,883,797 | 83,247,192 | 4,004,944 | ||
Net Asset Value Per Share | $27.22 | $— | $9.95 | ||
Advisor Class — based on net assets of $761,813,293 and shares outstanding of 32,194,218 | — | 23.66 | — | ||
Institutional Class — based on net assets of $1,279,692,530 and shares outstanding of 51,052,974 | — | 25.07 | — | ||
1Investments at cost | $156,591,251 | $2,064,597,151 | $34,478,169 | ||
2 Market value of securities on loan | $— | $158,694,736 | $849,241 | ||
3 Authorized shares | 150,000,000 | — | 175,000,000 | ||
Authorized shares - Advisor Class | — | 180,000,000 | — | ||
Authorized shares - Institutional Class | — | 135,000,000 | — |
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Equity Income Portfolio | Secured Options Portfolio | Global Secured Options Portfolio | |||
Assets: | |||||
Investments at value1 | $23,684,641 | $1,215,493,812 | $1,174,540 | ||
Repurchase agreements at value1 | 200,493 | 2,039,197 | — | ||
Cash | — | — | 4,434 | ||
Receivable from Advisor | 2,169 | — | 14,321 | ||
Receivable for fund shares sold | — | 602,019 | — | ||
Dividends receivable | 34,160 | — | — | ||
Interest receivable | 1 | 7 | — | ||
Cash collateral on deposit at broker (Note 1) | — | 35,270 | 1,031 | ||
Foreign tax reclaims receivable | — | — | 38,510 | ||
Prepaid expenses | 71 | 2,984 | — | ||
Total assets | 23,921,535 | 1,218,173,289 | 1,232,836 | ||
Liabilities: | |||||
Payable for fund shares redeemed | — | 175,125 | — | ||
Options written, at value2 | — | 539,219,338 | 6,195 | ||
Payable for Management fees | 11,017 | 311,312 | 559 | ||
Payable for Directors’ fees | 250 | 9,129 | 16 | ||
Payable for Shareholder Servicing fees | 4,006 | 45,834 | 203 | ||
Accrued expenses | 5,960 | 105,828 | 6,309 | ||
Total liabilities | 21,233 | 539,866,566 | 13,282 | ||
Net Assets | $23,900,302 | $678,306,723 | $1,219,554 | ||
Net Assets consist of: | |||||
Par value ($0.001 of shares outstanding) | $1,956 | $51,958 | $2,471 | ||
Paid-in capital in excess of par value | 20,917,133 | 621,548,737 | 7,939,834 | ||
Total distributable earnings | 2,981,213 | 56,706,028 | (6,722,751) | ||
Total Net Assets | $23,900,302 | $678,306,723 | $1,219,554 | ||
Shares Outstanding3 | 1,955,730 | 51,957,938 | 2,471,283 | ||
Net Asset Value Per Share | $12.22 | $— | $0.49 | ||
Advisor Class — based on net assets of $268,477,542 and shares outstanding of 20,639,184 | — | 13.01 | — | ||
Institutional Class — based on net assets of $409,829,181 and shares outstanding of 31,318,754 | — | 13.09 | — | ||
1Investments at cost | $20,449,599 | $1,188,141,122 | $1,174,331 | ||
2 Premiums received from options written | $— | $527,092,902 | $19,248 | ||
3 Authorized shares | 80,000,000 | — | 120,000,000 | ||
Authorized shares - Advisor Class | — | 160,000,000 | — | ||
Authorized shares - Institutional Class | — | 160,000,000 | — |
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Table of Contents
Alternative Risk Premia Portfolio | Core Fixed Income Portfolio | Short Term Tax Aware Fixed Income Portfolio | |||
Assets: | |||||
Investments at value1, 2 | $9,146,016 | $496,375,295 | $50,582,480 | ||
Repurchase agreements at value1 | — | 6,958,320 | 859,440 | ||
Cash | 957 | — | — | ||
Receivable from Advisor | 10,704 | — | 6,810 | ||
Receivable for fund shares sold | — | 739,300 | 1,060,626 | ||
Dividends receivable | 2,615 | — | 1,194 | ||
Interest receivable | 957 | 3,496,115 | 514,180 | ||
Securities lending income receivable | 2 | 600 | 745 | ||
Cash collateral on deposit at broker (Note 1) | 1,500,760 | — | — | ||
Prepaid expenses | 12,013 | 1,251 | 119 | ||
Total assets | 10,674,024 | 507,570,881 | 53,025,594 | ||
Liabilities: | |||||
Payable for securities purchased | — | — | 101,967 | ||
Obligation to return securities lending collateral | 10,247 | 1,512,520 | 847,938 | ||
Payable for when-issued securities purchased | — | — | 1,100,784 | ||
Payable for fund shares redeemed | — | 196,474 | 10,010 | ||
Options written, at value3 | 2,606,802 | — | — | ||
Dividend payable on securities sold short | 1,830 | — | — | ||
Payable for securities sold short, at value4 | 2,403,685 | — | — | ||
Payable for Management fees | 2,617 | 150,299 | 14,098 | ||
Payable for Directors’ fees | 67 | 6,588 | 470 | ||
Payable for Shareholder Servicing fees | 951 | 42,943 | 4,028 | ||
Accrued expenses | 4,838 | 59,169 | 7,386 | ||
Total liabilities | 5,031,037 | 1,967,993 | 2,086,681 | ||
Net Assets | $5,642,987 | $505,602,888 | $50,938,913 | ||
Net Assets consist of: | |||||
Par value ($0.001 of shares outstanding) | $538 | $44,710 | $5,058 | ||
Paid-in capital in excess of par value | 5,516,971 | 488,375,394 | 50,700,236 | ||
Total distributable earnings | 125,478 | 17,182,784 | 233,619 | ||
Total Net Assets | $5,642,987 | $505,602,888 | $50,938,913 | ||
Shares Outstanding5 | 538,049 | 44,709,749 | 5,057,911 | ||
Net Asset Value Per Share | $10.49 | $11.31 | $10.07 | ||
1Investments at cost | $8,852,535 | $483,294,462 | $51,136,945 | ||
2 Market value of securities on loan | $18,619 | $1,489,117 | $830,068 | ||
3 Premiums received from options written | $2,557,729 | $— | $— | ||
4 Proceeds from securities sold short | $2,330,714 | $— | $— | ||
5 Authorized shares | 80,000,000 | 160,000,000 | 80,000,000 |
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Table of Contents
High Yield Municipal Portfolio | |
Assets: | |
Investments at value1 | $212,841,230 |
Cash | 1,002,346 |
Receivable from Advisor | 4,538 |
Interest receivable | 2,790,274 |
Prepaid expenses | 798 |
Total assets | 216,639,186 |
Liabilities: | |
Payable for when-issued securities purchased | 996,407 |
Payable for fund shares redeemed | 29,500 |
Payable for Management fees | 118,806 |
Payable for Directors’ fees | 2,693 |
Payable for Shareholder Servicing fees | 45,695 |
Accrued expenses | 27,392 |
Total liabilities | 1,220,493 |
Net Assets | $215,418,693 |
Net Assets consist of: | |
Par value ($0.001 of shares outstanding) | $19,876 |
Paid-in capital in excess of par value | 204,106,228 |
Total distributable earnings | 11,292,589 |
Total Net Assets | $215,418,693 |
Shares Outstanding2 | 19,876,482 |
Net Asset Value Per Share | $10.84 |
1Investments at cost | $201,866,896 |
2 Authorized shares | 80,000,000 |
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Quantitative U.S. Large Cap Core Equity Portfolio | Quantitative U.S. Large Cap Growth Equity Portfolio | Quantitative U.S. Large Cap Value Equity Portfolio | |||
Investment income: | |||||
Dividends1 | $56,530,254 | $45,367,029 | $51,235 | ||
Interest | 29,303 | 35,450 | 11 | ||
Income from security lending | 15,913 | 2,858 | 15 | ||
Total investment income | 56,575,470 | 45,405,337 | 51,261 | ||
Expenses: | |||||
Management fees | 14,273,135 | 18,081,692 | 9,499 | ||
Administration, transfer agent and custody fees | 2,138,498 | 2,767,123 | 35,383 | ||
Professional fees | 237,623 | 292,898 | 136 | ||
Shareholder report expenses | 131,022 | 323,113 | 1,369 | ||
Shareholder servicing fees | — | — | 3,454 | ||
Shareholder servicing fees (Advisor Class) | 3,760,490 | 4,617,585 | — | ||
Directors’ fees and expenses | 136,585 | 164,192 | 82 | ||
Offering expenses | — | — | 788 | ||
Registration and filing fees | 53,544 | 64,638 | 3,798 | ||
Other expenses | 111,253 | 140,892 | 843 | ||
Total expenses | 20,842,150 | 26,452,133 | 55,352 | ||
Less expenses waived/reimbursed | — | — | (40,048) | ||
Net expenses | 20,842,150 | 26,452,133 | 15,304 | ||
Net investment income | 35,733,320 | 18,953,204 | 35,957 | ||
Realized and unrealized gain (loss): | |||||
Net realized gain (loss) on: | |||||
Investment transactions | 97,511,180 | 437,561,861 | (50,164) | ||
Net change in unrealized gain of: | |||||
Investments | 18,552,328 | 87,830,855 | 157,634 | ||
Net realized and unrealized gain | 116,063,508 | 525,392,716 | 107,470 | ||
Net increase in net assets resulting from operations | $151,796,828 | $544,345,920 | $143,427 |
1 | The Quantitative U.S. Large Cap Core Equity Portfolio and the Quantitative U.S. Large Cap Value Equity Portfolio had foreign dividend withholding taxes of $50,839 and $51, respectively. |
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Table of Contents
Quantitative U.S. Small Cap Equity Portfolio | Quantitative International Equity Portfolio | Responsible ESG U.S. Equity Portfolio | |||
Investment income: | |||||
Dividends1 | $17,865 | $10,570,136 | $464,821 | ||
Interest | 3 | 2,611 | 399 | ||
Income from security lending | 114 | 440,711 | 488 | ||
Total investment income | 17,982 | 11,013,458 | 465,708 | ||
Expenses: | |||||
Management fees | 6,898 | 2,115,899 | 123,925 | ||
Administration, transfer agent and custody fees | 35,242 | 206,826 | 45,460 | ||
Professional fees | 113 | 23,257 | 2,129 | ||
Shareholder report expenses | 1,360 | — | 2,147 | ||
Shareholder servicing fees | 2,508 | 705,300 | 45,064 | ||
Directors’ fees and expenses | 68 | 14,672 | 1,157 | ||
Offering expenses | 788 | — | — | ||
Registration and filing fees | 3,799 | 19,309 | 20,014 | ||
Other expenses | 847 | 7,503 | 2,301 | ||
Total expenses | 51,623 | 3,092,766 | 242,197 | ||
Less expenses waived/reimbursed | (40,344) | (271,567) | (40,048) | ||
Net expenses | 11,279 | 2,821,199 | 202,149 | ||
Net investment income | 6,703 | 8,192,259 | 263,559 | ||
Realized and unrealized gain (loss): | |||||
Net realized gain (loss) on: | |||||
Investment transactions | (40,194) | (3,094,467) | (9,932) | ||
Foreign currency transactions | — | 262 | — | ||
Net realized loss | (40,194) | (3,094,205) | (9,932) | ||
Net change in unrealized gain (loss) of: | |||||
Investments | 72,618 | 12,389,808 | 1,281,319 | ||
Foreign currency translation | — | (13) | — | ||
Net change in unrealized gain | 72,618 | 12,389,795 | 1,281,319 | ||
Net realized and unrealized gain | 32,424 | 9,295,590 | 1,271,387 | ||
Net increase in net assets resulting from operations | $39,127 | $17,487,849 | $1,534,946 |
1 | The Quantitative U.S. Small Cap Equity Portfolio and the Quantitative International Equity Portfolio had foreign dividend withholding taxes of $9 and $1,201,342, respectively. |
40 |
Table of Contents
Women in Leadership U.S. Equity Portfolio | Quantitative U.S. Long/Short Equity Portfolio | Quantitative U.S. Total Market Equity Portfolio | |||
Investment income: | |||||
Dividends | $402,900 | $6,147,115 | $2,070,433 | ||
Interest | 360 | 3,349,466 | 784 | ||
Income from security lending | 195 | 3,573 | 895 | ||
Total investment income | 403,455 | 9,500,154 | 2,072,112 | ||
Expenses: | |||||
Management fees | 108,801 | 3,409,102 | 929,466 | ||
Administration, transfer agent and custody fees | 44,684 | 319,213 | 154,192 | ||
Professional fees | 1,877 | 38,566 | 6,937 | ||
Shareholder report expenses | 2,003 | 23,860 | 7,657 | ||
Shareholder servicing fees | 39,564 | — | 154,911 | ||
Shareholder servicing fees (Advisor Class) | — | 568,169 | — | ||
Dividends on securities sold short | — | 3,456,528 | 455,143 | ||
Directors’ fees and expenses | 1,009 | 15,183 | 4,151 | ||
Short position flex fees | — | — | 182,020 | ||
Registration and filing fees | 20,014 | 43,607 | 25,729 | ||
Other expenses | 2,233 | 24,444 | 2,928 | ||
Total expenses | 220,185 | 7,898,672 | 1,923,134 | ||
Less expenses waived/reimbursed | (42,646) | (994,321) | (317,777) | ||
Net expenses | 177,539 | 6,904,351 | 1,605,357 | ||
Net investment income | 225,916 | 2,595,803 | 466,755 | ||
Realized and unrealized gain (loss): | |||||
Net realized gain (loss) on: | |||||
Investment transactions | (41,509) | 20,522,413 | 4,551,491 | ||
Securities sold short | — | (12,916,841) | (1,352,071) | ||
Net realized gain (loss) | (41,509) | 7,605,572 | 3,199,420 | ||
Net change in unrealized gain (loss) of: | |||||
Investments | 1,811,502 | (2,318,539) | 1,043,855 | ||
Securities sold short | — | (21,355,520) | (2,140,171) | ||
Net change in unrealized gain (loss) | 1,811,502 | (23,674,059) | (1,096,316) | ||
Net realized and unrealized gain (loss) | 1,769,993 | (16,068,487) | 2,103,104 | ||
Net increase (decrease) in net assets resulting from operations | $1,995,909 | $(13,472,684) | $2,569,859 |
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Strategic Equity Portfolio | Small Cap Equity Portfolio | Large Cap Value Portfolio | |||
Investment income: | |||||
Dividends1 | $4,196,090 | $29,123,215 | $1,658,225 | ||
Interest | 19,205 | 153,446 | 914 | ||
Income from security lending | 3,489 | 1,228,702 | 980 | ||
Total investment income | 4,218,784 | 30,505,363 | 1,660,119 | ||
Expenses: | |||||
Management fees | 1,335,886 | 14,887,986 | 303,133 | ||
Administration, transfer agent and custody fees | 157,309 | 2,385,019 | 103,202 | ||
Professional fees | 20,490 | 259,149 | 5,089 | ||
Shareholder report expenses | 4,192 | 532,419 | 3,350 | ||
Shareholder servicing fees | 485,777 | — | 110,230 | ||
Shareholder servicing fees (Advisor Class) | — | 2,410,629 | — | ||
Shareholder servicing fees (Institutional Class) | — | 871,328 | — | ||
Directors’ fees and expenses | 12,341 | 148,156 | 2,950 | ||
Registration and filing fees | 25,569 | 43,147 | 20,529 | ||
Other expenses | 5,367 | 125,165 | 2,622 | ||
Total expenses | 2,046,931 | 21,662,998 | 551,105 | ||
Net expenses | 2,046,931 | 21,662,998 | 551,105 | ||
Net investment income | 2,171,853 | 8,842,365 | 1,109,014 | ||
Realized and unrealized gain (loss): | |||||
Net realized gain (loss) on: | |||||
Investment transactions | 5,229,853 | (115,736,254) | 3,163,193 | ||
Net change in unrealized gain (loss) of: | |||||
Investments | 26,189,127 | 6,349,518 | (884,425) | ||
Net realized and unrealized gain (loss) | 31,418,980 | (109,386,736) | 2,278,768 | ||
Net increase (decrease) in net assets resulting from operations | $33,590,833 | $(100,544,371) | $3,387,782 |
1 | The Large Cap Value Portfolio had foreign dividend withholding taxes of $1,531. |
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Table of Contents
Equity Income Portfolio | Secured Options Portfolio | Global Secured Options Portfolio | |||
Investment income: | |||||
Dividends1 | $662,649 | $284,134 | $483 | ||
Interest | 831 | 3,389,989 | 23,734 | ||
Income from security lending | 384 | — | — | ||
Total investment income | 663,864 | 3,674,123 | 24,217 | ||
Expenses: | |||||
Management fees | 120,236 | 3,822,311 | 6,805 | ||
Administration, transfer agent and custody fees | 45,986 | 579,913 | 28,860 | ||
Professional fees | 1,803 | 63,629 | 66,677 | ||
Shareholder report expenses | 2,043 | 38,757 | — | ||
Shareholder servicing fees | 43,722 | — | 2,475 | ||
Shareholder servicing fees (Advisor Class) | — | 655,223 | — | ||
Directors’ fees and expenses | 1,090 | 36,444 | 19 | ||
Interest expense | — | 1,431 | 161 | ||
Registration and filing fees | 3,750 | 45,650 | 2,451 | ||
Other expenses | 2,129 | 34,146 | 13,307 | ||
Total expenses | 220,759 | 5,277,504 | 120,755 | ||
Less expenses waived/reimbursed | (34,940) | — | (100,558) | ||
Net expenses | 185,819 | 5,277,504 | 20,197 | ||
Net investment income (loss) | 478,045 | (1,603,381) | 4,020 | ||
Realized and unrealized gain (loss): | |||||
Net realized gain (loss) on: | |||||
Investment transactions | (394,873) | 3,207 | (70,761) | ||
Written options | — | 105,691,184 | 425,857 | ||
Purchased options | — | (79,484,333) | (406,525) | ||
Net realized gain (loss) | (394,873) | 26,210,058 | (51,429) | ||
Net change in unrealized gain (loss) of: | |||||
Investments | 2,999,086 | 1,642,104 | 82,708 | ||
Written options | — | (137,389,277) | (136,449) | ||
Purchased options | — | 160,899,669 | 206,455 | ||
Net change in unrealized gain | 2,999,086 | 25,152,496 | 152,714 | ||
Net realized and unrealized gain | 2,604,213 | 51,362,554 | 101,285 | ||
Net increase in net assets resulting from operations | $3,082,258 | $49,759,173 | $105,305 |
1 | The Global Secured Options Portfolio had foreign dividend withholding taxes of $618. |
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Alternative Risk Premia Portfolio1 | Core Fixed Income Portfolio | Short Term Tax Aware Fixed Income Portfolio | |||
Investment income: | |||||
Dividends2 | $46,564 | $— | $49,996 | ||
Interest | 31,842 | 14,234,215 | 643,521 | ||
Income from security lending | 4 | 7,903 | 3,695 | ||
Other income | 153 | — | — | ||
Total investment income | 78,563 | 14,242,118 | 697,212 | ||
Expenses: | |||||
Management fees | 22,823 | 1,764,590 | 129,799 | ||
Administration, transfer agent and custody fees | 40,995 | 297,343 | 59,852 | ||
Professional fees | 2,871 | 43,632 | 3,084 | ||
Shareholder report expenses | 2,861 | 2,029 | 1,547 | ||
Shareholder servicing fees | 8,299 | 504,168 | 37,085 | ||
Dividends on securities sold short | 37,909 | — | — | ||
Directors’ fees and expenses | 223 | 25,789 | 1,765 | ||
Interest expense | 100 | — | — | ||
Offering expenses | 58,994 | — | — | ||
Registration and filing fees | 2,989 | 7,031 | 9,339 | ||
Other expenses | 1,909 | 10,571 | 2,690 | ||
Total expenses | 179,973 | 2,655,153 | 245,161 | ||
Less expenses waived/reimbursed | (100,467) | — | (41,191) | ||
Net expenses | 79,506 | 2,655,153 | 203,970 | ||
Net investment income (loss) | (943) | 11,586,965 | 493,242 | ||
Realized and unrealized gain (loss): | |||||
Net realized gain (loss) on: | |||||
Investment transactions | (69,989) | (1,158,248) | 8,214 | ||
Written options | (55,470) | — | — | ||
Securities sold short | (220,892) | — | — | ||
Purchased options | 299,015 | — | — | ||
Net realized gain (loss) | (47,336) | (1,158,248) | 8,214 | ||
Net change in unrealized gain (loss) of: | |||||
Investments | 193,307 | 39,698,066 | 563,271 | ||
Written options | (49,073) | — | — | ||
Securities sold short | (72,971) | — | — | ||
Purchased options | 100,174 | — | — | ||
Net change in unrealized gain | 171,437 | 39,698,066 | 563,271 | ||
Net realized and unrealized gain | 124,101 | 38,539,818 | 571,485 | ||
Net increase in net assets resulting from operations | $123,158 | $50,126,783 | $1,064,727 |
1 | Portfolio commenced operations on December 20, 2018. |
2 | The Alternative Risk Premia Portfolio had foreign dividend withholding taxes of $15. |
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High Yield Municipal Portfolio | |
Investment income: | |
Interest | $8,118,729 |
Total investment income | 8,118,729 |
Expenses: | |
Management fees | 1,335,268 |
Administration, transfer agent and custody fees | 166,041 |
Professional fees | 16,941 |
Shareholder report expenses | 4,894 |
Shareholder servicing fees | 513,565 |
Directors’ fees and expenses | 10,511 |
Registration and filing fees | 4,899 |
Other expenses | 9,228 |
Total expenses | 2,061,347 |
Less expenses waived/reimbursed | (7,088) |
Net expenses | 2,054,259 |
Net investment income | 6,064,470 |
Realized and unrealized gain: | |
Net realized gain on: | |
Investment transactions | 556,733 |
Net change in unrealized gain of: | |
Investments | 12,630,987 |
Net realized and unrealized gain | 13,187,720 |
Net increase in net assets resulting from operations | $19,252,190 |
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Quantitative U.S. Large Cap Core Equity Portfolio | Quantitative U.S. Large Cap Growth Equity Portfolio | Quantitative U.S. Large Cap Value Equity Portfolio | |||
Increase (decrease) in net assets | |||||
Operations: | |||||
Net investment income | $35,733,320 | $18,953,204 | $35,957 | ||
Net realized gain (loss) on: | |||||
Investment transactions | 97,511,180 | 437,561,861 | (50,164) | ||
Net change in unrealized gain of: | |||||
Investments | 18,552,328 | 87,830,855 | 157,634 | ||
Net increase in net assets resulting from operations | 151,796,828 | 544,345,920 | 143,427 | ||
Distributions from earnings | — | — | (37,522) | ||
Distributions from earnings: Advisor Class | (182,021,130) | (341,173,938) | — | ||
Distributions from earnings: Institutional Class | (67,752,894) | (115,973,534) | — | ||
Net increase (decrease) in net assets from capital share transactions (See note 5) | (395,891,886) | (5,364,443) | 841,992 | ||
Net increase (decrease) in net assets | (493,869,082) | 81,834,005 | 947,897 | ||
NET ASSETS: | |||||
Beginning of year | 2,842,381,597 | 3,406,887,888 | 1,091,774 | ||
End of year | $2,348,512,515 | $3,488,721,893 | $2,039,671 |
Quantitative U.S. Large Cap Core Equity Portfolio | Quantitative U.S. Large Cap Growth Equity Portfolio | Quantitative U.S. Large Cap Value Equity Portfolio1 | |||
Increase (decrease) in net assets | |||||
Operations: | |||||
Net investment income | $31,060,487 | $19,281,182 | $14,163 | ||
Net realized gain (loss) on: | |||||
Investment transactions | 214,504,733 | 439,898,261 | (24,574) | ||
Net change in unrealized loss of: | |||||
Investments | (127,314,232) | (206,750,443) | (4,590) | ||
Net increase (decrease) in net assets resulting from operations | 118,250,988 | 252,429,000 | (15,001) | ||
Distributions from earnings* | — | — | (12,152) | ||
Distributions from earnings: Advisor Class* | (108,519,634) | (71,840,240) | — | ||
Distributions from earnings: Institutional Class* | (32,533,715) | (22,676,269) | — | ||
Net increase (decrease) in net assets from capital share transactions (See note 5) | 191,028,830 | (688,056,159) | 1,118,927 | ||
Net increase (decrease) in net assets | 168,226,469 | (530,143,668) | 1,091,774 | ||
NET ASSETS: | |||||
Beginning of year | 2,674,155,128 | 3,937,031,556 | — | ||
End of year** | $2,842,381,597 | $3,406,887,888 | $1,091,774 |
* | The SEC eliminated the requirement to disclose distributions to shareholders from net investment income and from net realized gains in 2018. |
** | The SEC eliminated the requirement to disclose undistributed net investment income in 2018. |
1 | Portfolio commenced operations on November 13, 2017. |
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Quantitative U.S. Small Cap Equity Portfolio | Quantitative International Equity Portfolio | Responsible ESG U.S. Equity Portfolio | |||
Increase (decrease) in net assets | |||||
Operations: | |||||
Net investment income | $6,703 | $8,192,259 | $263,559 | ||
Net realized gain (loss) on: | |||||
Investment transactions | (40,194) | (3,094,467) | (9,932) | ||
Foreign currency transactions | — | 262 | — | ||
Net change in unrealized gain (loss) of: | |||||
Investments | 72,618 | 12,389,808 | 1,281,319 | ||
Foreign currency translations | — | (13) | — | ||
Net increase in net assets resulting from operations | 39,127 | 17,487,849 | 1,534,946 | ||
Distributions from earnings | (10,564) | (8,209,500) | (1,046,782) | ||
Net increase (decrease) in net assets from capital share transactions (See note 5) | (41,262) | (190,837,260) | 996,726 | ||
Net increase (decrease) in net assets | (12,699) | (181,558,911) | 1,484,890 | ||
NET ASSETS: | |||||
Beginning of year | 1,073,554 | 387,188,379 | 21,746,328 | ||
End of year | $1,060,855 | $205,629,468 | $23,231,218 |
Quantitative U.S. Small Cap Equity Portfolio1 | Quantitative International Equity Portfolio | Responsible ESG U.S. Equity Portfolio | |||
Increase (decrease) in net assets | |||||
Operations: | |||||
Net investment income | $4,780 | $8,708,828 | $153,830 | ||
Net realized gain (loss) on: | |||||
Investment transactions | (3,730) | 12,416,904 | 787,318 | ||
Net change in unrealized gain (loss) of: | |||||
Investments | 27,104 | (69,083,516) | (480,378) | ||
Foreign currency translations | — | (24) | — | ||
Net increase (decrease) in net assets resulting from operations | 28,154 | (47,957,808) | 460,770 | ||
Distributions from earnings* | (3,800) | (8,716,752) | (202,750) | ||
Net increase (decrease) in net assets from capital share transactions (See note 5) | 1,049,200 | (17,822,688) | 7,899,714 | ||
Net increase (decrease) in net assets | 1,073,554 | (74,497,248) | 8,157,734 | ||
NET ASSETS: | |||||
Beginning of year | — | 461,685,627 | 13,588,594 | ||
End of year** | $1,073,554 | $387,188,379 | $21,746,328 |
* | The SEC eliminated the requirement to disclose distributions to shareholders from net investment income and from net realized gains in 2018. |
** | The SEC eliminated the requirement to disclose undistributed net investment income in 2018. |
1 | Portfolio commenced operations on November 13, 2017. |
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Women in Leadership U.S. Equity Portfolio | Quantitative U.S. Long/Short Equity Portfolio | Quantitative U.S. Total Market Equity Portfolio | |||
Increase (decrease) in net assets | |||||
Operations: | |||||
Net investment income | $225,916 | $2,595,803 | $466,755 | ||
Net realized gain (loss) on: | |||||
Investment transactions | (41,509) | 20,522,413 | 4,551,491 | ||
Securities sold short | — | (12,916,841) | (1,352,071) | ||
Net change in unrealized gain (loss) of: | |||||
Investments | 1,811,502 | (2,318,539) | 1,043,855 | ||
Securities sold short | — | (21,355,520) | (2,140,171) | ||
Net increase (decrease) in net assets resulting from operations | 1,995,909 | (13,472,684) | 2,569,859 | ||
Distributions from earnings | (835,431) | — | (7,086,821) | ||
Distributions from earnings: Advisor Class | — | (2,429,241) | — | ||
Distributions from earnings: Institutional Class | — | (230) | — | ||
Net increase (decrease) in net assets from capital share transactions (See note 5) | 912,734 | (70,678,828) | (18,169,783) | ||
Net increase (decrease) in net assets | 2,073,212 | (86,580,983) | (22,686,745) | ||
NET ASSETS: | |||||
Beginning of year | 18,973,577 | 333,805,736 | 90,610,112 | ||
End of year | $21,046,789 | $247,224,753 | $67,923,367 |
Women in Leadership U.S. Equity Portfolio | Quantitative U.S. Long/Short Equity Portfolio | Quantitative U.S. Total Market Equity Portfolio | |||
Increase (decrease) in net assets | |||||
Operations: | |||||
Net investment income | $146,785 | $797,585 | $323,361 | ||
Net realized gain (loss) on: | |||||
Investment transactions | 625,644 | 28,360,510 | 9,329,617 | ||
Securities sold short | — | (25,562,844) | (2,752,346) | ||
Net change in unrealized gain (loss) of: | |||||
Investments | (555,008) | (24,427,733) | (6,715,343) | ||
Securities sold short | — | 11,778,484 | 1,570,230 | ||
Net increase (decrease) in net assets resulting from operations | 217,421 | (9,053,998) | 1,755,519 | ||
Distributions from earnings* | (223,116) | — | (2,506,149) | ||
Net increase in net assets from capital share transactions (See note 5) | 7,125,920 | 42,075,902 | 17,093,541 | ||
Net increase in net assets | 7,120,225 | 33,021,904 | 16,342,911 | ||
NET ASSETS: | |||||
Beginning of year | 11,853,352 | 300,783,832 | 74,267,201 | ||
End of year** | $18,973,577 | $333,805,736 | $90,610,112 |
* | The SEC eliminated the requirement to disclose distributions to shareholders from net investment income and from net realized gains in 2018. |
** | The SEC eliminated the requirement to disclose undistributed net investment income in 2018. |
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Strategic Equity Portfolio | Small Cap Equity Portfolio | Large Cap Value Portfolio | |||
Increase (decrease) in net assets | |||||
Operations: | |||||
Net investment income | $2,171,853 | $8,842,365 | $1,109,014 | ||
Net realized gain (loss) on: | |||||
Investment transactions | 5,229,853 | (115,736,254) | 3,163,193 | ||
Net change in unrealized gain (loss) of: | |||||
Investments | 26,189,127 | 6,349,518 | (884,425) | ||
Net increase (decrease) in net assets resulting from operations | 33,590,833 | (100,544,371) | 3,387,782 | ||
Distributions from earnings | (4,878,681) | — | (7,282,651) | ||
Distributions from earnings: Advisor Class | — | (177,960,747) | — | ||
Distributions from earnings: Institutional Class | — | (279,719,309) | — | ||
Return of capital distribution: Advisor Class | — | (273,516) | — | ||
Return of capital distribution: Institutional Class | — | (659,682) | — | ||
Net increase (decrease) in net assets from capital share transactions (See note 5) | 14,289,284 | (920,934,117) | (27,833,101) | ||
Net increase (decrease) in net assets | 43,001,436 | (1,480,091,742) | (31,727,970) | ||
NET ASSETS: | |||||
Beginning of year | 226,032,062 | 3,521,597,565 | 71,596,511 | ||
End of year | $269,033,498 | $2,041,505,823 | $39,868,541 |
Strategic Equity Portfolio | Small Cap Equity Portfolio | Large Cap Value Portfolio | |||
Increase (decrease) in net assets | |||||
Operations: | |||||
Net investment income | $1,795,225 | $6,865,007 | $1,314,985 | ||
Net realized gain on: | |||||
Investment transactions | 2,696,774 | 438,340,023 | 6,230,383 | ||
Net change in unrealized gain (loss) of: | |||||
Investments | 6,004,844 | (483,441,224) | (7,462,298) | ||
Net increase (decrease) in net assets resulting from operations | 10,496,843 | (38,236,194) | 83,070 | ||
Distributions from earnings* | (15,680,195) | — | (5,981,449) | ||
Distributions from earnings: Advisor Class* | — | (155,679,103) | — | ||
Distributions from earnings: Institutional Class* | — | (186,692,964) | — | ||
Net increase in net assets from capital share transactions (See note 5) | 21,876,413 | 447,569,616 | 1,030,019 | ||
Net increase (decrease) in net assets | 16,693,061 | 66,961,355 | (4,868,360) | ||
NET ASSETS: | |||||
Beginning of year | 209,339,001 | 3,454,636,210 | 76,464,871 | ||
End of year** | $226,032,062 | $3,521,597,565 | $71,596,511 |
* | The SEC eliminated the requirement to disclose distributions to shareholders from net investment income and from net realized gains in 2018. |
** | The SEC eliminated the requirement to disclose undistributed net investment income in 2018. |
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Equity Income Portfolio | Secured Options Portfolio | Global Secured Options Portfolio | |||
Increase (decrease) in net assets | |||||
Operations: | |||||
Net investment income (loss) | $478,045 | $(1,603,381) | $4,020 | ||
Net realized gain (loss) on: | |||||
Investment transactions | (394,873) | 3,207 | (70,761) | ||
Options written | — | 105,691,184 | 425,857 | ||
Purchased options | — | (79,484,333) | (406,525) | ||
Net change in unrealized gain (loss) of: | |||||
Investments | 2,999,086 | 1,642,104 | 82,708 | ||
Options written | — | (137,389,277) | (136,449) | ||
Purchased options | — | 160,899,669 | 206,455 | ||
Net increase in net assets resulting from operations | 3,082,258 | 49,759,173 | 105,305 | ||
Distributions from earnings | — | — | (1,499,811)1 | ||
Distributions from earnings: Advisor Class | (896,308) | (9,563,689) | — | ||
Distributions from earnings: Institutional Class | — | (9,335,872) | — | ||
Net increase (decrease) in net assets from capital share transactions (See note 5) | 3,178,736 | (195,021,914) | 104,141 | ||
Net increase (decrease) in net assets | 5,364,686 | (164,162,302) | (1,290,365) | ||
NET ASSETS: | |||||
Beginning of year | 18,535,616 | 842,469,025 | 2,509,919 | ||
End of year | $23,900,302 | $678,306,723 | $1,219,554 |
1 | In recognition of the 2017 capital loss carryforward limitation (pursuant to Internal Revenue Code Section 382) identified in 2018, the Global Secured Options Portfolio issued a deficiency long-term capital gain distribution in the amount of $472,081 on March 6, 2019. |
Equity Income Portfolio | Secured Options Portfolio | Global Secured Options Portfolio | |||
Increase (decrease) in net assets | |||||
Operations: | |||||
Net investment income (loss) | $352,092 | $(3,298,999) | $6,086 | ||
Net realized gain (loss) on: | |||||
Investment transactions | 344,821 | 7,341 | 978,833 | ||
Options written | — | (74,422,576) | (215,170) | ||
Purchased options | — | 113,477,232 | 608,556 | ||
Net change in unrealized gain (loss) of: | |||||
Investments | (442,641) | 677,563 | (1,013,339) | ||
Options Written | — | 124,373,837 | 150,393 | ||
Purchased options | — | (141,199,630) | (214,780) | ||
Net increase in net assets resulting from operations | 254,272 | 19,614,768 | 300,579 | ||
Distributions from earnings* | (342,969) | — | (90,635) | ||
Distributions from earnings: Advisor Class* | — | (27,003,515) | — | ||
Distributions from earnings: Institutional Class* | — | (22,919,496) | — | ||
Net increase (decrease) in net assets from capital share transactions (See note 5) | 5,654,233 | 60,394,967 | (8,341,643) | ||
Net increase (decrease) in net assets | 5,565,536 | 30,086,724 | (8,131,699) | ||
NET ASSETS: | |||||
Beginning of year | 12,970,080 | 812,382,301 | 10,641,618 | ||
End of year** | $18,535,616 | $842,469,025 | $2,509,919 |
* | The SEC eliminated the requirement to disclose distributions to shareholders from net investment income and from net realized gains in 2018. |
** | The SEC eliminated the requirement to disclose undistributed net investment income in 2018. |
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Alternative Risk Premia Portfolio1 | Core Fixed Income Portfolio | Short Term Tax Aware Fixed Income Portfolio | |||
Increase (decrease) in net assets | |||||
Operations: | |||||
Net investment income (loss) | $(943) | $11,586,965 | $493,242 | ||
Net realized gain (loss) on: | |||||
Investment transactions | (69,989) | (1,158,248) | 8,214 | ||
Options written | (55,470) | — | — | ||
Securities sold short | (220,892) | — | — | ||
Purchased options | 299,015 | — | — | ||
Net change in unrealized gain (loss) of: | |||||
Investments | 193,307 | 39,698,066 | 563,271 | ||
Options written | (49,073) | — | — | ||
Securities sold short | (72,971) | — | — | ||
Purchased options | 100,174 | — | — | ||
Net increase in net assets resulting from operations | 123,158 | 50,126,783 | 1,064,727 | ||
Distributions from earnings | — | (12,219,477) | (463,437) | ||
Net increase (decrease) in net assets from capital share transactions (See note 5) | 5,519,829 | (17,505,487) | 24,043,732 | ||
Net increase in net assets | 5,642,987 | 20,401,819 | 24,645,022 | ||
NET ASSETS: | |||||
Beginning of year | — | 485,201,069 | 26,293,891 | ||
End of year | $5,642,987 | $505,602,888 | $50,938,913 |
1 | Portfolio commenced operations on December 20, 2018. |
Core Fixed Income Portfolio | Short Term Tax Aware Fixed Income Portfolio | ||
Increase (decrease) in net assets | |||
Operations: | |||
Net investment income | $10,739,347 | $277,428 | |
Net realized loss on: | |||
Investment transactions | (1,233,187) | (55,210) | |
Net change in unrealized loss of: | |||
Investments | (20,734,389) | (221,379) | |
Net increase (decrease) in net assets resulting from operations | (11,228,229) | 839 | |
Distributions from earnings* | (13,346,135) | (272,978) | |
Net increase (decrease) in net assets from capital share transactions (See note 5) | 21,227,341 | (7,334,294) | |
Net increase (decrease) in net assets | (3,347,023) | (7,606,433) | |
NET ASSETS: | |||
Beginning of year | 488,548,092 | 33,900,324 | |
End of year** | $485,201,069 | $26,293,891 |
* | The SEC eliminated the requirement to disclose distributions to shareholders from net investment income and from net realized gains in 2018. |
** | The SEC eliminated the requirement to disclose undistributed net investment income in 2018. |
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High Yield Municipal Portfolio | |
Increase (decrease) in net assets | |
Operations: | |
Net investment income | $6,064,470 |
Net realized gain on: | |
Investment transactions | 556,733 |
Net change in unrealized gain of: | |
Investments | 12,630,987 |
Net increase in net assets resulting from operations | 19,252,190 |
Distributions from earnings | (6,056,196) |
Net increase in net assets from capital share transactions (See note 5) | 9,903,571 |
Net increase in net assets | 23,099,565 |
NET ASSETS: | |
Beginning of year | 192,319,128 |
End of year | $215,418,693 |
High Yield Municipal Portfolio | |
Increase (decrease) in net assets | |
Operations: | |
Net investment income | $5,452,871 |
Net realized loss on: | |
Investment transactions | (302,326) |
Net change in unrealized loss of: | |
Investments | (3,329,635) |
Net increase in net assets resulting from operations | 1,820,910 |
Distributions from earnings* | (5,398,931) |
Net increase in net assets from capital share transactions (See note 5) | 25,457,385 |
Net increase in net assets | 21,879,364 |
NET ASSETS: | |
Beginning of year | 170,439,764 |
End of year** | $192,319,128 |
* | The SEC eliminated the requirement to disclose distributions to shareholders from net investment income and from net realized gains in 2018. |
** | The SEC eliminated the requirement to disclose undistributed net investment income in 2018. |
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Quantitative U.S. Long/Short Equity Portfolio | |
Cash flows from operating activities | |
Adjustments to reconcile net decrease in net assets from operations to net cash provided by (used in) operating activities | |
Net decrease in net assets resulting from operations | $(13,472,684) |
Investments purchased | (183,198,459) |
Investments sold | 277,491,876 |
Purchases to cover securities sold short | (324,013,366) |
Securities sold short | 244,288,333 |
(Purchase)/Sale of short term investments, net | 15,461,152 |
Decrease in Interest receivable | 124,914 |
Decrease in Cash collateral on deposit at broker | 43,281,320 |
Decrease in Securities lending receivable | 112 |
Decrease in Dividends receivable | 74,566 |
Decrease in Prepaid expenses | 490 |
Decrease in Obligation to return securities lending collateral | (4,005,136) |
Increase in Dividends payable for securities sold short | 14,338 |
Decrease in Payable for Management fees | (65,731) |
Increase in Payable for Directors’ fees | 161 |
Decrease in Payable for Shareholder Servicing fees | (15,475) |
Decrease in Accrued expenses | (11,718) |
Net realized gain from investments | (20,522,413) |
Net realized loss from securities sold short | 12,916,841 |
Net change in unrealized gain (loss) on investments | 2,318,539 |
Net change in unrealized gain (loss) on securities sold short | 21,355,520 |
Net cash provided by (used in) operating activities | 72,023,180 |
Cash flows from financing activities | |
Proceeds from shares sold | 26,686,106 |
Payments on shares redeemed | (97,765,529) |
Cash distributions paid | (2,120,126) |
Net cash provided by (used in) financing activities | (73,199,549) |
Net increase (decrease) in cash | (1,176,369) |
Cash at beginning of period | — |
Cash at end of period | $(1,176,369) |
Supplemental disclosure of cash flow information |
Non-cash financing activities not included herein consist of a reinvestment of dividends of $309,345. |
The Portfolio did not pay any prime broker fees during the year ended October 31, 2019. |
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Quantitative U.S. Total Market Equity Portfolio | |
Cash flows from operating activities | |
Adjustments to reconcile net increase in net assets from operations to net cash provided by (used in) operating activities | |
Net increase in net assets resulting from operations | $2,569,859 |
Investments purchased | (72,087,407) |
Investments sold | 102,497,857 |
Purchases to cover securities sold short | (39,783,695) |
Securities sold short | 33,326,784 |
(Purchase)/Sale of short term investments, net | 822,770 |
Decrease in Interest receivable | 10 |
Increase in Receivable from Investment Advisor | (4,440) |
Increase in Cash collateral on deposit at broker | (180,396) |
Increase in Securities lending receivable | (117) |
Decrease in Dividends receivable | 26,104 |
Decrease in Prepaid expenses | 145 |
Increase in Obligation to return securities lending collateral | 180,396 |
Increase in Dividends payable for securities sold short | 6,929 |
Decrease in Payable for Management fees | (18,373) |
Increase in Payable for Directors’ fees | 64 |
Decrease in Payable for Shareholder Servicing fees | (4,325) |
Decrease in Accrued expenses | (11,555) |
Net realized gain from investments | (4,551,491) |
Net realized loss from securities sold short | 1,352,071 |
Net change in unrealized gain (loss) on investments | (1,043,855) |
Net change in unrealized gain (loss) on securities sold short | 2,140,171 |
Net cash provided by (used in) operating activities | 25,237,506 |
Cash flows from financing activities | |
Proceeds from shares sold | 5,263,561 |
Payments on shares redeemed | (29,729,735) |
Cash distributions paid | (794,107) |
Net cash provided by (used in) financing activities | (25,260,281) |
Net increase (decrease) in cash | (22,775) |
Cash at beginning of period | — |
Cash at end of period | $(22,775) |
Supplemental disclosure of cash flow information |
Cash paid for interest was $182,020. |
Non-cash financing activities not included herein consist of a reinvestment of dividends of $6,292,714. |
The Portfolio did not pay any prime broker fees during the year ended October 31, 2019. |
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Alternative Risk Premia Portfolio | |
Cash flows from operating activities | |
Adjustments to reconcile net increase in net assets from operations to net cash provided by (used in) operating activities | |
Net increase in net assets resulting from operations | $123,158 |
Investments purchased | (10,505,521) |
Investments sold | 6,599,689 |
Cost of purchased options | (18,724,444) |
Proceeds from sales of purchased options | 14,046,945 |
Premiums on written options | 7,761,448 |
Written options expired/exercised/boughtback | (5,259,188) |
Purchases to cover securities sold short | (2,104,394) |
Securities sold short | 4,214,216 |
(Purchase)/Sale of short term investments, net | (10,247) |
Increase in Interest receivable | (957) |
Increase in Receivable from Investment Advisor | (10,704) |
Increase in Cash collateral on deposit at broker | (1,500,760) |
Increase in Securities lending receivable | (2) |
Increase in Dividends receivable | (2,615) |
Increase in Prepaid expenses | (12,013) |
Increase in Obligation to return securities lending collateral | 10,247 |
Increase in Dividends payable for securities sold short | 1,830 |
Increase in Payable for Management fees | 2,617 |
Increase in Payable for Directors’ fees | 67 |
Increase in Payable for Shareholder Servicing fees | 951 |
Increase in Accrued expenses | 4,838 |
Amortization of premium/(discount) on investments | (29,932) |
Net realized loss from investments | 69,989 |
Net realized (gain) loss from written options | 55,470 |
Net realized loss from securities sold short | 220,892 |
Net realized (gain) loss from purchased options | (299,015) |
Net change in unrealized gain (loss) on investments | (193,307) |
Net change in unrealized (appreciation) depreciation of written options | 49,073 |
Net change in unrealized gain (loss) on securities sold short | 72,971 |
Net change in unrealized (appreciation) depreciation of purchased options | (100,174) |
Net cash provided by (used in) operating activities | (5,518,872) |
Cash flows from financing activities | |
Proceeds from shares sold | 5,545,510 |
Payments on shares redeemed | (25,681) |
Net cash provided by (used in) financing activities | 5,519,829 |
Net increase (decrease) in cash | 957 |
Cash at beginning of period | — |
Cash at end of period | $957 |
Supplemental disclosure of cash flow information |
Cash paid for interest was $100. |
The Portfolio did not pay any prime broker fees during the year ended October 31, 2019. |
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Quantitative U.S. Large Cap Core Equity Portfolio Advisor Shares | |||||||||
For The Years Ended October 31, | |||||||||
20191 | 20181 | 2017 | 20161 | 2015 | |||||
Net asset value, beginning of year | $27.88 | $28.08 | $22.36 | $22.34 | $21.76 | ||||
Income from investment operations: | |||||||||
Net investment income | 0.35 | 0.29 | 0.23 | 0.25 | 0.22 | ||||
Net realized and unrealized gain on investments | 1.18 | 0.95 | 5.72 | 0.25 | 1.23 | ||||
Total from investment operations | 1.53 | 1.24 | 5.95 | 0.50 | 1.45 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.35) | (0.28) | (0.23) | (0.25) | (0.22) | ||||
Net realized capital gains | (2.17) | (1.16) | — | (0.23) | (0.65) | ||||
Total distributions | (2.52) | (1.44) | (0.23) | (0.48) | (0.87) | ||||
Net asset value, end of year | $26.89 | $27.88 | $28.08 | $22.36 | $22.34 | ||||
Total return | 6.42% | 4.42% | 26.74% | 2.34% | 6.83% | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of year (in 000s) | $1,674,687 | $2,075,264 | $2,124,803 | $1,691,802 | $1,643,278 | ||||
Ratio of operating expenses to average net assets | 0.86% | 0.85% | 0.86% | 0.88% | 0.87% | ||||
Ratio of net investment income to average net assets | 1.32% | 1.02% | 0.94% | 1.14% | 1.05% | ||||
Portfolio turnover rate2 | 80% | 71% | 62% | 111% | 122% |
1 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
2 | Portfolio turnover is calculated at the fund level. |
Quantitative U.S. Large Cap Core Equity Portfolio Institutional Shares | |||||||
For The Years Ended October 31, | For the Period December 30, 20151 through October 31, 20162 | ||||||
20192 | 2018 | 2017 | |||||
Net asset value, beginning of year | $27.89 | $28.09 | $22.37 | $21.85 | |||
Income from investment operations: | |||||||
Net investment income | 0.40 | 0.34 | 0.27 | 0.29 | |||
Net realized and unrealized gain on investments | 1.20 | 0.95 | 5.73 | 0.45 | |||
Total from investment operations | 1.60 | 1.29 | 6.00 | 0.74 | |||
Distributions to shareholders from: | |||||||
Net investment income | (0.41) | (0.33) | (0.28) | (0.22) | |||
Net realized capital gains | (2.17) | (1.16) | — | — | |||
Total distributions | (2.58) | (1.49) | (0.28) | (0.22) | |||
Net asset value, end of year | $26.91 | $27.89 | $28.09 | $22.37 | |||
Total return | 6.68% | 4.61% | 26.96% | 3.41%3 | |||
Ratios to average net assets/ Supplemental data: | |||||||
Net assets, at end of year (in 000s) | $673,825 | $767,117 | $549,352 | $274,982 | |||
Ratio of operating expenses to average net assets | 0.66% | 0.65% | 0.66% | 0.68%4 | |||
Ratio of net investment income to average net assets | 1.52% | 1.22% | 1.12% | 1.31%4 | |||
Portfolio turnover rate5 | 80% | 71% | 62% | 111% |
1 | Commencement of operations. |
2 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
3 | Total return calculation is not annualized. |
4 | Annualized. |
5 | Portfolio turnover is calculated at the fund level. |
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Quantitative U.S. Large Cap Growth Equity Portfolio Advisor Shares | |||||||||
For The Years Ended October 31, | |||||||||
20191 | 2018 | 2017 | 20161 | 2015 | |||||
Net asset value, beginning of year | $32.52 | $31.54 | $24.76 | $24.70 | $23.05 | ||||
Income from investment operations: | |||||||||
Net investment income | 0.16 | 0.16 | 0.16 | 0.16 | 0.13 | ||||
Net realized and unrealized gain on investments | 4.86 | 1.58 | 6.77 | 0.052 | 2.26 | ||||
Total from investment operations | 5.02 | 1.74 | 6.93 | 0.21 | 2.39 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.15) | (0.17) | (0.15) | (0.15) | (0.13) | ||||
Net realized capital gains | (4.31) | (0.59) | — | — | (0.61) | ||||
Total distributions | (4.46) | (0.76) | (0.15) | (0.15) | (0.74) | ||||
Net asset value, end of year | $33.08 | $32.52 | $31.54 | $24.76 | $24.70 | ||||
Total return | 18.50% | 5.53% | 28.05% | 0.87% | 10.60% | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of year (in 000s) | $2,237,727 | $2,660,858 | $3,076,616 | $2,988,342 | $1,959,171 | ||||
Ratio of operating expenses to average net assets | 0.86% | 0.85% | 0.86% | 0.88% | 0.87% | ||||
Ratio of net investment income to average net assets | 0.53% | 0.44% | 0.56% | 0.66% | 0.59% | ||||
Portfolio turnover rate3 | 80% | 63% | 69% | 88% | 95% |
1 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
2 | The amount shown for a share outstanding does not correspond with the aggregate net realized and unrealized loss for the period due to the timing of purchases and redemptions of Portfolio shares in relation to the fluctuating net asset value per share of the Portfolio. |
3 | Portfolio turnover is calculated at the fund level. |
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Quantitative U.S. Large Cap Growth Equity Portfolio Institutional Shares | |||||||
For The Years Ended October 31, | For the Period November 5, 20151 through October 31, 20162 | ||||||
20192 | 2018 | 2017 | |||||
Net asset value, beginning of year | $32.53 | $31.55 | $24.77 | $24.83 | |||
Income from investment operations: | |||||||
Net investment income | 0.21 | 0.21 | 0.18 | 0.22 | |||
Net realized and unrealized gain (loss) on investments | 4.88 | 1.59 | 6.80 | (0.08) | |||
Total from investment operations | 5.09 | 1.80 | 6.98 | 0.14 | |||
Distributions to shareholders from: | |||||||
Net investment income | (0.22) | (0.23) | (0.20) | (0.20) | |||
Net realized capital gains | (4.31) | (0.59) | — | — | |||
Total distributions | (4.53) | (0.82) | (0.20) | (0.20) | |||
Net asset value, end of year | $33.09 | $32.53 | $31.55 | $24.77 | |||
Total return | 18.74% | 5.74% | 28.28% | 0.60%3 | |||
Ratios to average net assets/ Supplemental data: | |||||||
Net assets, at end of year (in 000s) | $1,250,995 | $746,030 | $860,416 | $35,114 | |||
Ratio of operating expenses to average net assets | 0.66% | 0.65% | 0.66% | 0.68%4 | |||
Ratio of net investment income to average net assets | 0.69% | 0.64% | 0.66% | 0.90%4 | |||
Portfolio turnover rate5 | 80% | 63% | 69% | 88% |
1 | Commencement of operations. |
2 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
3 | Total return calculation is not annualized. |
4 | Annualized. |
5 | Portfolio turnover is calculated at the fund level. |
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Quantitative U.S. Large Cap Value Equity Portfolio | |||
For The Year Ended October 31, 20192 | For the Period November 13, 20171 through October 31, 2018 | ||
Net asset value, beginning of year | $9.82 | $10.00 | |
Income from investment operations: | |||
Net investment income | 0.21 | 0.14 | |
Net realized and unrealized gain (loss) on investments | 0.49 | (0.20) | |
Total from investment operations | 0.70 | (0.06) | |
Distributions to shareholders from: | |||
Net investment income | (0.23) | (0.12) | |
Total distributions | (0.23) | (0.12) | |
Net asset value, end of year | $10.29 | $9.82 | |
Total return | 7.33%3 | (0.69)%3,4 | |
Ratios to average net assets/ Supplemental data: | |||
Net assets, at end of year (in 000s) | $2,040 | $1,092 | |
Ratio of operating expenses before waiver/reimbursement to average net assets | 3.20% | 6.52%5 | |
Ratio of operating expenses after waiver/reimbursement to average net assets | 0.89% | 1.00%5 | |
Ratio of net investment income to average net assets | 2.08% | 1.36%5 | |
Portfolio turnover rate | 77% | 61%6 |
1 | Commencement of operations. |
2 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
3 | The Total Return reflects fee waivers and/or expense reimbursements in effect and would have been lower in their absence. |
4 | Total return calculation is not annualized. |
5 | Annualized. |
6 | Calculations represent portfolio turnover for the Portfolio for the period of November 13, 2017 through October 31, 2018. |
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Quantitative U.S. Small Cap Equity Portfolio | |||
For The Year Ended October 31, 20192 | For the Period November 13, 20171 through October 31, 2018 | ||
Net asset value, beginning of year | $10.25 | $10.00 | |
Income from investment operations: | |||
Net investment income | 0.05 | 0.05 | |
Net realized and unrealized gain on investments | 0.17 | 0.24 | |
Total from investment operations | 0.22 | 0.29 | |
Distributions to shareholders from: | |||
Net investment income | (0.08) | (0.04) | |
Total distributions | (0.08) | (0.04) | |
Net asset value, end of year | $10.39 | $10.25 | |
Total return | 2.19%3 | 2.85%3,4 | |
Ratios to average net assets/ Supplemental data: | |||
Net assets, at end of year (in 000s) | $1,061 | $1,074 | |
Ratio of operating expenses before waiver/reimbursement to average net assets | 4.12% | 6.48%5 | |
Ratio of operating expenses after waiver/reimbursement to average net assets | 0.90% | 1.00%5 | |
Ratio of net investment income to average net assets | 0.53% | 0.44%5 | |
Portfolio turnover rate | 133% | 80%6 |
1 | Commencement of operations. |
2 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
3 | The Total Return reflects fee waivers and/or expense reimbursements in effect and would have been lower in their absence. |
4 | Total return calculation is not annualized. |
5 | Annualized. |
6 | Calculations represent portfolio turnover for the Portfolio for the period of November 13, 2017 through October 31, 2018. |
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Quantitative International Equity Portfolio | |||||||||
For The Years Ended October 31, | |||||||||
20191 | 2018 | 20171 | 20161 | 20151 | |||||
Net asset value, beginning of year | $13.26 | $15.16 | $12.76 | $13.45 | $13.83 | ||||
Income from investment operations: | |||||||||
Net investment income | 0.39 | 0.29 | 0.25 | 0.24 | 0.15 | ||||
Net realized and unrealized gain (loss) on investments | 0.73 | (1.90) | 2.41 | (0.71) | (0.40) | ||||
Total from investment operations | 1.12 | (1.61) | 2.66 | (0.47) | (0.25) | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.41) | (0.29) | (0.26) | (0.22) | (0.13) | ||||
Total distributions | (0.41) | (0.29) | (0.26) | (0.22) | (0.13) | ||||
Net asset value, end of year | $13.97 | $13.26 | $15.16 | $12.76 | $13.45 | ||||
Total return2 | 8.60% | (10.80)% | 20.96% | (3.44)% | (1.83)% | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of year (in 000s) | $205,629 | $387,188 | $461,686 | $441,284 | $243,403 | ||||
Ratio of operating expenses before waiver/reimbursement to average net assets | 1.10% | 1.07% | 1.06% | 1.12% | 1.24% | ||||
Ratio of operating expenses after waiver/reimbursement to average net assets | 1.00% | 1.00% | 1.00% | 1.04% | 1.24% | ||||
Ratio of net investment income to average net assets | 2.90% | 1.90% | 1.82% | 1.88% | 1.10% | ||||
Portfolio turnover rate | 93% | 78% | 75% | 121% | 148% |
1 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
2 | The Total Return reflects fee waivers and/or expense reimbursements in effect and would have been lower in their absence. |
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Responsible ESG U.S. Equity Portfolio | |||||||
For The Years Ended October 31, | For the Period December 22, 20151 through October 31, 20162 | ||||||
20192 | 2018 | 2017 | |||||
Net asset value, beginning of year | $14.12 | $13.61 | $10.84 | $10.00 | |||
Income from investment operations: | |||||||
Net investment income | 0.16 | 0.11 | 0.09 | 0.07 | |||
Net realized and unrealized gain on investments | 0.74 | 0.57 | 2.77 | 0.82 | |||
Total from investment operations | 0.90 | 0.68 | 2.86 | 0.89 | |||
Distributions to shareholders from: | |||||||
Net investment income | (0.17) | (0.11) | (0.09) | (0.05) | |||
Net realized capital gains | (0.51) | (0.06) | — | — | |||
Total distributions | (0.68) | (0.17) | (0.09) | (0.05) | |||
Net asset value, end of year | $14.34 | $14.12 | $13.61 | $10.84 | |||
Total return3 | 6.78% | 5.01% | 26.42% | 8.87%4 | |||
Ratios to average net assets/ Supplemental data: | |||||||
Net assets, at end of year (in 000s) | $23,231 | $21,746 | $13,589 | $6,561 | |||
Ratio of operating expenses before waiver/reimbursement to average net assets | 1.07% | 1.09% | 1.23% | 2.21%5 | |||
Ratio of operating expenses after waiver/reimbursement to average net assets | 0.90% | 1.00% | 1.00% | 1.00%5 | |||
Ratio of net investment income to average net assets | 1.17% | 0.87% | 0.75% | 0.76%5 | |||
Portfolio turnover rate | 102% | 61% | 54% | 65%6 |
1 | Commencement of operations. |
2 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
3 | The Total Return reflects fee waivers and/or expense reimbursements in effect and would have been lower in their absence. |
4 | Total return calculation is not annualized. |
5 | Annualized. |
6 | Calculations represent portfolio turnover for the Portfolio for the period of December 22, 2015 through October 31, 2016. |
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Women in Leadership U.S. Equity Portfolio | |||||||
For The Years Ended October 31, | For the Period December 22, 20151 through October 31, 20162 | ||||||
20192 | 20182 | 2017 | |||||
Net asset value, beginning of year | $13.34 | $13.10 | $10.65 | $10.00 | |||
Income from investment operations: | |||||||
Net investment income | 0.15 | 0.12 | 0.11 | 0.14 | |||
Net realized and unrealized gain on investments | 1.08 | 0.32 | 2.45 | 0.63 | |||
Total from investment operations | 1.23 | 0.44 | 2.56 | 0.77 | |||
Distributions to shareholders from: | |||||||
Net investment income | (0.15) | (0.11) | (0.11) | (0.12) | |||
Net realized capital gains | (0.44) | (0.09) | — | — | |||
Total distributions | (0.59) | (0.20) | (0.11) | (0.12) | |||
Net asset value, end of year | $13.98 | $13.34 | $13.10 | $10.65 | |||
Total return3 | 9.75% | 3.36% | 24.11% | 7.73%4 | |||
Ratios to average net assets/ Supplemental data: | |||||||
Net assets, at end of year (in 000s) | $21,047 | $18,974 | $11,853 | $6,517 | |||
Ratio of operating expenses before waiver/reimbursement to average net assets | 1.11% | 1.11% | 1.28% | 2.22%5 | |||
Ratio of operating expenses after waiver/reimbursement to average net assets | 0.90% | 1.00% | 1.00% | 1.00%5 | |||
Ratio of net investment income to average net assets | 1.14% | 0.88% | 0.88% | 1.31%5 | |||
Portfolio turnover rate | 89% | 81% | 70% | 81%6 |
1 | Commencement of operations. |
2 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
3 | The Total Return reflects fee waivers and/or expense reimbursements in effect and would have been lower in their absence. |
4 | Total return calculation is not annualized. |
5 | Annualized. |
6 | Calculations represent portfolio turnover for the Portfolio for the period of December 22, 2015 through October 31, 2016. |
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Quantitative U.S. Long/Short Equity Portfolio Advisor Shares | |||||||||
For The Years Ended October 31, | |||||||||
20191 | 20181 | 20171 | 20161 | 20151 | |||||
Net asset value, beginning of year | $12.55 | $12.86 | $11.39 | $11.32 | $10.80 | ||||
Income from investment operations: | |||||||||
Net investment income (loss) | 0.11 | 0.03 | (0.05) | (0.03) | (0.07) | ||||
Net realized and unrealized gain (loss) on investments | (0.65) | (0.34) | 1.52 | 0.10 | 0.59 | ||||
Total from investment operations | (0.54) | (0.31) | 1.47 | 0.07 | 0.52 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.11) | — | — | — | — | ||||
Total distributions | (0.11) | — | — | — | — | ||||
Net asset value, end of year | $11.90 | $12.55 | $12.86 | $11.39 | $11.32 | ||||
Total return2 | (4.33)% | (2.41)% | 12.91% | 0.62% | 4.81%3 | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of year (in 000s) | $247,209 | $333,806 | $300,784 | $239,413 | $193,480 | ||||
Ratio of operating expenses before waiver/reimbursement to average net assets | 2.78% | 2.61% | 2.77% | 2.73% | 2.64% | ||||
Ratio of operating expenses after waiver/reimbursement to average net assets4 | 2.43% | 2.26% | 2.42% | 2.38% | 2.29% | ||||
Ratio of net investment income (loss) to average net assets | 0.91% | 0.24% | (0.43)% | (0.41)% | (0.67)% | ||||
Portfolio turnover rate5,6 | 108% | 84% | 65% | 98% | 119% |
1 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
2 | The Total Return reflects fee waivers and/or expense reimbursements in effect and would have been lower in their absence. |
3 | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions as shown in the management discussion and analysis and as otherwise reported to shareholders. |
4 | The ratio of operating expenses after waiver/reimbursement excluding dividends on securities sold short was 1.21%, 1.15%, 1.15%, 1.17% and 1.16% for the years ended October 31, 2019, 2018, 2017, 2016 and 2015 respectively. |
5 | Portfolio turnover is calculated at the fund level. |
6 | The calculation of the portfolio turnover rate reflects the absolute value of the long and short positions. |
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Quantitative U.S. Long/Short Equity Portfolio Institutional Shares | |
For the Period September 13, 20191 through October 31, 20192 | |
Net asset value, beginning of period | $12.00 |
Income from investment operations: | |
Net investment income | 0.01 |
Net realized and unrealized gain (loss) on investments | (0.08) |
Total from investment operations | (0.07) |
Distributions to shareholders from: | |
Net investment income | (0.04) |
Total distributions | (0.04) |
Net asset value, end of period | $11.89 |
Total return3,4 | (0.62)% |
Ratios to average net assets/ Supplemental data: | |
Net assets, at end of period (in 000s) | $16 |
Ratio of operating expenses before waiver/reimbursement to average net assets5 | 2.36% |
Ratio of operating expenses after waiver/reimbursement to average net assets5,6 | 2.01% |
Ratio of net investment income to average net assets5 | 0.36% |
Portfolio turnover rate7,8 | 108% |
1 | Shareholder activity commenced on September 13, 2019. |
2 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
3 | The Total Return reflects fee waivers and/or expense reimbursements in effect and would have been lower in their absence. |
4 | Total return calculation is not annualized. |
5 | Annualized. |
6 | The ratio of operating expenses after waiver/reimbursement excluding dividends on securities sold short was 1.01%, for the period ended October 31, 2019. |
7 | Portfolio turnover is calculated at the fund level. |
8 | The calculation of the portfolio turnover rate reflects the absolute value of the long and short positions. |
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Quantitative U.S. Total Market Equity Portfolio | |||||||||
For The Years Ended October 31, | |||||||||
20191 | 2018 | 2017 | 2016 | 2015 | |||||
Net asset value, beginning of year | $18.85 | $18.88 | $14.65 | $14.68 | $15.07 | ||||
Income from investment operations: | |||||||||
Net investment income | 0.11 | 0.07 | 0.04 | 0.09 | 0.08 | ||||
Net realized and unrealized gain (loss) on investments | 0.49 | 0.51 | 4.23 | (0.04) | 0.49 | ||||
Total from investment operations | 0.60 | 0.58 | 4.27 | 0.05 | 0.57 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.11) | (0.06) | (0.04) | (0.08) | (0.08) | ||||
Net realized capital gains | (1.46) | (0.55) | — | — | (0.88) | ||||
Total distributions | (1.57) | (0.61) | (0.04) | (0.08) | (0.96) | ||||
Net asset value, end of year | $17.88 | $18.85 | $18.88 | $14.65 | $14.68 | ||||
Total return2 | 4.11% | 3.01% | 29.18% | 0.37% | 3.94% | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of year (in 000s) | $67,923 | $90,610 | $74,267 | $61,083 | $88,734 | ||||
Ratio of operating expenses before waiver/reimbursement to average net assets | 2.48% | 2.31% | 2.40% | 2.59% | 2.29% | ||||
Ratio of operating expenses after waiver/reimbursement to average net assets3 | 2.07% | 1.96% | 2.05% | 2.16% | 1.93% | ||||
Ratio of net investment income to average net assets | 0.60% | 0.37% | 0.24% | 0.56% | 0.55% | ||||
Portfolio turnover rate4 | 92% | 82% | 70% | 88% | 129% |
1 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
2 | The Total Return reflects fee waivers and/or expense reimbursements in effect and would have been lower in their absence. |
3 | The ratio of operating expenses after waiver/reimbursement excluding dividends on securities sold short and flex fees was 1.25%, 1.25%, 1.23%, 1.25% and 1.25% for the years ended October 31, 2019, 2018, 2017, 2016 and 2015, respectively. |
4 | The calculation of the portfolio turnover rate reflects the absolute value of the long and short positions. |
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Strategic Equity Portfolio | |||||||||
For The Years Ended October 31, | |||||||||
20191 | 2018 | 2017 | 2016 | 2015 | |||||
Net asset value, beginning of year | $24.30 | $24.90 | $20.94 | $21.80 | $23.89 | ||||
Income from investment operations: | |||||||||
Net investment income | 0.23 | 0.20 | 0.19 | 0.21 | 0.23 | ||||
Net realized and unrealized gain on investments | 3.22 | 1.07 | 5.35 | 0.81 | 0.76 | ||||
Total from investment operations | 3.45 | 1.27 | 5.54 | 1.02 | 0.99 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.23) | (0.20) | (0.19) | (0.20) | (0.24) | ||||
Net realized capital gains | (0.30) | (1.67) | (1.39) | (1.68) | (2.84) | ||||
Total distributions | (0.53) | (1.87) | (1.58) | (1.88) | (3.08) | ||||
Net asset value, end of year | $27.22 | $24.30 | $24.90 | $20.94 | $21.80 | ||||
Total return | 14.51% | 5.14% | 27.83% | 5.22% | 4.49% | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of year (in 000s) | $269,033 | $226,032 | $209,339 | $176,864 | $174,409 | ||||
Ratio of operating expenses to average net assets | 0.84% | 0.83% | 0.82% | 0.84% | 0.84% | ||||
Ratio of net investment income to average net assets | 0.89% | 0.79% | 0.84% | 1.00% | 1.03% | ||||
Portfolio turnover rate | 19% | 6% | 15% | 22% | 23% |
1 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
Small Cap Equity Portfolio Advisor Shares | |||||||||
For The Years Ended October 31, | |||||||||
20191 | 2018 | 2017 | 2016 | 2015 | |||||
Net asset value, beginning of year | $28.82 | $32.13 | $25.61 | $26.02 | $26.30 | ||||
Income from investment operations: | |||||||||
Net investment income (loss) | 0.05 | 0.02 | (0.01) | 0.03 | 0.02 | ||||
Net realized and unrealized gain (loss) on investments | (1.04) | (0.10) | 7.07 | (0.15) | 0.74 | ||||
Total from investment operations | (0.99) | (0.08) | 7.06 | (0.12) | 0.76 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.07) | (0.02) | (0.02) | (0.05) | (0.02) | ||||
Net realized capital gains | (4.09) | (3.21) | (0.52) | (0.24) | (1.02) | ||||
Net return of capital | (0.01) | — | — | — | — | ||||
Total distributions | (4.17) | (3.23) | (0.54) | (0.29) | (1.04) | ||||
Net asset value, end of year | $23.66 | $28.82 | $32.13 | $25.61 | $26.02 | ||||
Total return | (2.61)% | (0.58)% | 27.84% | (0.43)% | 3.03% | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of year (in 000s) | $761,813 | $1,390,136 | $1,574,979 | $1,367,160 | $1,399,042 | ||||
Ratio of operating expenses to average net assets | 0.93% | 0.90% | 0.90% | 0.91% | 0.91% | ||||
Ratio of net investment income (loss) to average net assets | 0.21% | 0.07% | (0.04)% | 0.12% | 0.07% | ||||
Portfolio turnover rate2 | 54% | 44% | 63% | 58% | 53% |
1 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
2 | Portfolio turnover is calculated at the fund level. |
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Small Cap Equity Portfolio Institutional Shares | |||||||||
For The Years Ended October 31, | |||||||||
20191 | 2018 | 2017 | 2016 | 2015 | |||||
Net asset value, beginning of year | $30.25 | $33.54 | $26.67 | $27.07 | $27.28 | ||||
Income from investment operations: | |||||||||
Net investment income | 0.10 | 0.09 | 0.05 | 0.08 | 0.08 | ||||
Net realized and unrealized gain (loss) on investments | (1.06) | (0.10) | 7.37 | (0.16) | 0.76 | ||||
Total from investment operations | (0.96) | (0.01) | 7.42 | (0.08) | 0.84 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.12) | (0.07) | (0.03) | (0.08) | (0.03) | ||||
Net realized capital gains | (4.09) | (3.21) | (0.52) | (0.24) | (1.02) | ||||
Net return of capital | (0.01) | — | — | — | — | ||||
Total distributions | (4.22) | (3.28) | (0.55) | (0.32) | (1.05) | ||||
Net asset value, end of year | $25.07 | $30.25 | $33.54 | $26.67 | $27.07 | ||||
Total return | (2.38)% | (0.36)% | 28.10% | (0.25)% | 3.24% | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of year (in 000s) | $1,279,693 | $2,131,461 | $1,879,657 | $1,264,752 | $963,970 | ||||
Ratio of operating expenses to average net assets | 0.73% | 0.70% | 0.70% | 0.71% | 0.71% | ||||
Ratio of net investment income to average net assets | 0.39% | 0.27% | 0.16% | 0.30% | 0.26% | ||||
Portfolio turnover rate2 | 54% | 44% | 63% | 58% | 53% |
1 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
2 | Portfolio turnover is calculated at the fund level. |
Large Cap Value Portfolio | |||||||||
For The Years Ended October 31, | |||||||||
20191 | 20181 | 20171 | 2016 | 20151 | |||||
Net asset value, beginning of year | $10.51 | $11.37 | $10.22 | $11.15 | $12.85 | ||||
Income from investment operations: | |||||||||
Net investment income | 0.20 | 0.19 | 0.21 | 0.19 | 0.12 | ||||
Net realized and unrealized gain (loss) on investments | 0.51 | (0.16) | 1.96 | 0.30 | 0.06 | ||||
Total from investment operations | 0.71 | 0.03 | 2.17 | 0.49 | 0.18 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.20) | (0.18) | (0.24) | (0.17) | (0.11) | ||||
Net realized capital gains | (1.07) | (0.71) | (0.78) | (1.25) | (1.77) | ||||
Total distributions | (1.27) | (0.89) | (1.02) | (1.42) | (1.88) | ||||
Net asset value, end of year | $9.95 | $10.51 | $11.37 | $10.22 | $11.15 | ||||
Total return | 8.24%2 | 0.04% | 22.17% | 5.58% | 1.28% | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of year (in 000s) | $39,869 | $71,597 | $76,465 | $72,154 | $83,065 | ||||
Ratio of operating expenses to average net assets | 1.00% | 0.91% | 0.91% | 0.91% | 0.91% | ||||
Ratio of net investment income to average net assets | 2.01% | 1.69% | 1.99% | 1.83% | 1.03% | ||||
Portfolio turnover rate | 64% | 71% | 93% | 110% | 106% |
1 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
2 | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions as shown in the management discussion and analysis and as otherwise reported to shareholders. |
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Equity Income Portfolio | |||||
For The Years Ended October 31, | For the Period December 21, 20161 through October 31, 20172 | ||||
20192 | 2018 | ||||
Net asset value, beginning of year | $11.15 | $11.06 | $10.00 | ||
Income from investment operations: | |||||
Net investment income | 0.25 | 0.22 | 0.16 | ||
Net realized and unrealized gain on investments | 1.33 | 0.09 | 1.01 | ||
Total from investment operations | 1.58 | 0.31 | 1.17 | ||
Distributions to shareholders from: | |||||
Net investment income | (0.25) | (0.22) | (0.11) | ||
Net realized capital gains | (0.26) | (0.00)3 | — | ||
Total distributions | (0.51) | (0.22) | (0.11) | ||
Net asset value, end of year | $12.22 | $11.15 | $11.06 | ||
Total return4 | 14.69% | 2.79% | 11.77%5 | ||
Ratios to average net assets/ Supplemental data: | |||||
Net assets, at end of year (in 000s) | $23,900 | $18,536 | $12,970 | ||
Ratio of operating expenses before waiver/reimbursement to average net assets | 1.01% | 1.11% | 2.08%6 | ||
Ratio of operating expenses after waiver/reimbursement to average net assets | 0.85% | 0.85% | 0.85%6 | ||
Ratio of net investment income to average net assets | 2.19% | 2.02% | 1.82%6 | ||
Portfolio turnover rate | 39% | 29% | 14%7 |
1 | Commencement of operations. |
2 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
3 | Amount rounds to less than $0.01 per share. |
4 | The Total Return reflects fee waivers and/or expense reimbursements in effect and would have been lower in their absence. |
5 | Total return calculation is not annualized. |
6 | Annualized. |
7 | Calculations represent portfolio turnover for the Portfolio for the period of December 21, 2016 through October 31, 2017. |
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Secured Options Portfolio Advisor Shares | |||||||||
For The Years Ended October 31, | |||||||||
20191 | 2018 | 20171 | 20161 | 20151 | |||||
Net asset value, beginning of year | $12.30 | $12.75 | $12.45 | $12.57 | $12.47 | ||||
Income from investment operations: | |||||||||
Net investment income (loss) | (0.04) | (0.06) | (0.08) | (0.09) | (0.09) | ||||
Net realized and unrealized gain on investments | 1.04 | 0.40 | 0.99 | 0.68 | 0.84 | ||||
Total from investment operations | 1.00 | 0.34 | 0.91 | 0.59 | 0.75 | ||||
Distributions to shareholders from: | |||||||||
Net realized capital gains | (0.29) | (0.79) | (0.61) | (0.71) | (0.65) | ||||
Total distributions | (0.29) | (0.79) | (0.61) | (0.71) | (0.65) | ||||
Net asset value, end of year | $13.01 | $12.30 | $12.75 | $12.45 | $12.57 | ||||
Total return | 8.43% | 2.81% | 7.53% | 5.08% | 6.37% | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of year (in 000s) | $268,478 | $445,946 | $446,859 | $574,200 | $395,163 | ||||
Ratio of operating expenses to average net assets2 | 0.87%3 | 0.84% | 0.85% | 0.85% | 0.84% | ||||
Ratio of net investment income (loss) to average net assets2 | (0.34)% | (0.50)% | (0.68)% | 0.95% | (0.77)% | ||||
Portfolio turnover rate4,5 | —% | —% | —% | —% | —% |
1 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
2 | This ratio does not include the expenses for the Exchange-Traded Funds held in the Portfolio. |
3 | The ratio of operating expenses excluding interest expense was 0.86% for the year ended October 31, 2019. |
4 | Portfolio turnover is calculated at the fund level. |
5 | All trading activity in the Portfolio during the year was short term and is excluded for portfolio turnover calculations resulting in zero portfolio turnover percentage. |
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Secured Options Portfolio Institutional Shares | |||||
For The Years Ended October 31, | For the Period November 9, 20161 through October 31, 20172 | ||||
20192 | 20182 | ||||
Net asset value, beginning of year | $12.34 | $12.77 | $12.61 | ||
Income from investment operations: | |||||
Net investment income (loss) | (0.02) | (0.04) | (0.06) | ||
Net realized and unrealized gain on investments | 1.06 | 0.40 | 0.83 | ||
Total from investment operations | 1.04 | 0.36 | 0.77 | ||
Distributions to shareholders from: | |||||
Net realized capital gains | (0.29) | (0.79) | (0.61) | ||
Total distributions | (0.29) | (0.79) | (0.61) | ||
Net asset value, end of year | $13.09 | $12.34 | $12.77 | ||
Total return | 8.73% | 2.97% | 6.34%3 | ||
Ratios to average net assets/ Supplemental data: | |||||
Net assets, at end of year (in 000s) | $409,829 | $396,523 | $365,523 | ||
Ratio of operating expenses to average net assets4 | 0.67%5 | 0.64% | 0.65%6 | ||
Ratio of net investment income (loss) (expenses in excess of income) to average net assets4 | (0.14)% | (0.30)% | (0.45)%6 | ||
Portfolio turnover rate7,8 | —% | —% | —% |
1 | Class commenced operations on November 9, 2016. |
2 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
3 | Total return calculation is not annualized. |
4 | This ratio does not include the expenses for the Exchange-Traded Funds held in the Portfolio. |
5 | The ratio of operating expenses excluding interest expense was 0.66% for the year ended October 31, 2019. |
6 | Annualized. |
7 | Portfolio turnover is calculated at the fund level. |
8 | All trading activity in the Portfolio during the year was short term and is excluded for portfolio turnover calculations resulting in zero portfolio turnover percentage. |
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Global Secured Options Portfolio | |||||||||
For The Years Ended October 31, | |||||||||
20191 | 20181 | 20171 | 20161 | 20151 | |||||
Net asset value, beginning of year | $10.41 | $10.58 | $9.60 | $9.96 | $10.58 | ||||
Income from investment operations: | |||||||||
Net investment income | 0.002 | 0.01 | 0.06 | 0.15 | 0.19 | ||||
Net realized and unrealized gain (loss) on investments | (0.57) | (0.09) | 0.99 | (0.30) | (0.48) | ||||
Total from investment operations | (0.57) | (0.08) | 1.05 | (0.15) | (0.29) | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.00)2 | (0.09) | (0.07) | (0.21) | (0.21) | ||||
Net realized capital gains | (9.35) | — | — | — | (0.12) | ||||
Total distributions | (9.35) | (0.09) | (0.07) | (0.21) | (0.33) | ||||
Net asset value, end of year | $0.49 | $10.41 | $10.58 | $9.60 | $9.96 | ||||
Total return | 8.56%3 | (0.76)% | 10.94% | (1.47)% | (2.78)% | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of year (in 000s) | $1,220 | $2,510 | $10,642 | $28,818 | $88,478 | ||||
Ratio of operating expenses to average net assets4 | —% | 1.17%5 | 1.13% | 0.91% | 0.84% | ||||
Ratio of operating expenses before waiver/reimbursement to average net assets4 | 9.76% | —% | —% | —% | —% | ||||
Ratio of operating expenses after waiver/reimbursement to average net assets4 | 1.63%5 | —% | —% | —% | —% | ||||
Ratio of net investment income to average net assets4 | 0.32% | 0.08% | 0.58% | 1.61% | 1.83% | ||||
Portfolio turnover rate | 685% | 224% | 9% | 70% | 106% |
1 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
2 | Amount rounds to less than $0.01 per share. |
3 | The Total Return reflects fee waivers and/or expense reimbursements in effect and would have been lower in their absence. |
4 | This ratio does not include the expenses for the Exchange-Traded Funds held in the Portfolio. |
5 | The ratio of operating expenses after waiver/reimbursement excluding dividends on securities sold short and interest expense was 1.62% for the year ended October 31, 2019 and 1.11% for the year ended October 31, 2018. |
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Alternative Risk Premia Portfolio | |
For the Period December 20, 20181 through October 31, 20192 | |
Net asset value, beginning of period | $10.00 |
Income from investment operations: | |
Net investment income | 0.003 |
Net realized and unrealized gain on investments | 0.49 |
Total from investment operations | 0.49 |
Net asset value, end of period | $10.49 |
Total return | 4.90%4,5 |
Ratios to average net assets/ Supplemental data: | |
Net assets, at end of period (in 000s) | $5,643 |
Ratio of operating expenses before waiver/reimbursement to average net assets | 4.34%6 |
Ratio of operating expenses after waiver/reimbursement to average net assets | 1.92%6,7 |
Ratio of net investment income to average net assets | (0.02)%6 |
Portfolio turnover rate | 120%8,9 |
1 | Portfolio commenced operations on December 20, 2018. |
2 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
3 | Amount rounds to less than $0.01 per share. |
4 | The Total Return reflects fee waivers and/or expense reimbursements in effect and would have been lower in their absence. |
5 | Total return calculation is not annualized. |
6 | Annualized. |
7 | The ratio of operating expenses after waiver/reimbursement excluding dividends on securities sold short and interest expense was 1.00% for the period ended October 31, 2019. |
8 | Calculations represent portfolio turnover for the Portfolio for the period of December 20, 2018 through October 31, 2019. |
9 | The calculation of the portfolio turnover rate reflects the absolute value of the long and short positions. |
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Core Fixed Income Portfolio | |||||||||
For The Years Ended October 31, | |||||||||
20191 | 2018 | 20171 | 2016 | 2015 | |||||
Net asset value, beginning of year | $10.49 | $11.04 | $11.26 | $11.20 | $11.21 | ||||
Income from investment operations: | |||||||||
Net investment income | 0.25 | 0.25 | 0.21 | 0.21 | 0.23 | ||||
Net realized and unrealized gain (loss) on investments | 0.83 | (0.50) | (0.13) | 0.14 | 0.01 | ||||
Total from investment operations | 1.08 | (0.25) | 0.08 | 0.35 | 0.24 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.26) | (0.26) | (0.22) | (0.23) | (0.25) | ||||
Net realized capital gains | — | (0.04) | (0.08) | (0.06) | — | ||||
Total distributions | (0.26) | (0.30) | (0.30) | (0.29) | (0.25) | ||||
Net asset value, end of year | $11.31 | $10.49 | $11.04 | $11.26 | $11.20 | ||||
Total return | 10.46% | (2.32)% | 0.75% | 3.15% | 2.20% | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of year (in 000s) | $505,603 | $485,201 | $488,548 | $486,872 | $433,086 | ||||
Ratio of operating expenses to average net assets | 0.53% | 0.52% | 0.52% | 0.54% | 0.53% | ||||
Ratio of net investment income to average net assets | 2.30% | 2.24% | 1.90% | 1.84% | 2.11% | ||||
Portfolio turnover rate | 36% | 29% | 46% | 24% | 27% |
1 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
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Short Term Tax Aware Fixed Income Portfolio | |||||||
For The Years Ended October 31, | For the Period June 29, 20161 through October 31, 20162 | ||||||
20192 | 2018 | 20172 | |||||
Net asset value, beginning of year | $9.90 | $9.98 | $9.99 | $10.00 | |||
Income from investment operations: | |||||||
Net investment income | 0.13 | 0.09 | 0.07 | 0.02 | |||
Net realized and unrealized gain (loss) on investments | 0.17 | (0.08) | (0.01) | (0.02) | |||
Total from investment operations | 0.30 | 0.01 | 0.06 | 0.00 | |||
Distributions to shareholders from: | |||||||
Net investment income | (0.13) | (0.09) | (0.07) | (0.01) | |||
Total distributions | (0.13) | (0.09) | (0.07) | (0.01) | |||
Net asset value, end of year | $10.07 | $9.90 | $9.98 | $9.99 | |||
Total return3 | 3.03% | 0.10% | 0.57% | (0.02)%4 | |||
Ratios to average net assets/ Supplemental data: | |||||||
Net assets, at end of year (in 000s) | $50,939 | $26,294 | $33,900 | $30,076 | |||
Ratio of operating expenses before waiver/reimbursement to average net assets5 | 0.66% | 0.61% | 0.69% | 0.90%6 | |||
Ratio of operating expenses after waiver/reimbursement to average net assets5 | 0.55% | 0.55% | 0.55% | 0.55%6 | |||
Ratio of net investment income to average net assets5 | 1.33% | 0.92% | 0.69% | 0.46%6 | |||
Portfolio turnover rate | 25% | 19% | 31% | 35%7 |
1 | Commencement of operations. |
2 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
3 | The Total Return reflects fee waivers and/or expense reimbursements in effect and would have been lower in their absence. |
4 | Total return calculation is not annualized. |
5 | This ratio does not include the expenses for the Exchange-Traded Funds held in the Portfolio. |
6 | Annualized. |
7 | Calculations represent portfolio turnover for the Portfolio for the period of June 29, 2016 through October 31, 2016. |
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High Yield Municipal Portfolio | |||||||
For The Years Ended October 31, | For the Period December 22, 20151 through October 31, 20162 | ||||||
20192 | 2018 | 2017 | |||||
Net asset value, beginning of year | $10.16 | $10.35 | $10.39 | $10.00 | |||
Income from investment operations: | |||||||
Net investment income | 0.31 | 0.30 | 0.30 | 0.22 | |||
Net realized and unrealized gain (loss) on investments | 0.68 | (0.19) | (0.01) | 0.34 | |||
Total from investment operations | 0.99 | 0.11 | 0.29 | 0.56 | |||
Distributions to shareholders from: | |||||||
Net investment income | (0.31) | (0.30) | (0.29) | (0.17) | |||
Net realized capital gains | — | — | (0.04) | — | |||
Total distributions | (0.31) | (0.30) | (0.33) | (0.17) | |||
Net asset value, end of year | $10.84 | $10.16 | $10.35 | $10.39 | |||
Total return | 9.90%3 | 1.04% | 2.89% | 5.56%3,4 | |||
Ratios to average net assets/ Supplemental data: | |||||||
Net assets, at end of year (in 000s) | $215,419 | $192,319 | $170,440 | $153,893 | |||
Ratio of operating expenses to average net assets | —% | 0.99% | 1.00% | —% | |||
Ratio of operating expenses before waiver/reimbursement to average net assets | 1.00% | —% | —% | 1.08%5 | |||
Ratio of operating expenses after waiver/reimbursement to average net assets | 1.00% | —% | —% | 1.00%5 | |||
Ratio of net investment income to average net assets | 2.95% | 2.90% | 2.92% | 2.44%5 | |||
Portfolio turnover rate | 27%6 | 44%6 | 43%6 | 73%7 |
1 | Commencement of operations. |
2 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
3 | The Total Return reflects fee waivers and/or expense reimbursements in effect and would have been lower in their absence. |
4 | Total return calculation is not annualized. |
5 | Annualized. |
6 | Variable Rate Demand Note (VRDN) securities are excluded from the portfolio turnover calculation. |
7 | Calculations represent portfolio turnover for the Portfolio for the period of December 22, 2015 through October 31, 2016. |
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Shares | Value | ||
COMMON STOCKS* — 99.8% | |||
Airlines — 1.2% | |||
521,443 | Southwest Airlines Co. | $29,268,596 | |
Automobiles — 0.5% | |||
1,330,647 | Ford Motor Co. | 11,430,258 | |
Banks — 6.7% | |||
652,774 | Bank of America Corp. | 20,412,243 | |
425,892 | Citigroup, Inc. | 30,604,599 | |
811,475 | Citizens Financial Group, Inc. | 28,531,461 | |
1,070,661 | Fifth Third Bancorp | 31,134,822 | |
260,278 | JPMorgan Chase & Co. | 32,513,928 | |
256,339 | Wells Fargo & Co. | 13,234,782 | |
156,431,835 | |||
Beverages — 0.3% | |||
126,423 | Monster Beverage Corp.1 | 7,096,123 | |
Biotechnology — 4.5% | |||
237,288 | Alexion Pharmaceuticals, Inc.1 | 25,010,155 | |
142,320 | Amgen, Inc. | 30,349,740 | |
82,113 | Biogen, Inc.1 | 24,527,974 | |
248,291 | Celgene Corp.1 | 26,822,877 | |
106,710,746 | |||
Capital Markets — 1.6% | |||
147,533 | Ameriprise Financial, Inc. | 22,261,254 | |
168,477 | Intercontinental Exchange, Inc. | 15,890,751 | |
38,152,005 | |||
Chemicals — 1.7% | |||
150,875 | Celanese Corp. | 18,278,506 | |
810,713 | Corteva, Inc. | 21,386,609 | |
39,665,115 | |||
Communications Equipment — 2.7% | |||
800,373 | Cisco Systems, Inc. | 38,025,721 | |
181,807 | F5 Networks, Inc.1 | 26,194,753 | |
64,220,474 | |||
Consumer Finance — 3.4% | |||
1,121,873 | Ally Financial, Inc. | 34,362,970 | |
383,190 | Discover Financial Services | 30,754,829 | |
442,839 | Synchrony Financial | 15,663,216 | |
80,781,015 | |||
Containers & Packaging — 0.7% | |||
150,575 | Packaging Corp. of America | 16,481,940 | |
Electrical Equipment — 2.8% | |||
407,254 | AMETEK, Inc. | 37,324,829 | |
336,089 | Eaton Corp. PLC | 29,276,713 | |
66,601,542 | |||
Electronic Equipment, Instruments & Components — 0.5% | |||
120,050 | Keysight Technologies, Inc.1 | 12,114,246 | |
Energy Equipment & Services — 1.2% | |||
762,050 | Baker Hughes Co. | 16,307,870 | |
591,712 | TechnipFMC PLC | 11,674,478 | |
27,982,348 |
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Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Entertainment — 2.0% | |||
342,676 | Activision Blizzard, Inc. | $19,200,136 | |
285,688 | Electronic Arts, Inc.1 | 27,540,323 | |
46,740,459 | |||
Equity Real Estate Investment Trusts — 3.2% | |||
113,325 | American Tower Corp. | 24,713,916 | |
190,992 | National Retail Properties, Inc. | 11,251,339 | |
255,959 | Prologis, Inc. | 22,462,962 | |
424,678 | STORE Capital Corp. | 17,199,459 | |
75,627,676 | |||
Food & Staples Retailing — 1.8% | |||
966,727 | Kroger Co. (The) | 23,820,153 | |
229,950 | Sysco Corp. | 18,366,107 | |
42,186,260 | |||
Food Products — 1.8% | |||
367,007 | General Mills, Inc. | 18,665,976 | |
277,010 | Tyson Foods, Inc. - Class A | 22,933,658 | |
41,599,634 | |||
Health Care Equipment & Supplies — 0.8% | |||
170,518 | Medtronic PLC | 18,569,410 | |
Health Care Providers & Services — 7.0% | |||
145,600 | AmerisourceBergen Corp. | 12,431,328 | |
127,158 | Anthem, Inc. | 34,215,674 | |
274,715 | Cardinal Health, Inc. | 13,584,657 | |
447,776 | Centene Corp.1 | 23,767,950 | |
207,473 | DaVita, Inc.1 | 12,157,918 | |
225,723 | Henry Schein, Inc.1 | 14,126,874 | |
204,217 | McKesson Corp. | 27,160,861 | |
109,111 | UnitedHealth Group, Inc. | 27,572,350 | |
165,017,612 | |||
Hotels, Restaurants & Leisure — 1.4% | |||
396,723 | Starbucks Corp. | 33,546,897 | |
Household Products — 0.9% | |||
299,734 | Church & Dwight Co., Inc. | 20,963,396 | |
Independent Power & Renewable Electricity Producer — 1.9% | |||
2,655,810 | AES Corp. | 45,281,560 | |
Industrial Conglomerates — 1.4% | |||
187,005 | Honeywell International, Inc. | 32,301,374 | |
Insurance — 3.2% | |||
661,100 | Aflac, Inc. | 35,144,076 | |
376,003 | Fidelity National Financial, Inc. | 17,235,977 | |
506,505 | MetLife, Inc. | 23,699,369 | |
76,079,422 | |||
Interactive Media & Services — 2.1% | |||
10,108 | Alphabet, Inc. - Class A1 | 12,723,950 | |
184,532 | Facebook, Inc. - Class A1 | 35,365,558 | |
48,089,508 | |||
Internet & Direct Marketing Retail — 2.7% | |||
6,101 | Booking Holdings, Inc.1 | 12,499,546 | |
732,516 | eBay, Inc. | 25,821,189 |
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Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Internet & Direct Marketing Retail — (Continued) | |||
185,233 | Expedia Group, Inc. | $25,313,942 | |
63,634,677 | |||
IT Services — 6.6% | |||
177,838 | Accenture PLC - Class A | 32,974,722 | |
375,623 | Amdocs, Ltd. | 24,490,620 | |
191,864 | Cognizant Technology Solutions Corp. - Class A | 11,692,192 | |
412,360 | PayPal Holdings, Inc.1 | 42,926,676 | |
236,882 | Visa, Inc. - Class A | 42,368,714 | |
154,452,924 | |||
Machinery — 4.7% | |||
160,029 | Cummins, Inc. | 27,601,802 | |
329,309 | Ingersoll-Rand PLC | 41,786,019 | |
148,286 | Parker-Hannifin Corp. | 27,208,998 | |
82,093 | Snap-on, Inc. | 13,354,068 | |
109,950,887 | |||
Media — 3.0% | |||
833,234 | Comcast Corp. - Class A | 37,345,548 | |
434,324 | Omnicom Group, Inc.2 | 33,525,469 | |
70,871,017 | |||
Metals & Mining — 1.9% | |||
760,606 | Newmont Goldcorp Corp. | 30,218,876 | |
116,998 | Reliance Steel & Aluminum Co. | 13,576,448 | |
43,795,324 | |||
Multi-line Retail — 1.5% | |||
333,078 | Target Corp. | 35,609,369 | |
Multi-Utilities — 0.7% | |||
523,055 | CenterPoint Energy, Inc. | 15,205,209 | |
Oil, Gas & Consumable Fuels — 2.9% | |||
619,694 | Marathon Petroleum Corp. | 39,629,431 | |
302,465 | Valero Energy Corp. | 29,333,056 | |
68,962,487 | |||
Pharmaceuticals — 3.2% | |||
278,724 | Bristol-Myers Squibb Co. | 15,990,396 | |
221,377 | Elanco Animal Health, Inc.1 | 5,981,606 | |
237,364 | Eli Lilly & Co. | 27,047,628 | |
291,630 | Merck & Co., Inc. | 25,272,656 | |
74,292,286 | |||
Professional Services — 1.0% | |||
1,153,672 | Nielsen Holdings PLC | 23,258,028 | |
Real Estate Management & Development — 1.5% | |||
646,889 | CBRE Group, Inc. - Class A1 | 34,640,906 | |
Semiconductors & Semiconductor Equipment — 4.3% | |||
289,850 | Applied Materials, Inc. | 15,727,261 | |
107,579 | Lam Research Corp. | 29,158,212 | |
343,607 | NXP Semiconductors N.V. | 39,061,244 | |
138,851 | Texas Instruments, Inc. | 16,383,029 | |
100,329,746 | |||
Software — 4.8% | |||
177,175 | Cadence Design Systems, Inc.1 | 11,578,386 |
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Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Software — (Continued) | |||
315,094 | Fortinet, Inc.1 | $25,699,067 | |
269,262 | Microsoft Corp. | 38,604,093 | |
400,415 | Oracle Corp. | 21,818,613 | |
104,961 | Synopsys, Inc.1 | 14,248,456 | |
111,948,615 | |||
Specialty Retail — 2.6% | |||
427,364 | Best Buy Co., Inc. | 30,697,556 | |
266,502 | Ross Stores, Inc. | 29,227,274 | |
59,924,830 | |||
Technology Hardware, Storage & Peripherals — 2.1% | |||
640,050 | NetApp, Inc. | 35,765,994 | |
410,201 | Xerox Holdings Corp. | 13,918,120 | |
49,684,114 | |||
Tobacco — 1.0% | |||
547,784 | Altria Group, Inc. | 24,535,245 | |
TOTAL COMMON STOCKS (Cost $1,830,056,784) | 2,344,035,115 | ||
INVESTMENT OF SECURITY LENDING COLLATERAL* — 0.0% | |||
935,123 | State Street Navigator Securities Lending Government Money Market Portfolio3 | 935,123 | |
TOTAL INVESTMENT OF SECURITY LENDING COLLATERAL (Cost $935,123) | 935,123 | ||
TOTAL INVESTMENTS (Cost $1,830,991,907) | 99.8% | $2,344,970,238 | |
OTHER ASSETS IN EXCESS OF LIABILITIES | 0.2 | 3,542,277 | |
NET ASSETS | 100.0% | $2,348,512,515 |
* | Percentages indicated are based on net assets. |
1 | Non income-producing security. |
2 | Securities or partial securities on loan. See Note 1. |
3 | Represents an investment of securities lending cash collateral. |
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% of Net Assets | Value | ||
INDUSTRIES: | |||
Health Care Providers & Services | 7.0% | $165,017,612 | |
Banks | 6.7 | 156,431,835 | |
IT Services | 6.6 | 154,452,924 | |
Software | 4.8 | 111,948,615 | |
Machinery | 4.7 | 109,950,887 | |
Biotechnology | 4.5 | 106,710,746 | |
Semiconductors & Semiconductor Equipment | 4.3 | 100,329,746 | |
Consumer Finance | 3.4 | 80,781,015 | |
Insurance | 3.2 | 76,079,422 | |
Equity Real Estate Investment Trusts | 3.2 | 75,627,676 | |
Pharmaceuticals | 3.2 | 74,292,286 | |
Media | 3.0 | 70,871,017 | |
Oil, Gas & Consumable Fuels | 2.9 | 68,962,487 | |
Electrical Equipment | 2.8 | 66,601,542 | |
Communications Equipment | 2.7 | 64,220,474 | |
Internet & Direct Marketing Retail | 2.7 | 63,634,677 | |
Specialty Retail | 2.6 | 59,924,830 | |
Technology Hardware, Storage & Peripherals | 2.1 | 49,684,114 | |
Interactive Media & Services | 2.1 | 48,089,508 | |
Entertainment | 2.0 | 46,740,459 | |
Independent Power & Renewable Electricity Producer | 1.9 | 45,281,560 | |
Metals & Mining | 1.9 | 43,795,324 | |
Food & Staples Retailing | 1.8 | 42,186,260 | |
Food Products | 1.8 | 41,599,634 | |
Chemicals | 1.7 | 39,665,115 | |
Capital Markets | 1.6 | 38,152,005 | |
Multi-line Retail | 1.5 | 35,609,369 | |
Real Estate Management & Development | 1.5 | 34,640,906 | |
Hotels, Restaurants & Leisure | 1.4 | 33,546,897 | |
Industrial Conglomerates | 1.4 | 32,301,374 | |
Airlines | 1.2 | 29,268,596 | |
Energy Equipment & Services | 1.2 | 27,982,348 | |
Tobacco | 1.0 | 24,535,245 | |
Professional Services | 1.0 | 23,258,028 | |
Household Products | 0.9 | 20,963,396 | |
Health Care Equipment & Supplies | 0.8 | 18,569,410 | |
Containers & Packaging | 0.7 | 16,481,940 | |
Multi-Utilities | 0.7 | 15,205,209 | |
Electronic Equipment, Instruments & Components | 0.5 | 12,114,246 | |
Automobiles | 0.5 | 11,430,258 | |
Beverages | 0.3 | 7,096,123 | |
TOTAL COMMON STOCKS | 99.8% | $2,344,035,115 | |
INVESTMENT OF SECURITY LENDING COLLATERAL | 0.0 | 935,123 | |
TOTAL INVESTMENTS | 99.8% | $2,344,970,238 |
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Shares | Value | ||
COMMON STOCKS* — 99.6% | |||
Air Freight & Logistics — 0.7% | |||
333,097 | Expeditors International of Washington, Inc. | $24,296,095 | |
Beverages — 1.6% | |||
971,458 | Monster Beverage Corp.1 | 54,527,938 | |
Biotechnology — 7.1% | |||
356,749 | Amgen, Inc. | 76,076,724 | |
225,797 | Biogen, Inc.1 | 67,447,822 | |
712,266 | Celgene Corp.1 | 76,946,096 | |
87,584 | Regeneron Pharmaceuticals, Inc.1 | 26,825,228 | |
247,295,870 | |||
Capital Markets — 2.4% | |||
153,627 | Ameriprise Financial, Inc. | 23,180,778 | |
648,927 | Intercontinental Exchange, Inc. | 61,206,795 | |
84,387,573 | |||
Chemicals — 2.0% | |||
573,470 | Celanese Corp. | 69,475,891 | |
Communications Equipment — 3.3% | |||
75,332 | Arista Networks, Inc.1 | 18,423,947 | |
1,475,962 | Cisco Systems, Inc. | 70,122,955 | |
193,173 | F5 Networks, Inc.1 | 27,832,366 | |
116,379,268 | |||
Consumer Finance — 1.1% | |||
1,058,470 | Synchrony Financial | 37,438,084 | |
Containers & Packaging — 1.0% | |||
326,524 | International Paper Co. | 14,262,568 | |
181,995 | Packaging Corp. of America | 19,921,173 | |
34,183,741 | |||
Electrical Equipment — 2.0% | |||
742,639 | AMETEK, Inc. | 68,062,864 | |
Electronic Equipment, Instruments & Components — 3.9% | |||
821,140 | CDW Corp. | 105,032,017 | |
320,335 | Keysight Technologies, Inc.1 | 32,325,005 | |
137,357,022 | |||
Entertainment — 2.0% | |||
738,947 | Electronic Arts, Inc.1 | 71,234,491 | |
Equity Real Estate Investment Trusts — 1.8% | |||
285,658 | American Tower Corp. | 62,296,297 | |
Food & Staples Retailing — 1.0% | |||
430,455 | Sysco Corp. | 34,380,441 | |
Food Products — 0.8% | |||
194,552 | Hershey Co. (The) | 28,573,852 | |
Health Care Equipment & Supplies — 0.4% | |||
197,544 | Baxter International, Inc. | 15,151,625 | |
Health Care Providers & Services — 6.9% | |||
583,605 | AmerisourceBergen Corp. | 49,828,195 | |
929,431 | Centene Corp.1 | 49,334,197 | |
380,134 | McKesson Corp. | 50,557,822 |
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Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Health Care Providers & Services — (Continued) | |||
365,178 | UnitedHealth Group, Inc. | $92,280,481 | |
242,000,695 | |||
Hotels, Restaurants & Leisure — 2.9% | |||
371,288 | Hilton Worldwide Holdings, Inc. | 36,000,085 | |
761,590 | Starbucks Corp. | 64,400,050 | |
100,400,135 | |||
Industrial Conglomerates — 2.8% | |||
170,200 | Carlisle Cos., Inc. | 25,916,354 | |
410,705 | Honeywell International, Inc. | 70,941,075 | |
96,857,429 | |||
Insurance — 2.1% | |||
699,836 | Marsh & McLennan Cos., Inc. | 72,517,006 | |
Interactive Media & Services — 5.1% | |||
51,225 | Alphabet, Inc. - Class A1 | 64,482,030 | |
532,081 | Facebook, Inc. - Class A1 | 101,973,323 | |
52,507 | IAC/InterActiveCorp1 | 11,932,216 | |
178,387,569 | |||
Internet & Direct Marketing Retail — 0.7% | |||
731,285 | eBay, Inc. | 25,777,796 | |
IT Services — 13.0% | |||
445,976 | Accenture PLC - Class A | 82,692,870 | |
130,212 | FleetCor Technologies, Inc.1 | 38,310,975 | |
345,256 | Mastercard, Inc. - Class A | 95,570,313 | |
612,430 | Paychex, Inc. | 51,223,645 | |
830,401 | PayPal Holdings, Inc.1 | 86,444,744 | |
544,893 | Visa, Inc. - Class A | 97,459,562 | |
451,702,109 | |||
Machinery — 3.3% | |||
103,958 | Cummins, Inc. | 17,930,676 | |
776,796 | Ingersoll-Rand PLC | 98,567,644 | |
116,498,320 | |||
Media — 2.7% | |||
398,252 | Comcast Corp. - Class A | 17,849,654 | |
1,006,594 | Omnicom Group, Inc. | 77,698,991 | |
95,548,645 | |||
Multi-line Retail — 1.6% | |||
344,774 | Dollar General Corp. | 55,281,063 | |
Pharmaceuticals — 1.5% | |||
113,374 | Bristol-Myers Squibb Co. | 6,504,266 | |
517,118 | Merck & Co., Inc. | 44,813,446 | |
51,317,712 | |||
Professional Services — 1.0% | |||
630,962 | Robert Half International, Inc. | 36,135,194 | |
Semiconductors & Semiconductor Equipment — 5.7% | |||
404,491 | Applied Materials, Inc. | 21,947,682 | |
327,235 | KLA-Tencor Corp. | 55,315,804 | |
177,418 | Lam Research Corp. | 48,087,375 |
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Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Semiconductors & Semiconductor Equipment — (Continued) | |||
634,712 | Texas Instruments, Inc. | $74,889,669 | |
200,240,530 | |||
Software — 7.9% | |||
1,032,159 | Cadence Design Systems, Inc.1 | 67,451,591 | |
866,362 | Fortinet, Inc.1 | 70,660,485 | |
719,346 | Microsoft Corp. | 103,132,636 | |
317,554 | Oracle Corp. | 17,303,517 | |
336,909 | SS&C Technologies Holdings, Inc. | 17,522,637 | |
276,070,866 | |||
Specialty Retail — 8.5% | |||
1,074,372 | Best Buy Co., Inc. | 77,172,141 | |
335,091 | Home Depot, Inc. (The) | 78,605,647 | |
874,855 | Ross Stores, Inc. | 95,945,348 | |
748,075 | TJX Cos., Inc. (The) | 43,126,523 | |
294,849,659 | |||
Technology Hardware, Storage & Peripherals — 2.8% | |||
388,958 | Apple, Inc. | 96,757,192 | |
TOTAL COMMON STOCKS (Cost $2,635,424,285) | 3,475,382,972 | ||
Face Amount | |||
REPURCHASE AGREEMENT* — 0.5% | |||
$15,719,529 | With Fixed Income Clearing Corp., dated 10/31/19, 0.12%, principal and interest in the amount of $15,719,582, due 11/1/19, (collateralized by a U.S. Treasury Note with a par value of $15,125,000, coupon rate of 2.875%, due 11/30/2023, market value of $16,036,160) | 15,719,529 | |
TOTAL REPURCHASE AGREEMENT (Cost $15,719,529) | 15,719,529 | ||
TOTAL INVESTMENTS (Cost $2,651,143,814) | 100.1% | $3,491,102,501 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (0.1) | (2,380,608) | |
NET ASSETS | 100.0% | $3,488,721,893 |
* | Percentages indicated are based on net assets. |
1 | Non income-producing security. |
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% of Net Assets | Value | ||
INDUSTRIES: | |||
IT Services | 13.0% | $451,702,109 | |
Specialty Retail | 8.5 | 294,849,659 | |
Software | 7.9 | 276,070,866 | |
Biotechnology | 7.1 | 247,295,870 | |
Health Care Providers & Services | 6.9 | 242,000,695 | |
Semiconductors & Semiconductor Equipment | 5.7 | 200,240,530 | |
Interactive Media & Services | 5.1 | 178,387,569 | |
Electronic Equipment, Instruments & Components | 3.9 | 137,357,022 | |
Machinery | 3.3 | 116,498,320 | |
Communications Equipment | 3.3 | 116,379,268 | |
Hotels, Restaurants & Leisure | 2.9 | 100,400,135 | |
Industrial Conglomerates | 2.8 | 96,857,429 | |
Technology Hardware, Storage & Peripherals | 2.8 | 96,757,192 | |
Media | 2.7 | 95,548,645 | |
Capital Markets | 2.4 | 84,387,573 | |
Insurance | 2.1 | 72,517,006 | |
Entertainment | 2.0 | 71,234,491 | |
Chemicals | 2.0 | 69,475,891 | |
Electrical Equipment | 2.0 | 68,062,864 | |
Equity Real Estate Investment Trusts | 1.8 | 62,296,297 | |
Multi-line Retail | 1.6 | 55,281,063 | |
Beverages | 1.6 | 54,527,938 | |
Pharmaceuticals | 1.5 | 51,317,712 | |
Consumer Finance | 1.1 | 37,438,084 | |
Professional Services | 1.0 | 36,135,194 | |
Food & Staples Retailing | 1.0 | 34,380,441 | |
Containers & Packaging | 1.0 | 34,183,741 | |
Food Products | 0.8 | 28,573,852 | |
Internet & Direct Marketing Retail | 0.7 | 25,777,796 | |
Air Freight & Logistics | 0.7 | 24,296,095 | |
Health Care Equipment & Supplies | 0.4 | 15,151,625 | |
TOTAL COMMON STOCKS | 99.6% | $3,475,382,972 | |
REPURCHASE AGREEMENT | 0.5 | 15,719,529 | |
TOTAL INVESTMENTS | 100.1% | $3,491,102,501 |
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COMMON STOCKS* — 99.4% | |||
Airlines — 0.8% | |||
291 | Delta Air Lines, Inc. | $16,028 | |
Automobiles — 0.9% | |||
2,254 | Ford Motor Co. | 19,362 | |
Banks — 11.5% | |||
1,429 | Bank of America Corp. | 44,685 | |
578 | Citigroup, Inc. | 41,535 | |
1,039 | Citizens Financial Group, Inc. | 36,531 | |
1,387 | Fifth Third Bancorp | 40,334 | |
353 | JPMorgan Chase & Co. | 44,097 | |
513 | Wells Fargo & Co. | 26,486 | |
233,668 | |||
Biotechnology — 2.5% | |||
66 | Amgen, Inc. | 14,074 | |
41 | Biogen, Inc.1 | 12,247 | |
373 | Gilead Sciences, Inc. | 23,764 | |
50,085 | |||
Building Products — 1.1% | |||
506 | Masco Corp. | 23,403 | |
Capital Markets — 4.1% | |||
279 | Ameriprise Financial, Inc. | 42,098 | |
431 | Intercontinental Exchange, Inc. | 40,652 | |
82,750 | |||
Chemicals — 2.5% | |||
649 | Axalta Coating Systems, Ltd.1 | 19,139 | |
271 | Celanese Corp. | 32,832 | |
51,971 | |||
Consumer Finance — 3.9% | |||
1,209 | Ally Financial, Inc. | 37,032 | |
1,196 | Synchrony Financial | 42,302 | |
79,334 | |||
Diversified Consumer Services — 0.9% | |||
731 | H&R Block, Inc.2 | 18,268 | |
Diversified Telecommunication Services — 3.1% | |||
887 | AT&T, Inc. | 34,141 | |
2,278 | CenturyLink, Inc. | 29,477 | |
63,618 | |||
Electric Utilities — 3.1% | |||
872 | Exelon Corp. | 39,667 | |
236 | FirstEnergy Corp. | 11,404 | |
184 | Southern Co. (The) | 11,529 | |
62,600 | |||
Electrical Equipment — 2.0% | |||
470 | Eaton Corp. PLC | 40,942 | |
Energy Equipment & Services — 1.0% | |||
969 | Baker Hughes Co. | 20,737 | |
Equity Real Estate Investment Trusts — 3.5% | |||
1,763 | Host Hotels & Resorts, Inc. | 28,896 |
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Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Equity Real Estate Investment Trusts — (Continued) | |||
486 | Prologis, Inc. | $42,651 | |
71,547 | |||
Food & Staples Retailing — 1.9% | |||
1,576 | Kroger Co. (The) | 38,833 | |
Food Products — 4.2% | |||
722 | General Mills, Inc. | 36,721 | |
593 | Tyson Foods, Inc. - Class A | 49,094 | |
85,815 | |||
Health Care Providers & Services — 7.4% | |||
129 | Anthem, Inc. | 34,711 | |
481 | Cardinal Health, Inc. | 23,786 | |
629 | CVS Health Corp. | 41,759 | |
232 | Henry Schein, Inc.1 | 14,520 | |
270 | McKesson Corp. | 35,910 | |
150,686 | |||
Household Products — 1.6% | |||
490 | Colgate-Palmolive Co. | 33,614 | |
Independent Power & Renewable Electricity Producer — 1.3% | |||
1,507 | AES Corp. | 25,694 | |
Insurance — 5.5% | |||
215 | American International Group, Inc. | 11,387 | |
224 | Fidelity National Financial, Inc. | 10,268 | |
312 | Lincoln National Corp. | 17,622 | |
803 | MetLife, Inc. | 37,572 | |
348 | Principal Financial Group, Inc. | 18,576 | |
194 | Prudential Financial, Inc. | 17,681 | |
113,106 | |||
IT Services — 0.6% | |||
442 | DXC Technology Co. | 12,230 | |
Machinery — 5.9% | |||
237 | Cummins, Inc. | 40,878 | |
334 | Ingersoll-Rand PLC | 42,381 | |
119 | Parker-Hannifin Corp. | 21,835 | |
89 | Snap-on, Inc. | 14,478 | |
119,572 | |||
Media — 3.4% | |||
702 | Comcast Corp. - Class A | 31,463 | |
500 | Discovery, Inc. - Class C1 | 12,620 | |
325 | Omnicom Group, Inc. | 25,087 | |
69,170 | |||
Metals & Mining — 2.7% | |||
790 | Newmont Goldcorp Corp. | 31,387 | |
197 | Reliance Steel & Aluminum Co. | 22,860 | |
54,247 | |||
Multi-line Retail — 1.1% | |||
202 | Kohl’s Corp. | 10,354 | |
114 | Target Corp. | 12,188 | |
22,542 |
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Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Multi-Utilities — 1.5% | |||
1,079 | CenterPoint Energy, Inc. | $31,367 | |
Oil, Gas & Consumable Fuels — 7.3% | |||
86 | Chevron Corp. | 9,988 | |
652 | ConocoPhillips | 35,990 | |
857 | Marathon Oil Corp. | 9,881 | |
682 | Marathon Petroleum Corp. | 43,614 | |
514 | Valero Energy Corp. | 49,848 | |
149,321 | |||
Pharmaceuticals — 5.1% | |||
176 | Allergan PLC | 30,995 | |
666 | Bristol-Myers Squibb Co. | 38,208 | |
96 | Jazz Pharmaceuticals PLC1 | 12,061 | |
251 | Merck & Co., Inc. | 21,752 | |
103,016 | |||
Real Estate Management & Development — 2.0% | |||
771 | CBRE Group, Inc. - Class A1 | 41,287 | |
Semiconductors & Semiconductor Equipment — 3.7% | |||
659 | Applied Materials, Inc. | 35,757 | |
341 | Micron Technology, Inc.1 | 16,215 | |
212 | NXP Semiconductors N.V. | 24,100 | |
76,072 | |||
Specialty Retail — 2.0% | |||
562 | Best Buy Co., Inc. | 40,368 | |
Technology Hardware, Storage & Peripherals — 1.3% | |||
1,017 | Hewlett Packard Enterprise Co. | 16,689 | |
579 | HP, Inc. | 10,057 | |
26,746 | |||
TOTAL COMMON STOCKS (Cost $1,874,955) | 2,027,999 | ||
TOTAL INVESTMENTS (Cost $1,874,955) | 99.4% | $2,027,999 | |
OTHER ASSETS IN EXCESS OF LIABILITIES | 0.6 | 11,672 | |
NET ASSETS | 100.0% | $2,039,671 |
* | Percentages indicated are based on net assets. |
1 | Non income-producing security. |
2 | Securities or partial securities on loan. See Note 1. |
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% of Net Assets | Value | ||
INDUSTRIES: | |||
Banks | 11.5% | $233,668 | |
Health Care Providers & Services | 7.4 | 150,686 | |
Oil, Gas & Consumable Fuels | 7.3 | 149,321 | |
Machinery | 5.9 | 119,572 | |
Insurance | 5.5 | 113,106 | |
Pharmaceuticals | 5.1 | 103,016 | |
Food Products | 4.2 | 85,815 | |
Capital Markets | 4.1 | 82,750 | |
Consumer Finance | 3.9 | 79,334 | |
Semiconductors & Semiconductor Equipment | 3.7 | 76,072 | |
Equity Real Estate Investment Trusts | 3.5 | 71,547 | |
Media | 3.4 | 69,170 | |
Diversified Telecommunication Services | 3.1 | 63,618 | |
Electric Utilities | 3.1 | 62,600 | |
Metals & Mining | 2.7 | 54,247 | |
Chemicals | 2.5 | 51,971 | |
Biotechnology | 2.5 | 50,085 | |
Real Estate Management & Development | 2.0 | 41,287 | |
Electrical Equipment | 2.0 | 40,942 | |
Specialty Retail | 2.0 | 40,368 | |
Food & Staples Retailing | 1.9 | 38,833 | |
Household Products | 1.6 | 33,614 | |
Multi-Utilities | 1.5 | 31,367 | |
Technology Hardware, Storage & Peripherals | 1.3 | 26,746 | |
Independent Power & Renewable Electricity Producer | 1.3 | 25,694 | |
Building Products | 1.1 | 23,403 | |
Multi-line Retail | 1.1 | 22,542 | |
Energy Equipment & Services | 1.0 | 20,737 | |
Automobiles | 0.9 | 19,362 | |
Diversified Consumer Services | 0.9 | 18,268 | |
Airlines | 0.8 | 16,028 | |
IT Services | 0.6 | 12,230 | |
TOTAL COMMON STOCKS | 99.4% | $2,027,999 | |
TOTAL INVESTMENTS | 99.4% | $2,027,999 |
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COMMON STOCKS* — 98.7% | |||
Auto Components — 0.8% | |||
779 | Modine Manufacturing Co.1 | $8,904 | |
Banks — 10.4% | |||
236 | Cadence BanCorp | 3,630 | |
236 | Cathay General Bancorp | 8,394 | |
236 | Financial Institutions, Inc. | 7,417 | |
820 | First BanCorp | 8,626 | |
118 | Great Southern Bancorp, Inc. | 7,130 | |
255 | Great Western Bancorp, Inc. | 8,892 | |
226 | Hancock Whitney Corp. | 8,814 | |
407 | Hanmi Financial Corp. | 7,835 | |
144 | Independent Bank Group, Inc. | 7,700 | |
527 | Lakeland Bancorp, Inc. | 8,722 | |
188 | NBT Bancorp, Inc. | 7,473 | |
187 | Preferred Bank/Los Angeles CA | 9,969 | |
234 | Sandy Spring Bancorp, Inc. | 8,073 | |
335 | Simmons First National Corp. - Class A | 8,013 | |
110,688 | |||
Biotechnology — 6.7% | |||
839 | Acorda Therapeutics, Inc.1,2 | 1,384 | |
1,076 | CytomX Therapeutics, Inc.1 | 6,596 | |
116 | Enanta Pharmaceuticals, Inc.1 | 7,062 | |
698 | Flexion Therapeutics, Inc.1,2 | 11,985 | |
597 | Intellia Therapeutics, Inc.1,2 | 7,454 | |
73 | Ligand Pharmaceuticals, Inc.1,2 | 7,943 | |
785 | MacroGenics, Inc.1 | 6,672 | |
240 | REGENXBIO, Inc.1 | 8,566 | |
670 | Spectrum Pharmaceuticals, Inc.1 | 5,199 | |
621 | Vanda Pharmaceuticals, Inc.1 | 8,390 | |
71,251 | |||
Building Products — 3.0% | |||
1,568 | Cornerstone Building Brands, Inc.1 | 9,800 | |
205 | Gibraltar Industries, Inc.1 | 10,912 | |
227 | Patrick Industries, Inc.1 | 11,216 | |
31,928 | |||
Capital Markets — 2.5% | |||
624 | Brightsphere Investment Group, Inc.1 | 6,128 | |
363 | Federated Investors, Inc. - Class B | 11,594 | |
156 | Stifel Financial Corp. | 8,733 | |
26,455 | |||
Chemicals — 2.4% | |||
123 | Innospec, Inc. | 11,238 | |
265 | PolyOne Corp. | 8,493 | |
64 | Stepan Co. | 6,254 | |
25,985 | |||
Commercial Services & Supplies — 3.0% | |||
172 | Brady Corp. - Class A | 9,690 | |
137 | Herman Miller, Inc. | 6,371 | |
211 | Knoll, Inc. | 5,642 | |
51 | UniFirst Corp. | 10,243 | |
31,946 | |||
Construction & Engineering — 0.9% | |||
246 | Arcosa, Inc. | 9,449 |
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Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Containers & Packaging — 0.8% | |||
222 | Greif, Inc. - Class A | $8,696 | |
Diversified Consumer Services — 1.5% | |||
213 | Adtalem Global Education, Inc.1 | 6,344 | |
495 | K12, Inc.1 | 9,796 | |
16,140 | |||
Electric Utilities — 1.5% | |||
98 | ALLETE, Inc. | 8,434 | |
133 | Otter Tail Corp. | 7,538 | |
15,972 | |||
Electrical Equipment — 2.3% | |||
448 | Atkore International Group, Inc.1 | 15,545 | |
163 | Encore Wire Corp. | 9,161 | |
24,706 | |||
Electronic Equipment, Instruments & Components — 3.7% | |||
159 | Insight Enterprises, Inc.1 | 9,759 | |
141 | Itron, Inc.1 | 10,753 | |
100 | OSI Systems, Inc.1 | 9,924 | |
277 | Sanmina Corp.1 | 8,512 | |
38,948 | |||
Energy Equipment & Services — 0.6% | |||
315 | Matrix Service Co.1 | 5,909 | |
Equity Real Estate Investment Trusts — 8.5% | |||
400 | CareTrust REIT, Inc. | 9,696 | |
571 | City Office REIT, Inc. | 7,731 | |
541 | DiamondRock Hospitality Co. | 5,399 | |
82 | EastGroup Properties, Inc. | 10,984 | |
193 | First Industrial Realty Trust, Inc. | 8,127 | |
79 | LTC Properties, Inc. | 4,096 | |
331 | National Storage Affiliates Trust | 11,310 | |
142 | Park Hotels & Resorts, Inc. | 3,302 | |
322 | STAG Industrial, Inc. | 9,995 | |
433 | Sunstone Hotel Investors, Inc. | 5,850 | |
157 | Terreno Realty Corp. | 8,857 | |
247 | Xenia Hotels & Resorts, Inc. REIT | 5,199 | |
90,546 | |||
Food & Staples Retailing — 0.8% | |||
335 | BJ’s Wholesale Club Holdings, Inc.1 | 8,945 | |
Food Products — 0.5% | |||
377 | Hostess Brands, Inc.1 | 4,818 | |
Health Care Equipment & Supplies — 4.3% | |||
1,092 | Accuray, Inc.1 | 2,839 | |
101 | CONMED Corp. | 11,112 | |
1,295 | Invacare Corp. | 9,997 | |
534 | Meridian Bioscience, Inc. | 5,228 | |
1,204 | OraSure Technologies, Inc.1 | 10,282 | |
155 | Orthofix Medical, Inc.1 | 6,515 | |
45,973 | |||
Health Care Providers & Services — 2.8% | |||
127 | Magellan Health, Inc.1 | 8,242 | |
615 | Select Medical Holdings Corp.1 | 11,205 |
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Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Health Care Providers & Services — (Continued) | |||
396 | Tenet Healthcare Corp.1 | $10,035 | |
29,482 | |||
Health Care Technology — 2.1% | |||
520 | Allscripts Healthcare Solutions, Inc.1 | 5,689 | |
1,133 | Evolent Health, Inc. - Class A1,2 | 8,633 | |
236 | HMS Holdings Corp.1 | 7,715 | |
22,037 | |||
Hotels, Restaurants & Leisure — 0.8% | |||
415 | Penn National Gaming, Inc.1 | 8,846 | |
Household Products — 0.4% | |||
157 | Central Garden & Pet Co. - Class A1 | 4,440 | |
Insurance — 2.3% | |||
150 | AMERISAFE, Inc. | 9,530 | |
206 | Employers Holdings, Inc. | 8,722 | |
60 | Kinsale Capital Group, Inc. | 6,343 | |
24,595 | |||
IT Services — 3.4% | |||
134 | Cardtronics PLC - Class A1 | 4,591 | |
698 | NIC, Inc. | 16,417 | |
372 | Perficient, Inc.1 | 14,582 | |
35,590 | |||
Machinery — 4.2% | |||
125 | EnPro Industries, Inc. | 8,694 | |
419 | Meritor, Inc.1 | 9,231 | |
350 | Rexnord Corp.1 | 9,901 | |
632 | Wabash National Corp. | 9,012 | |
86 | Watts Water Technologies, Inc. - Class A | 8,020 | |
44,858 | |||
Media — 0.5% | |||
341 | TEGNA, Inc. | 5,125 | |
Metals & Mining — 1.4% | |||
90 | Kaiser Aluminum Corp. | 9,637 | |
236 | Schnitzer Steel Industries, Inc. - Class A | 5,036 | |
14,673 | |||
Mortgage Real Estate Investment Trusts — 1.8% | |||
544 | Invesco Mortgage Capital, Inc. | 8,562 | |
439 | PennyMac Mortgage Investment Trust | 10,049 | |
18,611 | |||
Oil, Gas & Consumable Fuels — 3.2% | |||
248 | Delek US Holdings, Inc. | 9,908 | |
4,221 | Teekay Tankers, Ltd. - Class A1 | 8,611 | |
363 | World Fuel Services Corp. | 15,162 | |
33,681 | |||
Paper & Forest Products — 1.3% | |||
624 | Mercer International, Inc. | 7,613 | |
327 | PH Glatfelter Co. | 5,886 | |
13,499 |
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Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Pharmaceuticals — 2.2% | |||
781 | Alder Biopharmaceuticals, Inc.3 | $687 | |
459 | Horizon Therapeutics PLC1 | 13,270 | |
3,101 | Mallinckrodt PLC1,2 | 9,799 | |
23,756 | |||
Professional Services — 1.6% | |||
314 | Heidrick & Struggles International, Inc. | 8,936 | |
205 | Korn Ferry | 7,522 | |
16,458 | |||
Semiconductors & Semiconductor Equipment — 2.8% | |||
239 | Diodes, Inc.1 | 11,149 | |
480 | FormFactor, Inc.1 | 10,478 | |
385 | Xperi Corp. | 7,818 | |
29,445 | |||
Software — 2.0% | |||
118 | Progress Software Corp. | 4,706 | |
165 | SPS Commerce, Inc.1 | 8,707 | |
171 | Verint Systems, Inc.1 | 7,762 | |
21,175 | |||
Specialty Retail — 4.2% | |||
327 | American Eagle Outfitters, Inc. | 5,029 | |
257 | Boot Barn Holdings, Inc.1 | 9,008 | |
108 | Group 1 Automotive, Inc. | 10,740 | |
447 | MarineMax, Inc.1 | 6,906 | |
563 | Michaels Cos., Inc. (The)1 | 4,915 | |
233 | Shoe Carnival, Inc. | 7,733 | |
44,331 | |||
Textiles, Apparel & Luxury Goods — 1.2% | |||
86 | Deckers Outdoor Corp.1 | 13,149 | |
Thrifts & Mortgage Finance — 3.6% | |||
297 | First Defiance Financial Corp. | 9,183 | |
571 | Meridian Bancorp, Inc. | 11,169 | |
447 | Radian Group, Inc. | 11,220 | |
100 | Walker & Dunlop, Inc. | 6,299 | |
37,871 | |||
Trading Companies & Distributors — 2.1% | |||
319 | BMC Stock Holdings, Inc.1 | 8,610 | |
389 | NOW, Inc.1 | 4,100 | |
210 | Rush Enterprises, Inc. - Class A | 9,175 | |
21,885 | |||
Water Utilities — 0.6% | |||
89 | SJW Group | 6,439 | |
TOTAL COMMON STOCKS (Cost $947,483) | 1,047,205 |
93 |
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Shares | Value | ||
INVESTMENT OF SECURITY LENDING COLLATERAL* — 2.4% | |||
25,804 | State Street Navigator Securities Lending Government Money Market Portfolio4 | $25,804 | |
TOTAL INVESTMENT OF SECURITY LENDING COLLATERAL (Cost $25,804) | 25,804 | ||
TOTAL INVESTMENTS (Cost $973,287) | 101.1% | $1,073,009 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (1.1) | (12,154) | |
NET ASSETS | 100.0% | $1,060,855 |
* | Percentages indicated are based on net assets. |
1 | Non income-producing security. |
2 | Securities or partial securities on loan. See Note 1. |
3 | For fair value measurement disclosure purposes, security is categorized as Level 3 (See Note 1 of the Notes to Financial Statements). |
4 | Represents an investment of securities lending cash collateral. |
94 |
Table of Contents
% of Net Assets | Value | ||
INDUSTRIES: | |||
Banks | 10.4% | $110,688 | |
Equity Real Estate Investment Trusts | 8.5 | 90,546 | |
Biotechnology | 6.7 | 71,251 | |
Health Care Equipment & Supplies | 4.3 | 45,973 | |
Machinery | 4.2 | 44,858 | |
Specialty Retail | 4.2 | 44,331 | |
Electronic Equipment, Instruments & Components | 3.7 | 38,948 | |
Thrifts & Mortgage Finance | 3.6 | 37,871 | |
IT Services | 3.4 | 35,590 | |
Oil, Gas & Consumable Fuels | 3.2 | 33,681 | |
Commercial Services & Supplies | 3.0 | 31,946 | |
Building Products | 3.0 | 31,928 | |
Health Care Providers & Services | 2.8 | 29,482 | |
Semiconductors & Semiconductor Equipment | 2.8 | 29,445 | |
Capital Markets | 2.5 | 26,455 | |
Chemicals | 2.4 | 25,985 | |
Electrical Equipment | 2.3 | 24,706 | |
Insurance | 2.3 | 24,595 | |
Pharmaceuticals | 2.2 | 23,756 | |
Health Care Technology | 2.1 | 22,037 | |
Trading Companies & Distributors | 2.1 | 21,885 | |
Software | 2.0 | 21,175 | |
Mortgage Real Estate Investment Trusts | 1.8 | 18,611 | |
Professional Services | 1.6 | 16,458 | |
Diversified Consumer Services | 1.5 | 16,140 | |
Electric Utilities | 1.5 | 15,972 | |
Metals & Mining | 1.4 | 14,673 | |
Paper & Forest Products | 1.3 | 13,499 | |
Textiles, Apparel & Luxury Goods | 1.2 | 13,149 | |
Construction & Engineering | 0.9 | 9,449 | |
Food & Staples Retailing | 0.8 | 8,945 | |
Auto Components | 0.8 | 8,904 | |
Hotels, Restaurants & Leisure | 0.8 | 8,846 | |
Containers & Packaging | 0.8 | 8,696 | |
Water Utilities | 0.6 | 6,439 | |
Energy Equipment & Services | 0.6 | 5,909 | |
Media | 0.5 | 5,125 | |
Food Products | 0.5 | 4,818 | |
Household Products | 0.4 | 4,440 | |
TOTAL COMMON STOCKS | 98.7% | $1,047,205 | |
INVESTMENT OF SECURITY LENDING COLLATERAL | 2.4 | 25,804 | |
TOTAL INVESTMENTS | 101.1% | $1,073,009 |
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COMMON STOCKS* — 99.4% | |||
Japan — 26.0% | |||
278,601 | Astellas Pharma, Inc., Unsponsored ADR1 | $4,808,653 | |
97,181 | Daito Trust Construction Co., Ltd., Sponsored ADR | 3,256,535 | |
133,125 | Daiwa House Industry Co., Ltd., Unsponsored ADR1 | 4,570,181 | |
67,822 | Hitachi, Ltd., ADR | 5,056,808 | |
19,407 | Hoya Corp., Sponsored ADR | 1,708,204 | |
121,926 | ITOCHU Corp., Unsponsored ADR1 | 5,094,068 | |
11,221 | Mitsui & Co., Ltd., Sponsored ADR | 3,846,166 | |
50,133 | Nippon Telegraph & Telephone Corp., ADR | 2,489,104 | |
145,931 | Shin-Etsu Chemical Co., Ltd., Unsponsored ADR | 4,071,475 | |
218,805 | Shionogi & Co, Ltd., Unsponsored ADR1 | 3,282,075 | |
45,104 | Sony Corp., Sponsored ADR | 2,743,676 | |
209,536 | Sumitomo Corp., Sponsored ADR1 | 3,451,058 | |
20,768 | Tokio Marine Holdings, Inc., ADR1 | 1,118,772 | |
59,154 | Tokyo Electron, Ltd., Unsponsored ADR1 | 2,942,912 | |
35,863 | Toyota Motor Corp., Sponsored ADR1 | 4,968,819 | |
53,408,506 | |||
United Kingdom — 15.7% | |||
150,403 | Anglo American PLC, Sponsored ADR1 | 1,973,288 | |
9,153 | Ashtead Group PLC, Unsponsored ADR | 1,127,009 | |
125,819 | BAE Systems PLC, Sponsored ADR1 | 3,819,865 | |
37,583 | British American Tobacco PLC, Sponsored ADR | 1,313,902 | |
108,063 | GlaxoSmithKline PLC, Sponsored ADR | 4,949,285 | |
82,649 | HSBC Holdings PLC, Sponsored ADR1 | 3,123,306 | |
171,207 | Legal & General Group PLC, Sponsored ADR | 2,919,079 | |
76,558 | RELX PLC, Sponsored ADR1 | 1,851,938 | |
57,793 | Rio Tinto PLC, Sponsored ADR | 3,005,814 | |
87,787 | Smith & Nephew PLC, Sponsored ADR | 3,794,154 | |
50,858 | Unilever PLC, Sponsored ADR | 3,057,074 | |
22,384 | WPP PLC, Sponsored ADR1 | 1,397,657 | |
32,332,371 | |||
France — 11.6% | |||
240,209 | Atos SE, Unsponsored ADR | 3,716,033 | |
169,937 | BNP Paribas SA, ADR | 4,438,754 | |
57,899 | Cie Generale des Etablissements Michelin SCA, Unsponsored ADR | 1,410,420 | |
241,044 | Danone SA, Sponsored ADR | 3,977,226 | |
299,348 | Engie SA, Sponsored ADR | 5,023,059 | |
75,988 | Peugeot SA, Unsponsored ADR | 1,925,536 | |
77,160 | Schneider Electric SE, Unsponsored ADR | 1,429,775 | |
86,299 | Sodexo SA, Sponsored ADR | 1,898,578 | |
23,819,381 | |||
Germany — 9.2% | |||
23,611 | adidas AG, Sponsored ADR | 3,644,358 | |
123,380 | Allianz SE, Sponsored ADR | 3,011,706 | |
80,674 | Deutsche Post AG, Sponsored ADR | 2,859,893 | |
75,026 | Deutsche Telekom AG, Sponsored ADR | 1,319,707 | |
113,208 | HeidelbergCement AG, Unsponsored ADR | 1,683,403 | |
186,252 | Muenchener Rueckversicherungs-Gesellschaft AG, Unsponsored ADR | 5,166,631 | |
21,059 | Siemens AG, Sponsored ADR | 1,215,736 | |
18,901,434 | |||
Switzerland — 7.6% | |||
44,490 | Nestle SA, Sponsored ADR | 4,767,549 | |
49,114 | Novartis AG, Sponsored ADR | 4,294,528 | |
136,902 | Roche Holding AG, Sponsored ADR | 5,150,253 |
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COMMON STOCKS* — (Continued) | |||
Switzerland — (Continued) | |||
32,513 | Sonova Holding AG, Unsponsored ADR1 | $1,490,071 | |
15,702,401 | |||
Sweden — 5.5% | |||
38,729 | Essity AB, Sponsored ADR1 | 1,210,281 | |
432,822 | Skandinaviska Enskilda Banken AB, ADR | 4,137,778 | |
265,746 | Swedbank AB, ADR1 | 3,736,389 | |
151,254 | Volvo AB, Unsponsored ADR1 | 2,249,147 | |
11,333,595 | |||
Australia — 5.1% | |||
97,006 | Newcrest Mining, Ltd., Sponsored ADR1 | 2,127,342 | |
492,093 | QBE Insurance Group, Ltd., Sponsored ADR1 | 4,266,446 | |
460,112 | South32, Ltd., ADR1 | 4,025,980 | |
10,419,768 | |||
Spain — 3.6% | |||
205,372 | Industria de Diseno Textil SA, Unsponsored ADR1 | 3,209,964 | |
249,914 | Repsol SA, Sponsored ADR1 | 4,158,569 | |
7,368,533 | |||
Hong Kong — 3.5% | |||
51,948 | BOC Hong Kong Holdings, Ltd., Sponsored ADR | 3,553,243 | |
170,744 | WH Group, Ltd., Sponsored ADR1 | 3,607,821 | |
7,161,064 | |||
Singapore — 2.9% | |||
28,422 | Singapore Exchange, Ltd., Unsponsored ADR1 | 2,809,515 | |
83,047 | United Overseas Bank, Ltd., Sponsored ADR1 | 3,262,086 | |
6,071,601 | |||
Netherlands — 2.8% | |||
192,240 | Koninklijke Ahold Delhaize N.V., Sponsored ADR1 | 4,784,854 | |
12,750 | Wolters Kluwer N.V., Sponsored ADR1 | 939,675 | |
5,724,529 | |||
Austria — 2.4% | |||
83,820 | OMV AG, ADR | 4,892,992 | |
Canada — 2.1% | |||
47,274 | Enbridge, Inc. | 1,721,247 | |
44,560 | Toronto-Dominion Bank (The) | 2,543,039 | |
4,264,286 | |||
Italy — 0.7% | |||
99,561 | Intesa Sanpaolo SPA, Sponsored ADR1 | 1,496,402 | |
Belgium — 0.7% | |||
18,041 | Anheuser-Busch InBev SA, Sponsored ADR1 | 1,457,172 | |
TOTAL COMMON STOCKS (Cost $185,025,569) | 204,354,035 |
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INVESTMENT OF SECURITY LENDING COLLATERAL* — 6.7% | |||
13,851,480 | State Street Navigator Securities Lending Government Money Market Portfolio2 | $13,851,480 | |
TOTAL INVESTMENT OF SECURITY LENDING COLLATERAL (Cost $13,851,480) | 13,851,480 | ||
TOTAL INVESTMENTS (Cost $198,877,049) | 106.1% | $218,205,515 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (6.1) | (12,576,047) | |
NET ASSETS | 100.0% | $205,629,468 |
* | Percentages indicated are based on net assets. |
1 | Securities or partial securities on loan. See Note 1. |
2 | Represents an investment of securities lending cash collateral. |
Abbreviatons: |
ADR — American Depositary Receipt |
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% of Net Assets | Value | ||
INDUSTRIES: | |||
Banks | 12.8% | $26,290,998 | |
Pharmaceuticals | 10.9 | 22,484,795 | |
Insurance | 8.0 | 16,482,634 | |
Trading Companies & Distributors | 6.6 | 13,518,301 | |
Food Products | 6.0 | 12,352,595 | |
Metals & Mining | 5.4 | 11,132,423 | |
Oil, Gas & Consumable Fuels | 5.2 | 10,772,808 | |
Real Estate Management & Development | 3.8 | 7,826,717 | |
Health Care Equipment & Supplies | 3.4 | 6,992,429 | |
Automobiles | 3.4 | 6,894,355 | |
Electronic Equipment, Instruments & Components | 2.5 | 5,056,808 | |
Multi-Utilities | 2.4 | 5,023,059 | |
Food & Staples Retailing | 2.3 | 4,784,854 | |
Chemicals | 2.0 | 4,071,475 | |
Aerospace & Defense | 1.9 | 3,819,865 | |
Diversified Telecommunication Services | 1.8 | 3,808,811 | |
IT Services | 1.8 | 3,716,033 | |
Textiles, Apparel & Luxury Goods | 1.8 | 3,644,358 | |
Specialty Retail | 1.6 | 3,209,964 | |
Personal Products | 1.5 | 3,057,074 | |
Semiconductors & Semiconductor Equipment | 1.4 | 2,942,911 | |
Air Freight & Logistics | 1.4 | 2,859,893 | |
Capital Markets | 1.4 | 2,809,515 | |
Professional Services | 1.4 | 2,791,613 | |
Household Durables | 1.3 | 2,743,676 | |
Machinery | 1.1 | 2,249,147 | |
Hotels, Restaurants & Leisure | 0.9 | 1,898,578 | |
Construction Materials | 0.8 | 1,683,403 | |
Beverages | 0.7 | 1,457,172 | |
Electrical Equipment | 0.7 | 1,429,775 | |
Auto Components | 0.7 | 1,410,420 | |
Media | 0.7 | 1,397,657 | |
Tobacco | 0.6 | 1,313,902 | |
Industrial Conglomerates | 0.6 | 1,215,736 | |
Household Products | 0.6 | 1,210,281 | |
TOTAL COMMON STOCKS | 99.4% | $204,354,035 | |
INVESTMENT OF SECURITY LENDING COLLATERAL | 6.7 | 13,851,480 | |
TOTAL INVESTMENTS | 106.1% | $218,205,515 |
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COMMON STOCKS* — 99.7% | |||
Aerospace & Defense — 2.4% | |||
1,955 | Raytheon Co. | $414,871 | |
1,771 | Spirit AeroSystems Holdings, Inc. - Class A | 144,903 | |
559,774 | |||
Banks — 6.6% | |||
12,114 | Bank of America Corp. | 378,805 | |
5,168 | Citigroup, Inc. | 371,372 | |
6,106 | Citizens Financial Group, Inc. | 214,687 | |
5,294 | Fifth Third Bancorp | 153,950 | |
1,353 | JPMorgan Chase & Co. | 169,017 | |
1,574 | M&T Bank Corp. | 246,378 | |
1,534,209 | |||
Beverages — 0.5% | |||
1,984 | Molson Coors Brewing Co. - Class B | 104,596 | |
Biotechnology — 3.2% | |||
1,646 | Amgen, Inc. | 351,010 | |
1,350 | Biogen, Inc.1 | 403,258 | |
754,268 | |||
Capital Markets — 2.6% | |||
1,338 | Ameriprise Financial, Inc. | 201,891 | |
1,603 | LPL Financial Holdings, Inc. | 129,587 | |
2,393 | T Rowe Price Group, Inc. | 277,109 | |
608,587 | |||
Chemicals — 4.0% | |||
2,142 | Air Products & Chemicals, Inc. | 456,803 | |
11,705 | Axalta Coating Systems, Ltd.1 | 345,180 | |
1,112 | Celanese Corp. | 134,719 | |
936,702 | |||
Communications Equipment — 3.3% | |||
878 | Arista Networks, Inc.1 | 214,732 | |
7,356 | Cisco Systems, Inc. | 349,484 | |
1,369 | F5 Networks, Inc.1 | 197,246 | |
761,462 | |||
Construction & Engineering — 0.6% | |||
3,396 | Quanta Services, Inc. | 142,802 | |
Consumer Finance — 2.8% | |||
12,677 | Ally Financial, Inc. | 388,297 | |
2,198 | American Express Co. | 257,781 | |
646,078 | |||
Diversified Telecommunication Services — 0.6% | |||
3,672 | AT&T, Inc. | 141,335 | |
Electric Utilities — 0.9% | |||
4,621 | Exelon Corp. | 210,209 | |
Electrical Equipment — 0.5% | |||
883 | Hubbell, Inc. | 125,121 | |
Electronic Equipment, Instruments & Components — 0.9% | |||
2,135 | Keysight Technologies, Inc.1 | 215,443 | |
Energy Equipment & Services — 2.0% | |||
7,835 | Baker Hughes Co. | 167,669 |
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Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Energy Equipment & Services — (Continued) | |||
15,264 | TechnipFMC PLC | $301,159 | |
468,828 | |||
Entertainment — 1.6% | |||
3,860 | Electronic Arts, Inc.1 | 372,104 | |
Equity Real Estate Investment Trusts — 2.4% | |||
495 | American Tower Corp. | 107,950 | |
576 | Equinix, Inc. | 326,465 | |
1,300 | Prologis, Inc. | 114,088 | |
548,503 | |||
Food & Staples Retailing — 1.5% | |||
4,937 | Kroger Co. (The) | 121,648 | |
1,522 | Sysco Corp. | 121,562 | |
2,769 | US Foods Holding Corp.1 | 109,846 | |
353,056 | |||
Food Products — 2.9% | |||
7,484 | General Mills, Inc. | 380,636 | |
1,964 | Hershey Co. (The) | 288,453 | |
669,089 | |||
Health Care Equipment & Supplies — 1.2% | |||
1,928 | West Pharmaceutical Services, Inc. | 277,323 | |
Health Care Providers & Services — 7.4% | |||
1,305 | Amedisys, Inc.1 | 167,719 | |
3,853 | AmerisourceBergen Corp. | 328,969 | |
439 | Anthem, Inc. | 118,126 | |
7,250 | Centene Corp.1 | 384,830 | |
5,203 | Henry Schein, Inc.1 | 325,630 | |
1,310 | Humana, Inc. | 385,402 | |
1,710,676 | |||
Hotels, Restaurants & Leisure — 1.8% | |||
4,810 | Starbucks Corp. | 406,734 | |
Household Products — 1.0% | |||
3,341 | Church & Dwight Co., Inc. | 233,670 | |
Independent Power & Renewable Electricity Producer — 1.6% | |||
21,660 | AES Corp. | 369,303 | |
Industrial Conglomerates — 1.4% | |||
1,830 | Honeywell International, Inc. | 316,096 | |
Insurance — 4.0% | |||
1,855 | Lincoln National Corp. | 104,770 | |
1,601 | Marsh & McLennan Cos., Inc. | 165,896 | |
6,937 | Principal Financial Group, Inc. | 370,297 | |
1,328 | Prudential Financial, Inc. | 121,034 | |
947 | Willis Towers Watson PLC | 176,994 | |
938,991 | |||
Interactive Media & Services — 2.1% | |||
94 | Alphabet, Inc. - Class A1 | 118,327 | |
1,969 | Facebook, Inc. - Class A1 | 377,359 | |
495,686 |
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Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Internet & Direct Marketing Retail — 0.6% | |||
3,908 | eBay, Inc. | $137,757 | |
IT Services — 6.2% | |||
2,147 | Accenture PLC - Class A | 398,097 | |
507 | Automatic Data Processing, Inc. | 82,250 | |
2,213 | Cognizant Technology Solutions Corp. - Class A | 134,860 | |
3,761 | PayPal Holdings, Inc.1 | 391,520 | |
2,401 | Visa, Inc. - Class A | 429,443 | |
1,436,170 | |||
Life Sciences Tools & Services — 1.0% | |||
3,080 | Agilent Technologies, Inc. | 233,310 | |
Machinery — 4.1% | |||
3,829 | Allison Transmission Holdings, Inc. | 166,983 | |
2,231 | Cummins, Inc. | 384,803 | |
3,098 | Ingersoll-Rand PLC | 393,105 | |
944,891 | |||
Media — 2.5% | |||
9,136 | Discovery, Inc. - Class C1 | 230,593 | |
4,640 | Omnicom Group, Inc. | 358,161 | |
588,754 | |||
Metals & Mining — 0.6% | |||
1,125 | Reliance Steel & Aluminum Co. | 130,545 | |
Multi-line Retail — 4.9% | |||
21,801 | Macy’s, Inc.2 | 330,503 | |
11,125 | Nordstrom, Inc.2 | 399,387 | |
3,848 | Target Corp. | 411,390 | |
1,141,280 | |||
Oil, Gas & Consumable Fuels — 1.9% | |||
4,152 | Marathon Petroleum Corp. | 265,521 | |
1,599 | Phillips 66 | 186,795 | |
452,316 | |||
Pharmaceuticals — 3.6% | |||
6,297 | Bristol-Myers Squibb Co. | 361,259 | |
4,649 | Elanco Animal Health, Inc.1 | 125,616 | |
3,948 | Merck & Co., Inc. | 342,134 | |
829,009 | |||
Professional Services — 1.3% | |||
2,050 | ManpowerGroup, Inc. | 186,386 | |
5,271 | Nielsen Holdings PLC | 106,263 | |
292,649 | |||
Real Estate Management & Development — 2.1% | |||
6,816 | CBRE Group, Inc. - Class A1 | 364,997 | |
847 | Jones Lang LaSalle, Inc. | 124,102 | |
489,099 | |||
Semiconductors & Semiconductor Equipment — 4.5% | |||
7,730 | Applied Materials, Inc. | 419,430 | |
2,372 | Intel Corp. | 134,089 | |
1,853 | Lam Research Corp. | 502,237 | |
1,055,756 |
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Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Software — 4.4% | |||
4,176 | Cadence Design Systems, Inc.1 | $272,901 | |
4,269 | Fortinet, Inc.1 | 348,180 | |
2,772 | Microsoft Corp. | 397,422 | |
1,018,503 | |||
Specialty Retail — 0.9% | |||
1,960 | Ross Stores, Inc. | 214,953 | |
Technology Hardware, Storage & Peripherals — 1.3% | |||
17,006 | HP, Inc. | 295,394 | |
TOTAL COMMON STOCKS (Cost $19,946,537) | 23,161,031 | ||
INVESTMENT OF SECURITY LENDING COLLATERAL* — 3.2% | |||
738,416 | State Street Navigator Securities Lending Government Money Market Portfolio3 | 738,416 | |
TOTAL INVESTMENT OF SECURITY LENDING COLLATERAL (Cost $738,416) | 738,416 | ||
TOTAL INVESTMENTS (Cost $20,684,953) | 102.9% | $23,899,447 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (2.9) | (668,229) | |
NET ASSETS | 100.0% | $23,231,218 |
* | Percentages indicated are based on net assets. |
1 | Non income-producing security. |
2 | Securities or partial securities on loan. See Note 1. |
3 | Represents an investment of securities lending cash collateral. |
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% of Net Assets | Value | ||
INDUSTRIES: | |||
Health Care Providers & Services | 7.4% | $1,710,676 | |
Banks | 6.6 | 1,534,209 | |
IT Services | 6.2 | 1,436,170 | |
Multi-line Retail | 4.9 | 1,141,280 | |
Semiconductors & Semiconductor Equipment | 4.5 | 1,055,756 | |
Software | 4.4 | 1,018,503 | |
Machinery | 4.1 | 944,891 | |
Insurance | 4.0 | 938,991 | |
Chemicals | 4.0 | 936,702 | |
Pharmaceuticals | 3.6 | 829,009 | |
Communications Equipment | 3.3 | 761,462 | |
Biotechnology | 3.2 | 754,268 | |
Food Products | 2.9 | 669,089 | |
Consumer Finance | 2.8 | 646,078 | |
Capital Markets | 2.6 | 608,587 | |
Media | 2.5 | 588,754 | |
Aerospace & Defense | 2.4 | 559,774 | |
Equity Real Estate Investment Trusts | 2.4 | 548,503 | |
Interactive Media & Services | 2.1 | 495,686 | |
Real Estate Management & Development | 2.1 | 489,099 | |
Energy Equipment & Services | 2.0 | 468,828 | |
Oil, Gas & Consumable Fuels | 1.9 | 452,316 | |
Hotels, Restaurants & Leisure | 1.8 | 406,734 | |
Entertainment | 1.6 | 372,104 | |
Independent Power & Renewable Electricity Producer | 1.6 | 369,303 | |
Food & Staples Retailing | 1.5 | 353,056 | |
Industrial Conglomerates | 1.4 | 316,096 | |
Technology Hardware, Storage & Peripherals | 1.3 | 295,394 | |
Professional Services | 1.3 | 292,649 | |
Health Care Equipment & Supplies | 1.2 | 277,323 | |
Household Products | 1.0 | 233,670 | |
Life Sciences Tools & Services | 1.0 | 233,310 | |
Electronic Equipment, Instruments & Components | 0.9 | 215,443 | |
Specialty Retail | 0.9 | 214,953 | |
Electric Utilities | 0.9 | 210,209 | |
Construction & Engineering | 0.6 | 142,802 | |
Diversified Telecommunication Services | 0.6 | 141,335 | |
Internet & Direct Marketing Retail | 0.6 | 137,757 | |
Metals & Mining | 0.6 | 130,545 | |
Electrical Equipment | 0.5 | 125,121 | |
Beverages | 0.5 | 104,596 | |
TOTAL COMMON STOCKS | 99.7% | $23,161,031 | |
INVESTMENT OF SECURITY LENDING COLLATERAL | 3.2 | 738,416 | |
TOTAL INVESTMENTS | 102.9% | $23,899,447 |
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Shares | Value | ||
COMMON STOCKS* — 99.3% | |||
Aerospace & Defense — 1.2% | |||
3,210 | Spirit AeroSystems Holdings, Inc. - Class A | $262,642 | |
Airlines — 0.9% | |||
3,453 | Southwest Airlines Co. | 193,817 | |
Banks — 6.5% | |||
6,895 | Bank of America Corp. | 215,607 | |
5,626 | Citigroup, Inc. | 404,284 | |
5,094 | Citizens Financial Group, Inc. | 179,105 | |
10,569 | Fifth Third Bancorp | 307,347 | |
4,956 | Wells Fargo & Co. | 255,878 | |
1,362,221 | |||
Biotechnology — 4.3% | |||
820 | Amgen, Inc. | 174,865 | |
551 | Biogen, Inc.1 | 164,589 | |
5,283 | Celgene Corp.1 | 570,723 | |
910,177 | |||
Capital Markets — 2.5% | |||
5,580 | Intercontinental Exchange, Inc. | 526,306 | |
Chemicals — 1.9% | |||
13,816 | Axalta Coating Systems, Ltd.1 | 407,434 | |
Communications Equipment — 2.4% | |||
779 | Arista Networks, Inc.1 | 190,520 | |
3,557 | Cisco Systems, Inc. | 168,993 | |
1,079 | F5 Networks, Inc.1 | 155,462 | |
514,975 | |||
Construction Materials — 0.8% | |||
1,241 | Vulcan Materials Co. | 177,302 | |
Consumer Finance — 2.2% | |||
14,812 | Ally Financial, Inc. | 453,692 | |
Electrical Equipment — 3.7% | |||
6,024 | AMETEK, Inc. | 552,100 | |
2,600 | Eaton Corp. PLC | 226,486 | |
778,586 | |||
Energy Equipment & Services — 1.8% | |||
18,003 | Baker Hughes Co. | 385,264 | |
Entertainment — 0.5% | |||
1,066 | Electronic Arts, Inc.1 | 102,762 | |
Equity Real Estate Investment Trusts — 1.3% | |||
1,237 | American Tower Corp. | 269,765 | |
Food & Staples Retailing — 1.4% | |||
7,207 | US Foods Holding Corp.1 | 285,902 | |
Food Products — 3.5% | |||
7,379 | General Mills, Inc. | 375,296 | |
4,381 | Tyson Foods, Inc. - Class A | 362,703 | |
737,999 | |||
Health Care Equipment & Supplies — 2.5% | |||
1,393 | Medtronic PLC | 151,698 |
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Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Health Care Equipment & Supplies — (Continued) | |||
3,057 | Varian Medical Systems, Inc.1 | $369,316 | |
521,014 | |||
Health Care Providers & Services — 5.4% | |||
1,252 | AmerisourceBergen Corp. | 106,896 | |
920 | Anthem, Inc. | 247,554 | |
6,794 | DaVita, Inc.1 | 398,128 | |
2,961 | McKesson Corp. | 393,813 | |
1,146,391 | |||
Hotels, Restaurants & Leisure — 2.4% | |||
5,923 | Starbucks Corp. | 500,849 | |
Household Products — 0.5% | |||
1,500 | Colgate-Palmolive Co. | 102,900 | |
Independent Power & Renewable Electricity Producer — 0.5% | |||
6,435 | AES Corp. | 109,717 | |
Industrial Conglomerates — 0.6% | |||
695 | Honeywell International, Inc. | 120,047 | |
Insurance — 4.6% | |||
4,692 | First American Financial Corp. | 289,872 | |
9,502 | MetLife, Inc. | 444,598 | |
4,242 | Principal Financial Group, Inc. | 226,438 | |
960,908 | |||
Interactive Media & Service — 2.7% | |||
2,993 | Facebook, Inc. - Class A1 | 573,608 | |
Internet & Direct Marketing Retail — 0.7% | |||
3,949 | eBay, Inc. | 139,202 | |
IT Services — 7.2% | |||
2,564 | Accenture PLC - Class A | 475,417 | |
5,377 | Akamai Technologies, Inc.1 | 465,110 | |
567 | EPAM Systems, Inc.1 | 99,769 | |
4,517 | PayPal Holdings, Inc.1 | 470,220 | |
1,510,516 | |||
Machinery — 3.2% | |||
1,249 | Cummins, Inc. | 215,427 | |
3,574 | Ingersoll-Rand PLC | 453,505 | |
668,932 | |||
Media — 3.9% | |||
13,076 | Comcast Corp. - Class A | 586,066 | |
3,140 | Omnicom Group, Inc. | 242,377 | |
828,443 | |||
Metals & Mining — 2.2% | |||
3,937 | Reliance Steel & Aluminum Co. | 456,849 | |
Multi-line Retail — 2.5% | |||
4,983 | Target Corp. | 532,733 | |
Multi-Utilities — 1.9% | |||
13,702 | CenterPoint Energy, Inc. | 398,317 | |
Oil, Gas & Consumable Fuels — 2.4% | |||
4,353 | Phillips 66 | 508,517 |
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COMMON STOCKS* — (Continued) | |||
Pharmaceuticals — 3.5% | |||
7,404 | Bristol-Myers Squibb Co. | $424,767 | |
2,425 | Jazz Pharmaceuticals PLC1 | 304,653 | |
729,420 | |||
Professional Services — 0.9% | |||
8,912 | Nielsen Holdings PLC | 179,666 | |
Real Estate Management & Development — 2.4% | |||
9,640 | CBRE Group, Inc. - Class A1 | 516,222 | |
Semiconductors & Semiconductor Equipment — 5.1% | |||
4,400 | Intel Corp. | 248,732 | |
1,830 | Lam Research Corp. | 496,003 | |
3,321 | Teradyne, Inc. | 203,312 | |
998 | Texas Instruments, Inc. | 117,754 | |
1,065,801 | |||
Software — 3.6% | |||
1,576 | Cadence Design Systems, Inc.1 | 102,992 | |
3,172 | Microsoft Corp. | 454,770 | |
3,770 | Oracle Corp. | 205,427 | |
763,189 | |||
Specialty Retail — 3.2% | |||
5,898 | Best Buy Co., Inc. | 423,653 | |
2,215 | Ross Stores, Inc. | 242,919 | |
666,572 | |||
Technology Hardware, Storage & Peripherals — 2.5% | |||
9,584 | Hewlett Packard Enterprise Co. | 157,274 | |
6,630 | NetApp, Inc. | 370,484 | |
527,758 | |||
TOTAL COMMON STOCKS (Cost $17,718,782) | 20,896,415 | ||
Face Amount | |||
REPURCHASE AGREEMENT* — 0.6% | |||
$121,654 | With Fixed Income Clearing Corp., dated 10/31/19, 0.12%, principal and interest in the amount of $121,654, due 11/1/19, (collateralized by a U.S. Treasury Note with a par value of $120,000, coupon rate of 2.875%, due 11/30/2023, market value of $127,229) | 121,654 | |
TOTAL REPURCHASE AGREEMENT (Cost $121,654) | 121,654 | ||
TOTAL INVESTMENTS (Cost $17,840,436) | 99.9% | $21,018,069 | |
OTHER ASSETS IN EXCESS OF LIABILITIES | 0.1 | 28,720 | |
NET ASSETS | 100.0% | $21,046,789 |
* | Percentages indicated are based on net assets. |
1 | Non income-producing security. |
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% of Net Assets | Value | ||
INDUSTRIES: | |||
IT Services | 7.2% | $1,510,516 | |
Banks | 6.5 | 1,362,221 | |
Health Care Providers & Services | 5.4 | 1,146,391 | |
Semiconductors & Semiconductor Equipment | 5.1 | 1,065,801 | |
Insurance | 4.6 | 960,908 | |
Biotechnology | 4.3 | 910,177 | |
Media | 3.9 | 828,443 | |
Electrical Equipment | 3.7 | 778,586 | |
Software | 3.6 | 763,189 | |
Food Products | 3.5 | 737,999 | |
Pharmaceuticals | 3.5 | 729,420 | |
Machinery | 3.2 | 668,932 | |
Specialty Retail | 3.2 | 666,572 | |
Interactive Media & Service | 2.7 | 573,608 | |
Multi-line Retail | 2.5 | 532,733 | |
Technology Hardware, Storage & Peripherals | 2.5 | 527,758 | |
Capital Markets | 2.5 | 526,306 | |
Health Care Equipment & Supplies | 2.5 | 521,014 | |
Real Estate Management & Development | 2.4 | 516,222 | |
Communications Equipment | 2.4 | 514,975 | |
Oil, Gas & Consumable Fuels | 2.4 | 508,517 | |
Hotels, Restaurants & Leisure | 2.4 | 500,849 | |
Metals & Mining | 2.2 | 456,849 | |
Consumer Finance | 2.2 | 453,692 | |
Chemicals | 1.9 | 407,434 | |
Multi-Utilities | 1.9 | 398,317 | |
Energy Equipment & Services | 1.8 | 385,264 | |
Food & Staples Retailing | 1.4 | 285,902 | |
Equity Real Estate Investment Trusts | 1.3 | 269,765 | |
Aerospace & Defense | 1.2 | 262,642 | |
Airlines | 0.9 | 193,817 | |
Professional Services | 0.9 | 179,666 | |
Construction Materials | 0.8 | 177,302 | |
Internet & Direct Marketing Retail | 0.7 | 139,202 | |
Industrial Conglomerates | 0.6 | 120,047 | |
Independent Power & Renewable Electricity Producer | 0.5 | 109,717 | |
Household Products | 0.5 | 102,900 | |
Entertainment | 0.5 | 102,762 | |
TOTAL COMMON STOCKS | 99.3% | $20,896,415 | |
REPURCHASE AGREEMENT | 0.6 | 121,654 | |
TOTAL INVESTMENTS | 99.9% | $21,018,069 |
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COMMON STOCKS* — 98.7% | |||
Aerospace & Defense — 1.6% | |||
148,260 | Arconic, Inc. | $4,072,702 | |
Air Freight & Logistics — 1.4% | |||
47,980 | Expeditors International of Washington, Inc. | 3,499,661 | |
Airlines — 2.6% | |||
43,360 | Delta Air Lines, Inc. | 2,388,269 | |
49,520 | Southwest Airlines Co. | 2,779,557 | |
14,520 | United Airlines Holdings, Inc.1 | 1,318,997 | |
6,486,823 | |||
Banks — 4.8% | |||
93,500 | Bank of America Corp.2 | 2,923,745 | |
37,680 | Citigroup, Inc. | 2,707,685 | |
75,280 | Citizens Financial Group, Inc. | 2,646,845 | |
158,740 | First Horizon National Corp. | 2,535,078 | |
31,640 | PacWest Bancorp | 1,170,363 | |
11,983,716 | |||
Beverages — 1.3% | |||
56,920 | Monster Beverage Corp.1 | 3,194,920 | |
Capital Markets — 1.1% | |||
36,780 | TD Ameritrade Holding Corp. | 1,411,616 | |
80,400 | Waddell & Reed Financial, Inc. - Class A3 | 1,331,424 | |
2,743,040 | |||
Chemicals — 3.3% | |||
90,760 | Axalta Coating Systems, Ltd.1 | 2,676,512 | |
34,320 | CF Industries Holdings, Inc. | 1,556,412 | |
57,152 | PolyOne Corp. | 1,831,722 | |
21,660 | Scotts Miracle-Gro Co. (The) | 2,174,447 | |
8,239,093 | |||
Commercial Services & Supplies — 3.4% | |||
81,500 | Herman Miller, Inc. | 3,789,750 | |
53,989 | Tetra Tech, Inc.2 | 4,722,418 | |
8,512,168 | |||
Communications Equipment — 0.5% | |||
23,620 | Cisco Systems, Inc. | 1,122,186 | |
Construction & Engineering — 1.3% | |||
35,740 | EMCOR Group, Inc.2 | 3,134,755 | |
Consumer Finance — 2.4% | |||
311,100 | SLM Corp. | 2,625,684 | |
92,180 | Synchrony Financial | 3,260,407 | |
5,886,091 | |||
Distributors — 1.0% | |||
69,020 | LKQ Corp.1 | 2,345,990 | |
Diversified Consumer Services — 0.4% | |||
34,640 | Adtalem Global Education, Inc.1 | 1,031,579 | |
Diversified Financial Services — 1.3% | |||
55,580 | Jefferies Financial Group, Inc. | 1,037,678 | |
41,080 | Voya Financial, Inc. | 2,216,677 | |
3,254,355 |
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Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Electric Utilities — 2.5% | |||
71,940 | OGE Energy Corp. | $3,097,736 | |
94,100 | PPL Corp. | 3,151,409 | |
6,249,145 | |||
Electrical Equipment — 2.2% | |||
44,940 | AMETEK, Inc. | 4,118,751 | |
15,660 | Eaton Corp. PLC | 1,364,143 | |
5,482,894 | |||
Electronic Equipment, Instruments & Components — 2.2% | |||
57,180 | Methode Electronics, Inc. | 1,966,992 | |
27,637 | Tech Data Corp.1 | 3,357,896 | |
5,324,888 | |||
Energy Equipment & Services — 0.5% | |||
60,000 | Halliburton Co. | 1,155,000 | |
Equity Real Estate Investment Trusts — 6.8% | |||
29,200 | Douglas Emmett, Inc. | 1,264,944 | |
39,760 | EPR Properties2 | 3,092,931 | |
69,300 | Gaming and Leisure Properties, Inc. | 2,796,948 | |
100,220 | Host Hotels & Resorts, Inc. | 1,642,606 | |
37,880 | Realty Income Corp. | 3,098,205 | |
119,980 | Service Properties Trust | 3,035,494 | |
47,490 | STORE Capital Corp. | 1,923,345 | |
16,854,473 | |||
Food & Staples Retailing — 1.2% | |||
38,480 | Sysco Corp. | 3,073,398 | |
Food Products — 2.2% | |||
77,720 | General Mills, Inc. | 3,952,839 | |
17,740 | Tyson Foods, Inc. - Class A | 1,468,695 | |
5,421,534 | |||
Health Care Providers & Services — 6.7% | |||
25,838 | Amedisys, Inc.1,2 | 3,320,700 | |
15,340 | AmerisourceBergen Corp. | 1,309,729 | |
66,750 | Cardinal Health, Inc. | 3,300,788 | |
47,920 | Centene Corp.1,2 | 2,543,594 | |
41,940 | DaVita, Inc.1 | 2,457,684 | |
31,660 | Molina Healthcare, Inc.1 | 3,724,482 | |
16,656,977 | |||
Health Care Technology — 1.2% | |||
92,700 | HMS Holdings Corp.1,2 | 3,030,363 | |
Hotels, Restaurants & Leisure — 0.6% | |||
16,540 | Hilton Worldwide Holdings, Inc. | 1,603,718 | |
Household Products — 0.0% | |||
1,392 | Spectrum Brands Holdings, Inc. | 69,892 | |
Independent Power & Renewable Electricity Producer — 1.2% | |||
167,600 | AES Corp.2 | 2,857,580 | |
Insurance — 4.3% | |||
36,500 | Aflac, Inc. | 1,940,340 | |
33,700 | CNA Financial Corp. | 1,511,108 | |
37,760 | Hartford Financial Services Group, Inc. (The) | 2,155,341 | |
40,940 | MetLife, Inc. | 1,915,583 |
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Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Insurance — (Continued) | |||
142,040 | Old Republic International Corp. | $3,173,173 | |
10,695,545 | |||
Internet & Direct Marketing Retail — 0.6% | |||
39,280 | eBay, Inc.2 | 1,384,620 | |
IT Services — 6.3% | |||
28,240 | Akamai Technologies, Inc.1 | 2,442,760 | |
18,700 | Euronet Worldwide, Inc.1 | 2,619,309 | |
10,960 | FleetCor Technologies, Inc.1,2 | 3,224,651 | |
158,860 | KBR, Inc. | 4,473,497 | |
36,840 | MAXIMUS, Inc. | 2,827,102 | |
15,587,319 | |||
Life Sciences Tools & Services — 0.9% | |||
30,000 | Medpace Holdings, Inc.1 | 2,208,900 | |
Machinery — 4.5% | |||
47,480 | AGCO Corp.2 | 3,641,241 | |
36,080 | Ingersoll-Rand PLC2 | 4,578,191 | |
17,340 | Snap-on, Inc. | 2,820,698 | |
11,040,130 | |||
Media — 1.9% | |||
76,280 | Comcast Corp. - Class A | 3,418,870 | |
15,834 | Omnicom Group, Inc. | 1,222,226 | |
4,641,096 | |||
Metals & Mining — 3.3% | |||
14,080 | Kaiser Aluminum Corp. | 1,507,686 | |
89,382 | Newmont Goldcorp Corp. | 3,551,147 | |
26,560 | Reliance Steel & Aluminum Co. | 3,082,023 | |
8,140,856 | |||
Multi-line Retail — 1.0% | |||
22,800 | Target Corp. | 2,437,548 | |
Oil, Gas & Consumable Fuels — 3.5% | |||
67,920 | Delek US Holdings, Inc. | 2,713,404 | |
48,620 | Marathon Petroleum Corp. | 3,109,249 | |
24,380 | Phillips 66 | 2,848,072 | |
8,670,725 | |||
Paper & Forest Products — 1.3% | |||
85,680 | Domtar Corp.2 | 3,117,895 | |
Pharmaceuticals — 2.9% | |||
57,420 | Bristol-Myers Squibb Co. | 3,294,185 | |
93,540 | Elanco Animal Health, Inc.1 | 2,527,451 | |
15,400 | Merck & Co., Inc. | 1,334,564 | |
7,156,200 | |||
Professional Services — 1.4% | |||
32,020 | Korn Ferry | 1,174,814 | |
116,000 | Nielsen Holdings PLC | 2,338,560 | |
3,513,374 | |||
Semiconductors & Semiconductor Equipment — 4.8% | |||
61,120 | Applied Materials, Inc. | 3,316,371 | |
32,980 | Diodes, Inc.1 | 1,538,517 | |
74,060 | Micron Technology, Inc.1,2 | 3,521,553 |
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Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Semiconductors & Semiconductor Equipment — (Continued) | |||
56,900 | Teradyne, Inc. | $3,483,418 | |
11,859,859 | |||
Software — 3.4% | |||
84,078 | ACI Worldwide, Inc.1 | 2,639,208 | |
19,320 | Cadence Design Systems, Inc.1,2 | 1,262,562 | |
30,580 | Microsoft Corp. | 4,384,255 | |
8,286,025 | |||
Specialty Retail — 2.4% | |||
59,980 | Best Buy Co., Inc.2 | 4,308,363 | |
28,200 | TJX Cos., Inc. (The) | 1,625,730 | |
5,934,093 | |||
Technology Hardware, Storage & Peripherals — 1.6% | |||
135,140 | HP, Inc. | 2,347,382 | |
48,560 | Xerox Holdings Corp. | 1,647,641 | |
3,995,023 | |||
Textiles, Apparel & Luxury Goods — 0.9% | |||
56,460 | Skechers U.S.A., Inc. - Class A1 | 2,109,910 | |
TOTAL COMMON STOCKS (Cost $201,903,870) | 244,066,059 | ||
INVESTMENT OF SECURITY LENDING COLLATERAL* — 0.6% | |||
1,386,900 | State Street Navigator Securities Lending Government Money Market Portfolio4 | 1,386,900 | |
TOTAL INVESTMENT OF SECURITY LENDING COLLATERAL (Cost $1,386,900) | 1,386,900 | ||
TOTAL LONG INVESTMENTS (Cost $203,290,770) | 99.3% | $245,452,959 | |
COMMON STOCKS SOLD SHORT — (69.3)% | |||
Aerospace & Defense — (1.0)% | |||
(6,960) | Boeing Co. (The) | (2,365,774) | |
Air Freight & Logistics — (2.0)% | |||
(15,600) | FedEx Corp. | (2,381,496) | |
(22,180) | United Parcel Service, Inc. - Class B | (2,554,471) | |
(4,935,967) | |||
Banks — (2.9)% | |||
(42,320) | Commerce Bancshares, Inc. | (2,723,715) | |
(28,000) | First Republic Bank | (2,978,080) | |
(92,000) | People’s United Financial, Inc. | (1,487,640) | |
(7,189,435) | |||
Capital Markets — (2.0)% | |||
(9,340) | FactSet Research Systems, Inc. | (2,367,877) | |
(11,600) | Moody’s Corp. | (2,560,004) | |
(4,927,881) | |||
Chemicals — (5.2)% | |||
(18,865) | Albemarle Corp. | (1,145,860) | |
(16,880) | Ashland Global Holdings, Inc. | (1,306,006) | |
(37,660) | DuPont de Nemours, Inc. | (2,482,170) | |
(22,080) | International Flavors & Fragrances, Inc. | (2,693,981) | |
(132,540) | Mosaic Co. (The) | (2,634,895) |
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Shares | Value | ||
COMMON STOCKS SOLD SHORT — (Continued) | |||
Chemicals — (Continued) | |||
(38,180) | WR Grace & Co. | $(2,537,061) | |
(12,799,973) | |||
Commercial Services & Supplies — (2.7)% | |||
(129,400) | Covanta Holding Corp. | (1,868,536) | |
(46,530) | Rollins, Inc. | (1,773,258) | |
(50,720) | Stericycle, Inc.1 | (2,921,472) | |
(6,563,266) | |||
Distributors — (0.5)% | |||
(13,280) | Genuine Parts Co. | (1,362,262) | |
Diversified Telecommunication Services — (0.5)% | |||
(20,460) | Cogent Communications Holdings, Inc. | (1,199,774) | |
Electric Utilities — (1.6)% | |||
(14,000) | IDACORP, Inc. | (1,506,680) | |
(47,540) | PNM Resources, Inc. | (2,479,211) | |
(3,985,891) | |||
Electronic Equipment, Instruments & Components — (2.3)% | |||
(61,860) | Cognex Corp. | (3,185,171) | |
(14,140) | Littelfuse, Inc. | (2,482,560) | |
(5,667,731) | |||
Equity Real Estate Investment Trusts — (5.0)% | |||
(75,260) | Acadia Realty Trust | (2,105,775) | |
(56,460) | Cousins Properties, Inc. | (2,265,740) | |
(84,400) | Healthcare Realty Trust, Inc. | (2,934,588) | |
(48,020) | Liberty Property Trust | (2,836,541) | |
(33,620) | Macerich Co. (The) | (924,550) | |
(20,160) | Vornado Realty Trust | (1,323,101) | |
(12,390,295) | |||
Food Products — (3.3)% | |||
(122,020) | Hain Celestial Group, Inc. (The)1 | (2,884,553) | |
(41,020) | Kellogg Co. | (2,606,001) | |
(16,340) | McCormick & Co., Inc. | (2,625,674) | |
(8,116,228) | |||
Health Care Equipment & Supplies — (3.9)% | |||
(35,740) | Abbott Laboratories | (2,988,222) | |
(14,960) | Becton Dickinson & Co. | (3,829,760) | |
(20,900) | Danaher Corp. | (2,880,438) | |
(9,698,420) | |||
Hotels, Restaurants & Leisure — (1.6)% | |||
(59,280) | Cheesecake Factory, Inc. (The) | (2,477,311) | |
(9,640) | Cracker Barrel Old Country Store, Inc. | (1,499,020) | |
(3,976,331) | |||
Household Durables — (1.1)% | |||
(19,900) | Mohawk Industries, Inc.1 | (2,853,262) | |
Household Products — (0.5)% | |||
(8,200) | Clorox Co. (The) | (1,211,058) | |
Industrial Conglomerates — (2.0)% | |||
(16,480) | 3M Co. | (2,719,035) |
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Shares | Value | ||
COMMON STOCKS SOLD SHORT — (Continued) | |||
Industrial Conglomerates — (Continued) | |||
(234,300) | General Electric Co. | $(2,338,314) | |
(5,057,349) | |||
Insurance — (2.0)% | |||
(16,540) | Arthur J Gallagher & Co. | (1,508,779) | |
(2,900) | Markel Corp.1 | (3,395,900) | |
(4,904,679) | |||
IT Services — (2.0)% | |||
(39,260) | Black Knight, Inc.1 | (2,520,492) | |
(17,280) | Jack Henry & Associates, Inc. | (2,446,157) | |
(4,966,649) | |||
Leisure Product — (1.1)% | |||
(28,160) | Polaris Industries, Inc. | (2,777,984) | |
Life Sciences Tools & Services — (1.2)% | |||
(14,300) | Bio-Techne Corp. | (2,976,831) | |
Machinery — (1.5)% | |||
(21,360) | Deere & Co. | (3,719,630) | |
Media — (1.0)% | |||
(52,660) | John Wiley & Sons, Inc. - Class A | (2,426,046) | |
Mortgage Real Estate Investment Trust — (1.1)% | |||
(73,540) | Blackstone Mortgage Trust, Inc. - Class A | (2,669,502) | |
Multi-line Retail — (1.1)% | |||
(23,700) | Dollar Tree, Inc.1 | (2,616,480) | |
Oil, Gas & Consumable Fuels — (2.1)% | |||
(20,640) | Cheniere Energy, Inc.1 | (1,270,392) | |
(194,180) | Kinder Morgan, Inc. | (3,879,716) | |
(5,150,108) | |||
Professional Services — (1.8)% | |||
(32,420) | Equifax, Inc. | (4,432,138) | |
Road & Rail — (3.5)% | |||
(6,620) | AMERCO | (2,681,365) | |
(28,420) | JB Hunt Transport Services, Inc. | (3,341,055) | |
(16,240) | Union Pacific Corp. | (2,687,071) | |
(8,709,491) | |||
Semiconductors & Semiconductor Equipment — (3.4)% | |||
(82,880) | Advanced Micro Devices, Inc.1 | (2,812,119) | |
(7,660) | NVIDIA Corp. | (1,539,813) | |
(50,400) | QUALCOMM, Inc. | (4,054,176) | |
(8,406,108) | |||
Software — (5.1)% | |||
(16,860) | Autodesk, Inc.1 | (2,484,490) | |
(36,100) | Pegasystems, Inc. | (2,715,081) | |
(41,960) | PTC, Inc.1 | (2,807,543) | |
(17,400) | Tyler Technologies, Inc.1 | (4,672,248) | |
(12,679,362) | |||
Specialty Retail — (0.9)% | |||
(30,380) | Monro, Inc. | (2,129,942) |
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COMMON STOCKS SOLD SHORT — (Continued) | |||
Trading Companies & Distributors — (0.7)% | |||
(9,820) | Watsco, Inc. | $(1,731,266) | |
Water Utilities — (2.7)% | |||
(13,560) | American States Water Co. | (1,289,963) | |
(67,400) | Aqua America, Inc. | (3,055,242) | |
(40,020) | California Water Service Group | (2,239,919) | |
(6,585,124) | |||
TOTAL COMMON STOCKS SOLD SHORT (Proceeds $(163,715,924)) | (171,182,237) | ||
TOTAL SHORT INVESTMENTS (Proceeds $(163,715,924)) | (69.3)% | $(171,182,237) | |
TOTAL INVESTMENTS (Cost $39,574,846) | 30.0% | $74,270,722 | |
OTHER ASSETS IN EXCESS OF LIABILITIES | 70.0 | 172,954,031 | |
NET ASSETS | 100.0% | $247,224,753 |
* | Percentages indicated are based on net assets. |
1 | Non income-producing security. |
2 | All or portion of security pledged as collateral for securities sold short. The total market value of collateral is $38,884,803. |
3 | Securities or partial securities on loan. See Note 1. |
4 | Represents an investment of securities lending cash collateral. |
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% of Net Assets | Value | ||
INDUSTRIES: | |||
Long Positions: | |||
Equity Real Estate Investment Trusts | 6.8% | $16,854,473 | |
Health Care Providers & Services | 6.7 | 16,656,977 | |
IT Services | 6.3 | 15,587,319 | |
Banks | 4.8 | 11,983,716 | |
Semiconductors & Semiconductor Equipment | 4.8 | 11,859,859 | |
Machinery | 4.5 | 11,040,130 | |
Insurance | 4.3 | 10,695,545 | |
Oil, Gas & Consumable Fuels | 3.5 | 8,670,725 | |
Commercial Services & Supplies | 3.4 | 8,512,168 | |
Software | 3.4 | 8,286,025 | |
Chemicals | 3.3 | 8,239,093 | |
Metals & Mining | 3.3 | 8,140,856 | |
Pharmaceuticals | 2.9 | 7,156,200 | |
Airlines | 2.6 | 6,486,823 | |
Electric Utilities | 2.5 | 6,249,145 | |
Specialty Retail | 2.4 | 5,934,093 | |
Consumer Finance | 2.4 | 5,886,091 | |
Electrical Equipment | 2.2 | 5,482,894 | |
Food Products | 2.2 | 5,421,534 | |
Electronic Equipment, Instruments & Components | 2.2 | 5,324,888 | |
Media | 1.9 | 4,641,096 | |
Aerospace & Defense | 1.6 | 4,072,702 | |
Technology Hardware, Storage & Peripherals | 1.6 | 3,995,023 | |
Professional Services | 1.4 | 3,513,374 | |
Air Freight & Logistics | 1.4 | 3,499,661 | |
Diversified Financial Services | 1.3 | 3,254,355 | |
Beverages | 1.3 | 3,194,920 | |
Construction & Engineering | 1.3 | 3,134,755 | |
Paper & Forest Products | 1.3 | 3,117,895 | |
Food & Staples Retailing | 1.2 | 3,073,398 | |
Health Care Technology | 1.2 | 3,030,363 | |
Independent Power & Renewable Electricity Producer | 1.2 | 2,857,580 | |
Capital Markets | 1.1 | 2,743,040 | |
Multi-line Retail | 1.0 | 2,437,548 | |
Distributors | 1.0 | 2,345,990 | |
Life Sciences Tools & Services | 0.9 | 2,208,900 | |
Textiles, Apparel & Luxury Goods | 0.9 | 2,109,910 | |
Hotels, Restaurants & Leisure | 0.6 | 1,603,718 | |
Internet & Direct Marketing Retail | 0.6 | 1,384,620 | |
Energy Equipment & Services | 0.5 | 1,155,000 | |
Communications Equipment | 0.5 | 1,122,186 | |
Diversified Consumer Services | 0.4 | 1,031,579 | |
Household Products | 0.0 | 69,892 | |
Short Positions: | |||
Diversified Telecommunication Services | (0.5) | (1,199,774) | |
Household Products | (0.5) | (1,211,058) | |
Distributors | (0.5) | (1,362,262) | |
Trading Companies & Distributors | (0.7) | (1,731,266) | |
Specialty Retail | (0.9) | (2,129,942) | |
Aerospace & Defense | (1.0) | (2,365,774) | |
Media | (1.0) | (2,426,046) | |
Multi-line Retail | (1.1) | (2,616,480) | |
Mortgage Real Estate Investment Trust | (1.1) | (2,669,502) |
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% of Net Assets | Value | ||
INDUSTRIES: — (Continued) | |||
Short Positions: — (Continued) | |||
Leisure Product | (1.1)% | $(2,777,984) | |
Household Durables | (1.1) | (2,853,262) | |
Life Sciences Tools & Services | (1.2) | (2,976,831) | |
Machinery | (1.5) | (3,719,630) | |
Hotels, Restaurants & Leisure | (1.6) | (3,976,331) | |
Electric Utilities | (1.6) | (3,985,891) | |
Professional Services | (1.8) | (4,432,138) | |
Insurance | (2.0) | (4,904,679) | |
Capital Markets | (2.0) | (4,927,881) | |
Air Freight & Logistics | (2.0) | (4,935,967) | |
IT Services | (2.0) | (4,966,649) | |
Industrial Conglomerates | (2.0) | (5,057,349) | |
Oil, Gas & Consumable Fuels | (2.1) | (5,150,108) | |
Electronic Equipment, Instruments & Components | (2.3) | (5,667,731) | |
Commercial Services & Supplies | (2.7) | (6,563,266) | |
Water Utilities | (2.7) | (6,585,124) | |
Banks | (2.9) | (7,189,435) | |
Food Products | (3.3) | (8,116,228) | |
Semiconductors & Semiconductor Equipment | (3.4) | (8,406,108) | |
Road & Rail | (3.5) | (8,709,491) | |
Health Care Equipment & Supplies | (3.9) | (9,698,420) | |
Equity Real Estate Investment Trusts | (5.0) | (12,390,295) | |
Software | (5.1) | (12,679,362) | |
Chemicals | (5.2) | (12,799,973) | |
TOTAL COMMON STOCKS | 29.4% | $72,883,822 | |
INVESTMENT OF SECURITY LENDING COLLATERAL | 0.6 | 1,386,900 | |
TOTAL INVESTMENTS | 30.0% | $74,270,722 |
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Shares | Value | ||
COMMON STOCKS* — 129.3% | |||
Aerospace & Defense — 1.3% | |||
33,240 | Arconic, Inc. | $913,103 | |
Air Freight & Logistics — 1.6% | |||
15,340 | Expeditors International of Washington, Inc.1 | 1,118,900 | |
Airlines — 1.0% | |||
12,180 | Southwest Airlines Co. | 683,663 | |
Banks — 10.1% | |||
36,300 | Bank of America Corp. | 1,135,101 | |
14,000 | Citigroup, Inc. | 1,006,040 | |
20,480 | Citizens Financial Group, Inc. | 720,077 | |
48,380 | Fifth Third Bancorp1 | 1,406,890 | |
26,540 | First Horizon National Corp. | 423,844 | |
75,400 | FNB Corp. | 909,324 | |
10,097 | JPMorgan Chase & Co. | 1,261,317 | |
6,862,593 | |||
Biotechnology — 1.2% | |||
12,580 | Gilead Sciences, Inc. | 801,472 | |
Capital Markets — 0.5% | |||
3,520 | Intercontinental Exchange, Inc. | 332,006 | |
Chemicals — 2.0% | |||
23,080 | Axalta Coating Systems, Ltd.2 | 680,629 | |
30,160 | Huntsman Corp. | 667,441 | |
1,348,070 | |||
Commercial Services & Supplies — 1.5% | |||
21,760 | Herman Miller, Inc. | 1,011,840 | |
Communications Equipment — 1.8% | |||
26,180 | Cisco Systems, Inc.1 | 1,243,812 | |
Construction & Engineering — 2.4% | |||
18,592 | EMCOR Group, Inc.1 | 1,630,704 | |
Consumer Finance — 3.7% | |||
30,440 | Ally Financial, Inc. | 932,377 | |
44,940 | Synchrony Financial1 | 1,589,528 | |
2,521,905 | |||
Containers & Packaging — 0.3% | |||
7,310 | Silgan Holdings, Inc. | 224,929 | |
Diversified Financial Services — 1.4% | |||
17,480 | Voya Financial, Inc. | 943,221 | |
Electric Utilities — 3.4% | |||
21,320 | Exelon Corp.1 | 969,847 | |
9,640 | Hawaiian Electric Industries, Inc. | 435,246 | |
26,780 | PPL Corp. | 896,862 | |
2,301,955 | |||
Electrical Equipment — 2.2% | |||
16,080 | AMETEK, Inc.1 | 1,473,732 | |
Electronic Equipment, Instruments & Components — 2.7% | |||
15,060 | Tech Data Corp.1,2 | 1,829,790 | |
Equity Real Estate Investment Trusts — 5.4% | |||
6,680 | EPR Properties | 519,637 |
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Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Equity Real Estate Investment Trusts — (Continued) | |||
9,300 | Gaming and Leisure Properties, Inc. | $375,348 | |
4,300 | National Health Investors, Inc. | 368,897 | |
17,200 | Omega Healthcare Investors, Inc. | 757,488 | |
17,191 | Service Properties Trust | 434,933 | |
29,480 | STORE Capital Corp. | 1,193,940 | |
3,650,243 | |||
Food & Staples Retailing — 1.9% | |||
5,320 | Sysco Corp. | 424,909 | |
7,520 | Walmart, Inc. | 881,795 | |
1,306,704 | |||
Food Products — 4.0% | |||
28,920 | General Mills, Inc.1 | 1,470,871 | |
15,140 | Tyson Foods, Inc. - Class A1 | 1,253,441 | |
2,724,312 | |||
Health Care Providers & Services — 10.9% | |||
10,640 | Amedisys, Inc.1,2 | 1,367,453 | |
11,080 | AmerisourceBergen Corp. | 946,011 | |
3,640 | Anthem, Inc. | 979,451 | |
22,240 | Cardinal Health, Inc. | 1,099,768 | |
5,280 | Centene Corp.2 | 280,262 | |
13,060 | DaVita, Inc.2 | 765,316 | |
10,140 | Henry Schein, Inc.2 | 634,612 | |
11,100 | Molina Healthcare, Inc.1,2 | 1,305,804 | |
7,378,677 | |||
Hotels, Restaurants & Leisure — 3.9% | |||
12,220 | Hilton Worldwide Holdings, Inc.1 | 1,184,851 | |
17,620 | Starbucks Corp.1 | 1,489,947 | |
2,674,798 | |||
Household Products — 1.3% | |||
12,320 | Church & Dwight Co., Inc. | 861,661 | |
Independent Power & Renewable Electricity Producer — 1.8% | |||
72,300 | AES Corp.1 | 1,232,715 | |
Insurance — 5.3% | |||
26,960 | Aflac, Inc.1 | 1,433,193 | |
8,140 | Allstate Corp. (The) | 866,259 | |
13,080 | MetLife, Inc.1 | 612,013 | |
31,640 | Old Republic International Corp. | 706,838 | |
3,618,303 | |||
Internet & Direct Marketing Retail — 1.2% | |||
22,700 | eBay, Inc. | 800,175 | |
IT Services — 10.4% | |||
12,600 | Akamai Technologies, Inc.2 | 1,089,900 | |
13,220 | Amdocs, Ltd. | 861,944 | |
4,920 | FleetCor Technologies, Inc.1,2 | 1,447,563 | |
41,140 | Genpact, Ltd.1 | 1,611,454 | |
6,480 | ManTech International Corp. - Class A | 513,086 | |
13,880 | MAXIMUS, Inc. | 1,065,151 | |
2,800 | Visa, Inc. - Class A | 500,808 | |
7,089,906 |
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Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Life Sciences Tools & Services — 3.1% | |||
4,500 | Agilent Technologies, Inc. | $340,875 | |
10,340 | Bruker Corp. | 460,130 | |
18,000 | Medpace Holdings, Inc.2 | 1,325,340 | |
2,126,345 | |||
Machinery — 5.2% | |||
8,960 | AGCO Corp. | 687,142 | |
6,520 | Crane Co. | 498,910 | |
5,540 | IDEX Corp. | 861,636 | |
11,660 | Ingersoll-Rand PLC1 | 1,479,538 | |
3,527,226 | |||
Media — 5.9% | |||
33,460 | Comcast Corp. - Class A1 | 1,499,677 | |
30,220 | Discovery, Inc. - Class A2,3 | 814,580 | |
74,480 | News Corp. - Class A | 1,021,121 | |
8,780 | Omnicom Group, Inc. | 677,728 | |
4,013,106 | |||
Metals & Mining — 3.9% | |||
34,360 | Newmont Goldcorp Corp. | 1,365,123 | |
11,140 | Reliance Steel & Aluminum Co. | 1,292,685 | |
2,657,808 | |||
Multi-line Retail — 2.2% | |||
11,340 | Nordstrom, Inc.3 | 407,106 | |
9,840 | Target Corp. | 1,051,994 | |
1,459,100 | |||
Oil, Gas & Consumable Fuels — 4.4% | |||
5,480 | ConocoPhillips | 302,496 | |
14,960 | Delek US Holdings, Inc. | 597,652 | |
16,740 | Marathon Petroleum Corp. | 1,070,523 | |
10,261 | Valero Energy Corp. | 995,112 | |
2,965,783 | |||
Pharmaceuticals — 2.7% | |||
22,460 | Bristol-Myers Squibb Co. | 1,288,530 | |
6,080 | Merck & Co., Inc. | 526,893 | |
1,815,423 | |||
Professional Services — 1.0% | |||
11,920 | Robert Half International, Inc. | 682,658 | |
Real Estate Investment Trusts — 0.8% | |||
58,380 | VEREIT, Inc. | 574,459 | |
Road & Rail — 1.4% | |||
8,320 | Landstar System, Inc. | 941,408 | |
Semiconductors & Semiconductor Equipment — 6.8% | |||
17,300 | Applied Materials, Inc. | 938,698 | |
28,400 | Diodes, Inc.1,2 | 1,324,860 | |
11,380 | Entegris, Inc. | 546,240 | |
18,320 | Micron Technology, Inc.2 | 871,116 | |
20,120 | ON Semiconductor Corp.2 | 410,448 | |
8,200 | Teradyne, Inc. | 502,004 | |
4,593,366 |
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Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Software — 1.1% | |||
10,880 | ACI Worldwide, Inc.2 | $341,523 | |
7,620 | SPS Commerce, Inc.2 | 402,108 | |
743,631 | |||
Specialty Retail — 4.7% | |||
14,760 | Best Buy Co., Inc. | 1,060,211 | |
12,220 | Ross Stores, Inc.1 | 1,340,167 | |
13,560 | TJX Cos., Inc. (The) | 781,734 | |
3,182,112 | |||
Technology Hardware, Storage & Peripherals — 1.3% | |||
15,360 | NetApp, Inc. | 858,318 | |
Textiles, Apparel & Luxury Goods — 1.0% | |||
19,000 | Skechers U.S.A., Inc. - Class A2 | 710,030 | |
Wireless Telecommunication Services — 0.6% | |||
16,360 | Telephone & Data Systems, Inc. | 426,832 | |
TOTAL COMMON STOCKS (Cost $67,583,804) | 87,856,794 | ||
COMMON STOCKS SOLD SHORT* — (29.5)% | |||
Aerospace & Defense — (0.3)% | |||
(600) | Boeing Co. (The) | (203,946) | |
Air Freight & Logistics — (0.8)% | |||
(1,400) | FedEx Corp. | (213,724) | |
(2,945) | United Parcel Service, Inc. - Class B | (339,176) | |
(552,900) | |||
Banks — (2.8)% | |||
(4,520) | Commerce Bancshares, Inc. | (290,907) | |
(2,980) | First Republic Bank | (316,953) | |
(7,180) | Glacier Bancorp, Inc. | (303,858) | |
(18,980) | Old National Bancorp | (341,545) | |
(17,380) | People’s United Financial, Inc. | (281,035) | |
(2,920) | Signature Bank | (345,494) | |
(1,879,792) | |||
Building Products — (0.4)% | |||
(1,000) | Lennox International, Inc. | (247,360) | |
Capital Markets — (0.4)% | |||
(1,100) | FactSet Research Systems, Inc. | (278,872) | |
Chemicals — (1.0)% | |||
(3,700) | Ashland Global Holdings, Inc. | (286,269) | |
(1) | Dow, Inc.2 | (50) | |
(2,060) | DuPont de Nemours, Inc. | (135,775) | |
(2,000) | International Flavors & Fragrances, Inc. | (244,020) | |
(666,114) | |||
Commercial Services & Supplies — (0.9)% | |||
(9,390) | Rollins, Inc. | (357,853) | |
(4,680) | Stericycle, Inc.2 | (269,568) | |
(627,421) | |||
Construction Materials — (0.5)% | |||
(3,420) | Eagle Materials, Inc. | (312,383) |
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Shares | Value | ||
COMMON STOCKS SOLD SHORT* — (Continued) | |||
Containers & Packaging — (0.4)% | |||
(3,919) | Ball Corp. | $(274,212) | |
Distributors — (0.4)% | |||
(2,820) | Genuine Parts Co. | (289,276) | |
Electric Utilities — (1.1)% | |||
(2,420) | Eversource Energy | (202,651) | |
(2,280) | IDACORP, Inc. | (245,373) | |
(5,440) | PNM Resources, Inc. | (283,696) | |
(731,720) | |||
Equity Real Estate Investment Trusts — (1.0)% | |||
(8,120) | Acadia Realty Trust | (227,198) | |
(7,280) | HCP, Inc. | (273,873) | |
(2,900) | Vornado Realty Trust | (190,327) | |
(691,398) | |||
Food Products — (0.9)% | |||
(10,600) | Conagra Brands, Inc. | (286,730) | |
(1,920) | McCormick & Co., Inc. | (308,525) | |
(595,255) | |||
Gas Utilities — (0.3)% | |||
(2,880) | Northwest Natural Holding Co. | (199,757) | |
Health Care Equipment & Supplies — (2.2)% | |||
(2,500) | Abbott Laboratories | (209,025) | |
(1,520) | Becton Dickinson & Co. | (389,120) | |
(5,920) | DENTSPLY SIRONA, Inc. | (324,298) | |
(1,247) | Edwards Lifesciences Corp.2 | (297,260) | |
(1,980) | Zimmer Biomet Holdings, Inc. | (273,695) | |
(1,493,398) | |||
Hotels, Restaurants & Leisure — (2.4)% | |||
(6,340) | Cheesecake Factory, Inc. (The) | (264,949) | |
(1,580) | Cracker Barrel Old Country Store, Inc. | (245,690) | |
(1,040) | Domino’s Pizza, Inc. | (282,485) | |
(2,260) | Marriott International, Inc. - Class A | (286,003) | |
(1,160) | Vail Resorts, Inc. | (269,549) | |
(2,500) | Wynn Resorts, Ltd. | (303,350) | |
(1,652,026) | |||
Household Durables — (0.6)% | |||
(2,940) | Mohawk Industries, Inc.2 | (421,537) | |
Household Products — (0.4)% | |||
(1,920) | Clorox Co. (The) | (283,565) | |
Industrial Conglomerates — (0.7)% | |||
(1,660) | 3M Co. | (273,884) | |
(17,580) | General Electric Co. | (175,448) | |
(449,332) | |||
Insurance — (1.6)% | |||
(13,940) | CNO Financial Group, Inc. | (218,161) | |
(300) | Markel Corp.2 | (351,300) | |
(4,120) | Mercury General Corp. | (198,007) | |
(8,000) | ProAssurance Corp. | (313,760) | |
(1,081,228) |
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COMMON STOCKS SOLD SHORT* — (Continued) | |||
Machinery — (1.6)% | |||
(1,800) | Deere & Co. | $(313,452) | |
(2,200) | Nordson Corp. | (344,982) | |
(1,400) | RBC Bearings, Inc.2 | (224,616) | |
(94) | Wabtec Corp. | (6,521) | |
(2,020) | Woodward, Inc. | (215,453) | |
(1,105,024) | |||
Marine — (0.3)% | |||
(2,780) | Kirby Corp.2 | (220,065) | |
Mortgage Real Estate Investment Trust — (0.4)% | |||
(7,220) | Blackstone Mortgage Trust, Inc. - Class A | (262,086) | |
Multi-line Retail — (0.3)% | |||
(8,540) | Big Lots, Inc. | (185,062) | |
Oil, Gas & Consumable Fuels — (0.0)% | |||
(40) | Williams Cos., Inc. (The) | (892) | |
Professional Services — (0.4)% | |||
(2,100) | Equifax, Inc. | (287,091) | |
Road & Rail — (2.3)% | |||
(880) | AMERCO | (356,435) | |
(3,180) | JB Hunt Transport Services, Inc. | (373,841) | |
(10,200) | Knight-Swift Transportation Holdings, Inc. | (371,892) | |
(1,500) | Norfolk Southern Corp. | (273,000) | |
(1,320) | Union Pacific Corp. | (218,407) | |
(1,593,575) | |||
Semiconductors & Semiconductor Equipment — (2.3)% | |||
(10,860) | Advanced Micro Devices, Inc.2 | (368,480) | |
(1,960) | Cabot Microelectronics Corp. | (296,195) | |
(3,480) | QUALCOMM, Inc. | (279,931) | |
(5,460) | Semtech Corp.2 | (275,512) | |
(3,540) | Skyworks Solutions, Inc. | (322,352) | |
(1,542,470) | |||
Software — (1.1)% | |||
(1,820) | Autodesk, Inc.2 | (268,195) | |
(3,320) | PTC, Inc.2 | (222,141) | |
(1,820) | salesforce.com, Inc.2 | (284,812) | |
(775,148) | |||
Specialty Retail — (0.4)% | |||
(3,440) | Monro, Inc. | (241,178) | |
Water Utilities — (1.3)% | |||
(3,080) | American States Water Co. | (293,000) | |
(7,200) | Aqua America, Inc. | (326,376) |
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Shares | Value | ||
COMMON STOCKS SOLD SHORT* — (Continued) | |||
Water Utilities — (Continued) | |||
(4,900) | California Water Service Group | $(274,253) | |
(893,629) | |||
TOTAL COMMON STOCKS SOLD SHORT (Proceeds $(20,890,959)) | (20,037,712) | ||
TOTAL SHORT INVESTMENTS (Proceeds $(20,890,959)) | (29.5)% | $(20,037,712) | |
TOTAL INVESTMENTS (Cost $46,692,845) | 99.8% | $67,819,082 | |
OTHER ASSETS IN EXCESS OF LIABILITIES | 0.2 | 104,285 | |
NET ASSETS | 100.0% | $67,923,367 |
* | Percentages indicated are based on net assets. |
1 | All or portion of security pledged as collateral for securities sold short. The total market value of collateral is $24,783,257. |
2 | Non income-producing security. |
3 | Securities or partial securities on loan. See Note 1. |
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% of Net Assets | Value | ||
INDUSTRIES: | |||
Long Positions: | |||
Health Care Providers & Services | 10.9% | $7,378,677 | |
IT Services | 10.4 | 7,089,906 | |
Banks | 10.1 | 6,862,593 | |
Semiconductors & Semiconductor Equipment | 6.8 | 4,593,366 | |
Media | 5.9 | 4,013,106 | |
Equity Real Estate Investment Trusts | 5.4 | 3,650,243 | |
Insurance | 5.3 | 3,618,303 | |
Machinery | 5.2 | 3,527,226 | |
Specialty Retail | 4.7 | 3,182,112 | |
Oil, Gas & Consumable Fuels | 4.4 | 2,965,783 | |
Food Products | 4.0 | 2,724,312 | |
Hotels, Restaurants & Leisure | 3.9 | 2,674,798 | |
Metals & Mining | 3.9 | 2,657,808 | |
Consumer Finance | 3.7 | 2,521,905 | |
Electric Utilities | 3.4 | 2,301,955 | |
Life Sciences Tools & Services | 3.1 | 2,126,345 | |
Electronic Equipment, Instruments & Components | 2.7 | 1,829,790 | |
Pharmaceuticals | 2.7 | 1,815,423 | |
Construction & Engineering | 2.4 | 1,630,704 | |
Electrical Equipment | 2.2 | 1,473,732 | |
Multi-line Retail | 2.2 | 1,459,100 | |
Chemicals | 2.0 | 1,348,070 | |
Food & Staples Retailing | 1.9 | 1,306,704 | |
Communications Equipment | 1.8 | 1,243,812 | |
Independent Power & Renewable Electricity Producer | 1.8 | 1,232,715 | |
Air Freight & Logistics | 1.6 | 1,118,900 | |
Commercial Services & Supplies | 1.5 | 1,011,840 | |
Diversified Financial Services | 1.4 | 943,221 | |
Road & Rail | 1.4 | 941,408 | |
Aerospace & Defense | 1.3 | 913,103 | |
Household Products | 1.3 | 861,661 | |
Technology Hardware, Storage & Peripherals | 1.3 | 858,318 | |
Biotechnology | 1.2 | 801,472 | |
Internet & Direct Marketing Retail | 1.2 | 800,175 | |
Software | 1.1 | 743,631 | |
Textiles, Apparel & Luxury Goods | 1.0 | 710,030 | |
Airlines | 1.0 | 683,663 | |
Professional Services | 1.0 | 682,658 | |
Real Estate Investment Trusts | 0.8 | 574,459 | |
Wireless Telecommunication Services | 0.6 | 426,832 | |
Capital Markets | 0.5 | 332,006 | |
Containers & Packaging | 0.3 | 224,929 | |
Short Positions: | |||
Oil, Gas & Consumable Fuels | 0.0 | (892) | |
Multi-line Retail | (0.3) | (185,062) | |
Gas Utilities | (0.3) | (199,757) | |
Aerospace & Defense | (0.3) | (203,946) | |
Marine | (0.3) | (220,065) | |
Specialty Retail | (0.4) | (241,178) | |
Building Products | (0.4) | (247,360) | |
Mortgage Real Estate Investment Trust | (0.4) | (262,086) | |
Containers & Packaging | (0.4) | (274,212) | |
Capital Markets | (0.4) | (278,872) |
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% of Net Assets | Value | ||
INDUSTRIES: — (Continued) | |||
Short Positions: — (Continued) | |||
Household Products | (0.4)% | $(283,565) | |
Professional Services | (0.4) | (287,091) | |
Distributors | (0.4) | (289,276) | |
Construction Materials | (0.5) | (312,383) | |
Household Durables | (0.6) | (421,537) | |
Industrial Conglomerates | (0.7) | (449,332) | |
Air Freight & Logistics | (0.8) | (552,900) | |
Food Products | (0.9) | (595,255) | |
Commercial Services & Supplies | (0.9) | (627,421) | |
Chemicals | (1.0) | (666,114) | |
Equity Real Estate Investment Trusts | (1.0) | (691,398) | |
Electric Utilities | (1.1) | (731,720) | |
Software | (1.1) | (775,148) | |
Water Utilities | (1.3) | (893,629) | |
Insurance | (1.6) | (1,081,228) | |
Machinery | (1.6) | (1,105,024) | |
Health Care Equipment & Supplies | (2.2) | (1,493,398) | |
Semiconductors & Semiconductor Equipment | (2.3) | (1,542,470) | |
Road & Rail | (2.3) | (1,593,575) | |
Hotels, Restaurants & Leisure | (2.4) | (1,652,026) | |
Banks | (2.8) | (1,879,792) | |
TOTAL COMMON STOCKS | 99.8% | $67,819,082 | |
TOTAL INVESTMENTS | 99.8% | $67,819,082 |
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Shares | Value | ||
COMMON STOCKS* — 97.6% | |||
Aerospace & Defense — 8.0% | |||
23,824 | Boeing Co. (The) | $8,098,016 | |
36,032 | Raytheon Co. | 7,646,351 | |
39,721 | United Technologies Corp. | 5,703,141 | |
21,447,508 | |||
Banks — 7.1% | |||
54,644 | JPMorgan Chase & Co. | 6,826,128 | |
39,837 | PNC Financial Services Group, Inc. (The) | 5,844,088 | |
126,844 | Wells Fargo & Co. | 6,548,956 | |
19,219,172 | |||
Beverages — 2.2% | |||
42,362 | PepsiCo, Inc. | 5,810,796 | |
Biotechnology — 3.6% | |||
16,829 | Biogen, Inc.1 | 5,026,990 | |
75,025 | Gilead Sciences, Inc. | 4,779,843 | |
9,806,833 | |||
Capital Markets — 2.1% | |||
56,128 | Northern Trust Corp. | 5,594,839 | |
Communications Equipment — 2.3% | |||
130,963 | Cisco Systems, Inc. | 6,222,052 | |
Consumer Finance — 2.4% | |||
79,006 | Discover Financial Services | 6,341,022 | |
Electrical Equipment — 3.1% | |||
90,143 | AMETEK, Inc. | 8,261,606 | |
Electronic Equipment, Instruments & Components — 2.4% | |||
65,080 | Amphenol Corp. - Class A | 6,529,476 | |
Energy Equipment & Services — 1.0% | |||
145,479 | Halliburton Co. | 2,800,471 | |
Food & Staples Retailing — 2.4% | |||
54,831 | Walmart, Inc. | 6,429,483 | |
Health Care Equipment & Supplies — 3.7% | |||
47,911 | Abbott Laboratories | 4,005,838 | |
138,017 | Smith & Nephew PLC, Sponsored ADR | 5,965,095 | |
9,970,933 | |||
Health Care Providers & Services — 2.2% | |||
35,977 | Laboratory Corp. of America Holdings1 | 5,927,930 | |
Household Products — 2.2% | |||
85,101 | Colgate-Palmolive Co. | 5,837,929 | |
Insurance — 2.0% | |||
34,967 | Chubb, Ltd. | 5,329,670 | |
Interactive Media & Service — 3.6% | |||
7,772 | Alphabet, Inc. - Class C1 | 9,793,575 | |
Internet & Direct Marketing Retail — 3.2% | |||
4,201 | Booking Holdings, Inc.1 | 8,606,883 | |
IT Services — 12.5% | |||
31,788 | Accenture PLC - Class A | 5,894,131 | |
75,283 | Cognizant Technology Solutions Corp. - Class A | 4,587,746 |
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Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
IT Services — (Continued) | |||
24,441 | Gartner, Inc.1 | $3,765,869 | |
52,313 | Global Payments, Inc. | 8,850,313 | |
38,391 | Mastercard, Inc. - Class A | 10,627,013 | |
33,725,072 | |||
Life Sciences Tools & Services — 2.0% | |||
25,236 | Waters Corp.1 | 5,340,442 | |
Machinery — 2.0% | |||
29,944 | Parker-Hannifin Corp. | 5,494,425 | |
Media — 4.1% | |||
136,105 | Comcast Corp. - Class A | 6,100,226 | |
62,812 | Omnicom Group, Inc. | 4,848,458 | |
10,948,684 | |||
Multi-line Retail — 4.1% | |||
50,577 | Dollar General Corp. | 8,109,516 | |
26,220 | Dollar Tree, Inc.1 | 2,894,688 | |
11,004,204 | |||
Oil, Gas & Consumable Fuels — 2.3% | |||
53,371 | Chevron Corp. | 6,198,508 | |
Pharmaceuticals — 3.6% | |||
98,240 | Bristol-Myers Squibb Co. | 5,636,029 | |
35,639 | Eli Lilly & Co. | 4,061,064 | |
9,697,093 | |||
Software — 3.1% | |||
151,212 | Oracle Corp. | 8,239,542 | |
Specialty Retail — 4.3% | |||
30,125 | Home Depot, Inc. (The) | 7,066,722 | |
18,770 | Ulta Salon Cosmetics & Fragrance, Inc.1 | 4,376,226 | |
11,442,948 | |||
Technology Hardware, Storage & Peripherals — 3.8% | |||
41,368 | Apple, Inc. | 10,290,704 | |
Textiles, Apparel & Luxury Goods — 2.3% | |||
62,857 | Carter’s, Inc. | 6,300,786 | |
TOTAL COMMON STOCKS (Cost $150,233,690) | 262,612,586 | ||
Face Amount | |||
REPURCHASE AGREEMENT* — 2.4% | |||
$6,357,561 | With Fixed Income Clearing Corp., dated 10/31/19, 0.12%, principal and interest in the amount of $6,357,582, due 11/1/19, (collateralized by a U.S. Treasury Note with a par value of $6,120,000, coupon rate of 2.875%, due 11/30/2023, market value of $6,488,681) | 6,357,561 | |
TOTAL REPURCHASE AGREEMENT (Cost $6,357,561) | 6,357,561 | ||
TOTAL INVESTMENTS (Cost $156,591,251) | 100.0% | $268,970,147 | |
OTHER ASSETS IN EXCESS OF LIABILITIES | 0.0 | 63,351 | |
NET ASSETS | 100.0% | $269,033,498 |
128 |
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* | Percentages indicated are based on net assets. |
1 | Non income-producing security. |
Abbreviations: |
ADR — American Depositary Receipt |
129 |
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% of Net Assets | Value | ||
INDUSTRIES: | |||
IT Services | 12.5% | $33,725,072 | |
Aerospace & Defense | 8.0 | 21,447,508 | |
Banks | 7.1 | 19,219,172 | |
Specialty Retail | 4.3 | 11,442,948 | |
Multi-line Retail | 4.1 | 11,004,204 | |
Media | 4.1 | 10,948,684 | |
Technology Hardware, Storage & Peripherals | 3.8 | 10,290,704 | |
Health Care Equipment & Supplies | 3.7 | 9,970,933 | |
Biotechnology | 3.6 | 9,806,833 | |
Interactive Media & Service | 3.6 | 9,793,575 | |
Pharmaceuticals | 3.6 | 9,697,093 | |
Internet & Direct Marketing Retail | 3.2 | 8,606,883 | |
Electrical Equipment | 3.1 | 8,261,606 | |
Software | 3.1 | 8,239,542 | |
Electronic Equipment, Instruments & Components | 2.4 | 6,529,476 | |
Food & Staples Retailing | 2.4 | 6,429,483 | |
Consumer Finance | 2.4 | 6,341,022 | |
Textiles, Apparel & Luxury Goods | 2.3 | 6,300,786 | |
Communications Equipment | 2.3 | 6,222,052 | |
Oil, Gas & Consumable Fuels | 2.3 | 6,198,508 | |
Health Care Providers & Services | 2.2 | 5,927,930 | |
Household Products | 2.2 | 5,837,929 | |
Beverages | 2.2 | 5,810,796 | |
Capital Markets | 2.1 | 5,594,839 | |
Machinery | 2.0 | 5,494,425 | |
Life Sciences Tools & Services | 2.0 | 5,340,442 | |
Insurance | 2.0 | 5,329,670 | |
Energy Equipment & Services | 1.0 | 2,800,471 | |
TOTAL COMMON STOCKS | 97.6% | $262,612,586 | |
REPURCHASE AGREEMENT | 2.4 | 6,357,561 | |
TOTAL INVESTMENTS | 100.0% | $268,970,147 |
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Shares | Value | ||
COMMON STOCKS* — 100.0% | |||
Advertising — 1.5% | |||
1,153,423 | Outfront Media, Inc. | $30,346,559 | |
Aerospace & Defense — 0.9% | |||
462,346 | AAR Corp. | 19,302,945 | |
Airlines — 0.6% | |||
585,821 | Atlas Air Worldwide Holdings, Inc.1 | 12,847,055 | |
Automotive — 0.9% | |||
188,767 | LCI Industries | 18,333,051 | |
Banking — 15.4% | |||
623,022 | Ameris Bancorp | 26,696,493 | |
1,080,440 | First Midwest Bancorp, Inc. | 22,192,237 | |
2,952,172 | FNB Corp. | 35,603,194 | |
677,319 | Hancock Whitney Corp. | 26,415,441 | |
515,956 | IBERIABANK Corp. | 37,866,011 | |
846,376 | Simmons First National Corp. - Class A | 20,245,314 | |
811,271 | TCF Financial Corp. | 32,118,219 | |
1,690,303 | Umpqua Holdings Corp. | 26,740,593 | |
787,601 | United Community Banks, Inc. | 23,793,426 | |
861,193 | Western Alliance Bancorp | 42,482,651 | |
317,352 | Wintrust Financial Corp. | 20,253,405 | |
314,406,984 | |||
Beverages, Food & Tobacco — 1.2% | |||
1,923,092 | Hostess Brands, Inc.1 | 24,577,116 | |
Building Materials — 3.6% | |||
1,337,544 | Builders FirstSource, Inc.1 | 30,241,870 | |
332,893 | EMCOR Group, Inc. | 29,198,045 | |
266,764 | US Concrete, Inc.1,2 | 13,941,087 | |
73,381,002 | |||
Commercial Services — 10.3% | |||
310,157 | Aaron’s, Inc. | 23,240,064 | |
301,998 | AMN Healthcare Services, Inc.1 | 17,745,402 | |
367,210 | ASGN, Inc.1 | 23,350,884 | |
2,329,093 | Evolent Health, Inc. - Class A1,2 | 17,747,689 | |
556,096 | HealthEquity, Inc.1 | 31,580,692 | |
1,075,941 | NeoGenomics, Inc.1 | 24,671,327 | |
2,491,576 | R1 RCM, Inc.1 | 26,485,453 | |
438,941 | SPS Commerce, Inc.1 | 23,162,917 | |
449,689 | Syneos Health, Inc.1 | 22,551,903 | |
210,536,331 | |||
Communications — 3.1% | |||
679,323 | Ciena Corp.1 | 25,216,470 | |
712,786 | NETGEAR, Inc.1 | 19,366,395 | |
930,515 | Vocera Communications, Inc.1,2 | 18,535,859 | |
63,118,724 | |||
Computer Software & Processing — 4.3% | |||
137,212 | CACI International, Inc. - Class A1 | 30,701,185 | |
643,698 | CommVault Systems, Inc.1 | 31,972,480 | |
574,745 | Verint Systems, Inc.1 | 26,087,675 | |
88,761,340 | |||
Computers & Information — 1.5% | |||
1,960,368 | FireEye, Inc.1 | 31,052,229 |
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Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Diversified Financial Services — 0.7% | |||
661,295 | Blucora, Inc.1 | $14,303,811 | |
Electric Utilities — 1.8% | |||
144,028 | Ormat Technologies, Inc. | 11,026,784 | |
468,457 | Portland General Electric Co. | 26,645,834 | |
37,672,618 | |||
Electrical Equipment — 2.7% | |||
690,480 | Energizer Holdings, Inc.2 | 29,338,495 | |
376,013 | EnerSys | 25,140,229 | |
54,478,724 | |||
Electronics — 3.5% | |||
592,777 | Diodes, Inc.1 | 27,653,047 | |
244,526 | Mercury Systems, Inc.1 | 18,011,785 | |
2,286,791 | TTM Technologies, Inc.1 | 26,778,323 | |
72,443,155 | |||
Entertainment & Leisure — 1.5% | |||
1,493,515 | Callaway Golf Co. | 30,198,873 | |
Financial Services — 5.3% | |||
390,961 | Evercore, Inc. - Class A | 28,790,368 | |
868,051 | Hannon Armstrong Sustainable Infrastructure Capital, Inc.2 | 25,920,003 | |
823,493 | Hudson Pacific Properties, Inc. | 29,579,869 | |
961,889 | Pebblebrook Hotel Trust | 24,730,166 | |
109,020,406 | |||
Forest Products & Paper — 4.1% | |||
491,154 | Beacon Roofing Supply, Inc.1 | 15,245,420 | |
534,158 | Boise Cascade Co. | 19,106,832 | |
1,649,209 | Graphic Packaging Holding Co. | 25,826,613 | |
398,693 | Masonite International Corp.1 | 24,483,737 | |
84,662,602 | |||
Health Care Providers — 1.2% | |||
1,447,134 | Tivity Health, Inc.1,2 | 23,458,042 | |
Heavy Construction — 3.6% | |||
616,117 | Granite Construction, Inc. | 14,503,394 | |
503,727 | MasTec, Inc.1,2 | 31,704,577 | |
1,690,862 | TRI Pointe Group, Inc.1 | 26,614,168 | |
72,822,139 | |||
Heavy Machinery — 5.7% | |||
652,578 | Brooks Automation, Inc. | 27,714,988 | |
335,102 | Dycom Industries, Inc.1 | 15,277,300 | |
552,847 | Entegris, Inc. | 26,536,656 | |
1,155,212 | Rexnord Corp.1 | 32,680,947 | |
299,457 | Timken Co. (The) | 14,673,393 | |
�� | 116,883,284 | ||
Home Construction, Furnishings & Appliances — 0.9% | |||
117,016 | Helen of Troy, Ltd.1 | 17,524,316 | |
Household Products — 0.8% | |||
1,437,095 | Ferro Corp.1 | 15,994,867 | |
Industrial - Diversified — 1.4% | |||
903,050 | Hillenbrand, Inc. | 27,804,910 |
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Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Insurance — 1.6% | |||
1,333,806 | Radian Group, Inc. | $33,478,531 | |
Lodging — 3.4% | |||
1,418,524 | Boyd Gaming Corp. | 38,654,779 | |
1,405,354 | Penn National Gaming, Inc.1 | 29,955,121 | |
68,609,900 | |||
Media - Broadcasting & Publishing — 1.8% | |||
372,735 | Nexstar Media Group, Inc. - Class A | 36,263,388 | |
Medical Supplies — 5.1% | |||
323,883 | Cantel Medical Corp.2 | 23,607,832 | |
104,380 | ICU Medical, Inc.1 | 16,868,852 | |
152,740 | II-VI, Inc.1 | 5,063,331 | |
628,964 | Luminex Corp. | 12,890,617 | |
353,825 | Merit Medical Systems, Inc.1 | 7,308,255 | |
346,114 | NuVasive, Inc.1 | 24,414,882 | |
709,963 | Wright Medical Group N.V.1 | 14,767,230 | |
104,920,999 | |||
Miscellaneous — 1.1% | |||
1,110,390 | Columbia Property Trust, Inc. | 22,785,203 | |
Oil & Gas — 2.5% | |||
1,651,563 | Carrizo Oil & Gas, Inc.1,2 | 12,155,504 | |
440,047 | Delek US Holdings, Inc. | 17,579,878 | |
890,260 | Matador Resources Co.1,2 | 12,383,516 | |
1,016,029 | ProPetro Holding Corp.1 | 7,874,225 | |
49,993,123 | |||
Pharmaceuticals — 3.1% | |||
1,395,592 | Horizon Therapeutics PLC1 | 40,346,565 | |
788,308 | Supernus Pharmaceuticals, Inc.1 | 21,907,079 | |
62,253,644 | |||
Restaurants — 0.7% | |||
352,321 | Dave & Buster’s Entertainment, Inc.2 | 14,015,329 | |
Retailers — 0.5% | |||
1,909,894 | Party City Holdco, Inc.1,2 | 10,733,604 | |
Technology — 1.5% | |||
322,114 | j2 Global, Inc. | 30,587,945 | |
Telecommunications — 1.4% | |||
2,843,643 | Vonage Holdings Corp.1 | 27,782,392 | |
Textiles, Clothing & Fabrics — 0.8% | |||
230,002 | Oxford Industries, Inc. | 15,837,938 | |
TOTAL COMMON STOCKS (Cost $1,963,209,966) | 2,041,193,079 |
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Face Amount | Value | ||
REPURCHASE AGREEMENT* — 0.5% | |||
$9,850,204 | With Fixed Income Clearing Corp., dated 10/31/19, 0.12%, principal and interest in the amount of $9,850,237, due 11/1/19, (collateralized by a U.S. Treasury Note with a par value of $9,480,000, coupon rate of 2.875%, due 11/30/2023, market value of $10,051,094) | $9,850,204 | |
TOTAL REPURCHASE AGREEMENT (Cost $9,850,204) | 9,850,204 | ||
Shares | |||
INVESTMENT OF SECURITY LENDING COLLATERAL* — 4.5% | |||
91,536,981 | State Street Navigator Securities Lending Government Money Market Portfolio3 | 91,536,981 | |
TOTAL INVESTMENT OF SECURITY LENDING COLLATERAL (Cost $91,536,981) | 91,536,981 | ||
TOTAL INVESTMENTS (Cost $2,064,597,151) | 105.0% | $2,142,580,264 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (5.0) | (101,074,441) | |
NET ASSETS | 100.0% | $2,041,505,823 |
* | Percentages indicated are based on net assets. |
1 | Non income-producing security. |
2 | Securities or partial securities on loan. See Note 1. |
3 | Represents an investment of securities lending cash collateral. |
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% of Net Assets | Value | ||
INDUSTRIES: | |||
Banking | 15.4% | $314,406,984 | |
Commercial Services | 10.3 | 210,536,331 | |
Heavy Machinery | 5.7 | 116,883,284 | |
Financial Services | 5.3 | 109,020,406 | |
Medical Supplies | 5.1 | 104,920,999 | |
Computer Software & Processing | 4.3 | 88,761,340 | |
Forest Products & Paper | 4.1 | 84,662,602 | |
Building Materials | 3.6 | 73,381,002 | |
Heavy Construction | 3.6 | 72,822,139 | |
Electronics | 3.5 | 72,443,155 | |
Lodging | 3.4 | 68,609,900 | |
Communications | 3.1 | 63,118,724 | |
Pharmaceuticals | 3.1 | 62,253,644 | |
Electrical Equipment | 2.7 | 54,478,724 | |
Oil & Gas | 2.5 | 49,993,123 | |
Electric Utilities | 1.8 | 37,672,618 | |
Media - Broadcasting & Publishing | 1.8 | 36,263,388 | |
Insurance | 1.6 | 33,478,531 | |
Computers & Information | 1.5 | 31,052,229 | |
Technology | 1.5 | 30,587,945 | |
Advertising | 1.5 | 30,346,559 | |
Entertainment & Leisure | 1.5 | 30,198,873 | |
Industrial - Diversified | 1.4 | 27,804,910 | |
Telecommunications | 1.4 | 27,782,392 | |
Beverages, Food & Tobacco | 1.2 | 24,577,116 | |
Health Care Providers | 1.2 | 23,458,042 | |
Miscellaneous | 1.1 | 22,785,203 | |
Aerospace & Defense | 0.9 | 19,302,945 | |
Automotive | 0.9 | 18,333,051 | |
Home Construction, Furnishings & Appliances | 0.9 | 17,524,316 | |
Household Products | 0.8 | 15,994,867 | |
Textiles, Clothing & Fabrics | 0.8 | 15,837,938 | |
Diversified Financial Services | 0.7 | 14,303,811 | |
Restaurants | 0.7 | 14,015,329 | |
Airlines | 0.6 | 12,847,055 | |
Retailers | 0.5 | 10,733,604 | |
TOTAL COMMON STOCKS | 100.0% | $2,041,193,079 | |
REPURCHASE AGREEMENT | 0.5 | 9,850,204 | |
INVESTMENT OF SECURITY LENDING COLLATERAL | 4.5 | 91,536,981 | |
TOTAL INVESTMENTS | 105.0% | $2,142,580,264 |
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Shares | Value | ||
COMMON STOCKS* — 99.3% | |||
Advertising — 1.4% | |||
7,345 | Omnicom Group, Inc. | $566,961 | |
Aerospace & Defense — 2.3% | |||
2,845 | General Dynamics Corp. | 502,996 | |
2,035 | Raytheon Co. | 431,847 | |
934,843 | |||
Airlines — 1.7% | |||
12,025 | Southwest Airlines Co. | 674,963 | |
Automotive — 0.9% | |||
13,380 | Honda Motor Co., Ltd., Sponsored ADR | 360,859 | |
Banking — 11.5% | |||
7,675 | Capital One Financial Corp. | 715,694 | |
15,040 | Citigroup, Inc. | 1,080,774 | |
4,595 | M&T Bank Corp. | 719,255 | |
5,065 | PNC Financial Services Group, Inc. (The) | 743,036 | |
7,390 | State Street Corp. | 488,257 | |
3,690 | SVB Financial Group1 | 817,261 | |
4,564,277 | |||
Beverages, Food & Tobacco — 7.2% | |||
16,580 | Altria Group, Inc. | 742,618 | |
18,780 | Archer-Daniels-Midland Co. | 789,511 | |
6,450 | JM Smucker Co. (The) | 681,636 | |
8,025 | Tyson Foods, Inc. - Class A | 664,390 | |
2,878,155 | |||
Chemicals — 2.3% | |||
6,620 | Albemarle Corp.2 | 402,099 | |
5,710 | LyondellBasell Industries N.V. - Class A | 512,187 | |
914,286 | |||
Commercial Services — 3.2% | |||
396 | Booking Holdings, Inc.1 | 811,313 | |
12,685 | eBay, Inc. | 447,146 | |
1,258,459 | |||
Computer Software & Processing — 0.8% | |||
5,150 | Amdocs, Ltd. | 335,780 | |
Electric Utilities — 6.9% | |||
14,045 | Exelon Corp. | 638,907 | |
22,390 | PPL Corp. | 749,841 | |
10,350 | Public Service Enterprise Group, Inc. | 655,259 | |
11,315 | Southern Co. (The) | 708,998 | |
2,753,005 | |||
Electronic Technology — 1.1% | |||
1,560 | Lam Research Corp. | 422,822 | |
Electronics — 2.9% | |||
20,105 | Intel Corp. | 1,136,536 | |
Financial Services — 12.8% | |||
46,600 | Bank of America Corp. | 1,457,182 | |
1,505 | BlackRock, Inc. | 694,858 | |
15,545 | CubeSmart | 492,777 | |
13,635 | JPMorgan Chase & Co. | 1,703,284 |
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Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Financial Services — (Continued) | |||
5,475 | Mid-America Apartment Communities, Inc. | $760,970 | |
5,109,071 | |||
Forest Products & Paper — 1.1% | |||
12,135 | Westrock Co. | 453,485 | |
Health Care Providers — 1.5% | |||
3,730 | Laboratory Corp. of America Holdings1 | 614,592 | |
Heavy Machinery — 5.3% | |||
4,535 | Caterpillar, Inc. | 624,923 | |
4,320 | Cummins, Inc. | 745,114 | |
8,340 | Eaton Corp. PLC | 726,497 | |
2,096,534 | |||
Insurance — 3.8% | |||
10,025 | Aflac, Inc. | 532,929 | |
5,650 | Allstate Corp. (The) | 601,273 | |
5,390 | Progressive Corp. (The) | 375,683 | |
1,509,885 | |||
Media - Broadcasting & Publishing — 2.7% | |||
12,040 | Comcast Corp. - Class A | 539,633 | |
20,420 | Discovery, Inc. - Class A1,2 | 550,421 | |
1,090,054 | |||
Metals & Mining — 0.9% | |||
11,690 | Corning, Inc. | 346,375 | |
Oil & Gas — 10.3% | |||
14,170 | Cimarex Energy Co. | 598,257 | |
12,230 | ConocoPhillips | 675,096 | |
7,370 | EOG Resources, Inc. | 510,815 | |
4,390 | Phillips 66 | 512,840 | |
3,520 | Pioneer Natural Resources Co. | 433,030 | |
12,820 | Total SA, Sponsored ADR | 674,717 | |
7,190 | Valero Energy Corp. | 697,286 | |
4,102,041 | |||
Pharmaceuticals — 11.1% | |||
10,005 | Cardinal Health, Inc. | 494,747 | |
3,449 | Cigna Corp.1 | 615,509 | |
10,010 | Johnson & Johnson | 1,321,720 | |
8,405 | Merck & Co., Inc. | 728,377 | |
32,975 | Pfizer, Inc. | 1,265,251 | |
4,425,604 | |||
Real Estate Investment Trusts — 2.3% | |||
5,975 | Lamar Advertising Co. - Class A | 478,060 | |
7,000 | Ventas, Inc. | 455,700 | |
933,760 | |||
Retailers — 1.1% | |||
370 | AutoZone, Inc.1 | 423,421 | |
Technology — 1.3% | |||
11,285 | Cisco Systems, Inc. | 536,150 |
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Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Telecommunications — 2.9% | |||
29,637 | AT&T, Inc. | $1,140,728 | |
TOTAL COMMON STOCKS (Cost $34,470,524) | 39,582,646 | ||
Shares | |||
INVESTMENT OF SECURITY LENDING COLLATERAL* — 0.0% | |||
7,645 | State Street Navigator Securities Lending Government Money Market Portfolio3 | 7,645 | |
TOTAL INVESTMENT OF SECURITY LENDING COLLATERAL (Cost $7,645) | 7,645 | ||
TOTAL INVESTMENTS (Cost $34,478,169) | 99.3% | $39,590,291 | |
OTHER ASSETS IN EXCESS OF LIABILITIES | 0.7 | 278,250 | |
NET ASSETS | 100.0% | $39,868,541 |
* | Percentages indicated are based on net assets. |
1 | Non income-producing security. |
2 | Securities or partial securities on loan. See Note 1. |
3 | Represents an investment of securities lending cash collateral. |
Abbreviations: |
ADR — American Depositary Receipt |
138 |
Table of Contents
% of Net Assets | Value | ||
INDUSTRIES: | |||
Financial Services | 12.8% | $5,109,071 | |
Banking | 11.5 | 4,564,277 | |
Pharmaceuticals | 11.1 | 4,425,604 | |
Oil & Gas | 10.3 | 4,102,041 | |
Beverages, Food & Tobacco | 7.2 | 2,878,155 | |
Electric Utilities | 6.9 | 2,753,005 | |
Heavy Machinery | 5.3 | 2,096,534 | |
Insurance | 3.8 | 1,509,885 | |
Commercial Services | 3.2 | 1,258,459 | |
Telecommunications | 2.9 | 1,140,728 | |
Electronics | 2.9 | 1,136,536 | |
Media - Broadcasting & Publishing | 2.7 | 1,090,054 | |
Aerospace & Defense | 2.3 | 934,843 | |
Real Estate Investment Trusts | 2.3 | 933,760 | |
Chemicals | 2.3 | 914,286 | |
Airlines | 1.7 | 674,963 | |
Health Care Providers | 1.5 | 614,592 | |
Advertising | 1.4 | 566,961 | |
Technology | 1.3 | 536,150 | |
Forest Products & Paper | 1.1 | 453,485 | |
Retailers | 1.1 | 423,421 | |
Electronic Technology | 1.1 | 422,822 | |
Automotive | 0.9 | 360,859 | |
Metals & Mining | 0.9 | 346,375 | |
Computer Software & Processing | 0.8 | 335,780 | |
TOTAL COMMON STOCKS | 99.3% | $39,582,646 | |
INVESTMENT OF SECURITY LENDING COLLATERAL | 0.0 | 7,645 | |
TOTAL INVESTMENTS | 99.3% | $39,590,291 |
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Shares | Value | ||
COMMON STOCKS* — 99.1% | |||
Air Freight & Logistics — 1.1% | |||
2,195 | United Parcel Service, Inc. - Class B | $252,798 | |
Banks — 4.6% | |||
8,830 | BB&T Corp. | 468,431 | |
3,905 | Comerica, Inc. | 255,465 | |
2,545 | PNC Financial Services Group, Inc. (The) | 373,352 | |
1,097,248 | |||
Beverages — 2.2% | |||
3,870 | PepsiCo, Inc. | 530,848 | |
Biotechnology — 2.4% | |||
2,680 | Amgen, Inc. | 571,510 | |
Capital Markets — 6.1% | |||
1,645 | Ameriprise Financial, Inc. | 248,214 | |
770 | BlackRock, Inc. | 355,509 | |
4,170 | Northern Trust Corp. | 415,666 | |
3,735 | T Rowe Price Group, Inc. | 432,513 | |
1,451,902 | |||
Chemicals — 2.9% | |||
1,615 | Air Products & Chemicals, Inc. | 344,415 | |
4,700 | RPM International, Inc. | 340,421 | |
684,836 | |||
Communications Equipment — 3.2% | |||
16,300 | Cisco Systems, Inc. | 774,413 | |
Distributors — 1.7% | |||
3,985 | Genuine Parts Co. | 408,781 | |
Diversified Telecommunication Services — 1.7% | |||
10,791 | AT&T, Inc. | 415,346 | |
Electric Utilities — 3.7% | |||
5,150 | Evergy, Inc. | 329,137 | |
6,940 | OGE Energy Corp. | 298,836 | |
2,665 | Pinnacle West Capital Corp. | 250,830 | |
878,803 | |||
Electrical Equipment — 3.3% | |||
3,985 | Eaton Corp. PLC | 347,133 | |
2,535 | Rockwell Automation, Inc. | 435,995 | |
783,128 | |||
Electronic Equipment, Instruments & Components — 2.2% | |||
9,875 | Corning, Inc. | 292,596 | |
2,615 | TE Connectivity, Ltd. | 234,043 | |
526,639 | |||
Equity Real Estate Investment Trusts — 2.5% | |||
7,355 | Lamar Advertising Co. - Class A | 588,474 | |
Food Products — 3.6% | |||
2,950 | Hershey Co. (The) | 433,266 | |
10,675 | Hormel Foods Corp. | 436,501 | |
869,767 | |||
Health Care Providers & Services — 1.9% | |||
4,600 | Quest Diagnostics, Inc. | 465,750 |
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Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Hotels, Restaurants & Leisure — 4.3% | |||
3,410 | McDonald’s Corp. | $670,747 | |
4,265 | Starbucks Corp. | 360,648 | |
1,031,395 | |||
Household Products — 1.4% | |||
2,300 | Clorox Co. (The) | 339,687 | |
Industrial Conglomerates — 2.0% | |||
2,875 | 3M Co. | 474,346 | |
Insurance — 4.4% | |||
6,980 | Aflac, Inc. | 371,057 | |
3,100 | Allstate Corp. (The) | 329,902 | |
6,730 | Principal Financial Group, Inc. | 359,247 | |
1,060,206 | |||
IT Services — 5.6% | |||
2,120 | Accenture PLC - Class A | 393,090 | |
11,210 | Paychex, Inc. | 937,605 | |
1,330,695 | |||
Machinery — 1.1% | |||
1,650 | Snap-on, Inc. | 268,405 | |
Media — 3.1% | |||
8,060 | Comcast Corp. - Class A | 361,249 | |
4,910 | Omnicom Group, Inc. | 379,003 | |
740,252 | |||
Multi-Utilities — 4.2% | |||
2,480 | DTE Energy Co. | 315,754 | |
5,905 | Public Service Enterprise Group, Inc. | 373,845 | |
3,430 | WEC Energy Group, Inc. | 323,792 | |
1,013,391 | |||
Oil, Gas & Consumable Fuels — 5.8% | |||
2,200 | Chevron Corp. | 255,508 | |
7,000 | ConocoPhillips | 386,400 | |
4,385 | Marathon Petroleum Corp. | 280,421 | |
4,700 | Valero Energy Corp. | 455,806 | |
1,378,135 | |||
Pharmaceuticals — 7.1% | |||
5,530 | Johnson & Johnson | 730,181 | |
5,480 | Merck & Co., Inc. | 474,897 | |
12,750 | Pfizer, Inc. | 489,217 | |
1,694,295 | |||
Road & Rail — 1.1% | |||
1,575 | Union Pacific Corp. | 260,599 | |
Semiconductors & Semiconductor Equipment — 10.3% | |||
8,515 | Intel Corp. | 481,353 | |
2,340 | Lam Research Corp. | 634,234 | |
12,215 | Maxim Integrated Products, Inc. | 716,532 | |
5,290 | Texas Instruments, Inc. | 624,167 | |
2,456,286 | |||
Software — 1.1% | |||
1,875 | Microsoft Corp. | 268,819 |
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Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Specialty Retail — 2.4% | |||
2,440 | Home Depot, Inc. (The) | $572,375 | |
Technology Hardware, Storage & Peripherals — 1.2% | |||
5,000 | NetApp, Inc. | 279,400 | |
Tobacco — 0.9% | |||
4,825 | Altria Group, Inc. | 216,112 | |
TOTAL COMMON STOCKS (Cost $20,249,106) | 23,684,641 | ||
Face Amount | |||
REPURCHASE AGREEMENT* — 0.8% | |||
$200,493 | With Fixed Income Clearing Corp., dated 10/31/19, 0.12%, principal and interest in the amount of $200,493, due 11/1/19, (collateralized by a U.S. Treasury Note with a par value of $205,000, coupon rate of 1.875%, due 3/31/2022, market value of $206,441) | 200,493 | |
TOTAL REPURCHASE AGREEMENT (Cost $200,493) | 200,493 | ||
TOTAL INVESTMENTS (Cost $20,449,599) | 99.9% | $23,885,134 | |
OTHER ASSETS IN EXCESS OF LIABILITIES | 0.1 | 15,168 | |
NET ASSETS | 100.0% | $23,900,302 |
* | Percentages indicated are based on net assets. |
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% of Net Assets | Value | ||
INDUSTRIES: | |||
Semiconductors & Semiconductor Equipment | 10.3% | $2,456,286 | |
Pharmaceuticals | 7.1 | 1,694,295 | |
Capital Markets | 6.1 | 1,451,902 | |
Oil, Gas & Consumable Fuels | 5.8 | 1,378,135 | |
IT Services | 5.6 | 1,330,695 | |
Banks | 4.6 | 1,097,248 | |
Insurance | 4.4 | 1,060,206 | |
Hotels, Restaurants & Leisure | 4.3 | 1,031,395 | |
Multi-Utilities | 4.2 | 1,013,391 | |
Electric Utilities | 3.7 | 878,803 | |
Food Products | 3.6 | 869,767 | |
Electrical Equipment | 3.3 | 783,128 | |
Communications Equipment | 3.2 | 774,413 | |
Media | 3.1 | 740,252 | |
Chemicals | 2.9 | 684,836 | |
Equity Real Estate Investment Trusts | 2.5 | 588,474 | |
Specialty Retail | 2.4 | 572,375 | |
Biotechnology | 2.4 | 571,510 | |
Beverages | 2.2 | 530,848 | |
Electronic Equipment, Instruments & Components | 2.2 | 526,639 | |
Industrial Conglomerates | 2.0 | 474,346 | |
Health Care Providers & Services | 1.9 | 465,750 | |
Diversified Telecommunication Services | 1.7 | 415,346 | |
Distributors | 1.7 | 408,781 | |
Household Products | 1.4 | 339,687 | |
Technology Hardware, Storage & Peripherals | 1.2 | 279,400 | |
Software | 1.1 | 268,819 | |
Machinery | 1.1 | 268,405 | |
Road & Rail | 1.1 | 260,599 | |
Air Freight & Logistics | 1.1 | 252,798 | |
Tobacco | 0.9 | 216,112 | |
TOTAL COMMON STOCKS | 99.1% | $23,684,641 | |
REPURCHASE AGREEMENT | 0.8 | 200,493 | |
TOTAL INVESTMENTS | 99.9% | $23,885,134 |
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Shares | Value | ||
EXCHANGE-TRADED FUNDS* — 2.2% | |||
22,100 | SPDR S&P 500 ETF Trust1 | $6,703,593 | |
30,000 | Vanguard S&P 500 ETF1 | 8,356,500 | |
TOTAL EXCHANGE-TRADED FUNDS (Cost $6,430,609) | 15,060,093 | ||
Face Amount | |||
U.S. TREASURY BILL* — 22.1% | |||
$150,000,000 | U.S. Treasury Bill, 1.629% due 01/9/201 | 149,559,407 | |
TOTAL U.S. TREASURY BILL (Cost $149,532,918) | 149,559,407 | ||
REPURCHASE AGREEMENT* — 0.3% | |||
2,039,197 | With Fixed Income Clearing Corp., dated 10/31/19, 0.12%, principal and interest in the amount of $2,039,204, due 11/1/19, (collateralized by U.S. Treasury Notes with a par value of $1,990,000, coupon rate of 1.875% - 2.875%, due 3/31/22 - 11/30/2023, market value of $2,083,010) | 2,039,197 | |
TOTAL REPURCHASE AGREEMENT (Cost $2,039,197) | 2,039,197 | ||
TOTAL PURCHASED OPTIONS (Cost $1,030,138,398) | 154.9% | 1,050,874,312 | |
TOTAL INVESTMENTS (Cost $1,188,141,122) | 179.5% | $1,217,533,009 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (79.5) | (539,226,286) | |
NET ASSETS2 | 100.0% | $678,306,723 |
* | Percentages indicated are based on net assets. |
1 | All or a portion of this security is held as collateral for written options. |
2 | Cash in the amount of $35,270 is held as collateral to secure the open written call and put options contracts. |
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Description | Counterparty | Exercise Price/ FX Rate | Expiration Date | Number of Contracts | Notional Amount | Market Value | Premiums Paid (Recieved by Fund) | Unrealized Appreciation/ (Depreciation) | |||||||||
PURCHASED OPTIONS | |||||||||||||||||
CALLS: | |||||||||||||||||
S&P 500 Index | OCC** | 1,000.00 | 12/20/19 | USD | 5,175 | $1,571,937,300 | $1,050,706,125 | $1,029,517,191 | $21,188,934 | ||||||||
PUTS: | |||||||||||||||||
S&P 500 Index | OCC** | 2,000.00 | 12/20/19 | USD | 5,175 | 1,571,937,300 | 168,187 | 621,207 | (453,020) | ||||||||
TOTAL PURCHASED OPTIONS | $3,143,874,600 | $1,050,874,312 | $1,030,138,398 | $20,735,914 | |||||||||||||
WRITTEN OPTIONS | |||||||||||||||||
CALL: | |||||||||||||||||
S&P 500 Index | OCC** | 2,000.00 | 12/20/19 | USD | 5,175 | (1,571,937,300) | (534,732,750) | (515,403,918) | (19,328,832) | ||||||||
PUTS: | |||||||||||||||||
S&P 500 Index | OCC** | 2,900.00 | 11/15/19 | USD | 430 | (130,615,080) | (156,950) | (780,085) | 623,135 | ||||||||
S&P 500 Index | OCC** | 2,950.00 | 11/15/19 | USD | 450 | (136,690,200) | (310,500) | (1,196,374) | 885,874 | ||||||||
S&P 500 Index | OCC** | 3,050.00 | 11/15/19 | USD | 1,320 | (400,957,920) | (4,006,200) | (9,689,341) | 5,683,141 | ||||||||
S&P 500 Index | OCC** | 1,000.00 | 12/20/19 | USD | 5,175 | (1,571,937,300) | (12,938) | (23,184) | 10,246 | ||||||||
TOTAL PUTS | $(2,240,200,500) | $(4,486,588) | $(11,688,984) | $7,202,396 | |||||||||||||
TOTAL WRITTEN OPTIONS | $(3,812,137,800) | $(539,219,338) | $(527,092,902) | $(12,126,436) |
** | The Options Clearing Corp |
% of Net Assets | Value | ||
SECTOR: | |||
Purchased Options | 154.9% | $1,050,874,312 | |
U.S. Treasury Bill | 22.1 | 149,559,407 | |
Exchange-Traded Funds | 2.2 | 15,060,093 | |
TOTAL | 179.2% | $1,215,493,812 | |
REPURCHASE AGREEMENT | 0.3 | 2,039,197 | |
TOTAL INVESTMENTS | 179.5% | $1,217,533,009 |
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Face Amount | Value | ||
U.S. TREASURY BILL* — 96.3% | |||
$1,178,000 | U.S. Treasury Bill, 1.629% due 01/9/201 | $1,174,540 | |
TOTAL U.S. TREASURY BILL (Cost $1,174,331) | 1,174,540 | ||
TOTAL INVESTMENTS (Cost $1,174,331) | 96.3% | $1,174,540 | |
OTHER ASSETS IN EXCESS OF LIABILITIES | 3.7 | 45,014 | |
NET ASSETS2 | 100.0% | $1,219,554 |
* | Percentages indicated are based on net assets. |
1 | All or a portion of this security is held as collateral for written options. |
2 | Cash in the amount of $1,031 is held as collateral to secure the open written put options contracts. |
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Description | Counterparty | Exercise Price/ FX Rate | Expiration Date | Number of Contracts | Notional Amount | Market Value | Premiums Paid (Recieved by Fund) | Unrealized Appreciation/ (Depreciation) | |||||||||
WRITTEN OPTIONS | |||||||||||||||||
PUTS: | |||||||||||||||||
iShares MSCI Emerging Market ETF | OCC** | 43.00 | 11/15/19 | USD | 25 | $(108,050) | $(1,800) | $(2,985) | $1,185 | ||||||||
iShares MSCI EAFE ETF | OCC** | 66.00 | 11/15/19 | USD | 65 | (442,130) | (1,170) | (4,453) | 3,283 | ||||||||
Russell 2000 Index | OCC** | 1,535.00 | 11/15/19 | USD | 1 | (159,973) | (845) | (2,905) | 2,060 | ||||||||
S&P 500 Index | OCC** | 2,990.00 | 11/15/19 | USD | 2 | (607,512) | (2,380) | (8,905) | 6,525 | ||||||||
TOTAL PUTS | $(1,317,665) | $(6,195) | $(19,248) | $13,053 | |||||||||||||
TOTAL WRITTEN OPTIONS | $(1,317,665) | $(6,195) | $(19,248) | $13,053 |
** | The Options Clearing Corp |
% of Net Assets | Value | ||
SECTOR: | |||
U.S. Treasury Bill | 96.3% | $1,174,540 | |
TOTAL INVESTMENTS | 96.3% | $1,174,540 |
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Shares | Value | ||
COMMON STOCKS* — 47.2% | |||
Aerospace & Defense — 0.2% | |||
221 | Vectrus, Inc.1,2 | $10,102 | |
Airlines — 0.3% | |||
208 | United Airlines Holdings, Inc.1,2 | 18,895 | |
Automobiles — 0.5% | |||
3,109 | Ford Motor Co.2 | 26,706 | |
Banks — 4.6% | |||
937 | Bank of America Corp.2 | 29,300 | |
838 | Bank OZK2 | 23,514 | |
571 | Cadence BanCorp3 | 8,782 | |
746 | Citizens Financial Group, Inc.2 | 26,229 | |
384 | East West Bancorp, Inc.2 | 16,481 | |
2,435 | First BanCorp2 | 25,616 | |
1,027 | First Hawaiian, Inc.2 | 28,068 | |
817 | First Horizon National Corp.2 | 13,048 | |
2,259 | FNB Corp.2 | 27,244 | |
696 | PacWest Bancorp2 | 25,745 | |
1,668 | Regions Financial Corp.2 | 26,855 | |
620 | Umpqua Holdings Corp.2 | 9,808 | |
260,690 | |||
Building Products — 0.8% | |||
369 | Armstrong World Industries, Inc.2 | 34,512 | |
1,054 | Resideo Technologies, Inc.1,2 | 10,045 | |
44,557 | |||
Capital Markets — 0.9% | |||
907 | Federated Investors, Inc. - Class B2 | 28,969 | |
216 | SEI Investments Co.2 | 12,943 | |
594 | Waddell & Reed Financial, Inc. - Class A3 | 9,837 | |
51,749 | |||
Chemicals — 1.4% | |||
1,111 | Huntsman Corp.2 | 24,587 | |
164 | Innospec, Inc.2 | 14,983 | |
1,004 | Olin Corp.2 | 18,413 | |
236 | Scotts Miracle-Gro Co. (The)2 | 23,692 | |
81,675 | |||
Commercial Services & Supplies — 2.4% | |||
648 | ABM Industries, Inc.2 | 23,626 | |
409 | Brady Corp. - Class A2 | 23,043 | |
490 | Herman Miller, Inc.2 | 22,785 | |
1,591 | Steelcase, Inc. - Class A2 | 27,795 | |
464 | Tetra Tech, Inc.2 | 40,586 | |
137,835 | |||
Construction & Engineering — 1.8% | |||
899 | AECOM1,2 | 35,969 | |
389 | EMCOR Group, Inc.2 | 34,119 | |
771 | Quanta Services, Inc.2 | 32,421 | |
102,509 | |||
Consumer Finance — 1.7% | |||
1,031 | Ally Financial, Inc.2 | 31,580 | |
134 | Capital One Financial Corp.2 | 12,495 | |
2,485 | SLM Corp.2 | 20,973 |
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Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Consumer Finance — (Continued) | |||
861 | Synchrony Financial2 | $30,454 | |
95,502 | |||
Diversified Consumer Services — 0.5% | |||
318 | frontdoor, Inc.1,2 | 15,337 | |
240 | Service Corp. International2 | 10,915 | |
26,252 | |||
Diversified Financial Services — 1.0% | |||
1,187 | AXA Equitable Holdings, Inc.2 | 25,639 | |
555 | Voya Financial, Inc.2 | 29,948 | |
55,587 | |||
Electric Utilities — 1.0% | |||
658 | OGE Energy Corp.2 | 28,333 | |
842 | PPL Corp.2 | 28,199 | |
56,532 | |||
Electrical Equipment — 0.2% | |||
147 | AMETEK, Inc.2 | 13,473 | |
Electronic Equipment, Instruments & Components — 0.5% | |||
1,234 | Knowles Corp.1,2 | 26,630 | |
Energy Equipment & Services — 0.5% | |||
706 | Apergy Corp.1,2 | 17,770 | |
475 | Baker Hughes Co.2 | 10,165 | |
27,935 | |||
Equity Real Estate Investment Trusts — 3.8% | |||
638 | American Assets Trust, Inc.2 | 31,236 | |
873 | Armada Hoffler Properties, Inc.2 | 16,360 | |
902 | CubeSmart2 | 28,593 | |
378 | EPR Properties2 | 29,405 | |
755 | Gaming and Leisure Properties, Inc.2 | 30,472 | |
581 | Host Hotels & Resorts, Inc.2 | 9,523 | |
886 | Park Hotels & Resorts, Inc.2 | 20,600 | |
626 | Service Properties Trust2 | 15,838 | |
859 | STORE Capital Corp.2 | 34,789 | |
216,816 | |||
Food & Staples Retailing — 0.2% | |||
317 | US Foods Holding Corp.1,2 | 12,575 | |
Food Products — 1.2% | |||
481 | Bunge, Ltd.2 | 25,974 | |
491 | General Mills, Inc.2 | 24,972 | |
188 | Tyson Foods, Inc. - Class A2 | 15,565 | |
66,511 | |||
Health Care Equipment & Supplies — 1.1% | |||
716 | Avanos Medical, Inc.1,2 | 31,533 | |
2,166 | SeaSpine Holdings Corp.1,2 | 29,977 | |
61,510 | |||
Health Care Providers & Services — 1.1% | |||
597 | Cardinal Health, Inc.2 | 29,522 | |
1,847 | Select Medical Holdings Corp.1,2 | 33,652 | |
63,174 |
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Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Health Care Technology — 0.5% | |||
806 | HMS Holdings Corp.1,2 | $26,348 | |
Hotels, Restaurants & Leisure — 0.7% | |||
144 | Hilton Worldwide Holdings, Inc.2 | 13,962 | |
589 | Yum China Holdings, Inc.2 | 25,033 | |
38,995 | |||
Household Durables — 0.3% | |||
388 | PulteGroup, Inc.2 | 15,225 | |
Household Products — 0.4% | |||
183 | Church & Dwight Co., Inc.2 | 12,799 | |
58 | Procter & Gamble Co. (The)2 | 7,222 | |
20,021 | |||
Independent Power & Renewable Electricity Producer — 0.5% | |||
1,607 | AES Corp.2 | 27,399 | |
Insurance — 2.0% | |||
493 | Athene Holding, Ltd. - Class A1,2 | 21,372 | |
323 | Globe Life, Inc.2 | 31,438 | |
498 | MetLife, Inc.2 | 23,301 | |
1,165 | Old Republic International Corp.2 | 26,026 | |
347 | Unum Group2 | 9,556 | |
111,693 | |||
Internet & Direct Marketing Retail — 0.3% | |||
526 | eBay, Inc.2 | 18,541 | |
IT Services — 1.3% | |||
396 | Akamai Technologies, Inc.1,2 | 34,254 | |
184 | Leidos Holdings, Inc.2 | 15,866 | |
234 | PayPal Holdings, Inc.1,2 | 24,360 | |
74,480 | |||
Life Sciences Tools & Services — 0.7% | |||
498 | Medpace Holdings, Inc.1,2 | 36,668 | |
Machinery — 1.8% | |||
243 | AGCO Corp.2 | 18,636 | |
472 | ITT, Inc.2 | 28,060 | |
1,014 | Rexnord Corp.1,2 | 28,686 | |
281 | Watts Water Technologies, Inc. - Class A2 | 26,203 | |
101,585 | |||
Media — 0.1% | |||
165 | DISH Network Corp. - Class A1,2 | 5,673 | |
Metals & Mining — 1.3% | |||
135 | Kaiser Aluminum Corp.2 | 14,456 | |
805 | Newmont Goldcorp Corp.2 | 31,983 | |
878 | Steel Dynamics, Inc.2 | 26,656 | |
73,095 | |||
Mortgage Real Estate Investment Trust — 0.5% | |||
1,301 | PennyMac Mortgage Investment Trust2 | 29,780 | |
Multi-Utilities — 0.5% | |||
890 | CenterPoint Energy, Inc.2 | 25,872 | |
Oil, Gas & Consumable Fuels — 1.9% | |||
539 | Marathon Petroleum Corp.2 | 34,469 |
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Table of Contents
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Oil, Gas & Consumable Fuels — (Continued) | |||
245 | Phillips 662 | $28,621 | |
2,508 | Range Resources Corp.2 | 10,107 | |
6,300 | Southwestern Energy Co.1,2 | 12,915 | |
565 | World Fuel Services Corp.2 | 23,600 | |
109,712 | |||
Paper & Forest Products — 0.3% | |||
426 | Domtar Corp.2 | 15,502 | |
Pharmaceuticals — 0.6% | |||
282 | Bristol-Myers Squibb Co.2 | 16,178 | |
696 | Elanco Animal Health, Inc.1,2 | 18,806 | |
34,984 | |||
Professional Services — 0.2% | |||
233 | Robert Half International, Inc.2 | 13,344 | |
Real Estate Management & Development — 0.2% | |||
247 | CBRE Group, Inc. - Class A1,2 | 13,227 | |
Road & Rail — 0.4% | |||
1,864 | Hertz Global Holdings, Inc.1,2 | 25,183 | |
Semiconductors & Semiconductor Equipment — 1.3% | |||
778 | Diodes, Inc.1,2 | 36,294 | |
113 | Intel Corp.2 | 6,388 | |
461 | Teradyne, Inc.2 | 28,222 | |
70,904 | |||
Software — 0.7% | |||
802 | ACI Worldwide, Inc.1,2 | 25,175 | |
586 | Symantec Corp.2 | 13,407 | |
38,582 | |||
Specialty Retail — 1.8% | |||
160 | Aaron’s, Inc.2 | 11,989 | |
1,370 | American Eagle Outfitters, Inc.2 | 21,071 | |
652 | Dick’s Sporting Goods, Inc.2 | 25,382 | |
571 | Penske Automotive Group, Inc.2 | 27,819 | |
234 | TJX Cos., Inc. (The)2 | 13,490 | |
99,751 | |||
Technology Hardware, Storage & Peripherals — 1.0% | |||
1,647 | Hewlett Packard Enterprise Co.2 | 27,027 | |
878 | Xerox Holdings Corp.2 | 29,791 | |
56,818 | |||
Textiles, Apparel & Luxury Goods — 0.5% | |||
612 | Skechers U.S.A., Inc. - Class A1,2 | 22,870 | |
143 | Tapestry, Inc.2 | 3,698 | |
26,568 | |||
Thrifts & Mortgage Finance — 1.2% | |||
637 | Essent Group, Ltd.2 | 33,181 | |
1,345 | Radian Group, Inc.2 | 33,760 | |
66,941 |
151 |
Table of Contents
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Trading Companies & Distributors — 0.5% | |||
580 | WESCO International, Inc.1,2 | $29,087 | |
TOTAL COMMON STOCKS (Cost $2,470,134) | 2,663,193 | ||
Face Amount | |||
U.S. TREASURY BILL* — 24.7% | |||
$1,400,000 | U.S. Treasury Bill, 1.629% due 01/9/204 | 1,395,888 | |
TOTAL U.S. TREASURY BILL (Cost $1,395,640) | 1,395,888 | ||
Shares | |||
INVESTMENT OF SECURITY LENDING COLLATERAL* — 0.2% | |||
10,247 | State Street Navigator Securities Lending Government Money Market Portfolio5 | 10,247 | |
TOTAL INVESTMENT OF SECURITY LENDING COLLATERAL (Cost $10,247) | 10,247 | ||
TOTAL PURCHASED OPTIONS (Cost $4,976,514) | 90.0% | 5,076,688 | |
TOTAL LONG INVESTMENTS (Cost $8,852,535) | 162.1% | $9,146,016 | |
Shares | |||
COMMON STOCKS SOLD SHORT — (42.6)% | |||
Aerospace & Defense — (0.4)% | |||
(70) | Boeing Co. (The) | (23,794) | |
Air Freight & Logistics — (0.4)% | |||
(152) | FedEx Corp. | (23,204) | |
Auto Components — (0.6)% | |||
(361) | LCI Industries | (35,060) | |
Banks — (4.3)% | |||
(433) | Berkshire Hills Bancorp, Inc. | (13,436) | |
(1,056) | CenterState Bank Corp. | (26,780) | |
(452) | Commerce Bancshares, Inc. | (29,091) | |
(266) | First Republic Bank | (28,292) | |
(628) | Glacier Bancorp, Inc. | (26,577) | |
(343) | Independent Bank Corp. | (28,153) | |
(273) | Park National Corp. | (27,641) | |
(1,560) | People’s United Financial, Inc. | (25,225) | |
(956) | Seacoast Banking Corp. of Florida1 | (26,768) | |
(330) | Southside Bancshares, Inc. | (11,369) | |
(243,332) | |||
Building Products — (0.4)% | |||
(98) | Lennox International, Inc. | (24,241) | |
Capital Markets — (2.8)% | |||
(4,488) | BGC Partners, Inc. - Class A | (23,338) | |
(589) | Charles Schwab Corp. (The) | (23,978) | |
(85) | FactSet Research Systems, Inc. | (21,549) | |
(138) | Goldman Sachs Group, Inc. (The) | (29,447) | |
(135) | Moody’s Corp. | (29,793) |
152 |
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Shares | Value | ||
COMMON STOCKS SOLD SHORT — (Continued) | |||
Capital Markets — (Continued) | |||
(175) | Morningstar, Inc. | $(28,322) | |
(156,427) | |||
Chemicals — (2.0)% | |||
(349) | Ashland Global Holdings, Inc. | (27,002) | |
(168) | DuPont de Nemours, Inc. | (11,073) | |
(220) | International Flavors & Fragrances, Inc. | (26,842) | |
(1,089) | Mosaic Co. (The) | (21,650) | |
(394) | WR Grace & Co. | (26,181) | |
(112,748) | |||
Commercial Services & Supplies — (2.1)% | |||
(789) | Casella Waste Systems, Inc. - Class A1 | (34,393) | |
(1,632) | Covanta Holding Corp. | (23,566) | |
(612) | Stericycle, Inc.1 | (35,251) | |
(230) | Waste Management, Inc. | (25,808) | |
(119,018) | |||
Communications Equipment — (0.3)% | |||
(93) | Motorola Solutions, Inc. | (15,468) | |
Construction & Engineering — (0.4)% | |||
(1,399) | WillScot Corp.1 | (22,048) | |
Construction Materials — (0.2)% | |||
(147) | Eagle Materials, Inc. | (13,427) | |
Consumer Finance — (0.5)% | |||
(429) | Nelnet, Inc. - Class A | (26,285) | |
Distributors — (0.5)% | |||
(253) | Genuine Parts Co. | (25,953) | |
Diversified Telecommunication Services — (0.2)% | |||
(221) | Cogent Communications Holdings, Inc. | (12,959) | |
Electric Utilities — (0.5)% | |||
(518) | PNM Resources, Inc. | (27,014) | |
Electronic Equipment, Instruments & Components — (0.9)% | |||
(513) | Cognex Corp. | (26,414) | |
(144) | Littelfuse, Inc. | (25,282) | |
(51,696) | |||
Equity Real Estate Investment Trusts — (3.7)% | |||
(836) | Acadia Realty Trust | (23,391) | |
(174) | Alexandria Real Estate Equities, Inc. | (27,622) | |
(427) | Cousins Properties, Inc. | (17,135) | |
(102) | Digital Realty Trust, Inc. | (12,958) | |
(797) | Healthcare Realty Trust, Inc. | (27,712) | |
(306) | SL Green Realty Corp. | (25,582) | |
(520) | Taubman Centers, Inc. | (18,606) | |
(396) | Vornado Realty Trust | (25,989) | |
(984) | Washington Real Estate Investment Trust | (30,524) | |
(209,519) | |||
Food Products — (1.0)% | |||
(1,037) | Hain Celestial Group, Inc. (The)1 | (24,515) | |
(484) | Kellogg Co. | (30,748) | |
(55,263) |
153 |
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Shares | Value | ||
COMMON STOCKS SOLD SHORT — (Continued) | |||
Gas Utilities — (0.2)% | |||
(272) | New Jersey Resources Corp. | $(11,859) | |
Health Care Equipment & Supplies — (1.6)% | |||
(109) | Becton Dickinson & Co. | (27,904) | |
(82) | Edwards Lifesciences Corp.1 | (19,547) | |
(202) | LivaNova PLC1 | (14,287) | |
(190) | ResMed, Inc. | (28,105) | |
(89,843) | |||
Health Care Providers & Services — (0.3)% | |||
(813) | MEDNAX, Inc.1 | (17,853) | |
Hotels, Restaurants & Leisure — (1.5)% | |||
(438) | Cheesecake Factory, Inc. (The) | (18,304) | |
(314) | Choice Hotels International, Inc. | (27,783) | |
(58) | Vail Resorts, Inc. | (13,478) | |
(195) | Wynn Resorts, Ltd. | (23,661) | |
(83,226) | |||
Household Durables — (0.5)% | |||
(194) | Mohawk Industries, Inc.1 | (27,816) | |
Household Products — (0.9)% | |||
(173) | Clorox Co. (The) | (25,550) | |
(363) | Colgate-Palmolive Co. | (24,902) | |
(50,452) | |||
Industrial Conglomerates — (0.4)% | |||
(132) | 3M Co. | (21,779) | |
Insurance — (0.9)% | |||
(521) | Mercury General Corp. | (25,039) | |
(578) | United Fire Group, Inc. | (26,311) | |
(51,350) | |||
Leisure Product — (0.3)% | |||
(255) | Brunswick Corp. | (14,851) | |
Life Sciences Tools & Services — (0.5)% | |||
(144) | Bio-Techne Corp. | (29,976) | |
Machinery — (2.1)% | |||
(254) | Deere & Co. | (44,231) | |
(461) | Greenbrier Cos., Inc. (The) | (13,503) | |
(222) | Middleby Corp. (The)1 | (26,851) | |
(203) | Nordson Corp. | (31,832) | |
(7) | Wabtec Corp. | (486) | |
(116,903) | |||
Mortgage Real Estate Investment Trust — (0.5)% | |||
(803) | Blackstone Mortgage Trust, Inc. - Class A | (29,149) | |
Multi-line Retail — (0.6)% | |||
(287) | Dollar Tree, Inc.1 | (31,685) | |
Oil, Gas & Consumable Fuels — (2.0)% | |||
(926) | Apache Corp. | (20,057) | |
(399) | Cheniere Energy, Inc.1 | (24,558) | |
(248) | Exxon Mobil Corp. | (16,757) | |
(1,317) | Kinder Morgan, Inc. | (26,314) |
154 |
Table of Contents
Shares | Value | ||
COMMON STOCKS SOLD SHORT — (Continued) | |||
Oil, Gas & Consumable Fuels — (Continued) | |||
(1,260) | Noble Energy, Inc. | $(24,268) | |
(111,954) | |||
Professional Services — (0.5)% | |||
(192) | Equifax, Inc. | (26,248) | |
Road & Rail — (1.1)% | |||
(36) | AMERCO | (14,582) | |
(256) | JB Hunt Transport Services, Inc. | (30,095) | |
(114) | Norfolk Southern Corp. | (20,748) | |
(65,425) | |||
Semiconductors & Semiconductor Equipment — (1.4)% | |||
(836) | Advanced Micro Devices, Inc.1 | (28,365) | |
(271) | Microchip Technology, Inc. | (25,553) | |
(300) | QUALCOMM, Inc. | (24,132) | |
(78,050) | |||
Software — (1.9)% | |||
(391) | Altair Engineering, Inc. - Class A1 | (14,416) | |
(170) | Autodesk, Inc.1 | (25,051) | |
(215) | Pegasystems, Inc. | (16,170) | |
(297) | PTC, Inc.1 | (19,873) | |
(117) | Tyler Technologies, Inc.1 | (31,417) | |
(106,927) | |||
Specialty Retail — (0.4)% | |||
(315) | Monro, Inc. | (22,085) | |
Textiles, Apparel & Luxury Goods — (0.4)% | |||
(346) | Oxford Industries, Inc. | (23,826) | |
Thrifts & Mortgage Finance — (1.0)% | |||
(2,093) | Capitol Federal Financial, Inc. | (29,867) | |
(1,922) | Kearny Financial Corp. | (26,966) | |
(56,833) | |||
Trading Companies & Distributors — (0.8)% | |||
(417) | Kaman Corp. | (24,465) | |
(125) | Watsco, Inc. | (22,038) | |
(46,503) | |||
Water Utilities — (1.6)% | |||
(281) | American States Water Co. | (26,732) | |
(770) | Aqua America, Inc. | (34,904) | |
(536) | California Water Service Group | (30,000) | |
(91,636) | |||
TOTAL COMMON STOCKS SOLD SHORT (Proceeds $(2,330,714)) | (2,403,685) | ||
TOTAL SHORT INVESTMENTS (Proceeds $(2,330,714)) | (42.6)% | $(2,403,685) | |
TOTAL INVESTMENTS (Cost $6,521,821) | 119.5% | $6,742,331 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (19.5) | (1,099,344) | |
NET ASSETS | 100.0% | $5,642,987 |
155 |
Table of Contents
* | Percentages indicated are based on net assets. |
1 | Non income-producing security. |
2 | All or portion of security pledged as collateral for securities sold short. The total market value of collateral is $1,502,106. |
3 | Securities or partial securities on loan. See Note 1. |
4 | All or a portion of this security is held as collateral for written options. |
5 | Represents an investment of securities lending cash collateral. |
156 |
Table of Contents
Description | Counterparty | Exercise Price/ FX Rate | Expiration Date | Number of Contracts | Notional Amount | Market Value | Premiums Paid (Recieved by Fund) | Unrealized Appreciation/ (Depreciation) | |||||||||
PURCHASED OPTIONS | |||||||||||||||||
CALLS: | |||||||||||||||||
S&P 500 Index | OCC** | 1,000.00 | 12/20/19 | USD | 25 | $7,593,900 | $5,075,875 | $4,973,513 | $102,362 | ||||||||
PUTS: | |||||||||||||||||
S&P 500 Index | OCC** | 2,000.00 | 12/20/19 | USD | 25 | 7,593,900 | 813 | 3,001 | (2,188) | ||||||||
TOTAL PURCHASED OPTIONS | $15,187,800 | $5,076,688 | $4,976,514 | $100,174 | |||||||||||||
WRITTEN OPTIONS | |||||||||||||||||
CALL: | |||||||||||||||||
S&P 500 Index | OCC** | 2,000.00 | 12/20/19 | USD | 25 | (7,593,900) | (2,583,250) | (2,489,874) | (93,376) | ||||||||
PUTS: | |||||||||||||||||
iShares MSCI Emerging Markets ETF | OCC** | 40.00 | 12/20/19 | USD | 64 | (276,608) | (2,304) | (5,808) | 3,504 | ||||||||
iShares MSCI EAFE ETF | OCC** | 62.00 | 12/20/19 | USD | 170 | (1,156,340) | (3,485) | (10,625) | 7,140 | ||||||||
iShares 20 Year Treasury Bond | OCC** | 134.00 | 12/20/19 | USD | 200 | (2,811,200) | (8,700) | (26,500) | 17,800 | ||||||||
S&P 500 Index | OCC** | 1,000.00 | 12/20/19 | USD | 25 | (7,593,900) | (63) | (112) | 49 | ||||||||
Russell 2000 Index | OCC** | 1,475.00 | 12/20/19 | USD | 2 | (319,946) | (2,540) | (5,345) | 2,805 | ||||||||
S&P 500 Index | OCC** | 2,850.00 | 12/20/19 | USD | 4 | (1,215,024) | (6,460) | (19,465) | 13,005 | ||||||||
TOTAL PUTS | $(13,373,018) | $(23,552) | $(67,855) | $44,303 | |||||||||||||
TOTAL WRITTEN OPTIONS | $(20,966,918) | $(2,606,802) | $(2,557,729) | $(49,073) |
** | The Options Clearing Corp |
% of Net Assets | Value | ||
SECTOR: | |||
Purchased Options | 90.0% | $5,076,688 | |
Common Stocks | 47.2 | 2,663,193 | |
U.S. Treasury Bill | 24.7 | 1,395,888 | |
TOTAL | 161.9% | $9,135,769 | |
INVESTMENT OF SECURITY LENDING COLLATERAL | 0.2 | 10,247 | |
Common Stocks Sold Short | (42.6) | (2,403,685) | |
TOTAL INVESTMENTS | 119.5% | $6,742,331 |
157 |
Table of Contents
Face Amount | Value | ||
AGENCY NOTES* — 20.4% | |||
Federal Home Loan Bank — 4.3% | |||
$15,000,000 | 2.750% due 12/13/24 | $15,819,772 | |
4,000,000 | 5.500% due 7/15/36 | 5,776,907 | |
21,596,679 | |||
Federal Home Loan Mortgage Corporation — 4.0% | |||
20,000,000 | 2.375% due 1/13/22 | 20,346,278 | |
Federal National Mortgage Association — 12.1% | |||
10,000,000 | 2.000% due 10/5/22 | 10,132,430 | |
10,000,000 | 2.625% due 9/6/24 | 10,478,061 | |
7,960,000 | 2.125% due 4/24/26 | 8,191,433 | |
10,000,000 | 1.875% due 9/24/261 | 10,142,026 | |
10,000,000 | 6.625% due 11/15/30 | 14,596,253 | |
5,000,000 | 5.625% due 7/15/37 | 7,359,933 | |
60,900,136 | |||
TOTAL AGENCY NOTES (Cost $100,346,137) | 102,843,093 | ||
MORTGAGE-BACKED SECURITIES*,2 — 28.9% | |||
Federal Home Loan Mortgage Corporation — 7.3% | |||
26,739 | # G12342, 5.500% due 8/1/21 | 27,161 | |
14,167 | # J03604, 5.500% due 10/1/21 | 14,435 | |
8,081 | # J03649, 5.500% due 10/1/21 | 8,216 | |
31,337 | # J03536, 5.500% due 11/1/21 | 31,476 | |
16,377 | # G18163, 5.500% due 1/1/22 | 16,826 | |
69,624 | # G13396, 5.500% due 12/1/23 | 72,059 | |
42,358 | # D78677, 8.000% due 3/1/27 | 43,243 | |
105,481 | # C00742, 6.500% due 4/1/29 | 119,022 | |
3,650,000 | # J38111, 3.000% due 12/1/32 | 3,752,895 | |
29,120 | # A68937, 6.000% due 11/1/37 | 32,603 | |
256,293 | # A69653, 5.500% due 12/1/37 | 287,460 | |
319,655 | # A73370, 5.000% due 2/1/38 | 352,477 | |
297,597 | # A90421, 4.500% due 12/1/39 | 322,695 | |
431,794 | # A92890, 4.500% due 7/1/40 | 468,348 | |
1,422,317 | # A97620, 4.500% due 3/1/41 | 1,542,644 | |
2,601,265 | # C03770, 3.500% due 2/1/42 | 2,731,715 | |
1,191,550 | # Q07651, 3.500% due 4/1/42 | 1,251,276 | |
3,149,990 | # Q41208, 3.500% due 6/1/46 | 3,281,918 | |
11,454,600 | # Q46279, 3.500% due 2/1/47 | 11,916,579 | |
10,372,689 | # Q47596, 4.000% due 4/1/47 | 10,897,853 | |
37,170,901 | |||
Federal National Mortgage Association — 21.3% | |||
791 | # 125275, 7.000% due 3/1/24 | 832 | |
523,108 | # AH6827, 4.000% due 3/1/26 | 546,569 | |
381,605 | # AI1657, 4.000% due 4/1/26 | 398,309 | |
788,361 | # AB3900, 3.000% due 11/1/26 | 810,894 | |
18,544 | # 373328, 8.000% due 3/1/27 | 18,574 | |
1,023,798 | # AK4751, 3.000% due 4/1/27 | 1,052,855 | |
13,319 | # 390895, 8.000% due 6/1/27 | 13,457 | |
2,126,375 | # AO0533, 3.000% due 6/1/27 | 2,187,254 | |
70,808 | # 397602, 8.000% due 8/1/27 | 77,126 | |
691 | # 499335, 6.500% due 8/1/29 | 769 | |
4,376 | # 252806, 7.500% due 10/1/29 | 5,114 | |
232 | # 523497, 7.500% due 11/1/29 | 258 | |
6,086,425 | # BC2462, 3.000% due 2/1/31 | 6,245,330 | |
1,822 | # 588945, 7.000% due 6/1/31 | 1,988 | |
9,065,274 | # AS7429, 2.500% due 6/1/31 | 9,183,483 |
158 |
Table of Contents
Face Amount | Value | ||
MORTGAGE-BACKED SECURITIES*,2 — (Continued) | |||
Federal National Mortgage Association — (Continued) | |||
$52,677 | # 607862, 7.000% due 9/1/31 | $57,697 | |
3,481 | # 656872, 6.500% due 8/1/32 | 3,877 | |
8,693,969 | # MA3391, 3.000% due 6/1/33 | 8,924,821 | |
150,972 | # 789856, 6.000% due 8/1/34 | 169,101 | |
57,717 | # 829202, 5.000% due 7/1/35 | 63,673 | |
110,989 | # 826586, 5.000% due 8/1/35 | 122,611 | |
28,008 | # 256216, 7.000% due 4/1/36 | 33,584 | |
133,847 | # 898412, 5.000% due 10/1/36 | 147,226 | |
10,165 | # 910894, 5.000% due 2/1/37 | 10,882 | |
18,843 | # 912456, 6.500% due 3/1/37 | 20,988 | |
344,841 | # 973241, 5.000% due 3/1/38 | 379,909 | |
100,494 | # 975593, 5.000% due 6/1/38 | 110,516 | |
116,080 | # 257573, 5.500% due 2/1/39 | 130,159 | |
442,786 | # AD7128, 4.500% due 7/1/40 | 479,849 | |
4,392,502 | # AH1568, 4.500% due 12/1/40 | 4,762,565 | |
1,966,793 | # AH6991, 4.000% due 1/1/41 | 2,104,421 | |
1,031,187 | # AH4004, 4.500% due 3/1/41 | 1,117,876 | |
1,123,856 | # AH8351, 4.000% due 3/1/41 | 1,202,446 | |
864,608 | # AJ1315, 4.000% due 9/1/41 | 925,155 | |
1,250,872 | # AI8779, 4.000% due 11/1/41 | 1,338,761 | |
1,907,430 | # AJ5958, 4.000% due 12/1/41 | 2,032,757 | |
851,510 | # AK5070, 3.500% due 3/1/42 | 885,012 | |
3,509,390 | # AK5426, 3.500% due 3/1/42 | 3,683,206 | |
5,593,274 | # AT7682, 3.500% due 6/1/43 | 5,890,597 | |
5,271,940 | # AS6326, 3.500% due 12/1/45 | 5,490,574 | |
5,836,847 | # AS6881, 3.500% due 3/1/46 | 6,081,195 | |
5,495,595 | # BC0960, 4.000% due 6/1/46 | 5,794,897 | |
6,533,852 | # AS8966, 4.000% due 3/1/47 | 6,860,442 | |
6,888,172 | # AS9988, 4.500% due 7/1/47 | 7,293,960 | |
7,029,786 | # MA3210, 3.500% due 12/1/47 | 7,279,179 | |
8,431,397 | # BJ9251, 3.500% due 6/1/48 | 8,702,354 | |
4,932,683 | # BK4718, 4.000% due 9/1/48 | 5,125,824 | |
107,768,926 | |||
Government National Mortgage Association — 0.3% | |||
10,638 | # 460389, 7.000% due 5/15/28 | 10,656 | |
5,019 | # 464049, 7.000% due 7/15/28 | 5,252 | |
11,583 | # 476259, 7.000% due 8/15/28 | 11,603 | |
7,922 | # 485264, 7.500% due 2/15/31 | 8,008 | |
17,071 | # 559304, 7.000% due 9/15/31 | 18,974 | |
240,968 | # 651859, 5.000% due 6/15/36 | 270,176 | |
159,305 | # 782150, 5.500% due 4/15/37 | 178,739 | |
29,550 | # 662521, 6.000% due 8/15/37 | 33,896 | |
54,833 | # 677545, 6.000% due 11/15/37 | 61,228 | |
54,544 | # 676291, 6.000% due 12/15/37 | 60,348 | |
67,509 | # 685836, 5.500% due 4/15/38 | 74,523 | |
366,075 | # 698235, 5.000% due 6/15/39 | 410,459 | |
121,848 | # 716655, 5.000% due 8/15/39 | 130,644 | |
1,274,506 | |||
TOTAL MORTGAGE-BACKED SECURITIES (Cost $143,788,595) | 146,214,333 | ||
CORPORATE NOTES* — 33.3% | |||
Automotive — 0.8% | |||
2,000,000 | American Honda Finance Corp., 2.650% due 2/12/21 | 2,020,422 |
159 |
Table of Contents
Face Amount | Value | ||
CORPORATE NOTES* — (Continued) | |||
Automotive — (Continued) | |||
$2,000,000 | American Honda Finance Corp., 3.450% due 7/14/23 | $2,107,474 | |
4,127,896 | |||
Banking — 7.1% | |||
7,000,000 | Branch Banking & Trust Co., 3.625% due 9/16/25 | 7,489,496 | |
11,000,000 | Citibank NA, 3.650% due 1/23/24 | 11,682,288 | |
10,000,000 | PNC Bank NA, 2.625% due 2/17/22 | 10,157,535 | |
6,500,000 | PNC Bank NA, 3.250% due 6/1/25 | 6,852,511 | |
36,181,830 | |||
Beverages, Food & Tobacco — 4.1% | |||
5,000,000 | Coca-Cola Co. (The), 2.875% due 10/27/25 | 5,260,067 | |
6,000,000 | Coca-Cola Co. (The), 2.250% due 9/1/26 | 6,065,748 | |
9,000,000 | PepsiCo, Inc., 3.000% due 8/25/21 | 9,201,947 | |
20,527,762 | |||
Communications — 3.5% | |||
14,000,000 | Amazon.com, Inc., 4.800% due 12/5/34 | 17,477,860 | |
Computer Software & Processing — 6.6% | |||
11,250,000 | Apple, Inc., 4.500% due 2/23/36 | 13,682,851 | |
8,000,000 | Microsoft Corp., 3.450% due 8/8/36 | 8,780,949 | |
10,750,000 | Oracle Corp., 2.400% due 9/15/23 | 10,897,406 | |
33,361,206 | |||
Financial — 4.4% | |||
10,533,000 | JPMorgan Chase & Co., 4.950% due 3/25/20 | 10,654,831 | |
8,000,000 | JPMorgan Chase & Co., 6.400% due 5/15/38 | 11,388,713 | |
22,043,544 | |||
Heavy Machinery — 1.1% | |||
5,700,000 | John Deere Capital Corp., 2.800% due 3/4/21 | 5,770,956 | |
Insurance — 3.1% | |||
5,100,000 | Aflac, Inc., 2.875% due 10/15/26 | 5,257,697 | |
10,000,000 | Berkshire Hathaway Finance Corp., 4.250% due 1/15/21 | 10,302,336 | |
15,560,033 | |||
Pharmaceuticals — 1.0% | |||
5,000,000 | Merck & Co., Inc., 2.750% due 2/10/25 | 5,191,046 |
160 |
Table of Contents
Face Amount | Value | ||
CORPORATE NOTES* — (Continued) | |||
Retailers — 1.6% | |||
$5,325,000 | Target Corp., 7.000% due 1/15/381 | $8,327,551 | |
TOTAL CORPORATE NOTES (Cost $158,965,691) | 168,569,684 | ||
U.S. TREASURY NOTES/BONDS* — 15.3% | |||
11,000,000 | U.S. Treasury Bonds, 6.250% due 8/15/23 | 12,902,656 | |
5,000,000 | U.S. Treasury Bonds, 6.625% due 2/15/27 | 6,720,899 | |
5,000,000 | U.S. Treasury Bonds, 3.125% due 11/15/41 | 5,889,648 | |
9,000,000 | U.S. Treasury Bonds, 3.750% due 11/15/43 | 11,700,703 | |
5,000,000 | U.S. Treasury Bonds, 3.000% due 5/15/47 | 5,854,687 | |
5,000,000 | U.S. Treasury Bonds, 2.750% due 8/15/47 | 5,593,750 | |
6,000,000 | U.S. Treasury Notes, 1.500% due 11/30/19 | 5,998,283 | |
10,000,000 | U.S. Treasury Notes, 2.875% due 5/31/25 | 10,693,750 | |
6,000,000 | U.S. Treasury Notes, 2.250% due 8/15/27 | 6,274,453 | |
5,000,000 | U.S. Treasury Notes, 3.125% due 11/15/28 | 5,606,836 | |
TOTAL U.S. TREASURY NOTES/BONDS (Cost $71,723,199) | 77,235,665 | ||
REPURCHASE AGREEMENT* — 1.4% | |||
6,958,320 | With Fixed Income Clearing Corp., dated 10/31/19, 0.12%, principal and interest in the amount of $6,958,343, due 11/1/19, (collateralized by a U.S. Treasury Note with a par value of $6,695,000, coupon rate of 2.875%, due 11/30/2023, market value of $7,098,320) | 6,958,320 | |
TOTAL REPURCHASE AGREEMENT (Cost $6,958,320) | 6,958,320 | ||
Shares | |||
INVESTMENT OF SECURITY LENDING COLLATERAL* — 0.3% | |||
1,512,520 | State Street Navigator Securities Lending Government Money Market Portfolio3 | 1,512,520 | |
TOTAL INVESTMENT OF SECURITY LENDING COLLATERAL (Cost $1,512,520) | 1,512,520 | ||
TOTAL INVESTMENTS (Cost $483,294,462) | 99.6% | $503,333,615 | |
OTHER ASSETS IN EXCESS OF LIABILITIES | 0.4 | 2,269,273 | |
NET ASSETS | 100.0% | $505,602,888 |
* | Percentages indicated are based on net assets. |
1 | Securities or partial securities on loan. See Note 1. |
2 | Represents current face amount at October 31, 2019. |
3 | Represents an investment of securities lending cash collateral. |
161 |
Table of Contents
% of Net Assets | Value | ||
Sector: | |||
Federal National Mortgage Association | 33.4% | $168,669,062 | |
Corporate | 33.3 | 168,569,684 | |
U.S. Treasury Notes/Bonds | 15.3 | 77,235,665 | |
Federal Home Loan Mortgage Corporation | 11.3 | 57,517,179 | |
Federal Home Loan Bank | 4.3 | 21,596,679 | |
Government National Mortgage Association | 0.3 | 1,274,506 | |
TOTAL | 97.9% | $494,862,775 | |
REPURCHASE AGREEMENT | 1.4 | 6,958,320 | |
INVESTMENT OF SECURITY LENDING COLLATERAL | 0.3 | 1,512,520 | |
TOTAL INVESTMENTS | 99.6% | $503,333,615 |
162 |
Table of Contents
Face Amount | Value | ||
CORPORATE NOTES* — 0.7% | |||
Health Care Services — 0.7% | |||
$350,000 | CommonSpirit Health, 2.760% due 10/1/24 | $355,271 | |
TOTAL CORPORATE NOTES (Cost $351,430) | 355,271 | ||
MUNICIPAL BONDS* — 90.6% | |||
Alabama — 1.0% | |||
250,000 | Alabama Federal Aid Highway Finance Authority, Revenue Bonds, 5.000% due 9/1/20 | 257,668 | |
250,000 | Black Belt Energy Gas District, AL, Gas Supply Revenue, Revenue Bonds, Series A, 4.000% due 7/1/46 | 259,200 | |
516,868 | |||
Alaska — 1.6% | |||
300,000 | Alaska State, General Obligation Unlimited, Series B, 5.000% due 8/1/20 | 308,388 | |
490,000 | North Slope Boro, AK, General Obligation Unlimited, Series B, 5.000% due 6/30/20 | 502,181 | |
810,569 | |||
Arizona — 0.9% | |||
400,000 | Yuma, AZ, Municipal Property Corp., Excise Tax Revenue, Revenue Bonds, Refunding, 5.000% due 7/1/22 | 439,052 | |
California — 0.9% | |||
210,000 | La Quinta, CA, Financing Authority, Local Agency Revenue, Tax Allocation, Series A, Prerefunded 9/1/20 @ 100, 7.900% due 9/1/31 | 220,802 | |
250,000 | San Diego, CA, Redevelopment Agency Tax Allocation Revenue, Series A, Prerefunded 9/1/20 @ 100, 7.750% due 9/1/40 | 262,343 | |
483,145 | |||
Colorado — 0.3% | |||
150,000 | Weld County, CO, Reorganized School District No. RE-8, General Obligation Unlimited, (State Aid Withholding), 4.000% due 12/1/20 | 154,586 | |
Connecticut — 1.7% | |||
500,000 | Connecticut State Health and Educational Facilities Authority, Revenue Bonds, Refunding, Nuvance Halthe Issue, Series A, 5.000% due 7/1/24 | 579,490 | |
270,000 | Connecticut, CT, General Obligation Unlimited, Refunding, Series C, 5.000% due 6/1/24 | 294,484 | |
873,974 | |||
Florida — 2.2% | |||
500,000 | County of Broward FL Port Facilities, Revenue Bonds, Refunding, Subordinate Bond, Serise D, 5.000% due 9/1/24 | 577,820 | |
255,000 | Orlando & Orange County, FL, Expressway Authority, Revenue Bonds, Refunding, 5.000% due 7/1/23 | 279,755 | |
250,000 | Orlando & Orange County, FL, Expressway Authority, Revenue Bonds, Refunding, Series B (AGMC Insured), 5.000% due 7/1/21 | 256,308 | |
1,113,883 | |||
Georgia — 1.1% | |||
200,000 | Atlanta, GA, Airport General Revenue, Revenue Bonds, Series C, 5.000% due 1/1/23 | 215,738 |
163 |
Table of Contents
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Georgia — (Continued) | |||
$350,000 | Georgia State, Road & Tollway Authority, Federal Highway Reimbursement, Revenue Bonds, Series A, 5.000% due 6/1/20 | $357,675 | |
573,413 | |||
Idaho — 0.4% | |||
200,000 | Idaho, Housing & Finance Association, Revenue Bonds, 5.000% due 7/15/20 | 205,200 | |
Illinois — 8.8% | |||
Chicago, IL, O’Hare International Airport, Revenue Bonds, Refunding, Series B: | |||
500,000 | 5.000% due 1/1/20 | 502,835 | |
150,000 | 5.000% due 1/1/21 | 156,429 | |
300,000 | Cook County, IL, School District No. 100 South Berwyn, General Obligation Unlimited, Refunding, (BAM), 4.000% due 12/1/23 | 323,601 | |
500,000 | DeKalb County, IL, Community Unit School District No. 428 DeKalb, General Obligation Unlimited, Refunding, 5.000% due 1/1/24 | 569,565 | |
400,000 | Du Page & Will Counties, IL, Community School District No. 204 Indian Prairie, General Obligation Unlimited, Refunding, Series A, 5.000% due 12/30/20 | 417,148 | |
400,000 | Illinois State Finance Authority, Revenue Bonds, 5.000% due 1/1/20 | 402,404 | |
500,000 | Illinois State Finance Authority, Revenue Bonds, Series L, 4.000% due 12/1/20 | 514,740 | |
Illinois State, General Obligation Unlimited: | |||
100,000 | 4.000% due 9/1/20 | 101,593 | |
130,000 | 5.000% due 1/1/21 | 134,380 | |
150,000 | Illinois State, General Obligation Unlimited, Series A, 4.000% due 1/1/24 | 154,845 | |
115,000 | Illinois State, General Obligation, Refunding, 5.000% due 8/1/23 | 126,048 | |
255,000 | McHenry County, IL, Conservation District, General Obligation Unlimited, Refunding, 5.000% due 2/1/24 | 292,724 | |
300,000 | Regional Transportation Authority, IL, Revenue Bonds, Series A, 5.000% due 6/1/21 | 317,247 | |
450,000 | Regional Transportation Authority, IL, Revenue Bonds, Series A (NPFG Insured), 5.500% due 7/1/20 | 462,339 | |
4,475,898 | |||
Kentucky — 2.7% | |||
300,000 | Kentucky State, Property & Building Commission Revenue, Project No. 84, Revenue Bonds, Refunding, (NPFG Insured), 5.000% due 8/1/20 | 308,115 | |
200,000 | Kentucky State, Property and Building Commission Revenues, Revenue Bonds, Refunding, Series B, 5.000% due 8/1/20 | 205,410 | |
300,000 | Louisville & Jefferson County, KY, Metropolitan Government Health System Revenue, Revenue Bonds, Refunding, Series A, 5.000% due 10/1/23 | 340,848 | |
500,000 | McCracken County, KY,School District Finance Corp, Revenue Bonds, Series A (State Aid Intercept), 2.500% due 7/1/21 | 508,815 | |
1,363,188 | |||
Louisiana — 2.5% | |||
300,000 | Ernest N Morial-New Orleans, LA, Exhibition Hall Authority, Special Tax, Refunding, 5.000% due 7/15/21 | 318,882 | |
400,000 | Louisiana State, General Obligation Unlimited, Series A, 4.000% due 9/1/21 | 419,928 |
164 |
Table of Contents
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Louisiana — (Continued) | |||
$500,000 | New Orleans, LA, Sewage Service Revenue, Revenue Bonds, Refunding, 5.000% due 6/1/22 | $543,750 | |
1,282,560 | |||
Massachusetts — 0.5% | |||
250,000 | Massachusetts State, MA, General Obligation Limited, Refunding, Series B, 5.000% due 1/1/21 | 261,128 | |
Michigan — 6.9% | |||
140,000 | Dansville, MI, Schools, General Obligation Unlimited, (QSBLF Insured), 4.000% due 5/1/20 | 141,847 | |
250,000 | Detroit, MI, City School District, General Obligation Unlimited, Series A, (QSBLF Insured), 6.000% due 5/1/21 | 267,032 | |
260,000 | L’Anse Creuse, MI, Public Schools, General Obligation Unlimited, Refunding, (QSBLF Insured), 5.000% due 5/1/20 | 264,737 | |
425,000 | Maple Valley, MI, Schools, General Obligation Unlimited, Refunding (QSBLF Insured), 4.000% due 5/1/23 | 460,101 | |
360,000 | Michigan Finance Authority, Revenue Bonds, Refunding, Series A, 5.000% due 12/1/20 | 374,447 | |
400,000 | Michigan State Finance Authority Revenue, Revenue Bonds, Refunding, 5.000% due 11/15/19 | 400,432 | |
200,000 | Michigan State Finance Authority Revenue, Revenue Bonds, Refunding, Series A, 5.000% due 5/15/23 | 225,078 | |
200,000 | Michigan State Finance Authority Revenue, Revenue Bonds, Refunding, Series MI-1, 5.000% due 12/1/23 | 229,098 | |
500,000 | Michigan State, Finance Authority Revenue, Revenue Bonds, Series 2019B, 3.500% due 11/15/44 | 529,010 | |
200,000 | Ypsilanti, MI, School District, General Obligation Unlimited, Refunding, Series A, (QSBLF Insured), 5.000% due 5/1/21 | 210,166 | |
400,000 | Ypsilanti, MI, School District, General Obligation Unlimited, Refunding, Series B, (QSBLF Insured), 2.250% due 5/1/21 | 403,936 | |
3,505,884 | |||
Minnesota — 1.9% | |||
100,000 | Minneapolis, MN, St. Paul, Housing & Redevelopment Authority Health Care, Revenue Bonds, Refunding, Series A, 5.000% due 11/15/20 | 103,870 | |
500,000 | Minneapolis-St Paul Metropolitan Airports Commission, Revenue Bonds, Refunding, Series B, 5.000% due 1/1/25 | 584,070 | |
250,000 | St. Paul, MN, Housing & Redevelopment Authority Health Care, Revenue Bonds, Refunding, Series A, 5.000% due 7/1/21 | 265,165 | |
953,105 | |||
Mississippi — 8.1% | |||
1,600,000 | County of Jackson MS Port Facility, Revenue Bonds, Refunding, 1.260% due 6/1/23 | 1,600,000 | |
2,000,000 | Mississippi State, Business Finance Commission, Gulf Opportunity Zone, Revenue Bonds, Series K, 1.260% due 11/1/35 | 2,000,000 | |
500,000 | Mississippi State, Development Bank, Special Obligation, Jackson Public School District Project, Revenue Bonds, Refunding, Series A, 5.000% due 4/1/21 | 525,585 | |
4,125,585 | |||
New Jersey — 3.9% | |||
350,000 | Camden County, NJ, Improvement Authority, Revenue Bonds, (County Guaranteed), 4.000% due 1/15/20 | 351,876 | |
525,000 | New Jersey State Economic Development Authority Revenue, Revenue Bonds, Refunding, Series NN, 5.000% due 3/1/22 | 565,378 |
165 |
Table of Contents
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
New Jersey — (Continued) | |||
$535,000 | New Jersey State Economic Development Authority, Revenue Bonds, 5.750% due 6/1/31 | $549,247 | |
500,000 | New Jersey State Turnpike Authority, Revenue Bonds, Refunding, Series C-1, (1M USD LIBOR * 0.7+ 0.34%), 1.762% due 1/1/211 | 500,490 | |
1,966,991 | |||
New York — 2.3% | |||
200,000 | New York State, Dormitory Authority, State Personal Income Tax Revenue, Refunding, Series A, 5.000% due 12/15/19 | 200,882 | |
350,000 | New York, Metropolitan Transportation Authority Revenue, Dedicated Tax Fund, Series A, 5.255% due 11/15/22 | 381,685 | |
600,000 | Triborough Bridge and Tunnel Authority, Revenue Bonds, Refunding, Series C, 1.300% due 1/1/32 | 600,000 | |
1,182,567 | |||
North Carolina — 0.2% | |||
100,000 | New Hanover County, NC, Hospital Revenue, Revenue Bonds, Refunding, 5.000% due 10/1/21 | 105,801 | |
Ohio — 3.7% | |||
500,000 | Lake, OH, Local School District Wood County, General Obligation Unlimited, Refunding, (School District Credit Program), 2.000% due 12/1/20 | 504,580 | |
265,000 | Ohio State University, General Receipts Athens, Revenue Bonds, Refunding, Series A, 5.000% due 12/1/20 | 275,518 | |
255,000 | Ohio State, Higher Educational Facility Commission, Revenue Bonds, 4.000% due 12/1/19 | 255,530 | |
325,000 | Ohio State, Higher Educational Facility Commission, Revenue Bonds, Refunding, 5.000% due 10/1/23 | 368,456 | |
425,000 | Ohio State, Hospital Facilities Revenue, Revenue Bonds, Series A, 5.000% due 1/15/23 | 457,198 | |
1,861,282 | |||
Pennsylvania — 14.2% | |||
400,000 | Allegheny County, PA, General Obligation Unlimited, Refunding, Series C-75, 4.000% due 11/1/21 | 421,600 | |
300,000 | Allegheny County, PA, Hospital Development Authority, Revenue Bonds, Series A, 5.000% due 7/15/23 | 339,777 | |
400,000 | Bucks County, CA, Centennial School District, General Obligation Limited, Refunding, Series B, (State Aid Withholding), 5.000% due 12/15/21 | 431,808 | |
675,000 | City of Philadelphia PA, General Obligation Unlimited, Refunding, 5.000% due 8/1/22 | 741,352 | |
390,000 | Danville, PA, Area School District, General Obligation Limited, Refunding, Series B, (State Aid Withholding), 4.000% due 11/1/20 | 400,889 | |
300,000 | East Stroudsburg, PA, Area School District, General Obligation Limited, Refunding, Series A, (State Aid Withholding), 5.000% due 9/1/20 | 309,150 | |
400,000 | Lehigh Country, PA, General Purpose Hospital, Revenue Bonds, Refunding, Series A, 5.000% due 7/1/232 | 450,936 | |
140,000 | Monroeville, PA, Finance Authority UPMC Revenue, Revenue Bonds, 5.000% due 2/15/20 | 141,478 | |
425,000 | Montgomery County, PA, Higher Education and Health Authority, Revenue Bonds, Refunding, 5.000% due 9/1/23 | 482,197 | |
100,000 | Montgomery County, PA, Industrial Development Authority, Revenue Bonds, Refunding, 4.000% due 12/1/22 | 106,849 | |
250,000 | Pennsylvania State Turnpike Authority, Revenue Bonds, Refunding, 5.000% due 12/1/22 | 278,163 |
166 |
Table of Contents
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Pennsylvania — (Continued) | |||
$315,000 | Pennsylvania State, General Obligation Unlimited, Refunding, 5.000% due 7/1/20 | $322,862 | |
200,000 | Pennsylvania State, General Obligation Unlimited, Refunding, First Series, 5.000% due 8/15/20 | 205,916 | |
500,000 | Pennsylvania State, University, Revenue Bonds, 1.580% due 6/1/31 | 500,600 | |
200,000 | Philadelphia, PA, School District, General Obligation Ltd, Series A (State Aid Withholding), 5.000% due 9/1/232 | 226,136 | |
300,000 | Pittsburgh, PA, Public Parking Authority, Revenue Bonds, Refunding, Series A, 5.000% due 12/1/23 | 341,088 | |
200,000 | Pittsburgh, PA, School District, General Obligation Unlimited, Refunding, Series A, (State Aid Withholding), 5.000% due 9/1/22 | 213,718 | |
300,000 | Red Lion, PA, Area School District, General Obligation Limited, Refunding, Series A, (State Aid Withholding), 4.000% due 4/15/20 | 303,693 | |
305,000 | Springfield Township, PA, School District, Montgomery County, General Obligation Limited, Refunding, (State Aid Withholding), 4.000% due 11/15/20 | 313,656 | |
310,000 | State Public School Building Authority, Community College of Philadelphia, Revenue Bonds, Refunding, Series A, 5.000% due 6/15/22 | 337,599 | |
350,000 | Susquehanna Township, PA, School District, General Obligation Unlimited, Series A, (State Aid Withholding), 2.300% due 5/15/22 | 350,245 | |
7,219,712 | |||
Rhode Island — 0.9% | |||
400,000 | Rhode Island State, RI, Health and Educational Building Corporation, Public School Revenue, Revenue Bonds, Refunding, Series A, 5.000% due 5/15/22 | 432,968 | |
Tennessee — 0.7% | |||
370,000 | Tennessee, TN, Housing Development Agency Residential Finance Program Revenue, Revenue Bonds, 1.800% due 7/1/21 | 373,445 | |
Texas — 15.6% | |||
200,000 | Arlington, TX, Higher Education Finance Corp., Revenue Bonds, Refunding, Series A, (PSF Guaranteed), 4.000% due 2/15/21 | 206,988 | |
100,000 | Brushy Creek, TX, Regional Utility Authority, Inc., Contract Revenue, Refunding, 3.000% due 8/1/20 | 101,309 | |
290,000 | Dallas, TX, Independent School District, General Obligation Unlimited, Series B-5, (PSF Guaranteed), 5.000% due 2/15/36 | 303,465 | |
200,000 | Denton, TX, Independent School District, General Obligation Unlimited, (PSF Guaranteed), 2.000% due 8/1/43 | 200,896 | |
200,000 | Georgetown, TX, Independent School District, General Obligation Unlimited, Series B, (PSF Guaranteed), 2.000% due 8/1/41 | 200,902 | |
2,000,000 | Harris County, TX, Cultural Education Facilities Finance Corp, Revenue Bonds Subseries C-2, 1.350% due 12/1/27 | 2,000,000 | |
520,000 | Harris County, TX, Senior Lien, Revenue Bonds, Refunding, Series A, 5.000% due 8/15/21 | 555,173 | |
225,000 | Houston, TX, Community College, General Obligation Limited, 5.000% due 2/15/23 | 252,364 | |
400,000 | Houston, TX, Independent School District, General Obligation Limited, Refunding, (PSF Guaranteed), 1.450% due 6/1/29 | 400,136 | |
590,000 | Lower Colorado River Texas Authority, Transmission Contract Revenue, Revenue Bonds, Refunding, 5.000% due 5/15/22 | 601,759 | |
500,000 | Lower Neches, TX, Valley Authority Industrial Development Corp., Revenue Bonds, Refunding, 1.250% due 5/1/46 | 500,000 | |
195,000 | North East, TX, Independent School District, General Obligation Unlimited, Series B, (PSF Guaranteed), 1.420% due 8/1/40 | 195,031 |
167 |
Table of Contents
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Texas — (Continued) | |||
$400,000 | North Texas, Tollway Authority Revenue, Revenue Bonds, Refunding, Series B, 5.000% due 1/1/23 | $445,840 | |
210,000 | Taft, TX, Independent School District, General Obligation Unlimited, Refunding, (PSF Guaranteed), 3.000% due 8/15/20 | 213,024 | |
320,000 | Texas State, TX, A&M University Revenue, Revenue Bonds, Series B, Prerefunded 5/15/23 @ 100, 5.000% due 5/15/32 | 362,742 | |
800,000 | Texas, State, Revenue Notes, 4.000% due 8/27/20 | 818,264 | |
565,000 | Texas, TX, College Student Loan, General Obligation Unlimited, 5.500% due 8/1/21 | 605,720 | |
7,963,613 | |||
Washington — 3.9% | |||
350,000 | Chelan County, WA, Public Utility District No 1, Revenue Bonds, Refunding, Series A (NPFG Insured), 0.000% due 6/1/233 | 331,419 | |
550,000 | Energy Northwest, WA, Taxable Columbia Generating Electicity Reveune, Revenue Bonds, Series E, 2.803% due 7/1/21 | 559,685 | |
300,000 | Grant County, WA, Public Utility District No. 2, Revenue Bonds, Refunding, 2.000% due 1/1/441,4 | 301,125 | |
425,000 | Klickitat Country, WA, Public Utility Distic, Revenue Bonds, Refunding, Series B, 2.277% due 12/1/232 | 425,055 | |
125,000 | Lewis County, WA, Public Utility District No 1, Cowlitz Falls Hydroelectric Project, Revenue Bonds, Refunding, 5.000% due 10/1/22 | 138,724 | |
225,000 | Whatcom County,WA, School District No. 502 Ferndale, General Obligation Unlimited, Refunding, 3.000% due 12/1/21 | 233,462 | |
1,989,470 | |||
Wisconsin — 2.9% | |||
215,000 | Eau Claire WI, General Obligation Unlimited, Series D, 1.400% due 4/1/24 | 212,199 | |
250,000 | Wisconsin State, Health & Educational Facilities Authority Revenue, Revenue Bonds, Refunding, 5.000% due 11/15/23 | 285,155 | |
450,000 | Wisconsin State, Health & Educational Facilities Authority Revenue, Revenue Bonds, Series 2013B-1, 1.375% due 11/15/38 | 450,040 | |
500,000 | Wisconsin State, WI, Transportation Revenue, Revenue Bonds, Series 2, 5.000% due 7/1/23 | 550,475 | |
1,497,869 | |||
Wyoming — 0.8% | |||
400,000 | Wyoming State, Community Development Authority, Revenue Bonds, Series 1, 1.950% due 12/1/22 | 406,428 | |
TOTAL MUNICIPAL BONDS (Cost $45,842,748) | 46,138,184 | ||
PREFERRED STOCKS* — 0.5% | |||
10,000 | Bank of America Corp., 6.500% | 255,600 | |
TOTAL PREFERRED STOCKS (Cost $257,700) | 255,600 | ||
Shares | |||
REGISTERED INVESTMENT COMPANIES* — 2.9% | |||
41,460 | BlackRock Municipal 2020 Term Trust | 623,558 | |
4,932 | PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund5 | 488,613 | |
4,850 | Vanguard Short-Term Corporate Bond ETF5 | 394,160 | |
TOTAL REGISTERED INVESTMENT COMPANIES (Cost $1,508,081) | 1,506,331 |
168 |
Table of Contents
Face Amount | Value | ||
AGENCY NOTES* — 1.0% | |||
Federal Home Loan Bank — 1.0% | |||
$500,000 | 2.350% due 8/12/24 | $499,999 | |
TOTAL AGENCY NOTES (Cost $500,000) | 499,999 | ||
U.S. TREASURY NOTES/BONDS* — 1.9% | |||
350,000 | U.S. Treasury Notes, 3.375% due 11/15/19 | 350,199 | |
400,000 | U.S. Treasury Notes, 2.500% due 1/31/21 | 404,438 | |
220,000 | U.S. Treasury Notes, 2.500% due 1/15/22 | 224,520 | |
TOTAL U.S. TREASURY NOTES/BONDS (Cost $969,608) | 979,157 | ||
REPURCHASE AGREEMENT* — 1.7% | |||
859,440 | With Fixed Income Clearing Corp., dated 10/31/19, 0.12%, principal and interest in the amount of $859,443, due 11/1/19, (collateralized by a U.S. Treasury Note with a par value of $875,000, coupon rate of 1.875%, due 3/31/2022, market value of $881,151) | 859,440 | |
TOTAL REPURCHASE AGREEMENT (Cost $859,440) | 859,440 | ||
Shares | |||
INVESTMENT OF SECURITY LENDING COLLATERAL* — 1.7% | |||
847,938 | State Street Navigator Securities Lending Government Money Market Portfolio6 | 847,938 | |
TOTAL INVESTMENT OF SECURITY LENDING COLLATERAL (Cost $847,938) | 847,938 | ||
TOTAL INVESTMENTS (Cost $51,136,945) | 101.0% | $51,441,920 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (1.0) | (503,007) | |
NET ASSETS | 100.0% | $50,938,913 |
* | Percentages indicated are based on net assets. |
1 | Floating Rate Bond. Rate shown is as of October 31, 2019. |
2 | When-issued security. |
3 | Zero Coupon Bond. |
4 | Variable Rate is Fixed to Float: Rate remains fixed until designated future date. |
5 | Securities or partial securities on loan. See Note 1. |
6 | Represents an investment of securities lending cash collateral. |
Abbreviations: |
AGMC — Assured Guaranty Municipal Corporation |
BAM — Build America Mutual |
NPFG — National Public Finance Guarantee Corporation |
PSF — Permanent School Fund |
QSBLF — Michigan Qualified School Bond Loan Fund |
169 |
Table of Contents
% of Net Assets | Value | ||
SECTOR: | |||
Municipal Bonds | 90.6% | $46,138,184 | |
Registered Investment Companies | 2.9 | 1,506,331 | |
U.S. Treasury Notes/Bonds | 1.9 | 979,157 | |
Agency Notes | 1.0 | 499,999 | |
Corporate Notes | 0.7 | 355,271 | |
Preferred Stocks | 0.5 | 255,600 | |
TOTAL | 97.6% | $49,734,542 | |
REPURCHASE AGREEMENT | 1.7 | 859,440 | |
INVESTMENT OF SECURITY LENDING COLLATERAL | 1.7 | 847,938 | |
TOTAL INVESTMENTS | 101.0% | $51,441,920 |
170 |
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Face Amount | Value | ||
MUNICIPAL BONDS* — 98.8% | |||
Alabama — 1.1% | |||
$500,000 | Jefferson County, AL, Sewer Revenue Warrants, Series E, 0.000% due 10/1/341 | $203,640 | |
500,000 | Jefferson County, AL, Sewer Revenue, Series B, (AGMC Insured), 0.000% due 10/1/251 | 433,415 | |
1,070,000 | Jefferson County, AL, Sewer Revenue, Series D, Warrants, 6.000% due 10/1/42 | 1,268,464 | |
500,000 | Montgomery, AL, Medical Clinic, Board Health Care Facility Revenue, Refunding, 5.000% due 3/1/30 | 568,580 | |
2,474,099 | |||
Alaska — 0.6% | |||
1,295,000 | Alaska State, Housing Finance Corp., Revenue Bonds, Series A, 4.000% due 12/1/48 | 1,405,723 | |
Arizona — 3.0% | |||
300,000 | Arizona State, Industrial Development Authority, Education Revenue, Basis Schools Projects, Revenue Bonds, Refunding, Series A, 5.250% due 7/1/472 | 326,652 | |
500,000 | Arizona State, Industrial Development Authority, Education Revenue, Revenue Bonds, Refunding, Series A, 5.000% due 7/1/322 | 518,245 | |
Arizona State, Industrial Development Authority, Education Revenue, Revenue Bonds, Series A: | |||
250,000 | 5.000% due 7/1/492 | 258,710 | |
125,000 | 5.000% due 7/15/492 | 135,705 | |
300,000 | Arizona State, Industrial Development Authority, Education Revenue, Revenue Bonds, Series B, 5.500% due 7/1/382 | 326,976 | |
500,000 | Arizona State, Industrial Development Authority, Education Revenue, Traditional Schools Project, Revenue Bonds, 5.250% due 7/1/222 | 501,385 | |
80,000 | Florence Town, Inc., AZ, Industrial Development Authority, Legacy Traditional School Project, Revenue Bonds, 5.000% due 7/1/23 | 83,319 | |
750,000 | Maricopa County, AZ, Industrial Development Authority, Educational Revenue, Revenue Bonds, Refunding, 5.000% due 7/1/362 | 819,997 | |
375,000 | Maricopa County, AZ, Industrial Development Authority, Revenue Bonds, Series A, 6.000% due 7/1/522 | 426,559 | |
250,000 | Phoenix, AZ, Industrial Development Authority, Education Revenue, Basis Schools, Inc., Revenue Bonds, 5.000% due 7/1/452 | 266,312 | |
500,000 | Phoenix, AZ, Industrial Development Authority, Education Revenue, Basis Schools, Inc., Revenue Bonds, Refunding, 5.000% due 7/1/352 | 540,840 | |
205,000 | Phoenix, AZ, Industrial Development Authority, Education Revenue, Basis Schools, Inc., Revenue Bonds, Refunding, Series A, 3.000% due 7/1/202 | 205,461 | |
Phoenix, AZ, Industrial Development Authority, Education Revenue, Legacy Traditional Schools Project, Revenue Bonds, Series A: | |||
300,000 | 5.750% due 7/1/242 | 320,844 | |
500,000 | 6.750% due 7/1/442 | 568,110 | |
500,000 | Phoenix, AZ, Industrial Development Authority, Education Revenue, Revenue Bonds, Series A, 5.000% due 7/1/462 | 530,150 | |
250,000 | Phoenix, AZ, Industrial Development Authority, Education Revenue, Revenue Bonds, Series B, 4.000% due 7/1/222 | 249,808 | |
135,000 | Pima, AZ, Industrial Development Authority, Education Revenue, Revenue Bonds, Refunding, 5.000% due 6/15/492 | 142,556 | |
150,000 | Tempe, AZ, Industrial Development Authority, Revenue Bonds, 5.000% due 12/1/54 | 165,014 | |
6,386,643 |
171 |
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Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
California — 3.0% | |||
$250,000 | California Public Finance Authority, Revenue Bonds, Refunding, 5.000% due 10/15/47 | $282,115 | |
299,339 | California State, Housing Finance Agency Municipal Certificates, Revenue Bonds, Series A, 4.250% due 1/15/35 | 351,274 | |
400,000 | California State, Infrastructure and Economic Development Bank, Revenue Bonds, Refunding, Series E, 1.750% due 11/1/26 | 374,000 | |
California State, Municipal Finance Authority, Educational Revenue, Refunding, Series A: | |||
360,000 | 5.000% due 6/1/36 | 413,838 | |
500,000 | 5.000% due 6/1/46 | 566,630 | |
300,000 | California State, Municipal Finance Authority, Revenue Bonds, Series A, 5.000% due 11/1/462 | 338,397 | |
335,000 | California State, School Financing Authority, Rocketship Education Obligated Group, Revenue Bonds, Series A, 5.250% due 6/1/522 | 360,594 | |
250,000 | California State, Statewide Communities Development Authority, CHF Irvine LLC, Revenue Bonds, 5.000% due 5/15/29 | 298,515 | |
895,000 | California State, Statewide Communities Development Authority, Student Housing Revenue, Revenue Bonds, 4.305% due 7/1/32 | 968,220 | |
100,000 | Golden State, Tobacco Securitization Corp., CA, Tobacco Settlement, Revenue Bonds, Refunding, Series A-2, 5.000% due 6/1/47 | 102,791 | |
500,000 | Northern, CA, Gas Authority No. 1, Gas Project Revenue, Revenue Bonds, Series B, (3M USD LIBOR * 0.67 + 0.72%), 2.126% due 7/1/273 | 492,270 | |
500,000 | Oroville, CA, Revenue Bonds, 5.250% due 4/1/54 | 584,605 | |
500,000 | River Islands, CA, Public Financing Authority, Special Tax, Series A, 5.000% due 9/1/48 | 562,880 | |
1,000,000 | Riverside County, Redevelopment Successor Agency, Revenue Bonds, Series B, 0.000% due 10/1/391 | 560,610 | |
200,000 | Seal Beach, CA, Community Facilities District No. 2005-1, Special Tax, Refunding, 3.000% due 9/1/29 | 205,058 | |
100,000 | University of California, Medical Center Pooled Revenue, Revenue Bonds, Series C2, (NPFG Insured), (3M USD LIBOR * 0.67 + 0.67%), 2.120% due 5/15/373 | 96,461 | |
6,558,258 | |||
Colorado — 11.4% | |||
500,000 | Amber Creek, Metropolitan District, General Obligation Limited, Refunding, Series A, 5.125% due 12/1/47 | 519,935 | |
1,000,000 | Arista, CO, Metropolitan District, General Obligation Limited, Series A, 4.375% due 12/1/28 | 1,070,100 | |
1,000,000 | Arkansas River Power Authority, CO, Power Revenue, Revenue Bonds, Refunding, Series A, 5.000% due 10/1/33 | 1,193,120 | |
500,000 | Base Village Metropolitan District No. 2, General Obligation Limited, Refunding, Series A, 5.750% due 12/1/46 | 526,625 | |
500,000 | Belleview Station, CO, Metropolitan District No. 2, General Obligation Limited, Refunding, 5.000% due 12/1/36 | 524,380 | |
500,000 | Big Dry Creek, Metropolitan District, General Obligation Limited, Series A, 5.750% due 12/1/47 | 531,175 | |
520,000 | Bradburn, CO, Metropolitan District No. 2, General Obligation Limited, Refunding, Series A, 4.000% due 12/1/28 | 528,081 | |
750,000 | Buffalo Ridge, CO, Metropolitan District, General Obligation Limited, Series B, 7.375% due 12/15/47 | 781,995 | |
500,000 | Clear Creek Station, Metropolitan District No. 2, General Obligation Limited, Refunding, Series A, 5.000% due 12/1/47 | 523,420 |
172 |
Table of Contents
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Colorado — (Continued) | |||
$625,000 | Colorado International Center, CO, Metropolitan District No. 14, General Obligation Limited, 5.875% due 12/1/46 | $682,856 | |
500,000 | Colorado State, Health Facilities Authority, Hospital Revenue, Christian Living Neighborhoods Project, Revenue Bonds, Refunding, 5.000% due 1/1/31 | 555,970 | |
400,000 | Colorado State, Health Facilities Authority, Hospital Revenue, Refunding, 5.000% due 1/1/37 | 439,932 | |
700,000 | Colorado State, Health Facilities Authority, Hospital Revenue, Refunding, Series A, 5.250% due 5/15/37 | 802,914 | |
700,000 | Colorado State, Health Facilities Authority, Hospital Revenue, Revenue Bonds, Refunding, Prerefunded 6/1/27 @ 100, 5.000% due 6/1/37 | 871,969 | |
660,000 | Colorado State, Health Facilities Authority, Refunding, Series A, Prerefunded 6/1/25 @ 100, 5.000% due 6/1/45 | 790,126 | |
165,000 | Colorado State, Health Facilities Authority, Revenue Bonds, Prerefunded 6/1/23 @ 100, 5.625% due 6/1/43 | 190,286 | |
480,000 | Colorado State, Housing and Finance Authority, Non Amount Non ACE SF Mortgage, Revenue Bonds, Series C, (GNMA Insured), 4.250% due 11/1/48 | 525,442 | |
250,000 | Denver, CO, Urban Renewal Authority, Tax Increment Revenue, Series A, 5.250% due 12/1/392 | 267,430 | |
590,000 | DIATC Metropolitan District, CO, General Obligation Limited, 3.250% due 12/1/292 | 585,976 | |
500,000 | Dinosaur Ridge Metropolitan District, CO, Special Revenue, Revenue Bonds, Refunding, Series A, 5.000% due 6/1/49 | 510,090 | |
150,000 | E-470, CO, Public Highway Authority, Revenue Bonds, Refunding, Series B, (1M USD LIBOR * 0.67 + 1.05%), 2.247% due 9/1/393 | 151,331 | |
740,000 | E-470, CO, Public Highway Authority, Revenue Bonds, Series B, (NPFG Insured), 0.000% due 9/1/201 | 731,890 | |
750,000 | Forest Trace, CO, Metropolitan District No. 3, Limited Tax, General Obligation Unlimited, Series A, 5.000% due 12/1/46 | 781,320 | |
1,000,000 | Gardens on Havana, CO, Metropolitan District No. 3, Revenue Bonds, Series A, 4.625% due 12/1/27 | 1,057,790 | |
945,000 | Harmony Technology Park, Metropolitan District No. 2, General Obligation Limited, 4.500% due 12/1/32 | 974,352 | |
500,000 | Hunters Overlook, CO, Metropolitan District No. 5, General Obligation Limited, Series A, 5.000% due 12/1/49 | 529,835 | |
500,000 | Independence Metropolitan District No 3, General Obligation Limited, Series A, 6.250% due 12/1/49 | 523,895 | |
500,000 | Leyden Ranch, Metropolitan District, General Obligation Unlimited, Series A, 5.125% due 12/1/47 | 529,540 | |
750,000 | Leyden Rock, Metropolitan District No. 10, General Obligation Limited, Series A, 5.000% due 12/1/45 | 787,207 | |
500,000 | Midcities Metropolitan District No. 2, CO, Special Revenue, Revenue Bonds, Refunding, Series B, 7.750% due 12/15/46 | 513,705 | |
271,000 | Mountain Shadows, CO, Metropolitan District, General Obligation Limited, 3.250% due 12/1/20 | 272,477 | |
500,000 | Parkside, CO, Centre Business Improvement District, Company Special Revenue, Revenue Bonds, Series A, 6.250% due 12/1/48 | 517,010 | |
500,000 | Serenity Ridge, CO, Metropolitan District No. 2, General Obligation Limited, Refunding, Series A, 5.125% due 12/1/43 | 528,040 | |
750,000 | Solaris, CO, Metropolitan District No. 3, General Obligation Limited, Refunding, Series A, 5.000% due 12/1/36 | 788,895 | |
Southglenn, CO, Metropolitan District, Special Revenue, General Obligation Limited, Refunding: | |||
500,000 | 3.000% due 12/1/21 | 502,185 | |
750,000 | 5.000% due 12/1/30 | 799,357 |
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Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Colorado — (Continued) | |||
Southlands, CO, Metropolitan District No. 1, General Obligation Unlimited, Series A-2: | |||
$215,000 | 3.500% due 12/1/27 | $225,587 | |
325,000 | 5.000% due 12/1/47 | 364,367 | |
500,000 | Tallyns Reach, CO, Metropolitan District No. 3, General Obligation Limited, Series A, 6.750% due 11/1/38 | 515,490 | |
520,000 | Thompson Crossing Metropolitan District No. 4, General Obligation Limited, Refunding, 3.500% due 12/1/29 | 521,752 | |
500,000 | Westcreek Metropolitan District No 2, General Obligation Limited, Series A, 5.375% due 12/1/48 | 517,575 | |
24,555,422 | |||
Connecticut — 1.3% | |||
450,000 | Connecticut State Health & Educational Facilities Authority Revenue, Revenue Bonds, Series A-1, 5.000% due 10/1/392 | 494,500 | |
425,000 | Connecticut State Health & Educational Facilities Authority, Church Home of Hartford, Inc. Project, Revenue Bonds, Series A, 5.000% due 9/1/532 | 460,700 | |
750,000 | Hamden, CT, Facilities Revenue Bonds, Series A, 7.750% due 1/1/43 | 757,665 | |
250,000 | Harbor Point, CT, Infrastructure Improvement District, Special Obligation Revenue, Tax Allocation, Refunding, 5.000% due 4/1/302 | 290,190 | |
800,000 | Mohegan Tribe of Indians, CT, Gaming Authority, Revenue Bonds, Series A, 5.500% due 8/1/262 | 856,816 | |
2,859,871 | |||
District Of Columbia — 1.1% | |||
225,000 | District of Columbia, KIPP DC Obligated Group, Revenue Bonds, Series A, 5.000% due 7/1/27 | 272,270 | |
5,415,000 | District of Columbia, Tobacco Settlement Financing Corp., Revenue Bonds, Series A, 0.000% due 6/15/461 | 1,029,013 | |
2,000,000 | Metropolitan Washington, DC, Airports Authority Dulles Toll Road Revenue, Revenue Bonds, Series B, (AGMC Insured), 0.000% due 10/1/401 | 1,029,760 | |
2,331,043 | |||
Florida — 6.0% | |||
Atlantic, FL, Beach Floating Healthcare Facilities, Revenue Bonds, Series A: | |||
505,000 | 5.000% due 11/15/33 | 586,901 | |
250,000 | 5.000% due 11/15/53 | 282,275 | |
250,000 | Capital Trust Agency, FL, Educational Facilities Revenue, Advantage Academy of Hillsborough Projects, Revenue Bonds, Series A, 4.000% due 12/15/24 | 265,173 | |
160,000 | Capital Trust Agency, FL, Educational Facilities Revenue, Viera Charter School, Inc. Project, Revenue Bonds, Series A, 5.000% due 10/15/372 | 171,925 | |
150,000 | Collier County, FL, Health Facilities Authority, Residential Care Facility Revenue, Refunding, Series A, 3.000% due 5/1/20 | 151,290 | |
200,000 | Florida Development Finance Corp., Healthcare Facilities Revenue, University of Florida Health Project, Series A, 6.000% due 2/1/33 | 221,886 | |
200,000 | Florida State Higher Educational Facilities Financial Authority, Jacksonville University Project, Revenue Bonds, Series A-1, 5.000% due 6/1/482 | 222,836 | |
1,375,000 | Florida State Housing Finance Corp., Revenue Bonds, Series 1 (GNMA/FNMA/FHLMC Insured), 4.000% due 7/1/49 | 1,490,747 | |
1,500,000 | Gainesville, FL, Utilities Systems Revenue, Revenue Bonds, Refunding, Series C, 1.300% due 10/1/47 | 1,500,000 |
174 |
Table of Contents
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Florida — (Continued) | |||
$250,000 | Jacksonville, FL, Educational Facilities Revenue, Jacksonville University Project, Revenue Bonds, Series B, 5.000% due 6/1/532 | $276,590 | |
300,000 | Lakewood Ranch, FL, Stewardship District, Special Assessment Revenue, 5.375% due 5/1/47 | 328,506 | |
325,000 | Lee County, FL, Industrial Development Authority, Shell Point/Waterside Health Project, Revenue Bonds, 5.000% due 11/15/39 | 377,627 | |
500,000 | Miami, FL, World Center Community Development District, Special Assessment, 5.125% due 11/1/39 | 547,440 | |
1,250,000 | North Broward, FL, Hospital District, Revenue Bonds, Refunding, Series B, 5.000% due 1/1/48 | 1,413,775 | |
750,000 | Orange County, FL, Health Facilities Authority Revenue, 5.000% due 8/1/40 | 838,402 | |
1,000,000 | Orange County, FL, Health Facilities Authority, Revenue Bonds, Refunding, 5.000% due 8/1/41 | 1,104,350 | |
Palm Beach County, FL, Health Facilities Authority, Lifespace Communities, Revenue Bonds, Refunding, Series C: | |||
295,000 | 5.000% due 5/15/20 | 299,788 | |
55,000 | 5.000% due 5/15/25 | 63,003 | |
550,000 | Sarasota County, FL, Health Facilities Authority, Retirement Facilities Revenue, Revenue Bonds, Series A, 5.000% due 1/1/37 | 606,804 | |
Southeast Overtown Park West Community Redevelopment Agency, FL, Series A-1: | |||
325,000 | 5.000% due 3/1/202 | 328,773 | |
500,000 | 5.000% due 3/1/302 | 559,830 | |
180,000 | Town Center at Palm Coast, FL, Community Development District, Special Assessment, 6.000% due 5/1/36 | 180,724 | |
Winter Garden Village at Fowler Groves, FL, Community Development District, Special Assessment, Refunding: | |||
500,000 | 3.750% due 5/1/31 | 512,170 | |
500,000 | 4.125% due 5/1/37 | 512,745 | |
12,843,560 | |||
Georgia — 0.9% | |||
250,000 | Burke County, GA, Development Authority, Pollution Control Revenue, Revenue Bonds, Series REMK, 1.650% due 11/1/48 | 250,118 | |
500,000 | DeKalb County, GA, Hospital Authority, DeKalb Medical Center, Inc. Project, Revenue Bonds, Prerefunded 9/1/20 @ 100, 6.000% due 9/1/30 | 519,420 | |
375,000 | DeKalb County, GA, Housing Authority, Senior Living Revenue, Revenue Bonds, Refunding, Series A, 5.250% due 1/1/542 | 363,401 | |
200,000 | Georgia State, Municipal Electric Authority, Revenue Bonds, Series A, 5.000% due 7/1/60 | 218,714 | |
200,000 | Georgia State, Municipal Electric Authority, Revenue Bonds, Series B, 5.000% due 1/1/59 | 227,608 | |
340,000 | Macon-Bibb County, GA, Urban Development Authority, Revenue Bonds, 5.750% due 6/15/372 | 350,751 | |
1,930,012 | |||
Idaho — 0.6% | |||
500,000 | Idaho Health Facilities Authority, Revenue Bonds, Series A, 4.750% due 7/1/442 | 533,855 | |
250,000 | Idaho State, Health Facilities Authority Revenue, Kootenai Health Project, Revenue Bonds, Series A, 4.375% due 7/1/342 | 267,345 | |
365,000 | Idaho State, Housing and Finance Association, Nonprofit Facilities Revenue, Compass Charter School Project, Revenue Bonds, Series A, 6.000% due 7/1/392 | 424,634 | |
1,225,834 |
175 |
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Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Illinois — 15.3% | |||
$250,000 | Bolingbrook, IL, Special Service Area No 1, Special Tax, Refunding, 5.250% due 3/1/41 | $262,530 | |
Chicago, IL, Board of Education, General Obligation Unlimited, Series A: | |||
750,000 | 5.000% due 12/1/41 | 777,870 | |
400,000 | 7.000% due 12/1/462 | 508,880 | |
Chicago, IL, Board of Education, General Obligation Unlimited, Series A, (NPFG Insured): | |||
140,000 | 5.250% due 12/1/19 | 140,377 | |
400,000 | 0.000% due 12/1/251 | 341,480 | |
600,000 | Chicago, IL, Board of Education, General Obligation Unlimited, Series B, 7.000% due 12/1/422 | 766,800 | |
Chicago, IL, Board of Education, General Obligation Unlimited, Series B-1 (NPFG Insured): | |||
350,000 | 0.000% due 12/1/191 | 349,380 | |
150,000 | 0.000% due 12/1/201 | 146,220 | |
1,030,000 | Chicago, IL, Board of Education, General Obligation Unlimited, Series B1, (NPFG Insured), 0.000% due 12/1/311 | 700,936 | |
640,000 | Chicago, IL, Board of Education, General Obligation Unlimited, Series C, 5.250% due 12/1/39 | 703,072 | |
500,000 | Chicago, IL, Board of Education, General Obligation Unlimited, Series H, 5.000% due 12/1/46 | 557,170 | |
600,000 | Chicago, IL, General Obligation Unlimited, (NPFG Insured), 0.000% due 1/1/311 | 424,410 | |
Chicago, IL, General Obligation Unlimited, Refunding, Series A: | |||
250,000 | 5.750% due 1/1/33 | 294,767 | |
1,000,000 | 6.000% due 1/1/38 | 1,185,990 | |
250,000 | Chicago, IL, General Obligation Unlimited, Refunding, Series C, 5.000% due 1/1/24 | 274,495 | |
Chicago, IL, General Obligation Unlimited, Series C: | |||
410,000 | 0.000% due 1/1/311 | 276,951 | |
105,000 | 5.000% due 1/1/34 | 105,251 | |
250,000 | Chicago, IL, Transitional Authority, Sales Tax Receipts Revenue Bonds, 5.000% due 12/1/51 | 280,750 | |
305,000 | Chicago, IL, Wastewater Transmission Revenue, Revenue Bonds, Refunding, (NPFG Insured), 5.500% due 1/1/30 | 379,579 | |
200,000 | Chicago, IL, Waterworks Revenue, Revenue Bonds, 5.000% due 11/1/24 | 218,824 | |
500,000 | Cook County, IL, Community College District No. 508, General Obligation Unlimited, 5.250% due 12/1/43 | 530,900 | |
400,000 | Illinois State Finance Authority, Christian Homes, Inc., Revenue Bonds, 5.000% due 5/15/36 | 430,400 | |
150,000 | Illinois State Finance Authority, Presbyterian Homes, Revenue Bonds, Series B, (1M USD LIBOR * 0.70 + 1.35%), 2.772% due 5/1/363 | 150,320 | |
350,000 | Illinois State Finance Authority, Revenue Bonds, 4.000% due 7/1/35 | 385,171 | |
255,000 | Illinois State Finance Authority, Revenue Bonds, Refunding, 3.000% due 5/15/20 | 255,854 | |
150,000 | Illinois State Finance Authority, Revenue Bonds, Refunding, Lifespace Communities Project, Series A, 5.000% due 5/15/22 | 161,009 | |
Illinois State Finance Authority, Revenue Bonds, Refunding, Series A: | |||
300,000 | 5.000% due 7/1/35 | 348,057 | |
250,000 | 5.000% due 8/15/37 | 284,652 | |
Illinois State Finance Authority, Revenue Bonds, Refunding, Series C: | |||
1,000,000 | 5.000% due 2/15/31 | 1,214,220 | |
1,000,000 | 4.125% due 8/15/37 | 1,049,770 | |
500,000 | Illinois State Finance Authority, Silver Cross Hospital & Medical Center, Revenue Bonds, Series C, 5.000% due 8/15/44 | 558,990 |
176 |
Table of Contents
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Illinois — (Continued) | |||
Illinois State Finance Authority, Student Housing Revenue, Dekalb II Northern Illinois, Revenue Bonds: | |||
$395,000 | 5.750% due 10/1/21 | $412,969 | |
250,000 | 6.875% due 10/1/43 | 264,625 | |
500,000 | Illinois State Finance Authority, Student Housing Revenue, Northern Illinois University Project, Revenue Bonds, 6.000% due 10/1/24 | 525,700 | |
Illinois State Finance Authority, Student Housing Revenue, Northern Illinois University Project, Revenue Bonds, Series A: | |||
250,000 | 5.000% due 7/1/35 | 250,375 | |
500,000 | 5.000% due 7/1/47 | 480,425 | |
500,000 | Illinois State Finance Authority, Swedish Covenant Hospital, Revenue Bonds, Refunding, Series A, 5.000% due 8/15/34 | 573,795 | |
490,000 | Illinois State Housing Development Authority, Revenue Bonds, Refunding, Series A, 4.250% due 10/1/49 | 540,455 | |
695,000 | Illinois State Housing Development Authority, Revenue Bonds, Refunding, Series C, 3.500% due 8/1/46 | 733,642 | |
475,000 | Illinois State Sports Facilities Authority, Revenue Bonds, Refunding, 5.000% due 6/15/24 | 532,019 | |
250,000 | Illinois State Sports Facilities Authority, Revenue Bonds, Refunding, (BAM Insured), 5.000% due 6/15/30 | 304,715 | |
Illinois State Sports Facilities Authority, State Tax Supported, Capital Apprec, Revenue Bonds, (AMBAC Insured): | |||
500,000 | 0.000% due 6/15/231 | 461,620 | |
415,000 | 0.000% due 6/15/261 | 350,521 | |
500,000 | Illinois State University, Revenue Bonds, (AGMC Insured), 5.000% due 4/1/24 | 562,530 | |
320,000 | Illinois State, Finance Authority, Charter School Revenue, Refunding and Improvement, Chicago International Charter School Project, Revenue Bonds, 5.000% due 12/1/47 | 352,477 | |
Illinois State, General Obligation Unlimited: | |||
500,000 | 5.000% due 1/1/30 | 557,350 | |
1,000,000 | 5.000% due 2/1/39 | 1,071,770 | |
200,000 | 5.000% due 1/1/41 | 218,470 | |
500,000 | Illinois State, General Obligation Unlimited, Series A, 5.000% due 5/1/20 | 507,350 | |
1,000,000 | Illinois State, General Obligation Unlimited, Series B, 5.000% due 11/1/19 | 1,000,000 | |
1,250,000 | Illinois State, General Obligation Unlimited, Series C, 5.000% due 11/1/29 | 1,417,300 | |
1,000,000 | Illinois State, General Obligation Unlimited, Series D, 5.000% due 11/1/28 | 1,143,920 | |
200,000 | Illinois State, Toll Highway Authority, Revenue Bonds, Refunding, Series A, 4.500% due 12/1/20 | 207,092 | |
250,000 | Metropolitan Pier & Exposition Authority, IL, Dedicated State Tax Revenue, Revenue Bonds, Refunding (BAM, NPFG Insured), 0.000% due 6/15/281 | 203,125 | |
1,000,000 | Metropolitan Pier & Exposition Authority, IL, Dedicated State Tax Revenue, Revenue Bonds, Series A, (NPFG Insured), 0.000% due 6/15/361 | 579,700 | |
500,000 | Metropolitan Pier & Exposition Authority, IL, Dedicated State Tax Revenue, Revenue Bonds, Series B, (AGMC Insured), 0.000% due 6/15/271 | 416,885 | |
2,000,000 | Metropolitan Pier & Exposition Authority, IL, Dedicated State Tax, Revenue Bonds, Series A, (AGMC Insured MBIA), 0.000% due 12/15/291 | 1,522,460 | |
500,000 | Metropolitan Pier & Exposition Authority, IL, McCormick Place Expansion Project, Revenue Bonds, Series B, 5.000% due 12/15/40 | 545,640 |
177 |
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Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Illinois — (Continued) | |||
$250,000 | Southern Illinois State University, Housing & Auxiliary Facilities System, Revenue Bonds, Series A, (NPFG Insured), 0.000% due 4/1/221 | $236,395 | |
500,000 | Southern Illinois State University, Housing & Auxiliary Facilities System, Revenue Bonds, Series B1, 5.000% due 4/1/22 | 525,670 | |
1,000,000 | University of Illinois, Auxiliary Facilities, Revenue Bonds, Series A, (AGMC Insured), 4.000% due 4/1/36 | 1,096,280 | |
500,000 | Volo Village, IL, Special Service Area No. 3 & 6, Special Tax, Symphony Meadows/Lancaster Falls Project, (AGMC Insured), 2.875% due 3/1/25 | 516,965 | |
497,000 | Yorkville, IL, United City Special Service, Special Tax, (AGMC Insured), 3.000% due 3/1/25 | 517,223 | |
250,000 | Yorkville, IL, United City Special Service, Special Tax, Refunding, (AGMC Insured), 4.000% due 3/1/36 | 264,025 | |
32,958,563 | |||
Indiana — 1.4% | |||
Indiana Finance Authority, Midwestern Disaster Relief Revenue, Revenue Bonds, Ohio Valley Electric Corp. Project, Series A: | |||
750,000 | 5.000% due 6/1/32 | 784,695 | |
300,000 | 5.000% due 6/1/39 | 313,635 | |
Indiana State Finance Authority, Greencroft Obligated Group, Revenue Bonds, Series A: | |||
345,000 | 5.750% due 11/15/28 | 383,533 | |
195,000 | 6.500% due 11/15/33 | 220,884 | |
600,000 | Indiana State Finance Authority, Revenue Bonds, Series A, 5.000% due 11/15/38 | 684,012 | |
Knox County, IN, Economic Development Authority, Revenue Bonds, Refunding, Series A: | |||
300,000 | 5.000% due 4/1/23 | 317,568 | |
350,000 | 5.000% due 4/1/28 | 368,519 | |
3,072,846 | |||
Iowa — 1.5% | |||
150,000 | Iowa State, Finance Authority, Midwestern Disaster Area Revenue, Iowa Fertilizer Co. LLC Project, Revenue Bonds, 5.250% due 12/1/25 | 163,212 | |
145,000 | Iowa State, Finance Authority, Midwestern Disaster Area Revenue, Lowa Fertilizer Co. LLC Project, Revenue Bonds, Refunding, 5.000% due 12/1/19 | 145,297 | |
525,000 | Iowa State, Finance Authority, Midwestern Disaster Relief Revenue, Iowa Fertilizer Co. LLC Project, Revenue Bonds, Refunding, Series A, 5.250% due 12/1/504 | 560,753 | |
750,000 | Iowa State, Finance Authority, Midwestern Disaster Relief Revenue, Iowa Fertilizer Co. LLC Project, Revenue Bonds, Refunding, Series B, 5.250% due 12/1/504 | 812,122 | |
250,000 | Iowa State, Finance Authority, Senior Housing Revenue, Revenue Bonds, Series A, 5.000% due 3/1/33 | 275,750 | |
Tobacco Settlement Authority, IA, Revenue Bonds, Series C: | |||
690,000 | 5.375% due 6/1/38 | 690,124 | |
500,000 | 5.625% due 6/1/46 | 500,085 | |
3,147,343 | |||
Kansas — 0.2% | |||
115,000 | Wichita, KS, Sales Tax, Special Obligation Revenue, Revenue Bonds, Refunding, 3.000% due 9/1/23 | 117,030 | |
150,000 | Wyandotte County, Kansas City Unified Government, Revenue Bonds, 5.000% due 12/1/34 | 155,914 |
178 |
Table of Contents
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Kansas — (Continued) | |||
$70,000 | Wyandotte County, KS, Kansas City Unified Government, Wyandotte Plaza Project, Revenue Bonds, 4.000% due 12/1/28 | $72,404 | |
345,348 | |||
Kentucky — 0.8% | |||
305,000 | Ashland, KY, Medical Center Revenue, Revenue Bonds, Refunding, Series A, 4.000% due 2/1/32 | 315,016 | |
785,000 | Kentucky Public Transportation Infrastructure Authority, Toll Revenue, Downtown Crossing Project, Revenue Bonds, Series B, 0.000% due 7/1/211 | 753,435 | |
100,000 | Kentucky Public Transportation Infrastructure Authority, Toll Revenue, Downtown Crossing Project, Series A, 6.000% due 7/1/53 | 113,095 | |
250,000 | Kentucky, KY, Economic Development Finance Authority, Healthcare Revenue, Revenue Bonds, Refunding, 5.750% due 11/15/45 | 267,975 | |
170,000 | Louisville & Jefferson County, KY, Metropolitan Government Healthcare System, Revenue Bonds, Refunding, Series A, 5.000% due 10/1/31 | 202,678 | |
1,652,199 | |||
Louisiana — 0.6% | |||
250,000 | Calcasieu Parish, LA, Memorial Hospital Service District Hospital Revenue, Lake Charles Memorial Hospital Project, Revenue Bonds, Refunding, 5.000% due 12/1/34 | 298,943 | |
890,000 | Juban Crossing Economic Development District, LA, Revenue Bonds, Refunding, Series C, 7.000% due 9/15/442 | 908,645 | |
1,207,588 | |||
Maine — 0.2% | |||
440,000 | Maine Health & Higher Educational Facilities Authority, Revenue Bonds, 5.000% due 7/1/43 | 472,388 | |
Maryland — 1.7% | |||
1,125,000 | Baltimore, MD, Special Obligation, Revenue Bonds, Refunding, Series A, 5.000% due 9/1/38 | 1,245,262 | |
150,000 | Brunswick, MD, Special Obligation, Special Tax, Refunding, 5.000% due 7/1/365 | 167,579 | |
250,000 | Howard County, MD, Special Obligation, Revenue Bonds, Series A, 4.125% due 2/15/342 | 264,075 | |
425,000 | Maryland State, Community Development Administration, Department Housing & Community Development, Revenue Bonds, Refunding, Series A, 4.500% due 9/1/48 | 471,100 | |
100,000 | Maryland State, Economic Development Corp., Special Obligation, Metro Centre Owings Mills Project, Tax Allocation, 3.750% due 7/1/27 | 104,337 | |
250,000 | Maryland State, Economic Development Corp., Special Obligation, Tax Allocation, 4.500% due 7/1/44 | 262,627 | |
500,000 | Prince George’s County, MD, Revenue Authority, Suitland-Naylor Road Project, 5.000% due 7/1/462 | 534,125 | |
500,000 | Prince George’s County, MD, Special Obligation, PGC Hampton Park Project, Revenue Bonds, Series A, 4.375% due 7/1/482 | 520,640 | |
3,569,745 | |||
Michigan — 2.5% | |||
385,000 | Dearborn, MI, Economic Development Corp., Revenue Bonds, 7.500% due 11/15/442 | 376,491 | |
250,000 | Detroit, MI, General Obligation Unlimited, 5.000% due 4/1/34 | 279,658 |
179 |
Table of Contents
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Michigan — (Continued) | |||
$280,000 | Flint, MI, Hospital Building Authority Rental, Revenue Bonds, Series A, 5.250% due 7/1/39 | $296,377 | |
600,000 | Grand Rapids, MI, Economic Development Corp., Beacon Hill Eastgate Project, Revenue Bonds, Refunding, Series A, 5.000% due 11/1/37 | 647,088 | |
Kentwood, MI, Economic Development Corp., Revenue Bonds, Refunding: | |||
50,000 | 4.500% due 11/15/21 | 52,234 | |
65,000 | 4.750% due 11/15/22 | 68,871 | |
250,000 | 5.000% due 11/15/37 | 277,505 | |
250,000 | 5.625% due 11/15/41 | 267,665 | |
2,395,000 | Michigan State Housing Development Authority, Safe Mortgage Revenue, Revenue Bonds, Series C, 4.250% due 6/1/49 | 2,623,100 | |
250,000 | Michigan State Strategic Fund, Limited Obligation Revenue, Revenue Bonds, Refunding, 5.000% due 11/15/29 | 290,352 | |
200,000 | Michigan State Strategic Fund, Limited Obligation Revenue, Revenue Bonds, Refunding, Series CC, 1.450% due 9/1/30 | 199,498 | |
5,378,839 | |||
Minnesota — 0.1% | |||
240,000 | St. Paul, MN, Housing & Redevelopment Authority, Charter School Lease Revenue, Revenue Bonds, Series A, 5.500% due 7/1/382 | 260,402 | |
Mississippi — 0.9% | |||
2,000,000 | Mississippi State Business Finance Commission, Gulf Opportunity Zone, Revenue Bonds, Series F, 1.260% due 12/1/30 | 2,000,000 | |
Missouri — 1.4% | |||
450,000 | Cape Girardeau County, MO, Industrial Development Authority, Southeast Health, Revenue Bonds, Series A, 6.000% due 3/1/33 | 514,962 | |
150,000 | Lees Summit, MO, Special Obligation Tax Increment, Tax Allocation, Refunding, 3.500% due 11/1/232 | 151,701 | |
500,000 | Maryland Heights, MO, Industrial Development Authority, State Louis Community ICE Center Project, Revenue Bonds, Series A, 4.375% due 3/15/30 | 530,595 | |
100,000 | Missouri State Health & Educational Facilities Authority, Lutheran Senior Services, Revenue Bonds, 5.000% due 2/1/25 | 112,427 | |
125,000 | Missouri State Health & Educational Facilities Authority, Revenue Bonds, 5.000% due 2/1/26 | 140,105 | |
Missouri State Health & Educational Facilities Authority, Revenue Bonds, Series A: | |||
100,000 | 5.000% due 2/1/28 | 116,776 | |
250,000 | 5.000% due 2/1/42 | 281,365 | |
355,000 | St. Louis County, MO, Industrial Development Authority, Senior Living Facilities, Revenue Bonds, Refunding, 5.000% due 9/1/32 | 407,913 | |
500,000 | St. Louis County, MO, Industrial Development Authority, Senior Living Facilities, Revenue Bonds, Series A, 5.250% due 9/1/53 | 565,090 | |
150,000 | St. Louis County, MO, Industrial Development Authority, Senior Living Revenue, Revenue Bonds, Refunding, 5.000% due 9/1/48 | 167,892 | |
2,988,826 | |||
Nebraska — 0.1% | |||
295,000 | Nebraska State, Investment Finance Authority, Safe Housing Revenue, Revenue Bonds, Series C, 4.000% due 9/1/48 | 319,712 | |
Nevada — 1.1% | |||
500,000 | Clark County, NV, Pollution Control Revenue, Revenue Bonds, Refunding, Series A, 1.875% due 6/1/316 | 500,345 |
180 |
Table of Contents
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Nevada — (Continued) | |||
$335,000 | Department of Business & Industry, NV, Revenue Bonds, Series A, 5.000% due 7/15/272 | $371,686 | |
Las Vegas, NV, Sales Tax Increment Revenue: | |||
100,000 | 2.750% due 6/15/212 | 100,140 | |
385,000 | 3.500% due 6/15/252 | 383,048 | |
500,000 | Nevada State, Department of Business and Industry, Revenue Bonds, Series A, 5.000% due 12/15/482 | 537,520 | |
400,000 | North Las Vegas, NV, Local Improvement, Special Assessment, 4.625% due 6/1/49 | 420,988 | |
2,313,727 | |||
New Hampshire — 0.0% | |||
100,000 | New Hampshire State, National Finance Authority, Revenue Bonds, Series A, 5.750% due 7/1/542 | 110,206 | |
New Jersey — 8.2% | |||
250,000 | Casino Reinvestment Development Authority, NJ, Luxury Tax Revenue, Refunding, (AGMC Insured), 5.000% due 11/1/24 | 286,015 | |
500,000 | New Jersey Economic Development Authority, Revenue Bonds, Refunding, Series K, (AMBAC Insured), 5.500% due 12/15/19 | 502,260 | |
1,085,000 | New Jersey State Economic Development Authority Revenue, Refunding, School Facilities Construction, Revenue Bonds, Series NN, 5.000% due 3/1/24 | 1,194,042 | |
1,000,000 | New Jersey State Economic Development Authority Revenue, Revenue Bonds, Refunding, (AGMC Insured), 5.000% due 6/1/29 | 1,207,830 | |
175,000 | New Jersey State Economic Development Authority School Revenue, Beloved Community Chart School, Inc. Project, Revenue Bonds, Series A, 5.000% due 6/15/492 | 187,702 | |
345,000 | New Jersey State Economic Development Authority School Revenue, Foundation Academy Charter School Project, Revenue Bonds, Series A, 5.000% due 7/1/38 | 395,722 | |
500,000 | New Jersey State Economic Development Authority, Revenue Bonds, Refunding, Series I, (SIFMA MUNI SWAP INDEX + 1.60%), 2.720% due 3/1/283 | 501,750 | |
2,500,000 | New Jersey State Economic Development Authority, Revenue Bonds, Refunding, Series XX, 5.000% due 6/15/25 | 2,890,000 | |
New Jersey State Economic Development Authority, Revenue Bonds, Series A: | |||
250,000 | 5.000% due 1/1/24 | 275,330 | |
600,000 | 5.000% due 7/1/32 | 678,852 | |
970,000 | New Jersey State Housing and Mortgage Finance Agency, Revenue Bonds, Refunding, Series C, 4.750% due 10/1/50 | 1,090,561 | |
250,000 | New Jersey State Transportation Trust Fund Authority, Refunding, FED Highway Reimbursement, Revenue Bonds, Series A, 5.000% due 6/15/23 | 279,798 | |
New Jersey State Transportation Trust Fund Authority, Revenue Bonds, Series A: | |||
1,000,000 | 0.000% due 12/15/351 | 605,210 | |
1,300,000 | 0.000% due 12/15/391 | 645,021 | |
1,000,000 | New Jersey State Transportation Trust Fund Authority, Revenue Bonds, Series A, (BAM Insured), 0.000% due 12/15/271 | 828,000 | |
1,000,000 | New Jersey State Transportation Trust Fund Authority, Revenue Bonds, Series B, (NPFG Insured), 5.500% due 12/15/21 | 1,084,230 | |
1,195,000 | New Jersey State Transportation Trust Fund Authority, Revenue Bonds, Series B-4, 5.250% due 12/15/19 | 1,200,067 | |
1,000,000 | New Jersey State Transportation Trust Fund Authority, Revenue Bonds, Series C, (AGMC Insured), 0.000% due 12/15/341 | 661,580 | |
500,000 | New Jersey State Transportation Trust Fund Authority, Revenue Bonds, Series C, (AMBAC Insured), 0.000% due 12/15/351 | 307,445 |
181 |
Table of Contents
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
New Jersey — (Continued) | |||
$1,000,000 | New Jersey State Transportation Trust Fund Authority, Revenue Bonds, Series C, (NPFG Insured), 0.000% due 12/15/311 | $711,060 | |
95,000 | New Jersey State, Economic Development Authority, Revenue Bonds, Series A, Prerefunded 6/1/20 @ 100, 5.000% due 6/1/21 | 97,122 | |
South Jersey, NJ, Transportation Authority LLC, Revenue Bonds, Refunding, Series A: | |||
200,000 | 5.000% due 11/1/26 | 230,256 | |
750,000 | 5.000% due 11/1/32 | 850,867 | |
250,000 | 5.000% due 11/1/33 | 283,253 | |
500,000 | Tobacco Settlement Financing Corp., NJ, Revenue Bonds, Refunding, Series A, 5.000% due 6/1/29 | 613,895 | |
17,607,868 | |||
New Mexico — 0.4% | |||
645,000 | New Mexico Mortgage Finance Authority, Revenue Bonds, Series A, (GNMA/FNMA/FHLMC Insured), 4.250% due 1/1/50 | 710,848 | |
125,000 | Santa Fe, NM, Retirement Facility Revenue, Revenue Bonds, Series A, 5.000% due 5/15/345 | 141,516 | |
852,364 | |||
New York — 1.4% | |||
500,000 | Glen Cove, NY, Local Economic Assistance Corp., Revenue Bonds, Series C, 0.000% due 1/1/551 | 478,145 | |
500,000 | New York City, NY, Housing Development Corp., Multi-Family Mortgage Revenue, Series E, 3.500% due 2/15/48 | 520,645 | |
500,000 | New York City, NY, Housing Development Corp., Multi-Family Mortgage Revenue, Series F, 4.500% due 2/15/48 | 529,020 | |
700,000 | New York State, Dormitory Authority Revenue, Non State Supported Debt, Refunding, 5.000% due 12/1/322 | 827,120 | |
635,000 | New York State, Mortgage Agency, Homeowner Mortgage, Revenue Bonds, Refunding, Series 195, 4.000% due 10/1/46 | 672,490 | |
3,027,420 | |||
North Carolina — 0.5% | |||
500,000 | North Carolina State Medical Care Commission, Revenue Bonds, 5.000% due 10/1/20 | 512,055 | |
500,000 | North Carolina State, Medical Care Commission, Retirement Facilities Revenue, Revenue Bonds, Series B, 5.000% due 4/1/47 | 537,405 | |
1,049,460 | |||
North Dakota — 0.3% | |||
500,000 | Ward County, ND, Healthcare Facilities Revenue, Revenue Bonds, Series C, 5.000% due 6/1/43 | 566,890 | |
Ohio — 4.5% | |||
450,000 | American Municipal Power, Inc., OH, Combination Hydroelectric Project, Revenue Bonds, Series A, 2.250% due 2/15/486 | 453,803 | |
2,000,000 | American Municipal Power, Inc., OH, Revenue Bonds, Refunding, Series A, 2.300% due 2/15/386 | 2,031,020 | |
1,000,000 | Buckeye Tobacco Settlement Financing Authority, OH, Revenue Bonds, Series A-2, 6.500% due 6/1/47 | 1,022,700 | |
600,000 | Centerville, OH, Healthcare Revenue, Refunding, 5.250% due 11/1/50 | 654,726 | |
1,045,000 | Cuyahoga County, OH, Hospital Revenue, Refunding, 5.500% due 2/15/52 | 1,215,753 | |
250,000 | Franklin County, OH, Health Care Facilities Revenue, Revenue Bonds, Series A, 5.625% due 7/1/26 | 256,520 | |
815,000 | Licking County, OH, Health Care Facilities Authority Revenue, Refunding, Series A, 6.000% due 7/1/50 | 848,162 |
182 |
Table of Contents
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Ohio — (Continued) | |||
$1,000,000 | Lucas County, OH, Hospital Revenue, Promedica Healthcare Obligated Group, Revenue Bonds, Refunding, Series A, 5.250% due 11/15/48 | $1,156,420 | |
500,000 | Ohio State, Air Quality Development Authority, Pollution Control, Revenue Bonds, Refunding, Series C, 5.625% due 6/1/497 | 515,000 | |
Southeastern Ohio Port Authority Hospital Facilities, Revenue Bonds: | |||
690,000 | 5.000% due 12/1/19 | 691,235 | |
300,000 | 5.750% due 12/1/32 | 327,126 | |
500,000 | 6.000% due 12/1/42 | 539,595 | |
9,712,060 | |||
Oklahoma — 0.0% | |||
95,000 | Fort Sill Apache Tribe, OK, Economic Development Authority, Gaming Enterprise Revenue, Series A, 8.500% due 8/25/262 | 104,940 | |
Pennsylvania — 4.5% | |||
500,000 | Allentown , PA, Commercial & Industrial Development Authority, Revenue Bonds, Series A, 6.250% due 7/1/472 | 510,245 | |
125,000 | Chester County, PA, Industrial Development Authority, Revenue Bonds, Refunding, Series A, 5.000% due 12/15/51 | 139,884 | |
500,000 | Chester County, PA, Industrial Development Authority, Special Obligation Revenue, Woodlands at Greystone Project, Revenue Bonds, 5.000% due 3/1/382 | 532,530 | |
Crawford County, PA, Hospital Authority, Revenue Bonds, Refunding, Series A: | |||
400,000 | 6.000% due 6/1/36 | 464,704 | |
250,000 | 6.000% due 6/1/46 | 287,068 | |
1,000,000 | Doylestown, PA, Hospital Authority, Revenue Bonds, Refunding, Series A, 5.000% due 7/1/41 | 1,107,470 | |
175,000 | East Hempfield Township, PA, Industrial Development Authority, Revenue Bonds, Refunding, 5.000% due 12/1/26 | 206,967 | |
200,000 | Franklin County, PA, Industrial Development Authority, Menno-Haven, Inc. Project, Revenue Bonds, Refunding, 5.000% due 12/1/43 | 218,366 | |
445,000 | Montgomery County, PA, Higher Education & Health Authority, Revenue Bonds, Refunding, 5.000% due 12/1/47 | 488,000 | |
Montgomery County, PA, Industrial Development Authority, Health System Revenue, Revenue Bonds, Refunding, Series A: | |||
420,000 | 5.250% due 1/15/27 | 481,286 | |
250,000 | 5.250% due 1/15/46 | 278,513 | |
Montgomery County, PA, Industrial Development Authority, Revenue Bonds, Refunding: | |||
105,000 | 5.000% due 11/15/23 | 113,984 | |
500,000 | 5.000% due 11/15/36 | 581,715 | |
100,000 | 5.000% due 12/1/46 | 110,671 | |
100,000 | Montgomery County, PA, Industrial Development Authority, Waverly Heights, Ltd. Project, Revenue Bonds, Refunding, 5.000% due 12/1/44 | 115,656 | |
530,000 | Pennsylvania State, Higher Educational Facilities Authority Revenue, Revenue Bonds, Prerefunded 10/1/21 @ 100, 6.000% due 10/1/31 | 578,060 | |
500,000 | Pennsylvania State, Higher Educational Facilities Authority, Student Housing Revenue, 5.000% due 7/1/31 | 509,065 | |
545,000 | Pennsylvania State, Higher Educational Facilities Authority, Student Housing Revenue, Refunding, Series A, 5.000% due 7/1/25 | 631,562 | |
2,225,000 | Pennsylvania State, Housing Finance Agency, Revenue Bonds, (GNMA/FNMA/FHLMC Insured), 2.450% due 7/1/22 | 2,263,492 | |
150,000 | Washington County, PA, Redevelopment Authority Revenue, Tax Allocation, Refunding, 5.000% due 7/1/28 | 160,016 | |
9,779,254 |
183 |
Table of Contents
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Puerto Rico — 5.7% | |||
Cofina Class 2 Trust, Revenue Bonds, AMBAC Insured: | |||
$506,143 | 0.000% due 8/1/471 | $133,308 | |
780,046 | 0.000% due 8/1/541 | 141,695 | |
Cofina, PR, Series 2007A Senior, National Custodian Trust, Taxable Trust Unit, Revenue Bonds: | |||
76,023 | Cofina, PR, Series 2007A Senior, National Custodian Trust, Taxable Trust Unit, Revenue Bonds, 0.000% due 8/1/431 | 21,229 | |
69,899 | Cofina, PR, Series 2007A Senior, National Custodian Trust, Taxable Trust Unit, Revenue Bonds, 0.000% due 8/1/441 | 19,519 | |
13,849 | Cofina, PR, Series 2007A Senior, National Custodian Trust, Taxable Trust Unit, Revenue Bonds, 0.000% due 8/1/461 | 3,868 | |
35,000 | Commonwealth of Puerto Rico, General Obligation Unlimited, Refunding, (AGMC Insured), 4.500% due 7/1/23 | 35,100 | |
260,000 | Commonwealth of Puerto Rico, General Obligation Unlimited, Refunding, Series A, (NPFG Insured), 5.500% due 7/1/20 | 264,365 | |
1,635,000 | Puerto Rico Commonwealth Aqueduct & Sewer Authority, Revenue Bonds, Series A, 5.250% due 7/1/42 | 1,710,619 | |
350,000 | Puerto Rico Commonwealth, General Obligation Unlimited, Refunding, Series A, (AGC-ICC Insured), 5.500% due 7/1/29 | 395,489 | |
300,000 | Puerto Rico Commonwealth, General Obligation Unlimited, Refunding, Series A, (AGMC Insured), 5.000% due 7/1/35 | 314,061 | |
500,000 | Puerto Rico Electric Power Authority, Power Revenue, Revenue Bonds, Series XX, 5.250% due 7/1/40 | 380,000 | |
25,000 | Puerto Rico Electric Power Authority, Revenue Bonds, (AGMC Insured), 5.000% due 7/1/27 | 25,635 | |
610,000 | Puerto Rico Electric Power Authority, Revenue Bonds, Refunding, Series DDD, (AGMC Insured), 3.625% due 7/1/23 | 610,043 | |
60,000 | Puerto Rico Electric Power Authority, Revenue Bonds, Refunding, Series SS, (AGMC Insured), 5.000% due 7/1/30 | 61,403 | |
230,000 | Puerto Rico Electric Power Authority, Revenue Bonds, Refunding, Series UU (AGMC Insured), 5.000% due 7/1/20 | 232,794 | |
500,000 | Puerto Rico Electric Power Authority, Revenue Bonds, Refunding, Series UU, (AGMC Insured), (3M USD LIBOR * 0.67 + 0.52%), 1.926% due 7/1/293 | 493,750 | |
300,000 | Puerto Rico Electric Power Authority, Revenue Bonds, Series NN, (NPFG Insured), 4.750% due 7/1/33 | 300,378 | |
505,000 | Puerto Rico Electric Power Authority, Revenue Bonds, Series RR, (AGC Insured), 5.000% due 7/1/28 | 517,766 | |
10,000 | Puerto Rico Highway and Transportation Authority, Revenue Bonds, (AMBAC Insured), 0.000% due 7/1/251 | 7,896 | |
750,000 | Puerto Rico Highway and Transportation Authority, Revenue Bonds, Refunding, Series N, (AMBAC Insured), 2.931% due 7/1/28 | 693,750 | |
800,000 | Puerto Rico Industrial Tourist Educational Medical & Environmental Control Facilities Financing Authority, Auxilio Muto, Revenue Bonds, Series A, 6.000% due 7/1/33 | 836,072 | |
250,000 | Puerto Rico Industrial Tourist Educational Medical & Environmental Control Facilities Financing Authority, International American University Project, Revenue Bonds, 5.000% due 10/1/31 | 261,360 | |
430,000 | Puerto Rico Industrial Tourist Educational Medical & Environmental Control Facilities Financing Authority, International American University Project, Revenue Bonds, (NPFG Insured), 4.500% due 10/1/29 | 430,632 | |
100,000 | Puerto Rico Industrial Tourist Educational Medical & Environmental Control Facilities Financing Authority, Refunding, ANA G Mendez University Project, Revenue Bonds, 5.500% due 12/1/31 | 99,815 | |
500,000 | Puerto Rico Industrial Tourist Educational Medical & Environmental Control Facilities Financing Authority, Revenue Bonds, 5.000% due 3/1/36 | 498,885 |
184 |
Table of Contents
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Puerto Rico — (Continued) | |||
$500,000 | Puerto Rico Industrial Tourist Educational Medical & Environmental Control Facilities Financing Authority, Revenue Bonds, Refunding, 5.000% due 10/1/20 | $508,115 | |
540,000 | Puerto Rico Infrastructure Financing Authority, Special Tax Revenue,Revenue Bonds, Series A (AMBAC Insured), 0.000% due 7/1/371 | 220,811 | |
9,070 | Puerto Rico Public Buildings Authority, Revenue Bonds, Refunding, Series L, (NPFG Insured), 5.500% due 7/1/21 | 9,308 | |
Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, Revenue Bonds, Series A-1: | |||
8,000 | 0.000% due 7/1/241 | 7,010 | |
15,000 | 0.000% due 7/1/271 | 11,999 | |
14,000 | 0.000% due 7/1/291 | 10,449 | |
18,000 | 0.000% due 7/1/311 | 12,502 | |
21,000 | 0.000% due 7/1/331 | 13,205 | |
2,000,000 | 5.000% due 7/1/58 | 2,099,600 | |
500,000 | Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, Revenue Bonds, Series A-2, 4.784% due 7/1/58 | 515,115 | |
50,000 | University of Puerto Rico, Revenue Bonds, Refunding, Series P, 5.000% due 6/1/20 | 49,938 | |
185,000 | University of Puerto Rico, Revenue Bonds, Refunding, Series P, (NPFG Insured), 5.000% due 6/1/25 | 189,457 | |
University of Puerto Rico, Revenue Bonds, Series Q: | |||
100,000 | 5.000% due 6/1/25 | 99,375 | |
150,000 | 5.000% due 6/1/36 | 148,688 | |
12,385,004 | |||
Rhode Island — 1.4% | |||
Rhode Island Health & Educational Building Corp., Revenue Bonds, Refunding, Series B: | |||
900,000 | 5.000% due 9/1/31 | 1,029,240 | |
750,000 | 5.000% due 9/1/36 | 848,527 | |
600,000 | Rhode Island State, Housing and Mortgage Finance Corp., Revenue Bonds, Series 69-B, (GNMA/FNMA/FHLMC Insured), 4.000% due 10/1/48 | 651,936 | |
4,000,000 | Tobacco Settlement Financing Corp., RI, Revenue Bonds, Series A, 0.000% due 6/1/521 | 532,320 | |
3,062,023 | |||
South Carolina — 2.3% | |||
1,786,324 | Connector 2000 Association, Inc., Revenue Bonds, Series A-1, 0.000% due 1/1/421 | 387,311 | |
500,000 | Connector 2000 Association, Inc., SC, Toll Road Revenue, Series A-1, 0.000% due 1/1/321 | 227,840 | |
370,000 | South Carolina State, Housing Finance & Development Authority, Revenue Bonds, (GNMA / FNMA / FHLMC / FHA Insured), 4.000% due 7/1/36 | 394,894 | |
South Carolina State, Jobs-Economic Development Authority, Health Facilities Revenue, Revenue Bonds, Refunding: | |||
410,000 | 5.000% due 10/1/362 | 459,995 | |
1,090,000 | 5.000% due 10/1/412 | 1,209,290 | |
800,000 | South Carolina State, Jobs-Economic Development Authority, Residential Facilities Revenue, Revenue Bonds, Refunding, 5.000% due 4/1/47 | 867,760 | |
200,000 | South Carolina State, Public Service Authority, Revenue Bonds, Refunding, Series A, 5.000% due 12/1/33 | 236,162 | |
South Carolina State, Public Service Authority, Revenue Bonds, Refunding, Series B: | |||
500,000 | 5.000% due 12/1/37 | 590,935 | |
500,000 | 2.250% due 12/1/51 | 482,845 |
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Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
South Carolina — (Continued) | |||
$5,000 | South Carolina State, Public Service Authority, Revenue Bonds, Series E, 5.250% due 12/1/55 | $5,769 | |
4,862,801 | |||
Texas — 4.8% | |||
645,000 | Arlington, TX, Higher Education Finance Corp., Revenue Bonds, Refunding, Series A, 5.000% due 12/1/51 | 716,530 | |
455,000 | Arlington, TX, Higher Education Finance Corp., Revenue Bonds, Refunding, Uplift Education, Series A, 2.750% due 12/1/26 | 461,261 | |
250,000 | Brazoria County, TX, Health Facilities Development Corp., Revenue Bonds, Prerefunded 7/1/22 @ 100, 5.250% due 7/1/32 | 275,233 | |
360,000 | Fort Bend County, TX, Industrial Development Corp., NRG Energy, Inc., Revenue Bonds, Series A, 4.750% due 5/1/38 | 379,667 | |
250,000 | Gregg County, TX, Health Facilities Development Corp., Revenue Bonds, Series C, Prerefunded 7/1/22 @ 100, 5.000% due 7/1/32 | 274,295 | |
1,510,000 | Harris County, TX, Cultural Education Facilities Finance Corp., Brazos Presbyterian Homes Project, Revenue Bonds, Refunding, 5.000% due 1/1/48 | 1,644,224 | |
150,000 | Harris County, TX, Cultural Education Facilities Finance Corp., Revenue Bonds, Series A, 5.000% due 1/1/43 | 157,583 | |
505,000 | Harrison County, TX, Health Facilities Development Corp., Good Shepard Health System, Revenue Bonds, Prerefunded 7/1/20 @ 100, 5.250% due 7/1/28 | 518,226 | |
250,000 | New Hope Cultural Education Facilities Corp., TX, Housing Revenue, Tarleton State University Project, Revenue Bonds, Series A, 5.000% due 4/1/47 | 270,125 | |
New Hope Cultural Education Facilities Corp., TX, Revenue Bonds, Series A: | |||
500,000 | 5.000% due 4/1/29 | 546,735 | |
600,000 | 5.000% due 4/1/30 | 664,620 | |
950,000 | New Hope Cultural Education Facilities Finance Corp., TX, Retirement Facilities Revenue, Revenue Bonds, Refunding, 5.000% due 11/15/36 | 1,035,300 | |
500,000 | New Hope Cultural Education Facilities Finance Corp., TX, Student Housing Revenue Bonds, Series A, 5.000% due 4/1/42 | 530,120 | |
Newark Higher Education Finance Corp., TX, Education Revenue, Revenue Bonds: | |||
300,000 | 5.000% due 6/15/33 | 310,833 | |
500,000 | 5.000% due 6/15/38 | 515,280 | |
230,000 | Newark Higher Education Finance Corp., TX, Education Revenue, Revenue Bonds, Series A, 5.000% due 6/15/37 | 237,259 | |
Tarrant County, TX, Cultural Education Facilities Finance Corp., Retirement Facilities, Revenue Bonds, Refunding: | |||
150,000 | 5.000% due 11/15/35 | 161,628 | |
500,000 | 5.000% due 5/15/45 | 539,270 | |
400,000 | 5.250% due 11/15/47 | 425,012 | |
200,000 | Texas State, Department of Housing and Community Affairs, Revenue Bonds, Series A, (GNMA Insured), 4.750% due 3/1/49 | 222,806 | |
350,000 | Wood County, TX, Central Hospital District, East Texas Medical Center, Revenue Bonds, Prerefunded 11/1/21 @ 100, 6.000% due 11/1/41 | 380,572 | |
10,266,579 | |||
Utah — 0.2% | |||
500,000 | Hideout Local District No. 1, UT, Special Assessment, 6.750% due 8/1/372 | 518,040 |
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Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Virginia — 2.5% | |||
$750,000 | Farmville, VA, Industrial Development Authority Facilities, Revenue Bonds, Refunding, Series A, 5.000% due 1/1/38 | $862,080 | |
500,000 | Hanover County, VA, Economic Development Authority, Care Facilities Revenue, Refunding, Covenant Woods, Revenue Bonds, 5.000% due 7/1/38 | 546,085 | |
295,000 | Henrico County, VA, Economic Development Authority Health Care Facilities Revenue, Revenue Bonds, Refunding, Series C, 5.000% due 12/1/37 | 333,412 | |
500,000 | Henrico County, VA, Economic Development Authority, Residencial Care Facility Revenue, Revenue Bonds, Series A, 5.000% due 6/1/39 | 559,270 | |
500,000 | Newport News, VA, Industrial Development Authority, Health System Revenue, Revenue Bonds, Series A, 5.000% due 7/1/462 | 553,145 | |
1,000,000 | Newport News, VA, Industrial Development Authority, System Revenue, Revenue Bonds, 5.330% due 7/1/452 | 1,093,630 | |
750,000 | Norfolk, VA, Redevelopment and Housing Authority, Revenue Bonds, Series A, 5.250% due 1/1/54 | 819,225 | |
500,000 | Virginia State, Small Business Financing Authority, Residential Care Facility Revenue, Revenue Bonds, Refunding, Series C, 5.000% due 6/1/42 | 544,625 | |
5,311,472 | |||
Washington — 1.4% | |||
200,000 | Kalispel Tribe of Indians Priority District, WA, Revenue Bonds, Series B, 5.250% due 1/1/382 | 221,648 | |
100,000 | Skagit County, WA, Public Hospital District No.1, Refunding, Series A, 5.000% due 12/1/19 | 100,244 | |
1,000,000 | Washington State, Health Care Facilities Authority, Revenue Bonds, 5.000% due 12/1/36 | 1,126,150 | |
235,000 | Washington State, Housing Finance Commission, Refunding, Hearthstone Project, Revenue Bonds, Series B, 3.125% due 7/1/232 | 235,089 | |
325,000 | Washington State, Housing Finance Commission, Refunding, Judson Park Project, Revenue Bonds, 5.000% due 7/1/382 | 354,452 | |
375,000 | Washington State, Housing Finance Commission, Revenue Bonds, Series A, 7.000% due 7/1/452 | 410,374 | |
500,000 | Washington State, Housing Finance Commission, Rockwood Retirement Communitie, Revenue Bonds, 5.000% due 1/1/552,5 | 527,775 | |
2,975,732 | |||
West Virginia — 0.1% | |||
250,000 | West Virginia State, Hospital Finance Authority, Revenue Bonds, Refunding, Series A, 5.000% due 1/1/43 | 293,425 | |
Wisconsin — 3.4% | |||
500,000 | Public Finance Authority, WI, Charter School Revenue, Revenue Bonds, Series A, 5.375% due 7/15/472 | 548,950 | |
Public Finance Authority, WI, Retirement Facility Revenue, Revenue Bonds, Refunding: | |||
150,000 | 5.000% due 9/1/492,5 | 162,580 | |
500,000 | 5.000% due 9/1/542 | 546,075 | |
1,000,000 | Public Finance Authority, WI, Revenue Bonds, 5.750% due 4/1/42 | 1,051,500 | |
260,000 | Public Finance Authority, WI, Revenue Bonds, Refunding, 5.875% due 4/1/45 | 289,094 | |
325,000 | Public Finance Authority, WI, School Education Revenue, Revenue Bonds, 4.000% due 6/15/292 | 338,803 |
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Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Wisconsin — (Continued) | |||
$350,000 | Public Finance Authority, WI, Senior Living Revenue, Mary’s Woods at Marylhurst Project, Revenue Bonds, Refunding, Series A, 5.250% due 5/15/372 | $395,216 | |
90,000 | Public Finance Authority, WI, Senior Living Revenue, Rose Village Project, Revenue Bonds, Series A, 5.000% due 11/15/242 | 94,870 | |
500,000 | Public Finance Authority, WI, Student Housing, Revenue Bonds (AGMC Insured), 5.000% due 7/1/53 | 581,145 | |
1,060,000 | Public Finance Authority, WI, Student Housing, Revenue Bonds, Series A, 5.000% due 7/1/25 | 1,187,497 | |
955,000 | Wisconsin State, Health & Educational Facilities Authority Revenue, Revenue Bonds, Refunding, 5.000% due 6/1/41 | 1,027,313 | |
970,000 | Wisconsin State, Housing and Economic Development Authority, Home Ownership Revenue, Revenue Bonds, Series D, 4.000% due 3/1/47 | 1,051,577 | |
7,274,620 | |||
Other Territory — 0.4% | |||
738,242 | Federal Home Loan Mortgage Corporation Multifamily ML-05 Certificates, Revenue Bonds, Class AUS, 3.400% due 1/25/36 | 823,081 | |
TOTAL MUNICIPAL BONDS (Cost $201,866,896) | 212,841,230 | ||
TOTAL INVESTMENTS (Cost $201,866,896) | 98.8% | $212,841,230 | |
OTHER ASSETS IN EXCESS OF LIABILITIES | 1.2 | 2,577,463 | |
NET ASSETS | 100.0% | $215,418,693 |
* | Percentages indicated are based on net assets. |
1 | Zero Coupon Bond. |
2 | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. This security may be resold in transactions exempt from registration, normally to qualified buyers. At October 31, 2019, these securities, which are not illiquid, amounted to $28,919,681 or 13.4% of net assets for the Fund. |
3 | Floating Rate Bond. Rate shown is as of October 31, 2019. |
4 | Variable Rate is Fixed to Float: Rate remains fixed until designated future date. |
5 | When-issued security. |
6 | Variable/Floating interest rate security. Certain variable/floating interest 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. These securities do not indicate a reference rate and spread in their description above. Rate presented is as of October 31, 2019. |
7 | This security is in default. See Note 1. |
Abbreviations: |
AGC — Assurance Guaranty Corporation |
AGC-ICC — Assured Guaranty Corporation Insured Custody Certificates |
AGMC — Assured Guaranty Municipal Corporation |
AMBAC — American Municipal Bond Assurance Corporation |
BAM — Build America Mutual |
FHA — Federal Housing Administration |
FHLMC — Federal Home Loan Mortgage Corporation |
FNMA — Federal National Mortgage Association |
GNMA — Government National Mortgage Association |
MBIA — Municipal Bond Investors Assurance |
NPFG — National Public Finance Guarantee Corporation |
SIFMA — Securities Industry and Financial Markets Association |
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% of Net Assets | Value | ||
STATE: | |||
Illinois | 15.3% | $32,958,563 | |
Colorado | 11.4 | 24,555,422 | |
New Jersey | 8.2 | 17,607,868 | |
Florida | 6.0 | 12,843,560 | |
Puerto Rico | 5.7 | 12,385,004 | |
Texas | 4.8 | 10,266,579 | |
Pennsylvania | 4.5 | 9,779,254 | |
Ohio | 4.5 | 9,712,060 | |
Wisconsin | 3.4 | 7,274,620 | |
California | 3.0 | 6,558,258 | |
Arizona | 3.0 | 6,386,643 | |
Michigan | 2.5 | 5,378,839 | |
Virginia | 2.5 | 5,311,472 | |
South Carolina | 2.3 | 4,862,801 | |
Maryland | 1.7 | 3,569,745 | |
Iowa | 1.5 | 3,147,343 | |
Indiana | 1.4 | 3,072,846 | |
Rhode Island | 1.4 | 3,062,023 | |
New York | 1.4 | 3,027,420 | |
Missouri | 1.4 | 2,988,826 | |
Washington | 1.4 | 2,975,732 | |
Connecticut | 1.3 | 2,859,871 | |
Alabama | 1.1 | 2,474,099 | |
District of Columbia | 1.1 | 2,331,043 | |
Nevada | 1.1 | 2,313,727 | |
Mississippi | 0.9 | 2,000,000 | |
Georgia | 0.9 | 1,930,012 | |
Kentucky | 0.8 | 1,652,199 | |
Alaska | 0.6 | 1,405,723 | |
Idaho | 0.6 | 1,225,834 | |
Louisiana | 0.6 | 1,207,588 | |
North Carolina | 0.5 | 1,049,460 | |
New Mexico | 0.4 | 852,364 | |
Other Territory | 0.4 | 823,081 | |
North Dakota | 0.3 | 566,890 | |
Utah | 0.2 | 518,040 | |
Maine | 0.2 | 472,388 | |
Kansas | 0.2 | 345,348 | |
Nebraska | 0.1 | 319,712 | |
West Virginia | 0.1 | 293,425 | |
Minnesota | 0.1 | 260,402 | |
New Hampshire | 0.0 | 110,206 | |
Oklahoma | 0.0 | 104,940 | |
TOTAL MUNICIPAL BONDS | 98.8% | $212,841,230 | |
TOTAL INVESTMENTS | 98.8% | $212,841,230 |
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Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||
Common Stocks | ||||||||
Auto Components | $8,904 | $— | $— | $8,904 | ||||
Banks | 110,688 | — | — | 110,688 | ||||
Biotechnology | 71,251 | — | — | 71,251 | ||||
Building Products | 31,928 | — | — | 31,928 | ||||
Capital Markets | 26,455 | — | — | 26,455 | ||||
Chemicals | 25,985 | — | — | 25,985 | ||||
Commercial Services & Supplies | 31,946 | — | — | 31,946 | ||||
Construction & Engineering | 9,449 | — | — | 9,449 | ||||
Containers & Packaging | 8,696 | — | — | 8,696 | ||||
Diversified Consumer Services | 16,140 | — | — | 16,140 | ||||
Electric Utilities | 15,972 | — | — | 15,972 | ||||
Electrical Equipment | 24,706 | — | — | 24,706 | ||||
Electronic Equipment, Instruments & Components | 38,948 | — | — | 38,948 | ||||
Energy Equipment & Services | 5,909 | — | — | 5,909 | ||||
Equity Real Estate Investment Trusts | 90,546 | — | — | 90,546 | ||||
Food & Staples Retailing | 8,945 | — | — | 8,945 |
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Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||
Food Products | $4,818 | $— | $— | $4,818 | ||||
Health Care Equipment & Supplies | 45,973 | — | — | 45,973 | ||||
Health Care Providers & Services | 29,482 | — | — | 29,482 | ||||
Health Care Technology | 22,037 | — | — | 22,037 | ||||
Hotels, Restaurants & Leisure | 8,846 | — | — | 8,846 | ||||
Household Products | 4,440 | — | — | 4,440 | ||||
Insurance | 24,595 | — | — | 24,595 | ||||
IT Services | 35,590 | — | — | 35,590 | ||||
Machinery | 44,858 | — | — | 44,858 | ||||
Media | 5,125 | — | — | 5,125 | ||||
Metals & Mining | 14,673 | — | — | 14,673 | ||||
Mortgage Real Estate Investment Trusts | 18,611 | — | — | 18,611 | ||||
Oil, Gas & Consumable Fuels | 33,681 | — | — | 33,681 | ||||
Paper & Forest Products | 13,499 | — | — | 13,499 | ||||
Pharmaceuticals | 23,069 | — | 687 | 23,756 | ||||
Professional Services | 16,458 | — | — | 16,458 | ||||
Semiconductors & Semiconductor Equipment | 29,445 | — | — | 29,445 | ||||
Software | 21,175 | — | — | 21,175 | ||||
Specialty Retail | 44,331 | — | — | 44,331 | ||||
Textiles, Apparel & Luxury Goods | 13,149 | — | — | 13,149 | ||||
Thrifts & Mortgage Finance | 37,871 | — | — | 37,871 | ||||
Trading Companies & Distributors | 21,885 | — | — | 21,885 | ||||
Water Utilities | 6,439 | — | — | 6,439 | ||||
Total Common Stocks | 1,046,518 | — | 687 | 1,047,205 | ||||
Investment of Security Lending Collateral | 25,804 | — | — | 25,804 | ||||
Total Investments | 1,072,322 | — | 687 | 1,073,009 | ||||
Total | $1,072,322 | $— | $687 | $1,073,009 |
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||
Exchange-Traded Funds | $15,060,093 | $— | $— | $15,060,093 | ||||
U.S. Treasury Bill | — | 149,559,407 | — | 149,559,407 | ||||
Repurchase Agreement | — | 2,039,197 | — | 2,039,197 | ||||
Purchased Options | ||||||||
Calls | 1,050,706,125 | — | — | 1,050,706,125 | ||||
Puts | 168,187 | — | — | 168,187 | ||||
Total Purchased Options | 1,050,874,312 | — | — | 1,050,874,312 | ||||
Total Investments | 1,065,934,405 | 151,598,604 | — | 1,217,533,009 | ||||
Total | $1,065,934,405 | $151,598,604 | $— | $1,217,533,009 |
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Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||
Written Options | ||||||||
Call | $(534,732,750) | $— | $— | $(534,732,750) | ||||
Puts | (4,486,588) | — | — | (4,486,588) | ||||
Total Written Options | (539,219,338) | — | — | (539,219,338) | ||||
Total | $(539,219,338) | $— | $— | $(539,219,338) |
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||
U.S. Treasury Bill | $— | $1,174,540 | $— | $1,174,540 | ||||
Total | $— | $1,174,540 | $— | $1,174,540 |
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||
Written Options | ||||||||
Puts | $(6,195) | $— | $— | $(6,195) | ||||
Total | $(6,195) | $— | $— | $(6,195) |
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||
Common Stocks | ||||||||
Aerospace & Defense | $10,102 | $— | $— | $10,102 | ||||
Airlines | 18,895 | — | — | 18,895 | ||||
Automobiles | 26,706 | — | — | 26,706 | ||||
Banks | 260,690 | — | — | 260,690 | ||||
Building Products | 44,557 | — | — | 44,557 | ||||
Capital Markets | 51,749 | — | — | 51,749 | ||||
Chemicals | 81,675 | — | — | 81,675 | ||||
Commercial Services & Supplies | 137,835 | — | — | 137,835 | ||||
Construction & Engineering | 102,509 | — | — | 102,509 |
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Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||
Consumer Finance | $95,502 | $— | $— | $95,502 | ||||
Diversified Consumer Services | 26,252 | — | — | 26,252 | ||||
Diversified Financial Services | 55,587 | — | — | 55,587 | ||||
Electric Utilities | 56,532 | — | — | 56,532 | ||||
Electrical Equipment | 13,473 | — | — | 13,473 | ||||
Electronic Equipment, Instruments & Components | 26,630 | — | — | 26,630 | ||||
Energy Equipment & Services | 27,935 | — | — | 27,935 | ||||
Equity Real Estate Investment Trusts | 216,816 | — | — | 216,816 | ||||
Food & Staples Retailing | 12,575 | — | — | 12,575 | ||||
Food Products | 66,511 | — | — | 66,511 | ||||
Health Care Equipment & Supplies | 61,510 | — | — | 61,510 | ||||
Health Care Providers & Services | 63,174 | — | — | 63,174 | ||||
Health Care Technology | 26,348 | — | — | 26,348 | ||||
Hotels, Restaurants & Leisure | 38,995 | — | — | 38,995 | ||||
Household Durables | 15,225 | — | — | 15,225 | ||||
Household Products | 20,021 | — | — | 20,021 | ||||
Independent Power & Renewable Electricity Producer | 27,399 | — | — | 27,399 | ||||
Insurance | 111,693 | — | — | 111,693 | ||||
Internet & Direct Marketing Retail | 18,541 | — | — | 18,541 | ||||
IT Services | 74,480 | — | — | 74,480 | ||||
Life Sciences Tools & Services | 36,668 | — | — | 36,668 | ||||
Machinery | 101,585 | — | — | 101,585 | ||||
Media | 5,673 | — | — | 5,673 | ||||
Metals & Mining | 73,095 | — | — | 73,095 | ||||
Mortgage Real Estate Investment Trust | 29,780 | — | — | 29,780 | ||||
Multi-Utilities | 25,872 | — | — | 25,872 | ||||
Oil, Gas & Consumable Fuels | 109,712 | — | — | 109,712 | ||||
Paper & Forest Products | 15,502 | — | — | 15,502 | ||||
Pharmaceuticals | 34,984 | — | — | 34,984 | ||||
Professional Services | 13,344 | — | — | 13,344 | ||||
Real Estate Management & Development | 13,227 | — | — | 13,227 | ||||
Road & Rail | 25,183 | — | — | 25,183 | ||||
Semiconductors & Semiconductor Equipment | 70,904 | — | — | 70,904 | ||||
Software | 38,582 | — | — | 38,582 | ||||
Specialty Retail | 99,751 | — | — | 99,751 | ||||
Technology Hardware, Storage & Peripherals | 56,818 | — | — | 56,818 | ||||
Textiles, Apparel & Luxury Goods | 26,568 | — | — | 26,568 | ||||
Thrifts & Mortgage Finance | 66,941 | — | — | 66,941 | ||||
Trading Companies & Distributors | 29,087 | — | — | 29,087 | ||||
Total Common Stocks | 2,663,193 | — | — | 2,663,193 | ||||
U.S. Treasury Bill | — | 1,395,888 | — | 1,395,888 | ||||
Investment of Security Lending Collateral | 10,247 | — | — | 10,247 | ||||
Purchased Options | ||||||||
Calls | 5,075,875 | — | — | 5,075,875 | ||||
Puts | 813 | — | — | 813 | ||||
Total Purchased Options | 5,076,688 | — | — | 5,076,688 | ||||
Total Investments | 7,750,128 | 1,395,888 | — | 9,146,016 | ||||
Total | $7,750,128 | $1,395,888 | $— | $9,146,016 |
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Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||
Written Options | ||||||||
Call | $(2,583,250) | $— | $— | $(2,583,250) | ||||
Puts | (23,552) | — | — | (23,552) | ||||
Total Written Options | (2,606,802) | — | — | (2,606,802) | ||||
Common Stocks Sold Short | ||||||||
Aerospace & Defense | (23,794) | — | — | (23,794) | ||||
Air Freight & Logistics | (23,204) | — | — | (23,204) | ||||
Auto Components | (35,060) | — | — | (35,060) | ||||
Banks | (243,332) | — | — | (243,332) | ||||
Building Products | (24,241) | — | — | (24,241) | ||||
Capital Markets | (156,427) | — | — | (156,427) | ||||
Chemicals | (112,748) | — | — | (112,748) | ||||
Commercial Services & Supplies | (119,018) | — | — | (119,018) | ||||
Communications Equipment | (15,468) | — | — | (15,468) | ||||
Construction & Engineering | (22,048) | — | — | (22,048) | ||||
Construction Materials | (13,427) | — | — | (13,427) | ||||
Consumer Finance | (26,285) | — | — | (26,285) | ||||
Distributors | (25,953) | — | — | (25,953) | ||||
Diversified Telecommunication Services | (12,959) | — | — | (12,959) | ||||
Electric Utilities | (27,014) | — | — | (27,014) | ||||
Electronic Equipment, Instruments & Components | (51,696) | — | — | (51,696) | ||||
Equity Real Estate Investment Trusts | (209,519) | — | — | (209,519) | ||||
Food Products | (55,263) | — | — | (55,263) | ||||
Gas Utilities | (11,859) | — | — | (11,859) | ||||
Health Care Equipment & Supplies | (89,843) | — | — | (89,843) | ||||
Health Care Providers & Services | (17,853) | — | — | (17,853) | ||||
Hotels, Restaurants & Leisure | (83,226) | — | — | (83,226) | ||||
Household Durables | (27,816) | — | — | (27,816) | ||||
Household Products | (50,452) | — | — | (50,452) | ||||
Industrial Conglomerates | (21,779) | — | — | (21,779) | ||||
Insurance | (51,350) | — | — | (51,350) | ||||
Leisure Product | (14,851) | — | — | (14,851) | ||||
Life Sciences Tools & Services | (29,976) | — | — | (29,976) | ||||
Machinery | (116,903) | — | — | (116,903) | ||||
Mortgage Real Estate Investment Trust | (29,149) | — | — | (29,149) | ||||
Multi-line Retail | (31,685) | — | — | (31,685) | ||||
Oil, Gas & Consumable Fuels | (111,954) | — | — | (111,954) | ||||
Professional Services | (26,248) | — | — | (26,248) | ||||
Road & Rail | (65,425) | — | — | (65,425) | ||||
Semiconductors & Semiconductor Equipment | (78,050) | — | — | (78,050) | ||||
Software | (106,927) | — | — | (106,927) | ||||
Specialty Retail | (22,085) | — | — | (22,085) | ||||
Textiles, Apparel & Luxury Goods | (23,826) | — | — | (23,826) | ||||
Thrifts & Mortgage Finance | (56,833) | — | — | (56,833) | ||||
Trading Companies & Distributors | (46,503) | — | — | (46,503) | ||||
Water Utilities | (91,636) | — | — | (91,636) | ||||
Total Common Stocks Sold Short | (2,403,685) | — | — | (2,403,685) | ||||
Total | $(5,010,487) | $— | $— | $(5,010,487) |
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Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||
Agency Notes | ||||||||
Federal Home Loan Bank | $— | $21,596,679 | $— | $21,596,679 | ||||
Federal Home Loan Mortgage Corporation | — | 20,346,278 | — | 20,346,278 | ||||
Federal National Mortgage Association | — | 60,900,136 | — | 60,900,136 | ||||
Total Agency Notes | — | 102,843,093 | — | 102,843,093 | ||||
Mortgage-Backed Securities | ||||||||
Federal Home Loan Mortgage Corporation | — | 37,170,901 | — | 37,170,901 | ||||
Federal National Mortgage Association | — | 107,768,926 | — | 107,768,926 | ||||
Government National Mortgage Association | — | 1,274,506 | — | 1,274,506 | ||||
Total Mortgage-Backed Securities | — | 146,214,333 | — | 146,214,333 | ||||
Corporate Notes | ||||||||
Automotive | — | 4,127,896 | — | 4,127,896 | ||||
Banking | — | 36,181,830 | — | 36,181,830 | ||||
Beverages, Food & Tobacco | — | 20,527,762 | — | 20,527,762 | ||||
Communications | — | 17,477,860 | — | 17,477,860 | ||||
Computer Software & Processing | — | 33,361,206 | — | 33,361,206 | ||||
Financial | — | 22,043,544 | — | 22,043,544 | ||||
Heavy Machinery | — | 5,770,956 | — | 5,770,956 | ||||
Insurance | — | 15,560,033 | — | 15,560,033 | ||||
Pharmaceuticals | — | 5,191,046 | — | 5,191,046 | ||||
Retailers | — | 8,327,551 | — | 8,327,551 | ||||
Total Corporate Notes | — | 168,569,684 | — | 168,569,684 | ||||
U.S. Treasury Notes/Bonds | — | 77,235,665 | — | 77,235,665 | ||||
Repurchase Agreement | — | 6,958,320 | — | 6,958,320 | ||||
Investment of Security Lending Collateral | 1,512,520 | — | — | 1,512,520 | ||||
Total Investments | 1,512,520 | 501,821,095 | — | 503,333,615 | ||||
Total | $1,512,520 | $501,821,095 | $— | $503,333,615 |
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||
Agency Notes | $— | $499,999 | $— | $499,999 | ||||
Corporate Notes | ||||||||
Health Care Services | — | 355,271 | — | 355,271 | ||||
Municipal Bonds | ||||||||
Alabama | — | 516,868 | — | 516,868 | ||||
Alaska | — | 810,569 | — | 810,569 | ||||
Arizona | — | 439,052 | — | 439,052 | ||||
California | — | 483,145 | — | 483,145 | ||||
Colorado | — | 154,586 | — | 154,586 | ||||
Connecticut | — | 873,974 | — | 873,974 | ||||
Florida | — | 1,113,883 | — | 1,113,883 |
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Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||
Georgia | $— | $573,413 | $— | $573,413 | ||||
Idaho | — | 205,200 | — | 205,200 | ||||
Illinois | — | 4,475,898 | — | 4,475,898 | ||||
Kentucky | — | 1,363,188 | — | 1,363,188 | ||||
Louisiana | — | 1,282,560 | — | 1,282,560 | ||||
Massachusetts | — | 261,128 | — | 261,128 | ||||
Michigan | — | 3,505,884 | — | 3,505,884 | ||||
Minnesota | — | 953,105 | — | 953,105 | ||||
Mississippi | — | 4,125,585 | — | 4,125,585 | ||||
New Jersey | — | 1,966,991 | — | 1,966,991 | ||||
New York | — | 1,182,567 | — | 1,182,567 | ||||
North Carolina | — | 105,801 | — | 105,801 | ||||
Ohio | — | 1,861,282 | — | 1,861,282 | ||||
Pennsylvania | — | 7,219,712 | — | 7,219,712 | ||||
Rhode Island | — | 432,968 | — | 432,968 | ||||
Tennessee | — | 373,445 | — | 373,445 | ||||
Texas | — | 7,963,613 | — | 7,963,613 | ||||
Washington | — | 1,989,470 | — | 1,989,470 | ||||
Wisconsin | — | 1,497,869 | — | 1,497,869 | ||||
Wyoming | — | 406,428 | — | 406,428 | ||||
Total Municipal Bonds | — | 46,138,184 | — | 46,138,184 | ||||
Preferred Stocks | 255,600 | — | — | 255,600 | ||||
U.S. Treasury Notes/Bonds | — | 979,157 | — | 979,157 | ||||
Repurchase Agreement | — | 859,440 | — | 859,440 | ||||
Investment of Security Lending Collateral | 847,938 | — | — | 847,938 | ||||
Registered Investment Companies | 1,506,331 | — | — | 1,506,331 | ||||
Total Investments | 2,609,869 | 48,832,051 | — | 51,441,920 | ||||
Total | $2,609,869 | $48,832,051 | $— | $51,441,920 |
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Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $15,719,529 | $(15,719,529) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $121,654 | $(121,654) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $6,357,561 | $(6,357,561) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $9,850,204 | $(9,850,204) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $200,493 | $(200,493) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $2,039,197 | $(2,039,197) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $6,958,320 | $(6,958,320) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $859,440 | $(859,440) | $— | $— | $— |
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Portfolio | Unlimited (Short Term) | Unlimited (Long Term) | ||
Quantitative U.S. Large Cap Value Equity Portfolio | $74,703 | $— | ||
Quantitative U.S. Small Cap Equity Portfolio | 33,626 | — | ||
Quantitative International Equity Portfolio | 5,144,131 | — | ||
Women in Leadership U.S. Equity Portfolio | 34,851 | — | ||
Quantitative U.S. Long/Short Equity Portfolio | 12,497,288 | — | ||
Small Cap Equity Portfolio | 107,290,901 | — | ||
Equity Income Portfolio | 227,068 | — | ||
Global Secured Options Portfolio* | 5,085,052 | 1,642,909 | ||
Alternative Risk Premia Portfolio | 25,254 | — | ||
Core Fixed Income Portfolio | 41,205 | 3,859,776 | ||
Short Term Tax Aware Fixed Income Portfolio | 95,510 | 28,259 | ||
High Yield Municipal Portfolio | 166,646 | — |
Quantitative U.S. Long/Short Equity Portfolio | $7,183,251 |
Short Term Tax Aware Fixed Income Portfolio | 8,214 |
High Yield Municipal Portfolio | 561,949 |
Portfolio | Undistributed Tax-exempt Income | Undistributed Ordinary Income | Undistributed Long-Term Gain | Unrealized Appreciation/ (Depreciation) | Other Temporary Differences | Loss Carryforwards | Total Distributable Earnings | |||||||
Quantitative U.S. Large Cap Core Equity Portfolio | $— | $1,722,222 | $98,391,794 | $515,376,458 | $2 | $— | $615,490,476 | |||||||
Quantitative U.S. Large Cap Growth Equity Portfolio | — | 878,382 | 436,266,319 | 839,886,325 | 3 | — | 1,277,031,029 | |||||||
Quantitative U.S. Large Cap Value Equity Portfolio | — | 3,263 | — | 155,005 | 1 | (74,703) | 83,566 | |||||||
Quantitative U.S. Small Cap Equity Portfolio | — | 678 | — | 90,680 | (1) | (33,626) | 57,731 |
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Portfolio | Undistributed Tax-exempt Income | Undistributed Ordinary Income | Undistributed Long-Term Gain | Unrealized Appreciation/ (Depreciation) | Other Temporary Differences | Loss Carryforwards | Total Distributable Earnings | |||||||
Quantitative International Equity Portfolio | $— | $494,460 | $— | $18,813,212 | $(1) | $(5,144,131) | $14,163,540 | |||||||
Responsible ESG U.S. Equity Portfolio | — | 16,819 | 95,044 | 3,109,763 | — | — | 3,221,626 | |||||||
Women in Leadership U.S. Equity Portfolio | — | 16,263 | — | 3,172,201 | (1) | (34,851) | 3,153,612 | |||||||
Quantitative U.S. Long/Short Equity Portfolio | — | 151,165 | — | 34,344,942 | (19,599) | (12,497,288) | 21,979,220 | |||||||
Quantitative U.S. Total Market Equity Portfolio | — | 48,042 | 3,333,716 | 20,867,692 | (11,427) | — | 24,238,023 | |||||||
Strategic Equity Portfolio | — | 221,384 | 5,225,535 | 112,345,491 | (1) | — | 117,792,409 | |||||||
Small Cap Equity Portfolio | — | — | — | 50,079,852 | 1 | (107,290,901) | (57,211,048) | |||||||
Large Cap Value Portfolio | — | 57,730 | 3,346,804 | 4,984,618 | (3) | — | 8,389,149 | |||||||
Equity Income Portfolio | — | 32,056 | — | 3,176,226 | (1) | (227,068) | 2,981,213 | |||||||
Secured Options Portfolio | — | 18,271,384 | 29,794,386 | 8,655,971 | (15,713) | — | 56,706,028 | |||||||
Global Secured Options Portfolio | — | 533 | — | 4,677 | — | (6,727,961)** | (6,722,751) | |||||||
Alternative Risk Premia Portfolio | — | 2,372 | — | 148,360 | — | (25,254) | 125,478 | |||||||
Core Fixed Income Portfolio | — | 1,044,610 | — | 20,039,154 | 1 | (3,900,981) | 17,182,784 | |||||||
Short Term Tax Aware Fixed Income Portfolio | 52,524 | — | — | 304,864 | — | (123,769) | 233,619 | |||||||
High Yield Municipal Portfolio | 498,071 | — | — | 10,961,164 | — | (166,646) | 11,292,589 |
Portfolio | Tax Exempt | Ordinary Income | Long-Term Gains | Return of Capital | ||||
Quantitative U.S. Large Cap Core Equity Portfolio | $— | $35,574,463 | $214,199,561 | $— | ||||
Quantitative U.S. Large Cap Growth Equity Portfolio | — | 18,109,866 | 439,037,606 | — | ||||
Quantitative U.S. Large Cap Value Equity Portfolio | — | 37,522 | — | — | ||||
Quantitative U.S. Small Cap Equity Portfolio | — | 10,564 | — | — | ||||
Quantitative International Equity Portfolio | — | 8,209,500 | — | — | ||||
Responsible ESG U.S. Equity Portfolio | — | 262,686 | 784,096 | — | ||||
Women in Leadership U.S. Equity Portfolio | — | 218,701 | 616,730 | — | ||||
Quantitative U.S. Long/Short Equity Portfolio | — | 2,429,471 | — | — | ||||
Quantitative U.S. Total Market Equity Portfolio | — | 485,023 | 6,601,798 | — | ||||
Strategic Equity Portfolio | — | 2,179,702 | 2,698,979 | — |
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Portfolio | Tax Exempt | Ordinary Income | Long-Term Gains | Return of Capital | ||||
Small Cap Equity Portfolio | $— | $68,067,418 | $389,612,638 | $933,198 | ||||
Large Cap Value Portfolio | — | 1,039,184 | 6,243,467 | — | ||||
Equity Income Portfolio | — | 596,059 | 300,249 | — | ||||
Secured Options Portfolio | — | 5,547,312 | 13,352,249 | — | ||||
Global Secured Options Portfolio | — | 182,809 | 1,317,002 | — | ||||
Alternative Risk Premia Portfolio | — | — | — | — | ||||
Core Fixed Income Portfolio | — | 12,219,477 | — | — | ||||
Short Term Tax Aware Fixed Income Portfolio | 318,403 | 145,034 | — | — | ||||
High Yield Municipal Portfolio | 5,910,963 | 145,233 | — | — |
Portfolio | Tax Exempt | Ordinary Income | Long-Term Gains | |||
Quantitative U.S. Large Cap Core Equity Portfolio | $— | $29,331,979 | $111,721,370 | |||
Quantitative U.S. Large Cap Growth Equity Portfolio | — | 21,319,668 | 73,196,841 | |||
Quantitative U.S. Large Cap Value Equity Portfolio | — | 12,152 | — | |||
Quantitative U.S. Small Cap Equity Portfolio | — | 3,800 | — | |||
Quantitative International Equity Portfolio | — | 8,716,752 | — | |||
Responsible ESG U.S. Equity Portfolio | — | 140,449 | 62,301 | |||
Women in Leadership U.S. Equity Portfolio | — | 138,167 | 84,949 | |||
Quantitative U.S. Total Market Equity Portfolio | — | 272,471 | 2,233,678 | |||
Strategic Equity Portfolio | — | 1,954,304 | 13,725,891 | |||
Small Cap Equity Portfolio | — | 8,032,428 | 334,339,639 | |||
Large Cap Value Portfolio | — | 2,424,660 | 3,556,789 | |||
Equity Income Portfolio | — | 342,890 | 79 | |||
Secured Options Portfolio | — | 17,251,876 | 32,671,135 | |||
Global Secured Options Portfolio | — | 90,635 | — | |||
Core Fixed Income Portfolio | — | 11,591,006 | 1,755,129 | |||
Short Term Tax Aware Fixed Income Portfolio | 214,377 | 58,601 | — | |||
High Yield Municipal Portfolio | 5,272,841 | 126,090 | — |
Portfolio | Total distributable earnings | Paid-in capital | ||
Quantitative U.S. Long/Short Equity Portfolio | $8,818 | $(8,818) | ||
Alternative Risk Premia Portfolio | 2,320 | (2,320) |
Portfolio | Cost | Appreciation | (Depreciation) | Net | ||||
Quantitative U.S. Large Cap Core Equity Portfolio | $1,829,593,780 | $530,919,292 | $15,542,834 | $515,376,458 | ||||
Quantitative U.S. Large Cap Growth Equity Portfolio | 2,651,216,176 | 866,468,449 | 26,582,124 | 839,886,325 | ||||
Quantitative U.S. Large Cap Value Equity Portfolio | 1,872,994 | 201,044 | 46,039 | 155,005 | ||||
Quantitative U.S. Small Cap Equity Portfolio | 982,329 | 146,101 | 55,421 | 90,680 | ||||
Quantitative International Equity Portfolio | 199,392,211 | 22,738,183 | 3,924,879 | 18,813,304 | ||||
Responsible ESG U.S. Equity Portfolio | 20,789,684 | 3,302,028 | 192,265 | 3,109,763 | ||||
Women in Leadership U.S. Equity Portfolio | 17,845,868 | 3,255,107 | 82,906 | 3,172,201 | ||||
Quantitative U.S. Long/Short Equity Portfolio | 39,925,780 | 53,507,357 | 19,162,415 | 34,344,942 | ||||
Quantitative U.S. Total Market Equity Portfolio | 46,951,390 | 21,767,215 | 899,523 | 20,867,692 | ||||
Strategic Equity Portfolio | 156,624,656 | 112,939,997 | 594,506 | 112,345,491 | ||||
Small Cap Equity Portfolio | 2,092,500,412 | 298,193,367 | 248,113,515 | 50,079,852 | ||||
Large Cap Value Portfolio | 34,605,673 | 5,538,960 | 554,342 | 4,984,618 |
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Portfolio | Cost | Appreciation | (Depreciation) | Net | ||||
Equity Income Portfolio | $20,708,908 | $3,446,305 | $270,079 | $3,176,226 | ||||
Secured Options Portfolio | 669,657,700 | 28,437,823 | 19,781,852 | 8,655,971 | ||||
Global Secured Options Portfolio | 1,163,668 | 4,677 | — | 4,677 | ||||
Alternative Risk Premia Portfolio | 3,987,169 | 520,772 | 372,412 | 148,360 | ||||
Core Fixed Income Portfolio | 483,294,461 | 20,389,300 | 350,146 | 20,039,154 | ||||
Short Term Tax Aware Fixed Income Portfolio | 51,137,056 | 335,815 | 30,951 | 304,864 | ||||
High Yield Municipal Portfolio | 201,880,066 | 11,149,258 | 188,094 | 10,961,164 |
Equity Contracts Risk | Total | ||
Options Purchased1 | $1,050,874,312 | $1,050,874,312 | |
Total Value | $1,050,874,312 | $1,050,874,312 |
Equity Contracts Risk | Total | ||
Options Written2 | $(539,219,338) | $(539,219,338) | |
Total Value | $(539,219,338) | $(539,219,338) |
Equity Contracts Risk | Total | ||
Options Purchased3 | $(79,484,333) | $(79,484,333) | |
Options Written4 | 105,691,184 | 105,691,184 | |
Total Realized Gain (Loss) | $26,206,851 | $26,206,851 |
Equity Contracts Risk | Total | ||
Options Purchased5 | $160,899,669 | $160,899,669 | |
Options Written6 | (137,389,277) | (137,389,277) | |
Total Change in Appreciation (Depreciation) | $23,510,392 | $23,510,392 |
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Equity Contracts Risk | Total | ||
Options Purchased | 1,079,450 | 1,079,450 | |
Options Written | (1,315,875) | (1,315,875) |
Equity Contracts Risk | Total | ||
Options Written2 | $(6,195) | $(6,195) | |
Total Value | $(6,195) | $(6,195) |
Equity Contracts Risk | Total | ||
Options Purchased3 | $(406,525) | $(406,525) | |
Options Written4 | 425,857 | 425,857 | |
Total Realized Gain (Loss) | $19,332 | $19,332 |
Equity Contracts Risk | Total | ||
Options Purchased5 | $206,455 | $206,455 | |
Options Written6 | (136,449) | (136,449) | |
Total Change in Appreciation (Depreciation) | $70,006 | $70,006 |
Equity Contracts Risk | Total | ||
Options Purchased | 2,000 | 2,000 | |
Options Written | (9,392) | (9,392) |
Equity Contracts Risk | Total | ||
Options Purchased1 | $5,076,688 | $5,076,688 | |
Total Value | $5,076,688 | $5,076,688 |
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Equity Contracts Risk | Total | ||
Options Written2 | $(2,606,802) | $(2,606,802) | |
Total Value | $(2,606,802) | $(2,606,802) |
Equity Contracts Risk | Total | ||
Options Purchased3 | $299,015 | $299,015 | |
Options Written4 | (55,470) | (55,470) | |
Total Realized Gain (Loss) | $243,545 | $243,545 |
Equity Contracts Risk | Total | ||
Options Purchased5 | $100,174 | $100,174 | |
Options Written6 | (49,073) | (49,073) | |
Total Change in Appreciation (Depreciation) | $51,101 | $51,101 |
Equity Contracts Risk | Total | ||
Options Purchased | 4,620 | 4,620 | |
Options Written | (42,055) | (42,055) |
1 | Statement of Assets and Liabilities location: Investments at value. |
2 | Statement of Assets and Liabilities location: Options written, at value. |
3 | Statement of Operations location: Amount is included in Net realized gain (loss) on Investments. |
4 | Statement of Operations location: Amount is included in Net realized gain (loss) on Options written. |
5 | Statement of Operations location: Amount is included in Net change in unrealized gain (loss) of Investments. |
6 | Statement of Operations location: Amount is included in Net change in unrealized gain (loss) of Options written. |
7 | Amounts disclosed represents average number of contracts, notional amounts, or shares/units outstanding during the period ended October 31, 2019. |
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Fund Name | Management Fee on Net Assets | |
Quantitative U.S. Large Cap Core Equity Portfolio | 0.55% | |
Quantitative U.S. Large Cap Growth Equity Portfolio | 0.55% | |
Quantitative U.S. Large Cap Value Equity Portfolio | 0.55%* | |
Quantitative U.S. Small Cap Equity Portfolio | 0.55%* | |
Quantitative International Equity Portfolio | 0.75%** | |
Responsible ESG U.S. Equity Portfolio | 0.55%* | |
Women in Leadership U.S. Equity Portfolio | 0.55%* | |
Quantitative U.S. Long/Short Equity Portfolio | 1.20%*** | |
Quantitative U.S. Total Market Equity Portfolio | 1.20%*** | |
Strategic Equity Portfolio | 0.55% | |
Small Cap Equity Portfolio | 0.55% | |
Large Cap Value Portfolio | 0.55% | |
Equity Income Portfolio | 0.55%* | |
Secured Options Portfolio | 0.55% | |
Global Secured Options Portfolio | 0.55%** | |
Alternative Risk Premia Portfolio | 0.55%** | |
Core Fixed Income Portfolio | 0.35% | |
Short Term Tax Aware Fixed Income Portfolio | 0.35% | |
High Yield Municipal Portfolio | 0.65%** |
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Shareholder Servicing Fee on Net Assets | |
Quantitative U.S. Large Cap Core Equity Portfolio (Advisor Class) | 0.20% |
Quantitative U.S. Large Cap Growth Equity Portfolio (Advisor Class) | 0.20% |
Quantitative U.S. Large Cap Value Equity Portfolio | 0.20% |
Quantitative U.S. Small Cap Equity Portfolio | 0.20% |
Quantitative International Equity Portfolio | 0.25% |
Responsible ESG U.S. Equity Portfolio | 0.20% |
Women in Leadership U.S. Equity Portfolio | 0.20% |
Quantitative U.S. Long/Short Equity Portfolio (Advisor Class) | 0.20% |
Quantitative U.S. Total Market Equity Portfolio | 0.20% |
Strategic Equity Portfolio | 0.20% |
Small Cap Equity Portfolio (Advisor Class) | 0.25% |
Small Cap Equity Portfolio (Institutional Class) | 0.05% |
Large Cap Value Portfolio | 0.20% |
Equity Income Portfolio | 0.20% |
Secured Options Portfolio (Advisor Class) | 0.20% |
Global Secured Options Portfolio | 0.20% |
Alternative Risk Premia Portfolio | 0.20% |
Core Fixed Income Portfolio | 0.10% |
Short Term Tax Aware Fixed Income Portfolio | 0.10% |
High Yield Municipal Portfolio | 0.25% |
Portfolio | Purchases | Sales | ||
Quantitative U.S. Large Cap Core Equity Portfolio | $2,063,268,674 | $2,661,050,569 | ||
Quantitative U.S. Large Cap Growth Equity Portfolio | 2,630,143,183 | 3,078,887,105 | ||
Quantitative U.S. Large Cap Value Equity Portfolio | 2,176,571 | 1,322,668 | ||
Quantitative U.S. Small Cap Equity Portfolio | 1,618,616 | 1,640,513 | ||
Quantitative International Equity Portfolio | 261,727,659 | 452,581,650 | ||
Responsible ESG U.S. Equity Portfolio | 23,276,766 | 22,808,776 | ||
Women in Leadership U.S. Equity Portfolio | 18,080,232 | 17,671,278 | ||
Quantitative U.S. Long/Short Equity Portfolio | 507,215,405 | 521,466,774 |
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Portfolio | Purchases | Sales | ||
Quantitative U.S. Total Market Equity Portfolio | $111,871,102 | $135,887,359 | ||
Strategic Equity Portfolio | 51,552,419 | 45,209,283 | ||
Small Cap Equity Portfolio | 1,438,376,464 | 2,687,006,636 | ||
Large Cap Value Portfolio | 35,051,778 | 68,428,885 | ||
Equity Income Portfolio | 11,020,215 | 8,363,965 | ||
Secured Options Portfolio | — | — | ||
Global Secured Options Portfolio | 696,300 | 1,623,610 | ||
Alternative Risk Premia Portfolio | 5,851,723 | 5,425,009 | ||
Core Fixed Income Portfolio | 19,995,681 | 74,635,170 | ||
Short Term Tax Aware Fixed Income Portfolio | 26,390,999 | 8,062,996 | ||
High Yield Municipal Portfolio | 64,285,184 | 53,080,611 |
Portfolio | Purchases | Sales | ||
Core Fixed Income Portfolio | $154,721,653 | $115,703,671 | ||
Short Term Tax Aware Fixed Income Portfolio | 1,513,683 | 398,484 |
Year Ended 10/31/19 | Year Ended 10/31/18 | ||||||
Shares | Amount | Shares | Amount | ||||
Quantitative U.S. Large Cap Core Equity Portfolio — Advisor | |||||||
Sold | 7,795,697 | $200,527,651 | 11,436,924 | $328,633,948 | |||
Issued as reinvestment of dividends | 6,632,270 | 162,530,319 | 3,462,603 | 97,124,284 | |||
Redeemed | (26,601,586) | (689,595,773) | (16,137,755) | (464,126,218) | |||
Net Decrease | (12,173,619) | $(326,537,803) | (1,238,228) | $(38,367,986) | |||
Quantitative U.S. Large Cap Core Equity Portfolio — Institutional | |||||||
Sold | 6,223,832 | $160,412,886 | 9,524,939 | $275,611,925 | |||
Issued as reinvestment of dividends | 2,444,794 | 60,113,584 | 1,037,112 | 29,172,255 | |||
Redeemed | (11,128,916) | (289,880,553) | (2,618,343) | (75,387,364) | |||
Net Increase (Decrease) | (2,460,290) | $(69,354,083) | 7,943,708 | $229,396,816 | |||
Quantitative U.S. Large Cap Growth Equity Portfolio — Advisor | |||||||
Sold | 6,251,770 | $187,484,487 | 13,654,036 | $456,555,937 | |||
Issued as reinvestment of dividends | 11,736,683 | 318,634,125 | 2,076,091 | 66,958,982 | |||
Redeemed | (32,158,941) | (967,311,629) | (31,460,232) | (1,054,413,273) | |||
Net Decrease | (14,170,488) | $(461,193,017) | (15,730,105) | $(530,898,354) | |||
Quantitative U.S. Large Cap Growth Equity Portfolio — Institutional | |||||||
Sold | 21,708,941 | $669,349,023 | 8,907,593 | $298,176,710 | |||
Issued as reinvestment of dividends | 3,802,032 | 103,584,948 | 637,383 | 20,607,718 | |||
Redeemed | (10,636,669) | (317,105,397) | (13,887,458) | (475,942,233) | |||
Net Increase (Decrease) | 14,874,304 | $455,828,574 | (4,342,482) | $(157,157,805) | |||
Quantitative U.S. Large Cap Value Equity Portfolio1 | |||||||
Sold | 84,484 | $818,192 | 110,464 | $1,111,439 | |||
Issued as reinvestment of dividends | 2,467 | 23,800 | 718 | 7,488 | |||
Net Increase | 86,951 | $841,992 | 111,182 | $1,118,927 |
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Year Ended 10/31/19 | Year Ended 10/31/18 | ||||||
Shares | Amount | Shares | Amount | ||||
Quantitative U.S. Small Cap Equity Portfolio1 | |||||||
Sold | 38,055 | $375,000 | 104,551 | $1,047,000 | |||
Issued as reinvestment of dividends | 814 | 7,935 | 199 | 2,200 | |||
Redeemed | (41,564) | (424,197) | — | — | |||
Net Increase (Decrease) | (2,695) | $(41,262) | 104,750 | $1,049,200 | |||
Quantitative International Equity Portfolio | |||||||
Sold | 1,707,547 | $22,694,078 | 2,986,388 | $45,382,680 | |||
Issued as reinvestment of dividends | 14,174 | 191,807 | 9,425 | 138,826 | |||
Redeemed | (16,190,535) | (213,723,145) | (4,252,311) | (63,344,194) | |||
Net Decrease | (14,468,814) | $(190,837,260) | (1,256,498) | $(17,822,688) | |||
Responsible ESG U.S. Equity Portfolio | |||||||
Sold | 340,644 | $4,666,957 | 594,885 | $8,663,609 | |||
Issued as reinvestment of dividends | 59,587 | 775,280 | 4,781 | 67,264 | |||
Redeemed | (320,104) | (4,445,511) | (57,712) | (831,159) | |||
Net Increase | 80,127 | $996,726 | 541,954 | $7,899,714 | |||
Women in Leadership U.S. Equity Portfolio | |||||||
Sold | 250,378 | $3,189,225 | 563,130 | $7,760,641 | |||
Issued as reinvestment of dividends | 50,420 | 620,117 | 7,076 | 95,546 | |||
Redeemed | (217,072) | (2,896,608) | (53,235) | (730,267) | |||
Net Increase | 83,726 | $912,734 | 516,971 | $7,125,920 | |||
Quantitative U.S. Long/Short Equity Portfolio — Advisor2 | |||||||
Sold | 2,148,043 | $26,106,820 | 5,886,785 | $76,982,955 | |||
Issued as reinvestment of dividends | 25,663 | 309,335 | — | — | |||
Redeemed | (7,986,021) | (97,111,910) | (2,679,530) | (34,907,053) | |||
Net Increase (Decrease) | (5,812,315) | $(70,695,755) | 3,207,255 | $42,075,902 | |||
Quantitative U.S. Long/Short Equity Portfolio — Institutional3 | |||||||
Sold | 6,573 | $79,077 | — | $— | |||
Issued as reinvestment of dividends | 1 | 10 | — | — | |||
Redeemed | (5,266) | (62,160) | — | — | |||
Net Increase | 1,308 | $16,927 | — | $— | |||
Quantitative U.S. Total Market Equity Portfolio | |||||||
Sold | 304,466 | $5,243,981 | 1,723,936 | $33,819,877 | |||
Issued as reinvestment of dividends | 390,151 | 6,292,714 | 120,421 | 2,304,688 | |||
Redeemed | (1,703,453) | (29,706,478) | (970,888) | (19,031,024) | |||
Net Increase (Decrease) | (1,008,836) | $(18,169,783) | 873,469 | $17,093,541 | |||
Strategic Equity Portfolio | |||||||
Sold | 1,528,095 | $37,551,565 | 1,145,929 | $28,701,105 | |||
Issued as reinvestment of dividends | 116,017 | 2,661,608 | 574,373 | 13,884,433 | |||
Redeemed | (1,062,348) | (25,923,889) | (824,116) | (20,709,125) | |||
Net Increase | 581,764 | $14,289,284 | 896,186 | $21,876,413 | |||
Small Cap Equity Portfolio — Advisor | |||||||
Sold | 5,383,381 | $128,229,998 | 3,287,497 | $101,730,528 | |||
Issued as reinvestment of dividends | 6,936,672 | 155,558,152 | 4,554,760 | 135,920,304 | |||
Redeemed | (28,366,130) | (683,387,615) | (8,626,027) | (268,783,662) | |||
Net Decrease | (16,046,077) | $(399,599,465) | (783,770) | $(31,132,830) | |||
Small Cap Equity Portfolio — Institutional | |||||||
Sold | 27,259,996 | $674,098,610 | 27,435,565 | $900,043,906 | |||
Issued as reinvestment of dividends | 4,272,361 | 101,455,044 | 2,364,451 | 74,045,002 | |||
Redeemed | (50,946,241) | (1,296,888,306) | (15,368,773) | (495,386,462) | |||
Net Increase (Decrease) | (19,413,884) | $(521,334,652) | 14,431,243 | $478,702,446 |
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Year Ended 10/31/19 | Year Ended 10/31/18 | ||||||
Shares | Amount | Shares | Amount | ||||
Large Cap Value Portfolio | |||||||
Sold | 896,656 | $8,288,686 | 998,661 | $11,022,329 | |||
Issued as reinvestment of dividends | 706,384 | 6,354,950 | 449,330 | 4,939,648 | |||
Redeemed | (4,410,904) | (42,476,737) | (1,359,618) | (14,931,958) | |||
Net Increase (Decrease) | (2,807,864) | $(27,833,101) | 88,373 | $1,030,019 | |||
Equity Income Portfolio | |||||||
Sold | 650,257 | $7,164,362 | 719,858 | $8,280,206 | |||
Issued as reinvestment of dividends | 41,016 | 438,870 | 442 | 5,065 | |||
Redeemed | (397,619) | (4,424,496) | (230,561) | (2,631,038) | |||
Net Increase | 293,654 | $3,178,736 | 489,739 | $5,654,233 | |||
Secured Options Portfolio — Advisor | |||||||
Sold | 6,503,407 | $78,070,901 | 9,995,489 | $124,211,619 | |||
Issued as reinvestment of dividends | 780,736 | 9,103,403 | 2,170,190 | 26,085,680 | |||
Redeemed | (22,911,514) | (275,711,096) | (10,947,356) | (135,365,729) | |||
Net Increase (Decrease) | (15,627,371) | $(188,536,792) | 1,218,323 | $14,931,570 | |||
Secured Options Portfolio — Institutional | |||||||
Sold | 14,730,158 | $175,748,953 | 11,550,437 | $145,823,677 | |||
Issued as reinvestment of dividends | 599,104 | 7,015,540 | 1,552,885 | 18,712,267 | |||
Redeemed | (16,133,072) | (189,249,615) | (9,602,946) | (119,072,547) | |||
Net Increase (Decrease) | (803,810) | $(6,485,122) | 3,500,376 | $45,463,397 | |||
Global Secured Options Portfolio | |||||||
Sold | 25,329 | $250,000 | 5,989 | $63,788 | |||
Issued as reinvestment of dividends | 2,491,580 | 1,497,340 | 3 | 32 | |||
Redeemed | (286,699) | (1,643,199) | (770,906) | (8,405,463) | |||
Net Increase (Decrease) | 2,230,210 | $104,141 | (764,914) | $(8,341,643) | |||
Alternative Risk Premia Portfolio4 | |||||||
Sold | 540,523 | $5,545,510 | — | $— | |||
Redeemed | (2,474) | (25,681) | — | — | |||
Net Increase | 538,049 | $5,519,829 | — | $— | |||
Core Fixed Income Portfolio | |||||||
Sold | 7,817,327 | $84,892,934 | 8,648,799 | $92,745,217 | |||
Issued as reinvestment of dividends | 46,014 | 501,378 | 226,667 | 2,473,400 | |||
Redeemed | (9,412,603) | (102,899,799) | (6,870,199) | (73,991,276) | |||
Net Increase (Decrease) | (1,549,262) | $(17,505,487) | 2,005,267 | $21,227,341 | |||
Short Term Tax Aware Fixed Income Portfolio | |||||||
Sold | 3,821,249 | $38,271,385 | 506,071 | $5,018,252 | |||
Redeemed | (1,419,694) | (14,227,653) | (1,244,972) | (12,352,546) | |||
Net Increase (Decrease) | 2,401,555 | $24,043,732 | (738,901) | $(7,334,294) | |||
High Yield Municipal Portfolio | |||||||
Sold | 2,512,452 | $26,294,842 | 3,870,050 | $39,914,227 | |||
Redeemed | (1,561,558) | (16,391,271) | (1,408,224) | (14,456,842) | |||
Net Increase | 950,894 | $9,903,571 | 2,461,826 | $25,457,385 |
1 | Portfolio commenced operations on November 13, 2017. |
2 | Class was re-named Advisor Class on February 14, 2019. |
3 | Class commenced operations on September 13, 2019. |
4 | Portfolio commenced operations on December 20, 2018. |
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5% or Greater Shareholders | ||||
Portfolio | # of Shareholders | % of Shares Held | ||
Quantitative U.S Large Cap Core Equity Portfolio (Advisor Class) | 2 | 49 | ||
Quantitative U.S. Large Cap Core Equity Portfolio (Institutional Class) | 3 | 87 | ||
Quantitative U.S. Large Cap Growth Equity Portfolio (Advisor Class) | 2 | 69 | ||
Quantitative U.S. Large Cap Growth Equity Portfolio (Institutional Class) | 2 | 82 | ||
Quantitative U.S. Large Cap Value Equity Portfolio | 5 | 93 | ||
Quantitative U.S. Small Cap Equity Portfolio | 1 | 99 | ||
Responsible ESG U.S. Equity Portfolio | 4 | 31 | ||
Women in Leadership U.S. Equity Portfolio | 3 | 29 | ||
Quantitative U.S. Long/Short Equity Portfolio (Advisor Class) | 2 | 11 | ||
Quantitative U.S. Long/Short Equity Portfolio (Institutional Class) | 1 | 100 | ||
Quantitative U.S. Total Market Equity Portfolio | 3 | 40 | ||
Small Cap Equity Portfolio (Advisor Class) | 2 | 50 | ||
Small Cap Equity Portfolio (Institutional Class) | 2 | 79 | ||
Large Cap Value Portfolio | 2 | 23 | ||
Equity Income Portfolio | 4 | 29 | ||
Secured Options Portfolio (Advisor Class) | 3 | 37 | ||
Secured Options Portfolio (Institutional Class) | 3 | 86 | ||
Global Secured Options Portfolio | 2 | 100 | ||
Alternative Risk Premia Portfolio | 4 | 56 | ||
Short Term Tax Aware Fixed Income Portfolio | 4 | 38 |
Portfolio | Market Value of Loaned Securities | Market Value of Cash Collateral | Market Value of Non-Cash Collateral | % of Total Assets on Loan | ||||
Quantitative U.S. Large Cap Core Equity Portfolio | $14,044,798 | $935,123 | 13,439,006 | 0.60 | ||||
Quantitative U.S. Large Cap Value Equity Portfolio | 18,268 | — | 18,823 | 0.89 | ||||
Quantitative U.S. Small Cap Equity Portfolio | 47,198 | 25,804 | 22,444 | 4.28 | ||||
Quantitative International Equity Portfolio | 20,247,354 | 13,851,480 | 6,903,590 | 9.15 | ||||
Responsible ESG U.S. Equity Portfolio | 729,891 | 738,416 | — | 3.04 | ||||
Quantitative U.S. Long/Short Equity Portfolio | 1,331,424 | 1,386,900 | — | 0.31 | ||||
Quantitative U.S. Total Market Equity Portfolio | 1,138,865 | 180,396 | 975,842 | 1.29 | ||||
Small Cap Equity Portfolio | 158,694,736 | 91,536,981 | 73,482,971 | 7.39 | ||||
Large Cap Value Portfolio | 849,241 | 7,645 | 868,606 | 2.12 | ||||
Alternative Risk Premia Portfolio | 18,619 | 10,247 | 9,279 | 0.17 | ||||
Core Fixed Income Portfolio | 1,489,117 | 1,512,520 | — | 0.29 | ||||
Short Term Tax Aware Fixed Income Portfolio | 830,068 | 847,938 | — | 1.57 |
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Quantitative U.S. Large Cap Core Equity Portfolio, Quantitative U.S. Large Cap Growth Equity Portfolio, Quantitative International Equity Portfolio, Responsible ESG U.S. Equity Portfolio, Women in Leadership U.S. Equity Portfolio, Strategic Equity Portfolio, Small Cap Equity Portfolio, Large Cap Value Portfolio, Equity Income Portfolio, Secured Options Portfolio, Global Secured Options Portfolio, Core Fixed Income Portfolio, Short Term Tax Aware Fixed Income Portfolio and High Yield Municipal Portfolio | Statements of operations for the year ended October 31, 2019 and statements of changes in net assets for the years ended October 31, 2019 and 2018 |
Quantitative U.S. Long/Short Equity Portfolio and Quantitative U.S. Total Market Equity Portfolio | Statements of operations and of cash flows for the year ended October 31, 2019 and statements of changes in net assets for the years ended October 31, 2019 and 2018 |
Quantitative U.S. Large Cap Value Equity Portfolio and Quantitative U.S. Small Cap Equity Portfolio | Statements of operations for the year ended October 31, 2019 and statements of changes in net assets for the year ended October 31, 2019 and the period November 13, 2017 (commencement of operations) through October 31, 2018 |
Alternative Risk Premia Portfolio | Statements of operations, changes in net assets, and cash flows for the period December 20, 2018 (commencement of operations) through October 31, 2019 |
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December 19, 2019
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Muni Intermediate Portfolio | |
Assets: | |
Investments at value1 | $310,868,391 |
Cash | 4,372,346 |
Receivable for fund shares sold | 32,400 |
Interest receivable | 3,613,689 |
Prepaid expenses | 732 |
Total assets | 318,887,558 |
Liabilities: | |
Payable for when-issued securities purchased | 7,457,388 |
Payable for fund shares redeemed | 16,139 |
Payable for Trustees’ fees | 9,018 |
Payable for Shareholder Servicing fees | 39,716 |
Accrued expenses | 45,964 |
Total liabilities | 7,568,225 |
Net Assets | $311,319,333 |
Net Assets consist of: | |
Par value ($0.001 of shares outstanding) | $27,677 |
Paid-in capital in excess of par value | 300,408,657 |
Total distributable earnings | 10,882,999 |
Total Net Assets | $311,319,333 |
Shares Outstanding | 27,676,637 |
Net Asset Value Per Share | $11.25 |
1Investments at cost | $301,550,721 |
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Muni Intermediate Portfolio | |
Investment income: | |
Interest | $6,643,457 |
Total investment income | 6,643,457 |
Expenses: | |
Administration, transfer agent and custody fees | 183,272 |
Professional fees | 25,515 |
Shareholder report expenses | 19,413 |
Shareholder servicing fees | 456,224 |
Trustees’ fees and expenses | 36,271 |
Registration and filing fees | 7,210 |
Other expenses | 7,069 |
Total expenses | 734,974 |
Net investment income | 5,908,483 |
Realized and unrealized gain: | |
Net realized gain on: | |
Investment transactions | 1,472,487 |
Net change in unrealized gain of: | |
Investments | 12,561,149 |
Net realized and unrealized gain | 14,033,636 |
Net increase in net assets resulting from operations | $19,942,119 |
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Muni Intermediate Portfolio | |
Increase (decrease) in net assets | |
Operations: | |
Net investment income | $5,908,483 |
Net realized gain on: | |
Investment transactions | 1,472,487 |
Net change in unrealized gain of: | |
Investments | 12,561,149 |
Net increase in net assets resulting from operations | 19,942,119 |
Distributions from earnings | (5,890,287) |
Net increase in net assets from capital share transactions (See note 4) | 7,866,318 |
Net increase in net assets | 21,918,150 |
NET ASSETS: | |
Beginning of year | 289,401,183 |
End of year | $311,319,333 |
Muni Intermediate Portfolio | |
Increase (decrease) in net assets | |
Operations: | |
Net investment income | $5,611,226 |
Net realized loss on: | |
Investment transactions | (102,884) |
Net change in unrealized loss of: | |
Investments | (7,566,031) |
Net increase (decrease) in net assets resulting from operations | (2,057,689) |
Distributions from earnings* | (5,577,383) |
Net increase (decrease) in net assets from capital share transactions (See note 4) | (6,945,937) |
Net increase (decrease) in net assets | (14,581,009) |
NET ASSETS: | |
Beginning of year | 303,982,192 |
End of year** | $289,401,183 |
* | The SEC eliminated the requirement to disclose distributions to shareholders from net investment income and from net realized gains in 2018. |
** | The SEC eliminated the requirement to disclose undistributed net investment income in 2018. |
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Muni Intermediate Portfolio | |||||||||
For The Years Ended October 31, | |||||||||
20191 | 2018 | 2017 | 2016 | 2015 | |||||
Net asset value, beginning of year | $10.73 | $11.01 | $11.08 | $10.98 | $11.04 | ||||
Income from investment operations: | |||||||||
Net investment income | 0.22 | 0.20 | 0.19 | 0.17 | 0.16 | ||||
Net realized and unrealized gain (loss) on investments | 0.52 | (0.28) | (0.04) | 0.10 | — | ||||
Total from investment operations | 0.74 | (0.08) | 0.15 | 0.27 | 0.16 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.22) | (0.20) | (0.18) | (0.17) | (0.16) | ||||
Net realized capital gains | — | — | (0.04) | — | (0.06) | ||||
Total distributions | (0.22) | (0.20) | (0.22) | (0.17) | (0.22) | ||||
Net asset value, end of year | $11.25 | $10.73 | $11.01 | $11.08 | $10.98 | ||||
Total return | 6.90% | (0.73)% | 1.38% | 2.45% | 1.45% | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of year (in 000s) | $311,319 | $289,401 | $303,982 | $331,243 | $299,121 | ||||
Ratio of operating expenses to average net assets | 0.24% | 0.23% | 0.23% | 0.25% | 0.23% | ||||
Ratio of net investment income to average net assets | 1.94% | 1.86% | 1.70% | 1.53% | 1.44% | ||||
Portfolio turnover rate | 34% | 31% | 19% | 34% | 71% |
1 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
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Face Amount | Value | ||
MUNICIPAL BONDS* — 99.9% | |||
Alabama — 1.0% | |||
$3,000,000 | Black Belt Energy Gas District, AL, Gas Supply Revenue, Revenue Bonds, Series A, 4.000% due 7/1/46 | $3,110,400 | |
Alaska — 1.5% | |||
1,630,000 | Alaska State, General Obligation Unlimited, Refunding, Series B, 5.000% due 8/1/22 | 1,798,591 | |
2,745,000 | Anchorage, AK, Electric Utility, Revenue Bonds, Refunding, Series A, 4.000% due 12/1/21 | 2,897,979 | |
4,696,570 | |||
Arizona — 1.5% | |||
4,015,000 | Yuma, AZ, Municipal Property Corp., Road & Excise Tax, Revenue Bonds, Refunding, 5.000% due 7/1/26 | 4,783,591 | |
Colorado — 1.1% | |||
2,750,000 | Colorado State, Certificate of Participation, Series A, 5.000% due 12/15/29 | 3,508,973 | |
Connecticut — 1.1% | |||
2,000,000 | Connecticut State, Housing Finance Authority, Housing Finance Mortgage Program, Revenue Bonds, Refunding, Series F-1, 3.500% due 11/15/43 | 2,158,820 | |
1,000,000 | University of Connecticut, Revenue Bonds, Series A, 5.000% due 11/1/25 | 1,201,440 | |
3,360,260 | |||
Delaware — 1.0% | |||
2,640,000 | Delaware State, DE, General Obligation Unlimited, Refunding, Series B, 5.000% due 7/1/24 | 3,102,686 | |
District Of Columbia — 1.0% | |||
2,700,000 | District of Columbia, General Obligation Unlimited, Series D, 5.000% due 6/1/25 | 3,249,558 | |
Florida — 10.5% | |||
1,025,000 | Broward County, FL, School Broward Corporation, Certificate of Participation, Refunding, Series A, 5.000% due 7/1/27 | 1,249,004 | |
2,820,000 | Central, FL, Expressway Authority, Revenue Bonds, Refunding, Series B, 5.000% due 7/1/28 | 3,423,790 | |
2,180,000 | Citizens Property Insurance Corp., FL, Revenue Bonds, Series A-1, 5.000% due 6/1/20 | 2,226,805 | |
2,765,000 | Florida State, Department of Environmental Protection, Preservation Revenue, Revenue Bonds, Refunding, Series A, 5.000% due 7/1/22 | 3,044,873 | |
2,500,000 | Florida State, Municipal Power Agency, Revenue Bonds, Refunding, Series A, 5.000% due 10/1/271 | 3,120,250 | |
491,000 | Florida State, Water Pollution Control Financing Corp., Revenue Bonds, Water Pollution Control, Series A, 5.000% due 1/15/20 | 492,493 | |
Lakeland, FL, Energy System Revenue Bonds, Refunding: | |||
3,750,000 | 5.000% due 10/1/24 | 4,412,662 | |
2,750,000 | 5.000% due 10/1/25 | 3,326,427 | |
3,000,000 | Lee County, FL, School Board, Certificate of Participation, Refunding, Series A, 5.000% due 8/1/27 | 3,483,330 | |
3,000,000 | Lee County, FL, School Board, Certificate of Participation, Series A, 5.000% due 8/1/28 | 3,783,900 | |
2,025,000 | Orlando & Orange County, FL, Expressway Authority, Revenue Bonds, Refunding, 5.000% due 7/1/23 | 2,221,587 |
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Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Florida — (Continued) | |||
$1,875,000 | Orlando & Orange County, FL, Expressway Authority, Revenue Bonds, Refunding, Series B (AGMC Insured), 5.000% due 7/1/21 | $1,922,306 | |
32,707,427 | |||
Hawaii — 0.9% | |||
2,700,000 | Hawaii State, HI, General Obligation Unlimited, Refunding, Series EA, 5.000% due 12/1/22 | 2,911,437 | |
Illinois — 5.3% | |||
Chicago, IL, O’Hare International Airport Revenue Bonds, Refunding, Series B: | |||
2,545,000 | 5.000% due 1/1/30 | 2,954,083 | |
2,000,000 | 5.000% due 1/1/32 | 2,309,940 | |
1,900,000 | Illinois State, Finance Authority Revenue, Revenue Bonds, Series B, 1.250% due 8/1/44 | 1,900,000 | |
4,000,000 | McHenry County, IL, Conservation District, General Obligation Unlimited, Refunding, 5.000% due 2/1/25 | 4,720,000 | |
4,000,000 | Regional Transportation Authority, IL, Revenue Bonds, Refunding, Series A, 5.000% due 7/1/23 | 4,496,000 | |
16,380,023 | |||
Indiana — 0.8% | |||
2,500,000 | Indiana State, Health & Educational Facilities Financing Authority, Revenue Bonds, Series 2006B-3, 1.750% due 11/15/31 | 2,521,100 | |
Kansas — 1.4% | |||
Kansas State, KS, Department of Transportation Highway Revenue, Revenue Bonds, Series C: | |||
1,190,000 | 5.000% due 9/1/23 | 1,316,330 | |
2,750,000 | 5.000% due 9/1/24 | 3,041,143 | |
4,357,473 | |||
Kentucky — 0.7% | |||
2,000,000 | Kentucky State, Property & Building Commission, Revenue Bonds, Refunding, 4.000% due 8/1/21 | 2,039,540 | |
Louisiana — 0.5% | |||
1,550,000 | New Orleans, LA, Sewage Service Revenue, Revenue Bonds, Refunding, 5.000% due 6/1/22 | 1,685,625 | |
Maine — 1.1% | |||
Maine State Municipal Bond Bank, Infrastructure Revenue, Refunding, Series A: | |||
1,175,000 | 5.000% due 9/1/21 | 1,256,886 | |
1,985,000 | 5.000% due 9/1/22 | 2,193,385 | |
3,450,271 | |||
Maryland — 6.7% | |||
3,500,000 | County of Prince George’s MD, General Obligation Limited, Series A, 4.000% due 7/15/32 | 4,089,260 | |
3,000,000 | Frederick County, MD, General Obligation Unlimited, Series A, 3.000% due 8/1/31 | 3,261,630 | |
4,000,000 | Maryland State, General Obligation Unlimited, 5.000% due 8/1/24 | 4,698,600 | |
3,280,000 | Maryland State, General Obligation Unlimited, Series A, 5.000% due 3/15/30 | 4,163,173 | |
2,500,000 | Maryland, MD, Economic Development Corporation, Economic Development Revenue, Revenue Bonds, Series B, 5.375% due 6/1/25 | 2,559,750 | |
2,000,000 | Washington, MD, Suburban Sanitary Commission, General Obligation Unlimited, Public Improvement, 4.000% due 6/1/21 | 2,088,380 | |
20,860,793 |
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Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Massachusetts — 2.1% | |||
$2,000,000 | Massachusetts State, General Obligation Limited, Refunding, Series E, 3.000% due 12/1/27 | $2,232,540 | |
3,850,000 | Massachusetts State, General Obligation Limited, Series C, 5.000% due 5/1/30 | 4,336,063 | |
6,568,603 | |||
Michigan — 4.5% | |||
4,000,000 | Detroit, MI, City School District, General Obligation Unlimited, Series A, (QSBLF Insured), 5.000% due 5/1/26 | 4,345,280 | |
1,500,000 | Grand Valley, MI, State University, Revenue Bonds, Refunding, Series A, 5.000% due 12/1/26 | 1,820,115 | |
3,100,000 | Michigan Finance Authority, Revenue Bonds, Refunding Detroit School District, Series A, (QSBLF Insured), 5.000% due 5/1/21 | 3,265,602 | |
1,000,000 | Michigan State, Finance Authority Revenue, Revenue Bonds, Series 2019B, 3.500% due 11/15/44 | 1,058,020 | |
3,300,000 | Michigan State, Housing Development Authority, Revenue Bonds, Series B, 3.500% due 6/1/47 | 3,467,409 | |
13,956,426 | |||
Minnesota — 2.2% | |||
1,190,000 | Lake Superior, MN, Independent School District No. 381, General Obligation Unlimited, Refunding, Series A, (School District Credit Program), 5.000% due 10/1/20 | 1,231,162 | |
4,800,000 | St. Paul, MN, Housing & Redevelopment Authority Health Care Facilities Revenue, Refunding, HealthPartners Obligated Group, Series A, 5.000% due 7/1/28 | 5,623,488 | |
6,854,650 | |||
Mississippi — 1.4% | |||
1,000,000 | Mississippi Development Bank, Special Obligation, Revenue Bonds, Refunding, Series A, 5.000% due 4/1/20 | 1,015,050 | |
3,160,000 | Mississippi State, Development Bank, Special Obligation, Jackson Public School District Project, Revenue Bonds, Refunding, Series A, 5.000% due 4/1/21 | 3,321,697 | |
4,336,747 | |||
Missouri — 0.8% | |||
2,000,000 | City of Kansas, MO, Sanitary Sewer System Revenue Bonds, Refunding, Series A, 5.000% due 1/1/27 | 2,365,200 | |
Nevada — 1.3% | |||
3,500,000 | Clark County, NV, General Obligation Limited, Series C, 4.000% due 7/1/32 | 4,088,700 | |
New Mexico — 0.4% | |||
1,125,000 | New Mexico State, Mortgage Finance Authority, Revenue Bonds, Series F (GNMA / FNMA / FHLMC Insured), 3.500% due 7/1/501 | 1,214,539 | |
New York — 3.1% | |||
1,000,000 | New York City, NY, Municipal Water Finance Authority, Water & Sewer System, Revenue Bonds, Series DD-2, 5.000% due 6/15/25 | 1,155,040 | |
1,650,000 | New York City, NY, Transitional Finance Authority Revenue, Future Tax Secured, Series C, 5.000% due 11/1/26 | 2,055,999 | |
2,275,000 | New York City, NY, Transitional Finance Authority, Future Tax Secured, Revenue Bonds, Subseries E-1, 5.000% due 2/1/30 | 2,734,914 | |
1,150,000 | New York State, Thruway Authority Personal Income Tax, Revenue Bonds, Series A, 5.000% due 3/15/23 | 1,188,847 |
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Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
New York — (Continued) | |||
$2,470,000 | New York, Metropolitan Transportation Authority Revenue, Dedicated Tax Fund, Series B-1, 5.000% due 11/15/21 | $2,661,351 | |
9,796,151 | |||
North Carolina — 6.2% | |||
1,220,000 | Duplin County, NC, Limited Obligation, Revenue Bonds, 5.000% due 4/1/23 | 1,364,838 | |
Mooresville, NC, Limited Obligation, Revenue Bonds, Refunding: | |||
3,375,000 | 5.000% due 11/1/22 | 3,749,456 | |
3,550,000 | 5.000% due 11/1/23 | 4,070,004 | |
New Hanover County, NC, Hospital Revenue, Revenue Bonds, Refunding: | |||
775,000 | 5.000% due 10/1/21 | 819,958 | |
1,920,000 | New Hanover County, NC, Hospital Revenue, Revenue Bonds, Refunding, 5.000% due 10/1/22 | 2,521,817 | |
600,000 | 5.000% due 10/1/23 | 665,262 | |
2,940,000 | North Carolina State, General Obligation Unlimited, Refunding, Series A, 5.000% due 6/1/27 | 3,623,433 | |
2,000,000 | Raleigh City, North Carolina, Combined Enterprise System Revenue, Refunding, Series B, 5.000% due 12/1/24 | 2,377,540 | |
19,192,308 | |||
Ohio — 5.9% | |||
2,060,000 | Ohio State, Adult Correctional Capital Facilities, Lease Revenue, Series A, 5.000% due 4/1/21 | 2,167,779 | |
3,250,000 | Ohio State, General Obligation Unlimited, Series A, 5.000% due 6/15/28 | 3,644,680 | |
1,400,000 | Ohio State, Hospital Facilities Revenue, Revenue Bonds, Refunding, Series A, 5.000% due 1/1/25 | 1,659,812 | |
2,670,000 | Ohio State, Hospital Revenue Bonds, Series A, 5.000% due 1/15/24 | 2,962,739 | |
1,000,000 | Ohio State, Revenue Bonds, Refunding, Series B, 5.000% due 10/1/21 | 1,070,680 | |
1,360,000 | Ohio State, Special Obligation, Revenue Bonds, 5.000% due 10/1/21 | 1,456,125 | |
4,245,000 | Ohio State, Water Development Authority Water Pollution Control Loan Fund, Revenue Bonds, Series A, 5.000% due 6/1/30 | 5,270,804 | |
18,232,619 | |||
Oklahoma — 0.7% | |||
2,000,000 | Grand River, OK, Dam Authority, Revenue Bonds, Refunding, Series A, 5.000% due 6/1/24 | 2,331,020 | |
Oregon — 1.5% | |||
1,970,000 | Oregon State, General Obligation Unlimited, Refunding, Series N, 5.000% due 12/1/23 | 2,126,398 | |
2,000,000 | Washington County, OR, Beaverton School District No. 48J, Series D, 5.000% due 6/15/26 | 2,464,740 | |
4,591,138 | |||
Pennsylvania — 3.4% | |||
500,000 | Conneaut, PA, School District, Refunding, Series B, (AGMC Insured State Aid Withholding), 5.000% due 11/1/20 | 516,030 | |
2,500,000 | Cumberland County, PA, Municipal Authority, Revenue Bonds, 5.000% due 11/1/311 | 3,147,500 | |
2,500,000 | Pennsylvania State Turnpike Authority, Revenue Bonds, Refunding, 5.000% due 12/1/22 | 2,781,625 | |
1,500,000 | Pennsylvania State, General Obligation Unlimited, Series 2, 5.000% due 9/15/25 | 1,804,725 |
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Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Pennsylvania — (Continued) | |||
$2,150,000 | Pennsylvania State, General Obligation Unlimited, Series CR (AGMC Insured), 4.000% due 9/15/31 | $2,423,803 | |
10,673,683 | |||
Rhode Island — 0.4% | |||
1,020,000 | Rhode Island State, RI, Health and Educational Building Corporation, Public School Revenue, Revenue Bonds, Refunding, Series A, 5.000% due 5/15/22 | 1,104,068 | |
South Carolina — 0.4% | |||
1,010,000 | Beaufort County, SC, General Obligation Unlimited, Series B, (State Aid Withholding), 5.000% due 5/1/22 | 1,104,738 | |
Texas — 12.9% | |||
1,420,000 | Alamo, TX, Community College District, General Obligation Limited, 5.000% due 2/15/23 | 1,489,907 | |
1,065,000 | Alamo, TX, Community College District, General Obligation Limited, Refunding, 5.000% due 2/15/24 | 1,231,097 | |
3,000,000 | Dallas, TX, Area Rapid Transit, Sales Tax Revenue, Revenue Bonds, Refunding, 5.000% due 12/1/25 | 3,638,370 | |
2,500,000 | Dallas, TX, Independent School District, General Obligation Unlimited, Refunding, (PSF Guaranteed), 5.000% due 2/15/22 | 2,621,775 | |
Harris County, Texas, Cultural Education Facilities Finance Corp., Revenue Bonds, Refunding, Children’s Hospital Project: | |||
2,850,000 | 5.000% due 10/1/26 | 3,413,701 | |
2,000,000 | 5.000% due 10/1/27 | 2,388,260 | |
3,000,000 | Harris County, Texas, Flood Control District, Revenue Bonds, Refunding, Series A, 5.000% due 10/1/28 | 3,780,240 | |
Harris County, Texas, Revenue Bonds, Refunding, Series A: | |||
1,300,000 | 5.000% due 8/15/24 | 1,522,833 | |
3,000,000 | 5.000% due 8/15/25 | 3,608,940 | |
3,000,000 | Plano, TX, Independent School District, General Obligation Unlimited, Refunding, Series B, (PSF Guaranteed), 5.000% due 2/15/21 | 3,146,340 | |
2,550,000 | Texas State, General Obligation Unlimited, Series A, 5.000% due 10/1/26 | 3,163,785 | |
1,000,000 | Texas State, Transportation Commission Highway Fund Revenue, Revenue Bonds, Refunding, 5.000% due 10/1/22 | 1,108,880 | |
1,165,000 | Texas State, TX, A&M University Permanent University Fund, Revenue Bonds, 5.000% due 7/1/22 | 1,282,281 | |
3,500,000 | University of Texas, Revenue Bonds, Series D , 5.000% due 8/15/25 | 4,234,265 | |
3,090,000 | Waco, TX, Independent School District, General Obligation Unlimited, Refunding, (PSF Guaranteed), 5.000% due 8/15/23 | 3,520,839 | |
40,151,513 | |||
Utah — 0.9% | |||
2,440,000 | Nebo, UT, School District, General Obligation Unlimited, Series C, 4.000% due 7/1/23 | 2,685,342 | |
Virginia — 4.3% | |||
1,500,000 | Fairfax County, VA, General Obligation Unlimited, Refunding, Series C, (State Aid Withholding), 5.000% due 10/1/24 | 1,773,690 | |
2,800,000 | Richmond, VA, Convention Center Authority, Hotel Tax Revenue Bonds, Refunding, 5.000% due 6/15/27 | 3,316,712 | |
2,450,000 | Virginia State, Commonwealth University Health System Authority Revenue, Revenue Bonds, Series B, 5.000% due 7/1/29 | 3,037,657 |
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Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Virginia — (Continued) | |||
$4,555,000 | Virginia State, Public Building Authority, Public Facilities Revenue, Revenue Bonds, Series A, 4.000% due 8/1/35 | $5,306,484 | |
13,434,543 | |||
Washington — 8.0% | |||
4,650,000 | Central Puget Sound, WA, Regional Transit Authority, Revenue Bonds, Refunding, Series P-1, 5.000% due 2/1/28 | 5,036,043 | |
3,695,000 | City of Seattle, WA, Municipal Light and Power Revenue, Revenue Bonds, Refunding, 4.000% due 9/1/30 | 4,092,730 | |
1,205,000 | Grays Harbor County, WA, Public Utility District No. 1, Revenue Bonds, Refunding, Series A, 5.000% due 1/1/27 | 1,409,283 | |
3,600,000 | King County, WA, Bellevue School District No. 405, General Obligation Unlimited, 5.000% due 12/1/25 | 4,134,600 | |
2,240,000 | Washington State, Certificate of Participation, Refunding, Series C, (State Aid Intercept), 5.000% due 1/1/20 | 2,253,597 | |
4,000,000 | Washington State, General Obligation Unlimited, Refunding, Series R-2013A, 4.000% due 7/1/28 | 4,268,520 | |
3,000,000 | Washington State, General Obligation Unlimited, Series D, 5.000% due 2/1/26 | 3,662,790 | |
24,857,563 | |||
Wisconsin — 1.9% | |||
2,100,000 | Wisconsin State, Department of Transportation Revenue, Revenue Bonds, Refunding, Series 2, 5.000% due 7/1/29 | 2,624,265 | |
15,000 | Wisconsin State, General Obligation Unlimited, Series B, Prerefunded 5/1/20 @ 100, 5.000% due 5/1/26 | 15,279 | |
1,350,000 | Wisconsin State, General Obligation Unlimited, Unrefunded, Series 1, 5.000% due 5/1/21 | 1,427,477 | |
1,470,000 | Wisconsin State, Health & Educational Facilities Authority Revenue, Revenue Bonds, Refunding, Series A, 5.000% due 11/15/28 | 1,881,982 | |
5,949,003 | |||
Wyoming — 1.5% | |||
4,310,000 | Wyoming State, Community Development Authority, Housing Revenue, Revenue Bonds, Refunding, Series 3, 4.000% due 6/1/43 | 4,654,110 | |
TOTAL MUNICIPAL BONDS (Cost $301,550,721) | 310,868,391 | ||
TOTAL INVESTMENTS (Cost $301,550,721) | 99.9% | $310,868,391 | |
OTHER ASSETS IN EXCESS OF LIABILITIES | 0.1 | 450,942 | |
NET ASSETS | 100.0% | $311,319,333 |
* | Percentages indicated are based on net assets. |
1 | When-issued security. |
Abbreviations: |
AGMC — Assured Guaranty Municipal Corporation |
FHLMC — Federal Home Loan Mortgage Corporation |
FNMA — Federal National Mortgage Association |
GNMA — Government National Mortgage Association |
PSF — Permanent School Fund |
QSBLF — Michigan Qualified School Bond Loan Fund |
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% of Net Assets | Value | ||
STATE: | |||
Texas | 12.9% | $40,151,513 | |
Florida | 10.5 | 32,707,427 | |
Washington | 8.0 | 24,857,563 | |
Maryland | 6.7 | 20,860,793 | |
North Carolina | 6.2 | 19,192,308 | |
Ohio | 5.9 | 18,232,619 | |
Illinois | 5.3 | 16,380,023 | |
Michigan | 4.5 | 13,956,426 | |
Virginia | 4.3 | 13,434,543 | |
Pennsylvania | 3.4 | 10,673,683 | |
New York | 3.1 | 9,796,151 | |
Minnesota | 2.2 | 6,854,650 | |
Massachusetts | 2.1 | 6,568,603 | |
Wisconsin | 1.9 | 5,949,003 | |
Arizona | 1.5 | 4,783,591 | |
Alaska | 1.5 | 4,696,570 | |
Wyoming | 1.5 | 4,654,110 | |
Oregon | 1.5 | 4,591,138 | |
Kansas | 1.4 | 4,357,473 | |
Mississippi | 1.4 | 4,336,747 | |
Nevada | 1.3 | 4,088,700 | |
Colorado | 1.1 | 3,508,973 | |
Maine | 1.1 | 3,450,271 | |
Connecticut | 1.1 | 3,360,260 | |
District of Columbia | 1.0 | 3,249,558 | |
Alabama | 1.0 | 3,110,400 | |
Delaware | 1.0 | 3,102,686 | |
Hawaii | 0.9 | 2,911,437 | |
Utah | 0.9 | 2,685,342 | |
Indiana | 0.8 | 2,521,100 | |
Missouri | 0.8 | 2,365,200 | |
Oklahoma | 0.7 | 2,331,020 | |
Kentucky | 0.7 | 2,039,540 | |
Louisiana | 0.5 | 1,685,625 | |
New Mexico | 0.4 | 1,214,539 | |
South Carolina | 0.4 | 1,104,738 | |
Rhode Island | 0.4 | 1,104,068 | |
TOTAL MUNICIPAL BONDS | 99.9% | $310,868,391 | |
TOTAL INVESTMENTS | 99.9% | $310,868,391 |
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Muni Intermediate Portfolio | $405,827 |
Portfolio | Undistributed Tax-exempt Income | Undistributed Ordinary Income | Undistributed Long-Term Gain | Unrealized Appreciation/ (Depreciation) | Other Temporary Differences | Total Distributable Earnings | ||||||
Muni Intermediate Portfolio | $498,669 | $464,646 | $602,014 | $9,317,671 | $(1) | $10,882,999 |
Portfolio | Tax Exempt | Ordinary Income | Long-Term Gains | Return of Capital | ||||
Muni Intermediate Portfolio | $5,808,827 | $81,460 | $— | $— |
Portfolio | Tax Exempt | Ordinary Income | ||
Muni Intermediate Portfolio | $5,430,555 | $146,828 |
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Portfolio | Cost | Appreciation | (Depreciation) | Net | ||||
Muni Intermediate Portfolio | $301,550,720 | $9,443,618 | $125,947 | $9,317,671 |
Portfolio | Purchases | Sales | ||
Muni Intermediate Portfolio | $138,375,528 | $99,022,949 |
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Year Ended 10/31/19 | Year Ended 10/31/18 | ||||||
Shares | Amount | Shares | Amount | ||||
Muni Intermediate Portfolio | |||||||
Sold | 5,992,921 | $65,990,943 | 5,096,672 | $55,280,588 | |||
Redeemed | (5,279,393) | (58,124,625) | (5,741,062) | (62,226,525) | |||
Net Increase (Decrease) | 713,528 | $7,866,318 | (644,390) | $(6,945,937) |
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December 19, 2019
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Core Fixed Income Portfolio | 62.42% |
Quantitative U.S. Large Cap Core Equity Portfolio | 100 % |
Quantitative U.S. Large Cap Growth Equity Portfolio | 100 % |
Quantitative U.S. Large Cap Value Equity Portfolio | 100 % |
Quantitative U.S. Small Cap Equity Portfolio | 100 % |
Responsible ESG U.S. Equity Portfolio | 100 % |
Women in Leadership U.S. Equity Portfolio | 100 % |
Quantitative U.S. Long/Short Equity Portfolio | 100 % |
Quantitative U.S. Total Market Equity Portfolio | 100 % |
Strategic Equity Portfolio | 100 % |
Small Cap Equity Portfolio | 49.21 % |
Large Cap Value Portfolio | 100 % |
Equity Income Portfolio | 100 % |
Secured Options Portfolio | 4.2 % |
Short Term Tax Aware Fixed Income Portfolio | 5 % |
Portfolio | Total | |
Quantitative International Equity Portfolio | $1,128,742 |
Quantitative U.S. Large Cap Core Equity Portfolio | $214,199,561 |
Quantitative U.S. Large Cap Growth Equity Portfolio | $439,037,606 |
Responsible ESG U.S. Equity Portfolio | $784,096 |
Women in Leadership U.S. Equity Portfolio | $616,730 |
Quantitative U.S. Total Market Equity Portfolio | $6,601,798 |
Strategic Equity Portfolio | $2,698,979 |
Small Cap Equity Portfolio | $389,612,638 |
Large Cap Value Portfolio | $6,243,467 |
Equity Income Portfolio | $300,249 |
Secured Options Portfolio | $13,352,249 |
Global Secured Options Portfolio | $1,317,002 |
Quantitative U.S. Large Cap Core Equity Portfolio | $35,574,463 |
Quantitative U.S. Large Cap Growth Equity Portfolio | $18,109,866 |
Quantitative U.S. Large Cap Value Equity Portfolio | $37,522 |
Quantitative U.S. Small Cap Equity Portfolio | $10,564 |
Quantitative International Equity Portfolio | $8,209,500 |
Responsible ESG U.S. Equity Portfolio | $262,686 |
Women in Leadership U.S. Equity Portfolio | $218,701 |
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Quantitative U.S. Long/Short Equity Portfolio | $2,429,471 |
Quantitative U.S. Total Market Equity Portfolio | $485,023 |
Strategic Equity Portfolio | $2,179,702 |
Small Cap Equity Portfolio | $21,249,991 |
Large Cap Value Portfolio | $1,039,184 |
Equity Income Portfolio | $596,059 |
Alternative Risk Premia Portfolio | $2,372 |
Short Term Tax Aware Fixed Income Portfolio | $7,313 |
Secured Options Portfolio | 90.39 % |
Alternative Risk Premia Portfolio | 36.71 % |
Core Fixed Income Portfolio | 12.93 % |
Short Term Tax Aware Fixed Income Portfolio | 10.01 % |
Muni Intermediate Portfolio | 1.78 % |
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Name and Age | Positions Held with the Funds/Time Served | Principal Occupations(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Director/Trustee | Other Directorships Held by Director/ Trustee | ||||
H. Franklin Allen, Ph.D. Age: 63 | Director of Glenmede Fund (since March 1991) and Trustee of Glenmede Portfolios (since May 1992) | Professor of Finance and Economics and Director of the Brevan Howard Centre for Financial Analysis at Imperial College London (since 2014); Professor Emeritus of Finance, The Wharton School of The University of Pennsylvania since June 2016; Professor of Finance and Economics (1990-1994); Vice Dean and Director of Wharton Doctoral Programs (1990-1993); Employed by The University of Pennsylvania (from 1980-2016). | 20 | None | ||||
William L. Cobb, Jr. Age: 72 | Director of Glenmede Fund and Trustee of Glenmede Portfolios (since February 2007) | Former Executive Vice President and Former Chief Investment Officer, The Church Pension Fund (defined benefit plan for retired clergy of the Episcopal Church) (1999-2014); Chair and Member, Investment Committee, The Minister and Missionaries Benefit Board of the American Baptist Church (until 2013); Vice Chairman, J.P. Morgan Investment Management (1994-1999). | 20 | Director, TCW Direct Lending LLC | ||||
Gail E. Keppler Age: 73 | Director of Glenmede Fund and Trustee of Glenmede Portfolios (since February 2007) | Former Co-CEO/COO TVG, Inc. (pharmaceutical marketing consulting) (1992-2002); Former Board Member, Laurel House; Former Division President and Board Member, Burke Marketing Services, Inc.; Former Board member Cape May County Habitat for Humanity. | 20 | None | ||||
Harry Wong Age: 71 | Director of Glenmede Fund and Trustee of Glenmede Portfolios (since February 2007) | Former Managing Director, Knight Capital Americas, L.P., an operating subsidiary of Knight Capital Group Inc. (investment banking) (2009-2011); Managing Director, Long Point Advisors, LLC (business consulting) (2003-2012); Senior Managing Director, ABN AMRO (investment banking) (1990-2002); Adjunct Faculty Member, Sacred Heart University (2003-2007). | 20 | None |
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Interested Directors/Trustees(2) | ||||||||
Name and Age | Positions Held with the Funds/Time Served | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Director/Trustee | Other Directorships Held by Director/ Trustee | ||||
Susan W. Catherwood(3) Age: 76 | Director of Glenmede Fund and Trustee of Glenmede Portfolios (since February 2007) | Director (since 1988) and Member of the Investment Review/Relationship Oversight Committee (since 2001), Compensation Committee (since 1993) and Nominating Committee (since 2018), Glenmede Trust; Director, The Glenmede Corporation (since 1988); Board Member, The Pew Charitable Trusts; Charter Trustee, The University of Pennsylvania; Chairman Emeritus, The University Museum of The University of Pennsylvania; Chairman of the Board of Managers, The Christopher Ludwick Foundation; Director: Thomas Skelton Harrison Foundation and The Catherwood Foundation; Fellow and serves on Finance and Investment Committees, and former Board member, College of Physicians of Philadelphia; Former Member and Chair, The Women’s Committee and Penn Museum Board of Overseers of the University of Pennsylvania. | 20 | None | ||||
G. Thompson Pew, Jr.(3) Age: 77 | Director of Glenmede Fund (since October 1988) and Trustee of Glenmede Portfolios (since May 1992) Chairman of the Funds (since June 2006) | Director (since 2013) of The Glenmede Corporation; Director, Member of the Relationship Oversight Committee, Private Equity/Real Estate Advisory Committee (until 2013), and the Compensation Committee, and Chairman of the Nominating Committee (since 2018), Glenmede Trust; Former Director, Brown & Glenmede Holdings, Inc.; Former Co-Director, Principal and Officer, Philadelphia Investment Banking Co.; Former Director and Officer, Valley Forge Administrative Services Company. | 20 | None | ||||
(2)Interested Directors/Trustees are those Directors/Trustees who are “interested persons” of the Funds as defined in the 1940 Act. Susan W. Catherwood and G. Thompson Pew, Jr., are considered to be “interested” Directors/Trustees of the Funds because of their affiliations with Glenmede Trust, the parent company of the Funds’ investment advisor, GIM, and their stock ownership in The Glenmede Corporation, of which GIM is an affiliate. |
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Officers | ||||
Name, Address and Age | Positions Held with the Funds/Time Served | Principal Occupation(s) During Past 5 Years | ||
Kent E. Weaver 1650 Market Street, Suite 1200 Philadelphia, PA 19103 Age: 52 | President of the Funds since November 2019. | Director of Client Service of Glenmede Investment Management LP (since July 2015); Former Director of Client Service and Sales/Chief Compliance Officer of Philadelphia International Advisors, LP (2002 - June 2015). | ||
Kimberly C. Osborne 1650 Market Street, Suite 1200 Philadelphia, PA 19103 Age: 53 | Executive Vice President of the Funds since December 1997. | Client Service Manager of Glenmede Investment Management LP (since 2006). Vice President of Glenmede Trust and Glenmede Advisers until 2008. Employed by Glenmede Trust 1993-2008 and Glenmede Advisers 2000-2008. | ||
Christopher E. McGuire 1650 Market Street, Suite 1200 Philadelphia, PA 19103 Age: 46 | Treasurer of the Funds since December 2019. | Director of Administration of Glenmede Investment Management LP (since October 2019); Managing Director, State Street Bank and Trust Company (from 2007 - October 2019). | ||
Michael P. Malloy One Logan Square, Suite 2000 Philadelphia, PA 19103- 6996 Age: 60 | Secretary of the Funds since January 1995. | Partner in the law firm of Drinker Biddle & Reath LLP. | ||
Douglas J. Minasian 1 Iron Street Boston, MA 02210 Age: 45 | Assistant Treasurer of the Funds since December 2019. | Vice President, State Street Bank and Trust Company (since 2007). | ||
Eimile J. Moore 690 Taylor Road, Suite 210 Columbus, OH 43230 Age: 50 | Chief Compliance Officer of the Funds since December 2017 | Managing Director, Foreside Financial Group, LLC (since 2011); Vice President/Business Manager, JP Morgan Distribution Services, Inc. (2006-2011). | ||
Bernard J. Brick 100 Summer Street, Floor 7 Boston, MA 02111 Age: 45 | Assistant Secretary of the Funds since December 2013. | Vice President and Senior Counsel, State Street Bank and Trust Company (2011-present). |
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Item 2. Code of Ethics.
As of October 31, 2019, the Registrant has adopted a code of ethics that applies to the Registrant’s President and Treasurer (Principal Executive Officer and Principal Financial Officer). For the year ended October 31, 2019, there were no amendments to a provision of its code of ethics, nor were there any waivers, including implicit waivers granted from a provision of the code of ethics. A copy of the Registrant’s code of ethics is filed with the FormN-CSR under Item 13(a)(1).
Item 3. Audit Committee Financial Expert.
The Registrant’s Board of Directors has determined that the Registrant has at least one audit committee financial expert serving on its audit committee. The audit committee financial expert serving on the Registrant’s audit committee is Harry Wong, who is “independent” as defined in Item 3(a)(2) of this Form.
Item 4. Principal Accountant Fees and Services.
(a) | Audit Fees – The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the Registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years were $496,582 and $569,517 for the fiscal years ended October 31, 2018 and October 31, 2019, respectively. |
(b) | Audit-Related Fees – There were no fees billed for the fiscal years ended October 31, 2018 and October 31, 2019 for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the Registrant’s financial statements and are not reported under (a) of this Item. |
(c) | Tax Fees – The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for the review of the Registrant’s tax returns, othertax-related filings, excise tax calculations and final income distributions for liquidating funds were $100,400 and $104,280 for the fiscal years ended October 31, 2018 and October 31, 2019, respectively. |
(d) | All Other Fees – There were no other fees billed for the fiscal years ended October 31, 2018 and October 31, 2019 for products and services provided by the principal accountant, other than the services reported in (a) through (c) of this Item. |
(e) | (1) The Registrant’s audit committeepre-approves all audit andnon-audit services to be performed by the Registrant’s accountant before the accountant is engaged by the Registrant to perform such services. |
(2) There were no services described in (b) through (d) above (including services required to be approved by the audit committee pursuant to paragraph (c)(7)(ii) of Rule2-01 of RegulationS-X) that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule2-01 of RegulationS-X.
(f) | None of the hours expended on the principal accountant’s engagement to audit the Registrant’s financial statements for the fiscal year ended October 31, 2019 were attributable to work performed by persons other than the principal accountant’s full-time, permanent employees. |
(g) | The aggregatenon-audit fees and services billed by the Registrant’s accountant for each of the last two fiscal years were $100,400 and $104,280 for the fiscal years ended October 31, 2018 and October 31, 2019, respectively, as described above. |
(h) | Not applicable. |
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Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
(a) Schedules of Investments in securities of unaffiliated issuers as of the close of the reporting period are 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 forClosed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers ofClosed-End Investment Management Companies.
Not applicable.
Item 9. Purchases of Equity Securities byClosed-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 Directors.
Item 11. Controls and Procedures.
(a) The Registrant’s Principal Executive Officer and Principal Financial Officer have concluded that the Registrant’s disclosure controls and procedures (as defined in Rule30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR270.30a-3(c))), are effective based on the evaluation of the Registrant’s disclosure controls and procedures as of a date within 90 days prior to the filing date of this report.
(b) There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule30a-3(d) under the 1940 Act (17 CFR270.30a-3(d))), that occurred during the Registrant’s most recent fiscal half-year that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities forClosed-End Management Investment Companies.
(a) Not applicable.
(b) Not applicable.
Item 13. Exhibits.
(a)(1) Code of Ethics for the Registrant’s President and Treasurer (Principal Executive Officer and Principal Financial Officer) described in Item 2 is attached hereto.
(a)(2) Certifications of the Principal Executive Officer and Principal Financial Officer of the Registrant, as required by Rule30a-2(a) under the 1940 Act (17 CFR270.30a-2(a)), are attached hereto as Exhibit 99.CERT.
(a)(3) Not applicable.
(a)(4) Not applicable.
(b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 as required by Rule30a-2(b) under the 1940 Act (17 CFR270.30a-2(b)), Rule15d-14(b) under the Securities Exchange Act of 1934, as amended (17 CFR240.15d-14(b)) and Section 1350 of Chapter 63 of Title 18 of the United States Code (18 U.S.C. 1350), are attached hereto as Exhibit 99.906CERT.
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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) THE GLENMEDE FUND, INC. | ||
By (Signature and Title) /s/ Kent E. Weaver | ||
Kent E. Weaver President (Principal Executive Officer) | ||
Date December 30, 2019 | ||
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/ Kent E. Weaver | ||
Kent E. Weaver President (Principal Executive Officer) | ||
Date December 30, 2019 | ||
/s/ Christopher E. McGuire | ||
Christopher E. McGuire Treasurer (Principal Financial Officer) | ||
Date December 30, 2019 |